Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number:811-21732
Mercer Funds
(Exact Name of Registrant as Specified in Charter)
99 High Street
Boston, MA 02110
(Address of Principal Executive Offices)(Zip Code)
Colin J. Dean, Esq.
Mercer 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, 2020
Date of Reporting Period: September 30, 2019
Table of Contents
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
Table of Contents
Mercer FundsTM
Semi-Annual Report
Mercer US Large Cap Equity Fund
Mercer US Small/Mid Cap Equity Fund
MercerNon-US Core Equity Fund
Mercer Core Fixed Income Fund
Mercer Opportunistic Fixed Income Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity Fund
This report has been prepared for Mercer Funds shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Mercer Funds prospectus. The prospectus contains more complete information about the Funds’ investment objectives, risks, and expenses. Investors are reminded to read the prospectus carefully before investing.
Beginning on July 31, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary, such as a broker-dealer or bank if you hold your shares through such an institution. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund or your financial intermediary electronically by calling1-888-887-0619 if you hold your shares directly with the Mercer Funds, or, if you hold your shares through a financial intermediary, by contacting your financial intermediary.
You may elect to receive all future reports in paper copies free of charge. You can inform the Funds or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling1-888-887-0619 if you hold your shares directly with the Mercer Funds, or, if you hold your shares through a financial intermediary, by contacting your financial intermediary. Your election to receive reports in paper copies will apply to all Funds held with the Mercer Funds or through your financial intermediary, as applicable.
September 30, 2019
Table of Contents
MERCER FUNDS
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Table of Contents
Mercer US Large Cap Equity Fund
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.7% | ||||||||||
Aerospace & Defense — 3.0% | ||||||||||
15,791 | Airbus SE, ADR | 512,734 | ||||||||
11,621 | Arconic, Inc. | 302,146 | ||||||||
4,765 | Boeing Co. (The) | 1,812,940 | ||||||||
6,900 | Northrop Grumman Corp. | 2,586,051 | ||||||||
13,100 | Raytheon Co. | 2,570,089 | ||||||||
30,927 | Safran SA, ADR | 1,214,967 | ||||||||
19,223 | Spirit AeroSystems Holdings, Inc. Class A | 1,580,899 | ||||||||
|
| |||||||||
10,579,826 | ||||||||||
|
| |||||||||
Agriculture — 0.9% | ||||||||||
12,203 | Altria Group, Inc. | 499,103 | ||||||||
62,500 | Archer-Daniels-Midland Co. | 2,566,875 | ||||||||
|
| |||||||||
3,065,978 | ||||||||||
|
| |||||||||
Airlines — 0.9% | ||||||||||
47,170 | American Airlines Group, Inc. | 1,272,175 | ||||||||
17,970 | Delta Air Lines, Inc. | 1,035,072 | ||||||||
8,644 | United Airlines Holdings, Inc.* | 764,216 | ||||||||
|
| |||||||||
3,071,463 | ||||||||||
|
| |||||||||
Apparel — 1.7% | ||||||||||
4,544 | adidas AG, ADR | 707,501 | ||||||||
19,691 | Kering SA, ADR | 1,002,272 | ||||||||
47,406 | NIKE, Inc. Class B | 4,452,371 | ||||||||
|
| |||||||||
6,162,144 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.6% | ||||||||||
42,603 | General Motors Co. | 1,596,760 | ||||||||
2,900 | Tesla, Inc.* ‡ | 698,523 | ||||||||
|
| |||||||||
2,295,283 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.2% | ||||||||||
16,600 | Magna International, Inc. Class A | 885,278 | ||||||||
|
| |||||||||
Banks — 5.7% | ||||||||||
153,700 | Banco Santander SA, ADR‡ | 617,874 | ||||||||
78,689 | Bank of America Corp. | 2,295,358 | ||||||||
57,500 | Bank of New York Mellon Corp. (The) | 2,599,575 | ||||||||
48,200 | BB&T Corp. | 2,572,434 | ||||||||
73,185 | Citigroup, Inc. | 5,055,620 | ||||||||
13,410 | Comerica, Inc. | 884,926 | ||||||||
37,183 | Fifth Third Bancorp | 1,018,071 | ||||||||
17,670 | JPMorgan Chase & Co. | 2,079,582 | ||||||||
74,694 | Regions Financial Corp. | 1,181,659 | ||||||||
37,852 | Wells Fargo & Co. | 1,909,255 | ||||||||
|
| |||||||||
20,214,354 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
1
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Beverages — 0.7% | ||||||||||
4,662 | Constellation Brands, Inc. Class A | 966,339 | ||||||||
24,900 | Molson Coors Brewing Co. Class B | 1,431,750 | ||||||||
|
| |||||||||
2,398,089 | ||||||||||
|
| |||||||||
Biotechnology — 2.3% | ||||||||||
13,231 | Amgen, Inc. | 2,560,331 | ||||||||
6,854 | BioMarin Pharmaceutical, Inc.* | 461,960 | ||||||||
5,758 | Exact Sciences Corp.* ‡ | 520,350 | ||||||||
8,400 | Gilead Sciences, Inc. | 532,392 | ||||||||
3,630 | Guardant Health, Inc.* | 231,703 | ||||||||
4,298 | Illumina, Inc.* | 1,307,538 | ||||||||
4,800 | Regeneron Pharmaceuticals, Inc.* | 1,331,520 | ||||||||
2,855 | Sage Therapeutics, Inc.* ‡ | 400,528 | ||||||||
4,858 | Vertex Pharmaceuticals, Inc.* | 823,042 | ||||||||
|
| |||||||||
8,169,364 | ||||||||||
|
| |||||||||
Building Materials — 0.1% | ||||||||||
4,079 | Johnson Controls International Plc | 179,027 | ||||||||
|
| |||||||||
Chemicals — 1.9% | ||||||||||
10,685 | Celanese Corp. | 1,306,669 | ||||||||
9,919 | CF Industries Holdings, Inc. | 488,015 | ||||||||
20,273 | CORTEVA, Inc.* | 567,644 | ||||||||
4,973 | DOW, Inc.* | 236,963 | ||||||||
41,673 | DuPont de Nemours, Inc. | 2,971,702 | ||||||||
10,600 | Eastman Chemical Co. | 782,598 | ||||||||
24,000 | Huntsman Corp. | 558,240 | ||||||||
|
| |||||||||
6,911,831 | ||||||||||
|
| |||||||||
Commercial Services — 2.8% | ||||||||||
13,928 | Automatic Data Processing, Inc. | 2,248,258 | ||||||||
3,592 | FleetCor Technologies, Inc.* | 1,030,114 | ||||||||
14,900 | Gartner, Inc.* | 2,130,551 | ||||||||
31,189 | PayPal Holdings, Inc.* | 3,230,868 | ||||||||
3,643 | S&P Global, Inc. | 892,462 | ||||||||
6,928 | Square, Inc. Class A* ‡ | 429,190 | ||||||||
|
| |||||||||
9,961,443 | ||||||||||
|
| |||||||||
Computers — 1.6% | ||||||||||
17,100 | Accenture Plc Class A | 3,289,185 | ||||||||
10,651 | Apple, Inc. | 2,385,504 | ||||||||
|
| |||||||||
5,674,689 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 0.3% | ||||||||||
5,232 | Estee Lauder Cos., Inc. (The) Class A | 1,040,906 | ||||||||
|
| |||||||||
Diversified Financial Services — 6.8% | ||||||||||
16,200 | AerCap Holdings NV* | 886,950 |
See accompanying Notes to the Financial Statements.
2
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Diversified Financial Services — continued | ||||||||||
52,675 | Ally Financial, Inc. | 1,746,703 | ||||||||
22,449 | Ameriprise Financial, Inc. | 3,302,248 | ||||||||
6,675 | Discover Financial Services | 541,276 | ||||||||
12,900 | E*TRADE Financial Corp. | 563,601 | ||||||||
41,796 | Franklin Resources, Inc.‡ | 1,206,233 | ||||||||
24,409 | Mastercard, Inc. Class A | 6,628,752 | ||||||||
45,700 | SLM Corp. | 403,302 | ||||||||
16,777 | Synchrony Financial | 571,928 | ||||||||
42,695 | Visa, Inc. Class A | 7,343,967 | ||||||||
48,458 | Western Union Co. (The)‡ | 1,122,772 | ||||||||
|
| |||||||||
24,317,732 | ||||||||||
|
| |||||||||
Electric — 0.7% | ||||||||||
33,900 | Edison International | 2,556,738 | ||||||||
|
| |||||||||
Electronics — 0.2% | ||||||||||
3,396 | Waters Corp.* | 758,089 | ||||||||
|
| |||||||||
Environmental Control — 0.7% | ||||||||||
21,600 | Waste Management, Inc. | 2,484,000 | ||||||||
|
| |||||||||
Food — 3.3% | ||||||||||
99,339 | Conagra Brands, Inc. | 3,047,721 | ||||||||
9,100 | Ingredion, Inc. | 743,834 | ||||||||
62,527 | Kroger Co. (The) | 1,611,946 | ||||||||
46,200 | Mondelez International, Inc. Class A | 2,555,784 | ||||||||
22,200 | Nestle SA, ADR | 2,406,480 | ||||||||
14,000 | Tyson Foods, Inc. Class A | 1,205,960 | ||||||||
|
| |||||||||
11,571,725 | ||||||||||
|
| |||||||||
Health Care - Products — 2.2% | ||||||||||
31,300 | Abbott Laboratories | 2,618,871 | ||||||||
7,600 | Align Technology, Inc.* | 1,374,992 | ||||||||
5,354 | Danaher Corp. | 773,278 | ||||||||
3,457 | Edwards Lifesciences Corp.* | 760,229 | ||||||||
1,775 | Intuitive Surgical, Inc.* | 958,376 | ||||||||
4,900 | Medtronic Plc | 532,238 | ||||||||
5,200 | Zimmer Biomet Holdings, Inc. | 713,804 | ||||||||
|
| |||||||||
7,731,788 | ||||||||||
|
| |||||||||
Health Care - Services — 0.0% | ||||||||||
3,043 | DaVita, Inc.* | 173,664 | ||||||||
|
| |||||||||
Home Builders — 0.5% | ||||||||||
16,100 | D.R. Horton, Inc. | 848,631 | ||||||||
24,900 | PulteGroup, Inc. | 910,095 | ||||||||
|
| |||||||||
1,758,726 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
3
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Home Furnishings — 0.1% | ||||||||||
2,750 | Whirlpool Corp. | 435,490 | ||||||||
|
| |||||||||
Insurance — 3.3% | ||||||||||
23,800 | Allstate Corp. (The) | 2,586,584 | ||||||||
45,900 | American International Group, Inc. | 2,556,630 | ||||||||
9,416 | Berkshire Hathaway, Inc. Class B* | 1,958,716 | ||||||||
2,906 | Lincoln National Corp. | 175,290 | ||||||||
68,665 | MetLife, Inc. | 3,238,242 | ||||||||
25,228 | Voya Financial, Inc. | 1,373,412 | ||||||||
|
| |||||||||
11,888,874 | ||||||||||
|
| |||||||||
Internet — 9.1% | ||||||||||
10,668 | Alibaba Group Holding, Ltd., ADR* | 1,784,010 | ||||||||
2,789 | Alphabet, Inc. Class A* | 3,405,760 | ||||||||
5,421 | Alphabet, Inc. Class C* | 6,608,199 | ||||||||
2,318 | Amazon.com, Inc.* | 4,023,839 | ||||||||
730 | Booking Holdings, Inc.* | 1,432,705 | ||||||||
68,524 | eBay, Inc. | 2,671,066 | ||||||||
49,542 | Facebook, Inc. Class A* | 8,822,439 | ||||||||
6,163 | Netflix, Inc.* | 1,649,342 | ||||||||
1,282 | Shopify, Inc. Class A* | 399,548 | ||||||||
29,728 | Tencent Holdings, Ltd., ADR‡ | 1,237,577 | ||||||||
6,358 | Uber Technologies, Inc.* ‡ | 193,728 | ||||||||
|
| |||||||||
32,228,213 | ||||||||||
|
| |||||||||
Leisure Time — 0.2% | ||||||||||
10,400 | Norwegian Cruise Line Holdings, Ltd.* | 538,408 | ||||||||
|
| |||||||||
Lodging — 0.3% | ||||||||||
9,751 | Marriott International, Inc. Class A | 1,212,732 | ||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.1% | ||||||||||
2,100 | Caterpillar, Inc. | 265,251 | ||||||||
|
| |||||||||
Machinery - Diversified — 0.6% | ||||||||||
6,933 | Dover Corp. | 690,250 | ||||||||
7,685 | Rockwell Automation, Inc. | 1,266,488 | ||||||||
|
| |||||||||
1,956,738 | ||||||||||
|
| |||||||||
Media — 0.7% | ||||||||||
20,893 | Altice USA, Inc. Class A* | 599,211 | ||||||||
1,221 | Charter Communications, Inc. Class A* | 503,199 | ||||||||
11,517 | Walt Disney Co. (The) | 1,500,895 | ||||||||
|
| |||||||||
2,603,305 | ||||||||||
|
| |||||||||
Mining — 0.4% | ||||||||||
35,400 | Freeport-McMoRan, Inc. | 338,778 | ||||||||
32,800 | Newmont Goldcorp Corp. | 1,243,776 | ||||||||
|
| |||||||||
1,582,554 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
4
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Miscellaneous - Manufacturing — 0.3% | ||||||||||
20,604 | Textron, Inc. | 1,008,772 | ||||||||
|
| |||||||||
Oil & Gas — 5.2% | ||||||||||
57,628 | BP Plc, ADR | 2,189,288 | ||||||||
6,263 | Cabot Oil & Gas Corp. | 110,041 | ||||||||
78,900 | Canadian Natural Resources, Ltd. | 2,101,107 | ||||||||
10,600 | Chevron Corp. | 1,257,160 | ||||||||
58,900 | ConocoPhillips | 3,356,122 | ||||||||
23,723 | Devon Energy Corp. | 570,775 | ||||||||
8,704 | Hess Corp. | 526,418 | ||||||||
4,208 | HollyFrontier Corp. | 225,717 | ||||||||
205,400 | Marathon Oil Corp. | 2,520,258 | ||||||||
8,577 | Marathon Petroleum Corp. | 521,053 | ||||||||
57,100 | Occidental Petroleum Corp. | 2,539,237 | ||||||||
17,154 | Phillips 66 | 1,756,569 | ||||||||
14,800 | Royal Dutch Shell Plc Class B, ADR | 886,520 | ||||||||
|
| |||||||||
18,560,265 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.5% | ||||||||||
194,100 | Halliburton Co. | 3,658,785 | ||||||||
45,800 | Schlumberger, Ltd. | 1,564,986 | ||||||||
|
| |||||||||
5,223,771 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.4% | ||||||||||
19,100 | Crown Holdings, Inc.* | 1,261,746 | ||||||||
|
| |||||||||
Pharmaceuticals — 8.6% | ||||||||||
14,394 | AbbVie, Inc. | 1,089,914 | ||||||||
36,129 | AstraZeneca Plc, ADR | 1,610,269 | ||||||||
11,900 | Bristol-Myers Squibb Co. | 603,449 | ||||||||
95,352 | Cardinal Health, Inc. | 4,499,661 | ||||||||
17,200 | Cigna Corp.* | 2,610,788 | ||||||||
60,200 | CVS Health Corp. | 3,796,814 | ||||||||
4,051 | DexCom, Inc.* | 604,571 | ||||||||
7,877 | Eli Lilly & Co. | 880,885 | ||||||||
16,200 | Horizon Therapeutics Plc* | 441,126 | ||||||||
4,300 | Jazz Pharmaceuticals Plc* | 551,002 | ||||||||
26,000 | Johnson & Johnson | 3,363,880 | ||||||||
1,565 | McKesson Corp. | 213,873 | ||||||||
29,900 | Merck & Co., Inc. | 2,516,982 | ||||||||
19,300 | Mylan NV* | 381,754 | ||||||||
97,300 | Pfizer, Inc. | 3,495,989 | ||||||||
30,700 | Zoetis, Inc. | 3,824,913 | ||||||||
|
| |||||||||
30,485,870 | ||||||||||
|
| |||||||||
REITS — 1.9% | ||||||||||
2,550 | American Tower Corp. REIT | 563,881 | ||||||||
121,500 | Annaly Capital Management, Inc. REIT | 1,069,200 | ||||||||
1,282 | Boston Properties, Inc. REIT | 166,224 |
See accompanying Notes to the Financial Statements.
5
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
REITS — continued | ||||||||||
5,908 | Crown Castle International Corp. REIT | 821,271 | ||||||||
30,100 | Equity Residential REIT | 2,596,426 | ||||||||
14,600 | Gaming and Leisure Properties, Inc. REIT | 558,304 | ||||||||
5,173 | Regency Centers Corp. REIT | 359,472 | ||||||||
41,200 | Two Harbors Investment Corp. REIT‡ | 540,956 | ||||||||
|
| |||||||||
6,675,734 | ||||||||||
|
| |||||||||
Retail — 6.5% | ||||||||||
429 | AutoZone, Inc.* | 465,302 | ||||||||
19,656 | Best Buy Co., Inc. | 1,356,067 | ||||||||
925 | Chipotle Mexican Grill, Inc. Class A* | 777,435 | ||||||||
5,185 | Costco Wholesale Corp. | 1,493,850 | ||||||||
18,469 | Dollar General Corp. | 2,935,463 | ||||||||
22,500 | Dollar Tree, Inc.* | 2,568,600 | ||||||||
3,363 | Home Depot, Inc. (The) | 780,283 | ||||||||
23,600 | Lowe’s Cos., Inc. | 2,595,056 | ||||||||
6,109 | Lululemon Athletica, Inc.* | 1,176,166 | ||||||||
6,449 | O’Reilly Automotive, Inc.* | 2,569,991 | ||||||||
34,018 | Starbucks Corp. | 3,007,872 | ||||||||
18,893 | Walgreens Boots Alliance, Inc. | 1,044,972 | ||||||||
21,547 | Yum! Brands, Inc. | 2,444,076 | ||||||||
|
| |||||||||
23,215,133 | ||||||||||
|
| |||||||||
Semiconductors — 3.7% | ||||||||||
9,400 | Broadcom, Inc. | 2,595,058 | ||||||||
50,400 | Intel Corp. | 2,597,112 | ||||||||
5,500 | IPG Photonics Corp.* | 745,800 | ||||||||
1,299 | Lam Research Corp. | 300,212 | ||||||||
48,900 | Marvell Technology Group, Ltd. | 1,221,033 | ||||||||
11,572 | NVIDIA Corp. | 2,014,338 | ||||||||
14,466 | NXP Semiconductors NV | 1,578,530 | ||||||||
26,768 | QUALCOMM, Inc. | 2,041,863 | ||||||||
|
| |||||||||
13,093,946 | ||||||||||
|
| |||||||||
Shipbuilding — 0.2% | ||||||||||
2,653 | Huntington Ingalls Industries, Inc. | 561,879 | ||||||||
|
| |||||||||
Software — 8.4% | ||||||||||
20,565 | Adobe, Inc.* | 5,681,081 | ||||||||
13,731 | Citrix Systems, Inc. | 1,325,316 | ||||||||
72,010 | Microsoft Corp. | 10,011,550 | ||||||||
6,192 | MSCI, Inc. Class A | 1,348,308 | ||||||||
97,972 | Oracle Corp. | 5,391,399 | ||||||||
17,785 | salesforce.com, Inc.* | 2,640,005 | ||||||||
3,926 | SAP SE, ADR | 462,758 | ||||||||
3,570 | ServiceNow, Inc.* | 906,245 | ||||||||
6,074 | Splunk, Inc.* | 715,882 | ||||||||
2,896 | Twilio, Inc. Class A* ‡ | 318,444 |
See accompanying Notes to the Financial Statements.
6
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Software — continued | ||||||||||
6,812 | Workday, Inc. Class A* | 1,157,768 | ||||||||
|
| |||||||||
29,958,756 | ||||||||||
|
| |||||||||
Telecommunications — 3.8% | ||||||||||
132,500 | AT&T, Inc. | 5,013,800 | ||||||||
92,325 | Cisco Systems, Inc. | 4,561,778 | ||||||||
22,698 | Corning, Inc. | 647,347 | ||||||||
36,223 | Juniper Networks, Inc. | 896,519 | ||||||||
42,400 | Verizon Communications, Inc. | 2,559,264 | ||||||||
|
| |||||||||
13,678,708 | ||||||||||
|
| |||||||||
Textiles — 0.3% | ||||||||||
7,900 | Mohawk Industries, Inc.* | 980,153 | ||||||||
|
| |||||||||
Transportation — 1.0% | ||||||||||
14,918 | CSX Corp. | 1,033,370 | ||||||||
15,475 | Union Pacific Corp. | 2,506,640 | ||||||||
|
| |||||||||
3,540,010 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $313,449,922) | 332,918,445 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||||
Mutual Fund - Securities Lending Collateral — 0.6% | ||||||||||
2,154,542 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%## ** | 2,154,542 | ||||||||
U.S. Government and Agency Obligations — 0.2% | ||||||||||
750,000 | United States Treasury Bill, 1.81%, due 03/05/20*** ‡‡ | 744,223 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $2,898,594) | 2,898,765 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 94.5% (Cost $316,348,516) | 335,817,210 | |||||||||
Other Assets and Liabilities (net) — 5.5% | 19,630,416 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $355,447,626 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt |
| |||||||||
REIT — Real Estate Investment Trust |
| |||||||||
## | The rate disclosed is the 7 day net yield as of September 30, 2019. | |||||||||
* | Non-income producing security | |||||||||
** | Represents an investment of securities lending cash collateral. | |||||||||
*** | All or a portion of this security is pledged for open futures collateral. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡ | Interest rate presented is yield to maturity. |
See accompanying Notes to the Financial Statements.
7
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
111 | S&P 500 E-mini Index | Dec 2019 | $ | 16,530,675 | $ | (162,471 | ) | |||||||||||||
7 | S&P Mid 400 E-mini Index | Dec 2019 | 1,356,600 | (20,058 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (182,529 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
8
Table of Contents
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 93.7 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 0.8 | ||||
Other Assets and Liabilities (net) | 5.6 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements.
9
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.6% |
| |||||||||
Advertising — 0.1% | ||||||||||
33,560 | Interpublic Group of Cos., Inc. (The) | 723,554 | ||||||||
|
| |||||||||
Aerospace & Defense — 1.1% | ||||||||||
14,800 | HEICO Corp. | 1,848,224 | ||||||||
34,100 | Spirit AeroSystems Holdings, Inc. Class A | 2,804,384 | ||||||||
11,875 | Teledyne Technologies, Inc.* | 3,823,631 | ||||||||
|
| |||||||||
8,476,239 | ||||||||||
|
| |||||||||
Airlines — 0.7% | ||||||||||
22,100 | Alaska Air Group, Inc. | 1,434,511 | ||||||||
43,700 | Hawaiian Holdings, Inc. | 1,147,562 | ||||||||
111,000 | JetBlue Airways Corp.* | 1,859,250 | ||||||||
22,800 | SkyWest, Inc. | 1,308,720 | ||||||||
|
| |||||||||
5,750,043 | ||||||||||
|
| |||||||||
Apparel — 0.7% | ||||||||||
22,200 | Capri Holdings, Ltd.* | 736,152 | ||||||||
27,978 | Carter’s, Inc. | 2,551,873 | ||||||||
15,477 | Columbia Sportswear Co. | 1,499,567 | ||||||||
8,590 | PVH Corp. | 757,896 | ||||||||
9,765 | Under Armour, Inc. Class A* ‡ | 194,714 | ||||||||
|
| |||||||||
5,740,202 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.2% | ||||||||||
93,900 | Wabash National Corp. | 1,362,489 | ||||||||
|
| |||||||||
Auto Parts & Equipment — 1.4% | ||||||||||
51,600 | Allison Transmission Holdings, Inc. | 2,427,780 | ||||||||
64,700 | American Axle & Manufacturing Holdings, Inc.* | 531,834 | ||||||||
42,700 | BorgWarner, Inc. | 1,566,236 | ||||||||
8,800 | Cooper-Standard Holdings, Inc.* | 359,744 | ||||||||
26,423 | Dorman Products, Inc.* | 2,101,685 | ||||||||
61,600 | Goodyear Tire & Rubber Co. (The) | 887,348 | ||||||||
6,800 | Lear Corp. | 801,720 | ||||||||
69,110 | Meritor, Inc.* | 1,278,535 | ||||||||
27,700 | Tenneco, Inc. Class A‡ | 346,804 | ||||||||
6,236 | WABCO Holdings, Inc.* | 834,065 | ||||||||
|
| |||||||||
11,135,751 | ||||||||||
|
| |||||||||
Banks — 4.8% | ||||||||||
57,351 | Associated Banc-Corp. | 1,161,358 | ||||||||
41,973 | Atlantic Union Bankshares Corp. | 1,563,284 | ||||||||
52,700 | BankUnited, Inc. | 1,771,774 | ||||||||
40,300 | CIT Group, Inc. | 1,825,993 | ||||||||
29,100 | Comerica, Inc. | 1,920,309 | ||||||||
145,700 | First Horizon National Corp. | 2,360,340 | ||||||||
35,430 | Glacier Bancorp, Inc. | 1,433,498 |
See accompanying Notes to the Financial Statements.
10
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Banks — continued | ||||||||||
48,700 | Hanmi Financial Corp. | 914,586 | ||||||||
91,700 | Hope Bancorp, Inc. | 1,314,978 | ||||||||
36,379 | Pinnacle Financial Partners, Inc. | 2,064,508 | ||||||||
21,100 | Popular, Inc. | 1,141,088 | ||||||||
18,000 | Preferred Bank/Los Angeles CA | 942,840 | ||||||||
154,500 | Regions Financial Corp. | 2,444,190 | ||||||||
17,473 | Signature Bank/New York NY | 2,083,131 | ||||||||
99,149 | TCF Financial Corp. | 3,774,603 | ||||||||
69,262 | Webster Financial Corp. | 3,246,310 | ||||||||
86,973 | Western Alliance Bancorp | 4,007,716 | ||||||||
62,700 | Zions Bancorp NA | 2,791,404 | ||||||||
|
| |||||||||
36,761,910 | ||||||||||
|
| |||||||||
Biotechnology — 2.8% | ||||||||||
48,420 | Acceleron Pharma, Inc.* ‡ | 1,913,074 | ||||||||
20,280 | Alnylam Pharmaceuticals, Inc.* ‡ | 1,630,918 | ||||||||
6,983 | Argenx SE, ADR* ‡ | 795,783 | ||||||||
17,726 | Bio-Rad Laboratories, Inc. Class A* | 5,898,149 | ||||||||
44,524 | Blueprint Medicines Corp.* | 3,271,178 | ||||||||
58,100 | Innoviva, Inc.* | 612,374 | ||||||||
108,550 | Medicines Co. (The)* ‡ | 5,427,500 | ||||||||
56,670 | Rocket Pharmaceuticals, Inc.* ‡ | 660,205 | ||||||||
10,640 | Sage Therapeutics, Inc.* ‡ | 1,492,686 | ||||||||
|
| |||||||||
21,701,867 | ||||||||||
|
| |||||||||
Building Materials — 1.4% | ||||||||||
23,800 | Apogee Enterprises, Inc. | 927,962 | ||||||||
13,717 | Armstrong World Industries, Inc. | 1,326,434 | ||||||||
17,891 | Eagle Materials, Inc. | 1,610,369 | ||||||||
19,513 | Gibraltar Industries, Inc.* | 896,427 | ||||||||
26,500 | Owens Corning | 1,674,800 | ||||||||
71,413 | Summit Materials, Inc. Class A* ‡ | 1,585,369 | ||||||||
34,480 | Trex Co., Inc.* | 3,135,266 | ||||||||
|
| |||||||||
11,156,627 | ||||||||||
|
| |||||||||
Chemicals — 2.4% | ||||||||||
23,000 | Cabot Corp. | 1,042,360 | ||||||||
13,100 | Celanese Corp. | 1,601,999 | ||||||||
46,300 | Chemours Co. (The) | 691,722 | ||||||||
26,400 | Eastman Chemical Co. | 1,949,112 | ||||||||
20,742 | FMC Corp. | 1,818,659 | ||||||||
113,700 | Huntsman Corp. | 2,644,662 | ||||||||
90,250 | Orion Engineered Carbons SA | 1,508,077 | ||||||||
13,180 | Quaker Chemical Corp. | 2,084,285 | ||||||||
1,640 | Rogers Corp.* | 224,204 | ||||||||
46,596 | RPM International, Inc. | 3,206,271 | ||||||||
32,180 | W.R. Grace & Co. | 2,148,337 | ||||||||
|
| |||||||||
18,919,688 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
11
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Coal — 0.1% | ||||||||||
8,600 | Arch Coal, Inc. Class A‡ | 638,120 | ||||||||
|
| |||||||||
Commercial Services — 7.3% | ||||||||||
23,594 | Aaron’s, Inc. | 1,516,150 | ||||||||
77,796 | Booz Allen Hamilton Holding Corp. Class A | 5,525,072 | ||||||||
13,278 | Bright Horizons Family Solutions, Inc.* | 2,024,895 | ||||||||
3,632 | CoStar Group, Inc.* | 2,154,502 | ||||||||
49,469 | Evo Payments, Inc. Class A* ‡ | 1,391,068 | ||||||||
21,849 | Gartner, Inc.* | 3,124,189 | ||||||||
13,188 | Global Payments, Inc. | 2,096,960 | ||||||||
46,590 | Grand Canyon Education, Inc.* | 4,575,138 | ||||||||
72,053 | Harsco Corp.* | 1,366,125 | ||||||||
23,669 | HMS Holdings Corp.* | 815,752 | ||||||||
89,615 | Laureate Education, Inc. Class A* | 1,485,369 | ||||||||
29,000 | ManpowerGroup, Inc. | 2,442,960 | ||||||||
14,215 | MarketAxess Holdings, Inc. | 4,655,413 | ||||||||
9,713 | Morningstar, Inc. | 1,419,458 | ||||||||
81,238 | Nielsen Holdings Plc | 1,726,308 | ||||||||
18,454 | Paylocity Holding Corp.* | 1,800,741 | ||||||||
32,850 | Resources Connection, Inc. | 558,122 | ||||||||
93,090 | Ritchie Bros Auctioneers, Inc. | 3,714,291 | ||||||||
148,130 | Sabre Corp. | 3,317,371 | ||||||||
48,977 | TransUnion | 3,972,524 | ||||||||
22,323 | TriNet Group, Inc.* | 1,388,267 | ||||||||
21,839 | Viad Corp. | 1,466,489 | ||||||||
19,639 | WEX, Inc.* | 3,968,453 | ||||||||
|
| |||||||||
56,505,617 | ||||||||||
|
| |||||||||
Computers — 2.6% | ||||||||||
18,000 | Amdocs, Ltd. | 1,189,980 | ||||||||
144,680 | Conduent, Inc.* | 899,910 | ||||||||
15,377 | Cubic Corp. | 1,083,002 | ||||||||
20,460 | EPAM Systems, Inc.* | 3,730,267 | ||||||||
31,160 | Fortinet, Inc.* | 2,391,842 | ||||||||
28,200 | Lumentum Holdings, Inc.* ‡ | 1,510,392 | ||||||||
104,500 | NCR Corp.* ‡ | 3,298,020 | ||||||||
102,020 | Pure Storage, Inc. Class A* | 1,728,219 | ||||||||
38,929 | Rapid7, Inc.* | 1,766,987 | ||||||||
42,200 | Seagate Technology Plc | 2,269,938 | ||||||||
|
| |||||||||
19,868,557 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 1.8% | ||||||||||
18,281 | Anixter International, Inc.* | 1,263,583 | ||||||||
120,980 | LKQ Corp.* | 3,804,821 | ||||||||
17,336 | Pool Corp. | 3,496,671 | ||||||||
92,224 | Resideo Technologies, Inc.* | 1,323,414 | ||||||||
25,400 | ScanSource, Inc.* | 775,970 | ||||||||
20,821 | SiteOne Landscape Supply, Inc.* ‡ | 1,541,171 |
See accompanying Notes to the Financial Statements.
12
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Distribution & Wholesale — continued | ||||||||||
45,800 | Triton International, Ltd. | 1,549,872 | ||||||||
|
| |||||||||
13,755,502 | ||||||||||
|
| |||||||||
Diversified Financial Services — 2.1% | ||||||||||
7,175 | Alliance Data Systems Corp. | 919,333 | ||||||||
78,600 | Ally Financial, Inc. | 2,606,376 | ||||||||
57,264 | Ares Management Corp. Class A | 1,535,248 | ||||||||
23,901 | Artisan Partners Asset Management, Inc. Class A | 674,964 | ||||||||
30,700 | Deluxe Corp. | 1,509,212 | ||||||||
18,000 | Federal Agricultural Mortgage Corp. Class C | 1,469,880 | ||||||||
23,000 | Lazard, Ltd. Class A | 805,000 | ||||||||
39,200 | Legg Mason, Inc. | 1,497,048 | ||||||||
28,690 | LPL Financial Holdings, Inc. | 2,349,711 | ||||||||
96,000 | Navient Corp. | 1,228,800 | ||||||||
73,600 | Western Union Co. (The)‡ | 1,705,312 | ||||||||
|
| |||||||||
16,300,884 | ||||||||||
|
| |||||||||
Electric — 0.8% | ||||||||||
37,100 | AES Corp. | 606,214 | ||||||||
40,634 | OGE Energy Corp. | 1,843,971 | ||||||||
34,756 | Portland General Electric Co. | 1,959,196 | ||||||||
59,200 | Vistra Energy Corp. | 1,582,416 | ||||||||
|
| |||||||||
5,991,797 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.4% | ||||||||||
8,927 | Acuity Brands, Inc. | 1,203,270 | ||||||||
25,073 | Generac Holdings, Inc.* | 1,964,219 | ||||||||
|
| |||||||||
3,167,489 | ||||||||||
|
| |||||||||
Electronics — 3.3% | ||||||||||
21,449 | Advanced Energy Industries, Inc.* | 1,231,387 | ||||||||
15,200 | Arrow Electronics, Inc.* | 1,133,616 | ||||||||
57,068 | Atkore International Group, Inc.* | 1,732,014 | ||||||||
22,700 | Avnet, Inc. | 1,009,809 | ||||||||
10,910 | Coherent, Inc.* | 1,677,085 | ||||||||
29,197 | FLIR Systems, Inc. | 1,535,470 | ||||||||
57,900 | Jabil, Inc. | 2,071,083 | ||||||||
2,667 | Mettler-Toledo International, Inc.* | 1,878,635 | ||||||||
51,445 | nVent Electric Plc | 1,133,848 | ||||||||
43,100 | Sanmina Corp.* | 1,383,941 | ||||||||
7,906 | SYNNEX Corp. | 892,587 | ||||||||
19,590 | Tech Data Corp.* | 2,042,062 | ||||||||
38,597 | Trimble, Inc.* | 1,497,950 | ||||||||
68,200 | TTM Technologies, Inc.* | 831,699 | ||||||||
117,800 | Vishay Intertechnology, Inc. | 1,994,354 | ||||||||
34,273 | Woodward, Inc. | 3,695,658 | ||||||||
|
| |||||||||
25,741,198 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
13
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Engineering & Construction — 1.3% | ||||||||||
1,063 | Arcosa, Inc. | 36,365 | ||||||||
48,720 | Argan, Inc. | 1,914,209 | ||||||||
42,912 | Comfort Systems USA, Inc. | 1,897,998 | ||||||||
51,021 | Exponent, Inc. | 3,566,368 | ||||||||
27,500 | TopBuild Corp.* | 2,651,825 | ||||||||
|
| |||||||||
10,066,765 | ||||||||||
|
| |||||||||
Entertainment — 1.2% | ||||||||||
49,760 | Eldorado Resorts, Inc.* ‡ | 1,983,931 | ||||||||
32,557 | Live Nation Entertainment, Inc.* | 2,159,832 | ||||||||
7,868 | Madison Square Garden Co. (The) Class A* | 2,073,375 | ||||||||
15,010 | Vail Resorts, Inc. | 3,415,676 | ||||||||
|
| |||||||||
9,632,814 | ||||||||||
|
| |||||||||
Food — 2.1% | ||||||||||
303,800 | Hostess Brands, Inc. Class A* | 4,248,643 | ||||||||
64,509 | Ingles Markets, Inc. Class A | 2,506,820 | ||||||||
13,200 | Ingredion, Inc. | 1,078,968 | ||||||||
12,460 | JM Smucker Co. (The) | 1,370,849 | ||||||||
70,702 | Nomad Foods, Ltd.* | 1,449,391 | ||||||||
47,890 | Performance Food Group Co.* | 2,203,419 | ||||||||
38,900 | Pilgrim’s Pride Corp.* | 1,246,550 | ||||||||
29,600 | SpartanNash Co. | 350,168 | ||||||||
50,264 | Sprouts Farmers Market, Inc.* | 972,106 | ||||||||
11,000 | Weis Markets, Inc. | 419,540 | ||||||||
|
| |||||||||
15,846,454 | ||||||||||
|
| |||||||||
Food Service — 0.1% | ||||||||||
25,931 | Aramark | 1,130,073 | ||||||||
|
| |||||||||
Forest Products & Paper — 0.2% | ||||||||||
35,400 | Schweitzer-Mauduit International, Inc. | 1,325,376 | ||||||||
|
| |||||||||
Gas — 0.3% | ||||||||||
48,700 | National Fuel Gas Co. | 2,285,004 | ||||||||
|
| |||||||||
Hand & Machine Tools — 0.9% | ||||||||||
59,010 | Colfax Corp.* ‡ | 1,714,831 | ||||||||
23,290 | Lincoln Electric Holdings, Inc. | 2,020,640 | ||||||||
24,900 | Regal Beloit Corp. | 1,813,965 | ||||||||
7,100 | Snap-on, Inc.‡ | 1,111,434 | ||||||||
|
| |||||||||
6,660,870 | ||||||||||
|
| |||||||||
Health Care - Products — 2.8% | ||||||||||
22,845 | Globus Medical, Inc. Class A* | 1,167,836 | ||||||||
17,670 | Haemonetics Corp.* | 2,228,894 | ||||||||
10,200 | ICU Medical, Inc.* | 1,627,920 | ||||||||
23,678 | Insulet Corp.* | 3,905,213 |
See accompanying Notes to the Financial Statements.
14
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Health Care - Products — continued | ||||||||||
63,100 | Lantheus Holdings, Inc.* | 1,581,601 | ||||||||
25,230 | Patterson Cos., Inc.‡ | 449,599 | ||||||||
5,823 | Penumbra, Inc.* ‡ | 783,135 | ||||||||
35,298 | STERIS Plc | 5,100,208 | ||||||||
34,193 | West Pharmaceutical Services, Inc. | 4,849,251 | ||||||||
|
| |||||||||
21,693,657 | ||||||||||
|
| |||||||||
Health Care - Services — 2.2% | ||||||||||
42,717 | Acadia Healthcare Co., Inc.* ‡ | 1,327,644 | ||||||||
72,086 | Catalent, Inc.* | 3,435,619 | ||||||||
22,454 | Charles River Laboratories International, Inc.* | 2,972,236 | ||||||||
12,247 | ICON Plc, ADR* | 1,804,473 | ||||||||
14,368 | LHC Group, Inc.* | 1,631,630 | ||||||||
20,900 | MEDNAX, Inc.* | 472,758 | ||||||||
28,240 | Quest Diagnostics, Inc. | 3,022,527 | ||||||||
10,220 | Universal Health Services, Inc. Class B | 1,520,225 | ||||||||
3,309 | WellCare Health Plans, Inc.* | 857,594 | ||||||||
|
| |||||||||
17,044,706 | ||||||||||
|
| |||||||||
Home Builders — 1.1% | ||||||||||
12,565 | Cavco Industries, Inc.* | 2,413,611 | ||||||||
53,136 | MDC Holdings, Inc. | 2,290,161 | ||||||||
53,000 | PulteGroup, Inc. | 1,937,150 | ||||||||
13,200 | Thor Industries, Inc. | 747,648 | ||||||||
60,900 | TRI Pointe Group, Inc.* | 915,936 | ||||||||
|
| |||||||||
8,304,506 | ||||||||||
|
| |||||||||
Home Furnishings — 0.3% | ||||||||||
41,100 | Ethan Allen Interiors, Inc. | 785,010 | ||||||||
9,500 | Whirlpool Corp. | 1,504,420 | ||||||||
|
| |||||||||
2,289,430 | ||||||||||
|
| |||||||||
Housewares — 0.4% | ||||||||||
40,300 | Toro Co. (The) | 2,953,990 | ||||||||
|
| |||||||||
Insurance — 5.4% | ||||||||||
37,305 | Arthur J. Gallagher & Co. | 3,341,409 | ||||||||
51,900 | Assured Guaranty, Ltd. | 2,307,474 | ||||||||
30,355 | Axis Capital Holdings, Ltd. | 2,025,286 | ||||||||
134,700 | CNO Financial Group, Inc. | 2,132,301 | ||||||||
85,454 | Essent Group, Ltd. | 4,073,592 | ||||||||
12,400 | Everest Re Group, Ltd. | 3,299,516 | ||||||||
191,150 | FGL Holdings | 1,525,377 | ||||||||
43,139 | Fidelity National Financial, Inc. | 1,915,803 | ||||||||
116,380 | Genworth Financial, Inc. Class A* | 512,072 | ||||||||
8,400 | HCI Group, Inc. | 353,136 | ||||||||
42,700 | Heritage Insurance Holdings, Inc. | 638,365 | ||||||||
37,204 | James River Group Holdings, Ltd. | 1,906,333 |
See accompanying Notes to the Financial Statements.
15
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Insurance — continued | ||||||||||
18,099 | Kemper Corp. | 1,410,817 | ||||||||
11,382 | Kinsale Capital Group, Inc. | 1,175,874 | ||||||||
42,000 | Lincoln National Corp. | 2,533,440 | ||||||||
106,700 | MGIC Investment Corp. | 1,342,286 | ||||||||
17,800 | Reinsurance Group of America, Inc. Class A | 2,845,864 | ||||||||
53,800 | Universal Insurance Holdings, Inc. | 1,613,462 | ||||||||
86,900 | Unum Group | 2,582,668 | ||||||||
19,300 | Voya Financial, Inc. | 1,050,692 | ||||||||
3,027 | White Mountains Insurance Group, Ltd. | 3,269,160 | ||||||||
|
| |||||||||
41,854,927 | ||||||||||
|
| |||||||||
Internet — 1.0% | ||||||||||
64,160 | 8x8, Inc.* | 1,329,395 | ||||||||
25,407 | Cogent Communications Holdings, Inc. | 1,399,926 | ||||||||
18,606 | Expedia Group, Inc. | 2,500,833 | ||||||||
5,000 | F5 Networks, Inc.* | 702,100 | ||||||||
21,731 | TripAdvisor, Inc.* | 840,555 | ||||||||
17,991 | Zendesk, Inc.* | 1,311,184 | ||||||||
|
| |||||||||
8,083,993 | ||||||||||
|
| |||||||||
Investment Companies — 0.7% | ||||||||||
95,000 | Ares Capital Corp. | 1,770,325 | ||||||||
59,200 | New Mountain Finance Corp.‡ | 806,896 | ||||||||
416,398 | Oaktree Specialty Lending Corp. | 2,156,942 | ||||||||
105,900 | Prospect Capital Corp.‡ | 697,881 | ||||||||
|
| |||||||||
5,432,044 | ||||||||||
|
| |||||||||
Iron & Steel — 0.5% | ||||||||||
28,733 | Allegheny Technologies, Inc.* | 581,843 | ||||||||
129,400 | Cleveland-Cliffs, Inc.‡ | 934,268 | ||||||||
14,000 | Reliance Steel & Aluminum Co. | 1,395,240 | ||||||||
26,500 | Steel Dynamics, Inc. | 789,700 | ||||||||
40,300 | United States Steel Corp.‡ | 465,465 | ||||||||
|
| |||||||||
4,166,516 | ||||||||||
|
| |||||||||
Leisure Time — 0.9% | ||||||||||
19,100 | Brunswick Corp. | 995,492 | ||||||||
36,900 | Harley-Davidson, Inc.‡ | 1,327,293 | ||||||||
22,800 | Norwegian Cruise Line Holdings, Ltd.* | 1,180,356 | ||||||||
22,225 | Planet Fitness, Inc. Class A* | 1,286,161 | ||||||||
21,038 | Polaris, Inc. | 1,851,554 | ||||||||
|
| |||||||||
6,640,856 | ||||||||||
|
| |||||||||
Lodging — 0.5% | ||||||||||
180,230 | Extended Stay America, Inc. | 2,638,567 | ||||||||
23,300 | Wyndham Destinations, Inc. | 1,072,266 | ||||||||
|
| |||||||||
3,710,833 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
16
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Machinery - Construction & Mining — 0.3% | ||||||||||
26,400 | Oshkosh Corp. | 2,001,120 | ||||||||
|
| |||||||||
Machinery - Diversified — 2.8% | ||||||||||
22,900 | AGCO Corp. | 1,733,530 | ||||||||
18,699 | Albany International Corp. Class A | 1,685,902 | ||||||||
53,600 | Briggs & Stratton Corp. | 324,816 | ||||||||
33,735 | Cactus, Inc. Class A* | 976,291 | ||||||||
49,932 | Cognex Corp. | 2,453,159 | ||||||||
32,720 | Flowserve Corp. | 1,528,351 | ||||||||
130,999 | Gardner Denver Holdings, Inc.* | 3,705,962 | ||||||||
34,393 | Graco, Inc. | 1,583,454 | ||||||||
129,079 | GrafTech International, Ltd.‡ | 1,652,211 | ||||||||
13,910 | Middleby Corp. (The)* | 1,626,079 | ||||||||
15,849 | Nordson Corp. | 2,318,075 | ||||||||
24,618 | Wabtec Corp.‡ | 1,769,049 | ||||||||
|
| |||||||||
21,356,879 | ||||||||||
|
| |||||||||
Media — 1.8% | ||||||||||
22,900 | AMC Networks, Inc. Class A* ‡ | 1,125,764 | ||||||||
109,860 | Discovery, Inc. Class C* | 2,704,753 | ||||||||
137,100 | Entercom Communications Corp. Class A‡ | 457,914 | ||||||||
36,200 | Liberty Broadband Corp. Class C* | 3,789,054 | ||||||||
63,470 | Liberty Latin America, Ltd. Class A* | 1,083,433 | ||||||||
112,066 | Liberty Latin America, Ltd. Class C* | 1,915,768 | ||||||||
93,170 | MSG Networks, Inc. Class A* ‡ | 1,511,217 | ||||||||
67,300 | TEGNA, Inc. | 1,045,169 | ||||||||
9,310 | World Wrestling Entertainment, Inc. Class A‡ | 662,407 | ||||||||
|
| |||||||||
14,295,479 | ||||||||||
|
| |||||||||
Metal Fabricate & Hardware — 0.5% | ||||||||||
25,161 | Helios Technologies, Inc. | 1,020,782 | ||||||||
18,306 | RBC Bearings, Inc.* | 3,037,148 | ||||||||
|
| |||||||||
4,057,930 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 1.2% | ||||||||||
11,728 | AptarGroup, Inc. | 1,389,182 | ||||||||
51,357 | Hexcel Corp. | 4,217,950 | ||||||||
40,700 | Textron, Inc. | 1,992,672 | ||||||||
35,700 | Trinseo SA | 1,533,315 | ||||||||
|
| |||||||||
9,133,119 | ||||||||||
|
| |||||||||
Multi-National — 0.1% | ||||||||||
33,800 | Banco Latinoamericano de Comercio Exterior SA Class E | 673,972 | ||||||||
|
| |||||||||
Office & Business Equipment — 0.5% | ||||||||||
93,800 | Pitney Bowes, Inc.‡ | 428,666 | ||||||||
18,126 | Zebra Technologies Corp. Class A* | 3,740,663 | ||||||||
|
| |||||||||
4,169,329 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
17
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Office Furnishings — 0.1% | ||||||||||
38,000 | Knoll, Inc. | 963,300 | ||||||||
|
| |||||||||
Oil & Gas — 2.6% | ||||||||||
62,900 | Carrizo Oil & Gas, Inc.* ‡ | 539,997 | ||||||||
27,900 | Delek US Holdings, Inc. | 1,012,770 | ||||||||
35,309 | Diamondback Energy, Inc. | 3,174,632 | ||||||||
117,600 | Gulfport Energy Corp.* | 318,696 | ||||||||
46,400 | HollyFrontier Corp. | 2,488,896 | ||||||||
37,300 | Laredo Petroleum, Inc.* | 89,893 | ||||||||
75,493 | Matador Resources Co.* ‡ | 1,247,899 | ||||||||
19,890 | Murphy USA, Inc.* | 1,696,617 | ||||||||
108,707 | Parsley Energy, Inc. Class A | 1,826,278 | ||||||||
170,110 | PBF Energy, Inc. Class A | 4,625,291 | ||||||||
190,000 | Southwestern Energy Co.* ‡ | 366,700 | ||||||||
134,000 | SRC Energy, Inc.* | 624,440 | ||||||||
165,366 | W&T Offshore, Inc.* | 722,649 | ||||||||
102,250 | WPX Energy, Inc.* | 1,082,827 | ||||||||
|
| |||||||||
19,817,585 | ||||||||||
|
| |||||||||
Oil & Gas Services — 0.1% | ||||||||||
10,985 | Dril-Quip, Inc.* ‡ | 551,227 | ||||||||
68,800 | McDermott International, Inc.* ‡ | 138,976 | ||||||||
|
| |||||||||
690,203 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.7% | ||||||||||
33,785 | Berry Global Group, Inc.* | 1,326,737 | ||||||||
74,600 | Owens-Illinois, Inc. | 766,142 | ||||||||
16,400 | Packaging Corp. of America | 1,740,040 | ||||||||
47,900 | Westrock Co. | 1,745,955 | ||||||||
|
| |||||||||
5,578,874 | ||||||||||
|
| |||||||||
Pharmaceuticals — 2.7% | ||||||||||
10,184 | Ascendis Pharma AS, ADR* | 980,923 | ||||||||
17,700 | DexCom, Inc.* | 2,641,548 | ||||||||
39,583 | Horizon Therapeutics Plc* | 1,077,845 | ||||||||
28,687 | Jazz Pharmaceuticals Plc* | 3,675,952 | ||||||||
50,275 | Lannett Co., Inc.* ‡ | 563,080 | ||||||||
36,800 | Mallinckrodt Plc* ‡ | 88,688 | ||||||||
34,582 | Neurocrine Biosciences, Inc.* | 3,116,184 | ||||||||
53,800 | Owens & Minor, Inc.‡ | 312,578 | ||||||||
14,878 | PRA Health Sciences, Inc.* | 1,476,344 | ||||||||
169,466 | Premier, Inc. Class A* | 4,900,957 | ||||||||
22,895 | Sarepta Therapeutics, Inc.* ‡ | 1,724,451 | ||||||||
|
| |||||||||
20,558,550 | ||||||||||
|
| |||||||||
Private Equity — 0.2% | ||||||||||
36,960 | Apollo Global Management, Inc. Class A* | 1,397,827 | ||||||||
|
|
See accompanying Notes to the Financial Statements.
18
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Real Estate — 0.1% | ||||||||||
84,060 | Newmark Group, Inc. Class A | 761,584 | ||||||||
|
| |||||||||
REITS — 6.7% | ||||||||||
55,363 | American Campus Communities, Inc. REIT | 2,661,853 | ||||||||
253,100 | Annaly Capital Management, Inc. REIT | 2,227,280 | ||||||||
80,900 | Brixmor Property Group, Inc. REIT | 1,641,461 | ||||||||
163,500 | Cedar Realty Trust, Inc. REIT | 490,500 | ||||||||
99,300 | Chimera Investment Corp. REIT‡ | 1,942,308 | ||||||||
104,500 | City Office, Inc. REIT | 1,503,755 | ||||||||
43,300 | CoreCivic, Inc. REIT | 748,224 | ||||||||
14,428 | CoreSite Realty Corp. REIT | 1,758,052 | ||||||||
91,535 | Easterly Government Properties, Inc. REIT | 1,949,696 | ||||||||
109,500 | Franklin Street Properties Corp. REIT | 926,370 | ||||||||
35,400 | Gaming and Leisure Properties, Inc. REIT | 1,353,696 | ||||||||
59,200 | Industrial Logistics Properties Trust REIT | 1,258,000 | ||||||||
203,400 | Lexington Realty Trust REIT Class B | 2,084,850 | ||||||||
42,100 | Medical Properties Trust, Inc. REIT | 823,476 | ||||||||
13,348 | Mid-America Apartment Communities, Inc. REIT | 1,735,373 | ||||||||
39,583 | Office Properties Income Trust REIT | 1,212,823 | ||||||||
52,400 | Outfront Media, Inc. REIT | 1,455,672 | ||||||||
94,256 | Physicians Realty Trust REIT | 1,673,044 | ||||||||
95,600 | Piedmont Office Realty Trust, Inc. REIT Class A | 1,996,128 | ||||||||
56,600 | Preferred Apartment Communities, Inc. REIT Class A‡ | 817,870 | ||||||||
61,020 | QTS Realty Trust, Inc. REIT Class A | 3,137,038 | ||||||||
6,248 | Retail Value, Inc. REIT | 231,426 | ||||||||
69,400 | RLJ Lodging Trust REIT | 1,179,106 | ||||||||
52,300 | Sabra Healthcare, Inc. REIT | 1,200,808 | ||||||||
139,600 | Senior Housing Properties Trust REIT | 1,291,998 | ||||||||
59,600 | Service Properties Trust REIT | 1,537,084 | ||||||||
81,300 | SITE Centers Corp. REIT | 1,228,443 | ||||||||
214,434 | Summit Hotel Properties, Inc. REIT | 2,487,434 | ||||||||
38,048 | Sun Communities, Inc. REIT | 5,648,226 | ||||||||
221,500 | VEREIT, Inc. REIT | 2,166,270 | ||||||||
70,800 | Xenia Hotels & Resorts, Inc. REIT | 1,495,296 | ||||||||
|
| |||||||||
51,863,560 | ||||||||||
|
| |||||||||
Retail — 5.6% | ||||||||||
3,484 | Advance Auto Parts, Inc. | 576,254 | ||||||||
35,400 | American Eagle Outfitters, Inc. | 574,188 | ||||||||
39,282 | BJ’s Restaurants, Inc. | 1,525,713 | ||||||||
135,083 | BJ’s Wholesale Club Holdings, Inc.* | 3,494,597 | ||||||||
22,278 | Burlington Stores, Inc.* | 4,451,590 | ||||||||
154,226 | Cannae Holdings, Inc.* | 4,236,588 | ||||||||
9,516 | Casey’s General Stores, Inc. | 1,533,599 | ||||||||
44,300 | Dick’s Sporting Goods, Inc.‡ | 1,807,883 | ||||||||
16,800 | Dillard’s, Inc. Class A‡ | 1,110,648 | ||||||||
51,861 | Five Below, Inc.* | 6,539,672 | ||||||||
39,400 | Foot Locker, Inc. | 1,700,504 | ||||||||
31,467 | Freshpet, Inc.* | 1,566,113 |
See accompanying Notes to the Financial Statements.
19
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Retail — continued | ||||||||||
28,200 | Kohl’s Corp. | 1,400,412 | ||||||||
13,896 | Lithia Motors, Inc. Class A | 1,839,552 | ||||||||
24,590 | MSC Industrial Direct Co., Inc. Class A | 1,783,513 | ||||||||
285,900 | Office Depot, Inc. | 501,754 | ||||||||
9,820 | Papa John’s International, Inc. | 514,077 | ||||||||
51,500 | Sally Beauty Holdings, Inc.* ‡ | 766,835 | ||||||||
13,000 | Signet Jewelers, Ltd.‡ | 217,880 | ||||||||
35,900 | Sonic Automotive, Inc. Class A‡ | 1,127,619 | ||||||||
58,158 | Texas Roadhouse, Inc. Class A | 3,054,458 | ||||||||
23,900 | Williams-Sonoma, Inc.‡ | 1,624,722 | ||||||||
25,960 | World Fuel Services Corp. | 1,036,842 | ||||||||
|
| |||||||||
42,985,013 | ||||||||||
|
| |||||||||
Savings & Loans — 0.1% | ||||||||||
33,800 | Berkshire Hills Bancorp, Inc. | 990,002 | ||||||||
|
| |||||||||
Semiconductors — 2.7% | ||||||||||
35,300 | Diodes, Inc.* | 1,417,295 | ||||||||
81,230 | Entegris, Inc. | 3,822,684 | ||||||||
45,800 | Kulicke & Soffa Industries, Inc. | 1,075,384 | ||||||||
12,250 | MKS Instruments, Inc. | 1,130,430 | ||||||||
8,272 | Monolithic Power Systems, Inc. | 1,287,371 | ||||||||
236,460 | ON Semiconductor Corp.* | 4,542,397 | ||||||||
12,757 | Power Integrations, Inc. | 1,153,615 | ||||||||
25,353 | Semtech Corp.* | 1,232,409 | ||||||||
32,588 | Silicon Laboratories, Inc.* | 3,628,674 | ||||||||
24,400 | Teradyne, Inc. | 1,413,004 | ||||||||
|
| |||||||||
20,703,263 | ||||||||||
|
| |||||||||
Shipbuilding — 0.3% | ||||||||||
10,900 | Huntington Ingalls Industries, Inc. | 2,308,511 | ||||||||
|
| |||||||||
Software — 6.0% | ||||||||||
159,500 | Avaya Holdings Corp.* ‡ | 1,631,685 | ||||||||
83,774 | Black Knight, Inc.* | 5,115,240 | ||||||||
13,661 | Broadridge Financial Solutions, Inc. | 1,699,838 | ||||||||
47,580 | CDK Global, Inc. | 2,288,122 | ||||||||
38,400 | Ceridian HCM Holding, Inc.* ‡ | 1,895,808 | ||||||||
11,770 | Coupa Software, Inc.* | 1,525,039 | ||||||||
52,700 | Covetrus, Inc.* ‡ | 626,603 | ||||||||
42,973 | Envestnet, Inc.* ‡ | 2,436,569 | ||||||||
15,016 | Everbridge, Inc.* ‡ | 926,637 | ||||||||
7,385 | Fair Isaac Corp.* | 2,241,495 | ||||||||
48,631 | Guidewire Software, Inc.* ‡ | 5,124,735 | ||||||||
25,536 | HubSpot, Inc.* | 3,871,513 | ||||||||
19,315 | j2 Global, Inc.‡ | 1,754,188 | ||||||||
10,665 | Medidata Solutions, Inc.* | 975,848 | ||||||||
13,936 | Pegasystems, Inc. | 948,345 | ||||||||
51,210 | RealPage, Inc.* | 3,219,061 |
See accompanying Notes to the Financial Statements.
20
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Software — continued | ||||||||||
20,285 | Splunk, Inc.* | 2,390,790 | ||||||||
47,205 | SS&C Technologies Holdings, Inc. | 2,434,362 | ||||||||
14,500 | Twilio, Inc. Class A* ‡ | 1,594,420 | ||||||||
11,046 | Tyler Technologies, Inc.* | 2,899,575 | ||||||||
58,810 | Verra Mobility Corp. Class A* ‡ | 843,924 | ||||||||
|
| |||||||||
46,443,797 | ||||||||||
|
| |||||||||
Technology Hardware & Equipments — 0.2% | ||||||||||
55,500 | Xerox Holdings Corp. | 1,660,005 | ||||||||
|
| |||||||||
Telecommunications — 1.3% | ||||||||||
66,542 | Ciena Corp.* | 2,610,443 | ||||||||
80,290 | GCI Liberty, Inc. Class A* | 4,983,600 | ||||||||
54,600 | Juniper Networks, Inc. | 1,351,350 | ||||||||
70,471 | Vonage Holdings Corp.* | 796,322 | ||||||||
|
| |||||||||
9,741,715 | ||||||||||
|
| |||||||||
Textiles — 0.3% | ||||||||||
11,094 | UniFirst Corp. | 2,164,661 | ||||||||
|
| |||||||||
Transportation — 1.8% | ||||||||||
133,641 | Air Transport Services Group, Inc.* | 2,809,134 | ||||||||
31,300 | Atlas Air Worldwide Holdings, Inc.* | 789,699 | ||||||||
13,549 | Forward Air Corp. | 863,342 | ||||||||
26,125 | J.B. Hunt Transport Services, Inc. | 2,890,731 | ||||||||
15,600 | Kansas City Southern | 2,074,956 | ||||||||
9,750 | Old Dominion Freight Line, Inc. | 1,657,208 | ||||||||
24,200 | Ryder System, Inc. | 1,252,834 | ||||||||
58,825 | Schneider National, Inc. Class B | 1,277,679 | ||||||||
|
| |||||||||
13,615,583 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $665,152,241) | 730,752,209 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.5% |
| |||||||||
Mutual Fund - Securities Lending Collateral — 1.3% | ||||||||||
9,951,786 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%## ** | 9,951,786 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.2% | ||||||||||
1,600,000 | United States Treasury Bill, 1.81%, due 03/05/20*** ‡‡ | 1,587,676 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $11,539,098) | 11,539,462 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.1% (Cost $676,691,339) | 742,291,671 | |||||||||
Other Assets and Liabilities (net) — 3.9% | 29,835,672 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $772,127,343 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
21
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Notes to Schedule of Investments: | ||||||||
ADR — American Depository Receipt | ||||||||
REIT — Real Estate Investment Trust | ||||||||
## | The rate disclosed is the 7 day net yield as of September 30, 2019. | |||||||
* | Non-income producing security | |||||||
** | Represents an investment of securities lending cash collateral. | |||||||
*** | All or a portion of this security is pledged for open futures collateral. | |||||||
‡ | All or a portion of this security is out on loan. | |||||||
‡‡ | Interest rate presented is yield to maturity. |
See accompanying Notes to the Financial Statements.
22
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
174 | Russell 2000 E-mini Index | Dec 2019 | $ | 13,267,500 | $ | (490,688 | ) | |||||||||||||
106 | S&P Mid 400 E-mini Index | Dec 2019 | 20,542,800 | (303,741 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (794,429 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
23
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.6 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 1.5 | ||||
Other Assets and Liabilities (net) | 4.0 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements.
24
Table of Contents
MercerNon-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.0% |
| |||||||||
Argentina — 0.0% | ||||||||||
50,295 | Banco BBVA Argentina SA, ADR | 217,777 | ||||||||
|
| |||||||||
Australia — 5.0% | ||||||||||
15,876 | Afterpay Touch Group, Ltd.* | 384,080 | ||||||||
185,088 | AGL Energy, Ltd. | 2,391,792 | ||||||||
273,061 | ALS, Ltd. | 1,477,011 | ||||||||
49,220 | Altium, Ltd. | 1,107,101 | ||||||||
6,510 | Ansell, Ltd. | 120,348 | ||||||||
27,225 | Appen, Ltd. | 388,538 | ||||||||
20,190 | ARB Corp., Ltd.‡ | 259,407 | ||||||||
88,015 | Aristocrat Leisure, Ltd. | 1,816,468 | ||||||||
26,821 | ASX, Ltd. | 1,466,509 | ||||||||
103,610 | Aurizon Holdings, Ltd. | 412,290 | ||||||||
154,500 | Australia & New Zealand Banking Group, Ltd. | 2,971,855 | ||||||||
285,461 | Australian Pharmaceutical Industries, Ltd. | 259,914 | ||||||||
294,129 | BGP Holdings Plc* **** | — | ||||||||
81,175 | BHP Group, Ltd., ADR | 4,008,421 | ||||||||
291,416 | BHP Group, Ltd. | 7,217,150 | ||||||||
196,300 | BlueScope Steel, Ltd. | 1,590,058 | ||||||||
328,312 | Brambles, Ltd. | 2,524,302 | ||||||||
25,512 | CIMIC Group, Ltd. | 541,146 | ||||||||
172,133 | Cleanaway Waste Management, Ltd. | 226,385 | ||||||||
198,900 | Coca-Cola Amatil, Ltd. | 1,428,677 | ||||||||
15,790 | Cochlear, Ltd. | 2,216,706 | ||||||||
164,811 | Coles Group, Ltd. | 1,711,814 | ||||||||
87,136 | Collins Foods, Ltd.‡ | 588,276 | ||||||||
116,188 | Computershare, Ltd. | 1,265,562 | ||||||||
103,556 | Crown Resorts, Ltd. | 841,612 | ||||||||
92,990 | CSL, Ltd. | 14,656,356 | ||||||||
593,400 | CSR, Ltd. | 1,708,933 | ||||||||
18,287 | Domino’s Pizza Enterprises, Ltd. | 572,899 | ||||||||
246,584 | Downer EDI, Ltd. | 1,297,207 | ||||||||
71,678 | Elders, Ltd. | 305,529 | ||||||||
117,580 | Estia Health, Ltd. | 203,013 | ||||||||
778,641 | Fortescue Metals Group, Ltd.‡ | 4,621,358 | ||||||||
113,346 | G8 Education, Ltd.‡ | 197,996 | ||||||||
1,233,793 | Genworth Mortgage Insurance Australia, Ltd.‡ | 2,829,247 | ||||||||
65,774 | Gold Road Resources, Ltd.* | 55,230 | ||||||||
1,084,366 | Harvey Norman Holdings, Ltd‡ | 3,313,018 | ||||||||
111,354 | Healius, Ltd. | 241,831 | ||||||||
596,508 | Inghams Group, Ltd.‡ | 1,267,291 | ||||||||
95,984 | IPH, Ltd. | 563,854 | ||||||||
93,026 | IRESS, Ltd. | 726,545 | ||||||||
17,147 | Jumbo Interactive, Ltd.‡ | 279,752 | ||||||||
225,600 | Lendlease Group | 2,671,857 | ||||||||
90,554 | Link Administration Holdings, Ltd. | 348,123 | ||||||||
42,665 | Magellan Financial Group, Ltd.‡ | 1,480,207 | ||||||||
42,269 | McMillan Shakespeare, Ltd. | 465,826 |
See accompanying Notes to the Financial Statements.
25
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Australia — continued | ||||||||||
1,375,159 | Metcash, Ltd.‡ | 2,773,152 | ||||||||
1,454,500 | Mirvac Group REIT | 3,001,821 | ||||||||
56,027 | Monadelphous Group, Ltd. | 595,152 | ||||||||
60,021 | Netwealth Group, Ltd.‡ | 368,783 | ||||||||
16,429 | Newcrest Mining, Ltd. | 385,049 | ||||||||
26,362 | nib holdings Ltd./Australia | 129,793 | ||||||||
260,309 | Pendal Group, Ltd. | 1,297,428 | ||||||||
10,589 | Perpetual, Ltd.‡ | 267,387 | ||||||||
65,024 | Pinnacle Investment Management Group, Ltd.‡ | 192,964 | ||||||||
93,896 | Premier Investments, Ltd. | 1,226,033 | ||||||||
1,187,170 | Qantas Airways, Ltd. | 5,036,319 | ||||||||
300,605 | QBE Insurance Group, Ltd. | 2,546,452 | ||||||||
10,312 | REA Group, Ltd. | 752,662 | ||||||||
155,597 | Rio Tinto, Ltd. | 9,725,009 | ||||||||
57,697 | Service Stream, Ltd. | 101,954 | ||||||||
8,900 | South32, Ltd., ADR | 78,409 | ||||||||
226,928 | South32, Ltd. | 400,995 | ||||||||
180,016 | Star Entertainment Grp, Ltd. (The) | 529,355 | ||||||||
240,885 | Steadfast Group, Ltd. | 576,750 | ||||||||
78,451 | Super Retail Group, Ltd. | 524,880 | ||||||||
72,388 | Tassal Group, Ltd. | 208,958 | ||||||||
763,740 | Treasury Wine Estates, Ltd.‡ | 9,565,487 | ||||||||
163,235 | Vicinity Centres REIT | 282,941 | ||||||||
90,372 | Wesfarmers, Ltd. | 2,425,865 | ||||||||
66,252 | WiseTech Global, Ltd. | 1,551,863 | ||||||||
120,698 | Woolworths Group, Ltd. | 3,034,769 | ||||||||
|
| |||||||||
Total Australia | 122,601,724 | |||||||||
|
| |||||||||
Austria — 0.2% | ||||||||||
64,200 | OMV AG | 3,446,348 | ||||||||
50,100 | voestalpine AG‡ | 1,151,369 | ||||||||
|
| |||||||||
Total Austria | 4,597,717 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
50,100 | Ageas | 2,779,015 | ||||||||
2,670 | Colruyt SA‡ | 146,357 | ||||||||
4,596 | Melexis NV‡ | 318,421 | ||||||||
135,504 | Proximus SADP | 4,025,546 | ||||||||
2,205 | Telenet Group Holding NV | 104,088 | ||||||||
2,753 | UCB SA | 199,888 | ||||||||
|
| |||||||||
Total Belgium | 7,573,315 | |||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
975,600 | Esprit Holdings, Ltd.* | 182,939 | ||||||||
171,271 | Hiscox, Ltd. | 3,503,549 | ||||||||
743,000 | Shenzhen International Holdings, Ltd. | 1,427,352 | ||||||||
|
| |||||||||
Total Bermuda | 5,113,840 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
26
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Brazil — 0.8% | ||||||||||
179,800 | Cia de Saneamento Basico do Estado de Sao Paulo* | 2,140,990 | ||||||||
341,300 | JBS SA | 2,686,711 | ||||||||
654,159 | Localiza Rent a Car SA | 7,139,307 | ||||||||
806,100 | Magazine Luiza SA | 7,168,086 | ||||||||
217,800 | Sao Martinho SA | 990,855 | ||||||||
|
| |||||||||
Total Brazil | 20,125,949 | |||||||||
|
| |||||||||
Canada — 0.9% | ||||||||||
190,870 | Canada Goose Holdings, Inc.* | 8,392,554 | ||||||||
9,200 | Canadian Pacific Railway, Ltd. | 2,046,632 | ||||||||
29,875 | Descartes Systems Group (The), Inc.* | 1,206,733 | ||||||||
7,134 | Fairfax Financial Holdings, Ltd. | 3,146,719 | ||||||||
37,185 | Magna International, Inc. Class A | 1,983,076 | ||||||||
168,200 | Seven Generations Energy, Ltd. Class A* | 1,069,671 | ||||||||
50,576 | Thomson Reuters Corp. | 3,382,557 | ||||||||
|
| |||||||||
Total Canada | 21,227,942 | |||||||||
|
| |||||||||
Cayman Islands — 1.4% | ||||||||||
50,980 | Alibaba Group Holding, Ltd., ADR* | 8,525,385 | ||||||||
174,000 | Ausnutria Dairy Corp., Ltd.* | 227,283 | ||||||||
2,916,000 | China Resources Cement Holdings, Ltd. | 2,923,663 | ||||||||
479,500 | CK Hutchison Holdings, Ltd. | 4,232,645 | ||||||||
1,693,000 | IGG, Inc. | 1,053,887 | ||||||||
3,714,000 | Jiangnan Group, Ltd* | 130,284 | ||||||||
3,247,000 | Lee & Man Paper Manufacturing, Ltd. | 1,756,165 | ||||||||
174,450 | Tencent Holdings, Ltd. | 7,347,933 | ||||||||
9,510,000 | Tongda Group Holdings, Ltd. | 667,207 | ||||||||
850,000 | Want Want China Holdings, Ltd. | 679,835 | ||||||||
5,349,500 | WH Group, Ltd. 144A | 4,790,353 | ||||||||
2,084,000 | Xinyi Glass Holdings, Ltd. | 2,294,170 | ||||||||
|
| |||||||||
Total Cayman Islands | 34,628,810 | |||||||||
|
| |||||||||
China — 0.5% | ||||||||||
5,231,000 | Agricultural Bank of China, Ltd. Class H | 2,048,520 | ||||||||
8,334,000 | Bank of China, Ltd. Class H | 3,274,322 | ||||||||
383,000 | Bank of Communications Co., Ltd. Class H | 250,142 | ||||||||
300,000 | China Everbright Bank Co., Ltd. Class H | 127,816 | ||||||||
886,000 | China Minsheng Banking Corp., Ltd. Class H | 602,390 | ||||||||
1,195,500 | China Railway Construction Corp., Ltd. Class H | 1,306,916 | ||||||||
8,758,000 | China Telecom Corp., Ltd. Class H | 3,988,323 | ||||||||
628,600 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 1,138,623 | ||||||||
|
| |||||||||
Total China | 12,737,052 | |||||||||
|
| |||||||||
Cyprus — 0.0% | ||||||||||
7,039 | TCS Group Holding Plc, Reg S, GDR‡‡‡ | 123,182 | ||||||||
|
| |||||||||
Denmark — 1.0% | ||||||||||
8,320 | Ambu AS Class B | 137,886 |
See accompanying Notes to the Financial Statements.
27
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Denmark — continued | ||||||||||
28,321 | Carlsberg AS Class B | 4,187,020 | ||||||||
14,627 | Coloplast AS Class B | 1,762,019 | ||||||||
127,200 | Danske Bank A/S | 1,771,519 | ||||||||
34,600 | DFDS AS | 1,255,968 | ||||||||
768 | Genmab AS* | 155,931 | ||||||||
5,295 | GN Store Nord AS | 215,015 | ||||||||
29,045 | Jyske Bank AS* | 938,543 | ||||||||
118,721 | Novo Nordisk AS, ADR | 6,137,876 | ||||||||
94,736 | Novozymes AS Class B | 3,983,904 | ||||||||
11,550 | Orsted AS 144A | 1,073,618 | ||||||||
48,446 | Pandora AS | 1,944,617 | ||||||||
10,560 | SimCorp AS | 927,472 | ||||||||
38,514 | Sydbank AS | 679,340 | ||||||||
|
| |||||||||
Total Denmark | 25,170,728 | |||||||||
|
| |||||||||
Finland — 0.6% | ||||||||||
266,320 | Neste OYJ | 8,817,687 | ||||||||
14,779 | Nokia OYJ | 74,921 | ||||||||
33,160 | Nokia OYJ, ADR | 167,790 | ||||||||
230,914 | Nordea Bank Abp | 1,639,530 | ||||||||
501,000 | Outokumpu OYJ‡ | 1,320,142 | ||||||||
15,262 | Tieto OYJ‡ | 391,008 | ||||||||
85,700 | UPM-Kymmene OYJ | 2,533,825 | ||||||||
61,564 | Wartsila OYJ Abp‡ | 689,628 | ||||||||
|
| |||||||||
Total Finland | 15,634,531 | |||||||||
|
| |||||||||
France — 9.4% | ||||||||||
61,217 | AirFrance-KLM* | 640,826 | ||||||||
117,710 | Airbus SE | 15,296,629 | ||||||||
31,100 | Arkema SA | 2,899,574 | ||||||||
27,800 | Atos SE | 1,960,293 | ||||||||
335,218 | AXA SA | 8,562,603 | ||||||||
23,998 | Beneteau SA | 252,469 | ||||||||
141,505 | BNP Paribas SA | 6,891,184 | ||||||||
78,800 | Bouygues SA | 3,157,110 | ||||||||
28,510 | Carrefour SA | 499,170 | ||||||||
202,973 | Cie de Saint-Gobain | 7,966,121 | ||||||||
42,927 | Cie Generale des Etablissements Michelin SCA | 4,792,219 | ||||||||
120,300 | CNP Assurances | 2,325,308 | ||||||||
59,201 | Coface SA | 672,516 | ||||||||
268,812 | Danone SA | 23,685,013 | ||||||||
119,253 | Dassault Systemes SE | 16,998,756 | ||||||||
75,196 | Electricite de France SA | 841,921 | ||||||||
371,621 | Engie SA | 6,069,015 | ||||||||
14,778 | EssilorLuxottica SA | 2,130,676 | ||||||||
5,602 | Faurecia SE | 265,790 | ||||||||
4,590 | Gaztransport Et Technigaz SA | 454,615 | ||||||||
42,863 | IPSOS | 1,221,970 | ||||||||
1,750 | Kaufman & Broad SA | 69,713 |
See accompanying Notes to the Financial Statements.
28
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
4,673 | Kering SA | 2,381,935 | ||||||||
65,722 | L’Oreal SA | 18,406,915 | ||||||||
134,523 | Legrand SA | 9,603,097 | ||||||||
5,047 | LVMH Moet Hennessy Louis Vuitton SE | 2,006,391 | ||||||||
80,300 | Metropole Television SA | 1,317,523 | ||||||||
536,500 | Natixis SA | 2,225,515 | ||||||||
13,708 | Nexans SA | 506,019 | ||||||||
36,500 | Nexity SA | 1,738,127 | ||||||||
272,700 | Orange SA | 4,279,598 | ||||||||
88,478 | Pernod Ricard SA | 15,761,352 | ||||||||
126,253 | Peugeot SA | 3,149,226 | ||||||||
35,500 | Quadient SAS | 735,340 | ||||||||
31,598 | Renault SA | 1,814,039 | ||||||||
11,589 | Rexel SA | 124,044 | ||||||||
12,262 | Safran SA | 1,931,012 | ||||||||
154,577 | Sanofi | 14,334,296 | ||||||||
265,661 | Schneider Electric SE | 23,314,699 | ||||||||
5,494 | Societe BIC SA‡ | 368,957 | ||||||||
125,353 | Societe Generale SA | 3,435,628 | ||||||||
18,000 | Sopra Steria Group | 2,242,977 | ||||||||
107,834 | Television Francaise 1 SA | 946,951 | ||||||||
167,100 | TOTAL SA‡ | 8,723,325 | ||||||||
128,511 | Vivendi SA | 3,527,785 | ||||||||
|
| |||||||||
Total France | 230,528,242 | |||||||||
|
| |||||||||
Germany — 6.9% | ||||||||||
21,405 | adidas AG | 6,665,851 | ||||||||
83,558 | Allianz SE | 19,480,649 | ||||||||
1,031 | Amadeus Fire AG | 113,973 | ||||||||
30,500 | Aurubis AG | 1,359,637 | ||||||||
24,800 | BASF SE | 1,733,610 | ||||||||
56,223 | Bayer AG | 3,965,129 | ||||||||
9,900 | Bayer AG, ADR | 175,131 | ||||||||
43,300 | BMW AG | 3,049,013 | ||||||||
66,552 | Brenntag AG | 3,221,441 | ||||||||
8,726 | CompuGroup Medical SE | 525,122 | ||||||||
16,685 | Continental AG | 2,140,961 | ||||||||
101,479 | Covestro AG 144A | 5,022,711 | ||||||||
37,605 | Daimler AG | 1,870,282 | ||||||||
10,389 | Deutsche Boerse AG | 1,624,161 | ||||||||
299,407 | Deutsche Lufthansa AG | 4,759,108 | ||||||||
157,634 | Deutsche Post AG | 5,266,422 | ||||||||
405,247 | Deutsche Telekom AG | 6,801,073 | ||||||||
227,830 | Deutsche Wohnen SE | 8,318,254 | ||||||||
86,787 | Deutz AG | 503,353 | ||||||||
457,356 | E.ON SE | 4,447,098 | ||||||||
1,142 | Eckert & Ziegler Strahlen — und Medizintechnik AG | 193,972 | ||||||||
68,600 | Evonik Industries AG | 1,693,942 | ||||||||
12,940 | Fraport AG Frankfurt Airport Services Worldwide | 1,097,821 |
See accompanying Notes to the Financial Statements.
29
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
123,677 | GEA Group AG | 3,339,805 | ||||||||
563 | Hamburger Hafen und Logistik AG | 14,031 | ||||||||
130,080 | Heidelberger Druckmaschinen AG* | 160,391 | ||||||||
5,206 | Hella GmbH & Co. KGaA | 232,812 | ||||||||
3,330 | Henkel AG & Co. KGaA | 304,951 | ||||||||
1,815 | Hornbach Holding AG & Co. KGaA | 102,893 | ||||||||
278,325 | Infineon Technologies AG | 5,010,234 | ||||||||
181,829 | Kloeckner & Co. SE | 1,103,150 | ||||||||
32,250 | LEG Immobilien AG | 3,691,689 | ||||||||
204,300 | METRO AG | 3,225,099 | ||||||||
27,005 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 6,989,257 | ||||||||
2,600 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, ADR | 67,064 | ||||||||
17,208 | Nemetschek SE | 878,351 | ||||||||
37,694 | ProSiebenSat.1 Media SE | 519,428 | ||||||||
7,678 | Puma SE | 594,309 | ||||||||
28,400 | Rheinmetall AG | 3,593,102 | ||||||||
88,522 | SAP SE | 10,411,140 | ||||||||
21,867 | SAP SE, ADR | 2,577,463 | ||||||||
30,038 | Siemens AG | 3,217,434 | ||||||||
23,808 | Siemens AG, ADR | 1,275,752 | ||||||||
17,136 | Siltronic AG | 1,302,112 | ||||||||
36,192 | Software AG | 994,699 | ||||||||
190,166 | Symrise AG Class A | 18,484,557 | ||||||||
120,712 | TAG Immobilien AG* | 2,755,708 | ||||||||
42,000 | Talanx AG* | 1,815,052 | ||||||||
165,443 | Vonovia SE | 8,396,034 | ||||||||
9,176 | Wacker Chemie AG | 603,222 | ||||||||
33,161 | Zalando SE* 144A | 1,514,051 | ||||||||
|
| |||||||||
Total Germany | 167,202,504 | |||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
146,442 | National Bank of Greece SA* | 445,905 | ||||||||
16,220 | Piraeus Bank SA* | 54,464 | ||||||||
|
| |||||||||
Total Greece | 500,369 | |||||||||
|
| |||||||||
Hong Kong — 0.9% | ||||||||||
1,576,600 | AIA Group, Ltd. | 14,892,368 | ||||||||
1,917,000 | Champion REIT | 1,239,787 | ||||||||
624,000 | Lenovo Group, Ltd. | 416,297 | ||||||||
234,500 | Link REIT | 2,585,979 | ||||||||
143,000 | Swire Pacific, Ltd. Class A | 1,330,695 | ||||||||
253,000 | Techtronic Industries Co., Ltd. | 1,760,486 | ||||||||
|
| |||||||||
Total Hong Kong | 22,225,612 | |||||||||
|
| |||||||||
Hungary — 0.1% | ||||||||||
229,600 | MOL Hungarian Oil & Gas Plc | 2,159,616 | ||||||||
|
| |||||||||
India — 0.3% | ||||||||||
464,040 | HDFC Bank, Ltd. | 8,037,516 | ||||||||
|
|
See accompanying Notes to the Financial Statements.
30
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — 0.4% | ||||||||||
3,168,000 | Bank Central Asia Tbk PT | 6,773,427 | ||||||||
3,540,700 | Bank Negara Indonesia Persero Tbk PT | 1,833,332 | ||||||||
|
| |||||||||
Total Indonesia | 8,606,759 | |||||||||
|
| |||||||||
Ireland — 0.5% | ||||||||||
225,100 | C&C Group Plc | 1,018,427 | ||||||||
54,250 | CRH Plc, ADR | 1,864,030 | ||||||||
61,872 | Kerry Group Plc Class A | 7,237,690 | ||||||||
45,806 | Ryanair Holdings Plc, ADR* | 3,040,602 | ||||||||
|
| |||||||||
Total Ireland | 13,160,749 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
1,300 | Bank LeumiLe-Israel BM | 9,253 | ||||||||
38,426 | Check Point Software Technologies, Ltd.* | 4,207,647 | ||||||||
7,941 | Hilan, Ltd. | 324,192 | ||||||||
3,713 | Nice, Ltd., ADR* | 533,930 | ||||||||
81,500 | Teva Pharmaceutical Industries, Ltd.* | 560,872 | ||||||||
16,082 | Wix.com, Ltd.* | 1,877,413 | ||||||||
|
| |||||||||
Total Israel | 7,513,307 | |||||||||
|
| |||||||||
Italy — 2.3% | ||||||||||
1,985,117 | A2A SpA | 3,644,470 | ||||||||
250,086 | Assicurazioni Generali SpA | 4,847,605 | ||||||||
72,375 | Azimut Holding SpA | 1,358,713 | ||||||||
65,050 | Banca Farmafactoring SpA 144A | 339,340 | ||||||||
22,050 | Banca Generali SpA | 680,301 | ||||||||
37,270 | Banca Mediolanum SpA | 279,953 | ||||||||
117,224 | Banco BPM SpA* | 239,493 | ||||||||
266,258 | BPER Banca‡ | 1,029,313 | ||||||||
18,444 | Datalogic SpA‡ | 264,818 | ||||||||
151,026 | Davide Campari-Milano SpA | 1,364,936 | ||||||||
7,912 | DiaSorin SpA | 920,358 | ||||||||
2,748,601 | Enel SpA | 20,529,189 | ||||||||
222,915 | Eni SpA | 3,410,569 | ||||||||
292 | Interpump Group SpA | 9,232 | ||||||||
142,005 | Italgas SpA | 916,808 | ||||||||
133,129 | Leonardo SpA | 1,566,031 | ||||||||
475,199 | Mediobanca Banca di Credito Finanziario SpA | 5,190,980 | ||||||||
242,441 | Saras SpA | 414,965 | ||||||||
300,863 | Societa Cattolica di Assicurazioni SC | 2,560,046 | ||||||||
24,567 | Societa Iniziative Autostradali e Servizi SpA | 428,795 | ||||||||
231,916 | UniCredit SpA | 2,735,672 | ||||||||
299,060 | Unione di Banche Italiane SCPA | 839,867 | ||||||||
609,469 | Unipol Gruppo SpA | 3,246,469 | ||||||||
|
| |||||||||
Total Italy | 56,817,923 | |||||||||
|
| |||||||||
Japan — 21.4% | ||||||||||
31,600 | 77 Bank, Ltd. (The) | 468,700 |
See accompanying Notes to the Financial Statements.
31
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
54 | Advance Residence Investment Corp. REIT | 177,377 | ||||||||
50,400 | Advantest Corp. | 2,226,787 | ||||||||
1,600 | AEON REIT Investment Corp. REIT | 2,204,395 | ||||||||
143,700 | AGC, Inc./Japan | 4,454,268 | ||||||||
162,500 | Amada Holdings Co., Ltd. | 1,750,174 | ||||||||
27,100 | Amano Corp. | 824,973 | ||||||||
9,400 | AOKI Holdings, Inc. | 90,369 | ||||||||
8,000 | Arcland Sakamoto Co., Ltd. | 92,750 | ||||||||
14,900 | Argo Graphics, Inc. | 358,593 | ||||||||
734,600 | Astellas Pharma, Inc. | 10,457,387 | ||||||||
5,216 | Astellas Pharma, Inc., ADR | 74,302 | ||||||||
21,400 | Bandai Namco Holdings, Inc.‡ | 1,332,612 | ||||||||
32,200 | Brother Industries, Ltd. | 582,773 | ||||||||
53,500 | Central Glass Co., Ltd. | 1,121,235 | ||||||||
8,400 | Central Japan Railway Co. | 1,727,023 | ||||||||
233,294 | Chiba Bank, Ltd. (The)‡ | 1,200,199 | ||||||||
175,900 | Chubu Electric Power Co., Inc. | 2,547,152 | ||||||||
351,000 | Dai-ichi Life Holdings, Inc. | 5,290,576 | ||||||||
45,600 | Daibiru Corp. | 466,654 | ||||||||
34,000 | Daiwa House Industry Co., Ltd.‡ | 1,102,975 | ||||||||
9,400 | Daiwabo Holdings Co., Ltd. | 389,655 | ||||||||
72,100 | DIC Corp. | 2,000,054 | ||||||||
11,800 | Disco Corp.‡ | 2,233,893 | ||||||||
121,900 | DMG Mori Co., Ltd. | 1,726,846 | ||||||||
31,800 | DTS Corp. | 661,452 | ||||||||
6,400 | Duskin Co., Ltd. | 164,863 | ||||||||
19,700 | Eagle Industry Co., Ltd. | 179,729 | ||||||||
38,500 | East Japan Railway Co. | 3,672,774 | ||||||||
13,900 | Eisai Co., Ltd. | 706,222 | ||||||||
6,000 | Elecom Co., Ltd. | 235,392 | ||||||||
19,200 | Enplas Corp. | 621,790 | ||||||||
26,300 | ESPEC Corp. | 457,254 | ||||||||
37,700 | Ezaki Glico Co., Ltd. | 1,564,511 | ||||||||
2,700 | Fancl Corp.‡ | 71,775 | ||||||||
3,000 | Fast Retailing Co., Ltd.‡ | 1,782,373 | ||||||||
16,500 | FJ Next Co., Ltd. | 158,931 | ||||||||
49,800 | Foster Electric Co., Ltd. | 843,248 | ||||||||
17,300 | Fuji Electric Co., Ltd. | 529,045 | ||||||||
6,900 | Fuji Soft, Inc. | 291,450 | ||||||||
73,600 | FUJIFILM Holdings Corp. | 3,227,981 | ||||||||
239,500 | Fujikura, Ltd.‡ | 917,446 | ||||||||
8,500 | Fujitec Co., Ltd. | 109,480 | ||||||||
39,000 | Fujitsu, Ltd. | 3,123,248 | ||||||||
107,400 | Fukuoka Financial Group, Inc. | 2,028,253 | ||||||||
8,800 | Furukawa Co., Ltd. | 118,310 | ||||||||
27,100 | Futaba Industrial Co., Ltd. | 188,315 | ||||||||
13,100 | Geo Holdings Corp.‡ | 155,515 | ||||||||
17,800 | Glory, Ltd. | 499,042 | ||||||||
54,600 | Gunma Bank, Ltd. (The) | 176,822 |
See accompanying Notes to the Financial Statements.
32
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
5,800 | Gunze, Ltd. | 242,036 | ||||||||
228,794 | Hachijuni Bank, Ltd. (The)‡ | 931,477 | ||||||||
7,300 | Hakuto Co., Ltd. | 79,164 | ||||||||
11,000 | Hankyu Hanshin Holdings, Inc. | 423,919 | ||||||||
326,100 | Hazama Ando Corp. | 2,425,949 | ||||||||
8,500 | Heiwado Co., Ltd. | 159,500 | ||||||||
1,100 | Hikari Tsushin, Inc. | 237,964 | ||||||||
53,400 | Hirose Electric Co., Ltd.‡ | 6,541,901 | ||||||||
83,000 | Hiroshima Bank, Ltd. (The) | 410,104 | ||||||||
92,500 | Hitachi Capital Corp. | 1,878,672 | ||||||||
8,400 | Hitachi High-Technologies Corp. | 484,997 | ||||||||
230,400 | Hitachi, Ltd. | 8,576,444 | ||||||||
3,837 | Hitachi, Ltd., ADR | 286,739 | ||||||||
4,700 | Hokkoku Bank, Ltd. (The) | 121,811 | ||||||||
50,300 | Hokuhoku Financial Group, Inc. | 486,361 | ||||||||
111,000 | Honda Motor Co., Ltd. | 2,874,240 | ||||||||
22,300 | Honeys Holdings Co., Ltd. | 301,047 | ||||||||
81,800 | Hosiden Corp.‡ | 837,111 | ||||||||
153,800 | Hoya Corp. | 12,550,194 | ||||||||
64,000 | Ibiden Co., Ltd. | 1,287,994 | ||||||||
36,700 | IBJ Leasing Co., Ltd.‡ | 992,250 | ||||||||
43,400 | IHI Corp.‡ | 942,893 | ||||||||
48,700 | Ines Corp. | 525,865 | ||||||||
30,800 | Infocom Corp. | 718,738 | ||||||||
6,500 | Inter Action Corp. | 123,294 | ||||||||
256,000 | Isuzu Motors, Ltd. | 2,819,968 | ||||||||
147,600 | Ito En, Ltd. | 6,951,506 | ||||||||
234,400 | ITOCHU Corp. | 4,838,736 | ||||||||
16,500 | IwaiCosmo Holdings, Inc.‡ | 170,229 | ||||||||
16,500 | JAC Recruitment Co., Ltd.‡ | 315,725 | ||||||||
10,800 | Jafco Co., Ltd. | 407,717 | ||||||||
71,100 | Japan Airlines Co., Ltd. | 2,113,099 | ||||||||
153,300 | Japan Aviation Electronics Industry, Ltd. | 2,171,661 | ||||||||
115,400 | Japan Post Holdings Co., Ltd. | 1,062,438 | ||||||||
24,500 | Japan Post Insurance Co., Ltd. | 369,512 | ||||||||
149,200 | Japan Tobacco, Inc. | 3,266,317 | ||||||||
3,200 | JCR Pharmaceuticals Co., Ltd. | 245,163 | ||||||||
59,600 | JTEKT Corp. | 683,270 | ||||||||
14,800 | Juroku Bank, Ltd. (The) | 324,142 | ||||||||
13,000 | Justsystems Corp. | 491,973 | ||||||||
29,200 | K’s Holdings Corp. | 317,735 | ||||||||
15,500 | Kadokawa Dwango* | 216,706 | ||||||||
14,400 | Kaga Electronics Co., Ltd. | 257,554 | ||||||||
22,100 | Kakaku.com, Inc. | 543,528 | ||||||||
12,500 | Kaken Pharmaceutical Co., Ltd. | 579,459 | ||||||||
37,800 | Kaneka Corp.‡ | 1,176,933 | ||||||||
146,600 | Kanematsu Corp. | 1,646,749 | ||||||||
250,800 | Kansai Electric Power Co., Inc. (The)‡ | 2,804,458 | ||||||||
109,600 | Kansai Paint Co., Ltd.‡ | 2,546,432 |
See accompanying Notes to the Financial Statements.
33
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
183,508 | Kao Corp. | 13,556,585 | ||||||||
10,800 | Kato Sangyo Co., Ltd. | 334,768 | ||||||||
49,900 | Kawasaki Heavy Industries, Ltd. | 1,104,426 | ||||||||
333,400 | KDDI Corp. | 8,714,828 | ||||||||
52,600 | Keihanshin Building Co., Ltd. | 638,549 | ||||||||
85,400 | Keihin Corp. | 1,252,454 | ||||||||
4,300 | Keio Corp. | 267,768 | ||||||||
53,300 | Keiyo Bank, Ltd. (The) | 315,139 | ||||||||
15,600 | Keyence Corp. | 9,656,627 | ||||||||
9,700 | Kirindo Holdings Co., Ltd. | 189,288 | ||||||||
88,900 | Kobayashi Pharmaceutical Co., Ltd. | 6,761,582 | ||||||||
106,300 | Komatsu, Ltd.‡ | 2,434,351 | ||||||||
22,600 | Komeri Co., Ltd. | 456,287 | ||||||||
33,400 | Komori Corp.‡ | 352,002 | ||||||||
16,000 | Konami Holdings Corp. | 772,797 | ||||||||
479,400 | Konica Minolta, Inc. | 3,335,728 | ||||||||
10,286 | Kose Corp. | 1,736,937 | ||||||||
7,200 | Kotobuki Spirits Co., Ltd. | 472,339 | ||||||||
58,000 | Kubota Corp. | 877,178 | ||||||||
61,200 | Kyocera Corp. | 3,796,863 | ||||||||
72,100 | Kyushu Financial Group, Inc.‡ | 293,537 | ||||||||
653,800 | Marubeni Corp. | 4,341,728 | ||||||||
22,600 | Marvelous, Inc. | 174,192 | ||||||||
55,100 | Matsumotokiyoshi Holdings Co., Ltd.‡ | 2,016,382 | ||||||||
32,400 | Max Co., Ltd. | 542,923 | ||||||||
121,000 | Mazda Motor Corp.‡ | 1,074,249 | ||||||||
385,300 | Mebuki Financial Group, Inc. | 948,321 | ||||||||
8,800 | Meidensha Corp. | 150,880 | ||||||||
94,200 | MISUMI Group, Inc. | 2,216,522 | ||||||||
457,700 | Mitsubishi Chemical Holdings Corp. | 3,261,390 | ||||||||
127,000 | Mitsubishi Electric Corp. | 1,683,345 | ||||||||
172,200 | Mitsubishi Gas Chemical Co., Inc.‡ | 2,297,593 | ||||||||
41,500 | Mitsubishi Heavy Industries, Ltd.‡ | 1,625,057 | ||||||||
33,200 | Mitsubishi Shokuhin Co., Ltd.‡ | 830,960 | ||||||||
622,300 | Mitsubishi UFJ Financial Group, Inc. | 3,157,708 | ||||||||
3,200 | Mitsuboshi Belting, Ltd. | 52,467 | ||||||||
22,400 | MitsuiHigh-Tec, Inc. | 351,312 | ||||||||
3,003,500 | Mizuho Financial Group, Inc. | 4,602,171 | ||||||||
1,800 | Monogatari Corp. (The) | 167,883 | ||||||||
400,000 | MonotaRO Co., Ltd.‡ | 10,459,403 | ||||||||
128,700 | MS&AD Insurance Group Holdings, Inc.‡ | 4,167,939 | ||||||||
900 | Murata Manufacturing Co., Ltd. | 43,178 | ||||||||
6,800 | Nachi-Fujikoshi Corp. | 304,529 | ||||||||
23,600 | NEC Networks & System Integration Corp. | 640,033 | ||||||||
29,500 | NET One Systems Co., Ltd. | 795,128 | ||||||||
15,800 | NH Foods Ltd. | 635,216 | ||||||||
162,200 | Nihon Kohden Corp. | 4,765,071 | ||||||||
25,800 | Nihon Unisys, Ltd. | 830,756 | ||||||||
24,400 | Nikkon Holdings Co., Ltd. | 555,392 |
See accompanying Notes to the Financial Statements.
34
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
82,000 | Nikon Corp. | 1,022,771 | ||||||||
7,900 | Nippon Air Conditioning Services Co., Ltd. | 50,291 | ||||||||
5,000 | Nippon Ceramic Co., Ltd. | 126,024 | ||||||||
5,500 | Nippon Express Co., Ltd. | 280,407 | ||||||||
10,200 | Nippon Flour Mills Co., Ltd. | 159,406 | ||||||||
46,700 | Nippon Signal Co., Ltd. | 521,121 | ||||||||
56,200 | Nippon Soda Co., Ltd. | 1,357,224 | ||||||||
281,700 | Nippon Telegraph & Telephone Corp. | 13,439,234 | ||||||||
370,400 | Nissan Motor Co., Ltd.‡ | 2,310,309 | ||||||||
49,200 | Nisshin Oillio Group, Ltd. (The) | 1,543,262 | ||||||||
22,900 | Nissin Foods Holdings Co., Ltd. | 1,652,741 | ||||||||
11,300 | Nitto Denko Corp. | 544,115 | ||||||||
359,000 | Nomura Research Institute, Ltd. | 7,145,121 | ||||||||
342,941 | North Pacific Bank, Ltd. | 726,657 | ||||||||
16,200 | NSD Co., Ltd.‡ | 465,427 | ||||||||
61,000 | NSK, Ltd.‡ | 513,625 | ||||||||
232,900 | NTN Corp.‡ | 668,045 | ||||||||
152,400 | NTT Data Corp. | 1,965,724 | ||||||||
138,300 | NTT DOCOMO, Inc.‡ | 3,522,923 | ||||||||
61,300 | Obic Co., Ltd. | 6,987,888 | ||||||||
67,100 | Oki Electric Industry Co., Ltd. | 913,293 | ||||||||
10,000 | Okumura Corp. | 266,944 | ||||||||
101,700 | Olympus Corp. | 1,370,115 | ||||||||
122,100 | Omron Corp.‡ | 6,676,947 | ||||||||
5,900 | Open Door, Inc.* ‡ | 118,737 | ||||||||
24,000 | Optorun Co., Ltd. | 679,528 | ||||||||
13,000 | Oracle Corp. Japan | 1,127,088 | ||||||||
322,500 | ORIX Corp. | 4,807,287 | ||||||||
16,000 | Otsuka Corp. | 637,335 | ||||||||
503,800 | Pan Pacific International Holdings Corp. | 8,414,148 | ||||||||
334,000 | Panasonic Corp. | 2,705,995 | ||||||||
51,200 | Press Kogyo Co., Ltd. | 213,185 | ||||||||
18,600 | Prestige International, Inc. | 147,664 | ||||||||
29,600 | Prima Meat Packers, Ltd.‡ | 588,576 | ||||||||
15,700 | PS Mitsubishi Construction Co., Ltd. | 104,885 | ||||||||
530,800 | Recruit Holdings Co., Ltd. | 16,138,874 | ||||||||
714,000 | Resona Holdings, Inc.‡ | 3,058,820 | ||||||||
90,600 | Ricoh Co., Ltd.‡ | 815,672 | ||||||||
126,400 | Rohto Pharmaceutical Co., Ltd. | 3,447,858 | ||||||||
12,000 | Round One Corp. | 179,320 | ||||||||
15,400 | Ryobi, Ltd. | 257,486 | ||||||||
35,700 | San-In Godo Bank, Ltd. (The) | 216,694 | ||||||||
178,400 | Sanki Engineering Co., Ltd. | 2,112,903 | ||||||||
7,700 | Sankyu, Inc. | 399,695 | ||||||||
400,300 | Santen Pharmaceutical Co., Ltd. | 6,955,942 | ||||||||
61,800 | Sanwa Holdings Corp. | 690,765 | ||||||||
40,100 | Sawai Pharmaceutical Co., Ltd. | 2,070,396 | ||||||||
24,400 | SCSK Corp. | 1,144,650 | ||||||||
82,100 | Secom Co., Ltd. | 7,488,705 |
See accompanying Notes to the Financial Statements.
35
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
47,400 | Seibu Holdings, Inc. | 825,854 | ||||||||
205,300 | Seiko Epson Corp.‡ | 2,887,402 | ||||||||
512,700 | Senshu Ikeda Holdings, Inc. | 887,115 | ||||||||
22,000 | Seven & i Holdings Co., Ltd. | 841,120 | ||||||||
7,900 | SG Holdings Co., Ltd. | 193,343 | ||||||||
4,800 | Shiga Bank, Ltd. (The) | 109,035 | ||||||||
16,700 | Shimachu Co., Ltd. | 407,784 | ||||||||
56,500 | Shin-Etsu Chemical Co., Ltd. | 6,043,396 | ||||||||
38,600 | Shin-Etsu Polymer Co., Ltd. | 267,870 | ||||||||
35,500 | Shindengen Electric Manufacturing Co., Ltd. | 1,143,095 | ||||||||
48,400 | Shinko Shoji Co., Ltd. | 416,041 | ||||||||
47,100 | Shinmaywa Industries, Ltd.‡ | 549,990 | ||||||||
78,400 | Shinsei Bank, Ltd. | 1,141,814 | ||||||||
56,300 | Shionogi & Co., Ltd. | 3,125,086 | ||||||||
139,100 | Shiseido Co., Ltd. | 11,106,120 | ||||||||
12,900 | Sinko Industries, Ltd. | 208,047 | ||||||||
16,000 | SMC Corp./Japan | 6,824,890 | ||||||||
49,900 | Sohgo Security Services Co., Ltd. | 2,613,315 | ||||||||
896,700 | Sojitz Corp. | 2,779,500 | ||||||||
127,600 | Sompo Holdings, Inc. | 5,333,048 | ||||||||
63,600 | Sony Financial Holdings, Inc. | 1,378,221 | ||||||||
23,600 | Sugi Holdings Co., Ltd. | 1,277,446 | ||||||||
558,300 | Sumitomo Chemical Co., Ltd. | 2,505,441 | ||||||||
199,000 | Sumitomo Corp. | 3,108,138 | ||||||||
7,500 | Sumitomo Dainippon Pharma Co., Ltd.‡ | 123,178 | ||||||||
136,600 | Sumitomo Electric Industries, Ltd. | 1,732,858 | ||||||||
90,300 | Sumitomo Heavy Industries, Ltd. | 2,673,699 | ||||||||
117,400 | Sumitomo Mitsui Financial Group, Inc.‡ | 4,013,814 | ||||||||
125,700 | Sumitomo Rubber Industries, Ltd. | 1,491,070 | ||||||||
43,900 | Sumitomo Warehouse Co., Ltd. (The) | 577,209 | ||||||||
6,500 | Suzuken Co., Ltd. | 348,832 | ||||||||
51,200 | Systena Corp. | 760,835 | ||||||||
25,000 | Takuma Co., Ltd. | 283,368 | ||||||||
20,800 | Tama Home Co., Ltd. | 267,903 | ||||||||
20,400 | TDK Corp. | 1,825,288 | ||||||||
148,300 | Teijin, Ltd. | 2,848,677 | ||||||||
457,600 | Terumo Corp. | 14,734,657 | ||||||||
10,500 | TIS, Inc. | 605,274 | ||||||||
64,100 | Tohoku Electric Power Co., Inc. | 625,134 | ||||||||
174,700 | Tokio Marine Holdings, Inc. | 9,341,580 | ||||||||
198,000 | Tokyo Electric Power Co. Holdings, Inc.* | 969,160 | ||||||||
35,800 | Tokyo Electron, Ltd.‡ | 6,812,186 | ||||||||
75,300 | Tokyu Corp. | 1,412,985 | ||||||||
17,600 | Toppan Forms Co., Ltd. | 166,433 | ||||||||
98,000 | Toppan Printing Co., Ltd. | 1,733,759 | ||||||||
12,800 | Torikizoku Co., Ltd. | 287,208 | ||||||||
22,000 | Toshiba Machine Co., Ltd. | 455,165 | ||||||||
10,000 | Toshiba TEC Corp. | 295,165 | ||||||||
54,000 | Towa Pharmaceutical Co., Ltd. | 1,251,131 |
See accompanying Notes to the Financial Statements.
