UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22983
Eaton Vance NextShares Trust II
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
January 31
Date of Fiscal Year End
January 31, 2018
Date of Reporting Period
Item 1. Reports to Stockholders
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares (EVLMC)
Listing Exchange: The NASDAQ Stock Market LLC
Annual Report
January 31, 2018
NextSharesTM is a trademark of NextShares Solutions LLC. Used with permission.
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund has claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser with respect to the operation of the Fund is subject to CFTC regulation. Because of its management of other strategies, the Fund’s adviser is registered with the CFTC as a commodity pool operator and a commodity trading advisor.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing in NextShares, investors should consider carefully the investment objectives, risks, charges and expenses. This and other important information is contained in the prospectus and summary prospectus, which can be obtained from a financial advisor. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-262-1122.
Annual Report January 31, 2018
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
Table of Contents
| | | | |
Management’s Discussion of Fund Performance | | | 2 | |
| |
Performance | | | 3 | |
| |
Fund Profile | | | 4 | |
| |
Endnotes and Additional Disclosures | | | 5 | |
| |
Fund Expenses | | | 6 | |
| |
Financial Statements | | | 7 | |
| |
Report of Independent Registered Public Accounting Firm | | | 14 and 38 | |
| |
Federal Tax Information | | | 15 | |
| |
Management and Organization | | | 39 | |
| |
Important Notices | | | 42 | |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Management’s Discussion of Fund Performance1
Economic and Market Conditions
The 12-month period that began on February 1, 2017 was characterized by a significant flattening of the municipal bond yield curve and a rally in longer-term bonds that lasted for most of the period.
Long-term interest rates were relatively stable in the opening month of the period, but then drifted downward from March through July 2017 — despite the Federal Reserve Board rate hikes in March and June 2017 that put upward pressure on short-term rates. Mixed U.S. economic data, including anemic inflation, put downward pressure on long-term rates that would increase as the period wore on. In August and early September 2017, increasing geopolitical tension between the U.S. and North Korea led to a “flight to quality” that drove investors toward the perceived safety of U.S. Treasurys. As a result, long-term rates declined further as Treasury prices rallied, and through October 2017, the municipal market rallied along with Treasurys.
In November and December 2017, however, the municipal market experienced considerable volatility after the GOP-controlled House and Senate released and then passed new tax legislation. The most significant change to the municipal market was the elimination of an issuer’s ability to refinance debt prior to its call date through the issuance of advanced refunding bonds — which accounted for just under 20% of new issuance over the past 10 years. As a result, December 2017 witnessed the largest-ever one-month issuance of new municipal debt, as issuers rushed to beat the December 31, 2017 deadline for issuing advanced refunding bonds. Demand, however, outweighed supply as investors sold short-maturity bonds to buy longer maturities in anticipation of significantly lower supply going forward. The net result was rising prices on longer-term debt that drove more dramatic flattening of the yield curve in December 2017.
As the period came to a close, bond prices reversed direction. In January 2018, signs of increasing inflation, higher wage growth, and fears that the new tax legislation might overheat the economy pushed interest rates up and caused longer-term bond prices to decline.
For the 12-month period ended January 31, 2018, the Bloomberg Barclays Municipal Bond Index,2 a broad measure of the asset class, returned 3.52%. For the period as a whole, the municipal bond yield curve flattened significantly. Rates rose for AAA-rated8 bonds with maturities of one-to-11 years and declined for issues with maturities of 12-to-30 years. On a price basis, longer maturities in general outperformed shorter maturities, and lower-rated bonds generally outperformed higher-rated issues. Across the curve, municipal bonds outperformed comparable U.S. Treasurys.
Fund Performance
For the fiscal year ended January 31, 2018, Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares (the Fund) had a total return of 4.13% at net asset value (NAV), compared with a 3.45% return for the Fund’s primary benchmark, the Bloomberg Barclays 10 Year Municipal Bond Index (the Index), during the same period. The Index is unmanaged and its returns do not reflect the effect of any applicable sales charges, commissions, or expenses.
The Fund provides rules-based, approximately equal-weighted exposure in each year across the 5-to-15 year maturity portion of the yield curve, with the objective of seeking current income exempt from regular federal income tax. Management seeks to add incremental return through active security selection and in-depth credit analysis.
During the 12-month period ended January 31, 2018, security selection was the largest contributor to Fund performance versus the Index. Credit quality helped Fund performance relative to the Index as well. During the period when lower-rated bonds in general outperformed higher-rated issues, the Fund was overweight versus the Index in lower-quality A- and BBB-rated bonds and underweight in higher-quality AA bonds. Duration,9 or interest rate sensitivity, helped relative results as well. The Fund had a longer duration than the Index during the period when interest rates declined and prices rose for bonds with about 12 years or more remaining to maturity — and the Fund’s longer duration amplified exposure to longer maturities with better price performance and higher interest income.
The Fund’s yield curve positioning, although it differed from that of the Index, was not a significant factor in Fund performance versus the Index during the period. While the Fund was approximately equally weighted across the yield curve from 5 through 15 years, the Index was entirely positioned in the 8–11 year area of the curve. During the period ended January 31, 2018, the Fund’s out-of-Index bonds in the 5–7 year part of the curve generally underperformed the Index — but the Fund’s out-of-Index bonds in the 12–15 year part of the curve generally outperformed the Index. For the 12-month period as a whole, the net effect of yield curve positioning was approximately neutral.
The Fund’s lack of exposure to AMT (alternative minimum tax) bonds, an Index sector that performed strongly during the period, detracted from Fund performance versus the Index. AMT bonds comprised approximately 3.59% of the Index during the period; however, the Fund does not invest in AMT bonds.
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than indicated. The Fund’s performance at market price will differ from its results at net asset value (NAV). The market price used to calculate the Market Price return is the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. If you trade your shares at another time during the day, your return may differ. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested at NAV or closing market price (as applicable) on the payment date of the distribution, and are net of management fees and other expenses. Returns are before taxes unless otherwise noted. Performance less than or equal to one year is cumulative. For performance as of the most recent month-end, including historical trading premiums/discounts relative to NAV, please refer to eatonvance.com.
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Performance2,3,4
Portfolio Managers James H. Evans, CFA, Brian C. Barney, CFA and Christopher J. Harshman, CFA
| | | | | | | | | | | | | | | | | | | | | | | | |
| % Average Annual Total Returns | | Fund
Inception Date | | | Performance
Inception Date | | | One Year | | | Five Years | | | Since
Portfolio
Investor
Inception | | | Since
Fund
Inception | |
Fund at NAV | | | 03/30/2016 | | | | 02/01/2010 | | | | 4.13 | % | | | 4.00 | % | | | 6.45 | % | | | 1.65 | % |
Fund at Market Price | | | 03/30/2016 | | | | 03/30/2016 | | | | 3.89 | | | | — | | | | — | | | | 1.65 | |
Bloomberg Barclays 10 Year Municipal Bond Index | | | — | | | | — | | | | 3.45 | % | | | 2.77 | % | | | 4.37 | % | | | 1.28 | % |
Bloomberg Barclays 15 Year Municipal Bond Index | | | — | | | | — | | | | 4.51 | | | | 3.37 | | | | 4.96 | | | | 1.86 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| % Total Annual Operating Expense Ratios5 | | | | | | | | | | | | | | | | | | |
Gross | | | | | | | | | | | | | | | | | | | | | | | 1.45 | % |
Net | | | | | | | | | | | | | | | | | | | | | | | 0.35 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| % Distribution Rates/Yields6 | | | | | | | | | | | | | | | | | | |
Distribution Rate at NAV | | | | | | | | | | | | | | | | | | | | | | | 1.86 | % |
Distribution Rate at Market Price | | | | | | | | | | | | | | | | | | | | | | | 1.86 | |
SEC 30-day Yield — Subsidized | | | | | | | | | | | | | | | | | | | | | | | 2.01 | |
SEC 30-day Yield — Unsubsidized | | | | | | | | | | | | | | | | | | | | | | | 0.58 | |
Growth of $10,0004
This graph shows the change in value of a hypothetical investment of $10,000 in TABS 5-to-15 Year Laddered Municipal Bond NextShares for the period indicated. For comparison, the same investment is shown in the indicated index.
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than indicated. The Fund’s performance at market price will differ from its results at net asset value (NAV). The market price used to calculate the Market Price return is the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. If you trade your shares at another time during the day, your return may differ. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested at NAV or closing market price (as applicable) on the payment date of the distribution, and are net of management fees and other expenses. Returns are before taxes unless otherwise noted. Performance less than or equal to one year is cumulative. For performance as of the most recent month-end, including historical trading premiums/discounts relative to NAV, please refer to eatonvance.com.
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Fund Profile7
Credit Quality (% of total investments)8
See Endnotes and Additional Disclosures in this report.
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Endnotes and Additional Disclosures
| 1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements”. The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
| 2 | Bloomberg Barclays Municipal Bond Index is an unmanaged index of municipal bonds traded in the U.S. Bloomberg Barclays 10 Year Municipal Bond Index is an unmanaged index of municipal bonds traded in the U.S. with maturities ranging from 8-12 years. Bloomberg Barclays 15 Year Municipal Bond Index is an unmanaged index of municipal bonds traded in the U.S. with maturities ranging from 12-17 years. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
| 3 | Shares of NextShares funds are normally bought and sold in the secondary market through a broker, and may not be individually purchased or redeemed from the fund. In the secondary market, buyers and sellers transact with each other, rather than with the fund. Market trading prices of NextShares are linked to the fund’s next-computed net asset value (NAV) and will vary from NAV by a market-determined premium or discount, which may be zero. Buyers and sellers of NextShares will not know the value of their purchases and sales until after the fund’s NAV is determined at the end of the trading day. Market trading prices may vary significantly from anticipated levels. NextShares do not offer investors the opportunity to buy and sell intraday based on current (versus end-of-day) determinations of fund value. NextShares trade execution prices will fluctuate based on changes in NAV. Although limit orders may be used to control trading costs, they cannot be used to control or limit trade execution prices. As a new type of fund, NextShares have a limited operating history and may initially be available through a limited number of brokers. There can be no guarantee that an active trading market for NextShares will develop or be maintained, or that their listing will continue unchanged. Buying and selling NextShares may require payment of brokerage commissions and expose transacting shareholders to other trading costs. Frequent trading may detract from realized investment returns. The return on a shareholder’s NextShares investment will be reduced if the shareholder sells shares at a greater discount or narrower premium to NAV than he or she acquired the shares. NextShares funds issue and redeem shares only in specified creation unit quantities in transactions by or through authorized participants. In such transactions, a fund issues and redeems shares in exchange for the basket of securities, other instruments and/ or cash that the fund specifies each business day. A fund’s basket is not intended to be representative of the fund’s current portfolio positions and may vary significantly from current positions. |
| 4 | The Fund pursues its investment objective by investing in a separate investment fund (the Portfolio). The returns at NAV for periods before the date the Fund commenced operations are for a mutual fund that invests in the Portfolio (the Portfolio Investor). The performance during such period does not represent the performance of the Fund. The prior investment performance of the Portfolio Investor (rather than the Portfolio itself) is shown because it reflects the expenses typically borne by a retail fund investing in the Portfolio. The Portfolio Investor returns are not adjusted to reflect differences between the total net operating expenses of the Fund and the Portfolio Investor during the periods shown. If such an adjustment were made, the performance presented would be higher, because the Fund’s total net operating expenses are lower than those of the Portfolio Investor. Performance is for a share class of the Portfolio Investor offered at net asset value. Performance presented in the Financial Highlights included in the financial statements is not linked. |
| 5 | Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 5/31/18. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
| 6 | The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions may be comprised of amounts characterized for federal income tax purposes as tax-exempt income, qualified and non-qualified ordinary dividends, capital gains and nondividend distributions, also known as return of capital. The Fund will determine the federal income tax character of distributions paid to a shareholder after the end of the calendar year. This is reported on the IRS form 1099-DIV and provided to the shareholder shortly after each year-end. The Fund’s distributions are determined by the investment adviser based on its current assessment of the Fund’s long-term return potential. As portfolio and market conditions change, the rate of distributions paid by the Fund could change. SEC Yield is a standardized measure based on the estimated yield to maturity of a fund’s investments over a 30-day period and is based on the maximum offer price at the date specified. The SEC Yield is not based on the distributions made by the Fund, which may differ. Subsidized yield reflects the effect of fee waivers and expense reimbursements. |
| 7 | Fund primarily invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund and may also invest directly. Unless otherwise noted, references to investments are to the aggregate holdings of the Fund and the Portfolio. |
| 8 | Ratings are based on Moody’s, S&P or Fitch, as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” are not rated by the national ratings agencies stated above. |
| 9 | Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
| | Fund profile subject to change due to active management. |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Fund Expenses
Example: As a Fund shareholder, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares; and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2017 – January 31, 2018).
Actual Expenses: The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your 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 in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions on purchases and sales of Fund shares. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| | | | | | | | | | | | | | | | |
| | | Beginning Account Value
(8/1/17) | | | Ending Account Value
(1/31/18) | | | Expenses Paid During Period*
(8/1/17 – 1/31/18) | | | Annualized Expense
Ratio | |
| | | | |
| | | | | | | | | | | | | | | | |
Actual | | | | | | | | | | | | | | | | |
| | | $1,000.00 | | | $ | 994.50 | | | $ | 1.76 | ** | | | 0.35 | % |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Hypothetical | | | | | | | | | | | | | | | | |
(5% return per year before expenses) | | | | | | | | | | | | | | | | |
| | $ | 1,000.00 | | | $ | 1,023.40 | | | $ | 1.79 | ** | | | 0.35 | % |
| * | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on July 31, 2017. The Example reflects the expenses of both the Fund and the Portfolio. |
| ** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Statement of Assets and Liabilities
| | | | |
| Assets | | January 31, 2018 | |
Investment in 5-to-15 Year Laddered Municipal Bond Portfolio, at value (identified cost, $6,978,353) | | $ | 7,062,538 | |
Receivable from affiliate | | | 8,509 | |
Total assets | | $ | 7,071,047 | |
|
| Liabilities | |
Distributions payable | | $ | 44 | |
Payable to affiliate: | | | | |
Operations agreement fee | | | 300 | |
Accrued expenses | | | 85,752 | |
Total liabilities | | $ | 86,096 | |
Net Assets | | $ | 6,984,951 | |
|
| Sources of Net Assets | |
Paid-in capital | | $ | 7,099,771 | |
Accumulated undistributed net investment income | | | 13,154 | |
Accumulated net realized loss from Portfolio | | | (212,159 | ) |
Net unrealized appreciation from Portfolio | | | 84,185 | |
Total | | $ | 6,984,951 | |
|
| Net Asset Value Per Share | |
($6,984,951 ÷ 700,000 shares issued and outstanding) | | $ | 9.98 | (1) |
| (1) | Shares outstanding have been restated to reflect a 2-for-1 stock split effective on March 9, 2018 (see Note 6). |
| | | | |
| | 7 | | See Notes to Financial Statements. |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Statement of Operations
| | | | |
| Investment Income | | Year Ended January 31, 2018 | |
Interest allocated from Portfolio | | $ | 370,032 | |
Expenses allocated from Portfolio | | | (49,267 | ) |
Total investment income from Portfolio | | $ | 320,765 | |
|
| Expenses | |
Operations agreement fee | | $ | 7,053 | |
Trustees’ fees and expenses | | | 500 | |
Custodian fee | | | 21,033 | |
Transfer and dividend disbursing agent fees | | | 15,550 | |
Legal and accounting services | | | 27,619 | |
Printing and postage | | | 7,353 | |
Registration fees | | | 833 | |
Listing fee | | | 7,100 | |
Intraday pricing fee | | | 12,000 | |
Miscellaneous | | | 3,801 | |
Total expenses | | $ | 102,842 | |
Deduct — | |
Allocation of expenses to affiliate | | $ | 102,751 | |
Total expense reductions | | $ | 102,751 | |
| |
Net expenses | | $ | 91 | |
| |
Net investment income | | $ | 320,674 | |
|
| Realized and Unrealized Gain (Loss) from Portfolio | |
Net realized gain (loss) — | |
Investment transactions | | $ | (31,533 | ) |
Net realized loss | | $ | (31,533 | ) |
Change in unrealized appreciation (depreciation) — | |
Investments | | $ | 619,608 | |
Net change in unrealized appreciation (depreciation) | | $ | 619,608 | |
| |
Net realized and unrealized gain | | $ | 588,075 | |
| |
Net increase in net assets from operations | | $ | 908,749 | |
| | | | |
| | 8 | | See Notes to Financial Statements. |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Statements of Changes in Net Assets
| | | | | | | | |
| Increase (Decrease) in Net Assets | | Year Ended January 31, 2018 | | | Period Ended
January 31, 2017(1) | |
From operations — | | | | | | | | |
Net investment income | | $ | 320,674 | | | $ | 172,767 | |
Net realized loss | | | (31,533 | ) | | | (211,786 | ) |
Net change in unrealized appreciation (depreciation) | | | 619,608 | | | | (535,423 | ) |
Net increase (decrease) in net assets from operations | | $ | 908,749 | | | $ | (574,442 | ) |
Distributions to shareholders — | | | | | | | | |
From net investment income | | $ | (313,820 | ) | | $ | (135,352 | ) |
Total distributions to shareholders | | $ | (313,820 | ) | | $ | (135,352 | ) |
Transactions in Fund shares — | | | | | | | | |
Proceeds from sale of shares | | $ | 1,472,279 | | | $ | 22,714,994 | |
Cost of shares redeemed | | | (17,145,569 | ) | | | — | |
Transaction fees | | | 35,374 | | | | 34,698 | |
Net increase (decrease) in net assets from Fund share transactions | | $ | (15,637,916 | ) | | $ | 22,749,692 | |
Other capital — | | | | | | | | |
Portfolio transaction fee contributed to Portfolio | | $ | (11,024 | ) | | $ | (28,492 | ) |
Portfolio transaction fee allocated from Portfolio | | | 11,325 | | | | 16,231 | |
Net increase (decrease) in net assets from other capital | | $ | 301 | | | $ | (12,261 | ) |
| | |
Net increase (decrease) in net assets | | $ | (15,042,686 | ) | | $ | 22,027,637 | |
|
| Net Assets | |
At beginning of period | | $ | 22,027,637 | | | $ | — | |
At end of period | | $ | 6,984,951 | | | $ | 22,027,637 | |
|
Accumulated undistributed net investment income
included in net assets | |
At end of period | | $ | 13,154 | | | $ | 37,250 | |
|
| Changes in shares outstanding(2) | |
Shares outstanding, beginning of period | | | 2,250,000 | | | | — | |
Shares sold | | | 150,000 | | | | 2,250,000 | |
Shares redeemed | | | (1,700,000 | ) | | | — | |
Shares outstanding, end of period | | | 700,000 | | | | 2,250,000 | |
| (1) | For the period from the start of business, March 30, 2016, to January 31, 2017. |
| (2) | Shares have been restated to reflect a 2-for-1 stock split effective on March 9, 2018 (see Note 6). |
| | | | |
| | 9 | | See Notes to Financial Statements. |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Financial Highlights
| | | | | | | | |
| | | Year Ended
January 31, 2018(1) | | | Period Ended January 31, 2017(1)(2) | |
Net asset value — Beginning of period | | $ | 9.790 | | | $ | 10.000 | |
| | |
| Income (Loss) From Operations | | | | | | | | |
Net investment income(3) | | $ | 0.229 | | | $ | 0.149 | |
Net realized and unrealized gain (loss) | | | 0.175 | | | | (0.238 | ) |
| | |
Total income (loss) from operations | | $ | 0.404 | | | $ | (0.089 | ) |
| | |
| Less Distributions | | | | | | | | |
From net investment income | | $ | (0.214 | ) | | $ | (0.110 | ) |
| | |
Total distributions | | $ | (0.214 | ) | | $ | (0.110 | ) |
| | |
Portfolio transaction fee, net(3) | | $ | 0.000 | (4) | | $ | (0.011 | ) |
| | |
Net asset value — End of period | | $ | 9.980 | | | $ | 9.790 | |
| | |
Total Return on Net Asset Value(5)(6) | | | 4.13 | % | | | (1.03 | )%(7) |
| | |
| Ratios/Supplemental Data | | | | | | | | |
Net Assets, end of period (000’s ommitted) | | $ | 6,985 | | | $ | 22,028 | |
Ratios (as a percentage of average daily net assets):(8) | | | | | | | | |
Expenses(6) | | | 0.35 | % | | | 0.35 | %(9) |
Net investment income | | | 2.28 | % | | | 1.77 | %(9) |
Portfolio Turnover of the Portfolio | | | 35 | % | | | 30 | %(7)(10) |
| (1) | Per share data have been restated to reflect a 2-for-1 stock split effective on March 9, 2018 (see Note 6). |
| (2) | For the period from the start of business, March 30, 2016, to January 31, 2017. |
| (3) | Computed using average shares outstanding. |
| (4) | Amount is less than $0.0005. |
| (5) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of a market-determined premium or discount. Investment returns assume that all distributions have been reinvested at net asset value. |
| (6) | The investment adviser and administrator of the Fund and the investment adviser of the Portfolio reimbursed certain operating expenses (equal to 0.74% and 1.10% of average daily net assets for the year ended January 31, 2018 and the period ended January 31, 2017, respectively). Absent this reimbursement, total return would be lower. |
| (8) | Includes the Fund’s share of the Portfolio’s allocated expenses. |
| (10) | For the period from the Portfolio’s start of business, March 28, 2016, to January 31, 2017. |
| | | | |
| | 10 | | See Notes to Financial Statements. |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Notes to Financial Statements
1 Significant Accounting Policies
Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares (the Fund) is a diversified series of Eaton Vance NextShares Trust II (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act). The Fund is an exchange-traded managed fund operating pursuant to an order issued by the SEC granting an exemption from certain provisions of the 1940 Act. Individual shares of the Fund may be purchased and sold only on a national securities exchange or alternative trading system through a broker-dealer that offers NextShares, and may not be directly purchased or redeemed from the Fund. Market trading prices for the Fund are directly linked to the Fund’s next-computed net asset value per share (NAV) and will vary from NAV by a market-determined premium or discount, which may be zero. The Fund invests all of its investable assets in interests in 5-to-15 Year Laddered Municipal Bond Portfolio (the Portfolio), a Massachusetts business trust, having the same investment objective and policies as the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (1.0% at January 31, 2018). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the portfolio of investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation — Valuation of securities by the Portfolio is discussed in Note 1A of the Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.
