Mercer Funds
Notes to Schedule of Investments
June 30, 2020 (Unaudited)
| 1. | Organization |
Mercer Funds (the “Trust”) consists of the following seven series: Mercer US Large Cap Equity Fund (“Large Cap”), Mercer US Small/Mid Cap Equity Fund (“Small/Mid Cap”), Mercer Non-US Core Equity Fund (“Non-US Core Equity”), Mercer Core Fixed Income Fund (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940 (the “1940 Act”). Mercer Investments LLC (the “Advisor”), a Delaware limited liability company, serves as the investment advisor to the Funds. The Advisor manages each Fund using a “manager of managers” approach by selecting one or more subadvisors (each a “Subadvisor,” and collectively referred to as the “Subadvisors”) to manage each Fund’s assets. The Funds are open-end investment companies and accordingly follow the open-end investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services – Investment Companies.
Under the 1940 Act, each Fund is classified as diversified.
The investment objectives of the Funds are:
| Fund |
Investment Objective | |
| Large Cap | Long-term total return, which includes capital appreciation and income | |
| Small/Mid Cap | Long-term total return, comprised primarily of capital appreciation | |
| Non-US Core Equity | Long-term total return, which includes capital appreciation and income | |
| Core Fixed | Total return, consisting of both current income and capital appreciation | |
| Opportunistic Fixed | Long-term total return, which includes capital appreciation and income | |
| Emerging Markets | Long-term total return, which includes capital appreciation and income | |
| Global Low Volatility | Long-term total return, which includes capital appreciation and income |
Each Fund has registered and is authorized to offer interests in four classes of shares: Adviser Class (formerly Class S), Class I (formerly 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 June 30, 2020, only Class Y-3 was active.
| 2. | Security Valuation |
Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities and exchange-traded funds listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Subadvisor as the primary
175
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
market for such securities. Securities traded in the over-the-counter (“OTC”) market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ official closing price; other OTC securities are valued at the last bid price available prior to valuation (other than short-term investments, which are valued as described below). The Funds may invest in securities that are traded in foreign markets. Foreign securities will be converted into U.S. dollar equivalents based on the exchange rate in effect at a uniform time on each business day. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Board of Trustees of the Trust (the “Board”) has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.
Certain fixed-income securities may be valued based upon appraisals received from an independent pricing service using a computerized matrix system or based upon appraisals derived from information concerning the securities or similar securities received from a recognized dealer or dealers in those securities. It should be recognized that judgment often plays a greater role in valuing thinly traded securities, as well as bonds and other securities with few dealer quotations, than is the case with respect to securities for which a broader range of dealer quotations and last-sale information is available. Each such determination is based on consideration of relevant factors, and judgment is made by or at the direction of the Board. Each Fund values its investments for which market quotations are readily available at market value. Each Fund may value short-term investments that will mature within 60 days or less by using pricing service quotations or at amortized cost, provided that such amortized cost approximates market value.
Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, synthetic futures, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker/dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.
Bank loans are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, 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.
176
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that the Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the time at which the Fund determines its NAV per share. The Fund’s value for a particular security may be different from the last quoted market price.
The Funds follow a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
| • | Level 1 — quoted prices unadjusted in active markets for identical investments |
| • | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At June 30, 2020, Large Cap and Small/Mid Cap held long-term investments whose value was determined using Level 1 inputs, with corresponding major categories as shown in the schedule of investments, Futures Contracts and State Street Institutional U.S. Government Money Market Fund, Premier Class whose value was determined using Level 1 inputs and short-term investment positions in a United States Treasury Bill, as shown in the schedule of investments, whose value was determined using Level 2 inputs.
The following is a summary of the portfolio securities by level based on inputs used as of June 30, 2020 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 |
$ | 6,576,052 | $ | 142,606,742 | $ | — | $ | 149,182,794 | ||||||||
| Austria |
— | 12,471,869 | — | 12,471,869 | ||||||||||||
| Belgium |
— | 13,011,637 | — | 13,011,637 | ||||||||||||
| Bermuda |
— | 6,717,552 | — | 6,717,552 | ||||||||||||
| Brazil |
21,399,188 | — | — | 21,399,188 | ||||||||||||
| Canada |
52,890,174 | — | — | 52,890,174 | ||||||||||||
| Cayman Islands |
22,811,954 | 40,668,320 | — | 63,480,274 | ||||||||||||
| China |
— | 5,527,791 | — | 5,527,791 | ||||||||||||
| Denmark |
— | 54,326,088 | — | 54,326,088 | ||||||||||||
| Finland |
— | 18,389,788 | — | 18,389,788 | ||||||||||||
| France |
583,363 | 331,261,158 | — | 331,844,521 | ||||||||||||
