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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)
Colin J. Dean, Esq.
Mercer Investments LLC
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, 2021
Date of Reporting Period: March 31, 2021
Table of Contents
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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Mercer FundsTM
Annual Report
Mercer US Large Cap Equity Fund
Mercer US Small/Mid Cap 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.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports are no longer being sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary, such as a broker-dealer or bank if you hold your shares through such an institution. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you are not affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund or your financial intermediary electronically by calling 1-888-887-0619 if you hold your shares directly with the Mercer Funds, or, if you hold your shares through a financial intermediary, by contacting your financial intermediary.
You may elect to receive all future reports in paper copies free of charge. You can inform the Funds or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling 1-888-887-0619 if you hold your shares directly with the Mercer Funds, or, if you hold your shares through a financial intermediary, by contacting your financial intermediary. Your election to receive reports in paper copies apply to all Funds held with the Mercer Funds or through your financial intermediary, as applicable.
March 31, 2021
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Table of Contents
Mercer US Large Cap Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000® Index.
Investment Strategy
The Fund invests principally in equity securities (such as common stock) issued by large capitalization U.S. companies. The Fund employs a “core equity” investment strategy by investing in both growth and value oriented equity securities. The Fund may invest in derivative instruments to gain market exposure on cash balances or to reduce market exposure in anticipation of liquidity needs.
Performance
For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 64.71% compared to its benchmark, the Russell 1000® Index, return of 60.59%. Performance for the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2021, the Fund employed six sub-advisors: Brandywine Global Investment Management LLC (Brandywine), O’Shaughnessy Asset Management LLC (OSAM), Polen Capital Management LLC (Polen), Jennison Associates LLC (Jennison), Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (Macquarie), and Parametric Portfolio Associates LLC (Parametric).
Brandywine, a deep value manager, focuses on cheap stocks that trade at a significant discount to intrinsic value, with strong free cash flows and quality balance sheets.
OSAM is a yield focused quantitative value manager that seeks stocks that rank high based on valuation, quality and shareholder yield.
Polen is a concentrated quality growth manager, focused on finding high quality companies, with sustainable, above-average earnings growth.
Jennison is a growth manager who selects stocks with long-term competitive advantages that are growing earnings faster or longer than the broad market.
Macquarie is a quality value manager who invests in strong, high quality businesses with sound balance sheets and free cash flow generation.
Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
The start of the fiscal year 2020 was like no other in recent memory, with the global pandemic forcing large parts of our society to shelter in place, disrupting business activity, and sending millions to work from home. During this period, consumer and corporate spending habits were altered and/or shifted, which sent the economy from thriving to being shuttered in a matter of weeks. But there were patches of strength. Companies in cloud computing, video conferencing, e-commerce, and digital entertainment flourished as people did more — and spent more money — online. After the initial shock, unprecedented monetary and fiscal response provided liquidity and support to every day Americans through direct payments, and financial markets through quantitative easing, paving the way to recovery.
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Mercer US Large Cap Equity Fund
In the fourth quarter of 2020, the announcements of the Moderna and Pfizer vaccines, along with optimism surrounding the results of the U.S. election sent equity markets higher, as investors started to price in a reopening of the economy in 2021. These events were the catalysts for a new “reopening trade” which saw a rally in cyclical stocks, including financials, industrials, materials, and energy which would benefit most from a reopening of the economy. By several measures, 2020 represented one of the most volatile periods in history for U.S. stock prices. The year was characterized by frequent, large, daily price swings in both directions and implied volatility remained elevated throughout. As we moved into 2021, equity markets continued to climb higher, as inflation expectations climbed, and rates rose, adding further momentum to cyclicals, and the selling of growth stocks. Alongside this trend, investor optimism and the continued monetary and fiscal stimulus created pockets of speculation and froth as outlined by the booming SPAC IPO market, price action in cannabis stocks, cryptocurrency derivatives, and the online forums contributing to volatility in stocks like Game Stop and AMC.
Looking forward, the outlook for the domestic economy is bullish. The expectation is that leading indicators will remain strong on the back of the reopening activity and extensive consumer spending as a result of employment, stimulus and savings.
Within the Russell 1000® Index, the Fund’s benchmark, the best performing sectors for the fiscal year were Consumer Discretionary (91.1%), Energy (79.3%), and Materials (78.7%). The worst performing sectors were Utilities (19.8%), Consumer Staples (29.6%), and Real Estate (34.3%).
The Mercer US Large Cap Equity Fund outperformed the Russell 1000® Index for the period, with the growth-oriented managers, Brandywine, OSAM, and Jennison outperforming, and the two higher quality managers, Polen and Macquarie lagging. At the total Fund level, exposure to more cyclical areas like materials and financials were strong tailwinds, while, holdings in communication services and health care detracted from performance.
Over the one year period Jennison outperformed the Russell 1000® Growth Index with strong returns from higher growth stocks acting as a tailwind. Performance from consumer names, particularly a holding in Tesla, which rose 537% during the period benefitted the Fund. Holdings in technology were also positive, especially software and IT service names like Shopify, Twilo, Adyen, and Crowdstrike, which all benefitted from COVID related stay at home trends. Detracting from relative results were holdings in media and entertainment.
For the one year ended March 31, 2021, the Polen Focus Growth strategy trailed the Russell 1000® Growth Index return of 62.7%. Polen’s focus on higher quality businesses was a headwind, as higher growth and higher valuation stocks with strong stay at home tailwinds were in favor. Many investors appeared to prefer more pro-cyclical stocks toward the end of the period and rotated away from those stocks that performed well in the second and third quarters of 2020. In addition, lack of exposure to two large index names, Tesla and Apple were large detractors. On the positive side, holdings in health care, particularly Align Technology, along with holdings in Facebook and Alphabet contributed to returns.
Macquarie underperformed the Russell 1000® Value Index over the Fund’s fiscal year. The majority of Macquarie’s underperformance came in the last two quarters when lower quality cyclical businesses rallied, which was a headwind to their higher quality portfolio. Holdings in industrials were the largest detractors, as defense contractors Northrop Grumman and Raytheon failed to keep up with more economically sensitive businesses, like construction, airlines, and machinery manufacturers. Holdings in health care, particularly Viatris, and communication services also lagged. On the positive side, holdings in utilities and food and agricultural products contributed.
OSAM outperformed its benchmark for the period, with the majority of its outperformance coming during the last two quarters of the Fund’s fiscal year. Up until November, the strategy was roughly flat to the index, with quality measures within OSAM’s process contributing to, and valuation detracting from, performance. Starting in November, OSAM’s focus on shareholder yield, the three ways in which a company can distribute cash to
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shareholders: cash dividends, stock repurchases and debt reduction, led them into more cyclical areas of the market, including financials, industrials, and materials, benefitting performance. The strategy is also underweight mega cap stocks, which hurt the Fund during the first two quarters and helped the Fund in the last two quarters of the fiscal year.
Brandywine outperformed its benchmark for the period driven by strong results during the risk-on rally of the last two quarters of the fiscal year. Exposure to cheaper, more cyclical companies was a tailwind, particularly within banks, materials, and autos, which would directly benefit from the economy fully reopening. Holdings in semiconductor manufacturers Marvell and Micron were also large contributors, both more than doubling over the period. Detracting from results slightly was positioning within energy, as a holding in BP lagged peers.
Parametric utilizes exchange-traded futures replicating the Fund’s benchmark, aiming to provide broad, passive, equity market exposure to the Fund’s liquidity sleeve, and seeking to create positive returns on assets that would have otherwise been earning cash or cash equivalent returns. Performance differences versus the benchmark are largely a result of cash flow effects related to daily subscription/redemption activity and through financing costs of futures relative to interest earned on cash.
Risk Considerations
The Fund invests in both growth stocks and value stocks. Growth stocks may be particularly sensitive to market conditions. Investing in value stocks involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts, which may cause the Fund to experience greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify the risk of loss for the Fund. The Fund may experience high portfolio turnover which may result in higher transaction costs and capital gains.
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Mercer US Large Cap Equity Fund
March 31, 2021
Comparison of Change in Value of a $10,000 Investment in
Mercer US Large Cap Equity Shares vs. the
Russell 1000® Index
As of March 31, 2021
This graph shows the performance of the Mercer US Large Cap Equity Fund Class Y-3 shares versus the Russell 1000® Index from April 1, 2011 through March 31, 2021. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Mercer US Small/Mid Cap Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500® Index.
Investment Strategy
The Fund invests principally in equity securities issued by small-to-medium capitalization U.S. companies. The Fund employs a “core equity” investment strategy by investing in both growth and value oriented equity securities. The Fund may invest in derivative instruments to gain market exposure on cash balances or to reduce market exposure in anticipation of liquidity needs.
Performance
For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 84.20% compared to its benchmark, the Russell 2500® Index, return of 89.40%. Performance for the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2021, the Fund employed six sub-advisors: Westfield Capital Management Company (Westfield), GW&K Investment Management LLC (GW&K), Loomis, Sayles & Company, LP (Loomis), LSV Asset Management (LSV), River Road Asset Management (River Road) and Parametric Portfolio Associates LLC (Parametric).
Westfield, a traditional growth manager, employs a fundamental, bottom-up approach, which seeks to identify reasonably priced stocks with high earnings growth potential. A bottom-up approach focuses on the analysis of individual stocks and de-emphasizes the significance of macroeconomic and market cycles with the assumption individual companies can do well even in an industry that is not performing, at least on a relative basis.
GW&K uses a bottom-up fundamental research process in order to identify high quality companies with sustainable long-term earnings growth rates.
Loomis looks to provide a lower volatility approach to high growth investing by seeking companies with high quality business models that have differentiated and sustainable growth opportunities.
LSV, a quantitative value manager, using mathematical and statistical methods, seeks deep value, out-of-favor companies with recent momentum. LSV avoids introducing any judgmental biases or behavioral weaknesses into their investment process.
River Road, a fundamental absolute value manager, seeks to buy stocks at a discount to their fair value and sell them at or in excess of that value, and focuses on purchasing companies that are priced at a modest discount to their absolute value and possess superior fundamental business characteristics.
Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the 12-month-period ended March 31, 2021, the U.S. equity market, as measured by the Russell 3000® Index, was up 62.53% due to the anticipated outlook of a return to normalcy coupled with the distribution of millions of vaccines along with the backdrop of accommodative monetary policy and large fiscal spending packages.
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Mercer US Small/Mid Cap Equity Fund
The start of the fiscal year 2020 was like no other in recent memory, with the global pandemic forcing large parts of our society to shelter in place, disrupting business activity, and sending millions to work from home. During this period, consumer and corporate spending habits were altered and/or shifted, which sent the economy from thriving to being shuttered in a matter of weeks. But there were patches of strength. Companies in cloud computing, video conferencing, e-commerce, and digital entertainment flourished as people did more and spent more money online. After the initial shock, unprecedented monetary and fiscal response provided liquidity and support to every day Americans through direct payments, and financial markets through quantitative easing, paving the way to recovery.
In the fourth quarter of 2020, the announcements of the Moderna and Pfizer vaccine, along with optimism surrounding the results of the U.S. election sent equity markets higher, as investors started to price in a reopening of the economy in 2021. These events were the catalysts for a new “reopening trade” which saw a rally in cyclical stocks, including financials, industrials, materials, and energy which would benefit most from a reopening of the economy. By several measures 2020 represented one of the most volatile periods in history for U.S. stock prices. The year was characterized by frequent, large, daily price swings in both directions and implied volatility remained elevated throughout. As we moved into 2021, equity markets continued to climb higher, as inflation expectations climbed, and rates rose, adding further momentum to cyclicals, and the selling of growth stocks. Alongside this trend, investor optimism and the continued monetary and fiscal stimulus created pockets of speculation and froth as outlined by the booming SPAC IPO market, price action in cannabis stocks, cryptocurrency derivatives, and the online forums contributing to volatility in stocks like Game Stop and AMC.
Looking forward, the outlook for the domestic economy is bullish. The expectation is that leading indicators will remain strong on the back of the reopening activity and extensive consumer spending as a result of employment, stimulus and savings.
Within the Russell 2500® Index, the Fund’s benchmark, the best performing sectors for the fiscal year were Consumer Discretionary and Energy with returns of 159.97% and 154.52%, respectively. Underperforming sectors for the fiscal year were utilities and real estate, with returns of 21.00% and 48.79%, respectively. The top performing industries for the fiscal year were specialty retail and internet & direct marketing retail with returns of 274.75% and 232.14%, respectively. The underperforming industries for the fiscal year were water utilities and electric utilities with returns of 10.49% and 18.75%, respectively.
The Mercer US Small/Mid Cap Equity Fund underperformed the Russell 2500® Index for the period. The Fund’s exposure to quality and size from a market capitalization standpoint as well as its lower beta profile were headwinds towards performance for the year despite its exposure to value from a style perspective. Security selection, particularly in the health care, consumer discretionary and industrials sectors detracted from performance while selection in the Financials Sector contributed towards performance for the fiscal year. From an allocation standpoint, the Fund’s underweight positions in the utilities, real estate and Financials Sectors coupled with its overweight positions in the consumer discretionary and industrials sectors contributed towards performance while the Fund’s underweight to the energy and materials sectors detracted from performance.
Westfield outperformed the Russell 2500® Growth Index for the fiscal year. The relative outperformance was driven by positive stock specific returns, which offset a factor headwind during the period. The most significant factor headwind during the period was the portfolio’s underweight to volatility, which was partially offset by the portfolio’s underweight to momentum and overweight to growth and value. Stock specific relative strength within consumer discretionary and financials was additive to performance for the fiscal year. In addition, Westfield’s overweight to the industrials sector combined with an underweight to the utilities, consumer staples, materials, information technology and health care sectors contributed towards performance.
Loomis’ exposure to high quality growth coupled with their size exposure from a market capitalization standpoint were headwinds towards performance versus the Russell 2500® Growth Index. In addition, despite
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Mercer US Small/Mid Cap Equity Fund
strong security selection in the financials and consumer staples sectors their selection in the information technology, consumer discretionary, industrials and communication services sectors weighed on performance for the fiscal year.
GW&K‘s underperformance was attributed to its exposure to higher quality and size from a market capitalization standpoint. In addition, despite their strong security selection in the financials and information technology sectors, their selection in the industrials, consumer discretionary, real estate and health care sectors detracted from their performance for the fiscal year.
LSV’s outperformance versus the Russell 2500® Value Index for the period was driven by its deep value style being in favor, which is evident with its security selection in multiple sectors to include financials, industrials, consumer discretionary, communication services, information technology and utilities, all contributing towards performance.
River Road’s underperformance versus the Russell 2500® Value Index for the period was attributed to negative security selection, primarily in the Financials Sector, and greater exposure to high quality and low beta securities.
Parametric utilizes exchange-traded futures replicating the Fund’s benchmark to provide broad, passive, equity market exposure to the Fund’s liquidity sleeve, creating positive returns on assets that would have otherwise been earning cash or cash equivalent returns. Performance differences versus the benchmark are largely a result of cash flow effects related to daily subscription/redemption activity and through financing costs of futures relative to interest earned on cash.
Risk Considerations
The Fund invests in both growth stocks and value stocks. Growth stocks may be particularly sensitive to market conditions. Investing in value stocks involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts, which may cause the Fund to experience greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify the risk of loss for the Fund. The Fund may experience high portfolio turnover which may result in higher transaction costs and capital gains.
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Mercer US Small/Mid Cap Equity Fund
March 31, 2021
Comparison of Change in Value of a $10,000 Investment in
Mercer US Small/Mid Cap Equity Shares vs. the
Russell 2500® Index
As of March 31, 2021
This graph shows the performance of the Mercer US Small/Mid Cap Equity Fund Class Y-3 shares versus the Russell 2500® Index from April 1, 2011 through March 31, 2021. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Mercer Non-US Core Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI EAFE® Index.
Investment Strategy
The Fund invests principally in equity securities issued by non-U.S. companies of any capitalization, located in the world’s developed and emerging capital markets. The Fund employs a “core equity” investment strategy that seeks to meet the Fund’s investment objective by investing in both growth- and value-oriented equity securities.
Performance
For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 51.42% compared to its benchmark return of 44.57%. Performance for the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2021, the Fund employed five sub-advisors: Arrowstreet Capital, Limited Partnership (Arrowstreet), American Century Investment Management, Inc. (American Century), MFS Investment Management (MFS), LSV Asset Management (LSV) and Parametric Portfolio Associates LLC (Parametric).
Arrowstreet’s strategy seeks to outperform international equity benchmarks through a risk-controlled core approach. Arrowstreet combines sound investment intuition and research with rigorous quantitative tools to identify mispriced stocks around the world. Arrowstreet believes that the key to generating return in excess of the benchmark involves evaluating the prospects of a security considering both the characteristics of the stock itself (direct effects) as well as the characteristics of other related stocks (indirect effects).
American Century manages its portfolio based on an investment philosophy that companies exhibiting improving or accelerating growth will outperform the market over time. American Century constructs its portfolio through a bottom-up stock selection, which focuses on individual stock selection rather than macroeconomic and market cycles, within a risk aware framework. American Century’s thorough research process seeks to identify companies that are exhibiting an improvement or acceleration in growth where it believes that growth is sustainable but that the earnings power of the company is generally underestimated. American Century can opportunistically invest in emerging market stocks.
MFS’s investment process is based on a fundamental, bottom-up stock selection of high quality companies whose long-term value MFS believes is not adequately reflected in the stock price.
LSV utilizes a quantitative approach, which uses mathematical and statistical methods and seeks deep value stocks that have fallen out of favor with the market, but have recent momentum, either in terms of price or earnings. LSV believes that long-term results are achieved through systematic exploitation of judgmental biases and behavioral weaknesses that influence investor decisions. LSV aims to exploit these biases through the disciplined application of quantitative techniques to drive bottom-up security selection.
Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
After last year’s deep market sell-off that bottomed in March, global equity markets rallied strongly, reaching and surpassing pre-pandemic levels. Thus, MSCI World® Index rose by 54.03% during the 12-month period
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Mercer Non-US Core Equity Fund
ended March 31, 2021. U.S. equities — measured using the Russell 1000® Index — increased by 60.59% for the fiscal year. Compared to the U.S., international developed markets lagged, with the MSCI EAFE® Index (the Fund’s benchmark) returning 44.57% over the period. The MSCI Emerging Markets® Index returned 58.39% for the 12-month period ended March 31, 2021.
The global economy and the behavior of stock markets during the 2020 fiscal year were defined by the COVID-19 pandemic and worldwide efforts to manage the effects of the health crises. By March of last year, the virus outbreak had quickly turned into an economic shock as governments across the globe enacted containment and shutdown policies. Uncertainty over the duration and deepness of the economic collapse led to plunge in equity markets, rise in credit spreads and flight to the safety of government bonds. Unemployment spiked as companies furloughed and laid off staff; firms reduced their earnings guidance for the year or withdrew it completely. By the end of March, in order to soften the economic impact of the virus and the associated business disruptions, central banks and governments worldwide announced and shortly afterwards enacted a series of rescue packages. This unprecedented global government support became the catalyst for easing of financial conditions and stock market recovery, leading global indices to reach their pre-pandemic levels by November of 2020.
Beneath the surface, there was substantial divergence in performance of different sectors. Until November, stocks in Technology, Consumer Discretionary and Biotechnology sectors, so-called “stay-at-home” businesses, whose earnings accelerated during the pandemic, had outperformed substantially. At the same time cyclical stocks representing businesses that suffered from the economic shut-down lagged. After November, positive news on vaccine development and more clarity after the U.S. Presidential elections, led to a rotation in the markets: the so-called “re-opening” stocks, cyclical businesses in sectors such as Energy, Materials and Industrials began to outperform. Additionally, a rise and steepening of the yield curves helped with performance for Financials. Sectors that lagged throughout the recovery have been defensives such as Consumer Staples and Utilities, which is not uncommon for rapidly rising markets.
The recovery was also uneven across countries. In Emerging markets, Taiwan and South Korea, major producers of semiconductors, performed exceptionally well. India also had a strong recovery. In China where the virus was first identified, a series of strict lockdowns helped control the virus early in the year, putting the country on a quicker road to recovery during 2020. However, Chinese equities started to lag due to fears of tightening monetary policy in the country to avoid inflationary pressures. For the fiscal year Chinese equities ended up lagging the overall Emerging market benchmark. In Developed ex U.S. markets, Northern European countries showed strong recovery while equity markets in Japan, United Kingdom and Spain underperformed the MSCI World® Index.
For the fiscal year, in both in Developed and Emerging markets, Consumer Discretionary, Information Technology and Materials were the best performing sectors while Consumer Staples and Utilities were the worst performers. Small and mid-market capitalization and higher beta stocks outperformed, while defensive stocks lagged.
Arrowstreet outperformed the Fund’s benchmark by 13.85%. Outperformance came from all sectors except for Financials. Strong security selection within Materials, Consumer Discretionary, Financials, Energy and Health Care as well as allocation decisions such as being underweight lower beta Consumer Staples and Health Care and being overweight Information Technology and Materials were among largest contributors to the outperformance. Arrowstreet’s tilt towards lower market capitalization stocks was also positive. The largest contributions to returns came from underweight positions to Nestle and overweight positions to BHP group, Volkswagen and Nexans. On the other hand, underweights to Siemens, Infineon Technologies and overweights to Astrazeneca and Canon were the largest detractors.
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Mercer Non-US Core Equity Fund
American Century outperformed the Fund’s benchmark by 19.1%. During most of the 2020 calendar year markets favored businesses with accelerating revenue and earnings growth characteristics, which was a strong tailwind for American Century’s performance. Except for Materials and Financials, investments in all other sectors contributed to outperformance with both asset allocation and security selection contributing roughly equally to returns. Being overweight Information Technology and Consumer Discretionary sectors as well as underweight the lower beta Consumer Staples and Health Care sectors added most to positive asset allocations returns. Investments in Information Technology, Industrials and Consumer Discretionary showed the largest gains from security selection. The largest contributions to returns came from overweight positions to Adyen, Asos, Infineon Technologies and Techtronic Industries. On the other hand, overweight to Zur Rose Group, Safran and Fanuc as well as underweight to Zurich Insurance Group were the largest detractors.
MFS underperformed the Fund’s benchmark by 5.95%. MFS’ process of investing in profitable, stable companies with sustainable earnings and low leverage led to strong returns during the market sell-off at the beginning of the 2020 calendar year and market rebound afterwards. However, starting from November 2020, as markets strongly favored more cyclical higher beta stocks, MFS experienced significant underperformance and ended the fiscal year lagging its benchmark. Having lower beta was the largest detractor. Investments in Information Technology was the largest positive contributor stemming both from an overweight to the sector as well as strong security selection. Being underweight Energy, Utilities and Health Care sectors was also positive. The biggest detractor was an overweight to Consumer Staples, followed by weak security selection in Materials, Industrials and Health Care. The largest contributions to returns came from overweight positions to Taiwan Semiconductor, Cadence Design Systems, Schneider Electric se and Samsung Electronics ltd. On the other hand, overweights to Kao corp, Nestle, Santen Pharmaceutical, and Toyo Suisan Kaisha ltd were the largest detractors.
LSV outperformed the Fund’s benchmark by 7.05%. During the market sell-off at the beginning of 2020, the deep value stocks that LSV invests in, were most hard hit. This style of investing continued to lag until November of 2020. Cyclical sector rebound after November was a major tailwind for LSV, helping it produce solid returns for the year. Investing in higher beta and smaller market capitalization stocks and being overweight value stocks were major contributors to returns later in the period. The outperformance came across all sectors, except for Health Care and Communication Services. the largest contributors were strong security selection in Consumer Discretionary, Financials and Information Technology as well as underweight exposure to Consumer Staples. The largest contributions to returns came from overweight positions Fortescue Metals group, Xinyi Glass holdings, Signify and Kia Motors. On the other hand, overweight to Glaxosmithkline, KDDI, Nippon Telegraph & Telephone and Roche Holdings were largest detractors.
Parametric utilizes exchange-traded futures replicating the Fund’s benchmark, aiming to provide broad, passive, equity market exposure to the Fund’s liquidity sleeve, and seeking to create positive returns on assets that would have otherwise been earning cash or cash equivalent returns. Performance differences versus the benchmark are largely a result of cash flow effects related to daily subscription/redemption activity and through financing costs of futures relative to interest earned on cash.
Risk Considerations
The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts, which may cause the Fund to experience greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify the risk of loss for the Fund. The Fund may experience high portfolio turnover which may result in higher transaction costs and capital gains.
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Mercer Non-US Core Equity Fund
March 31, 2021
Comparison of Change in Value of a $10,000 Investment in
Mercer Non-US Core Equity Shares vs. the
MSCI EAFE Index®
As of March 31, 2021
This graph shows the performance of the Mercer Non-US Core Equity Fund Class Y-3 shares versus the MSCI EAFE Index® from April 1, 2011 through March 31, 2021. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Table of Contents
Mercer Core Fixed Income Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide total return, consisting of both current income and capital appreciation. The benchmark for the Fund is the Bloomberg Barclays U.S. Aggregate Bond™ Index.
Investment Strategy
The Fund invests principally in investment grade fixed income securities, including government securities, corporate bonds and securitized bonds, such as mortgage and asset-backed securities. The Fund may also invest in non-investment grade bonds (sometimes called high yield or junk bonds), non-U.S. dollar denominated bonds, and bonds issued by issuers located in emerging capital markets. The Fund may also invest in certain derivative instruments, such as options, futures, and swap agreements. The Fund may engage in transactions in derivatives for a variety of purposes, including changing the investment characteristics of its portfolio, enhancing total returns or as a substitute for taking a position in an underlying asset.
Performance
For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 4.23% compared to its benchmark return of 0.71%. Performance for the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2021, the Fund employed three sub-advisors: Manulife Asset Management (Manulife), Income Research & Management (IR&M) and PGIM Fixed Income, a business unit of PGIM, Inc. (Prudential).
Manulife manages its allocated portion of the Fund by seeking to produce superior results by anticipating shifts in the business cycle and moderating risk relative to the direction of interest rates. The investment team capitalizes on these shifts by using a research-driven process to identify attractive sectors as well as mispriced securities within those sectors.
IR&M manages its allocated portion of the Fund based on the belief that careful security selection and higher portfolio income provide superior returns over the long term. Portfolios are constructed using a disciplined, bottom-up investment approach to select attractive securities from the U.S. fixed income universe. A bottom-up approach focuses on the analysis of individual stocks and de-emphasizes the significance of macroeconomic and market cycles with the assumption individual companies can do well even in an industry that is not performing, at least on a relative basis.
Prudential manages its allocated portion of the Fund by seeking to maximize excess return opportunities from sustainable alpha sources, such as sector allocation and bottom-up security selection. This process is coupled with a diligent daily portfolio risk evaluation and monitoring process. Research-based security selection is a major source of added value and incorporates both fundamental analysis, by measuring a security’s intrinsic value to determine if undervalued or overvalued, as well as proprietary models, by using software and other means of analysis to gain a competitive edge, which identify relative value and detailed technical review of issuers across both benchmark and non-benchmark sectors, with an emphasis on credit-oriented sectors.
Market Commentary and Fund Performance
For the 12-month period ended March 31, 2021, U.S. fixed income market returns, as measured by the Bloomberg Barclay U.S. Aggregate Bond™ Index, were positive, despite the turbulence across U.S. and global markets experienced during the period. Throughout 2020, the Federal Reserve (“Fed”) continued to anchor
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Mercer Core Fixed Income Fund
front-end rates and maintained an accommodative stance to provide liquidity to the markets. The Fed’s participation in the markets, including direct purchases of corporate bonds, improved market sentiment and led to a historic pace of spread tightening following the dislocations earlier in 2020. Vaccine progress, fiscal stimulus and expectations of a strong recovery in 2021 led spreads to tighten to levels at or through their pre-COVID levels. Investment grade credit spreads ended the period at 86 basis points (0.86%), recovering from their March 2020 level of 255 basis points (2.55%). Rates remained anchored at the front end with the Fed Funds target rate remaining at 0-25 basis points (0.00-0.25%) throughout the period, however, markets drove rates higher on the curve, reflecting expectations of [higher] inflation and economic improvement. The 10-year Treasury ended the period at a rate of 1.74%, 107 basis points higher than its March 2020 level of 0.67%.
The Fund’s return was positive in relative terms as it outperformed in relation to the Bloomberg Barclays U.S. Aggregate Bond™ Index for the fiscal year ended March 31, 2021. The majority of outperformance was due to the Fund’s strategic overweight to spread sectors, as these markets retraced losses from the first quarter of 2020.
The respective performance results of each Sub-advisor was in line with expectations based on risk posture. Manulife has the largest share of the risk-allocation within the Fund. Manulife’s bias towards corporate credit and allocation to “higher quality” high yield bonds led the manager to outperform for the fiscal year.
Prudential had a marginally less aggressive allocation to spread sectors relative to Manulife, but was still overweight relative to the Fund’s benchmark. The majority of outperformance relative to the benchmark was due to their continued overweight allocations to securitized sectors such as CLOs and CMBS. An underweight allocation to Treasuries also contributed positively to the Fund’s returns; however, a slight extended duration posture provided an incremental headwind to performance as rates rose sharply out the curve.
IR&M also outperformed the Fund’s benchmark over the trailing 12-month period. The bias towards higher quality corporate bonds as well as their tactical rotation of spread exposure led them to outperform. Their slightly lower risk posture coming into the fiscal year allowed them to deploy more capital into market dislocations which benefited their overall performance as spreads tightened at a historic pace.
Risk Considerations
The Fund is subject to the risks that the underlying bonds in its portfolio are subject to, including credit, prepayment, call and interest rate risk. As interest rates rise, the value of bond prices will decline. The Fund may invest in foreign securities, which may expose the Fund to currency and exchange rate fluctuations, derivatives (such as futures, options, or swaps) and high yield bonds (also known as “junk” bonds). These investments may cause the Fund to experience greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify the risk of loss for the Fund. The Fund may also experience high portfolio turnover, which may result in higher transaction costs and capital gains.
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Mercer Core Fixed Income Fund
March 31, 2021
Comparison of Change in Value of a $10,000 Investment in
Mercer Core Fixed Income Shares vs. the
Bloomberg Barclays U.S. Aggregate Bond™ Index
As of March 31, 2021
This graph shows the performance of the Mercer Core Fixed Income Fund Class Y-3 shares versus the Bloomberg Barclays U.S. Aggregate Bond™ Index from April 1, 2011 through March 31, 2021. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Table of Contents
Mercer Opportunistic Fixed Income Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The Fund’s primary benchmark is the ICE Bank of America Merrill Lynch Global High Yield 2% Constrained Index Unhedged. The Fund’s secondary benchmark is a blended benchmark consisting of 35% Bloomberg Barclays Global Aggregate Corporate Hedged Index, 17.5% Bloomberg Barclays Global High Yield Index, 10.5% JP Morgan CEMBI Diversified Index, 7% S&P/LSTA Leveraged Loan Index, and 30% JP Morgan GBI-EM Diversified Index1.
Investment Strategy
The Fund invests principally in fixed income securities of U.S. and non-U.S. issuers, including those in emerging and frontier markets. The Fund invests in various strategic and tactical global bond market opportunities without limitations in geography, issuer type, quality and currency denomination. The Fund may invest in derivatives such as futures (including among others, interest rate futures), swaps (currency, interest rate, credit default and total return), forwards, options, and credit-linked notes. The Fund may engage in transactions in derivatives for a variety of purposes, including hedging, risk management, efficient portfolio management, enhance total returns, or as a substitute for taking position in the underlying asset.
Performance
For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 17.12% compared to its primary benchmark return of 25.54% and secondary benchmark return of 14.68%, Performance of the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2021, the Fund employed four sub-advisors and a sub-subadvisor, Western Asset Management Company and Western Asset Management Company Limited (as sub-subadvisor) (together referred to as WAMCO), Loomis, Sayles & Company, LP (Loomis), BlackRock International Limited (BlackRock), and Colchester Global Investors Limited (Colchester).
In managing its allocated portion of the Fund’s portfolio, Loomis invests in debt of issuers globally. Loomis produces country and credit cycle views as inputs to portfolio construction. Security selection is then carried out by a team of credit analysts who maintain a comprehensive database of internal ratings. The team will also engage in active duration positioning although security and sector selection are identified as main drivers of performance.
In managing its allocated portion of the Fund’s portfolio, WAMCO invests in credit securities across sectors and geographies. The strategy focuses on global valuations in credit and volatility conditions. The strategy seeks a blend of income and capital appreciation by dynamically rotating across sectors such as global corporates, emerging markets, and structured credit, and tactically managing overall portfolio duration.
In managing its allocated portion of the Fund’s portfolio, Colchester invests in sovereign debt issued by emerging market borrowers and those denominated in local emerging market currencies. Colchester’s portfolio construction process is based on a quantitative model, using mathematical and statistical methods, that promotes allocation to countries and currencies identified based on attractive real yields and sound financial characteristics.
1 | Effective April 2020. Prior to April 2020, the Fund’s secondary benchmark was a blended benchmark consisting of 50% JP Morgan Government Bond Index - Emerging Markets Global Diversified and 50% Bank of America Merrill Lynch Global High Yield 2% Constrained Index Unhedged, and its tertiary benchmark was a blended benchmark consisting of 20% Bloomberg Barclays Global Aggregate Corporate Hedged Index, 10% Bloomberg Barclays Global High Yield Index, 6% JP Morgan CEMBI Diversified Index, 4% S&P/LSTA Leveraged Loan Index, 30% US 3 Month T-Bill Index and 30% JP Morgan GBI-EM Diversified Index. |
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Mercer Opportunistic Fixed Income Fund
In managing its allocated portion of the Fund’s portfolio, BlackRock invests in emerging market debt securities denominated in local currency. BlackRock’s portfolio construction process implements a top down philosophy focused on identifying economic or market themes that impact asset prices. The themes inform the team’s market views and portfolios are positioned to benefit from directional moves in the market.
Market Commentary and Fund Performance
For the 12-month period ended March 31, 2021, U.S. fixed income market returns, as measured by the Bloomberg Barclay U.S. Aggregate Bond™ Index, were positive, despite the turbulence across U.S. and global markets experienced during the period. Throughout 2020, the Federal Reserve (“Fed”) continued to anchor front-end rates and maintained an accommodative stance to provide liquidity to the markets. The Fed’s participation in the markets, including direct purchases of corporate bonds, which improved market sentiment and led to a historic pace of spread tightening following the dislocations earlier in 2020. Vaccine progress, fiscal stimulus and expectations of a strong recovery in 2021 led spreads to tighten to levels at or through their pre-COVID levels. Investment grade credit spreads ended the period at 86 bps recovering from their March 2020 level of 255 basis points (2.55%). Lower quality spread sectors saw similar pullback in spreads with U.S. corporate high yield spreads ending the period at 310 basis points (3.10%) from their March 2020 level of 880 basis points (8.80%). Rates remained anchored at the front end with the Fed Funds target remaining at 0-25 basis points (0.00-0.25%) throughout the period, however, markets drove rates higher on the curve, reflecting of (higher) inflation and economic improvement. The 10-year Treasury ended the period a rate of 1.74%, 107 basis points higher than its March 2020 level of 0.67%.
The JP Morgan GBI-EM Global Diversified Index of local currency Emerging Market government returned 13.03% in U.S. dollar terms over the 12-month period ending March 2021. The U.S. Dollar shifted from its multi-year bull run acting as a positive tailwind for local currency markets. Local rates also contributed to performance as rate curves across the opportunity set fell. However, U.S. Dollar strength re-emerged in the first quarter of 2021 eroding some of the gains from non-U.S. currency exposure.
During the period, WAMCO and Loomis outperformed their component of the Fund’s secondary benchmark. The managers continued to tactically rotate the portfolios to take advantage of market dislocations. Both managers participated in the new issue market to take advantage of dislocations in higher quality corporate credit coming out of the March 2020 sell off. Throughout the year, both managers have rotated portfolios trimming investment grade holdings in favor of high yield and securitized credit. This tactical rotation led to strong relative and absolute performance over the 12-month period.
During the period, each of Blackrock and Colchester outperformed its component of the Fund’s secondary benchmark, the JP Morgan Global Diversified Emerging Market government bond benchmark, for its strategy. The shifting dollar regime and downward trend in global rates provided an opportunity for both managers to beat the benchmark. Colchester benefited from its longer-term value positions within rates while Blackrock benefited from a dynamic rotation in FX positioning driven by global macro views.
Risk Considerations
The Fund invests in non-investment grade and emerging market fixed income securities which involves certain risks such as higher volatility, currency fluctuation, political and social instability and reduced market liquidity. The Fund is subject to the risks that the underlying bonds in its portfolio are subject to, including credit, prepayment, call and interest rate risk. As interest rates rise, the value of bond prices will decline. The Fund may invest in foreign securities, which may expose the Fund to currency and exchange rate fluctuations, derivatives (such as futures, options and swaps) and high yield bonds (also known as “junk” bonds). These investments may cause the Fund to experience greater volatility and less liquidity. Derivatives may be more sensitive to changes in
market conditions and may amplify the risk of loss for the Fund. The Fund may experience high portfolio turnover which may result in higher transaction costs and capital gains.
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Mercer Opportunistic Fixed Income Fund
March 31, 2021
Comparison of Change in Value of a $10,000 Investment in
Mercer Opportunistic Fixed Income Shares vs. the
ICE Bank of America Merrill Lynch Global High Yield 2% Constrained Index Unhedged, the Fund’s Secondary Index1
As of March 31, 2021
1 | The Fund’s secondary benchmark is a blended benchmark consisting of 35% Bloomberg Barclays Global Aggregate Corporate Hedged Index, 17.5% Bloomberg Barclays Global High Yield Index, 10.5% JP Morgan CEMBI Diversified Index, 7% S&P/LSTA Leveraged Loan Index, and 30% JP Morgan GBI-EM Diversified Index. |
This graph shows the performance of the Mercer Opportunistic Fixed Income Fund Class Y-3 shares versus the ICE Bank of America Merrill Lynch Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index1 from August 21, 2013, which is the inception date of the Fund, through March 31, 2021. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Table of Contents
Mercer Emerging Markets Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI Emerging Markets® Index.
Investment Strategy
The Fund invests principally in equity securities of large, medium and small capitalization companies, located in emerging markets, other investments that are tied economically to emerging markets, as well as in American, European and Global Depositary receipts. Stock index futures and various types of swaps may be used to implement the country selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.
Performance
For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 61.78% compared to its benchmark return of 58.39%. Performance for the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2021, the Fund employed six sub-advisors and one sub-subadvisor: William Blair Investment Management LLC (William Blair), Origin Asset Management LLP (Origin), Grantham, Mayo, Van Otterloo & Co. LLC (GMO), Bennbridge (U.S.) LLC, which utilizes certain personnel of Skerryvore Asset Management LLP (together referred to as Bennbridge/Skerryvore), Schroder Investment Management North America Inc. and Schroder Investment Management North America Limited (as sub-subadvisor) (together, referred to as Schroders) and Parametric Portfolio Associates LLC (Parametric). Each of GMO, Bennbridge/Skerryvore, and Schroders were appointed sub-advisors to the Fund effective March 12, 2021, replacing Dimensional Fund Advisors LP and Mondrian Investment Partners Limited. Copper Rock Capital Partners LLC was terminated as a sub-advisor to the Fund in August 2020.
William Blair has a quality growth philosophy and process focused on finding those companies that can achieve a higher growth rate for a longer period of time than the market expects. William Blair looks for companies with experienced and motivated management teams, unique business models and attractive financial characteristics.
Origin’s portfolio is managed using a quantitative process focused on companies with high and improving cash flow return on investment, selling at discounted valuations of expected future growth versus historical growth and that also display fundamental and price momentum. The portfolio is managed to have a higher tracking error and high active share.
GMO manages a quantitative strategy that combines both top down country and sector models, with bottom up stock selection models. These models combine elements of value, quality, and sentiment to help identify attractively valued countries and assets within those countries to purchase. The process is risk controlled and highly diversified.
Bennbridge/Skerryvore manages a high quality, concentrated equity strategy with an emphasis on preservation of capital, and sustainability of the businesses in which they invest. The strategy is low turnover, and concentrated, roughly 30-60 names.
Schroders manages a dedicated China allocation for the Fund to exploit alpha opportunities within the country. The strategy is a bottom up, fundamental strategy, relying on a team of experienced analysts and PMs to source
and evaluate potential investments. The strategy is based on the belief that investing in quality businesses, with sustainable competitive advantages, and focus on shareholder value, trading at reasonable valuations will outperform over time.
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Mercer Emerging Markets Equity Fund
Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
After last year’s deep market sell-off that bottomed in March, global equity markets rallied strongly, reaching and surpassing pre-pandemic levels. Thus, MSCI World® Index rose by 54.03% during the 12-month period ended March 31, 2021. U.S. equities — measured using the Russell 1000® Index — increased by 60.59% for the fiscal year. Compared to the U.S., international developed markets lagged, with the MSCI EAFE® Index returning 44.57% over the period. The MSCI Emerging Markets® Index (the Fund’s benchmark) returned 58.39% for the 12-month period ended March 31, 2021.
The global economy and the behavior of stock markets during the 2020 fiscal year were defined by the COVID-19 pandemic and worldwide efforts to manage the effects of the health crises. By March of last year, the virus outbreak had quickly turned into an economic shock as governments across the globe enacted containment and shutdown policies. Uncertainty over the duration and deepness of the economic collapse led to a plunge in equity markets, rise in credit spreads and flight to the safety of government bonds. Unemployment spiked as companies furloughed and laid off staff; firms reduced their earnings guidance for the year or withdrew it completely. By the end of March, in order to soften the economic impact of the virus and the associated business disruptions, central banks and governments worldwide announced and shortly afterwards enacted a series of rescue packages. This unprecedented global government support became the catalyst for easing of financial conditions and stock market recovery, leading global indices to reach their pre-pandemic levels by November of 2020.
Beneath the surface, there was substantial divergence in performance of different sectors. Until November, stocks in Technology, Consumer Discretionary and Biotechnology sectors, so-called “stay-at-home” businesses, whose earnings accelerated during the pandemic, had outperformed substantially. At the same time cyclical stocks representing businesses that suffered from the economic shut-down lagged. After November, positive news on vaccine development and more clarity after the U.S. presidential elections, led to a rotation in the markets: the so-called “re-opening” stocks, cyclical businesses in sectors such as Energy, Materials and Industrials began to outperform. Additionally, a rise and steepening of the yield curves helped with performance of for Financials. Sectors that lagged throughout the recovery have been defensives such as Consumer Staples and Utilities, which is not uncommon for rapidly rising markets.
The recovery was also uneven across countries. In Emerging markets, Taiwan and South Korea, major producers of semiconductors, performed exceptionally well. India also had a strong recovery. In China where the virus was first identified, a series of strict lockdowns helped control the virus early in the year, putting the country on a quicker road to recovery during 2020. However, Chinese equities started to lag due to fears of tightening monetary policy in the country to avoid inflationary pressures. For the fiscal year Chinese equities ended up lagging the overall Emerging market benchmark. In Developed ex-U.S. markets, Northern European countries showed strong recovery while equity markets in Japan, the United Kingdom and Spain underperformed the MSCI World® Index.
For the fiscal year, in both in Developed and Emerging markets, Consumer Discretionary, Information Technology and Materials were the best performing sectors while Consumer Staples and Utilities were the worst performers. Small and mid-market capitalization and higher beta stocks outperformed, while defensive stocks lagged.
For the 12-month period ending March 31, 2021, the Mercer Emerging Markets Equity Fund led the MSCI Emerging Markets Equity® Index by 3.5%. The Fund’s outperformance was driven by holdings in Entertainment, Media, and Technology, particularly semiconductors. From a country perspective, holdings in Taiwan, India and China drove the vast majority of outperformance, while Brazil and some developed market holdings detracted.
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Mercer Emerging Markets Equity Fund
The William Blair Emerging Markets strategy outperformed the MSCI Emerging Markets® Index over the trailing 12-month period ending March 31st. The outperformance was driven by positive stock selection within Consumer and Technology names, particularly within China. An underweight allocation to materials detracted slightly, as shares of miners rallied dramatically in the later part of 2020 and early part of 2021. From a geographic perspective, holdings in China, India, and Taiwan were the strongest performers, while an underweight to South Korea, and holdings in South Africa detracted from relative performance.
Origin posted strong absolute returns for the fiscal year, up 57%, but underperformed the MSCI Emerging Markets® index by 1.3%. From a style perspective, the strategy’s higher quality positioning was a headwind, while growth and momentum were positive. Holdings in materials, particularly Chinese Cement, along with consumer discretionary, and health care were the leading detractors. Selection in South Korea, China, and Brazil were also negative on a relative basis. Strong performance within technology, particularly from Taiwanese semiconductors were significant contributors, helping to offset losses.
DFA was terminated in March 2021, but up until their termination had been underperforming the benchmark for the year. DFA underperformed significantly during the early part of 2020, as more cyclical sectors sold off due to the COVID pandemic. Starting late in 2020 and into early 2021, DFA was recovering dramatically as financials, materials, and industrials all bounced back on hopes of an economic reopening and recovery.
Mondrian was also terminated in March 2021 and was underperforming for the period. Exposure to value was a tailwind during the recent cyclical recovery, and holdings in financials, communication service and technology benefitted the strategy for the full year. Detracting from performance was stock selection in health care, consumer names, and in particular a large overweight to consumer staples, which lagged the broader industry.
Each of GMO, Bennbridge/Skerryvore, and Schroders were appointed as sub-advisors on March 12, 2021.
Risk Considerations
The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivatives (such as futures, forwards, options, or swaps), which may cause the Fund to experience greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify the risk of loss for the Fund. The Fund may experience high portfolio turnover which may result in higher transaction costs and capital gains.
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Mercer Emerging Markets Equity Fund
March 31, 2021
Comparison of Change in Value of a $10,000 Investment in
Mercer Emerging Markets Equity Shares vs. the
MSCI Emerging Markets Index®
As of March 31, 2021
This graph shows the performance of the Mercer Emerging Markets Equity Fund Class Y-3 shares versus the MSCI Emerging Markets Index® from May 1, 2012, which is the inception date of the Fund, through March 31, 2021. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Mercer Global Low Volatility Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI World® Index.
Investment Strategy
The Fund invests principally in equity securities of U.S. and foreign issuers, of large, medium and small capitalization companies. Stock index futures and various types of swaps may be used to implement the equity security selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.
Performance
For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 35.29% compared to its benchmark return of 54.03%. Performance for the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2021, the Fund employed five sub-advisors, Acadian Asset Management LLC (Acadian), Martingale Asset Management, LP (Martingale), Wellington Management Company LLP (Wellington), Veritas Asset Management LLC (Veritas) and Parametric Portfolio Associates LLC (Parametric).
Acadian is the Fund’s dedicated minimum variance manager for developed economies outside the U.S.. The strategy applies a quantitative investment process, using mathematical and statistical methods, to the EAFE + Canada universe of securities and emphasizes low-volatility securities, low correlations between securities and a high degree of portfolio diversification with the goal of constructing a portfolio with lower levels of absolute volatility compared to the benchmark. Additionally, the strategy applies Acadian’s stock forecast and top-down alpha model, which measures the active return on an investment for performance as compared with a suitable market index, in order to enhance the returns. The portfolio does not employ tight constraints vs the benchmark across capitalization and/or sectors, enhancing its ability to more effectively manage portfolio volatility.
Martingale is the Fund’s dedicated minimum variance manager for the U.S. region. The strategy uses a systematic process of investing in stocks with lower stock price volatility and attractive fundamental factors such as value, quality and momentum. The portfolio aims to deliver equity-like market returns with lower volatility and less downside risk than the market index. Martingale’s core process includes reconstituting the Russell 1000 Index® into a proprietary “Stability Index”, which Martingale believes more accurately reflects stock risk properties based on longer-term company fundamentals as well as high frequency short-term risk signals. The strategy is managed against the derived Stability Index, which measures the degree of change (or stability) of the market, by applying stock and industry alpha forecasting models and optimizing to minimize the portfolio’s absolute volatility.
Wellington uses a bottom-up stock selection process with a focus on individual companies, rather than the macroeconomic cycles and market cycles, which have a high degree of earnings stability and predictability and that are often overlooked by other investors. Wellington believes that stability of cash flows is undervalued in companies that either do not meet the specific criteria of growth, quality or value investors, or are in areas of the market (small capitalization, certain sectors or geographies) not normally associated with stability.
Veritas uses an unconstrained, fundamentally driven, rigorous research process with a long-term horizon. Veritas believes that companies with sustainable competitive advantage and benefitting from long-term drivers of growth, purchased at attractive valuations, will deliver performance in excess of the benchmark over time. The strategy may hold up to 20% cash.
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Mercer Global Low Volatility Equity Fund
Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
After last year’s deep market sell-off that bottomed in March, global equity markets rallied strongly, reaching and surpassing pre-pandemic levels. Thus, MSCI World® Index (the Fund’s benchmark) rose by 54.03% during the 12-month period ended March 31, 2021. U.S. equities — measured using the Russell 1000 Index — increased by 60.59% for the fiscal year. Compared to the U.S., international developed markets lagged, with the MSCI EAFE® Index returning 44.57% over the period. The MSCI Emerging Markets® Index returned 58.39% for the 12-month period ended March 31, 2021.
The global economy and the behavior of stock markets during the 2020 fiscal year were defined by the COVID-19 pandemic and worldwide efforts to manage the effects of the health crises. By March of last year, the virus outbreak had quickly turned into an economic shock as governments across the globe enacted containment and shutdown policies. Uncertainty over the duration and deepness of the economic collapse led to a plunge in equity markets, rise in credit spreads and flight to the safety of government bonds. Unemployment spiked as companies furloughed and laid off staff; firms reduced their earnings guidance for the year or withdrew it completely. By the end of March, in order to soften the economic impact of the virus and the associated business disruptions, central banks and governments worldwide announced and shortly afterwards enacted a series of rescue packages. This unprecedented global government support became the catalyst for easing of financial conditions and stock market recovery, leading global indices to reach their pre-pandemic levels by November of 2020.
Beneath the surface, there was substantial divergence in performance of different sectors. Until November, stocks in Technology, Consumer Discretionary and Biotechnology sectors, so-called “stay-at-home” businesses, whose earnings accelerated during the pandemic, had outperformed substantially. At the same time cyclical stocks representing businesses that suffered from the economic shut-down lagged. After November, positive news on vaccine development and more clarity after the U.S. presidential elections, led to a rotation in the markets: the so-called “re-opening” stocks, cyclical businesses in sectors such as Energy, Materials and Industrials, began to outperform. Additionally, a rise and steepening of the yield curves helped with performance for Financials. Sectors that lagged throughout the recovery have been defensives such as Consumer Staples and Utilities, which is not uncommon for rapidly rising markets.
The recovery was also uneven across countries. In Emerging markets, Taiwan and South Korea, major producers of semiconductors, performed exceptionally well. India also had a strong recovery. In China where the virus was first identified, a series of strict lockdowns helped control the virus early in the year, putting the country on a quicker road to recovery during 2020. However, Chinese equities started to lag due to fears of tightening monetary policy in the country to avoid inflationary pressures. For the fiscal year, Chinese equities ended up lagging the overall Emerging market benchmark. In Developed ex U.S. markets, Northern European countries showed strong recovery, while equity markets in Japan, the United Kingdom, and Spain underperformed the MSCI World® Index.
For the fiscal year, in both Developed and Emerging markets, Consumer Discretionary, Information Technology and Materials were the best performing sectors while Consumer Staples and Utilities were the worst performers. Small- and mid-market capitalization and higher beta stocks outperformed, while defensive stocks lagged.
Acadian underperformed its benchmark, MSCI World ex U.S.®, by 21.65% with the benchmark returning 45.86% for the period. The market rally that began in April of 2020, favoring companies with accelerating revenue and earnings growth and then cyclical sectors that would benefit from reopening of the economy, left the lower volatility stocks that Acadian invests in, severely lagging. Lower beta was the largest contributor to underperformance. Returns were negative across all sectors except for Energy. An overweight to Consumer Staples and underweight to Financials, Information Technology, Industrials and Consumer Discretionary, as well as weaker security selection in Materials and Communication Services, were the largest contributors to
24
Table of Contents
Mercer Global Low Volatility Equity Fund
underperformance. The largest positive contributions to returns came from overweight positions to Kesko, National Bank of Canada, Lagardere and Norsk Hydro. On the other hand, underweights to ASML Holdings and overweight to Swisscom, Kyorin Holdings and Regis resources ltd were the largest detractors.
Martingale underperformed its benchmark, the Russell 1000®, by 25.68%, with the benchmark returning 60.59%. The market rally during 2020 fiscal year, favored growth companies, and later deeper value cyclical sectors, leaving the defensive lower volatility stocks that Martingale invests in, severely lagging. Lower beta was the largest contributor to underperformance across all sectors. Returns were negative across all sectors. An overweight to Consumer Staples, Health Care and Utilities and an underweight to Consumer Discretionary, Financials and Information Technology, as well as weaker security selection in Health Care, Financials, Communication Services, Industrials, Materials and Information Technology were the largest contributors to underperformance. The largest positive contributions to returns came from underweight positions to Salesforce.com, Microsoft and Berkshire Hathaway and overweight to Target. On the other hand, underweights to Tesla, Apple and overweight to Firstenergy, Cable One and Citrix systems were the largest detractors.
Wellington underperformed its benchmark, the MSCI World Index®, by 12.26%, with the benchmark returning 54.03%. The market rally during the 2020 fiscal year was not favorable towards companies with stable earning characteristics, which Wellington invests in. Investments in Information Technology and Consumer Discretionary were the largest detractors, due to being underweight exposure to these sectors, as well as weak security selection within these sectors. Additionally, being overweight Utilities and REITs, and weak security selection within Utilities, Industrials and Communication Services were also negative contributors to performance. Investments in Consumer Staples and Health Care were positive contributors. The largest positive contributions to returns came from overweight positions to Brenntag, Charles Schwab, Performance Food group and HCA Healthcare. On the other hand, an overweight to Novartis, Fidelity National Info Services, American Tower and Guangdong Investment were the largest detractors.
Veritas underperformed its benchmark, the MSCI World Index®, by 12.69%, with the benchmark returning 54.03%. The market rally during 2020 fiscal year was not favorable towards companies with durably higher quality characteristics, which Veritas invests in. The largest sources of underperformance were weak security selection within Industrials, Health Care, Financials and Consumer Discretionary as well as underweight exposure to Information Technology and Consumer Discretionary. An overweight to Communication Services and underweight to Utilities and REITs were positive contributors to performance. The largest positive contributions to returns came from overweight positions to Alphabet, Airbus, Facebook and Sonic Healthcare. On the other hand, overweight positions in Bae systems, Baxter International, Cigna and Becton Dickinson were the largest detractors.
Parametric utilizes exchange-traded futures to replicate the Fund’s benchmark with beta of 0.8, aiming to provide broad, passive, equity market exposure to the Fund’s liquidity sleeve and seeking to create positive returns on assets that would have otherwise been earning cash or cash equivalent returns. Performance differences versus the benchmark are largely a result of cash flow effects related to daily subscription/redemption activity and through financing costs of futures relative to interest earned on cash.
Risk Considerations
The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivatives (such as futures, forwards, options, or swaps), which may cause the Fund to experience greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify the risk of loss for the Fund. The Fund may experience high portfolio turnover which may result in higher transaction costs and capital gains.
25
Table of Contents
Mercer Global Low Volatility Equity Fund
March 31, 2021
Comparison of Change in Value of a $10,000 Investment in
Mercer Global Low Volatility Equity Shares vs. the
MSCI World Index®
As of March 31, 2021
This graph shows the performance of the Mercer Global Low Volatility Equity Fund Class Y-3 shares versus the MSCI World Index® from November 6, 2012, which is the inception date of the Fund, through March 31, 2021. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
26
Table of Contents
Mercer US Large Cap Equity Fund
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.4% | ||||||||||
Basic Materials — 2.7% | ||||||||||
43,300 | Alcoa Corp.* | 1,406,817 | ||||||||
57,552 | Celanese Corp. Class A | 8,621,865 | ||||||||
18,494 | Dow, Inc. | 1,182,506 | ||||||||
188,123 | DuPont de Nemours, Inc. | 14,538,145 | ||||||||
20,000 | Eastman Chemical Co. | 2,202,400 | ||||||||
96,700 | Huntsman Corp. | 2,787,861 | ||||||||
52,273 | LyondellBasell Industries NV Class A | 5,439,006 | ||||||||
83,200 | Newmont Corp. | 5,014,464 | ||||||||
|
| |||||||||
41,193,064 | ||||||||||
|
| |||||||||
Communications — 21.3% | ||||||||||
1,673 | Airbnb, Inc. Class A* (a) | 314,424 | ||||||||
9,019 | Alphabet, Inc. Class A* | 18,601,868 | ||||||||
16,302 | Alphabet, Inc. Class C* | 33,722,806 | ||||||||
44,842 | Altice USA, Inc. Class A* | 1,458,710 | ||||||||
14,097 | Amazon.com, Inc.* | 43,617,246 | ||||||||
11,030 | Arista Networks, Inc.* | 3,329,847 | ||||||||
244,400 | AT&T, Inc. | 7,397,988 | ||||||||
485 | Booking Holdings, Inc.* | 1,129,972 | ||||||||
8,100 | Charter Communications, Inc. Class A* | 4,997,862 | ||||||||
206,700 | Cisco Systems, Inc. | 10,688,457 | ||||||||
179,694 | Comcast Corp. Class A | 9,723,242 | ||||||||
31,621 | Discovery, Inc. Class A* (a) | 1,374,249 | ||||||||
148,504 | eBay, Inc. | 9,094,385 | ||||||||
157,755 | Facebook, Inc. Class A* | 46,463,580 | ||||||||
98,300 | Juniper Networks, Inc. | 2,489,939 | ||||||||
266,139 | Liberty Global Plc Class C* | 6,797,190 | ||||||||
225,302 | Lumen Technologies, Inc. | 3,007,782 | ||||||||
82,005 | Match Group, Inc.* | 11,265,847 | ||||||||
971 | MercadoLibre, Inc.* | 1,429,448 | ||||||||
53,100 | Motorola Solutions, Inc. | 9,985,455 | ||||||||
42,024 | Netflix, Inc.* | 21,922,240 | ||||||||
26,100 | Omnicom Group, Inc. | 1,935,315 | ||||||||
12,710 | Shopify, Inc. Class A* | 14,063,615 | ||||||||
107,285 | Snap, Inc. Class A* | 5,609,933 | ||||||||
17,659 | Spotify Technology SA* | 4,731,729 | ||||||||
24,400 | T-Mobile US, Inc.* | 3,057,076 | ||||||||
62,129 | Tencent Holdings, Ltd., ADR(a) | 4,957,894 | ||||||||
6,363 | Trade Desk, Inc. (The) Class A* | 4,146,513 | ||||||||
171,941 | Uber Technologies, Inc.* | 9,372,504 | ||||||||
224,830 | Verizon Communications, Inc. | 13,073,864 | ||||||||
56,141 | Walt Disney Co. (The)* | 10,359,137 | ||||||||
|
| |||||||||
320,120,117 | ||||||||||
|
| |||||||||
Consumer, Cyclical — 8.5% | ||||||||||
16,996 | Carvana Co. Class A* (a) | 4,459,750 | ||||||||
2,873 | Chipotle Mexican Grill, Inc. Class A* | 4,082,016 |
See accompanying Notes to the Financial Statements.
27
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Consumer, Cyclical — continued | ||||||||||
13,950 | Costco Wholesale Corp. | 4,917,096 | ||||||||
24,393 | Cummins, Inc. | 6,320,470 | ||||||||
16,558 | Delta Air Lines, Inc.* | 799,420 | ||||||||
84,100 | Dollar Tree, Inc.* | 9,626,086 | ||||||||
15,800 | DR Horton, Inc. | 1,408,096 | ||||||||
123,203 | General Motors Co.* | 7,079,244 | ||||||||
75,775 | Kering SA, ADR | 5,230,748 | ||||||||
55,200 | Lowe’s Cos., Inc. | 10,497,936 | ||||||||
14,670 | Lululemon Athletica, Inc.* | 4,499,436 | ||||||||
51,424 | LVMH Moet Hennessy Louis Vuitton SE, ADR | 6,882,588 | ||||||||
20,130 | Magna International, Inc. | 1,772,245 | ||||||||
116,005 | NIKE, Inc. Class B | 15,415,904 | ||||||||
907 | O’Reilly Automotive, Inc.* | 460,076 | ||||||||
43,338 | Peloton Interactive, Inc. Class A* | 4,872,925 | ||||||||
62,500 | PulteGroup, Inc. | 3,277,500 | ||||||||
106,002 | Starbucks Corp. | 11,582,839 | ||||||||
31,631 | Tesla, Inc.* | 21,127,294 | ||||||||
14,600 | Thor Industries, Inc. | 1,967,204 | ||||||||
4,710 | Ulta Beauty, Inc.* | 1,456,191 | ||||||||
|
| |||||||||
127,735,064 | ||||||||||
|
| |||||||||
Consumer, Non-cyclical — 19.0% | ||||||||||
157,606 | Abbott Laboratories | 18,887,503 | ||||||||
16,500 | AbbVie, Inc. | 1,785,630 | ||||||||
169,405 | Adyen NV, ADR* (a) | 7,577,486 | ||||||||
11,272 | Align Technology, Inc.* | 6,104,126 | ||||||||
184,879 | Altria Group, Inc. | 9,458,410 | ||||||||
2,370 | Amgen, Inc. | 589,680 | ||||||||
179,500 | Archer-Daniels-Midland Co. | 10,231,500 | ||||||||
31,500 | AstraZeneca Plc, ADR(a) | 1,566,180 | ||||||||
13,549 | Biogen, Inc.* | 3,790,333 | ||||||||
39,300 | Bristol-Myers Squibb Co. | 2,481,009 | ||||||||
165,600 | Cardinal Health, Inc. | 10,060,200 | ||||||||
44,900 | Cigna Corp. | 10,854,126 | ||||||||
259,264 | Conagra Brands, Inc. | 9,748,326 | ||||||||
72,473 | CORTEVA, Inc. | 3,378,691 | ||||||||
196,030 | CVS Health Corp. | 14,747,337 | ||||||||
5,470 | DexCom, Inc.* | 1,965,863 | ||||||||
21,058 | Estee Lauder Cos., Inc. (The) Class A | 6,124,719 | ||||||||
49,322 | Gartner, Inc.* | 9,003,731 | ||||||||
3,707 | Gilead Sciences, Inc. | 239,583 | ||||||||
54,500 | GlaxoSmithKline Plc, ADR(a) | 1,945,105 | ||||||||
11,226 | Guardant Health, Inc.* | 1,713,649 | ||||||||
7,490 | HCA Healthcare, Inc. | 1,410,667 | ||||||||
8,518 | Humana, Inc. | 3,571,172 | ||||||||
19,429 | Illumina, Inc.* | 7,461,902 | ||||||||
40,300 | Ingredion, Inc. | 3,623,776 | ||||||||
11,459 | Intuitive Surgical, Inc.* | 8,467,513 | ||||||||
13,600 | Jazz Pharmaceuticals Plc* | 2,235,432 |
See accompanying Notes to the Financial Statements.
28
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Consumer, Non-cyclical — continued | ||||||||||
81,100 | Johnson & Johnson | 13,328,785 | ||||||||
176,115 | Kroger Co. (The) | 6,338,379 | ||||||||
43,549 | McKesson Corp. | 8,493,797 | ||||||||
12,900 | Medtronic Plc | 1,523,877 | ||||||||
118,900 | Merck & Co., Inc. | 9,166,001 | ||||||||
12,974 | Molina Healthcare, Inc.* | 3,032,802 | ||||||||
38,200 | Molson Coors Beverage Co. Class B* | 1,953,930 | ||||||||
158,700 | Mondelez International, Inc. Class A | 9,288,711 | ||||||||
84,986 | PayPal Holdings, Inc.* | 20,638,000 | ||||||||
48,100 | Pfizer, Inc. | 1,742,663 | ||||||||
27,567 | Philip Morris International, Inc. | 2,446,296 | ||||||||
5,542 | S&P Global, Inc. | 1,955,606 | ||||||||
22,630 | Square, Inc. Class A* | 5,138,141 | ||||||||
43,000 | TreeHouse Foods, Inc.* | 2,246,320 | ||||||||
56,520 | Tyson Foods, Inc. Class A | 4,199,436 | ||||||||
27,754 | UnitedHealth Group, Inc. | 10,326,431 | ||||||||
737,117 | Viatris, Inc.* | 10,297,524 | ||||||||
12,000 | Zimmer Biomet Holdings, Inc. | 1,920,960 | ||||||||
88,045 | Zoetis, Inc. | 13,865,327 | ||||||||
|
| |||||||||
286,926,635 | ||||||||||
|
| |||||||||
Energy — 1.8% | ||||||||||
113,428 | BP Plc, ADR | 2,761,972 | ||||||||
107,900 | Canadian Natural Resources, Ltd.(a) | 3,330,873 | ||||||||
41,070 | Chevron Corp. | 4,303,725 | ||||||||
254,080 | ConocoPhillips | 13,458,617 | ||||||||
15,723 | Kinder Morgan, Inc. | 261,788 | ||||||||
117,469 | Williams Cos., Inc. (The) | 2,782,841 | ||||||||
|
| |||||||||
26,899,816 | ||||||||||
|
| |||||||||
Financial — 17.0% | ||||||||||
44,200 | AerCap Holdings NV* | 2,596,308 | ||||||||
26,765 | Allstate Corp. (The) | 3,075,298 | ||||||||
30,317 | Ally Financial, Inc. | 1,370,632 | ||||||||
236,900 | American International Group, Inc. | 10,947,149 | ||||||||
43,984 | Ameriprise Financial, Inc. | 10,224,081 | ||||||||
643,737 | Annaly Capital Management, Inc. REIT | 5,536,138 | ||||||||
683,371 | Banco Santander SA, ADR* | 2,343,963 | ||||||||
295,125 | Bank of America Corp. | 11,418,386 | ||||||||
15,300 | Berkshire Hathaway, Inc. Class B* | 3,908,691 | ||||||||
17,722 | Boston Properties, Inc. REIT | 1,794,530 | ||||||||
172,648 | Citigroup, Inc. | 12,560,142 | ||||||||
95,070 | Citizens Financial Group, Inc. | 4,197,340 | ||||||||
35,900 | Comerica, Inc. | 2,575,466 | ||||||||
114,723 | Discover Financial Services | 10,897,538 | ||||||||
36,432 | Equitable Holdings, Inc. | 1,188,412 | ||||||||
42,800 | Equity Commonwealth REIT | 1,189,840 | ||||||||
150,400 | Equity Residential REIT | 10,773,152 | ||||||||
29,630 | Essent Group, Ltd. | 1,407,129 |
See accompanying Notes to the Financial Statements.
29
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Financial — continued | ||||||||||
24,765 | Essex Property Trust, Inc. REIT | 6,732,118 | ||||||||
109,547 | Fifth Third Bancorp | 4,102,535 | ||||||||
105,356 | Host Hotels & Resorts, Inc. REIT* | 1,775,249 | ||||||||
47,102 | JPMorgan Chase & Co. | 7,170,337 | ||||||||
38,060 | KKR & Co., Inc. | 1,859,231 | ||||||||
4,031 | M&T Bank Corp. | 611,140 | ||||||||
64,212 | Mastercard, Inc. Class A | 22,862,683 | ||||||||
287,658 | MetLife, Inc. | 17,486,730 | ||||||||
91,451 | Morgan Stanley | 7,102,085 | ||||||||
14,261 | PNC Financial Services Group, Inc. (The) | 2,501,522 | ||||||||
37,300 | Popular, Inc. | 2,622,936 | ||||||||
3,066 | Progressive Corp. (The) | 293,140 | ||||||||
16,717 | Prudential Financial, Inc. | 1,522,919 | ||||||||
103,503 | Regions Financial Corp. | 2,138,372 | ||||||||
26,100 | Ryman Hospitality Properties, Inc. REIT* | 2,023,011 | ||||||||
21,335 | Simon Property Group, Inc. REIT | 2,427,283 | ||||||||
153,130 | SLM Corp. | 2,751,746 | ||||||||
31,646 | State Street Corp. | 2,658,580 | ||||||||
198,593 | Synchrony Financial | 8,074,791 | ||||||||
188,300 | Truist Financial Corp. | 10,981,656 | ||||||||
418,570 | Two Harbors Investment Corp. REIT | 3,068,118 | ||||||||
189,665 | US Bancorp | 10,490,371 | ||||||||
10,438 | Ventas, Inc. REIT | 556,763 | ||||||||
111,999 | Visa, Inc. Class A | 23,713,548 | ||||||||
19,952 | Vornado Realty Trust REIT | 905,621 | ||||||||
190,100 | Wells Fargo & Co. | 7,427,207 | ||||||||
169,718 | Western Union Co. (The) | 4,185,246 | ||||||||
|
| |||||||||
256,049,133 | ||||||||||
|
| |||||||||
Industrial — 5.7% | ||||||||||
457,847 | Amcor Plc | 5,347,653 | ||||||||
50,183 | Caterpillar, Inc. | 11,635,932 | ||||||||
9,200 | Chart Industries, Inc.* | 1,309,620 | ||||||||
21,700 | Crown Holdings, Inc. | 2,105,768 | ||||||||
11,941 | Eaton Corp. Plc | 1,651,202 | ||||||||
7,500 | FedEx Corp. | 2,130,300 | ||||||||
43,599 | Honeywell International, Inc. | 9,464,035 | ||||||||
36,114 | Howmet Aerospace, Inc.* | 1,160,343 | ||||||||
125,906 | Johnson Controls International Plc | 7,512,811 | ||||||||
17,701 | Keysight Technologies, Inc.* | 2,538,323 | ||||||||
13,796 | L3Harris Technologies, Inc. | 2,796,173 | ||||||||
66,413 | Masco Corp. | 3,978,139 | ||||||||
29,500 | Northrop Grumman Corp. | 9,547,380 | ||||||||
129,489 | Raytheon Technologies Corp. | 10,005,615 | ||||||||
39,100 | Textron, Inc. | 2,192,728 | ||||||||
11,404 | Union Pacific Corp. | 2,513,556 | ||||||||
85,400 | Vontier Corp.* | 2,585,058 | ||||||||
25,096 | Waters Corp.* | 7,131,530 | ||||||||
|
| |||||||||
85,606,166 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
30
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Technology — 18.2% | ||||||||||
56,504 | Accenture Plc Class A | 15,609,230 | ||||||||
67,259 | Adobe, Inc.* | 31,972,911 | ||||||||
160,781 | Apple, Inc. | 19,639,399 | ||||||||
20,803 | Atlassian Corp. Plc Class A* | 4,384,440 | ||||||||
41,242 | Autodesk, Inc.* | 11,430,220 | ||||||||
22,400 | Broadcom, Inc. | 10,385,984 | ||||||||
7,513 | Citrix Systems, Inc. | 1,054,525 | ||||||||
136,055 | Cognizant Technology Solutions Corp. Class A | 10,628,617 | ||||||||
11,053 | Coupa Software, Inc.* | 2,812,767 | ||||||||
23,653 | Crowdstrike Holdings, Inc. Class A* (a) | 4,316,909 | ||||||||
68,752 | Fidelity National Information Services, Inc. | 9,667,219 | ||||||||
19,979 | HP, Inc. | 634,333 | ||||||||
2,913 | Lam Research Corp. | 1,733,934 | ||||||||
44,300 | Marvell Technology Group, Ltd. | 2,169,814 | ||||||||
46,220 | Micron Technology, Inc.* | 4,077,066 | ||||||||
177,924 | Microsoft Corp. | 41,949,142 | ||||||||
10,304 | MSCI, Inc. Class A | 4,320,261 | ||||||||
35,888 | NetApp, Inc. | 2,607,981 | ||||||||
21,189 | NVIDIA Corp. | 11,313,443 | ||||||||
247,429 | Oracle Corp. | 17,362,093 | ||||||||
35,760 | QUALCOMM, Inc. | 4,741,418 | ||||||||
19,886 | RingCentral, Inc. Class A* | 5,923,642 | ||||||||
10,217 | ROBLOX Corp. Class A* | 662,368 | ||||||||
89,822 | salesforce.com, Inc.* | 19,030,587 | ||||||||
92,034 | Seagate Technology Plc | 7,063,610 | ||||||||
29,315 | ServiceNow, Inc.* | 14,660,725 | ||||||||
11,935 | Snowflake, Inc. Class A* | 2,736,457 | ||||||||
28,945 | Twilio, Inc. Class A* | 9,863,298 | ||||||||
4,170 | Zoom Video Communications, Inc. Class A* | 1,339,779 | ||||||||
|
| |||||||||
274,092,172 | ||||||||||
|
| |||||||||
Utilities — 1.2% | ||||||||||
154,000 | Edison International | 9,024,400 | ||||||||
76,000 | FirstEnergy Corp. | 2,636,440 | ||||||||
94,600 | NiSource, Inc. | 2,280,806 | ||||||||
87,200 | PPL Corp. | 2,514,848 | ||||||||
36,900 | UGI Corp. | 1,513,269 | ||||||||
|
| |||||||||
17,969,763 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,101,501,014) | 1,436,591,930 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
31
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENT — 0.3% | ||||||||||
Mutual Fund - Securities Lending Collateral — 0.3% | ||||||||||
4,085,189 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04%(b) (c) | 4,085,189 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENT (COST $4,085,189) | 4,085,189 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 95.7% (Cost $1,105,586,203) | 1,440,677,119 | |||||||||
Other Assets and Liabilities (net) — 4.3% | 64,116,456 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $1,504,793,575 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
* | Non-income producing security. | |||||||||
(a) | All or a portion of this security is out on loan. | |||||||||
(b) | The rate disclosed is the 7-day net yield as of March 31, 2021. | |||||||||
(c) | Represents an investment of securities lending cash collateral. |
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
218 | S&P 500 E-mini Index | Jun 2021 | $ | 43,244,660 | $ | 363,168 | ||||||||||||||
11 | S&P Mid 400 E-mini Index | Jun 2021 | 2,865,830 | (36,731 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | 326,437 | |||||||||||||||||||
|
|
Other Abbreviations
ADR | — American Depository Receipt |
REIT | — Real Estate Investment Trust |
See accompanying Notes to the Financial Statements.
32
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 95.4 | ||||
Futures Contracts | 0.0 | * | |||
Short-Term Investment | 0.3 | ||||
Other Assets and Liabilities (net) | 4.3 | ||||
|
| ||||
100.0 | % | ||||
|
|
* Amount rounds to zero.
See accompanying Notes to the Financial Statements.
33
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 97.7% | ||||||||||
Basic Materials — 2.7% | ||||||||||
81,041 | Axalta Coating Systems, Ltd.* | 2,397,193 | ||||||||
41,000 | Cabot Corp. | 2,150,040 | ||||||||
34,440 | Celanese Corp. Class A | 5,159,456 | ||||||||
70,200 | Chemours Co. (The) | 1,959,282 | ||||||||
11,700 | Eastman Chemical Co. | 1,288,404 | ||||||||
331,315 | Element Solutions, Inc. | 6,059,751 | ||||||||
47,792 | FMC Corp. | 5,286,273 | ||||||||
80,900 | Huntsman Corp. | 2,332,347 | ||||||||
56,300 | Koppers Holdings, Inc.* | 1,956,988 | ||||||||
27,371 | Quaker Chemical Corp.(a) | 6,672,229 | ||||||||
17,400 | Reliance Steel & Aluminum Co. | 2,649,846 | ||||||||
63,446 | RPM International, Inc. | 5,827,515 | ||||||||
35,900 | Schweitzer-Mauduit International, Inc. | 1,758,023 | ||||||||
56,300 | Steel Dynamics, Inc. | 2,857,788 | ||||||||
75,500 | Valvoline, Inc. | 1,968,285 | ||||||||
|
| |||||||||
50,323,420 | ||||||||||
|
| |||||||||
Communications — 4.0% | ||||||||||
58,900 | AMC Networks, Inc. Class A* | 3,131,124 | ||||||||
80,500 | Cars.com, Inc.* | 1,043,280 | ||||||||
20,300 | Ciena Corp.* | 1,110,816 | ||||||||
48,608 | Cogent Communications Holdings, Inc. | 3,342,286 | ||||||||
108,300 | Entercom Communications Corp. Class A* | 568,575 | ||||||||
54,402 | ePlus, Inc.* | 5,420,615 | ||||||||
36,530 | Etsy, Inc.* | 7,367,005 | ||||||||
31,870 | F5 Networks, Inc.* | 6,648,719 | ||||||||
89,600 | Gray Television, Inc. | 1,648,640 | ||||||||
54,600 | Juniper Networks, Inc. | 1,383,018 | ||||||||
1 | Liberty Broadband Corp. Class C* | 150 | ||||||||
160,890 | Liberty Latin America, Ltd. Class A* | 2,064,219 | ||||||||
281,316 | Liberty Latin America, Ltd. Class C* | 3,651,482 | ||||||||
165,800 | Lumen Technologies, Inc. | 2,213,430 | ||||||||
100,160 | Lyft, Inc. Class A* | 6,328,109 | ||||||||
14,200 | Nexstar Media Group, Inc. Class A | 1,994,106 | ||||||||
22,320 | Nice, Ltd., ADR* (a) | 4,865,090 | ||||||||
9,700 | Preformed Line Products Co. | 666,875 | ||||||||
71,649 | Q2 Holdings, Inc.* (a) | 7,179,230 | ||||||||
106,295 | RealReal, Inc. (The)* | 2,405,456 | ||||||||
90,046 | Revolve Group, Inc.* | 4,045,767 | ||||||||
107,200 | TEGNA, Inc. | 2,018,576 | ||||||||
196,858 | Vonage Holdings Corp.* | 2,326,861 | ||||||||
20,840 | Zendesk, Inc.* | 2,763,801 | ||||||||
|
| |||||||||
74,187,230 | ||||||||||
|
| |||||||||
Consumer, Cyclical — 15.6% | ||||||||||
44,279 | Advance Auto Parts, Inc. | 8,124,754 | ||||||||
12,700 | Alaska Air Group, Inc.* | 878,967 |
See accompanying Notes to the Financial Statements.
34
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Consumer, Cyclical — continued | ||||||||||
62,800 | Allison Transmission Holdings, Inc. | 2,564,124 | ||||||||
83,200 | American Axle & Manufacturing Holdings, Inc.* | 803,712 | ||||||||
438,129 | BJ’s Wholesale Club Holdings, Inc.* | 19,654,467 | ||||||||
58,700 | BorgWarner, Inc. | 2,721,332 | ||||||||
71,615 | BRP, Inc. | 6,224,776 | ||||||||
83,738 | Brunswick Corp. | 7,986,093 | ||||||||
18,071 | Burlington Stores, Inc.* | 5,399,615 | ||||||||
38,291 | Carter’s, Inc.* | 3,405,219 | ||||||||
18,760 | Casey’s General Stores, Inc. | 4,055,724 | ||||||||
25,955 | Cavco Industries, Inc.* | 5,855,708 | ||||||||
30,566 | Columbia Sportswear Co. | 3,228,687 | ||||||||
37,720 | Darden Restaurants, Inc. | 5,356,240 | ||||||||
43,400 | Dick’s Sporting Goods, Inc. | 3,304,910 | ||||||||
56,934 | Dorman Products, Inc.* | 5,843,706 | ||||||||
41,100 | Ethan Allen Interiors, Inc. | 1,134,771 | ||||||||
440,794 | Extended Stay America, Inc. | 8,705,681 | ||||||||
64,537 | Five Below, Inc.* | 12,313,014 | ||||||||
48,465 | Floor & Decor Holdings, Inc. Class A* | 4,627,438 | ||||||||
39,400 | Foot Locker, Inc. | 2,216,250 | ||||||||
31,886 | Fox Factory Holding Corp.* | 4,051,435 | ||||||||
38,096 | Freshpet, Inc.* | 6,050,026 | ||||||||
37,900 | Genesco, Inc.* | 1,800,250 | ||||||||
34,621 | Gentherm, Inc.* | 2,565,762 | ||||||||
62,700 | GMS, Inc.* | 2,617,725 | ||||||||
79,900 | Goodyear Tire & Rubber Co. (The)* | 1,403,843 | ||||||||
23,900 | Group 1 Automotive, Inc. | 3,771,181 | ||||||||
45,000 | Harley-Davidson, Inc. | 1,804,500 | ||||||||
41,200 | Haverty Furniture Cos., Inc. | 1,532,228 | ||||||||
32,300 | Hawaiian Holdings, Inc.* | 861,441 | ||||||||
47,600 | Herman Miller, Inc. | 1,958,740 | ||||||||
39,100 | Hibbett Sports, Inc.* | 2,693,599 | ||||||||
57,400 | JetBlue Airways Corp.* | 1,167,516 | ||||||||
16,828 | Johnson Outdoors, Inc. Class A | 2,402,197 | ||||||||
1,875 | Knoll, Inc. | 30,956 | ||||||||
68,400 | La-Z-Boy, Inc. | 2,905,632 | ||||||||
28,333 | LCI Industries | 3,747,889 | ||||||||
10,200 | Lear Corp. | 1,848,750 | ||||||||
159,134 | Lions Gate Entertainment Corp. Class B* | 2,052,829 | ||||||||
25,674 | Lithia Motors, Inc. Class A | 10,015,171 | ||||||||
242,670 | LKQ Corp.* | 10,272,221 | ||||||||
35,964 | MDC Holdings, Inc. | 2,136,262 | ||||||||
186,570 | Meritor, Inc.* | 5,488,889 | ||||||||
42,600 | Methode Electronics, Inc. | 1,788,348 | ||||||||
34,800 | Miller Industries, Inc. | 1,607,412 | ||||||||
72,305 | Modine Manufacturing Co.* | 1,067,945 | ||||||||
14,523 | MSC Industrial Direct Co., Inc. Class A | 1,309,829 | ||||||||
64,449 | Murphy USA, Inc. | 9,316,747 | ||||||||
141,931 | National Vision Holdings, Inc.* | 6,220,836 | ||||||||
117,820 | Nordstrom, Inc.* | 4,461,843 |
See accompanying Notes to the Financial Statements.
35
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Consumer, Cyclical — continued | ||||||||||
21,000 | Nu Skin Enterprises, Inc. Class A | 1,110,690 | ||||||||
39,500 | ODP Corp. (The)* | 1,709,955 | ||||||||
58,553 | Polaris, Inc. | 7,816,826 | ||||||||
13,145 | Pool Corp. | 4,538,180 | ||||||||
43,500 | PulteGroup, Inc. | 2,281,140 | ||||||||
99,600 | Sally Beauty Holdings, Inc.* | 2,004,948 | ||||||||
25,400 | ScanSource, Inc.* | 760,730 | ||||||||
41,776 | SiteOne Landscape Supply, Inc.* (a) | 7,132,834 | ||||||||
63,971 | Skechers USA, Inc. Class A* | 2,668,230 | ||||||||
19,400 | SkyWest, Inc.* | 1,056,912 | ||||||||
41,300 | Sonic Automotive, Inc. Class A(a) | 2,047,241 | ||||||||
126,769 | Texas Roadhouse, Inc.* | 12,162,218 | ||||||||
47,400 | Toll Brothers, Inc. | 2,689,002 | ||||||||
17,800 | Travel + Leisure Co. | 1,088,648 | ||||||||
105,600 | TRI Pointe Group, Inc.* | 2,150,016 | ||||||||
53,100 | Triton International, Ltd. | 2,919,969 | ||||||||
40,583 | UniFirst Corp. | 9,078,823 | ||||||||
50,407 | Univar Solutions, Inc.* | 1,085,767 | ||||||||
12,420 | Vail Resorts, Inc.* | 3,622,417 | ||||||||
21,200 | Whirlpool Corp. | 4,671,420 | ||||||||
8,700 | Williams-Sonoma, Inc. | 1,559,040 | ||||||||
134,294 | World Fuel Services Corp. | 4,727,149 | ||||||||
|
| |||||||||
292,239,345 | ||||||||||
|
| |||||||||
Consumer, Non-cyclical — 22.8% | ||||||||||
210,213 | Acadia Healthcare Co., Inc.* | 12,011,571 | ||||||||
43,210 | Acceleron Pharma, Inc.* | 5,859,708 | ||||||||
144,100 | ACCO Brands Corp. | 1,216,204 | ||||||||
33,388 | Adtalem Global Education, Inc.* | 1,320,161 | ||||||||
9,349 | Argenx SE, ADR* | 2,574,621 | ||||||||
60,371 | Ascendis Pharma AS, ADR* | 7,780,614 | ||||||||
48,483 | Avalara, Inc.* | 6,469,087 | ||||||||
27,454 | Bio-Rad Laboratories, Inc. Class A* | 15,680,901 | ||||||||
13,305 | Bio-Techne Corp. | 5,081,579 | ||||||||
60,448 | Blueprint Medicines Corp.* | 5,877,359 | ||||||||
53,850 | Booz Allen Hamilton Holding Corp. | 4,336,540 | ||||||||
26,232 | Bright Horizons Family Solutions, Inc.* | 4,497,476 | ||||||||
194,593 | Catalent, Inc.* | 20,492,589 | ||||||||
157,400 | Catalyst Pharmaceuticals, Inc.* | 725,614 | ||||||||
51,600 | Central Garden & Pet Co. Class A* | 2,677,524 | ||||||||
42,196 | Charles River Laboratories International, Inc.* | 12,229,667 | ||||||||
46,678 | Chegg, Inc.* | 3,998,437 | ||||||||
12,450 | Chemed Corp. | 5,724,759 | ||||||||
28,811 | ChemoCentryx, Inc.* | 1,476,276 | ||||||||
26,862 | CONMED Corp. | 3,507,909 | ||||||||
519,506 | CoreCivic, Inc.* | 4,701,529 | ||||||||
26,708 | CRA International, Inc. | 1,993,485 | ||||||||
29,400 | DaVita, Inc.* | 3,168,438 | ||||||||
51,700 | Deluxe Corp. | 2,169,332 |
See accompanying Notes to the Financial Statements.
36
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Consumer, Non-cyclical — continued | ||||||||||
9,700 | Emergent BioSolutions, Inc.* | 901,227 | ||||||||
32,544 | Encompass Health Corp. | 2,665,354 | ||||||||
43,664 | Gartner, Inc.* | 7,970,863 | ||||||||
136,046 | Globus Medical, Inc. Class A* | 8,389,957 | ||||||||
30,894 | Grand Canyon Education, Inc.* | 3,308,747 | ||||||||
69,938 | Grocery Outlet Holding Corp.* | 2,580,013 | ||||||||
72,732 | H&R Block, Inc. | 1,585,558 | ||||||||
77,436 | Halozyme Therapeutics, Inc.* | 3,228,307 | ||||||||
18,569 | Helen of Troy, Ltd.* | 3,911,746 | ||||||||
204,921 | Horizon Therapeutics Plc* | 18,860,929 | ||||||||
573,830 | Hostess Brands, Inc. Class A* | 8,228,722 | ||||||||
47,098 | ICON Plc, ADR* | 9,248,634 | ||||||||
80,051 | Ingles Markets, Inc. Class A | 4,935,144 | ||||||||
34,900 | Ingredion, Inc. | 3,138,208 | ||||||||
132,416 | Innoviva, Inc.* | 1,582,371 | ||||||||
53,411 | Insulet Corp.* | 13,935,998 | ||||||||
44,296 | Integer Holdings Corp.* | 4,079,662 | ||||||||
250,705 | Ironwood Pharmaceuticals, Inc.* | 2,802,882 | ||||||||
57,159 | Jazz Pharmaceuticals Plc* | 9,395,225 | ||||||||
24,100 | JM Smucker Co. (The) | 3,049,373 | ||||||||
29,296 | Lancaster Colony Corp. | 5,137,347 | ||||||||
50,275 | Lannett Co., Inc.* (a) | 265,452 | ||||||||
21,728 | LHC Group, Inc.* | 4,154,611 | ||||||||
27,500 | ManpowerGroup, Inc. | 2,719,750 | ||||||||
114,126 | MEDNAX, Inc.* | 2,906,789 | ||||||||
80,828 | Mersana Therapeutics, Inc.* | 1,307,797 | ||||||||
23,332 | Molina Healthcare, Inc.* | 5,454,088 | ||||||||
176,426 | Molson Coors Beverage Co. Class B* | 9,024,190 | ||||||||
19,144 | Morningstar, Inc. | 4,308,166 | ||||||||
141,978 | Neurocrine Biosciences, Inc.* | 13,807,360 | ||||||||
237,934 | Nielsen Holdings Plc | 5,984,040 | ||||||||
5,600 | Novavax, Inc.* | 1,015,336 | ||||||||
72,680 | Oak Street Health, Inc.* (a) | 3,944,344 | ||||||||
53,120 | Pacific Biosciences of California, Inc.* | 1,769,427 | ||||||||
37,202 | Pacira BioSciences, Inc.* | 2,607,488 | ||||||||
256,185 | Paya Holdings, Inc. Class A* (a) | 2,807,788 | ||||||||
58,575 | Paylocity Holding Corp.* | 10,538,368 | ||||||||
67,600 | Perdoceo Education Corp.* | 808,496 | ||||||||
90,715 | Performance Food Group Co.* | 5,226,091 | ||||||||
49,600 | Pilgrim’s Pride Corp.* | 1,179,984 | ||||||||
29,353 | PRA Health Sciences, Inc.* | 4,500,695 | ||||||||
267,594 | Premier, Inc. Class A | 9,058,057 | ||||||||
53,600 | Prestige Consumer Healthcare, Inc.* | 2,362,688 | ||||||||
46,231 | PTC Therapeutics, Inc.* | 2,189,038 | ||||||||
40,120 | Quest Diagnostics, Inc. | 5,149,001 | ||||||||
36,500 | Rent-A-Center, Inc. | 2,104,590 | ||||||||
106,639 | Ritchie Bros Auctioneers, Inc. | 6,243,713 | ||||||||
65,429 | Rocket Pharmaceuticals, Inc.* (a) | 2,903,085 | ||||||||
52,800 | Select Medical Holdings Corp.* | 1,800,480 |
See accompanying Notes to the Financial Statements.
37
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Consumer, Non-cyclical — continued | ||||||||||
113,478 | Simply Good Foods Co. (The)* | 3,452,001 | ||||||||
84,200 | SpartanNash Co. | 1,652,846 | ||||||||
74,000 | Sprouts Farmers Market, Inc.* | 1,969,880 | ||||||||
56,860 | STERIS Plc | 10,830,693 | ||||||||
154,660 | Syneos Health, Inc.* | 11,730,961 | ||||||||
60,000 | TransUnion | 5,400,000 | ||||||||
6,400 | United Rentals, Inc.* | 2,107,584 | ||||||||
18,800 | United Therapeutics Corp.* | 3,144,676 | ||||||||
27,300 | Universal Corp. | 1,610,427 | ||||||||
16,000 | Universal Health Services, Inc. Class B | 2,134,240 | ||||||||
75,592 | Viad Corp.* | 3,155,966 | ||||||||
31,200 | Weis Markets, Inc. | 1,763,424 | ||||||||
22,970 | WEX, Inc.* | 4,805,783 | ||||||||
58,707 | Xencor, Inc.* | 2,527,923 | ||||||||
|
| |||||||||
426,934,963 | ||||||||||
|
| |||||||||
Energy — 1.1% | ||||||||||
96,201 | Diamondback Energy, Inc. | 7,069,812 | ||||||||
10,070 | Enphase Energy, Inc.* | 1,632,951 | ||||||||
172,480 | HollyFrontier Corp. | 6,171,334 | ||||||||
70,700 | National Energy Services Reunited Corp.* | 874,559 | ||||||||
56,170 | PBF Energy, Inc. Class A* | 794,806 | ||||||||
22,572 | Pioneer Natural Resources Co. | 3,584,885 | ||||||||
190,000 | Southwestern Energy Co.* | 883,500 | ||||||||
|
| |||||||||
21,011,847 | ||||||||||
|
| |||||||||
Financial — 18.4% | ||||||||||
71,000 | Ally Financial, Inc. | 3,209,910 | ||||||||
90,673 | American Campus Communities, Inc. REIT | 3,914,353 | ||||||||
209,701 | American Equity Investment Life Holding Co. | 6,611,872 | ||||||||
84,416 | American Financial Group, Inc. | 9,631,866 | ||||||||
253,200 | Annaly Capital Management, Inc. REIT | 2,177,520 | ||||||||
124,900 | Ares Capital Corp.(a) | 2,336,879 | ||||||||
113,331 | Ares Management Corp. Class A | 6,349,936 | ||||||||
52,136 | Artisan Partners Asset Management, Inc. Class A | 2,719,935 | ||||||||
155,400 | Associated Banc-Corp. | 3,316,236 | ||||||||
2,900 | Assured Guaranty, Ltd. | 122,612 | ||||||||
89,341 | Atlantic Union Bankshares Corp. | 3,427,121 | ||||||||
139,660 | Axis Capital Holdings, Ltd. | 6,922,946 | ||||||||
48,110 | Axos Financial, Inc.* | 2,261,651 | ||||||||
68,600 | Banco Latinoamericano de Comercio Exterior SA | 1,037,918 | ||||||||
46,900 | Bank of NT Butterfield & Son, Ltd. (The) | 1,792,518 | ||||||||
36,600 | BankUnited, Inc. | 1,608,570 | ||||||||
490 | Berkshire Hills Bancorp, Inc. | 10,937 | ||||||||
270,561 | BlackRock Capital Investment Corp.(a) | 906,379 | ||||||||
129,000 | Braemar Hotels & Resorts, Inc. REIT* | 783,030 | ||||||||
190,600 | Brandywine Realty Trust REIT | 2,460,646 | ||||||||
80,900 | Brixmor Property Group, Inc. REIT | 1,636,607 | ||||||||
6,897 | C&F Financial Corp. | 305,468 |
See accompanying Notes to the Financial Statements.
38
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Financial — continued | ||||||||||
140,800 | Cadence BanCorp | 2,918,784 | ||||||||
303,577 | Cannae Holdings, Inc.* | 12,027,721 | ||||||||
67,515 | Cedar Realty Trust, Inc. REIT | 1,005,973 | ||||||||
99,300 | Chimera Investment Corp. REIT | 1,261,110 | ||||||||
61,400 | Citizens Financial Group, Inc. | 2,710,810 | ||||||||
170,300 | City Office, Inc. REIT | 1,808,586 | ||||||||
79,512 | CNA Financial Corp. | 3,548,620 | ||||||||
157,800 | CNO Financial Group, Inc. | 3,832,962 | ||||||||
41,900 | Comerica, Inc. | 3,005,906 | ||||||||
31,068 | CoreSite Realty Corp. REIT | 3,723,500 | ||||||||
139,600 | Diversified Healthcare Trust REIT | 667,288 | ||||||||
192,114 | Douglas Emmett, Inc. REIT | 6,032,380 | ||||||||
240,944 | Easterly Government Properties, Inc. REIT | 4,994,769 | ||||||||
20,500 | eHealth, Inc.* | 1,490,965 | ||||||||
57,900 | Equitable Holdings, Inc. | 1,888,698 | ||||||||
31,700 | Essent Group, Ltd. | 1,505,433 | ||||||||
21,700 | Federal Agricultural Mortgage Corp. Class C | 2,185,624 | ||||||||
210,811 | Fidelity National Financial, Inc. | 8,571,575 | ||||||||
75,500 | Fifth Third Bancorp | 2,827,475 | ||||||||
35,500 | Financial Institutions, Inc. | 1,075,295 | ||||||||
77,700 | First Busey Corp. | 1,993,005 | ||||||||
184,900 | First Horizon Corp. | 3,126,659 | ||||||||
46,200 | Flagstar Bancorp, Inc. | 2,083,620 | ||||||||
238,900 | FNB Corp. | 3,034,030 | ||||||||
196,300 | Franklin Street Properties Corp. REIT | 1,069,835 | ||||||||
53,026 | Gaming and Leisure Properties, Inc. REIT | 2,249,893 | ||||||||
930,811 | Genworth Financial, Inc. Class A* | 3,090,292 | ||||||||
86,200 | GEO Group, Inc. (The) REIT(a) | 668,912 | ||||||||
75,938 | Glacier Bancorp, Inc. | 4,334,541 | ||||||||
85,200 | Global Net Lease, Inc. REIT | 1,538,712 | ||||||||
246,627 | GoHealth, Inc. Class A* (a) | 2,883,070 | ||||||||
37,280 | Hamilton Lane, Inc. Class A | 3,301,517 | ||||||||
47,200 | Hancock Whitney Corp. | 1,982,872 | ||||||||
66,600 | Hanmi Financial Corp. | 1,314,018 | ||||||||
32,800 | Heritage Insurance Holdings, Inc. | 363,424 | ||||||||
138,200 | Hope Bancorp, Inc. | 2,081,292 | ||||||||
86,500 | Horizon Bancorp, Inc. | 1,607,170 | ||||||||
157,176 | Hudson Pacific Properties, Inc. REIT | 4,264,185 | ||||||||
69,000 | Independent Bank Corp. | 1,631,160 | ||||||||
64,000 | Industrial Logistics Properties Trust REIT | 1,480,320 | ||||||||
39,200 | International Bancshares Corp. | 1,819,664 | ||||||||
63,900 | Iron Mountain, Inc. REIT(a) | 2,364,939 | ||||||||
87,500 | Jefferies Financial Group, Inc. | 2,633,750 | ||||||||
54,856 | Kemper Corp. | 4,373,120 | ||||||||
21,575 | Kinsale Capital Group, Inc. | 3,555,560 | ||||||||
44,230 | Lamar Advertising Co. REIT Class A | 4,154,082 | ||||||||
51,500 | Lincoln National Corp. | 3,206,905 | ||||||||
38,270 | LPL Financial Holdings, Inc. | 5,440,463 | ||||||||
262,500 | MFA Financial, Inc. REIT | 1,068,375 |
See accompanying Notes to the Financial Statements.
39
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Financial — continued | ||||||||||
141,500 | MGIC Investment Corp. | 1,959,775 | ||||||||
36,000 | National Health Investors, Inc. REIT | 2,602,080 | ||||||||
139,500 | Navient Corp. | 1,996,245 | ||||||||
139,400 | New Mountain Finance Corp. | 1,728,560 | ||||||||
225,407 | Newmark Group, Inc. Class A | 2,255,197 | ||||||||
785,898 | Oaktree Specialty Lending Corp. | 4,872,568 | ||||||||
55,083 | Office Properties Income Trust REIT | 1,515,884 | ||||||||
46,100 | Omega Healthcare Investors, Inc. REIT | 1,688,643 | ||||||||
81,424 | Pacific Premier Bancorp, Inc. | 3,537,059 | ||||||||
80,000 | PennyMac Mortgage Investment Trust REIT | 1,568,000 | ||||||||
257,079 | Physicians Realty Trust REIT | 4,542,586 | ||||||||
97,400 | Piedmont Office Realty Trust, Inc. REIT Class A | 1,691,838 | ||||||||
94,856 | Pinnacle Financial Partners, Inc. | 8,409,933 | ||||||||
44,983 | Piper Sandler Cos. | 4,932,386 | ||||||||
25,500 | Popular, Inc. | 1,793,160 | ||||||||
75,567 | Preferred Apartment Communities, Inc. REIT Class A | 744,335 | ||||||||
18,000 | Preferred Bank | 1,146,240 | ||||||||
255,300 | Prospect Capital Corp.(a) | 1,958,151 | ||||||||
87,100 | Radian Group, Inc. | 2,025,075 | ||||||||
132,600 | Regions Financial Corp. | 2,739,516 | ||||||||
12,100 | Reinsurance Group of America, Inc. | 1,525,205 | ||||||||
83,500 | Retail Properties of America, Inc. REIT Class A | 875,080 | ||||||||
6,898 | Retail Value, Inc. REIT | 129,062 | ||||||||
18,186 | RLI Corp. | 2,029,012 | ||||||||
143,600 | Sabra Health Care, Inc. REIT | 2,492,896 | ||||||||
37,800 | Sandy Spring Bancorp, Inc. | 1,641,654 | ||||||||
59,600 | Service Properties Trust REIT | 706,856 | ||||||||
58,896 | Signature Bank | 13,316,386 | ||||||||
362,226 | Summit Hotel Properties, Inc. REIT* | 3,680,216 | ||||||||
46,165 | Sun Communities, Inc. REIT | 6,926,597 | ||||||||
96,263 | Tanger Factory Outlet Centers, Inc. REIT(a) | 1,456,459 | ||||||||
135,129 | TCF Financial Corp. | 6,278,093 | ||||||||
72,400 | Universal Insurance Holdings, Inc. | 1,038,216 | ||||||||
110,400 | Unum Group | 3,072,432 | ||||||||
62,800 | VEREIT, Inc. REIT | 2,425,336 | ||||||||
35,200 | Victory Capital Holdings, Inc. Class A(a) | 899,712 | ||||||||
127,926 | Voya Financial, Inc. | 8,141,211 | ||||||||
10,700 | Walker & Dunlop, Inc. | 1,099,318 | ||||||||
120,305 | Western Alliance Bancorp | 11,361,604 | ||||||||
73,600 | Western Union Co. (The) | 1,814,976 | ||||||||
10,954 | White Mountains Insurance Group, Ltd. | 12,212,615 | ||||||||
51,600 | Zions Bancorp NA | 2,835,936 | ||||||||
|
| |||||||||
343,009,872 | ||||||||||
|
| |||||||||
Industrial — 18.3% | ||||||||||
21,300 | Acuity Brands, Inc. | 3,514,500 | ||||||||
124,177 | Advanced Drainage Systems, Inc. | 12,838,660 | ||||||||
48,848 | Advanced Energy Industries, Inc. | 5,332,736 | ||||||||
23,700 | AGCO Corp. | 3,404,505 |
See accompanying Notes to the Financial Statements.
