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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-21732
Mercer Funds
(Exact Name of Registrant as Specified in Charter)
99 High Street
Boston, MA 02110
(Address of Principal Executive Offices)(Zip Code)
Scott M. Zoltowski, Esq.
Mercer Investment Management, Inc.
99 High Street
Boston, MA 02110
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code: (617) 747-9500
Date of Fiscal Year End: March 31, 2016
Date of Reporting Period: March 31, 2016
Table of Contents
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Table of Contents
Mercer Funds™
Annual Report
Mercer US Large Cap Growth Equity Fund
Mercer US Large Cap Value Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
Mercer US Small/Mid Cap Value Equity Fund
Mercer Non-US Core Equity Fund
Mercer Core Fixed Income Fund
Mercer Opportunistic Fixed Income Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity Fund
This report has been prepared for Mercer Funds shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Mercer Funds prospectus. The prospectus contains more complete information about the Funds’ investment objectives, risks, and expenses. Investors are reminded to read the prospectus carefully before investing.
March 31, 2016
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Table of Contents
Mercer US Large Cap Growth Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000® Growth Index.
Investment Strategy
The Fund invests principally in equity securities issued by large capitalization U.S. companies. The companies will generally have higher earnings and/or revenue growth histories or expectations relative to the Russell 1000® Growth Index.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -4.09% compared to its benchmark return of 2.52%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed four sub-advisors, Sands Capital Management, LLC (Sands), HS Management Partners, LLC (HS), Columbia Management Advisers, LLC (Columbia) and Parametric Portfolio Associates LLC (Parametric).
Sands manages a concentrated portfolio using a fundamental, bottom-up approach to identify leading companies in various industries. HS, like Sands, manages a concentrated portfolio of growth companies exhibiting higher quality and reasonable valuation. Columbia also manages a concentrated portfolio of financially strong companies that are growing earnings faster than the broader equity market. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy
Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.
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Table of Contents
Mercer US Large Cap Growth Equity Fund
Within the Russell 1000® Growth Index, the best performing sectors for the fiscal year were telecommunication services, consumer staples, and consumer discretionary with returns of 14%, 13%, and 8% respectively. Energy was the laggard with returns of 45%. Health care, materials, and industrials were the only other sectors with negative returns, down 9%, 5%, and 2% respectively.
The Mercer U.S. Large Cap Growth Equity Fund underperformed the Russell 1000® Growth Index during the period. Sector allocation was generally a positive contributor to performance, but poor stock selection and high volatility of the stocks held, contributed negatively. The primary driver of the Fund’s underperformance was stock selection in the information technology, health care, and consumer staples sectors, although stock selection was negative in all sectors outside of industrials and energy.
Sands performed poorly for the period. An overweight to the health care sector, particularly the poor performing biotech and health care equipment industries, along with poor stock selection in both these industries were the main contributors to the poor performance. An underweight to the consumer staples sector combined with poor stock selection was also detrimental. HS Management was the only manager to outperform for the period. HS Management’s positive performance was driven by a zero weighting to health care and energy and a large underweight to industrials. Stock selection was poor in consumer discretionary, with holdings Williams-Sonoma, Scripps Network, and Ralph Lauren, all dragging down returns. Columbia’s poor performance came in the last quarter of the Fund’s fiscal year when a strong market reversal led to losses for highly volatile stocks that had high expected growth rates. This market environment negatively impacted Columbia’s performance for the entire period, which had been to that point.
Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
The Fund invests in growth stocks which may be particularly sensitive to market conditions. Derivatives which include futures contracts may involve the use of leverage and involve special risks which may increase volatility. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
2
Table of Contents
Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer US Large Cap Growth Equity Shares vs. the
Russell 1000® Growth Index
As of March 31, 2016
This graph shows the performance of the Mercer US Large Cap Growth Equity Fund Class Y-3 shares versus the Russell 1000® Growth Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
3
Table of Contents
Mercer US Large Cap Value Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000® Value Index.
Investment Strategy
The Fund invests principally in equity securities issued by large capitalization U.S. companies that are considered undervalued based on the stocks’ intrinsic values relative to their current market prices.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -7.28% compared to its benchmark return of -1.54%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed five sub-advisors, Brandywine Global Investment Management, LLC (Brandywine), The Boston Company Asset Management, LLC (TBCAM), Boston Partners (BP), O’Shaughnessy Asset Management, LLC (O’Shaughnessy) and Parametric Portfolio Associates LLC (Parametric).
Brandywine seeks to build portfolios comprised of companies whose valuations are below the market but whose earnings growth prospects are equal or better than the market. The firm favors industry leaders with strong competitive positions and reasonable growth expectations given the team’s view of industry and overall economic conditions. TBCAM’s investment process is driven by bottom-up, fundamental security selection, combining traditional valuation measures with the identification of improving business momentum. BP’s process begins with a quantitative analysis that provides a statistical ranking of the investment universe based on valuation, momentum, and fundamental factors. The firm then applies fundamental analysis to those securities that includes validation of the quantitative analysis and fundamental research, including an in-depth review of the issuer’s financials. O’Shaughnessy uses a quantitative approach to find underpriced, high quality companies that are actively paying dividends to shareholders or are repurchasing shares, potentially giving shareholders a greater share of company earnings. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy
4
Table of Contents
Mercer US Large Cap Value Equity Fund
Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.
Within the Russell 1000® Value Index, the best performing sectors for the fiscal year were telecommunication services, utilities, and industrials up 20.4%, 15.4%, and 6.02%, respectively. Energy posted the worst returns at -16.4%.
The Mercer U.S. Large Cap Value Equity Fund underperformed the Russell 1000® Value Index during the period. Most of the underperformance came from stock selection with a portion coming from underweights to utilities and REITs. The Fund employs a combination of yield-seeking, low price-to-earnings and relative value sub-advisors that all underperformed over the period. The sources of poor returns were spread across most sectors other than energy and consumer staples.
Brandywine underperformed the benchmark by 12.3%, which was the worst of the four managers. Brandywine is a deep value manager and the associated higher volatility of these securities was the main source of the underperformance. Market conditions that favored lower volatility and defensive stocks also contributed to underperformance. O’Shaughnessy uses a stock selection process based on a combination of dividends and share buybacks. While the dividend exposure would have been helpful, the combination with share buyback and their valuation requirements were not helpful. The majority of the underperformance for BP and TBCAM occurred during the last quarter of the Fund’s fiscal year. BP’s underweight to utilities, overweight to health care, and poor stock selection within health care and industrials all contributed to poor performance. TBCAM’s underweight to utilities and poor stock selection in health care and financials contributed to poor performance.
Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
Value investing involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. Derivatives which include futures contracts may involve the use of leverage and involve special risks which may increase volatility. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
5
Table of Contents
Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer US Large Cap Value Equity Shares vs. the
Russell 1000® Value Index
As of March 31, 2016
This graph shows the performance of the Mercer US Large Cap Value Equity Fund Class Y-3 shares versus the Russell 1000® Value Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
6
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Mercer US Small/Mid Cap Growth Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500® Growth Index.
Investment Strategy
The Fund invests principally in equity securities issued by small-to-medium capitalization U.S. companies. The companies will generally have higher earnings and/or revenue growth histories or expectations relative to the Russell 2500® Growth Index.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -10.78% compared to its benchmark return of -9.57%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed four sub-advisors, Jackson Square Partners, LLC (Jackson Square) (formerly Delaware Investments Fund Advisors), Palisade Capital Management, L.L.C. (Palisade), Westfield Capital Management Company, L.P. (Westfield) and Parametric Portfolio Associates LLC (Parametric).
Jackson Square uses a bottom-up fundamental process in seeking to find companies with attractive business models that generate strong free cash flow. They also believe in a concentrated portfolio and will typically hold approximately 25 to 30 holdings. Palisade believes companies with strong or improving prospects for growth generate superior returns. Palisade believes that fundamental research is the basis for identifying superior businesses, and that long term investment success is the result of owning fundamentally strong and dynamic companies trading at a discount to their growth rates. Palisade also believes that identifying a dynamic of change before it appears in consensus estimates leads to superior returns, and that management plays a significant role in the success of a company. Westfield employs a fundamental, bottom-up approach which seeks to identify reasonably priced stocks with high earnings growth potential. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy
7
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Mercer US Small/Mid Cap Growth Equity Fund
Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.
Within the Russell 2500® Growth Index, the best performing sectors for the fiscal year were utilities and telecommunication services, the two smallest sectors, and the only ones with positive returns of 7.9% and 1.1% respectively. Lagging sectors for the fiscal year were energy and health care, posting the only double digit negative returns of -49.4% and -21.2%, respectively.
The Mercer US Small/Mid Cap Growth Equity Fund underperformed the Russell 2500® Growth Index for the period. While stock selection was a positive overall, the primary driver of underperformance was stock selection in the materials and consumer discretionary sectors. The information technology sector was the best contributor to relative returns.
Palisade underperformed for the period. The primary driver of underperformance was stock selection, particularly in the health care and consumer discretionary sectors. In the health care sector, positions in Spectranetics and Akorn were the main detractors, while Harman International and Jack in the Box lagged in the consumer discretionary sector. The financials sector was the only positive contributor for this manager. Jackson Square outperformed the index for the period. Jackson Square manages a quality-focused, concentrated and high tracking error portfolio with a long term investment horizon, which can result in performance varying significantly from year to year. The primary areas of outperformance were in the information technology and health care sectors. Allocation and stock selection in both sectors were positive contributors to performance for the period. The financials sector was the only detractor. Westfield underperformed for the period. Sector allocation and stock selection were both negative contributors to performance with the allocation to the information technology sector the only positive contributor. The primary driver of underperformance for the period was stock selection in the consumer discretionary and health care sectors.
Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was consistent with the benchmark.
Risk Considerations
The Fund invests in growth stocks which may be particularly sensitive to market conditions. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.
8
Table of Contents
Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer US Small/Mid Cap Growth Equity Shares vs. the
Russell 2500® Growth Index
As of March 31, 2016
This graph shows the performance of the Mercer US Small/Mid Cap Growth Equity Fund Class Y-3 shares versus the Russell 2500® Growth Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
9
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500® Value Index.
Investment Strategy
The Fund invests principally in equity securities issued by small-to-medium sized capitalization U.S. companies. Generally, the Fund invests in stocks that appear to be undervalued based on the stocks’ intrinsic values relative to their current market prices.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -4.0% compared to its benchmark return of -5.2%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed four sub-advisors, NWQ Investment Management Company, LLC (NWQ), Systematic Financial Management, L.P. (Systematic), River Road Asset Management, LLC (River Road) and Parametric Portfolio Associates LLC (Parametric).
NWQ uses bottom-up fundamental analysis to identify undervalued companies where catalysts for improved valuation exist. The firm seeks stocks that are mispriced or neglected by Wall Street with attractive risk/reward characteristics. Systematic’s investment philosophy is predicated on its belief that stock prices are a reflection of consensus earnings estimates, and as revisions to those estimates rise or fall, stock prices will move accordingly. Systematic applies a strategic combination of qualitative and quantitative research seeking to identify high-quality, attractively valued small and medium-sized companies exhibiting a confirmed catalyst for stock price appreciation. River Road believes inefficiencies can be captured in smaller capitalization and out-of-favor companies and in those securities with little analyst coverage. Through bottom-up, fundamental research, the team seeks companies with attractive, sustainable returns that are financially strong and trade at compelling valuations. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy
10
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.
Within the Russell 2500® Value Index, the best performing sectors for the fiscal year were utilities and consumer staples sectors, posting gains of 15.7% and 0.5%, respectively. Lagging sectors for the fiscal year were energy and materials, posting the returns of -40.9% and -11.4%, respectively.
The Mercer U.S. Small/Mid Cap Value Equity Fund outperformed the Russell 2500® Value Index for the period. Stock selection in the energy and information technology sectors were a contributor to positive performance along with an underweight to energy and overweight to information technology. Underweight allocations to utilities and REITs were the main detractors.
River Road had the best performance of the three sub-advisors. River Road is a more defensive sub-advisor who would be expected to do well in volatile markets. Stock selection within the industrials, energy, and information technology sectors were the largest contributors to positive performance. The underweight to REITs and utilities were the only detractors. NWQ also outperformed during the period, due primarily to a zero weighting to the worst performing sector — energy. An overweight allocation to the information technology and health care sectors, along with good stock selection, were positive contributors to performance. An underweighting to REITs and utilities contributed to underperformance. Systematic was the only sub-advisor to underperform for the period, due primarily to poor stock selection.
Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
Value investing involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.
11
Table of Contents
Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer US Small/Mid Cap Value Equity Shares vs. the
Russell 2500® Value Index
As of March 31, 2016
This graph shows the performance of the Mercer US Small/Mid Cap Value Equity Fund Class Y-3 shares versus the Russell 2500® Value Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
12
Table of Contents
Mercer Non-US Core Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI EAFE Index.
Investment Strategy
The Fund invests principally in equity securities issued by non-U.S. companies of any capitalization, located in the world’s developed and emerging capital markets.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -5.64% compared to its benchmark return of -8.27%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed five sub-advisors, Arrowstreet Capital, Limited Partnership (Arrowstreet), American Century Investment Management, Inc. (American Century), MFS Investment Management (MFS), LSV Asset Management (LSV) and Parametric Portfolio Associates LLC (Parametric). LSV replaced Lingohr & Partner North America, Inc. (Lingohr) as one of the active managers of the Fund in July of 2015.
Arrowstreet’s strategy seeks to outperform international equity benchmarks through risk-controlled core approach. The firm combines sound investment intuition and research with rigorous quantitative tools to identify mispriced stocks around the world. Arrowstreet believes that the key to generating alpha involves evaluating the prospects of a security considering both the characteristics of the stock itself (direct effects) as well as the characteristics of other related stocks (indirect effects). American Century manages the portfolio based on an investment philosophy that companies exhibiting improving or accelerating growth outperform the market over time. The portfolio is constructed through bottom up stock selection within a risk aware framework. Our thorough research process seeks to identify companies that are exhibiting an improvement or acceleration in growth where that growth is sustainable and the street is underestimating the earnings power of the company. American Century will primarily invest in equity securities of companies located in at least three developed countries, excluding the United States. MFS manages a value portfolio, which focuses on stocks whose long-term value they believe is not adequately reflected in the stock price. MFS invests opportunistically in emerging markets. LSV utilizes a quantitative approach which seeks deep value stocks that have fallen out of favor with the market, but have recent momentum, either in terms of price or earnings. LSV believes that long-term results are achieved through systematic exploitation of judgmental biases and behavioral weaknesses that influence investor decisions. LSV aims to exploit these biases through the disciplined application of quantitative techniques to drive bottom-up security selection. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
Global equity markets, as measured by the MSCI World Index, fell -3.45% during the 12-month period ending March 31, 2016. U.S. equities were the market leaders with the S&P 500 Index up 1.78% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -8.27% and -12.03%, respectively, over the same time period.
Much of the weakness in global equity markets was driven by renewed concerns of slowing growth in China and the continued decline in commodity prices which weighed heavily on equities during the period. Chinese gross domestic product (or GDP) slowed to 6.9% for calendar year 2015, its weakest calendar growth rate since 1990. Lackluster GDP growth across developed international markets also strained investor confidence.
Crude oil was down almost 34% during the period. The decline oil led to weakness in both oil related equity and fixed income markets. In addition to the drag from falling commodity prices, emerging market countries such as Brazil and South Africa were also negatively affected by political unrest.
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Mercer Non-US Core Equity Fund
Global Central Bank activity was an important factor for investors during the fiscal year. In response to generally stronger macroeconomic data in the U.S. and after many months of warning investors, the U.S. Federal Reserve finally raised short-term interest rates by 0.25% in December. This was the first interest rate increase in almost 10 years. The U.S. Federal Reserve’s interest rate increase was in stark contrast to the monetary easing being undertaken by the Bank of Japan, the European Central Bank (ECB) and the Bank of China.
European equity markets rallied in the fall of 2015 as comments from ECB President Mario Draghi suggested that the ECB was planning to extend its quantitative easing program and rate cuts. However, the market tumbled later in the year as it appeared investors were looking for more than just six months of additional quantitative easing and further rate cuts.
The Bank of Japan (BOJ) also stepped up its efforts to stimulate the economy and get inflation moving closer to its target rate. The BOJ increased purchases of government debt along with exchange traded funds and Japanese Real Estate Trusts. The divergence in monetary policies globally led to the strengthening of the U.S. Dollar, which added to the pressures on commodity pricing.
In this environment, the Mercer Non-US Core Equity Fund outperformed the MSCI EAFE Index by 2.63% for the 12-month period ending March 31, 2016. The Fund benefitted from stocks which exhibited a bias towards lower volatility, smaller capitalization, price momentum and quality, such as conservative balance sheets and earnings growth stability. Positive outperformance was driven by strong stock selection in Western Europe and Asia Pacific, particularly strong selection in Germany, U.K. and Japan. Conversely, stock selection in Sweden and Ireland detracted from performance. An allocation to emerging markets equity detracted from performance, in particular, stock selection in China and Russia. From a sector perspective, both security selection and sector allocation had a positive impact on performance. The Fund benefitted from an overweight to consumer staples and underweight to financials along with positive security selection coming from financials and consumer discretionary.
In aggregate, performance of the Fund’s sub-advisors was mixed, with two of the four active sub-advisors outperforming. However, the strong performance of the two sub-advisors, MFS and Arrowstreet, outpaced the underperformance of American Century and LSV. MFS led all sub-advisors by outperforming the index by 11.75%, as their style of investing in long-term value securities did well over the past fiscal year. Performance was driven primarily by strong stock selection in Western Europe and Asia Pacific, particularly in Germany, U.K. and Japan. From a sector perspective, strong selection in information technology, financials and industrials drove performance. MFS’ quality and sustainable business bias led to a more defensive positioned portfolio with a persistent overweight to consumer staples and less volatile stocks which also added to the strong positive performance. Another strong contributor for the fiscal year was Arrowstreet. Arrowstreet outperformed from a sector perspective as a result of positive allocation decisions. Underweighting financials in favor of overweighting consumer staples was the primary positive contributor. In addition, stock selection was strong in healthcare and financials. From a regional perspective, the underweight to Spain and Switzerland added to the positive performance. Offsetting some of the positives for Arrowstreet was negative stock selection in Japan and underweight to telecom and utilities. While stock selection and an underweight in financials were additive to performance, the American Century portfolio underperformed the benchmark due to stock selection and an underweight in industrials as well as an underweight in utilities and telecom. LSV underperformed since its addition to the Fund in July 2015. Sector allocation was the primary driver of the underperformance with an overweight to financial and materials while underweighting consumer staples. On a regional basis, the poor selection in Western Europe, namely U.K. and France added to the negative performance. The negative performance was partly offset by the positive security selection in the industrial, energy and financials sectors.
Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
LSV replaced Lingohr as one of the active managers in the Fund based on the departure of Frank Lingohr. Frank was the founder of the firm and original architect of the investment philosophy. We believe performance expectations will be diminished as a result of the change.
Risk Considerations
The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more
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Mercer Non-US Core Equity Fund
developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
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Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer Non-US Core Equity Shares vs. the
MSCI EAFE Index
As of March 31, 2016
This graph shows the performance of the Mercer Non-US Core Equity Fund Class Y-3 shares versus the MSCI EAFE Index from August 18, 2006, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Mercer Core Fixed Income Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide total return, consisting of both current income and capital appreciation. The benchmark for the Fund is the Barclays U.S. Aggregate Bond™ Index.
Investment Strategy
The Fund invests principally in investment grade fixed income securities, including government securities, corporate bonds and securitized bonds such as mortgage and asset-backed securities. The Fund may also invest in non-investment grade bonds, non-U.S. dollar denominated bonds, bonds issued by issuers located in emerging capital markets, and certain derivative instruments. The Fund may invest in derivative instruments, such as options, futures, and swap agreements. The Fund may engage in transactions in derivatives for a variety of purposes, including changing the investment characteristics of its portfolio, enhancing total returns or as a substitute for taking a position in an underlying asset.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was 1.26% compared to its benchmark return of 1.96%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed three sub-advisors, Dodge & Cox, Income Research & Management (IR&M) and Prudential Fixed Income, a business unit of PGIM, Inc. (Prudential).
Dodge & Cox manages its allocated portion of the Fund with an extended investment horizon supported by fundamental research and a strict valuation discipline. Their process emphasizes security-level research and individual security and sector selection to build a high-average-quality portfolio that seeks incremental yield versus the broad market. IR&M manages its allocated portion based on the belief that careful security selection and higher portfolio income provide superior returns over the long term. Portfolios are constructed using a disciplined, bottom-up investment approach to select attractive securities from the U.S fixed income universe. Prudential manages its allocated portion of the Fund by seeking to maximize excess return opportunities from sustainable alpha sources such as sector allocation and bottoms up security selection. This process is coupled with a diligent daily portfolio risk evaluation and monitoring process. Research-based security selection is a major source of added value and incorporates both fundamental analysis as well as proprietary models that identify relative value and detailed technical review of issuers across both benchmark and non-benchmark sectors, with an emphasis on credit-oriented sectors.
Market Commentary and Fund Performance
For the 12 month period ending March 31, 2016, U.S. fixed income market returns as measured by the Barclay U.S. Aggregate index were positive, reflecting price increases associated with falling interest rates. Intermediate U.S. Treasury rates decreased 0.15% and longer term interest rates increased 0.06% year-over-year (with some interim volatility), while the short end of the yield curve rose slightly as the Federal Reserve raised short term interest rates in December. Interest rates experienced volatility within each quarter, but the overall results were largely unchanged year over year. This was largely driven by foreign investors buying U.S. Treasury securities as economies in Europe slowed, making U.S. Treasuries a safe haven investment for foreign buyers. U.S. market participants closely followed economic releases (egs. Non Farm Payrolls, Unemployment Rate, Federal Reserve Minutes) to gauge the pace at which the Federal Reserve would raise rates which added to short term volatility. The Federal Reserve clarified the timing and the pace of future rate increases in the first quarter of 2016 which eased market fears of imminent increases.
Returns from securities not backed by a U.S. Government Guarantee (Corporate Bonds, Asset Backed Securities, and Commercial Mortgage Backed Securities) were positive, as they benefitted from the drop in interest rates, although spreads increased and they underperformed Treasuries with similar durations. Despite solid corporate fundamentals, longer maturity corporate bonds performed poorly in terms of excess returns as the increase in spreads in the long end was more severe. Investment-grade corporate bond issuers continued issuing a large amount of new debt to take advantage of low funding rates, exceeding the record breaking issuance of the prior year.
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Mercer Core Fixed Income Fund
With Treasury rates largely unchanged during the 12-month period, positive total return was mainly driven by yield. Spread sectors (i.e., non-Treasury securities) provided lower returns in relation to similar-duration Treasuries while registering moderate gains in absolute terms. The Fund’s return was positive in absolute terms although it underperformed in relation to the Barclays U.S. Aggregate Bond Index for the period. The Fund was hurt by its strategic overweight to spread sectors including an allocation to high yield. The Fund’s underweight to lower yielding U.S. Treasuries in the form of a shorter duration positioning or term structure bias (i.e. favoring certain maturities over others), relative to the index, also was detrimental to performance.
The respective performance results of each sub-advisor correlated with their risk posture, as more risk translated into less returns in this “risk-off” period. Dodge & Cox has the largest share of the risk allocation within the Fund. Their bias towards corporate credit and avoidance of U.S. Treasuries, as well as a relatively shorter duration position, led them to have the weakest returns over the period. Prudential had a less aggressive allocation to spread sectors but was nonetheless overweight as spreads widened, which detracted from performance. However, a more neutral-to-positive interest rate position benefited performance. IR&M’s spread positioning was biased towards higher quality corporate bonds which caused them to underperform for the 12 months as well.
Risk Considerations
The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, prepayment, call and interest rate risk. As interest rates rise, the value of bond prices will decline. The Fund may invest in more aggressive investments such as foreign securities which may expose the Fund to currency and exchange rate fluctuations, derivatives (futures, options, swaps) and high yield debt (also known as junk bonds) all of which may cause greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
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Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer Core Fixed Income Shares vs. the
Barclays U.S. Aggregate Bond™ Index
As of March 31, 2016
This graph shows the performance of the Mercer Core Fixed Income Fund Class Y-3 shares versus the Barclays US Aggregate Bond™ Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Mercer Opportunistic Fixed Income Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The Fund’s primary benchmark is the Bank of America Merrill Lynch Global High Yield 2% Constrained Index. The Fund’s secondary benchmark is a blended benchmark consisting of 50% JP Morgan Government Bond Index — Emerging Markets Global Diversified and 50% Bank of America Merrill Lynch Global High Yield 2% Constrained Index.
Investment Strategy
The Fund invests principally in fixed income securities of U.S. and non-U.S. issuers, including those in emerging and frontier markets. The Fund invests in various strategic and tactical global bond market opportunities without limitations in geography, issuer type, quality and currency denomination. The Fund may invest in derivatives such as futures (including among others, interest rate futures, swaps (currency, interest rate, credit default and total return), forwards, options, and credit-linked notes. The Fund may engage in transactions in derivatives for a variety of purposes, including hedging, risk management, efficient portfolio management, enhance total returns, or as a substitute for taking position in the underlying asset.
Performance
For the fiscal ended March 31, 2016, the Fund’s Y-3 share class performance was -6.25% compared to its primary benchmark return of -0.75% and secondary benchmark return of -1.14%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed two sub-advisors, Franklin Advisers, Inc. (Franklin) and Investec Asset Management Limited (Investec).
In managing its allocated portion of the Fund’s portfolio, Franklin will typically invest in non-investment grade securities issued globally. Franklin is a research driven, fundamental investor that relies on a team of analysts to provide in-depth industry expertise, using both qualitative and quantitative analysis to evaluate issuers. Although bottom-up security selection forms the core part of Franklin’s process, it uses industry attractiveness when selecting investments. In managing its allocated portion of the Fund’s portfolio, Investec will invest in public sector, sovereign and corporate bonds issued by emerging market borrowers and those denominated in local emerging market currencies. Investec’s portfolio construction process promotes allocation to countries and currencies identified based on economic fundamentals, valuations and market price behavior.
Market Commentary and Fund Performance
For the 12 month period ending March 31, 2016, U.S. and global fixed income markets experienced a volatile period driven by a few broad underlying factors: a sharp sell-off in the physical commodities markets; economic uncertainty in China; a rally in U.S. dollar currency versus developed and emerging market currencies; and significant oil price declines creating mixed effects to energy importer and exporter economies.
The uncertainty in the global fixed income market created positive total returns for U.S. Treasury securities and negative total returns for lower quality rated and non-U.S. dollar denominated debt. U.S. Treasury securities prices moved higher, primarily from foreign buying and a slow-down in global growth due to falling oil prices. The Merrill Lynch Global High Yield Index experienced a widening in its risk premium by 1.3% (i.e. the increase in yield over U.S. Treasuries) ending the fiscal year period with a risk premium of 6.3% and an overall yield of 7.6%. Volatile oil prices and a strong U.S. dollar negatively influenced bond price but the environment for the corporate credit market remained relatively stable outside of the energy sector. Low corporate default rates, stable business fundamentals and a favorable view on the overall yield level of High Yield provided positive momentum which allowed companies to issue debt.
Local Emerging markets debt experienced a volatile environment during the twelve months ending March 31, 2016. Security valuations fluctuated as a result of the diversion of monetary policy between the U.S. and the rest of the world. U.S. interest rates moved higher at calendar year end with the Federal Reserve increasing Federal Funds interest rate, but fell sharply as
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Mercer Opportunistic Fixed Income Fund
equity markets sold off sharply worldwide in January. Europe and emerging economies remained in an accommodative monetary policy. The sharp equity sell-off and a slowing global economy brought flows into U.S. Treasuries relative to developed markets.
In the fiscal year Franklin underperformed. This underperformance was driven primarily by its allocation to the energy sector within the High Yield Index. Both the allocation the sector generally and the specific security selection within the sector detracted from performance. Franklin built an energy sector over-weight before the economic impact of oil price weakness was fully priced into the market, which led to the underperformance. Additionally the widening of spreads from oil and dollar impact on global economics coupled with Franklin’s aggressive view on lower rated bonds in the portfolio impacted performance negatively during the year. Investec also underperformed for the period. The majority of underperformance came from foreign exchange trades and interest rate positioning. Security selection in bonds was positive factor. During the period Investec performed poorest in duration/curve positioning and currency selection.
Risk Considerations
The Fund invests in non-investment grade and emerging market fixed income securities which involves certain risks such as higher volatility, currency fluctuation, political and social instability and reduced market liquidity. The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, call and interest rate risk. The Fund may invest in more aggressive investments such as derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
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Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer Opportunistic Fixed Income Shares vs. the
Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index1
As of March 31, 2016
This graph shows the performance of the Mercer Opportunistic Fixed Income Fund Class Y-3 shares versus the Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index1 from August 21, 2013, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
1 The Mercer Opportunistic Fixed Income Fund’s Secondary Index is a blended benchmark consisting of 50% JP Morgan Government Bond Index — Emerging Markets Global Diversified USD Unhedged and 50% Bank of America ML Global High Yield 2% Constrained Index Unhedged.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Mercer Emerging Markets Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI Emerging Markets Index.
Investment Strategy
The Fund invests principally in equity securities of large, medium and small capitalization companies, located in emerging markets, other investments that are tied economically to emerging markets, as well as in American, European and Global Depository receipts. Stock index futures and various types of swaps may be used to implement the country selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -12.06% compared to its benchmark return of -12.03%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed four sub-advisors, AQR Capital Management, LLC (AQR), Kleinwort Benson Investors International Ltd. (KBI), Investec Asset Management US Limited (Investec) and Parametric Portfolio Associates LLC (Parametric).
AQR employs a systematic, research-driven investment approach focused on sourcing alpha (i.e., excess return relative to the benchmark) from currency, country and security selection strategies. AQR’s proprietary investment process uses fundamental factors, such as value, momentum and quality within the alpha models. AQR uses quantitative tools to construct optimized portfolios based on this diversified set of fundamental factors, along with estimates of risk and transactions costs. KBI manages a systematic process focusing on quality firms growing their dividend yield. The portfolio construction process uses sector and region constraints to minimize uncompensated risks to ensure the majority of risk is associated with the alpha model. Investec uses a 4-Factor Model comprised of Strategy, Value, Earnings and Technicals, to build its portfolio. Investec’s strategy looks for high quality, attractively valued companies which have improving operating performance and are receiving increasing investor attention. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
Global equity markets, as measured by the MSCI World Index, fell -3.45% during the 12-month period ending March 31, 2016. U.S. equities were the market leaders with the S&P 500 Index up 1.78% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -8.27% and -12.03%, respectively, over the same time period.
Much of the weakness in global equity markets was driven by renewed concerns of slowing growth in China and the continued decline in commodity prices which weighed heavily on equities during the period. Chinese gross domestic product (or GDP) slowed to 6.9% for calendar year 2015, its weakest calendar growth rate since 1990. Lackluster GDP growth across developed international markets also strained investor confidence.
Crude oil was down almost 34% during the period. The decline oil led to weakness in both oil related equity and fixed income markets. In addition to the drag from falling commodity prices, emerging market countries such as Brazil and South Africa were also negatively affected by political unrest.
Global Central Bank activity was an important factor for investors during the fiscal year. In response to generally stronger macroeconomic data in the U.S. and after many months of warning investors, the U.S. Federal Reserve finally raised short-term interest rates by 0.25% in December. This was the first interest rate increase in almost 10 years. The U.S. Federal Reserve’s interest rate increase was in stark contrast to the monetary easing being undertaken by the Bank of Japan, the European Central Bank (ECB) and the Bank of China.
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Mercer Emerging Markets Equity Fund
European equity markets rallied in the fall of 2015 as comments from ECB President Mario Draghi suggested that the ECB was planning to extend its quantitative easing program and rate cuts. However, the market tumbled later in the year as it appeared investors were looking for more than just six months of additional quantitative easing and further rate cuts.
The Bank of Japan (BOJ) also stepped up its efforts to stimulate the economy and get inflation moving closer to its target rate. The BOJ increased purchases of government debt along with exchange traded funds and Japanese Real Estate Trusts. The divergence in monetary policies globally led to the strengthening of the U.S. Dollar, which added to the pressures on commodity pricing.
In this environment, the Mercer Emerging Markets Equity Fund slightly underperformed the MSCI Emerging Markets Index by 0.03% for the 12-month period ending March 31, 2016. The Fund’s currency positioning was a positive offset to the negative effect of poor stock selection, as the Fund was overweight the U.S. Dollar. The Fund’s overweight to the Consumer Staples sector added the most value in terms of sector positioning, while stock selection in the Consumer Discretionary and Energy sectors offset some of those gains. The Fund also held some out of benchmark holdings in the United Kingdom that were positive contributors to relative performance.
At the underlying sub-advisor level, AQR’s performance lagged the benchmark for the year, while KBI’s and Investec’s performance was relatively flat versus the benchmark. AQR contributed to the Fund’s underperformance through poor stock selection during the year. AQR’s currency selection, however, including an underweight of the Mexican peso and Colombian peso, contributed positively. Investec’s performance was negatively affected by an overweight to China and underweights to South Africa and Russia, but positively affected by good stock selection, which offset some of the country-led underperformance. The largest detractor to KBI’s performance was stock selection in Taiwan.
Vontobel Asset Management, Inc. was removed as a sub-advisor to the Fund as of March 21, 2016 after announcing that the portfolio manager of the strategy was leaving the firm. Vontobel used a fundamental process to identify high quality, sustainable growth companies in businesses with high barrier to entry. Vontobel’s risk management process focused on capital preservation and manages risk in absolute terms. The Vontobel strategy outperformed the MSCI Emerging Markets Index for the fiscal year ending March 31, 2016. The strategy’s overweight to Consumer Staples, along with stock selection within the sector, accounted for the majority of outperformance.
Risk Considerations
The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, forwards, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.
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Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer Emerging Markets Equity Shares vs. the
MSCI Emerging Markets Index
As of March 31, 2016
This graph shows the performance of the Mercer Emerging Markets Equity Fund Class Y-3 shares versus the MSCI Emerging Markets Index from May 1, 2012, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
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Mercer Global Low Volatility Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI World Index.
Investment Strategy
The Fund invests principally in equity securities of U.S. and foreign issuers, of large, medium and small capitalization companies. Stock index futures and various types of swaps may be used to implement the equity security selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.
Performance
For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was 4.13% compared to its benchmark return of -3.45%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2016, the Fund employed five sub-advisors, Acadian Asset Management LLC (Acadian), MFG Asset Management (MFG), First Eagle Investment Management, LLC (First Eagle), Martingale Asset Management, L.P. (Martingale) and Parametric Portfolio Associates LLC (Parametric).
Acadian’s process uses both risk analysis and stock forecasts to create the portfolio. The process uses a risk model to determine the systematic risk and the level of volatility of each stock in the investable universe. Once a stock’s risk is determined, Acadian uses its stock forecast model as an overlay to determine the optimal mix of securities. The security return forecasting model incorporates five categories including value, growth, risk, macroeconomic, and technical factors. MFG screens the universe of investable global stocks to identify high quality companies based on key quality criteria: the sustainability of a company’s competitive advantages; the predictability and reliability of future cash flows and earnings; the extent to which management will act in the best interest of shareholders; and re-investment potential. MFG then evaluates investment opportunities quantitatively incorporating both long-term intrinsic value and three-year forecast total shareholder returns using MFG’s proprietary forecasts. Portfolio construction is determined by each stock’s ranking based on the qualitative assessment of the key criteria, the quantitative assessment driven by valuation, and detailed macroeconomic research within a robust risk management framework. From time to time, MFG may hold up to 20% of its portion of the Fund in cash if warranted by their assessment of the macro environment. First Eagle can be broadly characterized as value in approach, looking to identify companies selling at, what First Eagle believes to be, a discount to intrinsic value with the goal being to avoid permanent impairment of capital (as opposed to temporary losses in share value relating to shifting investor sentiment or other normal share price volatility). First Eagle’s primary valuation measure is the ratio of enterprise value to normalized earnings before interest and taxes, although other metrics can be applied depending on the company or industry. If stocks are deemed too expensive, based on their bottom up valuation analysis, cash and cash equivalents or bonds will be held instead, up to 20% of its portion of the Fund. In addition, a gold exposure is maintained (both through gold-backed exchange traded funds and the equities of gold mining companies), with the view that it is a potential portfolio hedge. Martingale’s approach to low volatility investing is built around a risk-adjusted market index methodology which promotes broad and stable diversification combined with a valuation overlay which favors low risk companies with stronger fundamentals. Martingale’s systematic stock evaluation incorporates measures of relative valuation, growth and quality, along with each security’s risk properties. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
Global equity markets, as measured by the MSCI World Index, fell -3.45% during the 12-month period ending March 31, 2016. U.S. equities were the market leaders with the S&P 500 Index up 1.78% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -8.27% and -12.03%, respectively, over the same time period.
26
Table of Contents
Mercer Global Low Volatility Equity Fund
Much of the weakness in global equity markets was driven by renewed concerns of slowing growth in China and the continued decline in commodity prices which weighed heavily on equities during the period. Chinese gross domestic product (or GDP) slowed to 6.9% for calendar year 2015, its weakest calendar growth rate since 1990. Lackluster GDP growth across developed international markets also strained investor confidence.
Crude oil was down almost 34% during the period. The decline oil led to weakness in both oil related equity and fixed income markets. In addition to the drag from falling commodity prices, emerging market countries such as Brazil and South Africa were also negatively affected by political unrest.
Global Central Bank activity was an important factor for investors during the fiscal year. In response to generally stronger macroeconomic data in the U.S. and after many months of warning investors, the U.S. Federal Reserve finally raised short-term interest rates by 0.25% in December. This was the first interest rate increase in almost 10 years. The U.S. Federal Reserve’s interest rate increase was in stark contrast to the monetary easing being undertaken by the Bank of Japan, the European Central Bank (ECB) and the Bank of China.
European equity markets rallied in the fall of 2015 as comments from ECB President Mario Draghi suggested that the ECB was planning to extend its quantitative easing program and rate cuts. However, the market tumbled later in the year as it appeared investors were looking for more than just six months of additional quantitative easing and further rate cuts.
The Bank of Japan (BOJ) also stepped up its efforts to stimulate the economy and get inflation moving closer to its target rate. The BOJ increased purchases of government debt along with exchange traded funds and Japanese Real Estate Trusts. The divergence in monetary policies globally led to the strengthening of the U.S. Dollar, which added to the pressures on commodity pricing.
In this environment, the Mercer Global Low Volatility Equity Fund returned 4.13%, outperforming the MSCI World Index by 7.58% for the 12-month period ending March 31, 2016. The Fund’s defensive posture — lower risk and volatility — was a positive contributor to performance for the Fund as these factors outperformed. In addition, the Fund’s strategic allocation to gold and tactical allocation to cash contributed positively to performance. Overall, the Fund had positive stock selection at both sector as well as country levels, as well as positive attribution resulting from allocation decisions. However, currency decisions slightly detracted from positive performance.
The Fund’s defensive posture — Acadian and Martingale’s focus on low volatility stocks and First Eagle’s strategic allocation to gold and tactical decision to hold cash — was a positive contributor to performance during the period. In addition, MFG’s strong stock selection in the U.S. positively contributed to performance. The majority of relative outperformance was generated during the third quarter of 2015 and the first quarter of 2016. The common themes during the two time periods were an increase in market uncertainty and the negative performance of the cyclical sectors, such as energy and materials. The defensive sector allocations such as overweight positions in consumer staples and utilities and the tactical allocation to cash contributed positively to performance. Relative performance during the second and fourth quarters in 2015 was relatively flat to the Index. Periods of market volatility during the year were beneficial to Fund as increased market volatility and investor uncertainty favored the strategic positioning of the Fund’s overweight to defensive sectors such as consumer staples and utilities. Somewhat offsetting some of the positive relative performance for the year was the Fund’s currency exposures, in particular, an overweight to the Mexican Peso. The Peso lagged the U.S. Dollar as investors began to anticipate the potential increase in U.S. interest rates.
In aggregate, performance of the Fund’s sub-advisors was strong with all four sub-advisors, First Eagle, Magellan, Acadian, and Martingale, outperforming the benchmark. First Eagle performance was supported by the tactical allocation to cash of approximately 14% over the year. In addition, their strategic allocation to Gold contributed positively to performance with exposure to Newcrest Mining in Australia and SPDR Gold ETF adding value. Magellan’s performance was supported by its investments in U.S. technology, which benefitted from strong, stable consumer demand. Magellan held material positions in two stocks that were strong contributors to Magellan’s portfolio, Visa and Home Depot. Visa benefited from strong payments and transactions volume which reflected buoyant consumer activity and structural shift to electronic payments. Home Depot benefited from continued recovery in the U.S. housing market which has been supported by declining unemployment and energy prices. Magellan maintained a cash position of approximately 15% reinforcing the strategy’s defensive positioning given their concerns about elevated market risks and this contributed positively to performance. Acadian and Martingale outperformed their respective benchmarks, driven by a combination of stock selection and a relatively smaller exposure to the
27
Table of Contents
Mercer Global Low Volatility Equity Fund
energy and materials sectors. The Fund’s emphasis on the telecom services and consumer staples sectors, consistent with their low volatility focus, also helped performance.
Offsetting some of the positives for First Eagle and Magellan was a negative impact from currency, as First Eagle was negatively impacted by overweighting the Mexican Peso and both sub-advisors were hurt by underweighting the Euro.
Parametric manages the liquidity sleeve of the Fund and utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Risk Considerations
The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
28
Table of Contents
Mercer Funds
March 31, 2016
Comparison of Change in Value of a $10,000 Investment in
Mercer Global Low Volatility Equity Shares vs. the
MSCI World Index
As of March 31, 2016
This graph shows the performance of the Mercer Global Low Volatility Equity Fund Class Y-3 shares versus the MSCI World Index from November 6, 2012, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
29
Table of Contents
Mercer US Large Cap Growth Equity Fund
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.6% | ||||||||||
Apparel — 5.4% | ||||||||||
173,450 | LVMH Moet Hennessy Louis Vuitton SE, Unsponsored ADR | 5,926,786 | ||||||||
69,725 | NIKE, Inc. Class B | 4,285,996 | ||||||||
41,325 | Ralph Lauren Corp. | 3,977,945 | ||||||||
24,000 | Under Armour, Inc. Class A* ‡ | 2,035,920 | ||||||||
|
| |||||||||
16,226,647 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.8% | ||||||||||
10,743 | Tesla Motors, Inc.* ‡ | 2,468,419 | ||||||||
|
| |||||||||
Auto Parts & Equipment — 1.5% | ||||||||||
121,396 | Mobileye NV* ‡ | 4,526,857 | ||||||||
|
| |||||||||
Beverages — 3.2% | ||||||||||
53,280 | Diageo Plc, Sponsored ADR | 5,747,313 | ||||||||
29,070 | Monster Beverage Corp.* | 3,877,357 | ||||||||
|
| |||||||||
9,624,670 | ||||||||||
|
| |||||||||
Biotechnology — 10.1% | ||||||||||
39,331 | Alexion Pharmaceuticals, Inc.* | 5,475,662 | ||||||||
20,261 | Biogen, Inc.* | 5,274,344 | ||||||||
28,000 | BioMarin Pharmaceutical, Inc.* | 2,309,440 | ||||||||
30,915 | Celgene Corp.* | 3,094,282 | ||||||||
34,741 | Illumina, Inc.* | 5,631,863 | ||||||||
13,309 | Incyte Corp.* | 964,503 | ||||||||
17,818 | Intercept Pharmaceuticals, Inc.* ‡ | 2,289,078 | ||||||||
8,300 | Regeneron Pharmaceuticals, Inc.* | 2,991,652 | ||||||||
30,548 | Vertex Pharmaceuticals, Inc.* | 2,428,261 | ||||||||
|
| |||||||||
30,459,085 | ||||||||||
|
| |||||||||
Chemicals — 1.0% | ||||||||||
25,000 | Monsanto Co. | 2,193,500 | ||||||||
3,300 | Sherwin-Williams Co. (The) | 939,411 | ||||||||
|
| |||||||||
3,132,911 | ||||||||||
|
| |||||||||
Computers — 3.9% | ||||||||||
83,455 | Apple, Inc. | 9,095,760 | ||||||||
44,394 | Cognizant Technology Solutions Corp. Class A* | 2,783,504 | ||||||||
|
| |||||||||
11,879,264 | ||||||||||
|
| |||||||||
Diversified Financial Services — 7.4% | ||||||||||
77,500 | Charles Schwab Corp. (The) | 2,171,550 | ||||||||
10,856 | IntercontinentalExchange Group, Inc. | 2,552,680 | ||||||||
132,500 | LendingClub Corp.* ‡ | 1,099,750 | ||||||||
214,802 | Visa, Inc. Class A | 16,428,057 | ||||||||
|
| |||||||||
22,252,037 | ||||||||||
|
|
30 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Electrical Components & Equipment — 0.6% | ||||||||||
8,837 | Acuity Brands, Inc. | 1,927,703 | ||||||||
|
| |||||||||
Food — 2.1% | ||||||||||
83,675 | Nestle SA, Sponsored ADR | 6,242,992 | ||||||||
|
| |||||||||
Health Care - Products — 1.0% | ||||||||||
33,650 | Edwards Lifesciences Corp.* | 2,968,267 | ||||||||
|
| |||||||||
Internet — 21.6% | ||||||||||
70,512 | Alibaba Group Holding, Ltd., Sponsored ADR* | 5,572,563 | ||||||||
2,900 | Alphabet, Inc. Class A* | 2,212,410 | ||||||||
10,765 | Alphabet, Inc. Class C* | 8,019,387 | ||||||||
14,361 | Amazon.com, Inc.* | 8,525,264 | ||||||||
7,900 | Baidu, Inc., Sponsored ADR* | 1,507,952 | ||||||||
70,681 | Facebook, Inc. Class A* | 8,064,702 | ||||||||
26,829 | LinkedIn Corp. Class A* | 3,067,896 | ||||||||
25,319 | MercadoLibre, Inc. | 2,983,844 | ||||||||
22,900 | Netflix, Inc.* | 2,341,067 | ||||||||
11,061 | Priceline Group (The), Inc.* | 14,257,187 | ||||||||
88,039 | Splunk, Inc.* | 4,307,748 | ||||||||
245,125 | Twitter, Inc.* | 4,056,819 | ||||||||
|
| |||||||||
64,916,839 | ||||||||||
|
| |||||||||
Leisure Time — 1.6% | ||||||||||
92,800 | Carnival Corp. | 4,897,056 | ||||||||
|
| |||||||||
Media — 9.2% | ||||||||||
94,875 | AMC Networks, Inc. Class A* | 6,161,183 | ||||||||
121,725 | Comcast Corp. Class A | 7,434,963 | ||||||||
104,850 | Time Warner, Inc. | 7,606,867 | ||||||||
66,075 | Walt Disney Co. (The) | 6,561,908 | ||||||||
|
| |||||||||
27,764,921 | ||||||||||
|
| |||||||||
Oil & Gas Services — 0.6% | ||||||||||
25,900 | Schlumberger, Ltd. | 1,910,125 | ||||||||
|
| |||||||||
Pharmaceuticals — 2.7% | ||||||||||
58,829 | Bristol-Myers Squibb Co. | 3,757,996 | ||||||||
21,836 | DexCom, Inc.* | 1,482,883 | ||||||||
50,909 | Novo Nordisk AS, Sponsored ADR | 2,758,759 | ||||||||
|
| |||||||||
7,999,638 | ||||||||||
|
| |||||||||
Retail — 13.3% | ||||||||||
63,100 | Cheesecake Factory (The), Inc. | 3,349,979 | ||||||||
5,525 | Chipotle Mexican Grill, Inc.* | 2,602,109 | ||||||||
24,361 | CVS Health Corp. | 2,526,967 | ||||||||
80,620 | Lululemon Athletica, Inc.* | 5,458,780 | ||||||||
52,100 | McDonald’s Corp. | 6,547,928 |
See accompanying Notes to the Financial Statements. | 31 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Retail — continued | ||||||||||
30,875 | Starbucks Corp. | 1,843,238 | ||||||||
48,900 | Tiffany & Co. | 3,588,282 | ||||||||
103,375 | Wal-Mart Stores, Inc. | 7,080,154 | ||||||||
126,775 | Williams-Sonoma, Inc. | 6,939,663 | ||||||||
|
| |||||||||
39,937,100 | ||||||||||
|
| |||||||||
Software — 5.0% | ||||||||||
48,226 | Adobe Systems, Inc.* | 4,523,599 | ||||||||
12,500 | athenahealth, Inc.* ‡ | 1,734,750 | ||||||||
32,100 | Cerner Corp.* | 1,700,016 | ||||||||
65,980 | Salesforce.com, Inc.* | 4,871,303 | ||||||||
38,858 | ServiceNow, Inc.* | 2,377,333 | ||||||||
|
| |||||||||
15,207,001 | ||||||||||
|
| |||||||||
Telecommunications — 1.2% | ||||||||||
22,640 | Palo Alto Networks, Inc.* | 3,693,490 | ||||||||
|
| |||||||||
Transportation — 2.4% | ||||||||||
67,350 | United Parcel Service, Inc. Class B | 7,103,404 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $277,262,856) | 285,138,426 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.9% | ||||||||||
56,850 | iShares Russell 1000 Growth ETF | 5,672,493 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $5,048,849) | 5,672,493 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 6.7% | ||||||||||