| Germany |
— | 200,353,831 | — | 200,353,831 | ||||||||||||
177
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
| Description |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
| Hong Kong |
$ | — | $ | 25,076,450 | $ | — | $ | 25,076,450 | ||||||||
| Hungary |
— | 4,570,483 | — | 4,570,483 | ||||||||||||
| India |
— | 11,552,618 | — | 11,552,618 | ||||||||||||
| Indonesia |
— | 1,136,441 | — | 1,136,441 | ||||||||||||
| Ireland |
4,436,686 | 11,953,354 | — | 16,390,040 | ||||||||||||
| Israel |
13,288,426 | 5,367,756 | — | 18,656,182 | ||||||||||||
| Italy |
— | 57,020,137 | — | 57,020,137 | ||||||||||||
| Japan |
3,566,630 | 709,396,334 | — | 712,962,964 | ||||||||||||
| Luxembourg |
— | 12,480,577 | — | 12,480,577 | ||||||||||||
| Malaysia |
— | 1,065,129 | — | 1,065,129 | ||||||||||||
| Mauritius |
— | 838,477 | — | 838,477 | ||||||||||||
| Mexico |
3,383,396 | — | — | 3,383,396 | ||||||||||||
| Netherlands |
7,806,128 | 133,563,766 | — | 141,369,894 | ||||||||||||
| New Zealand |
— | 3,680,318 | — | 3,680,318 | ||||||||||||
| Norway |
— | 9,110,898 | — | 9,110,898 | ||||||||||||
| Philippines |
— | 465,424 | — | 465,424 | ||||||||||||
| Portugal |
— | — | 0 | ** | 0 | |||||||||||
| Russia |
5,024,694 | 24,427,161 | — | 29,451,855 | ||||||||||||
| Singapore |
— | 10,429,494 | — | 10,429,494 | ||||||||||||
| South Africa |
— | 696,970 | — | 696,970 | ||||||||||||
| South Korea |
— | 34,669,988 | — | 34,669,988 | ||||||||||||
| Spain |
1,053,565 | 73,041,922 | 0 | ** | 74,095,487 | |||||||||||
| Sweden |
— | 70,564,140 | — | 70,564,140 | ||||||||||||
| Switzerland |
1,563,386 | 279,949,529 | — | 281,512,915 | ||||||||||||
| Taiwan |
21,430,618 | 14,699,423 | — | 36,130,041 | ||||||||||||
| Thailand |
— | 1,903,127 | — | 1,903,127 | ||||||||||||
| Turkey |
— | 2,292,909 | — | 2,292,909 | ||||||||||||
| United Kingdom |
46,446,362 | 329,304,171 | — | 375,750,533 | ||||||||||||
| United States |
75,195,832 | 54 | — | 75,195,886 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
287,456,454 | 2,654,591,826 | 0 | 2,942,048,280 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Company |
27,105,411 | — | — | 27,105,411 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
|
|||||||||||||||
| Brazil |
1,539,912 | — | — | 1,539,912 | ||||||||||||
| Germany |
— | 35,134,086 | — | 35,134,086 | ||||||||||||
| Russia |
— | 1,350,945 | — | 1,350,945 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Preferred Stocks |
1,539,912 | 36,485,031 | — | 38,024,943 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
|
|||||||||||||||
| Australia |
— | 0 | * | — | 0 | |||||||||||
| Spain |
195,690 | — | — | 195,690 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Rights |
195,690 | 0 | — | 195,690 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
178
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
| 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 |
|
|||||||||||||||
| Mutual Fund - Securities Lending Collateral |
$ | 58,630,932 | $ | — | $ | — | $ | 58,630,932 | ||||||||
| U.S. Government and Agency Obligations |
— | 3,499,992 | — | 3,499,992 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
58,630,932 | 3,499,992 | — | 62,130,924 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Futures Contracts† |
|
|||||||||||||||
| Buys |
980,880 | — | — | 980,880 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 375,909,279 | $ | 2,694,576,849 | $ | 0 | $ | 3,070,486,128 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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† |
$ | — | $ | (509,849 | ) | $ | — | $ | (509,849 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (509,849 | ) | $ | — | $ | (509,849 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Represents one or more Level 2 securities at $0 value as of June 30, 2020. |
| ** | Represents one or more Level 3 securities at $0 value as of June 30, 2020. |
| † | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. |
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 |
$ | — | $ | 97,932,258 | $ | — | $ | 97,932,258 | ||||||||
| Convertible Debt |
— | 340,939 | — | 340,939 | ||||||||||||
| Corporate Debt |
— | 410,340,192 | 1,554 | 410,341,746 | ||||||||||||
| Mortgage Backed Securities - Private Issuers |
— | 102,876,139 | — | 102,876,139 | ||||||||||||
| Mortgage Backed Securities - U.S. Government Agency Obligations |
— | 233,082,792 | — | 233,082,792 | ||||||||||||
| Municipal Obligations |
— | 8,161,256 | — | 8,161,256 | ||||||||||||
| Sovereign Debt Obligations |
— | 5,580,416 | — | 5,580,416 | ||||||||||||
| U.S. Government and Agency Obligations |
— | 146,951,129 | — | 146,951,129 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Debt Obligations |
— | 1,005,265,121 | 1,554 | 1,005,266,675 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
179
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
| 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 Investment |
|
|||||||||||||||
| Mutual Fund - Securities Lending Collateral |
$ | 2,664,818 | $ | — | $ | — | $ | 2,664,818 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Options Purchased |
28,422 | — | — | 28,422 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Futures Contracts† |
|
|||||||||||||||
| Buys |
142,571 | — | — | 142,571 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Futures Contracts |
142,571 | — | — | 142,571 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Swaps |
|
|||||||||||||||
| Centrally Cleared Interest Rate Swaps† |
— | 928,834 | — | 928,834 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Swaps |
— | 928,834 | — | 928,834 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contract† |
— | 1,342 | — | 1,342 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 2,835,811 | $ | 1,006,195,297 | $ | 1,554 | $ | 1,009,032,662 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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† |
|
|||||||||||||||
| Sales |
$ | (244,546 | ) | $ | — | $ | — | $ | (244,546 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Futures Contracts |
