N-CSR 1 d345125dncsr.htm MERCER FUNDS Mercer Funds
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-21732

 

 

Mercer Funds

(Exact Name of Registrant as Specified in Charter)

 

 

99 High Street

Boston, MA 02110

(Address of Principal Executive Offices)(Zip Code)

 

 

Scott M. Zoltowski, Esq.

Mercer Investment Management, Inc. 99 High Street

Boston, MA 02110

(Name and Address of Agent for Service)

 

 

Registrant’s Telephone Number, including Area Code: (617) 747-9500

Date of Fiscal Year End: March 31, 2017

Date of Reporting Period: March 31, 2017

 

 

 

Table of Contents

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

Table of Contents

LOGO

 

Mercer Funds™

Annual Report

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Mercer Non-US Core Equity Fund

Mercer Core Fixed Income Fund

Mercer Opportunistic Fixed Income Fund

Mercer Emerging Markets Equity Fund

Mercer Global Low Volatility Equity Fund

This report has been prepared for Mercer Funds shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Mercer Funds prospectus. The prospectus contains more complete information about the Funds’ investment objectives, risks, and expenses. Investors are reminded to read the prospectus carefully before investing.

March 31, 2017

Table of Contents

 

MERCER FUNDS

TABLE OF CONTENTS

 

 

 

     Page

Management’s Discussion of Fund Performance

    1

Schedules of Investments

    23

Statements of Assets and Liabilities

    144

Statements of Operations

    147

Statements of Changes in Net Assets

    149

Financial Highlights

    153

Notes to the Financial Statements

    160

Report of Independent Registered Public Accounting Firm

    201

Additional Information

    202

Understanding Your Fund’s Expenses

    203

Trustees and Officers

    206

Table of Contents

Mercer US Large Cap Equity Fund

(formerly the Mercer US Large Cap Growth Equity Fund)1

 

 

Investment Objective and Benchmark

The investment objective of the Fund is long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000 Index.

Investment Strategy

The Fund invests principally in equity securities issued by large capitalization U.S. companies. The Fund employs a “core equity” investment strategy by investing in both growth and value oriented equity securities.

Performance

For the fiscal year ended March 31, 2017, the Fund’s Y-3 share class performance was 17.74% compared to its benchmark, the Russell 1000 Index, return of 15.43%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

Prior to the Reorganization, the Fund employed four subadvisors, Sands Capital Management, LLC (Sands), HS Management Partners (HS), Columbia Management Investment Advisers, LLC (Columbia) and Parametric Portfolio Associates LLC (Parametric).

Following the Reorganization, the Fund employed six subadvisors, terminating Sands, maintaining HS, Columbia, and Parametric, and adding AJO, LP (AJO), Brandywine Global Investment Management, LLC (Brandywine), and O’Shaughnessy Asset Management, LLC (OSAM).

AJO is a quantitative manager that relies on a combination of value, management, momentum, and sentiment factors to evaluate securities. Columbia is an aggressive growth manager, following a high conviction, concentrated strategy that focuses on financially strong companies that are growing earnings faster than the broader equity market. HS is a growth manager that invests in quality businesses with strong management that trade at attractive valuations. Brandywine, a deep value manager, focuses on cheap stocks that trade at a significant discount to intrinsic value, that have strong free cash flows and quality balance sheets. OSAM is a yield focused quantitative value manager that seeks stocks that are ranked high based on valuation, quality and shareholder yield. Parametric utilizes exchange-traded futures to generate exposure corresponding to the Fund’s benchmark, the Russell 1000 Index.

Market Commentary and Fund Performance

For the 12-month period ending March 31, 2017, the U.S. equity market, as measured by the Russell 3000 Index, increased 18.07%. After a period of uncertainty following the Brexit vote results in June and the lead up to the U.S. presidential election in November, the U.S. equity markets surged following the election with investors anticipating tax reform, increased infrastructure spending and deregulation. The so-called “Trump rally” was further supported by upbeat housing and labor market data, as well as encouraging results of consumer sentiment surveys, all of which helped drive U.S. equity markets higher during the period. Then in December, with the Federal Reserve raising interest rates by 0.25% the anticipation of deregulation and corporate tax reform, there was a sector rotation shift into financials, energy and industrials that drove performance for the rest of 2016.

Starting in 2017, growth stocks led the market rally, outperforming value stocks across market capitalization ranges, which was supported by strong performance from information technology and consumer discretionary stocks. Energy was the weakest performing sector throughout the first quarter of 2017.

 

1

 

1  On June 24, 2016, the Mercer US Large Cap Value Equity Fund (“Large Cap Value Fund”) merged into the Mercer US Large Cap Growth Equity Fund (“Large Cap Growth Fund”) and the Large Cap Growth Fund changed its investment strategy to implement a “core” (i.e., both “growth” and value”) investment strategy and changed its name to the Mercer US Large Cap Equity Fund (the “Reorganization”). Prior to the Reorganization the Fund’s benchmark was the Russell 1000 Growth Index, which returned 15.76% for the fiscal year ended March 31, 2017.

Table of Contents

Mercer US Large Cap Equity Fund

(formerly the Mercer US Large Cap Growth Equity Fund)1

 

 

Within the Russell 1000 Index, the Fund’s benchmark, the best performing sectors for the fiscal year were financials, information technology and materials with returns of 33.4%, 24.75%, and 20.78% respectively. Telecommunications was the laggard with returns of 3.98%. The best performing industries were wireless telecommunication services, banks and internet & direct marketing retail with returns of 64.82%, 45.46%, and 40.95% respectively.

The Mercer U.S. Large Cap Equity Fund outperformed the Russell 1000 Index for the period. The Fund’s exposure to value, from a factor perspective coupled with strong security selection were the primary contributors to the Fund’s outperformance. Specifically, security selection in the information technology, industrials and financials sectors drove performance despite poor security selection in the healthcare sector.

Brandywine’s overweight to the financial sector combined with an underweight to real estate contributed to its outperformance as did strong security selection within financials, information technology and industrial sectors. OSAM’s positive performance was driven by its underweight to healthcare and real estate, combined with strong security selection in industrials, energy and information technology. Columbia outperformed for the fiscal year due to strong security selection within the information technology and consumer discretionary sectors. HS underperformed for the period due in part to its underweight in financials, overweight in consumer discretionary, and poor security selection within the information technology sector. For the nine months AJO subadvised a portion of the Fund, they outperformed due to strong security selection within the industrials and financials sectors. Parametric utilized exchange–traded futures to generate market exposure corresponding to the Fund’s benchmark. Its performance was in line with the benchmark.

Risk Considerations

The Fund invests in both growth stocks and value stocks. Growth stocks may be particularly sensitive to market conditions. Investing in value stocks involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

 

2

Table of Contents

Mercer Funds

March 31, 2017

 

 

Comparison of Change in Value of a $10,000 Investment in

Mercer US Large Cap Equity Shares vs. the

Russell 1000® Index and the Fund’s Prior Index1

As of March 31, 2017

 

LOGO

This graph shows the performance of the Mercer US Large Cap Equity Fund Class Y-3 shares versus the Russell 1000® Index and the Fund’s Prior Index1 from April 1, 2007 through March 31, 2017. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

1 Effective as of June 27, 2016, the Fund changed its primary benchmark from the Russell 1000® Growth Index to the Russell 1000® Index in connection with a change to the Fund’s principal investment strategies because it was determined that this index is more reflective of the Fund’s current investment style.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

 

3

Table of Contents

Mercer US Small/Mid Cap Equity Fund

(formerly the Mercer US Small/Mid Cap Growth Equity Fund)1

 

 

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500 Index.

Investment Strategy

The Fund invests principally in equity securities issued by small-to-medium capitalization U.S. companies. The Fund employs a “core equity” investment strategy by investing in both growth and value oriented equity securities.

Performance

For the fiscal year ended March 31, 2017, the Fund’s Y-3 share class performance was 21.24% compared to its benchmark, the Russell 2500 Index, return of 20.44%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

Prior to the Reorganization, the Fund employed four subadvisors, Jackson Square Partners, LLC (Jackson Square), Palisade Capital Management, LLC (Palisade), Westfield Capital Management Company, LP (Westfield) and Parametric Portfolio Associates LLC (Parametric).

Following the Reorganization, the Fund employed six sub-advisors, terminating Jackson Square and Palisade, maintaining Westfield and Parametric and adding GW&K Investment Management, LLC (GW&K), Loomis, Sayles & Company L.P. (Loomis), LSV Asset Management (LSV) and NWQ Investment Management Company, LLC (NWQ).

GW&K uses a bottoms-up fundamental research process in order to identify companies with sustainable long-term earnings growth rates. Westfield, a traditional growth manager, employs a fundamental, bottoms-up approach which seeks to identify reasonably priced stocks with high earnings growth potential. Loomis, a low growth manager, seeks companies with high quality business models that have differentiated and sustainable growth opportunities. LSV, a quantitative value manager, seeks deep value out of favor companies with recent momentum. LSV attempts to avoid introducing any judgmental biases or behavioral weaknesses into their investment process. NWQ, a concentrated value manager, utilizes a fundamental process that focuses on value with a catalyst. NWQ looks to uncover factors that enhance valuations three months to a year in advance in order to capitalize on inflection points and catalysts as they emerge. Parametric utilizes exchange traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

For the 12-month -period ending March 31, 2017, the U.S. equity market, as measured by the Russell 3000 Index, increased 18.07%. After a period of uncertainty following the Brexit vote results in June and the lead up to the U.S. presidential election in November, the U.S. equity markets surged following the election with investors anticipating tax reforms, increased infrastructure spending and deregulation. The so-called “Trump rally” was further supported by upbeat housing and labor market data as well as encouraging results of consumer sentiment surveys, all of which helped drive U.S. equity markets higher during the period. Then in December, with the Federal Reserve raising interest rates by 0.25% and the anticipation of deregulation and corporate tax reform, there was a sector rotation shift into financials, energy and industrials that drove performance for the rest of 2016.

 

 

1  On June 24, 2016, the Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value Fund”) merged into the Mercer US Small/Mid Cap Growth Equity Fund (“Small/Mid Cap Growth Fund”) and the Small/Mid Cap Growth Fund changed its investment strategy to implement a “core” (i.e., both “growth” and value”) investment strategy and changed its name to the Mercer US Small/Mid Cap Equity Fund (the “Reorganization”). Prior to the Reorganization the Fund’s benchmark was the Russell 2500 Growth Index , which returned 19.77% for the fiscal year ended March 31, 2017.

 

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Mercer US Small/Mid Cap Equity Fund

(formerly the Mercer US Small/Mid Cap Growth Equity Fund)1

 

 

Starting in 2017, growth stocks led the market rally outperforming value stocks across market capitalization ranges, which was supported by strong performance from information technology and consumer discretionary stocks. Energy was the weakest performing sector throughout the first quarter of 2017.

Within the Russell 2500 Index, the Fund’s benchmark, the best performing sectors for the fiscal year were financials and materials with positive returns of 34.28% and 31.34% respectively. Underperforming sectors for the fiscal year were telecommunications and consumer staples, with a negative return of 7.00% and a positive return of 6.39%, respectively. The top performing industries for the fiscal year were automobiles and banks with positive returns of 49.72% and 43.6%, respectively. The underperforming industries for the fiscal year were multiline retail and food & staples with negative returns of 23.85% and 16.69%, respectively.

The Mercer U.S. Small/Mid Cap Equity Fund outperformed the Russell 2500 Index for the period. The Fund’s exposure to value coupled with strong security selection were the primary drivers to the Fund’s outperformance. Specifically, strong security selection in the consumer discretionary and financials sectors drove performance for the fiscal year despite poor security selection in the information technology and materials sectors.

NWQ outperformed for the fiscal year due to its strong security selection in the financials, information technology and consumer staples sectors. LSV’s outperformance for the period was driven by its overweight in the financials sector and its strong security selection in the consumer staples, information technology and financial sectors. Westfield outperformed for the fiscal year due to its strong security selection in the health care and consumer discretionary sectors. In addition, their underweight in the consumer staples and real estate sectors from an allocation standpoint helped drive their outperformance. Loomis underperformed for the fiscal year due to its poor security selection in the information technology and industrial sectors. GW&K‘s underperformance was due to its poor security selection in the materials and information technology sectors. Parametric utilized exchange traded futures to generate market exposure corresponding to the Fund’s benchmark. Its performance was in line with the benchmark.

Risk Considerations

The Fund invests in both growth stocks and value stocks. Growth stocks may be particularly sensitive to market conditions. Investing in value stocks involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

 

5

Table of Contents

Mercer Funds

March 31, 2017

 

 

Comparison of Change in Value of a $10,000 Investment in

Mercer US Small/Mid Cap Equity Shares vs. the

Russell 2500™ Index and the Fund’s Prior Index1

As of March 31, 2017

 

LOGO

This graph shows the performance of the Mercer US Small/Mid Cap Equity Fund Class Y-3 shares versus the Russell 2500™ Index and the Fund’s Prior Index1 from April 1, 2007 through March 31, 2017. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

1 Effective as of June 27, 2016, the Fund changed its primary benchmark from the Russell 2500TM Growth Index to the Russell 2500TM Index in connection with a change to the Fund’s principal investment strategies because it was determined that this index is more reflective of the Fund’s current investment style.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

 

6

Table of Contents

Mercer Non-US Core Equity Fund

 

  

 

 

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI EAFE Index.

Investment Strategy

The Fund invests principally in equity securities issued by non-U.S. companies of any capitalization, located in the world’s developed and emerging capital markets.

Performance

For the fiscal year ended March 31, 2017, the Fund’s Y-3 share class performance was 10.62% compared to its benchmark return of 11.67%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2017, the Fund employed five sub-advisors, Arrowstreet Capital, Limited Partnership (Arrowstreet), American Century Investment Management, Inc. (American Century), MFS Investment Management (MFS), LSV Asset Management (LSV) and Parametric Portfolio Associates LLC (Parametric).

Arrowstreet’s strategy seeks to outperform international equity benchmarks through a risk-controlled core approach. Arrowstreet combines sound investment intuition and research with rigorous quantitative tools to identify mispriced stocks around the world. Arrowstreet believes that the key to generating return in excess of the benchmark involves evaluating the prospects of a security considering both the characteristics of the stock itself (direct effects) as well as the characteristics of other related stocks (indirect effects). American Century manages its portfolio based on an investment philosophy that companies exhibiting improving or accelerating growth will outperform the market over time. American Century constructs its portfolio through bottom-up stock selection within a risk aware framework. American Century’s thorough research process seeks to identify companies that are exhibiting an improvement or acceleration in growth where it believes that growth is sustainable but that the earnings power of the company is generally underestimated. American Century will invest primarily in equity securities of companies located in Non-U.S. developed markets. MFS manages a value portfolio, which focuses on stocks whose long-term value they believe is not adequately reflected in the stock price. MFS invests opportunistically in emerging markets. LSV utilizes a quantitative approach which seeks deep value stocks that have fallen out of favor with the market, but have recent momentum, either in terms of price or earnings. LSV believes that long-term results are achieved through systematic exploitation of judgmental biases and behavioral weaknesses that influence investor decisions. LSV aims to exploit these biases through the disciplined application of quantitative techniques to drive bottom-up security selection. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

Global equity markets, as measured by the MSCI World Index, rose 14.8% during the 12-month period ending March 31, 2017. U.S. equities rallied with the S&P 500 Index up 17.2% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned 11.7% and 17.2%, respectively, over the same time period.

Global equity and emerging markets in particular, rallied significantly since the end of the first calendar quarter of 2016. Underpinning the overall rally in global equity markets during this period was an improvement in consumer and business confidence in addition to the pickup in global growth. Growth has remained positive in Europe and Japan during this period as other economic variables, such as employment, have slowly improved.

During the period, the biggest challenge to equity markets came in June, when markets fell sharply after British voters voted in favor of exiting the European Union. This correction in the global equity markets was short-lived, however, with markets making up the majority of losses within a month. Developed international markets continued their rally through the remainder of 2016 and the first quarter of 2017. However, emerging markets suffered a second setback after the US election. In addition to headwinds caused by the rally in the US Dollar, market participants also became concerned with possible disruptions in global trade due to the rhetoric coming from the incoming administration.

 

7

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Mercer Non-US Core Equity Fund

 

 

 

GDP growth in emerging markets has varied. Despite a slowdown in Chinese economic growth over the last few years, the country has remained the biggest contributor to global growth. During this period, China’s GDP growth has stayed steadily just under 7%. Elsewhere in emerging markets, Brazil’s economy may have bottomed at the end of 2016, while India’s GDP growth has been above 7%. Importantly, emerging market earnings have stabilized in recent periods. Higher commodity prices and easing financial conditions lead to an uptick in earnings. Protectionist trade policies and a continuation of US interest rate increases may be potential headwinds to emerging markets if they were to lead to currency weakness and capital outflows.

In this environment, the Mercer Non-US Core Equity Fund underperformed the MSCI EAFE Index by 1.00% for the 12-month period ending March 31, 2017. During this period, the Fund’s underperformance was driven primarily by poor stock selection and unfavorable currency exposures. The Fund held an overweight position to the consumer staples sector — one of the worst performing sectors during the period. Also detracting from performance were underweights in the financial and energy sectors, which performed strongly, particularly in the fourth quarter of 2016.

The sub-advisors that struggled during the period tended to have larger weightings of growth companies and/or quality companies.

American Century provides the growth allocation for the Fund. Value outperformed growth significantly during this period which was a serious headwind for the American Century strategy to overcome. The focus on growth stocks generally, along with some poor individual stock selections, led to underperformance by the American Century portfolio for the period.

MFS, a manager that has outperformed significantly over the last few years, underperformed during the period ended March 31, 2017, as quality, stable companies became less favored in the markets compared to higher risk companies. Given its focus on quality companies, MFS tends to hold less cyclical exposure, which contributed to its underperformance.

Arrowstreet beat the Fund’s benchmark during this period through stock selection and favorable currency exposures. The biggest contributor to Arrowstreet’s outperformance was stock selection in the technology sector.

LSV is the dedicated value manager in the Fund. Value stocks outperformed growth stocks during this period which helped the LSV strategy outpace the Fund’s benchmark. The LSV portfolio’s overweight to the financial sector gave a boost to relative returns. Currency exposures and exposure to small cap stocks also contributed to positive relative returns, but the value exposure was the dominant driver of outperformance for LSV.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Its performance was in line with the benchmark.

Risk Considerations

The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

 

8

Table of Contents

Mercer Funds

March 31, 2017

 

 

Comparison of Change in Value of a $10,000 Investment in

Mercer Non-US Core Equity Shares vs. the

MSCI EAFE Index

As of March 31, 2017

 

LOGO

This graph shows the performance of the Mercer Non-US Core Equity Fund Class Y-3 shares versus the MSCI EAFE Index from April 1, 2007 through March 31, 2017. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

 

9

Table of Contents

Mercer Core Fixed Income Fund

 

  

 

 

Investment Objective and Benchmark

The investment objective of the Fund is to provide total return, consisting of both current income and capital appreciation. The benchmark for the Fund is the Barclays U.S. Aggregate Bond™ Index.

Investment Strategy

The Fund invests principally in investment grade fixed income securities, including government securities, corporate bonds and securitized bonds such as mortgage and asset-backed securities. The Fund may also invest in non-investment grade bonds, non-U.S. dollar denominated bonds, bonds issued by issuers located in emerging capital markets, and certain derivative instruments. The Fund may invest in derivative instruments, such as options, futures, and swap agreements. The Fund may engage in transactions in derivatives for a variety of purposes, including changing the investment characteristics of its portfolio, enhancing total returns or as a substitute for taking a position in an underlying asset.

Performance

For the fiscal year ended March 31, 2017, the Fund’s Y-3 share class performance was 1.58% compared to its benchmark return of 0.44%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2017, the Fund employed three sub-advisors, Manulife Asset Management (Manulife), Income Research & Management (IR&M) and Prudential Fixed Income, a business unit of PGIM, Inc. (Prudential). Manulife replaced Dodge & Cox on June 1st, 2016.

Manulife manages its allocated portion of the Fund by seeking to produce superior results by anticipating shifts in the business cycle and moderating risk relative to the direction of interest rates. The investment team capitalizes on these shifts by using a research-driven process to identify attractive sectors as well as mispriced securities within those sectors. IR&M manages its allocated portion based on the belief that careful security selection and higher portfolio income provide superior returns over the long term. Portfolios are constructed using a disciplined, bottom-up investment approach to select attractive securities from the U.S fixed income universe. Prudential manages its allocated portion of the Fund by seeking to maximize excess return opportunities from sustainable alpha sources such as sector allocation and bottoms up security selection. This process is coupled with a diligent daily portfolio risk evaluation and monitoring process. Research-based security selection is a major source of added value and incorporates both fundamental analysis as well as proprietary models that identify relative value and detailed technical review of issuers across both benchmark and non-benchmark sectors, with an emphasis on credit-oriented sectors.

Market Commentary and Fund Performance

For the 12 month period ending March 31, 2017, U.S. fixed income market returns as measured by the Barclay U.S. Aggregate index were positive, reflecting price increases of securities not backed by a U.S. Government Guarantee (Corporate Bonds, Asset Backed Securities, and Commercial Mortgage Backed Securities), which more than offset the general drop in prices resulting from rising interest rates. Intermediate U.S. Treasury rates increased 0.71% and longer term interest rates increased 0.40% year-over-year (with some interim volatility). The short end of the yield curve also rose year-over-year by 0.52% as the Federal Reserve raised short term interest rates twice over the period. Despite quarter-to-quarter volatility during the period, interest rates moved higher as the market expected President Trump’s pro-growth agenda would lead the Federal Reserve to raise interest rates. Foreign buying of U.S. Treasuries continued at a strong pace, and this helped to temper the effect of the rise in interest rates.

Returns from securities not backed by a U.S. Government Guarantee (Corporate Bonds, Asset Backed Securities, and Commercial Mortgage Backed Securities) were positive, as they benefitted from strong demand in the market for higher yielding securities. Lower credit quality rated corporate bonds (i.e., high yield or “junk” bonds) tended to provide greater excess returns during the 12-month period than the higher credit quality rated corporate bonds (i.e., investment-grade bonds). Investment-grade corporate bond issuers issued a record amount of new bonds to take advantage of low funding rates, once again exceeding the record breaking issuance of the prior year.

 

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Mercer Core Fixed Income Fund

 

  

 

 

With Treasury rates rising so significantly during the 12-month period, positive total return was driven almost entirely from outperformance of the spread sectors (i.e., non-Treasury securities). Spread sectors provided higher returns in relation to similar-duration Treasuries while registering moderate gains in absolute terms. The Fund’s return was positive in absolute terms and it also outperformed in relation to the Barclays U.S. Aggregate Bond Index for the period. The Fund was helped by its strategic overweight to spread sectors including an allocation to high yield.

The respective performance results of each sub-advisor correlated with their risk posture, as more risk translated into more returns in this “risk-on” period. Manulife has the largest share of the risk allocation within the Fund. Their bias towards corporate credit and their approximate 15% allocation to relatively “higher quality” high yield bonds, led them to have the strongest returns for the period in which they have been a manager in the Fund. Manulife carried an underweight to utilities, which detracted from returns over the year. Prudential had a less aggressive allocation to spread sectors but was nonetheless overweight as spreads tightened, which helped them outperform. Prudential was slightly long in duration, which detracted from returns over the year. IR&M’s positive convexity bias relative to the Index helped them outperform and their spread positioning was biased towards higher quality corporate bonds which also helped them outperform, but to a lesser extent than the other two managers. IR&M had an out of benchmark exposure to Small Business Administration loans (SBA’s) which detracted from returns over the year.

Risk Considerations

The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, prepayment, call and interest rate risk. As interest rates rise, the value of bond prices will decline. The Fund may invest in more aggressive investments such as foreign securities which may expose the Fund to currency and exchange rate fluctuations, derivatives (futures, options, swaps) and high yield bonds (also known as “junk” bonds) all of which may cause greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub- advisors to allocate assets.

 

11

Table of Contents

Mercer Funds

March 31, 2017

 

 

Comparison of Change in Value of a $10,000 Investment in

Mercer Core Fixed Income Shares vs. the

Barclays U.S. Aggregate Bond™ Index

As of March 31, 2017

 

LOGO

This graph shows the performance of the Mercer Core Fixed Income Fund Class Y-3 shares versus the Barclays US Aggregate Bond™ Index from April 1, 2007 through March 31, 2017. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

 

12

Table of Contents

Mercer Opportunistic Fixed Income Fund

 

  

 

 

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The Fund’s primary benchmark is the Bank of America Merrill Lynch Global High Yield 2.0% Constrained Index. The Fund’s secondary benchmark is a blended benchmark consisting of 50% JP Morgan Government Bond Index – Emerging Markets Global Diversified and 50% Bank of America Merrill Lynch Global High Yield 2.0% Constrained Index.

Investment Strategy

The Fund invests principally in fixed income securities of U.S. and non-U.S. issuers, including those in emerging and frontier markets. The Fund invests in various strategic and tactical global bond market opportunities without limitations in geography, issuer type, quality and currency denomination. The Fund may invest in derivatives such as futures (including among others, interest rate futures), swaps (currency, interest rate, credit default and total return), forwards, options, and credit-linked notes. The Fund may engage in transactions in derivatives for a variety of purposes, including hedging, risk management, efficient portfolio management, enhance total returns, or as a substitute for taking position in the underlying asset.

Performance

For the fiscal ended March 31, 2017, the Fund’s Y-3 share class performance was 10.31% compared to its primary benchmark return of 13.81% and secondary benchmark return of 9.72%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2017, the Fund employed two sub-advisors, Franklin Advisers, Inc. (Franklin) and Investec Asset Management Limited (Investec).

In managing its allocated portion of the Fund’s portfolio, Franklin will typically invest in non-investment grade securities issued globally. Franklin is a research driven, fundamental investor that relies on a team of analysts to provide in-depth industry expertise, using both qualitative and quantitative analysis to evaluate issuers. Although bottom-up security selection forms the core part of Franklin’s process, it uses industry attractiveness when selecting investments. In managing its allocated portion of the Fund’s portfolio, Investec will invest in public sector, sovereign and corporate bonds issued by emerging market borrowers and those denominated in local emerging market currencies. Investec’s portfolio construction process promotes allocation to countries and currencies identified based on economic fundamentals, valuations and market price behavior.

Market Commentary and Fund Performance

For the 12 month period ending March 31, 2017, U.S. and global fixed income markets experienced a volatile period driven by a few broad underlying factors: a recovery in the physical commodities markets; less economic uncertainty in China; a stable U.S. dollar versus developed and emerging market currencies; and significant oil price recovery, which created mixed effects to energy importer and exporter economies.

The perceived recovery in the U.S. economy created negative total returns for U.S. Treasury securities and positive total returns for lower credit quality rated corporate bonds (i.e., high yield or “junk” bonds) and for non-U.S. dollar-denominated bonds. U.S. Treasury securities prices moved lower, primarily from the market’s perception that President Trump’s pro-growth agenda could lead to growth in the U.S. economy and potentially lead to the Federal Reserve raising interest rates. The Bank of America Merrill Lynch Global High Yield Index experienced a tightening in its risk premium by 3.05% (i.e. the decrease in yield over U.S. Treasuries) ending the fiscal year period with a risk premium of 3.81% and an overall yield of 5.44%. Rising oil prices and a stable U.S. dollar positively influenced bond prices as nearly all sectors of the high yield market had positive total returns. Low corporate default rates, stable business fundamentals and a favorable view on the overall direction of the economy provided positive momentum which allowed high yield to outperform in a rising rate environment.

Local Emerging markets debt experienced a volatile environment during the twelve months ending March 31, 2017. Security valuations fluctuated, and U.S. interest rates moved higher, primarily as a result of the U.S. Presidential election. The stabilization in commodity prices, especially oil, led to a rally during the period for physical commodities.

 

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Mercer Opportunistic Fixed Income Fund

 

  

 

 

In the fiscal year Franklin outperformed the Bank of America Merrill Lynch Global High Yield Index. This outperformance was driven primarily by its allocation to the energy sector within the High Yield Index. Both the overweight allocation to the energy sector in general and the specific security selection within the energy sector added to performance. Additionally Franklin’s investment in lower rated bonds in the portfolio impacted performance positively during the year. Franklin’s exposure to certain healthcare bonds negatively impacted performance for the year. During the period Investec also outperformed the JP Morgan Government Bond Index – Emerging Markets Global Diversified. Investec’s outperformance came from a combination of bonds and currencies. In currencies, the overweight allocation to the Russian ruble added to performance, whereas our underweight allocation to the Philippine peso detracted. In bonds, our positioning in South African bonds was a key contributor over the year but the performance was slightly offset by our position in Turkish bonds.

Risk Considerations

The Fund invests in non-investment grade and emerging market fixed income securities which involves certain risks such as higher volatility, currency fluctuation, political and social instability and reduced market liquidity. The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, call and interest rate risk. The Fund may invest in more aggressive investments such as derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

 

14

Table of Contents

Mercer Funds

March 31, 2017

 

 

Comparison of Change in Value of a $10,000 Investment in

Mercer Opportunistic Fixed Income Shares vs. the

Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index1

As of March 31, 2017

 

LOGO

This graph shows the performance of the Mercer Opportunistic Fixed Income Fund Class Y-3 shares versus the Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index1 from August 21, 2013, which is the inception date of the Fund, through March 31, 2017. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

1 The Mercer Opportunistic Fixed Income Fund’s Secondary Index is a blended benchmark consisting of 50% JP Morgan Government Bond Index — Emerging Markets Global Diversified USD Unhedged and 50% Bank of America ML Global High Yield 2% Constrained Index Unhedged.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

 

 

15

Table of Contents

Mercer Emerging Markets Equity Fund

 

  

 

 

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI Emerging Markets Index.

Investment Strategy

The Fund invests principally in equity securities of large, medium and small capitalization companies, located in emerging markets, other investments that are tied economically to emerging markets, as well as in American, European and Global Depository receipts. Stock index futures and various types of swaps may be used to implement the country selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.

Performance

For the fiscal year ended March 31, 2017, the Fund’s Y-3 share class performance was 16.14% compared to its benchmark return of 17.21%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2017, the Fund employed seven sub-advisors, AQR Capital Management, LLC (AQR), KBI Global Investors (North America) Ltd. (KBI), Investec Asset Management Limited (Investec), Mondrian Investment Partners Limited (Mondrian), Copper Rock Capital Partners LLC (Copper Rock), William Blair Investment Management, LLC (William Blair) and Parametric Portfolio Associates LLC (Parametric). Mondrian, Copper Rock and William Blair were added to the Fund on June 30, 2016. The addition of these three new managers added more quality and small cap exposure to the portfolio.

AQR employs a systematic, research-driven investment approach focused on generating excess return relative to the benchmark from currency, country and security selection strategies. AQR’s proprietary investment process uses fundamental factors, such as value, momentum and quality within its models. AQR uses quantitative tools to construct optimized portfolios based on this diversified set of fundamental factors, along with estimates of risk and transactions costs. KBI manages a systematic process focusing on quality firms growing their dividend yield. KBI’s portfolio construction process uses sector and region constraints to minimize uncompensated risks. Investec uses a 4-Factor Model to evaluate companies based on strategy, value, earnings and technicals to build its portfolio. Investec’s strategy looks for high quality, attractively valued companies which have improving operating performance and are receiving increasing investor attention. Copper Rock specializes in small cap equity investing using a blend of quantitative and fundamental analyses to identify companies with superior growth relative to their peers. Copper Rock’s portfolio typically exhibits factor exposures to growth, momentum and quality. Mondrian is an experienced value manager that uses a Dividend Discount Model to analyze and find attractive companies focused on the domestic oriented growth of emerging markets. Along with emerging market domiciled companies, Mondrian’s management team will also consider any company globally that generates at least 25% of revenues/profits from emerging/frontier markets. William Blair has a quality growth philosophy and process focused on finding those companies that can achieve a higher growth rate for a longer period of time than the market expects. William Blair looks for companies with experienced and motivated management teams, unique business models and attractive financial characteristics. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

Global equity markets, as measured by the MSCI World Index, rose 14.8% during the 12-month period ending March 31, 2017. U.S. equities rallied with the S&P 500 Index up 17.2% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index (the Fund’s benchmark) returned 11.7% and 17.2%, respectively, over the same time period.

Global equity markets and emerging markets in particular, have rallied significantly since the end of the first calendar quarter of 2016. Underpinning the overall rally in global equity markets during this period was an improvement in consumer and business confidence in addition to the pickup in global growth. During the period, the biggest challenge to equity markets came in June, when markets fell sharply after British voters voted in favor of exiting the European Union. This correction in

 

16

Table of Contents

Mercer Emerging Markets Equity Fund

 

  

 

 

the global equity markets was short-lived, however, with markets making up the majority of losses within a month. Developed international markets continued their rally through the remainder of 2016 and the first quarter of 2017. However, emerging markets suffered a second setback after the US election. In addition to headwinds caused by the rally in the US Dollar following the election, markets reflected a concern that potential changes in US policy could result in disruptions to global trade that could adversely impact emerging markets.

GDP growth in emerging markets has varied. Despite a slowdown in Chinese economic growth over the last few years, the country has remained the biggest contributor to global growth. During this period, China’s GDP growth has been consistently just under 7%. Elsewhere in emerging markets, Brazil’s economy may have bottomed at the end of 2016, while India’s GDP growth has been above 7%. Importantly, emerging market earnings have stabilized in recent periods. Higher commodity prices and easing financial conditions have led to an uptick in earnings for emerging markets companies. Protectionist trade policies by emerging markets governments and additional increases in US interest rates by the Federal Reserve may be potential headwinds to emerging markets to the extent they contribute to currency weakness and capital outflows.

In this environment, the Mercer Emerging Markets Equity Fund underperformed the MSCI Emerging Markets Index by 1% for the 12-month period ending March 31, 2017. Underperformance during the period can be attributed to the Fund’s slightly defensive positioning. The Fund held an overweight position to the consumer staples sector (typically a defensive sector), which one of the worst was performing sectors over the 12 month period ended March 31, 2017. The Fund was also hurt by its underweight position in the energy sector; a sector that rallied significantly as the price of oil recovered from prior losses. Despite the Fund’s underperformance, our managers made positive stock picks versus the benchmark, however, those stock picks could not make up the relative losses caused by currency and sector exposures. Currency exposure also detracted at the overall Fund level. The portfolio held an underweight to the Brazilian Real, which rallied over 40% during this time period.

Among the sub-advisors, relative performance by AQR, Investec and Mondrian were all negatively affected by currency exposures as all three managers held underweight positions in Russia and Brazil, both countries whose currencies strongly rebounded during the period.

Investec outperformed the Fund’s benchmark over the period by making up much of the drag caused by currency exposures through positive stock selection especially in the automobiles & components sector. Telco was the largest sector contributor to performance, partly as a result of the underweight position but mainly through positive stock selection. Investec’s largest sector detractors were insurance and banks. In insurance both the stock selection and allocation effect were negative, whereas in banks only the overweight position detracted whilst the stock selection within the sector was positive. In terms of country exposures, our positions in East Asia were the largest contributors to performance.

AQR beat the MSCI EM Index for the period. The AQR strategy relies on three different models to build its portfolio: stock selection, currency selection and country selection. Country and currency selection gains offset marginal losses suffered as a result of negative stock selection by AQR.

The KBI strategy benefitted from a general shift among market participants from favoring growth stocks to favoring value stocks during the second half of 2016 as KBI’s process focuses on value stocks with high dividend yields.

The largest negative detractor during the period, at the sub advisor level, was William Blair, which began managing a portion of the Fund in June 2016. William Blair’s strategy focuses on quality growth companies, and toward the end of the period, quality growth companies became disfavored as markets rallied significantly.

Mondrian, whose strategy also trailed the Fund’s benchmark, began managing a portion of the Fund in June 2016. Mondrian’s strategy focuses on consumer related industries. The rally in commodity related industries was a drag on Mondrian’s relative performance as the portfolio is typically underweight in sectors such as materials and energy.

CopperRock, which began managing a portion of the Fund in June 2016, contributed positively to the Fund’s relative performance as a result of positive stock selection. CopperRock provides small cap company exposure in the Fund. Small cap exposure did not begin to add to positive relative performance until the beginning of 2017.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Its performance was in line with the benchmark.

 

17

Table of Contents

Mercer Emerging Markets Equity Fund

 

  

 

 

Risk Considerations

The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, forwards, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.

 

18

Table of Contents

Mercer Funds

March 31, 2017

 

 

Comparison of Change in Value of a $10,000 Investment in

Mercer Emerging Markets Equity Shares vs. the

MSCI Emerging Markets Index

As of March 31, 2017

 

LOGO

This graph shows the performance of the Mercer Emerging Markets Equity Fund Class Y-3 shares versus the MSCI Emerging Markets Index from May 1, 2012, which is the inception date of the Fund, through March 31, 2017. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

 

 

19

Table of Contents

Mercer Global Low Volatility Equity Fund

 

  

 

 

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI World Index.

Investment Strategy

The Fund invests principally in equity securities of U.S. and foreign issuers, of large, medium and small capitalization companies. Stock index futures and various types of swaps may be used to implement the equity security selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.

Performance

For the fiscal year ended March 31, 2017, the Fund’s Y-3 share class performance was 11.02% compared to its benchmark return of 14.77%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2017, the Fund employed four sub-advisors, Acadian Asset Management LLC (Acadian), MFG Asset Management (MFG), Martingale Asset Management, L.P. (Martingale) and Parametric Portfolio Associates LLC (Parametric).

First Eagle Investment Management, LLC was removed as a sub-advisor from the Fund in June 2016.

Acadian’s process uses both risk analysis and stock forecasts to create the portfolio. The process uses a risk model to determine the systematic risk and the level of volatility of each stock in the investable universe. Once a stock’s risk is determined, Acadian uses its stock forecast model as an overlay to determine the optimal mix of securities. Acadian’s security return forecasting model incorporates five categories including value, growth, risk, macroeconomic, and technical factors. MFG screens the universe of investable global stocks to identify high quality companies based on key quality criteria: the sustainability of a company’s competitive advantages; the predictability and reliability of future cash flows and earnings; the extent to which management will act in the best interest of shareholders; and re-investment potential. MFG then evaluates investment opportunities quantitatively incorporating both long-term intrinsic value and three-year forecast total shareholder returns using MFG’s proprietary forecasts. MFG determines portfolio construction by each stock’s ranking based on the qualitative assessment of the key criteria, the quantitative assessment driven by valuation, and detailed macroeconomic research within a robust risk management framework. From time to time, MFG may hold up to 20% of its portion of the Fund in cash if warranted by its assessment of the macro environment. Martingale’s approach to low volatility investing is built around a risk-adjusted market index methodology which promotes broad and stable diversification combined with a valuation overlay that favors low risk companies with stronger fundamentals. Martingale’s systematic stock evaluation incorporates measures of relative valuation, growth and quality, along with each security’s risk properties. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

Global equity markets, as measured by the MSCI World Index (the Fund’s benchmark), rose 14.8% during the 12-month period ending March 31, 2017. U.S. equities rallied with the S&P 500 Index up 17.2% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned 11.7% and 17.2%, respectively, over the same time period.

Global equity and emerging markets in particular have rallied significantly since the end of the first calendar quarter of 2016. Underpinning the overall rally in global equity markets during this period was an improvement in consumer and business confidence in addition to the pickup in global growth. The US economy continued to grow at a level (between 1-2%) consistent with its average since its initial rally following the global financial crisis of 2008-2009. Growth has remained positive in Europe and Japan during this period as other economic variables, such as employment, have slowly improved.

 

20

Table of Contents

Mercer Global Low Volatility Equity Fund

 

  

 

 

During the period, the biggest challenge to equity markets came in June, when markets fell sharply after British voters voted in favor of exiting the European Union. This correction in the global equity markets was short-lived, however, with markets making up the majority of losses within a month. Developed international markets continued their rally through the remainder of 2016 and the first quarter of 2017. However, emerging markets suffered a second setback after the US election. In addition to headwinds caused by the rally in the US Dollar following the election, markets reflected a concern that potential changes in US policy could result in disruptions to global trade that could adversely impact emerging markets.

In this environment, the Mercer Global Low Volatility Equity Fund returned 11.0%, underperforming the MSCI World Index by 3.8% for the 12-month period ending March 31, 2017. The Fund’s defensive posture — lower risk and volatility — was a negative contributor to performance for the Fund as these factors underperformed. In addition, the Fund’s tactical allocation to cash contributed negatively to performance. Overall, the Fund was hurt the most by its heavier weighting in defensive sectors such as utilities and consumer staples. Underweights to the financial and materials sectors also detracted from performance during this period.

Each of the Fund’s sub-advisors struggled to outperform their respective benchmarks. The market rally was driven by higher risk, lower quality stocks. In this market environment, it would be expected that a strategy that focuses on lower volatility stocks would underperform.

There were three main drivers of the MFG portfolio’s underperformance versus the Fund’s benchmark: an allocation to cash (that averaged around 15% during the 12 month period), an underweight to the financial sector and the strategy’s tendency to hold a large allocation of defensive stocks in order to maintain a more conservative risk profile for the portfolio compared to the Fund’s benchmark. MFG typically holds a large allocation of defensive stocks to maintain a more conservative risk profile for the portfolio compared to the Fund’s benchmark.

The Martingale strategy, which provides U.S. large cap exposure for the Fund, trailed the Russell 1000 Index primarily due to sector allocation. The strategy generally holds overweight allocations to consumer staples, utilities and real estate investment trusts (REITs), as these sectors tend to be lower volatility sectors. These three sectors were among the worst performing sectors during the period. The Martingale strategy was also underweight to technology, the second best performing sector during the period.

The Acadian strategy, which provides international equity exposure for the Fund, underperformed compared to the MSCI EAFE Index, mainly as a result of an overweight allocation to under-performing sectors. While stock selection was positive during the period, Acadian held overweight positions in consumer staples, utilities, telecom and REITs, which trailed the stronger performance of the materials, energy, technology and financial sectors. Holding higher weights in underperforming sectors caused Acadian’s portfolio to trail the benchmark.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Its performance was in line with the benchmark.

Risk Considerations

The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

 

21

Table of Contents

Mercer Funds

March 31, 2017

 

 

Comparison of Change in Value of a $10,000 Investment in

Mercer Global Low Volatility Equity Shares vs. the

MSCI World Index

As of March 31, 2017

 

LOGO

This graph shows the performance of the Mercer Global Low Volatility Equity Fund Class Y-3 shares versus the MSCI World Index from November 6, 2012, which is the inception date of the Fund, through March 31, 2017. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

 

22

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

COMMON STOCKS — 96.5%

   
   

Aerospace & Defense — 1.8%

   
  30,244      

Boeing Co. (The)

      5,348,954  
  1,483      

General Dynamics Corp.

      277,618  
  13,810      

Northrop Grumman Corp.

      3,284,570  
  6,521      

Spirit AeroSystems Holdings, Inc. Class A

      377,696  
  15,162      

United Technologies Corp.

      1,701,328  
      

 

 

  
         10,990,166  
      

 

 

  
   

Agriculture — 1.2%

   
  29,257      

Altria Group, Inc.

      2,089,535  
  32,197      

Archer-Daniels-Midland Co.

      1,482,350  
  32,840      

Philip Morris International, Inc.

      3,707,636  
      

 

 

  
         7,279,521  
      

 

 

  
   

Airlines — 3.5%

   
  16,196      

Alaska Air Group, Inc.

      1,493,595  
  114,062      

American Airlines Group, Inc.‡

      4,824,823  
  104,370      

Delta Air Lines, Inc.

      4,796,845  
  44,125      

Southwest Airlines Co.

      2,372,160  
  104,210      

United Continental Holdings, Inc.*

      7,361,394  
      

 

 

  
         20,848,817  
      

 

 

  
   

Apparel — 3.3%

   
  34,600      

Hanesbrands, Inc.‡

      718,296  
  114,025      

LVMH Moet Hennessy Louis Vuitton SE, ADR‡

      5,012,539  
  64,866      

Michael Kors Holdings, Ltd.*

      2,472,043  
  213,680      

NIKE, Inc. Class B

      11,908,387  
      

 

 

  
         20,111,265  
      

 

 

  
   

Auto Manufacturers — 1.9%

   
  193,130      

Fiat Chrysler Automobiles NV*

      2,110,911  
  231,555      

General Motors Co.

      8,187,785  
  12,130      

Toyota Motor Corp., ADR‡

      1,317,560  
      

 

 

  
         11,616,256  
      

 

 

  
   

Auto Parts & Equipment — 0.9%

   
  62,216      

Goodyear Tire & Rubber Co. (The)

      2,239,776  
  77,496      

Magna International, Inc. Class A

      3,344,727  
      

 

 

  
         5,584,503  
      

 

 

  
   

Banks — 5.5%

   
  373,139      

Bank of America Corp.

      8,802,349  
  3,143      

Capital One Financial Corp.

      272,372  
  141,911      

Citigroup, Inc.

      8,489,116  
  60,643      

Citizens Financial Group, Inc.

      2,095,216  
  93,794      

JPMorgan Chase & Co.

      8,238,865  
  45,800      

Morgan Stanley

      1,962,072  

 

   See accompanying Notes to the Financial Statements.      23  

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Banks — continued

 

  25,000      

Popular, Inc.

      1,018,250  
  41,440      

SunTrust Banks, Inc.

      2,291,632  
      

 

 

  
         33,169,872  
      

 

 

  
   

Beverages — 3.5%

 

  56,655      

Diageo Plc, ADR‡

      6,548,185  
  10,447      

Dr Pepper Snapple Group, Inc.

      1,022,970  
  172,700      

Heineken NV, ADR

      7,331,115  
  53,171      

Monster Beverage Corp.*

      2,454,905  
  31,000      

PepsiCo, Inc.

      3,467,660  
      

 

 

  
         20,824,835  
      

 

 

  
   

Biotechnology — 4.6%

 

  19,850      

Alexion Pharmaceuticals, Inc.*

      2,406,614  
  18,756      

Amgen, Inc.

      3,077,297  
  8,973      

Biogen, Inc.*

      2,453,398  
  30,837      

Celgene Corp.*

      3,837,048  
  101,727      

Gilead Sciences, Inc.

      6,909,298  
  17,477      

Illumina, Inc.*

      2,982,275  
  18,680      

Intercept Pharmaceuticals, Inc.* ‡

      2,112,708  
  33,339      

Vertex Pharmaceuticals, Inc.*

      3,645,619  
      

 

 

  
         27,424,257  
      

 

 

  
   

Building Materials — 0.3%

 

  39,600      

Louisiana-Pacific Corp.*

      982,872  
  24,751      

Masco Corp.

      841,286  
      

 

 

  
         1,824,158  
      

 

 

  
   

Chemicals — 1.7%

 

  10,920      

Dow Chemical Co. (The)

      693,857  
  17,000      

Eastman Chemical Co.

      1,373,600  
  86,942      

LyondellBasell Industries NV Class A

      7,928,241  
      

 

 

  
         9,995,698  
      

 

 

  
   

Commercial Services — 1.2%

 

  100,750      

PayPal Holdings, Inc.*

      4,334,265  
  59,751      

Quanta Services, Inc.*

      2,217,360  
  4,798      

United Rentals, Inc.*

      599,990  
      

 

 

  
         7,151,615  
      

 

 

  
   

Computers — 2.4%

 

  49,393      

Apple, Inc.

      7,095,798  
  5,151      

Cadence Design Systems, Inc.*

      161,741  
  106,817      

HP, Inc.

      1,909,888  
  37,442      

NetApp, Inc.

      1,566,948  
  58,087      

Seagate Technology Plc

      2,667,936  
  39,130      

Teradata Corp.* ‡

      1,217,726  
      

 

 

  
         14,620,037  
      

 

 

  

 

24    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Cosmetics & Personal Care — 0.5%

 

  35,800      

Estee Lauder Cos., Inc. (The) Class A

      3,035,482  
      

 

 

  
   

Diversified Financial Services — 4.2%

   
  49,100      

AerCap Holdings NV* ‡

      2,257,127  
  28,057      

American Express Co.

      2,219,589  
  39,203      

Ameriprise Financial, Inc.

      5,083,845  
  66,485      

Charles Schwab Corp. (The)

      2,713,253  
  34,609      

Discover Financial Services

      2,366,910  
  42,223      

IntercontinentalExchange Group, Inc.

      2,527,891  
  26,300      

OneMain Holdings, Inc.* ‡

      653,555  
  66,900      

Santander Consumer USA Holdings, Inc.*

      891,108  
  31,500      

Synchrony Financial

      1,080,450  
  58,745      

Visa, Inc. Class A‡

      5,220,668  
      

 

 

  
         25,014,396  
      

 

 

  
   

Electric — 1.0%

   
  185,058      

AES Corp.

      2,068,948  
  64,500      

Calpine Corp.*

      712,725  
  17,010      

Edison International

      1,354,166  
  22,051      

Entergy Corp.

      1,674,994  
  6,415      

Exelon Corp.

      230,812  
      

 

 

  
         6,041,645  
      

 

 

  
   

Electrical Components & Equipment — 0.3%

   
  9,109      

Acuity Brands, Inc.

      1,858,236  
      

 

 

  
   

Electronics — 0.9%

   
  34,759      

Corning, Inc.

      938,493  
  57,914      

TE Connectivity, Ltd.

      4,317,489  
      

 

 

  
         5,255,982  
      

 

 

  
   

Engineering & Construction — 0.3%

   
  19,900      

AECOM*

      708,241  
  20,450      

Chicago Bridge & Iron Co. NV

      628,838  
  8,200      

Fluor Corp.

      431,484  
      

 

 

  
         1,768,563  
      

 

 

  
   

Environmental Control — 0.0%

   
  3,246      

Waste Management, Inc.

      236,698  
      

 

 

  
   

Food — 2.4%

   
  6,534      

Conagra Brands, Inc.

      263,582  
  11,325      

Hershey Co. (The)

      1,237,256  
  96,325      

Nestle SA, ADR

      7,407,393  
  42,132      

Sysco Corp.

      2,187,493  
  10,458      

Tyson Foods, Inc. Class A

      645,363  
  83,913      

Whole Foods Market, Inc.‡

      2,493,894  
      

 

 

  
         14,234,981  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      25  

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Gas — 0.0%

   
  4,597      

CenterPoint Energy, Inc.

      126,739  
      

 

 

  
   

Health Care - Products — 0.7%

   
  29,336      

Baxter International, Inc.

      1,521,365  
  19,812      

Edwards Lifesciences Corp.*

      1,863,715  
  11,100      

Medtronic Plc

      894,216  
      

 

 

  
         4,279,296  
      

 

 

  
   

Health Care - Services — 0.7%

   
  4,196      

HCA Holdings, Inc.*

      373,402  
  20,052      

Quest Diagnostics, Inc.

      1,968,906  
  10,480      

UnitedHealth Group, Inc.

      1,718,825  
      

 

 

  
         4,061,133  
      

 

 

  
   

Home Builders — 0.2%

   
  28,200      

D.R. Horton, Inc.

      939,342  
      

 

 

  
   

Household Products & Wares — 0.2%

   
  18,725      

Avery Dennison Corp.

      1,509,235  
      

 

 

  
   

Insurance — 4.5%

   
  241,958      

Aegon NV, ADR‡

      1,241,245  
  21,789      

Aflac, Inc.

      1,577,959  
  68,092      

Allstate Corp. (The)

      5,548,817  
  13,416      

Berkshire Hathaway, Inc. Class B*

      2,236,179  
  23,845      

Hartford Financial Services Group, Inc. (The)

      1,146,229  
  54,985      

Lincoln National Corp.

      3,598,768  
  28,610      

MetLife, Inc.

      1,511,180  
  8,000      

Prudential Financial, Inc.

      853,440  
  35,300      

Radian Group, Inc.

      633,988  
  49,792      

Travelers Cos., Inc. (The)

      6,001,928  
  21,300      

Unum Group

      998,757  
  38,431      

XL Group, Ltd.

      1,531,860  
      

 

 

  
         26,880,350  
      

 

 

  
   

Internet — 6.6%

   
  31,463      

Alibaba Group Holding, Ltd., ADR*

      3,392,656  
  1,682      

Alphabet, Inc. Class A*

      1,426,000  
  7,950      

Alphabet, Inc. Class C*

      6,595,002  
  4,569      

Amazon.com, Inc.*

      4,050,601  
  80,332      

eBay, Inc.*

      2,696,745  
  53,123      

Facebook, Inc. Class A*

      7,546,122  
  10,231      

MercadoLibre, Inc.‡

      2,163,550  
  3,828      

Priceline Group, Inc. (The)*

      6,813,725  
  41,380      

Splunk, Inc.*

      2,577,560  
  25,838      

VeriSign, Inc.* ‡

      2,250,748  
      

 

 

  
         39,512,709  
      

 

 

  

 

26    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Iron & Steel — 0.2%

   
  14,240      

Reliance Steel & Aluminum Co.

      1,139,485  
      

 

 

  
   

Leisure Time — 1.3%

   
  112,814      

Carnival Corp.

      6,645,873  
  17,600      

Norwegian Cruise Line Holdings, Ltd.*

      892,848  
      

 

 

  
         7,538,721  
      

 

 

  
   

Lodging — 1.3%

   
  57,679      

Marriott International, Inc. Class A‡

      5,432,208  
  31,490      

Wyndham Worldwide Corp.

      2,654,292  
      

 

 

  
         8,086,500  
      

 

 

  
   

Machinery - Diversified — 0.3%

   
  6,947      

Cognex Corp.

      583,200  
  7,214      

Cummins, Inc.

      1,090,757  
      

 

 

  
         1,673,957  
      

 

 

  
   

Media — 3.9%

   
  46,924      

CBS Corp. Class B

      3,254,649  
  141,875      

Comcast Corp. Class A

      5,333,081  
  41,866      

Discovery Communications, Inc. Class A* ‡

      1,217,882  
  5,900      

Scripps Networks Interactive, Inc. Class A

      462,383  
  168,306      

Sirius XM Holdings, Inc.‡

      866,776  
  46,075      

Time Warner, Inc.

      4,501,988  
  44,193      

Twenty-First Century Fox, Inc. Class A

      1,431,411  
  57,150      

Walt Disney Co. (The)

      6,480,239  
      

 

 

  
         23,548,409  
      

 

 

  
   

Mining — 0.1%

   
  18,564      

Teck Resources, Ltd. Class B‡

      406,552  
      

 

 

  
   

Miscellaneous - Manufacturing — 0.3%

   
  12,200      

Eaton Corp. Plc

      904,630  
  31,651      

General Electric Co.

      943,200  
      

 

 

  
         1,847,830  
      

 

 

  
   

Oil & Gas — 4.4%

   
  24,100      

Anadarko Petroleum Corp.

      1,494,200  
  21,140      

Apache Corp.‡

      1,086,385  
  117,383      

BP Plc, ADR‡

      4,052,061  
  93,100      

Canadian Natural Resources, Ltd.

      3,052,749  
  12,382      

Chevron Corp.

      1,329,455  
  36,600      

Devon Energy Corp.

      1,526,952  
  63,228      

Ensco Plc Class A

      565,891  
  6,021      

Exxon Mobil Corp.

      493,782  
  20,278      

Helmerich & Payne, Inc.‡

      1,349,906  
  37,504      

Marathon Petroleum Corp.

      1,895,452  
  4,417      

Murphy Oil Corp.‡

      126,282  

 

   See accompanying Notes to the Financial Statements.      27  

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Oil & Gas — continued

 

  67,030      

Southwestern Energy Co.*

      547,635  
  25,896      

Tesoro Corp.

      2,099,130  
  103,564      

Valero Energy Corp.

      6,865,258  
      

 

 

  
         26,485,138  
      

 

 

  
   

Oil & Gas Services — 0.3%

   
  37,683      

National Oilwell Varco, Inc.‡

      1,510,711  
  19,500      

Oceaneering International, Inc.‡

      528,060  
      

 

 

  
         2,038,771  
      

 

 

  
   

Packaging & Containers — 0.2%

   
  25,100      

Crown Holdings, Inc.*

      1,329,045  
  8,700      

Owens-Illinois, Inc.*

      177,306  
      

 

 

  
         1,506,351  
      

 

 

  
   

Pharmaceuticals — 4.5%

   
  17,700      

AbbVie, Inc.

      1,153,332  
  25,400      

Akorn, Inc.* ‡

      611,632  
  64,612      

Bristol-Myers Squibb Co.

      3,513,601  
  23,021      

DexCom, Inc.* ‡

      1,950,569  
  23,434      

Express Scripts Holding Co.*

      1,544,535  
  61,800      

Horizon Pharma Plc*

      913,404  
  4,000      

Jazz Pharmaceuticals Plc*

      580,520  
  40,537      

Johnson & Johnson

      5,048,883  
  18,300      

Mallinckrodt Plc* ‡

      815,631  
  57,236      

Merck & Co., Inc.

      3,636,775  
  19,300      

Mylan NV*

      752,507  
  145,581      

Pfizer, Inc.

      4,980,326  
  9,533      

Shire Plc, ADR

      1,660,935  
      

 

 

  
         27,162,650  
      

 

 

  
   

Private Equity — 1.0%

   
  75,920      

Blackstone Group, LP (The)

      2,254,824  
  195,630      

KKR & Co., LP

      3,566,335  
      

 

 

  
         5,821,159  
      

 

 

  
   

Real Estate — 0.2%

   
  41,034      

CBRE Group, Inc. Class A*

      1,427,573  
      

 

 

  
   

REITS — 0.5%

   
  123,999      

Host Hotels & Resorts, Inc. REIT

      2,313,821  
  85,830      

Two Harbors Investment Corp. REIT

      823,110  
      

 

 

  
         3,136,931  
      

 

 

  
   

Retail — 11.5%

   
  71,315      

Bed Bath & Beyond, Inc.

      2,814,090  
  147,352      

Best Buy Co., Inc.‡

      7,242,351  
  4,767      

Coach, Inc.

      197,020  

 

28    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Retail — continued

 

  14,580      

Costco Wholesale Corp.

      2,444,920  
  11,610      

Domino’s Pizza, Inc.

      2,139,723  
  3,064      

Foot Locker, Inc.

      229,218  
  68,592      

Kohl’s Corp.‡

      2,730,648  
  74,470      

Lululemon Athletica, Inc.* ‡

      3,862,759  
  43,037      

Macy’s, Inc.

      1,275,617  
  104,030      

McDonald’s Corp.

      13,483,328  
  233,537      

Staples, Inc.

      2,048,119  
  136,023      

Starbucks Corp.

      7,942,383  
  42,011      

Target Corp.

      2,318,587  
  58,675      

TJX Cos., Inc. (The)

      4,640,019  
  6,987      

Ulta Salon Cosmetics & Fragrance, Inc.*

      1,992,902  
  161,543      

Wal-Mart Stores, Inc.

      11,644,019  
  28,805      

Yum! Brands, Inc.

      1,840,640  
      

 

 

  
         68,846,343  
      

 

 

  
   

Semiconductors — 2.9%

 

  133,178      

Applied Materials, Inc.

      5,180,624  
  100,266      

Intel Corp.

      3,616,595  
  18,791      

Lam Research Corp.

      2,412,013  
  126,534      

Micron Technology, Inc.*

      3,656,832  
  24,404      

NVIDIA Corp.‡

      2,658,328  
      

 

 

  
         17,524,392  
      

 

 

  
   

Software — 6.0%

 

  59,146      

Activision Blizzard, Inc.

      2,949,020  
  21,688      

Adobe Systems, Inc.*

      2,822,259  
  70,762      

CA, Inc.‡

      2,244,571  
  24,900      

Citrix Systems, Inc.*

      2,076,411  
  54,700      

First Data Corp. Class A*

      847,850  
  19,928      

Intuit, Inc.

      2,311,449  
  210,939      

Microsoft Corp.

      13,892,442  
  7,186      

MSCI, Inc. Class A

      698,407  
  50,228      

Oracle Corp.

      2,240,671  
  36,506      

Salesforce.com, Inc.*

      3,011,380  
  32,092      

ServiceNow, Inc.*

      2,807,087  
      

 

 

  
         35,901,547  
      

 

 

  
   

Telecommunications — 2.9%

 

  59,145      

AT&T, Inc.

      2,457,475  
  155,757      

CenturyLink, Inc.‡

      3,671,193  
  74,360      

Cisco Systems, Inc.

      2,513,368  
  10,600      

IPG Photonics Corp.*

      1,279,420  
  52,028      

Juniper Networks, Inc.

      1,447,939  
  17,752      

Motorola Solutions, Inc.

      1,530,577  
  17,196      

QUALCOMM, Inc.

      986,019  
  72,671      

Verizon Communications, Inc.

      3,542,711  
      

 

 

  
         17,428,702  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      29  

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Transportation — 0.4%

 

  13,066      

FedEx Corp.

      2,549,830  
      

 

 

  
   

TOTAL COMMON STOCKS (COST $504,170,865)

      580,266,628  
      

 

 

  
   

INVESTMENT COMPANY — 1.2%

   
  34,866      

Vanguard S&P 500 ETF

      7,543,259  
      

 

 

  
   

TOTAL INVESTMENT COMPANY (COST $6,860,889)

      7,543,259  
      

 

 

  
Par Value ($)          Description    Value ($)  
   

SHORT-TERM INVESTMENTS — 4.2%

   
   

Bank Deposit — 2.3%

 

  13,564,050      

State Street Bank & Trust Euro Time Deposit, 0.09%, due 04/03/17

      13,564,050  
      

 

 

  
   

Mutual Fund - Securities Lending Collateral — 1.8%

 

  10,620,680      

State Street Institutional U.S. Government Money Market Fund, Premier Class***

      10,620,680  
      

 

 

  
   

U.S. Government and Agency Obligations — 0.1%

 

  600,000      

United States Treasury Bill, 0.65%, due 04/27/17** ‡‡

      599,710  
      

 

 

  
   

TOTAL SHORT-TERM INVESTMENTS (COST $24,784,539)

      24,784,440  
      

 

 

  
   

TOTAL INVESTMENTS — 101.9%

(COST $535,816,293)

      612,594,327  
   

Other Assets and Liabilities (net) — (1.9)%

      (11,535,336 ) 
      

 

 

  
   

NET ASSETS — 100.0%

    $ 601,058,991  
      

 

 

  
   

Notes to Schedule of Investments:

   
    ADR — American Depository Receipt   
    REIT — Real Estate Investment Trust   
  *   Non-income producing security   
  **   All or a portion of this security is pledged for open futures collateral.   
  ***   Represents an investment of securities lending cash collateral.   
  ‡   All or a portion of this security is out on loan.   
  ‡‡   Interest rate presented is yield to maturity.   

 

30    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

March 31, 2017

 

Futures Contracts

 

Number of
Contracts

          

Type

        

Expiration Date

     

Contract
Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  45        

S&P 500 E-mini Index

         June 2017      $ 5,308,200      $ (9,043 ) 
  8        

S&P Mid 400 E-mini Index

         June 2017        1,374,560        6,399  
                 

 

 

  
                  $ (2,644 ) 
                 

 

 

  

 

   See accompanying Notes to the Financial Statements.      31  

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Schedule of Investments (Continued)

March 31, 2017

 

Asset Class Summary (Unaudited)    % of Net Assets

Common Stocks

        96.5

Investment Company

        1.2

Futures Contracts

        (0.0 )

Short-Term Investments

        4.2

Other Assets and Liabilities (net)

        (1.9 )
    

 

 

  
       100.0 %
    

 

 

  

 

32    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

COMMON STOCKS — 95.9%

   
   

Aerospace & Defense — 1.7%

   
  23,788      

HEICO Corp.‡

      2,074,313  
  44,990      

KLX, Inc.*

      2,011,053  
  34,500      

Moog, Inc. Class A*

      2,323,575  
  31,452      

Orbital ATK, Inc.

      3,082,296  
  58,500      

Spirit AeroSystems Holdings, Inc. Class A

      3,388,320  
  15,167      

TransDigm Group, Inc.‡

      3,339,167  
      

 

 

  
         16,218,724  
      

 

 

  
   

Agriculture — 0.5%

   
  38,700      

Bunge, Ltd.

      3,067,362  
  26,900      

Universal Corp.

      1,903,175  
      

 

 

  
         4,970,537  
      

 

 

  
   

Airlines — 0.9%

   
  30,800      

Alaska Air Group, Inc.

      2,840,376  
  20,304      

Allegiant Travel Co.‡

      3,253,716  
  111,000      

JetBlue Airways Corp.*

      2,287,710  
      

 

 

  
         8,381,802  
      

 

 

  
   

Apparel — 0.3%

   
  19,948      

Columbia Sportswear Co.‡

      1,171,945  
  39,700      

Michael Kors Holdings, Ltd.*

      1,512,967  
      

 

 

  
         2,684,912  
      

 

 

  
   

Auto Manufacturers — 0.2%

   
  93,900      

Wabash National Corp.‡

      1,942,791  
      

 

 

  
   

Auto Parts & Equipment — 1.9%

   
  8,800      

Cooper-Standard Holdings, Inc.*

      976,184  
  120,220      

Dana, Inc.

      2,321,448  
  39,801      

Dorman Products, Inc.* ‡

      3,268,856  
  81,300      

Goodyear Tire & Rubber Co. (The)

      2,926,800  
  73,761      

Horizon Global Corp.* ‡

      1,023,803  
  17,537      

LCI Industries‡

      1,750,193  
  16,500      

Lear Corp.

      2,336,070  
  27,700      

Tenneco, Inc.‡

      1,729,034  
  39,700      

Tower International, Inc.

      1,075,870  
  12,734      

WABCO Holdings, Inc.*

      1,495,226  
      

 

 

  
         18,903,484  
      

 

 

  
   

Banks — 7.2%

   
  64,225      

Ameris Bancorp

      2,960,772  
  47,900      

Banco Latinoamericano de Comercio Exterior SA‡

      1,328,746  
  131,025      

Bank of NT Butterfield & Son, Ltd. (The)

      4,181,008  
  58,848      

BankUnited, Inc.

      2,195,619  
  33,100      

Banner Corp.

      1,841,684  

 

   See accompanying Notes to the Financial Statements.      33  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Banks — continued

   
  21,400      

Bryn Mawr Bank Corp.‡

      845,300  
  66,940      

Capital Bank Financial Corp. Class A‡

      2,905,196  
  40,653      

Columbia Banking System, Inc.

      1,585,060  
  39,200      

Fidelity Southern Corp.

      877,296  
  27,100      

First Interstate BancSystem, Inc.‡

      1,074,515  
  90,807      

First Republic Bank

      8,518,605  
  35,851      

Glacier Bancorp, Inc.

      1,216,424  
  48,700      

Hanmi Financial Corp.

      1,497,525  
  76,125      

Heritage Financial Corp.

      1,884,094  
  60,100      

Home BancShares, Inc.‡

      1,626,907  
  91,700      

Hope Bancorp, Inc.

      1,757,889  
  29,307      

IBERIABANK Corp.

      2,318,184  
  30,200      

International Bancshares Corp.

      1,069,080  
  95,100      

Old National Bancorp

      1,649,985  
  58,200      

Opus Bank

      1,172,730  
  68,705      

PacWest Bancorp

      3,659,228  
  251,000      

Regions Financial Corp.

      3,647,030  
  12,146      

Signature Bank*

      1,802,345  
  27,220      

SVB Financial Group*

      5,065,370  
  162,200      

TCF Financial Corp.

      2,760,644  
  37,025      

Texas Capital Bancshares, Inc.*

      3,089,736  
  47,038      

Webster Financial Corp.‡

      2,353,782  
  113,511      

Western Alliance Bancorp*

      5,572,255  
      

 

 

  
         70,457,009  
      

 

 

  
   

Biotechnology — 1.1%

   
  54,590      

Acceleron Pharma, Inc.*

      1,444,997  
  38,300      

AMAG Pharmaceuticals, Inc.*

      863,665  
  18,715      

Bio-Rad Laboratories, Inc. Class A*

      3,730,648  
  23,070      

Bioverativ, Inc.*

      1,256,392  
  6,000      

Medicines Co. (The)* ‡

      293,400  
  20,019      

Prothena Corp. Plc*

      1,116,860  
  9,480      

Seattle Genetics, Inc.* ‡

      595,913  
  10,900      

United Therapeutics Corp.* ‡

      1,475,642  
      

 

 

  
         10,777,517  
      

 

 

  
   

Building Materials — 1.8%

   
  21,048      

Apogee Enterprises, Inc.‡

      1,254,671  
  89,150      

Boise Cascade Co.*

      2,380,305  
  237,780      

Builders FirstSource, Inc.*

      3,542,922  
  21,286      

Eagle Materials, Inc.

      2,067,722  
  15,420      

Lennox International, Inc.