Bank Deposit — 3.2% | ||||||||||
9,663,712 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 9,663,712 | ||||||||
|
| |||||||||
Securities Lending Collateral — 3.5% | ||||||||||
10,516,617 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 10,516,617 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $20,180,329) | 20,180,329 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 103.2% (Cost $302,492,034) | 310,991,248 | |||||||||
Other Assets and Liabilities (net) — (3.2)% | (9,731,321 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 301,259,927 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
32 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
30 | NASDAQ 100 E-mini Index | June 2016 | $ | 2,685,750 | $ | 120,187 | ||||||||||||
38 | S&P 500 E-mini Index | June 2016 | 3,897,850 | 137,061 | ||||||||||||||
7 | S&P Mid 400 E-mini Index | June 2016 | 1,008,840 | 27,378 | ||||||||||||||
|
| |||||||||||||||||
$ | 284,626 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 33 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.6 | ||||
Investment Company | 1.9 | ||||
Futures Contracts | 0.1 | ||||
Short-Term Investments | 6.7 | ||||
Other Assets and Liabilities (net) | (3.3 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
34 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.9% | ||||||||||
Advertising — 0.8% | ||||||||||
33,863 | Interpublic Group of Cos. (The), Inc. | 777,156 | ||||||||
19,464 | Omnicom Group, Inc. | 1,619,989 | ||||||||
|
| |||||||||
2,397,145 | ||||||||||
|
| |||||||||
Aerospace & Defense — 4.1% | ||||||||||
15,600 | BE Aerospace, Inc. | 719,472 | ||||||||
1,499 | Boeing Co. (The) | 190,283 | ||||||||
10,841 | General Dynamics Corp. | 1,424,182 | ||||||||
11,926 | Harris Corp. | 928,558 | ||||||||
4,055 | Lockheed Martin Corp. | 898,183 | ||||||||
21,321 | Northrop Grumman Corp. | 4,219,426 | ||||||||
25,590 | Raytheon Co. | 3,138,102 | ||||||||
10,885 | United Technologies Corp. | 1,089,588 | ||||||||
|
| |||||||||
12,607,794 | ||||||||||
|
| |||||||||
Agriculture — 0.0% | ||||||||||
2,402 | Archer-Daniels-Midland Co. | 87,217 | ||||||||
|
| |||||||||
Airlines — 2.6% | ||||||||||
64,855 | American Airlines Group, Inc. | 2,659,704 | ||||||||
95,339 | Delta Air Lines, Inc. | 4,641,102 | ||||||||
14,298 | United Continental Holdings, Inc.* | 855,878 | ||||||||
|
| |||||||||
8,156,684 | ||||||||||
|
| |||||||||
Apparel — 1.3% | ||||||||||
72,555 | Michael Kors Holdings, Ltd.* | 4,132,733 | ||||||||
�� |
|
| ||||||||
Auto Manufacturers — 1.3% | ||||||||||
89,722 | General Motors Co. | 2,819,962 | ||||||||
12,030 | Toyota Motor Corp., Sponsored ADR | 1,279,030 | ||||||||
|
| |||||||||
4,098,992 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.9% | ||||||||||
27,400 | Goodyear Tire & Rubber Co. (The) | 903,652 | ||||||||
6,202 | Lear Corp. | 689,476 | ||||||||
29,348 | Magna International, Inc. Class A | 1,260,790 | ||||||||
|
| |||||||||
2,853,918 | ||||||||||
|
| |||||||||
Banks — 11.4% | ||||||||||
406,378 | Bank of America Corp. | 5,494,231 | ||||||||
18,665 | BB&T Corp. | 620,984 | ||||||||
52,101 | Capital One Financial Corp. | 3,611,120 | ||||||||
170,503 | Citigroup, Inc. | 7,118,500 | ||||||||
29,029 | Fifth Third Bancorp | 484,494 | ||||||||
9,208 | Goldman Sachs Group, Inc. (The) | 1,445,472 | ||||||||
154,686 | JPMorgan Chase & Co. | 9,160,505 |
See accompanying Notes to the Financial Statements. | 35 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Banks — continued | ||||||||||
48,936 | Morgan Stanley | 1,223,889 | ||||||||
22,009 | PNC Financial Services Group, Inc. | 1,861,301 | ||||||||
24,700 | Popular, Inc. | 706,667 | ||||||||
26,105 | US Bancorp | 1,059,602 | ||||||||
55,113 | Wells Fargo & Co. | 2,665,265 | ||||||||
|
| |||||||||
35,452,030 | ||||||||||
|
| |||||||||
Beverages — 2.2% | ||||||||||
86,573 | AMBEV SA, ADR | 448,448 | ||||||||
26,581 | Coca-Cola Co. (The) | 1,233,092 | ||||||||
47,320 | Coca-Cola Enterprises, Inc. | 2,401,017 | ||||||||
15,770 | Molson Coors Brewing Co. Class B | 1,516,759 | ||||||||
10,477 | PepsiCo, Inc. | 1,073,683 | ||||||||
|
| |||||||||
6,672,999 | ||||||||||
|
| |||||||||
Biotechnology — 0.5% | ||||||||||
14,851 | Gilead Sciences, Inc. | 1,364,213 | ||||||||
|
| |||||||||
Building Materials — 1.2% | ||||||||||
61,200 | Louisiana-Pacific Corp.* | 1,047,744 | ||||||||
31,108 | Viacom, Inc. Class B | 1,284,138 | ||||||||
14,255 | Vulcan Materials Co. | 1,504,901 | ||||||||
|
| |||||||||
3,836,783 | ||||||||||
|
| |||||||||
Chemicals — 4.0% | ||||||||||
5,108 | Ashland, Inc. | 561,676 | ||||||||
33,107 | CF Industries Holdings, Inc. | 1,037,573 | ||||||||
50,759 | Dow Chemical Co. (The) | 2,581,603 | ||||||||
16,000 | Eastman Chemical Co. | 1,155,680 | ||||||||
28,015 | Huntsman Corp. | 372,600 | ||||||||
39,487 | LyondellBasell Industries NV Class A | 3,379,297 | ||||||||
16,908 | Methanex Corp.‡ | 543,085 | ||||||||
3,310 | Monsanto Co. | 290,419 | ||||||||
61,171 | Mosaic Co. (The) | 1,651,617 | ||||||||
8,247 | PPG Industries, Inc. | 919,458 | ||||||||
|
| |||||||||
12,493,008 | ||||||||||
|
| |||||||||
Commercial Services — 0.2% | ||||||||||
16,148 | H&R Block, Inc. | 426,630 | ||||||||
16,767 | RELX NV, Sponsored ADR‡ | 293,926 | ||||||||
|
| |||||||||
720,556 | ||||||||||
|
| |||||||||
Computers — 2.0% | ||||||||||
17,690 | Apple, Inc. | 1,928,033 | ||||||||
4,568 | Brocade Communications Systems, Inc. | 48,330 | ||||||||
19,023 | Computer Sciences Corp. | 654,201 | ||||||||
62,351 | Hewlett Packard Enterprise Co. | 1,105,483 | ||||||||
3,032 | International Business Machines Corp. | 459,196 |
36 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Computers — continued | ||||||||||
42,959 | NetApp, Inc. | 1,172,351 | ||||||||
23,471 | Seagate Technology Plc‡ | 808,576 | ||||||||
|
| |||||||||
6,176,170 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 0.2% | ||||||||||
20,747 | L’Oreal SA, Unsponsored ADR | 740,668 | ||||||||
|
| |||||||||
Diversified Financial Services — 3.4% | ||||||||||
44,700 | AerCap Holdings NV* | 1,732,572 | ||||||||
41,442 | Ally Financial, Inc.* | 775,794 | ||||||||
3,188 | Ameriprise Financial, Inc. | 299,704 | ||||||||
33,103 | Charles Schwab Corp. (The) | 927,546 | ||||||||
29,391 | Discover Financial Services | 1,496,590 | ||||||||
33,555 | E*TRADE Financial Corp.* | 821,762 | ||||||||
10,803 | FNF Group | 366,222 | ||||||||
35,362 | Navient Corp. | 423,283 | ||||||||
152,300 | Nomura Holdings, Inc., Sponsored ADR‡ | 676,212 | ||||||||
9,805 | Raymond James Financial, Inc. | 466,816 | ||||||||
75,000 | Santander Consumer USA Holdings, Inc.* | 786,750 | ||||||||
64,099 | Synchrony Financial* | 1,837,077 | ||||||||
|
| |||||||||
10,610,328 | ||||||||||
|
| |||||||||
Electric — 0.5% | ||||||||||
92,727 | AES Corp. | 1,094,179 | ||||||||
24,100 | Calpine Corp.* | 365,597 | ||||||||
|
| |||||||||
1,459,776 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.4% | ||||||||||
22,360 | Emerson Electric Co. | 1,215,937 | ||||||||
|
| |||||||||
Electronics — 1.6% | ||||||||||
71,435 | Corning, Inc. | 1,492,277 | ||||||||
88,887 | Flextronics International, Ltd.* | 1,071,977 | ||||||||
15,983 | Honeywell International, Inc. | 1,790,895 | ||||||||
7,446 | TE Connectivity, Ltd. | 461,057 | ||||||||
|
| |||||||||
4,816,206 | ||||||||||
|
| |||||||||
Engineering & Construction — 0.7% | ||||||||||
17,800 | AECOM* | 548,062 | ||||||||
21,300 | Chicago Bridge & Iron Co. NV | 779,367 | ||||||||
17,234 | Fluor Corp. | 925,466 | ||||||||
|
| |||||||||
2,252,895 | ||||||||||
|
| |||||||||
Entertainment — 0.2% | ||||||||||
8,845 | Six Flags Entertainment Corp. | 490,809 | ||||||||
|
| |||||||||
Food — 1.8% | ||||||||||
25,304 | ConAgra Foods, Inc. | 1,129,065 |
See accompanying Notes to the Financial Statements. | 37 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Food — continued | ||||||||||
10,640 | Kellogg Co. | 814,492 | ||||||||
97,985 | Koninklijke Ahold NV, Sponsored ADR | 2,198,783 | ||||||||
12,264 | Mondelez International, Inc. Class A | 492,032 | ||||||||
12,638 | Tyson Foods, Inc. Class A | 842,449 | ||||||||
|
| |||||||||
5,476,821 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.2% | ||||||||||
12,797 | International Paper Co. | 525,189 | ||||||||
|
| |||||||||
Health Care - Products — 0.4% | ||||||||||
42,582 | Boston Scientific Corp.* | 800,967 | ||||||||
4,584 | Zimmer Biomet Holdings, Inc. | 488,792 | ||||||||
|
| |||||||||
1,289,759 | ||||||||||
|
| |||||||||
Health Care - Services — 1.4% | ||||||||||
8,706 | Anthem, Inc. | 1,210,047 | ||||||||
7,829 | Cigna Corp. | 1,074,452 | ||||||||
16,364 | UnitedHealth Group, Inc. | 2,109,319 | ||||||||
|
| |||||||||
4,393,818 | ||||||||||
|
| |||||||||
Home Builders — 0.3% | ||||||||||
9,434 | D.R. Horton, Inc. | 285,190 | ||||||||
38,983 | PulteGroup, Inc. | 729,372 | ||||||||
|
| |||||||||
1,014,562 | ||||||||||
|
| |||||||||
Housewares — 0.2% | ||||||||||
10,600 | Tupperware Brands Corp.‡ | 614,588 | ||||||||
|
| |||||||||
Insurance — 8.4% | ||||||||||
27,577 | Allstate Corp. (The) | 1,857,862 | ||||||||
33,650 | American International Group, Inc. | 1,818,783 | ||||||||
7,131 | Aon Plc | 744,833 | ||||||||
913 | Arch Capital Group, Ltd.* | 64,914 | ||||||||
46,384 | Berkshire Hathaway, Inc. Class B* | 6,580,962 | ||||||||
21,802 | Chubb, Ltd. | 2,597,708 | ||||||||
41,824 | Hartford Financial Services Group, Inc. (The) | 1,927,250 | ||||||||
49,772 | MetLife, Inc. | 2,186,982 | ||||||||
23,055 | Prudential Financial, Inc. | 1,665,032 | ||||||||
30,368 | Travelers Cos., Inc. (The) | 3,544,249 | ||||||||
60,170 | Voya Financial, Inc. | 1,791,261 | ||||||||
36,510 | XL Group Plc | 1,343,568 | ||||||||
|
| |||||||||
26,123,404 | ||||||||||
|
| |||||||||
Internet — 0.8% | ||||||||||
1,787 | Alphabet, Inc. Class A* | 1,363,302 | ||||||||
39,438 | eBay, Inc.* | 940,991 | ||||||||
|
| |||||||||
2,304,293 | ||||||||||
|
|
38 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Iron & Steel — 0.5% | ||||||||||
23,040 | Reliance Steel & Aluminum Co. | 1,594,138 | ||||||||
|
| |||||||||
Leisure Time — 0.4% | ||||||||||
20,263 | Carnival Corp. | 1,069,278 | ||||||||
|
| |||||||||
Lodging — 0.5% | ||||||||||
19,919 | Marriott International, Inc. Class A‡ | 1,417,834 | ||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.6% | ||||||||||
13,570 | Caterpillar, Inc. | 1,038,648 | ||||||||
30,182 | Terex Corp. | 750,928 | ||||||||
|
| |||||||||
1,789,576 | ||||||||||
|
| |||||||||
Media — 3.3% | ||||||||||
66,572 | CBS Corp. Class B | 3,667,452 | ||||||||
13,745 | Comcast Corp. Class A | 839,545 | ||||||||
26,702 | Liberty Global Plc Series C* | 1,002,927 | ||||||||
8,542 | Liberty Global Plc LiLAC Class C* ‡ | 323,571 | ||||||||
9,624 | Liberty Media Corp. Series C* | 366,578 | ||||||||
331,243 | Sirius XM Holdings, Inc.* ‡ | 1,308,410 | ||||||||
30,186 | Time Warner, Inc. | 2,189,994 | ||||||||
19,390 | Twenty-First Century Fox, Inc. Class A | 540,593 | ||||||||
|
| |||||||||
10,239,070 | ||||||||||
|
| |||||||||
Mining — 0.4% | ||||||||||
48,856 | Barrick Gold Corp. | 663,465 | ||||||||
16,499 | BHP Billiton Plc, ADR‡ | 375,022 | ||||||||
7,013 | Newmont Mining Corp. | 186,406 | ||||||||
2,294 | Rio Tinto Plc, Sponsored ADR | 64,851 | ||||||||
|
| |||||||||
1,289,744 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 2.5% | ||||||||||
3,248 | Dover Corp. | 208,944 | ||||||||
12,700 | Eaton Corp. Plc | 794,512 | ||||||||
28,044 | Illinois Tool Works, Inc. | 2,872,827 | ||||||||
19,448 | Parker-Hannifin Corp. | 2,160,284 | ||||||||
21,117 | Pentair Plc | 1,145,809 | ||||||||
15,629 | Textron, Inc. | 569,833 | ||||||||
|
| |||||||||
7,752,209 | ||||||||||
|
| |||||||||
Oil & Gas — 10.3% | ||||||||||
20,840 | Apache Corp. | 1,017,201 | ||||||||
102,867 | BP Plc, Sponsored ADR | 3,104,526 | ||||||||
3,209 | California Resources Corp. | 3,305 | ||||||||
117,807 | Canadian Natural Resources, Ltd. | 3,180,789 | ||||||||
16,401 | Cimarex Energy Co. | 1,595,325 | ||||||||
69,200 | Devon Energy Corp. | 1,898,848 | ||||||||
8,268 | Diamondback Energy, Inc.* | 638,124 |
See accompanying Notes to the Financial Statements. | 39 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Oil & Gas — continued | ||||||||||
10,088 | Energen Corp. | 369,120 | ||||||||
54,876 | EOG Resources, Inc. | 3,982,900 | ||||||||
2,425 | EQT Corp. | 163,106 | ||||||||
9,500 | Helmerich & Payne, Inc.‡ | 557,840 | ||||||||
22,346 | Hess Corp. | 1,176,517 | ||||||||
15,815 | Marathon Petroleum Corp. | 588,002 | ||||||||
94,918 | Occidental Petroleum Corp. | 6,495,239 | ||||||||
49,712 | Phillips 66 | 4,304,562 | ||||||||
6,691 | Pioneer Natural Resources Co. | 941,691 | ||||||||
30,783 | QEP Resources, Inc. | 434,348 | ||||||||
23,430 | Valero Energy Corp. | 1,502,800 | ||||||||
|
| |||||||||
31,954,243 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.0% | ||||||||||
59,452 | National Oilwell Varco, Inc.‡ | 1,848,957 | ||||||||
18,623 | Schlumberger, Ltd. | 1,373,446 | ||||||||
|
| |||||||||
3,222,403 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.6% | ||||||||||
16,523 | Crown Holdings, Inc.* | 819,376 | ||||||||
11,193 | Packaging Corp. of America | 676,057 | ||||||||
8,066 | WestRock Co. | 314,816 | ||||||||
|
| |||||||||
1,810,249 | ||||||||||
|
| |||||||||
Pharmaceuticals — 5.9% | ||||||||||
19,800 | AbbVie, Inc. | 1,130,976 | ||||||||
8,605 | Bristol-Myers Squibb Co. | 549,687 | ||||||||
8,845 | Cardinal Health, Inc. | 724,848 | ||||||||
8,731 | Eli Lilly & Co. | 628,719 | ||||||||
8,100 | Endo International Plc* | 228,015 | ||||||||
29,851 | Express Scripts Holding Co.* | 2,050,465 | ||||||||
33,600 | Horizon Pharma Plc* | 556,752 | ||||||||
3,500 | Jazz Pharmaceuticals Plc * | 456,925 | ||||||||
31,230 | Johnson & Johnson | 3,379,086 | ||||||||
8,900 | Mallinckrodt Plc* | 545,392 | ||||||||
3,716 | McKesson Corp. | 584,341 | ||||||||
55,219 | Merck & Co., Inc. | 2,921,637 | ||||||||
15,800 | Mylan NV* | 732,330 | ||||||||
98,564 | Pfizer, Inc. | 2,921,437 | ||||||||
5,858 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 313,462 | ||||||||
23,700 | Valeant Pharmaceuticals International, Inc.* ‡ | 623,310 | ||||||||
|
| |||||||||
18,347,382 | ||||||||||
|
| |||||||||
Private Equity — 1.4% | ||||||||||
68,520 | Blackstone Group (The), LP | 1,921,986 | ||||||||
169,930 | KKR & Co., LP | 2,496,272 | ||||||||
|
| |||||||||
4,418,258 | ||||||||||
|
|
40 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
REITS — 0.8% | ||||||||||
16,433 | American Homes 4 Rent Class A REIT Class A | 261,285 | ||||||||
32,326 | Communications Sales & Leasing, Inc. REIT | 719,253 | ||||||||
51,900 | Hatteras Financial Corp. REIT | 742,170 | ||||||||
86,030 | Two Harbors Investment Corp. REIT | 683,078 | ||||||||
|
| |||||||||
2,405,786 | ||||||||||
|
| |||||||||
Retail — 3.5% | ||||||||||
47,734 | Bed Bath & Beyond, Inc.* | 2,369,516 | ||||||||
18,014 | Best Buy Co., Inc. | 584,374 | ||||||||
11,483 | CVS Health Corp. | 1,191,132 | ||||||||
9,200 | Dillard’s, Inc. Class A‡ | 781,172 | ||||||||
31,430 | Kohl’s Corp. | 1,464,952 | ||||||||
66,968 | Macy’s, Inc. | 2,952,619 | ||||||||
37,809 | Staples, Inc. | 417,033 | ||||||||
14,368 | Target Corp. | 1,182,199 | ||||||||
|
| |||||||||
10,942,997 | ||||||||||
|
| |||||||||
Semiconductors — 2.5% | ||||||||||
117,032 | Applied Materials, Inc. | 2,478,738 | ||||||||
10,100 | Lam Research Corp. | 834,260 | ||||||||
29,541 | Microchip Technology, Inc. | 1,423,876 | ||||||||
154,375 | Micron Technology, Inc.* | 1,616,306 | ||||||||
26,488 | Texas Instruments, Inc. | 1,520,941 | ||||||||
|
| |||||||||
7,874,121 | ||||||||||
|
| |||||||||
Software — 2.2% | ||||||||||
13,885 | Activision Blizzard, Inc. | 469,868 | ||||||||
6,369 | CA, Inc. | 196,102 | ||||||||
7,185 | Citrix Systems, Inc.* | 564,597 | ||||||||
48,562 | Microsoft Corp. | 2,682,079 | ||||||||
68,656 | Oracle Corp. | 2,808,717 | ||||||||
|
| |||||||||
6,721,363 | ||||||||||
|
| |||||||||
Telecommunications — 5.5% | ||||||||||
54,191 | AT&T, Inc. | 2,122,661 | ||||||||
71,804 | CenturyLink, Inc. | 2,294,856 | ||||||||
24,100 | China Mobile, Ltd., Sponsored ADR | 1,336,345 | ||||||||
194,570 | Cisco Systems, Inc. | 5,539,408 | ||||||||
37,104 | Juniper Networks, Inc. | 946,523 | ||||||||
64,450 | Mobile Telesystems PJSC, Sponsored ADR | 521,401 | ||||||||
15,037 | Motorola Solutions, Inc. | 1,138,301 | ||||||||
37,940 | NTT DoCoMo, Inc., Sponsored ADR | 863,894 | ||||||||
42,480 | Verizon Communications, Inc. | 2,297,318 | ||||||||
|
| |||||||||
17,060,707 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $295,773,121) | 294,288,653 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 41 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
INVESTMENT COMPANY — 2.5% | ||||||||||
76,464 | iShares Russell 1000 Value Index Fund‡ | 7,555,408 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $6,913,491) | 7,555,408 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 5.2% | ||||||||||
Bank Deposit — 2.4% | ||||||||||
7,456,675 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 7,456,675 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.8% | ||||||||||
8,737,578 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 8,737,578 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $16,194,253) | 16,194,253 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.6% (Cost $318,880,865) | 318,038,314 | |||||||||
Other Assets and Liabilities (net) — (2.6)% | (7,932,684 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 310,105,630 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
42 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
34 | S&P 500 E-mini Index | June 2016 | $ | 3,487,550 | $ | 122,634 | ||||||||||||
9 | S&P Mid 400 E-mini Index | June 2016 | 1,297,080 | 35,200 | ||||||||||||||
|
| |||||||||||||||||
$ | 157,834 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 43 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.9 | ||||
Investment Company | 2.5 | ||||
Futures Contracts | 0.1 | ||||
Short-Term Investments | 5.2 | ||||
Other Assets and Liabilities (net) | (2.7 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
44 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.2% | ||||||||||
Advertising — 0.5% | ||||||||||
91,210 | Interpublic Group of Cos., Inc. | 2,093,270 | ||||||||
|
| |||||||||
Aerospace & Defense — 1.4% | ||||||||||
41,770 | BE Aerospace, Inc. | 1,926,432 | ||||||||
19,173 | HEICO Corp. | 1,152,873 | ||||||||
12,955 | TransDigm Group, Inc.* | 2,854,505 | ||||||||
|
| |||||||||
5,933,810 | ||||||||||
|
| |||||||||
Airlines — 1.1% | ||||||||||
17,660 | Alaska Air Group, Inc. | 1,448,473 | ||||||||
17,149 | Allegiant Travel Co. | 3,053,551 | ||||||||
|
| |||||||||
4,502,024 | ||||||||||
|
| |||||||||
Apparel — 1.4% | ||||||||||
15,250 | Columbia Sportswear Co. | 916,373 | ||||||||
36,970 | G-III Apparel Group, Ltd.* | 1,807,463 | ||||||||
70,468 | Hanesbrands, Inc. | 1,997,063 | ||||||||
34,080 | Steven Madden, Ltd.* | 1,262,323 | ||||||||
|
| |||||||||
5,983,222 | ||||||||||
|
| |||||||||
Banks — 1.7% | ||||||||||
30,655 | Bank of the Ozarks, Inc. | 1,286,590 | ||||||||
37,610 | BankUnited, Inc. | 1,295,289 | ||||||||
65,020 | FCB Financial Holdings, Inc. Class A* | 2,162,565 | ||||||||
35,370 | First Republic Bank | 2,357,057 | ||||||||
|
| |||||||||
7,101,501 | ||||||||||
|
| |||||||||
Biotechnology — 1.6% | ||||||||||
354,150 | ARIAD Pharmaceuticals, Inc.* ‡ | 2,263,019 | ||||||||
53,700 | Medivation, Inc.* ‡ | 2,469,126 | ||||||||
248,890 | Merrimack Pharmaceuticals, Inc.* ‡ | 2,083,209 | ||||||||
|
| |||||||||
6,815,354 | ||||||||||
|
| |||||||||
Building Materials — 2.0% | ||||||||||
52,256 | Boise Cascade Co.* | 1,082,744 | ||||||||
213,750 | Builders FirstSource, Inc.* ‡ | 2,408,963 | ||||||||
48,230 | Headwaters, Inc.* | 956,883 | ||||||||
20,925 | Lennox International, Inc. | 2,828,851 | ||||||||
8,592 | Martin Marietta Materials, Inc. | 1,370,510 | ||||||||
|
| |||||||||
8,647,951 | ||||||||||
|
| |||||||||
Chemicals — 2.0% | ||||||||||
59,520 | Axalta Coating Systems, Ltd.* | 1,737,984 | ||||||||
16,205 | Eastman Chemical Co.‡ | 1,170,487 | ||||||||
104,610 | PolyOne Corp. | 3,164,452 |
See accompanying Notes to the Financial Statements. | 45 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Chemicals — continued | ||||||||||
37,210 | W.R. Grace & Co.* | 2,648,608 | ||||||||
|
| |||||||||
8,721,531 | ||||||||||
|
| |||||||||
Commercial Services — 6.5% | ||||||||||
105,310 | Aramark | 3,487,867 | ||||||||
29,896 | Booz Allen Hamilton Holding Corp. | 905,251 | ||||||||
22,024 | Bright Horizons Family Solutions, Inc.* | 1,426,715 | ||||||||
17,110 | CoStar Group, Inc.* | 3,219,589 | ||||||||
18,546 | Euronet Worldwide, Inc.* | 1,374,444 | ||||||||
19,538 | Global Payments, Inc. | 1,275,831 | ||||||||
19,767 | Heartland Payment Systems, Inc. | 1,908,899 | ||||||||
80,670 | Nord Anglia Education, Inc.* ‡ | 1,685,196 | ||||||||
56,593 | On Assignment, Inc.* | 2,089,414 | ||||||||
49,620 | Robert Half International, Inc. | 2,311,300 | ||||||||
67,610 | Sabre Corp. | 1,955,281 | ||||||||
73,947 | Team Health Holdings, Inc.* ‡ | 3,091,724 | ||||||||
65,530 | Total System Services, Inc. | 3,117,917 | ||||||||
|
| |||||||||
27,849,428 | ||||||||||
|
| |||||||||
Computers — 5.1% | ||||||||||
96,740 | Fortinet, Inc.* | 2,963,146 | ||||||||
50,430 | Genpact, Ltd.* | 1,371,192 | ||||||||
25,380 | IHS, Inc. Class A* | 3,151,181 | ||||||||
270,092 | Logitech International SA | 4,315,154 | ||||||||
354,426 | VeriFone Systems, Inc.* | 10,008,990 | ||||||||
|
| |||||||||
21,809,663 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 1.3% | ||||||||||
170,565 | HD Supply Holdings, Inc.* | 5,640,585 | ||||||||
|
| |||||||||
Diversified Financial Services — 4.8% | ||||||||||
41,167 | Affiliated Managers Group, Inc.* | 6,685,521 | ||||||||
27,264 | Ellie Mae, Inc.* | 2,471,209 | ||||||||
31,560 | Evercore Partners, Inc. Class A | 1,633,230 | ||||||||
50,141 | Lazard, Ltd. Class A | 1,945,471 | ||||||||
248,384 | LendingClub Corp.* ‡ | 2,061,587 | ||||||||
50,930 | Raymond James Financial, Inc. | 2,424,777 | ||||||||
50,002 | WageWorks, Inc.* | 2,530,601 | ||||||||
64,577 | WisdomTree Investments, Inc.‡ | 738,115 | ||||||||
|
| |||||||||
20,490,511 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.3% | ||||||||||
5,590 | Acuity Brands, Inc. | 1,219,403 | ||||||||
|
| |||||||||
Electronics — 1.3% | ||||||||||
37,690 | FLIR Systems, Inc. | 1,241,885 | ||||||||
11,809 | Mettler-Toledo International, Inc.* | 4,071,271 | ||||||||
|
| |||||||||
5,313,156 | ||||||||||
|
|
46 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Engineering & Construction — 0.4% | ||||||||||
11,015 | Dycom Industries, Inc.* | 712,340 | ||||||||
38,340 | MasTec, Inc.* ‡ | 776,002 | ||||||||
|
| |||||||||
1,488,342 | ||||||||||
|
| |||||||||
Entertainment — 0.7% | ||||||||||
23,450 | Vail Resorts, Inc. | 3,135,265 | ||||||||
|
| |||||||||
Food — 0.2% | ||||||||||
23,391 | WhiteWave Foods Co. (The) Class A* | 950,610 | ||||||||
|
| |||||||||
Hand & Machine Tools — 1.3% | ||||||||||
33,875 | Snap-on, Inc. | 5,318,036 | ||||||||
|
| |||||||||
Health Care - Products — 5.5% | ||||||||||
57,870 | ABIOMED, Inc.* | 5,486,655 | ||||||||
46,035 | Align Technology, Inc.* | 3,346,284 | ||||||||
64,806 | Bio-Techne Corp. | 6,125,463 | ||||||||
72,377 | DENTSPLY SIRONA, Inc. | 4,460,594 | ||||||||
130,171 | Endologix, Inc.* | 1,088,230 | ||||||||
37,505 | Greatbatch, Inc.* | 1,336,678 | ||||||||
109,692 | Wright Medical Group, Inc.* | 1,820,887 | ||||||||
|
| |||||||||
23,664,791 | ||||||||||
|
| |||||||||
Health Care - Services — 2.6% | ||||||||||
44,944 | Acadia Healthcare Co., Inc.* | 2,476,864 | ||||||||
42,465 | Centene Corp.* | 2,614,570 | ||||||||
11,575 | ICON Plc* | 869,283 | ||||||||
55,650 | Quest Diagnostics, Inc. | 3,976,192 | ||||||||
11,692 | WellCare Health Plans, Inc.* | 1,084,433 | ||||||||
|
| |||||||||
11,021,342 | ||||||||||
|
| |||||||||
Home Furnishings — 0.2% | ||||||||||
10,066 | Harman International Industries, Inc. | 896,277 | ||||||||
|
| |||||||||
Household Products & Wares — 1.1% | ||||||||||
80,490 | Jarden Corp.* | 4,744,885 | ||||||||
|
| |||||||||
Insurance — 0.8% | ||||||||||
46,310 | Assurant, Inc. | 3,572,816 | ||||||||
|
| |||||||||
Internet — 3.5% | ||||||||||
135,913 | NIC, Inc. | 2,450,511 | ||||||||
323,726 | Pandora Media, Inc.* ‡ | 2,897,347 | ||||||||
147,313 | Quotient Technology, Inc.* ‡ | 1,561,518 | ||||||||
87,338 | Shutterstock, Inc.* ‡ | 3,207,925 | ||||||||
71,400 | Splunk, Inc.* | 3,493,602 | ||||||||
68,093 | Yelp, Inc.* | 1,353,689 | ||||||||
|
| |||||||||
14,964,592 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 47 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Leisure Time — 0.6% | ||||||||||
118,807 | Liberty TripAdvisor Holdings, Inc. Class A* | 2,632,763 | ||||||||
|
| |||||||||
Lodging — 0.4% | ||||||||||
62,927 | Diamond Resorts International, Inc.* | 1,529,126 | ||||||||
|
| |||||||||
Machinery - Diversified — 4.6% | ||||||||||
25,250 | Flowserve Corp. | 1,121,353 | ||||||||
79,199 | Graco, Inc. | 6,649,548 | ||||||||
41,430 | Middleby Corp. (The)* | 4,423,481 | ||||||||
18,239 | Wabtec Corp. | 1,446,170 | ||||||||
89,493 | Zebra Technologies Corp. Class A* ‡ | 6,175,017 | ||||||||
|
| |||||||||
19,815,569 | ||||||||||
|
| |||||||||
Media — 0.8% | ||||||||||
55,120 | Nexstar Broadcasting Group, Inc. Class A‡ | 2,440,163 | ||||||||
26,395 | Tribune Media Co. Class A | 1,012,248 | ||||||||
|
| |||||||||
3,452,411 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 1.2% | ||||||||||
32,520 | AO Smith Corp. | 2,481,601 | ||||||||
24,543 | Carlisle Cos., Inc. | 2,442,029 | ||||||||
|
| |||||||||
4,923,630 | ||||||||||
|
| |||||||||
Office Furnishings — 0.6% | �� | |||||||||
123,600 | Knoll, Inc. | 2,675,940 | ||||||||
|
| |||||||||
Oil & Gas — 0.9% | ||||||||||
45,335 | Gulfport Energy Corp.* | 1,284,794 | ||||||||
29,015 | Tesoro Corp. | 2,495,580 | ||||||||
|
| |||||||||
3,780,374 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.4% | ||||||||||
39,029 | Core Laboratories NV‡ | 4,387,250 | ||||||||
55,730 | Oil States International, Inc.* | 1,756,609 | ||||||||
|
| |||||||||
6,143,859 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.5% | ||||||||||
57,058 | Berry Plastics Group, Inc.* | 2,062,647 | ||||||||
|
| |||||||||
Pharmaceuticals — 3.1% | ||||||||||
47,229 | ACADIA Pharmaceuticals, Inc.* ‡ | 1,320,523 | ||||||||
24,740 | Akorn, Inc.* | 582,132 | ||||||||
18,082 | Alkermes Plc* | 618,224 | ||||||||
7,555 | Anacor Pharmaceuticals, Inc.* | 403,815 | ||||||||
27,260 | DexCom, Inc.* | 1,851,227 | ||||||||
32,617 | Jazz Pharmaceuticals Plc* | 4,258,149 | ||||||||
74,585 | Neurocrine Biosciences, Inc.* | 2,949,837 | ||||||||
22,775 | Pacira Pharmaceuticals, Inc.* | 1,206,619 | ||||||||
|
| |||||||||
13,190,526 | ||||||||||
|
|
48 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Real Estate — 0.4% | ||||||||||
15,735 | Jones Lang Lasalle, Inc. | 1,846,030 | ||||||||
|
| |||||||||
REITS — 4.5% | ||||||||||
42,441 | CyrusOne, Inc. REIT | 1,937,432 | ||||||||
16,875 | Digital Realty Trust, Inc. REIT | 1,493,269 | ||||||||
238,542 | Equity Commonwealth REIT* | 6,731,655 | ||||||||
23,580 | Extra Space Storage, Inc. REIT | 2,203,787 | ||||||||
199,940 | Outfront Media, Inc. REIT | 4,218,734 | ||||||||
132,670 | Starwood Property Trust, Inc. REIT | 2,511,443 | ||||||||
|
| |||||||||
19,096,320 | ||||||||||
|
| |||||||||
Retail — 10.1% | ||||||||||
25,635 | Burlington Stores, Inc.* | 1,441,712 | ||||||||
22,202 | Children’s Place (The), Inc. | 1,853,201 | ||||||||
67,507 | DineEquity, Inc. | 6,307,179 | ||||||||
119,642 | Dunkin’ Brands Group, Inc. | 5,643,513 | ||||||||
17,720 | Foot Locker, Inc. | 1,142,940 | ||||||||
54,150 | Jack in the Box, Inc. | 3,458,561 | ||||||||
42,355 | Lululemon Athletica, Inc.* ‡ | 2,867,857 | ||||||||
4,220 | Panera Bread Co. Class A* | 864,383 | ||||||||
30,190 | Red Robin Gourmet Burgers, Inc.* | 1,946,349 | ||||||||
22,900 | Restoration Hardware Holdings, Inc.* ‡ | 959,510 | ||||||||
256,620 | Sally Beauty Holdings, Inc.* | 8,309,356 | ||||||||
19,740 | Signet Jewelers, Ltd. | 2,448,352 | ||||||||
89,870 | Sonic Corp. | 3,159,829 | ||||||||
14,495 | Ulta Salon Cosmetics & Fragrance, Inc.* | 2,808,261 | ||||||||
|
| |||||||||
43,211,003 | ||||||||||
|
| |||||||||
Semiconductors — 1.9% | ||||||||||
68,725 | Integrated Device Technology, Inc.* | 1,404,739 | ||||||||
26,280 | M/A-COM Technology Solutions Holdings, Inc.* | 1,150,801 | ||||||||
296,510 | ON Semiconductor Corp.* | 2,843,531 | ||||||||
32,750 | Qorvo, Inc.* | 1,650,928 | ||||||||
13,845 | Synaptics, Inc.* | 1,104,000 | ||||||||
|
| |||||||||
8,153,999 | ||||||||||
|
| |||||||||
Software — 10.8% | ||||||||||
19,512 | athenahealth, Inc.* ‡ | 2,707,875 | ||||||||
108,288 | Blackbaud, Inc. | 6,810,232 | ||||||||
37,695 | Broadridge Financial Solutions, Inc. | 2,235,690 | ||||||||
101,083 | Cornerstone OnDemand, Inc.* | 3,312,490 | ||||||||
38,115 | Ebix, Inc. | 1,554,711 | ||||||||
20,860 | Guidewire Software, Inc.* | 1,136,453 | ||||||||
49,569 | Imperva, Inc.* | 2,503,235 | ||||||||
80,629 | j2 Global, Inc. | 4,965,134 | ||||||||
95,997 | MSCI, Inc. Class A | 7,111,458 | ||||||||
32,598 | Paycom Software, Inc.* ‡ | 1,160,489 | ||||||||
46,579 | Proofpoint, Inc.* | 2,505,019 |
See accompanying Notes to the Financial Statements. | 49 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Software — continued | ||||||||||
194,921 | Qlik Technologies, Inc.* | 5,637,115 | ||||||||
48,830 | ServiceNow, Inc.* | 2,987,419 | ||||||||
19,122 | SS&C Technologies Holdings, Inc. | 1,212,717 | ||||||||
8,680 | Tableau Software, Inc. Class A* | 398,152 | ||||||||
|
| |||||||||
46,238,189 | ||||||||||
|
| |||||||||
Telecommunications — 2.3% | ||||||||||
32,828 | Arista Networks, Inc.* ‡ | 2,071,447 | ||||||||
118,125 | Ciena Corp.* | 2,246,738 | ||||||||
61,580 | CommScope Holding Co., Inc.* | 1,719,314 | ||||||||
13,660 | NICE-Systems, Ltd., Sponsored ADR | 885,031 | ||||||||
17,960 | Palo Alto Networks, Inc.* | 2,929,994 | ||||||||
|
| |||||||||
9,852,524 | ||||||||||
|
| |||||||||
Transportation — 1.8% | ||||||||||
80,738 | Expeditors International of Washington, Inc. | 3,940,822 | ||||||||
24,593 | Genesee & Wyoming, Inc. Class A* | 1,541,981 | ||||||||
32,880 | Old Dominion Freight Line, Inc.* | 2,289,105 | ||||||||
|
| |||||||||
7,771,908 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $372,876,250) | 398,255,183 | |||||||||
|
| |||||||||
INVESTMENT COMPANIES — 2.4% | ||||||||||
43,650 | iShares Russell 2000 Growth Index Fund | 5,791,482 | ||||||||
51,300 | iShares Russell Mid-Cap Growth ETF | 4,727,808 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $9,070,110) | 10,519,290 | |||||||||
|
| |||||||||
WARRANTS — 0.0% | ||||||||||
Oil & Gas — 0.0% | ||||||||||
27,862 | Magnum Hunter Resources Corp., Strike Price $8.50, Expires 4/15/16* ‡ **** | — | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $—) | — | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 12.9% | ||||||||||
Bank Deposit — 4.5% | ||||||||||
19,163,909 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 19,163,909 | ||||||||
|
| |||||||||
Securities Lending Collateral — 8.4% | ||||||||||
35,835,272 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 35,835,272 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $54,999,181) | 54,999,181 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 108.5% (Cost $436,945,541) | 463,773,654 | |||||||||
Other Assets and Liabilities (net) — (8.5)% | (36,348,091 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 427,425,563 | ||||||||
|
|
50 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Notes to Schedule of Investments: | ||||||
ADR — American Depository Receipt | ||||||
REIT — Real Estate Investment Trust | ||||||
* | Non-income producing security | |||||
‡ | All or a portion of this security is out on loan. | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0. |
See accompanying Notes to the Financial Statements. | 51 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
56 | Russell 2000 Mini Index | June 2016 | $ | 6,213,760 | $ | 154,637 | ||||||||||||
14 | NASDAQ 100 E-mini Index | June 2016 | 1,253,350 | 56,087 | ||||||||||||||
12 | S&P Mid 400 E-mini Index | June 2016 | 1,729,440 | 46,933 | ||||||||||||||
|
| |||||||||||||||||
$ | 257,657 | |||||||||||||||||
|
|
52 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 93.2 | ||||
Investment Companies | 2.4 | ||||
Futures Contracts | 0.1 | ||||
Warrants | 0.0 | ||||
Short-Term Investments | 12.9 | ||||
Other Assets and Liabilities (net) | (8.6 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 53 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.8% | ||||||||||
Aerospace & Defense — 1.6% | ||||||||||
60,665 | Cubic Corp. | 2,424,173 | ||||||||
89,110 | KLX, Inc.* | 2,863,995 | ||||||||
23,052 | Orbital ATK, Inc. | 2,004,141 | ||||||||
|
| |||||||||
7,292,309 | ||||||||||
|
| |||||||||
Airlines — 0.4% | ||||||||||
24,465 | Alaska Air Group, Inc. | 2,006,619 | ||||||||
|
| |||||||||
Apparel — 0.4% | ||||||||||
32,620 | Michael Kors Holdings, Ltd.* | 1,858,035 | ||||||||
|
| |||||||||
Auto Parts & Equipment — 0.7% | ||||||||||
112,245 | Allison Transmission Holdings, Inc. | 3,028,370 | ||||||||
|
| |||||||||
Banks — 4.4% | ||||||||||
65,940 | Ameris Bancorp | 1,950,505 | ||||||||
79,845 | Capital Bank Financial Corp. Class A | 2,463,218 | ||||||||
44,060 | Great Western Bancorp, Inc. | 1,201,516 | ||||||||
100,460 | Heritage Financial Corp. | 1,765,082 | ||||||||
227,350 | KeyCorp | 2,509,944 | ||||||||
53,735 | PacWest Bancorp | 1,996,255 | ||||||||
49,076 | PrivateBancorp, Inc. | 1,894,334 | ||||||||
138,850 | United Community Banks, Inc. | 2,564,560 | ||||||||
35,133 | Webster Financial Corp. | 1,261,275 | ||||||||
76,590 | Western Alliance Bancorp* | 2,556,574 | ||||||||
|
| |||||||||
20,163,263 | ||||||||||
|
| |||||||||
Biotechnology — 1.7% | ||||||||||
34,600 | Bio-Rad Laboratories, Inc. Class A* | 4,730,512 | ||||||||
15,300 | Cambrex Corp.* | 673,200 | ||||||||
31,480 | Charles River Laboratories International, Inc.* | 2,390,591 | ||||||||
|
| |||||||||
7,794,303 | ||||||||||
|
| |||||||||
Building Materials — 0.7% | ||||||||||
87,850 | Louisiana-Pacific Corp.* | 1,503,992 | ||||||||
36,040 | Owens Corning | 1,703,971 | ||||||||
|
| |||||||||
3,207,963 | ||||||||||
|
| |||||||||
Chemicals — 1.3% | ||||||||||
38,180 | Albemarle Corp. | 2,440,847 | ||||||||
52,610 | Celanese Corp. Series A | 3,445,955 | ||||||||
|
| |||||||||
5,886,802 | ||||||||||
|
| |||||||||
Commercial Services — 4.3% | ||||||||||
24,890 | Euronet Worldwide, Inc.* | 1,844,598 | ||||||||
45,200 | Global Payments, Inc. | 2,951,560 |
54 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Commercial Services — continued |
| |||||||||
70,825 | ICF International, Inc.* | 2,434,255 | ||||||||
54,690 | Insperity, Inc. | 2,829,114 | ||||||||
64,400 | Kelly Services, Inc. Class A | 1,231,328 | ||||||||
66,815 | Korn/Ferry International | 1,890,196 | ||||||||
111,460 | SP Plus Corp.* | 2,681,728 | ||||||||
107,199 | TriNet Group, Inc.* | 1,538,306 | ||||||||
73,841 | Viad Corp. | 2,153,203 | ||||||||
|
| |||||||||
19,554,288 | ||||||||||
|
| |||||||||
Computers — 0.7% | ||||||||||
23,417 | Lumentum Holdings, Inc.* | 631,556 | ||||||||
90,315 | VeriFone Systems, Inc.* | 2,550,496 | ||||||||
|
| |||||||||
3,182,052 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 1.0% | ||||||||||
267,016 | Elizabeth Arden, Inc.* ‡ | 2,186,861 | ||||||||
71,170 | Inter Parfums, Inc. | 2,199,153 | ||||||||
|
| |||||||||
4,386,014 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 0.3% | ||||||||||
19,197 | Tech Data Corp.* | 1,473,754 | ||||||||
|
| |||||||||
Diversified Financial Services — 5.7% | ||||||||||
77,775 | AerCap Holdings NV* | 3,014,559 | ||||||||
116,180 | Blackhawk Network Holdings, Inc.* | 3,984,974 | ||||||||
44,355 | CoreLogic, Inc.* | 1,539,119 | ||||||||
216,000 | E*TRADE Financial Corp.* | 5,289,840 | ||||||||
358,251 | FNFV Group* | 3,887,023 | ||||||||
121,950 | Invesco, Ltd. | 3,752,402 | ||||||||
62,645 | Lazard, Ltd. Class A | 2,430,626 | ||||||||
126,420 | Leucadia National Corp. | 2,044,211 | ||||||||
|
| |||||||||
25,942,754 | ||||||||||
|
| |||||||||
Electric — 1.8% | ||||||||||
64,097 | Ameren Corp. | 3,211,260 | ||||||||
42,205 | Black Hills Corp. | 2,537,787 | ||||||||
28,805 | DTE Energy Co. | 2,611,461 | ||||||||
|
| |||||||||
8,360,508 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.8% | ||||||||||
66,615 | EnerSys | 3,711,788 | ||||||||
|
| |||||||||
Electronics — 2.1% | ||||||||||
77,530 | Coherent, Inc.* | 7,125,007 | ||||||||
42,619 | Gentex Corp. | 668,692 | ||||||||
69,230 | Orbotech, Ltd.* | 1,646,290 | ||||||||
|
| |||||||||
9,439,989 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 55 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Energy - Alternate Sources — 0.4% | ||||||||||
26,325 | First Solar, Inc.* | 1,802,473 | ||||||||
|
| |||||||||
Engineering & Construction — 0.9% | ||||||||||
252,430 | KBR, Inc. | 3,907,616 | ||||||||
|
| |||||||||
Entertainment — 3.6% | ||||||||||
33,320 | Carmike Cinemas, Inc.* | 1,000,933 | ||||||||
112,150 | Dolby Laboratories, Inc. Class A | 4,874,039 | ||||||||
106,395 | International Speedway Corp. Class A | 3,927,039 | ||||||||
10,099 | Madison Square Garden Co. (The) Class A* | 1,680,070 | ||||||||
10,820 | Marriott Vacations Worldwide Corp. | 730,350 | ||||||||
202,973 | SeaWorld Entertainment, Inc.‡ | 4,274,611 | ||||||||
|
| |||||||||
16,487,042 | ||||||||||
|
| |||||||||
Environmental Control — 0.4% | ||||||||||
42,336 | US Ecology, Inc. | 1,869,558 | ||||||||
|
| |||||||||
Food — 5.5% | ||||||||||
178,515 | Aryzta AG, Unsponsored ADR* | 3,697,046 | ||||||||
34,340 | Fresh Market (The), Inc.* | 979,720 | ||||||||
79,485 | Ingles Markets, Inc. Class A | 2,980,687 | ||||||||
43,050 | John B Sanfilippo & Son, Inc. | 2,974,325 | ||||||||
349,252 | Orkla ASA, Sponsored ADR | 3,138,029 | ||||||||
94,125 | Pinnacle Foods, Inc. | 4,205,505 | ||||||||
58,820 | TreeHouse Foods, Inc.* | 5,102,635 | ||||||||
49,810 | United Natural Foods, Inc.* | 2,007,343 | ||||||||
745 | Village Super Market, Inc. Class A | 17,999 | ||||||||
|
| |||||||||
25,103,289 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.5% | ||||||||||
16,749 | Deltic Timber Corp.‡ | 1,007,453 | ||||||||
64,458 | Glatfelter | 1,336,214 | ||||||||
|
| |||||||||
2,343,667 | ||||||||||
|
| |||||||||
Gas — 2.1% | ||||||||||
32,715 | Atmos Energy Corp. | 2,429,416 | ||||||||
54,215 | Laclede Group (The), Inc. | 3,673,066 | ||||||||
31,386 | National Fuel Gas Co.‡ | 1,570,870 | ||||||||
84,120 | NiSource, Inc. | 1,981,867 | ||||||||
|
| |||||||||
9,655,219 | ||||||||||
|
| |||||||||
Hand & Machine Tools — 0.4% | ||||||||||
16,380 | Stanley Black & Decker, Inc.‡ | 1,723,340 | ||||||||
|
| |||||||||
Health Care - Products — 1.0% | ||||||||||
45,700 | Bruker Corp. | 1,279,600 | ||||||||
30,055 | DENTSPLY SIRONA, Inc. | 1,852,289 |
56 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Health Care - Products — continued |
| |||||||||
62,485 | Globus Medical, Inc. Class A* | 1,484,019 | ||||||||
|
| |||||||||
4,615,908 | ||||||||||
|
| |||||||||
Health Care - Services — 2.1% | ||||||||||
67,630 | Air Methods Corp.* ‡ | 2,449,559 | ||||||||
15,700 | Amedisys, Inc.* | 758,938 | ||||||||
46,920 | Amsurg Corp.* | 3,500,232 | ||||||||
46,890 | Centene Corp.* | 2,887,017 | ||||||||
|
| |||||||||
9,595,746 | ||||||||||
|
| |||||||||
Home Builders — 1.3% | ||||||||||
37,405 | KB Home | 534,143 | ||||||||
192,360 | Taylor Morrison Home Corp. Class A* | 2,716,123 | ||||||||
240,125 | TRI Pointe Group, Inc.* | 2,828,673 | ||||||||
|
| |||||||||
6,078,939 | ||||||||||
|
| |||||||||
Home Furnishings — 1.3% | ||||||||||
27,470 | Ethan Allen Interiors, Inc. | 874,095 | ||||||||
145,263 | La-Z-Boy, Inc. | 3,884,333 | ||||||||
20,510 | Universal Electronics, Inc.* | 1,271,415 | ||||||||
|
| |||||||||
6,029,843 | ||||||||||
|
| |||||||||
Household Products & Wares — 0.5% | ||||||||||
17,310 | Avery Dennison Corp. | 1,248,224 | ||||||||
81,970 | SodaStream International, Ltd.* ‡ | 1,154,138 | ||||||||
|
| |||||||||
2,402,362 | ||||||||||
|
| |||||||||
Housewares — 0.8% | ||||||||||
81,445 | Newell Rubbermaid, Inc.‡ | 3,607,199 | ||||||||
|
| |||||||||
Insurance — 5.0% | ||||||||||
4,811 | Alleghany Corp.* | 2,387,218 | ||||||||
53,390 | Allied World Assurance Co. Holdings AG | 1,865,447 | ||||||||
9,790 | American National Insurance Co. | 1,130,745 | ||||||||
45,060 | Axis Capital Holdings, Ltd. | 2,499,028 | ||||||||
48,352 | Brown & Brown, Inc. | 1,731,002 | ||||||||
38,575 | Endurance Specialty Holdings, Ltd. | 2,520,490 | ||||||||
20,701 | Reinsurance Group of America, Inc. | 1,992,471 | ||||||||
119,804 | Voya Financial, Inc. | 3,566,565 | ||||||||
6,040 | White Mountains Insurance Group, Ltd. | 4,847,704 | ||||||||
|
| |||||||||
22,540,670 | ||||||||||
|
| |||||||||
Internet — 1.4% | ||||||||||
30,709 | ePlus, Inc.* | 2,472,382 | ||||||||
70,570 | Liberty Ventures Class A* | 2,760,698 | ||||||||
101,080 | Match Group, Inc.* ‡ | 1,117,945 | ||||||||
|
| |||||||||
6,351,025 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 57 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Investment Company — 0.3% | ||||||||||
88,182 | Capital Southwest Corp. | 1,223,084 | ||||||||
|
| |||||||||
Iron & Steel — 0.7% | ||||||||||
64,930 | Nucor Corp. | 3,071,189 | ||||||||
|
| |||||||||
Lodging — 1.2% | ||||||||||
96,719 | La Quinta Holdings, Inc.* ‡ | 1,208,987 | ||||||||
195,445 | MGM Resorts International* | 4,190,341 | ||||||||
|
| |||||||||
5,399,328 | ||||||||||
|
| |||||||||
Machinery - Diversified — 0.3% | ||||||||||
41,257 | Albany International Corp. Class A | 1,550,851 | ||||||||
|
| |||||||||
Media — 2.2% | ||||||||||
102,640 | Gray Television, Inc.* | 1,202,941 | ||||||||
39,060 | Liberty Broadband Corp. Class C* | 2,263,527 | ||||||||
89,820 | News Corp. Class A | 1,147,001 | ||||||||
135,620 | TEGNA, Inc. | 3,181,645 | ||||||||
57,620 | Tribune Media Co. Class A | 2,209,727 | ||||||||
|
| |||||||||
10,004,841 | ||||||||||
|
| |||||||||
Mining — 0.6% | ||||||||||
109,640 | Materion Corp. | 2,903,267 | ||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 0.9% | ||||||||||
107,050 | ITT Corp. | 3,949,074 | ||||||||
|
| |||||||||
Oil & Gas — 3.7% | ||||||||||
86,475 | Energen Corp. | 3,164,120 | ||||||||
145,336 | Evolution Petroleum Corp. | 706,333 | ||||||||
295,240 | Gran Tierra Energy, Inc.* | 729,243 | ||||||||
37,693 | Murphy USA, Inc.* | 2,316,235 | ||||||||
157,155 | Nabors Industries, Ltd. | 1,445,826 | ||||||||
66,825 | Newfield Exploration Co.* | 2,221,931 | ||||||||
79,385 | PBF Energy, Inc. Class A | 2,635,582 | ||||||||
469,760 | Precision Drilling Corp.‡ | 1,972,992 | ||||||||
47,700 | QEP Resources, Inc. | 673,047 | ||||||||
125,345 | WPX Energy, Inc.* | 876,162 | ||||||||
|
| |||||||||
16,741,471 | ||||||||||
|
| |||||||||
Oil & Gas Services — 0.1% | ||||||||||
28,675 | PHI, Inc.* | 541,671 | ||||||||
|
| |||||||||
Packaging & Containers — 1.2% | ||||||||||
105,500 | Berry Plastics Group, Inc.* | 3,813,825 | ||||||||
36,835 | WestRock Co. | 1,437,670 | ||||||||
|
| |||||||||
5,251,495 | ||||||||||
|
|
58 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Pharmaceuticals — 0.6% | ||||||||||
66,556 | Akorn, Inc.* | 1,566,062 | ||||||||
39,530 | Premier, Inc. Class A* | 1,318,721 | ||||||||
|
| |||||||||
2,884,783 | ||||||||||
|
| |||||||||
Real Estate — 1.7% | ||||||||||
136,950 | CBRE Group, Inc.* | 3,946,899 | ||||||||
295,863 | Forestar Group, Inc.* ‡ | 3,858,054 | ||||||||
|
| |||||||||
7,804,953 | ||||||||||
|
| |||||||||
REITS — 6.7% | ||||||||||
53,705 | Alexandria Real Estate Equities, Inc. REIT | 4,881,248 | ||||||||
280,976 | Brandywine Realty Trust REIT | 3,942,093 | ||||||||
44,789 | DuPont Fabros Technology, Inc. REIT | 1,815,298 | ||||||||
23,920 | EPR Properties REIT | 1,593,550 | ||||||||
56,026 | Forest City Realty Trust, Inc. REIT Class A | 1,181,588 | ||||||||
79,481 | Geo Group (The), Inc. REIT | 2,755,606 | ||||||||
46,215 | Liberty Property Trust REIT | 1,546,354 | ||||||||
139,165 | Physicians Realty Trust REIT | 2,585,686 | ||||||||
215,530 | Ramco-Gershenson Properties Trust REIT | 3,886,006 | ||||||||
38,900 | SL Green Realty Corp. REIT | 3,768,632 | ||||||||
2,350 | Sovran Self Storage, Inc. REIT | 277,183 | ||||||||
167,383 | Sunstone Hotel Investors, Inc. REIT | 2,343,362 | ||||||||
|
| |||||||||
30,576,606 | ||||||||||
|
| |||||||||
Retail — 4.2% | ||||||||||
84,482 | American Eagle Outfitters, Inc.‡ | 1,408,315 | ||||||||
7,411 | Biglari Holdings, Inc.* | 2,754,743 | ||||||||
130,375 | Bloomin’ Brands, Inc. | 2,199,426 | ||||||||
209,839 | Fred’s, Inc. Class A‡ | 3,128,700 | ||||||||
181,265 | Haverty Furniture Cos., Inc.¤ | 3,835,567 | ||||||||
32,873 | J. Alexander’s Holdings, Inc.* | 347,139 | ||||||||
16,713 | MSC Industrial Direct Co., Inc. Class A | 1,275,369 | ||||||||
43,860 | Pier 1 Imports, Inc. | 307,459 | ||||||||
37,605 | PVH Corp. | 3,725,151 | ||||||||
|
| |||||||||
18,981,869 | ||||||||||
|
| |||||||||
Savings & Loans — 1.0% | ||||||||||
95,005 | Banc of California, Inc. | 1,662,587 | ||||||||
55,140 | Sterling Bancorp | 878,380 | ||||||||
80,755 | Washington Federal, Inc. | 1,829,101 | ||||||||
|
| |||||||||
4,370,068 | ||||||||||
|
| |||||||||
Semiconductors — 4.3% | ||||||||||
59,875 | Integrated Device Technology, Inc.* | 1,223,845 | ||||||||
30,415 | Lam Research Corp. | 2,512,279 | ||||||||
748,935 | Lattice Semiconductor Corp.* ‡ | 4,253,951 | ||||||||
42,705 | Mellanox Technologies, Ltd.* | 2,320,163 | ||||||||
17,810 | Microsemi Corp.* | 682,301 |
See accompanying Notes to the Financial Statements. | 59 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Semiconductors — continued |
| |||||||||
28,065 | Skyworks Solutions, Inc. | 2,186,263 | ||||||||
293,965 | Teradyne, Inc. | 6,346,704 | ||||||||
|
| |||||||||
19,525,506 | ||||||||||
|
| |||||||||
Software — 2.6% | ||||||||||
70,322 | CSG Systems International, Inc. | 3,175,742 | ||||||||
585,395 | Mitel Networks Corp.* ¤ | 4,788,531 | ||||||||
88,960 | Nuance Communications, Inc.* | 1,662,662 | ||||||||
55,100 | Rackspace Hosting, Inc.* | 1,189,609 | ||||||||
27,500 | Take-Two Interactive Software, Inc.* | 1,035,925 | ||||||||
|
| |||||||||
11,852,469 | ||||||||||
|
| |||||||||
Telecommunications — 2.6% | ||||||||||
40,910 | ARRIS International Plc* | 937,657 | ||||||||
98,455 | Level 3 Communications, Inc.* | 5,203,347 | ||||||||
102,914 | NeuStar, Inc. Class A* ‡ | 2,531,685 | ||||||||
102,681 | Telephone & Data Systems, Inc. | 3,089,671 | ||||||||
|
| |||||||||
11,762,360 | ||||||||||
|
| |||||||||
Textiles — 1.2% | ||||||||||
50,046 | UniFirst Corp. | 5,461,020 | ||||||||
|
| |||||||||
Transportation — 2.2% | ||||||||||
186,849 | Air Transport Services Group, Inc.* | 2,873,737 | ||||||||
47,843 | Forward Air Corp. | 2,168,245 | ||||||||
33,880 | Kansas City Southern | 2,895,046 | ||||||||
122,811 | Marten Transport, Ltd. | 2,299,022 | ||||||||
|
| |||||||||
10,236,050 | ||||||||||
|
| |||||||||
Water — 0.4% | ||||||||||
160,449 | PICO Holdings, Inc.* | 1,641,393 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $420,115,014) | 427,136,055 | |||||||||
|
| |||||||||
INVESTMENT COMPANIES — 2.2% | ||||||||||
61,400 | iShares Russell 2000 Value Index Fund | 5,723,094 | ||||||||
64,650 | iShares Russell Mid-Cap Value ETF | 4,585,625 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $9,067,212) | 10,308,719 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 10.1% | ||||||||||
Bank Deposit — 4.0% | ||||||||||
18,147,653 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 18,147,653 | ||||||||
|
|
60 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 6.1% | ||||||||||
27,674,916 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 27,674,916 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $45,822,569) | 45,822,569 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 106.1% (Cost $475,004,795) | 483,267,343 | |||||||||
Other Assets and Liabilities (net) — (6.1)% | (27,973,238 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 455,294,105 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
¤ | Illiquid security. The total market value of this security at year end is $8,624,098 which represents 1.9% of net assets. The aggregate tax cost of this security held at March 31, 2016 was $9,491,149. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
See accompanying Notes to the Financial Statements. | 61 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
55 | S&P Mid 400 E-mini Index | June 2016 | $ | 7,926,600 | $ | 215,111 | ||||||||||||
15 | Russell 2000 Mini Index | June 2016 | 1,664,400 | 42,424 | ||||||||||||||
|
| |||||||||||||||||
$ | 257,535 | |||||||||||||||||
|
|
62 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 93.8 | ||||
Investment Companies | 2.2 | ||||
Futures Contracts | 0.1 | ||||
Short-Term Investments | 10.1 | ||||
Other Assets and Liabilities (net) | (6.2 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 63 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 91.9% | ||||||||||
Australia — 3.7% | ||||||||||
473,395 | AGL Energy, Ltd. | 6,700,525 | ||||||||
912,600 | Asaleo Care, Ltd. | 1,277,671 | ||||||||
372,118 | Aurizon Holdings, Ltd. | 1,133,557 | ||||||||
194,218 | Australian Pharmaceutical Industries, Ltd. | 292,081 | ||||||||
259,978 | Austria & New Zealand Banking Group, Ltd. | 4,691,719 | ||||||||
294,129 | BGP Holdings Plc¤ **** | — | ||||||||
1,592,563 | Brambles, Ltd. | 14,847,953 | ||||||||
105,855 | carsales.com, Ltd.‡ | 957,604 | ||||||||
261,005 | Computershare, Ltd. | 1,963,609 | ||||||||
526,700 | CSR, Ltd. | 1,337,041 | ||||||||
107,437 | Estia Health, Ltd.‡ | 475,214 | ||||||||
975,799 | Evolution Mining, Ltd. | 1,140,962 | ||||||||
358,506 | Harvey Norman Holdings, Ltd. | 1,296,169 | ||||||||
302,588 | Investa Office Fund REIT | 975,288 | ||||||||
45,800 | Macquarie Group, Ltd. | 2,328,459 | ||||||||
130,170 | McMillan Shakespeare, Ltd.‡ | 1,250,664 | ||||||||
505,672 | Metcash, Ltd.* ‡ | 676,839 | ||||||||
181,057 | Orica, Ltd.‡ | 2,140,704 | ||||||||
84,729 | Premier Investments, Ltd. | 1,102,808 | ||||||||
242,111 | Primary Health Care, Ltd. | 698,414 | ||||||||
1,033,876 | Qantas Airways, Ltd.* | 3,236,907 | ||||||||
50,424 | REA Group, Ltd. | 2,095,751 | ||||||||
1,094,627 | Sigma Pharmaceuticals, Ltd. | 892,564 | ||||||||
61,602 | Sirtex Medical, Ltd. | 1,370,441 | ||||||||
392,735 | Star Entertainment Grp, Ltd. (The) | 1,715,992 | ||||||||
523,018 | Sydney Airport | 2,691,597 | ||||||||
269,252 | Tatts Group, Ltd. | 782,921 | ||||||||
403,433 | Telstra Corp., Ltd. | 1,654,116 | ||||||||
261,014 | TPG Telecom, Ltd. | 2,276,901 | ||||||||
95,488 | Treasury Wine Estates, Ltd. | 708,098 | ||||||||
115,518 | Vocus Communications, Ltd. | 740,222 | ||||||||
158,613 | Wesfarmers, Ltd. | 5,057,439 | ||||||||
194,217 | Woolworths, Ltd. | 3,301,770 | ||||||||
|
| |||||||||
Total Australia | 71,812,000 | |||||||||
|
| |||||||||
Austria — 0.8% | ||||||||||
38,864 | BUWOG AG* | 836,148 | ||||||||
20,556 | CA Immobilien Anlagen AG* | 404,660 | ||||||||
362,090 | Erste Group Bank AG* | 10,191,710 | ||||||||
14,992 | Oesterreichische Post AG | 610,416 | ||||||||
69,200 | OMV AG | 1,949,737 | ||||||||
37,607 | Voestalpine AG | 1,260,153 | ||||||||
41,870 | Wienerberger AG | 805,395 | ||||||||
|
| |||||||||
Total Austria | 16,058,219 | |||||||||
|
| |||||||||
Belgium — 1.0% | ||||||||||
55,042 | Ageas | 2,187,156 | ||||||||
29,589 | Anheuser-Busch InBev NV, Sponsored ADR | 3,688,565 |
64 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Belgium — continued |
| |||||||||
55,226 | Anheuser-Busch InBev NV | 6,875,410 | ||||||||
19,032 | Delhaize Group | 1,989,867 | ||||||||
12,650 | Delhaize Group SA, Sponsored ADR | 328,521 | ||||||||
26,047 | Mobistar SA* | 584,139 | ||||||||
10,267 | Ontex Group NV | 337,129 | ||||||||
74,923 | Proximus | 2,564,344 | ||||||||
|
| |||||||||
Total Belgium | 18,555,131 | |||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
2,043,033 | Esprit Holdings, Ltd.* | 1,893,807 | ||||||||
156,650 | Hiscox, Ltd. | 2,181,733 | ||||||||
69,272 | Lancashire Holdings, Ltd. | 549,597 | ||||||||
|
| |||||||||
Total Bermuda | 4,625,137 | |||||||||
|
| |||||||||
Brazil — 0.1% | ||||||||||
674,100 | JBS SA | 2,082,786 | ||||||||
|
| |||||||||
Canada — 1.0% | ||||||||||
60,320 | Canadian Pacific Railway, Ltd. | 8,046,864 | ||||||||
18,245 | Fairfax Financial Holdings, Ltd. | 10,255,822 | ||||||||
40,400 | Milestone Apartments Real Estate Investment Trust REIT | 518,489 | ||||||||
|
| |||||||||
Total Canada | 18,821,175 | |||||||||
|
| |||||||||
Cayman Islands — 0.9% | ||||||||||
1,339,500 | China Hongqiao Group, Ltd. | 932,541 | ||||||||
3,714,000 | Jiangnan Group, Ltd. | 655,985 | ||||||||
2,741,000 | Lee & Man Paper Manufacturing, Ltd. | 1,865,840 | ||||||||
79,074 | Phoenix Group Holdings | 1,072,317 | ||||||||
525,050 | Tencent Holdings, Ltd. | 10,729,051 | ||||||||
2,170,000 | United Laboratories International Holdings, Ltd. (The)* | 872,862 | ||||||||
3,810,000 | Universal Health International Group Holding, Ltd. | 417,518 | ||||||||
2,144,000 | Xinyi Glass Holdings, Ltd. | 1,426,284 | ||||||||
|
| |||||||||
Total Cayman Islands | 17,972,398 | |||||||||
|
| |||||||||
China — 0.1% | ||||||||||
905,000 | China Railway Construction Corp., Ltd. Class H | 1,076,916 | ||||||||
628,600 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 1,248,034 | ||||||||
|
| |||||||||
Total China | 2,324,950 | |||||||||
|
| |||||||||
Denmark — 2.0% | ||||||||||
8,251 | Carlsberg AS Class B | 787,498 | ||||||||
3,700 | Christian Hansen Holding AS | 248,781 | ||||||||
98,839 | Danske Bank AS | 2,796,781 | ||||||||
142,025 | DSV AS | 5,921,736 | ||||||||
69,415 | GN Store Nord AS | 1,453,501 | ||||||||
27,670 | Jyske Bank AS | 1,251,042 | ||||||||
15,652 | NKT Holding AS | 904,462 | ||||||||
131,193 | Novo Nordisk AS Class B | 7,127,579 |
See accompanying Notes to the Financial Statements. | 65 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Denmark — continued |
| |||||||||
99,657 | Pandora AS | 13,070,745 | ||||||||
36,690 | Sydbank AS | 1,053,345 | ||||||||
592,883 | TDC AS | 2,906,400 | ||||||||
18,285 | Vestas Wind Systems AS | 1,292,098 | ||||||||
|
| |||||||||
Total Denmark | 38,813,968 | |||||||||
|
| |||||||||
Faroe Islands — 0.0% | ||||||||||
17,152 | Bakkafrost P/F | 664,617 | ||||||||
|
| |||||||||
Finland — 1.1% | ||||||||||
96,727 | Fortum OYJ | 1,467,099 | ||||||||
49,429 | Kemira OYJ‡ | 552,566 | ||||||||
36,230 | Kesko OYJ Class B | 1,602,306 | ||||||||
43,749 | Kone OYJ Class B‡ | 2,111,824 | ||||||||
47,391 | Metsa Board OYJ | 317,546 | ||||||||
168,077 | Neste OYJ‡ | 5,539,112 | ||||||||
356,225 | Nokia OYJ, Sponsored ADR | 2,105,290 | ||||||||
421,440 | Nokia OYJ | 2,509,317 | ||||||||
128,323 | Sponda OYJ | 541,053 | ||||||||
18,249 | Sponda OYJ, Bonus Issue* ‡ **** | 76,944 | ||||||||
213,477 | UPM-Kymmene OYJ‡ | 3,872,824 | ||||||||
9,249 | Wartsila OYJ Abp | 419,164 | ||||||||
|
| |||||||||
Total Finland | 21,115,045 | |||||||||
|
| |||||||||
France — 7.9% | ||||||||||
118,652 | Accor SA | 5,035,218 | ||||||||
111,860 | AXA SA | 2,637,357 | ||||||||
36,300 | BNP Paribas SA | 1,829,604 | ||||||||
11,053 | Cap Gemini SA | 1,040,132 | ||||||||
48,948 | Carrefour SA | 1,348,729 | ||||||||
31,766 | Casino Guichard Perrachon SA‡ | 1,823,704 | ||||||||
10,638 | Christian Dior SE | 1,932,333 | ||||||||
40,716 | Cie de Saint-Gobain | 1,796,992 | ||||||||
129,388 | CNP Assurances | 2,020,722 | ||||||||
302,018 | Danone SA | 21,513,739 | ||||||||
44,597 | Dassault Systemes SA | 3,543,716 | ||||||||
63,762 | Edenred | 1,240,307 | ||||||||
76,000 | Electricite de France SA | 854,280 | ||||||||
276,931 | Engie | 4,304,468 | ||||||||
14,036 | Euler Hermes Group | 1,273,820 | ||||||||
9,996 | Ipsen SA | 574,901 | ||||||||
42,863 | IPSOS | 1,002,779 | ||||||||
32,289 | L’Oreal SA | 5,793,364 | ||||||||
93,634 | Legrand SA | 5,254,475 | ||||||||
35,906 | LVMH Moet Hennessy Louis Vuitton SE | 6,157,963 | ||||||||
56,503 | Metropole Television SA | 1,031,818 | ||||||||
223,200 | Natixis SA | 1,100,562 | ||||||||
45,740 | Neopost SA | 962,713 | ||||||||
32,329 | Nexans SA* | 1,455,938 |
66 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
France — continued |
| |||||||||
306,230 | Orange SA | 5,372,309 | ||||||||
84,265 | Pernod-Ricard SA | 9,410,374 | ||||||||
83,878 | Peugeot SA* | 1,439,483 | ||||||||
44,103 | Renault SA | 4,388,493 | ||||||||
26,822 | Safran SA | 1,879,138 | ||||||||
86,800 | Sanofi | 7,008,974 | ||||||||
136,220 | Schneider Electric SE | 8,621,450 | ||||||||
1,679 | Societe BIC SA | 252,939 | ||||||||
63,400 | Societe Generale SA | 2,346,599 | ||||||||
17,000 | Thales SA | 1,491,672 | ||||||||
408,059 | Total SA | 18,628,054 | ||||||||
52,364 | UBISOFT Entertainment* | 1,646,931 | ||||||||
87,437 | Valeo SA | 13,630,598 | ||||||||
44,897 | Vivendi SA | 945,481 | ||||||||
|
| |||||||||
Total France | 152,592,129 | |||||||||
|
| |||||||||
Germany — 7.6% | ||||||||||
18,165 | Allianz SE | 2,959,056 | ||||||||
22,267 | Aurubis AG | 1,109,621 | ||||||||
23,200 | BASF SE | 1,752,811 | ||||||||
120,304 | Bayer AG | 14,161,654 | ||||||||
22,808 | Bayerische Motoren Werke AG | 2,097,463 | ||||||||
6,948 | Bechtle AG | 718,759 | ||||||||
68,296 | Brenntag AG | 3,906,902 | ||||||||
194,342 | Commerzbank AG* | 1,692,195 | ||||||||
16,266 | Continental AG | 3,707,186 | ||||||||
37,605 | Daimler AG | 2,886,993 | ||||||||
70,100 | Deutsche Bank AG | 1,194,243 | ||||||||
165,560 | Deutsche Lufthansa* | 2,679,972 | ||||||||
226,603 | Deutsche Wohnen AG | 7,057,305 | ||||||||
116,064 | Deutz AG | 550,205 | ||||||||
66,623 | DIC Asset AG | 623,305 | ||||||||
372,672 | E.ON SE | 3,583,438 | ||||||||
100,882 | Evonik Industries AG | 3,030,924 | ||||||||
13,065 | Fraport AG Frankfurt Airport Services Worldwide | 793,691 | ||||||||
15,766 | Freenet AG | 472,330 | ||||||||
114,880 | Fresenius Medical Care AG & Co. KGaA | 10,190,156 | ||||||||
136,951 | GEA Group AG | 6,710,691 | ||||||||
20,981 | HeidelbergCement AG | 1,799,145 | ||||||||
452,922 | Infineon Technologies AG | 6,454,174 | ||||||||
130,943 | Jenoptik AG | 2,096,487 | ||||||||
59,144 | K+S AG‡ | 1,386,031 | ||||||||
147,019 | Kloeckner & Co. SE | 1,439,633 | ||||||||
5,471 | KUKA AG‡ | 573,759 | ||||||||
33,207 | LEG Immobilien AG* | 3,135,131 | ||||||||
22,512 | Leoni AG‡ | 777,944 | ||||||||
47,800 | METRO AG‡ | 1,483,232 | ||||||||
8,790 | MTU Aero Engines AG | 844,303 | ||||||||
12,464 | Muenchener Rueckversicherungs-Gesellschaft in Muenchen AG | 2,538,850 |
See accompanying Notes to the Financial Statements. | 67 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Germany — continued |
| |||||||||
734 | Rational AG | 392,871 | ||||||||
27,895 | Rheinmetall AG | 2,232,137 | ||||||||
17,127 | Rhoen-Klinikum AG | 533,792 | ||||||||
126,232 | RWE AG | 1,636,268 | ||||||||
43,290 | Salzgitter AG | 1,227,605 | ||||||||
38,500 | Siemens AG | 4,086,742 | ||||||||
2,359 | Sixt SE | 127,179 | ||||||||
19,333 | SMA Solar Technology AG* ‡ | 1,011,881 | ||||||||
19,617 | Software AG | 767,991 | ||||||||
33,833 | STADA Arzneimittel AG | 1,344,971 | ||||||||
192,402 | Symrise AG | 12,935,856 | ||||||||
127,027 | TAG Immobilien AG‡ | 1,721,121 | ||||||||
52,401 | Talanx AG* | 1,792,005 | ||||||||
38,945 | TUI AG | 608,669 | ||||||||
27,115 | United Internet AG | 1,362,797 | ||||||||
225,891 | Vonovia SE | 8,140,724 | ||||||||
19,819 | Wirecard AG‡ | 752,072 | ||||||||
350,840 | Zalando SE* | 11,534,227 | ||||||||
|
| |||||||||
Total Germany | 146,616,497 | |||||||||
|
| |||||||||
Gibraltar — 0.0% | ||||||||||
119,955 | 888 Holdings Plc | 365,943 | ||||||||
|
| |||||||||
Hong Kong — 1.1% | ||||||||||
2,377,600 | AIA Group, Ltd. | 13,471,907 | ||||||||
257,000 | CLP Holdings, Ltd. | 2,327,613 | ||||||||
3,458,000 | PCCW, Ltd. | 2,229,084 | ||||||||
188,500 | Power Assets Holdings, Ltd. | 1,929,582 | ||||||||
342,000 | Wheelock & Co., Ltd. | 1,527,780 | ||||||||
|
| |||||||||
Total Hong Kong | 21,485,966 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
20,405 | MOL Hungarian Oil & Gas Plc | 1,227,829 | ||||||||
76,167 | Richter Gedeon Nyrt | 1,519,166 | ||||||||
|
| |||||||||
Total Hungary | 2,746,995 | |||||||||
|
| |||||||||
India — 0.1% | ||||||||||
36,200 | Tata Motors, Ltd., Sponsored ADR* | 1,051,610 | ||||||||
|
| |||||||||
Indonesia — 0.4% | ||||||||||
9,320,700 | Bank Mandiri Persero Tbk PT | 7,240,061 | ||||||||
3,540,700 | Bank Negara Indonesia Persero Tbk PT | 1,388,510 | ||||||||
|
| |||||||||
Total Indonesia | 8,628,571 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
313,147 | C&C Group Plc | 1,416,682 | ||||||||
5,076,215 | Governor & Co. of the Bank of Ireland (The)* | 1,475,074 | ||||||||
12,067 | Kerry Group Plc Class A | 1,125,928 |
68 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Ireland — continued |
| |||||||||
30,796 | Kingspan Group Plc | 819,435 | ||||||||
|
| |||||||||
Total Ireland | 4,837,119 | |||||||||
|
| |||||||||
Isle Of Man — 0.1% | ||||||||||
134,620 | GVC Holdings Plc | 977,121 | ||||||||
82,555 | Playtech Plc | 1,028,157 | ||||||||
|
| |||||||||
Total Isle of Man | 2,005,278 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
410,163 | Bank Leumi Le-Israel BM* | 1,471,765 | ||||||||
5,453 | Elbit Systems, Ltd. | 513,027 | ||||||||
30,409 | First International Bank Of Israel, Ltd. | 376,685 | ||||||||
409,309 | Israel Discount Bank, Ltd. Class A* | 692,434 | ||||||||
57,900 | Teva Pharmaceutical Industries, Ltd. | 3,121,779 | ||||||||
|
| |||||||||
Total Israel | 6,175,690 | |||||||||
|
| |||||||||
Italy — 1.5% | ||||||||||
183,100 | Astaldi Spa‡ | 847,960 | ||||||||
12,685 | Danieli & C. Officine Meccaniche Spa-RSP | 198,759 | ||||||||
95,081 | Davide Campari-Milano Spa | 951,851 | ||||||||
1,174,133 | Enel Spa | 5,215,461 | ||||||||
47,314 | ERG Spa | 644,844 | ||||||||
339,527 | Hera Spa | 1,016,021 | ||||||||
47,412 | Infrastrutture Wireless Italiane Spa* | 238,049 | ||||||||
4,549,190 | Intesa Sanpaolo Spa | 12,617,933 | ||||||||
190,348 | Iren Spa | 341,635 | ||||||||
127,100 | Mediobanca Spa | 916,817 | ||||||||
468,911 | Saras Spa* | 753,965 | ||||||||
238,876 | Snam Spa | 1,498,523 | ||||||||
1,661,236 | Telecom Italia Spa* | 1,794,623 | ||||||||
415,739 | Unipol Gruppo Finanziario Spa | 1,684,675 | ||||||||
|
| |||||||||
Total Italy | 28,721,116 | |||||||||
|
| |||||||||
Japan — 19.7% | ||||||||||
196,000 | 77 Bank, Ltd. (The) | 694,052 | ||||||||
94,000 | Aeon Co., Ltd. | 1,359,883 | ||||||||
4,000 | Ain Pharmaciez, Inc. | 205,347 | ||||||||
60,000 | Ajinomoto Co., Inc. | 1,355,665 | ||||||||
22,000 | Alpen Co., Ltd. | 363,290 | ||||||||
9,800 | Amano Corp. | 154,941 | ||||||||
59,400 | Asahi Group Holdings, Ltd. | 1,853,426 | ||||||||
215,600 | Astellas Pharma, Inc. | 2,870,638 | ||||||||
214,500 | Calbee, Inc. | 8,530,762 | ||||||||
275,000 | Calsonic Kansei Corp. | 2,047,911 | ||||||||
25,900 | Capcom Co., Ltd.‡ | 632,550 | ||||||||
413,000 | Central Glass Co., Ltd. | 2,245,144 | ||||||||
47,500 | Century Tokyo Leasing Corp.‡ | 1,764,425 | ||||||||
222,294 | Chiba Bank, Ltd. (The) | 1,109,542 |
See accompanying Notes to the Financial Statements. | 69 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
67,000 | Chubu Electric Power Co., Inc. | 936,790 | ||||||||
20,600 | Coca-Cola Central Co., Ltd. | 342,371 | ||||||||
18,000 | Coca-Cola West Co., Ltd. | 446,176 | ||||||||
