NPORT-EX 2 NPORT_950702263016027.htm Mercer Funds

Mercer Funds

Notes to Schedule of Investments

December 31, 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, Class I, 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 December 31, 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

 

175

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 2020 (Unaudited)

 

 

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.

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

 

176

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 2020 (Unaudited)

 

 

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 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 December 31, 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.

The following is a summary of the portfolio securities by level based on inputs used as of December 31, 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

    $ 122,675,121      $ 0 *    $            —      $ 122,675,121  

Austria

      9,704,557        —       —        9,704,557  

Belgium

      8,825,890        —       —        8,825,890  

Bermuda

      9,781,980        —       —        9,781,980  

Brazil

      32,035,712        —       —        32,035,712  

Canada

      77,439,973        7,025       —        77,446,998  

Cayman Islands

      77,376,728        —       —        77,376,728  

China

      2,589,578        —       —        2,589,578  

Denmark

      49,217,025        —       —        49,217,025  

Finland

      46,839,118        —       —        46,839,118  

France

      468,858,574        —       —        468,858,574  

Germany

      298,632,486        —       —        298,632,486  

 

177

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 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

    $ 39,869,188     $ —      $ —     $ 39,869,188  

Hungary

      5,596,784       —        —       5,596,784  

India

      14,692,103       —        —       14,692,103  

Indonesia

      1,556,144       —        —       1,556,144  

Ireland

      31,549,287       —        —       31,549,287  

Israel

      13,771,399       —        —       13,771,399  

Italy

      86,516,045       —        —       86,516,045  

Japan

      881,019,152       —        —       881,019,152  

Luxembourg

      15,335,383       —        —       15,335,383  

Malta

      2,051,818       —        —       2,051,818  

Marshall Islands

      4,136,975       —        —       4,136,975  

Mauritius

      948,995       —        —       948,995  

Mexico

      9,820,829       —        —       9,820,829  

Netherlands

      164,127,095       —        —       164,127,095  

New Zealand

      2,775,391       —        —       2,775,391  

Norway

      21,859,790       —        —       21,859,790  

Philippines

      610,227       —        —       610,227  

Portugal

      2,253,018       —        0 **      2,253,018  

Russia

      30,033,570       —        —       30,033,570  

Singapore

      12,227,147       —        —       12,227,147  

South Africa

      5,838,616       —        —       5,838,616  

South Korea

      61,308,331       —        —       61,308,331  

Spain

      117,290,102       —        0 **      117,290,102  

Sweden

      97,703,759       —        —       97,703,759  

Switzerland

      321,586,473       —        —       321,586,473  

Taiwan

      73,269,826       —        —       73,269,826  

Thailand

      1,292,107       773,467        —       2,065,574  

Turkey

      2,856,358       —        —       2,856,358  

United Kingdom

      488,180,807       —        —       488,180,807  

United States

      88,629,268       —        —       88,629,268  
  

 

 

    

 

 

     

 

 

    

 

 

  

Total Common Stocks

      3,802,682,729       780,492        0       3,803,463,221  
  

 

 

    

 

 

     

 

 

    

 

 

  

Investment Companies

      35,050,145       —        —       35,050,145  
  

 

 

    

 

 

     

 

 

    

 

 

  

Preferred Stocks

 

   

Brazil

      4,068,103       —        —       4,068,103  

Germany

      49,821,476       —        —       49,821,476  
  

 

 

    

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      53,889,579       —        —       53,889,579  
  

 

 

    

 

 

     

 

 

    

 

 

  

Rights

 

   

Australia

      0 ***      —        —       0  

Spain

      254,477       —        —       254,477  
  

 

 

    

 

 

     

 

 

    

 

 

  

Total Rights

      254,477       —        —       254,477  
  

 

 

    

 

 

     

 

 

    

 

 

  

Warrant

 

   

Switzerland

      61,644       —        —       61,644  
  

 

 

    

 

 

     

 

 

    

 

 

  

 

178

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 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

    $ 56,631,500      $ —      $ —      $ 56,631,500  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts†

 

   

Buys

      251,697        —        —        251,697  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 3,948,821,771      $ 780,492      $ 0      $ 3,949,602,263  
  

 

 

     

 

 

     

 

 

     

 

 

  

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†

    $            —      $ (641,026 )    $            —      $ (641,026 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total

    $ —      $ (641,026 )    $ —      $ (641,026 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

  *

Represents one or more Level 2 securities at $0 value as of December 31, 2020.

  **

Represents one or more Level 3 securities at $0 value as of December 31, 2020.