36
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
10,800 | ToyoCorp./Chuo-ku | 107,226 | ||||||||
15,800 | Toyo Ink SC Holdings Co., Ltd. | 358,177 | ||||||||
31,700 | Toyo Seikan Group Holdings, Ltd. | 491,596 | ||||||||
163,100 | Toyo Suisan Kaisha, Ltd. | 6,534,564 | ||||||||
70,700 | Toyoda Gosei Co., Ltd. | 1,414,981 | ||||||||
65,800 | Toyota Motor Corp.‡ | 4,393,364 | ||||||||
42,500 | Toyota Tsusho Corp. | 1,370,460 | ||||||||
17,100 | Trend Micro, Inc./Japan | 813,269 | ||||||||
49,200 | TS Tech Co., Ltd. | 1,493,185 | ||||||||
14,800 | Tsubakimoto Chain Co. | 473,134 | ||||||||
88,300 | Ube Industries, Ltd. | 1,780,298 | ||||||||
84,200 | Ulvac, Inc. | 3,381,245 | ||||||||
58,400 | Unipres Corp. | 914,839 | ||||||||
5,500 | UNITED, Inc./Japan‡ | 60,407 | ||||||||
41,200 | Ushio, Inc. | 581,737 | ||||||||
82,470 | USS Co., Ltd. | 1,600,181 | ||||||||
25,700 | Valor Holdings Co., Ltd. | 432,792 | ||||||||
27,800 | WATAMI Co., Ltd. | 348,545 | ||||||||
13,900 | West Holdings Corp. | 171,057 | ||||||||
27,900 | West Japan Railway Co. | 2,357,205 | ||||||||
47,800 | Yamaguchi Financial Group, Inc. | 328,176 | ||||||||
78,400 | Yamaha Motor Co., Ltd. | 1,420,377 | ||||||||
22,100 | Yellow Hat, Ltd. | 325,544 | ||||||||
113,600 | Yokogawa Electric Corp.‡ | 2,078,068 | ||||||||
102,500 | Yokohama Rubber Co., Ltd. (The) | 2,049,526 | ||||||||
|
| |||||||||
Total Japan | 523,801,832 | |||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
1,555,215 | B&M European Value Retail SA | 7,271,166 | ||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
628,000 | Tenaga Nasional Bhd | 2,045,837 | ||||||||
|
| |||||||||
Netherlands — 5.1% | ||||||||||
10,560 | Adyen NV* | 6,958,161 | ||||||||
1,053,008 | Aegon NV | 4,381,875 | ||||||||
14,065 | AerCap Holdings NV* | 770,059 | ||||||||
43,134 | Airbus SE, ADR | 1,400,561 | ||||||||
31,954 | Akzo Nobel NV | 2,849,257 | ||||||||
2,273 | ASM International NV | 209,344 | ||||||||
58,969 | ASML Holding NV | 14,609,447 | ||||||||
29,530 | ASR Nederland NV | 1,090,397 | ||||||||
18,717 | BE Semiconductor Industries NV | 586,244 | ||||||||
195,308 | CNH Industrial NV | 1,988,717 | ||||||||
35,415 | Core Laboratories NV | 1,651,047 | ||||||||
24,210 | Euronext NV 144A | 1,980,850 | ||||||||
8,842 | EXOR NV | 592,639 | ||||||||
194,126 | Fiat Chrysler Automobiles NV | 2,512,544 | ||||||||
84,794 | Heineken NV | 9,166,589 |
See accompanying Notes to the Financial Statements.
37
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
146,400 | ING Groep NV | 1,532,849 | ||||||||
136,370 | InterXion Holding NV* | 11,108,700 | ||||||||
233,400 | Koninklijke Ahold Delhaize NV | 5,840,961 | ||||||||
101,890 | Koninklijke DSM NV | 12,263,283 | ||||||||
855,453 | Koninklijke KPN NV | 2,668,211 | ||||||||
200,756 | Koninklijke Philips NV | 9,301,727 | ||||||||
20,933 | Koninklijke Philips NV ADR NYRS | 965,639 | ||||||||
57,000 | Koninklijke Volkerwessels NV | 1,009,176 | ||||||||
157,576 | NN Group NV | 5,590,025 | ||||||||
6,573 | Randstad NV‡ | 323,110 | ||||||||
155,156 | Signify NV 144A | 4,267,681 | ||||||||
114,639 | STMicroelectronics NV ADR NYRS | 2,217,118 | ||||||||
51,002 | STMicroelectronics NV (Euronext Exchange) | 985,830 | ||||||||
65,071 | Unilever NV | 3,912,363 | ||||||||
45,272 | Unilever NV ADR NYRS | 2,717,678 | ||||||||
45,846 | Wolters Kluwer NV | 3,347,748 | ||||||||
173,700 | Yandex NV Class A* | 6,081,237 | ||||||||
|
| |||||||||
Total Netherlands | 124,881,067 | |||||||||
|
| |||||||||
New Zealand — 0.1% | ||||||||||
31,078 | a2 Milk Co., Ltd.* | 258,404 | ||||||||
42,236 | Air New Zealand, Ltd. | 74,155 | ||||||||
111,400 | Sky City Entertainment Group, Ltd. | 280,112 | ||||||||
363,746 | SKY Network Television, Ltd. | 255,457 | ||||||||
35,497 | Xero, Ltd.* | 1,491,282 | ||||||||
|
| |||||||||
Total New Zealand | 2,359,410 | |||||||||
|
| |||||||||
Norway — 0.4% | ||||||||||
100,400 | Austevoll Seafood ASA | 953,065 | ||||||||
184,800 | DNB ASA | 3,259,340 | ||||||||
83,922 | Elkem ASA 144A | 204,495 | ||||||||
58,800 | Equinor ASA, ADR | 1,114,260 | ||||||||
70,600 | Equinor ASA | 1,344,640 | ||||||||
69,427 | SpareBank 1 SMN | 752,652 | ||||||||
209,533 | Storebrand ASA | 1,324,636 | ||||||||
43,589 | Telenor ASA | 875,766 | ||||||||
|
| |||||||||
Total Norway | 9,828,854 | |||||||||
|
| |||||||||
Philippines — 0.0% | ||||||||||
6,261,800 | Vista Land & Lifescapes, Inc. | 932,686 | ||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
521,100 | PGE Polska Grupa Energetyczna SA* | 1,038,782 | ||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
782,528 | Banco Espirito Santo SA* **** ^ | — | ||||||||
32,663 | NOS SGPS SA | 178,402 | ||||||||
|
| |||||||||
Total Portugal | 178,402 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
38
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Russia — 1.2% | ||||||||||
1,253,240 | Alrosa PJSC | 1,437,848 | ||||||||
10,531,000 | ENEL RUSSIA PJSC | 149,243 | ||||||||
120,640,000 | Federal Grid Co. Unified Energy System PJSC | 342,829 | ||||||||
426,500 | Gazprom PJSC, ADR | 2,944,556 | ||||||||
1,694,400 | Gazprom PJSC | 5,900,923 | ||||||||
52,600 | LUKOIL PJSC, ADR | 4,351,598 | ||||||||
30,274 | LUKOIL PJSC | 2,510,760 | ||||||||
125,400 | MMC Norilsk Nickel PJSC, ADR | 3,210,240 | ||||||||
8,872 | MMC Norilsk Nickel PJSC | 2,279,721 | ||||||||
5,262,000 | Mosenergo PJSC | 181,746 | ||||||||
27,519,000 | ROSSETI PJSC | 522,493 | ||||||||
777,260 | Sberbank of Russia PJSC | 2,727,852 | ||||||||
26,100 | Tatneft PJSC, ADR | 1,657,350 | ||||||||
|
| |||||||||
Total Russia | 28,217,159 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
314,600 | Ascott Residence Trust REIT | 300,291 | ||||||||
425,114 | CapitaLand Retail China Trust REIT | 470,333 | ||||||||
259,300 | United Overseas Bank, Ltd. | 4,811,366 | ||||||||
2,396,400 | Yangzijiang Shipbuilding Holdings, Ltd. | 1,663,565 | ||||||||
|
| |||||||||
Total Singapore | 7,245,555 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
1,003,000 | Old Mutual, Ltd.‡ | 1,284,818 | ||||||||
|
| |||||||||
South Korea — 0.9% | ||||||||||
14,801 | BH Co., Ltd.* | 236,341 | ||||||||
34,340 | Daeduck Electronics Co. | 311,490 | ||||||||
26,519 | DB HiTek Co., Ltd. | 354,725 | ||||||||
10,900 | KB Financial Group, Inc., ADR | 389,348 | ||||||||
62,900 | Kia Motors Corp. | 2,397,893 | ||||||||
72,334 | LB Semicon, Inc.* | 483,779 | ||||||||
14,017 | Power Logics Co., Ltd.* | 122,457 | ||||||||
381,056 | Samsung Electronics Co., Ltd. | 15,625,797 | ||||||||
2,548 | Silicon Works Co., Ltd. | 72,639 | ||||||||
8,800 | SK Telecom Co., Ltd. | 1,776,700 | ||||||||
|
| |||||||||
Total South Korea | 21,771,169 | |||||||||
|
| |||||||||
Spain — 2.5% | ||||||||||
168,553 | Amadeus IT Group SA | 12,076,474 | ||||||||
614,700 | Banco Santander SA | 2,504,000 | ||||||||
253,978 | Banco Santander SA, ADR | 1,020,992 | ||||||||
281,610 | Cellnex Telecom SA* | 11,635,724 | ||||||||
200,300 | Ence Energia y Celulosa SA‡ | 762,101 | ||||||||
47,958 | Endesa SA | 1,262,131 | ||||||||
2,201 | Grupo Catalana Occidente SA | 69,946 | ||||||||
1,660,943 | Iberdrola SA | 17,267,406 | ||||||||
20,191 | Let’s GOWEX SA* **** ^ ‡ | — |
See accompanying Notes to the Financial Statements.
39
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Spain — continued | ||||||||||
1,567,692 | Mapfre SA | 4,223,180 | ||||||||
51,575 | Naturgy Energy Group SA | 1,368,567 | ||||||||
350,000 | Repsol SA | 5,471,713 | ||||||||
544,517 | Telefonica SA | 4,156,020 | ||||||||
|
| |||||||||
Total Spain | 61,818,254 | |||||||||
|
| |||||||||
Sweden — 1.8% | ||||||||||
39,574 | Atlas Copco AB Class B | 1,073,859 | ||||||||
51,973 | Bilia AB Class A | 413,103 | ||||||||
78,100 | Boliden AB | 1,797,178 | ||||||||
75,446 | Epiroc AB Class A | 818,752 | ||||||||
44,690 | Essity AB Class B | 1,305,863 | ||||||||
11,571 | Evolution Gaming Group AB 144A | 227,839 | ||||||||
186,400 | Hennes & Mauritz AB Class B‡ | 3,617,985 | ||||||||
11,064 | Hexagon AB Class B | 534,062 | ||||||||
122,591 | Lindab International AB | 1,251,826 | ||||||||
252,138 | Lundin Petroleum AB‡ | 7,572,744 | ||||||||
9,987 | Nibe Industrier AB Class B | 126,816 | ||||||||
189,200 | Sandvik AB | 2,950,913 | ||||||||
645,800 | SAS AB* ‡ | 823,658 | ||||||||
237,400 | SKF AB Class B | 3,928,437 | ||||||||
297,615 | Svenska Handelsbanken AB Class A | 2,790,249 | ||||||||
1,269,070 | Telefonaktiebolaget LM Ericsson Class B | 10,152,921 | ||||||||
289,000 | Volvo AB Class B | 4,063,633 | ||||||||
|
| |||||||||
Total Sweden | 43,449,838 | |||||||||
|
| |||||||||
Switzerland — 9.4% | ||||||||||
41,100 | Adecco Group AG | 2,276,029 | ||||||||
14,476 | Ascom Holding AG | 150,110 | ||||||||
9,800 | Autoneum Holding AG‡ | 1,078,133 | ||||||||
4,000 | Bucher Industries AG | 1,250,765 | ||||||||
70 | Chocoladefabriken Lindt & Spruengli AG | 517,374 | ||||||||
48,358 | Cie Financiere Richemont SA | 3,550,893 | ||||||||
499,600 | Credit Suisse Group AG* | 6,130,077 | ||||||||
5,965 | Geberit AG | 2,851,044 | ||||||||
7,175 | Givaudan SA | 20,032,292 | ||||||||
3,686 | Huber & Suhner AG | 237,317 | ||||||||
1,117 | Inficon Holding AG | 724,764 | ||||||||
135 | Interroll Holding AG | 250,464 | ||||||||
33,465 | Julius Baer Group, Ltd.* | 1,484,052 | ||||||||
4,715 | Kardex AG | 651,584 | ||||||||
26,600 | Landis & Gyr Group AG* | 2,386,171 | ||||||||
33,810 | Lonza Group AG* | 11,440,098 | ||||||||
390,931 | Nestle SA | 42,450,994 | ||||||||
10,085 | Nestle SA, ADR | 1,093,214 | ||||||||
275,579 | Novartis AG | 23,916,769 | ||||||||
1,457 | Novartis AG, ADR | 126,613 | ||||||||
12,126 | Partners Group Holding AG | 9,312,632 | ||||||||
137,576 | Roche Holding AG | 40,073,158 |
See accompanying Notes to the Financial Statements.
40
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
10,437 | Schindler Holding AG | 2,336,196 | ||||||||
3,344 | SGS SA | 8,296,702 | ||||||||
16,516 | Sika AG | 2,418,228 | ||||||||
19,842 | Swiss Life Holding AG | 9,493,675 | ||||||||
46,900 | Swiss Re AG | 4,896,244 | ||||||||
8,782 | Temenos AG* | 1,470,786 | ||||||||
727,815 | UBS Group AG* | 8,269,713 | ||||||||
53,530 | Zurich Insurance Group AG | 20,506,905 | ||||||||
|
| |||||||||
Total Switzerland | 229,672,996 | |||||||||
|
| |||||||||
Taiwan — 0.8% | ||||||||||
39,000 | Charoen Pokphand Enterprise | 78,567 | ||||||||
979,000 | Chipbond Technology Corp. | 1,814,453 | ||||||||
2,208,000 | Compeq Manufacturing Co., Ltd. | 2,473,142 | ||||||||
940,000 | Fubon Financial Holding Co., Ltd. | 1,349,804 | ||||||||
276,293 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 12,842,099 | ||||||||
|
| |||||||||
Total Taiwan | 18,558,065 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
16,831,100 | Quality Houses PCL Class F | 1,452,807 | ||||||||
16,156,000 | Sansiri PCL Class F | 633,879 | ||||||||
|
| |||||||||
Total Thailand | 2,086,686 | |||||||||
|
| |||||||||
Turkey — 0.0% | ||||||||||
98,700 | TAV Havalimanlari Holding AS | 412,525 | ||||||||
|
| |||||||||
United Kingdom — 14.4% | ||||||||||
403,130 | 3i Group Plc | 5,794,903 | ||||||||
98,576 | Aggreko Plc | 1,009,216 | ||||||||
73,437 | AJ Bell Plc‡ | 374,203 | ||||||||
222,185 | Anglo American Plc | 5,123,317 | ||||||||
111,745 | Ashmore Group Plc | 696,779 | ||||||||
192,078 | Ashtead Group Plc | 5,358,834 | ||||||||
30,658 | Associated British Foods Plc | 870,070 | ||||||||
168,560 | AstraZeneca Plc | 15,082,289 | ||||||||
118,334 | AstraZeneca Plc, ADR | 5,274,146 | ||||||||
319,109 | Avast Plc 144A | 1,525,763 | ||||||||
23,751 | AVEVA Group Plc | 1,082,929 | ||||||||
22,400 | Aviva Plc, ADR | 220,192 | ||||||||
262,527 | Babcock International Group Plc | 1,805,196 | ||||||||
1,384,036 | BAE Systems Plc | 9,721,618 | ||||||||
45,361 | Bank of Georgia Group Plc | 746,802 | ||||||||
149,300 | Barclays Plc, ADR | 1,095,862 | ||||||||
280,200 | Barratt Developments Plc | 2,237,481 | ||||||||
48,300 | Bellway Plc | 1,991,541 | ||||||||
33,600 | Berkeley Group Holdings Plc | 1,730,326 | ||||||||
148,250 | BHP Group Plc, ADR | 6,351,030 | ||||||||
115,148 | BHP Group Plc | 2,458,221 |
See accompanying Notes to the Financial Statements.
41
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
19,257 | Bodycote Plc | 170,028 | ||||||||
142,680 | boohoo Group Plc* | 466,462 | ||||||||
1,295,400 | BP Plc | 8,233,823 | ||||||||
27,094 | Brewin Dolphin Holdings Plc | 105,773 | ||||||||
99,900 | British American Tobacco Plc | 3,702,435 | ||||||||
129,300 | Britvic Plc | 1,567,073 | ||||||||
1,556,528 | BT Group Plc | 3,425,359 | ||||||||
92,200 | BT Group Plc, ADR* **** | 998,526 | ||||||||
288,730 | Burberry Group Plc | 7,735,132 | ||||||||
28,987 | Carnival Plc, ADR | 1,219,483 | ||||||||
1,284,086 | Centrica Plc | 1,166,846 | ||||||||
608,230 | Compass Group Plc | 15,687,486 | ||||||||
208,800 | Crest Nicholson Holdings Plc | 975,183 | ||||||||
26,261 | Croda International Plc | 1,572,765 | ||||||||
29,060 | Diageo Plc, ADR | 4,751,891 | ||||||||
600,819 | Diageo Plc | 24,677,165 | ||||||||
3,580 | Dialog Semiconductor Plc* | 169,504 | ||||||||
134,836 | Direct Line Insurance Group Plc | 498,807 | ||||||||
751,600 | Dixons Carphone Plc | 1,101,711 | ||||||||
44,534 | EMIS Group Plc | 557,573 | ||||||||
1,308,680 | EnQuest Plc* | 308,507 | ||||||||
322,945 | Experian Plc | 10,343,110 | ||||||||
91,295 | Ferrexpo Plc | 181,298 | ||||||||
701,600 | Firstgroup Plc* | 1,188,799 | ||||||||
76,465 | Galliford Try Plc | 630,855 | ||||||||
379,000 | GlaxoSmithKline Plc | 8,148,007 | ||||||||
169,233 | GlaxoSmithKline Plc, ADR | 7,222,864 | ||||||||
369,540 | Glencore Plc* | 1,114,552 | ||||||||
52,816 | Greggs Plc | 1,360,279 | ||||||||
358,281 | Halma Plc | 8,702,153 | ||||||||
240,893 | Hammerson Plc REIT | 841,873 | ||||||||
162,904 | IG Group Holdings Plc | 1,209,699 | ||||||||
375,314 | IMI Plc | 4,440,918 | ||||||||
22,500 | Imperial Brands Plc, ADR | 508,500 | ||||||||
112,000 | Imperial Brands Plc | 2,523,237 | ||||||||
365,272 | Inchcape Plc | 2,842,536 | ||||||||
30,282 | InterContinental Hotels Group Plc | 1,893,812 | ||||||||
107,298 | Intermediate Capital Group Plc | 1,923,849 | ||||||||
98,806 | Intertek Group Plc | 6,669,936 | ||||||||
305,507 | IWG Plc | 1,539,411 | ||||||||
1,303,800 | J Sainsbury Plc | 3,531,465 | ||||||||
59,510 | JD Sports Fashion Plc | 551,033 | ||||||||
172,095 | Jupiter Fund Management Plc | 753,706 | ||||||||
1,350,537 | Kingfisher Plc | 3,441,702 | ||||||||
5,315,800 | Lloyds Banking Group Plc | 3,545,216 | ||||||||
134,120 | London Stock Exchange Group Plc | 12,078,371 | ||||||||
569,000 | Man Group Plc | 1,225,309 | ||||||||
676,700 | Marks & Spencer Group Plc | 1,538,123 | ||||||||
243,230 | Meggitt Plc | 1,903,300 |
See accompanying Notes to the Financial Statements.
42
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
38,327 | Micro Focus International Plc, ADR | 542,327 | ||||||||
26,683 | Micro Focus International Plc | 373,796 | ||||||||
484,800 | Mitchells & Butlers Plc* | 2,288,114 | ||||||||
256,118 | Moneysupermarket.com Group Plc | 1,194,284 | ||||||||
55,240 | National Grid Plc, ADR | 2,990,141 | ||||||||
277,200 | Paragon Banking Group Plc | 1,647,847 | ||||||||
1,054,913 | Pets at Home Group Plc | 2,706,535 | ||||||||
34,700 | Prudential Plc, ADR | 1,262,733 | ||||||||
1,132,996 | QinetiQ Group Plc | 4,032,198 | ||||||||
53,533 | Quilter Plc | 89,948 | ||||||||
162,996 | Reckitt Benckiser Group Plc | 12,742,552 | ||||||||
211,904 | Redrow Plc | 1,613,778 | ||||||||
77,349 | RELX Plc | 1,840,834 | ||||||||
192,666 | RELX Plc (London Exchange) | 4,588,185 | ||||||||
11,123 | Renishaw Plc | 502,220 | ||||||||
273,274 | Rentokil Initial Plc | 1,575,342 | ||||||||
226,599 | Restaurant Group Plc (The)‡ | 397,076 | ||||||||
84,972 | Rightmove Plc | 576,539 | ||||||||
79,327 | Rio Tinto Plc | 4,114,492 | ||||||||
177,364 | Rio Tinto Plc, ADR | 9,238,891 | ||||||||
41,144 | Rolls-Royce Holdings Plc, ADR | 399,920 | ||||||||
266,653 | Rotork Plc | 1,023,578 | ||||||||
280,600 | Royal Dutch Shell Plc Class B | 8,284,967 | ||||||||
16,052 | Royal Dutch Shell Plc Class B, ADR | 961,515 | ||||||||
275,200 | Royal Mail Plc | 717,936 | ||||||||
66,039 | Safestore Holdings Plc REIT | 544,024 | ||||||||
556,464 | Saga Plc | 346,294 | ||||||||
324,347 | Sage Group Plc (The) | 2,763,475 | ||||||||
52,002 | Savills Plc | 563,922 | ||||||||
376,251 | Senior Plc | 869,815 | ||||||||
312,296 | Smith & Nephew Plc | 7,539,059 | ||||||||
103,796 | Spectris Plc | 3,126,066 | ||||||||
69,831 | Spirax-Sarco Engineering Plc | 6,750,835 | ||||||||
599,700 | Stagecoach Group Plc | 988,056 | ||||||||
352,400 | Tate & Lyle Plc | 3,196,171 | ||||||||
1,395,319 | Taylor Wimpey Plc | 2,776,913 | ||||||||
909,000 | Tesco Plc | 2,699,586 | ||||||||
8,113 | TI Fluid Systems Plc 144A | 19,295 | ||||||||
269,872 | TP ICAP Plc | 1,130,715 | ||||||||
72,420 | Unilever Plc, ADR | 4,352,442 | ||||||||
1,296,195 | Vodafone Group Plc | 2,587,627 | ||||||||
38,247 | Whitbread Plc | 2,023,838 | ||||||||
620,760 | Wm Morrison Supermarkets Plc‡ | 1,532,219 | ||||||||
|
| |||||||||
Total United Kingdom | 351,012,263 | |||||||||
|
| |||||||||
United States — 2.0% | ||||||||||
74,906 | Analog Devices, Inc. | 8,369,248 | ||||||||
34,327 | ANSYS, Inc.* | 7,598,625 | ||||||||
204,416 | Cadence Design Systems, Inc.* | 13,507,809 |
See accompanying Notes to the Financial Statements.
43
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
129,520 | Colgate-Palmolive Co. | 9,521,015 | ||||||||
35,909 | DENTSPLY SIRONA, Inc. | 1,914,309 | ||||||||
— | International Flavors & Fragrances, Inc. | 53 | ||||||||
27,686 | Nordson Corp. | 4,049,354 | ||||||||
35,675 | Texas Instruments, Inc. | 4,610,637 | ||||||||
|
| |||||||||
Total United States | 49,571,050 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $2,118,345,463) | 2,273,943,578 | |||||||||
|
| |||||||||
INVESTMENT COMPANIES — 0.9% | ||||||||||
United States — 0.9% | ||||||||||
295,094 | iShares MSCI EAFE ETF | 19,243,080 | ||||||||
92,500 | iShares MSCI Eurozone ETF | 3,597,325 | ||||||||
|
| |||||||||
Total United States | 22,840,405 | |||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANIES (COST $21,356,026) | 22,840,405 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.0% | ||||||||||
Brazil — 0.1% | ||||||||||
517,660 | Itausa - Investimentos Itau SA, 5.91% | 1,637,960 | ||||||||
|
| |||||||||
Germany — 0.9% | ||||||||||
18,793 | BMW AG, 7.11% | 1,043,870 | ||||||||
145,785 | Henkel AG & Co. KGaA, 2.00% | 14,431,279 | ||||||||
29,593 | Porsche Automobil Holding SE, 3.78% | 1,926,058 | ||||||||
22,000 | Volkswagen AG, 3.28% | 3,743,005 | ||||||||
|
| |||||||||
Total Germany | 21,144,212 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
264,190 | Sberbank of Russia PJSC, 8.00% | 819,699 | ||||||||
56 | Transneft PJSC, 7.00% | 129,896 | ||||||||
|
| |||||||||
Total Russia | 949,595 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $25,760,063) | 23,731,767 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Australia — 0.0% | ||||||||||
2,222 | Harvey Norman Holdings, Ltd., Expires 10/07/2019* ‡ | 2,690 | ||||||||
|
| |||||||||
Cayman Islands — 0.0% | ||||||||||
1,857,000 | Jiangnan Group, Ltd., Expires 10/11/2019* **** | 1,184 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $—) | 3,874 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
44
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||||||
Mutual Fund - Securities Lending Collateral — 1.2% | ||||||||||
28,117,174 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%## ** | 28,117,174 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.2% | ||||||||||
5,900,000 | United States Treasury Bill, 1.81%, due 03/05/20*** ‡‡ | 5,854,555 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $33,970,387) | 33,971,729 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 96.3% (Cost $2,199,431,939) | 2,354,491,353 | |||||||||
Other Assets and Liabilities (net) — 3.7% | 89,890,645 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $2,444,381,998 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt |
| |||||||||
GDR — Global Depository Receipt |
| |||||||||
NYRS — New York Registry Shares |
| |||||||||
REIT — Real Estate Investment Trust | ||||||||||
## | The rate disclosed is the 7 day net yield as of September 30, 2019. | |||||||||
* | Non-income producing security | |||||||||
** | Represents an investment of securities lending cash collateral. | |||||||||
*** | All or a portion of this security is pledged for open futures collateral. | |||||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $999,710 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2019 was $2,829,104. | |||||||||
^ | Level 3 — significant unobservable inputs were used in determining the value of this portfolio security. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡ | Interest rate presented is yield to maturity. | |||||||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||||||
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $20,965,996 which represents 0.9% of net assets. |
See accompanying Notes to the Financial Statements.
45
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts
|
| |||||||||||||||||||
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 20,993,962 | JPY | 2,204,429,000 | 02/21/20 | JPMorgan Chase Bank N.A. | $ | 390,260 | |||||||||||||
|
|
Currency Abbreviations
JPY | — Japanese Yen |
USD | — U.S. Dollar |
Futures Contracts
Number of | Description | Expiration | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
1,177 | MSCI EAFE Index | Dec 2019 | $ | 111,720,840 | $ | (761,595 | ) | |||||||||||||
|
|
See accompanying Notes to the Financial Statements.
46
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Pharmaceuticals | 6.5 | ||||
Insurance | 6.4 | ||||
Food | 5.2 | ||||
Banks | 4.7 | ||||
Commercial Services | 4.6 | ||||
Chemicals | 4.3 | ||||
Beverages | 3.4 | ||||
Semiconductors | 3.3 | ||||
Oil & Gas | 3.2 | ||||
Software | 3.2 | ||||
Cosmetics & Personal Care | 3.0 | ||||
Telecommunications | 3.0 | ||||
Electric | 2.8 | ||||
Retail | 2.7 | ||||
Mining | 2.6 | ||||
Electronics | 2.3 | ||||
Diversified Financial Services | 2.2 | ||||
Health Care — Products | 2.0 | ||||
Auto Manufacturers | 1.7 | ||||
Machinery — Diversified | 1.7 | ||||
Electrical Components & Equipment | 1.6 | ||||
Internet | 1.6 | ||||
Aerospace & Defense | 1.5 | ||||
Computers | 1.5 | ||||
Auto Parts & Equipment | 1.3 | ||||
Building Materials | 1.2 | ||||
Apparel | 1.1 | ||||
Engineering & Construction | 1.1 | ||||
Household Products & Wares | 1.1 | ||||
Real Estate | 1.0 | ||||
Transportation | 1.0 | ||||
Distribution & Wholesale | 0.9 | ||||
Unaffiliated Funds | 0.9 | ||||
Machinery — Construction & Mining | 0.8 | ||||
Home Builders | 0.7 | ||||
Miscellaneous — Manufacturing | 0.7 | ||||
Private Equity | 0.7 | ||||
Airlines | 0.6 | ||||
Biotechnology | 0.6 | ||||
Food Service | 0.6 | ||||
Metal Fabricate & Hardware | 0.6 | ||||
Agriculture | 0.5 | ||||
Health Care — Services | 0.5 | ||||
Iron & Steel | 0.5 | ||||
Hand & Machine Tools | 0.4 | ||||
Media | 0.4 | ||||
REITS | 0.4 | ||||
Gas | 0.3 | ||||
Holding Companies — Diversified | 0.3 | ||||
Leisure Time | 0.2 | ||||
Lodging | 0.2 |
See accompanying Notes to the Financial Statements.
47
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Office & Business Equipment | 0.2 | ||||
Advertising | 0.1 | ||||
Energy-Alternate Sources | 0.1 | ||||
Entertainment | 0.1 | ||||
Forest Products & Paper | 0.1 | ||||
Home Furnishings | 0.1 | ||||
Investment Companies | 0.1 | ||||
Oil & Gas Services | 0.1 | ||||
Packaging & Containers | 0.1 | ||||
Shipbuilding | 0.1 | ||||
Toys, Games & Hobbies | 0.1 | ||||
Water | 0.1 | ||||
Environmental Control | 0.0 | * | |||
Pipelines | 0.0 | * | |||
Storage/Warehousing | 0.0 | * | |||
Short-Term Investments and Other Assets and Liabilities (net) | 5.1 | ||||
|
| ||||
100.0 | % | ||||
|
|
* Amount rounds to zero.
See accompanying Notes to the Financial Statements.
48
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 99.8% |
| |||||||||
Asset Backed Securities — 13.3% | ||||||||||
155,906 | AccessLex Institute, Series2005-1, Class A4, 2.37% (3 mo. USD LIBOR plus 0.21%), due 06/22/37† | 149,793 | ||||||||
526,383 | AccessLex Institute, Series2006-1, Class A3, 2.33% (3 mo. USD LIBOR plus 0.20%), due 08/25/37† | 511,535 | ||||||||
213,615 | AccessLex Institute, Series2007-A, Class A3, 2.43% (3 mo. USD LIBOR plus 0.30%), due 05/25/36† | 210,296 | ||||||||
250,000 | ALM CLO VIII, Ltd., Series2013-8A, Class A1R, 3.79% (3 mo. USD LIBOR plus 1.49%), due 10/15/28† 144A | 250,210 | ||||||||
400,000 | AmeriCredit Automobile Receivables Trust, Series2018-1, Class C, 3.50%, due 01/18/24 | 411,311 | ||||||||
170,000 | AmeriCredit Automobile Receivables Trust, Series2018-2, Class C, 3.59%, due 06/18/24 | 175,388 | ||||||||
141,000 | AmeriCredit Automobile Receivables Trust, Series2018-3, Class C, 3.74%, due 10/18/24 | 147,423 | ||||||||
100,000 | AmeriCredit Automobile Receivables Trust, Series2019-1, Class B, 3.13%, due 02/18/25 | 101,904 | ||||||||
200,000 | AmeriCredit Automobile Receivables Trust, Series2019-1, Class C, 3.36%, due 02/18/25 | 205,560 | ||||||||
400,000 | AmeriCredit Automobile Receivables Trust, Series2019-2, Class C, 2.74%, due 04/18/25 | 405,211 | ||||||||
600,000 | AmeriCredit Automobile Receivables Trust, Series2019-3, Class C, 2.32%, due 07/18/25 | 601,122 | ||||||||
500,000 | Anchorage Capital CLO 11, Ltd., Series2019-11A, Class A, 3.53% (3 mo. USD LIBOR plus 1.39%), due 07/22/32† 144A | 500,483 | ||||||||
354,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series2019-1A, Class A2I, 4.19%, due 06/07/49 144A | 362,535 | ||||||||
250,250 | Arbys Funding LLC, Series2015-1A, Class A2, 4.97%, due 10/30/45 144A | 258,182 | ||||||||
240,478 | Asset Backed Securities Corp Home Equity Loan Trust, Series2003-HE7, Class M1, 3.00% (1 mo. USD LIBOR plus 0.98%), due 12/15/33† | 242,800 | ||||||||
53,162 | Asset-Backed Pass-Through Certificates, Series2004-R2, Class A1A, 2.71% (1 mo. USD LIBOR plus 0.69%), due 04/25/34† | 53,166 | ||||||||
1,000,000 | Atlas Senior Loan Fund CLO V, Ltd., Series2014-1A, Class AR2, 3.58% (3 mo. USD LIBOR plus 1.26%), due 07/16/29† 144A | 1,001,177 | ||||||||
167,000 | Avis Budget Rental Car Funding AESOP LLC, Series2019-1A, Class A, 3.45%, due 03/20/23 144A | 171,741 | ||||||||
297,000 | Avis Budget Rental Car Funding AESOP LLC, Series2019-3A, Class A, 2.36%, due 03/20/26 144A | 296,170 | ||||||||
250,000 | Battalion CLO VIII, Ltd., Series2015-8A, Class A1R, 3.64% (3 mo. USD LIBOR plus 1.34%), due 07/18/30† 144A | 250,018 | ||||||||
250,000 | Benefit Street Partners CLO XII, Ltd., Series2017-12A, Class A1, 3.55% (3 mo. USD LIBOR plus 1.25%), due 10/15/30† 144A | 249,429 | ||||||||
227,616 | BlueMountain CLO, Ltd., Series2015-1A, Class A1R, 3.63% (3 mo. USD LIBOR plus 1.33%), due 04/13/27† 144A | 228,307 | ||||||||
1,000,000 | BMW Vehicle Lease Trust, Series2018-1, Class A3, 3.26%, due 07/20/21 | 1,011,751 | ||||||||
130,625 | BRE Grand Islander Timeshare Issuer LLC, Series2019-A, Class A, 3.28%, due 09/26/33 144A | 133,175 | ||||||||
1,713,000 | Capital One Prime Auto Receivables Trust, Series2019-1, Class A3, 2.51%, due 11/15/23 | 1,734,563 |
See accompanying Notes to the Financial Statements.
49
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
500,000 | Carlyle Global Market Strategies CLO, Ltd., Series2017-1A, Class A1B, 3.51% (3 mo. USD LIBOR plus 1.23%), due 04/20/31† 144A | 499,621 | ||||||||
1,200,000 | Citibank Credit Card Issuance Trust, Series2018-A7, Class A7, 3.96%, due 10/13/30 | 1,367,369 | ||||||||
238,423 | CLI Funding LLC, Series2018-1A, Class A, 4.03%, due 04/18/43 144A | 240,976 | ||||||||
292,000 | CNH Equipment Trust, Series2018-B, Class A3, 3.19%, due 11/15/23 | 297,506 | ||||||||
322,575 | Coinstar Funding LLC, Series2017-1A, Class A2, 5.22%, due 04/25/47 144A | 332,579 | ||||||||
223,000 | Collegiate Funding Services Education Loan Trust, Series2005-A, Class A4, 2.53% (3 mo. USD LIBOR plus 0.20%), due 03/28/35† | 214,391 | ||||||||
540,838 | Commonbond Student Loan Trust, Series2017-BGS, Class A1, 2.68%, due 09/25/42 144A | 543,524 | ||||||||
350,746 | Credit Suisse Mortgage Trust, Series 2018-RPL8, Class A1, 4.13%, due 07/25/58◆◆ 144A | 354,651 | ||||||||
916,673 | DB Master Finance LLC, Series2017-1A, Class A2I, 3.63%, due 11/20/47 144A | 939,855 | ||||||||
147,375 | DB Master Finance LLC, Series2017-1A, Class A2II, 4.03%, due 11/20/47 144A | 152,859 | ||||||||
749,123 | DB Master Finance LLC, Series2019-1A, Class A2I, 3.79%, due 05/20/49 144A | 778,499 | ||||||||
245,000 | DLL LLC, Series2018-ST2, Class A3, 3.46%, due 01/20/22 144A | 247,976 | ||||||||
470,400 | Domino’s Pizza Master Issuer LLC, Series2017-1A, Class A23, 4.12%, due 07/25/47 144A | 492,952 | ||||||||
848,680 | Domino’s Pizza Master Issuer LLC, Series2017-1A, Class A2I, 3.53%, due 07/25/47 144A | 850,695 | ||||||||
300,000 | Drive Auto Receivables Trust, Series2019-3, Class B, 2.65%, due 02/15/24 | 302,968 | ||||||||
332,063 | Driven Brands Funding LLC, Series2015-1A, Class A2, 5.22%, due 07/20/45 144A | 342,132 | ||||||||
317,501 | Enterprise Fleet Financing LLC, Series2018-3, Class A2, 3.38%, due 05/20/24 144A | 321,920 | ||||||||
490,000 | Evergreen Credit Card Trust, Series2018-1, Class A, 2.95%, due 03/15/23 144A | 497,540 | ||||||||
127,075 | FOCUS Brands Funding LLC, Series2017-1A, Class A2I, 3.86%, due 04/30/47 144A | 127,999 | ||||||||
285,000 | Ford Credit Auto Owner Trust, Series2017-C, Class A4, 2.16%, due 03/15/23 | 286,383 | ||||||||
1,900,000 | Ford Credit Floorplan Master Owner Trust, Series2018-2, Class A, 3.17%, due 03/15/25 | 1,965,864 | ||||||||
2,564,000 | Ford Credit Floorplan Master Owner Trust, Series2018-3, Class A1, 3.52%, due 10/15/23 | 2,639,529 | ||||||||
463,000 | Ford Credit Floorplan Master Owner Trust, Series2019-2, Class A, 3.06%, due 04/15/26 | 480,733 | ||||||||
100,000 | GM Financial Consumer Automobile Receivables Trust, Series2018-4, Class C, 3.62%, due 06/17/24 | 103,335 | ||||||||
1,245,000 | GM Financial Consumer Automobile Receivables Trust, Series2019-1, Class A3, 2.97%, due 11/16/23 | 1,263,205 | ||||||||
335,000 | GMF Floorplan Owner Revolving Trust, Series2019-2, Class A, 2.90%, due 04/15/26 144A | 345,223 | ||||||||
915,897 | Goal Capital Funding Trust, Series2005-2, Class A4, 2.33% (3 mo. USD LIBOR plus 0.20%), due 08/25/44† | 896,105 | ||||||||
390,000 | Golden Credit Card Trust, Series2018-1A, Class A, 2.62%, due 01/15/23 144A | 392,845 | ||||||||
320,000 | Golden Credit Card Trust, Series2018-4A, Class A, 3.44%, due 10/15/25 144A | 336,081 | ||||||||
220,373 | Hilton Grand Vacations Trust, Series2017-AA, Class A, 2.66%, due 12/26/28 144A | 221,054 | ||||||||
95,591 | Hilton Grand Vacations Trust, Series2018-AA, Class A, 3.54%, due 02/25/32 144A | 98,694 | ||||||||
180,521 | Home Equity Asset Trust, Series2003-8, Class M1, 3.10% (1 mo. USD LIBOR plus 1.08%), due 04/25/34† | 182,043 | ||||||||
1,750,000 | HPS Loan Management CLO, Ltd., Series10A-16, Class A1R, 3.28% (3 mo. USD LIBOR plus 1.14%), due 01/20/28† 144A | 1,751,747 |
See accompanying Notes to the Financial Statements.
50
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
750,000 | HPS Loan Management CLO, Ltd., Series15A-19, Class A1, 3.49% (3 mo. USD LIBOR plus 1.32%), due 07/22/32† 144A | 750,037 | ||||||||
221,000 | Hyundai Auto Receivables Trust, Series2018-B, Class A3, 3.20%, due 12/15/22 | 224,825 | ||||||||
500,000 | ICG US CLO, Ltd., Series2017-2A, Class A1, 3.54% (3 mo. USD LIBOR plus 1.28%), due 10/23/29† 144A | 499,257 | ||||||||
554,307 | Invitation Homes Trust, Series 2018-SFR1, Class A, 2.72% (1 mo. USD LIBOR plus 0.70%), due 03/17/37† 144A | 548,266 | ||||||||
155,000 | Jack In The Box Funding LLC, Series2019-1A, Class A21, 3.98%, due 08/25/49 144A | 157,813 | ||||||||
155,000 | Jack In The Box Funding LLC, Series2019-1A, Class A23, 4.97%, due 08/25/49 144A | 160,861 | ||||||||
175,982 | KeyCorp Student Loan Trust, Series2004-A, Class 1A2, 2.50% (3 mo. USD LIBOR plus 0.24%), due 10/27/42† | 169,643 | ||||||||
443,398 | Laurel Road Prime Student Loan Trust, Series2017-C, Class A2B, 2.81%, due 11/25/42 144A | 449,305 | ||||||||
2,000,000 | LCM XIII CLO, LP, Series 13A, Class ARR, 3.32% (3 mo. USD LIBOR plus 1.14%), due 07/19/27† 144A | 2,000,105 | ||||||||
290,166 | Legacy Mortgage Asset Trust, Series2019-GS4, Class A1, 3.44%, due 05/25/59◆◆ 144A | 292,965 | ||||||||
605,476 | Limerock CLO III LLC, Series2014-3A, Class A1R, 3.48% (3 mo. USD LIBOR plus 1.20%), due 10/20/26† 144A | 605,764 | ||||||||
122,000 | MelTel Land Funding LLC, Series2019-1A, Class A, 3.77%, due 04/15/49 144A | 125,196 | ||||||||
2,370,000 | Mercedes-Benz Auto Receivables Trust, Series2016-1, Class A4, 1.46%, due 12/15/22 | 2,360,426 | ||||||||
750,000 | MidOcean Credit CLO III, Series2014-3A, Class A1R, 3.40% (3 mo. USD LIBOR plus 1.12%), due 04/21/31† 144A | 742,675 | ||||||||
152,270 | Mill City Mortgage Loan Trust, Series2018-3, Class A1, 3.50%, due 08/25/58◆◆ 144A | 157,148 | ||||||||
200,274 | MMAF Equipment Finance LLC, Series2017-B, Class A3, 2.21%, due 10/17/22 144A | 200,380 | ||||||||
161,000 | MMAF Equipment Finance LLC, Series2019-A, Class A3, 2.84%, due 11/13/23 144A | 163,752 | ||||||||
132,027 | Morgan Stanley ABS Capital I, Inc., Series 2003-NC10, Class M1, 3.04% (1 mo. USD LIBOR plus 1.02%), due 10/25/33† | 131,613 | ||||||||
68,761 | Morgan Stanley ABS Capital I, Inc., Series2003-NC7, Class M1, 3.07% (1 mo. USD LIBOR plus 1.05%), due 06/25/33† | 69,723 | ||||||||
183,743 | MVW Owner Trust, Series2018-1A, Class A, 3.45%, due 01/21/36 144A | 189,555 | ||||||||
362,382 | Navient Private Education Loan Trust, Series2016-AA, Class A2A, 3.91%, due 12/15/45 144A | 375,839 | ||||||||
419,000 | Nelnet Student Loan Trust, Series2006-1, Class A6, 2.60% (3 mo. USD LIBOR plus 0.45%), due 08/23/36† 144A | 406,981 | ||||||||
231,117 | New Century Home Equity Loan Trust, Series2003-A, Class A, 2.74% (1 mo. USD LIBOR plus 0.72%), due 10/25/33† 144A | 228,452 | ||||||||
209,093 | New Residential Mortgage LLC, Series 2018-FNT1, Class A, 3.61%, due 05/25/23 144A | 211,992 | ||||||||
129,997 | New Residential Mortgage LLC, Series 2018-FNT2, Class A, 3.79%, due 07/25/54 144A | 132,270 | ||||||||
120,000 | NextGear Floorplan Master Owner Trust, Series2018-1A, Class A2, 3.22%, due 02/15/23 144A | 121,630 | ||||||||
2,050,000 | NextGear Floorplan Master Owner Trust, Series2018-2A, Class A2, 3.69%, due 10/15/23 144A | 2,111,628 | ||||||||
600,000 | North Carolina State Education Assistance Authority, Series2011-2, Class A3, 3.08% (3 mo. USD LIBOR plus 0.80%), due 07/25/36† | 594,132 |
See accompanying Notes to the Financial Statements.
51
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
80,030 | NRZ Excess Spread-Collateralized Notes, Series 2018-PLS1, Class A, 3.19%, due 01/25/23 144A | 80,443 | ||||||||
209,357 | NRZ Excess Spread-Collateralized Notes, Series 2018-PLS2, Class A, 3.27%, due 02/25/23 144A | 210,888 | ||||||||
250,000 | OCP CLO, Ltd., Series2017-13A, Class A1A, 3.56% (3 mo. USD LIBOR plus 1.26%), due 07/15/30† 144A | 250,194 | ||||||||
2,000,000 | OCP CLO, Ltd., Series2019-17A, Class A1, 3.63% (3 mo. USD LIBOR plus 1.33%), due 07/20/32† 144A | 2,001,832 | ||||||||
1,300,000 | OneMain Direct Auto Receivables Trust, Series2017-2A, Class B, 2.55%, due 11/14/23 144A | 1,301,437 | ||||||||
300,000 | OneMain Direct Auto Receivables Trust, Series2017-2A, Class C, 2.82%, due 07/15/24 144A | 300,904 | ||||||||
700,000 | OneMain Financial Issuance Trust, Series2017-1A, Class A2, 2.83% (1 mo. USD LIBOR plus 0.80%), due 09/14/32† 144A | 700,566 | ||||||||
170,000 | OneMain Financial Issuance Trust, Series2018-1A, Class A, 3.30%, due 03/14/29 144A | 173,081 | ||||||||
108,000 | Oxford Finance Funding LLC, Series2019-1A, Class A2, 4.46%, due 02/15/27 144A | 110,816 | ||||||||
750,000 | OZLM Funding IV CLO, Ltd., Series2013-4A, Class A1R, 3.53% (3 mo. USD LIBOR plus 1.25%), due 10/22/30† 144A | 749,949 | ||||||||
750,000 | OZLM IX CLO, Ltd., Series2014-9A, Class A1AR, 3.56% (3 mo. USD LIBOR plus 1.28%), due 10/20/31† 144A | 748,452 | ||||||||
250,000 | OZLM XI CLO, Ltd., Series2015-11A, Class A1R, 3.52% (3 mo. USD LIBOR plus 1.25%), due 10/30/30† 144A | 249,766 | ||||||||
750,000 | OZLM XV CLO, Ltd., Series2016-15A, Class A1, 3.77% (3 mo. USD LIBOR plus 1.49%), due 01/20/29† 144A | 751,811 | ||||||||
500,000 | OZLM XXIV CLO, Ltd., Series2019-24A, Class A1A, 3.55% (3 mo. USD LIBOR plus 1.39%), due 07/20/32† 144A | 500,481 | ||||||||
1,000,000 | Palmer Square CLO Ltd., Series2015-1A, Class A1R2, 3.37% (3 mo. USD LIBOR plus 1.22%), due 05/21/29† 144A | 1,000,665 | ||||||||
750,000 | Palmer Square CLO Ltd., Series2018-2A, Class A1A, 3.42% (3 mo. USD LIBOR plus 1.10%), due 07/16/31† 144A | 744,221 | ||||||||
240,000 | PFS Financing Corp., Series2018-B, Class A, 2.89%, due 02/15/23 144A | 242,428 | ||||||||
650,000 | Progress Residential Trust, Series 2019-SFR1, Class A, 3.42%, due 08/17/35 144A | 669,270 | ||||||||
1,329,000 | Progress Residential Trust, Series 2019-SFR4, Class A, 2.69%, due 11/17/36†††† 144A | 1,347,961 | ||||||||
8,755 | Renaissance Home Equity Loan Trust, Series2005-2, Class AF4, 4.93%, due 08/25/35†† | 9,025 | ||||||||
250,000 | Romark CLO II, Ltd., Series2018-2A, Class A1, 3.45% (3 mo. USD LIBOR plus 1.18%), due 07/25/31† 144A | 248,242 | ||||||||
500,000 | Santander Drive Auto Receivables Trust, Series2018-2, Class C, 3.35%, due 07/17/23 | 505,350 | ||||||||
430,000 | Santander Drive Auto Receivables Trust, Series2018-3, Class C, 3.51%, due 08/15/23 | 437,375 | ||||||||
500,000 | Santander Drive Auto Receivables Trust, Series2018-5, Class C, 3.81%, due 12/16/24 | 509,355 | ||||||||
900,000 | Santander Drive Auto Receivables Trust, Series2019-3, Class B, 2.28%, due 09/15/23 | 901,861 | ||||||||
400,000 | Santander Drive Auto Receivables Trust, Series2019-3, Class C, 2.49%, due 10/15/25 | 401,607 | ||||||||
204,010 | Saxon Asset Securities Trust, Series2005-1, Class M1, 2.58% (1 mo. USD LIBOR plus 0.69%), due 05/25/35† | 204,214 | ||||||||
260,000 | Sesac Finance LLC, Series2019-1, Class A2, 5.22%, due 07/25/49 144A | 269,208 | ||||||||
114,187 | Sierra Timeshare Receivables Funding LLC, Series2018-2A, Class A, 3.50%, due 06/20/35 144A | 116,668 |
See accompanying Notes to the Financial Statements.
52
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
114,109 | Sierra Timeshare Receivables Funding LLC, Series2019-1A, Class A, 3.20%, due 01/20/36 144A | 115,692 | ||||||||
500,000 | Silver Creek CLO, Ltd., Series2014-1A, Class AR, 3.52% (3 mo. USD LIBOR plus 1.24%), due 07/20/30† 144A | 498,184 | ||||||||
2,791,591 | Small Business Administration Participation Certificates, Series2013-20H, Class 1, 3.16%, due 08/01/33 | 2,903,084 | ||||||||
1,776,502 | Small Business Administration Participation Certificates, Series2013-20L, Class 1, 3.38%, due 12/01/33 | 1,886,356 | ||||||||
2,545,908 | Small Business Administration Participation Certificates, Series2014-20C, Class 1, 3.21%, due 03/01/34 | 2,681,256 | ||||||||
1,121,421 | Small Business Administration Participation Certificates, Series2014-20D, Class 1, 3.11%, due 04/01/34 | 1,173,499 | ||||||||
817,331 | Small Business Administration Participation Certificates, Series2014-20I, Class 1, 2.92%, due 09/01/34 | 847,280 | ||||||||
2,723,000 | Small Business Administration Participation Certificates, Series2019-25F, Class 1, 2.77%, due 06/01/44 | 2,832,022 | ||||||||
120,274 | SMB Private Education Loan Trust, Series2015-C, Class A2A, 2.75%, due 07/15/27 144A | 121,022 | ||||||||
387,000 | SMB Private Education Loan Trust, Series2019-B, Class A2A, 2.84%, due 06/15/37 144A | 393,557 | ||||||||
1,750,000 | Sound Point CLOVII-R, Ltd., Series2014-3RA, Class A1, 3.51% (3 mo. USD LIBOR plus 1.25%), due 10/23/31† 144A | 1,747,218 | ||||||||
2,750,000 | Sound Point CLO XIV, Ltd., Series2016-3A, Class AR, 3.30% (3 mo. USD LIBOR plus 1.15%), due 01/23/29† 144A | 2,752,734 | ||||||||
500,000 | Sound Point CLO XVI, Ltd., Series2017-2A, Class A, 3.56% (3 mo. USD LIBOR plus 1.28%), due 07/25/30† 144A | 498,927 | ||||||||
3,227,125 | STORE Master Funding I LLC, Series2015-1A, Class A1, 3.75%, due 04/20/45 144A | 3,295,446 | ||||||||
656,027 | STORE Master Funding LLC, Series2014-1A, Class A2, 5.00%, due 04/20/44 144A | 691,201 | ||||||||
736,652 | SunTrust Student Loan Trust, Series2006-1A, Class A4, 2.45% (3 mo. USD LIBOR plus 0.19%), due 10/28/37† 144A | 721,805 | ||||||||
284,848 | Taco Bell Funding LLC, Series2018-1A, Class A2I, 4.32%, due 11/25/48 144A | 295,390 | ||||||||
750,000 | Telos CLO, Series2013-3A, Class AR, 3.60% (3 mo. USD LIBOR plus 1.30%), due 07/17/26† 144A | 750,292 | ||||||||
250,000 | TICP CLO VII, Ltd., Series2017-7A, Class AS, 3.53% (3 mo. USD LIBOR plus 1.23%), due 07/15/29† 144A | 250,180 | ||||||||
1,951,000 | Toyota Auto Loan Extended Note Trust, Series2019-1A, Class A, 2.56%, due 11/25/31 144A | 1,996,545 | ||||||||
500,000 | Trinitas CLO VI, Ltd., Series2017-6A, Class A, 3.60% (3 mo. USD LIBOR plus 1.32%), due 07/25/29† 144A | 500,234 | ||||||||
208,250 | Triton Container Finance V LLC, Series2018-1A, Class A, 3.95%, due 03/20/43 144A | 213,157 | ||||||||
182,071 | Vantage Data Centers Issuer LLC, Series2018-1A, Class A2, 4.07%, due 02/16/43 144A | 189,410 | ||||||||
500,000 | Venture XIX CLO, Ltd., Series2014-19A, Class ARR, 3.56% (3 mo. USD LIBOR plus 1.26%), due 01/15/32† 144A | 500,758 | ||||||||
3,462,000 | Verizon Owner Trust, Series2019-B, Class A1A, 2.33%, due 12/20/23 | 3,491,090 | ||||||||
179,869 | VSE VOI Mortgage LLC, Series2017-A, Class A, 2.33%, due 03/20/35 144A | 179,773 | ||||||||
53,078 | Wachovia Student Loan Trust, Series2006-1, Class B, 2.52% (3 mo. USD LIBOR plus 0.24%), due 04/25/40† 144A | 49,855 |
See accompanying Notes to the Financial Statements.
53
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
750,000 | Wellfleet CLO Ltd., Series2019-1A, Class A1, 3.53% (3 mo. USD LIBOR plus 1.34%), due 07/20/32† 144A | 750,626 | ||||||||
500,000 | Wellfleet CLO, Ltd., Series2018-3A, Class A1A, 3.53% (3 mo. USD LIBOR plus 1.25%), due 01/20/32† 144A | 497,876 | ||||||||
577,553 | Wendy’s Funding LLC, Series2019-1A, Class A2I, 3.78%, due 06/15/49 144A | 591,350 | ||||||||
125,596 | Westgate Resorts LLC, Series2017-1A, Class A, 3.05%, due 12/20/30 144A | 126,136 | ||||||||
153,000 | Westlake Automobile Receivables Trust, Series2019-1A, Class C, 3.45%, due 03/15/24 144A | 155,315 | ||||||||
1,442,000 | World Omni Auto Receivables Trust, Series2019-B, Class A3, 2.59%, due 07/15/24 | 1,463,107 | ||||||||
750,000 | YorkCLO-6, Ltd., Series2019-1A, Class A1, 3.52% (3 mo. USD LIBOR plus 1.35%), | 750,719 | ||||||||
250,000 | Zais CLO 6, Ltd., Series2017-1A, Class A1, 3.67% (3 mo. USD LIBOR plus 1.37%), | 250,147 | ||||||||
|
| |||||||||
95,613,649 | ||||||||||
|
| |||||||||
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — 33.6% | ||||||||||
310,000 | 3M Co. (MTN), 3.25%, due 02/14/24 | 326,210 | ||||||||
300,000 | AbbVie, Inc., 3.60%, due 05/14/25 | 312,269 | ||||||||
500,000 | AbbVie, Inc., 4.50%, due 05/14/35 | 536,674 | ||||||||
132,840 | ABY Transmision Sur SA, 6.88%, due 04/30/43 144A | 165,553 | ||||||||
145,000 | Activision Blizzard, Inc., 3.40%, due 09/15/26 | 150,895 | ||||||||
60,000 | Advanced Micro Devices, Inc., 7.00%, due 07/01/24 | 62,325 | ||||||||
580,000 | AECOM, 5.13%, due 03/15/27 | 611,030 | ||||||||
400,000 | AEP Texas, Inc., 3.80%, due 10/01/47 | 437,079 | ||||||||
260,000 | AEP Transmission Co. LLC, 3.80%, due 06/15/49 | 286,693 | ||||||||
176,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.88%, due 08/14/24 | 176,366 | ||||||||
75,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.63%, due 10/30/20 | 76,789 | ||||||||
200,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.00%, due 10/01/21 | 210,341 | ||||||||
370,000 | Aetna, Inc., 4.75%, due 03/15/44 | 406,106 | ||||||||
310,000 | Ahern Rentals, Inc., 7.38%, due 05/15/23 144A | 265,434 | ||||||||
757,596 | Air Canada Pass Through Trust, Series2015-1, Class A, 3.60%, due 03/15/27 144A | 794,415 | ||||||||
184,934 | Air Canada Pass Through Trust, Series2017-1, Class B, 3.70%, due 01/15/26 144A | 185,674 | ||||||||
130,570 | Air Canada Pass Through Trust, Series2013-1, Class A, 4.13%, due 05/15/25 144A | 138,574 | ||||||||
146,000 | Air Lease Corp., 2.25%, due 01/15/23 | 145,406 | ||||||||
117,000 | Aircastle, Ltd., 4.40%, due 09/25/23 | 123,154 | ||||||||
199,000 | Aircastle, Ltd., 5.50%, due 02/15/22 | 211,818 | ||||||||
200,000 | Alimentation Couche-Tard, Inc., 2.70%, due 07/26/22 144A | 201,407 | ||||||||
640,000 | Allergan Funding SCS, 4.55%, due 03/15/35 | 680,475 | ||||||||
55,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26 144A | 58,231 | ||||||||
355,000 | Ally Financial, Inc., 5.13%, due 09/30/24 | 388,725 | ||||||||
130,000 | Altice Financing SA, 6.63%, due 02/15/23 144A | 133,738 | ||||||||
475,000 | Amazon.com, Inc., 3.15%, due 08/22/27 | 505,029 | ||||||||
284,000 | Amazon.com, Inc., 4.05%, due 08/22/47 | 341,710 | ||||||||
190,000 | AMC Networks, Inc., 5.00%, due 04/01/24 | 196,181 | ||||||||
225,000 | American Airlines Pass Through Trust, Series2019-1, Class AA, 3.15%, due 02/15/32 | 231,241 | ||||||||
303,451 | American Airlines Pass Through Trust, Series2015-1, Class A, 3.38%, due 05/01/27 | 314,330 |
See accompanying Notes to the Financial Statements.
54
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
150,000 | American Airlines Pass Through Trust, Series2019-1, Class A, 3.50%, due 02/15/32 | 155,890 | ||||||||
141,882 | American Airlines Pass Through Trust, Series2017-2, Class A, 3.60%, due 10/15/29 | 145,638 | ||||||||
220,815 | American Airlines Pass Through Trust, Series2017-1, Class AA, 3.65%, due 02/15/29 | 235,354 | ||||||||
121,457 | American Airlines Pass Through Trust, Series2015-1, Class B, 3.70%, due 05/01/23 | 122,860 | ||||||||
120,923 | American Airlines Pass Through Trust, Series2017-1, Class A, 4.00%, due 02/15/29 | 129,314 | ||||||||
242,491 | American Airlines Pass Through Trust, Series2016-1, Class A, 4.10%, due 01/15/28 | 260,741 | ||||||||
2,592,796 | American Airlines Pass Through Trust, Series2013-2, Class A, 4.95%, due 01/15/23 | 2,720,621 | ||||||||
48,337 | American Airlines Pass Through Trust, Series2001-1, Class A, 6.98%, due 05/23/21 | 49,334 | ||||||||
390,000 | American Express Co., 2.50%, due 08/01/22 | 394,051 | ||||||||
982,000 | American Express Co., 3.70%, due 08/03/23 | 1,035,253 | ||||||||
280,000 | American Homes 4 Rent, LP REIT, 4.25%, due 02/15/28 | 301,758 | ||||||||
1,400,000 | American International Group, Inc., 4.88%, due 06/01/22 | 1,496,698 | ||||||||
230,000 | American Tower Corp. REIT, 2.95%, due 01/15/25 | 235,136 | ||||||||
421,000 | American Tower Corp. REIT, 3.55%, due 07/15/27 | 443,699 | ||||||||
190,000 | American Tower Corp. REIT, 3.80%, due 08/15/29 | 203,198 | ||||||||
190,000 | AmeriGas Partners, LP/AmeriGas Finance Corp., 5.50%, due 05/20/25 | 204,962 | ||||||||
150,000 | Anglo American Capital Plc, 4.75%, due 04/10/27‡ 144A | 161,897 | ||||||||
1,139,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, due 02/01/46 | 1,361,207 | ||||||||
275,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, due 04/15/48 | 317,695 | ||||||||
200,000 | Antero Resources Corp., 5.00%, due 03/01/25‡ | 163,692 | ||||||||
150,000 | Antero Resources Corp., 5.38%, due 11/01/21 | 145,313 | ||||||||
5,000 | Anthem, Inc., 5.10%, due 01/15/44 | 5,832 | ||||||||
225,000 | Aquarion Co., 4.00%, due 08/15/24 144A | 238,566 | ||||||||
233,000 | Archrock Partners, LP/Archrock Partners Finance Corp., 6.00%, due 10/01/22‡ | 236,204 | ||||||||
265,000 | Arconic, Inc., 5.13%, due 10/01/24 | 282,414 | ||||||||
175,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, due 02/15/25 144A | 183,417 | ||||||||
239,000 | Ares Capital Corp., 3.63%, due 01/19/22 | 243,053 | ||||||||
140,000 | Ashtead Capital, Inc., 4.38%, due 08/15/27 144A | 144,550 | ||||||||
117,000 | ASP AMC Merger Sub, Inc., 8.00%, due 05/15/25 144A | 80,145 | ||||||||
2,000,000 | AT&T, Inc., 2.50%, due 11/27/22‡‡ 144A | 1,852,632 | ||||||||
150,000 | AT&T, Inc., 2.63%, due 12/01/22 | 151,725 | ||||||||
700,000 | AT&T, Inc., 3.31% (3 mo. USD LIBOR plus 1.18%), due 06/12/24† | 713,290 | ||||||||
1,074,000 | AT&T, Inc., 3.40%, due 05/15/25 | 1,121,431 | ||||||||
461,000 | AT&T, Inc., 3.80%, due 02/15/27 | 488,654 | ||||||||
25,000 | AT&T, Inc., 4.30%, due 02/15/30 | 27,531 | ||||||||
10,000 | AT&T, Inc., 4.45%, due 05/15/21 | 10,358 | ||||||||
1,055,000 | AT&T, Inc., 4.85%, due 03/01/39 | 1,198,414 | ||||||||
110,000 | AT&T, Inc., 5.25%, due 03/01/37 | 129,650 | ||||||||
130,000 | Australia & New Zealand Banking Group, Ltd., 6.75% (5 year USD ICE swap plus 5.17%)† ††††† 144A | 144,086 | ||||||||
192,000 | Avolon Holdings Funding, Ltd., 5.13%, due 10/01/23 144A | 204,192 | ||||||||
139,000 | AXA SA, 8.60%, due 12/15/30 | 200,980 | ||||||||
160,000 | Azul Investments LLP, 5.88%, due 10/26/24‡ 144A | 160,200 | ||||||||
942,000 | BAE Systems Finance, Inc., 7.50%, due 07/01/27 144A | 1,226,974 | ||||||||
200,000 | Banco Santander SA, 3.85%, due 04/12/23 | 208,552 | ||||||||
100,000 | Banco Santander SA, 4.38%, due 04/12/28‡ | 109,484 | ||||||||
137,000 | Banff Merger Sub, Inc., 9.75%, due 09/01/26 144A | 131,452 | ||||||||
470,000 | Bank of America Corp., 3.50%, due 04/19/26 | 499,397 |
See accompanying Notes to the Financial Statements.
55
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
160,000 | Bank of America Corp., 5.13% (3 mo. USD LIBOR plus 3.29%)† ††††† | 165,600 | ||||||||
58,000 | Bank of America Corp., 5.53% (3 mo. USD LIBOR plus 3.39%)† ††††† | 58,164 | ||||||||
405,000 | Bank of America Corp., Series DD, 6.30% (3 mo. USD LIBOR plus 4.55%)† ††††† ‡ | 455,971 | ||||||||
755,000 | Bank of America Corp., (MTN), 3.59% (3 mo. USD LIBOR plus 1.37%), due 07/21/28† | 797,724 | ||||||||
1,535,000 | Bank of America Corp., (MTN), 3.82% (3 mo. USD LIBOR plus 1.58%), due 01/20/28† | 1,649,000 | ||||||||
342,000 | Bank of America Corp., (MTN), Series L, 3.95%, due 04/21/25 | 362,672 | ||||||||
500,000 | Bank of America Corp., (MTN), 4.13%, due 01/22/24 | 538,486 | ||||||||
135,000 | Bank of America Corp., (MTN), 4.20%, due 08/26/24 | 144,894 | ||||||||
210,000 | Bank of America Corp., (MTN), 4.27% (3 mo. USD LIBOR plus 1.31%), due 07/23/29† | 233,782 | ||||||||
213,000 | Bank of America Corp., (MTN), 4.33% (3 mo. USD LIBOR plus 1.52%), due 03/15/50† | 251,355 | ||||||||
1,187,000 | Bank of America Corp., (MTN), 4.45%, due 03/03/26 | 1,294,598 | ||||||||
575,000 | Barclays Plc, 3.68%, due 01/10/23 | 585,027 | ||||||||
190,000 | Barclays Plc, 4.38%, due 01/12/26 | 200,913 | ||||||||
400,000 | Barclays Plc, 4.97% (3 mo. USD LIBOR plus 1.90%), due 05/16/29† | 439,156 | ||||||||
770,000 | BAT Capital Corp., 3.22%, due 08/15/24 | 778,955 | ||||||||
305,000 | Bausch Health Cos., Inc., 6.13%, due 04/15/25 144A | 316,819 | ||||||||
255,000 | Bayer US Finance II LLC, 2.74% (3 mo. USD LIBOR plus 0.63%), due 06/25/21† 144A | 254,782 | ||||||||
335,000 | Bayer US Finance II LLC, 3.50%, due 06/25/21 144A | 341,805 | ||||||||
345,000 | BB&T Corp., 4.80% (5 year CMT plus 3.00%)† ††††† | 345,428 | ||||||||
85,000 | Berkshire Hathaway Energy Co., 5.95%, due 05/15/37 | 117,207 | ||||||||
1,312,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,819,496 | ||||||||
105,000 | BHP Billiton Finance USA, Ltd., 6.25% (5 year USD swap plus 4.97%), due 10/19/75† 144A | 108,940 | ||||||||
200,000 | BidFair MergeRight, Inc., 7.38%, due 10/15/27†††† 144A | 204,264 | ||||||||
1,099,000 | Blackstone Holdings Finance Co. LLC, 4.75%, due 02/15/23 144A | 1,187,511 | ||||||||
110,000 | BMW US Capital LLC, 2.75% (3 mo. USD LIBOR plus 0.41%), due 04/12/21† 144A | 110,108 | ||||||||
510,000 | BNP Paribas SA, 3.38%, due 01/09/25 144A | 527,016 | ||||||||
185,000 | Boeing Co. (The), 3.75%, due 02/01/50 | 200,358 | ||||||||
250,000 | BPCE SA, 4.50%, due 03/15/25 144A | 265,784 | ||||||||
255,000 | BPCE SA, 5.70%, due 10/22/23 144A | 281,333 | ||||||||
190,000 | Braskem Netherlands Finance BV, 4.50%, due 01/10/28 144A | 190,950 | ||||||||
395,000 | Brighthouse Financial, Inc., 3.70%, due 06/22/27‡ | 390,431 | ||||||||
530,000 | Bristol-Myers Squibb Co., 2.90%, due 07/26/24 144A | 546,762 | ||||||||
55,000 | Bristol-Myers Squibb Co., 4.13%, due 06/15/39 144A | 62,442 | ||||||||
360,000 | Bristol-Myers Squibb Co., 4.25%, due 10/26/49 144A | 418,636 | ||||||||
95,614 | British Airways Pass Through Trust, Series2018-1, Class A, 4.13%, due 09/20/31 144A | 100,934 | ||||||||
825,000 | Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.88%, due 01/15/27 | 829,216 | ||||||||
585,000 | Broadcom, Inc., 3.63%, due 10/15/24 144A | 595,197 | ||||||||
240,000 | Broadcom, Inc., 4.75%, due 04/15/29 144A | 253,950 | ||||||||
140,000 | C&W Senior Financing DAC, 6.88%, due 09/15/27 144A | 145,600 | ||||||||
130,000 | Cablevision Systems Corp., 5.88%, due 09/15/22 | 140,400 | ||||||||
509,000 | Canadian Pacific Railway Co., 6.13%, due 09/15/15# | 761,953 | ||||||||
345,000 | Cantor Fitzgerald, LP, 4.88%, due 05/01/24 144A | 364,434 |
See accompanying Notes to the Financial Statements.
56
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,095,000 | Capital One Financial Corp., 3.30%, due 10/30/24 | 1,134,092 | ||||||||
200,000 | Capital One Financial Corp., 3.50%, due 06/15/23‡ | 208,427 | ||||||||
155,000 | Capital One Financial Corp., 3.90%, due 01/29/24 | 163,864 | ||||||||
55,000 | Catalent Pharma Solutions, Inc., 5.00%, due 07/15/27 144A | 57,200 | ||||||||
82,000 | CBS Corp., 3.38%, due 03/01/22 | 83,869 | ||||||||
1,180,000 | CBS Corp., 3.70%, due 08/15/24 | 1,235,072 | ||||||||
115,000 | CCM Merger, Inc., 6.00%, due 03/15/22 144A | 118,163 | ||||||||
210,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, due 06/01/29 144A | 224,175 | ||||||||
715,000 | Celgene Corp., 2.25%, due 08/15/21 | 715,243 | ||||||||
218,000 | Celgene Corp., 3.25%, due 02/20/23‡ | 225,818 | ||||||||
130,000 | Cemex SAB de CV, 6.13%, due 05/05/25 144A | 135,525 | ||||||||
250,000 | Cenovus Energy, Inc., 5.40%, due 06/15/47‡ | 281,899 | ||||||||
218,000 | Centene Corp., 5.38%, due 06/01/26 144A | 228,627 | ||||||||
155,000 | CenterPoint Energy, Inc., 2.50%, due 09/01/24 | 155,131 | ||||||||
335,000 | CenterPoint Energy, Inc., 3.70%, due 09/01/49‡ | 339,648 | ||||||||
454,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 03/15/28 | 477,869 | ||||||||
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, due 07/23/22 | 5,266 | ||||||||
270,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 05/01/47 | 294,661 | ||||||||
466,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.75%, due 04/01/48 | 532,059 | ||||||||
1,714,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.38%, due 10/23/35 | 2,078,287 | ||||||||
744,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, due 10/23/45 | 906,616 | ||||||||
234,000 | Chemours Co. (The), 6.63%, due 05/15/23‡ | 231,952 | ||||||||
104,000 | Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27 | 114,075 | ||||||||
255,000 | Cheniere Energy Partners, LP, 4.50%, due 10/01/29 144A | 261,694 | ||||||||
101,000 | Chesapeake Energy Corp., 7.50%, due 10/01/26 | 69,185 | ||||||||
520,000 | Cigna Corp., 4.90%, due 12/15/48‡ | 597,341 | ||||||||
185,000 | Cimarex Energy Co., 4.38%, due 06/01/24 | 194,513 | ||||||||
315,000 | Cincinnati Bell, Inc., 7.00%, due 07/15/24‡ 144A | 292,950 | ||||||||
395,000 | Citigroup, Inc., 3.20%, due 10/21/26 | 408,674 | ||||||||
1,342,000 | Citigroup, Inc., 3.40%, due 05/01/26 | 1,402,886 | ||||||||
310,000 | Citigroup, Inc., 3.67% (3 mo. USD LIBOR plus 1.39%), due 07/24/28† | 328,438 | ||||||||
1,585,000 | Citigroup, Inc., 3.89% (3 mo. USD LIBOR plus 1.56%), due 01/10/28† | 1,699,079 | ||||||||
180,000 | Citigroup, Inc., 4.40%, due 06/10/25 | 193,902 | ||||||||
439,000 | Citigroup, Inc., 4.60%, due 03/09/26 | 480,023 | ||||||||
150,000 | Citigroup, Inc., 5.50%, due 09/13/25 | 170,179 | ||||||||
130,000 | Citigroup, Inc., 5.90% (3 mo. USD LIBOR plus 4.23%)† ††††† | 135,293 | ||||||||
230,000 | Citigroup, Inc., 5.95% (3 mo. USD LIBOR plus 4.07%)† ††††† ‡ | 239,364 | ||||||||
550,000 | Citigroup, Inc., 5.95% (3 mo. USD LIBOR plus 4.10%)† ††††† | 561,712 | ||||||||
120,000 | Citigroup, Inc., 6.13% (3 mo. USD LIBOR plus 4.48%)† ††††† ‡ | 123,402 | ||||||||
360,000 | Citigroup, Inc., Series T, 6.25% (3 mo. USD LIBOR plus 4.52%)† ††††† | 401,258 | ||||||||
45,000 | Clean Harbors, Inc., 4.88%, due 07/15/27 144A | 47,081 | ||||||||
208,000 | Clearway Energy Operating LLC, 5.38%, due 08/15/24 | 213,980 | ||||||||
524,000 | Cleveland Clinic Foundation (The), 4.86%, due 01/01/14# | 684,734 |
See accompanying Notes to the Financial Statements.
57
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
245,000 | CNAC HK Finbridge Co., Ltd., Reg S, 3.50%, due 07/19/22‡‡‡ | 248,035 | ||||||||
261,000 | CNO Financial Group, Inc., 5.25%, due 05/30/25 | 281,338 | ||||||||
105,000 | CNO Financial Group, Inc., 5.25%, due 05/30/29 | 115,238 | ||||||||
335,000 | CNOOC Finance 2013, Ltd., 2.88%, due 09/30/29 | 334,330 | ||||||||
153,000 | Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., 4.15%, due 08/15/26 144A | 160,883 | ||||||||
130,000 | Columbia Pipeline Group, Inc., 4.50%, due 06/01/25 | 140,214 | ||||||||
5,000 | Comcast Corp., 3.97%, due 11/01/47 | 5,500 | ||||||||
20,000 | Comcast Corp., 6.50%, due 11/15/35 | 28,056 | ||||||||
54,000 | Commercial Metals Co., 5.38%, due 07/15/27 | 54,810 | ||||||||
1,419,000 | CommonSpirit Health, 2.76%, due 10/01/24 | 1,438,128 | ||||||||
350,000 | Commonwealth Edison Co., 4.00%, due 03/01/48 | 401,103 | ||||||||
315,000 | CommScope, Inc., 8.25%, due 03/01/27‡ 144A | 307,814 | ||||||||
130,000 | Comunicaciones Celulares SA Via Comcel Trust, 6.88%, due 02/06/24‡ 144A | 134,225 | ||||||||
132,000 | Conagra Brands, Inc., 3.80%, due 10/22/21 | 136,272 | ||||||||
45,000 | Concho Resources, Inc., 4.88%, due 10/01/47 | 51,529 | ||||||||
326,000 | Connect Finco SARL/Connect US Finco LLC, 6.75%, due 10/01/26†††† 144A | 332,520 | ||||||||
65,000 | Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56 | 74,610 | ||||||||
350,000 | Consolidated Edison Co. of New York, Inc., 4.50%, due 12/01/45 | 416,041 | ||||||||
1,026,404 | Continental Airlines Pass Through Trust, Series2007-1, Class A, 5.98%, due 04/19/22 | 1,084,088 | ||||||||
700,000 | Continental Resources, Inc., 4.50%, due 04/15/23 | 727,264 | ||||||||
298,000 | Continental Resources, Inc., 5.00%, due 09/15/22 | 300,819 | ||||||||
1,185,000 | Cooperatieve Rabobank UA, 3.88%, due 09/26/23 144A | 1,256,382 | ||||||||
390,000 | Corp. Andina de Fomento, 2.13%, due 09/27/21 | 388,280 | ||||||||
55,000 | Corp. Andina de Fomento, 2.75%, due 01/06/23 | 55,456 | ||||||||
1,526,000 | Cox Communications, Inc., 3.35%, due 09/15/26 144A | 1,577,405 | ||||||||
118,000 | Credit Acceptance Corp., 6.13%, due 02/15/21 | 118,516 | ||||||||
250,000 | Credit Agricole SA, 3.75%, due 04/24/23 144A | 261,453 | ||||||||
175,000 | Credit Agricole SA, 7.88% (5 year USD swap plus 4.90%)† ††††† 144A | 195,672 | ||||||||
275,000 | Credit Suisse Group AG, 7.50% (5 year USD swap plus 4.60%)† ††††† 144A | 294,103 | ||||||||
500,000 | Credit Suisse Group Funding Guernsey, Ltd., 3.45%, due 04/16/21 | 508,381 | ||||||||
125,000 | Credito Real SAB de CV SOFOM ER, 9.13% (5 year CMT plus 7.03%)† ††††† 144A | 128,751 | ||||||||
230,000 | Crown Castle Holdings GS V LLC/Crown Castle GS III Corp. REIT, 3.85%, due 04/15/23 | 241,220 | ||||||||
165,000 | CSC Holdings LLC, 5.75%, due 01/15/30‡ 144A | 172,651 | ||||||||
125,000 | CSC Holdings LLC, 7.50%, due 04/01/28 144A | 141,394 | ||||||||
311,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.25%, due 08/15/22 | 282,886 | ||||||||
239,000 | CSI Compressco, LP/CSI Compressco Finance, Inc., 7.50%, due 04/01/25 144A | 236,012 | ||||||||
1,160,000 | CVS Health Corp., 2.75%, due 12/01/22 | 1,174,354 | ||||||||
73,000 | CVS Health Corp., 3.00%, due 08/15/26 | 73,473 | ||||||||
320,000 | CVS Health Corp., 4.10%, due 03/25/25 | 342,130 | ||||||||
50,000 | CVS Health Corp., 4.78%, due 03/25/38 | 54,847 | ||||||||
199,000 | CVS Health Corp., 5.05%, due 03/25/48 | 226,207 | ||||||||
130,000 | CVS Health Corp., 5.13%, due 07/20/45 | 147,579 | ||||||||
733,125 | CVS Pass-Through Trust, 6.94%, due 01/10/30 | 866,385 | ||||||||
1,904,383 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 2,352,331 | ||||||||
160,000 | Cydsa SAB DE CV, 6.25%, due 10/04/27 144A | 163,802 | ||||||||
1,135,000 | Daimler Finance North America LLC, 2.55%, due 08/15/22 144A | 1,139,764 | ||||||||
276,000 | Daimler Finance North America LLC, 3.75%, due 11/05/21 144A | 283,860 |
See accompanying Notes to the Financial Statements.
58
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
187,000 | Danske Bank AS, 5.00%, due 01/12/22 144A | 196,668 | ||||||||
355,000 | DaVita, Inc., 5.00%, due 05/01/25 | 354,936 | ||||||||
70,000 | DCP Midstream Operating, LP, 5.13%, due 05/15/29 | 71,400 | ||||||||
578,000 | DCP Midstream Operating, LP, 5.35%, due 03/15/20 144A | 583,780 | ||||||||
380,000 | DCP Midstream Operating, LP, 5.85% (3 mo. USD LIBOR plus 3.85%), due 05/21/43† 144A | 347,054 | ||||||||
371,000 | DCP Midstream, LP, Series A, 7.38% (3 mo. USD LIBOR plus 5.15%)† ††††† ‡ | 353,014 | ||||||||
392,000 | Dell International LLC/EMC Corp., 4.90%, due 10/01/26 144A | 420,516 | ||||||||
399,000 | Dell International LLC/EMC Corp., 5.30%, due 10/01/29‡ 144A | 435,379 | ||||||||
268,000 | Dell International LLC/EMC Corp., 6.02%, due 06/15/26 144A | 301,615 | ||||||||
464,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 144A | 612,790 | ||||||||
782,880 | Delta Air Lines Pass Through Trust, Series2007-1, Class A, 6.82%, due 08/10/22 | 860,268 | ||||||||
380,000 | Delta Air Lines, Inc., 3.63%, due 03/15/22 | 390,573 | ||||||||
268,000 | Delta Air Lines, Inc., 3.80%, due 04/19/23 | 278,150 | ||||||||
315,000 | Delta Air Lines, Inc., 4.38%, due 04/19/28‡ | 336,575 | ||||||||
300,000 | Deutsche Bank AG, 5.00%, due 02/14/22 | 310,990 | ||||||||
375,000 | Deutsche Bank AG, (MTN), 3.38%, due 05/12/21 | 374,574 | ||||||||
305,000 | EUR | DH Europe Finance II Sarl, 1.35%, due 09/18/39 | 333,663 | |||||||
125,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.63%, due 08/15/27‡ 144A | 130,000 | ||||||||
132,000 | Diamondback Energy, Inc., 4.75%, due 11/01/24 | 135,465 | ||||||||
1,522,000 | Digital Realty Trust, LP REIT, 3.70%, due 08/15/27 | 1,598,511 | ||||||||
276,000 | Discover Bank, 2.45%, due 09/12/24 | 275,543 | ||||||||
362,000 | Discover Financial Services, 3.95%, due 11/06/24 | 384,362 | ||||||||
70,000 | Discover Financial Services, 4.10%, due 02/09/27 | 74,547 | ||||||||
245,000 | Dollar Tree, Inc., 3.00% (3 mo. USD LIBOR plus 0.70%), due 04/17/20† | 245,046 | ||||||||
505,000 | Dollar Tree, Inc., 4.20%, due 05/15/28‡ | 543,097 | ||||||||
854,000 | Dominion Energy, Inc., 2.72%, due 08/15/21†† | 859,611 | ||||||||
115,000 | Dominion Energy, Inc., 2.85%, due 08/15/26 | 115,676 | ||||||||
1,839,000 | Duke Energy Corp., 3.55%, due 09/15/21 | 1,882,766 | ||||||||
420,000 | Duke Energy Florida LLC, 3.40%, due 10/01/46 | 434,463 | ||||||||
195,000 | Duke Energy Progress LLC, 3.70%, due 10/15/46 | 209,820 | ||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 262,747 | ||||||||
95,000 | Eldorado Resorts, Inc., 6.00%, due 09/15/26 | 104,500 | ||||||||
80,000 | Eldorado Resorts, Inc., 7.00%, due 08/01/23 | 83,800 | ||||||||
360,000 | Electricite de France SA, 5.25% (10 year USD swap plus 3.71%)† ††††† 144A | 368,807 | ||||||||
102,000 | Embraer Netherlands Finance BV, 5.05%, due 06/15/25 | 111,882 | ||||||||
250,000 | Embraer Overseas, Ltd., 5.70%, due 09/16/23 144A | 277,187 | ||||||||
308,000 | Emera US Finance, LP, 3.55%, due 06/15/26 | 322,967 | ||||||||
279,000 | Enable Midstream Partners, LP, 3.90%, due 05/15/24 | 284,575 | ||||||||
360,000 | Enable Midstream Partners, LP, 4.95%, due 05/15/28 | 374,209 | ||||||||
285,000 | Enbridge, Inc., 5.50% (3 mo. USD LIBOR plus 3.42%), due 07/15/77† ‡ | 287,277 | ||||||||
247,000 | Enbridge, Inc., 6.25% (3 mo. USD LIBOR plus 3.64%), due 03/01/78† | 262,115 | ||||||||
265,000 | Encana Corp., 6.50%, due 08/15/34 | 323,403 | ||||||||
42,000 | Encompass Health Corp., 4.50%, due 02/01/28 | 42,567 | ||||||||
525,000 | Enel Finance International NV, 2.65%, due 09/10/24 144A | 526,168 | ||||||||
70,000 | Energy Transfer Operating, LP, 4.20%, due 04/15/27 | 73,808 | ||||||||
358,000 | Energy Transfer Operating, LP, 4.25%, due 03/15/23 | 374,305 | ||||||||
240,000 | Energy Transfer Operating, LP, 5.15%, due 03/15/45 | 252,299 | ||||||||
970,000 | Energy Transfer Operating, LP, 5.50%, due 06/01/27 | 1,099,050 |
See accompanying Notes to the Financial Statements.
59
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
244,000 | Energy Transfer Operating, LP, 5.88%, due 01/15/24 | 271,441 | ||||||||
300,000 | Energy Transfer Operating, LP, 6.00%, due 06/15/48 | 354,954 | ||||||||
340,000 | Energy Transfer Operating, LP, 6.25%, due 04/15/49 | 413,484 | ||||||||
227,000 | Enova International, Inc., 8.50%, due 09/15/25 144A | 207,421 | ||||||||
440,000 | Enterprise Products Operating LLC, 5.25% (3 mo. USD LIBOR plus 3.03%), due 08/16/77† | 436,913 | ||||||||
179,000 | Equinix, Inc. REIT, 5.38%, due 05/15/27 | 193,432 | ||||||||
2,045,000 | Escrow GCB General Motors, 8.38%, due 07/15/49* **** ^ | — | ||||||||
769,000 | Exelon Corp., 5.10%, due 06/15/45 | 953,661 | ||||||||
300,000 | Exelon Generation Co. LLC, 5.20%, due 10/01/19 | 300,000 | ||||||||
380,000 | Expedia Group, Inc., 3.25%, due 02/15/30 144A | 379,745 | ||||||||
460,000 | Expedia Group, Inc., 3.80%, due 02/15/28 | 481,844 | ||||||||
420,000 | Expedia Group, Inc., 5.00%, due 02/15/26 | 472,168 | ||||||||
1,790,000 | Express Scripts Holding Co., 3.40%, due 03/01/27 | 1,850,784 | ||||||||
770,000 | FedEx Corp., 4.05%, due 02/15/48 | 756,484 | ||||||||
1,360,000 | Ferguson Finance Plc, 4.50%, due 10/24/28 144A | 1,458,456 | ||||||||
157,000 | Fifth Third Bancorp, 5.10% (3 mo. USD LIBOR plus 3.03%)† ††††† | 158,963 | ||||||||
135,000 | First Quantum Minerals, Ltd., 6.88%, due 03/01/26 144A | 129,263 | ||||||||
245,000 | FirstEnergy Corp., Series C, 7.38%, due 11/15/31 | 346,895 | ||||||||
259,000 | Fiserv, Inc., 2.75%, due 07/01/24 | 263,788 | ||||||||
380,000 | Fiserv, Inc., 3.20%, due 07/01/26 | 393,843 | ||||||||
200,000 | FLIR Systems, Inc., 3.13%, due 06/15/21 | 202,222 | ||||||||
200,000 | Ford Motor Credit Co. LLC, 3.34%, due 03/18/21 | 200,991 | ||||||||
915,000 | Ford Motor Credit Co. LLC, 3.35%, due 11/01/22 | 915,788 | ||||||||
425,000 | Ford Motor Credit Co. LLC, 3.81%, due 10/12/21 | 430,871 | ||||||||
435,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 455,772 | ||||||||
160,000 | Freedom Mortgage Corp., 8.13%, due 11/15/24‡ 144A | 148,000 | ||||||||
72,000 | Freedom Mortgage Corp., 8.25%, due 04/15/25 144A | 66,420 | ||||||||
113,000 | GCI LLC, 6.63%, due 06/15/24 144A | 122,181 | ||||||||
146,000 | GCI LLC, 6.88%, due 04/15/25 | 154,395 | ||||||||
1,355,000 | GE Capital International Funding Co. Unlimited Co., 2.34%, due 11/15/20 | 1,352,095 | ||||||||
563,000 | GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35 | 590,180 | ||||||||
80,000 | General Electric Co., (MTN), 4.38%, due 09/16/20 | 81,395 | ||||||||
375,000 | General Electric Co., (MTN), 5.55%, due 01/05/26 | 424,401 | ||||||||
305,000 | General Motors Co., 4.00%, due 04/01/25 | 313,506 | ||||||||
380,000 | General Motors Co., 4.88%, due 10/02/23 | 407,887 | ||||||||
160,000 | General Motors Financial Co., Inc., 3.16% (3 mo. USD LIBOR plus 0.85%), due 04/09/21† | 159,947 | ||||||||
120,000 | General Motors Financial Co., Inc., 3.55%, due 04/09/21 | 121,783 | ||||||||
596,000 | General Motors Financial Co., Inc., 4.00%, due 01/15/25 | 612,297 | ||||||||
1,485,000 | General Motors Financial Co., Inc., 4.15%, due 06/19/23 | 1,544,378 | ||||||||
304,000 | General Motors Financial Co., Inc., 4.30%, due 07/13/25‡ | 315,972 | ||||||||
44,000 | GEO Group (The), Inc. REIT, 6.00%, due 04/15/26 | 35,728 | ||||||||
361,000 | GlaxoSmithKline Capital Plc, 3.00%, due 06/01/24 | 373,920 | ||||||||
424,000 | GLP Capital, LP/GLP Financing II, Inc. REIT, 5.38%, due 04/15/26 | 467,401 | ||||||||
161,000 | Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, due 05/01/24‡ 144A | 172,672 | ||||||||
919,000 | Goldman Sachs Group (The), Inc., 2.63%, due 04/25/21 | 924,584 | ||||||||
140,000 | Goldman Sachs Group (The), Inc., 3.50%, due 01/23/25 | 146,039 | ||||||||
85,000 | Goldman Sachs Group (The), Inc., 3.75%, due 02/25/26 | 89,960 |
See accompanying Notes to the Financial Statements.
60
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
320,000 | Goldman Sachs Group (The), Inc., 3.81% (3 mo. USD LIBOR plus 1.16%), due 04/23/29† | 340,020 | ||||||||
902,000 | Goldman Sachs Group (The), Inc., 3.85%, due 01/26/27 | 957,180 | ||||||||
125,000 | Goldman Sachs Group (The), Inc., 5.30% (3 mo. USD LIBOR plus 3.83%)† ††††† | 131,363 | ||||||||
465,000 | Goldman Sachs Group (The), Inc., 5.38% (3 mo. USD LIBOR plus 3.92%)† ††††† | 470,527 | ||||||||
1,850,000 | Goldman Sachs Group (The), Inc., 5.75%, due 01/24/22 | 1,993,825 | ||||||||
175,000 | Greenko Dutch BV, 4.88%, due 07/24/22 144A | 175,500 | ||||||||
84,000 | H&E Equipment Services, Inc., 5.63%, due 09/01/25 | 86,785 | ||||||||
73,000 | Harsco Corp., 5.75%, due 07/31/27 144A | 76,197 | ||||||||
123,000 | HCA, Inc., 4.13%, due 06/15/29 | 129,241 | ||||||||
230,000 | HCA, Inc., 5.25%, due 04/15/25 | 256,124 | ||||||||
227,000 | HCA, Inc., 5.25%, due 06/15/26 | 253,106 | ||||||||
150,000 | HCA, Inc., 5.38%, due 02/01/25 | 164,250 | ||||||||
620,000 | HCP, Inc. REIT, 4.25%, due 11/15/23 | 662,262 | ||||||||
45,000 | Hewlett Packard Enterprise Co., 2.10%, due 10/04/19 144A | 44,999 | ||||||||
85,000 | Hilton Domestic Operating Co., Inc., 5.13%, due 05/01/26 | 89,463 | ||||||||
97,000 | Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., 6.13%, due 12/01/24 | 103,548 | ||||||||
405,000 | HSBC Holdings Plc, 3.95% (3 mo. USD LIBOR plus 0.99%), due 05/18/24† ‡ | 424,075 | ||||||||
260,000 | HSBC Holdings Plc, 6.88% (5 year USD ICE swap plus 5.51%)† ††††† ‡ | 272,831 | ||||||||
297,000 | Huntington Ingalls Industries, Inc., 5.00%, due 11/15/25‡ 144A | 311,850 | ||||||||
224,000 | Husky Energy, Inc., 3.95%, due 04/15/22 | 231,152 | ||||||||
332,000 | IHS Markit, Ltd., 4.00%, due 03/01/26 144A | 350,426 | ||||||||
125,000 | IHS Markit, Ltd., 4.75%, due 02/15/25 144A | 135,938 | ||||||||
165,000 | IHS Markit, Ltd., 4.75%, due 08/01/28 | 184,222 | ||||||||
110,000 | IHS Markit, Ltd., 5.00%, due 11/01/22 144A | 117,320 | ||||||||
220,000 | ING Bank NV, 5.80%, due 09/25/23 144A | 244,270 | ||||||||
215,000 | ING Groep NV, 3.55%, due 04/09/24 | 224,760 | ||||||||
200,000 | Instituto Costarricense de Electricidad, 6.38%, due 05/15/43 144A | 166,252 | ||||||||
170,000 | International Game Technology Plc, 6.50%, due 02/15/25 144A | 189,562 | ||||||||
200,000 | Israel Electric Corp., Ltd., 6.88%, due 06/21/23 144A | 228,400 | ||||||||
182,000 | Jacobs Entertainment, Inc., 7.88%, due 02/01/24 144A | 194,740 | ||||||||
52,000 | JB Poindexter & Co., Inc., 7.13%, due 04/15/26 144A | 54,080 | ||||||||
245,000 | Jefferies Financial Group, Inc, 5.50%, due 10/18/23 | 266,016 | ||||||||
500,000 | Jefferies Group LLC, 5.13%, due 01/20/23 | 538,394 | ||||||||
300,000 | Jefferies Group LLC/Jefferies Group Capital Finance, Inc., 4.15%, due 01/23/30 | 300,286 | ||||||||
248,000 | Jefferies Group LLC/Jefferies Group Capital Finance, Inc., 4.85%, due 01/15/27 | 263,291 | ||||||||
462,000 | JPMorgan Chase & Co., 2.95%, due 10/01/26 | 474,084 | ||||||||
560,000 | JPMorgan Chase & Co., 3.51% (3 mo. USD LIBOR plus 0.61%), due 06/18/22† | 572,761 | ||||||||
1,200,000 | JPMorgan Chase & Co., 3.78% (3 mo. USD LIBOR plus 1.34%), due 02/01/28† | 1,284,846 | ||||||||
341,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR plus 1.25%), due 01/29/27† | 368,978 | ||||||||
625,000 | JPMorgan Chase & Co., 3.96% (3 mo. USD LIBOR plus 1.38%), due 11/15/48† | 701,814 | ||||||||
340,000 | JPMorgan Chase & Co., 4.01% (3 mo. USD LIBOR plus 1.12%), due 04/23/29† | 371,644 | ||||||||
1,200,000 | JPMorgan Chase & Co., 4.20% (3 mo. USD LIBOR plus 1.26%), due 07/23/29† | 1,330,995 | ||||||||
180,000 | JPMorgan Chase & Co., 5.00% (SOFR plus 3.38%)† ††††† | 184,252 | ||||||||
555,000 | JPMorgan Chase & Co., 5.30% (3 mo. USD LIBOR plus 3.80%)† ††††† | 561,363 | ||||||||
373,000 | JPMorgan Chase & Co., Series S, 6.75% (3 mo. USD LIBOR plus 3.78%)† ††††† | 414,297 | ||||||||
200,000 | KazMunayGas National Co. JSC, 4.75%, due 04/24/25 144A | 218,559 | ||||||||
379,000 | Keurig Dr Pepper, Inc., 3.55%, due 05/25/21 | 387,212 |
See accompanying Notes to the Financial Statements.
61
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
160,000 | Kinder Morgan Energy Partners, LP, 7.75%, due 03/15/32 | 216,382 | ||||||||
160,000 | Kinder Morgan Inc., 3.15%, due 01/15/23 | 163,881 | ||||||||
1,240,000 | KKR Group Finance Co. II LLC, 5.50%, due 02/01/43 144A | 1,504,160 | ||||||||
226,000 | KLA-Tencor Corp., 4.10%, due 03/15/29 | 249,551 | ||||||||
225,000 | Klabin Finance SA, 4.88%, due 09/19/27 144A | 228,715 | ||||||||
360,000 | Kraft Heinz Foods Co., 3.50%, due 06/06/22 | 370,136 | ||||||||
320,000 | Kraft Heinz Foods Co., 3.75%, due 04/01/30 144A | 323,261 | ||||||||
205,000 | Kraft Heinz Foods Co., 4.88%, due 02/15/25 144A | 211,054 | ||||||||
296,000 | Kraft Heinz Foods Co., 4.88%, due 10/01/49 144A | 299,353 | ||||||||
129,000 | Kratos Defense & Security Solutions, Inc., 6.50%, due 11/30/25 144A | 138,030 | ||||||||
1,140,000 | Kroger Co. (The), 4.00%, due 02/01/24 | 1,213,740 | ||||||||
300,000 | L Brands, Inc., 5.63%, due 10/15/23‡ | 317,250 | ||||||||
47,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, due 03/15/22 144A | 49,037 | ||||||||
88,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, due 10/01/25 144A | 90,200 | ||||||||
286,000 | Lam Research Corp., 3.75%, due 03/15/26 | 305,671 | ||||||||
232,000 | Lam Research Corp., 4.88%, due 03/15/49 | 284,055 | ||||||||
110,000 | Laureate Education, Inc., 8.25%, due 05/01/25 144A | 120,175 | ||||||||
201,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 218,393 | ||||||||
215,000 | Lear Corp., 5.25%, due 01/15/25 | 222,094 | ||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%**** ††† ††††† | 165 | ||||||||
890,000 | Lehman Brothers Holdings, Inc., 6.50%, due 07/19/17**** ††† | 312 | ||||||||
270,000 | Lehman Brothers Holdings, Inc., (MTN), 6.75%, due 12/28/17**** ††† | 95 | ||||||||
254,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 269,490 | ||||||||
2,033,000 | Liberty Mutual Group, Inc., 4.57%, due 02/01/29 144A | 2,270,318 | ||||||||
324,000 | Liberty Mutual Group, Inc., 7.80%, due 03/15/37 144A | 429,817 | ||||||||
105,000 | Lions Gate Capital Holdings LLC, 5.88%, due 11/01/24 144A | 108,413 | ||||||||
145,000 | Liquid Telecommunications Financing Plc, 8.50%, due 07/13/22 144A | 143,685 | ||||||||
585,000 | Lloyds Banking Group Plc, 4.45%, due 05/08/25 | 630,071 | ||||||||
265,000 | Lloyds Banking Group Plc, 7.50% (5 year USD swap plus 4.76%)† ††††† | 284,769 | ||||||||
713,000 | Lockheed Martin Corp., 4.70%, due 05/15/46 | 906,347 | ||||||||
284,000 | LSC Communications, Inc., 8.75%, due 10/15/23‡ 144A | 208,740 | ||||||||
140,000 | M&T Bank Corp., Series F, 5.13% (3 mo. USD LIBOR plus 3.52%)† ††††† ‡ | 147,126 | ||||||||
270,000 | Macquarie Bank, Ltd., 4.88%, due 06/10/25 144A | 290,721 | ||||||||
1,484,000 | Macquarie Group, Ltd., 4.15% (3 mo. USD LIBOR plus 1.33%), due 03/27/24† 144A | 1,566,455 | ||||||||
55,000 | Magellan Midstream Partners, LP, 4.25%, due 09/15/46 | 58,528 | ||||||||
200,000 | Magellan Midstream Partners, LP, 5.15%, due 10/15/43 | 236,435 | ||||||||
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 | 246,238 | ||||||||
328,000 | Marvell Technology Group, Ltd., 4.88%, due 06/22/28 | 364,588 | ||||||||
460,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14# | 648,475 | ||||||||
321,000 | MDC Partners, Inc., 6.50%, due 05/01/24‡ 144A | 294,116 | ||||||||
445,000 | MEDNAX, Inc., 5.25%, due 12/01/23 144A | 453,455 | ||||||||
154,000 | MEDNAX, Inc., 6.25%, due 01/15/27 144A | 153,219 | ||||||||
260,000 | Methanex Corp., 5.25%, due 12/15/29 | 261,552 | ||||||||
145,000 | MetLife, Inc., 6.40%, due 12/15/36 | 172,187 | ||||||||
103,000 | MGIC Investment Corp., 5.75%, due 08/15/23 | 113,043 | ||||||||
190,000 | Microchip Technology, Inc., 3.92%, due 06/01/21 | 194,139 | ||||||||
558,000 | Microchip Technology, Inc., 4.33%, due 06/01/23 | 586,484 |
See accompanying Notes to the Financial Statements.
