Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 94.8% |
| |||||||||
Asset Backed Securities — 3.4% | ||||||||||
250,000 | 522 Funding CLO I, Ltd., Series 2019-1A, Class E, 8.89% (3 mo. USD LIBOR plus 7.34%), due 01/15/33(b) 144A | 236,380 | ||||||||
1,090,000 | Aegis Asset Backed Securities Trust, Series 2005-5, Class M1, 0.61% (1 mo. USD LIBOR plus 0.43%), due 12/25/35(b) | 1,003,789 | ||||||||
500,000 | Allegro CLO XI Ltd., Series 2019-2A, Class A1A, 3.23% (3 mo. USD LIBOR plus 1.39%), due 01/19/33(b) 144A | 492,041 | ||||||||
250,000 | AMMC CLO, Ltd., Series 2017-20A, Class D, 4.53% (3 mo. USD LIBOR plus 3.40%), due 04/17/29(b) 144A | 237,093 | ||||||||
397,044 | Apex Credit CLO, Ltd., Series 2017-1A, Class A1, 2.49% (3 mo. USD LIBOR plus 1.47%), due 04/24/29(b) 144A | 390,457 | ||||||||
420,000 | Apidos CLO XXII, Series 2015-22A, Class DR, 7.89% (3 mo. USD LIBOR plus 6.75%), due 04/20/31(b) 144A | 387,691 | ||||||||
965,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.19%, due 06/07/49 144A | 856,515 | ||||||||
400,000 | Ares LII CLO, Ltd., Series 2019-52A, Class D, 5.05% (3 mo. USD LIBOR plus 3.95%), due 04/22/31(b) 144A | 392,742 | ||||||||
300,000 | Ares XLI CLO, Ltd., Series 2016-41A, Class D, 5.42% (3 mo. USD LIBOR plus 4.20%), due 01/15/29(b) 144A | 295,678 | ||||||||
500,000 | Ares XXXIIR CLO, Ltd., Series 2014-32RA, Class C, 3.29% (3 mo. USD LIBOR plus 2.90%), due 05/15/30(b) 144A | 457,469 | ||||||||
1,290,000 | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE5, Class M1, 0.46% (1 mo. USD LIBOR plus 0.28%), due 07/25/36(b) | 932,205 | ||||||||
714,487 | Asset Backed Securities Corp. Home Equity Loan Trust Series RFC, Series 2007-HE1, Class A4, 0.32% (1 mo. USD LIBOR plus 0.14%), due 12/25/36(b) | 662,354 | ||||||||
410,000 | Avery Point VI CLO, Ltd., Series 2015-6A, Class DR, 3.49% (3 mo. USD LIBOR plus 2.95%), due 08/05/27(b) 144A | 383,523 | ||||||||
545,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.07%, due 09/20/23 144A | 547,646 | ||||||||
500,000 | Barings CLO, Ltd., Series 2013-IA, Class CR, 2.64%, due 01/20/28(c) 144A | 488,138 | ||||||||
250,000 | Benefit Street Partners CLO IV, Ltd., Series 2014-IVA, Class CRR, 4.94% (3 mo. USD LIBOR plus 3.80%), due 01/20/29(b) 144A | 235,356 | ||||||||
250,000 | Benefit Street Partners CLO XII, Ltd., Series 2017-12A, Class C, 4.27% (3 mo. USD LIBOR plus 3.05%), due 10/15/30(b) 144A | 224,566 | ||||||||
700,000 | BlueMountain CLO XXII, Ltd., Series 2018-22A, Class A1, 2.30% (3 mo. USD LIBOR plus 1.08%), due 07/15/31(b) 144A | 682,780 | ||||||||
650,000 | BlueMountain CLO, Ltd., Series 2012-2A, Class AR2, 1.43% (3 mo. USD LIBOR plus 1.05%), due 11/20/28(b) 144A | 640,420 | ||||||||
336,313 | BlueMountain CLO, Ltd., Series 2015-1A, Class A1R, 2.64% (3 mo. USD LIBOR plus 1.33%), due 04/13/27(b) 144A | 335,968 | ||||||||
696,171 | BMW Vehicle Lease Trust, Series 2018-1, Class A3, 3.26%, due 07/20/21 | 701,527 | ||||||||
250,000 | Bristol Park CLO, Ltd., Series 2016-1A, Class ER, 8.22% (3 mo. USD LIBOR plus 7.00%), due 04/15/29(b) 144A | 228,832 | ||||||||
385,000 | California Republic Auto Receivables Trust, Series 2018-1, Class C, 3.87%, due 10/16/23 | 394,728 | ||||||||
250,000 | California Street CLO IX, LP, Series 2012-9A, Class AR2, 3.16% (3 mo. USD LIBOR plus 1.32%), due 07/16/32(b) 144A | 244,250 | ||||||||
600,000 | Canyon CLO, Ltd., Series 2020-1A, Class B, 3.15% (3 mo. USD LIBOR plus 2.75%), due 07/15/28(b) 144A | 602,492 |
See accompanying Notes to the Schedule of Investments.
87
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
650,519 | Carlyle Global Market Strategies CLO, Ltd., Series 2014-2RA, Class A1, 1.44% (3 mo. USD LIBOR plus 1.05%), due 05/15/31(b) 144A | 634,057 | ||||||||
600,000 | Catskill Park CLO, Ltd., Series 2017-1A, Class D, 7.14% (3 mo. USD LIBOR plus 6.00%), due 04/20/29(b) 144A | 536,565 | ||||||||
200,000 | CCG Receivables Trust, Series 2018-1, Class C, 3.42%, due 06/16/25 144A | 201,393 | ||||||||
330,000 | Cent CLO 24, Ltd., Series 2015-24A, Class CR, 4.37% (3 mo. USD LIBOR plus 3.15%), due 10/15/26(b) 144A | 308,836 | ||||||||
601,400 | Coinstar Funding LLC, Series 2017-1A, Class A2, 5.22%, due 04/25/47 144A | 576,861 | ||||||||
250,000 | Cumberland Park CLO, Ltd., Series 2015-2A, Class ER, 6.79% (3 mo. USD LIBOR plus 5.65%), due 07/20/28(b) 144A | 224,038 | ||||||||
205,558 | Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.53%, due 01/21/31 144A | 193,238 | ||||||||
400,000 | Dryden 72 CLO, Ltd., Series 2019-72A, Class D, 4.09%, due 05/15/32(c) 144A | 378,520 | ||||||||
486,800 | Dryden CLO XXV Senior Loan Fund, Series 2012-25A, Class ARR, 2.12% (3 mo. USD LIBOR plus 0.90%), due 10/15/27(b) 144A | 482,152 | ||||||||
650,000 | DT Auto Owner Trust, Series 2018-2A, Class D, 4.15%, due 03/15/24 144A | 664,823 | ||||||||
581,028 | Falcon Aerospace, Ltd., Series 2017-1, Class A, 4.58%, due 02/15/42 144A | 540,797 | ||||||||
600,000 | FBR Securitization Trust, Series 2005-2, Class M4, 1.11% (1 mo. USD LIBOR plus 0.93%), due 09/25/35(b) | 319,071 | ||||||||
1,360,530 | First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M1, 0.63% (1 mo. USD LIBOR plus 0.45%), due 11/25/36(b) | 1,351,423 | ||||||||
225,000 | First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.35%, due 11/15/22 144A | 227,680 | ||||||||
260,000 | Flatiron CLO, Ltd., Series 2017-1A, Class A, 1.64% (3 mo. USD LIBOR plus 1.25%), due 05/15/30(b) 144A | 256,124 | ||||||||
250,000 | Golub Capital Partners CLO, Ltd., Series 2020-49A, Class A1, 2.78% (3 mo. USD LIBOR plus 2.50%), due 07/20/32(b) (d) 144A | 250,000 | ||||||||
400,000 | Golub Capital Partners CLO, Ltd., Series 2020-49A, Class B, 3.48% (3 mo. USD LIBOR plus 3.20%), due 07/20/32(b) (d) 144A | 400,000 | ||||||||
250,000 | Greenwood Park CLO, Ltd., Series 2018-1A, Class E, 6.17% (3 mo. USD LIBOR plus 4.95%), due 04/15/31(b) 144A | 208,144 | ||||||||
250,000 | Greywolf CLO IV, Ltd., Series 2019-1A, Class C, 5.08% (3 mo. USD LIBOR plus 3.95%), due 04/17/30(b) 144A | 241,341 | ||||||||
700,000 | Greywolf CLO V, Ltd., Series 2015-1A, Class A1R, 2.15% (3 mo. USD LIBOR plus 1.16%), due 01/27/31(b) 144A | 685,186 | ||||||||
350,649 | GSAA Home Equity Trust, Series 2007-7, Class A4, 0.45% (1 mo. USD LIBOR plus 0.27%), due 07/25/37(b) | 336,387 | ||||||||
290,000 | Halsey Point CLO I, Ltd., Series 2019-1A, Class F, 10.11% (3 mo. USD LIBOR plus 8.20%), due 01/20/33(b) 144A | 172,147 | ||||||||
499,932 | Invitation Homes Trust, Series 2018-SFR1, Class E, 2.19% (1 mo. USD LIBOR plus 2.00%), due 03/17/37(b) 144A | 486,163 | ||||||||
383,046 | KeyCorp Student Loan Trust, Series 2005-A, Class 2C, 1.61% (3 mo. USD LIBOR plus 1.30%), due 12/27/38(b) | 352,655 | ||||||||
400,000 | KKR CLO 14, Ltd., Series 14, Class BR, 3.02%, due 07/15/31(c) 144A | 379,730 | ||||||||
500,000 | LCM CLO XIV, LP, Series 14A, Class AR, 2.18% (3 mo. USD LIBOR plus 1.04%), due 07/20/31(b) 144A | 485,048 | ||||||||
950,000 | LCM CLO XVIII, LP, Series 19A, Class AR, 2.46% (3 mo. USD LIBOR plus 1.24%), due 07/15/27(b) 144A | 939,313 | ||||||||
250,000 | LCM CLO XXII, Ltd., Series 22A, Class DR, 6.64% (3 mo. USD LIBOR plus 5.50%), due 10/20/28(b) 144A | 183,288 |
See accompanying Notes to the Schedule of Investments.
88
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
289,387 | Legacy Mortgage Asset Trust, Series 2019-GS1, Class A1, 4.00%, due 01/25/59(e) 144A | 296,816 | ||||||||
994,975 | Magnolia Financial X DAC, Series 2020-1, 2.09%, due 08/13/24(f) (g) | 915,377 | ||||||||
211,193 | MAPS, Ltd., Series 2018-1A, Class A, 4.21%, due 05/15/43 144A | 186,716 | ||||||||
211,550 | MAPS, Ltd., Series 2018-1A, Class B, 5.19%, due 05/15/43 144A | 127,017 | ||||||||
250,000 | Marathon CLO 14, Ltd., Series 2019-2A, Class BA, 5.20% (3 mo. USD LIBOR plus 3.30%), due 01/20/33(b) 144A | 232,296 | ||||||||
1,170,664 | Mill City Solar Loan, Ltd., Series 2019-1A, Class A, 4.34%, due 03/20/43 144A | 1,224,095 | ||||||||
575,000 | Navient Private Education Refi Student Loan Trust, Series 2018-CA, Class B, 4.22%, due 06/16/42 144A | 598,881 | ||||||||
200,000 | Navient Private Education Refi Student Loan Trust, Series 2020-A, Class B, 3.16%, due 11/15/68 144A | 199,688 | ||||||||
250,000 | Oaktree CLO, Ltd., Series 2015-1A, Class DR, 6.34% (3 mo. USD LIBOR plus 5.20%), due 10/20/27(b) 144A | 186,228 | ||||||||
250,000 | Oaktree CLO, Ltd., Series 2019-1A, Class D, 4.90% (3 mo. USD LIBOR plus 3.80%), due 04/22/30(b) 144A | 224,727 | ||||||||
575,000 | Octagon Investment Partners 35 CLO, Ltd., Series 2018-1A, Class C, 3.74% (3 mo. USD LIBOR plus 2.60%), due 01/20/31(b) 144A | 513,838 | ||||||||
250,000 | OHA Loan Funding CLO, Ltd., Series 2015-1A, Class DR2, 4.39% (3 mo. USD LIBOR plus 4.00%), due 11/15/32(b) 144A | 245,542 | ||||||||
280,000 | Onemain Financial Issuance Trust, Series 2018-1A, Class D, 4.08%, due 03/14/29 144A | 264,280 | ||||||||
250,000 | Owl Rock CLO, Ltd., Series 2020-3A, Class A1L, 2.97% (3 mo. USD LIBOR plus 1.80%), due 04/20/32(b) 144A | 238,399 | ||||||||
250,000 | Parallel CLO, Ltd., Series 2017-1A, Class CR, 3.14% (3 mo. USD LIBOR plus 2.00%), due 07/20/29(b) 144A | 232,802 | ||||||||
702,488 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.67%, due 09/05/48 144A | 683,540 | ||||||||
250,000 | PPM CLO 3, Ltd., Series 2019-3A, Class A, 2.53% (3 mo. USD LIBOR plus 1.40%), due 07/17/30(b) 144A | 244,648 | ||||||||
277,279 | PRPM LLC, Series 2019-4A, Class A1, 3.35%, due 11/25/24(e) 144A | 278,698 | ||||||||
167,706 | Recette CLO, Ltd., Series 2015-1A, Class AR, 2.06% (3 mo. USD LIBOR plus 0.92%), due 10/20/27(b) 144A | 166,524 | ||||||||
1,840,000 | Residential Asset Securities, Series 2006-KS2, Class M3, 0.59% (1 mo. USD LIBOR plus 0.41%), due 03/25/36(b) | 1,583,473 | ||||||||
500,000 | Romark CLO III, Ltd., Series 2019-3A, Class A1, 2.59% (3 mo. USD LIBOR plus 1.37%), due 07/15/32(b) 144A | 483,121 | ||||||||
180,000 | Saranac CLO III, Ltd., Series 2014-3A, Class DR, 3.56% (3 mo. USD LIBOR plus 3.25%), due 06/22/30(b) 144A | 149,892 | ||||||||
209,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 4.28% (28 day ARS), due 06/15/32(b) | 200,150 | ||||||||
97,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 4.30% (28 day ARS), due 03/15/33(b) | 96,043 | ||||||||
360,000 | Sound Point CLO XXIII, Series 2019-2A, Class A1, 2.62% (3 mo. USD LIBOR plus 1.40%), due 04/15/32(b) 144A | 350,365 | ||||||||
250,000 | Symphony CLO XIX, Ltd., Series 2018-19A, Class A, 2.14% (3 mo. USD LIBOR plus 0.96%), due 04/16/31(b) 144A | 243,817 | ||||||||
250,000 | Symphony CLO XIX, Ltd., Series 2018-19A, Class E, 6.38%, due 04/16/31(c) 144A | 211,218 | ||||||||
365,277 | Tralee CLO III, Ltd., Series 2014-3A, Class AR, 2.17% (3 mo. USD LIBOR plus 1.03%), due 10/20/27(b) 144A | 361,654 |
See accompanying Notes to the Schedule of Investments.
89
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
340,000 | Venture CLO 31, Ltd., Series 2018-31A, Class A1, 2.17% (3 mo. USD LIBOR plus 1.03%), due 04/20/31(b) 144A | 326,408 | ||||||||
187,895 | VOLT LXXXIII LLC, Series 2019-NPL9, Class A1A, 3.33%, due 11/26/49(e) 144A | 188,503 | ||||||||
334,861 | VOLT LXXXV LLC, Series 2020-NPL1, Class A1A, 3.23%, due 01/25/50(e) 144A | 333,199 | ||||||||
500,000 | Voya CLO, Ltd., Series 2015-2A, Class ER, 6.44% (3 mo. USD LIBOR plus 5.40%), due 07/23/27(b) 144A | 372,234 | ||||||||
250,000 | Voya CLO, Ltd., Series 2016-3A, Class A1R, 2.33% (3 mo. USD LIBOR plus 1.19%), due 10/18/31(b) 144A | 244,713 | ||||||||
525,000 | Webster Park CLO, Ltd., Series 2015-1A, Class CR, 4.04% (3 mo. USD LIBOR plus 2.90%), due 07/20/30(b) 144A | 482,542 | ||||||||
600,000 | Wellfleet CLO, Ltd., Series 2017-2A, Class C, 4.54%, due 10/20/29(c) 144A | 547,486 | ||||||||
260,000 | Westlake Automobile Receivables Trust, Series 2018-3A, Class D, 4.00%, due 10/16/23 144A | 265,585 | ||||||||
410,000 | Whitehorse CLO XII, Ltd., Series 2018-12A, Class D, 4.87% (3 mo. USD LIBOR plus 3.65%), due 10/15/31(b) 144A | 347,057 | ||||||||
|
| |||||||||
37,917,192 | ||||||||||
|
| |||||||||
Bank Loans — 9.0% | ||||||||||
994,950 | 8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 3.68% (1 mo. USD LIBOR plus 3.50%), due 10/01/25(b) | 971,941 | ||||||||
536,625 | ACProducts, Inc., 2020 Term Loan B, 7.50% (6 mo. USD LIBOR plus 6.50%), due 08/18/25(b) | 524,048 | ||||||||
199,500 | Acrisure, LLC, 2020 Term Loan B, 3.68% (1 mo. USD LIBOR plus 3.50%), due 02/15/27(b) | 189,026 | ||||||||
139,391 | Advanced Drainage Systems, Inc., Term Loan B, 2.44% (1 mo. USD LIBOR plus 2.25%), due 07/31/26(b) | 135,558 | ||||||||
937,513 | Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.25% (1 mo. USD LIBOR plus 3.25%), due 07/23/21(b) | 859,729 | ||||||||
997,500 | Aldevron, LLC, 2019 Term Loan B, 4.43% (1 mo. USD LIBOR plus 4.25%), due 10/12/26(b) | 980,667 | ||||||||
797,874 | Allen Media, LLC, 2020 Term Loan B, 5.81% (3 mo. USD LIBOR plus 5.50%), due 02/10/27(b) | 763,964 | ||||||||
1,215,745 | Allied Universal Holdco LLC, 2019 Term Loan B, 4.43% (1 mo. USD LIBOR plus 4.25%), due 07/10/26(b) | 1,180,285 | ||||||||
393,939 | Alterra Mountain Co., Term Loan B1, 2.93% (1 mo. USD LIBOR plus 2.75%), due 07/31/24(b) | 372,519 | ||||||||
628,425 | Alterra Mountain Co., 2020 Term Loan B, 5.50% (1 mo. USD LIBOR plus 4.50%), due 08/01/26(b) | 618,999 | ||||||||
800,000 | Amentum Government Services Holdings LLC, Term Loan B, 4.18% (1 mo. USD LIBOR plus 4.00%), due 02/01/27(b) | 790,000 | ||||||||
194,750 | American Axle & Manufacturing, Inc., Term Loan B, 3.00% (1 mo. USD LIBOR plus 2.25%), due 04/06/24(b) | 185,499 | ||||||||
79,773 | Amerilife Holdings, LLC, 2020 Term Loan, 4.17% (1 mo. USD LIBOR plus 4.00%), due 03/18/27(b) | 75,984 | ||||||||
1,686,525 | APi Group DE, Inc., Term Loan B, 2.68% (1 mo. USD LIBOR plus 2.50%), due 10/01/26(b) | 1,636,983 | ||||||||
506,109 | AppLovin Corp., 2018 Term Loan B, 3.68% (1 mo. USD LIBOR plus 3.50%), due 08/15/25(b) | 492,191 |
See accompanying Notes to the Schedule of Investments.
90
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
349,125 | AppLovin Corp., 2020 Incremental Term Loan B, TBD, due 08/15/25(h) | 343,015 | ||||||||
560,000 | Aristocrat Leisure, Ltd., 2020 Incremental Term Loan B, 4.75% (3 mo. USD LIBOR plus 3.75%), due 10/19/24(b) | 557,900 | ||||||||
1,480,000 | Asurion LLC, 2017 2nd Lien Term Loan, 6.68% (1 mo. USD LIBOR plus 6.50%), due 08/04/25(b) | 1,474,758 | ||||||||
505,796 | Asurion LLC, 2017 Term Loan B4, 3.18% (1 mo. USD LIBOR plus 3.00%), due 08/04/22(b) | 493,626 | ||||||||
1,370,125 | Asurion LLC, 2018 Term Loan B6, 3.18% (3 mo. USD LIBOR plus 3.00%), due 11/03/23(b) | 1,329,021 | ||||||||
473,262 | Asurion LLC, 2018 Term Loan B7, 3.18% (1 mo. USD LIBOR plus 3.00%), due 11/03/24(b) | 458,325 | ||||||||
683,165 | Athenahealth, Inc., 2019 Term Loan B, 4.82% (3 mo. USD LIBOR plus 4.50%), due 02/11/26(b) | 662,101 | ||||||||
294,686 | Bass Pro Group, LLC, Term Loan B, 6.07% (3 mo. USD LIBOR plus 5.00%), due 09/25/24(b) | 284,814 | ||||||||
1,510,772 | Bausch Health Companies, Inc., 2018 Term Loan B, 3.19% (1 mo. USD LIBOR plus 3.00%), due 06/02/25(b) | 1,468,990 | ||||||||
310,000 | Berry Global, Inc., Term Loan W, 2.18% (1 mo. USD LIBOR plus 2.00%), due 10/01/22(b) | 302,831 | ||||||||
997,494 | BJ’s Wholesale Club, Inc., 2017 1st Lien Term Loan, 2.43% (1 mo. USD LIBOR plus 2.25%), due 02/03/24(b) | 969,065 | ||||||||
540,043 | Boyd Gaming Corp., Term Loan B3, 2.36% (1 Week LIBOR plus 2.25%), due 09/15/23(b) | 511,498 | ||||||||
205,800 | BrightView Landscapes, LLC, 2018 1st Lien Term Loan B, 2.69% (1 mo. USD LIBOR plus 2.50%), due 08/15/25(b) | 200,655 | ||||||||
754,457 | Brookfield WEC Holdings, Inc., 2020 Term Loan, 3.75% (1 mo. USD LIBOR plus 3.00%), due 08/01/25(b) | 730,881 | ||||||||
1,034,105 | Caesars Entertainment Operating Co., Exit Term Loan, 2.18% (1 mo. USD LIBOR plus 2.00%), due 10/07/24(b) | 1,031,649 | ||||||||
1,495,919 | Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 2.93% (1 mo. USD LIBOR plus 2.75%), due 12/23/24(b) | 1,340,509 | ||||||||
930,000 | Caesars Resort Collection, LLC, 2020 Term Loan, TBD, due 06/19/25(h) | 877,023 | ||||||||
1,108,971 | Camelot U.S. Acquisition 1 Co., Term Loan B, 3.18% (1 mo. USD LIBOR plus 3.00%), due 10/30/26(b) | 1,076,164 | ||||||||
1,000,000 | EUR | Carnival Corp., EUR Term Loan B, TBD, due 06/30/25(h) | 1,081,967 | |||||||
199,583 | Castle US Holding Corp., USD Term Loan B, 4.06% (3 mo. USD LIBOR plus 3.75%), due 01/29/27(b) | 184,116 | ||||||||
500,889 | CEC Entertainment, Inc., 2019 Term Loan B, 9.57% (3 mo. USD LIBOR plus 8.50%), due 08/30/26(b) | 295,524 | ||||||||
1,082,643 | Change Healthcare Holdings LLC, 2017 Term Loan B, 3.50% (1 mo. USD LIBOR plus 2.50%), due 03/01/24(b) | 1,042,495 | ||||||||
327,525 | Charter Communications Operating, LLC, 2019 Term Loan B2, 1.93% (1 mo. USD LIBOR plus 1.75%), due 02/01/27(b) | 315,698 | ||||||||
700,000 | Chesapeake Energy Corp., 2019 Last Out Term Loan, 9.00% (1 mo. USD LIBOR plus 8.00%), due 06/24/24(b) | 407,750 | ||||||||
1,512,788 | Clear Channel Outdoor Holdings, Inc., Term Loan B, 4.26% (3 mo. USD LIBOR plus 3.50%), due 08/21/26(b) | 1,380,419 | ||||||||
1,200,925 | CommScope, Inc., 2019 Term Loan B, 3.43% (1 mo. USD LIBOR plus 3.25%), due 04/06/26(b) | 1,143,881 |
See accompanying Notes to the Schedule of Investments.