(244,546 | ) | — | — | (244,546 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Swaps |
|
|||||||||||||||
| Centrally Cleared Interest Rate Swaps† |
— | (459,831 | ) | — | (459,831 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Swaps |
— | (459,831 | ) | — | (459,831 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts† |
— | (11,027 | ) | — | (11,027 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Written Options |
(10,031 | ) | — | — | (10,031 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (254,577 | ) | $ | (470,858 | ) | $ | — | $ | (725,435 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. |
180
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
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 |
$ | — | $ | 1,062,212,884 | $ | — | $ | 1,062,212,884 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Common Stocks |
|
|||||||||||||||
| Consumer, Cyclical |
— | — | 0 | ** | 0 | |||||||||||
| Energy |
12 | 0 | * | — | 12 | |||||||||||
| Utilities |
— | 280,718 | — | 280,718 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
12 | 280,718 | 0 | 280,730 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Convertible Preferred Stocks |
|
|||||||||||||||
| Energy |
— | 28,590 | — | 28,590 | ||||||||||||
| Industrial |
432,824 | — | — | 432,824 | ||||||||||||
| Technology |
547,146 | — | — | 547,146 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Convertible Preferred Stocks |
979,970 | 28,590 | — | 1,008,560 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
|
|||||||||||||||
| Financial |
190,348 | — | — | 190,348 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
|
|||||||||||||||
| Mutual Fund - Securities Lending Collateral |
15,293,110 | — | — | 15,293,110 | ||||||||||||
| Sovereign Debt Obligation |
— | 6,179,463 | — | 6,179,463 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
15,293,110 | 6,179,463 | — | 21,472,573 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Options Purchased |
187,500 | 60,898 | — | 248,398 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Futures Contracts† |
|
|||||||||||||||
| Buys |
192,889 | — | — | 192,889 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Futures Contracts |
192,889 | — | — | 192,889 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Swaps |
|
|||||||||||||||
| OTC Interest Rate Swaps |
— | 153,607 | — | 153,607 | ||||||||||||
| Centrally Cleared Interest Rate Swaps† |
— | 978,880 | — | 978,880 | ||||||||||||
| Centrally Cleared Credit Default Swaps† |
— | 542,944 | — | 542,944 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Swaps |
— | 1,675,431 | — | 1,675,431 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts† |
— | 3,546,499 | — | 3,546,499 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 16,843,829 | $ | 1,073,984,483 | $ | 0 | $ | 1,090,828,312 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
181
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
LIABILITIES VALUATION INPUT
| Description |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
| Futures Contracts† |
|
|||||||||||||||
| Sales |
$ | (164,962 | ) | $ | — | $ | — | $ | (164,962 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Futures Contracts |
(164,962 | ) | — | — | (164,962 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Swaps |
|
|||||||||||||||
| OTC Interest Rate Swaps |
— | (59,014 | ) | — | (59,014 | ) | ||||||||||
| Centrally Cleared Interest Rate Swaps† |
— | (1,343,072 | ) | — | (1,343,072 | ) | ||||||||||
| OTC Credit Default Swaps |
— | (8,052 | ) | — | (8,052 | ) | ||||||||||
| Centrally Cleared Credit Default Swap† |
— | (102,946 | ) | — | (102,946 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Swaps |
— | (1,513,084 | ) | — | (1,513,084 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts† |
— | (6,158,975 | ) | — | (6,158,975 | ) | ||||||||||
| Written Options |
(48,655 | ) | (27,991 | ) | — | (76,646 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (213,617 | ) | $ | (7,700,050 | ) | $ | — | $ | (7,913,667 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Represents one or more Level 2 securities at $0 value as of June 30, 2020. |
| ** | Represents one or more Level 3 securities at $0 value as of June 30, 2020. |
| † | Forward foreign currency contracts, Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. |
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 |
|
|||||||||||||||
| Belgium |
$ | — | $ | 20,476 | $ | — | $ | 20,476 | ||||||||
| Bermuda |
5,169,554 | 10,406,899 | — | 15,576,453 | ||||||||||||
| Brazil |
47,047,053 | — | — | 47,047,053 | ||||||||||||
| Cayman Islands |
61,461,409 | 156,605,969 | — | 218,067,378 | ||||||||||||
| Chile |
2,057,029 | — | — | 2,057,029 | ||||||||||||
| China |
— | 152,011,672 | — | 152,011,672 | ||||||||||||
| Colombia |
689,245 | — | — | 689,245 | ||||||||||||
| Cyprus |
— | 1,038,724 | — | 1,038,724 | ||||||||||||
| Czech Republic |
— | 528,750 | — | 528,750 | ||||||||||||
| France |
— | 3,796,024 | — | 3,796,024 | ||||||||||||
| Greece |
— | 2,134,237 | — | 2,134,237 | ||||||||||||
| Hong Kong |
2,125,437 | 32,085,766 | — | 34,211,203 | ||||||||||||
| Hungary |
— | 4,187,744 | — | 4,187,744 | ||||||||||||
182
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
| Description |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
| India |
$ | 3,830,515 | $ | 113,955,375 | $ | — | $ | 117,785,890 | ||||||||
| Indonesia |
— | 18,864,174 | — | 18,864,174 | ||||||||||||
| Japan |
— | 1,491,248 | — | 1,491,248 | ||||||||||||
| Luxembourg |
3,773,972 | 1,608,074 | — | 5,382,046 | ||||||||||||
| Malaysia |
— | 6,422,087 | — | 6,422,087 | ||||||||||||
| Marshall Islands |
83,509 | — | — | 83,509 | ||||||||||||
| Mexico |
23,159,665 | — | — | 23,159,665 | ||||||||||||
| Netherlands |
7,238,167 | 7,074,103 | — | 14,312,270 | ||||||||||||
| Philippines |
17,087 | 2,972,960 | — | 2,990,047 | ||||||||||||
| Poland |
— | 7,883,480 | — | 7,883,480 | ||||||||||||
| Russia |
6,524,717 | 14,751,910 | — | 21,276,627 | ||||||||||||
| Singapore |
— | 2,019,573 | — | 2,019,573 | ||||||||||||
| South Africa |