40
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Industrial — continued | ||||||||||
438,278 | Air Transport Services Group, Inc.* | 12,824,014 | ||||||||
42,100 | Apogee Enterprises, Inc. | 1,721,048 | ||||||||
41,661 | AptarGroup, Inc. | 5,902,114 | ||||||||
125,870 | Argan, Inc. | 6,715,165 | ||||||||
70,825 | Armstrong World Industries, Inc. | 6,380,624 | ||||||||
20,000 | Arrow Electronics, Inc.* | 2,216,400 | ||||||||
170,030 | Atkore International Group, Inc.* | 12,225,157 | ||||||||
34,700 | Atlas Air Worldwide Holdings, Inc.* | 2,097,268 | ||||||||
38,797 | Axon Enterprise, Inc.* | 5,525,469 | ||||||||
127,878 | AZEK Co., Inc. (The) Class A* | 5,377,270 | ||||||||
47,330 | Berry Global Group, Inc.* | 2,906,062 | ||||||||
71,875 | Cognex Corp. | 5,964,906 | ||||||||
49,703 | Colfax Corp.* | 2,177,488 | ||||||||
103,047 | Comfort Systems USA, Inc. | 7,704,824 | ||||||||
28,700 | Crane Co. | 2,695,217 | ||||||||
48,787 | Eagle Materials, Inc. | 6,557,461 | ||||||||
38,255 | ESCO Technologies, Inc. | 4,165,587 | ||||||||
63,862 | Exponent, Inc. | 6,223,352 | ||||||||
137,948 | Federal Signal Corp. | 5,283,408 | ||||||||
417,593 | Gates Industrial Corp. Plc* | 6,677,312 | ||||||||
15,475 | Generac Holdings, Inc.* | 5,067,289 | ||||||||
98,631 | Gibraltar Industries, Inc.* | 9,025,723 | ||||||||
73,549 | Graco, Inc. | 5,267,579 | ||||||||
462,706 | GrafTech International, Ltd. | 5,658,894 | ||||||||
58,200 | Greif, Inc. Class A | 3,317,400 | ||||||||
180,275 | Harsco Corp.* | 3,091,716 | ||||||||
31,459 | HEICO Corp. | 3,957,542 | ||||||||
221,097 | Hexcel Corp.* | 12,381,432 | ||||||||
41,938 | Huntington Ingalls Industries, Inc. | 8,632,937 | ||||||||
20,630 | IDEX Corp. | 4,318,272 | ||||||||
271,770 | Ingersoll Rand, Inc.* | 13,373,802 | ||||||||
74,400 | Jabil, Inc. | 3,880,704 | ||||||||
99,834 | KBR, Inc. | 3,832,627 | ||||||||
25,397 | Landstar System, Inc. | 4,192,029 | ||||||||
34,930 | Lincoln Electric Holdings, Inc. | 4,294,294 | ||||||||
21,412 | Masonite International Corp.* | 2,467,519 | ||||||||
29,100 | MasTec, Inc.* | 2,726,670 | ||||||||
42,300 | Matthews International Corp. Class A | 1,672,965 | ||||||||
78,100 | MDU Resources Group, Inc. | 2,468,741 | ||||||||
31,900 | Moog, Inc. Class A | 2,652,485 | ||||||||
33,961 | Nordson Corp. | 6,747,371 | ||||||||
128,400 | O-I Glass, Inc.* | 1,892,616 | ||||||||
31,300 | Oshkosh Corp. | 3,714,058 | ||||||||
15,600 | OSI Systems, Inc.* | 1,499,160 | ||||||||
26,500 | Owens Corning | 2,440,385 | ||||||||
71,100 | Primoris Services Corp. | 2,355,543 | ||||||||
39,010 | RBC Bearings, Inc.* | 7,675,998 | ||||||||
43,100 | Sanmina Corp.* | 1,783,478 | ||||||||
125,927 | Schneider National, Inc. Class B | 3,144,397 |
See accompanying Notes to the Financial Statements.
41
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Industrial — continued | ||||||||||
87,260 | Sensata Technologies Holding Plc* | 5,056,717 | ||||||||
73,400 | Silgan Holdings, Inc. | 3,085,002 | ||||||||
41,500 | SMART Global Holdings, Inc.* | 1,909,830 | ||||||||
12,200 | Snap-on, Inc. | 2,815,028 | ||||||||
17,900 | SYNNEX Corp. | 2,055,636 | ||||||||
12,055 | Teledyne Technologies, Inc.* | 4,986,551 | ||||||||
29,959 | Tetra Tech, Inc. | 4,066,035 | ||||||||
43,900 | Textron, Inc. | 2,461,912 | ||||||||
27,700 | Timken Co. (The) | 2,248,409 | ||||||||
25,320 | TopBuild Corp.* | 5,302,768 | ||||||||
74,921 | Toro Co. (The) | 7,727,352 | ||||||||
114,271 | Trex Co., Inc.* | 10,460,367 | ||||||||
29,936 | TriMas Corp.* | 907,660 | ||||||||
76,319 | Trimble, Inc.* | 5,936,855 | ||||||||
18,800 | Trinseo SA | 1,196,996 | ||||||||
107,400 | TTM Technologies, Inc.* | 1,557,300 | ||||||||
81,767 | Universal Logistics Holdings, Inc. | 2,151,290 | ||||||||
51,115 | US Ecology, Inc.* | 2,128,429 | ||||||||
82,300 | Vishay Intertechnology, Inc. | 1,981,784 | ||||||||
65,900 | Westrock Co. | 3,430,095 | ||||||||
|
| |||||||||
341,430,189 | ||||||||||
|
| |||||||||
Technology — 13.3% | ||||||||||
64,897 | 1Life Healthcare, Inc.* | 2,536,175 | ||||||||
39,500 | Amdocs, Ltd. | 2,770,925 | ||||||||
149,300 | Amkor Technology, Inc. | 3,539,903 | ||||||||
392,551 | Avaya Holdings Corp.* | 11,003,205 | ||||||||
113,320 | Black Knight, Inc.* | 8,384,547 | ||||||||
39,914 | Blackline, Inc.* | 4,326,678 | ||||||||
26,929 | Broadridge Financial Solutions, Inc. | 4,122,830 | ||||||||
110,730 | CDK Global, Inc. | 5,986,064 | ||||||||
74,182 | Cerence, Inc.* (a) | 6,645,224 | ||||||||
40,450 | Cirrus Logic, Inc.* | 3,429,755 | ||||||||
18,131 | CMC Materials, Inc. | 3,205,379 | ||||||||
56,045 | Cohu, Inc.* | 2,344,923 | ||||||||
13,206 | Concentrix Corp.* | 1,977,202 | ||||||||
43,800 | CSG Systems International, Inc. | 1,966,182 | ||||||||
38,632 | Cubic Corp. | 2,880,788 | ||||||||
126,815 | DXC Technology Co.* | 3,964,237 | ||||||||
38,400 | Ebix, Inc.(a) | 1,229,952 | ||||||||
29,736 | Endava Plc, ADR* | 2,518,342 | ||||||||
76,376 | Entegris, Inc. | 8,538,837 | ||||||||
43,230 | Envestnet, Inc.* | 3,122,503 | ||||||||
31,776 | EPAM Systems, Inc.* | 12,605,221 | ||||||||
31,426 | Five9, Inc.* | 4,912,827 | ||||||||
37,020 | Fortinet, Inc.* | 6,827,228 | ||||||||
37,056 | HubSpot, Inc.* | 16,831,206 | ||||||||
19,500 | Insight Enterprises, Inc.* | 1,860,690 | ||||||||
26,400 | J2 Global, Inc.* | 3,164,304 |
See accompanying Notes to the Financial Statements.
42
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Technology — continued | ||||||||||
54,860 | Lumentum Holdings, Inc.* | 5,011,461 | ||||||||
63,263 | MKS Instruments, Inc. | 11,730,225 | ||||||||
16,048 | Monolithic Power Systems, Inc. | 5,668,314 | ||||||||
292,491 | NCR Corp.* (a) | 11,100,033 | ||||||||
47,612 | Nova Measuring Instruments, Ltd.* | 4,333,168 | ||||||||
110,480 | Nuance Communications, Inc.* | 4,821,347 | ||||||||
29,481 | Pegasystems, Inc. | 3,370,858 | ||||||||
87,112 | Perspecta, Inc. | 2,530,604 | ||||||||
24,247 | Power Integrations, Inc. | 1,975,646 | ||||||||
140,444 | Pure Storage, Inc. Class A* | 3,025,164 | ||||||||
114,008 | Rapid7, Inc.* | 8,506,137 | ||||||||
47,300 | Seagate Technology Plc | 3,630,275 | ||||||||
65,632 | Semtech Corp.* | 4,528,608 | ||||||||
77,762 | Silicon Laboratories, Inc.* | 10,969,885 | ||||||||
78,436 | Silicon Motion Technology Corp., ADR | 4,658,314 | ||||||||
58,069 | Smartsheet, Inc. Class A* | 3,711,770 | ||||||||
38,800 | Sykes Enterprises, Inc.* | 1,710,304 | ||||||||
9,061 | Tyler Technologies, Inc.* | 3,846,666 | ||||||||
33,000 | Ultra Clean Holdings, Inc.* | 1,915,320 | ||||||||
64,300 | Xerox Holdings Corp. | 1,560,561 | ||||||||
26,151 | Zebra Technologies Corp. Class A* | 12,687,942 | ||||||||
567,010 | Zynga, Inc. Class A* | 5,789,172 | ||||||||
|
| |||||||||
247,776,901 | ||||||||||
|
| |||||||||
Utilities — 1.5% | ||||||||||
54,222 | IDACORP, Inc. | 5,420,574 | ||||||||
48,700 | National Fuel Gas Co. | 2,434,513 | ||||||||
94,200 | NRG Energy, Inc. | 3,554,166 | ||||||||
75,081 | OGE Energy Corp. | 2,429,621 | ||||||||
30,035 | Pinnacle West Capital Corp. | 2,443,347 | ||||||||
91,344 | Portland General Electric Co. | 4,336,100 | ||||||||
421,356 | Vistra Corp. | 7,449,574 | ||||||||
|
| |||||||||
28,067,895 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,370,902,142) | 1,824,981,662 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENT — 0.3% | ||||||||||
Mutual Fund - Securities Lending Collateral — 0.3% | ||||||||||
5,203,630 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04%(b) (c) | 5,203,630 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENT (COST $5,203,630) | 5,203,630 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.0% (Cost $1,376,105,772) | 1,830,185,292 | |||||||||
Other Assets and Liabilities (net) — 2.0% | 36,982,739 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $1,867,168,031 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
43
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Notes to Schedule of Investments: | ||||||||||
* | Non-income producing security. | |||||||||
(a) | All or a portion of this security is out on loan. | |||||||||
(b) | The rate disclosed is the 7-day net yield as of March 31, 2021. | |||||||||
(c) | Represents an investment of securities lending cash collateral. |
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
111 | Russell 2000 E-mini Index | Jun 2021 | $ | 12,334,875 | $ | (372,246 | ) | |||||||||||||
40 | S&P Mid 400 E-mini Index | Jun 2021 | 10,421,200 | (75,397 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (447,643 | ) | ||||||||||||||||||
|
|
Other Abbreviations
ADR | — American Depository Receipt |
REIT | — Real Estate Investment Trust |
See accompanying Notes to the Financial Statements.
44
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 97.7 | ||||
Futures Contracts | 0.0 | * | |||
Short-Term Investment | 0.3 | ||||
Other Assets and Liabilities (net) | 2.0 | ||||
|
| ||||
100.0 | % | ||||
|
|
* Amount rounds to zero.
See accompanying Notes to the Financial Statements.
45
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.6% | ||||||||||
Australia — 3.1% | ||||||||||
224,400 | AGL Energy, Ltd. | 1,649,323 | ||||||||
1,842,197 | Alumina, Ltd. | 2,441,410 | ||||||||
208,100 | Australia & New Zealand Banking Group, Ltd. | 4,466,512 | ||||||||
1,987,600 | Beach Energy, Ltd. | 2,596,262 | ||||||||
294,129 | BGP Holdings Plc* (a) | — | ||||||||
115,148 | BHP Group Plc | 3,327,527 | ||||||||
99,586 | BHP Group Plc, ADR | 5,762,046 | ||||||||
137,650 | BHP Group, Ltd. | 4,749,303 | ||||||||
408,800 | BlueScope Steel, Ltd. | 6,024,865 | ||||||||
273,548 | Champion Iron, Ltd.* | 1,141,746 | ||||||||
96,945 | Codan, Ltd. | 1,140,061 | ||||||||
240,808 | Collins Foods, Ltd. | 1,909,313 | ||||||||
860,705 | CSR, Ltd. | 3,789,113 | ||||||||
680,427 | Deterra Royalties, Ltd. | 2,031,529 | ||||||||
698,700 | Fortescue Metals Group, Ltd. | 10,637,975 | ||||||||
1,233,793 | Genworth Mortgage Insurance Australia, Ltd.* | 2,405,679 | ||||||||
1,456,340 | Glencore Plc* | 5,711,472 | ||||||||
872,100 | Harvey Norman Holdings, Ltd.(b) | 3,806,066 | ||||||||
72,609 | IGO, Ltd. | 347,301 | ||||||||
424,727 | Iluka Resources, Ltd. | 2,332,387 | ||||||||
645,014 | Incitec Pivot, Ltd.* | 1,429,610 | ||||||||
731,800 | Inghams Group, Ltd.(b) | 1,861,634 | ||||||||
104,098 | Integrated Research, Ltd. | 183,944 | ||||||||
254,400 | Lendlease Corp., Ltd. | 2,503,428 | ||||||||
42,269 | McMillan Shakespeare, Ltd. | 350,595 | ||||||||
1,224,800 | Metcash, Ltd.(b) | 3,432,958 | ||||||||
76,000 | Mineral Resources, Ltd. | 2,200,803 | ||||||||
1,454,500 | Mirvac Group REIT | 2,769,550 | ||||||||
154,615 | oOh!media, Ltd.* | 204,907 | ||||||||
1,626,284 | Orora, Ltd. | 3,765,524 | ||||||||
810,700 | Perenti Global, Ltd. | 626,732 | ||||||||
898,400 | Qantas Airways, Ltd.* | 3,482,916 | ||||||||
79,327 | Rio Tinto Plc | 6,074,336 | ||||||||
103,514 | Rio Tinto Plc, ADR | 8,037,862 | ||||||||
110,407 | Rio Tinto, Ltd. | 9,313,133 | ||||||||
370,001 | South32, Ltd. | 791,890 | ||||||||
1,041,700 | Stockland REIT | 3,491,008 | ||||||||
345,218 | Super Retail Group, Ltd.(b) | 3,094,748 | ||||||||
|
| |||||||||
Total Australia | 119,885,468 | |||||||||
|
| |||||||||
Austria — 0.3% | ||||||||||
85,645 | OMV AG | 4,354,488 | ||||||||
58,077 | voestalpine AG | 2,411,550 | ||||||||
112,743 | Wienerberger AG | 4,134,212 | ||||||||
|
| |||||||||
Total Austria | 10,900,250 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
66,193 | Ageas SA | 4,011,192 |
See accompanying Notes to the Financial Statements.
46
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Belgium — continued | ||||||||||
15,684 | Groupe Bruxelles Lambert SA | 1,626,931 | ||||||||
24,636 | Kinepolis Group NV* | 1,279,797 | ||||||||
50,708 | Proximus SADP | 1,106,122 | ||||||||
21,701 | Telenet Group Holding NV | 881,969 | ||||||||
34,100 | UCB SA | 3,251,104 | ||||||||
|
| |||||||||
Total Belgium | 12,157,115 | |||||||||
|
| |||||||||
Brazil — 0.7% | ||||||||||
159,700 | B3 SA - Brasil Bolsa Balcao | 1,545,776 | ||||||||
329,800 | Duratex SA | 1,092,320 | ||||||||
2,509,692 | Magazine Luiza SA | 9,001,624 | ||||||||
82,200 | Movida Participacoes SA* | 243,993 | ||||||||
7,000 | SIMPAR SA* | 46,344 | ||||||||
8,500 | WEG SA | 112,309 | ||||||||
86,176 | Wheaton Precious Metals Corp. | 3,291,123 | ||||||||
209,206 | Yara International ASA | 10,901,009 | ||||||||
|
| |||||||||
Total Brazil | 26,234,498 | |||||||||
|
| |||||||||
Canada — 1.1% | ||||||||||
91,175 | Agnico Eagle Mines, Ltd. | 5,270,210 | ||||||||
242,255 | Atlas Corp. | 3,306,781 | ||||||||
31,900 | Canadian Tire Corp., Ltd. Class A | 4,526,178 | ||||||||
121,700 | Cineplex, Inc.* (b) | 1,153,238 | ||||||||
37,689 | Descartes Systems Group, Inc. (The)* | 2,299,093 | ||||||||
35,700 | Dorel Industries, Inc. Class B* | 360,451 | ||||||||
117,900 | Enerplus Corp.(b) | 591,916 | ||||||||
19,500 | Exco Technologies, Ltd.(b) | 164,924 | ||||||||
109,385 | Franco-Nevada Corp. | 13,706,523 | ||||||||
57,280 | Gildan Activewear, Inc.* | 1,756,205 | ||||||||
83,800 | Gildan Activewear, Inc. (Toronto Exchange)* | 2,564,306 | ||||||||
58,800 | Loblaw Cos., Ltd. | 3,284,211 | ||||||||
35,800 | Maple Leaf Foods, Inc. | 816,064 | ||||||||
168,200 | Seven Generations Energy, Ltd. Class A* | 1,137,526 | ||||||||
267,100 | ShawCor, Ltd.* | 1,128,457 | ||||||||
|
| |||||||||
Total Canada | 42,066,083 | |||||||||
|
| |||||||||
China — 1.0% | ||||||||||
12,300 | Baidu, Inc., ADR* | 2,675,865 | ||||||||
1,777,000 | China Medical System Holdings, Ltd. | 3,515,395 | ||||||||
3,542,000 | China Resources Cement Holdings, Ltd. | 3,977,344 | ||||||||
104,620 | GDS Holdings, Ltd., ADR* | 8,483,636 | ||||||||
3,714,000 | Jiangnan Group, Ltd. | 179,144 | ||||||||
1,940,000 | Lee & Man Paper Manufacturing, Ltd. | 1,784,178 | ||||||||
628,600 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 1,233,841 | ||||||||
1,289,000 | Shenzhen International Holdings, Ltd. | 2,158,709 | ||||||||
119,850 | Tencent Holdings, Ltd. | 9,403,688 | ||||||||
3,718,700 | Yangzijiang Shipbuilding Holdings, Ltd. | 3,542,673 | ||||||||
|
| |||||||||
Total China | 36,954,473 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
47
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Colombia — 0.0% | ||||||||||
15,095 | Millicom International Cellular SA, SDR* | 581,889 | ||||||||
|
| |||||||||
Denmark — 1.3% | ||||||||||
1,400 | AP Moller - Maersk AS Class B | 3,259,981 | ||||||||
12,606 | Carlsberg AS Class B | 1,941,515 | ||||||||
282,200 | Danske Bank AS | 5,293,521 | ||||||||
63,400 | DFDS AS* | 3,254,185 | ||||||||
80,255 | ISS AS* | 1,499,720 | ||||||||
36,645 | Jyske Bank AS* | 1,752,349 | ||||||||
208,640 | Novo Nordisk AS Class B | 14,169,366 | ||||||||
181,171 | Novozymes AS Class B | 11,632,484 | ||||||||
32,374 | Pandora AS* | 3,476,856 | ||||||||
47,006 | Sydbank AS | 1,269,499 | ||||||||
3,938 | Vestas Wind Systems AS | 810,259 | ||||||||
|
| |||||||||
Total Denmark | 48,359,735 | |||||||||
|
| |||||||||
Finland — 1.4% | ||||||||||
130,610 | Caverion OYJ(b) | 793,625 | ||||||||
62,008 | Kone OYJ Class B | 5,076,679 | ||||||||
32,897 | Konecranes OYJ Class A | 1,469,225 | ||||||||
243,458 | Neste OYJ | 12,950,518 | ||||||||
3,030,310 | Nokia OYJ* | 12,125,201 | ||||||||
445,011 | Nordea Bank Abp | 4,399,131 | ||||||||
305,100 | Nordea Bank Abp (Stockholm Exchange) | 3,010,291 | ||||||||
8,657 | QT Group OYJ* | 909,606 | ||||||||
86,481 | Sampo OYJ Class A | 3,910,132 | ||||||||
155,706 | TietoEVRY OYJ | 4,834,891 | ||||||||
90,400 | Valmet OYJ | 3,294,722 | ||||||||
111,577 | Wartsila OYJ Abp(b) | 1,171,573 | ||||||||
|
| |||||||||
Total Finland | 53,945,594 | |||||||||
|
| |||||||||
France — 10.8% | ||||||||||
76,902 | Air Liquide SA | 12,590,335 | ||||||||
24,100 | Arkema SA | 2,927,359 | ||||||||
146,709 | AXA SA | 3,945,992 | ||||||||
119,700 | BNP Paribas SA* | 7,298,652 | ||||||||
78,800 | Bouygues SA | 3,166,459 | ||||||||
134,370 | Capgemini SE | 22,914,915 | ||||||||
504,353 | Carrefour SA | 9,155,268 | ||||||||
33,000 | Casino Guichard Perrachon SA* | 1,103,042 | ||||||||
1,450,000 | CGG SA* | 1,747,641 | ||||||||
246,322 | Cie de Saint-Gobain* | 14,567,746 | ||||||||
49,146 | Cie Generale des Etablissements Michelin SCA | 7,373,226 | ||||||||
262,645 | CNP Assurances* | 5,003,808 | ||||||||
82,642 | Coface SA* | 916,899 | ||||||||
361,100 | Credit Agricole SA* | 5,239,226 | ||||||||
111,609 | Danone SA | 7,673,679 | ||||||||
91,026 | Dassault Systemes SE | 19,513,664 | ||||||||
211,430 | Edenred | 11,067,903 |
See accompanying Notes to the Financial Statements.
48
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
117,613 | Elior Group SA 144A | 874,999 | ||||||||
36,854 | Engie SA* | 524,322 | ||||||||
40,363 | EssilorLuxottica SA | 6,586,851 | ||||||||
2,080,284 | Europcar Mobility Group* 144A | 671,874 | ||||||||
419,041 | Eutelsat Communications SA | 5,112,136 | ||||||||
4,351 | Faurecia SE* | 232,317 | ||||||||
14,057 | Gaztransport Et Technigaz SA | 1,123,440 | ||||||||
42,863 | IPSOS | 1,622,135 | ||||||||
47,646 | Klepierre SA REIT | 1,113,527 | ||||||||
52,193 | L’Oreal SA | 20,046,697 | ||||||||
178,354 | Legrand SA | 16,627,007 | ||||||||
31,278 | LVMH Moet Hennessy Louis Vuitton SE | 20,883,933 | ||||||||
125,400 | Metropole Television SA* | 2,685,310 | ||||||||
536,500 | Natixis SA* | 2,573,898 | ||||||||
32,193 | Nexans SA* | 2,856,649 | ||||||||
36,500 | Nexity SA | 1,805,166 | ||||||||
1,043,305 | Orange SA | 12,881,187 | ||||||||
102,717 | Pernod Ricard SA | 19,321,753 | ||||||||
62,549 | Publicis Groupe SA | 3,825,658 | ||||||||
35,500 | Quadient SA | 855,324 | ||||||||
88,716 | Renault SA* | 3,850,612 | ||||||||
251,009 | Rexel SA* | 4,985,681 | ||||||||
109,740 | Safran SA* | 14,967,823 | ||||||||
222,737 | Sanofi | 22,055,190 | ||||||||
316,543 | Schneider Electric SE | 48,457,273 | ||||||||
51,200 | Societe BIC SA | 3,003,953 | ||||||||
107,400 | Societe Generale SA* | 2,816,759 | ||||||||
7,000 | Sodexo SA* | 672,812 | ||||||||
22,970 | Sopra Steria Group SACA* | 3,847,019 | ||||||||
46,683 | Teleperformance | 17,052,509 | ||||||||
219,200 | Television Francaise 1* | 2,001,751 | ||||||||
12,319 | Thales SA | 1,226,620 | ||||||||
373,863 | TOTAL SE | 17,477,174 | ||||||||
394,563 | Valeo SA | 13,434,249 | ||||||||
30,407 | Vallourec SA* | 1,036,383 | ||||||||
|
| |||||||||
Total France | 415,315,805 | |||||||||
|
| |||||||||
Georgia — 0.0% | ||||||||||
45,361 | Bank of Georgia Group Plc* | 688,431 | ||||||||
|
| |||||||||
Germany — 7.9% | ||||||||||
14,088 | adidas AG* | 4,407,638 | ||||||||
75,353 | Allianz SE | 19,222,456 | ||||||||
47,200 | Aurubis AG | 3,918,693 | ||||||||
124,673 | BASF SE | 10,380,051 | ||||||||
134,700 | Bayer AG | 8,542,560 | ||||||||
170,748 | BMW AG | 17,754,162 | ||||||||
285,440 | CECONOMY AG* | 1,655,246 | ||||||||
199,910 | Commerzbank AG* | 1,228,340 |
See accompanying Notes to the Financial Statements.
49
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
49,104 | Continental AG | 6,504,131 | ||||||||
149,257 | Covestro AG 144A | 10,058,678 | ||||||||
248,518 | Daimler AG | 22,201,234 | ||||||||
6,575 | Delivery Hero SE* 144A | 853,899 | ||||||||
30,337 | Deutsche Boerse AG | 5,052,322 | ||||||||
199,311 | Deutsche Lufthansa AG* | 2,648,197 | ||||||||
233,239 | Deutsche Pfandbriefbank AG* | 2,719,327 | ||||||||
218,000 | Deutsche Post AG | 11,970,378 | ||||||||
238,300 | Deutsche Telekom AG | 4,808,868 | ||||||||
212,776 | Deutsche Wohnen SE | 9,948,004 | ||||||||
86,787 | Deutz AG* | 649,745 | ||||||||
816,920 | E.ON SE | 9,528,287 | ||||||||
108,773 | Evonik Industries AG | 3,855,680 | ||||||||
72,562 | Freenet AG | 1,740,607 | ||||||||
92,100 | Fresenius SE & Co. KGaA | 4,111,148 | ||||||||
146,222 | GEA Group AG | 6,006,319 | ||||||||
95,863 | HUGO BOSS AG | 3,770,989 | ||||||||
522,216 | Infineon Technologies AG | 22,190,499 | ||||||||
141,996 | Knorr-Bremse AG | 17,760,202 | ||||||||
29,802 | Koenig & Bauer AG* | 890,368 | ||||||||
14,171 | Krones AG | 1,152,538 | ||||||||
33,125 | LEG Immobilien AG | 4,366,590 | ||||||||
24,880 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 7,678,805 | ||||||||
143,265 | Puma SE* | 14,066,404 | ||||||||
54,801 | Rheinmetall AG | 5,564,815 | ||||||||
100,776 | SAP SE | 12,367,711 | ||||||||
42,724 | SAP SE, ADR | 5,246,080 | ||||||||
68,202 | Siemens Energy AG* | 2,453,629 | ||||||||
27,377 | Siltronic AG* | 4,424,224 | ||||||||
47,568 | SMA Solar Technology AG* | 2,800,923 | ||||||||
1,905 | Software AG | 80,468 | ||||||||
87,593 | Suedzucker AG | 1,487,599 | ||||||||
71,932 | Symrise AG Class A | 8,741,605 | ||||||||
138,465 | TAG Immobilien AG* | 3,961,039 | ||||||||
42,000 | Talanx AG* | 1,784,951 | ||||||||
93,600 | United Internet AG | 3,762,274 | ||||||||
10,197 | Volkswagen AG(b) | 3,705,616 | ||||||||
91,701 | Vonovia SE | 6,003,131 | ||||||||
|
| |||||||||
Total Germany | 304,026,430 | |||||||||
|
| |||||||||
Hong Kong — 1.2% | ||||||||||
1,067,200 | AIA Group, Ltd. | 12,944,576 | ||||||||
1,398,000 | Comba Telecom Systems Holdings, Ltd. | 359,640 | ||||||||
62,900 | Hongkong Land Holdings, Ltd. | 308,839 | ||||||||
37,502 | Melco Resorts & Entertainment, Ltd., ADR* | 746,665 | ||||||||
1,142,000 | Techtronic Industries Co., Ltd. | 19,536,559 | ||||||||
9,510,000 | Tongda Group Holdings, Ltd. | 660,548 | ||||||||
1,834,000 | United Laboratories International Holdings, Ltd. (The) | 1,354,071 | ||||||||
6,494,500 | WH Group, Ltd. | 5,262,797 |
See accompanying Notes to the Financial Statements.
50
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
1,088,000 | Xinyi Glass Holdings, Ltd. | 3,554,618 | ||||||||
|
| |||||||||
Total Hong Kong | 44,728,313 | |||||||||
|
| |||||||||
Hungary — 0.2% | ||||||||||
229,600 | MOL Hungarian Oil & Gas Plc* | 1,665,674 | ||||||||
155,400 | Richter Gedeon Nyrt | 4,590,682 | ||||||||
|
| |||||||||
Total Hungary | 6,256,356 | |||||||||
|
| |||||||||
India — 0.3% | ||||||||||
655,450 | HDFC Bank, Ltd.* | 13,396,994 | ||||||||
|
| |||||||||
Indonesia — 0.3% | ||||||||||
3,402,900 | Bank Central Asia Tbk PT | 7,280,214 | ||||||||
3,540,700 | Bank Negara Indonesia Persero Tbk PT* | 1,395,560 | ||||||||
7,888,300 | Golden Agri-Resources, Ltd. | 1,232,914 | ||||||||
|
| |||||||||
Total Indonesia | 9,908,688 | |||||||||
|
| |||||||||
Ireland — 0.6% | ||||||||||
7,700 | AerCap Holdings NV* | 452,298 | ||||||||
225,100 | C&C Group Plc* | 872,703 | ||||||||
46,040 | Kerry Group Plc Class A | 5,773,621 | ||||||||
144,321 | Ryanair Holdings Plc, ADR* | 16,596,915 | ||||||||
|
| |||||||||
Total Ireland | 23,695,537 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
27,594 | Hilan, Ltd. | 1,309,075 | ||||||||
7,365 | Nova Measuring Instruments, Ltd.* | 647,118 | ||||||||
23,841 | Sapiens International Corp. NV | 757,905 | ||||||||
210,300 | Teva Pharmaceutical Industries, Ltd.* | 2,395,807 | ||||||||
18,740 | Wix.com, Ltd.* | 5,232,583 | ||||||||
|
| |||||||||
Total Israel | 10,342,488 | |||||||||
|
| |||||||||
Italy — 2.0% | ||||||||||
3,024,100 | A2A SpA | 5,516,154 | ||||||||
46,310 | Assicurazioni Generali SpA | 928,544 | ||||||||
386,596 | Autogrill SpA* (b) | 3,203,281 | ||||||||
524,667 | Banca Popolare di Sondrio SCPA* | 1,761,126 | ||||||||
551,576 | BPER Banca* | 1,216,473 | ||||||||
39,346 | Buzzi Unicem SpA | 1,025,215 | ||||||||
64,224 | Datalogic SpA | 1,314,904 | ||||||||
964,800 | Enel SpA | 9,630,458 | ||||||||
1,131,173 | Eni SpA | 13,951,426 | ||||||||
83,683 | Esprinet SpA* | 1,058,274 | ||||||||
26,601 | Ferrari NV | 5,575,959 | ||||||||
807,617 | Leonardo SpA | 6,553,220 | ||||||||
291,800 | Mediobanca Banca di Credito Finanziario SpA* | 3,242,958 | ||||||||
1,308,827 | OVS SpA* (b) 144A | 2,064,350 | ||||||||
19,798 | Prysmian SpA | 644,772 | ||||||||
145,558 | Reno de Medici SpA | 195,025 |
See accompanying Notes to the Financial Statements.
51
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
3,938 | Reply SpA | 499,397 | ||||||||
202,979 | Rizzoli Corriere Della Sera Mediagroup SpA* (b) | 170,333 | ||||||||
641,104 | Saipem SpA(b) | 1,751,109 | ||||||||
1,403,126 | Saras SpA* (b) | 953,176 | ||||||||
174,600 | Societa Cattolica di Assicurazioni SC* (b) | 1,027,062 | ||||||||
2,350,434 | Telecom Italia SpA | 1,274,048 | ||||||||
62,217 | Tod’s SpA* (b) | 2,034,299 | ||||||||
344,357 | UniCredit SpA* | 3,647,765 | ||||||||
596,700 | Unipol Gruppo SpA* | 3,335,388 | ||||||||
1,078,000 | UnipolSai Assicurazioni SpA | 3,248,518 | ||||||||
|
| |||||||||
Total Italy | 75,823,234 | |||||||||
|
| |||||||||
Japan — 23.1% | ||||||||||
122,600 | ADEKA Corp. | 2,409,839 | ||||||||
35,900 | Advantest Corp. | 3,144,905 | ||||||||
149,100 | Adways, Inc.(b) | 1,103,745 | ||||||||
2,200 | AEON REIT Investment Corp. REIT | 2,966,516 | ||||||||
134,600 | AGC, Inc. | 5,639,801 | ||||||||
2,900 | AI inside, Inc.* (b) | 932,986 | ||||||||
188,500 | Air Water, Inc. | 3,309,412 | ||||||||
10,300 | Aisin Seiki Co., Ltd.(b) | 391,493 | ||||||||
69,900 | Ajinomoto Co., Inc. | 1,433,108 | ||||||||
193,100 | Alpen Co., Ltd. | 4,148,592 | ||||||||
33,200 | Altech Corp. | 658,291 | ||||||||
21,100 | Amada Co., Ltd.(b) | 235,633 | ||||||||
100,500 | Amano Corp. | 2,444,742 | ||||||||
24,900 | Amiyaki Tei Co., Ltd.(b) | 669,033 | ||||||||
136,700 | Asics Corp. | 2,183,489 | ||||||||
126,800 | ASKA Pharmaceutical Co., Ltd.(a) | 1,679,957 | ||||||||
527,600 | Astellas Pharma, Inc. | 8,126,472 | ||||||||
23,100 | Avex, Inc.(b) | 285,771 | ||||||||
32,200 | Brother Industries, Ltd. | 713,645 | ||||||||
100,600 | Can Do Co., Ltd. | 1,831,739 | ||||||||
108,800 | Canon, Inc. | 2,464,000 | ||||||||
39,709 | Canon, Inc., ADR | 904,174 | ||||||||
110,700 | Casio Computer Co., Ltd.(b) | 2,088,774 | ||||||||
45,400 | Central Glass Co., Ltd. | 967,986 | ||||||||
294,194 | Chiba Bank, Ltd. (The)(b) | 1,930,232 | ||||||||
214,300 | Chubu Electric Power Co., Inc. | 2,763,597 | ||||||||
51,500 | CKD Corp. | 1,075,208 | ||||||||
213,900 | Credit Saison Co., Ltd.(b) | 2,570,671 | ||||||||
57,300 | Cybozu, Inc. | 1,157,408 | ||||||||
374,300 | Dai-ichi Life Holdings, Inc. | 6,442,702 | ||||||||
576,700 | Daicel Corp.(b) | 4,446,592 | ||||||||
15,200 | Daiichikosho Co., Ltd. | 590,118 | ||||||||
53,200 | Daikin Industries, Ltd. | 10,745,919 | ||||||||
111,200 | Daiwa House Industry Co., Ltd.(b) | 3,261,531 | ||||||||
134 | Daiwa Office Investment Corp. REIT | 944,670 | ||||||||
708,000 | Daiwa Securities Group, Inc.(b) | 3,665,582 |
See accompanying Notes to the Financial Statements.
52
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
224,700 | DeNA Co., Ltd.(b) | 4,396,393 | ||||||||
60,000 | Denka Co., Ltd. | 2,400,000 | ||||||||
88,000 | Dexerials Corp. | 1,506,751 | ||||||||
85,100 | DIC Corp. | 2,207,979 | ||||||||
16,200 | Disco Corp. | 5,094,570 | ||||||||
212,900 | DMG Mori Co., Ltd. | 3,495,028 | ||||||||
59,600 | Dowa Holdings Co., Ltd. | 2,483,783 | ||||||||
52,800 | Eagle Industry Co., Ltd. | 569,571 | ||||||||
275,800 | EDION Corp.(b) | 3,092,454 | ||||||||
49,300 | en-japan, Inc. | 1,523,615 | ||||||||
1,251,100 | ENEOS Holdings, Inc.(b) | 5,679,201 | ||||||||
16,200 | Enplas Corp.(b) | 607,683 | ||||||||
180,100 | EPS Holdings, Inc. | 1,841,747 | ||||||||
85,600 | Ezaki Glico Co., Ltd. | 3,443,367 | ||||||||
85,300 | FANUC Corp. | 20,213,398 | ||||||||
38,900 | Freebit Co., Ltd.(b) | 352,388 | ||||||||
159,900 | Fuji Corp. | 4,102,412 | ||||||||
73,200 | Fuji Kyuko Co., Ltd.(b) | 3,895,167 | ||||||||
58,800 | Fujitsu General, Ltd. | 1,641,611 | ||||||||
29,300 | Fujitsu, Ltd. | 4,242,534 | ||||||||
195,000 | Fukuoka Financial Group, Inc.(b) | 3,704,118 | ||||||||
87,100 | Furukawa Co., Ltd. | 1,053,082 | ||||||||
124,400 | Futaba Industrial Co., Ltd. | 667,595 | ||||||||
58,900 | Glory, Ltd. | 1,268,615 | ||||||||
37,800 | Godo Steel, Ltd. | 743,685 | ||||||||
117,500 | Gumi, Inc.(b) | 966,584 | ||||||||
42,600 | GungHo Online Entertainment, Inc. | 842,748 | ||||||||
288,594 | Hachijuni Bank, Ltd. (The) | 1,052,519 | ||||||||
322,500 | Haseko Corp.(b) | 4,520,837 | ||||||||
326,100 | Hazama Ando Corp.(b) | 2,505,510 | ||||||||
70,400 | Hirose Electric Co., Ltd. | 10,843,511 | ||||||||
92,500 | Hitachi Capital Corp.(a) | 2,834,769 | ||||||||
309,100 | Hitachi Zosen Corp.(b) | 2,503,570 | ||||||||
269,800 | Hitachi, Ltd. | 12,217,911 | ||||||||
132,800 | Hokkaido Electric Power Co., Inc.(b) | 606,914 | ||||||||
501,500 | Honda Motor Co., Ltd. | 15,063,154 | ||||||||
25,060 | Honda Motor Co., Ltd., ADR | 756,812 | ||||||||
6,300 | Hosokawa Micron Corp. | 382,561 | ||||||||
73,500 | Hoya Corp. | 8,650,385 | ||||||||
69,900 | Ichinen Holdings Co., Ltd. | 853,349 | ||||||||
12,800 | Idemitsu Kosan Co., Ltd.(b) | 330,599 | ||||||||
477,000 | Inpex Corp. | 3,263,457 | ||||||||
327,600 | Isuzu Motors, Ltd. | 3,525,035 | ||||||||
173,500 | Ito En, Ltd. | 10,661,222 | ||||||||
372,700 | ITOCHU Corp.(b) | 12,098,415 | ||||||||
77,400 | Jaccs Co., Ltd. | 1,589,327 | ||||||||
18,900 | JAFCO Group Co., Ltd.(b) | 1,125,448 | ||||||||
105,600 | Japan Airlines Co., Ltd.* | 2,360,471 | ||||||||
153,300 | Japan Aviation Electronics Industry, Ltd. | 2,483,321 |
See accompanying Notes to the Financial Statements.
53
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
108,700 | Japan Petroleum Exploration Co., Ltd. | 2,021,525 | ||||||||
58,500 | JCR Pharmaceuticals Co., Ltd. | 1,897,941 | ||||||||
30,300 | JFE Holdings, Inc. | 373,746 | ||||||||
59,000 | Juki Corp. | 475,204 | ||||||||
186,600 | K’s Holdings Corp. | 2,568,494 | ||||||||
12,500 | Kaken Pharmaceutical Co., Ltd. | 490,385 | ||||||||
106,500 | Kamigumi Co., Ltd. | 2,021,091 | ||||||||
278,400 | Kandenko Co., Ltd.(b) | 2,446,393 | ||||||||
37,800 | Kaneka Corp.(b) | 1,556,471 | ||||||||
282,500 | Kanematsu Corp. | 3,799,050 | ||||||||
373,100 | Kansai Electric Power Co., Inc. (The) | 4,045,012 | ||||||||
138,300 | Kansai Paint Co., Ltd. | 3,698,430 | ||||||||
278,608 | Kao Corp. | 18,438,555 | ||||||||
70,500 | Kappa Create Co., Ltd.* (b) | 944,891 | ||||||||
42,400 | Katakura Industries Co., Ltd.(b) | 558,299 | ||||||||
17,500 | Kato Sangyo Co., Ltd. | 566,176 | ||||||||
178,100 | Kawasaki Heavy Industries, Ltd.* | 4,419,459 | ||||||||
516,100 | KDDI Corp. | 15,856,647 | ||||||||
51,900 | Keyence Corp. | 23,610,977 | ||||||||
78,600 | Kinden Corp. | 1,340,824 | ||||||||
61,900 | Kirin Holdings Co., Ltd. | 1,187,864 | ||||||||
41,700 | Kisoji Co., Ltd.(b) | 881,172 | ||||||||
46,700 | Kissei Pharmaceutical Co., Ltd. | 1,035,430 | ||||||||
33,100 | Kito Corp.(b) | 546,674 | ||||||||
112,200 | Kobayashi Pharmaceutical Co., Ltd. | 10,488,923 | ||||||||
76,200 | Kohnan Shoji Co., Ltd. | 2,196,353 | ||||||||
6,000 | Konami Holdings Corp. | 357,828 | ||||||||
12,686 | Kose Corp. | 1,797,853 | ||||||||
12,700 | Kotobuki Spirits Co., Ltd.(b) | 826,362 | ||||||||
107,700 | Kubota Corp. | 2,455,657 | ||||||||
19,900 | Kuraray Co., Ltd. | 227,454 | ||||||||
12,000 | Kurimoto, Ltd. | 190,154 | ||||||||
46,300 | KYB Corp.* | 1,265,394 | ||||||||
307,800 | Link And Motivation, Inc.(b) | 1,674,098 | ||||||||
108,800 | Lion Corp. | 2,125,785 | ||||||||
68,600 | M3, Inc. | 4,700,186 | ||||||||
18,500 | Makita Corp.(b) | 794,412 | ||||||||
91,800 | Mandom Corp. | 1,734,646 | ||||||||
867,300 | Marubeni Corp.(b) | 7,227,238 | ||||||||
46,700 | Matsumotokiyoshi Holdings Co., Ltd. | 2,083,538 | ||||||||
63,400 | Maxell Holdings, Ltd.* | 802,684 | ||||||||
35,500 | Mazda Motor Corp.* (b) | 289,783 | ||||||||
486,100 | Mebuki Financial Group, Inc. | 1,148,164 | ||||||||
17,200 | Media Do Co., Ltd.(b) | 1,022,661 | ||||||||
178,100 | Medipal Holdings Corp. | 3,423,388 | ||||||||
535,000 | Mitsubishi Chemical Holdings Corp.(b) | 4,018,068 | ||||||||
348,900 | Mitsubishi Corp.(b) | 9,882,869 | ||||||||
182,200 | Mitsubishi Gas Chemical Co., Inc.(b) | 4,475,030 | ||||||||
118,400 | Mitsubishi Heavy Industries, Ltd. | 3,695,580 |
See accompanying Notes to the Financial Statements.
54
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
69,900 | Mitsubishi Materials Corp. | 1,634,585 | ||||||||
1,091,600 | Mitsubishi UFJ Financial Group, Inc. | 5,845,246 | ||||||||
732,300 | Mitsubishi UFJ Lease & Finance Co., Ltd.(b) | 4,426,936 | ||||||||
67,400 | Mitsui Chemicals, Inc.(b) | 2,131,792 | ||||||||
6,900 | Mitsui OSK Lines, Ltd.(b) | 241,968 | ||||||||
61,900 | Mixi, Inc.(b) | 1,551,701 | ||||||||
836,800 | Mizuho Financial Group, Inc.(b) | 12,108,988 | ||||||||
91,200 | Mizuho Leasing Co., Ltd. | 2,744,253 | ||||||||
32,800 | Mochida Pharmaceutical Co., Ltd. | 1,273,412 | ||||||||
128,700 | MS&AD Insurance Group Holdings, Inc. | 3,784,129 | ||||||||
132,900 | Nankai Electric Railway Co., Ltd.(b) | 3,057,301 | ||||||||
9,200 | NEC Corp. | 542,842 | ||||||||
15,000 | NGK Insulators, Ltd. | 274,751 | ||||||||
146,600 | Nihon House Holdings Co., Ltd.(b) | 449,750 | ||||||||
204,600 | Nihon Kohden Corp. | 5,980,615 | ||||||||
7,900 | Nintendo Co., Ltd. | 4,418,995 | ||||||||
27,380 | Nintendo Co., Ltd., ADR | 1,938,504 | ||||||||
4,600 | Nippon Express Co., Ltd. | 343,023 | ||||||||
99,400 | Nippon Kayaku Co., Ltd. | 961,616 | ||||||||
29,000 | Nippon Light Metal Holdings Co., Ltd. | 580,787 | ||||||||
118,900 | Nippon Paper Industries Co., Ltd.(b) | 1,426,800 | ||||||||
30,300 | Nippon Sanso Holdings Corp.(b) | 576,934 | ||||||||
452,600 | Nippon Sheet Glass Co., Ltd.* (b) | 2,322,391 | ||||||||
126,900 | Nippon Soda Co., Ltd. | 4,013,715 | ||||||||
49,100 | Nippon Steel Corp. | 838,255 | ||||||||
577,400 | Nippon Telegraph & Telephone Corp. | 14,850,414 | ||||||||
52,000 | Nippon Yusen KK | 1,776,471 | ||||||||
173,800 | Nishio Rent All Co., Ltd. | 4,709,115 | ||||||||
996,900 | Nissan Motor Co., Ltd.* | 5,556,477 | ||||||||
101,400 | Nisshin Oillio Group, Ltd. (The) | 2,996,118 | ||||||||
28,900 | Nissin Foods Holdings Co., Ltd.(b) | 2,147,231 | ||||||||
29,300 | Nitto Denko Corp. | 2,508,398 | ||||||||
49,000 | Nojima Corp. | 1,246,950 | ||||||||
2,021,300 | Nomura Holdings, Inc. | 10,635,148 | ||||||||
35,900 | Nomura Micro Science Co., Ltd.(b) | 1,193,959 | ||||||||
262,600 | Nomura Research Institute, Ltd. | 8,139,412 | ||||||||
432,641 | North Pacific Bank, Ltd.(b) | 1,252,897 | ||||||||
88,300 | NTT Data Corp.(b) | 1,368,850 | ||||||||
24,200 | Obara Group, Inc.(b) | 828,932 | ||||||||
389,700 | Obayashi Corp.(b) | 3,579,597 | ||||||||
48,700 | Obic Co., Ltd.(b) | 8,915,846 | ||||||||
51,700 | Oisix ra daichi, Inc.* (b) | 1,363,851 | ||||||||
104,300 | Oki Electric Industry Co., Ltd. | 1,085,475 | ||||||||
153,900 | Okuwa Co., Ltd. | 1,685,240 | ||||||||
648,200 | Olympus Corp. | 13,439,151 | ||||||||
101,000 | Omron Corp. | 7,897,195 | ||||||||
10,100 | Oriental Land Co., Ltd. | 1,519,570 | ||||||||
322,500 | ORIX Corp.(b) | 5,451,855 | ||||||||
229,300 | Osaka Gas Co., Ltd. | 4,476,019 |
See accompanying Notes to the Financial Statements.
55
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
40,100 | Otsuka Holdings Co., Ltd. | 1,700,893 | ||||||||
120,300 | Outsourcing, Inc. | 1,942,219 | ||||||||
67,500 | Pacific Metals Co., Ltd.(b) | 1,310,294 | ||||||||
62,200 | Pilot Corp. | 1,987,023 | ||||||||
68,400 | Plenus Co., Ltd. | 1,170,538 | ||||||||
66,100 | Prima Meat Packers, Ltd. | 2,087,683 | ||||||||
30,300 | Punch Industry Co., Ltd. | 166,719 | ||||||||
13,000 | Qol Holdings Co., Ltd. | 183,059 | ||||||||
306,000 | Rakuten, Inc. | 3,652,615 | ||||||||
437,100 | Recruit Holdings Co., Ltd. | 21,364,499 | ||||||||
6,200 | Relia, Inc. | 80,291 | ||||||||
47,300 | Renesas Electronics Corp.* | 513,665 | ||||||||
536,500 | Rengo Co., Ltd.(b) | 4,665,851 | ||||||||
714,000 | Resona Holdings, Inc.(b) | 3,003,323 | ||||||||
189,900 | Resorttrust, Inc. | 3,175,884 | ||||||||
42,200 | Ricoh Co., Ltd.(b) | 429,256 | ||||||||
288,000 | Rohto Pharmaceutical Co., Ltd. | 7,696,507 | ||||||||
12,500 | RS Technologies Co., Ltd.(b) | 722,851 | ||||||||
17,400 | Saizeriya Co., Ltd. | 358,235 | ||||||||
130,400 | Sangetsu Corp. | 1,979,012 | ||||||||
194,400 | Sanki Engineering Co., Ltd. | 2,556,228 | ||||||||
53,700 | Sankyu, Inc. | 2,361,828 | ||||||||
505,200 | Santen Pharmaceutical Co., Ltd. | 6,963,073 | ||||||||
17,800 | Sanyo Trading Co., Ltd. | 185,732 | ||||||||
189,400 | Sapporo Holdings, Ltd. | 3,930,264 | ||||||||
40,100 | Sawai Pharmaceutical Co., Ltd.(a) | 1,948,751 | ||||||||
116,600 | Secom Co., Ltd. | 9,827,111 | ||||||||
165,600 | Seiko Epson Corp.(b) | 2,697,557 | ||||||||
82,300 | Seino Holdings Co., Ltd. | 1,148,476 | ||||||||
138,000 | Senshu Ikeda Holdings, Inc. | 222,299 | ||||||||
263,600 | Shimadzu Corp. | 9,554,009 | ||||||||
21,400 | Shin-Etsu Chemical Co., Ltd. | 3,604,109 | ||||||||
315,500 | Shinmaywa Industries, Ltd. | 2,918,018 | ||||||||
154,100 | Shinsei Bank, Ltd. | 2,494,886 | ||||||||
47,500 | Shionogi & Co., Ltd. | 2,558,552 | ||||||||
6,600 | Showa Denko KK | 188,145 | ||||||||
308,300 | SKY Perfect JSAT Holdings, Inc. | 1,372,702 | ||||||||
92,000 | Skylark Holdings Co., Ltd.* | 1,378,751 | ||||||||
15,400 | SMC Corp. | 8,962,661 | ||||||||
62,800 | Sohgo Security Services Co., Ltd. | 2,972,344 | ||||||||
133,900 | Soiken Holdings, Inc.(b) | 681,012 | ||||||||
1,670,600 | Sojitz Corp.(b) | 4,716,988 | ||||||||
57,600 | Sompo Holdings, Inc.(b) | 2,211,214 | ||||||||
44,300 | Sony Corp. | 4,648,493 | ||||||||
47,800 | Sony Corp., ADR | 5,067,278 | ||||||||
4,200 | ST Corp. | 74,308 | ||||||||
18,500 | Sugi Holdings Co., Ltd. | 1,468,281 | ||||||||
17,300 | SUMCO Corp. | 395,473 | ||||||||
19,600 | Sumitomo Bakelite Co., Ltd. | 802,624 |
See accompanying Notes to the Financial Statements.
56
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
93,000 | Sumitomo Chemical Co., Ltd. | 482,253 | ||||||||
137,900 | Sumitomo Corp.(b) | 1,968,039 | ||||||||
196,600 | Sumitomo Electric Industries, Ltd. | 2,949,890 | ||||||||
90,600 | Sumitomo Forestry Co., Ltd. | 1,956,304 | ||||||||
128,500 | Sumitomo Heavy Industries, Ltd.(b) | 3,575,905 | ||||||||
25,400 | Sumitomo Metal Mining Co., Ltd. | 1,098,521 | ||||||||
414,700 | Sumitomo Mitsui Construction Co., Ltd. | 1,872,718 | ||||||||
182,300 | Sumitomo Mitsui Financial Group, Inc.(b) | 6,610,643 | ||||||||
158,100 | Sumitomo Mitsui Trust Holdings, Inc.(b) | 5,521,338 | ||||||||
330,400 | Sumitomo Rubber Industries, Ltd. | 3,902,009 | ||||||||
11,700 | Sumitomo Seika Chemicals Co., Ltd. | 427,765 | ||||||||
38,400 | T&D Holdings, Inc. | 495,551 | ||||||||
67,700 | Taiheiyo Cement Corp. | 1,783,481 | ||||||||
117,200 | Takara Bio, Inc. | 3,147,960 | ||||||||
42,800 | Takara Holdings, Inc.(b) | 583,707 | ||||||||
134,000 | Takashimaya Co., Ltd. | 1,432,163 | ||||||||
11,400 | TDK Corp. | 1,581,557 | ||||||||
389,600 | Teijin, Ltd.(b) | 6,723,685 | ||||||||
222,000 | Terumo Corp. | 8,034,190 | ||||||||
27,200 | Tohoku Electric Power Co., Inc. | 257,231 | ||||||||
37,600 | Tokio Marine Holdings, Inc.(b) | 1,791,529 | ||||||||
142,000 | Tokuyama Corp. | 3,589,195 | ||||||||
93,500 | Tokyo Electric Power Co. Holdings, Inc.* | 312,231 | ||||||||
10,000 | Tokyo Electron, Ltd. | 4,234,389 | ||||||||
15,700 | Tokyo Electron, Ltd., ADR | 1,715,225 | ||||||||
176,900 | Tokyo Gas Co., Ltd. | 3,942,229 | ||||||||
57,100 | Tokyotokeiba Co., Ltd. | 2,888,588 | ||||||||
200,800 | Tokyu Construction Co., Ltd. | 1,093,951 | ||||||||
150,100 | Tomy Co., Ltd. | 1,365,163 | ||||||||
23,500 | Tosho Co., Ltd.(b) | 397,480 | ||||||||
16,900 | Tosoh Corp.(b) | 323,929 | ||||||||
36,000 | TOTO, Ltd. | 2,215,385 | ||||||||
111,400 | Towa Corp.(b) | 2,154,405 | ||||||||
54,000 | Towa Pharmaceutical Co., Ltd. | 1,193,864 | ||||||||
54,200 | Toyo Ink SC Holdings Co., Ltd. | 996,201 | ||||||||
198,900 | Toyo Suisan Kaisha, Ltd.(b) | 8,370,000 | ||||||||
25,700 | Toyo Tanso Co., Ltd. | 498,650 | ||||||||
99,300 | Toyota Motor Corp.(b) | 7,742,704 | ||||||||
9,000 | Toyota Motor Corp., ADR | 1,404,540 | ||||||||
13,000 | Toyota Tsusho Corp. | 546,471 | ||||||||
27,500 | Transcosmos, Inc. | 743,122 | ||||||||
171,200 | TS Tech Co., Ltd. | 2,554,831 | ||||||||
16,600 | Tsubakimoto Chain Co. | 458,190 | ||||||||
68,500 | UACJ Corp.* | 1,653,919 | ||||||||
130,200 | Ube Industries, Ltd.(b) | 2,778,386 | ||||||||
48,700 | Ulvac, Inc. | 2,051,570 | ||||||||
2,000 | Unicharm Corp. | 84,072 | ||||||||
198,700 | Valor Holdings Co., Ltd.(b) | 4,472,099 | ||||||||
242,200 | Yamaha Motor Co., Ltd. | 5,942,119 |
See accompanying Notes to the Financial Statements.
57
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
19,300 | Yaskawa Electric Corp. | 962,380 | ||||||||
170,500 | Yokogawa Electric Corp. | 3,144,606 | ||||||||
129,200 | Yokohama Rubber Co., Ltd. (The) | 2,315,077 | ||||||||
101,300 | Yoshinoya Holdings Co., Ltd.* | 2,016,833 | ||||||||
|
| |||||||||
Total Japan | 884,831,614 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
94,592 | APERAM SA | 4,271,302 | ||||||||
|
| |||||||||
Mexico — 0.5% | ||||||||||
4,798,500 | America Movil SAB de CV Series L | 3,266,934 | ||||||||
2,144,500 | Cemex SAB de CV, ADR* | 14,947,165 | ||||||||
|
| |||||||||
Total Mexico | 18,214,099 | |||||||||
|
| |||||||||
Netherlands — 4.5% | ||||||||||
11,594 | Accell Group NV* | 536,200 | ||||||||
11,829 | Adyen NV* 144A | 26,463,632 | ||||||||
1,962,004 | Aegon NV | 9,339,066 | ||||||||
8,595 | ASM International NV | 2,505,221 | ||||||||
42,031 | ASML Holding NV | 25,539,288 | ||||||||
59 | ASML Holding NV ADR NYRS | 36,424 | ||||||||
3,629 | ASR Nederland NV | 162,972 | ||||||||
53,702 | BE Semiconductor Industries NV | 4,509,002 | ||||||||
18,259 | Corbion NV | 1,019,340 | ||||||||
36,022 | Euronext NV | 3,636,717 | ||||||||
99,030 | Heineken NV | 10,198,083 | ||||||||
434,800 | ING Groep NV | 5,330,963 | ||||||||
83,734 | Intertrust NV* 144A | 1,389,585 | ||||||||
375,800 | Koninklijke Ahold Delhaize NV | 10,489,841 | ||||||||
294,932 | Koninklijke BAM Groep NV* | 748,728 | ||||||||
42,140 | Koninklijke DSM NV | 7,146,763 | ||||||||
117,082 | Koninklijke KPN NV | 398,233 | ||||||||
121,391 | Koninklijke Philips NV* | 6,944,500 | ||||||||
226,853 | NN Group NV | 11,115,396 | ||||||||
124,622 | Royal Dutch Shell Plc Class A | 2,430,902 | ||||||||
608,462 | Royal Dutch Shell Plc Class A (Amsterdam Exchange) | 12,014,101 | ||||||||
3,214 | Royal Dutch Shell Plc Class A, ADR | 126,021 | ||||||||
280,600 | Royal Dutch Shell Plc Class B | 5,168,372 | ||||||||
160,430 | Royal Dutch Shell Plc Class B, ADR | 5,908,637 | ||||||||
223,856 | Signify NV* 144A | 11,565,781 | ||||||||
50,901 | TKH Group NV CVA, ADR | 2,447,995 | ||||||||
133,621 | TomTom NV* | 1,236,727 | ||||||||
1,859 | Topicus.com, Inc.* | 122,084 | ||||||||
29,119 | Wolters Kluwer NV | 2,536,649 | ||||||||
|
| |||||||||
Total Netherlands | 171,067,223 | |||||||||
|
| |||||||||
New Zealand — 0.0% | ||||||||||
382,047 | SKYCITY Entertainment Group, Ltd.* | 931,132 | ||||||||
|
|
See accompanying Notes to the Financial Statements.
58
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Norway — 0.4% | ||||||||||
100,400 | Austevoll Seafood ASA | 1,217,312 | ||||||||
237,976 | DNB ASA | 5,073,788 | ||||||||
161,649 | Elkem ASA 144A | 704,440 | ||||||||
121,804 | Equinor ASA | 2,387,181 | ||||||||
141,653 | Golden Ocean Group, Ltd.* | 982,370 | ||||||||
297,600 | Leroy Seafood Group ASA | 2,548,461 | ||||||||
80,829 | Nordic Semiconductor ASA* | 1,451,567 | ||||||||
|
| |||||||||
Total Norway | 14,365,119 | |||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
74,579 | Hudbay Minerals, Inc. | 512,358 | ||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
6,261,800 | Vista Land & Lifescapes, Inc. | 482,496 | ||||||||
|
| |||||||||
Portugal — 0.1% | ||||||||||
782,528 | Banco Espirito Santo SA* (a) (c) | — | ||||||||
651,430 | Navigator Co. SA (The)* (b) | 2,136,095 | ||||||||
|
| |||||||||
Total Portugal | 2,136,095 | |||||||||
|
| |||||||||
Russia — 1.2% | ||||||||||
212,761 | Evraz Plc | 1,696,698 | ||||||||
120,640,000 | Federal Grid Co. Unified Energy System PJSC | 346,622 | ||||||||
2,782,800 | Gazprom PJSC | 8,378,017 | ||||||||
426,500 | Gazprom PJSC, ADR | 2,543,646 | ||||||||
33,212 | LUKOIL PJSC | 2,687,965 | ||||||||
67,700 | LUKOIL PJSC, ADR | 5,469,483 | ||||||||
23,645 | Magnit PJSC | 1,672,273 | ||||||||
19,975 | MMC Norilsk Nickel PJSC | 6,244,936 | ||||||||
84,300 | MMC Norilsk Nickel PJSC, ADR | 2,628,474 | ||||||||
24,755 | Novatek PJSC | 488,552 | ||||||||
29,417 | PhosAgro PJSC | 1,577,217 | ||||||||
54,540 | Polymetal International Plc | 1,068,158 | ||||||||
8,465 | Polyus PJSC | 1,562,554 | ||||||||
351,240 | Rosneft Oil Co. PJSC | 2,665,040 | ||||||||
45,975,000 | ROSSETI PJSC | 917,689 | ||||||||
74,268,000 | RusHydro PJSC | 799,732 | ||||||||
533,430 | Sberbank of Russia PJSC | 2,055,491 | ||||||||
44,800 | Tatneft PJSC, ADR | 2,125,312 | ||||||||
|
| |||||||||
Total Russia | 44,927,859 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
3,565,000 | IGG, Inc. | 4,594,705 | ||||||||
719,300 | NetLink NBN Trust | 505,908 | ||||||||
259,300 | United Overseas Bank, Ltd. | 4,984,906 | ||||||||
242,600 | Venture Corp., Ltd. | 3,622,027 | ||||||||
|
| |||||||||
Total Singapore | 13,707,546 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
59
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
South Africa — 0.6% | ||||||||||
17,400 | Anglo American Platinum, Ltd. | 2,536,014 | ||||||||
390,686 | Anglo American Plc | 15,321,918 | ||||||||
272,600 | Aspen Pharmacare Holdings, Ltd.* | 2,665,032 | ||||||||
1,003,000 | Old Mutual, Ltd.(b) | 848,570 | ||||||||
|
| |||||||||
Total South Africa | 21,371,534 | |||||||||
|
| |||||||||
South Korea — 1.3% | ||||||||||
55,800 | Kia Motors Corp. | 4,087,316 | ||||||||
2,626 | Samsung Electro-Mechanics Co., Ltd. | 435,056 | ||||||||
553,521 | Samsung Electronics Co., Ltd. | 39,811,451 | ||||||||
26,500 | Samyang Foods Co., Ltd. | 2,083,941 | ||||||||
14,100 | SK Telecom Co., Ltd. | 3,426,110 | ||||||||
68,214 | Top Engineering Co., Ltd.* | 555,717 | ||||||||
|
| |||||||||
Total South Korea | 50,399,591 | |||||||||
|
| |||||||||
Spain — 2.6% | ||||||||||
59,099 | Acerinox SA | 772,732 | ||||||||
351,505 | Amadeus IT Group SA* | 24,944,405 | ||||||||
5,196,424 | Banco de Sabadell SA(b) | 2,784,953 | ||||||||
1,936,904 | Banco Santander SA* | 6,594,853 | ||||||||
5,207,340 | CaixaBank SA | 16,151,165 | ||||||||
231,550 | Cellnex Telecom SA(b) | 13,362,103 | ||||||||
53,689 | eDreams ODIGEO SA* (b) | 297,204 | ||||||||
161,200 | Enagas SA | 3,508,767 | ||||||||
173,182 | Ercros SA | 520,046 | ||||||||
39,212 | Grupo Catalana Occidente SA | 1,566,919 | ||||||||
1,107,894 | Iberdrola SA | 14,303,647 | ||||||||
20,191 | Let’s GOWEX SA* (a) (c) | — | ||||||||
1,816,288 | Mapfre SA | 3,791,196 | ||||||||
481,400 | Mediaset Espana Comunicacion SA* | 2,865,722 | ||||||||
752,626 | Repsol SA | 9,340,963 | ||||||||
|
| |||||||||
Total Spain | 100,804,675 | |||||||||
|
| |||||||||
Sweden — 2.8% | ||||||||||
172,496 | Betsson AB* | 1,603,983 | ||||||||
99,593 | Bilia AB Class A* | 1,478,533 | ||||||||
29,212 | BillerudKorsnas AB | 544,103 | ||||||||
267,788 | Boliden AB | 9,954,145 | ||||||||
109,785 | Bonava AB Class B* | 1,274,651 | ||||||||
322,095 | Byggmax Group AB* | 2,817,680 | ||||||||
349,799 | Electrolux Professional AB Class B* | 1,817,961 | ||||||||
232,157 | Epiroc AB Class A | 5,268,366 | ||||||||
119,627 | H & M Hennes & Mauritz AB Class B* (b) | 2,700,299 | ||||||||
186,872 | Hexagon AB Class B | 17,271,558 | ||||||||
18,715 | Hexpol AB | 211,707 | ||||||||
157,008 | Intrum AB | 5,043,681 | ||||||||
78,133 | Inwido AB* | 1,290,817 | ||||||||
73,070 | JM AB(b) | 2,476,381 |
See accompanying Notes to the Financial Statements.
60
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Sweden — continued | ||||||||||
38,819 | Lindab International AB | 786,062 | ||||||||
56,623 | Nobia AB* | 431,999 | ||||||||
11,588 | Sandvik AB* | 317,210 | ||||||||
645,800 | SAS AB* (b) | 149,071 | ||||||||
158,500 | Securitas AB Class B | 2,700,372 | ||||||||
190,700 | SKF AB Class B | 5,430,256 | ||||||||
56,246 | SkiStar AB* | 771,775 | ||||||||
223,406 | Svenska Handelsbanken AB Class A(b) | 2,431,340 | ||||||||
20,670 | Swedish Match AB | 1,616,833 | ||||||||
1,613,505 | Telefonaktiebolaget LM Ericsson Class B | 21,389,868 | ||||||||
309,800 | Telefonaktiebolaget LM Ericsson, ADR | 4,086,262 | ||||||||
478,676 | Telia Co. AB(b) | 2,077,523 | ||||||||
432,600 | Volvo AB Class B* (b) | 10,963,521 | ||||||||
|
| |||||||||
Total Sweden | 106,905,957 | |||||||||
|
| |||||||||
Switzerland — 8.0% | ||||||||||
54,200 | ABB, Ltd., ADR | 1,651,474 | ||||||||
132,307 | Adecco Group AG | 8,946,520 | ||||||||
76,589 | Arbonia AG* | 1,363,897 | ||||||||
4,912 | Bachem Holding AG | 2,113,754 | ||||||||
452 | Belimo Holding AG | 3,669,213 | ||||||||
176 | Chocoladefabriken Lindt & Spruengli AG | 1,542,793 | ||||||||
61,010 | Cie Financiere Richemont SA | 5,882,216 | ||||||||
128,926 | Clariant AG(b) | 2,610,986 | ||||||||
8,278 | Comet Holding AG | 1,908,650 | ||||||||
635,800 | Credit Suisse Group AG | 6,689,360 | ||||||||
8,903 | dormakaba Holding AG(b) | 6,106,239 | ||||||||
37,664 | Dufry AG* (b) | 2,575,631 | ||||||||
20,200 | Flughafen Zurich AG* | 3,333,220 | ||||||||
8,718 | Geberit AG | 5,572,702 | ||||||||
5,994 | Givaudan SA | 23,195,185 | ||||||||
27,003 | Huber + Suhner AG | 2,100,217 | ||||||||
42,219 | Julius Baer Group, Ltd. | 2,711,275 | ||||||||
92,600 | LafargeHolcim, Ltd.* | 5,464,595 | ||||||||
26,095 | Lonza Group AG | 14,650,797 | ||||||||
331,473 | Nestle SA | 37,100,745 | ||||||||
33,800 | Nestle SA, ADR | 3,769,038 | ||||||||
168,100 | Novartis AG | 14,426,433 | ||||||||
14,377 | Partners Group Holding AG | 18,438,123 | ||||||||
90,485 | Roche Holding AG | 29,366,884 | ||||||||
34,129 | Schindler Holding AG | 10,066,632 | ||||||||
4,218 | SGS SA | 12,015,575 | ||||||||
22,342 | Sika AG | 6,409,542 | ||||||||
6,799 | STMicroelectronics NV ADR NYRS | 260,606 | ||||||||
22,320 | Swatch Group AG (The) | 1,248,630 | ||||||||
5,300 | Swatch Group AG (The) (Bearer Shares) | 1,531,180 | ||||||||
33,334 | Swiss Life Holding AG | 16,455,375 | ||||||||
140,082 | Swiss Re AG | 13,836,288 | ||||||||
5,156 | Tecan Group AG | 2,297,643 |
See accompanying Notes to the Financial Statements.
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Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
41,936 | Temenos AG | 6,062,150 | ||||||||
1,129,836 | UBS Group AG | 17,569,091 | ||||||||
11,069 | Valora Holding AG* | 2,358,109 | ||||||||
13,661 | Wizz Air Holdings Plc* 144A | 908,855 | ||||||||
26,340 | Zur Rose Group AG* | 9,935,398 | ||||||||
|
| |||||||||
Total Switzerland | 306,145,021 | |||||||||
|
| |||||||||
Taiwan — 1.9% | ||||||||||
1,288,000 | Chipbond Technology Corp. | 3,507,433 | ||||||||
1,483,000 | ChipMOS Technologies, Inc. | 2,299,890 | ||||||||
1,961,000 | Compeq Manufacturing Co., Ltd. | 2,948,407 | ||||||||
1,854,000 | Fubon Financial Holding Co., Ltd. | 3,690,716 | ||||||||
1,052,000 | Hon Hai Precision Industry Co., Ltd. | 4,571,829 | ||||||||
43,290 | Sea, Ltd., ADR* | 9,663,627 | ||||||||
768,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 15,799,811 | ||||||||
252,005 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 29,807,151 | ||||||||
|
| |||||||||
Total Taiwan | 72,288,864 | |||||||||
|
| |||||||||
Thailand — 0.0% | ||||||||||
16,831,100 | Quality Houses PCL Class F | 1,324,944 | ||||||||
16,156,000 | Sansiri PCL Class F | 558,352 | ||||||||
|
| |||||||||
Total Thailand | 1,883,296 | |||||||||
|
| |||||||||
Turkey — 0.1% | ||||||||||
280,700 | Coca-Cola Icecek AS | 2,333,443 | ||||||||
98,041 | Ford Otomotiv Sanayi AS | 2,289,845 | ||||||||
1,118,001 | Torunlar Gayrimenkul Yatirim Ortakligi AS REIT* | 429,572 | ||||||||
|
| |||||||||
Total Turkey | 5,052,860 | |||||||||
|
| |||||||||
United Kingdom — 9.6% | ||||||||||
484,537 | 3i Group Plc | 7,711,331 | ||||||||
98,576 | Aggreko Plc | 1,192,767 | ||||||||
226,520 | Ashtead Group Plc | 13,523,162 | ||||||||
203,260 | ASOS Plc* | 15,519,434 | ||||||||
45,134 | AstraZeneca Plc, ADR | 2,244,063 | ||||||||
300,343 | Avast Plc 144A | 1,889,588 | ||||||||
1,072,500 | Babcock International Group Plc* | 3,382,660 | ||||||||
1,362,300 | BAE Systems Plc | 9,491,808 | ||||||||
1,759,000 | Barclays Plc | 4,512,080 | ||||||||
280,200 | Barratt Developments Plc* | 2,887,070 | ||||||||
54,979 | Bellway Plc | 2,581,330 | ||||||||
44,100 | Berkeley Group Holdings Plc | 2,700,900 | ||||||||
93,857 | Bodycote Plc | 1,070,272 | ||||||||
385,736 | boohoo Group Plc* | 1,809,480 | ||||||||
802,969 | BP Plc | 3,264,300 | ||||||||
489,607 | BP Plc, ADR | 11,921,930 | ||||||||
283,200 | British American Tobacco Plc | 10,838,883 | ||||||||
175,400 | British American Tobacco Plc, ADR | 6,794,996 |
See accompanying Notes to the Financial Statements.
62
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Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
1,821,700 | BT Group Plc* | 3,890,744 | ||||||||
1,634,400 | Centrica Plc* | 1,220,848 | ||||||||
164,112 | Chemring Group Plc | 602,292 | ||||||||
714,500 | CK Hutchison Holdings, Ltd. | 5,693,429 | ||||||||
208,495 | CNH Industrial NV* | 3,233,356 | ||||||||
229,812 | Compass Group Plc* | 4,634,003 | ||||||||
171,681 | ConvaTec Group Plc 144A | 464,499 | ||||||||
208,800 | Crest Nicholson Holdings Plc* | 1,175,372 | ||||||||
33,132 | Croda International Plc | 2,901,813 | ||||||||
407,659 | Diageo Plc | 16,814,362 | ||||||||
53,400 | Dialog Semiconductor Plc* | 4,030,511 | ||||||||
1,270,746 | Dixons Carphone Plc* | 2,505,393 | ||||||||
44,534 | EMIS Group Plc | 675,879 | ||||||||
1,308,680 | EnQuest Plc* | 320,311 | ||||||||
241,969 | Experian Plc | 8,336,103 | ||||||||
177,751 | Firstgroup Plc* | 225,746 | ||||||||
7,453 | Games Workshop Group Plc | 1,024,692 | ||||||||
1,137,081 | GlaxoSmithKline Plc | 20,206,546 | ||||||||
57,397 | Greggs Plc* | 1,777,039 | ||||||||
233,369 | Halma Plc | 7,643,789 | ||||||||
622,255 | Hays Plc* | 1,283,496 | ||||||||
218,127 | Hiscox, Ltd.* | 2,589,373 | ||||||||
3,264,400 | HSBC Holdings Plc | 19,104,914 | ||||||||
473,508 | IMI Plc | 8,715,011 | ||||||||
229,500 | Imperial Brands Plc | 4,724,288 | ||||||||
30,282 | InterContinental Hotels Group Plc* | 2,078,559 | ||||||||
104,240 | Intertek Group Plc | 8,056,795 | ||||||||
1,699,153 | J Sainsbury Plc | 5,684,981 | ||||||||
91,998 | JD Sports Fashion Plc* | 1,046,662 | ||||||||
22,417 | Johnson Matthey Plc | 931,883 | ||||||||
172,095 | Jupiter Fund Management Plc | 661,507 | ||||||||
1,756,600 | Kingfisher Plc* | 7,714,261 | ||||||||
5,315,800 | Lloyds Banking Group Plc* | 3,119,607 | ||||||||
690,031 | M&G Plc | 1,974,523 | ||||||||
1,263,445 | Man Group Plc | 2,807,384 | ||||||||
676,700 | Marks & Spencer Group Plc* | 1,408,401 | ||||||||
379,651 | Marston’s Plc* | 514,900 | ||||||||
101,286 | Meggitt Plc* | 667,140 | ||||||||
603,396 | Melrose Industries Plc* | 1,389,452 | ||||||||
169,065 | Micro Focus International Plc | 1,290,389 | ||||||||
484,800 | Mitchells & Butlers Plc* (b) | 2,153,790 | ||||||||
519,456 | Mitie Group Plc* | 450,800 | ||||||||
419,058 | Paragon Banking Group Plc | 2,645,727 | ||||||||
1,132,996 | QinetiQ Group Plc | 4,939,697 | ||||||||
195,105 | Reckitt Benckiser Group Plc | 17,491,736 | ||||||||
247,100 | Redrow Plc | 2,141,003 | ||||||||
192,666 | RELX Plc | 4,835,291 | ||||||||
95,475 | RELX Plc (London Exchange) | 2,403,575 | ||||||||
364,774 | Rolls-Royce Holdings Plc* | 529,953 |
See accompanying Notes to the Financial Statements.
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Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
266,653 | Rotork Plc | 1,311,936 | ||||||||
324,347 | Sage Group Plc (The) | 2,742,290 | ||||||||
376,251 | Senior Plc* | 574,659 | ||||||||
120,298 | Smith & Nephew Plc | 2,287,138 | ||||||||
146,272 | Spectris Plc | 6,714,270 | ||||||||
68,738 | Spirax-Sarco Engineering Plc | 10,811,515 | ||||||||
968,534 | Stagecoach Group Plc* | 1,341,632 | ||||||||
145,983 | SThree Plc* | 775,439 | ||||||||
562,500 | Tate & Lyle Plc | 5,954,097 | ||||||||
1,435,900 | Taylor Wimpey Plc* | 3,574,916 | ||||||||
1,688,179 | Tesco Plc | 5,330,332 | ||||||||
74,000 | Vistry Group Plc | 1,114,908 | ||||||||
318,990 | Whitbread Plc* | 15,078,191 | ||||||||
1,765,500 | Wm Morrison Supermarkets Plc | 4,444,229 | ||||||||
11,221 | WPP Plc | 142,524 | ||||||||
33,400 | WPP Plc, ADR | 2,134,260 | ||||||||
|
| |||||||||
Total United Kingdom | 368,400,215 | |||||||||
|
| |||||||||
United States — 2.6% | ||||||||||
68,616 | Analog Devices, Inc. | 10,640,969 | ||||||||
39,517 | ANSYS, Inc.* | 13,418,392 | ||||||||
21,524 | Atlassian Corp. Plc Class A* | 4,536,398 | ||||||||
188,922 | Cadence Design Systems, Inc.* | 25,880,425 | ||||||||
124,619 | Colgate-Palmolive Co. | 9,823,716 | ||||||||
41,634 | Core Laboratories NV | 1,198,643 | ||||||||
0 | (d) | International Flavors & Fragrances, Inc. | — | |||||||
140,221 | James Hardie Industries Plc, CDI | 4,254,885 | ||||||||
81,612 | Janus Henderson Group Plc | 2,542,214 | ||||||||
764,100 | JBS SA | 4,100,115 | ||||||||
23,775 | Nordson Corp. | 4,723,617 | ||||||||
255,527 | Stellantis NV | 4,528,837 | ||||||||
728,363 | Tenaris SA | 8,228,301 | ||||||||
22,244 | Texas Instruments, Inc. | 4,203,893 | ||||||||
|
| |||||||||
Total United States | 98,080,405 | |||||||||
|
| |||||||||
Zambia — 0.1% | ||||||||||
125,788 | First Quantum Minerals, Ltd. | 2,396,963 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $2,974,345,810) | 3,544,443,605 | |||||||||
|
| |||||||||
INVESTMENT COMPANIES — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
402,490 | iShares MSCI EAFE ETF | 30,536,916 | ||||||||
97,734 | Vanguard FTSE Developed Markets ETF | 4,799,717 | ||||||||
|
| |||||||||
Total United States | 35,336,633 | |||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANIES (COST $30,351,538) | 35,336,633 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
64
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Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 1.6% | ||||||||||
Brazil — 0.1% | ||||||||||
67,619 | Cia de Transmissao de Energia Eletrica Paulista, 13.08% | 303,525 | ||||||||
282,800 | Petroleo Brasileiro SA, 0.00% | 1,207,776 | ||||||||
|
| |||||||||
Total Brazil | 1,511,301 | |||||||||
|
| |||||||||
Germany — 1.5% | ||||||||||
24,811 | BMW AG, 3.67% | 1,978,530 | ||||||||
174,472 | Henkel AG & Co. KGaA, 1.94% | 19,656,749 | ||||||||
116,053 | Porsche Automobil Holding SE, 2.36% | 12,333,019 | ||||||||
257,100 | Schaeffler AG, 5.77% | 2,290,444 | ||||||||
80,692 | Volkswagen AG, 2.02% | 22,628,171 | ||||||||
|
| |||||||||
Total Germany | 58,886,913 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
1,348,800 | Surgutneftegas PJSC, 2.27% | 749,604 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $47,227,347) | 61,147,818 | |||||||||
|
| |||||||||
WARRANT — 0.0% | ||||||||||
Switzerland — 0.0% | ||||||||||
236,912 | Cie Financiere Richemont SA, Expires 11/22/23* | 90,622 | ||||||||
|
| |||||||||
TOTAL WARRANT (COST $—) | 90,622 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENT — 3.7% | ||||||||||
Mutual Fund - Securities Lending Collateral — 3.7% | ||||||||||
143,479,818 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04%(e) (f) | 143,479,818 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENT (COST $143,479,818) | 143,479,818 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.8% (Cost $3,195,404,513) | 3,784,498,496 | |||||||||
Other Assets and Liabilities (net) — 1.2% | 44,311,279 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $3,828,809,775 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
65
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Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Notes to Schedule of Investments: | ||||||||||
* | Non-income producing security. | |||||||||
(a) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $6,463,477 which represents 0.2% of net assets. The aggregate tax cost of these securities held at March 31, 2021 was $7,776,493. | |||||||||
(b) | All or a portion of this security is out on loan. | |||||||||
(c) | Level 3 — significant unobservable inputs were used in determining the value of this portfolio security. | |||||||||
(d) | Fractional Shares, amount rounds to zero. | |||||||||
(e) | The rate disclosed is the 7-day net yield as of March 31, 2021. | |||||||||
(f) | Represents an investment of securities lending cash collateral. | |||||||||
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 year end is $57,910,180 which represents 1.5% of net assets. |
See accompanying Notes to the Financial Statements.
66
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Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Forward Foreign Currency Contracts
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 28,475,902 | JPY | 3,009,376,000 | 08/19/21 | HSBC Bank USA, N.A. | $ | 1,203,827 | |||||||||||||
|
|
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
1,291 | MSCI EAFE Index | Jun 2021 | $ | 141,493,600 | $ | 561,799 | ||||||||||||||
|
|
Currency Abbreviations
JPY | — Japanese Yen |
USD | — U.S. Dollar |
Other Abbreviations
ADR | — American Depository Receipt |
CDI | — CREST Depository Interest |
CVA | — Certificaten Van Aandelen |
NYRS | — New York Registry Shares |
REIT | — Real Estate Investment Trust |
SDR | — Swedish Depository Receipt |
See accompanying Notes to the Financial Statements.
67
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Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Consumer, Non-cyclical | 20.6 | ||||
Industrial | 16.8 | ||||
Consumer, Cyclical | 14.0 | ||||
Financial | 13.0 | ||||
Technology | 10.2 | ||||
Basic Materials | 8.5 | ||||
Communications | 5.1 | ||||
Energy | 4.1 | ||||
Utilities | 1.7 | ||||
Unaffiliated Funds | 0.9 | ||||
Diversified | 0.2 | ||||
Short-Term Investment | 3.7 | ||||
Other Assets and Liabilities (net) | 1.2 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements.
68
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 98.7% |
| |||||||||
Asset Backed Securities — 10.3% | ||||||||||
100,000 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class B, 3.13%, due 02/18/25 | 102,885 | ||||||||
200,000 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class C, 3.36%, due 02/18/25 | 208,770 | ||||||||
400,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class C, 2.74%, due 04/18/25 | 415,570 | ||||||||
600,000 | AmeriCredit Automobile Receivables Trust, Series 2019-3, Class C, 2.32%, due 07/18/25 | 619,316 | ||||||||
500,000 | AmeriCredit Automobile Receivables Trust, Series 2020-1, Class B, 1.48%, due 01/21/25 | 508,405 | ||||||||
100,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class C, 1.48%, due 02/18/26 | 101,982 | ||||||||
200,000 | AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.06%, due 08/18/26 | 200,658 | ||||||||
1,650,000 | AmeriCredit Automobile Receivables Trust, Series 2021-1, Class C, 0.89%, due 10/19/26 | 1,645,435 | ||||||||
2,007,000 | AMSR Trust, Series 2020-SFR4, Class A, 1.36%, due 11/17/37 144A | 1,994,940 | ||||||||
500,000 | Anchorage Capital CLO 11, Ltd., Series 2019-11A, Class A, 1.61% (3 mo. USD LIBOR + 1.39%), due 07/22/32(b) 144A | 500,671 | ||||||||
3,500,000 | Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class AR2, 1.31% (3 mo. USD LIBOR + 1.09%), due 01/28/31(b) 144A | 3,504,396 | ||||||||
425,860 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due 06/07/49 144A | 439,216 | ||||||||
429,840 | Arbys Funding LLC, Series 2020-1A, Class A2, 3.24%, due 07/30/50 144A | 440,611 | ||||||||
1,550,000 | ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, due 08/15/28 144A | 1,583,780 | ||||||||
10,763 | Asset-Backed Pass-Through Certificates, Series 2004-R2, Class A1A, 0.80% (1 mo. USD LIBOR + 0.69%), due 04/25/34(b) | 10,760 | ||||||||
985,701 | Atlas Senior Loan Fund CLO V, Ltd., Series 2014-1A, Class AR2, 1.48% (3 mo. USD LIBOR + 1.26%), due 07/16/29(b) 144A | 986,785 | ||||||||
506,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A, 2.36%, due 03/20/26 144A | 527,355 | ||||||||
297,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A, 2.33%, due 08/20/26 144A | 308,919 | ||||||||
250,000 | Benefit Street Partners CLO XII, Ltd., Series 2017-12A, Class A1, 1.49% (3 mo. USD LIBOR + 1.25%), due 10/15/30(b) 144A | 250,054 | ||||||||
1,250,000 | EUR | BNPP AM Euro CLO BV, Series 2018-1A, Class AR, 0.60% (3 mo. EURIBOR + 0.60%), due 04/15/31(b) 144A | 1,469,219 | |||||||
282,000 | Bojangles Issuer LLC, Series 2020-1A, Class A2, 3.83%, due 10/20/50 144A | 295,678 | ||||||||
90,623 | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A, 3.28%, due 09/26/33 144A | 95,000 | ||||||||
305,000 | Capital Automotive REIT, LP, Series 2020-1A, Class B1, 4.17%, due 02/15/50 144A | 314,271 | ||||||||
1,444,593 | Capital One Prime Auto Receivables Trust, Series 2019-1, Class A3, 2.51%, due 11/15/23 | 1,467,675 | ||||||||
2,500,000 | EUR | Carlyle Euro CLO DAC, Series 2017-2A, Class A1R, 0.63% (3 mo. EURIBOR + 0.63%), due 08/15/30(b) 144A | 2,938,249 | |||||||
497,130 | Carlyle U.S. CLO, Ltd., Series 2017-1A, Class A1B, 1.45% (3 mo. USD LIBOR + 1.23%), due 04/20/31(b) 144A | 497,348 |
See accompanying Notes to the Financial Statements.
69
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
400,000 | CarMax Auto Owner Trust, Series 2020-4, Class C, 1.30%, due 08/17/26 | 404,330 | ||||||||
1,283,640 | CF Hippolyta LLC, Series 2020-1, Class A1, 1.69%, due 07/15/60 144A | 1,294,608 | ||||||||
518,000 | CF Hippolyta LLC, Series 2021-1A, Class A1, 1.53%, due 03/15/61 144A | 516,649 | ||||||||
850,000 | CIFC Funding CLO, Ltd., Series 2014-2RA, Class A1, 1.27% (3 mo. USD LIBOR + 1.05%), due 04/24/30(b) 144A | 850,485 | ||||||||
1,200,000 | Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7, 3.96%, due 10/13/30 | 1,384,090 | ||||||||
618,520 | CLI Funding VI LLC, Series 2020-1A, Class A, 2.08%, due 09/18/45 144A | 618,042 | ||||||||
587,000 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, due 02/18/46 144A | 574,703 | ||||||||
270,863 | Commonbond Student Loan Trust, Series 2017-BGS, Class A1, 2.68%, due 09/25/42 144A | 277,987 | ||||||||
136,000 | DataBank Issuer, Series 2021-1A, Class A2, 2.06%, due 02/27/51 144A | 135,189 | ||||||||
905,010 | DB Master Finance LLC, Series 2017-1A, Class A2I, 3.63%, due 11/20/47 144A | 925,592 | ||||||||
196,910 | DB Master Finance LLC, Series 2017-1A, Class A2II, 4.03%, due 11/20/47 144A | 209,760 | ||||||||
1,906,960 | DB Master Finance LLC, Series 2019-1A, Class A2I, 3.79%, due 05/20/49 144A | 1,954,893 | ||||||||
592,670 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.12%, due 07/25/47 144A | 639,739 | ||||||||
840,020 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A2I, 1.47% (3 mo. USD LIBOR + 1.25%), due 07/25/47(b) 144A | 843,294 | ||||||||
300,000 | Drive Auto Receivables Trust, Series 2019-3, Class B, 2.65%, due 02/15/24 | 301,964 | ||||||||
200,000 | Drive Auto Receivables Trust, Series 2020-2, Class B, 1.42%, due 03/17/25 | 202,744 | ||||||||
354,000 | Driven Brands Funding LLC, Series 2020-2A, Class A2, 3.24%, due 01/20/51 144A | 364,938 | ||||||||
1,406,000 | FirstKey Homes Trust, Series 2020-SFR1, Class A, 1.34%, due 09/17/25 144A | 1,403,583 | ||||||||
1,710,217 | FirstKey Homes Trust, Series 2020-SFR2, Class A, 1.27%, due 10/19/37 144A | 1,695,384 | ||||||||
220,335 | Five Guys Funding LLC, Series 2017-1A, Class A2, 4.60%, due 07/25/47 144A | 230,149 | ||||||||
125,125 | FOCUS Brands Funding LLC, Series 2017-1A, Class A2IB, 3.86%, due 04/30/47(c) 144A | 125,341 | ||||||||
611,000 | Ford Credit Auto Owner Trust, Series 2020-1, Class A, 2.04%, due 08/15/31 144A | 633,202 | ||||||||
1,745,000 | Ford Credit Auto Owner Trust, Series 2020-2, Class A, 1.06%, due 04/15/33 144A | 1,731,345 | ||||||||
300,000 | Ford Credit Auto Owner Trust, Series 2020-C, Class C, 1.04%, due 05/15/28 | 298,469 | ||||||||
1,200,000 | Ford Credit Floorplan Master Owner Trust, Series 2018-2, Class A, 3.17%, due 03/15/25 | 1,264,157 | ||||||||
2,564,000 | Ford Credit Floorplan Master Owner Trust, Series 2018-3, Class A1, 3.52%, due 10/15/23 | 2,608,930 | ||||||||
573,000 | Ford Credit Floorplan Master Owner Trust, Series 2019-2, Class A, 3.06%, due 04/15/26 | 613,246 | ||||||||
453,000 | Ford Credit Floorplan Master Owner Trust, Series 2020-2, Class A, 1.06%, due 09/15/27 | 450,975 | ||||||||
100,000 | GM Financial Consumer Automobile Receivables Trust, Series 2018-4, Class C, 3.62%, due 06/17/24 | 104,526 | ||||||||
685,784 | GM Financial Consumer Automobile Receivables Trust, Series 2019-1, Class A3, 2.97%, due 11/16/23 | 695,179 | ||||||||
300,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class C, 1.04%, due 05/17/27 | 298,868 | ||||||||
495,000 | GMF Floorplan Owner Revolving Trust, Series 2019-2, Class A, 2.90%, due 04/15/26 144A | 527,942 | ||||||||
224,000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.68%, due 08/15/25 144A | 224,696 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
315,000 | Golub Capital Partners ABS Funding, Ltd., Series 2020-1A, Class A2, 3.21%, due 01/22/29 144A | 315,000 | ||||||||
301,000 | Golub Capital Partners ABS Funding, Ltd., Series 2021-1A, Class A2, 2.77%, due 04/20/29(d) 144A | 300,684 | ||||||||
173,255 | Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, due 12/26/28 144A | 177,825 | ||||||||
122,149 | Hilton Grand Vacations Trust, Series 2018-AA, Class A, 3.54%, due 02/25/32 144A | 128,889 | ||||||||
133,517 | Home Equity Asset Trust, Series 2003-8, Class M1, 1.19% (1 mo. USD LIBOR + 1.08%), due 04/25/34(b) | 133,767 | ||||||||
1,737,214 | HPS Loan Management CLO, Ltd., Series 10A-2016, Class A1R, 1.36% (3 mo. USD LIBOR + 1.14%), due 01/20/28(b) 144A | 1,738,087 | ||||||||
750,000 | HPS Loan Management CLO, Ltd., Series 15A-2019, Class A1, 1.54% (3 mo. USD LIBOR + 1.32%), due 07/22/32(b) 144A | 751,901 | ||||||||
2,000,000 | EUR | Invesco Euro CLO I DAC, Series 1A, Class A1R, 0.65% (3 mo. EURIBOR + 0.65%), due 07/15/31(b) 144A | 2,352,124 | |||||||
504,716 | Invitation Homes Trust, Series 2018-SFR1, Class A, 0.81% (1 mo. USD LIBOR + 0.70%), due 03/17/37(b) 144A | 506,277 | ||||||||
241,178 | Jack In The Box Funding LLC, Series 2019-1A, Class A21, 3.98%, due 08/25/49 144A | 248,302 | ||||||||
153,838 | Jack In The Box Funding LLC, Series 2019-1A, Class A23, 4.97%, due 08/25/49 144A | 165,824 | ||||||||
162,410 | Laurel Road Prime Student Loan Trust, Series 2017-C, Class A2B, 2.81%, due 11/25/42 144A | 165,040 | ||||||||
239,168 | Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.44%, due 05/25/59(e) 144A | 240,342 | ||||||||
120,494 | MelTel Land Funding LLC, Series 2019-1A, Class A, 3.77%, due 04/15/49 144A | 127,208 | ||||||||
741,126 | MidOcean Credit CLO III, Series 2014-3A, Class A1R, 1.34% (3 mo. USD LIBOR + 1.12%), due 04/21/31(b) 144A | 738,506 | ||||||||
108,240 | Mill City Mortgage Loan Trust, Series 2018-3, Class A1, 3.48%, due 08/25/58(f) 144A | 114,259 | ||||||||
95,605 | Morgan Stanley ABS Capital I, Inc., Series 2003-NC10, Class M1, 1.13% (1 mo. USD LIBOR + 1.02%), due 10/25/33(b) | 95,553 | ||||||||
41,819 | Morgan Stanley ABS Capital I, Inc., Series 2003-NC7, Class M1, 1.16% (1 mo. USD LIBOR + 1.05%), due 06/25/33(b) | 41,887 | ||||||||
121,711 | MVW Owner Trust, Series 2018-1A, Class A, 3.45%, due 01/21/36 144A | 126,355 | ||||||||
82,694 | Navient Private Education Loan Trust, Series 2016-AA, Class A2A, 3.91%, due 12/15/45 144A | 87,598 | ||||||||
299,736 | Navient Private Education Refi Student Loan Trust, Series 2019-FA, Class A2, 2.60%, due 08/15/68 144A | 308,822 | ||||||||
852,778 | Navient Private Education Refi Student Loan Trust, Series 2020-HA, Class A, 1.31%, due 01/15/69 144A | 858,946 | ||||||||
360,042 | Navient Student Loan Trust, Series 2020-2A, Class A1A, 1.32%, due 08/26/69 144A | 352,446 | ||||||||
590,000 | Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.58%, due 04/30/51 144A | 595,013 | ||||||||
188,859 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 0.83% (1 mo. USD LIBOR + 0.72%), due 10/25/33(b) 144A | 185,985 | ||||||||
92,258 | New Residential Mortgage LLC, Series 2018-FNT2, Class A, 3.79%, due 07/25/54 144A | 92,412 | ||||||||
1,815,000 | NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A2, 3.69%, due 10/15/23 144A | 1,847,683 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
2,655,000 | NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.55%, due 02/15/25 144A | 2,706,428 | ||||||||
600,000 | North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 1.02% (3 mo. USD LIBOR + 0.80%), due 07/25/36(b) | 599,858 | ||||||||
148,061 | NRZ Excess Spread-Collateralized Notes, Series 2018-FNT1, Class A, 3.61%, due 05/25/23 144A | 148,581 | ||||||||
1,916,615 | Oak Street Investment Grade Net Lease Fund, Series 2021-1A, Class A1, 1.48%, due 01/20/51 144A | 1,910,223 | ||||||||
250,000 | OCP CLO, Ltd., Series 2017-13A, Class A1A, 1.50% (3 mo. USD LIBOR + 1.26%), due 07/15/30(b) 144A | 250,189 | ||||||||
61,598 | OneMain Financial Issuance Trust, Series 2017-1A, Class A2, 0.91% (1 mo. USD LIBOR + 0.80%), due 09/14/32(b) 144A | 61,625 | ||||||||
164,055 | OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.30%, due 03/14/29 144A | 164,683 | ||||||||
206,000 | Oxford Finance Funding LLC, Series 2019-1A, Class A2, 4.46%, due 02/15/27 144A | 213,451 | ||||||||
2,340,084 | OZLM Funding IV CLO, Ltd., Series 2013-4A, Class A1R, 1.47% (3 mo. USD LIBOR + 1.25%), due 10/22/30(b) 144A | 2,339,740 | ||||||||
741,917 | OZLM IX CLO, Ltd., Series 2014-9A, Class A1AR, 1.50% (3 mo. USD LIBOR + 1.28%), due 10/20/31(b) 144A | 742,335 | ||||||||
247,297 | OZLM XI CLO, Ltd., Series 2015-11A, Class A1R, 1.46% (3 mo. USD LIBOR + 1.25%), due 10/30/30(b) 144A | 247,308 | ||||||||
500,000 | OZLM XXIV CLO, Ltd., Series 2019-24A, Class A1A, 1.61% (3 mo. USD LIBOR + 1.39%), due 07/20/32(b) 144A | 500,618 | ||||||||
1,000,000 | Palmer Square CLO, Ltd., Series 2015-1A, Class A1R3, 1.22% (3 mo. USD LIBOR + 1.00%), due 05/21/29(b) 144A | 1,000,307 | ||||||||
750,000 | Palmer Square CLO, Ltd., Series 2018-2A, Class A1A, 1.32% (3 mo. USD LIBOR + 1.10%), due 07/16/31(b) 144A | 750,628 | ||||||||
2,000,000 | Park Avenue Institutional Advisers CLO, Ltd., Series 2018-1A, Class A1AR, 1.00% (3 mo. USD LIBOR + 1.00%), due 10/20/31(b) (d) 144A | 2,000,000 | ||||||||
277,000 | PFS Financing Corp., Series 2020-E, Class A, 1.00%, due 10/15/25 144A | 278,919 | ||||||||
1,250,000 | Pikes Peak CLO 4, Series 2019-4A, Class A, 1.61% (3 mo. USD LIBOR + 1.37%), due 07/15/32(b) 144A | 1,251,393 | ||||||||
649,359 | Progress Residential Trust, Series 2019-SFR1, Class A, 3.42%, due 08/17/35 144A | 664,785 | ||||||||
1,329,000 | Progress Residential Trust, Series 2019-SFR4, Class A, 2.69%, due 10/17/36 144A | 1,363,758 | ||||||||
1,313,000 | Progress Residential Trust, Series 2020-SFR1, Class A, 1.73%, due 04/17/37 144A | 1,331,561 | ||||||||
1,364,000 | Progress Residential Trust, Series 2021-SFR2, Class A, 1.60%, due 04/19/38(d) 144A | 1,360,059 | ||||||||
6,423 | Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 4.93%, due 08/25/35(e) | 6,662 | ||||||||
250,000 | Romark CLO II, Ltd., Series 2018-2A, Class A1, 1.39% (3 mo. USD LIBOR + 1.18%), due 07/25/31(b) 144A | 250,165 | ||||||||
739,000 | Sabey Data Center Issuer LLC, Series 2020-1, Class A2, 3.81%, due 04/20/45 144A | 783,330 | ||||||||
793,078 | Santander Drive Auto Receivables Trust, Series 2019-3, Class B, 2.28%, due 09/15/23 | 796,394 | ||||||||
400,000 | Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, due 10/15/25 | 407,433 | ||||||||
500,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class C, 1.46%, due 09/15/25 | 506,980 | ||||||||
600,000 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.12%, due 01/15/26 | 604,955 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
400,000 | Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.01%, due 01/15/26 | 401,603 | ||||||||
900,000 | Santander Drive Auto Receivables Trust, Series 2021-1, Class C, 0.75%, due 02/17/26 | 898,544 | ||||||||
653,000 | Santander Revolving Auto Loan Trust, Series 2019-A, Class A, 2.51%, due 01/26/32 144A | 685,519 | ||||||||
74,204 | Saxon Asset Securities Trust, Series 2005-1, Class M1, 0.80% (1 mo. USD LIBOR + 0.69%), due 05/25/35(b) | 74,275 | ||||||||
384,150 | Sesac Finance LLC, Series 2019-1, Class A2, 5.22%, due 07/25/49 144A | 407,980 | ||||||||
71,613 | Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class A, 3.20%, due 01/20/36 144A | 74,328 | ||||||||
500,000 | Silver Creek CLO, Ltd., Series 2014-1A, Class AR, 1.46% (3 mo. USD LIBOR + 1.24%), due 07/20/30(b) 144A | 500,225 | ||||||||
2,159,640 | Small Business Administration, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 2,252,490 | ||||||||
1,449,509 | Small Business Administration, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 1,530,417 | ||||||||
1,837,710 | Small Business Administration, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 1,928,183 | ||||||||
850,969 | Small Business Administration, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 894,023 | ||||||||
641,079 | Small Business Administration, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 668,853 | ||||||||
2,491,907 | Small Business Administration, Series 2019-25F, Class 1, 2.77%, due 06/01/44 | 2,606,054 | ||||||||
983,341 | Small Business Administration, Series 2020-25D, Class 1, 1.77%, due 04/01/45 | 981,729 | ||||||||
49,913 | SMB Private Education Loan Trust, Series 2015-C, Class A2A, 2.75%, due 07/15/27 144A | 50,614 | ||||||||
540,188 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.84%, due 06/15/37 144A | 562,829 | ||||||||
210,000 | SMB Private Education Loan Trust, Series 2020-PTA, Class A2A, 1.60%, due 09/15/54 144A | 211,515 | ||||||||
334,830 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.07%, due 01/15/53 144A | 331,121 | ||||||||
329,393 | Sonic Capital LLC, Series 2020-1A, Class A2I, 3.85%, due 01/20/50 144A | 342,778 | ||||||||
1,750,000 | Sound Point CLO VII-R, Ltd., Series 2014-3RA, Class A1, 1.47% (3 mo. USD LIBOR + 1.25%), due 10/23/31(b) 144A | 1,750,893 | ||||||||
661,917 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, due 02/25/44 144A | 706,248 | ||||||||
547,000 | Stack Infrastructure Issuer LLC, Series 2019-2A, Class A2, 3.08%, due 10/25/44 144A | 564,487 | ||||||||
2,178,000 | Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.88%, due 03/26/46 144A | 2,171,923 | ||||||||
650,972 | STORE Master Funding LLC, Series 2014-1A, Class A2, 5.00%, due 04/20/44 144A | 677,877 | ||||||||
198,861 | Sunbird Engine Finance LLC, Series 2020-1A, Class A, 3.67%, due 02/15/45 144A | 192,975 | ||||||||
344,080 | Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.32%, due 11/25/48 144A | 347,216 | ||||||||
166,778 | Telos CLO, Series 2013-3A, Class AR, 1.52% (3 mo. USD LIBOR + 1.30%), due 07/17/26(b) 144A | 167,008 | ||||||||
323,763 | TIF Funding II LLC, Series 2021-1A, Class A, 1.65%, due 02/20/46 144A | 312,674 | ||||||||
978,000 | Toyota Auto Loan Extended Note Trust, Series 2019-1A, Class A, 2.56%, due 11/25/31 144A | 1,034,393 | ||||||||
287,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, due 05/25/33 144A | 291,374 | ||||||||
2,200,000 | Toyota Auto Loan Extended Note Trust, Series 2021-1A, Class A, 1.07%, due 02/27/34 144A | 2,186,616 |
See accompanying Notes to the Financial Statements.