      2,579,766  
  26,500      

Owens Corning

      1,626,305  
  119,415      

Summit Materials, Inc. Class A*

      2,950,745  
  50,500      

USG Corp.*

      1,605,900  
      

 

 

  
         18,008,336  
      

 

 

  
   

Chemicals — 2.6%

   
  133,390      

Axalta Coating Systems, Ltd.*

      4,295,158  

 

34    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Chemicals — continued

   
  40,100      

Cabot Corp.

      2,402,391  
  29,900      

Celanese Corp. Series A

      2,686,515  
  26,400      

Eastman Chemical Co.

      2,133,120  
  144,900      

Huntsman Corp.

      3,555,846  
  15,151      

Quaker Chemical Corp.

      1,994,781  
  90,588      

RPM International, Inc.

      4,985,058  
  45,630      

W.R. Grace & Co.

      3,180,867  
      

 

 

  
         25,233,736  
      

 

 

  
   

Commercial Services — 8.2%

   
  34,900      

Avis Budget Group, Inc.*

      1,032,342  
  137,360      

Booz Allen Hamilton Holding Corp.

      4,861,170  
  30,497      

Bright Horizons Family Solutions, Inc.*

      2,210,728  
  44,000      

Carriage Services, Inc.‡

      1,193,280  
  20,139      

CEB, Inc.

      1,582,925  
  37,041      

CoStar Group, Inc.*

      7,675,636  
  30,700      

Deluxe Corp.

      2,215,619  
  16,455      

Euronet Worldwide, Inc.*

      1,407,232  
  67,850      

Gartner, Inc.*

      7,327,121  
  32,816      

Grand Canyon Education, Inc.* ‡

      2,349,954  
  48,153      

Healthcare Services Group, Inc.

      2,074,913  
  50,810      

HealthEquity, Inc.* ‡

      2,156,884  
  69,182      

IHS Markit, Ltd.*

      2,902,185  
  43,110      

KAR Auction Services, Inc.

      1,882,614  
  127,538      

Live Nation Entertainment, Inc.*

      3,873,329  
  9,425      

LSC Communications, Inc.

      237,133  
  34,700      

ManpowerGroup, Inc.

      3,559,179  
  42,696      

MarketAxess Holdings, Inc.

      8,005,073  
  164,826      

Nord Anglia Education, Inc.* ‡

      4,176,691  
  16,400      

PAREXEL International Corp.*

      1,035,004  
  20,103      

Paylocity Holding Corp.* ‡

      776,579  
  134,498      

Ritchie Bros Auctioneers, Inc.

      4,424,984  
  25,133      

RR Donnelley & Sons Co.

      304,361  
  45,040      

Sotheby’s*

      2,048,419  
  69,650      

Total System Services, Inc.

      3,723,489  
  139,914      

TransUnion*

      5,365,702  
  73,600      

Western Union Co. (The)‡

      1,497,760  
      

 

 

  
         79,900,306  
      

 

 

  
   

Computers — 1.8%

   
  20,960      

Conduent, Inc.*

      351,709  
  77,300      

Convergys Corp.‡

      1,634,895  
  74,880      

Electronics For Imaging, Inc.* ‡

      3,656,390  
  65,810      

Fortinet, Inc.*

      2,523,813  
  67,582      

Lumentum Holdings, Inc.* ‡

      3,605,500  
  63,100      

NCR Corp.*

      2,882,408  
  42,200      

Seagate Technology Plc‡

      1,938,246  
  47,787      

VeriFone Systems, Inc.*

      895,051  
      

 

 

  
         17,488,012  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      35  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Cosmetics & Personal Care — 0.1%

   
  17,794      

Inter Parfums, Inc.

      650,371  
      

 

 

  
   

Distribution & Wholesale — 0.6%

   
  85,820      

HD Supply Holdings, Inc.*

      3,529,347  
  57,080      

LKQ Corp.*

      1,670,732  
  25,400      

ScanSource, Inc.*

      996,950  
      

 

 

  
         6,197,029  
      

 

 

  
   

Diversified Financial Services — 2.2%

   
  38,265      

Artisan Partners Asset Management, Inc. Class A

      1,056,114  
  22,336      

CBOE Holdings, Inc.

      1,810,780  
  105,855      

CIT Group, Inc.

      4,544,355  
  18,000      

Federal Agricultural Mortgage Corp. Class C

      1,036,260  
  54,700      

Legg Mason, Inc.

      1,975,217  
  96,000      

Navient Corp.

      1,416,960  
  41,120      

Raymond James Financial, Inc.

      3,135,811  
  32,051      

SEI Investments Co.‡

      1,616,652  
  20,674      

Stifel Financial Corp.*

      1,037,628  
  48,703      

WageWorks, Inc.*

      3,521,227  
      

 

 

  
         21,151,004  
      

 

 

  
   

Electric — 0.9%

   
  147,600      

AES Corp.

      1,650,168  
  143,774      

OGE Energy Corp.

      5,029,215  
  55,184      

Portland General Electric Co.

      2,451,273  
      

 

 

  
         9,130,656  
      

 

 

  
   

Electrical Components & Equipment — 1.0%

   
  7,206      

Acuity Brands, Inc.

      1,470,024  
  29,924      

Advanced Energy Industries, Inc.*

      2,051,589  
  21,100      

Belden, Inc.

      1,459,909  
  36,390      

EnerSys

      2,872,627  
  47,135      

Generac Holdings, Inc.* ‡

      1,757,193  
      

 

 

  
         9,611,342  
      

 

 

  
   

Electronics — 2.8%

   
  21,700      

Arrow Electronics, Inc.*

      1,592,997  
  45,300      

Avnet, Inc.

      2,072,928  
  29,130      

Coherent, Inc.*

      5,990,293  
  161,700      

Flex, Ltd.*

      2,716,560  
  8,119      

Mettler-Toledo International, Inc.*

      3,888,270  
  60,409      

National Instruments Corp.

      1,966,917  
  43,100      

Sanmina Corp.*

      1,749,860  
  35,203      

Sensata Technologies Holding NV*

      1,537,315  
  68,931      

Trimble, Inc.*

      2,206,481  
  117,800      

Vishay Intertechnology, Inc.‡

      1,937,810  
  19,595      

Woodward, Inc.

      1,330,893  
      

 

 

  
         26,990,324  
      

 

 

  

 

36    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Energy-Alternate Sources — 0.1%

   
  142,300      

Renewable Energy Group, Inc.* ‡

      1,487,035  
      

 

 

  
   

Engineering & Construction — 0.4%

   
  37,900      

Chicago Bridge & Iron Co. NV‡

      1,165,425  
  46,363      

Exponent, Inc.

      2,760,917  
      

 

 

  
         3,926,342  
      

 

 

  
   

Entertainment — 1.3%

   
  94,849      

Lions Gate Entertainment Corp. Class B* ‡

      2,312,419  
  58,986      

Six Flags Entertainment Corp.‡

      3,509,077  
  36,917      

Vail Resorts, Inc.

      7,084,372  
      

 

 

  
         12,905,868  
      

 

 

  
   

Food — 2.2%

   
  44,740      

Hain Celestial Group, Inc. (The)* ‡

      1,664,328  
  22,700      

Ingles Markets, Inc. Class A

      979,505  
  40,072      

John B Sanfilippo & Son, Inc.‡

      2,932,870  
  64,700      

Pilgrim’s Pride Corp.‡

      1,456,073  
  49,530      

Pinnacle Foods, Inc.

      2,866,301  
  20,600      

Sanderson Farms, Inc.‡

      2,139,104  
  29,600      

SpartanNash Co.

      1,035,704  
  84,327      

TreeHouse Foods, Inc.* ‡

      7,139,124  
  40,200      

Whole Foods Market, Inc.

      1,194,744  
      

 

 

  
         21,407,753  
      

 

 

  
   

Forest Products & Paper — 0.6%

   
  27,100      

Clearwater Paper Corp.*

      1,517,600  
  18,224      

Deltic Timber Corp.‡

      1,423,659  
  51,438      

PH Glatfelter Co.

      1,118,262  
  35,400      

Schweitzer-Mauduit International, Inc.

      1,466,268  
      

 

 

  
         5,525,789  
      

 

 

  
   

Gas — 0.3%

   
  116,800      

CenterPoint Energy, Inc.

      3,220,176  
      

 

 

  
   

Hand & Machine Tools — 0.2%

   
  27,609      

Lincoln Electric Holdings, Inc.

      2,398,118  
      

 

 

  
   

Health Care - Products — 4.1%

   
  47,739      

Align Technology, Inc.*

      5,476,141  
  15,893      

Cantel Medical Corp. Class B

      1,273,029  
  23,300      

Hill-Rom Holdings, Inc.

      1,644,980  
  50,950      

Hologic, Inc.*

      2,167,923  
  16,135      

ICU Medical, Inc.*

      2,463,814  
  16,483      

IDEXX Laboratories, Inc.*

      2,548,437  
  69,996      

Merit Medical Systems, Inc.*

      2,022,884  
  15,193      

Penumbra, Inc.*

      1,267,856  
  117,179      

STERIS Plc

      8,139,253  
  68,067      

VWR Corp.* ‡

      1,919,489  

 

   See accompanying Notes to the Financial Statements.      37  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Health Care - Products — continued

   
  57,639      

West Pharmaceutical Services, Inc.

      4,703,919  
  193,098      

Wright Medical Group NV*

      6,009,210  
      

 

 

  
         39,636,935  
      

 

 

  
   

Health Care - Services — 1.5%

   
  37,586      

Acadia Healthcare Co., Inc.* ‡

      1,638,750  
  31,700      

Air Methods Corp.* ‡

      1,363,100  
  56,600      

Ensign Group, Inc. (The)

      1,064,080  
  24,772      

ICON Plc, ADR*

      1,974,824  
  98,400      

Kindred Healthcare, Inc.

      821,640  
  26,733      

LifePoint Health, Inc.*

      1,751,011  
  16,085      

MEDNAX, Inc.* ‡

      1,115,977  
  31,290      

Quest Diagnostics, Inc.

      3,072,365  
  15,794      

WellCare Health Plans, Inc.*

      2,214,477  
      

 

 

  
         15,016,224  
      

 

 

  
   

Home Builders — 1.3%

   
  37,965      

CalAtlantic Group, Inc.‡

      1,421,789  
  17,751      

Cavco Industries, Inc.*

      2,066,217  
  146,910      

Taylor Morrison Home Corp. Class A*

      3,132,121  
  13,200      

Thor Industries, Inc.

      1,268,916  
  396,185      

TRI Pointe Group, Inc.* ‡

      4,968,160  
      

 

 

  
         12,857,203  
      

 

 

  
   

Home Furnishings — 0.7%

   
  21,508      

American Woodmark Corp.*

      1,974,434  
  34,300      

Ethan Allen Interiors, Inc.‡

      1,051,295  
  74,631      

La-Z-Boy, Inc.

      2,015,037  
  28,815      

Universal Electronics, Inc.* ‡

      1,973,828  
      

 

 

  
         7,014,594  
      

 

 

  
   

Household Products & Wares — 0.3%

   
  31,510      

Avery Dennison Corp.

      2,539,706  
      

 

 

  
   

Housewares — 0.7%

   
  84,079      

Toro Co. (The)

      5,251,574  
  22,675      

Tupperware Brands Corp.‡

      1,422,176  
      

 

 

  
         6,673,750  
      

 

 

  
   

Insurance — 4.9%

   
  44,245      

Arthur J. Gallagher & Co.

      2,501,612  
  29,000      

Aspen Insurance Holdings, Ltd.

      1,509,450  
  23,400      

Assurant, Inc.

      2,238,678  
  64,200      

Assured Guaranty, Ltd.

      2,382,462  
  53,770      

Axis Capital Holdings, Ltd.

      3,604,203  
  158,500      

CNO Financial Group, Inc.

      3,249,250  
  64,230      

Essent Group, Ltd.* ‡

      2,323,199  
  15,800      

Everest Re Group, Ltd.

      3,694,198  
  30,700      

Hanover Insurance Group, Inc. (The)

      2,764,842  

 

38    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Insurance — continued

   
  66,600      

Heritage Insurance Holdings, Inc.‡

      850,482  
  47,619      

James River Group Holdings, Ltd.

      2,040,950  
  48,000      

Lincoln National Corp.

      3,141,600  
  170,000      

MGIC Investment Corp.*

      1,722,100  
  54,231      

ProAssurance Corp.

      3,267,418  
  34,211      

Reinsurance Group of America, Inc.

      4,344,113  
  87,300      

Universal Insurance Holdings, Inc.

      2,138,850  
  84,000      

Unum Group

      3,938,760  
  38,145      

XL Group, Ltd.

      1,520,460  
      

 

 

  
         47,232,627  
      

 

 

  
   

Internet — 0.6%

   
  52,781      

Cogent Communications Holdings, Inc.‡

      2,272,222  
  98,900      

Rubicon Project, Inc. (The)*

      582,521  
  41,235      

Splunk, Inc.* ‡

      2,568,528  
      

 

 

  
         5,423,271  
      

 

 

  
   

Investment Companies — 0.2%

   
  57,300      

Ares Capital Corp.

      995,874  
  59,200      

New Mountain Finance Corp.

      882,080  
      

 

 

  
         1,877,954  
      

 

 

  
   

Iron & Steel — 0.1%

   
  17,210      

Reliance Steel & Aluminum Co.

      1,377,144  
      

 

 

  
   

Leisure Time — 1.4%

   
  45,400      

American Outdoor Brands Corp.* ‡

      899,374  
  60,304      

Brunswick Corp.

      3,690,605  
  46,257      

Camping World Holdings, Inc. Class A

      1,491,325  
  56,040      

Harley-Davidson, Inc.‡

      3,390,420  
  99,289      

Planet Fitness, Inc. Class A

      1,913,299  
  22,100      

Polaris Industries, Inc.‡

      1,851,980  
      

 

 

  
         13,237,003  
      

 

 

  
   

Lodging — 0.3%

   
  35,300      

Wyndham Worldwide Corp.

      2,975,437  
      

 

 

  
   

Machinery - Construction & Mining — 0.3%

   
  37,200      

Oshkosh Corp.

      2,551,548  
      

 

 

  
   

Machinery - Diversified — 3.4%

   
  58,777      

Albany International Corp. Class A

      2,706,681  
  39,444      

Altra Industrial Motion Corp.

      1,536,344  
  53,600      

Briggs & Stratton Corp.

      1,203,320  
  44,165      

Cognex Corp.‡

      3,707,652  
  51,350      

Flowserve Corp.‡

      2,486,367  
  17,467      

Graco, Inc.

      1,644,343  
  69,735      

Middleby Corp. (The)* ‡

      9,515,341  
  21,355      

Nordson Corp.‡

      2,623,248  

 

   See accompanying Notes to the Financial Statements.      39  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Machinery - Diversified — continued

   
  38,825      

Wabtec Corp.‡

      3,028,350  
  50,026      

Zebra Technologies Corp. Class A*

      4,564,872  
      

 

 

  
         33,016,518  
      

 

 

  
   

Media — 0.8%

   
  47,380      

Nexstar Media Group, Inc. Class A

      3,323,707  
  37,690      

Scripps Networks Interactive, Inc. Class A

      2,953,765  
  67,300      

TEGNA, Inc.

      1,724,226  
      

 

 

  
         8,001,698  
      

 

 

  
   

Metal Fabricate & Hardware — 0.6%

   
  45,900      

Global Brass & Copper Holdings, Inc.

      1,578,960  
  28,984      

RBC Bearings, Inc.*

      2,814,057  
  39,386      

Sun Hydraulics Corp.

      1,422,228  
      

 

 

  
         5,815,245  
      

 

 

  
   

Mining — 0.4%

   
  23,249      

Compass Minerals International, Inc.‡

      1,577,444  
  70,265      

Materion Corp.

      2,357,391  
      

 

 

  
         3,934,835  
      

 

 

  
   

Miscellaneous - Manufacturing — 1.6%

   
  55,740      

AO Smith Corp.‡

      2,851,658  
  18,541      

AptarGroup, Inc.

      1,427,472  
  65,500      

Crane Co.

      4,901,365  
  37,881      

Hexcel Corp.

      2,066,409  
  40,100      

ITT, Inc.‡

      1,644,902  
  59,400      

Textron, Inc.

      2,826,846  
      

 

 

  
         15,718,652  
      

 

 

  
   

Office & Business Equipment — 0.2%

   
  93,800      

Pitney Bowes, Inc.‡

      1,229,718  
  104,800      

Xerox Corp.

      769,232  
      

 

 

  
         1,998,950  
      

 

 

  
   

Office Furnishings — 0.1%

   
  58,710      

Knoll, Inc.

      1,397,885  
      

 

 

  
   

Oil & Gas — 3.6%

   
  174,137      

Callon Petroleum Co.* ‡

      2,291,643  
  99,120      

Carrizo Oil & Gas, Inc.*

      2,840,779  
  94,300      

Diamond Offshore Drilling, Inc.* ‡

      1,575,753  
  17,352      

Diamondback Energy, Inc.*

      1,799,663  
  50,965      

Energen Corp.*

      2,774,535  
  58,900      

HollyFrontier Corp.

      1,669,226  
  53,700      

Murphy Oil Corp.‡

      1,535,283  
  23,100      

Murphy USA, Inc.*

      1,696,002  
  131,870      

Newfield Exploration Co.*

      4,867,322  

 

40    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Oil & Gas — continued

   
  46,673      

Parsley Energy, Inc. Class A*

      1,517,339  
  31,800      

PBF Energy, Inc. Class A

      705,006  
  46,740      

PDC Energy, Inc.* ‡

      2,914,239  
  91,254      

QEP Resources, Inc.*

      1,159,838  
  329,330      

SRC Energy, Inc.* ‡

      2,779,545  
  60,190      

Tesoro Corp.

      4,879,001  
      

 

 

  
         35,005,174  
      

 

 

  
   

Oil & Gas Services — 0.6%

   
  41,817      

Dril-Quip, Inc.* ‡

      2,281,117  
  59,700      

Matrix Service Co.*

      985,050  
  34,854      

Oil States International, Inc.* ‡

      1,155,410  
  79,425      

Superior Energy Services, Inc.* ‡

      1,132,601  
      

 

 

  
         5,554,178  
      

 

 

  
   

Packaging & Containers — 0.7%

   
  74,600      

Owens-Illinois, Inc.*

      1,520,348  
  32,200      

Packaging Corp. of America

      2,950,164  
  63,530      

Sealed Air Corp.

      2,768,637  
      

 

 

  
         7,239,149  
      

 

 

  
   

Pharmaceuticals — 3.5%

   
  23,600      

Akorn, Inc.* ‡

      568,288  
  71,371      

Alkermes Plc* ‡

      4,175,203  
  77,509      

Catalent, Inc.*

      2,195,055  
  53,938      

DexCom, Inc.* ‡

      4,570,167  
  120,031      

Ironwood Pharmaceuticals, Inc.* ‡

      2,047,729  
  28,607      

Jazz Pharmaceuticals Plc*

      4,151,734  
  50,275      

Lannett Co., Inc.* ‡

      1,123,646  
  23,400      

Mallinckrodt Plc* ‡

      1,042,938  
  144,410      

Nektar Therapeutics*

      3,389,303  
  78,484      

Neurocrine Biosciences, Inc.*

      3,398,357  
  39,900      

Omega Protein Corp.

      799,995  
  68,585      

Pacira Pharmaceuticals, Inc.*

      3,127,476  
  46,413      

Premier, Inc. Class A*

      1,477,326  
  90,700      

Sucampo Pharmaceuticals, Inc. Class A* ‡

      997,700  
  8,165      

VCA, Inc.*

      747,097  
      

 

 

  
         33,812,014  
      

 

 

  
   

Real Estate — 0.5%

   
  32,160      

FirstService Corp.

      1,939,248  
  235,101      

Forestar Group, Inc.*

      3,209,129  
      

 

 

  
         5,148,377  
      

 

 

  
   

REITS — 6.3%

   
  87,520      

American Campus Communities, Inc. REIT

      4,165,077  
  227,300      

Annaly Capital Management, Inc. REIT‡

      2,525,303  
  121,301      

Brandywine Realty Trust REIT

      1,968,715  
  99,300      

Chimera Investment Corp. REIT‡

      2,003,874  

 

   See accompanying Notes to the Financial Statements.      41  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

REITS — continued

   
  52,000      

City Office, Inc. REIT

      631,800  
  57,000      

CoreCivic, Inc. REIT

      1,790,940  
  56,400      

CyrusOne, Inc. REIT

      2,902,908  
  112,740      

Easterly Government Properties, Inc. REIT‡

      2,231,125  
  84,600      

Franklin Street Properties Corp. REIT

      1,027,044  
  58,700      

Government Properties Income Trust REIT‡

      1,228,591  
  91,400      

Hospitality Properties Trust REIT

      2,881,842  
  113,700      

Independence Realty Trust, Inc. REIT

      1,065,369  
  227,800      

Lexington Realty Trust REIT

      2,273,444  
  71,800      

Mack-Cali Realty Corp. REIT

      1,934,292  
  159,000      

Medical Properties Trust, Inc. REIT‡

      2,049,510  
  29,683      

Mid-America Apartment Communities, Inc. REIT

      3,019,948  
  146,404      

Physicians Realty Trust REIT‡

      2,909,048  
  95,600      

Piedmont Office Realty Trust, Inc. REIT Class A

      2,043,928  
  203,415      

Ramco-Gershenson Properties Trust REIT

      2,851,878  
  84,500      

RLJ Lodging Trust REIT

      1,986,595  
  68,800      

Sabra Healthcare, Inc. REIT

      1,921,584  
  95,800      

Select Income REIT

      2,470,682  
  211,380      

Senior Housing Properties Trust REIT

      4,280,445  
  57,980      

STAG Industrial, Inc. REIT

      1,450,660  
  89,900      

Starwood Property Trust, Inc. REIT

      2,029,942  
  84,900      

Summit Hotel Properties, Inc. REIT

      1,356,702  
  55,655      

Sun Communities, Inc. REIT

      4,470,766  
      

 

 

  
         61,472,012  
      

 

 

  
   

Retail — 4.3%

   
  78,700      

American Eagle Outfitters, Inc.‡

      1,104,161  
  38,156      

BJ’s Restaurants, Inc.*

      1,541,503  
  72,100      

Bloomin’ Brands, Inc.

      1,422,533  
  49,929      

BMC Stock Holdings, Inc.*

      1,128,396  
  33,961      

Burlington Stores, Inc.*

      3,304,066  
  29,700      

Dick’s Sporting Goods, Inc.‡

      1,445,202  
  16,800      

Dillard’s, Inc. Class A‡

      877,632  
  77,052      

Dunkin’ Brands Group, Inc.

      4,213,203  
  58,159      

Five Below, Inc.* ‡

      2,518,866  
  30,300      

Foot Locker, Inc.

      2,266,743  
  124,189      

Fred’s, Inc. Class A‡

      1,626,876  
  160,615      

Haverty Furniture Cos., Inc. ¤

      3,910,975  
  103,830      

Kate Spade & Co.*

      2,411,971  
  22,113      

Lithia Motors, Inc. Class A‡

      1,893,979  
  16,920      

Lululemon Athletica, Inc.* ‡

      877,640  
  87,065      

Michaels Cos., Inc. (The)*

      1,949,385  
  7,798      

Panera Bread Co. Class A* ‡

      2,042,062  
  29,243      

PriceSmart, Inc.

      2,696,205  
  13,800      

Red Robin Gourmet Burgers, Inc.* ‡

      806,610  
  60,400      

Sonic Automotive, Inc. Class A‡

      1,211,020  
  39,890      

Urban Outfitters, Inc.* ‡

      947,786  
  23,900      

Williams-Sonoma, Inc.‡

      1,281,518  
      

 

 

  
         41,478,332  
      

 

 

  

 

42    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Savings & Loans — 0.4%

   
  71,400      

Banc of California, Inc.‡

      1,477,980  
  33,800      

Berkshire Hills Bancorp, Inc.

      1,218,490  
  44,600      

United Financial Bancorp, Inc.

      758,646  
      

 

 

  
         3,455,116  
      

 

 

  
   

Semiconductors — 3.7%

   
  244,370      

Cypress Semiconductor Corp.‡

      3,362,531  
  60,700      

Kulicke & Soffa Industries, Inc.*

      1,233,424  
  560,500      

Lattice Semiconductor Corp.*

      3,878,660  
  36,618      

MACOM Technology Solutions Holdings, Inc.* ‡

      1,768,649  
  54,430      

Mellanox Technologies, Ltd.* ‡

      2,773,209  
  35,490      

Microchip Technology, Inc.‡

      2,618,452  
  67,780      

Microsemi Corp.*

      3,492,703  
  212,070      

ON Semiconductor Corp.*

      3,284,964  
  36,416      

Power Integrations, Inc.

      2,394,352  
  47,985      

Qorvo, Inc.* ‡

      3,289,852  
  29,121      

Silicon Laboratories, Inc.*

      2,141,850  
  171,720      

Teradyne, Inc.

      5,340,492  
      

 

 

  
         35,579,138  
      

 

 

  
   

Shipbuilding — 0.2%

   
  11,600      

Huntington Ingalls Industries, Inc.

      2,322,784  
      

 

 

  
   

Software — 5.1%

   
  20,464      

ANSYS, Inc.*

      2,186,988  
  32,167      

Black Knight Financial Services, Inc. Class A* ‡

      1,231,996  
  60,861      

Blackbaud, Inc.‡

      4,666,213  
  22,442      

Broadridge Financial Solutions, Inc.

      1,524,934  
  93,933      

Callidus Software, Inc.* ‡

      2,005,470  
  36,731      

Cotiviti Holdings, Inc.*

      1,529,112  
  38,580      

CyberArk Software, Ltd.*

      1,962,565  
  9,425      

Donnelley Financial Solutions, Inc.*

      181,808  
  35,398      

Guidewire Software, Inc.*

      1,993,969  
  32,936      

HubSpot, Inc.*

      1,994,275  
  18,972      

j2 Global, Inc.‡

      1,591,941  
  774,780      

Mitel Networks Corp.*

      5,369,225  
  42,742      

MSCI, Inc. Class A

      4,154,095  
  92,128      

PTC, Inc.*

      4,841,326  
  57,570      

RealPage, Inc.*

      2,009,193  
  65,316      

SS&C Technologies Holdings, Inc.

      2,312,186  
  23,324      

Tyler Technologies, Inc.*

      3,604,957  
  21,728      

Ultimate Software Group, Inc. (The)* ‡

      4,241,523  
  38,796      

Veeva Systems, Inc. Class A* ‡

      1,989,459  
      

 

 

  
         49,391,235  
      

 

 

  
   

Telecommunications — 1.1%

   
  38,390      

ARRIS International Plc*

      1,015,415  
  57,733      

GTT Communications, Inc.* ‡

      1,405,799  

 

   See accompanying Notes to the Financial Statements.      43  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Telecommunications — continued

   
  6,720      

IPG Photonics Corp.*

      811,104  
  80,100      

Juniper Networks, Inc.

      2,229,183  
  37,600      

Plantronics, Inc.

      2,034,536  
  87,090      

Zayo Group Holdings, Inc.*

      2,865,261  
      

 

 

  
         10,361,298  
      

 

 

  
   

Transportation — 1.5%

   
  31,300      

Atlas Air Worldwide Holdings, Inc.*

      1,735,585  
  78,993      

Heartland Express, Inc.‡

      1,583,810  
  32,835      

J.B. Hunt Transport Services, Inc.

      3,012,283  
  65,800      

Navigator Holdings, Ltd.* ‡

      904,750  
  33,290      

Old Dominion Freight Line, Inc.‡

      2,848,625  
  29,900      

Ryder System, Inc.‡

      2,255,656  
  44,935      

XPO Logistics, Inc.*

      2,151,937  
      

 

 

  
         14,492,646  
      

 

 

  
   

TOTAL COMMON STOCKS (COST $791,485,650)

      933,177,605  
      

 

 

  
Par Value ($)          Description    Value ($)  
   

SHORT-TERM INVESTMENTS — 8.1%

   
   

Bank Deposit — 4.3%

   
  41,579,644      

State Street Bank & Trust Euro Time Deposit, 0.09%, due 04/03/17

      41,579,644  
      

 

 

  
   

Mutual Fund - Securities Lending Collateral — 3.7%

   
  35,627,563      

State Street Institutional U.S. Government Money Market Fund, Premier Class***

      35,627,563  
      

 

 

  
   

U.S. Government and Agency Obligations — 0.1%

   
  600,000      

United States Treasury Bill, 0.65%, due 04/27/17** ‡‡

      599,711  
      

 

 

  
   

TOTAL SHORT-TERM INVESTMENTS (COST $77,807,017)

      77,806,918  
      

 

 

  
   

TOTAL INVESTMENTS — 104.0%

(COST $869,292,667)

      1,010,984,523  
   

Other Assets and Liabilities (net) — (4.0)%

      (38,528,737 ) 
      

 

 

  
   

NET ASSETS — 100.0%

    $ 972,455,786  
      

 

 

  
   

Notes to Schedule of Investments:

   
    REIT — Real Estate Investment Trust   
  *   Non-income producing security   
  **   All or a portion of this security is pledged for open futures collateral.   
  ***   Represents an investment of securities lending cash collateral.   
  ‡   All or a portion of this security is out on loan.   
  ‡‡   Interest rate presented is yield to maturity.   
  ¤   Illiquid security. The total market value of the securities at year end is $3,910,975 which represents 0.4% of net assets. The aggregate tax cost of these securities held at March 31, 2017 was $3,319,807.   

 

44    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

March 31, 2017

 

Futures Contracts

 

Number of
Contracts

          

Type

        

Expiration Date

     

Contract
Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  186        

Russell 2000 Mini Index

         June 2017      $ 12,874,920      $ 149,134  
  108        

S&P Mid 400 E-mini Index

         June 2017        18,556,560        86,388  
                 

 

 

  
                  $ 235,522  
                 

 

 

  

 

   See accompanying Notes to the Financial Statements.      45  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Schedule of Investments (Continued)

March 31, 2017

 

Asset Class Summary (Unaudited)    % of Net Assets

Common Stocks

        95.9

Futures Contracts

        0.0

Short-Term Investments

        8.1

Other Assets and Liabilities (net)

        (4.0 )
    

 

 

  
       100.0 %
    

 

 

  

 

46    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

COMMON STOCKS — 92.1%

   
   

Australia — 4.2%

   
  1,444,167      

Asaleo Care, Ltd.

      1,938,962  
  259,978      

Australia & New Zealand Banking Group, Ltd.

      6,310,675  
  294,129      

BGP Holdings Plc* **** ¤

      —  
  366,434      

BHP Billiton, Ltd.

      6,720,000  
  155,700      

BlueScope Steel, Ltd.

      1,456,190  
  1,722,133      

Brambles, Ltd.

      12,283,365  
  27,803      

Computershare, Ltd.

      298,206  
  95,724      

Crown Resorts, Ltd.

      862,401  
  105,470      

CSL, Ltd.

      10,083,772  
  1,079,350      

CSR, Ltd.

      3,713,453  
  138,622      

Downer EDI, Ltd.

      612,280  
  1,105,906      

Evolution Mining, Ltd.

      1,771,644  
  2,074,910      

Fortescue Metals Group, Ltd.

      9,861,123  
  987,052      

Genworth Mortgage Insurance Australia, Ltd.‡

      2,364,334  
  365,400      

Harvey Norman Holdings, Ltd.‡

      1,262,716  
  227,700      

Lend Lease Group

      2,706,260  
  45,800      

Macquarie Group, Ltd.

      3,151,455  
  73,919      

Magellan Financial Group, Ltd.

      1,332,474  
  130,170      

McMillan Shakespeare, Ltd.

      1,312,748  
  788,200      

Metcash, Ltd.*

      1,485,157  
  1,313,046      

Myer Holdings, Ltd.‡

      1,217,013  
  137,589      

Nufarm, Ltd.

      1,018,110  
  212,433      

Orica, Ltd.

      2,852,159  
  506,288      

Orora, Ltd.

      1,143,216  
  237,660      

OZ Minerals, Ltd.

      1,419,570  
  77,227      

Premier Investments, Ltd.

      843,629  
  145,800      

Primary Health Care, Ltd.

      397,068  
  862,388      

Qantas Airways, Ltd.

      2,559,124  
  249,400      

Retail Food Group, Ltd.‡

      1,014,058  
  144,930      

Seven Group Holdings, Ltd.

      1,184,096  
  1,477,346      

Sigma Pharmaceuticals, Ltd.

      1,453,821  
  249,709      

Technology One, Ltd.

      977,216  
  918,310      

Treasury Wine Estates, Ltd.

      8,567,514  
      

 

 

  
   

Total Australia

      94,173,809  
      

 

 

  
   

Austria — 1.1%

 

  21,548      

ANDRITZ AG

      1,080,542  
  360,299      

Erste Group Bank AG*

      11,763,042  
  5,986      

Lenzing AG

      1,009,326  
  10,902      

Oesterreichische Post AG

      435,393  
  69,200      

OMV AG

      2,729,963  
  10,862      

RHI AG

      278,877  
  11,485      

Schoeller-Bleckmann Oilfield Equipment AG

      802,131  
  45,807      

UNIQA Insurance Group AG

      356,619  
  62,088      

Vienna Insurance Group

      1,506,093  
  85,034      

Voestalpine AG

      3,355,984  
  59,379      

Wienerberger AG

      1,262,555  
      

 

 

  
   

Total Austria

      24,580,525  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      47  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Belgium — 0.8%

 

  55,042      

Ageas

      2,157,002  
  181,050      

KBC Group NV*

      12,042,593  
  84,827      

Orange Belgium SA* ¤

      1,818,163  
  17,567      

Telenet Group Holding NV*

      1,047,475  
  16,888      

Umicore SA

      964,540  
      

 

 

  
   

Total Belgium

      18,029,773  
      

 

 

  
   

Bermuda — 0.2%

 

  2,192,633      

Esprit Holdings, Ltd.*

      1,836,716  
  177,081      

Hiscox, Ltd.

      2,422,455  
      

 

 

  
   

Total Bermuda

      4,259,171  
      

 

 

  
   

Brazil — 0.1%

 

  674,100      

JBS SA

      2,167,770  
      

 

 

  
   

Canada — 0.5%

 

  226,155      

Entertainment One, Ltd.

      691,718  
  21,312      

Fairfax Financial Holdings, Ltd.‡

      9,671,220  
  14,800      

Home Capital Group, Inc.‡

      288,864  
  106,000      

SEMAFO, Inc.*

      318,719  
      

 

 

  
   

Total Canada

      10,970,521  
      

 

 

  
   

Cayman Islands — 1.9%

 

  128,350      

Alibaba Group Holding, Ltd., ADR*

      13,839,980  
  1,969,000      

China Hongqiao Group, Ltd.****

      1,786,200  
  3,714,000      

Jiangnan Group, Ltd.

      511,353  
  2,741,000      

Lee & Man Paper Manufacturing, Ltd.

      2,095,032  
  593,150      

Tencent Holdings, Ltd.

      17,004,931  
  3,620,000      

Truly International Holdings, Ltd.

      1,285,620  
  5,019,500      

WH Group, Ltd. 144A

      4,327,434  
  2,144,000      

Xinyi Glass Holdings, Ltd.*

      1,887,018  
      

 

 

  
   

Total Cayman Islands

      42,737,568  
      

 

 

  
   

China — 0.1%

 

  905,000      

China Railway Construction Corp., Ltd. Class H

      1,283,291  
  628,600      

Shanghai Pharmaceuticals Holding Co., Ltd. Class H

      1,646,016  
      

 

 

  
   

Total China

      2,929,307  
      

 

 

  
   

Denmark — 1.5%

 

  6,019      

AP Moeller - Maersk AS Class B

      10,016,156  
  144,100      

Danske Bank AS

      4,922,333  
  209,820      

DSV AS

      10,894,253  
  31,467      

Jyske Bank AS

      1,596,715  
  41,722      

Sydbank AS

      1,450,391  
  55,986      

Vestas Wind Systems AS

      4,565,685  
      

 

 

  
   

Total Denmark

      33,445,533  
      

 

 

  

 

48    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Faroe Islands — 0.0%

 

  17,152      

Bakkafrost P/F

      530,402  
      

 

 

  
   

Finland — 0.8%

 

  27,390      

Cargotec OYJ Class B

      1,359,286  
  103,787      

Kemira OYJ

      1,277,672  
  65,833      

Kone OYJ Class B

      2,898,144  
  87,280      

Neste OYJ

      3,412,887  
  95,900      

Outokumpu OYJ* ‡

      937,488  
  104,456      

Stora Enso OYJ Class R

      1,237,867  
  182,189      

UPM-Kymmene OYJ‡

      4,290,821  
  104,725      

Valmet OYJ

      1,631,965  
  21,046      

Wartsila OYJ Abp

      1,128,863  
      

 

 

  
   

Total Finland

      18,174,993  
      

 

 

  
   

France — 7.4%

 

  24,200      

Atos SE

      3,001,145  
  260,311      

AXA SA

      6,752,969  
  178,427      

BNP Paribas SA

      11,913,924  
  34,742      

Cie Generale des Etablissements Michelin

      4,230,472  
  129,388      

CNP Assurances

      2,640,422  
  359,414      

Credit Agricole SA

      4,882,021  
  246,500      

Danone SA

      16,809,940  
  48,207      

Dassault Systemes SA

      4,183,560  
  57,611      

Edenred

      1,364,835  
  76,000      

Electricite de France SA‡

      641,507  
  112,600      

Engie SA

      1,599,327  
  14,701      

Euler Hermes Group

      1,354,418  
  37,759      

Faurecia

      1,800,571  
  73,878      

IPSOS

      2,299,371  
  55,010      

Kering

      14,264,770  
  103,082      

Legrand SA

      6,231,404  
  12,140      

LVMH Moet Hennessy Louis Vuitton SE‡

      2,672,825  
  45,300      

Metropole Television SA

      1,013,586  
  223,200      

Natixis SA

      1,378,867  
  109,240      

Neopost SA

      4,204,985  
  35,220      

Nexans SA*

      1,830,551  
  177,900      

Orange SA

      2,771,324  
  95,856      

Pernod Ricard SA

      11,369,773  
  84,815      

Renault SA

      7,386,829  
  101,200      

Sanofi

      9,159,135  
  142,914      

Schneider Electric SE

      10,490,343  
  178,651      

Societe Generale SA

      9,085,669  
  293,341      

Technicolor

      1,352,545  
  338,495      

Total SA

      17,165,994  
  41,561      

UBISOFT Entertainment SA*

      1,780,062  
  37,572      

Valeo SA

      2,508,757  
      

 

 

  
   

Total France

      168,141,901  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      49  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Germany — 9.1%

 

  28,177      

Aareal Bank AG

      1,090,948  
  89,700      

Adidas AG

      17,105,852  
  18,165      

Allianz SE

      3,373,736  
  22,267      

Aurubis AG

      1,496,100  
  67,637      

BASF SE

      6,721,937  
  92,754      

Bayer AG

      10,719,101  
  22,808      

Bayerische Motoren Werke AG

      2,085,955  
  9,731      

Bechtle AG

      1,058,992  
  32,114      

Beiersdorf AG

      3,047,655  
  76,793      

Brenntag AG

      4,316,138  
  9,108      

Cewe Stiftung & Co. KGaA

      800,261  
  21,117      

Continental AG

      4,641,357  
  43,243      

Covestro AG

      3,337,438  
  37,605      

Daimler AG

      2,783,253  
  70,100      

Deutsche Bank AG*

      1,210,853  
  129,200      

Deutsche Lufthansa AG

      2,100,424  
  95,396      

Deutsche Post AG

      3,275,697  
  252,926      

Deutsche Wohnen AG

      8,349,504  
  116,064      

Deutz AG

      803,037  
  52,118      

DIC Asset AG

      518,408  
  221,298      

E.ON SE

      1,763,571  
  42,798      

ElringKlinger AG‡

      834,013  
  118,809      

Evonik Industries AG

      3,883,959  
  90,260      

Fresenius Medical Care AG & Co. KGaA

      7,631,293  
  144,686      

GEA Group AG

      6,165,194  
  86,230      

HeidelbergCement AG

      8,093,865  
  1,013,221      

Infineon Technologies AG

      20,747,247  
  76,774      

Jenoptik AG

      1,908,320  
  79,600      

K+S AG‡

      1,855,117  
  149,661      

Kloeckner & Co. SE*

      1,622,308  
  13,832      

Koenig & Bauer AG*

      869,740  
  4,519      

Lanxess AG

      303,966  
  38,802      

LEG Immobilien AG*

      3,188,911  
  33,984      

Leoni AG

      1,753,589  
  21,995      

Linde AG

      3,672,212  
  119,523      

METRO AG

      3,832,517  
  46,095      

Muenchener Rueckversicherungs-Gesellschaft in Muenchen AG

      9,041,783  
  8,742      

Nemetschek SE

      525,751  
  27,895      

Rheinmetall AG

      2,345,933  
  196,428      

RWE AG*

      3,263,740  
  45,186      

Salzgitter AG

      1,640,033  
  51,543      

Siemens AG

      7,078,409  
  14,302      

Sixt SE

      738,831  
  27,995      

SMA Solar Technology AG‡

      708,878  
  51,115      

Software AG

      2,026,345  
  17,600      

STADA Arzneimittel AG

      1,080,314  
  101,702      

Symrise AG

      6,781,054  
  136,928      

TAG Immobilien AG‡

      1,847,483  
  52,401      

Talanx AG*

      1,852,583  

 

50    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Germany — continued

 

  218,888      

Uniper SE*

      3,694,281  
  243,362      

Vonovia SE

      8,597,304  
  10,505      

Wacker Chemie AG

      1,084,799  
  200,160      

Zalando SE*

      8,119,024  
      

 

 

  
   

Total Germany

      207,389,013  
      

 

 

  
   

Gibraltar — 0.0%

 

  119,955      

888 Holdings Plc

      400,494  
      

 

 

  
   

Hong Kong — 0.8%

 

  1,742,000      

AIA Group, Ltd.

      10,983,465  
  3,160,000      

Champion REIT

      1,935,482  
  147,000      

Hopewell Holdings, Ltd.

      554,217  
  3,458,000      

PCCW, Ltd.

      2,037,913  
  380,000      

Wheelock & Co., Ltd.

      3,004,697  
      

 

 

  
   

Total Hong Kong

      18,515,774  
      

 

 

  
   

Hungary — 0.1%

 

  28,700      

MOL Hungarian Oil & Gas Plc

      1,968,080  
  40,500      

Richter Gedeon Nyrt

      921,544  
      

 

 

  
   

Total Hungary

      2,889,624  
      

 

 

  
   

India — 0.6%

 

  242,660      

HDFC Bank, Ltd.

      5,381,234  
  423,100      

KPIT Technologies, Ltd.

      846,395  
  228,780      

Tata Motors, Ltd., ADR

      8,156,007  
      

 

 

  
   

Total India

      14,383,636  
      

 

 

  
   

Indonesia — 0.4%

 

  8,897,800      

Bank Mandiri Persero Tbk PT

      7,812,409  
  3,540,700      

Bank Negara Indonesia Persero Tbk PT

      1,720,463  
      

 

 

  
   

Total Indonesia

      9,532,872  
      

 

 

  
   

Ireland — 1.2%

 

  5,772,702      

Bank of Ireland*

      1,450,935  
  313,147      

C&C Group Plc

      1,217,457  
  241,930      

CRH Plc (Dublin Exchange)

      8,557,065  
  76,946      

James Hardie Industries Plc, ADR

      1,207,423  
  66,000      

Kerry Group Plc Class A

      5,202,503  
  99,160      

Ryanair Holdings Plc, ADR*

      8,228,297  
  53,015      

Smurfit Kappa Group Plc

      1,406,066  
      

 

 

  
   

Total Ireland

      27,269,746  
      

 

 

  
   

Isle of Man — 0.1%

 

  127,324      

Playtech Plc

      1,482,267  
      

 

 

  
   

Israel — 0.3%

 

  28,631      

Check Point Software Technologies, Ltd.*

      2,939,258  

 

   See accompanying Notes to the Financial Statements.      51  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Israel — continued

 

  952,345      

El Al Israel Airlines

      699,864  
  1,900      

Orbotech, Ltd.*

      61,275  
  76,500      

Teva Pharmaceutical Industries, Ltd.

      2,509,613  
      

 

 

  
   

Total Israel

      6,210,010  
      

 

 

  
   

Italy — 1.0%

 

  1,214,000      

A2A Spa

      1,841,178  
  183,100      

Astaldi Spa

      1,225,924  
  212,555      

Autogrill Spa

      2,116,518  
  924,490      

Enel Spa

      4,364,510  
  99,858      

Leonardo Spa*

      1,419,413  
  357,418      

Mediaset Spa

      1,483,232  
  127,100      

Mediobanca Spa

      1,148,691  
  62,195      

Poste Italiane Spa

      415,754  
  570,022      

Saras Spa

      1,091,913  
  167,166      

Societa Cattolica di Assicurazioni SCRL

      1,342,731  
  156,407      

UniCredit Spa

      2,417,269  
  786,027      

Unipol Gruppo Finanziario Spa

      3,258,533  
      

 

 

  
   

Total Italy

      22,125,666  
      

 

 

  
   

Japan — 22.3%

 

  22,000      

Advantest Corp.

      410,661  
  8,200      

Aichi Steel Corp.

      325,998  
  79,600      

Aisin Seiki Co., Ltd.

      3,907,493  
  75,400      

Alpine Electronics, Inc.

      1,083,329  
  38,200      

Amano Corp.‡

      762,080  
  60,000      

Asahi Kasei Corp.

      581,531  
  407,600      

Astellas Pharma, Inc.

      5,362,484  
  37,900      

Azbil Corp.‡

      1,272,063  
  109,700      

Brother Industries, Ltd.

      2,288,903  
  295,800      

Calbee, Inc.‡

      10,074,136  
  464,000      

Central Glass Co., Ltd.

      1,973,759  
  23,800      

Central Japan Railway Co.

      3,874,468  
  253,294      

Chiba Bank, Ltd. (The)‡

      1,625,282  
  436,000      

Citizen Watch Co., Ltd.

      2,793,718  
  53,500      

CKD Corp.

      676,012  
  118,800      

COMSYS Holdings Corp.

      2,120,553  
  530,500      

Concordia Financial Group, Ltd.

      2,453,735  
  37,300      

Dai-ichi Life Holdings, Inc.

      668,307  
  142,000      

Daido Steel Co., Ltd.

      677,950  
  12,300      

Daio Paper Corp.

      157,075  
  333,246      

Daiwa Securities Group, Inc.

      2,027,349  
  35,400      

Denso Corp.

      1,555,719  
  91,100      

DIC Corp.

      3,360,145  
  41,900      

East Japan Railway Co.

      3,645,146  
  20,900      

Enplas Corp.‡

      578,628  
  40,800      

Exedy Corp.

      1,164,354  
  37,200      

FCC Co., Ltd.

      741,797  
  87,000      

Fuji Machine Manufacturing Co., Ltd.

      1,138,347  

 

52    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Japan — continued

 

  189,900      

Fuji Oil Holdings, Inc.

      4,442,873  
  35,700      

Fuji Seal International, Inc.

      771,476  
  57,900      

FUJIFILM Holdings Corp.

      2,259,259  
  352,000      

Fujikura, Ltd.

      2,530,306  
  114,100      

Fujitec Co., Ltd.‡

      1,251,281  
  668,000      

Fujitsu, Ltd.

      4,081,856  
  16,900      

Fuyo General Lease Co., Ltd.

      756,807  
  38,097      

Glory, Ltd.

      1,247,905  
  249,294      

Hachijuni Bank, Ltd. (The)‡

      1,407,215  
  431,000      

Hanwa Co., Ltd.

      3,059,508  
  27,600      

Heiwa Corp.

      685,604  
  40,000      

Heiwado Co., Ltd.

      969,936  
  41,900      

Hirose Electric Co., Ltd.

      5,790,721  
  16,200      

Hitachi High-Technologies Corp.

      659,311  
  1,041,000      

Hitachi, Ltd.

      5,628,668  
  18,300      

Hitachi Maxell, Ltd.‡

      333,548  
  120,800      

Hokuetsu Kishu Paper Co., Ltd.‡

      841,253  
  80,700      

Hokuhoku Financial Group, Inc.

      1,265,215  
  14,400      

Ibiden Co., Ltd.

      224,083  
  36,700      

IBJ Leasing Co., Ltd.

      782,547  
  593,500      

Inpex Corp.

      5,829,541  
  177,100      

Isuzu Motors, Ltd.

      2,340,301  
  125,200      

Ito En, Ltd.

      4,567,334  
  210,000      

Itochu Corp.‡

      2,977,654  
  70,600      

Japan Airlines Co., Ltd.

      2,234,009  
  42,000      

Japan Aviation Electronics Industry, Ltd.‡

      538,616  
  47,800      

Japan Petroleum Exploration Co., Ltd.‡

      1,093,442  
  62,600      

Japan Steel Works, Ltd. (The)

      1,007,847  
  291,900      

Japan Tobacco, Inc.

      9,477,647  
  216,600      

JFE Holdings, Inc.

      3,709,783  
  53,200      

JTEKT Corp.

      825,476  
  43,500      

Juki Corp.

      511,788  
  324,000      

JX Holdings, Inc.‡

      1,589,615  
  21,100      

Kaken Pharmaceutical Co., Ltd.

      1,191,053  
  146,000      

Kaneka Corp.

      1,084,878  
  663,000      

Kanematsu Corp.

      1,189,985  
  203,900      

Kansai Electric Power Co., Inc. (The)

      2,501,403  
  215,708      

Kao Corp.

      11,816,222  
  683,000      

Kawasaki Heavy Industries, Ltd.

      2,071,740  
  687,600      

KDDI Corp.

      18,030,757  
  164,300      

Keihin Corp.

      2,692,379  
  5,100      

Keyence Corp.

      2,040,366  
  22,900      

Kiyo Bank, Ltd. (The)

      350,600  
  95,600      

Kobayashi Pharmaceutical Co., Ltd.

      4,624,284  
  11,900      

Kohnan Shoji Co., Ltd.

      224,800  
  540,700      

Komatsu, Ltd.

      14,079,162  
  104,400      

Komori Corp.

      1,338,846  
  405,400      

Konica Minolta, Inc.

      3,623,606  
  9,986      

Kose Corp.

      902,441  
  11,400      

Kuroda Electric Co., Ltd.‡

      247,991  

 

   See accompanying Notes to the Financial Statements.      53  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Japan — continued

 

  342,000      

KYB Corp.

      1,780,131  
  71,000      

Kyudenko Corp.‡

      1,933,815  
  13,600      

Lintec Corp.‡

      289,624  
  113,000      

Makino Milling Machine Co., Ltd.

      978,596  
  335,200      

Marubeni Corp.

      2,062,098  
  19,900      

Maruwa Co., Ltd.

      709,885  
  38,400      

Matsumotokiyoshi Holdings Co., Ltd.

      1,819,546  
  644,000      

Mebuki Financial Group, Inc.

      2,571,839  
  10,600      

Melco Holdings, Inc.

      305,833  
  101,100      

MISUMI Group, Inc.

      1,825,480  
  328,000      

Mitsubishi Chemical Holdings Corp.

      2,535,576  
  187,800      

Mitsubishi Co.

      4,054,141  
  109,200      

Mitsubishi Electric Corp.

      1,565,040  
  132,400      

Mitsubishi Gas Chemical Co., Inc.

      2,747,095  
  52,500      

Mitsubishi Shokuhin Co., Ltd.

      1,625,460  
  155,400      

Mitsui & Co., Ltd.

      2,248,788  
  135,000      

Mitsui Mining & Smelting Co., Ltd.

      459,167  
  1,773,900      

Mizuho Financial Group, Inc.

      3,247,560  
  259,200      

MonotaRO Co., Ltd.‡

      8,001,867  
  167,000      

Morinaga Milk Industry Co., Ltd.

      1,237,925  
  128,700      

MS&AD Insurance Group Holdings, Inc.

      4,088,648  
  14,900      

Musashino Bank, Ltd. (The)

      441,264  
  667,000      

NEC Corp.‡

      1,604,200  
  107,100      

Nichicon Corp.

      996,704  
  170,800      

Nihon Kohden Corp.

      3,815,141  
  136,700      

Nihon Unisys, Ltd.‡

      1,864,704  
  333,000      

Nippon Electric Glass Co., Ltd.

      2,011,209  
  40,700      

Nippon Flour Mills Co., Ltd.

      600,474  
  552,100      

Nippon Light Metal Holdings Co., Ltd.

      1,213,897  
  38,500      

Nippon Paper Industries Co., Ltd.‡

      691,708  
  95,400      

Nippon Sheet Glass Co., Ltd.* ‡

      692,620  
  326,000      

Nippon Soda Co., Ltd.

      1,799,246  
  78,800      

Nippon Steel & Sumitomo Metal Corp.

      1,813,892  
  369,100      

Nippon Telegraph & Telephone Corp.

      15,740,494  
  66,905      

Nippon Telegraph & Telephone Corp., ADR

      2,866,210  
  184,500      

Nipro Corp.

      2,599,524  
  125,200      

Nishi-Nippon Financial Holdings, Inc.*

      1,250,539  
  770,900      

Nissan Motor Co., Ltd.‡

      7,426,736  
  287,500      

Nisshinbo Holdings, Inc.

      2,871,646  
  57,800      

Nissin Kogyo Co., Ltd.

      1,035,348  
  48,000      

NOF Corp.

      509,163  
  259,900      

Nomura Holdings, Inc.

      1,613,792  
  264,200      

Nomura Research Institute, Ltd.

      9,721,080  
  371,541      

North Pacific Bank, Ltd.

      1,407,074  
  176,000      

NTT DoCoMo, Inc.

      4,094,768  
  75,000      

Obic Co., Ltd.

      3,567,262  
  67,000      

Oji Holdings Corp.

      313,264  
  322,700      

Omron Corp.

      14,146,904  
  819,000      

Orix Corp.

      12,108,970  

 

54    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Japan — continued

 

  87,100      

Otsuka Holdings Co., Ltd.

      3,925,480  
  767,500      

Pioneer Corp.*

      1,522,189  
  370,000      

Prima Meat Packers, Ltd.

      1,633,671  
  431,500      

Resona Holdings, Inc.

      2,315,300  
  58,500      

Rohm Co., Ltd.

      3,884,950  
  122,000      

Rohto Pharmaceutical Co., Ltd.‡

      2,283,873  
  218,000      

Sankyu, Inc.

      1,320,560  
  373,300      

Santen Pharmaceutical Co., Ltd.

      5,400,337  
  25,300      

Sawai Pharmaceutical Co., Ltd.‡

      1,366,831  
  52,200      

SCREEN Holdings Co., Ltd.‡

      3,836,651  
  89,000      

Secom Co., Ltd.

      6,364,902  
  200,600      

Seiko Epson Corp.

      4,219,747  
  37,700      

Seino Holdings Co., Ltd.‡

      422,911  
  368,200      

Senshu Ikeda Holdings, Inc.

      1,519,986  
  59,000      

Shiga Bank, Ltd. (The)

      302,333  
  164,600      

Shin-Etsu Chemical Co., Ltd.

      14,245,736  
  212,000      

Shindengen Electric Manufacturing Co., Ltd.‡

      886,584  
  686,000      

Shinsei Bank, Ltd.‡

      1,262,048  
  56,400      

Ship Healthcare Holdings, Inc.‡

      1,498,702  
  2,441,300      

Sojitz Corp.

      6,112,561  
  71,800      

Sony Corp.

      2,426,625  
  102,942      

Sony Corp., ADR

      3,472,234  
  113,000      

Sumitomo Chemical Co., Ltd.

      630,764  
  89,600      

Sumitomo Corp.

      1,204,128  
  159,700      

Sumitomo Electric Industries, Ltd.

      2,645,663  
  370,841      

Sumitomo Mitsui Financial Group, Inc.‡

      13,461,831  
  35,800      

Sumitomo Mitsui Trust Holdings, Inc.

      1,240,133  
  190,500      

Sumitomo Rubber Industries, Ltd.

      3,243,099  
  84,100      

T-Gaia Corp.

      1,445,315  
  40,600      

Taiyo Yuden Co., Ltd.

      512,282  
  31,300      

TDK Corp.

      1,980,302  
  27,900      

Teijin, Ltd.

      525,551  
  108,100      

Terumo Corp.‡

      3,749,497  
  94,800      

Toagosei Co., Ltd.

      1,080,463  
  39,700      

Tokio Marine Holdings, Inc.

      1,673,079  
  455,000      

Tokuyama Corp.*

      2,196,805  
  47,500      

Tokyo Century Corp.

      1,615,588  
  25,500      

Tokyo Electron, Ltd.

      2,781,589  
  49,700      

Tokyo Ohka Kogyo Co., Ltd.

      1,648,044  
  40,000      

Tokyo Seimitsu Co., Ltd.

      1,258,189  
  13,900      

Tokyo TY Financial Group, Inc.

      416,015  
  207,800      

Tokyu Construction Co., Ltd.

      1,631,742  
  36,000      

Toppan Printing Co., Ltd.

      366,688  
  34,600      

Topre Corp.‡

      899,544  
  240,000      

Toray Industries, Inc.‡

      2,125,819  
  175,000      

Tosoh Corp.

      1,535,942  
  18,000      

Towa Pharmaceutical Co., Ltd.

      909,450  
  119,100      

Toyo Suisan Kaisha, Ltd.

      4,430,310  
  87,000      

Toyoda Gosei Co., Ltd.

      2,210,329  

 

   See accompanying Notes to the Financial Statements.      55  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Japan — continued

 

  20,900      

Toyota Boshoku Corp.

      484,472  
  47,400      

Toyota Motor Corp.

      2,570,141  
  71,100      

TS Tech Co., Ltd.

      1,909,102  
  47,000      

Tsubakimoto Chain Co.

      391,421  
  694,000      

Ube Industries, Ltd.

      1,563,259  
  13,100      

Ulvac, Inc.

      610,150  
  59,500      

Ushio, Inc.

      751,292  
  88,870      

USS Co., Ltd.

      1,480,236  
  96,900      

Valor Holdings Co., Ltd.

      2,284,450  
  44,300      

West Japan Railway Co.

      2,878,725  
  39,600      

Yamaha Corp.

      1,089,240  
  148,900      

Yamaha Motor Co., Ltd.

      3,582,526  
  415,562      

Yamato Holdings Co., Ltd.‡

      8,698,720  
  122,500      

Yokogawa Electric Corp.

      1,926,052  
  73,000      

Yokohama Rubber Co., Ltd. (The)

      1,427,506  
      

 

 

  
   

Total Japan

      505,199,571  
      

 

 

  
   

Luxembourg — 0.5%

 

  1,139,991      

ArcelorMittal*

      9,615,218  
  106,700      

SAF-Holland SA

      1,784,851  
      

 

 

  
   

Total Luxembourg

      11,400,069  
      

 

 

  
   

Malaysia — 0.1%

 

  748,700      

Tenaga Nasional Bhd

      2,321,131  
      

 

 

  
   

Malta — 0.0%

 

  61,183      

Kindred Group Plc, SDR

      636,616  
      

 

 

  
   

Netherlands — 3.6%

 

  648,761      

Aegon NV

      3,310,511  
  28,336      

Akzo Nobel NV

      2,355,744  
  31,255      

ASM International NV

      1,759,022  
  15,539      

ASML Holding NV

      2,067,495  
  25,586      

BE Semiconductor Industries NV

      1,046,320  
  15,056      

Core Laboratories NV

      1,739,269  
  22,417      

Euronext NV

      980,742  
  168,486      

Fiat Chrysler Automobiles NV*

      1,847,092  
  9      

Fugro NV, ADR*

      141  
  101,580      

Heineken NV

      8,669,859  
  556,619      

ING Groep NV

      8,435,849  
  117,575      

Koninklijke Ahold Delhaize NV

      2,522,591  
  50,651      

Koninklijke DSM NV

      3,435,158  
  32,778      

Koninklijke Philips Electronics NV, ADR

      1,052,502  
  337,937      

Koninklijke Philips NV

      10,890,199  
  181,516      

NN Group NV

      5,918,369  
  391,811      

PostNL NV*

      1,855,603  
  370,717      

RELX NV

      6,883,244  
  177,909      

STMicroelectronics NV, ADR

      2,750,473  
  42,422      

TKH Group NV, ADR

      1,825,106  

 

56    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Netherlands — continued

 

  116,180      

Unilever NV, ADR

      5,786,801  
  77,700      

Unilever NV, ADR

      3,860,136  
  45,254      

Wolters Kluwer NV

      1,885,960  
      

 

 

  
   

Total Netherlands

      80,878,186  
      

 

 

  
   

New Zealand — 0.2%

 

  757,106      

Air New Zealand, Ltd.

      1,301,967  
  152,951      

Chorus, Ltd.

      461,896  
  24,000      

Sky City Entertainment Group, Ltd. REIT

      69,625  
  777,852      

Sky Network Television, Ltd.

      2,131,529  
  330,102      

Trade Me Group, Ltd.

      1,183,788  
      

 

 

  
   

Total New Zealand

      5,148,805  
      

 

 

  
   

Norway — 0.7%

 

  340,877      

DNB ASA

      5,401,549  
  11,962      

Leroy Seafood Group ASA

      523,666  
  157,623      

Orkla ASA

      1,411,264  
  82,548      

Salmar ASA

      1,779,959  
  89,259      

SpareBank 1 SMN

      691,092  
  70,600      

Statoil ASA

      1,205,861  
  426,276      

Storebrand ASA*

      2,833,932  
  42,500      

Yara International ASA

      1,635,891  
      

 

 

  
   

Total Norway

      15,483,214  
      

 

 

  
   

Philippines — 0.0%

 

  6,261,800      

Vista Land & Lifescapes, Inc.

      633,980  
      

 

 

  
   

Poland — 0.1%

 

  423,743      

PGE Polska Grupa Energetyczna SA

      1,219,266  
      

 

 

  
   

Portugal — 0.5%

 

  782,528      

Banco Espirito Santo SA* **** ¤

      —  
  615,070      

Jeronimo Martins SGPS SA

      11,032,109  
  302,546      

Navigator Co. SA (The)

      1,218,632  
      

 

 

  
   

Total Portugal

      12,250,741  
      

 

 

  
   

Russia — 0.2%

 

  346,335      

Gazprom PJSC, ADR

      1,548,118  
  49,400      

MMC Norilsk Nickel PJSC, (London Exchange), ADR

      776,568  
  32,432      

Tatneft PJSC, (London Exchange), ADR

      1,195,119  
      

 

 

  
   

Total Russia

      3,519,805  
      

 

 

  
   

Singapore — 0.2%

 

  146,200      

DBS Group Holdings, Ltd.

      2,029,829  
  1,713,900      

Yangzijiang Shipbuilding Holdings, Ltd.

      1,386,035  
      

 

 

  
   

Total Singapore

      3,415,864  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      57  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

South Africa — 0.1%

 

  153,700      

MTN Group, Ltd.

      1,398,445  
      

 

 

  
   

South Korea — 0.4%

 

  35,889      

Kia Motors Corp.

      1,189,026  
  3,220      

Samsung Electronics Co., Ltd.

      5,931,503  
  6,440      

SK Telecom Co., Ltd.

      1,451,203  
      

 

 

  
   

Total South Korea

      8,571,732  
      

 

 

  
   

Spain — 2.0%

 

  302,006      

Amadeus IT Group SA Class A

      15,362,375  
  680,777      

Banco de Sabadell SA

      1,250,918  
  630,732      

Banco Santander SA

      3,875,572  
  27,858      

Bolsas y Mercados Espanoles SHMSF SA

      926,640  
  23,519      

Construcciones y Auxiliar de Ferrocarriles SA

      901,797  
  334,800      

Distribuidora Internacional de Alimentacion SA‡

      1,941,180  
  317,118      

Ence Energia y Celulosa SA

      980,211  
  48,663      

Gamesa Corp. Tecnologica SA

      1,154,413  
  162,572      

Gas Natural SDG SA

      3,571,471  
  715,144      

Iberdrola SA

      5,128,534  
  167,085      

International Consolidated Airlines Group SA (London Exchange)

      1,105,248  
  20,191      

Let’s GOWEX SA* **** ‡ ¤

      —  
  260,656      

Liberbank SA*

      336,214  
  1,027,749      

Mapfre SA

      3,534,020  
  151,524      

Repsol SA

      2,345,854  
  210,500      

Sacyr SA*

      524,352  
  278,896      

Telefonica SA

      3,127,603  
      

 

 

  
   

Total Spain

      46,066,402  
      

 

 

  
   

Sweden — 2.1%

 

  68,167      

Atlas Copco AB Class A

      2,414,930  
  60,271      

Atlas Copco AB Class B

      1,922,559  
  92,843      

BillerudKorsnas AB

      1,502,617  
  91,249      

Boliden AB

      2,728,793  
  53,960      

Electrolux AB Class B

      1,505,487  
  53,879      

Granges AB

      494,840  
  67,645      

Hexpol AB

      696,278  
  19,433      

Holmen AB Class B‡

      759,838  
  30,104      

Industrivarden AB Class A

      698,289  
  83,312      

Investor AB Class B

      3,519,739  
  64,010      

Kinnevik AB Class B

      1,713,472  
  330,370      

Lundin Petroleum AB*

      6,727,066  
  54,581      

Mycronic AB‡

      560,891  
  429,203      

Nordea Bank AB

      4,917,786  
  37,067      

Saab AB Class B‡

      1,570,562  
  156,023      

Sandvik AB

      2,339,917  
  368,300      

SAS AB* ‡

      589,887  
  115,000      

SKF AB Class B‡

      2,283,693  
  502,362      

Svenska Handelsbanken AB Class A‡

      6,915,123  
  9,316      

Swedish Match AB

      304,158  

 

58    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Sweden — continued

 

  178,227      

Telefonaktiebolaget LM Ericsson Class B‡

      1,193,729  
  182,171      

Telefonaktiebolaget LM Ericsson Class B, ADR

      1,209,615  
  450,400      

Telia Co. AB

      1,896,278  
      

 

 

  
   

Total Sweden

      48,465,547  
      

 

 

  
   

Switzerland — 7.8%

 

  130,640      

ABB, Ltd.*

      3,057,990  
  35,600      

Aryzta AG*

      1,143,454  
  8,468      

Autoneum Holding AG

      2,489,344  
  9,098      

Bucher Industries AG

      2,663,184  
  44,656      

Cembra Money Bank AG*

      3,696,238  
  52,111      

Cie Financiere Richemont SA

      4,123,274  
  82,184      

Coca-Cola HBC AG*

      2,118,028  
  197,300      

Credit Suisse Group AG*

      2,936,980  
  13,736      

Geberit AG

      5,925,576  
  4,052      

Georg Fischer AG

      3,687,869  
  5,678      

Givaudan SA‡

      10,233,390  
  17,095      

Implenia AG

      1,200,638  
  265,274      

Julius Baer Group, Ltd.*

      13,251,111  
  34,748      

Kudelski SA*

      569,326  
  62,319      

Logitech International SA

      1,982,976  
  441,168      

Nestle SA

      33,871,583  
  85,674      

Novartis AG

      6,363,816  
  10,585      

Rieter Holding AG*

      2,228,143  
  124,199      

Roche Holding AG

      31,739,951  
  11,440      

Schindler Holding AG

      2,214,968  
  4,027      

SGS SA

      8,597,531  
  2,065      

Siegfried Holding AG*

      544,127  
  17,200      

Swiss Life Holding AG*

      5,553,764  
  110,142      

Swiss Re AG

      9,897,870  
  7,155      

Syngenta AG*

      3,147,785  
  17,648      

Temenos Group AG*

      1,403,448  
  580,344      

UBS Group AG

      9,294,085  
  12,209      

Zurich Insurance Group AG

      3,261,588  
      

 

 

  
   

Total Switzerland

      177,198,037  
      

 

 

  
   

Taiwan — 1.0%

 

  2,407,000      

Compeq Manufacturing Co., Ltd.

      1,741,243  
  608,000      

Fubon Financial Holding Co., Ltd.

      991,876  
  1,196,000      

Taiwan Semiconductor Manufacturing Co., Ltd.