B Income — The Fund’s net investment income or loss consists of the Fund’s pro-rata share of the net investment income or loss of the Portfolio, less all actual and accrued expenses of the Fund.
C Federal Taxes — The Fund’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its taxable, if any, and tax-exempt net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary. The Fund intends to satisfy conditions which will enable it to designate distributions from the interest income generated by the Portfolio’s investments in municipal obligations, which are exempt from regular federal income tax when received by the Portfolio, as exempt-interest dividends. The portion of such interest, if any, earned on private activity bonds issued after August 7, 1986, may be considered a tax preference item to shareholders.
As of January 31, 2018, the Fund had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Fund files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
D Expenses — 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 taking into consideration, among other things, the nature and type of expense and the relative size of the funds.
E Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
F Indemnifications — Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as the Trust) could be deemed to have personal liability for the obligations of the Trust. However, the Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Fund shareholders and the By-laws provide that the Trust shall assume the defense on behalf of any Fund shareholders. Moreover, the By-laws also provide for indemnification out of Fund property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G Other — Investment transactions are accounted for on a trade date basis.
2 Distributions to Shareholders and Income Tax Information
It is the present policy of the Fund to make monthly distributions of all or substantially all of its net investment income and to distribute annually all or substantially all of its net realized capital gains. Distributions are paid in cash and cannot be automatically reinvested in additional shares of the Fund. Distributions to shareholders are recorded on the ex-dividend date. Distributions to shareholders are determined in accordance with income tax regulations, which may differ from U.S. GAAP. As required by U.S. GAAP, only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Notes to Financial Statements — continued
The tax character of distributions declared for the year ended January 31, 2018 and the period ended January 31, 2017 was as follows:
| | | | | | | | |
| | | Year Ended January 31, 2018 | | | Period Ended January 31, 2017(1) | |
|
Distributions declared from: | |
Tax-exempt income | | $ | 313,820 | | | $ | 135,352 | |
| (1) | For the period from the start of business, March 30, 2016, to January 31, 2017. |
During the year ended January 31, 2018, accumulated net realized loss was decreased by $30,948, accumulated undistributed net investment income was decreased by $30,950 and paid-in capital was increased by $2 due to differences between book and tax accounting for the Fund’s investment in the Portfolio. These reclassifications had no effect on the net assets or net asset value per share of the Fund.
As of January 31, 2018, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
| | | | |
Undistributed tax-exempt income | | $ | 13,198 | |
Deferred capital losses | | $ | (297,991 | ) |
Net unrealized appreciation | | $ | 170,017 | |
Other temporary differences | | $ | (44 | ) |
The differences between components of distributable earnings (accumulated losses) on a tax basis and the amounts reflected in the Statement of Assets and Liabilities are primarily due to the Fund’s investment in the Portfolio and the timing of recognizing distributions to shareholders.
At January 31, 2018, the Fund, for federal income tax purposes, had deferred capital losses of $297,991 which would reduce its taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at January 31, 2018, $244,032 are short-term and $53,959 are long-term.
3 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Eaton Vance Management (EVM) as compensation for investment advisory services rendered to the Fund. The fee is computed at an annual rate of 0.32% of the Fund’s average daily net assets that are not invested in other investment companies for which EVM or its affiliates serve as investment adviser and receive an advisory fee (“Direct Assets”) up to $1 billion and is payable monthly. On Direct Assets of $1 billion and over, the annual fee is reduced. For the year ended January 31, 2018, the Fund incurred no investment adviser fee on Direct Assets. To the extent the Fund’s assets are invested in the Portfolio, the Fund is allocated its share of the Portfolio’s investment adviser fee. The Portfolio has engaged Boston Management and Research (BMR), a subsidiary of EVM, to render investment advisory services. See Note 2 of the Portfolio’s Notes to Financial Statements which are included elsewhere in this report. EVM also serves as the administrator of the Fund, but receives no compensation.
The Trust, on behalf of the Fund, has entered into an operations agreement with EVM pursuant to which EVM provides the Fund with services required for it to operate as a NextShares exchange-traded managed fund in accordance with the exemptive order obtained by EVM and the Trust. Pursuant to the agreement, the Fund pays EVM a monthly fee at an annual rate of 0.05% of the Fund’s average daily net assets provided the average net assets of NextShares funds sponsored by EVM (“Covered Assets”) are less than $10 billion. The annual rate is reduced if Covered Assets are $10 billion and above. For the year ended January 31, 2018, the operations agreement fee amounted to $7,053 or 0.05% of the Fund’s average daily net assets.
EVM has agreed to reimburse the Fund’s expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only) exceed 0.35% of the Fund’s average daily net assets through May 31, 2018. Thereafter, the reimbursement may be changed or terminated at any time. Pursuant to this agreement, EVM was allocated $102,751 of the Fund’s operating expenses for the year ended January 31, 2018.
Trustees and officers of the Fund who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Fund out of the investment adviser fee. Certain officers and Trustees of the Fund and the Portfolio are officers of the above organizations.
4 Investment Transactions
For the year ended January 31, 2018, increases and decreases in the Fund’s investment in the Portfolio aggregated $1,575,152 and $17,482,227, respectively. In addition, a Portfolio transaction fee is imposed by the Portfolio on the combined daily inflows or outflows of the Fund and the Portfolio’s
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Notes to Financial Statements — continued
other investors as more fully described at Note 1H of the Portfolio’s Notes to Financial Statements included herein. Such fee is allocated to the Fund based on its pro-rata interest in the Portfolio. The amount of the Portfolio transaction fee imposed on the Fund, if any, and the allocation of such fee are presented as Other capital on the Statements of Changes in Net Assets.
5 Capital Share Transactions
The Trust may issue an unlimited number of shares of capital stock (no par value per share) in one or more series (such as the Fund). The Fund issues and redeems shares only in blocks of 25,000 shares or multiples thereof (“Creation Units”). The Fund issues and redeems Creation Units in return for the securities, other instruments and/or cash (the “Basket”) that the Fund specifies each business day. Creation Units may be purchased or redeemed only by or through Authorized Participants, which are broker-dealers or institutional investors that have entered into agreements with the Fund’s distributor for this purpose. The Fund imposes a transaction fee on Creation Units issued and redeemed to offset the estimated cost to the Fund of processing the transaction, which is paid by the Authorized Participants directly to a third-party administrator. In addition, Authorized Participants pay the Fund a variable charge for converting the Basket to or from the desired portfolio composition. Such variable charges are reflected as Transaction fees on the Statements of Changes in Net Assets.
At January 31, 2018, EVM owned approximately 95.6% of the outstanding shares of the Fund.
6 Stock Split
On December 13, 2017, the Trustees of the Fund approved a 2-for-1 stock split, effective March 9, 2018. The stock split will have no impact on the overall value of a shareholder’s investment in the Fund.
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Report of Independent Registered Public Accounting Firm
To the Trustees of Eaton Vance NextShares Trust II and Shareholders of Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares (the “Fund”) (constituting Eaton Vance NextShares Trust II), as of January 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year ended January 31, 2018 and for the period from the start of business, March 30, 2016 to January 31, 2017, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2018, and the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year ended January 31, 2018 and for the period from the start of business, March 30, 2016 to January 31, 2017, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
March 21, 2018
We have served as the auditor of one or more Eaton Vance investment companies since 1959.
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Federal Tax Information (Unaudited)
The Form 1099-DIV you receive in February 2019 will show the tax status of all distributions paid to your account in calendar year 2018. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund. As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding exempt-interest dividends.
Exempt-Interest Dividends. For the fiscal year ended January 31, 2018, the Fund designates 100.00% of distributions from net investment income as an exempt-interest dividend.
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments
| | | | | | | | |
| Tax-Exempt Investments — 93.7% | |
| | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Bond Bank — 0.1% | |
New York Environmental Facilities Corp., Revolving Fund Revenue, 5.00%, 6/15/29 | | $ | 50 | | | $ | 52,369 | |
Oklahoma Water Resources Board,
4.00%, 10/1/31 | | | 795 | | | | 874,556 | |
| | | | | | | | | |
| | | $ | 926,925 | |
| | | | | | | | | |
|
Education — 5.0% | |
Alabama Public School and College Authority, 5.00%, 5/1/23 | | $ | 500 | | | $ | 575,160 | |
Alabama Public School and College Authority, 5.00%, 5/1/24 | | | 500 | | | | 585,100 | |
Brownsburg 1999 School Building Corp., IN, 5.00%, 2/5/24 | | | 235 | | | | 272,273 | |
Brownsburg 1999 School Building Corp., IN, 5.00%, 2/5/25 | | | 200 | | | | 234,486 | |
Brownsburg 1999 School Building Corp., IN, 5.00%, 2/5/26 | | | 565 | | | | 668,288 | |
Colorado Educational and Cultural Facilities Authority, (University of Denver),
4.00%, 3/1/30 | | | 150 | | | | 161,967 | |
Colorado Educational and Cultural Facilities Authority, (University of Denver),
4.00%, 3/1/31 | | | 260 | | | | 278,603 | |
Colorado Educational and Cultural Facilities Authority, (University of Denver),
4.00%, 3/1/32 | | | 2,205 | | | | 2,353,771 | |
Colorado School of Mines, 5.00%, 12/1/30 | | | 340 | | | | 399,724 | |
Colorado School of Mines, 5.00%, 12/1/31 | | | 360 | | | | 421,895 | |
Colorado State University, 4.00%, 3/1/33 | | | 2,000 | | | | 2,156,780 | |
Florida Higher Educational Facilities Financing Authority, (Nova Southeastern University), 5.00%, 4/1/28 | | | 400 | | | | 456,908 | |
Florida Higher Educational Facilities Financing Authority, (Nova Southeastern University), 5.00%, 4/1/29 | | | 1,000 | | | | 1,136,850 | |
Florida Higher Educational Facilities Financing Authority, (Nova Southeastern University), 5.00%, 4/1/30 | | | 750 | | | | 848,010 | |
Florida Higher Educational Facilities Financing Authority, (Nova Southeastern University), 5.00%, 4/1/31 | | | 250 | | | | 281,523 | |
Harris County Cultural Education Facilities Finance Corp., TX, (Baylor College of Medicine), 5.00%, 11/15/22 | | | 650 | | | | 737,925 | |
Kokomo-Center Schools Building Corp., IN, 5.00%, 1/15/23 | | | 430 | | | | 485,986 | |
Kokomo-Center Schools Building Corp., IN, 5.00%, 7/15/23 | | | 235 | | | | 268,245 | |
Kokomo-Center Schools Building Corp., IN, 5.00%, 1/15/24 | | | 450 | | | | 515,880 | |
Kokomo-Center Schools Building Corp., IN, 5.00%, 7/15/24 | | | 385 | | | | 445,252 | |
Kokomo-Center Schools Building Corp., IN, 5.00%, 7/15/25 | | | 540 | | | | 630,472 | |
Kokomo-Center Schools Building Corp., IN, 5.00%, 1/15/26 | | | 555 | | | | 649,700 | |
Kokomo-Center Schools Building Corp., IN, 5.00%, 7/15/26 | | | 500 | | | | 588,870 | |
Louisiana Public Facilities Authority, (Tulane University), 5.00%, 12/15/27 | | | 1,105 | | | | 1,289,999 | |
Lycoming County Authority, PA, (Pennsylvania College of Technology), 5.00%, 10/1/23 | | | 300 | | | | 339,540 | |
Lycoming County Authority, PA, (Pennsylvania College of Technology), 5.00%, 10/1/24 | | | 250 | | | | 286,485 | |
Metropolitan State University of Denver, CO, (Aerospace and Engineering Sciences Building), 4.00%, 12/1/28 | | | 715 | | | | 779,665 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Education (continued) | |
Metropolitan State University of Denver, CO, (Aerospace and Engineering Sciences Building), 4.00%, 12/1/29 | | $ | 400 | | | $ | 432,944 | |
Metropolitan State University of Denver, CO, (Aerospace and Engineering Sciences Building), 4.00%, 12/1/30 | | | 225 | | | | 241,729 | |
Metropolitan State University of Denver, CO, (Aerospace and Engineering Sciences Building), 4.00%, 12/1/31 | | | 300 | | | | 320,355 | |
Metropolitan State University of Denver, CO, (Aerospace and Engineering Sciences Building), 5.00%, 12/1/27 | | | 625 | | | | 737,912 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Texas A&M University - Cain Hall Redevelopment), 5.00%, 4/1/24 | | | 220 | | | | 253,948 | |
New Jersey Educational Facilities Authority, (Princeton University), 5.00%, 7/1/33 | | | 2,700 | | | | 3,235,464 | |
North Carolina Capital Facilities Finance Agency, (Davidson College), 5.00%, 3/1/29 | | | 200 | | | | 223,146 | |
Oregon Facilities Authority, (Linfield College), 5.00%, 10/1/23 | | | 100 | | | | 113,973 | |
Oregon Facilities Authority, (Linfield College), 5.00%, 10/1/26 | | | 150 | | | | 171,503 | |
Oregon Facilities Authority, (Linfield College), 5.00%, 10/1/27 | | | 425 | | | | 481,253 | |
Oregon Facilities Authority, (Reed College), 4.00%, 7/1/31 | | | 300 | | | | 327,528 | |
Oregon Facilities Authority, (Reed College), 4.00%, 7/1/32 | | | 250 | | �� | | 271,435 | |
Red River Education Financing Corp., TX, (Texas Christian University), 5.00%, 3/15/23 | | | 120 | | | | 137,056 | |
Red River Education Financing Corp., TX, (Texas Christian University), 5.00%, 3/15/24 | | | 100 | | | | 116,133 | |
Red River Education Financing Corp., TX, (Texas Christian University), 5.00%, 3/15/31 | | | 375 | | | | 433,650 | |
S.M. Educational Building Corp., MS, 5.00%, 9/1/25 | | | 250 | | | | 294,613 | |
Saginaw Valley State University, MI, 5.00%, 7/1/26 | | | 750 | | | | 881,512 | |
Saginaw Valley State University, MI, 5.00%, 7/1/27 | | | 750 | | | | 873,517 | |