73
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
1,537,000 | Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, due 03/17/38 144A | 1,585,824 | ||||||||
1,500,000 | Trimaran Cavu CLO, Ltd., Series 2021-1A, Class A, 1.34% (3 mo. USD LIBOR + 1.21%), due 04/23/32(b) 144A | 1,500,026 | ||||||||
748,765 | Triton Container Finance VIII LLC, Series 2020-1A, Class A, 2.11%, due 09/20/45 144A | 745,155 | ||||||||
452,000 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, due 03/20/46 144A | 442,166 | ||||||||
2,132,000 | Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, due 09/15/45 144A | 2,135,844 | ||||||||
249,000 | Vantage Data Centers LLC, Series 2020-2A, Class A2, 1.99%, due 09/15/45 144A | 245,074 | ||||||||
500,000 | Venture XIX CLO, Ltd., Series 2014-19A, Class ARR, 1.50% (3 mo. USD LIBOR + 1.26%), due 01/15/32(b) 144A | 500,262 | ||||||||
3,462,000 | Verizon Owner Trust, Series 2019-B, Class A1A, 2.33%, due 12/20/23 | 3,515,077 | ||||||||
597,000 | Verizon Owner Trust, Series 2020-B, Class A, 0.47%, due 02/20/25 | 598,672 | ||||||||
472,557 | VR Funding LLC, Series 2020-1A, Class A, 2.79%, due 11/15/50 144A | 463,974 | ||||||||
104,835 | VSE VOI Mortgage LLC, Series 2017-A, Class A, 2.33%, due 03/20/35 144A | 106,929 | ||||||||
500,000 | Wellfleet CLO, Ltd., Series 2018-3A, Class A1A, 1.47% (3 mo. USD LIBOR + 1.25%), due 01/20/32(b) 144A | 500,268 | ||||||||
750,000 | Wellfleet CLO, Ltd., Series 2019-1A, Class A1, 1.56% (3 mo. USD LIBOR + 1.34%), due 07/20/32(b) 144A | 750,719 | ||||||||
554,393 | Wendy’s Funding LLC, Series 2019-1A, Class A2I, 3.78%, due 06/15/49 144A | 589,011 | ||||||||
51,357 | Westgate Resorts LLC, Series 2017-1A, Class A, 3.05%, due 12/20/30 144A | 51,448 | ||||||||
128,198 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.23%, due 03/15/45 144A | 126,824 | ||||||||
1,252,952 | World Omni Auto Receivables Trust, Series 2019-B, Class A3, 2.59%, due 07/15/24 | 1,270,760 | ||||||||
1,100,000 | World Omni Select Auto Trust, Series 2019-A, Class B, 2.17%, due 12/15/25 | 1,126,632 | ||||||||
200,000 | World Omni Select Auto Trust, Series 2019-A, Class C, 2.38%, due 12/15/25 | 206,362 | ||||||||
1,000,000 | York CLO-2, Ltd., Series 2015-1A, Class AR, 1.37% (3 mo. USD LIBOR + 1.15%), due 01/22/31(b) 144A | 1,000,730 | ||||||||
3,500,000 | York CLO-4, Ltd., Series 2016-2A, Class A1R, 1.31% (3 mo. USD LIBOR + 1.09%), due 04/20/32(b) 144A | 3,500,556 | ||||||||
750,000 | York CLO-6, Ltd., Series 2019-1A, Class A1, 1.57% (3 mo. USD LIBOR + 1.35%), due 07/22/32(b) 144A | 750,772 | ||||||||
242,872 | Zais CLO 6, Ltd., Series 2017-1A, Class A1, 1.61% (3 mo. USD LIBOR + 1.37%), due 07/15/29(b) 144A | 243,194 | ||||||||
�� |
|
| ||||||||
129,635,093 | ||||||||||
|
| |||||||||
Corporate Debt — 36.9% | ||||||||||
490,000 | 1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30 144A | 473,462 | ||||||||
367,000 | 7-Eleven, Inc., 1.30%, due 02/10/28 144A | 352,130 | ||||||||
449,000 | 7-Eleven, Inc., 2.80%, due 02/10/51 144A | 401,555 | ||||||||
930,000 | AbbVie, Inc., 3.20%, due 11/21/29 | 989,387 | ||||||||
300,000 | AbbVie, Inc., 3.60%, due 05/14/25 | 327,012 | ||||||||
702,000 | AbbVie, Inc., 4.25%, due 11/21/49 | 792,235 | ||||||||
1,400,000 | AbbVie, Inc., 4.50%, due 05/14/35 | 1,637,042 | ||||||||
640,000 | AbbVie, Inc., 4.55%, due 03/15/35 | 743,634 | ||||||||
170,000 | AbbVie, Inc., 4.70%, due 05/14/45 | 202,131 | ||||||||
290,000 | AbbVie, Inc., 4.75%, due 03/15/45 | 346,077 | ||||||||
204,480 | ABY Transmision Sur SA, 6.88%, due 04/30/43 144A | 274,772 | ||||||||
33,000 | Activision Blizzard, Inc., 3.40%, due 09/15/26 | 36,098 |
See accompanying Notes to the Financial Statements.
74
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
323,000 | Adani Ports & Special Economic Zone, Ltd., 3.10%, due 02/02/31 144A | 306,648 | ||||||||
436,000 | Advantage Sales & Marketing, Inc., 6.50%, due 11/15/28 144A | 454,257 | ||||||||
1,340,000 | Advocate Health & Hospitals Corp., 2.21%, due 06/15/30 | 1,330,746 | ||||||||
620,000 | AECOM, 5.13%, due 03/15/27 | 676,110 | ||||||||
400,000 | AEP Texas, Inc., 3.80%, due 10/01/47 | 412,503 | ||||||||
260,000 | AEP Transmission Co. LLC, 3.80%, due 06/15/49 | 280,523 | ||||||||
397,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, due 01/30/26 | 385,686 | ||||||||
432,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, due 08/14/24 | 445,856 | ||||||||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, due 07/21/27 | 157,444 | ||||||||
1,600,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 04/03/26 | 1,732,221 | ||||||||
252,000 | AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A | 261,211 | ||||||||
370,000 | Aetna, Inc., 4.75%, due 03/15/44 | 432,744 | ||||||||
137,000 | Affinity Gaming, 6.88%, due 12/15/27 144A | 144,621 | ||||||||
233,000 | Ahern Rentals, Inc., 7.38%, due 05/15/23 144A | 210,428 | ||||||||
690,361 | Air Canada Pass Through Trust, 3.60%, due 09/15/28 144A | 692,385 | ||||||||
154,835 | Air Canada Pass Through Trust, 3.70%, due 07/15/27 144A | 148,645 | ||||||||
117,907 | Air Canada Pass Through Trust, 4.13%, due 11/15/26 144A | 116,999 | ||||||||
169,000 | Air Lease Corp., 3.63%, due 12/01/27 | 177,785 | ||||||||
180,000 | Air Lease Corp., (MTN), 2.88%, due 01/15/26 | 186,815 | ||||||||
199,000 | Aircastle, Ltd., 5.50%, due 02/15/22 | 206,956 | ||||||||
231,000 | Aker BP ASA, 2.88%, due 01/15/26(g) 144A | 238,721 | ||||||||
170,000 | Aker BP ASA, 3.00%, due 01/15/25 144A | 176,100 | ||||||||
1,000,000 | Aker BP ASA, 3.75%, due 01/15/30 144A | 1,033,065 | ||||||||
427,000 | Aker BP ASA, 4.00%, due 01/15/31 144A | 445,686 | ||||||||
95,338 | Alaska Airlines Pass Through Trust, 8.00%, due 02/15/27 144A | 106,032 | ||||||||
118,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 3.25%, due 03/15/26 144A | 117,696 | ||||||||
296,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 3.50%, due 03/15/29 144A | 282,055 | ||||||||
157,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 4.88%, due 02/15/30 144A | 161,553 | ||||||||
2,895,000 | Alexandria Real Estate Equities, Inc. REIT, 2.00%, due 05/18/32 | 2,691,635 | ||||||||
572,000 | Ally Financial, Inc., 5.13%, due 09/30/24 | 645,257 | ||||||||
279,000 | Ally Financial, Inc., 5.80%, due 05/01/25 | 323,582 | ||||||||
63,000 | Alta Equipment Group, Inc., 5.63%, due 04/15/26(d) 144A | 63,945 | ||||||||
224,000 | Altera Infrastructure, LP/Teekay Offshore Finance Corp., 8.50%, due 07/15/23 144A | 202,744 | ||||||||
210,000 | Altria Group, Inc., 3.40%, due 05/06/30 | 219,370 | ||||||||
600,000 | Altria Group, Inc., 3.40%, due 02/04/41 | 555,601 | ||||||||
841,000 | Amazon.com, Inc., 3.15%, due 08/22/27 | 920,474 | ||||||||
425,000 | Amazon.com, Inc., 4.05%, due 08/22/47 | 493,324 | ||||||||
212,818 | American Airlines Pass Through Trust, 3.15%, due 08/15/33 | 212,486 | ||||||||
730,575 | American Airlines Pass Through Trust, 3.38%, due 11/01/28 | 711,429 | ||||||||
369,831 | American Airlines Pass Through Trust, 3.50%, due 08/15/33 | 347,188 | ||||||||
193,691 | American Airlines Pass Through Trust, 3.60%, due 04/15/31 | 184,865 | ||||||||
202,860 | American Airlines Pass Through Trust, 3.65%, due 08/15/30 | 205,031 | ||||||||
97,823 | American Airlines Pass Through Trust, 3.70%, due 11/01/24 | 91,352 | ||||||||
111,090 | American Airlines Pass Through Trust, 4.00%, due 08/15/30 | 105,061 | ||||||||
274,965 | American Airlines Pass Through Trust, 4.10%, due 07/15/29 | 268,842 | ||||||||
19,789 | American Airlines Pass Through Trust, 6.98%, due 11/23/22 | 19,671 |
See accompanying Notes to the Financial Statements.
75
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
700,000 | American Express Co., 3.40%, due 02/27/23 | 736,930 | ||||||||
483,000 | American Homes 4 Rent, LP REIT, 4.25%, due 02/15/28 | 529,893 | ||||||||
1,780,000 | American Honda Finance Corp. (MTN), 0.88%, due 07/07/23 | 1,792,945 | ||||||||
1,400,000 | American International Group, Inc., 4.88%, due 06/01/22 | 1,470,407 | ||||||||
618,000 | American Tower Corp. REIT, 3.55%, due 07/15/27 | 670,145 | ||||||||
239,000 | American Tower Corp. REIT, 3.80%, due 08/15/29 | 260,415 | ||||||||
575,000 | American Water Capital Corp., 2.80%, due 05/01/30 | 592,557 | ||||||||
300,000 | AmeriGas Partners, LP/AmeriGas Finance Corp., 5.50%, due 05/20/25 | 327,000 | ||||||||
250,000 | AmeriGas Partners, LP/AmeriGas Finance Corp., 5.88%, due 08/20/26 | 275,679 | ||||||||
386,000 | AmerisourceBergen Corp., 2.80%, due 05/15/30(g) | 393,704 | ||||||||
665,000 | Amgen, Inc., 2.20%, due 02/21/27 | 682,161 | ||||||||
158,000 | ANGI Group LLC, 3.88%, due 08/15/28 144A | 158,296 | ||||||||
150,000 | Anglo American Capital Plc, 4.75%, due 04/10/27 144A | 172,129 | ||||||||
2,664,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46 | 3,162,423 | ||||||||
367,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 04/15/48 | 420,704 | ||||||||
350,000 | Anheuser-Busch InBev Worldwide, Inc., 5.55%, due 01/23/49 | 450,964 | ||||||||
361,000 | Antero Resources Corp., 5.00%, due 03/01/25(g) | 361,819 | ||||||||
146,000 | Anthem, Inc., 2.25%, due 05/15/30 | 143,437 | ||||||||
455,000 | Anthem, Inc., 3.60%, due 03/15/51 | 469,843 | ||||||||
5,000 | Anthem, Inc., 5.10%, due 01/15/44 | 6,201 | ||||||||
835,000 | Apple, Inc., 2.65%, due 05/11/50 | 758,085 | ||||||||
750,000 | Apple, Inc., 3.85%, due 08/04/46 | 842,299 | ||||||||
355,000 | APX Group, Inc., 7.63%, due 09/01/23(g) | 367,203 | ||||||||
225,000 | Aquarion Co., 4.00%, due 08/15/24 144A | 245,537 | ||||||||
97,000 | Arconic Corp., 6.00%, due 05/15/25 144A | 104,727 | ||||||||
178,000 | Arconic Corp., 6.13%, due 02/15/28 144A | 190,473 | ||||||||
234,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, due 02/15/25 144A | 241,371 | ||||||||
407,000 | Ares Capital Corp., 2.15%, due 07/15/26 | 396,075 | ||||||||
353,000 | Ares Capital Corp., 3.88%, due 01/15/26 | 372,109 | ||||||||
314,000 | Ares Capital Corp., 4.20%, due 06/10/24 | 338,734 | ||||||||
146,000 | Asbury Automotive Group, Inc., 4.75%, due 03/01/30 | 150,563 | ||||||||
710,000 | Ascension Health, 2.53%, due 11/15/29 | 728,569 | ||||||||
150,000 | Ascension Health, 3.11%, due 11/15/39(g) | 153,714 | ||||||||
140,000 | Ashtead Capital, Inc., 4.38%, due 08/15/27 144A | 146,300 | ||||||||
700,000 | AT&T, Inc., 1.36% (3 mo. USD LIBOR + 1.18%), due 06/12/24(b) | 715,043 | ||||||||
274,000 | AT&T, Inc., 2.30%, due 06/01/27 | 280,114 | ||||||||
2,108,000 | AT&T, Inc., 2.55%, due 12/01/33 144A | 2,000,547 | ||||||||
150,000 | AT&T, Inc., 2.63%, due 12/01/22 | 154,686 | ||||||||
1,138,000 | AT&T, Inc., 3.10%, due 02/01/43 | 1,061,424 | ||||||||
814,000 | AT&T, Inc., 3.50%, due 06/01/41 | 804,685 | ||||||||
1,140,000 | AT&T, Inc., 3.50%, due 09/15/53 144A | 1,050,417 | ||||||||
122,000 | AT&T, Inc., 3.65%, due 06/01/51 | 117,924 | ||||||||
410,000 | AT&T, Inc., 3.65%, due 09/15/59 144A | 374,219 | ||||||||
25,000 | AT&T, Inc., 4.30%, due 02/15/30 | 28,158 | ||||||||
144,000 | Atento Luxco 1 SA, 8.00%, due 02/10/26 144A | 151,345 | ||||||||
211,000 | Athene Holding, Ltd., 3.50%, due 01/15/31 | 216,946 | ||||||||
41,000 | ATS Automation Tooling Systems, Inc., 4.13%, due 12/15/28 144A | 40,718 |
See accompanying Notes to the Financial Statements.
76
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
130,000 | Australia & New Zealand Banking Group, Ltd., 6.75% (5 yr. USD ICE swap + 5.17%)(b) (g) (h) 144A | 151,760 | ||||||||
128,000 | Autodesk, Inc., 2.85%, due 01/15/30 | 131,502 | ||||||||
209,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 241,099 | ||||||||
139,000 | AXA SA, 8.60%, due 12/15/30 | 212,466 | ||||||||
1,300,000 | Bacardi, Ltd., 4.70%, due 05/15/28 144A | 1,487,727 | ||||||||
942,000 | BAE Systems Finance, Inc., 7.50%, due 07/01/27 144A | 1,230,459 | ||||||||
696,000 | BAE Systems Holdings, Inc., 3.85%, due 12/15/25 144A | 766,484 | ||||||||
440,000 | BAE Systems Plc, 1.90%, due 02/15/31 144A | 411,631 | ||||||||
1,309,000 | BAE Systems Plc, 3.40%, due 04/15/30 144A | 1,390,622 | ||||||||
321,000 | Bally’s Corp., 6.75%, due 06/01/27 144A | 344,876 | ||||||||
200,000 | Banco Santander SA, 3.85%, due 04/12/23 | 212,406 | ||||||||
300,000 | Banco Santander SA, 4.38%, due 04/12/28 | 334,335 | ||||||||
517,000 | Bank of America Corp., 2.59% (SOFR + 2.15%), due 04/29/31(b) | 515,906 | ||||||||
877,000 | Bank of America Corp., 4.24% (3 mo. USD LIBOR + 1.81%), due 04/24/38(b) | 996,769 | ||||||||
160,000 | Bank of America Corp., 5.13% (3 mo. USD LIBOR + 3.29%)(b) (h) | 169,620 | ||||||||
621,000 | Bank of America Corp., 6.30% (3 mo. USD LIBOR + 4.55%)(b) (h) | 714,538 | ||||||||
610,000 | Bank of America Corp., (MTN), 2.50% (3 mo. USD LIBOR + 0.99%), due 02/13/31(b) | 604,674 | ||||||||
303,000 | Bank of America Corp., (MTN), 2.83% (SOFR + 1.88%), due 10/24/51(b) | 277,777 | ||||||||
160,000 | Bank of America Corp., (MTN), 2.88% (3 mo. USD LIBOR + 1.19%), due 10/22/30(b) | 164,561 | ||||||||
491,000 | Bank of America Corp., (MTN), 3.25%, due 10/21/27 | 527,875 | ||||||||
1,970,000 | Bank of America Corp., (MTN), 3.50%, due 04/19/26 | 2,160,145 | ||||||||
755,000 | Bank of America Corp., (MTN), 3.59% (3 mo. USD LIBOR + 1.37%), due 07/21/28(b) | 819,417 | ||||||||
493,000 | Bank of America Corp., (MTN), 3.95%, due 04/21/25 | 540,626 | ||||||||
500,000 | Bank of America Corp., (MTN), 4.13%, due 01/22/24 | 546,750 | ||||||||
210,000 | Bank of America Corp., (MTN), 4.27% (3 mo. USD LIBOR + 1.31%), due 07/23/29(b) | 236,121 | ||||||||
213,000 | Bank of America Corp., (MTN), 4.33% (3 mo. USD LIBOR + 1.52%), due 03/15/50(b) | 244,691 | ||||||||
1,511,000 | Bank of America Corp., (MTN), 4.45%, due 03/03/26 | 1,698,300 | ||||||||
1,053,000 | Barclays Bank Plc, 1.70%, due 05/12/22 | 1,067,693 | ||||||||
575,000 | Barclays Plc, 3.68%, due 01/10/23 | 588,233 | ||||||||
264,000 | Barclays Plc, 4.38%, due 01/12/26 | 294,397 | ||||||||
400,000 | Barclays Plc, 4.97% (3 mo. USD LIBOR + 1.90%), due 05/16/29(b) | 460,106 | ||||||||
770,000 | BAT Capital Corp., 3.22%, due 08/15/24 | 820,010 | ||||||||
157,000 | Bausch Health Cos., Inc., 5.25%, due 01/30/30 144A | 157,805 | ||||||||
359,000 | Bausch Health Cos., Inc., 6.13%, due 04/15/25 144A | 368,406 | ||||||||
348,000 | Bausch Health Cos., Inc., 6.25%, due 02/15/29 144A | 369,816 | ||||||||
270,000 | Bayer US Finance II LLC, 4.20%, due 07/15/34 144A | 291,977 | ||||||||
605,000 | Berkshire Hathaway Energy Co., 3.70%, due 07/15/30 | 670,964 | ||||||||
85,000 | Berkshire Hathaway Energy Co., 5.95%, due 05/15/37 | 112,901 | ||||||||
1,312,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,769,981 | ||||||||
1,530,000 | Berry Global, Inc., 1.57%, due 01/15/26 144A | 1,508,259 | ||||||||
1,015,000 | Blackstone Holdings Finance Co. LLC, 2.80%, due 09/30/50 144A | 909,368 | ||||||||
542,000 | Blackstone Holdings Finance Co. LLC, 3.15%, due 10/02/27 144A | 587,469 | ||||||||
110,000 | BMW US Capital LLC, 0.63% (3 mo. USD LIBOR + 0.41%), due 04/12/21(b) 144A | 110,012 |
See accompanying Notes to the Financial Statements.
77
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
310,000 | BNP Paribas SA, 3.38%, due 01/09/25 144A | 333,012 | ||||||||
200,000 | BNP Paribas SA, 4.38%, due 09/28/25 144A | 221,531 | ||||||||
2,080,000 | Boeing Co. (The), 2.20%, due 02/04/26 | 2,074,095 | ||||||||
631,000 | Boeing Co. (The), 3.20%, due 03/01/29 | 639,283 | ||||||||
185,000 | Boeing Co. (The), 3.75%, due 02/01/50 | 177,989 | ||||||||
295,000 | Boeing Co. (The), 3.95%, due 08/01/59 | 283,181 | ||||||||
577,000 | Boeing Co. (The), 5.04%, due 05/01/27 | 658,001 | ||||||||
271,000 | Boeing Co. (The), 5.81%, due 05/01/50 | 342,527 | ||||||||
44,000 | Boise Cascade Co., 4.88%, due 07/01/30 144A | 46,173 | ||||||||
410,000 | Booking Holdings, Inc., 4.63%, due 04/13/30 | 477,804 | ||||||||
605,000 | BP Capital Markets America, Inc., 2.94%, due 04/06/23 | 635,686 | ||||||||
338,000 | BPCE SA, 4.50%, due 03/15/25 144A | 371,353 | ||||||||
310,000 | Braskem Netherlands Finance BV, 8.50% (5 yr. CMT + 8.22%), due 01/23/81(b) 144A | 351,869 | ||||||||
230,000 | BRF SA, 5.75%, due 09/21/50(g) 144A | 227,166 | ||||||||
362,000 | Brighthouse Financial, Inc., 3.70%, due 06/22/27 | 383,081 | ||||||||
115,000 | Brightstar Escrow Corp., 9.75%, due 10/15/25 144A | 125,063 | ||||||||
715,000 | Bristol-Myers Squibb Co., 2.25%, due 08/15/21 | 720,404 | ||||||||
55,000 | Bristol-Myers Squibb Co., 4.13%, due 06/15/39 | 63,893 | ||||||||
230,000 | Bristol-Myers Squibb Co., 4.25%, due 10/26/49 | 270,157 | ||||||||
103,000 | Bristol-Myers Squibb Co., 5.00%, due 08/15/45 | 132,158 | ||||||||
85,259 | British Airways Pass Through Trust, 4.13%, due 03/20/33 144A | 85,619 | ||||||||
180,416 | British Airways Pass Through Trust, 4.25%, due 05/15/34 144A | 189,608 | ||||||||
148,471 | British Airways Pass Through Trust, Class B, 8.38%, due 11/15/28 144A | 169,307 | ||||||||
249,000 | Broadcom, Inc., 3.15%, due 11/15/25 | 265,452 | ||||||||
1,538,000 | Broadcom, Inc., 3.42%, due 04/15/33 144A | 1,541,665 | ||||||||
1,966,000 | Broadcom, Inc., 4.11%, due 09/15/28 | 2,148,738 | ||||||||
1,619,000 | Broadcom, Inc., 4.75%, due 04/15/29 | 1,820,619 | ||||||||
1,139,000 | Broadcom, Inc., 5.00%, due 04/15/30 | 1,295,988 | ||||||||
32,000 | Builders FirstSource, Inc., 5.00%, due 03/01/30 144A | 33,594 | ||||||||
56,000 | Builders FirstSource, Inc., 6.75%, due 06/01/27 144A | 60,130 | ||||||||
140,000 | C&W Senior Financing DAC, 6.88%, due 09/15/27 144A | 149,538 | ||||||||
99,000 | Cable One, Inc., 4.00%, due 11/15/30 144A | 98,116 | ||||||||
100,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, due 07/01/25 144A | 105,655 | ||||||||
450,000 | Calpine Corp., 3.75%, due 03/01/31 144A | 429,570 | ||||||||
509,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15(i) | 738,894 | ||||||||
451,000 | Cantor Fitzgerald, LP, 4.88%, due 05/01/24 144A | 499,296 | ||||||||
1,595,000 | Capital One Financial Corp., 3.30%, due 10/30/24 | 1,719,778 | ||||||||
840,000 | Cargill, Inc., 1.70%, due 02/02/31 144A | 792,991 | ||||||||
180,000 | Cargill, Inc., 2.13%, due 04/23/30 144A | 177,015 | ||||||||
1,000,000 | Carlyle Holdings Finance LLC, 3.88%, due 02/01/23 144A | 1,056,770 | ||||||||
67,000 | Catalent Pharma Solutions, Inc., 3.13%, due 02/15/29 144A | 64,404 | ||||||||
55,000 | Catalent Pharma Solutions, Inc., 5.00%, due 07/15/27 144A | 57,705 | ||||||||
245,000 | Caterpillar, Inc., 2.60%, due 04/09/30 | 250,897 | ||||||||
113,000 | CCM Merger, Inc., 6.38%, due 05/01/26(g) 144A | 120,274 | ||||||||
210,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, due 06/01/29 144A | 225,464 | ||||||||
124,000 | CDW LLC/CDW Finance Corp., 3.25%, due 02/15/29 | 122,605 | ||||||||
450,000 | CDW LLC/CDW Finance Corp., 5.50%, due 12/01/24 | 494,026 | ||||||||
220,000 | Cemex SAB de CV, 3.88%, due 07/11/31 144A | 215,171 | ||||||||
279,000 | Cemex SAB de CV, 5.20%, due 09/17/30 144A | 302,783 |
See accompanying Notes to the Financial Statements.
78
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
210,000 | Cemex SAB de CV, 7.38%, due 06/05/27 144A | 238,088 | ||||||||
240,000 | Cenovus Energy, Inc., 5.40%, due 06/15/47 | 267,323 | ||||||||
425,000 | Centene Corp., 2.50%, due 03/01/31 | 405,344 | ||||||||
328,000 | Centene Corp., 3.00%, due 10/15/30 | 327,866 | ||||||||
143,000 | Centene Corp., 3.38%, due 02/15/30 | 144,564 | ||||||||
103,000 | Centene Corp., 4.25%, due 12/15/27 | 108,428 | ||||||||
163,000 | Centene Corp., 4.63%, due 12/15/29 | 176,627 | ||||||||
284,000 | Centene Corp., 5.38%, due 06/01/26 144A | 297,334 | ||||||||
335,000 | CenterPoint Energy, Inc., 3.70%, due 09/01/49 | 331,865 | ||||||||
240,000 | Century Communities, Inc., 6.75%, due 06/01/27 | 255,803 | ||||||||
354,000 | CenturyLink, Inc., 4.00%, due 02/15/27 144A | 362,071 | ||||||||
175,000 | Charles River Laboratories International, Inc., 3.75%, due 03/15/29 144A | 175,495 | ||||||||
50,000 | Charles River Laboratories International, Inc., 4.25%, due 05/01/28 144A | 51,585 | ||||||||
880,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.80%, due 04/01/31 | 870,803 | ||||||||
155,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.90%, due 06/01/52(g) | 148,692 | ||||||||
577,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 03/15/28 | 636,642 | ||||||||
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, due 07/23/22 | 5,216 | ||||||||
928,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, due 03/01/50 | 995,096 | ||||||||
270,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 05/01/47 | 313,618 | ||||||||
768,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.75%, due 04/01/48 | 936,077 | ||||||||
1,964,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.38%, due 10/23/35 | 2,556,329 | ||||||||
883,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, due 10/23/45 | 1,149,297 | ||||||||
376,000 | Cheniere Energy Partners, LP, 4.00%, due 03/01/31 144A | 383,050 | ||||||||
433,000 | Cheniere Energy Partners, LP, 4.50%, due 10/01/29 | 450,965 | ||||||||
643,000 | Chevron Corp., 2.00%, due 05/11/27 | 657,593 | ||||||||
92,000 | Choice Hotels International, Inc., 3.70%, due 12/01/29 | 96,700 | ||||||||
274,000 | Choice Hotels International, Inc., 3.70%, due 01/15/31 | 288,608 | ||||||||
1,790,000 | Cigna Corp., 3.40%, due 03/01/27 | 1,943,462 | ||||||||
660,000 | Cigna Corp., 4.38%, due 10/15/28 | 752,284 | ||||||||
295,000 | Cigna Corp., 4.80%, due 07/15/46 | 353,429 | ||||||||
245,000 | Cigna Corp., 4.90%, due 12/15/48 | 299,972 | ||||||||
185,000 | Cimarex Energy Co., 4.38%, due 06/01/24 | 201,324 | ||||||||
330,000 | Cimpress Plc, 7.00%, due 06/15/26 144A | 349,556 | ||||||||
555,000 | Citigroup, Inc., 3.20%, due 10/21/26 | 596,546 | ||||||||
2,487,000 | Citigroup, Inc., 3.40%, due 05/01/26 | 2,709,467 | ||||||||
625,000 | Citigroup, Inc., 3.52% (3 mo. USD LIBOR + 1.15%), due 10/27/28(b) | 675,378 | ||||||||
310,000 | Citigroup, Inc., 3.67% (3 mo. USD LIBOR + 1.39%), due 07/24/28(b) | 339,029 | ||||||||
1,585,000 | Citigroup, Inc., 3.89% (3 mo. USD LIBOR + 1.56%), due 01/10/28(b) | 1,742,688 | ||||||||
1,400,000 | Citigroup, Inc., 4.08% (3 mo. USD LIBOR + 1.19%), due 04/23/29(b) | 1,557,605 | ||||||||
550,000 | Citigroup, Inc., 4.29% (3 mo. USD LIBOR + 4.10%)(b) (h) | 548,625 |
See accompanying Notes to the Financial Statements.
79
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
180,000 | Citigroup, Inc., 4.40%, due 06/10/25 | 200,107 | ||||||||
440,000 | Citigroup, Inc., 4.41% (SOFR + 3.91%), due 03/31/31(b) | 500,775 | ||||||||
809,000 | Citigroup, Inc., 4.60%, due 03/09/26 | 913,506 | ||||||||
120,000 | Citigroup, Inc., 4.67% (3 mo. USD LIBOR + 4.48%)(b) (h) | 120,272 | ||||||||
998,000 | Citigroup, Inc., 4.70% (SOFR + 3.23%)(b) (h) | 1,006,857 | ||||||||
150,000 | Citigroup, Inc., 5.50%, due 09/13/25 | 174,020 | ||||||||
426,000 | Citigroup, Inc., 6.25% (3 mo. USD LIBOR + 4.52%)(b) (h) | 487,770 | ||||||||
509,000 | Citizens Financial Group, Inc., 3.25%, due 04/30/30 | 538,102 | ||||||||
975,000 | Citrix Systems, Inc., 1.25%, due 03/01/26 | 958,742 | ||||||||
39,000 | Clark Equipment Co., 5.88%, due 06/01/25 144A | 41,364 | ||||||||
45,000 | Clean Harbors, Inc., 4.88%, due 07/15/27 144A | 47,551 | ||||||||
102,000 | Clear Channel Outdoor Holdings, Inc., 7.75%, due 04/15/28 144A | 101,307 | ||||||||
524,000 | Cleveland Clinic Foundation (The), 4.86%, due 01/01/14(i) | 673,637 | ||||||||
169,000 | CNA Financial Corp., 2.05%, due 08/15/30 | 160,856 | ||||||||
122,000 | CNO Financial Group, Inc., 5.25%, due 05/30/25 | 138,345 | ||||||||
445,000 | CNO Financial Group, Inc., 5.25%, due 05/30/29 | 514,215 | ||||||||
153,000 | Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., 4.15%, due 08/15/26 144A | 170,815 | ||||||||
500,000 | Comcast Corp., 2.45%, due 08/15/52 | 426,863 | ||||||||
429,000 | Comcast Corp., 3.30%, due 04/01/27 | 467,956 | ||||||||
1,007,000 | Comcast Corp., 3.40%, due 04/01/30 | 1,090,334 | ||||||||
2,400,000 | Comcast Corp., 3.95%, due 10/15/25 | 2,678,203 | ||||||||
5,000 | Comcast Corp., 3.97%, due 11/01/47 | 5,588 | ||||||||
86,000 | Comcast Corp., 4.00%, due 11/01/49 | 96,354 | ||||||||
1,340,000 | Comcast Corp., 4.15%, due 10/15/28 | 1,534,073 | ||||||||
20,000 | Comcast Corp., 6.50%, due 11/15/35 | 28,305 | ||||||||
54,000 | Commercial Metals Co., 5.38%, due 07/15/27 | 56,835 | ||||||||
1,419,000 | CommonSpirit Health, 2.76%, due 10/01/24 | 1,504,056 | ||||||||
357,000 | CommonSpirit Health, 4.19%, due 10/01/49 | 385,532 | ||||||||
350,000 | Commonwealth Edison Co., 4.00%, due 03/01/48 | 391,180 | ||||||||
326,000 | Connect Finco SARL/Connect US Finco LLC, 6.75%, due 10/01/26 144A | 347,611 | ||||||||
940,000 | ConocoPhillips, 3.75%, due 10/01/27 144A | 1,039,667 | ||||||||
45,000 | ConocoPhillips, 4.88%, due 10/01/47 144A | 54,663 | ||||||||
65,000 | Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56 | 70,690 | ||||||||
350,000 | Consolidated Edison Co. of New York, Inc., 4.50%, due 12/01/45 | 403,922 | ||||||||
133,000 | Constellation Brands, Inc., 3.15%, due 08/01/29 | 139,368 | ||||||||
798,915 | Continental Airlines Pass Through Trust, 5.98%, due 10/19/23 | 815,703 | ||||||||
141,000 | Continental Resources, Inc., 4.50%, due 04/15/23(g) | 146,292 | ||||||||
451,000 | CoStar Group, Inc., 2.80%, due 07/15/30 144A | 441,338 | ||||||||
212,000 | Cox Communications, Inc., 1.80%, due 10/01/30 144A | 196,268 | ||||||||
1,876,000 | Cox Communications, Inc., 3.35%, due 09/15/26 144A | 2,025,452 | ||||||||
1,750,000 | Cox Communications, Inc., 3.50%, due 08/15/27 144A | 1,902,356 | ||||||||
250,000 | Credit Agricole SA, 2.81%, due 01/11/41(j) | 226,046 | ||||||||
536,000 | Credit Agricole SA, 3.25%, due 01/14/30 144A | 551,270 | ||||||||
250,000 | Credit Agricole SA, 3.75%, due 04/24/23 144A | 265,890 | ||||||||
225,000 | Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(b) (h) 144A | 252,984 | ||||||||
2,278,000 | Credit Suisse Group AG, 1.31% (SOFR + 0.98%), due 02/02/27(b) 144A | 2,207,925 | ||||||||
235,000 | Credit Suisse Group AG, 5.25% (5 yr. CMT + 4.89%)(b) (h) 144A | 237,938 | ||||||||
275,000 | Credit Suisse Group AG, 7.50% (5 yr. USD swap + 4.60%)(b) (h) 144A | 291,461 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
500,000 | Credit Suisse Group Funding Guernsey, Ltd., 3.45%, due 04/16/21 | 500,465 | ||||||||
125,000 | Credito Real SAB de CV SOFOM ER, 9.13% (5 yr. CMT + 7.03%)(b) (h) 144A | 112,322 | ||||||||
48,000 | Crowdstrike Holdings, Inc., 3.00%, due 02/15/29 | 46,990 | ||||||||
356,000 | Crown Castle International Corp. REIT, 2.25%, due 01/15/31 | 341,689 | ||||||||
510,000 | Crown Castle International Corp. REIT, 3.30%, due 07/01/30 | 533,292 | ||||||||
492,000 | Crown Castle International Corp. REIT, 3.65%, due 09/01/27 | 536,605 | ||||||||
193,000 | Crown Castle International Corp. REIT, 3.80%, due 02/15/28 | 210,318 | ||||||||
85,000 | Crown Castle International Corp. REIT, 4.15%, due 07/01/50 | 90,118 | ||||||||
270,000 | CSC Holdings LLC, 3.38%, due 02/15/31 144A | 254,812 | ||||||||
450,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 462,656 | ||||||||
325,000 | CSC Holdings LLC, 7.50%, due 04/01/28 144A | 358,860 | ||||||||
247,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25(g) 144A | 251,477 | ||||||||
226,373 | CSI Compressco, LP/CSI Compressco Finance, Inc., 10.00%(10.00% Cash or 7.25% plus 3.50% PIK), due 04/01/26 144A | 200,340 | ||||||||
72,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25 144A | 73,305 | ||||||||
414,000 | CSN Inova Ventures, 6.75%, due 01/28/28 144A | 439,223 | ||||||||
254,000 | CVS Health Corp., 2.70%, due 08/21/40 | 233,830 | ||||||||
96,000 | CVS Health Corp., 3.70%, due 03/09/23 | 101,906 | ||||||||
333,000 | CVS Health Corp., 3.75%, due 04/01/30 | 361,898 | ||||||||
521,000 | CVS Health Corp., 4.30%, due 03/25/28 | 591,841 | ||||||||
470,000 | CVS Health Corp., 4.78%, due 03/25/38 | 555,794 | ||||||||
512,000 | CVS Health Corp., 5.05%, due 03/25/48 | 627,565 | ||||||||
130,000 | CVS Health Corp., 5.13%, due 07/20/45 | 158,979 | ||||||||
656,239 | CVS Pass-Through Trust, 6.94%, due 01/10/30 | 792,686 | ||||||||
1,751,050 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 2,191,296 | ||||||||
220,000 | Cydsa SAB de CV, 6.25%, due 10/04/27 144A | 231,073 | ||||||||
161,000 | CyrusOne, LP/CyrusOne Finance Corp. REIT, 2.15%, due 11/01/30 | 149,183 | ||||||||
349,000 | CyrusOne, LP/CyrusOne Finance Corp. REIT, 3.45%, due 11/15/29 | 359,364 | ||||||||
229,000 | DAE Funding LLC, 2.63%, due 03/20/25 144A | 231,044 | ||||||||
1,135,000 | Daimler Finance North America LLC, 2.55%, due 08/15/22 144A | 1,164,430 | ||||||||
155,000 | Daimler Finance North America LLC, 3.50%, due 08/03/25 144A | 167,744 | ||||||||
45,000 | Dave & Buster’s, Inc., 7.63%, due 11/01/25 144A | 48,178 | ||||||||
311,000 | DaVita, Inc., 3.75%, due 02/15/31 144A | 298,583 | ||||||||
312,000 | DaVita, Inc., 4.63%, due 06/01/30 144A | 317,741 | ||||||||
226,000 | DCP Midstream Operating, LP, 5.85% (3 mo. USD LIBOR + 3.85%), due 05/21/43(b) 144A | 202,203 | ||||||||
77,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 02/01/28 144A | 81,543 | ||||||||
638,000 | Dell International LLC/EMC Corp., 4.90%, due 10/01/26 144A | 723,818 | ||||||||
524,000 | Dell International LLC/EMC Corp., 5.30%, due 10/01/29 144A | 613,000 | ||||||||
162,000 | Dell International LLC/EMC Corp., 5.85%, due 07/15/25 144A | 188,932 | ||||||||
368,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 144A | 559,697 | ||||||||
1,404,709 | Delta Air Lines Pass Through Trust, 2.00%, due 12/10/29 | 1,409,627 | ||||||||
640,227 | Delta Air Lines Pass Through Trust, 6.82%, due 02/10/24 | 669,281 | ||||||||
570,000 | Delta Air Lines, Inc., 2.90%, due 10/28/24 | 569,566 | ||||||||
268,000 | Delta Air Lines, Inc., 3.80%, due 04/19/23 | 273,213 | ||||||||
315,000 | Delta Air Lines, Inc., 4.38%, due 04/19/28 | 329,407 | ||||||||
86,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, due 10/20/25 144A | 91,632 | ||||||||
300,000 | Deutsche Bank AG, 5.00%, due 02/14/22 | 310,634 | ||||||||
375,000 | Deutsche Bank AG, (MTN), 3.38%, due 05/12/21 | 376,050 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
305,000 | EUR | DH Europe Finance II SARL, 1.35%, due 09/18/39 | 366,036 | |||||||
560,000 | Diageo Capital Plc, 2.13%, due 04/29/32 | 541,069 | ||||||||
281,000 | Diamondback Energy, Inc., 3.13%, due 03/24/31 | 280,109 | ||||||||
865,000 | Diamondback Energy, Inc., 3.25%, due 12/01/26 | 907,982 | ||||||||
1,494,000 | Digital Realty Trust, LP REIT, 3.70%, due 08/15/27 | 1,647,465 | ||||||||
133,000 | Discover Financial Services, 4.10%, due 02/09/27 | 147,644 | ||||||||
268,000 | Dollar General Corp., 3.50%, due 04/03/30 | 288,853 | ||||||||
807,000 | Dollar Tree, Inc., 4.20%, due 05/15/28 | 905,281 | ||||||||
854,000 | Dominion Energy, Inc., 2.72%, due 08/15/21(e) | 861,230 | ||||||||
115,000 | Dominion Energy, Inc., 2.85%, due 08/15/26 | 122,144 | ||||||||
271,000 | Dominion Energy, Inc., 3.38%, due 04/01/30 | 287,489 | ||||||||
186,000 | DPL, Inc., 4.13%, due 07/01/25 144A | 197,285 | ||||||||
850,000 | DTE Electric Co., 2.25%, due 03/01/30(g) | 848,133 | ||||||||
411,000 | Duke Energy Carolinas LLC, 3.95%, due 03/15/48 | 450,982 | ||||||||
1,839,000 | Duke Energy Corp., 3.55%, due 09/15/21 | 1,851,144 | ||||||||
420,000 | Duke Energy Florida LLC, 3.40%, due 10/01/46 | 427,122 | ||||||||
195,000 | Duke Energy Progress LLC, 3.70%, due 10/15/46 | 205,275 | ||||||||
617,000 | eBay, Inc., 2.70%, due 03/11/30 | 623,704 | ||||||||
174,000 | Edgewell Personal Care Co., 4.13%, due 04/01/29 144A | 173,317 | ||||||||
250,000 | Edgewell Personal Care Co., 5.50%, due 06/01/28 144A | 264,346 | ||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 268,152 | ||||||||
42,000 | Embraer Netherlands Finance BV, 5.05%, due 06/15/25 | 43,681 | ||||||||
250,000 | Embraer Overseas, Ltd., 5.70%, due 09/16/23 144A | 263,102 | ||||||||
416,000 | Emera US Finance, LP, 3.55%, due 06/15/26 | 451,204 | ||||||||
40,000 | Empire Communities Corp., 7.00%, due 12/15/25 144A | 42,250 | ||||||||
338,000 | Enbridge, Inc., 5.50% (3 mo. USD LIBOR + 3.42%), due 07/15/77(b) | 344,660 | ||||||||
385,000 | Enbridge, Inc., 5.75% (5 yr. CMT + 5.31%), due 07/15/80(b) | 412,912 | ||||||||
332,000 | Enbridge, Inc., 6.25% (3 mo. USD LIBOR + 3.64%), due 03/01/78(b) | 347,978 | ||||||||
148,000 | Encompass Health Corp., 4.50%, due 02/01/28 | 151,820 | ||||||||
126,000 | Encompass Health Corp., 4.63%, due 04/01/31 | 130,568 | ||||||||
450,000 | Enel Finance International NV, 4.63%, due 09/14/25 144A | 509,676 | ||||||||
106,000 | Energean Israel Finance, Ltd., Reg S, 5.38%, due 03/30/28(k) 144A | 107,524 | ||||||||
185,000 | Energean Israel Finance, Ltd., Reg S, 5.88%, due 03/30/31(k) 144A | 185,000 | ||||||||
136,000 | Energy Transfer Operating, LP, 4.20%, due 04/15/27 | 148,328 | ||||||||
435,000 | Energy Transfer Operating, LP, 5.15%, due 03/15/45 | 448,686 | ||||||||
500,000 | Energy Transfer Operating, LP, 5.25%, due 04/15/29 | 569,183 | ||||||||
900,000 | Energy Transfer Operating, LP, 5.50%, due 06/01/27 | 1,038,737 | ||||||||
325,000 | Energy Transfer Operating, LP, 5.88%, due 01/15/24 | 362,690 | ||||||||
340,000 | Energy Transfer Operating, LP, 6.25%, due 04/15/49 | 398,958 | ||||||||
922,000 | Energy Transfer, LP, 3.45%, due 01/15/23 | 957,560 | ||||||||
399,000 | Energy Transfer, LP, 3.90%, due 07/15/26 | 429,631 | ||||||||
150,000 | Energy Transfer, LP, 5.30%, due 04/01/44 | 157,820 | ||||||||
431,000 | Energy Transfer, LP, 5.40%, due 10/01/47 | 460,856 | ||||||||
227,000 | Enova International, Inc., 8.50%, due 09/15/25 144A | 236,148 | ||||||||
1,100,000 | Enterprise Products Operating LLC, 4.90%, due 05/15/46 | 1,266,129 | ||||||||
639,000 | Enterprise Products Operating LLC, 5.25% (3 mo. USD LIBOR + 3.03%), due 08/16/77(b) | 638,031 | ||||||||
394,000 | Equinix, Inc. REIT, 1.55%, due 03/15/28 | 377,168 | ||||||||
268,000 | Equinix, Inc. REIT, 1.80%, due 07/15/27 | 263,089 |
See accompanying Notes to the Financial Statements.
82
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
499,000 | Equinix, Inc. REIT, 3.20%, due 11/18/29(g) | 519,014 | ||||||||
214,000 | Equinix, Inc. REIT, 5.38%, due 05/15/27 | 230,175 | ||||||||
75,000 | ESH Hospitality, Inc. REIT, 4.63%, due 10/01/27 144A | 79,417 | ||||||||
450,000 | ESH Hospitality, Inc. REIT, 5.25%, due 05/01/25 144A | 459,664 | ||||||||
460,000 | Essential Utilities, Inc., 2.70%, due 04/15/30 | 464,072 | ||||||||
925,000 | Essex Portfolio, LP REIT, 1.70%, due 03/01/28 | 891,313 | ||||||||
1,320,000 | Eversource Energy, 2.90%, due 10/01/24 | 1,408,767 | ||||||||
285,000 | Exelon Corp., 4.70%, due 04/15/50 | 341,523 | ||||||||
1,128,000 | Exelon Corp., 5.10%, due 06/15/45 | 1,400,221 | ||||||||
274,000 | Expedia Group, Inc., 2.95%, due 03/15/31 144A | 270,216 | ||||||||
389,000 | Expedia Group, Inc., 3.25%, due 02/15/30 | 392,224 | ||||||||
633,000 | Expedia Group, Inc., 3.80%, due 02/15/28 | 670,500 | ||||||||
347,000 | Expedia Group, Inc., 4.63%, due 08/01/27 144A | 386,615 | ||||||||
565,000 | Expedia Group, Inc., 5.00%, due 02/15/26 | 638,232 | ||||||||
995,000 | FedEx Corp., 4.05%, due 02/15/48 | 1,083,017 | ||||||||
1,328,000 | Ferguson Finance Plc, 3.25%, due 06/02/30 144A | 1,399,722 | ||||||||
715,000 | Ferguson Finance Plc, 4.50%, due 10/24/28 144A | 820,642 | ||||||||
920,000 | Fidelity National Information Services, Inc., 2.25%, due 03/01/31 | 901,901 | ||||||||
219,000 | Fifth Third Bancorp, 5.10% (3 mo. USD LIBOR + 3.03%)(b) (h) | 222,345 | ||||||||
135,000 | First Quantum Minerals, Ltd., 6.88%, due 03/01/26 144A | 139,978 | ||||||||
245,000 | First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A | 263,069 | ||||||||
200,000 | First Quantum Minerals, Ltd., 7.50%, due 04/01/25 144A | 206,750 | ||||||||
194,000 | FirstEnergy Corp., 2.65%, due 03/01/30 | 184,514 | ||||||||
1,260,000 | Fiserv, Inc., 3.50%, due 07/01/29 | 1,360,089 | ||||||||
200,000 | Flowserve Corp., 3.50%, due 10/01/30 | 203,523 | ||||||||
305,000 | FMG Resources August 2006 Pty, Ltd., 4.38%, due 04/01/31 144A | 311,100 | ||||||||
175,000 | Ford Motor Co., 4.75%, due 01/15/43 | 176,514 | ||||||||
915,000 | Ford Motor Credit Co. LLC, 3.35%, due 11/01/22 | 934,727 | ||||||||
215,000 | Ford Motor Credit Co. LLC, 4.00%, due 11/13/30 | 213,547 | ||||||||
356,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/17/27 | 368,015 | ||||||||
1,049,000 | Ford Motor Credit Co. LLC, 4.13%, due 08/04/25 | 1,099,142 | ||||||||
565,000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 606,104 | ||||||||
202,000 | Freedom Mortgage Corp., 8.13%, due 11/15/24 144A | 209,954 | ||||||||
72,000 | Freedom Mortgage Corp., 8.25%, due 04/15/25 144A | 75,150 | ||||||||
287,000 | Freeport-McMoRan, Inc., 4.63%, due 08/01/30 | 312,830 | ||||||||
245,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 294,612 | ||||||||
534,000 | Fresenius Medical Care US Finance III, Inc., 2.38%, due 02/16/31 144A | 509,691 | ||||||||
46,000 | Frontier Communications Corp., 5.88%, due 10/15/27 144A | 48,846 | ||||||||
321,000 | FS Luxembourg SARL, 10.00%, due 12/15/25(g) 144A | 354,039 | ||||||||
61,000 | Gartner, Inc., 3.75%, due 10/01/30 144A | 60,466 | ||||||||
71,000 | Gartner, Inc., 4.50%, due 07/01/28 144A | 73,308 | ||||||||
203,000 | GCI LLC, 4.75%, due 10/15/28 144A | 208,202 | ||||||||
1,162,000 | GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35 | 1,333,256 | ||||||||
820,000 | General Dynamics Corp., 4.25%, due 04/01/50 | 979,388 | ||||||||
436,000 | General Electric Co., 4.25%, due 05/01/40 | 481,364 | ||||||||
488,000 | General Electric Co., (MTN), 5.55%, due 01/05/26 | 578,864 | ||||||||
440,000 | General Motors Co., 5.00%, due 04/01/35 | 509,320 | ||||||||
175,000 | General Motors Co., 5.40%, due 04/01/48 | 206,364 | ||||||||
450,000 | General Motors Co., 6.25%, due 10/02/43 | 576,429 |
See accompanying Notes to the Financial Statements.
83
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
160,000 | General Motors Financial Co., Inc., 1.07% (3 mo. USD LIBOR + 0.85%), due 04/09/21(b) | 160,013 | ||||||||
605,000 | General Motors Financial Co., Inc., 2.90%, due 02/26/25 | 634,686 | ||||||||
120,000 | General Motors Financial Co., Inc., 3.55%, due 04/09/21 | 120,042 | ||||||||
954,000 | General Motors Financial Co., Inc., 3.60%, due 06/21/30 | 1,006,773 | ||||||||
1,199,000 | General Motors Financial Co., Inc., 4.15%, due 06/19/23 | 1,286,731 | ||||||||
436,000 | General Motors Financial Co., Inc., 4.30%, due 07/13/25 | 479,384 | ||||||||
535,000 | General Motors Financial Co., Inc., 5.10%, due 01/17/24 | 591,908 | ||||||||
313,000 | General Motors Financial Co., Inc., 5.20%, due 03/20/23 | 339,561 | ||||||||
656,000 | Georgia-Pacific LLC, 2.30%, due 04/30/30 144A | 653,814 | ||||||||
286,000 | GFL Environmental, Inc., 3.50%, due 09/01/28 144A | 277,777 | ||||||||
325,000 | Globo Comunicacao e Participacoes SA, 4.88%, due 01/22/30 144A | 328,390 | ||||||||
1,000,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 4.00%, due 01/15/31 | 1,035,350 | ||||||||
578,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 5.38%, due 04/15/26 | 649,721 | ||||||||
161,000 | Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, due 05/01/24 144A | 169,754 | ||||||||
1,350,000 | Goldman Sachs Group, Inc. (The), 0.86% (SOFR + 0.61%), due 02/12/26(b) | 1,327,185 | ||||||||
975,000 | Goldman Sachs Group, Inc. (The), 1.43% (SOFR + 0.80%), due 03/09/27(b) | 966,285 | ||||||||
1,200,000 | Goldman Sachs Group, Inc. (The), 3.27% (3 mo. USD LIBOR + 1.20%), due 09/29/25(b) | 1,287,943 | ||||||||
140,000 | Goldman Sachs Group, Inc. (The), 3.50%, due 01/23/25 | 151,182 | ||||||||
85,000 | Goldman Sachs Group, Inc. (The), 3.75%, due 02/25/26 | 93,285 | ||||||||
1,131,000 | Goldman Sachs Group, Inc. (The), 3.80%, due 03/15/30 | 1,245,807 | ||||||||
815,000 | Goldman Sachs Group, Inc. (The), 3.81% (3 mo. USD LIBOR + 1.16%), due 04/23/29(b) | 893,645 | ||||||||
1,266,000 | Goldman Sachs Group, Inc. (The), 3.85%, due 01/26/27 | 1,390,338 | ||||||||
125,000 | Goldman Sachs Group, Inc. (The), 5.30% (3 mo. USD LIBOR + 3.83%)(b) (g) (h) | 138,125 | ||||||||
1,850,000 | Goldman Sachs Group, Inc. (The), 5.75%, due 01/24/22 | 1,930,814 | ||||||||
20,000 | Graham Packaging Co., Inc., 7.13%, due 08/15/28 144A | 21,313 | ||||||||
220,000 | Graphic Packaging International LLC, 3.50%, due 03/01/29 144A | 214,363 | ||||||||
175,000 | Greenko Dutch BV, 4.88%, due 07/24/22 144A | 177,188 | ||||||||
14,000 | Group 1 Automotive, Inc., 4.00%, due 08/15/28 144A | 13,930 | ||||||||
262,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A | 255,122 | ||||||||
104,000 | Hanesbrands, Inc., 5.38%, due 05/15/25 144A | 110,175 | ||||||||
209,000 | HCA, Inc., 4.13%, due 06/15/29 | 231,707 | ||||||||
333,000 | HCA, Inc., 5.25%, due 04/15/25 | 380,337 | ||||||||
227,000 | HCA, Inc., 5.25%, due 06/15/26 | 260,963 | ||||||||
50,000 | HCA, Inc., 5.38%, due 02/01/25 | 55,850 | ||||||||
150,000 | HCA, Inc., 5.88%, due 02/01/29 | 175,006 | ||||||||
646,000 | Healthpeak Properties, Inc. REIT, 3.25%, due 07/15/26 | 698,395 | ||||||||
84,000 | Hillenbrand, Inc., 5.75%, due 06/15/25 | 89,828 | ||||||||
226,000 | Hilton Domestic Operating Co., Inc., 3.63%, due 02/15/32 144A | 219,638 | ||||||||
184,000 | Hilton Domestic Operating Co., Inc., 4.00%, due 05/01/31 144A | 184,345 | ||||||||
236,000 | Hilton Domestic Operating Co., Inc., 4.88%, due 01/15/30 | 250,791 | ||||||||
77,000 | Hilton Domestic Operating Co., Inc., 5.75%, due 05/01/28 144A | 83,017 | ||||||||
777,000 | Home Depot, Inc. (The), 3.30%, due 04/15/40 | 817,686 | ||||||||
512,000 | Host Hotels & Resorts, LP REIT, 3.38%, due 12/15/29 | 508,084 | ||||||||
277,000 | Host Hotels & Resorts, LP REIT, 3.50%, due 09/15/30(g) | 277,703 | ||||||||
170,000 | Host Hotels & Resorts, LP REIT, 4.50%, due 02/01/26 | 184,081 | ||||||||
319,000 | Howmet Aerospace, Inc., 5.13%, due 10/01/24 | 351,267 |
See accompanying Notes to the Financial Statements.
84
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
260,000 | HSBC Holdings Plc, 6.88% (5 yr. USD ICE swap + 5.51%)(b) (h) | 262,912 | ||||||||
69,000 | Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A | 71,799 | ||||||||
85,000 | Huntington Ingalls Industries, Inc., 3.84%, due 05/01/25 | 92,793 | ||||||||
392,000 | Huntington Ingalls Industries, Inc., 4.20%, due 05/01/30 | 435,358 | ||||||||
224,000 | Husky Energy, Inc., 3.95%, due 04/15/22 | 229,275 | ||||||||
92,000 | �� | Hyatt Hotels Corp., 4.38%, due 09/15/28 | 98,686 | |||||||
239,000 | Hyatt Hotels Corp., 5.75%, due 04/23/30 | 279,473 | ||||||||
170,000 | Hyundai Capital America, 1.80%, due 10/15/25 144A | 169,940 | ||||||||
170,000 | Hyundai Capital America, 2.38%, due 10/15/27 144A | 170,671 | ||||||||
1,668,000 | Hyundai Capital America, 5.75%, due 04/06/23 144A | 1,828,671 | ||||||||
298,000 | IHS Markit, Ltd., 4.00%, due 03/01/26 144A | 328,788 | ||||||||
125,000 | IHS Markit, Ltd., 4.75%, due 02/15/25 144A | 140,094 | ||||||||
202,000 | IHS Markit, Ltd., 4.75%, due 08/01/28 | 233,697 | ||||||||
126,000 | Infor, Inc., 1.75%, due 07/15/25 144A | 127,208 | ||||||||
480,000 | Infraestructura Energetica Nova SAB de CV, 4.75%, due 01/15/51 144A | 478,404 | ||||||||
200,000 | Instituto Costarricense de Electricidad, 6.38%, due 05/15/43 144A | 169,500 | ||||||||
170,000 | International Game Technology Plc, 6.50%, due 02/15/25 144A | 186,575 | ||||||||
80,000 | IPALCO Enterprises, Inc., 4.25%, due 05/01/30 144A | 87,414 | ||||||||
180,000 | Iron Mountain, Inc. REIT, 4.88%, due 09/15/29 144A | 182,421 | ||||||||
245,000 | Iron Mountain, Inc. REIT, 5.25%, due 07/15/30 144A | 253,097 | ||||||||
200,000 | Israel Electric Corp., Ltd., 6.88%, due 06/21/23 144A | 225,500 | ||||||||
194,000 | J2 Global, Inc., 4.63%, due 10/15/30 144A | 196,964 | ||||||||
217,000 | Jacobs Entertainment, Inc., 7.88%, due 02/01/24 144A | 226,471 | ||||||||
107,000 | JB Poindexter & Co., Inc., 7.13%, due 04/15/26 144A | 113,286 | ||||||||
385,000 | JBS Investments II GmbH, 5.75%, due 01/15/28 144A | 406,240 | ||||||||
500,000 | Jefferies Group LLC, 5.13%, due 01/20/23 | 539,473 | ||||||||
300,000 | Jefferies Group LLC/Jefferies Group Capital Finance, Inc., 4.15%, due 01/23/30 | 329,780 | ||||||||
446,000 | Jefferies Group LLC/Jefferies Group Capital Finance, Inc., 4.85%, due 01/15/27 | 513,483 | ||||||||
297,697 | JetBlue Pass Through Trust, Class A, 2.75%, due 11/15/33 | 300,116 | ||||||||
900,000 | Johnson & Johnson, 2.10%, due 09/01/40 | 813,412 | ||||||||
649,000 | JPMorgan Chase & Co., 2.52% (SOFR + 2.04%), due 04/22/31(b) | 645,393 | ||||||||
624,000 | JPMorgan Chase & Co., 2.95%, due 10/01/26 | 667,452 | ||||||||
505,000 | JPMorgan Chase & Co., 2.96% (SOFR + 2.52%), due 05/13/31(b) | 514,225 | ||||||||
3,605,000 | JPMorgan Chase & Co., 3.78% (3 mo. USD LIBOR + 1.34%), due 02/01/28(b) | 3,981,457 | ||||||||
573,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR + 1.25%), due 01/29/27(b) | 632,318 | ||||||||
625,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR + 1.38%), due 11/15/48(b) | 688,389 | ||||||||
585,000 | JPMorgan Chase & Co., 4.00% (SOFR + 2.75%)(b) (g) (h) | 579,662 | ||||||||
340,000 | JPMorgan Chase & Co., 4.01% (3 mo. USD LIBOR + 1.12%), due 04/23/29(b) | 379,304 | ||||||||
555,000 | JPMorgan Chase & Co., 4.01% (3 mo. USD LIBOR + 3.80%)(b) (g) (h) | 556,174 | ||||||||
2,450,000 | JPMorgan Chase & Co., 4.20% (3 mo. USD LIBOR + 1.26%), due 07/23/29(b) | 2,772,716 | ||||||||
1,207,000 | JPMorgan Chase & Co., 4.49% (SOFR + 3.79%), due 03/24/31(b) | 1,391,308 | ||||||||
314,000 | JPMorgan Chase & Co., 4.60% (SOFR + 3.13%)(b) (h) | 318,035 | ||||||||
180,000 | JPMorgan Chase & Co., 5.00% (SOFR + 3.38%)(b) (h) | 186,217 | ||||||||
372,000 | JPMorgan Chase & Co., 6.75% (3 mo. USD LIBOR + 3.78%)(b) (h) | 407,445 | ||||||||
107,000 | JW Aluminum Continuous Cast Co., 10.25%, due 06/01/26 144A | 113,533 | ||||||||
200,000 | KazMunayGas National Co. JSC, 4.75%, due 04/24/25 144A | 225,152 | ||||||||
140,000 | Ken Garff Automotive LLC, 4.88%, due 09/15/28 144A | 140,123 | ||||||||
840,000 | Keurig Dr Pepper, Inc., 2.25%, due 03/15/31(g) | 825,626 | ||||||||
133,000 | Keurig Dr Pepper, Inc., 3.20%, due 05/01/30(g) | 140,851 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
283,000 | Kinder Morgan Energy Partners, LP, 7.75%, due 03/15/32 | 392,740 | ||||||||
640,000 | Kinder Morgan, Inc., 3.60%, due 02/15/51 | 595,538 | ||||||||
991,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43(g) 144A | 1,266,960 | ||||||||
540,000 | KKR Group Finance Co. VII LLC, 3.63%, due 02/25/50 144A | 536,412 | ||||||||
317,000 | KLA Corp., 4.10%, due 03/15/29 | 356,528 | ||||||||
333,000 | Kraft Heinz Foods Co., 3.00%, due 06/01/26 | 351,337 | ||||||||
27,000 | Kraft Heinz Foods Co., 3.88%, due 05/15/27 | 29,558 | ||||||||
364,000 | Kraft Heinz Foods Co., 4.38%, due 06/01/46 | 380,374 | ||||||||
205,000 | Kraft Heinz Foods Co., 4.88%, due 10/01/49 | 229,842 | ||||||||
126,000 | Kraft Heinz Foods Co., 5.00%, due 06/04/42 | 141,658 | ||||||||
115,000 | Kraft Heinz Foods Co., 5.20%, due 07/15/45 | 132,958 | ||||||||
189,000 | Kraft Heinz Foods Co., 5.50%, due 06/01/50 | 232,672 | ||||||||
129,000 | Kratos Defense & Security Solutions, Inc., 6.50%, due 11/30/25 144A | 136,000 | ||||||||
225,000 | Kroger Co. (The), 2.20%, due 05/01/30(g) | 220,442 | ||||||||
150,000 | L Brands, Inc., 5.63%, due 10/15/23 | 163,031 | ||||||||
510,000 | Laboratory Corp. of America Holdings, 2.95%, due 12/01/29 | 525,768 | ||||||||
397,000 | Lam Research Corp., 2.88%, due 06/15/50 | 378,259 | ||||||||
281,000 | Lam Research Corp., 4.88%, due 03/15/49 | 361,629 | ||||||||
201,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 223,976 | ||||||||
55,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, due 02/01/26(g) 144A | 56,031 | ||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86% (3 mo. USD LIBOR + 0.84%)(b) (c) (h) (l) | 165 | ||||||||
890,000 | Lehman Brothers Holdings, Inc., 6.50%, due 07/19/17(c) (l) | 312 | ||||||||
270,000 | Lehman Brothers Holdings, Inc., (MTN), 6.75%, due 12/28/17(c) (l) | 95 | ||||||||
1,279,000 | Level 3 Financing, Inc., 3.40%, due 03/01/27 144A | 1,356,514 | ||||||||
69,000 | Levi Strauss & Co., 3.50%, due 03/01/31 144A | 66,671 | ||||||||
38,000 | Levi Strauss & Co., 5.00%, due 05/01/25 | 38,764 | ||||||||
381,000 | Leviathan Bond, Ltd., Reg S, 6.50%, due 06/30/27(k) 144A | 417,919 | ||||||||
69,000 | Leviathan Bond, Ltd., Reg S, 6.75%, due 06/30/30(k) 144A | 75,966 | ||||||||
230,000 | Liberty Mutual Group, Inc., 3.95%, due 10/15/50 144A | 237,361 | ||||||||
254,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 274,409 | ||||||||
2,679,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A | 3,108,548 | ||||||||
116,000 | Life Time, Inc., 8.00%, due 04/15/26(g) 144A | 119,770 | ||||||||
1,603,000 | Lincoln National Corp., 3.40%, due 01/15/31(g) | 1,708,042 | ||||||||
420,000 | Lions Gate Capital Holdings LLC, 5.50%, due 04/15/29(d) 144A | 421,096 | ||||||||
242,000 | Lions Gate Capital Holdings LLC, 5.88%, due 11/01/24 144A | 249,110 | ||||||||
365,000 | Live Nation Entertainment, Inc., 4.75%, due 10/15/27 144A | 368,309 | ||||||||
1,150,000 | Lloyds Banking Group Plc, 2.44% (1 yr. CMT + 1.00%), due 02/05/26(b) | 1,191,218 | ||||||||
996,000 | Lloyds Banking Group Plc, 4.45%, due 05/08/25 | 1,113,419 | ||||||||
321,000 | Lloyds Banking Group Plc, 7.50% (5 yr. USD swap + 4.76%)(b) (h) | 358,628 | ||||||||
712,000 | Lockheed Martin Corp., 2.80%, due 06/15/50 | 671,203 | ||||||||
713,000 | Lockheed Martin Corp., 4.70%, due 05/15/46 | 889,938 | ||||||||
386,000 | Lowe’s Cos., Inc., 3.70%, due 04/15/46 | 402,536 | ||||||||
212,000 | Lowe’s Cos., Inc., 5.00%, due 04/15/40 | 260,053 | ||||||||
284,000 | LSC Communications, Inc., 8.75%, due 10/15/23(j) (l) | 12,070 | ||||||||
305,000 | Lumen Technologies, Inc., 4.50%, due 01/15/29 144A | 298,038 | ||||||||
350,000 | Lumen Technologies, Inc., 6.75%, due 12/01/23 | 387,007 | ||||||||
150,000 | LYB International Finance BV, 4.88%, due 03/15/44 | 173,338 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
380,000 | LYB International Finance III LLC, 4.20%, due 05/01/50 | 408,691 | ||||||||
158,000 | M&T Bank Corp., 5.13% (3 mo. USD LIBOR + 3.52%)(b) (g) (h) | 171,035 | ||||||||
280,000 | Macquarie Bank, Ltd., 3.62%, due 06/03/30 144A | 286,606 | ||||||||
270,000 | Macquarie Bank, Ltd., 4.88%, due 06/10/25(g) 144A | 299,777 | ||||||||
943,000 | Macquarie Group, Ltd., 1.34% (SOFR + 1.07%), due 01/12/27(b) 144A | 925,516 | ||||||||
1,484,000 | Macquarie Group, Ltd., 4.15% (3 mo. USD LIBOR + 1.33%), due 03/27/24(b) 144A | 1,582,184 | ||||||||
74,000 | Macy’s Retail Holdings LLC, 5.88%, due 04/01/29(g) 144A | 76,022 | ||||||||
106,000 | Macy’s, Inc., 8.38%, due 06/15/25 144A | 117,517 | ||||||||
55,000 | Magellan Midstream Partners, LP, 4.25%, due 09/15/46 | 55,994 | ||||||||
200,000 | Magellan Midstream Partners, LP, 5.15%, due 10/15/43 | 227,847 | ||||||||
127,000 | Magna International, Inc., 2.45%, due 06/15/30(g) | 127,275 | ||||||||
220,000 | MARB BondCo Plc, 3.95%, due 01/29/31(g) 144A | 209,952 | ||||||||
115,000 | Markel Corp., 4.15%, due 09/17/50 | 126,410 | ||||||||
455,000 | Marriott International, Inc., 2.85%, due 04/15/31 | 447,504 | ||||||||
134,000 | Marriott International, Inc., 3.13%, due 06/15/26 | 140,173 | ||||||||
373,000 | Marriott International, Inc., 3.50%, due 10/15/32 | 385,898 | ||||||||
201,000 | Marriott International, Inc., 4.63%, due 06/15/30 | 224,959 | ||||||||
400,000 | Martin Marietta Materials, Inc., 2.50%, due 03/15/30(g) | 398,028 | ||||||||
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 | 252,218 | ||||||||
616,000 | Marvell Technology Group, Ltd., 4.88%, due 06/22/28 | 706,590 | ||||||||
460,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14(i) | 592,245 | ||||||||
1,255,000 | Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50 144A | 1,226,962 | ||||||||
164,000 | MasTec, Inc., 4.50%, due 08/15/28 144A | 170,355 | ||||||||
258,000 | Mastercard, Inc., 3.85%, due 03/26/50 | 291,963 | ||||||||
162,000 | Match Group Holdings II LLC, 4.13%, due 08/01/30 144A | 162,734 | ||||||||
46,000 | Mauser Packaging Solutions Holding Co., 8.50%, due 04/15/24 144A | 47,840 | ||||||||
801,000 | McDonald’s Corp., (MTN), 3.50%, due 07/01/27 | 881,373 | ||||||||
900,000 | McDonald’s Corp., (MTN), 4.20%, due 04/01/50 | 1,021,746 | ||||||||
132,000 | MDC Holdings, Inc., 2.50%, due 01/15/31 | 124,740 | ||||||||
418,000 | MDC Partners, Inc., 7.50%, due 05/01/24(e) 144A | 422,811 | ||||||||
368,000 | MEDNAX, Inc., 6.25%, due 01/15/27 144A | 393,970 | ||||||||
328,000 | Meredith Corp., 6.88%, due 02/01/26(g) | 336,815 | ||||||||
198,000 | Methanex Corp., 4.25%, due 12/01/24 | 206,663 | ||||||||
355,000 | MetLife, Inc., 6.40%, due 12/15/66 | 446,063 | ||||||||
200,000 | Mexico City Airport Trust, 5.50%, due 07/31/47 144A | 199,000 | ||||||||
165,000 | MGM Growth Properties Operating Partnership, LP/MGP Finance Co-Issuer, Inc. REIT, 3.88%, due 02/15/29 144A | 164,670 | ||||||||
338,000 | MGM Resorts International, 4.75%, due 10/15/28 | 349,744 | ||||||||
67,000 | Michaels Stores, Inc., 4.75%, due 10/01/27 144A | 72,963 | ||||||||
969,000 | Micron Technology, Inc., 4.19%, due 02/15/27 | 1,076,538 | ||||||||
155,000 | Micron Technology, Inc., 4.98%, due 02/06/26 | 177,460 | ||||||||
775,000 | Micron Technology, Inc., 5.33%, due 02/06/29 | 912,450 | ||||||||
288,000 | Microsoft Corp., 2.53%, due 06/01/50 | 262,802 | ||||||||
295,000 | Microsoft Corp., 2.68%, due 06/01/60 | 270,326 | ||||||||
100,000 | MidAmerican Energy Co., 4.25%, due 07/15/49 | 116,083 | ||||||||
174,000 | Midwest Connector Capital Co. LLC, 3.63%, due 04/01/22(g) 144A | 176,532 | ||||||||
398,000 | Midwest Connector Capital Co. LLC, 3.90%, due 04/01/24 144A | 411,178 | ||||||||
242,000 | Mohegan Gaming & Entertainment, 8.00%, due 02/01/26 144A | 244,451 | ||||||||
950,000 | Moody’s Corp., 3.25%, due 05/20/50 | 923,410 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,085,000 | Morgan Stanley, 2.19% (SOFR + 1.99%), due 04/28/26(b) | 1,121,289 | ||||||||
945,000 | Morgan Stanley, 3.59% (3 mo. USD LIBOR + 1.34%), due 07/22/28(b) | 1,030,537 | ||||||||
325,000 | Morgan Stanley, 3.85% (3 mo. USD LIBOR + 3.61%)(b) (h) | 325,495 | ||||||||
921,000 | Morgan Stanley, 3.88%, due 04/29/24 | 1,006,183 | ||||||||
785,000 | Morgan Stanley, (MTN), 2.70% (SOFR + 1.14%), due 01/22/31(b) | 799,139 | ||||||||
1,301,000 | Morgan Stanley, (MTN), 3.13%, due 07/27/26 | 1,401,879 | ||||||||
1,311,000 | Morgan Stanley, (MTN), 3.62% (SOFR + 3.12%), due 04/01/31(b) | 1,423,368 | ||||||||
620,000 | Morgan Stanley, (MTN), 3.77% (3 mo. USD LIBOR + 1.14%), due 01/24/29(b) | 678,163 | ||||||||
356,000 | Morgan Stanley, (MTN), 3.88%, due 01/27/26 | 395,943 | ||||||||
1,000,000 | Morgan Stanley, (MTN), 4.35%, due 09/08/26 | 1,131,204 | ||||||||
437,000 | Motorola Solutions, Inc., 2.30%, due 11/15/30(g) | 413,918 | ||||||||
595,000 | Motorola Solutions, Inc., 4.60%, due 02/23/28 | 677,356 | ||||||||
109,000 | Motorola Solutions, Inc., 4.60%, due 05/23/29 | 123,648 | ||||||||
263,000 | MPLX, LP, 4.00%, due 03/15/28(g) | 290,298 | ||||||||
87,000 | MPLX, LP, 4.13%, due 03/01/27 | 96,607 | ||||||||
141,000 | MPLX, LP, 4.25%, due 12/01/27 | 158,573 | ||||||||
250,000 | MPLX, LP, 4.50%, due 04/15/38 | 272,503 | ||||||||
25,000 | MPLX, LP, 5.20%, due 03/01/47 | 28,576 | ||||||||
813,000 | MPLX, LP, 6.88% (3 mo. USD LIBOR + 4.65%)(b) (g) (h) | 817,065 | ||||||||
300,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.50%, due 03/15/31 | 294,573 | ||||||||
145,000 | MTN Mauritius Investment, Ltd., 4.76%, due 11/11/24 144A | 152,147 | ||||||||
435,000 | Mylan, Inc., 5.20%, due 04/15/48 | 500,501 | ||||||||
450,000 | Mylan, Inc., 5.40%, due 11/29/43 | 528,835 | ||||||||
110,000 | National CineMedia LLC, 5.88%, due 04/15/28 144A | 102,575 | ||||||||
141,000 | Nationstar Mortgage Holdings, Inc., 5.13%, due 12/15/30 144A | 138,738 | ||||||||
158,000 | Nationstar Mortgage Holdings, Inc., 5.50%, due 08/15/28 144A | 158,936 | ||||||||
62,000 | Nationstar Mortgage Holdings, Inc., 6.00%, due 01/15/27 144A | 64,432 | ||||||||
323,000 | Natura Cosmeticos SA, 5.38%, due 02/01/23 144A | 331,874 | ||||||||
500,000 | Natwest Group Plc, 3.88%, due 09/12/23 | 536,353 | ||||||||
210,000 | Natwest Group Plc, 5.08% (3 mo. USD LIBOR + 1.91%), due 01/27/30(b) | 242,879 | ||||||||
430,000 | Natwest Group Plc, 6.00% (5 yr. CMT + 5.63%)(b) (g) (h) | 476,225 | ||||||||
643,000 | Natwest Group Plc, 8.63% (5 yr. USD swap + 7.60%)(b) (h) | 659,699 | ||||||||
329,000 | NBM US Holdings, Inc., 6.63%, due 08/06/29(g) 144A | 363,051 | ||||||||
630,000 | Netflix, Inc., 4.88%, due 04/15/28 | 717,280 | ||||||||
229,000 | Netflix, Inc., 4.88%, due 06/15/30 144A | 263,989 | ||||||||
59,000 | Netflix, Inc., 5.38%, due 11/15/29 144A | 69,844 | ||||||||
444,000 | Netflix, Inc., 5.88%, due 11/15/28 | 537,603 | ||||||||
427,000 | New Fortress Energy, Inc., 6.50%, due 09/30/26(d) 144A | 430,843 | ||||||||
226,000 | New York Life Insurance Co., 3.75%, due 05/15/50 144A | 237,832 | ||||||||
435,000 | Newmont Corp., 2.25%, due 10/01/30 | 423,788 | ||||||||
150,000 | Newmont Corp., 2.80%, due 10/01/29 | 154,373 | ||||||||
265,000 | Newmont Corp., 3.63%, due 06/09/21 | 265,094 | ||||||||
150,000 | Newmont Corp., 5.45%, due 06/09/44 | 195,040 | ||||||||
905,000 | NextEra Energy Capital Holdings, Inc., 2.25%, due 06/01/30 | 885,535 | ||||||||
771,000 | NextEra Energy Capital Holdings, Inc., 3.55%, due 05/01/27 | 843,565 | ||||||||
207,000 | NextEra Energy Operating Partners, LP, 3.88%, due 10/15/26 144A | 217,479 | ||||||||
75,000 | NextEra Energy Operating Partners, LP, 4.50%, due 09/15/27 144A | 81,281 | ||||||||
875,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, due 04/15/22 144A | 876,055 | ||||||||
563,000 | Nippon Life Insurance Co., 2.75% (5 yr. CMT + 2.65%), due 01/21/51(b) 144A | 534,850 |
See accompanying Notes to the Financial Statements.
88
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
220,000 | Nippon Life Insurance Co., 5.10% (5 yr. USD ICE swap + 3.65%), due 10/16/44(b) 144A | 243,484 | ||||||||
670,000 | NiSource, Inc., 3.49%, due 05/15/27 | 727,608 | ||||||||
173,000 | NiSource, Inc., 3.60%, due 05/01/30 | 187,666 | ||||||||
195,000 | Nissan Motor Acceptance Corp., 3.45%, due 03/15/23 144A | 204,097 | ||||||||
43,000 | Nordstrom, Inc., 8.75%, due 05/15/25 144A | 48,715 | ||||||||
970,000 | Norfolk Southern Corp., 4.84%, due 10/01/41 | 1,180,770 | ||||||||
195,000 | Northern States Power Co., 3.60%, due 09/15/47 | 207,999 | ||||||||
880,000 | Northern Trust Corp., 1.95%, due 05/01/30 | 858,898 | ||||||||
942,000 | Northrop Grumman Corp., 5.25%, due 05/01/50 | 1,221,264 | ||||||||
300,000 | NOVA Chemicals Corp., 4.88%, due 06/01/24 144A | 314,062 | ||||||||
298,000 | NRG Energy, Inc., 2.45%, due 12/02/27 144A | 295,641 | ||||||||
50,000 | NRG Energy, Inc., 3.38%, due 02/15/29(g) 144A | 48,906 | ||||||||
139,000 | NRG Energy, Inc., 3.63%, due 02/15/31 144A | 135,786 | ||||||||
218,000 | NRG Energy, Inc., 4.45%, due 06/15/29 144A | 237,105 | ||||||||
525,000 | NRG Energy, Inc., 5.75%, due 01/15/28 | 558,797 | ||||||||
315,000 | Nutrien, Ltd., 4.90%, due 06/01/43 | 371,080 | ||||||||
129,000 | Nutrition & Biosciences, Inc., 1.83%, due 10/15/27 144A | 126,174 | ||||||||
258,000 | Nutrition & Biosciences, Inc., 2.30%, due 11/01/30 144A | 250,643 | ||||||||
452,000 | NVIDIA Corp., 2.85%, due 04/01/30 | 474,914 | ||||||||
815,000 | NXP BV/NXP Funding LLC, 4.63%, due 06/01/23 144A | 883,237 | ||||||||
2,136,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, due 05/01/25 144A | 2,241,037 | ||||||||
130,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, due 05/01/30 144A | 137,132 | ||||||||
517,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.88%, due 06/18/26 144A | 568,658 | ||||||||
285,000 | Occidental Petroleum Corp., 2.90%, due 08/15/24 | 282,196 | ||||||||
75,000 | Occidental Petroleum Corp., 3.50%, due 08/15/29 | 70,406 | ||||||||
4,349,000 | Occidental Petroleum Corp., 6.07%, due 10/10/36(m) | 2,204,943 | ||||||||
325,000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 368,875 | ||||||||
62,000 | OneMain Finance Corp., 6.88%, due 03/15/25 | 70,637 | ||||||||
120,000 | OneMain Finance Corp., 8.88%, due 06/01/25 | 133,158 | ||||||||
655,000 | ONEOK, Inc., 3.10%, due 03/15/30 | 659,867 | ||||||||
390,000 | ONEOK, Inc., 4.45%, due 09/01/49 | 383,893 | ||||||||
200,000 | ONEOK, Inc., 4.95%, due 07/13/47 | 209,176 | ||||||||
200,000 | Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, due 02/11/25 144A | 202,166 | ||||||||
1,200,000 | Oracle Corp., 1.65%, due 03/25/26 | 1,209,345 | ||||||||
1,542,000 | Oracle Corp., 2.50%, due 04/01/25 | 1,618,699 | ||||||||
868,000 | Oracle Corp., 2.95%, due 04/01/30 | 895,109 | ||||||||
100,000 | Ovintiv Exploration, Inc., 5.38%, due 01/01/26 | 109,863 | ||||||||
265,000 | Ovintiv, Inc., 6.50%, due 08/15/34 | 319,081 | ||||||||
321,000 | Owens Corning, 3.95%, due 08/15/29 | 353,393 | ||||||||
350,000 | Owens Corning, 4.30%, due 07/15/47 | 378,958 | ||||||||
146,000 | Owens-Brockway Glass Container, Inc., 6.63%, due 05/13/27 144A | 158,994 | ||||||||
211,000 | Oztel Holdings SPC, Ltd., 6.63%, due 04/24/28 144A | 231,850 | ||||||||
265,000 | PacifiCorp, 2.70%, due 09/15/30 | 271,885 | ||||||||
375,000 | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer REIT, 5.88%, due 10/01/28(g) 144A | 398,297 | ||||||||
149,000 | Parkland Corp., 4.50%, due 10/01/29(d) 144A | 149,887 | ||||||||
582,000 | PayPal Holdings, Inc., 2.85%, due 10/01/29 | 606,618 | ||||||||
415,000 | PECO Energy Co., 3.05%, due 03/15/51 | 408,234 |
See accompanying Notes to the Financial Statements.
89
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
205,000 | PECO Energy Co., 3.70%, due 09/15/47 | 219,706 | ||||||||
580,000 | Pennsylvania Electric Co., 3.60%, due 06/01/29 144A | 610,007 | ||||||||
2,450,000 | Penske Truck Leasing Co., LP/PTL Finance Corp., 3.90%, due 02/01/24 144A | 2,634,321 | ||||||||
525,000 | PepsiCo, Inc., 3.63%, due 03/19/50 | 575,402 | ||||||||
692,000 | Petrobras Global Finance BV, 5.09%, due 01/15/30 | 720,099 | ||||||||
550,000 | Petrobras Global Finance BV, 5.60%, due 01/03/31 | 580,624 | ||||||||
185,000 | Petrobras Global Finance BV, 5.75%, due 02/01/29 | 202,198 | ||||||||
164,000 | Petrobras Global Finance BV, 6.90%, due 03/19/49 | 179,869 | ||||||||
76,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 63,442 | ||||||||
270,000 | Petroleos Mexicanos, 6.50%, due 03/13/27 | 282,590 | ||||||||
255,000 | Petroleos Mexicanos, 6.50%, due 06/02/41 | 222,600 | ||||||||
403,000 | Petroleos Mexicanos, 6.75%, due 09/21/47 | 346,459 | ||||||||
380,000 | Petroleos Mexicanos, 6.88%, due 08/04/26 | 407,444 | ||||||||
1,067,000 | Pfizer, Inc., 2.55%, due 05/28/40 | 1,017,737 | ||||||||
797,000 | Phillips 66 Partners, LP, 3.61%, due 02/15/25 | 853,260 | ||||||||
28,000 | Picasso Finance Sub, Inc., 6.13%, due 06/15/25 144A | 29,791 | ||||||||
145,000 | Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/29 | 156,549 | ||||||||
400,000 | Pilgrim’s Pride Corp., 5.88%, due 09/30/27 144A | 429,180 | ||||||||
855,000 | Plains All American Pipeline, LP/PAA Finance Corp., 3.55%, due 12/15/29 | 852,870 | ||||||||
65,000 | Plains All American Pipeline, LP/PAA Finance Corp., 4.70%, due 06/15/44 | 62,023 | ||||||||
50,000 | Plains All American Pipeline, LP/PAA Finance Corp., 5.15%, due 06/01/42 | 50,650 | ||||||||
61,000 | Playtika Holding Corp., 4.25%, due 03/15/29 144A | 60,212 | ||||||||
63,000 | PNC Financial Services Group, Inc. (The), 3.15%, due 05/19/27 | 68,164 | ||||||||
224,000 | PNC Financial Services Group, Inc. (The), 4.85% (3 mo. USD LIBOR + 3.04%)(b) (h) | 234,760 | ||||||||
479,000 | PNC Financial Services Group, Inc. (The), 6.75% (3 mo. USD LIBOR + 3.68%)(b) (g) (h) | 487,047 | ||||||||
166,000 | Post Holdings, Inc., 5.50%, due 12/15/29 144A | 177,964 | ||||||||
540,000 | PPL Capital Funding, Inc., 5.00%, due 03/15/44 | 643,873 | ||||||||
51,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, due 08/31/27 144A | 49,534 | ||||||||
136,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 141,766 | ||||||||
265,000 | Prosus NV, 5.50%, due 07/21/25 144A | 301,400 | ||||||||
90,000 | Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26 | 95,790 | ||||||||
885,000 | Prudential Financial, Inc., 5.88% (3 mo. USD LIBOR + 4.18%), due 09/15/42(b) | 935,922 | ||||||||
48,000 | PTC, Inc., 4.00%, due 02/15/28 144A | 48,810 | ||||||||
195,000 | Public Service Electric & Gas Co., (MTN), 2.70%, due 05/01/50 | 179,495 | ||||||||
445,000 | Public Service Electric & Gas Co., (MTN), 3.00%, due 05/15/27 | 478,087 | ||||||||
315,000 | Public Service Electric & Gas Co., (MTN), 3.20%, due 05/15/29 | 337,496 | ||||||||
1,700,000 | Public Service Enterprise Group, Inc., 2.88%, due 06/15/24 | 1,806,585 | ||||||||
161,000 | Qorvo, Inc., 3.38%, due 04/01/31 144A | 157,964 | ||||||||
350,000 | QVC, Inc., 4.38%, due 03/15/23 | 367,500 | ||||||||
130,000 | QVC, Inc., 5.45%, due 08/15/34 | 130,325 | ||||||||
130,000 | Radian Group, Inc., 4.50%, due 10/01/24 | 135,564 | ||||||||
191,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, due 09/15/28 144A | 202,045 | ||||||||
128,000 | Raymond James Financial, Inc., 4.65%, due 04/01/30 | 149,059 | ||||||||
330,000 | Realty Income Corp. REIT, 3.25%, due 01/15/31 | 348,657 | ||||||||
428,000 | Rede D’or Finance SARL, 4.50%, due 01/22/30 144A | 420,792 | ||||||||
200,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/16/29 144A | 201,738 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
299,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 4.00%, due 10/15/27 144A | 293,394 | ||||||||
405,000 | Roper Technologies, Inc., 1.40%, due 09/15/27 | 391,422 | ||||||||
170,000 | Royalty Pharma Plc, 1.75%, due 09/02/27 144A | 165,138 | ||||||||
189,000 | Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28 | 207,361 | ||||||||
304,000 | Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27 | 346,116 | ||||||||
546,000 | Sabine Pass Liquefaction LLC, 5.88%, due 06/30/26 | 639,765 | ||||||||
110,000 | Sabra Health Care, LP, REIT, 4.80%, due 06/01/24 | 119,843 | ||||||||
212,000 | Sabre GLBL, Inc., 7.38%, due 09/01/25 144A | 231,345 | ||||||||
320,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25 | 330,480 | ||||||||
290,000 | San Diego Gas & Electric Co., 4.15%, due 05/15/48 | 326,656 | ||||||||
717,000 | Santander Holdings USA, Inc., 3.24%, due 10/05/26 | 757,196 | ||||||||
651,000 | Santander Holdings USA, Inc., 3.45%, due 06/02/25 | 697,646 | ||||||||
505,000 | Santander Holdings USA, Inc., 3.50%, due 06/07/24 | 540,156 | ||||||||
128,000 | Santander Holdings USA, Inc., 4.40%, due 07/13/27 | 142,386 | ||||||||
437,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31 | 429,352 | ||||||||
200,000 | SASOL Financing USA LLC, 5.88%, due 03/27/24 | 212,620 | ||||||||
200,000 | SASOL Financing USA LLC, 6.50%, due 09/27/28(g) | 215,600 | ||||||||
797,000 | SBA Communications Corp. REIT, 3.88%, due 02/15/27 | 815,690 | ||||||||
322,000 | SBA Tower Trust REIT, 2.84%, due 01/15/50 144A | 338,138 | ||||||||
447,000 | SBL Holdings, Inc., 5.00%, due 02/18/31 144A | 451,287 | ||||||||
350,000 | Seagate HDD Cayman, 4.09%, due 06/01/29 144A | 357,315 | ||||||||
394,000 | Seagate HDD Cayman, 4.13%, due 01/15/31 144A | 400,816 | ||||||||
193,000 | Select Medical Corp., 6.25%, due 08/15/26 144A | 205,410 | ||||||||
115,000 | Sensata Technologies, Inc., 3.75%, due 02/15/31 144A | 113,527 | ||||||||
122,000 | Service Corp. International, 3.38%, due 08/15/30 | 119,231 | ||||||||
950,000 | Shell International Finance BV, 5.50%, due 03/25/40 | 1,269,414 | ||||||||
995,000 | Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26 | 1,072,247 | ||||||||
44,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, due 03/01/29 144A | 44,441 | ||||||||
850,000 | Simon Property Group, LP REIT, 6.75%, due 02/01/40 | 1,203,993 | ||||||||
270,000 | �� | Sinopec Group Overseas Development 2018, Ltd., 3.68%, due 08/08/49(g) 144A | 274,897 | |||||||
386,000 | Sirius XM Radio, Inc., 5.00%, due 08/01/27 144A | 405,499 | ||||||||
284,000 | Societe Generale SA, 5.38% (5 yr. CMT + 4.51%)(b) (h) 144A | 292,875 | ||||||||
529,000 | SoftBank Group Corp., Reg S, 6.88% (5 yr. USD ICE swap + 4.85%)(b) (h) (k) | 538,125 | ||||||||
200,000 | Sotheby’s, 7.38%, due 10/15/27(g) 144A | 216,610 | ||||||||
335,000 | Southern California Edison Co., 4.00%, due 04/01/47 | 344,677 | ||||||||
1,318,000 | Southern Co. (The), 3.25%, due 07/01/26 | 1,411,415 | ||||||||
1,260,000 | Southern Co. Gas Capital Corp., 2.45%, due 10/01/23 | 1,312,659 | ||||||||
755,000 | Southwest Airlines Co., 2.63%, due 02/10/30 | 742,717 | ||||||||
26,000 | Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, due 09/30/26 144A | 26,878 | ||||||||
1,701,000 | Spirit Realty, LP REIT, 2.10%, due 03/15/28 | 1,654,685 | ||||||||
200,000 | Sprint Communications, Inc., 11.50%, due 11/15/21 | 212,375 | ||||||||
300,000 | Sprint Corp., 7.13%, due 06/15/24 | 345,753 | ||||||||
625,000 | Sprint Corp., 7.25%, due 09/15/21 | 641,469 | ||||||||
59,375 | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, due 03/20/23 144A | 59,913 | ||||||||
118,000 | Standard Industries, Inc., 3.38%, due 01/15/31 144A | 111,953 |
See accompanying Notes to the Financial Statements.
91
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
375,000 | Standard Industries, Inc., 4.38%, due 07/15/30 144A | 378,951 | ||||||||
25,000 | Standard Industries, Inc., 4.75%, due 01/15/28 144A | 25,946 | ||||||||
62,000 | Standard Industries, Inc., 5.00%, due 02/15/27 144A | 64,751 | ||||||||
1,365,000 | State Street Corp., 2.20%, due 03/03/31 | 1,330,202 | ||||||||
330,000 | State Street Corp., 3.15% (SOFR + 2.65%), due 03/30/31(b) | 350,012 | ||||||||
920,000 | Steel Dynamics, Inc., 3.45%, due 04/15/30 | 983,330 | ||||||||
63,000 | Stericycle, Inc., 3.88%, due 01/15/29 144A | 62,291 | ||||||||
77,000 | Sunoco, LP/Sunoco Finance Corp., 4.50%, due 05/15/29 144A | 76,856 | ||||||||
68,000 | Switch, Ltd., 3.75%, due 09/15/28 144A | 67,088 | ||||||||
113,000 | Sysco Corp., 5.95%, due 04/01/30 | 141,418 | ||||||||
560,000 | T-Mobile USA, Inc., 2.05%, due 02/15/28 144A | 550,726 | ||||||||
179,000 | T-Mobile USA, Inc., 2.55%, due 02/15/31 144A | 175,237 | ||||||||
50,000 | T-Mobile USA, Inc., 2.88%, due 02/15/31 | 48,388 | ||||||||
521,000 | T-Mobile USA, Inc., 3.38%, due 04/15/29(g) | 527,343 | ||||||||
2,019,000 | T-Mobile USA, Inc., 3.50%, due 04/15/25 144A | 2,181,348 | ||||||||
246,000 | T-Mobile USA, Inc., 3.75%, due 04/15/27 144A | 269,134 | ||||||||
702,000 | T-Mobile USA, Inc., 3.88%, due 04/15/30 144A | 765,868 | ||||||||
350,000 | T-Mobile USA, Inc., 4.00%, due 04/15/22 | 357,222 | ||||||||
1,325,000 | T-Mobile USA, Inc., 4.50%, due 04/15/50 144A | 1,486,504 | ||||||||
225,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 222,750 | ||||||||
208,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.00%, due 01/15/32 144A | 195,888 | ||||||||
150,000 | Taylor Morrison Communities, Inc., 5.13%, due 08/01/30 144A | 159,656 | ||||||||
110,000 | Taylor Morrison Communities, Inc., 5.88%, due 06/15/27 144A | 121,526 | ||||||||
175,000 | Taylor Morrison Communities, Inc., 6.63%, due 07/15/27 144A | 189,000 | ||||||||
150,000 | Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, due 03/01/24 144A | 161,250 | ||||||||
741,000 | Teachers Insurance & Annuity Association of America, 4.27%, due 05/15/47 144A | 833,245 | ||||||||
34,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 49,083 | ||||||||
40,000 | Team Health Holdings, Inc., 6.38%, due 02/01/25 144A | 35,447 | ||||||||
158,000 | Telecom Argentina SA, 8.00%, due 07/18/26 144A | 140,097 | ||||||||
368,000 | Telecom Italia Capital SA, 7.20%, due 07/18/36 | 465,348 | ||||||||
205,000 | Telecom Italia SpA, 5.30%, due 05/30/24 144A | 222,343 | ||||||||
1,840,000 | Teledyne Technologies, Inc., 2.75%, due 04/01/31 | 1,834,271 | ||||||||
760,000 | Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22 | 788,283 | ||||||||
200,000 | Telefonica Celular del Paraguay SA, 5.88%, due 04/15/27(g) 144A | 211,999 | ||||||||
671,000 | Telefonica Emisiones SA, 5.21%, due 03/08/47 | 785,824 | ||||||||
90,000 | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, due 06/01/25 144A | 92,081 | ||||||||
400,000 | Tenet Healthcare Corp., 4.63%, due 07/15/24 | 407,100 | ||||||||
612,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, due 10/01/26 | 585,990 | ||||||||
1,354,000 | Textron, Inc., 3.00%, due 06/01/30 | 1,377,018 | ||||||||
383,000 | Total Play Telecomunicaciones SA de CV, 7.50%, due 11/12/25 144A | 383,383 | ||||||||
88,000 | Townsquare Media, Inc., 6.88%, due 02/01/26 144A | 93,885 | ||||||||
2,018,000 | Toyota Motor Credit Corp., (MTN), 3.00%, due 04/01/25 | 2,160,115 | ||||||||
171,000 | TransCanada PipeLines, Ltd., 4.25%, due 05/15/28 | 192,282 | ||||||||
140,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, due 05/15/50 | 143,365 | ||||||||
500,000 | Transcontinental Gas Pipe Line Co. LLC, 4.60%, due 03/15/48 | 568,548 |
See accompanying Notes to the Financial Statements.
92
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
637,000 | TransDigm, Inc., 5.50%, due 11/15/27 | 659,454 | ||||||||
135,000 | Travel + Leisure Co., 4.63%, due 03/01/30 144A | 140,168 | ||||||||
121,000 | Travel + Leisure Co., 6.60%, due 10/01/25 | 135,961 | ||||||||
55,000 | Trident TPI Holdings, Inc., 6.63%, due 11/01/25 144A | 56,163 | ||||||||
212,000 | TriNet Group, Inc., 3.50%, due 03/01/29 144A | 207,643 | ||||||||
217,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.13%, due 04/01/29 144A | 224,053 | ||||||||
248,000 | Tronox, Inc., 4.63%, due 03/15/29 144A | 248,620 | ||||||||
1,040,000 | Truist Bank, 2.25%, due 03/11/30 | 1,015,329 | ||||||||
73,000 | Tutor Perini Corp., 6.88%, due 05/01/25(g) 144A | 75,577 | ||||||||
191,000 | Twitter, Inc., 3.88%, due 12/15/27 144A | 200,500 | ||||||||
430,000 | Tyson Foods, Inc., 5.10%, due 09/28/48 | 543,824 | ||||||||
259,000 | Uber Technologies, Inc., 7.50%, due 05/15/25 144A | 279,839 | ||||||||
451,000 | Uber Technologies, Inc., 7.50%, due 09/15/27 144A | 498,941 | ||||||||
375,000 | UBS Group AG, 2.10% (1 yr. CMT + 1.00%), due 02/11/32(b) 144A | 354,838 | ||||||||
1,897,000 | UBS Group AG, 4.13%, due 04/15/26 144A | 2,118,771 | ||||||||
185,000 | UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(b) (h) 144A | 203,331 | ||||||||
362,000 | Unifin Financiera SAB de CV, 9.88%, due 01/28/29 144A | 373,298 | ||||||||
362,818 | United Airlines Pass Through Trust, 3.45%, due 01/07/30 | 364,266 | ||||||||
370,042 | United Airlines Pass Through Trust, 3.65%, due 07/07/27 | 366,182 | ||||||||
363,867 | United Airlines Pass Through Trust, 3.75%, due 03/03/28 | 378,302 | ||||||||
2,473,762 | United Airlines Pass Through Trust, 4.00%, due 10/11/27 | 2,564,237 | ||||||||
193,964 | United Airlines Pass Through Trust, 4.55%, due 02/25/33 | 204,843 | ||||||||
79,907 | United Airlines Pass Through Trust, 4.60%, due 09/01/27 | 80,997 | ||||||||
90,140 | United Airlines Pass Through Trust, 4.63%, due 03/03/24 | 92,126 | ||||||||
200,000 | United Airlines Pass Through Trust, 4.88%, due 07/15/27 | 209,950 | ||||||||
720,159 | United Airlines Pass Through Trust, 5.88%, due 04/15/29 | 799,891 | ||||||||
268,000 | United Parcel Service, Inc., 5.30%, due 04/01/50 | 362,987 | ||||||||
211,000 | United Rentals North America, Inc., 3.88%, due 11/15/27 | 218,913 | ||||||||
137,000 | United Rentals North America, Inc., 3.88%, due 02/15/31 | 138,224 | ||||||||
616,000 | United Rentals North America, Inc., 4.88%, due 01/15/28 | 649,646 | ||||||||
35,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 38,073 | ||||||||
225,000 | United Rentals North America, Inc., 5.50%, due 05/15/27 | 240,384 | ||||||||
5,000 | United Rentals North America, Inc., 5.88%, due 09/15/26 | 5,241 | ||||||||
124,000 | Uniti Group, LP/Uniti Group Finance, Inc./CSL Capital LLC REIT, 6.50%, due 02/15/29 144A | 123,411 | ||||||||
375,000 | Universal Health Services, Inc., 2.65%, due 10/15/30 144A | 362,771 | ||||||||
436,000 | Universal Health Services, Inc., 5.00%, due 06/01/26 144A | 448,452 | ||||||||
120,000 | University of Chicago (The), 2.76%, due 04/01/45 | 115,575 | ||||||||
1,037,747 | US Airways Pass Through Trust, 4.63%, due 12/03/26 | 981,071 | ||||||||
88,146 | US Airways Pass Through Trust, 5.90%, due 04/01/26 | 91,569 | ||||||||
72,697 | US Airways Pass Through Trust, 6.25%, due 10/22/24 | 72,752 | ||||||||
108,000 | US Concrete, Inc., 5.13%, due 03/01/29 144A | 111,443 | ||||||||
192,000 | US Foods, Inc., 4.75%, due 02/15/29 144A | 192,240 | ||||||||
490,000 | Valero Energy Corp., 3.40%, due 09/15/26 | 523,880 | ||||||||
240,000 | Valvoline, Inc., 3.63%, due 06/15/31 144A | 232,500 | ||||||||
125,000 | Valvoline, Inc., 4.25%, due 02/15/30 144A | 127,688 | ||||||||
152,000 | Varex Imaging Corp., 7.88%, due 10/15/27 144A | 169,480 | ||||||||
325,000 | Vector Group, Ltd., 5.75%, due 02/01/29 144A | 335,766 |
See accompanying Notes to the Financial Statements.