91
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
204,750 | CoreCivic, Inc., 2019 Term Loan, 5.50% (1 mo. USD LIBOR plus 4.50%), due 12/18/24(b) | 201,679 | ||||||||
474,779 | CWGS Group, LLC, 2016 Term Loan, 4.12% (1 mo. USD LIBOR plus 2.75%)(b) | 434,524 | ||||||||
118,695 | CWGS Group, LLC, 2016 Term Loan, TBD, due 11/08/23(h) | 109,803 | ||||||||
2,184,525 | DCert Buyer, Inc., 2019 Term Loan B, 4.18% (1 mo. USD LIBOR plus 4.00%), due 10/16/26(b) | 2,121,266 | ||||||||
520,000 | Deerfield Dakota Holding, LLC, 2020 2nd Lien Term Loan, 9.00% (1 mo. USD LIBOR plus 8.00%), due 04/07/28(b) | 497,900 | ||||||||
160,000 | Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 4.75% (1 mo. USD LIBOR plus 3.75%), due 04/09/27(b) | 155,750 | ||||||||
975,835 | Dell International LLC, 2019 Term Loan B, 2.75% (1 mo. USD LIBOR plus 2.00%), due 09/19/25(b) | 952,659 | ||||||||
760,000 | Delta Air Lines, Inc., 2020 Term Loan B, 5.51% (1 mo. USD LIBOR plus 4.75%), due 04/29/23(b) | 747,840 | ||||||||
475,906 | Diamond Sports Group, LLC, Term Loan, 3.43% (3 mo. USD LIBOR plus 3.25%), due 08/24/26(b) | 389,648 | ||||||||
140,000 | Douglas Dynamics Holdings, Inc., 2020 Additional Term Loan B, TBD, due 06/05/26(h) | 137,550 | ||||||||
103,740 | Dun & Bradstreet Corp. (The), Term Loan, 4.18% (1 mo. USD LIBOR plus 4.00%), due 02/06/26(b) | 101,406 | ||||||||
840,000 | Elanco Animal Health, Inc., Term Loan B, TBD, due 02/04/27(h) | 804,300 | ||||||||
636,718 | Endo Luxembourg Finance Co. I SARL, 2017 Term Loan B, 5.00% (1 mo. USD LIBOR plus 4.25%), due 04/29/24(b) | 599,947 | ||||||||
815,247 | Equinox Holdings, Inc., 2017 1st Lien Term Loan, 4.07% (6 mo. USD LIBOR plus 3.00%), due 03/08/24(b) | 628,250 | ||||||||
290,000 | Equinox Holdings, Inc., 2020 Term Loan B2, 10.00% (3 mo. USD LIBOR plus 9.00%), due 03/08/24(b) | 281,300 | ||||||||
340,000 | EyeCare Partners, LLC, 2020 2nd Lien Term Loan, 8.56% (3 mo. USD LIBOR plus 8.25%), due 02/18/28(b) | 297,500 | ||||||||
355,865 | EyeCare Partners, LLC, 2020 Term Loan, 4.06% (3 mo. USD LIBOR plus 3.75%), due 02/05/27(b) | 323,244 | ||||||||
9,973 | Finastra USA, Inc., USD 1st Lien Term Loan, 4.50% (3 mo. USD LIBOR plus 3.50%), due 06/13/24(b) | 8,764 | ||||||||
536,528 | Focus Financial Partners, LLC, 2020 Term Loan, 2.18% (1 mo. USD LIBOR plus 2.00%), due 07/03/24(b) | 512,574 | ||||||||
498,731 | Focus Financial Partners, LLC, 2020 Term Loan, TBD, due 07/03/24(h) | 481,275 | ||||||||
180,000 | EUR | Froneri International, Ltd., 2020 EUR Term Loan, 2.63% (6 mo. EURIBOR plus 2.63%), due 01/29/27(b) | 195,204 | |||||||
1,304,000 | Froneri International, Ltd., 2020 USD Term Loan, 2.43% (1 mo. USD LIBOR plus 2.25%), due 01/29/27(b) | 1,231,194 | ||||||||
436,229 | Gannett Holdings LLC, Fixed Term Loan, 11.50%, due 11/19/24 | 420,961 | ||||||||
931,488 | Garda World Security Corp., 2019 1st Lien Term Loan B, 4.93% (3 mo. USD LIBOR plus 4.75%), due 07/27/20(b) | 917,204 | ||||||||
200,000 | Garda World Security Corp., 2019 1st Lien Term Loan B, TBD, due 10/30/26(h) | 197,312 | ||||||||
264,609 | GBT Group Services, BV, 2018 Term Loan B, 2.68% (1 mo. USD LIBOR plus 2.50%), due 08/13/25(b) | 242,117 | ||||||||
1,266,825 | Genesee & Wyoming, Inc., Term Loan, 2.31% (3 mo. USD LIBOR plus 2.00%), due 12/30/26(b) | 1,224,703 | ||||||||
865,390 | GFL Environmental, Inc., 2018 USD Term Loan B, 4.00% (1 mo. USD LIBOR plus 3.00%), due 05/30/25(b) | 843,395 |
See accompanying Notes to the Schedule of Investments.
92
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
276,612 | Global Tel*Link Corp., 2018 1st Lien Term Loan, 4.43% (1 mo. USD LIBOR plus 4.25%), due 11/29/25(b) | 241,258 | ||||||||
490,000 | Global Tel*Link Corp., 2018 2nd Lien Term Loan, 8.43% (1 mo. USD LIBOR plus 8.25%), due 11/29/26(b) | 376,075 | ||||||||
243,946 | GlobalTranz Enterprises, Inc., 2019 Term Loan, 5.18% (1 mo. USD LIBOR plus 5.00%), due 05/15/26(b) | 191,498 | ||||||||
95,635 | Golden Nugget, Inc., 2017 Incremental Term Loan B, 3.25% (1 mo. USD LIBOR plus 2.50%), due 10/04/23(b) | 79,234 | ||||||||
1,095,348 | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 2.11% (1 Week LIBOR plus 2.00%), due 11/15/27(b) | 1,057,771 | ||||||||
517,400 | HC Group Holdings II, Inc., Term Loan B, 4.68% (1 mo. USD LIBOR plus 4.50%), due 08/06/26(b) | 504,034 | ||||||||
390,000 | Hilton Worldwide Finance, LLC, 2019 Term Loan B2, 1.93% (1 mo. USD LIBOR plus 1.75%), due 06/22/26(b) | 365,625 | ||||||||
210,000 | Hornblower Sub, LLC, 2018 Term Loan B, 5.50% (3 mo. USD LIBOR plus 4.50%), due 04/27/25(b) | 170,100 | ||||||||
213,499 | IAA, Inc., Term Loan B, 2.44% (1 mo. USD LIBOR plus 2.25%), due 06/28/26(b) | 205,492 | ||||||||
728,956 | iHeartCommunications, Inc., 2020 Term Loan, 3.18% (1 mo. USD LIBOR plus 3.00%), due 05/01/26(b) | 674,892 | ||||||||
745,000 | Illuminate Buyer, LLC, Term Loan, TBD, due 06/16/27(h) | 735,222 | ||||||||
128,560 | IRB Holding Corp., 2020 Term Loan B, 3.75% (1 mo. USD LIBOR plus 2.75%), due 09/28/20(b) | 109,291 | ||||||||
434,354 | IRB Holding Corp., 2020 Term Loan B, TBD, due 02/05/25(h) | 412,637 | ||||||||
1,196,603 | Jaguar Holding Co. II, 2018 Term Loan, 3.50% (1 mo. USD LIBOR plus 2.50%), due 08/18/22(b) | 1,179,188 | ||||||||
1,131,375 | Jane Street Group, LLC, 2020 Term Loan, 3.18% (1 mo. USD LIBOR plus 3.00%), due 01/31/25(b) | 1,104,033 | ||||||||
533,356 | JetBlue Airways Corp., Term Loan, 6.25% (3 mo. USD LIBOR plus 5.25%), due 06/12/24(b) | 517,611 | ||||||||
1,429,064 | JetBlue Airways Corp., Term Loan, TBD, due 06/12/24(h) | 1,409,649 | ||||||||
178,650 | KAR Auction Services, Inc., 2019 Term Loan B6, 2.50% (1 mo. USD LIBOR plus 2.25%), due 09/19/26(b) | 170,164 | ||||||||
344,074 | Level 3 Financing, Inc., 2019 Term Loan B, 1.93% (1 mo. USD LIBOR plus 1.75%), due 03/01/27(b) | 326,010 | ||||||||
2,178,000 | EUR | MA FinanceCo., LLC, 2020 EUR Term Loan B, TBD, due 06/05/25(h) | 2,410,548 | |||||||
963,460 | McAfee, LLC, 2018 USD Term Loan B, 3.93% (1 mo. USD LIBOR plus 3.75%), due 09/30/24(b) | 938,410 | ||||||||
1,449,000 | MH Sub I, LLC, 2020 Incremental Term Loan, 4.06% (3 mo. USD LIBOR plus 3.75%), due 09/13/24(b) | 1,385,606 | ||||||||
1,407,450 | Michaels Stores, Inc., 2018 Term Loan B, 3.57% (3 mo. USD LIBOR plus 2.50%), due 01/30/23(b) | 1,294,788 | ||||||||
663,693 | Michaels Stores, Inc., 2018 Term Loan B, TBD, due 01/30/23(h) | 608,938 | ||||||||
1,104,501 | Midas Intermediate Holdco II, LLC, Incremental Term Loan B, 3.75% (3 mo. USD LIBOR plus 2.75%), due 08/18/21(b) | 1,006,477 | ||||||||
1,770,000 | Mileage Plus Holdings LLC, 2020 Term Loan B, TBD, due 06/25/27(h) | 1,760,361 | ||||||||
655,693 | Mohegan Tribal Gaming Authority, 2016 Term Loan B, 5.38% (3 mo. USD LIBOR plus 4.38%), due 10/13/23(b) | 545,455 | ||||||||
1,833,322 | MPH Acquisition Holdings LLC, 2016 Term Loan B, 3.75% (3 mo. USD LIBOR plus 2.75%), due 06/07/23(b) | 1,743,566 |
See accompanying Notes to the Schedule of Investments.
93
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
412,358 | NASCAR Holdings, Inc., Term Loan B, 2.93% (1 mo. USD LIBOR plus 2.75%), due 10/19/26(b) | 397,101 | ||||||||
1,220,706 | Nexstar Broadcasting, Inc., 2019 Term Loan B4, 2.92% (1 mo. USD LIBOR plus 2.75%), due 09/18/26(b) | 1,164,249 | ||||||||
489,660 | EUR | Nielsen Finance LLC, 2020 EUR Term Loan B3, TBD, due 06/05/25(h) | 547,212 | |||||||
110,000 | Nielsen Finance LLC, 2020 USD Term Loan B5, TBD, due 06/04/25(h) | 109,313 | ||||||||
970,000 | Pacific Gas & Electric Co., 2020 Exit Term Loan B, 5.50% (3 mo. USD LIBOR plus 4.50%), due 06/23/25(b) | 959,087 | ||||||||
446,625 | Panther BF Aggregator 2, LP, USD Term Loan B, 3.68% (1 mo. USD LIBOR plus 3.50%), due 04/30/26(b) | 426,899 | ||||||||
460,000 | Particle Investments S.a.r.l., Term Loan, TBD, due 05/11/27(h) | 438,150 | ||||||||
730,000 | Petco Animal Supplies, Inc., 2017 Term Loan B, TBD, due 01/26/23(h) | 597,687 | ||||||||
372,181 | Phoenix Guarantor, Inc., 2020 Term Loan B, 3.43% (1 mo. USD LIBOR plus 3.25%), due 03/05/26(b) | 359,387 | ||||||||
795,980 | Pluto Acquisition I, Inc., Term Loan B, 5.18% (1 mo. USD LIBOR plus 5.00%), due 06/22/26(b) | 768,121 | ||||||||
485,000 | Presidio, Inc., 2020 Term Loan B, 4.27% (3 mo. USD LIBOR plus 3.50%), due 01/22/27(b) | 469,237 | ||||||||
2,611,969 | Prime Security Services Borrower, LLC, 2019 Term Loan B1, 4.25% (6 mo. USD LIBOR plus 3.25%), due 09/23/26(b) | 2,517,286 | ||||||||
119,098 | Project Alpha Intermediate Holding, Inc., 2019 Incremental Term Loan B, 6.13% (3 mo. USD LIBOR plus 4.25%), due 04/26/24(b) | 114,929 | ||||||||
1,000,000 | Radiology Partners, Inc., 2018 1st Lien Term Loan B, 5.29% (12 mo. USD LIBOR plus 4.25%), due 07/09/25(b) | 932,083 | ||||||||
966,020 | RadNet, Inc., Reprice Term Loan, 4.75% (6 mo. USD LIBOR plus 3.75%), due 06/30/23(b) | 925,417 | ||||||||
1,116,907 | RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 3.93% (1 mo. USD LIBOR plus 3.75%), due 11/17/25(b) | 1,046,402 | ||||||||
127,495 | Reynolds Consumer Products LLC, Term Loan, 1.93% (1 mo. USD LIBOR plus 1.75%), due 02/04/27(b) | 122,953 | ||||||||
310,112 | Reynolds Group Holdings, Inc., USD 2017 Term Loan, 2.93% (1 mo. USD LIBOR plus 2.75%), due 02/05/23(b) | 296,699 | ||||||||
174,167 | Science Applications International Corp., 2020 Incremental Term Loan B, 2.43% (1 mo. USD LIBOR plus 2.25%), due 03/12/27(b) | 170,596 | ||||||||
409,979 | Scientific Games International, Inc., 2018 Term Loan B5, 2.93% (1 mo. USD LIBOR plus 2.75%), due 08/14/24(b) | 363,447 | ||||||||
446,600 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B, 3.43% (1 mo. USD LIBOR plus 3.25%), due 12/31/25(b) | 422,967 | ||||||||
400,000 | Sedgwick Claims Management Services, Inc., 2020 Term Loan B3, 5.25% (1 mo. USD LIBOR plus 4.25%), due 09/03/26(b) | 389,000 | ||||||||
349,553 | Sophia, L.P., 2017 Term Loan B, 4.25% (3 mo. USD LIBOR plus 3.25%), due 09/30/22(b) | 341,797 | ||||||||
478,800 | Sotera Health Holdings, LLC, 2019 Term Loan, 5.50% (1 mo. USD LIBOR plus 4.50%), due 12/11/26(b) | 469,373 | ||||||||
190,683 | Stars Group Holdings BV (The), 2018 USD Incremental Term Loan, 3.81% (3 mo. USD LIBOR plus 3.50%), due 07/10/25(b) | 190,017 | ||||||||
794,782 | Station Casinos LLC, 2020 Term Loan B, 2.50% (1 mo. USD LIBOR plus 2.25%), due 02/08/27(b) | 731,862 | ||||||||
250,000 | Surf Holdings, LLC, USD Term Loan, 3.83% (3 mo. USD LIBOR plus 3.50%), due 03/05/27(b) | 240,677 |
See accompanying Notes to the Schedule of Investments.
94
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
2,470,000 | T-Mobile USA, Inc., 2020 Term Loan, 3.18% (1 mo. USD LIBOR plus 3.00%), due 04/01/27(b) | 2,470,000 | ||||||||
2,470,000 | Tech Data Corp., ABL Term Loan, TBD, due 06/30/25(h) | 2,422,662 | ||||||||
648,800 | Telenet Financing USD LLC, 2020 USD Term Loan AR, 2.18% (1 mo. USD LIBOR plus 2.00%), due 04/30/28(b) | 613,695 | ||||||||
507,400 | Terrier Media Buyer, Inc., Term Loan B, 4.43% (1 mo. USD LIBOR plus 4.25%), due 12/17/26(b) | 485,836 | ||||||||
419,516 | TKC Holdings, Inc., 2017 1st Lien Term Loan, 4.75% (3 mo. USD LIBOR plus 3.75%), due 02/01/23(b) | 394,660 | ||||||||
405,304 | Trans Union, LLC, 2019 Term Loan B5, 1.93% (1 mo. USD LIBOR plus 1.75%), due 11/16/26(b) | 390,190 | ||||||||
628,410 | TransDigm, Inc., 2020 Term Loan E, 2.43% (1 mo. USD LIBOR plus 2.25%), due 05/30/25(b) | 568,056 | ||||||||
637,797 | TransDigm, Inc., 2020 Term Loan F, 2.43% (1 mo. USD LIBOR plus 2.25%), due 12/09/25(b) | 578,934 | ||||||||
455,300 | U.S. Renal Care, Inc., 2019 Term Loan B, 5.18% (1 mo. USD LIBOR plus 5.00%), due 06/26/26(b) | 438,795 | ||||||||
168,380 | UFC Holdings, LLC, 2019 Term Loan, 4.25% (6 mo. USD LIBOR plus 3.25%), due 04/29/26(b) | 160,943 | ||||||||
333,469 | Ultimate Software Group, Inc. (The), 2020 Incremental Term Loan B, TBD, due 05/04/26(h) | 330,223 | ||||||||
416,850 | Ultimate Software Group, Inc. (The), Term Loan B, 3.93% (1 mo. USD LIBOR plus 3.75%), due 05/04/26(b) | 404,419 | ||||||||
525,028 | Univision Communications, Inc., Term Loan C5, 4.75%, due 03/15/24 | 487,839 | ||||||||
994,819 | US Foods, Inc., 2016 Term Loan B, 1.93% (1 mo. USD LIBOR plus 1.75%), due 06/27/23(b) | 927,668 | ||||||||
876,021 | Verscend Holding Corp., 2018 Term Loan B, 4.68% (1 mo. USD LIBOR plus 4.50%), due 08/27/25(b) | 854,121 | ||||||||
994,924 | Vertex Aerospace Services Corp., Term Loan B, 4.68% (1 mo. USD LIBOR plus 4.50%), due 06/29/25(b) | 979,585 | ||||||||
1,140,000 | Vertical US Newco, Inc., USD Term Loan B, 4.25%, due 07/01/27 | 1,117,200 | ||||||||
782,890 | VFH Parent LLC, 2019 Term Loan B, 3.19% (1 mo. USD LIBOR plus 3.00%), due 03/01/26(b) | 764,622 | ||||||||
1,350,000 | VICI Properties 1 LLC, Replacement Term Loan B, 1.94% (1 mo. USD LIBOR plus 1.75%), due 12/20/24(b) | 1,262,250 | ||||||||
1,140,000 | Virgin Media Bristol LLC, USD Term Loan N, 2.68% (1 mo. USD LIBOR plus 2.50%), due 01/31/28(b) | 1,093,830 | ||||||||
389,025 | VS Buyer, LLC, Term Loan B, 3.43% (1 mo. USD LIBOR plus 3.25%), due 02/28/27(b) | 377,354 | ||||||||
179,549 | Whatabrands LLC, 2020 Term Loan B, 2.93% (1 mo. USD LIBOR plus 2.75%), due 07/31/26(b) | 172,255 | ||||||||
795,765 | William Morris Endeavor Entertainment, LLC, 2018 1st Lien Term Loan, 2.93% (1 mo. USD LIBOR plus 2.75%), due 05/18/25(b) | 653,854 | ||||||||
955,200 | WP CityMD Bidco LLC, 2019 Term Loan B, 5.50% (6 mo. USD LIBOR plus 4.50%), due 08/13/26(b) | 942,782 | ||||||||
307,611 | Ziggo Financing Partnership, USD Term Loan I, 2.68% (1 mo. USD LIBOR plus 2.50%), due 04/30/28(b) | 291,461 | ||||||||
|
| |||||||||
101,020,452 | ||||||||||
|
|
See accompanying Notes to the Schedule of Investments.
95
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Convertible Debt — 0.4% | ||||||||||
570,000 | Blackstone Mortgage Trust, Inc. REIT, 4.38%, due 05/05/22(i) | 537,231 | ||||||||
340,000 | Cheniere Energy, Inc., 4.25%, due 03/15/45 | 220,094 | ||||||||
220,000 | Cheniere Energy, Inc., 4.88% (PIK), due 05/28/21 144A | 223,234 | ||||||||
400,000 | DISH Network Corp., 3.38%, due 08/15/26 | 368,446 | ||||||||
400,000 | Jazz Investments I, Ltd., 2.00%, due 06/15/26 144A | 405,159 | ||||||||
320,000 | Live Nation Entertainment, Inc., 2.00%, due 02/15/25 144A | 275,400 | ||||||||
530,000 | PDC Energy, Inc., 1.13%, due 09/15/21 | 493,420 | ||||||||
1,460,000 | Teva Pharmaceutical Finance Co. LLC, 0.25%, due 02/01/26 | 1,428,473 | ||||||||
290,000 | Vishay Intertechnology, Inc., 2.25%, due 06/15/25 | 271,175 | ||||||||
80,000 | Vonage Holdings Corp., 1.75%, due 06/01/24 | 75,019 | ||||||||
|
| |||||||||
4,297,651 | ||||||||||
|
| |||||||||
Corporate Debt — 39.5% | ||||||||||
90,000 | 1011778 BC ULC/New Red Finance, Inc., 3.88%, due 01/15/28 144A | 87,467 | ||||||||
975,000 | 1011778 BC ULC/New Red Finance, Inc., 5.75%, due 04/15/25 144A | 1,025,578 | ||||||||
180,000 | AbbVie, Inc., 2.95%, due 11/21/26 144A | 195,944 | ||||||||
1,975,000 | AbbVie, Inc., 3.20%, due 11/21/29 144A | 2,181,963 | ||||||||
880,000 | AbbVie, Inc., 4.05%, due 11/21/39 144A | 1,030,531 | ||||||||
490,000 | ABN AMRO Bank NV, 4.75%, due 07/28/25 144A | 541,841 | ||||||||
2,675,000 | Acwa Power Management And Investments One, Ltd., 5.95%, due 12/15/39 144A | 2,914,412 | ||||||||
1,570,000 | Adani Green Energy UP, Ltd./Prayatna Developers Pvt., Ltd./Parampujya Solar Energy, 6.25%, due 12/10/24 144A | 1,644,967 | ||||||||
1,005,000 | Adient US LLC, 9.00%, due 04/15/25 144A | 1,086,983 | ||||||||
240,000 | Advanced Micro Devices, Inc., 7.50%, due 08/15/22 | 266,044 | ||||||||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, due 01/23/23 | 147,352 | ||||||||
1,680,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.50%, due 05/26/22 | 1,663,573 | ||||||||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95%, due 02/01/22 | 150,114 | ||||||||
2,395,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.50%, due 09/15/23(d) | 2,397,048 | ||||||||
270,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 07/15/25 | 283,395 | ||||||||
1,115,000 | AES Corp.(The), 5.50%, due 04/15/25 | 1,147,798 | ||||||||
250,000 | Air Canada, 7.75%, due 04/15/21 144A | 250,906 | ||||||||
200,000 | Air Methods Corp., 8.00%, due 05/15/25 144A | 141,729 | ||||||||
3,420,000 | Akbank TAS, 6.80%, due 02/06/26(d) 144A | 3,419,658 | ||||||||
3,415,000 | Alaska Airlines Pass Through Trust, Class B, 8.00%, due 02/15/27(d) 144A | 3,469,828 | ||||||||
1,010,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 4.63%, due 01/15/27 144A | 1,011,066 | ||||||||
1,490,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons, LP/Albertsons LLC, 4.88%, due 02/15/30 144A | 1,525,954 | ||||||||
150,000 | Alcoa Nederland Holding BV, 6.13%, due 05/15/28 144A | 154,004 | ||||||||
200,000 | Alcoa Nederland Holding BV, 6.75%, due 09/30/24 144A | 204,873 | ||||||||
250,000 | Alcoa Nederland Holding BV, 7.00%, due 09/30/26 144A | 256,829 | ||||||||
450,000 | Allen Media LLC/Allen Media Co-Issuer, Inc., 10.50%, due 02/15/28 144A | 413,098 | ||||||||
350,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26 144A | 368,636 | ||||||||
3,000,000 | Altice France Holding SA, 7.38%, due 05/01/26 144A | 3,131,550 | ||||||||
300,000 | Altice France Holding SA, 10.50%, due 05/15/27 144A | 331,778 | ||||||||
50,000 | Altria Group, Inc., 4.40%, due 02/14/26 | 57,615 | ||||||||
180,000 | Altria Group, Inc., 4.80%, due 02/14/29 | 210,305 | ||||||||
650,000 | Altria Group, Inc., 5.95%, due 02/14/49 | 853,851 |
See accompanying Notes to the Schedule of Investments.