62
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
590,000 | Micron Technology, Inc., 4.19%, due 02/15/27 | 607,608 | ||||||||
155,000 | Micron Technology, Inc., 4.98%, due 02/06/26 | 167,098 | ||||||||
512,000 | Micron Technology, Inc., 5.33%, due 02/06/29‡ | 562,927 | ||||||||
295,000 | Microsoft Corp., 4.00%, due 02/12/55 | 352,162 | ||||||||
288,000 | Microsoft Corp., 4.45%, due 11/03/45 | 364,216 | ||||||||
515,000 | Mitsubishi UFJ Financial Group, Inc., 3.22%, due 03/07/22 | 527,301 | ||||||||
1,051,000 | Morgan Stanley, 3.13%, due 07/27/26 | 1,084,063 | ||||||||
945,000 | Morgan Stanley, 3.59% (3 mo. USD LIBOR plus 1.34%), due 07/22/28† | 996,976 | ||||||||
921,000 | Morgan Stanley, 3.88%, due 04/29/24 | 980,425 | ||||||||
325,000 | Morgan Stanley, 5.91% (3 mo. USD LIBOR plus 3.61%)† ††††† | 328,071 | ||||||||
620,000 | Morgan Stanley, (MTN), 3.77% (3 mo. USD LIBOR plus 1.14%), due 01/24/29† | 663,164 | ||||||||
230,000 | Morgan Stanley, (MTN), 3.88%, due 01/27/26 | 247,072 | ||||||||
1,000,000 | Morgan Stanley, (MTN), 4.35%, due 09/08/26 | 1,083,772 | ||||||||
408,000 | Motorola Solutions, Inc., 4.60%, due 02/23/28 | 440,887 | ||||||||
252,000 | MPLX, LP, 4.00%, due 03/15/28 | 262,958 | ||||||||
86,000 | MPLX, LP, 4.25%, due 12/01/27 144A | 91,140 | ||||||||
250,000 | MPLX, LP, 4.50%, due 04/15/38 | 259,575 | ||||||||
25,000 | MPLX, LP, 5.20%, due 03/01/47‡ | 27,808 | ||||||||
180,000 | MPLX, LP, 5.25%, due 01/15/25 144A | 190,060 | ||||||||
145,000 | MPLX, LP, 6.38%, due 05/01/24 144A | 152,242 | ||||||||
543,000 | MPLX, LP, 6.88% (3 mo. USD LIBOR plus 4.65%)† ††††† | 543,706 | ||||||||
145,000 | MTN Mauritius Investment, Ltd., 4.76%, due 11/11/24 144A | 147,190 | ||||||||
154,000 | Murphy Oil Corp., 5.75%, due 08/15/25 | 157,080 | ||||||||
305,000 | Mylan, Inc., 5.20%, due 04/15/48 | 323,459 | ||||||||
265,000 | Myriad International Holdings BV, 5.50%, due 07/21/25 144A | 295,800 | ||||||||
44,000 | National CineMedia LLC, 6.00%, due 04/15/22 | 44,605 | ||||||||
102,000 | Nationstar Mortgage Holdings, Inc., 8.13%, due 07/15/23 144A | 106,590 | ||||||||
83,000 | Nationstar Mortgage Holdings, Inc., 9.13%, due 07/15/26 144A | 88,499 | ||||||||
220,000 | Nationwide Building Society, 3.62% (3 mo. USD LIBOR plus 1.18%), due 04/26/23† 144A | 224,384 | ||||||||
200,000 | Nationwide Building Society, 3.96% (3 mo. USD LIBOR plus 1.86%), due 07/18/30† 144A | 209,123 | ||||||||
295,000 | Natura Cosmeticos SA, 5.38%, due 02/01/23‡ 144A | 309,015 | ||||||||
215,000 | Netflix, Inc., 4.88%, due 04/15/28 | 219,289 | ||||||||
59,000 | Netflix, Inc., 5.38%, due 11/15/29 144A | 61,655 | ||||||||
335,000 | Netflix, Inc., 5.88%, due 11/15/28 | 364,748 | ||||||||
445,000 | New England Power Co., 3.80%, due 12/05/47 144A | 483,063 | ||||||||
100,000 | Newfield Exploration Co., 5.38%, due 01/01/26 | 108,768 | ||||||||
160,000 | Newfield Exploration Co., 5.63%, due 07/01/24 | 176,762 | ||||||||
150,000 | Newmont Goldcorp Corp., 2.80%, due 10/01/29 | 148,563 | ||||||||
265,000 | Newmont Goldcorp Corp., 3.63%, due 06/09/21 | 270,034 | ||||||||
388,000 | NextEra Energy Capital Holdings, Inc., 3.55%, due 05/01/27 | 411,588 | ||||||||
207,000 | NextEra Energy Operating Partners, LP, 3.88%, due 10/15/26 144A | 208,008 | ||||||||
75,000 | NextEra Energy Operating Partners, LP, 4.50%, due 09/15/27 144A | 76,969 | ||||||||
165,000 | Nippon Life Insurance Co., 5.10% (5 year USD ICE swap plus 3.65%), due 10/16/44† 144A | 179,276 | ||||||||
670,000 | NiSource, Inc., 3.49%, due 05/15/27 | 703,234 | ||||||||
195,000 | Nissan Motor Acceptance Corp., 3.45%, due 03/15/23 144A | 200,331 | ||||||||
780,000 | Noble Energy, Inc., 4.15%, due 12/15/21 | 810,531 |
See accompanying Notes to the Financial Statements.
63
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
115,000 | Norbord, Inc., 6.25%, due 04/15/23 144A | 122,044 | ||||||||
970,000 | Norfolk Southern Corp., 4.84%, due 10/01/41 | 1,166,509 | ||||||||
195,000 | Northern States Power Co., 3.60%, due 09/15/47 | 212,014 | ||||||||
300,000 | NOVA Chemicals Corp., 4.88%, due 06/01/24 144A | 309,630 | ||||||||
160,000 | NRG Energy, Inc., 3.75%, due 06/15/24 144A | 164,781 | ||||||||
315,000 | Nutrien, Ltd., 4.90%, due 06/01/43 | 346,517 | ||||||||
1,225,000 | NXP BV/NXP Funding LLC, 4.63%, due 06/01/23 144A | 1,305,043 | ||||||||
163,000 | NXP BV/NXP Funding LLC, 4.88%, due 03/01/24 144A | 176,849 | ||||||||
222,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.88%, due 06/18/26 144A | 234,128 | ||||||||
5,000,000 | Occidental Petroleum Corp., 5.83%, due 10/10/36‡‡ | 2,477,375 | ||||||||
139,000 | ONEOK Partners, LP, 5.00%, due 09/15/23‡ | 150,567 | ||||||||
390,000 | ONEOK, Inc., 4.45%, due 09/01/49 | 390,616 | ||||||||
200,000 | ONEOK, Inc., 4.95%, due 07/13/47‡ | 217,165 | ||||||||
208,000 | Owens Corning, 3.95%, due 08/15/29 | 211,910 | ||||||||
350,000 | Owens Corning, 4.30%, due 07/15/47 | 318,466 | ||||||||
155,000 | Oztel Holdings SPC, Ltd., 6.63%, due 04/24/28 144A | 156,503 | ||||||||
155,000 | Parsley Energy LLC/Parsley Finance Corp., 5.63%, due 10/15/27 144A | 160,812 | ||||||||
345,000 | PayPal Holdings, Inc., 2.40%, due 10/01/24 | 347,271 | ||||||||
411,000 | PayPal Holdings, Inc., 2.85%, due 10/01/29 | 414,433 | ||||||||
205,000 | PECO Energy Co., 3.70%, due 09/15/47 | 226,039 | ||||||||
580,000 | Pennsylvania Electric Co., 3.60%, due 06/01/29 144A | 616,995 | ||||||||
2,450,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.90%, due 02/01/24 144A | 2,579,871 | ||||||||
39,000 | Performance Food Group, Inc., 5.50%, due 10/15/27 144A | 41,243 | ||||||||
435,609 | Petrobras Global Finance BV, 5.09%, due 01/15/30 144A | 454,950 | ||||||||
185,000 | Petrobras Global Finance BV, 5.75%, due 02/01/29‡ | 204,495 | ||||||||
125,000 | Petrobras Global Finance BV, 6.90%, due 03/19/49 | 143,625 | ||||||||
155,000 | Petroleos Mexicanos, 5.50%, due 01/21/21 | 159,941 | ||||||||
76,000 | Petroleos Mexicanos, 6.35%, due 02/12/48 | 70,122 | ||||||||
255,000 | Petroleos Mexicanos, 6.50%, due 06/02/41 | 244,290 | ||||||||
520,000 | Petroleos Mexicanos, 6.75%, due 09/21/47 | 500,396 | ||||||||
350,000 | Petroleos Mexicanos, 6.88%, due 08/04/26‡ | 377,125 | ||||||||
115,000 | Petroleos Mexicanos, 7.69%, due 01/23/50‡ 144A | 120,175 | ||||||||
1,006,000 | Phillips 66 Partners, LP, 3.61%, due 02/15/25 | 1,051,664 | ||||||||
774,000 | Phillips 66 Partners, LP, 3.75%, due 03/01/28 | 805,609 | ||||||||
145,000 | Piedmont Natural Gas Co., Inc., 3.50%, due 06/01/29 | 155,099 | ||||||||
65,000 | Plains All American Pipeline, LP/PAA Finance Corp., 4.70%, due 06/15/44 | 63,552 | ||||||||
50,000 | Plains All American Pipeline, LP/PAA Finance Corp., 5.15%, due 06/01/42 | 50,874 | ||||||||
207,000 | PNC Financial Services Group (The), Inc., 3.50%, due 01/23/24 | 218,684 | ||||||||
215,000 | PNC Financial Services Group (The), Inc., Series R, 4.85% (3 mo. USD LIBOR plus 3.04%)† ††††† | 219,627 | ||||||||
463,000 | PNC Financial Services Group (The), Inc., Series O, 6.75% (3 mo. USD LIBOR plus 3.68%)† ††††† | 494,090 | ||||||||
120,000 | Post Holdings, Inc., 5.50%, due 12/15/29 144A | 125,550 | ||||||||
540,000 | PPL Capital Funding, Inc., 5.00%, due 03/15/44 | 631,265 | ||||||||
26,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 05/15/23 144A | 27,383 | ||||||||
90,000 | Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26 | 90,632 | ||||||||
430,000 | Prudential Financial, Inc., 5.88% (3 mo. USD LIBOR plus 4.18%), due 09/15/42† | 464,191 | ||||||||
445,000 | Public Service Electric & Gas Co., (MTN), 3.00%, due 05/15/27 | 463,770 | ||||||||
315,000 | Public Service Electric & Gas Co., (MTN), 3.20%, due 05/15/29 | 335,141 |
See accompanying Notes to the Financial Statements.
64
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
170,000 | QEP Resources, Inc., 6.88%, due 03/01/21 | 169,575 | ||||||||
65,000 | Qorvo, Inc., 5.50%, due 07/15/26 | 68,819 | ||||||||
205,000 | Quicken Loans, Inc., 5.75%, due 05/01/25 144A | 212,431 | ||||||||
200,000 | QVC, Inc., 4.38%, due 03/15/23 | 207,153 | ||||||||
125,000 | QVC, Inc., 5.13%, due 07/02/22 | 131,376 | ||||||||
130,000 | QVC, Inc., 5.45%, due 08/15/34 | 132,462 | ||||||||
87,000 | Radian Group, Inc., 4.50%, due 10/01/24 | 90,045 | ||||||||
160,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, due 02/15/25 144A | 161,936 | ||||||||
52,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, due 02/15/23‡ 144A | 53,755 | ||||||||
62,000 | Refinitiv US Holdings, Inc., 8.25%, due 11/15/26 144A | 68,588 | ||||||||
38,000 | Refinitiv US Holdings, Inc., 6.25%, due 05/15/26 144A | 40,850 | ||||||||
200,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, due 04/16/29 144A | 210,324 | ||||||||
855,000 | Royal Bank of Scotland Group Plc, 3.88%, due 09/12/23 | 883,270 | ||||||||
210,000 | Royal Bank of Scotland Group Plc, 4.45% (3 mo. USD LIBOR plus 1.87%), due 05/08/30† | 224,980 | ||||||||
487,000 | Royal Bank of Scotland Group Plc, 8.63% (5 year USD swap plus 7.60%)† ††††† | 522,721 | ||||||||
151,000 | Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28 | 159,904 | ||||||||
219,000 | Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27 | 241,659 | ||||||||
331,000 | Sabine Pass Liquefaction LLC, 5.88%, due 06/30/26 | 379,521 | ||||||||
110,000 | Sabra Health Care, LP/Sabra Capital Corp. REIT, 4.80%, due 06/01/24 | 116,348 | ||||||||
320,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25‡ | 326,400 | ||||||||
290,000 | San Diego Gas & Electric Co., 4.15%, due 05/15/48‡ | 330,727 | ||||||||
190,000 | Santander Holdings USA, Inc., 3.40%, due 01/18/23 | 194,550 | ||||||||
420,000 | Santander Holdings USA, Inc., 3.50%, due 06/07/24 | 431,155 | ||||||||
365,000 | Santander Holdings USA, Inc., 3.70%, due 03/28/22 | 375,374 | ||||||||
128,000 | Santander Holdings USA, Inc., 4.40%, due 07/13/27 | 137,560 | ||||||||
125,000 | Santander Holdings USA, Inc., 4.45%, due 12/03/21 | 130,600 | ||||||||
170,000 | Santander UK Group Holdings Plc, 4.75%, due 09/15/25 144A | 177,608 | ||||||||
200,000 | SASOL Financing USA LLC, 5.88%, due 03/27/24 | 216,195 | ||||||||
200,000 | SASOL Financing USA LLC, 6.50%, due 09/27/28 | 221,227 | ||||||||
322,000 | SBA Tower Trust REIT, 2.84%, due 01/15/25 144A | 322,875 | ||||||||
255,000 | SBA Tower Trust REIT, 3.72%, due 04/11/23 144A | 265,967 | ||||||||
320,000 | Seagate HDD Cayman, 4.75%, due 01/01/25‡ | 331,912 | ||||||||
115,000 | Select Medical Corp., 6.25%, due 08/15/26 144A | 120,463 | ||||||||
1,312,000 | SES SA, 3.60%, due 04/04/23 144A | 1,333,385 | ||||||||
800,000 | Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26 | 826,110 | ||||||||
120,000 | Simmons Foods, Inc., 5.75%, due 11/01/24‡ 144A | 117,600 | ||||||||
850,000 | Simon Property Group, LP REIT, 6.75%, due 02/01/40 | 1,250,724 | ||||||||
270,000 | Sinopec Group Overseas Development 2018, Ltd., 3.68%, due 08/08/49‡ 144A | 291,619 | ||||||||
355,000 | Sirius XM Radio, Inc., 5.00%, due 08/01/27 144A | 367,869 | ||||||||
225,000 | Sirius XM Radio, Inc., 5.38%, due 07/15/26 144A | 237,062 | ||||||||
195,000 | Societe Generale SA, 7.38% (5 year USD swap plus 6.24%)† ††††† 144A | 205,647 | ||||||||
335,000 | Southern California Edison Co., 4.00%, due 04/01/47 | 359,867 | ||||||||
1,318,000 | Southern Co. (The), 3.25%, due 07/01/26 | 1,360,284 | ||||||||
1,260,000 | Southern Co. Gas Capital Corp., 2.45%, due 10/01/23 | 1,265,018 | ||||||||
62,000 | Springleaf Finance Corp., 6.88%, due 03/15/25 | 68,471 | ||||||||
50,000 | Sprint Communications, Inc., 7.00%, due 03/01/20 144A | 50,938 | ||||||||
225,000 | Sprint Corp., 7.88%, due 09/15/23 | 247,716 |
See accompanying Notes to the Financial Statements.
65
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
237,500 | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, due 09/20/21 144A | 238,984 | ||||||||
25,000 | Standard Industries, Inc./NJ, 4.75%, due 01/15/28 144A | 25,935 | ||||||||
67,000 | State Street Corp., 3.12% (3 mo. USD LIBOR plus 1.00%), due 06/15/47† | 51,523 | ||||||||
18,000 | Stearns Holdings LLC, 9.38%, due 08/15/20††† ‡‡‡‡ | 8,685 | ||||||||
183,000 | Stifel Financial Corp., 4.25%, due 07/18/24 | 192,803 | ||||||||
922,000 | Sunoco Logistics Partners Operations, LP, 3.45%, due 01/15/23 | 942,628 | ||||||||
350,000 | Sunoco Logistics Partners Operations, LP, 3.90%, due 07/15/26 | 363,106 | ||||||||
202,000 | Sunoco Logistics Partners Operations, LP, 5.40%, due 10/01/47 | 220,747 | ||||||||
320,000 | SunTrust Bank/Atlanta GA, 2.45%, due 08/01/22 | 323,123 | ||||||||
110,000 | Synchrony Financial, 2.85%, due 07/25/22 | 110,969 | ||||||||
248,000 | Syngenta Finance NV, 4.44%, due 04/24/23 144A | 259,326 | ||||||||
152,000 | Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 4.75%, due 10/01/23 144A | 152,570 | ||||||||
160,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 5.88%, due 04/15/26 | 170,152 | ||||||||
150,000 | Taylor Morrison Communities, Inc., 5.63%, due 03/01/24 144A | 161,250 | ||||||||
110,000 | Taylor Morrison Communities, Inc., 5.88%, due 06/15/27 144A | 121,275 | ||||||||
672,000 | Teachers Insurance & Annuity Association of America, 4.27%, due 05/15/47 144A | 763,140 | ||||||||
34,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A | 50,323 | ||||||||
40,000 | Team Health Holdings, Inc., 6.38%, due 02/01/25‡ 144A | 27,840 | ||||||||
161,000 | Tech Data Corp., 3.70%, due 02/15/22‡ | 164,664 | ||||||||
401,000 | Tech Data Corp., 4.95%, due 02/15/27 | 430,722 | ||||||||
160,000 | Teekay Offshore Partners LP/Teekay Offshore Finance Corp., 8.50%, due 07/15/23 144A | 158,800 | ||||||||
120,000 | Telecom Argentina SA, 6.50%, due 06/15/21 144A | 109,800 | ||||||||
158,000 | Telecom Argentina SA, 8.00%, due 07/18/26 144A | 138,645 | ||||||||
293,000 | Telecom Italia Capital SA, 7.20%, due 07/18/36 | 342,813 | ||||||||
205,000 | Telecom Italia SpA, 5.30%, due 05/30/24 144A | 221,851 | ||||||||
920,000 | Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22 | 949,762 | ||||||||
90,000 | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, due 06/01/25 144A | 93,150 | ||||||||
138,000 | Tervita Escrow Corp., 7.63%, due 12/01/21 144A | 140,933 | ||||||||
1,000,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, due 10/01/26 | 702,400 | ||||||||
145,000 | Teva Pharmaceutical Finance Netherlands III BV, 6.75%, due 03/01/28‡ | 118,719 | ||||||||
70,000 | Time Warner Cable LLC, 4.13%, due 02/15/21 | 71,277 | ||||||||
315,000 | Toronto-Dominion Bank, (MTN) (The), 3.25%, due 03/11/24 | 329,419 | ||||||||
500,000 | Transcontinental Gas Pipe Line Co. LLC, 4.60%, due 03/15/48 | 554,515 | ||||||||
55,000 | Trident Merger Sub, Inc., 6.63%, due 11/01/25 144A | 48,400 | ||||||||
118,000 | Twin River Worldwide Holdings, Inc., 6.75%, due 06/01/27 144A | 124,195 | ||||||||
430,000 | Tyson Foods, Inc., 5.10%, due 09/28/48 | 523,217 | ||||||||
231,000 | Uber Technologies, Inc., 7.50%, due 09/15/27 144A | 231,000 | ||||||||
185,000 | UBS Group Funding Switzerland AG, 7.00% (5 year USD swap plus 4.34%)† ††††† 144A | 196,701 | ||||||||
380,000 | UBS Group Funding Switzerland AG, 2.86% (3 mo. USD LIBOR plus 0.95%), due 08/15/23† 144A | 384,294 | ||||||||
1,547,000 | UBS Group Funding Switzerland AG, 4.13%, due 04/15/26 144A | 1,684,038 | ||||||||
228,984 | United Airlines Pass Through Trust, Series2016-1, Class A, 3.45%, due 07/07/28 | 237,972 | ||||||||
193,479 | United Airlines Pass Through Trust, Series2016-1, Class B, 3.65%, due 01/07/26 | 196,811 | ||||||||
316,403 | United Airlines Pass Through Trust, Series2014-2, Class A, 3.75%, due 09/03/26 | 333,963 |
See accompanying Notes to the Financial Statements.
66
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,218,014 | United Airlines Pass Through Trust, Series2014-1, Class A, 4.00%, due 04/11/26 | 2,359,523 | ||||||||
230,000 | United Airlines Pass Through Trust, Series2019-1 Class A, 4.55%, due 08/25/31 | 255,429 | ||||||||
94,640 | United Airlines Pass Through Trust, Series2018-1, Class B, 4.60%, due 03/01/26 | 98,758 | ||||||||
115,299 | United Airlines Pass Through Trust, Series2014-2, Class B, 4.63%, due 09/03/22 | 118,977 | ||||||||
530,000 | United Rentals North America, Inc., 4.88%, due 01/15/28 | 553,187 | ||||||||
35,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 36,816 | ||||||||
55,000 | United Rentals North America, Inc., 5.88%, due 09/15/26 | 58,853 | ||||||||
200,000 | Universal Health Services, Inc., 4.75%, due 08/01/22 144A | 202,000 | ||||||||
210,000 | Universal Health Services, Inc., 5.00%, due 06/01/26 144A | 220,500 | ||||||||
140,000 | UPCB Finance IV, Ltd., 5.38%, due 01/15/25 144A | 144,550 | ||||||||
105,330 | US Airways Pass Through Trust, Series2012-1, Class A, 5.90%, due 10/01/24 | 117,453 | ||||||||
90,903 | US Airways Pass Through Trust, Series2010-1, Class A, 6.25%, due 04/22/23 | 98,971 | ||||||||
490,000 | Valero Energy Corp., 3.40%, due 09/15/26 | 501,499 | ||||||||
216,000 | Ventas Realty, LP REIT, 3.50%, due 02/01/25 | 226,319 | ||||||||
250,000 | VEREIT Operating Partnership, LP REIT, 4.60%, due 02/06/24 | 268,658 | ||||||||
70,000 | VeriSign, Inc., 4.75%, due 07/15/27 | 73,588 | ||||||||
134,000 | VeriSign, Inc., 5.25%, due 04/01/25 | 146,804 | ||||||||
235,000 | Verizon Communications, Inc., 4.40%, due 11/01/34 | 269,227 | ||||||||
175,000 | Verizon Communications, Inc., 4.67%, due 03/15/55 | 210,231 | ||||||||
919,000 | Verizon Communications, Inc., 4.86%, due 08/21/46 | 1,124,083 | ||||||||
500,000 | Verizon Communications, Inc., 5.01%, due 04/15/49 | 629,567 | ||||||||
225,000 | Viacom, Inc., 6.25% (3 mo. USD LIBOR plus 3.90%), due 02/28/57† | 242,972 | ||||||||
1,400,000 | Virginia Electric & Power Co., 3.15%, due 01/15/26 | 1,457,614 | ||||||||
340,000 | Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A | 349,251 | ||||||||
135,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A | 139,344 | ||||||||
334,000 | Vodafone Group Plc, 7.00% (5 year USD swap plus 4.87%), due 04/04/79† ‡ | 384,191 | ||||||||
683,000 | Volkswagen Group of America Finance LLC, 4.63%, due 11/13/25 144A | 753,405 | ||||||||
390,000 | Voya Financial, Inc., 5.65% (3 mo. USD LIBOR plus 3.58%), due 05/15/53† ‡ | 411,871 | ||||||||
1,178,000 | Voya Financial, Inc., 3.13%, due 07/15/24 | 1,216,951 | ||||||||
625,000 | Wells Fargo & Co., Series U, 5.88% (3 mo. USD LIBOR plus 3.99%)† ††††† | 689,409 | ||||||||
129,000 | Wells Fargo & Co., Series K, 5.89% (3 mo. USD LIBOR plus 3.77%)† ††††† ‡ | 130,774 | ||||||||
708,000 | Welltower, Inc. REIT, 4.50%, due 01/15/24 | 765,244 | ||||||||
218,000 | Williams Cos. (The), Inc., 3.70%, due 01/15/23 | 225,577 | ||||||||
288,000 | Williams Cos. (The), Inc., 3.75%, due 06/15/27 | 297,722 | ||||||||
250,000 | Williams Cos. (The), Inc., 4.55%, due 06/24/24 | 269,241 | ||||||||
240,000 | Williams Cos. (The), Inc., 5.75%, due 06/24/44 | 277,342 | ||||||||
85,000 | WMG Acquisition Corp., 4.88%, due 11/01/24 144A | 88,294 | ||||||||
117,000 | WMG Acquisition Corp., 5.50%, due 04/15/26 144A | 123,143 | ||||||||
50,000 | WPX Energy, Inc., 5.25%, due 09/15/24 | 51,125 | ||||||||
81,000 | WPX Energy, Inc., 5.25%, due 10/15/27 | 81,608 | ||||||||
116,000 | XPO Logistics, Inc., 6.50%, due 06/15/22 144A | 118,552 | ||||||||
175,000 | YPF SA, 8.50%, due 07/28/25 144A | 137,288 | ||||||||
|
| |||||||||
240,622,596 | ||||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — 10.9% | ||||||||||
58,353 | Angel Oak Mortgage Trust I LLC, Series2018-1, Class A1, 3.26%, due 04/27/48◆◆ 144A | 58,648 |
See accompanying Notes to the Financial Statements.
67
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
138,627 | Angel Oak Mortgage Trust I LLC, Series2018-3, Class A1, 3.65%, due 09/25/48◆◆ 144A | 140,577 | ||||||||
557,173 | Arroyo Mortgage Trust, Series2018-1, Class A1, 3.76%, due 04/25/48◆◆ 144A | 569,231 | ||||||||
336,262 | Arroyo Mortgage Trust, Series2019-2, Class A1, 3.35%, due 04/25/49◆◆ 144A | 342,367 | ||||||||
219,729 | Arroyo Mortgage Trust, Series2019-3, Class A1, 2.96%, due 10/25/48◆◆ 144A | 221,910 | ||||||||
1,200,000 | BANK, Series 2019-BN20, Class A2, 2.76%, due 09/15/61 | 1,232,384 | ||||||||
200,000 | BBCMS Mortgage Trust, Series 2015-SRCH, Class D, 5.12%, due 08/10/35◆◆ 144A | 221,351 | ||||||||
3,000,000 | BBCMS Mortgage Trust, Series 2018-TALL, Class A, 2.75% (1 mo. USD LIBOR plus 0.72%), due 03/15/37† 144A | 2,997,031 | ||||||||
191,000 | BBCMS Mortgage Trust, Series 2018-TALL, Class B, 3.00% (1 mo. USD LIBOR plus 0.97%), due 03/15/37† 144A | 190,867 | ||||||||
207,000 | BBCMS Mortgage Trust, Series 2018-TALL, Class E, 4.46% (1 mo. USD LIBOR plus 2.44%), due 03/15/37† 144A | 207,870 | ||||||||
300,000 | Bellemeade Re Ltd., Series2019-3A, Class M1A, 3.12% (1 mo. USD LIBOR plus 1.10%), due 07/25/29† 144A | 300,503 | ||||||||
150,000 | Bellemeade Re Ltd., Series2019-3A, Class M1B, 3.62% (1 mo. USD LIBOR plus 1.60%), due 07/25/29† 144A | 150,340 | ||||||||
78,650 | Bellemeade Re, Ltd., Series2017-1, Class M1, 3.72% (1 mo. USD LIBOR plus 1.70%), due 10/25/27† 144A | 78,927 | ||||||||
275,495 | Bellemeade Re, Ltd., Series2018-1A, Class M1B, 3.62% (1 mo. USD LIBOR plus 1.60%), due 04/25/28† 144A | 275,917 | ||||||||
57,746 | Bellemeade Re, Ltd., Series2018-2A, Class M1A, 2.97% (1 mo. USD LIBOR plus 0.95%), due 08/25/28† 144A | 57,768 | ||||||||
235,000 | Benchmark Mortgage Trust, Series2019-B10, Class A2, 3.61%, due 03/15/62 | 249,027 | ||||||||
235,000 | Benchmark Mortgage Trust, Series2019-B11, Class A2, 3.41%, due 05/15/52 | 247,621 | ||||||||
320,000 | Benchmark Mortgage Trust, Series2019-B12, Class A2, 3.00%, due 08/15/52 | 332,334 | ||||||||
270,000 | Benchmark Mortgage Trust, Series2019-B13, Class A2, 2.89%, due 08/15/57†††† | 279,310 | ||||||||
179,315 | BRAVO Residential Funding Trust, Series 2019-NQM1, Class A1, 2.67%, due 07/25/59◆◆ 144A | 180,002 | ||||||||
215,000 | BX Commercial Mortgage Trust, Series 2018-BIOA, Class D, 3.35% (1 mo. USD LIBOR plus 1.32%), due 03/15/37† 144A | 215,865 | ||||||||
1,200,000 | CD Mortgage Trust, Series2019-CD8, Class A3, 2.66%, due 08/15/57 | 1,219,080 | ||||||||
700,000 | CFCRE Commercial Mortgage Trust, Series2016-C4, Class A3, 3.01%, due 05/10/58 | 727,790 | ||||||||
2,500,000 | CFCRE Commercial Mortgage Trust, Series2016-C6, Class A2, 2.95%, due 11/10/49 | 2,586,561 | ||||||||
240,000 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class E, 4.18% (1 mo. USD LIBOR plus 2.15%), due 07/15/32† 144A | 240,293 | ||||||||
206,000 | CHT Mortgage Trust, Series 2017-CSMO, Class D, 4.28% (1 mo. USD LIBOR plus 2.25%), due 11/15/36† 144A | 206,648 | ||||||||
163,407 | CIM Trust, Series2017-2, Class A1, 4.10% (1 mo. USD LIBOR plus 2.00%), due 12/25/57† 144A | 164,586 | ||||||||
643,735 | CIM Trust, Series2017-3, Class A1, 4.10% (1 mo. USD LIBOR plus 2.00%), due 01/25/57† 144A | 658,772 | ||||||||
590,664 | CIM Trust, Series2017-6, Class A1, 3.02%, due 06/25/57◆◆ 144A | 594,342 | ||||||||
1,772,000 | Citigroup Commercial Mortgage Trust, Series2016-P5, Class A2, 2.40%, due 10/10/49 | 1,776,721 | ||||||||
115,000 | Citigroup Commercial Mortgage Trust, Series 2017-1500, Class E, 4.53% (1 mo. USD LIBOR plus 2.50%), due 07/15/32† 144A | 115,653 | ||||||||
115,000 | Citigroup Commercial Mortgage Trust, Series2019-PRM, Class A, 3.34%, due 05/10/36 144A | 120,120 |
See accompanying Notes to the Financial Statements.
68
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
110,000 | Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class A, 4.15%, due 01/10/24 144A | 118,360 | ||||||||
27,500,000 | Citigroup Commercial Mortgage Trust, (IO), Series 2014-GC21, Class XB, 0.60%, due 05/10/47◆◆ | 561,657 | ||||||||
44,291 | COLT Mortgage Loan Trust, Series2018-2, Class A1, 3.47%, due 07/27/48◆◆ 144A | 44,553 | ||||||||
131,602 | COLT Mortgage Loan Trust, Series2019-2, Class A1, 3.34%, due 05/25/49◆◆ 144A | 134,032 | ||||||||
221,000 | Commercial Mortgage Pass Through Certificates, Series2012-LC4, Class B, 4.93%, due 12/10/44◆◆ | 231,135 | ||||||||
235,000 | Commercial Mortgage Pass Through Certificates, Series 2013-300P, Class D, 4.54%, due 08/10/30◆◆ 144A | 247,511 | ||||||||
72,946 | Commercial Mortgage Pass Through Certificates, Series2013-LC6, Class A3, 2.67%, due 01/10/46 | 74,019 | ||||||||
890,000 | Commercial Mortgage Pass Through Certificates, Series2013-LC6, Class A4, 2.94%, due 01/10/46 | 910,688 | ||||||||
470,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR20, Class A3, 3.33%, due 11/10/47 | 494,896 | ||||||||
431,188 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47 | 430,926 | ||||||||
1,200,000 | Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A3, 3.51%, due 08/10/48 | 1,277,766 | ||||||||
125,000 | Commercial Mortgage Trust, Series 2016-CR28, Class A3, 3.50%, due 02/10/49 | 133,565 | ||||||||
540,000 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class D, 3.63% (1 mo. USD LIBOR plus 1.60%), due 05/15/36† 144A | 541,341 | ||||||||
305,000 | Credit Suisse Mortgage Trust, Series2006-OMA, Class B2, 5.54%, due 05/15/23 144A | 306,956 | ||||||||
637,802 | Credit Suisse Mortgage Trust, Series2017-HL1, Class A3, 3.50%, due 06/25/47 144A | 647,032 | ||||||||
167,972 | Credit Suisse Mortgage Trust, Series2018-11R, Class 1A1, 3.42% (1 mo. USD LIBOR plus 1.40%), due 08/25/37† ‡‡‡‡ | 178,857 | ||||||||
786,565 | Credit Suisse Mortgage Trust, Series 2018-RPL9, Class A, 3.85%, due 09/25/57◆◆ 144A | 821,346 | ||||||||
370,946 | Credit Suisse Mortgage Trust, Series 2019-AFC1, Class A1, 2.57%, due 07/25/49†† 144A | 370,301 | ||||||||
1,100,000 | CSAIL Commercial Mortgage Trust, Series2017-C8, Class A3, 3.13%, due 06/15/50 | 1,152,997 | ||||||||
775,000 | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class A4, 3.19%, due 11/15/50 | 817,414 | ||||||||
386,450 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2, 3.32% (1 mo. USD LIBOR plus 1.30%), due 04/25/29† | 387,951 | ||||||||
340,317 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1, 3.22% (1 mo. USD LIBOR plus 1.20%), due 07/25/29† | 341,188 | ||||||||
875,313 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3, Class M1, 2.77% (1 mo. USD LIBOR plus 0.75%), due 03/25/30† | 875,693 | ||||||||
100,000 | FHLMC Structured Agency Credit Risk Debt Notes, Series 2019-HRP1, Class M1, 2.77% (1 mo. USD LIBOR plus 0.75%), due 02/25/49† 144A | 100,026 | ||||||||
222,606 | FHMLC Structured Agency Credit Risk Debt Notes, Series 2018-DNA3, Class M1, 2.77% (1 mo. USD LIBOR plus 0.75%), due 09/25/48† 144A | 222,869 | ||||||||
43,171 | FNMA Connecticut Avenue Securities, Series2016-C04, Class 1M1, 3.47% (1 mo. USD LIBOR plus 1.45%), due 01/25/29† | 43,245 | ||||||||
100,000 | FNMA Connecticut Avenue Securities, Series2018-C06, Class 1M2, 4.02% (1 mo. USD LIBOR plus 2.00%), due 03/25/31† | 100,455 | ||||||||
1,873,989 | Freddie Mac Seasoned Credit Risk Transfer Trust, Series2018-4, Class MA, 3.50%, due 03/25/58 | 1,952,868 |
See accompanying Notes to the Financial Statements.
69
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,527,867 | Freddie Mac Seasoned Credit Risk Transfer Trust, Series2019-2, Class MA, 3.50%, due 08/25/58 | 1,598,845 | ||||||||
117,779 | Galton Funding Mortgage Trust, Series2018-1, Class A43, 3.50%, due 11/25/57◆◆ 144A | 119,571 | ||||||||
395,886 | GCAT LLC, Series 2019-NQM1, Class A1, 2.99%, due 02/25/59†† 144A | 397,799 | ||||||||
85,000 | Great Wolf Trust, Series 2017-WOLF, Class E, 5.13% (1 mo. USD LIBOR plus 3.10%), due 09/15/34† 144A | 85,238 | ||||||||
1,150,634 | GS Mortgage Securities Trust, Series 2012-GCJ7, Class A4, 3.38%, due 05/10/45 | 1,170,787 | ||||||||
900,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 939,429 | ||||||||
125,000 | GS Mortgage Securities Trust, Series 2015-GC30, Class A3, 3.12%, due 05/10/50 | 130,775 | ||||||||
285,000 | GS Mortgage Securities Trust, Series 2019-GC39, Class A2, 3.46%, due 05/10/52 | 301,128 | ||||||||
300,000 | GS Mortgage Securities Trust, Series 2019-GC40, Class A2, 2.97%, due 07/10/52 | 311,224 | ||||||||
100,000 | Hilton Orlando Trust, Series2018-ORL, Class D, 3.73% (1 mo. USD LIBOR plus 1.70%), due 12/15/34† 144A | 100,148 | ||||||||
100,000 | Hudsons Bay Simon JV Trust, Series 2015-HBFL, Class DFL, 6.15% (1 mo. USD LIBOR plus 3.90%), due 08/05/34† 144A | 100,254 | ||||||||
170,000 | IMT Trust, Series 2017-APTS, Class CFX, 3.61%, due 06/15/34◆◆ 144A | 174,362 | ||||||||
215,000 | Irvine Core Office Trust, Series2013-IRV, Class A2, 3.28%, due 05/15/48◆◆ 144A | 223,392 | ||||||||
1,725,000 | JPMBB Commercial Mortgage Securities Trust, Series2014-C19, Class A3, 3.67%, due 04/15/47 | 1,763,604 | ||||||||
140,000 | JPMBB Commercial Mortgage Securities Trust, Series2015-C31, Class A3, 3.80%, due 08/15/48 | 151,823 | ||||||||
816,969 | JPMBB Commercial Mortgage Securities Trust, Series2015-C32, Class A2, 2.82%, due 11/15/48 | 818,527 | ||||||||
700,000 | JPMDB Commercial Mortgage Securities Trust, Series2016-C2, Class A3A, 2.88%, due 06/15/49 | 725,762 | ||||||||
1,300,000 | JPMDB Commercial Mortgage Securities Trust, Series2017-C5, Class A4, 3.41%, due 03/15/50 | 1,389,558 | ||||||||
1,159,441 | JPMorgan Chase Commercial Mortgage Securities Trust, Series2011-C3, Class A4, 4.72%, due 02/15/46 144A | 1,188,699 | ||||||||
1,449,919 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,476,931 | ||||||||
165,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series2015-JP1, Class A4, 3.65%, due 01/15/49 | 178,142 | ||||||||
760,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series2016-JP2, Class A3, 2.56%, due 08/15/49 | 773,674 | ||||||||
1,600,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series2017-JP6, Class A3, 3.11%, due 07/15/50 | 1,648,780 | ||||||||
143,425 | JPMorgan Chase Commercial Mortgage Securities Trust, Series2018-PHH, Class A, 2.94% (1 mo. USD LIBOR plus 0.91%), due 06/15/35† 144A | 143,305 | ||||||||
938,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A2, 3.15%, due 06/13/52 | 976,068 | ||||||||
788,122 | JPMorgan Mortgage Trust, Series2016-1, Class A5, 3.50%, due 05/25/46 144A | 795,476 | ||||||||
529,118 | JPMorgan Mortgage Trust, Series2016-4, Class A5, 3.50%, due 10/25/46 144A | 539,383 | ||||||||
1,218,335 | JPMorgan Mortgage Trust, Series2017-2, Class A5, 3.50%, due 05/25/47 144A | 1,237,721 | ||||||||
972,195 | JPMorgan Mortgage Trust, Series2018-4, Class A15, 3.50%, due 10/25/48 144A | 984,201 | ||||||||
130,000 | KNDL Mortgage Trust, Series 2019-KNSQ, Class D, 3.38% (1 mo. USD LIBOR plus 1.35%), due 05/15/36† 144A | 130,177 | ||||||||
172,280 | MetLife Securization Trust, Series2018-1A, Class A, 3.75%, due 03/25/57◆◆ 144A | 180,932 |
See accompanying Notes to the Financial Statements.
70
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
188,389 | Mill City Mortgage Loan Trust, Series2019-1, Class A1, 3.25%, due 10/25/69◆◆ 144A | 193,712 | ||||||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series2013-C7, Class A4, 2.92%, due 02/15/46 | 102,209 | ||||||||
1,600,000 | Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49 | 1,616,864 | ||||||||
212,000 | Morgan Stanley Capital I Trust, Series2017-CLS, Class D, 3.43% (1 mo. USD LIBOR plus 1.40%), due 11/15/34† 144A | 212,171 | ||||||||
2,600,000 | Morgan Stanley Capital I Trust, Series2019-H6, Class A3, 3.16%, due 06/15/52 | 2,752,035 | ||||||||
95,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-285M, Class D, 3.92%, due 11/15/32◆◆ 144A | 97,116 | ||||||||
165,000 | Natixis Commercial Mortgage Securities Trust, Series 2018-ALXA, Class C, 4.46%, due 01/15/43◆◆ 144A | 184,011 | ||||||||
366,919 | New Residential Mortgage Loan Trust, Series2018-1A, Class A1A, 4.00%, due 12/25/57 144A | 382,731 | ||||||||
213,692 | New Residential Mortgage Loan Trust, Series2018-4A, Class A1S, 2.77% (1 mo. USD LIBOR plus 0.75%), due 01/25/48† 144A | 213,592 | ||||||||
180,000 | Oaktown Re III, Ltd., Series2019-1A, Class M1A, 3.42% (1 mo. USD LIBOR plus 1.40%), due 07/25/29† 144A | 180,518 | ||||||||
9,042 | Provident Funding Mortgage Loan Trust, Series2005-1, Class 2A1, 4.84%, due 05/25/35◆◆ | 9,059 | ||||||||
1,341,230 | PSMC Trust, Series2019-1, Class A3, 4.00%, due 07/25/49 144A | 1,381,040 | ||||||||
233,111 | Radnor RE Ltd., Series2018-1, Class M1, 3.42% (1 mo. USD LIBOR plus 1.40%), due 03/25/28† 144A | 233,486 | ||||||||
92,794 | Starwood Mortgage Residential Trust, Series 2018-IMC1, Class A1, 3.79%, due 03/25/48◆◆144A | 94,437 | ||||||||
263,359 | Towd Point Mortgage Trust, Series2018-5, Class A1, 3.25%, due 07/25/58◆◆ 144A | 268,617 | ||||||||
389,750 | Towd Point Mortgage Trust, Series2018-6, Class A1A, 3.75%, due 03/25/58◆◆ 144A | 401,780 | ||||||||
115,000 | Towd Point Mortgage Trust, Series2015-1, Class A5, 4.00%, due 10/25/53◆◆ 144A | 120,269 | ||||||||
265,000 | Towd Point Mortgage Trust, Series2015-2, Class 1M2, 3.80%, due 11/25/60◆◆ 144A | 280,921 | ||||||||
657,131 | Towd Point Mortgage Trust, Series2017-4, Class A1, 2.75%, due 06/25/57◆◆ 144A | 663,861 | ||||||||
737,416 | Towd Point Mortgage Trust, Series2017-6, Class A1, 2.75%, due 10/25/57◆◆ 144A | 744,926 | ||||||||
705,232 | Towd Point Mortgage Trust, Series2018-1, Class A1, 3.00%, due 01/25/58◆◆ 144A | 716,090 | ||||||||
234,649 | Towd Point Mortgage Trust, Series2018-3, Class A1, 3.75%, due 05/25/58◆◆ 144A | 244,671 | ||||||||
354,563 | Towd Point Mortgage Trust, Series2018-4, Class A1, 3.00%, due 06/25/58◆◆ 144A | 364,978 | ||||||||
98,290 | Towd Point Mortgage Trust, Series2018-5, Class A1A, 3.25%, due 07/25/58◆◆ 144A | 99,986 | ||||||||
188,358 | Towd Point Mortgage Trust, Series2019-1, Class A1, 3.75%, due 03/25/58◆◆ 144A | 197,783 | ||||||||
675,000 | UBS Commercial Mortgage Trust, Series2017-C2, Class ASB, 3.26%, due 08/15/50 | 708,982 | ||||||||
2,272,000 | UBS-Barclays Commercial Mortgage Trust, Series2012-C3, Class A4, 3.09%, due 08/10/49 | 2,321,804 | ||||||||
1,453,919 | UBS-Barclays Commercial Mortgage Trust, Series2013-C5, Class A3, 2.92%, due 03/10/46 | 1,481,103 | ||||||||
1,523,797 | UBS-Citigroup Commercial Mortgage Trust, Series2011-C1, Class A3, 3.60%, due 01/10/45 | 1,554,200 | ||||||||
315,997 | Verus Securitization Trust, Series2018-3, Class A1, 4.11%, due 10/25/58◆◆ 144A | 320,308 | ||||||||
240,000 | VNO Mortgage Trust, Series 2013-PENN, Class D, 4.08%, due 12/13/29◆◆144A | 242,233 | ||||||||
15,930 | WaMu Mortgage Pass Through Certificates, Series2003-AR9, Class 1A7, 4.32%, due 09/25/33◆◆ | 16,733 | ||||||||
188,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class C, 2.80%, due 03/18/28◆◆144A | 187,488 |
See accompanying Notes to the Financial Statements.
71
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,500,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due 08/15/49 | 1,510,113 | ||||||||
3,000,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due 11/15/49 | 3,059,106 | ||||||||
950,000 | Wells Fargo Commercial Mortgage Trust, Series2017-C38, Class A4, 3.19%, due 07/15/50 | 1,004,004 | ||||||||
1,400,000 | Wells Fargo Commercial Mortgage Trust, Series2017-RB1, Class A4, 3.37%, due 03/15/50 | 1,496,858 | ||||||||
110,000 | Wells Fargo Commercial Mortgage Trust, Series2017-SMP, Class D, 3.68% (1 mo. USD LIBOR plus 1.65%), due 12/15/34† 144A | 109,740 | ||||||||
1,360,000 | WF-RBS Commercial Mortgage Trust, Series2011-C4, Class A4, 4.90%, due 06/15/44 144A | 1,405,425 | ||||||||
|
| |||||||||
78,410,738 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 27.3% | ||||||||||
548,435 | FHLMC Gold, Pool # A89870, 4.50%, due 11/01/39 | 594,727 | ||||||||
436,685 | FHLMC Gold, Pool # A96970, 4.00%, due 02/01/41 | 466,890 | ||||||||
733,449 | FHLMC Gold, Pool # C91908, 3.00%, due 01/01/37 | 755,042 | ||||||||
580,664 | FHLMC Gold, Pool # G06231, 4.00%, due 12/01/40 | 620,856 | ||||||||
265,921 | FHLMC Gold, Pool # G06409, 6.00%, due 11/01/39 | 306,333 | ||||||||
138,183 | FHLMC Gold, Pool # G06875, 5.50%, due 12/01/38 | 156,322 | ||||||||
522,029 | FHLMC Gold, Pool # G07021, 5.00%, due 09/01/39 | 576,779 | ||||||||
720,547 | FHLMC Gold, Pool # G08672, 4.00%, due 10/01/45 | 760,829 | ||||||||
176,104 | FHLMC Gold, Pool # G08735, 4.50%, due 10/01/46 | 187,130 | ||||||||
92,869 | FHLMC Gold, Pool # G08748, 3.50%, due 02/01/47 | 96,489 | ||||||||
1,438,515 | FHLMC Gold, Pool # G08749, 4.00%, due 02/01/47 | 1,511,357 | ||||||||
936,603 | FHLMC Gold, Pool # G08771, 4.00%, due 07/01/47 | 983,305 | ||||||||
775,509 | FHLMC Gold, Pool # G08805, 4.00%, due 03/01/48 | 813,720 | ||||||||
5,661,250 | FHLMC Gold, Pool # G08883, 4.50%, due 06/01/49 | 5,969,922 | ||||||||
238,859 | FHLMC Gold, Pool # G16177, 2.00%, due 01/01/32 | 237,142 | ||||||||
409,689 | FHLMC Gold, Pool # G16501, 3.00%, due 04/01/33 | 422,647 | ||||||||
1,542,854 | FHLMC Gold, Pool # G16634, 3.00%, due 10/01/31 | 1,591,516 | ||||||||
1,575,540 | FHLMC Gold, Pool # G60564, 5.00%, due 02/01/42 | 1,741,575 | ||||||||
1,496,085 | FHLMC Gold, Pool # G60722, 3.00%, due 10/01/46 | 1,536,519 | ||||||||
660,027 | FHLMC Gold, Pool # G60767, 3.50%, due 10/01/46 | 694,694 | ||||||||
358,892 | FHLMC Gold, Pool # G60788, 3.50%, due 12/01/46 | 375,913 | ||||||||
1,456,778 | FHLMC Gold, Pool # G60804, 4.50%, due 05/01/42 | 1,577,457 | ||||||||
1,680,796 | FHLMC Gold, Pool # G60931, 3.00%, due 02/01/47 | 1,740,759 | ||||||||
1,821,320 | FHLMC Gold, Pool # G60934, 3.50%, due 06/01/45 | 1,914,616 | ||||||||
1,978,413 | FHLMC Gold, Pool # G60985, 3.00%, due 05/01/47 | 2,034,925 | ||||||||
1,317,145 | FHLMC Gold, Pool # G61748, 3.50%, due 11/01/48 | 1,383,810 | ||||||||
1,782,715 | FHLMC Gold, Pool # G61891, 4.00%, due 05/01/48 | 1,866,657 | ||||||||
232,276 | FHLMC Gold, Pool # G61948, 4.00%, due 12/01/48 | 242,280 | ||||||||
695,144 | FHLMC Gold, Pool # G61995, 4.00%, due 11/01/44 | 740,121 | ||||||||
1,182,072 | FHLMC Gold, Pool # G67703, 3.50%, due 04/01/47 | 1,245,484 | ||||||||
155,775 | FHLMC Gold, Pool # J16432, 3.50%, due 08/01/26 | 162,335 | ||||||||
171,504 | FHLMC Gold, Pool # J17763, 3.50%, due 01/01/27 | 178,777 | ||||||||
466,256 | FHLMC Gold, Pool # J24414, 2.50%, due 06/01/28 | 472,707 | ||||||||
554,678 | FHLMC Gold, Pool # J34888, 2.50%, due 07/01/31 | 562,373 |
See accompanying Notes to the Financial Statements.
72
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
1,023,858 | FHLMC Gold, Pool # Q09224, 4.00%, due 07/01/42 | 1,102,864 | ||||||||
232,634 | FHLMC Gold, Pool # Q11218, 3.50%, due 09/01/42 | 245,118 | ||||||||
460,483 | FHLMC Gold, Pool # Q12052, 3.50%, due 10/01/42 | 484,029 | ||||||||
950,729 | FHLMC Gold, Pool # Q12862, 3.50%, due 11/01/42 | 999,501 | ||||||||
438,191 | FHLMC Gold, Pool # Q17792, 3.50%, due 05/01/43 | 460,679 | ||||||||
1,767,705 | FHLMC Gold, Pool # Q34842, 3.00%, due 07/01/45 | 1,819,813 | ||||||||
1,359,174 | FHLMC Gold, Pool # Q36815, 4.00%, due 10/01/45 | 1,435,176 | ||||||||
1,762,876 | FHLMC Gold, Pool # Q41918, 3.50%, due 07/01/46 | 1,857,516 | ||||||||
1,289,688 | FHLMC Gold, Pool # Q42618, 3.00%, due 08/01/46 | 1,322,066 | ||||||||
1,305,650 | FHLMC Gold, Pool # Q44455, 3.50%, due 11/01/46 | 1,367,585 | ||||||||
1,352,118 | FHLMC Gold, Pool # Q45741, 3.50%, due 01/01/47 | 1,424,654 | ||||||||
200,852 | FHLMC Gold, Pool # Q49494, 4.50%, due 07/01/47 | 212,664 | ||||||||
636,996 | FHLMC Gold, Pool # Q52312, 4.00%, due 11/01/47 | 667,279 | ||||||||
856,730 | FHLMC Gold, Pool # Q54957, 4.00%, due 03/01/48 | 896,129 | ||||||||
1,175,856 | FHLMC Gold, Pool # Q60989, 3.00%, due 12/01/46 | 1,205,445 | ||||||||
373,489 | FHLMC Gold, Pool # V60565, 3.00%, due 06/01/29 | 385,043 | ||||||||
952,703 | FHLMC Gold, Pool # V60599, 3.00%, due 09/01/29 | 982,126 | ||||||||
1,313,246 | FHLMC Gold, Pool # V82292, 4.00%, due 04/01/46 | 1,388,051 | ||||||||
1,563,413 | FHLMC Gold, Pool # V82515, 3.50%, due 06/01/46 | 1,630,933 | ||||||||
375,455 | FHLMC Gold, Pool # V82848, 3.00%, due 12/01/46 | 386,764 | ||||||||
501,559 | FHLMC Gold, Pool #Q44963, 3.50%, due 12/01/46 | 523,259 | ||||||||
155,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K040, Class A2, 3.24%, due 09/25/24 | 163,847 | ||||||||
255,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K043, Class A2, 3.06%, due 12/25/24 | 267,823 | ||||||||
550,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K059, Class AM, 3.17%, due 09/25/26◆◆ | 588,262 | ||||||||
325,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K083, Class AM, 4.03%, due 10/25/28◆◆ | 371,274 | ||||||||
200,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K086, Class AM, 3.92%, due 12/25/28◆◆ | 226,835 | ||||||||
900,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K157, Class A2, 3.99%, due 05/25/33◆◆ | 1,042,767 | ||||||||
490,000 | FHLMC Multifamily Structured Pass Through Certificates, Series KIR3, Class A1, 3.04%, due 08/25/27 | 517,230 | ||||||||
480,000 | FHLMC Multifamily Structured Pass Through Certificates, Series W5FX, Class AFX, 3.34%, due 04/25/28◆◆ | 518,294 | ||||||||
23,959,600 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.06%, due 01/25/20◆◆ | 21,580 | ||||||||
20,373,480 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.20%, due 04/25/20◆◆ | 47,271 | ||||||||
25,570,775 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 0.95%, due 10/25/22◆◆ | 562,186 | ||||||||
87,169 | FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36 | 100,730 | ||||||||
893,852 | FHLMC REMIC, Series 4777, Class CB, 3.50%, due 10/15/45 | 926,436 | ||||||||
1,040,070 | FNMA REMIC, Series2011-59, Class NZ, 5.50%, due 07/25/41 | 1,182,344 | ||||||||
23,833 | FNMA REMIC, Series2012-28, Class B, 6.50%, due 06/25/39 | 25,759 | ||||||||
1,700,000 | FNMA-ACES, Series2015-M10, Class A2, 3.09%, due 04/25/27◆◆ | 1,809,735 | ||||||||
585,718 | FNMA-ACES, Series2015-M8, Class AB2, 2.83%, due 01/25/25◆◆ | 611,992 |
See accompanying Notes to the Financial Statements.
73
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
500,000 | FNMA-ACES, Series2016-M7, Class AB2, 2.38%, due 09/25/26 | 506,596 | ||||||||
500,000 | FNMA-ACES, Series2017-M1, Class A2, 2.50%, due 10/25/26◆◆ | 509,183 | ||||||||
430,600 | FNMA-ACES, Series2018-M10, Class A1, 3.50%, due 07/25/28◆◆ | 464,752 | ||||||||
335,635 | GNMA, Pool # 004636, 4.50%, due 02/20/40 | 366,545 | ||||||||
61,589 | GNMA, Pool # 004678, 4.50%, due 04/20/40 | 67,352 | ||||||||
403,039 | GNMA, Pool # 004833, 4.00%, due 10/20/40 | 429,609 | ||||||||
348,746 | GNMA, Pool # 004977, 4.00%, due 03/20/41 | 371,925 | ||||||||
891,342 | GNMA, Pool # 004978, 4.50%, due 03/20/41 | 975,403 | ||||||||
1,397,991 | GNMA, Pool # 005055, 4.50%, due 05/20/41 | 1,529,842 | ||||||||
616,236 | GNMA, Pool # 734152, 4.00%, due 01/15/41 | 658,272 | ||||||||
49,126 | GNMA, Pool # 783637, 3.00%, due 06/20/42 | 50,855 | ||||||||
372,044 | GNMA, Pool # AL8626, 3.00%, due 08/15/45 | 382,088 | ||||||||
72,628 | GNMA, Pool # MA0624, 3.00%, due 12/20/42 | 75,184 | ||||||||
327,671 | GNMA, Pool # MA0625, 3.50%, due 12/20/42 | 348,086 | ||||||||
188,221 | GNMA, Pool # MA0698, 3.00%, due 01/20/43 | 194,845 | ||||||||
645,104 | GNMA, Pool # MA0851, 3.00%, due 03/20/43 | 667,809 | ||||||||
109,474 | GNMA, Pool # MA1156, 3.00%, due 07/20/43 | 113,293 | ||||||||
151,615 | GNMA, Pool # MA1599, 3.00%, due 01/20/44 | 156,889 | ||||||||
307,228 | GNMA, Pool # MA2372, 4.00%, due 11/20/44 | 327,010 | ||||||||
296,789 | GNMA, Pool # MA3377, 4.00%, due 01/20/46 | 315,523 | ||||||||
555,997 | GNMA, Pool # MA3873, 3.00%, due 08/20/46 | 573,467 | ||||||||
222,028 | GNMA, Pool # MA4125, 2.50%, due 12/20/46 | 224,425 | ||||||||
3,551,684 | GNMA I, Pool # 784369, 4.00%, due 08/15/45 | 3,874,055 | ||||||||
445,183 | GNMA I, Pool # 784605, 4.50%, due 01/15/42 | 484,649 | ||||||||
483,067 | GNMA I, Pool # 784699, 5.00%, due 04/15/48 | 517,439 | ||||||||
1,344,657 | GNMA II, Pool # 796468, 4.00%, due 09/20/42 | 1,428,676 | ||||||||
1,259,414 | GNMA II, Pool # AV9421, 3.50%, due 11/20/46 | 1,336,232 | ||||||||
913,558 | GNMA II, Pool # AY7555, 3.50%, due 04/20/47 | 969,388 | ||||||||
509,135 | GNMA II, Pool # MA0462, 3.50%, due 10/20/42 | 540,856 | ||||||||
508,012 | GNMA II, Pool # MA0852, 3.50%, due 03/20/43 | 539,664 | ||||||||
416,484 | GNMA II, Pool # MA1376, 4.00%, due 10/20/43 | 444,196 | ||||||||
430,465 | GNMA II, Pool # MA2371, 3.50%, due 11/20/44 | 450,895 | ||||||||
342,060 | GNMA II, Pool # MA2825, 3.00%, due 05/20/45 | 353,746 | ||||||||
745,844 | GNMA II, Pool # MA3310, 3.50%, due 12/20/45 | 781,927 | ||||||||
436,439 | GNMA II, Pool # MA3455, 4.00%, due 02/20/46 | 463,989 | ||||||||
764,939 | GNMA II, Pool # MA3456, 4.50%, due 02/20/46 | 817,220 | ||||||||
1,584,308 | GNMA II, Pool # MA3803, 3.50%, due 07/20/46 | 1,653,035 | ||||||||
514,106 | GNMA II, Pool # MA4004, 3.50%, due 10/20/46 | 536,937 | ||||||||
281,257 | GNMA II, Pool # MA4071, 4.50%, due 11/20/46 | 301,641 | ||||||||
508,084 | GNMA II, Pool # MA4263, 4.00%, due 02/20/47 | 533,248 | ||||||||
685,507 | GNMA II, Pool # MA4510, 3.50%, due 06/20/47 | 713,005 | ||||||||
752,621 | GNMA II, Pool # MA4585, 3.00%, due 07/20/47 | 773,899 | ||||||||
783,023 | GNMA II, Pool # MA4586, 3.50%, due 07/20/47 | 814,165 | ||||||||
895,736 | GNMA II, Pool # MA4720, 4.00%, due 09/20/47 | 936,149 | ||||||||
612,200 | GNMA II, Pool # MA4838, 4.00%, due 11/20/47 | 639,460 | ||||||||
343,642 | GNMA II, Pool # MA5021, 4.50%, due 02/20/48 | 361,462 | ||||||||
118,037 | GNMA II, Pool # MA5079, 4.50%, due 03/20/48 | 123,554 | ||||||||
518,408 | GNMA II, Pool # MA5396, 3.00%, due 08/20/48 | 532,953 | ||||||||
723,511 | GNMA II, Pool # MA5397, 3.50%, due 08/20/48 | 750,425 |
See accompanying Notes to the Financial Statements.
74
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
883,483 | GNMA II, Pool # MA5466, 4.00%, due 09/20/48 | 920,159 | ||||||||
831,491 | GNMA II, Pool # MA5467, 4.50%, due 09/20/48 | 873,981 | ||||||||
380,481 | GNMA II, Pool # MA5530, 5.00%, due 10/20/48 | 402,473 | ||||||||
721,732 | GNMA II, Pool # MA5594, 3.50%, due 11/20/48 | 748,152 | ||||||||
3,603 | UMBS, Pool # 254548, 5.50%, due 12/01/32 | 3,988 | ||||||||
1,649,170 | UMBS, Pool # 254903, 5.00%, due 10/01/33 | 1,821,416 | ||||||||
1,815,500 | UMBS, Pool # 725027, 5.00%, due 11/01/33 | 2,005,457 | ||||||||
1,261,249 | UMBS, Pool # 735676, 5.00%, due 07/01/35 | 1,392,947 | ||||||||
464,238 | UMBS, Pool # 745148, 5.00%, due 01/01/36 | 513,016 | ||||||||
541,070 | UMBS, Pool # 932807, 4.00%, due 09/01/40 | 578,159 | ||||||||
483,443 | UMBS, Pool # 983471, 5.50%, due 05/01/38 | 543,727 | ||||||||
545,888 | UMBS, Pool # 985184, 5.50%, due 08/01/38 | 614,706 | ||||||||
368,768 | UMBS, Pool # 995245, 5.00%, due 01/01/39 | 406,399 | ||||||||
825,313 | UMBS, Pool # AB6212, 3.00%, due 09/01/42 | 850,644 | ||||||||
1,115,335 | UMBS, Pool # AB6802, 3.50%, due 11/01/42 | 1,171,915 | ||||||||
269,879 | UMBS, Pool # AB7059, 2.50%, due 11/01/42 | 269,734 | ||||||||
651,174 | UMBS, Pool # AB8703, 3.00%, due 03/01/38 | 671,152 | ||||||||
249,092 | UMBS, Pool # AB9383, 4.00%, due 05/01/43 | 266,254 | ||||||||
1,524,100 | UMBS, Pool # AB9659, 3.00%, due 06/01/43 | 1,571,985 | ||||||||
494,529 | UMBS, Pool # AD9153, 4.50%, due 08/01/40 | 535,948 | ||||||||
279,043 | UMBS, Pool # AE0469, 6.00%, due 12/01/39 | 321,301 | ||||||||
1,226,210 | UMBS, Pool # AH4404, 4.00%, due 01/01/41 | 1,310,391 | ||||||||
188,147 | UMBS, Pool # AI1892, 5.00%, due 05/01/41 | 207,601 | ||||||||
905,152 | UMBS, Pool # AJ9278, 3.50%, due 12/01/41 | 950,953 | ||||||||
450,424 | UMBS, Pool # AJ9317, 4.00%, due 01/01/42 | 482,504 | ||||||||
855,588 | UMBS, Pool # AL0215, 4.50%, due 04/01/41(a) | 924,949 | ||||||||
1,411,046 | UMBS, Pool # AL1895, 3.50%, due 06/01/42 | 1,482,024 | ||||||||
730,821 | UMBS, Pool # AL2466, 4.00%, due 09/01/42 | 791,852 | ||||||||
805,373 | UMBS, Pool # AL3000, 3.50%, due 12/01/42 | 846,237 | ||||||||
1,059,778 | UMBS, Pool # AL3316, 3.50%, due 03/01/43 | 1,113,304 | ||||||||
1,250,529 | UMBS, Pool # AL6663, 4.00%, due 03/01/39 | 1,304,059 | ||||||||
534,402 | UMBS, Pool # AL6839, 5.00%, due 04/01/42 | 589,524 | ||||||||
1,615,604 | UMBS, Pool # AL7521, 5.00%, due 06/01/39 | 1,777,335 | ||||||||
1,316,507 | UMBS, Pool # AL7594, 3.50%, due 08/01/45 | 1,383,196 | ||||||||
1,077,296 | UMBS, Pool # AL8191, 4.00%, due 12/01/45 | 1,137,910 | ||||||||
190,244 | UMBS, Pool # AO4109, 4.00%, due 06/01/42 | 203,283 | ||||||||
454,147 | UMBS, Pool # AQ7923, 3.00%, due 12/01/42 | 468,133 | ||||||||
1,130,950 | UMBS, Pool # AS5133, 3.50%, due 06/01/45 | 1,178,387 | ||||||||
304,955 | UMBS, Pool # AS6286, 4.00%, due 12/01/45 | 321,616 | ||||||||
499,778 | UMBS, Pool # AS6304, 4.00%, due 12/01/45 | 527,254 | ||||||||
676,522 | UMBS, Pool # AS6452, 3.50%, due 01/01/46 | 704,855 | ||||||||
275,492 | UMBS, Pool # AS7693, 2.00%, due 08/01/31 | 273,361 | ||||||||
408,038 | UMBS, Pool # AS8073, 2.50%, due 10/01/46 | 407,818 | ||||||||
817,112 | UMBS, Pool # AT0232, 3.00%, due 03/01/43 | 842,132 | ||||||||
356,187 | UMBS, Pool # AX3719, 3.50%, due 07/01/27 | 370,464 | ||||||||
332,077 | UMBS, Pool # AZ3743, 3.50%, due 11/01/45 | 346,026 | ||||||||
496,873 | UMBS, Pool # BC9468, 3.00%, due 06/01/46 | 509,100 | ||||||||
1,565,737 | UMBS, Pool # BD7043, 4.00%, due 03/01/47 | 1,653,438 | ||||||||
980,437 | UMBS, Pool # BE7192, 4.00%, due 03/01/47 | 1,029,499 |
See accompanying Notes to the Financial Statements.
75
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued | ||||||||||
1,401,036 | UMBS, Pool # BH1207, 4.00%, due 06/01/47 | 1,472,700 | ||||||||
1,172,033 | UMBS, Pool # BK1023, 4.50%, due 02/01/48 | 1,241,979 | ||||||||
1,233,813 | UMBS, Pool # BK7611, 4.50%, due 09/01/48 | 1,300,808 | ||||||||
1,461,405 | UMBS, Pool # BM1573, 3.50%, due 07/01/47 | 1,538,947 | ||||||||
1,352,345 | UMBS, Pool # BM1655, 5.00%, due 11/01/44 | 1,492,827 | ||||||||
1,555,991 | UMBS, Pool # BM1972, 3.50%, due 10/01/37 | 1,632,791 | ||||||||
1,907,104 | UMBS, Pool # BM2006, 4.00%, due 01/01/48 | 1,997,957 | ||||||||
908,778 | UMBS, Pool # BM3033, 3.00%, due 10/01/47 | 932,551 | ||||||||
1,026,984 | UMBS, Pool # BM3116, 3.00%, due 02/01/47 | 1,063,044 | ||||||||
278,470 | UMBS, Pool # BM3258, 3.00%, due 02/01/47 | 286,698 | ||||||||
699,719 | UMBS, Pool # BM3286, 4.50%, due 11/01/47 | 739,620 | ||||||||
1,088,720 | UMBS, Pool # BM3332, 3.50%, due 01/01/48 | 1,133,037 | ||||||||
904,702 | UMBS, Pool # BM3491, 4.50%, due 01/01/38 | 960,709 | ||||||||
1,637,114 | UMBS, Pool # BM3641, 4.00%, due 04/01/48 | 1,732,414 | ||||||||
1,494,080 | UMBS, Pool # BM4425, 5.00%, due 07/01/47 | 1,650,308 | ||||||||
1,369,708 | UMBS, Pool # BM5213, 3.00%, due 07/01/45 | 1,402,905 | ||||||||
1,820,072 | UMBS, Pool # BM5694, 4.00%, due 06/01/48 | 1,905,504 | ||||||||
1,311,395 | UMBS, Pool # BM5827, 5.00%, due 04/01/49 | 1,412,336 | ||||||||
422,963 | UMBS, Pool # BM5874, 4.00%, due 01/01/48 | 445,247 | ||||||||
1,479,468 | UMBS, Pool # BN2763, 4.50%, due 11/01/48 | 1,558,433 | ||||||||
1,377,503 | UMBS, Pool # BO0988, 3.50%, due 07/01/49 | 1,418,209 | ||||||||
1,545,460 | UMBS, Pool # BO0991, 4.00%, due 07/01/49 | 1,609,330 | ||||||||
1,122,316 | UMBS, Pool # BO1024, 4.00%, due 08/01/49 | 1,170,012 | ||||||||
2,643,014 | UMBS, Pool # BO1040, 3.00%, due 09/01/49 | 2,687,057 | ||||||||
1,223,742 | UMBS, Pool # BO1042, 3.00%, due 09/01/49 | 1,244,134 | ||||||||
940,000 | UMBS, Pool # BO1420, 3.50%, due 09/01/49 | 969,786 | ||||||||
1,406,247 | UMBS, Pool # CA0655, 3.50%, due 11/01/47 | 1,470,922 | ||||||||
1,375,655 | UMBS, Pool # CA1560, 4.50%, due 04/01/48 | 1,471,232 | ||||||||
1,792,362 | UMBS, Pool # CA2057, 4.50%, due 07/01/48 | 1,898,561 | ||||||||
1,408,399 | UMBS, Pool # CA3683, 4.50%, due 06/01/49 | 1,491,169 | ||||||||
951,128 | UMBS, Pool # FM1001, 3.50%, due 11/01/48 | 982,206 | ||||||||
930,381 | UMBS, Pool # FM1057, 3.50%, due 06/01/49 | 956,692 | ||||||||
1,412,315 | UMBS, Pool # FM1329, 3.00%, due 07/01/49 | 1,434,288 | ||||||||
326,822 | UMBS, Pool # MA2781, 2.50%, due 10/01/46 | 326,646 | ||||||||
495,234 | UMBS, Pool # MA3087, 3.50%, due 08/01/47 | 512,013 | ||||||||
331,505 | UMBS, Pool # MA3155, 3.00%, due 10/01/32 | 339,631 | ||||||||
981,251 | UMBS, Pool # MA3182, 3.50%, due 11/01/47 | 1,015,322 | ||||||||
712,325 | UMBS, Pool # MA3211, 4.00%, due 12/01/47 | 745,623 | ||||||||
484,558 | UMBS, Pool # MA3238, 3.50%, due 01/01/48 | 501,456 | ||||||||
472,087 | UMBS, Pool # MA3364, 3.50%, due 05/01/33 | 489,146 | ||||||||
360,147 | UMBS, Pool # MA3385, 4.50%, due 06/01/48 | 379,859 | ||||||||
1,507,640 | UMBS, Pool # MA3414, 3.50%, due 07/01/48 | 1,550,553 | ||||||||
517,845 | UMBS, Pool # MA3521, 4.00%, due 11/01/48 | 538,517 | ||||||||
2,014,717 | UMBS, Pool # ZA7040, 3.50%, due 06/01/49 | 2,088,448 | ||||||||
2,097,070 | UMBS, Pool # ZM1609, 3.50%, due 09/01/46 | 2,199,547 | ||||||||
1,074,518 | UMBS, Pool # ZN6183, 3.50%, due 05/01/49 | 1,122,153 | ||||||||
923,751 | UMBS, Pool # ZT0657, 6.00%, due 07/01/40 | 1,063,111 | ||||||||
1,256,624 | UMBS, Pool # ZT2088, 4.50%, due 06/01/49 | 1,324,419 | ||||||||
2,270,098 | UMBS, Pool # ZT2100, 3.00%, due 04/01/47 | 2,325,874 | ||||||||
|
| |||||||||
196,132,334 | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
76
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
Municipal Obligations — 0.8% | ||||||||||
60,000 | Alabama Economic Settlement Authority, 4.26%, due 09/15/32 | 68,301 | ||||||||
165,000 | Bay Area Toll Authority, 2.57%, due 04/01/31 | 167,112 | ||||||||
300,000 | Bay Area Toll Authority, 6.26%, due 04/01/49 | 469,398 | ||||||||
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14# | 127,323 | ||||||||
363,000 | Municipal Electric Authority of Georgia, 6.64%, due 04/01/57 | 501,681 | ||||||||
2,049,000 | New Jersey Economic Development Authority, 2.14%, due 02/15/20‡‡ | 2,032,629 | ||||||||
1,000,000 | State of California General Obligation, 7.55%, due 04/01/39 | 1,656,500 | ||||||||
695,000 | State of Illinois, General Obligation, 5.00%, due 11/01/22 | 748,515 | ||||||||
105,000 | University of Virginia, 4.18%, due 09/01/17# | 131,721 | ||||||||
|
| |||||||||
5,903,180 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 0.8% | ||||||||||
135,000 | Colombia Government International Bond, 7.38%, due 09/18/37 | 192,545 | ||||||||
215,000 | Export-Import Bank of India, 3.88%, due 02/01/28‡ 144A | 227,355 | ||||||||
600,000 | Hashemite Kingdom of Jordan Government AID Bond, 3.00%, due 06/30/25 | 640,511 | ||||||||
200,000 | Indonesia Government International Bond, 4.45%, due 02/11/24 | 214,510 | ||||||||
220,000 | Indonesia Government International Bond, 5.88%, due 01/15/24 144A | 248,002 | ||||||||
200,000 | Japan Bank for International Cooperation, 3.38%, due 10/31/23 | 211,569 | ||||||||
200,000 | Japan Finance Organization for Municipalities, 1.75%, due 09/05/24 144A | 198,174 | ||||||||
200,000 | Panama Government International Bond, 4.00%, due 09/22/24 | 213,900 | ||||||||
250,000 | Province of Alberta Canada, 3.30%, due 03/15/28 | 275,359 | ||||||||
100,000 | Province of Manitoba Canada, 2.13%, due 06/22/26 | 101,354 | ||||||||
70,000 | Province of Ontario Canada, 3.40%, due 10/17/23 | 74,406 | ||||||||
220,000 | Province of Quebec Canada, 2.75%, due 04/12/27 | 232,963 | ||||||||
246,000 | Qatar Government International Bond, 3.38%, due 03/14/24 144A | 257,839 | ||||||||
520,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 665,886 | ||||||||
235,000 | Saudi Government International Bond, 4.00%, due 04/17/25 144A | 252,176 | ||||||||
445,000 | Saudi Government International Bond, 4.38%, due 04/16/29 144A | 500,487 | ||||||||
400,000 | Tokyo Metropolitan Government, 2.50%, due 06/08/22 144A | 405,320 | ||||||||
300,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 307,638 | ||||||||
295,000 | Uruguay Government International Bond, 4.98%, due 04/20/55 | 345,150 | ||||||||
90,000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 107,438 | ||||||||
|
| |||||||||
5,672,582 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 13.1% | ||||||||||
270,000 | FNMA, 2.38%, due 01/19/23 | 276,798 | ||||||||
315,000 | FNMA, 2.50%, due 02/05/24 | 327,011 | ||||||||
310,000 | FNMA, 6.63%, due 11/15/30*** ***** | 454,373 | ||||||||
25,000 | Tennessee Valley Authority, 7.13%, due 05/01/30 | 36,982 | ||||||||
593,000 | U.S. Treasury Bond, 2.25%, due 08/15/49 | 610,014 | ||||||||
4,360,000 | U.S. Treasury Bond, 2.75%, due 11/15/42 | 4,894,100 | ||||||||
413,000 | U.S. Treasury Bond, 2.75%, due 11/15/47 | 467,876 | ||||||||
9,599,000 | U.S. Treasury Bond, 2.88%, due 05/15/49 | 11,197,458 | ||||||||
1,630,000 | U.S. Treasury Bond, 3.00%, due 05/15/45 | 1,919,580 | ||||||||
5,135,000 | U.S. Treasury Bond, 3.00%, due 02/15/47 | 6,088,485 | ||||||||
9,673,000 | U.S. Treasury Bond, 3.00%, due 08/15/48 | 11,505,769 | ||||||||
1,679,000 | U.S. Treasury Bond, 3.50%, due 02/15/39 | 2,103,833 | ||||||||
3,175,000 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 4,095,812 | ||||||||
3,310,000 | U.S. Treasury Bond, 3.75%, due 11/15/43 | 4,354,913 |
See accompanying Notes to the Financial Statements.
77
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — continued | ||||||||||
9,135,000 | U.S. Treasury Bond, 4.50%, due 05/15/38 | 12,879,101 | ||||||||
1,463,126 | U.S. Treasury Inflation Indexed Bond, 0.88%, due 01/15/29 | 1,552,779 | ||||||||
3,890,000 | U.S. Treasury Note, 1.25%, due 08/31/24 | 3,835,981 | ||||||||
955,000 | U.S. Treasury Note, 1.50%, due 08/31/21 | 952,314 | ||||||||
275,000 | U.S. Treasury Note, 1.50%, due 09/15/22 | 274,511 | ||||||||
1,420,000 | U.S. Treasury Note, 1.50%, due 09/30/24 | 1,416,589 | ||||||||
560,000 | U.S. Treasury Note, 1.63%, due 09/30/26 | 560,186 | ||||||||
7,097,000 | U.S. Treasury Note, 1.63%, due 08/15/29 | 7,065,119 | ||||||||
11,395,000 | U.S. Treasury Note, 1.75%, due 06/30/24 | 11,493,148 | ||||||||
1,010,000 | U.S. Treasury Note, 2.63%, due 02/15/29 | 1,093,305 | ||||||||
2,006,000 | U.S. Treasury Note, 2.75%, due 09/15/21 | 2,049,215 | ||||||||
3,000,000 | U.S. Treasury STRIPS, 2.41%, due 05/15/37***** ‡‡ | 2,101,026 | ||||||||
|
| |||||||||
93,606,278 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $698,483,669) | 715,961,357 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 0.6% |
| |||||||||
Mutual Fund - Securities Lending Collateral — 0.6% | ||||||||||
4,091,940 | State Street Institutional U.S. Government Money Market Fund, | 4,091,940 | ||||||||
|
| |||||||||
TOTAL MUTUAL FUND - SECURITIES LENDING COLLATERAL (COST $4,091,940) | 4,091,940 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS BEFORE TBASALE COMMITMENTS — 100.4% (Cost $702,575,609) | 720,053,297 | |||||||||
|
| |||||||||
TBA Sale Commitments — (0.6)% | ||||||||||
(1,500,000 | ) | UMBS TBA, 3.00%, due 10/10/49 | (1,522,617 | ) | ||||||
(1,000,000 | ) | UMBS TBA, 3.50%, due 10/10/49 | (1,025,782 | ) | ||||||
(1,500,000 | ) | UMBS TBA, 4.00%, due 10/10/49 | (1,556,543 | ) | ||||||
|
| |||||||||
(4,104,942 | ) | |||||||||
|
| |||||||||
TOTAL TBA SALE COMMITMENTS (PROCEEDS $4,105,039) | (4,104,942 | ) | ||||||||
|
| |||||||||
TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 99.8% (Cost $698,470,570) | 715,948,355 | |||||||||
Other Assets and Liabilities (net) — 0.2% | 1,172,903 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $717,121,258 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ACES — Alternative Credit Enhancement Securities | ||||||||||
CLO — Collateralized Loan Obligation | ||||||||||
CMT — Constant Maturing Treasury Rate | ||||||||||
FHLMC — Federal Home Loan Mortgage Corporation | ||||||||||
FNMA — Federal National Mortgage Association |
See accompanying Notes to the Financial Statements.
78
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
GNMA — Government National Mortgage Association | ||||||||
IO — Interest Only | ||||||||
MTN — Medium Term Note | ||||||||
REIT — Real Estate Investment Trust | ||||||||
REMIC — Real Estate Mortgage Investment Conduit | ||||||||
SOFR — Secured Overnight Financing Rate | ||||||||
STRIPS — Separate Trading of Registered Interest and Principal of Securities | ||||||||
TBA — To Be Announced | ||||||||
UMBS — Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA | ||||||||
# | Year of maturity is greater than 2100. | |||||||
## | The rate disclosed is the 7 day net yield as of September 30, 2019. | |||||||
* | Non-income producing security | |||||||
** | Represents an investment of securities lending cash collateral. | |||||||
*** | All or a portion of this security is pledged for open futures collateral. | |||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $572 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2019 was $1,565,555. | |||||||
***** | All or a portion of this security is pledged for open centrally cleared swaps collateral. | |||||||
^ | Level 3 — significant unobservable inputs were used in determining the value of this portfolio security. | |||||||
◆◆ | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. | |||||||
† | Variable or floating rate note. Rate shown is as of September 30, 2019. | |||||||
†† | 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. | |||||||
‡‡‡‡ | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of period end, the market value of restricted securities was $187,542, which is 0.0% of net assets. See details shown in the Restricted Securities table that follows. |
See accompanying Notes to the Financial Statements.
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Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||||
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $149,681,719 which represents 20.9% of net assets. |
See accompanying Notes to the Financial Statements.
80
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
At September 30, 2019, the Fund held the following restricted securities:
Restricted Securities | Acquistion Date | Principal Amount | Cost | Value | |||||||||||||||||||||
Credit Suisse Mortgage Trust, Series2018-11R, Class 1A1, 3.42% (1 mo. USD LIBOR plus 1.40%), due 08/25/37 | 11/28/18 | USD | 167,972 | $ | 167,972 | $ | 178,857 | ||||||||||||||||||
Stearns Holdings LLC, 9.38%, due 08/15/20 | 08/09/16 | USD | 18,000 | 17,736 | 8,685 | ||||||||||||||||||||
|
| ||||||||||||||||||||||||
$ | 187,542 | ||||||||||||||||||||||||
|
|
Forward Foreign Currency Contracts
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
EUR | 303,357 | USD | 330,756 | 10/02/19 | JPMorgan Chase Bank N.A. | $ | (36 | ) | ||||||||||||
USD | 335,882 | EUR | 303,357 | 10/02/19 | JPMorgan Chase Bank N.A. | 5,162 | ||||||||||||||
USD | 331,579 | EUR | 303,357 | 11/04/19 | JPMorgan Chase Bank N.A. | 42 | ||||||||||||||
|
| |||||||||||||||||||
$ | 5,168 | |||||||||||||||||||
|
|
Currency Abbreviations
EUR | — Euro |
USD | — U.S. Dollar |
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
190 | U.S. Treasury Note 10-Year | Dec 2019 | $ | 24,759,375 | $ | (211,240 | ) | |||||||||||||
319 | U.S. Treasury Note5-Year | Dec 2019 | 38,008,352 | (123,613 | ) | |||||||||||||||
82 | U.S. Ultra Bond | Dec 2019 | 15,736,312 | 255,382 | ||||||||||||||||
|
| |||||||||||||||||||
$ | (79,471 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
58 | Euro Dollar 90 Day | Dec 2020 | $ | 14,286,125 | $ | 15,507 | ||||||||||||||
220 | U.S. Treasury Note2-Year | Dec 2019 | 47,410,000 | (28,572 | ) | |||||||||||||||
22 | U.S. Treasury Note10-Year | Dec 2019 | 3,132,937 | 24,408 | ||||||||||||||||
55 | U.S. Long Bond | Dec 2019 | 8,927,188 | 123,120 | ||||||||||||||||
1 | Euro-Bund | Dec 2019 | 189,967 | 2,114 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 136,577 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
81
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Centrally Cleared Interest Rate Swaps
Payments | Payments | Maturity Date | Upfront Premiums Paid (Received) | Notional | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
12-Month USD LIBOR | 1.90% | 02/15/27 | $ | 797 | USD | 390,000 | $ | (17,179 | ) | $ | (17,976 | ) | ||||||||||
3-Month USD LIBOR | 3.11% | 07/31/25 | 340 | USD | 2,709,000 | (242,935 | ) | (243,275 | ) | |||||||||||||
3-Month USD LIBOR | 3.00% | 05/31/25 | 50 | USD | 120,000 | (9,750 | ) | (9,800 | ) | |||||||||||||
3-Month USD LIBOR | 2.84% | 08/15/28 | (3,212 | ) | USD | 1,662,000 | (178,661 | ) | (175,449 | ) | ||||||||||||
3-Month USD LIBOR | 2.66% | 11/15/43 | 103 | USD | 145,000 | (27,753 | ) | (27,856 | ) | |||||||||||||
3-Month USD LIBOR | 2.33% | 11/15/24 | 12,962 | USD | 3,810,000 | (155,144 | ) | (168,106 | ) | |||||||||||||
3-Month USD LIBOR | 2.29% | 05/15/27 | 101 | USD | 130,000 | (7,238 | ) | (7,339 | ) | |||||||||||||
3-Month USD LIBOR | 2.21% | 01/08/26 | — | USD | 7,920,000 | (333,306 | ) | (333,306 | ) | |||||||||||||
3-Month USD LIBOR | 2.18% | 08/15/24 | 1,488 | USD | 385,000 | (12,056 | ) | (13,544 | ) | |||||||||||||
3-Month USD LIBOR | 2.17% | 08/15/24 | 10,977 | USD | 7,885,000 | (244,833 | ) | (255,810 | ) | |||||||||||||
3-Month USD LIBOR | 1.88% | 04/30/26 | (391 | ) | USD | 125,000 | (2,894 | ) | (2,503 | ) | ||||||||||||
1.52% | 3-Month USD LIBOR | 02/29/24 | 105 | USD | 1,170,000 | 2,515 | 2,410 | |||||||||||||||
1.60% | 3-Month USD LIBOR | 09/15/21 | 163 | USD | 27,570,000 | 25,300 | 25,137 | |||||||||||||||
1.83% | 3-Month USD LIBOR | 06/15/21 | 144 | USD | 19,282,000 | 52,184 | 52,040 | |||||||||||||||
Overnight Federal Funds Effective Rate (0M) | 1.82% | 02/15/27 | 20,041 | USD | 1,447,000 | (56,032 | ) | (76,073 | ) | |||||||||||||
Overnight Federal Funds Effective Rate (12M) | 2.58% | 08/15/28 | (123,603 | ) | USD | 6,783,600 | (725,258 | ) | (601,655 | ) | ||||||||||||
Overnight Federal Funds Effective Rate (12M) | 2.41% | 02/12/25 | 117 | USD | 2,295,000 | (138,323 | ) | (138,440 | ) | |||||||||||||
Overnight Federal Funds Effective Rate (12M) | 2.27% | 01/31/26 | (3,617 | ) | USD | 488,000 | (30,190 | ) | (26,573 | ) | ||||||||||||
Overnight Federal Funds Effective Rate (12M) | 2.07% | 02/15/27 | (336 | ) | USD | 920,000 | (51,548 | ) | (51,212 | ) | ||||||||||||
Overnight Federal Funds Effective Rate (12M) | 1.96% | 02/15/27 | 102 | USD | 265,000 | (12,912 | ) | (13,014 | ) | |||||||||||||
Overnight Federal Funds Effective Rate (12M) | 1.95% | 03/29/24 | 124 | USD | 4,490,000 | (137,132 | ) | (137,256 | ) | |||||||||||||
Overnight Federal Funds Effective Rate (12M) | 1.51% | 08/09/49 | 110 | USD | 580,000 | (2,168 | ) | (2,278 | ) | |||||||||||||
2.17% | Overnight Federal Funds Effective Rate (12M) | 03/31/21 | (255 | ) | USD | �� | 1,726,000 | 19,517 | 19,772 | |||||||||||||
|
| |||||||||||||||||||||
$ | (2,202,106 | ) | ||||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
82
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 99.8 | ||||
Futures Contracts | 0.0 | * | |||
Forward Foreign Currency Contracts | 0.0 | * | |||
Swaps | (0.3 | ) | |||
TBA Sale Commitments | (0.6 | ) | |||
Short-Term Investments | 0.6 | ||||
Other Assets and Liabilities (net) | 0.5 | ||||
|
| ||||
100.0 | % | ||||
|
|
* | Amount rounds to zero. |
See accompanying Notes to the Financial Statements.
83
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 93.9% |
| |||||||||
Asset Backed Securities — 3.2% | ||||||||||
1,090,000 | Aegis Asset Backed Securities Trust, Series2005-5, Class M1, 2.45% (1 mo. USD LIBOR plus 0.43%), due 12/25/35† | 1,064,958 | ||||||||
250,000 | AMMC CLO, Ltd., Series2017-20A, Class D, 5.70% (3 mo. USD LIBOR plus 3.40%), due 04/17/29† 144A | 248,530 | ||||||||
965,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series2019-1A, Class A2I, 4.19%, due 06/07/49 144A | 988,266 | ||||||||
1,290,000 | Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC,Series 2006-HE5, Class M1, 2.30% (1 mo. USD LIBOR plus 0.28%), due 07/25/36† | 1,110,515 | ||||||||
818,246 | Asset Backed Securities Corp. Home Equity Loan Trust Series RFC, Series2007-HE1, Class A4, 2.16% (1 mo. USD LIBOR plus 0.14%), due 12/25/36† | 796,498 | ||||||||
660,000 | Avery Point VI CLO, Ltd., Series2015-6A, Class DR, 5.24% (3 mo. USD LIBOR plus 2.95%), due 08/05/27† 144A | 648,596 | ||||||||
250,000 | Benefit Street Partners CLO IV, Ltd., Series2014-IVA, Class CRR, 6.08% (3 mo. USD LIBOR plus 3.80%), due 01/20/29† 144A | 248,630 | ||||||||
250,000 | BlueMountain CLO, Ltd., Series2012-2A, Class AR2, 3.19% (3 mo. USD LIBOR plus 1.05%), due 11/20/28† 144A | 250,133 | ||||||||
790,000 | BMW Vehicle Lease Trust, Series2018-1, Class A3, 3.26%, due 07/20/21 | 799,283 | ||||||||
385,000 | California Republic Auto Receivables Trust, Series2018-1, Class C, 3.87%, due 10/16/23 | 397,200 | ||||||||
250,000 | California Street CLO IX, LP, Series2012-9A, Class AR2, 3.60% (3 mo. USD LIBOR plus 1.32%), due 07/16/32† 144A | 250,246 | ||||||||
660,000 | Carlyle Global Market Strategies CLO, Ltd., Series2014-2RA, Class A1, 3.21% (3 mo. USD LIBOR plus 1.05%), due 05/15/31† 144A | 656,507 | ||||||||
600,000 | Catskill Park CLO, Ltd., Series2017-1A, Class D, 8.28% (3 mo. USD LIBOR plus 6.00%), due 04/20/29† 144A | 570,558 | ||||||||
200,000 | CCG Receivables Trust, Series2018-1, Class C, 3.42%, due 06/16/25 144A | 202,815 | ||||||||
330,000 | Cent CLO, Ltd., Series2015-24A, Class CR, 5.45% (3 mo. USD LIBOR plus 3.15%), due 10/15/26† 144A | 329,645 | ||||||||
606,050 | Coinstar Funding LLC, Series2017-1A, Class A2, 5.22%, due 04/25/47 144A | 624,845 | ||||||||
250,000 | Cumberland Park CLO, Ltd., Series2015-2A, Class ER, 7.93% (3 mo. USD LIBOR plus 5.65%), due 07/20/28† 144A | 241,436 | ||||||||
276,373 | Diamond Resorts Owner Trust, Series2018-1, Class C, 4.53%, due 01/21/31 144A | 282,988 | ||||||||
305,000 | Driven Brands Funding LLC, Series2019-2A, Class A2, 3.98%, due 10/20/49 144A | 308,324 | ||||||||
650,000 | DT Auto Owner Trust, Series2018-2A, Class D, 4.15%, due 03/15/24 144A | 670,174 | ||||||||
793,025 | Falcon Aerospace, Ltd., Series2017-1, Class A, 4.58%, due 02/15/42 144A | 808,375 | ||||||||
225,000 | First Investors Auto Owner Trust, Series2016-2A, Class D, 3.35%, due 11/15/22 144A | 227,514 | ||||||||
260,000 | Flatiron CLO, Ltd., Series2017-1A, Class A, 3.41% (3 mo. USD LIBOR plus 1.25%), due 05/15/30† 144A | 260,162 | ||||||||
250,000 | Greywolf CLO IV, Ltd., Series2019-1A, Class C, 6.25% (3 mo. USD LIBOR plus 3.95%), due 04/17/30† 144A | 250,098 | ||||||||
451,094 | GSAA Home Equity Trust, Series2007-7, Class A4, 2.29% (1 mo. USD LIBOR plus 0.27%), due 07/25/37† | 441,847 | ||||||||
499,932 | Invitation Homes Trust, Series 2018-SFR1, Class E, 4.02% (1 mo. USD LIBOR plus 2.00%), due 03/17/37† 144A | 500,729 | ||||||||
1,190,000 | Jack In The Box Funding LLC, Series2019-1A, Class A21, 3.98%, due 08/25/49 144A | 1,211,598 | ||||||||
383,046 | KeyCorp Student Loan Trust, Series2005-A, Class 2C, 3.40% (3 mo. USD LIBOR plus 1.30%), due 12/27/38† | 369,822 |
See accompanying Notes to the Financial Statements.
84
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
250,000 | KKR CLO, Ltd., Series 11, Class AR, 3.48% (3 mo. USD LIBOR plus 1.18%), due 01/15/31† 144A | 249,466 | ||||||||
250,000 | LCM CLO XXII, Ltd., Series 22A, Class DR, 7.78% (3 mo. USD LIBOR plus 5.50%), due 10/20/28† 144A | 222,947 | ||||||||
341,789 | Legacy Mortgage Asset Trust, Series2019-GS1, Class A1, 4.00%, due 01/25/59†† 144A | 346,832 | ||||||||
670,000 | Madison Park Funding CLO XXI, Ltd., Series2016-21A, Class A1, 3.81% (3 mo. USD LIBOR plus 1.53%), due 07/25/29† 144A | 672,413 | ||||||||
360,000 | Madison Park Funding CLO XXVI, Ltd., Series2007-4A, Class AR, 3.46% (3 mo. USD LIBOR plus 1.20%), due 07/29/30† 144A | 360,080 | ||||||||
222,750 | MAPS, Ltd., Series2018-1A, Class A, 4.21%, due 05/15/43 144A | 228,686 | ||||||||
222,750 | MAPS, Ltd., Series2018-1A, Class B, 5.19%, due 05/15/43 144A | 228,607 | ||||||||
1,361,263 | Mill City Solar Loan, Ltd., Series2019-1A, Class A, 4.34%, due 03/20/43 144A | 1,401,531 | ||||||||
575,000 | Navient Private Education Refi Loan Trust, Series2018-CA, Class B, 4.22%, due 06/16/42 144A | 619,020 | ||||||||
250,000 | Neuberger Berman CLO XVII, Ltd., Series2014-17A, Class ER, 8.83% (3 mo. USD LIBOR plus 6.55%), due 04/22/29† 144A | 234,482 | ||||||||
500,000 | Oaktree CLO, Ltd., Series2015-1A, Class DR, 7.48% (3 mo. USD LIBOR plus 5.20%), due 10/20/27† 144A | 484,881 | ||||||||
250,000 | Oaktree CLO, Ltd., Series2019-1A, Class D, 6.08% (3 mo. USD LIBOR plus 3.80%), due 04/22/30† 144A | 246,564 | ||||||||
250,000 | Octagon Investment Partners CLO XXIII, Ltd., Series2015-1A, Class ER, 8.05% (3 mo. USD LIBOR plus 5.75%), due 07/15/27† 144A | 245,231 | ||||||||
280,000 | OneMain Financial Issuance Trust, Series2018-1A, Class D, 4.08%, due 03/14/29 144A | 285,725 | ||||||||
530,000 | OZLM VII CLO, Ltd., Series2014-7RA, Class CR, 5.30% (3 mo. USD LIBOR plus 3.00%), due 07/17/29† 144A | 507,625 | ||||||||
750,000 | OZLM XII CLO, Ltd., Series2015-12A, Class CR, 5.27% (3 mo. USD LIBOR plus 3.00%), due 04/30/27† 144A | 703,339 | ||||||||
707,850 | Planet Fitness Master Issuer LLC, Series2018-1A, Class A2II, 4.67%, due 09/05/48 144A | 743,062 | ||||||||
250,000 | PPM CLO 3 Ltd, Series2019-3A, Class A, 3.87% (3 mo. USD LIBOR plus 1.40%), due 07/17/30† 144A | 250,094 | ||||||||
180,000 | Saranac CLO III, Ltd., Series2014-3A, Class DR, 5.41% (3 mo. USD LIBOR plus 3.25%), due 06/22/30† 144A | 172,422 | ||||||||
272,000 | SLM Private Credit Student Loan Trust, Series2003-A, Class A3, 4.28% (28 day ARS), due 06/15/32† | 272,022 | ||||||||
117,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A3, 4.30% (28 day ARS), due 03/15/33† | 116,875 | ||||||||
360,000 | Sound Point CLO XXIII, Series2019-2A, Class A1, 3.88% (3 mo. USD LIBOR plus 1.40%), due 04/15/32† 144A | 360,534 | ||||||||
750,000 | THL Credit Wind River CLO, Ltd., Series2016-1A, Class ER, 7.85% (3 mo. USD LIBOR plus 5.55%), due 07/15/28† 144A | 715,003 | ||||||||
340,000 | Venture CLO, Ltd., Series2018-31A, Class A1, 3.31% (3 mo. USD LIBOR plus 1.03%), due 04/20/31† 144A | 335,997 | ||||||||
500,000 | Voya CLO, Ltd., Series2015-2A, Class ER, 7.66% (3 mo. USD LIBOR plus 5.40%), due 07/23/27† 144A | 476,242 | ||||||||
214,463 | Wendy’s Funding LLC, Series2019-1A, Class A2I, 3.78%, due 06/15/49 144A | 219,586 | ||||||||
260,000 | Westlake Automobile Receivables Trust, Series2018-3A, Class D, 4.00%, due 10/16/23 144A | 267,282 |
See accompanying Notes to the Financial Statements.
85
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
410,000 | Whitehorse CLO XII, Ltd., Series2018-12A, Class D, 5.95% (3 mo. USD LIBOR plus 3.65%), due 10/15/3† 144A | 401,807 | ||||||||
|
| |||||||||
26,128,647 | ||||||||||
|
| |||||||||
Bank Loans — 5.9% | ||||||||||
768,219 | 1011778 B.C. Unlimited Liability Co., Term Loan B3, 4.29% (1 mo. USD LIBOR plus 2.25%), due 02/16/24† | 771,657 | ||||||||
150,926 | Advanced Drainage Systems, Inc., Term Loan B, TBD, due 09/19/26### | 151,775 | ||||||||
503,577 | Albany Molecular Research, Inc., 2017 1st Lien Term Loan, 5.29% (1 mo. USD LIBOR plus 3.25%), due 08/30/24† | 496,023 | ||||||||
724,881 | Albertsons, LLC, 2019 Term Loan B8, 4.79% (1 mo. USD LIBOR plus 2.75%), due 08/17/26† | 730,183 | ||||||||
345,766 | Allied Universal Holdco LLC, 2019 Term Loan B, 6.51% (3 mo. USD LIBOR plus 4.25%), due 07/10/26† | 346,702 | ||||||||
396,970 | Alterra Mountain Company, Term Loan B1, 5.04% (1 mo. USD LIBOR plus 3.00%), due 07/31/24† | 397,962 | ||||||||
104,689 | American Axle & Manufacturing, Inc., Term Loan B, 4.27% (1 mo. USD LIBOR plus 2.25%), due 04/06/24† | 102,800 | ||||||||
108,074 | American Axle & Manufacturing, Inc., Term Loan B, 4.53% (3 mo. USD LIBOR plus 2.25%), due 04/06/24† | 106,125 | ||||||||
1,035,000 | APi Group DE, Inc., Term Loan B, TBD, due 09/25/26### | 1,040,175 | ||||||||
258,697 | AppLovin Corp., 2018 Term Loan B, 5.79% (1 mo. USD LIBOR plus 3.75%), due 08/15/25† | 258,912 | ||||||||
9,060 | Asurion LLC, 2017 Term Loan B4, 5.04% (1 mo. USD LIBOR plus 3.00%), due 08/04/22† | 9,096 | ||||||||
1,380,988 | Asurion LLC, 2018 Term Loan B6, 5.04% (1 mo. USD LIBOR plus 3.00%), due 11/03/23† | 1,387,749 | ||||||||
416,884 | Asurion LLC, 2018 Term Loan B7, 5.04% (1 mo. USD LIBOR plus 3.00%), due 11/03/24† | 418,708 | ||||||||
417,900 | Athenahealth, Inc., 2019 Term Loan B, 6.68% (3 mo. USD LIBOR plus 4.50%), due 02/11/26† | 416,246 | ||||||||
505,972 | Avolon TLB Borrower 1 (US) LLC, Term Loan B3, 3.79% (1 mo. USD LIBOR plus 1.75%), due 01/15/25† | 508,755 | ||||||||
357,266 | Bass Pro Group, LLC, Term Loan B, 7.04% (1 mo. USD LIBOR plus 5.00%), due 09/25/24† | 344,817 | ||||||||
915,214 | Bausch Health Companies Inc., 2018 Term Loan B, 5.04% (1 mo. USD LIBOR plus 3.00%), due 06/02/25 | 919,954 | ||||||||
330,000 | Berry Global, Inc., Term Loan Q, 4.30% (1 mo. USD LIBOR plus 2.25%), due 10/01/22† | 331,840 | ||||||||
465,642 | Boyd Gaming Corp., Term Loan B3, 4.17% (1 wk. USD LIBOR plus 2.25%), due 09/15/23† | 467,711 | ||||||||
207,375 | BrightView Landscapes, LLC, 2018 1st Lien Term Loan B, 4.56% (1 mo. USD LIBOR plus 2.5%), due 08/15/25† | 208,412 | ||||||||
503,593 | Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 4.79% (1 mo. USD LIBOR plus 2.75%), due 12/22/24† | 500,940 | ||||||||
511,663 | Camelot UK Holdco, Ltd., 2017 Repriced Term Loan, 5.29% (1 mo. USD LIBOR plus 3.25%), due 10/03/23† | 515,421 | ||||||||
504,674 | CEC Entertainment, Inc., 2019 Term Loan B, 8.54% (1 mo. USD LIBOR plus 6.50%), due 08/30/26† | 495,290 |
See accompanying Notes to the Financial Statements.