93
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
216,000 | Ventas Realty, LP REIT, 3.50%, due 02/01/25 | 233,339 | ||||||||
790,000 | VEREIT Operating Partnership, LP REIT, 2.85%, due 12/15/32 | 765,159 | ||||||||
162,000 | VeriSign, Inc., 5.25%, due 04/01/25 | 183,169 | ||||||||
878,000 | Verisk Analytics, Inc., 3.63%, due 05/15/50 | 861,961 | ||||||||
1,300,000 | Verizon Communications, Inc., 2.55%, due 03/21/31 | 1,297,667 | ||||||||
669,000 | Verizon Communications, Inc., 2.65%, due 11/20/40 | 610,871 | ||||||||
85,000 | Verizon Communications, Inc., 3.00%, due 03/22/27 | 90,985 | ||||||||
163,000 | Verizon Communications, Inc., 3.40%, due 03/22/41 | 164,946 | ||||||||
1,372,000 | Verizon Communications, Inc., 3.55%, due 03/22/51 | 1,368,431 | ||||||||
825,000 | Verizon Communications, Inc., 4.33%, due 09/21/28 | 944,787 | ||||||||
338,000 | Verizon Communications, Inc., 4.40%, due 11/01/34 | 386,603 | ||||||||
322,000 | Verizon Communications, Inc., 4.50%, due 08/10/33 | 374,049 | ||||||||
1,651,000 | Verizon Communications, Inc., 4.86%, due 08/21/46 | 1,979,869 | ||||||||
1,000,000 | ViacomCBS, Inc., 3.70%, due 08/15/24 | 1,083,828 | ||||||||
500,000 | ViacomCBS, Inc., 4.38%, due 03/15/43 | 538,666 | ||||||||
179,000 | Viatris, Inc., 2.30%, due 06/22/27 144A | 180,244 | ||||||||
358,000 | Viatris, Inc., 2.70%, due 06/22/30 144A | 354,302 | ||||||||
325,000 | Viatris, Inc., 3.85%, due 06/22/40 144A | 332,047 | ||||||||
478,000 | Viatris, Inc., 4.00%, due 06/22/50 144A | 486,938 | ||||||||
179,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.13%, due 08/15/30 144A | 180,781 | ||||||||
220,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.63%, due 12/01/29 144A | 228,591 | ||||||||
1,400,000 | Virginia Electric & Power Co., 3.15%, due 01/15/26 | 1,507,739 | ||||||||
180,000 | Visa, Inc., 2.70%, due 04/15/40 | 176,217 | ||||||||
460,000 | Vistra Operations Co. LLC, 3.55%, due 07/15/24 144A | 481,622 | ||||||||
545,000 | Vistra Operations Co. LLC, 3.70%, due 01/30/27 144A | 567,681 | ||||||||
476,000 | Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A | 503,173 | ||||||||
135,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A | 139,361 | ||||||||
546,000 | Vodafone Group Plc, 7.00% (5 yr. USD swap + 4.87%), due 04/04/79(b) | 658,373 | ||||||||
72,000 | Volcan Cia Minera SAA, 4.38%, due 02/11/26 144A | 74,001 | ||||||||
514,000 | Voya Financial, Inc., 5.65% (3 mo. USD LIBOR + 3.58%), due 05/15/53(b) (g) | 550,683 | ||||||||
301,000 | Vulcan Materials Co., 3.50%, due 06/01/30(g) | 322,774 | ||||||||
598,000 | Walt Disney Co. (The), 4.70%, due 03/23/50 | 748,039 | ||||||||
45,000 | Watco Cos. LLC/Watco Finance Corp., 6.50%, due 06/15/27 144A | 47,514 | ||||||||
583,000 | Wells Fargo & Co., 2.19% (SOFR + 2.00%), due 04/30/26(b) | 601,827 | ||||||||
410,000 | Wells Fargo & Co., 3.07% (SOFR + 2.53%), due 04/30/41(b) | 401,797 | ||||||||
962,000 | Wells Fargo & Co., 5.88% (3 mo. USD LIBOR + 3.99%)(b) (h) | 1,061,567 | ||||||||
903,000 | Wells Fargo & Co., (MTN), 2.39% (SOFR + 2.10%), due 06/02/28(b) | 925,626 | ||||||||
765,000 | Wells Fargo & Co., (MTN), 2.57% (3 mo. USD LIBOR + 1.00%), due 02/11/31(b) | 771,437 | ||||||||
350,000 | William Carter Co. (The), 5.63%, due 03/15/27 144A | 370,344 | ||||||||
377,000 | Williams Cos., Inc. (The), 3.75%, due 06/15/27(g) | 411,076 | ||||||||
781,000 | Williams Cos., Inc. (The), 4.55%, due 06/24/24 | 861,119 | ||||||||
95,000 | Williams Cos., Inc. (The), 5.75%, due 06/24/44 | 116,584 | ||||||||
60,000 | Williams Scotsman International, Inc., 4.63%, due 08/15/28 144A | 61,163 | ||||||||
665,000 | WP Carey, Inc. REIT, 2.25%, due 04/01/33 | 618,485 | ||||||||
185,000 | WR Berkley Corp., 4.00%, due 05/12/50 | 196,956 | ||||||||
124,000 | WR Grace & Co., 4.88%, due 06/15/27 144A | 128,520 | ||||||||
67,000 | Wyndham Hotels & Resorts, Inc., 4.38%, due 08/15/28 144A | 67,896 | ||||||||
1,100,000 | Xcel Energy, Inc., 3.40%, due 06/01/30 | 1,183,263 | ||||||||
265,000 | Xerox Holdings Corp., 5.50%, due 08/15/28 144A | 274,855 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
610,000 | Yale University, 2.40%, due 04/15/50 | 559,196 | ||||||||
1,220,000 | Yara International ASA, 4.75%, due 06/01/28 144A | 1,390,587 | ||||||||
201,000 | Yum! Brands, Inc., 3.63%, due 03/15/31 | 193,511 | ||||||||
153,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 161,996 | ||||||||
|
| |||||||||
463,757,382 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 10.7% | ||||||||||
412,123 | Angel Oak Mortgage Trust CMO, Series 2020-R1, Class A1, 0.99%, due 04/25/53(f) 144A | 412,311 | ||||||||
1,800,000 | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A4, 2.50%, due 05/15/53 144A | 1,823,753 | ||||||||
318,941 | Arroyo Mortgage Trust CMO, Series 2018-1, Class A1, 3.76%, due 04/25/48(f) 144A | 320,697 | ||||||||
210,946 | Arroyo Mortgage Trust CMO, Series 2019-2, Class A1, 3.35%, due 04/25/49(f) 144A | 215,776 | ||||||||
132,221 | Arroyo Mortgage Trust CMO, Series 2019-3, Class A1, 2.96%, due 10/25/48(f) 144A | 134,807 | ||||||||
147,000 | BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class ENM, 3.72%, due 11/05/32(f) 144A | 123,299 | ||||||||
1,200,000 | BANK, Series 2019-BNK20, Class A2, 2.76%, due 09/15/62 | 1,242,838 | ||||||||
850,000 | BANK, Series 2019-BNK23, Class A2, 2.67%, due 12/15/52 | 881,549 | ||||||||
1,806,000 | BANK, Series 2020-BNK26, Class A2, 2.04%, due 03/15/63 | 1,829,125 | ||||||||
1,800,000 | BANK, Series 2020-BNK26, Class A3, 2.16%, due 03/15/63 | 1,785,059 | ||||||||
869,000 | BANK, Series 2020-BNK30, Class A4, 1.93%, due 12/15/53 | 835,023 | ||||||||
3,000,000 | BANK, Series 2021-BNK32, Class A4, 2.35%, due 04/15/54 | 3,003,200 | ||||||||
193,000 | Barclays Commercial Mortgage Trust, Series 2019-C5, Class A2, 3.04%, due 11/15/52 | 203,761 | ||||||||
200,000 | BBCMS Mortgage Trust, Series 2015-SRCH, Class D, 4.96%, due 08/10/35(f) 144A | 219,984 | ||||||||
3,000,000 | BBCMS Mortgage Trust, Series 2018-TALL, Class A, 0.83% (1 mo. USD LIBOR + 0.72%), due 03/15/37(b) 144A | 2,974,132 | ||||||||
130,000 | BBCMS Mortgage Trust, Series 2020-C6, Class A2, 2.69%, due 02/15/53 | 135,623 | ||||||||
1,273,000 | BBCMS Mortgage Trust, Series 2021-C9, Class A5, 2.30%, due 02/15/54 | 1,260,479 | ||||||||
109,396 | Bellemeade Re, Ltd. CMO, Series 2018-1A, Class M1B, 1.71% (1 mo. USD LIBOR + 1.60%), due 04/25/28(b) 144A | 109,479 | ||||||||
67,286 | Bellemeade Re, Ltd. CMO, Series 2019-3A, Class M1A, 1.21% (1 mo. USD LIBOR + 1.10%), due 07/25/29(b) (j) | 67,321 | ||||||||
150,000 | Bellemeade Re, Ltd. CMO, Series 2019-3A, Class M1B, 1.71% (1 mo. USD LIBOR + 1.60%), due 07/25/29(b) 144A | 150,814 | ||||||||
145,583 | Bellemeade Re, Ltd. CMO, Series 2020-1A, Class M1B, 3.51% (1 mo. USD LIBOR + 3.40%), due 06/25/30(b) 144A | 146,145 | ||||||||
150,000 | Bellemeade Re, Ltd. CMO, Series 2020-4A, Class M2A, 2.71% (1 mo. USD LIBOR + 2.60%), due 06/25/30(b) 144A | 150,145 | ||||||||
320,000 | Benchmark Mortgage Trust, Series 2019-B12, Class A2, 3.00%, due 08/15/52 | 336,496 | ||||||||
270,000 | Benchmark Mortgage Trust, Series 2019-B13, Class A2, 2.89%, due 08/15/57 | 283,723 | ||||||||
1,350,000 | Benchmark Mortgage Trust, Series 2019-B15, Class A4, 2.67%, due 12/15/72 | 1,381,700 | ||||||||
657,000 | Benchmark Mortgage Trust, Series 2019-B15, Class A5, 2.93%, due 12/15/72 | 687,724 | ||||||||
600,000 | Benchmark Mortgage Trust, Series 2020-B17, Class A4, 2.04%, due 03/15/53 | 587,524 | ||||||||
1,200,000 | Benchmark Mortgage Trust, Series 2020-B20, Class A2, 1.75%, due 10/15/53 | 1,213,089 | ||||||||
1,800,000 | Benchmark Mortgage Trust, Series 2020-IG3, Class A2, 2.48%, due 09/15/48 144A | 1,848,105 | ||||||||
2,210,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A2, 1.62%, due 02/15/54 | 2,232,681 | ||||||||
1,700,000 | Benchmark Mortgage Trust, Series 2021-B23, Class A4A1, 1.82%, due 02/15/54 | 1,622,352 | ||||||||
900,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A3, 2.01%, due 03/15/54 | 901,597 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,750,000 | Benchmark Mortgage Trust, Series 2021-B24, Class A4, 2.26%, due 03/15/54 | 1,742,333 | ||||||||
88,882 | BRAVO Residential Funding Trust CMO, Series 2019-NQM1, Class A1, 2.67%, due 07/25/59(f) 144A | 90,008 | ||||||||
365,000 | BX Commercial Mortgage Trust, Series 2018-BIOA, Class D, 1.43% (1 mo. USD LIBOR + 1.32%), due 03/15/37(b) 144A | 365,518 | ||||||||
1,596,048 | BX Commercial Mortgage Trust, Series 2019-XL, Class A, 1.03% (1 mo. USD LIBOR + 0.92%), due 10/15/36(b) 144A | 1,598,998 | ||||||||
476,000 | BX Commercial Mortgage Trust, Series 2020-VKNG, Class A, 1.04% (1 mo. USD LIBOR + 0.93%), due 10/15/37(b) 144A | 477,483 | ||||||||
108,000 | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class F, 2.66% (1 mo. USD LIBOR + 2.55%), due 12/15/37(b) 144A | 108,353 | ||||||||
1,200,000 | CD Mortgage Trust, Series 2019-CD8, Class A3, 2.66%, due 08/15/57 | 1,208,153 | ||||||||
994,363 | CF Mortgage Trust, Series 2020-P1, Class A1, 2.84%, due 04/15/25(f) 144A | 1,016,781 | ||||||||
700,000 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58 | 749,396 | ||||||||
2,500,000 | CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A2, 2.95%, due 11/10/49 | 2,621,446 | ||||||||
500,000 | CIM Trust CMO, Series 2017-5, Class A3, 4.00%, due 05/25/57(f) 144A | 500,498 | ||||||||
432,185 | CIM Trust CMO, Series 2017-6, Class A1, 3.02%, due 06/25/57(f) 144A | 432,827 | ||||||||
1,035,421 | CIM Trust CMO, Series 2020-INV1, Class A2, 2.50%, due 04/25/50(f) 144A | 1,045,060 | ||||||||
1,091,720 | CIM Trust CMO, Series 2020-J2, Class A1, 2.50%, due 01/25/51(f) 144A | 1,104,331 | ||||||||
1,772,000 | Citigroup Commercial Mortgage Trust, Series 2016-P5, Class A2, 2.40%, due 10/10/49 | 1,779,152 | ||||||||
1,300,000 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A3, 2.86%, due 12/15/72 | 1,343,771 | ||||||||
190,000 | Citigroup Commercial Mortgage Trust, Series 2019-PRM, Class A, 3.34%, due 05/10/36 144A | 201,437 | ||||||||
134,000 | Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class A, 4.15%, due 01/10/36 144A | 144,729 | ||||||||
27,500,000 | Citigroup Commercial Mortgage Trust, (IO), Series 2014-GC21, Class XB, 0.44%, due 05/10/47(f) 144A | 368,153 | ||||||||
81,309 | COLT Mortgage Loan Trust CMO, Series 2020-1, Class A1, 2.49%, due 02/25/50(f) 144A | 82,142 | ||||||||
572,897 | COLT Trust CMO, Series 2020-RPL1, Class A1, 1.39%, due 01/25/65(f) 144A | 568,322 | ||||||||
235,000 | Commercial Mortgage Trust, Series 2013-300P, Class D, 4.39%, due 08/10/30(f) 144A | 243,979 | ||||||||
714,112 | Commercial Mortgage Trust, Series 2013-LC6, Class A4, 2.94%, due 01/10/46 | 738,059 | ||||||||
971,437 | Commercial Mortgage Trust, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 1,036,795 | ||||||||
862,000 | Commercial Mortgage Trust, Series 2015-CR27, Class A4, 3.61%, due 10/10/48 | 943,699 | ||||||||
223,000 | Commercial Mortgage Trust, Series 2020-CBM, Class A2, 2.90%, due 02/10/37 144A | 226,963 | ||||||||
355,000 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 1.71% (1 mo. USD LIBOR + 1.60%), due 05/15/36(b) 144A | 355,727 | ||||||||
512,907 | Credit Suisse Mortgage Trust, Series 2020-11R, 1.00%, due 04/28/38(j) | 512,907 | ||||||||
610 | Credit Suisse Mortgage Trust CMO, Series 2017-HL1, Class A3, 3.50%, due 06/25/47(f) 144A | 610 | ||||||||
366,209 | Credit Suisse Mortgage Trust CMO, Series 2018-RPL9, Class A, 3.85%, due 09/25/57(f) 144A | 390,165 | ||||||||
219,377 | Credit Suisse Mortgage Trust CMO, Series 2019-AFC1, Class A1, 2.57%, due 07/25/49(e) 144A | 222,751 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
290,234 | Credit Suisse Mortgage Trust CMO, Series 2020-AFC1, Class A1, 2.24%, due 02/25/50(f) 144A | 294,876 | ||||||||
344,505 | Credit Suisse Mortgage Trust CMO, Series 2020-RPL6, Class A1, 2.69%, due 03/25/59(f) 144A | 349,368 | ||||||||
482,000 | Credit Suisse Mortgage Trust CMO, Series 2021-NQM2, Class A1, 1.18%, due 02/25/66(f) 144A | 485,614 | ||||||||
1,100,000 | CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3, 3.13%, due 06/15/50 | 1,154,928 | ||||||||
775,000 | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class A4, 3.19%, due 11/15/50 | 807,023 | ||||||||
1,050,000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A3, 2.72%, due 12/15/52 | 1,076,698 | ||||||||
1,900,000 | CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A2, 2.49%, due 03/15/54 | 1,906,869 | ||||||||
249,534 | Ellington Financial Mortgage Trust CMO, Series 2021-1, Class A1, 0.80%, due 02/25/66(f) 144A | 249,166 | ||||||||
693,931 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class MA, 3.50%, due 08/25/57 | 745,303 | ||||||||
2,646,796 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-4, Class MA, 3.50%, due 03/25/58 | 2,845,480 | ||||||||
1,132,615 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class MA, 3.50%, due 07/25/58 | 1,218,551 | ||||||||
1,945,024 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-2, Class MA, 3.50%, due 08/25/58 | 2,095,471 | ||||||||
1,384,212 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class MA, 2.50%, due 08/25/59 | 1,439,942 | ||||||||
223,309 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-2, Class MA, 2.00%, due 11/25/59 | 228,809 | ||||||||
141,198 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-DNA3, Class M1, 0.86% (1 mo. USD LIBOR + 0.75%), due 03/25/30(b) | 141,363 | ||||||||
685 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2018-DNA3, Class M1, 0.86% (1 mo. USD LIBOR + 0.75%), due 09/25/48(b) 144A | 685 | ||||||||
362,417 | FHLMC Structured Agency Credit Risk Debt Notes REMIC CMO, Series 2020-HQA3, Class M2, 3.71% (1 mo. USD LIBOR + 3.60%), due 07/25/50(b) 144A | 367,225 | ||||||||
655,469 | Flagstar Mortgage Trust CMO, Series 2020-2, Class A2, 3.00%, due 08/01/50(f) 144A | 658,084 | ||||||||
671,713 | Flagstar Mortgage Trust CMO, Series 2021-1, Class A2, 2.50%, due 02/01/51(f) 144A | 679,049 | ||||||||
682,133 | GCAT LLC CMO, Series 2019-4, Class A1, 3.23%, due 11/26/49(e) 144A | 693,376 | ||||||||
218,429 | GCAT LLC CMO, Series 2019-NQM1, Class A1, 2.99%, due 02/25/59(e) 144A | 219,421 | ||||||||
283,428 | GCAT LLC CMO, Series 2020-NQM1, Class A1, 2.25%, due 01/25/60(e) 144A | 289,484 | ||||||||
453,542 | GCAT LLC CMO, Series 2021-NQM1, Class A1, 0.87%, due 01/25/66(e) 144A | 457,045 | ||||||||
450,000 | GS Mortgage Securities Corp. Trust, Series 2021-RENT, Class A, 0.81% (1 mo. USD LIBOR + 0.70%), due 11/21/35(b) 144A | 450,391 | ||||||||
856,423 | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, due 05/10/45 | 861,876 | ||||||||
872,203 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 921,414 | ||||||||
300,000 | GS Mortgage Securities Trust, Series 2019-GC40, Class A2, 2.97%, due 07/10/52 | 315,498 | ||||||||
1,600,000 | GS Mortgage Securities Trust, Series 2020-GC47, Class A4, 2.12%, due 05/12/53 | 1,579,783 | ||||||||
1,062,000 | GS Mortgage Securities Trust, Series 2020-GSA2, Class A5, 2.01%, due 12/12/53 | 1,022,280 | ||||||||
1,143,000 | GS Mortgage Securities Trust, Series 2020-GSA2, Class AAB, 1.66%, due 12/12/53 | 1,136,221 | ||||||||
196,000 | GS Mortgage Securities Trust, Series 2020-UPTN, Class A, 2.75%, due 02/10/37 144A | 202,875 |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
146,524 | GS Mortgage-Backed Securities Trust CMO, Series 2020-NQM1, Class A1, 1.38%, due 09/27/60(f) 144A | 147,206 | ||||||||
2,113,833 | GS Mortgage-Backed Securities Trust CMO, Series 2021-PJ2, Class A2, 2.50%, due 07/25/51(f) 144A | 2,142,903 | ||||||||
170,000 | IMT Trust, Series 2017-APTS, Class CFX, 3.50%, due 06/15/34(f) 144A | 178,308 | ||||||||
215,000 | Irvine Core Office Trust, Series 2013-IRV, Class A2, 3.17%, due 05/15/48(f) 144A | 225,582 | ||||||||
1,725,000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 1,728,851 | ||||||||
246,531 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A2, 2.82%, due 11/15/48 | 246,440 | ||||||||
700,000 | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due 06/15/49 | 726,105 | ||||||||
1,292,657 | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, due 03/15/50 | 1,380,352 | ||||||||
42,894 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A4, 4.72%, due 02/15/46 144A | 42,856 | ||||||||
1,449,919 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,493,456 | ||||||||
742,213 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3, 2.56%, due 08/15/49 | 770,821 | ||||||||
1,600,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3, 3.11%, due 07/15/50 | 1,671,665 | ||||||||
938,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A2, 3.15%, due 06/13/52 | 984,256 | ||||||||
216,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class AFX, 2.81%, due 01/16/37 144A | 222,490 | ||||||||
41,747 | JPMorgan Mortgage Trust CMO, Series 2016-4, Class A5, 3.50%, due 10/25/46(f) 144A | 41,843 | ||||||||
163,947 | JPMorgan Mortgage Trust CMO, Series 2017-2, Class A5, 3.50%, due 05/25/47(f) 144A | 164,453 | ||||||||
1,980,350 | JPMorgan Mortgage Trust CMO, Series 2021-3, Class A3, 2.50%, due 07/01/51(f) 144A | 2,007,584 | ||||||||
193,000 | KNDL Mortgage Trust, Series 2019-KNSQ, Class D, 1.46% (1 mo. USD LIBOR + 1.35%), due 05/15/36(b) 144A | 193,195 | ||||||||
805,284 | Legacy Mortgage Asset Trust CMO, Series 2019-PRI, Class A1, 3.86%, due 09/25/59(e) 144A | 847,583 | ||||||||
274,058 | Legacy Mortgage Asset Trust CMO, Series 2020-GS1, Class A1, 2.88%, due 10/25/59(e) 144A | 277,185 | ||||||||
98,595 | Legacy Mortgage Asset Trust CMO, Series 2021-GS1, Class A1, 1.89%, due 10/25/66(e) 144A | 99,301 | ||||||||
379,000 | Life Mortgage Trust, Series 2021-BMR, Class A, 0.81% (1 mo. USD LIBOR + 0.70%), due 03/15/38(b) 144A | 379,824 | ||||||||
295,000 | Life Mortgage Trust, Series 2021-BMR, Class D, 1.51% (1 mo. USD LIBOR + 1.40%), due 03/15/38(b) 144A | 296,064 | ||||||||
435,000 | Mello Warehouse Securitization Trust CMO, Series 2020-1, Class A, 1.01% (1 mo. USD LIBOR + 0.90%), due 10/25/53(b) 144A | 435,519 | ||||||||
600,000 | Mello Warehouse Securitization Trust CMO, Series 2021-1, Class A, 0.81% (1 mo. USD LIBOR + 0.70%), due 02/25/55(b) 144A | 600,553 | ||||||||
880,005 | MetLife Securization Trust CMO, Series 2020-INV1, Class A2A, 2.50%, due 05/25/50(f) 144A | 888,723 |
See accompanying Notes to the Financial Statements.
98
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
118,017 | MFA Trust CMO, Series 2020-NQM1, Class A1, 1.48%, due 03/25/65(f) 144A | 119,270 | ||||||||
246,995 | MFA Trust CMO, Series 2020-NQM3, Class A1, 1.01%, due 01/26/65(f) 144A | 247,143 | ||||||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 103,443 | ||||||||
1,737,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.31%, due 04/15/48 | 1,863,743 | ||||||||
800,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4, 3.73%, due 05/15/48 | 878,812 | ||||||||
2,204,000 | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A4, 3.81%, due 12/15/48 | 2,431,400 | ||||||||
1,600,000 | Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49 | 1,671,803 | ||||||||
212,000 | Morgan Stanley Capital I Trust, Series 2017-CLS, Class D, 1.51% (1 mo. USD LIBOR + 1.40%), due 11/15/34(b) 144A | 212,213 | ||||||||
2,600,000 | Morgan Stanley Capital I Trust, Series 2019-H6, Class A3, 3.16%, due 06/15/52 | 2,745,595 | ||||||||
980,000 | Morgan Stanley Capital I Trust, Series 2020-HR8, Class A4, 2.04%, due 07/15/53 | 953,788 | ||||||||
870,331 | MRA Issuance Trust CMO, Series 2020-15, Class A, 1.62% (1 mo. USD LIBOR + 1.50%), due 07/15/21(b) 144A | 871,249 | ||||||||
95,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-285M, Class D, 3.79%, due 11/15/32(f) 144A | 96,495 | ||||||||
165,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class C, 4.32%, due 01/15/43(f) 144A | 170,052 | ||||||||
131,156 | New Residential Mortgage Loan Trust CMO, Series 2018-4A, Class A1S, 0.86% (1 mo. USD LIBOR + 0.75%), due 01/25/48(b) 144A | 131,728 | ||||||||
9,074 | Oaktown Re III, Ltd. CMO, Series 2019-1A, Class M1A, 1.51% (1 mo. USD LIBOR + 1.40%), due 07/25/29(b) 144A | 9,088 | ||||||||
137,254 | Oaktown Re IV, Ltd. CMO, Series 2020-1A, Class M1B, 4.86% (1 mo. USD LIBOR + 4.75%), due 07/25/30(b) 144A | 138,427 | ||||||||
248,933 | OBX Trust CMO, Series 2020-EXP2, Class A3, 2.50%, due 05/25/60(f) 144A | 253,196 | ||||||||
804,992 | PMT Credit Risk Transfer Trust CMO, Series 2020-2R, Class A, 3.92% (1 mo. USD LIBOR + 3.82%), due 12/25/22(b) 144A | 822,933 | ||||||||
545,801 | Provident Funding Mortgage Trust CMO, Series 2020-F1, Class A2, 2.00%, due 01/25/36(f) 144A | 556,113 | ||||||||
12,953 | Radnor RE, Ltd. CMO, Series 2018-1, Class M1, 1.51% (1 mo. USD LIBOR + 1.40%), due 03/25/28(b) 144A | 12,956 | ||||||||
200,000 | Radnor RE, Ltd. CMO, Series 2020-1, Class M1B, 1.56% (1 mo. USD LIBOR + 1.45%), due 02/25/30(b) 144A | 195,352 | ||||||||
1,303,884 | Sequoia Mortgage Trust CMO, Series 2020-3, Class A4, 3.00%, due 04/25/50(f) 144A | 1,326,129 | ||||||||
2,103,333 | Sequoia Mortgage Trust CMO, Series 2021-1, Class A1, 2.50%, due 03/25/51(f) 144A | 2,129,526 | ||||||||
113,949 | Starwood Mortgage Residential Trust CMO, Series 2020-1, Class A1, 2.28%, due 02/25/50(f) 144A | 116,188 | ||||||||
265,789 | Starwood Mortgage Residential Trust CMO, Series 2020-3, Class A1, 1.49%, due 04/25/65(f) 144A | 268,949 | ||||||||
930,000 | Station Place Securitization Trust CMO, Series 2020-10, Class A, 1.61% (1 mo. USD LIBOR + 1.50%), due 05/20/21(b) 144A | 931,167 | ||||||||
690,000 | Station Place Securitization Trust CMO, Series 2021-WL1, Class A, 0.76% (1 mo. USD LIBOR + 0.65%), due 01/26/54(b) 144A | 690,646 | ||||||||
132,000 | Towd Point Mortgage Trust, Series 2015-1, Class A5, 3.40%, due 10/25/53(f) 144A | 140,248 | ||||||||
265,000 | Towd Point Mortgage Trust, Series 2015-2, Class 1M2, 3.50%, due 11/25/60(f) 144A | 279,334 | ||||||||
111,812 | Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75%, due 10/25/56(f) 144A | 113,774 | ||||||||
479,392 | Towd Point Mortgage Trust, Series 2018-1, Class A1, 3.00%, due 01/25/58(f) 144A | 494,274 |
See accompanying Notes to the Financial Statements.
99
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
173,411 | Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.75%, due 05/25/58(f) 144A | 182,799 | ||||||||
336,479 | Towd Point Mortgage Trust, Series 2018-4, Class A1, 3.00%, due 06/25/58(f) 144A | 351,485 | ||||||||
65,899 | Towd Point Mortgage Trust, Series 2018-5, Class A1A, 3.25%, due 07/25/58(f) 144A | 67,673 | ||||||||
338,398 | Towd Point Mortgage Trust, Series 2018-6, Class A1A, 3.75%, due 03/25/58(f) 144A | 351,849 | ||||||||
319,757 | Towd Point Mortgage Trust, Series 2019-1, Class A1, 3.73%, due 03/25/58(f) 144A | 339,209 | ||||||||
271,422 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.90%, due 10/25/59(f) 144A | 283,953 | ||||||||
65,240 | Towd Point Mortgage Trust, Series 2019-HY3, Class A1A, 1.11% (1 mo. USD LIBOR + 1.00%), due 10/25/59(b) 144A | 65,880 | ||||||||
362,022 | Towd Point Mortgage Trust, Series 2020-4, Class A1, 1.75%, due 10/25/60 144A | 367,990 | ||||||||
675,000 | UBS Commercial Mortgage Trust, Series 2017-C2, Class ASB, 3.26%, due 08/15/50 | 727,011 | ||||||||
2,624,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.53%, due 05/10/63 | 2,693,156 | ||||||||
2,075,852 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.09%, due 08/10/49 | 2,133,484 | ||||||||
313,657 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3, 2.92%, due 03/10/46 | 320,926 | ||||||||
1,523,797 | UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class A3, 3.60%, due 01/10/45 | 1,533,045 | ||||||||
173,007 | Verus Securitization Trust CMO, Series 2020-5, Class A1, 1.22%, due 05/25/65(e) 144A | 173,536 | ||||||||
365,015 | Verus Securitization Trust CMO, Series 2021-R1, Class A1, 0.82%, due 10/25/63(f) 144A | 365,211 | ||||||||
11,057 | WaMu Mortgage Pass Through Certificates CMO, Series 2003-AR9, Class 1A7, 2.77%, due 09/25/33(f) | 11,187 | ||||||||
1,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due 08/15/49 | 1,539,882 | ||||||||
3,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due 11/15/49 | 3,139,909 | ||||||||
950,000 | Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4, 3.19%, due 07/15/50 | 1,020,963 | ||||||||
1,400,000 | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A4, 3.37%, due 03/15/50 | 1,521,526 | ||||||||
1,605,000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C56, Class A3, 1.94%, due 06/15/53 | 1,605,460 | ||||||||
367,442 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class A4, 4.90%, due 06/15/44(f) 144A | 368,990 | ||||||||
|
| |||||||||
134,568,301 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 23.7% | ||||||||||
330,825 | FHLMC Gold, Pool # A89870, 4.50%, due 11/01/39 | 371,416 | ||||||||
235,714 | FHLMC Gold, Pool # A96970, 4.00%, due 02/01/41 | 258,756 | ||||||||
442,783 | FHLMC Gold, Pool # C91908, 3.00%, due 01/01/37 | 465,883 | ||||||||
342,977 | FHLMC Gold, Pool # G06231, 4.00%, due 12/01/40 | 377,559 | ||||||||
193,828 | FHLMC Gold, Pool # G06409, 6.00%, due 11/01/39 | 231,840 | ||||||||
98,787 | FHLMC Gold, Pool # G06875, 5.50%, due 12/01/38 | 115,747 | ||||||||
363,991 | FHLMC Gold, Pool # G07021, 5.00%, due 09/01/39 | 423,649 | ||||||||
466,276 | FHLMC Gold, Pool # G08537, 3.00%, due 07/01/43 | 494,112 | ||||||||
352,424 | FHLMC Gold, Pool # G08672, 4.00%, due 10/01/45 | 385,024 | ||||||||
496,743 | FHLMC Gold, Pool # G08726, 3.00%, due 10/01/46 | 525,533 |
See accompanying Notes to the Financial Statements.
100
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
102,467 | FHLMC Gold, Pool # G08735, 4.50%, due 10/01/46 | 113,590 | ||||||||
44,985 | FHLMC Gold, Pool # G08748, 3.50%, due 02/01/47 | 47,971 | ||||||||
706,787 | FHLMC Gold, Pool # G08749, 4.00%, due 02/01/47 | 765,853 | ||||||||
396,216 | FHLMC Gold, Pool # G08771, 4.00%, due 07/01/47 | 428,182 | ||||||||
361,904 | FHLMC Gold, Pool # G08786, 4.50%, due 10/01/47 | 397,086 | ||||||||
162,795 | FHLMC Gold, Pool # G16177, 2.00%, due 01/01/32 | 167,560 | ||||||||
1,092,290 | FHLMC Gold, Pool # G16634, 3.00%, due 10/01/31 | 1,163,620 | ||||||||
1,040,329 | FHLMC Gold, Pool # G60722, 3.00%, due 10/01/46 | 1,100,253 | ||||||||
464,483 | FHLMC Gold, Pool # G60767, 3.50%, due 10/01/46 | 501,389 | ||||||||
227,366 | FHLMC Gold, Pool # G60788, 3.50%, due 12/01/46 | 244,953 | ||||||||
1,010,840 | FHLMC Gold, Pool # G60804, 4.50%, due 05/01/42 | 1,124,975 | ||||||||
1,258,232 | FHLMC Gold, Pool # G60934, 3.50%, due 06/01/45 | 1,367,525 | ||||||||
1,467,035 | FHLMC Gold, Pool # G60985, 3.00%, due 05/01/47 | 1,552,172 | ||||||||
890,496 | FHLMC Gold, Pool # G61748, 3.50%, due 11/01/48 | 960,781 | ||||||||
478,690 | FHLMC Gold, Pool # G61995, 4.00%, due 11/01/44 | 530,047 | ||||||||
98,047 | FHLMC Gold, Pool # J16432, 3.50%, due 08/01/26 | 104,687 | ||||||||
111,463 | FHLMC Gold, Pool # J17763, 3.50%, due 01/01/27 | 118,995 | ||||||||
331,203 | FHLMC Gold, Pool # J24414, 2.50%, due 06/01/28 | 347,122 | ||||||||
396,131 | FHLMC Gold, Pool # J34888, 2.50%, due 07/01/31 | 415,494 | ||||||||
761,081 | FHLMC Gold, Pool # Q09224, 4.00%, due 07/01/42 | 844,569 | ||||||||
133,639 | FHLMC Gold, Pool # Q11218, 3.50%, due 09/01/42 | 144,525 | ||||||||
293,822 | FHLMC Gold, Pool # Q12052, 3.50%, due 10/01/42 | 318,660 | ||||||||
701,995 | FHLMC Gold, Pool # Q12862, 3.50%, due 11/01/42 | 762,897 | ||||||||
300,963 | FHLMC Gold, Pool # Q17792, 3.50%, due 05/01/43 | 327,260 | ||||||||
819,974 | FHLMC Gold, Pool # Q36815, 4.00%, due 10/01/45 | 895,781 | ||||||||
762,748 | FHLMC Gold, Pool # Q41918, 3.50%, due 07/01/46 | 816,753 | ||||||||
761,481 | FHLMC Gold, Pool # Q42618, 3.00%, due 08/01/46 | 801,790 | ||||||||
968,827 | FHLMC Gold, Pool # Q44455, 3.50%, due 11/01/46 | 1,044,564 | ||||||||
313,039 | FHLMC Gold, Pool # Q44963, 3.50%, due 12/01/46 | 335,185 | ||||||||
958,603 | FHLMC Gold, Pool # Q45741, 3.50%, due 01/01/47 | 1,036,088 | ||||||||
106,814 | FHLMC Gold, Pool # Q49494, 4.50%, due 07/01/47 | 117,605 | ||||||||
312,565 | FHLMC Gold, Pool # Q52312, 4.00%, due 11/01/47 | 336,831 | ||||||||
359,216 | FHLMC Gold, Pool # Q54957, 4.00%, due 03/01/48 | 390,850 | ||||||||
250,116 | FHLMC Gold, Pool # V60565, 3.00%, due 06/01/29 | 265,952 | ||||||||
620,892 | FHLMC Gold, Pool # V60599, 3.00%, due 09/01/29 | 660,217 | ||||||||
829,055 | FHLMC Gold, Pool # V82292, 4.00%, due 04/01/46 | 911,770 | ||||||||
44,305 | FHLMC Gold, Pool # V82515, 3.50%, due 06/01/46 | 47,639 | ||||||||
278,701 | FHLMC Gold, Pool # V82848, 3.00%, due 12/01/46 | 295,326 | ||||||||
550,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K059, Class AM, 3.17%, due 09/25/26(f) | 601,795 | ||||||||
1,800,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K069, Class AM, 3.25%, due 09/25/27(f) | 1,980,733 | ||||||||
725,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K077, Class AM, 3.85%, due 05/25/28(f) | 828,930 | ||||||||
913,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K086, Class A2, 3.86%, due 11/25/28(f) | 1,048,712 | ||||||||
1,840,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K076, Class AM, 3.90%, due 04/25/28 | 2,092,372 | ||||||||
1,211,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K081, Class A2, 3.90%, due 08/25/28(f) | 1,394,533 |
See accompanying Notes to the Financial Statements.
101
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
200,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K086, Class AM, 3.92%, due 12/25/28(f) | 229,784 | ||||||||
900,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K157, Class A2, 3.99%, due 05/25/33(f) | 1,054,178 | ||||||||
325,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K083, Class AM, 4.03%, due 10/25/28(f) | 376,241 | ||||||||
870,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K085, Class A2, 4.06%, due 10/25/28(f) | 1,007,862 | ||||||||
24,538,743 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 0.79%, due 10/25/22(f) 144A | 230,490 | ||||||||
1,201,212 | FHLMC Non Gold, Pool # 841085, 2.70% (12 mo. USD LIBOR + 1.63%), due 09/01/47(b) | 1,260,856 | ||||||||
1,572,010 | FHLMC Non Gold, Pool # 841088, 2.77% (12 mo. USD LIBOR + 1.65%), due 01/01/49(b) | 1,645,205 | ||||||||
64,085 | FHLMC Reference REMIC CMO, Series R007, Class ZA, 6.00%, due 05/15/36 | 75,573 | ||||||||
1,256,133 | FHLMC REMIC CMO, Series 4739, Class Z, 3.50%, due 11/15/47 | 1,346,367 | ||||||||
1,581,532 | FNMA, Pool # BM6482, 2.59% (12 mo. USD LIBOR + 1.58%), due 04/01/47(b) | 1,654,668 | ||||||||
778,034 | FNMA REMIC CMO, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 872,067 | ||||||||
11,950 | FNMA REMIC CMO, Series 2012-28, Class B, 6.50%, due 06/25/39 | 13,111 | ||||||||
565,509 | FNMA-ACES, Series 2019-M25, Class AV1, 2.05%, due 12/25/26 | 576,706 | ||||||||
1,139,797 | FNMA-ACES, Series 2019-M22, Class A1, 2.10%, due 08/25/29 | 1,187,031 | ||||||||
1,692,171 | FNMA-ACES, Series 2015-M10, Class A2, 3.09%, due 04/25/27(f) | 1,842,234 | ||||||||
259,988 | FNMA-ACES, Series 2018-M10, Class A1, 3.37%, due 07/25/28(f) | 283,545 | ||||||||
424,942 | GNMA I, Pool # 734152, 4.00%, due 01/15/41 | 470,812 | ||||||||
2,523,756 | GNMA I, Pool # 784369, 4.00%, due 08/15/45 | 2,829,415 | ||||||||
305,997 | GNMA I, Pool # 784605, 4.50%, due 01/15/42 | 345,020 | ||||||||
206,282 | GNMA I, Pool # AL8626, 3.00%, due 08/15/45 | 215,799 | ||||||||
209,602 | GNMA II, Pool # 004636, 4.50%, due 02/20/40 | 235,165 | ||||||||
37,516 | GNMA II, Pool # 004678, 4.50%, due 04/20/40 | 42,092 | ||||||||
244,749 | GNMA II, Pool # 004833, 4.00%, due 10/20/40 | 271,214 | ||||||||
220,591 | GNMA II, Pool # 004977, 4.00%, due 03/20/41 | 244,904 | ||||||||
553,167 | GNMA II, Pool # 004978, 4.50%, due 03/20/41 | 620,644 | ||||||||
860,431 | GNMA II, Pool # 005055, 4.50%, due 05/20/41 | 965,393 | ||||||||
31,985 | GNMA II, Pool # 783637, 3.00%, due 06/20/42 | 34,078 | ||||||||
4,401,032 | GNMA II, Pool # 785283, 2.50%, due 01/20/51 | 4,606,900 | ||||||||
892,052 | GNMA II, Pool # 796468, 4.00%, due 09/20/42 | 969,549 | ||||||||
1,039,119 | GNMA II, Pool # AV9421, 3.50%, due 11/20/46 | 1,138,254 | ||||||||
770,436 | GNMA II, Pool # AY7555, 3.50%, due 04/20/47 | 844,015 | ||||||||
322,959 | GNMA II, Pool # MA0462, 3.50%, due 10/20/42 | 350,403 | ||||||||
46,642 | GNMA II, Pool # MA0624, 3.00%, due 12/20/42 | 49,802 | ||||||||
212,922 | GNMA II, Pool # MA0625, 3.50%, due 12/20/42 | 231,323 | ||||||||
119,246 | GNMA II, Pool # MA0698, 3.00%, due 01/20/43 | 127,378 | ||||||||
407,519 | GNMA II, Pool # MA0851, 3.00%, due 03/20/43 | 433,878 | ||||||||
329,093 | GNMA II, Pool # MA0852, 3.50%, due 03/20/43 | 357,534 | ||||||||
69,406 | GNMA II, Pool # MA1156, 3.00%, due 07/20/43 | 73,878 | ||||||||
248,553 | GNMA II, Pool # MA1376, 4.00%, due 10/20/43 | 271,686 | ||||||||
96,011 | GNMA II, Pool # MA1599, 3.00%, due 01/20/44 | 102,252 | ||||||||
238,442 | GNMA II, Pool # MA2371, 3.50%, due 11/20/44 | 255,970 | ||||||||
186,979 | GNMA II, Pool # MA2372, 4.00%, due 11/20/44 | 206,632 |
See accompanying Notes to the Financial Statements.
102
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
180,209 | GNMA II, Pool # MA2825, 3.00%, due 05/20/45 | 190,705 | ||||||||
418,232 | GNMA II, Pool # MA3310, 3.50%, due 12/20/45 | 448,298 | ||||||||
171,182 | GNMA II, Pool # MA3377, 4.00%, due 01/20/46 | 187,798 | ||||||||
251,464 | GNMA II, Pool # MA3455, 4.00%, due 02/20/46 | 276,193 | ||||||||
462,586 | GNMA II, Pool # MA3456, 4.50%, due 02/20/46 | 517,862 | ||||||||
429,180 | GNMA II, Pool # MA3596, 3.00%, due 04/20/46 | 453,342 | ||||||||
849,289 | GNMA II, Pool # MA3803, 3.50%, due 07/20/46 | 904,675 | ||||||||
604,354 | GNMA II, Pool # MA3873, 3.00%, due 08/20/46 | 640,171 | ||||||||
990,962 | GNMA II, Pool # MA3936, 3.00%, due 09/20/46 | 1,045,074 | ||||||||
285,695 | GNMA II, Pool # MA4004, 3.50%, due 10/20/46 | 305,788 | ||||||||
164,688 | GNMA II, Pool # MA4071, 4.50%, due 11/20/46 | 184,700 | ||||||||
130,142 | GNMA II, Pool # MA4125, 2.50%, due 12/20/46 | 135,094 | ||||||||
254,991 | GNMA II, Pool # MA4263, 4.00%, due 02/20/47 | 276,823 | ||||||||
327,243 | GNMA II, Pool # MA4510, 3.50%, due 06/20/47 | 348,100 | ||||||||
373,957 | GNMA II, Pool # MA4585, 3.00%, due 07/20/47 | 395,175 | ||||||||
375,879 | GNMA II, Pool # MA4586, 3.50%, due 07/20/47 | 400,119 | ||||||||
1,023,664 | GNMA II, Pool # MA4720, 4.00%, due 09/20/47 | 1,105,109 | ||||||||
293,630 | GNMA II, Pool # MA4838, 4.00%, due 11/20/47 | 317,624 | ||||||||
1,142,238 | GNMA II, Pool # MA5019, 3.50%, due 02/20/48 | 1,219,753 | ||||||||
155,627 | GNMA II, Pool # MA5021, 4.50%, due 02/20/48 | 168,604 | ||||||||
51,436 | GNMA II, Pool # MA5079, 4.50%, due 03/20/48 | 56,174 | ||||||||
325,099 | GNMA II, Pool # MA5397, 3.50%, due 08/20/48 | 344,606 | ||||||||
350,606 | GNMA II, Pool # MA5466, 4.00%, due 09/20/48 | 378,285 | ||||||||
312,626 | GNMA II, Pool # MA5467, 4.50%, due 09/20/48 | 340,503 | ||||||||
148,261 | GNMA II, Pool # MA5530, 5.00%, due 10/20/48 | 162,597 | ||||||||
199,072 | GNMA II, Pool # MA5762, 3.50%, due 02/20/49 | 211,196 | ||||||||
214,968 | GNMA II, Pool # MA5817, 4.00%, due 03/20/49 | 230,288 | ||||||||
581,024 | GNMA II, Pool # MA5874, 3.00%, due 04/20/49 | 606,381 | ||||||||
1,345,606 | GNMA II, Pool # MA6090, 3.50%, due 08/20/49 | 1,420,793 | ||||||||
454,292 | GNMA II, Pool # MA6338, 3.00%, due 12/20/49 | 473,478 | ||||||||
1,331,153 | GNMA II, Pool # MA6710, 3.00%, due 06/20/50 | 1,387,684 | ||||||||
495,317 | GNMA II, Pool # MA7051, 2.00%, due 12/20/50 | 500,195 | ||||||||
2,500,000 | GNMA TBA, 2.50%, due 04/21/51 | 2,577,881 | ||||||||
322,582 | UMBS, Pool # 745148, 5.00%, due 01/01/36 | 375,416 | ||||||||
303,548 | UMBS, Pool # 932807, 4.00%, due 09/01/40 | 334,735 | ||||||||
300,160 | UMBS, Pool # 983471, 5.50%, due 05/01/38 | 350,207 | ||||||||
385,022 | UMBS, Pool # 985184, 5.50%, due 08/01/38 | 451,013 | ||||||||
252,199 | UMBS, Pool # 995245, 5.00%, due 01/01/39 | 293,050 | ||||||||
517,253 | UMBS, Pool # AB6212, 3.00%, due 09/01/42 | 547,336 | ||||||||
717,700 | UMBS, Pool # AB6802, 3.50%, due 11/01/42 | 780,267 | ||||||||
192,618 | UMBS, Pool # AB7059, 2.50%, due 11/01/42 | 199,551 | ||||||||
444,650 | UMBS, Pool # AB8703, 3.00%, due 03/01/38 | 467,720 | ||||||||
168,800 | UMBS, Pool # AB9383, 4.00%, due 05/01/43 | 187,022 | ||||||||
1,193,815 | UMBS, Pool # AB9659, 3.00%, due 06/01/43 | 1,271,295 | ||||||||
2,970,216 | UMBS, Pool # AC3668, 4.50%, due 10/01/39 | 3,350,823 | ||||||||
303,608 | UMBS, Pool # AD9153, 4.50%, due 08/01/40 | 338,226 | ||||||||
226,722 | UMBS, Pool # AE0469, 6.00%, due 12/01/39 | 270,261 | ||||||||
760,525 | UMBS, Pool # AH4404, 4.00%, due 01/01/41 | 837,200 | ||||||||
127,460 | UMBS, Pool # AI1892, 5.00%, due 05/01/41 | 148,398 |
See accompanying Notes to the Financial Statements.
103
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
673,335 | UMBS, Pool # AI4815, 4.50%, due 06/01/41 | 756,897 | ||||||||
523,507 | UMBS, Pool # AJ9278, 3.50%, due 12/01/41 | 565,836 | ||||||||
252,722 | UMBS, Pool # AJ9317, 4.00%, due 01/01/42 | 278,226 | ||||||||
559,144 | UMBS, Pool # AL0215, 4.50%, due 04/01/41(n) | 627,438 | ||||||||
984,839 | UMBS, Pool # AL1895, 3.50%, due 06/01/42 | 1,070,692 | ||||||||
568,950 | UMBS, Pool # AL2466, 4.00%, due 09/01/42 | 634,363 | ||||||||
614,505 | UMBS, Pool # AL3000, 3.50%, due 12/01/42 | 668,085 | ||||||||
735,620 | UMBS, Pool # AL3316, 3.50%, due 03/01/43 | 799,558 | ||||||||
925,054 | UMBS, Pool # AL6663, 4.00%, due 03/01/39 | 1,032,912 | ||||||||
914,673 | UMBS, Pool # AL7594, 3.50%, due 08/01/45 | 984,388 | ||||||||
807,979 | UMBS, Pool # AL8191, 4.00%, due 12/01/45 | 886,107 | ||||||||
117,857 | UMBS, Pool # AO4109, 4.00%, due 06/01/42 | 129,968 | ||||||||
319,917 | UMBS, Pool # AQ7923, 3.00%, due 12/01/42 | 340,259 | ||||||||
558,591 | UMBS, Pool # AS5133, 3.50%, due 06/01/45 | 599,600 | ||||||||
150,289 | UMBS, Pool # AS6286, 4.00%, due 12/01/45 | 163,804 | ||||||||
241,777 | UMBS, Pool # AS6304, 4.00%, due 12/01/45 | 263,931 | ||||||||
327,207 | UMBS, Pool # AS6452, 3.50%, due 01/01/46 | 350,975 | ||||||||
197,933 | UMBS, Pool # AS7693, 2.00%, due 08/01/31 | 203,695 | ||||||||
270,868 | UMBS, Pool # AS8073, 2.50%, due 10/01/46 | 278,104 | ||||||||
213,155 | UMBS, Pool # AX3719, 3.50%, due 07/01/27 | 227,476 | ||||||||
215,070 | UMBS, Pool # AZ3743, 3.50%, due 11/01/45 | 231,290 | ||||||||
337,138 | UMBS, Pool # BC9468, 3.00%, due 06/01/46 | 356,172 | ||||||||
863,054 | UMBS, Pool # BD7043, 4.00%, due 03/01/47 | 937,998 | ||||||||
540,669 | UMBS, Pool # BE7192, 4.00%, due 03/01/47 | 590,042 | ||||||||
756,492 | UMBS, Pool # BK1023, 4.50%, due 02/01/48 | 830,393 | ||||||||
563,433 | UMBS, Pool # BK7611, 4.50%, due 09/01/48 | 615,471 | ||||||||
983,924 | UMBS, Pool # BM1573, 3.50%, due 07/01/47 | 1,063,243 | ||||||||
424,973 | UMBS, Pool # BM1914, 2.50%, due 08/01/31 | 443,503 | ||||||||
1,208,543 | UMBS, Pool # BM1972, 3.50%, due 10/01/37 | 1,322,401 | ||||||||
668,588 | UMBS, Pool # BM3033, 3.00%, due 10/01/47 | 706,268 | ||||||||
217,987 | UMBS, Pool # BM3258, 3.00%, due 02/01/47 | 230,975 | ||||||||
355,738 | UMBS, Pool # BM3286, 4.50%, due 11/01/47 | 395,134 | ||||||||
624,073 | UMBS, Pool # BM3332, 3.50%, due 01/01/48 | 669,302 | ||||||||
550,702 | UMBS, Pool # BM3491, 4.50%, due 01/01/38 | 610,264 | ||||||||
1,000,598 | UMBS, Pool # BM3641, 4.00%, due 04/01/48 | 1,090,456 | ||||||||
816,936 | UMBS, Pool # BM4896, 3.00%, due 02/01/47 | 868,226 | ||||||||
957,762 | UMBS, Pool # BM5213, 3.00%, due 07/01/45 | 1,010,724 | ||||||||
326,618 | UMBS, Pool # BM5293, 3.50%, due 02/01/49 | 344,799 | ||||||||
717,049 | UMBS, Pool # BM5694, 4.00%, due 06/01/48 | 769,963 | ||||||||
211,008 | UMBS, Pool # BM5874, 4.00%, due 01/01/48 | 228,953 | ||||||||
279,557 | UMBS, Pool # BM5950, 3.00%, due 11/01/48 | 293,931 | ||||||||
1,701,192 | UMBS, Pool # BN6216, 4.50%, due 03/01/49 | 1,873,069 | ||||||||
59,511 | UMBS, Pool # BO0988, 3.50%, due 07/01/49 | 62,834 | ||||||||
498,258 | UMBS, Pool # BO1420, 3.50%, due 09/01/49 | 526,064 | ||||||||
297,682 | UMBS, Pool # BO1439, 3.00%, due 10/01/49 | 310,634 | ||||||||
889,815 | UMBS, Pool # BO5387, 3.50%, due 12/01/49 | 944,485 | ||||||||
851,298 | UMBS, Pool # BP2898, 4.00%, due 03/01/50 | 929,666 | ||||||||
847,121 | UMBS, Pool # BP3048, 3.00%, due 03/01/50 | 888,524 | ||||||||
616,787 | UMBS, Pool # BP5462, 2.50%, due 06/01/50 | 634,620 |
See accompanying Notes to the Financial Statements.
104
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
480,250 | UMBS, Pool # BP5568, 3.00%, due 06/01/50 | 501,066 | ||||||||
1,882,473 | UMBS, Pool # BP6618, 2.50%, due 08/01/50 | 1,933,725 | ||||||||
995,272 | UMBS, Pool # BQ3132, 2.00%, due 10/01/50 | 993,337 | ||||||||
826,296 | UMBS, Pool # BQ3138, 2.50%, due 10/01/50 | 851,311 | ||||||||
1,969,941 | UMBS, Pool # CA0623, 4.50%, due 10/01/47 | 2,162,846 | ||||||||
884,482 | UMBS, Pool # CA0655, 3.50%, due 11/01/47 | 950,924 | ||||||||
108,729 | UMBS, Pool # CA3828, 4.00%, due 07/01/49 | 118,366 | ||||||||
1,571,191 | UMBS, Pool # CA3986, 5.00%, due 08/01/49 | 1,748,996 | ||||||||
400,213 | UMBS, Pool # CA4149, 3.00%, due 09/01/49 | 426,119 | ||||||||
744,713 | UMBS, Pool # CA4546, 3.00%, due 11/01/49 | 779,733 | ||||||||
1,241,286 | UMBS, Pool # CA4831, 4.50%, due 12/01/49 | 1,365,134 | ||||||||
883,884 | UMBS, Pool # CA5571, 4.00%, due 04/01/50 | 959,846 | ||||||||
4,059,516 | UMBS, Pool # CA6738, 3.00%, due 08/01/50 | 4,275,745 | ||||||||
917,982 | UMBS, Pool # CA6871, 2.50%, due 08/01/35 | 966,574 | ||||||||
2,160,427 | UMBS, Pool # CA6872, 2.50%, due 08/01/35 | 2,257,510 | ||||||||
1,715,531 | UMBS, Pool # CA7030, 2.50%, due 09/01/50 | 1,780,408 | ||||||||
4,937,561 | UMBS, Pool # CA8062, 2.50%, due 12/01/50 | 5,093,973 | ||||||||
1,250,387 | UMBS, Pool # FM0030, 3.00%, due 02/01/49 | 1,308,522 | ||||||||
412,431 | UMBS, Pool # FM1001, 3.50%, due 11/01/48 | 436,492 | ||||||||
467,059 | UMBS, Pool # FM1266, 5.00%, due 07/01/49 | 520,556 | ||||||||
174,308 | UMBS, Pool # FM1347, 3.00%, due 12/01/48 | 184,021 | ||||||||
1,009,593 | UMBS, Pool # FM1467, 3.00%, due 12/01/47 | 1,066,797 | ||||||||
642,011 | UMBS, Pool # FM1588, 3.00%, due 10/01/49 | 678,644 | ||||||||
382,889 | UMBS, Pool # FM1715, 3.00%, due 12/01/45 | 402,576 | ||||||||
370,396 | UMBS, Pool # FM1790, 3.00%, due 11/01/49 | 394,373 | ||||||||
348,483 | UMBS, Pool # FM1864, 3.00%, due 11/01/49 | 366,180 | ||||||||
142,813 | UMBS, Pool # FM2109, 3.50%, due 12/01/49 | 150,585 | ||||||||
4,295,372 | UMBS, Pool # FM2217, 3.00%, due 03/01/47 | 4,573,516 | ||||||||
2,852,056 | UMBS, Pool # FM2226, 3.00%, due 09/01/46 | 3,036,857 | ||||||||
824,749 | UMBS, Pool # FM2336, 4.00%, due 01/01/50 | 893,029 | ||||||||
3,279,517 | UMBS, Pool # FM2385, 3.00%, due 09/01/48 | 3,430,545 | ||||||||
1,091,322 | UMBS, Pool # FM2461, 3.50%, due 03/01/50 | 1,152,716 | ||||||||
1,002,248 | UMBS, Pool # FM2570, 4.50%, due 04/01/48 | 1,121,799 | ||||||||
852,507 | UMBS, Pool # FM2674, 4.00%, due 03/01/50 | 922,909 | ||||||||
1,833,858 | UMBS, Pool # FM3889, 3.00%, due 07/01/50 | 1,918,552 | ||||||||
817,732 | UMBS, Pool # FM4154, 2.00%, due 09/01/50 | 816,648 | ||||||||
1,018,831 | UMBS, Pool # FM4330, 2.50%, due 10/01/50 | 1,050,978 | ||||||||
961,877 | UMBS, Pool # FM4350, 2.00%, due 09/01/50 | 963,572 | ||||||||
2,092,290 | UMBS, Pool # FM4583, 2.00%, due 10/01/50 | 2,097,968 | ||||||||
75,000 | UMBS, Pool # FM5035, 4.00%, due 07/01/50 | 80,262 | ||||||||
3,405,370 | UMBS, Pool # FM5721, 3.00%, due 12/01/40 | 3,581,931 | ||||||||
1,277,012 | UMBS, Pool # FM5983, 2.00%, due 02/01/51 | 1,275,920 | ||||||||
2,479,903 | UMBS, Pool # FM5996, 4.50%, due 03/01/49 | 2,715,006 | ||||||||
2,402,175 | UMBS, Pool # FM6133, 3.50%, due 08/01/50 | 2,563,618 | ||||||||
2,496,000 | UMBS, Pool # FM6497, 2.00%, due 03/01/51 | 2,493,480 | ||||||||
1,565,473 | UMBS, Pool # FM6585, 3.50%, due 11/01/40 | 1,662,597 | ||||||||
181,576 | UMBS, Pool # MA2781, 2.50%, due 10/01/46 | 186,950 | ||||||||
195,682 | UMBS, Pool # MA3087, 3.50%, due 08/01/47 | 207,607 | ||||||||
180,657 | UMBS, Pool # MA3155, 3.00%, due 10/01/32 | 190,785 |
See accompanying Notes to the Financial Statements.
105
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
658,006 | UMBS, Pool # MA3182, 3.50%, due 11/01/47 | 698,159 | ||||||||
336,725 | UMBS, Pool # MA3211, 4.00%, due 12/01/47 | 363,636 | ||||||||
212,924 | UMBS, Pool # MA3238, 3.50%, due 01/01/48 | 225,849 | ||||||||
567,254 | UMBS, Pool # MA3332, 3.50%, due 04/01/48 | 601,343 | ||||||||
207,357 | UMBS, Pool # MA3364, 3.50%, due 05/01/33 | 222,380 | ||||||||
149,489 | UMBS, Pool # MA3385, 4.50%, due 06/01/48 | 162,726 | ||||||||
550,341 | UMBS, Pool # MA3414, 3.50%, due 07/01/48 | 582,792 | ||||||||
179,852 | UMBS, Pool # MA3442, 3.50%, due 08/01/48 | 189,997 | ||||||||
159,787 | UMBS, Pool # MA3521, 4.00%, due 11/01/48 | 171,442 | ||||||||
1,380,798 | UMBS, Pool # MA3871, 3.00%, due 12/01/49 | 1,438,451 | ||||||||
1,091,353 | UMBS, Pool # MA3937, 3.00%, due 02/01/50 | 1,137,185 | ||||||||
263,631 | UMBS, Pool # MA3960, 3.00%, due 03/01/50 | 274,703 | ||||||||
925,000 | UMBS, Pool # MA3962, 4.00%, due 03/01/50 | 992,455 | ||||||||
971,714 | UMBS, Pool # MA4048, 3.00%, due 06/01/50 | 1,012,605 | ||||||||
1,981,777 | UMBS, Pool # MA4158, 2.00%, due 10/01/50 | 1,977,944 | ||||||||
499,994 | UMBS, Pool # MA4181, 1.50%, due 11/01/50 | 483,616 | ||||||||
461,966 | UMBS, Pool # MA4204, 2.00%, due 12/01/40 | 467,908 | ||||||||
678,137 | UMBS, Pool # MA4232, 2.00%, due 01/01/41 | 686,860 | ||||||||
497,860 | UMBS, Pool # MA4237, 2.00%, due 01/01/51 | 496,898 | ||||||||
996,125 | UMBS, Pool # MA4255, 2.00%, due 02/01/51 | 994,187 | ||||||||
683,711 | UMBS, Pool # MA4268, 2.00%, due 02/01/41 | 692,526 | ||||||||
1,500,001 | UMBS, Pool # MA4280, 1.50%, due 03/01/51 | 1,450,798 | ||||||||
3,044,377 | UMBS, Pool # QA6328, 3.00%, due 01/01/50 | 3,175,571 | ||||||||
1,728,932 | UMBS, Pool # QA6367, 3.00%, due 01/01/50 | 1,825,467 | ||||||||
1,342,686 | UMBS, Pool # QA7234, 3.00%, due 02/01/50 | 1,398,381 | ||||||||
956,133 | UMBS, Pool # QA8518, 3.00%, due 04/01/50 | 1,006,695 | ||||||||
319,555 | UMBS, Pool # QB0220, 3.00%, due 06/01/50 | 333,325 | ||||||||
1,140,286 | UMBS, Pool # QB4847, 2.50%, due 10/01/50 | 1,172,901 | ||||||||
1,164,875 | UMBS, Pool # QB6476, 2.50%, due 12/01/50 | 1,198,663 | ||||||||
1,661,308 | UMBS, Pool # RA1741, 3.50%, due 11/01/49 | 1,758,576 | ||||||||
2,468,075 | UMBS, Pool # RA1776, 3.00%, due 12/01/49 | 2,603,686 | ||||||||
2,165,412 | UMBS, Pool # RA1860, 3.00%, due 12/01/49 | 2,259,134 | ||||||||
124,189 | UMBS, Pool # RA1878, 3.50%, due 12/01/49 | 131,057 | ||||||||
1,017,023 | UMBS, Pool # RA2572, 3.50%, due 05/01/50 | 1,089,443 | ||||||||
3,000,975 | UMBS, Pool # RA2790, 2.50%, due 06/01/50 | 3,081,754 | ||||||||
2,873,437 | UMBS, Pool # RA2853, 2.50%, due 06/01/50 | 2,950,204 | ||||||||
861,622 | UMBS, Pool # RA3206, 2.00%, due 08/01/50 | 862,430 | ||||||||
1,189,514 | UMBS, Pool # RA3607, 3.00%, due 09/01/50 | 1,262,938 | ||||||||
1,204,024 | UMBS, Pool # SD0100, 3.00%, due 10/01/49 | 1,266,829 | ||||||||
245,855 | UMBS, Pool # SD7523, 2.50%, due 08/01/50 | 253,563 | ||||||||
7,010,037 | UMBS, Pool # SD7526, 2.50%, due 10/01/50 | 7,227,440 | ||||||||
6,716 | UMBS, Pool # SD8025, 3.50%, due 11/01/49 | 7,088 | ||||||||
5,850,522 | UMBS, Pool # SD8090, 2.00%, due 09/01/50 | 5,839,208 | ||||||||
499,849 | UMBS, Pool # SD8104, 1.50%, due 11/01/50 | 483,475 | ||||||||
497,467 | UMBS, Pool # SD8113, 2.00%, due 12/01/50 | 496,501 | ||||||||
7,261,278 | UMBS, Pool # SD8129, 2.50%, due 02/01/51 | 7,457,590 | ||||||||
4,373,969 | UMBS, Pool # SD8141, 2.50%, due 04/01/51 | 4,490,825 | ||||||||
71,405 | UMBS, Pool # ZA7040, 3.50%, due 06/01/49 | 75,960 | ||||||||
1,187,546 | UMBS, Pool # ZM1609, 3.50%, due 09/01/46 | 1,275,094 |
See accompanying Notes to the Financial Statements.
106
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
541,113 | UMBS, Pool # ZS4727, 4.00%, due 07/01/47 | 584,621 | ||||||||
342,266 | UMBS, Pool # ZS4760, 4.00%, due 03/01/48 | 369,452 | ||||||||
670,781 | UMBS, Pool # ZT0657, 6.00%, due 07/01/40 | 802,466 | ||||||||
485,588 | UMBS, Pool # ZT1748, 5.00%, due 01/01/49 | 540,143 | ||||||||
1,431,139 | UMBS, Pool # ZT2100, 3.00%, due 04/01/47 | 1,504,886 | ||||||||
15,600,000 | UMBS TBA, 2.00%, due 04/14/51 | 15,555,211 | ||||||||
500,000 | UMBS TBA, 2.00%, due 05/13/51 | 497,647 | ||||||||
8,225,000 | UMBS TBA, 2.50%, due 04/14/51 | 8,434,963 | ||||||||
6,000,000 | UMBS TBA, 2.50%, due 05/13/51 | 6,140,273 | ||||||||
|
| |||||||||
296,757,849 | ||||||||||
|
| |||||||||
Municipal Obligations — 0.9% | ||||||||||
60,000 | Alabama Economic Settlement Authority, 4.26%, due 09/15/32 | 67,490 | ||||||||
165,000 | Bay Area Toll Authority, 2.57%, due 04/01/31 | 170,597 | ||||||||
300,000 | Bay Area Toll Authority, 6.26%, due 04/01/49 | 464,213 | ||||||||
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14(i) | 117,075 | ||||||||
601,000 | Florida State Board of Administration Finance Corp., 1.71%, due 07/01/27 | 603,564 | ||||||||
715,000 | Michigan Finance Authority, 2.37%, due 09/01/49(f) | 729,090 | ||||||||
359,000 | Municipal Electric Authority of Georgia, 6.64%, due 04/01/57 | 514,255 | ||||||||
327,000 | New Jersey Transportation Trust Fund Authority, 4.08%, due 06/15/39 | 344,996 | ||||||||
25,000 | New Jersey Transportation Trust Fund Authority, 4.13%, due 06/15/42 | 26,227 | ||||||||
1,350,000 | New York State Urban Development Corp., 5.77%, due 03/15/39 | 1,647,414 | ||||||||
2,195,000 | Port Authority of New York & New Jersey, 1.09%, due 07/01/23 | 2,228,183 | ||||||||
1,488,000 | State Board of Administration Finance Corp., 1.26%, due 07/01/25 | 1,502,421 | ||||||||
885,000 | State of California, 7.50%, due 04/01/34 | 1,375,106 | ||||||||
555,000 | State of California, General Obligation, 7.55%, due 04/01/39 | 897,621 | ||||||||
695,000 | State of Illinois, General Obligation, 5.00%, due 11/01/22 | 740,964 | ||||||||
105,000 | University of Virginia, 4.18%, due 09/01/17(i) | 120,174 | ||||||||
|
| |||||||||
11,549,390 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 0.5% | ||||||||||
1,267,000 | Argentine Republic Government International Bond, 0.13%, due 07/09/41(e) | 439,953 | ||||||||
200,000 | Bermuda Government International Bond, 2.38%, due 08/20/30 144A | 196,500 | ||||||||
200,000 | Colombia Government International Bond, 5.00%, due 06/15/45 | 213,380 | ||||||||
135,000 | Colombia Government International Bond, 7.38%, due 09/18/37 | 178,875 | ||||||||
330,000 | Corp. Andina de Fomento, 2.13%, due 09/27/21 | 332,953 | ||||||||
55,000 | Corp. Andina de Fomento, 2.75%, due 01/06/23(g) | 56,921 | ||||||||
215,000 | Export-Import Bank of India, 3.88%, due 02/01/28 144A | 229,949 | ||||||||
200,000 | Indonesia Government International Bond, 4.45%, due 02/11/24(g) | 218,698 | ||||||||
220,000 | Indonesia Government International Bond, 5.88%, due 01/15/24 144A | 249,357 | ||||||||
200,000 | Japan Bank for International Cooperation, 3.38%, due 10/31/23 | 214,833 | ||||||||
200,000 | Japan Finance Organization for Municipalities, 1.75%, due 09/05/24 144A | 207,023 | ||||||||
200,000 | Panama Government International Bond, 4.00%, due 09/22/24 | 218,234 | ||||||||
250,000 | Province of Alberta Canada, 3.30%, due 03/15/28 | 275,366 | ||||||||
100,000 | Province of Manitoba Canada, 2.13%, due 06/22/26 | 104,880 | ||||||||
220,000 | Province of Quebec Canada, 2.75%, due 04/12/27 | 237,555 | ||||||||
301,000 | Qatar Government International Bond, 3.38%, due 03/14/24 144A | 323,446 | ||||||||
568,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 719,790 | ||||||||
235,000 | Saudi Government International Bond, 4.00%, due 04/17/25 144A | 259,060 |
See accompanying Notes to the Financial Statements.
107
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
698,000 | Saudi Government International Bond, 4.38%, due 04/16/29 144A | 797,437 | ||||||||
400,000 | Tokyo Metropolitan Government, 2.50%, due 06/08/22 144A | 409,708 | ||||||||
185,000 | Uruguay Government International Bond, 4.98%, due 04/20/55 | 226,616 | ||||||||
65,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 80,576 | ||||||||
|
| |||||||||
6,191,110 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 15.7% | ||||||||||
495,000 | FNMA, 0.88%, due 08/05/30 | 457,729 | ||||||||
170,000 | FNMA, 2.38%, due 01/19/23 | 176,796 | ||||||||
315,000 | FNMA, 2.50%, due 02/05/24 | 334,668 | ||||||||
310,000 | FNMA, 6.63%, due 11/15/30(o) | 442,345 | ||||||||
25,000 | Tennessee Valley Authority, 7.13%, due 05/01/30 | 36,335 | ||||||||
2,860,000 | U.S. Treasury Bond, 1.13%, due 05/15/40 | 2,327,939 | ||||||||
16,723,000 | U.S. Treasury Bond, 1.13%, due 08/15/40 | 13,563,921 | ||||||||
197,000 | U.S. Treasury Bond, 1.25%, due 05/15/50 | 148,227 | ||||||||
525,000 | U.S. Treasury Bond, 1.38%, due 11/15/40 | 445,512 | ||||||||
11,231,000 | U.S. Treasury Bond, 1.38%, due 08/15/50 | 8,732,102 | ||||||||
5,653,000 | U.S. Treasury Bond, 1.63%, due 11/15/50 | 4,693,757 | ||||||||
5,470,000 | U.S. Treasury Bond, 1.88%, due 02/15/51 | 4,835,395 | ||||||||
7,227,000 | U.S. Treasury Bond, 2.50%, due 02/15/45 | 7,363,635 | ||||||||
5,350,000 | U.S. Treasury Bond, 2.75%, due 11/15/42 | 5,724,500 | ||||||||
1,441,000 | U.S. Treasury Bond, 3.00%, due 02/15/47 | 1,608,319 | ||||||||
4,307,000 | U.S. Treasury Bond, 3.13%, due 11/15/41 | 4,897,278 | ||||||||
2,500,000 | U.S. Treasury Bond, 3.38%, due 11/15/48 | 2,995,020 | ||||||||
5,310,900 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 6,506,060 | ||||||||
5,145,000 | U.S. Treasury Bond, 3.75%, due 11/15/43 | 6,425,120 | ||||||||
1,631,595 | U.S. Treasury Inflation Indexed Bonds, 0.13%, due 01/15/30 | 1,764,724 | ||||||||
466,686 | U.S. Treasury Inflation Indexed Bonds, 1.00%, due 02/15/49 | 581,922 | ||||||||
9,317,000 | U.S. Treasury Note, 0.13%, due 07/15/23 | 9,298,985 | ||||||||
16,880,000 | U.S. Treasury Note, 0.25%, due 03/15/24 | 16,834,503 | ||||||||
12,497,000 | U.S. Treasury Note, 0.38%, due 01/31/26 | 12,181,646 | ||||||||
1,942,000 | U.S. Treasury Note, 0.63%, due 08/15/30 | 1,758,724 | ||||||||
25,737,000 | U.S. Treasury Note, 0.75%, due 03/31/26 | 25,502,753 | ||||||||
13,961,000 | U.S. Treasury Note, 1.13%, due 02/15/31 | 13,181,147 | ||||||||
575,000 | U.S. Treasury Note, 1.63%, due 02/15/26 | 594,530 | ||||||||
21,425,000 | U.S. Treasury Note, 2.88%, due 05/15/28(n) | 23,542,811 | ||||||||
6,675,000 | U.S. Treasury STRIPS, 1.00%, due 08/15/30(m) | 5,605,226 | ||||||||
505,000 | U.S. Treasury STRIPS, 1.21%, due 05/15/36(m) | 357,930 | ||||||||
530,000 | U.S. Treasury STRIPS, 1.25%, due 02/15/36(m) | 378,417 | ||||||||
85,000 | U.S. Treasury STRIPS, 1.68%, due 08/15/42(m) | 50,022 | ||||||||
150,000 | U.S. Treasury STRIPS, 1.73%, due 08/15/35(m) | 108,743 | ||||||||
2,310,000 | U.S. Treasury STRIPS, 2.02%, due 02/15/40(m) | 1,456,880 | ||||||||
255,000 | U.S. Treasury STRIPS, 2.37%, due 08/15/39(m) | 163,579 | ||||||||
155,000 | U.S. Treasury STRIPS, 2.41%, due 05/15/39(m) | 100,067 | ||||||||
360,000 | U.S. Treasury STRIPS, 2.43%, due 11/15/38(m) | 235,754 | ||||||||
370,000 | U.S. Treasury STRIPS, 2.44%, due 02/15/39(m) | 240,805 | ||||||||
3,730,000 | U.S. Treasury STRIPS, 2.58%, due 05/15/37(m) (o) | 2,558,958 | ||||||||
3,165,000 | U.S. Treasury STRIPS, 2.64%, due 11/15/40(m) | 1,954,232 | ||||||||
3,865,000 | U.S. Treasury STRIPS, 2.74%, due 11/15/41(m) | 2,318,787 |
See accompanying Notes to the Financial Statements.
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(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
985,000 | U.S. Treasury STRIPS, 2.79%, due 05/15/42(m) | 581,479 | ||||||||
1,750,000 | U.S. Treasury STRIPS, 2.82%, due 11/15/42(m) | 1,020,388 | ||||||||
4,620,000 | U.S. Treasury STRIPS, 2.99%, due 02/15/43(m) | 2,674,628 | ||||||||
646,000 | U.S. Treasury STRIPS, 3.10%, due 11/15/43(m) | 366,111 | ||||||||
430,000 | U.S. Treasury STRIPS, 3.25%, due 11/15/45(m) | 230,453 | ||||||||
310,000 | U.S. Treasury STRIPS, 3.27%, due 02/15/46(m) | 164,914 | ||||||||
|
| |||||||||
197,523,776 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,236,031,118) | 1,239,982,901 | |||||||||
|
|
Number of Contracts | Notional Value ($) | Description | Value ($) | |||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||
PURCHASED FUTURES OPTION — 0.0% | ||||||||||||
Put Options — 0.0% | ||||||||||||
51 | 6,677,813 | U.S. Treasury Note 10-Year Futures Option with JPMorgan Chase Bank N.A., Strike Price $134.00, Expires 05/21/21 | 163,359 | |||||||||
|
| |||||||||||
TOTAL PURCHASED OPTIONS (PREMIUMS PAID $51,071) | 163,359 | |||||||||||
|
| |||||||||||
Par Value(a) | Description | Value ($) | ||||||||||
SHORT-TERM INVESTMENT — 0.9% | ||||||||||||
Mutual Fund - Securities Lending Collateral — 0.9% | ||||||||||||
10,664,255 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04%(p) (q) | 10,664,255 | ||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENT (COST $10,664,255) | 10,664,255 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 99.6% (Cost $1,246,746,444) | 1,250,810,515 | |||||||||||
Other Assets and Liabilities (net) — 0.4% | 5,141,176 | |||||||||||
|
| |||||||||||
NET ASSETS — 100.0% | $1,255,951,691 | |||||||||||
|
| |||||||||||
Notes to Schedule of Investments: | ||||||||||||
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||||||||
(b) | Variable or floating rate note. Rate shown is as of March 31, 2021. | |||||||||||
(c) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $125,913 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2021 was $1,691,078. | |||||||||||
(d) | When-issued security. |
See accompanying Notes to the Financial Statements.
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March 31, 2021
(e) | Step coupon security that pays an initial coupon rate for the first period and then a lower/higher coupon rate for the following periods. Rate shown is current coupon rate. | |||||||||
(f) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. | |||||||||
(g) | All or a portion of this security is out on loan. | |||||||||
(h) | Security is perpetual and has no stated maturity date. | |||||||||
(i) | Year of maturity is greater than 2100. | |||||||||
(j) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of year end, the market value of restricted securities was $818,344, which is 0.1% of net assets. See details shown in the Restricted Securities table that follows. | |||||||||
(k) | 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. | |||||||||
(l) | Security is currently in default. | |||||||||
(m) | Interest rate presented is yield to maturity. | |||||||||
(n) | All or a portion of this security is pledged for open futures collateral. | |||||||||
(o) | All or a portion of this security is pledged for open centrally cleared swaps collateral. | |||||||||
(p) | The rate disclosed is the 7-day net yield as of March 31, 2021. | |||||||||
(q) | Represents an investment of securities lending cash collateral. | |||||||||
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 year end is $268,995,995 which represents 21.4% of net assets. |
See accompanying Notes to the Financial Statements.
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March 31, 2021
At March 31, 2021, the Fund held the following restricted securities:
Restricted Securities | Acquisition Date | Principal Amount | Cost | Value | ||||||||||
Bellemeade Re, Ltd. CMO, Series 2019-3A, Class M1A, 1.21% (1 mo. USD LIBOR + 1.10%), due 07/25/29 | 07/17/19 | USD | 67,286 | $ | 67,286 | $ | 67,321 | |||||||
Credit Agricole SA, 2.81%, due 01/11/41 | 01/28/21 | USD | 250,000 | 248,681 | 226,046 | |||||||||
Credit Suisse Mortgage Trust, Series 2020-11R, 1.00%, due 04/28/38 | 12/03/20 | USD | 512,907 | 512,907 | 512,907 | |||||||||
LSC Communications, Inc., 8.75%, due 10/15/23 | 09/23/16 | USD | 284,000 | 259,570 | 12,070 | |||||||||
|
| |||||||||||||
$ | 818,344 | |||||||||||||
|
|
Forward Foreign Currency Contracts
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||||||||||
EUR | 6,053,509 | USD | 7,149,427 | 04/06/21 | Barclays Bank Plc | $ | (34,741 | ) | ||||||||||||||||||||
USD | 3,349,443 | EUR | 2,803,357 | 04/06/21 | Barclays Bank Plc | 54,659 | ||||||||||||||||||||||
USD | 7,153,739 | EUR | 6,053,509 | 05/05/21 | Barclays Bank Plc | 34,781 | ||||||||||||||||||||||
USD | 3,930,516 | EUR | 3,250,152 | 04/06/21 | JPMorgan Chase Bank N.A. | 110,614 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 165,313 | |||||||||||||||||||||||||||
|
|
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||
Buys | ||||||||||||||||||
23 | U.S. Long Bond | Jun 2021 | $ | 3,555,656 | $ | (57,488 | ) | |||||||||||
101 | U.S. Treasury Note 2-Year | Jun 2021 | 22,293,383 | (15,095 | ) | |||||||||||||
139 | U.S. Treasury Note 5-Year | Jun 2021 | 17,152,383 | (76,593 | ) | |||||||||||||
67 | U.S. Treasury Note 10-Year | Jun 2021 | 8,772,812 | (87,340 | ) | |||||||||||||
61 | U.S. Ultra Bond | Jun 2021 | 11,054,344 | (529,910 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (766,426 | ) | ||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
10 | Euro-Bobl | Jun 2021 | $ | 1,587,594 | $ | (6,708 | ) | |||||||||||
3 | Euro-Bund | Jun 2021 | 603,916 | (2,600 | ) | |||||||||||||
42 | Euro-Schatz | Jun 2021 | 5,533,545 | (4,727 | ) | |||||||||||||
25 | U.S. Long Bond | Jun 2021 | 3,864,844 | 77,357 | ||||||||||||||
51 | U.S. Treasury Note 10-Year | Jun 2021 | 6,677,812 | �� | 126,010 | |||||||||||||
184 | U.S. Ultra 10-Year | Jun 2021 | 26,438,500 | 1,010,061 | ||||||||||||||
|
| |||||||||||||||||
$ | 1,199,393 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
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March 31, 2021
Written Options
Written Futures Options
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at March 31, 2021 | ||||||||||||||||||||
PUT — U.S. Treasury Note 10-Year Futures Option Strike @ $132.00 Expires 05/21/2021 | JPMorgan Chase Bank N.A. | 51 | $ | 6,677,813 | $ | (21,444 | ) | $ | (82,078 | ) | |||||||||||||||
|
|
|
|
Centrally Cleared Interest Rate Swaps
Payments | Payment | Payments Made by Fund | Payment Frequency | Maturity | Upfront Premiums Paid (Received) | Notional | Market | Unrealized Appreciation (Depreciation) | ||||||||||||||||
2.15% | At Maturity | CPI-U | At Maturity | 01/13/26 | $ | 111 | USD | 1,840,000 | $ | (41,354 | ) | $ | (41,465 | ) | ||||||||||
2.21% | At Maturity | CPI-U | At Maturity | 01/12/26 | 106 | 920,000 | (18,096 | ) | (18,202 | ) | ||||||||||||||
2.30% | At Maturity | CPI-U | At Maturity | 02/02/26 | (33,586 | ) | 7,880,000 | (116,582 | ) | (82,996 | ) | |||||||||||||
2.37% | At Maturity | CPI-U | At Maturity | 02/18/26 | 117 | 2,755,000 | (26,532 | ) | (26,649 | ) | ||||||||||||||
Overnight Federal Funds Effective Rate (12M) | Annual | 0.51% | Annual | 02/18/26 | 111 | 2,755,000 | 42,292 | 42,181 | ||||||||||||||||
Overnight Federal Funds Effective Rate (12M) | Annual | 0.41% | Annual | 01/13/26 | 107 | 1,840,000 | 34,535 | 34,428 | ||||||||||||||||
Overnight Federal Funds Effective Rate (12M) | Annual | 0.39% | Annual | 01/12/26 | 104 | 920,000 | 17,825 | 17,721 | ||||||||||||||||
Overnight Federal Funds Effective Rate (12M) | Annual | 0.36% | Annual | 02/02/26 | 92,167 | 7,880,000 | 171,202 | 79,035 | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | 4,053 | |||||||||||||||||||||||
|
|
Currency Abbreviations
EUR | — Euro |
USD | — U.S. Dollar |
Other Abbreviations
ACES | — Alternative Credit Enhancement Securities |
CLO | — Collateralized Loan Obligation |
CMO | — Collateralized Mortgage Obligation |
CMT | — Constant Maturity Treasury Index |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
GNMA | — Government National Mortgage Association |
ICE | — Intercontinental Exchange |
IO | — Interest Only |
LIBOR | — London Interbank Offered Rate |
MTN | — Medium Term Note |
PIK | — Payment In Kind |
REIT | — Real Estate Investment Trust |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
March 31, 2021
Currency Abbreviations — continued
REMIC | — Real Estate Mortgage Investment Conduit |
SOFR | — Secured Overnight Financing Rate |
STRIPS | — Separate Trading of Registered Interest and Principal of Securities |
TBA | — To Be Announced |
UMBS | — Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA |
See accompanying Notes to the Financial Statements.
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March 31, 2021
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 98.7 | ||||
Futures Contracts | 0.0 | * | |||
Purchased Options | 0.0 | * | |||
Swaps | 0.0 | * | |||
Written Options | 0.0 | * | |||
Forward Foreign Currency Contracts | (0.6 | ) | |||
Short-Term Investment | 0.8 | ||||
Other Assets and Liabilities (net) | 1.1 | ||||
|
| ||||
100.0 | % | ||||
|
|
* Amount rounds to zero.
See accompanying Notes to the Financial Statements.
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Schedule of Investments
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 92.1% | ||||||||||
Asset Backed Securities — 4.1% | ||||||||||
690,000 | Aegis Asset Backed Securities Trust, Series 2005-5, Class M1, 0.75% (1 mo. USD LIBOR + 0.65%), due 12/25/35(b) | 678,658 | ||||||||
250,000 | Allegro CLO XI, Ltd., Series 2019-2A, Class A1A, 1.61% (3 mo. USD LIBOR + 1.39%), due 01/19/33(b) 144A | 250,598 | ||||||||
150,000 | AMMC CLO, Ltd., Series 2017-20A, Class D, 3.62% (3 mo. USD LIBOR + 3.40%), due 04/17/29(b) 144A | 148,236 | ||||||||
300,000 | Anchorage Capital CLO, Ltd., Series 2014-3RA, Class E, 5.72% (3 mo. USD LIBOR + 5.50%), due 01/28/31(b) 144A | 284,239 | ||||||||
420,000 | Apidos CLO XXII, Series 2015-22A, Class DR, 6.97% (3 mo. USD LIBOR + 6.75%), due 04/20/31(b) 144A | 415,587 | ||||||||
601,975 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due 06/07/49 144A | 620,854 | ||||||||
400,000 | Ares LII CLO, Ltd., Series 2019-52A, Class D, 4.17% (3 mo. USD LIBOR + 3.95%), due 04/22/31(b) 144A | 400,362 | ||||||||
250,000 | Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 3.09% (3 mo. USD LIBOR + 2.90%), due 05/15/30(b) 144A | 246,086 | ||||||||
810,000 | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE5, Class M1, 0.39% (1 mo. USD LIBOR + 0.28%), due 07/25/36(b) | 714,641 | ||||||||
370,282 | Asset Backed Securities Corp. Home Equity Loan Trust Series RFC, Series 2007-HE1, Class A4, 0.25% (1 mo. USD LIBOR + 0.14%), due 12/25/36(b) | 361,931 | ||||||||
250,000 | Assurant CLO, Ltd., Series 2019-5A, Class E, 7.58% (3 mo. USD LIBOR + 7.34%), due 01/15/33(b) 144A | 249,878 | ||||||||
410,000 | Avery Point VI CLO, Ltd., Series 2015-6A, Class DR, 3.15% (3 mo. USD LIBOR + 2.95%), due 08/05/27(b) 144A | 410,203 | ||||||||
710,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.25%, due 02/20/27 144A | 767,135 | ||||||||
250,000 | Ballyrock CLO, Ltd., Series 2016-1A, Class ER, 7.19% (3 mo. USD LIBOR + 6.95%), due 10/15/28(b) 144A | 245,484 | ||||||||
250,000 | Barings CLO, Ltd., Series 2013-IA, Class CR, 1.72% (3 mo. USD LIBOR + 1.50%), due 01/20/28(b) 144A | 249,599 | ||||||||
250,000 | Benefit Street Partners CLO XII, Ltd., Series 2017-12A, Class C, 3.29% (3 mo. USD LIBOR + 3.05%), due 10/15/30(b) 144A | 241,801 | ||||||||
450,000 | BlueMountain CLO XXII, Ltd., Series 2018-22A, Class A1, 1.32% (3 mo. USD LIBOR + 1.08%), due 07/15/31(b) 144A | 449,271 | ||||||||
387,697 | BlueMountain CLO, Ltd., Series 2012-2A, Class AR2, 1.23% (3 mo. USD LIBOR + 1.05%), due 11/20/28(b) 144A | 387,949 | ||||||||
250,000 | Bristol Park CLO, Ltd., Series 2016-1A, Class ER, 7.24% (3 mo. USD LIBOR + 7.00%), due 04/15/29(b) 144A | 250,153 | ||||||||
250,000 | California Republic Auto Receivables Trust, Series 2018-1, Class C, 3.87%, due 10/16/23 | 256,453 | ||||||||
280,000 | Canyon Capital CLO, Ltd., Series 2021-1A, Class E, (3 mo. USD LIBOR + 6.41%), due 04/15/34(b) (c) 144A | 274,511 | ||||||||
350,000 | Canyon CLO, Ltd., Series 2020-1A, Class B, 2.99% (3 mo. USD LIBOR + 2.75%), due 07/15/28(b) 144A | 352,414 | ||||||||
404,111 | Carlyle Global Market Strategies CLO, Ltd., Series 2014-2RA, Class A1, 1.24% (3 mo. USD LIBOR + 1.05%), due 05/15/31(b) 144A | 404,169 | ||||||||
300,000 | Catskill Park CLO, Ltd., Series 2017-1A, Class D, 6.22% (3 mo. USD LIBOR + 6.00%), due 04/20/29(b) 144A | 294,275 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
100,000 | CCG Receivables Trust, Series 2018-1, Class C, 3.42%, due 06/16/25 144A | 100,481 | ||||||||
250,000 | CIFC Funding CLO, Ltd., Series 2017-1A, Class D, 3.72% (3 mo. USD LIBOR + 3.50%), due 04/23/29(b) 144A | 250,152 | ||||||||
105,712 | Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.53%, due 01/21/31 144A | 108,981 | ||||||||
320,000 | Dryden 43 CLO Senior Loan Fund, Series 2016-43A, Class ER3, (3 mo. USD LIBOR + 6.40%), due 04/20/34(b) (c) 144A | 313,856 | ||||||||
400,000 | Dryden 72 CLO, Ltd., Series 2019-72A, Class D, 3.89% (3 mo. USD LIBOR + 3.70%), due 05/15/32(b) 144A | 400,540 | ||||||||
190,364 | Dryden CLO XXV Senior Loan Fund, Series 2012-25A, Class ARR, 1.14% (3 mo. USD LIBOR + 0.90%), due 10/15/27(b) 144A | 190,468 | ||||||||
420,000 | DT Auto Owner Trust, Series 2018-2A, Class D, 4.15%, due 03/15/24 144A | 427,762 | ||||||||
544,604 | Falcon Aerospace, Ltd., Series 2017-1, Class A, 4.58%, due 02/15/42 144A | 550,520 | ||||||||
380,000 | FBR Securitization Trust, Series 2005-2, Class M4, 1.04% (1 mo. USD LIBOR + 0.93%), due 09/25/35(b) | 343,947 | ||||||||
594,251 | First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M1, 0.78% (1 mo. USD LIBOR + 0.68%), due 11/25/36(b) | 594,577 | ||||||||
400,000 | Golub Capital Partners CLO, Ltd., Series 2020-49A, Class B, 3.42% (3 mo. USD LIBOR + 3.20%), due 07/20/32(b) 144A | 401,668 | ||||||||
250,000 | Greenwood Park CLO, Ltd., Series 2018-1A, Class E, 5.19% (3 mo. USD LIBOR + 4.95%), due 04/15/31(b) 144A | 235,965 | ||||||||
250,000 | Greywolf CLO IV, Ltd., Series 2019-1A, Class CR, 3.84% (3 mo. USD LIBOR + 3.65%), due 04/17/34(b) 144A | 250,372 | ||||||||
450,000 | Greywolf CLO V, Ltd., Series 2015-1A, Class A1R, 1.38% (3 mo. USD LIBOR + 1.16%), due 01/27/31(b) 144A | 450,240 | ||||||||
154,053 | GSAA Home Equity Trust, Series 2007-7, Class A4, 0.65% (1 mo. USD LIBOR + 0.54%), due 07/25/37(b) | 152,022 | ||||||||
290,000 | Halsey Point CLO I, Ltd., Series 2019-1A, Class F, 8.42% (3 mo. USD LIBOR + 8.20%), due 01/20/33(b) 144A | 272,021 | ||||||||
100,000 | Hertz Vehicle Financing II, LP, Series 2015-3A, Class C, 4.44%, due 09/25/21 144A | 98,715 | ||||||||
760,000 | Hertz Vehicle Financing II, LP, Series 2018-1A, Class D, 5.86%, due 02/25/24 144A | 752,976 | ||||||||
250,000 | Hildene Community Funding CDO CLO, Ltd., Series 2015-1A, Class AR, 3.25%, due 11/01/35 144A | 249,688 | ||||||||
265,000 | Invesco CLO, Ltd., Series 2021-1A, Class D, (3 mo. USD LIBOR + 3.05%), due 04/15/34(b) (c) 144A | 265,000 | ||||||||
240,849 | KeyCorp Student Loan Trust, Series 2005-A, Class 2C, 1.55% (3 mo. USD LIBOR + 1.30%), due 12/27/38(b) | 231,576 | ||||||||
400,000 | KKR CLO 14, Ltd., Series 14, Class BR, 2.04% (3 mo. USD LIBOR + 1.80%), due 07/15/31(b) 144A | 400,217 | ||||||||
414,715 | LCM CLO XVIII, LP, Series 19A, Class AR, 1.48% (3 mo. USD LIBOR + 1.24%), due 07/15/27(b) 144A | 414,989 | ||||||||
145,265 | Legacy Mortgage Asset Trust, Series 2019-GS1, Class A1, 4.00%, due 01/25/59(d) 144A | 148,755 | ||||||||
400,000 | Magnetite CLO XII, Ltd., Series 2015-12A, Class ER, 5.92% (3 mo. USD LIBOR + 5.68%), due 10/15/31(b) 144A | 392,736 | ||||||||
617,337 | Magnolia Financial X DAC, Series 2020-1, 0.53%, due 08/13/24(e) | 606,528 | ||||||||
250,000 | Marathon CLO 14, Ltd., Series 2019-2A, Class BA, 3.52% (3 mo. USD LIBOR + 3.30%), due 01/20/33(b) 144A | 246,180 | ||||||||
636,752 | Mill City Solar Loan, Ltd., Series 2019-1A, Class A, 4.34%, due 03/20/43 144A | 692,619 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
502,065 | National Collegiate Student Loan Trust, Series 2007-2, Class A4, 0.40% (1 mo. USD LIBOR + 0.29%), due 01/25/33(b) | 481,349 | ||||||||
370,000 | Navient Private Education Refi Student Loan Trust, Series 2018-CA, Class B, 4.22%, due 06/16/42 144A | 384,807 | ||||||||
100,000 | Navient Private Education Refi Student Loan Trust, Series 2020-A, Class B, 3.16%, due 11/15/68 144A | 101,280 | ||||||||
760,000 | Navient Private Education Refi Student Loan Trust, Series 2020-GA, Class B, 2.50%, due 09/16/69 144A | 756,274 | ||||||||
250,000 | Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class DR2, 6.14% (3 mo. USD LIBOR + 5.92%), due 10/21/30(b) 144A | 243,757 | ||||||||
250,000 | Oaktree CLO, Ltd., Series 2015-1A, Class DR, 5.42% (3 mo. USD LIBOR + 5.20%), due 10/20/27(b) 144A | 241,621 | ||||||||
955,000 | Oaktree CLO, Ltd., Series 2019-4A, Class E, 7.45% (3 mo. USD LIBOR + 7.23%), due 10/20/32(b) 144A | 949,535 | ||||||||
355,000 | Ocean Trails CLO IX, Series 2020-9A, Class A1, 2.15% (3 mo. USD LIBOR + 1.87%), due 10/15/29(b) 144A | 356,105 | ||||||||
405,000 | Ocean Trails CLO IX, Series 2020-9A, Class A2, 2.55% (3 mo. USD LIBOR + 2.27%), due 10/15/29(b) 144A | 407,146 | ||||||||
330,000 | Ocean Trails CLO VI, Series 2016-6A, Class DRR, 3.78% (3 mo. USD LIBOR + 3.60%), due 07/15/28(b) (c) 144A | 330,000 | ||||||||
250,000 | Ocean Trails CLO X, Series 2020-10A, Class D, 4.89% (3 mo. USD LIBOR + 4.70%), due 10/15/31(b) 144A | 251,457 | ||||||||
325,000 | Octagon Investment Partners 35 CLO, Ltd., Series 2018-1A, Class C, 2.82% (3 mo. USD LIBOR + 2.60%), due 01/20/31(b) 144A | 314,033 | ||||||||
1,205,000 | OHA Credit Funding CLO 3, Ltd., Series 2019-3A, Class E1, 5.22% (3 mo. USD LIBOR + 5.00%), due 07/20/32(b) 144A | 1,122,178 | ||||||||
935,000 | OHA Credit Funding CLO 4, Ltd., Series 2019-4A, Class E, 6.32% (3 mo. USD LIBOR + 6.10%), due 10/22/32(b) 144A | 921,172 | ||||||||
250,000 | OHA Loan Funding CLO, Ltd., Series 2015-1A, Class DR2, 4.19% (3 mo. USD LIBOR + 4.00%), due 11/15/32(b) 144A | 251,357 | ||||||||
180,000 | OneMain Financial Issuance Trust, Series 2018-1A, Class D, 4.08%, due 03/14/29 144A | 185,295 | ||||||||
850,000 | Option One Mortgage Loan Trust, Series 2005-3, Class M4, 1.04% (1 mo. USD LIBOR + 0.93%), due 08/25/35(b) | 787,790 | ||||||||
250,000 | Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L, 2.02% (3 mo. USD LIBOR + 1.80%), due 04/20/32(b) 144A | 251,156 | ||||||||
250,000 | Parallel CLO, Ltd., Series 2017-1A, Class CR, 2.22% (3 mo. USD LIBOR + 2.00%), due 07/20/29(b) 144A | 246,173 | ||||||||
260,000 | Parallel CLO, Ltd., Series 2020-1A, Class A1, 2.05% (3 mo. USD LIBOR + 1.83%), due 07/20/31(b) 144A | 260,684 | ||||||||
448,500 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.67%, due 09/05/48 144A | 459,653 | ||||||||
340,000 | Recette CLO, Ltd., Series 2015-1A, Class ARR, 1.19% (3 mo. USD LIBOR + 1.08%), due 04/20/34(b) 144A | 339,354 | ||||||||
1,160,000 | Residential Asset Securities Trust, Series 2006-KS2, Class M3, 0.73% (1 mo. USD LIBOR + 0.41%), due 03/25/36(b) | 1,125,510 | ||||||||
500,000 | Romark CLO III, Ltd., Series 2019-3A, Class A1, 1.61% (3 mo. USD LIBOR + 1.37%), due 07/15/32(b) 144A | 500,440 |
See accompanying Notes to the Financial Statements.