Saginaw Valley State University, MI, 5.00%, 7/1/28 | | | 1,000 | | | | 1,158,190 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Hendrick Medical Center), 5.00%, 9/1/22 | | | 520 | | | | 582,889 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Hendrick Medical Center), 5.00%, 9/1/23 | | | 250 | | | | 285,008 | |
University of North Carolina at Charlotte, 4.00%, 10/1/33 | | | 500 | | | | 538,180 | |
University of Washington, 5.00%, 4/1/25(1) | | | 2,500 | | | | 2,966,650 | |
Western Michigan University, 5.00%, 11/15/24 | | | 500 | | | | 580,945 | |
| | | | | | | | | |
| | | $ | 33,508,890 | |
| | | | | | | | | |
|
Electric Utilities — 2.0% | |
Brownsville, TX, Utilities System Revenue, 5.00%, 9/1/29 | | $ | 1,000 | | | $ | 1,158,180 | |
Energy Northwest, WA, Wind Project Revenue, 5.00%, 7/1/25 | | | 500 | | | | 581,900 | |
Energy Northwest, WA, Wind Project Revenue, 5.00%, 7/1/26 | | | 1,000 | | | | 1,155,760 | |
Fayetteville Public Works Commission, NC, 5.00%, 3/1/25 | | | 1,000 | | | | 1,181,200 | |
Garland, TX, Electric Utility System Revenue, 5.00%, 3/1/32 | | | 250 | | | | 284,100 | |
Lower Colorado River Authority, TX, (LCRA Transmission Services Corp.), 5.00%, 5/15/24 | | | 100 | | | | 115,842 | |
| | | | |
| | 16 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Electric Utilities (continued) | |
Marquette Board of Light and Power, MI, 5.00%, 7/1/22 | | $ | 230 | | | $ | 257,561 | |
Marquette Board of Light and Power, MI, 5.00%, 7/1/23 | | | 450 | | | | 510,525 | |
Marquette Board of Light and Power, MI, 5.00%, 7/1/24 | | | 475 | | | | 546,782 | |
Marquette Board of Light and Power, MI, 5.00%, 7/1/25 | | | 345 | | | | 399,741 | |
Marquette Board of Light and Power, MI, 5.00%, 7/1/27 | | | 735 | | | | 849,491 | |
Minnesota Municipal Power Agency, 5.00%, 10/1/23 | | | 230 | | | | 264,509 | |
North Carolina Municipal Power Agency No. 1, (Catawba), 5.00%, 1/1/29 | | | 500 | | | | 584,800 | |
North Carolina Municipal Power Agency No. 1, (Catawba), 5.00%, 1/1/30 | | | 1,000 | | | | 1,163,060 | |
Public Power Generation Agency, NE, (Whelan Energy Center Unit 2), 5.00%, 1/1/23 | | | 1,325 | | | | 1,497,541 | |
Public Power Generation Agency, NE, (Whelan Energy Center Unit 2), 5.00%, 1/1/25 | | | 500 | | | | 580,625 | |
Redding Joint Powers Financing Authority, CA, Electric System Revenue, 4.00%, 6/1/23 | | | 125 | | | | 136,190 | |
Redding Joint Powers Financing Authority, CA, Electric System Revenue, 5.00%, 6/1/24 | | | 300 | | | | 347,265 | |
Redding Joint Powers Financing Authority, CA, Electric System Revenue, 5.00%, 6/1/26 | | | 250 | | | | 291,675 | |
Springfield Electric System Revenue, IL, 5.00%, 3/1/22 | | | 500 | | | | 553,520 | |
Springfield Electric System Revenue, IL, 5.00%, 3/1/27 | | | 250 | | | | 284,583 | |
Springfield Electric System Revenue, IL, 5.00%, 3/1/28 | | | 250 | | | | 283,380 | |
Springfield Electric System Revenue, IL, 5.00%, 3/1/29 | | | 250 | | | | 282,188 | |
Walnut Energy Center Authority, CA, 5.00%, 1/1/33 | | | 250 | | | | 288,422 | |
| | | | | | | | | |
| | | $ | 13,598,840 | |
| | | | | | | | | |
|
Escrowed / Prerefunded — 0.1% | |
Metropolitan Transportation Authority, NY, Prerefunded to 11/15/22, 5.00%, 11/15/41 | | $ | 85 | | | $ | 97,670 | |
Wisconsin Health and Educational Facilities Authority, (Ministry Health Care), Prerefunded to 8/15/22, 5.00%, 8/15/32 | | | 500 | | | | 570,795 | |
| | | | | | | | | |
| | | $ | 668,465 | |
| | | | | | | | | |
|
General Obligations — 30.6% | |
Adams 12 Five Star Schools, CO, 5.00%, 12/15/32 | | $ | 2,500 | | | $ | 2,929,250 | |
Addison, TX, 5.00%, 2/15/26 | | | 270 | | | | 306,401 | |
Agua Fria Union High School District No. 216, AZ, 4.00%, 7/1/29 | | | 175 | | | | 191,466 | |
Anchorage, AK, 5.00%, 9/1/23 | | | 750 | | | | 862,252 | |
Anchorage, AK, 5.00%, 9/1/24 | | | 250 | | | | 291,830 | |
Anchorage, AK, 5.00%, 9/1/25 | | | 750 | | | | 882,697 | |
Anchorage, AK, 5.00%, 9/1/27 | | | 780 | | | | 922,155 | |
Anne Arundel County, MD, 5.00%, 10/1/26 | | | 1,325 | | | | 1,582,209 | |
Arkansas, 4.00%, 6/1/28 | | | 500 | | | | 545,175 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
General Obligations (continued) | |
Avon, OH, 4.00%, 12/1/31 | | $ | 590 | | | $ | 634,297 | |
Bayfield School District No. 10 JT-R, CO, 5.00%, 12/1/32 | | | 1,250 | | | | 1,451,050 | |
Belding Area Schools, MI, 5.00%, 5/1/28 | | | 250 | | | | 293,258 | |
Belding Area Schools, MI, 5.00%, 5/1/30 | | | 250 | | | | 290,643 | |
Belton School District No. 124, MO,
5.50%, 3/1/32 | | | 500 | | | | 612,515 | |
Birmingham Public Schools, MI,
4.00%, 11/1/22 | | | 300 | | | | 329,463 | |
Boston, MA, 4.00%, 4/1/30 | | | 1,500 | | | | 1,663,755 | |
Boston, MA, 4.00%, 4/1/31 | | | 1,500 | | | | 1,656,045 | |
Brookline, MA, 4.00%, 3/1/30 | | | 185 | | | | 204,616 | |
Bryant School District No. 25, AR,
3.00%, 2/1/24 | | | 1,035 | | | | 1,062,210 | |
Bryant School District No. 25, AR,
3.00%, 2/1/25 | | | 1,065 | | | | 1,084,788 | |
Bryant School District No. 25, AR,
3.00%, 2/1/26 | | | 800 | | | | 809,080 | |
Burlington, VT, 5.00%, 11/1/23 | | | 450 | | | | 514,003 | |
Burlington, VT, 5.00%, 11/1/24 | | | 400 | | | | 463,064 | |
Burlington, VT, 5.00%, 11/1/25 | | | 400 | | | | 464,820 | |
Burlington, VT, 5.00%, 11/1/26 | | | 250 | | | | 292,823 | |
Burlington, VT, 5.00%, 11/1/27 | | | 225 | | | | 261,830 | |
Burlington, VT, 5.00%, 11/1/28 | | | 370 | | | | 428,397 | |
California, 4.00%, 9/1/26 | | | 750 | | | | 846,892 | |
California, 4.00%, 9/1/27 | | | 240 | | | | 269,218 | |
California, 4.00%, 9/1/28 | | | 150 | | | | 164,844 | |
California, 4.00%, 9/1/31 | | | 400 | | | | 434,788 | |
California, 5.00%, 8/1/24 | | | 1,500 | | | | 1,769,895 | |
California, 5.00%, 8/1/26 | | | 2,010 | | | | 2,392,443 | |
California, 5.00%, 8/1/32 | | | 1,590 | | | | 1,869,983 | |
California, 5.25%, 9/1/23 | | | 500 | | | | 563,440 | |
Central Dauphin School District, PA, 5.00%, 2/1/29 | | | 500 | | | | 583,495 | |
Chester County, PA, 4.00%, 11/15/33 | | | 2,100 | | | | 2,291,772 | |
Colonial School District, PA, 5.00%, 2/15/29 | | | 100 | | | | 117,524 | |
Colonial School District, PA, 5.00%, 2/15/31 | | | 100 | | | | 116,775 | |
Colonial School District, PA, 5.00%, 2/15/32 | | | 100 | | | | 116,700 | |
Colonial School District, PA, 5.00%, 2/15/33 | | | 200 | | | | 232,804 | |
Cook County School District No. 25, (Arlington Heights), IL, 5.00%, 12/15/29 | | | 1,000 | | | | 1,156,390 | |
Cook County School District No. 25, (Arlington Heights), IL, 5.00%, 12/15/30 | | | 2,000 | | | | 2,301,000 | |
Cook County School District No. 25, (Arlington Heights), IL, 5.00%, 12/15/31 | | | 1,000 | | | | 1,147,990 | |
Cook County School District No. 25, (Arlington Heights), IL, 5.00%, 12/15/32 | | | 630 | | | | 720,607 | |
Cuyahoga Community College District, OH, 4.00%, 2/1/27 | | | 1,000 | | | | 1,088,440 | |
Cuyahoga Community College District, OH, 4.00%, 2/1/28 | | | 750 | | | | 809,062 | |
Dare County, NC, Limited Obligation Bonds, 4.00%, 6/1/31 | | | 125 | | | | 132,823 | |
Deer Valley Unified School District No. 97, AZ, 5.00%, 7/1/23 | | | 250 | | | | 288,298 | |
Delaware County, OH, 4.00%, 12/1/27 | | | 150 | | | | 164,900 | |
| | | | |
| | 17 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
General Obligations (continued) | |
Delaware County, OH, 4.00%, 12/1/28 | | $ | 255 | | | $ | 276,749 | |
Delaware County, OH, 4.00%, 12/1/29 | | | 175 | | | | 188,647 | |
Dowagiac Union School District, MI,
4.00%, 5/1/23 | | | 350 | | | | 383,232 | |
Dowagiac Union School District, MI,
4.00%, 5/1/24 | | | 250 | | | | 275,358 | |
Dowagiac Union School District, MI,
4.00%, 5/1/25 | | | 630 | | | | 696,226 | |
Dowagiac Union School District, MI,
4.00%, 5/1/26 | | | 350 | | | | 385,878 | |
DuPage and Cook Counties Community Consolidated School District No. 181, IL, 4.00%, 1/15/29 | | | 315 | | | | 343,183 | |
DuPage County Community Unit School District No. 200, IL, 4.00%, 11/1/22 | | | 1,500 | | | | 1,630,215 | |
Eagle-Vail Metropolitan District, CO,
4.00%, 12/1/29 | | | 75 | | | | 82,754 | |
Eagle-Vail Metropolitan District, CO,
4.00%, 12/1/30 | | | 175 | | | | 192,143 | |
Eagle-Vail Metropolitan District, CO,
4.00%, 12/1/32 | | | 210 | | | | 229,253 | |
Edgewood City School District, OH,
5.25%, 12/1/33 | | | 500 | | | | 573,315 | |
Edinburg, TX, 5.00%, 3/1/22 | | | 1,215 | | | | 1,352,076 | |
Edinburg, TX, 5.00%, 3/1/23 | | | 1,235 | | | | 1,399,712 | |
Edinburg, TX, 5.00%, 3/1/24 | | | 315 | | | | 362,036 | |
Edinburg, TX, 5.00%, 3/1/25 | | | 310 | | | | 360,220 | |
Ennis Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/22 | | | 500 | | | | 567,990 | |
Florida Board of Education, 2.70%, 6/1/27 | | | 1,800 | | | | 1,819,872 | |
Florida Board of Education, 4.00%, 6/1/31 | | | 1,210 | | | | 1,314,992 | |
Florida Board of Education, 4.00%, 6/1/33 | | | 2,905 | | | | 3,134,902 | |
Florida, (Department of Transportation), 5.00%, 7/1/28 | | | 2,945 | | | | 3,586,715 | |
Florida, (Department of Transportation), 5.00%, 7/1/29 | | | 2,500 | | | | 3,025,975 | |
Flower Mound, TX, 4.00%, 3/1/24 | | | 700 | | | | 774,697 | |
Flower Mound, TX, 4.00%, 3/1/27 | | | 1,000 | | | | 1,092,700 | |
Flower Mound, TX, 4.00%, 3/1/32 | | | 390 | | | | 415,198 | |
Flower Mound, TX, 4.00%, 3/1/33 | | | 350 | | | | 371,329 | |
Flower Mound, TX, 5.00%, 3/1/25 | | | 715 | | | | 841,483 | |
Flower Mound, TX, 5.00%, 3/1/26 | | | 960 | | | | 1,142,333 | |
Flower Mound, TX, 5.00%, 3/1/27 | | | 510 | | | | 605,217 | |
Frenship Independent School District, TX, 5.00%, 2/15/32 | | | 2,000 | | | | 2,287,440 | |
Frisco Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/30 | | | 400 | | | | 432,848 | |
Georgia, 5.00%, 2/1/32 | | | 1,000 | | | | 1,189,670 | |
Germantown, TN, 4.00%, 8/1/31 | | | 1,030 | | | | 1,154,342 | |
Germantown, TN, 4.00%, 8/1/33 | | | 290 | | | | 322,683 | |
Gladstone School District No. 115, Clackamas County, OR, 0.00%, 6/15/27 | | | 1,500 | | | | 1,142,175 | |
Glen Rock Board of Education, NJ, 5.00%, 9/1/30 | | | 250 | | | | 292,280 | |
Glen Rock Board of Education, NJ, 5.00%, 9/1/31 | | | 345 | | | | 400,893 | |
Granville Exempted Village School District, OH, 5.00%, 12/1/26 | | | 500 | | | | 591,110 | |
Harlandale Independent School District, TX, 5.00%, 8/1/29 | | | 845 | | | | 986,808 | |
Hawaii County, HI, 4.00%, 9/1/31 | | | 2,955 | | | | 3,183,421 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
General Obligations (continued) | |
Homewood, AL, 5.00%, 9/1/28 | | $ | 2,000 | | | $ | 2,356,880 | |
Homewood, AL, 5.00%, 9/1/29 | | | 2,000 | | | | 2,346,840 | |
Jourdanton Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/23 | | | 340 | | | | 372,249 | |
Jourdanton Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/24 | | | 340 | | | | 376,237 | |
Jourdanton Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/25 | | | 555 | | | | 616,344 | |
Jourdanton Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/26 | | | 500 | | | | 557,760 | |
Kane and DeKalb Counties Community Unit School District No. 301, IL, 3.00%, 1/1/22 | | | 195 | | | | 199,271 | |
Kane and DeKalb Counties Community Unit School District No. 301, IL, 3.00%, 1/1/23 | | | 200 | | | | 204,036 | |
Kane, Cook and DuPage Counties School District No. 46, IL, 5.00%, 1/1/29 | | | 1,000 | | | | 1,136,620 | |
Kane, McHenry, Cook and DeKalb Counties Community Unit School District No. 300, IL, 5.00%, 1/1/28 | | | 2,370 | | | | 2,781,669 | |
Kauai County, HI, 4.00%, 8/1/33 | | | 125 | | | | 134,194 | |
Kauai County, HI, 5.00%, 8/1/25 | | | 100 | | | | 119,103 | |
Kauai County, HI, 5.00%, 8/1/26 | | | 150 | | | | 180,713 | |
Kendall, Kane and Will Counties Community Unit School District No. 308, IL, 5.00%, 10/1/23 | | | 250 | | | | 284,933 | |
Kent, WA, 4.00%, 12/1/30 | | | 1,000 | | | | 1,082,400 | |
Lakeland, FL, 5.00%, 10/1/25 | | | 635 | | | | 743,509 | |
Lakeland, FL, 5.00%, 10/1/28 | | | 1,500 | | | | 1,738,125 | |
Lakeland, FL, 5.00%, 10/1/30 | | | 1,000 | | | | 1,149,570 | |
Lakewood, OH, 4.00%, 12/1/30 | | | 400 | | | | 431,136 | |
Lancaster City School District, OH,
0.00%, 10/1/33 | | | 1,000 | | | | 587,910 | |
Laredo Community College District, TX, 4.00%, 8/1/22 | | | 240 | | | | 260,117 | |
Laredo Community College District, TX, 5.00%, 8/1/23 | | | 165 | | | | 188,983 | |
Laredo Community College District, TX, 5.00%, 8/1/24 | | | 140 | | | | 162,326 | |
Laredo Community College District, TX, 5.00%, 8/1/25 | | | 110 | | | | 128,449 | |
Laredo Community College District, TX, 5.00%, 8/1/26 | | | 320 | | | | 377,414 | |
Leander Independent School District, TX, (PSF Guaranteed), 0.00%, 8/15/31 | | | 850 | | | | 513,119 | |
Lewisville Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/27 | | | 1,600 | | | | 1,768,544 | |
Little Rock School District, AR, 3.00%, 2/1/23 | | | 400 | | | | 409,700 | |
Los Angeles Community College District, CA, (Election of 2008), 4.00%, 8/1/33 | | | 2,000 | | | | 2,164,220 | |
Loudoun County, VA, 2.75%, 12/1/31 | | | 780 | | | | 761,506 | |
Lubbock, TX, 4.00%, 2/15/31 | | | 300 | | | | 320,394 | |
Marin Community College District, CA, 4.00%, 8/1/33 | | | 500 | | | | 545,375 | |
McKinney, TX, 5.00%, 8/15/23 | | | 2,000 | | | | 2,316,360 | |
McLean County Public Building Commission, IL, 5.00%, 12/1/28 | | | 200 | | | | 231,892 | |
| | | | |
| | 18 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
General Obligations (continued) | |
Miami-Dade County School District, FL, 5.00%, 3/15/28 | | $ | 300 | | | $ | 346,092 | |
Miami-Dade County, FL, 5.00%, 7/1/29 | | | 1,000 | | | | 1,168,210 | |
Miamisburg City School District, OH,
4.00%, 12/1/31 | | | 300 | | | | 319,710 | |
Milpitas Unified School District, CA, (Election of 2012), 4.00%, 8/1/32 | | | 560 | | | | 594,535 | |
Minneapolis Special School District No. 1, MN, 3.00%, 2/1/23 | | | 250 | | | | 260,500 | |
Minneapolis-St. Paul Metropolitan Council, 4.00%, 3/1/28 | | | 2,000 | | | | 2,257,920 | |
Minnesota, 5.00%, 10/1/33 | | | 1,535 | | | | 1,830,610 | |
Monroe, NC, Limited Obligation Bonds, 3.00%, 3/1/23 | | | 500 | | | | 520,590 | |
Montgomery County, PA, 4.00%, 7/1/27 | | | 1,110 | | | | 1,229,947 | |
Mountain View-Los Altos Union High School District, CA, 0.00%, 8/1/27 | | | 175 | | | | 134,510 | |
New York, NY, 5.00%, 8/1/25 | | | 2,000 | | | | 2,369,920 | |
Newberry County, SC, 5.00%, 5/1/22 | | | 1,500 | | | | 1,692,105 | |
Newton, MA, 4.00%, 9/1/33 | | | 1,260 | | | | 1,386,265 | |
North Fond du Lac School District, WI, 4.00%, 4/1/25 | | | 1,240 | | | | 1,368,117 | |
North Royalton City School District, OH, 4.00%, 12/1/32 | | | 600 | | | | 640,422 | |
Oak Ridge, TN, 3.00%, 6/1/28 | | | 1,515 | | | | 1,530,907 | |
Oakland Schools Intermediate School District, MI, 5.00%, 5/1/25 | | | 920 | | | | 1,086,262 | |
Olentangy Local School District, OH,
4.00%, 12/1/27 | | | 415 | | | | 453,699 | |
Oregon, 1.65%, 6/1/23 | | | 185 | | | | 179,848 | |
Oregon, 1.70%, 12/1/23 | | | 260 | | | | 251,573 | |
Oregon, 1.85%, 6/1/24 | | | 155 | | | | 150,800 | |
Oregon, 1.90%, 12/1/24 | | | 365 | | | | 353,820 | |
Oregon, 2.05%, 6/1/25 | | | 300 | | | | 294,765 | |
Oregon, 2.15%, 12/1/23 | | | 735 | | | | 737,800 | |
Oregon, 2.20%, 6/1/24 | | | 1,565 | | | | 1,569,585 | |
Oregon, 2.25%, 12/1/24 | | | 1,000 | | | | 1,004,410 | |
Oregon, 2.35%, 6/1/25 | | | 365 | | | | 367,201 | |
Oregon, 2.40%, 12/1/25 | | | 1,050 | | | | 1,045,516 | |
Oregon, 2.50%, 6/1/26 | | | 1,625 | | | | 1,604,460 | |
Oregon, 2.55%, 12/1/26 | | | 980 | | | | 967,740 | |
Oregon, 2.55%, 6/1/28 | | | 425 | | | | 425,327 | |
Oregon, 2.60%, 12/1/28 | | | 175 | | | | 174,340 | |
Oregon, 3.10%, 12/1/33 | | | 2,500 | | | | 2,426,625 | |