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Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
1,098,240 | Change Healthcare Holdings LLC, 2017 Term Loan B, 4.54% (1 mo. USD LIBOR plus 2.50%), due 03/01/24† | 1,094,378 | ||||||||
29,847 | CityCenter Holdings, LLC, 2017 Term Loan B, 4.29% (1 mo. USD LIBOR plus 2.25%), due 04/18/24† | 29,954 | ||||||||
1,524,219 | Clear Channel Outdoor Holdings, Inc., Term Loan B, 5.54% (1 mo. USD LIBOR plus 3.50%), due 08/21/26† | 1,530,752 | ||||||||
660,000 | CommScope, Inc., 2019 Term Loan B, 5.29% (1 mo. USD LIBOR plus 3.25%), due 04/06/26† | 658,894 | ||||||||
900,000 | Crown Finance US, Inc., 2019 Incremental Term Loan, TBD, due 09/20/26### | 897,975 | ||||||||
120,000 | Del Frisco’s Restaurant Group, Inc., 2019 Bridge Term Loan, TBD, due 12/31/19### | 120,000 | ||||||||
486,935 | Dell International LLC, 2019 Term Loan B, 4.05% (1 mo. USD LIBOR plus 2.00%), due 09/19/25† | 489,978 | ||||||||
479,503 | Diamond Sports Group, LLC, Term Loan, 5.30% (1 mo. USD LIBOR plus 3.25%), due 08/24/26† | 482,724 | ||||||||
380,000 | DigiCert, Inc., 2019 Term Loan B, TBD, due 08/31/26### | 379,446 | ||||||||
417,827 | DigiCert, Inc., 2017 Term Loan B1, 6.04% (1 mo. USD LIBOR plus 4.00%), due 10/31/24† | 418,263 | ||||||||
99,499 | Edelman Financial Center, LLC, 2018 1st Lien Term Loan, 5.31% (1 mo. USD LIBOR plus 3.25%), due 07/21/25† | 99,792 | ||||||||
29,850 | First Eagle Investment Management, LLC, 2018 Term Loan B, 4.85% (3 mo. USD LIBOR plus 2.75%), due 12/26/24† | 29,934 | ||||||||
997,183 | Four Seasons Hotels, Ltd., New 1st Lien Term Loan, 4.04% (1 mo. USD LIBOR plus 2.00%), due 11/30/23† | 1,003,059 | ||||||||
1,634,128 | Frontier Communications Corp., 2017 Term Loan B1, 5.80% (1 mo. USD LIBOR plus 3.75%), due 06/15/24† | 1,634,638 | ||||||||
615,267 | Garda World Security Corp., 2017 Term Loan B, 5.63% (3 mo. USD LIBOR plus 3.50%), due 05/24/24† | 616,266 | ||||||||
1,578 | Garda World Security Corp., 2017 Term Loan, 7.50% (PRIME plus 2.50%), due 05/24/24† | 1,581 | ||||||||
849,264 | GFL Environmental Inc., 2018 USD Term Loan B, 5.04% (1 mo. USD LIBOR plus 3.00%), due 05/30/25† | 842,895 | ||||||||
266,629 | Global Business Travel Holdings, Ltd., 2018 Term Loan B, 4.68% (3 mo. USD LIBOR plus 2.50%), due 08/13/25† | 267,962 | ||||||||
278,896 | Global Tel*Link Corp., 2018 1st Lien Term Loan, 6.29% (1 mo. USD LIBOR plus 4.25%), due 11/29/25† | 267,654 | ||||||||
245,794 | GlobalTranz Enterprises, Inc., 2019 Term Loan, 7.06% (1 mo. USD LIBOR plus 5.00%), due 05/15/26† | 235,655 | ||||||||
66,437 | Golden Nugget, Inc., 2017 Incremental Term Loan B, 4.80% (1 mo. USD LIBOR plus 2.75%), due 10/04/23† | 66,395 | ||||||||
53,522 | Golden Nugget, Inc., 2017 Incremental Term Loan B, 4.81% (1 mo. USD LIBOR plus 2.75%), due 10/04/23† | 53,514 | ||||||||
507,236 | GrafTech Finance, Inc., 2018 Term Loan B, 5.54% (1 mo. USD LIBOR plus 3.50%), due 02/12/25† | 494,767 | ||||||||
400,000 | HC Group Holdings II, Inc., Term Loan B, 6.54% (1 mo. USD LIBOR plus 4.50%), due 08/06/26† | 400,500 | ||||||||
217,360 | IAA, Inc., Term Loan B, 4.31% (1 mo. USD LIBOR plus 2.25%), due 06/28/26† | 219,257 | ||||||||
1,178,730 | iHeartCommunications, Inc., Exit Term Loan, 6.10% (1 mo. USD LIBOR plus 4.00%), due 05/01/26† | 1,187,938 | ||||||||
67,307 | iHeartCommunications, Inc., Exit Term Loan, TBD, due 05/01/26### | 67,833 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
130,000 | Intelsat Jackson Holdings SA, 2017 Term Loan B3, 5.80% (1 mo. USD LIBOR plus 3.75%), due 11/27/23† | 130,390 | ||||||||
503,428 | Jaguar Holding Co. II, 2018 Term Loan, 4.54% (1 mo. USD LIBOR plus 2.50%), due 08/18/22† | 504,498 | ||||||||
388,040 | Jane Street Group, LLC, 2018 Term Loan B, 5.04% (1 mo. USD LIBOR plus 3.00%), due 08/25/22† | 388,040 | ||||||||
180,000 | KAR Auction Services, Inc., 2019 Term Loan B6, 4.31% (1 mo. USD LIBOR plus 2.25%), due 09/19/26† | 181,406 | ||||||||
703,680 | Kraton Polymers, LLC, 2018 USD Term Loan, 4.54% (1 mo. USD LIBOR plus 2.50%), due 03/05/25† | 703,504 | ||||||||
510,000 | Level 3 Financing, Inc., 2017 Term Loan B, 4.29% (1 mo. USD LIBOR plus 2.25%), due 02/22/24† | 511,488 | ||||||||
972,594 | Life Time Fitness, Inc., 2017 Term Loan B, 4.87% (3 mo. USD LIBOR plus 2.75%), due 06/10/22† | 974,317 | ||||||||
69,548 | McAfee, LLC, 2018 USD Term Loan B, 5.79% (1 mo. USD LIBOR plus 3.75%), due 09/30/24† | 69,772 | ||||||||
891,973 | Meredith Corp., 2018 Term Loan B, 4.79% (1 mo. USD LIBOR plus 2.75%), due 01/31/25† | 894,442 | ||||||||
190,000 | Meredith Corp., 2018 Term Loan B, TBD, due 01/31/25### | 190,526 | ||||||||
502,723 | MGM Growth Properties Operating Partnership, LP, 2016 Term Loan B, 4.04% (1 mo. USD LIBOR plus 2.00%), due 03/21/25† | 504,530 | ||||||||
277,066 | Michaels Stores, Inc., 2018 Term Loan B, 4.54% (1 mo. USD LIBOR plus 2.50%), due 01/30/23† | 271,179 | ||||||||
99,504 | Michaels Stores, Inc., 2018 Term Loan B, 4.55% (1 mo. USD LIBOR plus 2.50%), due 01/30/23† | 97,389 | ||||||||
1,192,776 | Midas Intermediate Holdco II, LLC, Incremental Term Loan B, 4.85% (3 mo. USD LIBOR plus 2.75%), due 08/18/21† | 1,155,130 | ||||||||
943,322 | MPH Acquisition Holdings LLC, 2016 Term Loan B, 4.85% (3 mo. USD LIBOR plus 2.75%), due 06/07/23† | 900,479 | ||||||||
438,158 | NASCAR Holdings, Inc., Term Loan B, TBD, due 07/27/26### | 441,820 | ||||||||
383,666 | Natgasoline LLC, Term Loan B, 5.81% (3 mo. USD LIBOR plus 3.50%), due 11/14/25† | 384,145 | ||||||||
250,000 | Nexstar Broadcasting, Inc., 2019 Term Loan B4, 4.81% (3 mo. USD LIBOR plus 2.75%), due 09/18/26† | 251,537 | ||||||||
340,000 | Panther BF Aggregator 2, LP, USD Term Loan B, 5.54% (1 mo. USD LIBOR plus 3.50%), due 04/30/26† | 338,158 | ||||||||
184,991 | Phoenix Guarantor, Inc., Term Loan B, 6.57% (1 mo. USD LIBOR plus 4.50%), due 03/05/26† | 185,627 | ||||||||
296,632 | Post Holdings, Inc., 2017 Series A Incremental Term Loan, 4.04% (1 mo. USD LIBOR plus 2.00%), due 05/24/24† | 297,814 | ||||||||
441,485 | Prime Security Services Borrower, LLC, 2019 Term Loan B1, 5.21% (1 wk. USD LIBOR plus 3.25%), due 09/23/26† | 436,991 | ||||||||
836,613 | Prime Security Services Borrower, LLC, 2019 Term Loan B1, TBD, due 09/23/26### | 828,097 | ||||||||
564,728 | Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.79% (1 mo. USD LIBOR plus 2.75%), due 11/15/23† | 563,022 | ||||||||
233,143 | RadNet, Inc., Reprice Term Loan, 5.83% (3 mo. USD LIBOR plus 3.50%), due 06/30/23† | 230,811 | ||||||||
417,895 | RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 6.55% (1 mo. USD LIBOR plus 4.50%), due 11/17/25† | 418,743 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
255,894 | Reynolds Group Holdings, Inc., USD 2017 Term Loan, 4.79% (1 mo. USD LIBOR plus 2.75%), due 02/05/23† | 256,593 | ||||||||
101,861 | Scientific Games International, Inc., 2018 Term Loan B5, 4.79% (1 mo. USD LIBOR plus 2.75%), due 08/14/24† | 101,152 | ||||||||
421,697 | Scientific Games International, Inc., 2018 Term Loan B5, 4.90% (2 mo. USD LIBOR plus 2.75%), due 08/14/24† | 418,760 | ||||||||
338,278 | Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 6.54% (3 mo. USD LIBOR plus 4.50%), due 11/01/24† | 302,971 | ||||||||
890,614 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B, TBD, due 12/31/25### | 877,923 | ||||||||
356,250 | Sedgwick Claims Management Services, Inc., 2019 Term Loan B, TBD, due 09/03/26### | 356,992 | ||||||||
535,000 | Sinclair Television Group Inc., Term Loan B2B, 4.54% (1 mo. USD LIBOR plus 2.50%), due 09/30/26† | 538,177 | ||||||||
366,746 | Sophia, L.P., 2017 Term Loan B, 5.35% (3 mo. USD LIBOR plus 3.25%), due 09/30/22† | 367,242 | ||||||||
817,950 | Staples, Inc., 7 Year Term Loan, 7.12% (3 mo. USD LIBOR plus 5.00%), due 04/16/26† | 807,214 | ||||||||
344,216 | Stars Group Holdings B.V. (The), 2018 USD Incremental Term Loan, 5.60% (3 mo. USD LIBOR plus 3.50%), due 07/10/25† | 346,017 | ||||||||
650,242 | Telenet Financing USD LLC, USD Term Loan AN, 4.28% (1 mo. USD LIBOR plus 2.25%), due 08/15/26† | 651,596 | ||||||||
422,807 | TKC Holdings, Inc., 2017 1st Lien Term Loan, 5.80% (1 mo. USD LIBOR plus 3.75%), due 02/01/23† | 416,376 | ||||||||
419,503 | Trans Union, LLC, Term Loan B3, 4.04% (1 mo. USD LIBOR plus 2.00%), due 04/10/23† | 421,404 | ||||||||
633,175 | TransDigm, Inc., 2018 Term Loan E, 4.54% (3 mo. USD LIBOR plus 2.50%), due 05/30/25† | 631,740 | ||||||||
320,000 | Travelport Finance (Luxembourg) S.a.r.l., 2019 Term Loan, 7.10% (3 mo. USD LIBOR plus 5.00%), due 05/29/26† | 290,500 | ||||||||
410,000 | U.S. Renal Care, Inc., 2019 Term Loan B, 7.06% (1 mo. USD LIBOR plus 5.00%), due 06/26/26† | 389,842 | ||||||||
759,642 | Uber Technologies, 2018 Incremental Term Loan, 5.55% (1 mo. USD LIBOR plus 3.50%), due 07/13/23† | 755,131 | ||||||||
791,551 | Uber Technologies, 2018 Term Loan, 6.03% (1 mo. USD LIBOR plus 4.00%), due 04/04/25† | 788,829 | ||||||||
59,692 | UFC Holdings, LLC, 2019 Term Loan, 5.30% (1 mo. USD LIBOR plus 3.25%), due 04/29/26† | 59,978 | ||||||||
420,000 | Ultimate Software Group Inc(The), Term Loan B, 5.79% (1 mo. USD LIBOR plus 3.75%), due 05/04/26† | 422,678 | ||||||||
10,000 | VFH Parent LLC, 2019 Term Loan B, TBD, due 03/01/26### | 10,032 | ||||||||
510,000 | VICI Properties 1 LLC, Replacement Term Loan B, 4.05% (1 mo. USD LIBOR plus 2.00%), due 12/20/24† | 511,983 | ||||||||
420,000 | Virgin Media Bristol LLC, USD Term Loan K, 4.53% (1 mo. USD LIBOR plus 2.50%), due 01/15/26† | 420,591 | ||||||||
1,039,643 | Wall Street Systems Delaware, Inc., 2017 Term Loan B, 5.04% (1 mo. USD LIBOR plus 3.00%), due 11/21/24† | 1,037,044 | ||||||||
138,939 | Wink Holdco, Inc., 1st Lien Term Loan B, 5.04% (1 mo. USD LIBOR plus 3.00%), due 12/02/24† | 136,899 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Bank Loans — continued | ||||||||||
260,000 | WP CityMD Bidco LLC, 2019 Term Loan B, 6.60% (3 mo. USD LIBOR plus 4.50%), due 08/13/26† | 257,833 | ||||||||
985,000 | Ziggo Secured Finance Partnership, USD Term Loan E, 4.53% (1 mo. USD LIBOR plus 2.50%), due 04/15/25† | 984,384 | ||||||||
|
| |||||||||
48,932,993 | ||||||||||
|
| |||||||||
Convertible Debt — 0.3% | ||||||||||
230,000 | Cheniere Energy, Inc., 4.25%, due 03/15/45 | 178,538 | ||||||||
550,000 | DISH Network Corp., 3.38%, due 08/15/26 | 505,288 | ||||||||
560,000 | Liberty Media Corp., 2.13%, due 03/31/48 144A | 575,400 | ||||||||
160,000 | Okta, Inc., 0.13%, due 09/01/25 144A | 145,465 | ||||||||
450,000 | Teva Pharmaceutical Finance Co. LLC, 0.25%, due 02/01/26 | 409,702 | ||||||||
490,000 | Vishay Intertechnology, Inc., 2.25%, due 06/15/25 | 459,277 | ||||||||
130,000 | Zillow Group, Inc., 0.75%, due 09/01/24 144A | 124,808 | ||||||||
130,000 | Zillow Group, Inc., 1.38%, due 09/01/26 144A | 122,022 | ||||||||
|
| |||||||||
2,520,500 | ||||||||||
|
| |||||||||
Corporate Debt — 30.2% | ||||||||||
90,000 | 1011778 BC ULC/New Red Finance, Inc., 3.88%, due 01/15/28 144A | 90,797 | ||||||||
400,000 | 1011778 BC ULC/New Red Finance, Inc., 4.25%, due 05/15/24 144A | 412,640 | ||||||||
1,000,000 | 1MDB Global Investments, Ltd., Reg S, 4.40%, due 03/09/23‡‡‡ | 957,988 | ||||||||
490,000 | ABN AMRO Bank NV, 4.75%, due 07/28/25 144A | 528,578 | ||||||||
770,000 | Abu Dhabi Crude Oil Pipeline LLC, 3.65%, due 11/02/29 144A | 837,067 | ||||||||
895,000 | Acwa Power Management And Investments One, Ltd., 5.95%, due 12/15/39 144A | 975,335 | ||||||||
915,000 | Adani Green Energy UP Ltd./Prayatna Developers Pvt. Ltd./Parampujya Solar Energ, 6.25%, due 12/10/24 144A | 957,685 | ||||||||
240,000 | Advanced Micro Devices, Inc., 7.50%, due 08/15/22 | 272,100 | ||||||||
245,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 04/03/26 | 261,899 | ||||||||
1,115,000 | AES Corp., 5.50%, due 04/15/25 | 1,160,994 | ||||||||
375,000 | AES Corp., 6.00%, due 05/15/26 | 399,375 | ||||||||
1,280,000 | African Export-Import Bank (The), 3.99%, due 09/21/29 144A | 1,282,880 | ||||||||
810,000 | AIB Group Plc, 4.26% (3 mo. USD LIBOR plus 1.87%), due 04/10/25† 144A | 842,735 | ||||||||
440,000 | Alcoa Nederland Holding BV, 6.13%, due 05/15/28 144A | 469,656 | ||||||||
360,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, due 07/15/26 144A | 381,150 | ||||||||
1,235,000 | Alpek SAB de CV, 4.25%, due 09/18/29 144A | 1,247,659 | ||||||||
1,000,000 | Altice France SA/France, 7.38%, due 05/01/26 144A | 1,074,710 | ||||||||
500,000 | Altice Luxembourg SA, 10.50%, due 05/15/27 144A | 564,750 | ||||||||
50,000 | Altria Group, Inc., 4.40%, due 02/14/26 | 53,508 | ||||||||
180,000 | Altria Group, Inc., 4.80%, due 02/14/29 | 197,339 | ||||||||
500,000 | Altria Group, Inc., 5.95%, due 02/14/49 | 588,808 | ||||||||
10,540,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 520,487 | |||||||
670,000 | American Media LLC, 10.50%, due 12/31/26 144A | 721,925 | ||||||||
200,000 | Anglo American Capital Plc, 4.00%, due 09/11/27‡ 144A | 206,712 | ||||||||
670,000 | Anheuser-Busch InBev Worldwide, Inc., 5.55%, due 01/23/49 | 878,115 | ||||||||
50,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, due 01/23/59 | 67,614 | ||||||||
640,000 | Aon Corp., 4.50%, due 12/15/28 | 722,934 | ||||||||
405,000 | ArcelorMittal, 4.25%, due 07/16/29‡ | 412,565 | ||||||||
150,000 | ArcelorMittal, 6.13%, due 06/01/25 | 168,914 | ||||||||
350,000 | ArcelorMittal, 7.00%, due 10/15/39 | 424,578 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
645,000 | Archer-Daniels-Midland Co., 4.50%, due 03/15/49 | 805,545 | ||||||||
475,000 | ARD Finance SA, 7.13% (7.13% Cash or 7.875% PIK), due 09/15/23 | 491,625 | ||||||||
423,750 | ARD Securities Finance SARL, 8.75% (8.75% Cash or PIK), due 01/31/23 144A | 440,700 | ||||||||
550,000 | Ardonagh Midco 3 Plc, 8.63%, due 07/15/23‡ 144A | 533,500 | ||||||||
340,000 | Ardonagh Midco 3 Plc, Reg S, 8.63%, due 07/15/23‡‡‡ | 329,800 | ||||||||
500,000 | EUR | Arion Banki HF, (MTN), Reg S, 1.00%, due 03/20/23‡‡‡ | 549,112 | |||||||
203,000 | EUR | Arion Banki HF, (MTN), Reg S, 1.63%, due 12/01/21‡‡‡ | 226,084 | |||||||
330,000 | Ashtead Capital, Inc., 5.25%, due 08/01/26 144A | 351,862 | ||||||||
200,000 | ASP AMC Merger Sub, Inc., 8.00%, due 05/15/25 144A | 137,000 | ||||||||
730,000 | AT&T, Inc., 4.85%, due 03/01/39 | 829,234 | ||||||||
540,000 | Avolon Holdings Funding, Ltd., 4.38%, due 05/01/26 144A | 559,197 | ||||||||
260,000 | Avolon Holdings Funding, Ltd., 5.13%, due 10/01/23 144A | 276,510 | ||||||||
1,063,000 | Avolon Holdings Funding, Ltd., 5.25%, due 05/15/24 144A | 1,140,918 | ||||||||
380,000 | AXIS Specialty Finance LLC, 3.90%, due 07/15/29 | 398,236 | ||||||||
1,150,000 | Baidu, Inc., 3.88%, due 09/29/23 | 1,198,185 | ||||||||
800,000 | Banco Bilbao Vizcaya Argentaria SA, 6.13% (5 year USD swap plus 3.87%)† ††††† ‡ | 767,720 | ||||||||
1,000,000 | Banco Bilbao Vizcaya Argentaria SA, 6.50% (5 year CMT plus 5.19%)† ††††† ‡ | 1,020,500 | ||||||||
400,000 | EUR | Banco Bilbao Vizcaya Argentaria SA, Reg S, 5.88% (5 year EUR swap plus 5.66%)† ††††† ‡‡‡ | 462,392 | |||||||
200,000 | Banco Mercantil del Norte SA, 7.50% (10 year CMT plus 5.47%)† ††††† 144A | 202,950 | ||||||||
320,000 | Banco Mercantil del Norte SA, 7.63% (10 year CMT plus 5.35%)† ††††† 144A | 327,603 | ||||||||
200,000 | Banco Santander SA, 4.38%, due 04/12/28‡ | 218,968 | ||||||||
835,000 | Bank of America Corp., (MTN), 3.56% (3 mo. USD LIBOR plus 1.06%), due 04/23/27† | 881,428 | ||||||||
505,000 | Bank of Montreal, 4.80% (5 year CMT plus 2.98%)† ††††† ‡ | 505,947 | ||||||||
700,000 | Barclays Bank Plc, 7.63%, due 11/21/22 | 772,250 | ||||||||
390,000 | Barclays Plc, 5.09% (3 mo. USD LIBOR plus 3.05%), due 06/20/30† | 407,118 | ||||||||
210,000 | GBP | Barclays Plc, 7.13% (5 year UK Government Bond plus 6.58%)† ††††† | 274,728 | |||||||
1,315,000 | Barclays Plc, 8.00% (5 year CMT plus 5.67%)† ††††† | 1,399,443 | ||||||||
310,000 | Bausch Health Americas, Inc., 8.50%, due 01/31/27 144A | 348,688 | ||||||||
270,000 | Bausch Health Americas, Inc., 9.25%, due 04/01/26 144A | 307,460 | ||||||||
120,000 | Bausch Health Cos., Inc., 7.00%, due 03/15/24 144A | 126,415 | ||||||||
815,000 | BBVA USA, 2.50%, due 08/27/24 | 810,539 | ||||||||
349,000 | Becton Dickinson and Co., 2.98% (3 mo. USD LIBOR plus 0.88%), due 12/29/20† | 349,123 | ||||||||
482,000 | Berry Petroleum Co. LLC, 7.00%, due 02/15/26 144A | 463,925 | ||||||||
295,000 | BlackRock, Inc., 3.25%, due 04/30/29‡ | 316,197 | ||||||||
400,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.63%, due 07/15/26 144A | 397,000 | ||||||||
80,000 | Boeing Co. (The), 2.70%, due 02/01/27 | 81,431 | ||||||||
190,000 | Boeing Co. (The), 3.25%, due 02/01/35 | 197,234 | ||||||||
250,000 | Boston Properties, LP REIT, 2.90%, due 03/15/30 | 249,612 | ||||||||
180,000 | BP Capital Markets America, Inc., 3.94%, due 09/21/28 | 199,634 | ||||||||
1,085,000 | Braskem Finance, Ltd., 7.00%, due 05/07/20 144A | 1,112,233 | ||||||||
440,000 | Braskem Netherlands Finance BV, 4.50%, due 01/10/28 144A | 442,200 | ||||||||
760,000 | BRF SA, 4.88%, due 01/24/30 144A | 751,640 | ||||||||
160,000 | Bristol-Myers Squibb Co., 4.25%, due 10/26/49 144A | 186,060 | ||||||||
420,000 | Broadcom, Inc., 4.75%, due 04/15/29 144A | 444,413 | ||||||||
365,000 | Bruin E&P Partners LLC, 8.88%, due 08/01/23 144A | 274,663 | ||||||||
805,000 | Cabot Corp., 4.00%, due 07/01/29 | 844,851 | ||||||||
400,000 | EUR | CaixaBank SA, Reg S, 5.25% (5 year EUR swap plus 4.50%)† ††††† ‡‡‡ | 424,633 |
See accompanying Notes to the Financial Statements.
91
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,600,000 | Capital One NA, 2.35%, due 01/31/20 | 1,600,573 | ||||||||
320,000 | Carriage Services, Inc., 6.63%, due 06/01/26 144A | 329,440 | ||||||||
220,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, due 02/01/28 144A | 227,975 | ||||||||
530,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, due 02/15/23 | 539,937 | ||||||||
200,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22 | 202,670 | ||||||||
330,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.50%, due 05/01/26 144A | 346,467 | ||||||||
385,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, due 02/15/26 144A | 407,907 | ||||||||
230,000 | CDK Global, Inc., 5.25%, due 05/15/29 144A | 238,338 | ||||||||
230,000 | Centene Corp., 5.38%, due 06/01/26 144A | 241,213 | ||||||||
355,000 | CenterPoint Energy, Inc., 2.95%, due 03/01/30 | 354,477 | ||||||||
80,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 03/15/28 | 84,206 | ||||||||
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.38%, due 04/01/38 | 167,823 | ||||||||
220,000 | Cheniere Energy Partners, LP, 4.50%, due 10/01/29 144A | 225,775 | ||||||||
700,000 | Chesapeake Energy Corp., 8.00%, due 06/15/27‡ | 479,640 | ||||||||
1,000,000 | Cigna Corp., 2.79% (3 mo. USD LIBOR plus 0.65%), due 09/17/21† | 1,000,040 | ||||||||
765,000 | Cigna Corp., 4.38%, due 10/15/28 | 837,434 | ||||||||
450,000 | CIT Group, Inc., 5.25%, due 03/07/25 | 491,625 | ||||||||
170,000 | Citigroup, Inc., 4.65%, due 07/30/45 | 205,094 | ||||||||
550,000 | Citigroup, Inc., 6.30% (3 mo. USD LIBOR plus 3.42%)† ††††† | 584,669 | ||||||||
270,000 | Clear Channel Worldwide Holdings, Inc., 5.13%, due 08/15/27 144A | 281,975 | ||||||||
144,000 | Clearway Energy Operating LLC, 5.00%, due 09/15/26 | 147,960 | ||||||||
190,000 | Cleaver-Brooks, Inc., 7.88%, due 03/01/23 144A | 180,500 | ||||||||
25,000 | CNO Financial Group, Inc., 5.25%, due 05/30/25 | 26,948 | ||||||||
220,000 | Cogent Communications Group, Inc., 5.38%, due 03/01/22 144A | 229,900 | ||||||||
760,000 | Colfax Corp., 6.00%, due 02/15/24 144A | 807,196 | ||||||||
420,000 | Comcast Corp., 2.54% (3 mo. USD LIBOR plus 0.44%), due 10/01/21† | 421,426 | ||||||||
580,000 | Comcast Corp., 4.25%, due 10/15/30 | 660,297 | ||||||||
360,000 | Comcast Corp., 4.70%, due 10/15/48 | 441,435 | ||||||||
80,000 | CommScope Technologies LLC, 5.00%, due 03/15/27 144A | 66,400 | ||||||||
1,190,000 | CommScope, Inc., 6.00%, due 03/01/26 144A | 1,237,362 | ||||||||
180,000 | CommScope, Inc., 8.25%, due 03/01/27‡ 144A | 175,894 | ||||||||
510,000 | CONSOL Energy, Inc., 11.00%, due 11/15/25 144A | 510,000 | ||||||||
600,000 | EUR | Cooperatieve Rabobank UA, Reg S, 4.63% (5 year EUR swap plus 4.10%)† ††††† ‡‡‡ | 711,565 | |||||||
410,000 | CoreCivic, Inc. REIT, 4.63%, due 05/01/23 | 399,295 | ||||||||
525,000 | Corp. Nacional del Cobre de Chile, 4.50%, due 09/16/25 144A | 575,258 | ||||||||
1,215,000 | Cosan, Ltd., 5.50%, due 09/20/29 144A | 1,249,324 | ||||||||
280,000 | Country Garden Holdings Co., Ltd., Reg S, 7.25%, due 04/04/21‡‡‡ | 280,769 | ||||||||
530,000 | Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, due 05/15/25 144A | 426,650 | ||||||||
575,000 | Credit Agricole SA, 7.88% (5 year USD swap plus 4.90%)† ††††† 144A | 642,922 | ||||||||
400,000 | Credit Agricole SA, 8.13% (5 year USD swap plus 6.19%)† ††††† 144A | 471,750 | ||||||||
300,000 | EUR | Credit Agricole SA, Reg S, 6.50% (5 year EUR swap plus 5.12%)† ††††† ‡‡‡ | 354,029 | |||||||
900,000 | Credit Suisse Group AG, 2.59% (SOFR plus 1.56%), due 09/11/25† 144A | 891,707 | ||||||||
800,000 | Credit Suisse Group AG, 6.38% (5 year CMT plus 4.82%)† ††††† 144A | 830,000 | ||||||||
465,000 | Credit Suisse Group AG, 7.25% (5 year USD swap plus 4.33%)† ††††† ‡ 144A | 497,948 | ||||||||
1,100,000 | Credit Suisse Group AG, Reg S, 7.50% (5 year USD swap plus 4.60%)† ††††† ‡‡‡ | 1,218,309 | ||||||||
1,425,000 | Credit Suisse Group Funding Guernsey, Ltd., 2.75%, due 03/26/20 | 1,429,014 | ||||||||
1,010,000 | CSC Holdings LLC, 6.50%, due 02/01/29 144A | 1,124,483 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
200,000 | CVS Health Corp., 2.63%, due 08/15/24 | 201,114 | ||||||||
140,000 | CVS Health Corp., 3.00%, due 08/15/26 | 140,906 | ||||||||
685,000 | CVS Health Corp., 3.25%, due 08/15/29 | 689,558 | ||||||||
760,000 | CVS Health Corp., 4.30%, due 03/25/28 | 822,502 | ||||||||
800,000 | CVS Health Corp., 4.78%, due 03/25/38 | 877,549 | ||||||||
590,000 | CVS Health Corp., 5.05%, due 03/25/48 | 670,663 | ||||||||
810,000 | DAE Funding LLC, 5.75%, due 11/15/23 144A | 853,213 | ||||||||
395,000 | Daimler Finance North America LLC, 3.10%, due 08/15/29 144A | 400,006 | ||||||||
200,000 | Danske Bank AS, 5.00%, due 01/12/22 144A | 210,340 | ||||||||
250,000 | EUR | Danske Bank AS, Reg S, 5.75% (EUSA6 plus 4.64%)† ††††† ‡‡‡ | 276,971 | |||||||
200,000 | DCP Midstream Operating, LP, 6.75%, due 09/15/37 144A | 211,500 | ||||||||
590,000 | Dell International LLC/EMC Corp., 8.35%, due 07/15/46 144A | 779,194 | ||||||||
495,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, due 08/15/26 144A | 514,800 | ||||||||
250,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.63%, due 08/15/27‡ 144A | 260,000 | ||||||||
2,147,000 | Diamondback Energy, Inc., 4.75%, due 11/01/24 | 2,203,359 | ||||||||
980,000 | DISH DBS Corp., 7.75%, due 07/01/26‡ | 999,600 | ||||||||
325,000 | Dow Chemical Co. (The), 3.63%, due 05/15/26 144A | 339,495 | ||||||||
745,000 | DP World Crescent, Ltd., 4.85%, due 09/26/28 144A | 819,715 | ||||||||
830,000 | DP World Plc, 4.70%, due 09/30/49 144A | 827,008 | ||||||||
430,000 | DP World Plc, 5.63%, due 09/25/48 144A | 498,740 | ||||||||
115,000 | Dun & Bradstreet Corp. (The), 6.88%, due 08/15/26 144A | 125,566 | ||||||||
1,115,000 | Ecopetrol SA, 4.13%, due 01/16/25 | 1,179,503 | ||||||||
625,000 | Electricite de France SA, 4.50%, due 09/21/28 144A | 698,405 | ||||||||
685,000 | Enel Finance International NV, 3.50%, due 04/06/28 144A | 702,083 | ||||||||
80,000 | Energy Transfer Operating, LP, 6.25%, due 04/15/49 | 97,290 | ||||||||
305,000 | Enstar Group, Ltd., 4.95%, due 06/01/29 | 322,612 | ||||||||
815,000 | EPR Properties REIT, 3.75%, due 08/15/29 | 815,728 | ||||||||
200,000 | ESH Hospitality, Inc. REIT, 4.63%, due 10/01/27 144A | 201,250 | ||||||||
28,635,000 | BRL | European Investment Bank, (MTN), 2.18%, due 08/27/21‡‡ | 6,349,966 | |||||||
84,200,000 | MXN | European Investment Bank, (MTN), Reg S, 4.00%, due 02/25/20‡‡‡ | 4,204,328 | |||||||
8,150,000 | ZAR | European Investment Bank, (MTN), Reg S, 8.50%, due 09/17/24‡‡‡ | 567,615 | |||||||
100,000 | Extraction Oil & Gas, Inc., 5.63%, due 02/01/26 144A | 61,750 | ||||||||
200,000 | Extraction Oil & Gas, Inc., 7.38%, due 05/15/24 144A | 132,000 | ||||||||
815,000 | Exxon Mobil Corp., 3.10%, due 08/16/49 | 820,592 | ||||||||
400,000 | First Quantum Minerals, Ltd., 6.50%, due 03/01/24 144A | 383,500 | ||||||||
1,270,000 | First Quantum Minerals, Ltd., 7.25%, due 04/01/23‡ 144A | 1,257,300 | ||||||||
835,000 | Fiserv, Inc., 4.40%, due 07/01/49 | 935,703 | ||||||||
610,000 | Five Point Operating Co., LP/Five Point Capital Corp., 7.88%, due 11/15/25 144A | 620,675 | ||||||||
1,530,000 | Ford Motor Credit Co. LLC, 2.98%, due 08/03/22 | 1,517,965 | ||||||||
200,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 209,550 | ||||||||
130,000 | Fox Corp., 4.71%, due 01/25/29 144A | 148,608 | ||||||||
60,000 | Fox Corp., 5.48%, due 01/25/39 144A | 73,664 | ||||||||
640,000 | Freeport-McMoRan, Inc., 5.45%, due 03/15/43 | 579,840 | ||||||||
530,000 | Gazprom OAO Via Gaz Capital SA, 4.95%, due 03/23/27 144A | 574,030 | ||||||||
830,000 | General Electric Co., 4.13%, due 10/09/42 | 832,302 | ||||||||
96,000 | General Electric Co., 5.00% (3 mo. USD LIBOR plus 3.33%)† ††††† | 90,828 | ||||||||
670,000 | General Electric Co., (MTN), 6.88%, due 01/10/39 | 887,785 | ||||||||
675,000 | General Motors Financial Co., Inc., 4.20%, due 11/06/21 | 696,577 | ||||||||
300,000 | Genesis Energy, LP/Genesis Energy Finance Corp., 6.00%, due 05/15/23 | 302,625 |
See accompanying Notes to the Financial Statements.
93
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
210,000 | GEO Group (The), Inc. REIT, 5.88%, due 01/15/22 | 203,383 | ||||||||
320,000 | GEO Group (The), Inc. REIT, 6.00%, due 04/15/26 | 259,840 | ||||||||
605,000 | Geopark, Ltd., 6.50%, due 09/21/24 144A | �� | 624,662 | |||||||
240,000 | GFL Environmental, Inc., 5.38%, due 03/01/23 144A | 244,152 | ||||||||
20,000 | GFL Environmental, Inc., 5.63%, due 05/01/22 144A | 20,550 | ||||||||
180,000 | GFL Environmental, Inc., 8.50%, due 05/01/27 144A | 200,025 | ||||||||
400,000 | Glencore Funding LLC, 4.00%, due 03/27/27 144A | 411,512 | ||||||||
650,000 | Global Aircraft Leasing Co., Ltd., 6.50% (6.50% Cash or PIK), due 09/15/24 144A | 659,750 | ||||||||
450,000 | Gold Fields Orogen Holdings BVI, Ltd., 5.13%, due 05/15/24‡ 144A | 476,572 | ||||||||
1,635,000 | Gold Fields Orogen Holdings BVI, Ltd., 6.13%, due 05/15/29 144A | 1,827,112 | ||||||||
100,000 | Goldman Sachs Group (The), Inc., 5.15%, due 05/22/45 | 118,851 | ||||||||
600,000 | GTP Acquisition Partners I LLC, 3.48%, due 06/15/50 144A | 624,123 | ||||||||
1,245,000 | Hanesbrands, Inc., 4.88%, due 05/15/26 144A | 1,321,567 | ||||||||
410,000 | Harley-Davidson Financial Services, Inc., Series S, 3.55%, due 05/21/21 144A | 416,415 | ||||||||
290,000 | Harsco Corp., 5.75%, due 07/31/27 144A | 302,702 | ||||||||
600,000 | HCA, Inc., 5.50%, due 06/15/47 | 675,569 | ||||||||
850,000 | HCA, Inc., 5.63%, due 09/01/28 | 949,280 | ||||||||
115,000 | HCP, Inc. REIT, 3.50%, due 07/15/29 | 119,632 | ||||||||
70,000,000 | INR | HDFC Bank, Ltd., Reg S, 8.10%, due 03/22/25‡‡‡ | 981,930 | |||||||
610,000 | Hess Infrastructure Partners, LP/Hess Infrastructure Partners Finance Corp., 5.63%, due 02/15/26 144A | 640,500 | ||||||||
65,000 | Hill-Rom Holdings, Inc., 4.38%, due 09/15/27 144A | 66,615 | ||||||||
360,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, due 04/01/27‡ | 380,520 | ||||||||
400,000 | HSBC Holdings Plc, 4.58% (3 mo. USD LIBOR plus 1.53%), due 06/19/29† | 443,367 | ||||||||
400,000 | HSBC Holdings Plc, 6.50% (5 year USD ICE swap plus 3.61%)† ††††† | 418,740 | ||||||||
250,000 | EUR | HSBC Holdings Plc, Reg S, 5.25% (5 year EUR swap plus 4.38%)† ††††† ‡‡‡ | 293,673 | |||||||
400,000 | HudBay Minerals, Inc., 7.63%, due 01/15/25 144A | 407,500 | ||||||||
500,000 | Humana, Inc., 3.95%, due 08/15/49 | 503,329 | ||||||||
380,000 | ICICI Bank, Ltd./Hong Kong, Reg S, 5.75%, due 11/16/20‡‡‡ | 392,485 | ||||||||
360,000 | IHS Netherlands Holdco BV, 7.13%, due 03/18/25 144A | 366,750 | ||||||||
375,000 | IHS Netherlands Holdco BV, 8.00%, due 09/18/27 144A | 383,906 | ||||||||
350,000 | ING Groep NV, 5.75% (5 year CMT plus 4.34%)††††† † | 352,756 | ||||||||
1,150,000 | ING Groep NV, Reg S, 6.75% (5 year USD swap plus 4.20%)† ††††† ‡‡‡ | 1,210,265 | ||||||||
450,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 422,055 | ||||||||
1,145,000 | Intelsat Jackson Holdings SA, 9.50%, due 09/30/22 144A | 1,333,925 | ||||||||
35,350,000,000 | IDR | Inter-American Development Bank, (MTN), Reg S, 7.88%, due 03/14/23‡‡‡ | 2,587,498 | |||||||
700,000 | InterGen NV, 7.00%, due 06/30/23 144A | 651,000 | ||||||||
1,800,000 | International Business Machines Corp., 3.00%, due 05/15/24 | 1,867,498 | ||||||||
415,000 | Intesa Sanpaolo SpA, 4.00%, due 09/23/29 144A | 413,596 | ||||||||
430,000 | Intesa Sanpaolo SpA, 4.70%, due 09/23/49 144A | 436,366 | ||||||||
900,000 | Intesa Sanpaolo SpA, 5.02%, due 06/26/24 144A | 926,796 | ||||||||
350,000 | Intesa Sanpaolo SpA, 5.71%, due 01/15/26 144A | 372,172 | ||||||||
205,000 | IQVIA, Inc., 5.00%, due 10/15/26 144A | 215,506 | ||||||||
570,000 | IQVIA, Inc., 5.00%, due 05/15/27 144A | 598,500 | ||||||||
570,000 | Iron Mountain, Inc. REIT, 4.88%, due 09/15/29 144A | 580,146 | ||||||||
230,000 | EUR | Islandsbanki HF, (MTN), Reg S, 1.13% (EUSA1 plus 0.75%), due 01/19/24† ‡‡‡ | 251,648 | |||||||
260,000 | j2 Cloud Services LLC/j2 GlobalCo-Obligor, Inc., 6.00%, due 07/15/25 144A | 275,496 | ||||||||
320,000 | Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., 10.25%, due 11/15/22 144A | 339,600 |
See accompanying Notes to the Financial Statements.
94
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
580,000 | EUR | James Hardie Industries Plc, 3.63%, due 10/01/26 144A | 671,488 | |||||||
160,000 | JB Poindexter & Co., Inc., 7.13%, due 04/15/26 144A | 166,400 | ||||||||
800,000 | JBS USA LUX SA/JBS USA Finance, Inc., 5.75%, due 06/15/25 144A | 836,456 | ||||||||
1,000,000 | JPMorgan Chase & Co., 4.63%, due 05/10/21 | 1,039,611 | ||||||||
1,035,000 | JPMorgan Chase & Co., 5.00% (SOFR plus 3.38%)† ††††† | 1,059,447 | ||||||||
565,000 | Juniper Networks, Inc., 3.75%, due 08/15/29 | 568,387 | ||||||||
586,192 | K2016470219 South Africa, Ltd., 3.00% (3.00% Cash or PIK), due 12/31/22 | 5,862 | ||||||||
139,274 | K2016470260 South Africa, Ltd., 25.00% (25.00% or PIK), due 12/31/22 | 5,223 | ||||||||
510,000 | KazMunayGas National Co. JSC, 4.75%, due 04/19/27 144A | 552,983 | ||||||||
440,000 | KazTransGas JSC, 4.38%, due 09/26/27 144A | 462,118 | ||||||||
400,000 | KeyCorp, 2.55%, due 10/01/29 | 391,773 | ||||||||
785,000 | KKR Group Finance Co. VI LLC, 3.75%, due 07/01/29 144A | 828,282 | ||||||||
950,000 | KLX Energy Services Holdings, Inc., 11.50%, due 11/01/25 144A | 862,125 | ||||||||
1,335,000 | Kosmos Energy, Ltd., 7.13%, due 04/04/26 144A | 1,385,236 | ||||||||
345,000 | Kraft Heinz Foods Co., 4.88%, due 10/01/49 144A | 348,909 | ||||||||
450,000 | L Brands, Inc., 5.25%, due 02/01/28‡ | 419,805 | ||||||||
320,000 | L Brands, Inc., 5.63%, due 10/15/23‡ | 338,400 | ||||||||
300,000 | Lamb Weston Holdings, Inc., 4.88%, due 11/01/26 144A | 315,750 | ||||||||
3,390,000 | EUR | Landsbankinn HF, (MTN), Reg S, 1.38%, due 03/14/22‡‡‡ | 3,783,386 | |||||||
240,000 | Las Vegas Sands Corp., 3.20%, due 08/08/24 | 244,717 | ||||||||
655,000 | Lazard Group LLC, 4.38%, due 03/11/29 | 711,679 | ||||||||
695,000 | Lear Corp., 4.25%, due 05/15/29 | 714,425 | ||||||||
1,600,000 | Lennar Corp., 4.75%, due 11/29/27 | 1,724,000 | ||||||||
70,000 | Levi Strauss & Co., 5.00%, due 05/01/25 | 73,049 | ||||||||
1,800,000 | Lloyds Bank Plc, 2.25%, due 08/14/22 | 1,796,297 | ||||||||
200,000 | Lloyds Banking Group Plc, 4.65%, due 03/24/26 | 210,836 | ||||||||
450,000 | EUR | Lloyds Banking Group Plc, Reg S, 6.38% (5 year EUR swap plus 5.29%)† ††††† ‡‡‡ | 505,760 | |||||||
1,305,000 | Lonestar Resources America, Inc., 11.25%, due 01/01/23 144A | 1,073,362 | ||||||||
800,000 | MAF Global Securities, Ltd., Reg S, 5.50% (5 year USD swap plus 3.48%)† ††††† ‡‡‡ | 806,202 | ||||||||
240,000 | Magellan Health, Inc., 4.90%, due 09/22/24 | 240,300 | ||||||||
400,000 | Match Group, Inc., 5.00%, due 12/15/27 144A | 417,000 | ||||||||
210,000 | McDermott Technology Americas, Inc./McDermott Technology US, Inc., 10.63%, due 05/01/24 144A | 50,400 | ||||||||
890,000 | MEG Energy Corp., 7.00%, due 03/31/24 144A | 863,300 | ||||||||
250,000 | Mercer International, Inc., 6.50%, due 02/01/24 | 257,188 | ||||||||
370,000 | Meredith Corp., 6.88%, due 02/01/26 | 377,862 | ||||||||
900,000 | Methanex Corp., 5.25%, due 12/15/29 | 905,373 | ||||||||
200,000 | MGM China Holdings, Ltd., 5.88%, due 05/15/26 144A | 210,000 | ||||||||
465,000 | Midcontinent Communications/Midcontinent Finance Corp., 5.38%, due 08/15/27 144A | 490,575 | ||||||||
775,000 | Millicom International Cellular SA, 5.13%, due 01/15/28 144A | 810,921 | ||||||||
1,170,000 | Millicom International Cellular SA, 6.25%, due 03/25/29 144A | 1,280,694 | ||||||||
815,000 | Millicom International Cellular SA, 6.63%, due 10/15/26 144A | 888,350 | ||||||||
1,000,000 | Mineral Resources, Ltd., 8.13%, due 05/01/27 144A | 1,031,800 | ||||||||
740,000 | Montage Resources Corp., 8.88%, due 07/15/23 | 569,800 | ||||||||
1,000,000 | Morgan Stanley, (MTN), 2.50%, due 04/21/21 | 1,006,995 | ||||||||
370,000 | MPLX, LP, 3.00% (3 mo. USD LIBOR plus 0.90%), due 09/09/21† | 371,280 | ||||||||
300,000 | MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.00%, due 10/15/27 | 315,000 | ||||||||
720,000 | Myriad International Holdings BV, Reg S, 4.85%, due 07/06/27‡‡‡ | 797,870 | ||||||||
1,165,000 | Myriad International Holdings BV, 4.85%, due 07/06/27 144A | 1,290,998 |
See accompanying Notes to the Financial Statements.
95
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
720,000 | Myriad International Holdings BV, 5.50%, due 07/21/25 144A | 803,684 | ||||||||
440,000 | Nationwide Building Society, 3.96% (3 mo. USD LIBOR plus 1.86%), due 07/18/30† 144A | 460,071 | ||||||||
450,000 | Navient Corp., 6.75%, due 06/25/25‡ | 465,187 | ||||||||
435,000 | NBM US Holdings, Inc., 6.63%, due 08/06/29 144A | 446,419 | ||||||||
1,490,000 | NBM US Holdings, Inc., 7.00%, due 05/14/26 144A | 1,567,294 | ||||||||
200,000 | NCL Corp., Ltd., Class C, 4.75%, due 12/15/21 144A | 203,920 | ||||||||
275,000 | EUR | Netflix, Inc., 3.88%, due 11/15/29 144A | 318,764 | |||||||
580,000 | Netflix, Inc., 5.38%, due 11/15/29 144A | 606,100 | ||||||||
300,000 | Netflix, Inc., 5.88%, due 11/15/28 | 326,640 | ||||||||
270,000 | Netflix, Inc., 6.38%, due 05/15/29 144A | 299,700 | ||||||||
210,000 | EUR | Netflix, Inc., Reg S, 3.88%, due 11/15/29‡‡‡ | 243,420 | |||||||
620,000 | NGPL PipeCo LLC, Senior Note, 7.77%, due 12/15/37 144A | 805,248 | ||||||||
41,000,000 | SEK | Nordea Hypotek AB, (MTN), Reg S, 1.25%, due 05/19/21‡‡‡ | 4,265,082 | |||||||
370,075 | Northern Oil and Gas, Inc., 8.50% (8.50% Cash or PIK), due 05/15/23 | 383,028 | ||||||||
400,000 | Northwest Acquisitions ULC/Dominion Finco, Inc., 7.13%, due 11/01/22 144A | 237,000 | ||||||||
1,050,000 | NRG Energy, Inc., 7.25%, due 05/15/26 | 1,153,950 | ||||||||
320,000 | Oasis Petroleum, Inc., 6.88%, due 03/15/22 | 300,000 | ||||||||
160,000 | Oasis Petroleum, Inc., 6.88%, due 01/15/23‡ | 147,200 | ||||||||
250,000 | Occidental Petroleum Corp., 2.60%, due 08/13/21 | 251,720 | ||||||||
235,000 | Occidental Petroleum Corp., 2.70%, due 08/15/22 | 237,285 | ||||||||
90,000 | Occidental Petroleum Corp., 2.90%, due 08/15/24 | 90,774 | ||||||||
90,000 | Occidental Petroleum Corp., 3.20%, due 08/15/26 | 90,888 | ||||||||
1,165,000 | OCP SA, 4.50%, due 10/22/25 144A | 1,227,619 | ||||||||
645,000 | OCP SA, 6.88%, due 04/25/44 144A | 802,219 | ||||||||
655,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, due 08/15/27 144A | 689,125 | ||||||||
570,000 | Oversea-Chinese Banking Corp., Ltd., (MTN), Reg S, 4.25%, due 06/19/24‡‡‡ | 605,983 | ||||||||
600,000 | Pactiv LLC, 8.38%, due 04/15/27 | 654,000 | ||||||||
140,000 | Park Aerospace Holdings, Ltd., 4.50%, due 03/15/23 144A | 145,222 | ||||||||
260,000 | Park-Ohio Industries, Inc., 6.63%, due 04/15/27‡ | 249,600 | ||||||||
235,000 | Parkland Fuel Corp., 5.88%, due 07/15/27 144A | 247,175 | ||||||||
155,000 | Parkland Fuel Corp., 6.00%, due 04/01/26 144A | 164,300 | ||||||||
430,000 | Perrigo Finance Unlimited Co., 3.90%, due 12/15/24 | 441,115 | ||||||||
440,000 | Perusahaan Listrik Negara PT, 4.13%, due 05/15/27 144A | 465,459 | ||||||||
770,000 | Petrobras Global Finance BV, 5.30%, due 01/27/25 | 842,380 | ||||||||
2,015,000 | Petrobras Global Finance BV, 5.75%, due 02/01/29 | 2,227,341 | ||||||||
720,000 | Petrobras Global Finance BV, 6.85%, due 06/05/15# | 825,840 | ||||||||
340,000 | Petroleos Mexicanos, 6.49%, due 01/23/27 144A | 355,079 | ||||||||
615,000 | Petroleos Mexicanos, 7.69%, due 01/23/50‡ 144A | 642,675 | ||||||||
11,184,300 | MXN | Petroleos Mexicanos, Reg S (GDN), 7.19%, due 09/12/24‡‡‡ | 497,074 | |||||||
960,000 | PetSmart, Inc., 7.13%, due 03/15/23 144A | 907,200 | ||||||||
230,000 | Polaris Intermediate Corp., 8.50% (8.50% Cash of PIK), due 12/01/22 144A | 196,650 | ||||||||
230,000 | PPG Industries, Inc., 2.40%, due 08/15/24 | 230,131 | ||||||||
430,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.75%, due 04/15/26‡ 144A | 448,834 | ||||||||
178,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 05/15/23 144A | 187,465 | ||||||||
280,000 | Prosperous Ray, Ltd., Reg S, 4.63%, due 11/12/23‡‡‡ | 300,930 | ||||||||
900,000 | Quicken Loans, Inc., 5.75%, due 05/01/25 144A | 932,625 | ||||||||
119,925 | Range Resources Corp., 4.88%, due 05/15/25‡ | 99,538 |
See accompanying Notes to the Financial Statements.
96
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
600,000 | Range Resources Corp., 5.00%, due 03/15/23‡ | 526,500 | ||||||||
40,000 | Range Resources Corp., 5.88%, due 07/01/22 | 38,500 | ||||||||
1,000,000 | EUR | RCI Banque SA, (MTN), Reg S, 2.25%, due 03/29/21‡‡‡ | 1,129,492 | |||||||
264,000 | Refinitiv US Holdings, Inc., 8.25%, due 11/15/26 144A | 292,050 | ||||||||
215,000 | Reinsurance Group of America, Inc., 3.90%, due 05/15/29 | 228,960 | ||||||||
260,000 | Resolute Forest Products, Inc., 5.88%, due 05/15/23‡ | 261,300 | ||||||||
155,000 | Roper Technologies, Inc., 2.35%, due 09/15/24 | 155,380 | ||||||||
165,000 | Roper Technologies, Inc., 2.95%, due 09/15/29 | 165,748 | ||||||||
445,000 | Royal Bank of Scotland Group Plc, 4.27% (3 mo. USD LIBOR plus 1.76%), due 03/22/25† | 465,740 | ||||||||
300,000 | Royal Bank of Scotland Group Plc, 4.89% (3 mo. USD LIBOR plus 1.75%), due 05/18/29† | 330,373 | ||||||||
100,000 | EUR | Royal Bank of Scotland Group Plc, Reg S, 2.00% (3 mo. EURIBOR plus 2.04%), due 03/08/23† ‡‡‡ | 113,204 | |||||||
200,000 | Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25‡ | 204,000 | ||||||||
400,000 | Sands China, Ltd., 5.13%, due 08/08/25 | 440,168 | ||||||||
1,000,000 | EUR | Santander Consumer Finance SA, Reg S, 0.88%, due 01/24/22‡‡‡ | 1,113,995 | |||||||
590,000 | Santander UK Group Holdings Plc, 4.75%, due 09/15/25 144A | 616,405 | ||||||||
1,495,000 | SASOL Financing USA LLC, 5.88%, due 03/27/24 | 1,616,058 | ||||||||
1,365,000 | Saudi Arabian Oil Co., 4.38%, due 04/16/49 144A | 1,493,469 | ||||||||
425,000 | SBA Tower Trust REIT, 2.84%, due 01/15/25 144A | 426,155 | ||||||||
110,000 | Sensata Tech, Inc., 4.38%, due 02/15/30 144A | 110,138 | ||||||||
1,195,000 | Shelf Drilling Holdings, Ltd., 8.25%, due 02/15/25 144A | 1,021,725 | ||||||||
410,000 | Shimao Property Holdings, Ltd., Reg S, 5.60%, due 07/15/26‡‡‡ | 419,395 | ||||||||
200,000 | Silversea Cruise Finance, Ltd., 7.25%, due 02/01/25 144A | 214,600 | ||||||||
765,000 | Societe Generale SA, 4.75%, due 09/14/28 144A | 865,389 | ||||||||
1,400,000 | Southern California Edison Co., 4.88%, due 03/01/49 | 1,683,757 | ||||||||
555,000 | Southern Copper Corp., 3.88%, due 04/23/25 | 579,611 | ||||||||
60,000 | Spectrum Brands, Inc., 5.00%, due 10/01/29 144A | 61,200 | ||||||||
620,000 | Sprint Capital Corp., 6.88%, due 11/15/28 | 677,474 | ||||||||
60,000 | Sprint Capital Corp., 8.75%, due 03/15/32 | 74,157 | ||||||||
440,000 | Sprint Corp., 7.13%, due 06/15/24 | 475,332 | ||||||||
110,000 | Sprint Corp., 7.63%, due 03/01/26 | 121,688 | ||||||||
225,000 | Sprint Corp., 7.88%, due 09/15/23 | 247,716 | ||||||||
1,085,000 | SS&C Technologies, Inc., 5.50%, due 09/30/27 144A | 1,135,886 | ||||||||
905,000 | Standard Chartered Plc, 3.33% (3 mo. USD LIBOR plus 1.20%), due 09/10/22† 144A | 910,095 | ||||||||
775,000 | Standard Chartered Plc, 4.30%, due 02/19/27 144A | 806,108 | ||||||||
585,000 | Standard Chartered Plc, 7.75% (5 year USD swap plus 5.72%)† ††††† 144A | 632,581 | ||||||||
110,000 | Standard Industries, Inc./NJ, 4.75%, due 01/15/28 144A | 114,115 | ||||||||
370,000 | Standard Industries, Inc./NJ, 6.00%, due 10/15/25 144A | 389,780 | ||||||||
640,000 | Sumitomo Mitsui Financial Group, Inc., 3.04%, due 07/16/29 | 655,473 | ||||||||
420,000 | Suzano Austria GmbH, 6.00%, due 01/15/29 | 457,590 | ||||||||
260,000 | Suzano Austria GmbH, Reg S, 5.75%, due 07/14/26‡ ‡‡‡ | 288,005 | ||||||||
16,600,000 | SEK | Swedbank Hypotek AB, (MTN), Reg S, 1.00%, due 06/15/22‡‡‡ | 1,736,567 | |||||||
370,000 | Swire Pacific MTN Financing, Ltd. (MTN), Reg S, 4.50%, due 10/09/23‡‡‡ | 396,516 | ||||||||
170,000 | Synchrony Financial, 2.85%, due 07/25/22 | 171,498 | ||||||||
800,000 | Synchrony Financial, 4.50%, due 07/23/25 | 854,402 | ||||||||
200,000 | T-Mobile USA, Inc., 6.38%, due 03/01/25 | 207,692 | ||||||||
280,000 | Talen Energy Supply LLC, 10.50%, due 01/15/26 144A | 242,200 |
See accompanying Notes to the Financial Statements.
97
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
310,000 | Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 6.88%, due 01/15/29 144A | 339,472 | ||||||||
795,000 | TD Ameritrade Holding Corp., 2.75%, due 10/01/29 | 800,512 | ||||||||
230,000 | Teck Resources, Ltd., 5.40%, due 02/01/43 | 236,029 | ||||||||
90,000 | Teck Resources, Ltd., 6.00%, due 08/15/40 | 97,532 | ||||||||
600,000 | Telecom Italia SpA, 5.30%, due 05/30/24 144A | 649,320 | ||||||||
200,000 | Telefonica Emisiones SA, 5.21%, due 03/08/47 | 233,003 | ||||||||
300,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 | 325,590 | ||||||||
535,000 | Total Capital International SA, 2.83%, due 01/10/30 | 550,205 | ||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., (MTN), Reg S, 9.50%, due 05/13/21‡‡‡ | 192,848 | |||||||
390,000 | Transportadora de Gas del Sur SA, 6.75%, due 05/02/25 144A | 344,175 | ||||||||
535,000 | Uber Technologies, Inc., 7.50%, due 11/01/23 | 540,350 | ||||||||
340,000 | UBS Group Funding Switzerland AG, 7.00% (5 year USD swap plus 4.34%)† ††††† 144A | 361,505 | ||||||||
1,150,000 | UBS Group Funding Switzerland AG, Reg S, 7.00% (5 year USD swap plus 4.34%)† ††††† ‡‡‡ | 1,222,737 | ||||||||
800,000 | Ultrapar International SA, 5.25%, due 06/06/29 144A | 840,000 | ||||||||
755,000 | UniCredit SpA, 7.30% (5 year USD ICE swap plus 4.91%), due 04/02/34† 144A | 853,141 | ||||||||
655,000 | UniCredit SpA, Reg S, 8.00% (5 year USD swap plus 5.18%)† ††††† ‡‡‡ | 681,776 | ||||||||
1,200,000 | Unifin Financiera SAB de CV SOFOM ENR, 8.38%, due 01/27/28 144A | 1,213,800 | ||||||||
200,000 | Union Pacific Corp., 4.50%, due 09/10/48 | 238,994 | ||||||||
250,000 | United Airlines Pass Through Trust, 2.70%, due 11/01/33 | 249,466 | ||||||||
90,000 | United Rentals North America, Inc., 4.63%, due 07/15/23 | 92,327 | ||||||||
500,000 | United Rentals North America, Inc., 4.88%, due 01/15/28 | 521,875 | ||||||||
200,000 | United Rentals North America, Inc., 5.25%, due 01/15/30 | 210,376 | ||||||||
250,000 | United Rentals North America, Inc., 5.88%, due 09/15/26 | 267,513 | ||||||||
90,000 | United Rentals North America, Inc., 6.50%, due 12/15/26 | 98,393 | ||||||||
600,000 | Univision Communications, Inc., 5.13%, due 05/15/23 144A | 604,875 | ||||||||
105,000 | Unum Group, 4.00%, due 06/15/29 | 109,356 | ||||||||
500,000 | UPCB Finance IV, Ltd., 5.38%, due 01/15/25 144A | 516,250 | ||||||||
380,000 | Vale Overseas, Ltd., 6.88%, due 11/10/39‡ | 485,929 | ||||||||
390,000 | Verizon Communications, Inc., 3.88%, due 02/08/29 | 428,336 | ||||||||
100,000 | Verizon Communications, Inc., 4.52%, due 09/15/48 | 118,420 | ||||||||
670,000 | Viacom, Inc., 6.88%, due 04/30/36 | 877,008 | ||||||||
950,000 | Videotron, Ltd., 5.13%, due 04/15/27 144A | 1,007,000 | ||||||||
300,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.75%, due 04/15/23 144A | 138,000 | ||||||||
1,025,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.75%, due 04/15/23 144A | 484,312 | ||||||||
500,000 | Virgin Media Secured Finance Plc, 5.50%, due 08/15/26 144A | 525,775 | ||||||||
769,500 | GBP | Virgin Media Secured Finance Plc, Reg S, 6.25%, due 03/28/29‡‡‡ | 1,010,081 | |||||||
1,535,000 | Vistra Operations Co. LLC, 4.30%, due 07/15/29 144A | 1,576,764 | ||||||||
570,000 | Vistra Operations Co. LLC, 5.00%, due 07/31/27 144A | 588,343 | ||||||||
755,000 | Vistra Operations Co. LLC, 5.63%, due 02/15/27 144A | 797,884 | ||||||||
650,000 | VOC Escrow, Ltd., 5.00%, due 02/15/28 144A | 674,440 | ||||||||
405,000 | Vodafone Group Plc, 4.25%, due 09/17/50 | 414,315 | ||||||||
130,000 | Vodafone Group Plc, 4.38%, due 05/30/28 | 143,706 | ||||||||
800,000 | Vodafone Group Plc, 4.88%, due 06/19/49 | 894,415 | ||||||||
230,000 | Waste Management, Inc., 3.45%, due 06/15/29 | 248,595 | ||||||||
490,000 | Waste Management, Inc., 4.15%, due 07/15/49 | 571,885 | ||||||||
350,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc REIT, 4.75%, due 09/17/44 144A | 409,539 |
See accompanying Notes to the Financial Statements.
98
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
280,000 | Weight Watchers International, Inc., 8.63%, due 12/01/25‡ 144A | 291,900 | ||||||||
2,500,000 | Wells Fargo Bank NA, 2.76% (3 mo. USD LIBOR plus 0.50%), due 07/23/21† | 2,506,495 | ||||||||
220,000 | Western Gas Partners, LP, 5.45%, due 04/01/44 | 195,382 | ||||||||
390,000 | Westpac Banking Corp., 4.11% (5 year CMT plus 2.00%), due 07/24/34† | 407,644 | ||||||||
565,000 | William Carter Co., (The), 5.63%, due 03/15/27 144A | 606,669 | ||||||||
100,000 | Williams Cos. (The), Inc., 8.75%, due 03/15/32 | 144,151 | ||||||||
120,000 | WPX Energy, Inc., 5.25%, due 10/15/27 | 120,900 | ||||||||
250,000 | WPX Energy, Inc., 8.25%, due 08/01/23 | 282,500 | ||||||||
860,000 | XPO CNW, Inc., 6.70%, due 05/01/34 | 847,100 | ||||||||
290,000 | Yamana Gold, Inc., 4.63%, due 12/15/27 | 307,386 | ||||||||
150,000 | YPF SA, 8.50%, due 03/23/21 144A | 131,747 | ||||||||
710,000 | YPF SA, Reg S, 8.50%, due 03/23/21‡‡‡ | 623,600 | ||||||||
390,000 | Yum! Brands, Inc., 4.75%, due 01/15/30‡ 144A | 403,712 | ||||||||
45,000 | Zayo Group LLC/Zayo Capital, Inc., 5.75%, due 01/15/27 144A | 46,116 | ||||||||
1,045,000 | EUR | Ziggo BV, 4.25%, due 01/15/27 144A | 1,232,080 | |||||||
|
| |||||||||
251,197,693 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 2.7% | ||||||||||
2,000,000 | BBCCRE Trust, Series2015-GTP, Class F, 4.71%, due 08/10/33◆◆ 144A | 1,917,035 | ||||||||
620,000 | BBCMS Trust, Series2018-CBM, Class D, 4.42% (1 mo. USD LIBOR plus 2.39%), due 07/15/37† 144A | 621,577 | ||||||||
1,000,000 | BHMS, Series2018-MZB, Class MZB, 8.66% (1 mo. USD LIBOR plus 6.64%), due 07/15/20† 144A | 1,010,387 | ||||||||
1,500,000 | BX Trust, Series 2018-BILT, Class B, 3.05% (1 mo. USD LIBOR plus 1.02%), due 05/15/30† 144A | 1,499,536 | ||||||||
930,000 | BX Trust, Series2019-IMC, Class E, 4.18% (1 mo. USD LIBOR plus 2.15%), due 04/15/34† 144A | 936,433 | ||||||||
640,000 | CFCRE Commercial Mortgage Trust, Series2011-C2, Class D, 5.94%, due 12/15/47◆◆ 144A | 673,289 | ||||||||
329,898 | Citigroup Mortgage Loan Trust, Series2018-A, Class A1, 4.00%, due 01/25/68◆◆ 144A | 331,098 | ||||||||
1,500,000 | FNMA Connecticut Avenue Securities, Series2017-C03, Class 1B1, 6.87% (1 mo. USD LIBOR plus 4.85%), due 10/25/29† 144A | 1,703,358 | ||||||||
1,920,000 | FNMA Connecticut Avenue Securities, Series2018-C05, Class 1B1, 6.27% (1 mo. USD LIBOR plus 4.25%), due 01/25/31† 144A | 2,092,993 | ||||||||
1,580,000 | FNMA Connecticut Avenue Securities, Series2018-C05, Class 1M2, 4.37% (1 mo. USD LIBOR plus 2.35%), due 01/25/31† 144A | 1,599,723 | ||||||||
642,500 | FNMA Connecticut Avenue Securities, Series2018-C06, Class 1B1, 5.77% (1 mo. USD LIBOR plus 3.75%), due 03/25/31† 144A | 678,465 | ||||||||
665,000 | Freddie Mac Seasoned Credit Risk Transfer Trust, Series2018-3, Class M, 4.75%, due 08/25/57◆◆ 144A | 679,742 | ||||||||
440,000 | Freddie Mac Seasoned Credit Risk Transfer Trust, Series2019-1, Class M, 4.75%, due 07/25/58◆◆ 144A | 446,160 | ||||||||
410,000 | GS Mortgage Securities Trust, Series2011-GC5, Class D, 5.56%, due 08/10/44◆◆ 144A | 408,887 | ||||||||
840,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2019-BKWD, Class E, 4.65% (1 mo. USD LIBOR plus 2.60%), due 09/15/29† †††† 144A | 840,000 | ||||||||
1,390,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M, 10.24% (1 mo. USD LIBOR plus 8.21%), due 06/15/35† 144A | 1,387,501 |
See accompanying Notes to the Financial Statements.
99
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
330,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-BOLT, Class C, 5.83% (1 mo. USD LIBOR plus 3.80%), due 07/15/34† 144A | 330,566 | ||||||||
1,067,391 | Motel 6 Trust, Series 2017-MTL6, Class E, 5.28% (1 mo. USD LIBOR plus 3.25%), due 08/15/34† 144A | 1,076,846 | ||||||||
230,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 4.53% (1 mo. USD LIBOR plus 2.50%), due 11/15/27† 144A | 229,329 | ||||||||
300,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 5.28% (1 mo. USD LIBOR plus 3.25%), due 11/15/27† 144A | 261,899 | ||||||||
1,264,065 | Structured Asset Mortgage Investments II Trust, Series2005-AR2, Class 2A2, 2.58% (1 mo. USD LIBOR plus 0.56%), due 05/25/45† | 1,095,828 | ||||||||
1,703,123 | Verus Securitization Trust, Series2019-3, Class A1, 2.78%, due 07/25/59†† 144A | 1,705,639 | ||||||||
900,889 | WaMu Mortgage Pass-Through Certificates Trust, Series2005-AR1, Class A1B, 2.80% (1 mo. USD LIBOR plus 0.78%), due 01/25/45† | 897,308 | ||||||||
184,970 | Wells Fargo Mortgage Backed Securities Trust, Series2006-3, Class A11, 5.50%, due 03/25/36 | 188,479 | ||||||||
|
| |||||||||
22,612,078 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 0.2% | ||||||||||
1,462,737 | UMBS, Pool # BM5520, 3.50% , due 02/01/47 | 1,522,997 | ||||||||
|
| |||||||||
Sovereign Debt Obligations — 41.6% | ||||||||||
860,000 | Abu Dhabi Government International Bond, 2.13%, due 09/30/24 144A | 855,485 | ||||||||
945,000 | Abu Dhabi Government International Bond, 3.13%, due 09/30/49 144A | 917,831 | ||||||||
440,000 | Abu Dhabi Government International Bond, 4.13%, due 10/11/47 144A | 515,891 | ||||||||
106,705,000 | ARS | Argentina POM Politica Monetaria, 79.50% (ARLLMONP), due 06/21/20† | 870,332 | |||||||
4,205,000 | Argentine Republic Government International Bond, 5.88%, due 01/11/28 | 1,718,836 | ||||||||
210,000 | Argentine Republic Government International Bond, 6.88%, due 04/22/21 | 104,215 | ||||||||
4,870,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 4.50%, due 03/01/26 | 7,479,424 | |||||||
700,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 5.00%, due 03/01/35 | 1,206,532 | |||||||
600,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, 6.00%, due 01/01/43 | 1,228,025 | |||||||
300,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, Reg S, 4.00%, due 03/01/23‡‡‡ | 438,935 | |||||||
1,990,000,000 | CLP | Bonos de la Tesoreria de la Republica en pesos, Reg S, 4.70%, due 09/01/30‡‡‡ ‡‡‡‡ | 3,234,343 | |||||||
1,882,000 | BRL | Brazil Notas do Tesouro Nacional Series B, 6.00%, due 08/15/20 | 1,516,079 | |||||||
1,355,000 | BRL | Brazil Notas do Tesouro Nacional Series B, 6.00%, due 05/15/45 | 1,474,197 | |||||||
2,058,000 | BRL | Brazil Notas do Tesouro Nacional Series B, 6.00%, due 08/15/50 | 2,314,686 | |||||||
11,445,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/21 | 2,903,469 | |||||||
33,847,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/23 | 9,037,946 | |||||||
23,519,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/25 | 6,474,963 | |||||||
39,152,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/27 | 11,033,287 | |||||||
2,201,000 | BRL | Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/29 | 630,403 | |||||||
500,000 | Colombia Government International Bond, 4.50%, due 03/15/29 | 557,000 | ||||||||
23,163,100,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 6,746,960 | |||||||
576,900,000 | COP | Colombian TES, 6.25%, due 11/26/25 | 173,295 | |||||||
16,051,300,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 4,866,363 | |||||||
4,106,900,000 | COP | Colombian TES, 7.00%, due 06/30/32 | 1,269,690 | |||||||
934,900,000 | COP | Colombian TES, 7.25%, due 10/18/34 | 294,901 | |||||||
9,215,500,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 2,949,337 | |||||||
4,735,400,000 | COP | Colombian TES, 7.75%, due 09/18/30 | 1,551,164 | |||||||
5,969,800,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 2,072,931 |
See accompanying Notes to the Financial Statements.
100
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
8,107,000,000 | COP | Colombian TES, 11.00%, due 07/24/20 | 2,458,903 | |||||||
425,000 | EUR | Cyprus Government International Bond, (MTN), Reg S, 2.38%, due 09/25/28‡‡‡ | 542,590 | |||||||
170,000 | EUR | Cyprus Government International Bond, (MTN), Reg S, 2.75%, due 06/27/24‡‡‡ | 209,502 | |||||||
319,000 | EUR | Cyprus Government International Bond, (MTN), Reg S, 2.75%, due 02/26/34‡‡‡ | 436,182 | |||||||
72,000 | EUR | Cyprus Government International Bond, (MTN), Reg S, 2.75%, due 05/03/49‡‡‡ | 103,752 | |||||||
2,890,000 | EUR | Cyprus Government International Bond, (MTN), Reg S, 3.75%, due 07/26/23‡‡‡ | 3,607,038 | |||||||
904,000 | EUR | Cyprus Government International Bond, (MTN), Reg S, 4.25%, due 11/04/25‡‡‡ | 1,226,983 | |||||||
4,960,000 | CZK | Czech Republic Government Bond, 0.25%, due 02/10/27 | 194,472 | |||||||
3,110,000 | CZK | Czech Republic Government Bond, 2.00%, due 10/13/33 | 141,332 | |||||||
16,180,000 | CZK | Czech Republic Government Bond, 2.75%, due 07/23/29 | 775,865 | |||||||
30,750,000 | CZK | Czech Republic Government Bond, Reg S, 0.95%, due 05/15/30‡‡‡ | 1,245,580 | |||||||
11,210,000 | CZK | Czech Republic Government Bond, Reg S, 1.00%, due 06/26/26‡‡‡ | 465,066 | |||||||
12,580,000 | CZK | Czech Republic Government Bond, Reg S, 2.40%, due 09/17/25‡‡‡ | 565,674 | |||||||
745,000 | Dominican Republic International Bond, Reg S, 5.95%, due 01/25/27‡‡‡ | 808,332 | ||||||||
390,000 | Ecuador Government International Bond, 9.63%, due 06/02/27 144A | 406,579 | ||||||||
210,000 | Ecuador Government International Bond, 10.75%, due 01/31/29 144A | 227,458 | ||||||||
20,426,000 | EGP | Egypt Government Bond, 16.10%, due 05/07/29 | 1,378,922 | |||||||
240,000 | Egypt Government International Bond, 7.60%, due 03/01/29 144A | 254,674 | ||||||||
700,000 | Ghana Government International Bond, 7.63%, due 05/16/29 144A | 701,770 | ||||||||
200,000 | Ghana Government International Bond, 8.13%, due 03/26/32 144A | 201,470 | ||||||||
173,090,000 | HUF | Hungary Government Bond, 3.00%, due 08/21/30 | 621,536 | |||||||
100,670,000 | HUF | Hungary Government Bond, 1.75%, due 10/26/22 | 340,229 | |||||||
164,070,000 | HUF | Hungary Government Bond, 2.50%, due 10/24/24 | 573,233 | |||||||
88,770,000 | HUF | Hungary Government Bond, 2.75%, due 12/22/26 | 314,937 | |||||||
637,290,000 | HUF | Hungary Government Bond, 3.00%, due 06/26/24 | 2,275,570 | |||||||
120,080,000 | HUF | Hungary Government Bond, 3.00%, due 10/27/27 | 433,960 | |||||||
187,110,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 755,898 | |||||||
178,210,000 | HUF | Hungary Government Bond, 6.75%, due 10/22/28 | 828,725 | |||||||
1,200,000 | Indonesia Government International Bond, (MTN), Reg S, 5.25%, due 01/17/42‡‡‡ | 1,445,893 | ||||||||
25,770,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 1,685,443 | |||||||
15,805,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 1,016,742 | |||||||
43,447,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 3,046,157 | |||||||
42,591,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 08/15/32 | 2,981,820 | |||||||
36,595,000,000 | IDR | Indonesia Treasury Bond, 7.50%, due 05/15/38 | 2,533,730 | |||||||
41,250,000,000 | IDR | Indonesia Treasury Bond, 8.13%, due 05/15/24 | 3,076,242 | |||||||
106,458,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/29 | 8,023,386 | |||||||
11,789,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 06/15/32 | 873,540 | |||||||
24,484,000,000 | IDR | Indonesia Treasury Bond, 8.25%, due 05/15/36 | 1,801,984 | |||||||
4,252,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 318,860 | |||||||
8,419,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 636,879 | |||||||
47,071,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 3,514,657 | |||||||
19,123,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 04/15/39 | 1,421,663 | |||||||
43,775,000,000 | IDR | Indonesia Treasury Bond, 8.75%, due 05/15/31 | 3,376,087 | |||||||
17,686,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 1,382,461 | |||||||
9,536,000,000 | IDR | Indonesia Treasury Bond, 9.50%, due 07/15/31 | 772,836 | |||||||
3,815,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 329,517 | |||||||
5,660,000 | ILS | Israel Government Bond — Fixed, 3.75%, due 03/31/47 | 2,184,077 | |||||||
2,889,000 | ILS | Israel Government Bond — Fixed, 5.50%, due 01/31/42 | 1,385,638 | |||||||
337,600,000 | JPY | Japan Government Thirty Year Bond, 0.40%, due 06/20/49 | 3,168,801 |
See accompanying Notes to the Financial Statements.
101
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
500,000 | Kazakhstan Government International Bond, (MTN), Reg S, 5.13%, due 07/21/25‡‡‡ | 566,832 | ||||||||
580,000 | Kenya Government International Bond, 7.00%, due 05/22/27 144A | 603,200 | ||||||||
9,590,000,000 | KRW | Korea Treasury Bond, 1.88%, due 03/10/24 | 8,189,302 | |||||||
4,169,330,000 | KRW | Korea Treasury Bond, 2.38%, due 12/10/28 | 3,759,250 | |||||||
630,000 | Kuwait International Government Bond, 3.50%, due 03/20/27 144A | 680,324 | ||||||||
2,189,000 | MYR | Malaysia Government Bond, 3.42%, due 08/15/22 | 527,148 | |||||||
3,174,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 765,793 | |||||||
28,640,000 | MYR | Malaysia Government Bond, 3.62%, due 11/30/21 | 6,910,955 | |||||||
18,022,000 | MYR | Malaysia Government Bond, 3.80%, due 08/17/23 | 4,392,967 | |||||||
3,528,000 | MYR | Malaysia Government Bond, 3.84%, due 04/15/33 | 864,247 | |||||||
14,200,000 | MYR | Malaysia Government Bond, 3.88%, due 03/10/22 | 3,452,515 | |||||||
3,566,000 | MYR | Malaysia Government Bond, 3.88%, due 03/14/25 | 876,571 | |||||||
3,204,000 | MYR | Malaysia Government Bond, 3.89%, due 08/15/29 | 800,033 | |||||||
1,047,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 256,603 | |||||||
3,898,000 | MYR | Malaysia Government Bond, 3.90%, due 11/16/27 | 957,677 | |||||||
12,119,000 | MYR | Malaysia Government Bond, 3.96%, due 09/15/25 | 2,989,928 | |||||||
2,020,000 | MYR | Malaysia Government Bond, 4.06%, due 09/30/24 | 498,516 | |||||||
989,000 | MYR | Malaysia Government Bond, 4.13%, due 04/15/32 | 248,890 | |||||||
1,511,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 375,090 | |||||||
903,000 | MYR | Malaysia Government Bond, 4.23%, due 06/30/31 | 228,698 | |||||||
1,289,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 325,725 | |||||||
3,565,000 | MYR | Malaysia Government Bond, 4.50%, due 04/15/30 | 921,974 | |||||||
807,000 | MYR | Malaysia Government Bond, 4.74%, due 03/15/46 | 221,055 | |||||||
620,000 | MYR | Malaysia Government Bond, 4.76%, due 04/07/37 | 167,683 | |||||||
1,860,000 | MYR | Malaysia Government Bond, 4.89%, due 06/08/38 | 513,936 | |||||||
6,000,000 | MYR | Malaysia Government Bond, 4.92%, due 07/06/48 | 1,684,565 | |||||||
44,232,000 | MXN | Mexican Bonos, 5.75%, due 03/05/26 | 2,122,594 | |||||||
13,116,900 | MXN | Mexican Bonos, 6.50%, due 06/10/21 | 662,721 | |||||||
181,509,400 | MXN | Mexican Bonos, 7.50%, due 06/03/27 | 9,553,513 | |||||||
18,523,900 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 994,984 | |||||||
27,628,100 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 1,479,721 | |||||||
50,634,400 | MXN | Mexican Bonos, 7.75%, due 11/13/42 | 2,685,311 | |||||||
31,410,800 | MXN | Mexican Bonos, 8.00%, due 12/07/23 | 1,666,869 | |||||||
32,466,000 | MXN | Mexican Bonos, 8.00%, due 11/07/47 | 1,770,518 | |||||||
48,289,700 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 2,724,612 | |||||||
56,828,800 | MXN | Mexican Bonos, 8.50%, due 11/18/38 | 3,243,881 | |||||||
47,790,600 | MXN | Mexican Bonos, 10.00%, due 12/05/24 | 2,770,373 | |||||||
59,602,700 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 3,845,467 | |||||||
22,862,988 | MXN | Mexican Udibonos, 4.00%, due 11/30/28 | 1,233,891 | |||||||
17,609,659 | MXN | Mexican Udibonos, 4.50%, due 11/22/35 | 1,025,887 | |||||||
540,000 | Mexico Government International Bond, 3.60%, due 01/30/25 | 561,870 | ||||||||
760,000 | Oman Government International Bond, 6.00%, due 08/01/29 144A | 757,826 | ||||||||
455,000 | Oman Government International Bond, Reg S, 6.50%, due 03/08/47‡‡‡ | 422,251 | ||||||||
4,851,000 | PEN | Peruvian Government International Bond, Reg S, 6.35%, due 08/12/28‡‡‡ | 1,671,579 | |||||||
344,000 | PEN | Peruvian Government International Bond, Reg S (GDN), 5.70%, due 08/12/24‡‡‡ | 113,343 | |||||||
5,378,000 | PEN | Peruvian Government International Bond, Reg S (GDN), 6.95%, due 08/12/31‡‡‡ | 1,939,813 | |||||||
4,376,000 | PEN | Peruvian Government International Bond, Reg S (GDN), 8.20%, due 08/12/26‡‡‡ | 1,642,325 | |||||||
58,000,000 | PHP | Philippine Government International Bond, 3.90%, due 11/26/22 | 1,122,960 | |||||||
9,000,000 | PHP | Philippine Government International Bond, 4.95%, due 01/15/21 | 175,902 |
See accompanying Notes to the Financial Statements.
102
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
95,000,000 | PHP | Philippine Government International Bond, 6.25%, due 01/14/36 | 2,214,162 | |||||||
2,504,000 | PLN | Poland Government Bond, 1.75%, due 07/25/21 | 627,519 | |||||||
5,771,000 | PLN | Poland Government Bond, 2.50%, due 07/25/26 | 1,493,811 | |||||||
546,000 | PLN | Poland Government Bond, 2.50%, due 07/25/27 | 141,684 | |||||||
4,850,000 | PLN | Poland Government Bond, 3.25%, due 07/25/25 | 1,304,455 | |||||||
1,216,000 | PLN | Poland Government Bond, 4.00%, due 10/25/23 | 330,363 | |||||||
180,000 | Provincia de Buenos Aires/ Argentina, Reg S, 9.95%, due 06/09/21‡‡‡ | 73,800 | ||||||||
1,710,000 | Provincia de Buenos Aires/Argentina, 6.50%, due 02/15/23 144A | 615,600 | ||||||||
150,000 | Provincia de Buenos Aires/Argentina, 7.88%, due 06/15/27 144A | 55,500 | ||||||||
180,000 | Provincia de Buenos Aires/Argentina, 9.13%, due 03/16/24 144A | 67,410 | ||||||||
300,000 | Provincia de Buenos Aires/Argentina, 9.95%, due 06/09/21 144A | 123,000 | ||||||||
480,000 | Qatar Government International Bond, 4.00%, due 03/14/29 144A | 532,530 | ||||||||
590,000 | Qatar Government International Bond, 4.82%, due 03/14/49 144A | 731,528 | ||||||||
390,000 | Qatar Government International Bond, 5.10%, due 04/23/48 144A | 499,414 | ||||||||
3,143,000 | PLN | Republic of Poland Government Bond, 2.50%, due 04/25/24 | 809,496 | |||||||
7,805,000 | PLN | Republic of Poland Government Bond, 2.75%, due 04/25/28 | 2,068,549 | |||||||
8,459,000 | PLN | Republic of Poland Government Bond, 2.75%, due 10/25/29 | 2,252,693 | |||||||
30,539,918 | ZAR | Republic of South Africa Government Bond, 8.75%, due 01/31/44 | 1,796,140 | |||||||
1,675,000 | Republic of South Africa Government International Bond, 4.85%, due 09/30/29 | 1,671,297 | ||||||||
2,175,000 | RON | Romania Government Bond, 3.25%, due 04/29/24 | 488,943 | |||||||
1,200,000 | RON | Romania Government Bond, 3.65%, due 09/24/31 | 257,156 | |||||||
15,425,000 | RON | Romania Government Bond, 4.25%, due 06/28/23 | 3,621,953 | |||||||
4,305,000 | RON | Romania Government Bond, 5.00%, due 02/12/29 | 1,056,102 | |||||||
7,720,000 | RON | Romania Government Bond, 5.80%, due 07/26/27 | 1,980,042 | |||||||
181,788,000 | RUB | Russian Federal Bond — OFZ, 6.90%, due 05/23/29 | 2,803,120 | |||||||
78,879,000 | RUB | Russian Federal Bond — OFZ, 7.00%, due 08/16/23 | 1,232,966 | |||||||
333,882,000 | RUB | Russian Federal Bond — OFZ, 7.05%, due 01/19/28 | 5,218,326 | |||||||
166,648,000 | RUB | Russian Federal Bond — OFZ, 7.10%, due 10/16/24 | 2,612,251 | |||||||
109,026,000 | RUB | Russian Federal Bond — OFZ, 7.25%, due 05/10/34 | 1,697,047 | |||||||
90,051,000 | RUB | Russian Federal Bond — OFZ, 7.40%, due 12/07/22 | 1,424,036 | |||||||
142,461,000 | RUB | Russian Federal Bond — OFZ, 7.50%, due 08/18/21 | 2,234,804 | |||||||
207,325,000 | RUB | Russian Federal Bond — OFZ, 7.70%, due 03/23/33 | 3,353,532 | |||||||
156,365,000 | RUB | Russian Federal Bond — OFZ, 7.75%, due 09/16/26 | 2,542,569 | |||||||
33,612,000 | RUB | Russian Federal Bond — OFZ, 7.95%, due 10/07/26 | 553,805 | |||||||
117,074,000 | RUB | Russian Federal Bond — OFZ, 8.15%, due 02/03/27 | 1,943,321 | |||||||
195,806,000 | RUB | Russian Federal Bond — OFZ, 8.50%, due 09/17/31 | 3,375,622 | |||||||
440,000 | Senegal Government International Bond, 6.25%, due 05/23/33 144A | 444,400 | ||||||||
56,591,000 | ZAR | South Africa Government Bond, 6.25%, due 03/31/36 | 2,706,308 | |||||||
10,921,318 | ZAR | South Africa Government Bond, 6.50%, due 02/28/41 | 506,828 | |||||||
35,332,240 | ZAR | South Africa Government Bond, 7.00%, due 02/28/31 | 1,973,246 | |||||||
1,353,000 | ZAR | South Africa Government Bond, 7.75%, due 02/28/23 | 90,077 | |||||||
36,468,527 | ZAR | South Africa Government Bond, 8.00%, due 01/31/30 | 2,247,007 | |||||||
16,163,600 | ZAR | South Africa Government Bond, 8.25%, due 03/31/32 | 983,708 | |||||||
19,071,390 | ZAR | South Africa Government Bond, 8.50%, due 01/31/37 | 1,130,170 | |||||||
82,402,685 | ZAR | South Africa Government Bond, 8.75%, due 02/28/48 | 4,807,571 | |||||||
19,063,413 | ZAR | South Africa Government Bond, 8.88%, due 02/28/35 | 1,184,289 | |||||||
18,949,924 | ZAR | South Africa Government Bond, 9.00%, due 01/31/40 | 1,155,799 | |||||||
270,145,346 | ZAR | South Africa Government Bond, 10.50%, due 12/21/26 | 19,897,663 | |||||||
91,880,000 | THB | Thailand Government Bond, 2.13%, due 12/17/26 | 3,145,755 |
See accompanying Notes to the Financial Statements.
103
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
122,667,000 | THB | Thailand Government Bond, 2.88%, due 12/17/28 | 4,489,886 | |||||||
24,225,000 | THB | Thailand Government Bond, 3.60%, due 06/17/67 | 1,145,515 | |||||||
32,811,000 | THB | Thailand Government Bond, 3.65%, due 06/20/31 | 1,321,263 | |||||||
26,010,000 | THB | Thailand Government Bond, 4.00%, due 06/17/66 | 1,337,584 | |||||||
96,547,560 | THB | Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡ | 3,094,354 | |||||||
6,997,694 | TRY | Turkey Government Bond, 4.00%, due 04/01/20 | 1,247,973 | |||||||
915,952 | TRY | Turkey Government Bond, 7.10%, due 03/08/23 | 134,720 | |||||||
1,865,560 | TRY | Turkey Government Bond, 8.00%, due 03/12/25 | 267,205 | |||||||
1,690,208 | TRY | Turkey Government Bond, 8.80%, due 09/27/23 | 258,627 | |||||||
2,569,279 | TRY | Turkey Government Bond, 10.50%, due 08/11/27 | 397,689 | |||||||
4,085,272 | TRY | Turkey Government Bond, 10.60%, due 02/11/26 | 648,984 | |||||||
2,318,000 | TRY | Turkey Government Bond, 10.70%, due 08/17/22 | 383,635 | |||||||
7,954,347 | TRY | Turkey Government Bond, 11.00%, due 03/02/22 | 1,349,555 | |||||||
1,664,014 | TRY | Turkey Government Bond, 11.00%, due 02/24/27 | 265,081 | |||||||
739,302 | TRY | Turkey Government Bond, 12.20%, due 01/18/23 | 127,658 | |||||||
1,571,000 | TRY | Turkey Government Bond, 12.40%, due 03/08/28 | 268,209 | |||||||
707,985 | TRY | Turkey Government Bond, 16.20%, due 06/14/23 | 136,293 | |||||||
850,000 | Turkey Government International Bond, 6.13%, due 10/24/28 | 832,109 | ||||||||
681,000 | Turkey Government International Bond, 7.63%, due 04/26/29 | 725,330 | ||||||||
4,375,000 | GBP | United Kingdom Gilt, Reg S, 1.63%, due 10/22/28‡‡‡ | 5,976,942 | |||||||
21,388,000 | UYU | Uruguay Government International Bond, Reg S, 8.50%, due 03/15/28‡‡‡ | 502,821 | |||||||
|
| |||||||||
346,465,653 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 9.8% | ||||||||||
5,590,000 | U.S. Treasury Bond, 2.25%, due 08/15/49 | 5,750,385 | ||||||||
700,000 | U.S. Treasury Bond, 3.13%, due 05/15/48 | 851,006 | ||||||||
150,000 | U.S. Treasury Bond, 3.38%, due 11/15/48 | 191,165 | ||||||||
12,870,268 | U.S. Treasury Inflation Indexed Bonds, 0.13%, due 04/15/22 | 12,740,149 | ||||||||
12,601,014 | U.S. Treasury Inflation Indexed Bonds, 0.63%, due 04/15/23 | 12,705,972 | ||||||||
1,169,435 | U.S. Treasury Inflation Indexed Bonds, 1.00%, due 02/15/49 | 1,313,867 | ||||||||
9,039,000 | U.S. Treasury Note, 1.38%, due 01/15/20 | 9,025,583 | ||||||||
6,500,000 | U.S. Treasury Note, 1.38%, due 06/30/23 | 6,453,662 | ||||||||
9,100,000 | U.S. Treasury Note, 1.50%, due 10/31/19*** ***** ‡ | 9,095,632 | ||||||||
4,260,000 | U.S. Treasury Note, 1.63%, due 03/15/20 | 4,255,341 | ||||||||
1,655,000 | U.S. Treasury Note, 2.13%, due 05/31/21 | 1,666,475 | ||||||||
125,700 | U.S. Treasury Note, 2.25%, due 03/31/20****** | 125,928 | ||||||||
17,000,000 | U.S. Treasury Note, 2.50%, due 05/31/20 | 17,069,726 | ||||||||
|
| |||||||||
81,244,891 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $774,754,468) | 780,625,452 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 0.1% |
| |||||||||
Diversified Financial Services — 0.0% | ||||||||||
7,396,155 | Edcon Holdings, Ltd. 1* **** ^ | — | ||||||||
736,020 | Edcon Holdings, Ltd. 2* **** ^ | — | ||||||||
|
| |||||||||
— | ||||||||||
|
|
See accompanying Notes to the Financial Statements.
104
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Oil & Gas — 0.1% | ||||||||||
10 | Amplify Energy Corp. | 62 | ||||||||
8,511 | Birch Permian Holdings, Inc.* **** | 76,599 | ||||||||
66,347 | Birch Permian Holdings, Inc.* **** | 597,123 | ||||||||
14,783 | Nine Point Energy Holdings, LLC* **** | — | ||||||||
|
| |||||||||
673,784 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,610,355) | 673,784 | |||||||||
|
| |||||||||
CONVERTIBLE PREFERRED STOCK — 0.3% |
| |||||||||
Electric — 0.2% | ||||||||||
8,000 | Sempra Energy, 6.00% | 945,600 | ||||||||
14,933 | Southern Co. (The), 6.75% | 799,065 | ||||||||
|
| |||||||||
1,744,665 | ||||||||||
|
| |||||||||
Oil & Gas — 0.0% | ||||||||||
322 | Nine Point Energy Holdings, Inc., 0.00%* **** | 118,000 | ||||||||
|
| |||||||||
Semiconductors — 0.1% | ||||||||||
840 | Broadcom, Inc., 8.00%* | 861,324 | ||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCK (COST $2,798,700) | 2,723,989 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.0% |
| |||||||||
Diversified Financial Services — 0.0% | ||||||||||
6,375 | B. Riley Financial, Inc., 6.50%* | 159,821 | ||||||||
2,450 | B. Riley Financial, Inc., 6.88%‡ | 63,896 | ||||||||
|
| |||||||||
223,717 | ||||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $220,625) | 223,717 | |||||||||
|
| |||||||||
WARRANTS — 0.0% |
| |||||||||
Oil & Gas — 0.0% | ||||||||||
77 | Amplify Energy Corp.* | — | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $—) | — | |||||||||
|
| |||||||||
Notional Value | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.2% |
| |||||||||
PURCHASED CURRENCY OPTIONS — 0.1% |
| |||||||||
Call Options — 0.0% | ||||||||||
12,700,000 | USD | USD/JPY Option with Citibank N.A., Strike Price JPY 110.50, Expires 12/20/19 | 26,314 | |||||||
2,430,000 | USD | USD/EUR Option with UBS Securities LLC, Strike Price EUR 1.11, Expires 10/21/19 | 48,304 | |||||||
2,990,000 | USD | USD/EUR Option with UBS Securities LLC, Strike Price EUR 1.13, Expires 10/15/19 | 112,224 | |||||||
1,680,000 | USD | USD/EUR Option with UBS Securities LLC, Strike Price EUR 1.13, Expires 10/08/19 | 57,614 | |||||||
Put Options — 0.1% | ||||||||||
6,250,000 | USD | USD/CHF Option with BNP Paribas S.A., Strike Price CHF 0.97, Expires 11/04/19 | 8,163 |
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)
September 30, 2019 (Unaudited)
Notional Value | Description | Value ($) | ||||||||
Put Options — continued | ||||||||||
5,100,000 | USD | GBP/USD Option with Citibank N.A., Strike Price USD 1.19, Expires 02/03/20 | 74,261 | |||||||
2,540,000 | USD | USD/JPY Option with UBS Securities LLC, Strike Price JPY 108.04, Expires 10/31/19 | 21,516 | |||||||
6,350,000 | USD | GBP/USD Option with Morgan Stanley & Co., Strike Price USD 1.23, Expires 11/06/19 | 89,376 | |||||||
3,800,000 | USD | GBP/USD Option with Morgan Stanley & Co., Strike Price USD 1.20, Expires 12/06/19 | 38,391 | |||||||
1,670,000 | USD | USD/AUD Option with UBS Securities LLC, Strike Price AUD 0.70, Expires 12/05/19 | 2,896 | |||||||
1,700,000 | USD | USD/RUB Option with UBS Securities LLC, Strike Price RUB 65.28, Expires 11/20/19 | 23,591 | |||||||
|
| |||||||||
TOTAL CURRENCY OPTIONS PURCHASED (PREMIUMS PAID $359,505) | 502,650 | |||||||||
|
|
Number of Contracts | Notional Value ($) | Description | Value ($) | |||||||
PURCHASED FUTURES OPTIONS — 0.0% | ||||||||||
Put Options — 0.0% | ||||||||||
31 | 4,616,675 | S&P 500E-mini Futures with UBS Securities LLC, Strike Price $2,750.00, Expires 10/18/19 | 5,968 | |||||||
16 | 2,382,800 | S&P 500E-mini Futures with UBS Securities LLC, Strike Price $2,600.00, Expires 10/18/19 | 880 | |||||||
11 | 1,638,175 | S&P 500E-mini Futures with UBS Securities LLC, Strike Price $2,850.00, Expires 11/15/19 | 16,362 | |||||||
11 | 1,638,175 | S&P 500E-mini Futures with UBS Securities LLC, Strike Price $2,750.00, Expires 11/15/19 | 9,075 | |||||||
8 | 1,191,400 | S&P 500E-mini Futures with UBS Securities LLC, Strike Price $2,750.00, Expires 12/20/19 | 13,400 | |||||||
12 | 1,563,750 | U.S. Treasury Note10-Year Futures Option with UBS Securities LLC, Strike Price $130.00, Expires 10/25/19 | 6,375 | |||||||
|
| |||||||||
TOTAL FUTURES OPTIONS PURCHASED (PREMIUMS PAID $140,520) | 52,060 | |||||||||
|
| |||||||||
PURCHASED INDEX OPTIONS — 0.1% | ||||||||||
Put Options — 0.1% | ||||||||||
8 | 6,199,559 | NASDAQ 100E-mini Index with Citigroup Global Markets Inc., Strike Price $7,250.00, Expires 03/20/20 | 188,000 | |||||||
16 | 12,399,118 | NASDAQ 100E-mini Index with Citigroup Global Markets Inc., Strike Price $7,500.00, Expires 03/20/20 | 494,400 | |||||||
524 | 1,559,812 | S&P 500 Futures with UBS Securities LLC, Strike Price $2,865.20, Expires 01/24/20 | 25,261 | |||||||
|
| |||||||||
TOTAL INDEX OPTIONS PURCHASED (PREMIUMS PAID $682,024) | 707,661 | |||||||||
|
|
Notional Value | Description | Value ($) | ||||||||
PURCHASED SWAPTIONS — 0.0% | ||||||||||
Put Swaptions — 0.0% | ||||||||||
2,365,000 | USD | CDX.NA.HY Index Option with JPMorgan Chase Bank N.A., Strike Price $106.00, Expires 11/20/19 | 16,155 | |||||||
6,300,000 | USD | CDX.NA.HY Index Option with Bank of America N.A., Strike Price $ 100.00, Expires 12/18/19 | 12,852 |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Notional Value | Description | Value ($) | ||||||||
Put Swaptions — continued | ||||||||||
7,735,000 | USD | CDX.NA.HY Index Option with JPMorgan Chase Bank N.A., Strike Price $106.00, Expires 11/20/19 | 54,657 | |||||||
|
| |||||||||
TOTAL PURCHASED SWAPTIONS (PREMIUMS PAID $84,988) | 83,664 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (PREMIUMS PAID $1,267,037) | 1,346,035 | |||||||||
|
| |||||||||
Par Value(a) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 3.9% | ||||||||||
Certificate of Deposit — 0.2% | ||||||||||
1,650,000 | Syngenta Wilmington, Inc., 2.49%, due 12/16/19 144A | 1,641,414 | ||||||||
|
| |||||||||
Investment Company — 1.0% | ||||||||||
8,490,429 | T. Rowe Price Government Reserve Fund, 1.94%, due 09/19/34 | 8,490,429 | ||||||||
|
| |||||||||
Mutual Fund - Securities Lending Collateral — 1.3% | ||||||||||
11,009,922 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%## ** | 11,009,922 | ||||||||
|
| |||||||||
Sovereign Debt Obligations — 1.4% | ||||||||||
2,574,000 | BRL | Brazil Letras do Tesouro Nacional, 5.21%, due 07/01/21‡‡ | 565,457 | |||||||
9,393,000 | BRL | Brazil Letras do Tesouro Nacional, 5.60%, due 01/01/22‡‡ | 1,997,588 | |||||||
7,154,000 | BRL | Brazil Letras do Tesouro Nacional, 5.94%, due 07/01/22‡‡ | 1,471,607 | |||||||
5,601,000 | BRL | Brazil Letras do Tesouro Nacional, 6.61%, due 07/01/23‡‡ | 1,071,866 | |||||||
21,300,000 | EGP | Egypt Treasury Bills, 13.75%, due 03/17/20‡‡ | 1,231,277 | |||||||
21,350,000 | EGP | Egypt Treasury Bills, 14.16%, due 12/03/19‡‡ | 1,280,825 | |||||||
9,250,000 | EGP | Egypt Treasury Bills, 14.62%, due 02/11/20‡‡ | 539,765 | |||||||
62,000,000 | EGP | Egypt Treasury Bills, 9.49%, due 10/15/19‡‡ | 3,796,807 | |||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS | 11,955,192 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $32,805,182) | 33,096,957 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 98.4% (Cost $813,456,367) | 818,689,934 | |||||||||
Other Assets and Liabilities (net)(b) — 1.6% | 13,713,171 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $832,403,105 | |||||||||
|
|
Notes to Schedule of Investments: | ||||||||||
ARLLMONP — Argentina Blended Historical Policy Rate | ||||||||||
ARS — Auction Rate Security | ||||||||||
CDX.NA.HY — Markit North America High Yield CDS Index | ||||||||||
CLO — Collateralized Loan Obligation | ||||||||||
CMT — Constant Maturing Treasury Rate | ||||||||||
FNMA — Federal National Mortgage Association |
See accompanying Notes to the Financial Statements.
107
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
GDN — Global Depository Note | ||||||||
MTN — Medium Term Note | ||||||||
PIK — Payment In Kind | ||||||||
REIT — Real Estate Investment Trust | ||||||||
UMBS — Uniform Mortgage-Backed Securities are single-class securities backed by fixed-rate mortgage loans purchased by either FHLMC or FNMA | ||||||||
# | Year of maturity is greater than 2100. | |||||||
## | The rate disclosed is the 7 day net yield as of September 30, 2019. | |||||||
### | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |||||||
* | Non-income producing security | |||||||
** | Represents an investment of securities lending cash collateral. | |||||||
*** | All or a portion of this security is pledged for open futures collateral. | |||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $791,722 which represents 0.1% of net assets. The aggregate tax cost of these securities held at September 30, 2019 was $1,911,239. | |||||||
***** | All or a portion of this security is pledged for open centrally cleared swaps collateral. | |||||||
****** | All or a portion of this security is pledged for open futures, forward foreign currency contracts, OTC swaps, and/or OTC options collateral. | |||||||
^ | Level 3 — significant unobservable inputs were used in determining the value of this portfolio security. | |||||||
◆◆ | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. | |||||||
† | Variable or floating rate note. Rate shown is as of September 30, 2019. | |||||||
†† | 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. | |||||||
†††† | 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. | |||||||
‡‡‡‡ | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. As of period end, the market value of restricted securities was $3,234,343, which is 0.4% of net assets. See details shown in the Restricted Securities table that follows. |
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||||
(b) | As of September 30, 2019, the value of unfunded loan commitments was $95,627 for the Fund. See Notes to Schedule of Investments. | |||||||
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $162,422,756 which represents 19.5% of net assets. |
At September 30, 2019, the Fund held the following restricted security:
Restricted Security | Acquistion Date | Principal Amount | Cost | Value | |||||||||||||||||||||
Bonos de la Tesoreria de la Republica en pesos, Reg S, 4.70%, due 09/01/30 | 06/11/19 | CLP | 1,990,000,000 | $ | 3,219,621 | $ | 3,234,343 | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts | ||||||||||||||||||||
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
ARS | 7,845,190 | USD | 160,828 | 10/03/19 | Goldman Sachs International | $ | (25,120 | ) | ||||||||||||
ARS | 12,563,930 | USD | 266,298 | 10/16/19 | Goldman Sachs International | (58,968 | ) | |||||||||||||
ARS | 28,213,000 | USD | 438,771 | 10/03/19 | JPMorgan Chase Bank N.A. | 49,262 | ||||||||||||||
ARS | 25,511,000 | USD | 383,336 | 10/04/19 | JPMorgan Chase Bank N.A. | 56,326 | ||||||||||||||
ARS | 8,040,440 | USD | 169,558 | 10/03/19 | Morgan Stanley & Co. | (30,473 | ) | |||||||||||||
AUD | 480,000 | USD | 324,501 | 10/17/19 | Barclays Bank Plc | (588 | ) | |||||||||||||
AUD | 200,000 | USD | 135,068 | 10/17/19 | Citibank N.A. | (104 | ) | |||||||||||||
AUD | 582,857 | USD | 396,123 | 11/22/19 | Citibank N.A. | (2,345 | ) | |||||||||||||
AUD | 547,000 | USD | 371,330 | 12/27/19 | Citibank N.A. | (1,412 | ) | |||||||||||||
AUD | 5,232,726 | USD | 3,687,868 | 10/25/19 | HSBC Bank USA, N.A. | (155,752 | ) | |||||||||||||
AUD | 360,000 | USD | 247,644 | 10/17/19 | JPMorgan Chase Bank N.A. | (4,709 | ) | |||||||||||||
BRL | 7,233,087 | USD | 1,738,004 | 10/02/19 | Barclays Bank Plc | (1,535 | ) | |||||||||||||
BRL | 22,221,717 | USD | 5,434,166 | 10/02/19 | BNP Paribas S.A. | (99,332 | ) | |||||||||||||
BRL | 5,604,081 | USD | 1,345,712 | 10/02/19 | Citibank N.A. | (323 | ) | |||||||||||||
BRL | 20,541,149 | USD | 4,958,265 | 10/02/19 | Deutsche Bank AG | (26,889 | ) | |||||||||||||
BRL | 5,095,740 | USD | 1,241,652 | 11/14/19 | Deutsche Bank AG | (21,646 | ) | |||||||||||||
BRL | 13,484,000 | USD | 3,233,509 | 10/02/19 | JPMorgan Chase Bank N.A. | 3,635 | ||||||||||||||
BRL | 69,007,000 | USD | 17,040,204 | 10/02/19 | Morgan Stanley & Co. | (473,489 | ) | |||||||||||||
BRL | 6,198,980 | USD | 1,505,246 | 11/14/19 | Morgan Stanley & Co. | (21,105 | ) | |||||||||||||
CAD | 221,000 | USD | 166,999 | 10/25/19 | Bank of America N.A. | (17 | ) | |||||||||||||
CAD | 866,322 | USD | 661,072 | 10/17/19 | Barclays Bank Plc | (6,581 | ) | |||||||||||||
CAD | 3,304,000 | USD | 2,492,298 | 10/25/19 | BNP Paribas S.A. | 4,127 | ||||||||||||||
CAD | 483,569 | USD | 364,438 | 10/02/19 | Citibank N.A. | 802 | ||||||||||||||
CAD | 8,580,597 | USD | 6,473,284 | 10/25/19 | Citibank N.A. | 10,012 | ||||||||||||||
CAD | 533,278 | USD | 402,828 | 12/19/19 | Goldman Sachs & Co. | 460 | ||||||||||||||
CAD | 514,167 | USD | 386,525 | 11/18/19 | JPMorgan Chase Bank N.A. | 2,092 | ||||||||||||||
CHF | 2,025,000 | USD | 2,080,658 | 11/22/19 | Citibank N.A. | (41,277 | ) | |||||||||||||
CHF | 2,025,000 | USD | 2,081,684 | 11/22/19 | HSBC Bank USA, N.A. | (42,304 | ) | |||||||||||||
CHF | 2,025,000 | USD | 2,081,259 | 11/22/19 | JPMorgan Chase Bank N.A. | (41,878 | ) | |||||||||||||
CHF | 169,000 | USD | 171,373 | 11/22/19 | State Street Bank London | (1,173 | ) | |||||||||||||
CLP | 446,364,340 | USD | 620,295 | 11/14/19 | Barclays Bank Plc | (6,825 | ) | |||||||||||||
CLP | 228,788,409 | USD | 319,939 | 12/06/19 | Barclays Bank Plc | (5,319 | ) | |||||||||||||
CLP | 388,259,823 | USD | 541,047 | 12/06/19 | BNP Paribas S.A. | (7,129 | ) | |||||||||||||
CLP | 3,188,706,125 | USD | 4,489,125 | 12/06/19 | Credit Suisse International | (104,155 | ) | |||||||||||||
CLP | 598,000,000 | USD | 826,823 | 10/07/19 | Deutsche Bank AG | (5,558 | ) | |||||||||||||
CLP | 463,321,850 | USD | 637,350 | 11/14/19 | Goldman Sachs International | (574 | ) | |||||||||||||
CLP | 77,995,485 | USD | 109,992 | 12/06/19 | HSBC Bank USA, N.A. | (2,736 | ) | |||||||||||||
CLP | 463,506,060 | USD | 640,113 | 11/14/19 | JPMorgan Chase Bank N.A. | (3,084 | ) | |||||||||||||
CLP | 36,452,324 | USD | 51,433 | 12/06/19 | JPMorgan Chase Bank N.A. | (1,305 | ) | |||||||||||||
CLP | 827,956,820 | USD | 1,145,327 | 11/14/19 | Morgan Stanley & Co. | (7,407 | ) | |||||||||||||
CLP | 88,529,351 | USD | 123,696 | 12/06/19 | Morgan Stanley & Co. | (1,954 | ) | |||||||||||||
COP | 1,073,891,560 | USD | 315,572 | 11/14/19 | Barclays Bank Plc | (7,407 | ) | |||||||||||||
COP | 3,858,086,575 | USD | 1,138,712 | 11/14/19 | HSBC Bank Plc | (31,590 | ) | |||||||||||||
COP | 3,175,320,000 | USD | 938,056 | 10/23/19 | JPMorgan Chase Bank N.A. | (25,955 | ) | |||||||||||||
COP | 1,128,459,550 | USD | 327,755 | 11/14/19 | JPMorgan Chase Bank N.A. | (3,930 | ) | |||||||||||||
COP | 2,076,359,210 | USD | 614,671 | 11/14/19 | UBS AG | (18,836 | ) | |||||||||||||
CZK | 84,061,990 | USD | 3,586,526 | 11/14/19 | Citibank N.A. | (35,343 | ) |
See accompanying Notes to the Financial Statements.