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(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
180,000 | Saranac CLO III, Ltd., Series 2014-3A, Class DR, 3.44% (3 mo. USD LIBOR + 3.25%), due 06/22/30(b) 144A | 167,541 | ||||||||
515,000 | Sixth Street CLO XVIII, Ltd., Series 2021-18A, Class D, (3 mo. USD LIBOR + 2.90%), due 04/20/34(b) (c) 144A | 515,000 | ||||||||
116,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 4.08%, due 06/15/32(f) | 116,872 | ||||||||
61,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 4.03%, due 03/15/33(f) | 60,838 | ||||||||
680,000 | SMB Private Education Loan Trust, Series 2021-A, Class D1, 3.86%, due 01/15/53 144A | 669,828 | ||||||||
360,000 | Sound Point CLO XXIII, Series 2019-2A, Class A1, 1.64% (3 mo. USD LIBOR + 1.40%), due 04/15/32(b) 144A | 360,244 | ||||||||
250,000 | TCI-Symphony CLO, Ltd., Series 2016-1A, Class DR, 3.22% (3 mo. USD LIBOR + 3.00%), due 10/13/29(b) 144A | 248,758 | ||||||||
95,740 | Tralee CLO III, Ltd., Series 2014-3A, Class AR, 1.25% (3 mo. USD LIBOR + 1.03%), due 10/20/27(b) 144A | 95,792 | ||||||||
340,000 | Venture CLO 31, Ltd., Series 2018-31A, Class A1, 1.25% (3 mo. USD LIBOR + 1.03%), due 04/20/31(b) 144A | 339,195 | ||||||||
250,000 | Voya CLO, Ltd., Series 2016-3A, Class A1R, 1.41% (3 mo. USD LIBOR + 1.19%), due 10/18/31(b) 144A | 250,133 | ||||||||
260,000 | Voya CLO, Ltd., Series 2017-3A, Class DR, 7.05% (3 mo. USD LIBOR + 6.95%), due 04/20/34(b) (c) 144A | 260,000 | ||||||||
275,000 | Webster Park CLO, Ltd., Series 2015-1A, Class CR, 3.12% (3 mo. USD LIBOR + 2.90%), due 07/20/30(b) 144A | 273,674 | ||||||||
350,000 | Wellfleet CLO, Ltd., Series 2017-2A, Class C, 3.62% (3 mo. USD LIBOR + 3.40%), due 10/20/29(b) 144A | 345,215 | ||||||||
170,000 | Westlake Automobile Receivables Trust, Series 2018-3A, Class D, 4.00%, due 10/16/23 144A | 174,494 | ||||||||
250,000 | Whitebox CLO II, Ltd., Series 2020-2A, Class A1, 1.99% (3 mo. USD LIBOR + 1.75%), due 10/24/31(b) 144A | 251,100 | ||||||||
410,000 | Whitehorse CLO XII, Ltd., Series 2018-12A, Class D, 3.89% (3 mo. USD LIBOR + 3.65%), due 10/15/31(b) 144A | 393,800 | ||||||||
490,000 | Zais CLO 16, Ltd., Series 2020-16A, Class D1, 5.77% (3 mo. USD LIBOR + 5.48%), due 10/20/31(b) 144A | 494,596 | ||||||||
|
| |||||||||
34,783,244 | ||||||||||
|
| |||||||||
Bank Loans — 13.6% | ||||||||||
622,996 | 8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 3.61% (1 mo. USD LIBOR + 3.50%), due 10/01/25(b) | 623,552 | ||||||||
2,150,563 | AAdvantage Loyalty IP, Ltd., 2021 Term Loan, TBD , due 04/20/28(g) | 2,203,368 | ||||||||
793,025 | Academy, Ltd., 2020 Term Loan, 5.75% (1 mo. USD LIBOR + 5.00%), due 10/28/27(b) | 794,413 | ||||||||
332,202 | ACProducts, Inc., 2020 Term Loan B, 7.50% (3 mo. USD LIBOR + 6.50%), due 08/18/25(b) | 340,091 | ||||||||
124,931 | Acrisure, LLC, 2020 Term Loan B, 3.70% (3 mo. USD LIBOR + 3.50%), due 02/15/27(b) | 123,650 | ||||||||
806,000 | EUR | Adevinta ASA, EUR Term Loan B, TBD , due 11/05/27(g) | 950,399 | |||||||
819,200 | Adtalem Global Education, Inc., 2021 Term Loan B, TBD , due 02/11/28(g) | 812,886 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
95,137 | Advanced Drainage Systems, Inc., Term Loan B, 2.38% (1 mo. USD LIBOR + 2.25%), due 07/31/26(b) | 95,375 | ||||||||
936,753 | Air Canada, 2019 Term Loan, 1.86% (1 mo. USD LIBOR + 1.75%), due 10/06/23(b) | 915,676 | ||||||||
624,653 | Aldevron, LLC, 2021 Term Loan B, 4.25% (1 mo. USD LIBOR + 3.25%), due 10/12/26(b) | 625,043 | ||||||||
793,965 | Allen Media, LLC, 2020 Term Loan B, 5.70% (3 mo. USD LIBOR + 5.50%), due 02/10/27(b) | 793,965 | ||||||||
1,043,100 | Allied Universal Holdco LLC, 2019 Term Loan B, 4.36% (1 mo. USD LIBOR + 4.25%), due 07/10/26(b) | 1,041,600 | ||||||||
246,649 | Alterra Mountain Co., Term Loan B1, 2.86% (1 mo. USD LIBOR + 2.75%), due 07/31/24(b) | 243,967 | ||||||||
393,531 | Alterra Mountain Co., 2020 Term Loan B, 5.50% (1 mo. USD LIBOR + 4.50%), due 08/01/26(b) | 395,253 | ||||||||
500,984 | Amentum Government Services Holdings LLC, Term Loan B, 3.61% (1 mo. USD LIBOR + 3.50%), due 01/29/27(b) | 497,227 | ||||||||
102,207 | American Axle & Manufacturing, Inc., Term Loan B, 3.00% (1 mo. USD LIBOR + 2.25%), due 04/06/24(b) | 101,696 | ||||||||
56,369 | Amerilife Holdings, LLC, 2020 Term Loan, 4.11% (3 mo. USD LIBOR + 4.00%), due 03/18/27(b) | 56,510 | ||||||||
579,460 | APi Group DE, Inc., Term Loan B, 2.61% (1 mo. USD LIBOR + 2.50%), due 10/01/26(b) | 578,464 | ||||||||
190,000 | Apollo Commercial Real Estate Finance, Inc., 2021 Incremental Term Loan B1, 4.00% (3 mo. USD LIBOR + 3.50%), due 03/06/28(b) | 188,575 | ||||||||
1,013,271 | Apollo Commercial Real Estate Finance, Inc., Term Loan B, 2.86% (1 mo. USD LIBOR + 2.75%), due 05/15/26(b) | 995,538 | ||||||||
316,904 | AppLovin Corp., 2018 Term Loan B, 3.61% (1 mo. USD LIBOR + 3.50%), due 08/15/25(b) | 316,989 | ||||||||
1,111,194 | Arctic Canadian Diamond Co., Ltd., 2nd Lien PIK Term Loan, 5.00% (3 mo. USD LIBOR + 5.00%), due 12/31/27(b) | 1,111,194 | ||||||||
256,519 | Aristocrat Leisure, Ltd., 2020 Incremental Term Loan B, 4.75% (3 mo. USD LIBOR + 3.75%), due 10/19/24(b) | 257,824 | ||||||||
1,336,000 | EUR | Aruba Investments, Inc., 2020 EUR Term Loan, 4.00% (3 mo. EURIBOR + 4.00%), due 11/24/27(b) | 1,574,780 | |||||||
211,699 | Asurion LLC, 2018 Term Loan B6, 3.11% (1 mo. USD LIBOR + 3.00%), due 11/03/23(b) | 211,318 | ||||||||
296,326 | Asurion LLC, 2018 Term Loan B7, 3.11% (1 mo. USD LIBOR + 3.00%), due 11/03/24(b) | 295,539 | ||||||||
424,318 | Asurion LLC, 2020 Term Loan B8, 3.36% (1 mo. USD LIBOR + 3.25%), due 12/23/26(b) | 422,108 | ||||||||
505,600 | Asurion LLC, 2021 Term Loan B9, 3.36% (1 mo. USD LIBOR + 3.25%), due 07/31/27(b) | 502,493 | ||||||||
546,069 | Athenahealth, Inc., 2021 Term Loan B1, 4.45% (3 mo. USD LIBOR + 4.25%), due 02/11/26(b) | 548,117 | ||||||||
997,382 | ATI Holdings Acquisition, Inc., 2016 Term Loan, TBD , due 05/10/23(g) | 997,693 | ||||||||
970,000 | Atotech BV, 2021 USD Term Loan B, 3.00% (3 mo. USD LIBOR + 2.50%), due 03/18/28(b) | 968,333 | ||||||||
540,000 | Autokiniton US Holdings, Inc., 2021 Term Loan B, TBD , due 03/29/28(g) | 540,000 | ||||||||
964,202 | Bausch Health Companies, Inc., 2018 Term Loan B, 3.11% (1 mo. USD LIBOR + 3.00%), due 06/02/25(b) | 962,070 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
384,714 | BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, 2.11% (1 mo. USD LIBOR + 2.00%), due 02/03/24(b) | 384,998 | ||||||||
577,169 | Boyd Gaming Corp., Term Loan B3, 2.33% (1 Week USD LIBOR + 2.25%), due 09/15/23(b) | 576,710 | ||||||||
128,859 | BrightView Landscapes, LLC, 2018 1st Lien Term Loan B, 2.63% (1 mo. USD LIBOR + 2.50%), due 08/15/25(b) | 128,617 | ||||||||
786,342 | Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 2.86% (1 mo. USD LIBOR + 2.75%), due 12/23/24(b) | 775,039 | ||||||||
424,262 | Caesars Resort Collection, LLC, 2020 Term Loan B1, 4.61% (1 mo. USD LIBOR + 4.50%), due 07/21/25(b) | 425,614 | ||||||||
501,743 | Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, 4.00% (1 mo. USD LIBOR + 3.00%), due 10/30/26(b) | 501,743 | ||||||||
799,375 | Camelot U.S. Acquisition 1 Co., Term Loan B, 3.11% (1 mo. USD LIBOR + 3.00%), due 10/30/26(b) | 794,212 | ||||||||
572,125 | Cardinal Parent, Inc., 2020 Term Loan B, 5.25% (6 mo. USD LIBOR + 4.50%), due 11/12/27(b) | 575,343 | ||||||||
2,824,878 | EUR | Carnival Corp., EUR Term Loan B, 7.50% (1 mo. EURIBOR + 7.50%), due 06/30/25(b) | 3,411,897 | |||||||
125,141 | Castle US Holding Corp., USD Term Loan B, 3.95% (3 mo. USD LIBOR + 3.75%), due 01/29/27(b) | 123,666 | ||||||||
796 | CEC Entertainment, Inc., 2019 Term Loan B, 0.00%, due 08/30/26(h) | 1,078 | ||||||||
12,831 | Change Healthcare Holdings, LLC, 2017 Term Loan B, 3.50% (1 mo. USD LIBOR + 2.50%), due 03/01/24(b) | 12,829 | ||||||||
435,389 | Change Healthcare Holdings, LLC, 2017 Term Loan B, 3.50% (3 mo. USD LIBOR + 2.50%), due 03/01/24(b) | 435,335 | ||||||||
144,005 | Cinemark USA, Inc., 2018 Term Loan B, 1.86% (1 mo. USD LIBOR + 1.75%), due 03/31/25(b) | 138,245 | ||||||||
900,127 | Citadel Securities, LP, 2021 Term Loan B, 2.61% (1 mo. USD LIBOR + 2.50%), due 02/29/28(b) | 891,829 | ||||||||
1,401,000 | City Brewing Company, LLC, Term Loan B, TBD , due 03/31/28(g) | 1,393,995 | ||||||||
198,605 | Clarios Global, LP, 2021 USD Term Loan B, 3.36% (1 mo. USD LIBOR + 3.25%), due 04/30/26(b) | 197,819 | ||||||||
357,832 | Claros Mortgage Trust, Inc., Term Loan B, 6.00% (1 mo. USD LIBOR + 5.00%), due 08/09/26(b) | 358,727 | ||||||||
1,090,399 | Clear Channel Outdoor Holdings, Inc., Term Loan B, 3.71% (3 mo. USD LIBOR + 3.50%), due 08/21/26(b) | 1,050,386 | ||||||||
849,001 | ClubCorp Holdings, Inc., 2017 Term Loan B, 2.95% (3 mo. USD LIBOR + 2.75%), due 09/18/24(b) | 800,183 | ||||||||
675,130 | CNT Holdings I Corp., 2020 Term Loan, 4.50% (6 mo. USD LIBOR + 3.75%), due 11/08/27(b) | 674,286 | ||||||||
1,211,272 | CommScope, Inc., 2019 Term Loan B, 3.36% (1 mo. USD LIBOR + 3.25%), due 04/06/26(b) | 1,205,721 | ||||||||
123,393 | CoreCivic, Inc., 2019 Term Loan, 5.50% (1 mo. USD LIBOR + 4.50%), due 12/18/24(b) | 119,382 | ||||||||
378,577 | CP Atlas Buyer, Inc., 2021 Term Loan B, 4.25% (3 mo. USD LIBOR + 3.75%), due 11/23/27(b) | 376,655 | ||||||||
89,949 | CWGS Group, LLC, 2016 Term Loan, 3.50% (1 mo. USD LIBOR + 2.75%), due 11/08/23(b) | 89,780 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
462,010 | CWGS Group, LLC, 2016 Term Loan, 3.50% (3 mo. USD LIBOR + 2.75%), due 11/08/23(b) | 461,144 | ||||||||
1,367,989 | DCert Buyer, Inc., 2019 Term Loan B, 4.11% (1 mo. USD LIBOR + 4.00%), due 10/16/26(b) | 1,366,793 | ||||||||
915,200 | DCert Buyer, Inc., 2021 2nd Lien Term Loan, 7.11% (1 mo. USD LIBOR + 7.00%), due 02/16/29(b) | 922,064 | ||||||||
328,100 | Deerfield Dakota Holding, LLC, 2020 2nd Lien Term Loan, 9.00% (1 mo. USD LIBOR + 8.00%), due 04/07/28(b) | 334,662 | ||||||||
100,197 | Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 4.75% (1 mo. USD LIBOR + 3.75%), due 04/09/27(b) | 100,447 | ||||||||
521,322 | Delta TopCo, Inc., 2020 Term Loan B, 4.50% (3 mo. USD LIBOR + 3.75%), due 12/01/27(b) | 521,322 | ||||||||
342,639 | Diamond Sports Group, LLC, Term Loan, 3.36% (1 mo. USD LIBOR + 3.25%), due 08/24/26(b) | 242,846 | ||||||||
533,610 | Douglas Dynamics Holdings, Inc., 2020 Additional Term Loan B, 4.75% (1 mo. USD LIBOR + 3.75%), due 06/08/26(b) | 532,276 | ||||||||
284,507 | Dun & Bradstreet Corp. (The), Term Loan, 3.36% (1 mo. USD LIBOR + 3.25%), due 02/06/26(b) | 283,396 | ||||||||
460,000 | Edelman Financial Center, LLC, 2021 1st Lien Term Loan B, TBD , due 03/19/28(g) | 457,700 | ||||||||
640,000 | Empire Today, LLC, 2021 Term Loan B, TBD , due 03/24/28(g) | 639,800 | ||||||||
242,559 | Endo Luxembourg Finance Co. I SARL, 2017 Term Loan B, 5.00% (3 mo. USD LIBOR + 4.25%), due 04/29/24(b) | 242,802 | ||||||||
560,000 | Endo Luxembourg Finance Co. I SARL, 2021 Term Loan, TBD , due 03/10/28(g) | 555,800 | ||||||||
1,132,948 | Endure Digital Inc., Term Loan, 4.25% (3 mo. USD LIBOR + 3.50%), due 02/10/28(b) | 1,129,880 | ||||||||
181,607 | Equinox Holdings, Inc., 2020 Term Loan B2, 10.00% (3 mo. USD LIBOR + 9.00%), due 03/08/24(b) | 183,423 | ||||||||
214,527 | EyeCare Partners, LLC, 2020 2nd Lien Term Loan, 8.36% (1 mo. USD LIBOR + 8.25%), due 02/18/28(b) | 206,125 | ||||||||
275,245 | EyeCare Partners, LLC, 2020 Term Loan, 3.86% (1 mo. USD LIBOR + 3.75%), due 02/18/27(b) | 272,763 | ||||||||
380,000 | First Brands, 2021 2nd Lien Term Loan, TBD , due 03/22/28(g) | 378,100 | ||||||||
490,000 | First Brands, 2021 Term Loan, TBD , due 03/30/27(g) | 487,397 | ||||||||
1,678,513 | Focus Financial Partners, LLC, 2020 Term Loan, 2.11% (1 mo. USD LIBOR + 2.00%), due 07/03/24(b) | 1,661,129 | ||||||||
113,573 | EUR | Froneri International, Ltd., 2020 EUR Term Loan, 2.63% (6 mo. EURIBOR + 2.63%), due 01/29/27(b) | 132,123 | |||||||
538,558 | Froneri International, Ltd., 2020 USD Term Loan, 2.36% (1 mo. USD LIBOR + 2.25%), due 01/29/27(b) | 531,784 | ||||||||
631,000 | Frontier Communications Corp., 2020 DIP Exit Term Loan, 5.75% (1 mo. USD LIBOR + 4.75%), due 10/08/21(b) | 632,972 | ||||||||
903,890 | Gannett Holdings LLC, 2021 Term Loan B, 7.75% (3 mo. USD LIBOR + 7.00%), due 01/29/26(b) | 914,059 | ||||||||
223,926 | Garda World Security Corp., 2021 Term Loan B, 4.37% (1 mo. USD LIBOR + 4.25%), due 10/30/26(b) | 224,299 | ||||||||
636,361 | Genesee & Wyoming, Inc., Term Loan, 2.20% (3 mo. USD LIBOR + 2.00%), due 12/30/26(b) | 635,124 | ||||||||
98,232 | GFL Environmental, Inc., 2020 Term Loan, 3.50% (3 mo. USD LIBOR + 3.00%), due 05/30/25(b) | 98,390 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
332,108 | Global Medical Response, Inc., 2020 Term Loan B, 5.75% (3 mo. USD LIBOR + 4.75%), due 10/02/25(b) | 331,537 | ||||||||
173,314 | Global Tel*Link Corp., 2018 1st Lien Term Loan, 4.36% (1 mo. USD LIBOR + 4.25%), due 11/29/25(b) | 163,691 | ||||||||
309,172 | Global Tel*Link Corp., 2018 2nd Lien Term Loan, 8.36% (1 mo. USD LIBOR + 8.25%), due 11/29/26(b) | 239,351 | ||||||||
152,754 | GlobalTranz Enterprises, Inc., 2019 Term Loan, 5.20% (3 mo. USD LIBOR + 5.00%), due 05/15/26(b) | 145,880 | ||||||||
1,299,136 | Graham Packaging Co. Inc., 2021 Term Loan, 3.75% (1 mo. USD LIBOR + 3.00%), due 08/04/27(b) | 1,293,182 | ||||||||
1,017,450 | Great Outdoors Group, LLC, 2021 Term Loan B, 5.00% (6 mo. USD LIBOR + 4.25%), due 03/06/28(b) | 1,019,146 | ||||||||
685,914 | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 2.08% (1 Week USD LIBOR + 2.00%), due 11/15/27(b) | 679,133 | ||||||||
530,503 | Harbor Freight Tools USA, Inc., 2020 Term Loan B, 3.75% (1 mo. USD LIBOR + 3.00%), due 10/19/27(b) | 530,802 | ||||||||
819,539 | HC Group Holdings II, Inc., Term Loan B, 3.86% (1 mo. USD LIBOR + 3.75%), due 08/06/26(b) | 818,003 | ||||||||
246,075 | Hilton Worldwide Finance, LLC, 2019 Term Loan B2, 1.86% (1 mo. USD LIBOR + 1.75%), due 06/22/26(b) | 244,137 | ||||||||
860,000 | Hudson River Trading LLC, 2021 Term Loan, 3.14% (3 mo. USD LIBOR + 3.00%), due 03/17/28(b) | 853,550 | ||||||||
31,224 | Hyland Software, Inc., 2018 1st Lien Term Loan, TBD , due 07/01/24(g) | 31,237 | ||||||||
212,395 | IAA, Inc., Term Loan B, 2.38% (1 mo. USD LIBOR + 2.25%), due 06/28/26(b) | 211,864 | ||||||||
676,328 | iHeartCommunications, Inc., 2020 Incremental Term Loan, 4.75% (1 mo. USD LIBOR + 4.00%), due 05/01/26(b) | 668,720 | ||||||||
524,964 | iHeartCommunications, Inc., 2020 Term Loan, 3.11% (1 mo. USD LIBOR + 3.00%), due 05/01/26(b) | 519,668 | ||||||||
539,138 | Illuminate Buyer, LLC, 2021 Term Loan, 3.61% (1 mo. USD LIBOR + 3.50%), due 06/30/27(b) | 537,284 | ||||||||
345,600 | INEOS Styrolution US Holding LLC, 2021 USD Term Loan B, 3.25% (3 mo. USD LIBOR + 2.75%), due 01/29/26(b) | 344,822 | ||||||||
2,044 | IRB Holding Corp., 2020 Term Loan B, 3.75% (3 mo. USD LIBOR + 2.75%), due 02/05/25(b) | 2,031 | ||||||||
448,875 | IRB Holding Corp., 2020 Fourth Amendment Incremental Term Loan, 4.25% (3 mo. USD LIBOR + 3.25%), due 12/15/27(b) | 448,434 | ||||||||
790,936 | IRB Holding Corp., 2020 Term Loan B, 3.75% (6 mo. USD LIBOR + 2.75%), due 02/05/25(b) | 785,711 | ||||||||
718,641 | Jane Street Group, LLC, 2021 Term Loan, 2.86% (1 mo. USD LIBOR + 2.75%), due 01/26/28(b) | 712,532 | ||||||||
1,274,612 | JetBlue Airways Corp., Term Loan, 6.25% (3 mo. USD LIBOR + 5.25%), due 06/17/24(b) | 1,307,539 | ||||||||
177,300 | KAR Auction Services, Inc., 2019 Term Loan B6, 2.38% (1 mo. USD LIBOR + 2.25%), due 09/19/26(b) | 174,271 | ||||||||
127,727 | LBM Acquisition LLC, Delayed Draw Term Loan, TBD , due 12/17/27(g) | 127,328 | ||||||||
582,273 | LBM Acquisition LLC, Term Loan B, 4.50% (3 mo. USD LIBOR + 3.75%), due 12/17/27(b) | 580,453 | ||||||||
320,987 | Les Schwab Tire Centers, Term Loan B, 4.25% (6 mo. USD LIBOR + 3.50%), due 11/02/27(b) | 322,056 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
408,023 | Leslie’s Poolmart, Inc., 2021 Term Loan B, 3.25% (1 mo. USD LIBOR + 2.75%), due 03/04/28(b) | 406,365 | ||||||||
2,782,028 | LogMeIn, Inc., Term Loan B, 4.85% (1 mo. USD LIBOR + 4.75%), due 08/31/27(b) | 2,778,798 | ||||||||
1,560,775 | EUR | MA FinanceCo., LLC, 2020 EUR Term Loan B, 4.50% (3 mo. EURIBOR + 4.50%), due 06/05/25(b) | 1,867,052 | |||||||
126,897 | Maravai Intermediate Holdings, LLC, 2020 Term Loan B, 5.25% (1 mo. USD LIBOR + 4.25%), due 10/19/27(b) | 127,452 | ||||||||
407,508 | Mayfield Agency Borrower, Inc., 2018 1st Lien Term Loan, 4.61% (1 mo. USD LIBOR + 4.50%), due 02/28/25(b) | 403,603 | ||||||||
194,430 | McAfee, LLC, 2018 USD Term Loan B, 3.86% (1 mo. USD LIBOR + 3.75%), due 09/30/24(b) | 194,755 | ||||||||
1,044,125 | MH Sub I, LLC, 2020 Incremental Term Loan, 4.75% (1 mo. USD LIBOR + 3.75%), due 09/13/24(b) | 1,037,355 | ||||||||
2,193,863 | Michaels Stores, Inc., 2020 Term Loan B, 4.25% (1 mo. USD LIBOR + 3.50%), due 10/01/27(b) | 2,193,863 | ||||||||
2,192,325 | Milano Acquisition Corp., Term Loan B, 4.75% (3 mo. USD LIBOR + 4.00%), due 10/01/27(b) | 2,186,845 | ||||||||
599,414 | Mileage Plus Holdings LLC, 2020 Term Loan B, 6.25% (3 mo. USD LIBOR + 5.25%), due 06/21/27(b) | 638,085 | ||||||||
326,774 | Mister Car Wash Holdings, Inc., 2019 Term Loan B, 3.36% (1 mo. USD LIBOR + 3.25%), due 05/14/26(b) | 324,078 | ||||||||
241,632 | MPH Acquisition Holdings LLC, 2016 Term Loan B, 3.75% (3 mo. USD LIBOR + 2.75%), due 06/07/23(b) | 240,630 | ||||||||
691,741 | Nexstar Broadcasting, Inc., 2019 Term Loan B4, 2.62% (1 mo. USD LIBOR + 2.50%), due 09/18/26(b) | 687,541 | ||||||||
842,081 | EUR | Nielsen Finance LLC, 2020 EUR Term Loan B3, 3.75% (1 mo. EURIBOR + 3.75%), due 06/04/25(b) | 994,150 | |||||||
54,312 | Nielsen Finance LLC, 2020 USD Term Loan B5, 4.75% (1 mo. USD LIBOR + 3.75%), due 06/04/25(b) | 54,625 | ||||||||
383,925 | PAE Holding Corp., 2020 Term Loan B, 5.25% (3 mo. USD LIBOR + 4.50%), due 10/19/27(b) | 385,125 | ||||||||
227,037 | Parexel International Corp., Term Loan B, 2.86% (1 mo. USD LIBOR + 2.75%), due 09/27/24(b) | 224,607 | ||||||||
277,853 | Particle Investments SARL, Term Loan, 5.75% (3 mo. USD LIBOR + 5.25%), due 02/18/27(b) | 279,242 | ||||||||
580,000 | Peraton Holding Corp., 2nd Lien Term Loan B1, TBD , due 02/26/29(g) | 571,300 | ||||||||
593,032 | Peraton Holding Corp., Delayed Draw Term Loan B, TBD , due 02/01/28(g) | 593,279 | ||||||||
336,968 | Peraton Holding Corp., Term Loan B, 4.50% (3 mo. USD LIBOR + 3.75%), due 02/01/28(b) | 337,108 | ||||||||
870,000 | Petco Animal Supplies, Inc., 2021 Term Loan B, 4.00% (3 mo. USD LIBOR + 3.25%), due 03/03/28(b) | 867,359 | ||||||||
646,400 | PetSmart, Inc., 2021 Term Loan B, 4.50% (3 mo. USD LIBOR + 3.75%), due 02/12/28(b) | 646,130 | ||||||||
233,062 | Phoenix Guarantor, Inc., 2020 Term Loan B, 3.36% (1 mo. USD LIBOR + 3.25%), due 03/05/26(b) | 231,581 | ||||||||
232,872 | Planview Parent, Inc ., Term Loan, 4.20% (3 mo. USD LIBOR + 4.00%), due 12/17/27(b) | 233,309 | ||||||||
90,000 | Planview Parent, Inc., Delayed Draw Term Loan, 4.20% (3 mo. USD LIBOR + 4.00%), due 12/17/27(b) | 90,169 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
499,697 | Pluto Acquisition I, Inc., 2021 Term Loan, 4.61% (1 mo. USD LIBOR + 4.50%), due 06/22/26(b) | 500,321 | ||||||||
612,617 | Precision Medicine Group, LLC, 2021 Term Loan, 3.75% (3 mo. USD LIBOR + 3.00%), due 11/18/27(b) | 610,192 | ||||||||
348,697 | Presidio, Inc., 2020 Term Loan B, 3.72% (3 mo. USD LIBOR + 3.50%), due 01/22/27(b) | 348,479 | ||||||||
442,197 | Prime Security Services Borrower , LLC, 2021 Term Loan, 3.50% (3 mo. USD LIBOR + 2.75%), due 09/23/26(b) | 440,618 | ||||||||
73,300 | Prime Security Services Borrower, LLC, 2021 Term Loan, 3.50% (1 week USD LIBOR + 2.75%), due 09/23/26(b) | 73,038 | ||||||||
200,760 | Prime Security Services Borrower, LLC, 2021 Term Loan, 3.50% (1 mo. USD LIBOR + 2.75%), due 09/23/26(b) | 200,043 | ||||||||
74,579 | Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, 4.11% (1 mo. USD LIBOR + 4.00%), due 04/26/24(b) | 74,451 | ||||||||
1,066,326 | Rackspace Hosting, Inc., 2021 Term Loan, 3.50% (3 mo. USD LIBOR + 2.75%), due 02/15/28(b) | 1,059,262 | ||||||||
339,702 | Radiology Partners, Inc., 2018 1st Lien Term Loan B, 4.36% (1 mo. USD LIBOR + 4.25%), due 07/09/25(b) | 337,621 | ||||||||
291,260 | Radiology Partners, Inc., 2018 1st Lien Term Loan B, 5.29% (3 mo. USD LIBOR + 4.25%), due 07/09/25(b) | 289,476 | ||||||||
572,013 | RadNet, Inc., Reprice Term Loan, 4.50% (6 mo. USD LIBOR + 3.50%), due 06/30/23(b) | 573,145 | ||||||||
9,377 | RadNet, Inc., Reprice Term Loan, 5.75% (PRIME + 2.50%), due 06/30/23(b) | 9,396 | ||||||||
93,572 | Realogy Group LLC, 2018 Term Loan B, 3.00% (1 mo. USD LIBOR + 2.25%), due 02/08/25(b) | 92,636 | ||||||||
793,025 | Redstone Buyer LLC, Term Loan, 6.00% (3 mo. USD LIBOR + 5.00%), due 09/01/27(b) | 798,312 | ||||||||
850,118 | RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 3.86% (1 mo. USD LIBOR + 3.75%), due 11/16/25(b) | 849,321 | ||||||||
700,085 | Reynolds Consumer Products LLC, Term Loan, 1.86% (1 mo. USD LIBOR + 1.75%), due 02/04/27(b) | 697,635 | ||||||||
51,548 | Reynolds Group Holdings, Inc., USD 2017 Term Loan, 2.86% (1 mo. USD LIBOR + 2.75%), due 02/05/23(b) | 51,463 | ||||||||
352,000 | Royal Caribbean Cruises, Ltd., 2019 Term Loan A, TBD , due 04/05/22(g) | 334,840 | ||||||||
439,465 | Ryan Specialty Group, LLC, Term Loan, 3.75% (1 mo. USD LIBOR + 3.00%), due 09/01/27(b) | 440,197 | ||||||||
62,928 | Science Applications International Corp., 2020 Incremental Term Loan B, 1.98% (1 mo. USD LIBOR + 1.88%), due 03/12/27(b) | 63,020 | ||||||||
256,697 | Scientific Games International, Inc., 2018 Term Loan B5, 2.86% (1 mo. USD LIBOR + 2.75%), due 08/14/24(b) | 252,076 | ||||||||
279,642 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B, 3.36% (1 mo. USD LIBOR + 3.25%), due 12/31/25(b) | 276,037 | ||||||||
663,804 | Sedgwick Claims Management Services, Inc., 2020 Term Loan B3, 5.25% (1 mo. USD LIBOR + 4.25%), due 09/03/26(b) | 666,500 | ||||||||
3,941,703 | SkyMiles IP, Ltd., 2020 Skymiles Term Loan B, 4.75% (3 mo. USD LIBOR + 3.75%), due 10/20/27(b) | 4,145,442 | ||||||||
258,695 | Sotera Health Holdings, LLC, 2021 Term Loan, 3.25% (3 mo. USD LIBOR + 2.75%), due 12/11/26(b) | 258,372 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
499,714 | Station Casinos LLC, 2020 Term Loan B, 2.50% (1 mo. USD LIBOR + 2.25%), due 02/08/27(b) | 492,754 | ||||||||
156,558 | Surf Holdings, LLC, USD Term Loan, 3.68% (3 mo. USD LIBOR + 3.50%), due 03/05/27(b) | 155,296 | ||||||||
413,223 | Surgery Center Holdings, Inc., 2017 Term Loan B, 4.25% (1 mo. USD LIBOR + 3.25%), due 09/03/24(b) | 410,124 | ||||||||
441,674 | Symplr Software, Inc., 2020 Term Loan, 5.25% (6 mo. USD LIBOR + 4.50%), due 12/22/27(b) | 443,662 | ||||||||
705,777 | Tech Data Corp., ABL FILO Term Loan, 5.61% (1 mo. USD LIBOR + 5.50%), due 06/30/25(b) | 708,718 | ||||||||
1,076,570 | Tech Data Corp., ABL Term Loan, 3.61% (1 mo. USD LIBOR + 3.50%), due 06/30/25(b) | 1,080,943 | ||||||||
470,800 | Telenet Financing USD LLC, 2020 USD Term Loan AR, 2.11% (1 mo. USD LIBOR + 2.00%), due 04/30/28(b) | 465,540 | ||||||||
317,745 | Terrier Media Buyer, Inc., 2021 Term Loan, 3.61% (1 mo. USD LIBOR + 3.50%), due 12/17/26(b) | 315,337 | ||||||||
262,623 | TKC Holdings, Inc., 2017 1st Lien Term Loan, 4.75% (3 mo. USD LIBOR + 3.75%), due 02/01/23(b) | 257,042 | ||||||||
229,823 | Trans Union, LLC, 2019 Term Loan B5, 1.86% (1 mo. USD LIBOR + 1.75%), due 11/16/26(b) | 228,514 | ||||||||
399,393 | TransDigm, Inc., 2020 Term Loan F, 2.36% (1 mo. USD LIBOR + 2.25%), due 12/09/25(b) | 391,587 | ||||||||
760,000 | Triton Water Holdings, Inc., Term Loan, TBD, due 03/18/28(g) | 758,304 | ||||||||
182,979 | TruGreen Limited Partnership, 2020 2nd Lien Term Loan, 9.25% (3 mo. USD LIBOR + 8.50%), due 11/02/28(b) | 189,383 | ||||||||
376,685 | Tutor Perini Corp., Term Loan B, 5.50% (3 mo. USD LIBOR + 4.50%), due 08/13/27(b) | 381,511 | ||||||||
1,021,464 | U.S. Renal Care, Inc., 2019 Term Loan B, 5.13% (1 mo. USD LIBOR + 5.00%), due 06/26/26(b) | 1,017,315 | ||||||||
1,289,516 | Uber Technologies, Inc., 2021 1st Lien Term Loan B, 3.61% (1 mo. USD LIBOR + 3.50%), due 04/04/25(b) | 1,285,486 | ||||||||
241,031 | Ultimate Software Group, Inc. (The), 2021 Incremental Term Loan, 4.00% (3 mo. USD LIBOR + 3.25%), due 05/04/26(b) | 241,200 | ||||||||
204,529 | Ultimate Software Group, Inc. (The), Term Loan B, 3.86% (1 mo. USD LIBOR + 3.75%), due 05/04/26(b) | 204,515 | ||||||||
325,278 | Univision Communications, Inc., 2020 Replacement Term Loan, 4.75% (1 mo. USD LIBOR + 3.75%), due 03/15/26(b) | 325,461 | ||||||||
356,000 | EUR | UPC Broadband Holding BV, 2020 EUR Term Loan B2, 3.50% (6 mo. EURIBOR + 3.50%), due 01/31/29(b) | 419,823 | |||||||
356,000 | EUR | UPC Broadband Holding BV, 2020 EUR Term Loan B1, 3.50% (6 mo. EURIBOR + 3.50%), due 01/31/29(b) | 419,823 | |||||||
322,790 | US Foods, Inc., 2016 Term Loan B, 1.86% (1 mo. USD LIBOR + 1.75%), due 06/27/23(b) | 319,003 | ||||||||
876,355 | US Foods, Inc., 2019 Term Loan B, 2.11% (1 mo. USD LIBOR + 2.00%), due 09/13/26(b) | 860,837 | ||||||||
1,081,134 | USS Ultimate Holdings, Inc., 1st Lien Term Loan, 4.75% (1 mo. USD LIBOR + 3.75%), due 08/25/24(b) | 1,082,485 | ||||||||
548,517 | Verscend Holding Corp., 2018 Term Loan B, 4.61% (1 mo. USD LIBOR + 4.50%), due 08/27/25(b) | 550,672 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
624,557 | Vertex Aerospace Services Corp., Term Loan B, 4.61% (1 mo. USD LIBOR + 4.50%), due 06/29/25(b) | 625,143 | ||||||||
463,345 | VFH Parent LLC, 2019 Term Loan B, 3.11% (1 mo. USD LIBOR + 3.00%), due 03/01/26(b) | 462,361 | ||||||||
851,799 | VICI Properties 1 LLC, Replacement Term Loan B, 1.86% (1 mo. USD LIBOR + 1.75%), due 12/20/24(b) | 843,104 | ||||||||
537,600 | Virgin Media Bristol LLC, 2020 USD Term Loan Q, TBD , due 01/31/29(g) | 537,408 | ||||||||
719,297 | Virgin Media Bristol LLC, USD Term Loan N, 2.61% (1 mo. USD LIBOR + 2.50%), due 01/31/28(b) | 713,861 | ||||||||
900,000 | Virgin Pulse, Inc., 2021 Term Loan, TBD , due 03/30/28(g) | 895,500 | ||||||||
243,615 | VS Buyer, LLC, Term Loan B, 3.11% (1 mo. USD LIBOR + 3.00%), due 02/28/27(b) | 243,310 | ||||||||
108,713 | Whatabrands LLC, 2020 Term Loan B, 2.86% (1 mo. USD LIBOR + 2.75%), due 07/31/26(b) | 108,246 | ||||||||
264,684 | William Morris Endeavor Entertainment, LLC, 2018 1st Lien Term Loan, 2.86% (1 mo. USD LIBOR plus 2.75%), due 05/18/25(b) | 250,209 | ||||||||
232,078 | William Morris Endeavor Entertainment, LLC, 2018 1st Lien Term Loan, 2.94% (3 mo. USD LIBOR + 2.75%), due 05/18/25(b) | 219,386 | ||||||||
1,087,692 | Windstream Services, LLC, 2020 Exit Term Loan B, 7.25% (1 mo. USD LIBOR + 6.25%), due 09/21/27(b) | 1,090,411 | ||||||||
518,368 | WP CityMD Bidco LLC, 2021 Term Loan B, 4.50% (3 mo. USD LIBOR + 3.75%), due 08/13/26(b) | 518,327 | ||||||||
1,085,436 | WP CPP Holdings, LLC, 2018 Term Loan, 4.75% (3 mo. USD LIBOR + 3.75%), due 04/30/25(b) | 1,058,843 | ||||||||
|
| |||||||||
116,378,520 | ||||||||||
|
| |||||||||
Convertible Debt — 1.8% | ||||||||||
120,000 | Alarm.com Holdings, Inc., 1.50%, due 01/15/26(i) 144A | 111,900 | ||||||||
1,730,000 | Apollo Commercial Real Estate Finance, Inc. REIT, 4.75%, due 08/23/22 | 1,740,899 | ||||||||
1,260,000 | Atlas Air Worldwide Holdings, Inc., 1.88%, due 06/01/24 | 1,504,944 | ||||||||
1,300,000 | Cheniere Energy, Inc., 4.25%, due 03/15/45 | 1,075,072 | ||||||||
1,700,000 | DISH Network Corp., 3.38%, due 08/15/26 | 1,638,460 | ||||||||
1,625,000 | DraftKings, Inc., 0.08%, due 03/15/28(i) 144A | 1,616,062 | ||||||||
745,000 | Ford Motor Co., 0.00%, due 03/15/26(i) 144A | 756,175 | ||||||||
76,000 | Gannett Co., Inc., 6.00%, due 12/01/27 | 100,400 | ||||||||
90,000 | GEO Corrections Holdings, Inc. REIT, 6.50%, due 02/23/26 144A | 94,431 | ||||||||
965,000 | JetBlue Airways Corp., 0.50%, due 04/01/26 144A | 1,065,167 | ||||||||
380,000 | Liberty Interactive LLC, 4.00%, due 11/15/29 | 292,600 | ||||||||
320,000 | Liberty Latin America, Ltd., 2.00%, due 07/15/24 | 316,653 | ||||||||
1,270,000 | MACOM Technology Solutions Holdings, Inc., 0.25%, due 03/15/26(j) 144A | 1,290,307 | ||||||||
575,000 | Palo Alto Networks, Inc., 3.75%, due 06/01/25 144A | 711,562 | ||||||||
805,000 | Rapid7, Inc., 0.25%, due 03/15/27 144A | 787,391 | ||||||||
285,000 | Snap, Inc., 0.75%, due 08/01/26 | 673,134 | ||||||||
400,000 | Sunrun, Inc., 2.19%, due 02/01/26(i) 144A | 361,271 | ||||||||
1,220,000 | TripAdvisor, Inc., 0.25%, due 04/01/26 144A | 1,284,050 | ||||||||
210,000 | Uber Technologies, Inc., 0.00%, due 12/15/25(i) 144A | 221,681 | ||||||||
|
| |||||||||
15,642,159 | ||||||||||
|
| |||||||||
Corporate Debt — 36.1% | ||||||||||
280,000 | AbbVie, Inc., 4.05%, due 11/21/39 | 312,989 |
See accompanying Notes to the Financial Statements.
126
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
290,000 | ABN AMRO Bank NV, 4.75%, due 07/28/25 144A | 325,118 | ||||||||
1,265,000 | Acwa Power Management And Investments One, Ltd., 5.95%, due 12/15/39 144A | 1,461,176 | ||||||||
370,000 | AdaptHealth LLC, 4.63%, due 08/01/29 144A | 368,613 | ||||||||
270,000 | AdaptHealth LLC, 6.13%, due 08/01/28 144A | 286,875 | ||||||||
245,000 | EUR | Adevinta ASA, 3.00%, due 11/15/27 144A | 298,173 | |||||||
1,040,000 | EUR | Adient Global Holdings, Ltd., Reg S, 3.50%, due 08/15/24(k) | 1,268,087 | |||||||
790,000 | Adtalem Global Education, Inc., 5.50%, due 03/01/28 144A | 781,950 | ||||||||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/23/23 | 155,559 | ||||||||
270,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, due 09/15/23 | 290,533 | ||||||||
250,000 | AES Corp. (The), 2.45%, due 01/15/31 144A | 239,043 | ||||||||
1,000,000 | AES Panama Generation Holdings SRL, 4.38%, due 05/31/30 144A | 1,036,550 | ||||||||
975,000 | Air Canada Pass Through Trust, 5.25%, due 10/01/30 144A | 1,050,042 | ||||||||
2,170,000 | Akbank TAS, 6.80%, due 02/06/26 144A | 2,170,933 | ||||||||
570,000 | Akumin, Inc., 7.00%, due 11/01/25 144A | 607,762 | ||||||||
4,040,000 | Alibaba Group Holding, Ltd., 3.15%, due 02/09/51 | 3,753,157 | ||||||||
280,000 | Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, due 02/15/28 144A | 296,057 | ||||||||
300,000 | Altice France Holding SA, 10.50%, due 05/15/27 144A | 338,348 | ||||||||
500,000 | Altice France SA, 7.38%, due 05/01/26 144A | 520,625 | ||||||||
26,000 | Altria Group, Inc., 4.40%, due 02/14/26 | 29,334 | ||||||||
52,000 | Altria Group, Inc., 4.80%, due 02/14/29 | 59,871 | ||||||||
650,000 | Altria Group, Inc., 5.95%, due 02/14/49 | 810,212 | ||||||||
6,650,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 331,663 | |||||||
1,100,000 | American Airlines, Inc., 11.75%, due 07/15/25 144A | 1,361,250 | ||||||||
2,205,000 | American Airlines, Inc/AAdvantage Loyalty IP, Ltd., 5.50%, due 04/20/26 144A | 2,301,469 | ||||||||
320,000 | American Airlines, Inc/AAdvantage Loyalty IP, Ltd., 5.75%, due 04/20/29 144A | 341,456 | ||||||||
220,000 | American Express Co., 4.05%, due 12/03/42 | 244,741 | ||||||||
725,248 | American News Co. LLC, 8.50% (8.50% Cash or 10.00% PIK), due 09/01/26 144A | 814,428 | ||||||||
445,000 | Anglo American Capital Plc, 2.88%, due 03/17/31 144A | 442,236 | ||||||||
295,000 | Anglo American Capital Plc, 3.95%, due 09/10/50 144A | 300,241 | ||||||||
200,000 | Anglo American Capital Plc, 4.00%, due 09/11/27 144A | 220,556 | ||||||||
685,000 | AngloGold Ashanti Holdings Plc, 3.75%, due 10/01/30 | 695,509 | ||||||||
170,000 | Anheuser-Busch InBev Worldwide, Inc., 5.55%, due 01/23/49 | 219,040 | ||||||||
30,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, due 01/23/59 | 40,668 | ||||||||
380,000 | Antares Holdings, LP, 3.95%, due 07/15/26 144A | 383,500 | ||||||||
10,000 | ArcelorMittal SA, 3.60%, due 07/16/24 | 10,539 | ||||||||
235,000 | ArcelorMittal SA, 7.25%, due 10/15/39(d) | 320,359 | ||||||||
970,000 | EUR | ARD Finance SA, Reg S, 5.00% (5.00% Cash or 5.75% PIK), due 06/30/27(k) | 1,168,307 | |||||||
280,000 | EUR | ARD Finance SA, 5.00% (5.00% Cash or 5.75% PIK), due 06/30/27 144A | 337,243 | |||||||
2,285,000 | Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance Plc, 4.00%, due 09/01/29(j) 144A | 2,282,144 | ||||||||
200,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 4.13%, due 08/15/26 144A | 205,560 | ||||||||
650,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 5.25%, due 04/30/25 144A | 684,014 | ||||||||
672,822 | Ardonagh Midco 2 Plc, 11.50% (11.50% Cash or 12.75% PIK), due 01/15/27 144A | 723,284 | ||||||||
557,000 | AT&T, Inc., 3.50%, due 09/15/53 144A | 513,230 | ||||||||
390,000 | Australia & New Zealand Banking Group, Ltd., 2.95% (5 yr. CMT + 1.29%), due 07/22/30(b) 144A | 403,556 | ||||||||
60,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 69,215 | ||||||||
320,000 | Aviation Capital Group LLC, 5.50%, due 12/15/24 144A | 358,069 | ||||||||
250,000 | Avolon Holdings Funding, Ltd., 4.25%, due 04/15/26 144A | 261,975 |
See accompanying Notes to the Financial Statements.
127
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
160,000 | Avolon Holdings Funding, Ltd., 5.13%, due 10/01/23 144A | 170,691 | ||||||||
490,000 | Baidu, Inc., 2.38%, due 10/09/30 | 474,585 | ||||||||
200,000 | EUR | Banco Bilbao Vizcaya Argentaria SA, Reg S, 5.88% (5 yr. EUR swap annual + 5.66%)(b) (k) (l) | 250,874 | |||||||
200,000 | Banco Bilbao Vizcaya Argentaria SA, 6.50% (5 yr. CMT + 5.19%)(b) (l) | 216,570 | ||||||||
690,000 | Banco Mercantil del Norte SA, 7.50% (10 yr. CMT + 5.47%)(b) (l) 144A | 756,361 | ||||||||
610,000 | Banco Mercantil del Norte SA, 7.63% (10 yr. CMT + 5.35%)(b) (l) 144A | 669,307 | ||||||||
400,000 | Banco Santander SA, 2.75%, due 12/03/30 | 380,890 | ||||||||
600,000 | Banco Santander SA, 2.96%, due 03/25/31 | 596,568 | ||||||||
425,000 | Banff Merger Sub, Inc., 9.75%, due 09/01/26 144A | 453,466 | ||||||||
1,530,000 | Bank of America Corp., 3.48% (SOFR + 1.65%), due 03/13/52(b) | 1,556,896 | ||||||||
1,235,000 | Barclays Plc, 3.81% (1 yr. CMT + 1.70%), due 03/10/42(b) | 1,209,783 | ||||||||
200,000 | Barclays Plc, 5.09% (3 mo. USD LIBOR + 3.05%), due 06/20/30(b) | 226,535 | ||||||||
535,000 | GBP | Barclays Plc, Reg S, 6.38% (5 yr. UK Government Bond + 6.02%)(b) (k) (l) | 811,873 | |||||||
1,005,000 | Barclays Plc, 8.00% (5 yr. CMT + 5.67%)(b) (l) | 1,116,026 | ||||||||
240,000 | EUR | Barclays Plc, (MTN), Reg S, 2.00% (5 yr. EUR swap annual + 1.90%), due 02/07/28(b) (k) | 289,528 | |||||||
420,000 | Bausch Health Americas, Inc., 8.50%, due 01/31/27 144A | 466,532 | ||||||||
90,000 | Bausch Health Americas, Inc., 9.25%, due 04/01/26 144A | 99,837 | ||||||||
30,000 | Bausch Health Cos., Inc., 9.00%, due 12/15/25 144A | 32,644 | ||||||||
500,000 | Bed Bath & Beyond, Inc., 5.17%, due 08/01/44 | 456,453 | ||||||||
1,432,000 | Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A | 1,388,145 | ||||||||
490,000 | BGC Partners, Inc., 4.38%, due 12/15/25 | 522,038 | ||||||||
945,000 | Blackstone Secured Lending Fund, 2.75%, due 09/16/26 144A | 939,638 | ||||||||
860,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, due 12/15/25 144A | 928,452 | ||||||||
1,285,000 | BNP Paribas SA, 4.50% (5 yr. CMT + 2.94%)(b) (j) (l) 144A | 1,269,098 | ||||||||
710,000 | Boeing Co. (The), 2.20%, due 02/04/26 | 707,984 | ||||||||
50,000 | Boeing Co. (The), 2.70%, due 02/01/27 | 50,795 | ||||||||
120,000 | Boeing Co. (The), 3.25%, due 02/01/35 | 115,260 | ||||||||
430,000 | Boeing Co. (The), 5.15%, due 05/01/30 | 495,091 | ||||||||
570,000 | Boeing Co. (The), 5.93%, due 05/01/60 | 731,071 | ||||||||
440,000 | Braskem Netherlands Finance BV, 4.50%, due 01/10/28 144A | 452,808 | ||||||||
1,735,000 | Brighthouse Financial, Inc., 4.70%, due 06/22/47 | 1,778,403 | ||||||||
685,000 | Caesars Entertainment, Inc., 8.13%, due 07/01/27 144A | 756,586 | ||||||||
425,000 | EUR | CANPACK SA/Eastern PA Land Investment Holding LLC, 2.38%, due 11/01/27 144A | 507,757 | |||||||
430,000 | Carnival Corp., 9.88%, due 08/01/27 144A | 506,815 | ||||||||
540,000 | Carriage Services, Inc., 6.63%, due 06/01/26 144A | 568,922 | ||||||||
485,000 | Carvana Co., 5.63%, due 10/01/25 144A | 498,143 | ||||||||
120,000 | Carvana Co., 5.88%, due 10/01/28 144A | 123,150 | ||||||||
545,000 | EUR | Catalent Pharma Solutions, Inc., Reg S, 2.38%, due 03/01/28(k) | 639,805 | |||||||
765,000 | EUR | Catalent Pharma Solutions, Inc., 2.38%, due 03/01/28 144A | 898,075 | |||||||
355,000 | Caterpillar, Inc., 3.25%, due 04/09/50 | 362,242 | ||||||||
2,210,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 05/01/32 144A | 2,240,387 | ||||||||
245,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 03/01/30 144A | 254,188 | ||||||||
140,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, due 02/01/28 144A | 148,211 | ||||||||
570,000 | Celulosa Arauco y Constitucion SA, 5.15%, due 01/29/50(j) 144A | 637,374 | ||||||||
480,000 | Cemex SAB de CV, 3.88%, due 07/11/31 144A | 469,464 | ||||||||
1,255,000 | Cemex SAB de CV, 5.20%, due 09/17/30 144A | 1,361,982 | ||||||||
1,955,000 | Cemex SAB de CV, 7.38%, due 06/05/27 144A | 2,216,481 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
150,000 | Cenovus Energy, Inc., 5.38%, due 07/15/25 | 168,636 | ||||||||
250,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, due 07/01/49 | 280,944 | ||||||||
280,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 04/01/38 | 331,219 | ||||||||
500,000 | Cheplapharm Arzneimittel GmbH, 5.50%, due 01/15/28 144A | 520,010 | ||||||||
185,000 | Chevron Corp., 3.08%, due 05/11/50 | 176,769 | ||||||||
880,000 | CHS/Community Health Systems, Inc., 6.88%, due 04/15/29 144A | 920,920 | ||||||||
200,000 | CHS/Community Health Systems, Inc., 8.13%, due 06/30/24 144A | 209,500 | ||||||||
280,000 | Cigna Corp., 4.80%, due 08/15/38 | 334,558 | ||||||||
770,000 | EUR | Cirsa Finance International SARL, Reg S, 6.25%, due 12/20/23(k) | 920,332 | |||||||
110,000 | Citigroup, Inc., 4.65%, due 07/30/45 | 131,437 | ||||||||
97,000 | Citigroup, Inc., 5.30%, due 05/06/44 | 122,624 | ||||||||
170,000 | Citigroup, Inc., 6.30% (3 mo. USD LIBOR + 3.42%)(b) (l) | 181,018 | ||||||||
272,000 | Clear Channel Worldwide Holdings, Inc., 9.25%, due 02/15/24 | 283,472 | ||||||||
635,000 | Colombia Telecomunicaciones SA ESP, 4.95%, due 07/17/30 144A | 669,998 | ||||||||
380,000 | Comcast Corp., 4.25%, due 10/15/30 | 436,668 | ||||||||
780,000 | Commercial Metals Co., 3.88%, due 02/15/31 | 766,514 | ||||||||
1,600,000 | EUR | Commerzbank AG, Reg S, 6.13% (5 yr. EUR swap annual + 6.36%)(b) (k) (l) | 2,016,050 | |||||||
226,000 | CommScope Technologies LLC, 6.00%, due 06/15/25 144A | 230,836 | ||||||||
770,000 | CommScope, Inc., 8.25%, due 03/01/27 144A | 824,866 | ||||||||
400,000 | EUR | Cooperatieve Rabobank UA, Reg S, 4.63% (5 yr. EUR swap annual + 4.10%)(b) (k) (l) | 515,226 | |||||||
280,000 | CoreCivic, Inc. REIT, 4.63%, due 05/01/23(j) | 276,500 | ||||||||
220,000 | Cornerstone Building Brands, Inc., 6.13%, due 01/15/29 144A | 234,713 | ||||||||
290,000 | CP Atlas Buyer, Inc., 7.00%, due 12/01/28 144A | 305,348 | ||||||||
455,000 | Credit Agricole SA, 3.25%, due 01/14/30 144A | 467,962 | ||||||||
190,000 | EUR | Credit Agricole SA, Reg S, 6.50% (5 yr. EUR swap annual + 5.12%)(b) (k) (l) | 226,408 | |||||||
375,000 | Credit Agricole SA, 7.88% (5 yr. USD swap + 4.90%)(b) (l) 144A | 421,641 | ||||||||
380,000 | Credit Agricole SA, 8.13% (5 yr. USD swap + 6.19%)(b) (l) 144A | 459,087 | ||||||||
1,015,000 | Credit Suisse Group AG, 4.50% (5 yr. CMT + 3.55%)(b) (j) (l) 144A | 949,025 | ||||||||
265,000 | Credit Suisse Group AG, 7.25% (5 yr. USD ICE swap + 4.33%)(b) (l) 144A | 287,656 | ||||||||
200,000 | Credit Suisse Group AG, 7.50% (5 yr. USD swap + 4.60%)(b) (l) 144A | 211,972 | ||||||||
240,000 | Crown Castle International Corp. REIT, 3.30%, due 07/01/30 | 250,961 | ||||||||
610,000 | CSC Holdings LLC, 6.50%, due 02/01/29 144A | 675,194 | ||||||||
170,000 | CVS Health Corp., 4.78%, due 03/25/38 | 201,032 | ||||||||
90,000 | CVS Health Corp., 5.05%, due 03/25/48 | 110,314 | ||||||||
100,000 | EUR | CyrusOne, LP/CyrusOne Finance Corp. REIT, 1.45%, due 01/22/27 | 118,612 | |||||||
30,000 | DCP Midstream Operating, LP, 5.63%, due 07/15/27 | 32,600 | ||||||||
130,000 | DCP Midstream Operating, LP, 6.75%, due 09/15/37 144A | 145,763 | ||||||||
440,000 | Dell International LLC/EMC Corp., 6.20%, due 07/15/30 144A | 546,588 | ||||||||
1,350,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 144A | 2,053,235 | ||||||||
640,000 | Delta Air Lines, Inc., 7.00%, due 05/01/25 144A | 737,527 | ||||||||
1,050,000 | Delta Air Lines, Inc., 7.38%, due 01/15/26 | 1,233,638 | ||||||||
30,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, due 10/20/28 144A | 32,633 | ||||||||
660,000 | Deutsche Bank AG, 3.73% (SOFR + 2.76%), due 01/14/32(b) | 643,093 | ||||||||
400,000 | Deutsche Bank AG, Reg S, 4.79% (5 yr. USD swap + 4.36%)(b) (k) (l) | 382,360 | ||||||||
2,200,000 | Deutsche Bank AG, 6.00% (5 yr. CMT + 4.52%)(b) (l) | 2,238,500 | ||||||||
400,000 | Deutsche Bank AG, 7.50% (5 yr. USD swap + 5.00%)(b) (j) (l) | 434,000 | ||||||||
130,000 | Diamondback Energy, Inc., 3.50%, due 12/01/29 | 134,931 |
See accompanying Notes to the Financial Statements.
129
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
620,000 | DISH DBS Corp., 7.75%, due 07/01/26(j) | 683,714 | ||||||||
160,000 | Diversified Healthcare Trust REIT, 4.38%, due 03/01/31 | 156,373 | ||||||||
240,000 | Diversified Healthcare Trust REIT, 4.75%, due 02/15/28 | 237,300 | ||||||||
350,000 | Diversified Healthcare Trust REIT, 9.75%, due 06/15/25 | 396,638 | ||||||||
1,170,000 | Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, due 12/15/25 144A | 1,251,426 | ||||||||
490,000 | Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, due 02/15/23 144A | 508,936 | ||||||||
540,000 | DP World Plc, 5.63%, due 09/25/48 144A | 635,157 | ||||||||
1,215,000 | DP World Plc, (MTN), Reg S, 5.63%, due 09/25/48(k) | 1,429,104 | ||||||||
295,000 | eBay, Inc., 4.00%, due 07/15/42 | 311,428 | ||||||||
500,000 | Empire Communities Corp., 7.00%, due 12/15/25 144A | 528,125 | ||||||||
1,160,000 | ENA Master Trust, 4.00%, due 05/19/48 144A | 1,180,010 | ||||||||
710,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 751,052 | ||||||||
240,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 6.63%, due 07/15/25 144A | 256,872 | ||||||||
520,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, due 07/31/27 144A | 565,825 | ||||||||
600,000 | Endo Luxembourg Finance Co. I SARL/Endo US, Inc., 6.13%, due 04/01/29 144A | 606,882 | ||||||||
980,000 | Energean Israel Finance, Ltd., 5.88%, due 03/30/31 144A | 980,000 | ||||||||
50,000 | Energy Transfer Operating, LP, 6.25%, due 04/15/49 | 58,670 | ||||||||
205,000 | Enstar Group, Ltd., 4.95%, due 06/01/29 | 229,754 | ||||||||
330,000 | Entegris, Inc., 4.38%, due 04/15/28 144A | 341,105 | ||||||||
290,000 | Enterprise Products Operating LLC, 3.70%, due 01/31/51 | 285,127 | ||||||||
160,000 | Enterprise Products Operating LLC, 3.95%, due 01/31/60 | 160,221 | ||||||||
265,000 | EPR Properties REIT, 3.75%, due 08/15/29 | 251,041 | ||||||||
150,000 | EQM Midstream Partners, LP, 6.00%, due 07/01/25 144A | 161,625 | ||||||||
140,000 | EQM Midstream Partners, LP, 6.50%, due 07/01/27 144A | 152,413 | ||||||||
810,000 | EQT Corp., 3.90%, due 10/01/27 | 828,468 | ||||||||
180,000 | EQT Corp., 8.50%, due 02/01/30(d) | 229,779 | ||||||||
270,000 | Finance of America Funding LLC, 7.88%, due 11/15/25 144A | 280,638 | ||||||||
610,000 | First Quantum Minerals, Ltd., 6.50%, due 03/01/24 144A | 620,294 | ||||||||
735,000 | First Quantum Minerals, Ltd., 6.88%, due 03/01/26 144A | 762,103 | ||||||||
560,000 | First Quantum Minerals, Ltd., 6.88%, due 10/15/27 144A | 601,300 | ||||||||
1,710,000 | First Quantum Minerals, Ltd., 7.25%, due 04/01/23 144A | 1,742,533 | ||||||||
330,000 | FirstEnergy Corp., 2.25%, due 09/01/30 | 306,459 | ||||||||
130,000 | FirstEnergy Corp., 7.38%, due 11/15/31 | 174,043 | ||||||||
730,000 | Five Point Operating Co., LP/Five Point Capital Corp., 7.88%, due 11/15/25 144A | 764,310 | ||||||||
650,000 | Ford Motor Co., 8.50%, due 04/21/23 | 725,562 | ||||||||
865,000 | Ford Motor Co., 9.00%, due 04/22/25 | 1,048,726 | ||||||||
390,000 | Ford Motor Credit Co. LLC, 2.90%, due 02/16/28 | 375,180 | ||||||||
330,000 | Ford Motor Credit Co. LLC, 4.00%, due 11/13/30 | 327,769 | ||||||||
200,000 | Ford Motor Credit Co. LLC, 5.13%, due 06/16/25 | 216,046 | ||||||||
200,000 | Fox Corp., 5.48%, due 01/25/39 | 249,227 | ||||||||
455,000 | Freeport-McMoRan, Inc., 4.63%, due 08/01/30(j) | 495,950 | ||||||||
320,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 384,800 | ||||||||
320,000 | Frontier Communications Corp., 5.88%, due 10/15/27 144A | 339,800 | ||||||||
330,000 | Frontier Communications Corp., 6.75%, due 05/01/29 144A | 348,670 | ||||||||
570,000 | Gartner, Inc., 3.75%, due 10/01/30 144A | 565,012 | ||||||||
590,000 | Gazprom PJSC Via Gaz Capital SA, 4.95%, due 03/23/27 144A | 647,387 |
See accompanying Notes to the Financial Statements.
130
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,200,000 | GEMS MENASA Cayman, Ltd./GEMS Education Delaware LLC, 7.13%, due 07/31/26 144A | 1,254,474 | ||||||||
750,000 | General Electric Co., (MTN), 6.88%, due 01/10/39 | 1,053,715 | ||||||||
155,000 | General Motors Co., 5.20%, due 04/01/45 | 177,783 | ||||||||
150,000 | General Motors Co., 6.13%, due 10/01/25 | 176,493 | ||||||||
70,000 | GEO Group, Inc. (The) REIT, 5.13%, due 04/01/23 | 61,775 | ||||||||
740,000 | GEO Group, Inc. (The) REIT, 5.88%, due 10/15/24 | 592,462 | ||||||||
200,000 | GEO Group, Inc. (The) REIT, 6.00%, due 04/15/26(j) | 144,000 | ||||||||
700,000 | GFL Environmental, Inc., 3.75%, due 08/01/25 144A | 711,812 | ||||||||
200,000 | GFL Environmental, Inc., 5.13%, due 12/15/26 144A | 211,020 | ||||||||
184,000 | GFL Environmental, Inc., 8.50%, due 05/01/27 144A | 202,975 | ||||||||
160,000 | Glencore Funding LLC, 4.00%, due 03/27/27 144A | 176,657 | ||||||||
1,216,194 | Global Aircraft Leasing Co., Ltd., 6.50% (6.50% Cash or 7.25% PIK), due 09/15/24 144A | 1,167,850 | ||||||||
280,000 | Global Atlantic Fin Co., 4.40%, due 10/15/29 144A | 295,340 | ||||||||
2,555,000 | Gold Fields Orogen Holdings BVI, Ltd., 6.13%, due 05/15/29 144A | 3,002,125 | ||||||||
190,000 | Goldman Sachs Group, Inc. (The), 5.15%, due 05/22/45 | 237,855 | ||||||||
810,000 | Granite US Holdings Corp., 11.00%, due 10/01/27(j) 144A | 915,300 | ||||||||
595,000 | Gray Television, Inc., 4.75%, due 10/15/30 144A | 590,909 | ||||||||
580,000 | H&E Equipment Services, Inc., 3.88%, due 12/15/28 144A | 564,775 | ||||||||
420,000 | Hawaiian Brand Intellectual Property, Ltd./HawaiianMiles Loyalty, Ltd., 5.75%, due 01/20/26 144A | 446,901 | ||||||||
500,000 | HCA, Inc., 3.50%, due 09/01/30 | 506,350 | ||||||||
80,000 | Healthpeak Properties, Inc. REIT, 3.50%, due 07/15/29 | 85,822 | ||||||||
125,000 | Hess Midstream Operations, LP, 5.13%, due 06/15/28 144A | 126,688 | ||||||||
1,340,000 | Hess Midstream Operations, LP, 5.63%, due 02/15/26 144A | 1,387,302 | ||||||||
975,000 | Hexion, Inc., 7.88%, due 07/15/27 144A | 1,050,197 | ||||||||
50,000 | Hill-Rom Holdings, Inc., 4.38%, due 09/15/27 144A | 51,625 | ||||||||
1,235,000 | HSBC Holdings Plc, 4.60% (5 yr. CMT + 3.65%)(b) (l) | 1,222,341 | ||||||||
250,000 | EUR | HSBC Holdings Plc, Reg S, 5.25% (5 yr. EUR swap annual + 4.38%)(b) (k) (l) | 308,275 | |||||||
1,340,000 | HTA Group, Ltd., 7.00%, due 12/18/25 144A | 1,428,373 | ||||||||
260,000 | Hudbay Minerals, Inc., 4.50%, due 04/01/26 144A | 270,546 | ||||||||
610,000 | Hudbay Minerals, Inc., 6.13%, due 04/01/29(j) 144A | 652,700 | ||||||||
280,000 | iHeartCommunications, Inc., 4.75%, due 01/15/28 144A | 282,573 | ||||||||
320,000 | iHeartCommunications, Inc., 5.25%, due 08/15/27 144A | 329,696 | ||||||||
145,000 | iHeartCommunications, Inc., 6.38%, due 05/01/26 | 154,153 | ||||||||
590,000 | iHeartCommunications, Inc., 8.38%, due 05/01/27 | 634,250 | ||||||||
740,000 | IHS Netherlands Holdco BV, Reg S, 8.00%, due 09/18/27(k) | 801,050 | ||||||||
1,500,000 | IHS Netherlands Holdco BV, 7.13%, due 03/18/25(j) 144A | 1,576,875 | ||||||||
3,120,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A | 3,377,400 | ||||||||
810,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 07/01/28 144A | 912,505 | ||||||||
415,000 | Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A | 444,608 | ||||||||
350,000 | Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A | 392,426 | ||||||||
590,000 | Intesa Sanpaolo SpA, 7.70% (5 yr. USD swap + 5.46%)(b) (l) 144A | 671,125 | ||||||||
3,150,000 | Itau Unibanco Holding SA, 3.88% (5 yr. CMT + 3.45%), due 04/15/31(b) 144A | 3,063,076 | ||||||||
2,499,000 | Itau Unibanco Holding SA, 4.63% (5 yr. CMT + 3.22%)(b) (j) (l) 144A | 2,344,562 | ||||||||
1,880,000 | JetBlue Pass Through Trust, 7.75%, due 05/15/30 | 2,147,713 | ||||||||
612,968 | K2016470219 South Africa, Ltd., 3.00% (3.00% Cash or PIK), due 12/31/22(e) | 2,084 | ||||||||
198,302 | K2016470260 South Africa, Ltd., 25.00% (25.00% Cash or PIK), due 12/31/22(e) | 7,436 |
See accompanying Notes to the Financial Statements.
131
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
660,000 | KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A | 753,982 | ||||||||
590,000 | KazTransGas JSC, 4.38%, due 09/26/27 144A | 659,241 | ||||||||
1,770,000 | Kenbourne Invest SA, 4.70%, due 01/22/28(j) 144A | 1,823,985 | ||||||||
915,000 | Kernel Holding SA, 6.75%, due 10/27/27 144A | 979,851 | ||||||||
2,155,000 | Klabin Austria GmbH, 3.20%, due 01/12/31 144A | 2,048,662 | ||||||||
1,005,000 | Kosmos Energy, Ltd., 7.13%, due 04/04/26(j) 144A | 976,900 | ||||||||
20,000 | Kraft Heinz Foods Co., 3.88%, due 05/15/27 | 21,894 | ||||||||
60,000 | Kraft Heinz Foods Co., 4.25%, due 03/01/31 | 66,156 | ||||||||
330,000 | Kraft Heinz Foods Co., 4.88%, due 10/01/49 | 369,989 | ||||||||
420,000 | Kraft Heinz Foods Co., 5.20%, due 07/15/45 | 485,584 | ||||||||
600,000 | L Brands, Inc., 5.25%, due 02/01/28 | 644,625 | ||||||||
520,000 | L Brands, Inc., 6.63%, due 10/01/30 144A | 590,200 | ||||||||
30,000 | Las Vegas Sands Corp., 3.20%, due 08/08/24 | 31,296 | ||||||||
425,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 473,582 | ||||||||
265,000 | LBM Acquisition LLC, 6.25%, due 01/15/29 144A | 273,281 | ||||||||
380,000 | LD Holdings Group LLC, 6.13%, due 04/01/28 144A | 387,372 | ||||||||
650,000 | Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, due 02/01/26 144A | 662,187 | ||||||||
35,000 | Lennar Corp., 4.50%, due 04/30/24 | 38,138 | ||||||||
120,000 | Lennar Corp., 4.75%, due 11/15/22(d) | 126,117 | ||||||||
560,000 | Lennar Corp., 4.88%, due 12/15/23 | 612,405 | ||||||||
885,000 | Leviathan Bond, Ltd., Reg S, 6.13%, due 06/30/25(k) 144A | 960,800 | ||||||||
1,465,000 | Leviathan Bond, Ltd., Reg S, 6.50%, due 06/30/27(k) 144A | 1,606,960 | ||||||||
320,000 | Liberty Interactive LLC, 8.50%, due 07/15/29 | 365,939 | ||||||||
1,590,000 | Liberty Mutual Group, Inc., 4.30%, due 02/01/61 144A | 1,431,552 | ||||||||
1,340,000 | Liquid Telecommunications Financing Plc, 5.50%, due 09/04/26(j) 144A | 1,413,700 | ||||||||
250,000 | EUR | Lloyds Banking Group Plc, Reg S, 4.95% (5 yr. EURIBOR + 5.29%)(b) (k) (l) | 320,140 | |||||||
400,000 | Lukoil International Finance BV, 4.75%, due 11/02/26 144A | 442,232 | ||||||||
1,575,000 | Macquarie Bank, Ltd., 3.05% (5 yr. CMT + 1.70%), due 03/03/36(b) 144A | 1,508,975 | ||||||||
1,085,000 | Macy’s, Inc., 8.38%, due 06/15/25 144A | 1,202,885 | ||||||||
1,270,000 | MAF Global Securities, Ltd., Reg S, 5.50% (5 yr. USD swap + 3.48%)(b) (k) (l) | 1,291,307 | ||||||||
605,000 | MAF Sukuk, Ltd., Reg S, 4.64%, due 05/14/29(k) | 673,980 | ||||||||
410,000 | Marriott International, Inc., 2.85%, due 04/15/31 | 403,245 | ||||||||
200,000 | Mastercard, Inc., 1.90%, due 03/15/31 | 196,694 | ||||||||
200,000 | MDC Holdings, Inc., 6.00%, due 01/15/43 | 252,800 | ||||||||
440,000 | MEG Energy Corp., 5.88%, due 02/01/29 144A | 442,200 | ||||||||
230,000 | MEG Energy Corp., 6.50%, due 01/15/25 144A | 237,866 | ||||||||
210,000 | MEG Energy Corp., 7.13%, due 02/01/27 144A | 220,369 | ||||||||
620,000 | MEGlobal Canada ULC, 5.88%, due 05/18/30 144A | 750,082 | ||||||||
690,000 | Meituan, 3.05%, due 10/28/30 144A | 672,358 | ||||||||
320,000 | Melco Resorts Finance, Ltd., 5.38%, due 12/04/29 144A | 340,733 | ||||||||
800,000 | MercadoLibre, Inc., 3.13%, due 01/14/31(j) | 763,136 | ||||||||
150,000 | Mercer International, Inc., 5.13%, due 02/01/29 144A | 155,588 | ||||||||
2,102,000 | Meredith Corp., 6.88%, due 02/01/26(j) | 2,158,491 | ||||||||
230,000 | Michaels Stores, Inc., 8.00%, due 07/15/27 144A | 254,539 | ||||||||
970,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, due 06/20/27 144A | 1,063,362 | ||||||||
2,115,000 | Millicom International Cellular SA, 6.25%, due 03/25/29 144A | 2,356,353 | ||||||||
243,000 | Millicom International Cellular SA, 6.63%, due 10/15/26 144A | 259,513 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
170,000 | Minerals Technologies, Inc., 5.00%, due 07/01/28 144A | 175,738 | ||||||||
490,000 | MPH Acquisition Holdings LLC, 5.75%, due 11/01/28(j) 144A | 481,106 | ||||||||
160,000 | GBP | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.69%, due 06/05/28 | 230,496 | |||||||
500,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.00%, due 10/15/27 | 526,890 | ||||||||
295,000 | Mylan, Inc., 5.40%, due 11/29/43 | 346,681 | ||||||||
400,000 | Nationstar Mortgage Holdings, Inc., 5.50%, due 08/15/28 144A | 402,370 | ||||||||
245,000 | Natwest Group Plc, 4.27% (3 mo. USD LIBOR + 1.76%), due 03/22/25(b) | 267,497 | ||||||||
1,120,000 | GBP | Natwest Group Plc, 4.50% (5 yr. UK Government Bond + 3.99%)(b) (l) | 1,544,569 | |||||||
235,000 | NBM US Holdings, Inc., 7.00%, due 05/14/26(j) 144A | 253,191 | ||||||||
470,000 | NCL Corp., Ltd., 10.25%, due 02/01/26 144A | 552,626 | ||||||||
700,000 | NCL Corp., Ltd., 12.25%, due 05/15/24 144A | 848,225 | ||||||||
740,000 | NCR Corp., 5.13%, due 04/15/29(c) 144A | 749,772 | ||||||||
110,000 | EUR | Netflix, Inc., Reg S, 3.88%, due 11/15/29(k) | 154,389 | |||||||
665,000 | EUR | Netflix, Inc., Reg S, 3.63%, due 06/15/30(k) | 916,587 | |||||||
175,000 | EUR | Netflix, Inc., 3.88%, due 11/15/29 144A | 245,619 | |||||||
680,000 | Netflix, Inc., 6.38%, due 05/15/29 | 844,050 | ||||||||
500,000 | Newell Brands, Inc., 4.70%, due 04/01/26(d) | 553,645 | ||||||||
210,000 | Newell Brands, Inc., 4.88%, due 06/01/25 | 232,050 | ||||||||
1,635,000 | Nexstar Broadcasting, Inc., 5.63%, due 07/15/27 144A | 1,721,328 | ||||||||
390,000 | NGPL PipeCo LLC, 7.77%, due 12/15/37 144A | 517,894 | ||||||||
1,355,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.88%, due 10/01/30 144A | 1,465,941 | ||||||||
470,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, due 04/01/26 144A | 479,987 | ||||||||
420,000 | NMI Holdings, Inc., 7.38%, due 06/01/25 144A | 485,190 | ||||||||
690,000 | Nordstrom, Inc., 4.25%, due 08/01/31(c) 144A | 690,845 | ||||||||
230,000 | Northern Oil and Gas, Inc., 8.13%, due 03/01/28 144A | 229,109 | ||||||||
400,000 | Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22(e) (h) | 120 | ||||||||
160,000 | EUR | Novelis Sheet Ingot GmbH, 3.38%, due 04/15/29 144A | 194,146 | |||||||
430,000 | NRG Energy, Inc., 3.63%, due 02/15/31 144A | 420,056 | ||||||||
420,000 | Occidental Petroleum Corp., 4.40%, due 04/15/46 | 356,666 | ||||||||
90,000 | Occidental Petroleum Corp., 6.13%, due 01/01/31(j) | 99,547 | ||||||||
1,380,000 | Occidental Petroleum Corp., 7.15%, due 05/15/28 | 1,509,375 | ||||||||
130,000 | Occidental Petroleum Corp., 7.20%, due 03/15/29 | 143,000 | ||||||||
2,530,000 | OCP SA, 6.88%, due 04/25/44 144A | 2,954,413 | ||||||||
1,275,000 | OI European Group BV, 4.00%, due 03/15/23 144A | 1,310,859 | ||||||||
655,000 | Oleoducto Central SA, 4.00%, due 07/14/27 144A | 694,415 | ||||||||
245,000 | OneMain Finance Corp., 5.38%, due 11/15/29 | 261,231 | ||||||||
610,000 | ONEOK, Inc., 4.50%, due 03/15/50 | 611,314 | ||||||||
400,000 | ONEOK, Inc., 7.15%, due 01/15/51 | 530,426 | ||||||||
950,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, due 03/15/30 144A | 915,562 | ||||||||
790,000 | Oversea-Chinese Banking Corp., Ltd., (MTN), Reg S, 4.25%, due 06/19/24(k) | 864,062 | ||||||||
1,405,000 | Oztel Holdings SPC, Ltd., 5.63%, due 10/24/23 144A | 1,491,363 | ||||||||
90,000 | Park Aerospace Holdings, Ltd., 4.50%, due 03/15/23 144A | 94,034 | ||||||||
180,000 | Park-Ohio Industries, Inc., 6.63%, due 04/15/27 | 182,250 | ||||||||
250,000 | Parsley Energy LLC/Parsley Finance Corp., 5.63%, due 10/15/27 144A | 271,563 | ||||||||
260,000 | Pattern Energy Operations, LP/Pattern Energy Operations, Inc., 4.50%, due 08/15/28 144A | 264,713 | ||||||||
530,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.25%, due 05/15/25 144A | 541,183 | ||||||||
1,510,000 | Petrobras Global Finance BV, 5.30%, due 01/27/25(j) | 1,670,800 | ||||||||
450,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15(m) | 464,625 |
See accompanying Notes to the Financial Statements.
133
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
290,000 | Petroleos Mexicanos, 6.84%, due 01/23/30 | 294,859 | ||||||||
1,210,000 | Petroleos Mexicanos, 6.88%, due 10/16/25(j) 144A | 1,314,623 | ||||||||
7,056,900 | MXN | Petroleos Mexicanos, (GDN), Reg S, 7.19%, due 09/12/24(k) | 323,938 | |||||||
980,000 | PetSmart, Inc./PetSmart Finance Corp., 4.75%, due 02/15/28 144A | 1,005,539 | ||||||||
765,000 | PetSmart, Inc./PetSmart Finance Corp., 7.75%, due 02/15/29 144A | 832,205 | ||||||||
280,000 | Playtika Holding Corp., 4.25%, due 03/15/29 144A | 276,381 | ||||||||
105,000 | EUR | PLT VII Finance SARL, 4.63%, due 01/05/26 144A | 128,673 | |||||||
880,000 | PM General Purchaser LLC, 9.50%, due 10/01/28 144A | 940,500 | ||||||||
885,000 | EUR | PPF Telecom Group BV, (MTN), Reg S, 3.13%, due 03/27/26(k) | 1,105,887 | |||||||
570,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 3.38%, due 08/31/27 144A | 553,612 | ||||||||
100,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, due 04/15/26 144A | 108,048 | ||||||||
110,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 114,664 | ||||||||
280,000 | Prosperous Ray, Ltd., Reg S, 4.63%, due 11/12/23(k) | 303,582 | ||||||||
1,010,000 | Prosus NV, 4.03%, due 08/03/50 144A | 917,516 | ||||||||
680,000 | Prosus NV, 4.85%, due 07/06/27 144A | 763,283 | ||||||||
420,000 | QVC, Inc., 5.45%, due 08/15/34 | 421,050 | ||||||||
520,000 | Rackspace Technology Global, Inc., 3.50%, due 02/15/28 144A | 501,098 | ||||||||
575,000 | Radian Group, Inc., 6.63%, due 03/15/25 | 645,340 | ||||||||
230,000 | Radiology Partners, Inc., 9.25%, due 02/01/28 144A | 250,988 | ||||||||
635,000 | Range Resources Corp., 4.88%, due 05/15/25(j) | 629,050 | ||||||||
350,000 | Range Resources Corp., 5.00%, due 08/15/22 | 357,070 | ||||||||
507,000 | Range Resources Corp., 5.88%, due 07/01/22 | 511,753 | ||||||||
310,000 | Range Resources Corp., 8.25%, due 01/15/29 144A | 332,281 | ||||||||
1,220,000 | Range Resources Corp., 9.25%, due 02/01/26 | 1,327,079 | ||||||||
410,000 | Raytheon Technologies Corp., 3.13%, due 07/01/50 | 396,606 | ||||||||
1,320,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, due 01/15/29 144A | 1,303,500 | ||||||||
220,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, due 06/15/25 144A | 240,529 | ||||||||
370,000 | Rent-A-Center, Inc, 6.38%, due 02/15/29 144A | 393,125 | ||||||||
150,000 | Royal Caribbean Cruises, Ltd., 5.50%, due 04/01/28 144A | 151,050 | ||||||||
80,000 | Royal Caribbean Cruises, Ltd., 11.50%, due 06/01/25 144A | 93,400 | ||||||||
206,000 | RR Donnelley & Sons Co., 8.25%, due 07/01/27 | 243,466 | ||||||||
1,265,000 | Rumo Luxembourg SARL, 5.25%, due 01/10/28 144A | 1,331,412 | ||||||||
590,000 | GBP | Saga Plc, Reg S, 3.38%, due 05/12/24(k) | 773,315 | |||||||
200,000 | Sands China, Ltd., 5.13%, due 08/08/25 | 224,073 | ||||||||
1,535,000 | Santander UK Group Holdings Plc, 2.90% (SOFR + 1.48%), due 03/15/32(b) | 1,529,190 | ||||||||
420,000 | Sasol Financing USA LLC, 4.38%, due 09/18/26 | 429,513 | ||||||||
2,885,000 | Sasol Financing USA LLC, 5.50%, due 03/18/31 | 2,834,512 | ||||||||
1,450,000 | SASOL Financing USA LLC, 6.50%, due 09/27/28 | 1,563,100 | ||||||||
985,000 | Saudi Arabian Oil Co., 3.25%, due 11/24/50 144A | 890,165 | ||||||||
410,000 | Scientific Games International, Inc., 7.00%, due 05/15/28 144A | 438,823 | ||||||||
340,000 | Seagate HDD Cayman, 4.09%, due 06/01/29 144A | 347,106 | ||||||||
321,000 | Seagate HDD Cayman, 4.88%, due 06/01/27 | 353,301 | ||||||||
360,000 | Sensata Technologies BV, 4.00%, due 04/15/29 144A | 366,491 | ||||||||
590,000 | Service Properties Trust REIT, 5.50%, due 12/15/27 | 624,243 | ||||||||
470,000 | Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, due 11/01/26 144A | 489,975 | ||||||||
790,000 | Silversea Cruise Finance, Ltd., 7.25%, due 02/01/25 144A | 819,131 | ||||||||
480,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, due 03/01/29 144A | 484,810 | ||||||||
3,090,000 | Sinopec Group Overseas Development 2018, Ltd., 3.10%, due 01/08/51(j) 144A | 2,841,173 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,495,000 | Societe Generale SA, 3.63%, due 03/01/41(e) | 1,438,081 | ||||||||
505,000 | Societe Generale SA, 7.38% (5 yr. USD swap + 4.30%)(b) (j) (l) 144A | 546,382 | ||||||||
265,000 | EUR | Sofima Holding SpA, 3.75%, due 01/15/28 144A | 313,954 | |||||||
780,000 | Spirit Loyalty Cayman, Ltd./Spirit IP Cayman, Ltd., 8.00%, due 09/20/25 144A | 883,284 | ||||||||
640,000 | SRM Escrow Issuer LLC, 6.00%, due 11/01/28 144A | 671,920 | ||||||||
520,000 | Standard Chartered Plc, 4.75% (5 yr. CMT + 3.81%)(b) (j) (l) 144A | 518,505 | ||||||||
470,000 | Standard Chartered Plc, 6.00% (5 yr. CMT + 5.66%)(b) (l) 144A | 511,759 | ||||||||
380,000 | Standard Chartered Plc, 7.75% (5 yr. USD swap + 5.72%)(b) (j) (l) 144A | 412,011 | ||||||||
750,000 | Studio City Finance, Ltd., 5.00%, due 01/15/29 144A | 753,712 | ||||||||
653,263 | EUR | Summer BC Holdco A SARL, Reg S, 9.25%, due 10/31/27(k) | 828,281 | |||||||
1,310,000 | EUR | Summer BC Holdco B SARL, Reg S, 5.75%, due 10/31/26(k) | 1,625,477 | |||||||
220,000 | EUR | Summer BC Holdco B SARL, 5.75%, due 10/31/26 144A | 272,981 | |||||||
100,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.25%, due 01/15/29 144A | 104,724 | ||||||||
240,000 | Superior Plus, LP/Superior General Partner, Inc., 4.50%, due 03/15/29 144A | 243,048 | ||||||||
240,000 | Suzano Austria GmbH, 3.75%, due 01/15/31 | 248,536 | ||||||||
260,000 | Suzano Austria GmbH, Reg S, 5.75%, due 07/14/26(k) | 306,340 | ||||||||
630,000 | Suzano Austria GmbH, 6.00%, due 01/15/29 | 742,931 | ||||||||
1,190,000 | Suzano Austria GmbH, Reg S, 7.00%, due 03/16/47(k) | 1,534,642 | ||||||||
360,000 | Swire Pacific MTN Financing, Ltd., (MTN), Reg S, 4.50%, due 10/09/23(k) | 390,841 | ||||||||
400,000 | Switch, Ltd., 3.75%, due 09/15/28 144A | 394,638 | ||||||||
440,000 | Syneos Health, Inc., 3.63%, due 01/15/29 144A | 428,725 | ||||||||
415,000 | T-Mobile USA, Inc., 4.38%, due 04/15/40 144A | 461,505 | ||||||||
415,000 | T-Mobile USA, Inc., 4.50%, due 04/15/50 144A | 465,584 | ||||||||
180,000 | Talen Energy Supply LLC, 10.50%, due 01/15/26 144A | 161,438 | ||||||||
330,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/30 144A | 326,700 | ||||||||
520,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.00%, due 01/15/32 144A | 489,720 | ||||||||
440,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 4.88%, due 02/01/31 144A | 446,490 | ||||||||
150,000 | Teck Resources, Ltd., 5.40%, due 02/01/43 | 168,784 | ||||||||
60,000 | Teck Resources, Ltd., 6.00%, due 08/15/40 | 72,021 | ||||||||
1,300,000 | Teine Energy, Ltd., 6.88%, due 04/15/29(c) 144A | 1,311,375 | ||||||||
200,000 | Telefonica Emisiones SA, 5.21%, due 03/08/47 | 234,225 | ||||||||
100,000 | Tenet Healthcare Corp., 5.13%, due 11/01/27 144A | 104,820 | ||||||||
935,000 | Tenet Healthcare Corp., 7.50%, due 04/01/25 144A | 1,010,814 | ||||||||
220,000 | Tennessee Gas Pipeline Co. LLC, 2.90%, due 03/01/30 144A | 219,160 | ||||||||
240,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, Reg S, 1.25%, due 03/31/23(k) | 277,277 | |||||||
280,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 3.25%, due 04/15/22 | 333,933 | |||||||
635,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 6.00%, due 01/31/25 | 823,290 | |||||||
890,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, due 10/01/26 | 852,175 | ||||||||
190,000 | Time Warner Cable LLC, 6.75%, due 06/15/39 | 254,635 | ||||||||
440,000 | TopBuild Corp., 3.63%, due 03/15/29 144A | 435,600 | ||||||||
940,000 | TransAlta Corp., 6.50%, due 03/15/40 | 1,058,675 | ||||||||
220,000 | Transcontinental Gas Pipe Line Co. LLC, 3.25%, due 05/15/30 | 231,187 | ||||||||
240,000 | TransDigm, Inc., 4.63%, due 01/15/29 144A | 236,650 | ||||||||
740,000 | TransDigm, Inc., 6.25%, due 03/15/26 144A | 785,255 | ||||||||
250,000 | TransDigm, Inc., 7.50%, due 03/15/27 | 266,673 | ||||||||
210,000 | TransDigm, Inc., 8.00%, due 12/15/25 144A | 228,900 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., (MTN), Reg S, 9.50%, due 05/13/21(k) | 195,283 | |||||||
340,000 | Transportadora de Gas del Sur SA, 6.75%, due 05/02/25 144A | 294,355 | ||||||||
945,000 | TriNet Group, Inc., 3.50%, due 03/01/29 144A | 925,580 | ||||||||
1,375,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.13%, due 04/01/29 144A | 1,419,687 | ||||||||
460,000 | Triton Water Holdings, Inc., 6.25%, due 04/01/29 144A | 469,487 | ||||||||
350,000 | Turk Telekomunikasyon AS, 6.88%, due 02/28/25 144A | 372,418 | ||||||||
460,000 | Twitter, Inc., 3.88%, due 12/15/27 144A | 482,880 | ||||||||
295,000 | Uber Technologies, Inc., 7.50%, due 09/15/27 144A | 326,359 | ||||||||
340,000 | UBS Group AG, 7.00% (5 yr. USD swap + 4.34%)(b) (l) 144A | 373,689 | ||||||||
1,970,000 | Ulker Biskuvi Sanayi AS, 6.95%, due 10/30/25 144A | 2,071,376 | ||||||||
1,190,000 | UniCredit SpA, 5.46% (5 yr. CMT + 4.75%), due 06/30/35(b) 144A | 1,262,334 | ||||||||
555,000 | UniCredit SpA, 7.30% (5 yr. USD ICE swap + 4.91%), due 04/02/34(b) 144A | 654,517 | ||||||||
415,000 | UniCredit SpA, Reg S, 8.00% (5 yr. USD swap + 5.18%)(b) (k) (l) | 464,022 | ||||||||
1,570,000 | Unifin Financiera SAB de CV, 8.38%, due 01/27/28 144A | 1,526,809 | ||||||||
2,535,000 | Unifin Financiera SAB de CV, 9.88%, due 01/28/29 144A | 2,614,117 | ||||||||
180,000 | United Airlines Pass Through Trust, 3.70%, due 06/01/24 | 182,638 | ||||||||
80,000 | United Airlines Pass Through Trust, 4.88%, due 07/15/27 | 83,980 | ||||||||
1,000,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 1,087,810 | ||||||||
410,000 | Univision Communications, Inc., 9.50%, due 05/01/25 144A | 451,000 | ||||||||
320,000 | US Renal Care, Inc., 10.63%, due 07/15/27 144A | 352,600 | ||||||||
290,000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 340,751 | ||||||||
540,000 | Vale Overseas, Ltd., 6.88%, due 11/10/39 | 722,520 | ||||||||
1,840,000 | VEON Holdings BV, 3.38%, due 11/25/27 144A | 1,822,483 | ||||||||
410,000 | Verizon Communications, Inc., 3.40%, due 03/22/41 | 414,895 | ||||||||
2,290,000 | Verizon Communications, Inc., 3.55%, due 03/22/51 | 2,284,043 | ||||||||
1,830,000 | Verizon Communications, Inc., 3.70%, due 03/22/61 | 1,802,293 | ||||||||
285,000 | EUR | Vertical Holdco GmbH, 6.63%, due 07/15/28 144A | 359,277 | |||||||
270,000 | EUR | Vertical Midco GmbH, 4.38%, due 07/15/27 144A | 334,022 | |||||||
265,000 | VF Ukraine PAT via VFU Funding Plc, 6.20%, due 02/11/25 144A | 274,771 | ||||||||
660,000 | Viking Cruises, Ltd., 7.00%, due 02/15/29 144A | 681,252 | ||||||||
300,000 | Virgin Media Secured Finance Plc, 5.50%, due 08/15/26 144A | 311,844 | ||||||||
300,000 | Virgin Media Secured Finance Plc, 5.50%, due 05/15/29 144A | 318,852 | ||||||||
775,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A | 800,032 | ||||||||
980,000 | VOC Escrow, Ltd., 5.00%, due 02/15/28 144A | 970,381 | ||||||||
730,000 | VTR Comunicaciones SpA, 5.13%, due 01/15/28 144A | 764,054 | ||||||||
1,080,000 | VTR Finance NV, 6.38%, due 07/15/28(j) 144A | 1,169,408 | ||||||||
350,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc REIT, 4.75%, due 09/17/44 144A | 355,646 | ||||||||
260,000 | Wells Fargo & Co., (MTN), 5.01% (3 mo. USD LIBOR + 4.24%), due 04/04/51(b) | 332,839 | ||||||||
457,000 | Wendy’s International LLC, 7.00%, due 12/15/25 | 509,128 | ||||||||
620,000 | Western Midstream Operating, LP, 4.35%, due 02/01/25(d) | 642,686 | ||||||||
470,000 | Western Midstream Operating, LP, 5.30%, due 03/01/48 | 472,839 | ||||||||
592,000 | Western Midstream Operating, LP, 5.45%, due 04/01/44 | 608,576 | ||||||||
60,000 | Williams Cos., Inc. (The), 8.75%, due 03/15/32 | 88,031 | ||||||||
565,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, due 08/15/28 144A | 575,241 | ||||||||
260,000 | WPX Energy, Inc., 4.50%, due 01/15/30 | 280,355 | ||||||||
880,000 | WR Berkley Corp., 3.55%, due 03/30/52 | 884,622 |
See accompanying Notes to the Financial Statements.
136
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
650,000 | WW International, Inc., 8.63%, due 12/01/25 144A | 677,511 | ||||||||
370,000 | Wynn Macau, Ltd., 5.13%, due 12/15/29 144A | 379,907 | ||||||||
800,000 | Wynn Macau, Ltd., 5.63%, due 08/26/28 144A | 837,740 | ||||||||
770,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, due 04/15/25 144A | 835,681 | ||||||||
620,000 | XPO CNW, Inc., 6.70%, due 05/01/34 | 735,304 | ||||||||
180,000 | Yamana Gold, Inc., 4.63%, due 12/15/27 | 197,126 | ||||||||
414,050 | YPF SA, 4.00%, due 02/12/26(d) 144A | 338,198 | ||||||||
85,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 89,998 | ||||||||
275,000 | Yuzhou Group Holdings Co., Ltd., Reg S, 6.35%, due 01/13/27(k) | 229,281 | ||||||||
220,000 | Yuzhou Group Holdings Co., Ltd., Reg S, 7.38%, due 01/13/26(k) | 190,288 | ||||||||
|
| |||||||||
307,845,025 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 5.2% | ||||||||||
410,000 | BANK, Series 2018-BNK14, Class A4, 4.23%, due 09/15/60(f) | 464,936 | ||||||||
355,000 | BANK, Series 2020-BNK25, Class AS, 2.84%, due 01/15/63 | 368,632 | ||||||||
1,260,000 | BBCCRE Trust, Series 2015-GTP, Class F, 4.56%, due 08/10/33(f) 144A | 1,107,194 | ||||||||
390,000 | BBCMS Mortgage Trust, Series 2018-CBM, Class D, 2.50% (1 mo. USD LIBOR + 2.39%), due 07/15/37(b) 144A | 385,857 | ||||||||
280,000 | BBCMS Mortgage Trust, Series 2019-C5, Class A4, 3.06%, due 11/15/52 | 295,885 | ||||||||
345,000 | BBCMS Mortgage Trust, Series 2020-C6, Class AS, 2.84%, due 02/15/53 | 354,673 | ||||||||
250,000 | Benchmark Mortgage Trust, Series 2020-B16, Class AM, 2.94%, due 02/15/53(f) | 256,081 | ||||||||
1,000,000 | BHMS, Series 2018-MZB, Class MZB, 6.74% (1 mo. USD LIBOR + 6.64%), due 07/15/25(b) 144A | 950,972 | ||||||||
590,000 | BX Commercial Mortgage Trust, Series 2019-IMC, Class E, 2.26% (1 mo. USD LIBOR + 2.15%), due 04/15/34(b) 144A | 580,229 | ||||||||
950,000 | BX Trust, Series 2018-BILT, Class B, 1.13% (1 mo. USD LIBOR + 1.02%), due 05/15/30(b) 144A | 949,668 | ||||||||
410,000 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D, 5.76%, due 12/15/47(f) 144A | 418,670 | ||||||||
425,000 | CFK Trust, Series 2020-MF2, Class F, 3.46%, due 03/15/39(f) 144A | 385,404 | ||||||||
300,000 | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class A, 1.06% (1 mo. USD LIBOR + 0.95%), due 11/15/36(b) 144A | 300,193 | ||||||||
187,784 | Citigroup Mortgage Loan Trust CMO, Series 2018-A, Class A1, 4.00%, due 01/25/68(f) 144A | 188,604 | ||||||||
1,060,000 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class F, 2.76% (1 mo. USD LIBOR + 2.65%), due 05/15/36(b) 144A | 1,062,356 | ||||||||
742,500 | Credit Suisse Mortgage Trust, Series 2019 RIO, 8.00% (1 mo. USD LIBOR + 7.00%), due 12/15/21(b) 144A | 705,704 | ||||||||
300,000 | Credit Suisse Mortgage Trust, Series 2019-UVIL, Class A, 3.16%, due 12/15/41 144A | 307,862 | ||||||||
1,050,000 | Credit Suisse Mortgage Trust, Series 2020-TMIC, Class A, 3.25% (1 mo. USD LIBOR + 3.00%), due 12/15/35(b) 144A | 1,062,606 | ||||||||
450,000 | Credit Suisse Mortgage Trust LLC, Series 2014-USA, Class F, 4.37%, due 09/15/37 144A | 334,225 | ||||||||
290,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2017-1, Class M1, 4.00%, due 01/25/56(f) 144A | 293,943 | ||||||||
415,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class M, 4.75%, due 08/25/57(f) 144A | 433,482 | ||||||||
280,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class M, 4.75%, due 07/25/58(f) 144A | 292,800 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
560,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class M, 4.50%, due 02/25/59(f) 144A | 582,352 | ||||||||
370,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class M, 4.25%, due 08/25/59(f) 144A | 385,362 | ||||||||
640,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-2, Class M, 4.25%, due 11/25/59(f) 144A | 651,575 | ||||||||
590,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-3, Class M, 4.25%, due 05/25/60(f) 144A | 609,601 | ||||||||
1,580,000 | FHLMC Structured Agency Credit Risk CMO, Series 2020-DNA1, Class B1, 2.41% (1 mo. USD LIBOR + 2.30%), due 01/25/50(b) 144A | 1,560,060 | ||||||||
310,000 | FHLMC Structured Agency Credit Risk CMO, Series 2020-DNA2, Class M2, 1.96% (1 mo. USD LIBOR + 1.85%), due 02/25/50(b) 144A | 310,461 | ||||||||
1,430,000 | FHLMC Structured Agency Credit Risk CMO, Series 2020-DNA3, Class B1, 5.21% (1 mo. USD LIBOR + 5.10%), due 06/25/50(b) 144A | 1,486,447 | ||||||||
900,000 | FHLMC Structured Agency Credit Risk CMO, Series 2020-DNA6, Class B1, 3.02% (SOFR + 3.00%), due 12/25/50(b) 144A | 894,357 | ||||||||
332,138 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2015-HQ1, Class B, 10.86% (1 mo. USD LIBOR + 10.75%), due 03/25/25(b) | 330,271 | ||||||||
605,000 | FHLMC Structured Agency Credit Risk Debt Notes CMO, Series 2017-HRP1, Class B1, 4.71% (1 mo. USD LIBOR + 4.60%), due 12/25/42(b) | 611,748 | ||||||||
506,506 | FHLMC Structured Asset Mortgage Investments II Trust CMO, Series 2005-AR2, Class 2A2, 0.67% (1 mo. USD LIBOR + 0.56%), due 05/25/45(b) | 391,515 | ||||||||
932,619 | FNMA Connecticut Avenue Securities CMO, Series 2014-C04, Class 1M2, 5.01% (1 mo. USD LIBOR + 4.90%), due 11/25/24(b) 144A | 964,356 | ||||||||
302,054 | FNMA Connecticut Avenue Securities CMO, Series 2016-C06, Class 1M2, 4.36% (1 mo. USD LIBOR + 4.25%), due 04/25/29(b) 144A | 315,728 | ||||||||
1,097,604 | FNMA Connecticut Avenue Securities CMO, Series 2017-C05, Class 1M2, 2.31% (1 mo. USD LIBOR + 2.20%), due 01/25/30(b) 144A | 1,112,702 | ||||||||
440,000 | FNMA Connecticut Avenue Securities CMO, Series 2017-C07, Class 1B1, 4.11% (1 mo. USD LIBOR + 4.00%), due 05/25/30(b) 144A | 455,191 | ||||||||
1,005,122 | FNMA Connecticut Avenue Securities CMO, Series 2017-C07, Class 1M2, 2.51% (1 mo. USD LIBOR + 2.40%), due 05/25/30(b) 144A | 1,011,992 | ||||||||
610,000 | FNMA Connecticut Avenue Securities CMO, Series 2018-C01, Class 1B1, 3.66% (1 mo. USD LIBOR + 3.55%), due 07/25/30(b) 144A | 618,902 | ||||||||
713,986 | FNMA Connecticut Avenue Securities CMO, Series 2018-C01, Class 1M2, 2.36% (1 mo. USD LIBOR + 2.25%), due 07/25/30(b) 144A | 717,396 | ||||||||
469,203 | FNMA Connecticut Avenue Securities CMO, Series 2018-C03, Class 1M2, 2.26% (1 mo. USD LIBOR + 2.15%), due 10/25/30(b) 144A | 469,166 | ||||||||
1,210,000 | FNMA Connecticut Avenue Securities CMO, Series 2018-C05, Class 1B1, 4.36% (1 mo. USD LIBOR + 4.25%), due 01/25/31(b) 144A | 1,240,237 | ||||||||
1,917,617 | FNMA Connecticut Avenue Securities CMO, Series 2018-C05, Class 1M2, 2.46% (1 mo. USD LIBOR + 2.35%), due 01/25/31(b) 144A | 1,926,027 | ||||||||
492,500 | FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1B1, 3.86% (1 mo. USD LIBOR + 3.75%), due 03/25/31(b) 144A | 496,907 | ||||||||
517,877 | FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1M2, 2.11% (1 mo. USD LIBOR + 2.00%), due 03/25/31(b) 144A | 517,616 | ||||||||
610,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2018-R07, Class 1B1, 4.46% (1 mo. USD LIBOR + 4.35%), due 04/25/31(b) 144A | 624,191 |
See accompanying Notes to the Financial Statements.
138
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers - continued | ||||||||||
214,419 | FNMA Connecticut Avenue Securities Trust CMO, Series 2019-R05, Class 1M2, 2.11% (1 mo. USD LIBOR + 2.00%), due 07/25/39(b) 144A | 215,044 | ||||||||
540,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2020-R01, Class 1M2, 2.16% (1 mo. USD LIBOR + 2.05%), due 01/25/40(b) 144A | 541,628 | ||||||||
265,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.41%, due 08/10/44(e) (f) | 165,692 | ||||||||
320,000 | GS Mortgage Securities Trust, Series 2017-GS7, Class A4, 3.43%, due 08/10/50 | 347,250 | ||||||||
570,000 | GS Mortgage Securities Trust, Series 2020-DUNE, Class A, 1.21% (1 mo. USD LIBOR + 1.10%), due 12/15/36(b) 144A | 570,565 | ||||||||
217,003 | HarborView Mortgage Loan Trust CMO, Series 2005-9, Class 2A1C, 1.01% (1 mo. USD LIBOR + 0.90%), due 06/20/35(b) | 214,928 | ||||||||
1,390,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M, 8.31% (1 mo. USD LIBOR + 8.21%), due 06/15/35(b) 144A | 887,928 | ||||||||
1,210,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFL, 3.00% (1 mo. USD LIBOR + 2.90%), due 07/05/33(b) 144A | 1,169,037 | ||||||||
530,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 2.71% (1 mo. USD LIBOR + 2.60%), due 09/15/29(b) 144A | 526,186 | ||||||||
800,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class F, 3.51% (1 mo. USD LIBOR + 3.40%), due 09/15/29(b) 144A | 749,698 | ||||||||
417,430 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BOLT, Class C, 3.91% (1 mo. USD LIBOR + 3.80%), due 07/15/34(b) 144A | 387,763 | ||||||||
800,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class F, 2.96% (1 mo. USD LIBOR + 2.85%), due 12/15/36(b) 144A | 732,506 | ||||||||
760,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class GFX, 4.69%, due 01/16/37(f) 144A | 730,546 | ||||||||
221,767 | KKR Industrial Portfolio Trust, Series 2020-AIP, Class E, 2.73% (1 mo. USD LIBOR + 2.63%), due 03/15/37(b) 144A | 223,154 | ||||||||
320,000 | Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.28%, due 07/11/40(f) 144A | 345,104 | ||||||||
641,959 | Motel 6 Trust, Series 2017-MTL6, Class E, 3.36% (1 mo. USD LIBOR + 3.25%), due 08/15/34(b) 144A | 644,669 | ||||||||
365,000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.28%, due 10/15/30 144A | 362,187 | ||||||||
320,000 | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 1.61% (1 mo. USD LIBOR + 1.50%), due 07/15/36(b) 144A | 321,377 | ||||||||
780,000 | Natixis Commercial Mortgage Securities Trust, Series 2019-TRUE, Class A, 3.51% (1 mo. USD LIBOR + 2.01%), due 04/18/24(b) 144A | 739,267 | ||||||||
500,000 | Radnor RE, Ltd. Mortgage Insurance-Linked Notes CMO, Series 2020-1, Class M1C, 1.86% (1 mo. USD LIBOR + 1.75%), due 02/25/30(b) 144A | 487,161 | ||||||||
230,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 2.86% (1 mo. USD LIBOR + 2.75%), due 11/15/27(b) (e) (n) (o) | 102,332 | ||||||||
900,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 3.61% (1 mo. USD LIBOR + 3.50%), due 11/15/27(b) (e) (n) (o) | 216,387 | ||||||||
766,336 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class E, 3.43% (1 mo. USD LIBOR + 3.33%), due 11/11/34(b) 144A | 743,522 | ||||||||
761,476 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class F, 4.21% (1 mo. USD LIBOR + 4.10%), due 11/11/34(b) 144A | 693,122 | ||||||||
370,819 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR1, Class A1B, 0.89% (1 mo. USD LIBOR + 0.39%), due 01/25/45(b) | 364,390 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
793,002 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR6, Class 2A1A, 0.57% (1 mo. USD LIBOR + 0.23%), due 04/25/45(b) | 782,820 | ||||||||
538,879 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2006-AR16, Class 2A2, 2.53%, due 12/25/36(f) | 515,645 | ||||||||
438,838 | Wells Fargo Mortgage Backed Securities Trust CMO, Series 2006-AR5, Class 2A1, 2.80%, due 04/25/36(f) | 435,035 | ||||||||
|
| |||||||||
43,999,079 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.1% | ||||||||||
60,000 | FNMA, Pool # BL5547, 2.68%, due 01/01/35 | 62,062 | ||||||||
129,300 | FNMA, Pool # BM6224, 2.79%, due 01/01/35(f) | 134,941 | ||||||||
464,276 | UMBS, Pool # BM5520, 3.50%, due 02/01/47 | 494,503 | ||||||||
|
| |||||||||
691,506 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 31.2% | ||||||||||
470,000 | Abu Dhabi Government International Bond, 4.13%, due 10/11/47 144A | 531,612 | ||||||||
1,390,000 | Abu Dhabi Government International Bond, (MTN), Reg S, 3.88%, due 04/16/50(k) | 1,513,974 | ||||||||
327,438 | Argentine Republic Government International Bond, 0.13%, due 07/09/46(d) | 101,532 | ||||||||
5,505 | Argentine Republic Government International Bond, 1.00%, due 07/09/29 | 1,991 | ||||||||
1,980,000 | Bahrain Government International Bond, 5.25%, due 01/25/33 144A | 1,885,891 | ||||||||
1,185,000 | Bahrain Government International Bond, 5.45%, due 09/16/32 144A | 1,147,252 | ||||||||
270,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, Reg S, 2.30%, due 10/01/28(k) | 362,925 | |||||||
270,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, Reg S, 2.80%, due 10/01/33(k) 144A | 334,061 | |||||||
1,200,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26 | 1,856,238 | |||||||
470,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35 | 716,064 | |||||||
170,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/43 | 285,556 | |||||||
4,857,000 | BRL | Brazil Letras do Tesouro Nacional, 4.52%, due 01/01/22(i) | 832,046 | |||||||
11,731,000 | BRL | Brazil Letras do Tesouro Nacional, 5.66%, due 07/01/22(i) | 1,939,083 | |||||||
13,096,000 | BRL | Brazil Letras do Tesouro Nacional, 7.42%, due 07/01/23(i) | 1,980,179 | |||||||
1,129,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 6.00%, due 05/15/45 | 851,731 | |||||||
1,134,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 6.00%, due 08/15/50 | 879,097 | |||||||
14,614,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/23 | 2,726,757 | |||||||
16,837,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/25 | 3,146,114 | |||||||
25,480,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/27 | 4,745,801 | |||||||
24,016,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/29 | 4,449,109 | |||||||
4,346,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/31 | 804,174 | |||||||
1,460,000 | Brazilian Government International Bond, 4.75%, due 01/14/50 | 1,324,293 | ||||||||
8,350,000 | CNY | China Government Bond, 1.99%, due 04/09/25 | 1,222,342 | |||||||
10,500,000 | CNY | China Government Bond, 2.68%, due 05/21/30 | 1,530,413 | |||||||
5,270,000 | CNY | China Government Bond, 3.02%, due 10/22/25 | 804,260 | |||||||
10,100,000 | CNY | China Government Bond, 3.13%, due 11/21/29 | 1,528,636 | |||||||
5,150,000 | CNY | China Government Bond, 3.25%, due 11/22/28 | 787,361 | |||||||
6,690,000 | CNY | China Government Bond, 3.27%, due 11/19/30 | 1,027,609 | |||||||
2,200,000 | CNY | China Government Bond, 3.29%, due 05/23/29 | 336,725 | |||||||
16,932,100,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 4,508,482 | |||||||
2,269,600,000 | COP | Colombian TES, 6.25%, due 11/26/25 | 641,660 | |||||||
16,755,400,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 4,780,591 | |||||||
2,998,600,000 | COP | Colombian TES, 7.00%, due 06/30/32 | 795,437 | |||||||
3,668,200,000 | COP | Colombian TES, 7.25%, due 10/18/34 | 977,539 |
See accompanying Notes to the Financial Statements.