      7,449,749  
  400,054      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

      13,137,773  
      

 

 

  
   

Total Taiwan

      23,320,641  
      

 

 

  
   

Thailand — 0.1%

 

  16,831,100      

Quality Houses PCL

      1,283,303  
  23,666,400      

Sansiri PCL

      1,405,004  
      

 

 

  
   

Total Thailand

      2,688,307  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      59  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Turkey — 0.0%

 

  208,146      

TAV Havalimanlari Holding AS

      828,206  
      

 

 

  
   

United Kingdom — 15.9%

 

  252,378      

3i Group Plc

      2,365,318  
  159,117      

Aberdeen Asset Management Plc

      526,668  
  173,829      

Ashmore Group Plc

      768,384  
  658,687      

Ashtead Group Plc

      13,615,022  
  17,768      

ASOS Plc*

      1,343,078  
  132,700      

AstraZeneca Plc, ADR

      4,132,278  
  25,400      

AstraZeneca Plc

      1,560,280  
  1,016,981      

BAE Systems Plc

      8,170,570  
  118,376      

Barclays Plc, ADR

      1,330,546  
  712,929      

Barclays Plc

      2,006,726  
  211,562      

Barratt Developments Plc

      1,445,753  
  256,120      

BBA Aviation Plc

      975,208  
  61,900      

Bellway Plc

      2,092,199  
  54,906      

Berendsen Plc

      503,257  
  61,200      

Berkeley Group Holdings Plc

      2,454,239  
  759,300      

BP Plc

      4,344,285  
  109,836      

British American Tobacco Plc, ADR

      7,284,324  
  236,326      

British American Tobacco Plc

      15,662,236  
  133,650      

Britvic Plc

      1,082,119  
  398,700      

BT Group Plc

      1,586,400  
  313,580      

Bunzl Plc

      9,097,095  
  758,464      

Cairn Energy Plc*

      1,939,522  
  349,974      

Carillion Plc‡

      975,904  
  570,622      

Centrica Plc

      1,548,370  
  341,544      

Cobham Plc‡

      568,021  
  825,894      

Compass Group Plc

      15,553,054  
  150,255      

Crest Nicholson Holdings Plc

      1,020,223  
  34,907      

Diageo Plc, ADR

      4,034,551  
  43,504      

Dialog Semiconductor Plc*

      2,227,143  
  419,868      

Drax Group Plc

      1,708,428  
  126,585      

easyJet Plc‡

      1,624,037  
  862,126      

Evraz Plc*

      2,331,813  
  399,534      

Experian Plc

      8,133,445  
  701,600      

Firstgroup Plc*

      1,158,057  
  834,800      

G4S Plc

      3,176,514  
  53,249      

Galliford Try Plc

      980,134  
  591,200      

GKN Plc

      2,685,754  
  108,200      

GlaxoSmithKline Plc

      2,245,282  
  171,053      

GlaxoSmithKline Plc, ADR

      7,211,595  
  2,544,910      

Glencore Plc*

      9,965,320  
  126,176      

Greene King Plc

      1,106,804  
  47,696      

Greggs Plc

      622,061  
  432,427      

Halma Plc

      5,537,059  
  390,441      

Henderson Group Plc

      1,138,057  
  402,196      

HSBC Holdings Plc

      3,273,546  
  245,232      

IG Group Holdings Plc

      1,524,972  

 

60    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United Kingdom — continued

 

  376,450      

IMI Plc

      5,615,832  
  121,168      

Imperial Brands Plc

      5,859,067  
  10,000      

Inchcape Plc

      105,225  
  59,200      

Indivior Plc

      238,440  
  33,293      

InterContinental Hotels Group Plc

      1,626,949  
  71,726      

Intermediate Capital Group Plc

      635,004  
  65,531      

Intertek Group Plc

      3,223,647  
  151,226      

IWG Plc

      603,231  
  1,838,845      

J Sainsbury Plc

      6,077,272  
  137,367      

Jardine Lloyd Thompson Group Plc

      1,944,443  
  239,848      

John Wood Group Plc

      2,280,876  
  218,943      

Jupiter Fund Management Plc

      1,166,291  
  676,000      

Kingfisher Plc

      2,756,537  
  4,197,051      

Lloyds Banking Group Plc

      3,480,608  
  346,280      

London Stock Exchange Group Plc

      13,730,617  
  566,237      

Man Group Plc

      1,042,959  
  489,400      

Marks & Spencer Group Plc

      2,062,340  
  190,422      

Marston’s Plc

      319,548  
  309,291      

Meggitt Plc

      1,722,211  
  400,400      

Mitchells & Butlers Plc

      1,224,163  
  1,294,785      

Old Mutual Plc

      3,247,843  
  526,246      

Paragon Group of Cos. Plc (The)

      2,749,310  
  453,577      

Paysafe Group Plc*

      2,652,112  
  201,645      

Pennon Group Plc

      2,223,937  
  19,656      

Petrofac, Ltd.

      225,880  
  889,732      

Premier Oil Plc* ‡

      700,916  
  1,132,996      

QinetiQ Group Plc

      3,952,747  
  276,956      

Reckitt Benckiser Group Plc

      25,232,852  
  187,599      

Redrow Plc

      1,196,374  
  292,245      

Rentokil Initial Plc

      901,535  
  92,700      

Restaurant Group Plc (The)

      386,582  
  13,824      

Rightmove Plc

      689,375  
  46,724      

Rio Tinto Plc, ADR

      1,900,732  
  79,900      

Royal Dutch Shell Plc Class B

      2,182,555  
  6      

Royal Dutch Shell Plc (Turquoise) Class A, ADR

      316  
  211,900      

Royal Mail Plc

      1,126,124  
  45,266      

Sage Group Plc (The)

      356,881  
  356,992      

Shire Plc

      20,806,737  
  25,148      

Smith & Nephew Plc, ADR

      777,828  
  103,361      

Spectris Plc

      3,228,610  
  129,759      

Spirax-Sarco Engineering Plc

      7,738,044  
  56,100      

SSE Plc

      1,035,418  
  625,774      

St James’s Place Plc

      8,310,142  
  232,817      

Stagecoach Group Plc

      609,618  
  216,805      

Tate & Lyle Plc

      2,072,589  
  1,852,130      

Tullow Oil Plc* ‡

      5,419,431  
  69,300      

Unilever Plc, ADR

      3,419,262  
  73,922      

Vesuvius Plc

      481,128  
  61,290      

Vodafone Group Plc, ADR

      1,619,895  

 

   See accompanying Notes to the Financial Statements.      61  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United Kingdom — continued

 

  417,177      

Weir Group Plc (The)

      10,000,204  
  179,710      

Wolseley Plc

      11,280,864  
  2,546,550      

Worldpay Group Plc

      9,406,522  
  236,091      

WPP Plc

      5,172,255  
      

 

 

  
   

Total United Kingdom

      361,455,529  
      

 

 

  
   

United States — 2.1%

 

  68,823      

Analog Devices, Inc.

      5,640,045  
  46,025      

ANSYS, Inc.*

      4,918,692  
  276,913      

Cadence Design Systems, Inc.*

      8,695,068  
  176,673      

Colgate-Palmolive Co.

      12,930,697  
  39,855      

Nordson Corp.

      4,895,788  
  46,831      

NVIDIA Corp.

      5,101,301  
  80,319      

Texas Instruments, Inc.

      6,470,498  
      

 

 

  
   

Total United States

      48,652,089  
      

 

 

  
   

TOTAL COMMON STOCKS (COST $1,918,750,702)

      2,091,092,558  
      

 

 

  
   

INVESTMENT COMPANY — 0.9%

   
   

United States — 0.9%

   
  342,527      

iShares MSCI EAFE ETF

      21,336,007  
      

 

 

  
   

TOTAL INVESTMENT COMPANY (COST $19,269,079)

      21,336,007  
      

 

 

  
   

PREFERRED STOCKS — 1.1%

 

   

Brazil — 0.1%

 

  800,360      

Itausa - Investimentos Itau SA, 6.06%

      2,394,815  
      

 

 

  
   

Germany — 1.0%

 

  138,031      

Henkel AG & Co. KGaA, 1.35%

      17,730,483  
  30,707      

Porsche Automobil Holding SE, 2.03%

      1,679,574  
  18,920      

Volkswagen AG, 0.13%

      2,764,221  
      

 

 

  
   

Total Germany

      22,174,278  
      

 

 

  
   

TOTAL PREFERRED STOCKS (COST $19,079,452)

      24,569,093  
      

 

 

  
   

RIGHTS — 0.0%

   
   

Australia — 0.0%

   
  55,449      

Downer EDI, Ltd., Strike Price AUD 5.59, Expires 04/11/2017*

      508  
      

 

 

  
   

Germany — 0.0%

 

  70,100      

Deutsche Bank AG, Strike Price EUR 11.65, Expires 04/06/2017*

      167,945  
      

 

 

  
   

TOTAL RIGHTS (COST $0)

      168,453  
      

 

 

  

 

62    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

SHORT-TERM INVESTMENTS — 9.0%

   
   

Bank Deposit — 5.2%

   
  118,157,051      

State Street Bank & Trust Euro Time Deposit, 0.09%, due 04/03/17

      118,157,051  
      

 

 

  
   

Mutual Fund - Securities Lending Collateral — 3.6%

 

  81,928,175      

State Street Institutional U.S. Government Money Market Fund, Premier Class***

      81,928,175  
      

 

 

  
   

U.S. Government and Agency Obligations — 0.2%

 

  2,350,000      

United States Treasury Bill, 0.65%, due 04/27/17** ‡‡

      2,348,865  
  2,350,000      

United States Treasury Bill, 0.73%, due 06/22/17** ‡‡

      2,346,097  
      

 

 

  
   

Total U.S. Government and Agency Obligations

      4,694,962  
      

 

 

  
   

TOTAL SHORT-TERM INVESTMENTS (COST $204,781,319)

      204,780,188  
      

 

 

  
   

TOTAL INVESTMENTS — 103.1%

(COST $2,161,880,552)

      2,341,946,299  
   

Other Assets and Liabilities (net) — (3.1)%

      (70,841,924 ) 
      

 

 

  
   

NET ASSETS — 100.0%

    $ 2,271,104,375  
      

 

 

  
   

Notes to Schedule of Investments:

  
    ADR — American Depository Receipt   
    REIT — Real Estate Investment Trust   
    SDR — Swedish Depository Receipt   
  *   Non-income producing security   
  **   All or a portion of this security is pledged for open futures collateral.   
  ***   Represents an investment of securities lending cash collateral.   
  ****   Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $1,786,200 which represents 0.1% of net assets. The aggregate tax cost of these securities held at March 31, 2017 was $3,170,360.   
  ‡   All or a portion of this security is out on loan.   
  ‡‡   Interest rate presented is yield to maturity.   
  ¤   Illiquid security. The total market value of the securities at year end is $1,818,163 which represents 0.1% of net assets. The aggregate tax cost of these securities held at March 31, 2017 was $3,257,992.   
    144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $4,327,434 which represents 0.2% of net assets.   

 

   See accompanying Notes to the Financial Statements.      63  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Forward Foreign Currency Contracts

 

Settlement
Date

          

Currency

   

Counterparty

   

Units of
Currency

     

Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  08/24/17         EUR   

Barclays Bank Plc

      4,615,000      $ 4,970,797      $ (57,033 ) 
                 

 

 

  
  Sales                    
  08/24/17         JPY   

HSBC Bank USA

      2,128,429,000      $ 19,217,089      $ 75,440  
                 

 

 

  

Currency Abbreviations

 

AUD — Australian Dollar
EUR — Euro
JPY — Japanese Yen

Futures Contracts

 

Number of
Contracts

          

Type

        

Expiration Date

     

Contract
Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  1,065        

MSCI EAFE E-mini Index

         June 2017      $ 94,891,500      $ 567,382  
                 

 

 

  

 

64    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Industry Sector Summary (Unaudited)    % of Net Assets

Banks

        8.1

Food

        6.1

Pharmaceuticals

        5.0

Insurance

        4.8

Chemicals

        4.2

Diversified Financial Services

        3.6

Semiconductors

        3.4

Commercial Services

        3.2

Telecommunications

        3.1

Electronics

        2.7

Oil & Gas

        2.7

Retail

        2.4

Transportation

        2.4

Auto Parts & Equipment

        2.3

Beverages

        2.0

Internet

        2.0

Software

        2.0

Household Products & Wares

        1.9

Auto Manufacturers

        1.8

Machinery — Diversified

        1.8

Agriculture

        1.7

Distribution & Wholesale

        1.7

Electrical Components & Equipment

        1.7

Iron & Steel

        1.7

Building Materials

        1.6

Mining

        1.3

Real Estate

        1.3

Cosmetics & Personal Care

        1.2

Electric

        1.2

Miscellaneous — Manufacturing

        1.2

Computers

        1.1

Airlines

        0.9

Apparel

        0.9

Unaffiliated Fund

        0.9

Machinery — Construction & Mining

        0.8

Aerospace & Defense

        0.7

Food Service

        0.7

Engineering & Construction

        0.6

Forest Products & Paper

        0.6

Health Care — Products

        0.6

Holding Companies — Diversified

        0.6

Home Furnishings

        0.6

Media

        0.6

Biotechnology

        0.4

Gas

        0.4

Home Builders

        0.4

Metal Fabricate & Hardware

        0.4

Office & Business Equipment

        0.4

Advertising

        0.3

Health Care — Services

        0.3

Energy-Alternate Sources

        0.2

 

   See accompanying Notes to the Financial Statements.      65  

Table of Contents

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Industry Sector Summary (Unaudited)    % of Net Assets

Hand & Machine Tools

        0.2

Investment Companies

        0.2

Leisure Time

        0.2

Oil & Gas Services

        0.2

Packaging & Containers

        0.2

Textiles

        0.2

Lodging

        0.1

REITS

        0.1

Shipbuilding

        0.1

Water

        0.1

Entertainment

        0.0

Short-Term Investments and Other Assets and Liabilities (net)

        5.9
    

 

 

  
       100.0 %
    

 

 

  

 

66    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

DEBT OBLIGATIONS — 98.0%

   
   

Asset Backed Securities — 14.0%

   
  750,000      

A Voce CLO, Ltd., Series 2014-1A, Class A1A, 2.47%, due 07/15/26† 144A

      751,034  
  750,000      

A Voce CLO, Ltd., Series 2014-1A, Class A1R, 1.00%, due 07/15/26† †††† 144A

      753,435  
  315,000      

Aegis Asset Backed Securities Trust, Series 2005-4, Class M1, 1.43%, due 10/25/35†

      301,426  
  1,000,000      

AIMCO CLO, Series 2014-AA, Class B1, 3.03%, due 07/20/26† 144A

      1,000,095  
  1,500,000      

AIMCO CLO, Series 2014-AA, Class B2, 4.58%, due 07/20/26 144A

      1,501,064  
  750,000      

AIMCO CLO, Series 2015-AA, Class A1, 2.72%, due 01/15/28† 144A

      752,182  
  621,000      

Ally Auto Receivables Trust, Series 2014-2, Class A4, 1.84%, due 01/15/20

      623,198  
  375,000      

Ally Auto Receivables Trust, Series 2014-3, Class A4, 1.72%, due 03/16/20

      375,678  
  395,000      

Ally Auto Receivables Trust, Series 2015-1, Class A4, 1.75%, due 05/15/20

      395,579  
  250,000      

ALM CLO VIII, Ltd., Series 2013-8A, Class A1R, 2.51%, due 10/15/28† 144A

      251,045  
  1,000,000      

American Express Credit Account Master Trust, Series 2013-1, Class B, 1.61%, due 02/16/21†

      1,005,746  
  815,000      

American Express Credit Account Master Trust, Series 2017-1, Class A, 1.93%, due 09/15/22

      817,006  
  1,500,000      

American Express Credit Account Master Trust, Series 2017-2, Class A, 1.36%, due 09/16/24†

      1,511,113  
  654,872      

Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 1.74%, due 09/25/33†

      634,630  
  134,206      

Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 1.67%,
due 04/25/34†

      133,106  
  750,000      

Anchorage Capital CLO 5, Ltd., Series 2014-5A, Class A, 2.62%, due 10/15/26† 144A

      750,845  
  785,000      

Applebee’s Funding LLC/IHOP Funding LLC, Series 2014-1, Class A2, 4.28%, due 09/05/44 144A

      769,987  
  656,688      

Arbys Funding LLC, Series 2015-1A, Class A2, 4.97%, due 10/30/45 144A

      655,920  
  304,900      

Argent Securities, Inc., Series 2004-W6, Class M1, 1.81%, due 05/25/34†

      294,939  
  342,609      

Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.89%, due 12/15/33†

      326,944  
  1,000,000      

Atlas Senior Loan Fund CLO V, Ltd., Series 2014-1A, Class AR, 2.45%,
due 07/16/26† 144A

      1,000,707  
  1,400,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.50%, due 07/20/21 144A

      1,400,143  
  1,000,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, due 12/20/21 144A

      1,001,899  
  1,070,000      

BA Credit Card Trust, Series 2017-A1, Class A1, 1.95%, due 08/15/22

      1,071,979  
  250,000      

Battalion CLO VIII, Ltd., Series 2015-8A, Class A1, 2.55%, due 04/18/27† 144A

      250,075  
  500,000      

Battalion CLO X, Ltd., Series 2016-10A, Class A1, 2.43%, due 01/24/29† 144A

      504,836  
  34,941      

Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 1.55%, due 09/25/34†

      34,729  
  500,000      

Benefit Street Partners CLO V, Ltd., Series 2014-VA, Class AR, 2.08%,
due 10/20/26† 144A

      500,220  
  250,000      

BlueMountain CLO, Ltd., Series 2015-1A, Class A1R, 2.35%, due 04/13/27† 144A

      250,307  
  315,000      

BMW Vehicle Owner Trust, Series 2016-A, Class A4, 1.37%, due 12/27/22

      310,513  
  947,500      

Cabela’s Credit Card Master Note Trust, Series 2016-1, Class A1, 1.78%, due 06/15/22

      945,981  
  190,000      

California Republic Auto Receivables Trust, Series 2016-2, Class A4, 1.83%,
due 12/15/21

      189,351  
  860,000      

Capital One Multi-Asset Execution Trust, Series 2016-A3, Class A3, 1.34%, due 04/15/22

      852,898  
  900,000      

Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.00%, due 01/17/23

      903,421  

 

   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)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Asset Backed Securities — continued

   
  500,000      

Carlyle Global Market Strategies CLO, Ltd., Series 2012-4A, Class AR, 2.48%, due 01/20/29† 144A

      502,342  
  250,000      

Carlyle Global Market Strategies CLO, Ltd., Series 2014-3A, Class A1AR, 2.19%, due 07/27/26† 144A

      250,112  
  500,000      

Carlyle Global Market Strategies CLO, Ltd., Series 2017-1A, Class A1B, 1.00%, due 04/20/31† †††† 144A

      500,458  
  270,000      

CarMax Auto Owner Trust, Series 2015-2, Class A4, 1.80%, due 03/15/21

      270,489  
  160,000      

CarMax Auto Owner Trust, Series 2015-3, Class A4, 1.98%, due 02/16/21

      160,571  
  280,000      

CarMax Auto Owner Trust, Series 2016-2, Class A4, 1.68%, due 09/15/21

      277,367  
  565,000      

Chase Issuance Trust, Series 2016-A2, Class A, 1.37%, due 06/15/21

      561,374  
  1,220,000      

Chase Issuance Trust, Series 2016-A5, Class A5, 1.27%, due 07/15/21

      1,207,463  
  255,000      

Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A4, 1.87%, due 02/15/22 144A

      252,541  
  1,020,000      

Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.75%, due 11/19/21

      1,018,731  
  600,630      

CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2, 4.47%, due 03/20/43 144A

      596,323  
  575,000      

CNH Equipment Trust, Series 2015-C, Class A3, 1.66%, due 11/16/20

      575,572  
  315,000      

CNH Equipment Trust, Series 2016-B, Class A3, 1.63%, due 08/15/21

      314,701  
  1,451,836      

Colony American Homes, Series 2014-1A, Class A, 2.09%, due 05/17/31† 144A

      1,453,787  
  189,377      

CSMC Trust, Series 2006-CF2, Class M1, 1.45%, due 05/25/36† 144A

      188,290  
  903,463      

CSMC Trust, Series 2016-12R, Class 1A1, 3.27%, due 02/28/47† 144A

      893,119  
  705,600      

DB Master Finance LLC, Series 2015-1A, Class A2II, 3.98%, due 02/20/45 144A

      718,289  
  1,160,000      

Discover Card Execution Note Trust, Series 2016-A1, Class A1, 1.64%, due 07/15/21

      1,160,050  
  250,000      

Eaton Vance CLO, Ltd., Series 2014-1A, Class AR, 2.23%, due 07/15/26† 144A

      250,214  
  500,000      

Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 1.74%, due 02/22/22 144A

      499,068  
  800,000      

Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 2.13%, due 07/20/22 144A

      801,101  
  219,435      

EquiFirst Mortgage Loan Trust, Series 2004-3, Class M3, 1.75%, due 12/25/34†

      211,929  
  250,000      

Flagship CLO VIII, Ltd., Series 2014-8A, Class AR, 2.09%, due 01/16/26† 144A

      250,062  
  125,000      

FOCUS Brands Funding LLC, Series 2017-1A, Class A2I, 3.86%,
due 04/30/47¤ †††† 144A

      125,939  
  210,000      

Ford Credit Auto Owner Trust, Series 2015-B, Class A4, 1.58%, due 08/15/20

      209,755  
  365,000      

Ford Credit Auto Owner Trust, Series 2016-B, Class A3, 1.33%, due 10/15/20

      363,365  
  343,000      

Ford Credit Auto Owner Trust, Series 2016-C, Class A4, 1.40%, due 02/15/22

      338,066  
  1,100,000      

Ford Credit Auto Owner Trust, Series 2017-1, Class A, 2.62%, due 08/15/28 144A

      1,107,181  
  500,000      

GE Dealer Floorplan Master Note Trust, Series 2015-1, Class A, 1.48%, due 01/20/20†

      500,732  
  330,000      

GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A1, 1.65%,
due 05/15/20 144A

      330,259  
  500,000      

Hertz Vehicle Financing LLC, Series 2015-3A, Class A, 2.67%, due 09/25/21 144A

      496,110  
  700,000      

Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 2.32%, due 03/25/20 144A

      697,655  
  300,000      

Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.27%, due 07/25/20 144A

      297,880  
  250,000      

Highbridge Loan Management CLO, Ltd., Series 2015-6A, Class A, 2.48%,
due 05/05/27† 144A

      250,081  
  315,000      

Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.66%, due 12/26/28 ¤ 144A

      314,989  
  262,654      

Home Equity Asset Trust, Series 2003-8, Class M1, 2.06%, due 04/25/34†

      246,380  
  512,000      

Honda Auto Receivables Owner Trust, Series 2015-3, Class A4, 1.56%, due 10/18/21

      511,461  
  445,000      

Honda Auto Receivables Owner Trust, Series 2015-4, Class A3, 1.23%, due 09/23/19

      443,764  
  1,185,000      

Honda Auto Receivables Owner Trust, Series 2016-3, Class A4, 1.33%, due 11/18/22

      1,171,041  
  510,000      

Honda Auto Receivables Owner Trust, Series 2016-4, Class A4, 1.36%, due 01/18/23

      503,116  
  560,000      

Honda Auto Receivables Owner Trust, Series 2017-1, Class A3, 1.72%, due 07/21/21

      560,399  
  880,000      

Huntington Auto Trust, Series 2016-1, Class A4, 1.93%, due 04/15/22

      875,275  

 

68    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Asset Backed Securities — continued

   
  365,000      

Hyundai Auto Receivables Trust, Series 2015-A, Class A4, 1.37%, due 07/15/20

      364,242  
  450,000      

Hyundai Auto Receivables Trust, Series 2017-A, Class A3, 1.76%, due 08/16/21

      449,964  
  250,000      

ICG US CLO, Ltd., Series 2014-3A, Class A1B, 3.28%, due 01/25/27 ¤ 144A

      250,163  
  1,011,844      

Invitation Homes Trust, Series 2014-SFR1, Class A, 1.77%, due 06/17/31† 144A

      1,012,589  
  1,160,183      

Invitation Homes Trust, Series 2015-SFR3, Class A, 2.24%, due 08/17/32† 144A

      1,169,084  
  68,000      

John Deere Owner Trust, Series 2015-A, Class A4, 1.65%, due 12/15/21

      68,087  
  500,000      

KVK CLO, Ltd., Series 2014-1A, Class A1R, 2.34%, due 05/15/26† 144A

      500,624  
  500,000      

KVK CLO, Ltd., Series 2014-2A, Class A, 2.57%, due 07/15/26† 144A

      500,264  
  750,000      

Limerock CLO III LLC, Series 2014-3A, Class A1R, 2.23%, due 10/20/26† 144A

      750,149  
  250,000      

Magnetite XI CLO, Ltd., Series 2014-11A, Class A1, 2.47%, due 01/18/27¤ † 144A

      250,076  
  3,370,000      

Mercedes-Benz Auto Receivables Trust, Series 2016-1, Class A4, 1.46%, due 12/15/22

      3,322,573  
  116,445      

Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A, 1.50%, due 06/25/35†

      113,228  
  1,570,000      

MMAF Equipment Finance LLC, Series 2014-AA, Class A5, 2.33%, due 12/08/25 144A

      1,570,850  
  252,621      

Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 2.18%, due 06/25/33†

      248,397  
  163,410      

Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 2.03%, due 06/25/33†

      159,388  
  224,057      

Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 2.00%, due 10/25/33†

      215,532  
  250,000      

Mountain View CLO, Ltd., Series 2014-1A, Class AR, 2.30%, due 10/15/26† 144A

      250,070  
  293,543      

New Century Home Equity Loan Trust, Series 2003-A, Class A, 1.70%,
due 10/25/33† 144A

      280,727  
  460,000      

New Century Home Equity Loan Trust, Series 2005-1, Class M1, 1.66%, due 03/25/35†

      437,281  
  340,000      

New Century Home Equity Loan Trust, Series 2005-2, Class M2, 1.66%, due 06/25/35†

      334,804  
  2,211,000      

NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A, 2.38%,
due 10/15/20 144A

      2,220,870  
  770,000      

Nissan Auto Receivables Owner Trust, Series 2015-B, Class A3, 1.34%, due 03/16/20

      769,049  
  515,000      

Nissan Auto Receivables Owner Trust, Series 2015-B, Class A4, 1.79%, due 01/17/22

      515,329  
  280,000      

Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.74%, due 08/16/21

      279,970  
  413,000      

Nissan Master Owner Trust Receivables, Series 2015-A, Class A2, 1.44%, due 01/15/20

      412,900  
  198,674      

OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 2.04%,
due 01/15/21 144A

      199,062  
  1,700,000      

OneMain Direct Auto Receivables Trust, Series 2017-1A, Class A, 2.16%,
due 10/15/20 144A

      1,698,840  
  1,200,000      

OneMain Financial Issuance Trust, Series 2015-2A, Class A, 2.57%, due 07/18/25 144A

      1,203,929  
  500,000      

OZLM Funding II CLO, Ltd., Series 2012-2A, Class A1R, 2.48%, due 10/30/27† 144A

      502,090  
  750,000      

OZLM XV CLO, Ltd., Series 2016-15A, Class A1, 2.41%, due 01/20/29† 144A

      752,675  
  750,000      

Palmer Square CLO, Ltd., Series 2015-2A, Class A1A, 2.53%, due 07/20/27† 144A

      750,534  
  215,000      

RAAC Trust, Series 2006-SP4, Class M1, 1.32%, due 11/25/36†

      203,915  
  750,000      

Regatta IV Funding CLO, Ltd., Series 2014-1A, Class A2, 2.57%, due 07/25/26† 144A

      750,261  
  250,000      

Regatta IV Funding CLO, Ltd., Series 2014-1A, Class B, 3.05%, due 07/25/26† 144A

      250,013  
  750,000      

Regatta V Funding CLO, Ltd., Series 2014-1A, Class A1A, 2.60%, due 10/25/26† 144A

      750,257  
  500,000      

Regatta VII Funding CLO, Ltd., Series 2016-1A, Class A1, 2.67%, due 12/20/28† 144A

      501,639  
  15,000      

Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4, 4.93%, due 08/25/35††

      15,087  
  546,284      

Saxon Asset Securities Trust, Series 2005-1, Class M1, 1.67%, due 05/25/35†

      529,661  
  500,000      

Shackleton CLO, Ltd., Series 2014-6A, Class A1, 2.50%, due 07/17/26† 144A

      500,144  
  404,827      

Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.20%, due 10/20/30 144A

      404,890  
  743,406      

Silvermore CLO, Ltd., Series 2014-1A, Class A1, 2.49%, due 05/15/26† 144A

      743,585  
  1,205,292      

Small Business Administration Participation Certificates, Series 2011-20F, Class 1, 3.67%, due 06/01/31

      1,258,676  

 

   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)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Asset Backed Securities — continued

   
  4,175,945      

Small Business Administration Participation Certificates, Series 2013-20H, Class 1, 3.16%, due 08/01/33

      4,321,483  
  3,829,900      

Small Business Administration Participation Certificates, Series 2014-20C, Class 1, 3.21%, due 03/01/34

      3,954,575  
  1,619,254      

Small Business Administration Participation Certificates, Series 2014-20D, Class 1, 3.11%, due 04/01/34

      1,662,373  
  1,104,797      

Small Business Administration Participation Certificates, Series 2014-20I, Class 1, 2.92%, due 09/01/34

      1,120,463  
  608,411      

SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%,
due 04/25/29 144A

      612,903  
  860,000      

Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, due 11/15/24 144A

      868,479  
  3,268,375      

Store Master Funding I LLC, Series 2015-1A, Class A1, 3.75%, due 04/20/45 144A

      3,219,199  
  1,208,632      

STORE Master Funding LLC, Series 2014-1A, Class A2, 5.00%, due 04/20/44 144A

      1,234,724  
  225,524      

Structured Asset Investment Loan Trust, Series 2005-2, Class M2, 1.72%,
due 03/25/35†

      217,217  
  2,000,000      

Synchrony Credit Card Master Note Trust, Series 2015-3, Class A, 1.74%, due 09/15/21

      2,003,347  
  305,000      

Synchrony Credit Card Master Note Trust, Series 2016-1, Class A, 2.04%, due 03/15/22

      306,251  
  388,050      

Taco Bell Funding LLC, Series 2016-1A, Class A2I, 3.83%, due 05/25/46 144A

      393,690  
  500,000      

THL Credit Wind River CLO, Ltd., Series 2014-3A, Class A, 2.66%,
due 01/22/27† 144A

      500,195  
  750,000      

THL Credit Wind River CLO, Ltd., Series 2015-1A, Class A, 2.53%,
due 07/20/27† 144A

      754,583  
  1,000,000      

TICP CLO VI, Ltd., Series 2016-6A, Class A, 2.43%, due 01/15/29† 144A

      1,004,914  
  174,417      

Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75%, due 10/25/56¤ † 144A

      174,689  
  430,000      

Toyota Auto Receivables Owner Trust, Series 2015-B, Class A4, 1.74%, due 09/15/20

      431,240  
  675,000      

Toyota Auto Receivables Owner Trust, Series 2016-A, Class A3, 1.25%, due 03/16/20

      673,369  
  265,000      

Toyota Auto Receivables Owner Trust, Series 2016-C, Class A4, 1.32%, due 11/15/21

      261,091  
  425,000      

Toyota Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.73%, due 02/16/21

      424,950  
  750,000      

Trinitas CLO V, Ltd., Series 2016-5A, Class A, 2.74%, due 10/25/28† 144A

      753,411  
  2,398,000      

Verizon Owner Trust, Series 2016-1A, Class A, 1.42%, due 01/20/21 144A

      2,386,290  
  700,000      

Verizon Owner Trust, Series 2016-2A, Class A, 1.68%, due 05/20/21 144A

      697,988  
  3,220,000      

Verizon Owner Trust, Series 2017-1A, Class A, 2.06%, due 09/20/21 144A

      3,232,162  
  315,000      

Volkswagen Credit Auto Master Trust, Series 2014-1A, Class A2, 1.40%,
due 07/22/19 144A

      314,919  
  500,000      

Wellfleet CLO, Ltd., Series 2016-2A, Class A1, 2.51%, due 10/20/28† 144A

      502,634  
  923,422      

Wells Fargo Home Equity Trust, Series 2005-4, Class M1, 1.44%, due 12/25/35†

      918,836  
  856,950      

Wendys Funding LLC, Series 2015-1A, Class A2I, 3.37%, due 06/15/45 144A

      863,192  
  275,000      

Westgate Resorts LLC, Series 2017-1A, Class A, 3.05%, due 12/20/30¤ † †††† 144A

      274,667  
  695,000      

World Omni Auto Receivables Trust, Series 2016-A, Class A3, 1.77%, due 09/15/21

      696,353  
      

 

 

  
         107,321,087  
      

 

 

  
   

Corporate Debt — 39.2%

   
  20,000      

21st Century Fox America, Inc., 6.75%, due 01/09/38

      24,071  
  775,000      

Abbott Laboratories, 2.90%, due 11/30/21

      779,219  
  812,000      

AbbVie, Inc., 3.20%, due 11/06/22

      822,152  
  720,000      

AbbVie, Inc., 3.60%, due 05/14/25

      721,394  
  500,000      

AbbVie, Inc., 4.50%, due 05/14/35

      498,079  
  244,486      

Abengoa Transmision Sur SA, 6.88%, due 04/30/43 144A

      262,822  
  30,000      

ACE INA Holdings, Inc., 4.35%, due 11/03/45

      31,747  

 

70    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  385,000      

Actavis Funding SCS, 3.80%, due 03/15/25‡

      389,156  
  605,000      

Actavis Funding SCS, 4.55%, due 03/15/35

      608,462  
  115,000      

Actavis Funding SCS, 4.75%, due 03/15/45

      115,935  
  410,000      

Activision Blizzard, Inc., 3.40%, due 09/15/26 144A

      401,173  
  380,000      

Activision Blizzard, Inc., 6.13%, due 09/15/23 144A

      411,493  
  347,000      

AECOM, 5.13%, due 03/15/27 144A

      348,735  
  340,000      

AerCap Global Aviation Trust, 6.50%, due 06/15/45† ‡ 144A

      356,575  
  280,000      

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.75%, due 05/15/19

      287,650  
  355,000      

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.63%, due 10/30/20

      375,477  
  370,000      

Aetna, Inc., 4.75%, due 03/15/44

      402,041  
  315,000      

Agrium, Inc., 4.90%, due 06/01/43

      328,491  
  150,000      

Agrium, Inc., 5.25%, due 01/15/45

      163,337  
  390,000      

Ahern Rentals, Inc., 7.38%, due 05/15/23 144A

      337,350  
  250,000      

Air Canada 2013-1 Class C Pass Through Trust, 6.63%, due 05/15/18 144A

      260,312  
  1,992,998      

Air Canada 2015-1 Class A Pass Through Trust, 3.60%, due 09/15/28 144A

      2,005,454  
  275,000      

Air Lease Corp., 3.00%, due 09/15/23

      269,123  
  170,000      

Air Lease Corp., 3.38%, due 01/15/19‡

      174,013  
  235,000      

Air Lease Corp., 3.63%, due 04/01/27

      228,881  
  195,000      

Air Lease Corp., 3.88%, due 04/01/21‡

      202,330  
  155,000      

Aircastle, Ltd., 5.50%, due 02/15/22

      167,013  
  150,000      

Aircastle, Ltd., 7.63%, due 04/15/20

      168,750  
  225,000      

Ally Financial, Inc., 3.25%, due 11/05/18

      227,111  
  465,000      

Ally Financial, Inc., 5.13%, due 09/30/24‡

      479,531  
  200,000      

Altice Financing SA, 6.50%, due 01/15/22‡ 144A

      210,098  
  200,000      

Altice Financing SA, 6.63%, due 02/15/23 144A

      208,700  
  135,000      

Altria Group, Inc., 2.85%, due 08/09/22

      135,441  
  340,000      

AMC Networks, Inc., 5.00%, due 04/01/24

      340,850  
  620,000      

America Movil SAB de CV, 5.00%, due 03/30/20

      665,487  
  150,000      

America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17

      153,617  
  345,735      

American Airlines 2011-1 Class B Pass Through Trust, 7.00%, due 07/31/19 144A

      357,404  
  3,946,700      

American Airlines 2013-2 Class A Pass Through Trust, 4.95%, due 07/15/24

      4,202,762  
  228,936      

American Airlines 2016-1 Class A Pass Through Trust, 4.10%, due 07/15/29

      231,512  
  228,000      

American Airlines 2017-1 Class A Pass Through Trust, 4.00%, due 08/15/30

      231,135  
  210,000      

American Airlines 2017-1 Class AA Pass Through Trust, 3.65%, due 02/15/29

      211,113  
  310,000      

American Honda Finance Corp., 1.70%, due 02/22/19

      309,748  
  465,000      

American Honda Finance Corp., (MTN), 2.00%, due 02/14/20

      466,335  
  235,000      

American Tower Corp. REIT, 3.40%, due 02/15/19‡

      240,361  
  235,000      

American Tower Corp. REIT, 4.70%, due 03/15/22

      251,953  
  180,000      

AmeriGas Partners, LP/AmeriGas Finance Corp., 5.50%, due 05/20/25

      179,550  
  193,000      

Amgen, Inc., 4.40%, due 05/01/45

      188,078  
  813,000      

Amgen, Inc., 4.66%, due 06/15/51

      816,957  
  295,000      

Anadarko Petroleum Corp., 6.20%, due 03/15/40

      334,193  
  5,000,000      

Anadarko Petroleum Corp., 7.09%, due 10/10/36‡‡

      2,054,065  
  465,000      

Anheuser-Busch InBev Finance, Inc., 4.70%, due 02/01/36

      493,479  
  2,280,000      

Anheuser-Busch InBev Finance, Inc., 4.90%, due 02/01/46

      2,473,782  
  340,000      

Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20

      370,199  
  230,000      

Antero Midstream Partners, LP/Antero Midstream Finance Corp., 5.38%,
due 09/15/24 144A

      234,600  
  5,000      

Anthem, Inc., 4.65%, due 08/15/44

      5,095  

 

   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)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  730,000      

Anthem, Inc., 5.88%, due 06/15/17

      736,405  
  475,000      

Apache Corp., 5.10%, due 09/01/40

      490,428  
  295,000      

Aquarius & Investments Plc for Swiss Reinsurance Co., Ltd., Reg S, 6.38%, due 09/01/24† ‡‡‡

      315,282  
  390,000      

Arconic, Inc., 5.13%, due 10/01/24‡

      404,820  
  215,000      

Ares Capital Corp., 3.88%, due 01/15/20

      219,434  
  150,000      

AT&T, Inc., 2.63%, due 12/01/22

      146,759  
  2,079,000      

AT&T, Inc., 3.40%, due 05/15/25

      2,011,680  
  120,000      

AT&T, Inc., 3.88%, due 08/15/21

      124,975  
  5,000,000      

AT&T, Inc., 4.13%, due 11/27/22‡‡ 144A

      4,037,090  
  10,000      

AT&T, Inc., 4.45%, due 05/15/21

      10,661  
  110,000      

AT&T, Inc., 4.50%, due 05/15/35

      104,158  
  409,000      

AT&T, Inc., 4.75%, due 05/15/46

      383,087  
  110,000      

AT&T, Inc., 5.25%, due 03/01/37‡

      112,482  
  640,000      

AT&T, Inc., 5.45%, due 03/01/47

      656,659  
  90,000      

AT&T, Inc., 5.70%, due 03/01/57

      93,350  
  200,000      

Australia & New Zealand Banking Group Ltd., 6.75%† ††††† ‡ 144A

      220,234  
  190,000      

AXA SA, 8.60%, due 12/15/30

      264,385  
  260,000      

BAC Capital Trust XIV, 4.00%† †††††

      212,485  
  2,160,000      

BAE Systems Holdings, Inc., 6.38%, due 06/01/19 144A

      2,352,344  
  600,000      

Bank of America Corp., 2.60%, due 01/15/19

      606,510  
  2,301,000      

Bank of America Corp., 3.50%, due 04/19/26

      2,273,446  
  500,000      

Bank of America Corp., 4.13%, due 01/22/24

      523,042  
  30,000      

Bank of America Corp., 4.20%, due 08/26/24

      30,598  
  245,000      

Bank of America Corp., 4.25%, due 10/22/26

      249,264  
  1,390,000      

Bank of America Corp., 4.45%, due 03/03/26

      1,428,122  
  420,000      

Bank of America Corp., 5.13%† ††††† ‡

      422,100  
  270,000      

Bank of America Corp., 6.30%† †††††

      294,300  
  395,000      

Bank of America Corp., 6.88%, due 04/25/18

      415,739  
  100,000      

Bank of America Corp., 7.63%, due 06/01/19

      111,535  
  335,000      

Bank of America Corp., 8.00%† †††††

      345,469  
  450,000      

Bank of America Corp., (MTN), 3.25%, due 10/21/27

      429,270  
  740,000      

Bank of America Corp., (MTN), 3.30%, due 01/11/23

      745,565  
  340,000      

Bank of America Corp., (MTN), 3.95%, due 04/21/25

      339,105  
  270,000      

Bank of America Corp., (MTN), 4.44%, due 01/20/48†

      272,868  
  340,000      

Bank of America Corp., Subordinated Note, 5.70%, due 05/02/17

      341,125  
  680,000      

Barclays Plc, 3.20%, due 08/10/21

      680,979  
  325,000      

Barclays Plc, 4.38%, due 01/12/26

      329,973  
  200,000      

Barclays Plc, 4.95%, due 01/10/47

      200,558  
  220,000      

Bear Stearns Cos. LLC (The), Senior Global Note, 7.25%, due 02/01/18

      229,955  
  1,432,000      

Berkshire Hathaway Energy Co., 6.13%, due 04/01/36

      1,793,149  
  105,000      

BHP Billiton Finance USA, Ltd., 6.25%, due 10/19/75† ‡ 144A

      113,951  
  1,099,000      

Blackstone Holdings Finance Co. LLC, 4.75%, due 02/15/23 144A

      1,195,243  
  1,555,000      

Blackstone Holdings Finance Co. LLC, Series 1, 6.63%, due 08/15/19 144A

      1,713,161  
  340,000      

BMW US Capital LLC, 2.15%, due 04/06/20†††† 144A

      340,290  
  110,000      

Boardwalk Pipelines, LP, 4.45%, due 07/15/27

      111,363  
  70,000      

Boise Cascade Co., 5.63%, due 09/01/24‡ 144A

      71,400  
  1,835,000      

Boston Properties, LP REIT, 5.63%, due 11/15/20

      2,024,093  
  425,000      

BP Capital Markets Plc, 3.02%, due 01/16/27

      408,437  

 

72    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  280,000      

BPCE SA, 4.50%, due 03/15/25 144A

      275,907  
  415,000      

BPCE SA, 5.70%, due 10/22/23‡ 144A

      441,083  
  595,000      

Branch Banking & Trust Co., 2.10%, due 01/15/20‡

      595,995  
  205,000      

Braskem Finance, Ltd., 7.00%, due 05/07/20 144A

      225,756  
  425,239      

British Airways 2013-1 Class A Pass Through Trust, 4.63%, due 12/20/25 144A

      452,348  
  85,418      

British Airways 2013-1 Class B Pass Through Trust, 5.63%, due 12/20/21 144A

      88,941  
  425,000      

Broadcom Corp./Broadcom Cayman Finance, Ltd., 2.38%, due 01/15/20 144A

      425,232  
  943,000      

Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.88%, due 01/15/27 144A

      949,849  
  280,000      

Building Materials Corp. of America, 5.38%, due 11/15/24¤ 144A

      285,074  
  185,000      

Bunge, Ltd. Finance Corp., 8.50%, due 06/15/19

      209,959  
  305,000      

CA, Inc., 3.60%, due 08/15/22

      309,854  
  280,000      

CA, Inc., 4.70%, due 03/15/27

      291,134  
  859,000      

Canadian Pacific Railway Co., 6.13%, due 09/15/15#

      1,041,893  
  310,000      

Capital One Financial Corp., 2.45%, due 04/24/19

      311,934  
  585,000      

Capital One Financial Corp., 3.75%, due 07/28/26

      567,602  
  460,000      

Capital One Financial Corp., 4.20%, due 10/29/25

      462,653  
  250,000      

Capital One Financial Corp., 5.55%† †††††

      260,000  
  265,000      

Capital One NA/Mclean VA, 2.35%, due 08/17/18

      266,753  
  1,706,000      

Carlyle Holdings II Finance LLC, 5.63%, due 03/30/43 144A

      1,761,372  
  190,000      

Cascades, Inc., 5.50%, due 07/15/22 144A

      190,475  
  165,000      

CCM Merger, Inc., 6.00%, due 03/15/22¤ 144A

      168,713  
  210,000      

CCO Holdings LLC/CCO Holdings Capital Corp., 5.88%, due 05/01/27 144A

      221,025  
  39,000      

CDW LLC/CDW Finance Corp., 5.00%, due 09/01/25

      39,975  
  235,000      

Cemex SAB de CV, 6.13%, due 05/05/25‡ 144A

      251,379  
  380,000      

Cenovus Energy, Inc., 4.45%, due 09/15/42

      337,731  
  5,000      

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.46%, due 07/23/22

      5,279  
  1,511,000      

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, due 07/23/25

      1,599,283  
  195,000      

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.38%, due 10/23/35

      222,285  
  815,000      

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, due 10/23/45

      941,593  
  386,000      

Chemours Co. (The), 6.63%, due 05/15/23‡

      411,090  
  133,000      

Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25 144A

      139,151  
  240,000      

CHS/Community Health Systems, Inc., 5.13%, due 08/01/21‡

      238,200  
  185,000      

CHS/Community Health Systems, Inc., 8.00%, due 11/15/19‡

      182,225  
  365,000      

Cigna Corp., 5.38%, due 02/15/42‡

      424,894  
  175,000      

Cimarex Energy Co., 4.38%, due 06/01/24

      182,056  
  200,000      

Cincinnati Bell, Inc., 7.00%, due 07/15/24 144A

      210,250  
  789,000      

Citigroup, Inc., 2.48%, due 09/01/23†

      811,943  
  1,374,000      

Citigroup, Inc., 2.70%, due 03/30/21

      1,376,931  
  983,000      

Citigroup, Inc., 3.40%, due 05/01/26

      959,646  
  1,110,000      

Citigroup, Inc., 3.89%, due 01/10/28†

      1,117,199  
  180,000      

Citigroup, Inc., 4.40%, due 06/10/25

      183,719  
  470,000      

Citigroup, Inc., 4.50%, due 01/14/22‡

      503,522  
  460,000      

Citigroup, Inc., 4.60%, due 03/09/26

      473,246  
  115,000      

Citigroup, Inc., 4.75%, due 05/18/46

      114,050  
  220,000      

Citigroup, Inc., 5.88%† †††††

      227,838  

 

   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)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  130,000      

Citigroup, Inc., 5.90%† ††††† ‡

      136,013  
  230,000      

Citigroup, Inc., 5.95%† †††††

      240,350  
  550,000      

Citigroup, Inc., 5.95%† †††††

      574,406  
  120,000      

Citigroup, Inc., 6.13%† ††††† ‡

      126,750  
  495,000      

Citigroup, Inc., 6.25%† †††††

      534,600  
  250,000      

Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22

      261,250  
  1,614,000      

Cleveland Clinic Foundation (The), 4.86%, due 01/01/14#

      1,567,286  
  300,000      

CNO Financial Group, Inc., 5.25%, due 05/30/25

      309,189  
  233,000      

Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp., 4.15%,
due 08/15/26 144A

      228,158  
  495,000      

Columbia Pipeline Group, Inc., 4.50%, due 06/01/25

      519,470  
  1,930,000      

Comcast Corp., 4.25%, due 01/15/33

      1,990,509  
  349,000      

Comcast Corp., 6.40%, due 05/15/38

      445,990  
  20,000      

Comcast Corp., 6.50%, due 11/15/35

      25,558  
  90,000      

Comcast Corp., 6.95%, due 08/15/37

      120,965  
  200,000      

Comcel Trust via Comunicaciones Celulares SA, 6.88%, due 02/06/24 144A

      208,400  
  200,000      

Comision Federal de Electricidad, 4.75%, due 02/23/27 144A

      201,000  
  350,000      

Commerzbank AG, 8.13%, due 09/19/23‡ 144A

      410,419  
  190,000      

ConocoPhillips Co., 4.95%, due 03/15/26‡

      211,262  
  575,000      

ConocoPhillips Holding Co., 6.95%, due 04/15/29

      744,594  
  65,000      

Consolidated Edison Co. of New York, Inc., 4.30%, due 12/01/56

      65,451  
  400,000      

Consumers Energy Co., 3.25%, due 08/15/46‡

      357,399  
  1,339,147      

Continental Airlines 2007-1 Class A Pass Through Trust, 5.98%, due 10/19/23

      1,474,735  
  203,904      

Continental Airlines 2012-1 Class B Pass Through Trust, 6.25%, due 10/11/21

      214,354  
  475,000      

Continental Resources, Inc., 5.00%, due 09/15/22‡

      481,531  
  896,000      

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.95%, due 11/09/22

      920,653  
  695,000      

Corp. Andina de Fomento, 2.13%, due 09/27/21

      684,679  
  1,526,000      

Cox Communications, Inc., 3.35%, due 09/15/26 144A

      1,479,329  
  205,000      

Credit Acceptance Corp., 6.13%, due 02/15/21

      205,513  
  1,067,000      

Credit Agricole SA, 4.13%, due 01/10/27 144A

      1,060,613  
  300,000      

Credit Agricole SA, 7.88%† ††††† 144A

      305,887  
  250,000      

Credit Agricole SA, 8.13%, due 09/19/33† 144A

      268,784  
  500,000      

Credit Suisse Group Funding Guernsey, Ltd., 2.75%, due 03/26/20

      501,113  
  300,000      

Crown Castle Holdings GS V LLC/Crown Castle GS III Corp. REIT, 3.85%, due 04/15/23

      307,693  
  357,000      

Crown Castle Towers LLC, 4.88%, due 08/15/40 144A

      380,277  
  335,000      

Crown Castle Towers LLC, 6.11%, due 01/15/40 144A

      362,969  
  1,160,000      

CVS Health Corp., 2.75%, due 12/01/22

      1,149,116  
  275,000      

CVS Health Corp., 2.88%, due 06/01/26‡

      262,784  
  600,000      

CVS Health Corp., 5.13%, due 07/20/45

      664,531  
  2,945,786      

CVS Pass-Through Trust, 7.51%, due 01/10/32 144A

      3,627,452  
  265,000      

DaVita, Inc., 5.00%, due 05/01/25

      266,325  
  578,000      

DCP Midstream Operating LP, 5.35%, due 03/15/20 144A

      601,120  
  240,000      

DCP Midstream Operating LP, 5.85%, due 05/21/43† 144A

      220,200  
  210,000      

DCP Midstream Operating LP, 9.75%, due 03/15/19‡ 144A

      236,775  
  955,341      

Delta Air Lines 2007-1 Class A Pass Through Trust, 6.82%, due 02/10/24

      1,104,613  
  405,000      

Delta Air Lines, Inc., 3.63%, due 03/15/22

      413,885  
  375,000      

Deutsche Bank AG, 3.38%, due 05/12/21‡

      377,635  
  670,000      

Devon Energy Corp., 7.95%, due 04/15/32

      871,150  

 

74    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  250,000      

Dexia Credit Local SA, 1.88%, due 09/15/21 144A

      241,287  
  215,000      

Diamond 1 Finance Corp./Diamond 2 Finance Corp., 3.48%, due 06/01/19 144A

      220,427  
  185,000      

Diamond 1 Finance Corp./Diamond 2 Finance Corp., 4.42%, due 06/15/21‡ 144A

      193,644  
  640,000      

Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, due 06/15/26 144A

      698,934  
  55,000      

Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.13%, due 06/15/24‡ 144A

      60,832  
  250,000      

Diamond 1 Finance Corp./Diamond 2 Finance Corp., 8.35%, due 07/15/46 144A

      323,902  
  235,000      

Digicel, Ltd., 6.75%, due 03/01/23‡ 144A

      210,913  
  665,000      

Discover Financial Services, 3.75%, due 03/04/25

      653,481  
  690,000      

Discover Financial Services, 3.95%, due 11/06/24‡

      692,147  
  467,000      

Discover Financial Services, 5.20%, due 04/27/22

      504,391  
  115,000      

Dominion Resources, Inc., 2.85%, due 08/15/26

      107,600  
  400,000      

Dominion Resources, Inc., 4.45%, due 03/15/21

      426,875  
  400,000      

Dow Chemical Co. (The), 4.38%, due 11/15/42

      394,670  
  2,589,000      

Duke Energy Corp., 3.55%, due 09/15/21

      2,686,895  
  420,000      

Duke Energy Florida LLC, 3.40%, due 10/01/46

      378,501  
  195,000      

Duke Energy Progress LLC, 3.70%, due 10/15/46

      186,887  
  200,000      

eBay, Inc., 2.50%, due 03/09/18

      201,566  
  190,000      

El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32

      239,833  
  874,000      

Electricite de France SA, 3.63%, due 10/13/25‡ 144A

      880,320  
  235,000      

Electricite de France SA, 5.25%† ††††† 144A

      232,356  
  580,000      

Electronic Arts, Inc., 4.80%, due 03/01/26

      628,359  
  465,000      

Emera US Finance, LP, 3.55%, due 06/15/26

      457,996  
  200,000      

Enbridge Energy Partners, LP, 4.38%, due 10/15/20

      211,001  
  230,000      

Enbridge Energy Partners, LP, 8.05%, due 10/01/77†

      224,825  
  295,000      

Enbridge, Inc., 4.25%, due 12/01/26‡

      301,725  
  110,000      

Energy Transfer Partners, LP, 4.20%, due 04/15/27

      108,899  
  295,000      

Energy Transfer Partners, LP, 5.15%, due 03/15/45

      280,233  
  203,000      

Energy Transfer Partners, LP, 9.70%, due 03/15/19

      230,940  
  265,000      

EnerSys, 5.00%, due 04/30/23 144A

      267,650  
  79,000      

Engility Corp., 8.88%, due 09/01/24 144A

      83,938  
  307,000      

EnLink Midstream Partners, LP, 4.85%, due 07/15/26‡

      317,366  
  235,000      

Enova International, Inc., 9.75%, due 06/01/21

      239,700  
  140,000      

Enterprise Products Operating LLC, 3.70%, due 02/15/26

      140,301  
  460,000      

Enterprise Products Operating LLC, 3.75%, due 02/15/25

      463,385  
  185,000      

Enterprise Products Operating LLC, 3.95%, due 02/15/27‡

      189,013  
  230,000      

Enterprise Products Operating LLC, 4.74%, due 08/01/66†

      229,713  
  174,000      

Equinix, Inc. REIT, 5.38%, due 05/15/27

      180,090  
  1,934,000      

ERAC USA Finance LLC, 2.80%, due 11/01/18¤ 144A

      1,958,289  
  2,045,000      

Escrow GCB General Motors, 8.38%, due 07/15/49**** ¤ †††

      —  
  1,169,000      

Exelon Corp., 5.10%, due 06/15/45

      1,268,759  
  912,000      

Exelon Generation Co. LLC, 4.25%, due 06/15/22‡

      955,636  
  645,000      

Expedia, Inc., 5.00%, due 02/15/26‡

      690,551  
  1,270,000      

Express Scripts Holding Co., 3.40%, due 03/01/27‡

      1,198,537  
  405,000      

Fidelity National Information Services, Inc., 2.85%, due 10/15/18

      410,745  
  540,000      

Fidelity National Information Services, Inc., 3.63%, due 10/15/20‡

      561,605  
  1,303,000      

Fifth Third Bancorp, 2.88%, due 07/27/20

      1,326,988  
  270,000      

Fifth Third Bancorp, 5.10%† †††††

      267,975  
  150,000      

FirstEnergy Corp., 2.75%, due 03/15/18

      150,580  
  245,000      

FirstEnergy Corp., Series C, 7.38%, due 11/15/31

      320,094  

 

   See accompanying Notes to the Financial Statements.      75  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  250,000      

Flagstar Bancorp, Inc., 6.13%, due 07/15/21

      266,751  
  175,000      

Florida East Coast Holdings Corp., 6.75%, due 05/01/19 144A

      180,688  
  840,000      

Ford Motor Co., 4.75%, due 01/15/43‡

      792,010  
  225,000      

Ford Motor Credit Co. LLC, 2.26%, due 03/28/19

      225,667  
  155,000      

Ford Motor Credit Co. LLC, 2.55%, due 10/05/18

      156,288  
  595,000      

Ford Motor Credit Co. LLC, 5.88%, due 08/02/21

      663,479  
  580,000      

Ford Motor Credit Co. LLC, 8.13%, due 01/15/20

      666,962  
  200,000      

Fresenius US Finance II, Inc., 4.50%, due 01/15/23‡ 144A

      207,900  
  275,000      

Frontier Communications Corp., 8.88%, due 09/15/20‡

      291,156  
  285,000      

FS Investment Corp., 4.25%, due 01/15/20

      287,340  
  60,000      

Gartner, Inc., 5.13%, due 04/01/25 144A

      61,275  
  135,000      

Gateway Casinos & Entertainment, Ltd., 8.25%, due 03/01/24‡ 144A

      137,025  
  221,000      

GCI, Inc., 6.88%, due 04/15/25‡

      232,603  
  268,000      

GE Capital International Funding Co., 4.42%, due 11/15/35

      283,539  
  80,000      

General Electric Capital Corp., 4.38%, due 09/16/20

      86,027  
  645,000      

General Electric Co., 5.00%† †††††

      681,281  
  450,000      

General Motors Co., 4.00%, due 04/01/25

      451,481  
  460,000      

General Motors Co., 4.88%, due 10/02/23

      491,464  
  290,000      

General Motors Co., 6.25%, due 10/02/43

      320,469  
  1,045,000      

General Motors Financial Co., Inc., 3.50%, due 07/10/19

      1,074,193  
  460,000      

General Motors Financial Co., Inc., 4.00%, due 01/15/25

      463,053  
  1,430,000      

General Motors Financial Co., Inc., 4.20%, due 03/01/21

      1,494,000  
  403,000      

General Motors Financial Co., Inc., 4.30%, due 07/13/25

      409,963  
  475,000      

Gilead Sciences, Inc., 2.50%, due 09/01/23

      459,969  
  185,000      

GLP Capital, LP/GLP Financing II, Inc., 5.38%, due 04/15/26

      191,475  
  265,000      

Goldcorp, Inc., 3.63%, due 06/09/21

      272,843  
  285,000      

Goldman Sachs Group, Inc. (The), 2.00%, due 04/25/19

      284,616  
  625,000      

Goldman Sachs Group, Inc. (The), 2.30%, due 12/13/19

      625,774  
  919,000      

Goldman Sachs Group, Inc. (The), 2.63%, due 04/25/21

      917,360  
  295,000      

Goldman Sachs Group, Inc. (The), 3.75%, due 05/22/25‡

      299,144  
  85,000      

Goldman Sachs Group, Inc. (The), 3.75%, due 02/25/26‡

      85,702  
  325,000      

Goldman Sachs Group, Inc. (The), 3.85%, due 01/26/27

      327,191  
  150,000      

Goldman Sachs Group, Inc. (The), 4.00%, due 03/03/24

      155,752  
  220,000      

Goldman Sachs Group, Inc. (The), 4.75%, due 10/21/45

      232,695  
  290,000      

Goldman Sachs Group, Inc. (The), 5.15%, due 05/22/45

      305,867  
  125,000      

Goldman Sachs Group, Inc. (The), 5.30%† ††††† ‡

      127,656  
  565,000      

Goldman Sachs Group, Inc. (The), 5.38%† †††††

      578,419  
  130,000      

Goldman Sachs Group, Inc. (The), 5.75%, due 01/24/22

      146,389  
  680,000      

Goldman Sachs Group, Inc. (The), 5.95%, due 01/18/18

      702,353  
  535,000      

Goldman Sachs Group, Inc. (The), 6.25%, due 02/01/41

      674,159  
  1,462,000      

Goldman Sachs Group, Inc. (The), 7.50%, due 02/15/19

      1,605,191  
  220,000      

Great Plains Energy, Inc., 3.90%, due 04/01/27

      222,589  
  200,000      

Grupo Televisa SAB, 5.00%, due 05/13/45

      183,293  
  70,000      

Gulfport Energy Corp., 6.00%, due 10/15/24 144A

      68,250  
  465,000      

Hartford Financial Services Group, Inc. (The), 8.13%, due 06/15/68†

      496,387  
  380,000      

HBOS Plc, 6.75%, due 05/21/18 144A

      398,052  
  390,000      

HCA, Inc., 5.25%, due 04/15/25

      415,350  
  262,000      

HCA, Inc., 5.25%, due 06/15/26

      276,410  
  460,000      

HCA, Inc., 5.88%, due 03/15/22

      507,150  

 

76    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  195,000      

HCA, Inc., 7.50%, due 02/15/22

      223,519  
  124,000      

Health Care, Inc. REIT, 3.75%, due 03/15/23

      127,171  
  945,000      

Hewlett Packard Enterprise Co., 2.45%, due 10/05/17

      947,875  
  175,000      

Hewlett Packard Enterprise Co., 2.85%, due 10/05/18

      177,174  
  105,000      

Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., 6.13%, due 12/01/24 144A

      110,775  
  145,000      

Home Depot, Inc. (The), 3.50%, due 09/15/56

      126,966  
  740,000      

HSBC Finance Corp., 6.68%, due 01/15/21

      837,209  
  270,000      

HSBC Holdings Plc, 6.88%† ††††† ‡

      288,225  
  45,000      

Humana, Inc., 4.80%, due 03/15/47

      47,231  
  185,000      

Huntington Ingalls Industries, Inc., 5.00%, due 11/15/25‡ 144A

      193,788  
  1,260,000      

Husky Energy, Inc., 7.25%, due 12/15/19

      1,418,587  
  90,000      

IHS Markit, Ltd., 4.75%, due 02/15/25 144A

      92,925  
  110,000      

IHS Markit, Ltd., 5.00%, due 11/01/22 144A

      115,775  
  420,000      

Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A

      420,541  
  385,000      

ING Bank NV, 5.80%, due 09/25/23 144A

      428,931  
  310,000      

Ingram Micro, Inc., 5.45%, due 12/15/24

      305,504  
  200,000      

International Game Technology Plc, 6.50%, due 02/15/25 144A

      214,000  
  220,000      

International Lease Finance Corp., 5.88%, due 04/01/19

      234,582  
  450,000      

International Paper Co., 4.40%, due 08/15/47

      426,531  
  310,000      

Iron Mountain, Inc. REIT, 5.75%, due 08/15/24

      317,750  
  350,000      

Iron Mountain, Inc. REIT, 6.00%, due 08/15/23‡

      370,125  
  260,000      

Israel Electric Corp., Ltd., 6.88%, due 06/21/23‡ 144A

      302,746  
  105,000      

Israel Electric Corp., Ltd., 7.25%, due 01/15/19 144A

      113,799  
  588,000      

Jabil Circuit, Inc., 4.70%, due 09/15/22

      608,580  
  418,000      

Jefferies Group LLC, 4.85%, due 01/15/27

      427,515  
  500,000      

Jefferies Group LLC, 5.13%, due 01/20/23

      537,975  
  485,000      

Jefferies Group LLC, 6.88%, due 04/15/21

      554,166  
  175,000      

Jefferies Group LLC, 8.50%, due 07/15/19

      198,348  
  1,802,000      

JPMorgan Chase & Co., 3.20%, due 01/25/23

      1,821,791  
  380,000      

JPMorgan Chase & Co., 3.20%, due 06/15/26

      369,400  
  300,000      

JPMorgan Chase & Co., 3.25%, due 09/23/22

      305,704  
  1,430,000      

JPMorgan Chase & Co., 3.38%, due 05/01/23‡

      1,434,294  
  820,000      

JPMorgan Chase & Co., 4.25%, due 10/15/20

      870,030  
  90,000      

JPMorgan Chase & Co., 4.35%, due 08/15/21

      96,377  
  200,000      

JPMorgan Chase & Co., 4.50%, due 01/24/22

      215,679  
  475,000      

JPMorgan Chase & Co., 4.63%, due 05/10/21

      512,025  
  1,000,000      

JPMorgan Chase & Co., 5.30%† †††††

      1,038,750  
  822,000      

Juniper Networks, Inc., 3.13%, due 02/26/19

      837,827  
  45,000      

KCA Deutag UK Finance Plc, 9.88%, due 04/01/22†††† 144A

      46,238  
  950,000      

Kentucky Power Co., 6.00%, due 09/15/17 144A

      967,959  
  290,000      

Kerr-McGee Corp., 6.95%, due 07/01/24

      342,867  
  217,000      

Keysight Technologies, Inc., 4.60%, due 04/06/27††††

      219,000  
  2,500,000      

Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/24

      2,536,445  
  185,000      

Kinder Morgan Energy Partners, LP, 7.75%, due 03/15/32

      230,670  
  210,000      

Kinder Morgan, Inc., 4.30%, due 06/01/25‡

      214,896  
  460,000      

Kinder Morgan, Inc., 5.55%, due 06/01/45

      471,678  
  1,240,000      

KKR Group Finance Co. II LLC, 5.50%, due 02/01/43 144A

      1,294,223  
  688,000      

KKR Group Finance Co. LLC, 6.38%, due 09/29/20 144A

      774,874  

 

   See accompanying Notes to the Financial Statements.      77  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  360,000      

Kraft Foods Group, Inc., 3.50%, due 06/06/22

      368,689  
  349,000      

Kraft Foods Group, Inc., 5.38%, due 02/10/20

      379,424  
  315,000      

Kraft Heinz Foods Co., 2.00%, due 07/02/18

      315,879  
  95,000      

Kraft Heinz Foods Co., 4.38%, due 06/01/46

      89,505  
  235,000      

Kraft Heinz Foods Co., 4.88%, due 02/15/25 144A

      251,379  
  170,000      

Kraft Heinz Foods Co., 5.00%, due 07/15/35

      177,081  
  370,000      

Kraft Heinz Foods Co., 5.20%, due 07/15/45

      387,630  
  400,000      

Kroger Co. (The), Senior Note, 6.15%, due 01/15/20

      441,400  
  180,000      

Kronos Acquisition Holdings, Inc., 9.00%, due 08/15/23‡ 144A

      183,600  
  300,000      

L Brands, Inc., 5.63%, due 10/15/23‡

      315,000  
  315,000      

L Brands, Inc., 6.63%, due 04/01/21

      345,271  
  185,000      

L Brands, Inc., 6.88%, due 11/01/35

      179,450  
  82,000      

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, due 03/15/22 144A‡

      82,820  
  272,000      

Lear Corp., 5.25%, due 01/15/25

      286,994  
  470,000      

Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%**** ††† †††††

      165  
  270,000      

Lehman Brothers Holdings, Inc., (MTN), Series I, 6.75%, due 12/28/17**** †††

      95  
  890,000      

Lehman Brothers Holdings, Inc., Subordinated Note, 6.50%, due 07/19/17**** †††

      312  
  290,000      

Leucadia National Corp., 5.50%, due 10/18/23

      309,226  
  1,150,000      

Liberty Mutual Group, Inc., 4.25%, due 06/15/23‡ 144A

      1,209,392  
  1,237,000      

Liberty Mutual Group, Inc., 4.95%, due 05/01/22 144A

      1,345,508  
  481,000      

Liberty Mutual Group, Inc., Junior Subordinated Note, Series A, 7.80%,
due 03/07/87 144A

      554,352  
  235,000      

LifePoint Health, Inc., 5.38%, due 05/01/24‡ 144A

      239,583  
  105,000      

Lions Gate Entertainment Corp., 5.88%, due 11/01/24 144A

      109,463  
  300,000      

Lloyds Banking Group Plc, 7.50%† ††††† ‡

      318,030  
  645,000      

Lloyds Banking Group Plc, Subordinated Note, 4.65%, due 03/24/26‡

      658,400  
  370,000      

Lockheed Martin Corp., 2.90%, due 03/01/25

      361,764  
  1,268,000      

Lockheed Martin Corp., 4.70%, due 05/15/46

      1,379,011  
  247,000      

LSC Communications, Inc., 8.75%, due 10/15/23‡ 144A

      254,410  
  492,000      

LyondellBasell Industries NV, 5.00%, due 04/15/19

      518,404  
  345,000      

M&T Bank Corp., 5.13%† †††††

      343,706  
  500,000      

Macquarie Bank, Ltd., 4.88%, due 06/10/25‡ 144A

      522,942  
  55,000      

Magellan Midstream Partners, LP, 4.25%, due 09/15/46

      51,727  
  400,000      

Magellan Midstream Partners, LP, 5.15%, due 10/15/43

      421,126  
  700,000      

Marriott International, Inc., 3.13%, due 06/15/26

      675,825  
  230,000      

Martin Marietta Materials, Inc., 4.25%, due 07/02/24

      237,858  
  195,000      

Masco Corp., 4.38%, due 04/01/26

      203,621  
  225,000      

Masco Corp., 4.45%, due 04/01/25

      235,967  
  725,000      

Massachusetts Institute of Technology, 4.68%, due 07/01/14#

      751,300  
  210,000      

Match Group, Inc., 6.38%, due 06/01/24

      227,980  
  205,000      

MDC Partners, Inc., 6.50%, due 05/01/24‡ 144A

      196,544  
  190,000      

MEDNAX, Inc., 5.25%, due 12/01/23 144A

      194,275  
  70,000      

Medtronic, Inc., 3.13%, due 03/15/22

      71,650  
  190,000      

Medtronic, Inc., 3.15%, due 03/15/22

      195,681  
  384,000      

Medtronic, Inc., 4.38%, due 03/15/35

      403,309  
  360,000      

Medtronic, Inc., 4.63%, due 03/15/45

      387,468  
  1,152,000      

MetLife, Inc., 3.00%, due 03/01/25

      1,136,457  
  275,000      

MetLife, Inc., 6.40%, due 12/15/66

      302,500  

 