110
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
CZK | 6,839,710 | USD | 290,901 | 11/14/19 | Credit Suisse International | $ | (1,959 | ) | ||||||||||||
CZK | 53,322,000 | USD | 2,379,847 | 10/03/19 | JPMorgan Chase Bank N.A. | (128,055 | ) | |||||||||||||
CZK | 42,446,000 | USD | 1,796,892 | 12/16/19 | JPMorgan Chase Bank N.A. | (1,900 | ) | |||||||||||||
EUR | 610,000 | USD | 679,830 | 10/17/19 | Barclays Bank Plc | (14,059 | ) | |||||||||||||
EUR | 563,000 | USD | 626,531 | 10/31/19 | BNP Paribas S.A. | (11,417 | ) | |||||||||||||
EUR | 3,006,250 | USD | 3,337,286 | 10/17/19 | Citibank N.A. | (56,179 | ) | |||||||||||||
EUR | 1,093,500 | USD | 1,217,612 | 10/23/19 | Citibank N.A. | (23,603 | ) | |||||||||||||
EUR | 6,623,858 | USD | 7,357,322 | 10/31/19 | Citibank N.A. | (120,328 | ) | |||||||||||||
EUR | 293,900 | USD | 322,809 | 11/14/19 | HSBC Bank Plc | (1,383 | ) | |||||||||||||
EUR | 410,000 | USD | 463,136 | 10/10/19 | JPMorgan Chase Bank N.A. | (15,883 | ) | |||||||||||||
EUR | 2,465,500 | USD | 2,786,380 | 10/17/19 | JPMorgan Chase Bank N.A. | (95,462 | ) | |||||||||||||
EUR | 405,000 | USD | 446,786 | 10/31/19 | JPMorgan Chase Bank N.A. | (4,298 | ) | |||||||||||||
EUR | 1,181,080 | USD | 1,292,571 | 11/14/19 | JPMorgan Chase Bank N.A. | (875 | ) | |||||||||||||
EUR | 30,566 | USD | 33,929 | 10/31/19 | State Street Bank London | (533 | ) | |||||||||||||
EUR | 902,580 | USD | 991,527 | 11/14/19 | Toronto Dominion Bank | (4,415 | ) | |||||||||||||
GBP | 609,590 | USD | 766,145 | 10/17/19 | Barclays Bank Plc | (14,492 | ) | |||||||||||||
GBP | 108,000 | USD | 132,154 | 11/22/19 | HSBC Bank USA, N.A. | 1,198 | ||||||||||||||
HUF | 479,734,820 | USD | 1,570,416 | 11/14/19 | Barclays Bank Plc | (5,392 | ) | |||||||||||||
HUF | 123,890,000 | USD | 408,765 | 11/14/19 | HSBC Bank Plc | (4,602 | ) | |||||||||||||
HUF | 857,539,000 | USD | 2,941,036 | 10/03/19 | JPMorgan Chase Bank N.A. | (149,874 | ) | |||||||||||||
HUF | 857,539,000 | USD | 2,805,254 | 12/16/19 | JPMorgan Chase Bank N.A. | (1,743 | ) | |||||||||||||
HUF | 152,070,000 | USD | 507,382 | 11/14/19 | Morgan Stanley & Co. | (11,289 | ) | |||||||||||||
IDR | 26,214,139,639 | USD | 1,848,018 | 10/04/19 | Barclays Bank Plc | (1,690 | ) | |||||||||||||
IDR | 14,389,112,712 | USD | 1,012,819 | 10/17/19 | Barclays Bank Plc | (744 | ) | |||||||||||||
IDR | 13,107,069,000 | USD | 927,278 | 10/04/19 | Citibank N.A. | (4,113 | ) | |||||||||||||
IDR | 26,214,138,000 | USD | 1,854,772 | 10/04/19 | Credit Suisse International | (8,443 | ) | |||||||||||||
IDR | 796,508,380 | USD | 56,213 | 11/14/19 | Deutsche Bank AG | (354 | ) | |||||||||||||
IDR | 7,265,958,286 | USD | 510,286 | 12/20/19 | Goldman Sachs & Co. | (2,710 | ) | |||||||||||||
IDR | 50,254,743,262 | USD | 3,547,310 | 11/14/19 | HSBC Bank Plc | (22,967 | ) | |||||||||||||
IDR | 14,427,165,600 | USD | 1,014,283 | 10/23/19 | JPMorgan Chase Bank N.A. | (176 | ) | |||||||||||||
ILS | 8,063,000 | USD | 2,313,973 | 10/10/19 | Bank of America N.A. | 6,689 | ||||||||||||||
ILS | 11,309,995 | USD | 3,217,322 | 10/10/19 | Citibank N.A. | 37,878 | ||||||||||||||
ILS | 5,607,836 | USD | 1,605,910 | 01/14/20 | Citibank N.A. | 16,696 | ||||||||||||||
INR | 247,578,000 | USD | 3,578,648 | 10/04/19 | Bank of America N.A. | (85,530 | ) | |||||||||||||
INR | 106,411,000 | USD | 1,534,935 | 10/04/19 | Citibank N.A. | (33,566 | ) | |||||||||||||
INR | 128,977,000 | USD | 1,798,240 | 10/04/19 | HSBC Bank USA, N.A. | 21,518 | ||||||||||||||
INR | 468,746,000 | USD | 6,504,038 | 01/16/20 | Morgan Stanley & Co. | 35,301 | ||||||||||||||
JPY | 106,210,000 | USD | 988,133 | 10/17/19 | Barclays Bank Plc | (4,439 | ) | |||||||||||||
JPY | 47,294,075 | USD | 449,320 | 10/28/19 | Barclays Bank Plc | (10,977 | ) | |||||||||||||
JPY | 506,779,000 | USD | 4,718,091 | 10/25/19 | BNP Paribas S.A. | (21,958 | ) | |||||||||||||
JPY | 56,790,000 | USD | 527,286 | 10/17/19 | Citibank N.A. | (1,309 | ) | |||||||||||||
JPY | 651,845,000 | USD | 6,098,144 | 10/25/19 | Citibank N.A. | (57,738 | ) | |||||||||||||
JPY | 25,119,120 | USD | 240,000 | 11/27/19 | Citibank N.A. | (6,733 | ) | |||||||||||||
JPY | 7,290,000 | USD | 67,326 | 10/17/19 | Goldman Sachs & Co. | 192 | ||||||||||||||
JPY | 13,648,218 | USD | 129,039 | 10/25/19 | HSBC Bank USA, N.A. | (2,566 | ) | |||||||||||||
JPY | 248,460,000 | USD | 2,338,272 | 10/17/19 | JPMorgan Chase Bank N.A. | (37,089 | ) | |||||||||||||
JPY | 776,336,000 | USD | 7,331,708 | 10/25/19 | JPMorgan Chase Bank N.A. | (137,691 | ) |
See accompanying Notes to the Financial Statements.
111
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
JPY | 882,202,450 | USD | 8,189,365 | 11/14/19 | Morgan Stanley & Co. | $ | (3,701 | ) | ||||||||||||
JPY | 147,531,000 | USD | 1,377,532 | 10/25/19 | State Street Bank London | (10,417 | ) | |||||||||||||
KRW | 8,746,902,000 | USD | 7,330,629 | 10/11/19 | Barclays Bank Plc | (16,475 | ) | |||||||||||||
KRW | 4,373,450,868 | USD | 3,648,830 | 10/11/19 | BNP Paribas S.A. | 8,247 | ||||||||||||||
KRW | 9,033,266,000 | USD | 7,552,241 | 10/11/19 | Citibank N.A. | 1,369 | ||||||||||||||
KRW | 4,373,451,000 | USD | 3,656,120 | 10/11/19 | JPMorgan Chase Bank N.A. | 956 | ||||||||||||||
KRW | 3,246,744,000 | USD | 2,728,471 | 10/23/19 | JPMorgan Chase Bank N.A. | (12,652 | ) | |||||||||||||
KZT | 238,677,440 | USD | 601,506 | 12/03/19 | Citibank N.A. | 5,951 | ||||||||||||||
KZT | 111,680,260 | USD | 289,327 | 10/01/19 | HSBC Bank Plc | (1,547 | ) | |||||||||||||
KZT | 74,958,850 | USD | 193,817 | 10/02/19 | HSBC Bank Plc | (662 | ) | |||||||||||||
KZT | 64,327,210 | USD | 165,259 | 10/07/19 | HSBC Bank Plc | 342 | ||||||||||||||
KZT | 97,604,220 | USD | 248,895 | 11/18/19 | HSBC Bank Plc | 323 | ||||||||||||||
KZT | 92,297,210 | USD | 235,272 | 11/25/19 | HSBC Bank Plc | 39 | ||||||||||||||
KZT | 122,069,070 | USD | 312,117 | 11/12/19 | JPMorgan Chase Bank N.A. | (26 | ) | |||||||||||||
KZT | 93,420,170 | USD | 236,507 | 12/10/19 | JPMorgan Chase Bank N.A. | 934 | ||||||||||||||
KZT | 96,126,770 | USD | 244,691 | 10/15/19 | Natwest Markets Plc | 2,406 | ||||||||||||||
MXN | 29,100,000 | USD | 1,450,988 | 01/17/20 | Barclays Bank Plc | (1,256 | ) | |||||||||||||
MXN | 32,200,000 | USD | 1,659,383 | 10/17/19 | Citibank N.A. | (32,576 | ) | |||||||||||||
MXN | 5,106,390 | USD | 259,931 | 11/14/19 | Citibank N.A. | (3,114 | ) | |||||||||||||
MXN | 99,255,000 | USD | 5,030,570 | 11/22/19 | Citibank N.A. | (44,912 | ) | |||||||||||||
MXN | 4,873,681 | USD | 242,854 | 11/26/19 | Citibank N.A. | 1,803 | ||||||||||||||
MXN | 30,311,090 | USD | 1,545,786 | 11/14/19 | Goldman Sachs International | (21,343 | ) | |||||||||||||
MXN | 50,785,000 | USD | 2,572,239 | 11/22/19 | HSBC Bank USA, N.A. | (21,268 | ) | |||||||||||||
MXN | 105,500,000 | USD | 5,373,802 | 10/03/19 | JPMorgan Chase Bank N.A. | (31,299 | ) | |||||||||||||
MXN | 25,360,000 | USD | 1,288,820 | 11/22/19 | JPMorgan Chase Bank N.A. | (14,967 | ) | |||||||||||||
MXN | 3,737,000 | USD | 187,458 | 12/16/19 | JPMorgan Chase Bank N.A. | (414 | ) | |||||||||||||
MXN | 41,086,028 | USD | 2,091,608 | 11/14/19 | Morgan Stanley & Co. | (25,259 | ) | |||||||||||||
MXN | 17,605,780 | USD | 895,963 | 11/14/19 | Natwest Markets Plc | (10,512 | ) | |||||||||||||
MYR | 493,185 | USD | 117,411 | 12/06/19 | Deutsche Bank AG | 273 | ||||||||||||||
PEN | 1,295,870 | USD | 381,643 | 11/14/19 | Barclays Bank Plc | 606 | ||||||||||||||
PEN | 224,000 | USD | 66,858 | 10/23/19 | JPMorgan Chase Bank N.A. | (722 | ) | |||||||||||||
PHP | 98,822,150 | USD | 1,889,706 | 11/14/19 | Citibank N.A. | 13,959 | ||||||||||||||
PHP | 18,780,000 | USD | 359,309 | 10/23/19 | JPMorgan Chase Bank N.A. | 2,809 | ||||||||||||||
PLN | 2,060,000 | USD | 534,095 | 11/15/19 | Bank of America N.A. | (19,970 | ) | |||||||||||||
PLN | 2,061,000 | USD | 535,057 | 11/15/19 | BNP Paribas S.A. | (20,683 | ) | |||||||||||||
PLN | 5,900,000 | USD | 1,471,579 | 11/14/19 | Citibank N.A. | 895 | ||||||||||||||
PLN | 682,000 | USD | 176,997 | 11/15/19 | Citibank N.A. | (6,786 | ) | |||||||||||||
PLN | 4,940,000 | USD | 1,251,828 | 11/14/19 | HSBC Bank Plc | (18,942 | ) | |||||||||||||
PLN | 1,085,000 | USD | 276,645 | 11/15/19 | HSBC Bank USA, N.A. | (5,856 | ) | |||||||||||||
PLN | 56,394,000 | USD | 14,925,950 | 10/03/19 | JPMorgan Chase Bank N.A. | (859,447 | ) | |||||||||||||
PLN | 22,325,900 | USD | 5,563,671 | 12/16/19 | JPMorgan Chase Bank N.A. | 11,056 | ||||||||||||||
PLN | 362,000 | USD | 91,422 | 11/15/19 | Morgan Stanley & Co. | (1,076 | ) | |||||||||||||
RON | 1,095,000 | USD | 254,651 | 10/18/19 | Bank of America N.A. | (2,999 | ) | |||||||||||||
RON | 1,351,350 | USD | 312,574 | 11/14/19 | Barclays Bank Plc | (2,165 | ) | |||||||||||||
RON | 1,103,516 | USD | 260,977 | 10/18/19 | BNP Paribas S.A. | (7,368 | ) | |||||||||||||
RON | 7,653,850 | USD | 1,806,135 | 10/18/19 | Citibank N.A. | (47,129 | ) | |||||||||||||
RON | 12,143,370 | USD | 2,829,270 | 11/14/19 | Goldman Sachs International | (39,902 | ) |
See accompanying Notes to the Financial Statements.
112
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency Purchased | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
RON | 24,088,000 | USD | 5,781,998 | 10/03/19 | JPMorgan Chase Bank N.A. | $ | (245,070 | ) | ||||||||||||
RON | 17,611,000 | USD | 4,045,158 | 12/16/19 | JPMorgan Chase Bank N.A. | (1,777 | ) | |||||||||||||
RON | 163,810 | USD | 37,977 | 10/18/19 | State Street Bank London | (330 | ) | |||||||||||||
RUB | 21,091,980 | USD | 326,198 | 11/14/19 | Barclays Bank Plc | (2,884 | ) | |||||||||||||
RUB | 51,646,986 | USD | 765,708 | 11/21/19 | Barclays Bank Plc | 25,150 | ||||||||||||||
RUB | 34,707,700 | USD | 535,423 | 11/14/19 | Citibank N.A. | (3,396 | ) | |||||||||||||
RUB | 50,194,510 | USD | 782,004 | 11/14/19 | HSBC Bank Plc | (12,583 | ) | |||||||||||||
RUB | 330,551,000 | USD | 5,011,140 | 10/16/19 | JPMorgan Chase Bank N.A. | 74,565 | ||||||||||||||
RUB | 28,467,010 | USD | 442,000 | 11/21/19 | JPMorgan Chase Bank N.A. | (6,091 | ) | |||||||||||||
SEK | 1,021,000 | USD | 105,337 | 11/22/19 | JPMorgan Chase Bank N.A. | (1,154 | ) | |||||||||||||
THB | 8,019,464 | USD | 262,370 | 12/06/19 | HSBC Bank USA, N.A. | 149 | ||||||||||||||
THB | 203,797,440 | USD | 6,675,766 | 11/14/19 | JPMorgan Chase Bank N.A. | (7,422 | ) | |||||||||||||
THB | 3,484,102 | USD | 114,361 | 12/06/19 | JPMorgan Chase Bank N.A. | (308 | ) | |||||||||||||
TRY | 16,873,080 | USD | 2,904,245 | 11/14/19 | Goldman Sachs International | 40,131 | ||||||||||||||
TRY | 2,871,670 | USD | 501,160 | 11/14/19 | HSBC Bank Plc | (50 | ) | |||||||||||||
TRY | 35,485,000 | USD | 6,034,479 | 10/03/19 | JPMorgan Chase Bank N.A. | 245,398 | ||||||||||||||
TRY | 13,297,000 | USD | 2,290,505 | 12/16/19 | JPMorgan Chase Bank N.A. | 7,777 | ||||||||||||||
TRY | 2,061,070 | USD | 352,546 | 11/14/19 | Toronto Dominion Bank | 7,114 | ||||||||||||||
TWD | 38,500,000 | USD | 1,250,000 | 10/03/19 | HSBC Bank Plc | (8,967 | ) | |||||||||||||
TWD | 19,994,110 | USD | 652,336 | 11/01/19 | JPMorgan Chase Bank N.A. | (6,811 | ) | |||||||||||||
TWD | 38,415,965 | USD | 1,246,260 | 10/03/19 | Morgan Stanley & Co. | (7,936 | ) | |||||||||||||
ZAR | 37,616,000 | USD | 2,498,506 | 12/13/19 | Bank of America N.A. | (40,636 | ) | |||||||||||||
ZAR | 1,243,172 | USD | 83,414 | 11/14/19 | Barclays Bank Plc | (1,880 | ) | |||||||||||||
ZAR | 27,701,530 | USD | 1,850,263 | 11/14/19 | Citibank N.A. | (33,443 | ) | |||||||||||||
ZAR | 5,531,110 | USD | 365,167 | 11/14/19 | Deutsche Bank AG | (2,406 | ) | |||||||||||||
ZAR | 114,555,000 | USD | 7,605,378 | 10/03/19 | JPMorgan Chase Bank N.A. | (51,219 | ) | |||||||||||||
ZAR | 9,491,970 | USD | 631,010 | 11/14/19 | Morgan Stanley & Co. | (8,474 | ) | |||||||||||||
ZAR | 17,664,558 | USD | 1,183,523 | 11/14/19 | Natwest Markets Plc | (24,983 | ) | |||||||||||||
ZAR | 690,000 | USD | 46,886 | 11/14/19 | State Street Bank London | (1,632 | ) | |||||||||||||
ZAR | 906,031 | USD | 61,450 | 12/13/19 | State Street Bank London | (2,249 | ) | |||||||||||||
USD | 281,941 | ARS | 13,363,995 | 10/15/19 | Citibank N.A. | 60,624 | ||||||||||||||
USD | 185,582 | ARS | 12,563,930 | 10/16/19 | Goldman Sachs International | (21,748 | ) | |||||||||||||
USD | 255,298 | ARS | 15,885,630 | 10/03/19 | Morgan Stanley & Co. | (19,495 | ) | |||||||||||||
USD | 140,440 | ARS | 8,075,300 | 10/04/19 | Morgan Stanley & Co. | 1,269 | ||||||||||||||
USD | 140,440 | ARS | 8,075,300 | 10/05/19 | Morgan Stanley & Co. | 1,781 | ||||||||||||||
USD | 1,557,598 | AUD | 2,293,857 | 10/17/19 | BNP Paribas S.A. | 9,663 | ||||||||||||||
USD | 3,556,225 | AUD | 5,232,726 | 10/25/19 | BNP Paribas S.A. | 24,108 | ||||||||||||||
USD | 395,900 | AUD | 582,857 | 11/22/19 | BNP Paribas S.A. | 2,122 | ||||||||||||||
USD | 1,752,274 | AUD | 2,523,036 | 10/17/19 | Citibank N.A. | 49,685 | ||||||||||||||
USD | 371,375 | AUD | 547,000 | 12/27/19 | Citibank N.A. | 1,456 | ||||||||||||||
USD | 1,776,326 | BRL | 7,233,087 | 10/02/19 | Barclays Bank Plc | 39,857 | ||||||||||||||
USD | 598,733 | BRL | 2,494,920 | 11/14/19 | Barclays Bank Plc | 1,407 | ||||||||||||||
USD | 5,336,115 | BRL | 22,221,717 | 10/02/19 | BNP Paribas S.A. | 1,281 | ||||||||||||||
USD | 2,999,479 | BRL | 12,562,717 | 12/03/19 | BNP Paribas S.A. | (5,230 | ) | |||||||||||||
USD | 1,374,223 | BRL | 5,604,081 | 10/02/19 | Citibank N.A. | 28,834 | ||||||||||||||
USD | 5,012,141 | BRL | 20,541,149 | 10/02/19 | Deutsche Bank AG | 80,766 | ||||||||||||||
USD | 630,686 | BRL | 2,629,960 | 11/14/19 | Goldman Sachs International | 1,029 |
See accompanying Notes to the Financial Statements.
113
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 4,471,905 | BRL | 18,513,370 | 11/14/19 | HSBC Bank Plc | $ | 39,492 | |||||||||||||
USD | 3,256,500 | BRL | 13,484,000 | 10/02/19 | JPMorgan Chase Bank N.A. | 19,356 | ||||||||||||||
USD | 2,865,988 | BRL | 11,775,200 | 10/23/19 | JPMorgan Chase Bank N.A. | 43,080 | ||||||||||||||
USD | 1,219,101 | BRL | 5,090,200 | 10/30/19 | JPMorgan Chase Bank N.A. | (628 | ) | |||||||||||||
USD | 3,001,099 | BRL | 12,562,000 | 12/03/19 | JPMorgan Chase Bank N.A. | (3,438 | ) | |||||||||||||
USD | 16,723,806 | BRL | 69,007,000 | 10/02/19 | Morgan Stanley & Co. | 157,090 | ||||||||||||||
USD | 3,465,418 | BRL | 14,203,015 | 10/02/19 | State Street Bank London | 55,658 | ||||||||||||||
USD | 151,797 | CAD | 199,000 | 10/25/19 | Bank of America N.A. | 1,437 | ||||||||||||||
USD | 346,201 | CAD | 460,520 | 10/17/19 | BNP Paribas S.A. | (1,714 | ) | |||||||||||||
USD | 386,290 | CAD | 514,167 | 11/18/19 | BNP Paribas S.A. | (2,327 | ) | |||||||||||||
USD | 364,521 | CAD | 483,569 | 10/17/19 | Citibank N.A. | (808 | ) | |||||||||||||
USD | 5,602,059 | CAD | 7,300,000 | 10/25/19 | Citibank N.A. | 86,351 | ||||||||||||||
USD | 402,857 | CAD | 533,278 | 12/19/19 | Goldman Sachs & Co. | (431 | ) | |||||||||||||
USD | 369,786 | CAD | 483,569 | 10/02/19 | JPMorgan Chase Bank N.A. | 4,546 | ||||||||||||||
USD | 5,072,411 | CAD | 6,611,076 | 10/25/19 | Morgan Stanley & Co. | 77,238 | ||||||||||||||
USD | 3,255,486 | CAD | 4,318,272 | 10/25/19 | State Street Bank London | (7,298 | ) | |||||||||||||
USD | 318,619 | CLP | 229,819,985 | 12/06/19 | Barclays Bank Plc | 2,581 | ||||||||||||||
USD | 5,809,209 | CLP | 4,178,286,000 | 12/06/19 | BNP Paribas S.A. | 63,411 | ||||||||||||||
USD | 1,241,086 | CLP | 879,309,370 | 11/14/19 | Credit Suisse International | 32,588 | ||||||||||||||
USD | 835,196 | CLP | 598,000,000 | 10/07/19 | Deutsche Bank AG | 13,930 | ||||||||||||||
USD | 1,801,786 | CLP | 1,268,727,460 | 11/14/19 | HSBC Bank Plc | 58,083 | ||||||||||||||
USD | 1,942,350 | CLP | 1,392,762,000 | 12/06/19 | HSBC Bank USA, N.A. | 27,084 | ||||||||||||||
USD | 3,877,598 | CLP | 2,785,524,389 | 12/06/19 | JPMorgan Chase Bank N.A. | 47,065 | ||||||||||||||
USD | 1,128,799 | CLP | 805,962,240 | 11/14/19 | UBS AG | 21,107 | ||||||||||||||
USD | 537,391 | COP | 1,871,196,270 | 11/14/19 | HSBC Bank Plc | 430 | ||||||||||||||
USD | 957,473 | COP | 3,303,952,400 | 10/23/19 | JPMorgan Chase Bank N.A. | 8,423 | ||||||||||||||
USD | 182,517 | CZK | 4,288,759 | 11/14/19 | Credit Suisse International | 1,339 | ||||||||||||||
USD | 439,568 | CZK | 10,328,971 | 11/14/19 | Deutsche Bank AG | 3,223 | ||||||||||||||
USD | 2,264,322 | CZK | 53,322,000 | 10/03/19 | JPMorgan Chase Bank N.A. | 12,530 | ||||||||||||||
USD | 2,321,013 | EUR | 2,053,272 | 10/17/19 | Barclays Bank Plc | 80,014 | ||||||||||||||
USD | 5,116,427 | EUR | 4,617,860 | 11/14/19 | Barclays Bank Plc | 66,074 | ||||||||||||||
USD | 148,131 | EUR | 132,960 | 10/17/19 | BNP Paribas S.A. | 3,014 | ||||||||||||||
USD | 7,556,023 | EUR | 6,777,947 | 10/31/19 | BNP Paribas S.A. | 150,677 | ||||||||||||||
USD | 1,580,745 | EUR | 1,408,985 | 10/17/19 | Citibank N.A. | 42,939 | ||||||||||||||
USD | 541,419 | EUR | 486,000 | 10/28/19 | Citibank N.A. | 10,551 | ||||||||||||||
USD | 499,427 | EUR | 445,000 | 10/31/19 | Citibank N.A. | 13,236 | ||||||||||||||
USD | 426,183 | EUR | 385,000 | 10/15/19 | Deutsche Bank AG | 6,045 | ||||||||||||||
USD | 362,681 | EUR | 322,000 | 10/31/19 | Deutsche Bank AG | 10,875 | ||||||||||||||
USD | 1,297,777 | EUR | 1,174,060 | 11/14/19 | Deutsche Bank AG | 13,758 | ||||||||||||||
USD | 1,187,923 | EUR | 1,070,000 | 10/09/19 | Goldman Sachs & Co. | 20,788 | ||||||||||||||
USD | 12,033,390 | EUR | 10,716,971 | 10/31/19 | HSBC Bank USA, N.A. | 324,406 | ||||||||||||||
USD | 5,515,747 | EUR | 4,862,559 | 10/17/19 | JPMorgan Chase Bank N.A. | 208,612 | ||||||||||||||
USD | 454,485 | EUR | 405,000 | 10/31/19 | JPMorgan Chase Bank N.A. | 11,997 | ||||||||||||||
USD | 204,307 | EUR | 184,092 | 10/31/19 | State Street Bank London | 3,174 | ||||||||||||||
USD | 628,932 | EUR | 570,000 | 10/28/19 | UBS AG | 6,309 | ||||||||||||||
USD | 158,131 | GBP | 130,000 | 10/17/19 | Barclays Bank Plc | (2,165 | ) | |||||||||||||
USD | 4,779,116 | GBP | 3,945,248 | 11/22/19 | Citibank N.A. | (92,251 | ) |
See accompanying Notes to the Financial Statements.
114
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 214,190 | GBP | 172,000 | 11/22/19 | HSBC Bank USA, N.A. | $ | 1,814 | |||||||||||||
USD | 1,708,982 | GBP | 1,366,368 | 11/22/19 | JPMorgan Chase Bank N.A. | 21,869 | ||||||||||||||
USD | 266,219 | GBP | 215,000 | 10/15/19 | UBS AG | 1,136 | ||||||||||||||
USD | 3,805,826 | HKD | 29,841,000 | 01/31/20 | HSBC Bank USA, N.A. | (3,638 | ) | |||||||||||||
USD | 948,154 | HUF | 286,330,970 | 11/14/19 | Credit Suisse International | 14,065 | ||||||||||||||
USD | 2,483,621 | HUF | 747,160,042 | 11/14/19 | HSBC Bank Plc | 46,184 | ||||||||||||||
USD | 2,793,331 | HUF | 857,539,000 | 10/03/19 | JPMorgan Chase Bank N.A. | 2,169 | ||||||||||||||
USD | 946,765 | HUF | 285,057,620 | 11/14/19 | State Street Bank London | 16,830 | ||||||||||||||
USD | 1,706,025 | IDR | 24,063,480,895 | 10/04/19 | Bank of America N.A. | 11,172 | ||||||||||||||
USD | 1,001,958 | IDR | 14,389,112,712 | 10/17/19 | Barclays Bank Plc | (10,117 | ) | |||||||||||||
USD | 1,819,921 | IDR | 26,214,139,639 | 01/16/20 | Barclays Bank Plc | (5,860 | ) | |||||||||||||
USD | 999,105 | IDR | 14,389,112,712 | 01/17/20 | Barclays Bank Plc | (2,969 | ) | |||||||||||||
USD | 913,003 | IDR | 13,107,069,000 | 01/16/20 | Citibank N.A. | 113 | ||||||||||||||
USD | 1,826,675 | IDR | 26,214,138,000 | 01/16/20 | Credit Suisse International | 895 | ||||||||||||||
USD | 290,314 | IDR | 4,137,113,350 | 11/14/19 | Deutsche Bank AG | 180 | ||||||||||||||
USD | 427,006 | IDR | 6,072,201,910 | 11/14/19 | HSBC Bank Plc | 1,164 | ||||||||||||||
USD | 2,228,754 | IDR | 31,282,195,044 | 10/04/19 | HSBC Bank USA, N.A. | 25,468 | ||||||||||||||
USD | 4,110,202 | IDR | 58,055,402,641 | 10/23/19 | JPMorgan Chase Bank N.A. | 29,398 | ||||||||||||||
USD | 510,286 | IDR | 7,265,958,286 | 12/20/19 | JPMorgan Chase Bank N.A. | 2,710 | ||||||||||||||
USD | 720,780 | IDR | 10,189,670,700 | 10/04/19 | Morgan Stanley & Co. | 3,096 | ||||||||||||||
USD | 270,797 | IDR | 3,836,850,000 | 11/14/19 | UBS AG | 1,720 | ||||||||||||||
USD | 1,873,604 | ILS | 6,665,159 | 10/10/19 | Bank of America N.A. | (44,737 | ) | |||||||||||||
USD | 936,605 | ILS | 3,333,000 | 10/10/19 | BNP Paribas S.A. | (22,686 | ) | |||||||||||||
USD | 1,721,412 | ILS | 6,041,836 | 10/10/19 | Citibank N.A. | (17,527 | ) | |||||||||||||
USD | 936,210 | ILS | 3,333,000 | 10/10/19 | HSBC Bank USA, N.A. | (23,082 | ) | |||||||||||||
USD | 633,328 | INR | 45,529,970 | 11/14/19 | Citibank N.A. | (6,261 | ) | |||||||||||||
USD | 1,218,121 | INR | 86,762,760 | 11/14/19 | HSBC Bank Plc | (691 | ) | |||||||||||||
USD | 205,610 | INR | 14,220,000 | 10/04/19 | HSBC Bank USA, N.A. | 4,978 | ||||||||||||||
USD | 6,594,626 | INR | 468,746,000 | 10/04/19 | Morgan Stanley & Co. | (18,986 | ) | |||||||||||||
USD | 958,475 | JPY | 101,330,000 | 10/17/19 | Barclays Bank Plc | 19,978 | ||||||||||||||
USD | 1,102,360 | JPY | 119,097,872 | 11/05/19 | Barclays Bank Plc | (2,070 | ) | |||||||||||||
USD | 717,587 | JPY | 75,440,000 | 10/17/19 | Citibank N.A. | 18,878 | ||||||||||||||
USD | 239,907 | JPY | 25,119,120 | 11/27/19 | Citibank N.A. | 6,640 | ||||||||||||||
USD | 1,673,161 | JPY | 176,834,765 | 10/25/19 | HSBC Bank USA, N.A. | 34,499 | ||||||||||||||
USD | 125,963 | JPY | 13,350,000 | 10/17/19 | JPMorgan Chase Bank N.A. | 2,318 | ||||||||||||||
USD | 4,562,012 | JPY | 480,054,058 | 10/25/19 | JPMorgan Chase Bank N.A. | 113,530 | ||||||||||||||
USD | 1,914,078 | JPY | 205,441,770 | 11/14/19 | JPMorgan Chase Bank N.A. | 7,852 | ||||||||||||||
USD | 1,602,949 | KRW | 1,945,259,267 | 10/11/19 | Barclays Bank Plc | (23,675 | ) | |||||||||||||
USD | 7,351,891 | KRW | 8,746,902,000 | 01/16/20 | Barclays Bank Plc | 14,999 | ||||||||||||||
USD | 3,659,363 | KRW | 4,373,450,868 | 01/16/20 | BNP Paribas S.A. | (9,083 | ) | |||||||||||||
USD | 4,118,938 | KRW | 4,850,338,000 | 10/11/19 | Citibank N.A. | 63,089 | ||||||||||||||
USD | 8,640,972 | KRW | 10,030,796,000 | 10/11/19 | HSBC Bank USA, N.A. | 253,227 | ||||||||||||||
USD | 33,882 | KRW | 40,684,000 | 10/23/19 | JPMorgan Chase Bank N.A. | (149 | ) | |||||||||||||
USD | 3,666,695 | KRW | 4,373,451,000 | 01/16/20 | JPMorgan Chase Bank N.A. | (1,751 | ) | |||||||||||||
USD | 8,275,021 | KRW | 9,700,676,601 | 10/11/19 | Morgan Stanley & Co. | 163,323 | ||||||||||||||
USD | 287,910 | KZT | 111,680,260 | 10/01/19 | HSBC Bank Plc | 130 | ||||||||||||||
USD | 1,471,644 | MXN | 29,100,000 | 10/17/19 | Barclays Bank Plc | 1,456 | ||||||||||||||
USD | 160,699 | MXN | 3,100,000 | 10/17/19 | BNP Paribas S.A. | 4,081 |
See accompanying Notes to the Financial Statements.
115
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 2,109,850 | MXN | 42,058,470 | 11/22/19 | BNP Paribas S.A. | $ | (2,781 | ) | ||||||||||||
USD | 1,451,124 | MXN | 28,891,079 | 11/22/19 | Citibank N.A. | (98 | ) | |||||||||||||
USD | 243,000 | MXN | 4,873,681 | 11/26/19 | Citibank N.A. | (1,657 | ) | |||||||||||||
USD | 3,638,469 | MXN | 72,550,000 | 11/22/19 | HSBC Bank USA, N.A. | (5,775 | ) | |||||||||||||
USD | 5,538,985 | MXN | 109,237,000 | 10/03/19 | JPMorgan Chase Bank N.A. | 7,242 | ||||||||||||||
USD | 2,117,354 | MXN | 42,058,000 | 11/22/19 | JPMorgan Chase Bank N.A. | 4,747 | ||||||||||||||
USD | 1,334,054 | MXN | 26,547,000 | 12/16/19 | JPMorgan Chase Bank N.A. | 5,321 | ||||||||||||||
USD | 634,557 | MXN | 12,415,740 | 11/14/19 | Morgan Stanley & Co. | 10,129 | ||||||||||||||
USD | 1,249,324 | MXN | 24,472,480 | 11/14/19 | State Street Bank London | 18,524 | ||||||||||||||
USD | 1,285,430 | MXN | 25,769,000 | 11/22/19 | State Street Bank London | (8,967 | ) | |||||||||||||
USD | 740,710 | MXN | 14,530,000 | 11/14/19 | Toronto Dominion Bank | 9,949 | ||||||||||||||
USD | 118,859 | MXN | 2,330,000 | 11/14/19 | UBS AG | 1,675 | ||||||||||||||
USD | 1,188,013 | MYR | 5,014,993 | 12/06/19 | BNP Paribas S.A. | (8,670 | ) | |||||||||||||
USD | 4,183,217 | MYR | 17,640,000 | 12/06/19 | HSBC Bank USA, N.A. | (26,058 | ) | |||||||||||||
USD | 3,547,867 | PEN | 11,885,000 | 11/14/19 | Barclays Bank Plc | 42,089 | ||||||||||||||
USD | 656,996 | PEN | 2,202,250 | 11/14/19 | Goldman Sachs International | 7,387 | ||||||||||||||
USD | 1,519,635 | PEN | 5,091,840 | 11/14/19 | HSBC Bank Plc | 17,669 | ||||||||||||||
USD | 1,400,852 | PHP | 73,640,000 | 12/06/19 | Barclays Bank Plc | (16,214 | ) | |||||||||||||
USD | 1,400,000 | PHP | 73,640,000 | 12/06/19 | Citibank N.A. | (17,066 | ) | |||||||||||||
USD | 344,738 | PHP | 17,985,000 | 12/06/19 | HSBC Bank USA, N.A. | (1,350 | ) | |||||||||||||
USD | 630,718 | PHP | 32,926,930 | 11/14/19 | Morgan Stanley & Co. | (3,571 | ) | |||||||||||||
USD | 368,862 | PLN | 1,449,000 | 11/15/19 | Bank of America N.A. | 7,228 | ||||||||||||||
USD | 299,765 | PLN | 1,194,604 | 11/14/19 | Credit Suisse International | 1,626 | ||||||||||||||
USD | 923,068 | PLN | 3,684,136 | 11/14/19 | Deutsche Bank AG | 3,611 | ||||||||||||||
USD | 280,886 | PLN | 1,100,000 | 11/14/19 | Goldman Sachs International | 6,357 | ||||||||||||||
USD | 61,178 | PLN | 240,000 | 11/14/19 | HSBC Bank Plc | 1,281 | ||||||||||||||
USD | 14,269,939 | PLN | 56,394,000 | 10/03/19 | JPMorgan Chase Bank N.A. | 203,434 | ||||||||||||||
USD | 578,179 | PLN | 2,268,300 | 11/14/19 | Morgan Stanley & Co. | 12,075 | ||||||||||||||
USD | 945,719 | PLN | 3,718,270 | 11/14/19 | Toronto Dominion Bank | 17,743 | ||||||||||||||
USD | 417,041 | RON | 1,762,000 | 10/18/19 | BNP Paribas S.A. | 12,099 | ||||||||||||||
USD | 835,253 | RON | 3,524,000 | 10/18/19 | Citibank N.A. | 25,369 | ||||||||||||||
USD | 132,704 | RON | 567,237 | 10/18/19 | HSBC Bank USA, N.A. | 2,342 | ||||||||||||||
USD | 5,574,942 | RON | 24,088,000 | 10/03/19 | JPMorgan Chase Bank N.A. | 38,012 | ||||||||||||||
USD | 627,164 | RON | 2,699,310 | 11/14/19 | JPMorgan Chase Bank N.A. | 7,124 | ||||||||||||||
USD | 417,888 | RON | 1,764,782 | 10/18/19 | Morgan Stanley & Co. | 12,306 | ||||||||||||||
USD | 835,005 | RON | 3,524,000 | 10/18/19 | State Street Bank London | 25,121 | ||||||||||||||
USD | 441,599 | RUB | 28,467,010 | 11/21/19 | Barclays Bank Plc | 5,690 | ||||||||||||||
USD | 2,263,593 | RUB | 146,210,000 | 10/17/19 | Citibank N.A. | 14,338 | ||||||||||||||
USD | 2,555,294 | RUB | 163,848,000 | 10/18/19 | Citibank N.A. | 34,997 | ||||||||||||||
USD | 765,000 | RUB | 51,646,986 | 11/21/19 | Citibank N.A. | (25,858 | ) | |||||||||||||
USD | 173,672 | RUB | 11,285,460 | 11/14/19 | HSBC Bank Plc | 680 | ||||||||||||||
USD | 3,654,472 | RUB | 236,181,000 | 10/23/19 | JPMorgan Chase Bank N.A. | 23,690 | ||||||||||||||
USD | 5,117,800 | RUB | 330,551,000 | 10/16/19 | State Street Bank London | 32,095 | ||||||||||||||
USD | 1,920,962 | SEK | 18,233,000 | 11/22/19 | JPMorgan Chase Bank N.A. | 60,463 | ||||||||||||||
USD | 1,923,490 | SEK | 18,232,474 | 11/22/19 | State Street Bank London | 63,045 | ||||||||||||||
USD | 293,743 | THB | 8,949,817 | 12/06/19 | Bank of America N.A. | 768 | ||||||||||||||
USD | 2,078,851 | THB | 63,774,996 | 12/06/19 | BNP Paribas S.A. | (8,840 | ) |
See accompanying Notes to the Financial Statements.
116
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Forward Foreign Currency Contracts — continued
Currency | Currency Sold | Settlement | Counterparty | Unrealized | ||||||||||||||||
USD | 3,685,745 | THB | 112,840,000 | 12/06/19 | Citibank N.A. | $ | (8,102 | ) | ||||||||||||
USD | 1,299,464 | THB | 39,835,080 | 11/14/19 | HSBC Bank Plc | (3,957 | ) | |||||||||||||
USD | 4,372,042 | THB | 133,613,591 | 12/06/19 | HSBC Bank USA, N.A. | (1,834 | ) | |||||||||||||
USD | 2,587,272 | THB | 78,873,000 | 10/30/19 | JPMorgan Chase Bank N.A. | 7,252 | ||||||||||||||
USD | 320,962 | THB | 9,810,210 | 11/14/19 | JPMorgan Chase Bank N.A. | (32 | ) | |||||||||||||
USD | 322,846 | TRY | 1,885,810 | 11/14/19 | Citibank N.A. | (6,230 | ) | |||||||||||||
USD | 1,264,683 | TRY | 7,393,670 | 11/14/19 | HSBC Bank Plc | (25,523 | ) | |||||||||||||
USD | 5,906,527 | TRY | 33,668,000 | 10/03/19 | JPMorgan Chase Bank N.A. | (51,789 | ) | |||||||||||||
USD | 314,006 | TRY | 1,817,000 | 12/16/19 | JPMorgan Chase Bank N.A. | (48 | ) | |||||||||||||
USD | 2,999,400 | TRY | 17,354,730 | 11/14/19 | Natwest Markets Plc | (29,025 | ) | |||||||||||||
USD | 2,487,580 | TWD | 76,915,980 | 10/03/19 | HSBC Bank Plc | 8,222 | ||||||||||||||
USD | 697,121 | TWD | 21,870,340 | 11/01/19 | HSBC Bank Plc | (8,980 | ) | |||||||||||||
USD | 2,469,434 | TWD | 76,342,540 | 11/01/19 | UBS AG | 4,654 | ||||||||||||||
USD | 2,459,587 | ZAR | 37,830,000 | 12/13/19 | Bank of America N.A. | (12,266 | ) | |||||||||||||
USD | 3,697,237 | ZAR | 57,228,975 | 01/10/20 | Bank of America N.A. | (28,592 | ) | |||||||||||||
USD | 1,210,411 | ZAR | 18,913,768 | 01/10/20 | Barclays Bank Plc | (20,948 | ) | |||||||||||||
USD | 1,224,866 | ZAR | 18,915,000 | 12/13/19 | BNP Paribas S.A. | (11,060 | ) | |||||||||||||
USD | 1,324,554 | ZAR | 19,743,690 | 11/14/19 | Citibank N.A. | 29,653 | ||||||||||||||
USD | 2,442,352 | ZAR | 37,830,000 | 12/13/19 | Citibank N.A. | (29,501 | ) | |||||||||||||
USD | 239,325 | ZAR | 3,550,000 | 11/14/19 | HSBC Bank Plc | 6,496 | ||||||||||||||
USD | 1,214,010 | ZAR | 18,915,000 | 01/10/20 | HSBC Bank USA, N.A. | (17,430 | ) | |||||||||||||
USD | 7,758,710 | ZAR | 114,555,000 | 10/03/19 | JPMorgan Chase Bank N.A. | 204,552 | ||||||||||||||
USD | 5,244,350 | ZAR | 79,937,000 | 12/17/19 | JPMorgan Chase Bank N.A. | 23,891 | ||||||||||||||
USD | 2,946,281 | ZAR | 43,721,040 | 11/14/19 | Morgan Stanley & Co. | 78,811 | ||||||||||||||
USD | 547,648 | ZAR | 8,110,370 | 11/14/19 | Natwest Markets Plc | 15,725 | ||||||||||||||
USD | 1,219,968 | ZAR | 18,915,000 | 01/10/20 | State Street Bank London | (11,472 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (181,040 | ) | ||||||||||||||||||
|
|
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
10 | 10 Year Australian Bond Futures | Dec 2019 | $ | 993,797 | $ | 8,182 | ||||||||||||||
22 | U.S. Long Bond | Dec 2019 | 3,570,875 | (64,101 | ) | |||||||||||||||
167 | U.S. Treasury Note10-Year | Dec 2019 | 21,762,188 | (45,570 | ) | |||||||||||||||
84 | U.S. Treasury Note10-Year | Dec 2019 | 11,962,125 | 91,369 | ||||||||||||||||
4 | U.S. Treasury Note2-Year | Dec 2019 | 862,000 | (1,730 | ) | |||||||||||||||
11 | U.S. Ultra Bond | Dec 2019 | 2,110,969 | 27,841 | ||||||||||||||||
49 | U.S. Ultra Bond | Dec 2019 | 9,403,406 | (160,864 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (144,873 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
117
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Futures Contracts — continued
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Sales | ||||||||||||||||||||
16 | 30 Day Federal Funds | Jan 2020 | $ | 6,561,525 | $ | (15,032 | ) | |||||||||||||
25 | Euro-Bund | Dec 2019 | 4,749,183 | 52,689 | ||||||||||||||||
26 | Euro-Buxl | Dec 2019 | 6,165,080 | (86,762 | ) | |||||||||||||||
58 | Euro-OAT | Dec 2019 | 10,768,972 | 118,359 | ||||||||||||||||
3 | Long Gilt | Dec 2019 | 496,272 | (1,792 | ) | |||||||||||||||
500 | U.S. Treasury Note 10-Year | Dec 2019 | 65,156,250 | (33,455 | ) | |||||||||||||||
643 | U.S. Treasury Note5-Year | Dec 2019 | 76,612,446 | 442,765 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 476,772 | |||||||||||||||||||
|
|
Written Options | |||||||||||||||||||||||||
Written Currency Options | |||||||||||||||||||||||||
Type of Contract | Counterparty | Notional Value | Premiums Received | Value at September 30, 2019 | |||||||||||||||||||||
CALL — USD/AUD Option | UBS Securities LLC | USD | (1,700,000 | ) | $ | (11,075 | ) | $ | (6,154 | ) | |||||||||||||||
Strike @ AUD 0.66 | |||||||||||||||||||||||||
Expires 11/20/2019 | |||||||||||||||||||||||||
CALL — USD/AUD Option | UBS Securities LLC | USD | (1,740,000 | ) | (10,814 | ) | (10,751 | ) | |||||||||||||||||
Strike @ AUD 0.66 | |||||||||||||||||||||||||
Expires 12/23/2019 | |||||||||||||||||||||||||
CALL — USD/CAD Option | UBS Securities LLC | USD | (1,670,000 | ) | (7,198 | ) | (13 | ) | |||||||||||||||||
Strike @ CAD 1.33 | |||||||||||||||||||||||||
Expires 10/01/2019 | |||||||||||||||||||||||||
CALL — USD/CAD Option | UBS Securities LLC | USD | (1,690,000 | ) | (8,188 | ) | (1,644 | ) | |||||||||||||||||
Strike @ CAD 1.36 | |||||||||||||||||||||||||
Expires 11/15/2019 | |||||||||||||||||||||||||
CALL — USD/CAD Option | UBS Securities LLC | USD | (1,880,000 | ) | (8,178 | ) | (6,230 | ) | |||||||||||||||||
Strike @ CAD 1.35 | |||||||||||||||||||||||||
Expires 12/18/2019 | |||||||||||||||||||||||||
CALL — USD/EUR Option | UBS Securities LLC | USD | (1,680,000 | ) | (6,502 | ) | (30,437 | ) | |||||||||||||||||
Strike @ EUR 1.11 | |||||||||||||||||||||||||
Expires 10/08/2019 | |||||||||||||||||||||||||
CALL — USD/EUR Option | UBS Securities LLC | USD | (2,430,000 | ) | (9,914 | ) | (16,410 | ) | |||||||||||||||||
Strike @ EUR 1.09 | |||||||||||||||||||||||||
Expires 10/24/2019 | |||||||||||||||||||||||||
CALL — USD/MXN Option | UBS Securities LLC | USD | (850,000 | ) | (12,546 | ) | (4,939 | ) | |||||||||||||||||
Strike @ MXN 20.53 | |||||||||||||||||||||||||
Expires 11/22/2019 | |||||||||||||||||||||||||
CALL — USD/RUB Option | UBS Securities LLC | USD | (1,700,000 | ) | (16,267 | ) | (2,470 | ) | |||||||||||||||||
Strike @ RUB 70.46 | |||||||||||||||||||||||||
Expires 11/20/2019 |
See accompanying Notes to the Financial Statements.
118
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Written Currency Options — continued | |||||||||||||||||||||||||
Type of Contract | Counterparty | Notional Value | Premiums Received | Value at September 30, 2019 | |||||||||||||||||||||
PUT — USD/IDR Option | UBS Securities LLC | USD | (1,880,000 | ) | $ | (8,065 | ) | $ | (4,399 | ) | |||||||||||||||
Strike @ IDR 13,950.00 | |||||||||||||||||||||||||
Expires 12/18/2019 | |||||||||||||||||||||||||
PUT — USD/JPY Option | UBS Securities LLC | USD | (2,390,000 | ) | (12,476 | ) | (753 | ) | |||||||||||||||||
Strike @ JPY 102.70 | |||||||||||||||||||||||||
Expires 10/24/2019 | |||||||||||||||||||||||||
PUT — USD/JPY Option | UBS Securities LLC | USD | (1,195,000) | (8,496 | ) | (1,037 | ) | ||||||||||||||||||
Strike @ JPY 101.31 | |||||||||||||||||||||||||
Expires 11/25/2019 | |||||||||||||||||||||||||
PUT — USD/RUB Option | UBS Securities LLC | USD | (1,700,000) | (8,531 | ) | (3,400 | ) | ||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Strike @ RUB 62.87 | |||||||||||||||||||||||||
Expires 11/20/2019 | |||||||||||||||||||||||||
Total Written Currency Options |
| $ | (128,250 | ) | $ | (88,637 | ) | ||||||||||||||||||
|
|
|
|
Written Futures Options
Type of Contract | Counterparty | Number of Contracts | Notional Value | Premiums Received | Value at September 30, 2019 | ||||||||||||||||||||
CALL — U.S. Treasury Note10-Year | UBS Securities LLC | 12 | $ | (1,563,750 | ) | $ | (6,542 | ) | $ | (938 | ) | ||||||||||||||
Strike @ $ 133.00 | |||||||||||||||||||||||||
Expires 10/25/2019 | |||||||||||||||||||||||||
PUT — S&PE-mini Futures Option | UBS Securities LLC | 10 | (1,489,250 | ) | (3,729 | ) | (275 | ) | |||||||||||||||||
Strike @ $ 2,500.00 | |||||||||||||||||||||||||
Expires 10/18/2019 | |||||||||||||||||||||||||
PUT — S&PE-mini Futures Option | UBS Securities LLC | 16 | (2,382,800 | ) | (9,567 | ) | (240 | ) | |||||||||||||||||
Strike @ $ 2,400.00 | |||||||||||||||||||||||||
Expires 10/18/2019 | |||||||||||||||||||||||||
PUT — S&PE-mini Futures Option | UBS Securities LLC | 14 | (2,084,950 | ) | (6,271 | ) | (560 | ) | |||||||||||||||||
Strike @ $ 2,550.00 | |||||||||||||||||||||||||
Expires 10/18/2019 | |||||||||||||||||||||||||
PUT — S&PE-mini Futures Option | UBS Securities LLC | 11 | (1,638,175 | ) | (21,564 | ) | (6,600 | ) | |||||||||||||||||
Strike @ $ 2,700.00 | |||||||||||||||||||||||||
Expires 11/15/2019 | |||||||||||||||||||||||||
PUT — S&PE-mini Futures Option | UBS Securities LLC | 11 | (1,638,175 | ) | (5,064 | ) | (2,585 | ) | |||||||||||||||||
Strike @ $ 2,550.00 | |||||||||||||||||||||||||
Expires 11/15/2019 | |||||||||||||||||||||||||
PUT — S&PE-mini Futures Option | UBS Securities LLC | 8 | (1,191,400 | ) | (5,183 | ) | (5,100 | ) | |||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Strike @ $ 2,550.00 | |||||||||||||||||||||||||
Expires 12/20/2019 | |||||||||||||||||||||||||
Total Written Futures Options |
| $ | (57,920 | ) | $ | (16,298 | ) | ||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Written Options |
| $ | (186,170 | ) | $ | (104,935 | ) | ||||||||||||||||||
|
|
|
|
See accompanying Notes to the Financial Statements.
119
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
OTC — Interest Rate Swaps | ||||||||||||||||||||||
Payments | Payments Made by Fund | Maturity Date | Counterparty | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
12-Month US CPI | 2.32% | 09/14/23 | HSBC Sec. New York | $ | — | $ | 11,300,000 | $ | (428,280 | ) | $ | (428,280 | ) | |||||||||
12-Month US CPI | 1.95% | 03/28/24 | Merrill Lynch Capital Services, Inc. | — | 2,150,000 | (31,486 | ) | (31,486 | ) | |||||||||||||
12-Month US CPI | 1.91% | 05/23/24 | Bank of America N.A. | — | 2,225,000 | (31,323 | ) | (31,323 | ) | |||||||||||||
12-Month US CPI | 1.90% | 05/24/24 | Bank of America N.A. | — | 3,869,565 | (54,058 | ) | (54,058 | ) | |||||||||||||
12-Month US CPI | 1.90% | 01/15/24 | HSBC Sec. New York | — | 1,635,000 | (26,482 | ) | (26,482 | ) | |||||||||||||
12-Month US CPI | 1.89% | 05/24/24 | Morgan Stanley & Co. | — | 2,805,435 | (37,682 | ) | (37,682 | ) | |||||||||||||
6.87% | BRL-CDI | 01/04/27 | JPMorgan Chase Bank N.A. | — | 7,210,000 | 16,327 | 16,327 | |||||||||||||||
7.02% | BRL-CDI | 01/04/27 | Citigroup Global Markets Inc. | — | 1,800,000 | 6,047 | 6,047 | |||||||||||||||
7.02% | BRL-CDI | 01/04/27 | Citigroup Global Markets Inc. | 1,105 | 2,100,000 | 7,055 | 5,950 | |||||||||||||||
7.02% | BRL-CDI | 01/04/27 | Citigroup Global Markets Inc. | 1,320 | 2,156,000 | 7,243 | 5,923 | |||||||||||||||
7.04% | BRL-CDI | 01/04/27 | JPMorgan Chase Bank N.A. | — | 1,400,000 | 5,011 | 5,011 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 2,425 | $ | (567,628 | ) | $ | (570,053 | ) | |||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps | |||||||||||||||||||||||||||||||||||
Payments | Payments Made by Fund | Maturity Date | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
7.20% | 1-Month TIIE | 07/17/24 | $ | — | MXN | 182,404,200 | $ | 259,074 | $ | 259,074 | |||||||||||||||||||||||||
3-Month CDOR | 3.01% | 10/31/48 | — | CAD | 150,000 | (29,583 | ) | (29,583 | ) | ||||||||||||||||||||||||||
3-Month CDOR | 2.94% | 09/25/48 | — | CAD | 40,000 | (7,421 | ) | (7,421 | ) | ||||||||||||||||||||||||||
3-Month CDOR | 2.81% | 09/12/48 | — | CAD | 1,260,000 | (203,713 | ) | (203,713 | ) | ||||||||||||||||||||||||||
3-Month CDOR | 2.53% | 04/16/49 | 2 | CAD | 50,000 | (5,786 | ) | (5,788 | ) | ||||||||||||||||||||||||||
3-Month CDOR | 2.44% | 04/05/49 | 1 | CAD | 80,000 | (7,905 | ) | (7,906 | ) | ||||||||||||||||||||||||||
3-Month CDOR | 2.43% | 03/20/49 | 1 | CAD | 150,000 | (14,567 | ) | (14,568 | ) | ||||||||||||||||||||||||||
1.70% | 3-Month CDOR | 06/21/24 | — | CAD | 6,171,533 | (9,801 | ) | (9,801 | ) | ||||||||||||||||||||||||||
1.71% | 3-Month CDOR | 06/21/24 | — | CAD | 5,846,715 | (12,153 | ) | (12,153 | ) | ||||||||||||||||||||||||||
1.71% | 3-Month CDOR | 06/21/24 | — | CAD | 5,781,752 | (7,189 | ) | (7,189 | ) | ||||||||||||||||||||||||||
1.83% | 3-Month CDOR | 05/28/24 | (233 | ) | CAD | 6,256,591 | 15,792 | 16,025 | |||||||||||||||||||||||||||
1.83% | 3-Month CDOR | 05/28/24 | (233 | ) | CAD | 6,256,590 | 16,324 | 16,557 | |||||||||||||||||||||||||||
1.84% | 3-Month CDOR | 05/28/24 | — | CAD | 5,286,819 | 15,952 | 15,952 | ||||||||||||||||||||||||||||
3-Month USD LIBOR | 2.88% | 05/15/44 | 10,190 | USD | 1,786,000 | (425,074 | ) | (435,264 | ) | ||||||||||||||||||||||||||
3-Month USD LIBOR | 2.75% | 08/15/44 | (10,220 | ) | USD | 2,295,000 | (490,581 | ) | (480,361 | ) | |||||||||||||||||||||||||
3-Month USD LIBOR | 2.50% | 01/31/26 | (122,884 | ) | USD | 9,095,000 | (543,694 | ) | (420,810 | ) | |||||||||||||||||||||||||
3-Month USD LIBOR | 2.30% | 04/26/23 | 371 | USD | 5,494,000 | (46,617 | ) | (46,988 | ) | ||||||||||||||||||||||||||
3-Month USD LIBOR | 2.25% | 12/31/25 | 21,665 | USD | 4,216,000 | (186,399 | ) | (208,064 | ) | ||||||||||||||||||||||||||
2.25% | 3-Month USD LIBOR | 04/26/22 | 1,244 | USD | 5,381,000 | 45,043 | 43,799 | ||||||||||||||||||||||||||||
1.65% | 6-Month BUBOR | 07/05/29 | 5 | HUF | 78,465,810 | 9,647 | 9,642 | ||||||||||||||||||||||||||||
6-Month EURIBOR | 0.86% | 12/11/28 | — | EUR | 9,900,000 | (1,078,130 | ) | (1,078,130 | ) |
See accompanying Notes to the Financial Statements.
120
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Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Centrally Cleared Interest Rate Swaps — continued | |||||||||||||||||||||||||||||||||||
Payments | Payments Made by Fund | Maturity Date | Upfront Premiums Paid (Received) | Notional Value | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||||
6-Month EURIBOR | 0.00% | 09/17/29 | $ | — | EUR | 11,800,000 | $ | (135,622 | ) | $ | (135,622 | ) | |||||||||||||||||||||||
6-Month EURIBOR | 0.00% | 09/18/29 | — | EUR | 11,800,000 | (146,679 | ) | (146,679 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.99% | 04/09/24 | — | CZK | 7,000,000 | (2,922 | ) | (2,922 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.87% | 03/27/24 | — | CZK | 6,700,820 | (1,249 | ) | (1,249 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.87% | 03/28/24 | — | CZK | 20,102,459 | (3,728 | ) | (3,728 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.86% | 03/29/24 | — | CZK | 72,656,060 | (11,737 | ) | (11,737 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.83% | 04/01/24 | — | CZK | 3,832,803 | (447 | ) | (447 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.83% | 04/01/24 | — | CZK | 3,832,803 | (429 | ) | (429 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.82% | 04/02/24 | — | CZK | 8,176,646 | (746 | ) | (746 | ) | ||||||||||||||||||||||||||
6-Month PRIBOR | 1.80% | 04/01/24 | — | CZK | 3,832,803 | (213 | ) | (213 | ) | ||||||||||||||||||||||||||
6-Month USD LIBOR | 1.51% | 05/07/49 | 20 | GBP | 950,000 | (259,525 | ) | (259,545 | ) | ||||||||||||||||||||||||||
6-Month USD LIBOR | 1.45% | 03/08/69 | — | GBP | 320,000 | (133,348 | ) | (133,348 | ) | ||||||||||||||||||||||||||
6-Month USD LIBOR | 1.43% | 04/05/69 | — | GBP | 25,000 | (10,213 | ) | (10,213 | ) | ||||||||||||||||||||||||||
6-Month USD LIBOR | 0.58% | 03/22/29 | — | EUR | 1,200,000 | (96,898 | ) | (96,898 | ) | ||||||||||||||||||||||||||
6-Month WIBOR | 2.98% | 09/17/28 | — | PLN | 34,190,000 | (960,540 | ) | (960,540 | ) | ||||||||||||||||||||||||||
6-Month WIBOR | 2.93% | 11/05/28 | — | PLN | 1,135,000 | (30,954 | ) | (30,954 | ) | ||||||||||||||||||||||||||
6-Month WIBOR | 2.47% | 01/14/29 | — | PLN | 3,300,000 | (58,693 | ) | (58,693 | ) | ||||||||||||||||||||||||||
6-Month WIBOR | 2.33% | 03/25/29 | — | PLN | 6,980,000 | (105,035 | ) | (105,035 | ) | ||||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||||||||||
$ | (4,565,688 | ) | |||||||||||||||||||||||||||||||||
|
|
OTC — Credit Default Swaps
Buy Protection
Notional | Currency | Expiration Date | Counterparty | Receive | Deliverable | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | ||||||||||||||||
200,000 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | BMW AG, 0.13%, 01/12/21 | $ | (3,529 | ) | $ | (1,783 | ) | $ | (5,312 | ) | |||||||||
720,000 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | BMW AG, 0.13%, 01/12/21 | (12,004 | ) | (7,120 | ) | (19,124 | ) | ||||||||||||
345,000 | EUR | 06/20/24 | Barclays Bank Plc | (1.00 | %) | BMW AG, 0.13%, 01/12/21 | (2,456 | ) | (6,283 | ) | (8,739 | ) | ||||||||||||
5,640,000 | USD | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | Bank of China Ltd., 3.13%, 01/23/19 | (71,975 | ) | (56,485 | ) | (128,460 | ) | ||||||||||||
820,000 | USD | 12/20/23 | Barclays Bank Plc | (1.00 | %) | Bank of China Ltd., 3.13%, 01/23/19 | (11,065 | ) | (7,612 | ) | (18,677 | ) | ||||||||||||
2,150,000 | USD | 11/17/59 | Morgan Stanley & Co. | (3.00 | %) | CMBX.NA.BBB-.10** | (21,608 | ) | 92,915 | 71,307 | ||||||||||||||
115,207 | USD | 11/17/59 | Credit Suisse International | (3.00 | %) | CMBX.NA.BBB-.10** | (2,391 | ) | 6,212 | 3,821 | ||||||||||||||
1,627,217 | USD | 11/17/59 | Morgan Stanley & Co. | (3.00 | %) | CMBX.NA.BBB-.10** | (37,824 | ) | 91,793 | 53,969 | ||||||||||||||
757,576 | USD | 11/17/59 | Credit Suisse International | (3.00 | %) | CMBX.NA.BBB-.10** | (16,761 | ) | 41,887 | 25,126 |
See accompanying Notes to the Financial Statements.
121
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Buy Protection — continued
Notional | Currency | Expiration Date | Counterparty | Receive | Deliverable | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | ||||||||||||||||
3,700,000 | USD | 11/17/59 | Morgan Stanley & Co. | (3.00 | %) | CMBX.NA.BBB-.10** | $ | (22,466 | ) | $ | 145,181 | $ | 122,715 | |||||||||||
2,200,000 | USD | 11/17/59 | Morgan Stanley & Co. | (3.00 | %) | CMBX.NA.BBB-.10** | (6,875 | ) | 79,841 | 72,966 | ||||||||||||||
2,400,000 | USD | 11/17/59 | Morgan Stanley & Co. | (3.00 | %) | CMBX.NA.BBB-.10** | (1,508 | ) | 81,107 | 79,599 | ||||||||||||||
415,000 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | Daimler AG, 0.63%, 03/05/20 | (7,760 | ) | (1,589 | ) | (9,349 | ) | ||||||||||||
335,893 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | Daimler AG, 0.63%, 03/05/20 | (5,357 | ) | (2,210 | ) | (7,567 | ) | ||||||||||||
310,000 | EUR | 12/20/23 | Barclays Bank Plc | (1.00 | %) | Daimler AG, 0.63%, 03/05/20 | (4,944 | ) | (2,040 | ) | (6,984 | ) | ||||||||||||
140,000 | EUR | 06/20/24 | Merrill Lynch Capital Services, Inc. | (1.00 | %) | Daimler AG, 0.63%, 03/05/20 | (1,247 | ) | (1,637 | ) | (2,884 | ) | ||||||||||||
70,190 | EUR | 06/20/24 | Merrill Lynch Capital Services, Inc. | (5.00 | %) | Glencore International AG, 6.50%, 02/27/19 | 1,604 | (14,202 | ) | (12,598 | ) | |||||||||||||
4,060,000 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (5.00 | %) | Glencore International AG, 6.50%, 02/27/19 | 2,585 | (704,056 | ) | (701,471 | ) | |||||||||||||
170,000 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (5.00 | %) | Glencore International AG, 3.38%, 09/30/20 | 615 | (29,987 | ) | (29,372 | ) | |||||||||||||
600,000 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (5.00 | %) | Glencore International AG, 6.50%, 02/27/19 | (6,181 | ) | (97,485 | ) | (103,666 | ) | ||||||||||||
63,170 | EUR | 06/20/24 | Merrill Lynch Capital Services, Inc. | (5.00 | %) | Glencore International AG, 6.50%, 02/27/19 | 1,485 | (12,823 | ) | (11,338 | ) | |||||||||||||
191,071 | EUR | 06/20/24 | Merrill Lynch Capital Services, Inc. | (5.00 | %) | Glencore International AG, 6.50%, 02/27/19 | 4,757 | (39,050 | ) | (34,293 | ) | |||||||||||||
140,379 | EUR | 06/20/24 | Merrill Lynch Capital Services, Inc. | (5.00 | %) | Glencore International AG, 6.50%, 02/27/19 | 2,940 | (28,135 | ) | (25,195 | ) | |||||||||||||
70,190 | EUR | 06/20/24 | Merrill Lynch Capital Services, Inc. | (5.00 | %) | Glencore International AG, 6.50%, 02/27/19 | 1,560 | (14,158 | ) | (12,598 | ) | |||||||||||||
413,000 | USD | 06/20/24 | Barclays Bank Plc | (1.00 | %) | Hess Corp., 3.50%, 07/15/24 | (694 | ) | 3,939 | 3,245 | ||||||||||||||
525,000 | USD | 06/20/24 | Citibank N.A. | (1.00 | %) | Hess Corp., 3.50%, 07/15/24 | (1,916 | ) | 6,040 | 4,124 | ||||||||||||||
87,000 | USD | 06/20/24 | Citibank N.A. | (1.00 | %) | Hess Corp., 3.50%, 07/15/24 | (318 | ) | 1,001 | 683 | ||||||||||||||
385,000 | USD | 06/20/24 | Barclays Bank Plc | (1.00 | %) | Hess Corp., 3.50%, 07/15/24 | (1,308 | ) | 4,333 | 3,025 | ||||||||||||||
440,000 | USD | 06/20/24 | JPMorgan Chase Bank N.A. | (1.00 | %) | Hess Corp., 3.50%, 07/15/24 | (1,398 | ) | 4,855 | 3,457 | ||||||||||||||
350,000 | USD | 06/20/24 | Barclays Bank Plc | (1.00 | %) | Hess Corp., 3.50%, 07/15/24 | (467 | ) | 3,217 | 2,750 | ||||||||||||||
200,000 | USD | 06/20/24 | Barclays Bank Plc | (1.00 | %) | Hess Corp., 3.50%, 07/15/24 | (443 | ) | 2,015 | 1,572 | ||||||||||||||
1,000,000 | USD | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | Kingdom of Bahrain, 5.50%, 03/31/20 | (36,525 | ) | 78,228 | 41,703 |
See accompanying Notes to the Financial Statements.
122
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Buy Protection — continued
Notional | Currency | Expiration Date | Counterparty | Receive | Deliverable | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid/ (Received) | Value | ||||||||||||||||
162,037 | USD | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | Kingdom of Bahrain, 5.50%, 03/31/20 | $ | (4,633 | ) | $ | 11,390 | $ | 6,757 | |||||||||||
324,074 | USD | 12/20/23 | Barclays Bank Plc | (1.00 | %) | Kingdom of Bahrain, 5.50%, 03/31/20 | (8,553 | ) | 22,068 | 13,515 | ||||||||||||||
213,889 | USD | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | Kingdom of Bahrain, 5.50%, 03/31/20 | (4,261 | ) | 13,181 | 8,920 | ||||||||||||||
120,000 | USD | 06/20/24 | Barclays Bank Plc | (1.00 | %) | Kingdom of Bahrain, 5.50%, 03/31/20 | (1,748 | ) | 7,970 | 6,222 | ||||||||||||||
85,000 | USD | 12/20/24 | Morgan Stanley & Co. | (1.00 | %) | Newell Brands Inc., 3.85%, 04/01/23 | 316 | 618 | 934 | |||||||||||||||
220,000 | USD | 12/20/24 | Bank of America N.A. | (1.00 | %) | Newell Brands Inc., 3.85%, 04/01/23 | 818 | 1,600 | 2,418 | |||||||||||||||
428,492 | USD | 12/20/24 | BNP Paribas S.A. | (1.00 | %) | Newell Brands Inc., 3.85%, 04/01/23 | 1,391 | 3,319 | 4,710 | |||||||||||||||
230,000 | USD | 06/20/24 | Barclays Bank Plc | (5.00 | %) | Springleaf Finance Corp., 7.75%, 10/01/21 | 2,477 | (35,267 | ) | (32,790 | ) | |||||||||||||
770,000 | EUR | 12/20/23 | JPMorgan Chase Bank N.A. | (1.00 | %) | Volkswagen AG, 5.50%, 03/30/21 | (9,552 | ) | (458 | ) | (10,010 | ) | ||||||||||||
350,000 | EUR | 06/20/24 | Barclays Bank Plc | (1.00 | %) | Volkswagen AG, 5.50%, 03/30/21 | (4,164 | ) | 1,214 | (2,950 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Buy Protection | $ | (291,383 | ) | $ | (358,456 | ) | $ | (649,839 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Sell Protection
| ||||||||||||||||||||||||
2,300,000 | EUR | 12/20/24 | JPMorgan Chase Bank N.A. | 5.00 | % | ArcelorMittal SA, 2.88%, 07/06/20 (Moody’s rating: Baa3; S&P rating: BBB-) | (21,902 | ) | 433,119 | 411,217 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Sell Protection | $ | (21,902 | ) | $ | 433,119 | $ | 411,217 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total OTC Credit Default Swaps | $ | (313,285 | ) | $ | 74,663 | $ | (238,622 | ) | ||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps
Buy Protection
Notional | Currency | Expiration Date | Receive | Deliverable | Unrealized Appreciation (Depreciation) | Upfront Premiums Paid (Received) | Value | |||||||||||||||
3,960,000 | USD | 06/20/24 | (5.00%) | CDX.NA.HY.32*** | $ | (53,690 | ) | $ | (225,720 | ) | $ | (279,410 | ) | |||||||||
1,270,509 | USD | 06/20/24 | (5.00%) | CDX.NA.HY.32*** | (26,120 | ) | (63,525 | ) | (89,645 | ) | ||||||||||||
1,182,450 | USD | 06/20/24 | (5.00%) | CDX.NA.HY.32*** | (24,309 | ) | (59,123 | ) | (83,432 | ) | ||||||||||||
3,420,000 | USD | 12/20/24 | (5.00%) | CDX.NA.HY.33*** | (7,372 | ) | (220,758 | ) | (228,130 | ) | ||||||||||||
33,000,000 | USD | 12/20/24 | (1.00%) | CDX.NA.IG.33**** | 19,617 | (668,020 | ) | (648,403 | ) | |||||||||||||
32,400,000 | EUR | 12/20/24 | (1.00%) | iTRAXX Europe S31 Index | (2,829 | ) | (823,377 | ) | (826,206 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | (94,703 | ) | $ | (2,060,523 | ) | $ | (2,155,226 | ) | ||||||||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
123
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
* | 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. |
** | The CMBX Index tracks the performance of a basket of twenty five commercial mortgage backed securities. TheBBB- tranche represents underlying security tranches with an initial rating ofBBB-. |
*** | CDX.NA.HY — Markit North America High Yield CDS Index. Represents an index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated BB and B. |
**** | CDX.NA.IG — Markit North America Investment Grade CDS Index. Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index. |
U.S. Treasury securities in the amount of $344,500 received at the custodian bank as collateral for forward foreign currency contracts, OTC swaps and/or OTC options.
Currency Abbreviations
ARS | — Argentine Peso |
AUD | — Australian Dollar |
BRL | — Brazilian Real |
CAD | — Canadian Dollar |
CHF | — Swiss Franc |
CLP | — Chilean Peso |
COP | — Colombian Peso |
CZK | — Czech Koruna |
EGP | — Egyptian Pound |
EUR | — Euro Currency |
GBP | — British Pound Sterling |
HKD | — Hong Kong Dollar |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
ILS | — Israeli Shekel |
INR | — Indian Rupee |
JPY | — Japanese Yen |
KRW | — South Korean Won |
KZT | — Kazakhstani Tenge |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
PEN | — Peruvian Nuevo Sol |
PHP | — Philippines Peso |
PLN | — Polish Zloty |
RON | — Romanian New Leu |
RUB | — Russian Ruble |
SEK | — Swedish Krona |
THB | — Thai Baht |
TRY | — Turkish New Lira |
TWD | — Taiwan Dollar |
USD | — U.S. Dollar |
UYU | — Uruguayan Peso |
ZAR | — South African Rand |
See accompanying Notes to the Financial Statements.
124
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Sovereign Debt Obligations | 41.6 | ||||
Corporate Debt | 30.2 | ||||
U.S. Government and Agency Obligations | 9.8 | ||||
Bank Loans | 5.9 | ||||
Asset Backed Securities | 3.2 | ||||
Mortgage Backed Securities — Private Issuers | 2.7 | ||||
Convertible Preferred Stock | 0.3 | ||||
Convertible Debt | 0.3 | ||||
Mortgage Backed Securities — U.S. Government Agency Obligations | 0.2 | ||||
Purchased Index Options | 0.1 | ||||
Common Stocks | 0.1 | ||||
Purchased Currency Options | 0.1 | ||||
Futures Contracts | 0.1 | ||||
Preferred Stocks | 0.0 | * | |||
Purchased Swaptions | 0.0 | * | |||
Purchased Futures Options | 0.0 | * | |||
Warrants | 0.0 | * | |||
Written Futures Options | 0.0 | * | |||
Written Currency Options | 0.0 | * | |||
OTC Credit Default Swaps | 0.0 | * | |||
OTC Interest Rate Swaps | (0.1 | ) | |||
Centrally Cleared Credit Default Swaps | (0.3 | ) | |||
Centrally Cleared Interest Rate Swaps | (0.6 | ) | |||
Forward Foreign Currency Contracts | (8.4 | ) | |||
Short-Term Investments | 3.9 | ||||
Other Assets and Liabilities (net) | 10.9 | ||||
|
| ||||
100.0 | % | ||||
|
|
* | Amount rounds to zero. |
See accompanying Notes to the Financial Statements.
125
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 93.0% |
| |||||||||
Bermuda — 1.9% | ||||||||||
336,000 | Beijing Enterprises Water Group, Ltd.* | 171,870 | ||||||||
218,300 | China Gas Holdings, Ltd. | 843,750 | ||||||||
80,000 | China Grand Pharmaceutical and Healthcare Holdings, Ltd. Class A‡ | 42,146 | ||||||||
416,000 | China Oriental Group Co., Ltd. | 143,807 | ||||||||
640,500 | China Resources Gas Group, Ltd. | 3,165,979 | ||||||||
521,512 | COSCO SHIPPING Ports, Ltd. | 416,443 | ||||||||
748,000 | CP Pokphand Co., Ltd. | 63,928 | ||||||||
27,207 | Credicorp, Ltd. | 5,671,027 | ||||||||
1,754,000 | Gemdale Properties & Investment Corp., Ltd. | 194,655 | ||||||||
1,315,000 | Haier Electronics Group Co., Ltd. | 3,430,333 | ||||||||
250,000 | Hopson Development Holdings, Ltd. | 250,019 | ||||||||
28,100 | Jardine Matheson Holdings, Ltd. | 1,503,350 | ||||||||
1,410,000 | Joy City Property, Ltd. | 149,284 | ||||||||
408,000 | K Wah International Holdings, Ltd. | 215,466 | ||||||||
280,000 | Kunlun Energy Co., Ltd. | 241,090 | ||||||||
132,500 | Luye Pharma Group, Ltd.‡ 144A | 94,481 | ||||||||
1,500,000 | Nan Hai Corp., Ltd. | 21,430 | ||||||||
633,000 | Nine Dragons Paper Holdings, Ltd. | 532,923 | ||||||||
50,000 | Pou Sheng International Holdings, Ltd. | 14,797 | ||||||||
183,000 | Shanghai Industrial Urban Development Group, Ltd. | 23,110 | ||||||||
360,298 | Shenzhen International Holdings, Ltd. | 692,156 | ||||||||
1,490,000 | Sihuan Pharmaceutical Holdings Group, Ltd. | 226,178 | ||||||||
224,000 | United Energy Group, Ltd.* ‡ | 46,004 | ||||||||
46,914 | VEON, Ltd., ADR | 112,594 | ||||||||
|
| |||||||||
Total Bermuda | 18,266,820 | |||||||||
|
| |||||||||
Brazil — 7.4% | ||||||||||
584,874 | Ambev SA, ADR* | 2,702,118 | ||||||||
802,121 | B3 SA — Brasil Bolsa Balcao | 8,401,724 | ||||||||
49,164 | Banco Bradesco SA* | 368,842 | ||||||||
9,144 | Banco BTG Pactual SA* | 128,531 | ||||||||
484,600 | Banco do Brasil SA* | 5,292,278 | ||||||||
42,102 | Banco InterSA-Units* | 573,604 | ||||||||
1,092 | Banco Pan SA, ADR* | 2,241 | ||||||||
18,400 | Banco Santander Brasil SA | 200,238 | ||||||||
27,000 | BRF SA* | 247,611 | ||||||||
78,100 | Cia de Locacao das Americas* | 950,610 | ||||||||
76,985 | Cia Siderurgica Nacional SA | 244,517 | ||||||||
11,994 | Cosan SA | 153,186 | ||||||||
203,100 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1,172,650 | ||||||||
63,260 | Duratex SA | 192,116 | ||||||||
207,347 | Embraer SA, ADR‡ | 3,576,736 | ||||||||
181,700 | Embraer SA | 781,257 | ||||||||
145,900 | Fleury SA | 925,404 | ||||||||
33,200 | Grendene SA | 69,582 | ||||||||
14,880 | Guararapes Confeccoes SA | 72,839 | ||||||||
545,400 | Hypera SA* | 4,390,277 |
See accompanying Notes to the Financial Statements.
126
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Brazil — continued | ||||||||||
628,800 | IRB Brasil Resseguros SA | 5,685,074 | ||||||||
354,688 | Itau Unibanco Holding SA, ADR | 2,982,926 | ||||||||
3,400 | Itau Unibanco Holding SA | 24,585 | ||||||||
287,100 | JBS SA | 2,260,049 | ||||||||
620,576 | Kroton Educacional SA | 1,665,636 | ||||||||
346,900 | Localiza Rent a Car SA | 3,785,969 | ||||||||
1,255 | LOG Commercial Properties e Participacoes SA Class E | 7,306 | ||||||||
80,400 | Lojas Renner SA | 974,165 | ||||||||
2,100 | M Dias Branco SA* | 17,645 | ||||||||
165,300 | MRV Engenharia e Participacoes SA | 700,027 | ||||||||
153,100 | Multiplan Empreendimentos Imobiliarios SA* | 1,060,387 | ||||||||
96,900 | Notre Dame Intermedica Participacoes SA | 1,262,022 | ||||||||
511,800 | Odontoprev SA | 1,985,569 | ||||||||
415,740 | Petroleo Brasileiro SA* | 3,009,209 | ||||||||
78,082 | Porto Seguro SA | 1,103,915 | ||||||||
148,500 | Raia Drogasil SA* | 3,415,707 | ||||||||
22,300 | Sao Martinho SA | 101,451 | ||||||||
133,620 | Sul America SA | 1,530,468 | ||||||||
17,964 | Suzano SA | 145,121 | ||||||||
8,072 | Usinas Siderurgicas de Minas Gerais SA Usiminas | 18,119 | ||||||||
459,911 | Vale SA* | 5,272,183 | ||||||||
486,400 | WEG SA | 2,829,373 | ||||||||
218,500 | YDUQS Part | 1,892,611 | ||||||||
|
| |||||||||
Total Brazil | 72,175,878 | |||||||||
|
| |||||||||
Cayman Islands — 15.6% | ||||||||||
5,427 | 58.com, Inc., ADR* | 267,605 | ||||||||
45,000 | AAC Technologies Holdings, Inc.‡ | 238,220 | ||||||||
430,000 | Agile Group Holdings, Ltd. | 522,183 | ||||||||
166,988 | Alibaba Group Holding, Ltd., ADR* | 27,925,403 | ||||||||
446,900 | ANTA Sports Products, Ltd. | 3,696,898 | ||||||||
5,460,000 | Anton Oilfield Services Group | 543,256 | ||||||||
175,000 | Asia Cement China Holdings Corp. | 210,730 | ||||||||
26,600 | Autohome, Inc. Class H, ADR* ‡ | 2,211,258 | ||||||||
7,860 | Baidu, Inc., ADR* | 807,694 | ||||||||
23,328 | Baozun, Inc., ADR* | 996,106 | ||||||||
2,340,000 | Beijing Enterprises Clean Energy Group, Ltd.* | 30,446 | ||||||||
84,000 | CAR, Inc.* ‡ | 64,826 | ||||||||
59,000 | Casetek Holdings, Ltd. | 100,411 | ||||||||
841,810 | Chailease Holding Co., Ltd. | 3,391,715 | ||||||||
750,000 | China Aoyuan Group, Ltd. | 849,555 | ||||||||
349,500 | China Conch Venture Holdings, Ltd. | 1,292,892 | ||||||||
68,000 | China Everbright Greentech, Ltd. Class L 144A | 39,554 | ||||||||
60,000 | China Evergrande Group‡ | 127,816 | ||||||||
35,000 | China High Speed Transmission Equipment Group Co., Ltd.‡ | 21,475 | ||||||||
402,000 | China Lesso Group Holdings, Ltd. Class L | 380,493 | ||||||||
2,534,000 | China Medical System Holdings, Ltd. | 3,012,588 | ||||||||
34,000 | China Mengniu Dairy Co., Ltd.* | 127,293 | ||||||||
1,446,900 | China Resources Cement Holdings, Ltd. | 1,450,702 |
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)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Cayman Islands — continued | ||||||||||
92,000 | China Resources Land, Ltd. | 385,514 | ||||||||
729,000 | China SCE Group Holdings, Ltd. | 335,700 | ||||||||
110,000 | China Shanshui Cement Group, Ltd.* ‡ | 35,640 | ||||||||
738,000 | China State Construction International Holdings, Ltd. | 693,811 | ||||||||
96,000 | China Tianrui Group Cement Co., Ltd. Class C* | 82,659 | ||||||||
1,358,000 | China Yuhua Education Corp., Ltd. Class L | 684,249 | ||||||||
72,000 | China ZhengTong Auto Services Holdings, Ltd. | 20,757 | ||||||||
608,800 | China Zhongwang Holdings, Ltd. | 247,732 | ||||||||
126,000 | Chinasoft International, Ltd.* | 55,611 | ||||||||
71,000 | Chlitina Holding, Ltd. | 485,165 | ||||||||
175,147 | CIFI Holdings Group Co., Ltd. | 102,326 | ||||||||
50,000 | CIMC Enric Holdings, Ltd. | 28,765 | ||||||||
245,000 | Country Garden Holdings Co., Ltd.‡ | 310,336 | ||||||||
452,860 | Country Garden Services Holdings Co., Ltd. | 1,305,538 | ||||||||
58,000 | Dongyue Group, Ltd. | 27,153 | ||||||||
344,500 | ENN Energy Holdings, Ltd. | 3,563,914 | ||||||||
996,000 | Fu Shou Yuan International Group, Ltd. | 880,460 | ||||||||
172,000 | Fufeng Group, Ltd.* | 78,766 | ||||||||
9,000 | Fulgent Sun International Holding Co., Ltd. | 25,731 | ||||||||
445,000 | Fullshare Holdings, Ltd.* | 14,475 | ||||||||
128,000 | Future Land Development Holdings, Ltd.* ‡ | 111,682 | ||||||||
1,570,000 | GCL-Poly Energy Holdings, Ltd.* ‡ | 63,085 | ||||||||
164,000 | Geely Automobile Holdings, Ltd.‡ | 278,236 | ||||||||
27,000 | General Interface Solution Holding, Ltd. | 90,944 | ||||||||
5,000 | Ginko International Co., Ltd. | 28,365 | ||||||||
39,000 | Golden Eagle Retail Group, Ltd.‡ | 42,386 | ||||||||
236,500 | Greentown China Holdings, Ltd.‡ | 191,568 | ||||||||
76,000 | Haitian International Holdings, Ltd. | 155,696 | ||||||||
449,500 | Hengan International Group Co., Ltd. | 2,947,203 | ||||||||
153,542 | Huazhu Group, Ltd., ADR | 5,069,957 | ||||||||
89,000 | JD.com, Inc., ADR* | 2,510,690 | ||||||||
79,398 | Jiayuan International Group, Ltd. | 33,119 | ||||||||
271,000 | Kaisa Group Holdings, Ltd.* | 118,917 | ||||||||
241,500 | Kingboard Holdings, Ltd. | 639,223 | ||||||||
508,000 | Kingboard Laminates Holdings, Ltd. | 458,142 | ||||||||
113,000 | Kingdee International Software Group Co., Ltd.‡ | 119,063 | ||||||||
87,000 | Kingsoft Corp., Ltd.* ‡ | 184,667 | ||||||||
493,500 | KWG Group Holdings, Ltd.* | 432,475 | ||||||||
496,000 | Lee & Man Paper Manufacturing, Ltd. | 268,265 | ||||||||
343,500 | Li Ning Co., Ltd. | 985,885 | ||||||||
88,000 | Logan Property Holdings Co., Ltd. Class L | 125,275 | ||||||||
486,200 | Longfor Group Holdings, Ltd. 144A | 1,817,188 | ||||||||
3,433,000 | Lonking Holdings, Ltd. Class H | 884,591 | ||||||||
98,000 | Minth Group, Ltd.‡ | 331,900 | ||||||||
38,800 | Momo, Inc., ADR | 1,202,024 | ||||||||
601,200 | NagaCorp, Ltd. | 940,214 | ||||||||
45,798 | NetEase, Inc., ADR | 12,190,512 | ||||||||
99,000 | Nexteer Automotive Group, Ltd. | 81,707 | ||||||||
6,000 | Pharmally International Holding Co., Ltd. | 41,000 | ||||||||
516,000 | Powerlong Real Estate Holdings, Ltd. | 363,992 |
See accompanying Notes to the Financial Statements.
128
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Cayman Islands — continued | ||||||||||
227,600 | Qudian, Inc., ADR* ‡ | 1,568,164 | ||||||||
84,000 | Ronshine China Holdings, Ltd.* ‡ | 97,936 | ||||||||
933,600 | Sands China, Ltd. | 4,227,722 | ||||||||
761,000 | Semiconductor Manufacturing International Corp.* ‡ | 951,323 | ||||||||
396,000 | Shenzhou International Group Holdings, Ltd. | 5,172,641 | ||||||||
314,500 | Shimao Property Holdings, Ltd. | 918,699 | ||||||||
1,336,000 | Shui On Land, Ltd. | 265,857 | ||||||||
22,165 | SINA Corp. Class H* | 868,646 | ||||||||
1,926,000 | Sino Biopharmaceutical, Ltd. | 2,446,993 | ||||||||
769,500 | SOHO China, Ltd. | 219,874 | ||||||||
996,000 | SSY Group, Ltd. | 787,713 | ||||||||
81,000 | Sunac China Holdings, Ltd. | 325,471 | ||||||||
72,095 | TAL Education Group, ADR* | 2,468,533 | ||||||||
549,600 | Tencent Holdings, Ltd. | 23,149,466 | ||||||||
287,219 | Tencent Music Entertainment Group, ADR* | 3,667,787 | ||||||||
1,624,000 | Tingyi Cayman Islands Holding Corp. | 2,287,032 | ||||||||
114,000 | TPK Holding Co., Ltd.* | 205,405 | ||||||||
73,000 | Uni-President China Holdings, Ltd. | 78,779 | ||||||||
38,000 | Vinda International Holdings, Ltd. | 68,735 | ||||||||
371,623 | Vipshop Holdings, Ltd., ADR* | 3,314,877 | ||||||||
5,456,500 | WH Group, Ltd. | 4,886,169 | ||||||||
121,000 | Wisdom Marine Lines Co., Ltd.* | 117,004 | ||||||||
202,834 | Xinyi Solar Holdings, Ltd. | 121,606 | ||||||||
131,500 | Xtep International Holdings, Ltd. | 71,123 | ||||||||
683,440 | Yuzhou Properties Co., Ltd. | 272,002 | ||||||||
13,192 | YY, Inc., ADR* | 741,786 | ||||||||
354,600 | Zhen Ding Technology Holding, Ltd. | 1,268,694 | ||||||||
24,500 | Zhongsheng Group Holdings, Ltd. | 77,350 | ||||||||
10,629 | ZTO Express Cayman, Inc., ADR | 226,717 | ||||||||
|
| |||||||||
Total Cayman Islands | 151,255,496 | |||||||||
|
| |||||||||
Chile — 0.3% | ||||||||||
1,567 | Banco de Credito e Inversiones SA | 98,818 | ||||||||
29,280 | CAP SA | 255,324 | ||||||||
181,982 | Cencosud SA | 299,886 | ||||||||
35,724 | Empresa Nacional de Telecomunicaciones SA* | 313,640 | ||||||||
116,795 | Empresas CMPC SA | 272,017 | ||||||||
37,639 | Empresas COPEC SA | 355,351 | ||||||||
1,234,654 | Enel Americas SA | 226,346 | ||||||||
151,852 | Grupo Security SA | 52,341 | ||||||||
41,557 | Inversiones Aguas Metropolitanas SA | 58,209 | ||||||||
25,639,479 | Itau CorpBanca | 194,390 | ||||||||
7,591 | Latam Airlines Group SA, ADR‡ | 84,260 | ||||||||
277,412 | Ripley Corp. SA | 198,286 | ||||||||
16,324 | SACI Falabella | 91,348 | ||||||||
105,226 | Sigdo Koppers SA | 164,152 | ||||||||
234,324 | SMU SA | 55,987 | ||||||||
38,228 | Vina Concha y Toro SA | 76,067 | ||||||||
|
| |||||||||
Total Chile | 2,796,422 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
129
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — 12.5% | ||||||||||
3,641,000 | Agricultural Bank of China, Ltd. Class H | 1,425,858 | ||||||||
176,000 | Air China, Ltd. Class H | 154,910 | ||||||||
1,190,000 | Aluminum Corp. of China, Ltd. Class H* | 374,939 | ||||||||
547,999 | Angang Steel Co., Ltd. Class H‡ | 199,923 | ||||||||
774,200 | Anhui Conch Cement Co., Ltd. Class H | 4,597,164 | ||||||||
283,000 | AviChina Industry & Technology Co., Ltd. Class H | 138,984 | ||||||||
643,500 | BAIC Motor Corp., Ltd. Class H 144A | 397,293 | ||||||||
9,781,000 | Bank of China, Ltd. Class H | 3,842,830 | ||||||||
144,500 | Bank of Chongqing Co., Ltd. Class H | 80,182 | ||||||||
1,088,000 | Bank of Communications Co., Ltd. Class H | 710,585 | ||||||||
19,860 | Bank of Shanghai Co., Ltd. Class A | 26,013 | ||||||||
159,000 | Bank of Zhengzhou Co., Ltd. Class H‡ 144A | 55,370 | ||||||||
652,000 | BBMG Corp. Class H‡ | 187,132 | ||||||||
626,000 | Beijing Capital International Airport Co., Ltd. Class H | 534,217 | ||||||||
98,000 | Beijing Capital Land, Ltd. Class H‡ | 32,377 | ||||||||
284,000 | Beijing North Star Co., Ltd. Class H | 85,496 | ||||||||
21,500 | BYD Co., Ltd. Class H‡ | 107,371 | ||||||||
28,000 | Central China Securities Co., Ltd. Class H | 5,536 | ||||||||
524,000 | China BlueChemical, Ltd. Class H | 126,331 | ||||||||
2,405,000 | China Cinda Asset Management Co., Ltd. Class H | 472,447 | ||||||||
1,175,000 | China CITIC Bank Corp., Ltd. Class H | 626,515 | ||||||||
551,000 | China Coal Energy Co., Ltd. Class H | 224,212 | ||||||||
586,000 | China Communications Construction Co., Ltd. Class H | 458,221 | ||||||||
918,000 | China Communications Services Corp., Ltd. Class H | 519,928 | ||||||||
10,676,000 | China Construction Bank Corp. Class H | 8,143,797 | ||||||||
80,000 | China Eastern Airlines Corp., Ltd. Class H* | 38,881 | ||||||||
1,942,000 | China Energy Engineering Corp., Ltd. Class H | 193,224 | ||||||||
344,000 | China Everbright Bank Co., Ltd. Class H | 146,562 | ||||||||
124,500 | China Galaxy Securities Co., Ltd. Class H | 66,225 | ||||||||
2,777,000 | China Huarong Asset Management Co., Ltd. Class H 144A | 417,999 | ||||||||
67,600 | China International Capital Corp., Ltd. Class H‡ 144A | 131,071 | ||||||||
189,880 | China International Marine Containers Group Co., Ltd. Class H | 164,947 | ||||||||
341,010 | China International Travel Service Corp., Ltd. Class A | 4,445,589 | ||||||||
282,000 | China Life Insurance Co., Ltd. Class H | 653,254 | ||||||||
330,000 | China Machinery Engineering Corp. Class H | 139,756 | ||||||||
2,265,100 | China Merchants Bank Co., Ltd. Class H | 10,777,385 | ||||||||
14,800 | China Merchants Securities Co., Ltd. Class H 144A | 16,727 | ||||||||
930,500 | China Minsheng Banking Corp., Ltd. Class H | 632,646 | ||||||||
237,000 | China Molybdenum Co., Ltd. Class H‡ | 78,603 | ||||||||
1,881,300 | China National Building Material Co., Ltd. Class H | 1,689,460 | ||||||||
86,000 | China Oilfield Services, Ltd. Class H | 102,791 | ||||||||
708,300 | China Pacific Insurance Group Co., Ltd. Class H | 2,602,118 | ||||||||
3,158,000 | China Petroleum & Chemical Corp. Class H | 1,877,220 | ||||||||
252,000 | China Railway Construction Corp., Ltd. Class H | 275,485 | ||||||||
482,000 | China Railway Group, Ltd. Class H | 292,665 | ||||||||
81,000 | China Railway Signal & Communication Corp., Ltd. Class H 144A | 50,112 | ||||||||
1,314,000 | China Reinsurance Group Corp. Class H | 212,871 | ||||||||
422,500 | China Shenhua Energy Co., Ltd. Class H | 848,298 | ||||||||
498,000 | China Southern Airlines Co., Ltd. Class H‡ | 301,745 |
See accompanying Notes to the Financial Statements.
130
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
469,900 | China Vanke Co., Ltd. Class H | 1,636,384 | ||||||||
533,000 | Chongqing Rural Commercial Bank Co., Ltd. Class H | 283,518 | ||||||||
66,000 | CITIC Securities Co., Ltd. Class H | 123,591 | ||||||||
416,000 | COSCO SHIPPING Development Co., Ltd. Class H* | 47,759 | ||||||||
470,000 | COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 208,039 | ||||||||
151,000 | COSCO SHIPPING Holdings Co., Ltd. Class H* ‡ | 53,740 | ||||||||
130,000 | CRRC Corp., Ltd. Class H | 90,708 | ||||||||
30,000 | CSSC Offshore and Marine Engineering Group Co., Ltd. Class H* | 23,458 | ||||||||
202,000 | Dalian Port PDA Co., Ltd. Class H‡ | 25,510 | ||||||||
102,200 | Dongfang Electric Corp., Ltd. Class H | 56,840 | ||||||||
22,600 | Dongjiang Environmental Co., Ltd. Class H‡ | 20,555 | ||||||||
60,200 | Everbright Securities Co., Ltd. Class H‡ 144A | 45,614 | ||||||||
29,600 | Fuyao Glass Industry Group Co., Ltd. Class H 144A | 82,124 | ||||||||
184,600 | GF Securities Co., Ltd. Class H* | 193,327 | ||||||||
850,500 | Great Wall Motor Co., Ltd. Class H‡ | 569,575 | ||||||||
532,000 | Guangshen Railway Co., Ltd. Class H | 168,299 | ||||||||
86,800 | Guangzhou Automobile Group Co., Ltd. Class H | 83,042 | ||||||||
12,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H | 39,569 | ||||||||
601,600 | Guangzhou R&F Properties Co., Ltd. Class H | 910,143 | ||||||||
33,000 | Guotai Junan Securities Co., Ltd. Class H 144A | 51,356 | ||||||||
326,400 | Haitong Securities Co., Ltd. Class H | 342,247 | ||||||||
305,000 | Harbin Bank Co., Ltd. Class H* 144A | 56,803 | ||||||||
63,000 | Hisense Home Appliances Group Co., Ltd. Class H | 60,514 | ||||||||
1,848,000 | Huaneng Renewables Corp., Ltd. Class H**** | 629,405 | ||||||||
43,000 | Huatai Securities Co., Ltd. Class H‡ 144A | 64,395 | ||||||||
67,100 | Huishang Bank Corp., Ltd. Class H | 24,394 | ||||||||
8,077,000 | Industrial & Commercial Bank of China, Ltd. Class H | 5,409,119 | ||||||||
38,100 | Inner Mongolia Yitai Coal Co., Ltd. Class H | 25,564 | ||||||||
234,908 | Jiangsu Hengrui Medicine Co., Ltd. Class A | 2,654,990 | ||||||||
336,000 | Jiangxi Copper Co., Ltd. Class H | 389,173 | ||||||||
30,513 | Kweichow Moutai Co., Ltd. Class A | 4,915,660 | ||||||||
99,300 | Legend Holdings Corp. Class H 144A | 214,575 | ||||||||
9,633 | Livzon Pharmaceutical Group, Inc. Class H | 24,699 | ||||||||
676,000 | Maanshan Iron & Steel Co., Ltd. Class H‡ | 254,382 | ||||||||
825,000 | Metallurgical Corp. of China, Ltd. Class H | 185,218 | ||||||||
623,555 | Midea Group Co., Ltd. Class A | 4,463,698 | ||||||||
26,900 | New China Life Insurance Co., Ltd. Class H | 106,373 | ||||||||
290,000 | People’s Insurance Co. Group of China, Ltd. (The) Class H | 116,157 | ||||||||
2,316,000 | PetroChina Co., Ltd. Class H | 1,190,586 | ||||||||
2,417,000 | PICC Property & Casualty Co., Ltd. Class H | 2,821,077 | ||||||||
2,574,900 | Ping An Insurance Group Co. of China, Ltd. Class H | 29,577,486 | ||||||||
1,002,000 | Postal Savings Bank of China Co., Ltd. Class H 144A | 610,960 | ||||||||
303,000 | Qingdao Port International Co., Ltd. Class H 144A | 185,524 | ||||||||
82,500 | Qinhuangdao Port Co., Ltd. Class H | 15,470 | ||||||||
114,897 | Red Star Macalline Group Corp., Ltd. Class H 144A | 95,999 | ||||||||
493,532 | SAIC Motor Corp., Ltd. Class A | 1,644,093 | ||||||||
114,500 | Shandong Chenming Paper Holdings, Ltd. Class H | 45,862 | ||||||||
236,000 | Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 242,942 | ||||||||
238,000 | Shanghai Electric Group Co., Ltd. Class H | 76,809 |
See accompanying Notes to the Financial Statements.
131
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
36,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H‡ | 96,666 | ||||||||
80,000 | Shanghai Jin Jiang Capital Co., Ltd. Class H | 12,144 | ||||||||
209,800 | Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 380,024 | ||||||||
137,000 | Shengjing Bank Co., Ltd. Class H‡ 144A | 99,612 | ||||||||
548,500 | Sinopec Engineering Group Co., Ltd. Class H | 344,238 | ||||||||
196,000 | Sinopec Shanghai Petrochemical Co., Ltd. Class H | 57,004 | ||||||||
73,600 | Sinopharm Group Co., Ltd. Class H | 230,487 | ||||||||
782,000 | Sinotrans, Ltd. Class H | 245,391 | ||||||||
63,000 | Tong Ren Tang Technologies Co., Ltd. Class H | 57,299 | ||||||||
981,000 | TravelSky Technology, Ltd. Class H | 2,037,232 | ||||||||
20,000 | Tsingtao Brewery Co., Ltd. Class H | 120,673 | ||||||||
716,700 | Weichai Power Co., Ltd. Class H | 1,033,078 | ||||||||
4,536,000 | West China Cement, Ltd. | 740,628 | ||||||||
50,000 | Xinhua Winshare Publishing and Media Co., Ltd. Class H | 35,462 | ||||||||
41,649 | Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 49,303 | ||||||||
16,500 | Yangtze Optical Fibre and Cable Joint Stock, Ltd., Co. Class H‡ 144A | 26,604 | ||||||||
504,000 | Yanzhou Coal Mining Co., Ltd. Class H‡ | 511,753 | ||||||||
355,600 | YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H‡ | 1,735,043 | ||||||||
168,100 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 2,399,141 | ||||||||
99,000 | Zhaojin Mining Industry Co., Ltd. Class H | 114,541 | ||||||||
35,300 | Zhuzhou CRRC Times Electric Co., Ltd. Class H | 146,119 | ||||||||
318,000 | Zijin Mining Group Co., Ltd. Class H | 109,929 | ||||||||
395,800 | Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 268,094 | ||||||||
|
| |||||||||
Total China | 121,691,055 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
61,705 | Almacenes Exito SA**** | 312,565 | ||||||||
3,883 | Banco de Bogota SA | 89,750 | ||||||||
1,200 | Bancolombia SA, ADR | 59,340 | ||||||||
2,350 | Bancolombia SA | 26,686 | ||||||||
9,433 | Cementos Argos SA | 20,176 | ||||||||
10,664 | Corp. Financiera Colombiana SA* | 85,963 | ||||||||
51,910 | Grupo Argos SA | 254,591 | ||||||||
21,409 | Grupo de Inversiones Suramericana SA | 203,107 | ||||||||
2,902 | Grupo Nutresa SA | 21,141 | ||||||||
|
| |||||||||
Total Colombia | 1,073,319 | |||||||||
|
| |||||||||
Cyprus — 0.1% | ||||||||||
50,674 | TCS Group Holding Plc, Reg S, GDR‡‡‡ | 886,795 | ||||||||
|
| |||||||||
Czech Republic — 0.0% | ||||||||||
19,060 | CEZ AS | 420,559 | ||||||||
14,185 | Moneta Money Bank AS 144A | 43,699 | ||||||||
|
| |||||||||
Total Czech Republic | 464,258 | |||||||||
|
| |||||||||
France — 0.3% | ||||||||||
35,695 | Sanofi | 3,310,083 | ||||||||
|
|
See accompanying Notes to the Financial Statements.