74,500 | COMSYS Holdings Corp.‡ | 1,152,017 | ||||||||
233,800 | Dai-ichi Life Insurance Co., Ltd. (The) | 2,834,223 | ||||||||
134,100 | Daicel Corp. | 1,835,009 | ||||||||
182,400 | Daihatsu Motor Co., Ltd.‡ | 2,573,837 | ||||||||
105,000 | Daiichi Sanyko Co., Ltd. | 2,337,849 | ||||||||
22,000 | Daikyonishikawa Corp. | 316,117 | ||||||||
54 | Daiwa Office Investment Corp. REIT | 336,314 | ||||||||
294,246 | Daiwa Securities Group, Inc. | 1,812,416 | ||||||||
18,300 | Descente, Ltd. | 269,953 | ||||||||
721,000 | DIC Corp. | 1,725,602 | ||||||||
33,700 | Duskin Co., Ltd.‡ | 606,267 | ||||||||
40,100 | EDION Corp. | 304,688 | ||||||||
12,800 | Eizo Corp. | 322,520 | ||||||||
20,900 | Enplas Corp. | 775,417 | ||||||||
146,400 | Fuji Heavy Industries, Ltd. | 5,177,632 | ||||||||
8,900 | Fuji Media Holdings, Inc. | 97,873 | ||||||||
102,100 | Fuji Oil Holdings, Inc. | 1,843,150 | ||||||||
31,100 | FUJIFILM Holdings Corp. | 1,231,604 | ||||||||
352,000 | Fujikura, Ltd. | 1,659,860 | ||||||||
114,100 | Fujitec Co., Ltd. | 1,163,384 | ||||||||
414,000 | Fujitsu, Ltd. | 1,534,520 | ||||||||
708,000 | Furukawa Electric Co., Ltd. | 1,530,709 | ||||||||
34,200 | Geo Holdings Corp.‡ | 569,315 | ||||||||
54,797 | Glory, Ltd. | 1,864,839 | ||||||||
218,294 | Hachijuni Bank, Ltd. (The) | 941,969 | ||||||||
36,700 | Hirose Electric Co., Ltd. | 4,052,200 | ||||||||
59,600 | Hitachi High-Technologies Corp. | 1,680,964 | ||||||||
18,300 | Hitachi Maxell, Ltd. | 278,908 | ||||||||
21,600 | Hitachi Transport System, Ltd. | 361,682 | ||||||||
435,000 | Hitachi, Ltd. | 2,038,089 | ||||||||
16,900 | House Foods Group, Inc. | 316,363 | ||||||||
36,700 | IBJ Leasing Co., Ltd.‡ | 652,401 | ||||||||
246,200 | Inpex Corp. | 1,869,582 | ||||||||
177,100 | Isuzu Motors, Ltd. | 1,830,955 | ||||||||
106,300 | Ito En, Ltd.‡ | 3,362,218 | ||||||||
210,000 | Itochu Corp. | 2,589,617 | ||||||||
41,000 | Itoham Foods, Inc.* **** | 272,494 | ||||||||
131,500 | Japan Airlines Co., Ltd. | 4,822,661 | ||||||||
943 | Japan Rental Housing Investments, Inc. REIT | 697,213 | ||||||||
391,900 | Japan Tobacco, Inc. | 16,353,138 | ||||||||
89,700 | JFE Holdings, Inc.‡ | 1,209,887 | ||||||||
313,714 | Joyo Bank, Ltd. (The) | 1,077,393 | ||||||||
146,000 | Kaneka Corp. | 1,252,227 | ||||||||
663,000 | Kanematsu Corp. | 967,410 | ||||||||
53,500 | Kansai Electric Power Co., Inc. (The)* | 474,429 | ||||||||
221,408 | Kao Corp. | 11,825,368 |
70 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
697,600 | KDDI Corp. | 18,657,285 | ||||||||
108,300 | Keihin Corp. | 1,619,754 | ||||||||
21,000 | Kikkoman Corp.‡ | 691,312 | ||||||||
125,000 | Kirin Holdings Co., Ltd. | 1,754,971 | ||||||||
44,000 | Kobayashi Pharmaceutical Co., Ltd.‡ | 3,867,788 | ||||||||
800,000 | Kobe Steel, Ltd.‡ | 704,658 | ||||||||
104,400 | Komori Corp. | 1,216,816 | ||||||||
452,400 | Konica Minolta, Inc. | 3,847,986 | ||||||||
9,986 | Kose Corp. | 972,879 | ||||||||
672,000 | Kubota Corp. | 9,186,601 | ||||||||
13,300 | Kura Corp. | 643,730 | ||||||||
342,000 | KYB Corp.‡ | 1,013,266 | ||||||||
64,000 | Kyowa Hakko Kirin Co., Ltd. | 1,022,679 | ||||||||
71,000 | Kyudenko Corp.‡ | 1,692,326 | ||||||||
6,200 | Lawson, Inc. | 519,632 | ||||||||
744,700 | Marubeni Corp.‡ | 3,776,672 | ||||||||
22,200 | Maruha Nichiro Corp.‡ | 414,590 | ||||||||
38,400 | Matsumotokiyoshi Holdings Co., Ltd. | 2,012,332 | ||||||||
132 | MCUBS MidCity Investment Corp. REIT | 396,957 | ||||||||
343,300 | Mitsubishi Chemical Holdings Corp. | 1,794,464 | ||||||||
126,200 | Mitsubishi Co.‡ | 2,140,106 | ||||||||
370,000 | Mitsubishi Gas Chemical Co., Inc. | 1,994,929 | ||||||||
361,100 | Mitsui & Co., Ltd.‡ | 4,160,545 | ||||||||
471,000 | Mitsui Mining & Smelting Co., Ltd. | 754,304 | ||||||||
1,773,900 | Mizuho Financial Group, Inc.‡ | 2,653,077 | ||||||||
4,700 | Mochida Pharmaceutical Co., Ltd. | 349,589 | ||||||||
85,800 | MS&AD Insurance Group Holdings | 2,393,957 | ||||||||
96,000 | Nankai Electric Railway Co., Ltd. | 521,874 | ||||||||
539,000 | NEC Corp.‡ | 1,357,151 | ||||||||
10,800 | NEC Networks & System Integration Corp. | 168,157 | ||||||||
30,000 | Nichias Corp. | 179,634 | ||||||||
77,300 | Nichicon Corp. | 539,198 | ||||||||
75,000 | Nichirei Corp. | 611,237 | ||||||||
59,800 | Nidec Corp.‡ | 4,097,334 | ||||||||
159,300 | Nihon Kohden Corp. | 3,965,669 | ||||||||
49,700 | Nihon Unisys, Ltd.‡ | 659,306 | ||||||||
397,000 | Nippon Chemi-Con Corp. | 558,085 | ||||||||
169,000 | Nippon Electric Glass Co., Ltd.‡ | 866,088 | ||||||||
20,000 | Nippon Flour Mills Co., Ltd. | 164,598 | ||||||||
39,300 | Nippon Paper Industries Co., Ltd.‡ | 700,368 | ||||||||
10,600 | Nippon Shokubai Co., Ltd. | 540,398 | ||||||||
248,000 | Nippon Soda Co., Ltd. | 1,251,088 | ||||||||
286,700 | Nippon Telegraph & Telephone Corp. | 12,366,401 | ||||||||
54,705 | Nippon Telegraph & Telephone Corp., ADR | 2,365,444 | ||||||||
17,100 | Nippon Television Network Corp. | 282,528 | ||||||||
68,000 | Nishimatsu Construction Co., Ltd. | 292,219 | ||||||||
25,900 | Nishimatsuya Chain Co., Ltd. | 259,933 | ||||||||
54,500 | Nisshin Seifun Group, Inc. | 867,481 | ||||||||
170,000 | Nisshinbo Holdings, Inc. | 1,807,465 |
See accompanying Notes to the Financial Statements. | 71 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
218,300 | Nomura Research Institute, Ltd. | 7,361,155 | ||||||||
326,741 | North Pacific Bank, Ltd. | 828,517 | ||||||||
29,200 | NTT Data Corp. | 1,467,859 | ||||||||
341,200 | NTT DoCoMo, Inc.‡ | 7,748,681 | ||||||||
226,700 | Obayashi Corp. | 2,238,863 | ||||||||
69,100 | Obic Co., Ltd.‡ | 3,658,036 | ||||||||
11,100 | Okinawa Electric Power Co. (The), Inc. | 299,239 | ||||||||
652,000 | Orix Corp. | 9,313,457 | ||||||||
68,200 | Otsuka Holdings Co., Ltd. | 2,480,552 | ||||||||
26,100 | Paltac Corp. | 462,808 | ||||||||
370,000 | Prima Meat Packers, Ltd. | 938,209 | ||||||||
431,500 | Resona Holdings, Inc. | 1,541,798 | ||||||||
368,300 | Ricoh Co., Ltd.‡ | 3,755,254 | ||||||||
89,000 | Ryobi, Ltd. | 351,581 | ||||||||
53,700 | Ryohin Keikaku Co., Ltd. | 11,371,146 | ||||||||
24,500 | Saizeriya Co., Ltd. | 505,063 | ||||||||
27,434 | Sankyo Co., Ltd.‡ | 1,022,719 | ||||||||
218,000 | Sankyu, Inc. | 996,948 | ||||||||
359,300 | Santen Pharmaceutical Co., Ltd. | 5,412,117 | ||||||||
37,500 | Sanwa Holdings Corp. | 279,261 | ||||||||
25,300 | Sawai Pharmaceutical Co., Ltd.‡ | 1,586,948 | ||||||||
52,600 | Secom Co., Ltd. | 3,915,224 | ||||||||
116,500 | Seiko Epson Corp. | 1,884,399 | ||||||||
264,300 | Senshu Ikeda Holdings, Inc. | 952,369 | ||||||||
153,400 | Seven & I Holdings Co., Ltd. | 6,540,262 | ||||||||
212,000 | Shindengen Electric Manufacturing Co., Ltd. | 718,644 | ||||||||
105,300 | Shinko Electric Industries Co., Ltd.‡ | 593,042 | ||||||||
56,400 | Ship Healthcare Holdings, Inc. | 1,422,608 | ||||||||
62,000 | Showa Corp. | 541,697 | ||||||||
75,500 | Softbank Group Corp. | 3,604,546 | ||||||||
896,700 | Sojitz Corp. | 1,842,944 | ||||||||
77,800 | Sony Financial Holdings, Inc.‡ | 995,386 | ||||||||
10,500 | Sugi Holdings Co., Ltd. | 554,918 | ||||||||
280,800 | Sumitomo Corp.‡ | 2,794,384 | ||||||||
77,100 | Sumitomo Dainippon Pharma Co., Ltd.‡ | 889,022 | ||||||||
91,600 | Sumitomo Electric Industries, Ltd. | 1,115,712 | ||||||||
84,800 | Sumitomo Metal Mining Co., Ltd. | 843,134 | ||||||||
217,741 | Sumitomo Mitsui Financial Group, Inc. | 6,610,012 | ||||||||
6,100 | Sumitomo Real Estate Sales Co., Ltd. | 117,609 | ||||||||
128,300 | Sumitomo Rubber Industries, Ltd. | 1,985,086 | ||||||||
163,700 | Suntory Beverage & Food, Ltd. | 7,384,305 | ||||||||
135,100 | Suzuki Motor Corp. | 3,619,254 | ||||||||
129,500 | T&D Holdings, Inc. | 1,209,220 | ||||||||
164,100 | Terumo Corp. | 5,891,218 | ||||||||
185,000 | Toho Gas Co., Ltd. | 1,315,139 | ||||||||
22,200 | Tokai Rika Co., Ltd. | 418,342 | ||||||||
154,700 | Tokio Marine Holdings, Inc. | 5,230,304 | ||||||||
255,100 | Tokyo Electric Power Co., Inc.* | 1,404,928 | ||||||||
74,200 | Tokyu Construction Co., Ltd. | 607,358 |
72 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Japan — continued |
| |||||||||
63 | Top REIT, Inc. | 249,153 | ||||||||
27,100 | Toridoll.corp‡ | 547,811 | ||||||||
18,000 | Towa Pharmaceutical Co., Ltd.‡ | 739,090 | ||||||||
103,000 | Toyo Suisan Kaisha, Ltd. | 3,702,300 | ||||||||
82,800 | Toyoda Gosei Co., Ltd. | 1,600,085 | ||||||||
75,300 | TS Tech Co., Ltd.‡ | 1,764,671 | ||||||||
39,200 | Tsumura & Co.‡ | 942,376 | ||||||||
8,700 | Tsuruha Holdings, Inc. | 856,880 | ||||||||
15,600 | TV Asahi Corp. | 280,230 | ||||||||
25,400 | United Super Markets Holdings, Inc. | 241,808 | ||||||||
142,700 | UNY Group Holdings Co., Ltd. | 1,006,816 | ||||||||
22,300 | Ushio, Inc. | 296,817 | ||||||||
145,070 | USS Co., Ltd. | 2,320,707 | ||||||||
108,500 | Valor Holdings Co., Ltd. | 2,740,616 | ||||||||
9,200 | West Japan Railway Co. | 568,805 | ||||||||
43,300 | Yamaha Corp. | 1,305,992 | ||||||||
47,500 | Yamaha Motor Co., Ltd. | 791,138 | ||||||||
365,462 | Yamato Holdings Co., Ltd.‡ | 7,306,314 | ||||||||
19,000 | Yamato Kogyo Co., Ltd. | 412,981 | ||||||||
73,000 | Yokohama Rubber Co., Ltd. (The)‡ | 1,202,215 | ||||||||
|
| |||||||||
Total Japan | 381,888,139 | |||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
15,394 | RTL Group* | 1,305,844 | ||||||||
80,783 | SAF-Holland SA | 998,351 | ||||||||
235,952 | Tenaris SA‡ | 2,944,227 | ||||||||
|
| |||||||||
Total Luxembourg | 5,248,422 | |||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
748,700 | Tenaga Nasional Bhd | 2,675,094 | ||||||||
|
| |||||||||
Malta — 0.1% | ||||||||||
193,384 | Unibet Group Plc, SDR‡ | 2,198,223 | ||||||||
|
| |||||||||
Mauritius — 0.0% | ||||||||||
2,915,900 | Golden Agri-Resources, Ltd. | 887,806 | ||||||||
|
| |||||||||
Mexico — 0.2% | ||||||||||
609,680 | Cemex SAB de CV, Sponsored ADR* | 4,438,470 | ||||||||
|
| |||||||||
Netherlands — 3.3% | ||||||||||
271,833 | Aegon NV | 1,497,416 | ||||||||
26,350 | Akzo Nobel NV | 1,798,627 | ||||||||
34,051 | ASM International NV | 1,527,474 | ||||||||
10,694 | Core Laboratories NV | 1,202,112 | ||||||||
273,799 | Fiat Chrysler Automobiles NV‡ | 2,215,255 | ||||||||
7,969 | Flow Traders | 370,372 | ||||||||
29,541 | Heineken Holding NV | 2,308,640 | ||||||||
143,851 | Heineken NV | 13,056,664 |
See accompanying Notes to the Financial Statements. | 73 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Netherlands — continued |
| |||||||||
448,668 | ING Groep NV, ADR | 5,434,905 | ||||||||
87,392 | Koninklijke Ahold NV | 1,968,847 | ||||||||
23,915 | Koninklijke DSM NV | 1,317,242 | ||||||||
91,750 | Koninklijke Philips NV | 2,617,503 | ||||||||
84,600 | NN Group NV | 2,772,154 | ||||||||
132,050 | NXP Semiconductors NV* | 10,705,293 | ||||||||
167,226 | RELX NV | 2,924,181 | ||||||||
55,122 | TKH Group NV, ADR | 2,363,702 | ||||||||
162,994 | Unilever NV | 7,315,366 | ||||||||
40,320 | Unilever NV (New York Exchange), ADR | 1,801,498 | ||||||||
|
| |||||||||
Total Netherlands | 63,197,251 | |||||||||
|
| |||||||||
New Zealand — 0.5% | ||||||||||
713,721 | Air New Zealand, Ltd. | 1,417,234 | ||||||||
183,821 | Contact Energy, Ltd. | 638,134 | ||||||||
80,187 | Fisher & Paykel Healthcare Corp., Ltd. | 545,603 | ||||||||
171,748 | Fletcher Building, Ltd. | 940,840 | ||||||||
302,383 | Meridian Energy, Ltd. | 550,055 | ||||||||
248,991 | Sky City Entertainment Group, Ltd. | 866,101 | ||||||||
672,749 | Sky Network Television, Ltd. | 2,326,106 | ||||||||
436,160 | Spark New Zealand, Ltd. | 1,105,314 | ||||||||
231,002 | Trade Me Group, Ltd. | 707,296 | ||||||||
|
| |||||||||
Total New Zealand | 9,096,683 | |||||||||
|
| |||||||||
Norway — 1.2% | ||||||||||
81,052 | Det Norske Oljeselskap ASA* | 607,553 | ||||||||
732,788 | DnB NOR ASA | 8,668,981 | ||||||||
11,962 | Leroy Seafood Group ASA | 565,470 | ||||||||
31,729 | Marine Harvest ASA* | 489,097 | ||||||||
157,623 | Orkla ASA | 1,428,302 | ||||||||
131,449 | Salmar ASA | 3,226,132 | ||||||||
110,014 | SpareBank 1 SMN | 701,616 | ||||||||
70,600 | Statoil ASA | 1,112,187 | ||||||||
426,276 | Storebrand ASA* | 1,666,194 | ||||||||
197,141 | Telenor ASA | 3,191,438 | ||||||||
42,500 | Yara International ASA | 1,600,060 | ||||||||
|
| |||||||||
Total Norway | 23,257,030 | |||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
2,449,800 | Nickel Asia Corp. | 279,855 | ||||||||
6,261,800 | Vista Land & Lifescapes, Inc. | 633,728 | ||||||||
|
| |||||||||
Total Philippines | 913,583 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
423,743 | PGE Polska Grupa Energetyczna SA | 1,591,641 | ||||||||
|
| |||||||||
Portugal — 0.8% | ||||||||||
782,528 | Banco Espirito Santo SA* ¤ **** | — |
74 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Portugal — continued |
| |||||||||
831,367 | Jeronimo Martins SGPS SA | 13,623,392 | ||||||||
825,137 | Sonae SGPS SA | 995,762 | ||||||||
|
| |||||||||
Total Portugal | 14,619,154 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
246,335 | Gazprom PAO, Sponsored ADR | 1,062,443 | ||||||||
60,584 | MMC Norilsk Nickel PJSC, (London Exchange), ADR | 782,139 | ||||||||
32,432 | Tatneft PAO (London Exchange), Sponsored ADR | 1,032,635 | ||||||||
|
| |||||||||
Total Russia | 2,877,217 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
817,900 | Ascendas Hospitality Trust REIT | 455,536 | ||||||||
335,800 | ComfortDelGro Corp., Ltd. | 728,157 | ||||||||
146,200 | DBS Group Holdings, Ltd. | 1,669,802 | ||||||||
775,700 | Wilmar International, Ltd. | 1,935,506 | ||||||||
1,209,600 | Yangzijiang Shipbuilding Holdings, Ltd. | 880,297 | ||||||||
|
| |||||||||
Total Singapore | 5,669,298 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
113,251 | MTN Group, Ltd.‡ | 1,041,035 | ||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
35,889 | Kia Motors Corp. | 1,515,774 | ||||||||
3,220 | Samsung Electronics Co., Ltd. | 3,694,159 | ||||||||
6,440 | SK Telecom Co., Ltd. | 1,174,134 | ||||||||
|
| |||||||||
Total South Korea | 6,384,067 | |||||||||
|
| |||||||||
Spain — 2.3% | ||||||||||
63,420 | ACS Actividades de Construccion y Servicios SA | 1,892,759 | ||||||||
30,407 | Aena SA* | 3,931,078 | ||||||||
274,966 | Amadeus IT Holding SA Class A | 11,809,696 | ||||||||
309,821 | Banco Santander SA | 1,367,742 | ||||||||
46,200 | Distribuidora Internacional de Alimentacion SA | 240,387 | ||||||||
23,000 | Ebro Foods SA‡ | 502,832 | ||||||||
317,118 | Ence Energia y Celulosa SA | 1,071,468 | ||||||||
75,058 | Gamesa Corp. Tecnologica SA | 1,485,270 | ||||||||
261,233 | Gas Natural SDG SA | 5,289,919 | ||||||||
32,842 | Grifols SA, ADR | 508,066 | ||||||||
1,122,843 | Iberdrola SA | 7,499,362 | ||||||||
77,900 | Industria de Diseno Textil SA | 2,624,514 | ||||||||
732,130 | International Consolidated Airlines Group SA (London Exchange) | 5,824,427 | ||||||||
20,191 | Let’s GOWEX SA* ¤ ‡ **** | — | ||||||||
714,400 | Mapfre SA | 1,545,966 | ||||||||
|
| |||||||||
Total Spain | 45,593,486 | |||||||||
|
| |||||||||
Sweden — 2.6% | ||||||||||
96,376 | Boliden AB | 1,544,308 | ||||||||
486 | Fastighets AB Balder Class B* | 12,350 |
See accompanying Notes to the Financial Statements. | 75 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Sweden — continued |
| |||||||||
48,469 | Hennes & Mauritz AB Class B | 1,618,483 | ||||||||
43,097 | Hufvudstaden AB Class A | 684,198 | ||||||||
69,764 | Industrivarden AB Class C | 1,191,032 | ||||||||
61,428 | Investor AB Class B | 2,177,755 | ||||||||
385,460 | Lundin Petroleum AB* | 6,537,895 | ||||||||
704,805 | Nordea Bank AB | 6,781,402 | ||||||||
156,483 | Ratos AB Class B | 1,004,717 | ||||||||
136,884 | Sandvik AB | 1,418,365 | ||||||||
368,300 | SAS AB* ‡ | 1,049,469 | ||||||||
477,880 | Skandinaviska Enskilda Banken AB Class A‡ | 4,571,477 | ||||||||
115,000 | SKF AB Class B‡ | 2,079,638 | ||||||||
138,465 | Svenska Cellulosa AB Class B | 4,333,276 | ||||||||
364,760 | Svenska Handelsbanken AB Class A‡ | 4,647,971 | ||||||||
9,037 | Swedish Match AB | 307,227 | ||||||||
850,525 | Telefonaktiebolaget LM Ericsson Class B | 8,529,695 | ||||||||
561,589 | TeliaSonera AB | 2,921,313 | ||||||||
|
| |||||||||
Total Sweden | 51,410,571 | |||||||||
|
| |||||||||
Switzerland — 8.0% | ||||||||||
124,264 | ABB, Ltd.* | 2,431,689 | ||||||||
23,719 | Actelion, Ltd.* | 3,559,150 | ||||||||
48,722 | Adecco SA | 3,187,421 | ||||||||
10,100 | Aryzta AG* | 420,073 | ||||||||
12,028 | Ascom Holding AG | 226,706 | ||||||||
10,699 | Autoneum Holding AG* | 2,759,519 | ||||||||
5,932 | Bucher Industries AG | 1,447,615 | ||||||||
2,437 | Burckhardt Compression Holding AG‡ | 839,138 | ||||||||
29,585 | Cembra Money Bank AG* | 2,076,032 | ||||||||
41 | Chocoladefabriken Lindt & Spruengli AG* | 255,166 | ||||||||
47,861 | Clariant AG* | 869,609 | ||||||||
82,184 | Coca-Cola HBC AG* | 1,748,221 | ||||||||
197,300 | Credit Suisse Group AG* | 2,804,003 | ||||||||
9,160 | Gategroup Holding AG* | 411,299 | ||||||||
4,467 | Geberit AG | 1,675,970 | ||||||||
1,748 | Georg Fischer AG | 1,418,259 | ||||||||
4,325 | Givaudan SA | 8,517,674 | ||||||||
18,795 | Implenia AG | 1,183,458 | ||||||||
154,064 | Julius Baer Group, Ltd.* | 6,644,226 | ||||||||
41,114 | LafargeHolcim, Ltd.* | 1,941,822 | ||||||||
2,252 | Mobimo Holding AG* | 550,978 | ||||||||
22,956 | Nestle SA, Sponsored ADR | 1,712,747 | ||||||||
560,602 | Nestle SA | 42,060,517 | ||||||||
2,779 | Partners Group Holding AG | 1,121,583 | ||||||||
10,585 | Rieter Holding AG* | 2,294,623 | ||||||||
99,790 | Roche Holding AG | 24,664,849 | ||||||||
9,943 | Schindler Holding AG | 1,840,854 | ||||||||
2,752 | SGS SA | 5,839,361 | ||||||||
17,200 | Swiss Life Holding AG* | 4,592,534 | ||||||||
41,523 | Swiss Re AG | 3,854,639 |
76 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Switzerland — continued |
| |||||||||
3,480 | Swisscom AG | 1,898,710 | ||||||||
6,582 | Syngenta AG | 2,749,230 | ||||||||
1,732 | Tecan Group AG | 264,236 | ||||||||
11,043 | Temenos Group AG* | 606,549 | ||||||||
3,990 | U-Blox AG* | 769,960 | ||||||||
509,468 | UBS Group AG | 8,240,651 | ||||||||
1,816 | Valora Holding AG | 455,114 | ||||||||
13,634 | Vontobel Holding AG | 592,968 | ||||||||
31,458 | Zurich Insurance Group AG* | 7,335,218 | ||||||||
|
| |||||||||
Total Switzerland | 155,862,371 | |||||||||
|
| |||||||||
Taiwan — 0.5% | ||||||||||
608,000 | Fubon Financial Holding Co., Ltd. | 774,546 | ||||||||
346,594 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 9,080,763 | ||||||||
|
| |||||||||
Total Taiwan | 9,855,309 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
23,666,400 | Sansiri PCL | 1,029,266 | ||||||||
|
| |||||||||
Turkey — 0.1% | ||||||||||
208,146 | TAV Havalimanlari Holding AS | 1,242,652 | ||||||||
|
| |||||||||
United Kingdom — 18.5% | ||||||||||
252,378 | 3i Group Plc | 1,655,559 | ||||||||
40,246 | Abcam Plc | 341,289 | ||||||||
159,117 | Aberdeen Asset Management Plc | 634,411 | ||||||||
293,080 | Admiral Group Plc | 8,353,266 | ||||||||
37,071 | ARM Holdings Plc, Sponsored ADR | 1,619,632 | ||||||||
636,179 | Ashtead Group Plc | 7,900,244 | ||||||||
163,227 | Associated British Foods Plc | 7,856,960 | ||||||||
116,552 | AstraZeneca Plc, Sponsored ADR | 3,282,104 | ||||||||
45,800 | AstraZeneca Plc | 2,568,951 | ||||||||
1,451,770 | Auto Trader Group Plc | 8,137,853 | ||||||||
798,375 | BAE Systems Plc | 5,840,797 | ||||||||
189,900 | Barclays Plc, Sponsored ADR | 1,636,938 | ||||||||
712,929 | Barclays Plc | 1,537,039 | ||||||||
211,562 | Barratt Developments Plc | 1,704,357 | ||||||||
256,120 | BBA Aviation Plc | 737,715 | ||||||||
345,322 | Beazley Plc | 1,785,800 | ||||||||
30,388 | Bellway Plc | 1,145,639 | ||||||||
43,526 | Berendsen Plc | 752,596 | ||||||||
66,739 | Berkeley Group Holdings Plc | 3,086,833 | ||||||||
759,300 | BP Plc | 3,821,333 | ||||||||
54,492 | British American Tobacco Plc, Sponsored ADR | 6,370,660 | ||||||||
173,357 | British American Tobacco Plc | 10,190,890 | ||||||||
133,650 | Britvic Plc | 1,364,836 | ||||||||
30,028 | BT Group Plc, Sponsored ADR | 963,298 | ||||||||
232,350 | BT Group Plc | 1,471,079 | ||||||||
288,800 | Bunzl Plc | 8,397,316 |
See accompanying Notes to the Financial Statements. | 77 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United Kingdom — continued |
| |||||||||
374,146 | Cairn Energy Plc* | 1,075,520 | ||||||||
349,974 | Carillion Plc‡ | 1,479,375 | ||||||||
158,260 | Carnival Plc | 8,534,565 | ||||||||
13,865 | Carnival Plc, ADR | 752,731 | ||||||||
570,622 | Centrica Plc | 1,867,493 | ||||||||
1,165,738 | Cobham Plc | 3,637,543 | ||||||||
707,163 | Compass Group Plc | 12,481,458 | ||||||||
150,255 | Crest Nicholson Holdings Plc | 1,215,863 | ||||||||
64,807 | Diageo Plc, Sponsored ADR | 6,990,731 | ||||||||
38,950 | Dialog Semiconductor Plc* | 1,543,505 | ||||||||
19,722 | Domino’s Pizza Group Plc | 285,732 | ||||||||
126,585 | easyJet Plc | 2,763,678 | ||||||||
970,386 | Evraz Plc* | 1,255,262 | ||||||||
176,882 | Experian Plc | 3,165,194 | ||||||||
701,600 | Firstgroup Plc* | 975,132 | ||||||||
339,334 | GKN Plc | 1,408,549 | ||||||||
64,609 | GlaxoSmithKline Plc, Sponsored ADR | 2,619,895 | ||||||||
498,491 | Glencore Plc | 1,127,025 | ||||||||
95,292 | Greene King Plc | 1,193,634 | ||||||||
47,696 | Greggs Plc | 745,176 | ||||||||
317,740 | Halma Plc | 4,162,708 | ||||||||
733,357 | Home Retail Group Plc | 1,747,621 | ||||||||
6,079 | HSBC Holdings Plc, Sponsored ADR | 189,178 | ||||||||
582,334 | HSBC Holdings Plc | 3,631,694 | ||||||||
225,854 | IG Group Holdings Plc | 2,596,960 | ||||||||
372,984 | IMI Plc | 5,106,256 | ||||||||
110,506 | Imperial Brands Plc | 6,135,613 | ||||||||
520,208 | Inmarsat Plc | 7,361,057 | ||||||||
39,952 | InterContinental Hotels Group Plc | 1,648,615 | ||||||||
110,430 | Intermediate Capital Group Plc | 981,690 | ||||||||
60,794 | Intertek Group Plc | 2,767,300 | ||||||||
618,751 | ITV Plc | 2,145,066 | ||||||||
1,838,845 | J Sainsbury Plc‡ | 7,302,531 | ||||||||
133,342 | Jardine Lloyd Thompson Group Plc | 1,618,505 | ||||||||
192,826 | John Wood Group Plc | 1,704,465 | ||||||||
4,197,051 | Lloyds Banking Group Plc | 4,103,253 | ||||||||
1,222,520 | Man Group Plc | 2,679,620 | ||||||||
335,675 | Marks & Spencer Group Plc | 1,959,776 | ||||||||
179,869 | Meggitt Plc | 1,051,166 | ||||||||
270,400 | Mitchells & Butlers Plc | 1,080,047 | ||||||||
65,917 | National Grid Plc, Sponsored ADR | 4,707,792 | ||||||||
321,050 | National Grid Plc | 4,555,387 | ||||||||
1,294,785 | Old Mutual Plc | 3,593,580 | ||||||||
211,900 | Paragon Group of Cos. Plc (The) | 982,828 | ||||||||
80,637 | Pearson Plc, Sponsored ADR | 1,011,188 | ||||||||
7,440 | Pearson Plc | 93,568 | ||||||||
37,883 | Persimmon Plc | 1,135,267 | ||||||||
34,529 | Petrofac, Ltd. | 457,079 | ||||||||
302,173 | Premier Farnell Plc | 489,688 |
78 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United Kingdom — continued |
| |||||||||
86 | Prudential Plc, ADR | 3,199 | ||||||||
1,132,996 | QinetiQ Group Plc | 3,712,878 | ||||||||
22,909 | Randgold Resources, Ltd. | 2,097,457 | ||||||||
6,157 | Randgold Resources, Ltd., ADR | 559,117 | ||||||||
387,701 | Reckitt Benckiser Group Plc | 37,502,429 | ||||||||
187,599 | Redrow Plc | 1,084,746 | ||||||||
262,256 | Regus Plc | 1,193,771 | ||||||||
53,519 | Restaurant Group Plc (The) | 301,999 | ||||||||
13,824 | Rightmove Plc | 836,693 | ||||||||
171,895 | Royal Dutch Shell Plc Class B | 4,200,099 | ||||||||
904 | Royal Dutch Shell Plc (Turquoise) Class A, Sponsored ADR | 43,799 | ||||||||
17,380 | Shire Plc, ADR | 2,987,622 | ||||||||
200,780 | Shire Plc | 11,424,925 | ||||||||
103,361 | Spectris Plc | 2,739,460 | ||||||||
61,663 | Spirax-Sarco Engineering Plc | 3,226,067 | ||||||||
709,204 | St James’s Place Plc | 9,362,628 | ||||||||
232,817 | Stagecoach Group Plc | 843,931 | ||||||||
174,961 | Standard Chartered Plc | 1,188,328 | ||||||||
160,456 | SVG Capital Plc* | 1,156,576 | ||||||||
786,928 | Tesco Plc* | 2,169,357 | ||||||||
122,201 | Unilever Plc, Sponsored ADR | 5,521,041 | ||||||||
41,872 | Unilever Plc | 1,897,257 | ||||||||
132,964 | Vodafone Group Plc, Sponsored ADR | 4,261,496 | ||||||||
2,241,996 | Vodafone Group Plc | 7,127,995 | ||||||||
34,941 | Whitbread Plc | 1,988,740 | ||||||||
869,900 | WM Morrison Supermarkets Plc‡ | 2,484,360 | ||||||||
211,370 | Wolseley Plc | 11,966,764 | ||||||||
3,044,750 | Worldpay Group Plc* | 12,038,978 | ||||||||
|
| |||||||||
Total United Kingdom | 359,196,666 | |||||||||
|
| |||||||||
United States — 2.4% | ||||||||||
181,098 | Analog Devices, Inc. | 10,719,191 | ||||||||
250,038 | Cadence Design Systems, Inc.* | 5,895,896 | ||||||||
207,839 | Colgate-Palmolive Co. | 14,683,825 | ||||||||
35,119 | Nordson Corp. | 2,670,449 | ||||||||
179,554 | NVIDIA Corp. | 6,397,509 | ||||||||
14,543 | Synopsys, Inc.* | 704,463 | ||||||||
81,631 | Texas Instruments, Inc. | 4,687,252 | ||||||||
|
| |||||||||
Total United States | 45,758,585 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,761,201,603) | 1,784,004,359 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
308,800 | iShares MSCI EAFE Index Fund | 17,641,744 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $16,997,481) | 17,641,744 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 79 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 0.7% | ||||||||||
Brazil — 0.1% | ||||||||||
727,600 | Itausa - Investimentos Itau SA, 5.73% | 1,677,340 | ||||||||
|
| |||||||||
Germany — 0.6% | ||||||||||
95,587 | Henkel AG & Co. KGaA, 1.34% | 10,554,950 | ||||||||
28,877 | Porsche Automobil Holding SE, 4.79% | 1,490,349 | ||||||||
|
| |||||||||
Total Germany | 12,045,299 | |||||||||
|
| |||||||||
Spain — 0.0% | ||||||||||
29,792 | Grifols SA, 2.39% Series B | 461,543 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $12,122,273) | 14,184,182 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 11.0% | ||||||||||
Bank Deposit — 6.3% | ||||||||||
121,519,968 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 121,519,968 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.7% | ||||||||||
91,339,396 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 91,339,396 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $212,859,364) | 212,859,364 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.5% (Cost $2,003,180,721) | 2,028,689,649 | |||||||||
Other Assets and Liabilities (net) — (4.5)% | (87,055,379 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,941,634,270 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
SDR — Swedish Depository Receipt | ||||||||||
* | Non-income producing security | |||||||||
¤ | Illiquid security. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $1,457,972. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $349,438 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $1,792,811. |
80 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
1,115 | MSCI EAFE E-mini Index | June 2016 | $ | 90,621,625 | $ | (198,945 | ) | |||||||||||
|
|
See accompanying Notes to the Financial Statements. | 81 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Food | 8.3 | ||||
Telecommunications | 6.0 | ||||
Banks | 5.9 | ||||
Insurance | 5.8 | ||||
Pharmaceuticals | 5.2 | ||||
Retail | 4.1 | ||||
Beverages | 3.5 | ||||
Chemicals | 3.5 | ||||
Diversified Financial Services | 3.2 | ||||
Commercial Services | 3.0 | ||||
Semiconductors | 3.0 | ||||
Household Products & Wares | 2.4 | ||||
Oil & Gas | 2.4 | ||||
Electric | 2.3 | ||||
Auto Parts & Equipment | 2.2 | ||||
Agriculture | 1.9 | ||||
Cosmetics & Personal Care | 1.8 | ||||
Auto Manufacturers | 1.7 | ||||
Distribution & Wholesale | 1.7 | ||||
Real Estate | 1.6 | ||||
Electrical Components & Equipment | 1.4 | ||||
Machinery — Diversified | 1.4 | ||||
Software | 1.4 | ||||
Transportation | 1.4 | ||||
Airlines | 1.2 | ||||
Internet | 1.2 | ||||
Engineering & Construction | 1.1 | ||||
Miscellaneous — Manufacturing | 1.1 | ||||
Building Materials | 1.0 | ||||
Electronics | 1.0 | ||||
Computers | 0.9 | ||||
Gas | 0.9 | ||||
Holding Companies — Diversified | 0.9 | ||||
Unaffiliated Fund | 0.9 | ||||
Aerospace & Defense | 0.8 | ||||
Food Service | 0.6 | ||||
Health Care — Products | 0.6 | ||||
Home Builders | 0.6 | ||||
Media | 0.6 | ||||
Health Care — Services | 0.5 | ||||
Iron & Steel | 0.5 | ||||
Leisure Time | 0.5 | ||||
Lodging | 0.5 | ||||
Forest Products & Paper | 0.4 | ||||
Mining | 0.4 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Office & Business Equipment | 0.3 | ||||
Apparel | 0.2 | ||||
Energy — Alternate Sources | 0.2 | ||||
Entertainment | 0.2 | ||||
Hand & Machine Tools | 0.2 |
82 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Oil & Gas Services | 0.2 | ||||
Advertising | 0.1 | ||||
Investment Companies | 0.1 | ||||
Packaging & Containers | 0.1 | ||||
REITS | 0.1 | ||||
Shipbuilding | 0.1 | ||||
Textiles | 0.1 | ||||
Biotechnology | 0.0 | ||||
Home Furnishings | 0.0 | ||||
Machinery — Construction & Mining | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 6.5 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 83 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 97.8% | ||||||||||
Asset Backed Securities — 10.8% | ||||||||||
750,000 | A Voce CLO, Ltd., Series 2014-1A, Class A1A, 2.07%, due 07/15/26† 144A | 739,453 | ||||||||
1,700,000 | AIMCO CLO, Series 2014-AA, Class A, 2.16%, due 07/20/26† 144A | 1,694,900 | ||||||||
1,000,000 | AIMCO CLO, Series 2014-AA, Class B1, 2.62%, due 07/20/26† 144A | 970,863 | ||||||||
1,500,000 | AIMCO CLO, Series 2014-AA, Class B2, 4.58%, due 07/20/26 144A | 1,511,371 | ||||||||
750,000 | AIMCO CLO, Series 2015-AA, Class A1, 2.03%, due 01/15/28† 144A | 747,582 | ||||||||
1,470,000 | Ally Auto Receivables Trust, Series 2014-2, Class A4, 1.84%, due 01/15/20 | 1,482,868 | ||||||||
1,000,000 | American Express Credit Account Master Trust, Series 2013-1, Class B, 1.14%, due 02/16/21† | 999,002 | ||||||||
756,133 | Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 1.20%, due 09/25/33† | 700,843 | ||||||||
194,264 | Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 1.13%, due 04/25/34† | 191,420 | ||||||||
1,000,000 | Anchorage Capital CLO 3, Ltd., Series 2014-3A, Class A2A, 2.87%, | 993,766 | ||||||||
750,000 | Anchorage Capital CLO 5, Ltd., Series 2014-5A, Class A, 2.22%, due 10/15/26† 144A | 750,644 | ||||||||
388,110 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.40%, due 12/15/33† | 372,500 | ||||||||
1,700,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.50%, due 07/20/21 144A | 1,693,550 | ||||||||
1,200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, due 12/20/21 144A | 1,194,142 | ||||||||
525,000 | Babson CLO, Ltd., Series 2013-IA, Class A, 1.72%, due 04/20/25† 144A | 519,002 | ||||||||
250,000 | Battalion CLO VIII, Ltd., Series 2015-8A, Class A1, 2.15%, due 04/18/27† 144A | 246,882 | ||||||||
55,408 | Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 1.00%, due 09/25/34† | 54,621 | ||||||||
4,866,000 | BMW Vehicle Lease Trust, Series 2014-1, Class A4, 0.99%, due 08/21/17 | 4,864,132 | ||||||||
1,102,141 | BNSF Railway Co. 2007-1 Pass Through Trust, 6.00%, due 04/01/24 | 1,268,840 | ||||||||
613,288 | Burlington Northern and Santa Fe Railway Co. 2006-1 Pass Through Trust, 5.72%, due 01/15/24 | 689,369 | ||||||||
691,025 | Colony American Homes, Series 2014-1A, Class A, 1.59%, due 05/17/31† 144A | 679,908 | ||||||||
3,052,762 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 3,681,262 | ||||||||
1,053,439 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24 | 1,212,772 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.26%, due 11/15/25 144A | 1,013,923 | ||||||||
2,305,000 | Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.31%, due 04/15/26 144A | 2,327,990 | ||||||||
500,000 | GE Dealer Floorplan Master Note Trust, Series 2015-1, Class A, 0.93%, due 01/20/20† | 498,470 | ||||||||
500,000 | GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 0.94%, due 05/15/20¤ † 144A | 496,434 | ||||||||
1,600,000 | Hertz Vehicle Financing LLC, Series 2015-1A, Class A, 2.73%, due 03/25/21 144A | 1,603,384 | ||||||||
600,000 | Hertz Vehicle Financing LLC, Series 2015-3A, Class A, 2.67%, due 09/25/21 144A | 600,088 | ||||||||
700,000 | Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 2.32%, due 03/25/20 144A | 700,572 | ||||||||
250,000 | Highbridge Loan Management CLO, Ltd., Series 2015-6A, Class A, 2.07%, due 05/05/27† 144A | 247,358 | ||||||||
321,354 | Home Equity Asset Trust, Series 2003-8, Class M1, 1.51%, due 04/25/34† | 292,897 | ||||||||
3,500,000 | HSBC Home Equity Loan Trust, Series 2006-3, Class M1, 0.69%, due 03/20/36† | 3,443,944 | ||||||||
250,000 | ICG US CLO, Ltd., Series 2014-3A, Class A1B, 3.28%, due 01/25/27 144A | 251,563 | ||||||||
3,437,683 | Invitation Homes Trust, Series 2014-SFR1, Class A, 1.44%, due 06/17/31† 144A | 3,363,102 | ||||||||
1,167,527 | Invitation Homes Trust, Series 2015-SFR3, Class A, 1.74%, due 08/17/32† 144A | 1,151,700 | ||||||||
500,000 | KVK CLO, Ltd., Series 2014-2A, Class A, 2.17%, due 07/15/26† 144A | 491,128 | ||||||||
1,750,000 | Madison Park Funding XI CLO, Ltd., Series 2013-11A, Class A1A, 1.90%, due 10/23/25† 144A | 1,735,272 |
84 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
250,000 | Magnetite XI CLO, Ltd., Series 2014-11A, Class A1, 2.07%, due 01/18/27† 144A | 248,456 | ||||||||
1,570,000 | MMAF Equipment Finance LLC, Series 2014-AA, Class A5, 2.33%, due 12/08/25 144A | 1,566,948 | ||||||||
263,475 | Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.45%, due 10/25/33† | 248,449 | ||||||||
318,147 | Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.63%, due 06/25/33† | 307,074 | ||||||||
192,656 | Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.48%, due 06/25/33† | 181,308 | ||||||||
311,151 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 1.16%, due 10/25/33† 144A | 282,526 | ||||||||
2,211,000 | NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A, 2.38%, due 10/15/20 144A | 2,195,051 | ||||||||
1,200,000 | OneMain Financial Issuance Trust, Series 2015-2A, Class A, 2.57%, due 07/18/25 144A | 1,185,219 | ||||||||
750,000 | Palmer Square CLO, Ltd., Series 2015-2A, Class A1A, 2.12%, due 07/20/27† 144A | 744,502 | ||||||||
1,000,000 | Race Point VIII CLO, Ltd., Series 2013-8A, Class A, 1.87%, due 02/20/25† 144A | 993,011 | ||||||||
750,000 | Regatta IV Funding CLO, Ltd., Series 2014-1A, Class A2, 2.15%, due 07/25/26† 144A | 745,469 | ||||||||
750,000 | Regatta V Funding CLO, Ltd., Series 2014-1A, Class A1A, 2.18%, due 10/25/26† 144A | 742,453 | ||||||||
712,884 | Saxon Asset Securities Trust, Series 2005-1, Class M1, 1.13%, due 05/25/35† | 680,384 | ||||||||
500,000 | Seneca Park CLO, Ltd., Series 2014-1A, Class B2, 4.35%, due 07/17/26 144A | 504,507 | ||||||||
500,000 | Shackleton CLO, Ltd., Series 2014-6A, Class A1, 2.10%, due 07/17/26† 144A | 494,690 | ||||||||
640,352 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.20%, due 10/20/30 144A | 638,230 | ||||||||
750,000 | Silvermore CLO, Ltd., Series 2014-1A, Class A1, 2.07%, due 05/15/26† 144A | 733,044 | ||||||||
1,557,486 | SLM Student Loan Trust, Series 2012-B, Class A2, 3.48%, due 10/15/30 144A | 1,587,340 | ||||||||
1,925,378 | Small Business Administration Participation Certificates, Series 2010-20D, Class 1, 4.36%, due 04/01/30 | 2,108,980 | ||||||||
1,307,370 | Small Business Administration Participation Certificates, Series 2010-20G, Class 1, 3.80%, due 07/01/30 | 1,417,900 | ||||||||
1,756,016 | Small Business Administration Participation Certificates, Series 2010-20I, Class 1, 3.21%, due 09/01/30 | 1,855,494 | ||||||||
1,539,894 | Small Business Administration Participation Certificates, Series 2011-20F, Class 1, 3.67%, due 06/01/31 | 1,669,690 | ||||||||
3,027,325 | Small Business Administration Participation Certificates, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 3,182,621 | ||||||||
4,256,152 | Small Business Administration Participation Certificates, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 4,505,111 | ||||||||
1,764,845 | Small Business Administration Participation Certificates, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 1,850,036 | ||||||||
1,246,863 | Small Business Administration Participation Certificates, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 1,288,523 | ||||||||
860,000 | Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, due 11/15/24 144A | 851,657 | ||||||||
1,214,762 | STORE Master Funding LLC, Series 2014-1A, Class A2, 5.00%, due 04/20/44 144A | 1,206,268 | ||||||||
2,000,000 | Synchrony Credit Card Master Note Trust, Series 2015-3, Class A, 1.74%, due 09/15/21 | 2,004,663 | ||||||||
500,000 | THL Credit Wind River CLO, Ltd., Series 2014-3A, Class A, 2.24%, | 495,322 | ||||||||
750,000 | THL Credit Wind River CLO, Ltd., Series 2015-1A, Class A, 2.12%, | 737,511 | ||||||||
38,782 | UAL Pass Through Trust, Series 2009-2A, 9.75%, due 07/15/18 | 40,777 | ||||||||
1,300,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class A1, 2.12%, due 04/20/26† 144A | 1,276,958 | ||||||||
500,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class B2, 4.25%, due 04/20/26 144A | 485,362 | ||||||||
|
| |||||||||
84,533,051 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 85 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — 39.9% | ||||||||||
50,000 | 21st Century Fox America, Inc., 4.50%, due 02/15/21 | 55,182 | ||||||||
1,600,000 | 21st Century Fox America, Inc., 6.15%, due 02/15/41 | 1,917,686 | ||||||||
475,000 | 21st Century Fox America, Inc., 6.20%, due 12/15/34 | 573,031 | ||||||||
275,000 | 21st Century Fox America, Inc., 6.40%, due 12/15/35 | 337,484 | ||||||||
20,000 | 21st Century Fox America, Inc., 6.75%, due 01/09/38 | 23,673 | ||||||||
812,000 | AbbVie, Inc., 3.20%, due 11/06/22 | 840,926 | ||||||||
300,000 | AbbVie, Inc., 3.60%, due 05/14/25 | 315,513 | ||||||||
500,000 | AbbVie, Inc., 4.50%, due 05/14/35 | 521,151 | ||||||||
250,000 | ACE INA Holdings, Inc., 3.35%, due 05/03/26 | 261,327 | ||||||||
30,000 | ACE INA Holdings, Inc., 4.35%, due 11/03/45 | 32,778 | ||||||||
825,000 | Actavis Funding SCS, 3.45%, due 03/15/22 | 857,599 | ||||||||
475,000 | Actavis Funding SCS, 3.80%, due 03/15/25 | 495,267 | ||||||||
605,000 | Actavis Funding SCS, 4.55%, due 03/15/35 | 625,289 | ||||||||
280,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 3.75%, due 05/15/19 | 279,300 | ||||||||
96,000 | AES Corp. (The), Senior Note, 8.00%, due 06/01/20‡ | 109,440 | ||||||||
750,000 | Aetna, Inc., 4.75%, due 03/15/44 | 799,685 | ||||||||
2,275,000 | AgriBank FCB, 9.13%, due 07/15/19 | 2,759,941 | ||||||||
315,000 | Agrium, Inc., 4.90%, due 06/01/43 | 300,874 | ||||||||
150,000 | Agrium, Inc., 5.25%, due 01/15/45 | 148,669 | ||||||||
1,040,000 | AIA Group, Ltd., 3.20%, due 03/11/25 144A | 1,049,179 | ||||||||
1,415,521 | Air Canada 2015-1 Class A Pass Through Trust, 3.60%, due 09/15/28 144A | 1,353,592 | ||||||||
425,000 | Altria Group, Inc., 2.85%, due 08/09/22 | 439,641 | ||||||||
150,000 | Altria Group, Inc., 9.95%, due 11/10/38 | 264,584 | ||||||||
340,000 | AMC Networks, Inc., 5.00%, due 04/01/24 | 342,125 | ||||||||
620,000 | America Movil SAB de CV, 5.00%, due 03/30/20 | 687,263 | ||||||||
150,000 | America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17 | 159,894 | ||||||||
3,612,675 | American Airlines 2013-2 Class A Pass Through Trust, 4.95%, due 07/15/24 | 3,869,789 | ||||||||
205,000 | American Express Co., 5.20%† ††††† | 194,238 | ||||||||
1,247,000 | American International Group, Inc., 4.80%, due 07/10/45 | 1,235,571 | ||||||||
680,000 | Amgen, Inc., 5.65%, due 06/15/42 | 802,548 | ||||||||
295,000 | Anadarko Petroleum Corp., 6.20%, due 03/15/40 | 284,670 | ||||||||
8,000,000 | Anadarko Petroleum Corp., 7.85%, due 10/10/36‡‡ | 2,992,000 | ||||||||
1,050,000 | Anheuser-Busch InBev Finance, Inc., 3.65%, due 02/01/26 | 1,105,533 | ||||||||
465,000 | Anheuser-Busch InBev Finance, Inc., 4.70%, due 02/01/36 | 503,502 | ||||||||
1,493,000 | Anheuser-Busch InBev Finance, Inc., 4.90%, due 02/01/46 | 1,672,594 | ||||||||
340,000 | Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20 | 383,587 | ||||||||
425,000 | Anthem, Inc., 4.35%, due 08/15/20 | 457,801 | ||||||||
5,000 | Anthem, Inc., 5.10%, due 01/15/44 | 5,293 | ||||||||
730,000 | Anthem, Inc., 5.88%, due 06/15/17 | 767,977 | ||||||||
696,000 | Anthem, Inc., 7.00%, due 02/15/19 | 787,818 | ||||||||
70,000 | Aramark Services, Inc., Co., 5.13%, due 01/15/24 | 73,938 | ||||||||
160,000 | ArcelorMittal, 5.50%, due 02/25/17 | 162,800 | ||||||||
150,000 | AT&T, Inc., 2.63%, due 12/01/22‡ | 148,769 | ||||||||
2,479,000 | AT&T, Inc., 3.40%, due 05/15/25 | 2,489,533 | ||||||||
5,000,000 | AT&T, Inc., 3.85%, due 11/27/22‡‡ 144A | 3,965,760 | ||||||||
120,000 | AT&T, Inc., 3.88%, due 08/15/21 | 127,849 | ||||||||
550,000 | AT&T, Inc., 4.13%, due 02/17/26 | 581,995 | ||||||||
10,000 | AT&T, Inc., 4.45%, due 05/15/21 | 10,937 | ||||||||
110,000 | AT&T, Inc., 4.50%, due 05/15/35 | 108,815 |
86 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
145,000 | AT&T, Inc., 4.75%, due 05/15/46 | 142,000 | ||||||||
400,000 | AT&T, Inc., 5.35%, due 09/01/40 | 422,043 | ||||||||
500,000 | AT&T, Inc., 5.65%, due 02/15/47 | 553,958 | ||||||||
610,000 | AT&T, Inc., Global Note, 5.50%, due 02/01/18 | 653,825 | ||||||||
1,675,000 | AT&T, Inc., Global Note, 6.55%, due 02/15/39 | 1,978,820 | ||||||||
2,825,000 | BAC Capital Trust XI, 6.63%, due 05/23/36 | 3,275,915 | ||||||||
2,160,000 | BAE Systems Holdings, Inc., 6.38%, due 06/01/19 144A | 2,430,810 | ||||||||
155,000 | Ball Corp., 4.38%, due 12/15/20 | 161,588 | ||||||||
600,000 | Bank of America Corp., 2.60%, due 01/15/19 | 610,554 | ||||||||
140,000 | Bank of America Corp., 3.88%, due 03/22/17 | 143,274 | ||||||||
500,000 | Bank of America Corp., 4.13%, due 01/22/24 | 530,527 | ||||||||
400,000 | Bank of America Corp., 4.20%, due 08/26/24 | 408,033 | ||||||||
1,195,000 | Bank of America Corp., 4.45%, due 03/03/26 | 1,233,538 | ||||||||
290,000 | Bank of America Corp., 5.00%, due 05/13/21 | 322,234 | ||||||||
420,000 | Bank of America Corp., 5.13%† ††††† | 397,425 | ||||||||
565,000 | Bank of America Corp., 5.63%, due 07/01/20 | 635,503 | ||||||||
555,000 | Bank of America Corp., 5.70%, due 01/24/22 | 638,080 | ||||||||
100,000 | Bank of America Corp., 7.63%, due 06/01/19 | 116,461 | ||||||||
410,000 | Bank of America Corp., Senior Note, 5.75%, due 12/01/17 | 435,848 | ||||||||
1,721,000 | Bank of America NA, 1.75%, due 06/05/18 | 1,721,138 | ||||||||
375,000 | Bank One Capital III, 8.75%, due 09/01/30 | 542,055 | ||||||||
1,450,000 | Barclays Plc, 4.38%, due 09/11/24 | 1,366,484 | ||||||||
345,000 | Becton Dickinson and Co., 3.73%, due 12/15/24 | 367,956 | ||||||||
1,480,000 | Berkshire Hathaway Energy Co., 3.50%, due 02/01/25 | 1,565,183 | ||||||||
1,432,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,778,358 | ||||||||
280,000 | BHP Billiton Finance USA, Ltd., 6.25%, due 10/19/75† ‡ 144A | 282,800 | ||||||||
1,300,000 | BHP Billiton Finance USA, Ltd., 6.75%, due 10/19/75† ‡ 144A | 1,301,625 | ||||||||
764,000 | Blackstone Holdings Finance Co. LLC, 4.75%, due 02/15/23 144A | 836,967 | ||||||||
1,830,000 | Blackstone Holdings Finance Co. LLC, Series 1, 6.63%, due 08/15/19 144A | 2,090,857 | ||||||||
2,125,000 | BNP Paribas SA, 4.25%, due 10/15/24‡ | 2,153,851 | ||||||||
475,000 | BNP Paribas SA, 4.38%, due 09/28/25 144A | 475,465 | ||||||||
415,000 | Boston Properties, LP REIT, 3.13%, due 09/01/23 | 417,965 | ||||||||
1,025,000 | Boston Properties, LP REIT, 4.13%, due 05/15/21 | 1,099,648 | ||||||||
1,485,000 | Boston Properties, LP REIT, 5.63%, due 11/15/20 | 1,670,040 | ||||||||
280,000 | Building Materials Corp. of America, 5.38%, due 11/15/24¤ 144A | 285,600 | ||||||||
600,000 | Burlington Northern Santa Fe LLC, 3.75%, due 04/01/24 | 648,243 | ||||||||
859,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15# | 925,057 | ||||||||
1,625,000 | Capital One Financial Corp., 3.50%, due 06/15/23 | 1,647,106 | ||||||||
400,000 | Capital One Financial Corp., 4.20%, due 10/29/25 | 405,791 | ||||||||
625,000 | Capital One Financial Corp., 4.75%, due 07/15/21 | 685,691 | ||||||||
1,882,000 | Carlyle Holdings II Finance LLC, 5.63%, due 03/30/43 144A | 2,050,217 | ||||||||
915,000 | Carnival Corp., 1.88%, due 12/15/17 | 918,222 | ||||||||
214,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19 | 218,318 | ||||||||
5,000 | CCO Safari II LLC, 4.46%, due 07/23/22 144A | 5,232 | ||||||||
2,161,000 | CCO Safari II LLC, 4.91%, due 07/23/25 144A | 2,282,794 | ||||||||
195,000 | CCO Safari II LLC, 6.38%, due 10/23/35 144A | 215,762 | ||||||||
235,000 | CCO Safari II LLC, 6.48%, due 10/23/45 144A | 262,213 | ||||||||
60,000 | CCO Safari II LLC, 6.83%, due 10/23/55 144A | 64,982 | ||||||||
3,247,000 | CDP Financial, Inc., 3.15%, due 07/24/24 144A | 3,401,612 |
See accompanying Notes to the Financial Statements. | 87 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,700,000 | Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A | 1,610,580 | ||||||||
675,000 | Cemex SAB de CV, 6.50%, due 12/10/19 144A | 696,094 | ||||||||
1,125,000 | Cemex SAB de CV, 7.25%, due 01/15/21 144A | 1,172,812 | ||||||||
800,000 | Cigna Corp., 5.38%, due 02/15/42 | 882,676 | ||||||||
1,100,000 | Cigna Corp., 6.15%, due 11/15/36 | 1,293,819 | ||||||||
325,000 | Cigna Corp., 7.88%, due 05/15/27 | 442,074 | ||||||||
814,000 | Citigroup, Inc., 2.15%, due 07/30/18 | 818,919 | ||||||||
1,374,000 | Citigroup, Inc., 2.70%, due 03/30/21 | 1,385,624 | ||||||||
425,000 | Citigroup, Inc., 3.88%, due 03/26/25 | 421,913 | ||||||||
265,000 | Citigroup, Inc., 4.00%, due 08/05/24 | 267,878 | ||||||||
260,000 | Citigroup, Inc., 4.05%, due 07/30/22 | 270,960 | ||||||||
180,000 | Citigroup, Inc., 4.40%, due 06/10/25 | 183,893 | ||||||||
970,000 | Citigroup, Inc., 4.50%, due 01/14/22 | 1,063,278 | ||||||||
130,000 | Citigroup, Inc., 5.90%† ††††† ‡ | 128,050 | ||||||||
230,000 | Citigroup, Inc., 5.95%† ††††† | 221,878 | ||||||||
550,000 | Citigroup, Inc., 5.95%† ††††† | 527,381 | ||||||||
120,000 | Citigroup, Inc., 6.13%† ††††† ‡ | 120,446 | ||||||||
1,614,000 | Cleveland Clinic Foundation (The), 4.86%, due 01/01/14# | 1,697,294 | ||||||||
3,230,000 | Comcast Corp., 4.25%, due 01/15/33 | 3,446,168 | ||||||||
746,000 | Comcast Corp., 6.40%, due 05/15/38 | 995,571 | ||||||||
130,000 | Comcast Corp., 6.50%, due 01/15/17 | 135,649 | ||||||||
20,000 | Comcast Corp., 6.50%, due 11/15/35 | 26,923 | ||||||||
90,000 | Comcast Corp., 6.95%, due 08/15/37 | 126,625 | ||||||||
300,000 | ConocoPhillips Holding Co., 6.95%, due 04/15/29 | 338,198 | ||||||||
1,106,535 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.98%, due 10/19/23 | 1,224,105 | ||||||||
525,000 | Corp. Nacional del Cobre de Chile, 4.50%, due 09/16/25‡ 144A | 536,512 | ||||||||
210,000 | Countrywide Financial Corp., Subordinated Note, 6.25%, due 05/15/16 | 211,198 | ||||||||
1,950,000 | COX Communications, Inc., 3.25%, due 12/15/22 144A | 1,883,289 | ||||||||
1,650,000 | COX Communications, Inc., 3.85%, due 02/01/25 144A | 1,594,578 | ||||||||
275,000 | COX Communications, Inc., 9.38%, due 01/15/19 144A | 323,045 | ||||||||
500,000 | Credit Suisse Group Funding Guernsey, Ltd., 2.75%, due 03/26/20 | 493,882 | ||||||||
1,050,000 | CRH America, Inc., 3.88%, due 05/18/25 144A | 1,095,692 | ||||||||
550,000 | CSX Corp., 7.38%, due 02/01/19 | 633,346 | ||||||||
1,160,000 | CVS Health Corp., 2.75%, due 12/01/22 | 1,193,183 | ||||||||
95,000 | CVS Health Corp., 4.88%, due 07/20/35 | 106,257 | ||||||||
120,000 | CVS Health Corp., 5.13%, due 07/20/45 | 139,531 | ||||||||
578,000 | DCP Midstream LLC, 5.35%, due 03/15/20 144A | 498,663 | ||||||||
520,000 | Devon Energy Corp., 7.95%, due 04/15/32 | 530,035 | ||||||||
665,000 | Discover Financial Services, 3.75%, due 03/04/25 | 648,482 | ||||||||
400,000 | Dominion Resources, Inc., 4.45%, due 03/15/21 | 432,970 | ||||||||
325,000 | Dominion Resources, Inc., Subordinated Note, 4.10%, due 04/01/21 | 332,710 | ||||||||
1,325,000 | Dominion Resources, Inc., Subordinated Note, 5.75%, due 10/01/54† | 1,273,987 | ||||||||
400,000 | Dow Chemical Co. (The), 4.38%, due 11/15/42 | 385,434 | ||||||||
775,000 | Dow Chemical Co. (The), 7.38%, due 11/01/29 | 995,828 | ||||||||
810,000 | Dow Chemical Co. (The), 8.55%, due 05/15/19 | 964,175 | ||||||||
575,000 | Dow Chemical Co. (The), 9.40%, due 05/15/39 | 873,289 | ||||||||
2,589,000 | Duke Energy Corp., 3.55%, due 09/15/21 | 2,716,286 | ||||||||
240,000 | Eagle Spinco, Inc., 4.63%, due 02/15/21 | 233,124 | ||||||||
110,000 | Ecolab, Inc., 4.35%, due 12/08/21 | 121,595 |
88 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 202,219 | ||||||||
1,038,000 | Electricite de France SA, 3.63%, due 10/13/25 144A | 1,060,176 | ||||||||
375,000 | Enel Finance International SA, 6.00%, due 10/07/39 144A | 441,615 | ||||||||
1,000,000 | Enel Finance International SA, Guaranteed Note, 6.80%, due 09/15/37 144A | 1,286,339 | ||||||||
322,000 | Energy Transfer Partners, LP, 4.05%, due 03/15/25 | 283,903 | ||||||||
1,319,000 | Ensco Plc, 4.70%, due 03/15/21 | 922,139 | ||||||||
460,000 | Enterprise Products Operating LLC, 3.75%, due 02/15/25 | 460,020 | ||||||||
1,934,000 | ERAC USA Finance LLC, 2.80%, due 11/01/18¤ 144A | 1,964,925 | ||||||||
1,350,000 | ERP Operating, LP, 3.00%, due 04/15/23 | 1,371,650 | ||||||||
2,045,000 | Escrow GCB General Motors, 8.38%, due 07/15/49**** ¤ ††† | — | ||||||||
1,169,000 | Exelon Corp., 5.10%, due 06/15/45 144A | 1,273,485 | ||||||||
912,000 | Exelon Generation Co. LLC, 4.25%, due 06/15/22 | 957,512 | ||||||||
405,000 | Fidelity National Information Services, Inc., 2.85%, due 10/15/18 | 411,851 | ||||||||
540,000 | Fidelity National Information Services, Inc., 3.63%, due 10/15/20 | 558,675 | ||||||||
1,303,000 | Fifth Third Bancorp, 2.88%, due 07/27/20 | 1,324,421 | ||||||||
150,000 | FirstEnergy Corp., 2.75%, due 03/15/18 | 151,497 | ||||||||
245,000 | FirstEnergy Corp., Series C, 7.38%, due 11/15/31 | 298,303 | ||||||||
540,000 | Ford Motor Co., 4.75%, due 01/15/43 | 543,817 | ||||||||
600,000 | Ford Motor Credit Co. LLC, 5.75%, due 02/01/21 | 679,910 | ||||||||
1,875,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 2,151,508 | ||||||||
350,000 | Ford Motor Credit Co. LLC, 8.00%, due 12/15/16 | 365,501 | ||||||||
580,000 | Ford Motor Credit Co. LLC, 8.13%, due 01/15/20 | 689,348 | ||||||||
372,000 | GE Capital International Funding Co., 2.34%, due 11/15/20 144A | 381,341 | ||||||||
488,000 | GE Capital International Funding Co., 4.42%, due 11/15/35 144A | 531,223 | ||||||||
80,000 | General Electric Capital Corp., 4.38%, due 09/16/20 | 89,283 | ||||||||
136,000 | General Electric Capital Corp., 4.63%, due 01/07/21 | 153,878 | ||||||||
129,000 | General Electric Capital Corp., 4.65%, due 10/17/21 | 147,277 | ||||||||
138,000 | General Electric Capital Corp., 6.88%, due 01/10/39 | 200,226 | ||||||||
310,000 | General Electric Co., 4.50%, due 03/11/44 | 346,897 | ||||||||
450,000 | General Motors Co., 4.00%, due 04/01/25 | 439,656 | ||||||||
1,045,000 | General Motors Financial Co., Inc., 3.50%, due 07/10/19 | 1,072,381 | ||||||||
2,594,000 | General Motors Financial Co., Inc., 4.20%, due 03/01/21 | 2,682,196 | ||||||||
30,000 | Glencore Finance Canada, Ltd., 5.80%, due 11/15/16‡ 144A | 30,377 | ||||||||
944,000 | Glencore Funding LLC, 2.13%, due 04/16/18 144A | 881,889 | ||||||||
350,000 | GLP Capital, LP/GLP Financing II, Inc., 4.88%, due 11/01/20 | 365,750 | ||||||||
265,000 | Goldcorp, Inc., 3.63%, due 06/09/21 | 267,487 | ||||||||
85,000 | Goldman Sachs Group (The), Inc., 3.75%, due 02/25/26 | 87,350 | ||||||||
150,000 | Goldman Sachs Group (The), Inc., 4.00%, due 03/03/24 | 157,545 | ||||||||
290,000 | Goldman Sachs Group (The), Inc., 5.15%, due 05/22/45 | 295,723 | ||||||||
140,000 | Goldman Sachs Group (The), Inc., 5.25%, due 07/27/21 | 157,772 | ||||||||
565,000 | Goldman Sachs Group (The), Inc., 5.38%† ††††† | 547,287 | ||||||||
680,000 | Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18 | 729,537 | ||||||||
660,000 | Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41 | 823,445 | ||||||||
2,137,000 | Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19 | 2,463,140 | ||||||||
165,000 | HCA, Inc., 4.25%, due 10/15/19 | 170,259 | ||||||||
150,000 | HCA, Inc., 5.25%, due 04/15/25 | 154,875 | ||||||||
460,000 | HCA, Inc., 5.88%, due 03/15/22 | 499,100 | ||||||||
1,085,000 | HCP, Inc., 4.00%, due 06/01/25 | 1,044,648 | ||||||||
859,000 | HCP, Inc., 4.25%, due 11/15/23 | 863,727 |
See accompanying Notes to the Financial Statements. | 89 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
625,000 | Health Net, Inc., 6.38%, due 06/01/17 | 656,250 | ||||||||
945,000 | HP Enterprise Co., 2.45%, due 10/05/17 144A | 951,519 | ||||||||
175,000 | HP Enterprise Co., 2.85%, due 10/05/18 144A | 178,046 | ||||||||
2,175,000 | HP Enterprise Co., 3.60%, due 10/15/20 144A | 2,263,973 | ||||||||
1,110,000 | HP Enterprise Co., 4.40%, due 10/15/22 144A | 1,161,311 | ||||||||
740,000 | HSBC Finance Corp., 6.68%, due 01/15/21 | 849,672 | ||||||||
350,000 | HSBC Holdings Plc, 5.10%, due 04/05/21 | 385,253 | ||||||||
1,050,000 | HSBC Holdings Plc, 6.50%, due 05/02/36 | 1,229,062 | ||||||||
1,590,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 09/15/37 | 1,873,212 | ||||||||
1,260,000 | Husky Energy, Inc., 7.25%, due 12/15/19 | 1,393,822 | ||||||||
420,000 | Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A | 421,397 | ||||||||
525,000 | Imperial Tobacco Finance Plc, 3.75%, due 07/21/22 144A | 548,852 | ||||||||
2,075,000 | Imperial Tobacco Finance Plc, 4.25%, due 07/21/25 144A | 2,211,139 | ||||||||
1,253,000 | Intercontinental Exchange, Inc., 2.75%, due 12/01/20 | 1,280,781 | ||||||||
500,000 | Jefferies Group LLC, 5.13%, due 01/20/23 | 502,540 | ||||||||
220,000 | John Deere Capital Corp., 2.25%, due 04/17/19 | 224,691 | ||||||||
300,000 | JPMorgan Chase & Co., 3.25%, due 09/23/22 | 313,154 | ||||||||
1,430,000 | JPMorgan Chase & Co., 3.38%, due 05/01/23 | 1,438,165 | ||||||||
525,000 | JPMorgan Chase & Co., 3.88%, due 09/10/24 | 539,380 | ||||||||
90,000 | JPMorgan Chase & Co., 4.35%, due 08/15/21 | 98,415 | ||||||||
860,000 | JPMorgan Chase & Co., 4.40%, due 07/22/20 | 936,362 | ||||||||
200,000 | JPMorgan Chase & Co., 4.50%, due 01/24/22 | 220,881 | ||||||||
555,000 | JPMorgan Chase & Co., 5.30%† ††††† | 557,775 | ||||||||
1,250,000 | JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17 | 1,316,029 | ||||||||
822,000 | Juniper Networks, Inc., 3.13%, due 02/26/19 | 836,549 | ||||||||
950,000 | Kentucky Power Co., 6.00%, due 09/15/17 144A | 1,002,197 | ||||||||
2,500,000 | Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/24 | 2,357,305 | ||||||||
1,600,000 | Kinder Morgan Energy Partners, LP, 5.00%, due 08/15/42 | 1,338,627 | ||||||||
850,000 | Kinder Morgan Energy Partners, LP, 5.40%, due 09/01/44 | 746,743 | ||||||||
550,000 | Kinder Morgan Energy Partners, LP, (MTN), 6.95%, due 01/15/38 | 551,703 | ||||||||
1,850,000 | Kinder Morgan, Inc., 4.30%, due 06/01/25‡ | 1,762,967 | ||||||||
1,240,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43 144A | 1,269,795 | ||||||||
1,268,000 | KKR Group Finance Co. LLC, 6.38%, due 09/29/20 144A | 1,494,565 | ||||||||
450,000 | Koppers, Inc., 7.88%, due 12/01/19 | 450,563 | ||||||||
360,000 | Kraft Foods Group, Inc., 3.50%, due 06/06/22 | 378,938 | ||||||||
349,000 | Kraft Foods Group, Inc., 5.38%, due 02/10/20 | 389,910 | ||||||||
170,000 | Kraft Heinz Foods Co., 5.00%, due 07/15/35 144A | 188,074 | ||||||||
400,000 | Kroger Co. (The), Senior Note, 6.15%, due 01/15/20 | 461,967 | ||||||||
300,000 | L Brands, Inc., 5.63%, due 10/15/23 | 330,750 | ||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%††† ††††† | 165 | ||||||||
270,000 | Lehman Brothers Holdings, Inc., (MTN), Series I, 6.75%, due 12/28/17††† | 95 | ||||||||
890,000 | Lehman Brothers Holdings, Inc., Subordinated Note, 6.50%, due 07/19/17††† | 312 | ||||||||
1,150,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 1,187,075 | ||||||||
1,600,000 | Liberty Mutual Group, Inc., 4.95%, due 05/01/22 144A | 1,744,347 | ||||||||
1,380,000 | Lincoln National Corp., 4.00%, due 09/01/23 | 1,406,049 | ||||||||
1,250,000 | Lloyds Banking Group Plc, 4.50%, due 11/04/24‡ | 1,258,046 | ||||||||
200,000 | Lloyds Banking Group Plc, Subordinated Note, 4.65%, due 03/24/26 | 198,605 | ||||||||
1,010,000 | LyondellBasell Industries NV, 5.00%, due 04/15/19 | 1,079,737 | ||||||||
525,000 | Macy’s Retail Holdings, Inc., 6.38%, due 03/15/37 | 518,114 |
90 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,440,000 | Macy’s Retail Holdings, Inc., 6.65%, due 07/15/24 | 1,656,045 | ||||||||
350,000 | Macy’s Retail Holdings, Inc., 6.90%, due 01/15/32 | 373,143 | ||||||||
600,000 | Macy’s Retail Holdings, Inc., 7.00%, due 02/15/28 | 680,212 | ||||||||
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 | 232,207 | ||||||||
725,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14# | 788,603 | ||||||||
70,000 | Medtronic, Inc., 3.13%, due 03/15/22 | 73,944 | ||||||||
190,000 | Medtronic, Inc., 3.15%, due 03/15/22 | 201,681 | ||||||||
970,000 | Medtronic, Inc., 3.50%, due 03/15/25 | 1,036,518 | ||||||||
410,000 | Medtronic, Inc., 4.38%, due 03/15/35 | 444,749 | ||||||||
625,000 | Merck & Co., Inc., 4.15%, due 05/18/43 | 684,417 | ||||||||
840,000 | Merrill Lynch & Co., Inc., Subordinated Note, 5.70%, due 05/02/17 | 873,783 | ||||||||
1,152,000 | MetLife, Inc., 3.00%, due 03/01/25 | 1,134,627 | ||||||||
105,000 | MetLife, Inc., 4.75%, due 02/08/21 | 116,755 | ||||||||
165,630 | Miran Mid-Atlantic Series C Pass Through Trust, 10.06%, due 12/30/28¤ | 160,868 | ||||||||
80,000 | Monsanto Co., 4.40%, due 07/15/44 | 74,557 | ||||||||
70,000 | Morgan Stanley, 4.75%, due 03/22/17 | 72,314 | ||||||||
325,000 | Morgan Stanley, 5.45%† ††††† | 307,531 | ||||||||
1,547,000 | Morgan Stanley, 7.30%, due 05/13/19 | 1,781,728 | ||||||||
130,000 | Morgan Stanley, (MTN), Series F, 1.07%, due 10/18/16† | 129,928 | ||||||||
1,720,000 | Morgan Stanley, (MTN), 4.10%, due 05/22/23 | 1,776,473 | ||||||||
1,000,000 | Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18 | 1,093,049 | ||||||||
1,150,000 | Myriad International Holdings BV, 5.50%, due 07/21/25 144A | 1,161,378 | ||||||||
1,000,000 | Myriad International Holdings BV, 6.00%, due 07/18/20 144A | 1,087,914 | ||||||||
400,000 | Navient Corp., (MTN), 4.63%, due 09/25/17 | 405,500 | ||||||||
1,750,000 | Navient Corp., (MTN), 6.00%, due 01/25/17 | 1,776,250 | ||||||||
350,000 | Navient Corp., (MTN), 8.45%, due 06/15/18 | 376,250 | ||||||||
1,037,000 | New York and Presbyterian Hospital (The), 4.02%, due 08/01/45 | 1,038,033 | ||||||||
170,000 | Newell Rubbermaid, Inc., 4.20%, due 04/01/26 | 178,183 | ||||||||
780,000 | Noble Energy, Inc., 4.15%, due 12/15/21 | 779,640 | ||||||||
1,403,000 | Noble Energy, Inc., 8.25%, due 03/01/19 | 1,545,026 | ||||||||
510,000 | Nordea Bank AB, 1.88%, due 09/17/18 144A | 512,068 | ||||||||
510,000 | Norfolk Southern Corp., 4.65%, due 01/15/46 | 545,447 | ||||||||
220,000 | Northern States Power Co., 4.13%, due 05/15/44 | 235,558 | ||||||||
350,000 | NRG Energy, Inc., 6.25%, due 05/01/24‡ | 322,875 | ||||||||
325,000 | NXP BV/NXP Funding LLC, 5.75%, due 03/15/23 144A | 344,500 | ||||||||
320,000 | Oracle Corp., 4.30%, due 07/08/34 | 337,180 | ||||||||
460,000 | Pacific Gas & Electric Co., 6.05%, due 03/01/34 | 588,293 | ||||||||
730,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 06/15/19¤ 144A | 726,364 | ||||||||
1,175,000 | Petrobras Global Finance BV, 4.38%, due 05/20/23‡ | 860,335 | ||||||||
875,000 | Petrobras Global Finance BV, 5.38%, due 01/27/21 | 725,489 | ||||||||
300,000 | Petroleos Mexicanos, 4.25%, due 01/15/25‡ | 278,625 | ||||||||
300,000 | Petroleos Mexicanos, 4.50%, due 01/23/26 | 280,200 | ||||||||
600,000 | Petroleos Mexicanos, 4.88%, due 01/18/24 | 589,650 | ||||||||
1,150,000 | Petroleos Mexicanos, 5.63%, due 01/23/46 | 970,772 | ||||||||
1,650,000 | Petroleos Mexicanos, 6.38%, due 01/23/45 | 1,537,800 | ||||||||
550,000 | Petroleos Mexicanos, 6.88%, due 08/04/26 144A | 596,750 | ||||||||
1,190,000 | PNC Bank NA, 2.95%, due 01/30/23 | 1,199,933 | ||||||||
540,000 | PPL Capital Funding, Inc., 5.00%, due 03/15/44 | 581,033 | ||||||||
95,000 | Private Export Funding Corp., 1.88%, due 07/15/18 | 96,712 |
See accompanying Notes to the Financial Statements. | 91 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
675,000 | Provident Cos., Inc., 7.25%, due 03/15/28 | 809,005 | ||||||||
1,000,000 | Prudential Financial, Inc., 7.38%, due 06/15/19 | 1,161,315 | ||||||||
1,689,000 | PSEG Power LLC, 8.63%, due 04/15/31 | 2,024,104 | ||||||||
170,000 | QEP Resources, Inc., 6.88%, due 03/01/21 | 156,825 | ||||||||
1,328,000 | RELX Capital, Inc., 3.13%, due 10/15/22 | 1,325,267 | ||||||||
2,950,000 | Rio Oil Finance Trust, 9.25%, due 07/06/24‡ 144A | 1,858,500 | ||||||||
3,300,000 | Rio Oil Finance Trust, 9.75%, due 01/06/27‡ 144A | 1,980,000 | ||||||||
920,000 | Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19 | 1,089,422 | ||||||||
1,500,000 | Rogers Communications, Inc., 6.80%, due 08/15/18 | 1,671,030 | ||||||||
1,075,000 | Royal Bank of Scotland Group Plc, 6.00%, due 12/19/23 | 1,090,427 | ||||||||
1,700,000 | Royal Bank of Scotland Group Plc, 6.13%, due 12/15/22 | 1,808,263 | ||||||||
320,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25‡ | 342,400 | ||||||||
1,795,000 | Schlumberger Holdings Corp., 3.00%, due 12/21/20 144A | 1,821,008 | ||||||||
1,220,000 | Sempra Energy, 2.40%, due 03/15/20 | 1,225,480 | ||||||||
2,419,000 | Siemens Financieringsmaatschappij NV, 2.90%, due 05/27/22 144A | 2,519,901 | ||||||||
850,000 | Simon Property Group, LP REIT, 6.75%, due 02/01/40 | 1,144,698 | ||||||||
500,000 | Sinopec Group Overseas Development 2015, Ltd., 2.50%, due 04/28/20 144A | 502,566 | ||||||||
630,000 | Southern Copper Corp., 5.25%, due 11/08/42 | 520,818 | ||||||||
1,615,000 | Sprint Nextel Corp., 6.00%, due 12/01/16 | 1,612,981 | ||||||||
1,195,000 | St. Jude Medical, Inc., 2.00%, due 09/15/18 | 1,208,802 | ||||||||
245,000 | State Grid Overseas Investment 2014, Ltd., 2.75%, due 05/07/19 144A | 251,661 | ||||||||
850,000 | State Street Corp., 4.96%, due 03/15/18 | 893,804 | ||||||||
395,000 | State Street Corp., 5.25%† ††††† | 401,952 | ||||||||
922,000 | Sunoco Logistics Partners Operations, LP, 3.45%, due 01/15/23 | 824,445 | ||||||||
270,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, | 265,950 | ||||||||
380,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 490,106 | ||||||||
1,500,000 | Teck Resources, Ltd., 5.20%, due 03/01/42 | 832,500 | ||||||||
300,000 | Telecom Italia Capital SA, 7.00%, due 06/04/18 | 327,750 | ||||||||
1,900,000 | Telecom Italia Capital SA, 7.18%, due 06/18/19 | 2,142,250 | ||||||||
825,000 | Telecom Italia Capital SA, 7.72%, due 06/04/38 | 868,816 | ||||||||
725,000 | Telecom Italia Spa, 5.30%, due 05/30/24 144A | 745,844 | ||||||||
1,568,000 | Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22 | 1,635,954 | ||||||||
260,000 | Telefonos de Mexico SAB de CV, 5.50%, due 11/15/19 | 290,983 | ||||||||
90,000 | Tenet Healthcare Corp., 4.50%, due 04/01/21 | 90,900 | ||||||||
350,000 | Tenet Healthcare Corp., 6.00%, due 10/01/20 | 374,500 | ||||||||
220,000 | Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21 | 227,904 | ||||||||
300,000 | Time Warner Cable, Inc., 4.00%, due 09/01/21 | 314,290 | ||||||||
520,000 | Time Warner Cable, Inc., 4.13%, due 02/15/21 | 550,003 | ||||||||
740,000 | Time Warner Cable, Inc., 5.85%, due 05/01/17 | 771,603 | ||||||||