78    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  250,000      

MetLife, Inc., 9.25%, due 04/08/38 144A

      345,937  
  83,000      

MGIC Investment Corp., 5.75%, due 08/15/23

      87,773  
  220,000      

Micron Technology, Inc., 5.88%, due 02/15/22

      230,725  
  225,000      

Micron Technology, Inc., 7.50%, due 09/15/23 144A

      251,719  
  410,000      

Microsoft Corp., 3.95%, due 08/08/56

      384,279  
  1,104,000      

Microsoft Corp., 4.25%, due 02/06/47

      1,134,520  
  540,000      

Microsoft Corp., 4.45%, due 11/03/45

      571,311  
  215,000      

Midcontinent Communications & Finance Corp., 6.88%, due 08/15/23 144A

      229,781  
  250,000      

Millicom International Cellular SA, 4.75%, due 05/22/20 144A

      255,780  
  205,000      

Millicom International Cellular SA, 6.63%, due 10/15/21 144A

      215,496  
  165,630      

Miran Mid-Atlantic Series C Pass Through Trust, 10.06%, due 12/30/28¤

      150,102  
  345,000      

Molson Coors Brewing Co., 1.45%, due 07/15/19

      340,725  
  375,000      

Molson Coors Brewing Co., 3.00%, due 07/15/26

      357,313  
  380,000      

Mondelez International Holdings Netherlands BV, 1.63%, due 10/28/19‡ 144A

      374,503  
  255,000      

Morgan Stanley, 2.45%, due 02/01/19

      257,406  
  921,000      

Morgan Stanley, 3.88%, due 04/29/24

      949,295  
  305,000      

Morgan Stanley, 3.88%, due 01/27/26‡

      309,631  
  660,000      

Morgan Stanley, 4.38%, due 01/22/47

      663,222  
  325,000      

Morgan Stanley, 5.45%† †††††

      331,289  
  435,000      

Morgan Stanley, 5.50%, due 01/26/20

      472,268  
  2,147,000      

Morgan Stanley, 7.30%, due 05/13/19

      2,374,500  
  1,720,000      

Morgan Stanley, (MTN), 4.10%, due 05/22/23

      1,778,802  
  1,000,000      

Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18

      1,046,935  
  25,000      

MPLX, LP, 5.20%, due 03/01/47‡

      25,251  
  185,000      

MPT Operating Partnership, LP/MPT Finance Corp. REIT, 6.38%, due 02/15/22

      191,475  
  225,000      

MTN Mauritius Investment, Ltd., 4.76%, due 11/11/24 144A

      213,300  
  334,000      

Mylan NV, 2.50%, due 06/07/19

      335,704  
  645,000      

Mylan NV, 3.95%, due 06/15/26

      632,546  
  360,000      

Myriad International Holdings BV, 5.50%, due 07/21/25‡ 144A

      374,760  
  245,000      

Nationstar Mortgage LLC/Nationstar Capital Corp., 6.50%, due 07/01/21

      249,287  
  235,000      

Nationstar Mortgage LLC/Nationstar Capital Corp., 7.88%, due 10/01/20

      243,812  
  165,000      

Nationstar Mortgage LLC/Nationstar Capital Corp., 9.63%, due 05/01/19

      169,641  
  175,000      

Navient Corp., (MTN), 8.45%, due 06/15/18

      186,813  
  90,000      

NCR Corp., 5.88%, due 12/15/21

      94,163  
  237,000      

Nemak SAB de CV, 5.50%, due 02/28/23 144A

      247,369  
  42,000      

Newell Brands, Inc., 2.15%, due 10/15/18

      42,193  
  170,000      

Newell Brands, Inc., 4.20%, due 04/01/26

      177,120  
  70,000      

Newfield Exploration Co., 5.63%, due 07/01/24‡

      74,113  
  103,000      

Newfield Exploration Co., 5.75%, due 01/30/22

      109,824  
  335,000      

NewStar Financial, Inc., 7.25%, due 05/01/20

      342,537  
  220,000      

NextEra Energy Capital Holdings, Inc., 1.65%, due 09/01/18

      219,423  
  205,000      

NextEra Energy Capital Holdings, Inc., 2.30%, due 04/01/19

      206,350  
  285,000      

Nippon Life Insurance Co., 5.10%, due 10/16/44† 144A

      302,100  
  780,000      

Noble Energy, Inc., 4.15%, due 12/15/21

      819,248  
  200,000      

Noble Energy, Inc., 5.05%, due 11/15/44

      205,277  
  1,403,000      

Noble Energy, Inc., 8.25%, due 03/01/19

      1,561,385  
  205,000      

Norbord, Inc., 6.25%, due 04/15/23 144A

      216,275  
  220,000      

Northern States Power Co., 4.13%, due 05/15/44

      224,749  
  200,090      

Northwest Airlines 2007-1 Class A Pass Through Trust, 7.03%, due 05/01/21

      221,350  

 

   See accompanying Notes to the Financial Statements.      79  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  370,000      

NOVA Chemicals Corp., 5.00%, due 05/01/25 144A

      377,400  
  80,000      

Novelis Corp., 5.88%, due 09/30/26 144A

      81,900  
  569,000      

NRG Energy, Inc., 6.25%, due 05/01/24‡

      570,067  
  270,000      

NRG Energy, Inc., 6.63%, due 01/15/27‡ 144A

      270,675  
  540,000      

NRG Yield Operating LLC, 5.38%, due 08/15/24‡

      550,800  
  225,000      

NRG Yield, Inc., 3.25%, due 06/01/20 144A

      220,500  
  530,000      

NXP BV/NXP Funding LLC, 4.63%, due 06/01/23 144A

      562,462  
  325,000      

NXP BV/NXP Funding LLC, 5.75%, due 03/15/23 144A

      343,687  
  315,000      

Occidental Petroleum Corp., 3.40%, due 04/15/26

      314,756  
  210,000      

Omega Healthcare Investors, Inc. REIT, 4.50%, due 01/15/25

      209,918  
  300,000      

Omega Healthcare Investors, Inc. REIT, 4.95%, due 04/01/24

      309,233  
  195,000      

Omega Healthcare Investors, Inc. REIT, 5.25%, due 01/15/26

      203,935  
  300,000      

Omnicom Group, Inc., 3.60%, due 04/15/26

      300,421  
  139,000      

ONEOK Partners, LP, 5.00%, due 09/15/23

      149,209  
  175,000      

Open Text Corp., 5.88%, due 06/01/26 144A

      183,750  
  320,000      

Oracle Corp., 4.30%, due 07/08/34

      332,747  
  250,000      

Owens Corning, 4.20%, due 12/15/22

      261,814  
  460,000      

Pacific Gas & Electric Co., 6.05%, due 03/01/34

      577,509  
  85,000      

Park Aerospace Holdings, Ltd., 5.50%, due 02/15/24‡ 144A

      88,613  
  730,000      

Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 06/15/19¤ 144A

      734,512  
  370,000      

PepsiCo, Inc., 1.50%, due 02/22/19

      370,139  
  370,000      

Petrobras Global Finance BV, 5.63%, due 05/20/43

      307,174  
  215,000      

Petrobras Global Finance BV, 7.38%, due 01/17/27

      227,836  
  320,000      

Petroleos Mexicanos, 4.88%, due 01/24/22‡

      329,984  
  80,000      

Petroleos Mexicanos, 5.38%, due 03/13/22 144A

      83,900  
  255,000      

Petroleos Mexicanos, 6.50%, due 06/02/41‡

      255,255  
  350,000      

Petroleos Mexicanos, 6.88%, due 08/04/26

      389,375  
  1,006,000      

Phillips 66 Partners, LP, 3.61%, due 02/15/25

      981,314  
  115,000      

Plains All American Pipeline, LP/PAA Finance Corp., 4.70%, due 06/15/44

      104,457  
  250,000      

Plains All American Pipeline, LP/PAA Finance Corp., 4.90%, due 02/15/45

      235,073  
  435,000      

Platform Specialty Products Corp., 6.50%, due 02/01/22‡ 144A

      453,487  
  1,190,000      

PNC Bank NA, 2.95%, due 01/30/23

      1,195,488  
  270,000      

PNC Financial Services Group, Inc. (The), 4.85%† ††††† ‡

      269,241  
  163,000      

PNC Financial Services Group, Inc. (The), 6.75%† †††††

      182,458  
  200,000      

Popular, Inc., 7.00%, due 07/01/19

      209,750  
  145,000      

Post Holdings, Inc., 5.75%, due 03/01/27 144A

      145,363  
  540,000      

PPL Capital Funding, Inc., 5.00%, due 03/15/44

      573,165  
  165,000      

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 05/15/23 144A

      181,294  
  95,000      

Private Export Funding Corp., 1.88%, due 07/15/18‡

      95,662  
  90,000      

Providence St. Joseph Health Obligated Group, 2.75%, due 10/01/26

      85,857  
  240,000      

Prudential Financial, Inc., 5.20%, due 03/15/44†

      246,720  
  190,000      

Prudential Financial, Inc., 5.88%, due 09/15/42†

      206,720  
  1,000,000      

Prudential Financial, Inc., 7.38%, due 06/15/19

      1,115,488  
  170,000      

QEP Resources, Inc., 6.88%, due 03/01/21‡

      181,475  
  370,000      

Quicken Loans, Inc., 5.75%, due 05/01/25‡ 144A

      365,375  
  175,000      

Quintiles IMS, Inc., 4.88%, due 05/15/23 144A

      178,281  
  400,000      

QVC, Inc., 4.38%, due 03/15/23

      401,672  
  265,000      

QVC, Inc., 5.13%, due 07/02/22

      278,496  
  300,000      

QVC, Inc., 5.45%, due 08/15/34

      277,417  

 

80    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  305,000      

Rabobank Nederland NV, 11.00%† ††††† 144A

      357,231  
  135,000      

Radian Group, Inc., 5.25%, due 06/15/20‡

      142,256  
  245,000      

Radian Group, Inc., 7.00%, due 03/15/21

      271,950  
  235,000      

Rain CII Carbon LLC/CII Carbon Corp., 8.25%, due 01/15/21 144A

      243,519  
  1,207,000      

Realty Income Corp. REIT, 4.65%, due 08/01/23

      1,302,190  
  465,000      

Regency Energy Partners, LP/Regency Energy Finance Corp., 5.50%, due 04/15/23

      485,344  
  175,000      

Revlon Consumer Products Corp., 5.75%, due 02/15/21

      175,656  
  185,000      

Revlon Consumer Products Corp., 6.25%, due 08/01/24‡

      185,000  
  920,000      

Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19

      1,049,852  
  500,000      

Royal Bank of Scotland Group Plc, 3.88%, due 09/12/23

      493,475  
  315,000      

Royal Bank of Scotland Group Plc, 4.80%, due 04/05/26

      322,933  
  205,000      

Royal Bank of Scotland Group Plc, 8.00%† ††††† ‡

      204,465  
  200,000      

Royal Bank of Scotland Group Plc, 8.63%† †††††

      209,000  
  345,000      

S&P Global, Inc., 4.00%, due 06/15/25

      355,194  
  67,000      

S&P Global, Inc., 4.40%, due 02/15/26

      71,236  
  455,000      

Sabine Pass Liquefaction LLC, 4.20%, due 03/15/28 144A

      450,432  
  140,000      

Sabine Pass Liquefaction LLC, 5.75%, due 05/15/24

      152,790  
  320,000      

Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25‡

      321,200  
  630,000      

Santander Holdings USA, Inc., 2.70%, due 05/24/19

      633,296  
  380,000      

Santander UK Group Holdings Plc, 4.75%, due 09/15/25 144A

      380,295  
  1,295,000      

Schlumberger Holdings Corp., 3.00%, due 12/21/20‡ 144A

      1,324,851  
  320,000      

Select Medical Corp., 6.38%, due 06/01/21‡

      324,800  
  1,220,000      

Sempra Energy, 2.40%, due 03/15/20

      1,225,259  
  645,000      

Shell International Finance BV, 4.38%, due 05/11/45

      655,686  
  465,000      

Shire Acquisitions Investments Ireland DAC, 1.90%, due 09/23/19

      461,925  
  485,000      

Shire Acquisitions Investments Ireland DAC, 2.88%, due 09/23/23

      471,294  
  875,000      

Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26

      834,875  
  850,000      

Simon Property Group, LP REIT, 6.75%, due 02/01/40

      1,109,720  
  230,000      

Sinclair Television Group, Inc., 5.63%, due 08/01/24‡ 144A

      233,450  
  500,000      

Sinopec Group Overseas Development 2015, Ltd., 2.50%, due 04/28/20 144A

      498,115  
  215,000      

Sirius XM Radio, Inc., 5.25%, due 08/15/22 144A

      223,063  
  205,000      

Sirius XM Radio, Inc., 5.38%, due 04/15/25 144A

      210,330  
  315,000      

Sirius XM Radio, Inc., 5.38%, due 07/15/26 144A

      322,875  
  210,000      

Sixsigma Networks Mexico SA de CV, 8.25%, due 11/07/21‡ 144A

      208,950  
  335,000      

Societe Generale SA, 7.38%† ††††† ‡ 144A

      341,063  
  325,000      

Societe Generale SA, 8.00%† ††††† 144A

      333,125  
  200,000      

Societe Generale SA, Reg S, 8.25%† ††††† ‡‡‡

      209,741  
  1,318,000      

Southern Co. (The), 3.25%, due 07/01/26

      1,259,834  
  1,260,000      

Southern Co. Gas Capital Corp., 2.45%, due 10/01/23

      1,210,326  
  630,000      

Southern Copper Corp., 5.25%, due 11/08/42

      620,999  
  470,000      

Southern Power Co., 1.95%, due 12/15/19

      466,846  
  255,000      

Sprint Capital Corp., 6.88%, due 11/15/28

      269,981  
  735,000      

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, due 03/20/23 144A

      735,000  
  540,000      

Standard Chartered Plc, 2.10%, due 08/19/19 144A

      535,871  
  377,000      

State Street Corp., 2.13%, due 06/01/77†

      331,289  
  850,000      

State Street Corp., 4.96%, due 03/15/18

      874,257  
  395,000      

State Street Corp., 5.25%† †††††

      414,750  
  18,000      

Stearns Holdings LLC, 9.38%, due 08/15/20 144A

      18,270  

 

   See accompanying Notes to the Financial Statements.      81  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  310,000      

Stifel Financial Corp., 4.25%, due 07/18/24

      314,348  
  245,000      

Sumitomo Mitsui Banking Corp., 2.45%, due 01/10/19

      246,911  
  470,000      

Sumitomo Mitsui Trust Bank, Ltd., 2.05%, due 03/06/19 144A

      469,442  
  215,000      

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.75%, due 04/15/25

      215,000  
  922,000      

Sunoco Logistics Partners Operations, LP, 3.45%, due 01/15/23

      910,264  
  460,000      

Sunoco Logistics Partners Operations, LP, 3.90%, due 07/15/26‡

      445,304  
  271,000      

Sunoco Logistics Partners Operations, LP, 4.40%, due 04/01/21

      285,442  
  250,000      

Sunoco, LP/Sunoco Finance Corp., 6.25%, due 04/15/21

      255,625  
  145,000      

SUPERVALU, Inc., 7.75%, due 11/15/22‡

      143,006  
  85,000      

Symantec Corp., 5.00%, due 04/15/25 144A

      87,258  
  440,000      

Synchrony Financial, 3.70%, due 08/04/26

      427,416  
  217,000      

Synovus Financial Corp., 7.88%, due 02/15/19

      236,953  
  190,000      

T-Mobile USA, Inc., 6.13%, due 01/15/22

      201,163  
  165,000      

T-Mobile USA, Inc., 6.25%, due 04/01/21‡

      170,156  
  130,000      

Tallgrass Energy Partners, LP/Tallgrass Energy Finance Corp., 5.50%,
due 09/15/24‡ 144A

      131,300  
  270,000      

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%,
due 04/15/21 144A

      279,450  
  615,000      

Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A

      814,507  
  461,000      

Tech Data Corp., 4.95%, due 02/15/27

      466,242  
  295,000      

Telecom Italia Capital SA, Guaranteed Senior Note, 7.20%, due 07/18/36

      314,246  
  1,568,000      

Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22‡

      1,605,576  
  260,000      

Telefonos de Mexico SAB de CV, 5.50%, due 11/15/19

      281,819  
  90,000      

Tenet Healthcare Corp., 4.38%, due 10/01/21

      90,450  
  60,000      

Tervita Escrow Corp., 7.63%, due 12/01/21 144A

      62,250  
  140,000      

Tesoro Logistics, LP/Tesoro Logistics Finance Corp., 5.25%, due 01/15/25‡

      146,825  
  385,000      

Tesoro Logistics, LP/Tesoro Logistics Finance Corp., 6.13%, due 10/15/21

      403,769  
  270,000      

Tesoro Logistics, LP/Tesoro Logistics Finance Corp., 6.38%, due 05/01/24

      293,625  
  1,775,000      

Teva Pharmaceutical Finance Netherlands III BV, 3.15%, due 10/01/26‡

      1,638,980  
  40,000      

Teva Pharmaceutical Finance Netherlands III BV, 4.10%, due 10/01/46‡

      34,594  
  220,000      

Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21

      228,556  
  70,000      

Time Warner Cable LLC, 4.13%, due 02/15/21

      72,884  
  740,000      

Time Warner Cable LLC, 5.85%, due 05/01/17

      742,286  
  670,000      

Time Warner Cable LLC, 8.25%, due 04/01/19

      747,306  
  971,000      

Time Warner Cos., Inc., 7.57%, due 02/01/24

      1,195,420  
  590,000      

Time Warner, Inc., 3.80%, due 02/15/27

      584,757  
  260,000      

Time Warner, Inc., 4.70%, due 01/15/21

      278,977  
  200,000      

Time Warner, Inc., 4.75%, due 03/29/21

      214,892  
  550,000      

Total System Services, Inc., 4.80%, due 04/01/26

      593,099  
  265,000      

Tutor Perini Corp., 7.63%, due 11/01/18‡

      265,497  
  1,812,000      

UBS Group Funding Jersey, Ltd., 4.13%, due 04/15/26‡ 144A

      1,845,462  
  3,294,773      

United Airlines 2014-1 Class A Pass Through Trust, 4.00%, due 10/11/27

      3,418,327  
  446,842      

United Airlines 2014-2 Class A Pass Through Trust, 3.75%, due 03/03/28

      454,139  
  190,000      

United Airlines 2016-1 Class A Pass Through Trust, 3.45%, due 01/07/30

      186,438  
  220,000      

United Rentals North America, Inc., 5.50%, due 07/15/25‡

      227,425  
  145,000      

United Rentals North America, Inc., 5.75%, due 11/15/24

      151,706  
  105,000      

United Rentals North America, Inc., 5.88%, due 09/15/26

      109,856  
  130,000      

UnitedHealth Group, Inc., 4.20%, due 01/15/47

      132,342  
  390,000      

UnitedHealth Group, Inc., 4.38%, due 03/15/42

      405,208  

 

82    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  230,000      

Universal Health Services, Inc., 4.75%, due 08/01/22‡ 144A

      237,475  
  155,000      

Universal Health Services, Inc., 5.00%, due 06/01/26 144A

      160,038  
  198,637      

US Airways 2010-1 Class A Pass Through Trust, 6.25%, due 10/22/24

      216,763  
  216,659      

US Airways 2012-1 Class A Pass Through Trust, 5.90%, due 04/01/26

      241,638  
  350,000      

US Bank NA/Cincinnati OH, 2.00%, due 01/24/20‡

      351,440  
  145,000      

US Concrete, Inc., 6.38%, due 06/01/24 144A

      150,800  
  210,000      

Vale Overseas, Ltd., 6.25%, due 08/10/26‡

      228,638  
  490,000      

Valero Energy Corp., 3.40%, due 09/15/26‡

      469,028  
  115,000      

Vector Group, Ltd., 6.13%, due 02/01/25 144A

      117,731  
  200,000      

Vedanta Resources Plc, 6.38%, due 07/30/22 144A

      201,500  
  430,000      

Ventas Realty, LP REIT, 3.50%, due 02/01/25

      421,599  
  87,000      

Ventas Realty, LP REIT, 3.75%, due 05/01/24

      87,517  
  2,000,000      

Ventas Realty, LP/Ventas Capital Corp. REIT, 2.70%, due 04/01/20

      2,017,980  
  260,000      

VEREIT Operating Partnership, LP REIT, 4.60%, due 02/06/24

      269,100  
  170,000      

VeriSign, Inc., 5.25%, due 04/01/25

      177,013  
  420,000      

Verisk Analytics, Inc., 4.00%, due 06/15/25

      427,612  
  255,000      

Verizon Communications, Inc., 4.40%, due 11/01/34

      242,027  
  1,017,000      

Verizon Communications, Inc., 4.52%, due 09/15/48

      925,053  
  310,000      

Verizon Communications, Inc., 4.67%, due 03/15/55

      277,983  
  1,546,000      

Verizon Communications, Inc., 4.86%, due 08/21/46

      1,492,015  
  1,190,000      

Verizon Communications, Inc., 5.01%, due 08/21/54‡

      1,137,264  
  110,000      

Verizon Communications, Inc., 5.05%, due 03/15/34

      112,173  
  430,000      

Viacom, Inc., 4.38%, due 03/15/43

      374,073  
  824,000      

Virginia Electric & Power Co., 3.15%, due 01/15/26

      820,992  
  223,000      

Vista Outdoor, Inc., 5.88%, due 10/01/23‡

      217,983  
  415,000      

Voya Financial, Inc., 5.65%, due 05/15/53†

      423,300  
  325,000      

Walgreens Boots Alliance, Inc., 1.75%, due 05/30/18

      325,488  
  855,000      

WEA Finance LLC/Westfield UK & Europe Finance Plc REIT, 2.70%,
due 09/17/19 144A

      863,423  
  200,000      

WellCare Health Plans, Inc., 5.75%, due 11/15/20

      205,820  
  1,298,000      

Wells Fargo & Co., 3.07%, due 01/24/23‡

      1,306,764  
  90,000      

Wells Fargo & Co., 4.60%, due 04/01/21

      96,809  
  265,000      

Wells Fargo & Co., 4.65%, due 11/04/44

      266,587  
  735,000      

Wells Fargo & Co., 5.88%† †††††

      793,206  
  315,000      

Wells Fargo & Co., Class A, Series K, 7.98%† ††††† ‡

      329,569  
  1,100,000      

Welltower, Inc. REIT, 4.50%, due 01/15/24

      1,159,029  
  240,000      

Westlake Chemical Corp., 4.63%, due 02/15/21 144A

      249,291  
  581,000      

Westpac Banking Corp., 2.15%, due 03/06/20

      581,591  
  170,000      

WestRock RKT Co., 3.50%, due 03/01/20

      174,596  
  1,000,000      

Weyerhaeuser Co. REIT, 7.38%, due 10/01/19

      1,121,551  
  575,000      

Whole Foods Market, Inc., 5.20%, due 12/03/25

      612,131  
  255,000      

Williams Partners, LP/ACMP Finance Corp., 4.88%, due 05/15/23

      263,332  
  430,000      

Williams Partners, LP/ACMP Finance Corp., 4.88%, due 03/15/24

      442,805  
  200,000      

Wind Acquisition Finance SA, 7.38%, due 04/23/21 144A

      208,500  
  80,000      

WM Wrigley Jr Co., 2.40%, due 10/21/18 144A

      80,678  
  320,000      

WM Wrigley Jr Co., 2.90%, due 10/21/19 144A

      325,898  
  90,000      

WM Wrigley Jr Co., 3.38%, due 10/21/20 144A

      93,138  
  145,000      

WMG Acquisition Corp., 4.88%, due 11/01/24¤ 144A

      146,450  
  310,000      

WMG Acquisition Corp., 6.75%, due 04/15/22‡ 144A

      327,050  

 

   See accompanying Notes to the Financial Statements.      83  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Corporate Debt — continued

   
  1,000      

Xerox Corp., 4.07%, due 03/17/22 144A

      1,017  
  360,000      

XPO Logistics, Inc., 6.50%, due 06/15/22‡ 144A

      379,350  
  310,000      

YPF SA, 8.50%, due 07/28/25‡ 144A

      337,032  
  110,000      

Zebra Technologies Corp., 7.25%, due 10/15/22‡

      119,213  
  225,000      

ZF North America Capital, Inc., 4.75%, due 04/29/25 144A

      233,719  
  200,000      

ZFS Finance USA Trust V, Series V, 6.50%, due 05/09/67† 144A

      200,250  
  425,000      

Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/25

      420,969  
      

 

 

  
         299,903,257  
      

 

 

  
   

Mortgage Backed Securities - Private Issuers — 9.5%

   
  796,291      

Agate Bay Mortgage Trust, Series 2016-3, Class A5, 3.50%, due 08/25/46† 144A

      811,214  
  49,924      

American Home Mortgage Investment Trust, Series 2005-1, Class 1A1, 1.22%, due 06/25/45†

      48,234  
  450,000      

Americold LLC, Series 2010-ARTA, Class D, 7.44%, due 01/14/29 144A

      504,625  
  113,000      

AOA Mortgage Trust, Series 2015-1177, Class C, 3.01%, due 12/13/29† 144A

      112,216  
  264,000      

Barclays Commercial Mortgage Trust, Series 2015-MSQ, Class D, 3.99%,
due 09/15/32† 144A

      263,991  
  1,350,000      

Barclays Commercial Mortgage Trust, Series 2016-ETC, Class A, 2.94%,
due 08/14/36 144A

      1,321,449  
  359,655      

Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 1.68%, due 01/25/35†

      354,175  
  142,768      

Bear Stearns ALT-A Trust, Series 2005-7, Class 11A1, 1.52%, due 08/25/35†

      138,535  
  309,954      

Bear Stearns ARM Trust, Series 2005-2, Class A1, 3.26%, due 03/25/35†

      312,661  
  240,157      

Bear Stearns ARM Trust, Series 2005-5, Class A2, 2.82%, due 08/25/35†

      239,524  
  130,000      

BWAY Mortgage Trust, Series 2015-1740, Class D, 3.79%, due 01/10/35† 144A

      127,572  
  300,000      

BXHTL Mortgage Trust, Series 2015-JWRZ, Class GL2, 4.60%, due 05/15/29† 144A

      302,360  
  366,000      

CD Mortgage Trust, Series 2017-CD3, Class C, 4.56%, due 02/10/50†

      382,248  
  368,700      

CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class DPA, 3.91%, due 12/15/27† 144A

      371,489  
  700,000      

CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3, 3.01%, due 05/10/58

      685,949  
  480,000      

CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class DFX, 4.39%, due 02/10/33 144A

      488,498  
  1,110,000      

CIM Trust, Series 2017-3, 1.00%, due 01/25/57 144A

      1,107,919  
  1,301,869      

Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.78%, due 12/10/49†

      1,303,422  
  1,600,000      

Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3, 3.36%, due 07/10/47

      1,631,954  
  1,500,000      

Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4, 2.88%, due 02/10/48

      1,475,089  
  1,772,000      

Citigroup Commercial Mortgage Trust, Series 2016-P5, Class A2, 2.40%, due 10/10/49

      1,771,523  
  1,000,000      

Citigroup Commercial Mortgage Trust, Inc., Series 2013-GC17, Class A2, 2.96%, due 11/10/46

      1,013,732  
  27,500,000      

Citigroup Commercial Mortgage Trust, Inc., (IO), Series 2014-GC21, Class XB, 0.33%, due 05/10/47†

      781,470  
  677,567      

Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.81%, due 12/10/49†

      680,077  
  206,000      

Commercial Mortgage Pass Through Certificates, Series 2012-LC4, Class B, 4.93%, due 12/10/44†

      220,402  
  130,000      

Commercial Mortgage Pass Through Certificates, Series 2013-300P, Class D, 4.39%, due 08/10/30† 144A

      134,274  
  460,000      

Commercial Mortgage Pass Through Certificates, Series 2013-CR11, Class B, 5.16%, due 08/10/50†

      502,145  

 

84    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Mortgage Backed Securities - Private Issuers — continued

   
  225,000      

Commercial Mortgage Pass Through Certificates, Series 2013-CR13, Class C, 4.75%, due 12/10/23†

      232,343  
  300,000      

Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A2, 2.37%, due 06/10/46

      302,467  
  100,000      

Commercial Mortgage Pass Through Certificates, Series 2013-LC6, Class A3, 2.67%, due 01/10/46

      100,522  
  397,000      

Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class C, 4.90%, due 04/10/47†

      404,153  
  1,600,000      

Commercial Mortgage Pass Through Certificates, Series 2014-CR20, Class A3, 3.33%, due 11/10/47

      1,623,082  
  425,000      

Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class D, 3.33%, due 07/13/31† 144A

      416,163  
  195,000      

Commercial Mortgage Pass Through Certificates, Series 2014-PAT, Class D, 3.03%, due 08/13/27† 144A

      195,154  
  390,000      

Commercial Mortgage Pass Through Certificates, Series 2014-TWC, Class D, 3.13%, due 02/13/32† 144A

      392,070  
  2,150,000      

Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47

      2,170,355  
  1,200,000      

Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A3, 3.51%, due 08/10/48

      1,226,961  
  250,000      

Commercial Mortgage Pass Through Certificates, Series 2015-CR27, Class B, 4.36%, due 10/10/48†

      262,340  
  53,000,000      

Commercial Mortgage Pass Through Certificates, (IO), Series 2014-CR17, Class XB, 0.21%, due 05/10/47† 144A

      770,085  
  355,000      

Core Industrial Trust, Series 2015-CALW, Class F, 3.85%, due 02/10/34† 144A

      353,512  
  207,633      

Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.72%, due 06/15/39†

      207,526  
  475,000      

Credit Suisse First Boston Mortgage Securities Corp., Series 2006-OMA, Class B2, 5.54%, due 05/15/23 144A

      507,480  
  115,000      

DBJPM Mortgage Trust, Series 2016-C3, Class C, 3.49%, due 09/10/49†

      109,350  
  255,731      

Fremont Home Loan Trust, Series 2004-B, Class M1, 1.85%, due 05/25/34†

      239,251  
  339,000      

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.38%,
due 12/15/34† 144A

      342,664  
  35,386      

GMACM Mortgage Loan Trust, Series 2004-AR2, Class 3A, 3.65%, due 08/19/34†

      34,288  
  3,189,794      

Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, due 12/10/49

      3,206,683  
  155,000      

GS Mortgage Securities Trust, Series 2014-NEW, Class C, 3.79%, due 01/10/31¤ 144A

      153,124  
  260,000      

GS Mortgage Securities Trust, Series 2015-590M, Class C, 3.81%, due 10/10/35† 144A

      259,807  
  900,000      

GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48

      900,121  
  475,000      

GS Mortgage Securities Trust, Series 2016-ICE2, Class D, 6.66%, due 02/15/33† 144A

      492,145  
  325,000      

GS Mortgage Securities Trust, Series 2016-RENT, Class D, 4.07%, due 02/10/29† 144A

      330,789  
  200,000      

GS Mortgage Securities Trust, Series 2017-485L, Class C, 3.98%, due 02/10/37¤ † 144A

      205,649  
  165,000      

GS Mortgage Securities Trust, Series 2017-GS5, Class C, 4.30%, due 03/10/50†

      170,695  
  82,777      

HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1C, 1.43%, due 06/20/35†

      78,865  
  310,000      

Hilton Mortgage Trust, Series 2014-ORL, Class D, 2.77%, due 07/15/29† 144A

      305,658  
  280,000      

Hilton USA Trust, Series 2016-HHV, Class D, 4.19%, due 11/05/38¤ † 144A

      266,953  
  100,000      

Hudsons Bay Simon JV Trust, Series 2015-HBFL, Class DFL, 4.48%,
due 08/05/34† 144A

      99,493  
  415,000      

JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class C, 4.67%, due 04/15/47†

      425,833  

 

   See accompanying Notes to the Financial Statements.      85  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Mortgage Backed Securities - Private Issuers — continued

   
  700,000      

JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A, 2.88%, due 06/15/49

      684,150  
  1,300,000      

JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4, 3.41%, due 03/15/50

      1,321,574  
  1,643,473      

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.84%, due 06/15/49†

      1,644,042  
  1,725,000      

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-C19, Class A3, 3.67%, due 04/15/47

      1,790,054  
  1,331,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A4, 4.72%, due 02/15/46 144A

      1,435,724  
  500,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class A3, 3.53%, due 01/15/46

      515,409  
  516,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class C, 2.87%, due 07/15/31† 144A

      510,832  
  400,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class F, 4.91%, due 06/15/29† 144A

      394,947  
  18,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-PHH, Class C, 3.01%, due 08/15/27† 144A

      18,023  
  455,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-MAR7, Class C, 4.49%, due 06/05/32 144A

      456,221  
  171,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class B, 3.66%, due 07/15/36† 144A

      172,393  
  177,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class C, 3.48%, due 08/15/49†

      166,968  
  1,349,250      

JPMorgan Mortgage Trust, Series 2016-1, Class A5, 3.50%, due 05/25/46 144A

      1,380,228  
  830,127      

JPMorgan Mortgage Trust, Series 2016-4, Class A5, 3.50%, due 10/25/46† 144A

      848,019  
  106,859      

LSTAR Securities Investment Trust, Series 2015-10, Class A1, 2.78%,
due 11/02/20† 144A

      106,959  
  850,964      

LSTAR Securities Investment Trust, Series 2015-6, Class A, 2.78%,
due 05/01/20† 144A

      847,773  
  235,963      

LSTAR Securities Investment Trust, Series 2015-8, Class A1, 2.78%,
due 08/01/20† 144A

      237,059  
  395,696      

LSTAR Securities Investment Trust, Series 2015-9, Class A1, 2.78%,
due 10/01/20† 144A

      394,213  
  667,315      

LSTAR Securities Investment Trust, Series 2017-1, Class A, 2.78%,
due 01/01/22† 144A

      665,647  
  404,316      

LSTAR Securities Investment, Ltd., Series 2016-3, Class A, 2.78%, due 09/01/21† 144A

      401,245  
  250,000      

MASTR Adjustable Rate Mortgages Trust, Series 2004-11, Class M2, 2.08%, due 11/25/34†

      244,061  
  150,247      

MASTR Alternative Loan Trust, Series 2005-2, Class 4A3, 1.38%, due 03/25/35†

      143,763  
  81,125      

Merrill Lynch Mortgage Investors Trust, Series 2005-2, Class 1A, 2.54%, due 10/25/35†

      81,012  
  225,511      

Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49

      227,600  
  100,000      

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46

      101,143  
  765,000      

Morgan Stanley Capital I Trust, Series 2014-150E, Class D, 4.30%, due 09/09/32† 144A

      760,073  
  315,000      

Morgan Stanley Capital I Trust, Series 2015-XLF1, Class C, 3.09%,
due 08/14/31† 144A

      315,538  
  1,600,000      

Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3, 2.53%, due 08/15/49

      1,513,417  

 

86    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Mortgage Backed Securities - Private Issuers — continued

   
  986,000      

Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.95%,
due 08/12/45† 144A

      986,368  
  1,264,000      

Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.95%,
due 08/15/45† 144A

      1,263,666  
  455,000      

MSCG Trust, Series 2016-SNR, Class D, 6.55%, due 11/15/34 144A

      443,185  
  160,000      

One Market Plaza Trust, Series 2017-1MKT, Class D, 4.15%, due 02/10/32¤ 144A

      162,199  
  137,034      

Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 3.33%,
due 05/25/35†

      133,332  
  2,529,640      

Small Business Administration Participation Certificates, Series 2013-20L, Class 1, 3.38%, due 12/01/33

      2,626,235  
  315,000      

TMSQ Mortgage Trust, Series 2014-1500, Class D, 3.83%, due 10/10/36† 144A

      303,641  
  583,120      

Towd Point Mortgage Trust, Series 2016-5, Class A1, 2.50%, due 10/25/56† 144A

      580,518  
  215,000      

UBS Commercial Mortgage Trust, Series 2012-C1, Class B, 4.82%, due 05/10/45

      233,943  
  1,566,000      

UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.09%, due 08/10/49

      1,602,212  
  1,867,000      

UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class A3, 3.60%, due 01/10/45

      1,937,692  
  490,000      

VNDO Mortgage Trust, Series 2013-PENN, Class D, 3.95%, due 12/13/29† 144A

      502,568  
  445,000      

VNDO Trust, Series 2016-350P, Class D, 3.90%, due 01/10/35† 144A

      445,686  
  994,956      

Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, due 05/15/46

      999,010  
  30,617      

WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.78%, due 09/25/33†

      31,061  
  35,257      

WaMu Mortgage Pass Through Certificates, Series 2005-AR2, Class 2A3, 1.33%, due 01/25/45†

      33,207  
  363,000      

Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class C, 2.71%, due 03/18/28† 144A

      360,631  
  55,000      

Wells Fargo Commercial Mortgage Trust, Series 2013-BTC, Class E, 3.55%, due 04/16/35† 144A

      49,598  
  150,000      

Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class B, 4.54%, due 09/15/58†

      159,225  
  1,500,000      

Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class A2, 2.40%, due 08/15/49

      1,408,700  
  3,000,000      

Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3, 2.64%, due 11/15/49

      2,856,806  
  1,400,000      

Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A4, 3.37%, due 03/15/50

      1,409,835  
  200,000      

Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class C, 4.31%, due 03/15/50

      205,907  
  1,380,000      

WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A4, 4.90%,
due 06/15/44† 144A

      1,507,069  
  1,462,000      

WF-RBS Commercial Mortgage Trust, Series 2013-C12, Class A4, 3.20%, due 03/15/48

      1,492,991  
  195,000      

WF-RBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.48%, due 08/15/46†

      206,106  
      

 

 

  
         73,191,806  
      

 

 

  
   

Mortgage Backed Securities - U.S. Government Agency Obligations — 21.8%

 

  751,059      

FHLMC, Pool # J26100, 3.00%, due 10/01/28

      771,646  
  638,842      

FHLMC, Pool # V60565, 3.00%, due 06/01/29

      656,355  
  1,349,723      

FHLMC, Pool # V60603, 3.00%, due 09/01/29

      1,386,010  

 

   See accompanying Notes to the Financial Statements.      87  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Mortgage Backed Securities - U.S. Government Agency Obligations — continued

 

  1,462,642      

FHLMC, Pool # V60599, 3.00%, due 09/01/29

      1,502,661  
  3,294,177      

FHLMC, Pool # G60039, 3.00%, due 04/01/43

      3,285,523  
  1,656,298      

FHLMC, Pool # Q42618, 3.00%, due 08/01/46

      1,642,695  
  295,802      

FHLMC, Pool # J16432, 3.50%, due 08/01/26

      309,772  
  317,672      

FHLMC, Pool # J17763, 3.50%, due 01/01/27

      332,720  
  345,736      

FHLMC, Pool # Q11218, 3.50%, due 09/01/42

      355,483  
  646,679      

FHLMC, Pool # Q12052, 3.50%, due 10/01/42

      664,503  
  1,293,225      

FHLMC, Pool # Q12862, 3.50%, due 11/01/42

      1,329,974  
  613,091      

FHLMC, Pool # Q17792, 3.50%, due 05/01/43

      630,514  
  2,404,710      

FHLMC, Pool # G60059, 3.50%, due 02/01/44

      2,471,005  
  1,146,360      

FHLMC, Pool # V82084, 3.50%, due 12/01/45

      1,173,562  
  2,168,252      

FHLMC, Pool # V82515, 3.50%, due 06/01/46

      2,222,999  
  2,821,896      

FHLMC, Pool # Q41917, 3.50%, due 07/01/46

      2,895,901  
  2,827,819      

FHLMC, Pool # Q41918, 3.50%, due 07/01/46

      2,907,547  
  459,224      

FHLMC, Pool # G14678, 4.00%, due 12/01/26

      483,894  
  548,734      

FHLMC, Pool # G30700, 4.00%, due 04/01/34

      582,085  
  828,261      

FHLMC, Pool # G06231, 4.00%, due 12/01/40

      872,762  
  599,122      

FHLMC, Pool # A96970, 4.00%, due 02/01/41

      631,313  
  1,904,475      

FHLMC, Pool # Q04020, 4.00%, due 10/01/41

      2,007,004  
  1,921,251      

FHLMC, Pool # Q36815, 4.00%, due 10/01/45

      2,017,687  
  1,161,181      

FHLMC, Pool # G08672, 4.00%, due 10/01/45

      1,219,466  
  893,566      

FHLMC, Pool # A89870, 4.50%, due 11/01/39

      960,421  
  1,026,868      

FHLMC, Pool # Q02552, 4.50%, due 08/01/41

      1,104,050  
  152,785      

FHLMC, Pool # G07515, 4.50%, due 09/01/41

      164,378  
  2,396,101      

FHLMC, Pool # G60804, 4.50%, due 05/01/42

      2,571,757  
  638,158      

FHLMC, Pool # G08568, 4.50%, due 01/01/44

      684,616  
  2,016,944      

FHLMC, Pool # G60700, 4.50%, due 09/01/45

      2,176,700  
  867,566      

FHLMC, Pool # G07021, 5.00%, due 09/01/39

      944,477  
  2,683,861      

FHLMC, Pool # G60564, 5.00%, due 02/01/42

      2,924,129  
  256,571      

FHLMC, Pool # G01749, 5.50%, due 01/01/35

      288,521  
  240,634      

FHLMC, Pool # G06875, 5.50%, due 12/01/38

      269,758  
  453,153      

FHLMC, Pool # G06409, 6.00%, due 11/01/39

      514,012  
  943,771      

FHLMC, Series 4532, Class YA, 3.50%, due 10/15/41

      971,731  
  1,000,000      

FHLMC Multifamily Structured Pass Through Certificates, Series K033, Class A2, 3.06%, due 07/25/23†

      1,030,285  
  1,000,000      

FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class A2, 3.00%, due 12/25/25

      1,013,106  
  600,000      

FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class A4, 3.16%, due 05/25/25†

      606,734  
  34,094,197      

FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 0.98%, due 01/25/20†

      782,366  
  22,198,970      

FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.09%, due 04/25/20†

      599,208  
  27,586,856      

FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 0.88%, due 10/25/22†

      1,102,095  
  147,969      

FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36

      166,478  
  836,201      

FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1, 1.88%, due 10/25/27†

      837,736  
  250,000      

FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.83%, due 10/25/27†

      255,679  

 

88    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Mortgage Backed Securities - U.S. Government Agency Obligations — continued

 

  449,906      

FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 2.43%, due 07/25/28†

      451,994  
  655,000      

FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2, 2.98%, due 12/25/28†

      668,766  
  250,000      

FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2, 3.23%, due 11/25/28†

      257,928  
  480,000      

FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2, 2.28%, due 04/25/29†

      480,253  
  663,902      

FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1, 2.18%, due 07/25/29†

      666,629  
  1,500,000      

FHLMC TBA, 3.00%, due 09/01/44

      1,486,289  
  386,222      

FNMA, Pool # AS7693, 2.00%, due 08/01/31

      376,237  
  682,113      

FNMA, Pool # AO7971, 2.50%, due 06/01/27

      690,271  
  490,761      

FNMA, Pool # AS8073, 2.50%, due 10/01/46

      468,142  
  1,072,185      

FNMA, Pool # AB6212, 3.00%, due 09/01/42

      1,069,198  
  636,540      

FNMA, Pool # AQ7923, 3.00%, due 12/01/42

      634,767  
  1,446,546      

FNMA, Pool # AB7505, 3.00%, due 01/01/43

      1,442,518  
  1,135,812      

FNMA, Pool # AR2001, 3.00%, due 02/01/43

      1,132,649  
  1,130,865      

FNMA, Pool # AT0232, 3.00%, due 03/01/43

      1,127,714  
  2,082,408      

FNMA, Pool # AB9659, 3.00%, due 06/01/43

      2,076,395  
  187,152      

FNMA, Pool # AY7121, 3.00%, due 04/01/45

      186,079  
  898,376      

FNMA, Pool # AZ0611, 3.00%, due 04/01/45

      892,530  
  652,991      

FNMA, Pool # AX3719, 3.50%, due 07/01/27

      681,761  
  1,150,176      

FNMA, Pool # MA2164, 3.50%, due 02/01/35

      1,195,822  
  1,265,887      

FNMA, Pool # AJ9278, 3.50%, due 12/01/41

      1,302,300  
  2,031,122      

FNMA, Pool # AL1895, 3.50%, due 06/01/42

      2,088,842  
  2,330,078      

FNMA, Pool # AB6022, 3.50%, due 08/01/42

      2,395,576  
  1,115,170      

FNMA, Pool # AP2422, 3.50%, due 08/01/42

      1,146,520  
  1,652,543      

FNMA, Pool # AB6802, 3.50%, due 11/01/42

      1,698,995  
  1,060,527      

FNMA, Pool # AL3000, 3.50%, due 12/01/42

      1,090,326  
  1,424,403      

FNMA, Pool # AL3316, 3.50%, due 03/01/43

      1,464,439  
  2,487,785      

FNMA, Pool # AL3873, 3.50%, due 07/01/43

      2,557,553  
  1,354,827      

FNMA, Pool # AY5617, 3.50%, due 06/01/45

      1,387,075  
  4,905,041      

FNMA, Pool # AL7594, 3.50%, due 08/01/45

      5,032,067  
  1,440,052      

FNMA, Pool # AZ4775, 3.50%, due 10/01/45

      1,474,328  
  448,189      

FNMA, Pool # AZ3743, 3.50%, due 11/01/45

      458,857  
  931,205      

FNMA, Pool # AS6452, 3.50%, due 01/01/46

      953,370  
  834,851      

FNMA, Pool # AL7359, 4.00%, due 05/01/29

      879,291  
  1,510,253      

FNMA, Pool # MA1689, 4.00%, due 12/01/33

      1,599,797  
  1,823,820      

FNMA, Pool # 725331, 4.00%, due 01/01/34

      1,932,408  
  669,433      

FNMA, Pool # MA2019, 4.00%, due 09/01/34

      709,144  
  1,960,037      

FNMA, Pool # AL6663, 4.00%, due 03/01/39

      2,066,604  
  770,462      

FNMA, Pool # 932807, 4.00%, due 09/01/40

      811,039  
  422,834      

FNMA, Pool # AE7685, 4.00%, due 10/01/40

      445,277  
  1,838,418      

FNMA, Pool # AH4404, 4.00%, due 01/01/41

      1,935,868  
  717,717      

FNMA, Pool # AJ9317, 4.00%, due 01/01/42

      756,017  
  283,735      

FNMA, Pool # AO4109, 4.00%, due 06/01/42

      298,570  
  7,591,157      

FNMA, Pool # AL2598, 4.00%, due 10/01/42

      7,987,016  
  374,467      

FNMA, Pool # AB9383, 4.00%, due 05/01/43

      395,839  
  1,667,214      

FNMA, Pool # AL8191, 4.00%, due 12/01/45

      1,762,083  

 

   See accompanying Notes to the Financial Statements.      89  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Mortgage Backed Securities - U.S. Government Agency Obligations — continued

 

  471,497      

FNMA, Pool # AS6286, 4.00%, due 12/01/45

      494,939  
  1,438,579      

FNMA, Pool # AS6304, 4.00%, due 12/01/45

      1,510,122  
  1,255,782      

FNMA, Pool # BC2494, 4.00%, due 03/01/46

      1,329,866  
  1,169,056      

FNMA, Pool # AL9737, 4.50%, due 08/01/38

      1,258,262  
  919,723      

FNMA, Pool # 995243, 4.50%, due 08/01/38

      988,464  
  798,027      

FNMA, Pool # AD9153, 4.50%, due 08/01/40

      856,575  
  1,259,772      

FNMA, Pool # AL0215, 4.50%, due 04/01/41*

      1,356,715  
  1,684,987      

FNMA, Pool # AL6301, 4.50%, due 06/01/42

      1,814,362  
  2,364,766      

FNMA, Pool # 254903, 5.00%, due 10/01/33

      2,593,457  
  955,958      

FNMA, Pool # 725027, 5.00%, due 11/01/33

      1,048,871  
  786,334      

FNMA, Pool # 745148, 5.00%, due 01/01/36

      861,129  
  598,391      

FNMA, Pool # 995245, 5.00%, due 01/01/39

      653,507  
  889,449      

FNMA, Pool # AI1971, 5.00%, due 05/01/41

      974,065  
  275,847      

FNMA, Pool # AI1892, 5.00%, due 05/01/41

      306,339  
  1,984,367      

FNMA, Pool # AL0761, 5.00%, due 09/01/41

      2,179,138  
  682,811      

FNMA, Pool # AL5955, 5.00%, due 01/01/42

      747,222  
  887,585      

FNMA, Pool # AL6839, 5.00%, due 04/01/42

      977,886  
  558,504      

FNMA, Pool # AL5788, 5.00%, due 05/01/42

      612,601  
  6,027      

FNMA, Pool # 254548, 5.50%, due 12/01/32

      6,752  
  517,433      

FNMA, Pool # 704235, 5.50%, due 05/01/33

      579,540  
  74,334      

FNMA, Pool # 990906, 5.50%, due 10/01/35

      83,255  
  395,742      

FNMA, Pool # 849077, 5.50%, due 01/01/36

      442,291  
  815,488      

FNMA, Pool # 983471, 5.50%, due 05/01/38

      908,304  
  926,067      

FNMA, Pool # 985184, 5.50%, due 08/01/38

      1,032,451  
  493,609      

FNMA, Pool # AE0469, 6.00%, due 12/01/39

      557,971  
  1,370,982      

FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41

      1,563,821  
  67,010      

FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39

      73,804  
  105,288      

FNMA Connecticut Avenue Securities, Series 2014-C04, Class 1M1, 2.93%, due 11/25/24†

      105,446  
  253,792      

FNMA Connecticut Avenue Securities, Series 2016-C02, Class 1M1, 3.13%, due 09/25/28†

      257,289  
  385,715      

FNMA Connecticut Avenue Securities, Series 2016-C03, Class 2M1, 3.18%, due 10/25/28†

      390,525  
  355,758      

FNMA Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 2.43%, due 01/25/29†

      359,726  
  160,000      

FNMA Connecticut Avenue Securities, Series 2017-C01, Class 1M2, 4.53%, due 07/25/29†

      162,132  
  1,000,000      

FNMA TBA, 2.50%, due 04/01/29

      1,000,547  
  1,250,000      

FNMA TBA, 3.00%, due 11/01/28

      1,280,644  
  1,000,000      

FNMA TBA, 4.00%, due 03/01/43

      1,048,984  
  1,200,000      

FNMA-ACES, Series 2014-M4, Class A2, 3.35%, due 03/25/24†

      1,246,282  
  899,911      

FNMA-ACES, Series 2014-M4, Class AB2, 3.21%, due 03/25/24

      909,599  
  1,700,000      

FNMA-ACES, Series 2015-M10, Class A2, 3.09%, due 04/25/27†

      1,711,738  
  1,300,000      

FNMA-ACES, Series 2015-M8, Class AB2, 2.83%, due 01/25/25†

      1,287,648  
  500,000      

FNMA-ACES, Series 2016-M7, Class AB2, 2.38%, due 09/25/26

      463,470  
  500,000      

FNMA-ACES, Series 2017-M1, Class A2, 2.42%, due 10/25/26†

      478,605  
  74,191      

GNMA, Pool # 783637, 3.00%, due 06/20/42

      75,160  
  108,673      

GNMA, Pool # MA0624, 3.00%, due 12/20/42

      110,091  
  281,208      

GNMA, Pool # MA0698, 3.00%, due 01/20/43

      284,878  
  964,807      

GNMA, Pool # MA0851, 3.00%, due 03/20/43

      977,399  

 

90    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Mortgage Backed Securities - U.S. Government Agency Obligations — continued

 

  165,733      

GNMA, Pool # MA1156, 3.00%, due 07/20/43

      167,896  
  228,505      

GNMA, Pool # MA1599, 3.00%, due 01/20/44

      231,488  
  524,190      

GNMA, Pool # AL8626, 3.00%, due 08/15/45

      529,406  
  1,439,597      

GNMA, Pool # MA3873, 3.00%, due 08/20/46

      1,454,365  
  499,779      

GNMA, Pool # MA0625, 3.50%, due 12/20/42

      520,590  
  1,280,402      

GNMA, Pool # MA2754, 3.50%, due 04/20/45

      1,329,517  
  636,001      

GNMA, Pool # 004833, 4.00%, due 10/20/40

      678,144  
  537,896      

GNMA, Pool # 004977, 4.00%, due 03/20/41

      572,803  
  557,633      

GNMA, Pool # 004636, 4.50%, due 02/20/40

      602,286  
  102,654      

GNMA, Pool # 004678, 4.50%, due 04/20/40

      111,286  
  1,458,964      

GNMA, Pool # 004978, 4.50%, due 03/20/41

      1,575,795  
  2,317,735      

GNMA, Pool # 005055, 4.50%, due 05/20/41

      2,503,339  
  323,368      

GNMA, Pool # 005334, 5.00%, due 03/20/42

      360,032  
  5,000,000      

GNMA TBA, 3.50%, due 09/01/44

      5,184,766  
      

 

 

  
         166,720,046  
      

 

 

  
   

Municipal Obligations — 1.2%

   
  60,000      

Alabama Economic Settlement Authority, 4.26%, due 09/15/32

      61,418  
  300,000      

California Bay Area Toll Authority, 6.26%, due 04/01/49

      409,764  
  170,000      

California Educational Facilities Authority, 5.00%, due 06/01/46

      220,431  
  245,000      

Central Puget Sound Regional Transit Authority, 5.00%, due 11/01/46

      315,447  
  90,000      

District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14#

      92,003  
  490,000      

District of Columbia Water & Sewer Authority, 5.52%, due 10/01/44

      594,022  
  900,000      

Energy Northwest, 2.80%, due 07/01/21

      919,620  
  1,150,000      

New Jersey Economic Development Authority, 2.51%, due 02/15/19‡‡

      1,097,686  
  2,049,000      

New Jersey Economic Development Authority, 3.23%, due 02/15/20‡‡

      1,872,581  
  705,000      

State Board of Administration Finance Corp., 2.64%, due 07/01/21

      711,134  
  700,000      

State of California General Obligation, 7.50%, due 04/01/34

      992,446  
  1,000,000      

State of California General Obligation, 7.55%, due 04/01/39

      1,467,590  
  305,000      

University of Texas System (The), 5.00%, due 08/15/47

      387,429  
      

 

 

  
         9,141,571  
      

 

 

  
   

Sovereign Debt Obligations — 1.0%

   
  130,000      

Argentine Republic Government International Bond, 6.88%, due 01/26/27 144A

      131,982  
  425,000      

Argentine Republic Government International Bond, 7.50%, due 04/22/26 144A

      452,837  
  400,000      

Belgium Government International Bond, Reg S, 1.13%, due 08/03/19 144A‡‡‡

      394,849  
  1,005,000      

Hashemite Kingdom of Jordan Government AID Bond, 2.58%, due 06/30/22

      1,024,751  
  600,000      

Hashemite Kingdom of Jordan Government AID Bond, 3.00%, due 06/30/25

      616,793  
  812,000      

Hungary Government International Bond, 5.75%, due 11/22/23

      919,181  
  144,000      

Hungary Government International Bond, 7.63%, due 03/29/41

      209,512  
  420,000      

Indonesia Government International Bond, 5.88%, due 01/15/24 144A

      477,335  
  200,000      

Iraq Government AID Bond, 2.15%, due 01/18/22

      200,103  
  200,000      

Japan Bank for International Corp., 1.50%, due 07/21/21

      192,072  
  200,000      

Japan Bank for International Corp., 2.25%, due 02/24/20

      200,368  
  200,000      

Japan Finance Organization for Municipalities, 2.13%, due 04/13/21 144A

      196,957  
  400,000      

Japan Finance Organization for Municipalities, 2.13%, due 10/25/23 144A

      383,025  
  340,000      

Mexico Government International Bond (MTN), 4.75%, due 03/08/44

      331,500  
  200,000      

Panama Government International Bond, 3.75%, due 03/16/25

      204,750  
  200,000      

Panama Government International Bond, 4.00%, due 09/22/24

      209,750  
  200,000      

Province of Alberta Canada, 1.90%, due 12/06/19

      200,225  

 

   See accompanying Notes to the Financial Statements.      91  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

Sovereign Debt Obligations — continued

   
  100,000      

Province of Manitoba Canada, 2.13%, due 06/22/26‡

      93,811  
  125,000      

Province of Ontario Canada, 2.40%, due 02/08/22

      125,557  
  125,000      

Province of Ontario Canada, 4.40%, due 04/14/20

      133,973  
  300,000      

Provincia de Buenos Aires, 7.88%, due 06/15/27 144A

      304,560  
  310,000      

Saudi Government International Bond, 2.38%, due 10/26/21 144A

      304,772  
  400,000      

Turkey Government International Bond, 7.00%, due 06/05/20

      437,390  
  200,000      

Ukraine Government AID Bonds, 1.47%, due 09/29/21

      195,982  
      

 

 

  
         7,942,035  
      

 

 

  
   

U.S. Government and Agency Obligations — 11.3%

   
  365,000      

Federal Home Loan Mortgage Corp., 1.50%, due 01/17/20

      364,567  
  400,000      

Resolution Funding Corp. STRIPS, (PO), 3.82%, due 01/15/30‡‡

      267,031  
  140,000      

Resolution Funding Corp. STRIPS, (PO), 3.82%, due 04/15/30‡‡

      92,827  
  275,000      

Tennessee Valley Authority, 2.88%, due 02/01/27

      276,338  
  25,000      

Tennessee Valley Authority, 7.13%, due 05/01/30

      35,880  
  1,040,000      

U.S. Treasury Bond, 2.50%, due 02/15/45

      934,741  
  3,743,000      

U.S. Treasury Bond, 2.50%, due 05/15/46

      3,352,324  
  5,260,000      

U.S. Treasury Bond, 2.75%, due 11/15/42

      5,009,840  
  9,655,000      

U.S. Treasury Bond, 2.88%, due 11/15/46

      9,369,878  
  6,623,000      

U.S. Treasury Bond, 3.00%, due 05/15/45

      6,586,004  
  10,150,000      

U.S. Treasury Bond, 4.50%, due 02/15/36

      12,876,026  
  15,000      

U.S. Treasury Bond, 8.13%, due 08/15/21

      18,937  
  2,661,958      

U.S. Treasury Inflation Indexed Note, 0.38%, due 07/15/25

      2,670,024  
  1,186,030      

U.S. Treasury Inflation Indexed Note, 0.38%, due 01/15/27

      1,181,564  
  3,273,000      

U.S. Treasury Note, 0.88%, due 04/15/19

      3,246,855  
  230,000      

U.S. Treasury Note, 1.13%, due 02/28/19

      229,506  
  7,492,000      

U.S. Treasury Note, 1.13%, due 09/30/21

      7,248,510  
  1,265,000      

U.S. Treasury Note, 1.38%, due 01/15/20

      1,262,183  
  2,215,000      

U.S. Treasury Note, 1.38%, due 02/15/20

      2,208,251  
  3,760,000      

U.S. Treasury Note, 1.38%, due 04/30/21

      3,697,358  
  220,000      

U.S. Treasury Note, 1.63%, due 03/15/20

      220,812  
  3,570,000      

U.S. Treasury Note, 1.63%, due 04/30/23**

      3,469,244  
  996,000      

U.S. Treasury Note, 1.63%, due 02/15/26

      936,609  
  8,816,000      

U.S. Treasury Note, 1.88%, due 01/31/22

      8,797,918  
  160,000      

U.S. Treasury Note, 1.88%, due 02/28/22

      159,675  
  4,650,000      

U.S. Treasury Note, 2.13%, due 09/30/21

      4,698,681  
  7,240,000      

U.S. Treasury Note, 2.25%, due 02/15/27

      7,148,508  
      

 

 

  
         86,360,091  
      

 

 

  
   

TOTAL DEBT OBLIGATIONS (COST $755,523,005)

      750,579,893  
      

 

 

  
Notional          Description    Value ($)  
   

OPTIONS PURCHASED — 0.0%

   
   

Put Options — 0.0%

   
  100,000      

U.S. Treasury Note 10-Year Futures Option with JPMorgan Chase Bank N.A., Strike Price $125.00, Expires 05/26/17

      70,300  
      

 

 

  
   

TOTAL PUT OPTIONS PURCHASED (COST $72,372)

      70,300  
      

 

 

  

 

92    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value ($)          Description    Value ($)  
   

SHORT-TERM INVESTMENTS — 5.1%

   
   

Bank Deposit — 3.0%

   
  23,010,937      

State Street Bank & Trust Euro Time Deposit, 0.09%, due 04/03/17

      23,010,937  
      

 

 

  
   

TOTAL BANK DEPOSITS (COST $23,010,937)

      23,010,937  
      

 

 

  
   

Mutual Fund - Securities Lending Collateral — 1.4%

   
  10,554,630      

State Street Institutional U.S. Government Money Market Fund, Premier Class***

      10,554,630  
      

 

 

  
   

TOTAL MUTUAL FUND - SECURITIES LENDING COLLATERAL
(COST $10,554,630)

      10,554,630  
      

 

 

  
   

U.S. Government and Agency Obligations — 0.7%

   
  1,795,000      

United States Treasury Bill, 0.62%, due 04/20/17‡‡

      1,794,388  
  3,281,000      

United States Treasury Bill, 0.73%, due 06/22/17‡‡

      3,275,550  
      

 

 

  
   

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $5,070,028)

      5,069,938  
      

 

 

  
   

TOTAL SHORT-TERM INVESTMENTS (COST $38,635,595)

      38,635,505  
      

 

 

  
   

TOTAL INVESTMENTS BEFORE TBA SALE COMMITMENTS —  103.1%

(COST $794,230,972)

      789,285,698  
      

 

 

  
   

TBA Sale Commitments — (0.1)%

   
  (500,000 )     

FNMA TBA, 3.50%, due 02/01/44

      (511,484 ) 
      

 

 

  
   

TOTAL TBA SALE COMMITMENTS (PROCEEDS $505,625)

      (511,484 ) 
      

 

 

  
   

TOTAL INVESTMENTS NET OF TBA SALE

COMMITMENTS — 103.0%

(COST $793,725,347)

      788,774,214  
   

Other Assets and Liabilities (net) — (3.0)%

      (23,171,239 ) 
      

 

 

  
   

NET ASSETS — 100.0%

    $ 765,602,975  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      93  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

   

Notes to Schedule of Investments:

   
    ACES — Alternative Credit Enhancement Securities   
    CLO — Collateralized Loan Obligation   
    FHLMC — Federal Home Loan Mortgage Corporation   
    FNMA — Federal National Mortgage Association   
    GNMA — Government National Mortgage Association   
    IO — Interest Only   
    MTN — Medium Term Note   
    PO — Principal Only   
    REIT — Real Estate Investment Trust   
    REMIC — Real Estate Mortgage Investment Conduit   
    TBA — To Be Announced   
  #   Year of maturity is greater than 2100.   
  *   All or a portion of this security is pledged for open futures collateral.   
  **   All or a portion of this security is pledged for open swaps collateral.   
  ***   Represents an investment of securities lending cash collateral.   
  ****   Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $572 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2017 was $1,565,555.   
  ¤   Illiquid security. The total market value of the securities at year end is $5,621,588 which represents 0.7% of net assets. The aggregate tax cost of these securities held at March 31, 2017 was $5,617,717.   
  †   Floating rate note. Rate shown is as of March 31, 2017.   
  ††   Debt obligation initially issued in zero coupon form which converts to coupon form at a specific rate and date. The rate shown is the rate at period end.   
  †††   Security is currently in default.   
  ††††   When-issued security.   
  †††††   Security is perpetual and has no stated maturity date.   
  ‡   All or a portion of this security is out on loan.   
  ‡‡   Interest rate presented is yield to maturity.   
  ‡‡‡   Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.   
  144A   Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $156,734,870 which represents 20.5% of net assets.   