132
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Greece — 0.3% | ||||||||||
2,612 | Aegean Airlines SA | 23,066 | ||||||||
89,950 | Alpha Bank AE* | 167,983 | ||||||||
1,286 | Bank of Greece | 19,460 | ||||||||
24,347 | Ellaktor SA* | 48,574 | ||||||||
1,025,357 | Eurobank Ergasias SA* | 992,646 | ||||||||
2,142 | Fourlis Holdings SA* | 12,867 | ||||||||
8,853 | GEK Terna Holding Real Estate Construction SA* | 64,279 | ||||||||
2,981 | Hellenic Petroleum SA | 27,169 | ||||||||
62,979 | JUMBO SA | 1,195,365 | ||||||||
2,662 | LAMDA Development SA* | 22,636 | ||||||||
1,621 | Motor Oil Hellas Corinth Refineries SA | 37,854 | ||||||||
18,591 | Mytilineos SA | 194,065 | ||||||||
61,833 | National Bank of Greece SA* | 188,277 | ||||||||
66,515 | Piraeus Bank SA* | 223,345 | ||||||||
|
| |||||||||
Total Greece | 3,217,586 | |||||||||
|
| |||||||||
Hong Kong — 3.1% | ||||||||||
140,500 | Beijing Enterprises Holdings, Ltd. | 646,099 | ||||||||
88,000 | BYD Electronic International Co., Ltd.‡ | 131,786 | ||||||||
872,000 | China Agri-Industries Holdings, Ltd. | 283,644 | ||||||||
346,000 | China Everbright, Ltd. | 404,727 | ||||||||
326,000 | China Jinmao Holdings Group, Ltd. | 186,716 | ||||||||
376,875 | China Merchants Port Holdings Co., Ltd. | 567,279 | ||||||||
8,950 | China Mobile, Ltd., ADR | 370,530 | ||||||||
838,000 | China Mobile, Ltd. | 6,932,201 | ||||||||
587,000 | China Overseas Grand Oceans Group, Ltd. | 266,566 | ||||||||
496,000 | China Overseas Land & Investment, Ltd. | 1,559,609 | ||||||||
100,000 | China Resources Pharmaceutical Group, Ltd. 144A | 93,757 | ||||||||
420,000 | China South City Holdings, Ltd. | 49,825 | ||||||||
425,200 | China Taiping Insurance Holdings Co., Ltd. | 949,180 | ||||||||
840,000 | China Traditional Chinese Medicine Holdings Co., Ltd. | 385,744 | ||||||||
252,000 | China Travel International Investment Hong Kong, Ltd. | 39,217 | ||||||||
1,977 | China Unicom Hong Kong, Ltd., ADR | 20,739 | ||||||||
780,000 | China Unicom Hong Kong, Ltd. | 827,818 | ||||||||
720,000 | CITIC, Ltd. | 909,253 | ||||||||
100 | CNOOC, Ltd., ADR | 15,225 | ||||||||
3,030,000 | CNOOC, Ltd. | 4,622,650 | ||||||||
2,214,000 | CSPC Pharmaceutical Group, Ltd. | 4,445,284 | ||||||||
830,000 | Far East Horizon, Ltd. | 770,773 | ||||||||
703,000 | Fosun International, Ltd. | 869,850 | ||||||||
175,000 | Hua Hong Semiconductor, Ltd.‡ 144A | 348,241 | ||||||||
3,060,100 | Lenovo Group, Ltd. | 2,041,524 | ||||||||
288,000 | MMG, Ltd.* | 67,964 | ||||||||
704,000 | Poly Property Group Co., Ltd. | 245,162 | ||||||||
10,129 | Seaspan Corp. Class A‡ | 107,671 | ||||||||
183,000 | Shanghai Industrial Holdings, Ltd. | 340,817 | ||||||||
1,161,521 | Shenzhen Investment, Ltd. | 428,196 | ||||||||
1,190,000 | Sino-Ocean Group Holding, Ltd. | 403,781 | ||||||||
142,000 | Sinotruk Hong Kong, Ltd. | 210,480 |
See accompanying Notes to the Financial Statements.
133
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Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
135,500 | Sun Art Retail Group, Ltd. | 137,585 | ||||||||
2,684,000 | Yuexiu Property Co., Ltd. | 582,034 | ||||||||
|
| |||||||||
Total Hong Kong | 30,261,927 | |||||||||
|
| |||||||||
Hungary — 0.3% | ||||||||||
62,284 | MOL Hungarian Oil & Gas Plc | 585,843 | ||||||||
26,780 | OTP Bank Nyrt | 1,114,776 | ||||||||
62,018 | Richter Gedeon Nyrt | 1,003,185 | ||||||||
|
| |||||||||
Total Hungary | 2,703,804 | |||||||||
|
| |||||||||
India — 11.6% | ||||||||||
30,824 | ACC, Ltd. | 700,696 | ||||||||
51,815 | Adani Enterprises, Ltd. | 106,381 | ||||||||
62,785 | Adani Gas, Ltd. | 114,108 | ||||||||
47,779 | Adani Green Energy, Ltd.* | 39,272 | ||||||||
15,559 | Adani Ports & Special Economic Zone, Ltd. | 91,112 | ||||||||
104,805 | Adani Power, Ltd.* | 95,017 | ||||||||
19,503 | Adani Transmission, Ltd.* | 62,883 | ||||||||
139,935 | Aditya Birla Capital, Ltd.* | 167,641 | ||||||||
700 | Ajanta Pharma, Ltd. | 9,947 | ||||||||
1,619 | Alembic Pharmaceuticals, Ltd. | 11,605 | ||||||||
135,031 | Ambuja Cements, Ltd. | 388,885 | ||||||||
839 | Anveshan Heavy Engineering, Ltd.* | 5,481 | ||||||||
100,932 | Apollo Tyres, Ltd. | 258,138 | ||||||||
4,534 | Arvind Fashions, Ltd.* | 27,824 | ||||||||
22,672 | Arvind, Ltd. | 15,356 | ||||||||
360,718 | Ashok Leyland, Ltd. | 346,116 | ||||||||
108,047 | Asian Paints, Ltd. | 2,689,405 | ||||||||
1,268 | Atul, Ltd. | 71,353 | ||||||||
27,852 | Aurobindo Pharma, Ltd. | 231,128 | ||||||||
47,141 | Axis Bank, Ltd. | 455,520 | ||||||||
43,358 | Bajaj Auto, Ltd. | 1,791,400 | ||||||||
82,547 | Bajaj Finance, Ltd. | 4,716,103 | ||||||||
1,132 | Bajaj Finserv, Ltd. | 135,738 | ||||||||
8,264 | Bajaj Holdings & Investment, Ltd. | 417,731 | ||||||||
7,393 | Balkrishna Industries, Ltd. | 81,161 | ||||||||
101,945 | Bank of Baroda* | 134,068 | ||||||||
47,446 | Bata India, Ltd. | 1,152,193 | ||||||||
1,083,015 | Bharat Electronics, Ltd. | 1,656,566 | ||||||||
19,571 | Bharat Forge, Ltd. | 123,305 | ||||||||
148,925 | Bharti Airtel, Ltd. | 784,459 | ||||||||
7,319 | Bharti Infratel, Ltd. | 26,676 | ||||||||
1,542 | Birla Corp., Ltd. | 12,185 | ||||||||
64,050 | Britannia Industries, Ltd. | 2,667,063 | ||||||||
45,555 | Cadila Healthcare, Ltd. | 150,063 | ||||||||
27,266 | Canara Bank* | 70,157 | ||||||||
7,138 | Ceat, Ltd. | 95,826 | ||||||||
3,469 | Century Textiles & Industries, Ltd. | 44,295 | ||||||||
18,755 | Chambal Fertilizers and Chemicals, Ltd. | 40,385 |
See accompanying Notes to the Financial Statements.
134
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Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
168,484 | Cholamandalam Investment and Finance Co., Ltd. | 733,074 | ||||||||
16,693 | Cipla, Ltd. | 100,108 | ||||||||
25,468 | City Union Bank, Ltd. | 77,983 | ||||||||
5,698 | Cochin Shipyard, Ltd. 144A | 27,152 | ||||||||
9,088 | Container Corp. Of India, Ltd. | 77,583 | ||||||||
4,759 | Coromandel International, Ltd. | 27,935 | ||||||||
5,869 | Cummins India, Ltd. | 47,205 | ||||||||
366,136 | DCB Bank, Ltd. | 1,007,446 | ||||||||
8,523 | DCM Shriram, Ltd. | 48,707 | ||||||||
48,369 | Dewan Housing Finance Corp., Ltd.* | 26,413 | ||||||||
4,025 | Dilip Buildcon, Ltd. 144A | 23,823 | ||||||||
102,560 | DLF, Ltd. | 224,820 | ||||||||
3,946 | Dr. Reddy’s Laboratories, Ltd. | 150,345 | ||||||||
1,155 | eClerx Services, Ltd. | 7,057 | ||||||||
122,423 | Edelweiss Financial Services, Ltd. | 163,590 | ||||||||
16,647 | EIH, Ltd. | 42,752 | ||||||||
16,885 | Engineers India, Ltd. | 27,817 | ||||||||
8,422 | Escorts, Ltd. | 69,580 | ||||||||
23,393 | Exide Industries, Ltd. | 64,367 | ||||||||
446,801 | Federal Bank, Ltd. | 573,721 | ||||||||
2,842 | Finolex Cables, Ltd. | 15,403 | ||||||||
4,764 | Finolex Industries, Ltd. | 40,038 | ||||||||
21,744 | Firstsource Solutions, Ltd. | 14,436 | ||||||||
167,190 | GAIL India, Ltd. | 316,008 | ||||||||
11,057 | General Insurance Corp. of India144A | 34,949 | ||||||||
26,430 | Glenmark Pharmaceuticals, Ltd. | 121,001 | ||||||||
4,323 | Godrej Industries, Ltd. | 24,888 | ||||||||
29,845 | Grasim Industries, Ltd. | 310,352 | ||||||||
9,916 | Great Eastern Shipping Co., Ltd. (The) Class F | 39,108 | ||||||||
9,733 | Gujarat Fluorochemicals, Ltd.* | 10,987 | ||||||||
6,590 | Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. | 18,784 | ||||||||
35,445 | Gujarat Pipavav Port, Ltd. | 42,913 | ||||||||
29,302 | Gujarat State Petronet, Ltd. | 89,723 | ||||||||
240,264 | HCL Technologies, Ltd. Class T | 3,656,909 | ||||||||
42,150 | HDFC Bank, Ltd., ADR | 2,404,657 | ||||||||
214,908 | HDFC Bank, Ltd. | 3,722,365 | ||||||||
361,420 | HDFC Life Insurance Co., Ltd. | 3,061,948 | ||||||||
1,224 | Hero MotoCorp, Ltd. | 46,460 | ||||||||
176,042 | Hexaware Technologies, Ltd. | 947,791 | ||||||||
256,221 | Hindalco Industries, Ltd. | 691,631 | ||||||||
292,632 | Housing Development Finance Corp., Ltd. | 8,163,650 | ||||||||
2,150 | ICICI Bank, Ltd., ADR | 26,187 | ||||||||
202,440 | ICICI Bank, Ltd. | 1,239,170 | ||||||||
422,223 | IDFC Bank, Ltd.* | 239,504 | ||||||||
285,672 | IDFC, Ltd. | 138,465 | ||||||||
510,343 | Indiabulls Housing Finance, Ltd. Class L, ADR | 1,843,517 | ||||||||
58,726 | Indiabulls Real Estate, Ltd.* | 38,035 | ||||||||
15,841 | Indiabulls Ventures, Ltd. | 27,684 | ||||||||
27,565 | Indian Hotels Co., Ltd. (The) | 62,156 |
See accompanying Notes to the Financial Statements.
135
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
202,062 | Indraprastha Gas, Ltd. | 995,928 | ||||||||
153,610 | IndusInd Bank, Ltd. | 3,012,862 | ||||||||
508,100 | Infosys, Ltd., ADR | 5,777,097 | ||||||||
518,178 | Infosys, Ltd. | 5,880,144 | ||||||||
9,733 | Inox Fluorochemicals, Ltd.* **** | 101,747 | ||||||||
5,075 | Ipca Laboratories, Ltd. | 64,593 | ||||||||
112,213 | Jindal Steel & Power, Ltd.* | 164,039 | ||||||||
1,025 | JK Cement, Ltd. | 15,215 | ||||||||
41,440 | JM Financial, Ltd. | 45,815 | ||||||||
134,159 | JSW Energy, Ltd. | 123,049 | ||||||||
88,909 | JSW Steel, Ltd. | 286,917 | ||||||||
55,570 | Jubilant Foodworks, Ltd. | 1,063,979 | ||||||||
14,600 | Jubilant Life Sciences, Ltd. | 103,419 | ||||||||
109,165 | Just Dial, Ltd.* | 1,059,012 | ||||||||
106,190 | Kajaria Ceramics, Ltd. | 824,121 | ||||||||
4,066 | Kalpataru Power Transmission, Ltd. | 27,973 | ||||||||
28,958 | Karnataka Bank, Ltd. (The) | 30,891 | ||||||||
100,410 | Karur Vysya Bank, Ltd. (The) | 84,656 | ||||||||
3,700 | KEC International, Ltd. | 14,227 | ||||||||
19,360 | KPIT Engineering, Ltd.* | 25,980 | ||||||||
19,360 | KPIT Technologies, Ltd.* | 19,013 | ||||||||
1,219 | KPR Mill, Ltd. | 9,380 | ||||||||
2,301 | KRBL, Ltd. | 7,033 | ||||||||
119,327 | L&T Finance Holdings, Ltd. | 142,363 | ||||||||
96,572 | Larsen & Toubro, Ltd. | 2,015,414 | ||||||||
1,896 | Laurus Labs, Ltd. 144A | 10,033 | ||||||||
71,752 | LIC Housing Finance, Ltd. | 380,888 | ||||||||
48,502 | Lupin, Ltd. | 489,716 | ||||||||
85,469 | Mahindra & Mahindra Financial Services, Ltd. | 395,272 | ||||||||
79,528 | Mahindra & Mahindra, Ltd. | 614,958 | ||||||||
20,010 | Mahindra CIE Automotive, Ltd.* | 46,052 | ||||||||
142,607 | Manappuram Finance, Ltd. | 283,025 | ||||||||
22,340 | Maruti Suzuki India, Ltd. | 2,112,044 | ||||||||
8,863 | Max Financial Services, Ltd.* | 53,527 | ||||||||
1,238 | Mindtree, Ltd. | 12,323 | ||||||||
1,405,898 | Motherson Sumi Systems, Ltd. | 2,084,978 | ||||||||
3,645 | Motilal Oswal Financial Services, Ltd. | 33,174 | ||||||||
63,099 | Mphasis, Ltd. | 849,852 | ||||||||
3,675 | MRF, Ltd. | 3,279,997 | ||||||||
8,766 | Muthoot Finance, Ltd. | 84,204 | ||||||||
5,310 | Natco Pharma, Ltd. | 43,915 | ||||||||
124,982 | National Aluminium Co., Ltd. | 82,006 | ||||||||
166,229 | NCC, Ltd. | 129,476 | ||||||||
48,106 | NIIT Technologies, Ltd.* | 946,931 | ||||||||
11,306 | Oberoi Realty, Ltd. | 80,517 | ||||||||
550 | ODISHA CEMENT, Ltd.* | 6,364 | ||||||||
54,159 | PC Jeweller, Ltd.* | 24,340 | ||||||||
8,118 | Persistent Systems, Ltd. | 65,259 | ||||||||
759,624 | Petronet LNG, Ltd. | 2,786,872 |
See accompanying Notes to the Financial Statements.
136
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
1,284 | Pfizer, Ltd. | 61,058 | ||||||||
3,689 | Phoenix Mills, Ltd. (The) | 36,542 | ||||||||
19,202 | Piramal Enterprises, Ltd. | 441,109 | ||||||||
16,221 | PNB Housing Finance, Ltd. 144A | 132,961 | ||||||||
705,032 | Power Finance Corp., Ltd.* | 986,385 | ||||||||
21,563 | Prestige Estates Projects, Ltd. | 88,237 | ||||||||
2,094 | Quess Corp., Ltd.* 144A | 13,917 | ||||||||
8,780 | Rain Industries, Ltd. | 11,856 | ||||||||
15,712 | Rajesh Exports, Ltd. | 148,188 | ||||||||
4,988 | Ramco Cements, Ltd. (The) | 52,830 | ||||||||
4,818 | Raymond, Ltd. | 37,936 | ||||||||
60,285 | RBL Bank, Ltd. 144A | 279,994 | ||||||||
157,497 | REC, Ltd. | 273,352 | ||||||||
34,104 | Reliance Capital, Ltd.* | 11,766 | ||||||||
296,903 | Reliance Industries, Ltd. | 5,586,245 | ||||||||
191,600 | Reliance Power, Ltd.* | 5,948 | ||||||||
2,509 | Sadbhav Engineering, Ltd. | 5,098 | ||||||||
3,895 | Shriram City Union Finance, Ltd. | 73,727 | ||||||||
33,985 | Shriram Transport Finance Co., Ltd. | 514,076 | ||||||||
8,357 | Sobha, Ltd. | 57,346 | ||||||||
1,607 | SRF, Ltd. | 62,245 | ||||||||
156,341 | State Bank of India* | 597,843 | ||||||||
204,908 | Steel Authority of India, Ltd. | 96,427 | ||||||||
13,458 | Strides Pharma Science, Ltd. | 58,404 | ||||||||
88,543 | Sun Pharmaceutical Industries, Ltd. | 487,888 | ||||||||
7,427 | Sun TV Network, Ltd. | 49,413 | ||||||||
1,968 | Sundaram Finance, Ltd. | 45,485 | ||||||||
8,857 | Sunteck Realty, Ltd. | 50,366 | ||||||||
17,828 | Tata Chemicals, Ltd. | 149,202 | ||||||||
179,700 | Tata Consultancy Services, Ltd. | 5,317,303 | ||||||||
90,844 | Tata Global Beverages, Ltd. | 353,794 | ||||||||
262,593 | Tata Motors, Ltd.* | 435,192 | ||||||||
68,700 | Tata Steel, Ltd. | 350,825 | ||||||||
13,961 | Tech Mahindra, Ltd. | 141,050 | ||||||||
22,198 | Thomas Cook India, Ltd. | 42,442 | ||||||||
68,915 | TV18 Broadcast, Ltd.* | 23,047 | ||||||||
1,650 | UltraTech Cement, Ltd. | 101,140 | ||||||||
56,007 | Union Bank of India* | 41,688 | ||||||||
466,899 | UPL, Ltd. | 3,961,161 | ||||||||
1,848 | Vardhman Textiles, Ltd. | 24,512 | ||||||||
1,329,993 | Vedanta, Ltd. | 2,888,237 | ||||||||
1,107,822 | Vodafone Idea, Ltd.* | 99,263 | ||||||||
39,909 | Welspun India, Ltd. | 30,128 | ||||||||
56,703 | Wipro, Ltd. | 191,947 | ||||||||
3,632 | Wockhardt, Ltd.* | 13,120 | ||||||||
324,058 | Yes Bank, Ltd. | 190,908 | ||||||||
29,055 | Zee Entertainment Enterprises, Ltd. | 108,440 | ||||||||
2,971 | Zensar Technologies, Ltd. | 9,185 | ||||||||
|
| |||||||||
Total India | 112,427,255 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
137
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Indonesia — 2.6% | ||||||||||
4,188,200 | Adaro Energy Tbk PT | 380,611 | ||||||||
808,300 | AKR Corporindo Tbk PT | 216,382 | ||||||||
3,116,000 | Aneka Tambang Tbk PT | 214,026 | ||||||||
160,000 | Astra Agro Lestari Tbk PT | 121,451 | ||||||||
602,700 | Astra International Tbk PT | 280,227 | ||||||||
104,300 | Bank Danamon Indonesia Tbk PT | 34,901 | ||||||||
1,820,600 | Bank Mandiri Persero Tbk PT | 894,589 | ||||||||
799,500 | Bank Maybank Indonesia Tbk PT | 12,278 | ||||||||
1,157,800 | Bank Negara Indonesia Persero Tbk PT | 599,495 | ||||||||
624,500 | Bank Pan Indonesia Tbk PT* | 58,733 | ||||||||
1,390,100 | Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT | 153,748 | ||||||||
956,700 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 42,797 | ||||||||
27,918,600 | Bank Rakyat Indonesia Persero Tbk PT | 8,103,179 | ||||||||
717,600 | Bank Tabungan Negara Persero Tbk PT | 99,084 | ||||||||
5,701,500 | Bank Tabungan Pensiunan Nasional Syariah Tbk PT* | 1,325,463 | ||||||||
1,428,000 | Barito Pacific Tbk PT | 99,593 | ||||||||
289,800 | BFI Finance Indonesia Tbk PT | 11,024 | ||||||||
534,900 | Bukit Asam Tbk PT | 85,162 | ||||||||
1,318,100 | Bumi Serpong Damai Tbk PT* | 129,071 | ||||||||
4,209,500 | Ciputra Development Tbk PT | 312,858 | ||||||||
627,200 | Indah Kiat Pulp & Paper Corp. Tbk PT | 286,095 | ||||||||
134,200 | Indo Tambangraya Megah Tbk PT | 117,230 | ||||||||
3,700 | Indocement Tunggal Prakarsa Tbk PT | 4,881 | ||||||||
905,200 | Indofood Sukses Makmur Tbk PT | 491,021 | ||||||||
371,800 | Japfa Comfeed Indonesia Tbk PT | 41,384 | ||||||||
799,400 | Jaya Real Property Tbk PT | 38,013 | ||||||||
97,200 | Link Net Tbk PT | 28,075 | ||||||||
2,110,500 | Medco Energi Internasional Tbk PT* | 102,589 | ||||||||
778,700 | Media Nusantara Citra Tbk PT | 67,749 | ||||||||
475,700 | Mitra Adiperkasa Tbk PT | 34,517 | ||||||||
131,500 | Pabrik Kertas Tjiwi Kimia Tbk PT | 97,733 | ||||||||
1,088,100 | Pakuwon Jati Tbk PT | 50,975 | ||||||||
4,095,800 | Perusahaan Gas Negara Tbk PT | 605,930 | ||||||||
1,148,500 | PP Persero Tbk PT | 137,949 | ||||||||
1,935,500 | PP Properti Tbk PT | 13,499 | ||||||||
282,600 | Semen Indonesia Persero Tbk PT | 229,942 | ||||||||
78,000 | Siloam International Hospitals Tbk PT* | 39,014 | ||||||||
892,500 | Summarecon Agung Tbk PT | 72,620 | ||||||||
17,558,300 | Telekomunikasi Indonesia Persero Tbk PT | 5,331,192 | ||||||||
799,800 | Unilever Indonesia Tbk PT | 2,619,986 | ||||||||
212,500 | United Tractors Tbk PT | 308,009 | ||||||||
543,500 | Vale Indonesia Tbk PT* | 134,391 | ||||||||
1,548,300 | Waskita Beton Precast Tbk PT | 35,340 | ||||||||
992,400 | Waskita Karya Persero Tbk PT | 115,355 | ||||||||
7,986,200 | Wijaya Karya Persero Tbk PT | 1,083,018 | ||||||||
698,400 | XL Axiata Tbk PT* | 169,249 | ||||||||
|
| |||||||||
Total Indonesia | 25,430,428 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
138
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — 0.6% | ||||||||||
124,700 | Honda Motor Co., Ltd. | 3,228,989 | ||||||||
218,500 | Isuzu Motors, Ltd. | 2,406,886 | ||||||||
|
| |||||||||
Total Japan | 5,635,875 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
16,364 | Kernel Holding SA | 179,593 | ||||||||
71,993 | PLAY Communications SA | 493,822 | ||||||||
|
| |||||||||
Total Luxembourg | 673,415 | |||||||||
|
| |||||||||
Malaysia — 0.9% | ||||||||||
75,900 | Aeon Co. M Bhd | 26,466 | ||||||||
1,209,200 | AirAsia Group Bhd | 508,286 | ||||||||
337,500 | Alliance Bank Malaysia Bhd | 229,729 | ||||||||
306,700 | AMMB Holdings Bhd | 303,257 | ||||||||
21,323 | Axiata Group Bhd | 21,898 | ||||||||
1,600 | Batu Kawan Bhd | 5,992 | ||||||||
14,900 | BIMB Holdings Bhd | 14,092 | ||||||||
81,500 | Boustead Holdings Bhd | 19,660 | ||||||||
71,300 | Bumi Armada Bhd* | 5,534 | ||||||||
47,500 | Cahya Mata Sarawak Bhd | 30,631 | ||||||||
492,982 | CIMB Group Holdings Bhd | 592,238 | ||||||||
282,900 | DRB-Hicom Bhd | 160,132 | ||||||||
65,900 | Eco World Development Group Bhd* | 10,230 | ||||||||
51,600 | Ekovest BHD | 9,489 | ||||||||
337,000 | FGV Holdings Bhd* | 71,634 | ||||||||
328,100 | Gamuda Bhd | 289,938 | ||||||||
229,000 | Genting Bhd | 313,938 | ||||||||
2,776,400 | Genting Malaysia Bhd | 2,009,193 | ||||||||
12,100 | Genting Plantations Bhd | 28,639 | ||||||||
7,800 | Hengyuan Refining Co. Bhd* | 8,178 | ||||||||
18,200 | Hong Leong Bank Bhd | 71,113 | ||||||||
41,000 | Hong Leong Financial Group Bhd | 159,221 | ||||||||
25,600 | IHH Healthcare Bhd | 34,728 | ||||||||
585,300 | IJM Corp. Bhd | 306,140 | ||||||||
328,300 | IOI Properties Group Bhd | 89,387 | ||||||||
150,000 | KPJ Healthcare Bhd | 31,705 | ||||||||
86,700 | Lotte Chemical Titan Holding Bhd 144A | 55,495 | ||||||||
72,000 | Magnum Bhd | 48,665 | ||||||||
149,200 | Mah Sing Group Bhd | 26,726 | ||||||||
106,340 | Malayan Banking Bhd | 216,134 | ||||||||
51,000 | Malaysia Airports Holdings Bhd | 105,362 | ||||||||
683,234 | Malaysia Building Society Bhd | 136,255 | ||||||||
435,900 | Malaysian Resources Corp. Bhd | 76,519 | ||||||||
112,400 | MISC Bhd | 209,391 | ||||||||
315,900 | MMC Corp. Bhd | 79,975 | ||||||||
80,200 | Oriental Holdings Bhd | 124,504 | ||||||||
69,600 | Petronas Chemicals Group Bhd | 125,337 | ||||||||
11,700 | Pos Malaysia BHD | 4,555 | ||||||||
54,900 | Public Bank Bhd | 263,289 |
See accompanying Notes to the Financial Statements.
139
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Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Malaysia — continued | ||||||||||
293,600 | RHB Bank Bhd | 395,487 | ||||||||
1,152,800 | Sapura Energy Bhd | 77,092 | ||||||||
7,800 | Scientex BHD | 16,654 | ||||||||
569,500 | Sime Darby Bhd | 306,037 | ||||||||
572,900 | Sime Darby Property Bhd | 114,936 | ||||||||
330,253 | SP Setia Bhd Group | 107,271 | ||||||||
360,789 | Sunway Bhd | 148,210 | ||||||||
37,400 | Supermax Corp. Bhd | 14,292 | ||||||||
523,700 | UEM Sunrise Bhd* | 83,177 | ||||||||
241,300 | UOA Development Bhd | 115,262 | ||||||||
30,000 | Yinson Holdings Bhd | 47,791 | ||||||||
737,900 | YTL Corp. Bhd | 162,137 | ||||||||
|
| |||||||||
Total Malaysia | 8,412,001 | |||||||||
|
| |||||||||
Mexico — 2.7% | ||||||||||
42,023 | ALEATICA SAB de CV | 42,057 | ||||||||
627,355 | Alfa SAB de CV Class A | 552,876 | ||||||||
136,932 | Alpek SAB de CV‡ | 159,375 | ||||||||
37,554 | Arca Continental SAB de CV | 203,500 | ||||||||
531,988 | Banco del Bajio SA 144A | 878,384 | ||||||||
8,331 | Becle SAB de CV | 12,241 | ||||||||
130,050 | Cemex SAB de CV, ADR | 509,796 | ||||||||
566,143 | Cemex SAB de CV | 220,218 | ||||||||
12,081 | Coca-Cola Femsa SAB de CV | 73,450 | ||||||||
45,505 | Controladora Vuela Cia de Aviacion SAB de CV, ADR* | 455,505 | ||||||||
20,000 | El Puerto de Liverpool SAB de CV | 109,502 | ||||||||
2,906,002 | Fibra Uno Administracion SA de CV REIT | 4,255,091 | ||||||||
497 | Fomento Economico Mexicano SAB de CV, ADR | 45,515 | ||||||||
30,016 | Fomento Economico Mexicano SAB de CV | 274,924 | ||||||||
323,136 | Gentera SAB de CV | 267,752 | ||||||||
74,200 | Grupo Aeromexico SAB de CV* ‡ | 53,854 | ||||||||
332,500 | Grupo Aeroportuario del Centro Norte SAB de CV | 1,977,587 | ||||||||
334,700 | Grupo Aeroportuario del Pacifico SAB de CV Class B | 3,228,675 | ||||||||
39,702 | Grupo Bimbo SAB de CV Series A | 72,390 | ||||||||
20,999 | Grupo Carso SAB de CV SeriesA-1 | 61,580 | ||||||||
26,538 | Grupo Cementos de Chihuahua SAB de CV | 142,341 | ||||||||
97,200 | Grupo Comercial Chedraui SA de CV | 152,220 | ||||||||
8,978 | Grupo Elektra SAB DE CV | 635,699 | ||||||||
982,177 | Grupo Financiero Banorte SAB de CV Series O | 5,290,941 | ||||||||
153,751 | Grupo Financiero Inbursa SAB de CV Series O | 195,849 | ||||||||
34,200 | Grupo Lala SAB de CV‡ | 39,060 | ||||||||
283,691 | Grupo Mexico SAB de CV Series B | 664,829 | ||||||||
76,700 | Grupo Sanborns SAB de CV | 89,349 | ||||||||
19,886 | Grupo Televisa SAB, ADR | 194,485 | ||||||||
169,886 | Grupo Televisa SAB | 332,734 | ||||||||
57,100 | Industrias Bachoco SAB de CV Series B | 250,709 | ||||||||
14,508 | Industrias CH SAB de CV Series B* | 60,254 | ||||||||
25,834 | Industrias Penoles SAB de CV | 344,122 | ||||||||
2,579 | Megacable Holdings SAB de CV | 10,383 |
See accompanying Notes to the Financial Statements.
140
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Mexico — continued | ||||||||||
221,273 | Nemak SAB de CV 144A | 99,743 | ||||||||
142,031 | Orbia Advance Corp. SAB de CV | 278,249 | ||||||||
14,495 | Organizacion Soriana SAB de CV Class B‡ | 19,161 | ||||||||
20,910 | Promotora y Operadora de Infraestructura SAB de CV | 186,892 | ||||||||
1,809 | Promotora y Operadora de Infraestructura SAB de CV Series L | 10,628 | ||||||||
11,251 | Vitro SAB de CV Series A | 24,611 | ||||||||
1,372,800 | Wal-Mart de Mexico SAB de CV | 4,066,809 | ||||||||
|
| |||||||||
Total Mexico | 26,543,340 | |||||||||
|
| |||||||||
Netherlands — 0.4% | ||||||||||
25,779 | X5 Retail Group NV, Reg S, GDR‡‡‡ | 901,749 | ||||||||
98,899 | Yandex NV Class A* | 3,462,454 | ||||||||
|
| |||||||||
Total Netherlands | 4,364,203 | |||||||||
|
| |||||||||
Papua New Guinea — 0.2% | ||||||||||
442,127 | Oil Search, Ltd. | 2,182,769 | ||||||||
|
| |||||||||
Philippines — 0.4% | ||||||||||
102,600 | 8990 Holdings, Inc. | 29,772 | ||||||||
851,100 | Alliance Global Group, Inc. | 178,989 | ||||||||
8,223 | Altus San Nicolas Corp.* **** | 822 | ||||||||
9,050 | Ayala Corp. | 154,442 | ||||||||
167,719 | Bank of the Philippine Islands | 300,943 | ||||||||
52,450 | BDO Unibank, Inc. | 144,711 | ||||||||
156,200 | China Banking Corp. | 75,342 | ||||||||
590,600 | DMCI Holdings, Inc. | 94,692 | ||||||||
33,900 | Eagle Cement Corp. | 10,007 | ||||||||
204,200 | Emperador, Inc.* | 27,973 | ||||||||
160,300 | Filinvest Development Corp. | 40,206 | ||||||||
6,555 | GT Capital Holdings, Inc. | 106,489 | ||||||||
38,420 | International Container Terminal Services, Inc. | 89,249 | ||||||||
230,420 | JG Summit Holdings, Inc. | 322,312 | ||||||||
370,600 | LT Group, Inc. | 99,675 | ||||||||
7,500,400 | Megaworld Corp. | 632,390 | ||||||||
171,634 | Metropolitan Bank & Trust Co. | 226,505 | ||||||||
448,700 | Petron Corp. | 43,286 | ||||||||
90,389 | Philippine National Bank* | 76,036 | ||||||||
31,520 | Pilipinas Shell Petroleum Corp. | 19,643 | ||||||||
700 | PLDT, Inc., ADR | 15,400 | ||||||||
3,135 | PLDT, Inc. | 68,470 | ||||||||
95,700 | Puregold Price Club, Inc. | 72,103 | ||||||||
427,100 | Robinsons Land Corp. | 201,890 | ||||||||
130,730 | Robinsons Retail Holdings, Inc. | 199,260 | ||||||||
40,720 | San Miguel Corp. | 134,738 | ||||||||
12,670 | San Miguel Food and Beverage, Inc. | 22,490 | ||||||||
84,040 | Security Bank Corp. | 319,427 | ||||||||
89,300 | Semirara Mining & Power Corp. | 39,283 | ||||||||
4,270 | Top Frontier Investment Holdings, Inc.* | 18,537 | ||||||||
28,020 | Union Bank of the Philippines | 31,950 |
See accompanying Notes to the Financial Statements.
141
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Philippines — continued | ||||||||||
1,677,500 | Vista Land & Lifescapes, Inc. | 249,861 | ||||||||
|
| |||||||||
Total Philippines | 4,046,893 | |||||||||
|
| |||||||||
Poland — 0.5% | ||||||||||
24,001 | Alior Bank SA* | 232,398 | ||||||||
22,601 | Asseco Poland SA | 287,787 | ||||||||
3,841 | Bank Handlowy w Warszawie SA | 49,340 | ||||||||
75,351 | Bank Millennium SA* | 107,412 | ||||||||
5,174 | Bank Polska Kasa Opieki SA | 132,152 | ||||||||
10,501 | Cyfrowy Polsat SA | 69,201 | ||||||||
67,643 | Dino Polska SA* | 2,648,928 | ||||||||
67,330 | Enea SA* | 144,345 | ||||||||
9,123 | Grupa Azoty SA* | 76,959 | ||||||||
5,118 | Grupa Lotos SA | 113,054 | ||||||||
7,468 | Jastrzebska Spolka Weglowa SA | 40,570 | ||||||||
17,492 | KGHM Polska Miedz SA* | 349,042 | ||||||||
1,995 | mBank SA* | 172,970 | ||||||||
72,884 | PGE Polska Grupa Energetyczna SA* | 145,290 | ||||||||
16,197 | Polski Koncern Naftowy ORLEN SA | 398,749 | ||||||||
21,324 | Powszechna Kasa Oszczednosci Bank Polski SA | 209,137 | ||||||||
51,778 | Tauron Polska Energia SA* | 19,979 | ||||||||
|
| |||||||||
Total Poland | 5,197,313 | |||||||||
|
| |||||||||
Russia — 2.6% | ||||||||||
617,286 | Gazprom PJSC, ADR | 4,261,743 | ||||||||
382,375 | Gazprom PJSC (OTC Exchange), ADR‡ | 2,638,387 | ||||||||
55,674 | LUKOIL PJSC (Euroclear Shares), ADR | 4,606,467 | ||||||||
6,698 | Magnitogorsk Iron & Steel Works PJSC, Reg S, GDR‡‡‡ | 51,910 | ||||||||
144,257 | MMC Norilsk Nickel PJSC, ADR | 3,692,979 | ||||||||
15,771 | Novatek PJSC, Reg S, GDR‡‡‡ | 3,198,359 | ||||||||
1,627 | Novolipetsk Steel PJSC, GDR | 35,338 | ||||||||
31,080 | Rosneft Oil Co. PJSC, Reg S, GDR‡‡‡ | 199,409 | ||||||||
293,606 | Sberbank of Russia PJSC, ADR | 4,161,865 | ||||||||
48,312 | Severstal PJSC, Reg S, GDR‡‡‡ | 693,277 | ||||||||
19,813 | Tatneft PJSC, ADR | 1,258,125 | ||||||||
303,080 | VTB Bank PJSC, Reg S, GDR‡‡‡ | 392,489 | ||||||||
|
| |||||||||
Total Russia | 25,190,348 | |||||||||
|
| |||||||||
Singapore — 0.5% | ||||||||||
770,400 | Singapore Telecommunications, Ltd. | 1,726,980 | ||||||||
22,200 | Singapore Telecommunications, Ltd. (London Exchange) | 49,926 | ||||||||
140,980 | United Overseas Bank, Ltd. | 2,615,913 | ||||||||
|
| |||||||||
Total Singapore | 4,392,819 | |||||||||
|
| |||||||||
South Africa — 3.2% | ||||||||||
84,698 | Absa Group, Ltd. | 853,935 | ||||||||
13,281 | AECI, Ltd. | 84,052 | ||||||||
115,910 | African Rainbow Minerals, Ltd.‡ | 1,075,889 |
See accompanying Notes to the Financial Statements.
142
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
1,461 | Anglo American Platinum, Ltd. | 87,976 | ||||||||
41,504 | AngloGold Ashanti, Ltd. | 777,634 | ||||||||
60,711 | Aspen Pharmacare Holdings, Ltd. | 344,146 | ||||||||
1,357 | Assore, Ltd.‡ | 22,827 | ||||||||
73,706 | Barloworld, Ltd. | 561,940 | ||||||||
96,749 | Bid Corp., Ltd. | 2,054,939 | ||||||||
236,696 | Bidvest Group, Ltd. (The)‡ | 2,978,662 | ||||||||
42,885 | Capitec Bank Holdings, Ltd. | 3,641,343 | ||||||||
176,038 | Clicks Group, Ltd. | 2,496,053 | ||||||||
28,293 | Discovery, Ltd. | 212,816 | ||||||||
5,870 | Distell Group Holdings, Ltd. | 52,647 | ||||||||
64,458 | Exxaro Resources, Ltd.‡ | 555,200 | ||||||||
731,527 | FirstRand, Ltd.‡ | 3,000,407 | ||||||||
24,878 | Foschini Group, Ltd. (The) | 268,198 | ||||||||
169,344 | Gold Fields, Ltd., ADR | 833,172 | ||||||||
54,138 | Gold Fields, Ltd. | 271,788 | ||||||||
7,646 | Imperial Logistics, Ltd. ‡ | 26,308 | ||||||||
32,888 | Investec, Ltd. | 173,197 | ||||||||
46,715 | Italtile, Ltd. | 41,223 | ||||||||
713,012 | KAP Industrial Holdings, Ltd.‡ | 222,427 | ||||||||
45,091 | Kumba Iron Ore, Ltd.‡ | 1,113,618 | ||||||||
46,699 | Liberty Holdings, Ltd. | 346,181 | ||||||||
141,747 | Life Healthcare Group Holdings, Ltd. | 212,025 | ||||||||
9,343 | Massmart Holdings, Ltd. | 27,008 | ||||||||
311,960 | Momentum Metropolitan Holdings‡ | 383,713 | ||||||||
53,161 | Motus Holdings, Ltd.‡ | 241,289 | ||||||||
65,904 | MTN Group, Ltd. | 418,569 | ||||||||
99,094 | MultiChoice Group, Ltd.* | 770,989 | ||||||||
41,702 | Nedbank Group, Ltd. | 623,832 | ||||||||
61,082 | Netcare, Ltd. | 70,700 | ||||||||
7,817 | Northam Platinum, Ltd.* | 42,852 | ||||||||
1,122 | Oceana Group, Ltd. | 5,138 | ||||||||
558,375 | Old Mutual, Ltd.‡ | 711,848 | ||||||||
43,406 | Pioneer Foods Group, Ltd. | 303,477 | ||||||||
403,122 | PPC, Ltd.* | 106,613 | ||||||||
6,092 | PSG Group, Ltd. | 84,840 | ||||||||
50,029 | Reunert, Ltd. | 227,667 | ||||||||
55,433 | Sanlam, Ltd. | 272,659 | ||||||||
135,117 | Sappi, Ltd. | 334,618 | ||||||||
8,988 | Sasol, Ltd., ADR‡ | 152,886 | ||||||||
45,095 | Sasol, Ltd.‡ | 752,629 | ||||||||
16,661 | Shoprite Holdings, Ltd. | 134,760 | ||||||||
255,764 | Sibanye Gold, Ltd.* | 353,895 | ||||||||
135,539 | Standard Bank Group, Ltd. | 1,561,570 | ||||||||
77,427 | Super Group, Ltd.* | 141,705 | ||||||||
85,548 | Telkom SA SOC, Ltd. | 398,274 | ||||||||
4,339 | Tiger Brands, Ltd. | 60,255 | ||||||||
34,879 | Tongaat Hulett, Ltd.* **** | 30,388 | ||||||||
39,593 | Transaction Capital, Ltd. | 57,839 |
See accompanying Notes to the Financial Statements.
143
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
38,478 | Truworths International, Ltd. | 134,499 | ||||||||
41,502 | Tsogo Sun Gaming, Ltd. | 36,103 | ||||||||
16,811 | Vodacom Group, Ltd. | 132,647 | ||||||||
38,870 | Woolworths Holdings, Ltd.‡ | 141,201 | ||||||||
|
| |||||||||
Total South Africa | 31,023,066 | |||||||||
|
| |||||||||
South Korea — 7.8% | ||||||||||
20,625 | AfreecaTV Co., Ltd. | 1,106,989 | ||||||||
1,671 | AK Holdings, Inc. | 43,935 | ||||||||
6,100 | Asiana Airlines, Inc.* | 26,212 | ||||||||
4,361 | BGF Co., Ltd. | 21,875 | ||||||||
785 | Binggrae Co., Ltd. | 38,261 | ||||||||
78,406 | BNK Financial Group, Inc. | 471,295 | ||||||||
40,230 | Cheil Worldwide, Inc. | 834,096 | ||||||||
492 | Chongkundang Holdings Corp. | 37,266 | ||||||||
1,546 | CJ CheilJedang Corp. | 303,087 | ||||||||
4,184 | CJ Corp. | 286,827 | ||||||||
6,323 | CJ Hello Co., Ltd. | 33,038 | ||||||||
644 | CJ Logistics Corp.* | 77,798 | ||||||||
5,530 | Daeduck Electronics Co. | 50,161 | ||||||||
2,932 | Daekyo Co., Ltd. | 14,854 | ||||||||
7,983 | Daelim Industrial Co., Ltd. | 694,087 | ||||||||
3,287 | Daesang Corp. | 61,143 | ||||||||
13,546 | Daewoo Engineering & Construction Co., Ltd.* | 54,698 | ||||||||
3,025 | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | 77,386 | ||||||||
8,706 | Daou Technology, Inc. | 144,839 | ||||||||
2,211 | DB HiTek Co., Ltd. | 29,575 | ||||||||
13,666 | DB Insurance Co., Ltd. | 589,529 | ||||||||
62,490 | DGB Financial Group, Inc. | 389,207 | ||||||||
26,905 | Dongkuk Steel Mill Co., Ltd. * | 146,204 | ||||||||
14,977 | Dongwon Development Co., Ltd. | 55,092 | ||||||||
50 | Dongwon F&B Co., Ltd. | 9,635 | ||||||||
173 | Dongwon Industries Co., Ltd. | 31,023 | ||||||||
3,027 | Doosan Bobcat, Inc. | 89,584 | ||||||||
590 | Doosan Corp.**** | 52,284 | ||||||||
53,487 | Doosan Heavy Industries & Construction Co., Ltd.* | 304,069 | ||||||||
40,985 | Doosan Infracore Co., Ltd.* | 215,864 | ||||||||
36,845 | Douzone Bizon Co., Ltd. | 2,014,516 | ||||||||
7,232 | E-MART, Inc. | 683,205 | ||||||||
15,593 | Eugene Corp. | 63,355 | ||||||||
16,004 | Fila Korea, Ltd. | 774,678 | ||||||||
11,128 | GS Engineering & Construction Corp. | 307,005 | ||||||||
7,368 | GS Holdings Corp. | 309,836 | ||||||||
363 | GS Home Shopping, Inc. | 47,069 | ||||||||
2,876 | Halla Holdings Corp. | 103,148 | ||||||||
40,004 | Hana Financial Group, Inc. | 1,178,900 | ||||||||
3,201 | Handsome Co., Ltd. | 78,142 | ||||||||
538 | Hanil Cement Co., Ltd. | 44,753 | ||||||||
442 | Hanil Holdings Co., Ltd. | 18,402 |
See accompanying Notes to the Financial Statements.
144
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
2,354 | Hanjin Kal Corp. | 53,332 | ||||||||
2,473 | Hanjin Transportation Co., Ltd. | 64,402 | ||||||||
21,275 | Hankook Tire & Technology Co., Ltd. | 573,606 | ||||||||
776 | Hansol Paper Co., Ltd. | 9,991 | ||||||||
2,622 | Hanwha Aerospace Co., Ltd.* | 92,394 | ||||||||
31,654 | Hanwha Chemical Corp. | 475,015 | ||||||||
10,922 | Hanwha Corp. | 230,557 | ||||||||
16,935 | Hanwha General Insurance Co., Ltd. | 42,615 | ||||||||
91,789 | Hanwha Life Insurance Co., Ltd. | 182,634 | ||||||||
15,956 | Harim Holdings Co., Ltd. | 125,658 | ||||||||
15,359 | HDC Holdings Co., Ltd. | 165,641 | ||||||||
8,175 | Hotel Shilla Co., Ltd. | 589,128 | ||||||||
156 | Hyosung Advanced Materials Corp. Class C* | 16,041 | ||||||||
111 | Hyosung Chemical Corp. | 15,683 | ||||||||
710 | Hyosung Corp. | 49,741 | ||||||||
150 | Hyosung TNC Co., Ltd. | 19,814 | ||||||||
4,214 | Hyundai Construction Equipment Co., Ltd. | 111,326 | ||||||||
3,899 | Hyundai Department Store Co., Ltd. | 254,577 | ||||||||
3,499 | Hyundai Engineering & Construction Co., Ltd. | 135,438 | ||||||||
15,007 | Hyundai Greenfood Co., Ltd. | 146,789 | ||||||||
1,344 | Hyundai Heavy Industries Holdings Co., Ltd. | 392,700 | ||||||||
2,205 | Hyundai Home Shopping Network Corp. | 168,672 | ||||||||
537 | Hyundai Livart Furniture Co., Ltd. | 6,150 | ||||||||
18,212 | Hyundai Marine & Fire Insurance Co., Ltd. | 401,954 | ||||||||
6,565 | Hyundai Mipo Dockyard Co., Ltd. | 247,529 | ||||||||
7,363 | Hyundai Mobis Co., Ltd. | 1,551,207 | ||||||||
19,477 | Hyundai Motor Co. | 2,181,932 | ||||||||
11,005 | Hyundai Steel Co. | 357,894 | ||||||||
5,377 | Hyundai Wia Corp. | 229,258 | ||||||||
34,598 | Industrial Bank of Korea | 381,803 | ||||||||
2,322 | IS Dongseo Co., Ltd. | 58,334 | ||||||||
47,860 | JB Financial Group Co., Ltd. | 224,866 | ||||||||
50,372 | KB Financial Group, Inc. | 1,798,173 | ||||||||
1,785 | KCC Corp. | 325,319 | ||||||||
63,312 | Kia Motors Corp. | 2,413,600 | ||||||||
2,041 | KISWIRE, Ltd. | 40,610 | ||||||||
16,060 | KIWOOM Securities Co., Ltd. | 911,653 | ||||||||
8,297 | Koh Young Technology, Inc. | 616,648 | ||||||||
889 | Kolon Corp. | 11,966 | ||||||||
7,191 | Kolon Industries, Inc. | 251,293 | ||||||||
5,615 | Korea Asset In Trust Co., Ltd. | 15,843 | ||||||||
1,311 | Korea Electric Terminal Co., Ltd. | 50,636 | ||||||||
2,540 | Korea Investment Holdings Co., Ltd. | 159,898 | ||||||||
4,191 | Korea Line Corp.* | 77,433 | ||||||||
1,262 | Korea Petrochemical Ind Co., Ltd. | 134,519 | ||||||||
60,814 | Korea Real Estate Investment & Trust Co., Ltd. | 106,259 | ||||||||
1,163 | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | 120,563 | ||||||||
4,377 | Korea Zinc Co., Ltd. | 1,639,340 | ||||||||
3,486 | Korean Air Lines Co., Ltd. | 66,739 |
See accompanying Notes to the Financial Statements.
145
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
39,261 | Korean Reinsurance Co. | 262,911 | ||||||||
2,427 | KT Skylife Co., Ltd. | 18,363 | ||||||||
1,105 | Kumho Petrochemical Co., Ltd. | 66,144 | ||||||||
5,948 | Kumho Tire Co., Inc.* | 21,382 | ||||||||
7,750 | LF Corp. | 130,878 | ||||||||
21,711 | LG Chem, Ltd. | 5,436,145 | ||||||||
2,708 | LG Corp. | 158,475 | ||||||||
31,870 | LG Display Co., Ltd.* | 377,010 | ||||||||
14,581 | LG Electronics, Inc. | 821,602 | ||||||||
2,485 | LG Hausys, Ltd. | 125,273 | ||||||||
3,737 | LG Household & Health Care, Ltd. | 4,083,316 | ||||||||
12,198 | LG International Corp. | 174,891 | ||||||||
3,362 | LG Uplus Corp. | 38,366 | ||||||||
1,034 | LIG Nex1 Co., Ltd. | 30,817 | ||||||||
2,136 | Lock&Lock Co., Ltd. | 22,232 | ||||||||
2,356 | Lotte Chemical Corp. | 464,838 | ||||||||
431 | Lotte Chilsung Beverage Co., Ltd. | 49,905 | ||||||||
123 | Lotte Confectionery Co., Ltd. | 15,116 | ||||||||
1,684 | Lotte Fine Chemical Co., Ltd. | 64,198 | ||||||||
40 | Lotte Food Co., Ltd. | 14,714 | ||||||||
4,140 | Lotte Himart Co., Ltd. | 103,833 | ||||||||
3,201 | Lotte Shopping Co., Ltd. | 345,215 | ||||||||
5,322 | LS Corp. | 211,118 | ||||||||
1,230 | LS Industrial Systems Co., Ltd. | 49,513 | ||||||||
1,410 | Mando Corp. | 42,672 | ||||||||
2,483 | Meritz Financial Group, Inc. | 26,674 | ||||||||
2,886 | Meritz Fire & Marine Insurance Co., Ltd. | 46,083 | ||||||||
24,707 | Meritz Securities Co., Ltd. | 104,310 | ||||||||
12,903 | Mirae Asset Daewoo Co., Ltd. | 80,903 | ||||||||
28,008 | Mirae Asset Life Insurance Co., Ltd. | 101,270 | ||||||||
2,471 | Namhae Chemical Corp. | 18,716 | ||||||||
12,549 | Nexen Tire Corp. | 94,840 | ||||||||
39,470 | NH Investment & Securities Co., Ltd. Class C | 419,069 | ||||||||
1,141 | NHN Corp.* | 59,428 | ||||||||
2,915 | NongShim Co., Ltd. | 608,028 | ||||||||
5,227 | OCI Co., Ltd. | 303,705 | ||||||||
5,181 | Orange Life Insurance, Ltd. 144A | 117,164 | ||||||||
8,693 | Orion Holdings Corp. | 115,553 | ||||||||
18,039 | Pan Ocean Co., Ltd.* | 68,920 | ||||||||
8,131 | Poongsan Corp. | 151,587 | ||||||||
10,244 | POSCO | 1,944,060 | ||||||||
3,308 | Posco International Corp. | 52,822 | ||||||||
1,276 | S&T Motiv Co., Ltd. | 57,925 | ||||||||
3,269 | Samsung C&T Corp. | 245,144 | ||||||||
11,256 | Samsung Card Co., Ltd. | 330,768 | ||||||||
230,942 | Samsung Electronics Co., Ltd. | 9,470,138 | ||||||||
4,455 | Samsung Electronics Co., Ltd. (London Exchange) Reg S, GDR‡‡‡ | 4,535,190 | ||||||||
1,102 | Samsung Fire & Marine Insurance Co., Ltd. | 205,447 | ||||||||
11,648 | Samsung Heavy Industries Co., Ltd.* | 76,735 |
See accompanying Notes to the Financial Statements.
146
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Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
9,579 | Samsung Life Insurance Co., Ltd. | 569,382 | ||||||||
16,512 | Samsung Securities Co., Ltd. | 487,982 | ||||||||
1,020 | Samyang Corp. | 42,082 | ||||||||
1,710 | Samyang Holdings Corp. | 85,775 | ||||||||
5,781 | Seah Besteel Corp. | 79,261 | ||||||||
2,785 | Sebang Global Battery Co., Ltd. | 91,269 | ||||||||
24,353 | SFA Engineering Corp. | 859,170 | ||||||||
153,515 | Shinhan Financial Group Co., Ltd. | 5,364,651 | ||||||||
3,644 | Shinsegae International, Inc. | 603,195 | ||||||||
1,995 | Shinsegae, Inc. | 437,811 | ||||||||
731 | Shinyoung Securities Co., Ltd. | 33,979 | ||||||||
23,919 | Silicon Works Co., Ltd. | 681,886 | ||||||||
2,514 | Sindoh Co., Ltd. | 83,439 | ||||||||
1,323 | SK Chemicals Co., Ltd. | 50,104 | ||||||||
3,059 | SK Discovery Co., Ltd. | 56,134 | ||||||||
1,536 | SK Gas, Ltd. | 95,538 | ||||||||
1,247 | SK Holdings Co., Ltd. | 212,672 | ||||||||
1,965 | SK Innovation Co., Ltd. | 272,700 | ||||||||
45,444 | SK Networks Co., Ltd. | 211,235 | ||||||||
1,642 | SKC Co., Ltd. | 54,635 | ||||||||
2,771 | SL Corp. | 55,598 | ||||||||
1,507 | Songwon Industrial Co., Ltd. | 23,371 | ||||||||
155,373 | Ssangyong Cement Industrial Co., Ltd. | 793,654 | ||||||||
7,760 | Ssangyong Motor Co.* | 18,619 | ||||||||
127 | Taekwang Industrial Co., Ltd. | 119,977 | ||||||||
6,785 | Taeyoung Engineering & Construction Co., Ltd. | 75,442 | ||||||||
14,048 | Tongyang Life Insurance Co., Ltd. | 44,863 | ||||||||
1,690 | Unid Co., Ltd. | 64,780 | ||||||||
5,297 | Wonik Holdings Co., Ltd.* | 18,732 | ||||||||
63,437 | Woori Financial Group, Inc. | 660,277 | ||||||||
86 | Young Poong Corp. | 43,714 | ||||||||
1,900 | Youngone Corp. | 56,707 | ||||||||
1,790 | Youngone Holdings Co., Ltd. | 70,933 | ||||||||
41,494 | Yuanta Securities Korea Co., Ltd.* | 92,968 | ||||||||
2,899 | Yuhan Corp. | 553,795 | ||||||||
|
| |||||||||
Total South Korea | 75,639,831 | |||||||||
|
| |||||||||
Spain — 0.0% | ||||||||||
21,186 | Banco Santander SA* | 86,165 | ||||||||
16,331 | CEMEX Latam Holdings SA* | 20,352 | ||||||||
|
| |||||||||
Total Spain | 106,517 | |||||||||
|
| |||||||||
Switzerland — 0.3% | ||||||||||
159,475 | ABB, Ltd. | 3,136,243 | ||||||||
|
| |||||||||
Taiwan — 11.3% | ||||||||||
331,000 | Accton Technology Corp. | 1,744,379 | ||||||||
752,000 | Acer, Inc. | 431,453 | ||||||||
70,000 | Aerospace Industrial Development Corp. | 72,765 |
See accompanying Notes to the Financial Statements.
147
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
16,000 | Arcadyan Technology Corp. | 47,292 | ||||||||
59,000 | Ardentec Corp. | 53,058 | ||||||||
104,000 | ASE Technology Holding Co., Ltd. | 237,335 | ||||||||
1,160,000 | Asia Cement Corp. | 1,618,979 | ||||||||
22,000 | Asia Optical Co., Inc. | 55,524 | ||||||||
17,000 | Asia Vital Components Co., Ltd. | 20,822 | ||||||||
86,000 | Asustek Computer, Inc. | 572,419 | ||||||||
2,215,000 | AU Optronics Corp. | 561,166 | ||||||||
271,000 | Bioteque Corp. | 1,109,349 | ||||||||
21,000 | Brighton-Best International Taiwan, Inc. | 22,676 | ||||||||
537,140 | Capital Securities Corp. | 152,531 | ||||||||
48,000 | Career Technology MFG. Co., Ltd. | 56,549 | ||||||||
76,000 | Catcher Technology Co., Ltd. | 575,674 | ||||||||
874,000 | Cathay Financial Holding Co., Ltd. | 1,152,206 | ||||||||
260,000 | Cathay Real Estate Development Co., Ltd. | 171,800 | ||||||||
26,519 | Center Laboratories, Inc. | 50,945 | ||||||||
437,049 | Chang Hwa Commercial Bank, Ltd. | 304,988 | ||||||||
279,000 | Cheng Loong Corp. | 160,523 | ||||||||
69,000 | Cheng Shin Rubber Industry Co., Ltd. | 101,861 | ||||||||
138,000 | Cheng Uei Precision Industry Co., Ltd. | 154,794 | ||||||||
22,110 | Chicony Electronics Co., Ltd. | 65,137 | ||||||||
68,000 | Chilisin Electronics Corp. | 183,674 | ||||||||
141,000 | Chin-Poon Industrial Co., Ltd. | 143,843 | ||||||||
709,000 | China Airlines, Ltd. | 207,504 | ||||||||
223,000 | China Bills Finance Corp. | 106,740 | ||||||||
1,402,000 | China Development Financial Holding Corp. | 417,556 | ||||||||
34,278 | China General Plastics Corp. | 21,932 | ||||||||
668,335 | China Life Insurance Co., Ltd.* | 529,937 | ||||||||
430,260 | ChinaMan-Made Fiber Corp. | 113,027 | ||||||||
90,000 | China Metal Products | 88,333 | ||||||||
37,000 | China Motor Corp.**** | 29,398 | ||||||||
460,950 | China Petrochemical Development Corp. | 148,428 | ||||||||
1,442,000 | China Steel Corp. | 1,069,026 | ||||||||
624,500 | Chipbond Technology Corp. | 1,157,432 | ||||||||
86,944 | ChipMOS Technologies, Inc. | 88,417 | ||||||||
17,000 | Chong Hong Construction Co., Ltd. | 43,562 | ||||||||
271,000 | Chung Hung Steel Corp. | 85,079 | ||||||||
117,000 | Chung Hwa Pulp Corp. | 34,771 | ||||||||
1,065,000 | Compal Electronics, Inc. | 614,466 | ||||||||
140,000 | Compeq Manufacturing Co., Ltd. | 156,812 | ||||||||
103,000 | Continental Holdings Corp. | 47,309 | ||||||||
158,000 | Coretronic Corp. | 189,960 | ||||||||
1,358,000 | CTBC Financial Holding Co., Ltd. | 901,700 | ||||||||
61,000 | CTCI Corp. | 81,990 | ||||||||
66,000 | Darwin Precisions Corp. | 37,335 | ||||||||
449,700 | Delta Electronics, Inc. | 1,920,587 | ||||||||
31,000 | Depo Auto Parts Ind Co., Ltd. | 62,651 | ||||||||
161,000 | E Ink Holdings, Inc. | 146,083 | ||||||||
4,717,559 | E.Sun Financial Holding Co., Ltd. | 3,991,553 |
See accompanying Notes to the Financial Statements.
148
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
299,000 | Elite Material Co., Ltd. | 1,209,512 | ||||||||
7,000 | Ennoconn Corp. | 49,525 | ||||||||
77,000 | EnTie Commercial Bank Co., Ltd. | 36,732 | ||||||||
115,000 | Epistar Corp.* | 89,889 | ||||||||
87,740 | Eternal Materials Co., Ltd. | 71,692 | ||||||||
572,208 | Eva Airways Corp. | 251,757 | ||||||||
147,000 | Evergreen International Storage & Transport Corp. | 64,913 | ||||||||
592,549 | Evergreen Marine Corp. Taiwan, Ltd.* | 248,292 | ||||||||
116,000 | Everlight Electronics Co., Ltd. | 104,131 | ||||||||
419,000 | Far Eastern Department Stores, Ltd. | 322,780 | ||||||||
867,282 | Far Eastern International Bank | 335,457 | ||||||||
397,000 | Far Eastern New Century Corp. | 366,615 | ||||||||
95,000 | Farglory Land Development Co., Ltd. | 111,920 | ||||||||
34,000 | Feng Hsin Steel Co., Ltd. | 56,330 | ||||||||
113,100 | Feng TAY Enterprise Co., Ltd. | 811,125 | ||||||||
277,750 | First Financial Holding Co., Ltd. | 195,167 | ||||||||
31,000 | FLEXium Interconnect, Inc. | 94,325 | ||||||||
33,000 | Formosa Advanced Technologies Co., Ltd. | 36,218 | ||||||||
116,000 | Formosa Chemicals & Fibre Corp. | 324,170 | ||||||||
126,000 | Formosa Plastics Corp. | 383,793 | ||||||||
7,000 | Formosa Sumco Technology Corp. | 22,788 | ||||||||
225,000 | Formosa Taffeta Co., Ltd. | 245,129 | ||||||||
237,000 | Foxconn Technology Co., Ltd. | 494,251 | ||||||||
771,000 | Fubon Financial Holding Co., Ltd. | 1,107,127 | ||||||||
33,000 | Getac Technology Corp. | 49,727 | ||||||||
62,000 | Gigabyte Technology Co., Ltd. | 99,222 | ||||||||
293,000 | Grand Pacific Petrochemical* | 170,939 | ||||||||
121,000 | Grape King Bio, Ltd. | 721,527 | ||||||||
57,298 | Great Wall Enterprise Co., Ltd. | 69,627 | ||||||||
29,000 | Greatek Electronics, Inc. | 40,147 | ||||||||
93,476 | Hannstar Board Corp. | 122,779 | ||||||||
801,000 | HannStar Display Corp. | 165,237 | ||||||||
58,000 | Highwealth Construction Corp. | 93,288 | ||||||||
16,000 | Holy Stone Enterprise Co., Ltd. | 47,034 | ||||||||
1,236,200 | Hon Hai Precision Industry Co., Ltd. | 2,916,722 | ||||||||
445,120 | Hua Nan Financial Holdings Co., Ltd. Class C | 300,577 | ||||||||
23,000 | Huaku Development Co., Ltd. | 59,308 | ||||||||
198,600 | Hung Sheng Construction, Ltd.* | 127,388 | ||||||||
761,766 | IBF Financial Holdings Co., Ltd. | 262,725 | ||||||||
10,800 | IEI Integration Corp. | 18,415 | ||||||||
2,205,000 | Innolux Corp. | 469,081 | ||||||||
255,809 | International CSRC Investment Holdings Co. | 268,387 | ||||||||
134,000 | Inventec Corp. | 92,430 | ||||||||
240,790 | Jih Sun Financial Holdings Co., Ltd. | 76,682 | ||||||||
54,000 | Kenda Rubber Industrial Co., Ltd. | 54,828 | ||||||||
19,000 | Kerry TJ Logistics Co., Ltd. | 22,292 | ||||||||
51,000 | Kindom Development Co., Ltd. | 45,124 | ||||||||
105,000 | King Yuan Electronics Co., Ltd. | 117,947 | ||||||||
300,000 | King’s Town Bank Co., Ltd. | 298,313 |
See accompanying Notes to the Financial Statements.
149
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
470,000 | Kinpo Electronics | 162,098 | ||||||||
99,000 | Kinsus Interconnect Technology Corp. | 133,704 | ||||||||
178,000 | Lite-On Technology Corp., ADR | 282,854 | ||||||||
251,462 | Longchen Paper & Packaging Co., Ltd. | 110,637 | ||||||||
3,000 | Lotes Co., Ltd. | 26,205 | ||||||||
14,000 | Lung Yen Life Service Corp. | 27,707 | ||||||||
119,000 | Macronix International | 120,824 | ||||||||
157,300 | Makalot Industrial Co., Ltd. | 834,046 | ||||||||
42,000 | MediaTek, Inc. | 499,541 | ||||||||
379,000 | Mega Financial Holding Co., Ltd. | 351,214 | ||||||||
114,480 | Mercuries & Associates Holding, Ltd.* | 69,741 | ||||||||
284,445 | Mercuries Life Insurance Co., Ltd.* | 97,643 | ||||||||
193,500 | Merry Electronics Co., Ltd. | 948,025 | ||||||||
705,900 | Micro-Star International Co., Ltd. | 2,054,595 | ||||||||
47,000 | Nan Kang Rubber Tire Co., Ltd. | 68,399 | ||||||||
175,000 | Nan Ya Plastics Corp. | 393,157 | ||||||||
79,000 | Nan Ya Printed Circuit Board Corp. * | 128,847 | ||||||||
21,000 | Nantex Industry Co., Ltd. | 21,186 | ||||||||
42,000 | Nanya Technology Corp. | 108,978 | ||||||||
263,700 | Novatek Microelectronics Corp. | 1,512,953 | ||||||||
317,000 | O-Bank Co., Ltd. * | 78,370 | ||||||||
62,000 | Oriental Union Chemical Corp. | 44,065 | ||||||||
25,200 | Pan Jit International, Inc. | 23,677 | ||||||||
73,000 | Pan-International Industrial Corp. | 55,177 | ||||||||
241,000 | Pegatron Corp. | 419,475 | ||||||||
9,000 | Phison Electronics Corp. | 80,211 | ||||||||
278,000 | Pou Chen Corp. | 356,186 | ||||||||
398,000 | Powertech Technology, Inc. | 1,118,651 | ||||||||
119,000 | President Securities Corp. | 49,672 | ||||||||
604,000 | Primax Electronics, Ltd. | 1,150,587 | ||||||||
324,000 | Prince Housing & Development Corp. | 114,877 | ||||||||
455,000 | Qisda Corp., ADR | 310,182 | ||||||||
85,000 | Quanta Computer, Inc. | 155,071 | ||||||||
691,100 | Radiant Opto-Electronics Corp. | 2,639,699 | ||||||||
79,560 | Radium Life Tech Co., Ltd. | 30,132 | ||||||||
326,600 | Realtek Semiconductor Corp. | 2,421,248 | ||||||||
31,000 | Rechi Precision Co., Ltd. | 23,182 | ||||||||
25,000 | Ruentex Industries, Ltd.* | 53,909 | ||||||||
20,000 | San Fang Chemical Industry Co., Ltd. | 15,665 | ||||||||
83,000 | Sanyang Motor Co., Ltd. | 56,181 | ||||||||
80,000 | Shihlin Electric & Engineering Corp. | 118,487 | ||||||||
1,191,651 | Shin Kong Financial Holding Co., Ltd.* | 360,670 | ||||||||
17,000 | Shin Zu Shing Co., Ltd. | 63,289 | ||||||||
18,000 | Shinkong Insurance Co., Ltd. | 21,699 | ||||||||
411,000 | Shinkong Synthetic Fibers Corp. | 151,023 | ||||||||
42,000 | Sigurd Microelectronics Corp. | 44,810 | ||||||||
125,000 | Simplo Technology Co., Ltd. | 1,047,559 | ||||||||
25,000 | Sino-American Silicon Products, Inc. | 66,238 | ||||||||
1,298,480 | SinoPac Financial Holdings Co., Ltd. | 506,426 |
See accompanying Notes to the Financial Statements.
150
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
17,000 | Sinyi Realty, Inc. | 17,261 | ||||||||
95,000 | Sunny Friend Environmental Technology Co., Ltd. | 831,359 | ||||||||
75,000 | Synnex Technology International Corp. | 87,753 | ||||||||
5,000 | Systex Corp. | 11,765 | ||||||||
45,530 | TA Chen Stainless Pipe | 50,997 | ||||||||
771,983 | Taichung Commercial Bank Co., Ltd. | 294,864 | ||||||||
1,199,703 | Taishin Financial Holding Co., Ltd. | 535,573 | ||||||||
893,514 | Taiwan Business Bank | 367,203 | ||||||||
1,417,309 | Taiwan Cement Corp. | 1,811,352 | ||||||||
1,004,085 | Taiwan Cooperative Financial Holding Co., Ltd. | 663,467 | ||||||||
275,000 | Taiwan Glass Industry Corp. | 103,265 | ||||||||
33,000 | Taiwan Hon Chuan Enterprise Co., Ltd. | 58,821 | ||||||||
585,138 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 27,197,214 | ||||||||
1,027,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 9,003,981 | ||||||||
28,000 | Taiwan Shin Kong Security Co., Ltd. | 33,844 | ||||||||
33,000 | Taiwan Styrene Monomer | 23,135 | ||||||||
26,000 | Taiwan Surface Mounting Technology Corp. | 61,597 | ||||||||
52,000 | Tatung Co., Ltd.* | 28,494 | ||||||||
73,079 | TCI Co., Ltd. | 736,102 | ||||||||
487,000 | Teco Electric and Machinery Co., Ltd. | 392,432 | ||||||||
225,000 | Ton Yi Industrial Corp. | 85,940 | ||||||||
15,000 | Tong Hsing Electronic Industries, Ltd. | 60,920 | ||||||||
57,000 | Tong Yang Industry Co., Ltd. | 86,167 | ||||||||
18,000 | Topco Scientific Co., Ltd. | 55,408 | ||||||||
20,000 | Transcend Information, Inc. | 41,516 | ||||||||
306,000 | Tripod Technology Corp. | 1,099,744 | ||||||||
50,000 | TSRC Corp. | 38,679 | ||||||||
283,000 | Tung Ho Steel Enterprise Corp. | 196,575 | ||||||||
49,000 | TXC Corp. | 61,518 | ||||||||
152,000 | U-Ming Marine Transport Corp. | 164,373 | ||||||||
1,914,000 | Uni-President Enterprises Corp. | 4,614,650 | ||||||||
80,000 | Unimicron Technology Corp. | 112,556 | ||||||||
514,577 | Union Bank Of Taiwan* | 173,325 | ||||||||
54,700 | Unitech Printed Circuit Board Corp. | 62,326 | ||||||||
1,384,000 | United Microelectronics Corp. | 597,773 | ||||||||
236,887 | UPC Technology Corp. | 80,936 | ||||||||
297,780 | USI Corp. | 123,817 | ||||||||
61,000 | Wafer Works Corp. | 66,162 | ||||||||
49,000 | Wah Lee Industrial Corp. | 83,550 | ||||||||
653,000 | Walsin Lihwa Corp. | 305,194 | ||||||||
5,000 | Walsin Technology Corp. | 28,123 | ||||||||
86,000 | Wan Hai Lines, Ltd. | 50,589 | ||||||||
21,000 | Wei Chuan Foods Corp. | 17,091 | ||||||||
732,000 | Winbond Electronics Corp. | 421,157 | ||||||||
723,447 | Wistron Corp. | 584,130 | ||||||||
28,560 | Wistron NeWeb Corp. | 75,118 | ||||||||
61,000 | Wiwynn Corp. | 868,072 | ||||||||
226,720 | WPG Holdings, Ltd. | 279,157 | ||||||||
175,000 | WT Microelectronics Co., Ltd. | 218,577 |
See accompanying Notes to the Financial Statements.
151
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
7,000 | Yageo Corp. | 55,617 | ||||||||
368,000 | Yang Ming Marine Transport Corp.* | 92,520 | ||||||||
341,000 | YFY, Inc. | 128,049 | ||||||||
318,331 | Yieh Phui Enterprise Co., Ltd. | 93,577 | ||||||||
1,227,000 | Yuanta Financial Holding Co., Ltd. | 731,664 | ||||||||
15,100 | Yulon Finance Corp. | 54,268 | ||||||||
390,000 | Yulon Motor Co., Ltd. | 247,014 | ||||||||
8,000 | Yung Chi Paint & Varnish Manufacturing Co., Ltd. | 18,050 | ||||||||
|
| |||||||||
Total Taiwan | 109,769,867 | |||||||||
|
| |||||||||
Thailand — 2.4% | ||||||||||
1,502,300 | Airports of Thailand PCL Class F | 3,671,634 | ||||||||
903,400 | AP Thailand PCL Class F | 199,377 | ||||||||
355,200 | Bangchak Corp. PCL Class F | 316,469 | ||||||||
85,600 | Bangkok Airways PCL Class F | 24,349 | ||||||||
28,100 | Bangkok Bank PCL Class F, NVDR | 159,403 | ||||||||
216,500 | Bangkok Life Assurance PCL, NVDR | 143,696 | ||||||||
137,200 | Bank of Ayudhya PCL, NVDR | 149,155 | ||||||||
1,175,700 | Banpu PCL Class F | 453,597 | ||||||||
30,800 | Berli Jucker PCL Class F | 53,121 | ||||||||
163,200 | Charoen Pokphand Foods PCL Class F | 140,069 | ||||||||
1,429,700 | CP ALL PCL Class F | 3,786,356 | ||||||||
28,300 | Delta Electronics Thailand PCL Class F | 45,802 | ||||||||
128,800 | Esso Thailand PCL Class F | 33,900 | ||||||||
52,400 | GFPT PCL Class F | 30,667 | ||||||||
160,400 | Hana Microelectronics PCL Class F | 148,154 | ||||||||
47,500 | Indorama Ventures PCL Class F | 50,474 | ||||||||
2,994,600 | IRPC PCL Class F | 360,312 | ||||||||
365,700 | Kasikornbank PCL, NVDR | 1,871,246 | ||||||||
209,000 | Kasikornbank PCL Class F | 1,072,846 | ||||||||
14,500 | Kiatnakin Bank PCL Class F | 31,290 | ||||||||
575,700 | Krung Thai Bank PCL Class F | 323,755 | ||||||||
1,479,000 | Krungthai Card PCL Class F | 2,067,263 | ||||||||
1,752,600 | Land & Houses PCL Class F | 555,835 | ||||||||
108,300 | MBK PCL Class F | 79,317 | ||||||||
69,700 | Precious Shipping PCL Class F* | 19,599 | ||||||||
251,100 | Pruksa Holding PCL Class F | 137,105 | ||||||||
50,300 | PTT Exploration & Production PCL Class F | 198,996 | ||||||||
289,500 | PTT Global Chemical PCL Class F | 508,767 | ||||||||
390,600 | PTT PCL Class F | 609,814 | ||||||||
311,400 | Quality Houses PCL Class F | 26,879 | ||||||||
1,648,000 | Sansiri PCL Class F | 64,659 | ||||||||
13,300 | Siam Cement PCL (The) Class F | 177,420 | ||||||||
140,300 | Siam Commercial Bank PCL (The) Class F | 541,291 | ||||||||
1,444,900 | Sino-Thai Engineering & Construction PCL Class F | 944,842 | ||||||||
181,300 | Sri Trang Agro-Industry PCL Class F | 61,056 | ||||||||
594,200 | Star Petroleum Refining PCL Class F | 180,679 | ||||||||
960,200 | Supalai PCL Class F | 565,101 | ||||||||
262,000 | Thai Airways International PCL Class F* | 77,953 |
See accompanying Notes to the Financial Statements.
152
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Thailand — continued | ||||||||||
285,500 | Thai Oil PCL Class F | 651,091 | ||||||||
129,200 | Thai Union Group PCL Class F | 70,546 | ||||||||
676,700 | Thanachart Capital PCL Class F | 1,261,138 | ||||||||
332,100 | Tisco Financial Group PCL Class F | 1,112,972 | ||||||||
2,788,000 | TMB Bank PCL Class F | 143,115 | ||||||||
53,800 | TPI Polene Power PCL Class F | 8,408 | ||||||||
346,800 | True Corp. PCL Class F | 59,529 | ||||||||
35,900 | Vinythai PCL Class F | 28,875 | ||||||||
|
| |||||||||
Total Thailand | 23,217,922 | |||||||||
|
| |||||||||
Turkey — 0.5% | ||||||||||
303,052 | Akbank T.A.S.* | 435,807 | ||||||||
9,640 | Anadolu Efes Biracilik Ve Malt Sanayii AS | 37,355 | ||||||||
175,592 | Arcelik AS* | 592,096 | ||||||||
2,802 | Aygaz AS | 5,831 | ||||||||
56,399 | BIM Birlesik Magazalar AS | 490,626 | ||||||||
3,454 | Coca-Cola Icecek AS | 20,602 | ||||||||
87,117 | Dogan Sirketler Grubu Holding AS | 23,606 | ||||||||
69,223 | Enka Insaat ve Sanayi AS | 69,266 | ||||||||
41,412 | Eregli Demir ve Celik Fabrikalari TAS | 50,239 | ||||||||
26,827 | Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS Class A | 10,262 | ||||||||
277,226 | Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS Class D | 109,486 | ||||||||
23,713 | KOC Holding AS | 79,414 | ||||||||
22,782 | Koza Anadolu Metal Madencilik Isletmeleri AS* | 37,240 | ||||||||
8,732 | Pegasus Hava Tasimaciligi AS* | 93,869 | ||||||||
30,173 | Soda Sanayii AS | 31,581 | ||||||||
361,763 | Tekfen Holding AS | 1,226,272 | ||||||||
166,299 | Trakya Cam Sanayii AS | 87,472 | ||||||||
64,631 | Turk Hava Yollari AO* | 141,704 | ||||||||
83,797 | Turkiye Garanti Bankasi AS* | 151,522 | ||||||||
131,148 | Turkiye Halk Bankasi AS* | 152,365 | ||||||||
168,164 | Turkiye Is Bankasi AS Class C* | 186,733 | ||||||||
386,900 | Turkiye Sinai Kalkinma Bankasi AS* | 65,094 | ||||||||
92,896 | Turkiye Sise ve Cam Fabrikalari AS | 76,831 | ||||||||
211,027 | Turkiye Vakiflar Bankasi TAO Series D* | 193,592 | ||||||||
224,757 | Yapi ve Kredi Bankasi AS* | 95,929 | ||||||||
|
| |||||||||
Total Turkey | 4,464,794 | |||||||||
|
| |||||||||
United Arab Emirates — 0.2% | ||||||||||
3,964,148 | Emaar Malls PJSC | 2,028,939 | ||||||||
|
| |||||||||
United Kingdom — 1.0% | ||||||||||
185,616 | GlaxoSmithKline Plc | 3,990,502 | ||||||||
203,140 | Mondi Plc | 3,900,131 | ||||||||
3,232 | Mondi Plc | 61,912 | ||||||||
77,032 | Network International Holdings Plc* | 507,857 | ||||||||
15,000 | WNS Holdings, Ltd., ADR* | 881,250 | ||||||||
|
| |||||||||
Total United Kingdom | 9,341,652 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
153
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — 1.3% | ||||||||||
47,353 | Citigroup, Inc. | 3,271,145 | ||||||||
30,151 | Johnson & Johnson | 3,900,936 | ||||||||
18,455 | Microsoft Corp. | 2,565,799 | ||||||||
21,648 | PepsiCo, Inc. | 2,967,941 | ||||||||
|
| |||||||||
Total United States | 12,705,821 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $934,110,451) | 904,034,754 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.9% |
| |||||||||
Brazil — 1.3% | ||||||||||
154,200 | Azul SA, 0.00%* | 1,840,227 | ||||||||
334,560 | Banco Bradesco SA, 3.12%* | 2,724,414 | ||||||||
214,500 | Banco do Estado do Rio Grande do Sul SA, 10.70% Series B | 1,161,227 | ||||||||
21,700 | Banco Pan SA, 0.97%* | 44,334 | ||||||||
12,000 | Cia Brasileira de Distribuicao, 1.48%* | 229,894 | ||||||||
329,144 | Gerdau SA, 2.55% | 1,039,884 | ||||||||
21,200 | Itau Unibanco Holding SA, 5.28% | 178,287 | ||||||||
588,863 | Petroleo Brasileiro SA, 4.37% | 3,894,746 | ||||||||
378,200 | Randon SA Implementos e Participacoes, 1.98% | 870,730 | ||||||||
115,200 | Usinas Siderurgicas de Minas Gerais SA, 2.17% Series A | 215,997 | ||||||||
|
| |||||||||
Total Brazil | 12,199,740 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
5,238 | Banco Davivienda SA, 2.00% | 63,998 | ||||||||
15,537 | Grupo Argos SA, 2.54% | 60,568 | ||||||||
59,946 | Grupo Aval Acciones y Valores SA, 4.25% | 22,403 | ||||||||
8,748 | Grupo de Inversiones Suramericana SA, 1.83% | 73,888 | ||||||||
|
| |||||||||
Total Colombia | 220,857 | |||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
24,439 | BMW AG, 7.11% | 1,357,481 | ||||||||
|
| |||||||||
South Korea — 0.4% | ||||||||||
123 | CJ Corp., 0.00%* | 6,170 | ||||||||
128,213 | Samsung Electronics Co., Ltd., 2.68% | 4,233,928 | ||||||||
|
| |||||||||
Total South Korea | 4,240,098 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $19,389,751) | 18,018,176 | |||||||||
|
| |||||||||
RIGHTS — 0.0% |
| |||||||||
Hong Kong — 0.0% | ||||||||||
6,315 | Legend Holdings Corp., Class H* **** | — | ||||||||
|
| |||||||||
Thailand — 0.0% | ||||||||||
1,930,035 | TMB Bank PCL, Expires 10/24/2019* **** | 10,728 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $—) | 10,728 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
154
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value(a) | Description | Value ($) | ||||||||
Corporate Debt — 0.0% |
| |||||||||
India — 0.0% | ||||||||||
1,393,170 | INR | Britannia Industries, Ltd., 8.00%, due 08/28/22 | 19,528 | |||||||
|
| |||||||||
TOTAL CORPORATE DEBT (COST $19,891) | 19,528 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.8% |
| |||||||||
Mutual Fund - Securities Lending Collateral — 0.5% | ||||||||||
5,144,730 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%## ** | 5,144,730 | ||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 0.3% | ||||||||||
2,000,000 | United States Treasury Bill, 1.79%, due 11/21/19*** ‡‡ | 1,994,931 | ||||||||
1,000,000 | United States Treasury Bill, 1.81%, due 03/05/20*** ‡‡ | 992,298 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $2,985,568) | 2,987,229 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $8,130,298) | 8,131,959 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 95.7% (Cost $961,650,391) | 930,215,145 | |||||||||
Other Assets and Liabilities (net) — 4.3% | 42,253,312 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $972,468,457 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: |
| |||||||||
ADR — American Depository Receipt |
| |||||||||
GDR — Global Depository Receipt |
| |||||||||
NVDR —Non-Voting Depository Receipt |
| |||||||||
REIT — Real Estate Investment Trust |
| |||||||||
## | The rate disclosed is the 7 day net yield as of September 30, 2019. |
| ||||||||
* | Non-income producing security |
| ||||||||
** | Represents an investment of securities lending cash collateral. |
| ||||||||
*** | All or a portion of this security is pledged for open futures collateral. |
| ||||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $1,167,337 which represents 0.1% of net assets. The aggregate tax cost of these securities held at September 30, 2019 was $1,464,911. |
| ||||||||
‡ | All or a portion of this security is out on loan. |
| ||||||||
‡‡ | Interest rate presented is yield to maturity. |
| ||||||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| ||||||||
(a) | Unless otherwise indicated, all par values are denominated in United States dollars ($). |
| ||||||||
144A | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at period end is $6,712,673 which represents 0.7% of net assets. |
|
See accompanying Notes to the Financial Statements.
155
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Currency Abbreviations
INR | — Indian Rupee |
Futures Contracts
| ||||||||||||||||||||
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
891 | MSCI Emerging Markets E-mini Index | Dec 2019 | $ | 44,634,645 | $ | (1,006,047 | ) | |||||||||||||
|
|
See accompanying Notes to the Financial Statements.
156
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Banks | 13.4 | ||||
Internet | 7.5 | ||||
Diversified Financial Services | 7.2 | ||||
Semiconductors | 6.8 | ||||
Insurance | 6.1 | ||||
Oil & Gas | 4.5 | ||||
Pharmaceuticals | 3.8 | ||||
Retail | 3.2 | ||||
Computers | 3.1 | ||||
Food | 2.9 | ||||
Software | 2.6 | ||||
Chemicals | 2.3 | ||||
Telecommunications | 2.3 | ||||
Auto Manufacturers | 2.1 | ||||
Real Estate | 2.1 | ||||
Building Materials | 2.0 | ||||
Electronics | 2.0 | ||||
Engineering & Construction | 2.0 | ||||
Mining | 1.7 | ||||
Commercial Services | 1.6 | ||||
Beverages | 1.3 | ||||
Lodging | 1.3 | ||||
Iron & Steel | 1.2 | ||||
Auto Parts & Equipment | 1.1 | ||||
Gas | 1.1 | ||||
Home Furnishings | 1.1 | ||||
Apparel | 1.0 | ||||
Aerospace & Defense | 0.7 | ||||
Health Care — Products | 0.7 | ||||
Leisure Time | 0.7 | ||||
Coal | 0.5 | ||||
Cosmetics & Personal Care | 0.5 | ||||
Forest Products & Paper | 0.5 | ||||
Machinery — Diversified | 0.5 | ||||
REITS | 0.5 | ||||
Airlines | 0.4 | ||||
Holding Companies — Diversified | 0.4 | ||||
Household Products & Wares | 0.3 | ||||
Pipelines | 0.3 | ||||
Electrical Components & Equipment | 0.2 | ||||
Health Care — Services | 0.2 | ||||
Home Builders | 0.2 | ||||
Advertising | 0.1 | ||||
Distribution & Wholesale | 0.1 | ||||
Electric | 0.1 | ||||
Environmental Control | 0.1 | ||||
Investment Companies | 0.1 | ||||
Machinery — Construction & Mining | 0.1 | ||||
Media | 0.1 | ||||
Metal Fabricate & Hardware | 0.1 | ||||
Oil & Gas Services | 0.1 |
See accompanying Notes to the Financial Statements.
157
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Textiles | 0.1 | ||||
Agriculture | 0.0 | * | |||
Energy-Alternate Sources | 0.0 | * | |||
Entertainment | 0.0 | * | |||
Food Service | 0.0 | * | |||
Hotel Restaurants & Leisure | 0.0 | * | |||
Housewares | 0.0 | * | |||
Miscellaneous — Manufacturing | 0.0 | * | |||
Office & Business Equipment | 0.0 | * | |||
Packaging & Containers | 0.0 | * | |||
Private Equity | 0.0 | * | |||
Shipbuilding | 0.0 | * | |||
Transportation | 0.0 | * | |||
Trucking & Leasing | 0.0 | * | |||
Water | 0.0 | * | |||
Short-Term Investments and Other Assets and Liabilities (net) | 5.1 | ||||
|
| ||||
100.0 | % | ||||
|
|
* | Amount rounds to zero. |
See accompanying Notes to the Financial Statements.
158
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.5% |
| |||||||||
Australia — 1.2% | ||||||||||
178,550 | Gold Road Resources, Ltd.* | 149,927 | ||||||||
92,816 | Newcrest Mining, Ltd. | 2,175,341 | ||||||||
191,674 | QBE Insurance Group, Ltd. | 1,623,688 | ||||||||
248,760 | Regis Resources, Ltd. | 822,103 | ||||||||
53,058 | Resolute Mining, Ltd.* | 50,815 | ||||||||
18,141 | Saracen Mineral Holdings, Ltd.* | 42,211 | ||||||||
292,051 | Sonic Healthcare, Ltd. | 5,525,113 | ||||||||
54,530 | Wesfarmers, Ltd. | 1,463,754 | ||||||||
46,816 | Woolworths Group, Ltd. | 1,177,118 | ||||||||
|
| |||||||||
Total Australia | 13,030,070 | |||||||||
|
| |||||||||
Austria — 0.4% | ||||||||||
28,745 | Erste Group Bank AG* | 950,789 | ||||||||
26,711 | EVN AG | 470,002 | ||||||||
9,298 | Flughafen Wien AG | 388,741 | ||||||||
13,674 | IMMOFINANZ AG* | 380,884 | ||||||||
15,021 | Oesterreichische Post AG | 527,304 | ||||||||
34,645 | Telekom Austria AG Class A* | 251,926 | ||||||||
60,393 | UNIQA Insurance Group AG | 545,488 | ||||||||
52,834 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 1,376,631 | ||||||||
|
| |||||||||
Total Austria | 4,891,765 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
14,710 | Ageas | 815,954 | ||||||||
28,446 | Colruyt SA | 1,559,275 | ||||||||
7,172 | D’ieteren SA/NV | 388,991 | ||||||||
11,574 | Elia System Operator SA/NV | 946,348 | ||||||||
86 | Financiere de Tubize SA‡ | 5,475 | ||||||||
|
| |||||||||
Total Belgium | 3,716,043 | |||||||||
|
| |||||||||
Bermuda — 1.9% | ||||||||||
12,300 | Assured Guaranty, Ltd. | 546,858 | ||||||||
32,320 | Axis Capital Holdings, Ltd. | 2,156,390 | ||||||||
32,646 | Bunge, Ltd. | 1,848,417 | ||||||||
149,500 | CK Infrastructure Holdings, Ltd. | 1,005,960 | ||||||||
21,000 | Clear Media, Ltd. | 10,447 | ||||||||
342,000 | Emperor International Holdings, Ltd. | 75,473 | ||||||||
25,370 | Enstar Group, Ltd.* | 4,818,270 | ||||||||
10,014 | Everest Re Group, Ltd. | 2,664,625 | ||||||||
71,129 | Genpact, Ltd. | 2,756,249 | ||||||||
70,528 | GL, Ltd. | 39,780 | ||||||||
2,000 | Guoco Group, Ltd. | 32,273 | ||||||||
173 | Hudson, Ltd. Class A* | 2,123 | ||||||||
300,000 | Regal Hotels International Holdings, Ltd. | 158,431 | ||||||||
14,973 | RenaissanceRe Holdings, Ltd. | 2,896,527 | ||||||||
34,000 | SmarTone Telecommunications Holding, Ltd. | 29,536 | ||||||||
7,500 | Soundwill Holdings, Ltd. | 9,385 |
See accompanying Notes to the Financial Statements.
159
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Bermuda — continued | ||||||||||
58,000 | Transport International Holdings, Ltd. | 145,899 | ||||||||
1,200 | White Mountains Insurance Group, Ltd. | 1,296,000 | ||||||||
3,000 | Wing On Co. International, Ltd. | 8,610 | ||||||||
32,000 | Wing Tai Properties, Ltd. | 19,634 | ||||||||
|
| |||||||||
Total Bermuda | 20,520,887 | |||||||||
|
| |||||||||
Canada — 5.8% | ||||||||||
25,412 | Atco, Ltd. Class I | 930,494 | ||||||||
37,600 | Bank of Montreal | 2,771,154 | ||||||||
36,600 | Bank of Nova Scotia (The) | 2,080,174 | ||||||||
48,301 | BCE, Inc. | 2,338,251 | ||||||||
29,089 | Canadian Imperial Bank of Commerce‡ | 2,401,600 | ||||||||
72,069 | Canadian National Railway Co. | 6,475,324 | ||||||||
25,800 | Canadian Pacific Railway, Ltd. | 5,739,468 | ||||||||
2,719 | Canadian Utilities, Ltd. Class A‡ | 80,194 | ||||||||
94,400 | Centerra Gold, Inc.* | 802,828 | ||||||||
300 | Cogeco Communications, Inc. | 24,193 | ||||||||
6,400 | Cogeco, Inc. | 461,341 | ||||||||
2,374 | Constellation Software, Inc. | 2,372,476 | ||||||||
32,843 | Emera, Inc. | 1,442,711 | ||||||||
1,100 | Empire Co., Ltd. Class A | 29,801 | ||||||||
2,801 | Fairfax Financial Holdings, Ltd. | 1,235,486 | ||||||||
54,100 | Fortis, Inc. | 2,288,626 | ||||||||
24,076 | George Weston, Ltd. | 2,026,821 | ||||||||
117,176 | Intact Financial Corp. | 11,800,791 | ||||||||
47,200 | National Bank of Canada | 2,350,018 | ||||||||
27,778 | North West Co. (The), Inc.‡ | 593,744 | ||||||||
107,867 | OceanaGold Corp. | 281,888 | ||||||||
23,800 | Osisko Gold Royalties, Ltd. | 221,283 | ||||||||
1,700 | Power Financial Corp.‡ | 39,444 | ||||||||
42,500 | Rogers Communications, Inc. Class B | 2,071,394 | ||||||||
29,100 | Royal Bank of Canada | 2,362,067 | ||||||||
13,500 | Timbercreek Financial Corp. | 98,497 | ||||||||
49,300 | Toronto-Dominion Bank (The) | 2,876,454 | ||||||||
75,794 | Waste Connections, Inc. | 6,973,048 | ||||||||
|
| |||||||||
Total Canada | 63,169,570 | |||||||||
|
| |||||||||
Denmark — 0.2% | ||||||||||
17,199 | Carlsberg AS Class B | 2,542,726 | ||||||||
1,102 | Matas AS | 8,126 | ||||||||
|
| |||||||||
Total Denmark | 2,550,852 | |||||||||
|
| |||||||||
Finland — 0.2% | ||||||||||
36,834 | Aktia Bank OYJ | 338,117 | ||||||||
35,934 | Kesko OYJ Class B | 2,270,597 | ||||||||
13,076 | Raisio OYJ Class V | 46,473 | ||||||||
|
| |||||||||
Total Finland | 2,655,187 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
160
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
France — 4.1% | ||||||||||
44,808 | Airbus SE | 5,822,881 | ||||||||
3,990 | APRIL SA | 94,393 | ||||||||
9,271 | AXA SA | 236,813 | ||||||||
1,791 | Boiron SA | 63,458 | ||||||||
830 | Caisse Regionale de Credit Agricole Mutuel Brie Picardie | 26,784 | ||||||||
7,622 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 239,480 | ||||||||
2,521 | Carmila SA REIT | 44,029 | ||||||||
37,704 | CNP Assurances | 728,790 | ||||||||
112,012 | Credit Agricole SA | 1,360,366 | ||||||||
66,778 | Edenred | 3,205,444 | ||||||||
143,699 | Engie SA | 2,346,776 | ||||||||
5,600 | IPSOS | 159,649 | ||||||||
77,112 | Lagardere SCA | 1,706,570 | ||||||||
470 | LNA Sante SA | 24,031 | ||||||||
552 | Manutan International | 40,079 | ||||||||
36,602 | Metropole Television SA | 600,548 | ||||||||
167,672 | Orange SA | 2,631,348 | ||||||||
19,444 | Peugeot SA | 485,007 | ||||||||
116,491 | Rubis SCA | 6,769,019 | ||||||||
36,593 | Safran SA | 5,762,643 | ||||||||
304 | Savencia SA | 21,344 | ||||||||
1,332 | SCOR SE | 55,022 | ||||||||
74 | Societe Fonciere Lyonnaise SA REIT | 5,437 | ||||||||
11,731 | Societe Generale SA | 321,519 | ||||||||
102,786 | Suez | 1,616,426 | ||||||||
97,444 | Veolia Environnement SA | 2,470,990 | ||||||||
1,091 | Vetoquinol SA | 69,937 | ||||||||
10 | Vilmorin & Cie SA | 510 | ||||||||
72,084 | Vinci SA | 7,765,865 | ||||||||
5,982 | Vivendi SA | 164,213 | ||||||||
|
| |||||||||
Total France | 44,839,371 | |||||||||
|
| |||||||||
Germany — 1.5% | ||||||||||
3,945 | Allianz SE | 919,734 | ||||||||
78,430 | Brenntag AG | 3,796,394 | ||||||||
15,557 | CTS Eventim AG & Co. KGaA | 876,845 | ||||||||
158,790 | Deutsche Telekom AG | 2,664,899 | ||||||||
7,753 | Hannover Rueck SE | 1,310,955 | ||||||||
3,385 | Hornbach Holding AG & Co. KGaA | 191,897 | ||||||||
3,290 | McKesson Europe AG | 93,973 | ||||||||
26,054 | Merck KGaA | 2,935,560 | ||||||||
2,787 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 721,313 | ||||||||
34,339 | RHOEN-KLINIKUM AG | 769,318 | ||||||||
45,178 | Talanx AG* | 1,952,391 | ||||||||
18,732 | Wuestenrot & Wuerttembergische AG | 367,589 | ||||||||
|
| |||||||||
Total Germany | 16,600,868 | |||||||||
|
| |||||||||
Hong Kong — 1.8% | ||||||||||
679,919 | AIA Group, Ltd. | 6,422,431 |
See accompanying Notes to the Financial Statements.
161
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
134,060 | Champion REIT | 86,701 | ||||||||
254,500 | CLP Holdings, Ltd. | 2,673,428 | ||||||||
1,834,000 | Guangdong Investment, Ltd. | 3,588,739 | ||||||||
239,000 | HK Electric Investments & HK Electric Investments, Ltd. | 227,738 | ||||||||
1,823,000 | HKT Trust & HKT, Ltd. | 2,892,839 | ||||||||
191,915 | Hong Kong & China Gas Co., Ltd. | 374,067 | ||||||||
16,000 | Hong Kong Ferry Holdings Co., Ltd. | 14,491 | ||||||||
49,000 | Kowloon Development Co., Ltd. | 58,129 | ||||||||
249,000 | Langham Hospitality Investments and Langham Hospitality Investments, Ltd. | 68,925 | ||||||||
38,000 | Liu Chong Hing Investment, Ltd. | 50,315 | ||||||||
12,000 | Miramar Hotel & Investment | 22,410 | ||||||||
706,788 | PCCW, Ltd. | 396,697 | ||||||||
360,000 | Power Assets Holdings, Ltd. | 2,417,787 | ||||||||
361,000 | Regal Real Estate Investment Trust REIT | 82,429 | ||||||||
507,000 | Sunlight Real Estate Investment Trust REIT | 338,888 | ||||||||
|
| |||||||||
Total Hong Kong | 19,716,014 | |||||||||
|
| |||||||||
Ireland — 1.8% | ||||||||||
23,337 | Accenture Plc Class A | 4,488,872 | ||||||||
48,657 | C&C Group Plc | 220,140 | ||||||||
5,340 | ICON Plc, ADR* | 786,796 | ||||||||
109,749 | Irish Residential Properties Plc REIT | 205,556 | ||||||||
18,500 | Jazz Pharmaceuticals Plc* | 2,370,590 | ||||||||
44,306 | Medtronic Plc | 4,812,518 | ||||||||
31,631 | STERIS Plc | 4,570,363 | ||||||||
23,991 | Total Produce Plc | 36,617 | ||||||||
13,800 | Willis Towers Watson Plc | 2,662,986 | ||||||||
|
| |||||||||
Total Ireland | 20,154,438 | |||||||||
|
| |||||||||
Israel — 0.6% | ||||||||||
228,765 | Bank Hapoalim BM* | 1,803,372 | ||||||||
25,476 | Bank LeumiLe-Israel BM | 181,333 | ||||||||
3,121 | FIBI Holdings, Ltd. | 100,298 | ||||||||
14,841 | First International Bank Of Israel, Ltd.* | 395,256 | ||||||||
331,092 | Israel Discount Bank, Ltd. Class A | 1,456,470 | ||||||||
352,408 | Isramco Negev 2, LP* | 61,847 | ||||||||
3,054 | Mizrahi Tefahot Bank, Ltd. | 75,915 | ||||||||
1,508 | Paz Oil Co., Ltd. | 220,399 | ||||||||
5,169 | Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 292,669 | ||||||||
56,884 | Strauss Group, Ltd. | 1,782,228 | ||||||||
1,613 | Taro Pharmaceutical Industries, Ltd. | 121,701 | ||||||||
|
| |||||||||
Total Israel | 6,491,488 | |||||||||
|
| |||||||||
Italy — 0.2% | ||||||||||
159,356 | A2A SpA | 292,561 | ||||||||
41,143 | Ascopiave SpA | 173,810 | ||||||||
19,709 | Assicurazioni Generali SpA | 382,035 | ||||||||
6,018 | Enel SpA | 44,948 |
See accompanying Notes to the Financial Statements.