700,000 | Time Warner Cable, Inc., 7.30%, due 07/01/38 | 823,525 | ||||||||
2,055,000 | Time Warner Cable, Inc., 8.25%, due 04/01/19 | 2,393,993 | ||||||||
200,000 | Time Warner Cable, Inc., 8.75%, due 02/14/19 | 234,329 | ||||||||
702,000 | Time Warner Cos., Inc., 7.57%, due 02/01/24 | 884,536 | ||||||||
260,000 | Time Warner, Inc., 4.70%, due 01/15/21 | 286,510 | ||||||||
200,000 | Time Warner, Inc., 4.75%, due 03/29/21 | 220,805 | ||||||||
2,965,000 | Time Warner, Inc., 7.70%, due 05/01/32 | 3,816,183 | ||||||||
1,250,000 | Transcanada Trust, 5.63%, due 05/20/75† | 1,103,937 | ||||||||
130,000 | Transocean, Inc., 5.80%, due 12/15/16 | 130,098 |
92 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
500,000 | UBS AG/Stamford CT, 1.80%, due 03/26/18 | 501,835 | ||||||||
3,493,006 | United Airlines 2014-1 Class A Pass Through Trust, 4.00%, due 10/11/27 | 3,610,895 | ||||||||
665,000 | UnitedHealth Group, Inc., 4.38%, due 03/15/42 | 716,709 | ||||||||
2,000,000 | Ventas Realty, LP/Ventas Capital Corp. REIT, 2.70%, due 04/01/20 | 2,015,452 | ||||||||
433,000 | Verizon Communications, Inc., 4.27%, due 01/15/36 | 432,261 | ||||||||
1,821,000 | Verizon Communications, Inc., 4.52%, due 09/15/48 | 1,831,850 | ||||||||
2,719,000 | Verizon Communications, Inc., 4.86%, due 08/21/46 | 2,878,872 | ||||||||
935,000 | Verizon Communications, Inc., 5.01%, due 08/21/54 | 942,019 | ||||||||
110,000 | Verizon Communications, Inc., 5.05%, due 03/15/34 | 119,580 | ||||||||
35,000 | Verizon Communications, Inc., 5.15%, due 09/15/23 | 40,461 | ||||||||
50,000 | Verizon Communications, Inc., 6.35%, due 04/01/19 | 56,689 | ||||||||
3,175,000 | Verizon Communications, Inc., 6.55%, due 09/15/43 | 4,197,413 | ||||||||
1,152,000 | Viacom, Inc., 4.85%, due 12/15/34 | 1,025,492 | ||||||||
824,000 | Virginia Electric & Power Co., 3.15%, due 01/15/26 | 854,016 | ||||||||
1,400,000 | Vulcan Materials Co., 7.50%, due 06/15/21 | 1,666,000 | ||||||||
1,855,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc, 2.70%, due 09/17/19 144A | 1,869,104 | ||||||||
190,000 | Wells Fargo & Co., 1.50%, due 01/16/18 | 191,166 | ||||||||
250,000 | Wells Fargo & Co., 3.45%, due 02/13/23 | 256,614 | ||||||||
1,050,000 | Wells Fargo & Co., 4.30%, due 07/22/27 | 1,115,599 | ||||||||
1,308,000 | Wells Fargo & Co., 4.48%, due 01/16/24 | 1,422,399 | ||||||||
90,000 | Wells Fargo & Co., 4.60%, due 04/01/21 | 99,924 | ||||||||
1,100,000 | Welltower, Inc., 4.50%, due 01/15/24 | 1,143,715 | ||||||||
170,000 | WestRock RKT Co., 3.50%, due 03/01/20 | 172,522 | ||||||||
1,000,000 | Weyerhaeuser Co., 7.38%, due 10/01/19 | 1,148,565 | ||||||||
290,000 | Williams Partners, LP/Williams Partners Finance Corp., 7.25%, due 02/01/17 | 297,261 | ||||||||
80,000 | WM Wrigley Jr Co., 2.40%, due 10/21/18 144A | 80,847 | ||||||||
320,000 | WM Wrigley Jr Co., 2.90%, due 10/21/19 144A | 328,941 | ||||||||
90,000 | WM Wrigley Jr Co., 3.38%, due 10/21/20 144A | 93,820 | ||||||||
500,000 | Xerox Corp., 2.75%, due 03/15/19‡ | 492,822 | ||||||||
500,000 | Xerox Corp., 4.50%, due 05/15/21 | 508,411 | ||||||||
600,000 | Xerox Corp., 5.63%, due 12/15/19 | 620,636 | ||||||||
1,070,000 | Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/25 | 1,083,144 | ||||||||
425,000 | Zoetis, Inc., 3.45%, due 11/13/20 | 437,074 | ||||||||
750,000 | Zoetis, Inc., 4.50%, due 11/13/25 | 803,563 | ||||||||
|
| |||||||||
312,760,443 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 11.1% | ||||||||||
1,488,053 | Banc of America Commercial Mortgage Trust, Series 2007-1, Class A4, 5.45%, due 01/15/49 | 1,520,841 | ||||||||
484,582 | Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 1.13%, due 01/25/35† | 475,330 | ||||||||
245,786 | Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A4, 5.80%, due 09/11/38† | 245,631 | ||||||||
2,223,000 | Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.70%, due 12/10/49† | 2,292,305 | ||||||||
1,600,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3, 3.36%, due 07/10/47 | 1,677,718 | ||||||||
1,500,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4, 2.88%, due 02/10/48 | 1,505,884 | ||||||||
1,200,000 | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4, 3.46%, due 09/15/48 | 1,263,199 |
See accompanying Notes to the Financial Statements. | 93 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,000,000 | Citigroup Commercial Mortgage Trust, Inc., Series 2013-GC17, Class A2, 2.96%, due 11/10/46 | 1,029,468 | ||||||||
27,500,000 | Citigroup Commercial Mortgage Trust, Inc., (IO), Series 2014-GC21, Class XB, 0.33%, due 05/10/47† | 874,495 | ||||||||
2,309,725 | Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.81%, due 12/10/49† | 2,399,410 | ||||||||
300,000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A2, 2.37%, due 06/10/46 | 303,846 | ||||||||
100,000 | Commercial Mortgage Pass Through Certificates, Series 2013-LC6, Class A3, 2.67%, due 01/10/46 | 101,914 | ||||||||
1,000,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR18, Class A4, 3.55%, due 07/15/47 | 1,059,629 | ||||||||
1,600,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR20, Class A3, 3.33%, due 11/10/47 | 1,679,389 | ||||||||
2,150,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47 | 2,207,170 | ||||||||
1,200,000 | Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 1,270,284 | ||||||||
53,000,000 | Commercial Mortgage Pass Through Certificates, (IO), Series 2014-CR17, Class XB, 0.21%, due 05/10/47† 144A | 864,520 | ||||||||
1,429,303 | Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A3, 5.31%, due 12/15/39 | 1,438,611 | ||||||||
1,504,390 | Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class A3, 5.38%, due 02/15/40 | 1,526,081 | ||||||||
1,350,870 | Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.70%, due 06/15/39† | 1,381,926 | ||||||||
1,500,000 | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3, 3.54%, due 11/15/48 | 1,580,078 | ||||||||
1,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K033, Class A2, 3.06%, due 07/25/23† | 1,067,928 | ||||||||
2,100,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K044, Class A2, 2.81%, due 01/25/25 | 2,189,835 | ||||||||
600,000 | FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class A4, 3.16%, due 05/25/25 | 638,290 | ||||||||
28,052,784 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 0.89%, due 10/25/22† | 1,300,656 | ||||||||
1,604,238 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1, 1.34%, due 10/25/27† | 1,599,719 | ||||||||
791,505 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA2, Class M1, 1.59%, due 12/25/27† | 791,620 | ||||||||
287,455 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1, 1.79%, due 04/25/28† | 287,981 | ||||||||
475,320 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA1, Class M1, 1.68%, due 03/25/28† | 475,854 | ||||||||
798,799 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 1.89%, due 07/25/28† | 798,428 | ||||||||
877,177 | FNMA Connecticut Avenue Securities, Series 2014-C04, Class 1M1, 2.38%, due 11/25/24† | 881,613 | ||||||||
189,349 | FNMA Connecticut Avenue Securities, Series 2015-C01, Class 1M1, 1.93%, due 02/25/25† | 189,579 |
94 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
987,721 | FNMA Connecticut Avenue Securities, Series 2015-C02, Class 1M1, 1.58%, due 05/25/25† | 987,066 | ||||||||
320,000 | FNMA Connecticut Avenue Securities, Series 2016-C02, Class 1M1, 2.59%, due 09/25/28† | 320,000 | ||||||||
1,200,000 | FNMA-ACES, Series 2014-M4, Class A2, 3.35%, due 03/25/24† | 1,288,290 | ||||||||
900,000 | FNMA-ACES, Series 2014-M4, Class AB2, 3.21%, due 03/25/24 | 968,353 | ||||||||
1,700,000 | FNMA-ACES, Series 2015-M10, Class A2, 3.09%, due 04/25/27† | 1,804,232 | ||||||||
1,300,000 | FNMA-ACES, Series 2015-M8, Class AB2, 2.83%, due 01/25/25 | 1,359,436 | ||||||||
275,761 | Fremont Home Loan Trust, Series 2004-B, Class M1, 1.30%, due 05/25/34† | 255,800 | ||||||||
3,908,457 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, due 12/10/49 | 4,064,603 | ||||||||
4,411,181 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, due 03/10/39 | 4,502,573 | ||||||||
1,800,000 | GS Mortgage Securities Corp. II, Series 2013-GC12, Class A3, 2.86%, due 06/10/46 | 1,846,399 | ||||||||
900,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 920,881 | ||||||||
267,564 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47 | 271,674 | ||||||||
3,473,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.74%, due 06/15/49† | 3,554,451 | ||||||||
1,725,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 1,818,912 | ||||||||
1,331,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A4, 4.72%, due 02/15/46 144A | 1,477,054 | ||||||||
500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class A3, 3.53%, due 01/15/46 | 522,026 | ||||||||
1,500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,526,591 | ||||||||
1,680,006 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A1A, 5.39%, due 02/15/40 | 1,715,877 | ||||||||
329,486 | LSTAR Securities Investment Trust, Series 2015-10, Class A1, 2.43%, | 321,249 | ||||||||
902,469 | LSTAR Securities Investment Trust, Series 2015-3, Class A, 2.44%, due 03/01/20† 144A | 890,737 | ||||||||
326,623 | LSTAR Securities Investment Trust, Series 2015-4, Class A1, 2.43%, | 316,824 | ||||||||
384,589 | LSTAR Securities Investment Trust, Series 2015-5, Class A1, 2.44%, | 379,551 | ||||||||
1,187,473 | LSTAR Securities Investment Trust, Series 2015-6, Class A, 2.44%, | 1,160,755 | ||||||||
461,114 | LSTAR Securities Investment Trust, Series 2015-8, Class A1, 3.44%, | 453,436 | ||||||||
562,517 | LSTAR Securities Investment Trust, Series 2015-9, Class A1, 2.44%, | 552,940 | ||||||||
287,971 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49 | 298,669 | ||||||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 102,728 | ||||||||
3,448,212 | Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.69%, due 04/15/49† | 3,531,973 | ||||||||
298,000 | Morgan Stanley Capital I, Inc., Series 2007-HQ11, Class A4, 5.45%, due 02/12/44† | 302,957 | ||||||||
986,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.79%, | 1,008,190 |
See accompanying Notes to the Financial Statements. | 95 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,264,000 | Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.79%, | 1,305,751 | ||||||||
178,427 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.78%, due 05/25/35† | 182,097 | ||||||||
2,943,023 | Small Business Administration Participation Certificates, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 3,128,140 | ||||||||
2,042,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A5, 5.50%, due 04/15/47 | 2,097,370 | ||||||||
3,158,820 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, due 05/15/46 | 3,252,165 | ||||||||
37,582 | WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.52%, due 09/25/33† | 37,994 | ||||||||
1,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3, 3.35%, due 09/15/57 | 1,563,048 | ||||||||
|
| |||||||||
87,010,024 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 26.6% |
| |||||||||
745,654 | FHLMC, Pool # 1Q0481, 2.27%, due 02/01/38† | 780,207 | ||||||||
4,962,224 | FHLMC, Pool # 1Q1587, 2.55%, due 06/01/37† | 5,238,954 | ||||||||
3,288,752 | FHLMC, Pool # 849820, 3.00%, due 10/01/45† | 3,406,607 | ||||||||
864,933 | FHLMC, Pool # J26100, 3.00%, due 10/01/28 | 907,822 | ||||||||
794,173 | FHLMC, Pool # V60565, 3.00%, due 06/01/29 | 833,544 | ||||||||
1,615,687 | FHLMC, Pool # V60603, 3.00%, due 09/01/29 | 1,694,579 | ||||||||
1,714,369 | FHLMC, Pool # V60599, 3.00%, due 09/01/29 | 1,799,159 | ||||||||
2,388,752 | FHLMC, Pool # G08635, 3.00%, due 04/01/45 | 2,448,586 | ||||||||
1,649,275 | FHLMC, Pool # 849372, 3.10%, due 06/01/44† | 1,716,916 | ||||||||
1,640,039 | FHLMC, Pool # 2B1967, 3.12%, due 12/01/43† | 1,708,123 | ||||||||
378,983 | FHLMC, Pool # J16432, 3.50%, due 08/01/26 | 403,393 | ||||||||
370,886 | FHLMC, Pool # J17763, 3.50%, due 01/01/27 | 394,773 | ||||||||
431,856 | FHLMC, Pool # Q11218, 3.50%, due 09/01/42 | 452,973 | ||||||||
823,247 | FHLMC, Pool # Q12052, 3.50%, due 10/01/42 | 862,995 | ||||||||
1,488,269 | FHLMC, Pool # Q12862, 3.50%, due 11/01/42 | 1,567,813 | ||||||||
709,121 | FHLMC, Pool # Q17792, 3.50%, due 05/01/43 | 747,026 | ||||||||
1,470,576 | FHLMC, Pool # 849096, 3.60%, due 10/01/41† | 1,543,264 | ||||||||
805,954 | FHLMC, Pool # G14919, 4.00%, due 06/01/26 | 858,716 | ||||||||
83,834 | FHLMC, Pool # G14350, 4.00%, due 12/01/26 | 89,567 | ||||||||
614,343 | FHLMC, Pool # G14678, 4.00%, due 12/01/26 | 656,437 | ||||||||
2,485,600 | FHLMC, Pool # C91402, 4.00%, due 10/01/31 | 2,682,202 | ||||||||
622,173 | FHLMC, Pool # G30700, 4.00%, due 04/01/34 | 671,393 | ||||||||
2,112,148 | FHLMC, Pool # C91850, 4.00%, due 09/01/35 | 2,278,097 | ||||||||
1,415,203 | FHLMC, Pool # A93231, 4.00%, due 08/01/40 | 1,514,979 | ||||||||
1,088,832 | FHLMC, Pool # G06231, 4.00%, due 12/01/40 | 1,165,611 | ||||||||
751,665 | FHLMC, Pool # A96970, 4.00%, due 02/01/41 | 804,673 | ||||||||
2,447,302 | FHLMC, Pool # Q04020, 4.00%, due 10/01/41 | 2,619,494 | ||||||||
1,227,123 | FHLMC, Pool # A89870, 4.50%, due 11/01/39 | 1,336,061 | ||||||||
1,370,046 | FHLMC, Pool # Q02552, 4.50%, due 08/01/41 | 1,493,722 | ||||||||
208,369 | FHLMC, Pool # G07515, 4.50%, due 09/01/41 | 227,005 | ||||||||
869,067 | FHLMC, Pool # G08568, 4.50%, due 01/01/44 | 945,151 | ||||||||
1,172,752 | FHLMC, Pool # G07021, 5.00%, due 09/01/39 | 1,288,115 |
96 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,869,677 | FHLMC, Pool # G06576, 5.00%, due 09/01/40 | 2,086,049 | ||||||||
332,564 | FHLMC, Pool # G01749, 5.50%, due 01/01/35 | 375,194 | ||||||||
319,156 | FHLMC, Pool # G06875, 5.50%, due 12/01/38 | 359,464 | ||||||||
720,145 | FHLMC, Pool # 782735, 5.61%, due 09/01/36† | 763,103 | ||||||||
12,834 | FHLMC, Pool # H09061, 6.00%, due 06/01/37 | 14,310 | ||||||||
593,377 | FHLMC, Pool # G06409, 6.00%, due 11/01/39 | 675,743 | ||||||||
5,080,561 | FHLMC, Series 3427, Class Z, 5.00%, due 03/15/38 | 5,655,594 | ||||||||
5,750,160 | FHLMC, Series 4283, Class EW, 4.50%, due 12/15/43† | 6,215,369 | ||||||||
35,778,056 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.01%, due 01/25/20† | 1,129,356 | ||||||||
26,590,923 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.16%, due 04/25/20† | 900,167 | ||||||||
190,505 | FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36 | 216,814 | ||||||||
500,000 | FHLMC TBA, 2.50%, due 10/01/27 | 513,312 | ||||||||
1,250,000 | FHLMC TBA, 3.50%, due 07/01/43 | 1,306,203 | ||||||||
840,958 | FNMA, Pool # AO7971, 2.50%, due 06/01/27 | 867,624 | ||||||||
57,997 | FNMA, Pool # 840589, 2.65%, due 09/01/35† | 61,528 | ||||||||
963,031 | FNMA, Pool # AX2197, 2.70%, due 12/01/44† | 994,792 | ||||||||
613,534 | FNMA, Pool # AT7040, 2.89%, due 09/01/44† | 637,854 | ||||||||
1,683,777 | FNMA, Pool # AB7505, 3.00%, due 01/01/43 | 1,731,595 | ||||||||
1,266,255 | FNMA, Pool # AT0232, 3.00%, due 03/01/43 | 1,302,179 | ||||||||
1,739,277 | FNMA, Pool # AU1292, 3.00%, due 07/01/43 | 1,788,441 | ||||||||
93,805 | FNMA, Pool # AX6719, 3.00%, due 12/01/44 | 96,324 | ||||||||
480,883 | FNMA, Pool # AY4883, 3.00%, due 03/01/45 | 493,795 | ||||||||
193,735 | FNMA, Pool # AY7121, 3.00%, due 04/01/45 | 198,937 | ||||||||
984,216 | FNMA, Pool # AZ0611, 3.00%, due 04/01/45 | 1,010,643 | ||||||||
2,316,411 | FNMA, Pool # AL5088, 3.20%, due 04/01/44† | 2,425,135 | ||||||||
814,991 | FNMA, Pool # AX3719, 3.50%, due 07/01/27 | 863,781 | ||||||||
1,472,263 | FNMA, Pool # MA2164, 3.50%, due 02/01/35 | 1,556,225 | ||||||||
1,590,915 | FNMA, Pool # AJ9278, 3.50%, due 12/01/41 | 1,672,211 | ||||||||
2,376,656 | FNMA, Pool # AL1895, 3.50%, due 06/01/42 | 2,507,868 | ||||||||
2,909,720 | FNMA, Pool # AB6022, 3.50%, due 08/01/42 | 3,058,708 | ||||||||
1,348,638 | FNMA, Pool # AP2422, 3.50%, due 08/01/42 | 1,417,698 | ||||||||
1,652,957 | FNMA, Pool # AL3316, 3.50%, due 03/01/43 | 1,740,727 | ||||||||
2,178,096 | FNMA, Pool # AX2532, 3.50%, due 11/01/44 | 2,296,745 | ||||||||
1,574,105 | FNMA, Pool # AY5617, 3.50%, due 06/01/45 | 1,653,681 | ||||||||
1,000,000 | FNMA, Pool # AZ5582, 3.50%, due 08/01/45†††† | 1,049,278 | ||||||||
490,489 | FNMA, Pool # AZ3743, 3.50%, due 11/01/45 | 514,660 | ||||||||
648,362 | FNMA, Pool # AL2733, 3.86%, due 07/01/41† | 685,912 | ||||||||
1,108,416 | FNMA, Pool # AL7359, 4.00%, due 05/01/29 | 1,184,667 | ||||||||
1,906,877 | FNMA, Pool # MA1689, 4.00%, due 12/01/33 | 2,057,516 | ||||||||
2,122,206 | FNMA, Pool # 725331, 4.00%, due 01/01/34 | 2,274,892 | ||||||||
992,575 | FNMA, Pool # AL6300, 4.00%, due 05/01/34 | 1,071,040 | ||||||||
375,628 | FNMA, Pool # AS2666, 4.00%, due 06/01/34 | 405,028 | ||||||||
806,178 | FNMA, Pool # MA2019, 4.00%, due 09/01/34 | 869,766 | ||||||||
2,494,652 | FNMA, Pool # AL6663, 4.00%, due 03/01/39†††† | 2,670,270 | ||||||||
1,032,002 | FNMA, Pool # 932807, 4.00%, due 09/01/40 | 1,105,930 | ||||||||
558,022 | FNMA, Pool # AE7685, 4.00%, due 10/01/40 | 598,192 | ||||||||
2,315,790 | FNMA, Pool # AH4404, 4.00%, due 01/01/41 | 2,482,380 |
See accompanying Notes to the Financial Statements. | 97 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
945,763 | FNMA, Pool # AJ9317, 4.00%, due 01/01/42 | 1,019,346 | ||||||||
350,634 | FNMA, Pool # AO4109, 4.00%, due 06/01/42 | 375,737 | ||||||||
441,233 | FNMA, Pool # AB9383, 4.00%, due 05/01/43 | 477,871 | ||||||||
987,391 | FNMA, Pool # AL4147, 4.50%, due 01/01/25 | 1,066,097 | ||||||||
227,993 | FNMA, Pool # MA0634, 4.50%, due 01/01/31 | 249,557 | ||||||||
772,487 | FNMA, Pool # AL5861, 4.50%, due 01/01/31 | 844,834 | ||||||||
940,134 | FNMA, Pool # AL4549, 4.50%, due 01/01/32 | 1,028,461 | ||||||||
2,105,934 | FNMA, Pool # 310098, 4.50%, due 06/01/36 | 2,301,130 | ||||||||
1,255,266 | FNMA, Pool # 995243, 4.50%, due 08/01/38 | 1,368,507 | ||||||||
1,193,786 | FNMA, Pool # AD9153, 4.50%, due 08/01/40 | 1,302,845 | ||||||||
1,590,387 | FNMA, Pool # AL0215, 4.50%, due 04/01/41* | 1,736,895 | ||||||||
2,159,325 | FNMA, Pool # AL6301, 4.50%, due 06/01/42 | 2,356,448 | ||||||||
1,458,574 | FNMA, Pool # AL5749, 4.50%, due 07/01/42 | 1,591,973 | ||||||||
4,766,461 | FNMA, Pool # AS3881, 4.50%, due 11/01/44 | 5,186,741 | ||||||||
1,872,612 | FNMA, Pool # AL2439, 5.00%, due 06/01/26 | 2,010,380 | ||||||||
3,058,901 | FNMA, Pool # 254903, 5.00%, due 10/01/33 | 3,401,258 | ||||||||
1,233,250 | FNMA, Pool # 725027, 5.00%, due 11/01/33 | 1,371,345 | ||||||||
1,091,321 | FNMA, Pool # 889834, 5.00%, due 12/01/35 | 1,230,165 | ||||||||
1,038,138 | FNMA, Pool # 745148, 5.00%, due 01/01/36 | 1,151,545 | ||||||||
819,420 | FNMA, Pool # 995245, 5.00%, due 01/01/39 | 906,139 | ||||||||
1,112,097 | FNMA, Pool # AI1971, 5.00%, due 05/01/41 | 1,235,209 | ||||||||
357,393 | FNMA, Pool # AI1892, 5.00%, due 05/01/41 | 401,375 | ||||||||
895,309 | FNMA, Pool # AL5955, 5.00%, due 01/01/42 | 993,210 | ||||||||
3,628,522 | FNMA, Pool # AL7404, 5.00%, due 03/01/42 | 4,074,048 | ||||||||
1,147,282 | FNMA, Pool # AL6839, 5.00%, due 04/01/42 | 1,278,089 | ||||||||
736,647 | FNMA, Pool # AL5788, 5.00%, due 05/01/42 | 818,608 | ||||||||
215,147 | FNMA, Pool # AE0011, 5.50%, due 09/01/23 | 231,596 | ||||||||
813,172 | FNMA, Pool # 995253, 5.50%, due 12/01/23 | 880,117 | ||||||||
1,129,009 | FNMA, Pool # AL0278, 5.50%, due 01/01/25 | 1,238,433 | ||||||||
7,757 | FNMA, Pool # 254548, 5.50%, due 12/01/32 | 8,783 | ||||||||
702,774 | FNMA, Pool # 704235, 5.50%, due 05/01/33 | 791,901 | ||||||||
87,958 | FNMA, Pool # 555591, 5.50%, due 07/01/33 | 99,593 | ||||||||
1,094,827 | FNMA, Pool # 725221, 5.50%, due 01/01/34 | 1,239,789 | ||||||||
51,723 | FNMA, Pool # 735224, 5.50%, due 02/01/35 | 58,589 | ||||||||
97,572 | FNMA, Pool # 990906, 5.50%, due 10/01/35 | 110,430 | ||||||||
536,881 | FNMA, Pool # 849077, 5.50%, due 01/01/36 | 605,779 | ||||||||
1,057,821 | FNMA, Pool # 983471, 5.50%, due 05/01/38 | 1,186,311 | ||||||||
1,099,245 | FNMA, Pool # 985184, 5.50%, due 08/01/38 | 1,232,593 | ||||||||
623,302 | FNMA, Pool # AX1916, 5.50%, due 12/01/41 | 720,089 | ||||||||
615,467 | FNMA, Pool # AL0144, 5.58%, due 11/01/37† | 653,989 | ||||||||
1,757,791 | FNMA, Pool # 725162, 6.00%, due 02/01/34 | 2,037,504 | ||||||||
1,195,711 | FNMA, Pool # AD0218, 6.00%, due 09/01/36 | 1,383,345 | ||||||||
620,993 | FNMA, Pool # AE0469, 6.00%, due 12/01/39 | 709,022 | ||||||||
387,080 | FNMA, Pool # AL0778, 6.50%, due 01/01/49 | 431,420 | ||||||||
1,045,026 | FNMA, Pool # 888369, 7.00%, due 03/01/37 | 1,241,014 | ||||||||
1,336,378 | FNMA, Series 2007-50, Class DZ, 5.50%, due 06/25/37 | 1,505,448 | ||||||||
945,145 | FNMA, Series 2007-63, Class VZ, 5.50%, due 07/25/37 | 1,013,894 | ||||||||
2,496,750 | FNMA, Series 2007-70, Class Z, 5.50%, due 07/25/37 | 2,814,966 | ||||||||
1,297,777 | FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 1,530,165 |
98 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
97,681 | FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39 | 109,144 | ||||||||
66,527 | FNMA Grantor Trust, Series 2004-T1, Class 1A2, 6.50%, due 01/25/44 | 76,101 | ||||||||
676,497 | FNMA REMIC Trust, Series 2007-W10, Class 2A, 6.34%, due 08/25/47† | 770,815 | ||||||||
2,500,000 | FNMA TBA, 2.50%, due 07/01/43 | 2,566,602 | ||||||||
500,000 | FNMA TBA, 3.00%, due 01/01/43 | 512,930 | ||||||||
2,000,000 | FNMA TBA, 3.50%, due 09/01/43 | 2,097,109 | ||||||||
2,000,000 | FNMA TBA, 3.50%, due 09/01/43 | 2,093,594 | ||||||||
500,000 | FNMA TBA, 4.00%, due 10/01/42 | 534,258 | ||||||||
1,980,747 | FNMA Trust, Series 2004-W1, Class 2A2, 7.00%, due 12/25/33 | 2,359,200 | ||||||||
96,194 | FNMA Trust, Series 2004-W9, Class 2A1, 6.50%, due 02/25/44 | 111,850 | ||||||||
1,453,678 | GNMA, Pool # MA3033, 3.00%, due 08/20/45 | 1,508,271 | ||||||||
1,459,640 | GNMA, Pool # MA3104, 3.00%, due 09/20/45 | 1,514,456 | ||||||||
2,367,177 | GNMA, Pool # MA2754, 3.50%, due 04/20/45 | 2,505,672 | ||||||||
845,292 | GNMA, Pool # 004833, 4.00%, due 10/20/40 | 911,361 | ||||||||
710,802 | GNMA, Pool # 004977, 4.00%, due 03/20/41 | 766,332 | ||||||||
2,556,800 | GNMA, Pool # MA3311, 4.00%, due 12/20/45 | 2,739,555 | ||||||||
746,031 | GNMA, Pool # 004636, 4.50%, due 02/20/40 | 812,336 | ||||||||
140,361 | GNMA, Pool # 004678, 4.50%, due 04/20/40 | 152,836 | ||||||||
1,947,560 | GNMA, Pool # 004978, 4.50%, due 03/20/41 | 2,120,756 | ||||||||
3,105,550 | GNMA, Pool # 005055, 4.50%, due 05/20/41 | 3,381,604 | ||||||||
407,400 | GNMA, Pool # 005334, 5.00%, due 03/20/42 | 454,389 | ||||||||
6,500,000 | GNMA TBA, 3.50%, due 02/01/44 | 6,870,195 | ||||||||
1,000,000 | GNMA TBA, 4.00%, due 08/01/43 | 1,069,023 | ||||||||
500,000 | GNMA TBA, 4.00%, due 08/01/43 | 533,652 | ||||||||
|
| |||||||||
208,769,281 | ||||||||||
|
| |||||||||
Municipal Obligations — 2.7% | ||||||||||
300,000 | California Bay Area Toll Authority, 6.26%, due 04/01/49 | 423,519 | ||||||||
1,030,000 | City of Houston General Obligation, 6.29%, due 03/01/32 | 1,281,279 | ||||||||
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14# | 95,576 | ||||||||
490,000 | District of Columbia Water & Sewer Authority, 5.52%, due 10/01/44 | 610,883 | ||||||||
900,000 | Energy Northwest, 2.80%, due 07/01/21 | 938,502 | ||||||||
700,000 | Illinois Taxable Pension, 5.10%, due 06/01/33 | 655,305 | ||||||||
1,360,000 | Los Angeles Unified School District, 5.75%, due 07/01/34 | 1,704,991 | ||||||||
910,000 | Los Angeles Unified School District, 6.76%, due 07/01/34 | 1,259,704 | ||||||||
1,150,000 | New Jersey Economic Development Authority, 3.04%, due 02/15/19‡‡ | 1,056,413 | ||||||||
2,049,000 | New Jersey Economic Development Authority, 3.44%, due 02/15/20‡‡ | 1,804,513 | ||||||||
925,000 | New Jersey Turnpike Authority, 7.10%, due 01/01/41 | 1,332,259 | ||||||||
1,350,000 | State Board of Administration Finance Corp., 2.64%, due 07/01/21 | 1,379,417 | ||||||||
2,450,000 | State of California General Obligation, 7.30%, due 10/01/39 | 3,594,493 | ||||||||
170,000 | State of California General Obligation, 7.50%, due 04/01/34 | 248,676 | ||||||||
1,000,000 | State of California General Obligation, 7.55%, due 04/01/39 | 1,532,040 | ||||||||
1,050,000 | State of Illinois General Obligation, 5.37%, due 03/01/17 | 1,082,613 | ||||||||
2,325,000 | State of Illinois General Obligation, 5.67%, due 03/01/18 | 2,454,619 | ||||||||
|
| |||||||||
21,454,802 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 0.8% | ||||||||||
350,000 | Colombia Government International Bond, 4.38%, due 07/12/21 | 365,750 | ||||||||
230,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 230,000 |
See accompanying Notes to the Financial Statements. | 99 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued |
| |||||||||
1,385,000 | Hashemite Kingdom of Jordan Government AID Bond, 2.58%, due 06/30/22 | 1,451,346 | ||||||||
800,000 | Hashemite Kingdom of Jordan Government AID Bond, 3.00%, due 06/30/25 | 853,136 | ||||||||
812,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 926,695 | ||||||||
720,000 | Indonesia Government International Bond, 5.88%, due 01/15/24‡ 144A | 810,366 | ||||||||
75,000 | Israel Government AID Bond, 5.50%, due 04/26/24 | 93,679 | ||||||||
200,000 | Panama Government International Bond, 3.75%, due 03/16/25 | 206,000 | ||||||||
200,000 | Panama Government International Bond, 4.00%, due 09/22/24 | 211,000 | ||||||||
150,000 | Romanian Government International Bond, Reg S, 6.13%, due 01/22/44‡‡‡ | 183,517 | ||||||||
100,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 113,407 | ||||||||
300,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 340,219 | ||||||||
|
| |||||||||
5,785,115 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 5.9% | ||||||||||
2,300,000 | FNMA, 1.47%, due 10/09/19‡‡ | 2,186,332 | ||||||||
1,235,000 | FNMA, 6.63%, due 11/15/30** | 1,838,262 | ||||||||
1,199,000 | Tennessee Valley Authority, 4.25%, due 09/15/65 | 1,268,746 | ||||||||
190,000 | Tennessee Valley Authority, 5.25%, due 09/15/39 | 243,028 | ||||||||
85,000 | Tennessee Valley Authority, 7.13%, due 05/01/30 | 125,292 | ||||||||
140,000 | U.S. Treasury Bond, 2.50%, due 02/15/45 | 136,546 | ||||||||
1,380,000 | U.S. Treasury Bond, 2.50%, due 02/15/46 | 1,345,608 | ||||||||
265,000 | U.S. Treasury Bond, 2.88%, due 05/15/43 | 279,306 | ||||||||
2,896,000 | U.S. Treasury Bond, 3.00%, due 05/15/45 | 3,124,060 | ||||||||
2,834,000 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 3,442,922 | ||||||||
5,596,000 | U.S. Treasury Bond, 4.50%, due 02/15/36 | 7,679,855 | ||||||||
1,393,000 | U.S. Treasury Note, 0.50%, due 06/15/16 | 1,393,668 | ||||||||
5,500,000 | U.S. Treasury Note, 0.75%, due 02/15/19 | 5,483,885 | ||||||||
5,302,000 | U.S. Treasury Note, 1.25%, due 03/31/21 | 5,308,315 | ||||||||
1,590,000 | U.S. Treasury Note, 1.38%, due 04/30/20 | 1,606,708 | ||||||||
4,615,000 | U.S. Treasury Note, 1.63%, due 07/31/19 | 4,716,765 | ||||||||
683,000 | U.S. Treasury Note, 1.63%, due 11/30/20 | 696,713 | ||||||||
2,220,000 | U.S. Treasury Note, 2.13%, due 05/15/25 | 2,288,984 | ||||||||
2,000,000 | U.S. Treasury Note, 2.63%, due 11/15/20 | 2,127,540 | ||||||||
1,135,000 | U.S. Treasury STRIPS, 2.09%, due 08/15/25* ‡‡ | 947,320 | ||||||||
|
| |||||||||
46,239,855 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $760,704,818) | 766,552,571 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
PREFERRED STOCK — 0.3% | ||||||||||
Diversified Financial Services — 0.3% | ||||||||||
96,100 | Citigroup Capital XIII, 6.98%† | 2,526,469 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $2,583,980) | 2,526,469 | |||||||||
|
|
100 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 4.9% | ||||||||||
Bank Deposit — 3.1% | ||||||||||
24,067,901 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 24,067,901 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $24,067,901) | 24,067,901 | |||||||||
|
| |||||||||
Securities Lending Collateral — 1.5% | ||||||||||
11,661,485 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 11,661,485 | ||||||||
|
| |||||||||
TOTAL SECURITIES LENDING COLLATERAL (COST $11,661,485) | 11,661,485 | |||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.3% | ||||||||||
2,419,000 | United States Treasury Bill, 0.06%, due 05/05/16‡‡ | 2,418,807 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $2,418,861) | 2,418,807 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $38,148,247) | 38,148,193 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 103.0% (Cost $801,437,045) | 807,227,233 | |||||||||
Other Assets and Liabilities (net) — (3.0)% | (23,352,250 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 783,874,983 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 101 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Notes to Schedule of Investments: | ||||||
ACES — Alternative Credit Enhancement Securities | ||||||
CLO — Collateralized Loan Obligation | ||||||
FHLMC — Federal Home Loan Mortgage Corporation | ||||||
FNMA — Federal National Mortgage Association | ||||||
GNMA — Government National Mortgage Association | ||||||
IO — Interest Only | ||||||
MTN — Medium Term Note | ||||||
REIT — Real Estate Investment Trust | ||||||
REMIC — Real Estate Mortgage Investment Conduit | ||||||
TBA — To Be Announced | ||||||
# | Year of maturity is greater than 2100. | |||||
* | All or a portion of this security is held for open futures collateral. | |||||
** | All or a portion of this security is held for open futures and swaps collateral. | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0. | |||||
¤ | Illiquid security. The total market value of the securities at year end is $4,794,946 which represents 0.6% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $4,821,992. | |||||
† | Floating rate note. Rate shown is as of March 31, 2016. | |||||
††† | Security is currently in default. | |||||
†††† | When-issued security. | |||||
††††† | Security is perpetual and has no stated maturity date. | |||||
‡ | All or a portion of this security is out on loan. | |||||
‡‡ | Interest rate presented is yield to maturity. | |||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $128,139,350 which represents 16.4% of net assets. |
102 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2016
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
135 | U.S. Treasury Note 2-Year | June 2016 | $ | 29,531,250 | $ | 59,303 | ||||||||||||
24 | U.S. Treasury Note 5-Year | June 2016 | 2,907,938 | 2,703 | ||||||||||||||
173 | U.S. Treasury Note 10-Year | June 2016 | 22,557,578 | 139,608 | ||||||||||||||
181 | U.S. Ultra Bond | June 2016 | 31,228,156 | (1,079 | ) | |||||||||||||
|
| |||||||||||||||||
$ | 200,535 | |||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
132 | U.S.Long Bond | June 2016 | $ | 21,705,750 | $ | 136,189 | ||||||||||||
50 | U.S. Treasury Note 10-Year | June 2016 | 6,519,531 | 10,013 | ||||||||||||||
27 | U.S. Ultra Bond | June 2016 | 4,658,344 | 33,695 | ||||||||||||||
|
| |||||||||||||||||
$ | 179,897 | |||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Pay/Receive | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Pay | 3-Month USD LIBOR | 1.68% | 01/08/21 | $ | 2,370,000 | $ | 58,219 | |||||||
Receive | 3-Month USD LIBOR | 1.74% | 12/31/21 | 4,070,000 | (107,969 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.85% | 11/30/22 | 3,845,000 | (120,674 | ) | ||||||||
Receive | 3-Month USD LIBOR | 1.98% | 11/30/22 | 1,800,000 | (71,911 | ) | ||||||||
Receive | 3-Month USD LIBOR | 2.21% | 01/08/26 | 7,920,000 | (424,415 | ) | ||||||||
Receive | 3-Month USD LIBOR | 2.22% | 05/31/22 | 2,480,000 | (134,244 | ) | ||||||||
Receive | 3-Month USD LIBOR | 2.57% | 09/08/24 | 1,600,000 | (134,059 | ) | ||||||||
Pay | Interbank Equilibrium Interest Rate | 6.01% | 08/19/24 | MXN | 25,050,000 | 15,576 | ||||||||
$ | (919,477 | ) | ||||||||||||
|
|
Centrally Cleared Credit Default Swaps (See Note 2(a))
Notional Amount | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||
$ | 17,000,000 | 06/20/20 | $ | 222,333 | ||||||
|
|
Currency Abbreviations
MXN | — Mexican Peso |
See accompanying Notes to the Financial Statements. | 103 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2016
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 97.8 | ||||
Futures Contracts | 0.0 | ||||
Swaps | (0.1 | ) | |||
Preferred Stock | 0.3 | ||||
Short-Term Investments | 4.9 | ||||
Other Assets and Liabilities (net) | (2.9 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
104 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 92.7% | ||||||||||
Corporate Debt — 49.5% | ||||||||||
2,000,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, due 04/01/22 144A | 2,085,000 | ||||||||
2,000,000 | 24 Hour Holdings III LLC, 8.00%, due 06/01/22‡ 144A | 1,635,000 | ||||||||
2,000,000 | Acosta, Inc., 7.75%, due 10/01/22 144A | 1,860,000 | ||||||||
700,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.25%, due 07/01/20 | 707,875 | ||||||||
150,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.63%, due 10/30/20 | 154,313 | ||||||||
1,000,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, due 10/01/21 | 1,037,500 | ||||||||
1,200,000 | Alere, Inc., 6.50%, due 06/15/20 | 1,228,800 | ||||||||
1,200,000 | AMC Networks, Inc., 5.00%, due 04/01/24 | 1,207,500 | ||||||||
10,540,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 599,764 | |||||||
3,000,000 | ArcelorMittal, 6.50%, due 03/01/21‡ | 2,970,000 | ||||||||
2,500,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, due 06/30/21‡ 144A | 2,387,500 | ||||||||
1,700,000 | EUR | Areva SA, Reg S, 3.13%, due 03/20/23‡‡‡ | 1,597,493 | |||||||
2,000,000 | EUR | Avis Budget Finance Plc, 6.00%, due 03/01/21 144A | 2,369,889 | |||||||
1,300,000 | EUR | Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, due 02/01/21 144A | 1,551,057 | |||||||
1,700,000 | EUR | Ball Corp., 4.38%, due 12/15/23 | 2,077,492 | |||||||
2,500,000 | Bank of America Corp., Series M, 8.13%† ††††† | 2,465,625 | ||||||||
1,000,000 | Barminco Finance Pty, Ltd., 9.00%, due 06/01/18‡ 144A | 752,500 | ||||||||
1,500,000 | Blackboard, Inc., 7.75%, due 11/15/19 144A | 1,215,000 | ||||||||
900,000 | Blue Cube Spinco, Inc., 10.00%, due 10/15/25 144A | 1,032,750 | ||||||||
2,000,000 | BMC Software Finance, Inc., 8.13%, due 07/15/21 144A | 1,450,000 | ||||||||
2,000,000 | Bombardier, Inc., 7.50%, due 03/15/25 144A | 1,530,000 | ||||||||
1,800,000 | BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, due 04/15/22 | 189,000 | ||||||||
138,000 | California Resources Corp., 5.50%, due 09/15/21 | 31,050 | ||||||||
345,000 | California Resources Corp., 6.00%, due 11/15/24 | 78,488 | ||||||||
1,293,000 | California Resources Corp., 8.00%, due 12/15/22‡ 144A | 501,037 | ||||||||
1,500,000 | Calpine Corp., 5.75%, due 01/15/25 | 1,445,625 | ||||||||
1,000,000 | Calpine Corp., 6.00%, due 01/15/22 144A | 1,052,500 | ||||||||
2,000,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22 | 2,065,000 | ||||||||
800,000 | CCOH Safari LLC, 5.75%, due 02/15/26 144A | 830,000 | ||||||||
1,700,000 | Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A | 1,610,580 | ||||||||
800,000 | Cemex Finance LLC, 9.38%, due 10/12/22 144A | 884,000 | ||||||||
1,500,000 | Centene Corp., 4.75%, due 05/15/22‡ | 1,522,500 | ||||||||
2,200,000 | CenturyLink, Inc., 6.75%, due 12/01/23 | 2,147,750 | ||||||||
1,200,000 | EUR | CeramTec Group GmbH, 8.25%, due 08/15/21 144A | 1,477,404 | |||||||
1,500,000 | CGG SA, 6.50%, due 06/01/21 | 615,000 | ||||||||
1,100,700 | CHC Helicopter SA, 9.25%, due 10/15/20‡ | 470,549 | ||||||||
325,000 | CHC Helicopter SA, 9.38%, due 06/01/21 | 22,750 | ||||||||
1,200,000 | EUR | Chemours Co. (The), 6.13%, due 05/15/23 144A | 1,087,200 | |||||||
1,343,000 | Chesapeake Energy Corp., 8.00%, due 12/15/22‡ 144A | 664,785 | ||||||||
2,000,000 | CHS/Community Health Systems, Inc., 6.88%, due 02/01/22 | 1,815,000 | ||||||||
3,000,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 3,022,500 | ||||||||
2,500,000 | Citigroup, Inc., 6.30%† ††††† | 2,404,332 | ||||||||
700,000 | Clayton Williams Energy, Inc., 7.75%, due 04/01/19 | 353,500 | ||||||||
200,000 | Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22 | 200,000 | ||||||||
800,000 | Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20 | 738,000 | ||||||||
2,500,000 | CommScope Technologies Finance LLC, 6.00%, due 06/15/25 144A | 2,535,937 | ||||||||
1,500,000 | Concordia Healthcare Corp., 7.00%, due 04/15/23 144A | 1,293,750 |
See accompanying Notes to the Financial Statements. | 105 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,000,000 | CONSOL Energy, Inc., 5.88%, due 04/15/22‡ | 725,620 | ||||||||
900,000 | CONSOL Energy, Inc., 8.00%, due 04/01/23‡ | 676,980 | ||||||||
300,000 | Constellation Brands, Inc., 4.75%, due 12/01/25 | 312,000 | ||||||||
1,500,000 | Crestwood Midstream Partners, LP/Crestwood Midstream Finance Corp., 6.25%, due 04/01/23 144A | 1,117,500 | ||||||||
1,500,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 1,544,250 | ||||||||
300,000 | CSI Compressco, LP/Compressco Finance, Inc., 7.25%, due 08/15/22 | 210,750 | ||||||||
2,000,000 | DaVita HealthCare Partners, Inc., 5.13%, due 07/15/24 | 2,023,750 | ||||||||
2,000,000 | Deutsche Bank AG, 4.30%, due 05/24/28† | 1,722,268 | ||||||||
300,000 | Digicel Group, Ltd., 7.13%, due 04/01/22 144A | 234,720 | ||||||||
1,500,000 | Digicel, Ltd., 6.00%, due 04/15/21 144A | 1,350,000 | ||||||||
1,800,000 | DISH DBS Corp., 5.00%, due 03/15/23 | 1,593,000 | ||||||||
500,000 | DISH DBS Corp., 5.13%, due 05/01/20 | 497,500 | ||||||||
200,000 | DISH DBS Corp., 5.88%, due 11/15/24 | 184,250 | ||||||||
1,000,000 | E*TRADE Financial Corp., 4.63%, due 09/15/23 | 1,002,500 | ||||||||
1,000,000 | E*TRADE Financial Corp., 5.38%, due 11/15/22 | 1,058,750 | ||||||||
600,000 | EUR | Edcon, Ltd., 9.50%, due 03/01/18 144A | 252,502 | |||||||
300,000 | EUR | Edcon, Ltd., 9.50%, due 03/01/18 144A | 126,251 | |||||||
1,500,000 | Eldorado Gold Corp., 6.13%, due 12/15/20 144A | 1,376,250 | ||||||||
500,000 | Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 07/15/23 144A | 473,125 | ||||||||
1,000,000 | Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 02/01/25 144A | 942,500 | ||||||||
2,500,000 | Energy Transfer Equity, LP, 7.50%, due 10/15/20 | 2,418,750 | ||||||||
1,200,000 | Energy XXI Gulf Coast, Inc., 6.88%, due 03/15/24 | 40,500 | ||||||||
600,000 | Energy XXI Gulf Coast, Inc., 11.00%, due 03/15/20 144A | 87,000 | ||||||||
1,000,000 | EnQuest Plc, 7.00%, due 04/15/22 144A | 450,000 | ||||||||
250,000 | EPL Oil & Gas, Inc., 8.25%, due 02/15/18 | 12,656 | ||||||||
500,000 | Equinix, Inc., 4.88%, due 04/01/20 | 519,750 | ||||||||
1,500,000 | Equinix, Inc., 5.38%, due 04/01/23 | 1,560,000 | ||||||||
9,280,000,000 | IDR | European Investment Bank, Reg S, 6.95%, due 02/06/20‡‡‡ | 665,918 | |||||||
8,150,000 | ZAR | European Investment Bank, Reg S, 8.50%, due 09/17/24‡‡‡ | 528,320 | |||||||
2,000,000 | Ferrellgas, LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23 144A | 1,765,000 | ||||||||
2,500,000 | Fiat Chrysler Automobiles NV, 4.50%, due 04/15/20‡ | 2,543,750 | ||||||||
649,000,000 | COP | Financiera de Desarrollo Territorial SA Findeter, Reg S, 7.88%, due 08/12/24‡‡‡ | 185,351 | |||||||
2,200,000 | First Data Corp., 5.75%, due 01/15/24 144A | 2,208,030 | ||||||||
500,000 | First Data Corp., 7.00%, due 12/01/23 144A | 506,875 | ||||||||
2,000,000 | First Quantum Minerals, Ltd., 7.00%, due 02/15/21 144A | 1,350,000 | ||||||||
2,200,000 | FMG Resources August 2006 Pty, Ltd., 9.75%, due 03/01/22 144A | 2,205,500 | ||||||||
1,000,000 | Frontier Communications Co., 7.88%, due 01/15/27 | 800,000 | ||||||||
400,000 | EUR | Galapagos Holding SA, 7.00%, due 06/15/22 144A | 417,987 | |||||||
800,000 | EUR | Galapagos SA/Luxembourg, 5.38%, due 06/15/21 144A | 879,970 | |||||||
1,000,000 | Goodrich Petroleum Corp., 8.00%, due 03/15/18¤ 144A | 160,000 | ||||||||
350,000 | Goodrich Petroleum Corp., 8.88%, due 03/15/18¤ 144A | 56,000 | ||||||||
500,000 | Goodyear Tire & Rubber Co. (The), 5.13%, due 11/15/23 | 513,750 | ||||||||
1,000,000 | Goodyear Tire & Rubber Co. (The), 6.50%, due 03/01/21 | 1,053,750 | ||||||||
1,500,000 | Grifols Worldwide Operations, Ltd., 5.25%, due 04/01/22 | 1,548,750 | ||||||||
600,000 | Halcon Resources Corp., 8.88%, due 05/15/21 | 108,000 | ||||||||
900,000 | Halcon Resources Corp., 13.00%, due 02/15/22‡ 144A | 272,250 | ||||||||
2,500,000 | HCA, Inc., 5.00%, due 03/15/24 | 2,564,062 | ||||||||
1,200,000 | HCA, Inc., 5.88%, due 05/01/23 | 1,264,500 |
106 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
500,000 | HD Supply, Inc., 5.75%, due 04/15/24†††† 144A | 515,000 | ||||||||
300,000 | Hertz Corp. (The), 6.25%, due 10/15/22‡ | 301,500 | ||||||||
1,000,000 | Horizon Pharma Financing, Inc., 6.63%, due 05/01/23‡ 144A | 887,500 | ||||||||
1,000,000 | iHeartCommunications, Inc., 9.00%, due 03/01/21 | 700,000 | ||||||||
500,000 | iHeartCommunications, Inc., 9.00%, due 09/15/22‡ | 349,375 | ||||||||
1,100,000 | EUR | Infor US, Inc., 5.75%, due 05/15/22 | 1,052,945 | |||||||
2,500,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 1,518,750 | ||||||||
8,860,000,000 | IDR | Inter-American Development Bank, 7.35%, due 09/12/18 | 658,086 | |||||||
2,000,000 | InterGen NV, 7.00%, due 06/30/23 144A | 1,375,000 | ||||||||
2,500,000 | International Game Technology Plc, 6.25%, due 02/15/22 144A | 2,555,750 | ||||||||
1,500,000 | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, due 08/01/23 144A | 1,543,950 | ||||||||
800,000 | Jarden Corp., 5.00%, due 11/15/23 144A | 842,000 | ||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 5.88%, due 07/15/24 144A | 907,500 | ||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 7.25%, due 06/01/21 144A | 1,001,000 | ||||||||
1,000,000 | JPMorgan Chase & Co., 5.00%† ††††† | 956,250 | ||||||||
1,500,000 | JPMorgan Chase & Co., 6.00%† ††††† | 1,513,500 | ||||||||
700,000 | KB Home, 4.75%, due 05/15/19 | 700,875 | ||||||||
1,000,000 | KB Home, 7.50%, due 09/15/22 | 1,010,000 | ||||||||
1,000,000 | Landry’s, Inc., 9.38%, due 05/01/20 144A | 1,055,000 | ||||||||
600,000 | EUR | Lincoln Finance, Ltd., 6.88%, due 04/15/21 144A | 711,080 | |||||||
1,300,000 | Linn Energy LLC/Linn Energy Finance Corp., 12.00%, due 12/15/20 144A | 185,250 | ||||||||
900,000 | Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21 | 785,250 | ||||||||
500,000 | EUR | Matterhorn Telecom Holding SA, 4.88%, due 05/01/23 144A | 501,374 | |||||||
1,300,000 | EUR | Matterhorn Telecom SA, 3.88%, due 05/01/22 144A | 1,399,938 | |||||||
800,000 | Memorial Resource Development Corp., 5.88%, due 07/01/22 | 680,000 | ||||||||
600,000 | Microsemi Corp., 9.13%, due 04/15/23 144A | 661,500 | ||||||||
1,000,000 | Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21 | 41,250 | ||||||||
2,000,000 | Millicom International Cellular SA, 6.63%, due 10/15/21 144A | 2,022,500 | ||||||||
800,000 | Murray Energy Corp., 11.25%, due 04/15/21 144A | 108,000 | ||||||||
2,500,000 | Navient Corp., 5.50%, due 01/15/19 | 2,468,750 | ||||||||
500,000 | Neptune Finco Corp., 10.88%, due 10/15/25 144A | 544,750 | ||||||||
1,500,000 | Netflix, Inc., 5.88%, due 02/15/25 | 1,586,250 | ||||||||
200,000 | NGL Energy Partners, LP/NGL Energy Finance Corp., 5.13%, due 07/15/19 | 122,000 | ||||||||
1,500,000 | NOVA Chemicals Corp., 5.00%, due 05/01/25 144A | 1,462,500 | ||||||||
1,500,000 | Novelis, Inc., 8.38%, due 12/15/17 | 1,533,000 | ||||||||
1,500,000 | NRG Yield Operating LLC, 5.38%, due 08/15/24‡ | 1,402,500 | ||||||||
2,000,000 | Owens-Brockway Glass Container, Inc., 5.00%, due 01/15/22 144A | 2,052,660 | ||||||||
2,000,000 | Peabody Energy Corp., 10.00%, due 03/15/22 144A | 160,000 | ||||||||
100,000 | Penn Virginia Corp., 8.50%, due 05/01/20 | 13,000 | ||||||||
1,500,000 | Petrobras Global Finance BV, 5.38%, due 01/27/21 | 1,243,695 | ||||||||
24,750,000 | MXN | Petroleos Mexicanos, Reg S, 7.19%, due 09/12/24‡‡‡ | 1,255,124 | |||||||
300,000 | Platform Specialty Products Corp., 10.38%, due 05/01/21 144A | 291,000 | ||||||||
1,000,000 | Post Holdings, Inc., 6.00%, due 12/15/22 144A | 1,033,750 | ||||||||
800,000 | Post Holdings, Inc., 6.75%, due 12/01/21 144A | 845,000 | ||||||||
200,000 | Post Holdings, Inc., 7.38%, due 02/15/22 | 212,250 | ||||||||
1,000,000 | EUR | PSPC Escrow Corp., 6.00%, due 02/01/23 144A | 958,613 | |||||||
1,400,000 | QEP Resources, Inc., 5.25%, due 05/01/23 | 1,225,000 | ||||||||
1,500,000 | Qorvo, Inc., 7.00%, due 12/01/25 144A | 1,567,500 |
See accompanying Notes to the Financial Statements. | 107 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,000,000 | Radio One, Inc., 9.25%, due 02/15/20 144A | 690,000 | ||||||||
1,000,000 | EUR | Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A | 817,947 | |||||||
700,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, due 10/15/20 | 720,125 | ||||||||
1,900,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 8.25%, due 02/15/21 | 1,957,000 | ||||||||
400,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 9.00%, due 04/15/19 | 406,000 | ||||||||
2,800,000 | EUR | Royal Bank of Scotland Plc (The), 6.93%, due 04/09/18 | 3,509,905 | |||||||
500,000 | Sabine Pass Liquefaction LLC, 5.63%, due 02/01/21 | 483,125 | ||||||||
1,000,000 | Sabine Pass Liquefaction LLC, 5.63%, due 04/15/23 | 955,000 | ||||||||
500,000 | Sabine Pass Liquefaction LLC, 5.63%, due 03/01/25 | 478,750 | ||||||||
1,000,000 | Sanchez Energy Corp., 6.13%, due 01/15/23‡ | 545,000 | ||||||||
800,000 | EUR | Sealed Air Corp., 4.50%, due 09/15/23 144A | 970,897 | |||||||
600,000 | EUR | SIG Combibloc Holdings SCA, 7.75%, due 02/15/23 144A | 732,316 | |||||||
300,000 | Sirius XM Radio, Inc., 5.38%, due 04/15/25 144A | 306,000 | ||||||||
1,500,000 | Sirius XM Radio, Inc., 6.00%, due 07/15/24 144A | 1,582,500 | ||||||||
2,000,000 | Sprint Communications, Inc., 6.00%, due 11/15/22 | 1,472,500 | ||||||||
500,000 | Sprint Communications, Inc., 7.00%, due 03/01/20‡ 144A | 502,500 | ||||||||
1,500,000 | Sprint Corp., 7.13%, due 06/15/24 | 1,121,250 | ||||||||
500,000 | Sprint Corp., 7.63%, due 02/15/25 | 373,750 | ||||||||
500,000 | Sprint Corp., 7.88%, due 09/15/23 | 384,895 | ||||||||
300,000 | Steel Dynamics, Inc., 5.13%, due 10/01/21 | 304,500 | ||||||||
1,000,000 | Steel Dynamics, Inc., 5.50%, due 10/01/24 | 1,015,000 | ||||||||
1,000,000 | Stena International SA, 5.75%, due 03/01/24 144A | 825,000 | ||||||||
1,300,000 | T-Mobile USA, Inc., 6.00%, due 04/15/24†††† | 1,319,500 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.13%, due 01/15/22 | 1,037,500 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.38%, due 03/01/25 | 1,027,500 | ||||||||
1,500,000 | Talen Energy Supply LLC, 6.50%, due 06/01/25‡ | 1,252,500 | ||||||||
1,800,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, due 03/01/24 144A | 1,732,500 | ||||||||
1,500,000 | TEGNA, Inc., 5.13%, due 07/15/20 | 1,567,500 | ||||||||
1,000,000 | Tenet Healthcare Corp., 5.00%, due 03/01/19 | 993,750 | ||||||||
1,800,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 | 1,860,750 | ||||||||
1,200,000 | GBP | Tesco Plc, 6.13%, due 02/24/22 | 1,853,722 | |||||||
2,000,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, | 585,000 | ||||||||
200,000 | TransDigm, Inc., 6.00%, due 07/15/22 | 200,250 | ||||||||
1,000,000 | TransDigm, Inc., 6.50%, due 07/15/24 | 997,200 | ||||||||
800,000 | TransDigm, Inc., 6.50%, due 05/15/25 | 785,000 | ||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., Reg S, 9.50%, due 05/13/21‡‡‡ | 178,939 | |||||||
800,000 | Triangle USA Petroleum Corp., 6.75%, due 07/15/22‡ 144A | 154,000 | ||||||||
1,500,000 | Ultra Petroleum Corp., 6.13%, due 10/01/24 144A | 120,000 | ||||||||
800,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, due 01/15/25 144A | 934,431 | |||||||
810,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, due 01/15/23 144A | 992,448 | |||||||
1,600,000 | EUR | UPCB Finance IV, Ltd., 4.00%, due 01/15/27 144A | 1,780,671 | |||||||
1,000,000 | Valeant Pharmaceuticals International, Inc., 5.50%, due 03/01/23‡ 144A | 791,250 |
108 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,000,000 | Valeant Pharmaceuticals International, Inc., 5.63%, due 12/01/21 144A | 792,500 | ||||||||
600,000 | Valeant Pharmaceuticals International, Inc., 6.13%, due 04/15/25‡ 144A | 463,500 | ||||||||
450,000 | GBP | Virgin Media Secured Finance Plc, 5.50%, due 01/15/25 144A | 637,083 | |||||||
900,000 | GBP | Virgin Media Secured Finance Plc, 6.00%, due 04/15/21 144A | 1,354,529 | |||||||
2,000,000 | Western Digital Corp., 10.50%, due 04/01/24 144A†††† | 2,010,000 | ||||||||
1,200,000 | EUR | Wind Acquisition Finance SA, 4.00%, due 07/15/20 144A | 1,358,914 | |||||||
700,000 | EUR | Wind Acquisition Finance SA, 7.00%, due 04/23/21 144A | 766,775 | |||||||
2,000,000 | WMG Acquisition Corp., 5.63%, due 04/15/22 144A | 2,035,000 | ||||||||
1,400,000 | WPX Energy, Inc., 8.25%, due 08/01/23‡ | 1,088,500 | ||||||||
700,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 03/01/25 144A | 662,375 | ||||||||
800,000 | Wynn Macau, Ltd., 5.25%, due 10/15/21 144A | 758,000 | ||||||||
1,300,000 | EUR | XPO Logistics, Inc., 5.75%, due 06/15/21 144A | 1,419,347 | |||||||
|
| |||||||||
205,266,539 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 43.2% | ||||||||||
18,230,000 | BRL | Brazil Letras do Tesouro Nacional, 13.57%, due 01/01/18‡‡ | 4,115,309 | |||||||
26,282,000 | BRL | Brazil Letras do Tesouro Nacional, 14.59%, due 01/01/19‡‡ | 5,199,601 | |||||||
3,000,000 | BRL | Brazil Notas do Tesouro Nacional Serie B, 6.00%, due 05/15/35 | 2,299,093 | |||||||
8,284,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/17 | 2,290,110 | |||||||
40,576,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/18 | 10,953,734 | |||||||
462,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/19 | 120,934 | |||||||
15,525,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/21 | 3,857,161 | |||||||
7,264,900,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 2,010,063 | |||||||
1,270,200,000 | COP | Colombian TES, 7.00%, due 09/11/19 | 419,810 | |||||||
10,020,100,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 3,226,796 | |||||||
2,541,700,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 811,206 | |||||||
2,113,000,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 666,834 | |||||||
9,664,500,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 3,617,870 | |||||||
684,400,000 | COP | Colombian TES, 11.00%, due 07/24/20 | 257,130 | |||||||
1,467,800,000 | COP | Colombian TES, 11.25%, due 10/24/18 | 534,609 | |||||||
363,360,000 | HUF | Hungary Government Bond, 2.50%, due 06/22/18 | 1,352,721 | |||||||
400,600,000 | HUF | Hungary Government Bond, 3.00%, due 06/26/24 | 1,484,170 | |||||||
46,520,000 | HUF | Hungary Government Bond, 3.50%, due 06/24/20 | 180,817 | |||||||
343,000,000 | HUF | Hungary Government Bond, 4.00%, due 04/25/18 | 1,314,464 | |||||||
1,380,390,000 | HUF | Hungary Government Bond, 5.50%, due 12/20/18 | 5,553,997 | |||||||
17,200,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 76,299 | |||||||
180,090,000 | HUF | Hungary Government Bond, 6.00%, due 11/24/23 | 806,966 | |||||||
607,960,000 | HUF | Hungary Government Bond, 6.50%, due 06/24/19 | 2,548,928 | |||||||
154,560,000 | HUF | Hungary Government Bond, 7.00%, due 06/24/22 | 713,945 | |||||||
2,436,000 | Hungary Government International Bond, 6.38%, due 03/29/21 | 2,771,462 | ||||||||
26,811,000,000 | IDR | Indonesia Treasury Bond, 5.63%, due 05/15/23 | 1,787,703 | |||||||
8,900,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 566,123 | |||||||
15,988,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 1,026,600 | |||||||
3,300,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 231,836 | |||||||
24,388,000,000 | IDR | Indonesia Treasury Bond, 7.88%, due 04/15/19 | 1,859,318 | |||||||
68,368,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 5,357,556 | |||||||
29,213,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 2,304,734 | |||||||
21,619,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 1,654,812 | |||||||
33,162,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 2,653,835 |
See accompanying Notes to the Financial Statements. | 109 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
3,006,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 269,558 | |||||||
645,000,000 | IDR | Indonesia Treasury Bond, 12.80%, due 06/15/21 | 59,122 | |||||||
3,200,000 | MYR | Malaysia Government Bond, 3.26%, due 03/01/18 | 822,658 | |||||||
120,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 30,235 | |||||||
1,059,000 | MYR | Malaysia Government Bond, 3.58%, due 09/28/18 | 273,741 | |||||||
999,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 251,187 | |||||||
8,779,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 2,274,939 | |||||||
174,000 | MYR | Malaysia Government Bond, 4.16%, due 07/15/21 | 45,838 | |||||||
16,055,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 4,204,225 | |||||||
1,950,000 | MYR | Malaysia Government Bond, 4.26%, due 09/15/16 | 504,349 | |||||||
1,068,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 281,631 | |||||||
32,500,000 | MXN | Mexican Bonos, 5.00%, due 06/15/17 | 1,918,391 | |||||||
8,085,400 | MXN | Mexican Bonos, 6.50%, due 06/10/21 | 496,002 | |||||||
68,250,000 | MXN | Mexican Bonos, 6.50%, due 06/09/22 | 4,178,982 | |||||||
68,530,000 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 4,517,072 | |||||||
29,310,000 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 1,933,657 | |||||||
25,260,000 | MXN | Mexican Bonos, 8.00%, due 06/11/20 | 1,629,084 | |||||||
40,100,000 | MXN | Mexican Bonos, 8.50%, due 12/13/18 | 2,560,618 | |||||||
7,197,300 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 503,531 | |||||||
17,400,000 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 1,404,785 | |||||||
6,643,000 | PEN | Peruvian Government International Bond, Reg S, 5.70%, due 08/12/24‡‡‡ | 1,877,914 | |||||||
3,186,000 | PEN | Peruvian Government International Bond, Reg S, 6.95%, due 08/12/31‡‡‡ | 934,522 | |||||||
3,400,000 | PEN | Peruvian Government International Bond, Reg S, 7.84%, due 08/12/20‡‡‡ | 1,099,537 | |||||||
6,818,000 | PLN | Poland Government Bond, 1.50%, due 04/25/20 | 1,805,624 | |||||||
3,943,000 | PLN | Poland Government Bond, 2.00%, due 04/25/21 | 1,052,664 | |||||||
13,533,000 | PLN | Poland Government Bond, 2.50%, due 07/25/26 | 3,533,753 | |||||||
4,375,000 | PLN | Poland Government Bond, 3.25%, due 07/25/25 | 1,226,856 | |||||||
11,047,000 | PLN | Poland Government Bond, 4.00%, due 10/25/23 | 3,271,003 | |||||||
4,043,000 | PLN | Poland Government Bond, 5.25%, due 10/25/20 | 1,242,696 | |||||||
6,017,000 | PLN | Poland Government Bond, 5.50%, due 10/25/19 | 1,830,708 | |||||||
993,000 | PLN | Poland Government Bond, 5.75%, due 10/25/21 | 316,611 | |||||||
5,715,000 | RON | Romania Government Bond, 3.50%, due 12/19/22 | 1,508,185 | |||||||
2,815,000 | RON | Romania Government Bond, 4.75%, due 02/24/25 | 798,693 | |||||||
9,090,000 | RON | Romania Government Bond, 5.85%, due 04/26/23 | 2,743,113 | |||||||
33,000,000 | RUB | Russian Federal Bond - OFZ, 5.00%, due 08/08/18†† | 461,536 | |||||||
182,000,000 | RUB | Russian Federal Bond - OFZ, 6.20%, due 01/31/18 | 2,586,273 | |||||||
187,389,000 | RUB | Russian Federal Bond - OFZ, 6.40%, due 05/27/20 | 2,569,242 | |||||||
379,209,000 | RUB | Russian Federal Bond - OFZ, 6.70%, due 05/15/19 | 5,335,923 | |||||||
5,500,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 01/25/23 | 74,634 | |||||||
28,973,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 08/16/23 | 391,304 | |||||||
60,596,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 08/16/23 | 818,399 | |||||||
21,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 04/19/17 | 308,253 | |||||||
206,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 06/14/17 | 3,013,898 | |||||||
6,960,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 03/15/18 | 101,287 | |||||||
67,880,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 02/27/19 | 975,458 | |||||||
120,903,000 | RUB | Russian Federal Bond - OFZ, 7.60%, due 04/14/21 | 1,709,830 | |||||||
87,467,000 | RUB | Russian Federal Bond - OFZ, 7.60%, due 07/20/22 | 1,223,701 | |||||||
44,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27 | 627 | |||||||
20,000,000 | RUB | Russian Foreign Bond - Eurobond, Reg S, 7.85%, due 03/10/18‡‡‡ | 292,106 |
110 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
59,100,000 | ZAR | South Africa Government Bond, 6.75%, due 03/31/21 | 3,708,818 | |||||||
852,000 | ZAR | South Africa Government Bond, 7.25%, due 01/15/20 | 55,532 | |||||||
57,977,612 | ZAR | South Africa Government Bond, 8.00%, due 01/31/30 | 3,488,709 | |||||||
1,071,000 | ZAR | South Africa Government Bond, 8.25%, due 09/15/17 | 73,028 | |||||||
19,399,204 | ZAR | South Africa Government Bond, 8.25%, due 03/31/32 | 1,169,452 | |||||||
8,100,000 | ZAR | South Africa Government Bond, 8.50%, due 01/31/37 | 487,388 | |||||||
8,609,265 | ZAR | South Africa Government Bond, 8.88%, due 02/28/35 | 540,865 | |||||||
12,400,000 | ZAR | South Africa Government Bond, 10.50%, due 12/21/26 | 921,982 | |||||||
3,000,000 | ZAR | South Africa Government Bond, 13.50%, due 09/15/16 | 209,393 | |||||||
155,584,000 | THB | Thailand Government Bond, 3.63%, due 06/16/23 | 5,036,375 | |||||||
75,446,000 | THB | Thailand Government Bond, 3.88%, due 06/13/19 | 2,313,190 | |||||||
1,717,000 | THB | Thailand Government Bond, 4.68%, due 06/29/44 | 67,492 | |||||||
102,420,000 | THB | Thailand Government Bond, 4.88%, due 06/22/29 | 3,904,825 | |||||||
17,792,016 | THB | Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡ | 486,379 | |||||||
8,186,000 | TRY | Turkey Government Bond, 7.40%, due 02/05/20 | 2,709,576 | |||||||
4,165,394 | TRY | Turkey Government Bond, 8.00%, due 03/12/25 | 1,332,521 | |||||||
4,875,741 | TRY | Turkey Government Bond, 8.30%, due 06/20/18 | 1,689,202 | |||||||
3,885,833 | TRY | Turkey Government Bond, 8.50%, due 07/10/19 | 1,340,728 | |||||||
1,710,885 | TRY | Turkey Government Bond, 8.50%, due 09/14/22 | 574,052 | |||||||
1,831,712 | TRY | Turkey Government Bond, 8.80%, due 11/14/18 | 639,313 | |||||||
6,354,674 | TRY | Turkey Government Bond, 9.00%, due 07/24/24 | 2,169,982 | |||||||
|
| |||||||||
178,809,303 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $435,746,433) | 384,075,842 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 10.2% | ||||||||||
Bank Deposit — 5.2% | ||||||||||
21,444,720 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 21,444,720 | ||||||||
|
| |||||||||
Securities Lending Collateral — 5.0% | ||||||||||
20,602,453 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 20,602,453 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $42,047,173) | 42,047,173 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.9% (Cost $477,793,606) | 426,123,015 | |||||||||
Other Assets and Liabilities (net) — (2.9)% | (11,861,326 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 414,261,689 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 111 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Notes to Schedule of Investments: | ||||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
¤ | Illiquid security. The total market value of the securities at year end is $216,000 which represents 0.1% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $1,154,127. | |||||
† | Floating rate note. Rate shown is as of March 31, 2016. | |||||
†† | Debt obligation initially issued in zero coupon form which converts to coupon form at a specific rate and date. The rate shown is the rate at period end. | |||||
††† | Security is currently in default. | |||||
†††† | When-issued security. | |||||
††††† | Security is perpetual and has no stated maturity date. | |||||
‡ | All or a portion of this security is out on loan. | |||||
‡‡ | Interest rate presented is yield to maturity. | |||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $97,000,947 which represents 23.4% of net assets. |
112 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2016
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
06/15/16 | BRL | Citibank N.A. | 9,783,648 | $ | 2,701,835 | $ | 109,522 | |||||||||||||
06/02/16 | BRL | Goldman Sachs International | 28,952,000 | 8,024,849 | 383,883 | |||||||||||||||
06/15/16 | BRL | Goldman Sachs International | 13,807,485 | 3,813,051 | 199,086 | |||||||||||||||
06/15/16 | CLP | Citibank N.A. | 114,549,000 | 170,643 | 3,124 | |||||||||||||||
06/15/16 | CLP | Goldman Sachs International | 3,277,427,000 | 4,882,356 | 85,021 | |||||||||||||||
06/15/16 | CNY | Goldman Sachs International | 37,932,000 | 5,848,366 | 4,133 | |||||||||||||||
04/20/16 | CNY | Standard Chartered Bank | 38,050,000 | 5,879,480 | 261,585 | |||||||||||||||
06/15/16 | COP | Goldman Sachs International | 12,382,623,000 | 4,088,253 | 65,238 | |||||||||||||||
06/16/16 | EUR | Citibank N.A. | 219,670 | 250,726 | 8,851 | |||||||||||||||
06/15/16 | EUR | Citibank N.A. | 1,708,000 | 1,949,404 | 51,722 | |||||||||||||||
06/15/16 | EUR | Goldman Sachs International | 1,568,760 | 1,790,484 | 46,760 | |||||||||||||||
04/28/16 | GBP | Deutsche Bank AG London | 309,578 | 445,205 | (32,907 | ) | ||||||||||||||
06/16/16 | GBP | Deutsche Bank AG London | 222,000 | 319,309 | (17,731 | ) | ||||||||||||||
08/18/16 | GBP | Deutsche Bank AG London | 1,000,000 | 1,438,940 | (8,760 | ) | ||||||||||||||
06/15/16 | HUF | Goldman Sachs International | 185,720,000 | 673,250 | (1,360 | ) | ||||||||||||||
06/15/16 | IDR | Standard Chartered Bank | 68,902,393,000 | 5,137,838 | 1,618 | |||||||||||||||
06/15/16 | MXN | Citibank N.A. | 103,146,000 | 5,952,302 | 218,547 | |||||||||||||||
06/15/16 | MYR | Standard Chartered Bank | 18,241,694 | 4,649,109 | 206,417 | |||||||||||||||
08/17/16 | NGN | Citibank N.A. | 82,343,478 | 402,562 | 66,535 | |||||||||||||||
08/10/16 | NGN | Citibank N.A. | 440,574,333 | 2,156,812 | 379,563 | |||||||||||||||
08/10/16 | NGN | Goldman Sachs International | 132,094,344 | 646,662 | 92,052 | |||||||||||||||
08/10/16 | NGN | Standard Chartered Bank | 78,488,416 | 384,237 | 57,881 | |||||||||||||||
08/10/16 | NGN | Standard Chartered Bank | 96,049,818 | 470,208 | 76,114 | |||||||||||||||
06/15/16 | PHP | Citibank N.A. | 43,048,000 | 931,093 | 13,812 | |||||||||||||||
06/15/16 | PLN | Citibank N.A. | 9,016,869 | 2,417,091 | 99,011 | |||||||||||||||
06/15/16 | PLN | Deutsche Bank AG | 5,070,583 | 1,359,237 | 55,661 | |||||||||||||||
06/15/16 | PLN | Goldman Sachs International | 13,513,641 | 3,622,510 | 148,230 | |||||||||||||||
06/15/16 | RON | Citibank N.A. | 10,238,000 | 2,611,108 | 114,401 | |||||||||||||||
06/15/16 | RUB | Citibank N.A. | 9,484,143 | 138,432 | 8,334 | |||||||||||||||
09/21/16 | RUB | Citibank N.A. | 7,579,127 | 108,013 | 706 | |||||||||||||||
06/15/16 | RUB | Deutsche Bank AG | 105,782,000 | 1,544,015 | 24,813 | |||||||||||||||
06/15/16 | RUB | Goldman Sachs International | 151,734,605 | 2,214,748 | 136,065 | |||||||||||||||
06/15/16 | THB | Barclays Bank Plc | 37,537,049 | 1,065,230 | 4,262 | |||||||||||||||
06/15/16 | THB | Citibank N.A. | 378,487,878 | 10,740,767 | 16,009 | |||||||||||||||
06/15/16 | THB | Deutsche Bank AG | 6,909,009 | 196,065 | (521 | ) | ||||||||||||||
06/15/16 | THB | Standard Chartered Bank | 107,615,530 | 3,053,924 | (5,073 | ) | ||||||||||||||
06/15/16 | TRY | Citibank N.A. | 9,226,462 | 3,204,194 | 88,899 | |||||||||||||||
06/15/16 | TRY | Goldman Sachs International | 3,519,549 | 1,222,280 | 40,747 | |||||||||||||||
06/15/16 | ZAR | Citibank N.A. | 12,451,000 | 834,290 | 41,914 | |||||||||||||||