1,333,008 | 30,911,390 | — | 32,244,398 | ||||||||||||
| South Korea |
5,038,889 | 104,525,243 | — | 109,564,132 | ||||||||||||
| Spain |
6,638 | — | — | 6,638 | ||||||||||||
| Switzerland |
— | 3,275,758 | — | 3,275,758 | ||||||||||||
| Taiwan |
30,259,148 | 127,140,206 | — | 157,399,354 | ||||||||||||
| Thailand |
384,989 | 14,809,236 | — | 15,194,225 | ||||||||||||
| Turkey |
— | 9,489,983 | — | 9,489,983 | ||||||||||||
| United Kingdom |
— | 10,460,713 | — | 10,460,713 | ||||||||||||
| United States |
30,591,284 | — | — | 30,591,284 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
230,791,315 | 840,471,774 | — | 1,071,263,089 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
|
|||||||||||||||
| Brazil |
11,467,845 | — | — | 11,467,845 | ||||||||||||
| Colombia |
63,161 | 45,662 | — | 108,823 | ||||||||||||
| South Korea |
— | 6,878,575 | — | 6,878,575 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Preferred Stocks |
11,531,006 | 6,924,237 | — | 18,455,243 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights |
|
|||||||||||||||
| Hong Kong |
— | 0 | * | 0 | ** | 0 | ||||||||||
| India |
2,557 | — | — | 2,557 | ||||||||||||
| South Korea |
16,116 | — | — | 16,116 | ||||||||||||
| Thailand |
— | 995 | — | 995 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Rights |
18,673 | 995 | 0 | 19,668 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investment |
|
|||||||||||||||
| Mutual Fund - Securities Lending Collateral |
2,403,820 | — | — | 2,403,820 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Futures Contracts† |
|
|||||||||||||||
| Buys |
614,506 | — | — | 614,506 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 245,359,320 | $ | 847,397,006 | $ | 0 | $ | 1,092,756,326 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Represents one or more Level 2 securities at $0 value as of June 30, 2020. |
| ** | Represents one or more Level 3 securities at $0 value as of June 30, 2020. |
| † | Futures contracts are valued at unrealized appreciation/depreciation. |
183
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
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 |
$ | — | $ | 20,038,207 | $ | — | $ | 20,038,207 | ||||||||
| Austria |
— | 2,818,487 | — | 2,818,487 | ||||||||||||
| Belgium |
— | 1,563,713 | — | 1,563,713 | ||||||||||||
| Bermuda |
11,301,441 | 2,410,429 | — | 13,711,870 | ||||||||||||
| Canada |
59,811,396 | — | — | 59,811,396 | ||||||||||||
| Cayman Islands |
7,161,240 | 38,785 | — | 7,200,025 | ||||||||||||
| Denmark |
— | 4,778,576 | — | 4,778,576 | ||||||||||||
| Finland |
— | 4,449,927 | — | 4,449,927 | ||||||||||||
| France |
— | 35,773,244 | — | 35,773,244 | ||||||||||||
| Germany |
— | 15,923,156 | — | 15,923,156 | ||||||||||||
| Hong Kong |
— | 19,349,962 | — | 19,349,962 | ||||||||||||
| Ireland |
20,444,401 | 50,158 | — | 20,494,559 | ||||||||||||
| Israel |
1,095,951 | 4,816,093 | — | 5,912,044 | ||||||||||||
| Italy |
— | 128,262 | — | 128,262 | ||||||||||||
| Japan |
— | 49,994,919 | — | 49,994,919 | ||||||||||||
| Luxembourg |
1,136,036 | — | — | 1,136,036 | ||||||||||||
| Netherlands |
— | 15,736,784 | — | 15,736,784 | ||||||||||||
| New Zealand |
— | 4,575,018 | — | 4,575,018 | ||||||||||||
| Norway |
— | 3,124,909 | — | 3,124,909 | ||||||||||||
| Portugal |
— | 2,097,076 | — | 2,097,076 | ||||||||||||
| Singapore |
— | 5,504,810 | — | 5,504,810 | ||||||||||||
| Spain |
— | 8,757,656 | — | 8,757,656 | ||||||||||||
| Sweden |
— | 14,675,515 | — | 14,675,515 | ||||||||||||
| Switzerland |
— | 34,453,022 | — | 34,453,022 | ||||||||||||
| United Kingdom |
6,426,398 | 34,545,338 | — | 40,971,736 | ||||||||||||
| United States |
629,533,525 | — | — | 629,533,525 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
736,910,388 | 285,604,046 | — | 1,022,514,434 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stock |
|
|||||||||||||||
| Germany |
— | 2,087,255 | — | 2,087,255 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
|
|||||||||||||||
| Mutual Fund - Securities Lending Collateral |
5,056,955 | — | — | 5,056,955 | ||||||||||||
| U.S. Government and Agency Obligations |
— | 999,998 | — | 999,998 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
5,056,955 | 999,998 | — | 6,056,953 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Futures Contracts† |
|
|||||||||||||||
| Buys |
1,315,830 | — | — | 1,315,830 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Futures Contracts |
1,315,830 | — | — | 1,315,830 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 743,283,173 | $ | 288,691,299 | $ | — | $ | 1,031,974,472 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
184
Mercer Funds
Notes to Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
LIABILITIES VALUATION INPUT
| Description |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
| Futures Contracts† |
|
|||||||||||||||
| Buys |
$ | (598 | ) | $ | — | $ | — | $ | (598 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (598 | ) | $ | — | $ | — | $ | (598 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | Futures contracts are valued at unrealized appreciation/depreciation. |
| 3. | Bank Loans |
Core Fixed and Opportunistic Fixed may invest in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the ‘‘Lender’’) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement. At June 30, 2020, Opportunistic Fixed had the following unfunded loan commitments:
| Borrower |
Par | Cost | Value | Unrealized Gain (Loss) |
||||||||||||
| Amerilife Holdings, LLC |
$ | 83,243 | $ | 83,144 | $ | 75,613 | $ | (7,531 | ) | |||||||
| EyeCare Partners, LLC |
10,227 | 10,227 | 9,741 | (486 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 93,470 | $ | 93,371 | $ | 85,354 | $ | (8,017 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
For information regarding the Funds’ other significant accounting policies, please refer to the Funds’ most recent Annual or Semi-Annual Report. Additional investment related disclosures are hereby incorporated by reference to the Annual and Semi-Annual reports previously filed with the SEC on Form N-CSR.