96
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
10,540,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 474,658 | |||||||
5,890,000 | American Airlines, Inc., 11.75%, due 07/15/25 144A | 5,593,674 | ||||||||
150,000 | American Axle & Manufacturing, Inc., 6.25%, due 03/15/26 | 144,909 | ||||||||
325,000 | American Express Co., 4.05%, due 12/03/42 | 393,782 | ||||||||
1,042,569 | American News Co. LLC, 8.50% (8.50% Cash or 10.00% PIK), due 09/01/26(b) 144A | 1,149,917 | ||||||||
1,210,000 | American Tower Corp. REIT, 2.40%, due 03/15/25 | 1,278,817 | ||||||||
200,000 | Anglo American Capital Plc, 4.00%, due 09/11/27 144A | 213,958 | ||||||||
790,000 | Anheuser-Busch InBev Worldwide, Inc., 5.55%, due 01/23/49 | 1,054,911 | ||||||||
50,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, due 01/23/59 | 71,353 | ||||||||
360,000 | Apple, Inc., 1.65%, due 05/11/30 | 368,788 | ||||||||
10,000 | ArcelorMittal SA, 3.60%, due 07/16/24 | 9,916 | ||||||||
150,000 | ArcelorMittal SA, 6.13%, due 06/01/25 | 162,890 | ||||||||
350,000 | ArcelorMittal SA, 7.25%, due 10/15/39 | 418,715 | ||||||||
1,905,000 | Arch Capital Group, Ltd., 3.64%, due 06/30/50 | 2,006,047 | ||||||||
425,000 | EUR | ARD Finance SA, 5.00% (5.00% Cash or 5.75% PIK), due 06/30/27(b) 144A | 460,396 | |||||||
200,000 | ARD Finance SA, 6.50% (6.50% Cash or 7.25% PIK), due 06/30/27(b) 144A | 198,213 | ||||||||
1,700,000 | EUR | ARD Finance SA, Reg S, 5.00% (5.00% Cash or 5.75% PIK), due 06/30/27(b) (j) | 1,841,582 | |||||||
200,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 4.13%, due 08/15/26 144A | 197,114 | ||||||||
1,010,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 5.25%, due 04/30/25 144A | 1,037,134 | ||||||||
980,000 | Ardonagh Midco 2 Plc, 11.50% (11.50% Cash or 12.75% PIK), due 01/15/27(b) (d) 144A | 989,800 | ||||||||
340,000 | Ardonagh Midco 3 Plc, Reg S, 8.63%, due 07/15/23(j) | 355,980 | ||||||||
51,000 | Asbury Automotive Group, Inc., 4.50%, due 03/01/28 144A | 49,629 | ||||||||
56,000 | Asbury Automotive Group, Inc., 4.75%, due 03/01/30 144A | 54,740 | ||||||||
200,000 | Ashtead Capital, Inc., 4.25%, due 11/01/29 144A | 200,500 | ||||||||
330,000 | Ashtead Capital, Inc., 5.25%, due 08/01/26 144A | 347,738 | ||||||||
730,000 | AT&T, Inc., 4.85%, due 03/01/39 | 881,585 | ||||||||
1,850,000 | Athene Holding, Ltd., 6.15%, due 04/03/30 | 2,134,917 | ||||||||
605,000 | Australia & New Zealand Banking Group, Ltd., 2.95% (5 year CMT plus 1.29%), due 07/22/30(b) 144A | 617,492 | ||||||||
215,000 | AutoNation, Inc., 4.75%, due 06/01/30 | 233,422 | ||||||||
410,000 | Aviation Capital Group LLC, 2.88%, due 01/20/22 144A | 391,925 | ||||||||
260,000 | Avolon Holdings Funding, Ltd., 5.13%, due 10/01/23 144A | 240,813 | ||||||||
200,000 | Baidu, Inc., 3.43%, due 04/07/30 | 217,668 | ||||||||
400,000 | Banco Bilbao Vizcaya Argentaria SA, 6.50% (5 year CMT plus 5.19%)(b) (k) | 388,509 | ||||||||
400,000 | EUR | Banco Bilbao Vizcaya Argentaria SA, Reg S, 5.88% (5 year EUR swap plus 5.66%)(b) (j) (k) | 438,046 | |||||||
305,000 | Banco Mercantil del Norte SA, 6.88% (5 year CMT plus 5.04%)(b) (k) 144A | 291,060 | ||||||||
200,000 | Banco Mercantil del Norte SA, 7.50% (10 year CMT plus 5.47%)(b) (k) 144A | 188,288 | ||||||||
970,000 | Banco Mercantil del Norte SA, 7.63% (10 year CMT plus 5.35%)(b) (k) 144A | 926,971 | ||||||||
1,290,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, due 04/17/25 144A | 1,414,195 | ||||||||
600,000 | Banco Santander SA, 3.49%, due 05/28/30 | 645,640 | ||||||||
200,000 | Banco Santander SA, 4.38%, due 04/12/28 | 223,606 | ||||||||
200,000 | Banco Santander SA, Reg S, 7.50% (5 year USD ICE swap plus 4.99%)(b) (j) (k) | 208,902 | ||||||||
700,000 | Barclays Bank Plc, 7.63%, due 11/21/22 | 762,475 | ||||||||
305,000 | Barclays Plc, 4.84%, due 05/09/28 | 333,163 |
See accompanying Notes to the Schedule of Investments.
97
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
210,000 | GBP | Barclays Plc, 7.13% (5 year UK Government Bond plus 6.58%)(b) (k) | 257,271 | |||||||
1,370,000 | Barclays Plc, 8.00% (5 year CMT plus 5.67%)(b) (k) | 1,420,383 | ||||||||
380,000 | EUR | Barclays Plc, (MTN), Reg S, 2.00% (5 year EUR swap plus 1.90%), due 02/07/28(b) (j) | 419,125 | |||||||
830,000 | GBP | Barclays Plc, Reg S, 6.38% (5 year UK Government Bond plus 6.02%)(b) (j) (k) | 967,861 | |||||||
580,000 | Bausch Health Americas, Inc., 8.50%, due 01/31/27 144A | 616,671 | ||||||||
140,000 | Bausch Health Americas, Inc., 9.25%, due 04/01/26 144A | 152,068 | ||||||||
265,000 | Bausch Health Cos., Inc., 5.00%, due 01/30/28 144A | 249,826 | ||||||||
750,000 | Bausch Health Cos., Inc., 5.25%, due 01/30/30 144A | 712,403 | ||||||||
130,000 | Bausch Health Cos., Inc., 9.00%, due 12/15/25 144A | 140,193 | ||||||||
349,000 | Becton Dickinson and Co., 1.18% (3 mo. USD LIBOR plus 0.88%), due 12/29/20(b) | 349,029 | ||||||||
672,000 | Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A | 546,712 | ||||||||
2,560,000 | BNP Paribas SA, 4.50% (5 year CMT plus 2.94%)(b) (k) 144A | 2,244,800 | ||||||||
760,000 | BNP Paribas SA, 6.75% (5 year USD swap plus 4.92%)(b) (k) 144A | 773,536 | ||||||||
80,000 | Boeing Co. (The), 2.70%, due 02/01/27 | 78,212 | ||||||||
190,000 | Boeing Co. (The), 3.25%, due 02/01/35 | 173,439 | ||||||||
1,120,000 | Boeing Co. (The), 5.93%, due 05/01/60 | 1,333,819 | ||||||||
665,000 | Boxer Parent Co., Inc., 7.13%, due 10/02/25 144A | 698,499 | ||||||||
450,000 | Boyne USA, Inc., 7.25%, due 05/01/25 144A | 473,015 | ||||||||
690,000 | Braskem Netherlands Finance BV, 4.50%, due 01/10/28 144A | 648,262 | ||||||||
345,000 | BRF SA, 4.88%, due 01/24/30(i) 144A | 325,594 | ||||||||
985,000 | Brighthouse Financial, Inc., 4.70%, due 06/22/47 | 897,292 | ||||||||
1,360,000 | Brighthouse Financial, Inc., 5.63%, due 05/15/30 | 1,512,439 | ||||||||
440,000 | Bristol-Myers Squibb Co., 4.25%, due 10/26/49 144A | 583,131 | ||||||||
510,000 | Broadcom, Inc., 4.15%, due 11/15/30 144A | 555,362 | ||||||||
1,950,000 | Broadcom, Inc., 4.30%, due 11/15/32 144A | 2,144,613 | ||||||||
365,000 | Bruin E&P Partners LLC, 8.88%, due 08/01/23 144A | 12,775 | ||||||||
140,000 | Builders FirstSource, Inc., 6.75%, due 06/01/27 144A | 143,736 | ||||||||
400,000 | EUR | CaixaBank SA, Reg S, 5.25% (5 year EUR swap plus 4.50%)(b) (j) (k) | 401,054 | |||||||
1,110,000 | Canadian Natural Resources, Ltd., 2.95%, due 07/15/30 | 1,109,048 | ||||||||
120,000 | Canadian Pacific Railway Co., 2.05%, due 03/05/30 | 123,080 | ||||||||
1,095,000 | Carnival Corp., 3.95%, due 10/15/20(i) | 1,082,531 | ||||||||
130,000 | Carriage Services, Inc., 6.63%, due 06/01/26 144A | 137,125 | ||||||||
790,000 | Carrier Global Corp., 2.70%, due 02/15/31 144A | 789,134 | ||||||||
200,000 | Cascades Inc/Cascades USA, Inc., 5.38%, due 01/15/28 144A | 203,625 | ||||||||
1,100,000 | EUR | Catalent Pharma Solutions, Inc., 2.38%, due 03/01/28 144A | 1,173,692 | |||||||
545,000 | Caterpillar, Inc., 3.25%, due 04/09/50 | 610,494 | ||||||||
3,460,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, due 05/01/32 144A | 3,507,575 | ||||||||
375,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, due 03/01/30 144A | 384,270 | ||||||||
220,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, due 02/01/28 144A | 227,370 | ||||||||
1,550,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.50%, due 05/01/26 144A | 1,608,365 | ||||||||
170,000 | CD&R Smokey Buyer, Inc., 6.75%, due 07/15/25(d) 144A | 177,174 | ||||||||
230,000 | CDK Global, Inc., 5.25%, due 05/15/29 144A | 239,053 | ||||||||
560,000 | CDW LLC/CDW Finance Corp., 4.13%, due 05/01/25 | 563,150 | ||||||||
900,000 | Celulosa Arauco y Constitucion SA, 5.15%, due 01/29/50 144A | 896,904 | ||||||||
1,005,000 | Cemex SAB de CV, 7.38%, due 06/05/27 144A | 1,023,592 | ||||||||
80,000 | Centene Corp., 3.38%, due 02/15/30 | 80,902 | ||||||||
80,000 | Centene Corp., 4.25%, due 12/15/27 | 82,738 | ||||||||
1,000,000 | Centene Corp., 4.75%, due 05/15/22 | 1,013,475 | ||||||||
490,000 | Centene Corp., 5.25%, due 04/01/25 144A | 505,232 |
See accompanying Notes to the Schedule of Investments.
98
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
230,000 | Centene Corp., 5.38%, due 06/01/26 144A | 239,367 | ||||||||
190,000 | Centene Corp., 5.38%, due 08/15/26 144A | 198,412 | ||||||||
735,000 | Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, due 03/01/25 144A | 727,518 | ||||||||
220,000 | Charles River Laboratories International, Inc., 4.25%, due 05/01/28 144A | 220,260 | ||||||||
480,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 03/15/28 | 538,756 | ||||||||
400,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.13%, due 07/01/49 | 462,697 | ||||||||
250,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 04/01/38 | 301,437 | ||||||||
280,000 | Chevron Corp., 3.08%, due 05/11/50 | 298,158 | ||||||||
890,000 | China Evergrande Group, Reg S, 8.75%, due 06/28/25(j) | 715,894 | ||||||||
990,000 | CHS/Community Health Systems, Inc., 8.63%, due 01/15/24 144A | 971,185 | ||||||||
1,000,000 | Cigna Corp., 0.95% (3 mo. USD LIBOR plus 0.65%), due 09/17/21(b) | 1,000,049 | ||||||||
195,000 | Cigna Corp., 2.40%, due 03/15/30 | 202,592 | ||||||||
300,000 | Cigna Corp., 4.80%, due 08/15/38 | 380,851 | ||||||||
450,000 | CIT Group, Inc., 5.25%, due 03/07/25 | 467,390 | ||||||||
170,000 | Citigroup, Inc., 4.65%, due 07/30/45 | 219,532 | ||||||||
39,000 | Citigroup, Inc., 4.75%, due 05/18/46 | 49,689 | ||||||||
137,000 | Citigroup, Inc., 5.30%, due 05/06/44 | 182,013 | ||||||||
400,000 | Citigroup, Inc., 6.30% (3 mo. USD LIBOR plus 3.42%)(b) (k) | 400,974 | ||||||||
2,115,000 | Clear Channel Worldwide Holdings, Inc., 5.13%, due 08/15/27 144A | 2,034,122 | ||||||||
640,000 | Clearway Energy Operating LLC, 4.75%, due 03/15/28 144A | 653,363 | ||||||||
230,000 | Cleaver-Brooks, Inc., 7.88%, due 03/01/23 144A | 195,763 | ||||||||
1,170,000 | Cogent Communications Group, Inc., 5.38%, due 03/01/22 144A | 1,207,750 | ||||||||
290,000 | Colt Merger Sub, Inc., 5.75%, due 07/01/25(d) 144A | 292,378 | ||||||||
1,610,000 | Colt Merger Sub, Inc., 6.25%, due 07/01/25(d) 144A | 1,603,962 | ||||||||
580,000 | Comcast Corp., 4.25%, due 10/15/30 | 711,331 | ||||||||
340,000 | Comcast Corp., 4.70%, due 10/15/48 | 458,064 | ||||||||
80,000 | CommScope Technologies LLC, 5.00%, due 03/15/27 144A | 72,297 | ||||||||
400,000 | CommScope Technologies LLC, 6.00%, due 06/15/25 144A | 387,320 | ||||||||
1,190,000 | CommScope, Inc., 6.00%, due 03/01/26 144A | 1,222,880 | ||||||||
380,000 | CommScope, Inc., 7.13%, due 07/01/28(d) 144A | 380,988 | ||||||||
990,000 | CommScope, Inc., 8.25%, due 03/01/27(i) 144A | 1,019,165 | ||||||||
320,000 | Comstock Resources, Inc., 7.50%, due 05/15/25 144A | 292,400 | ||||||||
640,000 | Comstock Resources, Inc., 9.75%, due 08/15/26 | 598,874 | ||||||||
395,000 | CONSOL Energy, Inc., 11.00%, due 11/15/25 144A | 168,410 | ||||||||
715,000 | Continental Resources, Inc., 4.90%, due 06/01/44(i) | 570,867 | ||||||||
600,000 | EUR | Cooperatieve Rabobank UA, Reg S, 4.63% (5 year EUR swap plus 4.10%)(b) (j) (k) | 683,156 | |||||||
1,010,000 | CoreCivic, Inc. REIT, 4.63%, due 05/01/23 | 972,756 | ||||||||
120,000 | Costco Wholesale Corp., 1.60%, due 04/20/30 | 121,447 | ||||||||
80,000 | Costco Wholesale Corp., 1.75%, due 04/20/32 | 81,358 | ||||||||
1,000,000 | Cott Holdings, Inc., 5.50%, due 04/01/25 144A | 1,007,695 | ||||||||
800,000 | Country Garden Holdings Co., Ltd., Reg S, 7.25%, due 04/04/21(j) | 807,003 | ||||||||
705,000 | Credit Agricole SA, 3.25%, due 01/14/30 144A | 757,379 | ||||||||
575,000 | Credit Agricole SA, 7.88% (5 year USD swap plus 4.90%)(b) (k) 144A | 625,977 | ||||||||
400,000 | Credit Agricole SA, 8.13% (5 year USD swap plus 6.19%)(b) (k) 144A | 458,250 | ||||||||
300,000 | EUR | Credit Agricole SA, Reg S, 6.50% (5 year EUR swap plus 5.12%)(b) (j) (k) | 343,926 |
See accompanying Notes to the Schedule of Investments.
99
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
900,000 | Credit Suisse Group AG, 2.59% (SOFR plus 1.56%), due 09/11/25(b) 144A | 931,315 | ||||||||
630,000 | Credit Suisse Group AG, 5.10% (5 year CMT plus 3.29%)(b) (i) (k) 144A | 597,713 | ||||||||
465,000 | Credit Suisse Group AG, 7.25% (5 year CMT plus 4.33%)(b) (k) 144A | 478,111 | ||||||||
1,715,000 | Credit Suisse Group AG, 7.50% (5 year USD swap plus 4.60%)(b) (k) 144A | 1,782,923 | ||||||||
365,000 | Crown Castle International Corp. REIT, 3.30%, due 07/01/30 | 402,290 | ||||||||
1,760,000 | CSC Holdings LLC, 6.50%, due 02/01/29 144A | 1,928,300 | ||||||||
800,000 | CVS Health Corp., 4.78%, due 03/25/38 | 995,311 | ||||||||
200,000 | EUR | CyrusOne, LP/CyrusOne Finance Corp. REIT, 1.45%, due 01/22/27 | 216,578 | |||||||
1,150,000 | DAE Funding LLC, 5.75%, due 11/15/23 144A | 1,099,567 | ||||||||
190,000 | Dana, Inc., 5.63%, due 06/15/28 | 189,088 | ||||||||
200,000 | Danske Bank AS, 5.00%, due 01/12/22 144A | 210,215 | ||||||||
265,000 | Dar Al-Arkan Sukuk Co., Ltd., Reg S, 6.88%, due 03/21/23(j) | 252,283 | ||||||||
50,000 | DCP Midstream Operating, LP, 5.63%, due 07/15/27 | 50,438 | ||||||||
200,000 | DCP Midstream Operating, LP, 6.75%, due 09/15/37 144A | 180,317 | ||||||||
675,000 | Dell International LLC/EMC Corp., 6.20%, due 07/15/30 144A | 792,951 | ||||||||
1,185,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 144A | 1,582,491 | ||||||||
182,370 | Delta Air Lines Pass Through Trust, 6.82%, due 02/10/24 | 179,128 | ||||||||
1,748,000 | Delta Air Lines, Inc., 2.60%, due 12/04/20 | 1,719,453 | ||||||||
70,000 | Delta Air Lines, Inc., 2.90%, due 10/28/24 | 56,827 | ||||||||
260,000 | Delta Air Lines, Inc., 3.40%, due 04/19/21 | 252,896 | ||||||||
1,345,000 | Delta Air Lines, Inc., 7.00%, due 05/01/25 144A | 1,389,814 | ||||||||
4,455,000 | Delta Air Lines, Inc., 7.38%, due 01/15/26 | 4,314,556 | ||||||||
1,485,000 | Deutsche Bank AG, 5.88% (SOFR plus 5.44%), due 07/08/31(b) (d) | 1,482,259 | ||||||||
1,600,000 | Deutsche Bank AG, 6.00% (5 year CMT plus 4.52%)(b) (k) | 1,324,320 | ||||||||
600,000 | Deutsche Bank AG, 7.50% (5 year USD swap plus 5.00%)(b) (i) (k) | 556,677 | ||||||||
400,000 | Deutsche Bank AG, Reg S, 4.79% (5 year USD swap plus 4.36%)(b) (j) (k) | 297,661 | ||||||||
256,750,000 | KZT | Development Bank of Kazakhstan JSC, Reg S, 9.50%, due 12/14/20(j) | 612,126 | |||||||
475,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, due 08/15/26 144A | 346,194 | ||||||||
200,000 | Diamondback Energy, Inc., 3.50%, due 12/01/29 | 194,098 | ||||||||
1,500,000 | DISH DBS Corp., 5.88%, due 11/15/24 | 1,495,072 | ||||||||
980,000 | DISH DBS Corp., 7.75%, due 07/01/26 | 1,040,633 | ||||||||
560,000 | Diversified Healthcare Trust REIT, 9.75%, due 06/15/25 | 602,350 | ||||||||
1,620,000 | DP World Crescent, Ltd., 4.85%, due 09/26/28 144A | 1,711,643 | ||||||||
850,000 | DP World Plc, 5.63%, due 09/25/48 144A | 931,169 | ||||||||
450,000 | eBay, Inc., 4.00%, due 07/15/42 | 490,511 | ||||||||
220,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 5.50%, due 01/30/26 144A | 211,289 | ||||||||
680,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 5.75%, due 01/30/28 144A | 654,374 | ||||||||
1,110,000 | Endeavor Energy Resources, LP/EER Finance, Inc., 6.63%, due 07/15/25 144A | 1,121,455 | ||||||||
685,000 | Enel Finance International NV, 3.50%, due 04/06/28 144A | 737,841 | ||||||||
150,000 | Energizer Holdings, Inc., 6.38%, due 07/15/26 144A | 155,471 | ||||||||
80,000 | Energy Transfer Operating, LP, 6.25%, due 04/15/49 | 84,925 | ||||||||
305,000 | Enstar Group, Ltd., 4.95%, due 06/01/29 | 322,354 | ||||||||
520,000 | Entegris, Inc., 4.38%, due 04/15/28 144A | 531,700 | ||||||||
250,000 | Enterprise Products Operating LLC, 3.95%, due 01/31/60 | 260,236 | ||||||||
225,000 | EOG Resources, Inc., 4.38%, due 04/15/30 | 268,970 | ||||||||
35,000 | EOG Resources, Inc., 4.95%, due 04/15/50 | 44,836 | ||||||||
815,000 | EPR Properties REIT, 3.75%, due 08/15/29 | 711,398 | ||||||||
240,000 | EQM Midstream Partners, LP, 6.00%, due 07/01/25 144A | 243,701 |
See accompanying Notes to the Schedule of Investments.
100
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
220,000 | EQM Midstream Partners, LP, 6.50%, due 07/01/27 144A | 225,878 | ||||||||
630,000 | EQT Corp., 6.13%, due 02/01/25(i) | 628,904 | ||||||||
1,035,000 | EQT Corp., 7.00%, due 02/01/30 | 1,067,468 | ||||||||
200,000 | ESH Hospitality, Inc. REIT, 4.63%, due 10/01/27 144A | 187,588 | ||||||||
700,000 | Expedia Group, Inc., 6.25%, due 05/01/25 144A | 747,177 | ||||||||
355,000 | Expedia Group, Inc., 7.00%, due 05/01/25 144A | 369,931 | ||||||||
240,000 | Exxon Mobil Corp., 4.33%, due 03/19/50 | 300,686 | ||||||||
830,000 | FedEx Corp., 4.05%, due 02/15/48 | 854,421 | ||||||||
780,000 | FedEx Corp., 5.25%, due 05/15/50 | 960,453 | ||||||||
750,000 | Fidelity & Guaranty Life Holdings, Inc., 5.50%, due 05/01/25 144A | 812,336 | ||||||||
500,000 | GBP | Fidelity National Information Services, Inc., 2.25%, due 12/03/29 | 648,767 | |||||||
2,910,000 | First Quantum Minerals, Ltd., 7.25%, due 04/01/23 144A | 2,783,488 | ||||||||
1,710,000 | Five Point Operating Co., LP/Five Point Capital Corp., 7.88%, due 11/15/25 144A | 1,621,277 | ||||||||
1,120,000 | Fomento Economico Mexicano SAB de CV, 3.50%, due 01/16/50 | 1,159,559 | ||||||||
160,000 | Ford Motor Co., 5.29%, due 12/08/46 | 132,323 | ||||||||
700,000 | Ford Motor Co., 8.50%, due 04/21/23 | 741,563 | ||||||||
2,860,000 | Ford Motor Co., 9.00%, due 04/22/25 | 3,100,454 | ||||||||
200,000 | Ford Motor Credit Co. LLC, 2.34%, due 11/02/20 | 199,125 | ||||||||
500,000 | Ford Motor Credit Co. LLC, 3.09%, due 01/09/23 | 477,345 | ||||||||
300,000 | Ford Motor Credit Co. LLC, 3.10%, due 05/04/23 | 285,435 | ||||||||
260,000 | Ford Motor Credit Co. LLC, 3.20%, due 01/15/21 | 256,750 | ||||||||
1,024,000 | Ford Motor Credit Co. LLC, 4.14%, due 02/15/23 | 1,007,053 | ||||||||
470,000 | Ford Motor Credit Co. LLC, 5.13%, due 06/16/25 | 471,363 | ||||||||
130,000 | Fox Corp., 4.71%, due 01/25/29 | 156,384 | ||||||||
210,000 | Fox Corp., 5.48%, due 01/25/39 | 281,126 | ||||||||
1,870,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 1,838,930 | ||||||||
300,000 | GATX Corp., 4.00%, due 06/30/30 | 321,784 | ||||||||
940,000 | Gazprom PJSC Via Gaz Capital SA, 4.95%, due 03/23/27 144A | 1,044,843 | ||||||||
1,880,000 | GEMS MENASA Cayman, Ltd./GEMS Education Delaware LLC, 7.13%, due 07/31/26 144A | 1,790,315 | ||||||||
235,000 | General Electric Co., 3.63%, due 05/01/30 | 235,749 | ||||||||
190,000 | General Electric Co., 4.25%, due 05/01/40 | 189,442 | ||||||||
80,000 | General Electric Co., 4.35%, due 05/01/50 | 79,251 | ||||||||
920,000 | General Electric Co., (MTN), 6.88%, due 01/10/39 | 1,131,472 | ||||||||
225,000 | General Motors Co., 5.20%, due 04/01/45 | 218,228 | ||||||||
2,095,000 | General Motors Co., 5.95%, due 04/01/49 | 2,205,460 | ||||||||
430,000 | General Motors Co., 6.13%, due 10/01/25 | 483,725 | ||||||||
1,330,000 | General Motors Co., 6.80%, due 10/01/27 | 1,552,019 | ||||||||
210,000 | GEO Group, Inc. (The) REIT, 5.88%, due 01/15/22 | 197,088 | ||||||||
320,000 | GEO Group, Inc. (The) REIT, 6.00%, due 04/15/26(i) | 246,990 | ||||||||
560,000 | GFL Environmental, Inc., 4.25%, due 06/01/25 144A | 565,950 | ||||||||
320,000 | GFL Environmental, Inc., 5.13%, due 12/15/26 144A | 332,000 | ||||||||
294,000 | GFL Environmental, Inc., 8.50%, due 05/01/27 144A | 320,406 | ||||||||
740,000 | Glencore Funding LLC, 4.00%, due 03/27/27 144A | 794,255 | ||||||||
410,000 | Glencore Funding LLC, 4.88%, due 03/12/29 144A | 462,793 | ||||||||
1,480,000 | Global Aircraft Leasing Co., Ltd., 6.50%, due 09/15/24 144A | 995,300 | ||||||||
2,575,000 | Gold Fields Orogen Holdings BVI, Ltd., 6.13%, due 05/15/29 144A | 2,951,722 | ||||||||
3,375,000 | Gold Fields Orogen Holdings BVI, Ltd., Reg S, 6.13%, due 05/15/29(j) | 3,868,762 | ||||||||
610,000 | Golden Nugget, Inc., 6.75%, due 10/15/24 144A | 439,200 |
See accompanying Notes to the Schedule of Investments.