 

94    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2017

 

Futures Contracts

 

Number of
Contracts

          

Type

        

Expiration Date

     

Contract
Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  229        

U.S. Treasury Note 2-Year

         June 2017      $ 49,567,766      $ 39,366  
  171        

U.S. Treasury Note 5-Year

         June 2017        20,131,242        21,868  
  87        

U.S. Treasury Note 10-Year

         June 2017        10,836,938        34,853  
  106        

U.S. Ultra Bond

         June 2017        17,026,250        152,378  
                 

 

 

  
                  $ 248,465  
                 

 

 

  
  Sales                    
  53        

U.S. Long Bond

         June 2017      $ 7,994,719      $ (33,109 ) 
                 

 

 

  

Written Options

 

Type of Contract

   

Counterparty

   

Number of
Contracts/Notional
Amount

   

Premiums
Received

   

Value at
March 31, 2017

CALL — U.S. Treasury Note 10-Year Futures
Option Strike @ $ 128.00
Expires 05/26/2017

    JPMorgan Chase Bank N.A.    $100,000    $14,300      $ (12,500 )

Centrally Cleared Interest Rate Swaps

 

Pay/Receive
Floating Rate

   Floating
Rate Index		     Fixed Rate     Maturity Date     Notional
Amount		     Unrealized
Appreciation
(Depreciation)		  
Receive     3-Month USD LIBOR       1.20%       05/31/23     $ 1,170,000     $ 64,781  
Receive    
 Overnight Federal Funds
Effective Rate (12M)		  
 		     0.54%       09/09/17       35,205,000       72,209  
Receive     3-Month USD LIBOR       2.57%       09/08/24       1,600,000       (35,947 ) 
Receive     3-Month USD LIBOR       2.21%       01/08/26       7,920,000       70,753  
Receive     3-Month USD LIBOR       1.46%       08/15/23       4,480,000       (30,043 ) 
Receive     3-Month USD LIBOR       2.01%       08/31/21       100,000       43  
Receive    
 Overnight Federal Funds
Effective Rate (12M)		  
 		     0.61%       10/18/17       29,950,000       68,767  
Receive    
 Overnight Federal Funds
Effective Rate (12M)		  
 		     0.63%       11/09/17       16,645,000       42,336  
          $ 252,899  
         

 

 

  

Centrally Cleared Credit Default Swaps (See Note 2(a))

 

Notional Amount

     Expiration Date     Unrealized
Appreciation
(Depreciation)		  
$ 17,000,000       06/20/20     $ (26,705 ) 
   

 

 

  

 

   See accompanying Notes to the Financial Statements.      95  

Table of Contents

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2017

 

Asset Class Summary (Unaudited)    % of Net Assets

Debt Obligations

        98.0

Futures Contracts

        0.0

Swaps

        0.0

Options Purchased

        0.0

Written Options

        0.0

TBA Sale Commitments

        (0.1 )

Short-Term Investments

        5.1

Other Assets and Liabilities (net)

        (3.0 )
    

 

 

  
       100.0 %
    

 

 

  

 

96    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2017

 

Par Value**          Description    Value ($)  
   

DEBT OBLIGATIONS — 95.4%

   
   

Corporate Debt — 46.1%

   
  2,500,000      

24 Hour Holdings III LLC, 8.00%, due 06/01/22 144A

      2,093,750  
  800,000   EUR     

Adient Global Holdings, Ltd., 3.50%, due 08/15/24 144A

      863,169  
  1,000,000      

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.00%, due 10/01/21

      1,071,512  
  1,000,000      

Aircastle, Ltd., 4.13%, due 05/01/24

      1,003,750  
  1,200,000      

Alere, Inc., 6.50%, due 06/15/20

      1,215,000  
  2,500,000      

Allison Transmission, Inc., 5.00%, due 10/01/24 144A

      2,531,250  
  3,300,000      

Altice US Finance I Corp., 5.50%, due 05/15/26 144A

      3,399,000  
  2,000,000      

AMC Networks, Inc., 5.00%, due 04/01/24

      2,005,000  
  10,540,000   MXN     

America Movil SAB de CV, 7.13%, due 12/09/24

      534,629  
  1,500,000      

ArcelorMittal, 6.25%, due 03/01/21‡

      1,627,500  
  2,000,000      

Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, due 06/30/21 144A

      2,067,500  
  500,000      

Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 7.25%, due 05/15/24 144A

      536,875  
  2,000,000      

Axalta Coating Systems LLC, 4.88%, due 08/15/24 144A

      2,055,000  
  1,700,000   EUR     

Ball Corp., 4.38%, due 12/15/23

      2,017,869  
  2,500,000      

Bank of America Corp., Series M, 8.13%† †††††

      2,609,375  
  1,000,000      

Barminco Finance Pty, Ltd., 9.00%, due 06/01/18‡ 144A

      1,055,000  
  300,000      

Beazer Homes USA, Inc., 6.75%, due 03/15/25 144A

      302,250  
  1,800,000      

Beazer Homes USA, Inc., 8.75%, due 03/15/22 144A

      1,975,500  
  1,558,000      

Blackboard, Inc., 9.75%, due 10/15/21 144A

      1,565,790  
  600,000      

Block Communications, Inc., 6.88%, due 02/15/25 144A

      637,500  
  2,000,000      

BMC Software Finance, Inc., 8.13%, due 07/15/21‡ 144A

      2,025,000  
  900,000      

BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, due 04/15/22¤ †††

      544,500  
  2,400,000      

BWAY Holding Co., 7.25%, due 04/15/25†††† 144A

      2,406,000  
  15,000      

California Resources Corp., 5.50%, due 09/15/21

      11,175  
  36,000      

California Resources Corp., 6.00%, due 11/15/24

      25,380  
  1,293,000      

California Resources Corp., 8.00%, due 12/15/22 144A

      1,055,411  
  2,500,000      

Calpine Corp., 5.75%, due 01/15/25‡

      2,496,875  
  500,000      

Calumet Specialty Products Partners, LP/Calumet Finance Corp., 11.50%, due 01/15/21 144A

      580,000  
  1,000,000      

CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22

      1,040,000  
  1,400,000      

CCO Holdings LLC/CCO Holdings Capital Corp., 5.75%, due 02/15/26 144A

      1,473,500  
  1,200,000      

CDW LLC/CDW Finance Corp., 5.00%, due 09/01/25

      1,230,000  
  2,200,000      

Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A

      2,318,800  
  800,000      

Cemex Finance LLC, 9.38%, due 10/12/22 144A

      866,400  
  1,500,000      

Centene Corp., 4.75%, due 05/15/22

      1,548,750  
  2,200,000      

CenturyLink, Inc., 6.75%, due 12/01/23

      2,301,750  
  1,200,000   EUR     

CeramTec Group GmbH, 8.25%, due 08/15/21 144A

      1,368,668  
  538,009      

CHC Group LLC/CHC Finance, Ltd., 0.00%, due 09/15/20‡‡

      992,627  
  2,200,000   EUR     

Chemours Co. (The), 6.13%, due 05/15/23

      2,525,216  
  1,600,000      

Cheniere Corpus Christi Holdings LLC, 5.88%, due 03/31/25 144A

      1,674,000  
  900,000      

Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24 144A

      995,625  
  400,000      

CHS/Community Health Systems, Inc., 6.25%, due 03/31/23

      408,500  
  2,000,000      

CHS/Community Health Systems, Inc., 6.88%, due 02/01/22‡

      1,727,500  
  2,500,000      

CIT Group, Inc., 5.00%, due 08/01/23

      2,612,500  
  2,000,000      

Citigroup, Inc., 6.30%† †††††

      2,087,500  
  200,000      

Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22

      209,000  
  800,000      

Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20

      809,000  
  2,400,000      

Cloud Crane LLC, 10.13%, due 08/01/24 144A

      2,568,000  

 

   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)

March 31, 2017

 

Par Value**          Description    Value ($)  
   

Corporate Debt — continued

   
  2,000,000      

CNH Industrial Capital LLC, 3.88%, due 10/15/21

      2,006,020  
  2,500,000      

CommScope Technologies LLC, 6.00%, due 06/15/25 144A

      2,631,250  
  2,400,000      

Concordia Healthcare Corp., 7.00%, due 04/15/23‡ 144A

      474,000  
  300,000      

Concordia International Corp., 9.00%, due 04/01/22‡ 144A

      217,875  
  1,000,000      

CONSOL Energy, Inc., 5.88%, due 04/15/22

      993,750  
  900,000      

CONSOL Energy, Inc., 8.00%, due 04/01/23

      950,625  
  1,300,000   EUR     

Cott Corp., 5.50%, due 07/01/24 144A

      1,470,294  
  1,000,000      

Cott Holdings, Inc., 5.50%, due 04/01/25 144A

      1,020,300  
  800,000      

Crestwood Midstream Partners, LP/Crestwood Midstream Finance Corp., 5.75%, due 04/01/25 144A

      819,000  
  1,500,000      

Crestwood Midstream Partners, LP/Crestwood Midstream Finance Corp., 6.25%, due 04/01/23

      1,563,750  
  500,000      

CSC Holdings LLC, 6.75%, due 11/15/21

      543,438  
  2,000,000      

CSC Holdings LLC, 10.88%, due 10/15/25 144A

      2,410,000  
  300,000      

CSI Compressco, LP/Compressco Finance, Inc., 7.25%, due 08/15/22

      286,500  
  2,000,000      

CVR Partners, LP/CVR Nitrogen Finance Corp., 9.25%, due 06/15/23‡ 144A

      2,060,000  
  2,000,000      

DaVita, Inc., 5.13%, due 07/15/24

      2,023,750  
  300,000      

Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.88%, due 06/15/21 144A

      315,490  
  300,000      

Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.13%, due 06/15/24 144A

      331,813  
  1,000,000      

Digicel Group, Ltd., 7.13%, due 04/01/22 144A

      782,500  
  1,500,000      

Digicel, Ltd., 6.00%, due 04/15/21 144A

      1,370,625  
  1,800,000      

DISH DBS Corp., 5.00%, due 03/15/23

      1,813,500  
  700,000      

DISH DBS Corp., 5.88%, due 11/15/24

      737,800  
  1,000,000      

Dynegy, Inc., 7.63%, due 11/01/24‡

      960,000  
  1,900,000      

Dynegy, Inc., 8.00%, due 01/15/25‡ 144A

      1,828,750  
  800,000      

Eldorado Gold Corp., 6.13%, due 12/15/20 144A

      824,000  
  500,000      

Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 07/15/23‡ 144A

      440,000  
  1,500,000      

Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 02/01/25 144A

      1,286,250  
  2,000,000      

Energy Transfer Equity, LP, 7.50%, due 10/15/20

      2,240,000  
  1,042,280      

EnQuest Plc, Reg S, 7.00%, due 10/15/23‡‡‡ 144A

      814,281  
  1,500,000      

Equinix, Inc., 5.38%, due 04/01/23

      1,569,375  
  100,000      

Escrow GCB Penn Virginia Corp., 8.50%, due 05/01/20**** †††

      —  
  9,280,000,000   IDR     

European Investment Bank, Reg S, 6.95%, due 02/06/20‡‡‡

      702,259  
  24,240,000,000   IDR     

European Investment Bank, Reg S, 7.20%, due 07/09/19‡‡‡

      1,848,856  
  8,150,000   ZAR     

European Investment Bank, Reg S, 8.50%, due 09/17/24‡‡‡

      602,755  
  300,000      

Ferrellgas Partners, LP/Ferrellgas Partners Finance Corp., 8.63%, due 06/15/20 144A

      288,750  
  1,500,000      

Ferrellgas, LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23

      1,417,500  
  2,500,000      

Fiat Chrysler Automobiles NV, 4.50%, due 04/15/20‡

      2,559,375  
  649,000,000   COP     

Financiera de Desarrollo Territorial SA Findeter, Reg S, 7.88%, due 08/12/24‡‡‡

      220,118  
  2,200,000      

First Data Corp., 5.75%, due 01/15/24 144A

      2,277,550  
  500,000      

First Data Corp., 7.00%, due 12/01/23 144A

      537,500  
  2,000,000      

First Quantum Minerals, Ltd., 7.00%, due 02/15/21 144A

      2,070,000  
  400,000      

First Quantum Minerals, Ltd., 7.25%, due 04/01/23 144A

      405,500  
  400,000   EUR     

Galapagos Holding SA, 7.00%, due 06/15/22 144A

      376,437  
  449,000   EUR     

Galapagos SA/Luxembourg, 5.38%, due 06/15/21 144A

      482,174  
  1,500,000      

Goodyear Tire & Rubber Co. (The), 5.00%, due 05/31/26

      1,541,250  
  500,000      

Goodyear Tire & Rubber Co. (The), 5.13%, due 11/15/23

      521,563  
  700,000      

Grinding Media, Inc./MC Grinding Media Canada, Inc., 7.38%, due 12/15/23 144A

      736,750  
  1,500,000   EUR     

Hanesbrands Finance Luxembourg SCA, 3.50%, due 06/15/24 144A

      1,645,860  
  2,000,000      

Hanesbrands, Inc., 4.88%, due 05/15/26 144A

      1,975,000  

 

98    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value**          Description    Value ($)  
   

Corporate Debt — continued

   
  2,500,000      

HCA, Inc., 5.00%, due 03/15/24

      2,628,125  
  2,000,000      

Horizon Pharma Financing, Inc., 6.63%, due 05/01/23‡

      1,970,000  
  400,000      

Horizon Pharma, Inc./Horizon Pharma USA, Inc., 8.75%, due 11/01/24 144A

      418,500  
  400,000      

Hughes Satellite Systems Corp., 6.63%, due 08/01/26 144A

      410,000  
  1,000,000      

iHeartCommunications, Inc., 9.00%, due 03/01/21

      763,750  
  500,000      

iHeartCommunications, Inc., 9.00%, due 09/15/22

      377,500  
  2,000,000   EUR     

Infor US, Inc., 5.75%, due 05/15/22

      2,209,583  
  900,000      

Infor US, Inc., 6.50%, due 05/15/22

      929,340  
  700,000   EUR     

Inovyn Finance Plc, 6.25%, due 05/15/21 144A

      791,044  
  2,500,000      

Intelsat Jackson Holdings SA, 5.50%, due 08/01/23

      2,075,000  
  8,860,000,000   IDR     

Inter-American Development Bank, 7.35%, due 09/12/18

      674,099  
  2,500,000      

InterGen NV, 7.00%, due 06/30/23 144A

      2,250,000  
  1,500,000      

International Game Technology Plc, 6.25%, due 02/15/22 144A

      1,608,750  
  1,300,000      

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, due 08/01/23 144A

      1,358,500  
  2,000,000      

JBS USA LUX SA/JBS USA Finance, Inc., 5.88%, due 07/15/24 144A

      2,070,000  
  1,000,000      

JPMorgan Chase & Co., 5.00%† †††††

      1,012,500  
  1,500,000      

JPMorgan Chase & Co., 6.00%† †††††

      1,567,950  
  545,527      

K2016470219 South Africa, Ltd., 3.00%, due 12/31/22 144A

      70,018  
  78,795      

K2016470260 South Africa, Ltd., 25.00%, due 12/31/22 144A

      106,767  
  1,000,000      

KB Home, 7.50%, due 09/15/22

      1,102,500  
  1,000,000      

Lamb Weston Holdings, Inc., 4.63%, due 11/01/24 144A

      1,022,500  
  1,000,000      

Lamb Weston Holdings, Inc., 4.88%, due 11/01/26 144A

      1,022,500  
  600,000   EUR     

Lincoln Finance, Ltd., 6.88%, due 04/15/21 144A

      687,774  
  900,000      

Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21

      913,500  
  500,000   EUR     

Matterhorn Telecom Holding SA, 4.88%, due 05/01/23 144A

      535,109  
  1,300,000   EUR     

Matterhorn Telecom SA, 3.88%, due 05/01/22 144A

      1,411,293  
  600,000      

Microsemi Corp., 9.13%, due 04/15/23 144A

      692,250  
  1,000,000      

Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21**** ¤

      —  
  2,000,000      

Millicom International Cellular SA, 6.63%, due 10/15/21 144A

      2,102,400  
  400,000      

MPH Acquisition Holdings LLC, 7.13%, due 06/01/24 144A

      431,050  
  1,000,000      

MPT Operating Partnership, LP/MPT Finance Corp. REIT, 5.25%, due 08/01/26

      990,000  
  600,000      

MSCI, Inc., 4.75%, due 08/01/26 144A

      607,500  
  800,000      

Murray Energy Corp., 11.25%, due 04/15/21 144A

      622,000  
  800,000      

Navient Corp., 6.63%, due 07/26/21

      830,000  
  2,500,000      

Navient Corp., 7.25%, due 09/25/23

      2,525,000  
  2,000,000      

Netflix, Inc., 5.88%, due 02/15/25

      2,155,000  
  1,700,000   EUR     

NEW Areva Holding SA, Reg S, 3.13%, due 03/20/23‡‡‡

      1,744,141  
  700,000      

Nexstar Broadcasting, Inc., 5.63%, due 08/01/24 144A

      712,250  
  1,500,000      

NOVA Chemicals Corp., 5.00%, due 05/01/25 144A

      1,530,000  
  1,200,000      

Novelis Corp., 5.88%, due 09/30/26 144A

      1,228,500  
  1,400,000      

Novelis Corp., 6.25%, due 08/15/24 144A

      1,463,000  
  1,000,000      

NRG Yield Operating LLC, 5.38%, due 08/15/24

      1,020,000  
  2,000,000      

Owens-Brockway Glass Container, Inc., 5.00%, due 01/15/22 144A

      2,065,000  
  1,100,000      

Park Aerospace Holdings, Ltd., 5.25%, due 08/15/22 144A

      1,148,125  
  1,100,000      

Park Aerospace Holdings, Ltd., 5.50%, due 02/15/24 144A

      1,146,750  
  1,500,000      

Petrobras Global Finance BV, 5.38%, due 01/27/21

      1,543,500  
  61,562,400   MXN     

Petroleos Mexicanos, Reg S, 7.19%, due 09/12/24‡‡‡

      2,899,300  
  300,000      

Platform Specialty Products Corp., 10.38%, due 05/01/21 144A

      334,500  
  900,000   EUR     

Play Topco SA, 5.38%, due 09/15/22 144A

      962,118  

 

   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)

March 31, 2017

 

Par Value**          Description    Value ($)  
   

Corporate Debt — continued

   
  2,000,000      

Post Holdings, Inc., 5.00%, due 08/15/26 144A

      1,920,000  
  400,000      

Post Holdings, Inc., 5.50%, due 03/01/25 144A

      404,000  
  1,000,000   EUR     

PSPC Escrow Corp., 6.00%, due 02/01/23 144A

      1,104,177  
  2,000,000      

PulteGroup, Inc., 5.00%, due 01/15/27

      2,007,500  
  1,400,000      

QEP Resources, Inc., 5.25%, due 05/01/23

      1,379,546  
  2,000,000      

Qorvo, Inc., 7.00%, due 12/01/25

      2,220,000  
  1,000,000   EUR     

Quintiles IMS, Inc., 3.25%, due 03/15/25 144A

      1,065,026  
  1,000,000      

Radio One, Inc., 9.25%, due 02/15/20‡ 144A

      970,000  
  1,500,000   EUR     

Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A

      1,664,487  
  400,000      

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.13%, due 07/15/23 144A

      411,500  
  700,000      

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, due 10/15/20

      721,007  
  200,000      

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 7.00%, due 07/15/24‡ 144A

      214,500  
  2,000,000      

Sabine Pass Liquefaction LLC, 5.00%, due 03/15/27 144A

      2,094,774  
  500,000      

Sabine Pass Liquefaction LLC, 5.63%, due 04/15/23

      543,123  
  1,000,000      

Sanchez Energy Corp., 6.13%, due 01/15/23‡

      932,500  
  1,300,000   EUR     

Schoeller Allibert Group, 8.00%, due 10/01/21 144A

      1,496,194  
  800,000   EUR     

Sealed Air Corp., 4.50%, due 09/15/23 144A

      951,696  
  600,000   EUR     

SIG Combibloc Holdings SCA, 7.75%, due 02/15/23 144A

      686,571  
  2,000,000      

Sprint Communications, Inc., 6.00%, due 11/15/22

      2,050,000  
  1,500,000      

Sprint Corp., 7.13%, due 06/15/24

      1,605,000  
  500,000      

Sprint Corp., 7.63%, due 02/15/25‡

      547,500  
  300,000      

Steel Dynamics, Inc., 5.13%, due 10/01/21

      310,875  
  1,000,000      

Steel Dynamics, Inc., 5.50%, due 10/01/24

      1,047,500  
  800,000      

Symantec Corp., 5.00%, due 04/15/25 144A

      821,250  
  1,300,000      

T-Mobile USA, Inc., 6.00%, due 04/15/24

      1,389,375  
  1,700,000      

T-Mobile USA, Inc., 6.38%, due 03/01/25

      1,836,000  
  2,600,000      

Talen Energy Supply LLC, 6.50%, due 06/01/25‡

      2,216,500  
  1,800,000      

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, due 03/01/24 144A

      1,872,000  
  500,000      

Tenet Healthcare Corp., 5.00%, due 03/01/19

      503,265  
  200,000      

Tenet Healthcare Corp., 7.50%, due 01/01/22‡ 144A

      216,500  
  1,800,000      

Tenet Healthcare Corp., 8.13%, due 04/01/22

      1,887,750  
  700,000      

Terex Corp., 5.63%, due 02/01/25 144A

      711,375  
  1,200,000   GBP     

Tesco Plc, 6.13%, due 02/24/22

      1,731,517  
  2,000,000      

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, due 10/01/20¤ †††

      25,000  
  1,000,000      

TransDigm, Inc., 6.50%, due 07/15/24

      1,016,250  
  1,800,000      

TransDigm, Inc., 6.50%, due 05/15/25

      1,820,250  
  2,880,000   ZAR     

Transnet SOC, Ltd., Reg S, 9.50%, due 05/13/21‡‡‡

      206,676  
  800,000      

Triangle USA Petroleum Corp., 6.75%, due 07/15/22††† 144A

      236,000  
  2,500,000      

United Rentals North America, Inc., 5.88%, due 09/15/26

      2,615,625  
  800,000   EUR     

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, due 01/15/25 144A

      891,470  
  810,000   EUR     

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, due 01/15/23 144A

      915,287  
  500,000      

Univar USA, Inc., 6.75%, due 07/15/23 144A

      521,250  
  1,600,000   EUR     

UPCB Finance IV, Ltd., 4.00%, due 01/15/27 144A

      1,747,730  

 

100    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value**          Description    Value ($)  
   

Corporate Debt — continued

   
  1,000,000      

Valeant Pharmaceuticals International, Inc., 5.50%, due 03/01/23 144A

      775,000  
  1,000,000      

Valeant Pharmaceuticals International, Inc., 5.63%, due 12/01/21 144A

      810,000  
  600,000      

Valeant Pharmaceuticals International, Inc., 6.13%, due 04/15/25‡ 144A

      464,250  
  200,000      

Valeant Pharmaceuticals International, Inc., 7.00%, due 03/15/24 144A

      205,750  
  900,000      

Valvoline, Inc., 5.50%, due 07/15/24 144A

      947,250  
  2,400,000      

Vertiv Group Corp., 9.25%, due 10/15/24 144A

      2,580,000  
  450,000   GBP     

Virgin Media Secured Finance Plc, 5.50%, due 01/15/25 144A

      591,541  
  900,000      

Weatherford International, Ltd., 7.75%, due 06/15/21

      973,125  
  1,100,000      

Weatherford International, Ltd., 8.25%, due 06/15/23‡

      1,199,000  
  1,300,000      

WellCare Health Plans, Inc., 5.25%, due 04/01/25

      1,333,540  
  2,000,000      

Western Digital Corp., 10.50%, due 04/01/24

      2,362,500  
  1,200,000   EUR     

Wind Acquisition Finance SA, 4.00%, due 07/15/20 144A

      1,305,978  
  700,000   EUR     

Wind Acquisition Finance SA, 7.00%, due 04/23/21 144A

      777,621  
  1,349,000      

WMG Acquisition Corp., 5.63%, due 04/15/22 144A

      1,401,274  
  1,400,000      

WPX Energy, Inc., 8.25%, due 08/01/23‡

      1,564,500  
  1,200,000      

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 03/01/25‡ 144A

      1,222,500  
  1,300,000      

Wynn Macau, Ltd., 5.25%, due 10/15/21 144A

      1,329,250  
  1,300,000   EUR     

XPO Logistics, Inc., 5.75%, due 06/15/21 144A

      1,459,525  
  1,200,000      

XPO Logistics, Inc., 6.13%, due 09/01/23 144A

      1,252,500  
  600,000      

Zayo Group LLC/Zayo Capital, Inc., 5.75%, due 01/15/27 144A

      634,380  
  1,900,000   EUR     

Ziggo Secured Finance BV, 4.25%, due 01/15/27 144A

      2,125,036  
      

 

 

  
         257,645,081  
      

 

 

  
   

Sovereign Debt Obligations — 49.3%

   
  5,852,400   ARS     

Argentina Bonar Bonds, 22.81%, due 03/01/18†

      390,779  
  15,295,164   ARS     

Argentina Bonar Bonds, 23.31%, due 03/01/20†

      1,094,466  
  1,653,420   ARS     

Argentina Bonar Bonds, 24.26%, due 10/09/17†

      109,316  
  6,962,000   BRL     

Brazil Letras do Tesouro Nacional, 9.39%, due 01/01/18‡‡

      2,045,336  
  54,580,000   BRL     

Brazil Letras do Tesouro Nacional, 9.39%, due 01/01/19‡‡

      14,687,494  
  20,000,000   BRL     

Brazil Letras do Tesouro Nacional, 10.04%, due 01/01/20‡‡

      4,890,647  
  26,000,000   BRL     

Brazil Letras do Tesouro Nacional, 10.38%, due 07/01/20‡‡

      6,053,272  
  1,758,000   BRL     

Brazil Notas do Tesouro Nacional Series B, 17.89%, due 05/15/35

      1,808,314  
  462,000   BRL     

Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/19

      146,796  
  21,186,000   BRL     

Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/21

      6,721,269  
  9,814,000   BRL     

Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/23

      3,104,116  
  10,720,000   BRL     

Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/25

      3,379,604  
  1,505,000   BRL     

Brazil Notas do Tesouro Nacional Series F, 10.00%, due 01/01/27

      473,591  
  7,264,900,000   COP     

Colombian TES, 6.00%, due 04/28/28

      2,373,550  
  11,344,500,000   COP     

Colombian TES, 7.00%, due 05/04/22

      4,070,267  
  845,000,000   COP     

Colombian TES, 7.50%, due 08/26/26

      309,559  
  2,113,000,000   COP     

Colombian TES, 7.75%, due 09/18/30

      792,754  
  24,545,800,000   COP     

Colombian TES, 10.00%, due 07/24/24

      10,194,556  
  8,395,800,000   COP     

Colombian TES, 11.00%, due 07/24/20

      3,337,417  
  529,410,000   HUF     

Hungary Government Bond, 3.00%, due 06/26/24

      1,855,807  
  448,500,000   HUF     

Hungary Government Bond, 3.00%, due 10/27/27

      1,516,217  
  44,848,000,000   IDR     

Indonesia Treasury Bond, 5.63%, due 05/15/23

      3,157,430  
  8,900,000,000   IDR     

Indonesia Treasury Bond, 6.13%, due 05/15/28

      603,411  
  15,988,000,000   IDR     

Indonesia Treasury Bond, 6.63%, due 05/15/33

      1,088,631  
  43,162,000,000   IDR     

Indonesia Treasury Bond, 7.00%, due 05/15/22

      3,266,585  

 

   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)

March 31, 2017

 

Par Value**          Description    Value ($)  
   

Sovereign Debt Obligations — continued

   
  3,300,000,000   IDR     

Indonesia Treasury Bond, 7.00%, due 05/15/27

      247,645  
  8,113,000,000   IDR     

Indonesia Treasury Bond, 8.25%, due 05/15/36

      646,402  
  108,663,000,000   IDR     

Indonesia Treasury Bond, 8.38%, due 03/15/24

      8,700,167  
  86,688,000,000   IDR     

Indonesia Treasury Bond, 8.38%, due 09/15/26

      7,081,152  
  50,513,000,000   IDR     

Indonesia Treasury Bond, 8.38%, due 03/15/34

      4,025,726  
  32,136,000,000   IDR     

Indonesia Treasury Bond, 8.75%, due 05/15/31

      2,679,909  
  33,162,000,000   IDR     

Indonesia Treasury Bond, 9.00%, due 03/15/29

      2,765,328  
  3,006,000,000   IDR     

Indonesia Treasury Bond, 10.50%, due 08/15/30

      281,980  
  645,000,000   IDR     

Indonesia Treasury Bond, 12.80%, due 06/15/21

      58,666  
  120,000   MYR     

Malaysia Government Bond, 3.48%, due 03/15/23

      26,391  
  1,497,000   MYR     

Malaysia Government Bond, 3.49%, due 03/31/20

      336,130  
  1,059,000   MYR     

Malaysia Government Bond, 3.58%, due 09/28/18

      239,796  
  35,132,000   MYR     

Malaysia Government Bond, 3.62%, due 11/30/21

      7,855,691  
  1,497,000   MYR     

Malaysia Government Bond, 3.66%, due 10/15/20

      337,474  
  3,763,000   MYR     

Malaysia Government Bond, 3.76%, due 03/15/19

      854,557  
  9,387,000   MYR     

Malaysia Government Bond, 3.80%, due 08/17/23

      2,093,480  
  999,000   MYR     

Malaysia Government Bond, 3.89%, due 03/15/27

      216,035  
  3,108,000   MYR     

Malaysia Government Bond, 3.90%, due 11/30/26

      688,408  
  8,779,000   MYR     

Malaysia Government Bond, 3.96%, due 09/15/25

      1,950,936  
  4,915,000   MYR     

Malaysia Government Bond, 4.07%, due 09/30/26

      1,095,005  
  174,000   MYR     

Malaysia Government Bond, 4.16%, due 07/15/21

      39,818  
  16,055,000   MYR     

Malaysia Government Bond, 4.18%, due 07/15/24

      3,642,524  
  2,939,000   MYR     

Malaysia Government Bond, 4.25%, due 05/31/35

      632,840  
  12,774,000   MYR     

Malaysia Government Bond, 4.38%, due 11/29/19

      2,938,975  
  1,068,000   MYR     

Malaysia Government Bond, 4.39%, due 04/15/26

      244,077  
  155,459,700   MXN     

Mexican Bonos, 6.50%, due 06/10/21

      8,158,804  
  76,803,800   MXN     

Mexican Bonos, 6.50%, due 06/09/22

      4,006,579  
  18,283,700   MXN     

Mexican Bonos, 7.50%, due 06/03/27

      998,824  
  79,673,500   MXN     

Mexican Bonos, 7.75%, due 05/29/31

      4,400,748  
  85,200,700   MXN     

Mexican Bonos, 7.75%, due 11/23/34

      4,686,680  
  25,260,000   MXN     

Mexican Bonos, 8.00%, due 06/11/20

      1,385,969  
  26,604,600   MXN     

Mexican Bonos, 8.50%, due 12/13/18

      1,453,650  
  7,197,300   MXN     

Mexican Bonos, 8.50%, due 05/31/29

      422,499  
  94,242,800   MXN     

Mexican Bonos, 10.00%, due 12/05/24

      5,891,329  
  96,293,300   MXN     

Mexican Bonos, 10.00%, due 11/20/36

      6,466,744  
  6,096,000   PEN     

Peru Government Bond, 6.85%, due 02/12/42

      1,974,457  
  8,602,000   PEN     

Peru Government Bond, 6.90%, due 08/12/37

      2,834,542  
  4,050,000   PEN     

Peruvian Government International Bond, Reg S, 5.70%, due 08/12/24‡‡‡

      1,273,995  
  5,543,000   PEN     

Peruvian Government International Bond, Reg S, 6.35%, due 08/12/28‡‡‡

      1,736,902  
  6,804,000   PEN     

Peruvian Government International Bond, Reg S, 6.95%, due 08/12/31‡‡‡

      2,250,122  
  1,937,000   PEN     

Peruvian Government International Bond, Reg S, 7.84%, due 08/12/20‡‡‡

      654,620  
  4,435,000   PEN     

Peruvian Government International Bond, Reg S, 8.20%, due 08/12/26‡‡‡

      1,610,977  
  2,030,000   PLN     

Poland Government Bond, 1.50%, due 04/25/20

      500,333  
  1,488,000   PLN     

Poland Government Bond, 1.75%, due 07/25/21

      361,414  
  11,821,000   PLN     

Poland Government Bond, 2.50%, due 07/25/26

      2,780,297  
  1,197,000   PLN     

Poland Government Bond, 2.50%, due 07/25/27

      277,773  
  8,457,000   PLN     

Poland Government Bond, 3.25%, due 07/25/25

      2,130,606  
  12,850,000   PLN     

Poland Government Bond, 5.25%, due 10/25/20

      3,549,525  
  1,339,000   PLN     

Poland Government Bond, 5.50%, due 10/25/19

      365,921  
  9,965,000   RON     

Romania Government Bond, 3.50%, due 12/19/22

      2,392,792  

 

102    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Par Value**          Description    Value ($)  
   

Sovereign Debt Obligations — continued

   
  12,025,000   RON     

Romania Government Bond, 4.75%, due 02/24/25

      3,052,615  
  1,650,000   RON     

Romania Government Bond, 5.80%, due 07/26/27

      450,874  
  9,090,000   RON     

Romania Government Bond, 5.85%, due 04/26/23

      2,450,284  
  33,000,000   RUB     

Russian Federal Bond - OFZ, 5.00%, due 08/08/18††

      568,256  
  83,002,000   RUB     

Russian Federal Bond - OFZ, 6.20%, due 01/31/18

      1,441,421  
  224,750,000   RUB     

Russian Federal Bond - OFZ, 6.70%, due 05/15/19

      3,888,275  
  142,470,000   RUB     

Russian Federal Bond - OFZ, 7.00%, due 08/16/23

      2,424,892  
  42,950,000   RUB     

Russian Federal Bond - OFZ, 7.05%, due 01/19/28

      718,852  
  6,960,000   RUB     

Russian Federal Bond - OFZ, 7.50%, due 03/15/18

      122,445  
  67,880,000   RUB     

Russian Federal Bond - OFZ, 7.50%, due 02/27/19

      1,194,509  
  297,842,000   RUB     

Russian Federal Bond - OFZ, 7.75%, due 09/16/26

      5,262,544  
  288,962,000   RUB     

Russian Federal Bond - OFZ, 8.50%, due 09/17/31

      5,365,167  
  20,000,000   RUB     

Russian Foreign Bond - Eurobond, Reg S, 7.85%, due 03/10/18‡‡‡

      351,124  
  76,463,982   ZAR     

South Africa Government Bond, 6.75%, due 03/31/21

      5,487,757  
  55,828,190   ZAR     

South Africa Government Bond, 8.00%, due 01/31/30

      3,781,811  
  82,221,611   ZAR     

South Africa Government Bond, 8.25%, due 03/31/32

      5,569,344  
  22,017,451   ZAR     

South Africa Government Bond, 8.88%, due 02/28/35

      1,547,433  
  69,891,449   ZAR     

South Africa Government Bond, 10.50%, due 12/21/26

      5,768,537  
  108,299,000   THB     

Thailand Government Bond, 2.13%, due 12/17/26

      3,004,842  
  129,224,000   THB     

Thailand Government Bond, 3.63%, due 06/16/23

      4,050,923  
  22,191,000   THB     

Thailand Government Bond, 3.85%, due 12/12/25

      710,024  
  119,810,000   THB     

Thailand Government Bond, 3.88%, due 06/13/19

      3,656,714  
  1,717,000   THB     

Thailand Government Bond, 4.68%, due 06/29/44

      60,878  
  74,034,000   THB     

Thailand Government Bond, 4.88%, due 06/22/29

      2,588,849  
  48,654,678   THB     

Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡

      1,330,377  
  8,186,000   TRY     

Turkey Government Bond, 7.40%, due 02/05/20

      2,056,812  
  4,165,394   TRY     

Turkey Government Bond, 8.00%, due 03/12/25

      981,398  
  11,644,741   TRY     

Turkey Government Bond, 8.30%, due 06/20/18

      3,102,685  
  3,885,833   TRY     

Turkey Government Bond, 8.50%, due 07/10/19

      1,017,168  
  1,710,885   TRY     

Turkey Government Bond, 8.50%, due 09/14/22

      425,888  
  1,831,712   TRY     

Turkey Government Bond, 8.80%, due 11/14/18

      487,045  
  19,897,174   TRY     

Turkey Government Bond, 9.00%, due 07/24/24

      5,015,750  
  5,549,857   TRY     

Turkey Government Bond, 9.20%, due 09/22/21

      1,434,460  
  3,832,000   TRY     

Turkey Government Bond, 9.50%, due 01/12/22

      1,000,709  
  10,764,871   TRY     

Turkey Government Bond, 10.60%, due 02/11/26

      2,941,262  
  10,565,453   TRY     

Turkey Government Bond, 10.70%, due 02/17/21

      2,878,072  
      

 

 

  
         275,906,394  
      

 

 

  
   

TOTAL DEBT OBLIGATIONS (COST $543,003,086)

      533,551,475  
      

 

 

  
Shares          Description    Value ($)  
   

COMMON STOCKS — 0.7%

   
   

Diversified Financial Services — 0.0%

   
  7,396,155      

Edcon Holdings, Ltd. 1* **** ¤

      —  
  736,020      

Edcon Holdings, Ltd. 2* **** ¤

      —  
      

 

 

  
         —  
      

 

 

  
   

Electric — 0.1%

   
  34,251      

Vistra Energy Corp.

      558,291  
      

 

 

  

 

   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)

March 31, 2017

 

Shares          Description    Value ($)  
   

Oil & Gas — 0.6%

   
  19,687      

Energy XXI Gulf Coast, Inc.*

      590,019  
  43,602      

Goodrich Petroleum Corp.*

      595,603  
  73,737      

Halcon Resources Corp.* ¤ ‡

      567,775  
  49,395      

Linn Energy, Inc.*

      1,432,455  
  455      

Midstates Petroleum Co., Inc.*

      8,395  
  552      

Penn Virginia Corp.* ‡

      24,978  
  690      

Penn Virginia Corp. New* ****

      31,223  
      

 

 

  
         3,250,448  
      

 

 

  
   

Transportation — 0.0%

   
  11,563      

CHC Group LLC*

      164,773  
      

 

 

  
   

TOTAL COMMON STOCKS (COST $7,060,531)

      3,973,512  
      

 

 

  
   

WARRANTS — 0.0%

   
   

Oil & Gas — 0.0%

   
  3,095      

Energy XXI Gulf Coast, Inc. Strike Price $43.66, Expires 12/30/21*

      18,570  
  3,495      

Halcon Resources Corp. Strike Price $14.04, Expires 09/09/20*

      6,256  
  3,224      

Midstates Petroleum Co., Inc. Strike Price $46.00, Expires 04/21/20* **** ¤

      —  
      

 

 

  
         24,826  
      

 

 

  
   

TOTAL WARRANTS (COST $86,597)

      24,826  
      

 

 

  
Par Value ($)          Description    Value ($)  
   

SHORT-TERM INVESTMENTS — 7.2%

   
   

Bank Deposit — 3.2%

   
  17,755,207      

State Street Bank & Trust Euro Time Deposit, 0.09%, due 04/03/17

      17,755,207  
      

 

 

  
   

Mutual Fund - Securities Lending Collateral — 4.0%

   
  22,260,085      

State Street Institutional U.S. Government Money Market Fund, Premier Class***

      22,260,085  
      

 

 

  
   

TOTAL SHORT-TERM INVESTMENTS (COST $40,015,292)

      40,015,292  
      

 

 

  
   

TOTAL INVESTMENTS — 103.3%

(Cost $590,165,506)

      577,565,105  
   

Other Assets and Liabilities (net) — (3.3)%

      (18,706,484 ) 
      

 

 

  
   

NET ASSETS — 100.0%

    $ 558,858,621  
      

 

 

  

 

104    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

   

Notes to Schedule of Investments:

   
    REIT — Real Estate Investment Trust   
  *   Non-income producing security   
  **   Unless otherwise indicated, all par values are denominated in United States dollars ($).   
  ***   Represents an investment of securities lending cash collateral.   
  ****   Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $31,223 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2017 was $106,289.   
  ¤   Illiquid security. The total market value of the securities at year end is $1,137,275 which represents 0.2% of net assets. The aggregate tax cost of these securities held at March 31, 2017 was $1,880,891.   
  †   Floating rate note. Rate shown is as of March 31, 2017.   
  ††   Debt obligation initially issued in zero coupon form which converts to coupon form at a specific rate and date. The rate shown is the rate at period end.   
  †††   Security is currently in default.   
  ††††   When-issued security.   
  †††††   Security is perpetual and has no stated maturity date.   
  ‡   All or a portion of this security is out on loan.   
  ‡‡   Interest rate presented is yield to maturity.   
  ‡‡‡   Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.   
    144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $133,911,777 which represents 24.0% of net assets.   

 

   See accompanying Notes to the Financial Statements.      105  

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2017

 

Forward Foreign Currency Contracts

 

Settlement
Date

          

Currency

   

Counterparty

   

Units of
Currency

     

Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  04/19/17         ARS   

Citibank N.A.

      32,307,999      $ 2,087,754      $ 130,278  
  05/17/17         ARS   

Citibank N.A.

      43,750,000        2,792,405        108,045  
  06/21/17         ARS   

Citibank N.A.

      39,400,000        2,475,393        33,679  
  06/22/17         ARS   

Citibank N.A.

      15,730,000        987,858        20,262  
  04/19/17         ARS   

JPMorgan Chase Bank N.A. London

      5,452,001        352,310        22,146  
  06/02/17         BRL   

JPMorgan Chase Bank N.A. London

      1,820,000        565,448        (8,322 ) 
  06/21/17         CLP   

Citibank N.A.

      1,450,910,000        2,183,766        3,585  
  06/21/17         COP   

Citibank N.A.

      10,125,130,000        3,461,737        101,913  
  06/21/17         COP   

HSBC Bank plc

      26,944,993,392        9,212,373        (2,741 ) 
  06/21/17         COP   

JPMorgan Chase Bank N.A. London

      2,686,010,000        918,335        33,760  
  05/18/17         EUR   

Citibank N.A.

      500,000        535,842        710  
  06/21/17         EUR   

Citibank N.A.

      3,675,600        3,945,743        (22,011 ) 
  05/18/17         EUR   

Deutsche Bank AG London

      4,000,000        4,286,739        (203,181 ) 
  06/21/17         EUR   

HSBC Bank plc

      464,400        498,532        3,908  
  05/18/17         GBP   

Deutsche Bank AG London

      1,222,000        1,529,613        (64,549 ) 
  06/21/17         HUF   

Barclays Bank Plc

      2,860,934,917        9,934,836        39,690  
  06/21/17         HUF   

JPMorgan Chase Bank N.A. London

      383,480,000        1,331,666        10,919  
  06/21/17         KRW   

Citibank N.A.

      12,280,400,000        10,991,271        (47,728 ) 
  06/21/17         MXN   

Goldman Sachs International

      32,730,000        1,717,288        61,436  
  06/21/17         PEN   

Citibank N.A.

      2,690,000        821,159        5,390  
  06/21/17         PEN   

Goldman Sachs International

      4,811,482        1,468,770        3,196  
  06/21/17         PHP   

Citibank N.A.

      66,800,000        1,326,731        12,287  
  06/21/17         PHP   

Standard Chartered Bank

      530,740,000        10,541,152        64,642  
  06/21/17         PLN   

Citibank N.A.

      4,580,000        1,155,233        29,389  
  06/21/17         PLN   

Goldman Sachs International

      17,100,000        4,313,206        105,655  
  06/21/17         PLN   

JPMorgan Chase Bank N.A. London

      4,710,000        1,188,024        29,577  
  06/22/17         PLN   

JPMorgan Chase Bank N.A. London

      2,570,000        648,240        (1,835 ) 
  06/21/17         PLN   

Standard Chartered Bank

      74,263,295        18,731,750        524,607  
  06/22/17         RUB   

Citibank N.A.

      36,450,000        635,332        10,118  
  06/21/17         RUB   

JPMorgan Chase Bank N.A. London

      330,380,624        5,759,787        183,037  
  06/21/17         THB   

Goldman Sachs International

      481,183,250        13,995,181        249,641  
  06/21/17         TRY   

Citibank N.A.

      30,704,659        8,244,177        (74,898 ) 
  06/21/17         TRY   

Goldman Sachs International

      1,860,000        499,409        (4,424 ) 
  06/21/17         TRY   

JPMorgan Chase Bank N.A. London

      3,210,000        861,882        27,852  
  06/21/17         ZAR   

Citibank N.A.

      49,220,000        3,621,726        (136,584 ) 
  06/21/17         ZAR   

Goldman Sachs International

      11,560,000        850,613        (21,214 ) 
  06/21/17         ZAR   

JPMorgan Chase Bank N.A. London

      54,159,959        3,985,220        (123,977 ) 
                 

 

 

  
                  $ 1,104,258  
                 

 

 

  
  Sales                    
  06/02/17         BRL   

Citibank N.A.

      35,892,547      $ 11,151,304      $ 222,571  
  06/21/17         CLP   

Citibank N.A.

      3,881,140,676        5,841,508        175,112  
  06/21/17         CLP   

JPMorgan Chase Bank N.A. London

      460,540,000        693,159        14,058  
  12/20/17         CNY   

Barclays Bank Plc

      103,864,000        14,880,353        (190,586 ) 
  12/20/17         CNY   

Citibank N.A.

      4,990,000        714,906        (7,205 ) 
  12/21/17         CNY   

Citibank N.A.

      7,410,000        1,061,571        (11,476 ) 

 

106    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2017

 

Forward Foreign Currency Contracts — continued

 

Settlement
Date

          

Currency

   

Counterparty

   

Units of
Currency

     

Value

     

Unrealized
Appreciation
(Depreciation)

  
  12/20/17         CNY   

Standard Chartered Bank

      4,430,000      $ 634,676      $ (5,816 ) 
  12/20/17         CNY   

UBS AG London

      5,160,000        739,261        (16,461 ) 
  06/21/17         EUR   

Citibank N.A.

      5,250,000        5,635,855        (15,372 ) 
  06/21/17         EUR   

Goldman Sachs International

      963,210        1,034,002        (9,176 ) 
  06/21/17         IDR   

Citibank N.A.

      26,532,229,000        1,974,291        (2,221 ) 
  06/21/17         KRW   

Citibank N.A.

      12,339,400,001        11,044,077        (127,925 ) 
  06/21/17         KRW   

JPMorgan Chase Bank N.A. London

      723,120,000        647,211        (17,315 ) 
  06/21/17         MXN   

Citibank N.A.

      60,430,000        3,170,661        (165,677 ) 
  06/21/17         MXN   

Goldman Sachs International

      52,110,000        2,734,125        (120,818 ) 
  06/21/17         MXN   

JPMorgan Chase Bank N.A. London

      93,930,000        4,928,350        (1,152 ) 
  06/22/17         RON   

Citibank N.A.

      2,420,000        569,502        4,026  
  09/20/17         RON   

Citibank N.A.

      3,610,000        850,850        (3,472 ) 
  06/21/17         RUB   

Citibank N.A.

      731,550,000        12,753,691        (440,097 ) 
  06/21/17         RUB   

Goldman Sachs International

      170,030,000        2,964,268        (117,863 ) 
  06/21/17         SGD   

Goldman Sachs International

      9,844,000        7,049,176        (40,320 ) 
  06/21/17         ZAR   

Citibank N.A.

      115,320,000        8,485,523           285,060  
  06/21/17         ZAR   

Goldman Sachs International

      40,470,000        2,977,880        129,994  
                 

 

 

  
                  $ (462,131 ) 
                 

 

 

  

Cross-Currency Forwards

 

Settlement
Date

          

Receive/Deliver

   

Counterparty

   

Contract Amount
Purchased

     

Contract Amount
Sold

     

Unrealized
Appreciation
(Depreciation)

  
  12/19/18         CZK/EUR   

JPMorgan Chase Bank N.A. London

      128,810,000        4,863,498      $ (33,804 ) 
  09/20/17         EUR/RON   

Goldman Sachs International

      7,969,282        36,242,722        53,622  
  09/20/17         EUR/RON   

JPMorgan Chase Bank N.A. London

      460,040        2,083,476        5,145  
                 

 

 

  
                  $ 24,963  
                 

 

 

  

 

   See accompanying Notes to the Financial Statements.      107  

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2017

 

Currency Abbreviations

 

ARS — Argentine Peso
BRL — Brazilian Real
CLP — Chilean Peso
CNY — Chinese Yuan
COP — Colombian Peso
CZK — Czech Koruna
EUR — Euro Currency
GBP — British Pound Sterling
HUF — Hungarian Forint
IDR — Indonesian Rupiah
KRW — South Korean Won
MXN — Mexican Peso
MYR — Malaysian Ringgit
PEN — Peruvian Nouveau Sol
PHP — Philippines Peso
PLN — Polish Zloty
RON — New Romanian Leu
RUB — Russian Ruble
SGD — Singapore Dollar
THB — Thai Baht
TRY — New Turkish Lira
ZAR — South African Rand

Futures Contracts

 

Number of
Contracts

          

Type

       

Expiration Date

     

Contract
Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                   
  201        

South Africa Government Bond, Series R186

        May 2017      $ 1,715,856      $ (13,163 ) 
  39        

South Africa Government Bond, Series R2035

        May 2017        278,215        (4,419 ) 
  855        

South Africa Government Bond, Series R2037

        May 2017        5,871,436        (106,766 ) 
  105        

South Africa Government Bond, Series R207

        May 2017        791,336        3,358  
  253        

South Africa Government Bond, Series R208

        May 2017        1,828,825        11,790  
                

 

 

  
                 $ (109,200 ) 
                

 

 

  
  Sales                   
  3        

U.S. Treasury Note 10-Year

        June 2017      $ 373,688      $ (240 ) 
                

 

 

  

 

108    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2017

 

Asset Class Summary (Unaudited)    % of Net Assets

Sovereign Debt Obligations

        49.3

Corporate Debt

        46.1

Common Stocks

        0.7

Forward Foreign Currency Contracts

        0.1

Warrants

        0.0

Futures Contracts

        0.0

Short-Term Investments

        7.2

Other Assets and Liabilities (net)

        (3.4 )
    

 

 

  
       100.0 %
    

 

 

  

 

   See accompanying Notes to the Financial Statements.      109  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

COMMON STOCKS — 88.5%

   
   

Austria — 0.2%

   
  50,564      

Erste Group Bank AG*

      1,650,814  
  75,613      

Raiffeisen Bank International AG*

      1,710,844  
      

 

 

  
   

Total Austria

      3,361,658  
      

 

 

  
   

Bermuda — 1.2%

   
  346,627      

Cosan, Ltd. Class A

      2,960,194  
  54,265      

Credicorp, Ltd.

      8,861,474  
  3,910,000      

GOME Electrical Appliances Holding, Ltd.

      533,308  
  22,900      

Jardine Matheson Holdings, Ltd.

      1,471,325  
  2,501,000      

Nine Dragons Paper Holdings, Ltd.

      2,687,171  
  8,268,000      

SMI Holdings Group, Ltd.

      787,277  
      

 

 

  
   

Total Bermuda

      17,300,749  
      

 

 

  
   

Brazil — 4.5%

   
  44,900      

AES Tiete Energia SA

      193,745  
  356,900      

AMBEV SA

      2,050,381  
  590,441      

AMBEV SA, ADR

      3,400,940  
  931,159      

Banco Bradesco SA, ADR

      9,535,068  
  716,467      

Banco do Brasil SA

      7,620,621  
  115,462      

Banco Santander Brasil SA, ADR‡

      1,018,375  
  540,800      

BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros

      3,285,731  
  937,714      

CCR SA

      5,331,025  
  153,500      

Centrais Eletricas Brasileiras SA*

      826,737  
  84,705      

Cia de Saneamento Basico do Estado de Sao Paulo, ADR

      881,779  
  235,200      

Cielo SA

      2,097,202  
  273,200      

Cosan SA Industria e Comercio

      3,343,848  
  21,100      

Equatorial Energia SA

      390,705  
  100,500      

Fleury SA

      1,338,966  
  238,900      

Hypermarcas SA

      2,182,113  
  128,400      

Iguatemi Empresa de Shopping Centers SA

      1,326,484  
  264,785      

Itau Unibanco Holding SA, ADR

      3,195,955  
  1,187,414      

JBS SA

      3,818,484  
  47,000      

Klabin SA

      224,271  
  151,300      

Kroton Educacional SA

      632,849  
  100,000      

Localiza Rent a Car SA

      1,312,462  
  211,100      

Lojas Renner SA

      1,848,401  
  12,700      

M Dias Branco SA

      511,208  
  135,800      

Porto Seguro SA

      1,215,162  
  178,400      

Qualicorp SA

      1,160,321  
  129,100      

Raia Drogasil SA

      2,385,643  
  203,474      

Sul America SA

      1,069,620  
  6,171      

Tim Participacoes SA, ADR

      98,612  
  197,000      

Ultrapar Participacoes SA

      4,443,894  
  116,800      

WEG SA

      640,111  
      

 

 

  
   

Total Brazil

      67,380,713  
      

 

 

  

 

110    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

British Virgin Islands — 0.1%

   
  70,599      

Mail.Ru Group, Ltd. (London Exchange), Reg S, GDR* ‡‡‡

      1,560,238  
  8,063      

Mail.Ru Group, Ltd., Reg S, GDR* ‡‡‡

      178,192  
      

 

 

  
   

Total British Virgin Islands

      1,738,430  
      

 

 

  
   

Cayman Islands — 9.1%

   
  5,561      

58.com, Inc., ADR* ‡

      196,804  
  280,495      

Alibaba Group Holding, Ltd., ADR*

      30,245,776  
  19,813      

Baidu, Inc., ADR*

      3,418,139  
  3,974,000      

Belle International Holdings, Ltd.

      2,582,346  
  248,942      

Bizlink Holding, Inc.

      1,415,259  
  72,000      

Casetek Holdings, Ltd.

      239,664  
  1,023,000      

Chailease Holding Co., Ltd.

      2,390,400  
  1,184,500      

China Conch Venture Holdings, Ltd.

      2,325,866  
  923,000      

China Evergrande Group‡

      855,124  
  21,687      

China Lodging Group, Ltd., ADR*

      1,345,678  
  1,514,000      

China Medical System Holdings, Ltd.

      2,684,542  
  488,000      

China Resources Land, Ltd.

      1,318,664  
  431,000      

Country Garden Holdings Co., Ltd.

      387,659  
  69,782      

Ctrip.com International, Ltd., ADR* ‡

      3,429,785  
  3,835,000      

Geely Automobile Holdings, Ltd.

      5,872,290  
  136,100      

Gourmet Master Co., Ltd.

      1,287,326  
  50,741      

JD.com, Inc., ADR*

      1,578,552  
  3,896,652      

Lee & Man Paper Manufacturing, Ltd.

      2,978,333  
  35,354      

NetEase, Inc., ADR

      10,040,536  
  50,886      

New Oriental Education & Technology Group, Inc., ADR*

      3,072,497  
  1,806,000      

Shimao Property Holdings, Ltd.

      2,867,663  
  40,520      

Silicon Motion Technology Corp., ADR‡

      1,894,310  
  330,000      

Sunny Optical Technology Group Co., Ltd.

      2,411,890  
  27,961      

TAL Education Group, ADR*

      2,979,804  
  79,719      

Tarena International, Inc., ADR

      1,489,151  
  1,142,700      

Tencent Holdings, Ltd.

      32,759,900  
  1,262,000      

Tianneng Power International, Ltd.

      1,146,461  
  4,950,000      

Tongda Group Holdings, Ltd.

      1,751,592  
  28,968      

Vipshop Holdings, Ltd., ADR*

      386,433  
  8,964,832      

WH Group, Ltd. 144A

      7,728,801  
  1,276,000      

Xinyi Glass Holdings, Ltd.*

      1,123,057  
  2,371,500      

Xtep International Holdings, Ltd.

      933,769  
      

 

 

  
   

Total Cayman Islands

      135,138,071  
      

 

 

  
   

Chile — 0.8%

   
  12,433,431      

Banco de Chile

      1,486,329  
  60,326      

Banco Santander Chile, ADR

      1,512,976  
  28,144,386      

Banco Santander Chile

      1,755,982  
  744,008      

Cencosud SA

      2,272,236  
  4,625      

Cia Cervecerias Unidas SA, ADR

      116,874  
  418,292      

Enel Americas SA, ADR

      4,346,054  
  26,046      

Enel Chile SA, ADR

      143,253  
  829,642      

Enel Generacion Chile SA

      620,980  
      

 

 

  
   

Total Chile

      12,254,684  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      111  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

China — 10.2%

   
  11,706,000      

Agricultural Bank of China, Ltd. Class H

      5,392,457  
  2,384,000      

Air China, Ltd. Class H

      1,929,532  
  1,931,500      

Anhui Conch Cement Co., Ltd. Class H‡

      6,561,359  
  51,907      

Autohome, Inc. Class H, ADR*

      1,649,085  
  33,777,000      

Bank of China, Ltd. Class H

      16,776,584  
  2,634,000      

Bank of Communications Co., Ltd. Class H

      2,047,141  
  1,298,000      

Beijing Capital International Airport Co., Ltd. Class H

      1,553,291  
  3,595,000      

China Cinda Asset Management Co., Ltd. Class H

      1,397,015  
  2,141,000      

China CITIC Bank Corp., Ltd. Class H

      1,418,793  
  4,344,000      

China Communications Services Corp., Ltd. Class H

      2,845,134  
  35,926,000      

China Construction Bank Corp. Class H

      28,892,427  
  4,092,000      

China Everbright Bank Co., Ltd. Class H

      2,000,849  
  246,000      

China Galaxy Securities Co., Ltd. Class H

      226,960  
  65,500      

China Merchants Bank Co., Ltd. Class H

      173,200  
  7,812,000      

China Petroleum & Chemical Corp. Class H

      6,332,832  
  2,093,484      

China Shenhua Energy Co., Ltd. Class H

      4,859,609  
  138,000      

China Vanke Co., Ltd. Class H

      372,901  
  1,407,000      

Chongqing Rural Commercial Bank Co., Ltd. Class H

      950,492  
  2,900,000      

Dongfeng Motor Group Co., Ltd. Class H

      3,257,672  
  2,722,400      

Guangzhou R&F Properties Co., Ltd. Class H

      4,252,710  
  34,108,000      

Industrial & Commercial Bank of China Class H

      22,295,392  
  2,694,000      

Lonking Holdings, Ltd. Class H

      811,164  
  3,088,000      

People’s Insurance Co. Group of China, Ltd. (The) Class H

      1,279,465  
  2,286,760      

PICC Property & Casualty Co., Ltd. Class H

      3,525,109  
  1,829,000      

Ping An Insurance Group Co. Class H

      10,237,599  
  4,167      

SINA Corp. Class H*

      300,524  
  2,017,000      

Sinopec Engineering Group Co., Ltd. Class H

      2,071,114  
  3,248,000      

Sinopec Shanghai Petrochemical Co., Ltd. Class H*

      1,801,310  
  1,603,200      

Sinopharm Group Co., Ltd. Class H

      7,436,835  
  2,490,000      

Sinotrans, Ltd. Class H

      1,163,057  
  1,535,000      

TravelSky Technology, Ltd. Class H

      3,626,404  
  2,950,000      

Zhejiang Expressway Co., Ltd. Class H

      3,856,656  
      

 

 

  
   

Total China

      151,294,672  
      

 

 

  
   

Colombia — 0.1%

   
  238,548      

Cementos Argos SA

      972,700  
      

 

 

  
   

Czech Republic — 0.1%

   
  454,357      

Moneta Money Bank AS* 144A

      1,542,921  
      

 

 

  
   

France — 0.2%

   
  27,552      

Sanofi

      2,493,602  
      

 

 

  
   

Hong Kong — 4.0%

   
  425,800      

AIA Group, Ltd.

      2,684,707  
  395,000      

Beijing Enterprises Holdings, Ltd.

      2,043,235  
  2,126,000      

Brilliance China Automotive Holdings, Ltd.

      3,556,328  
  1,119,000      

BYD Electronic International Co., Ltd.

      1,555,067  
  206,000      

China Everbright International, Ltd.

      277,264  

 

112    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Hong Kong — continued

   
  1,766,000      

China Everbright, Ltd.

      3,563,132  
  100,000      

China Merchants Port Holdings Co., Ltd.

      292,736  
  1,701,480      

China Mobile, Ltd.

      18,620,713  
  1,736,658      

China Overseas Land & Investment, Ltd.

      4,960,922  
  3,870,000      

China Resources Power Holdings Co., Ltd.

      6,981,587  
  3,097,000      

CNOOC, Ltd.

      3,698,148  
  2,050,000      

CSPC Pharmaceutical Group, Ltd.

      2,685,325  
  308,000      

Haier Electronics Group Co., Ltd.

      705,449  
  1,239,000      

Shanghai Industrial Holdings, Ltd.

      3,642,945  
  3,002,000      

Shenzhen Investment, Ltd.

      1,344,266  
  4,138,000      

Sino-Ocean Land Holdings, Ltd.

      1,943,473  
  1,147,000      

Sun Art Retail Group, Ltd.

      1,074,459  
      

 

 

  
   

Total Hong Kong

      59,629,756  
      

 

 

  
   

Hungary — 0.9%

   
  421,702      

Magyar Telekom Telecommunications Plc

      701,039  
  46,354      

MOL Hungarian Oil & Gas Plc

      3,178,689  
  228,337      

OTP Bank Nyrt

      6,400,023  
  162,517      

Richter Gedeon Nyrt

      3,697,940  
      

 

 

  
   

Total Hungary

      13,977,691  
      

 

 

  
   

India — 8.5%

   
  142,409      

Asian Paints, Ltd.

      2,346,618  
  56,048      

Bajaj Auto, Ltd.

      2,421,971  
  101,372      

Bharat Financial Inclusion, Ltd.*

      1,261,393  
  468,940      

Bharat Petroleum Corp., Ltd.

      4,690,122  
  43,968      

Cadila Healthcare, Ltd.

      299,620  
  47,765      

Ceat, Ltd.

      976,485  
  33,116      

Coal India, Ltd.

      149,426  
  16,185      

Divi’s Laboratories, Ltd.

      155,307  
  554,123      

Edelweiss Financial Services, Ltd.

      1,341,467  
  364,773      

Exide Industries, Ltd.

      1,265,625  
  1,478,382      

Federal Bank, Ltd.

      2,070,668  
  348,236      

GAIL India, Ltd.

      2,018,841  
  5,539      

Godrej Consumer Products, Ltd.

      143,305  
  1,081,331      

HCL Technologies, Ltd. Class T

      14,587,602  
  75,379      

HDFC Bank, Ltd., ADR

      5,670,008  
  57,247      

Hero MotoCorp Ltd.

      2,840,089  
  850,586      

Hindalco Industries, Ltd.

      2,548,418  
  653,373      

Hindustan Petroleum Corp., Ltd.

      5,292,588  
  89,772      

Hindustan Unilever, Ltd.

      1,260,555  
  407,982      

Housing Development Finance Corp., Ltd.

      9,423,451  
  138,690      

Indiabulls Housing Finance, Ltd.

      2,132,411  
  100,006      

Indraprastha Gas, Ltd.

      1,566,969  
  146,885      

IndusInd Bank, Ltd.

      3,225,091  
  608,605      

Infosys, Ltd.

      9,583,408  
  125,010      

Infosys, Ltd., ADR‡

      1,975,158  
  890,662      

ITC, Ltd.

      3,850,826  
  488,245      

JSW Steel, Ltd.

      1,412,816  

 

   See accompanying Notes to the Financial Statements.      113  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

India — continued

   
  577,906      

Karnataka Bank, Ltd. (The)

      1,249,526  
  264,211      

Marico, Ltd.

      1,201,532  
  59,007      

Maruti Suzuki India, Ltd.

      5,484,057  
  360,739      

Motherson Sumi Systems, Ltd.

      2,066,604  
  71,751      

NTPC, Ltd.

      183,259  
  842,274      

Oil & Natural Gas Corp., Ltd.

      2,399,641  
  3,662      

Piramal Enterprises, Ltd.

      107,376  
  1,303,848      

Power Finance Corp., Ltd.

      2,931,575  
  155,529      

Reliance Capital, Ltd.

      1,473,017  
  16,459      

Reliance Industries, Ltd. (London Exchange), GDR 144A

      663,298  
  15,669      

State Bank of India, Ltd., Reg S, GDR‡‡‡

      699,621  
  283,868      

Tata Consultancy Services, Ltd.

      10,592,755  
  486,170      

Tata Motors, Ltd.*

      3,499,061  
  14,384      

Tata Motors, Ltd., ADR‡

      512,790  
  355,612      

Tata Power Co., Ltd. (The)

      494,522  
  98,620      

Tata Steel, Ltd.

      731,658  
  160,839      

Tech Mahindra, Ltd.

      1,133,192  
  689,935      

Vedanta, Ltd.

      2,929,315  
  71,117      

Videocon d2h, Ltd., ADR*

      817,846  
  13,874      

Wipro, Ltd., ADR‡

      141,931  
  269,246      

Zee Entertainment Enterprises, Ltd.

      2,220,393  
      

 

 

  
   

Total India

      126,043,207  
      

 

 

  
   

Indonesia — 2.8%

   
  6,587,600      

Adaro Energy Tbk PT

      865,131  
  12,665,500      

Astra International Tbk PT

      8,197,811  
  778,400      

Bank Central Asia Tbk PT

      966,757  
  2,052,900      

Bank Mandiri Persero Tbk PT

      1,802,479  
  6,116,300      

Bank Negara Indonesia Persero Tbk PT

      2,971,974  
  5,184,000      

Bank Rakyat Indonesia Persero Tbk PT

      5,047,645  
  5,280,900      

Bank Tabungan Negara Persero Tbk PT

      899,602  
  195,300      

Gudang Garam Tbk PT

      960,342  
  547,500      

Indofood CBP Sukses Makmur Tbk PT

      334,856  
  1,748,800      

Indofood Sukses Makmur Tbk PT

      1,049,897  
  3,267,900      

Matahari Department Store Tbk PT

      3,230,992  
  3,610,600      

Mitra Keluarga Karyasehat Tbk PT

      715,319  
  25,267,100      

Telekomunikasi Indonesia Persero Tbk PT

      7,831,085  
  607,800      

Unilever Indonesia Tbk PT

      1,976,131  
  2,090,210      

United Tractors Tbk PT

      4,156,734  
  3,832,400      

Waskita Karya Persero Tbk PT

      681,610  
      

 

 

  
   

Total Indonesia

      41,688,365  
      

 

 

  
   

Japan — 0.2%

   
  91,900      

Honda Motor Co., Ltd.

      2,763,680  
      

 

 

  
   

Luxembourg — 0.2%

   
  109,920      

Ternium SA, ADR

      2,871,110  
      

 

 

  

 

114    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Malaysia — 1.3%

   
  5,355,115      

AirAsia Bhd

      3,799,584  
  2,038,800      

CIMB Group Holdings Bhd

      2,566,064  
  228,200      

Genting Bhd

      494,506  
  3,713,300      

Genting Malaysia Bhd

      4,572,926  
  43,800      

Kuala Lumpur Kepong Bhd

      244,263  
  261,400      

Malayan Banking Bhd

      526,876  
  80,500      

MISC Bhd

      133,151  
  91,900      

Petronas Chemicals Group Bhd

      159,898  
  979,900      

Public Bank Bhd

      4,406,284  
  46,800      

Sime Darby Bhd

      98,137  
  447,000      

Tenaga Nasional Bhd

      1,385,796  
  1,250,700      

Westports Holdings Bhd

      1,144,579  
      

 

 

  
   

Total Malaysia

      19,532,064  
      

 

 

  
   

Mexico — 3.3%

   
  451,900      

Alfa SAB de CV Class A

      656,226  
  340,400      

Alsea SAB de CV

      1,130,501  
  118,984      

America Movil SAB de CV Series L, ADR‡

      1,686,003  
  75,300      

Arca Continental SAB de CV

      519,747  
  427,662      

Cemex SAB de CV, ADR*

      3,878,894  
  2,819,797      

Fibra Uno Administracion SA de CV REIT

      4,792,449  
  292,000      

Fomento Economico Mexicano SAB de CV

      2,577,344  
  25,085      

Fomento Economico Mexicano SAB de CV, ADR

      2,220,524  
  1,240,300      

Gentera SAB de CV

      2,036,199  
  152,035      

Gruma SAB de CV Class B

      2,135,609  
  18,100      

Grupo Aeroportuario del Pacifico SAB de CV Class B

      174,733  
  16,950      

Grupo Aeroportuario del Sureste SAB de CV, ADR

      2,936,418  
  112,195      

Grupo Aeroportuario del Sureste SAB de CV

      1,932,212  
  1,302,741      

Grupo Financiero Banorte SAB de CV Series O

      7,452,278  
  138,700      

Grupo Financiero Santander Mexico SAB de CV Class B, ADR‡

      1,252,461  
  1,756,416      

Grupo Mexico SAB de CV Series B

      5,238,245  
  47,010      

Industrias Penoles SAB de CV

      1,203,096  
  686,000      

Kimberly-Clark de Mexico SAB de CV Class A

      1,480,603  
  71,400      

OHL Mexico SAB de CV*

      100,310  
  74,740      

Promotora y Operadora de Infraestructura SAB de CV*

      802,157  
  1,793,700      

Wal-Mart de Mexico SAB de CV

      4,114,220  
      

 

 

  
   

Total Mexico

      48,320,229  
      

 

 

  
   

Netherlands — 0.2%

   
  155,874      

Steinhoff International Holdings NV

      745,963  
  74,051      

Yandex NV Class A*

      1,623,939  
      

 

 

  
   

Total Netherlands

      2,369,902  
      

 

 

  
   

Philippines — 0.3%

   
  15,160      

Ayala Corp.

      255,311  
  101,140      

Bank of the Philippine Islands

      203,993  
  144,880      

BDO Unibank, Inc.

      339,569  
  448,200      

Cebu Air, Inc.

      838,784  

 

   See accompanying Notes to the Financial Statements.      115  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Philippines — continued

   
  14,220      

Globe Telecom, Inc.

      575,885  
  201,390      

JG Summit Holdings, Inc.

      326,519  
  29,860      

Jollibee Foods Corp.

      117,536  
  10,877,900      

Metro Pacific Investments Corp.

      1,305,131  
  24,670      

Security Bank Corp.

      99,319  
  9,040      

SM Investments Corp.

      125,578  
      

 

 

  
   

Total Philippines

      4,187,625  
      

 

 

  
   

Poland — 0.6%

   
  57,748      

Asseco Poland SA

      791,458  
  84,316      

Eurocash SA

      679,091  
  98,494      

Jastrzebska Spolka Weglowa SA*

      1,561,207  
  17,702      

KRUK SA

      1,075,001  
  328,523      

PGE Polska Grupa Energetyczna SA

      945,282  
  17,267      

Polski Koncern Naftowy ORLEN SA

      435,821  
  481,207      

Polskie Gornictwo Naftowe i Gazownictwo SA

      719,026  
  275,366      

Powszechna Kasa Oszczednosci Bank Polski SA*

      2,228,255  
  520,980      

Tauron Polska Energia SA*

      445,771  
      

 

 

  
   

Total Poland

      8,880,912  
      

 

 

  
   

Qatar — 0.4%

   
  130,619      

Qatar National Bank QPSC

      5,241,118  
      

 

 

  
   

Romania — 0.0%

   
  39,231      

New Europe Property Investments Plc

      407,268  
      

 

 

  
   

Russia — 2.5%

   
  391,156      

Gazprom PJSC, ADR

      1,748,467  
  1,268,042      

Gazprom PJSC (OTC Exchange), ADR‡

      5,699,849  
  46,726      

LUKOIL PJSC, ADR

      2,479,281  
  118,501      

LUKOIL PJSC (Euroclear Shares), ADR

      6,275,813  
  62,953      

Magnit PJSC, Reg S, GDR‡‡‡

      2,404,805  
  2,026,164      

Magnitogorsk Iron & Steel OJSC

      1,321,601  
  25      

Magnitogorsk Iron & Steel OJSC, Reg S, GDR‡‡‡

      213  
  26,972      

MMC Norilsk Nickel PJSC, (London Exchange), ADR

      424,000  
  288,729      

Mobile Telesystems PJSC, ADR

      3,184,681  
  7,128      

Novatek PJSC, Reg S, GDR‡‡‡

      887,436  
  274,260      

Rosneft Oil Co. PJSC, Reg S, GDR‡‡‡

      1,560,539  
  92,659      

Rosneft Oil Co. PJSC, Reg S, (London Exchange), GDR‡‡‡

      527,230  
  1,493,974      

RusHydro PJSC, ADR

      2,435,178  
  101,862      

Sberbank of Russia PJSC, ADR‡

      1,174,469  
  19,314      

Severstal PAO (London Exchange), GDR‡‡‡

      278,315  
  179,293      

Severstal PJSC, Reg S, GDR‡‡‡

      2,583,612  
  215,334      

Sistema PJSC FC, GDR‡‡‡

      1,927,239  
  137,124      

Surgutneftegas OJSC, ADR

      702,075  
  20,024      

Tatneft PJSC, (London Exchange), ADR

      737,884  
      

 

 

  
   

Total Russia

      36,352,687  
      

 

 

  

 

116    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Singapore — 0.6%

   
  15,165      

Broadcom, Ltd.