185
Mercer US Large Cap Equity Fund
Schedule of Investments
(showing percentage of net assets)
June 30, 2020 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| COMMON STOCKS — 95.7% |
| |||||||||
| Basic Materials — 2.9% | ||||||||||
| 83,000 | Alcoa Corp.* |
932,920 | ||||||||
| 68,486 | Celanese Corp. Class A |
5,913,081 | ||||||||
| 64,786 | CF Industries Holdings, Inc. |
1,823,078 | ||||||||
| 16,039 | DOW, Inc.* |
653,750 | ||||||||
| 204,423 | DuPont de Nemours, Inc. |
10,860,994 | ||||||||
| 26,700 | Eastman Chemical Co. |
1,859,388 | ||||||||
| 199,000 | Freeport-McMoRan, Inc. |
2,302,430 | ||||||||
| 104,700 | Huntsman Corp. |
1,881,459 | ||||||||
| 19,700 | International Paper Co. |
693,637 | ||||||||
| 13,152 | LyondellBasell Industries NV Class A |
864,349 | ||||||||
| 71,200 | Newmont Corp. |
4,395,888 | ||||||||
|
|
|
|||||||||
| 32,180,974 | ||||||||||
|
|
|
|||||||||
| Communications — 17.0% | ||||||||||
| 25,184 | Alibaba Group Holding, Ltd., ADR* |
5,432,189 | ||||||||
| 8,807 | Alphabet, Inc. Class A* |
12,488,766 | ||||||||
| 17,227 | Alphabet, Inc. Class C* |
24,352,259 | ||||||||
| 81,746 | Altice USA, Inc. Class A* |
1,842,555 | ||||||||
| 7,702 | Amazon.com, Inc.* |
21,248,432 | ||||||||
| 11,500 | Arista Networks, Inc.* |
2,415,345 | ||||||||
| 336,797 | AT&T, Inc. |
10,181,373 | ||||||||
| 499 | Booking Holdings, Inc.* |
794,578 | ||||||||
| 50,545 | CenturyLink, Inc. |
506,966 | ||||||||
| 199,066 | Cisco Systems, Inc. |
9,284,438 | ||||||||
| 167,494 | Comcast Corp. Class A |
6,528,916 | ||||||||
| 118,604 | eBay, Inc. |
6,220,780 | ||||||||
| 145,895 | Facebook, Inc. Class A* |
33,128,378 | ||||||||
| 44,445 | Liberty Global Plc Class C* |
956,012 | ||||||||
| 5,932 | Match Group, Inc.* (a) |
635,021 | ||||||||
| 25,671 | Netflix, Inc.* |
11,681,332 | ||||||||
| 8,816 | Shopify, Inc. Class A* |
8,368,147 | ||||||||
| 8,398 | Spotify Technology SA* |
2,168,280 | ||||||||
| 79,812 | Tencent Holdings, Ltd., ADR |
5,107,968 | ||||||||
| 5,977 | Trade Desk, Inc. (The) Class A* (a) |
2,429,650 | ||||||||
| 163,334 | Uber Technologies, Inc.* |
5,076,421 | ||||||||
| 187,930 | Verizon Communications, Inc. |
10,360,581 | ||||||||
| 60,341 | Walt Disney Co. (The) |
6,728,625 | ||||||||
|
|
|
|||||||||
| 187,937,012 | ||||||||||
|
|
|
|||||||||
| Consumer, Cyclical — 9.2% | ||||||||||
| 2,937 | Chipotle Mexican Grill, Inc. Class A* |
3,090,781 | ||||||||
| 14,001 | Costco Wholesale Corp. |
4,245,243 | ||||||||
| 10,435 | Cummins, Inc. |
1,807,968 | ||||||||
| 32,200 | Darden Restaurants, Inc. |
2,439,794 | ||||||||
| 108,237 | Delta Air Lines, Inc. |
3,036,048 | ||||||||
| 44,770 | Dollar General Corp. |
8,529,133 | ||||||||
| 83,700 | Dollar Tree, Inc.* |
7,757,316 | ||||||||
See accompanying Notes to the Schedule of Investments.