06/15/16 | ZAR | Goldman Sachs International | 115,025,000 | 7,707,352 | 149,362 | |||||||||||||||
|
| |||||||||||||||||||
$ | 3,193,526 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
06/02/16 | BRL | Deutsche Bank AG | 9,223,000 | $ | 2,556,410 | $ | (854 | ) | ||||||||||||
06/02/16 | BRL | Goldman Sachs International | 61,162,400 | 16,952,853 | (1,972,945 | ) | ||||||||||||||
06/15/16 | BRL | Goldman Sachs International | 4,275,000 | 1,180,577 | (28,007 | ) | ||||||||||||||
02/15/17 | CNY | Citibank N.A. | 71,266,000 | 10,923,278 | (434,346 | ) |
See accompanying Notes to the Financial Statements. | 113 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2016
Forward Foreign Currency Contracts — continued
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
06/15/16 | CNY | Deutsche Bank AG | 6,670,000 | $ | 1,028,382 | $ | (6,160 | ) | ||||||||||||
04/20/16 | CNY | Goldman Sachs International | 38,050,000 | 5,879,480 | 1,390 | |||||||||||||||
06/15/16 | CNY | Goldman Sachs International | 37,586,000 | 5,795,020 | (81,560 | ) | ||||||||||||||
06/15/16 | COP | Goldman Sachs International | 3,204,600,587 | 1,058,033 | (59,715 | ) | ||||||||||||||
06/16/16 | EUR | Barclays Bank Plc | 96,243 | 109,849 | (3,913 | ) | ||||||||||||||
06/15/16 | EUR | Citibank N.A. | 2,224,000 | 2,538,334 | (34,789 | ) | ||||||||||||||
08/18/16 | EUR | Deutsche Bank AG London | 817,200 | 934,780 | (30,630 | ) | ||||||||||||||
06/15/16 | HUF | Citibank N.A. | 3,249,880,516 | 11,781,077 | (186,701 | ) | ||||||||||||||
06/15/16 | ILS | Citibank N.A. | 34,680,000 | 9,249,471 | (276,499 | ) | ||||||||||||||
06/15/16 | ILS | Deutsche Bank AG | 2,850,000 | 760,121 | (18,551 | ) | ||||||||||||||
06/15/16 | KRW | Barclays Bank Plc | 457,552,775 | 399,360 | (21,608 | ) | ||||||||||||||
06/15/16 | KRW | Barclays Bank Plc | 247,247,831 | 215,802 | (11,676 | ) | ||||||||||||||
06/15/16 | KRW | Citibank N.A. | 5,783,512,394 | 5,047,953 | (279,655 | ) | ||||||||||||||
05/18/16 | NGN | Citibank N.A. | 290,441,323 | 1,448,535 | (285,284 | ) | ||||||||||||||
08/10/16 | NGN | Citibank N.A. | 67,147,677 | 328,718 | (67,444 | ) | ||||||||||||||
08/10/16 | NGN | Goldman Sachs International | 180,842,000 | 885,304 | (225,297 | ) | ||||||||||||||
06/15/16 | PEN | Citibank N.A. | 5,908,780 | 1,766,684 | (71,438 | ) | ||||||||||||||
06/15/16 | PEN | Goldman Sachs International | 19,974,291 | 5,972,172 | (123,276 | ) | ||||||||||||||
06/15/16 | PEN | Standard Chartered Bank | 8,180,963 | 2,446,050 | (100,591 | ) | ||||||||||||||
06/15/16 | PLN | Citibank N.A. | 5,216,000 | 1,398,218 | (38,688 | ) | ||||||||||||||
06/15/16 | RON | Citibank N.A. | 5,940,000 | 1,514,943 | (38,359 | ) | ||||||||||||||
06/15/16 | RUB | Barclays Bank Plc | 152,395,813 | 2,224,399 | (148,657 | ) | ||||||||||||||
06/15/16 | RUB | Citibank N.A. | 248,275,596 | 3,623,879 | (237,456 | ) | ||||||||||||||
06/15/16 | RUB | Goldman Sachs International | 122,608,983 | 1,789,625 | (118,747 | ) | ||||||||||||||
06/15/16 | SGD | Goldman Sachs International | 13,007,000 | 9,655,391 | (266,656 | ) | ||||||||||||||
06/15/16 | TRY | Citibank N.A. | 12,417,000 | 4,312,214 | (159,732 | ) | ||||||||||||||
06/15/16 | TWD | Barclays Bank Plc | 132,195,440 | 4,110,542 | (89,388 | ) | ||||||||||||||
06/15/16 | TWD | Citibank N.A. | 117,766,202 | 3,661,873 | (85,071 | ) | ||||||||||||||
06/15/16 | TWD | Goldman Sachs International | 43,805,042 | 1,362,093 | (30,835 | ) | ||||||||||||||
06/15/16 | TWD | Standard Chartered Bank | 64,737,316 | 2,012,970 | (45,569 | ) | ||||||||||||||
06/15/16 | ZAR | Citibank N.A. | 92,629,000 | 6,206,688 | (385,047 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (5,963,754 | ) | ||||||||||||||||||
|
|
Cross-Currency Forwards
Settlement | Receive/Deliver | Counterparty | Contract Amount | Contract Amount | Unrealized | |||||||||||||||
06/15/16 | PLN/EUR | Citibank N.A. | 9,870,811 | 2,302,413 | $ | 18,172 |
114 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2016
Currency Abbreviations
BRL | — Brazilian Real |
CLP | — Chilean Peso |
CNY | — Chinese Yuan |
COP | — Colombian Peso |
EUR | — Euro |
GBP | — British Pound Sterling |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
ILS | — Israeli Shekel |
KRW | — South Korean Won |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
NGN | — Nigeria Naira |
PEN | — Peruvian Nouveau Sol |
PHP | — Philippines Peso |
PLN | — Polish Zloty |
RON | — New Romanian Leu |
RUB | — Russian Ruble |
SGD | — Singapore Dollar |
THB | — Thai Baht |
TRY | — New Turkish Lira |
TWD | — Taiwan Dollar |
ZAR | — South African Rand |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
97 | South Africa Government Bond, Series R186 | May 2016 | $ | 746,930 | $ | 25,284 | ||||||||||||
39 | South Africa Government Bond, Series R2035 | May 2016 | 249,350 | 6,606 | ||||||||||||||
469 | South Africa Government Bond, Series R2037 | May 2016 | 2,893,851 | 96,283 | ||||||||||||||
119 | South Africa Government Bond, Series R204 | May 2016 | 826,017 | 10,416 | ||||||||||||||
1,371 | South Africa Government Bond, Series R207 | May 2016 | 9,143,871 | 78,711 | ||||||||||||||
481 | South Africa Government Bond, Series R208 | May 2016 | 3,044,631 | 79,777 | ||||||||||||||
|
| |||||||||||||||||
$ | 297,077 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 115 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2016
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Corporate Debt | 49.5 | ||||
Sovereign Debt Obligations | 43.2 | ||||
Futures Contracts | 0.1 | ||||
Forward Foreign Currency Contracts | (0.7 | ) | |||
Short-Term Investments | 10.2 | ||||
Other Assets and Liabilities (net) | (2.3 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
116 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 88.1% | ||||||||||
Bermuda — 1.0% | ||||||||||
570,756 | Cosan, Ltd. Class A | 2,808,120 | ||||||||
31,229 | Credicorp, Ltd. | 4,091,311 | ||||||||
23,501,906 | GOME Electrical Appliances Holding, Ltd.‡ | 3,363,237 | ||||||||
1,907,000 | Nine Dragons Paper Holdings, Ltd. | 1,435,804 | ||||||||
|
| |||||||||
Total Bermuda | 11,698,472 | |||||||||
|
| |||||||||
Brazil — 4.4% | ||||||||||
1,947,814 | AMBEV SA, ADR | 10,089,676 | ||||||||
896,300 | AMBEV SA | 4,759,697 | ||||||||
1,024,083 | Banco Bradesco SA, ADR‡ | 7,629,418 | ||||||||
445,800 | Banco do Brasil SA | 2,486,870 | ||||||||
155,200 | BB Seguridade Participacoes SA | 1,300,632 | ||||||||
691,900 | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros | 3,002,658 | ||||||||
255,900 | BRF SA | 3,704,918 | ||||||||
160,300 | Cosan SA Industria e Comercio | 1,419,813 | ||||||||
301,200 | Estacio Participacoes SA | 1,004,567 | ||||||||
311,876 | Itau Unibanco Holding SA, ADR‡ | 2,679,015 | ||||||||
1,643,100 | JBS SA | 5,076,734 | ||||||||
47,000 | Klabin SA | 256,882 | ||||||||
118,100 | Kroton Educacional SA | 382,559 | ||||||||
293,800 | Lojas Renner SA | 1,723,505 | ||||||||
14,300 | Natura Cosmeticos SA | 107,089 | ||||||||
48,900 | Porto Seguro SA | 375,857 | ||||||||
112,000 | Raia Drogasil SA | 1,649,661 | ||||||||
14,760 | Totvs SA | 113,282 | ||||||||
94,700 | Ultrapar Participacoes SA | 1,864,874 | ||||||||
146,900 | WEG SA | 580,719 | ||||||||
|
| |||||||||
Total Brazil | 50,208,426 | |||||||||
|
| |||||||||
Cayman Islands — 8.5% | ||||||||||
46,053 | Alibaba Group Holding, Ltd., Sponsored ADR* | 3,639,569 | ||||||||
1,323,000 | ANTA Sports Products, Ltd. | 2,926,904 | ||||||||
43,795 | Baidu, Inc., Sponsored ADR* | 8,359,590 | ||||||||
2,947,000 | Belle International Holdings, Ltd. | 1,705,917 | ||||||||
56,000 | Casetek Holdings, Ltd. | 304,499 | ||||||||
1,186,000 | China Conch Venture Holdings, Ltd. | 2,339,416 | ||||||||
1,444,000 | China Medical System Holdings, Ltd. | 2,003,138 | ||||||||
804,000 | China Mengniu Dairy Co., Ltd. | 1,281,168 | ||||||||
488,000 | China Resources Land, Ltd. | 1,249,483 | ||||||||
255,000 | Country Garden Holdings Co., Ltd. | 100,599 | ||||||||
13,232 | Ctrip.com International, Ltd., ADR* | 585,648 | ||||||||
5,013,500 | Dali Foods Group Co., Ltd.* ‡ 144A | 3,031,414 | ||||||||
572,000 | ENN Energy Holdings, Ltd. | 3,156,249 | ||||||||
4,022,000 | Evergrande Real Estate Group, Ltd.‡ | 3,100,806 | ||||||||
6,480,000 | Geely Automobile Holdings, Ltd. | 3,191,316 | ||||||||
130,500 | Hengan International Group Co., Ltd. | 1,133,129 | ||||||||
15,889 | JD.com, Inc., ADR* | 421,059 |
See accompanying Notes to the Financial Statements. | 117 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Cayman Islands — continued | ||||||||||
378,000 | Kingsoft Corp., Ltd.‡ | 889,865 | ||||||||
7,756,652 | Lee & Man Paper Manufacturing, Ltd. | 5,280,069 | ||||||||
165,000 | Longfor Properties Co., Ltd. | 234,847 | ||||||||
54,254 | NetEase, Inc., ADR | 7,789,789 | ||||||||
4,304 | Qihoo 360 Technology Co., Ltd., ADR* ‡ | 325,167 | ||||||||
1,310,000 | Shimao Property Holdings, Ltd.‡ | 1,932,096 | ||||||||
47,486 | Silicon Motion Technology Corp., ADR | 1,842,932 | ||||||||
919,000 | Sino Biopharmaceutical, Ltd. | 687,187 | ||||||||
1,321,900 | Tencent Holdings, Ltd. | 27,012,157 | ||||||||
2,498,000 | Want Want China Holdings, Ltd.‡ | 1,851,790 | ||||||||
7,596,332 | WH Group, Ltd.* 144A | 5,503,914 | ||||||||
8,132,000 | Xinyi Solar Holdings, Ltd.‡ | 2,872,628 | ||||||||
1,249,000 | Zhen Ding Technology Holding, Ltd. | 2,794,183 | ||||||||
|
| |||||||||
Total Cayman Islands | 97,546,528 | |||||||||
|
| |||||||||
Chile — 0.9% | ||||||||||
30,762,305 | Banco de Chile | 3,320,633 | ||||||||
75,617 | Banco Santander Chile, ADR | 1,463,189 | ||||||||
39,561,605 | Banco Santander Chile | 1,922,895 | ||||||||
178,066 | Cencosud SA | 451,967 | ||||||||
38,294,758 | Corpbanca SA | 350,737 | ||||||||
94,339 | Empresas COPEC SA | 905,534 | ||||||||
101,598 | Enersis SA, Sponsored ADR | 1,412,212 | ||||||||
134,097 | Latam Airlines Group SA, Sponsored ADR* ‡ | 938,679 | ||||||||
|
| |||||||||
Total Chile | 10,765,846 | |||||||||
|
| |||||||||
China — 11.9% | ||||||||||
8,249,000 | Agricultural Bank of China, Ltd. Class H | 2,967,132 | ||||||||
1,454,000 | Air China, Ltd. Class H | 1,031,000 | ||||||||
1,184,500 | Anhui Conch Cement Co., Ltd. Class H | 3,176,361 | ||||||||
267,000 | AviChina Industry & Technology Co., Ltd. Class H | 199,306 | ||||||||
38,949,000 | Bank of China, Ltd. Class H | 16,169,016 | ||||||||
2,324,000 | Bank of Communications Co., Ltd. Class H | 1,528,050 | ||||||||
4,936,000 | China Cinda Asset Management Co., Ltd. Class H | 1,724,550 | ||||||||
2,456,000 | China CITIC Bank Corp., Ltd. Class H* | 1,507,185 | ||||||||
4,930,000 | China Communications Services Corp., Ltd. Class H | 2,249,995 | ||||||||
29,844,000 | China Construction Bank Corp. Class H | 19,084,031 | ||||||||
4,736,000 | China Everbright Bank Co., Ltd. Class H | 2,283,572 | ||||||||
1,555,500 | China Galaxy Securities Co., Ltd. Class H | 1,516,084 | ||||||||
5,600 | China International Capital Corp., Ltd. Class H* 144A | 8,476 | ||||||||
2,206,000 | China Life Insurance Co., Ltd. Class H | 5,443,508 | ||||||||
51,500 | China Merchants Bank Co., Ltd. Class H | 108,225 | ||||||||
5,390,000 | China Petroleum & Chemical Corp. Class H | 3,543,972 | ||||||||
2,759,000 | China Shenhua Energy Co., Ltd. Class H | 4,346,646 | ||||||||
204,000 | China Southern Airlines Co., Ltd. Class H | 128,872 | ||||||||
138,000 | China Vanke Co., Ltd. Class H | 338,393 | ||||||||
838,000 | Chongqing Rural Commercial Bank Co., Ltd. Class H | 442,955 | ||||||||
105,000 | Dalian Wanda Commercial Properties Co., Ltd. Class H | 621,346 | ||||||||
4,502,000 | Dongfeng Motor Group Co., Ltd. Class H | 5,612,591 |
118 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
799,000 | Great Wall Motor Co., Ltd. Class H | 648,961 | ||||||||
2,032,400 | Guangzhou R&F Properties Co., Ltd. Class H | 2,903,223 | ||||||||
95,200 | Haitong Securities Co., Ltd. Class H | 162,501 | ||||||||
236,000 | Huadian Power International Corp., Ltd. Class H | 149,391 | ||||||||
7,968,000 | Huaneng Power International, Inc. Class H | 7,108,645 | ||||||||
36,176,000 | Industrial & Commercial Bank of China Class H | 20,288,092 | ||||||||
2,704,000 | Jiangsu Expressway Co., Ltd. Class H | 3,646,446 | ||||||||
2,453,000 | Jiangxi Copper Co., Ltd. Class H | 2,950,602 | ||||||||
4,897,000 | People’s Insurance Co. Group of China, Ltd. (The) Class H | 2,070,787 | ||||||||
3,646,760 | PICC Property & Casualty Co., Ltd. Class H | 6,694,969 | ||||||||
2,620,000 | Sinopec Engineering Group Co., Ltd. Class H | 2,131,386 | ||||||||
2,438,000 | Sinopec Shanghai Petrochemical Co., Ltd. Class H* | 1,235,258 | ||||||||
1,879,200 | Sinopharm Group Co., Ltd. Class H | 8,443,202 | ||||||||
1,193,000 | TravelSky Technology, Ltd. Class H | 1,959,482 | ||||||||
1,193,000 | Weichai Power Co., Ltd. Class H | 1,330,417 | ||||||||
376,000 | Zhejiang Expressway Co., Ltd. Class H | 401,374 | ||||||||
194,000 | Zhuzhou CSR Times Electric Co., Ltd. Class H | 1,130,503 | ||||||||
|
| |||||||||
Total China | 137,286,505 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
211,807 | Cementos Argos SA | 819,506 | ||||||||
272,341 | Interconexion Electrica SA ESP | 784,395 | ||||||||
|
| |||||||||
Total Colombia | 1,603,901 | |||||||||
|
| |||||||||
Czech Republic — 0.2% | ||||||||||
12,449 | Komercni Banka AS | 2,753,490 | ||||||||
|
| |||||||||
Denmark — 0.3% | ||||||||||
29,074 | Carlsberg AS Class B‡ | 2,774,903 | ||||||||
|
| |||||||||
Hong Kong — 5.1% | ||||||||||
1,382,200 | AIA Group, Ltd. | 7,831,793 | ||||||||
206,000 | China Everbright International, Ltd. | 230,791 | ||||||||
774,000 | China Everbright, Ltd. | 1,616,543 | ||||||||
100,000 | China Merchants Holdings International Co., Ltd. | 296,524 | ||||||||
140,372 | China Mobile, Ltd., Sponsored ADR | 7,783,627 | ||||||||
1,668,500 | China Mobile, Ltd. | 18,585,376 | ||||||||
2,202,658 | China Overseas Land & Investment, Ltd. | 6,971,560 | ||||||||
814,000 | China Power International Development, Ltd. | 423,972 | ||||||||
2,941,431 | China Resources Power Holdings Co., Ltd. | 5,475,922 | ||||||||
446,000 | China Taiping Insurance Holdings Co., Ltd.* | 978,646 | ||||||||
1,581,000 | CNOOC, Ltd. | 1,869,100 | ||||||||
3,122,000 | CSPC Pharmaceutical Group, Ltd. | 2,821,515 | ||||||||
441,000 | Far East Horizon, Ltd. | 339,425 | ||||||||
471,772 | Guangdong Investment, Ltd. | 597,276 | ||||||||
1,069,000 | Shanghai Industrial Holdings, Ltd. | 2,505,550 | ||||||||
184,000 | Sino-Ocean Land Holdings, Ltd. | 87,534 | ||||||||
|
| |||||||||
Total Hong Kong | 58,415,154 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 119 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Hungary — 0.7% | ||||||||||
239,877 | OTP Bank Nyrt | 6,025,955 | ||||||||
120,814 | Richter Gedeon Nyrt | 2,409,660 | ||||||||
|
| |||||||||
Total Hungary | 8,435,615 | |||||||||
|
| |||||||||
India — 7.8% | ||||||||||
721,892 | Aurobindo Pharma, Ltd. | 8,121,251 | ||||||||
73,260 | Bajaj Auto, Ltd. | 2,657,538 | ||||||||
34,390 | Bharat Petroleum Corp., Ltd. | 470,157 | ||||||||
152,777 | Cipla, Ltd. | 1,185,580 | ||||||||
161,039 | Coal India, Ltd. | 710,203 | ||||||||
46,146 | Divi’s Laboratories, Ltd. | 689,168 | ||||||||
85,750 | Dr. Reddy’s Laboratories, Ltd., ADR‡ | 3,875,043 | ||||||||
1,348 | Eicher Motors, Ltd. | 390,828 | ||||||||
20,904 | Glenmark Pharmaceuticals, Ltd. | 250,952 | ||||||||
25,827 | Godrej Consumer Products, Ltd. | 538,575 | ||||||||
608,360 | HCL Technologies, Ltd. Class T | 7,472,385 | ||||||||
5,198 | Hero MotoCorp Ltd. | 230,769 | ||||||||
134,080 | Hindustan Unilever, Ltd. | 1,766,947 | ||||||||
46,620 | Housing Development Finance Corp., Ltd. | 779,317 | ||||||||
474,952 | Idea Cellular, Ltd. | 806,140 | ||||||||
445,874 | Indiabulls Housing Finance, Ltd. | 4,376,430 | ||||||||
567,701 | Infosys, Ltd. | 10,458,609 | ||||||||
305,809 | Infosys, Ltd., Sponsored ADR | 5,816,487 | ||||||||
1,061,612 | ITC, Ltd. | 5,250,148 | ||||||||
1,682,431 | JSW Energy, Ltd. | 1,765,698 | ||||||||
67,132 | LIC Housing Finance, Ltd. | 497,743 | ||||||||
183,890 | Marico, Ltd. | 680,328 | ||||||||
310,057 | Motherson Sumi Systems, Ltd. | 1,231,379 | ||||||||
5,268 | Nestle India, Ltd. | 453,435 | ||||||||
982,003 | Oil & Natural Gas Corp., Ltd. | 3,175,597 | ||||||||
572,466 | Power Finance Corp., Ltd. | 1,479,953 | ||||||||
22,332 | Reliance Industries, Ltd. (London Exchange), GDR 144A | 684,476 | ||||||||
982,688 | Rural Electrification Corp., Ltd. | 2,466,273 | ||||||||
8,140 | Siemens, Ltd. | 134,719 | ||||||||
19,585 | State Bank of India, Ltd., Reg S, GDR‡‡‡ | 573,841 | ||||||||
74,119 | Sun Pharmaceutical Industries, Ltd. | 924,606 | ||||||||
212,088 | Tata Consultancy Services, Ltd. | 8,102,724 | ||||||||
540,690 | Tata Motors, Ltd.* | 3,173,637 | ||||||||
36,953 | Tata Motors, Ltd., Sponsored ADR* ‡ | 1,073,485 | ||||||||
597,668 | Wipro, Ltd. | 5,117,711 | ||||||||
114,614 | Wipro, Ltd., ADR‡ | 1,441,844 | ||||||||
49,794 | Zee Entertainment Enterprises, Ltd.¤ | 291,068 | ||||||||
|
| |||||||||
Total India | 89,115,044 | |||||||||
|
| |||||||||
Indonesia — 2.3% | ||||||||||
4,346,300 | Astra International Tbk PT | 2,376,371 | ||||||||
1,209,900 | Bank Central Asia Tbk PT | 1,213,550 | ||||||||
292,000 | Bank Mandiri Persero Tbk PT | 226,817 | ||||||||
2,595,500 | Bank Negara Indonesia Persero Tbk PT | 1,017,843 |
120 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Indonesia — continued | ||||||||||
971,400 | Bank Rakyat Indonesia Persero Tbk PT | 836,972 | ||||||||
1,507,400 | Indofood Sukses Makmur Tbk PT | 821,340 | ||||||||
23,089,600 | Kalbe Farma Tbk PT | 2,516,174 | ||||||||
3,370,500 | Lippo Karawaci Tbk PT | 265,624 | ||||||||
409,500 | Matahari Department Store Tbk PT | 566,691 | ||||||||
41,985,800 | Telekomunikasi Indonesia Persero Tbk PT | 10,528,113 | ||||||||
32,145 | Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR | 1,634,573 | ||||||||
190,400 | Unilever Indonesia Tbk PT | 616,359 | ||||||||
3,049,610 | United Tractors Tbk PT | 3,518,781 | ||||||||
|
| |||||||||
Total Indonesia | 26,139,208 | |||||||||
|
| |||||||||
Luxembourg — 0.2% | ||||||||||
116,345 | Ternium SA, Sponsored ADR | 2,091,883 | ||||||||
|
| |||||||||
Malaysia — 1.3% | ||||||||||
8,537,815 | AirAsia Bhd | 4,004,665 | ||||||||
2,049,900 | AMMB Holdings Bhd | 2,416,901 | ||||||||
414,100 | Astro Malaysia Holdings Bhd | 317,355 | ||||||||
914,900 | Axiata Group Bhd | 1,381,202 | ||||||||
930,500 | Berjaya Sports Toto Bhd | 753,654 | ||||||||
387,200 | Genting Bhd | 972,590 | ||||||||
106,900 | Genting Malaysia Bhd | 124,395 | ||||||||
421,100 | IHH Healthcare Bhd | 708,039 | ||||||||
275,000 | IJM Corp. Bhd | 248,814 | ||||||||
462,200 | Malayan Banking Bhd | 1,068,575 | ||||||||
859,400 | Petronas Chemicals Group Bhd | 1,478,040 | ||||||||
27,000 | Petronas Dagangan Bhd | 166,782 | ||||||||
199,700 | Public Bank Bhd | 961,263 | ||||||||
159,700 | Tenaga Nasional Bhd | 570,606 | ||||||||
|
| |||||||||
Total Malaysia | 15,172,881 | |||||||||
|
| |||||||||
Malta — 0.1% | ||||||||||
58,362 | Brait SE* | 662,663 | ||||||||
|
| |||||||||
Mexico — 3.8% | ||||||||||
678,300 | Alfa SAB de CV Class A | 1,376,172 | ||||||||
43,252 | America Movil SAB de CV Series L, Sponsored ADR‡ | 671,704 | ||||||||
3,382,800 | America Movil SAB de CV Series L | 2,652,906 | ||||||||
126,000 | Arca Continental SAB de CV | 881,748 | ||||||||
78,416 | Cemex SAB de CV, Sponsored ADR* | 570,869 | ||||||||
29,300 | El Puerto de Liverpool SAB de CV | 348,996 | ||||||||
419,400 | Fibra Uno Administracion SA de CV REIT | 983,541 | ||||||||
280,400 | Fomento Economico Mexicano SAB de CV | 2,724,524 | ||||||||
78,382 | Fomento Economico Mexicano SAB de CV, Sponsored ADR | 7,548,970 | ||||||||
834,200 | Gentera SAB de CV | 1,659,857 | ||||||||
207,600 | Gruma SAB de CV Class B | 3,319,008 | ||||||||
171,700 | Grupo Aeroportuario del Pacifico SAB de CV Class B | 1,540,794 | ||||||||
21,236 | Grupo Aeroportuario del Sureste SAB de CV, ADR | 3,189,010 | ||||||||
735,599 | Grupo Financiero Banorte SAB de CV Series O | 4,202,564 |
See accompanying Notes to the Financial Statements. | 121 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
1,049,240 | Grupo GICSA SA de CV* | 842,441 | ||||||||
253,500 | Grupo Lala SAB de CV | 694,628 | ||||||||
1,643,639 | Grupo Mexico SAB de CV Series B | 3,997,425 | ||||||||
48,200 | Grupo Televisa SAB, Sponsored ADR | 1,323,572 | ||||||||
657,800 | Kimberly-Clark de Mexico SAB de CV Class A | 1,602,111 | ||||||||
555,800 | OHL Mexico SAB de CV* | 886,997 | ||||||||
1,294,300 | Wal-Mart de Mexico SAB de CV | 3,088,904 | ||||||||
|
| |||||||||
Total Mexico | 44,106,741 | |||||||||
|
| |||||||||
Netherlands — 0.1% | ||||||||||
225,863 | Steinhoff International Holdings NV | 1,487,274 | ||||||||
|
| |||||||||
Philippines — 0.5% | ||||||||||
2,187,319 | Metropolitan Bank & Trust Co. | 3,916,700 | ||||||||
50,320 | Philippine Long Distance Telephone Co. | 2,163,831 | ||||||||
|
| |||||||||
Total Philippines | 6,080,531 | |||||||||
|
| |||||||||
Poland — 0.6% | ||||||||||
24,139 | Alior Bank SA* | 421,309 | ||||||||
4,790 | Bank Pekao SA | 211,965 | ||||||||
114,445 | Energa SA | 403,120 | ||||||||
124,295 | Eurocash SA | 1,781,654 | ||||||||
218,065 | Orange Polska SA | 394,895 | ||||||||
397,884 | PGE Polska Grupa Energetyczna SA | 1,494,510 | ||||||||
810,321 | Polskie Gornictwo Naftowe i Gazownictwo SA | 1,158,255 | ||||||||
129,323 | Powszechna Kasa Oszczednosci Bank Polski SA* | 965,953 | ||||||||
|
| |||||||||
Total Poland | 6,831,661 | |||||||||
|
| |||||||||
Qatar — 0.7% | ||||||||||
118,175 | Commercial Bank QSC (The) | 1,351,675 | ||||||||
45,881 | Industries Qatar QSC | 1,364,561 | ||||||||
25,611 | Ooredoo QSC | 654,095 | ||||||||
118,270 | Qatar National Bank SAQ | 4,573,081 | ||||||||
|
| |||||||||
Total Qatar | 7,943,412 | |||||||||
|
| |||||||||
Romania — 0.1% | ||||||||||
39,231 | New Europe Property Investments Plc | 500,977 | ||||||||
|
| |||||||||
Russia — 1.9% | ||||||||||
487,555 | Gazprom PAO, Sponsored ADR | 2,102,825 | ||||||||
906,947 | Gazprom PAO (OTC Exchange), Sponsored ADR‡ | 3,908,942 | ||||||||
50,065 | LUKOIL PJSC (Euroclear Shares), Sponsored ADR | 1,923,247 | ||||||||
24,182 | MegaFon PJSC, Reg S, (London Exchange), GDR‡‡‡ | 266,002 | ||||||||
183,167 | MMC Norilsk Nickel PJSC, ADR | 2,373,844 | ||||||||
60,473 | MMC Norilsk Nickel PJSC, (London Exchange), ADR | 780,706 | ||||||||
7,128 | NOVATEK OAO, Reg S, GDR‡‡‡ | 640,451 | ||||||||
439,370 | Rosneft Oil Co., Reg S, GDR‡‡‡ | 1,995,619 | ||||||||
92,659 | Rosneft Oil Co., Reg S, (London Exchange), GDR‡‡‡ | 420,857 |
122 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Russia — continued | ||||||||||
85,321 | Severstal PAO, Reg S, GDR‡‡‡ | 902,696 | ||||||||
293,937 | Sistema JSFC, Reg S, GDR‡‡‡ | 1,898,833 | ||||||||
137,124 | Surgutneftegas OAO, Sponsored ADR | 799,433 | ||||||||
115,501 | Tatneft PAO, Sponsored ADR‡ | 3,749,162 | ||||||||
9,788 | Tatneft PAO (London Exchange), Sponsored ADR | 311,650 | ||||||||
|
| |||||||||
Total Russia | 22,074,267 | |||||||||
|
| |||||||||
South Africa — 4.3% | ||||||||||
41,638 | Aspen Pharmacare Holdings, Ltd.* | 906,422 | ||||||||
244,982 | Barclays Africa Group, Ltd.‡ | 2,491,627 | ||||||||
1,269,075 | FirstRand, Ltd.‡ | 4,173,590 | ||||||||
137,582 | Foschini Group, Ltd. (The) | 1,323,062 | ||||||||
390,382 | Growthpoint Properties, Ltd. | 652,141 | ||||||||
36,256 | Hyprop Investments, Ltd. REIT | 290,063 | ||||||||
80,065 | Imperial Holdings, Ltd.‡ | 818,723 | ||||||||
214,864 | Investec, Ltd. | 1,605,637 | ||||||||
155,971 | Liberty Holdings, Ltd.‡ | 1,533,093 | ||||||||
1,546,748 | MMI Holdings, Ltd.‡ | 2,618,577 | ||||||||
206,140 | Mondi, Ltd. | 3,979,141 | ||||||||
577,451 | MTN Group, Ltd.‡ | 5,308,089 | ||||||||
28,391 | Naspers, Ltd. Class N | 3,978,369 | ||||||||
473,306 | Netcare, Ltd. | 1,161,704 | ||||||||
56,247 | Pick n Pay Stores, Ltd.‡ | 268,615 | ||||||||
728,346 | Redefine Properties, Ltd. | 593,254 | ||||||||
39,012 | Remgro, Ltd. | 663,586 | ||||||||
29,715 | Resilient, Ltd. REIT | 273,835 | ||||||||
259,450 | RMB Holdings, Ltd.‡ | 1,080,630 | ||||||||
130,394 | Sasol, Ltd. | 3,914,480 | ||||||||
47,794 | Shoprite Holdings, Ltd. | 564,182 | ||||||||
216,048 | Spar Group, Ltd. (The) | 2,923,141 | ||||||||
229,885 | Standard Bank Group, Ltd. | 2,070,653 | ||||||||
340,272 | Telkom SA SOC, Ltd. | 1,331,891 | ||||||||
363,648 | Truworths International, Ltd.‡ | 2,428,441 | ||||||||
957,865 | Tsogo Sun Holdings, Ltd. | 1,539,565 | ||||||||
85,496 | Woolworths Holdings, Ltd. | 521,242 | ||||||||
|
| |||||||||
Total South Africa | 49,013,753 | |||||||||
|
| |||||||||
South Korea — 12.4% | ||||||||||
376 | Amorepacific Corp. | 127,076 | ||||||||
2,447 | AMOREPACIFIC Group | 313,471 | ||||||||
25,143 | Celltrion, Inc.* ‡ | 2,414,045 | ||||||||
4,524 | CJ CheilJedang Corp. | 1,374,685 | ||||||||
1,083 | CJ Corp. | 185,140 | ||||||||
36,247 | Coway Co., Ltd. | 3,058,618 | ||||||||
171,800 | Daewoo International Corp. | 3,244,911 | ||||||||
44,818 | Daewoo Securities Co., Ltd. | 324,104 | ||||||||
28,287 | DGB Financial Group, Inc. | 220,142 | ||||||||
70,850 | Dongbu Insurance Co., Ltd. | 4,702,269 | ||||||||
34,729 | Hana Financial Group, Inc. | 753,130 |
See accompanying Notes to the Financial Statements. | 123 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
5,058 | Hanmi Science Co., Ltd. | 659,008 | ||||||||
226,601 | Hanon Systems | 1,822,953 | ||||||||
54,385 | Hanwha Chemical Corp. | 1,186,521 | ||||||||
103,612 | Hanwha Corp. | 3,216,357 | ||||||||
331,987 | Hanwha Life Insurance Co., Ltd. | 1,945,010 | ||||||||
16,281 | Hyundai Department Store Co., Ltd. | 1,957,535 | ||||||||
11,313 | Hyundai Development Co-Engineering & Construction | 454,558 | ||||||||
12,048 | Hyundai Engineering & Construction Co., Ltd. | 444,057 | ||||||||
107,659 | Hyundai Marine & Fire Insurance Co., Ltd. | 3,125,462 | ||||||||
6,821 | Hyundai Mobis Co., Ltd. | 1,485,160 | ||||||||
41,969 | Hyundai Motor Co. | 5,596,601 | ||||||||
5,729 | Hyundai Wia Corp. | 526,010 | ||||||||
209,167 | Kangwon Land, Inc. | 7,480,702 | ||||||||
185,654 | KB Financial Group, Inc. | 5,170,584 | ||||||||
156,033 | Kia Motors Corp. | 6,590,061 | ||||||||
110,920 | Korea Electric Power Corp. | 5,838,916 | ||||||||
3,458 | Korea Investment Holdings Co., Ltd. | 132,895 | ||||||||
56,772 | Korean Air Lines Co., Ltd.* | 1,538,940 | ||||||||
162,624 | Korean Reinsurance Co. | 1,983,740 | ||||||||
57,325 | KT&G Corp. | 5,513,947 | ||||||||
5,617 | LG Chem, Ltd. | 1,608,576 | ||||||||
38,059 | LG Corp. | 2,279,679 | ||||||||
17,658 | LG Display Co., Ltd. | 410,723 | ||||||||
4,807 | LG Household & Health Care, Ltd. | 3,972,206 | ||||||||
61,444 | LG Uplus Corp. | 593,701 | ||||||||
15,637 | Lotte Chemical Corp. | 4,669,496 | ||||||||
285 | NAVER Corp. | 158,749 | ||||||||
26,885 | NCSoft Corp. | 5,959,555 | ||||||||
1,204 | Orion Corp. Republic of South Korea | 962,273 | ||||||||
22,668 | S-1 Corp. | 1,752,231 | ||||||||
11,073 | Samsung Card Co., Ltd. | 364,549 | ||||||||
16,005 | Samsung Electronics Co., Ltd. | 18,361,805 | ||||||||
17,536 | Samsung Electronics Co., Ltd., GDR* | 9,986,752 | ||||||||
58,635 | Samsung Life Insurance Co., Ltd. | 6,024,495 | ||||||||
19,251 | Shinhan Financial Group Co., Ltd. | 681,764 | ||||||||
12,100 | Shinsegae Co., Ltd. | 2,147,866 | ||||||||
103,720 | SK Hynix, Inc. | 2,553,094 | ||||||||
16,164 | SK Innovation Co., Ltd. | 2,431,102 | ||||||||
19,531 | SK Networks Co., Ltd. | 109,303 | ||||||||
20,493 | SK Telecom Co., Ltd. | 3,736,263 | ||||||||
55,240 | Woori Bank | 456,952 | ||||||||
|
| |||||||||
Total South Korea | 142,607,742 | |||||||||
|
| |||||||||
Taiwan — 12.7% | ||||||||||
2,724,000 | Advanced Semiconductor Engineering, Inc. | 3,169,705 | ||||||||
464,000 | Asustek Computer, Inc. | 4,166,542 | ||||||||
1,535,000 | AU Optronics Corp. | 461,206 | ||||||||
394,000 | Catcher Technology Co., Ltd. | 3,231,917 | ||||||||
72,000 | Cathay Financial Holding Co., Ltd. | 86,242 |
124 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
820,000 | Cheng Shin Rubber Industry Co., Ltd. | 1,648,459 | ||||||||
84,855 | Chicony Electronics Co., Ltd. | 218,307 | ||||||||
3,180,000 | China Airlines, Ltd.* | 1,136,279 | ||||||||
1,287,000 | China Development Financial Holding Corp. | 343,904 | ||||||||
2,167,820 | China Life Insurance Co., Ltd. | 1,667,088 | ||||||||
6,828,000 | Compal Electronics, Inc. | 4,285,533 | ||||||||
13,849,109 | CTBC Financial Holding Co., Ltd. | 7,315,276 | ||||||||
8,249,741 | E.Sun Financial Holding Co., Ltd. | 4,613,949 | ||||||||
57,000 | Eclat Textile Co., Ltd. | 750,047 | ||||||||
1,581,000 | Eva Airways Corp.* | 884,228 | ||||||||
381,000 | Far EasTone Telecommunications Co., Ltd. | 853,533 | ||||||||
253,000 | Feng TAY Enterprise Co., Ltd. | 1,344,239 | ||||||||
1,338,030 | Foxconn Technology Co., Ltd. | 3,001,671 | ||||||||
3,712,997 | Fubon Financial Holding Co., Ltd. | 4,730,079 | ||||||||
1,867,000 | Highwealth Construction Corp. | 2,726,479 | ||||||||
8,447,005 | Hon Hai Precision Industry Co., Ltd. | 22,256,588 | ||||||||
417,000 | HTC Corp. | 1,194,612 | ||||||||
4,688,000 | Innolux Corp. | 1,638,702 | ||||||||
212,000 | Inotera Memories, Inc.* | 192,015 | ||||||||
18,000 | Largan Precision Co., Ltd. | 1,395,414 | ||||||||
1,508,174 | Lite-On Technology Corp. | 1,841,637 | ||||||||
362,000 | Merida Industry Co., Ltd. | 1,602,815 | ||||||||
1,372,000 | Nan Ya Plastics Corp. | 2,881,780 | ||||||||
2,331,000 | Pegatron Corp. | 5,439,290 | ||||||||
996,000 | Pou Chen Corp. | 1,268,829 | ||||||||
2,362,000 | Powertech Technology, Inc. | 5,357,507 | ||||||||
168,000 | President Chain Store Corp. | 1,224,087 | ||||||||
1,123,060 | Radiant Opto-Electronics Corp. | 2,177,447 | ||||||||
1,220,000 | Shin Kong Financial Holding Co., Ltd. | 244,879 | ||||||||
195,000 | Siliconware Precision Industries Co., Ltd. | 315,063 | ||||||||
480,000 | Simplo Technology Co., Ltd. | 1,722,595 | ||||||||
633,490 | SinoPac Financial Holdings Co., Ltd. | 195,850 | ||||||||
6,047,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 30,437,919 | ||||||||
391,596 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 10,259,815 | ||||||||
180,000 | Teco Electric and Machinery Co., Ltd. | 146,812 | ||||||||
67,015 | Uni-President Enterprises Corp. | 117,647 | ||||||||
1,190,000 | Vanguard International Semiconductor Corp. | 1,859,837 | ||||||||
2,887,000 | WPG Holdings, Ltd. | 3,076,811 | ||||||||
6,191,926 | Yuanta Financial Holding Co., Ltd. | 2,212,502 | ||||||||
|
| |||||||||
Total Taiwan | 145,695,136 | |||||||||
|
| |||||||||
Thailand — 1.6% | ||||||||||
165,000 | Bangkok Bank PCL, NVDR | 844,230 | ||||||||
1,669,000 | Banpu PCL‡ | 792,277 | ||||||||
119,100 | Bumrungrad Hospital PCL, NVDR | 717,715 | ||||||||
291,200 | Delta Electronics Thailand PCL, NVDR | 720,137 | ||||||||
435,200 | Indorama Ventures PCL, NVDR | 282,051 | ||||||||
144,900 | Kasikornbank PCL, NVDR | 712,555 | ||||||||
1,940,200 | Krung Thai Bank PCL, NVDR | 1,031,317 |
See accompanying Notes to the Financial Statements. | 125 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
2,041,300 | PTT Global Chemical PCL | 3,510,479 | ||||||||
1,699,900 | PTT Global Chemical PCL, NVDR | 2,923,364 | ||||||||
304,650 | Siam Cement PCL (The) | 4,052,763 | ||||||||
42,200 | Siam Cement PCL (The), NVDR | 558,988 | ||||||||
50,600 | Thai Oil PCL, NVDR | 99,604 | ||||||||
3,841,000 | Thai Union Group PCL, NVDR | 2,281,890 | ||||||||
2,557,200 | TMB Bank PCL, NVDR | 183,176 | ||||||||
|
| |||||||||
Total Thailand | 18,710,546 | |||||||||
|
| |||||||||
Turkey — 2.0% | ||||||||||
226,227 | Arcelik AS | 1,539,407 | ||||||||
5,004,984 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 5,101,504 | ||||||||
505,611 | Eregli Demir ve Celik Fabrikalari TAS | 761,370 | ||||||||
75,913 | Ford Otomotiv Sanayi AS | 1,001,317 | ||||||||
543,846 | TAV Havalimanlari Holding AS | 3,246,813 | ||||||||
163,650 | Tofas Turk Otomobil Fabrikasi AS | 1,328,636 | ||||||||
31,235 | Tupras Turkiye Petrol Rafinerileri AS* | 880,242 | ||||||||
206,350 | Turk Hava Yollari AO* | 570,894 | ||||||||
413,167 | Turk Telekomunikasyon AS | 980,202 | ||||||||
590,063 | Turkcell Iletisim Hizmetleri AS | 2,483,307 | ||||||||
314,218 | Turkiye Garanti Bankasi AS | 919,543 | ||||||||
696,443 | Turkiye Halk Bankasi AS | 2,589,679 | ||||||||
1,058,455 | Turkiye Is Bankasi | 1,751,749 | ||||||||
226,313 | Turkiye Sise ve Cam Fabrikalari AS | 294,174 | ||||||||
|
| |||||||||
Total Turkey | 23,448,837 | |||||||||
|
| |||||||||
United Arab Emirates — 1.3% | ||||||||||
459,148 | Abu Dhabi Commercial Bank PJSC | 837,542 | ||||||||
9,238,467 | Aldar Properties PJSC | 6,916,903 | ||||||||
3,141,164 | Emaar Properties PJSC | 5,148,327 | ||||||||
514,672 | First Gulf Bank PJSC | 1,646,446 | ||||||||
|
| |||||||||
Total United Arab Emirates | 14,549,218 | |||||||||
|
| |||||||||
United Kingdom — 1.1% | ||||||||||
284,849 | Mondi Plc | 5,469,764 | ||||||||
1,792,144 | Old Mutual Plc | 4,993,341 | ||||||||
79,468 | Wizz Air Holdings Plc* 144A | 2,102,778 | ||||||||
|
| |||||||||
Total United Kingdom | 12,565,883 | |||||||||
|
| |||||||||
United States — 0.2% | ||||||||||
30,036 | Cognizant Technology Solutions Corp. Class A* | 1,883,257 | ||||||||
13,900 | Southern Copper Corp.‡ | 385,169 | ||||||||
|
| |||||||||
Total United States | 2,268,426 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,040,476,236) | 1,012,554,923 | |||||||||
|
|
126 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
PREFERRED STOCKS — 1.7% | ||||||||||
Brazil — 1.5% | ||||||||||
524,400 | Banco Bradesco SA, 4.83% | 4,005,504 | ||||||||
793,444 | Bradespar SA, 17.17% | 1,370,169 | ||||||||
433,500 | Braskem SA, 5.47% | 2,863,497 | ||||||||
115,000 | Cia Brasileira de Distribuicao Grupo Pao de Acucar, 2.54% | 1,617,593 | ||||||||
48,300 | Cia Energetica de Sao Paulo, 32.11% | 216,151 | ||||||||
166,200 | Cia Paranaense de Energia, 3.49% | 1,343,575 | ||||||||
961,760 | Itausa - Investimentos Itau SA, 5.73% | 2,217,150 | ||||||||
1,424,400 | Petroleo Brasileiro SA, 0.0%* | 3,356,021 | ||||||||
|
| |||||||||
Total Brazil | 16,989,660 | |||||||||
|
| |||||||||
Chile — 0.1% | ||||||||||
78,839 | Sociedad Quimica y Minera de Chile SA, 2.36% Class B | 1,630,152 | ||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
92,095 | Bancolombia SA, 3.28% | 793,608 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $21,201,364) | 19,413,420 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 12.4% | ||||||||||
Bank Deposit — 8.8% | ||||||||||
101,521,449 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 101,521,449 | ||||||||
|
| |||||||||
Investment Fund — 0.3% | ||||||||||
3,760,000 | State Street Institutional Treasury Plus Money Market Fund, Premier Class***** | 3,760,000 | ||||||||
|
| |||||||||
Securities Lending Collateral — 3.3% | ||||||||||
37,754,026 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 37,754,026 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $143,035,475) | 143,035,475 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.2% (Cost $1,204,713,075) | 1,175,003,818 | |||||||||
Other Assets and Liabilities (net) — (2.2)% | (24,867,465 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,150,136,353 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 127 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Notes to Schedule of Investments: | ||||||
ADR — American Depository Receipt | ||||||
GDR — Global Depository Receipt | ||||||
NVDR — Non-Voting Depository Receipt | ||||||
REIT — Real Estate Investment Trust | ||||||
* | Non-income producing security | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
***** | Security has been segregated to cover collateral requirements on open synthetic futures contracts. | |||||
¤ | Illiquid security. The total market value of the securities at year end is $291,068 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $297,008. | |||||
‡ | All or a portion of this security is out on loan. | |||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $11,331,058 which represents 1.0% of net assets. |
128 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
06/15/16 | BRL | Citibank N.A. London | 176,800,000 | $ | 48,922,987 | $ | 2,087,784 | |||||||||||||
06/15/16 | CLP | Citibank N.A. London | 10,249,196,000 | 15,223,560 | 533,903 | |||||||||||||||
06/15/16 | COP | Citibank N.A. London | 27,400,000,000 | 9,059,845 | 445,270 | |||||||||||||||
06/15/16 | CZK | Citibank N.A. London | 311,310,000 | 13,139,846 | 588,900 | |||||||||||||||
06/15/16 | HKD | Citibank N.A. London | 77,071,000 | 9,940,742 | 15,456 | |||||||||||||||
06/15/16 | HUF | Citibank N.A. London | 5,625,097,000 | 20,378,590 | 533,366 | |||||||||||||||
06/15/16 | IDR | Citibank N.A. London | 95,446,049,225 | 7,117,116 | 74,644 | |||||||||||||||
06/15/16 | ILS | Citibank N.A. London | 19,520,000 | 5,200,575 | 166,605 | |||||||||||||||
06/15/16 | INR | Citibank N.A. London | 742,746,000 | 11,071,345 | 242,939 | |||||||||||||||
06/15/16 | KRW | Citibank N.A. London | 13,630,000,000 | 11,896,509 | 122,054 | |||||||||||||||
06/15/16 | MXN | Citibank N.A. London | 322,000,000 | 18,667,814 | 720,157 | |||||||||||||||
06/15/16 | MYR | Citibank N.A. London | 115,410,000 | 29,413,590 | 1,498,142 | |||||||||||||||
06/15/16 | PEN | Citibank N.A. London | 1,658,000 | 494,017 | 18,625 | |||||||||||||||
06/15/16 | PHP | Citibank N.A. London | 71,000,000 | 1,535,672 | 23,840 | |||||||||||||||
06/15/16 | PLN | Citibank N.A. London | 17,000,000 | 4,563,014 | 208,747 | |||||||||||||||
06/15/16 | SGD | Citibank N.A. London | 1,294,000 | 960,564 | 42,194 | |||||||||||||||
06/15/16 | THB | Citibank N.A. London | 18,000,000 | 510,806 | (1,223 | ) | ||||||||||||||
06/15/16 | TRY | Citibank N.A. London | 101,481,000 | 35,315,337 | 1,682,581 | |||||||||||||||
06/15/16 | ZAR | Citibank N.A. London | 69,176,000 | 4,636,906 | 356,969 | |||||||||||||||
|
| |||||||||||||||||||
$ | 9,360,953 | |||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
06/15/16 | BRL | Citibank N.A. London | 78,047,000 | $ | 21,596,676 | $ | (2,443,069 | ) | ||||||||||||
06/15/16 | CLP | Citibank N.A. London | 1,830,000,000 | 2,718,176 | (58,661 | ) | ||||||||||||||
06/15/16 | COP | Citibank N.A. London | 1,513,000,000 | 500,275 | (45,007 | ) | ||||||||||||||
06/15/16 | CZK | Citibank N.A. London | 116,000,000 | 4,896,156 | (136,792 | ) | ||||||||||||||
06/15/16 | HKD | Citibank N.A. London | 42,100,000 | 5,430,126 | (5,789 | ) | ||||||||||||||
06/15/16 | HUF | Citibank N.A. London | 2,760,000,000 | 9,998,922 | (80,563 | ) | ||||||||||||||
06/15/16 | IDR | Citibank N.A. London | 6,000,000,000 | 447,401 | 927 | |||||||||||||||
06/15/16 | ILS | Citibank N.A. London | 21,000,000 | 5,594,881 | (135,663 | ) | ||||||||||||||
06/15/16 | KRW | Citibank N.A. London | 20,167,206,000 | 17,602,299 | (1,015,844 | ) | ||||||||||||||
06/15/16 | MXN | Citibank N.A. London | 919,337,000 | 53,298,175 | (2,297,095 | ) | ||||||||||||||
06/15/16 | MYR | Citibank N.A. London | 25,900,000 | 6,600,918 | (284,576 | ) | ||||||||||||||
06/15/16 | PEN | Citibank N.A. London | 300,000 | 89,388 | (2,807 | ) | ||||||||||||||
06/15/16 | PHP | Citibank N.A. London | 581,100,000 | 12,568,718 | (396,063 | ) | ||||||||||||||
06/15/16 | PLN | Citibank N.A. London | 39,026,000 | 10,475,070 | (570,250 | ) | ||||||||||||||
06/15/16 | SGD | Citibank N.A. London | 48,840,000 | 36,254,992 | (728,261 | ) | ||||||||||||||
06/15/16 | THB | Citibank N.A. London | 84,055,000 | 2,385,321 | (19,544 | ) | ||||||||||||||
06/15/16 | TRY | Citibank N.A. London | 1,600,000 | 556,799 | (23,433 | ) | ||||||||||||||
06/15/16 | TWD | Citibank N.A. London | 364,530,000 | 11,334,853 | (257,742 | ) | ||||||||||||||
06/15/16 | ZAR | Citibank N.A. London | 130,000,000 | 8,713,973 | (555,114 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (9,055,346 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 129 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Currency Abbreviations
BRL | — Brazilian Real |
CLP | — Chilean Peso |
COP | — Colombian Peso |
CZK | — Czech Koruna |
HKD | — Hong Kong Dollar |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
ILS | — Israeli Shekel |
INR | — Indian Rupee |
KRW | — South Korean Won |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
PEN | — Peruvian Nouveau Sol |
PHP | — Philippines Peso |
PLN | — Polish Zloty |
SGD | — Singapore Dollar |
THB | — Thai Baht |
TRY | — New Turkish Lira |
TWD | — Taiwan Dollar |
ZAR | — South African Rand |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
57 | FTSE Bursa Malaysia KLCI Index | April 2016 | $ | 1,250,961 | $ | 3,369 | ||||||||||||
47 | H-shares Index | April 2016 | 2,727,334 | 91,591 | ||||||||||||||
85 | KOSPI 200 Index | June 2016 | 9,157,048 | 244,957 | ||||||||||||||
1,501 | MSCI Emerging Markets E-mini Index | June 2016 | 62,584,195 | 2,848,435 | ||||||||||||||
136 | MSCI Taiwan Index | April 2016 | 4,379,200 | 30,006 | ||||||||||||||
18 | SET50 Index | June 2016 | 91,954 | 1,262 | ||||||||||||||
|
| |||||||||||||||||
$ | 3,219,620 | |||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
484 | FTSE/JSE Top 40 Index | June 2016 | $ | 15,398,295 | $ | 78,374 | ||||||||||||
3 | Mexico Bolsa Index | June 2016 | 80,389 | (196 | ) | |||||||||||||
305 | SGX Nifty 50 Index | April 2016 | 4,750,375 | (66,175 | ) | |||||||||||||
|
| |||||||||||||||||
$ | 12,003 | |||||||||||||||||
|
|
130 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Synthetic Futures
Number of | Reference Entity | Expiration Date | Counterparty | Notional | Value | |||||||||||||
(376 | ) | SGX Nifty 50 Index | 04/28/2016 | Goldman Sachs International | $ | 2,908,370 | $ | (19,730 | ) | |||||||||
25,000,000 | KOSPI 200 Index | 06/9/2016 | Goldman Sachs International | 4,994,288 | 125,179 | |||||||||||||
(184 | ) | MSCI Singapore Net Return Index | 06/15/2016 | Goldman Sachs International | 593,736 | (5,505 | ) | |||||||||||
(5,961 | ) | MSCI Brazil Net Return Index | 06/15/2016 | Goldman Sachs International | 899,942 | (21,538 | ) | |||||||||||
(18,773 | ) | MSCI South Africa Net Return Index | 06/15/2016 | Goldman Sachs International | 1,105,642 | 7,163 | ||||||||||||
(60 | ) | MSCI Singapore Net Return Index | 06/15/2016 | Goldman Sachs International | 200,271 | 2,856 | ||||||||||||
21,000 | Tel Aviv 25 Index | 04/29/2016 | Goldman Sachs International | 8,101,844 | (202,757 | ) | ||||||||||||
39 | MSCI Turkey Net Return Index | 06/15/2016 | Goldman Sachs International | 12,730 | 731 | |||||||||||||
31,000 | Taiwan Stock Exchange Capitalization Weighted Stock Index | 04/20/2016 | Goldman Sachs International | 8,326,662 | 4,845 | |||||||||||||
(374 | ) | MSCI Singapore Net Return Index | 06/15/2016 | Goldman Sachs International | 1,189,240 | (26,209 | ) | |||||||||||
(154 | ) | MSCI Singapore Net Return Index | 06/15/2016 | Goldman Sachs International | 499,950 | (3,824 | ) | |||||||||||
(105 | ) | Brazil Bovespa Stock Index | 04/13/2016 | Goldman Sachs International | 1,479,269 | 18,655 | ||||||||||||
6 | MSCI Poland Growth Index | 06/15/2016 | Goldman Sachs International | 258 | 6 | |||||||||||||
(3,006 | ) | MSCI Brazil Net Return Index | 06/15/2016 | Goldman Sachs International | 474,328 | 3,624 | ||||||||||||
19,950 | Hang Seng China Enterprises Index | 04/28/2016 | Goldman Sachs International | 22,520,607 | 628,898 | |||||||||||||
(147 | ) | MSCI Singapore Net Return Index | 06/15/2016 | Goldman Sachs International | 485,274 | (2,903 | ) | |||||||||||
(3,203 | ) | MSCI Brazil Net Return Index | 06/15/2016 | Goldman Sachs International | 492,123 | (5,943 | ) | |||||||||||
27,807 | MSCI Poland Growth Index | 06/15/2016 | Goldman Sachs International | 1,152,981 | 57,453 | |||||||||||||
1,300 | BIST 30 Index | 04/29/2016 | Goldman Sachs International | 40,935 | 4,525 | |||||||||||||
|
| |||||||||||||||||
$ | 565,526 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 131 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Banks | 12.7 | ||||
Semiconductors | 7.5 | ||||
Telecommunications | 5.8 | ||||
Diversified Financial Services | 4.8 | ||||
Internet | 4.6 | ||||
Insurance | 4.2 | ||||
Electronics | 3.8 | ||||
Real Estate | 3.8 | ||||
Food | 3.7 | ||||
Computers | 3.4 | ||||
Oil & Gas | 3.3 | ||||
Pharmaceuticals | 2.9 | ||||
Auto Manufacturers | 2.6 | ||||
Beverages | 2.6 | ||||
Retail | 2.4 | ||||
Chemicals | 2.3 | ||||
Electric | 2.2 | ||||
Software | 1.5 | ||||
Forest Products & Paper | 1.1 | ||||
Agriculture | 1.0 | ||||
Airlines | 1.0 | ||||
Commercial Services | 0.9 | ||||
Holding Companies — Diversified | 0.9 | ||||
Mining | 0.9 | ||||
Entertainment | 0.8 | ||||
Engineering & Construction | 0.7 | ||||
Auto Parts & Equipment | 0.6 | ||||
Coal | 0.6 | ||||
Distribution & Wholesale | 0.6 | ||||
Packaging & Containers | 0.5 | ||||
Building Materials | 0.4 | ||||
Health Care — Products | 0.4 | ||||
Home Furnishings | 0.4 | ||||
Household Products & Wares | 0.4 | ||||
Iron & Steel | 0.4 | ||||
Media | 0.4 | ||||
Apparel | 0.3 | ||||
Cosmetics & Personal Care | 0.3 | ||||
Environmental Control | 0.3 | ||||
Gas | 0.3 | ||||
Health Care — Services | 0.3 | ||||
Leisure Time | 0.3 | ||||
Machinery — Construction & Mining | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Biotechnology | 0.2 | ||||
Energy-Alternate Sources | 0.2 | ||||
Lodging | 0.2 | ||||
Oil & Gas Services | 0.2 | ||||
Electrical Components & Equipment | 0.1 | ||||
Machinery — Diversified | 0.1 | ||||
Miscellaneous — Manufacturing | 0.1 |
132 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
REITS | 0.1 | ||||
Water | 0.1 | ||||
Aerospace & Defense | 0.0 | ||||
Home Builders | 0.0 | ||||
Housewares | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 10.2 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 133 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 85.7% | ||||||||||
Australia — 1.0% | ||||||||||
159,989 | Newcrest Mining, Ltd.* | 2,087,293 | ||||||||
551,843 | Telstra Corp., Ltd. | 2,262,612 | ||||||||
323,407 | Woolworths, Ltd. | 5,498,054 | ||||||||
|
| |||||||||
Total Australia | 9,847,959 | |||||||||
|
| |||||||||
Austria — 0.8% | ||||||||||
185 | Agrana Beteiligungs AG | 17,319 | ||||||||
88,327 | BUWOG AG* | 1,900,330 | ||||||||
2,273 | CA Immobilien Anlagen AG* | 44,746 | ||||||||
2,772 | Conwert Immobilien Invest SE* | 44,508 | ||||||||
17,851 | EVN AG | 205,455 | ||||||||
8,568 | Flughafen Wien AG | 937,312 | ||||||||
5,935 | Mayr Melnhof Karton AG | 713,521 | ||||||||
52,296 | Oesterreichische Post AG | 2,129,291 | ||||||||
175,068 | Telekom Austria AG‡ | 1,078,690 | ||||||||
3,299 | Verbund AG‡ | 42,218 | ||||||||
1,301 | Voestalpine AG | 43,595 | ||||||||
|
| |||||||||
Total Austria | 7,156,985 | |||||||||
|
| |||||||||
Belgium — 0.7% | ||||||||||
26,837 | Colruyt SA | 1,565,804 | ||||||||
32,340 | Elia System Operator SA | 1,611,032 | ||||||||
37,837 | Groupe Bruxelles Lambert SA | 3,126,426 | ||||||||
|
| |||||||||
Total Belgium | 6,303,262 | |||||||||
|
| |||||||||
Bermuda — 1.3% | ||||||||||
19,700 | Arch Capital Group, Ltd.* | 1,400,670 | ||||||||
17,400 | Aspen Insurance Holdings, Ltd. | 829,980 | ||||||||
22,300 | Axis Capital Holdings, Ltd. | 1,236,758 | ||||||||
1,100 | Bunge, Ltd. | 62,337 | ||||||||
33,000 | Cheung Kong Infrastructure Holdings, Ltd.‡ | 322,914 | ||||||||
34,000 | Clear Media, Ltd. | 29,369 | ||||||||
286,000 | Emperor International Holdings, Ltd. | 51,990 | ||||||||
10,700 | Endurance Specialty Holdings, Ltd. | 699,138 | ||||||||
7,400 | Everest Re Group, Ltd. | 1,460,982 | ||||||||
34,900 | Genpact, Ltd.* | 948,931 | ||||||||
7,000 | Guoco Group, Ltd. | 74,904 | ||||||||
26,700 | Jardine Matheson Holdings, Ltd. | 1,524,036 | ||||||||
1,000 | Jardine Strategic Holdings, Ltd.‡ | 29,850 | ||||||||
29,800 | Mandarin Oriental International, Ltd. | 40,528 | ||||||||
9,900 | RenaissanceRe Holdings, Ltd. | 1,186,317 | ||||||||
21,100 | Validus Holdings, Ltd. | 995,709 | ||||||||
1,300 | White Mountains Insurance Group, Ltd. | 1,043,380 | ||||||||
5,000 | Wing On Co. International, Ltd. | 14,601 | ||||||||
|
| |||||||||
Total Bermuda | 11,952,394 | |||||||||
|
|
134 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Canada — 4.1% | ||||||||||
34,048 | Agnico-Eagle Mines, Ltd. | 1,236,937 | ||||||||
36,700 | Bank of Montreal | 2,237,836 | ||||||||
7,600 | Bank of Nova Scotia (The)‡ | 372,934 | ||||||||
101,731 | Barrick Gold Corp. | 1,381,507 | ||||||||
62,700 | BCE, Inc. | 2,855,358 | ||||||||
26,600 | Canadian Imperial Bank of Commerce‡ | 1,995,231 | ||||||||
18,838 | Canadian Natural Resources, Ltd.‡ | 511,639 | ||||||||
11,300 | Canadian Tire Corp., Ltd. Class A | 1,181,064 | ||||||||
45,373 | Cenovus Energy, Inc. | 589,849 | ||||||||
22,400 | Cogeco Communications, Inc. | 1,199,447 | ||||||||
9,100 | Cogeco, Inc. | 400,317 | ||||||||
100 | E-L Financial Corp., Ltd. | 53,102 | ||||||||
78,800 | Emera, Inc. | 2,896,248 | ||||||||
78,900 | Empire Co., Ltd. | 1,372,492 | ||||||||
40,900 | First Capital Realty, Inc. | 652,022 | ||||||||
15,321 | Franco-Nevada Corp.‡ | 944,762 | ||||||||
27,500 | George Weston, Ltd. | 2,472,226 | ||||||||
91,156 | Goldcorp, Inc. | 1,479,462 | ||||||||
3,756 | Imperial Oil, Ltd. | 125,999 | ||||||||
16,100 | Manitoba Telecom Services, Inc.‡ | 401,924 | ||||||||
33,500 | North West Co., Inc. (The)‡ | 749,020 | ||||||||
67,229 | Potash Corp. of Saskatchewan, Inc. | 1,144,238 | ||||||||
58,100 | Rogers Communications, Inc. Class B | 2,335,769 | ||||||||
38,100 | Royal Bank of Canada | 2,204,200 | ||||||||
17,300 | Saputo, Inc. | 556,938 | ||||||||
105,800 | Shaw Communications, Inc. Class B‡ | 2,052,280 | ||||||||
13,429 | Suncor Energy, Inc. | 375,528 | ||||||||
37,400 | Thomson Reuters Corp. (New York Exchange) | 1,513,952 | ||||||||
36,000 | Thomson Reuters Corp. (Toronto Exchange) | 1,464,548 | ||||||||
44,200 | Toronto-Dominion Bank | 1,915,692 | ||||||||
|
| |||||||||
Total Canada | 38,672,521 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
15,853 | ISS AS | 637,471 | ||||||||
892 | Ringkjoebing Landbobank AS | 188,279 | ||||||||
4,246 | Schouw & Co. | 265,621 | ||||||||
|
| |||||||||
Total Denmark | 1,091,371 | |||||||||
|
| |||||||||
Faroe Islands — 0.1% | ||||||||||
22,279 | Bakkafrost P/F | 863,282 | ||||||||
|
| |||||||||
France — 1.9% | ||||||||||
50,440 | Bouygues SA | 2,060,620 | ||||||||
6,521 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 134,353 | ||||||||
41,316 | Carrefour SA | 1,138,435 | ||||||||
32,634 | Cie de Saint-Gobain | 1,440,295 | ||||||||
35,677 | Danone SA | 2,541,390 | ||||||||
8,081 | Legrand SA | 453,483 | ||||||||
885 | Manutan International | 47,248 |
See accompanying Notes to the Financial Statements. | 135 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
6,653 | Neopost SA | 140,029 | ||||||||
50,864 | Rexel SA | 727,714 | ||||||||
87,044 | Sanofi | 7,028,677 | ||||||||
9,308 | Sodexo SA | 1,004,901 | ||||||||
18,327 | Total SA | 836,635 | ||||||||
1,748 | Vetoquinol SA | 72,486 | ||||||||
3,317 | Wendel SA | 361,584 | ||||||||
|
| |||||||||
Total France | 17,987,850 | |||||||||
|
| |||||||||
Germany — 1.1% | ||||||||||
68,779 | Celesio AG | 1,979,023 | ||||||||
3,285 | Fraport AG Frankfurt Airport Services Worldwide | 199,562 | ||||||||
33,617 | HeidelbergCement AG | 2,882,697 | ||||||||
918 | Homag Group AG | 37,663 | ||||||||
6,693 | Hornbach Baumarkt AG | 215,844 | ||||||||
2,860 | Hornbach Holding AG & Co. KGaA | 185,118 | ||||||||
558 | Linde AG | 81,423 | ||||||||
23,405 | Merck KGaA | 1,955,264 | ||||||||
78,113 | Rhoen-Klinikum AG | 2,434,525 | ||||||||
13,320 | STADA Arzneimittel AG | 529,513 | ||||||||
1,924 | Wuestenrot & Wuerttembergische AG | 40,770 | ||||||||
|
| |||||||||
Total Germany | 10,541,402 | |||||||||
|
| |||||||||
Hong Kong — 0.5% | ||||||||||
322,000 | CLP Holdings, Ltd. | 2,916,309 | ||||||||
532,715 | Hang Lung Properties, Ltd. | 1,019,202 | ||||||||
79,000 | Hong Kong & China Gas Co., Ltd. | 147,885 | ||||||||
26,000 | Hong Kong Ferry Holdings Co., Ltd. | 29,565 | ||||||||
96,389 | Hysan Development Co., Ltd. | 410,705 | ||||||||
40,000 | Miramar Hotel & Investment Co., Ltd. | 69,103 | ||||||||
4,500 | Power Assets Holdings, Ltd. | 46,064 | ||||||||
397,000 | Regal Real Estate Investment Trust REIT | 101,342 | ||||||||
868,000 | Sunlight Real Estate Investment Trust REIT | 447,622 | ||||||||
|
| |||||||||
Total Hong Kong | 5,187,797 | |||||||||
|
| |||||||||
Ireland — 0.9% | ||||||||||
15,100 | Accenture Plc Class A | 1,742,540 | ||||||||
26,964 | CRH Plc | 761,930 | ||||||||
106,989 | Hibernia Plc REIT | 158,739 | ||||||||
4,600 | Jazz Pharmaceuticals Plc* | 600,530 | ||||||||
25,145 | Kerry Group Plc Class A | 2,346,189 | ||||||||
5,300 | Medtronic Plc | 397,500 | ||||||||
900 | Perrigo Co. Plc | 115,137 | ||||||||
131,582 | UDG Healthcare Plc | 1,104,477 | ||||||||
9,281 | Willis Towers Watson Plc | 1,101,284 | ||||||||
|
| |||||||||
Total Ireland | 8,328,326 | |||||||||
|
|
136 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Israel — 0.5% | ||||||||||
58,318 | Amot Investments, Ltd. | 209,725 | ||||||||
281,383 | Bank Hapoalim BM | 1,459,494 | ||||||||
51,123 | Bank Leumi Le-Israel BM* | 183,442 | ||||||||
2,689 | Check Point Software Technologies, Ltd.* ‡ | 235,207 | ||||||||
4,547 | Delek Automotive Systems, Ltd. | 43,952 | ||||||||
63,255 | Israel Chemicals, Ltd. | 275,095 | ||||||||
2,426 | Osem Investments, Ltd. | 52,998 | ||||||||
307 | Taro Pharmaceutical Industries, Ltd.* | 43,978 | ||||||||
39,238 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 2,099,625 | ||||||||
|
| |||||||||
Total Israel | 4,603,516 | |||||||||
|
| |||||||||
Italy — 0.3% | ||||||||||
10,200 | Amplifon Spa | 88,570 | ||||||||
27,537 | Italcementi Spa | 323,212 | ||||||||
768,501 | Parmalat Spa | 2,129,813 | ||||||||
88,003 | Terna Rete Elettrica Nazionale Spa | 502,924 | ||||||||
|
| |||||||||
Total Italy | 3,044,519 | |||||||||
|
| |||||||||
Japan — 4.7% | ||||||||||
17,000 | Alpen Co., Ltd. | 280,724 | ||||||||
1,400 | Asahi Group Holdings, Ltd. | 43,683 | ||||||||
95,900 | Astellas Pharma, Inc. | 1,276,875 | ||||||||
3,000 | AT-Group Co., Ltd. | 61,924 | ||||||||
4,400 | Autobacs Seven Co., Ltd.‡ | 74,381 | ||||||||
58,800 | Canon, Inc. | 1,755,185 | ||||||||
9,300 | Chubu Electric Power Co., Inc. | 130,032 | ||||||||
97,700 | Coca-Cola West Co., Ltd. | 2,421,747 | ||||||||
54,400 | Daiichi Sanyko Co., Ltd. | 1,211,228 | ||||||||
27,000 | Dydo Drinco, Inc. | 1,261,177 | ||||||||
25,500 | Earth Chemical Co., Ltd. | 1,032,297 | ||||||||
16,000 | FANUC Corp.‡ | 2,489,079 | ||||||||
29,400 | Geo Holdings Corp. | 489,411 | ||||||||
10,300 | Hirose Electric Co., Ltd.‡ | 1,137,266 | ||||||||
38,400 | Hoya Corp. | 1,462,613 | ||||||||
6,000 | Joshin Denki Co., Ltd. | 46,176 | ||||||||
140,200 | KDDI Corp. | 3,749,644 | ||||||||
4,500 | Keyence Corp. | 2,457,894 | ||||||||
1,000 | KFC Holdings Japan, Ltd. | 17,536 | ||||||||
15,600 | Kirin Holdings Co., Ltd. | 219,020 | ||||||||
188,000 | Lion Corp. | 2,122,621 | ||||||||
40,700 | Maruha Nichiro Corp. | 760,081 | ||||||||
8,800 | Medipal Holdings Corp. | 139,522 | ||||||||
72,400 | Mitsubishi Estate Co., Ltd. | 1,346,610 | ||||||||
20,200 | Mitsubishi Tanabe Pharma Corp. | 351,719 | ||||||||
1,300 | Mochida Pharmaceutical Co., Ltd.‡ | 96,695 | ||||||||
15,100 | MOS Food Services, Inc. | 395,116 | ||||||||
46,300 | MS&AD Insurance Group Holdings | 1,291,844 | ||||||||
58,000 | Nippon Flour Mills Co., Ltd. | 477,334 | ||||||||
3,400 | Nippon Telegraph & Telephone Corp. | 146,654 |
See accompanying Notes to the Financial Statements. | 137 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
68,900 | Nipro Corp.‡ | 655,315 | ||||||||
546,000 | Nisshin Oillio Group, Ltd. (The) | 2,229,761 | ||||||||
9,200 | Nissin Foods Holdings Co., Ltd. | 433,009 | ||||||||
111,900 | NTT DoCoMo, Inc. | 2,541,259 | ||||||||
16,900 | Okinawa Cellular Telephone Co. | 472,890 | ||||||||
105,000 | Osaka Gas Co., Ltd. | 403,950 | ||||||||
36,100 | Secom Co., Ltd. | 2,687,064 | ||||||||
7,600 | Shimano, Inc.‡ | 1,192,793 | ||||||||
50,000 | Showa Sangyo Co., Ltd. | 207,305 | ||||||||
7,900 | SMC Corp. | 1,837,324 | ||||||||
76,200 | Sompo Japan Nipponkoa Holdings, Inc. | 2,161,356 | ||||||||
26,500 | Suzuken Co., Ltd. | 901,842 | ||||||||
8,200 | Tokyo Electric Power Co., Inc.* | 45,160 | ||||||||
24,000 | Tokyo Gas Co., Ltd. | 112,041 | ||||||||
8,900 | United Super Markets Holdings, Inc. | 84,728 | ||||||||
28,700 | Zensho Holdings Co., Ltd. | 344,211 | ||||||||
|
| |||||||||
Total Japan | 45,056,096 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
89,943 | Atento SA* | 736,633 | ||||||||
2,123 | Millicom International Cellular SA | 117,041 | ||||||||
|
| |||||||||
Total Luxembourg | 853,674 | |||||||||
|
| |||||||||
Mexico — 0.2% | ||||||||||
79,198 | Grupo Televisa SAB, Sponsored ADR | 2,174,777 | ||||||||
14,299 | Industrias Penoles SAB de CV | 182,182 | ||||||||
|
| |||||||||
Total Mexico | 2,356,959 | |||||||||
|
| |||||||||
Netherlands — 0.5% | ||||||||||
38,545 | Heineken Holding NV | 3,012,306 | ||||||||
86,477 | QIAGEN NV* | 1,931,896 | ||||||||
3,736 | RELX NV | 65,329 | ||||||||
2,506 | Sligro Food Group NV | 98,308 | ||||||||
|
| |||||||||
Total Netherlands | 5,107,839 | |||||||||
|
| |||||||||
New Zealand — 2.2% | ||||||||||
886,255 | Air New Zealand, Ltd. | 1,759,834 | ||||||||
522,943 | Argosy Property, Ltd. | 430,249 | ||||||||
496,221 | Auckland International Airport, Ltd. | 2,215,303 | ||||||||
153,687 | Chorus, Ltd. | 427,886 | ||||||||
645,888 | Contact Energy, Ltd. | 2,242,200 | ||||||||
72,012 | Ebos Group, Ltd. | 859,964 | ||||||||
342,913 | Fisher & Paykel Healthcare Corp., Ltd. | 2,333,227 | ||||||||
48,914 | Fletcher Building, Ltd. | 267,952 | ||||||||
23,855 | Freightways, Ltd. | 105,172 | ||||||||
603,080 | Genesis Energy, Ltd. | 858,373 | ||||||||
665,903 | Infratil, Ltd. | 1,516,463 | ||||||||
757,292 | Kiwi Property Group, Ltd. | 759,763 |
138 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
New Zealand — continued | ||||||||||
16,947 | Mainfreight, Ltd. | 186,613 | ||||||||
49,131 | Metlifecare, Ltd. | 179,086 | ||||||||
398,594 | Mighty River Power, Ltd. | 808,092 | ||||||||
262,115 | New Zealand Refining Co., Ltd. (The) | 564,158 | ||||||||
82,976 | Nuplex Industries, Ltd. | 299,573 | ||||||||
290,401 | Precinct Properties New Zealand, Ltd. | 253,040 | ||||||||
96,805 | Sky City Entertainment Group, Ltd. | 336,731 | ||||||||
169,290 | Sky Network Television, Ltd. | 585,339 | ||||||||
678,552 | Spark New Zealand, Ltd. | 1,719,583 | ||||||||
142,193 | Summerset Group Holdings, Ltd. | 437,350 | ||||||||
11,949 | TrustPower, Ltd. | 63,549 | ||||||||
135,941 | Vector, Ltd. | 309,579 | ||||||||
262,022 | Z Energy, Ltd. | 1,227,972 | ||||||||
|
| |||||||||
Total New Zealand | 20,747,051 | |||||||||
|
| |||||||||
Norway — 0.9% | ||||||||||
5,758 | AF Gruppen ASA | 91,891 | ||||||||
20,824 | Atea ASA* | 198,893 | ||||||||
49,681 | Austevoll Seafood ASA | 408,440 | ||||||||
57,569 | DnB NOR ASA | 681,049 | ||||||||
23,647 | Marine Harvest ASA* | 364,515 | ||||||||
431,606 | Norsk Hydro ASA | 1,777,823 | ||||||||
337,530 | Orkla ASA | 3,058,531 | ||||||||
10,963 | Statoil ASA | 172,704 | ||||||||
132,667 | Telenor ASA | 2,147,694 | ||||||||
|
| |||||||||
Total Norway | 8,901,540 | |||||||||
|
| |||||||||
Panama — 0.0% | ||||||||||
6,500 | Carnival Corp. | 343,005 | ||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
14,550 | REN — Redes Energeticas Nacionais SGPS SA | 47,785 | ||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
76,731 | Gazprom PAO, Sponsored ADR | 330,941 | ||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
210,000 | Fortune Real Estate Investment Trust REIT | 224,713 | ||||||||
53,800 | Fraser and Neave, Ltd.‡ | 79,306 | ||||||||
14,900 | Great Eastern Holdings, Ltd. | 248,850 | ||||||||
15,200 | Hong Leong Finance, Ltd. | 26,865 | ||||||||
52,700 | Metro Holdings, Ltd. | 37,179 | ||||||||
39,200 | Singapore Airlines, Ltd. | 332,440 | ||||||||
160,500 | SPH REIT | 115,017 | ||||||||
802,300 | StarHub, Ltd. | 1,995,919 | ||||||||
126,400 | Wilmar International, Ltd. | 315,390 | ||||||||
|
| |||||||||
Total Singapore | 3,375,679 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 139 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
South Korea — 0.3% | ||||||||||
29,861 | Kia Motors Corp. | 1,261,181 | ||||||||
16,040 | KT&G Corp. | 1,542,847 | ||||||||
223 | Lotte Confectionery Co., Ltd. | 500,755 | ||||||||
|
| |||||||||
Total South Korea | 3,304,783 | |||||||||
|
| |||||||||
Spain — 0.7% | ||||||||||
18,801 | Ebro Foods SA | 411,033 | ||||||||
114,444 | Endesa SA | 2,200,096 | ||||||||
422,865 | Iberdrola SA | 2,824,275 | ||||||||
10,675 | Red Electrica Corp. SA | 928,167 | ||||||||
|
| |||||||||
Total Spain | 6,363,571 | |||||||||
|
| |||||||||
Sweden — 1.1% | ||||||||||
44,104 | Axfood AB‡ | 816,066 | ||||||||
7,647 | Clas Ohlson AB Class B | 146,210 | ||||||||
69,361 | Hennes & Mauritz AB Class B | 2,316,112 | ||||||||
46,628 | Investor AB Class B | 1,653,063 | ||||||||
102,697 | Svenska Cellulosa AB Class B | 3,213,913 | ||||||||
64,169 | Swedish Match AB | 2,181,526 | ||||||||
|
| |||||||||
Total Sweden | 10,326,890 | |||||||||
|
| |||||||||
Switzerland — 3.5% | ||||||||||
20,500 | Allied World Assurance Co. Holdings AG | 716,270 | ||||||||
7,658 | Allreal Holding AG* | 1,113,135 | ||||||||
720 | Alpiq Holding AG | 49,321 | ||||||||
282 | APG SGA SA | 118,083 | ||||||||
876 | Banque Cantonale de Geneve | 254,526 | ||||||||
1,472 | Banque Cantonale Vaudoise* | 1,029,854 | ||||||||
1,080 | Basler Kantonalbank | 82,890 | ||||||||
109 | Bell AG | 435,363 | ||||||||
252 | Berner Kantonalbank AG | 50,787 | ||||||||
9,463 | BKW AG | 399,212 | ||||||||
323 | Chocoladefabriken Lindt & Spruengli AG* | 2,010,213 | ||||||||
277 | Emmi AG* | 152,001 | ||||||||
2,229 | Flughafen Zuerich AG | 2,004,040 | ||||||||
1,851 | Galenica AG | 2,794,910 | ||||||||
330 | Graubuendner Kantonalbank | 614,755 | ||||||||
2,259 | Intershop Holding AG | 1,113,401 | ||||||||
244 | Luzerner Kantonalbank AG | 101,024 | ||||||||
27 | Metall Zug AG Class B | 78,210 | ||||||||
4,804 | Mobimo Holding AG* | 1,175,353 | ||||||||
111,434 | Nestle SA | 8,360,605 | ||||||||
55,017 | Novartis AG | 4,004,266 | ||||||||
1,098 | St Galler Kantonalbank AG | 467,508 | ||||||||
21,284 | Swiss Prime Site AG* | 1,884,700 | ||||||||
5,360 | Swiss Re AG | 497,576 | ||||||||
4,028 | Swisscom AG | 2,197,703 | ||||||||
1,498 | Tamedia AG | 259,665 |
140 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
2,099 | Thurgauer Kantonalbank | 181,812 | ||||||||
201 | Valora Holding AG | 50,373 | ||||||||
7,284 | Ypsomed Holding AG* | 1,045,841 | ||||||||
32 | Zug Estates Holding AG Class B* | 53,163 | ||||||||
|
| |||||||||
Total Switzerland | 33,296,560 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
190,500 | Bangkok Bank PCL, NVDR | 974,702 | ||||||||
300 | Bangkok Bank PCL | 1,552 | ||||||||
|
| |||||||||
Total Thailand | 976,254 | |||||||||
|
| |||||||||
United Kingdom — 8.0% | ||||||||||
41,913 | Advanced Medical Solutions Group Plc | 109,338 | ||||||||
15,400 | Anglo American Plc | 122,204 | ||||||||
18,100 | Aon Plc | 1,890,545 | ||||||||
25,027 | Associated British Foods Plc | 1,204,679 | ||||||||
105,897 | BCA Marketplace Plc | 277,776 | ||||||||
2,472 | Berendsen Plc | 42,743 | ||||||||
20,820 | Berkeley Group Holdings Plc | 962,973 | ||||||||
65,748 | British American Tobacco Plc | 3,865,033 | ||||||||
195,542 | Britvic Plc | 1,996,878 | ||||||||
295,466 | BT Group Plc | 1,870,686 | ||||||||