      3,320,528  
  116,305      

Flex, Ltd.*

      1,953,924  
  28,700      

SembCorp Industries, Ltd.

      65,316  
  569,700      

Singapore Telecommunications, Ltd. (London Exchange)

      1,594,165  
  119,338      

United Overseas Bank, Ltd.

      1,888,330  
      

 

 

  
   

Total Singapore

      8,822,263  
      

 

 

  
   

South Africa — 4.8%

   
  9,552      

Anglo American Platinum, Ltd.*

      218,042  
  79,656      

AngloGold Ashanti, Ltd., ADR*

      857,895  
  160,982      

AVI, Ltd.

      1,188,568  
  395,850      

Barclays Africa Group, Ltd.

      4,118,582  
  163,327      

Bid Corp., Ltd.‡

      3,163,309  
  336,996      

Bidvest Group, Ltd. (The)

      3,867,145  
  22,007      

Capitec Bank Holdings, Ltd.

      1,249,592  
  104,505      

Clicks Group, Ltd.

      998,385  
  179,721      

Exxaro Resources, Ltd.

      1,580,111  
  1,831,407      

FirstRand, Ltd.‡

      6,331,987  
  217,489      

Foschini Group, Ltd. (The)

      2,505,817  
  390,382      

Growthpoint Properties, Ltd. REIT

      754,052  
  36,256      

Hyprop Investments, Ltd. REIT

      331,769  
  64,919      

Imperial Holdings, Ltd.‡

      798,854  
  108,613      

Investec, Ltd.

      740,840  
  268,808      

Liberty Holdings, Ltd.‡

      2,170,110  
  395,152      

MMI Holdings, Ltd.‡

      674,562  
  51,097      

Mondi, Ltd.

      1,221,412  
  231,958      

MTN Group, Ltd.‡

      2,110,478  
  56,207      

Naspers, Ltd. Class N

      9,704,052  
  119,907      

Nedbank Group, Ltd.‡

      2,159,600  
  728,346      

Redefine Properties, Ltd. REIT

      598,049  
  39,012      

Remgro, Ltd.

      599,607  
  29,715      

Resilient, Ltd. REIT

      258,263  
  556,765      

RMB Holdings, Ltd.‡

      2,431,974  
  180,152      

Sappi, Ltd.

      1,224,369  
  34,585      

Sasol, Ltd.

      1,007,443  
  46,215      

Shoprite Holdings, Ltd.

      667,268  
  1,011,013      

Sibanye Gold, Ltd.

      2,163,966  
  88,213      

Spar Group, Ltd. (The)

      1,146,415  
  516,817      

Standard Bank Group, Ltd.

      5,540,594  
  839,063      

Telkom SA SOC, Ltd.

      4,695,061  
  270,202      

Truworths International, Ltd.

      1,745,293  
  512,662      

Tsogo Sun Holdings, Ltd.

      1,056,771  
  171,211      

Vodacom Group, Ltd.

      1,940,828  
      

 

 

  
   

Total South Africa

      71,821,063  
      

 

 

  
   

South Korea — 12.4%

   
  31,610      

Able C&C Co., Ltd.

      695,347  
  5,729      

Amorepacific Corp.

      1,436,989  
  2,447      

AMOREPACIFIC Group

      261,483  

 

   See accompanying Notes to the Financial Statements.      117  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

South Korea — continued

   
  14,520      

BGF retail Co., Ltd.

      1,363,319  
  12,039      

BNK Financial Group, Inc.

      98,827  
  60,944      

Coway Co., Ltd.

      5,242,612  
  4,617      

Daelim Industrial Co., Ltd.

      334,003  
  72,502      

Dongbu Insurance Co., Ltd.

      4,149,269  
  88,909      

Hana Financial Group, Inc.

      2,937,662  
  51,975      

Hankook Tire Co., Ltd.

      2,532,985  
  6,763      

Hanssem Co., Ltd.

      1,330,466  
  70,676      

Hanwha Chemical Corp.

      1,668,467  
  36,289      

Hanwha Corp.

      1,164,960  
  26,032      

Hanwha Life Insurance Co., Ltd.

      140,600  
  54,246      

Hyosung Corp.

      6,572,774  
  75,559      

Hyundai Development Co-Engineering & Construction

      2,746,556  
  44,198      

Hyundai Engineering & Construction Co., Ltd.

      1,956,363  
  262,899      

Hyundai Marine & Fire Insurance Co., Ltd.

      8,228,083  
  19,336      

Hyundai Mobis Co., Ltd.

      4,158,373  
  12,754      

Industrial Bank of Korea

      139,139  
  13,901      

Innocean Worldwide, Inc.

      765,717  
  84,271      

Kangwon Land, Inc.

      2,878,612  
  137,875      

KB Financial Group, Inc.

      6,041,201  
  36,111      

KEPCO Plant Service & Engineering Co., Ltd.

      2,014,957  
  97,265      

Kia Motors Corp.

      3,222,452  
  57,394      

Korea Electric Power Corp.

      2,383,932  
  6,631      

Korea Petrochemical Ind Co., Ltd.

      1,452,736  
  25,403      

KT Corp., ADR*

      427,532  
  50,863      

KT&G Corp.

      4,434,537  
  15,659      

LG Chem, Ltd.

      4,116,736  
  51,552      

LG Corp.

      3,236,118  
  72,623      

LG Uplus Corp.

      928,650  
  14,545      

Loen Entertainment, Inc.*

      1,170,571  
  8,487      

Lotte Chemical Corp.

      2,811,798  
  16,992      

LS Corp.

      975,486  
  4,805      

NAVER Corp.

      3,673,679  
  14,520      

POSCO

      3,778,342  
  60,669      

Posco Daewoo Corp.

      1,293,889  
  5,569      

Samsung Card Co., Ltd.

      195,211  
  26,804      

Samsung Electronics Co., Ltd.‡

      49,375,159  
  33,523      

Samsung Life Insurance Co., Ltd.

      3,252,477  
  257,015      

Shinhan Financial Group Co., Ltd.

      10,709,916  
  42,997      

Silicon Works Co., Ltd.

      1,178,448  
  16,290      

SK Holdings Co., Ltd.

      3,547,004  
  135,891      

SK Hynix, Inc.

      6,136,543  
  24,640      

SK Innovation Co., Ltd.

      3,668,568  
  91,785      

SK Networks Co., Ltd.

      613,104  
  42,494      

SK Telecom Co., Ltd.

      9,575,685  
  30,733      

Value Added Technologies Co., Ltd.

      770,867  
  15,846      

Vieworks Co., Ltd.

      913,947  
  80,924      

Woori Bank

      940,724  
      

 

 

  
   

Total South Korea

      183,642,875  
      

 

 

  

 

118    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Sweden — 0.1%

   
  197,704      

Telefonaktiebolaget LM Ericsson Class B‡

      1,324,183  
      

 

 

  
   

Switzerland — 0.4%

   
  90,462      

ABB, Ltd.*

      2,117,513  
  22,905      

Nestle SA

      1,758,579  
  4,733      

Syngenta AG

      2,090,473  
      

 

 

  
   

Total Switzerland

      5,966,565  
      

 

 

  
   

Taiwan — 11.0%

   
  3,057,000      

Advanced Semiconductor Engineering, Inc.

      3,904,054  
  784,000      

Asia Cement Corp.

      790,653  
  258,000      

Asustek Computer, Inc.

      2,550,878  
  341,000      

Basso Industry Corp.

      1,036,177  
  258,000      

Bioteque Corp.

      948,076  
  683,000      

Catcher Technology Co., Ltd.

      6,752,904  
  890,000      

Cathay Financial Holding Co., Ltd.

      1,428,459  
  1,838,660      

China General Plastics Corp.

      1,708,831  
  2,825,372      

China Life Insurance Co., Ltd.

      2,793,480  
  4,142,000      

Compal Electronics, Inc.

      2,702,862  
  3,000,120      

CTBC Financial Holding Co., Ltd.

      1,853,910  
  827,800      

E.Sun Financial Holding Co., Ltd.

      503,350  
  78,000      

Eclat Textile Co., Ltd.

      781,478  
  397,000      

Elite Material Co., Ltd.

      1,543,907  
  36,720      

Feng TAY Enterprise Co., Ltd.

      146,432  
  1,222,570      

First Financial Holding Co., Ltd.

      745,408  
  48,000      

Formosa Chemicals & Fibre Corp.

      149,335  
  621,230      

Foxconn Technology Co., Ltd.

      1,893,838  
  4,270,997      

Fubon Financial Holding Co., Ltd.

      6,967,598  
  149,000      

Grape King Bio, Ltd.

      937,925  
  5,554,905      

Hon Hai Precision Industry Co., Ltd.

      16,659,681  
  160,000      

Hotai Motor Co., Ltd.

      1,874,598  
  238,950      

Hua Nan Financial Holdings Co., Ltd.

      133,483  
  2,128,000      

Inventec Corp.

      1,595,518  
  1,365,000      

King Yuan Electronics Co., Ltd.

      1,259,619  
  34,000      

Largan Precision Co., Ltd.

      5,356,184  
  1,452,195      

Lite-On Technology Corp.

      2,503,083  
  458,000      

MediaTek, Inc.

      3,245,283  
  973,000      

Mega Financial Holding Co., Ltd.

      785,647  
  1,150,000      

Micro-Star International Co., Ltd.

      2,675,785  
  41,000      

Nien Made Enterprise Co., Ltd.

      382,401  
  130,000      

Novatek Microelectronics Corp.

      503,419  
  1,969,000      

Pegatron Corp.

      5,827,345  
  641,000      

Phison Electronics Corp.

      5,756,694  
  1,016,000      

Pou Chen Corp.

      1,406,344  
  772,000      

Powertech Technology, Inc.

      2,246,605  
  868,000      

Primax Electronics, Ltd.

      1,423,185  
  514,000      

Realtek Semiconductor Corp.

      1,837,983  
  439,164      

SinoPac Financial Holdings Co., Ltd.

      137,065  
  757,087      

Taishin Financial Holding Co., Ltd.

      315,635  

 

   See accompanying Notes to the Financial Statements.      119  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Taiwan — continued

   
  4,385,000      

Taiwan Semiconductor Manufacturing Co., Ltd.

      27,313,669  
  675,127      

Taiwan Semiconductor Manufacturing Co., Ltd., ADR

      22,171,171  
  116,000      

Teco Electric and Machinery Co., Ltd.

      117,940  
  532,015      

Uni-President Enterprises Corp.

      997,665  
  1,366,000      

Vanguard International Semiconductor Corp.

      2,602,119  
  11,716,230      

Wistron Corp.

      10,734,488  
  2,531,000      

WPG Holdings, Ltd.

      3,178,087  
      

 

 

  
   

Total Taiwan

      163,180,251  
      

 

 

  
   

Thailand — 2.8%

   
  1,414,000      

Airports of Thailand PCL

      1,615,118  
  5,749,300      

Ananda Development PCL Class F

      833,220  
  1,190,800      

Charoen Pokphand Foods PCL, ADR

      961,650  
  1,337,300      

CP All PCL Class F

      2,296,128  
  20,697,500      

IRPC PCL Class F

      3,101,990  
  357,900      

Kasikornbank PCL, ADR

      1,968,515  
  259,500      

KCE Electronics PCL Class F

      789,167  
  1,311,100      

Krung Thai Bank PCL, NVDR

      778,361  
  299,500      

Krungthai Card PCL Class F

      1,185,362  
  102,500      

PTT Exploration & Production PCL Class N, ADR

      277,410  
  1,791,600      

PTT Global Chemical PCL

      3,819,126  
  1,172,300      

PTT Global Chemical PCL, ADR

      2,498,973  
  219,900      

PTT PCL

      2,476,575  
  19,200      

PTT PCL, NVDR

      216,236  
  15,499,700      

Sansiri PCL

      920,171  
  412,750      

Siam Cement PCL (The)

      6,486,286  
  32,000      

Siam Cement PCL (The), ADR

      502,874  
  63,200      

Siam Commercial Bank PCL (The), NVDR

      299,792  
  3,042,100      

Thai Oil PCL

      6,683,988  
  965,000      

Thai Oil PCL, ADR

      2,120,262  
  2,328,400      

Thai Union Group PCL, ADR

      1,450,062  
      

 

 

  
   

Total Thailand

      41,281,266  
      

 

 

  
   

Turkey — 1.2%

   
  67,490      

Akbank TAS

      158,085  
  99,728      

Arcelik AS

      620,553  
  1,609,103      

Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT

      1,281,397  
  831,379      

Eregli Demir ve Celik Fabrikalari TAS

      1,346,954  
  152,373      

Ford Otomotiv Sanayi AS

      1,489,566  
  452,256      

KOC Holding AS

      1,906,314  
  340,326      

TAV Havalimanlari Holding AS

      1,354,146  
  216,068      

Tupras Turkiye Petrol Rafinerileri AS

      5,351,787  
  310,743      

Turkiye Garanti Bankasi AS

      756,026  
  79,559      

Turkiye Halk Bankasi AS

      226,553  
  1,532,806      

Turkiye Is Bankasi

      2,790,632  
  78,062      

Turkiye Vakiflar Bankasi TAO Series D

      114,896  
      

 

 

  
   

Total Turkey

      17,396,909  
      

 

 

  

 

120    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United Arab Emirates — 1.1%

   
  438,437      

Abu Dhabi Commercial Bank PJSC

      811,699  
  4,974,485      

Aldar Properties PJSC

      3,060,805  
  1,784,975      

Dubai Islamic Bank PJSC

      2,721,443  
  2,481,539      

Emaar Malls PJSC

      1,783,627  
  2,680,230      

Emaar Properties PJSC

      5,326,893  
  740,541      

First Gulf Bank PJSC

      2,600,866  
      

 

 

  
   

Total United Arab Emirates

      16,305,333  
      

 

 

  
   

United Kingdom — 1.1%

   
  61,706      

Diageo Plc

      1,761,955  
  266,739      

Evraz Plc*

      721,455  
  118,597      

GlaxoSmithKline Plc

      2,461,033  
  203,103      

Mondi Plc

      4,894,005  
  40,259      

NMC Health Plc

      890,548  
  1,290,512      

Old Mutual Plc

      3,241,499  
  195,921      

Polymetal International Plc

      2,429,070  
      

 

 

  
   

Total United Kingdom

      16,399,565  
      

 

 

  
   

United States — 1.3%

   
  10,267      

China Biologic Products, Inc.*

      1,028,035  
  37,693      

Citigroup, Inc.

      2,254,795  
  40,792      

Crown Holdings, Inc.*

      2,159,936  
  13,417      

MercadoLibre, Inc.

      2,837,293  
  27,474      

Microsoft Corp.

      1,809,438  
  19,086      

Monsanto Co.

      2,160,535  
  68,532      

Pfizer, Inc.

      2,344,480  
  13,900      

Southern Copper Corp.‡

      498,871  
  10,687      

Waters Corp.*

      1,670,485  
  119,586      

Yum China Holdings, Inc.*

      3,252,739  
      

 

 

  
   

Total United States

      20,016,607  
      

 

 

  
   

TOTAL COMMON STOCKS (COST $1,166,615,981)

      1,311,900,694  
      

 

 

  
   

PREFERRED STOCKS — 3.1%

   
   

Brazil — 2.9%

   
  348,240      

Banco Bradesco SA, 4.15%

      3,551,554  
  341,500      

Braskem SA, 3.79%

      3,415,054  
  54,300      

Cia Brasileira de Distribuicao Grupo Pao de Acucar, 0.03%

      1,027,868  
  110,318      

Cia de Transmissao de Energia Eletrica Paulista, 2.36%

      2,262,684  
  355,000      

Cia Energetica de Minas Gerais, 6.74%

      1,153,908  
  266,500      

Cia Paranaense de Energia, 4.12%

      2,748,141  
  527,670      

Itau Unibanco Holding SA, 4.70%

      6,298,900  
  1,953,196      

Itausa - Investimentos Itau SA, 6.06%

      5,844,300  
  1,822,400      

Petroleo Brasileiro SA, 0.00%*

      8,317,163  
  686,400      

Suzano Papel e Celulose SA, 2.14%

      2,866,711  
  198,600      

Telefonica Brasil SA, 4.64%

      2,924,314  
  285,200      

Vale SA, 0.60%

      2,534,053  
      

 

 

  
   

Total Brazil

      42,944,650  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      121  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Colombia — 0.1%

   
  60,749      

Bancolombia SA, 3.11%

      602,479  
      

 

 

  
   

Germany — 0.1%

   
  20,005      

Bayerische Motoren Werke AG, 4.87%

      1,579,479  
      

 

 

  
   

TOTAL PREFERRED STOCKS (COST $38,571,967)

      45,126,608  
      

 

 

  
Par Value ($)          Description    Value ($)  
   

SHORT-TERM INVESTMENTS — 10.8%

   
   

Bank Deposit — 8.4%

   
  125,115,810      

State Street Bank & Trust Euro Time Deposit, 0.09%, due 04/03/17

      125,115,810  
      

 

 

  
   

Investment Fund — 0.6%

   
  8,252,201      

State Street Institutional Treasury Plus Money Market Fund, Premier Class*****

      8,252,201  
      

 

 

  
   

Mutual Fund - Securities Lending Collateral — 1.6%

   
  23,309,405      

State Street Institutional U.S. Government Money Market Fund, Premier Class***

      23,309,405  
      

 

 

  
   

U.S. Government and Agency Obligations — 0.2%

   
  1,700,000      

United States Treasury Bill, 0.73%, due 06/22/17** ‡‡

      1,697,176  
  1,700,000      

United States Treasury Bill, 0.65%, due 04/27/17** ‡‡

      1,699,179  
      

 

 

  
   

TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS

(COST $3,397,173)

      3,396,355  
      

 

 

  
   

TOTAL SHORT-TERM INVESTMENTS (COST $160,074,590)

      160,073,771  
      

 

 

  
   

TOTAL INVESTMENTS — 102.4%

(Cost $1,365,262,538)

      1,517,101,073  
   

Other Assets and Liabilities (net) — (2.4)%

      (35,111,277 ) 
      

 

 

  
   

NET ASSETS — 100.0%

    $ 1,481,989,796  
      

 

 

  

 

122    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

   

Notes to Schedule of Investments:

   
    ADR — American Depository Receipt   
    GDR — Global Depository Receipt   
    NVDR — Non-Voting Depository Receipt   
    REIT — Real Estate Investment Trust   
  *   Non-income producing security   
  **   All or a portion of this security is pledged for open futures collateral.   
  ***   Represents an investment of securities lending cash collateral.   
  *****   Security has been segregated to cover collateral requirements on open synthetic futures contracts.   
  ‡   All or a portion of this security is out on loan.   
  ‡‡   Interest rate presented is yield to maturity.   
  ‡‡‡   Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.   
    144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $9,935,020 which represents 0.7% of net assets.   

 

   See accompanying Notes to the Financial Statements.      123  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Forward Foreign Currency Contracts

 

Settlement
Date

          

Currency

   

Counterparty

   

Units of
Currency

     

Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  06/21/17         BRL   

Citibank N.A. London

      98,972,000      $ 30,616,304      $ (588,866 ) 
  06/21/17         CLP   

Citibank N.A. London

      41,744,000        62,829        103  
  06/21/17         COP   

Citibank N.A. London

      29,987,000,000        10,252,422        112,510  
  06/21/17         CZK   

Citibank N.A. London

      217,310,000        8,690,227        (17,494 ) 
  06/21/17         HKD   

Citibank N.A. London

      119,258,000        15,370,683        (12,212 ) 
  06/21/17         HUF   

Citibank N.A. London

      530,000,000        1,840,469        (1,670 ) 
  06/21/17         IDR   

Citibank N.A. London

      100,583,317,225        7,484,509        58,365  
  06/21/17         INR   

Citibank N.A. London

      1,530,551,000        23,325,822        152,645  
  06/21/17         KRW   

Citibank N.A. London

      4,692,757,000        4,200,137        10,561  
  06/21/17         MXN   

Citibank N.A. London

      344,334,000        18,066,630        831,190  
  06/21/17         PEN   

Citibank N.A. London

      300,000        91,579        (58 ) 
  06/21/17         PHP   

Citibank N.A. London

      174,000,000        3,455,855        12,655  
  06/21/17         PLN   

Citibank N.A. London

      36,938,000        9,317,030        86,763  
  06/21/17         RUB   

Citibank N.A. London

      724,919,000        12,638,087        428,787  
  06/21/17         SGD   

Citibank N.A. London

      9,700,000        6,946,059        60,114  
  06/21/17         THB   

Citibank N.A. London

      26,000,000        756,208        7,416  
  06/21/17         TRY   

Citibank N.A. London

      65,444,000        17,571,663        (29,558 ) 
  06/21/17         TWD   

Citibank N.A. London

      235,513,000        7,788,643        33,321  
  06/21/17         ZAR   

Citibank N.A. London

      169,367,000        12,462,431        (212,960 ) 
                 

 

 

  
                  $ 931,612  
                 

 

 

  
  Sales                    
  06/21/17         BRL   

Citibank N.A. London

      61,231,000      $ 18,941,387      $ 320,729  
  06/21/17         CLP   

Citibank N.A. London

      7,898,775,000        11,888,452        27,162  
  06/21/17         COP   

Citibank N.A. London

      14,200,000,000        4,854,917        (67,289 ) 
  06/21/17         HKD   

Citibank N.A. London

      55,945,000        7,210,525        4,467  
  06/21/17         HUF   

Citibank N.A. London

      2,999,878,000        10,417,327        (124,424 ) 
  06/21/17         IDR   

Citibank N.A. London

      35,400,000,000        2,634,151        2,252  
  06/21/17         ILS   

Citibank N.A. London

      22,880,000        6,317,778        (123,805 ) 
  06/21/17         INR   

Citibank N.A. London

      126,643,000        1,930,058        7,191  
  06/21/17         KRW   

Citibank N.A. London

      21,110,801,000        18,894,704        (353,081 ) 
  06/21/17         MXN   

Citibank N.A. London

      70,278,000        3,687,369        (40,683 ) 
  06/21/17         PEN   

Citibank N.A. London

      500,000        152,632        (549 ) 
  06/21/17         PHP   

Citibank N.A. London

      744,639,000        14,789,451        (165,709 ) 
  06/21/17         PLN   

Citibank N.A. London

      1,095,000        276,197        2,499  
  06/21/17         RUB   

Citibank N.A. London

      283,094,000        4,935,402        (140,439 ) 
  06/21/17         SGD   

Citibank N.A. London

      59,436,000        42,561,439        (530,396 ) 
  06/21/17         THB   

Citibank N.A. London

      56,817,000        1,652,519        (27,694 ) 
  06/21/17         TRY   

Citibank N.A. London

      10,657,000        2,861,396        3,932  
  06/21/17         TWD   

Citibank N.A. London

      23,167,000        766,155        3,201  
  06/21/17         ZAR   

Citibank N.A. London

      76,377,000        5,620,003        254,074  
                 

 

 

  
                  $ (948,562 ) 
                 

 

 

  

 

124    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Currency Abbreviations

 

BRL — Brazilian Real
CLP — Chilean Peso
COP — Colombian Peso
CZK — Czech Koruna
HKD — Hong Kong Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
ILS — Israeli Shekel
INR — Indian Rupee
KRW — South Korean Won
MXN — Mexican Peso
PEN — Peruvian Nouveau Sol
PHP — Philippines Peso
PLN — Polish Zloty
RUB — Russian Ruble
SGD — Singapore Dollar
THB — Thai Baht
TRY — New Turkish Lira
TWD — Taiwan Dollar
ZAR — South African Rand

Futures Contracts

 

Number of
Contracts

          

Type

        

Expiration Date

     

Contract
Value

     

Unrealized
Appreciation

(Depreciation)

  
  Buys                    
  106        

KOSPI 200 Index

         June 2017      $ 6,675,355      $ 259,334  
  1,661        

MSCI Emerging Markets E-mini Index

         June 2017        79,844,270        2,525,499  
  4        

MSCI Taiwan Index

         April 2017        145,080        (1,568 ) 
  934        

SET50 Index

         June 2017        5,383,972        (14,395 ) 
                 

 

 

  
                  $ 2,768,870  
                 

 

 

  
  Sales                    
  493        

BIST 30 Index

         April 2017      $ 1,471,223      $ 21,528  
  22        

FTSE Bursa Malaysia KLCI Index

         April 2017        434,109        4,992  
  464        

FTSE/JSE Top 40 Index

         June 2017        15,837,682        (224,962 ) 
  58        

Mexico Bolsa Index

         June 2017        1,496,304        (1,074 ) 
  174        

MSCI Singapore Index

         April 2017        4,350,311        (27,993 ) 
  883        

SGX Nifty 50 Index

         April 2017        16,243,668        (166,179 ) 
                 

 

 

  
                  $ (393,688 ) 
                 

 

 

  

 

   See accompanying Notes to the Financial Statements.      125  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Synthetic Futures

 

Number of
Contracts Long
(Short)

        

Reference Entity

  

Expiration Date

  

Counterparty

   

Notional
Value

     

Value

  
  (275 )     

Brazil Bovespa Stock Index

  

04/12/2017

   Goldman Sachs International    $ 5,857,634      $ 105,953  
  28,450      

Hang Seng China Enterprises Index

  

04/27/2017

   Goldman Sachs International      38,303,202        (624,308 ) 
  72,750,000      

KOSPI 200 Index

  

06/8/2017

   Goldman Sachs International      17,163,756        622,777  
  (4,835 )     

MSCI Brazil Net Return Index

  

06/21/2017

   Goldman Sachs International      1,201,700        60,610  
  1,698      

MSCI China Net Return Index

  

06/21/2017

   Goldman Sachs International      96,146        330  
  (6,061 )     

MSCI Mexico Net Index

  

06/21/2017

   Goldman Sachs International      299,013        (8,155 ) 
  (1,791 )     

MSCI Poland Net Return Index

  

06/21/2017

   Goldman Sachs International      84,948        3,548  
  (54,406 )     

MSCI South Africa Net Return Index

  

06/21/2017

   Goldman Sachs International      3,701,623        (7,060 ) 
  7,700      

MSCI Taiwan Stock Index

  

04/27/2017

   Goldman Sachs International      2,823,529        (30,739 ) 
  (691 )     

MSCI Turkey Net Return Index

  

06/21/2017

   Goldman Sachs International      199,797        946  
  (536 )     

MSCI Turkey Net Return Index

  

06/21/2017

   Goldman Sachs International      160,553        663  
  (162 )     

SGX Nifty 50 Index

  

04/27/2017

   Goldman Sachs International      1,479,591        (10,485 ) 
  28,200      

Taiwan Stock Exchange Capitalization Weighted Stock Index

  

04/19/2017

   Goldman Sachs International      8,818,654        131,112  
  6,900      

Tel Aviv 35 Index

  

04/28/2017

   Goldman Sachs International      2,671,017        (7,494 ) 
  (2,520 )     

Warsaw WIG 20 Index

  

06/16/2017

   Goldman Sachs International      1,367,620        12,194  
             

 

 

  
              $ 249,892  
             

 

 

  

 

126    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Industry Sector Summary (Unaudited)    % of Net Assets

Banks

        15.0

Semiconductors

        8.4

Internet

        6.1

Oil & Gas

        5.2

Diversified Financial Services

        4.7

Telecommunications

        4.2

Electronics

        3.2

Computers

        3.0

Insurance

        3.0

Retail

        2.9

Chemicals

        2.5

Real Estate

        2.5

Food

        2.4

Auto Manufacturers

        2.0

Electric

        1.9

Pharmaceuticals

        1.9

Commercial Services

        1.8

Holding Companies — Diversified

        1.6

Software

        1.6

Mining

        1.5

Engineering & Construction

        1.1

Iron & Steel

        1.1

Building Materials

        1.0

Forest Products & Paper

        1.0

Media

        1.0

Beverages

        0.9

Auto Parts & Equipment

        0.8

Metal Fabricate & Hardware

        0.8

Agriculture

        0.7

Coal

        0.6

Airlines

        0.5

Home Furnishings

        0.5

Lodging

        0.5

Miscellaneous — Manufacturing

        0.5

Entertainment

        0.4

Environmental Control

        0.4

Health Care — Products

        0.4

Leisure Time

        0.4

Machinery — Construction & Mining

        0.4

Gas

        0.3

Household Products & Wares

        0.3

Packaging & Containers

        0.3

REITS

        0.3

Apparel

        0.2

Distribution & Wholesale

        0.2

Electrical Components & Equipment

        0.2

Food Service

        0.2

Health Care — Services

        0.2

Home Builders

        0.2

Water

        0.2

Advertising

        0.1

 

   See accompanying Notes to the Financial Statements.      127  

Table of Contents

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Industry Sector Summary (Unaudited)    % of Net Assets

Biotechnology

        0.1

Cosmetics & Personal Care

        0.1

Hand & Machine Tools

        0.1

Oil & Gas Services

        0.1

Transportation

        0.1

Machinery — Diversified

        0.0

Short-Term Investments and Other Assets and Liabilities (net)

        8.4
    

 

 

  
       100.0 %
    

 

 

  

 

128    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

COMMON STOCKS — 87.9%

   
   

Australia — 1.2%

   
  228,292      

AGL Energy, Ltd.

      4,592,402  
  83,971      

Coca-Cola Amatil, Ltd.

      693,099  
  208,664      

Computershare, Ltd.

      2,238,061  
  61,232      

Costa Group Holdings, Ltd.

      203,192  
  74,076      

Rio Tinto, Ltd.‡

      3,416,526  
  98,087      

South32, Ltd.

      206,519  
  47,000      

Telstra Corp., Ltd.

      167,079  
  102,339      

Wesfarmers, Ltd.

      3,518,583  
      

 

 

  
   

Total Australia

      15,035,461  
      

 

 

  
   

Austria — 1.9%

   
  203      

Agrana Beteiligungs AG

      21,525  
  26,151      

BUWOG AG*

      661,486  
  75,367      

CA Immobilien Anlagen AG*

      1,660,137  
  119,376      

Conwert Immobilien Invest SE*

      2,021,152  
  70,461      

Erste Group Bank AG*

      2,300,411  
  17,851      

EVN AG

      228,156  
  34,272      

Flughafen Wien AG

      1,084,823  
  5,268      

Mayr Melnhof Karton AG

      614,993  
  57,223      

Oesterreichische Post AG

      2,285,314  
  78,229      

OMV AG

      3,086,160  
  98,549      

Raiffeisen Bank International AG*

      2,229,801  
  50,599      

S IMMO AG*

      608,288  
  175,068      

Telekom Austria AG

      1,196,114  
  56,640      

UNIQA Insurance Group AG

      440,957  
  63,472      

Verbund AG

      1,080,413  
  93,487      

Voestalpine AG

      3,689,593  
      

 

 

  
   

Total Austria

      23,209,323  
      

 

 

  
   

Belgium — 0.3%

   
  39,322      

Colruyt SA

      1,935,455  
  32,340      

Elia System Operator SA

      1,710,092  
      

 

 

  
   

Total Belgium

      3,645,547  
      

 

 

  
   

Bermuda — 1.4%

   
  26,500      

Arch Capital Group, Ltd.*

      2,511,405  
  24,600      

Aspen Insurance Holdings, Ltd.

      1,280,430  
  22,400      

Axis Capital Holdings, Ltd.

      1,501,472  
  27,000      

Bunge, Ltd.

      2,140,020  
  124,000      

Cheung Kong Infrastructure Holdings, Ltd.

      973,300  
  34,000      

Clear Media, Ltd.

      39,375  
  126,000      

Emperor International Holdings, Ltd.

      39,236  
  10,400      

Everest Re Group, Ltd.

      2,431,624  
  45,300      

Genpact, Ltd.

      1,121,628  
  7,000      

Guoco Group, Ltd.

      81,065  
  12,100      

RenaissanceRe Holdings, Ltd.

      1,750,265  
  23,227      

Stolt-Nielsen, Ltd.

      394,828  

 

   See accompanying Notes to the Financial Statements.      129  

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Bermuda — continued

   
  28,600      

Validus Holdings, Ltd.

      1,612,754  
  1,500      

White Mountains Insurance Group, Ltd.

      1,319,820  
  5,000      

Wing On Co. International, Ltd.

      16,599  
      

 

 

  
   

Total Bermuda

      17,213,821  
      

 

 

  
   

Canada — 3.6%

 

  93,112      

Atco, Ltd. Class I

      3,610,259  
  51,000      

Bank of Montreal

      3,798,470  
  14,000      

Bank of Nova Scotia (The)‡

      816,706  
  39,447      

BCE, Inc.

      1,746,319  
  40,200      

Canadian Imperial Bank of Commerce

      3,456,480  
  700      

Canadian Real Estate Investment Trust REIT

      25,446  
  54,000      

Capital Power Corp.‡

      1,055,179  
  10,200      

Cogeco, Inc.

      455,526  
  200      

E-L Financial Corp., Ltd.

      122,821  
  176,343      

First Capital Realty, Inc.

      2,648,484  
  39,700      

George Weston, Ltd.

      3,453,973  
  975      

Granite Real Estate Investment Trust REIT

      34,057  
  1,400      

Lions Gate Entertainment Corp. Class A‡

      37,184  
  61,100      

Loblaw Cos., Ltd.

      3,305,947  
  78,400      

Maple Leaf Foods, Inc.

      1,897,613  
  200      

Morguard Corp.

      27,443  
  24,700      

Precision Drilling Corp.*

      116,494  
  167,300      

Pure Industrial Real Estate Trust REIT

      763,961  
  83,900      

Rogers Communications, Inc. Class B

      3,699,111  
  51,700      

Royal Bank of Canada

      3,756,018  
  126,300      

Shaw Communications, Inc. Class B‡

      2,610,948  
  27,100      

Sun Life Financial, Inc.

      986,748  
  42,200      

TFI International, Inc.‡

      982,499  
  49,400      

Thomson Reuters Corp. (New York Exchange)

      2,135,562  
  73,600      

Toronto-Dominion Bank

      3,675,999  
  8,613      

Valener, Inc.‡

      141,177  
      

 

 

  
   

Total Canada

      45,360,424  
      

 

 

  
   

Denmark — 0.2%

 

  7,900      

Carlsberg AS Class B

      731,739  
  27,802      

H Lundbeck AS

      1,293,182  
  1,767      

Matas AS

      25,160  
  963      

Schouw & Co.

      88,575  
      

 

 

  
   

Total Denmark

      2,138,656  
      

 

 

  
   

Finland — 0.2%

 

  40,106      

Orion OYJ Class B

      2,096,296  
  32,235      

Raisio OYJ Class V

      116,187  
  12,320      

Tokmanni Group Corp.

      137,171  
      

 

 

  
   

Total Finland

      2,349,654  
      

 

 

  

 

130    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

France — 1.8%

 

  10,732      

Aeroports de Paris

      1,329,773  
  487      

Bongrain SA

      40,649  
  6,521      

Caisse Regionale de Credit Agricole Mutuel Nord de France

      140,955  
  15,678      

Carrefour SA

      370,582  
  223,817      

Credit Agricole SA

      3,040,169  
  233      

GFI Informatique SA

      1,941  
  4,758      

Groupe Guillin

      169,868  
  7,434      

Ipsen SA

      745,489  
  885      

Manutan International

      65,880  
  15,353      

Metropole Television SA

      343,523  
  167,356      

Sanofi

      15,146,603  
  14,798      

SPIE SA

      357,932  
  1,748      

Vetoquinol SA

      98,676  
  5,599      

Vilmorin & Cie SA

      386,671  
      

 

 

  
   

Total France

      22,238,711  
      

 

 

  
   

Germany — 1.3%

   
  8,103      

Aurubis AG

      544,433  
  68,779      

Celesio AG

      1,892,029  
  227      

Homag Group AG

      12,018  
  6,693      

Hornbach Baumarkt AG

      209,243  
  5,425      

Hornbach Holding AG & Co. KGaA

      403,260  
  2,351      

KWS Saat SE

      731,597  
  31,806      

Merck KGaA

      3,633,133  
  21,210      

METRO AG

      680,101  
  78,113      

Rhoen-Klinikum AG

      2,136,264  
  42,903      

Salzgitter AG

      1,557,171  
  7,209      

SAP SE

      709,201  
  9,414      

STADA Arzneimittel AG

      577,845  
  96,747      

Suedzucker AG

      2,433,749  
  17,892      

Wuestenrot & Wuerttembergische AG

      355,937  
      

 

 

  
   

Total Germany

      15,875,981  
      

 

 

  
   

Hong Kong — 0.4%

   
  335,000      

CLP Holdings, Ltd.

      3,502,380  
  28,900      

Hong Kong & China Gas Co., Ltd.

      57,789  
  26,000      

Hong Kong Ferry Holdings Co., Ltd.

      29,809  
  59,500      

Hongkong & Shanghai Hotels (The)

      69,977  
  51,500      

Hopewell Holdings, Ltd.

      194,165  
  60,000      

Liu Chong Hing Investment, Ltd.

      85,698  
  60,000      

Miramar Hotel & Investment Co., Ltd.

      128,933  
  397,000      

Regal Real Estate Investment Trust REIT

      113,407  
  784,000      

Sunlight Real Estate Investment Trust REIT

      464,054  
      

 

 

  
   

Total Hong Kong

      4,646,212  
      

 

 

  
   

Ireland — 0.5%

   
  21,800      

Accenture Plc Class A

      2,613,384  
  106,989      

Hibernia Plc REIT

      142,465  

 

   See accompanying Notes to the Financial Statements.      131  

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Ireland — continued

   
  134,153      

Irish Residential Properties Plc REIT

      177,919  
  3,278      

Kerry Group Plc Class A

      258,391  
  40,200      

Medtronic Plc

      3,238,512  
  55,591      

Total Produce Plc

      115,942  
  13,016      

UDG Healthcare Plc

      114,257  
      

 

 

  
   

Total Ireland

      6,660,870  
      

 

 

  
   

Israel — 0.5%

   
  166,473      

Amot Investments, Ltd.

      802,445  
  426,581      

Bank Hapoalim BM

      2,594,383  
  51,123      

Bank Leumi Le-Israel BM*

      225,305  
  4,566      

Check Point Software Technologies, Ltd.* ‡

      468,746  
  1,770      

FIBI Holdings, Ltd.

      36,321  
  340,722      

Israel Discount Bank, Ltd. Class A*

      798,663  
  134,362      

Shufersal, Ltd.

      649,512  
  39,238      

Teva Pharmaceutical Industries, Ltd., ADR

      1,259,147  
      

 

 

  
   

Total Israel

      6,834,522  
      

 

 

  
   

Italy — 0.2%

   
  62,664      

Ascopiave Spa

      232,567  
  118,097      

Hera Spa

      329,418  
  768,501      

Parmalat Spa‡

      2,520,099  
      

 

 

  
   

Total Italy

      3,082,084  
      

 

 

  
   

Japan — 3.9%

   
  11,300      

Aeon Hokkaido Corp.

      61,454  
  37,400      

Alpen Co., Ltd.

      649,457  
  8,600      

Asahi Holdings, Inc.

      155,437  
  3,000      

AT-Group Co., Ltd.

      71,264  
  101,200      

Canon, Inc.

      3,152,340  
  152,200      

Daiichi Sanyko Co., Ltd.

      3,424,261  
  27,000      

DyDo Group Holdings, Inc.

      1,262,407  
  9,900      

Earth Chemical Co., Ltd.

      530,405  
  150,100      

EDION Corp.‡

      1,378,016  
  12,200      

Heiwa Corp.

      303,057  
  102,500      

Japan Tobacco, Inc.

      3,328,053  
  6,000      

Joshin Denki Co., Ltd.

      61,168  
  1,900      

Kadoya Sesame Mills, Inc.

      96,680  
  19,200      

Kato Sangyo Co., Ltd.

      492,104  
  1,000      

KFC Holdings Japan, Ltd.

      17,545  
  49,000      

KYORIN Holdings, Inc.

      1,033,824  
  39,000      

McDonald’s Holdings Co., Ltd.

      1,137,485  
  4,200      

Mitsubishi Shokuhin Co., Ltd.

      130,037  
  167,200      

Mitsubishi Tanabe Pharma Corp.

      3,478,144  
  3,400      

Mitsui Sugar Co., Ltd.

      82,658  
  6,700      

Mochida Pharmaceutical Co., Ltd.

      496,653  
  14,900      

MOS Food Services, Inc.‡

      433,909  
  30,500      

Nippon Flour Mills Co., Ltd.

      449,987  

 

132    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Japan — continued

   
  60,700      

Nippon Telegraph & Telephone Corp.

      2,588,588  
  542,000      

Nisshin Oillio Group, Ltd. (The)

      3,083,801  
  20,800      

NTT DoCoMo, Inc.

      483,927  
  6,000      

Ohsho Food Service Corp.

      221,574  
  16,900      

Okinawa Cellular Telephone Co.

      546,751  
  42,500      

Okinawa Electric Power Co., Inc. (The)

      1,009,199  
  32,200      

Otsuka Holdings Co., Ltd.

      1,451,211  
  12,600      

Parco Co., Ltd.

      134,673  
  22,500      

Shimachu Co., Ltd.

      547,406  
  78,000      

Showa Sangyo Co., Ltd.‡

      411,595  
  43,100      

Sumitomo Dainippon Pharma Co., Ltd.‡

      710,920  
  17,100      

Suzuken Co., Ltd.

      560,127  
  33,200      

Taisho Pharmaceutical Holdings Co., Ltd.

      2,693,422  
  45,400      

Takara Holdings, Inc.

      489,324  
  74,300      

Takeda Pharmaceutical Co., Ltd.

      3,486,626  
  130,000      

Toppan Printing Co., Ltd.

      1,324,150  
  78,700      

Tsumura & Co.

      2,464,893  
  68,900      

Vital KSK Holdings, Inc.

      638,112  
  284,600      

Yamada Denki Co., Ltd.‡

      1,417,509  
  24,100      

Yodogawa Steel Works, Ltd.

      653,163  
  97,300      

Yoshinoya Holdings Co., Ltd.‡

      1,413,701  
  5,900      

ZERIA Pharmaceutical Co., Ltd.

      90,647  
      

 

 

  
   

Total Japan

      48,647,664  
      

 

 

  
   

Luxembourg — 0.3%

   
  67,092      

Aperam SA‡

      3,361,873  
  89,943      

Atento SA*

      822,978  
      

 

 

  
   

Total Luxembourg

      4,184,851  
      

 

 

  
   

Netherlands — 0.6%

   
  2,996      

ASR Nederland NV*

      85,637  
  54,264      

ForFarmers NV*

      463,724  
  40,906      

Heineken Holding NV

      3,262,512  
  131,227      

QIAGEN NV*

      3,801,646  
      

 

 

  
   

Total Netherlands

      7,613,519  
      

 

 

  
   

New Zealand — 1.7%

   
  709,120      

Argosy Property, Ltd.

      480,839  
  420,500      

Auckland International Airport, Ltd.

      1,987,105  
  380,765      

Chorus, Ltd.

      1,149,871  
  645,888      

Contact Energy, Ltd.

      2,284,630  
  85,411      

Ebos Group, Ltd.

      1,089,645  
  355,045      

Fisher & Paykel Healthcare Corp., Ltd.

      2,407,484  
  94,773      

Fonterra Co-operative Group, Ltd.

      401,481  
  137,950      

Freightways, Ltd.

      722,290  
  662,719      

Genesis Energy, Ltd.

      963,609  
  445,940      

Goodman Property Trust REIT‡

      375,640  
  794,444      

Infratil, Ltd.

      1,616,086  

 

   See accompanying Notes to the Financial Statements.      133  

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

New Zealand — continued

   
  1,388,432      

Kiwi Property Group, Ltd. REIT

      1,383,081  
  68,440      

Mainfreight, Ltd.

      1,080,773  
  953,517      

Mercury NZ, Ltd.

      2,099,651  
  166,431      

Metlifecare, Ltd.

      713,186  
  290,401      

Precinct Properties New Zealand, Ltd.

      247,666  
  96,270      

Sky City Entertainment Group, Ltd. REIT

      279,285  
  268,778      

Summerset Group Holdings, Ltd.

      971,387  
  11,949      

Trustpower, Ltd.

      38,424  
  135,941      

Vector, Ltd.

      304,095  
  69,743      

Warehouse Group, Ltd. (The)‡

      112,621  
  23,743      

Z Energy, Ltd.

      115,519  
      

 

 

  
   

Total New Zealand

      20,824,368  
      

 

 

  
   

Norway — 1.7%

   
  19,417      

Aker ASA Class A

      750,555  
  20,824      

Atea ASA*

      244,877  
  317,581      

Austevoll Seafood ASA

      2,329,472  
  60,501      

Leroy Seafood Group ASA

      2,648,579  
  191,778      

Marine Harvest ASA*

      2,922,812  
  764,850      

Norsk Hydro ASA

      4,440,082  
  3,384      

Olav Thon Eiendomsselskap ASA

      63,433  
  343,961      

Orkla ASA

      3,079,626  
  29,440      

SpareBank 1 Nord Norge

      189,379  
  206,541      

Telenor ASA

      3,436,378  
  1,401      

Wilh Wilhelmsen Holding ASA Class A

      37,028  
  26,099      

Yara International ASA

      1,004,591  
      

 

 

  
   

Total Norway

      21,146,812  
      

 

 

  
   

Panama — 0.2%

   
  40,300      

Carnival Corp.

      2,374,073  
      

 

 

  
   

Portugal — 0.0%

   
  139,574      

REN - Redes Energeticas Nacionais SGPS SA

      421,123  
      

 

 

  
   

Puerto Rico — 0.1%

   
  47,400      

Popular, Inc.

      1,930,602  
      

 

 

  
   

Singapore — 0.6%

   
  158,100      

DBS Group Holdings, Ltd.

      2,195,048  
  210,000      

Fortune Real Estate Investment Trust REIT

      235,090  
  53,800      

Fraser and Neave, Ltd.

      88,942  
  15,200      

Hong Leong Finance, Ltd.

      29,371  
  52,700      

Metro Holdings, Ltd.

      44,504  
  830,800      

OUE, Ltd.

      1,272,391  
  310,600      

Sheng Siong Group, Ltd.

      210,060  
  31,400      

SIA Engineering Co., Ltd.

      82,921  
  39,200      

Singapore Airlines, Ltd.

      282,505  
  460,800      

SPH REIT

      323,183  
  741,900      

StarHub, Ltd.‡

      1,529,143  

 

134    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

Singapore — continued

   
  159,300      

Venture Corp., Ltd.

      1,307,644  
  126,400      

Wilmar International, Ltd.

      319,325  
      

 

 

  
   

Total Singapore

      7,920,127  
      

 

 

  
   

Spain — 0.4%

   
  140,725      

Ebro Foods SA

      2,852,209  
  112,952      

Endesa SA

      2,661,395  
      

 

 

  
   

Total Spain

      5,513,604  
      

 

 

  
   

Sweden — 0.8%

   
  9,636      

Axfood AB‡

      145,269  
  106,652      

Bonava AB Class B*

      1,564,846  
  102,048      

Cloetta AB Class B

      404,612  
  22,988      

Saab AB Class B‡

      974,022  
  102,697      

Svenska Cellulosa AB SCA Class B

      3,324,197  
  101,007      

Swedish Match AB

      3,297,777  
      

 

 

  
   

Total Sweden

      9,710,723  
      

 

 

  
   

Switzerland — 4.2%

   
  14,845      

Allreal Holding AG*

      2,426,337  
  720      

Alpiq Holding AG*

      63,408  
  7,839      

ALSO Holding AG*

      964,065  
  106      

APG SGA SA

      49,481  
  1,752      

Banque Cantonale de Geneve

      273,928  
  190      

Barry Callebaut AG*

      248,474  
  1,090      

Bell AG

      453,010  
  170      

Berner Kantonalbank AG

      31,318  
  18,242      

BKW AG

      986,867  
  1,100      

Chubb, Ltd.

      149,875  
  4,328      

Coca-Cola HBC AG*

      111,540  
  60,365      

Credit Suisse Group AG*

      898,585  
  4,904      

Flughafen Zuerich AG

      1,046,010  
  845      

Galenica AG

      891,473  
  2,259      

Intershop Holding AG

      1,123,914  
  14,530      

Kuehne + Nagel International AG

      2,054,044  
  244      

Luzerner Kantonalbank AG

      103,358  
  27      

Metall Zug AG Class B

      107,924  
  2,486      

Mobimo Holding AG*

      643,884  
  268,596      

Nestle SA

      20,622,012  
  189,029      

Novartis AG

      14,040,967  
  44      

Romande Energie Holding SA

      55,168  
  1,098      

St Galler Kantonalbank AG

      460,448  
  4,036      

Swiss Life Holding AG*

      1,303,197  
  11,996      

Swiss Prime Site AG*

      1,056,444  
  331      

Swisscom AG

      152,810  
  3,589      

Valora Holding AG

      1,241,512  
  2,755      

Ypsomed Holding AG*

      524,329  
  32      

Zug Estates Holding AG Class B*

      54,796  
      

 

 

  
   

Total Switzerland

      52,139,178  
      

 

 

  

 

   See accompanying Notes to the Financial Statements.      135  

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United Kingdom — 7.0%

   
  20,200      

Aon Plc

      2,397,538  
  58,307      

AstraZeneca Plc

      3,581,704  
  135,219      

Atrium European Real Estate, Ltd.

      548,557  
  82,943      

BAE Systems Plc

      666,376  
  372,056      

BCA Marketplace Plc

      846,732  
  92,348      

Berendsen Plc

      846,443  
  50,245      

British American Tobacco Plc

      3,329,930  
  230,829      

Britvic Plc

      1,868,945  
  67,568      

BTG Plc*

      495,536  
  1,502      

Carnival Plc

      85,983  
  448,311      

Centrica Plc

      1,216,481  
  69,691      

Compass Group Plc

      1,312,406  
  4,163      

Cranswick Plc

      133,212  
  7,565      

Dechra Pharmaceuticals Plc

      158,355  
  123,830      

Diageo Plc

      3,535,845  
  20,842      

EI Group Plc*

      35,379  
  29,881      

EMIS Group Plc

      331,612  
  6,588      

Gamma Communications Plc

      40,448  
  171,031      

GlaxoSmithKline Plc

      3,549,102  
  15,264      

Headlam Group Plc

      119,102  
  24,417      

Hill & Smith Holdings Plc

      388,370  
  66,623      

Imperial Brands Plc

      3,221,549  
  152,166      

International Game Technology Plc

      3,606,334  
  404,739      

J Sainsbury Plc

      1,337,638  
  237,580      

JD Sports Fashion Plc

      1,144,657  
  26,331      

John Menzies Plc

      223,236  
  37,437      

Kcom Group Plc

      42,132  
  144,494      

Kennedy Wilson Europe Real Estate Plc

      1,706,547  
  773,315      

Kingfisher Plc

      3,153,360  
  15,084,581      

Lloyds Banking Group Plc

      12,509,621  
  252,640      

Melrose Industries Plc

      704,488  
  3,101      

National Grid Plc

      39,300  
  18,738      

QinetiQ Group Plc

      65,372  
  37,130      

Reckitt Benckiser Group Plc

      3,382,833  
  88,946      

RELX Plc

      1,739,521  
  1,087,037      

Rentokil Initial Plc

      3,353,358  
  784,838      

Royal Bank of Scotland Group Plc*

      2,375,971  
  11,227      

Secure Income Plc REIT

      48,574  
  171,079      

Smith & Nephew Plc

      2,601,337  
  156,184      

SSE Plc

      2,882,633  
  68,745      

Tate & Lyle Plc

      657,181  
  12,010      

TBC Bank Group Plc*

      224,818  
  5,237,554      

Tesco Plc*

      12,155,501  
  658,218      

Tritax Big Box Plc REIT

      1,190,157  
  12,470      

Ultra Electronics Holdings Plc

      323,089  
  1,142,674      

Vodafone Group Plc

      2,973,451  
      

 

 

  
   

Total United Kingdom

      87,150,714  
      

 

 

  

 

136    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United States — 52.9%

   
  19,200      

3M Co.

      3,673,536  
  23,200      

Adobe Systems, Inc.*

      3,019,016  
  4,600      

Alexandria Real Estate Equities, Inc. REIT‡

      508,392  
  2,600      

Alleghany Corp.*

      1,598,116  
  30,200      

Allstate Corp. (The)

      2,460,998  
  9,413      

Alphabet, Inc. Class A*

      7,980,341  
  26,977      

Alphabet, Inc. Class C*

      22,379,040  
  67,900      

Altria Group, Inc.

      4,849,418  
  2,500      

Amazon.com, Inc.*

      2,216,350  
  35,400      

Amdocs, Ltd.

      2,159,046  
  31,700      

Ameren Corp.

      1,730,503  
  32,200      

American Campus Communities, Inc. REIT

      1,532,398  
  33,700      

American Electric Power Co., Inc.

      2,262,281  
  4,900      

American Express Co.

      387,639  
  21,800      

American Financial Group, Inc.

      2,080,156  
  190,700      

Annaly Capital Management, Inc. REIT

      2,118,677  
  15,300      

ANSYS, Inc.*

      1,635,111  
  54,000      

Apple Hospitality, Inc. REIT

      1,031,400  
  256,033      

Apple, Inc.

      36,781,701  
  30,100      

Applied Materials, Inc.

      1,170,890  
  58,000      

Aramark

      2,138,460  
  4,500      

Archer-Daniels-Midland Co.

      207,180  
  37,800      

Arthur J. Gallagher & Co.

      2,137,212  
  104,000      

AT&T, Inc.

      4,321,200  
  17,200      

Atmos Energy Corp.

      1,358,628  
  1,900      

AutoZone, Inc.*

      1,373,795  
  19,100      

Bank of Hawaii Corp.

      1,573,076  
  14,600      

Bank of New York Mellon Corp. (The)

      689,558  
  27,900      

Baxter International, Inc.

      1,446,894  
  14,000      

Becton Dickinson and Co.

      2,568,160  
  9,800      

Berkshire Hathaway, Inc. Class B*

      1,633,464  
  19,100      

Boeing Co. (The)

      3,378,026  
  26,900      

Brinker International, Inc.‡

      1,182,524  
  41,900      

Brown & Brown, Inc.

      1,748,068  
  58,600      

CA, Inc.

      1,858,792  
  2,300      

Cable One, Inc.‡

      1,436,281  
  14,200      

Cabot Corp.

      850,722  
  20,600      

Cadence Design Systems, Inc.*

      646,840  
  26,100      

Campbell Soup Co.

      1,493,964  
  31,300      

Cardinal Health, Inc.

      2,552,515  
  18,300      

Carlisle Cos., Inc.

      1,947,303  
  34,400      

CDK Global, Inc.

      2,236,344  
  75,600      

CenterPoint Energy, Inc.

      2,084,292  
  19,400      

CH Robinson Worldwide, Inc.

      1,499,426  
  66,700      

Chimera Investment Corp. REIT

      1,346,006  
  35,000      

Cinemark Holdings, Inc.

      1,551,900  
  200      

Clean Harbors, Inc.*

      11,124  
  17,100      

Clorox Co. (The)

      2,305,593  
  12,800      

CMS Energy Corp.

      572,672  

 

   See accompanying Notes to the Financial Statements.      137  

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United States — continued

   
  40,000      

Columbia Property Trust, Inc. REIT

      890,000  
  110,200      

Comcast Corp. Class A

      4,142,418  
  31,513      

Commerce Bancshares, Inc.‡

      1,769,770  
  56,700      

Conagra Brands, Inc.

      2,287,278  
  23,800      

Consolidated Edison, Inc.

      1,848,308  
  6,500      

Constellation Brands, Inc. Class A

      1,053,455  
  10,700      

Cooper Cos., Inc. (The)

      2,138,823  
  34,600      

Copart, Inc.*

      2,142,778  
  32,600      

Corporate Office Properties Trust REIT

      1,079,060  
  78,682      

Costco Wholesale Corp.

      13,194,184  
  9,300      

CR Bard, Inc.

      2,311,422  
  6,800      

Crane Co.

      508,844  
  212,114      

CVS Health Corp.

      16,650,949  
  24,200      

Danaher Corp.

      2,069,826  
  32,000      

Darden Restaurants, Inc.

      2,677,440  
  700      

Domino’s Pizza, Inc.

      129,010  
  22,300      

Dr Pepper Snapple Group, Inc.

      2,183,616  
  21,600      

DTE Energy Co.

      2,205,576  
  22,400      

East-West Bancorp, Inc.

      1,156,064  
  584,573      

eBay, Inc.*

      19,624,116  
  28,100      

Edison International

      2,237,041  
  15,200      

Eli Lilly & Co.

      1,278,472  
  4,400      

Entergy Corp.

      334,224  
  3,600      

EPR Properties REIT

      265,068  
  17,100      

Equity LifeStyle Properties, Inc. REIT

      1,317,726  
  4,100      

Erie Indemnity Co. Class A

      503,070  
  5,400      

Essex Property Trust, Inc. REIT

      1,250,262  
  48,700      

Exelon Corp.

      1,752,226  
  1,200      

Express Scripts Holding Co.*

      79,092  
  4,100      

F5 Networks, Inc.*

      584,537  
  140,373      

Facebook, Inc. Class A*

      19,939,985  
  12,400      

FedEx Corp.

      2,419,860  
  59,800      

FirstEnergy Corp.

      1,902,836  
  5,800      

Fiserv, Inc.*

      668,798  
  13,300      

General Dynamics Corp.

      2,489,760  
  29,300      

General Mills, Inc.

      1,728,993  
  14,400      

Hanover Insurance Group, Inc. (The)

      1,296,864  
  13,300      

Hawaiian Electric Industries, Inc.

      443,023  
  155,817      

HCA Holdings, Inc.*

      13,866,155  
  14,200      

Hershey Co. (The)

      1,551,350  
  8,200      

Highwoods Properties, Inc. REIT

      402,866  
  10,100      

Hill-Rom Holdings, Inc.

      713,060  
  8,200      

Hologic, Inc.*

      348,910  
  23,900      

Home Depot, Inc. (The)

      3,509,237  
  26,300      

Honeywell International, Inc.

      3,284,081  
  46,100      

Hospitality Properties Trust REIT

      1,453,533  
  11,900      

Huntington Ingalls Industries, Inc.

      2,382,856  
  4,100      

IAC/InterActiveCorp*

      302,252  
  15,900      

Ingredion, Inc.

      1,914,837  

 

138    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United States — continued

   
  97,800      

Intel Corp.

      3,527,646  
  2,100      

IntercontinentalExchange Group, Inc.

      125,727  
  26,900      

International Business Machines Corp.

      4,684,366  
  21,500      

Intuit, Inc.

      2,493,785  
  6,200      

J.B. Hunt Transport Services, Inc.

      568,788  
  10,400      

Jack Henry & Associates, Inc.

      968,240  
  15,300      

JM Smucker Co. (The)

      2,005,524  
  41,200      

Johnson & Johnson

      5,131,460  
  22,500      

Kellogg Co.

      1,633,725  
  2,000      

Kimberly-Clark Corp.

      263,260  
  5,900      

Kla-Tencor Corp.

      560,913  
  16,200      

Landstar System, Inc.

      1,387,530  
  8,700      

Liberty Property Trust REIT

      335,385  
  11,100      

Lockheed Martin Corp.

      2,970,360  
  324,722      

Lowe’s Cos., Inc.

      26,695,396  
  11,200      

M&T Bank Corp.

      1,732,976  
  22,700      

Macquarie Infrastructure Corp.

      1,829,166  
  6,600      

ManpowerGroup, Inc.

      676,962  
  153,634      

Mastercard, Inc. Class A

      17,279,216  
  42,100      

Maxim Integrated Products, Inc.

      1,892,816  
  3,300      

McCormick & Co., Inc.

      321,915  
  156,823      

McDonald’s Corp.

      20,325,829  
  61,700      

Merck & Co., Inc.

      3,920,418  
  90,100      

MFA Financial, Inc. REIT

      728,008  
  405,337      

Microsoft Corp.

      26,695,495  
  263      

Mid-America Apartment Communities, Inc. REIT

      26,758  
  7,200      

Morningstar, Inc.

      565,920  
  27,000      

Motorola Solutions, Inc.

      2,327,940  
  2,400      

NewMarket Corp.

      1,087,752  
  6,500      

Newmont Mining Corp.

      214,240  
  18,200      

NextEra Energy, Inc.

      2,336,334  
  13,400      

Northern Trust Corp.

      1,160,172  
  9,600      

Northrop Grumman Corp.

      2,283,264  
  200      

NVR, Inc.*

      421,376  
  23,700      

Omnicom Group, Inc.

      2,043,177  
  478,174      

Oracle Corp.

      21,331,342  
  34,000      

PacWest Bancorp

      1,810,840  
  8,400      

Panera Bread Co. Class A* ‡

      2,199,708  
  366,378      

PayPal Holdings, Inc.*

      15,761,581  
  33,000      

PepsiCo, Inc.

      3,691,380  
  78,400      

Pfizer, Inc.

      2,682,064  
  36,100      

PG&E Corp.

      2,395,596  
  47,200      

Philip Morris International, Inc.

      5,328,880  
  52,000      

Piedmont Office Realty Trust, Inc. REIT Class A

      1,111,760  
  29,800      

Pinnacle Foods, Inc.

      1,724,526  
  4,000      

Pinnacle West Capital Corp.

      333,520  
  14,200      

Pool Corp.

      1,694,486  
  200      

Priceline Group, Inc. (The)*

      355,994  
  41,800      

Procter & Gamble Co. (The)

      3,755,730  

 

   See accompanying Notes to the Financial Statements.      139  

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

United States — continued

   
  37,300      

Progressive Corp. (The)

      1,461,414  
  24,500      

Public Service Enterprise Group, Inc.

      1,086,575  
  117,232      

QUALCOMM, Inc.

      6,722,083  
  17,600      

Raytheon Co.

      2,684,000  
  33,000      

Regal Entertainment Group Class A‡

      745,140  
  16,300      

Reinsurance Group of America, Inc.

      2,069,774  
  39,300      

Republic Services, Inc.

      2,468,433  
  25,900      

Retail Properties of America, Inc. REIT Class A

      373,478  
  17,400      

RPM International, Inc.

      957,522  
  68,900      

Senior Housing Properties Trust REIT

      1,395,225  
  1,600      

Six Flags Entertainment Corp.

      95,184  
  3,400      

Spectrum Brands Holdings, Inc.

      472,634  
  1,900      

Spirit AeroSystems Holdings, Inc. Class A

      110,048  
  341,323      

Starbucks Corp.

      19,929,850  
  59,200      

Starwood Property Trust, Inc. REIT ‡

      1,336,736  
  20,100      

Stryker Corp.‡

      2,646,165  
  15,700      

Sun Communities, Inc. REIT

      1,261,181  
  44,300      

SunTrust Banks, Inc.

      2,449,790  
  35,500      

Synopsys, Inc.*

      2,560,615  
  52,000      

Synovus Financial Corp.

      2,133,040  
  46,800      

Sysco Corp.

      2,429,856  
  71,700      

TCF Financial Corp.

      1,220,334  
  6,100      

Teleflex, Inc.

      1,181,753  
  39,000      

Texas Instruments, Inc.

      3,141,840  
  18,400      

TFS Financial Corp.

      305,808  
  14,500      

Thermo Fisher Scientific, Inc.

      2,227,200  
  6,300      

Torchmark Corp.

      485,352  
  9,700      

Travelers Cos., Inc. (The)

      1,169,238  
  8,200      

Tupperware Brands Corp.

      514,304  
  30,900      

Tyson Foods, Inc. Class A

      1,906,839  
  32,300      

UGI Corp.

      1,595,620  
  24,400      

United Parcel Service, Inc. Class B

      2,618,120  
  21,800      

UnitedHealth Group, Inc.

      3,575,418  
  50,100      

US Bancorp

      2,580,150  
  30,500      

Vectren Corp.

      1,787,605  
  20,000      

Ventas, Inc. REIT

      1,300,800  
  71,900      

Verizon Communications, Inc.

      3,505,125  
  274,203      

Visa, Inc. Class A‡

      24,368,421  
  48,000      

Wal-Mart Stores, Inc.

      3,459,840  
  34,000      

Waste Management, Inc.

      2,479,280  
  373,125      

Wells Fargo & Co.

      20,768,137  
  23,400      

WP Carey, Inc. REIT‡

      1,455,948  
  3,300      

Xcel Energy, Inc.

      146,685  
  17,500      

Yum China Holdings, Inc. *

      476,000  
  267,519      

Yum! Brands, Inc.

      17,094,464  
  7,700      

Zimmer Biomet Holdings, Inc.

      940,247  
      

 

 

  
   

Total United States

      661,101,456  
      

 

 

  
   

TOTAL COMMON STOCKS (COST $977,983,443)

      1,098,970,080  
      

 

 

  

 

140    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2017

 

Shares          Description    Value ($)  
   

PREFERRED STOCKS — 0.3%

   
   

Germany — 0.3%

   
  26,000      

Henkel AG & Co. KGaA, 1.35%

      3,339,776  
      

 

 

  
   

Japan — 0.0%

   
  128      

Shinkin Central Bank, 2.81% Class A

      269,486  
      

 

 

  
   

Sweden — 0.0%

   
  3,915      

Akelius Residential Property AB, 6.42%

      135,494  
      

 

 

  
   

TOTAL PREFERRED STOCKS (COST $3,192,475)

      3,744,756  
      

 

 

  
Par Value ($)          Description    Value ($)  
   

SHORT-TERM INVESTMENTS — 14.8%

   
   

Bank Deposit — 13.4%

   
  167,115,205      

State Street Bank & Trust Euro Time Deposit, 0.09%, due 04/03/17

      167,115,205  
      

 

 

  
   

Mutual Fund - Securities Lending Collateral — 1.3%

   
  15,618,084      

State Street Institutional U.S. Government Money Market Fund, Premier Class**

      15,618,084  
      

 

 

  
   

U.S. Government and Agency Obligations — 0.1%

   
  1,600,000      

United States Treasury Bill, 0.65%, due 04/27/17*** ‡‡

      1,599,227  
      

 

 

  
   

TOTAL SHORT-TERM INVESTMENTS (COST $184,332,781)

      184,332,516  
      

 

 

  
   

TOTAL INVESTMENTS — 103.0%

(Cost $1,165,508,699)

      1,287,047,352  
   

Other Assets and Liabilities (net) — (3.0)%

      (37,187,575 ) 
      

 

 

  
   

NET ASSETS — 100.0%

      $1,249,859,777  
      

 

 

  
   

Notes to Schedule of Investments:

   
    ADR — American Depository Receipt   
    REIT — Real Estate Investment Trust   
  *   Non-income producing security   
  **   Represents an investment of securities lending cash collateral.   
  ***   All or a portion of this security is held for open futures collateral.   
  ‡   All or a portion of this security is out on loan.   
  ‡‡   Interest rate presented is yield to maturity.   