1
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Consumer, Cyclical — continued | ||||||||||
| 19,900 | DR Horton, Inc. |
1,103,455 | ||||||||
| 137,303 | General Motors Co. |
3,473,766 | ||||||||
| 17,798 | Home Depot, Inc. (The) |
4,458,577 | ||||||||
| 52,934 | Kering SA, ADR |
2,903,430 | ||||||||
| 67,900 | Lowe’s Cos., Inc. |
9,174,648 | ||||||||
| 20,009 | Lululemon Athletica, Inc.* |
6,243,008 | ||||||||
| 28,405 | LVMH Moet Hennessy Louis Vuitton SE, ADR |
2,511,854 | ||||||||
| 18,730 | Magna International, Inc. |
834,047 | ||||||||
| 95,625 | NIKE, Inc. Class B |
9,376,031 | ||||||||
| 67,100 | PulteGroup, Inc. |
2,283,413 | ||||||||
| 165,710 | Starbucks Corp. |
12,194,599 | ||||||||
| 10,764 | Tesla, Inc.* |
11,623,075 | ||||||||
| 5,260 | Ulta Beauty, Inc.* |
1,069,989 | ||||||||
| 91,872 | Walgreens Boots Alliance, Inc. |
3,894,454 | ||||||||
|
|
|
|||||||||
| 102,050,629 | ||||||||||
|
|
|
|||||||||
| Consumer, Non-cyclical — 22.5% | ||||||||||
| 230,189 | Abbott Laboratories |
21,046,180 | ||||||||
| 15,300 | AbbVie, Inc. |
1,502,154 | ||||||||
| 194,913 | Adyen NV, ADR* (a) |
5,701,205 | ||||||||
| 17,800 | Alexion Pharmaceuticals, Inc.* |
1,997,872 | ||||||||
| 24,260 | Align Technology, Inc.* |
6,657,914 | ||||||||
| 43,163 | Altria Group, Inc. |
1,694,148 | ||||||||
| 25,069 | Amgen, Inc. |
5,912,774 | ||||||||
| 193,100 | Archer-Daniels-Midland Co. |
7,704,690 | ||||||||
| 128,800 | AstraZeneca Plc, ADR |
6,812,232 | ||||||||
| 44,418 | Automatic Data Processing, Inc. |
6,613,396 | ||||||||
| 8,642 | Biogen, Inc.* |
2,312,167 | ||||||||
| 24,481 | BioMarin Pharmaceutical, Inc.* |
3,019,486 | ||||||||
| 61,063 | Boston Scientific Corp.* |
2,143,922 | ||||||||
| 33,400 | Bristol-Myers Squibb Co. |
1,963,920 | ||||||||
| 140,700 | Cardinal Health, Inc. |
7,343,133 | ||||||||
| 36,700 | Cigna Corp. |
6,886,755 | ||||||||
| 209,764 | Conagra Brands, Inc. |
7,377,400 | ||||||||
| 178,100 | CVS Health Corp. |
11,571,157 | ||||||||
| 22,448 | DaVita, Inc.* |
1,776,535 | ||||||||
| 7,912 | DexCom, Inc.* |
3,207,525 | ||||||||
| 70,708 | Eli Lilly & Co. |
11,608,839 | ||||||||
| 19,358 | Estee Lauder Cos., Inc. (The) Class A |
3,652,467 | ||||||||
| 47,590 | Gartner, Inc.* |
5,774,095 | ||||||||
| 11,474 | Guardant Health, Inc.* |
930,886 | ||||||||
| 18,400 | HCA Healthcare, Inc. |
1,785,904 | ||||||||
| 6,769 | Humana, Inc. |
2,624,680 | ||||||||
| 3,982 | Illumina, Inc.* |
1,474,734 | ||||||||
| 35,200 | Ingredion, Inc. |
2,921,600 | ||||||||
| 3,135 | Intuitive Surgical, Inc.* |
1,786,417 | ||||||||
| 17,300 | Jazz Pharmaceuticals Plc* |
1,908,882 | ||||||||
| 70,700 | Johnson & Johnson |
9,942,541 | ||||||||
| 107,200 | Kroger Co. (The) |
3,628,720 | ||||||||
See accompanying Notes to the Schedule of Investments.