162
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
124,543 | Terna Rete Elettrica Nazionale SpA | 800,268 | ||||||||
|
| |||||||||
Total Italy | 1,693,622 | |||||||||
|
| |||||||||
Japan — 4.7% | ||||||||||
7,100 | Aeon Hokkaido Corp. | 49,337 | ||||||||
22,200 | Alpen Co., Ltd.‡ | 349,613 | ||||||||
13,600 | Aozora Bank, Ltd.‡ | 340,016 | ||||||||
91,300 | Astellas Pharma, Inc. | 1,299,700 | ||||||||
1,900 | AT-Group Co., Ltd. | 30,854 | ||||||||
17,800 | Chugoku Electric Power Co., Inc. (The)‡ | 228,769 | ||||||||
146,242 | DCM Holdings Co., Ltd.‡ | 1,434,342 | ||||||||
15,400 | DyDo Group Holdings, Inc. | 627,685 | ||||||||
489 | Earth Corp. | 25,066 | ||||||||
56,231 | EDION Corp. | 542,669 | ||||||||
1,900 | Fujicco Co., Ltd. | 34,264 | ||||||||
41 | Fukuoka REIT Corp. REIT | 69,690 | ||||||||
5,900 | Hiroshima Bank, Ltd. (The) | 29,152 | ||||||||
37,400 | Hokkaido Electric Power Co., Inc.‡ | 196,906 | ||||||||
145 | Industrial & Infrastructure Fund Investment Corp. REIT | 208,226 | ||||||||
4,900 | J-Oil Mills, Inc. | 185,889 | ||||||||
113 | Japan Logistics Fund, Inc. REIT | 279,585 | ||||||||
143,300 | Japan Post Bank Co., Ltd.‡ | 1,388,250 | ||||||||
221,100 | Japan Post Holdings Co., Ltd. | 2,035,573 | ||||||||
84 | Japan Rental Housing Investments, Inc. REIT | 77,335 | ||||||||
9,300 | Japan Tobacco, Inc. | 203,598 | ||||||||
1,200 | Kadoya Sesame Mills, Inc. | 39,806 | ||||||||
13,455 | Kaken Pharmaceutical Co., Ltd. | 623,729 | ||||||||
17,700 | Kato Sangyo Co., Ltd. | 548,647 | ||||||||
80,900 | KDDI Corp. | 2,114,666 | ||||||||
600 | KFC Holdings Japan, Ltd. | 13,091 | ||||||||
10,800 | Kohnan Shoji Co., Ltd. | 238,434 | ||||||||
56,200 | Komeri Co., Ltd. | 1,134,660 | ||||||||
82,500 | KYORIN Holdings, Inc. | 1,365,649 | ||||||||
9,000 | Kyushu Electric Power Co., Inc. | 84,941 | ||||||||
58,400 | LIXIL VIVA Corp. | 877,554 | ||||||||
170,400 | Marui Group Co., Ltd.‡ | 3,597,990 | ||||||||
51,100 | Matsumotokiyoshi Holdings Co., Ltd. | 1,870,002 | ||||||||
71,100 | Medipal Holdings Corp. | 1,582,851 | ||||||||
600 | MEIJI Holdings Co., Ltd. | 43,747 | ||||||||
13,600 | Mitsubishi Shokuhin Co., Ltd. | 340,393 | ||||||||
45,800 | Mitsubishi Tanabe Pharma Corp. | 502,179 | ||||||||
1,563,900 | Mizuho Financial Group, Inc. | 2,396,316 | ||||||||
7,400 | Mizuno Corp. | 191,719 | ||||||||
30,000 | Mochida Pharmaceutical Co., Ltd. | 1,146,426 | ||||||||
27,400 | MS&AD Insurance Group Holdings, Inc. | 887,347 | ||||||||
54,100 | Nichi-iko Pharmaceutical Co., Ltd. | 601,695 | ||||||||
26,000 | Nippon Flour Mills Co., Ltd.‡ | 406,329 | ||||||||
6,201 | Nippon Kanzai Co., Ltd. | 107,123 | ||||||||
44,700 | Nippon Telegraph & Telephone Corp. | 2,132,530 |
See accompanying Notes to the Financial Statements.
163
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
30,100 | Nisshin Oillio Group, Ltd. (The) | 944,150 | ||||||||
115,800 | NTT DOCOMO, Inc. | 2,949,779 | ||||||||
12,500 | Ohsho Food Service Corp. | 808,466 | ||||||||
10,500 | Okinawa Cellular Telephone Co. | 344,414 | ||||||||
23,250 | Okinawa Electric Power Co., Inc. (The) | 365,718 | ||||||||
6,000 | Sawai Pharmaceutical Co., Ltd. | 309,785 | ||||||||
2,774 | Shiga Bank, Ltd. (The)‡ | 63,013 | ||||||||
22,459 | Showa Sangyo Co., Ltd.‡ | 636,936 | ||||||||
104,600 | Softbank Corp.‡ | 1,416,927 | ||||||||
252,600 | Sony Financial Holdings, Inc. | 5,473,876 | ||||||||
4,600 | St. Marc Holdings Co., Ltd. | 101,257 | ||||||||
222 | Star Asia Investment Corp. REIT‡ | 239,511 | ||||||||
3,200 | Sugi Holdings Co., Ltd. | 173,213 | ||||||||
25,500 | Sumitomo Mitsui Financial Group, Inc.‡ | 871,825 | ||||||||
11,100 | Sumitomo Mitsui Trust Holdings, Inc. | 400,144 | ||||||||
11,700 | Suzuken Co., Ltd. | 627,897 | ||||||||
61,600 | Toho Holdings Co., Ltd. | 1,425,506 | ||||||||
145,600 | Tokyo Electric Power Co. Holdings, Inc.* | 712,675 | ||||||||
15,600 | Tsumura & Co. | 417,155 | ||||||||
43,000 | Vital KSK Holdings, Inc.‡ | 416,572 | ||||||||
10,658 | Yamada Denki Co., Ltd. | 51,577 | ||||||||
5,800 | Yellow Hat, Ltd. | 85,437 | ||||||||
7,600 | Yokohama Reito Co., Ltd.‡ | 72,783 | ||||||||
5,900 | ZERIA Pharmaceutical Co., Ltd.‡ | 103,615 | ||||||||
|
| |||||||||
Total Japan | 51,496,574 | |||||||||
|
| |||||||||
Liberia — 0.1% | ||||||||||
10,898 | Royal Caribbean Cruises, Ltd. | 1,180,580 | ||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
51,589 | Atento SA* | 143,417 | ||||||||
577,290 | B&M European Value Retail SA | 2,699,030 | ||||||||
|
| |||||||||
Total Luxembourg | 2,842,447 | |||||||||
|
| |||||||||
Netherlands — 1.1% | ||||||||||
3,620 | Accell Group | 87,613 | ||||||||
1,216 | Amsterdam Commodities NV | 26,328 | ||||||||
2,441 | ForFarmers NV | 15,408 | ||||||||
7,523 | Heineken Holding NV | 749,214 | ||||||||
22,927 | Koninklijke Ahold Delhaize NV | 573,760 | ||||||||
70,239 | Koninklijke KPN NV | 219,080 | ||||||||
2,279 | NN Group NV | 80,848 | ||||||||
38,900 | QIAGEN NV* | 1,282,533 | ||||||||
8,301 | Sligro Food Group NV | 234,841 | ||||||||
145,251 | Unilever NV | 8,733,147 | ||||||||
3,839 | Van Lanschot Kempen NV CVA | 84,333 | ||||||||
|
| |||||||||
Total Netherlands | 12,087,105 | |||||||||
|
|
See accompanying Notes to the Financial Statements.
164
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
New Zealand — 0.5% | ||||||||||
253,622 | Argosy Property, Ltd. | 232,984 | ||||||||
225,864 | Contact Energy, Ltd. | 1,209,503 | ||||||||
26,891 | Ebos Group, Ltd. | 421,550 | ||||||||
32,720 | FonterraCo-operative Group, Ltd.* ‡ | 71,810 | ||||||||
115,729 | Genesis Energy, Ltd. | 248,182 | ||||||||
69,101 | Goodman Property Trust REIT | 95,976 | ||||||||
458,079 | Infratil, Ltd. | 1,413,213 | ||||||||
49,518 | Kiwi Property Group, Ltd. REIT | 51,854 | ||||||||
35,536 | Mainfreight, Ltd. | 889,086 | ||||||||
142,620 | Mercury NZ, Ltd. | 448,044 | ||||||||
34,447 | Metlifecare, Ltd. | 96,336 | ||||||||
6,801 | Trustpower, Ltd. | 35,268 | ||||||||
47,722 | Vector, Ltd. | 107,727 | ||||||||
3,702 | Warehouse Group, Ltd. (The) | 5,803 | ||||||||
63,531 | Z Energy, Ltd. | 223,088 | ||||||||
|
| |||||||||
Total New Zealand | 5,550,424 | |||||||||
|
| |||||||||
Norway — 0.6% | ||||||||||
55,028 | DNB ASA | 970,535 | ||||||||
4,194 | Olav Thon Eiendomsselskap ASA | 66,654 | ||||||||
242,987 | Orkla ASA | 2,213,264 | ||||||||
11,184 | SpareBank 1SR-Bank ASA | 122,045 | ||||||||
135,738 | Telenor ASA | 2,727,175 | ||||||||
|
| |||||||||
Total Norway | 6,099,673 | |||||||||
|
| |||||||||
Panama — 0.1% | ||||||||||
16,909 | Carnival Corp. | 739,092 | ||||||||
5,400 | Copa Holdings SA Class A | 533,250 | ||||||||
|
| |||||||||
Total Panama | 1,272,342 | |||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
99,893 | REN — Redes Energeticas Nacionais SGPS SA | 278,792 | ||||||||
|
| |||||||||
Puerto Rico — 0.2% | ||||||||||
42,100 | Popular, Inc. | 2,276,768 | ||||||||
|
| |||||||||
Singapore — 0.6% | ||||||||||
95,300 | AIMS APAC REIT | 99,235 | ||||||||
24,921 | Best World International, Ltd.**** | 24,508 | ||||||||
27,600 | Fraser and Neave, Ltd. | 34,727 | ||||||||
202,200 | Frasers Hospitality Trust REIT | 104,543 | ||||||||
3,300 | Great Eastern Holdings, Ltd. | 54,193 | ||||||||
57,384 | Hong Leong Finance, Ltd. | 107,473 | ||||||||
768,810 | Keppel Infrastructure Trust | 294,649 | ||||||||
3,445,749 | NetLink NBN Trust | 2,217,598 | ||||||||
263,100 | Olam International, Ltd. | 342,454 | ||||||||
205,500 | OUE, Ltd. | 216,957 | ||||||||
53,900 | Oversea-Chinese Banking Corp., Ltd. | 423,280 |
See accompanying Notes to the Financial Statements.
165
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Singapore — continued | ||||||||||
1,686,183 | Sheng Siong Group, Ltd. | 1,353,434 | ||||||||
475,819 | SPH REIT | 375,040 | ||||||||
12,200 | Straits Trading Co., Ltd. | 18,262 | ||||||||
33,000 | United Industrial Corp., Ltd. | 67,293 | ||||||||
52,000 | United Overseas Bank, Ltd. | 964,871 | ||||||||
49,400 | Wilmar International, Ltd. | 133,243 | ||||||||
|
| |||||||||
Total Singapore | 6,831,760 | |||||||||
|
| |||||||||
Spain — 0.9% | ||||||||||
30,146 | Aena SME SA | 5,521,348 | ||||||||
1,020 | Cia de Distribucion Integral Logista Holdings SA | 19,883 | ||||||||
11,071 | Endesa SA | 291,360 | ||||||||
21,765 | Faes Farma SA | 111,166 | ||||||||
81,257 | Iberdrola SA | 844,760 | ||||||||
61,086 | Viscofan SA | 2,863,626 | ||||||||
|
| |||||||||
Total Spain | 9,652,143 | |||||||||
|
| |||||||||
Sweden — 1.4% | ||||||||||
7,441 | AAK AB | 144,436 | ||||||||
91,216 | Axfood AB | 1,939,888 | ||||||||
15,343 | Bilia AB Class A | 121,953 | ||||||||
58,525 | Cloetta AB Class B | 168,215 | ||||||||
20,648 | Dios Fastigheter AB | 180,394 | ||||||||
63,665 | ICA Gruppen AB | 2,944,915 | ||||||||
42,161 | Nyfosa AB* | 287,301 | ||||||||
570,400 | Svenska Handelsbanken AB Class A | 5,347,708 | ||||||||
60,312 | Swedish Match AB | 2,497,217 | ||||||||
376,596 | Telia Co. AB | 1,687,991 | ||||||||
|
| |||||||||
Total Sweden | 15,320,018 | |||||||||
|
| |||||||||
Switzerland — 3.5% | ||||||||||
11,581 | Allreal Holding AG* | 2,227,584 | ||||||||
2,058 | Baloise Holding AG | 369,022 | ||||||||
1,348 | Banque Cantonale de Geneve | 266,991 | ||||||||
228 | Banque Cantonale Vaudoise | 174,690 | ||||||||
120 | Barry Callebaut AG | 247,666 | ||||||||
136 | Basellandschaftliche Kantonalbank | 124,387 | ||||||||
579 | Basler Kantonalbank | 41,459 | ||||||||
980 | Berner Kantonalbank AG | 210,811 | ||||||||
17,306 | BKW AG | 1,286,040 | ||||||||
438 | Emmi AG | 357,551 | ||||||||
282 | Fenix Outdoor International AG | 26,358 | ||||||||
9 | Graubuendner Kantonalbank | 13,448 | ||||||||
5,645 | Helvetia Holding AG | 779,538 | ||||||||
588 | Intershop Holding AG | 317,838 | ||||||||
180 | Luzerner Kantonalbank AG | 75,184 | ||||||||
1,308 | Mobimo Holding AG* | 369,910 | ||||||||
75,814 | Nestle SA | 8,232,603 |
See accompanying Notes to the Financial Statements.
166
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
122,044 | Novartis AG | 10,591,875 | ||||||||
244 | Orior AG* | 20,873 | ||||||||
12,490 | Roche Holding AG | 3,638,089 | ||||||||
789 | St. Galler Kantonalbank AG | 346,570 | ||||||||
5,691 | Swiss Life Holding AG | 2,722,936 | ||||||||
8,552 | Swiss Prime Site AG* | 837,490 | ||||||||
5,472 | Swisscom AG | 2,701,565 | ||||||||
3,202 | Tamedia AG | 315,977 | ||||||||
603 | Thurgauer Kantonalbank | 65,915 | ||||||||
2,797 | Valiant Holding AG | 278,255 | ||||||||
4,621 | Valora Holding AG* | 1,253,553 | ||||||||
79 | Vaudoise Assurances Holding SA | 43,257 | ||||||||
|
| |||||||||
Total Switzerland | 37,937,435 | |||||||||
|
| |||||||||
United Kingdom — 4.9% | ||||||||||
2,356 | 4imprint Group Plc | 87,099 | ||||||||
84,057 | AG Barr Plc | 599,748 | ||||||||
13,603 | Aon Plc | 2,633,133 | ||||||||
15,987 | Atlantica Yield Plc | 385,127 | ||||||||
1,401,700 | BAE Systems Plc | 9,845,691 | ||||||||
221,774 | Britvic Plc | 2,687,827 | ||||||||
669,862 | BT Group Plc | 1,474,125 | ||||||||
312,345 | Central Asia Metals Plc | 800,597 | ||||||||
1,491 | Craneware Plc | 46,577 | ||||||||
9,060 | Cranswick Plc | 329,133 | ||||||||
61,686 | Diageo Plc | 2,533,601 | ||||||||
23,388 | EMIS Group Plc | 292,821 | ||||||||
25,069 | Empiric Student Property Plc REIT | 28,823 | ||||||||
51,261 | Ferguson Plc | 3,754,760 | ||||||||
164,038 | GCP Student Living Plc REIT | 345,666 | ||||||||
10,016 | Greggs Plc | 257,963 | ||||||||
271,383 | Halfords Group Plc | 569,192 | ||||||||
287,835 | Hansteen Holdings Plc REIT | 327,742 | ||||||||
182,726 | HSBC Holdings Plc | 1,406,432 | ||||||||
10,996 | Imperial Brands Plc | 247,728 | ||||||||
113,700 | Inchcape Plc | 884,810 | ||||||||
682,032 | Legal & General Group Plc | 2,087,722 | ||||||||
516,934 | Marston’s Plc | 786,717 | ||||||||
333,978 | National Express Group Plc | 1,782,059 | ||||||||
100,299 | National Grid Plc | 1,090,014 | ||||||||
68,605 | Paragon Banking Group Plc | 407,830 | ||||||||
19,059 | PZ Cussons Plc | 47,560 | ||||||||
11,691 | QinetiQ Group Plc | 41,607 | ||||||||
80,548 | Reckitt Benckiser Group Plc | 6,297,008 | ||||||||
445,811 | Rolls-Royce Holdings Plc* | 4,353,229 | ||||||||
25,890 | Secure Income Plc REIT | 144,207 | ||||||||
19,013 | Smith & Nephew Plc | 458,988 | ||||||||
16,896 | SSP Group Plc | 129,090 | ||||||||
823 | Target Healthcare REIT Plc REIT* | 1,162 |
See accompanying Notes to the Financial Statements.
167
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
224,963 | Tate & Lyle Plc | 2,040,352 | ||||||||
49,720 | Telecom Plus Plc | 753,620 | ||||||||
278,234 | Tritax Big Box Plc REIT | 512,930 | ||||||||
23,567 | Unilever Plc | 1,420,134 | ||||||||
195,169 | Vodafone Group Plc | 389,621 | ||||||||
814,768 | Wm Morrison Supermarkets Plc | 2,011,089 | ||||||||
|
| |||||||||
Total United Kingdom | 54,293,534 | |||||||||
|
| |||||||||
United States — 53.6% | ||||||||||
28,100 | Abbott Laboratories | 2,351,127 | ||||||||
14,975 | Adobe, Inc.* | 4,136,844 | ||||||||
53,283 | AGNC Investment Corp. REIT | 857,323 | ||||||||
27,600 | Akamai Technologies, Inc.* | 2,522,088 | ||||||||
3,085 | Alleghany Corp.* | 2,461,090 | ||||||||
28,705 | Allstate Corp. (The) | 3,119,659 | ||||||||
15,344 | Alphabet, Inc. Class A* | 18,737,172 | ||||||||
1,400 | Amazon.com, Inc.* | 2,430,274 | ||||||||
45,071 | Amdocs, Ltd. | 2,979,644 | ||||||||
33,678 | Ameren Corp. | 2,695,924 | ||||||||
29,913 | American Electric Power Co., Inc. | 2,802,549 | ||||||||
23,257 | American Express Co. | 2,750,838 | ||||||||
20,802 | American Financial Group, Inc. | 2,243,496 | ||||||||
4,000 | American National Insurance Co. | 494,920 | ||||||||
51,838 | American Tower Corp. REIT | 11,462,937 | ||||||||
9,700 | AmerisourceBergen Corp. Class A | 798,601 | ||||||||
46,670 | AMETEK, Inc. | 4,285,239 | ||||||||
8,746 | ANSYS, Inc.* | 1,936,015 | ||||||||
6,000 | Anthem, Inc. | 1,440,600 | ||||||||
192 | Apple Hospitality, Inc. REIT | 3,183 | ||||||||
62,156 | Arthur J. Gallagher & Co. | 5,567,313 | ||||||||
3,000 | Assurant, Inc. | 377,460 | ||||||||
169,888 | AT&T, Inc. | 6,428,562 | ||||||||
8,131 | Atmos Energy Corp. | 926,040 | ||||||||
23,000 | Automatic Data Processing, Inc. | 3,712,660 | ||||||||
1,600 | AutoZone, Inc.* | 1,735,392 | ||||||||
12,000 | AvalonBay Communities, Inc. REIT | 2,583,960 | ||||||||
103,938 | Avangrid, Inc. | 5,430,760 | ||||||||
75,749 | Ball Corp. | 5,515,285 | ||||||||
100,539 | Baxter International, Inc. | 8,794,146 | ||||||||
2,280 | Becton Dickinson and Co. | 576,749 | ||||||||
3,972 | Berkshire Hathaway, Inc. Class B* | 826,255 | ||||||||
1,900 | Black Knight, Inc.* | 116,014 | ||||||||
1,525 | Booking Holdings, Inc.* | 2,992,980 | ||||||||
16,300 | Boston Properties, Inc. REIT | 2,113,458 | ||||||||
8,912 | Bright Horizons Family Solutions, Inc.* | 1,359,080 | ||||||||
31,255 | Bristol-Myers Squibb Co. | 1,584,941 | ||||||||
15,880 | Broadridge Financial Solutions, Inc. | 1,975,948 | ||||||||
5,548 | Brown & Brown, Inc. | 200,061 | ||||||||
106,397 | BWX Technologies, Inc.‡ | 6,086,972 |
See accompanying Notes to the Financial Statements.
168
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
1,600 | Cable One, Inc. | 2,007,520 | ||||||||
27,935 | Cadence Design Systems, Inc.* | 1,845,945 | ||||||||
21,400 | Camden Property Trust REIT | 2,375,614 | ||||||||
7,200 | Capital One Financial Corp. | 655,056 | ||||||||
8,300 | Casey’s General Stores, Inc. | 1,337,628 | ||||||||
9,500 | CBOE Holdings, Inc. | 1,091,645 | ||||||||
2,398 | CenterPoint Energy, Inc. | 72,372 | ||||||||
4,200 | Cerner Corp. | 286,314 | ||||||||
34,400 | Charter Communications, Inc. Class A* | 14,176,928 | ||||||||
5,400 | Chemed Corp. | 2,254,878 | ||||||||
29,100 | Chevron Corp. | 3,451,260 | ||||||||
100 | Chipotle Mexican Grill, Inc. Class A* | 84,047 | ||||||||
500 | Church & Dwight Co., Inc. | 37,620 | ||||||||
25,600 | Cigna Corp.* | 3,885,824 | ||||||||
10,000 | Cinemark Holdings, Inc. | 386,400 | ||||||||
16,291 | Cintas Corp. | 4,367,617 | ||||||||
16,600 | Citrix Systems, Inc. | 1,602,232 | ||||||||
72,810 | Clean Harbors, Inc.* | 5,620,932 | ||||||||
16,500 | Clorox Co. (The) | 2,505,855 | ||||||||
300 | CME Group, Inc. | 63,402 | ||||||||
27,983 | CMS Energy Corp. | 1,789,513 | ||||||||
11,600 | CNA Financial Corp. | 571,300 | ||||||||
41,900 | Coca-Cola Co. (The) | 2,281,036 | ||||||||
8,592 | Cognizant Technology Solutions Corp. Class A | 517,797 | ||||||||
42,300 | Colgate-Palmolive Co. | 3,109,473 | ||||||||
188,300 | Comcast Corp. Class A | 8,488,564 | ||||||||
5,100 | ConocoPhillips | 290,598 | ||||||||
18,049 | Consolidated Edison, Inc. | 1,705,089 | ||||||||
15,649 | Cooper Cos., Inc. (The) | 4,647,753 | ||||||||
63,054 | Copart, Inc.* | 5,065,128 | ||||||||
700 | Costco Wholesale Corp. | 201,677 | ||||||||
67,100 | CVS Health Corp. | 4,231,997 | ||||||||
39,828 | Danaher Corp. | 5,752,358 | ||||||||
23,915 | Darden Restaurants, Inc. | 2,827,231 | ||||||||
13,100 | Delta Air Lines, Inc. | 754,560 | ||||||||
101,375 | DENTSPLY SIRONA, Inc. | 5,404,301 | ||||||||
437 | Domino’s Pizza, Inc. | 106,886 | ||||||||
14,800 | Douglas Emmett, Inc. REIT | 633,884 | ||||||||
20,177 | DTE Energy Co. | 2,682,734 | ||||||||
28,100 | Dunkin’ Brands Group, Inc. | 2,230,016 | ||||||||
39,300 | eBay, Inc. | 1,531,914 | ||||||||
13,300 | EchoStar Corp. Class A* | 526,946 | ||||||||
1,400 | Ecolab, Inc. | 277,256 | ||||||||
48,911 | Edison International | 3,688,868 | ||||||||
31,767 | Eli Lilly & Co. | 3,552,504 | ||||||||
36,100 | Encompass Health Corp. | 2,284,408 | ||||||||
19,800 | EPR Properties REIT | 1,521,828 | ||||||||
35,100 | Equity Commonwealth REIT | 1,202,175 | ||||||||
17,766 | Equity LifeStyle Properties, Inc. REIT | 2,373,538 |
See accompanying Notes to the Financial Statements.
169
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
21,600 | Equity Residential REIT | 1,863,216 | ||||||||
8,567 | Essex Property Trust, Inc. REIT | 2,798,411 | ||||||||
7,200 | Estee Lauder Cos., Inc. (The) Class A | 1,432,440 | ||||||||
40,000 | Evergy, Inc. | 2,662,400 | ||||||||
64,162 | Exelon Corp. | 3,099,666 | ||||||||
13,300 | Expedia Group, Inc. | 1,787,653 | ||||||||
33,300 | Exxon Mobil Corp. | 2,351,313 | ||||||||
71,562 | Facebook, Inc. Class A* | 12,743,761 | ||||||||
2,200 | Fair Isaac Corp.* | 667,744 | ||||||||
56,857 | Fidelity National Information Services, Inc. | 7,548,335 | ||||||||
36,483 | First American Financial Corp. | 2,152,862 | ||||||||
2,800 | First Citizens BancShares, Inc. Class A | 1,320,340 | ||||||||
37,818 | FirstEnergy Corp. | 1,823,962 | ||||||||
60,800 | Flowers Foods, Inc. | 1,406,304 | ||||||||
71,634 | Fortive Corp. | 4,911,227 | ||||||||
12,100 | General Dynamics Corp. | 2,211,033 | ||||||||
27,900 | General Mills, Inc. | 1,537,848 | ||||||||
67,880 | Globe Life, Inc. | 6,500,189 | ||||||||
1,700 | Graham Holdings Co. Class B | 1,127,865 | ||||||||
59,300 | H&R Block, Inc.‡ | 1,400,666 | ||||||||
14,346 | Hanover Insurance Group, Inc. (The) | 1,944,457 | ||||||||
2,900 | Hartford Financial Services Group, Inc. (The) | 175,769 | ||||||||
33,300 | Hawaiian Electric Industries, Inc. | 1,518,813 | ||||||||
59,609 | HCA Healthcare, Inc. | 7,178,116 | ||||||||
1,200 | Healthcare Trust of America, Inc. REIT Class A | 35,256 | ||||||||
21,426 | Hershey Co. (The) | 3,320,816 | ||||||||
10,816 | Highwoods Properties, Inc. REIT | 486,071 | ||||||||
21,286 | Hill-Rom Holdings, Inc. | 2,239,926 | ||||||||
102,675 | Hologic, Inc.* | 5,184,061 | ||||||||
10,764 | Home Depot, Inc. (The) | 2,497,463 | ||||||||
18,843 | Honeywell International, Inc. | 3,188,236 | ||||||||
34,800 | Hormel Foods Corp.‡ | 1,521,804 | ||||||||
7,926 | Huntington Ingalls Industries, Inc. | 1,678,648 | ||||||||
11,700 | IDACORP, Inc. | 1,318,239 | ||||||||
16,503 | Ingredion, Inc. | 1,348,955 | ||||||||
20,300 | Intel Corp. | 1,046,059 | ||||||||
81,200 | Intercontinental Exchange, Inc. | 7,492,324 | ||||||||
27,984 | International Business Machines Corp. | 4,069,433 | ||||||||
13,738 | Intuit, Inc. | 3,653,484 | ||||||||
20,479 | JM Smucker Co. (The) | 2,253,100 | ||||||||
45,390 | Johnson & Johnson | 5,872,558 | ||||||||
15,538 | Kellogg Co. | 999,870 | ||||||||
8,400 | L3Harris Technologies, Inc. | 1,752,576 | ||||||||
12,200 | Leidos Holdings, Inc. | 1,047,736 | ||||||||
12,300 | Life Storage, Inc. REIT | 1,296,543 | ||||||||
9,675 | Lockheed Martin Corp. | 3,773,830 | ||||||||
9,400 | LogMeIn, Inc. | 667,024 | ||||||||
35,500 | Macquarie Infrastructure Corp. | 1,401,185 | ||||||||
8,559 | Mastercard, Inc. Class A | 2,324,368 |
See accompanying Notes to the Financial Statements.
170
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
3,459 | McCormick & Co., Inc. | 540,642 | ||||||||
22,496 | McDonald’s Corp. | 4,830,116 | ||||||||
15,900 | McKesson Corp. | 2,172,894 | ||||||||
65,034 | Merck & Co., Inc. | 5,474,562 | ||||||||
14,140 | Mercury General Corp. | 790,143 | ||||||||
186,900 | MFA Financial, Inc. REIT | 1,375,584 | ||||||||
90,079 | Microsoft Corp. | 12,523,683 | ||||||||
20,925 | Mid-America Apartment Communities, Inc. REIT | 2,720,459 | ||||||||
41,700 | Mondelez International, Inc. Class A | 2,306,844 | ||||||||
5,792 | Morningstar, Inc. | 846,443 | ||||||||
60,776 | Motorola Solutions, Inc. | 10,356,838 | ||||||||
2,100 | NewMarket Corp. | 991,389 | ||||||||
74,651 | Newmont Goldcorp Corp. | 2,830,766 | ||||||||
13,670 | NextEra Energy, Inc. | 3,184,973 | ||||||||
8,390 | Northrop Grumman Corp. | 3,144,488 | ||||||||
1,000 | NRG Energy, Inc. | 39,600 | ||||||||
100 | NVR, Inc.* | 371,735 | ||||||||
13,200 | Old Republic International Corp. | 311,124 | ||||||||
30,707 | Omnicom Group, Inc. | 2,404,358 | ||||||||
74,714 | Oracle Corp. | 4,111,511 | ||||||||
41,033 | Packaging Corp. of America | 4,353,601 | ||||||||
16,700 | Paychex, Inc. | 1,382,259 | ||||||||
68,200 | People’s United Financial, Inc. | 1,066,307 | ||||||||
38,748 | PepsiCo, Inc. | 5,312,351 | ||||||||
72,534 | Pfizer, Inc. | 2,606,147 | ||||||||
75,500 | Philip Morris International, Inc. | 5,732,715 | ||||||||
15,900 | Phillips 66 | 1,628,160 | ||||||||
25,300 | Pinnacle West Capital Corp. | 2,455,871 | ||||||||
13,100 | Post Holdings, Inc.* | 1,386,504 | ||||||||
17,109 | Premier, Inc. Class A* | 494,792 | ||||||||
47,380 | Procter & Gamble Co. (The) | 5,893,124 | ||||||||
39,983 | Progressive Corp. (The) | 3,088,687 | ||||||||
21,630 | Prologis, Inc. REIT | 1,843,309 | ||||||||
10,900 | Public Storage REIT | 2,673,443 | ||||||||
11,181 | Raytheon Co. | 2,193,600 | ||||||||
12,820 | Reinsurance Group of America, Inc. Class A | 2,049,662 | ||||||||
35,904 | Republic Services, Inc. Class A | 3,107,491 | ||||||||
19,900 | Royal Gold, Inc. | 2,451,879 | ||||||||
21,100 | S&P Global, Inc. | 5,169,078 | ||||||||
53,800 | Sabre Corp. | 1,204,851 | ||||||||
31 | Seaboard Corp. | 135,625 | ||||||||
72,763 | Service Corp. International | 3,478,799 | ||||||||
50,363 | Service Properties Trust REIT | 1,298,862 | ||||||||
900 | Simon Property Group, Inc. REIT | 140,085 | ||||||||
50,500 | Southern Co. (The) | 3,119,385 | ||||||||
6,485 | Spirit AeroSystems Holdings, Inc. Class A | 533,326 | ||||||||
46,349 | Starbucks Corp. | 4,098,179 | ||||||||
18,700 | STORE Capital Corp. REIT | 699,567 | ||||||||
17,053 | Stryker Corp. | 3,688,564 |
See accompanying Notes to the Financial Statements.
171
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
16,496 | Sun Communities, Inc. REIT | 2,448,831 | ||||||||
21,372 | Synopsys, Inc.* | 2,933,307 | ||||||||
38,647 | Sysco Corp. | 3,068,572 | ||||||||
11,800 | Target Corp. | 1,261,538 | ||||||||
110,720 | TD Ameritrade Holding Corp. | 5,170,624 | ||||||||
100 | Teledyne Technologies, Inc.* | 32,199 | ||||||||
27,000 | TFS Financial Corp.‡ | 486,540 | ||||||||
28,100 | Thermo Fisher Scientific, Inc. | 8,184,687 | ||||||||
19,463 | Travelers Cos., Inc. (The) | 2,893,953 | ||||||||
57,500 | Two Harbors Investment Corp. REIT | 754,975 | ||||||||
32,579 | Tyson Foods, Inc. Class A | 2,806,355 | ||||||||
36,664 | UDR, Inc. REIT | 1,777,471 | ||||||||
34,687 | UGI Corp. | 1,743,715 | ||||||||
8,000 | United Airlines Holdings, Inc.* | 707,280 | ||||||||
34,902 | UnitedHealth Group, Inc. | 7,584,903 | ||||||||
27,213 | Universal Health Services, Inc. Class B | 4,047,934 | ||||||||
31,000 | US Foods Holding Corp.* | 1,274,100 | ||||||||
11,700 | Ventas, Inc. REIT | 854,451 | ||||||||
4,100 | VeriSign, Inc.* | 773,383 | ||||||||
96,612 | Verizon Communications, Inc. | 5,831,500 | ||||||||
42,236 | Walmart, Inc. | 5,012,568 | ||||||||
30,985 | Waste Management, Inc. | 3,563,275 | ||||||||
2,800 | WEC Energy Group, Inc. | 266,280 | ||||||||
43,700 | Wendy’s Co. (The) | 873,126 | ||||||||
6,700 | Williams-Sonoma, Inc.‡ | 455,466 | ||||||||
3,000 | Woodward, Inc. | 323,490 | ||||||||
19,059 | Xcel Energy, Inc. | 1,236,738 | ||||||||
61,965 | Yum China Holdings, Inc. | 2,815,070 | ||||||||
27,071 | Yum! Brands, Inc. | 3,070,664 | ||||||||
9,167 | Zimmer Biomet Holdings, Inc. | 1,258,354 | ||||||||
3,300 | Zoetis, Inc. | 411,147 | ||||||||
|
| |||||||||
Total United States | 588,944,806 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $888,440,180) | 1,016,094,576 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.0% |
| |||||||||
Sweden — 0.0% | ||||||||||
5,058 | Akelius Residential Property AB, 5.76% | 178,766 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $178,087) | 178,766 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 0.6% |
| |||||||||
Mutual Fund - Securities Lending Collateral — 0.4% | ||||||||||
3,904,449 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88%## ** | 3,904,449 | ||||||||
|
|
See accompanying Notes to the Financial Statements.
172
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Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2019 (Unaudited)
Par Value ($) | Description | Value ($) | ||||||||
U.S. Government and Agency Obligations — 0.2% | ||||||||||
2,200,000 | United States Treasury Bill, 1.81%, due 03/05/20*** ‡‡ | 2,183,054 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $6,087,003) | 6,087,503 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 93.1% (Cost $894,705,270) | 1,022,360,845 | |||||||||
Other Assets and Liabilities (net) — 6.9% | 75,794,840 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $1,098,155,685 | |||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt |
| |||||||||
CVA — Certificaten Van Aandelen |
| |||||||||
REIT — Real Estate Investment Trust |
| |||||||||
## | The rate disclosed is the 7 day net yield as of September 30, 2019. |
| ||||||||
* | Non-income producing security |
| ||||||||
** | Represents an investment of securities lending cash collateral. |
| ||||||||
*** | All or a portion of this security is pledged for open futures collateral. |
| ||||||||
**** | Security fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the security at period end is $24,508 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2019 was $35,226. |
| ||||||||
‡ | All or a portion of this security is out on loan. |
| ||||||||
‡‡ | Interest rate presented is yield to maturity. |
|
See accompanying Notes to the Financial Statements.
173
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Futures Contracts
Number of | Description | Expiration Date | Notional | Market Value/ | ||||||||||||||||
Buys | ||||||||||||||||||||
18 | Canadian Dollar | Dec 2019 | $ | 1,361,340 | $ | (3,557 | ) | |||||||||||||
115 | MSCI EAFE Index | Dec 2019 | 10,915,800 | (64,035 | ) | |||||||||||||||
137 | S&P 500 E-mini Index | Dec 2019 | 20,402,725 | (230,619 | ) | |||||||||||||||
9 | S&P/TSX 60 Index | Dec 2019 | 1,354,215 | 164 | ||||||||||||||||
|
| |||||||||||||||||||
$ | (298,047 | ) | ||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements.
174
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
September 30, 2019 (Unaudited)
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Insurance | 9.6 | ||||
Food | 5.7 | ||||
Pharmaceuticals | 5.7 | ||||
Electric | 5.6 | ||||
Telecommunications | 5.5 | ||||
Health Care — Products | 5.3 | ||||
Retail | 4.7 | ||||
REITS | 4.6 | ||||
Software | 4.5 | ||||
Internet | 3.8 | ||||
Aerospace & Defense | 3.6 | ||||
Banks | 3.6 | ||||
Health Care — Services | 3.0 | ||||
Media | 2.7 | ||||
Commercial Services | 2.4 | ||||
Diversified Financial Services | 1.9 | ||||
Beverages | 1.8 | ||||
Cosmetics & Personal Care | 1.8 | ||||
Environmental Control | 1.7 | ||||
Computers | 1.5 | ||||
Transportation | 1.5 | ||||
Engineering & Construction | 1.3 | ||||
Distribution & Wholesale | 1.0 | ||||
Gas | 1.0 | ||||
Mining | 1.0 | ||||
Agriculture | 0.9 | ||||
Packaging & Containers | 0.9 | ||||
Household Products & Wares | 0.8 | ||||
Electronics | 0.7 | ||||
Oil & Gas | 0.7 | ||||
Water | 0.7 | ||||
Machinery — Construction & Mining | 0.6 | ||||
Chemicals | 0.4 | ||||
Electrical Components & Equipment | 0.4 | ||||
Real Estate | 0.4 | ||||
Leisure Time | 0.3 | ||||
Advertising | 0.2 | ||||
Airlines | 0.2 | ||||
Shipbuilding | 0.2 | ||||
Auto Manufacturers | 0.1 | ||||
Savings & Loans | 0.1 | ||||
Semiconductors | 0.1 | ||||
Biotechnology | 0.0 | * | |||
Energy-Alternate Sources | 0.0 | * | |||
Entertainment | 0.0 | * | |||
Holding Companies — Diversified | 0.0 | * | |||
Home Builders | 0.0 | * | |||
Investment Companies | 0.0 | * | |||
Lodging | 0.0 | * | |||
Private Equity | 0.0 | * | |||
Short-Term Investments and Other Assets and Liabilities (net) | 7.5 | ||||
|
| ||||
100.0 | % | ||||
|
|
* | Amount rounds to zero. |
See accompanying Notes to the Financial Statements.
175
Table of Contents
Mercer Funds
Statements of Assets and Liabilities
September 30, 2019 (Unaudited)
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 335,817,210 | $ | 742,291,671 | $ | 2,354,491,353 | $ | 720,053,297 | ||||||||||||
Foreign currency, at value(b) | — | 46,416 | 5,430,921 | — | ||||||||||||||||
Cash and cash equivalents | 25,404,044 | 46,117,304 | 124,775,630 | 6,337,924 | ||||||||||||||||
Receivable for investments sold | 9,332,281 | 4,474,932 | 7,321,827 | 7,521,585 | ||||||||||||||||
Dividend and interest receivable | 434,269 | 645,051 | 6,994,584 | 4,317,261 | ||||||||||||||||
Receivable for TBA securities sold | — | — | — | 5,581,084 | ||||||||||||||||
Foreign tax reclaims receivable | 155,394 | — | 4,695,134 | 1,227 | ||||||||||||||||
Receivable for Fund shares sold | — | 3,000,000 | — | — | ||||||||||||||||
Receivable for variation margin on open futures contracts | 91,847 | 151,042 | 388,454 | — | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | 390,260 | 5,204 | ||||||||||||||||
Prepaid expenses | 7,367 | 14,642 | 44,880 | 14,675 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 50,000 | — | — | — | ||||||||||||||||
Securities lending income receivable | 1,100 | 25,426 | 23,599 | 2,427 | ||||||||||||||||
Receivable for advisory fee waived | 266,295 | 934,801 | 2,205,477 | 499,032 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 371,559,807 | 797,701,285 | 2,506,762,119 | 744,333,716 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for Fund shares repurchased | 13,040,472 | 9,778,892 | 25,736,474 | 6,422,729 | ||||||||||||||||
Obligation to return securities lending collateral | 2,154,542 | 9,951,786 | 28,117,174 | 4,091,940 | ||||||||||||||||
Payable for investments purchased | 361,984 | 4,039,405 | 4,131,773 | 8,171,555 | ||||||||||||||||
TBA Sale Commitments, at value(c) | — | — | — | 4,104,942 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | — | — | 3,606,254 | ||||||||||||||||
Payable for variation margin on open swap centrally cleared contracts | — | — | — | 19,411 | ||||||||||||||||
Payable for variation margin on open futures contracts | — | — | — | 13,451 | ||||||||||||||||
Payable for foreign capital gains tax | — | — | 6,009 | — | ||||||||||||||||
Interest payable on TBA securities | — | — | — | 3,500 | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | 36 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 498,924 | 1,717,647 | 4,211,288 | 699,638 | ||||||||||||||||
Trustees fees | 6,895 | 13,278 | 39,399 | 11,930 | ||||||||||||||||
Accrued expenses | 49,364 | 72,934 | 138,004 | 67,072 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 16,112,181 | 25,573,942 | 62,380,121 | 27,212,458 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 355,447,626 | $ | 772,127,343 | $ | 2,444,381,998 | $ | 717,121,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | 296,784,988 | 677,702,697 | 2,265,838,909 | 686,522,609 | ||||||||||||||||
Distributable earnings | 58,662,638 | 94,424,646 | 178,543,089 | 30,598,649 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 355,447,626 | $ | 772,127,343 | $ | 2,444,381,998 | $ | 717,121,258 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
176
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2019 (Unaudited)
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Net assets attributable to: |
| |||||||||||||||||||
Class Y-3 | $ | 355,447,626 | $ | 772,127,343 | $ | 2,444,381,998 | $ | 717,121,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: |
| |||||||||||||||||||
Class Y-3 | 39,463,644 | 74,344,365 | 240,675,477 | 67,847,846 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per unit: |
| |||||||||||||||||||
Class Y-3 | $ | 9.01 | $ | 10.39 | $ | 10.16 | $ | 10.57 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | $ | 316,348,516 | $ | 676,691,339 | $ | 2,199,431,939 | $ | 702,575,609 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency, at cost | $ | — | $ | 46,699 | $ | 5,445,438 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(c) Proceeds for TBA Sale Commitments | $ | — | $ | — | $ | — | $ | 4,105,039 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
177
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2019 (Unaudited)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Assets |
| ||||||||||||||
Investments, at value(a) | $ | 818,689,934 | $ | 930,215,145 | $ | 1,022,360,845 | |||||||||
Foreign currency, at value(b) | 11,067,158 | 1,153,508 | 641,339 | ||||||||||||
Cash and cash equivalents | 19,632,260 | 58,861,750 | 96,912,920 | ||||||||||||
Dividend and interest receivable | 9,313,204 | 2,228,574 | 1,884,337 | ||||||||||||
Unrealized appreciation on open forward foreign currency contracts | 4,755,276 | — | — | ||||||||||||
Receivable for investments sold | 2,034,167 | 620,611 | — | ||||||||||||
Cash collateral held at broker on open centrally cleared swap contracts | 1,830,806 | — | — | ||||||||||||
Cash collateral held at broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 1,779,000 | — | — | ||||||||||||
Cash collateral held at broker on open futures contracts | 1,527,187 | — | — | ||||||||||||
Foreign tax reclaims receivable | 82,353 | 89,962 | 1,079,688 | ||||||||||||
OTC - Swap contracts, at value(up-front net premiums paid of $1,138,254, $-, and $-, respectively) | 986,438 | — | — | ||||||||||||
Receivable for variation margin on open futures contracts | 247,040 | 223,949 | 138,599 | ||||||||||||
Prepaid expenses | 15,938 | 19,317 | 20,522 | ||||||||||||
Receivable for Fund shares sold | 15,828 | 23,780 | — | ||||||||||||
Securities lending income receivable | 1,693 | 11,484 | 5,577 | ||||||||||||
Receivable for advisory fee waived | 1,013,154 | 937,128 | 1,400,045 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total assets | 872,991,436 | 994,385,208 | 1,124,443,872 | ||||||||||||
|
|
|
|
|
| ||||||||||
Liabilities |
| ||||||||||||||
Payable for Fund shares repurchased | 10,787,362 | 13,297,366 | 20,045,377 | ||||||||||||
Obligation to return securities lending collateral | 11,009,922 | 5,144,730 | 3,904,449 | ||||||||||||
Payable for investments purchased | 8,387,991 | 1,270,971 | 190,618 | ||||||||||||
Unrealized depreciation on open forward foreign currency contracts | 4,936,316 | — | — | ||||||||||||
OTC - Swap contracts, at value(up-front net premiums received of $1,061,166, $-, and $-, respectively) | 1,792,688 | — | — | ||||||||||||
Payable for TBA and when-issued securities purchased | 840,000 | — | — | ||||||||||||
Cash collateral due to broker on open forward foreign currency contracts, open OTC options, and open OTC swaps contracts | 609,000 | — | — | ||||||||||||
Payable for foreign capital gains tax | 240,422 | 19,921 | — | ||||||||||||
Written options, at value(c) | 104,935 | — | — | ||||||||||||
Payable for variation margin on open centrally cleared swap contracts | 77,428 | — | — | ||||||||||||
Variation margin payable on open futures contracts | 2,999 | — | — | ||||||||||||
Unrealized loss on unfunded loan commitments | 755 | — | — | ||||||||||||
Payable to affiliate for: |
| ||||||||||||||
Advisory fees | 1,656,536 | 1,967,714 | 2,032,115 | ||||||||||||
Trustees fees | 14,321 | 18,475 | 18,513 | ||||||||||||
Accrued expenses | 127,656 | 197,574 | 97,115 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total liabilities | 40,588,331 | 21,916,751 | 26,288,187 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net assets | $ | 832,403,105 | $ | 972,468,457 | $ | 1,098,155,685 | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
178
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
September 30, 2019 (Unaudited)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Net assets consist of: |
| ||||||||||||||
Paid-in capital | $ | 848,081,332 | $ | 1,023,639,014 | $ | 863,799,674 | |||||||||
Distributable earnings (Accumulated loss) | (15,678,227 | ) | (51,170,557 | ) | 234,356,011 | ||||||||||
|
|
|
|
|
| ||||||||||
Net assets | $ | 832,403,105 | $ | 972,468,457 | $ | 1,098,155,685 | |||||||||
|
|
|
|
|
| ||||||||||
Net assets attributable to: |
| ||||||||||||||
Class Y-3 | $ | 832,403,105 | $ | 972,468,457 | $ | 1,098,155,685 | |||||||||
|
|
|
|
|
| ||||||||||
Shares outstanding: |
| ||||||||||||||
Class Y-3 | 89,027,918 | 110,563,917 | 78,340,770 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net asset value per unit: |
| ||||||||||||||
Class Y-3 | $ | 9.35 | $ | 8.80 | $ | 14.02 | |||||||||
|
|
|
|
|
| ||||||||||
(a) Investments, at cost | $ | 813,456,367 | $ | 961,650,391 | $ | 894,705,270 | |||||||||
|
|
|
|
|
| ||||||||||
(b) Foreign currency, at cost | $ | 11,128,679 | $ | 1,158,747 | $ | 642,623 | |||||||||
|
|
|
|
|
| ||||||||||
(c) Premiums on written options | $ | 186,170 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
179
Table of Contents
Mercer Funds
For the Six Months Ended September 30, 2019 (Unaudited)
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividends | $ | 3,366,245 | $ | 5,478,091 | $ | 48,260,847 | $ | — | ||||||||||||
Interest | 135,456 | 292,133 | 788,751 | 11,691,107 | ||||||||||||||||
Securities lending income | 6,594 | 104,016 | 438,877 | 15,869 | ||||||||||||||||
Withholding taxes | (28,665 | ) | (14,035 | ) | (4,684,058 | ) | 776 | |||||||||||||
Other income | — | — | 3,996 | 1,386 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 3,479,630 | 5,860,205 | 44,808,413 | 11,709,138 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 1,014,171 | 3,494,444 | 8,183,412 | 1,281,748 | ||||||||||||||||
Custodian and fund accounting fees | 62,495 | 96,633 | 297,894 | 99,721 | ||||||||||||||||
Audit fees | 31,962 | 35,316 | 62,714 | 46,801 | ||||||||||||||||
Transfer agent fees | 11,660 | 12,012 | 12,202 | 12,338 | ||||||||||||||||
Legal fees | 48,278 | 94,877 | 259,008 | 86,821 | ||||||||||||||||
Trustees fees | 16,238 | 32,248 | 92,837 | 27,733 | ||||||||||||||||
Registration fees | 13,776 | 14,041 | 14,814 | 13,918 | ||||||||||||||||
Miscellaneous | 23,934 | 41,234 | 103,017 | 37,035 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 1,222,514 | 3,820,805 | 9,025,898 | 1,606,115 | ||||||||||||||||
Advisory fee waiver | (546,869 | ) | (1,904,307 | ) | (4,320,384 | ) | (921,559 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 675,645 | 1,916,498 | 4,705,514 | 684,556 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 2,803,985 | 3,943,707 | 40,102,899 | 11,024,582 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 27,734,803 | 27,242,992 | (3,406,960 | ) | 9,087,504 | |||||||||||||||
Purchased option contracts | — | — | — | (121,984 | ) | |||||||||||||||
Swap contracts | — | — | — | (74,203 | ) | |||||||||||||||
Closed futures contracts | 1,204,470 | 1,433,687 | 3,628,411 | 3,933,255 | ||||||||||||||||
Written option contracts | — | — | — | 52,538 | ||||||||||||||||
Forward foreign currency contracts | — | — | (547,439 | ) | — | |||||||||||||||
Foreign currency related transactions | 353 | (906 | ) | (358,043 | ) | (2,931 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain (loss) on investment transactions | 28,939,626 | 28,675,773 | (684,031 | ) | 12,874,179 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (13,656,461 | ) | (10,273,520 | ) | 29,465,228 | 21,395,040 | ||||||||||||||
Purchased option contracts | — | — | — | (1,489 | ) | |||||||||||||||
TBA Sale Commitments | — | — | — | 97 | ||||||||||||||||
Swap contracts | — | — | — | (1,917,868 | ) | |||||||||||||||
Open futures contracts | (359,762 | ) | (1,150,209 | ) | (2,135,921 | ) | (1,047,807 | ) | ||||||||||||
Written option contracts | — | — | — | 133 | ||||||||||||||||
Forward foreign currency contracts | — | — | 348,173 | 5,168 | ||||||||||||||||
Foreign currency related translations | (312 | ) | 849 | (5,168 | ) | (814 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (14,016,535 | ) | (11,422,880 | ) | 27,672,312 | 18,432,460 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | 14,923,091 | 17,252,893 | 26,988,281 | 31,306,639 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 17,727,076 | $ | 21,196,600 | $ | 67,091,180 | $ | 42,331,221 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
180
Table of Contents
Mercer Funds
Statements of Operations (Continued)
For the Six Months Ended September 30, 2019 (Unaudited)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | Mercer Global Low Volatility Equity Fund | |||||||||||||
Investment Income: |
| ||||||||||||||
Dividends | $ | 14,105 | $ | 20,703,642 | $ | 12,823,935 | |||||||||
Interest | 22,403,345 | 425,030 | 508,329 | ||||||||||||
Securities lending income | 21,345 | 61,295 | 116,243 | ||||||||||||
Withholding taxes | (100,227 | ) | (2,182,666 | ) | (718,625 | ) | |||||||||
Other income | 8,767 | 150 | — | ||||||||||||
|
|
|
|
|
| ||||||||||
Total investment income | 22,347,335 | 19,007,451 | 12,729,882 | ||||||||||||
|
|
|
|
|
| ||||||||||
Expenses: |
| ||||||||||||||
Advisory fees | 3,268,646 | 3,923,979 | 3,858,222 | ||||||||||||
Custodian and fund accounting fees | 240,314 | 325,968 | 133,705 | ||||||||||||
Audit fees | 44,433 | 75,827 | 38,123 | ||||||||||||
Transfer agent fees | 11,872 | 12,188 | 11,841 | ||||||||||||
Legal fees | 87,371 | 119,471 | 118,280 | ||||||||||||
Trustees fees | 33,352 | 42,146 | 41,820 | ||||||||||||
Registration fees | 14,721 | 14,901 | 14,851 | ||||||||||||
Miscellaneous | 41,784 | 52,222 | 47,136 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total expenses | 3,742,493 | 4,566,702 | 4,263,978 | ||||||||||||
Advisory fee waiver | (2,004,673 | ) | (1,831,518 | ) | (2,656,725 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net expenses | 1,737,820 | 2,735,184 | 1,607,253 | ||||||||||||
|
|
|
|
|
| ||||||||||
Net investment income | 20,609,515 | 16,272,267 | 11,122,629 | ||||||||||||
|
|
|
|
|
| ||||||||||
Realized and Unrealized Gain (Loss): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Investments | 2,732,763 | (15,704,641 | ) | 14,004,522 | |||||||||||
Purchased option contracts | (3,876,827 | ) | — | — | |||||||||||
Swap contracts | (4,092,860 | ) | — | — | |||||||||||
Closed futures contracts | (76,183 | ) | (1,494,217 | ) | 2,791,128 | ||||||||||
Written option contracts | 858,872 | — | — | ||||||||||||
Forward foreign currency contracts | 2,783,312 | 5,082,506 | — | ||||||||||||
Foreign currency related transactions | (729,031 | ) | (986,725 | ) | (53,688 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net realized gain (loss) | (2,399,954 | ) | (13,103,077 | ) | 16,741,962 | ||||||||||
|
|
|
|
|
| ||||||||||
Change in net unrealized appreciation (depreciation) on: | |||||||||||||||
Investments | 6,863,029 | (29,540,666 | ) | 39,662,848 | |||||||||||
Purchased option contracts | 844,775 | — | — | ||||||||||||
Unfunded loan commitments | (755 | ) | — | — | |||||||||||
Swap contracts | (2,902,956 | ) | — | — | |||||||||||
Open futures contracts | 604,577 | (1,596,487 | ) | (923,420 | ) | ||||||||||
Written option contracts | 64,410 | — | — | ||||||||||||
Forward foreign currency contracts | 281,278 | (1,680,667 | ) | — | |||||||||||
Foreign currency related translations | (99,800 | ) | 1,273,787 | (1,672 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Change in net unrealized appreciation (depreciation) | 5,654,558 | (31,544,033 | ) | 38,737,756 | |||||||||||
|
|
|
|
|
| ||||||||||
Net realized and unrealized gain (loss) | 3,254,604 | (44,647,110 | ) | 55,479,718 | |||||||||||
|
|
|
|
|
| ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 23,864,119 | $ | (28,374,843 | ) | $ | 66,602,347 | ||||||||
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
181
Table of Contents
Mercer Funds
Statements of Changes in Net Assets
Mercer US Large Cap Equity Fund | Mercer US Small/Mid Cap Equity Fund | |||||||||||||||||||
Six Months Ended September 30, 2019 (Unaudited) | Year Ended March 31, 2019 | Six Months Ended September 30, 2019 (Unaudited) | Year Ended March 31, 2019 | |||||||||||||||||
Increase (decrease) in Net Assets: |
| |||||||||||||||||||
Operations: |
| |||||||||||||||||||
Net investment income (loss) | $ | 2,803,985 | $ | 5,213,284 | $ | 3,943,707 | $ | 3,892,208 | ||||||||||||
Net realized gain (loss) | 28,939,626 | 47,513,142 | 28,675,773 | 62,431,825 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (14,016,535 | ) | (30,975,394 | ) | (11,422,880 | ) | (62,063,801 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 17,727,076 | 21,751,032 | 21,196,600 | 4,260,232 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (See Note 2): |
| |||||||||||||||||||
Class Y-3 | — | (97,267,079 | ) | — | (134,114,544 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | — | (97,267,079 | ) | — | (134,114,544 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): |
| |||||||||||||||||||
Class Y-3 | (51,694,348 | ) | (47,626,675 | ) | (43,472,499 | ) | 16,313,503 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (51,694,348 | ) | (47,626,675 | ) | (43,472,499 | ) | 16,313,503 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets | (33,967,272 | ) | (123,142,722 | ) | (22,275,899 | ) | (113,540,809 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: |
| |||||||||||||||||||
Beginning of period | 389,414,898 | 512,557,620 | 794,403,242 | 907,944,051 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 355,447,626 | $ | 389,414,898 | $ | 772,127,343 | $ | 794,403,242 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
182
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
MercerNon-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||||
Six Months Ended September 30, 2019 (Unaudited) | Year Ended March 31, 2019 | Six Months Ended September 30, 2019 (Unaudited) | Year Ended March 31, 2019 | |||||||||||||||||
Increase (decrease) in Net Assets: |
| |||||||||||||||||||
Operations: |
| |||||||||||||||||||
Net investment income (loss) | $ | 40,102,899 | $ | 42,519,505 | $ | 11,024,582 | $ | 23,742,544 | ||||||||||||
Net realized gain (loss) | (684,031 | ) | 9,788,714 | 12,874,179 | (5,991,553 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 27,672,312 | (130,631,774 | ) | 18,432,460 | 9,744,840 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 67,091,180 | (78,323,555 | ) | 42,331,221 | 27,495,831 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (See Note 2): |
| |||||||||||||||||||
Class Y-3 | — | (218,880,784 | ) | — | (24,784,732 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | — | (218,880,784 | ) | — | (24,784,732 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): |
| |||||||||||||||||||
Class Y-3 | 221,705,972 | 293,490,399 | 126,189,561 | (312,057,324 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 221,705,972 | 293,490,399 | 126,189,561 | (312,057,324 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 288,797,152 | (3,713,940 | ) | 168,520,782 | (309,346,225 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: |
| |||||||||||||||||||
Beginning of period | 2,155,584,846 | 2,159,298,786 | 548,600,476 | 857,946,701 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 2,444,381,998 | $ | 2,155,584,846 | $ | 717,121,258 | $ | 548,600,476 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
183
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||||
Six Months Ended September 30, 2019 (Unaudited) | Year Ended March 31, 2019 | Six Months Ended September 30, 2019 (Unaudited) | Year Ended March 31, 2019 | |||||||||||||||||
Increase (decrease) in Net Assets: | ||||||||||||||||||||
Operations: |
| |||||||||||||||||||
Net investment income (loss) | $ | 20,609,515 | $ | 32,074,667 | $ | 16,272,267 | $ | 17,267,289 | ||||||||||||
Net realized gain (loss) | (2,399,954 | ) | (53,999,195 | ) | (13,103,077 | ) | (30,343,811 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | 5,654,558 | (7,693,259 | ) | (31,544,033 | ) | (105,526,011 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 23,864,119 | (29,617,787 | ) | (28,374,843 | ) | (118,602,533 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (See Note 2): |
| |||||||||||||||||||
Class Y-3 | — | (15,919,968 | ) | — | (142,768,325 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | — | (15,919,968 | ) | — | (142,768,325 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): |
| |||||||||||||||||||
Class Y-3 | (4,041,478 | ) | 210,895,795 | (17,803,871 | ) | 163,890,739 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | (4,041,478 | ) | 210,895,795 | (17,803,871 | ) | 163,890,739 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 19,822,641 | 165,358,040 | (46,178,714 | ) | (97,480,119 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets: |
| |||||||||||||||||||
Beginning of period | 812,580,464 | 647,222,424 | 1,018,647,171 | 1,116,127,290 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 832,403,105 | $ | 812,580,464 | $ | 972,468,457 | $ | 1,018,647,171 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements.
184
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||||||||||
Six Months Ended September 30, 2019 (Unaudited) | Year Ended March 31, 2019 | |||||||||
Increase (decrease) in Net Assets: | ||||||||||
Operations: |
| |||||||||
Net investment income (loss) | $ | 11,122,629 | $ | 13,559,973 | ||||||
Net realized gain (loss) | 16,741,962 | 66,005,792 | ||||||||
Change in net unrealized appreciation (depreciation) | 38,737,756 | (15,468,216 | ) | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 66,602,347 | 64,097,549 | ||||||||
|
|
|
| |||||||
Net share transactions (See Note 7): |
| |||||||||
Class Y-3 | 75,675,583 | (28,829,907 | ) | |||||||
|
|
|
| |||||||
Increase (decrease) in net assets resulting from net shares transactions | 75,675,583 | (28,829,907 | ) | |||||||
|
|
|
| |||||||
Net increase in net assets | 142,277,930 | 35,267,642 | ||||||||
|
|
|
| |||||||
Net assets: |
| |||||||||
Beginning of period | 955,877,755 | 920,610,113 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,098,155,685 | $ | 955,877,755 | ||||||
|
|
|
|
See accompanying Notes to the Financial Statements.
185
Table of Contents
Mercer US Large Cap Equity Fund
Period Ended 9/30/2019 (Unaudited) | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | Year Ended 3/31/2015 | |||||||||||||||||||||||||
For aClass Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 8.58 | $ | 10.85 | $ | 10.61 | $ | 9.34 | $ | 11.11 | $ | 13.16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income† | 0.07 | 0.12 | 0.14 | 0.11 | (a) | 0.04 | 0.05 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.36 | 0.18 | 1.68 | 1.54 | (0.43 | ) | 1.63 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.43 | 0.30 | 1.82 | 1.65 | (0.39 | ) | 1.68 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.14 | ) | (0.16 | ) | (0.08 | ) | (0.05 | ) | (0.04 | ) | |||||||||||||||||||
From net realized gain on investments | — | (2.43 | ) | (1.42 | ) | (0.30 | ) | (1.33 | ) | (3.69 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (2.57 | ) | (1.58 | ) | (0.38 | ) | (1.38 | ) | (3.73 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 9.01 | $ | 8.58 | $ | 10.85 | $ | 10.61 | $ | 9.34 | $ | 11.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | 5.01 | %**(b) | 4.81 | % | 17.26 | % | 17.74 | % | (4.09 | )% | 13.63 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net investment income to average net assets | 1.47 | %* | 1.21 | % | 1.28 | % | 1.14 | %(a) | 0.33 | % | 0.37 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.35 | %* | 0.63 | % | 0.60 | % | 0.61 | %(c) | 0.63 | %(d) | 0.60 | %(d) | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.64 | %* | 0.63 | % | 0.60 | % | 0.61 | % | 0.63 | %(d) | 0.63 | %(d) | ||||||||||||||||||
Portfolio turnover rate | 70 | %** | 74 | % | 64 | % | 84 | % | 66 | % | 118 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 355,448 | $ | 389,415 | $ | 512,558 | $ | 601,059 | $ | 301,260 | $ | 362,698 |
(a) | Includes anon-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
(d) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements.
186
Table of Contents
Mercer US Small/Mid Cap Equity Fund
Financial Highlights (Continued)
Period Ended 9/30/2019 (Unaudited) | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | Year Ended 3/31/2015 | |||||||||||||||||||||||||
For aClass Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.13 | $ | 12.29 | $ | 12.12 | $ | 10.30 | $ | 12.23 | $ | 12.44 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income (loss)† | 0.05 | 0.05 | 0.04 | 0.04 | (a) | (0.02 | ) | (0.03 | ) | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.21 | (0.23 | ) | 1.46 | 2.13 | (1.28 | ) | 1.32 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.26 | (0.18 | ) | 1.50 | 2.17 | (1.30 | ) | 1.29 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.05 | ) | (0.06 | ) | (0.08 | ) | — | — | |||||||||||||||||||||
From net realized gain on investments | — | (1.93 | ) | (1.27 | ) | (0.27 | ) | (0.63 | ) | (1.50 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.98 | ) | (1.33 | ) | (0.35 | ) | (0.63 | ) | (1.50 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.39 | $ | 10.13 | $ | 12.29 | $ | 12.12 | $ | 10.30 | $ | 12.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | 2.57 | %**(b) | 0.19 | % | 12.64 | % | 21.24 | % | (10.78 | )% | 11.11 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 1.01 | %* | 0.47 | % | 0.31 | % | 0.40 | %(a) | (0.18 | )% | (0.25 | )% | ||||||||||||||||||
Net expenses to average daily net assets | 0.49 | %* | 0.98 | % | 0.95 | % | 0.97 | %(c) | 0.98 | %(d) | 0.98 | %(d) | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.98 | %* | 0.98 | % | 0.95 | % | 0.97 | % | 0.98 | %(d) | 0.99 | %(d) | ||||||||||||||||||
Portfolio turnover rate | 39 | %** | 47 | % | 49 | % | 106 | % | 68 | % | 75 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 772,127 | $ | 794,403 | $ | 907,944 | $ | 972,456 | $ | 427,426 | $ | 470,893 |
(a) | Includes anon-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
(d) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements.
187
Table of Contents
MercerNon-US Core Equity Fund
Financial Highlights (Continued)
Period Ended 9/30/2019 (Unaudited) | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | Year Ended 3/31/2015 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.87 | $ | 11.51 | $ | 10.44 | $ | 9.61 | $ | 10.64 | $ | 11.92 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income† | 0.17 | 0.22 | 0.19 | 0.18 | (a) | 0.16 | 0.19 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.12 | (0.76 | ) | 1.75 | 0.83 | (0.76 | ) | (0.22 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.29 | (0.54 | ) | 1.94 | 1.01 | (0.60 | ) | (0.03 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.20 | ) | (0.23 | ) | (0.18 | ) | (0.17 | ) | (0.27 | ) | |||||||||||||||||||
From net realized gain on investments | — | (0.90 | ) | (0.64 | ) | — | (0.26 | ) | (0.98 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.10 | ) | (0.87 | ) | (0.18 | ) | (0.43 | ) | (1.25 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.16 | $ | 9.87 | $ | 11.51 | $ | 10.44 | $ | 9.61 | $ | 10.64 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | 2.94 | %**(b) | (4.00 | )% | 18.80 | % | 10.62 | % | (5.64 | )% | 0.19 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 3.47 | %* | 2.03 | % | 1.64 | % | 1.81 | %(a) | 1.60 | % | 1.72 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.41 | %* | 0.79 | % | 0.79 | % | 0.82 | %(c)(d) | 0.83 | %(c) | 0.84 | %(c) | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.78 | %* | 0.79 | % | 0.79 | % | 0.81 | %(c) | 0.83 | %(c) | 0.84 | %(c) | ||||||||||||||||||
Portfolio turnover rate | 28 | %** | 81 | % | 81 | % | 81 | % | 109 | % | 101 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 2,444,382 | $ | 2,155,585 | $ | 2,159,299 | $ | 2,271,104 | $ | 1,941,634 | $ | 2,072,981 |
(a) | Includes anon-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is 0.01% of average net assets. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements.
188
Table of Contents
Mercer Core Fixed Income Fund
Financial Highlights (Continued)
Period Ended 9/30/2019 (Unaudited) | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | Year Ended 3/31/2015 | |||||||||||||||||||||||||
For aClass Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 10.00 | $ | 9.90 | $ | 9.96 | $ | 10.15 | $ | 10.43 | $ | 10.42 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income† | 0.15 | 0.31 | 0.27 | 0.25 | (a) | 0.29 | 0.28 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.42 | 0.11 | (0.09 | ) | (0.09 | ) | (0.17 | ) | 0.28 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.57 | 0.42 | 0.18 | 0.16 | 0.12 | 0.56 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.32 | ) | (0.24 | ) | (0.25 | ) | (0.30 | ) | (0.33 | ) | |||||||||||||||||||
From net realized gain on investments | — | — | — | (0.10 | ) | (0.10 | ) | (0.22 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.32 | ) | (0.24 | ) | (0.35 | ) | (0.40 | ) | (0.55 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.57 | $ | 10.00 | $ | 9.90 | $ | 9.96 | $ | 10.15 | $ | 10.43 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | 5.70 | %**(b) | 4.37 | % | 1.80 | % | 1.58 | % | 1.26 | % | 5.43 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||||||||
Net investment income to average net assets | 3.00 | %* | 3.17 | % | 2.71 | % | 2.43 | %(a) | 2.80 | % | 2.66 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.19 | %* | 0.43 | % | 0.43 | % | 0.43 | %(c)(d) | 0.42 | % | 0.40 | % | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.44 | %* | 0.43 | % | 0.43 | % | 0.43 | %(c) | 0.42 | % | 0.42 | % | ||||||||||||||||||
Portfolio turnover rate | 81 | %**(e) | 80 | %(e) | 113 | %(e) | 151 | % | 88 | % | 192 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 717,121 | $ | 548,600 | $ | 857,947 | $ | 765,603 | $ | 783,875 | $ | 892,649 |
(a) | Includes anon-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
(e) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have been 73% for the period ended September 30, 2019, 74% and 81% for the years ended March 31, 2019 and March 31, 2018, respectively. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements.
189
Table of Contents
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Period Ended 9/30/2019 (Unaudited) | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | Year Ended 3/31/2015 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.08 | $ | 9.80 | $ | 9.31 | $ | 8.44 | $ | 9.13 | $ | 10.43 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income† | 0.23 | 0.43 | 0.53 | 0.51 | (a) | 0.54 | 0.56 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.04 | (0.94 | ) | 0.33 | 0.36 | (1.12 | ) | (1.32 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.27 | (0.51 | ) | 0.86 | 0.87 | (0.58 | ) | (0.76 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | (0.21 | ) | (0.37 | ) | — | (0.07 | ) | (0.47 | ) | ||||||||||||||||||||
From net realized gain on investments | — | — | — | — | (0.04 | ) | (0.07 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.21 | ) | (0.37 | ) | — | (0.11 | ) | (0.54 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 9.35 | $ | 9.08 | $ | 9.80 | $ | 9.31 | $ | 8.44 | $ | 9.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | 2.97 | %**(b) | (5.15 | )% | 9.42 | % | 10.31 | %(b) | (6.25 | )%(b) | (7.36 | )%(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 5.03 | %* | 4.74 | % | 5.49 | % | 5.75 | %(a) | 6.28 | % | 5.55 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.42 | %* | 0.92 | %(c) | 0.92 | %(c) | 0.94 | %(c)(d) | 0.90 | %(c) | 0.90 | %(c) | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.91 | %* | 0.92 | %(c) | 0.92 | %(c) | 0.94 | %(c) | 0.95 | %(c) | 0.97 | %(c) | ||||||||||||||||||
Portfolio turnover rate | 80 | %**(e) | 243 | %(e) | 72 | % | 55 | % | 53 | % | 58 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 832,403 | $ | 812,580 | $ | 647,222 | $ | 558,859 | $ | 414,262 | $ | 395,939 |
(a) | Includes anon-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets. |
(e) | Includes TBA transactions; excluding these transactions the portfolio turnover rate would have been 79% for the period ended September 30, 2019 and 218% for the year ended March 31, 2019, respectively. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements.
190
Table of Contents
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Period Ended 9/30/2019 (Unaudited) | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | Year Ended 3/31/2015 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 9.05 | $ | 11.75 | $ | 9.77 | $ | 8.59 | $ | 9.88 | $ | 9.99 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income† | 0.15 | 0.17 | 0.18 | 0.14 | (a) | 0.16 | 0.17 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.40 | ) | (1.48 | ) | 2.05 | 1.22 | (1.36 | ) | (0.09 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.25 | ) | (1.31 | ) | 2.23 | 1.36 | (1.20 | ) | 0.08 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: |
| |||||||||||||||||||||||||||||
From net investment income | — | (0.01 | ) | (0.25 | ) | (0.18 | ) | (0.09 | ) | (0.19 | ) | |||||||||||||||||||
From net realized gain on investments | — | (1.38 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.39 | ) | (0.25 | ) | (0.18 | ) | (0.09 | ) | (0.19 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 8.80 | $ | 9.05 | $ | 11.75 | $ | 9.77 | $ | 8.59 | $ | 9.88 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | (2.76 | )%**(b) | (10.20 | )% | 22.92 | % | 16.14 | % | (12.06 | )% | 0.81 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 3.29 | %* | 1.66 | % | 1.62 | % | 1.52 | %(a) | 1.79 | % | 1.66 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.55 | %* | 0.92 | %(c) | 0.95 | %(c) | 1.00 | %(c)(d) | 1.00 | %(c) | 0.98 | %(c) | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.92 | %* | 0.92 | %(c) | 0.95 | %(c) | 0.99 | %(c) | 1.00 | %(c) | 1.00 | %(c) | ||||||||||||||||||
Portfolio turnover rate | 67 | %** | 57 | % | 93 | % | 89 | % | 66 | % | 46 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 972,468 | $ | 1,018,647 | $ | 1,116,127 | $ | 1,481,990 | $ | 1,150,136 | $ | 1,087,355 |
(a) | Includes anon-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is 0.01% of average net assets. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements.
191
Table of Contents
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Period Ended 9/30/2019 (Unaudited) | Year Ended 3/31/2019 | Year Ended 3/31/2018 | Year Ended 3/31/2017 | Year Ended 3/31/2016 | Year Ended 3/31/2015 | |||||||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||||||||||||||||||||||
Net asset value at beginning of period | $ | 13.13 | $ | 12.28 | $ | 12.62 | $ | 11.81 | $ | 12.11 | $ | 12.27 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net investment income† | 0.15 | 0.18 | 0.18 | 0.16 | (a) | 0.15 | 0.15 | |||||||||||||||||||||||
Net realized and unrealized gain on | 0.74 | 0.67 | 1.39 | 1.11 | 0.33 | 0.54 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.89 | 0.85 | 1.57 | 1.27 | 0.48 | 0.69 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||||
From net investment income | — | — | (0.18 | ) | (0.14 | ) | (0.14 | ) | (0.19 | ) | ||||||||||||||||||||
From net realized gain on investments | — | — | (1.73 | ) | (0.32 | ) | (0.64 | ) | (0.66 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | — | (1.91 | ) | (0.46 | ) | (0.78 | ) | (0.85 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 14.02 | $ | 13.13 | $ | 12.28 | $ | 12.62 | $ | 11.81 | $ | 12.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total investment return | 6.78 | %**(b) | 6.92 | % | 12.47 | % | 11.02 | % | 4.13 | % | 5.80 | %(b) | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Net investment income to average net assets | 2.14 | %* | 1.40 | % | 1.35 | % | 1.34 | %(a) | 1.23 | % | 1.25 | % | ||||||||||||||||||
Net expenses to average daily net assets | 0.31 | %* | 0.83 | % | 0.80 | %(c) | 0.81 | %(c) | 0.82 | %(c) | 0.85 | %(c) | ||||||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.82 | %* | 0.83 | % | 0.80 | %(c) | 0.81 | %(c) | 0.82 | %(c) | 0.84 | %(c) | ||||||||||||||||||
Portfolio turnover rate | 20 | %** | 80 | % | 36 | % | 55 | % | 31 | % | 84 | % | ||||||||||||||||||
Net assets at end of period (in 000’s) | $ | 1,098,156 | $ | 955,878 | $ | 920,610 | $ | 1,249,860 | $ | 952,386 | $ | 819,052 |
(a) | Includes anon-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the period. |
* | Annualized |
** | Not annualized |
See accompanying Notes to the Financial Statements.
192
Table of Contents
Mercer Funds
Notes to the Financial Statements
September 30, 2019 (Unaudited)
1. | Organization |
Mercer Funds (the “Trust”) consists of the following seven series: Mercer US Large Cap Equity Fund (“Large Cap”), Mercer US Small/Mid Cap Equity Fund (“Small/Mid Cap”), MercerNon-US Core Equity Fund(“Non-US Core Equity”), Mercer Core Fixed Income Fund (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940 (the “1940 Act”). Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) (the “Advisor”), a Delaware limited liability company, serves as the investment advisor to the Funds. The Advisor manages each Fund using a “manager of managers” approach by selecting one or more subadvisors (each a “Subadvisor,” and collectively referred to as the “Subadvisors”) to manage each Fund’s assets. The Funds areopen-end investment companies and accordingly follow theopen-end investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services — Investment Companies.
Under the 1940 Act, each Fund is classified as diversified.
The investment objectives of the Funds are:
Fund | Investment Objective | |
Large Cap | Long-term total return, which includes capital appreciation and income | |
Small/Mid Cap | Long-term total return, comprised primarily of capital appreciation | |
Non-US Core Equity | Long-term total return, which includes capital appreciation and income | |
Core Fixed | Total return, consisting of both current income and capital appreciation | |
Opportunistic Fixed | Long-term total return, which includes capital appreciation and income | |
Emerging Markets | Long-term total return, which includes capital appreciation and income | |
Global Low Volatility | Long-term total return, which includes capital appreciation and income |
Each Fund has registered and is authorized to offer interests in four classes of shares: Adviser Class (formerly Class S), Class I (formerlyClass Y-1),Class Y-2 andClass Y-3. The principal difference between the classes of shares is the level of shareholder service, marketing and administrative fees borne by the classes.
2. | Significant Accounting Policies |
The Funds have adopted Financial Accounting Standards Board Accounting Standards Update2017-08 “Premium Amortization of Callable Debt Securities”, which amends the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Funds have changed the amortization period for the premium on certain purchased callable debt securities with explicitnon-contingent call features to the earliest call date. In accordance with the transition provisions of the
193
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal year ended March 31, 2020. The cost basis of securities at March 31, 2019 has been adjusted to $547,023,497 and $781,385,662 for Core Fixed and Opportunistic Fixed, respectively, with no adjustment necessary for the remaining Funds. This change in accounting policy has been made to comply with the newly issued accounting standard and had no material impact on total accumulated earnings (loss) or the net asset value of the Funds’ financial statements.
The following are significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
(a) Security Valuation
Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities and exchange-traded funds listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Subadvisor as the primary market for such securities. Securities traded in theover-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 inopen-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
194
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
financial instruments, such as foreign currency contracts, options contracts, synthetic futures, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.
Bank loans are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, 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 theday-to-day process of valuing portfolio securities. With respect to portfolio securities for which market quotations are not readily available or (in the opinion of the Advisor or the applicable Subadvisor) do not otherwise accurately reflect the fair values of the securities, the Valuation Committee will value such securities at fair value based upon procedures approved by the Board.
The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that a Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the time at which the Fund determines its NAV per share. A Fund’s value for a particular security may be different from the last quoted market price.
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”), TBA commitments or when-issued securities approximate fair value and are determined using Level 2 inputs, as of September 30, 2019. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts and swap contracts are determined using Level 1 inputs as of September 30, 2019.
At September 30, 2019, Large Cap and Small/Mid Cap held long-term investments whose value was determined using Level 1 inputs, with corresponding major categories as shown in the schedule of investments, Futures Contracts and State Street Institutional U.S. Government Money Market Fund, Premier Class whose value was determined using Level 1 inputs and short-term investment positions in a United States Treasury Bill, as shown in the schedule of investments, whose value was determined using Level 2 inputs.
195
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
The following is a summary of the portfolio securities by level based on inputs used as of September 30, 2019 in valuing the assets and liabilities ofNon-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:
Non-US Core Equity
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 217,777 | $ | — | $ | — | $ | 217,777 | ||||||||
Australia | 122,601,724 | 0 | * | — | 122,601,724 | |||||||||||
Austria | 4,597,717 | — | — | 4,597,717 | ||||||||||||
Belgium | 7,573,315 | — | — | 7,573,315 | ||||||||||||
Bermuda | 5,113,840 | — | — | 5,113,840 | ||||||||||||
Brazil | 20,125,949 | — | — | 20,125,949 | ||||||||||||
Canada | 21,227,942 | — | — | 21,227,942 | ||||||||||||
Cayman Islands | 34,628,810 | — | — | 34,628,810 | ||||||||||||
China | 12,737,052 | — | — | 12,737,052 | ||||||||||||
Cyprus | 123,182 | — | — | 123,182 | ||||||||||||
Denmark | 25,170,728 | — | — | 25,170,728 | ||||||||||||
Finland | 15,634,531 | — | — | 15,634,531 | ||||||||||||
France | 230,528,242 | — | — | 230,528,242 | ||||||||||||
Germany | 167,202,504 | — | — | 167,202,504 | ||||||||||||
Greece | 500,369 | — | — | 500,369 | ||||||||||||
Hong Kong | 22,225,612 | — | — | 22,225,612 | ||||||||||||
Hungary | 2,159,616 | — | — | 2,159,616 | ||||||||||||
India | 8,037,516 | — | — | 8,037,516 | ||||||||||||
Indonesia | 8,606,759 | — | — | 8,606,759 | ||||||||||||
Ireland | 13,160,749 | — | — | 13,160,749 | ||||||||||||
Israel | 7,513,307 | — | — | 7,513,307 | ||||||||||||
Italy | 56,817,923 | — | — | 56,817,923 | ||||||||||||
Japan | 523,801,832 | — | — | 523,801,832 | ||||||||||||
Luxembourg | 7,271,166 | — | — | 7,271,166 | ||||||||||||
Malaysia | 2,045,837 | — | — | 2,045,837 | ||||||||||||
Netherlands | 124,881,067 | — | — | 124,881,067 | ||||||||||||
New Zealand | 2,359,410 | — | — | 2,359,410 | ||||||||||||
Norway | 9,828,854 | — | — | 9,828,854 | ||||||||||||
Philippines | 932,686 | — | — | 932,686 | ||||||||||||
Poland | 1,038,782 | — | — | 1,038,782 | ||||||||||||
Portugal | 178,402 | — | 0 | ** | 178,402 | |||||||||||
Russia | 28,217,159 | — | — | 28,217,159 | ||||||||||||
Singapore | 7,245,555 | — | — | 7,245,555 | ||||||||||||
South Africa | 1,284,818 | — | — | 1,284,818 | ||||||||||||
South Korea | 21,771,169 | — | — | 21,771,169 | ||||||||||||
Spain | 61,818,254 | — | 0 | ** | 61,818,254 | |||||||||||
Sweden | 43,449,838 | — | — | 43,449,838 | ||||||||||||
Switzerland | 229,672,996 | — | — | 229,672,996 | ||||||||||||
Taiwan | 18,558,065 | — | — | 18,558,065 |
196
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Thailand | $ | — | $ | 2,086,686 | $ | — | $ | 2,086,686 | ||||||||
Turkey | 412,525 | — | — | 412,525 | ||||||||||||
United Kingdom | 350,013,737 | 998,526 | — | 351,012,263 | ||||||||||||
United States | 49,571,050 | — | — | 49,571,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 2,270,858,366 | 3,085,212 | 0 | 2,273,943,578 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | 22,840,405 | — | — | 22,840,405 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 22,840,405 | — | — | 22,840,405 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | 23,731,767 | — | — | 23,731,767 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 23,731,767 | — | — | 23,731,767 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights |
| |||||||||||||||
Australia | 2,690 | — | — | 2,690 | ||||||||||||
Cayman Islands | — | 1,184 | — | 1,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 2,690 | 1,184 | — | 3,874 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments |
| |||||||||||||||
Mutual Fund - Securities Lending Collateral | 28,117,174 | — | — | 28,117,174 | ||||||||||||
U.S. Government and Agency Obligations | — | 5,854,555 | — | 5,854,555 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 28,117,174 | 5,854,555 | — | 33,971,729 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | 390,260 | — | 390,260 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 390,260 | — | 390,260 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,345,550,402 | $ | 9,331,211 | $ | 0 | $ | 2,354,881,613 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | (761,595 | ) | $ | — | $ | — | $ | (761,595 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (761,595 | ) | — | — | (761,595 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (761,595 | ) | $ | — | $ | — | $ | (761,595 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of September 30, 2019. |
** | Represents one or more Level 3 securities at $0 value as of September 30, 2019. |
† | 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. |
197
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
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 | $ | — | $ | 95,613,649 | $ | — | $ | 95,613,649 | ||||||||
Corporate Debt | — | 240,622,596 | 0 | ** | 240,622,596 | |||||||||||
Mortgage Backed Securities - Private Issuers | — | 78,410,738 | — | 78,410,738 | ||||||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 196,132,334 | — | 196,132,334 | ||||||||||||
Municipal Obligations | — | 5,903,180 | — | 5,903,180 | ||||||||||||
Sovereign Debt Obligations | — | 5,672,582 | — | 5,672,582 | ||||||||||||
U.S. Government and Agency Obligations | — | 93,606,278 | — | 93,606,278 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 715,961,357 | 0 | 715,961,357 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Mutual Fund - Securities Lending Collateral | 4,091,940 | — | — | 4,091,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 4,091,940 | — | — | 4,091,940 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 255,382 | — | — | 255,382 | ||||||||||||
Sales | 165,149 | — | — | 165,149 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 420,531 | — | — | 420,531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | 99,359 | — | 99,359 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | 99,359 | — | 99,359 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | 5,204 | — | 5,204 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 5,204 | — | 5,204 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,512,471 | $ | 716,065,920 | $ | 0 | $ | 720,578,391 | ||||||||
|
|
|
|
|
|
|
|
198
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
TBA Sale Commitments | $ | — | $ | (4,104,942 | ) | $ | — | $ | (4,104,942 | ) | ||||||
Futures Contracts† |
| |||||||||||||||
Buys | (334,853 | ) | — | — | (334,853 | ) | ||||||||||
Sales | (28,572 | ) | — | — | (28,572 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (363,425 | ) | — | — | (363,425 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps |
| |||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | (2,301,465 | ) | — | (2,301,465 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | (2,301,465 | ) | — | (2,301,465 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | (36 | ) | — | (36 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (36 | ) | — | (36 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (363,425 | ) | $ | (6,406,443 | ) | $ | — | $ | (6,769,868 | ) | |||||
|
|
|
|
|
|
|
|
** | Represents one or more Level 3 securities at $0 value as of September 30, 2019. |
† | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Opportunistic Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations |
| |||||||||||||||
Asset Backed Securities | $ | — | $ | 26,128,647 | $ | — | $ | 26,128,647 | ||||||||
Bank Loans | — | 48,932,993 | — | 48,932,993 | ||||||||||||
Convertible Debt | — | 2,520,500 | — | 2,520,500 | ||||||||||||
Corporate Debt | — | 251,197,693 | — | 251,197,693 | ||||||||||||
Mortgage Backed Securities - Private Issuers | — | 22,612,078 | — | 22,612,078 | ||||||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 1,522,997 | — | 1,522,997 | ||||||||||||
Sovereign Debt Obligations | — | 346,465,653 | — | 346,465,653 | ||||||||||||
U.S. Government and Agency Obligations | — | 81,244,891 | — | 81,244,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 780,625,452 | — | 780,625,452 | ||||||||||||
|
|
|
|
|
|
|
|
199
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks |
| |||||||||||||||
Diversified Financial Services | $ | — | $ | — | $ | 0 | ** | $ | — | |||||||
Oil & Gas | 62 | 673,722 | — | 673,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 62 | 673,722 | 0 | 673,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Preferred Stock |
| |||||||||||||||
Electric | 1,744,665 | — | — | 1,744,665 | ||||||||||||
Oil & Gas | — | 118,000 | — | 118,000 | ||||||||||||
Semiconductors | 861,324 | — | — | 861,324 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Preferred Stock | 2,605,989 | 118,000 | — | 2,723,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks |
| |||||||||||||||
Diversified Financial Services | 223,717 | — | — | 223,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 223,717 | — | — | 223,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants |
| |||||||||||||||
Oil & Gas | 0 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 0 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments |
| |||||||||||||||
Certificates of Deposit | — | 1,641,414 | — | 1,641,414 | ||||||||||||
Investment Companies | — | 8,490,429 | — | 8,490,429 | ||||||||||||
Mutual Fund - Securities Lending Collateral | 11,009,922 | — | — | 11,009,922 | ||||||||||||
Sovereign Debt Obligations | — | 11,955,192 | — | 11,955,192 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 11,009,922 | 22,087,035 | — | 33,096,957 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | 759,721 | 586,314 | — | 1,346,035 | ||||||||||||
Futures Contracts† |
| |||||||||||||||
Buys | 127,392 | — | — | 127,392 | ||||||||||||
Sales | 613,813 | — | — | 613,813 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 741,205 | — | — | 741,205 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps |
| |||||||||||||||
OTC Interest Rate Swaps | — | 41,683 | — | 41,683 | ||||||||||||
Centrally Cleared Interest Rate Swaps† | — | 361,049 | — | 361,049 | ||||||||||||
OTC Credit Default Swaps | — | 944,755 | — | 944,755 | ||||||||||||
Centrally Cleared Credit Default Swaps† | — | 19,617 | — | 19,617 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | 1,367,104 | — | 1,367,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | 4,755,276 | — | 4,755,276 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 4,755,276 | — | 4,755,276 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 15,340,616 | $ | 810,212,903 | $ | 0 | $ | 825,553,519 | ||||||||
|
|
|
|
|
|
|
|
200
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† |
| |||||||||||||||
Buys | $ | (272,265 | ) | $ | — | $ | — | $ | (272,265 | ) | ||||||
Sales | (137,041 | ) | — | — | (137,041 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (409,306 | ) | — | — | (409,306 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps |
| |||||||||||||||
OTC Interest Rate Swaps | — | (609,311 | ) | — | (609,311 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps† | — | (4,926,737 | ) | — | (4,926,737 | ) | ||||||||||
OTC Credit Default Swaps | — | (1,183,377 | ) | — | (1,183,377 | ) | ||||||||||
Centrally Cleared Credit Default Swaps† | — | (114,320 | ) | — | (114,320 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | (6,833,745 | ) | — | (6,833,745 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | — | (4,936,316 | ) | — | (4,936,316 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (4,936,316 | ) | — | (4,936,316 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Written Options | (16,298 | ) | (88,637 | ) | — | (104,935 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (425,604 | ) | $ | (11,858,698 | ) | $ | — | $ | (12,284,302 | ) | |||||
|
|
|
|
|
|
|
|
** | Represents one or more Level 3 securities at $0 value as of September 30, 2019. |
† | Forward foreign currency contracts, 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. |
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 | $ | 18,266,820 | $ | — | $ | — | $ | 18,266,820 | ||||||||
Brazil | 72,173,637 | 2,241 | — | 72,175,878 | ||||||||||||
Cayman Islands | 151,255,496 | — | — | 151,255,496 | ||||||||||||
Chile | 2,796,422 | — | — | 2,796,422 | ||||||||||||
China | 120,868,426 | 822,629 | — | 121,691,055 | ||||||||||||
Colombia | 760,754 | 312,565 | — | 1,073,319 | ||||||||||||
Cyprus | 886,795 | — | — | 886,795 | ||||||||||||
Czech Republic | 464,258 | — | — | 464,258 | ||||||||||||
France | 3,310,083 | — | — | 3,310,083 |
201
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Greece | $ | 3,217,586 | $ | — | $ | — | $ | 3,217,586 | ||||||||
Hong Kong | 30,261,927 | — | — | 30,261,927 | ||||||||||||
Hungary | 2,703,804 | — | — | 2,703,804 | ||||||||||||
India | 112,325,508 | 101,747 | — | 112,427,255 | ||||||||||||
Indonesia | 25,430,428 | — | — | 25,430,428 | ||||||||||||
Japan | 5,635,875 | — | — | 5,635,875 | ||||||||||||
Luxembourg | 673,415 | — | — | 673,415 | ||||||||||||
Malaysia | 8,412,001 | — | — | 8,412,001 | ||||||||||||
Mexico | 26,543,340 | — | — | 26,543,340 | ||||||||||||
Netherlands | 4,364,203 | — | — | 4,364,203 | ||||||||||||
Papua New Guinea | 2,182,769 | — | — | 2,182,769 | ||||||||||||
Philippines | 4,046,071 | 822 | — | 4,046,893 | ||||||||||||
Poland | 5,197,313 | — | — | 5,197,313 | ||||||||||||
Russia | 25,190,348 | — | — | 25,190,348 | ||||||||||||
Singapore | 4,392,819 | — | — | 4,392,819 | ||||||||||||
South Africa | 30,992,678 | 30,388 | — | 31,023,066 | ||||||||||||
South Korea | 75,587,547 | 52,284 | — | 75,639,831 | ||||||||||||
Spain | 106,517 | — | — | 106,517 | ||||||||||||
Switzerland | 3,136,243 | — | — | 3,136,243 | ||||||||||||
Taiwan | 109,740,469 | 29,398 | — | 109,769,867 | ||||||||||||
Thailand | 8,348,351 | 14,869,571 | — | 23,217,922 | ||||||||||||
Turkey | 4,464,794 | — | — | 4,464,794 | ||||||||||||
United Arab Emirates | 2,028,939 | — | — | 2,028,939 | ||||||||||||
United Kingdom | 9,341,652 | — | — | 9,341,652 | ||||||||||||
United States | 12,705,821 | — | — | 12,705,821 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 887,813,109 | 16,221,645 | — | 904,034,754 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks |
| |||||||||||||||
Brazil | 12,199,740 | — | — | 12,199,740 | ||||||||||||
Colombia | 220,857 | — | — | 220,857 | ||||||||||||
Germany | 1,357,481 | — | — | 1,357,481 | ||||||||||||
South Korea | 4,233,928 | 6,170 | — | 4,240,098 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 18,012,006 | 6,170 | — | 18,018,176 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights |
| |||||||||||||||
Hong Kong | — | 0 | * | — | — | |||||||||||
Thailand | — | 10,728 | — | 10,728 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | — | 10,728 | — | 10,728 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Corporate Debt |
| |||||||||||||||
India | — | 19,528 | — | 19,528 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Debt | — | 19,528 | — | 19,528 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments |
| |||||||||||||||
Mutual Fund - Securities Lending Collateral | 5,144,730 | — | — | 5,144,730 | ||||||||||||
U.S. Government and Agency Obligations | — | 2,987,229 | — | 2,987,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 5,144,730 | 2,987,229 | — | 8,131,959 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 910,969,845 | $ | 19,245,300 | $ | — | $ | 930,215,145 | ||||||||
|
|
|
|
|
|
|
|
202
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† |
| |||||||||||||||
Buys | $ | (1,006,047 | ) | $ | — | $ | — | $ | (1,006,047 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (1,006,047 | ) | — | — | (1,006,047 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,006,047 | ) | $ | — | $ | — | $ | (1,006,047 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of September 30, 2019. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Global Low Volatility
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 13,030,070 | $ | — | $ | — | $ | 13,030,070 | ||||||||
Austria | 4,891,765 | — | — | 4,891,765 | ||||||||||||
Belgium | 3,716,043 | — | — | 3,716,043 | ||||||||||||
Bermuda | 20,501,253 | 19,634 | — | 20,520,887 | ||||||||||||
Canada | 63,169,570 | — | — | 63,169,570 | ||||||||||||
Denmark | 2,550,852 | — | — | 2,550,852 | ||||||||||||
Finland | 2,655,187 | — | — | 2,655,187 | ||||||||||||
France | 44,839,371 | — | — | 44,839,371 | ||||||||||||
Germany | 16,600,868 | — | — | 16,600,868 | ||||||||||||
Hong Kong | 19,716,014 | — | — | 19,716,014 | ||||||||||||
Ireland | 20,154,438 | — | — | 20,154,438 | ||||||||||||
Israel | 6,491,488 | — | — | 6,491,488 | ||||||||||||
Italy | 1,693,622 | — | — | 1,693,622 | ||||||||||||
Japan | 51,496,574 | — | — | 51,496,574 | ||||||||||||
Liberia | 1,180,580 | — | — | 1,180,580 | ||||||||||||
Luxembourg | 2,842,447 | — | — | 2,842,447 | ||||||||||||
Netherlands | 12,087,105 | — | — | 12,087,105 | ||||||||||||
New Zealand | 5,550,424 | — | — | 5,550,424 | ||||||||||||
Norway | 6,099,673 | — | — | 6,099,673 | ||||||||||||
Panama | 1,272,342 | — | — | 1,272,342 | ||||||||||||
Portugal | 278,792 | — | — | 278,792 | ||||||||||||
Puerto Rico | 2,276,768 | — | — | 2,276,768 | ||||||||||||
Singapore | 6,807,252 | 24,508 | — | 6,831,760 | ||||||||||||
Spain | 9,652,143 | — | — | 9,652,143 | ||||||||||||
Sweden | 15,320,018 | — | — | 15,320,018 | ||||||||||||
Switzerland | 37,937,435 | — | — | 37,937,435 |
203
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
United Kingdom | $ | 54,293,534 | $ | — | $ | — | $ | 54,293,534 | ||||||||
United States | 588,944,806 | — | — | 588,944,806 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,016,050,434 | 44,142 | — | 1,016,094,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | 178,766 | — | — | 178,766 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 178,766 | — | — | 178,766 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Mutual Fund - Securities Lending Collateral | 3,904,449 | — | — | 3,904,449 | ||||||||||||
U.S. Government and Agency Obligations | — | 2,183,054 | — | 2,183,054 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 3,904,449 | 2,183,054 | — | 6,087,503 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 164 | — | — | 164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 164 | — | — | 164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,020,133,813 | $ | 2,227,196 | $ | — | $ | 1,022,361,009 | ||||||||
|
|
|
|
|
|
|
|
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 | $ | (298,211 | ) | $ | — | $ | — | $ | (298,211 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (298,211 | ) | — | — | (298,211 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (298,211 | ) | $ | — | $ | — | $ | (298,211 | ) | ||||||
|
|
|
|
|
|
|
|
† | 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. |
Investments in Derivative Instruments
At September 30, 2019 and during the period then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:
Large Cap
LIABILITY DERIVATIVES |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (182,529 | ) | $ | (182,529 | ) | ||
|
|
|
| |||||
Total Value | $ | (182,529 | ) | $ | (182,529 | ) | ||
|
|
|
|
204
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
NET REALIZED GAIN (LOSS) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(7) | $ | 1,204,470 | $ | 1,204,470 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 1,204,470 | $ | 1,204,470 | ||||
|
|
|
| |||||
CHANGE IN APPRECIATION (DEPRECIATION) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(12) | $ | (359,762 | ) | $ | (359,762 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (359,762 | ) | $ | (359,762 | ) | ||
|
|
|
| |||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts | 107 | 107 |
Small/Mid Cap
LIABILITY DERIVATIVES |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (794,429 | ) | $ | (794,429 | ) | ||
|
|
|
| |||||
Total Value | $ | (794,429 | ) | $ | (794,429 | ) | ||
|
|
|
| |||||
NET REALIZED GAIN (LOSS) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(7) | $ | 1,433,687 | $ | 1,433,687 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 1,433,687 | $ | 1,433,687 | ||||
|
|
|
| |||||
CHANGE IN APPRECIATION (DEPRECIATION) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts(12) | $ | (1,150,209 | ) | $ | (1,150,209 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (1,150,209 | ) | $ | (1,150,209 | ) | ||
|
|
|
| |||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16) |
| |||||||
Equity Risk | Total | |||||||
Futures Contracts | 282 | 282 |
Non-US Core Equity
ASSET DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(2) | $ | 390,260 | $ | — | $ | 390,260 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | 390,260 | $ | — | $ | 390,260 | ||||||
|
|
|
|
|
|
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
LIABILITY DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (761,595 | ) | $ | (761,595 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (761,595 | ) | $ | (761,595 | ) | ||||
|
|
|
|
|
| |||||||
NET REALIZED GAIN (LOSS) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(7) | $ | — | $ | 3,628,411 | $ | 3,628,411 | ||||||
Forward Foreign Currency Contracts(6) | (547,439 | ) | — | (547,439 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (547,439 | ) | $ | 3,628,411 | $ | 3,080,972 | |||||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(12) | $ | — | $ | (2,135,921 | ) | $ | (2,135,921 | ) | ||||
Forward Foreign Currency Contracts(11) | 348,173 | — | 348,173 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 348,173 | $ | (2,135,921 | ) | $ | (1,787,748 | ) | ||||
|
|
|
|
|
| |||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | — | 1,148 | 1,148 | |||||||||
Forward Foreign Currency Contracts | (20,370,886 | ) | — | (20,370,886 | ) |
Core Fixed
ASSET DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | 420,531 | $ | 420,531 | ||||||
Forward Foreign Currency Contracts(2) | 5,204 | — | 5,204 | |||||||||
Centrally Cleared Swap Contracts** | — | 99,359 | 99,359 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 5,204 | $ | 519,890 | $ | 525,094 | ||||||
|
|
|
|
|
| |||||||
LIABILITY DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (363,425 | ) | $ | (363,425 | ) | ||||
Forward Foreign Currency Contracts(4) | (36 | ) | — | (36 | ) | |||||||
Centrally Cleared Swap Contracts** | — | (2,301,465 | ) | (2,301,465 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (36 | ) | $ | (2,664,890 | ) | $ | (2,664,926 | ) | |||
|
|
|
|
|
|
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
NET REALIZED GAIN (LOSS) |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Options Purchased(8) | $ | — | $ | (121,984 | ) | $ | (121,984 | ) | ||||
Options Written(9) | — | 52,538 | 52,538 | |||||||||
Swaps Contracts(10) | — | (74,203 | ) | (74,203 | ) | |||||||
Futures Contracts(7) | — | 3,933,255 | 3,933,255 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | — | $ | 3,789,606 | $ | 3,789,606 | ||||||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION) |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Options Purchased(13) | $ | — | $ | (1,489 | ) | $ | (1,489 | ) | ||||
Options Written(14) | — | 133 | 133 | |||||||||
Swaps Contracts(15) | — | (1,917,868 | ) | (1,917,868 | ) | |||||||
Futures Contracts(12) | — | (1,047,807 | ) | (1,047,807 | ) | |||||||
Forward Foreign Currency Contracts(11) | 5,168 | — | 5,168 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 5,168 | $ | (2,967,031 | ) | $ | (2,961,863 | ) | ||||
|
|
|
|
|
| |||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16) |
| |||||||||||
Foreign Currency Risk | Interest Rate Risk | Total | ||||||||||
Options Purchased | — | 532,200 | 532,200 | |||||||||
Options Written | — | (449,000 | ) | (449,000 | ) | |||||||
Swaps Contracts | — | 60,550,767 | 60,550,767 | |||||||||
Futures Contracts | — | 658 | 658 | |||||||||
Forward Foreign Currency Contracts | (336,704 | ) | — | (336,704 | ) |
Opportunistic Fixed
ASSET DERIVATIVES |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(1) | $ | 83,664 | $ | 502,650 | $ | 6,375 | $ | 753,346 | $ | 1,346,035 | ||||||||||
Futures Contracts(3) | — | — | 741,205 | — | 741,205 | |||||||||||||||
Forward Foreign Currency Contracts(2) | — | 4,755,276 | — | — | 4,755,276 | |||||||||||||||
OTC Swaps Contracts | 944,755 | — | 41,683 | — | 986,438 | |||||||||||||||
Centrally Cleared Swap Contracts** | 19,617 | — | 361,049 | — | 380,666 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | 1,048,036 | $ | 5,257,926 | $ | 1,150,312 | $ | 753,346 | $ | 8,209,620 | ||||||||||
|
|
|
|
|
|
|
|
|
|
207
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Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
LIABILITY DERIVATIVES |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Options Written(5) | $ | — | $ | (88,637 | ) | $ | (938 | ) | $ | (15,360 | ) | $ | (104,935 | ) | ||||||
Futures Contracts(3) | — | — | (409,306 | ) | — | (409,306 | ) | |||||||||||||
Forward Foreign Currency Contracts(4) | — | (4,936,316 | ) | — | — | (4,936,316 | ) | |||||||||||||
OTC Swaps Contracts | (1,183,377 | ) | — | (609,311 | ) | — | (1,792,688 | ) | ||||||||||||
Centrally Cleared Swap Contracts** | (114,320 | ) | — | (4,926,737 | ) | — | (5,041,057 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (1,297,697 | ) | $ | (5,024,953 | ) | $ | (5,946,292 | ) | $ | (15,360 | ) | $ | (12,284,302 | ) | |||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET REALIZED GAIN (LOSS) |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(8) | $ | (927,071 | ) | $ | (1,497,999 | ) | $ | 209,263 | $ | (1,661,020 | ) | $ | (3,876,827 | ) | ||||||
Options Written(9) | 259,477 | 465,923 | 131,196 | 2,276 | 858,872 | |||||||||||||||
Swaps Contracts(10) | (3,324,630 | ) | — | (768,230 | ) | — | (4,092,860 | ) | ||||||||||||
Futures Contracts(7) | — | — | (76,183 | ) | — | (76,183 | ) | |||||||||||||
Forward Foreign Currency Contracts(6) | — | 2,783,312 | — | — | 2,783,312 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (3,992,224 | ) | $ | 1,751,236 | $ | (503,954 | ) | $ | (1,658,744 | ) | $ | (4,403,686 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
CHANGE IN APPRECIATION (DEPRECIATION) |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(13) | $ | 286,857 | $ | 336,901 | $ | 167,081 | $ | 53,936 | $ | 844,775 | ||||||||||
Options Written(14) | (12,112 | ) | 35,610 | 17,438 | 23,474 | 64,410 | ||||||||||||||
Swaps Contracts(15) | 160,740 | — | (3,063,696 | ) | — | (2,902,956 | ) | |||||||||||||
Futures Contracts(12) | — | — | 604,577 | — | 604,577 | |||||||||||||||
Forward Foreign Currency Contracts(11) | — | 281,278 | — | — | 281,278 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | 435,485 | $ | 653,789 | $ | (2,274,600 | ) | $ | 77,410 | $ | (1,107,916 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16) |
| |||||||||||||||||||
Credit Risk | Foreign Currency Risk | Interest Rate Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased | 79,563,911 | 58,502,001 | 460,333 | 265,400 | 138,791,645 | |||||||||||||||
Options Written | (64,927,916 | ) | (22,382,167 | ) | (18,500 | ) | (3,433 | ) | (87,332,016 | ) | ||||||||||
Swaps Contracts | 127,426,731 | — | 164,540,521 | — | 291,967,252 | |||||||||||||||
Futures Contracts | — | — | 1,169 | — | 1,169 | |||||||||||||||
Forward Foreign Currency Contracts | — | (84,744,506 | ) | — | — | (84,744,506 | ) |
208
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
Emerging Markets
LIABILITY DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (1,006,047 | ) | $ | (1,006,047 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (1,006,047 | ) | $ | (1,006,047 | ) | ||||
|
|
|
|
|
| |||||||
NET REALIZED GAIN (LOSS) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(7)†† | $ | — | $ | (1,494,217 | ) | $ | (1,494,217 | ) | ||||
Forward Foreign Currency Contracts(6) | 5,082,506 | — | 5,082,506 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 5,082,506 | $ | (1,494,217 | ) | $ | 3,588,289 | |||||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(12)†† | $ | — | $ | (1,596,487 | ) | $ | (1,596,487 | ) | ||||
Forward Foreign Currency Contracts(11) | (1,680,667 | ) | — | (1,680,667 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (1,680,667 | ) | $ | (1,596,487 | ) | $ | (3,277,154 | ) | |||
|
|
|
|
|
| |||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts†† | — | 7,699,843 | 7,699,843 | |||||||||
Forward Foreign Currency Contracts | 14,264,919 | — | 14,264,919 |
Global Low Volatility
ASSET DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | 164 | $ | 164 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | 164 | $ | 164 | ||||||
|
|
|
|
|
| |||||||
LIABILITY DERIVATIVES |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | (3,557 | ) | $ | (294,654 | ) | $ | (298,211 | ) | |||
|
|
|
|
|
| |||||||
Total Value | $ | (3,557 | ) | $ | (294,654 | ) | $ | (298,211 | ) | |||
|
|
|
|
|
|
209
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
NET REALIZED GAIN (LOSS) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(7) | $ | 11,630 | $ | 2,779,498 | $ | 2,791,128 | ||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 11,630 | $ | 2,779,498 | $ | 2,791,128 | ||||||
|
|
|
|
|
| |||||||
CHANGE IN APPRECIATION (DEPRECIATION) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts(12) | $ | (1,702 | ) | $ | (921,718 | ) | $ | (923,420 | ) | |||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (1,702 | ) | $ | (921,718 | ) | $ | (923,420 | ) | |||
|
|
|
|
|
| |||||||
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16) |
| |||||||||||
Foreign Currency Risk | Equity Risk | Total | ||||||||||
Futures Contracts | 16 | 280 | 296 |
** | Centrally Cleared Swaps are valued at unrealized appreciation/depreciation on the Schedule of Investments. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities. |
† | Includes Cross Currency Foreign Currency Contracts. |
†† | Includes Synthetic Futures. |
(1) | Statements of Assets and Liabilities location: Investments, at value. |
(2) | Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
(3) | Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(5) | Statements of Assets and Liabilities location: Written options, at value. |
(6) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts. |
(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 Purchased option contracts. |
(9) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Written option contracts. |
(10) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts. |
(11) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts. |
(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 Purchased option contracts. |
210
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
(14) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Written option contracts. |
(15) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Swap contracts. |
(16) | Amounts disclosed represent average number of contracts, notional amounts, or shares outstanding for the time period that the Fund held such derivatives during the period ended September 30, 2019. |
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, asub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with certain collateral held and/or posted and create a net payment. The provisions of the ISDA Master Agreement typically permit a net payment in the event of default including the bankruptcy or insolvency of the counterparty. Absent an event of default by the counterparty or termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash collateral held at broker or cash collateral due to broker, respectively.Non-cash collateral pledged by or received by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell,re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterpartynon-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.