 

   See accompanying Notes to the Financial Statements.      141  

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Futures Contracts

 

Number of
Contracts

          

Type

        

Expiration Date

     

Contract
Value

     

Unrealized
Appreciation
(Depreciation)

  
  Buys                    
  25        

Canadian Dollar

         June 2017      $ 1,883,250      $ 17,934  
  213        

MSCI EAFE E-mini Index

         June 2017        18,978,300        278,792  
  275        

S&P 500 E-mini Index

         June 2017        32,439,000        (15,804 ) 
  14        

S&P/TSX 60 Index

         June 2017        1,914,955        (7,524 ) 
                 

 

 

  
                  $ 273,398  
                 

 

 

  

 

142    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

March 31, 2017

 

Industry Sector Summary (Unaudited)    % of Net Assets

Retail

        11.9

Food

        7.1

Pharmaceuticals

        7.0

Banks

        6.8

Internet

        5.9

Software

        4.9

Computers

        4.2

Electric

        4.2

Commercial Services

        3.9

Telecommunications

        2.9

Insurance

        2.8

Agriculture

        2.2

Health Care — Products

        2.2

Diversified Financial Services

        2.1

REITS

        2.1

Health Care — Services

        1.8

Beverages

        1.6

Real Estate

        1.6

Aerospace & Defense

        1.3

Transportation

        1.3

Media

        0.9

Semiconductors

        0.9

Household Products & Wares

        0.8

Miscellaneous — Manufacturing

        0.8

Iron & Steel

        0.7

Electronics

        0.6

Gas

        0.6

Chemicals

        0.5

Engineering & Construction

        0.5

Entertainment

        0.5

Environmental Control

        0.4

Metal Fabricate & Hardware

        0.4

Cosmetics & Personal Care

        0.3

Forest Products & Paper

        0.3

Machinery — Diversified

        0.3

Mining

        0.3

Advertising

        0.2

Distribution & Wholesale

        0.2

Investment Companies

        0.2

Leisure Time

        0.2

Oil & Gas

        0.2

Shipbuilding

        0.2

Biotechnology

        0.1

Food Service

        0.1

Holding Companies — Diversified

        0.1

Packaging & Containers

        0.1

Airlines

        0.0

Energy-Alternate Sources

        0.0

Home Builders

        0.0

Housewares

        0.0

Lodging

        0.0

Savings & Loans

        0.0

Short-Term Investments and Other Assets and Liabilities (net)

        11.8
    

 

 

  
       100.0 %
    

 

 

  

 

   See accompanying Notes to the Financial Statements.      143  

Table of Contents

Mercer Funds

Statements of Assets and Liabilities

March 31, 2017

 

 

    Mercer US Large
Cap Equity Fund
(formerly known as
Mercer  US Large Cap
Growth Equity Fund)		   Mercer US Small/Mid
Cap Equity Fund
(formerly known as
Mercer US Small/Mid Cap
Growth Equity Fund)		   Mercer Non-US
Core Equity Fund		   Mercer Core Fixed
Income Fund

Assets

                

Investments, at value(a)

     $ 612,594,327     $ 1,010,984,523     $ 2,341,946,299     $ 789,285,698

Foreign currency, at value(b)

       —       —       5,403,648       —

Cash

       —       41,286       140,608       —

Receivable for investments sold

       3,614,571       7,553,113       8,101,435       1,026,060

Receivable for TBA securities sold

       —       —       —       5,841,005

Dividend and interest receivable

       702,666       861,452       8,300,191       5,079,035

Cash collateral held at broker on open centrally cleared swap contracts

       —       —       —       860,000

Cash collateral held at broker on open futures contracts

       —       850,000       150,000       —

Unrealized appreciation on open forward foreign currency contracts

       —       —       75,440       —

Receivable for variation margin on open futures contracts

       —       32,465       —       74,605

Foreign tax reclaims receivable

       162,191       49,197       2,510,011       713

Securities lending income receivable

       12,078       24,150       75,071       7,266

Prepaid expenses

       3,170       5,057       10,937       4,437
   

 

 

      

 

 

      

 

 

      

 

 

  

Total assets

       617,089,003       1,020,401,243       2,366,713,640       802,178,819
   

 

 

      

 

 

      

 

 

      

 

 

  

Liabilities

                

Payable for investments purchased

       3,015,208       6,273,430       11,011,577       6,183,215

Payable for TBA and when-issued securities purchased

       —       —       —       17,564,798

Payable for Fund shares repurchased

       1,933,619       5,000,000       351,632       —

Due to custodian

       —       —       —       718,151

Written options, at value(c)

       —       —       —       12,500

Payable for variation margin on open centrally cleared swap contracts

       —       —       —       96,920

Cash collateral on open centrally cleared swap contracts due to broker

       —       —       —       480,000

Unrealized depreciation on open forward foreign currency contracts

       —       —       57,033       —

Variation margin payable on open futures contracts

       12,649       —       237,108       —

Obligation to return securities lending collateral

       10,620,680       35,627,563       81,928,175       10,554,630

Payable to affiliate for:

                

Advisory fees

       272,522       741,653       1,343,062       227,033

Trustees fees

       546       857       1,784       774

TBA Sale Commitments, at value(d)

       —       —       —       511,484

Interest payable on TBA securities

       —       —       —       535

Payable for foreign capital gains tax

       —       —       21,671       —

Accrued expenses

       174,788       301,954       657,223       225,804
   

 

 

      

 

 

      

 

 

      

 

 

  

Total liabilities

       16,030,012       47,945,457       95,609,265       36,575,844
   

 

 

      

 

 

      

 

 

      

 

 

  

Net assets

     $ 601,058,991     $ 972,455,786     $ 2,271,104,375     $ 765,602,975
   

 

 

      

 

 

      

 

 

      

 

 

  

 

144    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Funds

Statements of Assets and Liabilities (Continued)

March 31, 2017

 

 

    Mercer US Large
Cap Equity Fund
(formerly known as
Mercer  US Large Cap
Growth Equity Fund)		   Mercer US Small/Mid
Cap Equity Fund
(formerly known as
Mercer US Small/Mid Cap
Growth Equity Fund)		   Mercer Non-US
Core Equity Fund		   Mercer Core Fixed
Income Fund

Net assets consist of:

                

Paid-in capital

     $ 511,422,539     $ 791,847,931     $ 2,105,510,214     $ 773,617,140

Accumulated undistributed (distributions in excess of) net investment income

       1,596,941       (884 )       (1,107,717 )       3,400,638

Accumulated net realized gain (loss)

       11,263,872       38,682,845       (13,771,672 )       (6,899,806 )

Net unrealized appreciation (depreciation) on investments, futures contracts, options written, short sales, swap contracts and foreign currencies

       76,775,639       141,925,894       180,473,550       (4,514,997 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net assets

     $ 601,058,991     $ 972,455,786     $ 2,271,104,375     $ 765,602,975
   

 

 

      

 

 

      

 

 

      

 

 

  

Net assets attributable to:

                

Class Y-3 shares

     $ 601,058,991     $ 972,455,786     $ 2,271,104,375     $ 765,602,975
   

 

 

      

 

 

      

 

 

      

 

 

  

Shares outstanding:

                

Class Y-3

       56,658,077       80,228,021       217,612,129       76,843,506
   

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value per share:

                

Class Y-3

     $ 10.61     $ 12.12     $ 10.44     $ 9.96
   

 

 

      

 

 

      

 

 

      

 

 

  

(a)    Investments, at cost

     $ 535,816,293     $ 869,292,667     $ 2,161,880,552     $ 794,230,972
   

 

 

      

 

 

      

 

 

      

 

 

  

(b)    Foreign currency, at cost

     $ —     $ —     $ 5,415,729     $ —
   

 

 

      

 

 

      

 

 

      

 

 

  

(c)    Premiums on written options

     $ —     $ —     $ —     $ 14,300
   

 

 

      

 

 

      

 

 

      

 

 

  

(d)    Proceeds for TBA Sale Commitments

     $ —     $ —     $ —     $ 505,625
   

 

 

      

 

 

      

 

 

      

 

 

  

 

   See accompanying Notes to the Financial Statements.      145  

Table of Contents

Mercer Funds

Statements of Assets and Liabilities (Continued)

March 31, 2017

 

 

    Mercer Opportunistic
Fixed Income Fund		   Mercer Emerging
Markets Equity Fund		   Mercer Global Low
Volatility Equity Fund

Assets

            

Investments, at value(a)

     $ 577,565,105     $ 1,517,101,073     $ 1,287,047,352

Foreign currency, at value(b)

       922,209       7,892,846       565,951

Cash

       91,011       1,730,339       34,191

Receivable for investments sold

       92,500       11,438,841       3,285,609

Receivable for Fund shares sold

       —       11,856       —

Dividend and interest receivable

       9,511,005       5,081,122       1,879,346

Cash collateral held at broker on open futures contracts

       625,049       2,658,143       850,000

Unrealized appreciation on open forward foreign currency contracts

       2,705,310       2,419,937       —

Receivable for variation margin on open futures contracts

       —       101,167       —

Synthetic futures, at value

       —       938,133       —

Foreign tax reclaims receivable

       61,862       16,475       556,631

Securities lending income receivable

       10,093       5,928       20,098

Prepaid expenses

       2,475       6,725       5,724
   

 

 

      

 

 

      

 

 

  

Total assets

       591,586,619       1,549,402,585       1,294,244,902
   

 

 

      

 

 

      

 

 

  

Liabilities

            

Payable for investments purchased

       1,031       34,908,686       27,649,077

Payable for TBA and when-issued securities purchased

       2,395,000       —       —

Payable for Fund shares repurchased

       5,000,000       2,200       —

Synthetic futures, at value

       —       688,241       —

Cash collateral due to broker on open forward foreign currency contracts

       —       820,000       —

Unrealized depreciation on open forward foreign currency contracts

       2,038,220       2,436,887       —

Variation margin payable on open futures contracts

       27,535       598,129       118,198

Obligation to return securities lending collateral

       22,260,085       23,309,405       15,618,084

Payable to affiliate for:

            

Advisory fees

       370,372       941,187       742,721

Trustees fees

       524       1,420       1,136

Payable for foreign capital gains tax

       338,601       2,627,712       —

Accrued expenses

       296,630       1,078,922       255,909
   

 

 

      

 

 

      

 

 

  

Total liabilities

       32,727,998       67,412,789       44,385,125
   

 

 

      

 

 

      

 

 

  

Net assets

     $ 558,858,621     $ 1,481,989,796     $ 1,249,859,777
   

 

 

      

 

 

      

 

 

  

Net assets consist of:

            

Paid-in capital

       583,147,766       1,452,366,321       1,115,139,079

Accumulated undistributed net investment income

       4,387,125       10,803,027       3,071,515

Accumulated net realized gain (loss)

       (16,373,763 )       (133,223,675 )       9,876,171

Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currencies

       (12,302,507 )       152,044,123       121,773,012
   

 

 

      

 

 

      

 

 

  

Net assets

     $ 558,858,621     $ 1,481,989,796     $ 1,249,859,777
   

 

 

      

 

 

      

 

 

  

Net assets attributable to:

            

Class Y-3 shares

     $ 558,858,621     $ 1,481,989,796     $ 1,249,859,777
   

 

 

      

 

 

      

 

 

  

Shares outstanding:

            

Class Y-3

       60,052,184       151,625,331       99,043,598
   

 

 

      

 

 

      

 

 

  

Net asset value per share:

            

Class Y-3

     $ 9.31     $ 9.77     $ 12.62
   

 

 

      

 

 

      

 

 

  

(a)    Investments, at cost

     $ 590,165,506     $ 1,365,262,538     $ 1,165,508,699
   

 

 

      

 

 

      

 

 

  

(b)    Foreign currency, at cost

     $ 922,882     $ 7,882,258     $ 566,079
   

 

 

      

 

 

      

 

 

  

 

146    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Funds

Statements of Operations

For the Year Ended March 31, 2017

 

 

    Mercer US Large
Cap Equity Fund
(formerly known as
Mercer US Large Cap
Growth Equity Fund)		   Mercer US Small/Mid
Cap Equity Fund
(formerly known as
Mercer US Small/Mid Cap
Growth Equity Fund)		   Mercer Non-US
Core Equity Fund		   Mercer Core Fixed
Income Fund

Investment Income:

                

Interest

     $ 5,633     $ 12,171     $ 39,323     $ 23,482,703

Dividends

       9,202,475       11,251,200       58,298,771       42,439

Securities lending income

       100,700       248,292       901,822       66,223

Withholding taxes

       (82,130 )       (19,250 )       (4,995,277 )       (1,341 )

Non-recurring income(a)

       11,009       12,496       405,206       8,739

Other income

       —       —       1,530       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total investment income

       9,237,687       11,504,909       54,651,375       23,598,763
   

 

 

      

 

 

      

 

 

      

 

 

  

Expenses:

                

Advisory fees

       2,804,563       7,551,279       14,861,816       2,873,116

Custodian and fund accounting fees

       138,602       203,204       1,289,412       329,012

Audit fees

       70,951       72,932       157,743       77,391

Transfer agent fees

       22,734       23,394       23,858       23,691

Legal fees

       49,179       86,092       197,114       77,697

Trustees fees

       28,930       46,078       115,423       45,954

Registration fees

       44,771       65,632       33,587       19,237

Interest expense

       —       —       71       325

Miscellaneous

       57,219       91,891       169,664       69,227
   

 

 

      

 

 

      

 

 

      

 

 

  

Total expenses

       3,216,949       8,140,502       16,848,688       3,515,650

Advisory fee refund(a)

       9,376       11,624       248,772       7,180
   

 

 

      

 

 

      

 

 

      

 

 

  

Net expenses

       3,226,325       8,152,126       17,097,460       3,522,830
   

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income

       6,011,362       3,352,783       37,553,915       20,075,933
   

 

 

      

 

 

      

 

 

      

 

 

  

Realized and Unrealized Gain (Loss):

                

Net realized gain (loss) on:

                

Investments

       19,048,035       60,620,819       13,248,544       2,770,252

Swap contracts

       —       —       —       (195,650 )

Closed futures contracts

       2,457,762       7,089,122       8,791,397       (1,715,956 )

Written option contracts

       —       —       —       26,468

Forward foreign currency contracts and foreign currency related transactions

       (564 )       (5,252 )       415,617       (22,505 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net realized gain

       21,505,233       67,704,689       22,455,558       862,609
   

 

 

      

 

 

      

 

 

      

 

 

  

Change in net unrealized appreciation (depreciation) on:

                

Investments

       75,681,294       112,701,459       154,556,819       (10,735,462 )

TBA Sale Commitments

       —       —       —       (5,859 )

Swap contracts

       —       —       —       923,338

Open futures contracts

       (287,270 )       (22,135 )       766,327       (165,076 )

Written option contracts

       —       —       —       1,800

Forward foreign currency contracts and foreign currency related translations

       249       (4,481 )       (169,584 )       (7,051 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Change in net unrealized appreciation (depreciation)

       75,394,273       112,674,843       155,153,562       (9,988,310 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net realized and unrealized gain (loss)

       96,899,506       180,379,532       177,609,120       (9,125,701 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase in net assets resulting from operations

     $ 102,910,868     $ 183,732,315     $ 215,163,035     $ 10,950,232
   

 

 

      

 

 

      

 

 

      

 

 

  

 

(a) Non-recurring income represents a refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses.

 

   See accompanying Notes to the Financial Statements.      147  

Table of Contents

Mercer Funds

Statements of Operations (Continued)

For the Year Ended March 31, 2017

 

 

    Mercer Opportunistic
Fixed Income Fund		   Mercer Emerging
Markets Equity Fund		   Mercer Global Low
Volatility Equity Fund

Investment Income:

            

Interest

     $ 33,091,060     $ 43,799     $ 43,919

Dividends

       79,462       36,160,243       24,218,669

Securities lending income

       190,358       208,044       215,174

Withholding taxes

       (356,452 )       (4,073,626 )       (1,241,688 )

Non-recurring income(a)

       10,831       139,526       4,444

Other income

       57,649       1,580       —
   

 

 

      

 

 

      

 

 

  

Total investment income

       33,072,908       32,479,566       23,240,518
   

 

 

      

 

 

      

 

 

  

Expenses:

            

Advisory fees

       3,954,705       10,079,086       8,023,976

Custodian and fund accounting fees

       451,431       2,166,457       373,236

Audit fees

       65,410       142,483       60,992

Transfer agent fees

       23,560       24,023       23,552

Legal fees

       44,973       117,217       99,532

Trustees fees

       27,468       71,767       60,284

Registration fees

       54,935       34,859       21,404

Interest expense

       6,050       21,287       95

Miscellaneous

       41,800       105,178       86,134
   

 

 

      

 

 

      

 

 

  

Total expenses

       4,670,332       12,762,357       8,749,205

Advisory fee refund(a)

       10,831       102,772       —

Reimbursement of expenses

       (39,153 )       —       —
   

 

 

      

 

 

      

 

 

  

Net expenses

       4,642,010       12,865,129       8,749,205
   

 

 

      

 

 

      

 

 

  

Net investment income

       28,430,898       19,614,437       14,491,313
   

 

 

      

 

 

      

 

 

  

Realized and Unrealized Gain (Loss):

            

Net realized gain (loss) on:

            

Investments

       (19,400,705 )       (27,722,320 )       29,133,214

Closed futures contracts

       655,112       20,080,035       5,805,263

Forward foreign currency contracts and foreign currency related transactions

       (5,191,805 )       12,122,678       (1,316,648 )
   

 

 

      

 

 

      

 

 

  

Net realized gain (loss)

       (23,937,398 )       4,480,393       33,621,829
   

 

 

      

 

 

      

 

 

  

Change in net unrealized appreciation (depreciation) on:

            

Investments

       39,070,190       181,547,792       66,945,311

Open futures contracts

       (406,517 )       (1,172,075 )       (385,174 )

Forward foreign currency contracts and foreign currency related translations

       2,993,936       (2,753,364 )       9,075
   

 

 

      

 

 

      

 

 

  

Change in net unrealized appreciation (depreciation)

       41,657,609       177,622,353       66,569,212
   

 

 

      

 

 

      

 

 

  

Net realized and unrealized gain (loss)

       17,720,211       182,102,746       100,191,041
   

 

 

      

 

 

      

 

 

  

Net increase in net assets resulting from operations

     $ 46,151,109     $ 201,717,183     $ 114,682,354
   

 

 

      

 

 

      

 

 

  

 

(a) Non-recurring income represents a refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses.

 

148    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Funds

Statements of Changes in Net Assets

 

 

    Mercer US Large Cap Equity Fund
(formerly known as Mercer US
Large Cap Growth Equity Fund)		   Mercer US Small/Mid Cap Equity Fund
(formerly known as Mercer US Small/
Mid Cap Growth Equity Fund)
    Year Ended
March 31, 2017		   Year Ended
March 31, 2016		   Year Ended
March 31, 2017		   Year Ended
March 31, 2016

Increase (decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

     $ 6,011,362     $ 1,187,529     $ 3,352,783     $ (804,412 )

Net realized gain (loss)

       21,505,233       24,886,587       67,704,689       7,264,017

Change in net unrealized appreciation (depreciation)

       75,394,273       (36,723,410 )       112,674,843       (55,146,208 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) in net assets resulting from operations

       102,910,868       (10,649,294 )       183,732,315       (48,686,603 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Distributions to shareholders from:

                

Net investment income

                

Class Y-3

       (4,340,709 )       (1,544,807 )       (6,503,271 )       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions from net investment income

       (4,340,709 )       (1,544,807 )       (6,503,271 )       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Net realized gains

                

Class Y-3

       (16,932,342 )       (38,484,951 )       (22,642,529 )       (24,352,888 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions from net realized gains

       (16,932,342 )       (38,484,951 )       (22,642,529 )       (24,352,888 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net share transactions (See Note 7):

                

Class Y-3

       218,161,247       (10,759,407 )       390,443,708       29,572,449
   

 

 

      

 

 

      

 

 

      

 

 

  

Increase (decrease) in net assets resulting from net shares transactions

       218,161,247       (10,759,407 )       390,443,708       29,572,449
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) in net assets

       299,799,064       (61,438,459 )       545,030,223       (43,467,042 )

Net assets:

                

Beginning of year

       301,259,927       362,698,386       427,425,563       470,892,605
   

 

 

      

 

 

      

 

 

      

 

 

  

End of year

     $ 601,058,991     $ 301,259,927     $ 972,455,786     $ 427,425,563
   

 

 

      

 

 

      

 

 

      

 

 

  

Undistributed (distributions in excess of) net investment income included in net assets at end of year

     $ 1,596,941     $ (3,362 )     $ (884 )     $ (97,703 )
   

 

 

      

 

 

      

 

 

      

 

 

  

 

   See accompanying Notes to the Financial Statements.      149  

Table of Contents

Mercer Funds

Statements of Changes in Net Assets (Continued)

 

 

    Mercer Non-US Core
Equity Fund		   Mercer Core
Fixed Income Fund
    Year Ended
March 31, 2017		   Year Ended
March 31, 2016		   Year Ended
March 31, 2017		   Year Ended
March 31, 2016

Increase (decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

     $ 37,553,915     $ 32,027,708     $ 20,075,933     $ 23,898,914

Net realized gain (loss)

       22,455,558       (7,197,050 )       862,609       1,032,247

Change in net unrealized appreciation (depreciation)

       155,153,562       (132,623,438 )       (9,988,310 )       (17,182,435 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) in net assets resulting from operations

       215,163,035       (107,792,780 )       10,950,232       7,748,726
   

 

 

      

 

 

      

 

 

      

 

 

  

Distributions to shareholders from:

                

Net investment income

                

Class Y-3

       (37,187,651 )       (32,290,964 )       (21,073,131 )       (24,184,241 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions from net investment income

       (37,187,651 )       (32,290,964 )       (21,073,131 )       (24,184,241 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net realized gains

                

Class Y-3

       —       (49,778,409 )       (8,462,989 )       (8,369,548 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions from net realized gains

       —       (49,778,409 )       (8,462,989 )       (8,369,548 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net share transactions (See Note 7):

                

Class Y-3

       151,494,721       58,515,147       313,880       (83,968,766 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Increase (decrease) in net assets resulting from net shares transactions

       151,494,721       58,515,147       313,880       (83,968,766 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) in net assets

       329,470,105       (131,347,006 )       (18,272,008 )       (108,773,829 )

Net assets:

                

Beginning of year

       1,941,634,270       2,072,981,276       783,874,983       892,648,812
   

 

 

      

 

 

      

 

 

      

 

 

  

End of year

     $ 2,271,104,375     $ 1,941,634,270     $ 765,602,975     $ 783,874,983
   

 

 

      

 

 

      

 

 

      

 

 

  

Undistributed (distributions in excess of) net investment income included in net assets at end of year

     $ (1,107,717 )     $ (3,143,284 )     $ 3,400,638     $ 4,915,211
   

 

 

      

 

 

      

 

 

      

 

 

  

 

150    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Funds

Statements of Changes in Net Assets (Continued)

 

 

    Mercer Opportunistic Fixed
Income Fund		   Mercer Emerging
Markets Equity Fund
    Year Ended
March 31, 2017		   Year Ended
March 31, 2016		   Year Ended
March 31, 2017		   Year Ended
March 31, 2016

Increase (decrease) in Net Assets:

                

Operations:

                

Net investment income (loss)

     $ 28,430,898     $ 24,954,703     $ 19,614,437     $ 19,019,703

Net realized gain (loss)

       (23,937,398 )       (35,118,225 )       4,480,393       (100,628,113 )

Change in net unrealized appreciation (depreciation)

       41,657,609       (14,480,513 )       177,622,353       (43,988,114 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase (decrease) in net assets resulting from operations

       46,151,109       (24,644,035 )       201,717,183       (125,596,524 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Distributions to shareholders from:

                

Net investment income

                

Class Y-3

       —       (3,476,394 )       (26,250,811 )       (11,714,562 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions from net investment income

       —       (3,476,394 )       (26,250,811 )       (11,714,562 )
   

 

 

      

 

 

      

 

 

      

 

 

  

Net realized gains

                

Class Y-3

       —       (1,749,711 )       —       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total distributions from net realized gains

       —       (1,749,711 )       —       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Net share transactions (See Note 7):

                

Class Y-3

       98,445,823       48,192,685       156,387,071       200,092,196
   

 

 

      

 

 

      

 

 

      

 

 

  

Increase in net assets resulting from net shares transactions

       98,445,823       48,192,685       156,387,071       200,092,196
   

 

 

      

 

 

      

 

 

      

 

 

  

Net increase in net assets

       144,596,932       18,322,545       331,853,443       62,781,110

Net assets:

                

Beginning of year

       414,261,689       395,939,144       1,150,136,353       1,087,355,243
   

 

 

      

 

 

      

 

 

      

 

 

  

End of year

     $ 558,858,621     $ 414,261,689     $ 1,481,989,796     $ 1,150,136,353
   

 

 

      

 

 

      

 

 

      

 

 

  

Undistributed (distributions in excess of) net investment income included in net assets at end of year

     $ 4,387,125     $ (4,384,265 )     $ 10,803,027     $ 5,375,948
   

 

 

      

 

 

      

 

 

      

 

 

  

 

   See accompanying Notes to the Financial Statements.      151  

Table of Contents

Mercer Funds

Statements of Changes in Net Assets (Continued)

 

 

    Mercer Global Low
Volatility Equity Fund
    Year Ended
March 31, 2017		   Year Ended
March 31, 2016

Increase (decrease) in Net Assets:

        

Operations:

        

Net investment income (loss)

     $ 14,491,313     $ 10,558,566

Net realized gain (loss)

       33,621,829       13,378,459

Change in net unrealized appreciation (depreciation)

       66,569,212       12,025,245
   

 

 

      

 

 

  

Net increase in net assets resulting from operations

       114,682,354       35,962,270
   

 

 

      

 

 

  

Distributions to shareholders from:

        

Net investment income

        

Class Y-3

       (12,612,013 )       (10,380,943 )
   

 

 

      

 

 

  

Total distributions from net investment income

       (12,612,013 )       (10,380,943 )
   

 

 

      

 

 

  

Net realized gains

        

Class Y-3

       (28,619,153 )       (47,787,568 )
   

 

 

      

 

 

  

Total distributions from net realized gains

       (28,619,153 )       (47,787,568 )
   

 

 

      

 

 

  

Net share transactions (See Note 7):

        

Class Y-3

       224,023,068       155,539,826
   

 

 

      

 

 

  

Increase in net assets resulting from net shares transactions

       224,023,068       155,539,826
   

 

 

      

 

 

  

Net increase in net assets

       297,474,256       133,333,585

Net assets:

        

Beginning of year

       952,385,521       819,051,936
   

 

 

      

 

 

  

End of year

     $ 1,249,859,777     $ 952,385,521
   

 

 

      

 

 

  

Undistributed net investment income included in net assets at end of year

     $ 3,071,515     $ 1,709,899
   

 

 

      

 

 

  

 

152    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer US Large Cap Equity Fund (formerly known as Mercer US Large Cap Growth Equity Fund)

Financial Highlights

 

 

     Year Ended
03/31/17		   Year Ended
03/31/16		   Year Ended
03/31/15		   Year Ended
03/31/14		   Year Ended
03/31/13

For a Class Y-3 Share Outstanding Throughout Each Period:

                     

Net asset value at beginning of year

      $ 9.34     $ 11.11     $ 13.16     $ 13.56     $ 13.27
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income†

        0.11 (a)       0.04       0.05       0.07       0.08

Net realized and unrealized gain (loss) on investments

        1.54       (0.43 )       1.63       3.11       0.68
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

        1.65       (0.39 )       1.68       3.18       0.76
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Less dividends and distributions:

                     

From net investment loss

        (0.08 )       (0.05 )       (0.04 )       (0.09 )       (0.08 )

From net realized gain on investments

        (0.30 )       (1.33 )       (3.69 )       (3.49 )       (0.39 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total dividends and distributions

        (0.38 )       (1.38 )       (3.73 )       (3.58 )       (0.47 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value at end of year

      $ 10.61     $ 9.34     $ 11.11     $ 13.16     $ 13.56
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total investment return

        17.74 %       (4.09 )%       13.63 %(b)       23.99 %(b)       6.03 %(b)

Ratios/Supplemental Data:

                     

Net investment income to average net assets

        1.14 %(a)       0.33 %       0.37 %       0.48 %       0.61 %

Net expenses to average daily net assets

        0.61 %(d)       0.63 %(c)       0.60 %(c)       0.57 %       0.57 %

Total expenses (before reductions and reimbursements) to average daily net assets

        0.61 %       0.63 %(c)       0.63 %(c)       0.63 %       0.63 %

Portfolio turnover rate

        84 %       66 %       118 %       50 %       65 %

Net assets at end of year (in 000’s)

      $ 601,059     $ 301,260     $ 362,698     $ 358,862     $ 465,787

 

(a) Includes a non-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets.
(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.
(c) Includes interest expense that amounts to less than 0.01%.
(d) Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets.
† Computed using average shares outstanding throughout the year.

 

   See accompanying Notes to the Financial Statements.      153  

Table of Contents

Mercer US Small/Mid Cap Equity Fund (formerly known as Mercer US Small/Mid Cap Growth Equity Fund)

Financial Highlights (Continued)

 

 

     Year Ended
03/31/17		   Year Ended
03/31/16		   Year Ended
03/31/15		   Year Ended
03/31/14		   Year Ended
03/31/13

For a Class Y-3 Share Outstanding Throughout Each Period:

                     

Net asset value at beginning of year

      $ 10.30     $ 12.23     $ 12.44     $ 11.94     $ 11.62
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income (loss)†

        0.04 (a)       (0.02 )       (0.03 )       (0.02 )       (0.01 )

Net realized and unrealized gain (loss) on investments

        2.13       (1.28 )       1.32       2.63       1.31
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

        2.17       (1.30 )       1.29       2.61       1.30
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Less dividends and distributions:

                     

From net investment income (loss)

        (0.08 )       —       —       —       (0.01 )

From net realized gain on investments

        (0.27 )       (0.63 )       (1.50 )       (2.11 )       (0.97 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total dividends and distributions

        (0.35 )       (0.63 )       (1.50 )       (2.11 )       (0.98 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value at end of year

      $ 12.12     $ 10.30     $ 12.23     $ 12.44     $ 11.94
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total investment return

        21.24 %       (10.78 )%       11.11 %(b)       22.34 %(b)       12.11 %(b)

Ratios/Supplemental Data:

                     

Net investment income (loss) to average net assets

        0.40 %(a)       (0.18 )%       (0.25 )%       (0.17 )%       (0.05 )%

Net expenses to average daily net assets

        0.97 %(d)       0.98 %(c)       0.98 %(c)       0.97 %       0.96 %

Total expenses (before reductions and reimbursements) to average daily net assets

        0.97 %       0.98 %(c)       0.99 %(c)       0.99 %       1.01 %

Portfolio turnover rate

        106 %       68 %       75 %       67 %       54 %

Net assets at end of year (in 000’s)

      $ 972,456     $ 427,426     $ 470,893     $ 397,360     $ 442,080

 

(a) Includes a non-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets.
(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.
(c) Includes interest expense that amounts to less than 0.01%.
(d) Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets.
† Computed using average shares outstanding throughout the year.

 

154    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Non-US Core Equity Fund

Financial Highlights (Continued)

 

 

     Year Ended
03/31/17		   Year Ended
03/31/16		   Year Ended
03/31/15		   Year Ended
03/31/14		   Year Ended
03/31/13

For a Class Y-3 Share Outstanding Throughout Each Period:

                     

Net asset value at beginning of year

      $ 9.61     $ 10.64     $ 11.92     $ 10.58     $ 9.72
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income†

        0.18 (a)       0.16       0.19       0.29       0.21

Net realized and unrealized gain (loss) on investments

        0.83       (0.76 )       (0.22 )       1.94       0.90
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

        1.01       (0.60 )       (0.03 )       2.23       1.11
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Less dividends and distributions:

                     

From net investment loss

        (0.18 )       (0.17 )       (0.27 )       (0.33 )       (0.25 )

From net realized gain on investments

        —       (0.26 )       (0.98 )       (0.56 )       —
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total dividends and distributions

        (0.18 )       (0.43 )       (1.25 )       (0.89 )       (0.25 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value at end of year

      $ 10.44     $ 9.61     $ 10.64     $ 11.92     $ 10.58
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total investment return

        10.62 %       (5.64 )%       0.19 %(b)       21.48 %(b)       11.53 %(b)

Ratios/Supplemental Data:

                     

Net investment income to average net assets

        1.81 %(a)       1.60 %       1.72 %       2.52 %       2.17 %

Net expenses to average daily net assets

        0.82 %(c)(d)       0.83 %(c)       0.84 %(c)       0.85 %       0.83 %

Total expenses (before reductions and reimbursements) to average daily net assets

        0.81 %(c)       0.83 %(c)       0.84 %(c)       0.86 %       0.86 %

Portfolio turnover rate

        81 %       109 %       101 %       95 %(e)       90 %

Net assets at end of year (in 000’s)

      $ 2,271,104     $ 1,941,634     $ 2,072,981     $ 1,881,476     $ 2,138,930

 

(a) Includes a non-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and is 0.01% of average net assets.
(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.
(c) Includes interest expense that amounts to less than 0.01%.
(d) Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is 0.01% of average net assets.
(e) Portfolio turnover calculation does not include $177,821,966 of securities transferred out of the Fund as part of an in-kind redemption.
† Computed using average shares outstanding throughout the year.

 

   See accompanying Notes to the Financial Statements.      155  

Table of Contents

Mercer Core Fixed Income Fund

Financial Highlights (Continued)

 

 

     Year Ended
03/31/17		   Year Ended
03/31/16		   Year Ended
03/31/15		   Year Ended
03/31/14		   Year Ended
03/31/13

For a Class Y-3 Share Outstanding Throughout Each Period:

                     

Net asset value at beginning of year

      $ 10.15     $ 10.43     $ 10.42     $ 10.68     $ 10.58
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income†

        0.25 (a)       0.29       0.28       0.24       0.27

Net realized and unrealized gain (loss) on investments

        (0.09 )       (0.17 )       0.28       (0.19 )       0.37
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

        0.16       0.12       0.56       0.05       0.64
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Less dividends and distributions:

                     

From net investment loss

        (0.25 )       (0.30 )       (0.33 )       (0.25 )       (0.31 )

From net realized gain on investments

        (0.10 )       (0.10 )       (0.22 )       (0.06 )       (0.23 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total dividends and distributions

        (0.35 )       (0.40 )       (0.55 )       (0.31 )       (0.54 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value at end of year

      $ 9.96     $ 10.15     $ 10.43     $ 10.42     $ 10.68
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total investment return

        1.58 %       1.26 %       5.43 %(b)       0.44 %(b)       6.15 %(b)

Ratios/Supplemental Data:

                     

Net investment income to average net assets

        2.43 %(a)       2.80 %       2.66 %       2.32 %       2.51 %

Net expenses to average daily net assets

        0.43 %(c)(d)       0.42 %       0.40 %       0.37 %       0.37 %

Total expenses (before reductions and reimbursements) to average daily net assets

        0.43 %(c)       0.42 %       0.42 %       0.43 %       0.43 %

Portfolio turnover rate

        151 %       88 %       192 %       187 %(e)       125 %

Net assets at end of year (in 000’s)

      $ 765,603     $ 783,875     $ 892,649     $ 1,076,439     $ 1,093,253

 

(a) Includes a non-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets.
(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.
(c) Includes interest expense that amounts to less than 0.01%.
(d) Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets.
(e) Excludes treasury dollar roll transactions. The Portfolio turnover rate including treasury dollar roll transactions was 251% for the year ended March 31, 2014.
† Computed using average shares outstanding throughout the year.

 

156    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Opportunistic Fixed Income Fund

Financial Highlights (Continued)

 

 

     Year Ended
03/31/17		   Year Ended
03/31/16		   Year Ended
03/31/15		   Period  Ended
03/31/14(a)

For a Class Y-3 Share Outstanding Throughout Each Period:

                 

Net asset value at beginning of year

      $ 8.44     $ 9.13     $ 10.43     $ 10.00
    

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income†

        0.51 (b)       0.54       0.56       0.34

Net realized and unrealized gain (loss) on investments

        0.36       (1.12 )       (1.32 )       0.35
    

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

        0.87       (0.58 )       (0.76 )       0.69
    

 

 

      

 

 

      

 

 

      

 

 

  

Less dividends and distributions:

                 

From net investment income (loss)

        —       (0.07 )       (0.47 )       (0.22 )

From net realized gain on investments

        —       (0.04 )       (0.07 )       (0.04 )
    

 

 

      

 

 

      

 

 

      

 

 

  

Total dividends and distributions

        —       (0.11 )       (0.54 )       (0.26 )
    

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value at end of year

      $ 9.31     $ 8.44     $ 9.13     $ 10.43
    

 

 

      

 

 

      

 

 

      

 

 

  

Total investment return(c)

        10.31 %       (6.25 )%       (7.36 )%       7.00 %**

Ratios/Supplemental Data:

                 

Net investment income to average net assets

        5.75 %(b)       6.28 %       5.55 %       5.52 %*

Net expenses to average daily net assets

        0.94 %(d)(e)       0.90 %(d)       0.90 %(d)       0.90 %*

Total expenses (before reductions and reimbursements) to average daily net assets

        0.94 %(d)       0.95 %(d)       0.97 %(d)       1.17 %*

Portfolio turnover rate

        55 %       53 %       58 %       28 %**

Net assets at end of year (in 000’s)

      $ 558,859     $ 414,262     $ 395,939     $ 260,581

 

(a) The Fund commenced operations on August 21, 2013.
(b) Includes a non-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets.
(c) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.
(d) Includes interest expense that amounts to less than 0.01%.
(e) Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is less than 0.01% of average net assets.
† Computed using average shares outstanding throughout the year.
* Annualized
** Not annualized

 

   See accompanying Notes to the Financial Statements.      157  

Table of Contents

Mercer Emerging Markets Equity Fund

Financial Highlights (Continued)

 

 

     Year Ended
03/31/17		   Year Ended
03/31/16		   Year Ended
03/31/15		   Year Ended
03/31/14		   Period  Ended
03/31/13(a)

For a Class Y-3 Share Outstanding Throughout Each Period:

                     

Net asset value at beginning of year

      $ 8.59     $ 9.88     $ 9.99     $ 10.49     $ 10.00
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income†

        0.14 (b)       0.16       0.17       0.18       0.10

Net realized and unrealized gain (loss) on investments

        1.22       (1.36 )       (0.09 )       (0.46 )       0.46
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

        1.36       (1.20 )       0.08       (0.28 )       0.56
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Less dividends and distributions:

                     

From net investment loss

        (0.18 )       (0.09 )       (0.19 )       (0.19 )       (0.06 )

From net realized gain on investments

        —       —       —       (0.03 )       (0.01 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total dividends and distributions

        (0.18 )       (0.09 )       (0.19 )       (0.22 )       (0.07 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value at end of year

      $ 9.77     $ 8.59     $ 9.88     $ 9.99     $ 10.49
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total investment return

        16.14 %       (12.06 )%       0.81 %(c)       (2.61 )%(c)       5.64 %(c)**

Ratios/Supplemental Data:

                     

Net investment income to average net assets

        1.52 %(b)       1.79 %       1.66 %       1.77 %       1.08 %*

Net expenses to average daily net assets

        1.00 %(d)(e)       1.00 %(d)       0.98 %(d)       0.95 %(d)       0.95 %(d)*

Total expenses (before reductions and reimbursements) to average daily net assets

        0.99 %(d)       1.00 %(d)       1.00 %(d)       1.04 %(d)       1.15 %(d)*

Portfolio turnover rate

        89 %       66 %       46 %       64 %       52 %**

Net assets at end of year (in 000’s)

      $ 1,481,990     $ 1,150,136     $ 1,087,355     $ 862,923     $ 517,085

 

(a) The Fund commenced operations on May 1, 2012.
(b) Includes a non-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets.
(c) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.
(d) Includes interest expense that amounts to less than 0.01%.
(e) Includes a repayment to the Advisor, referenced above, for prior years’ reimbursement of expenses. The amount is 0.01% of average net assets.
† Computed using average shares outstanding throughout the year.
* Annualized
** Not annualized

 

158    See accompanying Notes to the Financial Statements.   

Table of Contents

Mercer Global Low Volatility Equity Fund

Financial Highlights (Continued)

 

 

     Year Ended
03/31/17		   Year Ended
03/31/16		   Year Ended
03/31/15		   Year Ended
03/31/14		   Period  Ended
03/31/13(a)

For a Class Y-3 Share Outstanding Throughout Each Period:

                     

Net asset value at beginning of year

      $ 11.81     $ 12.11     $ 12.27     $ 11.19     $ 10.00
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net investment income†

        0.16 (b)       0.15       0.15       0.14       0.07

Net realized and unrealized gain on investments

        1.11       0.33       0.54       1.45       1.14
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total from investment operations

        1.27       0.48       0.69       1.59       1.21
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Less dividends and distributions:

                     

From net investment loss

        (0.14 )       (0.14 )       (0.19 )       (0.16 )       (0.02 )

From net realized gain on investments

        (0.32 )       (0.64 )       (0.66 )       (0.35 )       —
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total dividends and distributions

        (0.46 )       (0.78 )       (0.85 )       (0.51 )       (0.02 )
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Net asset value at end of year

      $ 12.62     $ 11.81     $ 12.11     $ 12.27     $ 11.19
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

  

Total investment return

        11.02 %       4.13 %       5.80 %(c)       14.40 %(c)       12.13 %(c)**

Ratios/Supplemental Data:

                     

Net investment income to average net assets

        1.34 %(b)       1.23 %       1.25 %       1.20 %       1.62 %*

Net expenses to average daily net assets

        0.81 %(d)       0.82 %(d)       0.85 %(d)       0.85 %       0.85 %*

Total expenses (before reductions and reimbursements/recapture) to average daily net assets

        0.81 %(d)       0.82 %(d)       0.84 %(d)       0.84 %       1.00 %*

Portfolio turnover rate

        55 %       31 %       84 %       46 %       12 %**

Net assets at end of year (in 000’s)

      $ 1,249,860     $ 952,386     $ 819,052     $ 742,641     $ 301,230

 

(a) The Fund commenced operations on November 6, 2012.
(b) Includes a non-recurring refund for overbilling of prior years’ custody fees, a portion of which was paid to the Advisor for prior years’ reimbursement of expenses. This amounted to less than $0.01 per share and less than 0.01% of average net assets.
(c) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.
(d) Includes interest expense that amounts to less than 0.01%.
† Computed using average shares outstanding throughout the year.
* Annualized
** Not annualized

 

   See accompanying Notes to the Financial Statements.      159  

Table of Contents

Mercer Funds

Notes to the Financial Statements

March 31, 2017

 

 

1. Organization

Mercer Funds (the “Trust”) consists of the following seven series: Mercer US Large Cap Equity Fund (“Large Cap”) (formerly Mercer US Large Cap Growth Equity Fund), Mercer US Small/Mid Cap Equity Fund (“Small/Mid Cap”) (formerly Mercer US Small/Mid Cap Growth Equity Fund), Mercer Non-US Core Equity Fund (“Non-US Core Equity”), Mercer Core Fixed Income Fund (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940 (the “1940 Act”). The Funds’ investment advisor is Mercer Investment Management, Inc. (the “Advisor”). The Advisor manages each Fund using a “manager of managers” approach by selecting one or more subadvisors (each a “Subadvisor,” and collectively referred to as the “Subadvisors”) to manage each Fund’s assets. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services – Investment Companies.

Under the 1940 Act, each Fund is classified as “diversified”, with the exception of Opportunistic Fixed. Opportunistic Fixed is classified as “non-diversified” under the 1940 Act, as amended, and may invest a larger percentage of its assets in fewer issuers than diversified funds.

The investment objectives of the Funds are:

 

Fund

   

Investment Objective

Large Cap    Long-term total return, which includes capital appreciation and income
Small/Mid Cap    Long-term total return, comprised primarily of capital appreciation
Non-US Core Equity    Long-term total return, which includes capital appreciation and income
Core Fixed    Total return, consisting of both current income and capital appreciation
Opportunistic Fixed    Long-term total return, which includes capital appreciation and income
Emerging Markets    Long-term total return, which includes capital appreciation and income
Global Low Volatility    Long-term total return, which includes capital appreciation and income

Each Fund has registered and is authorized to offer interests in four classes of shares: Class S, Class Y-1, Class Y-2 and Class Y-3. The principal difference between the classes of shares is the level of shareholder service, marketing and administrative fees borne by the classes. As of March 31, 2017, only the Class Y-3 shares of each Fund had commenced operations.

 

2. Significant Accounting Policies

The following are significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

(a)  Security Valuation

Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities listed on an exchange normally are valued at the last sale

 

160

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Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Subadvisor as the primary market for such securities. Securities traded in the over-the-counter (“OTC”) market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price; other OTC securities are valued at the last bid price available prior to valuation (other than short-term investments, which are valued as described below). The Funds may invest in securities that are traded in foreign markets. Foreign securities will be converted into U.S. dollar equivalents based on the exchange rate in effect at a uniform time on each business day. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Board of Trustees of the Trust (the “Board”) has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.

Certain fixed-income securities may be valued based upon appraisals received from an independent pricing service using a computerized matrix system or based upon appraisals derived from information concerning the securities or similar securities received from a recognized dealer or dealers in those securities. It should be recognized that judgment often plays a greater role in valuing thinly traded securities, as well as bonds and other securities with few dealer quotations, than is the case with respect to securities for which a broader range of dealer quotations and last-sale information is available. Each such determination is based on consideration of relevant factors, and judgment is made by or at the direction of the Board. Each Fund values its investments for which market quotations are readily available at market value. Each Fund may value short-term investments that will mature within 60 days or less by using pricing service quotations or at amortized cost, provided that such amortized cost approximates market value.

Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, synthetic futures, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.

Senior secured floating rate loans and senior secured floating rate debt securities are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, prepayment speeds, tranche type, industry, company performance, spread, individual trading characteristics, institutional size trading in similar groups of securities and other market data.

The Board has delegated its responsibility for valuing portfolio securities to the Advisor, subject to continuing Board oversight. The Advisor has appointed a Valuation Committee that is responsible for overseeing the day-to-day process of valuing portfolio securities. With respect to portfolio securities for which market quotations are not readily available or (in the opinion of the Advisor or the applicable Subadvisor) do not otherwise accurately reflect the fair values of the securities, the Valuation Committee will value such securities at fair value based upon procedures approved by the Board.

The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that a Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the

 

161

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

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 March 31, 2017. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts and swap contracts are determined using Level 1 inputs as of March 31, 2017.

At March 31, 2017, 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 Euro Time Deposit and a United States Treasury Bill, as shown in the schedule of investments, whose value was determined using Level 2 inputs.

The following is a summary of the inputs used as of March 31, 2017 in valuing the assets and liabilities of Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:

Non-US Core Equity

ASSETS VALUATION INPUT

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2)		     Significant
Unobservable
Inputs
(Level 3)		      Total  

Common Stocks

           

Australia

    $ 94,173,809      $ 0 *    $                 —      $ 94,173,809  

Austria

      24,580,525        —       —        24,580,525  

Belgium

      18,029,773        —       —        18,029,773  

Bermuda

      4,259,171        —       —        4,259,171  

Brazil

      2,167,770        —       —        2,167,770  

Canada

      10,970,521        —       —        10,970,521  

Cayman Islands

      40,951,368        1,786,200       —        42,737,568  

China

      2,929,307        —       —        2,929,307  

Denmark

      33,445,533        —       —        33,445,533  

Faroe Islands

      530,402        —       —        530,402  

Finland

      18,174,993        —       —        18,174,993  

France

      168,141,901        —       —        168,141,901  

 

162

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2)		      Significant
Unobservable
Inputs
(Level 3)		     Total  

Germany

    $ 207,389,013      $ —      $ —     $ 207,389,013  

Gibraltar

      400,494        —        —       400,494  

Hong Kong

      18,515,774        —        —       18,515,774  

Hungary

      2,889,624        —        —       2,889,624  

India

      14,383,636        —        —       14,383,636  

Indonesia

      9,532,872        —        —       9,532,872  

Ireland

      27,269,746        —        —       27,269,746  

Isle Of Man

      1,482,267        —        —       1,482,267  

Israel

      6,210,010        —        —       6,210,010  

Italy

      22,125,666        —        —       22,125,666  

Japan

      505,199,571        —        —       505,199,571  

Luxembourg

      11,400,069        —        —       11,400,069  

Malaysia

      2,321,131        —        —       2,321,131  

Malta

      636,616        —        —       636,616  

Netherlands

      80,878,186        —        —       80,878,186  

New Zealand

      5,148,805        —        —       5,148,805  

Norway

      15,483,214        —        —       15,483,214  

Philippines

      633,980        —        —       633,980  

Poland

      1,219,266        —        —       1,219,266  

Portugal

      12,250,741        —        0 **      12,250,741  

Russia

      3,519,805        —        —       3,519,805  

Singapore

      3,415,864        —        —       3,415,864  

South Africa

      1,398,445        —        —       1,398,445  

South Korea

      8,571,732        —        —       8,571,732  

Spain

      46,066,402        —        0 **      46,066,402  

Sweden

      48,465,547        —        —       48,465,547  

Switzerland

      177,198,037        —        —       177,198,037  

Taiwan

      23,320,641        —        —       23,320,641  

Thailand

      2,688,307        —        —       2,688,307  

Turkey

      828,206        —        —       828,206  

United Kingdom

      361,455,529        —        —       361,455,529  

United States

      48,652,089        —        —       48,652,089  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      2,089,306,358        1,786,200        0       2,091,092,558  
  

 

 

     

 

 

     

 

 

    

 

 

  

Investment Companies

           

United States

      21,336,007        —        —       21,336,007  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Investment Companies

      21,336,007        —        —       21,336,007  
  

 

 

     

 

 

     

 

 

    

 

 

  

Preferred Stocks

           

Brazil

      2,394,815        —        —       2,394,815  

Germany

      22,174,278        —        —       22,174,278  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      24,569,093        —        —       24,569,093  
  

 

 

     

 

 

     

 

 

    

 

 

  

Rights

           

Australia

      508        —        —       508  

Germany

      167,945        —        —       167,945  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Rights

      168,453        —        —       168,453  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

163

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Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2)		      Significant
Unobservable
Inputs
(Level 3)		      Total  

Short-Term Investments

            

Bank Deposits

    $ —      $ 118,157,051      $ —      $ 118,157,051  

Mutual Fund - Securities Lending Collateral

      81,928,175        —        —        81,928,175  

U.S. Government and Agency Obligations

      —        4,694,962        —        4,694,962  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      81,928,175        122,852,013        —        204,780,188  
  

 

 

     

 

 

     

 

 

     

 

 

  

Forward Foreign Currency Contracts†

            

Sales

      —        75,440        —        75,440  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Forward Foreign Currency Contracts

      —        75,440        —        75,440  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts†

            

Buys

      567,382        —        —        567,382  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      567,382        —        —        567,382  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 2,217,875,468      $ 124,713,653      $ 0      $ 2,342,589,121  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES VALUATION INPUT

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2)		     Significant
Unobservable
Inputs
(Level 3)		      Total  

Forward Foreign Currency Contracts†

           

Buys

    $     —      $ (57,033 )    $     —      $ (57,033 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Forward Foreign Currency Contracts

      —        (57,033 )      —        (57,033 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total

    $ —      $ (57,033 )    $ —      $ (57,033 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

  * Represents one or more Level 2 securities at $0 value as of March 31, 2017.
  ** Represents one or more Level 3 securities at $0 value as of March 31, 2017.
  † 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.

 

164

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Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

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

    $ —      $ 107,321,087      $                 —     $ 107,321,087  

Corporate Debt

      —        299,903,257        0 **      299,903,257  

Mortgage Backed Securities - Private Issuers

      —        73,191,806        —       73,191,806  

Mortgage Backed Securities - U.S. Government Agency Obligations

      —        166,720,046        —       166,720,046  

Municipal Obligations

      —        9,141,571        —       9,141,571  

Sovereign Debt Obligations

      —        7,942,035        —       7,942,035  

U.S. Government and Agency Obligations

      —        86,360,091        —       86,360,091  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Debt Obligations

      —        750,579,893        0       750,579,893  
  

 

 

     

 

 

     

 

 

    

 

 

  

Options Purchased

           

Put Options

      70,300        —        —       70,300  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Options Purchased

      70,300        —        —       70,300  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

           

Bank Deposits

      —        23,010,937        —       23,010,937  

Mutual Fund - Securities Lending Collateral

      10,554,630        —        —       10,554,630  

U.S. Government and Agency Obligations

      —        5,069,938        —       5,069,938  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Short-Term Investments

      10,554,630        28,080,875        —       38,635,505  
  

 

 

     

 

 

     

 

 

    

 

 

  

Futures Contracts†

           

Buys

      248,465        —        —       248,465  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Futures Contracts

      248,465        —        —       248,465  
  

 

 

     

 

 

     

 

 

    

 

 

  

Swaps

           

Centrally Cleared Interest Rate Swaps†

      —        318,889        —       318,889  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Swaps

      —        318,889        —       318,889  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 10,873,395      $ 778,979,657      $ 0     $ 789,853,052  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

165

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Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

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

    $ —     $ (511,484 )    $           —      $ (511,484 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Futures Contracts†

          

Sales

      (33,109 )      —       —        (33,109 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Futures Contracts

      (33,109 )      —       —        (33,109 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Swaps

          

Centrally Cleared Interest Rate Swaps†

      —       (65,990 )      —        (65,990 ) 

Centrally Cleared Credit Default Swaps†

      —       (26,705 )      —        (26,705 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Swaps

      —       (92,695 )      —        (92,695 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Written Options

      (12,500 )      —       —        (12,500 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (45,609 )    $ (604,179 )    $ —      $ (649,788 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

  ** Represents one or more Level 3 securities at $0 value as of March 31, 2017.
  † Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

Opportunistic Fixed

ASSETS VALUATION INPUT

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2)		      Significant
Unobservable
Inputs
(Level 3)		     Total  

Debt Obligations

           

Corporate Debt

    $ —      $ 257,645,081      $           0 **    $ 257,645,081  

Sovereign Debt Obligations

      —        275,906,394        —       275,906,394  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Debt Obligations

      —        533,551,475        0       533,551,475  
  

 

 

     

 

 

     

 

 

    

 

 

  

Common Stocks

           

Diversified Financial Services

      —        —        0 **      —  

Electric

      558,291        —        —       558,291  

Oil & Gas

      2,623,622        626,826        —       3,250,448  

Transportation

      —        164,773        —       164,773  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      3,181,913        791,599        0       3,973,512  
  

 

 

     

 

 

     

 

 

    

 

 

  

Warrants

           

Oil & Gas

      —        24,826        0 **      24,826  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Warrants

      —        24,826        0       24,826  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

166

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2)		      Significant
Unobservable
Inputs
(Level 3)		      Total  

Short-Term Investments

            

Bank Deposits

    $ —      $ 17,755,207      $ —      $ 17,755,207  

Mutual Fund - Securities Lending Collateral

      22,260,085        —        —        22,260,085  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      22,260,085        17,755,207        —        40,015,292  
  

 

 

     

 

 

     

 

 

     

 

 

  

Forward Foreign Currency Contracts†

            

Buys

      —        1,815,722        —        1,815,722  

Sales

      —        830,821        —        830,821  

Cross-Currency Forwards

      —        58,767        —        58,767  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Forward Foreign Currency Contracts

      —        2,705,310        —        2,705,310  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts†

            

Buys

      15,148        —        —        15,148  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      15,148        —        —        15,148  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 25,457,146      $ 554,828,417      $ 0      $ 580,285,563  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES VALUATION INPUT

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		     Significant
Other
Observable
Inputs
(Level 2) 		    Significant
Unobservable
Inputs
(Level 3)		      Total  

Forward Foreign Currency Contracts†

          

Buys

    $ —     $ (711,464 )    $           —      $ (711,464 ) 

Sales

      —       (1,292,952 )      —        (1,292,952 ) 

Cross-Currency Forwards

      —       (33,804 )      —        (33,804 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Forward Foreign Currency Contracts

      —       (2,038,220 )      —        (2,038,220 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Futures Contracts†

          

Buys

      (119,929 )      (4,419 )      —        (124,348 ) 

Sales

      (240 )      —       —        (240 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Futures Contracts

      (120,169 )      (4,419 )      —        (124,588 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (120,169 )    $ (2,042,639 )    $ —      $ (2,162,808 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

  ** Represents one or more Level 3 securities at $0 value as of March 31, 2017.
  † 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.

 

167

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

Emerging Markets

ASSETS VALUATION INPUT

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2) 		     Significant
Unobservable
Inputs
(Level 3)		      Total  

Common Stocks

         

Austria

    $ 3,361,658      $ —      $           —      $ 3,361,658  

Bermuda

      17,300,749        —        —        17,300,749  

Brazil

      67,380,713        —        —        67,380,713  

British Virgin Islands

      1,738,430        —        —        1,738,430  

Cayman Islands

      135,138,071        —        —        135,138,071  

Chile

      12,254,684        —        —        12,254,684  

China

      151,294,672        —        —        151,294,672  

Colombia

      972,700        —        —        972,700  

Czech Republic

      1,542,921        —        —        1,542,921  

France

      2,493,602        —        —        2,493,602  

Hong Kong

      59,629,756        —        —        59,629,756  

Hungary

      13,977,691        —        —        13,977,691  

India

      126,043,207        —        —        126,043,207  

Indonesia

      41,688,365        —        —        41,688,365  

Japan

      2,763,680        —        —        2,763,680  

Luxembourg

      2,871,110        —        —        2,871,110  

Malaysia

      19,532,064        —        —        19,532,064  

Mexico

      48,320,229        —        —        48,320,229  

Netherlands

      2,369,902        —        —        2,369,902  

Philippines

      4,187,625        —        —        4,187,625  

Poland

      8,880,912        —        —        8,880,912  

Qatar

      5,241,118        —        —        5,241,118  

Romania

      407,268        —        —        407,268  

Russia

      33,917,509        2,435,178        —        36,352,687  

Singapore

      8,822,263        —        —        8,822,263  

South Africa

      71,821,063        —        —        71,821,063  

South Korea

      183,642,875        —        —        183,642,875  

Sweden

      1,324,183        —        —        1,324,183  

Switzerland

      5,966,565        —        —        5,966,565  

Taiwan

      163,180,251        —        —        163,180,251  

Thailand

      22,572,285        18,708,981        —        41,281,266  

Turkey

      17,396,909        —        —        17,396,909  

United Arab Emirates

      16,305,333        —        —        16,305,333  

United Kingdom

      16,399,565        —        —        16,399,565  

United States

      20,016,607        —        —        20,016,607  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      1,290,756,535        21,144,159        —        1,311,900,694  
  

 

 

     

 

 

     

 

 

     

 

 

  

Preferred Stocks

         

Brazil

      42,944,650        —        —        42,944,650  

Colombia

      602,479        —        —        602,479  

Germany

      1,579,479        —        —        1,579,479  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      45,126,608        —        —        45,126,608  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

168

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		      Significant
Other
Observable
Inputs
(Level 2) 		     Significant
Unobservable
Inputs
(Level 3)		      Total  

Short-Term Investments

         

Bank Deposits

    $ —      $ 125,115,810      $ —      $ 125,115,810  

Investment Fund

      8,252,201        —        —        8,252,201  

Mutual Fund - Securities Lending Collateral

      23,309,405        —        —        23,309,405  

U.S. Government and Agency Obligations

      —        3,396,355        —        3,396,355  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      31,561,606        128,512,165        —        160,073,771  
  

 

 

     

 

 

     

 

 

     

 

 

  

Forward Foreign Currency Contracts†

         

Buys

      —        1,794,430        —        1,794,430  

Sales

      —        625,507        —        625,507  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Forward Foreign Currency Contracts

      —        2,419,937        —        2,419,937  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts†

         

Buys

      2,784,833        —        —        2,784,833  

Sales

      26,520        —        —        26,520  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      2,811,353        —        —        2,811,353  
  

 

 

     

 

 

     

 

 

     

 

 

  

Synthetic Futures

      —        938,133        —        938,133  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,370,256,102      $ 153,014,394      $ —      $ 1,523,270,496  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES VALUATION INPUT

 

Description

    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		     Significant
Other
Observable
Inputs
(Level 2) 		    Significant
Unobservable
Inputs
(Level 3)		      Total  

Forward Foreign Currency Contracts†

          

Buys

    $ —     $ (862,818 )    $           —      $ (862,818 ) 

Sales

      —       (1,574,069 )      —        (1,574,069 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Forward Foreign Currency Contracts

      —       (2,436,887 )      —        (2,436,887 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Futures Contracts†

          

Buys

      (15,963 )      —       —        (15,963 ) 

Sales

      (420,208 )      —       —        (420,208 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Futures Contracts

      (436,171 )      —       —        (436,171 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Synthetic Futures

      —       (688,241 )      —        (688,241 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (436,171 )    $ (3,125,128 )    $ —      $ (3,561,299 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

  † 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.

 

169

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

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

    $ 15,035,461      $ —      $           —      $ 15,035,461  

Austria

      23,209,323        —        —        23,209,323  

Belgium

      3,645,547        —        —        3,645,547  

Bermuda

      17,197,222        16,599        —        17,213,821  

Canada

      45,360,424        —        —        45,360,424  

Denmark

      2,138,656        —        —        2,138,656  

Finland

      2,349,654        —        —        2,349,654  

France

      22,238,711        —        —        22,238,711  

Germany

      15,875,981        —        —        15,875,981  

Hong Kong

      4,646,212        —        —        4,646,212  

Ireland

      6,660,870        —        —        6,660,870  

Israel

      6,834,522        —        —        6,834,522  

Italy

      3,082,084        —        —        3,082,084  

Japan

      48,576,400        71,264        —        48,647,664  

Luxembourg

      4,184,851        —        —        4,184,851  

Netherlands

      7,613,519        —        —        7,613,519  

New Zealand

      20,824,368        —        —        20,824,368  

Norway

      21,146,812        —        —        21,146,812  

Panama

      2,374,073        —        —        2,374,073  

Portugal

      421,123        —        —        421,123  

Puerto Rico

      1,930,602        —        —        1,930,602  

Singapore

      7,920,127        —        —        7,920,127  

Spain

      5,513,604        —        —        5,513,604  

Sweden

      9,710,723        —        —        9,710,723  

Switzerland

      52,139,178        —        —        52,139,178  

United Kingdom

      87,150,714        —        —        87,150,714  

United States

      661,101,456        —        —        661,101,456  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      1,098,882,217        87,863        —        1,098,970,080  
  

 

 

     

 

 

     

 

 

     

 

 

  

Preferred Stocks

            

Germany

      3,339,776        —        —        3,339,776  

Japan

      269,486        —        —        269,486  

Sweden

      135,494        —        —        135,494  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      3,744,756        —        —        3,744,756  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

            

Bank Deposits

      —        167,115,205        —        167,115,205  

Mutual Fund - Securities Lending Collateral

      15,618,084        —        —        15,618,084  

U.S. Government and Agency Obligations

      —        1,599,227        —        1,599,227  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      15,618,084        168,714,432        —        184,332,516  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

170

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

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

    $ 296,726      $ —      $ —      $ 296,726  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      296,726        —        —        296,726  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,118,541,783      $ 168,802,295      $ —      $ 1,287,344,078  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

    $ (23,328 )    $       —      $       —      $ (23,328 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      (23,328 )      —        —        (23,328 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total

    $ (23,328 )    $ —      $ —      $ (23,328 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

  † Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

The following tables show transfers between Level 1 and Level 2 of the fair value hierarchy:

Non-US Core Equity

 

     Transfers In     Transfers Out  
      Level 1 — Quoted
Prices		      Level 2 —  Other
Significant
Observable Inputs		     Level 1 — Quoted
Prices		     Level 2 —  Other
Significant
Observable Inputs		  

Common Stocks

    $         —      $ 1,786,200 *    $ 1,786,200 *    $         —  
  

 

 

     

 

 

    

 

 

    

 

 

  

Global Low Volatility

 

     Transfers In     Transfers Out  
      Level 1 — Quoted
Prices		      Level 2 —  Other
Significant
Observable Inputs		     Level 1 — Quoted
Prices		     Level 2 —  Other
Significant
Observable Inputs		  

Common Stocks

    $         —      $ 16,599 *    $ 16,599 *    $         —  
  

 

 

     

 

 

    

 

 

    

 

 

  

 

  * Transfers occurred between Level 1 and Level 2 as a result of foreign securities not receiving an exchange traded price.

For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.

 

171

Table of Contents

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

The following tables include a rollforward of the amounts for the year ended March 31, 2017 for financial instruments classified as Level 3:

Non-US Core Equity

 

Investments
in Securities

    Balance as of
March 31,
2016		     Realized
Gain
(Loss)		      Change in
Unrealized
Appreciation
(Depreciation)		      Net
Transfers
In (Out) of
Level 3		      Purchases      Balance as of
March 31,
2017		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Held at
March 31,
2017		  

COMMON STOCKS

 

                

Portugal

    $ 0 ^    $     —      $     —      $     —      $     —      $ 0 ^^    $     —  

Spain

      0 ^      —        —        —        —        0 ^^      —  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 0 ^    $ —      $ —      $ —      $ —      $ 0 ^^    $ —  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

 

  ^ Represents one security at $0 value as of March 31, 2016.
  ^^ Represents one security at $0 value as of March 31, 2017.

Core Fixed

 

Investments
in Securities

    Balance as of
March 31,
2016		     Realized
Gain
(Loss)		      Change in
Unrealized
Appreciation
(Depreciation)		      Net
Transfers
In (Out) of
Level 3		      Purchases/
Sales		      Balance as of
March 31,
2017		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Held at
March 31,
2017		  

DEBT OBLIGATIONS

 

                

Corporate Debt

    $ 0 ^    $     —      $     —      $     —      $     —      $ 0 ^^    $     —  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 0 ^    $ —      $ —      $ —      $ —      $ 0 ^^    $ —  
  

 

 

    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

 

  ^ Represents one security at $0 value as of March 31, 2016.
  ^^ Represents one security at $0 value as of March 31, 2017.

 

172

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March 31, 2017

 

 

Opportunistic Fixed

 

Investments
in Securities

    Balance as of
March 31,
2016		      Realized
Gain
(Loss)		      Change in
Unrealized
Appreciation
(Depreciation)		     Net
Transfers
In (Out) of
Level 3		      Net
Purchases		      Balance as of
March 31,
2017		      Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Held at
March 31,
2017		  

DEBT OBLIGATIONS

 

                 

Corporate Debt

    $     —      $     —      $ —     $     —      $ 0        0^      $ —  

COMMON STOCKS

 

                 

Diversified Financial Services

      —        —        (101,769 )      —        101,769        0^        (101,769 ) 

WARRANTS

 

                 

Oil & Gas

      —        —        —       —        0        0^        —  
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —      $ —      $ (101,769 )    $ —      $ 101,769      $ 0^      $ (101,769 ) 
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  

 

  ^ Represents one or more securities at $0 value as of March 31, 2017.

Investments in Derivative Instruments

Non-US Core Equity, Emerging Markets and Global Low Volatility held rights during the year as a result of corporate actions. Small/Mid Cap, Opportunistic Fixed, Emerging Markets and Global Low Volatility held warrants during the year as a result of corporate actions.