2
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Consumer, Non-cyclical — continued | ||||||||||
| 31,061 | McKesson Corp. |
4,765,379 | ||||||||
| 13,500 | Medtronic Plc |
1,237,950 | ||||||||
| 88,900 | Merck & Co., Inc. |
6,874,637 | ||||||||
| 59,300 | Molson Coors Beverage Co. Class B |
2,037,548 | ||||||||
| 132,500 | Mondelez International, Inc. Class A |
6,774,725 | ||||||||
| 89,280 | Mylan NV* |
1,435,622 | ||||||||
| 104,349 | PayPal Holdings, Inc.* |
18,180,726 | ||||||||
| 378,670 | Pfizer, Inc. |
12,382,509 | ||||||||
| 15,330 | Regeneron Pharmaceuticals, Inc.* |
9,560,554 | ||||||||
| 8,768 | S&P Global, Inc. |
2,888,881 | ||||||||
| 6,915 | Teladoc Health, Inc.* (a) |
1,319,659 | ||||||||
| 58,720 | Tyson Foods, Inc. Class A |
3,506,171 | ||||||||
| 9,786 | Vertex Pharmaceuticals, Inc.* |
2,840,974 | ||||||||
| 11,900 | Zimmer Biomet Holdings, Inc. |
1,420,384 | ||||||||
| 84,917 | Zoetis, Inc. |
11,637,026 | ||||||||
|
|
|
|||||||||
| 248,147,075 | ||||||||||
|
|
|
|||||||||
| Energy — 1.4% | ||||||||||
| 105,328 | BP Plc, ADR (a) |
2,456,249 | ||||||||
| 109,700 | Canadian Natural Resources, Ltd. |
1,912,071 | ||||||||
| 23,900 | Chevron Corp. |
2,132,597 | ||||||||
| 211,771 | ConocoPhillips |
8,898,618 | ||||||||
|
|
|
|||||||||
| 15,399,535 | ||||||||||
|
|
|
|||||||||
| Financial — 16.2% | ||||||||||
| 67,100 | Allstate Corp. (The) |
6,508,029 | ||||||||
| 71,443 | Ally Financial, Inc. |
1,416,715 | ||||||||
| 252,500 | American International Group, Inc. |
7,872,950 | ||||||||
| 7,341 | American Tower Corp. REIT |
1,897,942 | ||||||||
| 49,331 | Ameriprise Financial, Inc. |
7,401,623 | ||||||||
| 567,730 | Annaly Capital Management, Inc. REIT |
3,724,309 | ||||||||
| 486,500 | Banco Santander SA, ADR* (a) |
1,172,465 | ||||||||
| 293,316 | Bank of America Corp. |
6,966,255 | ||||||||
| 191,072 | Bank of New York Mellon Corp. (The) |
7,384,933 | ||||||||
| 16,000 | Berkshire Hathaway, Inc. Class B* |
2,856,160 | ||||||||
| 2,100 | BlackRock, Inc. |
1,142,589 | ||||||||
| 25,823 | Boston Properties, Inc. REIT |
2,333,883 | ||||||||
| 21,800 | Charles Schwab Corp. (The) |
735,532 | ||||||||
| 258,560 | Citigroup, Inc. |
13,212,416 | ||||||||
| 90,600 | Citizens Financial Group, Inc. |
2,286,744 | ||||||||
| 76,480 | Comerica, Inc. |
2,913,888 | ||||||||
| 95,097 | Equitable Holdings, Inc. |
1,834,421 | ||||||||
| 94,900 | Equity Residential REIT |
5,582,018 | ||||||||
| 39,530 | Essent Group, Ltd. |
1,433,753 | ||||||||
| 38,432 | Franklin Resources, Inc. |
805,919 | ||||||||
| 254,824 | Host Hotels & Resorts, Inc. REIT |
2,749,551 | ||||||||
| 49,310 | JPMorgan Chase & Co. |
4,638,099 | ||||||||
| 35,360 | KKR & Co., Inc. |
1,091,917 | ||||||||
| 4,031 | M&T Bank Corp. |
419,103 | ||||||||
See accompanying Notes to the Schedule of Investments.
3
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Financial — continued | ||||||||||
| 76,808 | Mastercard, Inc. Class A |
22,712,125 | ||||||||
| 153,262 | MetLife, Inc. |
5,597,128 | ||||||||
| 64,667 | Morgan Stanley |
3,123,416 | ||||||||
| 8,020 | PNC Financial Services Group, Inc. (The) |
843,784 | ||||||||
| 21,700 | Popular, Inc. |
806,589 | ||||||||
| 45,349 | Regency Centers Corp. REIT |
2,081,066 | ||||||||
| 171,747 | Regions Financial Corp. |
1,909,827 | ||||||||
| 4,940 | Simon Property Group, Inc. REIT |
337,797 | ||||||||
| 172,830 | SLM Corp. |
1,214,995 | ||||||||
| 27,299 | State Street Corp. |
1,734,851 | ||||||||
| 157,957 | Synchrony Financial |
3,500,327 | ||||||||
| 174,700 | Truist Financial Corp. |
6,559,985 | ||||||||
| 380,970 | Two Harbors Investment Corp. REIT |
1,920,089 | ||||||||
| 106,083 | Visa, Inc. Class A |
20,492,053 | ||||||||
| 70,684 | Vornado Realty Trust REIT |
2,700,836 | ||||||||
| 42,369 | Voya Financial, Inc. |
1,976,514 | ||||||||
| 259,491 | Wells Fargo & Co. |
6,642,970 | ||||||||
| 271,673 | Western Union Co. (The) |
5,873,570 | ||||||||
|
|
|
|||||||||
| 178,409,136 | ||||||||||
|
|
|
|||||||||
| Industrial — 4.7% | ||||||||||
| 80,098 | Caterpillar, Inc. |
10,132,397 | ||||||||
| 38,600 | Chart Industries, Inc.* |
1,871,714 | ||||||||
| 78,073 | CORTEVA, Inc. |
2,091,576 | ||||||||
| 45,000 | Crown Holdings, Inc.* |
2,930,850 | ||||||||
| 49,950 | CSX Corp. |
3,483,513 | ||||||||
| 6,000 | FedEx Corp. |
841,320 | ||||||||
| 213,653 | Howmet Aerospace, Inc. |
3,386,400 | ||||||||
| 128,534 | Johnson Controls International Plc |
4,388,151 | ||||||||
| 17,086 | Masco Corp. |
857,888 | ||||||||
| 19,200 | Northrop Grumman Corp. |
5,902,848 | ||||||||
| 96,189 | Raytheon Technologies Corp. |
5,927,166 | ||||||||
| 31,815 | Textron, Inc. |
1,047,031 | ||||||||
| 15,212 | Union Pacific Corp. |
2,571,893 | ||||||||
| 32,902 | Waters Corp.* |
5,935,521 | ||||||||
|
|
|
|||||||||
| 51,368,268 | ||||||||||
|
|
|
|||||||||
| Technology — 20.8% | ||||||||||
| 54,570 | Accenture Plc Class A |
11,717,270 | ||||||||
| 64,276 | Adobe, Inc.* |
27,979,986 | ||||||||
| 44,494 | Apple, Inc. |
16,231,411 | ||||||||
| 21,263 | Atlassian Corp. Plc Class A* |
3,833,081 | ||||||||
| 46,609 | Autodesk, Inc.* |
11,148,407 | ||||||||
| 26,900 | Broadcom, Inc. |
8,489,909 | ||||||||
| 137,955 | Cognizant Technology Solutions Corp. Class A |
7,838,603 | ||||||||
| 12,081 | Coupa Software, Inc.* (a) |
3,346,920 | ||||||||
| 26,120 | Crowdstrike Holdings, Inc. Class A* |
2,619,575 | ||||||||
| 111,000 | Intel Corp. |
6,641,130 | ||||||||
| 8,900 | IPG Photonics Corp.* |
1,427,471 | ||||||||
See accompanying Notes to the Schedule of Investments.