140
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
9,879,600,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 2,907,611 | |||||||
5,418,700,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 1,551,857 | |||||||
17,022,500,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 5,418,578 | |||||||
9,720,000 | CZK | Czech Republic Government Bond, 0.25%, due 02/10/27 | 404,510 | |||||||
18,720,000 | CZK | Czech Republic Government Bond, Reg S, 0.95%, due 05/15/30(k) | 777,446 | |||||||
8,760,000 | CZK | Czech Republic Government Bond, Reg S, 1.00%, due 06/26/26(k) | 383,258 | |||||||
22,420,000 | CZK | Czech Republic Government Bond, 2.00%, due 10/13/33 | 1,002,255 | |||||||
4,270,000 | CZK | Czech Republic Government Bond, Reg S, 2.40%, due 09/17/25(k) | 200,088 | |||||||
10,550,000 | CZK | Czech Republic Government Bond, 2.75%, due 07/23/29 | 509,322 | |||||||
14,650,000 | DOP | Dominican Republic International Bond, Reg S, 9.75%, due 06/05/26(k) | 280,551 | |||||||
22,450,000 | EGP | Egypt Government Bond, 14.61%, due 09/08/25 | 1,438,455 | |||||||
13,761,000 | EGP | Egypt Government Bond, 14.66%, due 10/06/30 | 879,165 | |||||||
4,826,000 | EGP | Egypt Government Bond, 16.10%, due 05/07/29 | 330,245 | |||||||
49,395,000 | EGP | Egypt Government Bond, 16.50%, due 04/02/26 | 3,387,780 | |||||||
325,000 | Egypt Government International Bond, 5.75%, due 05/29/24 144A | 341,741 | ||||||||
590,000 | Egypt Government International Bond, 7.60%, due 03/01/29 144A | 629,657 | ||||||||
27,505,000 | BRL | European Investment Bank, (MTN), 4.10%, due 08/27/21(i) | 4,794,000 | |||||||
85,473,000 | MXN | European Investment Bank, (MTN), 5.50%, due 01/23/23 | 4,213,390 | |||||||
5,140,000 | ZAR | European Investment Bank, (MTN), Reg S, 8.50%, due 09/17/24(k) | 373,328 | |||||||
560,000 | Ghana Government International Bond, 7.63%, due 05/16/29 144A | 551,770 | ||||||||
200,000 | Ghana Government International Bond, 8.13%, due 03/26/32 144A | 193,865 | ||||||||
298,720,000 | HUF | Hungary Government Bond, 3.00%, due 08/21/30 | 1,016,490 | |||||||
103,180,000 | HUF | Hungary Government Bond, 2.50%, due 10/24/24 | 346,952 | |||||||
56,010,000 | HUF | Hungary Government Bond, 2.75%, due 12/22/26 | 189,393 | |||||||
171,210,000 | HUF | Hungary Government Bond, 3.00%, due 10/27/27 | 586,747 | |||||||
108,660,000 | HUF | Hungary Government Bond, 3.25%, due 10/22/31 | 374,774 | |||||||
163,750,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 614,521 | |||||||
174,190,000 | HUF | Hungary Government Bond, 6.75%, due 10/22/28 | 742,532 | |||||||
230,000 | Indonesia Government International Bond, 3.50%, due 01/11/28 | 246,977 | ||||||||
1,590,000 | Indonesia Government International Bond, (MTN), Reg S, 5.25%, due 01/17/42(k) | 1,906,328 | ||||||||
11,001,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 735,427 | |||||||
10,023,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 672,497 | |||||||
38,299,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 2,746,612 | |||||||
11,176,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 09/15/30 | 780,697 | |||||||
30,581,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 08/15/32 | 2,162,271 | |||||||
16,441,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 06/15/35 | 1,156,847 | |||||||
54,905,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 05/15/38 | 3,814,773 | |||||||
28,404,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 04/15/40 | 1,957,969 | |||||||
11,405,000,000 | IDR | Indonesia Treasury Bond, 8.13%, due 05/15/24 | 843,939 | |||||||
30,548,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/29 | 2,298,871 | |||||||
2,658,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 06/15/32 | 198,700 | |||||||
17,059,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/36 | 1,263,517 | |||||||
2,683,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 199,141 | |||||||
14,937,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 1,139,274 | |||||||
57,221,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 4,322,874 | |||||||
27,983,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 04/15/39 | 2,062,246 | |||||||
31,350,000,000 | IDR | Indonesia Treasury Bond, 8.75%, due 05/15/31 | 2,447,005 | |||||||
18,253,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 1,431,726 | |||||||
6,017,000,000 | IDR | Indonesia Treasury Bond, 9.50%, due 07/15/31 | 488,154 |
See accompanying Notes to the Financial Statements.
141
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
5,494,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 473,706 | |||||||
22,300,000,000 | IDR | Inter-American Development Bank, (MTN), 7.88%, due 03/14/23 | 1,613,046 | |||||||
200,000 | Israel Government International Bond, 2.75%, due 07/03/30 | 209,759 | ||||||||
445,000 | EUR | Ivory Coast Government International Bond, 4.88%, due 01/30/32 144A | 511,196 | |||||||
148,459 | Ivory Coast Government International Bond, Reg S, 5.75%, due 12/31/32(d) (k) | 148,897 | ||||||||
540,000 | Ivory Coast Government International Bond, Reg S, 6.13%, due 06/15/33(k) | 553,527 | ||||||||
1,110,000 | �� | Kazakhstan Government International Bond, (MTN), Reg S, 5.13%, due 07/21/25(k) | 1,290,930 | |||||||
1,465,000 | Kenya Government International Bond, Reg S, 8.00%, due 05/22/32(k) | 1,559,558 | ||||||||
2,690,000 | MYR | Malaysia Government Bond, 2.63%, due 04/15/31 | 613,294 | |||||||
1,381,000 | MYR | Malaysia Government Bond, 3.42%, due 08/15/22 | 339,502 | |||||||
3,415,000 | MYR | Malaysia Government Bond, 3.48%, due 06/14/24 | 852,048 | |||||||
2,860,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 707,529 | |||||||
6,468,000 | MYR | Malaysia Government Bond, 3.50%, due 05/31/27 | 1,609,796 | |||||||
14,101,000 | MYR | Malaysia Government Bond, 3.62%, due 11/30/21 | 3,443,449 | |||||||
2,210,000 | MYR | Malaysia Government Bond, 3.73%, due 06/15/28 | 554,600 | |||||||
1,022,000 | MYR | Malaysia Government Bond, 3.76%, due 05/22/40 | 230,962 | |||||||
11,158,000 | MYR | Malaysia Government Bond, 3.80%, due 08/17/23 | 2,789,499 | |||||||
681,000 | MYR | Malaysia Government Bond, 3.83%, due 07/05/34 | 163,180 | |||||||
2,226,000 | MYR | Malaysia Government Bond, 3.84%, due 04/15/33 | 534,476 | |||||||
3,938,000 | MYR | Malaysia Government Bond, 3.88%, due 03/14/25 | 994,386 | |||||||
12,517,000 | MYR | Malaysia Government Bond, 3.89%, due 08/15/29 | 3,146,875 | |||||||
661,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 167,914 | |||||||
6,454,000 | MYR | Malaysia Government Bond, 3.90%, due 11/16/27 | 1,640,877 | |||||||
13,930,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 3,540,299 | |||||||
1,275,000 | MYR | Malaysia Government Bond, 4.06%, due 09/30/24 | 323,949 | |||||||
624,000 | MYR | Malaysia Government Bond, 4.13%, due 04/15/32 | 154,837 | |||||||
953,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 242,616 | |||||||
1,205,000 | MYR | Malaysia Government Bond, 4.23%, due 06/30/31 | 304,999 | |||||||
813,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 211,302 | |||||||
4,041,000 | MYR | Malaysia Government Bond, 4.50%, due 04/15/30 | 1,056,351 | |||||||
1,597,000 | MYR | Malaysia Government Bond, 4.74%, due 03/15/46 | 400,448 | |||||||
1,798,000 | MYR | Malaysia Government Bond, 4.76%, due 04/07/37 | 460,185 | |||||||
647,000 | MYR | Malaysia Government Bond, 4.89%, due 06/08/38 | 167,185 | |||||||
27,908,700 | MXN | Mexican Bonos, 5.75%, due 03/05/26 | 1,353,812 | |||||||
27,302,000 | MXN | Mexican Bonos, 6.50%, due 06/10/21 | 1,338,654 | |||||||
19,558,300 | MXN | Mexican Bonos, 6.50%, due 06/09/22 | 975,053 | |||||||
10,202,000 | MXN | Mexican Bonos, 6.75%, due 03/09/23 | 515,433 | |||||||
11,994,200 | MXN | Mexican Bonos, 7.25%, due 12/09/21 | 596,689 | |||||||
74,066,100 | MXN | Mexican Bonos, 7.50%, due 06/03/27 | 3,859,247 | |||||||
12,236,100 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 637,871 | |||||||
30,890,100 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 1,588,172 | |||||||
46,391,700 | MXN | Mexican Bonos, 7.75%, due 11/13/42 | 2,292,240 | |||||||
22,141,200 | MXN | Mexican Bonos, 8.00%, due 12/07/23 | 1,154,561 | |||||||
39,496,600 | MXN | Mexican Bonos, 8.00%, due 11/07/47 | 1,982,137 | |||||||
34,796,000 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 1,910,686 | |||||||
51,555,700 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 2,772,326 | |||||||
57,110,600 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 3,191,667 | |||||||
23,060,000 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 1,409,621 | |||||||
12,006,046 | MXN | Mexican Udibonos, 4.50%, due 11/22/35 | 675,371 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
1,280,000 | Mexico Government International Bond, 3.60%, due 01/30/25 | 1,394,061 | ||||||||
1,680,000 | Nigeria Government International Bond, Reg S, 7.14%, due 02/23/30(k) | 1,718,060 | ||||||||
630,000 | Panama Government International Bond, 4.50%, due 04/01/56 | 689,686 | ||||||||
640,000 | Peruvian Government International Bond, 2.78%, due 01/23/31 | 641,446 | ||||||||
4,428,000 | PEN | Peruvian Government International Bond, Reg S, 6.35%, due 08/12/28(k) | 1,374,817 | |||||||
2,314,000 | PEN | Peruvian Government International Bond (GDN), Reg S, 6.95%, due 08/12/31(k) | 713,456 | |||||||
2,849,000 | PEN | Peruvian Government International Bond (GDN), Reg S, 8.20%, due 08/12/26(k) | 990,540 | |||||||
1,080,000 | Provincia de Buenos Aires/Argentina, 6.50%, due 02/15/23 144A | 405,011 | ||||||||
150,000 | Provincia de Buenos Aires/Argentina, 7.88%, due 06/15/27 144A | 57,938 | ||||||||
180,000 | Provincia de Buenos Aires/Argentina, 9.13%, due 03/16/24 144A | 69,750 | ||||||||
180,000 | Provincia de Buenos Aires/Argentina, 9.95%, due 06/09/21(e) | 69,300 | ||||||||
150,000 | Provincia de Buenos Aires/Argentina, 9.95%, due 06/09/21 144A | 57,750 | ||||||||
56,667 | Provincia de Buenos Aires/Argentina, Reg S, 10.88%, due 01/26/21(h) (k) | 23,375 | ||||||||
421,629 | Provincia de Cordoba, 3.00%, due 12/10/25(d) 144A | 291,982 | ||||||||
1,280,000 | Qatar Government International Bond, Reg S, 4.40%, due 04/16/50(k) | 1,488,736 | ||||||||
200,000 | Qatar Government International Bond, 4.82%, due 03/14/49 144A | 245,524 | ||||||||
1,050,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 1,330,598 | ||||||||
9,335,000 | PLN | Republic of Poland Government Bond, 1.25%, due 10/25/30 | 2,300,433 | |||||||
5,520,000 | PLN | Republic of Poland Government Bond, 1.75%, due 07/25/21 | 1,406,607 | |||||||
15,263,000 | PLN | Republic of Poland Government Bond, 2.25%, due 04/25/22 | 3,962,934 | |||||||
5,078,000 | PLN | Republic of Poland Government Bond, 2.50%, due 01/25/23 | 1,344,352 | |||||||
4,000,000 | PLN | Republic of Poland Government Bond, 2.50%, due 07/25/26 | 1,099,279 | |||||||
4,014,000 | PLN | Republic of Poland Government Bond, 2.75%, due 04/25/28 | 1,121,143 | |||||||
7,947,000 | PLN | Republic of Poland Government Bond, 2.75%, due 10/25/29 | 2,229,933 | |||||||
979,000 | PLN | Republic of Poland Government Bond, 3.25%, due 07/25/25 | 275,253 | |||||||
986,000 | PLN | Republic of Poland Government Bond, 5.75%, due 09/23/22 | 270,825 | |||||||
41,727,040 | ZAR | Republic of South Africa Government Bond, 6.25%, due 03/31/36 | 1,862,101 | |||||||
18,936,293 | ZAR | Republic of South Africa Government Bond, 6.50%, due 02/28/41 | 799,386 | |||||||
41,680,164 | ZAR | Republic of South Africa Government Bond, 7.00%, due 02/28/31 | 2,307,810 | |||||||
4,673,000 | ZAR | Republic of South Africa Government Bond, 7.75%, due 02/28/23 | 330,396 | |||||||
29,599,004 | ZAR | Republic of South Africa Government Bond, 8.00%, due 01/31/30 | 1,829,182 | |||||||
10,098,681 | ZAR | Republic of South Africa Government Bond, 8.25%, due 03/31/32 | 591,558 | |||||||
33,563,364 | ZAR | Republic of South Africa Government Bond, 8.50%, due 01/31/37 | 1,814,261 | |||||||
66,589,058 | ZAR | Republic of South Africa Government Bond, 8.75%, due 01/31/44 | 3,540,294 | |||||||
109,618,107 | ZAR | Republic of South Africa Government Bond, 8.75%, due 02/28/48 | 5,826,379 | |||||||
28,366,890 | ZAR | Republic of South Africa Government Bond, 8.88%, due 02/28/35 | 1,632,142 | |||||||
5,710,502 | ZAR | Republic of South Africa Government Bond, 9.00%, due 01/31/40 | 316,233 | |||||||
72,898,624 | ZAR | Republic of South Africa Government Bond, 10.50%, due 12/21/26 | 5,610,719 | |||||||
3,390,000 | RON | Romania Government Bond, 3.25%, due 04/29/24 | 832,232 | |||||||
920,000 | RON | Romania Government Bond, 3.65%, due 07/28/25 | 230,443 | |||||||
2,335,000 | RON | Romania Government Bond, 3.65%, due 09/24/31 | 573,727 | |||||||
860,000 | RON | Romania Government Bond, 4.00%, due 10/25/23 | 214,458 | |||||||
1,195,000 | RON | Romania Government Bond, 4.25%, due 06/28/23 | 297,814 | |||||||
2,480,000 | RON | Romania Government Bond, 5.00%, due 02/12/29 | 677,719 | |||||||
2,270,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 639,076 | |||||||
312,000 | EUR | Romanian Government International Bond, 2.75%, due 02/26/26 144A | 403,495 | |||||||
355,000 | EUR | Romanian Government International Bond, 3.62%, due 05/26/30 144A | 479,174 | |||||||
244,758,000 | RUB | Russian Federal Bond - OFZ, 6.90%, due 05/23/29 | 3,239,078 | |||||||
49,770,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 08/16/23 | 676,177 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
503,558,000 | RUB | Russian Federal Bond - OFZ, 7.05%, due 01/19/28 | 6,750,603 | |||||||
227,763,000 | RUB | Russian Federal Bond - OFZ, 7.10%, due 10/16/24 | 3,102,478 | |||||||
147,657,000 | RUB | Russian Federal Bond - OFZ, 7.25%, due 05/10/34 | 1,992,777 | |||||||
56,819,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 12/07/22 | 774,589 | |||||||
47,168,000 | RUB | Russian Federal Bond - OFZ, 7.65%, due 04/10/30 | 655,191 | |||||||
115,949,000 | RUB | Russian Federal Bond - OFZ, 7.70%, due 03/23/33 | 1,620,150 | |||||||
38,304,000 | RUB | Russian Federal Bond - OFZ, 7.70%, due 03/16/39 | 539,410 | |||||||
135,970,000 | RUB | Russian Federal Bond - OFZ, 7.75%, due 09/16/26 | 1,893,565 | |||||||
47,137,000 | RUB | Russian Federal Bond - OFZ, 7.95%, due 10/07/26 | 660,754 | |||||||
227,158,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27 | 3,222,978 | |||||||
77,879,000 | RUB | Russian Federal Bond - OFZ, 8.50%, due 09/17/31 | 1,149,126 | |||||||
1,355,000 | Saudi Government International Bond, (MTN), Reg S, 4.50%, due 04/22/60(k) | 1,515,933 | ||||||||
355,000 | Sri Lanka Government International Bond, Reg S, 6.13%, due 06/03/25(k) | 226,724 | ||||||||
330,000 | State of Israel, 3.38%, due 01/15/50 | 334,125 | ||||||||
2,325,000 | TRY | Turkey Government Bond, 9.00%, due 05/04/22 | 257,789 | |||||||
2,341,136 | TRY | Turkey Government Bond, 10.60%, due 02/11/26 | 213,287 | |||||||
18,318,344 | TRY | Turkey Government Bond, 11.70%, due 11/13/30 | 1,557,101 | |||||||
4,889,000 | TRY | Turkey Government Bond, 12.60%, due 10/01/25 | 487,940 | |||||||
1,580,000 | Ukraine Government International Bond, Reg S, 0.00%, due 05/31/40(b) (k) | 1,634,352 | ||||||||
1,070,000 | Ukraine Government International Bond, 7.25%, due 03/15/33 144A | 1,067,277 | ||||||||
19,966,000 | UYU | Uruguay Government International Bond, Reg S, 8.50%, due 03/15/28(k) | 471,785 | |||||||
|
| |||||||||
266,361,955 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $777,679,525) | 785,701,488 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 0.1% | ||||||||||
Consumer, Cyclical — 0.0% | ||||||||||
7,396,155 | Edcon Holdings, Ltd. 1* (n) (o) | — | ||||||||
736,020 | Edcon Holdings, Ltd. 2* (n) (o) | — | ||||||||
|
| |||||||||
TOTAL CONSUMER, CYCLICAL | — | |||||||||
|
| |||||||||
Energy — 0.0% | ||||||||||
10 | Amplify Energy Corp. * | 28 | ||||||||
14,783 | Nine Point Energy Holdings, LLC* (n) | — | ||||||||
|
| |||||||||
TOTAL ENERGY | 28 | |||||||||
|
| |||||||||
Industrials — 0.0% | ||||||||||
1,282 | Arctic Canadian Diamonds Co., Ltd.* (n) | — | ||||||||
|
| |||||||||
TOTAL INDUSTRIALS | — | |||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
8,511 | Birch Permian Holdings, Inc.* (n) | 102,132 | ||||||||
66,347 | Birch Permian Holdings, Inc.* (n) | 796,164 | ||||||||
|
| |||||||||
TOTAL UTILITIES | 898,296 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,610,355) | 898,324 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
144
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
CONVERTIBLE PREFERRED STOCKS — 0.7% | ||||||||||
Consumer, Non-cyclical — 0.0% | ||||||||||
1,321 | Bunge, Ltd., 4.88%(l) | 152,878 | ||||||||
|
| |||||||||
Energy — 0.7% | ||||||||||
103,220 | MPLX, LP, 8.46%(d) (l) | 3,444,967 | ||||||||
322 | Nine Point Energy Holdings, Inc., 0.00%* (n) | 68,834 | ||||||||
2,430 | Targa Resources Corp., 9.50%(l) | 2,578,349 | ||||||||
|
| |||||||||
TOTAL ENERGY | 6,092,150 | |||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCK | 6,245,028 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.0% | ||||||||||
Financial — 0.0% | ||||||||||
8,000 | B Riley Financial, Inc., 5.50% | 200,400 | ||||||||
4,575 | B Riley Financial, Inc., 6.00% | 118,264 | ||||||||
|
| |||||||||
TOTAL FINANCIAL | 318,664 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $314,375) | 318,664 | |||||||||
|
| |||||||||
Notional Value | Description | Value ($) | ||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||
PURCHASED CURRENCY OPTIONS — 0.0% | ||||||||||
Put Options — 0.0% | ||||||||||
14,900,000 | EUR | EUR/USD Option with Morgan Stanley and Co. International Plc, Strike Price USD 1.17, Expires 05/07/21 | 102,603 | |||||||
4,653,330 | USD | USD/CAD Option with Citigroup Global Markets, Inc., Strike Price CAD 1.26, Expires 05/07/21 | 50,707 | |||||||
1,700,000 | USD/COP Option with Citibank N.A., Strike Price COP 3,500.00, Expires 04/28/21 | 3,834 | ||||||||
6,000,000 | USD/COP Option with HSBC Bank Plc, Strike Price COP 14,350.00, Expires 05/06/21 | 14,184 | ||||||||
4,700,000 | USD/INR Option with Bank of America, N.A., Strike Price INR 73.00, Expires 07/02/21 | 26,978 | ||||||||
12,000,000 | USD/JPY Option with Bank of America, N.A., Strike Price JPY 107.50, Expires 04/09/21 | 876 | ||||||||
3,490,000 | USD/MXN Option with Goldman Sachs & Co., Strike Price MXN 19.91, Expires 04/29/21 | 17,834 | ||||||||
1,690,000 | USD/MXN Option with Morgan Stanley & Co., Strike Price MXN 20.60, Expires 05/20/21 | 39,416 | ||||||||
1,400,000 | USD/RUB Option with Goldman Sachs & Co., Strike Price RUB 72.46, Expires 05/11/21 | 5,048 | ||||||||
|
| |||||||||
TOTAL PURCHASED CURRENCY OPTIONS | 261,480 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
145
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Number of Contracts | Notional Value ($) | Description | Value ($) | |||||||
PURCHASED FUTURES OPTIONS — 0.0% | ||||||||||
Put Options — 0.0% | ||||||||||
1,700 | 6,744,580 | S&P 500 E-mini Futures with JPMorgan Securities LLC, | 6,630 | |||||||
650 | 2,578,810 | S&P 500 E-mini Futures with JPMorgan Securities LLC, | 1,592 | |||||||
2,000 | 7,934,800 | S&P 500 E-mini Futures with JPMorgan Securities LLC, | 34,000 | |||||||
2,550 | 10,116,870 | S&P 500 E-mini Futures with JPMorgan Securities LLC, | 107,100 | |||||||
1,050 | 4,165,770 | S&P 500 E-mini Futures with JPMorgan Securities LLC, | 58,275 | |||||||
|
| |||||||||
TOTAL PURCHASED FUTURES OPTIONS (PREMIUMS PAID $489,199) | 207,597 | |||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (PREMIUMS PAID $827,404) | 469,077 | |||||||||
|
| |||||||||
Par Value(a) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||||||
Mutual Fund - Securities Lending Collateral — 1.6% | ||||||||||
13,830,368 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04%(p) (q) | 13,830,368 | ||||||||
|
| |||||||||
Sovereign Debt Obligation — 1.0% | ||||||||||
141,575,000 | EGP | Egypt Treasury Bills, 12.48%, due 01/04/22(i) | 8,207,512 | |||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $22,076,984) | 22,037,880 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 95.5% (Cost $808,853,461) | 815,670,461 | |||||||||
Other Assets and Liabilities (net)(r) — 4.5% | 38,488,217 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $854,158,678 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
146
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Notes to Schedule of Investments: | ||||||||||
* | Non-income producing security. | |||||||||
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||||||
(b) | Variable or floating rate note. Rate shown is as of March 31, 2021. | |||||||||
(c) | When-issued security. | |||||||||
(d) | Step coupon security that pays an initial coupon rate for the first period and then a lower/higher coupon rate for the following periods. Rate shown is current coupon rate. | |||||||||
(e) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of year end, the market value of restricted securities was $2,607,960, which is 0.3% of net assets. See details shown in the Restricted Securities table that follows. | |||||||||
(f) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. | |||||||||
(g) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |||||||||
(h) | Security is currently in default. | |||||||||
(i) | Interest rate presented is yield to maturity. | |||||||||
(j) | All or a portion of this security is out on loan. | |||||||||
(k) | 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. | |||||||||
(l) | Security is perpetual and has no stated maturity date. | |||||||||
(m) | Year of maturity is greater than 2100. | |||||||||
(n) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $1,285,849 which represents 0.2% of net assets. The aggregate tax cost of these securities held at March 31, 2021 was $2,870,539. | |||||||||
(o) | Level 3 - significant unobservable inputs were used in determining the value of this portfolio security. | |||||||||
(p) | The rate disclosed is the 7-day net yield as of March 31, 2021. | |||||||||
(q) | Represents an investment of securities lending cash collateral. | |||||||||
(r) | As of March 31, 2021, the value of unfunded loan commitments was $126,421 for the Fund. See Notes to the Financial Statements. | |||||||||
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 year end is $278,205,543 which represents 32.6% of net assets. |
See accompanying Notes to the Financial Statements.
147
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
At March 31, 2021, the Fund held the following restricted securities:
Restricted Securities | Acquisition Date | Principal Amount | Cost | Value | ||||||||||||||||
GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.41%, due 08/10/44 | 08/09/18 | USD | 265,000 | $ | 260,073 | $ | 165,692 | |||||||||||||
K2016470219 South Africa, Ltd., 3.00% (3.00% Cash or PIK), due 12/31/22 | 08/23/13 | USD | 612,968 | 745,739 | 2,084 | |||||||||||||||
K2016470260 South Africa, Ltd., 25.00% (25.00% Cash or PIK), due 12/31/22 | 01/30/16 | USD | 198,302 | 215,945 | 7,436 | |||||||||||||||
Magnolia Financial X DAC, Series 2020-1, 0.53%, due 08/13/24 | 03/02/20 | USD | 617,337 | 617,337 | 606,528 | |||||||||||||||
Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22 | 01/25/19 | USD | 400,000 | 324,707 | 120 | |||||||||||||||
Provincia de Buenos Aires/Argentina, 9.95%, due 06/09/21 | 08/13/19 | USD | 180,000 | 169,661 | 69,300 | |||||||||||||||
Societe Generale SA, 3.63%, due 03/01/41 | 02/22/21 | USD | 1,495,000 | 1,494,150 | 1,438,081 | |||||||||||||||
Starwood Retail Property Trust, Series 2014-STAR, Class C, 2.86% (1 mo. USD LIBOR + 2.75%), due 11/15/27 | 07/25/18 | USD | 230,000 | 226,550 | 102,332 | |||||||||||||||
Starwood Retail Property Trust, Series 2014-STAR, Class D, 3.61% (1 mo. USD LIBOR + 3.50%), due 11/15/27 | 12/21/18 | USD | 900,000 | 732,750 | 216,387 | |||||||||||||||
|
| |||||||||||||||||||
$ | 2,607,960 | |||||||||||||||||||
|
|
Forward Foreign Currency Contracts
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
AUD | 3,507,155 | USD | 2,735,155 | 04/19/21 | Citibank N.A. | $ | (63,717 | ) | ||||||||||||
AUD | 400,000 | USD | 304,236 | 04/22/21 | Deutsche Bank AG | 452 | ||||||||||||||
AUD | 640,000 | USD | 493,184 | 04/19/21 | JPMorgan Chase Bank N.A. | (5,689 | ) | |||||||||||||
AUD | 790,000 | USD | 611,285 | 04/22/21 | JPMorgan Chase Bank N.A. | (9,525 | ) | |||||||||||||
AUD | 450,000 | USD | 347,787 | 04/19/21 | Morgan Stanley Capital Services, Inc. | (5,018 | ) | |||||||||||||
BRL | 8,931,738 | USD | 1,600,842 | 04/19/21 | Bank of America, N.A. | (19,358 | ) | |||||||||||||
BRL | 4,940,000 | USD | 841,994 | 04/19/21 | Citibank N.A. | 32,699 | ||||||||||||||
BRL | 1,750,000 | USD | 309,526 | 04/22/21 | Citibank N.A. | 280 | ||||||||||||||
BRL | 13,090,000 | USD | 2,352,349 | 04/19/21 | Goldman Sachs & Co. | (34,589 | ) | |||||||||||||
BRL | 15,275,300 | USD | 2,736,920 | 04/14/21 | JPMorgan Chase Bank N.A. | (31,421 | ) | |||||||||||||
BRL | 1,667,940 | USD | 300,394 | 04/22/21 | JPMorgan Chase Bank N.A. | (5,116 | ) | |||||||||||||
CAD | 11,766,458 | USD | 9,290,961 | 04/19/21 | Citibank N.A. | 71,257 | ||||||||||||||
CAD | 1,174,500 | USD | 930,666 | 05/10/21 | Citibank N.A. | 3,869 | ||||||||||||||
CAD | 390,000 | USD | 309,208 | 04/22/21 | Deutsche Bank AG | 1,105 | ||||||||||||||
CAD | 900,000 | USD | 715,223 | 04/19/21 | Goldman Sachs & Co. | 880 | ||||||||||||||
CAD | 370,000 | USD | 296,925 | 04/22/21 | HSBC Bank Plc | (2,526 | ) | |||||||||||||
CAD | 1,215,748 | USD | 967,664 | 04/19/21 | JPMorgan Chase Bank N.A. | (329 | ) | |||||||||||||
CAD | 360,000 | USD | 288,413 | 04/22/21 | JPMorgan Chase Bank N.A. | (1,970 | ) | |||||||||||||
CHF | 580,000 | USD | 626,309 | 04/22/21 | Morgan Stanley and Co. International Plc | (9,772 | ) | |||||||||||||
CHF | 290,000 | USD | 307,671 | 04/22/21 | State Street Bank London | 597 | ||||||||||||||
CLP | 234,210,000 | USD | 319,705 | 04/22/21 | Deutsche Bank AG | 6,357 | ||||||||||||||
CLP | 4,653,954,100 | USD | 6,430,334 | 04/14/21 | JPMorgan Chase Bank N.A. | 48,250 |
See accompanying Notes to the Financial Statements.
148
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
CNH | 39,100,480 | USD | 5,975,834 | 04/22/21 | Barclays Bank Plc | $ | (23,366 | ) | ||||||||||||
CNH | 3,300,000 | USD | 506,323 | 04/22/21 | JPMorgan Chase Bank N.A. | (3,947 | ) | |||||||||||||
CNH | 2,000,000 | USD | 306,939 | 04/22/21 | Morgan Stanley and Co. International Plc | (2,468 | ) | |||||||||||||
CNY | 83,592,900 | USD | 12,875,302 | 04/12/21 | JPMorgan Chase Bank N.A. | (132,470 | ) | |||||||||||||
COP | 1,471,009,623 | USD | 393,741 | 04/22/21 | Citibank N.A. | 6,518 | ||||||||||||||
COP | 436,500,000 | USD | 121,957 | 04/22/21 | Goldman Sachs International | (3,186 | ) | |||||||||||||
COP | 436,493,243 | USD | 118,677 | 04/22/21 | HSBC Bank Plc | 92 | ||||||||||||||
COP | 645,900,000 | USD | 180,621 | 04/22/21 | JPMorgan Chase Bank N.A. | (4,873 | ) | |||||||||||||
CZK | 134,131,492 | USD | 6,061,810 | 04/22/21 | Bank of America, N.A. | (26,286 | ) | |||||||||||||
CZK | 1,872,700 | USD | 85,391 | 04/21/21 | JPMorgan Chase Bank N.A. | (1,125 | ) | |||||||||||||
EUR | 600,000 | USD | 716,594 | 04/22/21 | Bank of America, N.A. | (11,181 | ) | |||||||||||||
EUR | 770,000 | USD | 926,637 | 04/19/21 | Citibank N.A. | (21,413 | ) | |||||||||||||
EUR | 2,012,770 | USD | 2,379,776 | 04/22/21 | Deutsche Bank AG | (13,386 | ) | |||||||||||||
EUR | 1,253,000 | USD | 1,520,014 | 04/06/21 | Goldman Sachs & Co. | (47,364 | ) | |||||||||||||
EUR | 3,434,456 | USD | 4,141,834 | 04/19/21 | Goldman Sachs & Co. | (104,234 | ) | |||||||||||||
EUR | 13,286,020 | USD | 15,816,364 | 04/22/21 | HSBC Bank Plc | (196,143 | ) | |||||||||||||
EUR | 2,353,000 | USD | 2,758,893 | 04/06/21 | HSBC Bank USA, N.A. | 6,587 | ||||||||||||||
EUR | 580,000 | USD | 695,238 | 04/22/21 | JPMorgan Chase Bank N.A. | (13,339 | ) | |||||||||||||
EUR | 360,000 | USD | 429,828 | 04/22/21 | Morgan Stanley and Co. International Plc | (6,581 | ) | |||||||||||||
EUR | 3,777,000 | USD | 4,428,155 | 04/06/21 | Standard Chartered Bank | 10,951 | ||||||||||||||
EUR | 1,784,000 | USD | 2,091,615 | 04/06/21 | UBS AG | 5,119 | ||||||||||||||
EUR | 370,000 | USD | 441,756 | 04/22/21 | UBS AG | (6,752 | ) | |||||||||||||
GBP | 220,000 | USD | 304,367 | 04/22/21 | Deutsche Bank AG | (817 | ) | |||||||||||||
GBP | 300,000 | USD | 420,484 | 04/19/21 | Goldman Sachs & Co. | (6,556 | ) | |||||||||||||
GBP | 440,000 | USD | 607,474 | 04/22/21 | HSBC Bank Plc | (373 | ) | |||||||||||||
HUF | 129,580,000 | USD | 420,795 | 04/22/21 | HSBC Bank Plc | (479 | ) | |||||||||||||
HUF | 641,214,400 | USD | 2,086,590 | 04/21/21 | JPMorgan Chase Bank N.A. | (6,668 | ) | |||||||||||||
HUF | 806,496,408 | USD | 2,608,913 | 04/22/21 | Morgan Stanley and Co. International Plc | 7,102 | ||||||||||||||
IDR | 1,593,440,000 | USD | 109,666 | 04/22/21 | Bank of America, N.A. | (99 | ) | |||||||||||||
IDR | 2,647,202,150 | USD | 182,529 | 04/22/21 | Barclays Bank Plc | (505 | ) | |||||||||||||
IDR | 1,979,110,000 | USD | 136,698 | 04/22/21 | Citibank N.A. | (613 | ) | |||||||||||||
IDR | 1,955,300,000 | USD | 134,505 | 04/22/21 | Goldman Sachs International | (57 | ) | |||||||||||||
IDR | 11,290,494,322 | USD | 774,238 | 04/22/21 | HSBC Bank Plc | 2,106 | ||||||||||||||
IDR | 4,208,383,460 | USD | 290,835 | 04/30/21 | JPMorgan Chase Bank N.A. | (1,632 | ) | |||||||||||||
IDR | 28,018,343,240 | USD | 1,928,214 | 04/22/21 | Morgan Stanley and Co. International Plc | (1,648 | ) | |||||||||||||
IDR | 3,857,815,678 | USD | 263,938 | 04/22/21 | UBS AG | 1,329 | ||||||||||||||
INR | 130,865,440 | USD | 1,778,425 | 04/22/21 | Bank of America, N.A. | 7,305 | ||||||||||||||
INR | 11,731,384 | USD | 159,444 | 04/22/21 | Barclays Bank Plc | 638 | ||||||||||||||
INR | 7,980,783 | USD | 108,329 | 04/22/21 | Citibank N.A. | 573 | ||||||||||||||
INR | 5,600,000 | USD | 76,790 | 04/22/21 | Goldman Sachs International | (375 | ) | |||||||||||||
INR | 17,091,270 | USD | 231,872 | 04/22/21 | HSBC Bank Plc | 1,348 | ||||||||||||||
INR | 29,924,191 | USD | 406,446 | 04/22/21 | JPMorgan Chase Bank N.A. | 1,886 | ||||||||||||||
INR | 35,433,642 | USD | 483,062 | 04/22/21 | Morgan Stanley and Co. International Plc | 450 | ||||||||||||||
JPY | 803,780 | USD | 7,381 | 04/22/21 | Bank of America, N.A. | (106 | ) | |||||||||||||
JPY | 327,288,535 | USD | 3,151,814 | 04/19/21 | Citibank N.A. | (189,428 | ) | |||||||||||||
JPY | 440,417,171 | USD | 4,145,796 | 04/19/21 | JPMorgan Chase Bank N.A. | (159,449 | ) | |||||||||||||
KRW | 1,081,671,400 | USD | 955,498 | 04/22/21 | JPMorgan Chase Bank N.A. | 131 |
See accompanying Notes to the Financial Statements.
149
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
KZT | 215,550,000 | USD | 499,942 | 04/30/21 | Goldman Sachs International | $ | 2,801 | |||||||||||||
KZT | 230,962,020 | USD | 542,483 | 05/17/21 | Goldman Sachs International | (6,174 | ) | |||||||||||||
KZT | 198,300,000 | USD | 470,463 | 05/24/21 | Goldman Sachs International | (10,848 | ) | |||||||||||||
KZT | 327,957,030 | USD | 776,230 | 06/04/21 | Goldman Sachs International | (18,224 | ) | |||||||||||||
KZT | 238,098,870 | USD | 552,754 | 04/26/21 | JPMorgan Chase Bank N.A. | 3,130 | ||||||||||||||
KZT | 151,631,120 | USD | 350,349 | 06/30/21 | JPMorgan Chase Bank N.A. | (1,809 | ) | |||||||||||||
KZT | 95,261,090 | USD | 223,094 | 06/04/21 | Morgan Stanley and Co. International Plc | (2,917 | ) | |||||||||||||
MXN | 95,920,778 | USD | 4,739,195 | 04/19/21 | Citibank N.A. | (57,812 | ) | |||||||||||||
MXN | 12,410,000 | USD | 602,484 | 04/19/21 | Goldman Sachs & Co. | 3,182 | ||||||||||||||
MXN | 1,020,000 | USD | 49,133 | 04/22/21 | Goldman Sachs International | 631 | ||||||||||||||
MXN | 1,240,000 | USD | 59,221 | 04/22/21 | HSBC Bank Plc | 1,277 | ||||||||||||||
MXN | 2,464,900 | USD | 115,839 | 04/19/21 | JPMorgan Chase Bank N.A. | 4,459 | ||||||||||||||
MXN | 12,200,000 | USD | 594,619 | 04/22/21 | Morgan Stanley and Co. International Plc | 603 | ||||||||||||||
MXN | 2,769,452 | USD | 132,383 | 05/24/21 | Morgan Stanley Capital Services, Inc. | 2,264 | ||||||||||||||
MXN | 8,100,000 | USD | 388,167 | 04/22/21 | State Street Bank London | 7,021 | ||||||||||||||
MYR | 3,214,510 | USD | 780,316 | 04/22/21 | Goldman Sachs International | (5,659 | ) | |||||||||||||
MYR | 370,000 | USD | 89,937 | 04/22/21 | Morgan Stanley and Co. International Plc | (771 | ) | |||||||||||||
NOK | 7,280,000 | USD | 849,444 | 04/19/21 | BNP Paribas S.A. | 3,394 | ||||||||||||||
NOK | 1,850,000 | USD | 216,112 | 04/19/21 | JPMorgan Chase Bank N.A. | 612 | ||||||||||||||
NOK | 37,680,000 | USD | 4,393,695 | 04/19/21 | Morgan Stanley Capital Services, Inc. | 20,443 | ||||||||||||||
NZD | 820,000 | USD | 589,406 | 04/22/21 | Morgan Stanley and Co. International Plc | (15,137 | ) | |||||||||||||
NZD | 760,000 | USD | 545,590 | 04/19/21 | Morgan Stanley Capital Services, Inc. | (13,338 | ) | |||||||||||||
NZD | 410,000 | USD | 286,149 | 04/22/21 | State Street Bank London | 986 | ||||||||||||||
PEN | 2,300,000 | USD | 622,800 | 04/22/21 | Barclays Bank Plc | (11,439 | ) | |||||||||||||
PEN | 1,000,000 | USD | 270,226 | 04/22/21 | Citibank N.A. | (4,417 | ) | |||||||||||||
PEN | 4,360,000 | USD | 1,170,388 | 04/22/21 | Deutsche Bank AG | (11,461 | ) | |||||||||||||
PEN | 256,000 | USD | 69,558 | 04/12/21 | JPMorgan Chase Bank N.A. | (1,511 | ) | |||||||||||||
PEN | 112,000 | USD | 30,259 | 04/21/21 | JPMorgan Chase Bank N.A. | (488 | ) | |||||||||||||
PEN | 24,700 | USD | 6,634 | 04/22/21 | JPMorgan Chase Bank N.A. | (68 | ) | |||||||||||||
PHP | 11,804,400 | USD | 242,440 | 04/21/21 | JPMorgan Chase Bank N.A. | 652 | ||||||||||||||
PLN | 2,300,000 | USD | 592,364 | 04/22/21 | Bank of America, N.A. | (9,445 | ) | |||||||||||||
PLN | 14,496,784 | USD | 3,757,454 | 04/22/21 | Barclays Bank Plc | (83,347 | ) | |||||||||||||
RON | 590,000 | USD | 142,460 | 04/22/21 | Goldman Sachs International | (1,672 | ) | |||||||||||||
RON | 8,993,200 | USD | 2,195,070 | 04/21/21 | JPMorgan Chase Bank N.A. | (48,958 | ) | |||||||||||||
RON | 2,490,000 | USD | 603,868 | 04/22/21 | UBS AG | (9,693 | ) | |||||||||||||
RUB | 72,880,000 | USD | 982,466 | 04/19/21 | BNP Paribas S.A. | (19,452 | ) | |||||||||||||
RUB | 282,960,000 | USD | 3,755,483 | 04/19/21 | Citibank N.A. | (16,536 | ) | |||||||||||||
RUB | 26,520,000 | USD | 356,583 | 04/22/21 | Citibank N.A. | (6,290 | ) | |||||||||||||
RUB | 463,758,616 | USD | 6,171,898 | 04/19/21 | Goldman Sachs & Co. | (43,933 | ) | |||||||||||||
RUB | 223,143,920 | USD | 3,002,527 | 04/22/21 | Goldman Sachs International | (55,105 | ) | |||||||||||||
RUB | 54,772,300 | USD | 743,222 | 04/21/21 | JPMorgan Chase Bank N.A. | (19,663 | ) | |||||||||||||
RUB | 21,540,000 | USD | 291,317 | 04/22/21 | JPMorgan Chase Bank N.A. | (6,804 | ) | |||||||||||||
RUB | 21,539,080 | USD | 289,504 | 04/22/21 | Morgan Stanley and Co. International Plc | (5,002 | ) | |||||||||||||
RUB | 458,920,000 | USD | 6,013,773 | 04/19/21 | Morgan Stanley Capital Services, Inc. | 50,256 | ||||||||||||||
THB | 27,340,000 | USD | 888,883 | 04/22/21 | Goldman Sachs International | (14,077 | ) | |||||||||||||
THB | 46,260,000 | USD | 1,499,347 | 04/22/21 | HSBC Bank Plc | (19,154 | ) | |||||||||||||
THB | 36,551,400 | USD | 1,186,849 | 04/21/21 | JPMorgan Chase Bank N.A. | (17,301 | ) |
See accompanying Notes to the Financial Statements.
150
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
THB | 258,576,620 | USD | 8,396,299 | 04/22/21 | Morgan Stanley and Co. International Plc | $ | (122,557 | ) | ||||||||||||
THB | 9,130,000 | USD | 296,647 | 04/22/21 | Natwest Markets Plc | (4,512 | ) | |||||||||||||
TRY | 5,711,110 | USD | 733,611 | 04/22/21 | HSBC Bank Plc | (54,054 | ) | |||||||||||||
TRY | 6,196,800 | USD | 815,283 | 04/19/21 | JPMorgan Chase Bank N.A. | (76,340 | ) | |||||||||||||
TRY | 2,646,400 | USD | 342,643 | 04/21/21 | JPMorgan Chase Bank N.A. | (27,524 | ) | |||||||||||||
TRY | 2,920,000 | USD | 390,859 | 04/22/21 | JPMorgan Chase Bank N.A. | (43,412 | ) | |||||||||||||
TWD | 10,003,690 | USD | 354,590 | 04/22/21 | Bank of America, N.A. | (3,952 | ) | |||||||||||||
TWD | 33,123,110 | USD | 1,167,327 | 04/22/21 | HSBC Bank Plc | (6,334 | ) | |||||||||||||
TWD | 6,684,130 | USD | 234,358 | 04/22/21 | Morgan Stanley and Co. International Plc | (74 | ) | |||||||||||||
TWD | 6,900,000 | USD | 246,090 | 04/22/21 | UBS AG | (4,240 | ) | |||||||||||||
UAH | 35,325,330 | USD | 1,239,631 | 06/02/21 | Citibank N.A. | 12,086 | ||||||||||||||
UAH | 31,600,000 | USD | 1,107,994 | 05/17/21 | Goldman Sachs International | 16,101 | ||||||||||||||
UAH | 18,236,160 | USD | 628,833 | 05/11/21 | JPMorgan Chase Bank N.A. | 20,828 | ||||||||||||||
UAH | 4,672,880 | USD | 163,273 | 05/05/21 | Morgan Stanley and Co. International Plc | 3,443 | ||||||||||||||
UAH | 14,077,160 | USD | 491,349 | 04/20/21 | UBS AG | 12,270 | ||||||||||||||
ZAR | 4,205,000 | USD | 273,321 | 04/19/21 | JPMorgan Chase Bank N.A. | 10,927 | ||||||||||||||
ZAR | 13,360,000 | USD | 862,969 | 04/22/21 | JPMorgan Chase Bank N.A. | 39,777 | ||||||||||||||
ZAR | 3,990,000 | USD | 268,770 | 04/22/21 | Morgan Stanley and Co. International Plc | 838 | ||||||||||||||
ZAR | 3,600,000 | USD | 239,877 | 04/22/21 | Toronto Dominion Bank | 3,378 | ||||||||||||||
USD | 599,926 | AUD | 770,000 | 04/22/21 | Deutsche Bank AG | 13,401 | ||||||||||||||
USD | 849,252 | AUD | 1,080,000 | 04/19/21 | Goldman Sachs & Co. | 26,604 | ||||||||||||||
USD | 1,804,406 | AUD | 2,342,119 | 04/22/21 | Morgan Stanley and Co. International Plc | 20,364 | ||||||||||||||
USD | 4,227,814 | BRL | 22,365,980 | 04/19/21 | Citibank N.A. | 267,616 | ||||||||||||||
USD | 303,908 | BRL | 1,720,000 | 04/22/21 | Citibank N.A. | (587 | ) | |||||||||||||
USD | 1,295,583 | BRL | 7,400,000 | 04/19/21 | Goldman Sachs & Co. | (14,686 | ) | |||||||||||||
USD | 581,124 | BRL | 3,281,610 | 04/22/21 | HSBC Bank Plc | 175 | ||||||||||||||
USD | 428,413 | BRL | 2,480,000 | 04/19/21 | JPMorgan Chase Bank N.A. | (10,704 | ) | |||||||||||||
USD | 5,609,794 | BRL | 31,612,600 | 04/22/21 | JPMorgan Chase Bank N.A. | 13,353 | ||||||||||||||
USD | 3,063,193 | BRL | 17,969,610 | 04/22/21 | UBS AG | (118,002 | ) | |||||||||||||
USD | 1,765,224 | CAD | 2,225,990 | 04/22/21 | Barclays Bank Plc | (5,937 | ) | |||||||||||||
USD | 3,920,423 | CAD | 4,913,926 | 04/19/21 | Citibank N.A. | 10,559 | ||||||||||||||
USD | 2,512,798 | CAD | 3,216,382 | 05/10/21 | Citibank N.A. | (46,436 | ) | |||||||||||||
USD | 2,720,283 | CAD | 3,430,000 | 04/19/21 | Goldman Sachs & Co. | (8,865 | ) | |||||||||||||
USD | 1,532,582 | CAD | 1,930,000 | 04/19/21 | JPMorgan Chase Bank N.A. | (3,062 | ) | |||||||||||||
USD | 595,622 | CAD | 740,000 | 04/22/21 | The BNY Mellon | 6,824 | ||||||||||||||
USD | 1,812,350 | CHF | 1,685,860 | 04/22/21 | Goldman Sachs International | 20,291 | ||||||||||||||
USD | 607,624 | CHF | 560,000 | 04/22/21 | UBS AG | 12,348 | ||||||||||||||
USD | 1,762,552 | CLP | 1,291,298,570 | 04/22/21 | Barclays Bank Plc | (35,165 | ) | |||||||||||||
USD | 110,375 | CLP | 79,588,317 | 04/22/21 | Citibank N.A. | (426 | ) | |||||||||||||
USD | 276,495 | CLP | 201,191,570 | 04/22/21 | Deutsche Bank AG | (3,599 | ) | |||||||||||||
USD | 159,731 | CLP | 116,821,069 | 04/22/21 | Goldman Sachs International | (2,904 | ) | |||||||||||||
USD | 4,297,686 | CLP | 3,074,994,000 | 04/21/21 | JPMorgan Chase Bank N.A. | 16,792 | ||||||||||||||
USD | 303,715 | CLP | 218,280,000 | 04/22/21 | JPMorgan Chase Bank N.A. | (170 | ) | |||||||||||||
USD | 834,714 | CNH | 5,478,435 | 04/22/21 | Bank of America, N.A. | 703 | ||||||||||||||
USD | 312,820 | CNH | 2,060,000 | 04/22/21 | Deutsche Bank AG | (784 | ) | |||||||||||||
USD | 284,659 | CNH | 1,870,000 | 04/22/21 | Goldman Sachs International | (21 | ) | |||||||||||||
USD | 3,178,272 | CNH | 20,710,000 | 04/22/21 | HSBC Bank Plc | 25,482 |
See accompanying Notes to the Financial Statements.
151
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 543,468 | CNH | 3,563,740 | 04/22/21 | JPMorgan Chase Bank N.A. | $ | 941 | |||||||||||||
USD | 46,053 | CNH | 302,265 | 04/22/21 | Morgan Stanley and Co. International Plc | 38 | ||||||||||||||
USD | 537,115 | COP | 1,892,900,000 | 04/22/21 | Bank of America, N.A. | 22,061 | ||||||||||||||
USD | 1,328,022 | COP | 4,784,837,970 | 04/22/21 | Barclays Bank Plc | 26,078 | ||||||||||||||
USD | 188,368 | COP | 691,382,660 | 04/22/21 | Citibank N.A. | 245 | ||||||||||||||
USD | 2,970,256 | COP | 10,650,151,500 | 04/22/21 | JPMorgan Chase Bank N.A. | 72,372 | ||||||||||||||
USD | 616,091 | CZK | 13,500,000 | 04/22/21 | UBS AG | 8,631 | ||||||||||||||
USD | 313,518 | EUR | 266,000 | 04/30/21 | Bank of America, N.A. | 733 | ||||||||||||||
USD | 1,920,762 | EUR | 1,595,000 | 04/08/21 | Barclays Bank Plc | 46,082 | ||||||||||||||
USD | 724,765 | EUR | 608,000 | 04/09/21 | Barclays Bank Plc | 10,139 | ||||||||||||||
USD | 317,428 | EUR | 266,000 | 04/16/21 | Barclays Bank Plc | 4,733 | ||||||||||||||
USD | 1,610,066 | EUR | 1,366,000 | 04/30/21 | Barclays Bank Plc | 3,809 | ||||||||||||||
USD | 3,598,465 | EUR | 2,990,000 | 04/06/21 | Citibank N.A. | 84,320 | ||||||||||||||
USD | 2,970,384 | EUR | 2,513,000 | 04/19/21 | Citibank N.A. | 16,062 | ||||||||||||||
USD | 1,277,117 | EUR | 1,075,000 | 04/26/21 | Citibank N.A. | 13,147 | ||||||||||||||
USD | 941,604 | EUR | 799,000 | 04/30/21 | Commonwealth Bank of Australia | 2,073 | ||||||||||||||
USD | 1,400,592 | EUR | 1,177,000 | 04/12/21 | Deutsche Bank AG | 17,093 | ||||||||||||||
USD | 1,076,675 | EUR | 900,000 | 04/22/21 | Deutsche Bank AG | 18,555 | ||||||||||||||
USD | 180,201 | EUR | 153,000 | 04/29/21 | Deutsche Bank AG | 295 | ||||||||||||||
USD | 6,484,169 | EUR | 5,285,797 | 04/19/21 | Goldman Sachs & Co. | 270,105 | ||||||||||||||
USD | 334,745 | EUR | 284,000 | 04/30/21 | Goldman Sachs & Co. | 794 | ||||||||||||||
USD | 20,397,324 | EUR | 17,135,488 | 04/22/21 | HSBC Bank Plc | 251,328 | ||||||||||||||
USD | 2,836,024 | EUR | 2,353,000 | 04/06/21 | HSBC Bank USA, N.A. | 70,544 | ||||||||||||||
USD | 1,631,205 | EUR | 1,350,000 | 04/07/21 | HSBC Bank USA, N.A. | 44,518 | ||||||||||||||
USD | 2,760,613 | EUR | 2,353,000 | 05/06/21 | HSBC Bank USA, N.A. | (6,585 | ) | |||||||||||||
USD | 129,293 | EUR | 110,000 | 04/22/21 | JPMorgan Chase Bank N.A. | (32 | ) | |||||||||||||
USD | 931,707 | EUR | 773,000 | 04/08/21 | Morgan Stanley Capital Services, Inc. | 23,163 | ||||||||||||||
USD | 135,810 | EUR | 114,000 | 04/19/21 | Morgan Stanley Capital Services, Inc. | 1,790 | ||||||||||||||
USD | 4,552,784 | EUR | 3,777,000 | 04/06/21 | Standard Chartered Bank | 113,679 | ||||||||||||||
USD | 1,584,980 | EUR | 1,328,000 | 04/22/21 | Standard Chartered Bank | 23,666 | ||||||||||||||
USD | 851,073 | EUR | 722,000 | 04/30/21 | Standard Chartered Bank | 2,086 | ||||||||||||||
USD | 4,430,844 | EUR | 3,777,000 | 05/06/21 | Standard Chartered Bank | (11,019 | ) | |||||||||||||
USD | 1,132,427 | EUR | 949,000 | 04/16/21 | State Street Bank and Trust | 16,838 | ||||||||||||||
USD | 1,476,638 | EUR | 1,253,000 | 04/30/21 | State Street Bank and Trust | 3,256 | ||||||||||||||
USD | 2,149,881 | EUR | 1,784,000 | 04/06/21 | UBS AG | 53,146 | ||||||||||||||
USD | 544,308 | EUR | 456,000 | 04/22/21 | UBS AG | 8,194 | ||||||||||||||
USD | 2,092,898 | EUR | 1,784,000 | 05/06/21 | UBS AG | (5,139 | ) | |||||||||||||
USD | 2,264,651 | GBP | 1,633,670 | 04/19/21 | Citibank N.A. | 10,579 | ||||||||||||||
USD | 1,802,287 | GBP | 1,298,660 | 04/22/21 | Deutsche Bank AG | 10,430 | ||||||||||||||
USD | 752,132 | GBP | 550,000 | 04/19/21 | Goldman Sachs & Co. | (6,736 | ) | |||||||||||||
USD | 597,723 | GBP | 430,000 | 04/22/21 | HSBC Bank Plc | 4,420 | ||||||||||||||
USD | 821,681 | GBP | 591,000 | 04/12/21 | Standard Chartered Bank | 6,263 | ||||||||||||||
USD | 529,418 | HUF | 162,200,000 | 04/22/21 | Citibank N.A. | 3,294 | ||||||||||||||
USD | 286,118 | IDR | 4,135,147,490 | 04/22/21 | Bank of America, N.A. | 1,782 | ||||||||||||||
USD | 419,413 | IDR | 6,033,668,200 | 04/22/21 | Barclays Bank Plc | 4,532 | ||||||||||||||
USD | 512,511 | IDR | 7,430,532,510 | 04/22/21 | Citibank N.A. | 1,581 | ||||||||||||||
USD | 21,889 | IDR | 315,514,790 | 04/22/21 | Deutsche Bank AG | 194 |
See accompanying Notes to the Financial Statements.
152
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 727,904 | IDR | 10,539,978,307 | 04/22/21 | HSBC Bank Plc | $ | 3,165 | |||||||||||||
USD | 7,436,422 | IDR | 104,254,912,712 | 04/19/21 | JPMorgan Chase Bank N.A. | 266,186 | ||||||||||||||
USD | 1,787,243 | IDR | 25,918,596,760 | 04/21/21 | JPMorgan Chase Bank N.A. | 4,927 | ||||||||||||||
USD | 1,455,153 | IDR | 21,095,359,000 | 04/22/21 | JPMorgan Chase Bank N.A. | 4,618 | ||||||||||||||
USD | 6,134,298 | IDR | 89,057,731,741 | 04/28/21 | JPMorgan Chase Bank N.A. | 13,299 | ||||||||||||||
USD | 628,698 | IDR | 9,116,330,690 | 04/22/21 | Natwest Markets Plc | 1,852 | ||||||||||||||
USD | 157,290 | IDR | 2,280,560,923 | 04/22/21 | UBS AG | 476 | ||||||||||||||
USD | 41,667 | INR | 3,047,065 | 04/22/21 | Bank of America, N.A. | 88 | ||||||||||||||
USD | 590,397 | INR | 42,964,990 | 04/22/21 | Barclays Bank Plc | 4,117 | ||||||||||||||
USD | 595,619 | INR | 43,370,000 | 04/22/21 | Citibank N.A. | 3,812 | ||||||||||||||
USD | 588,531 | INR | 43,001,640 | 04/22/21 | Goldman Sachs International | 1,750 | ||||||||||||||
USD | 276,233 | INR | 20,201,745 | 04/22/21 | Morgan Stanley and Co. International Plc | 569 | ||||||||||||||
USD | 984,785 | JPY | 101,720,000 | 04/19/21 | Citibank N.A. | 64,087 | ||||||||||||||
USD | 1,684,734 | JPY | 177,870,000 | 04/19/21 | Goldman Sachs & Co. | 74,779 | ||||||||||||||
USD | 822,997 | JPY | 86,420,000 | 04/19/21 | JPMorgan Chase Bank N.A. | 40,784 | ||||||||||||||
USD | 377,215 | JPY | 39,760,000 | 04/19/21 | Morgan Stanley Capital Services, Inc. | 17,335 | ||||||||||||||
USD | 296,560 | KZT | 125,000,000 | 04/26/21 | Citibank N.A. | 4,725 | ||||||||||||||
USD | 296,314 | KZT | 125,000,000 | 04/30/21 | Citibank N.A. | 4,767 | ||||||||||||||
USD | 413,614 | KZT | 175,000,000 | 05/17/21 | Citibank N.A. | 7,253 | ||||||||||||||
USD | 247,816 | MXN | 5,080,000 | 04/22/21 | Bank of America, N.A. | (30 | ) | |||||||||||||
USD | 1,924,363 | MXN | 39,560,000 | 04/19/21 | Goldman Sachs & Co. | (6,351 | ) | |||||||||||||
USD | 1,396,000 | MXN | 28,562,160 | 05/03/21 | Goldman Sachs & Co. | 4,162 | ||||||||||||||
USD | 297,632 | MXN | 6,191,510 | 04/22/21 | Goldman Sachs International | (4,444 | ) | |||||||||||||
USD | 575,016 | MXN | 11,987,100 | 04/21/21 | JPMorgan Chase Bank N.A. | (9,883 | ) | |||||||||||||
USD | 582,802 | MXN | 12,018,310 | 04/22/21 | Morgan Stanley and Co. International Plc | (3,556 | ) | |||||||||||||
USD | 292,317 | MXN | 6,020,000 | 04/22/21 | Natwest Markets Plc | (1,391 | ) | |||||||||||||
USD | 3,662,215 | MXN | 77,588,557 | 04/22/21 | State Street Bank London | (123,229 | ) | |||||||||||||
USD | 518,249 | MXN | 10,790,000 | 04/22/21 | UBS AG | (8,181 | ) | |||||||||||||
USD | 316,941 | MYR | 1,320,850 | 04/22/21 | Morgan Stanley and Co. International Plc | (1,368 | ) | |||||||||||||
USD | 2,445,006 | NOK | 20,660,000 | 04/19/21 | Morgan Stanley Capital Services, Inc. | 24,727 | ||||||||||||||
USD | 1,783,109 | NZD | 2,489,840 | 04/22/21 | HSBC Bank Plc | 39,403 | ||||||||||||||
USD | 545,794 | NZD | 760,000 | 04/19/21 | Morgan Stanley Capital Services, Inc. | 13,541 | ||||||||||||||
USD | 600,377 | NZD | 830,000 | 04/22/21 | The BNY Mellon | 19,105 | ||||||||||||||
USD | 2,535,269 | PEN | 9,379,480 | 04/22/21 | Barclays Bank Plc | 42,119 | ||||||||||||||
USD | 279,627 | PEN | 1,044,380 | 04/22/21 | Deutsche Bank AG | 2,022 | ||||||||||||||
USD | 303,453 | PHP | 14,800,000 | 04/22/21 | Citibank N.A. | (1,320 | ) | |||||||||||||
USD | 717,557 | PHP | 34,900,000 | 04/22/21 | JPMorgan Chase Bank N.A. | (1,129 | ) | |||||||||||||
USD | 1,445,010 | PLN | 5,548,500 | 04/21/21 | JPMorgan Chase Bank N.A. | 38,788 | ||||||||||||||
USD | 600,579 | PLN | 2,300,000 | 04/22/21 | UBS AG | 17,661 | ||||||||||||||
USD | 4,219,048 | RON | 17,384,800 | 04/22/21 | Goldman Sachs International | 70,613 | ||||||||||||||
USD | 177,777 | RUB | 13,537,240 | 04/22/21 | Barclays Bank Plc | (1,031 | ) | |||||||||||||
USD | 2,884,674 | RUB | 214,023,561 | 04/19/21 | Citibank N.A. | 56,632 | ||||||||||||||
USD | 9,330,181 | RUB | 693,278,510 | 04/19/21 | Goldman Sachs & Co. | 169,411 | ||||||||||||||
USD | 546,000 | RUB | 40,589,640 | 05/12/21 | Goldman Sachs & Co. | 11,219 | ||||||||||||||
USD | 183,393 | RUB | 13,969,980 | 04/22/21 | Goldman Sachs International | (1,132 | ) | |||||||||||||
USD | 531,266 | RUB | 39,277,560 | 04/19/21 | JPMorgan Chase Bank N.A. | 12,264 | ||||||||||||||
USD | 4,028,087 | RUB | 298,340,990 | 04/22/21 | JPMorgan Chase Bank N.A. | 87,414 |
See accompanying Notes to the Financial Statements.
153
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 252,000 | RUB | 18,821,880 | 05/18/21 | JPMorgan Chase Bank N.A. | $ | 4,200 | |||||||||||||
USD | 3,586,560 | SAR | 13,460,000 | 04/15/21 | JPMorgan Chase Bank N.A. | (2,214 | ) | |||||||||||||
USD | 535,433 | THB | 16,708,180 | 04/22/21 | Citibank N.A. | 817 | ||||||||||||||
USD | 940,403 | THB | 28,800,000 | 04/22/21 | HSBC Bank Plc | 18,882 | ||||||||||||||
USD | 387,044 | TRY | 3,037,162 | 04/22/21 | HSBC Bank Plc | 25,656 | ||||||||||||||
USD | 497,107 | TRY | 3,858,948 | 04/22/21 | JPMorgan Chase Bank N.A. | 37,937 | ||||||||||||||
USD | 216,065 | TRY | 1,735,000 | 04/22/21 | UBS AG | 9,619 | ||||||||||||||
USD | 3,578,204 | TWD | 100,848,100 | 04/22/21 | JPMorgan Chase Bank N.A. | 43,394 | ||||||||||||||
USD | 617,284 | UAH | 17,500,000 | 05/11/21 | Goldman Sachs International | (6,152 | ) | |||||||||||||
USD | 616,631 | UAH | 17,500,000 | 05/17/21 | Goldman Sachs International | (5,890 | ) | |||||||||||||
USD | 298,193 | ZAR | 4,480,000 | 04/22/21 | Citibank N.A. | (4,524 | ) | |||||||||||||
USD | 583,627 | ZAR | 8,650,000 | 04/22/21 | Deutsche Bank AG | (860 | ) | |||||||||||||
USD | 288,270 | ZAR | 4,345,790 | 04/22/21 | Goldman Sachs International | (5,378 | ) | |||||||||||||
USD | 349,009 | ZAR | 5,277,740 | 04/22/21 | HSBC Bank Plc | (7,612 | ) | |||||||||||||
USD | 8,236,308 | ZAR | 124,497,796 | 04/22/21 | JPMorgan Chase Bank N.A. | (176,105 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 705,424 | |||||||||||||||||||
|
|
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
10 | 10-Year Australian Bond Futures | Jun 2021 | $ | 1,051,948 | $ | (6,383 | ) | |||||||||||||
264 | Euro 90-Day | Dec 2023 | 65,204,700 | (151,342 | ) | |||||||||||||||
66 | U.S. Long Bond | Jun 2021 | 10,203,188 | (383,259 | ) | |||||||||||||||
283 | U.S. Treasury Note 2-Year | Jun 2021 | 62,465,617 | (57,633 | ) | |||||||||||||||
112 | U.S. Ultra Bond | Jun 2021 | 20,296,500 | (1,100,439 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (1,699,056 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
31 | Euro 90-Day | Dec 2021 | $ | 7,729,463 | $ | 2,422 | ||||||||||||||
17 | Euro-Bund | Jun 2021 | 3,422,190 | (11,789 | ) | |||||||||||||||
69 | U.S. Treasury Note 10-Year | Jun 2021 | 9,034,688 | 79,880 | ||||||||||||||||
92 | U.S. Treasury Note 5-Year | Jun 2021 | 11,352,656 | 130,294 | ||||||||||||||||
152 | U.S. Ultra 10-Year | Jun 2021 | 21,840,500 | 51,118 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 251,925 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
154
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Written Options
Written Currency Options
Type of Contract | Counterparty | Notional Value | Premiums Received | Value at March 31, 2021 | |||||||||||||||||||||
CALL — USD/CNY Option |
| JPMorgan Chase Bank N.A. |
| USD |
| (2,890,000 | ) | $ | (16,964 | ) | $ | (14,242 | ) | ||||||||||||
Strike @ CNY 6.58 | |||||||||||||||||||||||||
Expires 04/29/2021 | |||||||||||||||||||||||||
CALL — USD/RUB Option |
|
JPMorgan Chase Bank N.A. |
|
|
USD |
|
|
(1,400,000 |
) |
|
(14,630 |
) |
|
(16,792 |
) | ||||||||||
Strike @ RUB 78.26 | |||||||||||||||||||||||||
Expires 05/16/2021 | |||||||||||||||||||||||||
PUT — USD/CAD Option |
| JPMorgan Chase Bank N.A. |
| USD |
| (4,653,330 | ) |
| (20,777 | ) |
| (10,223 | ) | ||||||||||||
Strike @ CAD 1.23 | |||||||||||||||||||||||||
Expires 05/07/2021 | |||||||||||||||||||||||||
PUT — USD/JPY Option |
| JPMorgan Chase Bank N.A. |
| USD |
| (1,312,932 | ) |
| (3,551 | ) |
| (3 | ) | ||||||||||||
Strike @ JPY 108.35 | |||||||||||||||||||||||||
Expires 04/02/2021 | |||||||||||||||||||||||||
PUT — USD/MXN Option |
| Morgan Stanley & Co. |
| USD |
| (3,380,000 | ) |
| (33,327 | ) |
| (33,695 | ) | ||||||||||||
Strike @ MXN 20.00 | |||||||||||||||||||||||||
Expires 05/20/2021 | |||||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Written Currency Options | $ | (89,249 | ) | $ | (74,955 | ) | |||||||||||||||||||
|
|
|
|
Written Futures Options
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at March 31, 2021 | ||||||||||||||||||||
PUT — S&P 500 E-mini Futures Option |
|
JPMorgan Securities LLC |
|
|
1,700 |
|
$ |
(6,744,580 |
) |
$ |
(44,979 |
) |
$ |
(2,040 |
) | ||||||||||
Strike @ $3,300.00 | |||||||||||||||||||||||||
Expires 04/16/2021 | |||||||||||||||||||||||||
PUT — S&P 500 E-mini Futures Option |
|
JPMorgan Securities LLC |
|
|
1,450 |
|
|
(5,752,730 |
) |
|
(85,976 |
) |
|
(13,413 |
) | ||||||||||
Strike @ $3,300.00 | |||||||||||||||||||||||||
Expires 05/21/2021 | |||||||||||||||||||||||||
PUT — S&P 500 E-mini Futures Option |
|
JPMorgan Securities LLC |
|
|
2,550 |
|
|
(10,116,870 |
) |
|
(61,093 |
) |
|
(49,725 |
) | ||||||||||
Strike @ $3,300.00 | |||||||||||||||||||||||||
Expires 06/18/2021 | |||||||||||||||||||||||||
PUT — S&P 500 E-mini |
|
JPMorgan Securities LLC |
|
|
1,050 |
|
|
(4,165,770 |
) |
|
(25,681 |
) |
|
(26,250 |
) | ||||||||||
Futures Option | |||||||||||||||||||||||||
Strike @ $3,400.00 | |||||||||||||||||||||||||
Expires 06/18/2021 | |||||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Written Futures Options | $ | (217,729 | ) | $ | (91,428 | ) | |||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Written Options | $ | (306,978 | ) | $ | (166,383 | ) | |||||||||||||||||||
|
|
|
|
See accompanying Notes to the Financial Statements.
155
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
OTC — Interest Rate Swaps
Payments | Payment | Payments Made by Fund | Payment Frequency | Maturity | Counterparty | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
1.34% | Semi-Annual | 6-Month THB BIBOR | Semi-Annual | 09/15/26 | HSBC Securities | $ | — | THB | 7,637,517 | $ | 367 | $ | 367 | |||||||||||||
1.87% | Quarterly | 7-Day CNRR | Quarterly | 09/16/25 | HSBC Bank Plc | — | CNY | 2,702,414 | (15,421 | ) | (15,421 | ) | ||||||||||||||
1.90% | Quarterly | 7-Day CNRR | Quarterly | 09/16/25 | HSBC Bank Plc | — | 9,266,521 | (51,099 | ) | (51,099 | ) | |||||||||||||||
2.51% | Quarterly | 7-Day CNRR | Quarterly | 03/18/25 | Citibank N.A. | — | 6,502,698 | (8,148 | ) | (8,148 | ) | |||||||||||||||
2.51% | Quarterly | 7-Day CNRR | Quarterly | 09/16/25 | HSBC Bank Plc | — | 5,489,373 | (8,598 | ) | (8,598 | ) | |||||||||||||||
2.55% | Quarterly | 7-Day CNRR | Quarterly | 02/10/25 | Bank of America, N.A. | — | 2,915,046 | (2,884 | ) | (2,884 | ) | |||||||||||||||
2.56% | Quarterly | 7-Day CNRR | Quarterly | 03/18/25 | Bank of America, N.A. | — | 8,702,233 | (8,462 | ) | (8,462 | ) | |||||||||||||||
2.69% | Quarterly | 7-Day CNRR | Quarterly | 12/16/25 | HSBC Bank Plc | — | 3,081,518 | (1,722 | ) | (1,722 | ) | |||||||||||||||
BRL-CDI | At Maturity | 7.49% | At Maturity | 01/04/27 | Bank of America, N.A. | — | BRL | 591,999 | — | — | ||||||||||||||||
BRL-CDI | At Maturity | 6.91% | At Maturity | 01/04/27 | HSBC Bank Plc | — | 2,703,429 | 35,583 | 35,583 | |||||||||||||||||
BRL-CDI | At Maturity | 6.27% | At Maturity | 01/02/25 | Goldman Sachs International | — | 3,941,722 | 28,055 | 28,055 | |||||||||||||||||
BRL-CDI | Annual | 2.78% | Annual | 01/03/22 | HSBC Bank Plc | — | 13,862,865 | 22,212 | 22,212 | |||||||||||||||||
4.11% | Annual | BRL-CDI | Annual | 01/02/23 | HSBC Bank Plc | — | 7,927,478 | (35,740 | ) | (35,740 | ) | |||||||||||||||
6.87% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | 4,110,000 | (68,320 | ) | (68,320 | ) | |||||||||||||||
7.02% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Citigroup Global Markets, Inc. | — | 1,800,000 | (6,337 | ) | (6,337 | ) | |||||||||||||||
7.02% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Citigroup Global Markets, Inc. | 1,105 | 2,100,000 | (7,394 | ) | (8,499 | ) | |||||||||||||||
7.04% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | 1,400,000 | (4,709 | ) | (4,709 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 1,105 | $ | (132,617 | ) | $ | (133,722 | ) | |||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Payments | Payment | Payments Made by Fund | Payment Frequency | Maturity | Upfront | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
1-Month TIIE | Monthly | 5.56% | Monthly | 12/31/30 | $ | 13 | MXN | 16,684,659 | $ | 75,153 | $ | 75,140 | ||||||||||||
1-Month TIIE | Monthly | 6.39% | Monthly | 02/25/31 | 8 | 10,407,704 | 16,323 | 16,315 | ||||||||||||||||
5.12% | Monthly | 1-Month TIIE | Monthly | 06/13/25 | 11 | 15,617,022 | (22,134 | ) | (22,145 | ) | ||||||||||||||
7.20% | Monthly | 1-Month TIIE | Monthly | 07/17/24 | — | 116,734,200 | 280,055 | 280,055 | ||||||||||||||||
12-Month USD LIBOR | Quarterly | 0.56% | Annual | 07/20/45 | 9,344 | USD | 3,210,000 | 863,593 | 854,249 | |||||||||||||||
3-Month JIBAR | Quarterly | 7.83% | Quarterly | 06/16/31 | 4 | ZAR | 3,755,691 | (22 | ) | (26 | ) | |||||||||||||
3-Month JIBAR | Quarterly | 7.66% | Quarterly | 06/16/31 | 6 | 5,711,428 | 4,652 | 4,646 | ||||||||||||||||
3-Month USD LIBOR | Quarterly | 2.00% | Semi-Annual | 02/15/47 | (1,966 | ) | USD | 2,264,000 | 99,012 | 100,978 | ||||||||||||||
3-Month USD LIBOR | Quarterly | 1.60% | Semi-Annual | 02/15/47 | 4,663 | 772,000 | 94,292 | 89,629 | ||||||||||||||||
1.10% | Semi-Annual | 3-Month USD LIBOR | Quarterly | 12/18/25 | — | 17,167,000 | (149,218 | ) | (149,218 | ) | ||||||||||||||
6-Month PRIBOR | Semi-Annual | 1.84% | Annual | 06/16/31 | 3 | CZK | 3,124,633 | 408 | 405 | |||||||||||||||
6-Month WIBOR | Semi-Annual | 1.69% | Annual | 06/16/31 | 4 | PLN | 1,008,171 | 5,438 | 5,434 | |||||||||||||||
6-Month WIBOR | Semi-Annual | 1.66% | Annual | 06/16/31 | 4 | 1,011,095 | 6,169 | 6,165 | ||||||||||||||||
SOFR | Annual | 0.74% | Annual | 08/19/45 | — | USD | 490,000 | 114,554 | 114,554 | |||||||||||||||
|
| |||||||||||||||||||||||
$ | 1,376,181 | |||||||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
156
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
OTC — Credit Default Swaps
Buy Protection | ||||||||||||||||||||||||||||
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | |||||||||||||||||||
1,250,138 | USD | 06/20/26 | Goldman Sachs & Co. | (1.00% | ) | Quarterly | CDX.EM.35** | $ | 6,473 | $ | 45,630 | $ | 52,103 | |||||||||||||||
730,000 | EUR | 12/20/24 | Morgan Stanley & Co. | (1.00% | ) | Quarterly | Daimler AG, 1.40%, 01/12/24 | (1,651 | ) | (19,195 | ) | (20,846 | ) | |||||||||||||||
1,157,747 | USD | 06/20/26 | HSBC Securities | (1.00% | ) | Quarterly | Russian Federation, 7.50%, 03/30/31 | 7,154 | (662 | ) | 6,492 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Buy Protection | $ | 11,976 | $ | 25,773 | $ | 37,749 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Sell Protection | ||||||||||||||||||||||||||||
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | |||||||||||||||||||
730,000 | EUR | 12/20/24 | Morgan Stanley & Co. | 1.00% | Quarterly | Volkswagen International Finance N.V., 0.50%, 03/30/21 (Moody’s rating: A3; S&P rating: BBB+) | $ | 9,745 | $ | 9,254 | $ | 18,999 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total OTC Credit Default Swaps | $ | 21,721 | $ | 35,027 | $ | 56,748 | ||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps
Buy Protection
| ||||||||||||||||||||||||||
Notional Amount* | Currency | Expiration Date | Receive (Pay) Fixed Rate | Payment Frequency | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid (Received) | Value | ||||||||||||||||||
12,250,000 | USD | 12/20/25 | (5.00%) | Quarterly | CDX.NA.HY.35*** | $ | (11,176 | ) | $ | (1,098,445 | ) | $ | (1,109,621 | ) | ||||||||||||
7,800,000 | USD | 12/20/25 | (5.00%) | Quarterly | CDX.NA.HY.35*** | (11,360 | ) | (695,175 | ) | (706,535 | ) | |||||||||||||||
3,243,000 | USD | 06/20/26 | (5.00%) | Quarterly | CDX.NA.HY.36*** | (12,976 | ) | (275,535 | ) | (288,511 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (35,512 | ) | $ | (2,069,155 | ) | $ | (2,104,667 | ) | ||||||||||||||||||
|
|
|
|
|
|
* | 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. | |||
** | CDX.EM — Markit CDX Emerging Markets Index. Represents an index composed of fifteen (15) sovereign reference entities that trade in the credit default swaps (CDS) market. | |||
*** | CDX.NA.HY— Markit North America High Yield CDS Index. Represents an index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated BB and B. |
U.S. Treasury securities in the amount of $284,106 received at the custodian bank as collateral for forward foreign currency contracts, OTC swaps and/or OTC options.
See accompanying Notes to the Financial Statements.
157
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Currency Abbreviations
AUD | — Australian Dollar |
BRL | — Brazilian Real |
CAD | — Canadian Dollar |
CLP | — Chilean Peso |
CNH | — Chinese Yuan Renminbi |
CNY | — Chinese Yuan |
COP | — Colombian Peso |
CZK | — Czech Koruna |
DOP | — Dominican Pesos |
EGP | — Egyptian Pound |
EUR | — Euro Currency |
GBP | — British Pound Sterling |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
INR | — Indian Rupee |
JPY | — Japanese Yen |
KRW | — South Korean Won |
KZT | — Kazakhstani Tenge |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
NOK | — Norwegian Krona |
PEN | — Peruvian Nuevo Sol |
PHP | — Philippines Peso |
PLN | — Polish Zloty |
RON | — Romanian New Leu |
RUB | — Russian Ruble |
SAR | — Saudi Riyal |
THB | — Thai Baht |
TRY | — Turkish New Lira |
TWD | — Taiwan Dollar |
UAH | — Ukrainian Hryvnia |
USD | — U.S. Dollar |
UYU | — Uruguayan Peso |
ZAR | — South African Rand |
See accompanying Notes to the Financial Statements.
158
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Other Abbreviations
BIBOR | — | Bangkok Interbank Offered Rate | ||
CDI | — | Brazil Interbank Deposit Rate | ||
CLO | — | Collateralized Loan Obligation | ||
CMO | — | Collateralized Mortgage Obligation | ||
CMT | — | Constant Maturity Treasury Index | ||
CNRR | — | China Fixing Repo Rates | ||
FHLMC | — | Federal Home Loan Mortgage Corporation | ||
FNMA | — | Federal National Mortgage Association | ||
GDN | — | Global Depository Note | ||
ICE | — | Intercontinental Exchange | ||
JIBAR | — | Johannesburg Interbank Average Rate | ||
LIBOR | — | London Interbank Offered Rate | ||
MTN | — | Medium Term Note | ||
OTC | — | Over-The-Counter | ||
PIK | — | Payment In Kind | ||
PRIBOR | — | Prague Interbank Offered Rate | ||
REIT | — | Real Estate Investment Trust | ||
SOFR | — | Secured Overnight Financing Rate | ||
TBD | — | To Be Determined | ||
TIIE | — | Mexican Interbank Equilibrium Interest Rate | ||
UMBS | — | Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA | ||
WIBOR | — | Warsaw Interbank Offer Rate |
See accompanying Notes to the Financial Statements.
159
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2021
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Corporate Debt | 36.1 | ||||
Sovereign Debt Obligations | 31.2 | ||||
Bank Loans | 13.6 | ||||
Mortgage Backed Securities — Private Issuers | 5.2 | ||||
Asset Backed Securities | 4.1 | ||||
Convertible Debt | 1.8 | ||||
Convertible Preferred Stocks | 0.7 | ||||
Centrally Cleared Interest Rate Swaps | 0.2 | ||||
Common Stocks | 0.1 | ||||
Mortgage Backed Securities — U.S. Government Agency Obligations | 0.1 | ||||
Preferred Stocks | 0.0 | * | |||
Purchased Currency Options | 0.0 | * | |||
Purchased Futures Options | 0.0 | * | |||
OTC Credit Default Swaps | 0.0 | * | |||
Written Currency Options | 0.0 | * | |||
Written Futures Options | 0.0 | * | |||
OTC Interest Rate Swaps | 0.0 | * | |||
Futures Contracts | (0.2 | ) | |||
Centrally Cleared Credit Default Swaps | (0.2 | ) | |||
Forward Foreign Currency Contracts | (3.6 | ) | |||
Short-Term Investments | 2.6 | ||||
Other Assets and Liabilities (net) | 8.3 | ||||
|
| ||||
100.0 | % | ||||
|
|
* Amount rounds to zero.
See accompanying Notes to the Financial Statements.
160
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.4% | ||||||||||
Argentina — 1.0% | ||||||||||
32,870 | Banco BBVA Argentina SA, ADR* (a) | 89,735 | ||||||||
33,227 | Globant SA* | 6,898,257 | ||||||||
36,900 | Grupo Financiero Galicia SA, ADR(a) | 280,809 | ||||||||
5,426 | MercadoLibre, Inc.* | 7,987,832 | ||||||||
|
| |||||||||
Total Argentina | 15,256,633 | |||||||||
|
| |||||||||
Australia — 0.6% | ||||||||||
485,205 | Newcrest Mining, Ltd. | 9,024,567 | ||||||||
|
| |||||||||
Brazil — 2.5% | ||||||||||
977,400 | B3 SA — Brasil Bolsa Balcao | 9,460,498 | ||||||||
865,372 | Banco Bradesco SA* | 3,605,333 | ||||||||
418,900 | BB Seguridade Participacoes SA | 1,800,164 | ||||||||
126,000 | Cia Siderurgica Nacional SA | 846,252 | ||||||||
1,244,833 | Raia Drogasil SA | 5,528,179 | ||||||||
1,848,400 | Rumo SA* | 6,633,014 | ||||||||
711,500 | TOTVS SA | 3,647,651 | ||||||||
271,000 | Vale SA | 4,704,921 | ||||||||
189,538 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA* | 1,175,586 | ||||||||
19,663 | WEG SA | 259,804 | ||||||||
|
| |||||||||
Total Brazil | 37,661,402 | |||||||||
|
| |||||||||
Chile — 0.2% | ||||||||||
210,016 | Cia Cervecerias Unidas SA, ADR | 3,710,983 | ||||||||
4,978 | Inversiones La Construccion SA | 38,457 | ||||||||
|
| |||||||||
Total Chile | 3,749,440 | |||||||||
|
| |||||||||
China — 33.1% | ||||||||||
1,642,000 | 361 Degrees International, Ltd. | 468,874 | ||||||||
70,271 | Agile Group Holdings, Ltd. | 115,153 | ||||||||
12,107,000 | Agricultural Bank of China, Ltd. Class H | 4,843,143 | ||||||||
6,301 | Airtac International Group | 221,936 | ||||||||
1,243,791 | Alibaba Group Holding, Ltd.* | 35,196,576 | ||||||||
121,789 | Alibaba Group Holding, Ltd., ADR* | 27,613,220 | ||||||||
134,500 | Anhui Conch Cement Co., Ltd. Class H | 874,528 | ||||||||
505,400 | ANTA Sports Products, Ltd. | 8,242,991 | ||||||||
22,000 | Autohome, Inc., ADR | 2,051,940 | ||||||||
49,710 | Baidu, Inc., ADR* | 10,814,410 | ||||||||
406,846 | Bank of China, Ltd. Class H | 154,900 | ||||||||
133,100 | Budweiser Brewing Co. APAC, Ltd. 144A | 397,188 | ||||||||
199,700 | BYD Co., Ltd. Class A | 5,011,845 | ||||||||
1,185,500 | BYD Electronic International Co., Ltd.(a) | 6,922,895 | ||||||||
27,294 | Changchun High & New Technology Industry Group, Inc. Class A | 1,885,097 | ||||||||
1,718,000 | China Communications Services Corp., Ltd. Class H | 771,221 | ||||||||
12,318,000 | China Construction Bank Corp. Class H | 10,362,112 | ||||||||
403,000 | China Dongxiang Group Co., Ltd. | 46,653 | ||||||||
2,903,000 | China Feihe, Ltd. 144A | 8,214,858 |
See accompanying Notes to the Financial Statements.
161
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
1,171,618 | China Jushi Co., Ltd. Class A | 3,431,741 | ||||||||
123,263 | China Lesso Group Holdings, Ltd. | 265,094 | ||||||||
691,901 | China Life Insurance Co., Ltd. Class H | 1,429,288 | ||||||||
1,605,000 | China Machinery Engineering Corp. Class H | 716,366 | ||||||||
196,500 | China Merchants Bank Co., Ltd. Class A | 1,531,831 | ||||||||
1,042,100 | China Merchants Bank Co., Ltd. Class H | 7,955,371 | ||||||||
1,046,400 | China National Building Material Co., Ltd. Class H | 1,510,153 | ||||||||
456,000 | China Oriental Group Co., Ltd. | 138,423 | ||||||||
219,592 | China Pacific Insurance Group Co., Ltd. Class A | 1,267,637 | ||||||||
1,252,000 | China Pacific Insurance Group Co., Ltd. Class H | 4,935,886 | ||||||||
6,978,000 | China Petroleum & Chemical Corp. Class H | 3,715,880 | ||||||||
2,863,000 | China Reinsurance Group Corp. Class H | 305,654 | ||||||||
296,000 | China Resources Beer Holdings Co., Ltd. | 2,320,576 | ||||||||
748,000 | China Resources Land, Ltd. | 3,622,404 | ||||||||
324,800 | China Resources Mixc Lifestyle Services, Ltd.* | 1,934,316 | ||||||||
198,563 | China Tourism Group Duty Free Corp., Ltd. Class A | 9,271,726 | ||||||||
69,500 | China Vanke Co., Ltd. Class A | 318,078 | ||||||||
1,051,800 | China Vanke Co., Ltd. Class H | 4,119,560 | ||||||||
1,263,512 | China Yuhua Education Corp., Ltd.(a) | 989,753 | ||||||||
27,294 | Chinasoft International, Ltd.* | 29,350 | ||||||||
582,000 | CITIC Securities Co., Ltd. Class H(a) | 1,340,005 | ||||||||
32,600 | Contemporary Amperex Technology Co., Ltd. Class A | 1,602,249 | ||||||||
1,100,909 | Country Garden Holdings Co., Ltd.(a) | 1,413,228 | ||||||||
368,300 | Country Garden Services Holdings Co., Ltd. | 3,733,002 | ||||||||
7,200 | Daqo New Energy Corp., ADR* | 543,600 | ||||||||
409,700 | ENN Energy Holdings, Ltd. | 6,571,473 | ||||||||
176,100 | Eve Energy Co., Ltd. Class A | 2,018,904 | ||||||||
151,300 | Fangda Special Steel Technology Co., Ltd. Class A* | 206,350 | ||||||||
426,000 | Flat Glass Group Co., Ltd. Class H(a) | 1,290,419 | ||||||||
129,460 | Foshan Haitian Flavouring & Food Co., Ltd. Class A | 3,156,020 | ||||||||
8,800 | Fuyao Glass Industry Group Co., Ltd. Class A | 61,862 | ||||||||
172,800 | Fuyao Glass Industry Group Co., Ltd. Class H | 1,027,983 | ||||||||
1,259,791 | Geely Automobile Holdings, Ltd. | 3,205,200 | ||||||||
93,300 | Gongniu Group Co., Ltd. Class A | 2,543,368 | ||||||||
201,100 | Great Wall Motor Co., Ltd. Class A | 924,354 | ||||||||
1,265,500 | Great Wall Motor Co., Ltd. Class H | 3,507,840 | ||||||||
2,032,139 | Gree Real Estate Co., Ltd. Class A* | 1,763,977 | ||||||||
332,000 | Greenland Hong Kong Holdings, Ltd. | 119,998 | ||||||||
744,000 | Guangdong Investment, Ltd. | 1,211,538 | ||||||||
44,200 | Guangdong Tapai Group Co., Ltd. Class A | 83,208 | ||||||||
414,803 | Hengli Petrochemical Co., Ltd. Class A | 1,856,014 | ||||||||
1,225,402 | Hisense Home Appliances Group Co., Ltd. Class A | 3,129,402 | ||||||||
40,410 | Hisense Home Appliances Group Co., Ltd. Class H | 67,571 | ||||||||
27,153 | Hollysys Automation Technologies, Ltd. | 339,956 | ||||||||
197,700 | Hongfa Technology Co., Ltd. Class A | 1,489,310 | ||||||||
943,081 | Huafon Chemical Co., Ltd. Class A | 1,683,302 | ||||||||
166,904 | Huizhou Desay Sv Automotive Co., Ltd. Class A | 2,183,629 | ||||||||
4,769,535 | Industrial & Commercial Bank of China, Ltd. Class H | 3,423,265 | ||||||||
375,300 | Industrial Bank Co., Ltd. Class A | 1,379,249 |
See accompanying Notes to the Financial Statements.
162
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
21,332 | JD.com, Inc., ADR* | 1,798,928 | ||||||||
184,542 | Jiangsu Hengrui Medicine Co., Ltd. Class A | 2,592,597 | ||||||||
1,329,000 | Jiangxi Copper Co., Ltd. Class H | 2,540,236 | ||||||||
207,301 | Keboda Technology Co., Ltd. Class A | 2,215,322 | ||||||||
853,000 | Kingdee International Software Group Co., Ltd.* | 2,644,213 | ||||||||
23,904 | Kweichow Moutai Co., Ltd. Class A | 7,326,184 | ||||||||
174,809 | KWG Group Holdings, Ltd. | 299,051 | ||||||||
463,500 | Li Ning Co., Ltd. | 3,010,727 | ||||||||
141,500 | LINKLOGIS, Inc. Class B* | 323,192 | ||||||||
341,000 | Logan Group Co., Ltd. | 574,587 | ||||||||
352,000 | Longfor Group Holdings, Ltd. 144A | 2,331,741 | ||||||||
80,000 | Lonking Holdings, Ltd. | 33,957 | ||||||||
49,804 | Lufax Holding, Ltd., ADR* | 723,154 | ||||||||
238,500 | Meituan Class B* | 9,148,004 | ||||||||
671,314 | Midea Group Co., Ltd. Class A | 8,421,381 | ||||||||
76,503 | MINISO Group Holding, Ltd., ADR* | 1,837,602 | ||||||||
636,073 | NetEase, Inc. | 12,943,263 | ||||||||
52,365 | NetEase, Inc., ADR | 5,407,210 | ||||||||
1,314,000 | Netjoy Holdings, Ltd.* | 1,183,106 | ||||||||
23,203 | Niu Technologies, ADR* (a) | 850,390 | ||||||||
3,692,000 | PICC Property & Casualty Co., Ltd. Class H | 3,200,751 | ||||||||
67,600 | Ping An Insurance Group Co. of China, Ltd. Class A | 811,613 | ||||||||
1,335,900 | Ping An Insurance Group Co. of China, Ltd. Class H | 15,903,060 | ||||||||
937,000 | Q Technology Group Co., Ltd. | 1,906,674 | ||||||||
64,000 | Remegen Co., Ltd. Class H* | 794,397 | ||||||||
975,983 | Sany Heavy Industry Co., Ltd. Class A | 5,084,641 | ||||||||
121,453 | SF Holding Co., Ltd. Class A | 1,501,163 | ||||||||
1,028,995 | Shaanxi Coal Industry Co., Ltd. Class A | 1,736,184 | ||||||||
2,086,500 | Shandong Gold Mining Co., Ltd. Class H(a) | 3,912,967 | ||||||||
223,600 | Shandong Sinocera Functional Material Co., Ltd. Class A | 1,448,369 | ||||||||
322,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H(a) | 1,372,997 | ||||||||
389,102 | Shanghai Hanbell Precise Machinery Co., Ltd. Class A | 1,484,583 | ||||||||
1,891,017 | Shenzhen Gas Corp., Ltd. Class A | 2,172,290 | ||||||||
196,900 | Shenzhen Senior Technology Material Co., Ltd. Class A | 822,444 | ||||||||
419,500 | Shenzhen Sunlord Electronics Co., Ltd. Class A | 2,123,419 | ||||||||
1,278,918 | Shenzhen Topband Co., Ltd. Class A | 2,155,918 | ||||||||
256,900 | Shenzhou International Group Holdings, Ltd. | 5,323,411 | ||||||||
748,500 | Shimao Group Holdings, Ltd. | 2,353,970 | ||||||||
674,700 | Sinoma Science & Technology Co., Ltd. Class A | 2,399,276 | ||||||||
362,378 | Sinopec Engineering Group Co., Ltd. Class H | 199,963 | ||||||||
220,200 | Sinoseal Holding Co., Ltd. Class A | 1,571,465 | ||||||||
718,463 | Sinotruk Hong Kong, Ltd. | 2,153,231 | ||||||||
188,284 | Streamax Technology Co., Ltd. Class A | 1,455,431 | ||||||||
18,000 | Sungrow Power Supply Co., Ltd. Class A | 197,108 | ||||||||
133,000 | Sunny Optical Technology Group Co., Ltd. | 3,031,417 | ||||||||
62,537 | TAL Education Group, ADR* | 3,367,617 | ||||||||
925,900 | Tencent Holdings, Ltd. | 72,648,097 | ||||||||
17,819 | Tencent Holdings, Ltd., ADR | 1,421,956 | ||||||||
430,804 | Tencent Music Entertainment Group, ADR* (a) | 8,827,174 |
See accompanying Notes to the Financial Statements.
163
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
68,700 | Thunder Software Technology Co., Ltd. Class A | 1,277,055 | ||||||||
530,000 | Tongcheng-Elong Holdings, Ltd.* | 1,195,737 | ||||||||
1,938,000 | TravelSky Technology, Ltd. Class H | 4,531,876 | ||||||||
69,110 | Trip.com Group, Ltd., ADR* | 2,738,829 | ||||||||
71,900 | Tsingtao Brewery Co., Ltd. Class A | 928,393 | ||||||||
30,000 | Tsingtao Brewery Co., Ltd. Class H | 265,871 | ||||||||
336,600 | Venustech Group, Inc. Class A | 1,713,553 | ||||||||
153,254 | Vipshop Holdings, Ltd., ADR* | 4,576,164 | ||||||||
91,200 | Wanhua Chemical Group Co., Ltd. Class A | 1,469,217 | ||||||||
1,558,100 | Weichai Power Co., Ltd. Class H | 3,847,927 | ||||||||
1,339,357 | Weifu High-Technology Group Co., Ltd. Class A | 4,838,440 | ||||||||
209,000 | Weimob, Inc.* (a) | 467,225 | ||||||||
1,228,338 | Winning Health Technology Group Co., Ltd. Class A | 3,075,061 | ||||||||
126,000 | Wuxi Biologics Cayman, Inc.* | 1,577,745 | ||||||||
226,015 | Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 2,723,558 | ||||||||
2,657,232 | XCMG Construction Machinery Co., Ltd. Class A | 3,076,795 | ||||||||
536,000 | Xinyi Solar Holdings, Ltd. | 881,102 | ||||||||
1,076,700 | Yangzijiang Shipbuilding Holdings, Ltd. | 1,025,734 | ||||||||
563,060 | Yuzhou Group Holdings Co., Ltd. | 168,025 | ||||||||
105,331 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 4,611,104 | ||||||||
602,128 | Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 1,894,108 | ||||||||
51,100 | Zhejiang Weixing New Building Materials Co., Ltd. Class A | 196,916 | ||||||||
1,007,235 | Zhengzhou Coal Mining Machinery Group Co., Ltd. Class A | 1,765,542 | ||||||||
603,500 | Zhongsheng Group Holdings, Ltd. | 4,253,909 | ||||||||
964,924 | Zhuzhou Kibing Group Co., Ltd. Class A | 1,903,351 | ||||||||
780,598 | Zijin Mining Group Co., Ltd. Class A | 1,145,592 | ||||||||
1,272,000 | Zijin Mining Group Co., Ltd. Class H | 1,564,139 | ||||||||
1,250,800 | Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 1,785,834 | ||||||||
|
| |||||||||
Total China | 502,980,136 | |||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
3,657 | CEZ AS | 90,503 | ||||||||
720 | Komercni Banka AS* | 22,257 | ||||||||
166,110 | Moneta Money Bank AS * 144A | 619,619 | ||||||||
38 | Philip Morris CR AS | 26,845 | ||||||||
|
| |||||||||
Total Czech Republic | 759,224 | |||||||||
|
| |||||||||
Hong Kong — 0.8% | ||||||||||
289,600 | AIA Group, Ltd. | 3,512,696 | ||||||||
49,000 | PAX Global Technology, Ltd. | 52,627 | ||||||||
881,000 | Vinda International Holdings, Ltd.(a) | 2,974,648 | ||||||||
474,000 | Vitasoy International Holdings, Ltd. | 1,822,971 | ||||||||
683,000 | Xinyi Glass Holdings, Ltd. | 2,231,438 | ||||||||
612,700 | Yue Yuen Industrial Holdings, Ltd. | 1,528,903 | ||||||||
|
| |||||||||
Total Hong Kong | 12,123,283 | |||||||||
|
| |||||||||
India — 12.0% | ||||||||||
23,416 | Alkem Laboratories, Ltd. | 888,760 | ||||||||
147,607 | Asian Paints, Ltd. | 5,121,868 |
See accompanying Notes to the Financial Statements.