101
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
300,000 | Goldman Sachs Group, Inc. (The), 5.15%, due 05/22/45 | 396,178 | ||||||||
405,000 | Gran Tierra Energy International Holdings, Ltd., 6.25%, due 02/15/25 144A | 180,099 | ||||||||
600,000 | GTP Acquisition Partners I LLC, 3.48%, due 06/15/50 144A | 630,031 | ||||||||
490,000 | Gulfport Energy Corp., 6.00%, due 10/15/24 | 251,431 | ||||||||
190,000 | Gulfport Energy Corp., 6.38%, due 05/15/25 | 95,466 | ||||||||
340,000 | Hanesbrands, Inc., 4.88%, due 05/15/26(i) 144A | 343,337 | ||||||||
500,000 | Hanesbrands, Inc., 5.38%, due 05/15/25 144A | 506,563 | ||||||||
410,000 | Harley-Davidson Financial Services, Inc., Series S, 3.55%, due 05/21/21 144A | 416,459 | ||||||||
910,000 | HAT Holdings I LLC/HAT Holdings II LLC REIT, 6.00%, due 04/15/25 144A | 954,931 | ||||||||
1,230,000 | HCA, Inc., 3.50%, due 09/01/30 | 1,186,202 | ||||||||
600,000 | HCA, Inc., 5.50%, due 06/15/47 | 732,331 | ||||||||
760,000 | HCA, Inc., 5.63%, due 09/01/28 | 850,106 | ||||||||
115,000 | Healthpeak Properties, Inc. REIT, 3.50%, due 07/15/29 | 125,437 | ||||||||
610,000 | Hess Midstream Operations, LP, 5.63%, due 02/15/26 144A | 604,980 | ||||||||
65,000 | Hill-Rom Holdings, Inc., 4.38%, due 09/15/27 144A | 66,735 | ||||||||
2,030,000 | Hilton Domestic Operating Co., Inc., 5.38%, due 05/01/25 144A | 2,038,881 | ||||||||
250,000 | Hilton Domestic Operating Co., Inc., 5.75%, due 05/01/28 144A | 253,594 | ||||||||
400,000 | HSBC Holdings Plc, 4.58% (3 mo. USD LIBOR plus 1.53%), due 06/19/29(b) | 462,442 | ||||||||
200,000 | HSBC Holdings Plc, 4.95%, due 03/31/30 | 240,886 | ||||||||
400,000 | HSBC Holdings Plc, 6.50% (5 year USD ICE swap plus 3.61%)(b) (k) | 410,826 | ||||||||
1,680,000 | EUR | HSBC Holdings Plc, (MTN), Reg S, 4.75% (5 year EUR swap plus 3.84%)(b) (j) (k) | 1,791,725 | |||||||
250,000 | EUR | HSBC Holdings Plc, Reg S, 5.25% (5 year EUR swap plus 4.38%)(b) (j) (k) | 279,969 | |||||||
4,215,000 | HTA Group, Ltd., 7.00%, due 12/18/25 144A | 4,278,035 | ||||||||
500,000 | Hudbay Minerals, Inc., 7.25%, due 01/15/23 144A | 494,323 | ||||||||
750,000 | Hudbay Minerals, Inc., 7.63%, due 01/15/25 144A | 714,454 | ||||||||
960,000 | ICICI Bank, Ltd., Reg S, 5.75%, due 11/16/20(j) | 972,538 | ||||||||
440,000 | iHeartCommunications, Inc., 4.75%, due 01/15/28 144A | 406,644 | ||||||||
765,000 | iHeartCommunications, Inc., 5.25%, due 08/15/27 144A | 733,780 | ||||||||
215,000 | iHeartCommunications, Inc., 6.38%, due 05/01/26 | 213,353 | ||||||||
915,000 | iHeartCommunications, Inc., 8.38%, due 05/01/27 | 840,139 | ||||||||
980,000 | IHS Netherlands Holdco BV, 7.13%, due 03/18/25 144A | 999,600 | ||||||||
905,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A | 920,837 | ||||||||
1,150,000 | IHS Netherlands Holdco BV, Reg S, 8.00%, due 09/18/27(j) | 1,170,125 | ||||||||
630,000 | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 07/01/28 144A | 658,350 | ||||||||
440,000 | International Game Technology Plc, 5.25%, due 01/15/29 144A | 431,948 | ||||||||
615,000 | Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A | 650,958 | ||||||||
900,000 | Intesa Sanpaolo SpA, 5.02%, due 06/26/24 144A | 922,692 | ||||||||
350,000 | Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A | 369,077 | ||||||||
915,000 | Intesa Sanpaolo SpA, 7.70% (5 year USD swap plus 5.46%)(b) (k) 144A | 914,243 | ||||||||
205,000 | IQVIA, Inc., 5.00%, due 10/15/26 144A | 211,857 | ||||||||
640,000 | EUR | IQVIA, Inc., Reg S, 2.25%, due 01/15/28(j) | 692,332 | |||||||
2,410,000 | IRB Holding Corp., 7.00%, due 06/15/25 144A | 2,488,506 | ||||||||
1,439,000 | Itau Unibanco Holding SA/Cayman Island, 4.63% (5 year CMT plus 3.22%)(b) (k) 144A | 1,188,074 | ||||||||
260,000 | j2 Cloud Services LLC/j2 Global Co-Obligor, Inc., 6.00%, due 07/15/25 144A | 265,227 | ||||||||
150,000 | JB Poindexter & Co., Inc., 7.13%, due 04/15/26 144A | 152,034 | ||||||||
490,000 | JM Smucker Co. (The), 3.55%, due 03/15/50(i) | 507,880 | ||||||||
594,985 | K2016470219 South Africa, Ltd., 3.00%, due 12/31/22 | 5,950 | ||||||||
156,683 | K2016470260 South Africa, Ltd., 25.00%, due 12/31/22 | 5,876 | ||||||||
1,520,000 | Kaisa Group Holdings, Ltd., Reg S, 9.38%, due 06/30/24(j) | 1,396,335 |
See accompanying Notes to the Schedule of Investments.
102
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
750,000 | KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A | 815,550 | ||||||||
640,000 | KazTransGas JSC, 4.38%, due 09/26/27 144A | 691,392 | ||||||||
400,000 | KeyCorp, (MTN), 2.55%, due 10/01/29 | 414,389 | ||||||||
340,000 | Kimberly-Clark de Mexico SAB de CV, 2.43%, due 07/01/31(d) 144A | 343,818 | ||||||||
340,000 | KOC Holding AS, 6.50%, due 03/11/25 144A | 348,997 | ||||||||
855,000 | Kohl’s Corp., 9.50%, due 05/15/25 | 977,817 | ||||||||
1,580,000 | Kosmos Energy, Ltd., 7.13%, due 04/04/26(i) 144A | 1,394,097 | ||||||||
30,000 | Kraft Heinz Foods Co., 3.88%, due 05/15/27 144A | 31,395 | ||||||||
314,000 | Kraft Heinz Foods Co., 3.95%, due 07/15/25 | 333,382 | ||||||||
100,000 | Kraft Heinz Foods Co., 4.25%, due 03/01/31 144A | 106,253 | ||||||||
105,000 | Kraft Heinz Foods Co., 4.38%, due 06/01/46 | 103,383 | ||||||||
520,000 | Kraft Heinz Foods Co., 4.88%, due 10/01/49 144A | 530,346 | ||||||||
280,000 | Kraft Heinz Foods Co., 5.50%, due 06/01/50 144A | 299,588 | ||||||||
1,305,000 | EUR | Kraft Heinz Foods Co., Reg S, 2.25%, due 05/25/28(j) | 1,448,795 | |||||||
945,000 | Kuwait Projects Co. SPC, Ltd. (MTN), Reg S, 4.50%, due 02/23/27(j) | 902,165 | ||||||||
950,000 | L Brands, Inc., 5.25%, due 02/01/28 | 753,808 | ||||||||
30,000 | L Brands, Inc., 5.63%, due 10/15/23 | 28,431 | ||||||||
80,000 | L Brands, Inc., 6.69%, due 01/15/27 | 67,885 | ||||||||
755,000 | L Brands, Inc., 6.88%, due 07/01/25 144A | 781,425 | ||||||||
280,000 | L Brands, Inc., 9.38%, due 07/01/25 144A | 281,036 | ||||||||
180,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. REIT, 5.25%, due 03/15/22 144A | 171,561 | ||||||||
730,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. REIT, 5.88%, due 08/01/21 144A | 725,346 | ||||||||
455,000 | Lamar Media Corp., 3.75%, due 02/15/28 144A | 430,396 | ||||||||
170,000 | Lamar Media Corp., 4.00%, due 02/15/30 144A | 163,149 | ||||||||
985,000 | Lamar Media Corp., 4.88%, due 01/15/29 144A | 994,234 | ||||||||
1,000,000 | Lamb Weston Holdings, Inc., 4.63%, due 11/01/24 144A | 1,040,105 | ||||||||
160,000 | Lamb Weston Holdings, Inc., 4.88%, due 05/15/28 144A | 169,822 | ||||||||
40,000 | Las Vegas Sands Corp., 3.20%, due 08/08/24 | 39,885 | ||||||||
655,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 733,650 | ||||||||
45,000 | Lennar Corp., 4.50%, due 04/30/24 | 46,908 | ||||||||
175,000 | Lennar Corp., 4.75%, due 11/15/22 | 181,514 | ||||||||
870,000 | Lennar Corp., 4.88%, due 12/15/23 | 921,021 | ||||||||
500,000 | Levi Strauss & Co., 5.00%, due 05/01/25 144A | 503,703 | ||||||||
790,000 | Liberty Mutual Group, Inc., 3.95%, due 05/15/60 144A | 835,199 | ||||||||
260,000 | LifePoint Health, Inc., 4.38%, due 02/15/27 144A | 246,350 | ||||||||
430,000 | Lions Gate Capital Holdings LLC, 5.88%, due 11/01/24 144A | 412,217 | ||||||||
575,000 | Liquid Telecommunications Financing Plc, 8.50%, due 07/13/22 144A | 572,309 | ||||||||
1,035,000 | Liquid Telecommunications Financing Plc, Reg S, 8.50%, due 07/13/22(j) | 1,030,156 | ||||||||
200,000 | Lloyds Banking Group Plc, 4.65%, due 03/24/26 | 222,765 | ||||||||
450,000 | EUR | Lloyds Banking Group Plc, Reg S, 4.95% (5 year EURIBOR swap plus 5.29%)(b) (j) (k) | 492,364 | |||||||
640,000 | Lukoil International Finance BV, 4.75%, due 11/02/26 144A | 712,243 | ||||||||
3,445,000 | Lukoil Securities BV, 3.88%, due 05/06/30 144A | 3,595,719 | ||||||||
1,095,000 | Macy’s, Inc., 8.38%, due 06/15/25 144A | 1,092,115 | ||||||||
800,000 | MAF Global Securities, Ltd., Reg S, 5.50% (5 year USD swap plus 3.48%)(b) (j) (k) | 772,032 | ||||||||
935,000 | MAF Sukuk, Ltd., Reg S, 4.64%, due 05/14/29(j) | 975,752 | ||||||||
100,000 | Massachusetts Mutual Life Insurance Co., 3.38%, due 04/15/50 144A | 103,098 | ||||||||
140,000 | Mastercard, Inc., 3.85%, due 03/26/50 | 174,981 |
See accompanying Notes to the Schedule of Investments.
103
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
480,000 | Match Group, Inc., 4.63%, due 06/01/28 144A | 486,300 | ||||||||
290,000 | Match Group, Inc., 5.00%, due 12/15/27(i) 144A | 302,792 | ||||||||
354,000 | MEG Energy Corp., 7.00%, due 03/31/24 144A | 304,477 | ||||||||
340,000 | MEG Energy Corp., 7.13%, due 02/01/27 144A | 283,475 | ||||||||
1,030,000 | MEGlobal Canada ULC, 5.88%, due 05/18/30 144A | 1,167,680 | ||||||||
520,000 | Melco Resorts Finance, Ltd., 5.38%, due 12/04/29 144A | 522,938 | ||||||||
155,000 | Meredith Corp., 6.88%, due 02/01/26 | 129,445 | ||||||||
360,000 | Michaels Stores, Inc., 8.00%, due 07/15/27(i) 144A | 313,808 | ||||||||
1,215,000 | Microchip Technology, Inc., 4.25%, due 09/01/25 144A | 1,223,889 | ||||||||
1,400,000 | Micron Technology, Inc., 2.50%, due 04/24/23 | 1,456,193 | ||||||||
455,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, due 06/20/27(d) 144A | 457,275 | ||||||||
4,225,000 | Millicom International Cellular SA, 6.25%, due 03/25/29 144A | 4,519,968 | ||||||||
675,000 | Millicom International Cellular SA, 6.63%, due 10/15/26(i) 144A | 720,235 | ||||||||
525,000 | Mineral Resources, Ltd., 8.13%, due 05/01/27 144A | 559,338 | ||||||||
610,000 | Mohegan Gaming & Entertainment, 7.88%, due 10/15/24 144A | 508,523 | ||||||||
2,575,000 | Montage Resources Corp., 8.88%, due 07/15/23 | 2,042,271 | ||||||||
1,000,000 | Morgan Stanley, (MTN), 2.50%, due 04/21/21 | 1,016,826 | ||||||||
260,000 | GBP | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 3.69%, due 06/05/28 | 323,309 | |||||||
800,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.00%, due 10/15/27 | 824,524 | ||||||||
175,000 | MSCI, Inc., 4.00%, due 11/15/29 144A | 178,796 | ||||||||
440,000 | Mylan NV, 5.25%, due 06/15/46 | 546,413 | ||||||||
445,000 | Mylan, Inc., 5.40%, due 11/29/43 | 558,526 | ||||||||
10,000 | Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc., 8.13%, due 11/15/21 144A | 5,678 | ||||||||
435,000 | NBM US Holdings, Inc., 7.00%, due 05/14/26(i) 144A | 436,805 | ||||||||
350,000 | NCL Corp., Ltd., Class C, 3.63%, due 12/15/24 144A | 214,813 | ||||||||
640,000 | NCL Corp., Ltd., Class C, 12.25%, due 05/15/24 144A | 672,208 | ||||||||
640,000 | NCR Corp., 8.13%, due 04/15/25 144A | 681,200 | ||||||||
275,000 | EUR | Netflix, Inc., 3.88%, due 11/15/29 144A | 325,293 | |||||||
300,000 | Netflix, Inc., 5.88%, due 11/15/28 | 342,161 | ||||||||
1,070,000 | Netflix, Inc., 6.38%, due 05/15/29 | 1,243,008 | ||||||||
2,060,000 | EUR | Netflix, Inc., Reg S, 3.63%, due 06/15/30(j) | 2,385,760 | |||||||
210,000 | EUR | Netflix, Inc., Reg S, 3.88%, due 11/15/29(j) | 248,406 | |||||||
200,000 | New York Life Insurance Co., 3.75%, due 05/15/50 144A | 226,494 | ||||||||
1,284,000 | Newell Brands, Inc., 4.70%, due 04/01/26 | 1,351,256 | ||||||||
340,000 | Newell Brands, Inc., 4.88%, due 06/01/25 | 356,716 | ||||||||
2,570,000 | Nexstar Broadcasting, Inc., 5.63%, due 07/15/27 144A | 2,557,227 | ||||||||
620,000 | NGPL PipeCo LLC, Senior Note, 7.77%, due 12/15/37 144A | 758,656 | ||||||||
660,000 | NMI Holdings, Inc., 7.38%, due 06/01/25 144A | 692,261 | ||||||||
640,000 | Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22(g) (l) | 7,360 | ||||||||
520,000 | NVIDIA Corp., 3.50%, due 04/01/50 | 597,532 | ||||||||
610,000 | Oasis Petroleum, Inc., 6.88%, due 03/15/22 | 102,556 | ||||||||
780,000 | Oasis Petroleum, Inc., 6.88%, due 01/15/23 | 132,600 | ||||||||
270,000 | Occidental Petroleum Corp., 1.40% (3 mo. USD LIBOR plus 0.95%), due��02/08/21(b) | 266,019 | ||||||||
650,000 | Occidental Petroleum Corp., 2.60%, due 08/13/21 | 636,984 | ||||||||
20,000 | Occidental Petroleum Corp., 2.70%, due 08/15/22 | 18,656 | ||||||||
300,000 | Occidental Petroleum Corp., 4.20%, due 03/15/48 | 203,535 | ||||||||
930,000 | Occidental Petroleum Corp., 4.40%, due 08/15/49(i) | 644,922 |
See accompanying Notes to the Schedule of Investments.
104
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
580,000 | Occidental Petroleum Corp., 7.15%, due 05/15/28 | 519,100 | ||||||||
3,060,000 | OCP SA, 6.88%, due 04/25/44(i) 144A | 3,728,319 | ||||||||
2,000,000 | OI European Group BV, 4.00%, due 03/15/23 144A | 1,977,150 | ||||||||
615,000 | ONEOK, Inc., 7.15%, due 01/15/51 | 749,675 | ||||||||
975,000 | Open Text Corp., 3.88%, due 02/15/28 144A | 940,417 | ||||||||
1,985,000 | Open Text Holdings, Inc., 4.13%, due 02/15/30 144A | 1,954,917 | ||||||||
1,490,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.63%, due 03/15/30 144A | 1,350,968 | ||||||||
1,250,000 | Oversea-Chinese Banking Corp., Ltd., (MTN), Reg S, 4.25%, due 06/19/24(j) | 1,354,437 | ||||||||
430,000 | Owl Rock Capital Corp., 4.00%, due 03/30/25 | 425,231 | ||||||||
825,000 | Oztel Holdings SPC, Ltd., 5.63%, due 10/24/23 144A | 829,269 | ||||||||
1,000,000 | Panther BF Aggregator 2, LP/Panther Finance Co., Inc., 6.25%, due 05/15/26 144A | 1,035,670 | ||||||||
140,000 | Park Aerospace Holdings, Ltd., 4.50%, due 03/15/23 144A | 127,800 | ||||||||
150,000 | Park-Ohio Industries, Inc., 6.63%, due 04/15/27 | 123,534 | ||||||||
295,000 | Parsley Energy LLC/Parsley Finance Corp., 5.25%, due 08/15/25 144A | 284,379 | ||||||||
1,000,000 | Parsley Energy LLC/Parsley Finance Corp., 5.38%, due 01/15/25 144A | 975,910 | ||||||||
260,000 | Parsley Energy LLC/Parsley Finance Corp., 5.63%, due 10/15/27 144A | 256,702 | ||||||||
1,840,000 | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 4.00%, due 06/30/50 144A | 1,798,876 | ||||||||
2,400,000 | Petrobras Global Finance BV, 5.30%, due 01/27/25 | 2,497,824 | ||||||||
720,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15(m) | 716,184 | ||||||||
1,290,000 | Petroleos Mexicanos, 6.84%, due 01/23/30 144A | 1,137,690 | ||||||||
11,184,300 | MXN | Petroleos Mexicanos, Reg S (GDN), 7.19%, due 09/12/24(j) | 412,369 | |||||||
485,000 | PetSmart, Inc., 5.88%, due 06/01/25 144A | 487,718 | ||||||||
2,810,000 | PetSmart, Inc., 7.13%, due 03/15/23 144A | 2,775,830 | ||||||||
560,000 | PetSmart, Inc., 8.88%, due 06/01/25(i) 144A | 562,089 | ||||||||
155,000 | PG&E Corp., 5.25%, due 07/01/30 | 156,271 | ||||||||
230,000 | Polaris Intermediate Corp., 8.50% (8.50% Cash or 9.25% PIK), due 12/01/22 144A | 203,116 | ||||||||
1,380,000 | EUR | PPF Telecom Group BV, (MTN), Reg S, 3.13%, due 03/27/26(j) | 1,549,649 | |||||||
1,000,000 | Prestige Brands, Inc., 6.38%, due 03/01/24(i) 144A | 1,027,605 | ||||||||
160,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, due 04/15/26 144A | 166,294 | ||||||||
180,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 01/15/28 144A | 170,152 | ||||||||
280,000 | Prosperous Ray, Ltd., Reg S, 4.63%, due 11/12/23(j) | 301,437 | ||||||||
1,825,000 | Prosus NV, 4.85%, due 07/06/27 144A | 2,050,406 | ||||||||
720,000 | Prosus NV, Reg S, 4.85%, due 07/06/27(j) | 808,927 | ||||||||
1,025,000 | Prudential Financial, Inc., 3.94%, due 12/07/49 | 1,168,798 | ||||||||
225,000 | PTC, Inc., 3.63%, due 02/15/25 144A | 223,875 | ||||||||
260,000 | PTC, Inc., 4.00%, due 02/15/28 144A | 258,081 | ||||||||
200,000 | Quicken Loans, Inc., 5.25%, due 01/15/28 144A | 206,957 | ||||||||
895,000 | Radian Group, Inc., 6.63%, due 03/15/25 | 919,053 | ||||||||
360,000 | Radiology Partners, Inc., 9.25%, due 02/01/28 144A | 340,200 | ||||||||
300,000 | Range Resources Corp., 5.00%, due 08/15/22(i) | 273,938 | ||||||||
290,000 | Range Resources Corp., 5.75%, due 06/01/21 | 279,451 | ||||||||
617,000 | Range Resources Corp., 5.88%, due 07/01/22 | 569,809 | ||||||||
1,050,000 | Range Resources Corp., 9.25%, due 02/01/26 144A | 945,819 | ||||||||
130,000 | Raymond James Financial, Inc., 4.65%, due 04/01/30 | 155,227 | ||||||||
640,000 | Raytheon Technologies Corp., 3.13%, due 07/01/50 | 683,517 |
See accompanying Notes to the Schedule of Investments.