At March 31, 2017 and during the period then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:

Large Cap

 

ASSET DERIVATIVES  
     Equity Risk     Total  

Futures Contracts(3)

    $ 6,399     $ 6,399  
  

 

 

    

 

 

  

Total Value

    $ 6,399     $ 6,399  
  

 

 

    

 

 

  
    
LIABILITY DERIVATIVES  
     Equity Risk     Total  

Futures Contracts(3)

    $ (9,043 )    $ (9,043 ) 
  

 

 

    

 

 

  

Total Value

    $ (9,043 )    $ (9,043 ) 
  

 

 

    

 

 

  
    
NET REALIZED GAIN (LOSS)  
     Equity Risk     Total  

Futures Contracts(8)

    $ 2,457,762     $ 2,457,762  
  

 

 

    

 

 

  

Total Realized Gain (Loss)

    $ 2,457,762     $ 2,457,762  
  

 

 

    

 

 

  

 

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March 31, 2017

 

 

CHANGE IN APPRECIATION (DEPRECIATION)  
     Equity Risk     Total  

Futures Contracts(13)

    $ (287,270 )    $ (287,270 ) 
  

 

 

    

 

 

  

Total Change in Appreciation (Depreciation)

    $ (287,270 )    $ (287,270 ) 
  

 

 

    

 

 

  
    
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16)  
     Equity Risk     Total  

Futures Contracts

      102       102  

Small/Mid Cap

 

ASSET DERIVATIVES  
     Equity Risk     Total  

Futures Contracts(3)

    $ 235,522     $ 235,522  
  

 

 

    

 

 

  

Total Value

    $ 235,522     $ 235,522  
  

 

 

    

 

 

  
    
NET REALIZED GAIN (LOSS)  
     Equity Risk     Total  

Futures Contracts(8)

    $ 7,089,122     $ 7,089,122  
  

 

 

    

 

 

  

Total Realized Gain (Loss)

    $ 7,089,122     $ 7,089,122  
  

 

 

    

 

 

  
    
CHANGE IN APPRECIATION (DEPRECIATION)  
     Equity Risk     Total  

Futures Contracts(13)

    $ (22,135 )    $ (22,135 ) 
  

 

 

    

 

 

  

Total Change in Appreciation (Depreciation)

    $ (22,135 )    $ (22,135 ) 
  

 

 

    

 

 

  
    
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16)  
     Equity Risk     Total  

Warrants

      27,862       27,862  

Futures Contracts

      218       218  

Non-US Core Equity

 

ASSET DERIVATIVES  
     Foreign
Currency Risk		      Equity Risk      Total  

Rights(1)

    $ —      $ 168,453      $ 168,453  

Futures Contracts(3)

      —        567,382        567,382  

Forward Foreign Currency Contracts(2)

      75,440        —        75,440  
  

 

 

     

 

 

     

 

 

  

Total Value

    $ 75,440      $ 735,835      $ 811,275  
  

 

 

     

 

 

     

 

 

  
        

 

174

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

LIABILITY DERIVATIVES  
     Foreign
Currency Risk		     Equity Risk      Total  

Forward Foreign Currency Contracts(4)

    $ (57,033 )    $ —      $ (57,033 ) 
  

 

 

    

 

 

     

 

 

  

Total Value

    $ (57,033 )    $ —      $ (57,033 ) 
  

 

 

    

 

 

     

 

 

  
       
NET REALIZED GAIN (LOSS)  
     Foreign
Currency Risk		     Equity Risk      Total  

Rights(6)

    $ —     $ 60,585      $ 60,585  

Futures Contracts(8)

      —       8,791,397        8,791,397  

Forward Foreign Currency Contracts(7)

      1,391,519       —        1,391,519  
  

 

 

    

 

 

     

 

 

  

Total Realized Gain (Loss)

    $ 1,391,519     $ 8,851,982      $ 10,243,501  
  

 

 

    

 

 

     

 

 

  
       
CHANGE IN APPRECIATION (DEPRECIATION)  
     Foreign
Currency Risk		     Equity Risk      Total  

Rights(11)

    $ —     $ 168,453      $ 168,453  

Futures Contracts(13)

      —       766,327        766,327  

Forward Foreign Currency Contracts(12)

      18,407       —        18,407  
  

 

 

    

 

 

     

 

 

  

Total Change in Appreciation (Depreciation)

    $ 18,407     $ 934,780      $ 953,187  
  

 

 

    

 

 

     

 

 

  
       
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16)  
     Foreign
Currency Risk		     Equity Risk      Total  

Rights

      —       142,681        142,681  

Futures Contracts

      —       1,003        1,003  

Forward Foreign Currency Contracts

      (13,104,169 )      —        (13,104,169 ) 

Core Fixed

 

ASSET DERIVATIVES  
     Credit Risk      Interest
Rate Risk		      Total  

Options Purchased(1)

    $         —      $ 70,300      $ 70,300  

Futures Contracts(3)

      —        248,465        248,465  

Centrally Cleared Swap Contracts**

      —        318,889        318,889  
  

 

 

     

 

 

     

 

 

  

Total Value

    $ —      $ 637,654      $ 637,654  
  

 

 

     

 

 

     

 

 

  
        

 

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

LIABILITY DERIVATIVES  
     Credit Risk     Interest
Rate Risk		     Total  

Options Written(5)

    $ —     $ (12,500 )    $ (12,500 ) 

Futures Contracts(3)

      —       (33,109 )      (33,109 ) 

Centrally Cleared Swap Contracts**

      (26,705 )      (65,990 )      (92,695 ) 
  

 

 

    

 

 

    

 

 

  

Total Value

    $ (26,705 )    $ (111,599 )    $ (138,304 ) 
  

 

 

    

 

 

    

 

 

  
      
NET REALIZED GAIN (LOSS)  
     Credit Risk     Interest
Rate Risk		     Total  

Options Purchased(6)

    $ —     $ (57,160 )    $ (57,160 ) 

Options Written(9)

      —       26,468       26,468  

Swaps Contracts(10)

      (158,194 )      (37,456 )      (195,650 ) 

Futures Contracts(8)

      —       (1,715,956 )      (1,715,956 ) 
  

 

 

    

 

 

    

 

 

  

Total Realized Gain (Loss)

    $ (158,194 )    $ (1,784,104 )    $ (1,942,298 ) 
  

 

 

    

 

 

    

 

 

  
      
CHANGE IN APPRECIATION (DEPRECIATION)  
     Credit Risk     Interest
Rate Risk		     Total  

Options Purchased(11)

    $ —     $ (2,072 )    $ (2,072 ) 

Options Written(14)

      —       1,800       1,800  

Swaps Contracts(15)

      (249,038 )      1,172,376       923,338  

Futures Contracts(13)

      —       (165,076 )      (165,076 ) 
  

 

 

    

 

 

    

 

 

  

Total Change in Appreciation (Depreciation)

    $ (249,038 )    $ 1,007,028     $ 757,990  
  

 

 

    

 

 

    

 

 

  
      
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16)  
     Credit Risk     Interest
Rate Risk		     Total  

Options Purchased

      —       100,000       100,000  

Options Written

      —       (55,000 )      (55,000 ) 

Swaps Contracts

      17,000,000       72,343,057       89,343,057  

Futures Contracts

      —       688       688  

Opportunistic Fixed

 

ASSET DERIVATIVES  
     Foreign
Currency Risk		      Interest
Rate Risk		      Equity Risk      Total  

Warrants(1)

    $ —      $ —      $ 24,826      $ 24,826  

Futures Contracts(3)

      —        15,148        —        15,148  

Forward Foreign Currency Contracts(2)†

      2,705,310        —                  —        2,705,310  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Value

    $ 2,705,310      $ 15,148      $ 24,826      $ 2,745,284  
  

 

 

     

 

 

     

 

 

     

 

 

  
           

 

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

LIABILITY DERIVATIVES  
     Foreign
Currency Risk		     Interest
Rate Risk		     Equity Risk     Total  

Futures Contracts(3)

    $ —     $ (124,588 )    $ —     $ (124,588 ) 

Forward Foreign Currency Contracts(4)†

      (2,038,220 )      —                    —       (2,038,220 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Value

    $ (2,038,220 )    $ (124,588 )    $ —     $ (2,162,808 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
        
NET REALIZED GAIN (LOSS)  
     Foreign
Currency Risk		     Interest
Rate Risk		     Equity Risk     Total  

Warrants(6)

    $ —     $ —     $ (18 )    $ (18 ) 

Futures Contracts(8)

      —       655,112       —       655,112  

Forward Foreign Currency Contracts(7)†

      (3,499,077 )      —       —       (3,499,077 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Realized Gain (Loss)

    $ (3,499,077 )    $ 655,112     $ (18 )    $ (2,843,983 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
        
CHANGE IN APPRECIATION (DEPRECIATION)  
     Foreign
Currency Risk		     Interest
Rate Risk		     Equity Risk     Total  

Warrants(11)

    $ —     $ —     $ (61,771 )    $ (61,771 ) 

Futures Contracts(13)

      —       (406,517 )      —       (406,517 ) 

Forward Foreign Currency Contracts(12)†

      3,419,146       —       —       3,419,146  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Change in Appreciation (Depreciation)

    $ 3,419,146     $ (406,517 )    $ (61,771 )    $ 2,950,858  
  

 

 

    

 

 

    

 

 

    

 

 

  
        
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16)  
     Foreign
Currency Risk		     Interest
Rate Risk		     Equity Risk     Total  

Warrants

      —       —       7,124       7,124  

Futures Contracts

      —       1,811       —       1,811  

Forward Foreign Currency Contracts†

      (937,181 )      —       —       (937,181 ) 

Emerging Markets

 

ASSET DERIVATIVES  
     Foreign
Currency Risk		      Equity Risk      Total  

Futures Contracts(3)††

    $ —      $ 3,749,486      $ 3,749,486  

Forward Foreign Currency Contracts(2)

      2,419,937        —        2,419,937  
  

 

 

     

 

 

     

 

 

  

Total Value

    $ 2,419,937      $ 3,749,486      $ 6,169,423  
  

 

 

     

 

 

     

 

 

  
        

 

177

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Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2017

 

 

LIABILITY DERIVATIVES  
     Foreign
Currency Risk		     Equity Risk     Total  

Futures Contracts(3)††

    $ —     $ (1,124,412 )    $ (1,124,412 ) 

Forward Foreign Currency Contracts(4)

      (2,436,887 )      —       (2,436,887 ) 
  

 

 

    

 

 

    

 

 

  

Total Value

    $ (2,436,887 )    $ (1,124,412 )    $ (3,561,299 ) 
  

 

 

    

 

 

    

 

 

  
      
NET REALIZED GAIN (LOSS)  
     Foreign
Currency Risk		     Equity Risk     Total  

Rights(6)

    $ —     $ 136,731     $ 136,731  

Warrants(6)

      —       188,452       188,452  

Futures Contracts(8)††

      —       20,080,035       20,080,035  

Forward Foreign Currency Contracts(7)

      13,002,781       —       13,002,781  
  

 

 

    

 

 

    

 

 

  

Total Realized Gain (Loss)

    $ 13,002,781     $ 20,405,218     $ 33,407,999  
  

 

 

    

 

 

    

 

 

  
      
CHANGE IN APPRECIATION (DEPRECIATION)  
     Foreign
Currency Risk		     Equity Risk     Total  

Futures Contracts(13)††

    $ —     $ (1,172,075 )    $ (1,172,075 ) 

Forward Foreign Currency Contracts(12)

      (322,557 )      —       (322,557 ) 
  

 

 

    

 

 

    

 

 

  

Total Change in Appreciation (Depreciation)

    $ (322,557 )    $ (1,172,075 )    $ (1,494,632 ) 
  

 

 

    

 

 

    

 

 

  
      
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16)  
     Foreign
Currency Risk		     Equity Risk     Total  

Rights

      —       182,849       182,849  

Warrants

      —       834,500       834,500  

Futures Contracts

      —       130,716,801       130,716,801  

Forward Foreign Currency Contracts

      27,838,984       —       27,838,984  

Global Low Volatility

 

ASSET DERIVATIVES  
     Foreign
Currency Risk		      Equity Risk     Total  

Futures Contracts(3)

    $ 17,934      $ 278,792     $ 296,726  
  

 

 

     

 

 

    

 

 

  

Total Value

    $ 17,934      $ 278,792     $ 296,726  
  

 

 

     

 

 

    

 

 

  
       
LIABILITY DERIVATIVES  
     Foreign
Currency Risk		      Equity Risk     Total  

Futures Contracts(3)

    $                   —      $ (23,328 )    $ (23,328 ) 
  

 

 

     

 

 

    

 

 

  

Total Value

    $ —      $ (23,328 )    $ (23,328 ) 
  

 

 

     

 

 

    

 

 

  
       

 

178

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

NET REALIZED GAIN (LOSS)  
     Foreign
Currency Risk		     Equity Risk     Total  

Rights(6)

    $ —     $ 741,655     $ 741,655  

Warrants(6)

      —       33,648       33,648  

Futures Contracts(8)

      (19,169 )      5,824,432       5,805,263  

Forward Foreign Currency Contracts(7)

      (142,345 )      —       (142,345 ) 
  

 

 

    

 

 

    

 

 

  

Total Realized Gain (Loss)

    $ (161,514 )    $ 6,599,735     $ 6,438,221  
  

 

 

    

 

 

    

 

 

  
      
CHANGE IN APPRECIATION (DEPRECIATION)  
     Foreign
Currency Risk		     Equity Risk     Total  

Rights(11)

    $ —     $ (77 )    $ (77 ) 

Warrants(11)

      —       (21,204 )      (21,204 ) 

Futures Contracts(13)

      (25,450 )      (359,724 )      (385,174 ) 

Forward Foreign Currency Contracts(12)

      46,188       —       46,188  
  

 

 

    

 

 

    

 

 

  

Total Change in Appreciation (Depreciation)

    $ 20,738     $ (381,005 )    $ (360,267 ) 
  

 

 

    

 

 

    

 

 

  
      
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(16)  
     Foreign
Currency Risk		     Equity Risk     Total  

Rights

      —       562,296       562,296  

Warrants

      —       14,369       14,369  

Futures Contracts

      18       397       415  

Forward Foreign Currency Contracts

      (5,121,240 )      —       (5,121,240 ) 

 

  ** Centrally Cleared Swaps are valued at unrealized appreciation/depreciation on the Schedule of Investments. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.
  † Includes Cross Currency Foreign Currency Contracts.
  †† Includes Synthetic Futures.
  (1)

Statements of Assets and Liabilities location: Investments, at value.

  (2)

Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts.

  (3)

Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. Synthetic futures are presented as Synthetic futures, at value within the Statements of Assets and Liabilities.

  (4)

Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts.

  (5)

Statements of Assets and Liabilities location: Written options, at value.

  (6)

Statements of Operations location: Amounts are included in Net realized gain (loss) on Investments.

  (7)

Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions.

  (8)

Statements of Operations location: Amounts are included in Net realized gain (loss) on Closed futures 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 Investments.

  (12)

Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions.

 

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

  (13)

Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts.

  (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 year ended March 31, 2017.

The Funds follow FASB ASC 815-10-50 “Disclosures about Credit Derivatives and Certain Guarantees”. This applies to written credit derivatives, hybrid instruments with embedded credit derivatives (for example, credit-linked notes), and certain guarantees.

The following is a summary of open centrally cleared credit default swap positions held by Core Fixed at March 31, 2017:

 

Notional
Amount*		     Currency     Expiration
Date		     Buy/Sell
Protection		   Receive
(Pay)
Fixed
Rate		    

Deliverable
on Default

   Unrealized
Appreciation
(Depreciation)		     Value
$ 17,000,000       USD       06/20/20     Buy     1.00 %    CDX.IG.24 CG24   $ (26,705 )    $(341,635)

 

* The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of purchased protection credit default swap contracts entered into by the Fund for the same referenced debt obligation.

Netting Agreements and Collateral Requirements

In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with certain collateral held and/or posted and create a net payment. The provisions of the ISDA Master Agreement typically permit a net payment in the event of default including the 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

 

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broker or cash collateral due to broker, respectively. Non-cash collateral pledged by or received by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

The Funds are required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowings transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Funds’ derivative assets and liabilities at fair value by risk are presented in the tables above. For financial reporting purposes the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables present the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of related collateral received by the Funds for assets or pledged by the Funds for liabilities as of March 31, 2017.

Non-US Core Equity

Offsetting of Financial Assets and Derivative Assets:

 

Counterparty

    Derivative
Assets Subject
to MNA		      Derivative
Assets/(Liabilities)
available for offset		      Collateral
Received*		      Net Amount
of Derivative
Assets(a)		  

HSBC Bank USA

    $ 75,440      $       —      $       —      $ 75,440  
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ 75,440      $ —      $ —      $ 75,440  
  

 

 

     

 

 

     

 

 

     

 

 

  

Offsetting of Financial Liabilities and Derivative Liabilities:

 

Counterparty

    Derivative
Liabilities Subject
to MNA		     Derivative
Assets/(Liabilities)
available for offset		      Collateral
Pledged*		      Net Amount
of Derivative
Assets(b)		  

Barclays Bank Plc

    $ (57,033 )    $       —      $       —      $ (57,033 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  
   $ (57,033 )    $ —      $ —      $ (57,033 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

  (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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Opportunistic Fixed

Offsetting of Financial Assets and Derivative Assets:

 

Counterparty

    Derivative
Assets Subject
to MNA		      Derivative
Assets/(Liabilities)
available for offset		     Collateral
Received*		      Net Amount
of Derivative
Assets(a)		  

Barclays Bank Plc

    $ 39,690      $ (39,690 )    $       —      $ —  

Citibank N.A.

      1,142,425        (1,054,666 )      —        87,759  

Goldman Sachs International

      603,544        (313,815 )      —        289,729  

HSBC Bank plc

      3,908        (2,741 )      —        1,167  

JPMorgan Chase Bank N.A. London

      326,494        (186,405 )      —        140,089  

Standard Chartered Bank

      589,249        (5,816 )      —        583,433  
  

 

 

     

 

 

    

 

 

     

 

 

  
   $ 2,705,310      $ (1,603,133 )    $ —      $ 1,102,177  
  

 

 

     

 

 

    

 

 

     

 

 

  

Offsetting of Financial Liabilities and Derivative Liabilities:

 

Counterparty

    Derivative
Liabilities Subject
to MNA		     Derivative
Assets/(Liabilities)
available for offset		      Collateral
Pledged*		      Net Amount
of Derivative
Assets(b)		  

Barclays Bank Plc

    $ (190,586 )    $ 39,690      $       —      $ (150,896 ) 

Citibank N.A.

      (1,054,666 )      1,054,666        —        —  

Deutsche Bank AG London

      (267,730 )      —        —        (267,730 ) 

Goldman Sachs International

      (313,815 )      313,815        —        —  

HSBC Bank plc

      (2,741 )      2,741        —        —  

JPMorgan Chase Bank N.A. London

      (186,405 )      186,405        —        —  

Standard Chartered Bank

      (5,816 )      5,816        —        —  

UBS AG London

      (16,461 )      —        —        (16,461 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  
   $ (2,038,220 )    $ 1,603,133      $ —      $ (435,087 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

  (a) 

Represents the net amount receivable from the counterparty in the event of default.

  (b) 

Represents the net amount payable to the counterparty in the event of default.

  * In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization.

Emerging Markets

Offsetting of Financial Assets and Derivative Assets:

 

Counterparty

    Derivative
Assets Subject
to MNA		      Derivative
Assets/(Liabilities)
available for offset		     Collateral
Received*		      Net Amount
of Derivative
Assets(a)		  

Citibank N.A. London

    $ 2,419,937      $ (2,419,937 )    $       —      $ —  

Goldman Sachs International

      938,133        (688,241 )      —        249,892  
  

 

 

     

 

 

    

 

 

     

 

 

  
   $ 3,358,070      $ (3,108,178 )    $ —      $ 249,892  
  

 

 

     

 

 

    

 

 

     

 

 

  

 

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Offsetting of Financial Liabilities and Derivative Liabilities:

 

Counterparty

    Derivative
Liabilities Subject
to MNA		     Derivative
Assets/(Liabilities)
available for offset		      Collateral
Pledged*		      Net Amount
of Derivative
Assets(b)		  

Citibank N.A. London

    $ (2,436,887 )    $ 2,419,937      $       —      $ (16,950 ) 

Goldman Sachs International

      (688,241 )      688,241        —        —  
  

 

 

    

 

 

     

 

 

     

 

 

  
   $ (3,125,128 )    $ 3,108,178      $ —      $ (16,950 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

  (a) 

Represents the net amount receivable from the counterparty in the event of default.

  (b) 

Represents the net amount payable to the counterparty in the event of default.

  * In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization.

(b)  Security transactions and related investment income

Security transactions are accounted for on trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date or when the Fund is informed of the ex-dividend date, if later. Interest income is recorded on the accrual basis, and is adjusted for amortization of premium and discounts for debt securities. Income is not recognized, nor are premium and discount amortized, on securities for which collection is not expected. Withholding taxes on foreign dividend, interest, and capital gains have been provided for in accordance with the respective country’s tax rules and rates. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income on inflation indexed securities is accrued daily based upon an inflation-adjusted principal. Additionally, any increase in the principal or face amount of these securities is recorded as interest income. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified-cost basis.

(c)  Cash and short term investments

A Fund may invest a portion of its assets in short-term debt securities (including repurchase agreements and reverse repurchase agreements) of corporations, the U.S. government and its agencies and instrumentalities and banks and finance companies, which may be denominated in any currency.

A Fund may invest a portion of its assets in shares issued by money market mutual funds. A Fund also may invest in collective investment vehicles that are managed by an unaffiliated investment manager, pending investment of the Fund’s assets in portfolio securities. When unusual market conditions warrant, a Fund may make substantial temporary defensive investments in cash equivalents, up to a maximum of 100% of the Fund’s net assets. Cash equivalent holdings may be in any currency. When a Fund invests for temporary defensive purposes, such investments may affect the Fund’s ability to achieve its investment objective.

(d)  Securities lending

A Fund may lend its portfolio securities to qualified broker/dealers and financial institutions pursuant to agreements, provided: (1) the loan is secured continuously by collateral marked-to-market daily and maintained in an amount at least equal to the current fair value of the securities loaned; (2) the Fund may call the loan at any time and receive the securities loaned; (3) the Fund will receive any interest or dividends paid on the loaned securities; and (4) the aggregate fair value of securities loaned will not at any time exceed 33 1/3% of the total assets of the Fund. Collateral will consist of U.S. and non-U.S. securities, cash equivalents or irrevocable letters of credit. A liability for cash collateral is reflected in the Statements of Assets and Liabilities, and is categorized as Level 2 within the fair value hierarchy. As with other extensions of credit, there are risks of delay in recovery or even loss of rights in collateral in the event of default or insolvency of a borrower of a Fund’s portfolio securities. A Fund may not retain voting rights on securities while they are on loan.

Certain Funds may from time to time participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”) acting as securities lending agent, is authorized to lend

 

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Fund portfolio securities to qualified broker/dealers and financial institutions that post appropriate collateral. The Custodian has agreed to indemnify the Funds in case of default of any security borrower.

Securities on loan are fully collateralized and the collateral was equal to or exceeded the securities on loan at March 31, 2017. 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 March 31, 2017 were as follows:

 

     Market Value of
Loaned Securities		      Value of
Cash Collateral		      Value of
Non-Cash Collateral		  

Large Cap

    $ 54,869,101      $ 10,620,680      $ 45,627,479  

Small/Mid Cap

      136,178,643        35,627,563        103,716,928  

Non-US Core Equity

      110,147,766        81,928,175        34,070,937  

Core Fixed

      33,418,372        10,554,630        23,522,328  

Opportunistic Fixed

      23,542,388        22,260,085        1,770,000  

Emerging Markets

      31,320,235        23,309,405        10,264,904  

Global Low Volatility

      50,536,745        15,618,084        36,587,049  

For Large Cap, Small/Mid Cap, Non-US Core Equity, Emerging Markets and Global Low Volatility, all of the securities on loan collateralized by cash are classified as Common Stocks in each Fund’s Schedule of Investments at March 31, 2017, 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 March 31, 2017, with a contractual maturity of overnight and continuous.

For Opportunistic Fixed, the value of the security loan obligation is classified as follows at March 31, 2017:

Opportunistic Fixed

 

     Remaining Contractual Maturity of the Agreements
As of March 31, 2017		  
     Overnight and
Continuous		      <30 days      Between
30 & 90 days		      >90 days      Total  

Securities Lending Transactions

               

Common Stocks

    $ 617,083      $       —      $       —      $       —      $ 617,083  

Corporate Debt

      21,643,002        —        —        —        21,643,002  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 22,260,085      $ —      $ —      $ —      $ 22,260,085  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Borrowings

    $ 22,260,085      $ —      $ —      $ —      $ 22,260,085  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Gross amount of recognized liabilities for securities lending transactions

 

    $ 22,260,085  
              

 

 

  

(e)  Repurchase agreements

A Fund may enter into a repurchase agreement under the terms of a Master Repurchase Agreement (“MRA”) where the Fund purchases securities from a bank or broker/dealer who simultaneously agrees to repurchase the securities at a mutually agreed upon time and price, thereby determining the yield during the term of the agreement. As a result, a repurchase agreement provides a fixed rate of return insulated from market fluctuations during the term of the agreement. The term of a repurchase agreement generally is short, possibly overnight or for a few days, although it may extend over a number of months (up to one year) from the date of delivery. Repurchase agreements are

 

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considered under the 1940 Act to be collateralized loans by a Fund to a seller secured by the securities transferred to the Fund. Repurchase agreements are fully collateralized and the collateral is marked-to-market daily. A Fund may not enter into a repurchase agreement having more than seven days remaining to maturity if, as a result, such agreement, together with any other illiquid securities held by the Fund, would exceed 15% of the value of the net assets of the Fund.

An MRA permits the Funds, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Funds. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds would recognize a liability with respect to such excess collateral to reflect the Funds’ obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2017, none of the Funds held open repurchase agreements.

(f)  Swaps

Swap contracts are derivatives in the form of a contract or similar instrument, which is an agreement to exchange the return generated by one instrument for the return generated by another instrument. A Fund may engage in swaps, including, but not limited to, interest rate, currency, credit default, and index swaps, and the purchase or sale of related caps, floors, collars, and other derivative instruments. A Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio, to modify the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.

Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.

The credit default swap agreements may have as reference obligations one or more securities that are not currently held by a Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” an upfront or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If a Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

The spread of a credit default swap is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the notional amount. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit worthiness and an increased market perception that there is a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, as well as the annual payment rates, serve as an indication of the current status of the payment/performance risk.

 

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Swaps do not involve the delivery of securities or other underlying assets or principal, and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive.

The equity swaps in which the Funds may invest involve agreements with a counterparty. The return to the Funds on any equity swap contract will be the total return on the notional amount of the contract as if it were invested in the stocks comprising the contract index in exchange for an interest component based on the notional amount of the agreement. The Funds will only enter into an equity swap contract on a net basis, i.e., the two parties’ obligations are netted out, with the Funds paying or receiving, as the case may be, only the net amount of the payments. Payments under an equity swap contract may be made at the conclusion of the contract or periodically during its term.

Whether a Fund’s use of swap agreements or swap options will be successful in achieving the Fund’s investment objective will depend on the Subadvisor’s ability to predict correctly whether certain types of investments are likely to produce greater returns than other investments. Moreover, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Funds will enter into swap agreements only with counterparties that meet certain standards of creditworthiness.

If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that a swap contract counterparty will be able to meet its obligations pursuant to a swap contract or that, in the event of a default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to a swap contract. However, the amount at risk is only the net unrealized gain, if any, on the swap at the time of default, and not the entire notional amount of the swap contract now that the potential loss can be mitigated by the posting of collateral and offsetting provisions of the ISDA. The Subadvisor that enters into the swap agreement will closely monitor, subject to the oversight of the Board, the creditworthiness of swap counterparties in order to minimize the risk of counterparty default on swaps.

Because swaps are two party contracts that may be subject to contractual restrictions on transferability and termination, and they may have terms of greater than seven days, swap agreements may be considered to be illiquid and subject to a Fund’s limitation on investments in illiquid securities. However, the Trust has adopted procedures pursuant to which the Advisor may determine that swaps (including swap options) are liquid under certain circumstances. To the extent that a swap is not liquid, it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price, which may result in significant losses.

Under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) enacted in 2010, a regulatory framework for certain OTC derivatives, such as swaps was enacted. The Dodd-Frank Act requires many swap transactions to be executed on registered exchanges or through swap execution facilities, cleared through a regulated clearinghouse, and publicly reported. In addition, many market participants are now regulated as swap dealers or swap participants, and are subject to certain minimum capital and margin requirements and business conduct standards.

The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Funds’ ability to terminate existing swap agreements or to realize amounts to be received under such agreements.

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

 

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in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.

A Fund will accrue for interim payments on swap contracts on a daily basis, with the net amount recorded as interest payable or receivable on swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap contracts, in addition to realized gain/loss recorded upon the termination of swap contracts on the Statements of Operations. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts (swap contracts, at value on the Statements of Assets and Liabilities).

Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.

The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.

The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Advisor or Subadvisor is incorrect in its forecasts of market values, interest rates, and currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if this investment technique were not used.

Like most other investments, swap agreements are subject to the risk that the market value of the instrument will change in a way detrimental to a Fund’s interest. A Fund bears the risk that Subadvisor will not accurately forecast future market trends or the values of assets, reference rates, indexes, or other economic factors in establishing swap positions for the Fund. If a Subadvisor attempts to use a swap as a hedge against, or as a substitute for, a portfolio investment, the Fund will be exposed to the risk that the swap will have or will develop imperfect or no correlation with the portfolio investment. This could cause substantial losses for the Fund. While hedging strategies involving swap instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.

During the year ended March 31, 2017, Core Fixed used swap agreements to adjust interest rate and yield curve exposure or to manage credit exposure. See the Core Fixed Schedule of Investments for a listing of open swap agreements as of March 31, 2017.

(g)  Futures

A futures contract is a contractual agreement to buy or sell a specific amount of a commodity or financial instrument at a predetermined price on a stipulated future date. A Fund may enter into contracts for the purchase or sale for future delivery of securities, indices and foreign currencies. Futures contracts may be opened to protect against the adverse effects of fluctuations in security prices, interest rates, or foreign exchange rates without actually buying or selling the securities or foreign currency. A Fund also may enter into futures contracts as a low cost method for gaining or reducing exposure to a particular currency or securities market without directly investing in those currencies or securities.

A purchase of a futures contract means the acquisition of a contractual right of a Fund to obtain delivery of the securities, indices or foreign currency underlying the contract at a specified price on a specified future date. When a futures contract is sold, a Fund incurs a contractual obligation to deliver the securities, indices or foreign currency underlying the contract at a specified price on a specified date.

 

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When a Fund enters into a futures contract, it must deliver to the futures commission merchant selected by the Fund an amount referred to as “initial margin.” This amount is maintained by the futures commission merchant in a segregated account at the custodian bank. Futures contracts are marked-to-market daily, depending upon changes in the price of the underlying securities, indices or foreign currencies subject to the futures contracts, and the change in value is recorded by the Fund as a variation margin payable or receivable. The Fund recognizes gains and losses on futures contracts in addition to the variation margin, which gains and losses are considered realized at the time the contracts expire or close.

A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the Commodity Futures Trading Commission (“CFTC”) for sale to customers in the United States, or on foreign exchanges. In addition, a Fund may sell stock index futures in anticipation of, or during a market decline to attempt to offset the decrease in the market value of the Fund’s common stocks that might otherwise result, and a Fund may purchase such contracts in order to offset increases in the cost of common stocks that it intends to purchase. Unlike other futures contracts, a stock index futures contract specifies that no delivery of the actual stocks making up the index will take place. Instead, settlement in cash must occur upon the termination of the contract.

In entering into futures contracts and options on futures contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts and options on futures contracts traded in the United States and on most foreign futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of its members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearinghouse will be able to meet its obligations to the Fund.

While futures contracts provide for the delivery of securities, deliveries usually do not occur. Contracts are generally terminated by entering into offsetting transactions.

Where the futures market is not as developed or where the regulations prevent or make it disadvantageous to trade futures, Emerging Markets will utilize synthetic futures as part of the country selection strategy implementation. A synthetic future operates like a swap transaction and uses equity index swaps on equity index futures. These are marked to market daily and the change in value is recorded as unrealized gain or loss in the Statement of Operations.

During the year ended March 31, 2017, Large Cap, Small/Mid Cap, Non-US Core Equity, Emerging Markets and Global Low Volatility used futures to equitize cash. Core Fixed and Opportunistic Fixed used futures to adjust interest rate exposure and replicate government bond positions. Emerging Markets also used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See the Large Cap, Small/Mid Cap, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open futures contracts as of March 31, 2017.

(h)  Options

The Funds may purchase and sell (write) put and call options on debt securities, currencies and indices to enhance investment performance, manage duration, or protect against changes in market prices. The Funds may also buy and sell combinations of put and call options on the same underlying security, currency or index. Short (sold) options positions will generally be hedged by the Funds with cash, cash equivalents, current portfolio security holdings, or other options or futures positions.

The Funds may enter into swap options (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation), in return for payment of a premium, to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. Each Fund may sell (write) and purchase put and call swaptions. Depending on the terms of the particular option

 

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agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, upon exercise of the option, the Fund will become obligated according to the terms of the underlying agreement.

When the Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option, it is exposed to a decline in the price of the underlying security.

Whether an option which the Fund has written expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.

The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Fund’s exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.

During the year ended March 31, 2017, Core Fixed used options to manage interest rate and volatility exposure.

Transactions in written option contracts for Core Fixed for the year ended March 31, 2017, is as follows:

 

     Number of Contracts/
Notional Amount		     Premiums
Received		  

Options outstanding at March 31, 2016

    $ —     $ —  

Options written

      568,000       64,283  

Options terminated in closing purchase transactions

      (170,000 )      (34,894 ) 

Options expired

      (298,000 )      (15,089 ) 
  

 

 

    

 

 

  

Options outstanding at March 31, 2017

    $ 100,000     $ 14,300  

(i)  Forward foreign currency contracts

The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk.

Forward foreign currency contracts are traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement and no commissions are charged at any stage for trades. The Funds will account for forward contracts by marking-to-market each day at current forward contract values. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time the contract was opened and the value at the time the contract was closed.

The Funds will only enter into forward contracts to sell, for a fixed amount of U.S. dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the

 

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underlying value of securities denominated in the currency being sold. Alternatively, when a Fund enters into a forward contract to sell an amount of foreign currency, the Custodian or the Fund’s sub-custodian will segregate assets in a segregated account of the Fund in an amount not less than the value of the Fund’s total assets committed to the consummation of such forward contract. If the additional segregated assets placed in the segregated account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Fund’s commitments with respect to such contract.

During the year ended March 31, 2017, Opportunistic Fixed used forward foreign currency contracts for a variety of purposes, including hedging, risk management, efficient portfolio management, enhancing total returns, or as a substitute for taking a position in the underlying asset. Non-US Core Equity, Emerging Markets and Global Low Volatility used forward foreign currency contracts to hedge, cross hedge or to actively manage the currency exposures in the Funds. See the Non-US Core Equity, Opportunistic Fixed and Emerging Markets Schedules of Investments for a listing of open forward foreign currency contracts as of March 31, 2017.

(j)  Foreign currency translation

The books and records of each Fund are maintained in US dollars. Foreign currencies, investments and other assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.

(k)  When-issued securities/TBA securities

Purchasing securities on a “when-issued” basis is a commitment by a Fund to buy a security before the security is actually issued. A Fund may purchase securities offered on a “when-issued” or “forward delivery” basis such as TBA securities. When so offered, the price, which is generally expressed in yield terms, is fixed at the time the commitment to purchase is made, but delivery and payment for the when-issued or forward delivery securities take place at a later date. During the period between purchase and settlement, no payment is made by the purchaser to the issuer and no interest on the when-issued or forward delivery security accrues to the purchaser. While when-issued or forward delivery securities may be sold prior to the settlement date, it is intended that a Fund will purchase such securities with the purpose of actually acquiring the securities unless a sale appears desirable for investment reasons. At the time a Fund makes the commitment to purchase a security on a when-issued or forward delivery basis, the Fund will record the transaction and reflect the value of the security in determining the Fund’s NAV. The market value of when-issued or forward delivery securities may be more or less than the purchase price. Certain risks may arise upon entering into when-issued or forward delivery securities transactions, including the potential inability of counterparties to meet the terms of their contracts, and the issuer’s failure to issue the securities due to political, economic, or other factors. Additionally, losses may arise due to declines in the value of the securities prior to settlement date.

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 a Fund’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 Core Fixed and Opportunistic Fixed Schedules of Investments for TBA and when-issued securities held as of March 31, 2017.

 

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(l)  Real estate investment trusts

The Funds may invest in real estate investment trusts (“REITs”), which pool investors’ funds for investment, primarily in income producing real estate or real estate-related loans or interests. A REIT is not taxed on income distributed to its shareholders or unitholders if it complies with regulatory requirements relating to its organization, ownership, assets and income, and with a regulatory requirement to distribute to its shareholders or unitholders at least 90% of its taxable income for each taxable year.

A shareholder in a Fund, by investing in REITs through the Fund, will bear not only the shareholder’s proportionate share of the expenses of the Fund, but also, indirectly, the management expenses of the underlying REITs. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self-liquidations. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income, or the REIT’s failure to maintain exemption from registration under the 1940 Act. Dividends representing a return of capital are reflected as a reduction of cost and/or as a realized gain when the amount of the return of capital is conclusively determined. See each Fund’s Schedule of Investments for REIT securities held as of March 31, 2017.

(m)  Mortgage-related and other asset-backed securities

The Funds may invest in mortgage-backed and asset-backed securities. Mortgage-backed securities represent an interest in a pool of mortgages. Asset-backed securities are structured like mortgage-backed securities, but instead of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property, and receivables from credit card agreements. The value of some mortgage or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal (the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedule of Investments for mortgage-backed and asset-backed securities held by Core Fixed as of March 31, 2017.

(n)  Mortgage dollar roll and treasury roll transactions

The Funds may sell mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. The Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Fund is required to purchase may decline below the agreed upon repurchase price of those securities.

The Funds may enter into treasury roll transactions. In a treasury roll transaction the Fund sells a treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price at a future settlement date. The Fund receives cash from the sale of the treasury security to use for other investment purposes. The difference between the sale and repurchase price represents net interest income or net interest expense. Under GAAP, the treasury roll transaction is accounted for as a financing transaction and not as a purchase or sale. During the term of the borrowing the Fund records the related interest income or interest expenses on an accrual basis. Treasury roll transactions involve the risk that the market value of the securities that the Fund is required to repurchase may decline below the agreed upon repurchase price of those securities.

 

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Treasury roll transactions are entered into by the Funds under an MRA. An MRA permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With treasury roll transactions, typically the Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund obligation under bankruptcy law to return the excess to the counterparty. The Funds did not hold open mortgage dollar rolls or treasury rolls as of March 31, 2017.

(o)  Bank loans

Core Fixed may invest in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the ‘‘Lender’’) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement. At March 31, 2017, the Funds held no unfunded loan commitments.

(p)  Indexed securities

The Funds may invest in indexed securities where the redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Funds use indexed securities to increase or decrease their exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.

(q)  Taxes and distributions

The Funds intend to qualify each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“the Code”). The Funds intend to distribute substantially all of their net investment income and net realized short-term and long-term gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal and state income or excise tax is necessary.

The Funds utilize the provisions of the federal income tax laws that provide for the carryforward of capital losses for prior years, offsetting such losses against any future realized capital gains. Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized after December 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

 

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On March 31, 2017, the following Funds had deferred capital losses available to be offset against future net capital gains through the indicated expiration dates as follows:

 

     Expiring March 31,  
     2017      2018      2019      2020      Unlimited  

Non-US Core Equity

    $ —      $ —      $ —      $ —      $ 470,303  

Opportunistic Fixed

      —        —        —        —        13,384,849  

Emerging Markets

      —        —        —        —        114,109,505  

During the year ended March 31, 2017, none of the Funds utilized capital loss carryforwards.

Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of March 31, 2017, Core Fixed and Opportunistic Fixed have elected to defer current year post-October losses of $6,154,104 and $1,745,756, respectively.

As of March 31, 2017, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

 

     Federal
Income Tax
Cost		      Tax Basis
Unrealized
Appreciation		      Tax Basis
Unrealized
Depreciation		     Net
Unrealized
Appreciation
(Depreciation)		  

Large Cap

    $ 539,216,442      $ 83,173,004      $ (9,795,119 )    $ 73,377,885  

Small/Mid Cap

      872,914,094        154,178,203        (16,107,774 )      138,070,429  

Non-US Core Equity

      2,179,001,521        234,586,600        (71,641,822 )      162,944,778  

Core Fixed

      794,792,650        7,989,189        (13,496,141 )      (5,506,952 ) 

Opportunistic Fixed

      591,408,903        17,802,603        (31,646,401 )      (13,843,798 ) 

Emerging Markets

      1,384,480,210        153,240,143        (20,619,280 )      132,620,863  

Global Low Volatility

      1,167,898,426        143,628,927        (24,480,001 )      119,148,926  

The temporary differences between book-basis and tax-basis unrealized appreciation/(depreciation) are primarily due to wash sale loss deferrals, investments in passive foreign investment companies and other basis adjustments.

As of March 31, 2017, the Funds had no uncertain tax positions that would require recognition, derecognition, or disclosure. Each of the Funds’ federal tax returns filed in the 3-year period ended March 31, 2017 remains subject to examination by the Internal Revenue Service.

The Funds’ policy is to declare and pay distributions from net investment income and net realized short-term and long-term gains at least annually. All distributions are paid in shares of the Funds, at NAV, unless the shareholder elects to receive cash distributions. A Fund may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate federal excise taxes on the Funds. The amount of any distribution will vary, and there is no guarantee that a Fund will pay either income dividends or capital gains distributions.

 

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During the years ended March 31, 2017 and March 31, 2016, the tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid, were as follows:

 

    2017     2016  
    Ordinary
Income		     Long-Term
Capital Gains		     Return of
Capital		     Ordinary
Income		     Long-Term
Capital Gains		     Return of
Capital		  

Large Cap

   $ 4,865,519     $ 16,407,532     $ —     $ 11,304,258     $ 28,725,500     $ —  

Small/Mid Cap

     10,867,942       18,277,858       —       —       24,352,888       —  

Non-US Core Equity

     37,187,651       —       —       41,554,865       40,514,508       —  

Core Fixed

     24,864,792       4,671,328       —       29,092,642       3,461,147       —  

Opportunistic Fixed

     —       —       —       5,165,823       —       60,282  

Emerging Markets

     26,250,811       —       —       11,714,562       —       —  

Global Low Volatility

     16,812,054       24,419,112       —       18,709,142       39,459,369       —  

As of March 31, 2017, the components of distributable earnings on a tax basis were as follows:

 

    Undistributed
Ordinary
Income		     Undistributed
Long-Term
Gains		     Capital Losses
Other Temporary
Differences		     Unrealized
Appreciation
(Depreciation)		     Total
Distributable
Earnings		  

Large Cap

   $ 8,984,573     $ 7,278,810     $ (5,064 )    $ 73,378,133     $ 89,636,452  

Small/Mid Cap

     29,815,741       12,724,052       (883 )      138,068,945       180,607,855  

Non-US Core Equity

     3,306,506       —       (474,341 )      162,761,996       165,594,161  

Core Fixed

     3,492,556       —       (6,159,893 )      (5,346,828 )      (8,014,165 ) 

Opportunistic Fixed

     4,264,228       —       (15,139,898 )      (13,413,475 )      (24,289,145 ) 

Emerging Markets

     14,096,235       —       (114,109,503 )      129,636,743       29,623,475  

Global Low Volatility

     4,946,996       10,671,339       —       119,102,363       134,720,698  

All other differences are temporary losses related to mostly organizational costs and other timing adjustments.

(r)  Allocation of expenses and income

The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated among the applicable Funds, taking into consideration, among other things, the nature and type of expense and the relative size of each applicable Fund.

(s)  Redemption fees

While none of the Funds’ classes have initial or contingent deferred sales charges on purchases of Fund shares, redemptions of Fund shares held less than 30 days may be assessed a 2% short-term trading fee and recorded as paid-in capital.

 

3. Credit agreement

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 14, 2017. Borrowings for each Fund under the Agreement are limited to the lesser of $50,000,000 or 33 1/3% of a Fund’s Adjusted Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust pays an annual commitment fee at the rate 0.25% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest is charged to the Funds based on its borrowings at a variable rate equal to the higher of the Overnight Federal Funds Rate or 30-Day LIBOR plus 1.00%. The Funds did not borrow under the Agreement during the year ended March 31, 2017.

 

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

 

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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

The Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Effective July 1, 2016, pursuant to the investment management agreement, each Fund pays the Advisor a fee for managing the Fund’s investments at an annual rate of:

 

     Investment Advisory Fee* on Net Assets  
     Average net assets
up to

$750 million		     Average net assets
in excess of
$750 million up to
$1 billion		     Average net assets
in excess of
$1 billion		  

Large Cap

      0.53 %      0.51 %      0.46 % 

Small/Mid Cap

      0.90 %      0.88 %      0.83 % 

Non-US Core Equity

      0.75 %      0.73 %      0.68 % 

Core Fixed

      0.35 %      0.33 %      0.28 % 

Opportunistic Fixed

      0.80 %      0.78 %      0.73 % 

Emerging Markets

      0.80 %      0.78 %      0.73 % 

Global Low Volatility

      0.75 %      0.73 %      0.68 % 

 

  * Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees.

Prior to July 1, 2016, pursuant to the investment management agreement, each Fund paid the Advisor a fee for managing the Fund’s investments at an annual rate of:

 

     Investment Advisory Fee* on Net Assets  
     Average net assets
up to
$750 million		      Average net assets
in excess of
$750 million		  

Large Cap**

      0.53%        0.51 % 

Small/Mid Cap

      0.90%        0.88 % 

Non-US Core Equity

      0.75%        0.73 % 

Core Fixed

      0.35%        0.33 % 

Opportunistic Fixed

      0.80%        0.78 % 

Emerging Markets

      0.80%        0.78 % 

Global Low Volatility

      0.75%        0.73 % 

 

  * Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees.
  ** Prior to the acquisition (See Note 8), Large Cap paid the Advisor an annual rate of 0.55% on average net assets up to $750 million and 0.53% on average net assets in excess of $750 million for managing the Fund’s investments.

Such fees as referenced above are shown in the Advisory fees line in the Statements of Operations. The Advisor provides certain internal administrative services to the Class S, Class Y-1 and Class Y-2 shares of the Funds, for which the Advisor receives a fee of 0.15%, 0.10% and 0.05% of the average daily net assets of the Class S, Class Y-1 and Class Y-2 shares of the Funds, respectively. These internal administrative services include attending to shareholder correspondence, assisting with the processing of purchases and redemptions of shares, preparing and disseminating information and documents for use by beneficial shareholders and monitoring and overseeing non-advisory relationships with entities providing services to the Class S, Class Y-1 and Class Y-2 shares, including the transfer agent. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.

 

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

The Funds have adopted a plan of marketing and service, or “12b-1 plan” to finance the provision of certain shareholder services to the owners of Class S and Class Y-1 shares of the Funds (collectively referred to as the “plans”). The plan provides for payments at annual rates (based on average net assets) of up to 0.25% of each Fund’s Class S and Class Y-1 shares. However, Class S and Class Y-1 shares have not commenced operations.

The Trust, with respect to Opportunistic Fixed, and the Advisor entered into a written contractual fee waiver and expense reimbursement agreement pursuant to which the Advisor agreed to waive a portion of its fees and/or reimburse expenses through July 31, 2016 in an amount necessary to limit the Fund’s total annual operating expenses to an annual rate (as a percentage of the Fund’s average daily net assets) as set forth in the table below. This agreement expired on July 31, 2016. For the year ended March 31, 2017, the fees were reimbursed to the extent that the Fund’s class expenses exceeded the net expense rates of average daily net assets of the Fund class. These reimbursements are shown in the Reimbursement of expenses line in the Statements of Operations. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.

 

     Class S      Class Y-1      Class Y-2      Class Y-3  

Opportunistic Fixed

      1.40%        1.35%        1.05%        0.90%  

Pursuant to the expense reimbursement agreement, the Advisor is entitled to be reimbursed for any fees the Advisor waives and Fund expenses that the Advisor reimburses for a period of three years following such fee waiver and expense reimbursement, to the extent that such reimbursement of the Advisor by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund. For the year ended March 31, 2017, there were no reimbursed expenses recovered by the Advisor from the Funds.

Pursuant to the Funds’ expense reimbursement agreement, the Advisor can recapture certain amounts waived or reimbursed over the 12-month period ended July 31, 2014 (and over the past three 12-month periods ended July 31, 2016 with respect to Opportunistic Fixed). The following amounts were available for recapture as of July 31, 2016:

 

     Expenses Reimbursed in the
12-Months Ended July 31,		  
     2014      2015      2016  
     Subject to Recapture until July 31,  
     2017      2018      2019  

Large Cap

    $ 248,632      $ —      $ —  

Small/Mid Cap

      54,175        —        —  

Non-US Core Equity

      —        —        —  

Core Fixed

      651,589        —        —  

Opportunistic Fixed

      253,811        208,082        176,732  

Emerging Markets

      556,688        —        —  

Global Low Volatility

      —        —        —  

 

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

 

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended March 31, 2017, were as follows:

 

     Long-Term
U.S. Government Securities		      Other Long-Term
Securities		  

Purchases

      

Large Cap*

    $ —      $ 426,912,842  

Small/Mid Cap**

      —        851,412,471  

Non-US Core Equity

      —        1,746,106,085  

Core Fixed

      839,705,364        348,784,013  

Opportunistic Fixed

      —        388,717,706  

Emerging Markets

      —        1,223,703,770  

Global Low Volatility

      —        703,680,590  

Sales

      

Large Cap

      —        494,963,429  

Small/Mid Cap

      —        950,297,906  

Non-US Core Equity

      —        1,594,526,922  

Core Fixed

      837,450,669        345,841,786  

Opportunistic Fixed

      —        257,320,612  

Emerging Markets

      —        1,052,269,198  

Global Low Volatility

      —        528,799,681  

 

* With respect to Large Cap’s merger with Mercer US Large Cap Value Equity Fund (“Large Cap Value”) (see Note 8) on June 24, 2016, Large Cap acquired long-term securities with a cost of $277,806,252 that are not included in the above other long-term securities purchases value.
** With respect to Small/Mid Cap’s merger with Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value”) (see Note 8) on June 24, 2016, Small/Mid Cap acquired long-term securities with a cost of $450,558,318 that are not included in the above other long-term securities purchases value.

 

7. Share transactions

Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows:

Large Cap

 

     Year Ended
March 31, 2017		     Year Ended
March 31, 2016		  
     Shares     Amount     Shares     Amount  

Class Y-3:

         

Shares sold

      3,013,075     $ 29,359,225       4,985,529     $ 54,996,490  

Shares issued through acquisition (see Note 8)

      30,126,230       274,762,972       —       —  

Shares issued to shareholders in reinvestment of distributions

      2,091,745       21,273,051       4,072,203       40,029,758  

Shares repurchased

      (10,819,328 )      (107,234,001 )      (9,458,703 )      (105,785,655 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase (decrease)

      24,411,722     $ 218,161,247       (400,971 )    $ (10,759,407 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

Small/Mid Cap

 

     Year Ended
March 31, 2017		     Year Ended
March 31, 2016		  
     Shares     Amount     Shares     Amount  

Class Y-3:

         

Shares sold

      4,542,072     $ 49,111,330       4,942,894     $ 55,377,890  

Shares issued through acquisition (see Note 8)

      44,707,680       461,393,851       —       —  

Shares issued to shareholders in reinvestment of distributions

      2,514,737       29,145,800       2,293,116       24,352,888  

Shares repurchased

      (13,020,694 )      (149,207,273 )      (4,259,716 )      (50,158,329 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase

      38,743,795     $ 390,443,708       2,976,294     $ 29,572,449  
  

 

 

    

 

 

    

 

 

    

 

 

  

Non-US Core Equity

 

     Year Ended
March 31, 2017		     Year Ended
March 31, 2016		  
     Shares     Amount     Shares     Amount  

Class Y-3:

         

Shares sold

      30,189,177     $ 298,749,804       21,486,792     $ 213,382,507  

Shares issued to shareholders in reinvestment of distributions

      3,873,714       37,187,651       8,452,047       82,069,373  

Shares repurchased

      (18,541,674 )      (184,442,734 )      (22,605,539 )      (236,936,733 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase

      15,521,217     $ 151,494,721       7,333,300     $ 58,515,147  
  

 

 

    

 

 

    

 

 

    

 

 

  

Core Fixed

 

     Year Ended
March 31, 2017		     Year Ended
March 31, 2016		  
     Shares     Amount     Shares     Amount  

Class Y-3:

         

Shares sold

      21,634,648     $ 222,899,384       15,717,334     $ 161,679,985  

Shares issued to shareholders in reinvestment of distributions

      3,023,144       29,536,120       3,294,918       32,553,789  

Shares repurchased

      (25,081,385 )      (252,121,624 )      (27,303,611 )      (278,202,540 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net decrease

      (423,593 )    $ 313,880       (8,291,359 )    $ (83,968,766 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Opportunistic Fixed

 

     Year Ended
March 31, 2017		     Year Ended
March 31, 2016		  
     Shares     Amount     Shares     Amount  

Class Y-3:

         

Shares sold

      17,780,404     $ 159,120,616       10,534,645     $ 90,807,455  

Shares issued to shareholders in reinvestment of distributions

      —       —       655,722       5,226,105  

Shares repurchased

      (6,812,473 )      (60,674,793 )      (5,465,227 )      (47,840,875 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase

      10,967,931     $ 98,445,823       5,725,140     $ 48,192,685  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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Notes to the Financial Statements (Continued)

March 31, 2017

 

 

Emerging Markets

 

     Year Ended
March 31, 2017		     Year Ended
March 31, 2016		  
     Shares     Amount     Shares     Amount  

Class Y-3:

         

Shares sold

      32,571,851     $ 293,233,025       37,663,658     $ 329,515,356  

Shares issued to shareholders in reinvestment of distributions

      3,007,053       26,250,811       1,428,605       11,714,562  

Shares repurchased

      (17,835,590 )      (163,096,765 )      (15,257,581 )      (141,137,722 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase

      17,743,314     $ 156,387,071       23,834,682     $ 200,092,196  
  

 

 

    

 

 

    

 

 

    

 

 

  

Global Low Volatility

 

     Year Ended
March 31, 2017		     Year Ended
March 31, 2016		  
     Shares     Amount     Shares     Amount  

Class Y-3:

         

Shares sold

      27,192,594     $ 332,279,779       15,663,054     $ 191,381,879  

Shares issued to shareholders in reinvestment of distributions

      3,485,306       41,231,166       5,098,029       58,168,511  

Shares repurchased

      (12,271,880 )      (149,487,877 )      (7,747,497 )      (94,010,564 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase

      18,406,020     $ 224,023,068       13,013,586     $ 155,539,826  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

8. Acquisition

At the close of business on June 24, 2016, Large Cap, formerly Mercer US Large Cap Growth Equity Fund, with Class Y-3 net assets of $267,918,751 acquired all of the assets and liabilities of Large Cap Value, each a series of the Trust, in a tax-free reorganization. The acquisition was accomplished by a tax-free exchange of 30,880,775 Class Y-3 shares of Large Cap Value valued at $274,762,972 for 30,126,230 Class Y-3 shares of Large Cap. Large Cap Value’s net assets on June 24, 2016 were $274,762,972 for Class Y-3, including investments valued at $273,909,251 with a cost basis of $281,311,613. For financial reporting purposes, assets received, liabilities assumed, and shares issued by Large Cap were recorded at fair value; however, the cost basis of the investments received by Large Cap from Large Cap Value were carried forward to align ongoing reporting of Large Cap’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. The aggregate net assets of Large Cap immediately after the acquisition was $542,681,723, which included $7,402,474 of acquired unrealized depreciation on investments and foreign currency transactions from Large Cap Value.

Assuming the acquisition had been completed on April 1, 2016, Large Cap’s pro-forma results of operations for the year ended March 31, 2017 are as follows:

 

Net investment income

    $ 7,338,647 (a) 

Net realized and unrealized gain on investments

      90,015,237 (b) 
  

 

 

  

Net increase in net assets from operations

    $ 97,353,884  
  

 

 

  

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Large Cap Value that have been included in the Fund’s Statement of Operations since June 24, 2016.

 

  (a) $6,011,362 net investment income as reported at March 31, 2017 plus $1,258,593 from Large Cap Value pre-merger net investment income, plus $13,667 in lower net advisory fees, plus $55,025 of pro-forma eliminated other expenses.

 

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March 31, 2017

 

 

  (b) $76,775,639 unrealized appreciation as reported at March 31, 2017 minus $8,099,693 pro-forma March 31, 2016 unrealized appreciation, plus $21,505,233 net realized gain as reported at March 31, 2017 minus $165,942 in net realized loss from Large Cap Value pre-merger.

At the close of business on June 24, 2016, Small/Mid Cap, formerly Mercer US Small/Mid Cap Growth Equity Fund, with Class Y-3 net assets of $440,701,905 acquired all of the assets and liabilities of Small/Mid Cap Value, each a series of the Trust, in a tax-free reorganization. The acquisition was accomplished by a tax-free exchange of 53,005,209 Class Y-3 shares of Small/Mid Cap Value valued at $461,393,851 for 44,707,680 Class Y-3 shares of Small/Mid Cap. Small/Mid Cap Value’s net assets on June 24, 2016 were $461,393,851 for Class Y-3, including investments valued at $461,246,059 with a cost basis of $459,083,775. For financial reporting purposes, assets received, liabilities assumed, and shares issued by Small/Mid Cap were recorded at fair value; however, the cost basis of the investments received by Small/Mid Cap from Small/Mid Cap Value were carried forward to align ongoing reporting of Small/Mid Cap’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. The aggregate net assets of Small/Mid Cap immediately after the acquisition was $902,095,756, which included $2,162,284 of acquired unrealized appreciation on investments from Small/Mid Cap Value.

Assuming the acquisition had been completed on April 1, 2016, Small/Mid Cap’s pro-forma results of operations for the period ended March 31, 2017 are as follows:

 

Net investment income

    $ 3,676,399 (a) 

Net realized and unrealized gain on investments

      177,784,445 (b) 
  

 

 

  

Net increase in net assets from operations

    $ 181,460,844  
  

 

 

  

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Small/Mid Cap Value that have been included in the Fund’s Statement of Operations since June 24, 2016.

 

  (a) $3,352,783 net investment income as reported at March 31, 2017 plus $259,669 from Small/Mid Cap Value pre-merger net investment income, plus $7,289 in lower net advisory fees, plus $56,658 of pro-forma eliminated other expenses.
  (b) $141,925,894 unrealized appreciation as reported at March 31, 2017 minus $35,608,850 pro-forma March 31, 2016 unrealized appreciation, plus $67,704,689 net realized gain as reported at March 31, 2017 plus $3,762,712 in net realized gain from Small/Mid Cap Value pre-merger, respectively.

 

9. Subsequent events

Management has evaluated the impact of subsequent events through May 25, 2017, the date the financial statements were available to be issued for possible adjustment to and/or disclosure in the Funds’ financial statements. Management has determined that there are no material events that would require adjustment and/or disclosure in the Funds’ financial statements through this date.

 

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Additional Information (Unaudited)

 

 

Proxy Voting

A description of the policies and procedures that the Advisor and each Fund’s Subadvisors use to determine how to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-866-658-9896, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov. Information about Funds’ proxy voting decisions are available without charge, online on the Funds’ website at http://www.mercer.us/mutual-funds-on-offer.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Federal Tax Information

The amount of long-term capital gains paid for the fiscal year ended March 31, 2017, the amount of long-term capital gains paid were as follows:

 

Fund

       

Large Cap

    $ 16,407,532  

Small/Mid Cap

      18,277,858  

Core Fixed

      4,671,328  

Global Low Volatility

      24,419,112  

For the year ended March 31, 2017, Non-US Core Equity and Emerging Markets had foreign tax credits in the amount of $3,313,846 and $2,545,967, respectively, and foreign source income of $45,348,124 and $35,984,808, respectively.

Qualified dividend income (“QDI”) received by the Funds through March 31, 2017, that qualified for a reduced tax rate pursuant to the Internal Revenue Code Section 1(h)(11) are as follows:

 

Fund

    QDI  

Large Cap

    $ 8,290,127  

Small/Mid Cap

      8,202,907  

Non-US Core Equity

      42,048,402  

Opportunistic Fixed Income

      79,462  

Emerging Markets

      21,281,728  

Global Low Volatility

      18,548,446  

For corporate shareholders, a portion of the ordinary dividends paid during the Funds’ year ended March 31, 2017, qualified for the dividends received deduction, as follows:

 

Fund

       

Large Cap

      49.98 % 

Small/Mid Cap

      18.62 % 

Non-US Core Equity

      1.65 % 

Emerging Markets

      0.46 % 

Global Low Volatility

      56.30 % 

 

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Understanding Your Fund’s Expenses (Unaudited)

 

 

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017. 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

        0.62%          1,000.00        1,106.30        1,053.15        3.26

Hypothetical

        0.62%          1,000.00        1,021.84        1,010.92        3.13

 

* Actual expenses are equal to the Class’ annualized expense ratio of 0.62%, multiplied by the average account value over the period, multiplied by 182/365

Small/Mid Cap — Class Y-3

Hypothetical Return on $1,000

 

     Expense
Ratio		    Beginning
Amount		    Ending
Value		    Avg
Value		    Operating
Expense
Incurred*

Actual

        0.97%          1,000.00        1,127.10        1,063.55        5.14

Hypothetical

        0.97%          1,000.00        1,020.09        1,010.05        4.89

 

* Actual expenses are equal to the Class’ annualized expense ratio of 0.97%, multiplied by the average account value over the period, multiplied by 182/365

 

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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

        0.81%**          1,000.00        1,052.50        1,026.25        4.14

Hypothetical

        0.81%**          1,000.00        1,020.89        1,010.45        4.08

 

* Actual expenses are equal to the Class’ annualized expense ratio of 0.81%, multiplied by the average account value over the period, multiplied by 182/365
** Includes interest expense that amounts to less than 0.01%.

Core Fixed — Class Y-3

Hypothetical Return on $1,000

 

     Expense
Ratio		    Beginning
Amount		    Ending
Value		    Avg
Value		    Operating
Expense
Incurred*

Actual

        0.43%**          1,000.00        983.80        991.90        2.13

Hypothetical

        0.43%**          1,000.00        1,022.79        1,011.40        2.17

 

* Actual expenses are equal to the Class’ annualized expense ratio of 0.43%, multiplied by the average account value over the period, multiplied by 182/365
** Includes interest expense that amounts to less than 0.01%.

Opportunistic Fixed — Class Y-3

Hypothetical Return on $1,000

 

     Expense
Ratio		    Beginning
Amount		    Ending
Value		    Avg
Value		    Operating
Expense
Incurred*

Actual

        0.96%**          1,000.00        1,026.50        1,013.25        4.85

Hypothetical

        0.96%**          1,000.00        1,020.14        1,010.07        4.84

 

* Actual expenses are equal to the Class’ annualized expense ratio of 0.96%, multiplied by the average account value over the period, multiplied by 182/365
** Includes interest expense that amounts to less than 0.01%.

Emerging Markets — Class Y-3

Hypothetical Return on $1,000

 

     Expense
Ratio		    Beginning
Amount		    Ending
Value		    Avg
Value		    Operating
Expense
Incurred*

Actual

        1.01%**          1,000.00        1,063.60        1,031.80        5.20

Hypothetical

        1.01%**          1,000.00        1,019.90        1,009.95        5.09

 

* Actual expenses are equal to the Class’ annualized expense ratio of 1.01%, multiplied by the average account value over the period, multiplied by 182/365
** Includes interest expense that amounts to less than 0.01%.

 

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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

        0.81%**          1,000.00        1,059.10        1,029.55        4.16

Hypothetical

        0.81%**          1,000.00        1,020.89        1,010.45        4.08

 

* Actual expenses are equal to the Class’ annualized expense ratio of 0.81%, multiplied by the average account value over the period, multiplied by 182/365
** Includes interest expense that amounts to less than 0.01%.

 

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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 calling 1-866-658-9896, or on the SEC website at www.sec.gov.

Independent Trustees

 

Name, Address

and Age

  

Position(s)
Held with
Trust

  

Term of
Office(1) and
Length of
Time
Served

  

Principal
Occupation(s) During
Past 5 Years

   Number of
Portfolios
in Fund
Complex*
Overseen
by Trustee		  

Other
Directorships
Held by
Trustee

Harrison M. Bains, Jr.

99 High Street

Boston, MA 02110

(73)

   Chairperson and Trustee   Chairperson since 2016; Trustee since 2005   Mr. Bains is retired.       7   Mr. Bains is a director of Cara Therapeutics, Inc.; Mr. Bains was a director of BG Medicine, Inc.(2007 to 2014) and a trustee of BofA Funds Series Trust (11 portfolios) (2011 to 2016).

Adela M. Cepeda

A.C. Advisory, Inc.

150 North Wacker Drive, Suite 2160

Chicago, IL 60606

(59)

   Trustee   Since 2005   Ms. Cepeda is Managing Director of PFM Financial Advisors LLC (a financial advisory firm) since September 2016. Ms. Cepeda was previously Founder and President of A.C. Advisory, Inc. (a financial advisory firm) 1995 – 2016.       7   Ms. Cepeda is a director or trustee of: The UBS Funds (15 portfolios); UBS Relationship Funds (11 portfolios); SMA Relationship Trust (5 portfolios); Consulting Group Capital Markets Funds (9 portfolios); BMO Financial Corp. (U.S. holding company for BMO Harris Bank N.A.); Ms. Cepeda was a director of Fort Dearborn Income Securities, Inc. (2000 to 2016); and Amalgamated Bank of Chicago (2003 to 2012).

Gail A. Schneider

99 High Street

Boston, MA 02110

(68)

   Trustee   Trustee Since 2009   Ms. Schneider is a self-employed consultant since 2007.       7   None

 

206

Table of Contents

Mercer Funds

Trustees and Officers (Unaudited) (Continued)

 

 

Interested Trustee:

 

Name, Address

and Age

  

Position(s)
Held with
Trust

  

Term of
Office(1) and
Length of
Time
Served

  

Principal
Occupation(s) During
Past 5 Years

   Number of
Portfolios
in Fund
Complex*
Overseen
by Trustee		  

Other
Directorships
Held by
Trustee

Richard S. Joseph**

(52)

   Trustee, President, and Chief Executive Officer   Since 2016   Mr. Joseph is President and Head of the US Mercer Delegated Solutions of Mercer Investment Management, Inc. since December 2015. Prior to December 2015, he was Chief Operating Officer of Mercer Investment Management, Inc. since 2005.       7   Mr. Joseph is a trustee of Mercer Trust Company and a director of Mercer Investment Management, Inc.

 

(1) Each Trustee holds office for an indefinite term.

 

* The “Fund Complex” consists of the Trust, which has seven portfolios.

 

** Mr. Joseph is considered to be an “interested person,” as defined in the 1940 Act, of the Trust due to his relationship with the Advisor.

 

207

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Mercer Funds

Trustees and Officers (Unaudited) (Continued)

 

 

Officers:

The executive officers of the Trust not named above are:

 

Name and Age

   

Position(s)
Held with
the Trust

   

Term of
Office† and
Length of
Time
Served

   

Principal Occupation(s) During Past 5 Years

Janice Desmond

(66)

    Treasurer and Chief Financial Officer    Since 2015    Ms. Desmond is a CPA and has served as Head of Fund Administration for Mercer Investment Management, Inc. since 2010.

Jeremiah France

(46)

    Vice President and Assistant Treasurer    Since 2005    Mr. France is a partner and COO of North American Investments at Mercer Investment Management, Inc. since 2005.

Scott M. Zoltowski

(48)

    Vice President, Chief Legal Officer, and Secretary    Since 2008    Mr. Zoltowski is a partner of Mercer (US) Inc. and serves as Global Chief Counsel – Investment for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC.

Stan Mavromates

(56)

    Vice President and Chief Investment Officer    Since 2012    Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investment Management, Inc. since 2012. Prior to 2012, he served as Chief Investment Officer of the Massachusetts Pension Reserves Investment Management Board (2005-2012).

Colin Dean

(40)

    Vice President and Assistant Secretary    Since 2010    Mr. Dean has served as Senior Legal Counsel – Investments for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC since 2010.

John Johnson

(50)

    Vice President    Since 2015    Mr. Johnson is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2015. Prior to joining Mercer, he was a Fixed Income Portfolio Manager and Trader for Aberdeen Asset Management.

Larry Vasquez

(50)

    Vice President    Since 2012    Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investment Management, Inc. since 2012. Prior to joining Mercer, he was a Portfolio Manager at UBS Global Asset Management, Inc. from 2009 to 2012.

Robert Phay

(49)

    Vice President and Chief Compliance Officer    Since 2016    Mr. Phay is the Chief Risk and Compliance Officer – Investments of Mercer Investment Management, Inc. and Mercer Investment Consulting, Inc. since March 2015. Mr. Phay most recently served in various compliance and legal positions for Commonfund, including Chief Compliance Officer (September 2011 – February 2015), Acting General Counsel (January 2015 – February 2015), and Associate General Counsel (July 2006 – December 2014).

 

† Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board.

 

208

Table of Contents

 

 

 

 

Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.

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Item 2. Code of Ethics.

As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to its President, Chief Financial Officer and Chief Investment Officer. During the period covered by this report, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 12(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Harrison M. Bains, Jr., who is “independent” as defined in Item 3(a)(2) of this Form.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees – The aggregate fee billed for the fiscal year for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements was $426,509 and $341,194 for the fiscal years ended March 31, 2016 and March 31, 2017, respectively.

(b) Audit-Related Fees – There were no fees billed for the fiscal years ended March 31, 2016 and March 31, 2017 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.

(c) Tax Fees – The aggregate fee billed in the last fiscal year for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations was $80,298 and $84,933 for the fiscal years ended March 31, 2016 and March 31, 2017, respectively. Fees in the amount of $18,458 and $69,367were billed in the fiscal years ended March 31, 2016 and March 31, 2017, respectively for review of non-US capital gains and the preparation and filing of return of income for the Mercer Non-US Core Equity Fund and the Mercer Emerging Markets Equity Fund.

(d) All Other Fees – Fees in the amount of $117,747 and $0 were billed in the fiscal years ended March 31, 2016 and March 31, 2017, respectively for tax advisory services related to the reclamation of taxes paid by the Mercer Non-US Core Equity Fund in certain European Union countries. Fees in the amount of $5,000 were billed in the fiscal year ended March 31, 2017 related to the issuance of consents for inclusion in the N14 filing of Mercer US Large Cap Value Equity Fund into Mercer US Large Cap Growth Equity Fund and Mercer US Small/Mid Value Equity Fund into Mercer US Small/Mid Growth Equity Fund on June 24, 2016.

(e) (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services.

(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

(f) None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended March 31, 2017 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees.

 

(g) There were no aggregate fees billed for the fiscal year ended March 31, 2017 by the Registrant’s principal accountant for non-audit services rendered to the Registrant, its investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant.

(h) Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

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Item 6. Schedule of Investments.

The Registrant’s full schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.    

Item 8. Portfolio Managers of Closed-End Investment Companies.

Not applicable.    

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics for the Registrant’s President, Chief Financial Officer and Chief Investment Officer (as referenced in Item 2 above), attached hereto as Exhibit (a)(1).

(a)(2) Certification of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.

(a)(3) Not applicable.

(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)   

Mercer Funds

   

 

By (Signature and Title)   

By: /S/ Richard Joseph

   
  

Richard Joseph

President and Chief Executive Officer

(Principal Executive Officer)

   

 

Date  

May 25, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.

 

By (Signature and Title)   

By: /S/ Richard Joseph

   
  

Richard Joseph

President and Chief Executive Officer

(Principal Executive Officer)

   

 

Date  

May 25, 2017

 

By (Signature and Title)   

By: /S/ Janice Desmond

   
  

Janice Desmond

Treasurer and Chief Financial Officer

   

 

Date  

May 25, 2017