9,222 | Carnival Plc | 497,319 | ||||||||
240,829 | Centrica Plc | 788,169 | ||||||||
69,503 | Compass Group Plc | 1,226,731 | ||||||||
14,927 | Cranswick Plc | 457,626 | ||||||||
12,626 | CVS Group Plc | 139,553 | ||||||||
7,565 | Dechra Pharmaceuticals Plc | 131,130 | ||||||||
117,523 | Diageo Plc | 3,178,151 | ||||||||
3,608 | Dunelm Group Plc | 47,372 | ||||||||
29,881 | EMIS Group Plc | 435,492 | ||||||||
75,341 | Fresnillo Plc | 1,031,440 | ||||||||
6,588 | Gamma Communications Plc | 39,509 | ||||||||
4,535 | Genus Plc | 99,663 | ||||||||
144,109 | GlaxoSmithKline Plc | 2,924,645 | ||||||||
4,083 | Great Portland Estates Plc REIT | 42,723 | ||||||||
109,445 | Greggs Plc | 1,709,909 | ||||||||
15,264 | Headlam Group Plc | 113,424 | ||||||||
39,599 | Hill & Smith Holdings Plc | 513,948 | ||||||||
54,099 | Imperial Brands Plc | 3,003,733 | ||||||||
166,710 | Inchcape Plc | 1,733,595 | ||||||||
165,043 | Indivior Plc | 386,900 | ||||||||
16,426 | International Game Technology Plc‡ | 299,774 | ||||||||
316,267 | Intu Properties Plc REIT | 1,422,806 | ||||||||
26,381 | JD Sports Fashion Plc | 426,950 | ||||||||
173,645 | Kcom Group Plc | 268,298 | ||||||||
90,492 | Kennedy Wilson Europe Real Estate Plc | 1,523,051 | ||||||||
150,537 | Kingfisher Plc | 815,054 | ||||||||
62,690 | Land Securities Group Plc REIT | 992,049 |
See accompanying Notes to the Financial Statements. | 141 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
2,851 | Liberty Global Plc Class A* | 109,763 | ||||||||
35,607 | Liberty Global Plc Series C* | 1,337,399 | ||||||||
142 | Liberty Global Plc LiLAC Class A* | 4,979 | ||||||||
1,164 | Liberty Global Plc LiLAC Class C* ‡ | 44,092 | ||||||||
8,472,309 | Lloyds Banking Group Plc | 8,282,965 | ||||||||
64,079 | Londonmetric Property Plc REIT | 146,072 | ||||||||
22,144 | Lookers Plc | 50,415 | ||||||||
252,640 | Melrose Industries Plc | 1,294,521 | ||||||||
204,055 | National Grid Plc | 2,895,342 | ||||||||
20,303 | Next Plc | 1,575,801 | ||||||||
120,284 | Pennon Group Plc | 1,402,091 | ||||||||
189,206 | QinetiQ Group Plc | 620,036 | ||||||||
1,567 | Randgold Resources, Ltd., ADR‡ | 142,299 | ||||||||
23,048 | Reckitt Benckiser Group Plc | 2,229,440 | ||||||||
114,230 | RELX Plc | 2,124,525 | ||||||||
816,271 | Rentokil Initial Plc | 2,074,264 | ||||||||
6,125 | Rightmove Plc | 370,714 | ||||||||
50,233 | Sage Group Plc (The) | 454,137 | ||||||||
15,809 | Severn Trent Plc | 493,755 | ||||||||
67,697 | Shaftesbury Plc REIT | 886,411 | ||||||||
32,941 | Sky Plc | 484,824 | ||||||||
114,092 | SSE Plc | 2,446,648 | ||||||||
1,492 | Stallergenes Greer* | 47,266 | ||||||||
2,950,632 | Tesco Plc* | 8,134,129 | ||||||||
658,218 | Tritax Big Box Plc REIT | 1,272,446 | ||||||||
23,148 | United Utilities Plc | 307,088 | ||||||||
6,004 | WH Smith Plc | 156,885 | ||||||||
164,149 | WM Morrison Supermarkets Plc‡ | 468,796 | ||||||||
|
| |||||||||
Total United Kingdom | 76,448,972 | |||||||||
|
| |||||||||
United States — 49.7% | ||||||||||
24,712 | 3M Co. | 4,117,761 | ||||||||
10,800 | Abbott Laboratories | 451,764 | ||||||||
1,300 | Adobe Systems, Inc.* | 121,940 | ||||||||
13,900 | Alexandria Real Estate Equities, Inc. REIT | 1,263,371 | ||||||||
4,135 | Alleghany Corp.* | 2,051,787 | ||||||||
7,343 | Alphabet, Inc. Class A* | 5,601,975 | ||||||||
5,596 | Alphabet, Inc. Class C* | 4,168,740 | ||||||||
50,000 | Altria Group, Inc. | 3,133,000 | ||||||||
2,500 | Amazon.com, Inc.* | 1,484,100 | ||||||||
26,500 | Amdocs, Ltd. | 1,601,130 | ||||||||
31,700 | Ameren Corp. | 1,588,170 | ||||||||
24,100 | American Electric Power Co., Inc. | 1,600,240 | ||||||||
48,949 | American Express Co. | 3,005,469 | ||||||||
18,600 | American Financial Group, Inc. | 1,308,882 | ||||||||
26,286 | American International Group, Inc. | 1,420,758 | ||||||||
16,800 | AmerisourceBergen Corp. | 1,454,040 | ||||||||
138,800 | Annaly Capital Management, Inc. REIT | 1,424,088 | ||||||||
13,900 | ANSYS, Inc.* | 1,243,494 |
142 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
9,299 | Anthem, Inc. | 1,292,468 | ||||||||
93,087 | Apple, Inc. | 10,145,552 | ||||||||
2,200 | AptarGroup, Inc. | 172,502 | ||||||||
42,600 | Aramark | 1,410,912 | ||||||||
32,800 | Arthur J. Gallagher & Co. | 1,458,944 | ||||||||
83,600 | AT&T, Inc. | 3,274,612 | ||||||||
12,000 | Atmos Energy Corp. | 891,120 | ||||||||
5,465 | Automatic Data Processing, Inc. | 490,265 | ||||||||
1,900 | AutoZone, Inc.* | 1,513,711 | ||||||||
8,300 | AvalonBay Communities, Inc. REIT | 1,578,660 | ||||||||
21,000 | Avnet, Inc. | 930,300 | ||||||||
18,400 | Bank of Hawaii Corp. | 1,256,352 | ||||||||
207,104 | Bank of New York Mellon Corp. (The) | 7,627,640 | ||||||||
28,100 | Baxter International, Inc. | 1,154,348 | ||||||||
49,941 | BB&T Corp. | 1,661,537 | ||||||||
11,200 | Becton Dickinson and Co. | 1,700,384 | ||||||||
23,600 | Bemis Co., Inc. | 1,222,008 | ||||||||
5 | Berkshire Hathaway, Inc. Class A* ‡ | 1,067,250 | ||||||||
6,800 | Bio-Rad Laboratories, Inc. Class A* | 929,696 | ||||||||
14,500 | Boeing Co. (The) | 1,840,630 | ||||||||
22,900 | Brinker International, Inc. | 1,052,255 | ||||||||
2,300 | Bristol-Myers Squibb Co. | 146,924 | ||||||||
18,600 | Broadridge Financial Solutions, Inc. | 1,103,166 | ||||||||
43,821 | Brown & Brown, Inc. | 1,568,792 | ||||||||
42,900 | CA, Inc. | 1,320,891 | ||||||||
14,300 | Cadence Design Systems, Inc.* | 337,194 | ||||||||
13,000 | Camden Property Trust REIT | 1,093,170 | ||||||||
25,600 | Campbell Soup Co. | 1,633,024 | ||||||||
9,400 | Capital One Financial Corp. | 651,514 | ||||||||
22,000 | Cardinal Health, Inc. | 1,802,900 | ||||||||
11,500 | Carter’s, Inc. | 1,211,870 | ||||||||
8,800 | CDK Global, Inc. | 409,640 | ||||||||
14,400 | CH Robinson Worldwide, Inc. | 1,068,912 | ||||||||
22,400 | Chimera Investment Corp. REIT | 304,416 | ||||||||
14,206 | Cincinnati Financial Corp. | 928,504 | ||||||||
16,500 | Cinemark Holdings, Inc. | 591,195 | ||||||||
24,468 | Cintas Corp. | 2,197,471 | ||||||||
12,200 | Clean Harbors, Inc.* | 601,948 | ||||||||
7,900 | Clorox Co. (The) | 995,874 | ||||||||
12,100 | Coca-Cola Co. (The) | 561,319 | ||||||||
2,900 | Coca-Cola Enterprises, Inc. | 147,146 | ||||||||
29,699 | Colgate-Palmolive Co. | 2,098,234 | ||||||||
92,401 | Comcast Corp. Class A | 5,643,853 | ||||||||
20,765 | Commerce Bancshares, Inc. | 933,387 | ||||||||
6,076 | Commvault Systems, Inc.* | 262,301 | ||||||||
14,400 | ConAgra Foods, Inc. | 642,528 | ||||||||
29,845 | ConocoPhillips | 1,201,858 | ||||||||
24,200 | Consolidated Edison, Inc. | 1,854,204 | ||||||||
13,400 | Costco Wholesale Corp. | 2,111,572 |
See accompanying Notes to the Financial Statements. | 143 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
8,000 | CR Bard, Inc. | 1,621,360 | ||||||||
4,300 | Crown Castle International Corp. REIT | 371,950 | ||||||||
3,400 | CST Brands, Inc. | 130,186 | ||||||||
5,563 | Cummins, Inc. | 611,596 | ||||||||
114,875 | CVS Health Corp. | 11,915,984 | ||||||||
12,500 | Danaher Corp. | 1,185,750 | ||||||||
17,400 | Darden Restaurants, Inc. | 1,153,620 | ||||||||
15,418 | Deere & Co.‡ | 1,187,032 | ||||||||
3,600 | Delta Air Lines, Inc. | 175,248 | ||||||||
7,600 | DENTSPLY SIRONA, Inc. | 468,388 | ||||||||
30,976 | Devon Energy Corp. | 849,981 | ||||||||
19,200 | Digital Realty Trust, Inc. REIT | 1,699,008 | ||||||||
15,100 | Dollar General Corp. | 1,292,560 | ||||||||
800 | Domino’s Pizza, Inc. | 105,488 | ||||||||
17,200 | Dr Pepper Snapple Group, Inc. | 1,538,024 | ||||||||
18,500 | DTE Energy Co. | 1,677,210 | ||||||||
5,200 | East-West Bancorp, Inc. | 168,896 | ||||||||
388,535 | eBay, Inc.* | 9,270,445 | ||||||||
20,200 | Edison International | 1,452,178 | ||||||||
21,200 | Eli Lilly & Co. | 1,526,612 | ||||||||
21,200 | Entergy Corp. | 1,680,736 | ||||||||
1,600 | Equifax, Inc. | 182,864 | ||||||||
17,100 | Equity LifeStyle Properties, Inc. REIT | 1,243,683 | ||||||||
3,500 | Erie Indemnity Co. Class A | 325,465 | ||||||||
5,500 | Essex Property Trust, Inc. REIT | 1,286,230 | ||||||||
6,100 | Expedia, Inc. | 657,702 | ||||||||
4,672 | F5 Networks, Inc.* | 494,531 | ||||||||
2,100 | Facebook, Inc. Class A* | 239,610 | ||||||||
50,000 | First Niagara Financial Group, Inc. | 484,000 | ||||||||
41,600 | FirstEnergy Corp. | 1,496,352 | ||||||||
5,300 | Fiserv, Inc.* | 543,674 | ||||||||
36,401 | Flowserve Corp. | 1,616,568 | ||||||||
45,966 | FMC Technologies, Inc.* | 1,257,630 | ||||||||
13,300 | General Dynamics Corp. | 1,747,221 | ||||||||
29,100 | General Mills, Inc. | 1,843,485 | ||||||||
11,806 | H&R Block, Inc.‡ | 311,915 | ||||||||
11,600 | Hanover Insurance Group, Inc. (The) | 1,046,552 | ||||||||
16,200 | Healthcare Trust of America, Inc. REIT Class A | 476,604 | ||||||||
9,800 | Henry Schein, Inc.* | 1,691,774 | ||||||||
15,900 | Hershey Co. (The) | 1,464,231 | ||||||||
1,700 | Hill-Rom Holdings, Inc. | 85,510 | ||||||||
8,200 | Hologic, Inc.* | 282,900 | ||||||||
84,227 | Home Depot, Inc. (The) | 11,238,409 | ||||||||
22,000 | Honeywell International, Inc. | 2,465,100 | ||||||||
14,000 | Hormel Foods Corp. | 605,360 | ||||||||
28,000 | Hospitality Properties Trust REIT | 743,680 | ||||||||
8,700 | Huntington Ingalls Industries, Inc. | 1,191,378 | ||||||||
11,700 | IAC/InterActiveCorp | 550,836 | ||||||||
2,500 | Ingram Micro, Inc. Class A | 89,775 |
144 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
14,700 | Ingredion, Inc. | 1,569,813 | ||||||||
411,485 | Intel Corp. | 13,311,540 | ||||||||
82,554 | International Business Machines Corp. | 12,502,803 | ||||||||
17,000 | Intuit, Inc. | 1,768,170 | ||||||||
10,400 | Jack Henry & Associates, Inc. | 879,528 | ||||||||
11,800 | JM Smucker Co. (The) | 1,532,112 | ||||||||
30,900 | Johnson & Johnson | 3,343,380 | ||||||||
20,600 | Kellogg Co. | 1,576,930 | ||||||||
9,800 | Kimberly-Clark Corp. | 1,318,198 | ||||||||
21,800 | Kroger Co. (The) | 833,850 | ||||||||
4,900 | Lamar Advertising Co. REIT Class A | 301,350 | ||||||||
3,700 | Leidos Holdings, Inc. | 186,184 | ||||||||
43,374 | Linear Technology Corp. | 1,932,745 | ||||||||
12,923 | Lockheed Martin Corp. | 2,862,444 | ||||||||
174,203 | Lowe’s Cos., Inc. | 13,195,877 | ||||||||
6,500 | M&T Bank Corp. | 721,500 | ||||||||
200 | Madison Square Garden Co. (The) Class A* | 33,272 | ||||||||
3,218 | Martin Marietta Materials, Inc. | 513,303 | ||||||||
76,686 | Mastercard, Inc. Class A | 7,246,827 | ||||||||
3,300 | McCormick & Co., Inc. | 328,284 | ||||||||
20,500 | McDonald’s Corp. | 2,576,440 | ||||||||
5,000 | McKesson Corp. | 786,250 | ||||||||
49,100 | Merck & Co., Inc. | 2,597,881 | ||||||||
600 | Mettler-Toledo International, Inc.* | 206,856 | ||||||||
407,061 | Microsoft Corp. | 22,481,979 | ||||||||
13,900 | Mid-America Apartment Communities, Inc. REIT | 1,420,719 | ||||||||
5,900 | Morningstar, Inc. | 520,793 | ||||||||
6,500 | Murphy USA, Inc.* | 399,425 | ||||||||
24,200 | National Instruments Corp. | 728,662 | ||||||||
67,990 | National Oilwell Varco, Inc. | 2,114,489 | ||||||||
47,600 | New York Community Bancorp, Inc. | 756,840 | ||||||||
3,200 | Newmont Mining Corp. | 85,056 | ||||||||
16,400 | NextEra Energy, Inc. | 1,940,776 | ||||||||
2,000 | NIKE, Inc. Class B | 122,940 | ||||||||
20,000 | Northern Trust Corp. | 1,303,400 | ||||||||
6,172 | Northrop Grumman Corp. | 1,221,439 | ||||||||
24,039 | NOW, Inc.* | 425,971 | ||||||||
200 | NVR, Inc.* | 346,480 | ||||||||
5,900 | O’Reilly Automotive, Inc.* | 1,614,594 | ||||||||
25,800 | Old Republic International Corp. | 471,624 | ||||||||
48,602 | Omnicom Group, Inc. | 4,045,144 | ||||||||
406,301 | Oracle Corp. | 16,621,774 | ||||||||
12,707 | Orbital ATK, Inc. | 1,104,747 | ||||||||
6,600 | Panera Bread Co. Class A* | 1,351,878 | ||||||||
21,400 | Patterson Cos., Inc. | 995,742 | ||||||||
278,864 | PayPal Holdings, Inc.* | 10,764,150 | ||||||||
46,500 | People’s United Financial, Inc. | 740,745 | ||||||||
25,700 | PepsiCo, Inc. | 2,633,736 | ||||||||
75,700 | Pfizer, Inc. | 2,243,748 |
See accompanying Notes to the Financial Statements. | 145 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
28,500 | PG&E Corp. | 1,702,020 | ||||||||
35,300 | Philip Morris International, Inc. | 3,463,283 | ||||||||
3,923 | Phillips 66 | 339,693 | ||||||||
39,600 | Piedmont Office Realty Trust, Inc. REIT Class A | 804,276 | ||||||||
17,400 | Pinnacle Foods, Inc. | 777,432 | ||||||||
4,000 | Pinnacle West Capital Corp. | 300,280 | ||||||||
13,500 | Post Properties, Inc. REIT | 806,490 | ||||||||
5,027 | Praxair, Inc. | 575,340 | ||||||||
300 | Priceline Group (The), Inc.* | 386,688 | ||||||||
22,000 | Procter & Gamble Co. (The) | 1,810,820 | ||||||||
44,400 | Progressive Corp. (The) | 1,560,216 | ||||||||
39,400 | Public Service Enterprise Group, Inc. | 1,857,316 | ||||||||
6,400 | Public Storage REIT | 1,765,312 | ||||||||
88,982 | QUALCOMM, Inc. | 4,550,539 | ||||||||
31,400 | Republic Services, Inc. | 1,496,210 | ||||||||
2,600 | Resmed, Inc. | 150,332 | ||||||||
12,600 | Reynolds American, Inc. | 633,906 | ||||||||
8,198 | Royal Gold, Inc. | 420,475 | ||||||||
4,672 | San Juan Basin Royalty Trust | 24,061 | ||||||||
24,636 | Scotts Miracle-Gro Co. (The) Class A | 1,792,762 | ||||||||
39,400 | Senior Housing Properties Trust REIT | 704,866 | ||||||||
3,300 | Signature Bank* | 449,196 | ||||||||
1,900 | Simon Property Group, Inc. REIT | 394,611 | ||||||||
9,700 | Southern Co. (The) | 501,781 | ||||||||
9,200 | St. Jude Medical, Inc. | 506,000 | ||||||||
39,400 | Starbucks Corp. | 2,352,180 | ||||||||
68,131 | State Street Corp. | 3,987,026 | ||||||||
11,700 | Stericycle, Inc.* | 1,476,423 | ||||||||
17,600 | Stryker Corp. | 1,888,304 | ||||||||
36,242 | Synchrony Financial* | 1,038,696 | ||||||||
30,500 | Synopsys, Inc.* | 1,477,420 | ||||||||
36,700 | Sysco Corp. | 1,714,991 | ||||||||
6,500 | Tanger Factory Outlet Centers REIT | 236,535 | ||||||||
141,586 | Target Corp. | 11,649,696 | ||||||||
73,400 | TCF Financial Corp. | 899,884 | ||||||||
8,900 | Teleflex, Inc. | 1,397,389 | ||||||||
14,200 | Telephone & Data Systems, Inc. | 427,278 | ||||||||
53,922 | Teradata Corp.* | 1,414,913 | ||||||||
32,506 | Texas Instruments, Inc. | 1,866,495 | ||||||||
16,200 | TFS Financial Corp. | 281,394 | ||||||||
13,900 | Thermo Fisher Scientific, Inc. | 1,968,101 | ||||||||
3,268 | Tiffany & Co. | 239,806 | ||||||||
18,502 | Timken Co. (The) | 619,632 | ||||||||
12,300 | Travelers Cos., Inc. (The) | 1,435,533 | ||||||||
7,800 | Tyson Foods, Inc. Class A | 519,948 | ||||||||
45,306 | UGI Corp. | 1,825,379 | ||||||||
500 | Ulta Salon Cosmetics & Fragrance, Inc.* | 96,870 | ||||||||
17,250 | Union Pacific Corp. | 1,372,238 | ||||||||
8,300 | United Continental Holdings, Inc.* | 496,838 |
146 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
19,700 | United Parcel Service, Inc. Class B | 2,077,759 | ||||||||
7,100 | United States Cellular Corp.* | 324,399 | ||||||||
18,500 | UnitedHealth Group, Inc. | 2,384,650 | ||||||||
36,643 | US Bancorp | 1,487,339 | ||||||||
26,746 | Varian Medical Systems, Inc.* | 2,140,215 | ||||||||
22,500 | Vectren Corp. | 1,137,600 | ||||||||
13,700 | VeriSign, Inc.* | 1,212,998 | ||||||||
65,900 | Verizon Communications, Inc. | 3,563,872 | ||||||||
158,795 | Visa, Inc. Class A | 12,144,642 | ||||||||
22,041 | Vista Outdoor, Inc.* | 1,144,148 | ||||||||
4,872 | Vulcan Materials Co. | 514,337 | ||||||||
9,400 | VWR Corp.* | 254,364 | ||||||||
5,300 | W.W. Grainger, Inc.‡ | 1,237,179 | ||||||||
43,134 | Wal-Mart Stores, Inc. | 2,954,248 | ||||||||
22,000 | Waste Connections, Inc. | 1,420,980 | ||||||||
28,600 | Waste Management, Inc. | 1,687,400 | ||||||||
10,700 | Waters Corp.* | 1,411,544 | ||||||||
187,796 | Wells Fargo & Co. | 9,081,815 | ||||||||
113,811 | Weyerhaeuser Co. REIT | 3,525,865 | ||||||||
19,600 | WP Carey, Inc. REIT | 1,219,904 | ||||||||
28,435 | WR Berkley Corp. | 1,598,047 | ||||||||
3,300 | Xcel Energy, Inc. | 138,006 | ||||||||
40,551 | Xilinx, Inc. | 1,923,334 | ||||||||
151,050 | Yum! Brands, Inc. | 12,363,442 | ||||||||
|
| |||||||||
Total United States | 472,868,302 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $761,571,009) | 816,287,085 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.4% | ||||||||||
United States — 1.4% | ||||||||||
109,354 | SPDR Gold Shares* | 12,860,031 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $13,066,713) | 12,860,031 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.2% | ||||||||||
Germany — 0.2% | ||||||||||
14,404 | Henkel AG & Co. KGaA, 1.34% | 1,590,525 | ||||||||
|
| |||||||||
Japan — 0.0% | ||||||||||
199 | Shinkin Central Bank, 2.91% Class A | 395,362 | ||||||||
|
| |||||||||
Sweden — 0.0% | ||||||||||
3,915 | Akelius Residential Property AB, 6.84% | 141,741 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $1,906,444) | 2,127,628 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
United Kingdom — 0.0% | ||||||||||
2,686 | Primary Health Properties Plc REIT* **** ¤ | 77 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $—) | 77 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 147 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Shares | Description | Value ($) | ||||||||
WARRANTS — 0.0% | ||||||||||
United States — 0.0% | ||||||||||
14,469 | JPMorgan Chase & Co., Strike Price $0.00, Expires 10/28/18* | 256,101 | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $234,897) | 256,101 | |||||||||
|
| |||||||||
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 0.3% | ||||||||||
Sovereign Debt Obligations — 0.3% | ||||||||||
10,030,000 | MXN | Mexican Bonos, 4.75%, due 06/14/18 | 588,841 | |||||||
3,806,100 | MXN | Mexican Bonos, 5.00%, due 12/11/19 | 221,506 | |||||||
734,000 | SGD | Singapore Government Bond, 2.38%, due 04/01/17 | 554,179 | |||||||
773,000 | SGD | Singapore Government Bond, 0.50%, due 04/01/18 | 570,801 | |||||||
444,000 | SGD | Singapore Government Bond, 3.25%, due 09/01/20 | 358,240 | |||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $2,452,084) | 2,293,567 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $2,452,084) | 2,293,567 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 13.7% | ||||||||||
Bank Deposit — 12.3% | ||||||||||
117,481,776 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16 | 117,481,776 | ||||||||
|
| |||||||||
Securities Lending Collateral — 1.4% | ||||||||||
13,141,060 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 13,141,060 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $130,622,836) | 130,622,836 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 101.3% (Cost $909,853,983) | 964,447,325 | |||||||||
Other Assets and Liabilities (net) — (1.3)% | (12,061,804 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 952,385,521 | ||||||||
|
|
148 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2016
Notes to Schedule of Investments: | ||||||
ADR — American Depository Receipt | ||||||
NVDR — Non-Voting Depository Receipt | ||||||
REIT — Real Estate Investment Trust | ||||||
* | Non-income producing security | |||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $77 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0. | |||||
¤ | Illiquid security. The total market value of the securities at year end is $77 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0. | |||||
‡ | All or a portion of this security is out on loan. |
See accompanying Notes to the Financial Statements. | 149 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Sales | ||||||||||||||||||||
04/13/16 | EUR | Bank of New York | 277,000 | $ | 315,743 | $ | (13,906 | ) | ||||||||||||
05/18/16 | EUR | Goldman Sachs | 304,000 | 346,876 | (5,514 | ) | ||||||||||||||
08/17/16 | EUR | HSBC Bank USA | 359,000 | 410,898 | (15,736 | ) | ||||||||||||||
06/15/16 | EUR | JPMorgan Chase Bank N.A. | 346,000 | 395,147 | (6,395 | ) | ||||||||||||||
07/13/16 | EUR | UBS AG | 346,000 | 395,531 | (6,803 | ) | ||||||||||||||
04/13/16 | GBP | Bank of New York | 157,000 | 225,662 | 3,585 | |||||||||||||||
05/18/16 | GBP | Goldman Sachs | 82,000 | 117,873 | (1,419 | ) | ||||||||||||||
�� |
|
| ||||||||||||||||||
$ | (46,188 | ) | ||||||||||||||||||
|
|
Currency Abbreviations
EUR | — Euro |
GBP | — British Pound Sterling |
MXN | — Mexican Peso |
SGD | — Singapore Dollar |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
18 | Canadian Dollar | June 2016 | $ | 1,387,260 | $ | 43,384 | ||||||||||||
149 | MSCI EAFE E-mini Index | June 2016 | 12,109,975 | (23,790 | ) | |||||||||||||
185 | S&P 500 E-mini Index | June 2016 | 18,976,375 | 642,816 | ||||||||||||||
10 | S&P/TSX 60 Index | June 2016 | 1,216,900 | (3,838 | ) | |||||||||||||
|
| |||||||||||||||||
$ | 658,572 | |||||||||||||||||
|
|
150 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Retail | 9.1 | ||||
Food | 8.2 | ||||
Banks | 5.7 | ||||
Electric | 4.9 | ||||
Software | 4.9 | ||||
Pharmaceuticals | 4.6 | ||||
Telecommunications | 4.1 | ||||
Insurance | 3.5 | ||||
Computers | 3.1 | ||||
Commercial Services | 3.0 | ||||
REITS | 2.8 | ||||
Internet | 2.6 | ||||
Media | 2.0 | ||||
Semiconductors | 2.0 | ||||
Agriculture | 1.8 | ||||
Beverages | 1.8 | ||||
Electronics | 1.8 | ||||
Health Care — Products | 1.8 | ||||
Diversified Financial Services | 1.7 | ||||
Commodity Fund | 1.4 | ||||
Real Estate | 1.4 | ||||
Aerospace & Defense | 0.9 | ||||
Mining | 0.9 | ||||
Building Materials | 0.8 | ||||
Environmental Control | 0.8 | ||||
Health Care — Services | 0.8 | ||||
Household Products & Wares | 0.8 | ||||
Engineering & Construction | 0.7 | ||||
Miscellaneous — Manufacturing | 0.7 | ||||
Oil & Gas | 0.7 | ||||
Transportation | 0.7 | ||||
Cosmetics & Personal Care | 0.6 | ||||
Gas | 0.6 | ||||
Machinery — Diversified | 0.6 | ||||
Holding Companies — Diversified | 0.5 | ||||
Advertising | 0.4 | ||||
Airlines | 0.4 | ||||
Chemicals | 0.4 | ||||
Biotechnology | 0.3 | ||||
Distribution & Wholesale | 0.3 | ||||
Forest Products & Paper | 0.3 | ||||
Investment Companies | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
Oil & Gas Services | 0.3 | ||||
Sovereign | 0.3 | ||||
Water | 0.3 | ||||
Hand & Machine Tools | 0.2 | ||||
Leisure Time | 0.2 | ||||
Packaging & Containers | 0.2 | ||||
Savings & Loans | 0.2 | ||||
Textiles | 0.2 |
See accompanying Notes to the Financial Statements. | 151 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2016
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Apparel | 0.1 | ||||
Auto Manufacturers | 0.1 | ||||
Electrical Components & Equipment | 0.1 | ||||
Entertainment | 0.1 | ||||
Food Service | 0.1 | ||||
Home Builders | 0.1 | ||||
Shipbuilding | 0.1 | ||||
Iron & Steel | 0.0 | ||||
Lodging | 0.0 | ||||
Office & Business Equipment | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 12.4 | ||||
|
| ||||
100.0 | % | ||||
|
|
152 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities
March 31, 2016
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 310,991,248 | $ | 318,038,314 | $ | 463,773,654 | $ | 483,267,343 | ||||||||||||
Foreign currency, at value(b) | — | — | 99,173 | — | ||||||||||||||||
Cash | 1,172 | 67,608 | 13,294 | 43,755 | ||||||||||||||||
Receivable for investments sold | 326,529 | 5,704,834 | 1,853,746 | 4,674,276 | ||||||||||||||||
Dividend and interest receivable | 213,595 | 413,474 | 218,779 | 578,270 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 422,000 | 272,000 | 484,000 | 500,000 | ||||||||||||||||
Receivable for variation margin on open futures contracts | — | — | 13,427 | 6,100 | ||||||||||||||||
Foreign tax reclaims receivable | 201,945 | 5,514 | 48,519 | — | ||||||||||||||||
Securities lending income receivable | 16,511 | 4,410 | 22,366 | 34,845 | ||||||||||||||||
Prepaid expenses | 1,809 | 1,743 | 2,112 | 2,026 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 312,174,809 | 324,507,897 | 466,529,070 | 489,106,615 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 162,522 | 5,422,328 | 2,195,336 | 5,037,880 | ||||||||||||||||
Payable for Fund shares repurchased | — | — | 642,050 | 651,860 | ||||||||||||||||
Variation margin payable on open futures contracts | 10,225 | 5,930 | — | — | ||||||||||||||||
Obligation to return securities lending collateral | 10,516,617 | 8,737,578 | 35,835,272 | 27,674,916 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 137,963 | 138,115 | 315,516 | 336,415 | ||||||||||||||||
Trustees fees | 183 | 190 | 255 | 270 | ||||||||||||||||
Accrued expenses | 87,372 | 98,126 | 115,078 | 111,169 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 10,914,882 | 14,402,267 | 39,103,507 | 33,812,510 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 301,259,927 | $ | 310,105,630 | $ | 427,425,563 | $ | 455,294,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | 282,430,807 | 312,916,317 | 402,252,353 | 448,630,040 | ||||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | (3,362 | ) | 954,639 | (97,703 | ) | (212 | ) | |||||||||||||
Accumulated net realized gain (loss) | 10,048,642 | (3,081,179 | ) | (1,817,854 | ) | (1,855,806 | ) | |||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currencies | 8,783,840 | (684,147 | ) | 27,088,767 | 8,520,083 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 301,259,927 | $ | 310,105,630 | $ | 427,425,563 | $ | 455,294,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 301,259,927 | $ | 310,105,630 | $ | 427,425,563 | $ | 455,294,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 32,246,355 | �� | 33,784,666 | 41,484,226 | 51,436,776 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 9.34 | $ | 9.18 | $ | 10.30 | $ | 8.85 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 302,492,034 | $ | 318,880,865 | $ | 436,945,541 | $ | 475,004,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency, at cost | $ | — | $ | — | $ | 96,788 | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 153 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2016
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 2,028,689,649 | $ | 807,227,233 | $ | 426,123,015 | $ | 1,175,003,818 | ||||||||||||
Foreign currency, at value(b) | 5,725,713 | — | 1,076,101 | 2,893,637 | ||||||||||||||||
Cash | — | 15,188 | — | 895,202 | ||||||||||||||||
Receivable for investments sold | 19,552,943 | 11,368,009 | 12,219,446 | 1,700,087 | ||||||||||||||||
Receivable for TBA securities sold | — | 11,971,002 | — | — | ||||||||||||||||
Receivable for Fund shares sold | — | — | — | 460 | ||||||||||||||||
Dividend and interest receivable | 6,376,527 | 5,958,128 | 7,826,910 | 3,306,927 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 3,980,000 | 197,096 | 631,826 | 5,240,393 | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | 3,279,440 | 9,363,103 | ||||||||||||||||
Receivable for variation margin on open futures contracts | — | 139,328 | 217,188 | 197,600 | ||||||||||||||||
Receivable for expenses reimbursed by Advisor | — | — | 25,469 | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 853,935 | ||||||||||||||||
Receivable for closed futures contracts | — | — | — | 710,325 | ||||||||||||||||
Foreign tax reclaims receivable | 1,554,091 | 1,106 | 74,998 | 16,190 | ||||||||||||||||
Securities lending income receivable | 155,618 | 5,617 | 15,700 | 53,942 | ||||||||||||||||
Prepaid expenses | 9,409 | 3,905 | 1,865 | 4,927 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 2,066,043,950 | 836,886,612 | 451,491,958 | 1,200,240,546 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 29,096,607 | 7,062,332 | 5,260,685 | — | ||||||||||||||||
Payable for Fund shares repurchased | 1,365,032 | — | 886,900 | 1,395,478 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | 33,742,013 | 3,800,000 | — | ||||||||||||||||
Due to custodian | — | — | 105,632 | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 288,409 | ||||||||||||||||
Payable for variation margin on open swap contracts | — | 69,021 | — | — | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | 6,031,496 | 9,057,496 | ||||||||||||||||
Variation margin payable on open futures contracts | 955,477 | 47,438 | — | 50,857 | ||||||||||||||||
Obligation to return securities lending collateral | 91,339,396 | 11,661,485 | 20,602,453 | 37,754,026 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 1,181,838 | 228,973 | 271,059 | 740,012 | ||||||||||||||||
Trustees fees | 1,149 | 473 | 244 | 669 | ||||||||||||||||
Payable for foreign capital gains tax | — | — | 98,993 | 253,478 | ||||||||||||||||
Accrued expenses | 470,181 | 199,894 | 172,807 | 563,768 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 124,409,680 | 53,011,629 | 37,230,269 | 50,104,193 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,941,634,270 | $ | 783,874,983 | $ | 414,261,689 | $ | 1,150,136,353 | ||||||||||||
|
|
|
|
|
|
|
|
154 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2016
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 1,954,015,493 | $ | 773,303,260 | $ | 484,701,943 | $ | 1,295,979,250 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | (3,143,284 | ) | 4,915,211 | (4,384,265 | ) | 5,375,948 | ||||||||||||||
Accumulated net realized gain (loss) | (34,557,927 | ) | 183,199 | (12,095,873 | ) | (125,640,615 | ) | |||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts, swap contracts and foreign currencies | 25,319,988 | 5,473,313 | (53,960,116 | ) | (25,578,230 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 1,941,634,270 | $ | 783,874,983 | $ | 414,261,689 | $ | 1,150,136,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 1,941,634,270 | $ | 783,874,983 | $ | 414,261,689 | $ | 1,150,136,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 202,090,912 | 77,267,099 | 49,084,253 | 133,882,017 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 9.61 | $ | 10.15 | $ | 8.44 | $ | 8.59 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 2,003,180,721 | $ | 801,437,045 | $ | 477,793,606 | $ | 1,204,713,075 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency, at cost | $ | 5,735,199 | $ | — | $ | 1,052,747 | $ | 2,845,913 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 155 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2016
Mercer Global Low Volatility Equity Fund | |||||
Assets | |||||
Investments, at value(a) | $ | 964,447,325 | |||
Foreign currency, at value(b) | 233,767 | ||||
Cash | 40,487 | ||||
Receivable for investments sold | 252,006 | ||||
Dividend and interest receivable | 1,675,345 | ||||
Cash collateral held at broker on open futures contracts | 1,539,000 | ||||
Unrealized appreciation on open forward foreign currency contracts | 3,585 | ||||
Foreign tax reclaims receivable | 434,089 | ||||
Securities lending income receivable | 15,905 | ||||
Prepaid expenses | 3,794 | ||||
|
| ||||
Total assets | 968,645,303 | ||||
|
| ||||
Liabilities | |||||
Payable for Fund shares repurchased | 2,102,536 | ||||
Unrealized depreciation on open forward foreign currency contracts | 49,773 | ||||
Variation margin payable on open futures contracts | 165,184 | ||||
Obligation to return securities lending collateral | 13,141,060 | ||||
Payable to affiliate for: | |||||
Advisory fees | 590,866 | ||||
Trustees fees | 568 | ||||
Payable for foreign capital gains tax | 42 | ||||
Accrued expenses | 209,753 | ||||
|
| ||||
Total liabilities | 16,259,782 | ||||
|
| ||||
Net assets | $ | 952,385,521 | |||
|
| ||||
Net assets consist of: | |||||
Paid-in capital | 891,116,011 | ||||
Accumulated undistributed net investment income | 1,709,899 | ||||
Accumulated net realized gain | 4,355,811 | ||||
Net unrealized appreciation on investments, futures contracts and foreign currencies | 55,203,800 | ||||
|
| ||||
Net assets | $ | 952,385,521 | |||
|
| ||||
Net assets attributable to: | |||||
Class Y-3 shares | $ | 952,385,521 | |||
|
| ||||
Shares outstanding: | |||||
Class Y-3 | 80,637,578 | ||||
|
| ||||
Net asset value per share: | |||||
Class Y-3 | $ | 11.81 | |||
|
| ||||
(a) Investments, at cost | $ | 909,853,983 | |||
|
| ||||
(b) Foreign currency, at cost | $ | 232,339 | |||
|
|
156 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
For the Year Ended March 31, 2016
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 2,242 | $ | 2,368 | $ | 3,025 | $ | 3,471 | ||||||||||||
Dividends | 3,225,419 | 7,576,259 | 3,405,559 | 5,385,955 | ||||||||||||||||
Securities lending income | 318,914 | 78,016 | 222,801 | 505,658 | ||||||||||||||||
Withholding taxes | (103,792 | ) | (55,882 | ) | (39,877 | ) | (66,080 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 3,442,783 | 7,600,761 | 3,591,508 | 5,829,004 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 1,977,278 | 1,890,589 | 4,025,343 | 4,013,897 | ||||||||||||||||
Transfer agent fees | 22,554 | 22,029 | 22,614 | 22,658 | ||||||||||||||||
Custodian and fund accounting fees | 102,701 | 130,419 | 169,520 | 129,856 | ||||||||||||||||
Audit fees | 51,794 | 51,791 | 54,595 | 52,271 | ||||||||||||||||
Legal fees | 32,173 | 32,308 | 42,493 | 43,974 | ||||||||||||||||
Trustees fees | 20,561 | 20,342 | 25,280 | 25,167 | ||||||||||||||||
Registration fees | 23,722 | 25,618 | 26,200 | 26,854 | ||||||||||||||||
Interest expense | 127 | 156 | 152 | 144 | ||||||||||||||||
Miscellaneous | 24,344 | 23,967 | 29,723 | 30,532 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 2,255,254 | 2,197,219 | 4,395,920 | 4,345,353 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | 1,187,529 | 5,403,542 | (804,412 | ) | 1,483,651 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 24,720,501 | 18,044,157 | 9,634,756 | 11,959,734 | ||||||||||||||||
Closed futures contracts | 166,086 | (938,034 | ) | (2,368,552 | ) | (2,228,225 | ) | |||||||||||||
Forward foreign currency contracts and foreign currency related transactions | — | (484 | ) | (2,187 | ) | (991 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 24,886,587 | 17,105,639 | 7,264,017 | 9,730,518 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (37,183,096 | ) | (49,789,686 | ) | (55,260,315 | ) | (26,595,007 | ) | ||||||||||||
Open futures contracts | 459,686 | 288,868 | 111,380 | 23,170 | ||||||||||||||||
Forward foreign currency contracts and foreign currency related translations | — | 562 | 2,727 | 14 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (36,723,410 | ) | (49,500,256 | ) | (55,146,208 | ) | (26,571,823 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | (11,836,823 | ) | (32,394,617 | ) | (47,882,191 | ) | (16,841,305 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (10,649,294 | ) | $ | (26,991,075 | ) | $ | (48,686,603 | ) | $ | (15,357,654 | ) | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 157 |
Table of Contents
Mercer Funds
Statements of Operations (Continued)
For the Year Ended March 31, 2016
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 6,832 | $ | 27,232,644 | $ | 28,562,347 | $ | 4,784 | ||||||||||||
Dividends | 52,034,291 | 198,042 | — | 33,046,049 | ||||||||||||||||
Securities lending income | 1,281,702 | 28,006 | 101,177 | 360,310 | ||||||||||||||||
Withholding taxes | (4,675,214 | ) | — | (154,008 | ) | (3,707,867 | ) | |||||||||||||
Other income | 545 | 47,917 | 25,101 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 48,648,156 | 27,506,609 | 28,534,617 | 29,703,276 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 14,727,618 | 2,970,087 | 3,179,550 | 8,449,534 | ||||||||||||||||
Transfer agent fees | 22,611 | 22,991 | 22,728 | 22,850 | ||||||||||||||||
Custodian and fund accounting fees | 1,260,859 | 325,458 | 366,570 | 1,768,190 | ||||||||||||||||
Audit fees | 149,865 | 87,345 | 67,810 | 145,413 | ||||||||||||||||
Legal fees | 183,555 | 74,058 | 39,186 | 103,288 | ||||||||||||||||
Trustees fees | 112,519 | 48,207 | 22,318 | 59,414 | ||||||||||||||||
Registration fees | 26,040 | 24,376 | 41,382 | 44,681 | ||||||||||||||||
Interest expense | 441 | 429 | 2,671 | 11,762 | ||||||||||||||||
Miscellaneous | 136,940 | 54,744 | 27,859 | 78,441 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 16,620,448 | 3,607,695 | 3,770,074 | 10,683,573 | ||||||||||||||||
Reimbursement of expenses | — | — | (190,160 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 16,620,448 | 3,607,695 | 3,579,914 | 10,683,573 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | 32,027,708 | 23,898,914 | 24,954,703 | 19,019,703 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | (1,952,975 | ) | 852,282 | (33,074,857 | ) | (88,213,103 | ) | |||||||||||||
Swap contracts | — | (807,565 | ) | — | — | |||||||||||||||
Closed futures contracts | (4,035,183 | ) | 703,955 | (843,070 | ) | (12,613,273 | ) | |||||||||||||
Written option contracts | — | 299,410 | — | — | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | (1,208,892 | ) | (15,835 | ) | (1,200,298 | ) | 198,263 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain (loss) | (7,197,050 | ) | 1,032,247 | (35,118,225 | ) | (100,628,113 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (132,497,638 | ) | (17,029,654 | ) | (11,084,586 | ) | (47,517,851 | ) | ||||||||||||
Swap contracts | — | (529,292 | ) | — | — | |||||||||||||||
Open futures contracts | (350,330 | ) | 371,934 | 760,965 | 1,669,469 | |||||||||||||||
Written option contracts | — | 4,134 | — | — | ||||||||||||||||
Forward foreign currency contracts and foreign currency related translations | 224,530 | 443 | (4,156,892 | ) | 1,860,268 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (132,623,438 | ) | (17,182,435 | ) | (14,480,513 | ) | (43,988,114 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | (139,820,488 | ) | (16,150,188 | ) | (49,598,738 | ) | (144,616,227 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (107,792,780 | ) | $ | 7,748,726 | $ | (24,644,035 | ) | $ | (125,596,524 | ) | |||||||||
|
|
|
|
|
|
|
|
158 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Operations (Continued)
For the Year Ended March 31, 2016
Mercer Global Low Volatility Equity Fund | |||||
Investment Income: | |||||
Interest | $ | 50,915 | |||
Dividends | 18,298,090 | ||||
Securities lending income | 254,174 | ||||
Withholding taxes | (961,604 | ) | |||
|
| ||||
Total investment income | 17,641,575 | ||||
|
| ||||
Expenses: | |||||
Advisory fees | 6,428,407 | ||||
Transfer agent fees | 22,337 | ||||
Custodian and fund accounting fees | 355,086 | ||||
Audit fees | 58,931 | ||||
Legal fees | 82,743 | ||||
Trustees fees | 47,681 | ||||
Registration fees | 30,306 | ||||
Interest expense | 371 | ||||
Miscellaneous | 57,147 | ||||
|
| ||||
Total expenses | 7,083,009 | ||||
|
| ||||
Net investment income (loss) | 10,558,566 | ||||
|
| ||||
Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on: | |||||
Investments | 15,239,733 | ||||
Closed futures contracts | (2,113,191 | ) | |||
Forward foreign currency contracts and foreign currency related transactions | 251,917 | ||||
|
| ||||
Net realized gain | 13,378,459 | ||||
|
| ||||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments | 11,861,437 | ||||
Open futures contracts | 621,287 | ||||
Forward foreign currency contracts and foreign currency related translations | (457,479 | ) | |||
|
| ||||
Change in net unrealized appreciation (depreciation) | 12,025,245 | ||||
|
| ||||
Net realized and unrealized gain (loss) | 25,403,704 | ||||
|
| ||||
Net increase (decrease) in net assets resulting from operations | $ | 35,962,270 | |||
|
|
See accompanying Notes to the Financial Statements. | 159 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | |||||||||||||||||||
Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 1,187,529 | $ | 1,371,357 | $ | 5,403,542 | $ | 5,280,848 | ||||||||||||
Net realized gain (loss) | 24,886,587 | 89,238,258 | 17,105,639 | 64,786,923 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (36,723,410 | ) | (41,892,194 | ) | (49,500,256 | ) | (37,278,891 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (10,649,294 | ) | 48,717,421 | (26,991,075 | ) | 32,788,880 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | (1,544,807 | ) | (1,009,786 | ) | (5,818,504 | ) | (5,406,946 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | (1,544,807 | ) | (1,009,786 | ) | (5,818,504 | ) | (5,406,946 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (38,484,951 | ) | (93,603,995 | ) | (42,590,603 | ) | (51,164,468 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (38,484,951 | ) | (93,603,995 | ) | (42,590,603 | ) | (51,164,468 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | (10,759,407 | ) | 49,732,510 | 22,622,945 | 16,187,539 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (10,759,407 | ) | 49,732,510 | 22,622,945 | 16,187,539 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (61,438,459 | ) | 3,836,150 | (52,777,237 | ) | (7,594,995 | ) | |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 362,698,386 | 358,862,236 | 362,882,867 | 370,477,862 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 301,259,927 | $ | 362,698,386 | $ | 310,105,630 | $ | 362,882,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of year | $ | (3,362 | ) | $ | 675,053 | $ | 954,639 | $ | 1,587,869 | |||||||||||
|
|
|
|
|
|
|
|
160 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||||
Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | (804,412 | ) | $ | (1,064,325 | ) | $ | 1,483,651 | $ | 1,175,519 | ||||||||||
Net realized gain (loss) | 7,264,017 | 47,234,362 | 9,730,518 | 22,938,710 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (55,146,208 | ) | 7,053,216 | (26,571,823 | ) | (929,804 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (48,686,603 | ) | 53,223,253 | (15,357,654 | ) | 23,184,425 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | — | (1,219,489 | ) | (994,292 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | — | (1,219,489 | ) | (994,292 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (24,352,888 | ) | (53,577,019 | ) | (17,363,946 | ) | (69,483,836 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (24,352,888 | ) | (53,577,019 | ) | (17,363,946 | ) | (69,483,836 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 29,572,449 | 73,886,251 | 32,889,353 | 114,927,870 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets resulting from net shares transactions | 29,572,449 | 73,886,251 | 32,889,353 | 114,927,870 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (43,467,042 | ) | 73,532,485 | (1,051,736 | ) | 67,634,167 | ||||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 470,892,605 | 397,360,120 | 456,345,841 | 388,711,674 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 427,425,563 | $ | 470,892,605 | $ | 455,294,105 | $ | 456,345,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of year | $ | (97,703 | ) | $ | (598,314 | ) | $ | (212 | ) | $ | 166,913 | |||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 161 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||||
Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 32,027,708 | $ | 35,085,958 | $ | 23,898,914 | $ | 25,019,242 | ||||||||||||
Net realized gain (loss) | (7,197,050 | ) | 79,341,632 | 1,032,247 | 20,292,462 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (132,623,438 | ) | (103,250,204 | ) | (17,182,435 | ) | 5,565,408 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (107,792,780 | ) | 11,177,386 | 7,748,726 | 50,877,112 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | (32,290,964 | ) | (47,473,858 | ) | (24,184,241 | ) | (26,100,759 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | (32,290,964 | ) | (47,473,858 | ) | (24,184,241 | ) | (26,100,759 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (49,778,409 | ) | (170,533,817 | ) | (8,369,548 | ) | (17,130,534 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (49,778,409 | ) | (170,533,817 | ) | (8,369,548 | ) | (17,130,534 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 58,515,147 | 398,335,931 | (83,968,766 | ) | (191,436,484 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 58,515,147 | 398,335,931 | (83,968,766 | ) | (191,436,484 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (131,347,006 | ) | 191,505,642 | (108,773,829 | ) | (183,790,665 | ) | |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 2,072,981,276 | 1,881,475,634 | 892,648,812 | 1,076,439,477 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 1,941,634,270 | $ | 2,072,981,276 | $ | 783,874,983 | $ | 892,648,812 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of year | $ | (3,143,284 | ) | $ | 4,662,672 | $ | 4,915,211 | $ | 5,601,926 | |||||||||||
|
|
|
|
|
|
|
|
162 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||||
Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 24,954,703 | $ | 18,584,572 | $ | 19,019,703 | $ | 16,472,583 | ||||||||||||
Net realized gain (loss) | (35,118,225 | ) | (2,390,213 | ) | (100,628,113 | ) | (13,106,014 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (14,480,513 | ) | (44,818,843 | ) | (43,988,114 | ) | 1,697,780 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (24,644,035 | ) | (28,624,484 | ) | (125,596,524 | ) | 5,064,349 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | (3,476,394 | ) | (17,059,016 | ) | (11,714,562 | ) | (18,781,299 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | (3,476,394 | ) | (17,059,016 | ) | (11,714,562 | ) | (18,781,299 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (1,749,711 | ) | (2,517,357 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (1,749,711 | ) | (2,517,357 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 48,192,685 | 183,559,152 | 200,092,196 | 238,149,352 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets resulting from net shares transactions | 48,192,685 | 183,559,152 | 200,092,196 | 238,149,352 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 18,322,545 | 135,358,295 | 62,781,110 | 224,432,402 | ||||||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 395,939,144 | 260,580,849 | 1,087,355,243 | 862,922,841 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 414,261,689 | $ | 395,939,144 | $ | 1,150,136,353 | $ | 1,087,355,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of year | $ | (4,384,265 | ) | $ | (1,552,201 | ) | $ | 5,375,948 | $ | (3,030,275 | ) | |||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 163 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||||||||||
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||
Increase (decrease) in net assets: | ||||||||||
Operations: | ||||||||||
Net investment income (loss) | $ | 10,558,566 | $ | 10,007,231 | ||||||
Net realized gain (loss) | 13,378,459 | 69,610,968 | ||||||||
Change in net unrealized appreciation (depreciation) | 12,025,245 | (32,482,741 | ) | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 35,962,270 | 47,135,458 | ||||||||
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class Y-3 | (10,380,943 | ) | (12,009,539 | ) | ||||||
|
|
|
| |||||||
Total distributions from net investment income | (10,380,943 | ) | (12,009,539 | ) | ||||||
|
|
|
| |||||||
Net realized gains | ||||||||||
Class Y-3 | (47,787,568 | ) | (41,263,632 | ) | ||||||
|
|
|
| |||||||
Total distributions from net realized gains | (47,787,568 | ) | (41,263,632 | ) | ||||||
|
|
|
| |||||||
Net share transactions (See Note 7): | ||||||||||
Class Y-3 | 155,539,826 | 82,548,255 | ||||||||
|
|
|
| |||||||
Increase in net assets resulting from net shares transactions | 155,539,826 | 82,548,255 | ||||||||
|
|
|
| |||||||
Net increase in net assets | 133,333,585 | 76,410,542 | ||||||||
Net assets: | ||||||||||
Beginning of year | 819,051,936 | 742,641,394 | ||||||||
|
|
|
| |||||||
End of year | $ | 952,385,521 | $ | 819,051,936 | ||||||
|
|
|
| |||||||
Undistributed net investment income included in net assets at end of year | $ | 1,709,899 | $ | 1,193,554 | ||||||
|
|
|
|
164 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 11.11 | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | |||||||||||||||
Net investment income† | 0.04 | 0.05 | 0.07 | 0.08 | 0.04 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.43 | ) | 1.63 | 3.11 | 0.68 | 1.06 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.39 | ) | 1.68 | 3.18 | 0.76 | 1.10 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.04 | ) | (0.09 | ) | (0.08 | ) | (0.02 | ) | |||||||||||||||
From net realized gain on investments | (1.33 | ) | (3.69 | ) | (3.49 | ) | (0.39 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (1.38 | ) | (3.73 | ) | (3.58 | ) | (0.47 | ) | (0.02 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 9.34 | $ | 11.11 | $ | 13.16 | $ | 13.56 | $ | 13.27 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | (4.09 | )% | 13.63 | %(a) | 23.99 | %(a) | 6.03 | %(a) | 9.08 | %(a) | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 0.33 | % | 0.37 | % | 0.48 | % | 0.61 | % | 0.33 | % | |||||||||||||||
Net expenses to average daily net assets | 0.63 | %(b) | 0.60 | %(b) | 0.57 | % | 0.57 | % | 0.57 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.63 | %(b) | 0.63 | %(b) | 0.63 | % | 0.63 | % | 0.63 | % | |||||||||||||||
Portfolio turnover rate | 66 | % | 118 | % | 50 | % | 65 | % | 64 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 301,260 | $ | 362,698 | $ | 358,862 | $ | 465,787 | $ | 465,641 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements. | 165 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 11.69 | $ | 12.66 | $ | 9.95 | $ | 8.71 | $ | 8.25 | |||||||||||||||
Net investment income† | 0.16 | 0.18 | 0.18 | 0.18 | 0.16 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.01 | ) | 0.94 | 2.75 | 1.26 | 0.45 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.85 | ) | 1.12 | 2.93 | 1.44 | 0.61 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.20 | ) | (0.20 | ) | (0.22 | ) | (0.20 | ) | (0.15 | ) | |||||||||||||||
From net realized gain on investments | (1.46 | ) | (1.89 | ) | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (1.66 | ) | (2.09 | ) | (0.22 | ) | (0.20 | ) | (0.15 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 9.18 | $ | 11.69 | $ | 12.66 | $ | 9.95 | $ | 8.71 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | (7.28 | )% | 9.10 | %(a) | 29.54 | %(a) | 16.71 | %(a) | 7.69 | %(a) | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.51 | % | 1.44 | % | 1.60 | % | 2.07 | % | 2.03 | % | |||||||||||||||
Net expenses to average daily net assets | 0.62 | %(b) | 0.59 | %(b) | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.62 | %(b) | 0.62 | %(b) | 0.61 | % | 0.60 | % | 0.62 | % | |||||||||||||||
Portfolio turnover rate | 74 | % | 60 | % | 45 | % | 59 | % | 109 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 310,106 | $ | 362,883 | $ | 370,478 | $ | 475,898 | $ | 459,999 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
166 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | |||||||||||||||
Net investment loss† | (0.02 | ) | (0.03 | ) | (0.02 | ) | (0.01 | ) | (0.04 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.28 | ) | 1.32 | 2.63 | 1.31 | 0.27 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (1.30 | ) | 1.29 | 2.61 | 1.30 | 0.23 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | — | — | — | (0.01 | ) | — | |||||||||||||||||||
From net realized gain on investments | (0.63 | ) | (1.50 | ) | (2.11 | ) | (0.97 | ) | (1.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.63 | ) | (1.50 | ) | (2.11 | ) | (0.98 | ) | (1.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 10.30 | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | (10.78 | )% | 11.11 | %(a) | 22.34 | %(a) | 12.11 | %(a) | 3.36 | %(a) | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment loss to average net assets | (0.18 | )% | (0.25 | )% | (0.17 | )% | (0.05 | )% | (0.36 | )% | |||||||||||||||
Net expenses to average daily net assets | 0.98 | %(b) | 0.98 | %(b) | 0.97 | % | 0.96 | % | 0.92 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.98 | %(b) | 0.99 | %(b) | 0.99 | % | 1.01 | % | 1.01 | % | |||||||||||||||
Portfolio turnover rate | 68 | % | 75 | % | 67 | % | 54 | % | 95 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 427,426 | $ | 470,893 | $ | 397,360 | $ | 442,080 | $ | 300,176 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements. | 167 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 9.63 | $ | 10.98 | $ | 11.05 | $ | 9.94 | $ | 10.64 | |||||||||||||||
Net investment income† | 0.03 | 0.03 | 0.04 | 0.13 | 0.06 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.43 | ) | 0.34 | 2.24 | 1.46 | (0.14 | )(a) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.40 | ) | 0.37 | 2.28 | 1.59 | (0.08 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.02 | ) | (0.10 | ) | (0.11 | ) | (0.04 | ) | |||||||||||||||
From net realized gain on investments | (0.36 | ) | (1.70 | ) | (2.25 | ) | (0.37 | ) | (0.58 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.38 | ) | (1.72 | ) | (2.35 | ) | (0.48 | ) | (0.62 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 8.85 | $ | 9.63 | $ | 10.98 | $ | 11.05 | $ | 9.94 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | (4.00 | )% | 4.27 | %(b) | 21.61 | %(b) | 16.51 | %(b) | (0.03 | )%(b) | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 0.33 | % | 0.28 | % | 0.38 | % | 1.26 | % | 0.60 | % | |||||||||||||||
Net expenses to average daily net assets | 0.97 | %(c) | 0.98 | %(c) | 0.97 | % | 0.96 | % | 0.92 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.97 | %(c) | 0.99 | %(c) | 1.00 | % | 1.01 | % | 1.01 | % | |||||||||||||||
Portfolio turnover rate | 83 | % | 88 | % | 122 | %(d) | 80 | % | 92 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 455,294 | $ | 456,346 | $ | 388,712 | $ | 429,412 | $ | 292,391 |
(a) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain for the period due to the timing of sales of the Fund in relation to the fluctuating net asset value per share of the Fund. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Portfolio turnover calculation does not include $38,447,113 of securities transferred out of the Fund as part of an in-kind redemption. |
† | Computed using average shares outstanding throughout the period. |
168 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 10.64 | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | |||||||||||||||
Net investment income† | 0.16 | 0.19 | 0.29 | 0.21 | 0.25 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.76 | ) | (0.22 | ) | 1.94 | 0.90 | (0.81 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.60 | ) | (0.03 | ) | 2.23 | 1.11 | (0.56 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.17 | ) | (0.27 | ) | (0.33 | ) | (0.25 | ) | (0.18 | ) | |||||||||||||||
From net realized gain on investments | (0.26 | ) | (0.98 | ) | (0.56 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.43 | ) | (1.25 | ) | (0.89 | ) | (0.25 | ) | (0.18 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 9.61 | $ | 10.64 | $ | 11.92 | $ | 10.58 | $ | 9.72 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | (5.64 | )% | 0.19 | %(a) | 21.48 | %(a) | 11.53 | %(a) | (5.15 | )%(a) | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.60 | % | 1.72 | % | 2.52 | % | 2.17 | % | 2.57 | % | |||||||||||||||
Net expenses to average daily net assets | 0.83 | %(b) | 0.84 | %(b) | 0.85 | % | 0.83 | % | 0.82 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.83 | %(b) | 0.84 | %(b) | 0.86 | % | 0.86 | % | 0.92 | % | |||||||||||||||
Portfolio turnover rate | 109 | % | 101 | % | 95 | %(c) | 90 | % | 105 | %(d) | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 1,941,634 | $ | 2,072,981 | $ | 1,881,476 | $ | 2,138,930 | $ | 1,892,784 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Portfolio turnover calculation does not include $177,821,966 of securities transferred out of the Fund as part of an in-kind redemption. |
(d) | Portfolio turnover calculation does not include $9,536,640 of securities transferred into the Fund as part of an in-kind contribution. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements. | 169 |
Table of Contents
Mercer Core Fixed Income Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 10.43 | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | |||||||||||||||
Net investment income† | 0.29 | 0.28 | 0.24 | 0.27 | 0.33 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.17 | ) | 0.28 | (0.19 | ) | 0.37 | 0.46 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.12 | 0.56 | 0.05 | 0.64 | 0.79 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.30 | ) | (0.33 | ) | (0.25 | ) | (0.31 | ) | (0.31 | ) | |||||||||||||||
From net realized gain on investments | (0.10 | ) | (0.22 | ) | (0.06 | ) | (0.23 | ) | (0.13 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.40 | ) | (0.55 | ) | (0.31 | ) | (0.54 | ) | (0.44 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 10.15 | $ | 10.43 | $ | 10.42 | $ | 10.68 | $ | 10.58 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return | 1.26 | % | 5.43 | %(a) | 0.44 | %(a) | 6.15 | %(a) | 7.88 | %(a) | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 2.80 | % | 2.66 | % | 2.32 | % | 2.51 | % | 3.13 | % | |||||||||||||||
Net expenses to average daily net assets | 0.42 | %(b) | 0.40 | % | 0.37 | % | 0.37 | % | 0.37 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.42 | %(b) | 0.42 | % | 0.43 | % | 0.43 | % | 0.44 | % | |||||||||||||||
Portfolio turnover rate | 88 | % | 192 | % | 187 | %(c) | 125 | % | 181 | % | |||||||||||||||
Net assets at end of (in 000’s) | $ | 783,875 | $ | 892,649 | $ | 1,076,439 | $ | 1,093,253 | $ | 1,025,624 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Excludes treasury dollar roll transactions. The Portfolio turnover rate including treasury dollar roll transactions was 251% for the year ended March 31, 2014. |
† | Computed using average shares outstanding throughout the year. |
170 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Period Ended 03/31/14(a) | |||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||
Net asset value at beginning of year | $ | 9.13 | $ | 10.43 | $ | 10.00 | |||||||||
Net investment income† | 0.54 | 0.56 | 0.34 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (1.12 | ) | (1.32 | ) | 0.35 | ||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | (0.58 | ) | (0.76 | ) | 0.69 | ||||||||||
|
|
|
|
|
| ||||||||||
Less dividends and distributions: | |||||||||||||||
From net investment income | (0.07 | ) | (0.47 | ) | (0.22 | ) | |||||||||
From net realized gain on investments | (0.04 | ) | (0.07 | ) | (0.04 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.11 | ) | (0.54 | ) | (0.26 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net asset value at end of year | $ | 8.44 | $ | 9.13 | $ | 10.43 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(b) | (6.25 | )% | (7.36 | )% | 7.00 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net investment income to average net assets | 6.28 | % | 5.55 | % | 5.52 | %* | |||||||||
Net expenses to average daily net assets | 0.90 | %(c) | 0.90 | %(c) | 0.90 | %* | |||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.95 | %(c) | 0.97 | %(c) | 1.17 | %* | |||||||||
Portfolio turnover rate | 53 | % | 58 | % | 28 | %** | |||||||||
Net assets at end of year (in 000’s) | $ | 414,262 | $ | 395,939 | $ | 260,581 |
(a) | The Fund commenced operations on August 21, 2013. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 171 |
Table of Contents
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Period Ended 03/31/13(a) | |||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||
Net asset value at beginning of year | $ | 9.88 | $ | 9.99 | $ | 10.49 | $ | 10.00 | ||||||||||||
Net investment income† | 0.16 | 0.17 | 0.18 | 0.10 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.36 | ) | (0.09 | ) | (0.46 | ) | 0.46 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (1.20 | ) | 0.08 | (0.28 | ) | 0.56 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.09 | ) | (0.19 | ) | (0.19 | ) | (0.06 | ) | ||||||||||||
From net realized gain on investments | — | — | (0.03 | ) | (0.01 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.09 | ) | (0.19 | ) | (0.22 | ) | (0.07 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value at end of year | $ | 8.59 | $ | 9.88 | $ | 9.99 | $ | 10.49 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return | (12.06 | )% | 0.81 | %(b) | (2.61 | )%(b) | 5.64 | %(b)** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net investment income to average net assets | 1.79 | % | 1.66 | % | 1.77 | % | 1.08 | %* | ||||||||||||
Net expenses to average daily net assets | 1.00 | %(c) | 0.98 | %(c) | 0.95 | %(c) | 0.95 | %(c)* | ||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 1.00 | %(c) | 1.00 | %(c) | 1.04 | %(c) | 1.15 | %(c)* | ||||||||||||
Portfolio turnover rate | 66 | % | 46 | % | 64 | % | 52 | %** | ||||||||||||
Net assets at end of year (in 000’s) | $ | 1,150,136 | $ | 1,087,355 | $ | 862,923 | $ | 517,085 |
(a) | The Portfolio commenced operations on May 1, 2012. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
* | Annualized |
** | Not annualized |
172 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/16 | Year Ended 03/31/15 | Year Ended 03/31/14 | Period Ended 03/31/13(a) | |||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||
Net asset value at beginning of year | $ | 12.11 | $ | 12.27 | $ | 11.19 | $ | 10.00 | ||||||||||||
Net investment income† | 0.15 | 0.15 | 0.14 | 0.07 | ||||||||||||||||
Net realized and unrealized gain on investments | 0.33 | 0.54 | 1.45 | 1.14 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.48 | 0.69 | 1.59 | 1.21 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions: | ||||||||||||||||||||
From net investment income | (0.14 | ) | (0.19 | ) | (0.16 | ) | (0.02 | ) | ||||||||||||
From net realized gain on investments | (0.64 | ) | (0.66 | ) | (0.35 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.78 | ) | (0.85 | ) | (0.51 | ) | (0.02 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value at end of year | $ | 11.81 | $ | 12.11 | $ | 12.27 | $ | 11.19 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment return | 4.13 | % | 5.80 | %(b) | 14.40 | %(b) | 12.13 | %(b)** | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net investment income to average net assets | 1.23 | % | 1.25 | % | 1.20 | % | 1.62 | %* | ||||||||||||
Net expenses to average daily net assets | 0.82 | %(c) | 0.85 | %(c) | 0.85 | % | 0.85 | %* | ||||||||||||
Total expenses (before reductions and reimbursements/recapture) to average daily net assets | 0.82 | %(c) | 0.84 | %(c) | 0.84 | % | 1.00 | %* | ||||||||||||
Portfolio turnover rate | 31 | % | 84 | % | 46 | % | 12 | %** | ||||||||||||
Net assets at end of year (in 000’s) | $ | 952,386 | $ | 819,052 | $ | 742,641 | $ | 301,230 |
(a) | The Fund commenced operations on November 6, 2012. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements. | 173 |
Table of Contents
Mercer Funds
Notes to the Financial Statements
March 31, 2016
1. | Organization |
Mercer Funds (the “Trust”) consists of the following nine series: Mercer US Large Cap Growth Equity Fund (“Large Cap Growth”), Mercer US Large Cap Value Equity Fund (“Large Cap Value”), Mercer US Small/Mid Cap Growth Equity Fund (“Small/Mid Cap Growth”), Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value”), Mercer Non-US Core Equity Fund (“Non-US Core Equity”), Mercer Core Fixed Income Fund (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940 (the “1940 Act”). The Funds’ investment advisor is Mercer Investment Management, Inc. (the “Advisor”). The Advisor manages each Fund using a “manager of managers” approach by selecting one or more subadvisors (each a “Subadvisor,” and collectively referred to as the “Subadvisors”) to manage each Fund’s assets. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services — Investment Companies.