105
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
350,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, due 06/15/25 144A | 350,945 | ||||||||
445,000 | Royal Bank of Scotland Group Plc, 4.27% (3 mo. USD LIBOR plus 1.76%), due 03/22/25(b) | 484,279 | ||||||||
300,000 | Royal Bank of Scotland Group Plc, 4.89% (3 mo. USD LIBOR plus 1.75%), due 05/18/29(b) | 353,722 | ||||||||
350,000 | Royal Caribbean Cruises, Ltd., 2.65%, due 11/28/20(i) | 339,587 | ||||||||
860,000 | Royal Caribbean Cruises, Ltd., 11.50%, due 06/01/25 144A | 898,066 | ||||||||
326,000 | RR Donnelley & Sons Co., 8.25%, due 07/01/27 | 323,555 | ||||||||
3,105,000 | Rumo Luxembourg SARL, 5.25%, due 01/10/28(d) | 3,105,000 | ||||||||
200,000 | Sands China, Ltd., 3.80%, due 01/08/26 144A | 206,340 | ||||||||
400,000 | Sands China, Ltd., 5.13%, due 08/08/25 | 434,782 | ||||||||
1,130,000 | Santander Holdings USA, Inc., 3.45%, due 06/02/25 | 1,178,414 | ||||||||
590,000 | Santander UK Group Holdings Plc, 4.75%, due 09/15/25 144A | 642,151 | ||||||||
5,035,000 | SASOL Financing USA LLC, 6.50%, due 09/27/28 | 4,476,921 | ||||||||
165,000 | Science Applications International Corp., 4.88%, due 04/01/28 144A | 164,304 | ||||||||
525,000 | Seagate HDD Cayman, 4.09%, due 06/01/29 144A | 551,342 | ||||||||
486,000 | Seagate HDD Cayman, 4.88%, due 06/01/27(i) | 527,832 | ||||||||
110,000 | Sensata Tech, Inc., 4.38%, due 02/15/30 144A | 109,178 | ||||||||
925,000 | Service Properties Trust REIT, 7.50%, due 09/15/25 | 975,523 | ||||||||
280,000 | Shea Homes, LP/Shea Homes Funding Corp., 4.75%, due 02/15/28 144A | 266,657 | ||||||||
1,090,000 | Shelf Drilling Holdings, Ltd., 8.25%, due 02/15/25 144A | 493,895 | ||||||||
870,000 | Silversea Cruise Finance, Ltd., 7.25%, due 02/01/25 144A | 823,146 | ||||||||
2,065,000 | Sinopec Group Overseas Development 2018, Ltd., 3.35%, due 05/13/50 144A | 2,204,990 | ||||||||
990,000 | Societe Generale SA, 3.00%, due 01/22/30 144A | 1,008,192 | ||||||||
2,005,000 | Societe Generale SA, 3.65% (5 year CMT plus 3%), due 07/08/35(b) (d) | 2,005,000 | ||||||||
765,000 | Societe Generale SA, 4.75%, due 09/14/28 144A | 891,697 | ||||||||
350,000 | Societe Generale SA, 6.75% (5 year USD swap plus 3.93%)(b) (k) 144A | 348,535 | ||||||||
780,000 | Societe Generale SA, 7.38% (5 year USD swap plus 4.30%)(b) (k) 144A | 786,392 | ||||||||
190,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.88%, due 11/01/27 144A | 173,375 | ||||||||
370,000 | Springleaf Finance Corp., 5.38%, due 11/15/29 | 348,244 | ||||||||
850,000 | Sprint Capital Corp., 6.88%, due 11/15/28 | 1,037,212 | ||||||||
1,400,000 | Sprint Capital Corp., 8.75%, due 03/15/32 | 2,005,150 | ||||||||
845,000 | SS&C Technologies, Inc., 5.50%, due 09/30/27 144A | 861,220 | ||||||||
775,000 | Standard Chartered Plc, 4.30%, due 02/19/27 144A | 825,454 | ||||||||
1,475,000 | Standard Chartered Plc, 6.00% (5 year CMT plus 5.66%)(b) (k) 144A | 1,470,575 | ||||||||
585,000 | Standard Chartered Plc, 7.75% (5 year USD swap plus 5.72%)(b) (i) (k) 144A | 610,880 | ||||||||
110,000 | Standard Industries, Inc., 4.75%, due 01/15/28 144A | 111,832 | ||||||||
325,000 | EUR | Summer BC Holdco B SARL, 5.75%, due 10/31/26 144A | 348,689 | |||||||
1,305,000 | EUR | Summer BC Holdco B SARL, Reg S, 5.75%, due 10/31/26(j) | 1,400,120 | |||||||
1,160,000 | Suzano Austria GmbH, 6.00%, due 01/15/29 | 1,255,491 | ||||||||
260,000 | Suzano Austria GmbH, Reg S, 5.75%, due 07/14/26(i) (j) | 284,976 | ||||||||
570,000 | Swire Pacific MTN Financing, Ltd., (MTN), Reg S, 4.50%, due 10/09/23(j) | 618,558 | ||||||||
800,000 | Synchrony Financial, 4.50%, due 07/23/25 | 850,554 | ||||||||
620,000 | Sysco Corp., 6.60%, due 04/01/50 | 861,951 | ||||||||
635,000 | T-Mobile USA, Inc., 4.38%, due 04/15/40 144A | 737,295 | ||||||||
635,000 | T-Mobile USA, Inc., 4.50%, due 04/15/50 144A | 757,384 | ||||||||
200,000 | T-Mobile USA, Inc., 6.38%, due 03/01/25 | 205,700 | ||||||||
790,000 | Takeda Pharmaceutical Co., Ltd., 3.18%, due 07/09/50(d) | 791,236 | ||||||||
280,000 | Talen Energy Supply LLC, 10.50%, due 01/15/26 144A | 222,013 |
See accompanying Notes to the Schedule of Investments.
106
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
240,000 | Taylor Morrison Communities, Inc., 5.88%, due 01/31/25 144A | 244,726 | ||||||||
230,000 | Teck Resources, Ltd., 5.40%, due 02/01/43 | 226,480 | ||||||||
90,000 | Teck Resources, Ltd., 6.00%, due 08/15/40 | 95,473 | ||||||||
200,000 | Telefonica Emisiones SA, 5.21%, due 03/08/47 | 249,497 | ||||||||
2,300,000 | Tencent Holdings, Ltd., 3.24%, due 06/03/50 144A | 2,312,253 | ||||||||
1,655,000 | Tencent Holdings, Ltd., 3.29%, due 06/03/60 144A | 1,677,399 | ||||||||
250,000 | Tenet Healthcare Corp., 4.63%, due 06/15/28 144A | 244,175 | ||||||||
160,000 | Tenet Healthcare Corp., 5.13%, due 11/01/27 144A | 158,336 | ||||||||
1,460,000 | Tenet Healthcare Corp., 7.50%, due 04/01/25 144A | 1,559,462 | ||||||||
350,000 | Tennessee Gas Pipeline Co. LLC, 2.90%, due 03/01/30 144A | 359,433 | ||||||||
425,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 3.25%, due 04/15/22 | 476,895 | |||||||
235,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, 6.00%, due 01/31/25 144A | 279,589 | |||||||
360,000 | EUR | Teva Pharmaceutical Finance Netherlands II BV, Reg S, 1.25%, due 03/31/23(j) | 376,993 | |||||||
1,170,000 | TransDigm, Inc., 6.25%, due 03/15/26 144A | 1,169,117 | ||||||||
3,245,000 | TransDigm, Inc., 8.00%, due 12/15/25 144A | 3,424,659 | ||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., (MTN), Reg S, 9.50%, due 05/13/21(j) | 168,499 | |||||||
540,000 | Transportadora de Gas del Sur SA, 6.75%, due 05/02/25 144A | 466,595 | ||||||||
730,000 | Twitter, Inc., 3.88%, due 12/15/27 144A | 731,898 | ||||||||
340,000 | UBS Group AG, 7.00% (5 year USD swap plus 4.34%)(b) (k) 144A | 353,411 | ||||||||
1,960,000 | UniCredit SpA, 5.46% (5 year USD ICE swap plus 4.75%), due 06/30/35(b) 144A | 1,979,690 | ||||||||
955,000 | UniCredit SpA, 7.30% (5 year USD ICE swap plus 4.91%), due 04/02/34(b) 144A | 1,085,667 | ||||||||
640,000 | UniCredit SpA, Reg S, 8.00% (5 year USD swap plus 5.18%)(b) (j) (k) | 644,400 | ||||||||
1,200,000 | Unifin Financiera SAB de CV, 8.38%, due 01/27/28 144A | 893,250 | ||||||||
1,015,000 | Unifin Financiera SAB de CV, Reg S, 7.00%, due 01/15/25(j) | 764,422 | ||||||||
200,000 | Union Pacific Corp., 3.84%, due 03/20/60 | 232,383 | ||||||||
60,000 | United Airlines Holdings, Inc., 6.00%, due 12/01/20(i) | 59,768 | ||||||||
280,000 | United Airlines Pass Through Trust, 3.70%, due 06/01/24 | 260,829 | ||||||||
140,000 | United Rentals North America, Inc., 3.88%, due 11/15/27 | 139,887 | ||||||||
500,000 | United Rentals North America, Inc., 4.88%, due 01/15/28 | 513,283 | ||||||||
1,580,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 1,635,008 | ||||||||
600,000 | Univision Communications, Inc., 5.13%, due 05/15/23 144A | 607,395 | ||||||||
650,000 | Univision Communications, Inc., 9.50%, due 05/01/25 144A | 692,250 | ||||||||
845,000 | US Foods, Inc., 6.25%, due 04/15/25 144A | 863,484 | ||||||||
500,000 | US Renal Care, Inc., 10.63%, due 07/15/27 144A | 516,468 | ||||||||
850,000 | Vale Overseas, Ltd., 6.88%, due 11/10/39 | 1,112,909 | ||||||||
3,390,000 | VEON Holdings BV, 4.00%, due 04/09/25 144A | 3,510,837 | ||||||||
100,000 | Verizon Communications, Inc., 4.52%, due 09/15/48 | 132,514 | ||||||||
430,000 | EUR | Vertical Holdco GMBH, 6.63%, due 07/15/28 | 482,955 | |||||||
270,000 | Vertical Holdco GMBH, 7.63%, due 07/15/28(d) 144A | 270,000 | ||||||||
405,000 | EUR | Vertical Midco GMBH, 4.38%, due 07/15/27 | 454,876 | |||||||
800,000 | Vertical US Newco, Inc., 5.25%, due 07/15/27(d) 144A | 800,000 | ||||||||
465,000 | VF Ukraine PAT via VFU Funding Plc, 6.20%, due 02/11/25 144A | 461,513 | ||||||||
635,000 | ViacomCBS, Inc., 4.95%, due 01/15/31 | 751,402 | ||||||||
990,000 | ViacomCBS, Inc., 4.95%, due 05/19/50 | 1,107,156 | ||||||||
670,000 | ViacomCBS, Inc., 6.88%, due 04/30/36 | 909,902 | ||||||||
545,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.13%, due 08/15/30 144A | 520,647 | ||||||||
1,730,000 | VICI Properties, LP/VICI Note Co., Inc. REIT, 4.63%, due 12/01/29 144A | 1,689,674 | ||||||||
950,000 | Videotron, Ltd., 5.13%, due 04/15/27 144A | 988,508 | ||||||||
100,000 | Viper Energy Partners, LP, 5.38%, due 11/01/27 144A | 98,261 |
See accompanying Notes to the Schedule of Investments.
107
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
500,000 | Virgin Media Secured Finance Plc, 5.50%, due 08/15/26 144A | 512,923 | ||||||||
500,000 | Virgin Media Secured Finance Plc, 5.50%, due 05/15/29 144A | 523,403 | ||||||||
220,000 | VISA, Inc., 2.70%, due 04/15/40 | 236,122 | ||||||||
1,205,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A | 1,219,761 | ||||||||
1,560,000 | VOC Escrow, Ltd., 5.00%, due 02/15/28 144A | 1,161,911 | ||||||||
130,000 | Vodafone Group Plc, 4.38%, due 05/30/28 | 154,715 | ||||||||
1,695,000 | VTR Finance NV, 6.38%, due 07/15/28(d) 144A | 1,748,003 | ||||||||
230,000 | Waste Management, Inc., 3.45%, due 06/15/29(i) | 237,094 | ||||||||
350,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc REIT, 4.75%, due 09/17/44 144A | 343,583 | ||||||||
530,000 | Weight Watchers International, Inc., 8.63%, due 12/01/25 144A | 547,556 | ||||||||
480,000 | Wells Fargo & Co., 2.50%, due 03/04/21 | 486,739 | ||||||||
140,000 | Wells Fargo & Co., (MTN), 4.48% (3 mo. USD LIBOR plus 3.77%), due 04/04/31(b) | 169,579 | ||||||||
410,000 | Wells Fargo & Co., (MTN), 5.01% (3 mo. USD LIBOR plus 4.24%), due 04/04/51(b) | 571,589 | ||||||||
727,000 | Wendy’s International LLC, 7.00%, due 12/15/25 | 753,583 | ||||||||
995,000 | Western Digital Corp., 4.75%, due 02/15/26 | 1,029,815 | ||||||||
730,000 | Western Midstream Operating, LP, 4.00%, due 07/01/22 | 731,314 | ||||||||
120,000 | Western Midstream Operating, LP, 5.25%, due 02/01/50 | 104,429 | ||||||||
750,000 | Western Midstream Operating, LP, 5.30%, due 03/01/48 | 612,188 | ||||||||
160,000 | Western Midstream Operating, LP, 5.38%, due 06/01/21 | 160,400 | ||||||||
932,000 | Western Midstream Operating, LP, 5.45%, due 04/01/44 | 780,830 | ||||||||
490,000 | Westlake Chemical Corp., 4.38%, due 11/15/47 | 485,774 | ||||||||
390,000 | Westpac Banking Corp., 4.11% (5 year CMT plus 2.00%), due 07/24/34(b) | 431,084 | ||||||||
1,035,000 | Whiting Petroleum Corp., 5.75%, due 03/15/21(l) | 200,531 | ||||||||
160,000 | William Carter Co., (The), 5.50%, due 05/15/25 144A | 165,300 | ||||||||
1,705,000 | William Carter Co., (The), 5.63%, due 03/15/27 144A | 1,761,103 | ||||||||
585,000 | Williams Cos., Inc. (The), 4.85%, due 03/01/48 | 640,903 | ||||||||
650,000 | Williams Cos., Inc. (The), 5.10%, due 09/15/45 | 715,434 | ||||||||
640,000 | Williams Cos., Inc. (The), 5.40%, due 03/04/44 | 713,516 | ||||||||
100,000 | Williams Cos., Inc. (The), 8.75%, due 03/15/32 | 148,467 | ||||||||
400,000 | WPX Energy, Inc., 5.25%, due 09/15/24 | 395,246 | ||||||||
1,030,000 | WPX Energy, Inc., 5.25%, due 10/15/27 | 963,954 | ||||||||
320,000 | WPX Energy, Inc., 5.88%, due 06/15/28 | 308,304 | ||||||||
250,000 | WPX Energy, Inc., 8.25%, due 08/01/23 | 278,411 | ||||||||
370,000 | Wynn Macau, Ltd., 5.13%, due 12/15/29(i) 144A | 359,825 | ||||||||
1,260,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, due 04/15/25 144A | 1,274,584 | ||||||||
700,000 | XPO CNW, Inc., 6.70%, due 05/01/34 | 722,208 | ||||||||
1,720,000 | XPO Logistics, Inc., 6.25%, due 05/01/25 144A | 1,804,925 | ||||||||
1,000,000 | XPO Logistics, Inc., 6.50%, due 06/15/22 144A | 1,003,475 | ||||||||
100,000 | XPO Logistics, Inc., 6.75%, due 08/15/24 144A | 105,021 | ||||||||
290,000 | Yamana Gold, Inc., 4.63%, due 12/15/27 | 305,946 | ||||||||
150,000 | YPF SA, 8.50%, due 03/23/21 144A | 127,331 | ||||||||
800,000 | YPF SA, Reg S, 8.50%, due 03/23/21(i) (j) | 679,100 | ||||||||
125,000 | Yum! Brands, Inc., 4.75%, due 01/15/30 144A | 127,214 | ||||||||
504,000 | EUR | Ziggo BV, 4.25%, due 01/15/27 144A | 585,427 | |||||||
1,135,000 | EUR | Ziggo BV, Reg S, 2.88%, due 01/15/30(j) | 1,261,321 | |||||||
|
| |||||||||
442,238,790 | ||||||||||
|
|
See accompanying Notes to the Schedule of Investments.
108
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — 4.5% | ||||||||||
650,000 | BANK, Series 2018-BNK14, Class A4, 4.23%, due 09/15/60(c) | 770,482 | ||||||||
565,000 | BANK, Series 2020-BNK25, Class AS, 2.84%, due 01/15/63 | 595,239 | ||||||||
2,000,000 | BBCCRE Trust, Series 2015-GTP, Class F, 4.71%, due 08/10/33(c) 144A | 1,691,335 | ||||||||
620,000 | BBCMS Mortgage Trust, Series 2018-CBM, Class D, 2.58% (1 mo. USD LIBOR plus 2.39%), due 07/15/37(b) 144A | 541,683 | ||||||||
450,000 | BBCMS Mortgage Trust, Series 2019-C5, Class A4, 3.06%, due 11/15/52 | 501,825 | ||||||||
530,000 | BBCMS Mortgage Trust, Series 2020-C6, Class AS, 2.84%, due 02/15/53 | 533,654 | ||||||||
380,000 | Benchmark Mortgage Trust, Series 2020-B16, Class AM, 2.94%, due 02/15/53(c) | 402,040 | ||||||||
1,000,000 | BHMS, Series 2018-MZB, Class MZB, 6.82% (1 mo. USD LIBOR plus 6.64%), due 07/15/20(b) 144A | 788,454 | ||||||||
930,000 | BX Commercial Mortgage Trust, Series 2019-IMC, Class E, 2.33% (1 mo. USD LIBOR plus 2.15%), due 04/15/34(b) 144A | 820,413 | ||||||||
1,500,000 | BX Trust, Series 2018-BILT, Class B, 1.20% (1 mo. USD LIBOR plus 1.02%), due 05/15/30(b) 144A | 1,390,677 | ||||||||
640,000 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D, 5.93%, due 12/15/47(c) 144A | 609,004 | ||||||||
480,000 | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class A, 1.13% (1 mo. USD LIBOR plus 0.95%), due 11/15/36(b) 144A | 480,664 | ||||||||
316,211 | Citigroup Mortgage Loan Trust CMO, Series 2018-A, Class A1, 4.00%, due 01/25/68(c) 144A | 321,645 | ||||||||
1,172,500 | CSMC, Series 2019 RIO, 8.74%, due 12/15/22(g) | 1,068,547 | ||||||||
480,000 | CSMC, Series 2019-UVIL, Class A, 3.16%, due 12/15/41 144A | 464,623 | ||||||||
1,051,834 | CSMC, Series 2020-4R, Class 1A1, 3.17% (1 mo. USD LIBOR plus 3.00%), due 06/25/47(b) 144A | 1,064,363 | ||||||||
665,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2018-3, Class M, 4.75%, due 08/25/57(c) 144A | 602,604 | ||||||||
440,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-1, Class M, 4.75%, due 07/25/58(c) 144A | 426,490 | ||||||||
880,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2019-4, Class M, 4.50%, due 02/25/59(c) 144A | 811,158 | ||||||||
580,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-1, Class M, 4.25%, due 08/25/59(c) 144A | 518,750 | ||||||||
990,000 | FHLMC Seasoned Credit Risk Transfer Trust CMO, Series 2020-DNA1, Class B1, 2.48% (1 mo. USD LIBOR plus 2.30%), due 01/25/50(b) 144A | 872,763 | ||||||||
2,270,000 | FHLMC Structured Agency Credit Risk CMO, Series 2020-DNA3, Class B1, 5.27% (1 mo. USD LIBOR plus 5.10%), due 06/25/50(b) (d) 144A | 2,270,000 | ||||||||
939,974 | FHLMC Structured Asset Mortgage Investments II Trust CMO, Series 2005-AR2, Class 2A2, 0.74% (1 mo. USD LIBOR plus 0.56%), due 05/25/45(b) | 693,961 | ||||||||
2,032,697 | FNMA Connecticut Avenue Securities CMO, Series 2014-C04, Class 1M2, 5.08% (1 mo. USD LIBOR plus 4.90%), due 11/25/24(b) 144A | 2,105,351 | ||||||||
603,280 | FNMA Connecticut Avenue Securities CMO, Series 2016-C06, Class 1M2, 4.43% (1 mo. USD LIBOR plus 4.25%), due 04/25/29(b) 144A | 635,576 | ||||||||
1,500,000 | FNMA Connecticut Avenue Securities CMO, Series 2017-C03, Class 1B1, 5.03% (1 mo. USD LIBOR plus 4.85%), due 10/25/29(b) 144A | 1,601,901 | ||||||||
1,494,957 | FNMA Connecticut Avenue Securities CMO, Series 2018-C01, Class 1M2, 2.43% (1 mo. USD LIBOR plus 2.25%), due 07/25/30(b) 144A | 1,472,317 | ||||||||
949,547 | FNMA Connecticut Avenue Securities CMO, Series 2018-C03, Class 1M2, 2.33% (1 mo. USD LIBOR plus 2.15%), due 10/25/30(b) 144A | 941,599 | ||||||||
1,920,000 | FNMA Connecticut Avenue Securities CMO, Series 2018-C05, Class 1B1, 4.43% (1 mo. USD LIBOR plus 4.25%), due 01/25/31(b) 144A | 1,926,971 |
See accompanying Notes to the Schedule of Investments.
109
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,493,784 | FNMA Connecticut Avenue Securities CMO, Series 2018-C05, Class 1M2, 2.53% (1 mo. USD LIBOR plus 2.35%), due 01/25/31(b) 144A | 1,474,218 | ||||||||
642,500 | FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1B1, 3.93% (1 mo. USD LIBOR plus 3.75%), due 03/25/31(b) 144A | 621,654 | ||||||||
1,020,255 | FNMA Connecticut Avenue Securities CMO, Series 2018-C06, Class 1M2, 2.18% (1 mo. USD LIBOR plus 2.00%), due 03/25/31(b) 144A | 987,750 | ||||||||
756,604 | FNMA Connecticut Avenue Securities Trust CMO, Series 2019-R05, Class 1M2, 2.18% (1 mo. USD LIBOR plus 2.00%), due 07/25/39(b) 144A | 746,519 | ||||||||
860,000 | FNMA Connecticut Avenue Securities Trust CMO, Series 2020-R01, Class 1M2, 2.23% (1 mo. USD LIBOR plus 2.05%), due 01/25/40(b) 144A | 827,462 | ||||||||
410,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.56%, due 08/10/44(c) 144A | 305,688 | ||||||||
500,000 | GS Mortgage Securities Trust, Series 2017-GS7, Class A4, 3.43%, due 08/10/50 | 560,670 | ||||||||
900,000 | GS Mortgage Securities Trust, Series 2020-DUNE, Class A, 1.28% (1 mo. USD LIBOR plus 1.10%), due 12/15/36(b) 144A | 842,234 | ||||||||
1,390,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M, 8.39% (1 mo. USD LIBOR plus 8.21%), due 06/15/35(b) 144A | 1,050,376 | ||||||||
1,910,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFL, 3.07% (1 mo. USD LIBOR plus 2.90%), due 07/05/33(b) 144A | 1,734,785 | ||||||||
840,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 2.78% (1 mo. USD LIBOR plus 2.60%), due 09/15/29(b) 144A | 738,751 | ||||||||
1,270,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class F, 3.58% (1 mo. USD LIBOR plus 3.40%), due 09/15/29(b) 144A | 1,060,116 | ||||||||
662,443 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BOLT, Class C, 3.98% (1 mo. USD LIBOR plus 3.80%), due 07/15/34(b) 144A | 591,845 | ||||||||
1,260,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class F, 3.03% (1 mo. USD LIBOR plus 2.85%), due 12/15/36(b) 144A | 1,049,770 | ||||||||
740,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-MKST, Class G, 4.43% (1 mo. USD LIBOR plus 4.25%), due 12/15/36(b) 144A | 604,347 | ||||||||
930,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, Class GFX, 4.69%, due 01/16/37(c) 144A | 826,701 | ||||||||
1,019,109 | Motel 6 Trust, Series 2017-MTL6, Class E, 3.43% (1 mo. USD LIBOR plus 3.25%), due 08/15/34(b) 144A | 940,185 | ||||||||
500,000 | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class A, 1.68% (1 mo. USD LIBOR plus 1.50%), due 07/15/36(b) 144A | 491,539 | ||||||||
820,000 | Natixis Commercial Mortgage Securities Trust, Series 2019-TRUE, Class A, 2.20% (1 mo. USD LIBOR plus 2.01%), due 04/18/24(b) 144A | 766,473 | ||||||||
800,000 | Radnor RE, Ltd. Mortgage Insurance-Linked Notes CMO, Series 2020-1, Class M1C, 1.93% (1 mo. USD LIBOR plus 1.75%), due 02/25/30(b) 144A | 700,488 | ||||||||
230,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 2.93% (1 mo. USD LIBOR plus 2.75%), due 11/15/27(b) 144A | 158,275 | ||||||||
900,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 3.68% (1 mo. USD LIBOR plus 3.50%), due 11/15/27(b) 144A | 569,586 | ||||||||
1,211,880 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class E, 3.34% (1 mo. USD LIBOR plus 3.18%), due 11/11/34(b) 144A | 1,018,023 | ||||||||
1,207,020 | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class F, 4.12% (1 mo. USD LIBOR plus 3.95%), due 11/11/34(b) 144A | 889,490 | ||||||||
755,236 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR1, Class A1B, 0.96% (1 mo. USD LIBOR plus 0.78%), due 01/25/45(b) | 745,032 |
See accompanying Notes to the Schedule of Investments.