4
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
June 30, 2020 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Technology — continued | ||||||||||
| 3,178 | Lam Research Corp. |
1,027,956 | ||||||||
| 52,400 | Marvell Technology Group, Ltd. |
1,837,144 | ||||||||
| 40,700 | Micron Technology, Inc.* |
2,096,864 | ||||||||
| 217,973 | Microsoft Corp. |
44,359,685 | ||||||||
| 19,312 | MSCI, Inc. Class A |
6,446,732 | ||||||||
| 26,855 | NetApp, Inc. |
1,191,556 | ||||||||
| 21,529 | NVIDIA Corp. |
8,179,082 | ||||||||
| 174,993 | Oracle Corp. |
9,671,863 | ||||||||
| 42,738 | QUALCOMM, Inc. |
3,898,133 | ||||||||
| 12,475 | RingCentral, Inc. Class A* |
3,555,500 | ||||||||
| 98,134 | salesforce.com, Inc.* |
18,383,442 | ||||||||
| 55,812 | Seagate Technology Plc |
2,701,859 | ||||||||
| 34,046 | ServiceNow, Inc.* |
13,790,673 | ||||||||
| 22,042 | Splunk, Inc.* |
4,379,745 | ||||||||
| 30,947 | Teradyne, Inc. |
2,615,331 | ||||||||
| 15,625 | Twilio, Inc. Class A* (a) |
3,428,438 | ||||||||
|
|
|
|||||||||
| 228,837,766 | ||||||||||
|
|
|
|||||||||
| Utilities — 1.0% | ||||||||||
| 109,600 | Edison International |
5,952,376 | ||||||||
| 53,900 | FirstEnergy Corp. |
2,090,242 | ||||||||
| 78,700 | PPL Corp. |
2,033,608 | ||||||||
| 34,300 | UGI Corp. |
1,090,740 | ||||||||
|
|
|
|||||||||
| 11,166,966 | ||||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $1,008,697,514) |
1,055,497,361 | |||||||||
|
|
|
|||||||||
| Par Value ($) | Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.2% |
| |||||||||
| Mutual Fund - Securities Lending Collateral — 0.1% | ||||||||||
| 811,755 | State Street Institutional U.S. Government Money Market Fund, Premier Class, 0.12%(b) (c) |
811,755 | ||||||||
|
|
|
|||||||||
| U.S. Government and Agency Obligations — 0.1% | ||||||||||
| 750,000 | United States Treasury Bill, 0.04%, due 07/02/20(d) (e) |
749,998 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,561,742) |
1,561,753 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 95.9% (Cost $1,010,259,256) |
1,057,059,114 | |||||||||
| Other Assets and Liabilities (net) — 4.1% |
45,160,363 | |||||||||
|
|
|
|||||||||
| NET ASSETS — 100.0% | $1,102,219,477 | |||||||||
|
|
|
|||||||||
See accompanying Notes to the Schedule of Investments.
5
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
| Notes to Schedule of Investments: | ||||||||
| ADR — American Depository Receipt | ||||||||
| REIT — Real Estate Investment Trust | ||||||||
| * | Non-income producing security. | |||||||
| (a) | All or a portion of this security is out on loan. | |||||||
| (b) | The rate disclosed is the 7-day net yield as of June 30, 2020. | |||||||
| (c) | Represents an investment of securities lending cash collateral. | |||||||
| (d) | Interest rate presented is yield to maturity. | |||||||
| (e) | All or a portion of this security is pledged for open futures collateral. | |||||||
See accompanying Notes to the Schedule of Investments.
6
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
Futures Contracts
| Number of |
Description |
Expiration Date |
Notional |
Market
Value/ |
||||||||||||||||
| Buys | ||||||||||||||||||||
| 233 | S&P 500 E-mini Index |
Sep 2020 | $ | 36,000,830 | $ | 1,057,471 | ||||||||||||||
| 17 | S&P Mid 400 E-mini Index |
Sep 2020 | 3,024,470 | 43,714 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 1,101,185 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
See accompanying Notes to the Schedule of Investments.
7
Mercer US Large Cap Equity Fund
Schedule of Investments (Continued)
June 30, 2020 (Unaudited)
| Asset Class Summary (Unaudited) | % of Net Assets | ||||
| Common Stocks |
95.7 | ||||
| Futures Contracts |
0.1 | ||||
| Short-Term Investments |
0.2 | ||||
| Other Assets and Liabilities (net) |
4.0 | ||||
|
|
|
||||
| 100.0 | % | ||||
|
|
|
||||
See accompanying Notes to the Schedule of Investments.
8