Oregon, 5.00%, 6/1/27 | | | 310 | | | | 374,331 | |
Oregon, 5.00%, 12/1/27 | | | 325 | | | | 391,011 | |
Owen J. Roberts School District, PA, 4.00%, 5/15/29 | | | 750 | | | | 790,140 | |
Pasadena, TX, 4.00%, 2/15/28 | | | 500 | | | | 542,730 | |
Pasadena, TX, 4.00%, 2/15/29 | | | 250 | | | | 269,700 | |
Pasadena, TX, 4.00%, 2/15/30 | | | 500 | | | | 537,410 | |
Pasadena, TX, 4.00%, 2/15/31 | | | 750 | | | | 803,640 | |
Pendleton School District No. 16R, Umatilla County, OR, 0.00%, 6/15/27 | | | 1,060 | | | | 806,395 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
General Obligations (continued) | |
Penn Hills, PA, 5.00%, 12/1/27 | | $ | 1,000 | | | $ | 1,174,450 | |
Pennsylvania, 4.00%, 6/15/31 | | | 235 | | | | 247,967 | |
Pennsylvania, 5.00%, 7/1/24 | | | 650 | | | | 747,812 | |
Peoria, IL, 5.00%, 1/1/27 | | | 500 | | | | 573,000 | |
Pflugerville, TX, 5.00%, 8/1/26 | | | 100 | | | | 119,200 | |
Pflugerville, TX, 5.00%, 8/1/27 | | | 150 | | | | 180,404 | |
Pflugerville, TX, 5.00%, 8/1/29 | | | 100 | | | | 119,062 | |
Pflugerville, TX, 5.00%, 8/1/30 | | | 185 | | | | 219,244 | |
Pflugerville, TX, 5.00%, 8/1/31 | | | 245 | | | | 289,453 | |
Pflugerville, TX, 5.00%, 8/1/32 | | | 100 | | | | 117,779 | |
Pflugerville, TX, 5.00%, 8/1/33 | | | 150 | | | | 175,986 | |
Pittsburg Unified School District, CA, 5.00%, 8/1/28 | | | 1,095 | | | | 1,326,187 | |
Pittsburg Unified School District, CA, 5.00%, 8/1/29 | | | 1,150 | | | | 1,383,093 | |
Pittsburg Unified School District, CA, 5.00%, 8/1/30 | | | 1,160 | | | | 1,385,411 | |
Pittsburg Unified School District, CA, (Election of 2014), 5.00%, 8/1/30 | | | 420 | | | | 501,614 | |
Pittsburg Unified School District, CA, (Election of 2014), 5.00%, 8/1/31 | | | 370 | | | | 439,508 | |
Pittsburg Unified School District, CA, (Election of 2014), 5.00%, 8/1/32 | | | 670 | | | | 792,174 | |
Pleasant Prairie, WI, 2.00%, 9/1/23 | | | 1,000 | | | | 979,650 | |
Prosper Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/24 | | | 1,020 | | | | 1,183,098 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/22 | | | 430 | | | | 492,591 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/23 | | | 445 | | | | 520,485 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/24 | | | 465 | | | | 553,657 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/25 | | | 485 | | | | 585,831 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/26 | | | 505 | | | | 617,549 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/27 | | | 530 | | | | 643,982 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/28 | | | 555 | | | | 669,585 | |
Ravenswood City School District, CA, (Election of 2016), 5.00%, 8/1/29 | | | 575 | | | | 688,810 | |
Rhode Island Health and Educational Building Corp., (Tiverton Public Schools), 5.00%, 5/15/26 | | | 1,000 | | | | 1,179,460 | |
Romeo Community Schools, MI, 5.00%, 5/1/25 | | | 1,000 | | | | 1,171,250 | |
Romeo Community Schools, MI, 5.00%, 5/1/26 | | | 1,270 | | | | 1,493,863 | |
Romeo Community Schools, MI, 5.00%, 5/1/29 | | | 1,000 | | | | 1,167,380 | |
Romeo Community Schools, MI, 5.00%, 5/1/30 | | | 700 | | | | 813,799 | |
Romulus, MI, 4.00%, 11/1/23 | | | 100 | | | | 109,157 | |
Romulus, MI, 4.00%, 11/1/24 | | | 400 | | | | 439,636 | |
| | | | |
| | 19 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
General Obligations (continued) | |
Romulus, MI, 4.00%, 11/1/25 | | $ | 400 | | | $ | 441,120 | |
Romulus, MI, 4.00%, 11/1/26 | | | 500 | | | | 547,345 | |
Romulus, MI, 4.00%, 11/1/27 | | | 500 | | | | 544,055 | |
Romulus, MI, 4.00%, 11/1/28 | | | 500 | | | | 540,065 | |
Romulus, MI, 4.00%, 11/1/29 | | | 240 | | | | 257,330 | |
Romulus, MI, 4.00%, 11/1/30 | | | 250 | | | | 266,980 | |
Romulus, MI, 4.00%, 11/1/31 | | | 250 | | | | 266,268 | |
Romulus, MI, 4.00%, 11/1/32 | | | 300 | | | | 318,882 | |
Romulus, MI, 4.00%, 11/1/33 | | | 250 | | | | 264,850 | |
SCAGO Educational Facilities Corp. for Cherokee School District, SC, 5.00%, 12/1/22 | | | 500 | | | | 568,480 | |
SCAGO Educational Facilities Corp. for Cherokee School District, SC, 5.00%, 12/1/23 | | | 500 | | | | 578,275 | |
School District 27J, Adams and Weld Counties and City and County of Broomfield, CO, 4.00%, 12/1/30 | | | 750 | | | | 811,222 | |
School District 27J, Adams and Weld Counties and City and County of Broomfield, CO, 4.00%, 12/1/31 | | | 250 | | | | 269,678 | |
Seguin Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/29 | | | 400 | | | | 436,380 | |
Seguin Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/30 | | | 300 | | | | 325,152 | |
Seguin Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/31 | | | 200 | | | | 215,920 | |
Seward County Unified School District No. 480, KS, 5.00%, 9/1/29 | | | 2,000 | | | | 2,303,020 | |
Sherwood School District No. 88J, Washington, Clackamas and Yamhill Counties, OR, 0.00%, 6/15/33(1) | | | 3,500 | | | | 1,981,595 | |
South Carolina, 2.00%, 4/1/24 | | | 1,000 | | | | 990,800 | |
South Texas College District, 5.00%, 8/15/30 | | | 1,295 | | | | 1,480,107 | |
Southfield Public Schools, MI, 5.00%, 5/1/25 | | | 1,100 | | | | 1,288,375 | |
Southfield Public Schools, MI, 5.00%, 5/1/27 | | | 1,000 | | | | 1,187,060 | |
Southwestern Community College District, CA, (Election of 2016), 4.00%, 8/1/31 | | | 500 | | | | 546,240 | |
Southwestern Community College District, CA, (Election of 2016), 4.00%, 8/1/33 | | | 575 | | | | 621,719 | |
Spring Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/24 | | | 500 | | | | 587,120 | |
Spring Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/26 | | | 735 | | | | 882,955 | |
St. Vrain Valley School District RE-1J, CO, 5.00%, 12/15/28 | | | 1,700 | | | | 2,030,191 | |
St. Vrain Valley School District RE-1J, CO, 5.00%, 12/15/29 | | | 1,000 | | | | 1,187,240 | |
Stamford, CT, 4.00%, 8/1/27 | | | 750 | | | | 836,797 | |
Sugar Land, TX, 5.00%, 2/15/26 | | | 555 | | | | 660,333 | |
Torrance Unified School District, CA, (Election of 2014), 5.00%, 8/1/30 | | | 515 | | | | 610,847 | |
Torrance Unified School District, CA, (Election of 2014), 5.00%, 8/1/31 | | | 450 | | | | 531,864 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
General Obligations (continued) | |
Trussville, AL, 5.00%, 10/1/31 | | $ | 250 | | | $ | 283,655 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed),
4.00%, 8/15/27 | | | 510 | | | | 565,575 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed),
4.00%, 8/15/28 | | | 530 | | | | 585,062 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed),
4.00%, 8/15/29 | | | 545 | | | | 598,083 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed),
4.00%, 8/15/30 | | | 570 | | | | 622,252 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/22 | | | 395 | | | | 448,341 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/23 | | | 415 | | | | 479,230 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/24 | | | 435 | | | | 510,216 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/25 | | | 460 | | | | 544,783 | |
Tuloso-Midway Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/26 | | | 485 | | | | 570,724 | |
Upper Merion Area School District, PA, 5.00%, 1/15/32 | | | 125 | | | | 145,160 | |
Virginia Resources Authority, (Pooled Financing Program), 5.00%, 11/1/25 | | | 600 | | | | 717,156 | |
Waupun School District, WI, 4.00%, 4/1/24 | | | 105 | | | | 115,012 | |
Waupun School District, WI, 4.00%, 4/1/26 | | | 400 | | | | 436,104 | |
Weatherford Independent School District, TX, (PSF Guaranteed), 0.00%, 2/15/23 | | | 150 | | | | 134,753 | |
Weatherford Independent School District, TX, (PSF Guaranteed), 0.00%, 2/15/24 | | | 150 | | | | 131,129 | |
Weatherford Independent School District, TX, (PSF Guaranteed), 0.00%, 2/15/25 | | | 750 | | | | 634,102 | |
Weatherford Independent School District, TX, (PSF Guaranteed), 0.00%, 2/15/29 | | | 250 | | | | 177,453 | |
Webster Groves School District, MO, 4.00%, 3/1/28 | | | 1,050 | | | | 1,151,682 | |
Webster Groves School District, MO, 4.00%, 3/1/30 | | | 500 | | | | 543,110 | |
West Chester Township, OH, 4.00%, 12/1/27 | | | 400 | | | | 440,624 | |
Will County Community Unit School District No. 365-U, IL, 4.00%, 1/1/30 | | | 750 | | | | 794,332 | |
Will County Community Unit School District No. 365-U, IL, 4.00%, 1/1/31 | | | 750 | | | | 792,180 | |
Williamson County, TX, 5.00%, 2/15/28 | | | 300 | | | | 346,869 | |
Wisconsin, 5.00%, 11/1/26 | | | 3,050 | | | | 3,680,252 | |
York County, PA, 5.00%, 6/1/27 | | | 1,225 | | | | 1,427,039 | |
| | | | | | | | | |
| | | $ | 207,180,901 | |
| | | | | | | | | |
|
Hospital — 11.0% | |
Berks County Industrial Development Authority, PA, (Tower Health),
4.00%, 11/1/33 | | $ | 500 | | | $ | 512,985 | |
Berks County Industrial Development Authority, PA, (Tower Health), 5.00%, 11/1/23 | | | 400 | | | | 455,736 | |
| | | | |
| | 20 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Hospital (continued) | |
Berks County Industrial Development Authority, PA, (Tower Health), 5.00%, 11/1/24 | | $ | 400 | | | $ | 460,648 | |
Berks County Industrial Development Authority, PA, (Tower Health), 5.00%, 11/1/25 | | | 400 | | | | 463,908 | |
Berks County Industrial Development Authority, PA, (Tower Health), 5.00%, 11/1/28 | | | 750 | | | | 865,642 | |
Buffalo and Erie County Industrial Land Development Corp., NY, (Catholic Health System, Inc.), 5.00%, 7/1/25 | | | 250 | | | | 290,950 | |
California Health Facilities Financing Authority, (Adventist Health System/West), 4.00%, 3/1/27 | | | 100 | | | | 106,611 | |
California Health Facilities Financing Authority, (El Camino Hospital), 5.00%, 2/1/29 | | | 750 | | | | 879,585 | |
California Health Facilities Financing Authority, (Stanford Health Care), 5.00%, 11/15/33 | | | 2,000 | | | | 2,366,760 | |
Carroll City-County Hospital Authority, GA, (Tanner Medical Center, Inc.),
4.00%, 7/1/30 | | | 400 | | | | 424,344 | |
Carroll City-County Hospital Authority, GA, (Tanner Medical Center, Inc.),
4.00%, 7/1/31 | | | 450 | | | | 475,682 | |
Charlotte-Mecklenburg Hospital Authority, NC, 5.125%, 1/15/37 | | | 40 | | | | 43,446 | |
Clarke County Hospital Authority, GA, (Piedmont Healthcare, Inc.),
4.00%, 7/1/33 | | | 415 | | | | 436,244 | |
Colorado Health Facilities Authority, (Parkview Medical Center), 5.00%, 9/1/23 | | | 270 | | | | 308,275 | |
Colorado Health Facilities Authority, (Parkview Medical Center), 5.00%, 9/1/25 | | | 260 | | | | 303,261 | |
Colorado Health Facilities Authority, (Parkview Medical Center), 5.00%, 9/1/28 | | | 800 | | | | 930,904 | |
Idaho Health Facilities Authority, (Trinity Health Credit Group), 5.00%, 12/1/30 | | | 750 | | | | 835,282 | |
Illinois Finance Authority, (Mercy Health Corp.), 5.00%, 12/1/29 | | | 590 | | | | 663,425 | |
Illinois Finance Authority, (Riverside Health System), 5.00%, 11/15/24 | | | 1,070 | | | | 1,231,645 | |
Illinois Finance Authority, (Riverside Health System), 5.00%, 11/15/25 | | | 400 | | | | 463,896 | |
Illinois Finance Authority, (Riverside Health System), 5.00%, 11/15/26 | | | 500 | | | | 582,170 | |
Illinois Finance Authority, (Riverside Health System), 5.00%, 11/15/27 | | | 500 | | | | 576,710 | |
Illinois Finance Authority, (Rush University Medical Center), 5.00%, 11/15/31 | | | 1,000 | | | | 1,127,190 | |
Illinois Finance Authority, (Rush University Medical Center), 5.00%, 11/15/32 | | | 1,000 | | | | 1,125,100 | |
Indiana Finance Authority, (Community Foundation of Northwest Indiana Obligated Group), 5.00%, 9/1/24 | | | 500 | | | | 577,370 | |
Indiana Finance Authority, (Parkview Health), 5.00%, 11/1/23 | | | 1,000 | | | | 1,163,260 | |
Indiana Finance Authority, (Parkview Health), 5.00%, 11/1/24 | | | 500 | | | | 583,500 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Hospital (continued) | |
Indiana Finance Authority, (Parkview Health), 5.00%, 11/1/26 | | $ | 300 | | | $ | 359,109 | |
Knox County Health, Educational and Housing Facility Board, TN, (University Health System, Inc.), 5.00%, 9/1/24 | | | 175 | | | | 198,664 | |
Knox County Health, Educational and Housing Facility Board, TN, (University Health System, Inc.), 5.00%, 9/1/30 | | | 1,000 | | | | 1,130,100 | |
Lehigh County General Purpose Authority, PA, (Lehigh Valley Health Network), 4.00%, 7/1/23 | | | 400 | | | | 434,424 | |
Lehigh County General Purpose Authority, PA, (Lehigh Valley Health Network), 5.00%, 7/1/22 | | | 350 | | | | 391,314 | |
Lehigh County General Purpose Authority, PA, (Lehigh Valley Health Network), 5.00%, 7/1/27 | | | 450 | | | | 520,952 | |
Louisiana Public Facilities Authority, (Ochsner Clinic Foundation), 5.00%, 5/15/23 | | | 150 | | | | 170,847 | |
Louisiana Public Facilities Authority, (Ochsner Clinic Foundation), 5.00%, 5/15/25 | | | 250 | | | | 291,750 | |
Louisiana Public Facilities Authority, (Ochsner Clinic Foundation), 5.00%, 5/15/26 | | | 250 | | | | 288,880 | |
Louisiana Public Facilities Authority, (Ochsner Clinic Foundation), 5.00%, 5/15/27 | | | 250 | | | | 287,025 | |
Louisville/Jefferson County Metro Government, KY, (Norton Healthcare, Inc.), 5.00%, 10/1/30 | | | 2,000 | | | | 2,285,940 | |
Louisville/Jefferson County Metro Government, KY, (Norton Healthcare, Inc.), 5.00%, 10/1/31 | | | 1,500 | | | | 1,710,480 | |
Louisville/Jefferson County Metro Government, KY, (Norton Healthcare, Inc.), 5.00%, 10/1/32 | | | 2,000 | | | | 2,274,100 | |
Maryland Health and Higher Educational Facilities Authority, (MedStar Health, Inc.), 5.00%, 8/15/31 | | | 1,000 | | | | 1,125,330 | |
Massachusetts Development Finance Agency, (Berkshire Retirement Community, Inc.), 5.00%, 7/1/25 | | | 595 | | | | 704,807 | |
Massachusetts Development Finance Agency, (South Shore Hospital), 5.00%, 7/1/24 | | | 550 | | | | 632,060 | |
Massachusetts Development Finance Agency, (South Shore Hospital), 5.00%, 7/1/26 | | | 500 | | | | 585,620 | |
Massachusetts Development Finance Agency, (South Shore Hospital), 5.00%, 7/1/27 | | | 500 | | | | 577,885 | |
Massachusetts Development Finance Agency, (South Shore Hospital), 5.00%, 7/1/28 | | | 500 | | | | 575,065 | |
Massachusetts Development Finance Agency, (South Shore Hospital), 5.00%, 7/1/29 | | | 210 | | | | 240,349 | |
Massachusetts Development Finance Agency, (South Shore Hospital), 5.00%, 7/1/30 | | | 330 | | | | 375,854 | |
Massachusetts Development Finance Agency, (South Shore Hospital), 5.00%, 7/1/31 | | | 250 | | | | 283,748 | |
Michigan Finance Authority, (Henry Ford Health System), 5.00%, 11/15/27 | | | 2,500 | | | | 2,900,300 | |
Michigan Finance Authority, (Sparrow Obligated Group), 5.00%, 11/15/24 | | | 500 | | | | 587,495 | |
Michigan Finance Authority, (Trinity Health Credit Group), 5.00%, 12/1/35 | | | 500 | | | | 547,290 | |
| | | | |
| | 21 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Hospital (continued) | |
Missouri Health and Educational Facilities Authority, (CoxHealth), 5.00%, 11/15/31 | | $ | 490 | | | $ | 554,048 | |
Missouri Health and Educational Facilities Authority, (Saint Luke’s Health System), 5.00%, 11/15/31 | | | 1,000 | | | | 1,134,950 | |
Monongalia County Building Commission, WV, (Monongalia Health System Obligated Group), 5.00%, 7/1/23 | | | 500 | | | | 565,255 | |
Monongalia County Building Commission, WV, (Monongalia Health System Obligated Group), 5.00%, 7/1/24 | | | 500 | | | | 571,095 | |
New Hampshire Health and Education Facilities Authority, (Concord Hospital), 5.00%, 10/1/33 | | | 400 | | | | 454,440 | |
New Hanover County, NC, (New Hanover Regional Medical Center), 5.00%, 10/1/24 | | | 2,000 | | | | 2,326,440 | |