110
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,667,611 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2005-AR6, Class 2A1A, 0.64% (1 mo. USD LIBOR plus 0.46%), due 04/25/45(b) | 1,627,449 | ||||||||
975,171 | WaMu Mortgage Pass-Through Certificates Trust CMO, Series 2006-AR16, Class 2A2, 3.33%, due 12/25/36(c) | 887,792 | ||||||||
853,671 | Wells Fargo Mortgage Backed Securities Trust CMO, Series 2006-AR5, Class 2A1, 4.00%, due 04/25/36(c) | 804,469 | ||||||||
|
| |||||||||
50,545,776 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.1% | ||||||||||
100,000 | FNMA, Pool # BL5547, 2.68%, due 01/01/35 | 112,110 | ||||||||
209,604 | FNMA, Pool # BM6224, 2.79%, due 01/01/35(c) | 235,460 | ||||||||
1,180,966 | UMBS, Pool # BM5520, 3.50%, due 02/01/47 | 1,255,242 | ||||||||
|
| |||||||||
1,602,812 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 33.2% | ||||||||||
1,130,000 | Abu Dhabi Government International Bond, 2.13%, due 09/30/24 144A | 1,168,194 | ||||||||
2,870,000 | Abu Dhabi Government International Bond, 4.13%, due 10/11/47 144A | 3,507,700 | ||||||||
930,000 | Angolan Government International Bond, Reg S, 8.25%, due 05/09/28(j) | 769,851 | ||||||||
22,783,128 | ARS | Argentina Treasury Bond, 1.00%, due 08/05/21 | 355,383 | |||||||
535,000 | Argentine Republic Government International Bond, 5.88%, due 01/11/28 | 214,300 | ||||||||
1,320,000 | Bahrain Government International Bond, 7.38%, due 05/14/30(i) 144A | 1,507,044 | ||||||||
2,070,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26 | 2,958,595 | |||||||
705,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35 | 1,087,084 | |||||||
815,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/43 | 1,490,124 | |||||||
300,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, Reg S, 4.00%, due 03/01/23(g) (j) | 401,587 | |||||||
7,697,000 | BRL | Brazil Letras do Tesouro Nacional, 2.94%, due 01/01/22(f) | 1,341,728 | |||||||
3,544,000 | BRL | Brazil Letras do Tesouro Nacional, 3.57%, due 07/01/22(f) | 601,856 | |||||||
14,902,000 | BRL | Brazil Letras do Tesouro Nacional, 4.74%, due 07/01/23(f) | 2,369,923 | |||||||
400,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 6.00%, due 08/15/22 | 267,332 | |||||||
1,779,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 6.00%, due 05/15/45 | 1,360,474 | |||||||
1,408,000 | BRL | Brazil Notas do Tesouro Nacional Series B Notes, 6.00%, due 08/15/50 | 1,098,322 | |||||||
28,104,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/23 | 5,537,375 | |||||||
15,020,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/25 | 3,054,383 | |||||||
29,759,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/27 | 6,205,977 | |||||||
34,278,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/29 | 7,176,303 | |||||||
10,166,000 | BRL | Brazil Notas do Tesouro Nacional Series F Notes, 10.00%, due 01/01/31 | 2,149,041 | |||||||
2,310,000 | Brazilian Government International Bond, 4.75%, due 01/14/50 | 2,186,727 | ||||||||
362,600,000 | COP | Colombian TES, 5.75%, due 11/03/27 | 97,648 | |||||||
27,594,300,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 7,515,502 | |||||||
1,532,300,000 | COP | Colombian TES, 6.25%, due 11/26/25 | 444,511 | |||||||
24,425,500,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 6,985,785 | |||||||
3,691,600,000 | COP | Colombian TES, 7.00%, due 06/30/32 | 1,018,439 | |||||||
1,594,500,000 | COP | Colombian TES, 7.25%, due 10/18/34 | 445,289 | |||||||
18,633,600,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 5,679,406 | |||||||
8,559,500,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 2,515,901 | |||||||
15,273,400,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 5,031,890 | |||||||
2,219,800,000 | COP | Colombian TES, 11.00%, due 07/24/20 | 596,497 | |||||||
15,410,000 | CZK | Czech Republic Government Bond, 0.25%, due 02/10/27 | 633,111 | |||||||
59,120,000 | CZK | Czech Republic Government Bond, 2.00%, due 10/13/33 | 2,834,346 |
See accompanying Notes to the Schedule of Investments.
111
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
24,180,000 | CZK | Czech Republic Government Bond, 2.75%, due 07/23/29 | 1,202,371 | |||||||
20,730,000 | CZK | Czech Republic Government Bond, Reg S, 0.95%, due 05/15/30(j) | 886,659 | |||||||
13,880,000 | CZK | Czech Republic Government Bond, Reg S, 1.00%, due 06/26/26(j) | 599,078 | |||||||
6,760,000 | CZK | Czech Republic Government Bond, Reg S, 2.40%, due 09/17/25(j) | 312,178 | |||||||
1,430,000 | Dominican Republic International Bond, 5.88%, due 01/30/60 144A | 1,234,805 | ||||||||
23,250,000 | DOP | Dominican Republic International Bond, Reg S, 9.75%, due 06/05/26(j) | 358,839 | |||||||
7,648,000 | EGP | Egypt Government Bond, 16.10%, due 05/07/29 | 525,349 | |||||||
525,000 | Egypt Government International Bond, 5.75%, due 05/29/24 144A | 527,334 | ||||||||
740,000 | Egypt Government International Bond, 7.60%, due 03/01/29 144A | 756,243 | ||||||||
430,000 | Egypt Government International Bond, 7.63%, due 05/29/32 144A | 420,794 | ||||||||
1,915,000 | Egypt Government International Bond, 8.88%, due 05/29/50 144A | 1,897,439 | ||||||||
43,370,000 | BRL | European Investment Bank, (MTN), 4.13%, due 08/27/21(f) | 7,534,064 | |||||||
85,067,000 | MXN | European Investment Bank, (MTN), 5.50%, due 01/23/23 | 3,766,664 | |||||||
58,980,000 | MXN | European Investment Bank, (MTN), Reg S, 4.75%, due 01/19/21(j) | 2,551,912 | |||||||
8,150,000 | ZAR | European Investment Bank, (MTN), Reg S, 8.50%, due 09/17/24(j) | 533,819 | |||||||
1,010,000 | Fiji Government International Bond, Reg S, 6.63%, due 10/02/20(j) | 1,006,212 | ||||||||
1,340,000 | Ghana Government International Bond, 7.63%, due 05/16/29 144A | 1,270,588 | ||||||||
200,000 | Ghana Government International Bond, 8.13%, due 03/26/32 144A | 188,800 | ||||||||
2,035,000 | Ghana Government International Bond, Reg S, 7.63%, due 05/16/29(j) | 1,929,587 | ||||||||
962,390,000 | HUF | Hungary Government Bond, 3.00%, due 08/21/30 | 3,293,273 | |||||||
88,770,000 | HUF | Hungary Government Bond, 2.75%, due 12/22/26 | 302,960 | |||||||
189,800,000 | HUF | Hungary Government Bond, 3.00%, due 10/27/27 | 656,380 | |||||||
252,190,000 | HUF | Hungary Government Bond, 3.25%, due 10/22/31 | 883,615 | |||||||
259,530,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 992,510 | |||||||
276,070,000 | HUF | Hungary Government Bond, 6.75%, due 10/22/28 | 1,206,845 | |||||||
430,000 | Indonesia Government International Bond, 3.50%, due 01/11/28 | 458,402 | ||||||||
2,470,000 | Indonesia Government International Bond, (MTN), Reg S, 5.25%, due 01/17/42(j) | 3,063,489 | ||||||||
17,386,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 1,142,961 | |||||||
15,805,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 1,015,016 | |||||||
60,374,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 4,239,070 | |||||||
47,997,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 09/15/30 | 3,313,591 | |||||||
48,277,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 08/15/32 | 3,336,977 | |||||||
4,698,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 06/15/35 | 325,686 | |||||||
85,807,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 05/15/38 | 5,910,081 | |||||||
14,838,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 04/15/40 | 1,026,715 | |||||||
13,900,000,000 | IDR | Indonesia Treasury Bond, 8.13%, due 05/15/24 | 1,029,972 | |||||||
62,356,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/29 | 4,661,095 | |||||||
4,212,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 06/15/32 | 306,973 | |||||||
22,978,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/36 | 1,675,617 | |||||||
4,252,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 316,407 | |||||||
8,419,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 636,803 | |||||||
87,389,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 6,454,612 | |||||||
37,653,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 04/15/39 | 2,781,077 | |||||||
43,775,000,000 | IDR | Indonesia Treasury Bond, 8.75%, due 05/15/31 | 3,340,200 | |||||||
28,849,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 2,242,083 | |||||||
9,536,000,000 | IDR | Indonesia Treasury Bond, 9.50%, due 07/15/31 | 761,011 | |||||||
8,707,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 743,569 | |||||||
35,350,000,000 | IDR | Inter-American Development Bank, (MTN), 7.88%, due 03/14/23 | 2,519,600 | |||||||
1,845,000 | Ivory Coast Government International Bond, Reg S, 6.38%, due 03/03/28(j) | 1,891,568 | ||||||||
1,760,000 | Kazakhstan Government International Bond, (MTN), Reg S, 5.13%, due 07/21/25(j) | 2,045,160 |
See accompanying Notes to the Schedule of Investments.
112
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
1,880,000 | Kenya Government International Bond, Reg S, 7.25%, due 02/28/28(j) | 1,864,095 | ||||||||
2,220,000 | Kingdom of Jordan, 5.85%, due 07/07/30(d) | 2,220,000 | ||||||||
1,180,000 | Kuwait International Government Bond, 3.50%, due 03/20/27 144A | 1,319,463 | ||||||||
2,189,000 | MYR | Malaysia Government Bond, 3.42%, due 08/15/22 | 523,668 | |||||||
5,385,000 | MYR | Malaysia Government Bond, 3.48%, due 06/14/24 | 1,306,027 | |||||||
1,672,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 402,621 | |||||||
2,535,000 | MYR | Malaysia Government Bond, 3.50%, due 05/31/27 | 620,767 | |||||||
22,243,000 | MYR | Malaysia Government Bond, 3.62%, due 11/30/21 | 5,303,729 | |||||||
5,119,000 | MYR | Malaysia Government Bond, 3.73%, due 06/15/28 | 1,263,980 | |||||||
15,977,000 | MYR | Malaysia Government Bond, 3.80%, due 08/17/23 | 3,892,854 | |||||||
1,079,000 | MYR | Malaysia Government Bond, 3.83%, due 07/05/34 | 265,758 | |||||||
3,528,000 | MYR | Malaysia Government Bond, 3.84%, due 04/15/33 | 866,737 | |||||||
6,242,000 | MYR | Malaysia Government Bond, 3.88%, due 03/14/25 | 1,543,861 | |||||||
12,809,000 | MYR | Malaysia Government Bond, 3.89%, due 08/15/29 | 3,226,231 | |||||||
1,047,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 261,180 | |||||||
6,189,000 | MYR | Malaysia Government Bond, 3.90%, due 11/16/27 | 1,548,382 | |||||||
2,259,000 | MYR | Malaysia Government Bond, 3.91%, due 07/15/26 | 562,679 | |||||||
12,995,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 3,249,797 | |||||||
2,020,000 | MYR | Malaysia Government Bond, 4.06%, due 09/30/24 | 501,799 | |||||||
989,000 | MYR | Malaysia Government Bond, 4.13%, due 04/15/32 | 250,014 | |||||||
1,511,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 376,362 | |||||||
1,910,000 | MYR | Malaysia Government Bond, 4.23%, due 06/30/31 | 488,094 | |||||||
1,289,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 327,569 | |||||||
6,404,000 | MYR | Malaysia Government Bond, 4.50%, due 04/15/30 | 1,672,908 | |||||||
807,000 | MYR | Malaysia Government Bond, 4.74%, due 03/15/46 | 209,092 | |||||||
2,849,000 | MYR | Malaysia Government Bond, 4.76%, due 04/07/37 | 765,392 | |||||||
1,860,000 | MYR | Malaysia Government Bond, 4.89%, due 06/08/38 | 506,493 | |||||||
44,232,000 | MXN | Mexican Bonos, 5.75%, due 03/05/26 | 1,966,847 | |||||||
47,923,300 | MXN | Mexican Bonos, 6.50%, due 06/10/21 | 2,107,683 | |||||||
19,839,700 | MXN | Mexican Bonos, 6.50%, due 06/09/22 | 888,046 | |||||||
123,958,900 | MXN | Mexican Bonos, 7.50%, due 06/03/27 | 5,980,305 | |||||||
19,392,700 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 949,241 | |||||||
41,225,700 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 2,027,226 | |||||||
75,873,000 | MXN | Mexican Bonos, 7.75%, due 11/13/42 | 3,589,676 | |||||||
30,697,900 | MXN | Mexican Bonos, 8.00%, due 12/07/23 | 1,464,829 | |||||||
86,152,900 | MXN | Mexican Bonos, 8.00%, due 11/07/47 | 4,181,251 | |||||||
102,447,300 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 5,252,358 | |||||||
81,380,800 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 4,182,269 | |||||||
60,176,800 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 3,135,981 | |||||||
58,811,300 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 3,440,437 | |||||||
18,036,207 | MXN | Mexican Udibonos, 4.50%, due 11/22/35 | 955,288 | |||||||
2,030,000 | Mexico Government International Bond, 3.60%, due 01/30/25 | 2,157,768 | ||||||||
726,000 | Mexico Government International Bond, 4.75%, due 04/27/32 | 802,230 | ||||||||
200,000 | EUR | North Macedonia Government International Bond, 3.68%, due 06/03/26 144A | 228,786 | |||||||
300,000 | Panama Government International Bond, 4.50%, due 04/01/56 | 369,303 | ||||||||
510,000 | Peruvian Government International Bond, 2.78%, due 01/23/31 | 544,935 | ||||||||
6,518,000 | PEN | Peruvian Government International Bond, Reg S (GDN), 6.35%, due 08/12/28(j) | 2,185,271 | |||||||
9,407,000 | PEN | Peruvian Government International Bond, Reg S (GDN), 6.95%, due 08/12/31(j) | 3,243,936 | |||||||
6,699,000 | PEN | Peruvian Government International Bond, Reg S (GDN), 8.20%, due 08/12/26(j) | 2,451,538 | |||||||
1,562,000 | PLN | Poland Government Bond, 5.75%, due 09/23/22 | 444,396 | |||||||
1,710,000 | Provincia de Buenos Aires/Argentina, 6.50%, due 02/15/23 144A | 726,767 |
See accompanying Notes to the Schedule of Investments.
113
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
150,000 | Provincia de Buenos Aires/Argentina, 7.88%, due 06/15/27 144A | 62,626 | ||||||||
180,000 | Provincia de Buenos Aires/Argentina, 9.13%, due 03/16/24 144A | 76,052 | ||||||||
300,000 | Provincia de Buenos Aires/Argentina, 9.95%, due 06/09/21 144A | 126,753 | ||||||||
180,000 | Provincia de Buenos Aires/Argentina, Reg S, 9.95%, due 06/09/21(j) | 76,052 | ||||||||
170,000 | Provincia de Buenos Aires/Argentina, Reg S, 10.88%, due 01/26/21(j) | 81,602 | ||||||||
650,000 | Provincia de Cordoba, 7.13%, due 06/10/21 144A | 406,256 | ||||||||
200,000 | Qatar Government International Bond, 4.82%, due 03/14/49 144A | 263,723 | ||||||||
1,780,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 2,425,841 | ||||||||
2,850,000 | Republic of Belarus Ministry of Finance, 6.38%, due 02/24/31 144A | 2,758,201 | ||||||||
8,749,000 | PLN | Republic of Poland Government Bond, 1.75%, due 07/25/21 | 2,253,351 | |||||||
7,986,000 | PLN | Republic of Poland Government Bond, 2.50%, due 07/25/26 | 2,204,136 | |||||||
4,259,000 | PLN | Republic of Poland Government Bond, 2.50%, due 07/25/27 | 1,176,256 | |||||||
7,086,000 | PLN | Republic of Poland Government Bond, 2.75%, due 04/25/28 | 1,991,399 | |||||||
3,683,000 | PLN | Republic of Poland Government Bond, 2.75%, due 10/25/29 | 1,048,764 | |||||||
1,551,000 | PLN | Republic of Poland Government Bond, 3.25%, due 07/25/25 | 441,435 | |||||||
5,370,000 | RON | Romania Government Bond, 3.25%, due 04/29/24 | 1,233,391 | |||||||
7,475,000 | RON | Romania Government Bond, 3.65%, due 09/24/31 | 1,650,455 | |||||||
1,895,000 | RON | Romania Government Bond, 4.25%, due 06/28/23 | 449,345 | |||||||
7,690,000 | RON | Romania Government Bond, 5.00%, due 02/12/29 | 1,925,043 | |||||||
2,340,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 612,840 | |||||||
495,000 | EUR | Romanian Government International Bond, 2.75%, due 02/26/26 144A | 579,819 | |||||||
647,000 | EUR | Romanian Government International Bond, 3.62%, due 05/26/30(i) 144A | 785,960 | |||||||
427,159,000 | RUB | Russian Federal Bond — OFZ, 6.90%, due 05/23/29 | 6,491,337 | |||||||
78,879,000 | RUB | Russian Federal Bond — OFZ, 7.00%, due 08/16/23 | 1,179,913 | |||||||
701,806,000 | RUB | Russian Federal Bond — OFZ, 7.05%, due 01/19/28 | 10,756,963 | |||||||
346,266,000 | RUB | Russian Federal Bond — OFZ, 7.10%, due 10/16/24 | 5,252,203 | |||||||
274,182,000 | RUB | Russian Federal Bond — OFZ, 7.25%, due 05/10/34 | 4,274,089 | |||||||
90,051,000 | RUB | Russian Federal Bond — OFZ, 7.40%, due 12/07/22 | 1,345,367 | |||||||
40,988,000 | RUB | Russian Federal Bond — OFZ, 7.65%, due 04/10/30 | 652,276 | |||||||
190,314,000 | RUB | Russian Federal Bond — OFZ, 7.70%, due 03/23/33 | 3,059,753 | |||||||
65,832,000 | RUB | Russian Federal Bond — OFZ, 7.70%, due 03/16/39 | 1,082,045 | |||||||
177,677,000 | RUB | Russian Federal Bond — OFZ, 7.75%, due 09/16/26 | 2,815,003 | |||||||
74,707,000 | RUB | Russian Federal Bond — OFZ, 7.95%, due 10/07/26 | 1,192,407 | |||||||
224,560,000 | RUB | Russian Federal Bond — OFZ, 8.15%, due 02/03/27 | 3,636,119 | |||||||
149,130,000 | RUB | Russian Federal Bond — OFZ, 8.50%, due 09/17/31 | 2,530,459 | |||||||
1,865,000 | Saudi Government International Bond, 3.75%, due 01/21/55 144A | 1,905,485 | ||||||||
65,845,180 | ZAR | South Africa Government Bond, 6.25%, due 03/31/36 | 2,521,085 | |||||||
29,921,175 | ZAR | South Africa Government Bond, 6.50%, due 02/28/41 | 1,098,172 | |||||||
60,671,311 | ZAR | South Africa Government Bond, 7.00%, due 02/28/31 | 2,876,082 | |||||||
15,625,000 | ZAR | South Africa Government Bond, 7.75%, due 02/28/23 | 960,701 | |||||||
60,686,981 | ZAR | South Africa Government Bond, 8.00%, due 01/31/30 | 3,230,790 | |||||||
20,343,158 | ZAR | South Africa Government Bond, 8.25%, due 03/31/32 | 1,022,461 | |||||||
39,515,367 | ZAR | South Africa Government Bond, 8.50%, due 01/31/37 | 1,841,709 | |||||||
73,607,976 | ZAR | South Africa Government Bond, 8.75%, due 01/31/44 | 3,345,933 | |||||||
113,537,750 | ZAR | South Africa Government Bond, 8.75%, due 02/28/48 | 5,154,450 | |||||||
79,232,645 | ZAR | South Africa Government Bond, 8.88%, due 02/28/35 | 3,925,047 | |||||||
9,050,463 | ZAR | South Africa Government Bond, 9.00%, due 01/31/40 | 431,297 | |||||||
177,820,957 | ZAR | South Africa Government Bond, 10.50%, due 12/21/26 | 11,681,430 | |||||||
490,000 | State Of Israel, 2.75%, due 07/03/30 | 541,568 | ||||||||
310,000 | State Of Israel, 3.88%, due 07/03/50 | 369,322 | ||||||||
51,000 | THB | Thailand Government Bond, 2.13%, due 12/17/26 | 1,769 |
See accompanying Notes to the Schedule of Investments.
114
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
21,000 | THB | Thailand Government Bond, 2.88%, due 12/17/28 | 772 | |||||||
3,765,000 | Ukraine Government International Bond, Reg S, 0.39%, due 05/31/40(c) (f) (j) | 3,495,720 | ||||||||
69,711,000 | UYU | Uruguay Government International Bond, Reg S, 8.50%, due 03/15/28(j) | 1,511,506 | |||||||
|
| |||||||||
372,112,133 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 4.7% | ||||||||||
650,000 | U.S. Treasury Bond, 2.00%, due 02/15/50 | 744,631 | ||||||||
170,000 | U.S. Treasury Bond, 2.25%, due 08/15/49 | 204,515 | ||||||||
1,040,000 | U.S. Treasury Bond, 2.38%, due 11/15/49 | 1,284,928 | ||||||||
700,000 | U.S. Treasury Bond, 3.13%, due 05/15/48(n) (o) | 981,326 | ||||||||
150,000 | U.S. Treasury Bond, 3.38%, due 11/15/48 | 220,482 | ||||||||
7,000,000 | U.S. Treasury Note, 0.13%, due 06/30/22 | 6,996,172 | ||||||||
800,000 | U.S. Treasury Note, 0.25%, due 06/30/25 | 798,531 | ||||||||
1,400,000 | U.S. Treasury Note, 0.50%, due 03/31/25(i) | 1,415,121 | ||||||||
1,500,000 | U.S. Treasury Note, 0.50%, due 06/30/27 | 1,501,406 | ||||||||
1,572,900 | U.S. Treasury Note, 1.38%, due 04/30/21(o) | 1,588,506 | ||||||||
11,000,000 | U.S. Treasury Note, 1.38%, due 01/31/22 | 11,209,043 | ||||||||
4,240,000 | U.S. Treasury Note, 1.50%, due 02/15/30(i) | 4,584,334 | ||||||||
6,245,000 | U.S. Treasury Note, 1.75%, due 07/15/22 | 6,446,743 | ||||||||
10,000 | U.S. Treasury Note, 1.75%, due 11/15/29 | 11,043 | ||||||||
14,270,000 | U.S. Treasury Note, 2.38%, due 03/15/21 | 14,491,297 | ||||||||
|
| |||||||||
52,478,078 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,067,552,723) | 1,062,212,884 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 0.0% |
| |||||||||
Consumer, Cyclical — 0.0% | ||||||||||
7,396,155 | Edcon Holdings, Ltd. 1* (p) (q) | — | ||||||||
736,020 | Edcon Holdings, Ltd. 2* (p) (q) | — | ||||||||
|
| |||||||||
TOTAL CONSUMER, CYCLICAL | — | |||||||||
|
| |||||||||
Energy — 0.0% | ||||||||||
10 | Amplify Energy Corp. | 12 | ||||||||
14,783 | Nine Point Energy Holdings, LLC* (p) | — | ||||||||
|
| |||||||||
TOTAL ENERGY | 12 | |||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
8,511 | Birch Permian Holdings, Inc.* (p) | 31,916 | ||||||||
66,347 | Birch Permian Holdings, Inc.* (p) | 248,802 | ||||||||
|
| |||||||||
TOTAL UTILITIES | 280,718 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,610,355) | 280,730 | |||||||||
|
| |||||||||
CONVERTIBLE PREFERRED STOCKS — 0.1% |
| |||||||||
Energy — 0.0% | ||||||||||
322 | Nine Point Energy Holdings, Inc., 0.00%* (p) | 28,590 | ||||||||
|
|
See accompanying Notes to the Schedule of Investments.
115
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Shares | Description | Value ($) | ||||||||
Industrial — 0.0% | ||||||||||
380 | Stanley Black & Decker, Inc., 5.00%(e) (k) | 432,824 | ||||||||
|
| |||||||||
Technology — 0.1% | ||||||||||
491 | Broadcom, Inc., 8.00% | 547,146 | ||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (COST $1,150,673) | 1,008,560 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.0% |
| |||||||||
Financial — 0.0% | ||||||||||
6,375 | B. Riley Financial, Inc., 6.50% | 134,194 | ||||||||
2,450 | B. Riley Financial, Inc., 6.88% | 56,154 | ||||||||
|
| |||||||||
TOTAL FINANCIAL | 190,348 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $220,625) | 190,348 | |||||||||
|
| |||||||||
Notional Value | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% |
| |||||||||
PURCHASED CURRENCY OPTIONS — 0.0% | ||||||||||
Put Options — 0.0% | ||||||||||
5,800,000 | USD | USD/EUR Option with JPMorgan Chase Bank N.A., Strike Price EUR 1.16, Expires 09/25/20 | 28,530 | |||||||
4,220,000 | USD | USD/EUR Option with Goldman Sachs & Co., Strike Price EUR 1.14, Expires 09/11/20 | 32,368 | |||||||
|
| |||||||||
TOTAL CURRENCY OPTIONS PURCHASED | 60,898 | |||||||||
|
|
Number of Contracts | Notional Value ($) | Description | Value ($) | |||||
PURCHASED FUTURES OPTIONS — 0.0% |
| |||||||
Put Options — 0.0% | ||||||||
22 | 3,399,220 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $2,700.00, Expires 07/17/20 | 6,875 | |||||
22 | 3,399,220 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $2,850.00, Expires 07/17/20 | 16,775 | |||||
19 | 2,935,690 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $2,600.00, Expires 07/17/20 | 3,800 | |||||
34 | 5,253,340 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $2,800.00, Expires 08/21/20 | 76,500 | |||||
18 | 2,781,180 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $2,700.00, Expires 08/21/20 | 28,350 | |||||
16 | 2,472,160 | S&P 500 E-mini Futures with JPMorgan Chase Bank N.A., Strike Price $2,800.00, Expires 09/18/20 | 55,200 | |||||
|
| |||||||
TOTAL FUTURES OPTIONS PURCHASED (PREMIUMS PAID $446,525) | 187,500 | |||||||
|
| |||||||
TOTAL OPTIONS PURCHASED (PREMIUMS PAID $539,758) | 248,398 | |||||||
|
|
See accompanying Notes to the Schedule of Investments.