  ***

Represents one or more Level 1 securities at $0 value as of December 31, 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

    $ —      $ 107,596,535      $            —     $ 107,596,535  

Corporate Debt

      —        416,310,798        0 **      416,310,798  

Mortgage Backed Securities - Private Issuers

      —        112,274,984        —       112,274,984  

Mortgage Backed Securities - U.S. Government Agency Obligations

      —        239,094,198        —       239,094,198  

Municipal Obligations

      —        13,136,699        —       13,136,699  

Sovereign Debt Obligations

      —        5,903,616        —       5,903,616  

U.S. Government and Agency Obligations

      —        133,261,186        —       133,261,186  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Debt Obligations

      —        1,027,578,016        0       1,027,578,016  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

179

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 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

    $ 4,450,665      $ —      $ —      $ 4,450,665  

U.S. Government and Agency Obligations

      —        1,409,872        —        1,409,872  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      4,450,665        1,409,872        —        5,860,537  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts†

 

      

Buys

      105,608        —        —        105,608  

Sales

      73,348        —        —        73,348  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      178,956        —        —        178,956  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 4,629,621      $ 1,028,987,888      $ 0      $ 1,033,617,509  
  

 

 

     

 

 

     

 

 

     

 

 

  

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

    $ (43,030 )    $ —     $            —      $ (43,030 ) 

Sales

      (8,416 )      —       —        (8,416 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Futures Contracts

      (51,446 )      —       —        (51,446 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Swaps

          

Centrally Cleared Interest Rate Swap†

      —       (44,987 )      —        (44,987 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Swaps

      —       (44,987 )      —        (44,987 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Forward Foreign Currency Contracts†

      —       (10,838 )      —        (10,838 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (51,446 )    $ (55,825 )    $ —      $ (107,271 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

  **

Represents one or more Level 3 securities at $0 value as of December 31, 2020.

  †

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)

December 31, 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

    $ —      $ 1,301,120,620     $            —     $ 1,301,120,620  
  

 

 

     

 

 

    

 

 

    

 

 

  

Common Stocks

 

  

Consumer, Cyclical

      —        —       0 **      —  

Energy

      533,937        0 *      —       533,937  

Utilities

      —        524,006       —       524,006  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Common Stocks

      533,937        524,006       0       1,057,943  
  

 

 

     

 

 

    

 

 

    

 

 

  

Convertible Preferred Stocks

 

  

Consumer, Non-cyclical

      3,318,702        —       —       3,318,702  

Energy

      3,354,650        195,180       —       3,549,830  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Convertible Preferred Stocks

      6,673,352        195,180       —       6,868,532  
  

 

 

     

 

 

    

 

 

    

 

 

  

Short-Term Investments

 

  

Mutual Fund—Securities Lending Collateral

      13,530,458        —       —       13,530,458  

Sovereign Debt Obligation

      —        13,845,166       —       13,845,166  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Short-Term Investments

      13,530,458        13,845,166       —       27,375,624  
  

 

 

     

 

 

    

 

 

    

 

 

  

Options Purchased

      364,520        1,671,110       —       2,035,630  
  

 

 

     

 

 

    

 

 

    

 

 

  

Futures Contracts†

 

  

Buys

      85,824        —       —       85,824  

Sales

      183,910        —       —       183,910  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Futures Contracts

      269,734        —       —       269,734  
  

 

 

     

 

 

    

 

 

    

 

 

  

Swaps

 

    

OTC Interest Rate Swaps

      —        195,915       —       195,915  

Centrally Cleared Interest Rate Swaps†

      —        1,422,558       —       1,422,558  

OTC Credit Default Swaps

      —        63,455       —       63,455  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Swaps

      —        1,681,928       —       1,681,928  
  

 

 

     

 

 

    

 

 

    

 

 

  

Forward Foreign Currency Contracts†

      —        4,238,353       —       4,238,353  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total

    $ 21,372,001      $ 1,323,276,363     $ 0     $ 1,344,648,364  
  

 

 

     

 

 

    

 

 

    

 

 

  

 

181

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 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

    $ (285,216 )    $ —     $            —      $ (285,216 ) 

Sales

      (116,293 )      —       —        (116,293 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Futures Contracts

      (401,509 )      —       —        (401,509 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Swaps

 

     

OTC Interest Rate Swaps

      —       (130,291 )      —        (130,291 ) 

Centrally Cleared Credit Default Swap†

      —       (29,710 )      —        (29,710 ) 

OTC Credit Default Swaps

      —       (42,512 )      —        (42,512 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Swaps

      —       (202,513 )      —        (202,513 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Forward Foreign Currency Contracts†

      —       (4,247,988 )      —        (4,247,988 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Written Options

      (115,093 )      (355,895 )      —        (470,988 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (516,602 )    $ (4,806,396 )    $ —      $ (5,322,998 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

  *

Represents one or more Level 2 securities at $0 value as of December 31, 2020.

  **

Represents one or more Level 3 securities at $0 value as of December 31, 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

    $ 76,694      $ —      $            —      $ 76,694  

Bermuda

      19,745,549        —        —        19,745,549  

Brazil

      64,471,501        —        —        64,471,501  

Canada

      3,169,518        —        —        3,169,518  

Cayman Islands

      329,544,319        11,621        —        329,555,940  

Chile

      2,232,127        —        —        2,232,127  

China

      217,383,639        —        —        217,383,639  

Colombia

      799,110        —        —        799,110  

Czech Republic

      645,139        —        —        645,139  

France

      3,816,492        —        —        3,816,492  

Greece

      1,042,920        —        —        1,042,920  

Hong Kong

      34,803,203        —        —        34,803,203  

Hungary

      545,509        —        —        545,509  

 