164
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Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
114,751 | Aurobindo Pharma, Ltd. | 1,376,439 | ||||||||
40,646 | Bajaj Auto, Ltd.* | 2,046,038 | ||||||||
45,788 | Bajaj Finance, Ltd.* | 3,218,178 | ||||||||
1,020,000 | Bharat Electronics, Ltd. | 1,741,068 | ||||||||
64,032 | Britannia Industries, Ltd. | 3,161,587 | ||||||||
1,404,527 | Cipla, Ltd.* | 15,636,112 | ||||||||
4,574 | Cochin Shipyard, Ltd. 144A | 23,304 | ||||||||
146,066 | Colgate-Palmolive India, Ltd. | 3,113,857 | ||||||||
112,000 | Coromandel International, Ltd. | 1,187,498 | ||||||||
60,401 | Engineers India, Ltd. | 63,653 | ||||||||
878,164 | HCL Technologies, Ltd. | 11,819,954 | ||||||||
473,901 | HDFC Bank, Ltd.* | 9,686,244 | ||||||||
49,933 | Hindustan Unilever, Ltd. | 1,652,738 | ||||||||
5,231 | Hindustan Zinc, Ltd. | 19,468 | ||||||||
474,356 | Housing Development Finance Corp., Ltd. | 16,246,071 | ||||||||
251,845 | ICICI Bank, Ltd.* | 2,007,320 | ||||||||
1,140,404 | Infosys, Ltd. | 21,326,691 | ||||||||
440,356 | Infosys, Ltd., ADR | 8,243,464 | ||||||||
164,206 | InterGlobe Aviation, Ltd.* | 3,640,600 | ||||||||
12,063 | Jubilant Ingrevia, Ltd.* | 43,557 | ||||||||
315,763 | Kotak Mahindra Bank, Ltd.* | 7,581,206 | ||||||||
517 | Larsen & Toubro Infotech, Ltd. 144A | 28,801 | ||||||||
563,527 | Manappuram Finance, Ltd. | 1,149,965 | ||||||||
27,422 | Maruti Suzuki India, Ltd. | 2,574,689 | ||||||||
17,000 | Mindtree, Ltd. | 482,467 | ||||||||
2,826,768 | Motherson Sumi Systems, Ltd.* | 7,771,183 | ||||||||
132,853 | Muthoot Finance, Ltd.* | 2,189,391 | ||||||||
212,704 | NBCC India, Ltd. | 135,715 | ||||||||
20,733 | NCC, Ltd. | 22,402 | ||||||||
980,000 | NMDC, Ltd. | 1,812,860 | ||||||||
11,625 | Oracle Financial Services Software, Ltd. | 508,637 | ||||||||
644,720 | Reliance Industries, Ltd. | 17,685,903 | ||||||||
23,775 | Reliance Industries, Ltd. (Partly Paid-up Shares) | 355,420 | ||||||||
392,876 | Tata Consultancy Services, Ltd. | 17,062,443 | ||||||||
58,269 | Titan Co., Ltd. | 1,240,833 | ||||||||
920,911 | UPL, Ltd. | 8,060,549 | ||||||||
17,089 | Welspun Corp., Ltd. | 32,313 | ||||||||
280,230 | Wipro, Ltd. | 1,587,544 | ||||||||
243,044 | Yes Bank, Ltd.* | 51,525 | ||||||||
|
| |||||||||
Total India | 182,598,315 | |||||||||
|
| |||||||||
Indonesia — 1.2% | ||||||||||
4,195,900 | Bank Central Asia Tbk PT | 8,976,771 | ||||||||
6,464,500 | Bank Mandiri Persero Tbk PT | 2,737,120 | ||||||||
2,557,800 | Bank Negara Indonesia Persero Tbk PT* | 1,008,152 | ||||||||
1,907,300 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 103,080 | ||||||||
11,896,325 | Bank Rakyat Indonesia Persero Tbk PT* | 3,603,706 | ||||||||
1,187,100 | Bukit Asam Tbk PT | 214,127 | ||||||||
816,000 | Indo Tambangraya Megah Tbk PT | 641,845 |
See accompanying Notes to the Financial Statements.
165
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
28,622,500 | Panin Financial Tbk PT* | 401,996 | ||||||||
4,771,200 | Ramayana Lestari Sentosa Tbk PT | 256,216 | ||||||||
|
| |||||||||
Total Indonesia | 17,943,013 | |||||||||
|
| |||||||||
Italy — 0.2% | ||||||||||
435,900 | Prada SpA* | 2,722,115 | ||||||||
|
| |||||||||
Macau — 0.5% | ||||||||||
1,085,600 | Sands China, Ltd.* | 5,424,893 | ||||||||
1,357,000 | SJM Holdings, Ltd. | 1,773,389 | ||||||||
|
| |||||||||
Total Macau | 7,198,282 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
74,800 | Supermax Corp. Bhd | 68,730 | ||||||||
400 | Top Glove Corp. Bhd | 436 | ||||||||
|
| |||||||||
Total Malaysia | 69,166 | |||||||||
|
| |||||||||
Mexico — 2.7% | ||||||||||
144,756 | Banco del Bajio SA* (a) 144A | 194,489 | ||||||||
621,480 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander* (a) | 681,607 | ||||||||
347,071 | Credito Real SAB de CV SOFOM ER* (a) | 164,032 | ||||||||
21,282 | El Puerto de Liverpool SAB de CV(a) | 74,849 | ||||||||
276,280 | Fibra Uno Administracion SA de CV REIT | 323,129 | ||||||||
138,200 | Fomento Economico Mexicano SAB de CV, ADR | 10,410,606 | ||||||||
62,570 | Gentera SAB de CV* | 27,829 | ||||||||
54,271 | Grupo Aeroportuario del Centro Norte SAB de CV Class B* | 342,010 | ||||||||
652,900 | Grupo Aeroportuario del Pacifico SAB de CV Class B* | 6,808,374 | ||||||||
1,914,296 | Grupo Financiero Banorte SAB de CV Series O* | 10,782,856 | ||||||||
53,274 | Grupo Financiero Inbursa SAB de CV Series O* | 48,195 | ||||||||
1,078,308 | Grupo Mexico SAB de CV Series B | 5,678,107 | ||||||||
56,190 | Qualitas Controladora SAB de CV | 308,680 | ||||||||
67,818 | Regional SAB de CV* | 318,399 | ||||||||
162,291 | Unifin Financiera SAB de CV* (a) | 219,794 | ||||||||
1,557,415 | Wal-Mart de Mexico SAB de CV | 4,913,425 | ||||||||
|
| |||||||||
Total Mexico | 41,296,381 | |||||||||
|
| |||||||||
Netherlands — 0.9% | ||||||||||
147,933 | Heineken Holding NV | 13,196,397 | ||||||||
|
| |||||||||
Peru — 0.4% | ||||||||||
41,032 | Credicorp, Ltd. | 5,603,740 | ||||||||
|
| |||||||||
Philippines — 0.3% | ||||||||||
64,910 | Manila Electric Co. | 363,750 | ||||||||
8,491,300 | Megaworld Corp. | 626,296 | ||||||||
3,560,000 | Metro Pacific Investments Corp. | 274,312 | ||||||||
18,150 | Security Bank Corp. | 45,247 |
See accompanying Notes to the Financial Statements.
166
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Philippines — continued | ||||||||||
592,100 | Semirara Mining & Power Corp. Class A* | 165,660 | ||||||||
1,153,130 | Universal Robina Corp. | 3,159,748 | ||||||||
|
| |||||||||
Total Philippines | 4,635,013 | |||||||||
|
| |||||||||
Poland — 0.7% | ||||||||||
187,971 | Allegro.eu SA* | 2,647,123 | ||||||||
8,043 | Budimex SA | 623,710 | ||||||||
42,721 | Dino Polska SA* | 2,821,362 | ||||||||
10,442 | Lubelski Wegiel Bogdanka SA* | 62,715 | ||||||||
460,810 | Powszechny Zaklad Ubezpieczen SA* | 3,982,164 | ||||||||
|
| |||||||||
Total Poland | 10,137,074 | |||||||||
|
| |||||||||
Portugal — 0.3% | ||||||||||
291,592 | Jeronimo Martins SGPS SA | 4,917,859 | ||||||||
|
| |||||||||
Qatar — 0.2% | ||||||||||
300,098 | Doha Bank QPSC | 187,098 | ||||||||
54,129 | Qatar Electricity & Water Co. QSC | 252,433 | ||||||||
587,586 | Qatar National Bank QPSC | 2,903,233 | ||||||||
229,614 | Qatar National Cement Co. QSC | 314,056 | ||||||||
|
| |||||||||
Total Qatar | 3,656,820 | |||||||||
|
| |||||||||
Russia — 4.8% | ||||||||||
46,526 | Evraz Plc | 371,029 | ||||||||
106,303 | Globaltrans Investment Plc, Reg S, GDR(b) | 709,041 | ||||||||
75,849 | HeadHunter Group Plc, ADR* (a) | 2,572,798 | ||||||||
221,290 | LSR Group PJSC, Reg S, GDR(b) | 476,880 | ||||||||
11,505 | LUKOIL PJSC, ADR | 930,294 | ||||||||
30,443 | Magnit PJSC, Reg S, GDR(b) | 456,341 | ||||||||
91,775 | Magnitogorsk Iron & Steel Works PJSC, Reg S, GDR(b) | 950,789 | ||||||||
279,408 | MMC Norilsk Nickel PJSC, ADR(a) | 8,711,941 | ||||||||
9,400 | Novatek PJSC, GDR(c) | 1,856,500 | ||||||||
139,447 | Novolipetsk Steel PJSC, GDR | 4,445,570 | ||||||||
7,385 | PhosAgro PJSC, Reg S, GDR(b) | 128,647 | ||||||||
272,306 | Polymetal International Plc | 5,333,072 | ||||||||
45,891 | Polyus PJSC, Reg S, GDR(b) | 4,224,267 | ||||||||
62,652 | QIWI Plc, ADR(a) | 667,244 | ||||||||
822,971 | Sberbank of Russia PJSC, ADR | 12,677,868 | ||||||||
63,000 | Severstal PJSC, Reg S, GDR(b) | 1,271,340 | ||||||||
2,736,849 | Surgutneftegas PJSC, ADR | 12,288,452 | ||||||||
75,742 | Tatneft PJSC, ADR | 3,593,201 | ||||||||
11,501 | TCS Group Holding Plc, Reg S, GDR(b) | 667,058 | ||||||||
86,358 | X5 Retail Group NV, Reg S, GDR(b) | 2,784,182 | ||||||||
120,704 | Yandex NV Class A* (a) | 7,732,298 | ||||||||
|
| |||||||||
Total Russia | 72,848,812 | |||||||||
|
| |||||||||
South Africa — 3.4% | ||||||||||
17,500 | Anglo American Platinum, Ltd. | 2,550,588 |
See accompanying Notes to the Financial Statements.
167
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
4,365 | Astral Foods, Ltd. | 43,286 | ||||||||
62,201 | Capitec Bank Holdings, Ltd.* (a) | 5,980,900 | ||||||||
539,907 | Clicks Group, Ltd. | 8,789,885 | ||||||||
247,000 | Impala Platinum Holdings, Ltd. | 4,578,773 | ||||||||
124,534 | Investec, Ltd. | 364,926 | ||||||||
44,728 | Kumba Iron Ore, Ltd.(a) | 1,843,189 | ||||||||
159,125 | Lewis Group, Ltd. | 330,939 | ||||||||
50,597 | Mr Price Group, Ltd. | 663,410 | ||||||||
72,034 | Naspers, Ltd. Class N | 17,228,694 | ||||||||
101,839 | Old Mutual, Ltd. | 87,106 | ||||||||
1,444,591 | RMB Holdings, Ltd.* | 173,160 | ||||||||
534,225 | Sanlam, Ltd.(a) | 2,153,723 | ||||||||
275,182 | SPAR Group, Ltd. (The) | 3,538,766 | ||||||||
166,508 | Tiger Brands, Ltd. | 2,376,471 | ||||||||
192,514 | Truworths International, Ltd. | 623,711 | ||||||||
19,050 | Vodacom Group, Ltd. | 162,889 | ||||||||
80,942 | Wilson Bayly Holmes-Ovcon, Ltd.* | 536,754 | ||||||||
|
| |||||||||
Total South Africa | 52,027,170 | |||||||||
|
| |||||||||
South Korea — 6.5% | ||||||||||
59,116 | BNK Financial Group, Inc. | 354,670 | ||||||||
77,370 | Coupang, Inc.* | 3,818,209 | ||||||||
1,999 | CS Wind Corp. | 133,885 | ||||||||
482 | Daewoong Co., Ltd. | 13,927 | ||||||||
2,974 | DB HiTek Co., Ltd. | 147,944 | ||||||||
7,424 | DB Insurance Co., Ltd. | 310,276 | ||||||||
78,465 | Dongwon Development Co., Ltd. | 374,386 | ||||||||
7,248 | Doosan Fuel Cell Co., Ltd.* | 328,538 | ||||||||
42,674 | Douzone Bizon Co., Ltd. | 3,702,749 | ||||||||
191 | GS Home Shopping, Inc. | 25,332 | ||||||||
157,710 | Hana Financial Group, Inc. | 5,964,204 | ||||||||
7,661 | Hansol Chemical Co., Ltd. | 1,631,368 | ||||||||
3,336 | Hanwha Solutions Corp.* | 147,677 | ||||||||
915 | HDC Hyundai Development Co-Engineering & Construction | 23,729 | ||||||||
10,650 | Hyundai Mobis Co., Ltd. | 2,747,780 | ||||||||
9,783 | Kakao Corp. | 4,304,779 | ||||||||
80,000 | KB Financial Group, Inc. | 3,972,609 | ||||||||
14,500 | KIWOOM Securities Co., Ltd. | 1,614,314 | ||||||||
439 | Korea Investment Holdings Co., Ltd. | 33,204 | ||||||||
14,768 | Kumho Petrochemical Co., Ltd. | 3,457,937 | ||||||||
67,663 | LG Corp. | 5,404,670 | ||||||||
10,028 | LG Electronics, Inc. | 1,329,092 | ||||||||
13,648 | LG Household & Health Care, Ltd. | 18,932,945 | ||||||||
9,538 | LG Innotek Co., Ltd. | 1,731,883 | ||||||||
8,443 | Mirae Asset Daewoo Co., Ltd. | 73,557 | ||||||||
27,067 | NAVER Corp. | 9,016,354 | ||||||||
2,476 | NCSoft Corp. | 1,909,916 | ||||||||
4,139 | NHN KCP Corp.* | 183,224 | ||||||||
11,000 | Samsung Electro-Mechanics Co., Ltd. | 1,822,399 |
See accompanying Notes to the Financial Statements.
168
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
85,263 | Samsung Electronics Co., Ltd. | 6,132,457 | ||||||||
5,855 | Samsung Electronics Co., Ltd., Reg S, GDR(b) | 10,679,520 | ||||||||
569 | Samsung Electronics Co., Ltd., Reg S (London Exchange), GDR(b) | 927,470 | ||||||||
23,346 | Samsung Fire & Marine Insurance Co., Ltd. | 3,919,364 | ||||||||
4,526 | Samsung Life Insurance Co., Ltd. | 312,331 | ||||||||
8,544 | Soulbrain Co., Ltd. | 2,187,053 | ||||||||
3,637 | Vaxcell-Bio Therapeutics Co., Ltd.* | 359,924 | ||||||||
|
| |||||||||
Total South Korea | 98,029,676 | |||||||||
|
| |||||||||
Switzerland — 0.5% | ||||||||||
236,114 | Coca-Cola HBC AG* | 7,525,208 | ||||||||
|
| |||||||||
Taiwan — 17.6% | ||||||||||
15,107 | Accton Technology Corp. | 146,130 | ||||||||
8,227 | Acter Group Corp., Ltd. | 57,811 | ||||||||
837,003 | Advantech Co., Ltd. | 10,384,434 | ||||||||
105,154 | Alchip Technologies, Ltd. | 3,316,812 | ||||||||
746,689 | Asustek Computer, Inc. | 9,748,069 | ||||||||
28,531 | Aten International Co., Ltd. | 88,694 | ||||||||
9,000 | Avermedia Technologies | 15,125 | ||||||||
825,000 | Catcher Technology Co., Ltd. | 6,115,288 | ||||||||
884,595 | Cathay Financial Holding Co., Ltd. | 1,486,571 | ||||||||
792,421 | Chailease Holding Co., Ltd. | 5,471,101 | ||||||||
61,110 | Chicony Electronics Co., Ltd. | 217,386 | ||||||||
91,603 | China Development Financial Holding Corp. | 33,709 | ||||||||
77,696 | China Life Insurance Co., Ltd. | 70,118 | ||||||||
189,013 | Chong Hong Construction Co., Ltd. | 549,160 | ||||||||
470,416 | Coretronic Corp. | 939,744 | ||||||||
4,649,050 | CTBC Financial Holding Co., Ltd. | 3,600,883 | ||||||||
658,818 | Delta Electronics, Inc. | 6,649,830 | ||||||||
938,000 | E Ink Holdings, Inc. | 1,811,369 | ||||||||
3,601,791 | E.Sun Financial Holding Co., Ltd. | 3,294,667 | ||||||||
363,665 | Elan Microelectronics Corp. | 2,491,729 | ||||||||
537,617 | Elite Material Co., Ltd. | 3,184,287 | ||||||||
4,000 | eMemory Technology, Inc. | 123,787 | ||||||||
1,003,603 | Evergreen Marine Corp. Taiwan, Ltd.* | 1,600,390 | ||||||||
197,092 | Farglory Land Development Co., Ltd. | 393,728 | ||||||||
864,348 | FLEXium Interconnect, Inc. | 3,801,762 | ||||||||
63,708 | Foxconn Technology Co., Ltd. | 162,100 | ||||||||
3,702,542 | Fubon Financial Holding Co., Ltd. | 7,370,567 | ||||||||
776,000 | Giant Manufacturing Co., Ltd. | 9,355,623 | ||||||||
521,000 | Gigabyte Technology Co., Ltd. | 1,822,304 | ||||||||
169,000 | Global Unichip Corp. | 2,360,302 | ||||||||
326,777 | Grand Pacific Petrochemical* | 314,947 | ||||||||
2,600,813 | Hon Hai Precision Industry Co., Ltd. | 11,302,731 | ||||||||
209,759 | Huaku Development Co., Ltd. | 685,155 | ||||||||
106,000 | IEI Integration Corp. | 214,355 | ||||||||
113,687 | International Games System Co., Ltd. | 3,024,163 | ||||||||
38,000 | Kung Long Batteries Industrial Co., Ltd. | 197,105 |
See accompanying Notes to the Financial Statements.
169
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
392,443 | Lite-On Technology Corp., ADR | 863,751 | ||||||||
87,732 | Lotes Co., Ltd. | 1,535,840 | ||||||||
311,910 | MediaTek, Inc. | 10,592,675 | ||||||||
461,060 | Mercuries Life Insurance Co., Ltd.* | 143,329 | ||||||||
39,305 | Merry Electronics Co., Ltd. | 183,211 | ||||||||
1,178,099 | Micro-Star International Co., Ltd. | 7,184,286 | ||||||||
10,144 | Nan Liu Enterprise Co., Ltd. | 63,993 | ||||||||
504,622 | Novatek Microelectronics Corp. | 10,169,195 | ||||||||
51,000 | Parade Technologies, Ltd. | 2,189,570 | ||||||||
7,692 | Pharmally International Holding Co., Ltd.* (d) | 11,444 | ||||||||
199,000 | Phison Electronics Corp. | 3,406,985 | ||||||||
763,998 | President Chain Store Corp. | 7,283,057 | ||||||||
434,437 | Quanta Computer, Inc. | 1,492,126 | ||||||||
952,000 | Radiant Opto-Electronics Corp. | 4,237,339 | ||||||||
245,000 | Realtek Semiconductor Corp. | 4,241,755 | ||||||||
101,000 | RichWave Technology Corp. | 2,244,208 | ||||||||
27,131 | Sea, Ltd., ADR* | 6,056,453 | ||||||||
98,190 | Shinkong Insurance Co., Ltd. | 137,651 | ||||||||
63,985 | Simplo Technology Co., Ltd. | 831,964 | ||||||||
124,000 | Syncmold Enterprise Corp. | 380,261 | ||||||||
9,079 | Tah Hsin Industrial Corp. | 23,896 | ||||||||
95,644 | Taiwan Cement Corp. | 156,876 | ||||||||
1,441,859 | Taiwan Semiconductor Manufacturing Co., Ltd. | 29,662,890 | ||||||||
440,292 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 52,077,738 | ||||||||
5,333 | TCI Co., Ltd. | 40,372 | ||||||||
247,583 | Transcend Information, Inc. | 566,613 | ||||||||
152,822 | Tripod Technology Corp. | 752,514 | ||||||||
6,000 | Tung Thih Electronic Co., Ltd.* | 63,505 | ||||||||
4,005,351 | Uni-President Enterprises Corp. | 10,247,455 | ||||||||
83,356 | United Integrated Services Co., Ltd. | 723,044 | ||||||||
2,127,061 | United Microelectronics Corp. | 3,742,280 | ||||||||
3,765 | Universal Vision Biotechnology Co., Ltd. | 42,621 | ||||||||
131,772 | Universal, Inc. | 439,656 | ||||||||
74,251 | Voltronic Power Technology Corp. | 2,875,525 | ||||||||
138,000 | Youngtek Electronics Corp. | 326,948 | ||||||||
24,000 | Yuanta Financial Holding Co., Ltd. | 18,925 | ||||||||
5,506 | Yulon Nissan Motor Co., Ltd. | 54,032 | ||||||||
|
| |||||||||
Total Taiwan | 267,465,919 | |||||||||
|
| |||||||||
Thailand — 0.3% | ||||||||||
96,200 | Bangkok Bank PCL Class F | 387,878 | ||||||||
92,200 | Carabao Group PCL Class F | 380,602 | ||||||||
132,400 | Kasikornbank PCL Class F | 618,573 | ||||||||
152,700 | KCE Electronics PCL Class F | 273,638 | ||||||||
7,900 | KCE Electronics PCL, NVDR | 14,157 | ||||||||
81,000 | Land & Houses PCL Class F | 22,162 | ||||||||
915,000 | Pruksa Holding PCL Class F | 374,784 | ||||||||
19,000 | Siam Cement PCL (The) Class F | 242,592 | ||||||||
182,800 | Siam Commercial Bank PCL (The) Class F | 652,230 |
See accompanying Notes to the Financial Statements.
170
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
47,900 | SPCG PCL Class F | 29,890 | ||||||||
124,100 | Sri Trang Agro-Industry PCL Class F | 185,654 | ||||||||
127,200 | Sri Trang Agro-Industry PCL, NVDR | 190,291 | ||||||||
440,100 | Supalai PCL Class F | 301,380 | ||||||||
9,772,900 | TMB Bank PCL Class F | 378,407 | ||||||||
|
| |||||||||
Total Thailand | 4,052,238 | |||||||||
|
| |||||||||
Turkey — 0.2% | ||||||||||
44,247 | Arcelik AS | 178,886 | ||||||||
150,282 | BIM Birlesik Magazalar AS | 1,281,971 | ||||||||
1,733,141 | Dogan Sirketler Grubu Holding AS | 676,399 | ||||||||
16,934 | Koza Altin Isletmeleri AS* | 243,485 | ||||||||
|
| |||||||||
Total Turkey | 2,380,741 | |||||||||
|
| |||||||||
United Arab Emirates — 0.2% | ||||||||||
553,375 | Aldar Properties PJSC* | 566,459 | ||||||||
227,559 | Dubai Islamic Bank PJSC | 281,881 | ||||||||
112,896 | First Abu Dhabi Bank PJSC | 448,738 | ||||||||
390,250 | Network International Holdings Plc* | 2,226,939 | ||||||||
|
| |||||||||
Total United Arab Emirates | 3,524,017 | |||||||||
|
| |||||||||
United Kingdom — 1.3% | ||||||||||
533,200 | HSBC Holdings Plc | 3,120,555 | ||||||||
299,921 | Unilever Plc | 16,783,775 | ||||||||
|
| |||||||||
Total United Kingdom | 19,904,330 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,195,840,451) | 1,403,286,971 | |||||||||
|
| |||||||||
INVESTMENT COMPANIES — 0.6% | ||||||||||
United States — 0.6% | ||||||||||
53,916 | iShares Core MSCI Emerging Markets ETF | 3,470,034 | ||||||||
207,649 | VanEck Vectors Russia ETF | 5,359,420 | ||||||||
|
| |||||||||
Total United States | 8,829,454 | |||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANIES (COST $8,530,119) | 8,829,454 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.9% | ||||||||||
Brazil — 0.4% | ||||||||||
1,043,460 | Banco Bradesco SA, 2.61% | 4,950,102 | ||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
3,847 | Banco Davivienda SA, 3.07% | 31,247 | ||||||||
749,852 | Grupo Aval Acciones y Valores SA, 5.18% | 233,423 | ||||||||
|
| |||||||||
Total Colombia | 264,670 | |||||||||
|
| |||||||||
South Korea — 0.5% | ||||||||||
120,305 | Samsung Electronics Co., Ltd., 3.52% | 7,759,899 | ||||||||
|
|
See accompanying Notes to the Financial Statements.
171
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Taiwan — 0.0% | ||||||||||
41,879 | Chailease Holding Co., Ltd. 0.00% | 146,774 | ||||||||
87,382 | CTBC Financial Holding Co., Ltd. 3.56% | 194,468 | ||||||||
|
| |||||||||
Total Taiwan | 341,242 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $10,219,894) | 13,315,913 | |||||||||
|
| |||||||||
WARRANT — 0.1% | ||||||||||
Switzerland — 0.1% | ||||||||||
65,285 | Wuxi Xinje Electric Co., Ltd., Expires 09/10/2021* | 740,724 | ||||||||
|
| |||||||||
TOTAL WARRANT (COST $746,112) | 740,724 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENT — 1.3% | ||||||||||
Mutual Fund - Securities Lending Collateral — 1.3% | ||||||||||
20,453,755 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04%(e) (f) | 20,453,755 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENT (COST $20,453,755) | 20,453,755 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 95.3% (Cost $1,235,790,331) | 1,446,626,817 | |||||||||
Other Assets and Liabilities (net) — 4.7% | 72,027,319 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $1,518,654,136 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
172
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Notes to Schedule of Investments: | ||||||||||
* | Non-income producing security. | |||||||||
(a) | All or a portion of this security is out on loan. | |||||||||
(b) | 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. | |||||||||
(c) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of year end, the market value of restricted securities was $1,856,500, which is 0.1% of net assets. See details shown in the Restricted Securities table that follows. | |||||||||
(d) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $11,444 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2021 was $40,980. | |||||||||
(e) | Represents an investment of securities lending cash collateral. | |||||||||
(f) | The rate disclosed is the 7-day net yield as of March 31, 2021. | |||||||||
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 year end is $11,810,000 which represents 0.8% of net assets. |
See accompanying Notes to the Financial Statements.
173
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
806 | MSCI Emerging Markets E-mini Index | Jun 2021 | $ | 53,296,750 | $ | 761,239 | ||||||||||||||
|
|
Other Abbreviations
ADR | — American Depository Receipt |
GDR | — Global Depository Receipt |
NVDR | — Non-Voting Depository Receipt |
REIT | — Real Estate Investment Trust |
At March 31, 2021, the Fund held the following restricted security:
Restricted Security | Acquisition Date | Principal Amount | Cost | Value | ||||||||||||||||
Novatek PJSC | 03/23/21 | USD 9,400 | $ | 1,840,659 | $ | 1,856,500 | ||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
174
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Technology | 19.3 | ||||
Financial | 17.4 | ||||
Communications | 15.8 | ||||
Consumer, Non-cyclical | 11.9 | ||||
Consumer, Cyclical | 9.9 | ||||
Industrial | 8.9 | ||||
Basic Materials | 6.5 | ||||
Energy | 3.0 | ||||
Utilities | 0.7 | ||||
Unaffiliated Funds | 0.6 | ||||
Diversified | 0.0 | * | |||
Short-Term Investment | 1.3 | ||||
Other Assets and Liabilities (net) | 4.7 | ||||
|
| ||||
100.0 | % | ||||
|
|
* Amount rounds to zero.
See accompanying Notes to the Financial Statements.
175
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.1% |
| |||||||||
Argentina — 0.2% | ||||||||||
8,600 | Globant SA* | 1,785,446 | ||||||||
|
| |||||||||
Australia — 2.1% | ||||||||||
58,286 | BHP Group Plc | 1,684,339 | ||||||||
38,849 | Cochlear, Ltd.(a) | 6,242,463 | ||||||||
596,470 | Evolution Mining, Ltd. | 1,853,550 | ||||||||
49,446 | Gold Road Resources, Ltd. | 41,427 | ||||||||
124,341 | Newcrest Mining, Ltd. | 2,312,679 | ||||||||
841,357 | Regis Resources, Ltd. | 1,858,377 | ||||||||
24,963 | Rio Tinto Plc | 1,911,501 | ||||||||
847 | Rio Tinto, Ltd. | 71,447 | ||||||||
316,793 | Sonic Healthcare, Ltd. | 8,466,704 | ||||||||
276,785 | Telstra Corp., Ltd. | 716,765 | ||||||||
142,363 | Westgold Resources, Ltd.* | 216,319 | ||||||||
|
| |||||||||
Total Australia | 25,375,571 | |||||||||
|
| |||||||||
Austria — 0.0% | ||||||||||
5,647 | Oesterreichische Post AG(a) | 247,557 | ||||||||
34,645 | Telekom Austria AG Class A | 273,627 | ||||||||
|
| |||||||||
Total Austria | 521,184 | |||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
15,073 | RenaissanceRe Holdings, Ltd. | 2,415,448 | ||||||||
|
| |||||||||
Brazil — 0.0% | ||||||||||
3,324 | Yara International ASA | 173,202 | ||||||||
|
| |||||||||
Canada — 5.6% | ||||||||||
77,800 | Alimentation Couche-Tard, Inc. Class B | 2,508,220 | ||||||||
48,301 | BCE, Inc. | 2,180,307 | ||||||||
146,208 | CAE, Inc.* | 4,165,739 | ||||||||
64,161 | Canadian National Railway Co. | 7,444,994 | ||||||||
30,100 | Canadian Pacific Railway, Ltd.(a) | 11,416,629 | ||||||||
6,400 | Cogeco, Inc. | 493,679 | ||||||||
4,413 | Constellation Software, Inc. | 6,162,224 | ||||||||
50,200 | Dundee Precious Metals, Inc. | 306,348 | ||||||||
86,000 | Empire Co., Ltd. Class A | 2,680,893 | ||||||||
7,000 | Evertz Technologies, Ltd. | 80,980 | ||||||||
30,900 | George Weston, Ltd. | 2,735,849 | ||||||||
117,186 | Intact Financial Corp. | 14,358,630 | ||||||||
42,100 | Loblaw Cos., Ltd. | 2,351,450 | ||||||||
42,500 | Metro, Inc. | 1,938,597 | ||||||||
23,900 | National Bank of Canada | 1,623,378 | ||||||||
58,100 | North West Co., Inc. (The)(a) | 1,687,736 | ||||||||
27,000 | Quebecor, Inc. Class B | 724,812 | ||||||||
25,400 | Royal Bank of Canada | 2,341,646 | ||||||||
38,000 | Stella-Jones, Inc. | 1,541,345 | ||||||||
14,400 | Torex Gold Resources, Inc.* | 181,826 | ||||||||
|
| |||||||||
Total Canada | 66,925,282 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
176
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
China — 1.5% | ||||||||||
42,500 | Alibaba Group Holding, Ltd., ADR* | 9,636,025 | ||||||||
7,000 | BOC Hong Kong Holdings, Ltd. | 24,445 | ||||||||
1,640,000 | CITIC Telecom International Holdings, Ltd. | 580,105 | ||||||||
1,829,119 | Guangdong Investment, Ltd. | 2,978,558 | ||||||||
75,129 | Yum China Holdings, Inc. | 4,448,388 | ||||||||
|
| |||||||||
Total China | 17,667,521 | |||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
173 | AP Moller — Maersk AS Class B | 402,841 | ||||||||
33,578 | Novo Nordisk AS Class B | 2,280,382 | ||||||||
4,036 | Schouw & Co. AS | 423,503 | ||||||||
|
| |||||||||
Total Denmark | 3,106,726 | |||||||||
|
| |||||||||
Finland — 0.3% | ||||||||||
6,931 | Elisa OYJ | 416,586 | ||||||||
98,114 | Kesko OYJ Class B | 3,007,372 | ||||||||
|
| |||||||||
Total Finland | 3,423,958 | |||||||||
|
| |||||||||
France — 5.2% | ||||||||||
75,308 | Airbus SE* | 8,544,702 | ||||||||
529 | Axway Software SA* | 16,725 | ||||||||
1,791 | Boiron SA | 75,358 | ||||||||
227,011 | Bureau Veritas SA* | 6,475,379 | ||||||||
1,042 | Caisse Regionale de Credit Agricole Mutuel Brie Picardie | 28,020 | ||||||||
95,170 | Carrefour SA | 1,727,573 | ||||||||
7,152 | Dassault Systemes SE | 1,533,207 | ||||||||
115,798 | Edenred | 6,061,775 | ||||||||
1,958 | Electricite de France SA* | 26,326 | ||||||||
88 | Esker SA | 20,603 | ||||||||
1,145 | Iliad SA | 218,141 | ||||||||
4,394 | IPSOS | 166,289 | ||||||||
7,233 | Legrand SA | 674,295 | ||||||||
470 | LNA Sante SA | 25,300 | ||||||||
552 | Manutan International | 46,062 | ||||||||
36,602 | Metropole Television SA* | 783,794 | ||||||||
192,157 | Orange SA | 2,372,470 | ||||||||
97,504 | Rubis SCA | 4,629,694 | ||||||||
77,693 | Safran SA* | 10,596,820 | ||||||||
23,738 | Sanofi | 2,350,513 | ||||||||
776 | Sartorius Stedim Biotech | 320,306 | ||||||||
304 | Savencia SA* | 26,011 | ||||||||
214 | Societe LDC SA | 24,850 | ||||||||
1,091 | Vetoquinol SA | 126,430 | ||||||||
10 | Vilmorin & Cie SA | 712 | ||||||||
126,200 | Vinci SA | 12,957,479 | ||||||||
73,181 | Vivendi SA | 2,408,268 | ||||||||
|
| |||||||||
Total France | 62,237,102 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
177
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Germany — 1.3% | ||||||||||
113,934 | Brenntag AG | 9,748,398 | ||||||||
47,225 | Deutsche Post AG | 2,593,124 | ||||||||
495 | Deutsche Telekom AG | 9,989 | ||||||||
489 | Gerresheimer AG | 48,679 | ||||||||
4,897 | KWS Saat SE & Co. KGaA | 424,176 | ||||||||
2,128 | McKesson Europe AG | 65,277 | ||||||||
16,960 | Merck KGaA | 2,906,243 | ||||||||
199 | SAP SE | 24,422 | ||||||||
7,991 | Wuestenrot & Wuerttembergische AG | 166,987 | ||||||||
|
| |||||||||
Total Germany | 15,987,295 | |||||||||
|
| |||||||||
Hong Kong — 1.6% | ||||||||||
745,627 | AIA Group, Ltd. | 9,044,064 | ||||||||
4,500 | CK Infrastructure Holdings, Ltd. | 26,742 | ||||||||
99,500 | CLP Holdings, Ltd. | 966,274 | ||||||||
104,000 | Dah Sing Banking Group, Ltd. | 117,719 | ||||||||
25,900 | Dairy Farm International Holdings, Ltd. | 111,629 | ||||||||
342,000 | Emperor International Holdings, Ltd. | 48,829 | ||||||||
239,000 | HK Electric Investments & HK Electric Investments, Ltd. | 237,326 | ||||||||
1,823,000 | HKT Trust & HKT, Ltd. | 2,598,105 | ||||||||
16,000 | Hong Kong Ferry Holdings Co., Ltd. | 12,389 | ||||||||
49,000 | Kowloon Development Co., Ltd. | 53,825 | ||||||||
249,000 | Langham Hospitality Investments and Langham Hospitality Investments, Ltd. | 38,113 | ||||||||
38,000 | Liu Chong Hing Investment, Ltd. | 36,023 | ||||||||
12,000 | Miramar Hotel & Investment | 22,505 | ||||||||
4,095,000 | PCCW, Ltd. | 2,307,057 | ||||||||
248,000 | Power Assets Holdings, Ltd. | 1,464,181 | ||||||||
300,000 | Regal Hotels International Holdings, Ltd. | 118,465 | ||||||||
361,000 | Regal Real Estate Investment Trust REIT | 75,223 | ||||||||
120,500 | SmarTone Telecommunications Holdings, Ltd. | 70,213 | ||||||||
58,000 | Transport International Holdings, Ltd. | 115,635 | ||||||||
230,163 | VTech Holdings, Ltd. | 2,072,354 | ||||||||
3,000 | Wing On Co. International, Ltd. | 6,614 | ||||||||
24,617 | Wing Tai Properties, Ltd. | 13,616 | ||||||||
|
| |||||||||
Total Hong Kong | 19,556,901 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
42,800 | AerCap Holdings NV* | 2,514,072 | ||||||||
8,145 | ICON Plc, ADR* | 1,599,434 | ||||||||
23,991 | Total Produce Plc | 58,085 | ||||||||
|
| |||||||||
Total Ireland | 4,171,591 | |||||||||
|
| |||||||||
Israel — 0.5% | ||||||||||
4,859 | Bank Leumi Le-Israel BM* | 32,056 | ||||||||
243,257 | Bezeq Israeli Telecommunication Corp., Ltd.* | 260,494 | ||||||||
17,079 | Check Point Software Technologies, Ltd.* | 1,912,336 | ||||||||
14,623 | First International Bank Of Israel, Ltd.* | 408,385 | ||||||||
3 | Isracard, Ltd.* | 10 | ||||||||
32,661 | Radware, Ltd.* | 851,799 |
See accompanying Notes to the Financial Statements.
178
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Israel — continued | ||||||||||
1,503 | Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 97,850 | ||||||||
56,607 | Shufersal, Ltd. | 466,477 | ||||||||
56,884 | Strauss Group, Ltd. | 1,535,238 | ||||||||
|
| |||||||||
Total Israel | 5,564,645 | |||||||||
|
| |||||||||
Italy — 0.0% | ||||||||||
29,277 | A2A SpA | 53,403 | ||||||||
9,458 | Hera SpA | 36,327 | ||||||||
|
| |||||||||
Total Italy | 89,730 | |||||||||
|
| |||||||||
Japan — 3.7% | ||||||||||
1,400 | Aeon Co., Ltd. | 41,797 | ||||||||
1,200 | Ajinomoto Co., Inc. | 24,603 | ||||||||
31,300 | Arcs Co., Ltd. | 677,270 | ||||||||
1,900 | AT-Group Co., Ltd. | 29,231 | ||||||||
7,400 | Axial Retailing, Inc. | 322,452 | ||||||||
1,200 | Belc Co., Ltd. | 67,004 | ||||||||
1,100 | Canon, Inc. | 24,912 | ||||||||
21,300 | Cawachi, Ltd.(a) | 555,342 | ||||||||
1,800 | Cosmos Pharmaceutical Corp. | 281,321 | ||||||||
700 | Create SD Holdings Co., Ltd. | 22,805 | ||||||||
17,842 | DCM Holdings Co., Ltd. | 186,978 | ||||||||
11,900 | Doshisha Co., Ltd. | 201,492 | ||||||||
22,989 | Earth Corp. | 1,385,581 | ||||||||
3,931 | EDION Corp. | 44,077 | ||||||||
4,300 | Ezaki Glico Co., Ltd. | 172,973 | ||||||||
2,600 | Fujicco Co., Ltd. | 45,882 | ||||||||
17,900 | Heiwado Co., Ltd.(a) | 363,508 | ||||||||
3,100 | Hokuto Corp.(a) | 58,549 | ||||||||
10,200 | Itoham Yonekyu Holdings, Inc. | 67,292 | ||||||||
21,500 | Japan Post Bank Co., Ltd.(a) | 207,023 | ||||||||
501 | Japan Tobacco, Inc. | 9,635 | ||||||||
32,555 | Kaken Pharmaceutical Co., Ltd.(a) | 1,277,158 | ||||||||
19,300 | Kato Sangyo Co., Ltd. | 624,412 | ||||||||
88,700 | KDDI Corp.(a) | 2,725,217 | ||||||||
82,500 | KYORIN Holdings, Inc. | 1,439,457 | ||||||||
37,700 | Lawson, Inc. | 1,852,588 | ||||||||
45,100 | Lion Corp.(a) | 881,185 | ||||||||
43,100 | Medipal Holdings Corp. | 828,456 | ||||||||
11,800 | MEIJI Holdings Co., Ltd.(a) | 760,326 | ||||||||
1,200 | Miroku Jyoho Service Co., Ltd.(a) | 22,382 | ||||||||
22,100 | Mitsubishi Shokuhin Co., Ltd. | 619,000 | ||||||||
113,770 | Mizuho Financial Group, Inc.(a) | 1,646,319 | ||||||||
30,000 | Mochida Pharmaceutical Co., Ltd.(a) | 1,164,706 | ||||||||
2,900 | Nihon Chouzai Co., Ltd. | 46,846 | ||||||||
2,200 | Nintendo Co., Ltd. | 1,230,606 | ||||||||
48,300 | Nippn Corp. | 724,281 | ||||||||
96,000 | Nippon Telegraph & Telephone Corp. | 2,469,068 | ||||||||
25,900 | Nisshin Oillio Group, Ltd. (The) | 765,281 |
See accompanying Notes to the Financial Statements.
179
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
12,200 | Okinawa Cellular Telephone Co. | 560,869 | ||||||||
13,200 | Okinawa Electric Power Co., Inc. (The) | 185,278 | ||||||||
13,600 | Okuwa Co., Ltd. | 148,923 | ||||||||
24,800 | Ono Pharmaceutical Co., Ltd. | 648,615 | ||||||||
39,100 | Otsuka Holdings Co., Ltd. | 1,658,477 | ||||||||
800 | S&B Foods, Inc. | 35,186 | ||||||||
600 | San-A Co., Ltd. | 25,005 | ||||||||
52,000 | Sankyo Co., Ltd. | 1,380,235 | ||||||||
24,100 | Sawai Pharmaceutical Co., Ltd.(b) | 1,171,195 | ||||||||
7,000 | Secom Co., Ltd. | 589,964 | ||||||||
25,878 | Seven & i Holdings Co., Ltd. | 1,045,190 | ||||||||
100 | Shimano, Inc. | 23,869 | ||||||||
25,859 | Showa Sangyo Co., Ltd.(a) | 726,626 | ||||||||
9,800 | SKY Perfect JSAT Holdings, Inc. | 43,634 | ||||||||
202,300 | Softbank Corp.(a) | 2,633,562 | ||||||||
13,300 | Sugi Holdings Co., Ltd. | 1,055,575 | ||||||||
20,500 | Sundrug Co., Ltd. | 751,357 | ||||||||
55,900 | Toho Holdings Co., Ltd. | 1,026,941 | ||||||||
2,200 | Toyo Suisan Kaisha, Ltd. | 92,579 | ||||||||
300 | Toyota Motor Corp.(a) | 23,392 | ||||||||
37,300 | Trend Micro, Inc. | 1,870,063 | ||||||||
3,500 | Tsumura & Co. | 125,271 | ||||||||
1,000 | Tsuruha Holdings, Inc. | 129,231 | ||||||||
1,500 | Tv Tokyo Holdings Corp. | 32,389 | ||||||||
49,300 | Unicharm Corp. | 2,072,385 | ||||||||
39,800 | United Super Markets Holdings, Inc. | 419,971 | ||||||||
21,300 | Valor Holdings Co., Ltd. | 479,395 | ||||||||
59,100 | Vital KSK Holdings, Inc. | 421,990 | ||||||||
5,500 | Wowow, Inc. | 139,964 | ||||||||
7,800 | Yaoko Co., Ltd. | 480,000 | ||||||||
23,500 | ZERIA Pharmaceutical Co., Ltd.(a) | 447,244 | ||||||||
|
| |||||||||
Total Japan | 44,311,390 | |||||||||
|
| |||||||||
Jordan — 0.0% | ||||||||||
6,712 | Hikma Pharmaceuticals Plc | 210,770 | ||||||||
|
| |||||||||
Kyrgyzstan — 0.1% | ||||||||||
136,089 | Centerra Gold, Inc. | 1,204,050 | ||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
6,753 | Eurofins Scientific SE* | 646,928 | ||||||||
425 | RTL Group SA* | 24,955 | ||||||||
|
| |||||||||
Total Luxembourg | 671,883 | |||||||||
|
| |||||||||
Netherlands — 0.5% | ||||||||||
1,216 | Amsterdam Commodities NV | 30,513 | ||||||||
753 | ASML Holding NV | 457,545 | ||||||||
83,436 | Koninklijke Ahold Delhaize NV | 2,328,979 | ||||||||
41,907 | Wolters Kluwer NV | 3,650,653 | ||||||||
|
| |||||||||
Total Netherlands | 6,467,690 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
180
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
New Zealand — 0.3% | ||||||||||
63,985 | EBOS Group, Ltd. | 1,321,951 | ||||||||
4,996 | Fletcher Building, Ltd. | 24,773 | ||||||||
8,467 | Fonterra Co-operative Group, Ltd. | 29,234 | ||||||||
29,340 | Freightways, Ltd. | 232,196 | ||||||||
29,600 | Mainfreight, Ltd. | 1,438,688 | ||||||||
90,119 | Spark New Zealand, Ltd. | 282,755 | ||||||||
6,801 | Trustpower, Ltd. | 39,200 | ||||||||
15,201 | Vector, Ltd. | 43,116 | ||||||||
3,702 | Warehouse Group, Ltd. (The) | 9,800 | ||||||||
|
| |||||||||
Total New Zealand | 3,421,713 | |||||||||
|
| |||||||||
Norway — 0.4% | ||||||||||
2,099 | AF Gruppen ASA | 43,326 | ||||||||
9,089 | DNB ASA | 193,783 | ||||||||
299,159 | Norsk Hydro ASA | 1,919,081 | ||||||||
182,075 | Orkla ASA | 1,788,255 | ||||||||
4,487 | Sparebanken Vest | 41,157 | ||||||||
61,697 | Telenor ASA | 1,087,748 | ||||||||
|
| |||||||||
Total Norway | 5,073,350 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
24,921 | Best World International, Ltd.(b) | 25,225 | ||||||||
122,016 | Frasers Hospitality Trust REIT | 48,131 | ||||||||
8,000 | Great Eastern Holdings, Ltd. | 134,147 | ||||||||
2,500 | Haw Par Corp., Ltd. | 24,468 | ||||||||
44,804 | Hong Leong Finance, Ltd. | 82,365 | ||||||||
21,100 | Jardine Cycle & Carriage, Ltd. | 353,499 | ||||||||
3,404,049 | NetLink NBN Trust | 2,394,184 | ||||||||
161,800 | Olam International, Ltd. | 207,127 | ||||||||
62,800 | OUE, Ltd. | 58,425 | ||||||||
2,900 | Oversea-Chinese Banking Corp., Ltd. | 25,361 | ||||||||
68,900 | Raffles Medical Group, Ltd. | 57,434 | ||||||||
1,463,001 | Sheng Siong Group, Ltd. | 1,676,854 | ||||||||
105,100 | Singapore Post, Ltd. | 54,756 | ||||||||
33,000 | United Industrial Corp., Ltd. | 64,350 | ||||||||
1,400 | United Overseas Bank, Ltd. | 26,914 | ||||||||
|
| |||||||||
Total Singapore | 5,233,240 | |||||||||
|
| |||||||||
South Africa — 0.0% | ||||||||||
7,722 | Anglo American Plc | 302,841 | ||||||||
|
| |||||||||
Spain — 1.0% | ||||||||||
49,446 | Aena SME SA* | 8,037,146 | ||||||||
1,020 | Cia de Distribucion Integral Logista Holdings SA | 20,260 | ||||||||
1,219 | Ebro Foods SA | 25,187 | ||||||||
954 | Endesa SA | 25,295 | ||||||||
21,765 | Faes Farma SA | 93,496 | ||||||||
56,473 | Viscofan SA | 3,909,351 | ||||||||
|
| |||||||||
Total Spain | 12,110,735 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
181
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
Sweden — 0.7% | ||||||||||
98,809 | Axfood AB(a) | 2,366,981 | ||||||||
792 | Essity AB Class B | 25,069 | ||||||||
58,230 | ICA Gruppen AB | 2,852,611 | ||||||||
212,028 | Telefonaktiebolaget LM Ericsson Class B | 2,810,807 | ||||||||
|
| |||||||||
Total Sweden | 8,055,468 | |||||||||
|
| |||||||||
Switzerland — 2.7% | ||||||||||
4,888 | AEVIS VICTORIA SA* | 70,114 | ||||||||
4,633 | Allreal Holding AG | 937,282 | ||||||||
1,348 | Banque Cantonale de Geneve | 230,599 | ||||||||
168 | Basellandschaftliche Kantonalbank | 164,939 | ||||||||
1,400 | Berner Kantonalbank AG | 316,846 | ||||||||
12,362 | BKW AG | 1,350,278 | ||||||||
1,475 | Emmi AG | 1,496,706 | ||||||||
9 | Graubuendner Kantonalbank | 14,057 | ||||||||
5,654 | Kuehne + Nagel International AG | 1,620,235 | ||||||||
68,330 | Nestle SA | 7,647,965 | ||||||||
134,764 | Novartis AG | 11,565,519 | ||||||||
273 | Orior AG | 24,192 | ||||||||
8,810 | Roche Holding AG | 2,859,283 | ||||||||
5,295 | Sonova Holding AG* | 1,408,774 | ||||||||
5,364 | Swisscom AG(a) | 2,889,601 | ||||||||
603 | Thurgauer Kantonalbank | 67,915 | ||||||||
2,426 | TX Group AG | 195,132 | ||||||||
13 | Warteck Invest AG | 31,908 | ||||||||
|
| |||||||||
Total Switzerland | 32,891,345 | |||||||||
|
| |||||||||
United Kingdom — 3.8% | ||||||||||
9,583 | AstraZeneca Plc | 958,174 | ||||||||
26,205 | AstraZeneca Plc, ADR(a) | 1,302,913 | ||||||||
1,870,300 | BAE Systems Plc | 13,031,292 | ||||||||
44,808 | Bunzl Plc | 1,436,116 | ||||||||
7,977 | CareTech Holdings Plc | 59,212 | ||||||||
10,411 | Dechra Pharmaceuticals Plc | 492,687 | ||||||||
12,246 | EMIS Group Plc | 185,854 | ||||||||
28,356 | Genus Plc | 1,900,585 | ||||||||
123,921 | GlaxoSmithKline Plc | 2,202,143 | ||||||||
229,515 | J Sainsbury Plc | 767,905 | ||||||||
197,399 | Nomad Foods, Ltd.* | 5,420,577 | ||||||||
332,895 | Pan African Resources Plc | 73,028 | ||||||||
20,893 | PZ Cussons Plc | 76,966 | ||||||||
103,833 | Spirent Communications Plc | 341,671 | ||||||||
265,267 | Tate & Lyle Plc | 2,807,868 | ||||||||
67,530 | Tesco Plc | 213,222 | ||||||||
217,551 | Unilever Plc | 12,165,615 | ||||||||
48,764 | Vectura Group Plc* | 77,775 | ||||||||
789,109 | Vodafone Group Plc | 1,435,822 | ||||||||
4,972 | YouGov Plc | 68,770 | ||||||||
|
| |||||||||
Total United Kingdom | 45,018,195 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
182
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
United States — 63.3% | ||||||||||
21,300 | 3M Co. | 4,104,084 | ||||||||
112,600 | Abbott Laboratories | 13,493,984 | ||||||||
3,100 | Acceleron Pharma, Inc.* | 420,391 | ||||||||
21,137 | Accenture Plc Class A | 5,839,096 | ||||||||
49,500 | Activision Blizzard, Inc. | 4,603,500 | ||||||||
14,575 | Adobe, Inc.* | 6,928,518 | ||||||||
15,200 | Akamai Technologies, Inc.* | 1,548,880 | ||||||||
15,144 | Alphabet, Inc. Class A* | 31,234,803 | ||||||||
70,800 | Altria Group, Inc. | 3,622,128 | ||||||||
2,100 | Amazon.com, Inc.* | 6,497,568 | ||||||||
50,271 | Amdocs, Ltd. | 3,526,511 | ||||||||
18,678 | Ameren Corp. | 1,519,642 | ||||||||
8,613 | American Electric Power Co., Inc. | 729,521 | ||||||||
19,516 | American Tower Corp. REIT | 4,665,495 | ||||||||
23,100 | American Water Works Co., Inc. | 3,463,152 | ||||||||
15,900 | AmerisourceBergen Corp. Class A | 1,877,313 | �� | |||||||
15,800 | Amgen, Inc. | 3,931,198 | ||||||||
9,846 | ANSYS, Inc.* | 3,343,308 | ||||||||
8,303 | Aon Plc Class A | 1,910,603 | ||||||||
67,755 | Arthur J. Gallagher & Co. | 8,453,791 | ||||||||
100 | Aspen Technology, Inc.* | 14,433 | ||||||||
88 | AT&T, Inc. | 2,664 | ||||||||
14,000 | Atlassian Corp. Plc Class A* | 2,950,640 | ||||||||
24,500 | Automatic Data Processing, Inc. | 4,617,515 | ||||||||
400 | AutoZone, Inc.* | 561,720 | ||||||||
141,199 | Baxter International, Inc. | 11,908,724 | ||||||||
62,764 | Becton Dickinson and Co. | 15,261,067 | ||||||||
13,572 | Berkshire Hathaway, Inc. Class B* | 3,467,239 | ||||||||
100 | Bio-Techne Corp. | 38,193 | ||||||||
1,400 | BlackRock, Inc. | 1,055,544 | ||||||||
225 | Booking Holdings, Inc.* | 524,214 | ||||||||
77,255 | Bristol-Myers Squibb Co. | 4,877,108 | ||||||||
13,500 | Broadcom, Inc. | 6,259,410 | ||||||||
110,274 | BWX Technologies, Inc. | 7,271,468 | ||||||||
1,400 | Cable One, Inc. | 2,559,704 | ||||||||
31,135 | Cadence Design Systems, Inc.* | 4,265,184 | ||||||||
6,100 | Casey’s General Stores, Inc. | 1,318,759 | ||||||||
75,300 | Catalent, Inc.* | 7,929,843 | ||||||||
7,800 | Cboe Global Markets, Inc. | 769,782 | ||||||||
31,200 | Cerner Corp. | 2,242,656 | ||||||||
18,000 | CH Robinson Worldwide, Inc. | 1,717,740 | ||||||||
6,900 | Charles River Laboratories International, Inc.* | 1,999,827 | ||||||||
133,561 | Charles Schwab Corp. (The) | 8,705,506 | ||||||||
34,200 | Charter Communications, Inc. Class A* | 21,102,084 | ||||||||
5,500 | Chemed Corp. | 2,529,010 | ||||||||
11,600 | Church & Dwight Co., Inc. | 1,013,260 | ||||||||
15,900 | Cirrus Logic, Inc.* | 1,348,161 | ||||||||
8,000 | Cisco Systems, Inc. | 413,680 | ||||||||
22,300 | Citrix Systems, Inc. | 3,130,028 |
See accompanying Notes to the Financial Statements.
183
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
52,427 | Clean Harbors, Inc.* | 4,407,014 | ||||||||
14,900 | Clorox Co. (The) | 2,873,912 | ||||||||
1,100 | Cloudflare, Inc. Class A* | 77,286 | ||||||||
23,083 | CMS Energy Corp. | 1,413,141 | ||||||||
27,100 | Coca-Cola Co. (The) | 1,428,441 | ||||||||
42,800 | Colgate-Palmolive Co. | 3,373,924 | ||||||||
17,149 | Consolidated Edison, Inc. | 1,282,745 | ||||||||
27,349 | Cooper Cos., Inc. (The) | 10,504,477 | ||||||||
64,069 | Copart, Inc.* | 6,958,534 | ||||||||
6,300 | CoStar Group, Inc.* | 5,177,907 | ||||||||
14,200 | Costco Wholesale Corp. | 5,005,216 | ||||||||
119,313 | CVS Health Corp. | 8,975,917 | ||||||||
28,076 | Danaher Corp. | 6,319,346 | ||||||||
17,100 | Dollar General Corp. | 3,464,802 | ||||||||
16,000 | Dominion Resources, Inc. | 1,215,360 | ||||||||
22,577 | DTE Energy Co. | 3,005,902 | ||||||||
800 | Duke Energy Corp. | 77,224 | ||||||||
11,600 | Ecolab, Inc. | 2,483,212 | ||||||||
26,800 | Electronic Arts, Inc. | 3,627,916 | ||||||||
28,767 | Eli Lilly & Co. | 5,374,251 | ||||||||
20,313 | Enstar Group, Ltd.* | 5,011,826 | ||||||||
6,800 | EPAM Systems, Inc.* | 2,697,492 | ||||||||
4,300 | Equinix, Inc. REIT | 2,922,237 | ||||||||
7,800 | Erie Indemnity Co. Class A | 1,723,098 | ||||||||
1,400 | Estee Lauder Cos., Inc. (The) Class A | 407,190 | ||||||||
7,414 | Everest Re Group, Ltd. | 1,837,263 | ||||||||
3,600 | Evergy, Inc. | 214,308 | ||||||||
29,400 | Eversource Energy | 2,545,746 | ||||||||
36,800 | Expeditors International of Washington, Inc. | 3,962,992 | ||||||||
16,000 | Extra Space Storage, Inc. REIT | 2,120,800 | ||||||||
55,862 | Facebook, Inc. Class A* | 16,453,035 | ||||||||
3,300 | Fair Isaac Corp.* | 1,603,965 | ||||||||
6,100 | FedEx Corp. | 1,732,644 | ||||||||
19,249 | Ferguson Plc | 2,302,035 | ||||||||
60,153 | Fidelity National Information Services, Inc. | 8,458,113 | ||||||||
97,400 | Fiserv, Inc.* | 11,594,496 | ||||||||
64,800 | Flowers Foods, Inc. | 1,542,240 | ||||||||
12,700 | Fortinet, Inc.* | 2,342,134 | ||||||||
89,705 | Fortive Corp. | 6,336,761 | ||||||||
3,500 | General Mills, Inc. | 214,620 | ||||||||
20,029 | Genpact, Ltd. | 857,642 | ||||||||
71,122 | Globe Life, Inc. | 6,872,519 | ||||||||
79,119 | GoDaddy, Inc. Class A* | 6,141,217 | ||||||||
42,500 | Grocery Outlet Holding Corp.* | 1,567,825 | ||||||||
9,546 | Hanover Insurance Group, Inc. (The) | 1,235,825 | ||||||||
44,400 | Hawaiian Electric Industries, Inc. | 1,972,692 | ||||||||
37,811 | HCA Healthcare, Inc. | 7,121,324 | ||||||||
21,126 | Hershey Co. (The) | 3,341,288 | ||||||||
66,329 | Hologic, Inc.* | 4,933,551 |
See accompanying Notes to the Financial Statements.
184
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
10,964 | Home Depot, Inc. (The) | 3,346,761 | ||||||||
55,800 | Hormel Foods Corp. | 2,666,124 | ||||||||
13,247 | Humana, Inc. | 5,553,805 | ||||||||
19,200 | IDACORP, Inc. | 1,919,424 | ||||||||
2,700 | IDEXX Laboratories, Inc.* | 1,321,137 | ||||||||
7,120 | Illumina, Inc.* | 2,734,507 | ||||||||
3,900 | Incyte Corp.* | 316,953 | ||||||||
9,500 | Intel Corp. | 608,000 | ||||||||
97,000 | Intercontinental Exchange, Inc. | 10,832,960 | ||||||||
13,338 | Intuit, Inc. | 5,109,254 | ||||||||
2,500 | Intuitive Surgical, Inc.* | 1,847,350 | ||||||||
11,400 | Jack Henry & Associates, Inc. | 1,729,608 | ||||||||
11,300 | Jazz Pharmaceuticals Plc* | 1,857,381 | ||||||||
24,300 | JB Hunt Transport Services, Inc. | 4,084,101 | ||||||||
6,579 | JM Smucker Co. (The) | 832,441 | ||||||||
43,090 | Johnson & Johnson | 7,081,841 | ||||||||
8,038 | Kellogg Co. | 508,805 | ||||||||
400 | Kimberly-Clark Corp. | 55,620 | ||||||||
10,000 | KLA Corp. | 3,304,000 | ||||||||
98,500 | Kroger Co. (The) | 3,545,015 | ||||||||
1,200 | Lam Research Corp. | 714,288 | ||||||||
15,800 | Landstar System, Inc. | 2,607,948 | ||||||||
2,100 | Markel Corp.* | 2,393,202 | ||||||||
1,100 | Masimo Corp.* | 252,626 | ||||||||
30,559 | Mastercard, Inc. Class A | 10,880,532 | ||||||||
8,000 | McKesson Corp. | 1,560,320 | ||||||||
461,439 | Medical Properties Trust, Inc. REIT | 9,819,422 | ||||||||
42,706 | Medtronic Plc | 5,044,860 | ||||||||
66,934 | Merck & Co., Inc. | 5,159,942 | ||||||||
16,140 | Mercury General Corp. | 981,473 | ||||||||
600 | Mettler-Toledo International, Inc.* | 693,414 | ||||||||
72,443 | Microsoft Corp. | 17,079,886 | ||||||||
3,025 | Mid-America Apartment Communities, Inc. REIT | 436,689 | ||||||||
28,700 | Mondelez International, Inc. Class A | 1,679,811 | ||||||||
8,900 | Monolithic Power Systems, Inc. | 3,143,569 | ||||||||
31,200 | Moody’s Corp. | 9,316,632 | ||||||||
53,765 | Motorola Solutions, Inc. | 10,110,508 | ||||||||
2,100 | MSA Safety, Inc. | 315,042 | ||||||||
18,500 | Nasdaq, Inc. | 2,728,010 | ||||||||
2,600 | NewMarket Corp. | 988,416 | ||||||||
67,251 | Newmont Corp. | 4,053,218 | ||||||||
60,280 | NextEra Energy, Inc. | 4,557,771 | ||||||||
17,300 | Old Dominion Freight Line, Inc. | 4,159,093 | ||||||||
6,400 | Ollie’s Bargain Outlet Holdings, Inc.* | 556,800 | ||||||||
59,614 | Oracle Corp. | 4,183,114 | ||||||||
39,048 | PepsiCo, Inc. | 5,523,340 | ||||||||
108,163 | Performance Food Group Co.* | 6,231,270 | ||||||||
86,434 | Pfizer, Inc. | 3,131,504 | ||||||||
13,800 | Philip Morris International, Inc. | 1,224,612 | ||||||||
22,000 | Pinnacle West Capital Corp. | 1,789,700 |
See accompanying Notes to the Financial Statements.
185
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
50,480 | Procter & Gamble Co. (The) | 6,836,506 | ||||||||
37,583 | Progressive Corp. (The) | 3,593,311 | ||||||||
17,430 | Prologis, Inc. REIT | 1,847,580 | ||||||||
12,000 | Public Service Enterprise Group, Inc. | 722,520 | ||||||||
13,700 | Public Storage REIT | 3,380,612 | ||||||||
46,908 | QIAGEN NV* (a) | 2,283,951 | ||||||||
25,494 | QIAGEN NV (London Exchange)* | 1,236,576 | ||||||||
3,400 | Raymond James Financial, Inc. | 416,704 | ||||||||
4,000 | Regeneron Pharmaceuticals, Inc.* | 1,892,560 | ||||||||
3,900 | Repligen Corp.* | 758,199 | ||||||||
38,304 | Republic Services, Inc. Class A | 3,805,502 | ||||||||
16,600 | ResMed, Inc. | 3,220,732 | ||||||||
5,000 | Roper Technologies, Inc. | 2,016,700 | ||||||||
25,700 | Royal Gold, Inc. | 2,765,834 | ||||||||
1,200 | S&P Global, Inc. | 423,444 | ||||||||
41,000 | Schneider National, Inc. Class B | 1,023,770 | ||||||||
53,896 | Science Applications International Corp. | 4,505,167 | ||||||||
8,700 | Seagen, Inc.* | 1,208,082 | ||||||||
11,400 | Silgan Holdings, Inc. | 479,142 | ||||||||
8,000 | Skyworks Solutions, Inc. | 1,467,840 | ||||||||
23,800 | Southern Co. (The) | 1,479,408 | ||||||||
47,700 | Sprouts Farmers Market, Inc.* | 1,269,774 | ||||||||
5,200 | STERIS Plc | 990,496 | ||||||||
15,453 | Stryker Corp. | 3,764,042 | ||||||||
6,996 | Sun Communities, Inc. REIT | 1,049,680 | ||||||||
16,572 | Synopsys, Inc.* | 4,106,210 | ||||||||
35,300 | T-Mobile US, Inc.* | 4,422,737 | ||||||||
19,300 | Take-Two Interactive Software, Inc.* | 3,410,310 | ||||||||
27,100 | Target Corp. | 5,367,697 | ||||||||
1,613 | Taro Pharmaceutical Industries, Ltd.* | 118,959 | ||||||||
34,300 | Texas Instruments, Inc. | 6,482,357 | ||||||||
25,700 | TFS Financial Corp. | 523,509 | ||||||||
25,000 | Thermo Fisher Scientific, Inc. | 11,409,500 | ||||||||
3,900 | Travelers Cos., Inc. (The) | 586,560 | ||||||||
8,500 | Tyler Technologies, Inc.* | 3,608,505 | ||||||||
26,000 | United Parcel Service, Inc. Class B | 4,419,740 | ||||||||
5,400 | United Therapeutics Corp.* | 903,258 | ||||||||
35,502 | UnitedHealth Group, Inc. | 13,209,229 | ||||||||
3,300 | Veeva Systems, Inc. Class A* | 862,092 | ||||||||
14,400 | VeriSign, Inc.* | 2,862,144 | ||||||||
500 | Verisk Analytics, Inc. Class A | 88,345 | ||||||||
109,912 | Verizon Communications, Inc. | 6,391,383 | ||||||||
2,400 | Vertex Pharmaceuticals, Inc.* | 515,736 | ||||||||
26,100 | Visa, Inc. Class A | 5,526,153 | ||||||||
41,836 | Walmart, Inc. | 5,682,584 | ||||||||
51,453 | Waste Connections, Inc. | 5,555,895 | ||||||||
32,085 | Waste Management, Inc. | 4,139,607 | ||||||||
33,200 | WEC Energy Group, Inc. | 3,107,188 | ||||||||
10,600 | West Pharmaceutical Services, Inc. | 2,986,868 |
See accompanying Notes to the Financial Statements.
186
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2021
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,000 | White Mountains Insurance Group, Ltd. | 1,114,900 | ||||||||
5,600 | Willis Towers Watson Plc | 1,281,728 | ||||||||
44,859 | Xcel Energy, Inc. | 2,983,572 | ||||||||
27,300 | Zoetis, Inc. | 4,299,204 | ||||||||
4,200 | Zoom Video Communications, Inc. Class A* | 1,349,418 | ||||||||
|
| |||||||||
Total United States | 759,007,673 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $918,659,784) | 1,152,981,945 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.2% |
| |||||||||
Germany — 0.2% | ||||||||||
22,459 | Henkel AG & Co. KGaA, 1.94% | 2,530,325 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $1,898,212) | 2,530,325 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENT — 1.2% |
| |||||||||
Mutual Fund - Securities Lending Collateral — 1.2% | ||||||||||
13,767,600 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.04%(c) (d) | 13,767,600 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENT (COST $13,767,600) | 13,767,600 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.5% (Cost $934,325,596) | 1,169,279,870 | |||||||||
Other Assets and Liabilities (net) — 2.5% | 30,177,430 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $1,199,457,300 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: |
| |||||||||
* | Non-income producing security. | |||||||||
(a) | All or a portion of this security is out on loan. | |||||||||
(b) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $1,196,420 which represents 0.1% of net assets. The aggregate tax cost of these securities held at March 31, 2021 was $1,273,865. | |||||||||
(c) | The rate disclosed is the 7-day net yield as of March 31, 2021. | |||||||||
�� | (d) | Represents an investment of securities lending cash collateral. |
See accompanying Notes to the Financial Statements.
187
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
9 | Canadian Dollar | Jun 2021 | $ | 716,130 | $ | (1,204 | ) | |||||||||||||
64 | MSCI EAFE Index | Jun 2021 | 7,014,400 | 32,616 | ||||||||||||||||
82 | S&P 500 E-mini Index | Jun 2021 | 16,266,340 | 192,270 | ||||||||||||||||
4 | S&P/TSX 60 Index | Jun 2021 | 707,228 | (2,482 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | 221,200 | |||||||||||||||||||
|
|
Other Abbreviations
ADR | — American Depository Receipt |
REIT | — Real Estate Investment Trust |
See accompanying Notes to the Financial Statements.
188
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2021
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Consumer, Non-cyclical | 34.4 | ||||
Communications | 13.4 | ||||
Technology | 12.8 | ||||
Industrial | 12.2 | ||||
Financial | 12.2 | ||||
Consumer, Cyclical | 4.6 | ||||
Utilities | 3.8 | ||||
Basic Materials | 2.9 | ||||
Energy | 0.0 | * | |||
Diversified | 0.0 | * | |||
Short-Term Investment | 1.2 | ||||
Other Assets and Liabilities (net) | 2.5 | ||||
|
| ||||
100.0 | % | ||||
|
|
* Amount rounds to zero.
See accompanying Notes to the Financial Statements.
189
Table of Contents
Mercer Funds
Statements of Assets and Liabilities
March 31, 2021
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) (b) | $ | 1,440,677,119 | $ | 1,830,185,292 | $ | 3,784,498,496 | $ | 1,250,810,515 | ||||||||||||
Foreign currency, at value(c) | — | — | 7,631,629 | — | ||||||||||||||||
Cash and cash equivalents | 63,180,277 | 52,615,516 | 162,025,695 | 65,061,597 | ||||||||||||||||
Dividend and interest receivable | 1,583,144 | 1,116,269 | 13,867,959 | 7,934,168 | ||||||||||||||||
Receivable for investments sold | 1,375,508 | 79,496 | 4,912,475 | 10,825,711 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 2,302,000 | 2,177,000 | 9,798,000 | — | ||||||||||||||||
Receivable for TBA securities sold | — | — | — | 8,505,048 | ||||||||||||||||
Foreign tax reclaims receivable | 110,853 | — | 6,265,571 | — | ||||||||||||||||
Receivable for fund shares sold | 4,905,985 | — | — | 1,391,142 | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | 1,203,827 | 200,054 | ||||||||||||||||
Receivable for variation margin on open futures contracts | 182,027 | 263,831 | — | — | ||||||||||||||||
Prepaid expenses | 5,689 | 7,255 | 16,142 | 5,230 | ||||||||||||||||
Cash collateral held at broker on open centrally cleared swap contracts | — | — | — | 2,039 | ||||||||||||||||
Receivable for variation margin on open centrally cleared swap contracts | — | — | — | 8,984 | ||||||||||||||||
Securities lending income receivable | 1,907 | 6,598 | 60,962 | 1,904 | ||||||||||||||||
Receivable for advisory fee waived | 940,591 | 2,187,622 | 3,654,816 | 717,661 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 1,515,265,100 | 1,888,638,879 | 3,993,935,572 | 1,345,464,053 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Obligation to return securities lending collateral | 4,085,189 | 5,203,630 | 143,479,818 | 10,664,255 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | — | — | 46,647,449 | ||||||||||||||||
Payable for investments purchased | 3,602,415 | 2,736,370 | 7,528,426 | 30,880,534 | ||||||||||||||||
Payable for fund shares repurchased | 769,547 | 9,204,823 | 5,913,457 | — | ||||||||||||||||
Payable for variation margin on open futures contracts | — | — | 639,924 | 39,689 | ||||||||||||||||
Payable for foreign capital gains tax | — | — | 379,923 | — | ||||||||||||||||
Written options, at value(d) | — | — | — | 82,078 | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | 34,741 | ||||||||||||||||
Payable to affiliates for: | ||||||||||||||||||||
Advisory fees | 1,837,601 | 4,109,869 | 6,761,077 | 981,686 | ||||||||||||||||
Trustees fees | 24,695 | 32,321 | 65,794 | 19,816 | ||||||||||||||||
Accrued expenses | 152,078 | 183,835 | 357,378 | 162,114 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 10,471,525 | 21,470,848 | 165,125,797 | 89,512,362 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,504,793,575 | $ | 1,867,168,031 | $ | 3,828,809,775 | $ | 1,255,951,691 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
190
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2021
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 1,124,856,518 | $ | 1,247,460,372 | $ | 2,914,873,794 | $ | 1,243,456,671 | ||||||||||||
Distributable earnings | 379,937,057 | 619,707,659 | 913,935,981 | 12,495,020 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,504,793,575 | $ | 1,867,168,031 | $ | 3,828,809,775 | $ | 1,255,951,691 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 | $ | 1,504,793,575 | $ | 1,867,168,031 | $ | 3,828,809,775 | $ | 1,255,951,691 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 125,725,770 | 135,054,720 | 309,730,484 | 120,105,189 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per unit: | ||||||||||||||||||||
Class Y-3 | $ | 11.97 | $ | 13.83 | $ | 12.36 | $ | 10.46 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 1,105,586,203 | $ | 1,376,105,772 | $ | 3,195,404,513 | $ | 1,246,746,444 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Securities loaned, at value | $ | 15,249,356 | $ | 34,579,770 | $ | 233,801,568 | $ | 16,403,157 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(c) Foreign currency, at cost | $ | — | $ | — | $ | 7,632,161 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(d) Premiums on written options | $ | — | $ | — | $ | — | $ | 21,444 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
191
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2021
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Assets |
| ||||||||||||||
Investments, at value(a) (b) | $ | 815,670,461 | $ | 1,446,626,817 | $ | 1,169,279,870 | |||||||||
Foreign currency, at value(c) | 8,981,362 | 4,399,949 | 385,533 | ||||||||||||
Cash and cash equivalents | 39,585,124 | 79,679,427 | 40,204,314 | ||||||||||||
Receivable for investments sold | 12,210,233 | 3,210,291 | 468,862 | ||||||||||||
Dividend and interest receivable | 10,132,578 | 3,539,507 | 1,632,861 | ||||||||||||
Receivable for fund shares sold | 500,000 | 11,798,918 | — | ||||||||||||
Cash collateral held at broker on open centrally cleared swap contracts | 8,164,685 | — | — | ||||||||||||
Cash collateral held at broker on open futures contracts | 2,084,997 | 2,498,000 | 1,853,000 | ||||||||||||
Unrealized appreciation on open forward foreign currency contracts | 3,415,516 | — | — | ||||||||||||
Foreign tax reclaims receivable | 175,580 | 89,006 | 1,127,907 | ||||||||||||
Receivable for variation margin on open futures contracts | 82,595 | 275,739 | 77,965 | ||||||||||||
OTC — Swap contracts, at value (up-front net premiums paid of $54,222, $-, and $-, respectively) | 163,811 | — | — | ||||||||||||
Cash collateral held at broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 160,000 | — | — | ||||||||||||
Receivable for cash collateral on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 30,000 | — | — | ||||||||||||
Prepaid expenses | 5,737 | 6,094 | 5,806 | ||||||||||||
Securities lending income receivable | 1,918 | 17,885 | 6,361 | ||||||||||||
Receivable for advisory fee waived | 1,232,306 | 1,534,236 | 1,559,911 | ||||||||||||
Unrealized gain on unfunded loan commitments | 1,368 | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 902,598,271 | 1,553,675,869 | 1,216,602,390 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities |
| ||||||||||||||
Obligation to return securities lending collateral | 13,830,368 | 20,453,755 | 13,767,600 | ||||||||||||
Payable for investments purchased | 22,898,412 | 8,042,092 | 668,379 | ||||||||||||
Payable for when-issued securities purchased | 4,687,462 | — | — | ||||||||||||
Payable for foreign capital gains tax | 111,642 | 3,056,691 | — | ||||||||||||
Unrealized depreciation on open forward foreign currency contracts | 2,710,092 | — | — | ||||||||||||
Payable for fund shares repurchased | 544,200 | 115,474 | 262,060 | ||||||||||||
Cash collateral due to broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 680,000 | — | — | ||||||||||||
OTC — Swap contracts, at value (up-front net premiums received of $18,090, $-, and $-, respectively) | 239,680 | — | — | ||||||||||||
Written options, at value(d) | 166,383 | — | — | ||||||||||||
Payable for variation margin on open centrally cleared swap contracts | 40,082 | — | — | ||||||||||||
Payable for closed centrally cleared swap contracts | 15 | — | — | ||||||||||||
Payable to affiliates for: | |||||||||||||||
Advisory fees | 2,282,136 | 3,057,525 | 2,275,281 | ||||||||||||
Trustees fees | 19,779 | 27,013 | 21,082 | ||||||||||||
Accrued expenses | 229,342 | 269,183 | 150,688 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 48,439,593 | 35,021,733 | 17,145,090 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets | $ | 854,158,678 | $ | 1,518,654,136 | $ | 1,199,457,300 | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
192
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2021
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Net assets consist of: | |||||||||||||||
Paid-in capital | $ | 850,662,075 | $ | 1,180,459,685 | $ | 892,706,415 | |||||||||
Distributable earnings | 3,496,603 | 338,194,451 | 306,750,885 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets | $ | 854,158,678 | $ | 1,518,654,136 | $ | 1,199,457,300 | |||||||||
|
|
|
|
|
| ||||||||||
Net assets attributable to: | |||||||||||||||
Class Y-3 | $ | 854,158,678 | $ | 1,518,654,136 | $ | 1,199,457,300 | |||||||||
|
|
|
|
|
| ||||||||||
Shares outstanding: | |||||||||||||||
Class Y-3 | 89,195,552 | 132,364,951 | 82,427,347 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value per unit: | |||||||||||||||
Class Y-3 | $ | 9.58 | $ | 11.47 | $ | 14.55 | |||||||||
|
|
|
|
|
| ||||||||||
(a) Investments, at cost | $ | 808,853,461 | $ | 1,235,790,331 | $ | 934,325,596 | |||||||||
|
|
|
|
|
| ||||||||||
(b) Securities loaned, at value | $ | 21,103,357 | $ | 34,726,472 | $ | 22,321,203 | |||||||||
|
|
|
|
|
| ||||||||||
(c) Foreign currency, at cost | $ | 9,179,134 | $ | 4,416,970 | $ | 384,490 | |||||||||
|
|
|
|
|
| ||||||||||
(d) Premiums on written options | $ | 306,978 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
193
Table of Contents
Mercer Funds
Year Ended March 31, 2021
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Investment Income: |
| |||||||||||||||||||
Dividends | $ | 19,076,102 | $ | 18,178,155 | $ | 82,309,416 | $ | 496 | ||||||||||||
Interest | 1,274 | 2,270 | 431,161 | 26,113,885 | ||||||||||||||||
Withholding taxes | (37,551 | ) | (36,029 | ) | (8,080,549 | ) | (104 | ) | ||||||||||||
Securities lending income | 18,369 | 269,938 | 930,214 | 17,956 | ||||||||||||||||
Other income | — | — | — | 6,556 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 19,058,194 | 18,414,334 | 75,590,242 | 26,138,789 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: |
| |||||||||||||||||||
Advisory fees | 6,422,192 | 14,097,821 | 24,342,220 | 3,595,870 | ||||||||||||||||
Custodian and fund accounting fees | 259,375 | 325,530 | 901,881 | 256,204 | ||||||||||||||||
Audit fees | 71,194 | 79,966 | 207,999 | 80,521 | ||||||||||||||||
Transfer agent fees | 23,848 | 24,770 | 25,526 | 24,963 | ||||||||||||||||
Legal fees | 140,787 | 191,753 | 393,771 | 117,123 | ||||||||||||||||
Trustees fees | 109,129 | 141,984 | 312,208 | 95,718 | ||||||||||||||||
Registration fees | 28,993 | 36,352 | 48,958 | 24,470 | ||||||||||||||||
Miscellaneous | 71,813 | 92,683 | 200,354 | 67,739 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 7,127,331 | 14,990,859 | 26,432,917 | 4,262,608 | ||||||||||||||||
Advisory fee waiver | (3,326,858 | ) | (7,534,162 | ) | (13,001,639 | ) | (2,630,983 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 3,800,473 | 7,456,697 | 13,431,278 | 1,631,625 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 15,257,721 | 10,957,637 | 62,158,964 | 24,507,164 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): |
| |||||||||||||||||||
Net realized gain (loss) on: |
| |||||||||||||||||||
Investments | 45,095,848 | 205,777,288 | 429,674,661 | 15,503,211 | ||||||||||||||||
Purchased option contracts | — | — | — | (87,303 | ) | |||||||||||||||
Swap contracts | — | — | — | (801,834 | ) | |||||||||||||||
Closed futures contracts | 13,981,424 | 19,370,948 | 38,459,101 | (776,176 | ) | |||||||||||||||
Written option contracts | — | — | — | 33,100 | ||||||||||||||||
Forward foreign currency contracts | — | — | (935,803 | ) | (58,335 | ) | ||||||||||||||
Foreign currency related transactions | 1,251 | 43 | (1,346,390 | ) | 88,337 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain (loss) | 59,078,523 | 225,148,279 | 465,851,569 | 13,901,000 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: |
| |||||||||||||||||||
Investments | 508,842,403 | 719,407,528 | 887,569,120 | (6,127,186 | ) | |||||||||||||||
Purchased option contracts | — | — | — | 158,374 | ||||||||||||||||
Swap contracts | — | — | — | 1,074,246 | ||||||||||||||||
Open futures contracts | (603,742 | ) | (309,699 | ) | (8,921,766 | ) | 1,082,680 | |||||||||||||
Written option contracts | — | — | — | (70,531 | ) | |||||||||||||||
Forward foreign currency contracts | — | — | 1,828,344 | 168,968 | ||||||||||||||||
Foreign currency related transactions | (1,597 | ) | — | 75,263 | (138 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | 508,237,064 | 719,097,829 | 880,550,961 | (3,713,587 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | 567,315,587 | 944,246,108 | 1,346,402,530 | 10,187,413 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | $ | 582,573,308 | $ | 955,203,745 | $ | 1,408,561,494 | $ | 34,694,577 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
194
Table of Contents
Mercer Funds
Statements of Operations (Continued)
Year Ended March 31, 2021
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Investment Income: |
| ||||||||||||||
Dividends | $ | 73,832 | $ | 30,011,196 | $ | 21,621,683 | |||||||||
Interest | 63,591,798 | 3,918 | 795 | ||||||||||||
Withholding taxes | (1,013,984 | ) | (3,754,097 | ) | (1,080,000 | ) | |||||||||
Securities lending income | 36,833 | 124,170 | 92,949 | ||||||||||||
Other income | 79,361 | — | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 62,767,840 | 26,385,187 | 20,635,427 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses: |
| ||||||||||||||
Advisory fees | 9,324,657 | 10,539,229 | 8,807,043 | ||||||||||||
Custodian and fund accounting fees | 567,385 | 649,372 | 294,540 | ||||||||||||
Audit fees | 93,394 | 171,501 | 128,094 | ||||||||||||
Transfer agent fees | 24,622 | 24,276 | 24,038 | ||||||||||||
Legal fees | 126,204 | 151,151 | 135,654 | ||||||||||||
Trustees fees | 106,046 | 119,951 | 110,393 | ||||||||||||
Registration fees | 29,455 | 33,906 | 38,349 | ||||||||||||
Miscellaneous | 87,712 | 83,347 | 77,831 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses | 10,359,475 | 11,772,733 | 9,615,942 | ||||||||||||
Advisory fee waiver | (5,024,267 | ) | (5,248,116 | ) | (6,017,345 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses | 5,335,208 | 6,524,617 | 3,598,597 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 57,432,632 | 19,860,570 | 17,036,830 | ||||||||||||
|
|
|
|
|
| ||||||||||
Realized and Unrealized Gain (Loss): |
| ||||||||||||||
Net realized gain (loss) on: |
| ||||||||||||||
Investments | 18,654,748 | 154,238,099 | 45,104,618 | ||||||||||||
Purchased option contracts | (3,023,612 | ) | — | — | |||||||||||
Swap contracts | (3,325,485 | ) | — | — | |||||||||||
In-kind redemptions | 19,839,043 | — | — | ||||||||||||
Closed futures contracts | (3,043,201 | ) | 23,670,962 | 15,342,939 | |||||||||||
Written option contracts | 1,158,781 | — | — | ||||||||||||
Forward foreign currency contracts | (3,773,150 | ) | (147 | ) | — | ||||||||||
Foreign currency related transactions | (1,186,789 | ) | (2,335,316 | ) | 135,092 | ||||||||||
|
|
|
|
|
| ||||||||||
Net realized gain (loss) | 25,300,335 | 175,573,598 | 60,582,649 | ||||||||||||
|
|
|
|
|
| ||||||||||
Change in net unrealized appreciation (depreciation) on: |
| ||||||||||||||
Investments | 103,714,417 | 428,501,260 | 284,855,951 | ||||||||||||
Purchased option contracts | 233,470 | — | — | ||||||||||||
Unfunded loan commitments | 10,159 | — | — | ||||||||||||
Swap contracts | 2,173,263 | — | — | ||||||||||||
Open futures contracts | (2,983,178 | ) | 256,716 | (4,777,988 | ) | ||||||||||
Written option contracts | 899,851 | — | — | ||||||||||||
Forward foreign currency contracts | (138,238 | ) | — | — | |||||||||||
Foreign currency related transactions | 722,242 | (3,039,032 | ) | 46,984 | |||||||||||
|
|
|
|
|
| ||||||||||
Change in net unrealized appreciation (depreciation) | 104,631,986 | 425,718,944 | 280,124,947 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain (loss) | 129,932,321 | 601,292,542 | 340,707,596 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net increase in net assets resulting from operations | $ | 187,364,953 | $ | 621,153,112 | $ | 357,744,426 | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
195
Table of Contents
Mercer Funds
Statements of Changes in Net Assets
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | |||||||||||||||||||
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||||
Increase (decrease) in Net Assets: |
| |||||||||||||||||||
Operations: |
| |||||||||||||||||||
Net investment income | $ | 15,257,721 | $ | 9,768,227 | $ | 10,957,637 | $ | 9,173,094 | ||||||||||||
Net realized gain | 59,078,523 | 11,837,049 | 225,148,279 | 11,834,025 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 508,237,064 | (206,122,711 | ) | 719,097,829 | (341,694,453 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 582,573,308 | (184,517,435 | ) | 955,203,745 | (320,687,334 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (See Note 2): |
| |||||||||||||||||||
Class Y-3 | (15,659,299 | ) | (43,395,087 | ) | (47,874,139 | ) | (40,162,658 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (15,659,299 | ) | (43,395,087 | ) | (47,874,139 | ) | (40,162,658 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): |
| |||||||||||||||||||
Class Y-3 | 55,664,392 | 720,712,798 | (88,706,339 | ) | 614,991,514 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 55,664,392 | 720,712,798 | (88,706,339 | ) | 614,991,514 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 622,578,401 | 492,800,276 | 818,623,267 | 254,141,522 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: |
| |||||||||||||||||||
Beginning of year | 882,215,174 | 389,414,898 | 1,048,544,764 | 794,403,242 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 1,504,793,575 | $ | 882,215,174 | $ | 1,867,168,031 | $ | 1,048,544,764 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
196
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||||
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||||
Increase (decrease) in Net Assets: |
| |||||||||||||||||||
Operations: |
| |||||||||||||||||||
Net investment income | $ | 62,158,964 | $ | 63,076,686 | $ | 24,507,164 | $ | 20,428,279 | ||||||||||||
Net realized gain | 465,851,569 | (52,513,867 | ) | 13,901,000 | 22,894,347 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 880,550,961 | (416,857,389 | ) | (3,713,587 | ) | 11,413,678 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,408,561,494 | (406,294,570 | ) | 34,694,577 | 54,736,304 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (See Note 2): |
| |||||||||||||||||||
Class Y-3 | (139,174,497 | ) | (60,608,354 | ) | (44,160,867 | ) | (21,127,381 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (139,174,497 | ) | (60,608,354 | ) | (44,160,867 | ) | (21,127,381 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): |
| |||||||||||||||||||
Class Y-3 | (114,414,819 | ) | 985,155,675 | 315,401,172 | 367,807,410 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (114,414,819 | ) | 985,155,675 | 315,401,172 | 367,807,410 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 1,154,972,178 | 518,252,751 | 305,934,882 | 401,416,333 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: |
| |||||||||||||||||||
Beginning of year | 2,673,837,597 | 2,155,584,846 | 950,016,809 | 548,600,476 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 3,828,809,775 | $ | 2,673,837,597 | $ | 1,255,951,691 | $ | 950,016,809 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
197
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||||
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||||
Increase (decrease) in Net Assets: |
| |||||||||||||||||||
Operations: |
| |||||||||||||||||||
Net investment income | $ | 57,432,632 | $ | 42,385,034 | $ | 19,860,570 | $ | 21,683,624 | ||||||||||||
Net realized gain | 25,300,335 | (9,618,631 | ) | 175,573,598 | (28,797,584 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 104,631,986 | (91,511,019 | ) | 425,718,944 | (216,325,922 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 187,364,953 | (58,744,616 | ) | 621,153,112 | (223,439,882 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (See Note 2): |
| |||||||||||||||||||
Class Y-3 | (44,901,279 | ) | (22,762,588 | ) | (21,622,556 | ) | (15,100,507 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (44,901,279 | ) | (22,762,588 | ) | (21,622,556 | ) | (15,100,507 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): |
| |||||||||||||||||||
Class Y-3 | (254,603,017 | ) | 235,224,761 | (23,900,544 | ) | 162,917,342 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (254,603,017 | ) | 235,224,761 | (23,900,544 | ) | 162,917,342 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (112,139,343 | ) | 153,717,557 | 575,630,012 | (75,623,047 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: |
| |||||||||||||||||||
Beginning of year | 966,298,021 | 812,580,464 | 943,024,124 | 1,018,647,171 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 854,158,678 | $ | 966,298,021 | $ | 1,518,654,136 | $ | 943,024,124 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
198
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||||||||||
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||
Increase (decrease) in Net Assets: |
| |||||||||
Operations: |
| |||||||||
Net investment income | $ | 17,036,830 | $ | 19,150,064 | ||||||
Net realized gain | 60,582,649 | 31,992,446 | ||||||||
Change in net unrealized appreciation (depreciation) | 280,124,947 | (133,517,417 | ) | |||||||
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 357,744,426 | (82,374,907 | ) | |||||||
|
|
|
| |||||||
Distributions to shareholders (See Note 2): |
| |||||||||
Class Y-3 | (55,306,768 | ) | (81,065,529 | ) | ||||||
|
|
|
| |||||||
Total distributions | (55,306,768 | ) | (81,065,529 | ) | ||||||
|
|
|
| |||||||
Net share transactions (See Note 7): |
| |||||||||
Class Y-3 | (141,700,142 | ) | 246,282,465 | |||||||
|
|
|
| |||||||
Increase (decrease) in net assets resulting from net shares transactions | (141,700,142 | ) | 246,282,465 | |||||||
|
|
|
| |||||||
Net increase in net assets | 160,737,516 | 82,842,029 | ||||||||
|
|
|
| |||||||
Net assets: |
| |||||||||
Beginning of year | 1,038,719,784 | 955,877,755 | ||||||||
|
|
|
| |||||||
End of year | $ | 1,199,457,300 | $ | 1,038,719,784 | ||||||
|
|
|
|
See accompanying Notes to the Financial Statements.
199
Table of Contents
Mercer US Large Cap Equity Fund
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | Year Ended March 31, 2017 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 7.35 | $ | 8.58 | $ | 10.85 | $ | 10.61 | $ | 9.34 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.12 | 0.14 | 0.12 | 0.14 | 0.11 | (a) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.63 | (1.00 | ) | 0.18 | 1.68 | 1.54 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 4.75 | (0.86 | ) | 0.30 | 1.82 | 1.65 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.05 | ) | (0.14 | ) | (0.16 | ) | (0.08 | ) | |||||||||||||||
From net realized capital gains on investments | — | (0.32 | ) | (2.43 | ) | (1.42 | ) | (0.30 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.13 | ) | (0.37 | ) | (2.57 | ) | (1.58 | ) | (0.38 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 11.97 | $ | 7.35 | $ | 8.58 | $ | 10.85 | $ | 10.61 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 64.71 | %(b) | (10.95 | )%(b) | 4.81 | % | 17.26 | % | 17.74 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.22 | % | 1.53 | % | 1.21 | % | 1.28 | % | 1.14 | %(a) | |||||||||||||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.57 | % | 0.62 | % | 0.63 | % | 0.60 | % | 0.61 | % | |||||||||||||||
Net expenses to average daily net assets | 0.30 | %(c) | 0.33 | %(c) | 0.63 | % | 0.60 | % | 0.61 | %(d) | |||||||||||||||
Portfolio turnover rate | 43 | % | 76 | %(e) | 74 | % | 64 | % | 84 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 1,504,794 | $ | 882,215 | $ | 389,415 | $ | 512,558 | $ | 601,059 |
(a) | Includes a non-recurring refund 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/waived during the years shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(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) | Portfolio turnover calculation does not include $769,614,365 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements.
200
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Financial Highlights (Continued)
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | Year Ended March 31, 2017 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 7.71 | $ | 10.13 | $ | 12.29 | $ | 12.12 | $ | 10.30 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.07 | 0.10 | 0.05 | 0.04 | 0.04 | (a) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.38 | (2.20 | ) | (0.23 | ) | 1.46 | 2.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 6.45 | (2.10 | ) | (0.18 | ) | 1.50 | 2.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.06 | ) | (0.05 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||
From net realized capital gains on investments | (0.26 | ) | (0.26 | ) | (1.93 | ) | (1.27 | ) | (0.27 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.33 | ) | (0.32 | ) | (1.98 | ) | (1.33 | ) | (0.35 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 13.83 | $ | 7.71 | $ | 10.13 | $ | 12.29 | $ | 12.12 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 84.20 | %(b) | (21.65 | )%(b) | 0.19 | % | 12.64 | % | 21.24 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 0.68 | % | 0.95 | % | 0.47 | % | 0.31 | % | 0.40 | %(a) | |||||||||||||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.93 | % | 0.97 | % | 0.98 | % | 0.95 | % | 0.97 | % | |||||||||||||||
Net expenses to average daily net assets | 0.46 | %(c) | 0.49 | %(c) | 0.98 | % | 0.95 | % | 0.97 | %(d) | |||||||||||||||
Portfolio turnover rate | 59 | % | 73 | %(e) | 47 | % | 49 | % | 106 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 1,867,168 | $ | 1,048,545 | $ | 794,403 | $ | 907,944 | $ | 972,456 |
(a) | Includes a non-recurring refund 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/waived during the years shown. |
(c) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(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) | Portfolio turnover calculation does not include $550,516,305 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements.
201
Table of Contents
Mercer Non-US Core Equity Fund
Financial Highlights (Continued)
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | Year Ended March 31, 2017 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.46 | $ | 9.87 | $ | 11.51 | $ | 10.44 | $ | 9.61 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.19 | 0.25 | 0.22 | 0.19 | 0.18 | (a) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.14 | (1.44 | ) | (0.76 | ) | 1.75 | 0.83 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 4.33 | (1.19 | ) | (0.54 | ) | 1.94 | 1.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.18 | ) | (0.22 | ) | (0.20 | ) | (0.23 | ) | (0.18 | ) | |||||||||||||||
From net realized capital gains on investments | (0.25 | ) | — | (0.90 | ) | (0.64 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.43 | ) | (0.22 | ) | (1.10 | ) | (0.87 | ) | (0.18 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 12.36 | $ | 8.46 | $ | 9.87 | $ | 11.51 | $ | 10.44 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 51.42 | %(b) | (12.55 | )%(b) | (4.00 | )% | 18.80 | % | 10.62 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.78 | % | 2.45 | % | 2.03 | % | 1.64 | % | 1.81 | %(a) | |||||||||||||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.76 | % | 0.79 | % | 0.79 | % | 0.79 | %(c) | 0.81 | %(c) | |||||||||||||||
Net expenses to average daily net assets | 0.39 | %(d) | 0.42 | %(d) | 0.79 | % | 0.79 | %(c) | 0.82 | %(c) (e) | |||||||||||||||
Portfolio turnover rate | 81 | % | 74 | %(f) | 81 | % | 81 | % | 81 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 3,828,810 | $ | 2,673,838 | $ | 2,155,585 | $ | 2,159,299 | $ | 2,271,104 |
(a) | Includes a non-recurring refund 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/waived during the years shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(e) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is 0.01% of average net assets. |
(f) | Portfolio turnover calculation does not include $395,102,338 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements.
202
Table of Contents
Mercer Core Fixed Income Fund
Financial Highlights (Continued)
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | Year Ended March 31, 2017 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 10.48 | $ | 10.00 | $ | 9.90 | $ | 9.96 | $ | 10.15 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.25 | 0.27 | 0.31 | 0.27 | 0.25 | (a) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | 0.51 | 0.11 | (0.09 | ) | (0.09 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.45 | 0.78 | 0.42 | 0.18 | 0.16 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.25 | ) | (0.30 | ) | (0.32 | ) | (0.24 | ) | (0.25 | ) | |||||||||||||||
From net realized capital gains on investments | (0.22 | ) | — | — | — | (0.10 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.47 | ) | (0.30 | ) | (0.32 | ) | (0.24 | ) | (0.35 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 10.46 | $ | 10.48 | $ | 10.00 | $ | 9.90 | $ | 9.96 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 4.23 | %(b) | 7.81 | %(b) | 4.37 | % | 1.80 | % | 1.58 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 2.33 | % | 2.64 | % | 3.17 | % | 2.71 | % | 2.43 | %(a) | |||||||||||||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.40 | % | 0.45 | % | 0.43 | % | 0.43 | % | 0.43 | %(c) | |||||||||||||||
Net expenses to average daily net assets | 0.15 | %(d) | 0.19 | %(d) | 0.43 | % | 0.43 | % | 0.43 | %(c) (e) | |||||||||||||||
Portfolio turnover rate | 127 | %(f) | 158 | %(f) | 80 | %(f) | 113 | %(f) | 151 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 1,255,952 | $ | 950,017 | $ | 548,600 | $ | 857,947 | $ | 765,603 |
(a) | Includes a non-recurring refund 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/waived during the years shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(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. |
(f) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have been 100%, 139%, 74% and 81% for the years ended March 31, 2021, March 31, 2020, March 31, 2019 and March 31, 2018, respectively. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements.
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Table of Contents
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | Year Ended March 31, 2017 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.45 | $ | 9.08 | $ | 9.80 | $ | 9.31 | $ | 8.44 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.46 | 0.44 | 0.43 | 0.53 | 0.51 | (a) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.00 | (0.85 | ) | (0.94 | ) | 0.33 | 0.36 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.46 | (0.41 | ) | (0.51 | ) | 0.86 | 0.87 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.33 | ) | (0.22 | ) | (0.21 | ) | (0.37 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.33 | ) | (0.22 | ) | (0.21 | ) | (0.37 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 9.58 | $ | 8.45 | $ | 9.08 | $ | 9.80 | $ | 9.31 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 17.12 | % | (4.72 | )%(b) | (5.15 | )% | 9.42 | % | 10.31 | %(b) | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income to average net assets | 4.83 | % | 4.74 | % | 4.74 | % | 5.49 | % | 5.75 | %(a) | |||||||||||||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.87 | % | 0.92 | % | 0.92 | %(c) | 0.92 | %(c) | 0.94 | %(c) | |||||||||||||||
Net expenses to average daily net assets | 0.45 | % | 0.43 | %(d) | 0.92 | %(c) | 0.92 | %(c) | 0.94 | %(c) (e) | |||||||||||||||
Portfolio turnover rate | 117 | %(g) | 148 | %(f) | 243 | %(f) | 72 | % | 55 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 854,159 | $ | 966,298 | $ | 812,580 | $ | 647,222 | $ | 558,859 |
(a) | Includes a non-recurring refund 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/waived during the years shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(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. |
(f) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have remained the same for the year ended March 31, 2020 and 218% for the year ended March 31, 2019, respectively. |
(g) | Portfolio turnover calculation does not include $400,305,493 of securities transferred out of the Fund as part of in-kind redemptions. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements.
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Table of Contents
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | Year Ended March 31, 2017 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 7.19 | $ | 9.05 | $ | 11.75 | $ | 9.77 | $ | 8.59 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.14 | 0.19 | 0.17 | 0.18 | 0.14 | (a) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.29 | (1.93 | ) | (1.48 | ) | 2.05 | 1.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 4.43 | (1.74 | ) | (1.31 | ) | 2.23 | 1.36 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.15 | ) | (0.12 | ) | (0.01 | ) | (0.25 | ) | (0.18 | ) | |||||||||||||||
From net realized capital gains on investments | — | — | (1.38 | ) | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.15 | ) | (0.12 | ) | (1.39 | ) | (0.25 | ) | (0.18 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 11.47 | $ | 7.19 | $ | 9.05 | $ | 11.75 | $ | 9.77 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 61.78 | %(b) | (19.55 | )%(b) | (10.20 | )% | 22.92 | % | 16.14 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.47 | % | 2.05 | % | 1.66 | % | 1.62 | % | 1.52 | %(a) | |||||||||||||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.87 | % | 0.91 | % | 0.92 | %(c) | 0.95 | %(c) | 0.99 | %(c) | |||||||||||||||
Net expenses to average daily net assets | 0.48 | %(d) | 0.53 | %(d) | 0.92 | %(c) | 0.95 | %(c) | 1.00 | %(c) (e) | |||||||||||||||
Portfolio turnover rate | 106 | % | 81 | %(f) | 57 | % | 93 | % | 89 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 1,518,654 | $ | 943,024 | $ | 1,018,647 | $ | 1,116,127 | $ | 1,481,990 |
(a) | Includes a non-recurring refund 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/waived during the years shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
(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. |
(f) | Portfolio turnover calculation does not include $10,686,440 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements.
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Table of Contents
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Year Ended March 31, 2021 | Year Ended March 31, 2020 | Year Ended March 31, 2019 | Year Ended March 31, 2018 | Year Ended March 31, 2017 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Year: | |||||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.23 | $ | 13.13 | $ | 12.28 | $ | 12.62 | $ | 11.81 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net investment income† | 0.19 | 0.24 | 0.18 | 0.18 | 0.16 | (a) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.75 | (1.14 | ) | 0.67 | 1.39 | 1.11 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 3.94 | (0.90 | ) | 0.85 | 1.57 | 1.27 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.21 | ) | (0.17 | ) | — | (0.18 | ) | (0.14 | ) | ||||||||||||||||
From net realized capital gains on investments | (0.41 | ) | (0.83 | ) | — | (1.73 | ) | (0.32 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.62 | ) | (1.00 | ) | — | (1.91 | ) | (0.46 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of year | $ | 14.55 | $ | 11.23 | $ | 13.13 | $ | 12.28 | $ | 12.62 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 35.29 | %(b) | (8.16 | )%(b) | 6.92 | % | 12.47 | % | 11.02 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.42 | % | 1.75 | % | 1.40 | % | 1.35 | % | 1.34 | %(a) | |||||||||||||||
Total expenses (before reductions and reimbursements/waivers) to average daily net assets | 0.80 | % | 0.82 | % | 0.83 | % | 0.80 | %(c) | 0.81 | %(c) | |||||||||||||||
Net expenses to average daily net assets | 0.30 | %(d) | 0.31 | %(d) | 0.83 | % | 0.80 | %(c) | 0.81 | %(c) | |||||||||||||||
Portfolio turnover rate | 54 | % | 38 | % | 80 | % | 36 | % | 55 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 1,199,457 | $ | 1,038,720 | $ | 955,878 | $ | 920,610 | $ | 1,249,860 |
(a) | Includes a non-recurring refund 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/waived during the years shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes the effects of management fee waivers (see Note 5 of the Notes to the Financial Statements). |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements.
206
Table of Contents
Mercer Funds
Notes to the Financial Statements
March 31, 2021
1. | Organization |
Mercer Funds (the “Trust”) consists of the following seven series: Mercer US Large Cap Equity Fund (“Large Cap”), Mercer US Small/Mid Cap Equity Fund (“Small/Mid Cap”), 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”). Mercer Investments LLC (the “Advisor”), a Delaware limited liability company, serves as the investment advisor to the Funds. The Advisor manages each Fund using a “manager of managers” approach by selecting one or more Sub-advisers (each a “Sub-adviser,” and collectively referred to as the “Sub-advisers”) to manage each Fund’s assets. The Funds are open-end investment companies and accordingly follow the open-end 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.