New Hanover County, NC, (New Hanover Regional Medical Center), 5.00%, 10/1/26 | | | 500 | | | | 591,685 | |
New Hanover County, NC, (New Hanover Regional Medical Center), 5.00%, 10/1/29 | | | 1,000 | | | | 1,174,000 | |
New Jersey Health Care Facilities Financing Authority, (Princeton HealthCare System), 5.00%, 7/1/22 | | | 800 | | | | 891,576 | |
New Jersey Health Care Facilities Financing Authority, (Princeton HealthCare System), 5.00%, 7/1/25 | | | 1,000 | | | | 1,160,870 | |
New Jersey Health Care Facilities Financing Authority, (Princeton HealthCare System), 5.00%, 7/1/26 | | | 550 | | | | 643,726 | |
New Jersey Health Care Facilities Financing Authority, (Princeton HealthCare System), 5.00%, 7/1/27 | | | 700 | | | | 815,857 | |
New Jersey Health Care Facilities Financing Authority, (Princeton HealthCare System), 5.00%, 7/1/28 | | | 700 | | | | 811,846 | |
New Jersey Health Care Facilities Financing Authority, (Princeton HealthCare System), 5.00%, 7/1/30 | | | 520 | | | | 596,398 | |
New Jersey Health Care Facilities Financing Authority, (Princeton HealthCare System), 5.00%, 7/1/31 | | | 700 | | | | 798,931 | |
New Mexico Hospital Equipment Loan Council, (Presbyterian Healthcare Services), 5.00%, 8/1/24 | | | 100 | | | | 116,143 | |
New York Dormitory Authority, (Memorial Sloan Kettering Cancer Center),
4.00%, 7/1/33 | | | 1,000 | | | | 1,084,880 | |
Norman Regional Hospital Authority, OK, 5.00%, 9/1/25 | | | 1,000 | | | | 1,150,780 | |
Norman Regional Hospital Authority, OK, 5.00%, 9/1/29 | | | 1,000 | | | | 1,147,850 | |
Northampton County General Purpose Authority, PA, (St. Luke’s University Health Network), 5.00%, 8/15/27 | | | 115 | | | | 132,122 | |
Northampton County General Purpose Authority, PA, (St. Luke’s University Health Network), 5.00%, 8/15/28 | | | 500 | | | | 571,545 | |
Ohio, (Cleveland Clinic Health System Obligated Group), 5.00%, 1/1/33 | | | 1,750 | | | | 2,053,100 | |
Ohio, (University Hospitals Health System, Inc.), 5.00%, 1/15/27 | | | 535 | | | | 613,458 | |
Ohio, (University Hospitals Health System, Inc.), 5.00%, 1/15/28 | | | 1,000 | | | | 1,141,320 | |
Ohio, (University Hospitals Health System, Inc.), 5.00%, 1/15/29 | | | 1,000 | | | | 1,136,010 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Hospital (continued) | |
Ohio, (University Hospitals Health System, Inc.), 5.00%, 1/15/30 | | $ | 1,000 | | | $ | 1,130,740 | |
Ohio, (University Hospitals Health System, Inc.), 5.00%, 1/15/31 | | | 1,000 | | | | 1,124,000 | |
Richmond County Hospital Authority, GA, (University Health Services, Inc.), 5.00%, 1/1/24 | | | 630 | | | | 725,420 | |
Richmond County Hospital Authority, GA, (University Health Services, Inc.), 5.00%, 1/1/27 | | | 600 | | | | 701,760 | |
Richmond County Hospital Authority, GA, (University Health Services, Inc.), 5.00%, 1/1/28 | | | 1,000 | | | | 1,163,060 | |
Royal Oak Hospital Finance Authority, MI, (William Beaumont Hospital), 5.00%, 9/1/29 | | | 250 | | | | 278,540 | |
Southcentral Pennsylvania General Authority, (Hanover Hospital, Inc.), 4.00%, 12/1/30 | | | 150 | | | | 150,998 | |
Southcentral Pennsylvania General Authority, (Hanover Hospital, Inc.), 5.00%, 12/1/22 | | | 225 | | | | 249,896 | |
Southcentral Pennsylvania General Authority, (Hanover Hospital, Inc.), 5.00%, 12/1/24 | | | 300 | | | | 339,765 | |
St. Paul Housing and Redevelopment Authority, MN, (Fairview Health Services), 5.00%, 11/15/25 | | | 500 | | | | 590,250 | |
St. Paul Housing and Redevelopment Authority, MN, (Fairview Health Services), 5.00%, 11/15/33 | | | 800 | | | | 928,160 | |
St. Paul Housing and Redevelopment Authority, MN, (HealthPartners Obligated Group), 5.00%, 7/1/30 | | | 625 | | | | 709,300 | |
Stafford County Economic Development Authority, VA, (Mary Washington Healthcare Obligated Group), 5.00%, 6/15/21 | | | 100 | | | | 108,873 | |
Stafford County Economic Development Authority, VA, (Mary Washington Healthcare Obligated Group), 5.00%, 6/15/22 | | | 200 | | | | 221,442 | |
Stafford County Economic Development Authority, VA, (Mary Washington Healthcare Obligated Group), 5.00%, 6/15/23 | | | 300 | | | | 336,816 | |
Stafford County Economic Development Authority, VA, (Mary Washington Healthcare Obligated Group), 5.00%, 6/15/24 | | | 500 | | | | 567,495 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/23 | | | 55 | | | | 63,071 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/24 | | | 350 | | | | 405,094 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/25 | | | 335 | | | | 391,360 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/26 | | | 400 | | | | 467,884 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/27 | | | 305 | | | | 354,538 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/28 | | | 500 | | | | 578,795 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/30 | | | 400 | | | | 459,204 | |
Vermont Educational and Health Buildings Financing Agency, (University of Vermont Medical Center), 5.00%, 12/1/31 | | | 400 | | | | 457,932 | |
| | | | |
| | 22 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Hospital (continued) | |
Wisconsin Health and Educational Facilities Authority, (Agnesian HealthCare, Inc.), 5.00%, 7/1/22 | | $ | 220 | | | $ | 245,513 | |
Wisconsin Health and Educational Facilities Authority, (Agnesian HealthCare, Inc.), 5.00%, 7/1/23 | | | 215 | | | | 243,995 | |
Wisconsin Health and Educational Facilities Authority, (Agnesian HealthCare, Inc.), 5.00%, 7/1/24 | | | 200 | | | | 229,458 | |
Wisconsin Health and Educational Facilities Authority, (Agnesian HealthCare, Inc.), 5.00%, 7/1/25 | | | 250 | | | | 289,383 | |
Wisconsin Health and Educational Facilities Authority, (Agnesian HealthCare, Inc.), 5.00%, 7/1/26 | | | 400 | | | | 466,476 | |
Wisconsin Health and Educational Facilities Authority, (Ascension Health Senior Credit Group), 5.00%, 11/15/33 | | | 650 | | | | 680,868 | |
| | | | | | | | | |
| | | $ | 74,632,328 | |
| | | | | | | | | |
|
Housing — 4.3% | |
Connecticut Housing Finance Authority, 3.60%, 11/15/30 | | $ | 145 | | | $ | 145,622 | |
Georgia Housing & Finance Authority, 3.65%, 12/1/32 | | | 1,000 | | | | 1,026,750 | |
Maine Housing Authority, 3.25%, 11/15/33 | | | 1,000 | | | | 971,020 | |
New York City Housing Development Corp., NY, 1.95%, 11/1/23 | | | 985 | | | | 964,364 | |
New York City Housing Development Corp., NY, 2.00%, 5/1/23 | | | 500 | | | | 497,030 | |
New York City Housing Development Corp., NY, 2.05%, 11/1/23 | | | 880 | | | | 873,365 | |
New York City Housing Development Corp., NY, 2.15%, 5/1/24 | | | 1,180 | | | | 1,167,704 | |
New York City Housing Development Corp., NY, 2.20%, 11/1/24 | | | 500 | | | | 494,410 | |
New York City Housing Development Corp., NY, 2.30%, 5/1/25 | | | 1,110 | | | | 1,092,451 | |
New York City Housing Development Corp., NY, 2.35%, 11/1/25 | | | 915 | | | | 899,655 | |
New York City Housing Development Corp., NY, 2.45%, 5/1/26 | | | 1,545 | | | | 1,497,800 | |
New York City Housing Development Corp., NY, 2.50%, 11/1/26 | | | 945 | | | | 914,854 | |
New York City Housing Development Corp., NY, 2.60%, 5/1/27 | | | 1,910 | | | | 1,844,793 | |
New York City Housing Development Corp., NY, 2.65%, 11/1/27 | | | 970 | | | | 936,739 | |
New York City Housing Development Corp., NY, 2.70%, 5/1/28 | | | 1,755 | | | | 1,711,845 | |
New York City Housing Development Corp., NY, 2.80%, 5/1/29 | | | 795 | | | | 773,956 | |
New York City Housing Development Corp., NY, 2.85%, 11/1/29 | | | 425 | | | | 413,776 | |
New York City Housing Development Corp., NY, 3.10%, 11/1/32 | | | 1,000 | | | | 976,760 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
1.90%, 5/1/23 | | | 165 | | | | 163,447 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.05%, 5/1/24 | | | 175 | | | | 172,666 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.10%, 11/1/24 | | | 125 | | | | 123,136 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.20%, 5/1/25 | | | 290 | | | | 285,206 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.25%, 11/1/25 | | | 225 | | | | 220,070 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.35%, 5/1/26 | | | 200 | | | | 193,846 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.40%, 11/1/26 | | | 225 | | | | 217,769 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Housing (continued) | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.45%, 5/1/27 | | $ | 185 | | | $ | 179,012 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.50%, 11/1/27 | | | 140 | | | | 135,139 | |
New York Housing Finance Agency, (FHLMC), (FNMA), (GNMA),
2.60%, 5/1/28 | | | 110 | | | | 107,377 | |
New York Mortgage Agency, 1.75%, 4/1/24 | | | 250 | | | | 244,112 | |
New York Mortgage Agency, 1.95%, 10/1/25 | | | 650 | | | | 627,848 | |
Seattle Housing Authority, WA,
2.625%, 12/1/23(1) | | | 610 | | | | 615,411 | |
Seattle Housing Authority, WA,
2.75%, 12/1/24(1) | | | 780 | | | | 786,763 | |
Seattle Housing Authority, WA,
2.875%, 12/1/25(1) | | | 900 | | | | 907,209 | |
Seattle Housing Authority, WA,
3.00%, 12/1/26(1) | | | 920 | | | | 926,376 | |
Seattle Housing Authority, WA,
3.125%, 12/1/27(1) | | | 935 | | | | 940,881 | |
Seattle Housing Authority, WA,
3.25%, 12/1/28(1) | | | 715 | | | | 722,186 | |
Virginia Housing Development Authority, 1.70%, 5/1/22 | | | 845 | | | | 832,342 | |
Virginia Housing Development Authority, 1.85%, 5/1/23 | | | 820 | | | | 815,916 | |
Virginia Housing Development Authority, 1.95%, 11/1/23 | | | 295 | | | | 292,613 | |
Virginia Housing Development Authority, 2.25%, 5/1/25 | | | 170 | | | | 169,432 | |
Virginia Housing Development Authority, 2.40%, 5/1/26 | | | 420 | | | | 426,157 | |
Virginia Housing Development Authority, 2.55%, 5/1/27 | | | 730 | | | | 724,627 | |
Washington Housing Finance Commission, 2.05%, 6/1/24 | | | 310 | | | | 312,387 | |
Washington Housing Finance Commission, 2.25%, 6/1/25 | | | 355 | | | | 359,562 | |
Washington Housing Finance Commission, 2.30%, 12/1/25 | | | 130 | | | | 131,585 | |
Washington Housing Finance Commission, 2.40%, 6/1/26 | | | 105 | | | | 105,446 | |
| | | | | | | | | |
| | | $ | 28,941,415 | |
| | | | | | | | | |
|
Insured – Education — 0.0%(2) | |
Glendale Union High School District No. 205, AZ, (AGM), 3.00%, 7/1/23 | | $ | 175 | | | $ | 182,380 | |
Glendale Union High School District No. 205, AZ, (AGM), 3.00%, 7/1/24 | | | 115 | | | | 119,913 | |
| | | | | | | | | |
| | | $ | 302,293 | |
| | | | | | | | | |
|
Insured – Electric Utilities — 0.1% | |
Sienna Plantation Municipal Utility District No. 3, TX, (AGM), 5.00%, 3/1/30 | | $ | 500 | | | $ | 560,805 | |
| | | | | | | | | |
| | | $ | 560,805 | |
| | | | | | | | | |
|
Insured – General Obligations — 3.4% | |
Albertville, AL, (BAM), 4.00%, 6/1/28 | | $ | 1,230 | | | $ | 1,298,511 | |
Albertville, AL, (BAM), Series A,
4.00%, 6/1/30 | | | 1,605 | | | | 1,687,674 | |
Albertville, AL, (BAM), Series C,
4.00%, 6/1/30 | | | 610 | | | | 641,421 | |
Bellwood, IL, (AGM), 5.00%, 12/1/22 | | | 500 | | | | 556,770 | |
Bellwood, IL, (AGM), 5.00%, 12/1/23 | | | 1,000 | | | | 1,129,030 | |
| | | | |
| | 23 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Insured – General Obligations (continued) | |
Collin County Municipal Utility District No. 1, TX, (AGM), 2.50%, 2/15/27 | | $ | 300 | | | $ | 284,232 | |
Collin County Municipal Utility District No. 1, TX, (AGM), 2.75%, 2/15/28 | | | 200 | | | | 190,800 | |
Collin County Municipal Utility District No. 1, TX, (AGM), 3.00%, 2/15/29 | | | 550 | | | | 529,298 | |
Collin County Municipal Utility District No. 1, TX, (AGM), 3.00%, 2/15/30 | | | 565 | | | | 544,993 | |
Collin County Municipal Utility District No. 1, TX, (AGM), 3.00%, 2/15/31 | | | 585 | | | | 558,734 | |
Crawford County Unified School District No. 250, KS, (BAM), 5.00%, 9/1/26 | | | 250 | | | | 295,030 | |
Fort Bend County Municipal Utility District No. 128, TX, (BAM), 3.00%, 9/1/29 | | | 650 | | | | 638,111 | |
Fort Bend County Municipal Utility District No. 128, TX, (BAM), 3.00%, 9/1/30 | | | 650 | | | | 630,695 | |
Fort Bend County Municipal Utility District No. 128, TX, (BAM), 3.125%, 9/1/31 | | | 750 | | | | 730,897 | |
Fort Bend County Municipal Utility District No. 128, TX, (BAM), 3.25%, 9/1/32 | | | 750 | | | | 736,290 | |
Fort Bend County Municipal Utility District No. 128, TX, (BAM), 3.25%, 9/1/33 | | | 750 | | | | 728,490 | |
Lakewood Township, NJ, (AGM),
4.00%, 11/1/24 | | | 1,155 | | | | 1,270,962 | |
Lakewood Township, NJ, (AGM),
4.00%, 11/1/25 | | | 1,175 | | | | 1,298,398 | |
Lakewood Township, NJ, (AGM),
4.00%, 11/1/26 | | | 1,250 | | | | 1,386,087 | |
New Britain, CT, (AGM), 5.00%, 3/1/32 | | | 1,000 | | | | 1,132,430 | |
New Britain, CT, (BAM), 5.00%, 3/1/23 | | | 550 | | | | 623,634 | |
New Britain, CT, (BAM), 5.00%, 3/1/24 | | | 550 | | | | 632,462 | |
New Britain, CT, (BAM), 5.00%, 3/1/25 | | | 395 | | | | 459,267 | |
New Britain, CT, (BAM), Escrowed to Maturity, 5.00%, 3/1/25 | | | 5 | | | | 5,957 | |
Northern Palm Beach County Improvement District, FL, (AGM), 5.00%, 8/1/23 | | | 250 | | | | 283,840 | |
Ogle and Winnebago Counties Community Unit School District No. 223, IL, (BAM), 4.00%, 12/1/25 | | | 470 | | | | 502,416 | |
Ogle and Winnebago Counties Community Unit School District No. 223, IL, (BAM), 5.00%, 12/1/21 | | | 190 | | | | 209,656 | |
Ogle and Winnebago Counties Community Unit School District No. 223, IL, (BAM), 5.00%, 12/1/22 | | | 320 | | | | 358,656 | |
Ogle and Winnebago Counties Community Unit School District No. 223, IL, (BAM), 5.00%, 12/1/23 | | | 400 | | | | 453,232 | |
Ogle and Winnebago Counties Community Unit School District No. 223, IL, (BAM), 5.00%, 12/1/24 | | | 325 | | | | 371,329 | |
Pocono Mountain School District, PA, (AGM), 4.00%, 9/1/25 | | | 1,720 | | | | 1,893,393 | |
Pocono Mountain School District, PA, (AGM), 4.00%, 9/1/27 | | | 690 | | | | 753,307 | |
| | | | | | | | | |
| | | $ | 22,816,002 | |
| | | | | | | | | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Insured – Hospital — 0.1% | |
Allegheny County Hospital Development Authority, PA, (UPMC Health System), (NPFG), 6.00%, 7/1/26 | | $ | 500 | | | $ | 625,145 | |
| | | | | | | | | |
| | | $ | 625,145 | |
| | | | | | | | | |
|
Insured – Lease Revenue / Certificates of Participation — 1.5% | |
Biloxi Public School District, MS, (BAM), 5.00%, 4/1/23 | | $ | 1,000 | | | $ | 1,138,560 | |
Biloxi Public School District, MS, (BAM), 5.00%, 4/1/25 | | | 1,500 | | | | 1,756,320 | |
Biloxi Public School District, MS, (BAM), 5.00%, 4/1/26 | | | 250 | | | | 295,685 | |
Biloxi Public School District, MS, (BAM), 5.00%, 4/1/28 | | | 500 | | | | 580,950 | |
Biloxi Public School District, MS, (BAM), 5.00%, 4/1/29 | | | 1,235 | | | | 1,423,251 | |
Clermont County Port Authority, OH, (West Clermont Local School District), (BAM), 5.00%, 12/1/26 | | | 250 | | | | 289,947 | |
Clermont County Port Authority, OH, (West Clermont Local School District), (BAM), 5.00%, 12/1/29 | | | 100 | | | | 115,446 | |
Highlands County School Board, FL, (BAM), 5.00%, 3/1/23 | | | 500 | | | | 564,885 | |
Highlands County School Board, FL, (BAM), 5.00%, 3/1/26 | | | 400 | | | | 464,800 | |
Highlands County School Board, FL, (BAM), 5.00%, 3/1/27 | | | 200 | | | | 231,556 | |
Pasco County School Board, FL, (BAM), 5.00%, 8/1/23 | | | 255 | | | | 291,213 | |
Pasco County School Board, FL, (BAM), 5.00%, 8/1/24 | | | 410 | | | | 473,775 | |
Pasco County School Board, FL, (BAM), 5.00%, 8/1/25 | | | 305 | | | | 356,155 | |
Pasco County School Board, FL, (BAM), 5.00%, 8/1/26 | | | 355 | | | | 418,694 | |