182

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 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

    $ 173,121,788      $ —      $ —     $ 173,121,788  

Indonesia

      21,532,876        —        —       21,532,876  

Luxembourg

      13,447,236        —        —       13,447,236  

Malaysia

      8,429,292        —        —       8,429,292  

Marshall Islands

      119,110        —        —       119,110  

Mexico

      33,684,881        —        —       33,684,881  

Netherlands

      11,334,231        —        —       11,334,231  

Philippines

      3,718,284        —        —       3,718,284  

Poland

      6,234,233        —        —       6,234,233  

Russia

      9,214,697        —        —       9,214,697  

South Africa

      47,097,388        —        —       47,097,388  

South Korea

      144,243,840        2,316,940        —       146,560,780  

Spain

      22,115        —        —       22,115  

Taiwan

      237,436,941        169,443        —       237,606,384  

Thailand

      3,538,170        7,525,996        —       11,064,166  

Turkey

      8,917,141        —        —       8,917,141  

United Kingdom

      29,485,610        —        —       29,485,610  

United States

      47,132,416        —        —       47,132,416  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      1,476,985,969        10,024,000        —       1,487,009,969  
  

 

 

     

 

 

     

 

 

    

 

 

  

Preferred Stocks

 

     

Brazil

      16,706,469        —        —       16,706,469  

Colombia

      121,435        —        —       121,435  

South Korea

      18,814,783        —        —       18,814,783  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      35,642,687        —        —       35,642,687  
  

 

 

     

 

 

     

 

 

    

 

 

  

Rights

 

     

Hong Kong

      —        —        0 **      —  
  

 

 

     

 

 

     

 

 

    

 

 

  

Warrant

 

     

Thailand

      1,752        —        —       1,752  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investment

           

Mutual Fund - Securities Lending Collateral

      4,813,638        —        —       4,813,638  
  

 

 

     

 

 

     

 

 

    

 

 

  

Futures Contracts†

           

Buys

      1,197,186        —        —       1,197,186  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 1,518,641,232      $ 10,024,000      $ 0     $ 1,528,665,232  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

  **

Represents one or more Level 3 securities at $0 value as of December 31, 2020.

  †

Futures contracts are valued at unrealized appreciation/depreciation.

 

183

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 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

    $ 21,476,273      $ —      $            —      $ 21,476,273  

Austria

      1,684,269        —        —        1,684,269  

Belgium

      503,266        —        —        503,266  

Bermuda

      15,864,969        —        —        15,864,969  

Canada

      73,695,757        25,445        —        73,721,202  

Cayman Islands

      9,923,780        —        —        9,923,780  

Denmark

      3,968,864        —        —        3,968,864  

Finland

      3,644,382        —        —        3,644,382  

France

      65,303,826        —        —        65,303,826  

Germany

      17,644,951        —        —        17,644,951  

Hong Kong

      22,116,704        —        —        22,116,704  

Ireland

      21,798,357        —        —        21,798,357  

Israel

      6,653,746        —        —        6,653,746  

Italy

      81,215        —        —        81,215  

Japan

      57,943,911        —        —        57,943,911  

Luxembourg

      3,351,194        —        —        3,351,194  

Netherlands

      22,886,044        —        —        22,886,044  

New Zealand

      5,694,964        —        —        5,694,964  

Norway

      4,628,294        —        —        4,628,294  

Portugal

      802,979        —        —        802,979  

Singapore

      5,737,261        25,644        —        5,762,905  

Spain

      14,650,685        —        —        14,650,685  

Sweden

      16,993,740        —        —        16,993,740  

Switzerland

      38,124,600        —        —        38,124,600  

United Kingdom

      54,137,089        —        —        54,137,089  

United States

      765,484,335        —        —        765,484,335  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      1,254,795,455        51,089        —        1,254,846,544  
  

 

 

     

 

 

     

 

 

     

 

 

  

Preferred Stock

 

      

Germany

      2,536,377        —        —        2,536,377  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investment

 

      

Mutual Fund - Securities Lending Collateral

      13,354,459        —        —        13,354,459  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts†

 

      

Buys

      472,480        —        —        472,480  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      472,480        —        —        472,480  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,271,158,771      $ 51,089      $ —      $ 1,271,209,860  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

184

Mercer Funds

Notes to Schedule of Investments (Continued)

December 31, 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

    $ (3,349 )    $            —      $            —      $ (3,349 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Futures Contracts

      (3,349 )      —        —        (3,349 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total

    $ (3,349 )    $ —      $ —      $ (3,349 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

  †

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 December 31, 2020, Opportunistic Fixed had the following unfunded loan commitments:

 

Borrower

    Par      Cost      Value      Unrealized
Gain (Loss)		  

LBM Acquisition LLC

    $ 165,000      $ 163,350      $ 165,248      $ 1,898  

Planview Parent, Inc.

      90,000        89,103        90,169        1,066  

Precision Medicine Group, LLC

      126,923        125,046        127,240        2,194  
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ 381,923      $ 377,499      $ 382,657      $ 5,158  
  

 

 

     

 

 

     

 

 

     

 

 

  

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