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: Adviser Class, Class I, 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 March 31, 2021, only Class Y-3 was active.
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.
207
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
(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 and exchange-traded funds listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Sub-adviser 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.
Bank loans 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,
208
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
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 Sub-adviser) 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 the 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. The Fund’s value for a particular security may be different from the last quoted market price.
The Funds follow a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• | Level 1 — quoted prices unadjusted in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for “to-be-announced” (“TBA”) commitments or when-issued securities approximate fair value and are determined using Level 2 inputs, as of March 31, 2021. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts and swap contracts are determined using Level 1 inputs as of March 31, 2021.
At March 31, 2021, 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, as well as the “Mutual Fund — Securities Lending Collateral” and the “Futures Contracts” sections whose values were determined using Level 1 inputs.
209
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
The following is a summary of the portfolio securities by level based on inputs used as of March 31, 2021 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 | $ | 119,885,468 | $ | 0 | * | $ | — | $ | 119,885,468 | |||||||
Austria | 10,900,250 | — | — | 10,900,250 | ||||||||||||
Belgium | 12,157,115 | — | — | 12,157,115 | ||||||||||||
Brazil | 26,234,498 | — | — | 26,234,498 | ||||||||||||
Canada | 42,066,083 | — | — | 42,066,083 | ||||||||||||
China | 36,954,473 | — | — | 36,954,473 | ||||||||||||
Colombia | 581,889 | — | — | 581,889 | ||||||||||||
Denmark | 48,359,735 | — | — | 48,359,735 | ||||||||||||
Finland | 53,945,594 | — | — | 53,945,594 | ||||||||||||
France | 415,315,805 | — | — | 415,315,805 | ||||||||||||
Georgia | 688,431 | — | — | 688,431 | ||||||||||||
Germany | 304,026,430 | — | — | 304,026,430 | ||||||||||||
Hong Kong | 44,728,313 | — | — | 44,728,313 | ||||||||||||
Hungary | 6,256,356 | — | — | 6,256,356 | ||||||||||||
India | 13,396,994 | — | — | 13,396,994 | ||||||||||||
Indonesia | 9,908,688 | — | — | 9,908,688 | ||||||||||||
Ireland | 23,695,537 | — | — | 23,695,537 | ||||||||||||
Israel | 10,342,488 | — | — | 10,342,488 | ||||||||||||
Italy | 75,823,234 | — | — | 75,823,234 | ||||||||||||
Japan | 878,368,137 | 6,463,477 | — | 884,831,614 | ||||||||||||
Luxembourg | 4,271,302 | — | — | 4,271,302 | ||||||||||||
Mexico | 18,214,099 | — | — | 18,214,099 | ||||||||||||
Netherlands | 171,067,223 | — | — | 171,067,223 | ||||||||||||
New Zealand | 931,132 | — | — | 931,132 | ||||||||||||
Norway | 14,365,119 | — | — | 14,365,119 | ||||||||||||
Peru | 512,358 | — | — | 512,358 | ||||||||||||
Philippines | 482,496 | — | — | 482,496 | ||||||||||||
Portugal | 2,136,095 | — | 0 | ** | 2,136,095 | |||||||||||
Russia | 44,927,859 | — | — | 44,927,859 | ||||||||||||
Singapore | 13,707,546 | — | — | 13,707,546 | ||||||||||||
South Africa | 21,371,534 | — | — | 21,371,534 | ||||||||||||
South Korea | 50,399,591 | — | — | 50,399,591 | ||||||||||||
Spain | 100,804,675 | — | 0 | ** | 100,804,675 | |||||||||||
Sweden | 106,905,957 | — | — | 106,905,957 | ||||||||||||
Switzerland | 306,145,021 | — | — | 306,145,021 | ||||||||||||
Taiwan | 72,288,864 | — | — | 72,288,864 | ||||||||||||
Thailand | — | 1,883,296 | — | 1,883,296 | ||||||||||||
Turkey | 5,052,860 | — | — | 5,052,860 | ||||||||||||
United Kingdom | 368,400,215 | — | — | 368,400,215 | ||||||||||||
United States | 98,080,405 | — | — | 98,080,405 | ||||||||||||
Zambia | 2,396,963 | — | — | 2,396,963 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 3,536,096,832 | 8,346,773 | 0 | 3,544,443,605 | ||||||||||||
|
|
|
|
|
|
|
|
210
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Investment Companies | $ | 35,336,633 | $ | — | $ | — | $ | 35,336,633 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks |
| |||||||||||||||
Brazil | 1,511,301 | — | — | 1,511,301 | ||||||||||||
Germany | 58,886,913 | — | — | 58,886,913 | ||||||||||||
Russia | 749,604 | — | — | 749,604 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 61,147,818 | — | — | 61,147,818 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrant |
| |||||||||||||||
Switzerland | 90,622 | — | — | 90,622 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investment |
| |||||||||||||||
Mutual Fund - Securities Lending Collateral | 143,479,818 | — | — | 143,479,818 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† |
| |||||||||||||||
Buys | 561,799 | — | — | 561,799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | 1,203,827 | — | 1,203,827 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,776,713,522 | $ | 9,550,600 | $ | 0 | $ | 3,786,264,122 | ||||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of March 31, 2021. |
** | Represents one or more Level 3 securities at $0 value as of March 31, 2021. |
† | 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. |
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 | $ | — | $ | 1,239,982,901 | $ | — | $ | 1,239,982,901 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investment |
| |||||||||||||||
Mutual Fund - Securities Lending Collateral | 10,664,255 | — | — | 10,664,255 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 163,359 | — | — | 163,359 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† |
| |||||||||||||||
Sales | 1,213,428 | — | — | 1,213,428 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps |
| |||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | 173,365 | — | 173,365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | 200,054 | — | 200,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,041,042 | $ | 1,240,356,320 | $ | — | $ | 1,252,397,362 | ||||||||
|
|
|
|
|
|
|
|
211
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
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 | $ | (766,426 | ) | $ | — | $ | — | $ | (766,426 | ) | ||||||
Sales | (14,035 | ) | — | — | (14,035 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (780,461 | ) | — | — | (780,461 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps |
| |||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | (169,312 | ) | — | (169,312 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | (34,741 | ) | — | (34,741 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Written Options | (82,078 | ) | — | — | (82,078 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (862,539 | ) | $ | (204,053 | ) | $ | — | $ | (1,066,592 | ) | |||||
|
|
|
|
|
|
|
|
† | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin for Futures contracts and Centrally Cleared Swaps, 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 |
| |||||||||||||||
Asset Backed Securities | $ | — | $ | 34,783,244 | $ | — | $ | 34,783,244 | ||||||||
Bank Loans | — | 116,378,520 | — | 116,378,520 | ||||||||||||
Convertible Debt | — | 15,642,159 | — | 15,642,159 | ||||||||||||
Corporate Debt | — | 307,845,025 | — | 307,845,025 | ||||||||||||
Mortgage Backed Securities - Private Issuers | — | 43,680,360 | 318,719 | 43,999,079 | ||||||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 691,506 | — | 691,506 | ||||||||||||
Sovereign Debt Obligations | — | 266,361,955 | — | 266,361,955 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 785,382,769 | 318,719 | 785,701,488 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks |
| |||||||||||||||
Consumer, Cyclical | — | — | 0 | ** | 0 | |||||||||||
Energy | 28 | 0 | * | — | 28 | |||||||||||
Industrials | — | 0 | * | — | 0 | |||||||||||
Utilities | — | 898,296 | — | 898,296 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 28 | 898,296 | 0 | 898,324 | ||||||||||||
|
|
|
|
|
|
|
|
212
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Convertible Preferred Stocks |
| |||||||||||||||
Consumer, Non-cyclical | $ | 152,878 | $ | — | $ | — | $ | 152,878 | ||||||||
Energy | 2,578,349 | 3,513,801 | — | 6,092,150 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Preferred Stocks | 2,731,227 | 3,513,801 | — | 6,245,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks |
| |||||||||||||||
Financial | 318,664 | — | — | 318,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments |
| |||||||||||||||
Mutual Fund - Securities Lending Collateral | 13,830,368 | — | — | 13,830,368 | ||||||||||||
Sovereign Debt Obligation | — | 8,207,512 | — | 8,207,512 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 13,830,368 | 8,207,512 | — | 22,037,880 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 207,597 | 261,480 | — | 469,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† |
| |||||||||||||||
Sales | 263,714 | — | — | 263,714 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps |
| |||||||||||||||
OTC Interest Rate Swaps | — | 86,217 | — | 86,217 | ||||||||||||
Centrally Cleared Interest Rate Swaps† | — | 1,547,570 | — | 1,547,570 | ||||||||||||
OTC Credit Default Swaps | — | 77,594 | — | 77,594 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | 1,711,381 | — | 1,711,381 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | 3,415,516 | — | 3,415,516 | ||||||||||||
| �� |
|
|
|
|
|
| |||||||||
Total | $ | 17,351,598 | $ | 803,390,755 | $ | 318,719 | $ | 821,061,072 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | (1,699,056 | ) | $ | — | $ | — | $ | (1,699,056 | ) | ||||||
Sales | (11,789 | ) | — | — | (11,789 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (1,710,845 | ) | — | — | (1,710,845 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps |
| |||||||||||||||
OTC Interest Rate Swaps | — | (218,834 | ) | — | (218,834 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps† | — | (171,389 | ) | — | (171,389 | ) | ||||||||||
OTC Credit Default Swaps | — | (20,846 | ) | — | (20,846 | ) |
213
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Centrally Cleared Credit Default Swaps† | $ | — | $ | (35,512 | ) | $ | — | $ | (35,512 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | (446,581 | ) | — | (446,581 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | (2,710,092 | ) | — | (2,710,092 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Written Options | (91,428 | ) | (74,955 | ) | — | (166,383 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,802,273 | ) | $ | (3,231,628 | ) | $ | — | $ | (5,033,901 | ) | |||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of March 31, 2021. |
** | Represents one or more Level 3 securities at $0 value as of March 31, 2021. |
† | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin for Futures contracts and Centrally Cleared Swaps, if any, is reported on the Statements of Assets and Liabilities. |
Emerging Markets
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks |
| |||||||||||||||
Argentina | $ | 15,256,633 | $ | — | $ | — | $ | 15,256,633 | ||||||||
Australia | 9,024,567 | — | — | 9,024,567 | ||||||||||||
Brazil | 37,661,402 | — | — | 37,661,402 | ||||||||||||
Chile | 3,749,440 | — | — | 3,749,440 | ||||||||||||
China | 502,980,136 | — | — | 502,980,136 | ||||||||||||
Czech Republic | 759,224 | — | — | 759,224 | ||||||||||||
Hong Kong | 12,123,283 | — | — | 12,123,283 | ||||||||||||
India | 182,598,315 | — | — | 182,598,315 | ||||||||||||
Indonesia | 17,943,013 | — | — | 17,943,013 | ||||||||||||
Italy | 2,722,115 | — | — | 2,722,115 | ||||||||||||
Macau | 7,198,282 | — | — | 7,198,282 | ||||||||||||
Malaysia | 69,166 | — | — | 69,166 | ||||||||||||
Mexico | 41,296,381 | — | — | 41,296,381 | ||||||||||||
Netherlands | 13,196,397 | — | — | 13,196,397 | ||||||||||||
Peru | 5,603,740 | — | — | 5,603,740 | ||||||||||||
Philippines | 4,635,013 | — | — | 4,635,013 | ||||||||||||
Poland | 10,137,074 | — | — | 10,137,074 | ||||||||||||
Portugal | 4,917,859 | — | — | 4,917,859 | ||||||||||||
Qatar | 3,656,820 | — | — | 3,656,820 | ||||||||||||
Russia | 72,848,812 | — | — | 72,848,812 | ||||||||||||
South Africa | 52,027,170 | — | — | 52,027,170 | ||||||||||||
South Korea | 98,029,676 | — | — | 98,029,676 |
214
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Switzerland | $ | 7,525,208 | $ | — | $ | — | $ | 7,525,208 | ||||||||
Taiwan | 267,454,475 | 11,444 | — | 267,465,919 | ||||||||||||
Thailand | 1,589,306 | 2,462,932 | — | 4,052,238 | ||||||||||||
Turkey | 2,380,741 | — | — | 2,380,741 | ||||||||||||
United Arab Emirates | 3,524,017 | — | — | 3,524,017 | ||||||||||||
United Kingdom | 19,904,330 | — | — | 19,904,330 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,400,812,595 | 2,474,376 | — | 1,403,286,971 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | 8,829,454 | — | — | 8,829,454 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks |
| |||||||||||||||
Brazil | 4,950,102 | — | — | 4,950,102 | ||||||||||||
Colombia | 264,670 | — | — | 264,670 | ||||||||||||
South Korea | 7,759,899 | — | — | 7,759,899 | ||||||||||||
Taiwan | 341,242 | — | — | 341,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 13,315,913 | — | — | 13,315,913 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrant |
| |||||||||||||||
Switzerland | 740,724 | — | — | 740,724 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investment |
| |||||||||||||||
Mutual Fund - Securities Lending Collateral | 20,453,755 | — | — | 20,453,755 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† |
| |||||||||||||||
Buys | 761,239 | — | — | 761,239 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,444,913,680 | $ | 2,474,376 | $ | — | $ | 1,447,388,056 | ||||||||
|
|
|
|
|
|
|
|
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Global Low Volatility
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks |
| |||||||||||||||
Argentina | $ | 1,785,446 | $ | — | $ | — | $ | 1,785,446 | ||||||||
Australia | 25,375,571 | — | — | 25,375,571 | ||||||||||||
Austria | 521,184 | — | — | 521,184 | ||||||||||||
Bermuda | 2,415,448 | — | — | 2,415,448 | ||||||||||||
Brazil | 173,202 | — | — | 173,202 | ||||||||||||
Canada | 66,925,282 | — | — | 66,925,282 | ||||||||||||
China | 17,667,521 | — | — | 17,667,521 | ||||||||||||
Denmark | 3,106,726 | — | — | 3,106,726 | ||||||||||||
Finland | 3,423,958 | — | — | 3,423,958 |
215
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
France | $ | 62,237,102 | $ | — | $ | — | $ | 62,237,102 | ||||||||
Germany | 15,987,295 | — | — | 15,987,295 | ||||||||||||
Hong Kong | 19,556,901 | — | — | 19,556,901 | ||||||||||||
Ireland | 4,171,591 | — | — | 4,171,591 | ||||||||||||
Israel | 5,564,645 | — | — | 5,564,645 | ||||||||||||
Italy | 89,730 | — | — | 89,730 | ||||||||||||
Japan | 43,140,195 | 1,171,195 | — | 44,311,390 | ||||||||||||
Jordan | 210,770 | — | — | 210,770 | ||||||||||||
Kyrgyzstan | 1,204,050 | — | — | 1,204,050 | ||||||||||||
Luxembourg | 671,883 | — | — | 671,883 | ||||||||||||
Netherlands | 6,467,690 | — | — | 6,467,690 | ||||||||||||
New Zealand | 3,421,713 | — | — | 3,421,713 | ||||||||||||
Norway | 5,073,350 | — | — | 5,073,350 | ||||||||||||
Singapore | 5,208,015 | 25,225 | — | 5,233,240 | ||||||||||||
South Africa | 302,841 | — | — | 302,841 | ||||||||||||
Spain | 12,110,735 | — | — | 12,110,735 | ||||||||||||
Sweden | 8,055,468 | — | — | 8,055,468 | ||||||||||||
Switzerland | 32,891,345 | — | — | 32,891,345 | ||||||||||||
United Kingdom | 45,018,195 | — | — | 45,018,195 | ||||||||||||
United States | 759,007,673 | — | — | 759,007,673 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,151,785,525 | 1,196,420 | — | 1,152,981,945 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock |
| |||||||||||||||
Germany | 2,530,325 | — | — | 2,530,325 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investment |
| |||||||||||||||
Mutual Fund - Securities Lending Collateral | 13,767,600 | — | — | 13,767,600 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† |
| |||||||||||||||
Buys | 224,886 | — | — | 224,886 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,168,308,336 | $ | 1,196,420 | $ | — | $ | 1,169,504,756 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | (3,686 | ) | $ | — | $ | — | $ | (3,686 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (3,686 | ) | $ | — | $ | — | $ | (3,686 | ) | ||||||
|
|
|
|
|
|
|
|
† | 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. |
216
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
Investments in Derivative Instruments
At March 31, 2021 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(2) | $ | 363,168 | $ | 363,168 | ||||
|
|
|
| |||||
Total Value | $ | 363,168 | $ | 363,168 | ||||
|
|
|
| |||||
LIABILITY DERIVATIVES |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(2) | $ | (36,731 | ) | $ | (36,731 | ) | ||
|
|
|
| |||||
Total Value | $ | (36,731 | ) | $ | (36,731 | ) | ||
|
|
|
| |||||
NET REALIZED GAIN (LOSS)(6) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts | $ | 13,981,424 | $ | 13,981,424 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 13,981,424 | $ | 13,981,424 | ||||
|
|
|
| |||||
CHANGE IN APPRECIATION (DEPRECIATION)(7) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts | $ | (603,742 | ) | $ | (603,742 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (603,742 | ) | $ | (603,742 | ) | ||
|
|
|
| |||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(8) |
| |||||||
Equity Risk | Total | |||||||
Long Futures Contracts | $ | 30,422,955 | $ | 30,422,955 |
Small/Mid Cap
LIABILITY DERIVATIVES |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(2) | $ | (447,643 | ) | $ | (447,643 | ) | ||
|
|
|
| |||||
Total Value | $ | (447,643 | ) | $ | (447,643 | ) | ||
|
|
|
| |||||
NET REALIZED GAIN (LOSS)(6) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts | $ | 19,370,948 | $ | 19,370,948 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 19,370,948 | $ | 19,370,948 | ||||
|
|
|
| |||||
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March 31, 2021
CHANGE IN APPRECIATION (DEPRECIATION)(7) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts | $ | (309,699 | ) | $ | (309,699 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (309,699 | ) | $ | (309,699 | ) | ||
|
|
|
| |||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(8) |
| |||||||
Equity Risk | Total | |||||||
Long Futures Contracts | $ | 32,615,173 | $ | 32,615,173 |
Non-US Core Equity
ASSET DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(2) | $ | — | $ | 561,799 | $ | 561,799 | ||||||
Forward Foreign Currency Contracts(3) | 1,203,827 | — | 1,203,827 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 1,203,827 | $ | 561,799 | $ | 1,765,626 | ||||||
|
|
|
|
|
| |||||||
NET REALIZED GAIN (LOSS)(6) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | $ | — | $ | 38,459,101 | $ | 38,459,101 | ||||||
Forward Foreign Currency Contracts | (935,803 | ) | — | (935,803 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (935,803 | ) | $ | 38,459,101 | $ | 37,523,298 | |||||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION)(7) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | $ | — | $ | (8,921,766 | ) | $ | (8,921,766 | ) | ||||
Forward Foreign Currency Contracts | 1,828,344 | — | 1,828,344 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 1,828,344 | $ | (8,921,766 | ) | $ | (7,093,422 | ) | ||||
|
|
|
|
|
| |||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(8) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Long Futures Contracts | $ | — | $ | 71,284,608 | $ | 71,284,608 | ||||||
Forward Foreign Currency Contracts | 28,140,700 | — | 28,140,700 |
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March 31, 2021
Core Fixed
ASSET DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Purchased Options(1) | $ | — | $ | 163,359 | $ | 163,359 | ||||||
Futures Contracts(2) | — | 1,213,428 | 1,213,428 | |||||||||
Forward Foreign Currency Contracts(3) | 200,054 | — | 200,054 | |||||||||
Centrally Cleared Swap Contracts** | — | 173,365 | 173,365 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 200,054 | $ | 1,550,152 | $ | 1,750,206 | ||||||
|
|
|
|
|
| |||||||
LIABILITY DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Written Options (4) | $ | — | $ | (82,078 | ) | $ | (82,078 | ) | ||||
Futures Contracts(2) | — | (780,461 | ) | (780,461 | ) | |||||||
Forward Foreign Currency Contracts(5) | (34,741 | ) | — | (34,741 | ) | |||||||
Centrally Cleared Swap Contracts** | — | (169,312 | ) | (169,312 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (34,741 | ) | $ | (1,031,851 | ) | $ | (1,066,592 | ) | |||
|
|
|
|
|
| |||||||
NET REALIZED GAIN (LOSS)(6) |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Purchased Options | $ | — | $ | (87,303 | ) | $ | (87,303 | ) | ||||
Written Options | — | 33,100 | 33,100 | |||||||||
Swaps Contracts | — | (801,487 | ) | (801,487 | ) | |||||||
Futures Contracts | — | (776,176 | ) | (776,176 | ) | |||||||
Forward Foreign Currency Contracts | (58,335 | ) | — | (58,335 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (58,335 | ) | $ | (1,631,866 | ) | $ | (1,690,201 | ) | |||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION)(7) |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Purchased Options | $ | — | $ | 158,374 | $ | 158,374 | ||||||
Written Options | — | (70,531 | ) | (70,531 | ) | |||||||
Swaps Contracts | — | 1,074,246 | 1,074,246 | |||||||||
Futures Contracts | — | 1,082,680 | 1,082,680 | |||||||||
Forward Foreign Currency Contracts | 168,968 | — | 168,968 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 168,968 | $ | 2,244,769 | $ | 2,413,737 | ||||||
|
|
|
|
|
| |||||||
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March 31, 2021
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(8) |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Purchased Options | $ | — | $ | 119,500 | $ | 119,500 | ||||||
Written Options | — | (119,667 | ) | (119,667 | ) | |||||||
Swaps Contracts | — | 21,817,500 | 21,817,500 | |||||||||
Long Futures Contracts | — | 67,727,858 | 67,727,858 | |||||||||
Short Futures Contracts | — | (43,583,115 | ) | (43,583,115 | ) | |||||||
Forward Foreign Currency Contracts | 2,707,450 | — | 2,707,450 |
Opportunistic Fixed
ASSET DERIVATIVES |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Purchased Options(1) | $ | — | $ | 261,480 | $ | — | $ | 207,597 | $ | 469,077 | ||||||||||
Futures Contracts(2) | — | — | 263,714 | — | 263,714 | |||||||||||||||
Forward Foreign Currency Contracts(3) | — | 3,415,516 | — | — | 3,415,516 | |||||||||||||||
OTC Swaps Contracts | 77,594 | — | 86,217 | — | 163,811 | |||||||||||||||
Centrally Cleared Swap Contracts** | — | — | 1,547,570 | — | 1,547,570 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | 77,594 | $ | 3,676,996 | $ | 1,897,501 | $ | 207,597 | $ | 5,859,688 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITY DERIVATIVES |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Written Options(4) | $ | — | $ | (74,955 | ) | $ | — | $ | (91,428 | ) | $ | (166,383 | ) | |||||||
Futures Contracts(2) | — | — | (1,710,845 | ) | — | (1,710,845 | ) | |||||||||||||
Forward Foreign Currency Contracts(5) | — | (2,710,092 | ) | — | — | (2,710,092 | ) | |||||||||||||
OTC Swaps Contracts | (20,846 | ) | — | (218,834 | ) | — | (239,680 | ) | ||||||||||||
Centrally Cleared Swap Contracts** | (35,512 | ) | — | (171,389 | ) | — | (206,901 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (56,358 | ) | $ | (2,785,047 | ) | $ | (2,101,068 | ) | $ | (91,428 | ) | $ | (5,033,901 | ) | |||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED GAIN (LOSS)(6) |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Purchased Options | $ | — | $ | (1,667,286 | ) | $ | 1,897,312 | $ | (3,253,638 | ) | $ | (3,023,612 | ) | |||||||
Written Options | — | 708,394 | (287,509 | ) | 737,896 | 1,158,781 | ||||||||||||||
Swaps Contracts | (3,122,709 | ) | — | (129,431 | ) | (73,345 | ) | (3,325,485 | ) | |||||||||||
Futures Contracts | — | — | (3,043,201 | ) | — | (3,043,201 | ) | |||||||||||||
Forward Foreign Currency Contracts | — | (3,773,150 | ) | — | — | (3,773,150 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (3,122,709 | ) | $ | (4,732,042 | ) | $ | (1,562,829 | ) | $ | (2,589,087 | ) | $ | (12,006,667 | ) | |||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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Notes to the Financial Statements (Continued)
March 31, 2021
CHANGE IN APPRECIATION (DEPRECIATION)(7) |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Purchased Options | $ | 24,236 | $ | (74,701 | ) | $ | — | $ | 283,935 | $ | 233,470 | |||||||||
Written Options | — | 794,908 | (37,696 | ) | 142,639 | 899,851 | ||||||||||||||
Swaps Contracts | (19,999 | ) | — | 2,193,262 | — | 2,173,263 | ||||||||||||||
Futures Contracts | — | — | (2,983,178 | ) | — | (2,983,178 | ) | |||||||||||||
Forward Foreign Currency Contracts | — | (138,238 | ) | — | — | (138,238 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 4,237 | $ | 581,969 | $ | (827,612 | ) | $ | 426,574 | $ | 185,168 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(8) |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Purchased Options | $ | 31,212,000 | $ | 32,484,663 | $ | 38,800 | $ | 8,158 | $ | 63,743,621 | ||||||||||
Written Options | (20,680,000 | ) | (16,597,008 | ) | (43,800 | ) | (4,763 | ) | (37,325,571 | ) | ||||||||||
Swaps Contracts | 33,815,576 | — | 64,464,823 | 52,639 | 98,333,038 | |||||||||||||||
Long Futures Contracts | — | — | 131,821,699 | — | 131,821,699 | |||||||||||||||
Short Futures Contracts | — | — | (92,134,011 | ) | — | (92,134,011 | ) | |||||||||||||
Forward Foreign Currency Contracts | — | 485,666,210 | — | — | 485,666,210 |
Emerging Markets
ASSET DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(2) | $ | — | $ | 761,239 | $ | 761,239 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | 761,239 | $ | 761,239 | ||||||
|
|
|
|
|
| |||||||
NET REALIZED GAIN (LOSS)(6) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | $ | — | $ | 23,670,962 | $ | 23,670,962 | ||||||
Forward Foreign Currency Contracts | (147 | ) | — | (147 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (147 | ) | $ | 23,670,962 | $ | 23,670,815 | |||||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION)(7) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | $ | — | $ | 256,716 | $ | 256,716 | ||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 256,716 | $ | 256,716 | ||||||
|
|
|
|
|
| |||||||
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Notes to the Financial Statements (Continued)
March 31, 2021
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(8) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Long Futures Contracts | $ | — | $ | 39,941,712 | $ | 39,941,712 | ||||||
Forward Foreign Currency Contracts | 860,469 | — | 860,469 |
Global Low Volatility
ASSET DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(2) | $ | — | $ | 224,886 | $ | 224,886 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | 224,886 | $ | 224,886 | ||||||
|
|
|
|
|
| |||||||
LIABILITY DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(2) | $ | (1,204 | ) | $ | (2,482 | ) | $ | (3,686 | ) | |||
|
|
|
|
|
| |||||||
Total Value | $ | (1,204 | ) | $ | (2,482 | ) | $ | (3,686 | ) | |||
|
|
|
|
|
| |||||||
NET REALIZED GAIN (LOSS)(6) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | $ | 120,412 | $ | 15,222,527 | $ | 15,342,939 | ||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 120,412 | $ | 15,222,527 | $ | 15,342,939 | ||||||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION)(7) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | $ | (22,850 | ) | $ | (4,755,138 | ) | $ | (4,777,988 | ) | |||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (22,850 | ) | $ | (4,755,138 | ) | $ | (4,777,988 | ) | |||
|
|
|
|
|
| |||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(8) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Long Futures Contracts | $ | 996,944 | $ | 29,095,152 | $ | 30,092,096 |
**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 Statements of Assets and Liabilities. |
(1) | Statements of Assets and Liabilities location: Investments, at value. |
(2) | 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. |
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March 31, 2021
(3) | Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
(4) | Statements of Assets and Liabilities location: Written options, at value. |
(5) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(6) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts, Closed futures contracts, Purchased option contracts, Written option contracts and Swap contracts. |
(7) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts, Open futures contracts, Purchased option contracts, Written option contracts and Swap contracts. |
(8) | Amounts disclosed represent average notional value for the months that the Fund held such derivatives during the year ended March 31, 2021. |
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 Statements 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 Statements 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
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Notes to the Financial Statements (Continued)
March 31, 2021
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. Only forward foreign currency contracts, OTC swaps and OTC options assets and liabilities are subject to master netting agreements. An exception to this, Opportunistic Fixed is not a party to an ISDA master agreement with Commonwealth Bank of Australia.
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 March 31, 2021.
Non-US Core Equity
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
HSBC Bank USA, N.A. | $ | 1,203,827 | $ | — | $ | — | $ | 1,203,827 | ||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Core 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 | $ | 89,440 | $ | (34,741 | ) | $ | — | $ | 54,699 | |||||||
JPMorgan Chase Bank N.A. | 110,614 | — | — | 110,614 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 200,054 | $ | (34,741 | ) | $ | — | $ | 165,313 | ||||||||
|
|
|
|
|
|
|
|
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Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2021
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 Liabilities(b) | ||||||||||||
Barclays Bank Plc | $ | (34,741 | ) | $ | 34,741 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
(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. |
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) | ||||||||||||
Bank of America, N.A. | $ | 60,526 | $ | (60,526 | ) | $ | — | $ | — | |||||||
Barclays Bank Plc | 142,247 | (142,247 | ) | — | — | |||||||||||
BNP Paribas S.A. | 3,394 | (3,394 | ) | — | — | |||||||||||
Citibank N.A. | 680,612 | (421,667 | ) | (258,945 | ) | — | ||||||||||
Citigroup Global Markets, Inc. | 50,707 | (13,731 | ) | — | 36,976 | |||||||||||
Deutsche Bank AG | 69,904 | (30,907 | ) | — | 38,997 | |||||||||||
Goldman Sachs & Co. | 636,121 | (273,314 | ) | (118,217 | ) | 244,590 | ||||||||||
Goldman Sachs International | 140,242 | (140,242 | ) | — | — | |||||||||||
HSBC Bank Plc | 445,313 | (399,255 | ) | — | 46,058 | |||||||||||
HSBC Bank USA, N.A. | 121,649 | (6,585 | ) | — | 115,064 | |||||||||||
HSBC Securities | 6,859 | — | — | 6,859 | ||||||||||||
JPMorgan Chase Bank N.A. | 787,921 | (787,921 | ) | — | — | |||||||||||
Morgan Stanley & Co. | 58,415 | (54,541 | ) | (3,874 | ) | — | ||||||||||
Morgan Stanley and Co. International Plc | 136,010 | (136,010 | ) | — | — | |||||||||||
Morgan Stanley Capital Services, Inc. | 153,519 | (18,356 | ) | — | 135,163 | |||||||||||
Natwest Markets Plc | 1,852 | (1,852 | ) | — | — | |||||||||||
Standard Chartered Bank | 156,645 | (11,019 | ) | — | 145,626 | |||||||||||
State Street Bank and Trust | 20,094 | — | — | 20,094 | ||||||||||||
State Street Bank London | 8,604 | (8,604 | ) | — | — | |||||||||||
The BNY Mellon | 25,929 | — | — | 25,929 | ||||||||||||
Toronto Dominion Bank | 3,378 | — | — | 3,378 | ||||||||||||
UBS AG | 128,793 | (128,793 | ) | — | — | |||||||||||
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$ | 3,838,734 | $ | (2,638,964 | ) | $ | (381,036 | ) | $ | 818,734 | |||||||
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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 Liabilities(b) | ||||||||||||
Bank of America, N.A. | $ | (81,803 | ) | $ | 60,526 | $ | — | $ | (21,277 | ) | ||||||
Barclays Bank Plc | (160,790 | ) | 142,247 | — | (18,543 | ) | ||||||||||
BNP Paribas S.A. | (19,452 | ) | 3,394 | — | (16,058 | ) | ||||||||||
Citibank N.A. | (421,667 | ) | 421,667 | — | — | |||||||||||
Citigroup Global Markets, Inc. | (13,731 | ) | 13,731 | — | — | |||||||||||
Deutsche Bank AG | (30,907 | ) | 30,907 | — | — | |||||||||||
Goldman Sachs & Co. | (273,314 | ) | 273,314 | — | — | |||||||||||
Goldman Sachs International | (141,298 | ) | 140,242 | — | (1,056 | ) | ||||||||||
HSBC Bank Plc | (399,255 | ) | 399,255 | — | — | |||||||||||
HSBC Bank USA, N.A. | (6,585 | ) | 6,585 | — | — | |||||||||||
JPMorgan Chase Bank N.A. | (939,016 | ) | 787,921 | 60,000 | (91,095 | ) | ||||||||||
Morgan Stanley & Co. | (54,541 | ) | 54,541 | — | — | |||||||||||
Morgan Stanley and Co. International Plc | (171,851 | ) | 136,010 | — | (35,841 | ) | ||||||||||
Morgan Stanley Capital Services, Inc. | (18,356 | ) | 18,356 | — | — | |||||||||||
Natwest Markets Plc | (5,903 | ) | 1,852 | — | (4,051 | ) | ||||||||||
Standard Chartered Bank | (11,019 | ) | 11,019 | — | — | |||||||||||
State Street Bank London | (123,229 | ) | 8,604 | — | (114,625 | ) | ||||||||||
UBS AG | (152,007 | ) | 128,793 | 23,214 | — | |||||||||||
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$ | (3,024,724 | ) | $ | 2,638,964 | $ | 83,214 | $ | (302,546 | ) | |||||||
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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 dividends, 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. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions. 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.
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(c) Cash, cash equivalents and short-term investments
A Fund may invest a portion of its assets in cash and cash equivalents. Cash and cash equivalents are defined as cash and bank balances as well as short-term investments with a maturity of less than three months from the acquisition date.
A Fund may invest a portion of its assets in short-term debt securities (including repurchase agreements and reverse repurchase agreements) of corporations, the U.S. government and its agencies and instrumentalities and banks and finance companies, which may be denominated in any currency.
A Fund may invest a portion of its assets in shares issued by money market mutual funds. A Fund also may invest in collective investment vehicles that are managed by an unaffiliated investment manager, pending investment of the Fund’s assets in portfolio securities. When unusual market conditions warrant, a Fund may make substantial temporary defensive investments in cash equivalents, up to a maximum of 100% of the Fund’s net assets. Cash equivalent holdings may be in any currency. When a Fund invests for temporary defensive purposes, such investments may affect the Fund’s ability to achieve its investment objective.
(d) Securities lending
A Fund may lend its portfolio securities to qualified broker/dealers and financial institutions pursuant to agreements, provided: (1) the loan is secured continuously by collateral marked to market daily and maintained in an amount at least equal to the current fair value of the securities loaned; (2) the Fund may call the loan at any time and receive the securities loaned; (3) the Fund will receive any interest or dividends paid on the loaned securities; and (4) the aggregate fair value of securities loaned will not at any time exceed 33 1/3% of the total assets of the Fund. Collateral will consist of U.S. and non-U.S. securities, cash equivalents or irrevocable letters of credit. A liability for cash collateral is reflected in the Statements of Assets and Liabilities, and is categorized as Level 2 within the fair value hierarchy. As with other extensions of credit, there are risks of delay in recovery or even loss of rights in collateral in the event of default or insolvency of a borrower of a Fund’s portfolio securities. A Fund may not retain voting rights on securities while they are on loan.
Certain Funds may from time to time participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”) acting as securities lending agent, is authorized to lend Fund portfolio securities to qualified broker/dealers and financial institutions that post appropriate collateral. The Custodian has agreed to indemnify the Funds in case of default of any security borrower.
Securities on loan are fully collateralized and the collateral was equal to or exceeded the securities on loan at March 31, 2021. 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
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borrowers and the value of collateral held by the Funds with respect to such loans at March 31, 2021 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap | $ | 15,249,356 | $ | 4,085,189 | $ | 11,263,832 | ||||||
Small/Mid Cap | 34,579,770 | 5,203,630 | 29,607,246 | |||||||||
Non-US Core Equity | 233,801,568 | 143,479,818 | 103,249,534 | |||||||||
Core Fixed | 16,403,157 | 10,664,255 | 6,057,190 | |||||||||
Opportunistic Fixed | 21,103,357 | 13,830,368 | 7,666,333 | |||||||||
Emerging Markets | 34,726,472 | 20,453,755 | 15,987,563 | |||||||||
Global Low Volatility | 22,321,203 | 13,767,600 | 9,567,229 |
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 March 31, 2021, 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 each Fund’s Schedule of Investments at March 31, 2021, with a contractual maturity of overnight and continuous.
(e) 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, index, and total return 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. Up-front payments received or made are reflected as “up-front net premiums received” or “up-front net premiums paid”, respectively, on the Statements of Assets and Liabilities. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.
The credit default swaps 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
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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 soundness 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 swaps 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.
In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Fund is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.
Swaps do not involve the delivery of securities or other underlying assets or principal, and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive.
The equity swaps in which the Funds may invest involve agreements with a counterparty. The return to the Funds on any equity swap contract will be the total return on the notional amount of the contract as if it were invested in the stocks comprising the contract index in exchange for an interest component based on the notional amount of the agreement. The Funds will only enter into an equity swap contract on a net basis, i.e., the two parties’ obligations are netted out, with the Funds paying or receiving, as the case may be, only the net amount of the payments. Payments under an equity swap contract may be made at the conclusion of the contract or periodically during its term.
Whether a Fund’s use of swaps or swap options will be successful in achieving the Fund’s investment objective will depend on the Sub-adviser’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 contract in the event of the default or bankruptcy of a swap 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 an uncleared swap, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that a swap counterparty will be able to meet its obligations pursuant to a swap 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. However, the amount at risk is, subject to some exceptions, generally only the net unrealized gain, if any, on the swap not the entire notional amount. The Sub-adviser that enters into the swap will closely monitor, subject to the
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oversight of the Board, the creditworthiness of swap counterparties in order to minimize the counterparty risk of 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.
The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) was enacted in July 2010. Among other things, the Dodd-Frank Act sets forth a regulatory framework for certain OTC derivatives, such as swaps. The Dodd-Frank Act requires certain 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 who were not previously required to register are regulated as swap dealers or major swap participants, and are, or will be, subject to certain minimum capital and margin requirements and business conduct standards.
Certain standardized swaps, including certain U.S. dollar and non-U.S. dollar denominated interest rate and credit default index swaps, are subject to mandatory clearing, which interposes a central clearing house as the counterparty to each participant’s swap, and exchange-trading. Additional swap asset classes are expected to be subject to mandatory clearing and exchange-trading in the future. The counterparty risk for cleared derivatives is generally considered to be lower than for uncleared derivatives, but cleared contracts are not risk-free. 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.
Central clearing and exchange trading is only required for trading certain instruments, although central clearing and exchange trading for additional instruments is expected to be implemented by the Commodity Futures Trading Commission (“CFTC”) until the majority of the swaps market is ultimately subject to both. In addition, uncleared swaps that are subject to regulatory collateral requirements could adversely affect a Fund’s ability to enter into swaps in the OTC market. The establishment of a centralized exchange or market for cleared swap transactions may not result in swaps being easier to value or trade. However, swap dealers, major swap participants, and swap counterparties may experience other new and/or additional regulations, requirements, compliance burdens, and associated costs. The legislation and rules promulgated may exert a negative effect on a Fund’s ability to meet its investment objective, either through limits or requirements imposed on the Fund or its counterparties. Specifically, position limits imposed on a Fund or its counterparties may affect that Fund’s ability to invest in futures, options, and swaps in a manner consistent with the Fund’s investment objective and strategies. The requirements prescribed by the Dodd-Frank Act may increase the cost of a Fund’s investments and cost of doing business, which could adversely affect the ability of the Funds to buy or sell derivatives.
In a cleared swap transaction, 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 variation margin payable or receivable for the change
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in value as appropriate on the Statements of Assets and Liabilities. Only certain 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 the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap contracts, in addition to realized gain/loss recorded upon the termination of swap contracts on the Statements of Operations. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts (swap contracts, at value on the Statements of Assets and Liabilities).
Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.
The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.
The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Like most other investments, swaps 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 Sub-adviser will not accurately forecast future market trends or the values of assets, reference rates, indices, or other economic factors in establishing swap positions for the Fund. If a Sub-adviser 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. If the Sub-adviser 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.
During the year ended March 31, 2021, Core Fixed and Opportunistic Fixed used swaps to adjust interest rate and yield curve exposure or to manage credit exposure. See the Core Fixed and Opportunistic Fixed Schedules of Investments for a listing of open swaps as of March 31, 2021.
(f) 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.
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A purchase of a futures contract means the acquisition of a contractual right of a Fund to obtain delivery of the securities or foreign currency underlying the contract at a specified price on a specified future date. When a futures contract is sold, a Fund incurs a contractual obligation to deliver the securities or foreign currency underlying the contract at a specified price on a specified date.
When a Fund enters into a futures contract, it must deliver to the futures commission merchant selected by the Fund an amount referred to as “initial margin.” This amount is maintained by the futures commission merchant in a segregated account at the futures commission merchant. Thereafter, a “variation margin” may be paid by a Fund to or drawn by a Fund from such account in accordance with controls set for such accounts, depending upon changes in the price of the underlying securities, or currencies, subject to the futures contracts, and the change in value is recorded by the Fund as a variation margin payable or receivable on the Statements of Assets and Liabilities. The Fund recognizes gains and losses on futures contracts in addition to the variation margin, which gains and losses are considered realized at the time the contracts expire or close.
A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the CFTC for sale to customers in the United States, 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 certain 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 generally is an uncleared agreement resembling a total return swap transaction in which a Fund will commit to receive positive or negative returns on one or more specified equity index futures contracts in exchange for an agreed upon payment by the Fund to the counterparty. If the underlying asset declines in value over the term of the total return swap, the Fund may also be required to pay the dollar value of that decline to the counterparty. These are marked to market daily and the change in value is recorded as unrealized gain or loss in the Statements of Operations.
During the year ended March 31, 2021, 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
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also used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See each Fund’s Schedule of Investments for a listing of open futures contracts as of March 31, 2021.
(g) 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 Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option, it is exposed to a decline in the price of the underlying security.
Whether an option which the Fund has written expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.
The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Fund’s exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.
During the year ended March 31, 2021, Core Fixed and Opportunistic Fixed used options for tail risk hedging and to manage currency, interest rate, duration and volatility exposure. See each Fund’s Schedule of Investments for a listing of options as of March 31, 2021.
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(h) 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 non-cash settled forward contract to sell an amount of foreign currency, the Fund will maintain segregated assets in an amount equal to the contract’s full, notional value. When a Fund enters into a cash-settled forward contract to sell an amount of foreign currency, the Fund will maintain segregated assets in an amount equal to the net amount owed by the Fund. However, currency contracts with respect to identical currencies, with the same counterparty and same settlement date may be netted against each other and, in such cases, a Fund will maintain segregated assets in an amount equal to the net amount owed by the Fund, in accordance with the Trust’s Segregation and Offsetting Position Procedures. 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. The primary risks associated with forward foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably.
During the year ended March 31, 2021, Core Fixed and 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 used forward foreign currency contracts to hedge, cross hedge or to actively manage the currency exposures in the Fund. See the Non-US Core Equity, Core Fixed, and Opportunistic Fixed Schedules of Investments for a listing of open forward foreign currency contracts as of March 31, 2021.
(i) Foreign currency translation
The books and records of each Fund are maintained in US dollars. Foreign currencies, investments and other assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase
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settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.
(j) 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.
A Fund may enter into TBA commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Portfolio’s other assets. TBA forward sale commitments are valued at the current market value of the underlying securities, according to the procedures described under “Security Valuation”. See the Schedules of Investments for TBA and when-issued securities held as of March 31, 2021.
(k) 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 March 31, 2021.
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(l) Mortgage-related and other asset-backed securities
The Funds may invest in mortgage-backed and asset-backed securities. Mortgage-backed securities represent an interest in a pool of mortgages. Asset-backed securities are structured like mortgage-backed securities, but instead of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property, and receivables from credit card agreements. The value of some mortgage or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal (the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedules of Investments for mortgage-backed and asset-backed securities held by Core Fixed and Opportunistic Fixed as of March 31, 2021.
(m) Bank loans
Core Fixed and Opportunistic 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 March 31, 2021, Opportunistic Fixed had the following unfunded loan commitments:
Borrower | Par | Cost | Value | Unrealized Gain (Loss) | ||||||||||||
Precision Medicine Group, LLC | $ | 126,923 | $ | 125,053 | $ | 126,421 | $ | 1,368 |
(n) 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.
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(o) 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 utilize the provisions of the federal income tax laws that provide for the carryforward of capital losses for prior years, offsetting such losses against any future realized capital gains. Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized after December 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
On March 31, 2021, the following Funds had deferred capital losses available to be offset against future net capital gains through the indicated expiration dates as follows:
Unlimited | ||||
Opportunistic Fixed | $ | 3,925,866 |
During the year ended March 31, 2021, Non-US Core Equity, Opportunistic Fixed, and Emerging Markets utilized capital loss carryforwards of $44,262,340, $16,205,049, and $54,218,170 respectively.
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of March 31, 2021, no funds have elected to defer current year post-October losses.
As of March 31, 2021, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments and derivatives were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Large Cap | $ | 1,110,774,532 | $ | 342,790,528 | $ | (12,887,941 | ) | $ | 329,902,587 | |||||||
Small/Mid Cap | 1,384,192,405 | 476,555,231 | (30,562,344 | ) | 445,992,887 | |||||||||||
Non-US Core Equity | 3,223,296,668 | 661,681,668 | (100,479,840 | ) | 561,201,828 | |||||||||||
Core Fixed | 1,248,310,651 | 26,846,843 | (24,346,979 | ) | 2,499,864 | |||||||||||
Opportunistic Fixed | 812,804,265 | 24,791,997 | (21,925,801 | ) | 2,866,196 | |||||||||||
Emerging Markets | 1,248,346,136 | 223,377,143 | (25,096,462 | ) | 198,280,681 | |||||||||||
Global Low Volatility | 936,577,128 | 244,057,908 | (11,355,166 | ) | 232,702,742 |
The temporary differences between book-basis and tax-basis unrealized appreciation/(depreciation) are primarily due to wash sale loss deferrals, investments in passive foreign investment companies, redemption in kind and other basis adjustments. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These differences primarily relate to swap income, gains and losses from passive foreign investment companies and other basis adjustments during the period ended March 31, 2021.
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As of March 31, 2021, the Funds had no uncertain tax positions that would require recognition, derecognition, or disclosure. Each of the Funds’ federal tax returns filed in the 3-year period ended March 31, 2021 remains subject to examination by the Internal Revenue Service.
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.
During the years ended March 31, 2021 and March 31, 2020, the tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid, were as follows:
2021 | 2020 | |||||||||||||||||||||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | Ordinary Income | Long-Term Capital Gains | Return of Capital | |||||||||||||||||||
Large Cap | $ | 15,195,896 | $ | 463,403 | $ | — | $ | 12,207,874 | $ | 31,187,213 | $ | — | ||||||||||||
Small/Mid Cap | 9,952,139 | 37,922,000 | — | 8,939,375 | 31,223,283 | — | ||||||||||||||||||
Non-US Core Equity | 58,417,561 | 80,756,936 | — | 60,608,354 | — | — | ||||||||||||||||||
Core Fixed | 41,151,194 | 3,009,673 | — | 21,127,381 | — | — | ||||||||||||||||||
Opportunistic Fixed | 44,901,279 | — | — | 22,762,588 | — | — | ||||||||||||||||||
Emerging Markets | 21,622,556 | — | — | 15,100,507 | — | — | ||||||||||||||||||
Global Low Volatility | 30,895,036 | 24,411,732 | — | 13,667,359 | 67,398,170 | — |
As of March 31, 2021, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gains | Capital Losses and Other Temporary Differences | Unrealized Appreciation (Depreciation) | Total Distributable Earnings | ||||||||||||||||
Large Cap | $ | — | $ | 50,034,833 | $ | — | $ | 329,902,224 | $ | 379,937,057 | ||||||||||
Small/Mid Cap | 70,962,324 | 102,752,448 | — | 445,992,887 | 619,707,659 | |||||||||||||||
Non-US Core Equity | 145,124,084 | 207,899,879 | (348 | ) | 560,912,366 | 913,935,981 | ||||||||||||||
Core Fixed | 6,423,596 | 3,679,981 | — | 2,391,443 | 12,495,020 | |||||||||||||||
Opportunistic Fixed | 3,219,292 | — | (3,932,062 | ) | 4,209,373 | 3,496,603 | ||||||||||||||
Emerging Markets | 65,592,680 | 77,475,862 | — | 195,125,909 | 338,194,451 | |||||||||||||||
Global Low Volatility | 22,655,390 | 51,369,405 | — | �� | 232,726,090 | 306,750,885 |
All other differences are temporary losses related to mostly organizational costs and other timing adjustments.
(p) 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.
(q) 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.
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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 9, 2021. 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 1% plus the higher of (i) the Federal Funds Rate or (ii) the Federal Reserve Bank of New York Overnight Bank Funding Rate. The Funds did not borrow under the Agreement during the year ended March 31, 2021.
4. | Indemnities |
In the normal course of business, the Funds enter into contracts that require them to provide a variety of representations or general indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
5. | Fees and other transactions with affiliates |
As of March 31, 2021, the Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Pursuant to the investment management agreement, each Fund pays the Advisor a fee for managing the Fund’s investments at an annual rate of:
Investment Advisory Fee* on Net Assets | ||||||||||||
Average net assets up to $750 million | Average net assets in excess of $750 million 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. |
The Advisor has contractually agreed, until at least July 31, 2021, to waive any portion of its management fee that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Funds’ Sub-advisers. This contractual fee waiver agreement may only be changed or eliminated with the approval of the Funds’ Board of Trustees. The fees waived by the Advisor pursuant to this agreement are not subject to reimbursement by the Funds to the Advisor. The fees waived are shown in the Advisory fee waiver line in the Statements of Operations.
The Advisor provides certain internal administrative services to the Adviser Class, Class I and Class Y-2 shares of the Funds, for which the Advisor receives a fee of 0.15%, 0.15% and 0.15% of the average daily net assets of the Adviser Class, Class I and Class Y-2 shares of the Funds, respectively.
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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 Adviser Class, Class I and Class Y-2 shares, including the transfer agent. As these classes have not been funded, no fees were charged for the period ended March 31, 2021.
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 Adviser Class shares of the Funds. The plan provides for payments at annual rates (based on average net assets) of up to 0.25% of each Fund’s Adviser Class shares. As this class has not been funded, no fees were charged for the period ended March 31, 2021.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments and in-kind contributions, for the year ended March 31, 2021, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap | $ | — | $ | 551,772,847 | ||||
Small/Mid Cap | — | 895,155,675 | ||||||
Non-US Core Equity | — | 2,672,961,028 | ||||||
Core Fixed | 1,261,510,495 | * | 358,973,883 | |||||
Opportunistic Fixed | 77,863,539 | 1,395,887,622 | ||||||
Emerging Markets | — | 1,342,398,901 | ||||||
Global Low Volatility | — | 605,840,122 | ||||||
Sales | ||||||||
Large Cap | — | 514,145,170 | ||||||
Small/Mid Cap | — | 962,368,123 | ||||||
Non-US Core Equity | — | 2,864,598,260 | ||||||
Core Fixed | 1,158,439,841 | * | 165,107,810 | |||||
Opportunistic Fixed | 134,733,927 | 1,126,576,312 | ||||||
Emerging Markets | — | 1,382,932,617 | ||||||
Global Low Volatility | — | 699,598,813 |
* | Includes purchases of $323,679,968 and sales of $290,280,949 for TBA securities. |
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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
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 30,962,052 | $ | 287,076,980 | 10,138,802 | $ | 90,778,255 | ||||||||||
Shares issued through | — | — | 81,706,524 | 781,114,365 | ||||||||||||
Shares issued to shareholders in | �� | 1,395,659 | 15,659,299 | 4,676,195 | 43,395,087 | |||||||||||
Shares repurchased | (26,715,449 | ) | (247,071,887 | ) | (21,820,763 | ) | (194,574,909 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 5,642,262 | $ | 55,664,392 | 74,700,758 | $ | 720,712,798 | ||||||||||
|
|
|
|
|
|
|
|
Small/Mid Cap
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 37,439,316 | $ | 370,106,733 | 22,989,280 | $ | 221,232,437 | ||||||||||
Shares issued through | — | — | 51,416,668 | 567,640,018 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,876,449 | 47,874,139 | 3,694,817 | 40,162,658 | ||||||||||||
Shares repurchased | (42,246,255 | ) | (506,687,211 | ) | (20,554,836 | ) | (214,043,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (930,490 | ) | $ | (88,706,339 | ) | 57,545,929 | $ | 614,991,514 | ||||||||
|
|
|
|
|
|
|
|
Non-US Core Equity
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 65,896,176 | $ | 677,092,129 | 80,075,822 | $ | 790,637,683 | ||||||||||
Shares issued through | — | — | 38,582,379 | 410,902,338 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 11,804,453 | 139,174,496 | 5,696,274 | 60,608,354 | ||||||||||||
Shares repurchased | (84,194,014 | ) | (930,681,444 | ) | (26,429,943 | ) | (276,992,700 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (6,493,385 | ) | $ | (114,414,819 | ) | 97,924,532 | $ | 985,155,675 | ||||||||
|
|
|
|
|
|
|
|
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Core Fixed
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 51,857,972 | $ | 561,129,888 | 59,487,550 | $ | 613,861,885 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,100,359 | 44,160,867 | 2,057,194 | 21,127,381 | ||||||||||||
Shares repurchased | (26,523,134 | ) | (289,889,583 | ) | (25,733,623 | ) | (267,181,856 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 29,435,197 | $ | 315,401,172 | 35,811,121 | $ | 367,807,410 | ||||||||||
|
|
|
|
|
|
|
|
Opportunistic Fixed
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 35,793,896 | $ | 341,758,285 | 41,331,790 | $ | 386,165,258 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,538,747 | 44,890,690 | 2,450,225 | 22,762,588 | ||||||||||||
Shares redeemed through | (53,122,684 | ) | (522,195,987 | ) | — | — | ||||||||||
Shares repurchased | (12,382,191 | ) | (119,056,005 | ) | (18,948,016 | ) | (173,703,085 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (25,172,232 | ) | $ | (254,603,017 | ) | 24,833,999 | $ | 235,224,761 | ||||||||
|
|
|
|
|
|
|
|
Emerging Markets
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 35,219,281 | $ | 328,271,034 | 34,290,769 | $ | 300,441,230 | ||||||||||
Shares issued through | — | — | 14,375,147 | 133,545,116 | ||||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,996,543 | 21,622,556 | 1,618,490 | 15,100,507 | ||||||||||||
Shares repurchased | (36,001,619 | ) | (373,794,134 | ) | (31,714,029 | ) | (286,169,511 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 1,214,205 | $ | (23,900,544 | ) | 18,570,377 | $ | 162,917,342 | |||||||||
|
|
|
|
|
|
|
|
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Global Low Volatility
Year Ended March 31, 2021 | Year Ended March 31, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 21,096,201 | $ | 276,904,152 | 29,601,187 | $ | 386,424,292 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,916,910 | 55,306,768 | 6,000,409 | 81,065,529 | ||||||||||||
Shares repurchased | (35,047,110 | ) | (473,911,062 | ) | (15,928,861 | ) | (221,207,356 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (10,033,999 | ) | $ | (141,700,142 | ) | 19,672,735 | $ | 246,282,465 | ||||||||
|
|
|
|
|
|
|
|
* | On November 26, 2019, Large Cap received securities in-kind valued at $769,614,365 and cash of $11,500,000 from Mercer Large Cap Stock Fund. This resulted in the issuance of 81,706,524 shares valued at $781,114,365. |
** | On December 2, 2019, Small/Mid Cap received securities in-kind valued at $550,516,305 and cash of $17,123,713 from Mercer Small/Mid Cap Stock Fund. This resulted in the issuance of 51,416,668 shares valued at $567,640,018. |
*** | On December 3, 2019, Non-US Core Equity received securities in-kind valued at $395,102,338 and cash of $15,800,000 from Mercer International Stock Fund. This resulted in the issuance of 38,582,379 shares valued at $410,902,338. |
**** | On February 19, 2021, Opportunistic Fixed transferred securities in-kind valued at $400,305,493 and cash of $121,890,494 for a redemption. This resulted in 53,122,684 shares redeemed valued at $522,195,987. This transfer also resulted in a realized gain of $19,839,043 which is shown on the Statements of Operations. |
***** | On November 26, 2019, Emerging Markets received securities in-kind valued at $10,686,440 and cash of $122,858,676 from Mercer International Stock Fund. This resulted in the issuance of 14,375,147 shares valued at $133,545,116. |
8. | Recent accounting pronouncements |
In March 2020, FASB issued Accounting Standards Update No. 2020-04, “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting” (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04 on the Funds’ financial statements.
In October 2020, FASB issued Accounting Standards Update No. 2020-08, “Codification Improvements to Subtopic 310-20, Receivables — Nonrefundable Fees and Other Costs” (“ASU 2020-08”). ASU 2020-08 is an update of Accounting Standards Update No. 2017-08, which amends the amortization period of certain purchased callable debt securities held at a premium. ASU 2020-08 updates the amortization period for callable debt securities to be amortized to the next call date. For purposes of this update, the next call date is the first date when a call option at a specified price becomes exercisable. Once that date has passed, the next call date is when the next call option at a specified price becomes exercisable, if applicable. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2020 for public business entities. For all other
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March 31, 2021
entities, the amendments in this update are effective for fiscal years beginning after December 15, 2021, and interim periods within fiscal years beginning after December 15, 2022. Management is currently evaluating the implication, if any, of the additional disclosure requirements and its impact on the Funds’ financial statements.
9. | Certain risks |
In the normal course of business, the Funds invest in securities or other instruments and may enter into transactions, and such activities subject each Fund to various risks, including fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations (credit risk). Investments in foreign securities involve certain risks, including foreign currency fluctuations and those related to political or economic instability.
Additional risks associated with certain of the Funds’ investments are described above within the respective security type notes. A more complete description of risks is included in the Funds’ prospectus and statement of additional information.
The worldwide outbreak of COVID-19, a novel coronavirus disease, that began in early 2020 has negatively affected economies, markets and individual companies throughout the world and has increased market volatility. Developments that disrupt global economies and financial markets may magnify factors that affect the Funds’ performance. While the disruption is currently expected to be temporary, there is considerable uncertainty around the duration of this uncertainty. The effects of this pandemic may materially impact the value and performance of the Funds, their ability to buy and sell investments and their ability to achieve the investment objectives. The ultimate impact of COVID-19 on the financial performance of the Funds’ investments cannot be reasonably estimated at this time.
LIBOR risk: Many financial instruments, financings or other transactions to which a fund may be a party use or may use a floating rate based on the LIBOR. LIBOR is widely used in financial markets. In July 2017, the United Kingdom’s financial regulatory body announced that after 2021 it will cease its active encouragement of banks to provide the quotations needed to sustain LIBOR. That announcement suggests that LIBOR may cease to be published or utilized after that time. Various financial industry groups have begun planning for that transition, but the effect of the transition process and its ultimate success cannot yet be determined. The transition process may lead to increased volatility and illiquidity in markets for instruments the terms of which are based on LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021. The willingness and ability of issuers to include enhanced provisions in new and existing contracts or instruments also remains uncertain. Any of these factors may adversely affect a fund’s performance or NAV.
10. | Subsequent events |
Management has evaluated the impact of subsequent events through May 25, 2021, the date the financial statements were issued, for possible adjustment 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.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the shareholders and the Board of Trustees of Mercer Funds:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Mercer Funds (the “Funds”) comprising Mercer US Large Cap Equity Fund, Mercer US Small/Mid Cap Equity Fund, Mercer Non-US Core Equity Fund, Mercer Core Fixed Income Fund, Mercer Opportunistic Fixed Income Fund, Mercer Emerging Markets Equity Fund, and Mercer Global Low Volatility Equity Fund, including the schedules of investments as of March 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds constituting the Mercer Funds as of March 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2021, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Boston, Massachusetts
May 25, 2021
We have served as the auditor of one or more Mercer investment companies since 2006.
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Additional Information (Unaudited)
Proxy Voting
A description of the policies and procedures that the Advisor and each Fund’s Sub-advisers 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.
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-PORT, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-PORT 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.
Federal Tax Information
The amount of long-term capital gains paid for the fiscal year ended March 31, 2021, were as follows:
Fund | ||||
Large Cap | $ | 463,403 | ||
Small/Mid Cap | 37,922,000 | |||
Non-US Core Equity | 80,756,936 | |||
Core Fixed | 3,009,673 | |||
Global Low Volatility | 24,411,732 |
For the year ended March 31, 2021, Non-US Core Equity and Emerging Markets had foreign tax credits in the amount of $6,086,709 and $5,026,265, respectively, and foreign source income of $69,518,330 and $28,392,031, respectively.
Qualified dividend income (“QDI”) received by the Funds through March 31, 2021, that qualified for a reduced tax rate pursuant to the Internal Revenue Code Section 1(h)(11) are as follows:
Fund | QDI | |||
Large Cap | $ | 17,822,575 | ||
Small/Mid Cap | 14,153,451 | |||
Non-US Core Equity | 64,389,939 | |||
Emerging Markets | 17,430,256 | |||
Global Low Volatility | 16,872,064 |
For corporate shareholders, a portion of the ordinary dividends paid during the Funds’ year ended March 31, 2021, qualified for the dividends received deduction, as follows:
Fund | ||||
Large Cap | 100.00 | % | ||
Small/Mid Cap | 15.99 | % | ||
Non-US Core Equity | 0.46 | % | ||
Emerging Markets | 1.11 | % | ||
Global Low Volatility | 29.45 | % |
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Board Approval of New Subadvisory Agreements and a New Sub-Subadvisory Agreement for Certain of the Funds during the period October 1, 2020 through March 31, 2021
At certain meetings of the Board of Trustees (the “Board” or the Trustees”) held during the six-month period from October 1, 2020 through March 31, 2021, 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 Investments LLC, the Trust’s investment advisor (the “Advisor”) (together, the “Independent Trustees”), considered and approved proposed new subadvisory agreements and a proposed new sub-subadvisory agreement between the Advisor and newly proposed subadvisors and a proposed new sub-sub-subadvisor.
At a meeting of the Board of Trustees held on December 10-11, 2020 (the “December Meeting”) the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement and a proposed new sub-subadvisory agreement with respect to the Mercer Emerging Markets Equity Fund (the “Emerging Markets Fund”).
At a meeting of the Board of Trustees held on January 27, 2021 (the “January Meeting”) the Trustees, including the Independent Trustees, considered and approved proposed new subadvisory agreements with respect to the Emerging Markets Equity Fund, the Mercer US Large Cap Equity Fund (the “Large Cap Fund”), the Mercer US Small/Mid Cap Equity Fund (the “Small/Mid Cap Fund”), the Mercer Non-US Core Equity Fund (the “Non-US Core Fund”) and the Mercer Global Low Volatility Equity Fund (the “Global Low Volatility Fund”).
At a meeting of the Board of Trustees held on March 30-31, 2021 (the “March Meeting”), the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement with respect to the Global Low Volatility Fund.
The December Meeting
Mercer Emerging Markets Equity Fund
Approval of a New Subadvisory Agreement for the Fund with Schroder Investment Management North America Inc. and a New Sub-Subadvisory Agreement with Schroder Investment Management North America Ltd.
At the December Meeting, the Trustees, including the Independent Trustees, considered and approved: (1) a proposed new subadvisory agreement between the Advisor and Schroder Investment Management North America Inc. (“SIMNA”) on behalf of the Emerging Markets Equity Fund (the “Fund”) and (2) a proposed new sub-subadvisory agreement between SIMNA and its affiliate Schroder Investment Management North America Ltd. (“SIMNA Ltd.” and, together with SIMNA, “Schroders”) (and such agreements together, the “Schroders Agreements”). The Advisor had informed the Board that it was recommending that Schroders be appointed as a Subadvisor and Sub-Subadvisor in connection with the reallocation of the assets of the Fund among the existing Subadvisors and in order to employ Schroders’ investment strategies (the “New Emerging Markets Fund Structure”).
In considering the approval of the Schroders Agreements, the Independent Trustees considered the information and materials from the Advisor and Schroders that included, as to Schroders and the Fund: (i) copies of the forms of the Schroders Agreements; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Schroders for the Board’s approval, and the Advisor’s rationale for recommending that Schroders be appointed as a Subadvisor and Sub-Subadvisor to the Fund; (iii) information describing the nature, extent, and quality of the services that Schroders proposed to provide to the Fund; (iv) the investment management business, portfolio management
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personnel, operations, prior investment experience, and reputation of Schroders; (v) Schroders’ brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Schroders for its services to the Fund, and the fees charged to other accounts that Schroders manages; (vii) the Advisor’s contractual agreement, which requires the Advisor to waive any portion of the management fee it is entitled to under the Investment Management Agreement between the Trust and the Advisor (the “Management Agreement”) with respect to the Fund that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Fund’s subadvisors for the management of their allocated portions of the Fund (the “Fee Waiver Agreement”); (viii) a summary of the compliance program applicable to Schroders; (ix) information regarding the historical performance returns of Schroders in managing the investment mandate it would employ for the Fund, and a comparison of such performance to a relevant index; and (x) the financial condition of Schroders.
In addition, the Independent Trustees considered the presentations made by, and discussions 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 Schroders. During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to Schroders, including: the nature, extent, and quality of the services to be provided to the Fund by Schroders; Schroders’ management style and investment decision-making process; Schroders’ historical performance record managing the investment mandate it would employ for the Fund; the qualifications and experience of the members of Schroders’ portfolio management team; and Schroders’ staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Fund, 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 from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to Schroders, 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 Schroders. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Schroders to the Fund. The Independent Trustees considered the specific investment management process that Schroders would employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by Schroders), the qualifications of Schroders’ 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 Schroders would be managing, and the performance record of Schroders as compared to a relevant index. The Independent Trustees considered Schroders’ infrastructure and resources, and whether Schroders’ organization appeared to support Schroders’ strategy adequately. The Independent Trustees also considered the Advisor’s review, selection, and due diligence process with respect to Schroders, 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 Schroders. The Independent Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Schroders’ portfolio managers and the qualifications of its investment professionals.
Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Schroders, as well as Schroders’ ability to render such services based on Schroders’ experience,
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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 Schroders would manage.
(b) Comparison of the services to be rendered and fees to be paid to Schroders under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees considered the services that would be rendered by Schroders and evaluated the compensation to be paid to Schroders by the Advisor for those services. The Independent Trustees noted that the services that Schroders would furnish to the Fund appeared to be comparable to the services that Schroders currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Schroders by the Advisor in light of the fees that were charged by Schroders to its other advisory clients, as disclosed in the Form ADV, Part 2A (Firm Brochure) provided and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by Schroders were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the December Meeting, in determining to recommend Schroders to serve as a Subadvisor and Sub-Subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Schroders for its services to the Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of Schroders would indirectly be borne by the Fund and its shareholders. The Independent Trustees further considered that as a result of the appointment of Schroders and the implementation of the New Emerging Markets Fund Structure, the Fund’s subadvisory fees would be reduced and that these cost savings would accrue to the Fund, given the Fee Waiver Agreement. Based on their discussion, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided, the proposed level of fees to be paid to Schroders with respect to the assets of the Fund to be allocated to Schroders was supported by the services that were expected to be provided by Schroders to the Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Schroders from its relationship with the Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid to Schroders by the Advisor on the Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to Schroders were the result of arm’s-length bargaining between unaffiliated parties, the relevance of Schroders’ potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of Schroders was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Fund as a result of the Fee Waiver Agreement.
On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by Schroders and the proposed fees to be paid to Schroders by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to Schroders as a result of serving as a Subadvisor and Sub-Advisor to the Fund were reasonable in relation to the services that were expected to be provided by Schroders to the Fund.
(c) Investment performance of the Fund and Schroders. Because Schroders was a newly proposed Subadvisor and Sub-Subadvisor to the Fund, the Independent Trustees could not consider Schroders’ investment performance in managing the Fund as a factor in evaluating the Schroders Agreements.
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However, the Independent Trustees reviewed Schroders’ historical performance record managing the investment mandate it would employ for the Fund as compared to a relevant index and concluded that Schroders’ historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Schroders Agreements.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent 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 Schroders be appointed as a Subadvisor and Sub-Subadvisor to the Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Schroders was supported by the services that were expected to be provided to the Fund and approval of the Schroders Agreements was in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the Schroders Agreements.
January Meeting
Mercer Emerging Markets Equity Fund
Approval of New Subadvisory Agreements for the Fund with each of Grantham, Mayo, Van Otterloo & Co. LLC and BennBridge US LLC
At the January Meeting, the Trustees, including the Independent Trustees, considered and approved proposed new subadvisory agreements between the Advisor, on behalf of the Emerging Markets Fund (the “Fund”), and each of Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) (the “GMO Agreement”) and BennBridge US LLC (“BennBridge US”) (the “BennBridge US Agreement”). The Advisor had informed the Board that it was recommending GMO and BennBridge each be appointed as new Subadvisors in connection with the Advisor’s continuing process of the reallocation of the assets of the Fund to replace certain existing Subadvisors that were being terminated and in order to employ GMO’s and BennBridge’s investment strategies (the “New Emerging Markets Fund Structure”).
Approval of New Subadvisory Agreement for the Emerging Markets Fund with Grantham, Mayo, Van Otterloo & Co. LLC
In considering the approval of the GMO Agreement, the Independent Trustees considered the information and materials from the Advisor and GMO that included, as to GMO and the Fund: (i) the GMO Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended GMO for the Board’s approval, and the Advisor’s rationale for recommending that GMO be appointed as a Subadvisor to the Fund; (iii) information describing the nature, extent, and quality of the services that GMO proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of GMO; (v) GMO’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by GMO for its services to the Fund, and the fees charged to other accounts that GMO manages; (vii) the Advisor’s contractual agreement, which requires the Advisor to waive any portion of the management fee it is entitled to under the Management Agreement with respect to the Fund that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Fund’s subadvisors for the management of their allocated portions of the Fund (the “Fee Waiver Agreement”); (viii) a summary of the compliance program applicable to GMO; (ix) information regarding the historical performance returns of GMO in managing the investment mandate it would employ for the Fund, and a comparison of such performance to a relevant index; and (x) the financial condition of GMO.
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In addition, the Independent Trustees considered the presentations made by, and discussions 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 GMO. During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to GMO, including: the nature, extent, and quality of the services to be provided to the Fund by GMO; GMO’s management style and investment decision-making process; GMO’s historical performance record managing the investment mandate it would employ for the Fund; the qualifications and experience of the members of GMO’s portfolio management team; and GMO’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Fund, 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 from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to GMO, 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 GMO. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by GMO to the Fund. The Independent Trustees considered the specific investment management process that GMO would employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by GMO), the qualifications of GMO’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 GMO would be managing, and the performance record of GMO as compared to a relevant index. The Independent Trustees considered GMO’s infrastructure and resources, and whether GMO’s organization appeared to support GMO’s strategy adequately. The Independent Trustees also considered the Advisor’s review, selection, and due diligence process with respect to GMO, 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 GMO. The Independent Trustees determined that the Fund and its shareholders would benefit from the quality and experience of GMO’s portfolio managers and the qualifications of its investment professionals.
Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by GMO, as well as GMO’s ability to render such services based on GMO’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 GMO would manage.
(b) Comparison of the services to be rendered and fees to be paid to GMO under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees considered the services that would be rendered by GMO and evaluated the compensation to be paid to GMO by the Advisor for those services. The Independent Trustees noted that the services that GMO would furnish to the Fund appeared to be comparable to the services that GMO currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to GMO by the Advisor in light of the fees that were charged by GMO to its other advisory clients, as disclosed in the Form ADV, Part 2A (Firm Brochure) provided and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by GMO were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
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The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the January Meeting, in determining to recommend GMO 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 GMO for its services to the Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of GMO would indirectly be borne by the Fund and its shareholders. The Independent Trustees further considered that as a result of the appointment of GMO and the implementation of the New Emerging Markets Fund Structure, the Fund’s subadvisory fees would be reduced and that these cost savings would accrue to the Fund, given the Fee Waiver Agreement. Based on their discussion, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided, the proposed level of fees to be paid to GMO with respect to the assets of the Fund to be allocated to GMO was supported by the services that were expected to be provided by GMO to the Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to GMO from its relationship with the Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid to GMO by the Advisor on the Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to GMO were the result of arm’s-length bargaining between unaffiliated parties, the relevance of GMO’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of GMO was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Fund as a result of the Fee Waiver Agreement.
On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by GMO and the proposed fees to be paid to GMO by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to GMO 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 GMO to the Fund.
(c) Investment performance of the Fund and GMO. Because GMO was a newly proposed Subadvisor to the Fund, the Independent Trustees could not consider GMO’s investment performance in managing the Fund as a factor in evaluating the GMO Agreement. However, the Independent Trustees reviewed GMO’s historical performance record managing the investment mandate it would employ for the Fund as compared to a relevant index and concluded that GMO’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the GMO Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent 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 GMO be appointed as a Subadvisor to the Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for GMO was supported by the services that were expected to be provided to the Fund and approval of the GMO Agreement was in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the GMO Agreement.
Approval of a New Subadvisory Agreement for the Fund with BennBridge US LLC
At the January Meeting, the Trustees, including the Independent Trustees, also considered and approved the BennBridge US Agreement.
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In considering the approval of the BennBridge US Agreement, representatives of the Advisor explained that BennBridge US utilizes the services of its UK-based affiliate BennBridge Ltd. (“BennBridge UK”), through a participating affiliate arrangement in accordance with relevant SEC guidance that allows BennBridge UK to provide services and investment personnel to BennBridge US and pursuant to which these personnel of BennBridge UK are considered to be “associated persons” of BennBridge US for purposes of the Investment Advisers Act of 1940, as amended (the “Advisers Act”). The Independent Trustees further took into consideration that BennBridge UK in turn utilizes the services of certain personnel of UK-based investment firm Skerryvore Asset Management LLP (“Skerryvore”) pursuant to the terms of an appointed representative services agreement that has been entered into between BennBridge UK and Skerryvore under which certain personnel of Skerryvore have been assigned to work for BennBridge UK under the supervision of BennBridge UK, and these Skerryvore personnel are each deemed to be “supervised persons” of BennBridge US for purposes of the Advisers Act, including the portfolio managers.
The Independent Trustees considered the information and materials from the Advisor and BennBridge US that included, as to BennBridge US and the Fund: (i) the BennBridge US Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended BennBridge US for the Board’s approval, and the Advisor’s rationale for recommending that BennBridge US be appointed as a Subadvisor to the Fund; (iii) information describing the nature, extent, and quality of the services that BennBridge US proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of BennBridge US; (v) BennBridge US’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by BennBridge US for its services to the Fund, including as compared to the fees charged to another account that BennBridge US manages; (vii) the Advisor’s contractual agreement, which requires the Advisor to waive any portion of the management fee it is entitled to under the Management Agreement with respect to the Fund that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Fund’s subadvisors for the management of their allocated portions of the Fund (the “Fee Waiver Agreement”); (viii) a summary of the compliance program applicable to BennBridge US; (ix) information regarding the historical performance returns of BennBridge US (which is attributable to Skerryvore) in managing the investment mandate it would employ for the Fund, and a comparison of such performance to a relevant index; and (x) the financial condition of BennBridge US.
In addition, the Independent Trustees considered the presentations made by, and discussions 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 BennBridge US. During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to BennBridge US, including: the nature, extent, and quality of the services to be provided to the Fund by BennBridge US and by BennBridge UK, as a result of the use of the participating affiliate arrangement; BennBridge US’s management style and investment decision-making process; BennBridge US’s historical performance record (which is attributable to Skerryvore) managing the investment mandate it would employ for the Fund; the qualifications and experience of the members of BennBridge US’s portfolio management team; and BennBridge US’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Fund, 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 from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
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In particular, and as to BennBridge US, 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 BennBridge US. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by BennBridge US to the Fund. The Independent Trustees considered the specific investment management process that BennBridge US would employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by BennBridge US), the qualifications of BennBridge US’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 BennBridge US would be managing, and the performance record of BennBridge US as compared to a relevant index. The Independent Trustees considered BennBridge US’s infrastructure and resources, and whether BennBridge US’s organization appeared to support BennBridge US’s strategy adequately. The Independent Trustees also considered the Advisor’s review, selection, and due diligence process with respect to BennBridge US, 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 BennBridge US. The Independent Trustees determined that the Fund and its shareholders would benefit from the quality and experience of BennBridge US’s portfolio managers and the qualifications of its investment professionals.
Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by BennBridge US, as well as BennBridge US’s ability to render such services based on BennBridge US’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 BennBridge US would manage.
(b) Comparison of the services to be rendered and fees to be paid to BennBridge US under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees considered the services that would be rendered by BennBridge US and evaluated the compensation to be paid to BennBridge US by the Advisor for those services. The Independent Trustees noted that the services that BennBridge US would furnish to the Fund appeared to be comparable to the services that BennBridge US currently provides or will provide to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to BennBridge US by the Advisor in light of the fees that were charged by BennBridge US to its other advisory client having a similar investment strategy, as provided in its 15(c) Questionnaire responses. The Independent Trustees also considered that the fees agreed to by BennBridge US were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the January Meeting, in determining to recommend BennBridge US 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 BennBridge US for its services to the Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of BennBridge US would indirectly be borne by the Fund and its shareholders. The Independent Trustees further considered that as a result of the appointment of BennBridge US and the implementation of the New Emerging Markets Fund Structure, the Fund’s subadvisory fees would be reduced and that these cost savings would accrue to the Fund, given the Fee Waiver Agreement. Based on their discussion, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided, the proposed level of fees to be paid
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to BennBridge US with respect to the assets of the Fund to be allocated to BennBridge US was supported by the services that were expected to be provided by BennBridge US to the Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to BennBridge US from its relationship with the Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid to BennBridge US by the Advisor on the Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to BennBridge US were the result of arm’s-length bargaining between unaffiliated parties, the relevance of BennBridge US’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of BennBridge US was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Fund as a result of the Fee Waiver Agreement.
On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by BennBridge US and the proposed fees to be paid to BennBridge US by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to BennBridge US 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 BennBridge US to the Fund.
(c) Investment performance of the Fund and BennBridge US. Because BennBridge US was a newly proposed Subadvisor to the Fund, the Independent Trustees could not consider BennBridge US’s investment performance in managing the Fund as a factor in evaluating the BennBridge US Agreement. However, the Independent Trustees reviewed BennBridge US’s performance record (which is attributable to Skerryvore) managing the investment mandate it would employ for the Fund as compared to a relevant index and concluded that BennBridge US’s performance record (which is attributable to Skerryvore), viewed together with the other factors considered by the Independent Trustees, supported a decision to approve BennBridge US Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent 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 BennBridge US be appointed as a Subadvisor to the Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for BennBridge US was supported by the services that were expected to be provided to the Fund and approval of the BennBridge US Agreement was in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the BennBridge US Agreement.
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Mercer US Large Cap Equity Fund
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
(the “Cash Equitization Funds”)
Approval of a New Subadvisory Agreement for each of the Cash Equitization Funds with Parametric Portfolio Associates LLC Effective Upon the Closing of the Transaction Involving the Acquisition of Eaton Vance Corp. by Morgan Stanley
At the January Meeting, the Advisor also recommended, and the Board of Trustees, including the Independent Trustees, considered and approved, with respect to each of the Cash Equitization Funds, a proposed new subadvisory agreement (the “New Parametric Subadvisory Agreement”) to be entered into by the Advisor and Parametric Portfolio Associates LLC (“Parametric”) to replace the previous subadvisory agreement (the “Prior Parametric Subadvisory Agreement”) that was deemed to be terminated effective upon the closing of the transaction involving the acquisition of Parametric’s corporate parent Eaton Vance Corp. by Morgan Stanley (the “Morgan Stanley Transaction”). The Morgan Stanley Transaction was successfully completed and closed effective as of March 1, 2021, and as of that date Parametric became a subsidiary of Morgan Stanley.
In considering the approval of the New Parametric Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor and Parametric that included, as to Parametric and each of the Cash Equitization Funds: (i) the New Parametric Subadvisory Agreement; (ii) information regarding the review and due diligence process by which the Advisor had initially selected, monitored, and evaluated Parametric, and recommended Parametric for Board approval, and the Advisor’s rationale for recommending the continued retention of Parametric following the closing of the Morgan Stanley Transaction; (iii) information describing the nature, extent, and quality of the services that Parametric provided to the Cash Equitization Funds, and the fees that Parametric charged for these services; (iv) the Advisor’s contractual agreement, which requires the Advisor to waive any portion of the management fee it is entitled to under the Management Agreement with respect to each of the Cash Equitization Funds that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to each Fund’s subadvisors for the management of their allocated portions of each of the Cash Equitization Funds (the “Fee Waiver Agreement”); (v) information regarding Parametric’s business and operations, financial condition, portfolio management team, and compliance program, and the effect that the Morgan Transaction may have on Parametric’s business and operations; (vi) information regarding Parametric’s brokerage and trading policies and practices; (vii) Parametric’s performance in managing its allocated portion of each of the Cash Equitization Funds’ investment portfolios; (viii) a comparison of Parametric’s performance returns for its allocated portion of each of the Cash Equitization Funds to each Cash Equitization Fund’s relevant index; and (ix) the Advisor’s detailed monitoring and reporting of Parametric’s performance on qualitative and quantitative factors.
In addition, the Independent Trustees considered their discussions with representatives of the Advisor regarding Parametric and the Morgan Stanley Transaction. The Independent Trustees considered and analyzed the factors that the Independent Trustees deemed relevant with respect to Parametric, including: the nature, extent, and quality of the services to be provided to each of the Cash Equitization Funds by Parametric following the consummation of the Morgan Stanley Transaction; Parametric’s
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investment management style and investment decision-making process; Parametric’s historical performance record managing its allocated portion of each Cash Equitization Fund’s portfolio, the qualifications and experience of the employees at Parametric who were responsible for the day-to-day management of the allocated portion of each of the Cash Equitization Funds; and Parametric’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the other Subadvisors to the Funds, 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 from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to each of the Cash Equitization Funds and to Parametric, the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the advisory services to be provided by Parametric. The Independent Trustees reviewed the nature, extent, and quality of the advisory services that Parametric had provided to each of the Cash Equitization Funds under the Prior Parametric Subadvisory Agreement and that are proposed to be provided by Parametric under the New Parametric Subadvisory Agreement. The Independent Trustees considered, as to Parametric: (i) its organization, history, reputation, qualification and background, as well as the qualifications of its personnel; (ii) its expertise in providing portfolio management services to each of the Cash Equitization Funds and the performance history of each of the Cash Equitization Funds; (iii) its investment strategy for the Cash Equitization Funds; (iv) its performance relative to comparable mutual funds and unmanaged indices; and (v) its compliance program. The Independent 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 by Parametric to each of the Cash Equitization Funds after consummation of the Morgan Stanley Transaction. The Independent Trustees also noted that the executive and portfolio management teams of Parametric were expected to stay in place after consummation of the Morgan Stanley Transaction. The Independent Trustees concluded that each of the Cash Equitization Funds and their shareholders would continue to benefit from the quality and experience of Parametric’s investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services provided by Parametric under the Prior Parametric Subadvisory Agreement, as well as Parametric’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for each of the Cash Equitization Funds in light of each such Fund’s investment objective, and supported a decision to approve the New Parametric Subadvisory Agreement.
(b) Comparison of the services to be rendered and fees to be paid to Parametric under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees considered the services that would be rendered by Parametric and evaluated the compensation to be paid to Parametric by the Advisor for those services. The Independent Trustees considered the fees payable under the New Parametric Subadvisory Agreement. The Independent Trustees took account of the Advisor’s reasons for concluding that the compensation payable to Parametric for its proposed services to each of the Cash Equitization Funds was reasonable in light of the nature and quality of the services furnished to the Cash Equitization Funds, and the Advisor’s recommendation that Parametric continue following the Morgan Stanley Transaction, particularly in light of the fact that Parametric’s fees would indirectly be borne by each of the Cash Equitization Funds and their shareholders as a result of the Fee Waiver Agreement. The Independent Trustees considered the expected impact of the subadvisory fees on each Cash Equitization Fund’s overall operating expenses, given the Fee Waiver Agreement. The Independent Trustees also took note of the Advisor’s explanation that the Advisor was not realizing a direct profit
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from the investment advisory services it provides to the Cash Equitization Funds as a result of the subadvisory fee arrangements and the Fee Waiver Agreement. The Independent Trustees concluded that the proposed level of fees to be paid to Parametric by the Advisor with respect to the assets allocated to Parametric was supported by the services that were expected to be provided by Parametric. The Independent Trustees noted that the services that Parametric would furnish to the Cash Equitization Funds appeared to be comparable to the services that Parametric currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered that the fees agreed to by Parametric were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor in determining to recommend that Parametric continue to serve as a subadvisor to each of the Cash Equitization Funds, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Parametric for its services to each of the Cash Equitization Funds were reasonable.
The Independent 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 Parametric was supported by the services that were expected to be provided by Parametric. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Parametric from its relationship with the Cash Equitization Funds and concluded that they were reasonable. Since the fees to be paid to Parametric were the result of arm’s length bargaining between unaffiliated parties, the potential profitability of Parametric was not considered relevant to the Independent Trustees’ deliberations. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by Parametric and the proposed fees to be paid to Parametric by the Advisor for managing its allocated portion of each of the Cash Equitization Funds, the potential benefits accruing to Parametric as a result of serving as a subadvisor were reasonable in relation to the services that were expected to be provided by Parametric to the Cash Equitization Funds.
(c) Investment performance of the Cash Equitization Funds and Parametric. The Independent Trustees considered whether Parametric operated within each respective Cash Equitization Fund’s investment objective and style, and considered Parametric’s record of compliance with each Cash Equitization Fund’s relevant investment restrictions. The Independent Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of Parametric supported the approval of the New Parametric Subadvisory Agreement.
Conclusion. Following full consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Independent Trustees. Based on these factors, along with the determinations of the Advisor at the conclusion of its review and due diligence process and such other matters as were deemed relevant, the Independent Trustees concluded that the fee rate for Parametric continued to be supported by the services that are to be provided after the closing of the Morgan Stanley Transaction by Parametric to each of the Cash Equitization Funds. As a result, the Independent Trustees concluded that the approval of the New Parametric Subadvisory Agreement was in the best interests of each of the Cash Equitization Funds and their shareholders and the Board, including a majority of the Independent Trustees, determined to approve the New Parametric Subadvisory Agreement.
The March Meeting
Mercer Global Low Volatility Equity Fund
Approval of a New Subadvisory Agreement for the Fund with Ninety One LLC
At the March Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and Ninety One North America, Inc.
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(“Ninety One”) on behalf of the Mercer Global Low Volatility Equity Fund (the “Fund”) (the “Ninety One Agreement”).
In considering the approval of the Ninety One Agreement, the Independent Trustees considered the information and materials from the Advisor and Ninety One that included, as to Ninety One and the Fund: (i) the Ninety One Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Ninety One for the Board’s approval, and the Advisor’s rationale for recommending that Ninety One be appointed as a Subadvisor to the Fund; (iii) information describing the nature, extent, and quality of the services that Ninety One proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Ninety One; (v) Ninety One’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Ninety One for its services to the Fund, and the fees charged to other accounts that Ninety One manages; (vii) the Advisor’s contractual agreement, which requires the Advisor to waive any portion of the management fee it is entitled to under the Management Agreement with respect to the Fund that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Fund’s sub advisors for the management of their allocated portions of the Fund (the “Fee Waiver Agreement”); (viii) a summary of the compliance program applicable to Ninety One; (ix) information regarding the historical performance returns of Ninety One in managing the investment mandate it would employ for the Fund, and a comparison of such performance to a relevant index; and (x) the financial condition of Ninety One.
In addition, the Independent Trustees considered the presentations made by, and discussions 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 Ninety One. During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to Ninety One, including: the nature, extent, and quality of the services to be provided to the Fund by Ninety One; Ninety One’s management style and investment decision-making process; Ninety One’s historical performance record managing the investment mandate it would employ for the Fund; the qualifications and experience of the members of Ninety One’s portfolio management team; and Ninety One’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Fund, 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 from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to Ninety One, 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 Ninety One. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Ninety One to the Fund. The Independent Trustees considered the specific investment management process that Ninety One would employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by Ninety One), the qualifications of Ninety One’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 Ninety One would be managing, and the performance record of Ninety One as compared to a relevant index. The Independent Trustees considered Ninety One’s infrastructure and resources, and whether Ninety One’s organization appeared to support Ninety One’s strategy adequately. The Independent Trustees also considered the Advisor’s
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review, selection, and due diligence process with respect to Ninety One, 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 Ninety One. The Independent Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Ninety One’s portfolio managers and the qualifications of its investment professionals.
Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Ninety One, as well as Ninety One’s ability to render such services based on Ninety One’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 Ninety One would manage.
(b) Comparison of the services to be rendered and fees to be paid to Ninety One under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees considered the services that would be rendered by Ninety One and evaluated the compensation to be paid to Ninety One by the Advisor for those services. The Independent Trustees noted that the services that Ninety One would furnish to the Fund appeared to be comparable to the services that Ninety One currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Ninety One by the Advisor in light of the fees that were charged by Ninety One to its other advisory clients, as disclosed in the Form ADV, Part 2A (Firm Brochure) provided and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by Ninety One were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the March Meeting, in determining to recommend Ninety One 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 Ninety One for its services to the Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of Ninety One would indirectly be borne by the Fund and its shareholders. Based on their discussion, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided, the proposed level of fees to be paid to Ninety One with respect to the assets of the Fund to be allocated to Ninety One was supported by the services that were expected to be provided by Ninety One to the Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Ninety One from its relationship with the Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid to Ninety One by the Advisor on the Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to Ninety One were the result of arm’s-length bargaining between unaffiliated parties, the relevance of Ninety One’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of Ninety One was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Fund as a result of the Fee Waiver Agreement.
On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by Ninety One and the proposed fees to be paid to Ninety One by the Advisor for managing its allocated portion of the Fund, the potential benefits
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accruing to Ninety One 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 Ninety One to the Fund.
(c) Investment performance of the Fund and Ninety One. Because Ninety One was a newly proposed Subadvisor to the Fund, the Independent Trustees could not consider Ninety One’s investment performance in managing the Fund as a factor in evaluating the Ninety One Agreement. However, the Independent Trustees reviewed Ninety One’s historical performance record managing the investment mandate it would employ for the Fund as compared to a relevant index and concluded that Ninety One’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Ninety One Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent 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 Ninety One be appointed as a Subadvisor to the Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Ninety One was supported by the services that were expected to be provided to the Fund and approval of the Ninety One Agreement was in the best interests of the Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the Ninety One Agreement.
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Discussion of the Operation and Effectiveness of the Funds’
Liquidity Risk Management Program
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), the Funds have adopted and implemented a liquidity risk management program (the “Program”) which Mercer Investments LLC, the investment advisor to the Funds (the “Advisor”), believes is reasonably designed to assess and manage each Fund’s liquidity risk. The Board has designated the Advisor to serve as the administrator of the Program pursuant to the Liquidity Rule. The Advisor has established a Liquidity Risk Committee which is appointed to carry out day-to-day responsibilities under the Program. The Liquidity Risk Committee is comprised of representatives from various departments at the Advisor.
At a meeting of the Board held on March 30-31, 2021, the Advisor provided the Board with a written report addressing the Program’s operation, adequacy and effectiveness of implementation for the period from January 1, 2020 through December 31, 2020 (the “Review Period”). The report noted that the Advisor has concluded that the Program is reasonably designed and adequate to assess and manage each Fund’s liquidity risk, as such term is defined in the Liquidity Rule. In light of its experiences administering the Program during the Review Period, the Advisor has concluded that the Program has been implemented and operated effectively to assess and manage each Fund’s liquidity risk and further believes that the Program has been and continues to be adequately and effectively implemented to monitor and, as applicable, respond to the Funds’ liquidity developments. Additionally, the report noted that no material changes to the Program have occurred during the Review Period or are contemplated. The report also noted that the Liquidity Risk Committee believes that each Fund’s liquidity risk remains within appropriate parameters and that each Fund’s investment strategy is appropriate for an open-end mutual fund. The report further reflected that there were no liquidity events that impacted the Funds’ ability to timely meet redemptions without significant dilution to existing shareholders.
The Liquidity Rule and the Program also require the Funds to classify each portfolio investment into one of four liquidity categories. The Advisor has engaged an independent third-party vendor, which includes the use of that vendor’s proprietary liquidity analytical tool, to assist the Funds in classifying portfolio investments, based on inputs and assumptions adopted by the Liquidity Risk Committee in its reasonable judgment. In classifying portfolio investments, the Liquidity Risk Committee takes into account relevant market, trading and investment-specific considerations as well as the reasonably anticipated trade size of each portfolio investment.
The Liquidity Rule requires funds that do not primarily hold assets that are highly liquid investments to adopt a minimum amount of net assets that must be invested in highly liquid investments that are assets (an “HLIM”). The Liquidity Rule also prohibits the acquisition of illiquid investments if doing so would result in a fund holding more than 15% of its net assets in illiquid investments that are assets. The Program includes provisions reasonably designed to determine, periodically review and comply with the HLIM requirement, as applicable, and to comply with the 15% limit on illiquid investments.
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Mercer Funds
Understanding Your Fund’s Expenses (Unaudited)
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2020 through March 31, 2021. 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 | 0.29 | % | 1,000.00 | 1,227.80 | 1,113.90 | 1.61 | ||||||||||||||
Hypothetical | 0.29 | % | 1,000.00 | 1,023.49 | 1,011.75 | 1.46 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.29%, multiplied by the average account value over the period, multiplied by 182/365. |
Small/Mid Cap — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.46 | % | 1,000.00 | 1,370.80 | 1,185.40 | 2.72 | ||||||||||||||
Hypothetical | 0.46 | % | 1,000.00 | 1,022.64 | 1,011.32 | 2.32 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.46%, multiplied by the average account value over the period, multiplied by 182/365. |
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Mercer Funds
Understanding Your Fund’s Expenses (Unaudited) (Continued)
Non-US Core Equity — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.37 | % | 1,000.00 | 1,197.20 | 1,098.60 | 2.03 | ||||||||||||||
Hypothetical | 0.37 | % | 1,000.00 | 1,023.09 | 1,011.55 | 1.87 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.37%, multiplied by the average account value over the period, multiplied by 182/365. |
Core Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.14 | % | 1,000.00 | 983.20 | 991.60 | 0.69 | ||||||||||||||
Hypothetical | 0.14 | % | 1,000.00 | 1,024.23 | 1,012.12 | 0.71 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.14%, multiplied by the average account value over the period, multiplied by 182/365. |
Opportunistic Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.45 | % | 1,000.00 | 1,039.60 | 1,019.80 | 2.29 | ||||||||||||||
Hypothetical | 0.45 | % | 1,000.00 | 1,022.69 | 1,011.35 | 2.27 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.45%, multiplied by the average account value over the period, multiplied by 182/365. |
Emerging Markets — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.45 | % | 1,000.00 | 1,232.20 | 1,116.10 | 2.50 | ||||||||||||||
Hypothetical | 0.45 | % | 1,000.00 | 1,022.69 | 1,011.35 | 2.27 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.45%, multiplied by the average account value over the period, multiplied by 182/365. |
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Mercer Funds
Understanding Your Fund’s Expenses (Unaudited) (Continued)
Global Low Volatility — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.29 | % | 1,000.00 | 1,117.90 | 1,058.95 | 1.53 | ||||||||||||||
Hypothetical | 0.29 | % | 1,000.00 | 1,023.49 | 1,011.75 | 1.46 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.29%, multiplied by the average account value over the period, multiplied by 182/365. |
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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 (77) | Trustee | 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 99 High Street Boston, MA 02110 (63) | Chairperson and Trustee | Chairperson since 2018; Trustee since 2005 | Ms. Cepeda was Managing Director of PFM Financial Advisors LLC (a financial advisory firm) from September 2016 to December 2019. 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); Morgan Stanley Pathway Funds (11 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). | ||||||||
Gail A. Schneider 99 High Street Boston, MA 02110 (72) | Trustee | Trustee since 2009 | Ms. Schneider is a self-employed consultant since 2007. Ms. Schneider was previously an Executive Vice President at JPMorgan Chase & Co. | 7 | None |
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Mercer Funds
Trustees and Officers (Unaudited) (Continued)
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Luis A. Ubiñas 99 High Street Boston, MA 02110 (58) | Trustee | Trustee since 2019 | Mr. Ubiñas is retired. Mr. Ubiñas previously served as President of the Ford Foundation (a not-for profit organization) from 2008 to 2013 and prior to that he served as a Senior Partner for McKinsey & Company (a global consulting firm). | 7 | Mr. Ubiñas is a Director of: Electronic Arts, Inc., Boston Private Financial Holdings, Inc., and Tanger Factory Outlet Centers, Inc. | ||||||||
Joan E. Steel 99 High Street Boston, MA 02110 (67) | Trustee | Trustee since January 2020 | Ms. Steel is the Founder and Chief Executive Officer of Alpha Wealth Advisors LLC since September 2009. Prior to founding her own firm, Ms. Steel was a Senior Vice President, Private Wealth Advisor for the Capital Group, a large global asset manager. | 7 | Ms. Steel was an independent director of The Hershey Trust Company from 2012 to 2016. |
Interested Trustee:
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Richard S. Joseph** (56) | Trustee, President, and Chief Executive Officer | Since 2016 | Mr. Joseph is Vice President and Head of the US Mercer Delegated Solutions of Mercer Investments LLC since December 2015. Prior to December 2015, he was Chief Operating Officer of Mercer Investments LLC. | 7 | Mr. Joseph is a trustee of Mercer Trust Company LLC and was a director of Mercer Investments LLC from January 2017 to March 2019. |
(1) | Each Trustee holds office for an indefinite term. |
* | The “Fund Complex” consists of the Trust, which has seven portfolios. |
** | Mr. Joseph 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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Mercer Funds
Trustees and Officers (Unaudited) (Continued)
Officers:
The executive officers of the Trust not named above are:
Name and Age | Position(s) | Term of | Principal Occupation(s) During Past 5 Years | |||
Stephen Gouthro (53) | Vice President, Treasurer and Chief Financial Officer | Since 2018 | Mr. Gouthro is a partner at Mercer and U.S. Chief Operating Officer for Mercer’s U.S. Business Solutions Group. Mr. Gouthro joined Mercer in 2018. Prior to joining Mercer, Mr. Gouthro was at Putnam Investments in various leadership roles in Operations, Technology, and Investments. | |||
Jeff Coleman (51) | Vice President and Assistant Treasurer | Since 2019 | Mr. Coleman is Head of Investment Operations at Mercer Investments LLC since 2019. Prior to joining Mercer, Mr. Coleman was a Vice President at Fidelity Investments from 2016 to 2018 and a Managing Director, Fund Chief Financial Officer at BofA Global Capital Management from 2010 to 2016. | |||
Carol Ann McMahon (49) | Vice President and Assistant Treasurer | Since 2017 | Ms. McMahon is a Partner and Global COO for Wealth Global Business Solutions since 2016 and US COO in January 2017. Prior to 2016, Ms. McMahon held the position of European COO since 2006. | |||
Stan Mavromates (60) | Vice President and Chief Investment Officer | Since 2012 | Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investments LLC since 2012. | |||
Colin Dean (44) | Vice President, Chief Legal Officer, and Secretary | Since 2017 | Mr. Dean is Global Chief Counsel Investments since 2018. He has also served as Senior Legal Counsel — Investments for Mercer Investments LLC from 2010 to 2018. | |||
Caroline Hulme (35) | Vice President and Assistant Secretary | Since 2017 | Ms. Hulme is Senior Legal Counsel, Investments since 2018. She served as Legal Counsel — Investments for Mercer Investments LLC from 2014 to 2018. Prior to 2014, she was an Associate in the investment management practice group of Bingham McCutchen LLP. | |||
Larry Vasquez (53) | Vice President | Since 2012 | Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investments LLC since 2012. | |||
Jennifer Reiche (50) | Chief Compliance Officer | Since 2019 | Ms. Reiche is the Chief Compliance Officer of Mercer Trust Company LLC since July 2019. Ms. Reiche served as Chief Compliance Officer of Mercer Investments LLC from July 2019 to April 2020. She served as US Compliance Leader, Mercer Investments from January 2017 to April 2020. Ms. Reiche served as Chief Compliance Officer for Century Capital Management LLC and Century Funds (June 2014 — January 2017). |
† | Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board. |
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Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.
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Item 2. Code of Ethics.
As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to its President, Chief Financial Officer and Chief Investment Officer. During the period covered by this report, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 13(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial experts serving on the Registrant’s audit committee are Harrison M. Bains, Jr. and Adela Cepeda, who are both “independent” as defined in Item 3(a)(2) of this Form.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees – The aggregate fee billed for the fiscal year for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements was $410,300 and $379,500 for the fiscal years ended March 31, 2020 and March 31, 2021, respectively.
(b) Audit-Related Fees – There were no fees billed for the fiscal years ended March 31, 2020 and March 31, 2021 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.
(c) Tax Fees – The aggregate fee billed in the last fiscal year for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations was $69,300 and $69,300 for the fiscal years ended March 31, 2020 and March 31, 2021, respectively. Fees in the amount of $65,163 and $123,144 were billed in the fiscal years ended March 31, 2020 and March 31, 2021, respectively for review of non-US capital gains and the preparation and filing of return of income for the Mercer Non-US Core Equity Fund and the Mercer Emerging Markets Equity Fund.
(d) All Other Fees – Fees in the amount of $103,333 and $54,833 were billed in the fiscal year ended March 31, 2020 and March 31, 2021, respectively for tax advisory services related to the reclamation of taxes paid by the Mercer Non-US Core Equity Fund and the Mercer Global Low Volatility Equity Fund in certain European Union countries.
(e) (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services.
(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended March 31, 2021 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | There were no aggregate fees billed for the fiscal year ended March 31, 2021 by the Registrant’s principal accountant for non-audit services rendered to the Registrant, its investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
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Item 6. Schedule of Investments.
The Registrant’s full schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form.
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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(3) Not applicable.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Mercer Funds |
By (Signature and Title) | /S/ Richard Joseph | |||
Richard Joseph President and Chief Executive Officer (Principal Executive Officer) | ||||
Date May 21, 2021 |
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) | /S/ Richard Joseph | |||
Richard Joseph President and Chief Executive Officer (Principal Executive Officer) | ||||
Date May 21, 2021 | ||||
By (Signature and Title) | /S/ Stephen Gouthro | |||
Stephen Gouthro Vice President, Treasurer and Chief Financial Officer (Principal Financial Officer) | ||||
Date May 21, 2021 |