Under the 1940 Act, each Fund is classified as “diversified”, with the exception of Opportunistic Fixed. Opportunistic Fixed is classified as “non-diversified” under the 1940 Act, as amended, and may invest a larger percentage of its assets in fewer issuers than diversified funds.
The investment objectives of the Funds are:
Fund | Investment Objective | |
Large Cap Growth | Long-term total return, which includes capital appreciation and income | |
Large Cap Value | Long-term total return, which includes capital appreciation and income | |
Small/Mid Cap Growth | Long-term total return, comprised primarily of capital appreciation | |
Small/Mid Cap Value | Long-term total return, comprised primarily of capital appreciation | |
Non-US Core Equity | Long-term total return, which includes capital appreciation and income | |
Core Fixed | Total return, consisting of both current income and capital appreciation | |
Opportunistic Fixed | Long-term total return, which includes capital appreciation and income | |
Emerging Markets | Long-term total return, which includes capital appreciation and income | |
Global Low Volatility | Long-term total return, which includes capital appreciation and income |
Each Fund has registered and is authorized to offer interests in four classes of shares: Class S, Class Y-1, Class Y-2 and Class Y-3. The principal difference between the classes of shares is the level of shareholder service, marketing and administrative fees borne by the classes. As of March 31, 2016, only the Class Y-3 shares of each Fund had commenced operations.
2. | Significant Accounting Policies |
The following are significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
174
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
(a) Security Valuation
Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Subadvisor as the primary market for such securities. Securities traded in the over-the-counter (“OTC”) market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price; other OTC securities are valued at the last bid price available prior to valuation (other than short-term investments, which are valued as described below). The Funds may invest in securities that are traded in foreign markets. Foreign securities will be converted into U.S. dollar equivalents based on the exchange rate in effect at a uniform time on each business day. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Board of Trustees of the Trust (the “Board”) has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.
Certain fixed-income securities may be valued based upon appraisals received from an independent pricing service using a computerized matrix system or based upon appraisals derived from information concerning the securities or similar securities received from a recognized dealer or dealers in those securities. It should be recognized that judgment often plays a greater role in valuing thinly traded securities, as well as bonds and other securities with few dealer quotations, than is the case with respect to securities for which a broader range of dealer quotations and last-sale information is available. Each such determination is based on consideration of relevant factors, and judgment is made by or at the direction of the Board. Each Fund values its investments for which market quotations are readily available at market value. Each Fund may value short-term investments that will mature within 60 days or less by using pricing service quotations or at amortized cost, provided that such amortized cost approximates market value.
Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, synthetic futures, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.
Senior secured floating rate loans and senior secured floating rate debt securities are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, prepayment speeds, tranche type, industry, company performance, spread, individual trading characteristics, institutional size trading in similar groups of securities and other market data.
The Board has delegated its responsibility for valuing portfolio securities to the Advisor, subject to continuing Board oversight. The Advisor has appointed a Valuation Committee that is responsible for overseeing the day-to-day process of valuing portfolio securities. With respect to portfolio securities for which market quotations are not readily available or (in the opinion of the Advisor or the applicable Subadvisor) do not otherwise accurately reflect the fair values of the securities, the Valuation Committee will value such securities at fair value based upon procedures approved by the Board.
175
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that a Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the time at which the Fund determines its NAV per share. A Fund’s value for a particular security may be different from the last quoted market price.
In May 2015, the FASB issued Accounting Standards Update (“ASU”) 2015-07 “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent)” (“ASU 2015-07”). ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which the fair value is measured using the net asset value per share practical expedient. ASU 2015-07 is effective for public entities for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years, with early adoption permitted. Management has elected to early adopt the disclosure requirements prescribed by ASU 2015-07. At March 31, 2016, the Funds did not hold any investments valued at NAV as practical expedient, as such, there was no impact to the Funds’ financial statement disclosures.
The Funds follow a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• | Level 1 — quoted prices unadjusted in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for “to-be-announced” (“TBA”) or when-issued securities approximate fair value and are determined using Level 2 inputs, as of March 31, 2016. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of March 31, 2016.
At March 31, 2016, Large Cap Growth, Large Cap Value and Small/Mid Cap Value held long-term investments whose value was determined using Level 1 inputs, with corresponding major categories as shown in the schedule of investments, Futures Contracts whose value was determined using Level 1 inputs and short-term investment positions in a Euro Time Deposit and State Street Institutional U.S. Government Money Market Fund, Premier Class, as shown in the schedule of investments, whose value was determined using Level 2 inputs.
176
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
The following is a summary of the inputs used as of March 31, 2016 in valuing the assets and liabilities of Small/Mid Cap Growth, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:
Small/Mid Cap Growth
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Advertising | $ | 2,093,270 | $ | — | $ | — | $ | 2,093,270 | ||||||||
Aerospace & Defense | 5,933,810 | — | — | 5,933,810 | ||||||||||||
Airlines | 4,502,024 | — | — | 4,502,024 | ||||||||||||
Apparel | 5,983,222 | — | — | 5,983,222 | ||||||||||||
Banks | 7,101,501 | — | — | 7,101,501 | ||||||||||||
Biotechnology | 6,815,354 | — | — | 6,815,354 | ||||||||||||
Building Materials | 8,647,951 | — | — | 8,647,951 | ||||||||||||
Chemicals | 8,721,531 | — | — | 8,721,531 | ||||||||||||
Commercial Services | 27,849,428 | — | — | 27,849,428 | ||||||||||||
Computers | 21,809,663 | — | — | 21,809,663 | ||||||||||||
Distribution & Wholesale | 5,640,585 | — | — | 5,640,585 | ||||||||||||
Diversified Financial Services | 20,490,511 | — | — | 20,490,511 | ||||||||||||
Electrical Components & Equipment | 1,219,403 | — | — | 1,219,403 | ||||||||||||
Electronics | 5,313,156 | — | — | 5,313,156 | ||||||||||||
Engineering & Construction | 1,488,342 | — | — | 1,488,342 | ||||||||||||
Entertainment | 3,135,265 | — | — | 3,135,265 | ||||||||||||
Food | 950,610 | — | — | 950,610 | ||||||||||||
Hand & Machine Tools | 5,318,036 | — | — | 5,318,036 | ||||||||||||
Health Care - Products | 23,664,791 | — | — | 23,664,791 | ||||||||||||
Health Care - Services | 11,021,342 | — | — | 11,021,342 | ||||||||||||
Home Furnishings | 896,277 | — | — | 896,277 | ||||||||||||
Household Products & Wares | 4,744,885 | — | — | 4,744,885 | ||||||||||||
Insurance | 3,572,816 | — | — | 3,572,816 | ||||||||||||
Internet | 14,964,592 | — | — | 14,964,592 | ||||||||||||
Leisure Time | 2,632,763 | — | — | 2,632,763 | ||||||||||||
Lodging | 1,529,126 | — | — | 1,529,126 | ||||||||||||
Machinery - Diversified | 19,815,569 | — | — | 19,815,569 | ||||||||||||
Media | 3,452,411 | — | — | 3,452,411 | ||||||||||||
Miscellaneous - Manufacturing | 4,923,630 | — | — | 4,923,630 | ||||||||||||
Office Furnishings | 2,675,940 | — | — | 2,675,940 | ||||||||||||
Oil & Gas | 3,780,374 | — | — | 3,780,374 | ||||||||||||
Oil & Gas Services | 6,143,859 | — | — | 6,143,859 | ||||||||||||
Packaging & Containers | 2,062,647 | — | — | 2,062,647 | ||||||||||||
Pharmaceuticals | 13,190,526 | — | — | 13,190,526 | ||||||||||||
Real Estate | 1,846,030 | — | — | 1,846,030 | ||||||||||||
REITS | 19,096,320 | — | — | 19,096,320 | ||||||||||||
Retail | 43,211,003 | — | — | 43,211,003 | ||||||||||||
Semiconductors | 8,153,999 | — | — | 8,153,999 | ||||||||||||
Software | 46,238,189 | — | — | 46,238,189 | ||||||||||||
Telecommunications | 9,852,524 | — | — | 9,852,524 | ||||||||||||
Transportation | 7,771,908 | — | — | 7,771,908 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 398,255,183 | — | — | 398,255,183 | ||||||||||||
|
|
|
|
|
|
|
|
177
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Investment Companies | ||||||||||||||||
Investment Companies | $ | 10,519,290 | $ | — | $ | — | $ | 10,519,290 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 10,519,290 | — | — | 10,519,290 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Oil & Gas | — | 0 | * | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | 0 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 19,163,909 | — | 19,163,909 | ||||||||||||
Securities Lending Collateral | — | 35,835,272 | — | 35,835,272 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 54,999,181 | — | 54,999,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 257,657 | — | — | 257,657 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 257,657 | — | — | 257,657 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 409,032,130 | $ | 54,999,181 | $ | — | $ | 464,031,311 | ||||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of March 31, 2016. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Non-US Core Equity
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 71,812,000 | $ | 0 | * | $ | — | $ | 71,812,000 | |||||||
Austria | 16,058,219 | — | — | 16,058,219 | ||||||||||||
Belgium | 18,555,131 | — | — | 18,555,131 | ||||||||||||
Bermuda | 4,625,137 | — | — | 4,625,137 | ||||||||||||
Brazil | 2,082,786 | — | — | 2,082,786 | ||||||||||||
Canada | 18,821,175 | — | — | 18,821,175 | ||||||||||||
Cayman Islands | 17,972,398 | — | — | 17,972,398 | ||||||||||||
China | 2,324,950 | — | — | 2,324,950 | ||||||||||||
Denmark | 38,813,968 | — | — | 38,813,968 | ||||||||||||
Faroe Islands | 664,617 | — | — | 664,617 | ||||||||||||
Finland | 21,038,101 | 76,944 | — | 21,115,045 | ||||||||||||
France | 152,592,129 | — | — | 152,592,129 | ||||||||||||
Germany | 146,616,497 | — | — | 146,616,497 | ||||||||||||
Gibraltar | 365,943 | — | — | 365,943 | ||||||||||||
Hong Kong | 21,485,966 | — | — | 21,485,966 | ||||||||||||
Hungary | 2,746,995 | — | — | 2,746,995 | ||||||||||||
India | 1,051,610 | — | — | 1,051,610 |
178
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Indonesia | $ | 8,628,571 | $ | — | $ | — | $ | 8,628,571 | ||||||||
Ireland | 4,837,119 | — | — | 4,837,119 | ||||||||||||
Isle Of Man | 2,005,278 | — | — | 2,005,278 | ||||||||||||
Israel | 6,175,690 | — | — | 6,175,690 | ||||||||||||
Italy | 28,721,116 | — | — | 28,721,116 | ||||||||||||
Japan | 381,615,645 | 272,494 | — | 381,888,139 | ||||||||||||
Luxembourg | 5,248,422 | — | — | 5,248,422 | ||||||||||||
Malaysia | 2,675,094 | — | — | 2,675,094 | ||||||||||||
Malta | 2,198,223 | — | — | 2,198,223 | ||||||||||||
Mauritius | 887,806 | — | — | 887,806 | ||||||||||||
Mexico | 4,438,470 | — | — | 4,438,470 | ||||||||||||
Netherlands | 63,197,251 | — | — | 63,197,251 | ||||||||||||
New Zealand | 9,096,683 | — | — | 9,096,683 | ||||||||||||
Norway | 23,257,030 | — | — | 23,257,030 | ||||||||||||
Philippines | 913,583 | — | — | 913,583 | ||||||||||||
Poland | 1,591,641 | — | — | 1,591,641 | ||||||||||||
Portugal | 14,619,154 | — | 0 | ** | 14,619,154 | |||||||||||
Russia | 2,877,217 | — | — | 2,877,217 | ||||||||||||
Singapore | 5,669,298 | — | — | 5,669,298 | ||||||||||||
South Africa | 1,041,035 | — | — | 1,041,035 | ||||||||||||
South Korea | 6,384,067 | — | — | 6,384,067 | ||||||||||||
Spain | 45,593,486 | — | 0 | ** | 45,593,486 | |||||||||||
Sweden | 51,410,571 | — | — | 51,410,571 | ||||||||||||
Switzerland | 155,862,371 | — | — | 155,862,371 | ||||||||||||
Taiwan | 9,855,309 | — | — | 9,855,309 | ||||||||||||
Thailand | 1,029,266 | — | — | 1,029,266 | ||||||||||||
Turkey | 1,242,652 | — | — | 1,242,652 | ||||||||||||
United Kingdom | 359,196,666 | — | — | 359,196,666 | ||||||||||||
United States | 45,758,585 | — | — | 45,758,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,783,654,921 | 349,438 | 0 | 1,784,004,359 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 17,641,744 | — | — | 17,641,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 17,641,744 | — | — | 17,641,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 1,677,340 | — | — | 1,677,340 | ||||||||||||
Germany | 12,045,299 | — | — | 12,045,299 | ||||||||||||
Spain | 461,543 | — | — | 461,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 14,184,182 | — | — | 14,184,182 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 121,519,968 | — | 121,519,968 | ||||||||||||
Securities Lending Collateral | — | 91,339,396 | — | 91,339,396 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 212,859,364 | — | 212,859,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,815,480,847 | $ | 213,208,802 | $ | 0 | $ | 2,028,689,649 | ||||||||
|
|
|
|
|
|
|
|
179
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† | ||||||||||||||||
Buys | $ | (198,945 | ) | $ | — | $ | — | $ | (198,945 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (198,945 | ) | — | — | (198,945 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (198,945 | ) | $ | — | $ | — | $ | (198,945 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of March 31, 2016. |
** | Represents one or more Level 3 securities at $0 value as of March 31, 2016. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Core Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 84,533,051 | $ | — | $ | 84,533,051 | ||||||||
Corporate Debt | — | 312,760,443 | 0 | ** | 312,760,443 | |||||||||||
Mortgage Backed Securities - Private Issuers | — | 87,010,024 | — | 87,010,024 | ||||||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 208,769,281 | — | 208,769,281 | ||||||||||||
Municipal Obligations | — | 21,454,802 | — | 21,454,802 | ||||||||||||
Sovereign Debt Obligations | — | 5,785,115 | — | 5,785,115 | ||||||||||||
U.S. Government and Agency Obligations | — | 46,239,855 | — | 46,239,855 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 766,552,571 | 0 | 766,552,571 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Diversified Financial Services | 2,526,469 | — | — | 2,526,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 2,526,469 | — | — | 2,526,469 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 24,067,901 | — | 24,067,901 | ||||||||||||
Securities Lending Collateral | — | 11,661,485 | — | 11,661,485 | ||||||||||||
U.S. Government and Agency Obligations | — | 2,418,807 | — | 2,418,807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 38,148,193 | — | 38,148,193 | ||||||||||||
|
|
|
|
|
|
|
|
180
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† | ||||||||||||||||
Buys | $ | 201,614 | $ | — | $ | — | $ | 201,614 | ||||||||
Sales | 179,897 | — | — | 179,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 381,511 | — | — | 381,511 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | 73,795 | — | 73,795 | ||||||||||||
Centrally Cleared Credit Default Swaps† | — | 222,333 | — | 222,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | 296,128 | — | 296,128 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,907,980 | $ | 804,996,892 | $ | 0 | $ | 807,904,872 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† | ||||||||||||||||
Buys | $ | (1,079 | ) | $ | — | $ | — | $ | (1,079 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (1,079 | ) | — | — | (1,079 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | (993,272 | ) | — | (993,272 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | (993,272 | ) | — | (993,272 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,079 | ) | $ | (993,272 | ) | $ | — | $ | (994,351 | ) | |||||
|
|
|
|
|
|
|
|
** | Represents one or more Level 3 securities at $0 value as of March 31, 2016. |
† | Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
181
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Opportunistic Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 205,266,539 | $ | — | $ | 205,266,539 | ||||||||
Sovereign Debt Obligations | — | 178,809,303 | — | 178,809,303 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 384,075,842 | — | 384,075,842 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 21,444,720 | — | 21,444,720 | ||||||||||||
Securities Lending Collateral | — | 20,602,453 | — | 20,602,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 42,047,173 | — | 42,047,173 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | — | 3,259,878 | — | 3,259,878 | ||||||||||||
Sales | — | 1,390 | — | 1,390 | ||||||||||||
Cross - Currency Forwards | — | 18,172 | — | 18,172 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 3,279,440 | — | 3,279,440 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 290,471 | 6,606 | — | 297,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 290,471 | 6,606 | — | 297,077 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 290,471 | $ | 429,409,061 | $ | — | $ | 429,699,532 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | $ | — | $ | (66,352 | ) | $ | — | $ | (66,352 | ) | ||||||
Sales | — | (5,965,144 | ) | — | (5,965,144 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (6,031,496 | ) | — | (6,031,496 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (6,031,496 | ) | $ | — | $ | (6,031,496 | ) | ||||||
|
|
|
|
|
|
|
|
† | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
182
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Emerging Markets
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Bermuda | $ | 11,698,472 | $ | — | $ | — | $ | 11,698,472 | ||||||||
Brazil | 50,208,426 | — | — | 50,208,426 | ||||||||||||
Cayman Islands | 97,546,528 | — | — | 97,546,528 | ||||||||||||
Chile | 10,765,846 | — | — | 10,765,846 | ||||||||||||
China | 137,286,505 | — | — | 137,286,505 | ||||||||||||
Colombia | 1,603,901 | — | — | 1,603,901 | ||||||||||||
Czech Republic | 2,753,490 | — | — | 2,753,490 | ||||||||||||
Denmark | 2,774,903 | — | — | 2,774,903 | ||||||||||||
Hong Kong | 58,415,154 | — | — | 58,415,154 | ||||||||||||
Hungary | 8,435,615 | — | — | 8,435,615 | ||||||||||||
India | 89,115,044 | — | — | 89,115,044 | ||||||||||||
Indonesia | 26,139,208 | — | — | 26,139,208 | ||||||||||||
Luxembourg | 2,091,883 | — | — | 2,091,883 | ||||||||||||
Malaysia | 15,172,881 | — | — | 15,172,881 | ||||||||||||
Malta | 662,663 | — | — | 662,663 | ||||||||||||
Mexico | 44,106,741 | — | — | 44,106,741 | ||||||||||||
Netherlands | 1,487,274 | — | — | 1,487,274 | ||||||||||||
Philippines | 6,080,531 | — | — | 6,080,531 | ||||||||||||
Poland | 6,831,661 | — | — | 6,831,661 | ||||||||||||
Qatar | 7,943,412 | — | — | 7,943,412 | ||||||||||||
Romania | 500,977 | — | — | 500,977 | ||||||||||||
Russia | 22,074,267 | — | — | 22,074,267 | ||||||||||||
South Africa | 49,013,753 | — | — | 49,013,753 | ||||||||||||
South Korea | 142,607,742 | — | — | 142,607,742 | ||||||||||||
Taiwan | 145,695,136 | — | — | 145,695,136 | ||||||||||||
Thailand | 15,200,067 | 3,510,479 | — | 18,710,546 | ||||||||||||
Turkey | 23,448,837 | — | — | 23,448,837 | ||||||||||||
United Arab Emirates | 14,549,218 | — | — | 14,549,218 | ||||||||||||
United Kingdom | 12,565,883 | — | — | 12,565,883 | ||||||||||||
United States | 2,268,426 | — | — | 2,268,426 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,009,044,444 | 3,510,479 | — | 1,012,554,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 16,989,660 | — | — | 16,989,660 | ||||||||||||
Chile | 1,630,152 | — | — | 1,630,152 | ||||||||||||
Colombia | 793,608 | — | — | 793,608 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 19,413,420 | — | — | 19,413,420 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 101,521,449 | — | 101,521,449 | ||||||||||||
Investment Fund | — | 3,760,000 | — | 3,760,000 | ||||||||||||
Securities Lending Collateral | — | 37,754,026 | — | 37,754,026 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 143,035,475 | — | 143,035,475 | ||||||||||||
|
|
|
|
|
|
|
|
183
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | $ | — | $ | 9,362,176 | $ | — | $ | 9,362,176 | ||||||||
Sales | — | 927 | — | 927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 9,363,103 | — | 9,363,103 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 3,219,620 | — | — | 3,219,620 | ||||||||||||
Sales | 78,374 | — | — | 78,374 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 3,297,994 | — | — | 3,297,994 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | 853,935 | — | 853,935 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,031,755,858 | $ | 156,762,992 | $ | — | $ | 1,188,518,850 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | $ | — | $ | (1,223 | ) | $ | — | $ | (1,223 | ) | ||||||
Sales | — | (9,056,273 | ) | — | (9,056,273 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (9,057,496 | ) | — | (9,057,496 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Sales | (66,371 | ) | — | — | (66,371 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (66,371 | ) | — | — | (66,371 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | (288,409 | ) | — | (288,409 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (66,371 | ) | $ | (9,345,905 | ) | $ | — | $ | (9,412,276 | ) | |||||
|
|
|
|
|
|
|
|
† | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
184
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Global Low Volatility
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 9,847,959 | $ | — | $ | — | $ | 9,847,959 | ||||||||
Austria | 7,156,985 | — | — | 7,156,985 | ||||||||||||
Belgium | 6,303,262 | — | — | 6,303,262 | ||||||||||||
Bermuda | 11,952,394 | — | — | 11,952,394 | ||||||||||||
Canada | 38,672,521 | — | — | 38,672,521 | ||||||||||||
Denmark | 1,091,371 | — | — | 1,091,371 | ||||||||||||
Faroe Islands | 863,282 | — | — | 863,282 | ||||||||||||
France | 17,987,850 | — | — | 17,987,850 | ||||||||||||
Germany | 10,541,402 | — | — | 10,541,402 | ||||||||||||
Hong Kong | 5,187,797 | — | — | 5,187,797 | ||||||||||||
Ireland | 8,328,326 | — | — | 8,328,326 | ||||||||||||
Israel | 4,603,516 | — | — | 4,603,516 | ||||||||||||
Italy | 3,044,519 | — | — | 3,044,519 | �� | |||||||||||
Japan | 44,994,172 | 61,924 | — | 45,056,096 | ||||||||||||
Luxembourg | 853,674 | — | — | 853,674 | ||||||||||||
Mexico | 2,356,959 | — | — | 2,356,959 | ||||||||||||
Netherlands | 5,107,839 | — | — | 5,107,839 | ||||||||||||
New Zealand | 20,747,051 | — | — | 20,747,051 | ||||||||||||
Norway | 8,901,540 | — | — | 8,901,540 | ||||||||||||
Panama | 343,005 | — | — | 343,005 | ||||||||||||
Portugal | 47,785 | — | — | 47,785 | ||||||||||||
Russia | 330,941 | — | — | 330,941 | ||||||||||||
Singapore | 3,375,679 | — | — | 3,375,679 | ||||||||||||
South Korea | 3,304,783 | — | — | 3,304,783 | ||||||||||||
Spain | 6,363,571 | — | — | 6,363,571 | ||||||||||||
Sweden | 10,326,890 | — | — | 10,326,890 | ||||||||||||
Switzerland | 33,296,560 | — | — | 33,296,560 | ||||||||||||
Thailand | 976,254 | — | — | 976,254 | ||||||||||||
United Kingdom | 76,448,972 | — | — | 76,448,972 | ||||||||||||
United States | 472,868,302 | — | — | 472,868,302 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 816,225,161 | 61,924 | — | 816,287,085 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 12,860,031 | — | — | 12,860,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 12,860,031 | — | — | 12,860,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | 1,590,525 | — | — | 1,590,525 | ||||||||||||
Japan | 395,362 | — | — | 395,362 | ||||||||||||
Sweden | 141,741 | — | — | 141,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 2,127,628 | — | — | 2,127,628 | ||||||||||||
|
|
|
|
|
|
|
|
185
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Rights | ||||||||||||||||
United Kingdom | $ | — | $ | 77 | $ | — | $ | 77 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | — | 77 | — | 77 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
United States | 256,101 | — | — | 256,101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 256,101 | — | — | 256,101 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | — | 2,293,567 | — | 2,293,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 2,293,567 | — | 2,293,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 117,481,776 | — | 117,481,776 | ||||||||||||
Securities Lending Collateral | — | 13,141,060 | — | 13,141,060 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 130,622,836 | — | 130,622,836 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Sales | — | 3,585 | — | 3,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 3,585 | — | 3,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 686,200 | — | — | 686,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 686,200 | — | — | 686,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 832,155,121 | $ | 132,981,989 | $ | — | $ | 965,137,110 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Sales | $ | — | $ | (49,773 | ) | $ | — | $ | (49,773 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (49,773 | ) | — | (49,773 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (27,628 | ) | — | — | (27,628 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (27,628 | ) | — | — | (27,628 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (27,628 | ) | $ | (49,773 | ) | $ | — | $ | (77,401 | ) | |||||
|
|
|
|
|
|
|
|
† | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
186
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
The following tables show transfers between Level 1 and Level 2 of the fair value hierarchy:
Emerging Markets
Transfers In | Transfers Out | |||||||||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | |||||||||||||
Common Stocks | $ | — | $ | 3,510,479 | * | $ | 3,510,479 | * | $ | — |
* | Transfers occurred between Level 1 and Level 2 as a result of foreign securities not receiving an exchange traded price. |
For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.
The following tables include a rollforward of the amounts for the year ended March 31, 2016 for financial instruments classified as Level 3:
Non-US Core Equity
Investments | Balance as of March 31, 2015 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases | Balance as of March 31, 2016 | Change in Unrealized Appreciation (Depreciation) from Investments Held at March 31, 2016 | ||||||||||||||||||||||||||||
COMMON STOCKS |
| ||||||||||||||||||||||||||||||||||
Portugal | $ | 100,852 | $ | — | $ | (100,852 | ) | $ | — | $ | — | $ | 0 | ^^ | $ | (100,852 | ) | ||||||||||||||||||
Spain | 0 | ^ | — | — | — | — | 0 | ^^ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 100,852 | $ | — | $ | (100,852 | ) | $ | — | $ | — | $ | 0 | ^^ | $ | (100,852 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^ | Represents one security at $0 value as of March 31, 2015. |
^^ | Represents one security at $0 value as of March 31, 2016. |
Core Fixed
Investments | Balance as of March 31, 2015 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases/ Sales | Balance as of March 31, 2016 | Change in Unrealized Appreciation (Depreciation) from Investments Held at March 31, 2016 | ||||||||||||||||||||||||||||
DEBT OBLIGATIONS |
| ||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 0 | ^ | $ | (418,993 | ) | $ | 418,993 | $ | — | $ | — | $ | 0 | ^^ | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 0 | ^ | $ | (418,993 | ) | $ | 418,993 | $ | — | $ | — | $ | 0 | ^^ | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^ | Represents three securities at $0 value as of March 31, 2015. |
^^ | Represents one security at $0 value as of March 31, 2016. |
187
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Investments in Derivative Instruments
Non-US Core Equity, Emerging Markets and Global Low Volatility held rights during the year as a result of corporate actions. Small/Mid Cap Growth and Global Low Volatility held warrants during the year as a result of corporate actions.
At March 31, 2016 and during the period then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:
Large Cap Growth
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | 284,626 | $ | 284,626 | ||||
|
|
|
| |||||
Total Value | $ | 284,626 | $ | 284,626 | ||||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(7) | $ | 166,086 | $ | 166,086 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 166,086 | $ | 166,086 | ||||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(12) | $ | 459,686 | $ | 459,686 | ||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 459,686 | $ | 459,686 | ||||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Equity Risk | Total | |||||||
Futures Contracts | 118 | 118 |
Large Cap Value
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | 157,834 | $ | 157,834 | ||||
|
|
|
| |||||
Total Value | $ | 157,834 | $ | 157,834 | ||||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(7) | $ | (938,034 | ) | $ | (938,034 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (938,034 | ) | $ | (938,034 | ) | ||
|
|
|
|
188
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(12) | $ | 288,868 | $ | 288,868 | ||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 288,868 | $ | 288,868 | ||||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Equity Risk | Total | |||||||
Futures Contracts | 122 | 122 |
Small/Mid Cap Growth
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Warrants(1) | $ | 0 | * | $ | 0 | |||
Futures Contracts(3) | 257,657 | 257,657 | ||||||
|
|
|
| |||||
Total Value | $ | 257,657 | $ | 257,657 | ||||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(7) | $ | (2,368,552 | ) | $ | (2,368,552 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (2,368,552 | ) | $ | (2,368,552 | ) | ||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Warrants(10) | $ | 0 | $ | 0 | ||||
Futures Contracts(12) | 111,380 | 111,380 | ||||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 111,380 | $ | 111,380 | ||||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Equity Risk | Total | |||||||
Warrants | 27,862 | 27,862 | ||||||
Futures Contracts | 159 | 159 |
Small/Mid Cap Value
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | 257,535 | $ | 257,535 | ||||
|
|
|
| |||||
Total Value | $ | 257,535 | $ | 257,535 | ||||
|
|
|
|
189
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(7) | $ | (2,228,225 | ) | $ | (2,228,225 | ) | ||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | (2,228,225 | ) | $ | (2,228,225 | ) | ||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(12) | $ | 23,170 | $ | 23,170 | ||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 23,170 | $ | 23,170 | ||||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Equity Risk | Total | |||||||
Futures Contracts | 134 | 134 |
Non-US Core Equity
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (198,945 | ) | $ | (198,945 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (198,945 | ) | $ | (198,945 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased(5) | $ | 69,668 | $ | — | $ | 69,668 | ||||||
Rights(5) | — | 196,725 | 196,725 | |||||||||
Futures Contracts(7) | — | (4,035,183 | ) | (4,035,183 | ) | |||||||
Forward Foreign Currency Contracts(6) | (37 | ) | — | (37 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 69,631 | $ | (3,838,458 | ) | $ | (3,768,827 | ) | ||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased(10) | $ | 77,788 | $ | — | $ | 77,788 | ||||||
Rights(10) | — | (31,442 | ) | (31,442 | ) | |||||||
Futures Contracts(12) | — | (350,330 | ) | (350,330 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 77,788 | $ | (381,772 | ) | $ | (303,984 | ) | ||||
|
|
|
|
|
|
190
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased | 12,282,120 | — | 12,282,120 | |||||||||
Rights | — | 243,694 | 243,694 | |||||||||
Futures Contracts | — | 916 | 916 | |||||||||
Forward Foreign Currency Contracts | (21,214 | ) | — | (21,214 | ) |
Core Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Futures Contracts(3) | $ | 381,511 | $ | — | $ | — | $ | 381,511 | ||||||||
Centrally Cleared Swap Contracts | 73,795 | ** | — | 222,333 | ** | 296,128 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | 455,306 | $ | — | $ | 222,333 | $ | 677,639 | ||||||||
|
|
|
|
|
|
|
|
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Futures Contracts(3) | $ | (1,079 | ) | $ | — | $ | — | $ | (1,079 | ) | ||||||
Centrally Cleared Swap Contracts | (993,272 | )** | — | — | (993,272 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Value | $ | (994,351 | ) | $ | — | $ | — | $ | (994,351 | ) | ||||||
|
|
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Purchased(5) | $ | (480,228 | ) | $ | (94,575 | ) | $ | — | $ | (574,803 | ) | |||||
Options Written(8) | 235,979 | 63,431 | — | 299,410 | ||||||||||||
Swaps Contracts(9) | (635,204 | ) | — | (172,361 | ) | (807,565 | ) | |||||||||
Futures Contracts(7) | 703,955 | — | — | 703,955 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Realized Gain (Loss) | $ | (175,498 | ) | $ | (31,144 | ) | $ | (172,361 | ) | $ | (379,003 | ) | ||||
|
|
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Written(13) | $ | 4,134 | $ | — | $ | — | $ | 4,134 | ||||||||
Options Purchased(10) | (46,037 | ) | — | — | (46,037 | ) | ||||||||||
Swaps Contracts(14) | (741,284 | ) | — | 211,992 | (529,292 | ) | ||||||||||
Futures Contracts(12) | 371,934 | — | — | 371,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Change in Appreciation (Depreciation) | $ | (411,253 | ) | $ | — | $ | 211,992 | $ | (199,261 | ) | ||||||
|
|
|
|
|
|
|
|
191
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Options Purchased | 205,571 | 2,385,000 | — | 2,590,571 | ||||||||||||
Options Written | (199,571 | ) | (2,385,000 | ) | — | (2,584,571 | ) | |||||||||
Swaps Contracts | 38,331,326 | — | 17,000,000 | 55,331,326 | ||||||||||||
Futures Contracts | 718 | — | — | 718 |
Opportunistic Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(3) | $ | 297,077 | $ | — | $ | 297,077 | ||||||
Forward Foreign Currency Contracts(2)† | — | 3,279,440 | 3,279,440 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 297,077 | $ | 3,279,440 | $ | 3,576,517 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Forward Foreign Currency Contracts(4) | $ | — | $ | (6,031,496 | ) | $ | (6,031,496 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (6,031,496 | ) | $ | (6,031,496 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(7) | $ | (843,070 | ) | $ | — | $ | (843,070 | ) | ||||
Forward Foreign Currency Contracts(6)† | — | 2,499,354 | 2,499,354 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (843,070 | ) | $ | 2,499,354 | $ | 1,656,284 | |||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(12) | $ | 760,965 | $ | — | $ | 760,965 | ||||||
Forward Foreign Currency Contracts(11)† | — | (4,833,525 | ) | (4,833,525 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 760,965 | $ | (4,833,525 | ) | $ | (4,072,560 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts | 1,783 | — | 1,783 | |||||||||
Forward Foreign Currency Contracts† | — | (3,636,954 | ) | (3,636,954 | ) |
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March 31, 2016
Emerging Markets
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3)†† | $ | — | $ | 4,151,929 | $ | 4,151,929 | ||||||
Forward Foreign Currency Contracts(2) | 9,363,103 | — | 9,363,103 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 9,363,103 | $ | 4,151,929 | $ | 13,515,032 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3)†† | $ | — | $ | (354,780 | ) | $ | (354,780 | ) | ||||
Forward Foreign Currency Contracts(4) | (9,057,496 | ) | — | (9,057,496 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (9,057,496 | ) | $ | (354,780 | ) | $ | (9,412,276 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(5) | $ | — | $ | (20,618 | ) | $ | (20,618 | ) | ||||
Futures Contracts(7)†† | — | (12,613,273 | ) | (12,613,273 | ) | |||||||
Forward Foreign Currency Contracts(6) | 1,795,766 | — | 1,795,766 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 1,795,766 | $ | (12,633,891 | ) | $ | (10,838,125 | ) | ||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(12)†† | $ | — | $ | 1,669,469 | $ | 1,669,469 | ||||||
Forward Foreign Currency Contracts(11) | 926,076 | — | 926,076 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 926,076 | $ | 1,669,469 | $ | 2,595,545 | ||||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 16,118 | 16,118 | |||||||||
Futures Contracts†† | — | 3,731,929 | 3,731,929 | |||||||||
Forward Foreign Currency Contracts | 36,696,854 | — | 36,696,854 |
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March 31, 2016
Global Low Volatility
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(1) | $ | — | $ | 77 | $ | 77 | ||||||
Warrants(1) | — | 256,101 | 256,101 | |||||||||
Futures Contracts(3) | 43,384 | 642,816 | 686,200 | |||||||||
Forward Foreign Currency Contracts(2) | 3,585 | — | 3,585 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 46,969 | $ | 898,994 | $ | 945,963 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (27,628 | ) | $ | (27,628 | ) | ||||
Forward Foreign Currency Contracts(4) | (49,773 | ) | — | (49,773 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (49,773 | ) | $ | (27,628 | ) | $ | (77,401 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(5) | $ | — | $ | 69,395 | $ | 69,395 | ||||||
Warrants(5) | — | 231,558 | 231,558 | |||||||||
Futures Contracts(7) | (105,359 | ) | (2,007,832 | ) | (2,113,191 | ) | ||||||
Forward Foreign Currency Contracts(6) | 464,331 | — | 464,331 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 358,972 | $ | (1,706,879 | ) | $ | (1,347,907 | ) | ||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(10) | $ | — | $ | (30,072 | ) | $ | (30,072 | ) | ||||
Warrants(10) | — | (219,954 | ) | (219,954 | ) | |||||||
Futures Contracts(12) | 42,134 | 579,153 | 621,287 | |||||||||
Forward Foreign Currency Contracts(11) | (517,139 | ) | — | (517,139 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (475,005 | ) | $ | 329,127 | $ | (145,878 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(15)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 141,358 | 141,358 | |||||||||
Warrants | — | 22,335 | 22,335 | |||||||||
Futures Contracts | 19 | 347 | 366 | |||||||||
Forward Foreign Currency Contracts | (1,933,571 | ) | — | (1,933,571 | ) |
* | Represents one security at $0 value as of March 31, 2016. |
** | Centrally Cleared Swaps are valued at unrealized appreciation/depreciation on the Schedule of Investments. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
† | Includes Cross Currency Foreign Currency Contracts. |
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March 31, 2016
†† | Includes Synthetic Futures. |
(1) | Statements of Assets and Liabilities location: Investments, at value. |
(2) | Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
(3) | Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. Synthetic futures are presented as Synthetic futures, at value within the Statements of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(5) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Investments. |
(6) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions. |
(7) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Closed futures contracts. |
(8) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Written option contracts. |
(9) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts. |
(10) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Investments. |
(11) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions. |
(12) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts. |
(13) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Written option contracts. |
(14) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Swap contracts. |
(15) | Amounts disclosed represent average number of contracts, notional amounts, or shares outstanding for the time period that the Fund held such derivatives during the year ended March 31, 2016. |
The Funds follow FASB ASC 815-10-50 “Disclosures about Credit Derivatives and Certain Guarantees”. This applies to written credit derivatives, hybrid instruments with embedded credit derivatives (for example, credit-linked notes), and certain guarantees.
The following is a summary of open centrally cleared credit default swap positions held Core Fixed at March 31, 2016:
Notional Amount* | Currency | Expiration Date | Buy/Sell Protection | Receive (Pay) Fixed Rate | Deliverable | Unrealized Appreciation (Depreciation) | Value | |||||||||||||||||
17,000,000 | USD | 06/20/20 | Buy | (1.00 | %) | CDX.IG.24 CG24 | $ | 222,333 | $(92,598) |
* | 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. |
Netting Agreements and Collateral Requirements
In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with certain collateral held and/or posted and create a net payment. The provisions of the ISDA Master Agreement typically permit a net payment in the event of default including the
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March 31, 2016
bankruptcy or insolvency of the counterparty. Absent an event of default by the counterparty or termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash collateral held at broker or cash collateral due to broker, respectively. Non-cash collateral pledged by or received by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
The Funds are required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowings transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Funds’ derivative assets and liabilities at fair value by risk are presented in the tables above. For financial reporting purposes the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of related collateral received by the Funds for assets or pledged by the Funds for liabilities as of March 31, 2016.
Opportunistic Fixed
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Barclays Bank Plc | $ | 4,262 | $ | (4,262 | ) | $ | — | $ | — | |||||||
Citibank N.A. | 1,239,122 | (1,239,122 | ) | — | — | |||||||||||
Deutsche Bank AG | 80,474 | (26,086 | ) | — | 54,388 | |||||||||||
Goldman Sachs International | 1,351,967 | (1,351,967 | ) | — | — | |||||||||||
Standard Chartered Bank | 603,615 | (151,233 | ) | — | 452,382 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 3,279,440 | $ | (2,772,670 | ) | $ | — | $ | 506,770 | ||||||||
|
|
|
|
|
|
|
|
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Notes to the Financial Statements (Continued)
March 31, 2016
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Barclays Bank Plc | $ | (275,242 | ) | $ | 4,262 | $ | — | $ | (270,980 | ) | ||||||
Citibank N.A. | (2,580,509 | ) | 1,239,122 | — | (1,341,387 | ) | ||||||||||
Deutsche Bank AG | (26,086 | ) | 26,086 | — | — | |||||||||||
Deutsche Bank AG London | (90,028 | ) | — | — | (90,028 | ) | ||||||||||
Goldman Sachs International | (2,908,398 | ) | 1,351,967 | — | (1,556,431 | ) | ||||||||||
Standard Chartered Bank | (151,233 | ) | 151,233 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (6,031,496 | ) | $ | 2,772,670 | $ | — | $ | (3,258,826 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Emerging Markets
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Citibank N.A. London | $ | 9,363,103 | $ | (9,057,496 | ) | $ | — | $ | 305,607 | |||||||
Goldman Sachs International | 853,935 | (288,409 | ) | — | 565,526 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 10,217,038 | $ | (9,345,905 | ) | $ | — | $ | 871,133 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Citibank N.A. London | $ | (9,057,496 | ) | $ | 9,057,496 | $ | — | $ | — | |||||||
Goldman Sachs International | (288,409 | ) | 288,409 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (9,345,905 | ) | $ | 9,345,905 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Global Low Volatility
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Bank of New York | $ | 3,585 | $ | (3,585 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
$ | 3,585 | $ | (3,585 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
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Notes to the Financial Statements (Continued)
March 31, 2016
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Bank of New York | $ | (13,906 | ) | $ | 3,585 | $ | — | $ | (10,321 | ) | ||||||
Goldman Sachs | (6,933 | ) | — | — | (6,933 | ) | ||||||||||
HSBC Bank USA | (15,736 | ) | — | — | (15,736 | ) | ||||||||||
JPMorgan Chase Bank N.A. | (6,395 | ) | — | — | (6,395 | ) | ||||||||||
UBS AG | (6,803 | ) | — | — | (6,803 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (49,773 | ) | $ | 3,585 | $ | — | $ | (46,188 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
(b) Security transactions and related investment income
Security transactions are accounted for on trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date or when the Fund is informed of the ex-dividend date, if later. Interest income is recorded on the accrual basis, and is adjusted for amortization of premium and discounts for debt securities. Income is not recognized, nor are premium and discount amortized, on securities for which collection is not expected. Withholding taxes on foreign dividend, interest, and capital gains have been provided for in accordance with the respective country’s tax rules and rates. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income on inflation indexed securities is accrued daily based upon an inflation-adjusted principal. Additionally, any increase in the principal or face amount of these securities is recorded as interest income. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified-cost basis.
(c) Cash and short term investments
A Fund may invest a portion of its assets in short-term debt securities (including repurchase agreements and reverse repurchase agreements) of corporations, the U.S. government and its agencies and instrumentalities and banks and finance companies, which may be denominated in any currency.
A Fund may invest a portion of its assets in shares issued by money market mutual funds. A Fund also may invest in collective investment vehicles that are managed by an unaffiliated investment manager, pending investment of the Fund’s assets in portfolio securities. When unusual market conditions warrant, a Fund may make substantial temporary defensive investments in cash equivalents, up to a maximum of 100% of the Fund’s net assets. Cash equivalent holdings may be in any currency. When a Fund invests for temporary defensive purposes, such investments may affect the Fund’s ability to achieve its investment objective.
(d) Securities lending
A Fund may lend its portfolio securities to qualified broker/dealers and financial institutions pursuant to agreements, provided: (1) the loan is secured continuously by collateral marked-to-market daily and maintained in an amount at least equal to the current fair value of the securities loaned; (2) the Fund may call the loan at any time and receive the securities loaned; (3) the Fund will receive any interest or dividends paid on the loaned securities; and (4) the aggregate fair value of securities loaned will not at any time exceed 33 1/3% of the total assets of the Fund. Collateral will consist of U.S. and non-U.S. securities, cash equivalents or irrevocable letters of credit. A liability for cash collateral is reflected in the Statements of Assets and Liabilities, and is categorized as Level 2 within the fair value hierarchy. As with other extensions of credit, there are risks of delay in recovery or even loss of rights in collateral in the event of default or insolvency of a borrower of a Fund’s portfolio securities. A Fund may not retain voting rights on securities while they are on loan.
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March 31, 2016
Certain Funds may from time to time participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”) acting as securities lending agent, is authorized to lend Fund portfolio securities to qualified broker/dealers and financial institutions that post appropriate collateral. The Custodian has agreed to indemnify the Funds in case of default of any security borrower.
Securities on loan are fully collateralized and the collateral was equal to or exceeded the securities on loan at March 31, 2016. Cash collateral is invested in the State Street Institutional U.S. Government Money Market Fund, Premier Class. The Custodian receives a portion of the interest earned on any reinvested collateral. The market value of securities on loan to borrowers and the value of collateral held by the Funds with respect to such loans at March 31, 2016 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap Growth | $ | 10,488,966 | $ | 10,516,617 | $ | 106,415 | ||||||
Large Cap Value | 8,734,222 | 8,737,578 | 304,435 | |||||||||
Small/Mid Cap Growth | 35,457,114 | 35,835,272 | 526,835 | |||||||||
Small/Mid Cap Value | 28,249,827 | 27,674,916 | 1,713,165 | |||||||||
Non-US Core Equity | 92,940,134 | 91,339,396 | 6,888,963 | |||||||||
Core Fixed | 14,974,194 | 11,661,485 | 3,595,885 | |||||||||
Opportunistic Fixed | 20,199,313 | 20,602,453 | — | |||||||||
Emerging Markets | 39,972,141 | 37,754,026 | 3,781,944 | |||||||||
Global Low Volatility | 12,772,988 | 13,141,060 | 295,294 |
The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. ASU No. 2014-11 is intended to provide increased transparency about the types of collateral pledged in securities lending and other similar transactions that are accounted for as secured borrowings.
For Large Cap Growth, Large Cap Value, Small/Mid Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility, all of the securities on loan collateralized by cash are classified as Common Stocks in each Fund’s Schedule of Investments at March 31, 2016, with a contractual maturity of overnight and continuous.
For Core Fixed and Opportunistic Fixed, all of the securities on loan collateralized by cash are classified as Corporate Debt in the Fund’s Schedule of Investments at March 31, 2016, with a contractual maturity of overnight and continuous.
For Small/Mid Cap Growth, the value of the security loan obligation is classified as follows at March 31, 2016:
Small/Mid Cap Growth
Remaining Contractual Maturity of the Agreements As of March 31, 2016 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 35,835,272 | $ | — | $ | — | $ | — | $ | 35,835,272 | ||||||||||
Warrants | 0 | * | — | — | — | 0 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 35,835,272 | $ | — | $ | — | $ | — | $ | 35,835,272 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 35,835,272 | $ | — | $ | — | $ | — | $ | 35,835,272 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 35,835,272 | |||||||||||||||||
|
|
* | Represents one security with $0 value at March 31, 2016. |
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Notes to the Financial Statements (Continued)
March 31, 2016
(e) Repurchase agreements
A Fund may enter into a repurchase agreement under the terms of a Master Repurchase Agreement (“MRA”) where the Fund purchases securities from a bank or broker/dealer who simultaneously agrees to repurchase the securities at a mutually agreed upon time and price, thereby determining the yield during the term of the agreement. As a result, a repurchase agreement provides a fixed rate of return insulated from market fluctuations during the term of the agreement. The term of a repurchase agreement generally is short, possibly overnight or for a few days, although it may extend over a number of months (up to one year) from the date of delivery. Repurchase agreements are considered under the 1940 Act to be collateralized loans by a Fund to a seller secured by the securities transferred to the Fund. Repurchase agreements are fully collateralized and the collateral is marked-to-market daily. A Fund may not enter into a repurchase agreement having more than seven days remaining to maturity if, as a result, such agreement, together with any other illiquid securities held by the Fund, would exceed 15% of the value of the net assets of the Fund.
An MRA permits the Funds, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Funds. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds would recognize a liability with respect to such excess collateral to reflect the Funds’ obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2016, none of the Funds held open repurchase agreements.
(f) Swaps
Swap contracts are derivatives in the form of a contract or similar instrument, which is an agreement to exchange the return generated by one instrument for the return generated by another instrument. A Fund may engage in swaps, including, but not limited to, interest rate, currency, credit default, and index swaps, and the purchase or sale of related caps, floors, collars, and other derivative instruments. A Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio, to modify the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.
Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.
The credit default swap agreements may have as reference obligations one or more securities that are not currently held by a Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” an upfront or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If a Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
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The spread of a credit default swap is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the notional amount. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit worthiness and an increased market perception that there is a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, as well as the annual payment rates, serve as an indication of the current status of the payment/performance risk.
Swaps do not involve the delivery of securities or other underlying assets or principal, and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive.
The equity swaps in which the Funds may invest involve agreements with a counterparty. The return to the Funds on any equity swap contract will be the total return on the notional amount of the contract as if it were invested in the stocks comprising the contract index in exchange for an interest component based on the notional amount of the agreement. The Funds will only enter into an equity swap contract on a net basis, i.e., the two parties’ obligations are netted out, with the Funds paying or receiving, as the case may be, only the net amount of the payments. Payments under an equity swap contract may be made at the conclusion of the contract or periodically during its term.
Whether a Fund’s use of swap agreements or swap options will be successful in achieving the Fund’s investment objective will depend on the Subadvisor’s ability to predict correctly whether certain types of investments are likely to produce greater returns than other investments. Moreover, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Funds will enter into swap agreements only with counterparties that meet certain standards of creditworthiness.
If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that a swap contract counterparty will be able to meet its obligations pursuant to a swap contract or that, in the event of a default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to a swap contract. However, the amount at risk is only the net unrealized gain, if any, on the swap at the time of default, and not the entire notional amount of the swap contract now that the potential loss can be mitigated by the posting of collateral and offsetting provisions of the ISDA. The Subadvisor that enters into the swap agreement will closely monitor, subject to the oversight of the Board, the creditworthiness of swap counterparties in order to minimize the risk of counterparty default on swaps.
Because swaps are two party contracts that may be subject to contractual restrictions on transferability and termination, and they may have terms of greater than seven days, swap agreements may be considered to be illiquid and subject to a Fund’s limitation on investments in illiquid securities. However, the Trust has adopted procedures pursuant to which the Advisor may determine that swaps (including swap options) are liquid under certain circumstances. To the extent that a swap is not liquid, it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price, which may result in significant losses.
Under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) enacted in 2010, a regulatory framework for certain OTC derivatives, such as swaps was enacted. The Dodd-Frank Act requires many swap transactions to be executed on registered exchanges or through swap execution facilities, cleared through a regulated clearinghouse, and publicly reported. In addition, many market participants are now regulated as swap dealers or swap participants, and are subject to certain minimum capital and margin requirements and business conduct standards.
The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Funds’ ability to terminate existing swap agreements or to realize amounts to be received under such agreements.
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Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Cash margin is recorded on the Statements of Assets and Liabilities as cash collateral held at broker on open swap contracts. Swap agreements are marked to market daily. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
A Fund will accrue for interim payments on swap contracts on a daily basis, with the net amount recorded as interest payable or receivable on swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap contracts, in addition to realized gain/loss recorded upon the termination of swap contracts on the Statements of Operations. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts (swap contracts, at value on the Statements of Assets and Liabilities).
Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.
The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.
The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Advisor or Subadvisor is incorrect in its forecasts of market values, interest rates, and currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if this investment technique were not used.
Like most other investments, swap agreements are subject to the risk that the market value of the instrument will change in a way detrimental to a Fund’s interest. A Fund bears the risk that Subadvisor will not accurately forecast future market trends or the values of assets, reference rates, indexes, or other economic factors in establishing swap positions for the Fund. If a Subadvisor attempts to use a swap as a hedge against, or as a substitute for, a portfolio investment, the Fund will be exposed to the risk that the swap will have or will develop imperfect or no correlation with the portfolio investment. This could cause substantial losses for the Fund. While hedging strategies involving swap instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.
During the year ended March 31, 2016, Core Fixed used swap agreements to adjust interest rate and yield curve exposure or to manage credit exposure. See the Core Fixed Schedule of Investments for a listing of open swap agreements as of March 31, 2016.
(g) Futures
A futures contract is a contractual agreement to buy or sell a specific amount of a commodity or financial instrument at a predetermined price on a stipulated future date. A Fund may enter into contracts for the purchase or sale for future delivery of securities, indices and foreign currencies. Futures contracts may be opened to protect against the adverse effects of fluctuations in security prices, interest rates, or foreign exchange rates without actually
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buying or selling the securities or foreign currency. A Fund also may enter into futures contracts as a low cost method for gaining or reducing exposure to a particular currency or securities market without directly investing in those currencies or securities.
A purchase of a futures contract means the acquisition of a contractual right of a Fund to obtain delivery of the securities, indices or foreign currency underlying the contract at a specified price on a specified future date. When a futures contract is sold, a Fund incurs a contractual obligation to deliver the securities, indices or foreign currency underlying the contract at a specified price on a specified date.
When a Fund enters into a futures contract, it must deliver to the futures commission merchant selected by the Fund an amount referred to as “initial margin.” This amount is maintained by the futures commission merchant in a segregated account at the custodian bank. Futures contracts are marked-to-market daily, depending upon changes in the price of the underlying securities, indices or foreign currencies subject to the futures contracts, and the change in value is recorded by the Fund as a variation margin payable or receivable. The Fund recognizes gains and losses on futures contracts in addition to the variation margin, which gains and losses are considered realized at the time the contracts expire or close.
A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the Commodity Futures Trading Commission (“CFTC”) for sale to customers in the United States, or on foreign exchanges. In addition, a Fund may sell stock index futures in anticipation of, or during a market decline to attempt to offset the decrease in the market value of the Fund’s common stocks that might otherwise result, and a Fund may purchase such contracts in order to offset increases in the cost of common stocks that it intends to purchase. Unlike other futures contracts, a stock index futures contract specifies that no delivery of the actual stocks making up the index will take place. Instead, settlement in cash must occur upon the termination of the contract.
In entering into futures contracts and options on futures contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts and options on futures contracts traded in the United States and on most foreign futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of its members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearinghouse will be able to meet its obligations to the Fund.
While futures contracts provide for the delivery of securities, deliveries usually do not occur. Contracts are generally terminated by entering into offsetting transactions.
Where the futures market is not as developed or where the regulations prevent or make it disadvantageous to trade futures, Emerging Markets will utilize synthetic futures as part of the country selection strategy implementation. A synthetic future operates like a swap transaction and uses equity index swaps on equity index futures. These are marked to market daily and the change in value is recorded as unrealized gain or loss in the Statement of Operations.
During the year ended March 31, 2016, Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility used futures to equitize cash. Core Fixed and Opportunistic Fixed used futures to adjust interest rate exposure and replicate government bond positions. Emerging Markets also used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See the Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open futures contracts as of March 31, 2016.