Pasco County School Board, FL, (BAM), 5.00%, 8/1/27 | | | 605 | | | | 707,523 | |
Pasco County School Board, FL, (BAM), 5.00%, 8/1/28 | | | 410 | | | | 476,445 | |
Pasco County School Board, FL, (BAM), 5.00%, 8/1/29 | | | 510 | | | | 587,658 | |
| | | | | | | | | |
| | | $ | 10,172,863 | |
| | | | | | | | | |
|
Insured – Special Tax Revenue — 0.1% | |
Successor Agency to Yuba City Redevelopment Agency, CA, (AGM), 5.00%, 9/1/24 | | $ | 115 | | | $ | 134,625 | |
Successor Agency to Yuba City Redevelopment Agency, CA, (AGM), 5.00%, 9/1/25 | | | 420 | | | | 496,545 | |
| | | | | | | | | |
| | | $ | 631,170 | |
| | | | | | | | | |
|
Insured – Transportation — 0.5% | |
New Brunswick Parking Authority, NJ, (BAM), 5.00%, 9/1/22 | | $ | 840 | | | $ | 944,278 | |
New Brunswick Parking Authority, NJ, (BAM), 5.00%, 9/1/23 | | | 440 | | | | 502,374 | |
New Brunswick Parking Authority, NJ, (BAM), 5.00%, 9/1/24 | | | 350 | | | | 404,621 | |
New Brunswick Parking Authority, NJ, (BAM), 5.00%, 9/1/25 | | | 500 | | | | 583,195 | |
New Brunswick Parking Authority, NJ, (BAM), 5.00%, 9/1/26 | | | 320 | | | | 373,005 | |
New Brunswick Parking Authority, NJ, (BAM), 5.00%, 9/1/27 | | | 375 | | | | 435,994 | |
| | | | | | | | | |
| | | $ | 3,243,467 | |
| | | | | | | | | |
| | | | |
| | 24 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Insured – Water and Sewer — 0.1% | |
Gulf Coast Waste Disposal Authority, TX, (AGM), 5.00%, 10/1/22 | | $ | 250 | | | $ | 281,570 | |
Gulf Coast Waste Disposal Authority, TX, (AGM), 5.00%, 10/1/24 | | | 150 | | | | 173,981 | |
Gulf Coast Waste Disposal Authority, TX, (AGM), 5.00%, 10/1/30 | | | 250 | | | | 288,810 | |
Weatherford, TX, Utility System Revenue, (AGM), 5.00%, 9/1/22 | | | 100 | | | | 112,740 | |
| | | | | | | | | |
| | | $ | 857,101 | |
| | | | | | | | | |
|
Lease Revenue / Certificates of Participation — 8.4% | |
Adams County, CO, Certificates of Participation, 4.00%, 12/1/28 | | $ | 1,000 | | | $ | 1,083,090 | |
Broward County School Board, FL, 5.00%, 7/1/25 | | | 500 | | | | 589,660 | |
Broward County School Board, FL, 5.00%, 7/1/27 | | | 500 | | | | 594,725 | |
Broward County School Board, FL, 5.00%, 7/1/29 | | | 500 | | | | 589,325 | |
Broward County School Board, FL, 5.00%, 7/1/30 | | | 400 | | | | 463,600 | |
Broward County School Board, FL, 5.00%, 7/1/31 | | | 600 | | | | 694,914 | |
Broward County School Board, FL, 5.00%, 7/1/33 | | | 2,500 | | | | 2,889,600 | |
Broward County School Board, FL,
Series A, 5.00%, 7/1/23 | | | 500 | | | | 574,655 | |
Broward County School Board, FL,
Series A, 5.00%, 7/1/24 | | | 1,250 | | | | 1,459,912 | |
Broward County School Board, FL,
Series C, 5.00%, 7/1/23 | | | 2,500 | | | | 2,873,275 | |
Broward County School Board, FL,
Series C, 5.00%, 7/1/24 | | | 2,000 | | | | 2,335,860 | |
California Public Works Board,
4.00%, 12/1/31 | | | 1,000 | | | | 1,071,460 | |
California Public Works Board, 5.00%, 11/1/27 | | | 1,000 | | | | 1,197,900 | |
California Public Works Board, 5.00%, 11/1/28 | | | 1,000 | | | | 1,191,830 | |
California Public Works Board, 5.00%, 11/1/29 | | | 1,000 | | | | 1,184,930 | |
Canadian County Educational Facilities Authority, OK, (Mustang Public Schools), 5.00%, 9/1/26 | | | 500 | | | | 588,800 | |
Canadian County Educational Facilities Authority, OK, (Mustang Public Schools), 5.00%, 9/1/27 | | | 500 | | | | 585,455 | |
Charleston Educational Excellence Financing Corp., SC, (Charleston County School District), 5.00%, 12/1/30 | | | 2,250 | | | | 2,572,267 | |
Cleveland County Educational Facilities Authority, OK, (Noble Public Schools), 5.00%, 9/1/25 | | | 300 | | | | 349,467 | |
Colorado Department of Transportation, 5.00%, 6/15/30 | | | 350 | | | | 408,223 | |
Colorado Department of Transportation, 5.00%, 6/15/31 | | | 310 | | | | 360,310 | |
Costa Mesa Financing Authority, CA, 5.00%, 10/1/30 | | | 165 | | | | 198,485 | |
Costa Mesa Financing Authority, CA, 5.00%, 10/1/31 | | | 185 | | | | 221,147 | |
Costa Mesa Financing Authority, CA, 5.00%, 10/1/32 | | | 155 | | | | 184,414 | |
Costa Mesa Financing Authority, CA, 5.00%, 10/1/33 | | | 150 | | | | 177,626 | |
Cuyahoga County, OH, (Convention Hotel), 5.00%, 12/1/26 | | | 250 | | | | 283,400 | |
Eagle County, CO, Certificates of Participation, 5.00%, 12/1/26 | | | 200 | | | | 234,886 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/22 | | | 515 | | | | 568,545 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/23 | | | 135 | | | | 150,831 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/24 | | | 550 | | | | 620,576 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Lease Revenue / Certificates of Participation (continued) | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/25 | | $ | 570 | | | $ | 647,047 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/26 | | | 595 | | | | 666,775 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/27 | | | 620 | | | | 687,927 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/28 | | | 645 | | | | 709,610 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/29 | | | 675 | | | | 736,857 | |
Fountain Valley Public Financing Authority, CA, 4.00%, 11/1/30 | | | 700 | | | | 759,304 | |
Kentucky Property and Buildings Commission, 5.00%, 4/1/27 | | | 1,710 | | | | 1,992,612 | |
Lee County School Board, FL, Certificates of Participation, 5.00%, 8/1/32 | | | 1,495 | | | | 1,708,172 | |
Medina City School District, OH, 5.00%, 12/1/23 | | | 350 | | | | 402,101 | |
Medina City School District, OH, 5.00%, 12/1/24 | | | 400 | | | | 464,876 | |
Oklahoma Development Finance Authority, (State System of Higher Education), 4.00%, 6/1/29 | | | 855 | | | | 918,886 | |
Orange County School Board, FL, 5.00%, 8/1/26 | | | 2,000 | | | | 2,387,400 | |
Orange County School Board, FL, 5.00%, 8/1/32 | | | 1,935 | | | | 2,228,152 | |
Pennington County, SD, Certificates of Participation, 5.00%, 6/1/26 | | | 1,235 | | | | 1,444,197 | |
Pennington County, SD, Certificates of Participation, 5.00%, 6/1/27 | | | 1,300 | | | | 1,512,628 | |
Pinellas County School Board, FL, 5.00%, 7/1/33 | | | 500 | | | | 578,805 | |
Plymouth Intermediate District No. 287, MN, Certificates of Participation, 5.00%, 2/1/30 | | | 885 | | | | 1,028,972 | |
Public Finance Authority, WI, (KU Campus Development Corp.), 5.00%, 3/1/29 | | | 500 | | | | 573,980 | |
Riverside County Public Financing Authority, CA, 5.00%, 11/1/27 | | | 850 | | | | 999,447 | |
Riverside County Public Financing Authority, CA, 5.00%, 11/1/28 | | | 950 | | | | 1,110,465 | |
San Francisco City and County, CA, (City Office Buildings), 4.00%, 9/1/29 | | | 1,075 | | | | 1,162,569 | |
South Dakota Building Authority, 5.00%, 6/1/26 | | | 500 | | | | 594,705 | |
South Dakota Building Authority, 5.00%, 6/1/27 | | | 635 | | | | 726,192 | |
South Dakota Building Authority, 5.00%, 6/1/28 | | | 210 | | | | 243,283 | |
South Dakota Building Authority, Series 2015B, 5.00%, 6/1/30 | | | 200 | | | | 230,400 | |
South Dakota Building Authority, Series 2017A, 5.00%, 6/1/30 | | | 900 | | | | 1,059,939 | |
St. Charles County Public Water Supply District No. 2, MO, 3.00%, 12/1/24 | | | 650 | | | | 671,281 | |
Tulsa County Industrial Authority, OK, (Broken Arrow Public Schools), 5.00%, 9/1/23 | | | 500 | | | | 576,825 | |
Washington, Certificates of Participation, 5.00%, 7/1/32 | | | 2,875 | | | | 3,351,157 | |
| | | | | | | | | |
| | | $ | 56,473,732 | |
| | | | | | | | | |
|
Other Revenue — 2.7% | |
Citizens Property Insurance Corp., FL, 5.00%, 6/1/22 | | $ | 300 | | | $ | 334,311 | |
District of Columbia, (National Public Radio, Inc.), 5.00%, 4/1/28 | | | 1,000 | | | | 1,157,160 | |
| | | | |
| | 25 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Other Revenue (continued) | |
District of Columbia, (National Public Radio, Inc.), 5.00%, 4/1/29 | | $ | 1,000 | | | $ | 1,150,080 | |
District of Columbia, (National Public Radio, Inc.), 5.00%, 4/1/30 | | | 1,000 | | | | 1,143,830 | |
Fulton County Development Authority, GA, (Robert W. Woodruff Arts Center, Inc.), 5.00%, 3/15/24 | | | 600 | | | | 685,710 | |
Hyland Hills Park & Recreation District, CO, 5.00%, 12/15/24 | | | 150 | | | | 173,838 | |
Hyland Hills Park & Recreation District, CO, 5.00%, 12/15/25 | | | 155 | | | | 181,314 | |
Hyland Hills Park & Recreation District, CO, 5.00%, 12/15/26 | | | 150 | | | | 176,916 | |
Louisiana Local Government Environmental Facilities and Community Development Authority, (Jefferson Parish), 5.00%, 4/1/27 | | | 500 | | | | 582,140 | |
Louisiana Local Government Environmental Facilities and Community Development Authority, (Jefferson Parish), 5.00%, 4/1/29 | | | 500 | | | | 575,825 | |
Metro, OR, (Oregon Convention Center Hotel), 5.00%, 6/15/23 | | | 250 | | | | 286,763 | |
Metro, OR, (Oregon Convention Center Hotel), 5.00%, 6/15/24 | | | 335 | | | | 390,238 | |
Metro, OR, (Oregon Convention Center Hotel), 5.00%, 6/15/26 | | | 195 | | | | 231,765 | |
Metro, OR, (Oregon Convention Center Hotel), 5.00%, 6/15/27 | | | 210 | | | | 251,664 | |
Mississippi Development Bank, Special Obligation Bond, (Jackson Public School District), 5.00%, 4/1/25 | | | 1,270 | | | | 1,473,416 | |
Rhode Island Health and Educational Building Corp., (Barrington), 4.00%, 5/15/32 | | | 1,000 | | | | 1,077,970 | |
Rhode Island Health and Educational Building Corp., (Barrington), 5.00%, 5/15/28 | | | 1,060 | | | | 1,281,286 | |
Scotland County, NC, Limited Obligation Bonds, 5.00%, 12/1/23 | | | 570 | | | | 655,859 | |
Scotland County, NC, Limited Obligation Bonds, 5.00%, 12/1/24 | | | 155 | | | | 180,350 | |
Scotland County, NC, Limited Obligation Bonds, 5.00%, 12/1/25 | | | 270 | | | | 317,096 | |
Scotland County, NC, Limited Obligation Bonds, 5.00%, 12/1/28 | | | 505 | | | | 600,359 | |
Scotland County, NC, Limited Obligation Bonds, 5.00%, 12/1/29 | | | 255 | | | | 301,706 | |
Scotland County, NC, Limited Obligation Bonds, 5.00%, 12/1/31 | | | 425 | | | | 499,260 | |
Spartanburg County School District No. 7, SC, Special Obligation Bonds, 5.00%, 12/1/24 | | | 500 | | | | 584,525 | |
Wisconsin, Environmental Improvement Fund Revenue, 5.00%, 6/1/31 | | | 2,500 | | | | 2,932,625 | |
Wisconsin, Environmental Improvement Fund Revenue, 5.00%, 6/1/32 | | | 1,000 | | | | 1,170,120 | |
| | | | | | | | | |
| | | $ | 18,396,126 | |
| | | | | | | | | |
|
Senior Living / Life Care — 3.4% | |
Buffalo and Erie County Industrial Land Development Corp., NY, (Orchard Park CCRC, Inc.), 5.00%, 11/15/28 | | $ | 50 | | | $ | 56,673 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Senior Living / Life Care (continued) | |
Buffalo and Erie County Industrial Land Development Corp., NY, (Orchard Park CCRC, Inc.), 5.00%, 11/15/30 | | $ | 100 | | | $ | 112,314 | |
California Statewide Communities Development Authority, (American Baptist Homes of the West), 5.00%, 10/1/22 | | | 250 | | | | 283,352 | |
California Statewide Communities Development Authority, (American Baptist Homes of the West), 5.00%, 10/1/25 | | | 100 | | | | 116,576 | |
Cumberland County Municipal Authority, PA, (Diakon Lutheran Social Ministries), 2.50%, 1/1/26 | | | 640 | | | | 620,678 | |
Cumberland County Municipal Authority, PA, (Diakon Lutheran Social Ministries), 5.00%, 1/1/25 | | | 1,175 | | | | 1,332,485 | |
Cumberland County Municipal Authority, PA, (Diakon Lutheran Social Ministries), 5.00%, 1/1/27 | | | 1,035 | | | | 1,176,712 | |
Cumberland County Municipal Authority, PA, (Diakon Lutheran Social Ministries), 5.00%, 1/1/30 | | | 645 | | | | 722,716 | |
Cumberland County Municipal Authority, PA, (Diakon Lutheran Social Ministries), 5.00%, 1/1/31 | | | 500 | | | | 558,395 | |
East Hempfield Township Industrial Development Authority, PA, (Willow Valley Communities), 5.00%, 12/1/21 | | | 250 | | | | 281,652 | |
East Hempfield Township Industrial Development Authority, PA, (Willow Valley Communities), 5.00%, 12/1/31 | | | 250 | | | | 284,840 | |
Fulton County Residential Care Facilities for the Elderly Authority, GA, (Lenbrook Square Foundation, Inc.), 4.00%, 7/1/24 | | | 630 | | | | 685,673 | |
Fulton County Residential Care Facilities for the Elderly Authority, GA, (Lenbrook Square Foundation, Inc.), 4.00%, 7/1/26 | | | 500 | | | | 540,460 | |
Glendale Industrial Development Authority, AZ, (Royal Oaks Life Care Community), 4.00%, 5/15/24 | | | 675 | | | | 743,033 | |
Glendale Industrial Development Authority, AZ, (Royal Oaks Life Care Community), 4.00%, 5/15/25 | | | 500 | | | | 549,660 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 5/1/21 | | | 325 | | | | 356,356 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 5/1/22 | | | 225 | | | | 251,276 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 5/1/23 | | | 225 | | | | 255,695 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 5/1/24 | | | 480 | | | | 551,386 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 11/1/24 | | | 200 | | | | 231,936 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 11/1/27 | | | 250 | | | | 291,132 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 11/1/28 | | | 250 | | | | 289,040 | |
Illinois Finance Authority, (Presbyterian Homes Obligated Group), 5.00%, 11/1/31 | | | 250 | | | | 284,700 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 3.00%, 2/1/27 | | | 1,000 | | | | 985,240 | |
| | | | |
| | 26 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Senior Living / Life Care (continued) | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/23 | | $ | 600 | | | $ | 663,516 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/24 | | | 440 | | | | 492,584 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/26 | | | 385 | | | | 437,044 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/28 | | | 250 | | | | 279,660 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/29 | | | 600 | | | | 668,508 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/30 | | | 200 | | | | 222,094 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/31 | | | 250 | | | | 276,697 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Westminster), 5.00%, 11/1/22 | | | 175 | | | | 194,628 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Westminster), 5.00%, 11/1/23 | | | 200 | | | | 225,236 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Westminster), 5.00%, 11/1/28 | | | 590 | | | | 653,968 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Westminster), 5.00%, 11/1/31 | | | 410 | | | | 448,983 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 3.00%, 10/1/28 | | | 150 | | | | 148,913 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 5.00%, 10/1/23 | | | 150 | | | | 170,279 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 5.00%, 10/1/24 | | | 150 | | | | 171,695 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 5.00%, 10/1/25 | | | 100 | | | | 114,293 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 5.00%, 10/1/26 | | | 100 | | | | 113,441 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 5.00%, 10/1/27 | | | 50 | | | | 56,467 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 5.00%, 10/1/29 | | | 125 | | | | 139,908 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), 5.00%, 10/1/32 | | | 225 | | | | 249,467 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), Series 2016A, 5.00%, 10/1/30 | | | 200 | | | | 226,558 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), Series 2016A, 5.00%, 10/1/31 | | | 675 | | | | 760,826 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), Series 2017A, 5.00%, 10/1/30 | | | 250 | | | | 278,980 | |