116
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
Par Value (a) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.9% |
| |||||||||
Mutual Fund - Securities Lending Collateral — 1.4% | ||||||||||
15,293,110 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.12%(r) (s) | 15,293,110 | ||||||||
|
| |||||||||
Sovereign Debt Obligation — 0.5% | ||||||||||
99,725,000 | EGP | Egypt Treasury Bills, 0.30%, due 07/14/20(f) | 6,179,463 | |||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | 6,179,463 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $21,575,461) | 21,472,573 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.8% (Cost $1,092,649,595) | 1,085,413,493 | |||||||||
Other Assets and Liabilities (net)(t) — 3.2% | 35,509,862 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $1,120,923,355 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ARS — Auction Rate Security | ||||||||||
CDI — Interbank Deposit Rate | ||||||||||
CLO — Collateralized Loan Obligation | ||||||||||
CMO — Collateralized Mortgage Obligation | ||||||||||
CMT — Constant Maturity Treasury Index | ||||||||||
CNRR — China Fixing Repo Rates | ||||||||||
FHLMC — Federal Home Loan Mortgage Corporation | ||||||||||
FNMA — Federal National Mortgage Association | ||||||||||
GDN — Global Depository Note | ||||||||||
ICE — Intercontinental Exchange | ||||||||||
LIBOR — London Interbank Offered Rate | ||||||||||
MTN — Medium Term Note | ||||||||||
OTC — Over-The-Counter | ||||||||||
PIK — Payment In Kind | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
SOFR — Secured Overnight Financing Rate | ||||||||||
TBD — To Be Determined | ||||||||||
TIIE — Mexican Interbank Equilibrium Interest Rate | ||||||||||
UMBS — Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA | ||||||||||
* | Non-income producing security. | |||||||||
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||||||
(b) | Variable or floating rate note. Rate shown is as of June 30, 2020. |
See accompanying Notes to the Schedule of Investments.
117
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
(c) | 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. | |||||||
(d) | When-issued security. | |||||||
(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) | Interest rate presented is yield to maturity. | |||||||
(g) | 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 period end, the market value of restricted securities was $2,392,871, which is 0.2% of net assets. See details shown in the Restricted Securities table that follows. | |||||||
(h) | 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. | |||||||
(i) | All or a portion of this security is out on loan. | |||||||
(j) | 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. | |||||||
(k) | Security is perpetual and has no stated maturity date. | |||||||
(l) | Security is currently in default. | |||||||
(m) | Year of maturity is greater than 2100. | |||||||
(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 forward foreign currency contracts, OTC swaps, and/or OTC options collateral. | |||||||
(p) | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $309,308 which represents 0.0% of net assets. The aggregate tax cost of these securities held at June 30, 2020 was $1,911,239. | |||||||
(q) | Level 3 — significant unobservable inputs were used in determining the value of this portfolio security. | |||||||
(r) | The rate disclosed is the 7-day net yield as of June 30, 2020. | |||||||
(s) | Represents an investment of securities lending cash collateral. | |||||||
(t) | As of June 30, 2020, the value of unfunded loan commitments was $85,354 for the Fund. See Notes to Schedule of Investments. |
See accompanying Notes to the Schedule of Investments.
118
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $347,437,044 which represents 31.0% of net assets. |
At June 30, 2020, the Fund held the following restricted securities:
Restricted Securities | Acquisition Date | Principal Amount | Cost | Value | |||||||||||||||||||||
Bonos de la Tesoreria de la Republica en pesos, Reg S, 4.00%, due 03/01/23 | 05/17/19 | CLP | 300,000,000 | $ | 436,762 | $ | 401,587 | ||||||||||||||||||
CSMC, Series 2019 RIO, 8.74%, due 12/15/22 | 12/16/19 | USD | 1,172,500 | 1,172,500 | 1,068,547 | ||||||||||||||||||||
Magnolia Financial X DAC, Series 2020-1, 2.09%, due 08/13/24 | 03/02/20 | USD | 994,975 | 994,975 | 915,377 | ||||||||||||||||||||
Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22 | 11/02/17 | USD | 640,000 | 541,546 | 7,360 | ||||||||||||||||||||
|
| ||||||||||||||||||||||||
$ | 2,392,871 | ||||||||||||||||||||||||
|
|
Forward Foreign Currency Contracts
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
AUD | 5,781,170 | USD | 4,001,472 | 08/14/20 | Bank of America, N.A. | $ | (20,363 | ) | ||||||||||||
AUD | 4,755,952 | USD | 2,985,137 | 07/16/20 | Citibank N.A. | 289,628 | ||||||||||||||
AUD | 10,395,680 | USD | 7,123,705 | 08/14/20 | Citibank N.A. | 35,110 | ||||||||||||||
AUD | 15,051,725 | USD | 10,217,219 | 07/16/20 | JPMorgan Chase Bank N.A. | 146,819 | ||||||||||||||
BRL | 4,223,040 | USD | 794,103 | 08/14/20 | Barclays Bank Plc | (26,349 | ) | |||||||||||||
BRL | 4,952,948 | USD | 943,045 | 07/16/20 | Citibank N.A. | (41,525 | ) | |||||||||||||
BRL | 12,007,770 | USD | 2,366,459 | 08/14/20 | Citibank N.A. | (183,432 | ) | |||||||||||||
BRL | 2,580,000 | USD | 486,838 | 07/16/20 | Goldman Sachs & Co. | (17,235 | ) | |||||||||||||
BRL | 4,270,270 | USD | 795,460 | 08/14/20 | Goldman Sachs International | (19,120 | ) | |||||||||||||
BRL | 3,280,000 | USD | 620,401 | 07/16/20 | JPMorgan Chase Bank N.A. | (23,386 | ) | |||||||||||||
BRL | 1,231,300 | USD | 243,605 | 07/20/20 | JPMorgan Chase Bank N.A. | (19,527 | ) | |||||||||||||
BRL | 35,344,000 | USD | 6,812,907 | 07/22/20 | JPMorgan Chase Bank N.A. | (381,400 | ) | |||||||||||||
BRL | 8,210,480 | USD | 1,665,074 | 08/14/20 | JPMorgan Chase Bank N.A. | (172,399 | ) | |||||||||||||
BRL | 7,857,260 | USD | 1,470,506 | 08/14/20 | Morgan Stanley & Co. International Plc | (42,046 | ) | |||||||||||||
BRL | 9,470,000 | USD | 1,875,248 | 07/06/20 | Morgan Stanley Capital Services, Inc. | (150,814 | ) | |||||||||||||
CAD | 14,194,425 | USD | 10,234,340 | 07/16/20 | BNP Paribas S.A. | 187,769 | ||||||||||||||
CAD | 5,390,000 | USD | 3,938,012 | 10/16/20 | BNP Paribas S.A. | 20,240 | ||||||||||||||
CAD | 1,530,259 | USD | 1,085,502 | 07/16/20 | Morgan Stanley Capital Services, Inc. | 38,075 | ||||||||||||||
CLP | 320,842,460 | USD | 418,417 | 08/14/20 | Bank of America, N.A. | (27,101 | ) | |||||||||||||
CLP | 288,803,850 | USD | 366,619 | 08/14/20 | Citibank N.A. | (14,378 | ) | |||||||||||||
CLP | 885,395,560 | USD | 1,113,705 | 08/14/20 | Deutsche Bank AG | (33,830 | ) | |||||||||||||
CLP | 2,244,208,300 | USD | 2,948,832 | 07/15/20 | JPMorgan Chase Bank N.A. | (213,030 | ) | |||||||||||||
CLP | 4,054,057,100 | USD | 5,066,938 | 07/22/20 | JPMorgan Chase Bank N.A. | (124,250 | ) | |||||||||||||
CLP | 2,292,377,480 | USD | 2,921,349 | 08/14/20 | JPMorgan Chase Bank N.A. | (125,444 | ) | |||||||||||||
CNH | 10,422,590 | USD | 1,470,369 | 08/14/20 | HSBC Bank Plc | 956 | ||||||||||||||
COP | 1,412,329,290 | USD | 381,858 | 08/14/20 | Barclays Bank Plc | (5,620 | ) | |||||||||||||
COP | 4,283,516,740 | USD | 1,140,110 | 08/14/20 | Deutsche Bank AG | 998 | ||||||||||||||
COP | 2,338,068,200 | USD | 623,096 | 08/14/20 | Goldman Sachs International | (246 | ) |
See accompanying Notes to the Schedule of Investments.
119
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
COP | 1,416,543,500 | USD | 385,035 | 08/14/20 | JPMorgan Chase Bank N.A. | $ | (7,675 | ) | ||||||||||||
COP | 2,924,631,790 | USD | 784,715 | 08/14/20 | UBS AG | (5,607 | ) | |||||||||||||
CZK | 117,282,830 | USD | 5,014,176 | 08/14/20 | Bank of America, N.A. | (68,549 | ) | |||||||||||||
CZK | 17,917,110 | USD | 753,228 | 08/14/20 | Barclays Bank Plc | 2,307 | ||||||||||||||
CZK | 18,208,880 | USD | 763,535 | 08/14/20 | Goldman Sachs International | 4,305 | ||||||||||||||
CZK | 1,872,700 | USD | 79,881 | 07/17/20 | JPMorgan Chase Bank N.A. | (929 | ) | |||||||||||||
EUR | 2,121,000 | USD | 2,380,823 | 07/02/20 | Barclays Bank Plc | 1,379 | ||||||||||||||
EUR | 1,215,000 | USD | 1,361,623 | 07/23/20 | Barclays Bank Plc | 3,620 | ||||||||||||||
EUR | 7,024,450 | USD | 7,918,619 | 08/14/20 | Barclays Bank Plc | (21,724 | ) | |||||||||||||
EUR | 6,430,000 | USD | 7,225,383 | 07/16/20 | BNP Paribas S.A. | (1,383 | ) | |||||||||||||
EUR | 2,947,300 | USD | 3,255,664 | 07/16/20 | Citibank N.A. | 55,579 | ||||||||||||||
EUR | 3,596,640 | USD | 4,108,532 | 08/14/20 | Deutsche Bank AG | (65,185 | ) | |||||||||||||
EUR | 3,534,500 | USD | 3,993,246 | 08/14/20 | Goldman Sachs International | (19,757 | ) | |||||||||||||
EUR | 3,536,440 | USD | 4,008,233 | 08/14/20 | HSBC Bank Plc | (32,563 | ) | |||||||||||||
EUR | 428,380 | USD | 487,728 | 08/14/20 | Morgan Stanley & Co. International Plc | (6,143 | ) | |||||||||||||
EUR | 300,000 | USD | 338,963 | 08/14/20 | State Street Bank London | (1,703 | ) | |||||||||||||
GBP | 1,366,740 | USD | 1,702,218 | 07/16/20 | Citibank N.A. | (13,325 | ) | |||||||||||||
GBP | 580,000 | USD | 712,946 | 07/16/20 | Goldman Sachs International | 3,766 | ||||||||||||||
HUF | 116,495,440 | USD | 379,328 | 08/14/20 | Bank of America, N.A. | (10,321 | ) | |||||||||||||
HUF | 629,872,158 | USD | 2,079,322 | 08/14/20 | Goldman Sachs International | (84,160 | ) | |||||||||||||
HUF | 122,528,330 | USD | 396,853 | 08/14/20 | HSBC Bank Plc | (8,737 | ) | |||||||||||||
HUF | 905,579,000 | USD | 2,991,333 | 07/17/20 | JPMorgan Chase Bank N.A. | (122,189 | ) | |||||||||||||
HUF | 257,950,120 | USD | 836,601 | 08/14/20 | JPMorgan Chase Bank N.A. | (19,527 | ) | |||||||||||||
HUF | 104,027,810 | USD | 339,583 | 08/14/20 | Morgan Stanley & Co. International Plc | (10,068 | ) | |||||||||||||
HUF | 14,400,000 | USD | 45,461 | 08/14/20 | Natwest Markets Plc | 152 | ||||||||||||||
HUF | 139,104,840 | USD | 438,320 | 08/14/20 | UBS AG | 2,304 | ||||||||||||||
IDR | 17,236,321,660 | USD | 1,194,603 | 08/14/20 | HSBC Bank Plc | 6,207 | ||||||||||||||
IDR | 59,388,637,379 | USD | 4,218,243 | 07/15/20 | JPMorgan Chase Bank N.A. | (66,962 | ) | |||||||||||||
IDR | 6,948,490,000 | USD | 482,836 | 07/20/20 | JPMorgan Chase Bank N.A. | 2,594 | ||||||||||||||
IDR | 6,860,580,000 | USD | 482,358 | 07/22/20 | JPMorgan Chase Bank N.A. | (3,177 | ) | |||||||||||||
IDR | 5,748,386,110 | USD | 398,060 | 08/14/20 | JPMorgan Chase Bank N.A. | 2,415 | ||||||||||||||
IDR | 5,483,260,350 | USD | 377,245 | 08/14/20 | Morgan Stanley & Co. International Plc | 4,759 | ||||||||||||||
IDR | 5,849,191,840 | USD | 407,269 | 08/14/20 | UBS AG | 229 | ||||||||||||||
INR | 32,051,250 | USD | 418,282 | 08/14/20 | Goldman Sachs International | 4,497 | ||||||||||||||
INR | 244,071,440 | USD | 3,209,977 | 08/14/20 | HSBC Bank Plc | 9,495 | ||||||||||||||
INR | 61,376,570 | USD | 809,077 | 08/14/20 | UBS AG | 523 | ||||||||||||||
JPY | 1,355,050 | USD | 12,638 | 08/14/20 | Barclays Bank Plc | (71 | ) | |||||||||||||
JPY | 333,160,000 | USD | 3,094,352 | 07/16/20 | Citibank N.A. | (5,747 | ) | |||||||||||||
JPY | 422,104,970 | USD | 3,957,844 | 08/14/20 | Citibank N.A. | (43,237 | ) | |||||||||||||
JPY | 457,900,956 | USD | 4,215,235 | 07/16/20 | Goldman Sachs & Co. | 29,798 | ||||||||||||||
JPY | 854,969,570 | USD | 8,003,038 | 08/14/20 | Natwest Markets Plc | (74,038 | ) | |||||||||||||
KRW | 2,257,690,350 | USD | 1,870,497 | 07/15/20 | JPMorgan Chase Bank N.A. | 6,515 | ||||||||||||||
KRW | 2,284,268,650 | USD | 1,897,564 | 07/20/20 | JPMorgan Chase Bank N.A. | 1,570 | ||||||||||||||
MXN | 44,897,920 | USD | 1,973,288 | 08/14/20 | Bank of America, N.A. | (41,320 | ) | |||||||||||||
MXN | 11,240,000 | USD | 495,919 | 08/14/20 | Barclays Bank Plc | (12,259 | ) | |||||||||||||
MXN | 26,687,500 | USD | 1,165,979 | 08/14/20 | Citibank N.A. | (17,608 | ) | |||||||||||||
MXN | 45,406,012 | USD | 1,844,536 | 07/16/20 | Goldman Sachs & Co. | 116,896 | ||||||||||||||
MXN | 40,875,000 | USD | 1,884,214 | 07/09/20 | Goldman Sachs International | (116,814 | ) |
See accompanying Notes to the Schedule of Investments.
120
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
MXN | 38,360,000 | USD | 1,715,328 | 07/16/20 | Goldman Sachs International | $ | (58,266 | ) | ||||||||||||
MXN | 10,216,297 | USD | 446,464 | 08/14/20 | Goldman Sachs International | (6,854 | ) | |||||||||||||
MXN | 9,686,672 | USD | 439,313 | 08/14/20 | HSBC Bank Plc | (22,493 | ) | |||||||||||||
MXN | 49,680,900 | USD | 2,294,471 | 07/13/20 | JPMorgan Chase Bank N.A. | (147,491 | ) | |||||||||||||
MXN | 14,210,921 | USD | 635,713 | 08/14/20 | JPMorgan Chase Bank N.A. | (24,214 | ) | |||||||||||||
MXN | 42,812,748 | USD | 1,918,317 | 08/14/20 | State Street Bank London | (76,073 | ) | |||||||||||||
MYR | 3,151,120 | USD | 737,277 | 08/14/20 | Morgan Stanley & Co. International Plc | (3,132 | ) | |||||||||||||
NOK | 17,520,000 | USD | 1,739,016 | 07/16/20 | Citibank N.A. | 77,185 | ||||||||||||||
PEN | 112,000 | USD | 32,610 | 07/16/20 | JPMorgan Chase Bank N.A. | (939 | ) | |||||||||||||
PEN | 512,000 | USD | 148,191 | 07/20/20 | JPMorgan Chase Bank N.A. | (3,421 | ) | |||||||||||||
PHP | 2,438,380 | USD | 48,714 | 08/14/20 | Barclays Bank Plc | 127 | ||||||||||||||
PHP | 18,780,000 | USD | 375,803 | 07/15/20 | JPMorgan Chase Bank N.A. | 890 | ||||||||||||||
PLN | 8,086,820 | USD | 2,055,684 | 08/14/20 | Bank of America, N.A. | (11,024 | ) | |||||||||||||
PLN | 14,305,710 | USD | 3,646,801 | 08/14/20 | Barclays Bank Plc | (29,766 | ) | |||||||||||||
PLN | 2,869,430 | USD | 724,635 | 08/14/20 | Citibank N.A. | 868 | ||||||||||||||
PLN | 1,449,380 | USD | 365,631 | 08/14/20 | Deutsche Bank AG | 828 | ||||||||||||||
PLN | 4,430,000 | USD | 1,124,007 | 08/14/20 | HSBC Bank Plc | (3,933 | ) | |||||||||||||
PLN | 16,125,800 | USD | 4,104,976 | 07/17/20 | JPMorgan Chase Bank N.A. | (28,121 | ) | |||||||||||||
PLN | 11,539,240 | USD | 2,913,092 | 08/14/20 | JPMorgan Chase Bank N.A. | 4,474 | ||||||||||||||
PLN | 4,518,540 | USD | 1,147,710 | 08/14/20 | UBS AG | (5,249 | ) | |||||||||||||
RON | 7,136,400 | USD | 1,666,799 | 08/20/20 | JPMorgan Chase Bank N.A. | (15,894 | ) | |||||||||||||
RON | 249,150 | USD | 58,253 | 08/14/20 | UBS AG | (595 | ) | |||||||||||||
RUB | 22,170,540 | USD | 309,861 | 08/14/20 | Bank of America, N.A. | (248 | ) | |||||||||||||
RUB | 151,880,000 | USD | 2,183,263 | 07/16/20 | Citibank N.A. | (55,042 | ) | |||||||||||||
RUB | 71,330,952 | USD | 889,109 | 07/16/20 | Goldman Sachs & Co. | 110,418 | ||||||||||||||
RUB | 116,200,000 | USD | 1,631,839 | 07/16/20 | Goldman Sachs International | (3,585 | ) | |||||||||||||
RUB | 235,321,290 | USD | 3,390,455 | 08/14/20 | HSBC Bank Plc | (104,179 | ) | |||||||||||||
RUB | 20,855,620 | USD | 296,213 | 08/14/20 | Natwest Markets Plc | (4,963 | ) | |||||||||||||
THB | 354,330,740 | USD | 11,385,035 | 08/14/20 | Natwest Markets Plc | 78,016 | ||||||||||||||
TRY | 22,938,260 | USD | 3,293,875 | 08/14/20 | Goldman Sachs International | 16,669 | ||||||||||||||
TRY | 26,464,300 | USD | 3,833,556 | 07/20/20 | JPMorgan Chase Bank N.A. | 11,633 | ||||||||||||||
UAH | 64,004,230 | USD | 2,334,321 | 09/02/20 | Goldman Sachs International | 31,256 | ||||||||||||||
ZAR | 47,480,000 | USD | 2,802,585 | 07/06/20 | Bank of America, N.A. | (71,214 | ) | |||||||||||||
ZAR | 26,582,190 | USD | 1,520,911 | 08/14/20 | Bank of America, N.A. | 1,982 | ||||||||||||||
ZAR | 61,500,300 | USD | 3,677,395 | 08/14/20 | HSBC Bank Plc | (154,046 | ) | |||||||||||||
ZAR | 7,055,080 | USD | 405,775 | 07/20/20 | JPMorgan Chase Bank N.A. | (540 | ) | |||||||||||||
ZAR | 1,930,000 | USD | 111,270 | 08/14/20 | Morgan Stanley & Co. International Plc | (700 | ) | |||||||||||||
ZAR | 13,644,430 | USD | 776,055 | 08/14/20 | Natwest Markets Plc | 5,634 | ||||||||||||||
ZAR | 13,710,580 | USD | 789,417 | 08/14/20 | Toronto Dominion Bank | (3,939 | ) | |||||||||||||
USD | 3,225,350 | AUD | 4,659,540 | 08/14/20 | Barclays Bank Plc | 16,634 | ||||||||||||||
USD | 12,483,587 | AUD | 18,771,200 | 07/16/20 | Citibank N.A. | (441,538 | ) | |||||||||||||
USD | 905,077 | AUD | 1,435,322 | 07/16/20 | JPMorgan Chase Bank N.A. | (83,231 | ) | |||||||||||||
USD | 4,359,727 | AUD | 6,315,760 | 08/14/20 | JPMorgan Chase Bank N.A. | 10,482 | ||||||||||||||
USD | 3,928,276 | AUD | 5,744,270 | 08/14/20 | Morgan Stanley & Co. International Plc | (27,421 | ) | |||||||||||||
USD | 1,549,410 | BRL | 8,331,180 | 08/14/20 | Bank of America, N.A. | 34,792 | ||||||||||||||
USD | 1,341,474 | BRL | 6,593,880 | 08/14/20 | Barclays Bank Plc | 142,698 | ||||||||||||||
USD | 1,463,724 | BRL | 8,310,000 | 07/16/20 | Citibank N.A. | (48,837 | ) | |||||||||||||
USD | 1,481,789 | BRL | 8,550,000 | 07/16/20 | Goldman Sachs & Co. | (74,455 | ) |
See accompanying Notes to the Schedule of Investments.
121
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 1,263,183 | BRL | 6,580,000 | 08/14/20 | Goldman Sachs International | $ | 66,931 | |||||||||||||
USD | 1,087,887 | BRL | 5,442,700 | 07/15/20 | JPMorgan Chase Bank N.A. | 97,180 | ||||||||||||||
USD | 563,869 | BRL | 3,120,000 | 07/16/20 | JPMorgan Chase Bank N.A. | (4,024 | ) | |||||||||||||
USD | 941,473 | BRL | 5,154,000 | 07/22/20 | JPMorgan Chase Bank N.A. | 3,606 | ||||||||||||||
USD | 2,263,280 | BRL | 11,884,510 | 08/14/20 | Morgan Stanley & Co. International Plc | 102,661 | ||||||||||||||
USD | 1,869,509 | BRL | 9,470,000 | 07/06/20 | Morgan Stanley Capital Services, Inc. | 145,076 | ||||||||||||||
USD | 4,190,789 | CAD | 5,740,000 | 07/16/20 | BNP Paribas S.A. | (23,747 | ) | |||||||||||||
USD | 4,073,246 | CAD | 5,700,000 | 07/16/20 | Citibank N.A. | (111,921 | ) | |||||||||||||
USD | 729,943 | CAD | 1,020,000 | 07/16/20 | JPMorgan Chase Bank N.A. | (18,982 | ) | |||||||||||||
USD | 258,995 | CLP | 210,453,110 | 08/14/20 | Deutsche Bank AG | 2,315 | ||||||||||||||
USD | 412,718 | CLP | 338,877,440 | 08/14/20 | HSBC Bank Plc | (595 | ) | |||||||||||||
USD | 1,865,933 | CLP | 1,467,743,100 | 07/15/20 | JPMorgan Chase Bank N.A. | 76,681 | ||||||||||||||
USD | 2,790,216 | CLP | 2,153,665,280 | 08/14/20 | JPMorgan Chase Bank N.A. | 163,492 | ||||||||||||||
USD | 803,957 | CNH | 5,701,790 | 08/14/20 | Barclays Bank Plc | (947 | ) | |||||||||||||
USD | 695,160 | CNH | 4,930,390 | 08/14/20 | JPMorgan Chase Bank N.A. | (848 | ) | |||||||||||||
USD | 679,930 | COP | 2,544,978,160 | 08/14/20 | Barclays Bank Plc | 1,960 | ||||||||||||||
USD | 392,386 | COP | 1,483,757,900 | 08/14/20 | Deutsche Bank AG | (2,880 | ) | |||||||||||||
USD | 799,112 | COP | 2,987,878,530 | 08/14/20 | HSBC Bank Plc | 3,155 | ||||||||||||||
USD | 4,582,067 | COP | 16,722,711,000 | 07/16/20 | JPMorgan Chase Bank N.A. | 115,696 | ||||||||||||||
USD | 1,644,862 | COP | 6,046,511,490 | 08/14/20 | JPMorgan Chase Bank N.A. | 34,100 | ||||||||||||||
USD | 259,233 | EUR | 230,000 | 07/27/20 | Bank of America, N.A. | 769 | ||||||||||||||
USD | 1,150,306 | EUR | 1,025,000 | 07/31/20 | Bank of America, N.A. | (1,646 | ) | |||||||||||||
USD | 1,590,507 | EUR | 1,411,050 | 08/14/20 | Bank of America, N.A. | 4,203 | ||||||||||||||
USD | 2,353,420 | EUR | 2,121,000 | 07/02/20 | Barclays Bank Plc | (28,782 | ) | |||||||||||||
USD | 2,541,919 | EUR | 2,265,000 | 07/23/20 | Barclays Bank Plc | (3,165 | ) | |||||||||||||
USD | 2,382,443 | EUR | 2,121,000 | 08/03/20 | Barclays Bank Plc | (1,412 | ) | |||||||||||||
USD | 3,233,970 | EUR | 2,848,790 | 08/14/20 | Barclays Bank Plc | 31,357 | ||||||||||||||
USD | 1,295,420 | EUR | 1,145,000 | 07/08/20 | BNP Paribas S.A. | 9,256 | ||||||||||||||
USD | 5,279,440 | EUR | 4,826,000 | 07/16/20 | BNP Paribas S.A. | (142,492 | ) | |||||||||||||
USD | 5,860,852 | EUR | 5,210,000 | 10/16/20 | BNP Paribas S.A. | (4,895 | ) | |||||||||||||
USD | 1,794,048 | EUR | 1,600,000 | 07/06/20 | Citibank N.A. | (3,138 | ) | |||||||||||||
USD | 6,291,420 | EUR | 5,760,657 | 07/16/20 | Citibank N.A. | (180,583 | ) | |||||||||||||
USD | 564,537 | EUR | 500,000 | 07/20/20 | Citibank N.A. | 2,745 | ||||||||||||||
USD | 3,148,620 | EUR | 2,790,390 | 08/14/20 | Citibank N.A. | 11,660 | ||||||||||||||
USD | 2,838,353 | EUR | 2,535,000 | 07/06/20 | Deutsche Bank AG | (9,064 | ) | |||||||||||||
USD | 455,118 | EUR | 405,000 | 07/22/20 | Deutsche Bank AG | 46 | ||||||||||||||
USD | 700,656 | EUR | 615,000 | 07/15/20 | Goldman Sachs International | 9,729 | ||||||||||||||
USD | 670,132 | EUR | 595,000 | 07/24/20 | Goldman Sachs International | 1,542 | ||||||||||||||
USD | 3,225,615 | EUR | 2,845,850 | 08/14/20 | Goldman Sachs International | 26,307 | ||||||||||||||
USD | 2,094,840 | EUR | 1,840,000 | 09/15/20 | Goldman Sachs International | 24,825 | ||||||||||||||
USD | 1,932,420 | EUR | 1,720,000 | 07/29/20 | HSBC Bank USA, N.A. | (526 | ) | |||||||||||||
USD | 5,795,816 | EUR | 5,313,180 | 07/16/20 | JPMorgan Chase Bank N.A. | (173,455 | ) | |||||||||||||
USD | 1,668,378 | EUR | 1,464,990 | 08/14/20 | JPMorgan Chase Bank N.A. | 21,435 | ||||||||||||||
USD | 2,587,109 | EUR | 2,300,000 | 09/29/20 | JPMorgan Chase Bank N.A. | (1,247 | ) | |||||||||||||
USD | 817,844 | EUR | 719,010 | 08/14/20 | Natwest Markets Plc | 9,532 | ||||||||||||||
USD | 2,032,374 | EUR | 1,785,000 | 07/15/20 | Standard Chartered Bank | 27,000 | ||||||||||||||
USD | 1,067,855 | EUR | 950,000 | 07/31/20 | Standard Chartered Bank | 192 | ||||||||||||||
USD | 1,704,393 | EUR | 1,500,000 | 07/08/20 | State Street Bank and Trust | 19,462 |
See accompanying Notes to the Schedule of Investments.