211
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
The Funds are required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowings transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Funds’ derivative assets and liabilities at fair value by risk are presented in the tables above. For financial reporting purposes the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of related collateral received by the Funds for assets or pledged by the Funds for liabilities as of September 30, 2019.
Non-US Core Equity
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Cash Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
JPMorgan Chase Bank N.A. | $ | 390,260 | $ | — | $ | — | $ | 390,260 | ||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 390,260 | $ | — | $ | — | $ | 390,260 | |||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Core Fixed
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Cash Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
JPMorgan Chase Bank N.A. | $ | 5,204 | $ | (36 | ) | $ | — | $ | 5,168 | |||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,204 | $ | (36 | ) | $ | — | $ | 5,168 | ||||||||
|
|
|
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|
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Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Cash Collateral Pledged* | Net Amount of Derivative Liabilities(b) | ||||||||||||
JPMorgan Chase Bank N.A. | $ | (36 | ) | $ | 36 | $ | — | $ | — | |||||||
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| |||||||||
$ | (36 | ) | $ | 36 | $ | — | $ | — | ||||||||
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|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
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September 30, 2019 (Unaudited)
Opportunistic Fixed
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Cash Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Bank of America N.A. | $ | 42,564 | $ | (42,564 | ) | $ | — | $ | — | |||||||
Barclays Bank Plc | 330,230 | (258,866 | ) | (40,000 | ) | 31,364 | ||||||||||
BNP Paribas S.A. | 295,703 | (240,278 | ) | — | 55,425 | |||||||||||
Citibank N.A. | 681,500 | (681,500 | ) | — | — | |||||||||||
Citigroup Global Markets Inc. | 702,745 | — | — | 702,745 | ||||||||||||
Credit Suisse International | 79,460 | (79,460 | ) | — | — | |||||||||||
Deutsche Bank AG | 132,661 | (56,853 | ) | — | 75,808 | |||||||||||
Goldman Sachs & Co. | 21,440 | (3,141 | ) | — | 18,299 | |||||||||||
Goldman Sachs International | 54,904 | (54,904 | ) | — | — | |||||||||||
HSBC Bank Plc | 180,535 | (142,444 | ) | (30,000 | ) | 8,091 | ||||||||||
HSBC Bank USA, N.A. | 696,683 | (309,649 | ) | — | 387,034 | |||||||||||
JPMorgan Chase Bank N.A. | 2,140,197 | (2,140,197 | ) | — | — | |||||||||||
Morgan Stanley & Co. | 1,081,676 | (671,897 | ) | (409,779 | ) | — | ||||||||||
Natwest Markets Plc | 18,131 | (18,131 | ) | — | — | |||||||||||
State Street Bank London | 214,447 | (44,071 | ) | — | 170,376 | |||||||||||
Toronto Dominion Bank | 34,806 | (4,415 | ) | — | 30,391 | |||||||||||
UBS AG | 36,601 | (18,836 | ) | — | 17,765 | |||||||||||
UBS Securities LLC | 266,145 | (88,637 | ) | — | 177,508 | |||||||||||
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| |||||||||
$ | 7,010,428 | $ | (4,855,843 | ) | $ | (479,779 | ) | $ | 1,674,806 | |||||||
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|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Cash Collateral Pledged* | Net Amount of Derivative Liabilities(b) | ||||||||||||
Bank of America N.A. | $ | (320,128 | ) | $ | 42,564 | $ | 277,564 | $ | — | |||||||
Barclays Bank Plc | (258,866 | ) | 258,866 | — | — | |||||||||||
BNP Paribas S.A. | (240,278 | ) | 240,278 | — | — | |||||||||||
Citibank N.A. | (761,088 | ) | 681,500 | 79,588 | — | |||||||||||
Credit Suisse International | (114,557 | ) | 79,460 | — | (35,097 | ) | ||||||||||
Deutsche Bank AG | (56,853 | ) | 56,853 | — | — | |||||||||||
Goldman Sachs & Co. | (3,141 | ) | 3,141 | — | — | |||||||||||
Goldman Sachs International | (167,655 | ) | 54,904 | — | (112,751 | ) | ||||||||||
HSBC Bank Plc | (142,444 | ) | 142,444 | — | — | |||||||||||
HSBC Bank USA, N.A. | (309,649 | ) | 309,649 | — | — | |||||||||||
HSBC Sec. New York | (454,762 | ) | — | 50,000 | (404,762 | ) | ||||||||||
JPMorgan Chase Bank N.A. | (2,965,452 | ) | 2,140,197 | 825,255 | — | |||||||||||
Merrill Lynch Capital Services, Inc. | (130,392 | ) | — | — | (130,392 | ) | ||||||||||
Morgan Stanley & Co. | (671,897 | ) | 671,897 | — | — |
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Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Cash Collateral Pledged* | Net Amount of Derivative Liabilities(b) | ||||||||||||
Natwest Markets Plc | $ | (64,520 | ) | $ | 18,131 | $ | — | $ | (46,389 | ) | ||||||
State Street Bank London | (44,071 | ) | 44,071 | — | — | |||||||||||
Toronto Dominion Bank | (4,415 | ) | 4,415 | — | — | |||||||||||
UBS AG | (18,836 | ) | 18,836 | — | — | |||||||||||
UBS Securities LLC | (88,637 | ) | 88,637 | — | — | |||||||||||
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| |||||||||
$ | (6,817,641 | ) | $ | 4,855,843 | $ | 1,232,407 | $ | (729,391 | ) | |||||||
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|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
(b) Security transactions and related investment income
Security transactions are accounted for on trade date. Dividend income, net of applicable withholding taxes, is recorded on theex-dividend date or when the Fund is informed of theex-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, cash equivalents and short term investments
A Fund may invest a portion of its assets in cash and cash equivalents. Cash and cash equivalents are defined as cash and bank balances as well as short-term investments with a maturity of less than three months from the acquisition date.
A Fund may invest a portion of its assets in short-term debt securities (including repurchase agreements and reverse repurchase agreements) of corporations, the U.S. government and its agencies and instrumentalities and banks and finance companies, which may be denominated in any currency.
A Fund may invest a portion of its assets in shares issued by money market mutual funds. A Fund also may invest in collective investment vehicles that are managed by an unaffiliated investment manager, pending investment of the Fund’s assets in portfolio securities. When unusual market conditions warrant, a Fund may make substantial temporary defensive investments in cash equivalents, up to a maximum of 100% of the Fund’s net assets. Cash equivalent holdings may be in any currency. When a Fund invests for temporary defensive purposes, such investments may affect the Fund’s ability to achieve its investment objective.
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(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. andnon-U.S. securities, cash equivalents or irrevocable letters of credit. A liability for cash collateral is reflected in the Statements of Assets and Liabilities, and is categorized as Level 2 within the fair value hierarchy. As with other extensions of credit, there are risks of delay in recovery or even loss of rights in collateral in the event of default or insolvency of a borrower of a Fund’s portfolio securities. A Fund may not retain voting rights on securities while they are on loan.
Certain Funds may from time to time participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”) acting as securities lending agent, is authorized to lend Fund portfolio securities to qualified broker/dealers and financial institutions that post appropriate collateral. The Custodian has agreed to indemnify the Funds in case of default of any security borrower.
Securities on loan are fully collateralized and the collateral was equal to or exceeded the securities on loan at September 30, 2019. If the market value of the collateral at the close of trading on a business day is less than 100% of the market value of the loaned securities at the close of trading on that day, the borrower shall be required to deliver, by the close of business on the following business day, an additional amount of collateral, so that the total amount of posted collateral is equal to at least 100% of the market value of all the loaned securities as of such preceding day. Cash collateral is invested in the State Street Institutional U.S. Government Money Market Fund, Premier Class. The Custodian receives a portion of the interest earned on any reinvested collateral. The market value of securities on loan to borrowers and the value of collateral held by the Funds with respect to such loans at September 30, 2019 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap | $ | 6,361,070 | $ | 2,154,542 | $ | 4,344,475 | ||||||
Small/Mid Cap | 61,576,646 | 9,951,786 | 52,439,586 | |||||||||
Non-US Core Equity | 92,710,134 | 28,117,174 | 70,194,819 | |||||||||
Core Fixed | 12,366,474 | 4,091,940 | 8,530,538 | |||||||||
Opportunistic Fixed | 16,641,670 | 11,009,922 | 5,992,740 | |||||||||
Emerging Markets | 17,986,911 | 5,144,730 | 13,987,209 | |||||||||
Global Low Volatility | 20,208,654 | 3,904,449 | 17,210,440 |
For Large Cap, Small/Mid Cap, Emerging Markets and Global Low Volatility, all of the securities on loan collateralized by cash are classified as Common Stocks in each Fund’s Schedule of Investments at September 30, 2019, with a contractual maturity of overnight and continuous. For Core Fixed, all of the securities on loan collateralized by cash are classified as Corporate Debt in the Fund’s Schedule of Investments at September 30, 2019, with a contractual maturity of overnight and continuous.
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September 30, 2019 (Unaudited)
ForNon-US Core Equity and Opportunistic Fixed, the values of the security loan obligations are classified as follows at September 30, 2019:
Non-US Core Equity
Remaining Contractual Maturity of the Agreements As of September 30, 2019 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 28,067,345 | $ | — | $ | — | $ | — | $ | 28,067,345 | ||||||||||
Rights | 49,829 | — | — | — | 49,829 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 28,117,174 | $ | — | $ | — | $ | — | $ | 28,117,174 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 28,117,174 | $ | — | $ | — | $ | — | $ | 28,117,174 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 28,117,174 | |||||||||||||||||
|
|
Opportunistic Fixed
Remaining Contractual Maturity of the Agreements As of September 30, 2019 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Corporate Debt | $ | 5,411,805 | $ | — | $ | — | $ | — | $ | 5,411,805 | ||||||||||
Preferred Stocks | 10,748 | — | — | — | 10,748 | |||||||||||||||
U.S. Government and Agency Obligations | 5,587,369 | — | — | — | 5,587,369 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 11,009,922 | $ | — | $ | — | $ | — | $ | 11,009,922 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 11,009,922 | $ | — | $ | — | $ | — | $ | 11,009,922 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 11,009,922 | |||||||||||||||||
|
|
(e) Swaps
Swap contracts are derivatives in the form of a contract or similar instrument, which is an agreement to exchange the return generated by one instrument for the return generated by another instrument. A Fund may engage in swaps, including, but not limited to, interest rate, currency, credit default, 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.Up-front payments received or made are reflected as“up-front net premiums received” or“up-front net premiums paid”, respectively, on the Statement of Assets and Liabilities. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.
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September 30, 2019 (Unaudited)
The credit default swap agreements may have as reference obligations one or more securities that are not currently held by a Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” an upfront or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If a Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
The spread of a credit default swap is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the notional amount. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit worthiness and an increased market perception that there is a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, as well as the annual payment rates, serve as an indication of the current status of the payment/performance risk.
Swaps do not involve the delivery of securities or other underlying assets or principal, and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive.
The equity swaps in which the Funds may invest involve agreements with a counterparty. The return to the Funds on any equity swap contract will be the total return on the notional amount of the contract as if it were invested in the stocks comprising the contract index in exchange for an interest component based on the notional amount of the agreement. The Funds will only enter into an equity swap contract on a net basis,i.e., the two parties’ obligations are netted out, with the Funds paying or receiving, as the case may be, only the net amount of the payments. Payments under an equity swap contract may be made at the conclusion of the contract or periodically during its term.
Whether a Fund’s use of swap agreements or swap options will be successful in achieving the Fund’s investment objective will depend on the Subadvisor’s ability to predict correctly whether certain types of investments are likely to produce greater returns than other investments. Moreover, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Funds will enter into swap agreements only with counterparties that meet certain standards of creditworthiness.
If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that a swap contract counterparty will be able to meet its obligations pursuant to a swap contract or that, in the event of a default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it
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September 30, 2019 (Unaudited)
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. The Subadvisor that enters into the swap agreementwill closely monitor, subject to the oversight of the Board, the creditworthiness of swap counterparties in order to minimize the counterparty risk of swaps.
Because swaps are two party contracts that may be subject to contractual restrictions on transferability and termination, and they may have terms of greater than seven days, swap agreements may be considered to be illiquid and subject to a Fund’s limitation on investments in illiquid securities. However, the Trust has adopted procedures pursuant to which the Advisor may determine that swaps (including swap options) are liquid under certain circumstances. To the extent that a swap is not liquid, it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price, which may result in significant losses.
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 certain swap transactions to be executed on registered exchanges or through swap execution facilities, cleared through a regulated clearinghouse, and publicly reported. In addition, many market participants who were not previously required to register are regulated as swap dealers or swap participants, and are subject to certain minimum capital and margin requirements and business conduct standards.
The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Funds’ ability to terminate existing swap agreements or to realize amounts to be received under such agreements.
Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty.
The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Cash margin is recorded on the Statements of Assets and Liabilities as cash collateral held at broker on open swap contracts. Swap agreements are marked to market daily. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin payable or receivable 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 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).
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Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.
The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.
The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Advisor or Subadvisor is incorrect in its forecasts of market values, interest rates, and currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if this investment technique were not used.
Like most other investments, swap agreements are subject to the risk that the market value of the instrument will change in a way detrimental to a Fund’s interest. A Fund bears the risk that Subadvisor will not accurately forecast future market trends or the values of assets, reference rates, indexes, or other economic factors in establishing swap positions for the Fund. If a Subadvisor attempts to use a swap as a hedge against, or as a substitute for, a portfolio investment, the Fund will be exposed to the risk that the swap will have or will develop imperfect or no correlation with the portfolio investment. This could cause substantial losses for the Fund. While hedging strategies involving swap instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.
During the period ended September 30, 2019, Core Fixed and Opportunistic Fixed used swap agreements to adjust interest rate and yield curve exposure or to manage credit exposure. See the Core Fixed and Opportunistic Fixed Schedules of Investments for a listing of open swap agreements as of September 30, 2019.
(f) Futures
A futures contract is a contractual agreement to buy or sell a specific amount of a commodity or financial instrument at a predetermined price on a stipulated future date. A Fund may enter into contracts for the purchase or sale for future delivery of securities, indices and foreign currencies. Futures contracts may be opened to protect against the adverse effects of fluctuations in security prices, interest rates, or foreign exchange rates without actually buying or selling the securities or foreign currency. A Fund also may enter into futures contracts as a low cost method for gaining or reducing exposure to a particular currency or securities market without directly investing in those currencies or securities.
A purchase of a futures contract means the acquisition of a contractual right of a Fund to obtain delivery of the securities or foreign currency underlying the contract at a specified price on a specified future date. When a futures contract is sold, a Fund incurs a contractual obligation to deliver the securities or foreign currency underlying the contract at a specified price on a specified date.
When a Fund enters into a futures contract, it must deliver to the futures commission merchant selected by the Fund an amount referred to as “initial margin.” This amount is maintained by the futures
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September 30, 2019 (Unaudited)
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 subject to the futures contracts, and the change in value is recorded by the Fund as a variation margin payable or receivable on the Statements of Assets and Liabilities. The Fund recognizes gains and losses on futures contracts in addition to the variation margin, which gains and losses are considered realized at the time the contracts expire or close.
A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the 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 thenon-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 total return swap transaction in which there’s a commitment to receive positive or negative returns in exchange for equity index futures. If the underlying asset declines in value over the term of the total return swap, the Fund may also be required to pay the dollar value of that decline to the counterparty. These are marked to market daily and the change in value is recorded as unrealized gain or loss in the Statement of Operations.
During the period ended September 30, 2019, Large Cap, Small/Mid Cap,Non-US Core Equity, Emerging Markets and Global Low Volatility used futures to equitize cash. Core Fixed and Opportunistic Fixed used futures to adjust interest rate exposure and replicate government bond positions. Emerging Markets also used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See each Fund’s Schedule of Investments for a listing of open futures contracts as of September 30, 2019.
(g) Options
The Funds may purchase and sell (write) put and call options on debt securities, currencies and indices to enhance investment performance, manage duration, or protect against changes in market prices. The Funds may also buy and sell combinations of put and call options on the same underlying security, currency or index. Short (sold) options positions will generally be hedged by the Funds with cash, cash equivalents, current portfolio security holdings, or other options or futures positions.
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September 30, 2019 (Unaudited)
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 a liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option, it is exposed to a decline in the price of the underlying security.
Whether an option which the Fund has written expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.
The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Fund’s exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.
During the period ended September 30, 2019, Core Fixed and Opportunistic Fixed used options to manage interest rate and volatility exposure.
(h) Forward foreign currency contracts
The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk.
Forward foreign currency contracts are traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement and no commissions are charged at any stage for trades. The Funds will account for forward contracts bymarking-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.
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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’ssub-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. The primary risks associated with forward foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably.
During the period ended September 30, 2019, 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 and Emerging Markets used forward foreign currency contracts to hedge, cross hedge or to actively manage the currency exposures in the Funds. See theNon-US Core Equity, Opportunistic Fixed and Emerging Markets Schedules of Investments for a listing of open forward foreign currency contracts as of September 30, 2019.
(i) Foreign currency translation
The books and records of each Fund are maintained in US dollars. Foreign currencies, investments and other assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.
(j) When-issued securities/TBA securities
Purchasing securities on a “when-issued” basis is a commitment by a Fund to buy a security before the security is actually issued. A Fund may purchase securities offered on a “when-issued” or “forward delivery” basis such as TBA securities. When so offered, the price, which is generally expressed in yield terms, is fixed at the time the commitment to purchase is made, but delivery and payment for the when-issued or forward delivery securities take place at a later date. During the period between purchase and settlement, no payment is made by the purchaser to the issuer and no interest on the when-issued or forward delivery security accrues to the purchaser. While when-issued or forward delivery securities may be sold prior to the settlement date, it is intended that a Fund will purchase such securities with the purpose of actually acquiring the securities unless a sale appears desirable for investment reasons. At the time a Fund makes the commitment to purchase a security on a when-issued or forward delivery basis, the Fund will record the transaction and reflect the value of the security in determining the Fund’s NAV.
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The market value of when-issued or forward delivery securities may be more or less than the purchase price. Certain risks may arise upon entering into when-issued or forward delivery securities transactions, including the potential inability of counterparties to meet the terms of their contracts, and the issuer’s failure to issue the securities due to political, economic, or other factors. Additionally, losses may arise due to declines in the value of the securities prior to settlement date.
A Fund may enter into TBA commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Portfolio’s other assets. TBA forward sale commitments are valued at the current market value of the underlying securities, according to the procedures described under “Security Valuation”.
See the Schedules of Investments for TBA and when-issued securities held as of September 30, 2019.
(k) Real estate investment trusts
The Funds may invest in real estate investment trusts (“REITs”), which pool investors’ funds for investment, primarily in income producing real estate or real estate-related loans or interests. A REIT is not taxed on income distributed to its shareholders or unitholders if it complies with regulatory requirements relating to its organization, ownership, assets and income, and with a regulatory requirement to distribute to its shareholders or unitholders at least 90% of its taxable income for each taxable year.
A shareholder in a Fund, by investing in REITs through the Fund, will bear not only the shareholder’s proportionate share of the expenses of the Fund, but also, indirectly, the management expenses of the underlying REITs. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self-liquidations. In addition, the performance of a REIT may be affected by its failure to qualify fortax-free pass-through of income, or the REIT’s failure to maintain exemption from registration under the 1940 Act.Dividends representing a return of capital are reflected as a reduction of cost and/or as a realized gain when the amount of the return of capital is conclusively determined. See each Fund’s Schedule of Investments for REIT securities held as of September 30, 2019.
(l) Mortgage-related and other asset-backed securities
The Funds may invest in mortgage-backed and asset-backed securities. Mortgage-backed securities represent an interest in a pool of mortgages. Asset-backed securities are structured like mortgage-backed securities, but instead of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property, and receivables from credit card agreements. The value of some mortgage or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal
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(the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedules of Investments for mortgage-backed and asset-backed securities held by Core Fixed and Opportunistic Fixed as of September 30, 2019.
(m) Bank loans
Core Fixed and Opportunistic Fixed may invest in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the ‘‘Lender’’) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement. At September 30, 2019, Opportunistic Fixed had the following unfunded loan commitments:
Borrower | Par | Cost | Value | Unrealized Gain (Loss) | ||||||||||||
Allied Universal Holdco LLC, 2019 Delayed Draw Term Loan | $ | 34,234 | $ | 34,001 | $ | 34,327 | $ | 326 | ||||||||
GlobalTranz Enterprises, Inc., 2019 Delayed Draw Term Loan | 63,590 | 62,381 | 61,300 | (1,081 | ) |
(n) Indexed securities
The Funds may invest in indexed securities where the redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Funds use indexed securities to increase or decrease their exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
(o) Taxes and distributions
The Funds intend to qualify each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“the Code”). The Funds intend to distribute substantially all of their net investment income and net realized short-term and long-term gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal and state income or excise tax is necessary.
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September 30, 2019 (Unaudited)
As of September 30, 2019, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments and derivatives were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Large Cap | $ | 317,909,664 | $ | 29,385,264 | $ | (11,477,718 | ) | $ | 17,907,546 | |||||||
Small/Mid Cap | 680,816,500 | 114,958,165 | (53,482,994 | ) | 61,475,171 | |||||||||||
Non-US Core Equity | 2,219,459,989 | 289,213,399 | (154,182,035 | ) | 135,031,364 | |||||||||||
Core Fixed | 698,737,023 | 24,196,195 | (6,984,863 | ) | 17,211,332 | |||||||||||
Opportunistic Fixed | 817,766,142 | 19,087,786 | (18,163,994 | ) | 923,792 | |||||||||||
Emerging Markets | 971,421,780 | 56,836,093 | (98,042,728 | ) | (41,206,635 | ) | ||||||||||
Global Low Volatility | 895,948,930 | 148,849,484 | (22,437,569 | ) | 126,411,915 |
The temporary differences between book-basis andtax-basis unrealized appreciation/(depreciation) are primarily due to wash sale loss deferrals, investments in passive foreign investment companies and other basis adjustments.
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.
(p) Allocation of expenses and income
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated among the applicable Funds, taking into consideration, among other things, the nature and type of expense and the relative size of each applicable Fund.
(q) Redemption fees
While none of the Funds’ classes have initial or contingent deferred sales charges on purchases of Fund shares, redemptions of Fund shares held less than 30 days may be assessed a 2% short-term trading fee and recorded aspaid-in capital.
3. | Credit agreement |
The Trust entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a committed, unsecured revolving line of credit through December 13, 2019. 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 or30-Day LIBOR plus 1.00%. The Funds did not borrow under the Agreement during the period ended September 30, 2019.
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4. | Indemnities |
In the normal course of business, the Funds enter into contracts that require them to provide a variety of representations or general indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
5. | Fees and other transactions with affiliates |
As of September 30, 2019, the Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Pursuant to the investment management agreement, each Fund pays the Advisor a fee for managing the Fund’s investments at an annual rate of:
Investment Advisory Fee* on Net Assets | ||||||||||||
Average net assets up to $750 million | Average net assets in excess of $750 million up to $1 billion | Average net assets in excess of $1 billion | ||||||||||
Large Cap | 0.53 | % | 0.51 | % | 0.46 | % | ||||||
Small/Mid Cap | 0.90 | % | 0.88 | % | 0.83 | % | ||||||
Non-US Core Equity | 0.75 | % | 0.73 | % | 0.68 | % | ||||||
Core Fixed | 0.35 | % | 0.33 | % | 0.28 | % | ||||||
Opportunistic Fixed | 0.80 | % | 0.78 | % | 0.73 | % | ||||||
Emerging Markets | 0.80 | % | 0.78 | % | 0.73 | % | ||||||
Global Low Volatility | 0.75 | % | 0.73 | % | 0.68 | % |
* | Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees. |
The Advisor has contractually agreed, until at least July 31, 2020, to waive any portion of its management fee that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Funds’ Subadvisors. This contractual fee waiver agreement may only be changed or eliminated with the approval of the Funds’ Board of Trustees. The fees waived by the Advisor pursuant to this agreement are not subject to reimbursement by the Funds to the Advisor.
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 Adviser Class, Class I andClass Y-2 shares of the Funds, for which the Advisor receives a fee of 0.25%, 0.25% and 0.15% of the average daily net assets of the Adviser Class, Class I andClass 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 overseeingnon-advisory relationships with entities providing services to the Adviser Class, Class I andClass Y-2 shares, including the transfer agent.
The Funds have adopted a plan of marketing and service, or“12b-1 plan” to finance the provision of certain shareholder services to the owners of Adviser Class shares of the Funds (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 Adviser Class shares.
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6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended September 30, 2019, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap | $ | — | $ | 245,994,396 | ||||
Small/Mid Cap | — | 285,540,192 | ||||||
Non-US Core Equity | — | 847,549,966 | ||||||
Core Fixed | 566,166,886 | * | 154,940,354 | |||||
Opportunistic Fixed | 176,193,197 | ** | 423,087,481 | |||||
Emerging Markets | — | 630,753,949 | ||||||
Global Low Volatility | — | 256,280,518 | ||||||
Sales | ||||||||
Large Cap | — | 297,668,481 | ||||||
Small/Mid Cap | — | 329,897,522 | ||||||
Non-US Core Equity | — | 610,153,812 | ||||||
Core Fixed | 489,897,853 | * | 82,890,073 | |||||
Opportunistic Fixed | 223,669,334 | ** | 350,808,831 | |||||
Emerging Markets | — | 598,960,795 | ||||||
Global Low Volatility | — | 186,606,338 |
* | Includes purchases of $56,620,007 and sales of $60,761,030 for TBA securities. |
** | Includes purchases of $5,542,031 and sales of $5,542,031 for TBA securities. |
7. | Share transactions |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows:
Large Cap
Six Months Ended September 30, 2019 | Year Ended March 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 1,476,761 | $ | 13,264,099 | 1,111,242 | $ | 9,300,085 | ||||||||||
Shares issued to shareholders in | — | — | 12,312,288 | 97,267,079 | ||||||||||||
Shares repurchased | (7,395,867 | ) | (64,958,447 | ) | (15,278,614 | ) | (154,193,839 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net decrease | (5,919,106 | ) | $ | (51,694,348 | ) | (1,855,084 | ) | $ | (47,626,675 | ) | ||||||
|
|
|
|
|
|
|
|
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Small/Mid Cap
Six Months Ended September 30, 2019 | Year Ended March 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 7,471,172 | $ | 76,957,340 | 9,955,444 | $ | 115,835,355 | ||||||||||
Shares issued to shareholders in | — | — | 14,532,788 | 134,114,544 | ||||||||||||
Shares repurchased | (11,566,088 | ) | (120,429,839 | ) | (19,938,961 | ) | (233,636,396 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (4,094,916 | ) | $ | (43,472,499 | ) | 4,549,271 | $ | 16,313,503 | ||||||||
|
|
|
|
|
|
|
|
Non-US Core Equity
Six Months Ended September 30, 2019 | Year Ended March 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 29,782,683 | $ | 296,477,473 | 36,986,983 | $ | 391,777,967 | ||||||||||
Shares issued to shareholders in | — | — | 23,739,781 | 218,880,784 | ||||||||||||
Shares repurchased | (7,406,543 | ) | (74,771,501 | ) | (29,969,109 | ) | (317,168,352 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 22,376,140 | $ | 221,705,972 | 30,757,655 | $ | 293,490,399 | ||||||||||
|
|
|
|
|
|
|
|
Core Fixed
Six Months Ended September 30, 2019 | Year Ended March 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 26,565,819 | $ | 267,854,583 | 11,872,441 | $ | 116,813,300 | ||||||||||
Shares issued to shareholders in | — | — | 2,581,743 | 24,784,732 | ||||||||||||
Shares repurchased | (13,576,844 | ) | (141,665,022 | ) | (46,284,747 | ) | (453,655,356 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 12,988,975 | $ | 126,189,561 | (31,830,563 | ) | $ | (312,057,324 | ) | ||||||||
|
|
|
|
|
|
|
|
Opportunistic Fixed
Six Months Ended September 30, 2019 | Year Ended March 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 14,464,846 | $ | 133,812,298 | 30,437,722 | $ | 274,937,746 | ||||||||||
Shares issued to shareholders in | — | — | 1,807,034 | 15,919,968 | ||||||||||||
Shares repurchased | (14,970,713 | ) | (137,853,776 | ) | (8,780,534 | ) | (79,961,919 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (505,867 | ) | $ | (4,041,478 | ) | 23,464,222 | $ | 210,895,795 | ||||||||
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|
|
|
|
|
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Emerging Markets
Six Months Ended September 30, 2019 | Year Ended March 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 17,023,539 | $ | 149,805,218 | 21,266,136 | $ | 218,061,043 | ||||||||||
Shares issued to shareholders in | — | — | 16,996,229 | 142,768,325 | ||||||||||||
Shares repurchased | (19,039,991 | ) | (167,609,089 | ) | (20,683,889 | ) | (196,938,629 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,016,452 | ) | $ | (17,803,871 | ) | 17,578,476 | $ | 163,890,739 | ||||||||
|
|
|
|
|
|
|
|
Global Low Volatility
Six Months Ended September 30, 2019 | Year Ended March 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 13,426,443 | $ | 183,930,019 | 16,031,898 | $ | 200,221,293 | ||||||||||
Shares repurchased | (7,874,284 | ) | (108,254,436 | ) | (18,205,264 | ) | (229,051,200 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,552,159 | $ | 75,675,583 | (2,173,366 | ) | $ | (28,829,907 | ) | ||||||||
|
|
|
|
|
|
|
|
8. | Subsequent events |
Management has evaluated the impact of subsequent events through November 19, 2019, the date the financial statements were available to be issued for possible adjustment and/or disclosure in the Funds’ financial statements. Management has determined that there are no material events that would require adjustment and/or disclosure in the Funds’ financial statements through this date.
On November 15, 2019, as a result of a complete redemption by an affiliated shareholder, 2,360,568 shares of Emerging Markets were redeemed at net asset value, representing approximately 2.06% of the total outstanding shares of the Fund. The redemption was effected in cash, representing the net asset value of the shares redeemed at the close of business on November 15, 2019. The redemption will not adversely impact the Fund’s ability to continue as a going concern.
On or about November 30, 2019, Large Cap, Small/Mid Cap, Non-US Core Equity and Emerging Markets will receive in-kind subscriptions from three affiliated Mercer Group Trust Defined Contribution Funds, Mercer Large Cap Stock Fund, Mercer Small/Mid Cap Stock Fund, and Mercer International Stock Fund (each an “Affiliated Fund” or collectively “Affiliated Funds”). Large Cap will receive securities in-kind valued at approximately $750,779,734 from Mercer Large Cap Stock Fund, Small/Mid Cap will receive securities in-kind valued at approximately $551,581,964 from Mercer Small/Mid Cap Stock Fund, Non-US Core Equity will receive securities in-kind valued at approximately $416,282,807 from Mercer International Stock Fund and Emerging Markets will receive securities in-kind valued at approximately $136,860,101 from Mercer International Stock Fund. As a result of in-kind subscriptions by the Affiliated Funds, shares will be issued at net asset value, representing approximately, 67%, 40%, 14% and 11% of the total net assets for Large Cap, Small/Mid Cap, Non-US Core Equity and Emerging Markets, respectively. The Affiliated Fund in-kind subscriptions will not adversely impact each Fund’s ability to continue as a going concern.
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9. | 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 calling1-866-658-9896, 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 athttp://www.mercer.us/mutual-funds-on-offer.
10. | 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 FormN-PORT, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ FormN-PORT may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling1-800-SEC-0330.
11. | Board Approval of the Investment Management Agreement for the Funds and Subadvisory Agreements for the Funds during the period April 1, 2019 through September 30, 2019 |
June 17-18, 2019 Board Meeting
Mercer US Large Cap Equity Fund
Mercer US Small/Mid Cap Equity Fund
MercerNon-US Core Equity Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity Fund
Mercer Core Fixed Income Fund
Mercer Opportunistic Fixed Income Fund
Renewal of the Investment Management Agreement for the Funds
At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of Mercer Funds (the “Trust”) held on June 17-18, 2019 (the “Meeting”), the Trustees, including those Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Trust or Mercer Investments LLC, the Trust’s investment advisor (the “Advisor”) (together, the “Independent Trustees”), considered and approved the renewal of the investment management agreement between the Advisor and the Trust (the “Investment Management Agreement”) with respect to each of the series of the Trust (each a “Fund,” and collectively, the “Funds”), consisting of: Mercer US Large Cap Equity Fund (the “Large Cap Fund”), Mercer US Small/Mid Cap Equity Fund (the “Small/Mid Cap Fund”), MercerNon-US Core Equity Fund (the“Non-US Core Fund”), Mercer Emerging Markets Equity Fund (the “Emerging Markets Fund”), Mercer Global Low Volatility Equity Fund (the “Global Low Volatility Fund”), Mercer Core Fixed Income Fund (the “Core Fixed Income Fund”), and Mercer Opportunistic Fixed Income Fund (the “Opportunistic Fixed Income Fund”).
In considering the renewal of the Investment Management Agreement, the Independent Trustees reviewed the information and materials furnished by the Advisor that were prepared for the Meeting, including: (i) the Investment Management Agreement with respect to the Advisor’s management of the assets of each Fund; (ii) information describing the nature, extent, and quality of the services that the Advisor provided to the Funds; the fees that the Advisor charged to the Funds for these services; and a comparison of those fees to the fees paid by a peer group of other investment companies having investment objectives similar to the investment objectives of the Funds, as contained in a report prepared by Broadridge Financial Solutions,
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Inc. (“Broadridge”), an independent, nationally recognized provider of investment company data (the “Broadridge Report”); (iii) the Funds’ new management fee waiver agreement (the “Fee Waiver Agreement”), which took effect on April 1, 2019 and which requires the Advisor to waive any portion of the management fee it is entitled to under the Investment Management Agreement with respect to each Fund that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to a Fund’s Subadvisors for the management of their allocated portions of the subject Fund; (iv) information regarding the Advisor’s business and operations; financial position; portfolio management team; and compliance program; (v) information describing each Fund’s operating expenses compared to the Fund’s peer group of other registered investment companies with investment objectives similar to the investment objectives of the Funds, and that were identified by Broadridge in the Broadridge Report; (vi) information describing each Fund’s performance compared to the Fund’s peer group of other investment companies with investment objectives similar to the investment objective of the Fund, as identified in the Broadridge Report; and (vii) information regarding the benefits that the Advisor enjoyed (or may enjoy in the future) as a result of its relationship with the Funds. The Independent Trustees also considered presentations made by, and discussions held with, representatives of the Advisor, both at the Meeting and throughout the course of the year at regularly scheduled and special Board meetings. The Independent Trustees also evaluated the Advisor’s answers and responses to the questions and information requests contained in the 15(c) Information Request Letter that was submitted to the Advisor on behalf of the Independent Trustees for use in connection with the contract renewal process, as well as certainfollow-up responses that had been requested on behalf of the Independent Trustees by their independent legal counsel. In addition, the Independent Trustees considered presentations made by, and discussions held with, representatives of the Advisor.
During their review of this information, the Independent Trustees considered and analyzed the factors that they deemed relevant with respect to the Advisor, including: the nature, extent, and quality of the services that were provided to the Funds by the Advisor; the Advisor’s investment management personnel and operations; the performance of the Funds; the Funds’ expense levels, including the effect of the Fee Waiver Agreement on Fund expenses; the fact that the Advisor was not realizing a direct profit from the investment advisory services it provides to the Funds under the Investment Management Agreement as a result of the Fee Waiver Agreement; and any ancillary benefits to the Advisor and its affiliates of the Advisor’s relationship with the Funds. The Independent Trustees also considered the nature, extent, and quality of thenon-advisory services that the Advisor and its affiliates provided to the Funds. Additionally, the Independent Trustees received assistance from, and met separately with, their independent legal counsel and were provided with a written description of their statutory responsibilities and the legal standards that are applicable to approvals of advisory agreements.
In their consideration of the renewal of the Investment Management Agreement, the Independent Trustees considered the following factors:
(a) The nature, extent, and quality of the services that were provided by the Advisor. The Independent Trustees reviewed the services that the Advisor had provided to the Funds. In connection with the investment advisory services that were provided to the Funds, the Independent Trustees considered the qualifications, experience, and capabilities of the Advisor’s portfolio management team and other investment personnel, and the extent of care and conscientiousness with which the Advisor personnel performed their duties. In this regard, the Independent Trustees considered that while the Advisor focused primarily on the selection, evaluation, and oversight of the Funds’ Subadvisors, consistent with the Trust’s multi-manager structure, the Advisor also had extensive other responsibilities as the Funds’ investment advisor, including: the provision of investment advice; the allocation of each Fund’s assets among multiple Subadvisors (including overseeing the process of transitioning assets among
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Subadvisor(s)), and the fee negotiation process whereby the Advisor sought to achieve an appropriate and competitive level of fees and fee structure, and the Advisor’s continual monitoring of the ongoing appropriateness and competitiveness of each subadvisory fee and fee structure; the monitoring of each Subadvisor’s investment performance and processes; the oversight of each Subadvisor’s compliance with the applicable Fund’s investment objective, policies, and limitations; review of portfolio security brokerage and trading practices; and oversight of general portfolio compliance with relevant law.
The Independent Trustees discussed the Advisor’s ability and willingness to identify instances where there was a need to add a new Subadvisor, to replace a current Subadvisor, to reallocate Fund assets among current Subadvisors, to utilize a new strategy of a current Subadvisor, or to implement a combination of these measures, as well as the Advisor’s ability to promptly, efficiently, and economically effect such changes. The Independent Trustees also noted the proprietary tools utilized by the Advisor to review, select, evaluate, and monitor Subadvisors for the Funds. The Independent Trustees considered the fact that the Advisor is capable of providing, through its other business divisions, significant research and related services to the Funds that an investment advisor to a fund complex of similar size as the Funds might not otherwise be able to provide.
The Independent Trustees discussed the Trust’s multi-manager structure, and the services required by the Trust as a consequence of that structure, as compared to an investment company without multiple Subadvisors. The Independent Trustees also evaluated the nature, extent, and quality of thenon-investment advisory and administrative services that were provided to the Funds by the Advisor, such as the supervision of the Funds’ third-party service providers. The Independent Trustees considered the scope and substance of the Advisor’s regulatory and compliance policies, procedures, and systems. The Independent Trustees evaluated the Advisor’s capabilities in providing the administrative and compliance services needed to support management of the Funds, and the information that regularly had been provided by the Trust’s Chief Compliance Officer (the “CCO”) to the Trustees at prior Board meetings. The Independent Trustees also considered the Advisor’s willingness both to add personnel and to replace existing personnel, as the Funds have grown, in order to ensure that appropriate staffing levels were maintained.
Based on their consideration and review of the foregoing information, the Independent Trustees determined that the Funds benefited from the nature, extent, and high quality of these services, as well as the Advisor’s ability to continue to provide these services based on the Advisor’s experience, operations, and resources and concluded that they supported the continuation of the Investment Management Agreement with the Advisor.
(b) The costs of the services provided and the profits realized by the Advisor and its affiliates from the Advisor’s relationship with the Funds. The Independent Trustees compared each Fund’s contractual and actual management fee and expense ratio to other investment companies considered to be in the Fund’s respective peer group (as identified by Broadridge in its Report), and noted each Fund’s rankings. The Independent Trustees also considered the Fee Waiver Agreement and its effect on the Advisor’s actual management fee and the Funds’ expense ratios. The Independent Trustees noted the Advisor’s explanation that it did not manage other comparable funds, including comparable registered investment companies or other client accounts, and, therefore, the Advisor could not provide information regarding the Advisor’s fees for servicing such funds or accounts.
The Independent Trustees discussed the entrepreneurial risk undertaken by the Advisor in managing and operating the Trust and the Funds and they considered the Advisor’s commitment to the continued successful operation of the Funds. Regarding the level of profitability being realized by the Advisor in connection with its management of the Funds, the Independent Trustees took note of the Advisor’s
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explanation that, effective with the start of the current fiscal year of the Funds on April 1, 2019, the Advisor was not realizing a direct profit from the investment advisory services it provides to the Funds as a result of the Fee Waiver Agreement. The Independent Trustees also discussed the Advisor’s ongoing costs in operating the Funds. The Independent Trustees considered the Advisor’s ongoing initiative to negotiate reduced fee schedules for certain of the Subadvisors, which results in a benefit to the Funds and their shareholders under the Fee Waiver Agreement to the extent that such subadvisory fees are reduced.
The Independent Trustees also considered the other relationships that the Advisor and its affiliates have with the Trust, and any ancillary benefits realized by the Advisor and its affiliates from the Advisor’s relationship with each Fund, as described in the Advisor’s responses to the questions and information requests contained in the 15(c) Information Request Letter, as well as in the comments of the Advisor’s personnel at the Meeting. The Independent Trustees recognized that because of the Trust’s multi-manager structure, the Advisor did not place portfolio transactions on behalf of the Funds, and, thus, the Advisor did not receive proprietary research from broker-dealers that executed the Funds’ portfolio transactions. In addition, the Independent Trustees noted that the Advisor, as a policy, did not receive any services paid for by Fund soft dollar commissions. As such, the Independent Trustees took note of the fact that the Advisor did not derive any benefits from any Fund portfolio transactions, which benefits were enjoyed by certain Subadvisors, and in the case of other registered investment companies, by their investment managers.
The Independent Trustees took into consideration the Advisor’s discussion of the ancillary benefits that the firm (along with its affiliates) may realize by managing the Funds, to the extent that potential investors view the Advisor and its affiliates as providing a diverse array of investment products, and managing different asset classes, which were available through multiple investment vehicles, as well as the benefits to the Advisor stemming from its ability to negotiate global fee arrangements from time to time with certain of the Subadvisors. The Independent Trustees also noted that the Advisor will provide or procure, as applicable, certainnon-distribution related shareholder administrative services pursuant to the Shareholder Administrative Services Plan for the Adviser Class shares, Class I shares andClass Y-2 shares of the Funds (the “Shareholder Services Plan”) and the Second Amended and Restated Shareholder Administrative Services Agreement between the Advisor and the Funds (the “Administrative Services Agreement”), each effective as of April 1, 2019, and that the Advisor would be entitled to receive compensation from the Adviser Class, Class I andClass Y-2 shares of the Funds for acting in that capacity. The Independent Trustees acknowledged that no compensation had been paid to date as there currently were no Adviser Class, Class I orClass Y-2 shares outstanding. The Independent Trustees considered that compensation to be paid to the Advisor under the Administrative Services Agreement would be accrued from the fees paid under the Shareholder Services Plan. The Independent Trustees also considered that, in return for this compensation, the Advisor would be responsible for, among other things, attending to shareholder correspondence, assisting exchanges and the processing of purchases and redemptions of shares, maintaining account records, processing dividend payments and preparing and distributing documents for shareholder use. As such, the Independent Trustees concluded that these potential benefits that would accrue to the Advisor and its affiliates by virtue of their relationships to the Funds are reasonable and fair in comparison with the costs of providing the relevant services.
(c) The extent to which economies of scale were realized as each Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Independent Trustees took into consideration the fact that the advisory fee schedule for each Fund currently includes breakpoints at the levels of $750 million in assets and also at $1 billion in assets. The Independent Trustees noted that, as a result of the Fee Waiver Agreement which is in effect through at least July 31, 2020, any decreases
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in the advisory fee for a particular Fund under the Investment Advisory Agreement resulting from the Fund passing certain asset level thresholds would not result in a decrease in the fee paid by that Fund under the current Fee Waiver Agreement, which requires that the Advisor waive any portion of its management fee that exceeds the aggregate fees paid to a Fund’s Subadvisors.
(d) The investment performance of each Fund and the Advisor. The Independent Trustees considered the investment performance of each Fund, and evaluated Fund performance in the context of the Trust’s multi-manager structure, and the unique considerations that this structure requires. The Independent Trustees considered whether the Funds operated within their investment objectives and styles, and considered each Fund’s record of compliance with its investment restrictions. The Independent Trustees also considered that the Advisor continues to be proactive in seeking to replace and/or add Subadvisors, to reallocate assets among Subadvisors, and to implement new investment Subadvisor strategies, with a view to improving Fund performance over the long term.
While consideration was given to the Advisor’s performance reports and discussions at prior Board meetings, particular attention was given to the Broadridge Report prepared specifically for the Meeting. In reviewing the performance of the Funds, the Independent Trustees considered the performance of each Fund, noting that the performance of the Large Cap Fund fell within the second quintile, the performance of the Small/Mid Cap Fund fell within the third quintile, the performance of theNon-US Core Fund fell within the first quintile, the performance of the Emerging Markets Fund fell within the fourth quintile, the Global Low Volatility Fund’s performance fell within the first quintile, the Core Fixed Income Fund’s performance fell within the second quintile and the Opportunistic Fixed Income Fund’s performance fell within the fifth quintile of their respective performance universes for performance for theten-year measurement period or since inception for those Funds that did not have ten years of performance. The Independent Trustees also took into consideration the Advisor’s expectations for the acceptable performance of each Fund with respect to a range of quintiles.
With respect to their review of the performance results of each of the Funds, the Independent Trustees took into consideration the following:
1. Large Cap Fund. In the case of the Large Cap Fund, the Independent Trustees noted that the Fund’s performance for theone-,two-, three-, four-, five- andten-year measurement periods placed it in the fifth, third, second, fourth, third and second quintiles, respectively, of its peer universe. The Independent Trustees also considered that the Large Cap Fund’s performance for each of the six measurement periods placed the Fund’s performance in the fifth, fourth, fourth, fourth, fifth and fourth quintiles, respectively, of its peer group. With regard to the performance of the Large Cap Fund relative to its peer group, the Independent Trustees considered the recent changes to the subadvisory structure of the Large Cap Fund, including changes approved at the Meeting.
2. Small/Mid Cap Fund. In the case of the Small/Mid Cap Fund, the Independent Trustees noted that the Fund’s performance for theone-,two-, three-, four-, five- andten-year measurement periods placed it in the third, second, second, third, third and third quintiles, respectively, of its peer universe. The Independent Trustees also considered that the Small/Mid Cap Fund’s performance for each of the six measurement periods placed the Fund’s performance in the second, first, first, third, second and third quintiles, respectively, of its peer group. With regard to the performance of the Small/Mid Cap Fund, the Independent Trustees considered the recent changes to the subadvisory structure of the Small/Mid Cap Fund.
3. Non-US Core Fund. In the case of theNon-US Core Fund, the Independent Trustees noted that the Fund’s performance for theone-,two-, three-, four-, five- andten-year measurement periods
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placed it in the second, first, second, first, first and first quintiles, respectively, of its peer universe. The Independent Trustees also considered that theNon-US Core Fund’s performance for each of the six measurement periods placed the Fund’s performance in the first, first, first, first, first and second quintiles, respectively, of its peer group.
4. Emerging Markets Fund. In case of the Emerging Markets Fund, which had commenced operations in May of 2012, the Independent Trustees noted that the Fund’s performance for theone-,two-, three-, four- and five-year and since inception measurement periods placed it in the third, third, fourth, fourth, fourth and fourth quintiles, respectively, of its peer universe. The Independent Trustees also considered that the Emerging Markets Fund’s performance for each of the six measurement periods placed the Fund’s performance in the third, third, third, fifth, fourth and fourth quintiles, respectively, of its peer group. With regard to the performance of the Emerging Markets Fund relative to its peer group, the Independent Trustees considered the recent changes to the subadvisory structure of the Emerging Markets Fund, including the changes approved at the Meeting.
5. Global Low Volatility Fund. In case of the Global Low Volatility Fund, which had commenced operations in November of 2012, the Independent Trustees noted that performance fell within the first quintile for each of theone-,two-, three-, four- and five-year and since inception measurement periods of its peer universe. The Independent Trustees also considered that the Global Low Volatility Fund’s performance for theone-,two-, three- and four-year periods was in the second, first, first and first quintiles, respectively, of its peer group. With regard to the performance of the Global Low Volatility Fund, the Independent Trustees considered the recent changes to the subadvisory structure of the Global Low Volatility Fund.
6. Core Fixed Income Fund. In the case of the Core Fixed Income Fund, the Independent Trustees noted that the Fund’s performance for theone-,two-, three-, four-, five- andten-year measurement periods placed it in the second, first, second, first, first and second quintiles, respectively, of its peer universe. The Independent Trustees also considered that the Core Fixed Income Fund’s performance for each of the six measurement periods placed the Fund’s performance in the second, second, second, second, third and third quintiles, respectively, of its peer group.
7. Opportunistic Fixed Income. In the case of the Opportunistic Fixed Income Fund, which had commenced operations in August of 2013, the Independent Trustees noted that performance for theone-,two-, three-, four- and five-year and since inception measurement periods placed it in the fifth, fifth, third, fifth, fifth and fifth quintiles, respectively, of its peer universe. The Independent Trustees also considered that the Opportunistic Fixed Income Fund’s performance for each of the six measurement periods placed its performance in the fifth, fifth, fourth, fifth, fifth and fifth quintiles, respectively, of its peer group. In connection with their consideration of the performance results for the Opportunistic Fixed Income Fund, the Independent Trustees considered the Advisor’s explanation that the Fund was designed by the Advisor to serve a specific purpose and investment need and that the Fund does not have a peer group or universe that is comparable. The Independent Trustees further took into consideration the Advisor’s explanation that the Opportunistic Fixed Income Fund’s performance was not likely to compare favorably with its selected benchmark index because the Fund had been established by the Advisor with a specific investment purpose that was not likely to be correlated to the investment performance of its benchmark index, and that the Fund had been successful in achieving its intended performance results consistent with the Advisor’s objective for the Fund. With regard to the performance of the Opportunistic Fixed Income Fund, the Independent Trustees also considered the changes to the subadvisory structure of the Fund, which had been implemented in 2018.
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On the basis of the foregoing, the Independent Trustees concluded that the Advisor’s performance in managing each Fund indicated that the Advisor’s continued management will benefit the Funds and their shareholders.
Conclusion. Following further consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Independent Trustees. Based on these factors, and such other matters as were deemed relevant, the Independent Trustees concluded that the management fee rates of the Funds continued to be supported by the services provided by the Advisor to the Funds, as well as the costs that were incurred and benefits that were gained by the Advisor in providing such services. It was noted that the Independent Trustees had taken into consideration the fees charged by the investment advisors to the investment companies included in the Funds’ peer groups as presented in the Broadridge Report. As a result, the Independent Trustees concluded that the approval of the Investment Management Agreement was in the best interests of the Funds and their shareholders, and they approved the renewal of the Investment Management Agreement.
Mercer US Large Cap Equity Fund
Mercer US Small/Mid Cap Equity Fund
MercerNon-US Core Equity Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity Fund
Mercer Core Fixed Income Fund
Mercer Opportunistic Fixed Income Fund
Renewal of the Subadvisory Agreements for the Funds
At the Meeting, the Board, including the Independent Trustees, also considered and approved the continuation of the subadvisory agreements (collectively, the “Subadvisory Agreements”) entered into by the Advisor and the following Subadvisors for the Funds: Brandywine Global Investment Management, LLC, O’Shaughnessy Asset Management, LLC and Parametric Portfolio Associates LLC (in the case of the Large Cap Fund); GW&K Investment Management, LLC, Loomis, Sayles & Company, L.P., LSV Asset Management, Westfield Capital Management Company, L.P. and Parametric Portfolio Associates LLC (in the case of the Small/Mid Cap Fund); American Century Investment Management, Inc., Arrowstreet Capital, Limited Partnership, LSV Asset Management, Massachusetts Financial Services Company and Parametric Portfolio Associates LLC (in the case of theNon-US Core Fund); Copper Rock Capital Partners LLC, Dimensional Fund Advisors LP, Mondrian Investment Partners Limited, William Blair Investment Management, LLC and Parametric Portfolio Associates LLC (in the case of the Emerging Markets Fund); Acadian Asset Management LLC, Martingale Asset Management, L.P. and Parametric Portfolio Associates LLC (in the case of the Global Low Volatility Fund); BlackRock International Limited, Colchester Global Investors Limited, Loomis, Sayles & Company, L.P., T. Rowe Price Associates, Inc., T. Rowe Price International Limited(sub-subadvisor), Western Asset Management Company, LLC, Western Asset Management Company Limited(sub-subadvisor) (in the case of the Opportunistic Fixed Income Fund); and Income Research & Management, Manulife Asset Management (US) LLC and PGIM, Inc. (in the case of the Core Fixed Income Fund) (each a “Subadvisor,” and together, the “Subadvisors”).
In considering the renewal of the Subadvisory Agreements, the Independent Trustees considered the information and materials from the Advisor and counsel that included, as to each Subadvisor whose Subadvisory Agreement was being considered and each Fund: (i) the Subadvisory Agreement between the Advisor and the Subadvisor; (ii) information regarding the review and due diligence process by which the Advisor selected, monitored, and evaluated the Subadvisor, and recommended the Subadvisor
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for Board approval; (iii) information describing the nature, extent, and quality of the services that the Subadvisor provided to the respective Fund, and the fees that the Subadvisor charged the Advisor for these services; (iv) the Fee Waiver Agreement, which requires the Advisor to waive any portion of the management fee it is entitled to under the Investment Management Agreement with respect to each Fund that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to a Fund’s Subadvisors for the management of their allocated portions of the subject Fund; (v) information regarding the Subadvisor’s business and operations, financial condition, portfolio management team, and compliance program; (vi) information regarding the Subadvisor’s brokerage and trading policies and practices; (vii) the Subadvisor’s performance in managing its allocated portion of the Fund’s investment portfolio; (viii) the Subadvisor’s historical performance returns managing a similar investment mandate (as applicable), and a comparison of performance returns of the allocated portion of the Fund managed by the Subadvisor to a relevant index; and (ix) the Advisor’s detailed monitoring and reporting of Subadvisor performance on qualitative and quantitative factors.
In addition, the Independent Trustees considered presentations made by, and discussions held with, representatives of the Advisor and representatives of the Subadvisors, both at the Meeting and throughout the course of the year at Board meetings. During their review of this information, the Independent Trustees also considered information provided by the Advisor regarding the Subadvisors’ answers and responses to applicable information requests contained in the 15(c) Questionnaire. The Independent Trustees considered and analyzed the factors that they deemed relevant with respect to each Subadvisor, including: the nature, extent, and quality of the services that were provided to the applicable Fund by the Subadvisor; the Subadvisor’s investment management style and investment decision-making process; the Subadvisor’s historical performance record managing its allocated portion of the Fund’s portfolio, as well as managing pooled investment products similar to the applicable Fund (as applicable); the qualifications and experience of the employees at the Subadvisor who were responsible for theday-to-day management of the allocated portion of the Fund; and the Subadvisor’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the Subadvisors. Additionally, the Independent Trustees received assistance and advice from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to each Fund and to each Subadvisor, the Independent Trustees considered the following factors:
(a) The nature, extent, and quality of the advisory services that were provided by the Subadvisors. The Independent Trustees reviewed the nature, extent, and quality of the advisory services that each Subadvisor had provided to the applicable Fund. The Independent Trustees considered the Advisor’s active role as a manager of managers, which included, among other items, monitoring and evaluating the performance of the Subadvisors, recommending that Subadvisors that have not performed as expected either be replaced or their allocated portion of the Fund’s portfolio be reduced. The Independent Trustees considered the specific investment management process that was employed by each Subadvisor in managing the assets that were allocated to the Subadvisor (which had been discussed with each Subadvisor previously); the qualifications, experience, and capabilities of the Subadvisor’s management and other personnel responsible for the portfolio management of the allocated portion of the applicable Fund; the financial position of the Subadvisor; the quality of the Subadvisor’s regulatory and legal compliance policies and procedures; and the Subadvisor’s brokerage practices. The Independent Trustees considered each Subadvisor’s infrastructure and whether it continued to support the Subadvisor’s investment strategy
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adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to each Subadvisor, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services that were provided by the Subadvisor. The Independent Trustees determined that each Fund would continue to benefit from the quality and experience of the portfolio managers of each Fund’s Subadvisors.
Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent, and quality of the subadvisory services that were provided by each Subadvisor, as well as each Subadvisor’s ability to continue to provide these services based on its experience, operations, and resources, were adequate and appropriate, and had benefited, and will continue to benefit, the applicable Fund and its shareholders. The Independent Trustees concluded that these factors supported the continuation of the Subadvisory Agreements with the Subadvisors.
(b) The costs of the services provided and the profits realized by the Subadvisor and its affiliates from the Subadvisor’s relationship with the Funds. The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor in deciding to recommend each Subadvisor as a Subadvisor to the respective Fund. The Independent Trustees took account of the Advisor’s reasons for concluding that the compensation payable to each Subadvisor for its services to the Funds was reasonable in light of the nature and quality of the services furnished to the Fund, and the Advisor’s recommendation at the Meeting that the Subadvisors be continued, particularly in light of the fact that the Subadvisors’ fees would indirectly be borne by the respective Funds and their shareholders as a result of the Fee Waiver Agreement.
The Independent Trustees considered the expected impact of the subadvisory fees on the Funds’ overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees paid by the Advisor to each Subadvisor were the result ofarm’s-length bargaining between unaffiliated parties, the relevance of each Subadvisor’s profitability was considered by the Independent Trustees in that context. The Independent Trustees took into account the Advisor’s ongoing monitoring of the appropriateness and competitiveness of each subadvisory fee and fee structure, the Advisor’s assessment that the subadvisory fee rates charged by each Subadvisor reflected a reasonable fee arrangement, and the Advisor’s continued initiative to negotiate reduced subadvisory fee schedules with the Subadvisors, which benefits the Fund and their shareholders due to the Fee Waiver Agreement to the extent that such subadvisory fees are reduced. The Independent Trustees also took note of the Advisor’s explanation that the Advisor was not realizing a direct profit from the investment advisory services it provides to the Funds as a result of the subadvisory fee arrangements and the Fee Waiver Agreement. The Independent Trustees also considered the information supplied by each Subadvisor that presented data regarding the fees charged to other comparable clients of the Subadvisor (as applicable). Based on their discussion, the Independent Trustees concluded that, in light of the quality and extent of the services that were provided, the fees paid to each Subadvisor with respect to the Fund assets that were allocated to the Subadvisor appeared to be within a reasonable range in relation to the services to be provided by each Subadvisor.
(c) Ancillary Benefits. The Independent Trustees considered whether there were any ancillary benefits that may accrue to the Subadvisors as a result of their relationships with the Funds. The Independent Trustees concluded that certain Subadvisors may direct Fund brokerage transactions to certain brokers to obtain research and other services. However, the Independent Trustees noted that the Subadvisors were required to select brokers who met the Funds’ requirements for seeking best execution, and that the Advisor monitored and evaluated the Subadvisors’ trade execution with respect to Fund brokerage transactions on a quarterly basis and provided reports to the Board on these matters. The Independent Trustees concluded that the benefits accruing to the Subadvisors by virtue of their relationships with the Funds were reasonable based upon the level and quality of services provided.
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(d) The extent to which economies of scale were realized as each Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Independent Trustees next discussed economies of scale. The Independent Trustees considered each Subadvisor’s fee schedule for providing services to the applicable Fund, and noted that several of the Subadvisory Agreements included breakpoints that would reduce the Subadvisor’s fee as the allocated portion of the applicable Fund (and/or certain assets globally with respect to the Advisor and its affiliates) managed by the Subadvisor increased. It was noted that the benefit of breakpoints would indirectly go to the Funds and their shareholders, given the Fee Waiver Agreement.
(e) The investment performance of the Funds and the Subadvisors. The Independent Trustees considered whether each Subadvisor operated within the applicable Fund’s investment objective and style, and considered each Subadvisor’s record of compliance with the Fund’s relevant investment restrictions. The Independent Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of each Subadvisor supported the approval of its Subadvisory Agreement.
Conclusion. Following full consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Independent Trustees. Based on these factors, along with the determinations of the Advisor at the conclusion of its review and due diligence process and such other matters as were deemed relevant, the Independent Trustees concluded that the fee rate for each Subadvisor continued to be supported by the services that were provided by each of the Subadvisors to the Funds. As a result, the Independent Trustees concluded that the approval of the Subadvisory Agreements was in the best interests of the Funds and their shareholders and approved the renewal of each of the Subadvisory Agreements.
Mercer US Large Cap Equity Fund
Approval of a New Subadvisory Agreement for the Large Cap Fund with Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust
At the Meeting, the Advisor also recommended, and the Board of Trustees, including the Independent Trustees, considered and approved, the appointment of Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (“Macquarie”), as a new Subadvisor for the Large Cap Fund to replace AJO, LP, one of the Subadvisors that previously managed an allocated portion of the Large Cap Fund’s portfolio. The changes to the subadvisory arrangements for the Large Cap Fund are referred to collectively herein as the “New Large Cap Fund Subadvisor Structure.” In connection with the implementation of the New Large Cap Fund Subadvisor Structure, the Trustees, including the Independent Trustees, approved a new Subadvisory Agreement between the Advisor and Macquarie (the “Macquarie Subadvisory Agreement”). The Board was informed by the Advisor that the appointment of Macquarie was based upon the Advisor’s determination that the firm was qualified to serve as a new Subadvisor to the Large Cap Fund, based upon the Advisor’s analysis of the firm.
In considering the approval of the Macquarie Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor and Macquarie that included, as to Macquarie and the Large Cap Fund: (i) the Macquarie Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Macquarie for the Board’s approval, and the Advisor’s rationale for recommending that Macquarie be appointed as a subadvisor to the Large Cap Fund; (iii) the nature, extent, and quality of the services that Macquarie proposed to provide to the Large Cap Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Macquarie; (v) Macquarie’s brokerage and trading policies and
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practices; (vi) the level of subadvisory fees to be charged by Macquarie for its services to the Large Cap Fund, and the fees charged to other accounts that Macquarie manages; (vii) a summary of Macquarie’s compliance program; (viii) information regarding the historical performance returns of Macquarie in managing the investment mandate it would employ for the Large Cap Fund and a comparison of such performance to a relevant index; and (ix) the financial condition of Macquarie. In addition, the Independent Trustees considered presentations made by, and discussions at the Meeting with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Large Cap Fund by Macquarie.
During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to Macquarie, including: the nature, extent, and quality of the services to be provided to the Large Cap Fund by Macquarie; Macquarie’s management style and investment decision-making process; Macquarie’s historical performance record in managing the investment mandate it would employ for the Large Cap Fund; the qualifications and experience of the members of Macquarie’s portfolio management team; and Macquarie’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Large Cap Fund, which includes extensive management and compliance due diligence with respect to the management and operations of each of the Subadvisors. Additionally, the Independent Trustees received assistance and advice from their special independent legal counsel (with respect to Macquarie) regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to Macquarie, the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided byMacquarie. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Macquarie to the Large Cap Fund. The Independent Trustees discussed the specific investment management process that Macquarie indicated that it will employ to manage its allocated portion of the Large Cap Fund’s investment portfolio (which was described in detail in the materials provided by Macquarie), the qualifications of Macquarie’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Large Cap Fund’s investment portfolio that Macquarie would be managing, and the performance record of Macquarie as compared to a relevant index. The Independent Trustees considered Macquarie’s infrastructure and resources, and whether Macquarie’s organization appeared to support Macquarie’s strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Macquarie, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Large Cap Fund by Macquarie. The Independent Trustees determined that the Large Cap Fund and its shareholders would benefit from the quality and experience of Macquarie’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Macquarie, as well as Macquarie’s ability to render such services based on Macquarie’s experience, operations and resources, were appropriate for the Large Cap Fund, in light of the Large Cap Fund’s investment objective, and the mandate relating to the allocated portion of the Large Cap Fund’s investment portfolio that Macquarie would manage.
(b) Comparison of the services to be rendered and fees to be paid toMacquarie under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees discussed the services that would be rendered by Macquarie and evaluated the compensation to be paid to Macquarie
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by the Advisor for those services. The Independent Trustees noted that the services that Macquarie would furnish to the Large Cap Fund appeared to be comparable to the services that Macquarie currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Macquarie by the Advisor in light of the fees that were charged by Macquarie to its other advisory clients, as disclosed in Macquarie’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by Macquarie were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the Meeting, in determining to recommend Macquarie to serve as a Subadvisor to the Large Cap Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Macquarie for its services to the Large Cap Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of Macquarie would indirectly be borne by the Large Cap Fund and its shareholders. The Independent Trustees further considered that the proposed subadvisory fees to be charged by Macquarie were lower than the subadvisory fees charged by AJO. The Independent Trustees considered that these cost savings would accrue to the Large Cap Fund, given the Advisor’s Fee Waiver Agreement, which is applicable to the Large Cap Fund and is effective through at least July 31, 2020, to waive any portion of its management fee that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Funds’ subadvisors. Based on their discussion, the Independent 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 Macquarie with respect to the assets of the Large Cap Fund to be allocated to Macquarie was supported by the services that were expected to be provided by Macquarie to the Large Cap Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Macquarie from its relationship with the Large Cap Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid by the Advisor to Macquarie on the Large Cap Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to Macquarie were the result ofarm’s-length bargaining between unaffiliated parties, the relevance of Macquarie’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of Macquarie was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Large Cap Fund as a result of the Fee Waiver Agreement. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent and quality of the services expected to be provided by Macquarie and the proposed fees to be paid to Macquarie by the Advisor for managing its allocated portion of the Large Cap Fund, the potential benefits accruing to Macquarie as a result of serving as a Subadvisor to the Large Cap Fund were reasonable in relation to the services that were expected to be provided by Macquarie to the Large Cap Fund.
(c) Investment performance of the Large Cap Fund andMacquarie. Because Macquarie was a newly proposed Subadvisor to the Large Cap Fund, the Independent Trustees could not consider Macquarie’s investment performance in managing the Large Cap Fund as a factor in evaluating the Macquarie Subadvisory Agreement. However, the Independent Trustees reviewed Macquarie’s historical performance record managing the investment mandate it would employ for the Large Cap
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Fund as compared to a relevant index and concluded that Macquarie’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Macquarie Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Macquarie be appointed as a Subadvisor to the Large Cap Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Macquarie was supported by the services that were expected to be provided to the Large Cap Fund and approval of the proposed Macquarie Subadvisory Agreement was in the best interests of the Large Cap Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the Macquarie Subadvisory Agreement.
Mercer Emerging Markets Equity Fund
Approval of a New Subadvisory Agreement for the Emerging Markets Fund with Origin Asset Management LLP
At the Meeting, the Advisor further recommended, and the Board of Trustees, including the Independent Trustees, considered and approved, the appointment of Origin Asset Management LLP (“Origin”) as a new Subadvisor for the Emerging Markets Fund to replace AQR Capital Management, LLC, one of the Subadvisors that previously managed an allocated portion of the Emerging Markets Fund’s portfolio. The changes to the subadvisory arrangements for the Emerging Markets Fund are referred to collectively herein as the “New Emerging Markets Fund Subadvisor Structure.” In connection with the implementation of the New Emerging Markets Fund Subadvisor Structure, the Trustees, including the Independent Trustees, approved a new Subadvisory Agreement between the Advisor and Origin (the “Origin Subadvisory Agreement”). The Board was informed by the Advisor that the appointment of Origin was based upon the Advisor’s determination that the firm was qualified to serve as a new Subadvisor to the Emerging Markets Fund, based upon the Advisor’s analysis of the firm.
In considering the approval of the Origin Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor and Origin that included, as to Origin and the Emerging Markets Fund: (i) the Origin Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Origin for the Board’s approval, and the Advisor’s rationale for recommending that Origin be appointed as a subadvisor to the Emerging Markets Fund; (iii) the nature, extent, and quality of the services that Origin proposed to provide to the Emerging Markets Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Origin; (v) Origin’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Origin for its services to the Emerging Markets Fund, and the fees charged to other accounts that Origin manages; (vii) a summary of Origin’s compliance program; (viii) information regarding the historical performance returns of Origin in managing the investment mandate it would employ for the Emerging Markets Fund and a comparison of such performance to a relevant index; and (ix) the financial condition of Origin. In addition, the Independent Trustees considered presentations made by, and discussions at the Meeting with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Emerging Markets Fund by Origin.
During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to Origin, including: the nature, extent, and
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quality of the services to be provided to the Emerging Markets Fund by Origin; Origin’s management style and investment decision-making process; Origin’s historical performance record in managing the investment mandate it would employ for the Emerging Markets Fund; the qualifications and experience of the members of Origin’s portfolio management team; and Origin’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Emerging Markets Fund, which includes extensive management and compliance due diligence with respect to the management and operations of each of the Subadvisors. Additionally, the Independent Trustees received assistance and advice from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to Origin, the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided byOrigin. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Origin to the Emerging Markets Fund. The Independent Trustees discussed the specific investment management process that Origin indicated that it will employ to manage its allocated portion of the Emerging Markets Fund’s investment portfolio (which was described in detail in the materials provided by Origin), the qualifications of Origin’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Emerging Markets Fund’s investment portfolio that Origin would be managing, and the performance record of Origin as compared to a relevant index. The Independent Trustees considered Origin’s infrastructure and resources, and whether Origin’s organization appeared to support Origin’s strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Origin, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Emerging Markets Fund by Origin. The Independent Trustees determined that the Emerging Markets Fund and its shareholders would benefit from the quality and experience of Origin’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Origin, as well as Origin’s ability to render such services based on Origin’s experience, operations and resources, were appropriate for the Emerging Markets Fund, in light of the Emerging Markets Fund’s investment objective, and the mandate relating to the allocated portion of the Emerging Markets Fund’s investment portfolio that Origin would manage.
(b) Comparison of the services to be rendered and fees to be paid toOrigin under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees discussed the services that would be rendered by Origin and evaluated the compensation to be paid to Origin by the Advisor for those services. The Independent Trustees noted that the services that Origin would furnish to the Emerging Markets Fund appeared to be comparable to the services that Origin currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Origin by the Advisor in light of the fees that were charged by Origin to its other advisory clients, as disclosed in Origin’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by Origin were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the Meeting, in determining to recommend Origin to serve as a Subadvisor to
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the Emerging Markets Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Origin for its services to the Emerging Markets Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of Origin would indirectly be borne by the Emerging Markets Fund and its shareholders. The Independent Trustees further considered that the proposed subadvisory fees to be charged by Origin were lower than the subadvisory fees charged by AQR. The Independent Trustees considered that these cost savings would accrue to the Emerging Markets Fund, given the Advisor’s Fee Waiver Agreement, which is applicable to the Emerging Markets Fund and is effective through at least July 31, 2020, to waive any portion of its management fee that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Funds’ subadvisors. Based on their discussion, the Independent 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 Origin with respect to the assets of the Emerging Markets Fund to be allocated to Origin was supported by the services that were expected to be provided by Origin to the Emerging Markets Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Origin from its relationship with the Emerging Markets Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid by the Advisor to Origin on the Emerging Markets Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to Origin were the result ofarm’s-length bargaining between unaffiliated parties, the relevance of Origin’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of Origin was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Emerging Markets Fund as a result of the Fee Waiver Agreement. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent and quality of the services expected to be provided by Origin and the proposed fees to be paid to Origin by the Advisor for managing its allocated portion of the Emerging Markets Fund, the potential benefits accruing to Origin as a result of serving as a Subadvisor to the Emerging Markets Fund were reasonable in relation to the services that were expected to be provided by Origin to the Emerging Markets Fund.
(c) Investment performance of the Emerging Markets Fund andOrigin. Because Origin was a newly proposed Subadvisor to the Emerging Markets Fund, the Independent Trustees could not consider Origin’s investment performance in managing the Emerging Markets Fund as a factor in evaluating the Origin Subadvisory Agreement. However, the Independent Trustees reviewed Origin’s historical performance record managing the investment mandate it would employ for the Emerging Markets Fund as compared to a relevant index and concluded that Origin’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Origin Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Origin be appointed as a Subadvisor to the Emerging Markets Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Origin was supported by the services that were expected to be provided to the Emerging Markets Fund and approval of the proposed Origin Subadvisory Agreement was in the best interests of the Emerging Markets Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the Origin Subadvisory Agreement.
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April 3, 2019 Regular Meeting of the Board of Trustees
Mercer US Large Cap Equity Fund
Approval of New Subadvisory Agreements for the Large Cap Fund
At a regular meeting of the Board of Trustees held on April 3, 2019 (the “April Meeting”), the Advisor recommended, and the Board, including the Independent Trustees, considered and approved, the appointment of two new Subadvisors for the Large Cap Fund to replace Columbia Management Investment Advisers, LLC and HS Management Partners, LLC, two of the Subadvisors that previously managed an allocated portion of the Large Cap Fund’s portfolio. The changes to the subadvisory arrangements for the Large Cap Fund are referred to collectively herein as the “New Large Cap Fund Subadvisor Structure.”
In connection with the implementation of the New Large Cap Fund Subadvisor Structure, the Trustees, including the Independent Trustees, approved new Subadvisory Agreements between the Advisor and each of the following new Large Cap Fund Subadvisors: (1) Jennison Associates LLC (“Jennison”) and (2) Polen Capital Management, LLC (“Polen”). The Board was informed by the Advisor that the appointment of each of Jennison and Polen was based upon the Advisor’s determination that each of these firms were qualified to serve as new Subadvisors to the Large Cap Fund, based upon the Advisor’s analysis of each of the firms.
Approval of a New Subadvisory Agreement for the Large Cap Fund with Jennison Associates LLC
At the April Meeting, the Trustees, including the Independent Trustees, first considered and approved a proposed new subadvisory agreement between the Advisor and Jennison on behalf of the Large Cap Fund (the “Jennison Subadvisory Agreement”). In considering the approval of the Jennison Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor and Jennison that included, as to Jennison and the Large Cap Fund: (i) the Jennison Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Jennison for the Board’s approval, and the Advisor’s rationale for recommending that Jennison be appointed as a subadvisor to the Large Cap Fund; (iii) the nature, extent, and quality of the services that Jennison proposed to provide to the Large Cap Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Jennison; (v) Jennison’s brokerage and trading policies and practices (or summaries thereof); (vi) the level of subadvisory fees to be charged by Jennison for its services to the Large Cap Fund, and the fees charged to other accounts that Jennison manages; (vii) a summary of Jennison’s compliance program; (viii) information regarding the historical performance returns of Jennison in managing the investment mandate it would employ for the Large Cap Fund and a comparison of such performance to a relevant index; and (ix) the financial condition of Jennison. In addition, the Independent Trustees considered presentations made by, and discussions at the April Meeting with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Large Cap Fund by Jennison.
During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to Jennison, including: the nature, extent, and quality of the services to be provided to the Large Cap Fund by Jennison; Jennison’s management style and investment decision-making process; Jennison’s historical performance record in managing the investment mandate it would employ for the Large Cap Fund; the qualifications and experience of the members of Jennison’s portfolio management team; and Jennison’s staffing levels and overall resources.
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The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Large Cap Fund, which includes extensive management and compliance due diligence with respect to the management and operations of each of the Subadvisors. Additionally, the Independent Trustees received assistance and advice from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to Jennison, the Independent Trustees considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Jennison. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Jennison to the Large Cap Fund. The Independent Trustees discussed the specific investment management process that Jennison indicated that it will employ to manage its allocated portion of the Large Cap Fund’s investment portfolio (which was described in detail in the materials provided by Jennison), the qualifications of Jennison’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Large Cap Fund’s investment portfolio that Jennison would be managing, and the performance record of Jennison as compared to a relevant index. The Independent Trustees considered Jennison’s infrastructure and resources, and whether Jennison’s organization appeared to support Jennison’s strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Jennison, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Large Cap Fund by Jennison. The Independent Trustees determined that the Large Cap Fund and its shareholders would benefit from the quality and experience of Jennison’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Jennison, as well as Jennison’s ability to render such services based on Jennison’s experience, operations and resources, were appropriate for the Large Cap Fund, in light of the Large Cap Fund’s investment objective, and the mandate relating to the allocated portion of the Large Cap Fund’s investment portfolio that Jennison would manage.
(b) Comparison of the services to be rendered and fees to be paid toJennisonunder other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees discussed the services that would be rendered by Jennison and evaluated the compensation to be paid to Jennison by the Advisor for those services. The Independent Trustees noted that the services that Jennison would furnish to the Large Cap Fund appeared to be comparable to the services that Jennison currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Jennison by the Advisor in light of the fees that were charged by Jennison to its other advisory clients, as disclosed in Jennison’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by Jennison were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the April Meeting, in determining to recommend Jennison to serve as a Subadvisor to the Large Cap Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Jennison for its services to the Large Cap Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of Jennison would indirectly be borne by the
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Large Cap Fund and its shareholders. The Independent Trustees further considered that the proposed subadvisory fees to be charged by Jennison and the other proposed new subadvisor for the Large Cap Fund, taking into account a reallocation of assets among the Large Cap Fund’s subadvisors in connection with such appointments, were slightly lower than the subadvisory fees charged by the current subadvisors for the Large Cap Fund that are proposed to be replaced. The Independent Trustees considered that the slight cost savings would accrue to the Large Cap Fund, given the Advisor’s Fee Waiver Agreement, which is applicable to the Large Cap Fund and is effective through at least July 31, 2020, to waive any portion of its management fee that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Funds’ subadvisors. Based on their discussion, the Independent 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 Jennison with respect to the assets of the Large Cap Fund to be allocated to Jennison was supported by the services that were expected to be provided by Jennison to the Large Cap Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Jennison from its relationship with the Large Cap Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid by the Advisor to Jennison and to the other proposed new subadvisor on the Large Cap Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to Jennison were the result ofarm’s-length bargaining between unaffiliated parties, the relevance of Jennison’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of Jennison was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Large Cap Fund as a result of the Fee Waiver Agreement. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent and quality of the services expected to be provided by Jennison and the proposed fees to be paid to Jennison by the Advisor for managing its allocated portion of the Large Cap Fund, the potential benefits accruing to Jennison as a result of serving as a Subadvisor to the Large Cap Fund were reasonable in relation to the services that were expected to be provided by Jennison to the Large Cap Fund.
(c) Investment performance of the Large Cap Fund andJennison. Because Jennison was a newly proposed Subadvisor to the Large Cap Fund, the Independent Trustees could not consider Jennison’s investment performance in managing the Large Cap Fund as a factor in evaluating the Jennison Subadvisory Agreement. However, the Independent Trustees reviewed Jennison’s historical performance record managing the investment mandate it would employ for the Large Cap Fund as compared to a relevant index and concluded that Jennison’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Jennison Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Jennison be appointed as a Subadvisor to the Large Cap Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Jennison was supported by the services that were expected to be provided to the Large Cap Fund and approval of the proposed Jennison Subadvisory Agreement was in the best interests of the Large Cap Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the Jennison Subadvisory Agreement.
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September 30, 2019 (Unaudited)
Approval of a New Subadvisory Agreement for the Large Cap Fund with Polen Capital Management, LLC
At the April Meeting, the Trustees, including the Independent Trustees, also considered and approved a proposed new subadvisory agreement between the Advisor and Polen on behalf of the Large Cap Fund (the “Polen Subadvisory Agreement”). In considering the approval of the Polen Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor and Polen that included, as to Polen and the Large Cap Fund: (i) the Polen Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Polen for the Board’s approval, and the Advisor’s rationale for recommending that Polen be appointed as a subadvisor to the Large Cap Fund; (iii) the nature, extent, and quality of the services that Polen proposed to provide to the Large Cap Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Polen; (v) Polen’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Polen for its services to the Large Cap Fund, and the fees charged to other accounts that Polen manages; (vii) the compliance program applicable to Polen; (viii) information regarding the historical performance returns of Polen in managing the investment mandate it would employ for the Large Cap Fund and a comparison of such performance to a relevant index; and (ix) the financial condition of Polen. In addition, the Independent Trustees considered presentations made by, and discussions at the April Meeting with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Large Cap Fund by Polen.
During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to Polen, including: the nature, extent, and quality of the services to be provided to the Large Cap Fund by Polen; Polen’s management style and investment decision-making process; Polen’s historical performance record in managing the investment mandate it would employ for the Large Cap Fund; the qualifications and experience of the members of Polen’s portfolio management team; and Polen’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Large Cap Fund, which includes extensive management and compliance due diligence with respect to the management and operations of each of the Subadvisors. Additionally, the Independent Trustees received assistance and advice from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to Polen, the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Polen. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Polen to the Large Cap Fund. The Independent Trustees discussed the specific investment management process that Polen indicated that it will employ to manage its allocated portion of the Large Cap Fund’s investment portfolio (which was described in detail in the materials provided by Polen), the qualifications of Polen’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Large Cap Fund’s investment portfolio that Polen would be managing, and the performance record of Polen as compared to a relevant index. The Independent Trustees considered Polen’s infrastructure and resources, and whether Polen’s organization appeared to support Polen’s strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Polen, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Large Cap
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Fund by Polen. The Independent Trustees determined that the Large Cap Fund and its shareholders would benefit from the quality and experience of Polen’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Polen, as well as Polen’s ability to render such services based on Polen’s experience, operations and resources, were appropriate for the Large Cap Fund, in light of the Large Cap Fund’s investment objective, and the mandate relating to the allocated portion of the Large Cap Fund’s investment portfolio that Polen would manage.
(b) Comparison of the services to be rendered and fees to be paid to Polenunder other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees discussed the services that would be rendered by Polen and evaluated the compensation to be paid to Polen by the Advisor for those services. The Independent Trustees noted that the services that Polen would furnish to the Large Cap Fund appeared to be comparable to the services that Polen currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Polen by the Advisor in light of the fees that were charged by Polen to its other advisory clients, as disclosed in Polen’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by Polen were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the April Meeting, in determining to recommend Polen to serve as a Subadvisor to the Large Cap Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Polen for its services to the Large Cap Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of Polen would indirectly be borne by the Large Cap Fund and its shareholders. The Independent Trustees further considered that the proposed subadvisory fees to be charged by Polen and the other proposed new subadvisor for the Large Cap Fund, taking into account a reallocation of assets among the Large Cap Fund’s subadvisors in connection with such appointments, were slightly lower than the subadvisory fees charged by the current subadvisors for the Large Cap Fund that are proposed to be replaced. The Independent Trustees considered that the slight cost savings would accrue to the Large Cap Fund, given the Advisor’s Fee Waiver Agreement, which is applicable to the Large Cap Fund and is effective through at least July 31, 2020, to waive any portion of its management fee that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Funds’ subadvisors. Based on their discussion, the Independent 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 Polen with respect to the assets of the Large Cap Fund to be allocated to Polen was supported by the services that were expected to be provided by Polen to the Large Cap Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Polen from its relationship with the Large Cap Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid by the Advisor to Polen and to the other proposed new subadvisor on the Large Cap Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to Polen were the result ofarm’s-length bargaining between unaffiliated parties, the relevance of Polen’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of Polen was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Large Cap Fund as a
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September 30, 2019 (Unaudited)
result of the Fee Waiver Agreement. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent and quality of the services expected to be provided by Polen and the proposed fees to be paid to Polen by the Advisor for managing its allocated portion of the Large Cap Fund, the potential benefits accruing to Polen as a result of serving as a Subadvisor to the Large Cap Fund were reasonable in relation to the services that were expected to be provided by Polen to the Large Cap Fund.
(c) Investment performance of the Large Cap Fund and Polen. Because Polen was a newly proposed Subadvisor to the Large Cap Fund, the Independent Trustees could not consider Polen’s investment performance in managing the Large Cap Fund as a factor in evaluating the Polen Subadvisory Agreement. However, the Independent Trustees reviewed Polen’s historical performance record managing the investment mandate it would employ for the Large Cap Fund as compared to a relevant index and concluded that Polen’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Polen Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Polen be appointed as a Subadvisor to the Large Cap Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Polen was supported by the services that were expected to be provided to the Large Cap Fund and approval of the proposed Polen Subadvisory Agreement was in the best interests of the Large Cap Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the Polen Subadvisory Agreement.
Mercer US Small/Mid Cap Equity Fund
Approval of a New Subadvisory Agreement for the Small/Mid Cap Fund with River Road Asset Management, LLC
At the April Meeting, the Advisor also recommended, and the Board of Trustees, including the Independent Trustees, considered and approved, the appointment of River Road Asset Management, LLC (“River Road”) as a new Subadvisor for the Small/Mid Cap Fund to replace BNY Mellon Asset Management North America Corporation, one of the Subadvisors that previously managed an allocated portion of the Small/Mid Cap Fund’s portfolio. The changes to the subadvisory arrangements for the Small/Mid Cap Fund may be collectively referred to as the “New Small/Mid Cap Fund Subadvisor Structure.”
In connection with the implementation of the New Small/Mid Cap Fund Subadvisor Structure, the Trustees, including the Independent Trustees, approved a new Subadvisory Agreement between the Advisor and River Road (the “River Road Subadvisory Agreement”). The Board was informed by the Advisor that the appointment of River Road was based upon the Advisor’s determination that the firm was qualified to serve as a new Subadvisor to the Small/Mid Cap Fund, based upon the Advisor’s analysis of the firm.
In considering the approval of the River Road Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor and River Road that included, as to River Road and the Small/Mid Cap Fund: (i) the River Road Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended River Road for the Board’s approval, and the Advisor’s rationale for recommending that River Road be appointed as a
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subadvisor to the Small/Mid Cap Fund; (iii) the nature, extent, and quality of the services that River Road proposed to provide to the Small/Mid Cap Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of River Road; (v) River Road’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by River Road for its services to the Small/Mid Cap Fund, and the fees charged to other accounts that River Road manages; (vii) the compliance program applicable to River Road; (viii) information regarding the historical performance returns of River Road in managing the investment mandate it would employ for the Small/Mid Cap Fund and a comparison of such performance to a relevant index; and (ix) the financial condition of River Road. In addition, the Independent Trustees considered presentations made by, and discussions at the April Meeting with, representatives of the Advisor and the Advisor’s favorable assessment of the nature, extent and quality of the subadvisory services expected to be provided to the Small/Mid Cap Fund by River Road.
During their review of this information, the Independent Trustees considered and analyzed factors that the Independent Trustees deemed relevant with respect to River Road, including: the nature, extent, and quality of the services to be provided to the Small/Mid Cap Fund by River Road; River Road’s management style and investment decision-making process; River Road’s historical performance record in managing the investment mandate it would employ for the Small/Mid Cap Fund; the qualifications and experience of the members of River Road’s portfolio management team; and River Road’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the Subadvisors to the Small/Mid Cap Fund, which includes extensive management and compliance due diligence with respect to the management and operations of each of the Subadvisors. Additionally, the Independent Trustees received assistance and advice from their independent legal counsel regarding legal and industry standards in connection with their duties and responsibilities when approving investment advisory agreements.
In particular, and as to River Road, the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by River Road. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by River Road to the Small/Mid Cap Fund. The Independent Trustees discussed the specific investment management process that River Road indicated that it will employ to manage its allocated portion of the Small/Mid Cap Fund’s investment portfolio (which was described in detail in the materials provided by River Road), the qualifications of River Road’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Small/Mid Cap Fund’s investment portfolio that River Road would be managing, and the performance record of River Road as compared to a relevant index. The Independent Trustees considered River Road’s infrastructure and resources, and whether River Road’s organization appeared to support River Road’s strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to River Road, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Small/Mid Cap Fund by River Road. The Independent Trustees determined that the Small/Mid Cap Fund and its shareholders would benefit from the quality and experience of River Road’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by River Road, as well as River Road’s ability to render such services based on River Road’s experience, operations and resources, were appropriate for the Small/Mid Cap Fund, in light of the Small/Mid Cap Fund’s investment objective, and the mandate relating to the allocated portion of the Small/Mid Cap Fund’s investment portfolio that River Road would manage.
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September 30, 2019 (Unaudited)
(b) Comparison of the services to be rendered and fees to be paid to River Roadunder other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees discussed the services that would be rendered by River Road and evaluated the compensation to be paid to River Road by the Advisor for those services. The Independent Trustees noted that the services that River Road would furnish to the Small/Mid Cap Fund appeared to be comparable to the services that River Road currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to River Road by the Advisor in light of the fees that were charged by River Road to its other advisory clients, as disclosed in River Road’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by River Road were the result of an arm’s length bargain negotiated by unaffiliated parties and that the Advisor believes such fees are fair and reasonable.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at the April Meeting, in determining to recommend River Road to serve as a Subadvisor to the Small/Mid Cap Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to River Road for its services to the Small/Mid Cap Fund were fair and reasonable. The Independent Trustees considered that the subadvisory fees of River Road would indirectly be borne by the Small/Mid Cap Fund and its shareholders. The Independent Trustees further considered that the proposed subadvisory fees to be charged by River Road were lower than the subadvisory fees charged by the subadvisor for the Small/Mid Cap Fund that was proposed to be replaced. The Independent Trustees considered that these cost savings would accrue to the Small/Mid Cap Fund, given the Advisor’s Fee Waiver Agreement, which is applicable to the Small/Mid Cap Fund and is effective through at least July 31, 2020, to waive any portion of its management fee that exceeds the aggregate amount of the subadvisory fees that the Advisor is required to pay to the Funds’ subadvisors. Based on their discussion, the Independent 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 River Road with respect to the assets of the Small/Mid Cap Fund to be allocated to River Road was supported by the services that were expected to be provided by River Road to the Small/Mid Cap Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to River Road from its relationship with the Small/Mid Cap Fund and concluded that they were reasonable.
The Independent Trustees considered the expected impact of the fees to be paid by the Advisor to River Road on the Small/Mid Cap Fund’s overall operating expenses, given the Fee Waiver Agreement. In addition, since the fees to be paid to River Road were the result ofarm’s-length bargaining between unaffiliated parties, the relevance of River Road’s potential profitability was considered by the Independent Trustees in that context. The Independent Trustees also took note of the Advisor’s explanation that the recommended appointment of River Road was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and the Independent Trustees considered that the Advisor was not realizing a direct profit from the investment advisory services that it provides to the Small/Mid Cap Fund as a result of the Fee Waiver Agreement. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent and quality of the services expected to be provided by River Road and the proposed fees to be paid to River Road by the Advisor for managing its allocated portion of the Small/Mid Cap Fund, the potential benefits accruing to River Road as a result of serving as a Subadvisor to the Small/Mid Cap Fund were reasonable in relation to the services that were expected to be provided by River Road to the Small/Mid Cap Fund.
(c) Investment performance of the Small/Mid Cap Fund and River Road. Because River Road was a newly proposed Subadvisor to the Small/Mid Cap Fund, the Independent Trustees could not consider
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Notes to the Financial Statements (Continued)
September 30, 2019 (Unaudited)
River Road’s investment performance in managing the Small/Mid Cap Fund as a factor in evaluating the River Road Subadvisory Agreement. However, the Independent Trustees reviewed River Road’s historical performance record managing the investment mandate it would employ for the Small/Mid Cap Fund as compared to a relevant index and concluded that River Road’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the River Road Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend River Road be appointed as a Subadvisor to the Small/Mid Cap Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for River Road was supported by the services that were expected to be provided to the Small/Mid Cap Fund and approval of the proposed River Road Subadvisory Agreement was in the best interests of the Small/Mid Cap Fund and its shareholders. As a result, the Board, including a majority of the Independent Trustees, determined to approve the River Road Subadvisory Agreement.
Information Regarding the Special Meeting of Shareholders
A special meeting of shareholders of the Trust was held on October 28, 2019. At the meeting, Harrison M. Bains, Jr., Adela M. Cepeda, Gail A. Schneider, Rich Joseph and Luis Ubiñas were elected to serve on the Board until the next shareholder meeting or until their successors are duly elected and qualified or until they retire, resign, or are earlier removed. The shares were voted as indicated below:
To vote for or withhold authority in the election of | Number of Shares Voted for | Number of Shares Withheld | ||||||||
Harrison M. Bains, Jr. | 589,522,391.13 | 8,396.70 | ||||||||
Adela M. Cepeda | 589,522,291.38 | 8,496.45 | ||||||||
Gail A. Schneider | 589,522,291.38 | 8,496.45 | ||||||||
Richard Joseph | 589,522,415.53 | 8,372.30 | ||||||||
Luis Ubinas | 589,521,708.66 | 9,079.17 |
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Understanding Your Fund’s Expenses (Unaudited)
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees(12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2019 through September 30, 2019. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = $8.60) and multiply the result by the number in the Operating Expenses Incurred column as shown below for your Class. The second line in the table for each Fund provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
Large Cap —Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.35 | % | 1,000.00 | 1,050.10 | 1,025.05 | 1.77 | ||||||||||||||
Hypothetical | 0.35 | % | 1,000.00 | 1,023.25 | 1,011.63 | 1.77 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.35%, multiplied by the average account value over the period, multiplied by 183/366 |
Small/Mid Cap —Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.49 | % | 1,000.00 | 1,025.70 | 1,012.85 | 2.48 | ||||||||||||||
Hypothetical | 0.49 | % | 1,000.00 | 1,022.55 | 1,011.28 | 2.48 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 2.48%, multiplied by the average account value over the period, multiplied by 183/366 |
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Understanding Your Fund’s Expenses (Unaudited) (Continued)
Non-US Core Equity —Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.41 | % | 1,000.00 | 1,029.40 | 1,014.70 | 2.08 | ||||||||||||||
Hypothetical | 0.41 | % | 1,000.00 | 1,022.95 | 1,011.48 | 2.07 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.41%, multiplied by the average account value over the period, multiplied by 183/366 |
Core Fixed —Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.19 | % | 1,000.00 | 1,057.00 | 1,028.50 | 0.98 | ||||||||||||||
Hypothetical | 0.19 | % | 1,000.00 | 1,024.05 | 1,012.03 | 0.96 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.19%, multiplied by the average account value over the period, multiplied by 183/366 |
Opportunistic 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 | 1,029.70 | 1,014.85 | 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 |
Emerging Markets — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.55 | % | 1,000.00 | 972.40 | 986.20 | 2.71 | ||||||||||||||
Hypothetical | 0.55 | % | 1,000.00 | 1,022.25 | 1,011.13 | 2.78 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.55%, multiplied by the average account value over the period, multiplied by 183/366 |
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Understanding Your Fund’s Expenses (Unaudited) (Continued)
Global Low Volatility — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | ||||||||||||||||
Actual | 0.31 | % | 1,000.00 | 1,067.80 | 1,033.90 | 1.60 | ||||||||||||||
Hypothetical | 0.31 | % | 1,000.00 | 1,023.45 | 1,011.73 | 1.57 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.31%, multiplied by the average account value over the period, multiplied by 183/366 |
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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 calling1-866-658-9896, 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 (76) | Trustee | Trustee since 2005 | Mr. Bains is retired. | 7 | Mr. Bains is a director of Cara Therapeutics, Inc.; Mr. Bains was a director of BG Medicine, Inc. (2007 to 2014) and a trustee of BofA Funds Series Trust (11 portfolios) (2011 to 2016). | ||||||||
Adela M. Cepeda A.C. Advisory, Inc. 150 North Wacker Drive, Suite 2160 Chicago, IL 60606 (61) | Chairperson and Trustee | Chairperson since 2018; Trustee since 2005 | Ms. Cepeda is Managing Director of PFM Financial Advisors LLC (a financial advisory firm) since September 2016. Ms. Cepeda was previously Founder and President of A.C. Advisory, Inc. (a financial advisory firm) 1995 - 2016. | 7 | Ms. Cepeda is a director or trustee of: The UBS Funds (15 portfolios); UBS Relationship Funds (11 portfolios); SMA Relationship Trust (5 portfolios); Morgan Stanley Pathway Funds (11 portfolios); BMO Financial Corp. (U.S. holding company for BMO Harris Bank N.A.); Ms. Cepeda was a director of Fort Dearborn Income Securities, Inc. (2000 to 2016). | ||||||||
Gail A. Schneider 99 High Street Boston, MA 02110 (70) | Trustee | Trustee Since 2009 | Ms. Schneider is a self-employed consultant since 2007. Ms. Schneider was previously an Executive Vice President at JPMorgan Chase & Co. | 7 | None |
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Trustees and Officers (Unaudited) (Continued)
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Luis A. Ubiñas 99 High Street Boston MA 02110 (56) | Trustee | Trustee Since October 2019 | Mr. Ubiñas is retired. Mr. Ubiñas previously served as President of Ford Foundation (a not-for profit organization) from 2008-2013 and prior to that he served as a Senior Partner for McKinsey & Company (a global consulting firm). | 7 | Mr. Ubiñas is a Director of: Electronic Arts, Inc., Boston Private Financial Holdings, Inc., and Tanger Factory Outlet Centers, Inc. |
Interested Trustee:
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Richard S. Joseph** (54) | Trustee, President, and Chief Executive Officer | Since 2016 | Mr. Joseph is Vice President and Head of the US Mercer Delegated Solutions of Mercer Investments LLC since December 2015. Prior to December 2015, he was Chief Operating Officer of Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) since 2005. | 7 | Mr. Joseph is a trustee of Mercer Trust Company and was a director of Mercer Investments LLC (formerly known as Mercer Investments Management, Inc.) from January 2017 - March 2019. |
(1) | Each Trustee holds office for an indefinite term. |
* | The “Fund Complex” consists of the Trust, which has seven portfolios. |
** | Mr. Joseph is considered to be an “interested person,” as defined in the 1940 Act, of the Trust due to his relationship with the Advisor. |
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Trustees and Officers (Unaudited) (Continued)
Officers:
The executive officers of the Trust not named above are:
Name and Age | Position(s) | Term of | Principal Occupation(s) During Past 5 Years | |||
Stephen Gouthro (51) | Vice President, Treasurer and Chief Financial Officer | Since 2018 | Mr. Gouthro is a partner at Mercer and U.S. Chief Operating Officer for Mercer’s U.S. Business Solutions Group. Mr. Gouthro joined Mercer in 2018. Prior to joining Mercer, Mr. Gouthro was at Putnam Investments in various leadership roles in Operations, Technology, and Investments. | |||
Carol Ann McMahon (47) | Vice President and Assistant Treasurer | Since 2017 | Ms. McMahon is a Partner and Global COO for Wealth Global Business Solutions since 2016 and US COO in January 2017. Prior to 2016, Ms. McMahon held the position of European COO since 2006. | |||
Jennifer La Belle Lewis (51) | Vice President and Assistant Treasurer | Since 2018 | Ms. Lewis is a Principal for Mercer Investments LLC (formerly known as Mercer Investment Management). Ms. Lewis joined Mercer in August 2015 with primary responsibilities related to the treasury functions for the Mercer Funds. Before joining Mercer, Ms. Lewis was a Vice President at State Street with over 19 years working in Fund Administration. | |||
Stan Mavromates (58) | Vice President and Chief Investment Officer | Since 2012 | Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) since 2012. | |||
Colin Dean (42) | Vice President, Chief Legal Officer, and Secretary | Since 2017 | Mr. Dean is Global Chief Counsel Investments since 2018. He has served as Senior Legal Counsel — Investments for Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) | |||
Caroline Hulme (34) | Vice President and Assistant Secretary | Since 2017 | Ms. Hulme is Senior Legal Counsel, Investments since 2018. She has served as Legal Counsel — Investments for Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) since 2014. Prior to 2014, she was an Associate in the investment management practice group of Bingham McCutchen LLP. | |||
Alec Rapaport (48) | Vice President | Since 2019 | Mr. Rapaport is a Vice President and Portfolio Manager of Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) since 2019. Prior to that, Mr. Rapaport was an independent consultant, and before that he worked at Commonfund Asset Management Company from 2000 to 2016, holding various positions, which included Team Head, Managing Director Fixed Income & Commodities. | |||
Larry Vasquez (52) | Vice President | Since 2012 | Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) since 2012. |
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Mercer Funds
Trustees and Officers (Unaudited) (Continued)
Name and Age | Position(s) | Term of | Principal Occupation(s) During Past 5 Years | |||
Jennifer Mortimer (48) | Chief Compliance Officer | Since 2019 | Ms. Mortimer is the Chief Compliance Officer of Mercer Investments LLC (formerly known as Mercer Investment Management, Inc.) since July 2019. She has served as US Compliance Leader, Investments since January 2017. Ms. Mortimer served as Chief Compliance Officer for Century Capital Management LLC and Century Funds (June 2014 - January 2017). |
† | Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board. |
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Shares of Mercer Funds are distributed by MGI Funds Distributors, Inc.
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-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 CFR240.14a-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 Rule30a-3(c) under the Investment Company Act of 1940 (17 CFR270.30a-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 Rule30a-3(d) under the Investment Company Act of 1940 (17 CFR270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. | Exhibits. |
(a)(1) Not applicable.
(a)(2) Certification of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule30a-2(a) under the Investment Company Act of 1940 (17 CFR270.30a-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 Rule30a-2(b), under the Investment Company Act of 1940 (17 CFR270.30a-2(b)), Rule15d-14(b) under the Securities Exchange Act of 1934 (17 CFR240.15d-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) | /S/ Richard Joseph | |
Richard Joseph President and Chief Executive Officer (Principal Executive Officer) | ||
Date November 19, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By (Signature and Title) | /S/ Richard Joseph | |
Richard Joseph President and Chief Executive Officer (Principal Executive Officer) | ||
Date November 19, 2019 | ||
By (Signature and Title) | /S/ Stephen Gouthro | |
Stephen Gouthro Vice President, Treasurer and Chief Financial Officer (Principal Financial Officer) | ||
Date November 19, 2019 |