(h) Options
The Funds may purchase and sell (write) put and call options on debt securities, currencies and indices to enhance investment performance, manage duration, or protect against changes in market prices. The Funds may also buy and
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sell combinations of put and call options on the same underlying security, currency or index. Short (sold) options positions will generally be hedged by the Funds with cash, cash equivalents, current portfolio security holdings, or other options or futures positions.
The Funds may enter into swap options (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation), in return for payment of a premium, to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. Each Fund may sell (write) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, upon exercise of the option, the Fund will become obligated according to the terms of the underlying agreement.
When the Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option, it is exposed to a decline in the price of the underlying security.
Whether an option which the Fund has written expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.
The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Fund’s exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.
During the year ended March 31, 2016, Non-US Core Equity used options to adjust exposure to foreign currency and to efficiently maintain liquidity. Core Fixed used options to manage interest rate and volatility exposure. As of March 31, 2016, none of the Funds held open options.
Transactions in written option contracts for Core Fixed for the year ended March 31, 2016, is as follows:
Number of Contracts/ Notional Amount | Premiums Received | |||||||
Options outstanding at March 31, 2015 | 260 | $ | 38,147 | |||||
Options written | 3,146 | 458,394 | ||||||
Options terminated in closing purchase transactions | (1,438 | ) | (298,334 | ) | ||||
Options expired | (1,968 | ) | (198,207 | ) | ||||
|
|
|
| |||||
Options outstanding at March 31, 2016 | — | $ | — |
(i) Forward foreign currency contracts
The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk.
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Forward foreign currency contracts are traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement and no commissions are charged at any stage for trades. The Funds will account for forward contracts by marking-to-market each day at current forward contract values. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time the contract was opened and the value at the time the contract was closed.
The Funds will only enter into forward contracts to sell, for a fixed amount of U.S. dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the underlying value of securities denominated in the currency being sold. Alternatively, when a Fund enters into a forward contract to sell an amount of foreign currency, the Custodian or the Fund’s sub-custodian will segregate assets in a segregated account of the Fund in an amount not less than the value of the Fund’s total assets committed to the consummation of such forward contract. If the additional segregated assets placed in the segregated account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Fund’s commitments with respect to such contract.
During the year ended March 31, 2016, Opportunistic Fixed used forward foreign currency contracts for a variety of purposes, including hedging, risk management, efficient portfolio management, enhancing total returns, or as a substitute for taking a position in the underlying asset. Non-US Core Equity, Emerging Markets and Global Low Volatility used forward foreign currency contracts to hedge, cross hedge or to actively manage the currency exposures in the Funds. See the Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open forward foreign currency contracts as of March 31, 2016.
(j) Foreign currency translation
The books and records of each Fund are maintained in US dollars. Foreign currencies, investments and other assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.
(k) When-issued securities/TBA securities
Purchasing securities on a “when-issued” basis is a commitment by a Fund to buy a security before the security is actually issued. A Fund may purchase securities offered on a “when-issued” or “forward delivery” basis such as TBA securities. When so offered, the price, which is generally expressed in yield terms, is fixed at the time the commitment to purchase is made, but delivery and payment for the when-issued or forward delivery securities take place at a later date. During the period between purchase and settlement, no payment is made by the purchaser to the issuer and no interest on the when-issued or forward delivery security accrues to the purchaser. While when-issued or forward delivery securities may be sold prior to the settlement date, it is intended that a Fund will purchase such securities with the purpose of actually acquiring the securities unless a sale appears desirable for investment reasons. At the time a Fund makes the commitment to purchase a security on a when-issued or forward delivery basis, the Fund will record the transaction and reflect the value of the security in determining the Fund’s NAV. The market value of when-issued or forward delivery securities may be more or less than the purchase price. Certain risks may arise upon entering into when-issued or forward delivery securities transactions, including the potential inability of counterparties to meet the terms of their contracts, and the issuer’s failure to issue the securities due to political, economic, or other factors. Additionally, losses may arise due to declines in the value of the securities prior to settlement date. See the Core Fixed and Opportunistic Fixed Schedules of Investments for TBA and when-issued securities held as of March 31, 2016.
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(l) Real estate investment trusts
The Funds may invest in real estate investment trusts (“REITs”), which pool investors’ funds for investment, primarily in income producing real estate or real estate-related loans or interests. A REIT is not taxed on income distributed to its shareholders or unitholders if it complies with regulatory requirements relating to its organization, ownership, assets and income, and with a regulatory requirement to distribute to its shareholders or unitholders at least 90% of its taxable income for each taxable year.
A shareholder in a Fund, by investing in REITs through the Fund, will bear not only the shareholder’s proportionate share of the expenses of the Fund, but also, indirectly, the management expenses of the underlying REITs. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self-liquidations. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income, or the REIT’s failure to maintain exemption from registration under the 1940 Act. Dividends representing a return of capital are reflected as a reduction of cost and/or as a realized gain when the amount of the return of capital is conclusively determined. See each Fund’s Schedule of Investments for REIT securities held as of March 31, 2016.
(m) Mortgage-related and other asset-backed securities
The Funds may invest in mortgage-backed and asset-backed securities. Mortgage-backed securities represent an interest in a pool of mortgages. Asset-backed securities are structured like mortgage-backed securities, but instead of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property, and receivables from credit card agreements. The value of some mortgage or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal (the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedule of Investments for mortgage-backed and asset-backed securities held by Core Fixed as of March 31, 2016.
(n) Mortgage dollar roll and treasury roll transactions
The Funds may sell mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. The Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Fund is required to purchase may decline below the agreed upon repurchase price of those securities.
The Funds may enter into treasury roll transactions. In a treasury roll transaction the Fund sells a treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price at a future settlement date. The Fund receives cash from the sale of the treasury security to use for other investment purposes. The difference between the sale and repurchase price represents net interest income or net interest expense. Under GAAP, the treasury roll transaction is accounted for as a financing transaction and not as a purchase or sale. During the term of the borrowing the Fund records the related interest income or interest expenses on an accrual basis. Treasury roll transactions involve the risk that the market value of the securities that the Fund is required to repurchase may decline below the agreed upon repurchase price of those securities.
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Treasury roll transactions are entered into by the Funds under an MRA. An MRA permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With treasury roll transactions, typically the Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund obligation under bankruptcy law to return the excess to the counterparty. The Funds did not hold open treasury rolls as of March 31, 2016.
(o) Bank loans
Core Fixed may invest in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the ‘‘Lender’’) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement. At March 31, 2016, the Funds held no unfunded loan commitments.
(p) Indexed securities
The Funds may invest in indexed securities where the redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Funds use indexed securities to increase or decrease their exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
(q) Taxes and distributions
The Funds intend to qualify each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“the Code”). The Funds intend to distribute substantially all of their net investment income and net realized short-term and long-term gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal and state income or excise tax is necessary.
The Funds utilize the provisions of the federal income tax laws that provide for the carryforward of capital losses for prior years, offsetting such losses against any future realized capital gains. Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized after December 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
On March 31, 2016, the following Funds had deferred capital losses available to be offset against future net capital gains through the indicated expiration dates as follows:
Expiring March 31, | ||||||||||||||||||||
2017 | 2018 | 2019 | 2020 | Unlimited | ||||||||||||||||
Opportunistic Fixed | $ | — | $ | — | $ | — | $ | — | $ | 4,252,639 | ||||||||||
Emerging Markets | — | — | $ | — | — | 59,472,733 |
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During the year ended March 31, 2016, none of the Funds utilized capital loss carryforwards.
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of March 31, 2016, Non-US Core Equity, Opportunistic Fixed and Emerging Markets have elected to defer current year post-October losses of $20,954,337, $7,542,948 and $45,236,167, respectively. Small Mid/Cap Growth and Opportunistic Fixed have elected to defer late-year ordinary losses of $97,077 and $6,672,485 respectively, as arising on April 1, 2016.
As of March 31, 2016, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Large Cap Growth | $ | 305,679,512 | $ | 23,250,482 | $ | (17,938,746 | ) | $ | 5,311,736 | |||||||
Large Cap Value | 322,068,857 | 21,436,817 | (25,467,360 | ) | (4,030,543 | ) | ||||||||||
Small/Mid Cap Growth | 442,051,848 | 43,367,134 | (21,645,328 | ) | 21,721,806 | |||||||||||
Small/Mid Cap Value | 476,602,762 | 34,533,785 | (27,869,204 | ) | 6,664,581 | |||||||||||
Non-US Core Equity | 2,020,126,474 | 133,768,050 | (125,204,875 | ) | 8,563,175 | |||||||||||
Core Fixed | 801,558,426 | 18,729,305 | (13,060,498 | ) | 5,668,807 | |||||||||||
Opportunistic Fixed | 478,093,892 | 5,264,753 | (57,235,630 | ) | (51,970,877 | ) | ||||||||||
Emerging Markets | 1,223,068,683 | 55,663,685 | (103,728,550 | ) | (48,064,865 | ) | ||||||||||
Global Low Volatility | 912,039,645 | 91,015,023 | (38,607,343 | ) | 52,407,680 |
The temporary differences between book-basis and tax-basis unrealized appreciation/(depreciation) are primarily due to wash sale loss deferrals, investments in passive foreign investment companies and other basis adjustments.
As of March 31, 2016, the Funds had no uncertain tax positions that would require recognition, derecognition, or disclosure. Each of the Funds’ federal tax returns filed in the 3-year period ended March 31, 2016 remains subject to examination by the Internal Revenue Service.
The Funds’ policy is to declare and pay distributions from net investment income and net realized short-term and long-term gains at least annually. All distributions are paid in shares of the Funds, at NAV, unless the shareholder elects to receive cash distributions. A Fund may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate federal excise taxes on the Funds. The amount of any distribution will vary, and there is no guarantee that a Fund will pay either income dividends or capital gains distributions.
During the years ended March 31, 2016 and March 31, 2015, the tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid, were as follows:
2016 | 2015 | |||||||||||||||||||
Ordinary Income | Long-Term Capital Gains | Return of Capital | Ordinary Income | Long-Term Capital Gains | ||||||||||||||||
Large Cap Growth | $ | 11,304,258 | $ | 28,725,500 | $ | — | $ | 14,492,112 | $ | 80,121,669 | ||||||||||
Large Cap Value | 7,398,779 | 41,010,328 | — | 10,792,989 | 45,778,425 | |||||||||||||||
Small/Mid Cap Growth | — | 24,352,888 | — | 12,410,352 | 41,166,667 | |||||||||||||||
Small/Mid Cap Value | 1,736,254 | 16,735,627 | 111,554 | 26,104,424 | 44,373,704 | |||||||||||||||
Non-US Core Equity | 41,554,865 | 40,514,508 | — | 65,007,286 | 153,000,389 | |||||||||||||||
Core Fixed | 29,092,642 | 3,461,147 | — | 32,695,835 | 10,535,458 | |||||||||||||||
Opportunistic Fixed | 5,165,823 | — | 60,282 | 19,485,679 | 90,694 | |||||||||||||||
Emerging Markets | 11,714,562 | — | — | 18,781,299 | — | |||||||||||||||
Global Low Volatility | 18,709,142 | 39,459,369 | — | 27,269,525 | 26,003,646 |
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Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
As of March 31, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gains | Capital Losses Other Temporary Differences | Unrealized Appreciation (Depreciation) | Total Distributable Earnings | ||||||||||||||||
Large Cap Growth | $ | — | $ | 13,520,746 | $ | (3,362 | ) | $ | 5,311,736 | $ | 18,829,120 | |||||||||
Large Cap Value | 897,846 | 324,640 | (3,201 | ) | (4,029,972 | ) | (2,810,687 | ) | ||||||||||||
Small/Mid Cap Growth | — | 3,546,109 | (97,701 | ) | 21,724,802 | 25,173,210 | ||||||||||||||
Small/Mid Cap Value | — | — | (519 | ) | 6,664,584 | 6,664,065 | ||||||||||||||
Non-US Core Equity | — | — | (20,959,298 | ) | 8,578,075 | (12,381,223 | ) | |||||||||||||
Core Fixed | 5,223,145 | 637,403 | (7,503 | ) | 4,718,678 | 10,571,723 | ||||||||||||||
Opportunistic Fixed | — | — | (18,478,138 | ) | (51,962,116 | ) | (70,440,254 | ) | ||||||||||||
Emerging Markets | 6,141,320 | — | (104,708,900 | ) | (47,275,317 | ) | (145,842,897 | ) | ||||||||||||
Global Low Volatility | 2,554,179 | 6,313,412 | — | 52,401,919 | 61,269,510 |
All other differences are temporary losses related to mostly organizational costs and other timing adjustments.
(r) Allocation of expenses and income
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated among the applicable Funds, taking into consideration, among other things, the nature and type of expense and the relative size of each applicable Fund.
(s) Redemption fees
While none of the Funds’ classes have initial or contingent deferred sales charges on purchases of Fund shares, redemptions of Fund shares held less than 30 days may be assessed a 2% short-term trading fee and recorded as paid-in capital.
3. | Credit agreement |
Effective December 17, 2015, the Trust entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a committed, unsecured revolving line of credit through December 15, 2016. Borrowings for each Fund under the Agreement are limited to the lesser of $50,000,000 or 33 1/3% of a Fund’s Adjusted Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust pays an annual commitment fee at the rate 0.25% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest is charged to the Funds based on its borrowings at a variable rate equal to the higher of the Overnight Federal Funds Rate or 30-Day LIBOR plus 1.00%. The Funds did not borrow under the Agreement during the period ended March 31, 2016.
4. | Indemnities |
In the normal course of business, the Funds enter into contracts that require them to provide a variety of representations or general indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
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Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
5. | Fees and other transactions with affiliates |
The Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Pursuant to the investment management agreement, each Fund pays the Advisor a fee for managing the Fund’s investments at an annual rate of:
Investment Advisory Fee* on Net Assets | ||||||||
Average net assets up to $750 million | Average net assets in excess of $750 million | |||||||
Large Cap Growth | 0.55% | 0.53 | % | |||||
Large Cap Value | 0.53% | 0.51 | % | |||||
Small/Mid Cap Growth | 0.90% | 0.88 | % | |||||
Small/Mid Cap Value | 0.90% | 0.88 | % | |||||
Non-US Core Equity | 0.75% | 0.73 | % | |||||
Core Fixed | 0.35% | 0.33 | % | |||||
Opportunistic Fixed | 0.80% | 0.78 | % | |||||
Emerging Markets | 0.80% | 0.78 | % | |||||
Global Low Volatility | 0.75% | 0.73 | % |
* | Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees. |
Such fees as referenced above are shown in the Advisory fees line in the Statements of Operations. The Advisor provides certain internal administrative services to the Class S, Class Y-1 and Class Y-2 shares of the Funds, for which the Advisor receives a fee of 0.15%, 0.10% and 0.05% of the average daily net assets of the Class S, Class Y-1 and Class Y-2 shares of the Funds, respectively. These internal administrative services include attending to shareholder correspondence, assisting with the processing of purchases and redemptions of shares, preparing and disseminating information and documents for use by beneficial shareholders and monitoring and overseeing non-advisory relationships with entities providing services to the Class S, Class Y-1 and Class Y-2 shares, including the transfer agent. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.
The Funds have adopted a plan of marketing and service, or “12b-1 plan” to finance the provision of certain shareholder services to the owners of Class S and Class Y-1 shares of the Funds (collectively referred to as the “plans”). The plan provides for payments at annual rates (based on average net assets) of up to 0.25% of each Fund’s Class S and Class Y-1 shares. However, Class S and Class Y-1 shares have not commenced operations.
The Trust, with respect to Opportunistic Fixed, and the Advisor have entered into a written contractual fee waiver and expense reimbursement agreement pursuant to which the Advisor has agreed to waive a portion of its fees and/or reimburse expenses through July 31, 2016 in an amount necessary to limit the Fund’s total annual operating expenses to an annual rate (as a percentage of the Fund’s average daily net assets) as set forth in the table below. For the year ended March 31, 2016, the fees were reimbursed to the extent that the Fund’s class expenses exceeded the net expense rates of average daily net assets of the Fund class. These reimbursements are shown in the Reimbursement of expenses line in the Statements of Operations. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.
Class S | Class Y-1 | Class Y-2 | Class Y-3 | |||||||||||||
Opportunistic Fixed | 1.40% | 1.35% | 1.05% | 0.90% |
Pursuant to the expense reimbursement agreement, the Advisor is entitled to be reimbursed for any fees the Advisor waives and Fund expenses that the Advisor reimburses for a period of three years following such fee waiver and expense reimbursement, to the extent that such reimbursement of the Advisor by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund. For the year ended March 31, 2016, there were no reimbursed expenses recovered by the Advisor from the Funds.
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Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Pursuant to the Funds’ expense reimbursement agreement, the Advisor can recapture certain amounts waived or reimbursed over the past three 12-month periods ended July 31, 2015. The following amounts were available for recapture as of July 31, 2015:
Expenses Reimbursed in the 12-Months Ended July 31, | ||||||||||||
2013 | 2014 | 2015 | ||||||||||
Subject to Recapture until July 31, | ||||||||||||
2016 | 2017 | 2018 | ||||||||||
Large Cap Growth | $ | 206,394 | $ | 248,632 | $ | — | ||||||
Large Cap Value | 198,065 | 240,121 | — | |||||||||
Small/Mid Cap Growth | 85,083 | 54,175 | — | |||||||||
Small/Mid Cap Value | 84,500 | 103,551 | — | |||||||||
Non-US Core Equity | — | — | — | |||||||||
Core Fixed | 556,235 | 651,589 | — | |||||||||
Opportunistic Fixed | — | 253,811 | 208,082 | |||||||||
Emerging Markets | 556,088 | 556,688 | — | |||||||||
Global Low Volatility | 131,146 | — | — |
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended March 31, 2016, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap Growth | $ | — | $ | 225,058,581 | ||||
Large Cap Value | — | 249,101,262 | ||||||
Small/Mid Cap Growth | — | 294,223,428 | ||||||
Small/Mid Cap Value | — | 370,336,251 | ||||||
Non-US Core Equity | — | 2,060,408,865 | ||||||
Core Fixed | 553,864,573 | 161,666,335 | ||||||
Opportunistic Fixed | — | 251,398,949 | ||||||
Emerging Markets | — | 820,196,470 | ||||||
Global Low Volatility | — | 322,883,622 | ||||||
Sales | ||||||||
Large Cap Growth | — | 270,425,296 | ||||||
Large Cap Value | — | 262,955,557 | ||||||
Small/Mid Cap Growth | — | 286,183,297 | ||||||
Small/Mid Cap Value | — | 347,174,211 | ||||||
Non-US Core Equity | — | 2,072,737,766 | ||||||
Core Fixed | 600,145,803 | 190,285,320 | ||||||
Opportunistic Fixed | — | 197,548,618 | ||||||
Emerging Markets | — | 640,616,856 | ||||||
Global Low Volatility | — | 233,679,471 |
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Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
7. | Share transactions |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows:
Large Cap Growth
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 4,985,529 | $ | 54,996,490 | 6,185,388 | $ | 77,587,271 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,072,203 | 40,029,758 | 8,784,938 | 94,613,781 | ||||||||||||
Shares repurchased | (9,458,703 | ) | (105,785,655 | ) | (9,582,950 | ) | (122,468,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (400,971 | ) | $ | (10,759,407 | ) | 5,387,376 | $ | 49,732,510 | ||||||||
|
|
|
|
|
|
|
|
Large Cap Value
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 4,754,681 | $ | 54,421,350 | 4,511,523 | $ | 56,106,037 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,256,146 | 48,409,107 | 4,919,253 | 56,571,414 | ||||||||||||
Shares repurchased | (7,268,149 | ) | (80,207,512 | ) | (7,663,555 | ) | (96,489,912 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,742,678 | $ | 22,622,945 | 1,767,221 | $ | 16,187,539 | ||||||||||
|
|
|
|
|
|
|
|
Small/Mid Cap Growth
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 4,942,894 | $ | 55,377,890 | 9,332,692 | $ | 111,300,308 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,293,116 | 24,352,888 | 4,650,783 | 53,577,019 | ||||||||||||
Shares repurchased | (4,259,716 | ) | (50,158,329 | ) | (7,407,808 | ) | (90,991,076 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 2,976,294 | $ | 29,572,449 | 6,575,667 | $ | 73,886,251 | ||||||||||
|
|
|
|
|
|
|
|
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Notes to the Financial Statements (Continued)
March 31, 2016
Small/Mid Cap Value
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 6,336,223 | $ | 55,728,149 | 10,577,321 | $ | 108,544,174 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,176,046 | 18,583,435 | 7,710,955 | 70,478,128 | ||||||||||||
Shares repurchased | (4,476,265 | ) | (41,422,231 | ) | (6,285,557 | ) | (64,094,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 4,036,004 | $ | 32,889,353 | 12,002,719 | $ | 114,927,870 | ||||||||||
|
|
|
|
|
|
|
|
Non-US Core Equity
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 21,486,792 | $ | 213,382,507 | 44,854,131 | $ | 511,679,522 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 8,452,047 | 82,069,373 | 21,352,368 | 218,007,675 | ||||||||||||
Shares repurchased | (22,605,539 | ) | (236,936,733 | ) | (29,317,958 | ) | (331,351,266 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 7,333,300 | $ | 58,515,147 | 36,888,541 | $ | 398,335,931 | ||||||||||
|
|
|
|
|
|
|
|
Core Fixed
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 15,717,334 | $ | 161,679,985 | 18,919,349 | $ | 199,255,007 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 3,294,918 | 32,553,789 | 4,225,933 | 43,231,293 | ||||||||||||
Shares repurchased | (27,303,611 | ) | (278,202,540 | ) | (40,863,194 | ) | (433,922,784 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (8,291,359 | ) | $ | (83,968,766 | ) | (17,717,912 | ) | $ | (191,436,484 | ) | ||||||
|
|
|
|
|
|
|
|
Opportunistic Fixed
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 10,534,645 | $ | 90,807,455 | 21,642,636 | $ | 219,014,162 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 655,722 | 5,226,105 | 2,114,079 | 19,576,373 | ||||||||||||
Shares repurchased | (5,465,227 | ) | (47,840,875 | ) | (5,370,938 | ) | (55,031,383 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 5,725,140 | $ | 48,192,685 | 18,385,777 | $ | 183,559,152 | ||||||||||
|
|
|
|
|
|
|
|
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Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2016
Emerging Markets
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 37,663,658 | $ | 329,515,356 | 35,613,656 | $ | 362,012,477 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,428,605 | 11,714,562 | 1,946,249 | 18,781,299 | ||||||||||||
Shares repurchased | (15,257,581 | ) | (141,137,722 | ) | (13,852,646 | ) | (142,644,424 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 23,834,682 | $ | 200,092,196 | 23,707,259 | $ | 238,149,352 | ||||||||||
|
|
|
|
|
|
|
|
Global Low Volatility
Year Ended March 31, 2016 | Year Ended March 31, 2015 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 15,663,054 | $ | 191,381,879 | 22,126,406 | $ | 272,817,683 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 5,098,029 | 58,168,511 | 4,495,626 | 53,273,171 | ||||||||||||
Shares repurchased | (7,747,497 | ) | (94,010,564 | ) | (19,537,419 | ) | (243,542,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 13,013,586 | $ | 155,539,826 | 7,084,613 | $ | 82,548,255 | ||||||||||
|
|
|
|
|
|
|
|
8. | Subsequent events |
Management has evaluated the impact of subsequent events through May 26, 2016, the date the financial statements were available to be issued for possible adjustment to and/or disclosure in the Funds’ financial statements.
On December 7, 2015 and March 17-18, 2016, the Board of the Trust approved an Agreement and Plan of Reorganization (the “Reorganization”) relating to Large Cap Value and Small/Mid Cap Value, each a series of the Trust. Under the Reorganization, Large Cap Value would be combined with Large Cap Growth, another series of the Trust and Small/Mid Cap Value would be combined with Small/Mid Cap Growth, in tax free Reorganizations. The Reorganizations are scheduled to be effective upon the close of business on June 24, 2016, or on a later date as the parties may agree.
Management has determined that, with the exception of the Reorganizations noted above, there are no material events that would require adjustment and/or disclosure in the Funds’ financial statements through this date.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Mercer Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Mercer Funds (the “Funds”), comprising Mercer US Large Cap Growth Equity Fund, Mercer US Large Cap Value Equity Fund, Mercer US Small/Mid Cap Growth Equity Fund, Mercer US Small/Mid Cap Value Equity Fund, Mercer Non-US Core Equity Fund, Mercer Core Fixed Income Fund, Mercer Opportunistic Fixed Income Fund, Mercer Emerging Markets Equity Fund, and Mercer Global Low Volatility Equity Fund as of March 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2016, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
May 26, 2016
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Mercer Funds
Additional Information (Unaudited)
Proxy Voting
A description of the policies and procedures that the Advisor and each Fund’s Subadvisors use to determine how to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-866-658-9896, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov. Information about Funds’ proxy voting decisions are available without charge, online on the Funds’ website at http://www.mercer.us/mutual-funds-on-offer.
Quarterly Reporting
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Federal Tax Information
The amount of long-term capital gains paid for the fiscal year ended March 31, 2016, the amount of long-term capital gains paid were as follows:
Fund | ||||
Large Cap Growth | $ | 28,725,500 | ||
Large Cap Value | 41,010,328 | |||
Small/Mid Cap Growth | 24,352,888 | |||
Small/Mid Cap Value | 16,735,627 | |||
Non-US Core Equity | 40,514,508 | |||
Core Fixed | 3,416,147 | |||
Global Low Volatility | 39,459,369 |
For the year ended March 31, 2016, Non-US Core Equity and Emerging Markets had foreign tax credits in the amount of $2,494,169 and $3,284,845, respectively, and foreign source income of $35,327,666 and $30,334,813, respectively.
Qualified dividend income (“QDI”) received by the Funds through March 31, 2016, that qualified for a reduced tax rate pursuant to the Internal Revenue Code Section 1(h)(11) are as follows:
Fund | QDI | |||
Large Cap Growth | $ | 2,904,360 | ||
Large Cap Value | 6,697,494 | |||
Small/Mid Cap Growth | 2,465,759 | |||
Small/Mid Cap Value | 3,698,528 | |||
Non-US Core Equity | 32,363,941 | |||
Emerging Markets | 18,133,806 | |||
Global Low Volatility | 13,822,744 |
For corporate shareholders, a portion of the ordinary dividends paid during the Funds’ year ended March 31, 2016, qualified for the dividends received deduction, as follows:
Fund | ||||
Large Cap Growth | 31.83% | |||
Large Cap Value | 78.08% | |||
Small/Mid Cap Value | 86.85% | |||
Non-US Core Equity | 1.93% | |||
Global Low Volatility | 43.22% |
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Board Approval of New Subadvisory Agreements for Certain of the Funds during the period October 1, 2015 through March 31, 2016
December 7-8, 2015 Board Meeting
Mercer US Large Cap Growth Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
At a meeting of the Board of Trustees held on December 7-8, 2015 (the “December Meeting”), the Trustees, including the Independent Trustees, considered and approved proposed new subadvisory agreements between the Advisor and certain of the current subadvisors and certain newly proposed subadvisors with respect to each of: (i) the Mercer US Large Cap Growth Equity Fund (the “Large Cap Growth Fund”) and (ii) the Mercer US Small/Mid Cap Growth Equity Fund (the “Small/Mid Cap Growth Fund”). These approvals were made in connection with proposed reorganization transactions involving each of the Large Cap Growth Fund and the Small/Mid Cap Growth Fund (the “Reorganization Transactions”) pursuant to which: (i) the Large Cap Growth Fund is proposed to engage in a reorganization transaction with the Mercer US Large Cap Value Equity Fund (the “Large Cap Value Fund”) and acquire all of the assets and liabilities of the Large Cap Value Fund (the “Large Cap Fund Reorganization”) and (ii) the Small/Mid Cap Growth Fund is proposed to engage in a reorganization transaction with the Mercer US Small/Mid Cap Value Equity Fund (the “Small/Mid Cap Value Fund”) and acquire all of the assets and liabilities of the Small/Mid Cap Value Fund (the “Small/Mid Cap Fund Reorganization”).
In connection with carrying out each of the Reorganization Transactions, the Board approved proposed changes to the principal investment strategies of each of the Large Cap Growth Fund and the Small/Mid Cap Growth Fund, which changes are to become effective upon the closing of the Reorganization Transactions in late June 2016. Pursuant to the proposed changes to the principal investment strategies of the Large Cap Growth Fund and the Small/Mid Cap Growth Fund, effective upon the closing of the Reorganization Transactions, each Fund will pursue new principal investment strategies with a focus on “core equity” investment strategies. As a result of the implementation of the proposed new “core equity” investment strategies for each of the Funds and the repositioning of the assets of the Large Cap Value Fund to the Large Cap Growth Fund and the repositioning of the assets of the Small/Mid Cap Value Fund to the Small/Mid Cap Growth Fund resulting from the Reorganization Transactions, the Advisor recommended to the Board changes in the subadvisors for each of the surviving Funds.
In connection with the Reorganization Transactions and the proposed change in the principal investment strategies for each of the surviving Funds, the Advisor also recommended and the Board approved proposed changes to the names of each of the Funds to be effective upon the closing of the Reorganization Transactions. Accordingly, upon the closing of the Reorganization Transactions, the Mercer US Large Cap Growth Equity Fund will change its name to the “Mercer US Large Cap Equity Fund” and the Mercer US Small/Mid Cap Growth Equity Fund will change its name to the “Mercer US Small/Mid Cap Equity Fund”.
Mercer US Large Cap Growth Equity Fund
Approval of a New Subadvisory Agreement for the Fund with AJO, LP
At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and AJO, LP (“AJO”) on behalf of the Large Cap Growth Fund (the “Proposed AJO Subadvisory Agreement”). The Board was informed by the Advisor that AJO was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that AJO would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization.
In considering the approval of the Proposed AJO Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and AJO that included, as to AJO and the Fund: (i) a copy of the form of the Proposed AJO Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended AJO for the Board’s approval, and the Advisor’s rationale for recommending that AJO be appointed as a subadvisor to the Fund, and how AJO would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that AJO proposed to provide to the Fund; (iv) the investment
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management business, portfolio management personnel, operations, prior investment experience, and reputation of AJO; (v) AJO’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by AJO for its services to the Fund, and a comparison of those fees to other accounts that AJO manages; (vii) a summary of AJO’s compliance program; (viii) information regarding AJO’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of AJO. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.
The Trustees also considered and analyzed factors that they deemed relevant with respect to AJO, including: the nature, extent, and quality of the services to be provided to the Fund by AJO; AJO’s management style and investment decision-making process; AJO’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of AJO’s portfolio management team; and AJO’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to AJO, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by AJO. The Trustees reviewed the nature, extent, and quality of the services to be provided by AJO to the Fund. The Trustees discussed the specific investment management process that AJO indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by AJO), the qualifications of AJO’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that AJO would be managing, and the performance record of AJO as compared to a relevant benchmark. The Trustees considered AJO’s infrastructure and resources, and whether AJO’s organization appeared to support AJO’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to AJO, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by AJO. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of AJO’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by AJO, as well as AJO’s ability to render such services based on AJO’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that AJO would manage.
(b) Comparison of the services to be rendered and fees to be paid to AJO under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by AJO and evaluated the compensation to be paid to AJO by the Advisor for those services. The Trustees noted that the services that AJO would furnish to the Fund appeared to be comparable to the services that AJO currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to AJO by the Advisor in light of the fees that are charged by AJO to its other advisory clients, as disclosed in AJO’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by AJO were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while AJO’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend AJO to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to AJO for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of AJO would be paid by the Advisor, and were not
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additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to AJO with respect to the assets of the Fund to be allocated to AJO was supported by the services that were expected to be provided by AJO to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to AJO from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to AJO were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of AJO was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of AJO was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of AJO may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by AJO and the proposed fees to be paid to AJO by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to AJO as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by AJO to the Fund.
(c) Investment performance of the Fund and AJO. Because AJO was a newly proposed subadvisor to the Fund, the Trustees could not consider AJO’s investment performance in managing the Fund as a factor in evaluating the Proposed AJO Subadvisory Agreement. However, the Trustees reviewed AJO’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of AJO to a relevant benchmark and concluded that AJO’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed AJO Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend AJO to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for AJO was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed AJO Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed AJO Subadvisory Agreement.
Approval of a New Subadvisory Agreement for the Fund with Brandywine Global Investment Management, LLC
At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and Brandywine Global Investment Management, LLC (“Brandywine”) on behalf of the Large Cap Growth Fund (the “Proposed Brandywine Subadvisory Agreement”). The Board was informed by the Advisor that Brandywine was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that Brandywine would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization. In connection with its review process, the Board took into consideration the fact that Brandywine was presently serving as a subadvisor to the Large Cap Value Fund and that the Advisor had recommended that Brandywine be retained to serve as a subadvisor to the Large Cap Growth Fund following the completion of the Large Cap Fund Reorganization.
In considering the approval of the Proposed Brandywine Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and Brandywine that included, as to Brandywine and the Fund: (i) a copy of the form of the Proposed Brandywine Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended Brandywine for the Board’s approval as a subadvisor to the Large Cap Value Fund, and the Advisor’s rationale for recommending that Brandywine be appointed as a subadvisor to the Fund, and how Brandywine would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that Brandywine proposed to provide to the Fund; (iv) the
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investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Brandywine; (v) Brandywine’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Brandywine for its services to the Fund, and a comparison of those fees to other accounts that Brandywine manages; (vii) a summary of Brandywine’s compliance program; (viii) information regarding Brandywine’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of Brandywine. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.
The Trustees also considered and analyzed factors that they deemed relevant with respect to Brandywine, including: the nature, extent, and quality of the services to be provided to the Fund by Brandywine; Brandywine’s management style and investment decision-making process; Brandywine’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of Brandywine’s portfolio management team; and Brandywine’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to Brandywine, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Brandywine. The Trustees reviewed the nature, extent, and quality of the services to be provided by Brandywine to the Fund. The Trustees discussed the specific investment management process that Brandywine indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by Brandywine), the qualifications of Brandywine’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that Brandywine would be managing, and the performance record of Brandywine as compared to a relevant benchmark. The Trustees considered Brandywine’s infrastructure and resources, and whether Brandywine’s organization appeared to support Brandywine’s strategy adequately. The Trustees also discussed the Advisor’s initial review, selection, and due diligence process with respect to the initial hiring of Brandywine as a subadvisor to the Large Cap Value Fund, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by Brandywine. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Brandywine’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Brandywine, as well as Brandywine’s ability to render such services based on Brandywine’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that Brandywine would manage.
(b) Comparison of the services to be rendered and fees to be paid to Brandywine under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by Brandywine and evaluated the compensation to be paid to Brandywine by the Advisor for those services. The Trustees noted that the services that Brandywine would furnish to the Fund appeared to be comparable to the services that Brandywine currently provides to its other advisory and subadvisory clients having similar investment strategies, including the Large Cap Value Fund. The Trustees also considered comparisons of the fees that will be paid to Brandywine by the Advisor in light of the fees that are charged by Brandywine to its other advisory clients, including the Large Cap Value Fund, as disclosed in Brandywine’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by Brandywine were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while Brandywine’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
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The Trustees considered the initial review, selection, and due diligence process employed by the Advisor when it initially retained Brandywine as a subadvisor to the Large Cap Value Fund, as was discussed during the Meeting, in determining to recommend Brandywine to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Brandywine for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of Brandywine would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to Brandywine with respect to the assets of the Fund to be allocated to Brandywine was supported by the services that were expected to be provided by Brandywine to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Brandywine from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to Brandywine were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of Brandywine was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of Brandywine was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of Brandywine may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by Brandywine and the proposed fees to be paid to Brandywine by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to Brandywine as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by Brandywine to the Fund.
(c) Investment performance of the Fund and Brandywine. Because Brandywine was a newly proposed subadvisor to the Fund, the Trustees could not consider Brandywine’s investment performance in managing the Fund as a factor in evaluating the Proposed Brandywine Subadvisory Agreement. However, the Trustees reviewed Brandywine’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund, including its performance with respect to its allocated portion of the Large Cap Value Fund. The Trustees also compared the historical investment performance of Brandywine to a relevant benchmark and concluded that Brandywine’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed Brandywine Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Brandywine to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for Brandywine was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed Brandywine Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed Brandywine Subadvisory Agreement.
Approval of a New Subadvisory Agreement for the Fund with O’Shaughnessy Asset Management LLC
At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and O’Shaughnessy Asset Management LLC (“O’Shaughnessy”) on behalf of the Large Cap Growth Fund (the “Proposed O’Shaughnessy Subadvisory Agreement”). The Board was informed by the Advisor that O’Shaughnessy was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that O’Shaughnessy would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization. In connection with its review process, the Board took into consideration the fact that O’Shaughnessy was presently serving as a subadvisor to the Large Cap Value Fund and that the Advisor had recommended that O’Shaughnessy be retained to serve as a subadvisor to the Large Cap Growth Fund following completion of the Large Cap Fund Reorganization.
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In considering the approval of the Proposed O’Shaughnessy Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and O’Shaughnessy that included, as to O’Shaughnessy and the Fund: (i) a copy of the form of the Proposed O’Shaughnessy Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended O’Shaughnessy for the Board’s approval as a subadvisor to the Large Cap Value Fund, and the Advisor’s rationale for recommending that O’Shaughnessy be appointed as a subadvisor to the Fund, and how O’Shaughnessy would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that O’Shaughnessy proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of O’Shaughnessy; (v) O’Shaughnessy’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by O’Shaughnessy for its services to the Fund, and a comparison of those fees to other accounts that O’Shaughnessy manages; (vii) a summary of O’Shaughnessy’s compliance program; (viii) information regarding O’Shaughnessy’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of O’Shaughnessy. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.
The Trustees also considered and analyzed factors that they deemed relevant with respect to O’Shaughnessy, including: the nature, extent, and quality of the services to be provided to the Fund by O’Shaughnessy; O’Shaughnessy’s management style and investment decision-making process; O’Shaughnessy’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of O’Shaughnessy’s portfolio management team; and O’Shaughnessy’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to O’Shaughnessy, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by O’Shaughnessy. The Trustees reviewed the nature, extent, and quality of the services to be provided by O’Shaughnessy to the Fund. The Trustees discussed the specific investment management process that O’Shaughnessy indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by O’Shaughnessy), the qualifications of O’Shaughnessy’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that O’Shaughnessy would be managing, and the performance record of O’Shaughnessy as compared to a relevant benchmark. The Trustees considered O’Shaughnessy’s infrastructure and resources, and whether O’Shaughnessy’s organization appeared to support O’Shaughnessy’s strategy adequately. The Trustees also discussed the Advisor’s initial review, selection, and due diligence process with respect to the initial hiring of O’Shaughnessy as a subadvisor to the Large Cap Value Fund, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by O’Shaughnessy. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of O’Shaughnessy’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by O’Shaughnessy, as well as O’Shaughnessy’s ability to render such services based on O’Shaughnessy’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that O’Shaughnessy would manage.
(b) Comparison of the services to be rendered and fees to be paid to O’Shaughnessy under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by O’Shaughnessy and evaluated the compensation to be paid to O’Shaughnessy by the Advisor for those services. The Trustees noted that the services that O’Shaughnessy would furnish to the Fund appeared to be comparable to
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the services that O’Shaughnessy currently provides to its other advisory and subadvisory clients having similar investment strategies, including the Large Cap Value Fund. The Trustees also considered comparisons of the fees that will be paid to O’Shaughnessy by the Advisor in light of the fees that are charged by O’Shaughnessy to its other advisory clients, including the Large Cap Value Fund, as disclosed in O’Shaughnessy’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by O’Shaughnessy were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while O’Shaughnessy’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
The Trustees considered the initial review, selection, and due diligence process employed by the Advisor when it initially retained O’Shaughnessy as a subadvisor to the Large Cap Value Fund, as was discussed during the Meeting, in determining to recommend O’Shaughnessy to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to O’Shaughnessy for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of O’Shaughnessy would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to O’Shaughnessy with respect to the assets of the Fund to be allocated to O’Shaughnessy was supported by the services that were expected to be provided by O’Shaughnessy to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to O’Shaughnessy from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to O’Shaughnessy were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of O’Shaughnessy was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of O’Shaughnessy was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of O’Shaughnessy may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by O’Shaughnessy and the proposed fees to be paid to O’Shaughnessy by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to O’Shaughnessy as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by O’Shaughnessy to the Fund.
(c) Investment performance of the Fund and O’Shaughnessy. Because O’Shaughnessy was a newly proposed subadvisor to the Fund, the Trustees could not consider O’Shaughnessy’s investment performance in managing the Fund as a factor in evaluating the Proposed O’Shaughnessy Subadvisory Agreement. However, the Trustees reviewed O’Shaughnessy’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund, including its performance with respect to its allocated portion of the Large Cap Value Fund. The Trustees also compared the historical investment performance of O’Shaughnessy to a relevant benchmark and concluded that O’Shaughnessy’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed O’Shaughnessy Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend O’Shaughnessy to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for O’Shaughnessy was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed O’Shaughnessy Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed O’Shaughnessy Subadvisory Agreement.
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Mercer US Small/Mid Cap Growth Equity Fund
Approval of a New Subadvisory Agreement for the Fund with GW&K Investment Management, LLC
At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and GW&K Investment Management, LLC (“GW&K”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed GW&K Subadvisory Agreement”). The Board was informed by the Advisor that GW&K was being recommended to become a new subadvisor to the Fund in connection with the Small/Mid Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that GW&K would commence managing assets for the Fund upon the closing of the Small/Mid Cap Fund Reorganization.
In considering the approval of the Proposed GW&K Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and GW&K that included, as to GW&K and the Fund: (i) a copy of form of the Proposed GW&K Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended GW&K for the Board’s approval, and the Advisor’s rationale for recommending that GW&K be appointed as a subadvisor to the Fund, and how GW&K would supplement the Fund’s other Subadvisors; (iii) the nature, extent, and quality of the services that GW&K proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of GW&K; (v) GW&K’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by GW&K for its services to the Fund, and a comparison of those fees to other accounts that GW&K manages; (vii) a summary of GW&K’s compliance program; (viii) information regarding GW&K’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of GW&K. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.
The Trustees also considered and analyzed factors that they deemed relevant with respect to GW&K, including: the nature, extent, and quality of the services to be provided to the Fund by GW&K; GW&K’s management style and investment decision-making process; GW&K’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of GW&K’s portfolio management team; and GW&K’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to GW&K, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by GW&K. The Trustees reviewed the nature, extent, and quality of the services to be provided by GW&K to the Fund. The Trustees discussed the specific investment management process that GW&K indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by GW&K), the qualifications of GW&K’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that GW&K would be managing, and the performance record of GW&K as compared to a relevant benchmark. The Trustees considered GW&K’s infrastructure and resources, and whether GW&K’s organization appeared to support GW&K’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to GW&K, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by GW&K. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of GW&K’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by GW&K, as well as GW&K’s ability to render such services based on GW&K’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that GW&K would manage.
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(b) Comparison of the services to be rendered and fees to be paid to GW&K under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by GW&K and evaluated the compensation to be paid to GW&K by the Advisor for those services. The Trustees noted that the services that GW&K would furnish to the Fund appeared to be comparable to the services that GW&K currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to GW&K by the Advisor in light of the fees that are charged by GW&K to its other advisory clients, as disclosed in GW&K’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by GW&K were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while GW&K’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend GW&K to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to GW&K for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of GW&K would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to GW&K with respect to the assets of the Fund to be allocated to GW&K was supported by the services that were expected to be provided by GW&K to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to GW&K from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to GW&K were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of GW&K was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of GW&K was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of GW&K may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by GW&K and the proposed fees to be paid to GW&K by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to GW&K as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by GW&K to the Fund.
(c) Investment performance of the Fund and GW&K. Because GW&K was a newly proposed subadvisor to the Fund, the Trustees could not consider GW&K’s investment performance in managing the Fund as a factor in evaluating the Proposed GW&K Subadvisory Agreement. However, the Trustees reviewed GW&K’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of GW&K to a relevant benchmark and concluded that GW&K’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed GW&K Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend GW&K to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for GW&K was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed GW&K Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed GW&K Subadvisory Agreement.
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Approval of a New Subadvisory Agreement for the Fund with LSV Asset Management
At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and LSV Asset Management (“LSV”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed LSV Subadvisory Agreement”). The Board was informed by the Advisor that LSV was being recommended to become a new subadvisor to the Fund in connection with the Small/Mid Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that LSV would commence managing assets for the Fund upon the closing of the Small/Mid Cap Fund Reorganization.
In considering the approval of the Proposed LSV Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and LSV that included, as to LSV and the Fund: (i) a copy of the form of the Proposed LSV Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended LSV for the Board’s approval, and the Advisor’s rationale for recommending that LSV be appointed as a subadvisor to the Fund, and how LSV would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that LSV proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of LSV; (v) LSV’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by LSV for its services to the Fund, and a comparison of those fees to other accounts that LSV manages; (vii) a summary of LSV’s compliance program; (viii) information regarding LSV’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of LSV. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.
The Trustees also considered and analyzed factors that they deemed relevant with respect to LSV, including: the nature, extent, and quality of the services to be provided to the Fund by LSV; LSV’s management style and investment decision-making process; LSV’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of LSV’s portfolio management team; and LSV’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to LSV, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by LSV. The Trustees reviewed the nature, extent, and quality of the services to be provided by LSV to the Fund. The Trustees discussed the specific investment management process that LSV indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by LSV), the qualifications of LSV’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that LSV would be managing, and the performance record of LSV as compared to a relevant benchmark. The Trustees considered LSV’s infrastructure and resources, and whether LSV’s organization appeared to support LSV’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to LSV, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by LSV. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of LSV’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by LSV, as well as LSV’s ability to render such services based on LSV’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that LSV would manage.
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(b) Comparison of the services to be rendered and fees to be paid to LSV under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by LSV and evaluated the compensation to be paid to LSV by the Advisor for those services. The Trustees noted that the services that LSV would furnish to the Fund appeared to be comparable to the services that LSV currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to LSV by the Advisor in light of the fees that are charged by LSV to its other advisory clients, as disclosed in LSV’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by LSV were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while LSV’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend LSV to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to LSV for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of LSV would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to LSV with respect to the assets of the Fund to be allocated to LSV was supported by the services that were expected to be provided by LSV to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to LSV from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to LSV were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of LSV was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of LSV was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of LSV may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by LSV and the proposed fees to be paid to LSV by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to LSV as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by LSV to the Fund.
(c) Investment performance of the Fund and LSV. Because LSV was a newly proposed subadvisor to the Fund, the Trustees could not consider LSV’s investment performance in managing the Fund as a factor in evaluating the Proposed LSV Subadvisory Agreement. However, the Trustees reviewed LSV’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of LSV to a relevant benchmark and concluded that LSV’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed LSV Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend LSV to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for LSV was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed LSV Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed LSV Subadvisory Agreement.
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Approval of a New Subadvisory Agreement for the Fund with NWQ Investment Management Company, LLC
At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and NWQ Investment Management Company, LLC (“NWQ”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed NWQ Subadvisory Agreement”). The Board was informed by the Advisor that NWQ was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that NWQ would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization. In connection with its review process, the Board took into consideration the fact that NWQ was presently serving as a subadvisor to the Small/Mid Cap Value Fund and that the Advisor had recommended that NWQ be retained to serve as a subadvisor to the Small/Mid Cap Growth Fund following the Small/Mid Cap Fund Reorganization.
In considering the approval of the Proposed NWQ Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and NWQ that included, as to NWQ and the Fund: (i) a copy of the form of the Proposed NWQ Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended NWQ for the Board’s approval as a subadvisor to the Small/Mid Cap Value Fund, and the Advisor’s rationale for recommending that NWQ be appointed as a subadvisor to the Fund, and how NWQ would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that NWQ proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of NWQ; (v) NWQ’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by NWQ for its services to the Fund, and a comparison of those fees to other accounts that NWQ manages; (vii) a summary of NWQ’s compliance program; (viii) information regarding NWQ’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of NWQ. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.
The Trustees also considered and analyzed factors that they deemed relevant with respect to NWQ, including: the nature, extent, and quality of the services to be provided to the Fund by NWQ; NWQ’s management style and investment decision-making process; NWQ’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of NWQ’s portfolio management team; and NWQ’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to NWQ, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by NWQ. The Trustees reviewed the nature, extent, and quality of the services to be provided by NWQ to the Fund. The Trustees discussed the specific investment management process that NWQ indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by NWQ), the qualifications of NWQ’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that NWQ would be managing, and the performance record of NWQ as compared to a relevant benchmark. The Trustees considered NWQ’s infrastructure and resources, and whether NWQ’s organization appeared to support NWQ’s strategy adequately. The Trustees also discussed the Advisor’s initial review, selection, and due diligence process with respect to the initial hiring of NWQ as a subadvisor to the Small/Mid Cap Value Fund, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by NWQ. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of NWQ’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information,
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the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by NWQ, as well as NWQ’s ability to render such services based on NWQ’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that NWQ would manage.
(b) Comparison of the services to be rendered and fees to be paid to NWQ under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by NWQ and evaluated the compensation to be paid to NWQ by the Advisor for those services. The Trustees noted that the services that NWQ would furnish to the Fund appeared to be comparable to the services that NWQ currently provides to its other advisory and subadvisory clients having similar investment strategies, including the Small/Mid Cap Value Fund. The Trustees also considered comparisons of the fees that will be paid to NWQ by the Advisor in light of the fees that are charged by NWQ to its other advisory clients, including the Small/Mid Cap Value Fund, as disclosed in NWQ’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by NWQ were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while NWQ’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
The Trustees considered the initial review, selection, and due diligence process employed by the Advisor when it initially retained NWQ as a subadvisor to the Small/Mid Cap Value Fund, as was discussed during the Meeting, in determining to recommend NWQ to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to NWQ for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of NWQ would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to NWQ with respect to the assets of the Fund to be allocated to NWQ was supported by the services that were expected to be provided by NWQ to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to NWQ from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to NWQ were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of NWQ was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of NWQ was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of NWQ may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by NWQ and the proposed fees to be paid to NWQ by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to NWQ as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by NWQ to the Fund.
(c) Investment performance of the Fund and NWQ. Because NWQ was a newly proposed subadvisor to the Fund, the Trustees could not consider NWQ’s investment performance in managing the Fund as a factor in evaluating the Proposed NWQ Subadvisory Agreement. However, the Trustees reviewed NWQ’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund, including its performance with respect to its allocated portion of the Small/Mid Cap Value Fund. The Trustees also compared the historical investment performance of NWQ to a relevant benchmark and concluded that NWQ’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed NWQ Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend NWQ to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for NWQ was supported by the services that were expected to be provided to the Fund. As a result, the Trustees,
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including a majority of the Independent Trustees, concluded that the approval of the Proposed NWQ Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed NWQ Subadvisory Agreement.
March 17-18, 2016 Board Meeting
Mercer US Small/Mid Cap Growth Equity Fund
Mercer Emerging Markets Equity Fund
At a meeting of the Board of Trustees held on March 17-18, 2016 (the “March Meeting”), the Trustees, including the Independent Trustees, considered and approved: (i) a proposed new subadvisory agreement between the Advisor and a new subadvisor to the Mercer US Small/Mid Cap Growth Equity Fund, and (ii) a proposed new subadvisory agreement between the Advisor and one of the subadvisors to the Mercer Emerging Markets Equity Fund.
Mercer US Small/Mid Cap Growth Equity Fund
Approval of a New Subadvisory Agreement for the Fund with Loomis Sayles & Company, L.P.
At the March Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and Loomis Sayles & Company, L.P. (“Loomis Sayles”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed Loomis Sayles Subadvisory Agreement”). The Board was informed by the Advisor that Loomis Sayles was being recommended to replace a subadvisor to the Fund that the Advisor intended to terminate as a subadvisor, and the Advisor had presented the Board with a recommendation to retain Loomis Sayles based upon the Advisor’s determination that Loomis Sayles was qualified to serve as a new subadvisor to the Fund, based upon the Advisor’s analysis of Loomis Sayles.
In considering the approval of the Proposed Loomis Sayles Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and Loomis Sayles that included, as to Loomis Sayles and the Fund: (i) a copy of the form of the Proposed Loomis Sayles Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Loomis Sayles for the Board’s approval, and the Advisor’s rationale for recommending that Loomis Sayles be appointed as a subadvisor to the Fund, and how Loomis Sayles would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that Loomis Sayles proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Loomis Sayles; (v) Loomis Sayles’ brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Loomis Sayles for its services to the Fund, and a comparison of those fees to other accounts that Loomis Sayles manages; (vii) a summary of Loomis Sayles’ compliance program; (viii) information regarding Loomis Sayles’ historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of Loomis Sayles. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.
The Trustees also considered and analyzed factors that they deemed relevant with respect to Loomis Sayles, including: the nature, extent, and quality of the services to be provided to the Fund by Loomis Sayles; Loomis Sayles’ management style and investment decision-making process; Loomis Sayles’ historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of Loomis Sayles’ portfolio management team; and Loomis Sayles’ staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
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In particular, and as to Loomis Sayles, the Board, including all of the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Loomis Sayles. The Trustees reviewed the nature, extent, and quality of the services to be provided by Loomis Sayles to the Fund. The Trustees discussed the specific investment management process that Loomis Sayles indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by Loomis Sayles), the qualifications of Loomis Sayles’ portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that Loomis Sayles would be managing, and the performance record of Loomis Sayles as compared to a relevant benchmark. The Trustees considered Loomis Sayles’ infrastructure and resources, and whether Loomis Sayles’ organization appeared to support Loomis Sayles’ strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Loomis Sayles, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by Loomis Sayles. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Loomis Sayles’ portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Loomis Sayles, as well as Loomis Sayles’ ability to render such services based on Loomis Sayles’ experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that Loomis Sayles would manage.
(b) Comparison of the services to be rendered and fees to be paid to Loomis Sayles under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by Loomis Sayles and evaluated the compensation to be paid to Loomis Sayles by the Advisor for those services. The Trustees noted that the services that Loomis Sayles would furnish to the Fund appeared to be comparable to the services that Loomis Sayles currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to Loomis Sayles by the Advisor in light of the fees that are charged by Loomis Sayles to its other advisory clients, as disclosed in Loomis Sayles’ Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by Loomis Sayles were the result of an arm’s-length bargain negotiated by unaffiliated parties.
The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend Loomis Sayles to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Loomis Sayles for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of Loomis Sayles would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to Loomis Sayles with respect to the assets of the Fund to be allocated to Loomis Sayles was supported by the services that were expected to be provided by Loomis Sayles to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Loomis Sayles from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to Loomis Sayles were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of Loomis Sayles was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of Loomis Sayles was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of Loomis Sayles can be expected to result in an increase in the profitability to the Advisor as a result of decreased subadvisory fees that will be paid out of the Advisor’s resources, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by Loomis Sayles and the proposed fees to be paid to Loomis Sayles by the Advisor for managing its allocated portion of the Fund, the
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potential benefits accruing to Loomis Sayles as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by Loomis Sayles to the Fund.
(c) Investment performance of the Fund and Loomis Sayles. Because Loomis Sayles was a newly proposed subadvisor to the Fund, the Trustees could not consider Loomis Sayles’ investment performance in managing the Fund as a factor in evaluating the Proposed Loomis Sayles Subadvisory Agreement. However, the Trustees reviewed Loomis Sayles’ historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of Loomis Sayles to a relevant benchmark and concluded that Loomis Sayles’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed Loomis Sayles Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Loomis Sayles to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for Loomis Sayles was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed Loomis Sayles Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed Loomis Sayles Subadvisory Agreement.
Mercer Emerging Markets Equity Fund
Approval of a New Subadvisory Agreement for the Fund with Kleinwort Benson Investors International Ltd.
At the March Meeting, the Trustees, including the Independent Trustees, also considered and approved a proposed new subadvisory agreement between the Advisor and Klieinwort Benson Investors International Ltd. (“KBI”), a subadvisor to the Emerging Markets Equity Fund (the “New KBI Subadvisory Agreement”). Due to a change in the ownership structure of KBI’s corporate parent, BHF Kleinwort Benson Group SA (the “KBI Transaction”), effective January 13, 2016, the prior subadvisory agreement between KBI and the Advisor, on behalf of the Fund (the “Prior KBI Subadvisory Agreement”) had been deemed terminated in accordance with the terms of the Prior KBI Subadvisory Agreement and applicable provisions of the Investment Company Act of 1940, as amended (the “1940 Act”) relating to changes in ownership and control of investment advisors and subadvisors to mutual funds. As a result of the event involving the change in control of KBI’s corporate parent, the Board, during a special meeting that was held on January 28, 2016, had approved an interim subadvisory agreement with KBI (the “Interim KBI Subadvisory Agreement”) in accordance with relevant provisions of the 1940 Act that permit the adoption of an interim investment advisory agreement in connection with a change in control event, provided that certain conditions are met, and those conditions were met in this case. The Interim Subadvisory Agreement, which had a term of 150 days, was replaced upon the Board’s approval of the New KBI Subadvisory Agreement at the March Meeting. The New KBI Subadvisory Agreement, which became effective as of March 18, 2016, is essentially identical to the Prior KBI Subadvisory Agreement in all material respects. The Advisor had informed the Board that they were of the view that the KBI Transaction was not expected to cause any change in the level or quality of services provided to the Fund by KBI.
In considering the approval of the New KBI Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and KBI that included, as to KBI and the Fund: (i) the New KBI Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended KBI for the Board’s approval, and the Advisor’s rationale for continuing to retain KBI as a Subadvisor following the consumation of the KBI Transaction; (iii) the nature, extent, and quality of the services that KBI had previously provided to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of KBI and the effect that the KBI Transaction may have on KBI’s business and operations; (v) KBI’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by KBI for its services to the Fund, and a comparison of those fees to other accounts that KBI manages; (vii) a summary of KBI’s compliance program; (viii) information regarding KBI’s historical performance returns managing its allocated portion of the Fund’s portfolio and investment mandates similar to the
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Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of KBI before and after the KBI Transaction. In addition, the Trustees considered presentations made by, and discussions held with representatives of the Advisor during the Meeting.
The Trustees considered and analyzed factors that the Trustees deemed relevant with respect to KBI, including: the nature, extent, and quality of the services to be provided to the Fund by KBI following the consummation of the KBI Transaction; KBI’s management style and investment decision-making process; KBI’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of KBI’s portfolio management team; and KBI’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards, and reviewed materials supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to KBI, the Trustees, including all of the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by KBI. The Trustees reviewed the nature, extent, and quality of the services that have been previously provided by KBI to the Fund under the Prior KBI Subadvisory Agreement and that are proposed to be provided by KBI to the Fund under the New KBI Subadvisory Agreement. The Trustees considered: (i) KBI’s organization, history, reputation, qualification and background, as well as the qualifications of its personnel; (ii) its expertise in providing portfolio management services to the Fund and other similar investment portfolios and the performance history of the Fund and those other portfolios; (iii) its investment strategy for the Fund; (iv) its performance relative to comparable mutual funds and unmanaged indices; and (v) its compliance program. The Trustees also considered the review process undertaken by the Advisor and the Advisor’s favorable assessment of the nature and quality of the subadvisory services provided and expected to be provided to the Fund by KBI after consummation of the KBI Transaction. The Trustees also noted that the executive and portfolio management teams of KBI were expected to stay in place after consummation of the KBI Transaction. The Trustees concluded that the Fund and its shareholders would continue to benefit from the quality and experience of KBI’s investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services provided by KBI under the Prior KBI Subadvisory Agreement, as well as KBI’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for the Fund in light of the Fund’s investment objective, and supported a decision to approve the New KBI Subadvisory Agreement.
Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent, and quality of the subadvisory services anticipated to be provided by KBI following the consummation of the KBI Transaction, as well as KBI’s ability to render such services based on KBI’s experience, operations, and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that KBI would continue to manage.
(b) Comparison of the services to be rendered and fees to be paid to KBI under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by KBI and evaluated the compensation to be paid to KBI by the Advisor for those services. The Trustees considered the fees payable under the New KBI Subadvisory Agreement, noting that the proposed fee would be paid by the Advisor, and not the Fund, and, thus, would not impact the fees paid by the Fund. The Trustees concluded that the proposed level of fees to be paid to KBI by the Advisor with respect to the assets allocated to KBI in its capacity as subadvisor was supported by the services that were expected to be provided by KBI. The Trustees noted that the services that KBI would furnish to the Fund appeared to be comparable to the services that KBI currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered that the fees agreed to by KBI were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while KBI’s fee schedule did include breakpoints, the benefit of breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
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The Trustees considered the review, selection, and due diligence process employed by the Advisor in determining to recommend that KBI continue to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to KBI for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of KBI would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed level of fees to be paid to KBI with respect to the assets of the Fund allocated to KBI was supported by the services that were expected to be provided by KBI. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to KBI from its relationship with the Fund and concluded that they were reasonable.
Since the fees to be paid to KBI were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of KBI was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of KBI was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability. On the basis of these considerations, the Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by KBI and the proposed fees to be paid to KBI by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to KBI as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by KBI to the Fund.
(c) Investment performance of the Fund and KBI. The Trustees considered KBI’s prior investment performance in managing its allocated portion of the Fund’s portfolio as a factor in evaluating the New KBI Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of KBI supported the approval of the New KBI Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend that KBI continue to serve as a subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for KBI was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including all of the Independent Trustees, concluded that the approval of the New KBI Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the New KBI Subadvisory Agreement.
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Understanding Your Fund’s Expenses (Unaudited)
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2015 through March 31, 2016. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = $8.60) and multiply the result by the number in the Operating Expenses Incurred column as shown below for your Class. The second line in the table for each Fund provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
Large Cap Growth — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.63%** | 1,000.00 | 1,012.90 | 1,006.45 | 3.17 | ||||||||||||||||||||
Hypothetical | 0.63%** | 1,000.00 | 1,021.85 | 1,010.93 | 3.18 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.63%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
Large Cap Value — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.62%** | 1,000.00 | 1,039.20 | 1,019.60 | 3.16 | ||||||||||||||||||||
Hypothetical | 0.62%** | 1,000.00 | 1,021.90 | 1,010.95 | 3.13 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.62%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
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Understanding Your Fund’s Expenses (Unaudited) (Continued)
Small/Mid Cap Growth — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.99%** | 1,000.00 | 1,000.10 | 1,000.05 | 4.95 | ||||||||||||||||||||
Hypothetical | 0.99%** | 1,000.00 | 1,020.05 | 1,010.03 | 5.00 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.99%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
Small/Mid Cap Value — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.97%** | 1,000.00 | 1,083.80 | 1,041.90 | 5.05 | ||||||||||||||||||||
Hypothetical | 0.97%** | 1,000.00 | 1,020.15 | 1,010.08 | 4.90 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.97%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
Non-US Core Equity — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.84%** | 1,000.00 | 1,030.80 | 1,015.40 | 4.26 | ||||||||||||||||||||
Hypothetical | 0.84%** | 1,000.00 | 1,020.80 | 1,010.40 | 4.24 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.84%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
Core Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.42% | 1,000.00 | 1,025.40 | 1,012.70 | 2.13 | ||||||||||||||||||||
Hypothetical | 0.42% | 1,000.00 | 1,022.90 | 1,011.45 | 2.12 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.42%, multiplied by the average account value over the period, multiplied by 183/366 |
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Understanding Your Fund’s Expenses (Unaudited) (Continued)
Opportunistic Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.90%** | 1,000.00 | 1,038.70 | 1,019.35 | 4.59 | ||||||||||||||||||||
Hypothetical | 0.90%** | 1,000.00 | 1,020.50 | 1,010.25 | 4.55 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.90%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
Emerging Markets — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 1.03%** | 1,000.00 | 1,045.50 | 1,022.75 | 5.27 | ||||||||||||||||||||
Hypothetical | 1.03%** | 1,000.00 | 1,019.85 | 1,009.93 | 5.20 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 1.03%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
Global Low Volatility — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.82%** | 1,000.00 | 1,078.70 | 1,039.35 | 4.26 | ||||||||||||||||||||
Hypothetical | 0.82%** | 1,000.00 | 1,020.90 | 1,010.45 | 4.14 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.82%, multiplied by the average account value over the period, multiplied by 183/366 |
** | Includes interest expense that amounts to less than 0.01%. |
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Mercer Funds
Trustees and Officers (Unaudited)
The following tables list the Trust’s Trustees and Officers as of the date of this report; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trust’s trustees, including changes subsequent to the date of the report. The SAI is available, without charge, upon request, by calling 1-866-658-9896, or on the SEC website at www.sec.gov.
Independent Trustees
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Harrison M. Bains, Jr. 99 High Street Boston, MA 02110 (72) | Chairperson and Trustee | Chairperson since 2016; Trustee since 2005 | Mr. Bains is retired. | 9 | Mr. Bains is a director of BG Medicine, Inc., and Cara Therapeutics, Inc. and a Trustee of BofA Fund Series Trust (11 portfolios). | ||||||||
Adela M. Cepeda A.C. Advisory, Inc. 150 North Wacker Drive, Suite 2160 Chicago, IL 60606 (57) | Trustee | Since 2005 | Ms. Cepeda is Founder and President of A.C. Advisory, Inc. (a financial advisory firm) since 1995. | 9 | Ms. Cepeda is a director or trustee of: The UBS Funds (19 portfolios), UBS Relationship Funds (25 portfolios), Fort Dearborn Income Securities, Inc. (1 portfolio), SMA Relationship Trust (5 portfolios, Consulting Group Capital Markets Funds (11 portfolios), and the Amalgamated Bank of Chicago. | ||||||||
Gail A. Schneider 99 High Street Boston, MA 02110 (66) | Trustee | Trustee Since 2009 | Ms. Schneider is a self-employed consultant since 2007. | 9 | None |
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Trustees and Officers (Unaudited) (Continued)
Interested Trustee:
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Richard Nuzum** (47) | Trustee, President, and Chief Executive Officer | Since 2010 | Mr. Nuzum is North America’s Business Leader of Mercer’s Investment Management Business since 2011. Prior to 2011, he was Global Business Leader of Mercer’s Investment Management Business. | 9 | Mr. Nuzum is a Director of Mercer Trust Company and a director of Mercer Investment Management, Inc. |
(1) | Each Trustee holds office for an indefinite term. |
* | The “Fund Complex” consists of the Trust, which has nine portfolios effective March 31, 2016. |
** | Mr. Nuzum is considered to be an “interested person,” as defined in the 1940 Act, of the Trust due to his relationship with the Advisor. |
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Trustees and Officers (Unaudited) (Continued)
Officers:
The executive officers of the Trust not named above are:
Name and Age | Position(s) | Term of | Principal Occupation(s) During Past 5 Years | |||
Richard S. Joseph (50) | Vice President | Since 2005 | Mr. Joseph is Vice President and Head of the US Mercer Delegated Solutions of Mercer Investment Management, Inc. since December 2015, prior to December 2015 he was Chief Operating Officer of Mercer Investment Management, Inc. since 2005. | |||
Janice Desmond (64) | Treasurer, and Chief Financial Officer | Since 2015 | Ms. Desmond is a CPA in MA and has served as Head of Fund Administration for Mercer Investment Management, Inc. since 2010. | |||
Jeremiah France (45) | Vice President, Assistant Treasurer | Since 2015 Since 2005 | Mr. France is a partner and COO of North American Investments at Mercer Investment Management, Inc. since 2005. | |||
Scott M. Zoltowski (46) | Vice President, Chief Legal Officer, and Secretary | Since 2008 | Mr. Zoltowski is a partner of Mercer (US) Inc. and serves as Global Chief Counsel — Investment for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC. | |||
Stan Mavromates (54) | Vice President and Chief Investment Officer | Since 2012 | Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investment Management, Inc. since 2012. Prior to 2012, he served as Chief Investment Officer of the Massachusetts Pension Reserves Investment Management Board (2005-2012). | |||
Colin Dean (38) | Vice President and Assistant Secretary | Since 2010 | Mr. Dean has served as Senior Legal Counsel — Investments for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC since 2010. | |||
Manny Weiss (66) | Vice President | Since 2010 | Mr. Weiss is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009. | |||
John Johnson (49) | Vice President | Since 2015 | Mr. Johnson is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2015. Prior to joining Mercer, he was a Fixed Income Portfolio Manager and Trader for Aberdeen Asset Management. | |||
Larry Vasquez (48) | Vice President | Since 2012 | Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investment Management, Inc. since 2012. Prior to joining Mercer, he was a Portfolio Manager at UBS Global Asset Management, Inc. from 2009 to 2012. | |||
Maureen Kiefer-Goldenberg (47) | Vice President and Chief Compliance Officer | Since 2016 | Ms. Kiefer-Goldenberg serves as Partner/North America Chief Compliance Officer at Mercer Investments. Ms. Kiefer-Goldenberg most recently served as Vice President and Chief Compliance Officer at Fund Evaluation Group, LLC (from 2011 to 2015) and previous to that, Compliance Officer at Touchstone Investments (from 2005 to 2011). |
† | Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board. |
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Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.
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Item 2. Code of Ethics.
As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to its President, Chief Financial Officer and Chief Investment Officer. During the period covered by this report, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 12(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Harrison M. Bains, Jr., who is “independent” as defined in Item 3(a)(2) of this Form.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees – The aggregate fee billed for the fiscal year for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements was $416,777 and $400,008 for the fiscal years ended March 31, 2015 and March 31, 2016, respectively.
(b) Audit-Related Fees – There were no fees billed for the fiscal years ended March 31, 2015 and March 31, 2016 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.
(c) Tax Fees – The aggregate fee billed in the last fiscal year for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations was $77,314 and $80,298 for the fiscal years ended March 31, 2015 and March 31, 2016, respectively. Fees in the amount of $59,332 and $18,458 were billed in the fiscal years ended March 31, 2015 and March 31, 2016, respectively for review of non-US capital gains and the preparation and filing of return of income for the Mercer Non-US Core Equity Fund and the Mercer Emerging Markets Equity Fund.
(d) All Other Fees – Fees in the amount of $7,820 and $117,747 were billed in the fiscal years ended March 31, 2015 and March 31, 2016, respectively for tax advisory services related to the reclamation of taxes paid by the Mercer Non-US Core Equity Fund in certain European Union countries.
(e) (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services.
(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended March 31, 2016 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | There were no aggregate fees billed for the fiscal year ended March 31, 2016 by the Registrant’s principal accountant for non-audit services rendered to the Registrant, its investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
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Item 6. Schedule of Investments.
The Registrant’s full schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics for the Registrant’s President, Chief Financial Officer and Chief Investment Officer (as referenced in Item 2 above), attached hereto as Exhibit (a)(1).
(a)(2) Certification of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Mercer Funds |
By (Signature and Title) | By: /s/ Richard Nuzum | |||
Richard Nuzum President and Chief Executive Officer (Principal Executive Officer) |
Date | May 26, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By (Signature and Title) | By: /s/ Richard Nuzum | |||
Richard Nuzum President and Chief Executive Officer (Principal Executive Officer) |
Date | May 26, 2016 |
By (Signature and Title) | By: /s/ Janice Desmond | |||
Janice Desmond Treasurer and Chief Financial Officer |
Date | May 26, 2016 |