122
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 851,958 | EUR | 755,000 | 07/27/20 | State Street Bank and Trust | $ | 3,522 | |||||||||||||
USD | 1,597,646 | EUR | 1,423,910 | 08/14/20 | State Street Bank London | (3,115 | ) | |||||||||||||
USD | 794,043 | EUR | 704,440 | 08/14/20 | UBS AG | 2,110 | ||||||||||||||
USD | 596,448 | GBP | 480,410 | 07/16/20 | Citibank N.A. | 2,801 | ||||||||||||||
USD | 880,093 | GBP | 700,000 | 07/16/20 | Goldman Sachs International | 15,096 | ||||||||||||||
USD | 614,538 | GBP | 495,000 | 07/29/20 | HSBC Bank USA, N.A. | 2,807 | ||||||||||||||
USD | 473,068 | GBP | 380,000 | 07/16/20 | Morgan Stanley Capital Services, Inc. | 3,499 | ||||||||||||||
USD | 932,195 | GBP | 741,000 | 07/06/20 | Standard Chartered Bank | 16,594 | ||||||||||||||
USD | 267,312 | GBP | 215,000 | 07/22/20 | UBS AG | 1,624 | ||||||||||||||
USD | 558,115 | HUF | 170,650,000 | 08/14/20 | Morgan Stanley & Co. International Plc | 17,570 | ||||||||||||||
USD | 5,238,845 | IDR | 86,598,112,712 | 07/16/20 | Citibank N.A. | (813,708 | ) | |||||||||||||
USD | 792,940 | IDR | 11,408,315,280 | 08/14/20 | HSBC Bank Plc | (1,848 | ) | |||||||||||||
USD | 3,737,058 | IDR | 55,602,050,700 | 07/16/20 | JPMorgan Chase Bank N.A. | (149,105 | ) | |||||||||||||
USD | 2,562,840 | IDR | 37,015,095,760 | 07/20/20 | JPMorgan Chase Bank N.A. | (23,079 | ) | |||||||||||||
USD | 1,795,663 | IDR | 25,918,596,760 | 07/21/20 | JPMorgan Chase Bank N.A. | (14,839 | ) | |||||||||||||
USD | 111,731 | IDR | 1,594,954,555 | 07/22/20 | JPMorgan Chase Bank N.A. | 330 | ||||||||||||||
USD | 6,830,841 | IDR | 98,254,819,945 | 07/27/20 | JPMorgan Chase Bank N.A. | (27,990 | ) | |||||||||||||
USD | 391,202 | IDR | 5,707,643,830 | 08/14/20 | JPMorgan Chase Bank N.A. | (6,434 | ) | |||||||||||||
USD | 4,091,556 | IDR | 58,566,563,208 | 08/14/20 | UBS AG | 11,376 | ||||||||||||||
USD | 834,562 | INR | 63,284,800 | 08/14/20 | Citibank N.A. | (209 | ) | |||||||||||||
USD | 1,241,759 | INR | 95,133,130 | 08/14/20 | HSBC Bank Plc | (13,113 | ) | |||||||||||||
USD | 3,991,057 | JPY | 424,331,850 | 08/14/20 | Citibank N.A. | 55,798 | ||||||||||||||
USD | 2,328,455 | JPY | 249,757,790 | 08/14/20 | Deutsche Bank AG | 12,198 | ||||||||||||||
USD | 155,786 | JPY | 16,762,421 | 07/16/20 | Goldman Sachs & Co. | 388 | ||||||||||||||
USD | 3,341,041 | JPY | 366,280,000 | 07/16/20 | Goldman Sachs International | (54,607 | ) | |||||||||||||
USD | 1,580,919 | JPY | 169,388,470 | 08/14/20 | Goldman Sachs International | 10,008 | ||||||||||||||
USD | 1,203,039 | JPY | 127,840,000 | 07/16/20 | JPMorgan Chase Bank N.A. | 17,881 | ||||||||||||||
USD | 4,080,791 | JPY | 434,951,480 | 08/14/20 | Morgan Stanley & Co. International Plc | 47,046 | ||||||||||||||
USD | 1,875,470 | KRW | 2,257,690,350 | 07/15/20 | JPMorgan Chase Bank N.A. | (1,542 | ) | |||||||||||||
USD | 1,892,361 | KRW | 2,284,268,650 | 07/20/20 | JPMorgan Chase Bank N.A. | (6,774 | ) | |||||||||||||
USD | 2,587,348 | MXN | 63,623,134 | 07/16/20 | Citibank N.A. | (161,021 | ) | |||||||||||||
USD | 1,810,744 | MXN | 40,875,000 | 07/09/20 | Goldman Sachs International | 43,344 | ||||||||||||||
USD | 231,245 | MXN | 5,280,000 | 08/14/20 | HSBC Bank Plc | 4,045 | ||||||||||||||
USD | 334,562 | MXN | 7,275,000 | 07/13/20 | JPMorgan Chase Bank N.A. | 20,170 | ||||||||||||||
USD | 2,424,037 | MXN | 54,666,300 | 07/20/20 | JPMorgan Chase Bank N.A. | 63,877 | ||||||||||||||
USD | 1,549,608 | MXN | 35,309,370 | 08/14/20 | JPMorgan Chase Bank N.A. | 30,237 | ||||||||||||||
USD | 1,022,402 | MXN | 23,184,580 | 08/14/20 | Natwest Markets Plc | 24,763 | ||||||||||||||
USD | 244,876 | MYR | 1,044,520 | 08/14/20 | Morgan Stanley & Co. International Plc | 1,525 | ||||||||||||||
USD | 854,149 | NOK | 8,640,000 | 07/16/20 | Citibank N.A. | (41,512 | ) | |||||||||||||
USD | 2,611,600 | PEN | 9,021,510 | 08/14/20 | Barclays Bank Plc | 61,752 | ||||||||||||||
USD | 1,598,564 | PEN | 5,545,420 | 08/14/20 | Citibank N.A. | 31,202 | ||||||||||||||
USD | 2,386,627 | PEN | 8,347,730 | 08/14/20 | Goldman Sachs International | 27,217 | ||||||||||||||
USD | 495,457 | PLN | 1,955,000 | 07/17/20 | JPMorgan Chase Bank N.A. | 1,202 | ||||||||||||||
USD | 265,575 | RON | 1,134,290 | 08/14/20 | Citibank N.A. | 3,076 | ||||||||||||||
USD | 572,906 | RON | 2,468,930 | 08/14/20 | Goldman Sachs International | 1,542 | ||||||||||||||
USD | 472,567 | RON | 2,050,000 | 08/14/20 | UBS AG | (1,848 | ) | |||||||||||||
USD | 4,787,858 | RUB | 347,280,996 | 07/16/20 | Goldman Sachs & Co. | (78,422 | ) | |||||||||||||
USD | 1,058,324 | RUB | 73,000,000 | 07/16/20 | Goldman Sachs International | 35,410 |
See accompanying Notes to the Schedule of Investments.
123
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 81,367 | RUB | 5,690,000 | 08/14/20 | Goldman Sachs International | $ | 1,905 | |||||||||||||
USD | 1,134,964 | RUB | 78,886,070 | 08/14/20 | HSBC Bank Plc | 33,315 | ||||||||||||||
USD | 1,377,196 | RUB | 94,594,800 | 07/15/20 | JPMorgan Chase Bank N.A. | 51,525 | ||||||||||||||
USD | 3,998,452 | RUB | 279,632,400 | 07/20/20 | JPMorgan Chase Bank N.A. | 81,992 | ||||||||||||||
USD | 1,228,658 | RUB | 86,038,630 | 08/14/20 | JPMorgan Chase Bank N.A. | 27,124 | ||||||||||||||
USD | 2,417,144 | SAR | 9,080,000 | 09/24/20 | Citibank N.A. | (1,442 | ) | |||||||||||||
USD | 1,164,274 | SAR | 4,380,000 | 09/24/20 | JPMorgan Chase Bank N.A. | (2,400 | ) | |||||||||||||
USD | 835,891 | THB | 26,012,940 | 08/14/20 | Goldman Sachs International | (5,660 | ) | |||||||||||||
USD | 755,320 | THB | 23,365,810 | 08/14/20 | JPMorgan Chase Bank N.A. | (594 | ) | |||||||||||||
USD | 786,681 | TRY | 5,451,700 | 08/14/20 | Goldman Sachs International | (131 | ) | |||||||||||||
USD | 752,380 | TWD | 22,214,030 | 08/14/20 | Bank of America, N.A. | (680 | ) | |||||||||||||
USD | 2,786,467 | ZAR | 47,480,000 | 07/06/20 | Bank of America, N.A. | 55,096 | ||||||||||||||
USD | 3,075,917 | ZAR | 53,296,060 | 08/14/20 | Bank of America, N.A. | 22,589 | ||||||||||||||
USD | 1,486,359 | ZAR | 25,900,000 | 08/14/20 | Barclays Bank Plc | 2,549 | ||||||||||||||
USD | 832,536 | ZAR | 14,198,320 | 08/14/20 | Deutsche Bank AG | 19,115 | ||||||||||||||
USD | 69,193 | ZAR | 1,179,840 | 08/14/20 | Goldman Sachs International | 1,600 | ||||||||||||||
USD | 379,593 | ZAR | 6,550,470 | 08/14/20 | HSBC Bank Plc | 4,317 | ||||||||||||||
USD | 406,584 | ZAR | 7,055,080 | 07/02/20 | JPMorgan Chase Bank N.A. | 536 | ||||||||||||||
USD | 457,882 | ZAR | 7,785,000 | 07/13/20 | JPMorgan Chase Bank N.A. | 10,387 | ||||||||||||||
USD | 3,539,399 | ZAR | 60,578,500 | 07/20/20 | JPMorgan Chase Bank N.A. | 59,848 | ||||||||||||||
USD | 741,417 | ZAR | 12,790,030 | 08/14/20 | JPMorgan Chase Bank N.A. | 8,676 | ||||||||||||||
USD | 1,610,300 | ZAR | 28,073,810 | 08/14/20 | Morgan Stanley & Co. International Plc | 1,953 | ||||||||||||||
USD | 804,586 | ZAR | 13,658,550 | 08/14/20 | Natwest Markets Plc | 22,087 | ||||||||||||||
USD | 850,138 | ZAR | 14,213,090 | 08/14/20 | State Street Bank London | 35,871 | ||||||||||||||
USD | 1,212,053 | ZAR | 21,171,770 | 08/14/20 | Toronto Dominion Bank | (877 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (2,612,476 | ) | ||||||||||||||||||
|
|
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
10 | 10-Year Australian Bond Futures | Sep 2020 | $ | 1,024,408 | $ | 12,121 | ||||||||||||||
187 | U.S. Treasury Note 2-Year | Sep 2020 | 41,294,860 | 19,846 | ||||||||||||||||
104 | U.S. Treasury Note 5-Year | Sep 2020 | 13,077,187 | 18,832 | ||||||||||||||||
206 | U.S. Ultra 10-Year Note | Sep 2020 | 32,441,781 | 99,532 | ||||||||||||||||
59 | U.S. Ultra Bond | Sep 2020 | 12,871,219 | 42,558 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 192,889 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
227 | Euro 90-Day | Mar 2021 | $ | 56,636,500 | $ | (74,814 | ) | |||||||||||||
17 | Euro-Bund | Sep 2020 | 3,370,394 | (23,789 | ) | |||||||||||||||
3 | Long Gilt | Sep 2020 | 510,204 | (450 | ) | |||||||||||||||
141 | U.S. Long Bond | Sep 2020 | 25,177,312 | (38,281 | ) | |||||||||||||||
85 | U.S. Treasury Note 10-Year | Sep 2020 | 11,829,609 | (27,628 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (164,962 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Schedule of Investments.
124
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Written Options
Written Currency Options
Type of Contract | Counterparty | Notional | Premiums Received | Value at June 30, 2020 | ||||||||||||
CALL — USD/EUR Option | ||||||||||||||||
Expires 09/25/2020 | JPMorgan Chase Bank N.A. | USD | (5,800,000 | ) | $ | (34,249 | ) | $ | (27,991 | ) | ||||||
|
|
|
|
Written Futures Options
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at June 30, 2020 | ||||||||||||||||||||
CALL — U.S. Treasury Note 10-Year Futures Option | Citigroup Global Markets, Inc. | 28 | $ | (3,896,813 | ) | $ | (8,686 | ) | $ | (5,688 | ) | ||||||||||||||
Strike @ $140.00 | |||||||||||||||||||||||||
Expires 07/24/2020 | |||||||||||||||||||||||||
PUT — S&P 500 E-mini Futures Option | JPMorgan Chase Bank N.A. | 11 | (1,699,610 | ) | (20,164 | ) | (1,567 | ) | |||||||||||||||||
Strike @ $2,500.00 | |||||||||||||||||||||||||
Expires 07/17/2020 | |||||||||||||||||||||||||
PUT — S&P 500 E-mini Futures Option | JPMorgan Chase Bank N.A. | 24 | (3,708,240 | ) | (35,725 | ) | (18,600 | ) | |||||||||||||||||
Strike @ $2,500.00 | |||||||||||||||||||||||||
Expires 08/21/2020 | |||||||||||||||||||||||||
PUT — S&P 500 E-mini Futures Option | JPMorgan Chase Bank N.A. | 16 | (2,472,160 | ) | (34,766 | ) | (22,800 | ) | |||||||||||||||||
Strike @ $2,500.00 | |||||||||||||||||||||||||
Expires 09/18/2020 | |||||||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Written Futures Options |
| $ | (99,341 | ) | $ | (48,655 | ) | ||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Written Options |
| $ | (133,590 | ) | $ | (76,646 | ) | ||||||||||||||||||
|
|
|
|
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) | |||||||||||||||||
1.87% | Quarterly | 7-Day CNRR | Quarterly | 09/16/25 | HSBC Bank Plc | $ | — | CNY | 4,283,004 | $ | (13,985 | ) | $ | (13,985 | ) | |||||||||||
1.90% | Quarterly | 7-Day CNRR | Quarterly | 09/16/25 | HSBC Bank Plc | — | CNY | 14,686,329 | (45,029 | ) | (45,029 | ) | ||||||||||||||
2.51% | Quarterly | 7-Day CNRR | Quarterly | 03/18/25 | Citibank N.A. | — | CNY | 10,306,000 | 12,442 | 12,442 | ||||||||||||||||
2.55% | Quarterly | 7-Day CNRR | Quarterly | 02/10/25 | Bank of America, N.A. | — | CNY | 4,620,000 | 7,315 | 7,315 | ||||||||||||||||
2.56% | Quarterly | 7-Day CNRR | Quarterly | 03/18/25 | Bank of America, N.A. | — | CNY | 13,792,000 | 21,304 | 21,304 | ||||||||||||||||
4.22% | At Maturity | BRL-CDI | At Maturity | 01/02/23 | Bank of America, N.A. | — | BRL | 6,899,100 | 7,932 | 7,932 |
See accompanying Notes to the Schedule of Investments.
125
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
OTC — Interest Rate Swaps — continued
Payments | Payment | Payments Made by Fund | Payment Frequency | Maturity | Counterparty | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
6.87% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | $ | — | BRL | 7,210,000 | $ | 46,601 | $ | 46,601 | |||||||||||||
7.02% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Citigroup Global Markets, Inc. | — | BRL | 1,800,000 | 13,948 | 13,948 | ||||||||||||||||
7.02% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Citigroup Global Markets, Inc. | 1,105 | BRL | 2,100,000 | 16,273 | 15,168 | ||||||||||||||||
7.02% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | Citigroup Global Markets, Inc. | 1,320 | BRL | 2,156,000 | 16,707 | 15,387 | ||||||||||||||||
7.04% | At Maturity | BRL-CDI | At Maturity | 01/04/27 | JPMorgan Chase Bank N.A. | — | BRL | 1,400,000 | 11,085 | 11,085 | ||||||||||||||||
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$ | 2,425 | $ | 94,593 | $ | 92,168 | |||||||||||||||||||||
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Centrally Cleared Interest Rate Swaps
Payments | Payment | Payments Made by Fund | Payment Frequency | Maturity | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
5.12% | Monthly | 1-Month TIIE | Monthly | 06/13/25 | $ | 17 | MXN | 24,751,113 | $ | 13,895 | $ | 13,878 | ||||||||||||
7.20% | Monthly | 1-Month TIIE | Monthly | 07/17/24 | — | MXN | 182,404,200 | 747,464 | 747,464 | |||||||||||||||
3-Month USD LIBOR | Quarterly | 2.88% | Semi-Annual | 05/15/44 | 10,190 | USD | 1,786,000 | (785,985 | ) | (796,175 | ) | |||||||||||||
3-Month USD LIBOR | Quarterly | 1.85% | Semi-Annual | 11/15/44 | 4,987 | USD | 2,531,000 | (541,910 | ) | (546,897 | ) | |||||||||||||
0.38% | Semi-Annual | 3-Month USD LIBOR | Quarterly | 08/31/24 | 12,810 | USD | 20,858,000 | 94,843 | 82,033 | |||||||||||||||
0.77% | Semi-Annual | 3-Month USD LIBOR | Quarterly | 03/24/27 | 82,071 | USD | 9,830,000 | 217,576 | 135,505 | |||||||||||||||
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| |||||||||||||||||||||||
$ | (364,192 | ) | ||||||||||||||||||||||
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OTC — Credit Default Swaps
Buy Protection
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment | Deliverable | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | |||||||||||||||||||
730,000 | EUR | 12/20/24 | Morgan Stanley & Co. | (1.00% | ) | Quarterly | Daimler AG, 1.40%, 01/12/24 | $ | 17,561 | $ | (19,195 | ) | $ | (1,634 | ) | |||||||||||||
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|
|
See accompanying Notes to the Schedule of Investments.
126
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
OTC — Credit Default Swaps — continued
Sell Protection
Notional Amount* | Currency | Expiration Date | Counterparty | Receive (Pay) Fixed Rate | Payment | Deliverable | 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+) | $ | (15,672 | ) | $ | 9,254 | $ | (6,418 | ) | ||||||||||||||||||
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Total OTC Credit Default Swaps | $ | 1,889 | $ | (9,941 | ) | $ | (8,052 | ) | ||||||||||||||||||||||||
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|
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Centrally Cleared Credit Default Swaps
Buy Protection
Notional Amount* | Currency | Expiration Date | Receive (Pay) Fixed Rate | Payment | Deliverable on Default | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid (Received) | Value | ||||||||||||||||||
2,050,100 | USD | 06/20/25 | (5.00% | ) | Quarterly | CDX.NA.HY.34** | $ | (102,946 | ) | $ | 117,881 | $ | 14,935 | |||||||||||||
18,810,000 | USD | 06/20/25 | (5.00% | ) | Quarterly | CDX.NA.IG.33*** | 275,053 | (138,028 | ) | 137,025 | ||||||||||||||||
9,310,000 | USD | 06/20/25 | (5.00% | ) | Quarterly | CDX.NA.IG.33*** | 143,231 | (75,411 | ) | 67,820 | ||||||||||||||||
7,505,000 | USD | 06/20/25 | (5.00% | ) | Quarterly | CDX.NA.IG.33*** | 107,207 | (52,535 | ) | 54,672 | ||||||||||||||||
9,405,000 | USD | 06/20/25 | (5.00% | ) | Quarterly | CDX.NA.IG.33*** | 17,453 | 51,060 | 68,513 | |||||||||||||||||
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|
| |||||||||||||||||||||
$ | 439,998 | $ | (97,033 | ) | $ | 342,965 | ||||||||||||||||||||
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* | 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.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. | |||
*** | CDX.NA.IG — Markit North America Investment Grade CDS Index. Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index. |
U.S. Treasury securities in the amount of $89,810 received at the custodian bank as collateral for forward foreign currency contracts, OTC swaps and/or OTC options.
Currency Abbreviations
ARS | — Argentine Peso |
AUD | — Australian Dollar |
See accompanying Notes to the Schedule of Investments.
127
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Currency Abbreviations — continued
BRL | — Brazilian Real |
CAD | — Canadian Dollar |
CLP | — Chilean Peso |
CNH | — Chinese Yuan Renminbi |
CNY | — Chinese Yuan |
COP | — Colombian Peso |
CZK | — Czech Koruna |
DOP | — Domincan 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 |
USD | — U.S. Dollar |
UYU | — Uruguayan Peso |
ZAR | — South African Rand |
See accompanying Notes to the Schedule of Investments.
128
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Corporate Debt | 39.5 | ||||
Sovereign Debt Obligations | 33.2 | ||||
Bank Loans | 9.0 | ||||
U.S. Government and Agency Obligations | 4.7 | ||||
Mortgage Backed Securities — Private Issuers | 4.5 | ||||
Asset Backed Securities | 3.4 | ||||
Convertible Debt | 0.4 | ||||
Mortgage Backed Securities — U.S. Government Agency Obligations | 0.1 | ||||
Convertible Preferred Stocks | 0.1 | ||||
Centrally Cleared Credit Default Swaps | 0.0 | * | |||
Common Stocks | 0.0 | * | |||
Preferred Stocks | 0.0 | * | |||
Purchased Futures Options | 0.0 | * | |||
OTC Interest Rate Swaps | 0.0 | * | |||
Purchased Currency Options | 0.0 | * | |||
Futures Contracts | 0.0 | * | |||
OTC Credit Default Swaps | 0.0 | * | |||
Written Currency Options | 0.0 | * | |||
Written Futures Options | 0.0 | * | |||
Centrally Cleared Interest Rate Swaps | 0.0 | * | |||
Forward Foreign Currency Contracts | (0.6 | ) | |||
Short-Term Investments | 1.9 | ||||
Other Assets and Liabilities (net) | 3.8 | ||||
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| ||||
100.0 | % | ||||
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|
* Amount rounds to zero.
See accompanying Notes to the Schedule of Investments.
129