North Carolina Medical Care Commission, (United Methodist Retirement Homes), Series 2017A, 5.00%, 10/1/31 | | | 175 | | | | 194,609 | |
Sarasota County Health Facilities Authority, FL, (Village on the Isle), 5.00%, 1/1/22 | | | 375 | | | | 412,830 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Senior Living / Life Care (continued) | |
Sarasota County Health Facilities Authority, FL, (Village on the Isle), 5.00%, 1/1/23 | | $ | 865 | | | $ | 968,644 | |
Sarasota County Health Facilities Authority, FL, (Village on the Isle), 5.00%, 1/1/25 | | | 750 | | | | 848,512 | |
Warren County, OH, (Otterbein Homes Obligated Group), 5.00%, 7/1/23 | | | 200 | | | | 228,322 | |
Warren County, OH, (Otterbein Homes Obligated Group), 5.00%, 7/1/27 | | | 250 | | | | 292,602 | |
Warren County, OH, (Otterbein Homes Obligated Group), 5.00%, 7/1/29 | | | 440 | | | | 508,539 | |
Warren County, OH, (Otterbein Homes Obligated Group), 5.00%, 7/1/30 | | | 475 | | | | 546,692 | |
Warren County, OH, (Otterbein Homes Obligated Group), 5.00%, 7/1/31 | | | 470 | | | | 539,052 | |
| | | | | | | | | |
| | | $ | 23,095,527 | |
| | | | | | | | | |
|
Special Tax Revenue — 6.4% | |
Atlanta Development Authority, GA, (New Downtown Atlanta Stadium), 5.00%, 7/1/26 | | $ | 100 | | | $ | 116,968 | |
Atlanta, GA, (Atlantic Station), Tax Allocation Increments, 5.00%, 12/1/23 | | | 1,000 | | | | 1,135,980 | |
Atlanta, GA, (Atlantic Station), Tax Allocation Increments, 5.00%, 12/1/24 | | | 880 | | | | 1,010,777 | |
Atlanta, GA, Tax Allocation Increments, 5.00%, 1/1/23 | | | 260 | | | | 292,050 | |
Atlanta, GA, Tax Allocation Increments, 5.00%, 1/1/24 | | | 115 | | | | 130,779 | |
Atlanta, GA, Tax Allocation Increments, 5.00%, 1/1/25 | | | 150 | | | | 171,929 | |
Atlanta, GA, Tax Allocation Increments, 5.00%, 1/1/27 | | | 300 | | | | 345,861 | |
Atlanta, GA, Tax Allocation Increments, 5.00%, 1/1/28 | | | 300 | | | | 344,256 | |
Atlanta, GA, Tax Allocation Increments, 5.00%, 1/1/29 | | | 100 | | | | 114,221 | |
Cape Coral, FL, Special Obligation Bonds, 5.00%, 10/1/22 | | | 500 | | | | 566,940 | |
Cape Coral, FL, Special Obligation Bonds, 5.00%, 10/1/23 | | | 500 | | | | 577,615 | |
Cleveland, OH, Income Tax Revenue, (Bridges and Roadways Improvements), 4.00%, 10/1/23 | | | 125 | | | | 136,430 | |
Cleveland, OH, Income Tax Revenue, (Bridges and Roadways Improvements), 4.00%, 10/1/24 | | | 200 | | | | 218,434 | |
Cleveland, OH, Income Tax Revenue, (Bridges and Roadways Improvements), 4.00%, 10/1/25 | | | 225 | | | | 245,772 | |
Cleveland, OH, Income Tax Revenue, (Bridges and Roadways Improvements), 4.00%, 10/1/26 | | | 250 | | | | 272,930 | |
Cleveland, OH, Income Tax Revenue, (Bridges and Roadways Improvements), 4.00%, 10/1/27 | | | 465 | | | | 507,417 | |
Cleveland, OH, Income Tax Revenue, (Bridges and Roadways Improvements), 4.00%, 10/1/28 | | | 400 | | | | 432,280 | |
Cleveland, OH, Income Tax Revenue, (Bridges and Roadways Improvements), 4.00%, 10/1/29 | | | 250 | | | | 268,873 | |
Cleveland, OH, Income Tax Revenue, (Parks and Recreation Facilities Improvements), 4.00%, 10/1/24 | | | 420 | | | | 458,711 | |
| | | | |
| | 27 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Special Tax Revenue (continued) | |
Cleveland, OH, Income Tax Revenue, (Parks and Recreation Facilities Improvements), 4.00%, 10/1/25 | | $ | 435 | | | $ | 475,159 | |
Cleveland, OH, Income Tax Revenue, (Parks and Recreation Facilities Improvements), 4.00%, 10/1/27 | | | 785 | | | | 856,608 | |
Cleveland, OH, Income Tax Revenue, (Parks and Recreation Facilities Improvements), 4.00%, 10/1/29 | | | 500 | | | | 537,745 | |
Cleveland, OH, Income Tax Revenue, (Public Facilities Improvements),
4.00%, 10/1/24 | | | 200 | | | | 218,434 | |
Cleveland, OH, Income Tax Revenue, (Public Facilities Improvements),
4.00%, 10/1/25 | | | 200 | | | | 218,464 | |
Cleveland, OH, Income Tax Revenue, (Public Facilities Improvements),
4.00%, 10/1/26 | | | 150 | | | | 163,758 | |
Cleveland, OH, Income Tax Revenue, (Public Facilities Improvements),
4.00%, 10/1/27 | | | 240 | | | | 261,893 | |
Connecticut, Special Tax Obligation, (Transportation Infrastructure), 5.00%, 9/1/32 | | | 2,040 | | | | 2,303,772 | |
Cuyahoga County, OH, Excise Tax Revenue, 5.00%, 12/1/22 | | | 500 | | | | 565,770 | |
Cuyahoga County, OH, Excise Tax Revenue, 5.00%, 12/1/23 | | | 500 | | | | 574,430 | |
Escambia County School Board, FL, Sales Tax Revenue, 5.00%, 9/1/26 | | | 450 | | | | 533,713 | |
Escambia County School Board, FL, Sales Tax Revenue, 5.00%, 9/1/27 | | | 650 | | | | 765,440 | |
Lafayette, LA, Sales Tax Revenue, 5.00%, 3/1/31 | | | 1,400 | | | | 1,617,476 | |
Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, 5.00%, 6/1/31 | | | 1,000 | | | | 1,195,230 | |
Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, 5.00%, 6/1/32 | | | 500 | | | | 595,535 | |
Miami Beach, FL, Resort Tax Revenue, 5.00%, 9/1/23 | | | 500 | | | | 574,550 | |
Miami-Dade County, FL, Special Obligation Bonds, 5.00%, 4/1/25 | | | 250 | | | | 294,883 | |
Miami-Dade County, FL, Special Obligation Bonds, 5.00%, 4/1/26 | | | 1,025 | | | | 1,215,629 | |
Miami-Dade County, FL, Special Obligation Bonds, 5.00%, 4/1/29 | | | 900 | | | | 1,049,292 | |
Miami-Dade County, FL, Special Obligation Bonds, 5.00%, 4/1/30 | | | 950 | | | | 1,103,054 | |
Miami-Dade County, FL, Special Obligation Bonds, 5.00%, 4/1/31 | | | 895 | | | | 1,034,244 | |
Miami-Dade County, FL, Special Obligation Bonds, 5.00%, 4/1/32 | | | 735 | | | | 846,463 | |
Mississippi Development Bank, Special Obligation Bonds, (Hinds County School District), 4.00%, 3/1/23(1) | | | 250 | | | | 269,658 | |
Mississippi Development Bank, Special Obligation Bonds, (Hinds County School District), 4.00%, 3/1/25(1) | | | 470 | | | | 513,028 | |
Mississippi Development Bank, Special Obligation Bonds, (Hinds County School District), 4.00%, 3/1/27(1) | | | 500 | | | | 548,195 | |
Mississippi Development Bank, Special Obligation Bonds, (Hinds County School District), 4.00%, 3/1/28(1) | | | 350 | | | | 383,481 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Special Tax Revenue (continued) | |
Mississippi Development Bank, Special Obligation Bonds, (Hinds County School District), 4.00%, 3/1/29(1) | | $ | 720 | | | $ | 781,070 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue, 5.00%, 11/1/30 | | | 1,500 | | | | 1,773,855 | |
New York Dormitory Authority, Sales Tax Revenue, 5.00%, 3/15/32 | | | 1,800 | | | | 2,103,588 | |
San Francisco County Transportation Authority, CA, Sales Tax Revenue, 3.00%, 2/1/30 | | | 2,870 | | | | 2,872,239 | |
Scottsdale Municipal Property Corp., AZ, Excise Tax Revenue, 5.00%, 7/1/32 | | | 2,500 | | | | 2,986,575 | |
St. Lucie County, FL, Special Tax Revenue, 5.00%, 10/1/29 | | | 1,445 | | | | 1,701,762 | |
St. Lucie County, FL, Special Tax Revenue, 5.00%, 10/1/30 | | | 1,000 | | | | 1,174,000 | |
St. Lucie County, FL, Special Tax Revenue, 5.00%, 10/1/32 | | | 1,000 | | | | 1,168,490 | |
Successor Agency to San Mateo Redevelopment Agency, CA, 5.00%, 8/1/26 | | | 100 | | | | 115,884 | |
Successor Agency to San Mateo Redevelopment Agency, CA, 5.00%, 8/1/29 | | | 140 | | | | 159,986 | |
Tri-County Metropolitan Transportation District, OR, Payroll Tax Revenue, 4.00%, 9/1/31 | | | 1,000 | | | | 1,093,350 | |
Tri-County Metropolitan Transportation District, OR, Payroll Tax Revenue, 5.00%, 9/1/32 | | | 1,000 | | | | 1,178,440 | |
Tustin Community Facilities District No. 06-1, CA, (Tustin Legacy/Columbus Villages), 5.00%, 9/1/28 | | | 250 | | | | 286,958 | |
| | | | | | | | | |
| | | $ | 43,460,324 | |
| | | | | | | | | |
|
Transportation — 10.5% | |
Alameda Corridor Transportation Authority, CA, 4.00%, 10/1/23 | | $ | 250 | | | $ | 274,255 | |
Alameda Corridor Transportation Authority, CA, 5.00%, 10/1/24 | | | 250 | | | | 291,308 | |
Bay Area Toll Authority, CA, (San Francisco Bay Area), 2.10% to 4/1/22 (Put Date), 4/1/45 | | | 2,000 | | | | 2,009,840 | |
Bay Area Toll Authority, CA, (San Francisco Bay Area), 2.95% to 4/1/26 (Put Date), 4/1/47 | | | 1,800 | | | | 1,849,806 | |
Bay Area Toll Authority, CA, (San Francisco Bay Area), 4.00%, 4/1/33 | | | 1,500 | | | | 1,618,110 | |
Brazoria County Toll Road Authority, TX, 5.00%, 3/1/29 | | | 1,580 | | | | 1,866,691 | |
Brazoria County Toll Road Authority, TX, 5.00%, 3/1/33 | | | 1,985 | | | | 2,308,753 | |
Chicago, IL, (O’Hare International Airport), 5.00%, 1/1/22 | | | 150 | | | | 167,037 | |
Chicago, IL, (O’Hare International Airport), 5.00%, 1/1/26 | | | 1,000 | | | | 1,180,840 | |
Chicago, IL, (O’Hare International Airport), 5.00%, 1/1/28 | | | 150 | | | | 172,133 | |
Chicago, IL, (O’Hare International Airport), 5.00%, 1/1/29 | | | 150 | | | | 171,420 | |
Chicago, IL, (O’Hare International Airport), 5.00%, 1/1/30 | | | 500 | | | | 569,370 | |
Chicago, IL, (O’Hare International Airport), 5.00%, 1/1/31 | | | 1,000 | | | | 1,134,030 | |
Chicago, IL, (O’Hare International Airport), 5.00%, 1/1/33 | | | 500 | | | | 563,005 | |
Chicago, IL, (O’Hare International Airport), 5.25%, 1/1/28 | | | 2,905 | | | | 3,495,964 | |
Chicago, IL, (O’Hare International Airport), 5.25%, 1/1/29 | | | 3,060 | | | | 3,669,062 | |
Chicago, IL, (O’Hare International Airport), 5.25%, 1/1/30 | | | 1,000 | | | | 1,196,420 | |
| | | | |
| | 28 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Transportation (continued) | |
Chicago, IL, (O’Hare International Airport), 5.25%, 1/1/31 | | $ | 1,000 | | | $ | 1,191,190 | |
Chicago, IL, (O’Hare International Airport), 5.25%, 1/1/32 | | | 2,565 | | | | 3,044,296 | |
Chicago, IL, (O’Hare International Airport), Series 2015B, 5.00%, 1/1/24 | | | 200 | | | | 230,892 | |
Chicago, IL, (O’Hare International Airport), Series 2015B, 5.00%, 1/1/25 | | | 100 | | | | 116,887 | |
Chicago, IL, (O’Hare International Airport), Series 2016B, 5.00%, 1/1/24 | | | 500 | | | | 577,230 | |
Chicago, IL, (O’Hare International Airport), Series 2016B, 5.00%, 1/1/25 | | | 1,000 | | | | 1,168,870 | |
Commonwealth Transportation Board, VA, 5.00%, 9/15/30 | | | 1,240 | | | | 1,467,391 | |
Denver City and County, CO, Airport System Revenue, 5.00%, 11/15/23 | | | 1,000 | | | | 1,160,740 | |
Denver City and County, CO, Airport System Revenue, 5.00%, 11/15/24 | | | 650 | | | | 765,472 | |
Denver City and County, CO, Airport System Revenue, 5.00%, 11/15/25 | | | 625 | | | | 743,175 | |
Denver City and County, CO, Airport System Revenue, 5.00%, 11/15/31 | | | 1,650 | | | | 1,926,738 | |
Denver City and County, CO, Airport System Revenue, 5.00%, 11/15/32 | | | 2,200 | | | | 2,563,396 | |
Fort Bend County, TX, Toll Road Revenue, 5.00%, 3/1/22 | | | 100 | | | | 111,614 | |
Fort Bend County, TX, Toll Road Revenue, 5.00%, 3/1/23 | | | 150 | | | | 170,006 | |
Fort Bend County, TX, Toll Road Revenue, 5.00%, 3/1/24 | | | 195 | | | | 224,474 | |
Fort Bend County, TX, Toll Road Revenue, 5.00%, 3/1/28 | | | 500 | | | | 570,195 | |
Fort Bend County, TX, Toll Road Revenue, 5.00%, 3/1/29 | | | 1,000 | | | | 1,135,580 | |
Fort Bend County, TX, Toll Road Revenue, 5.00%, 3/1/30 | | | 750 | | | | 849,630 | |
Georgia State Road and Tollway Authority, 5.00%, 6/1/26 | | | 250 | | | | 296,730 | |
Idaho Housing and Finance Association, Federal Highway Trust Fund, 5.00%, 7/15/25 | | | 650 | | | | 764,211 | |
Illinois Toll Highway Authority, 5.00%, 1/1/29 | | | 175 | | | | 202,020 | |
Illinois Toll Highway Authority, 5.00%, 12/1/32 | | | 350 | | | | 399,508 | |
Kentucky Asset/Liability Commission, 2014 Federal Highway Trust Fund, 5.00%, 9/1/24 | | | 1,200 | | | | 1,397,592 | |
Kentucky Asset/Liability Commission, 2015 Federal Highway Trust Fund, 5.00%, 9/1/24 | | | 250 | | | | 291,165 | |
Kentucky Turnpike Authority, 5.00%, 7/1/33 | | | 500 | | | | 562,375 | |
Massachusetts, (Rail Enhancement & Accelerated Bridge Programs), 5.00%, 6/1/30 | | | 1,500 | | | | 1,733,460 | |
Massachusetts, (Rail Enhancement & Accelerated Bridge Programs), 5.00%, 6/1/33 | | | 2,000 | | | | 2,299,840 | |
Metropolitan Transportation Authority, NY, 5.00%, 11/15/23 | | | 500 | | | | 578,895 | |
Metropolitan Transportation Authority, NY, 5.00%, 11/15/24 | | | 500 | | | | 585,385 | |
Metropolitan Transportation Authority, NY, 5.00%, 11/15/25 | | | 500 | | | | 590,640 | |
Metropolitan Transportation Authority, NY, 5.00%, 11/15/26 | | | 1,000 | | | | 1,190,860 | |
Metropolitan Transportation Authority, NY, 5.00%, 11/15/41 | | | 415 | | | | 463,098 | |
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Transportation (continued) | |
Metropolitan Transportation Authority, NY, Prerefunded to 11/15/22, 5.00%, 11/15/41 | | $ | 250 | | | $ | 287,265 | |
Miami-Dade County, FL, Seaport Revenue, 5.00%, 10/1/23 | | | 130 | | | | 146,402 | |
New Brunswick Parking Authority, NJ, 5.00%, 9/1/22 | | | 500 | | | | 561,835 | |
New Jersey Turnpike Authority, 5.00%, 1/1/33 | | | 500 | | | | 583,795 | |
New Orleans Aviation Board, LA, 5.00%, 1/1/28 | | | 150 | | | | 177,558 | |
New Orleans Aviation Board, LA, 5.00%, 1/1/31 | | | 190 | | | | 221,301 | |
North Carolina, (Federal-Aid Highway Projects), 5.00%, 3/1/23 | | | 750 | | | | 856,612 | |
North Carolina, (Federal-Aid Highway Projects), 5.00%, 3/1/29 | | | 550 | | | | 635,618 | |
North Carolina, (Federal-Aid Highway Projects), 5.00%, 3/1/30 | | | 400 | | | | 460,592 | |
Oklahoma Capitol Improvement Authority, 5.00%, 7/1/29 | | | 1,000 | | | | 1,175,350 | |
Pennsylvania Turnpike Commission, 5.00%, 12/1/31 | | | 1,500 | | | | 1,712,535 | |
Pennsylvania Turnpike Commission, 5.00%, 12/1/32 | | | 1,000 | | | | 1,137,190 | |
Pennsylvania Turnpike Commission, 5.00%, 12/1/33 | | | 1,000 | | | | 1,131,810 | |
Port of Seattle, WA, 5.00%, 3/1/24 | | | 250 | | | | 290,405 | |
Port of Seattle, WA, 5.00%, 3/1/25 | | | 150 | | | | 174,998 | |
Port of Seattle, WA, 5.00%, 3/1/27 | | | 250 | | | | 289,675 | |
Port of Seattle, WA, 5.00%, 3/1/29 | | | 250 | | | | 288,193 | |
Salt Lake City, UT, (Salt Lake City International Airport), 5.00%, 7/1/27 | | | 300 | | | | 361,440 | |
Salt Lake City, UT, (Salt Lake City International Airport), 5.00%, 7/1/28 | | | 1,370 | | | | 1,632,876 | |
Salt Lake City, UT, (Salt Lake City International Airport), 5.00%, 7/1/32 | | | 600 | | | | 702,060 | |
Texas Transportation Commission, 5.00%, 4/1/33 | | | 50 | | | | 57,592 | |
Tri-County Metropolitan Transportation District, OR, 5.00%, 10/1/24 | | | 500 | | | | 579,935 | |
Tri-County Metropolitan Transportation District, OR, 5.00%, 10/1/26 | | | 500 | | | | 589,560 | |
Wisconsin, Transportation Revenue, 5.00%, 7/1/31 | | | 3,450 | | | | 3,991,339 | |
Wisconsin, Transportation Revenue, 5.00%, 7/1/32 | | | 700 | | | | 807,583 | |
| | | | | | | | | |
| | | $ | 70,765,118 | |
| | | | | | | | | |
|
Water and Sewer — 3.4% | |
Boston Water and Sewer Commission, MA, 5.00%, 11/1/31 | | $ | 450 | | | $ | 523,467 | |
Buffalo Municipal Water Finance Authority, NY, 5.00%, 7/1/25 | | | 300 | | | | 351,570 | |
Buffalo Municipal Water Finance Authority, NY, 5.00%, 7/1/29 | | | 115 | | | | 132,828 | |
Buffalo Municipal Water Finance Authority, NY, 5.00%, 7/1/30 | | | 100 | | | | 114,923 | |
Chino Basin Desalter Authority, CA,
4.00%, 6/1/32 | | | 1,235 | | | | 1,320,697 | |
East Bay Municipal Utility District, CA, Wastewater System Revenue,
4.00%, 6/1/31 | | | 170 | | | | 185,914 | |
Jacksonville, NC, Enterprise Systems Revenue, 5.00%, 5/1/27 | | | 700 | | | | 834,736 | |
Jacksonville, NC, Enterprise Systems Revenue, 5.25%, 5/1/28 | | | 250 | | | | 306,223 | |
Jacksonville, NC, Enterprise Systems Revenue, 5.25%, 5/1/31 | | | 160 | | | | 199,904 | |
Kentucky Infrastructure Authority, Wastewater and Drinking Water Revolving Fund Revenue, 5.00%, 2/1/28 | | | 500 | | | | 592,485 | |
| | | | |
| | 29 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Portfolio of Investments — continued
| | | | | | | | |
| Security | | Principal
Amount
(000’s omitted) | | | Value | |
|
Water and Sewer (continued) | |
Lancaster, OH, Wastewater System Revenue, 4.00%, 12/1/26 | | $ | 205 | | | $ | 227,355 | |
Lancaster, OH, Wastewater System Revenue, 4.00%, 12/1/27 | | | 250 | | | | 274,275 | |
Lancaster, OH, Wastewater System Revenue, 4.00%, 12/1/28 | | | 670 | | | | 726,655 | |
Marin Public Financing Authority, CA, (Sausalito-Marin City Sanitary District), 4.00%, 4/1/31 | | | 780 | | | | 851,869 | |
Marin Public Financing Authority, CA, (Sausalito-Marin City Sanitary District), 4.00%, 4/1/32 | | | 875 | | | | 948,272 | |
Marysville, OH, Water System Revenue, 4.00%, 12/1/25 | | | 250 | | | | 278,018 | |
Marysville, OH, Water System Revenue, 4.00%, 12/1/27 | | | 180 | | | | 197,744 | |
Mesa, AZ, Utility Systems Revenue, 5.00%, 7/1/27 | | | 600 | | | | 714,678 | |
Mesa, AZ, Utility Systems Revenue, 5.00%, 7/1/29 | | | 500 | | | | 590,150 | |
Mesa, AZ, Utility Systems Revenue, 5.00%, 7/1/30 | | | 600 | | | | 705,210 | |
Metropolitan St. Louis Sewer District, MO, 5.00%, 5/1/33 | | | 1,000 | | | | 1,182,570 | |
Miami Beach, FL, Water and Sewer Revenue, 4.00%, 9/1/32 | | | 350 | | | | 374,731 | |
Phoenix Civic Improvement Corp., AZ, Water System Revenue, 5.00%, 7/1/25 | | | 1,250 | | | | 1,465,625 | |
Port St. Lucie, FL, Utility System Revenue, 5.00%, 9/1/23 | | | 300 | | | | 342,864 | |
Rapid City, SD, Water Revenue,
4.00%, 11/1/29 | | | 600 | | | | 646,776 | |
Rapid City, SD, Water Revenue,
4.00%, 11/1/30 | | | 670 | | | | 719,339 | |
Rapid City, SD, Water Revenue, 5.00%, 11/1/26 | | | 1,000 | | | | 1,175,820 | |
Rapid City, SD, Water Revenue, 5.00%, 11/1/27 | | | 515 | | | | 602,385 | |
Rock Hill, SC, Combined Utility System Revenue, 5.00%, 1/1/23 | | | 300 | | | | 340,263 | |
Rock Hill, SC, Combined Utility System Revenue, 5.00%, 1/1/26 | | | 1,000 | | | | 1,176,910 | |
Santa Fe, NM, Water Utility System Revenue, 4.00%, 6/1/30 | | | 365 | | | | 397,051 | |
Santa Fe, NM, Water Utility System Revenue, 4.00%, 6/1/31 | | | 450 | | | | 486,041 | |
St. Joseph Industrial Development Authority, MO, (Sewerage System Improvements), 5.00%, 4/1/26 | | | 500 | | | | 581,505 | |
Tallahassee, FL, Consolidated Utility Systems Revenue, 5.00%, 10/1/33 | | | 1,000 | | | | 1,153,880 | |
West Goshen Sewer Authority, PA, 4.00%, 5/1/29 | | | 325 | | | | 346,453 | |
Wyoming, MI, Water Supply System Revenue, 4.00%, 6/1/29 | | | 135 | | | | 144,162 | |
Wyoming, MI, Water Supply System Revenue, 4.00%, 6/1/30 | | | 105 | | | | 111,650 | |
Wyoming, MI, Water Supply System Revenue, 5.00%, 6/1/25 | | | 210 | | | | 244,501 | |
Wyoming, MI, Water Supply System Revenue, 5.00%, 6/1/27 | | | 505 | | | | 587,840 | |
Wyoming, MI, Water Supply System Revenue, 5.00%, 6/1/28 | | | 550 | | | | 636,234 | |
| | | | | | | | | |
| | | $ | 22,793,573 | |
| | | | | | | | | |
| | |
Total Tax-Exempt Investments — 93.7%
(identified cost $635,367,594) | | | | | | $ | 633,651,010 | |
| | | | | | | | | |
| | |
Other Assets, Less Liabilities — 6.3% | | | | | | $ | 42,648,814 | |
| | | | | | | | | |
| | |
Net Assets — 100.0% | | | | | | $ | 676,299,824 | |
| | | | | | | | | |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
At January 31, 2018, the concentration of the Portfolio’s investments in the various states, determined as a percentage of net assets, is less than 10% individually.
The Portfolio invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at January 31, 2018, 6.2% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution or financial guaranty assurance agency ranged from 0.1% to 3.9% of total investments.
| (1) | When-issued security. |
| (2) | Amount is less than 0.05%. |
Abbreviations:
| | | | |
| AGM | | – | | Assured Guaranty Municipal Corp. |
| BAM | | – | | Build America Mutual Assurance Co. |
| FHLMC | | – | | Federal Home Loan Mortgage Corp. |
| FNMA | | – | | Federal National Mortgage Association |
| GNMA | | – | | Government National Mortgage Association |
| NPFG | | – | | National Public Finance Guaranty Corp. |
| PSF | | – | | Permanent School Fund |
| | | | |
| | 30 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Statement of Assets and Liabilities
| | | | |
| Assets | | January 31, 2018 | |
Unaffiliated investments, at value (identified cost, $635,367,594) | | $ | 633,651,010 | |
Cash | | | 52,065,080 | |
Interest receivable | | | 6,166,486 | |
Receivable for investments sold | | | 619,588 | |
Receivable from affiliate | | | 9,137 | |
Total assets | | $ | 692,511,301 | |
|
| Liabilities | |
Payable for investments purchased | | $ | 3,503,064 | |
Payable for when-issued securities | | | 12,407,535 | |
Payable to affiliates: | | | | |
Investment adviser fee | | | 181,135 | |
Accrued expenses | | | 119,743 | |
Total liabilities | | $ | 16,211,477 | |
Net Assets applicable to investors’ interest in Portfolio | | $ | 676,299,824 | |
|
| Sources of Net Assets | |
Investors’ capital | | $ | 678,016,408 | |
Net unrealized depreciation | | | (1,716,584 | ) |
Total | | $ | 676,299,824 | |
| | | | |
| | 31 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Statement of Operations
| | | | |
| Investment Income | | Year Ended
January 31, 2018 | |
Interest | | $ | 13,799,088 | |
Total investment income | | $ | 13,799,088 | |
|
| Expenses | |
Investment adviser fee | | $ | 1,871,187 | |
Trustees’ fees and expenses | | | 29,753 | |
Custodian fee | | | 138,394 | |
Legal and accounting services | | | 54,159 | |
Miscellaneous | | | 18,708 | |
Total expenses | | $ | 2,112,201 | |
Deduct — | | | | |
Allocation of expenses to affiliate | | $ | 65,579 | |
Total expense reductions | | $ | 65,579 | |
| |
Net expenses | | $ | 2,046,622 | |
| |
Net investment income | | $ | 11,752,466 | |
|
| Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) — | | | | |
Investment transactions | | $ | (1,636,424 | ) |
Net realized loss | | $ | (1,636,424 | ) |
Change in unrealized appreciation (depreciation) — | | | | |
Investments | | $ | 7,838,450 | |
Net change in unrealized appreciation (depreciation) | | $ | 7,838,450 | |
| |
Net realized and unrealized gain | | $ | 6,202,026 | |
| |
Net increase in net assets from operations | | $ | 17,954,492 | |
| | | | |
| | 32 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Statements of Changes in Net Assets
| | | | | | | | |
| Increase (Decrease) in Net Assets | | Year Ended
January 31, 2018 | | | Period Ended
January 31, 2017(1) | |
From operations — | | | | | | | | |
Net investment income | | $ | 11,752,466 | | | $ | 6,604,848 | |
Net realized loss | | | (1,636,424 | ) | | | (5,856,593 | ) |
Net change in unrealized appreciation (depreciation) | | | 7,838,450 | | | | (14,144,548 | ) |
Net increase (decrease) in net assets from operations | | $ | 17,954,492 | | | $ | (13,396,293 | ) |
Capital transactions — | | | | | | | | |
Contributions | | $ | 211,735,515 | | | $ | 364,959,593 | |
Withdrawals | | | (55,926,844 | ) | | | (83,807,353 | ) |
Portfolio transaction fee | | | 432,365 | | | | 671,446 | |
Assets contributed by Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond Fund | | | — | | | | 233,676,903 | |
Net increase in net assets from capital transactions | | $ | 156,241,036 | | | $ | 515,500,589 | |
| | |
Net increase in net assets | | $ | 174,195,528 | | | $ | 502,104,296 | |
| | |
| Net Assets | | | | | | | | |
At beginning of period | | $ | 502,104,296 | | | $ | — | |
At end of period | | $ | 676,299,824 | | | $ | 502,104,296 | |
| (1) | For the period from the start of business, March 28, 2016, to January 31, 2017. |
| | | | |
| | 33 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Financial Highlights
| | | | | | | | |
| Ratios/Supplemental Data | | Year Ended
January 31, 2018 | | | Period Ended
January 31, 2017(1) | |
Ratios (as a percentage of average daily net assets): | | | | | | | | |
Expenses(2) | | | 0.35 | % | | | 0.35 | %(3) |
Net investment income | | | 2.01 | % | | | 1.71 | %(3) |
Portfolio Turnover | | | 35 | % | | | 30 | %(4) |
| | |
Total Return(2) | | | 3.83 | % | | | (0.80 | )%(4) |
| | |
Net assets, end of period (000’s omitted) | | $ | 676,300 | | | $ | 502,104 | |
| (1) | For the period from the start of business, March 28, 2016, to January 31, 2017. |
| (2) | The investment adviser reimbursed certain operating expenses (equal to 0.01% and 0.02% of average daily net assets for the year ended January 31, 2018 and the period ended January 31, 2017, respectively). Absent this reimbursement, total return would be lower. |
| | | | |
| | 34 | | See Notes to Financial Statements. |
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Notes to Financial Statements
1 Significant Accounting Policies
5-to-15 Year Laddered Municipal Bond Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, open-end management investment company. The Portfolio’s investment objective is to seek current income exempt from regular federal income tax. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At January 31, 2018, Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond Fund and Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares held an interest of 99.0% and 1.0%, respectively, in the Portfolio.
The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.
A Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.
Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.
Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
B Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.
C Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount.
D Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.
As of January 31, 2018, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
E Use of Estimates — The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.
F Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.
G When-Issued Securities and Delayed Delivery Transactions — The Portfolio may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Portfolio maintains cash and/or security positions for these commitments such that sufficient liquid assets will
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Notes to Financial Statements — continued
be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
H Capital Transactions — To seek to protect the Portfolio (and, indirectly, other investors in the Portfolio) against the costs of accommodating investor inflows and outflows, the Portfolio imposes a fee (“Portfolio transaction fee”) on inflows and outflows by Portfolio investors. The Portfolio transaction fee is sized to cover the estimated cost to the Portfolio of, in connection with issuing interests, converting the cash and/or other instruments it receives to the desired composition and, in connection with redeeming its interests, converting Portfolio holdings to cash and/or other instruments to be distributed. Such fee, which may vary over time, is limited to amounts that have been authorized by the Board of Trustees and determined by Eaton Vance Management (EVM) to be appropriate. The maximum Portfolio transaction fee is 2% of the amount of net contributions or withdrawals. The Portfolio transaction fee is recorded as a component of capital transactions on the Statements of Changes in Net Assets.
2 Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio. The fee is computed at an annual rate of 0.32% of the Portfolio’s average daily net assets up to $1 billion and at reduced rates on average daily net assets of $1 billion or more, and is payable monthly. For the year ended January 31, 2018, the Portfolio’s investment adviser fee amounted to $1,871,187 or 0.32% of the Portfolio’s average daily net assets. Pursuant to a voluntary expense reimbursement, BMR was allocated $65,579 of the Portfolio’s operating expenses for the year ended January 31, 2018.
Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended January 31, 2018, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.
3 Transfer of Assets
Investment operations began on March 28, 2016 with the transfer of investments and related assets by Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond Fund of $233,676,903, including net unrealized appreciation of $4,589,514, in exchange for an interest in the Portfolio. The transaction was structured for tax purposes as a tax-free exchange under the Internal Revenue Code.
4 Purchases and Sales of Investments
Purchases and sales of investments, other than short-term obligations, aggregated $350,253,439 and $194,613,875, respectively, for the year ended January 31, 2018.
5 Federal Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2018, as determined on a federal income tax basis, were as follows:
| | | | |
| |
Aggregate cost | | $ | 635,363,324 | |
| |
Gross unrealized appreciation | | $ | 5,898,678 | |
Gross unrealized depreciation | | | (7,610,992 | ) |
| |
Net unrealized depreciation | | $ | (1,712,314 | ) |
6 Line of Credit
The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $625 million unsecured line of credit agreement with a group of banks, which is in effect through October 30, 2018. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended January 31, 2018.
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Notes to Financial Statements — continued
7 Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is 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 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 a fund’s own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At January 31, 2018, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:
| | | | | | | | | | | | | | | | |
| Asset Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Tax-Exempt Investments | | $ | — | | | $ | 633,651,010 | | | $ | — | | | $ | 633,651,010 | |
| | | | |
Total Investments | | $ | — | | | $ | 633,651,010 | | | $ | — | | | $ | 633,651,010 | |
The Portfolio held no investments or other financial instruments as of January 31, 2017 whose fair value was determined using Level 3 inputs. At January 31, 2018, there were no investments transferred between Level 1 and Level 2 during the year then ended.
5-to-15 Year Laddered Municipal Bond Portfolio
January 31, 2018
Report of Independent Registered Public Accounting Firm
To the Trustees and Investors of 5-to-15 Year Laddered Municipal Bond Portfolio:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of 5-to-15 Year Laddered Municipal Bond Portfolio (the “Portfolio”), including the portfolio of investments, as of January 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year ended January 31, 2018 and for the period from the start of business, March 28, 2016 to January 31, 2017, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of January 31, 2018, and the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year ended January 31, 2018 and for the period from the start of business, March 28, 2016 to January 31, 2017, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2018, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
March 21, 2018
We have served as the auditor of one or more Eaton Vance investment companies since 1959.
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Management and Organization
Fund Management. The Trustees of Eaton Vance NextShares Trust II (the Trust) and 5-to-15 Year Laddered Municipal Bond Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust’s and Portfolio’s affairs. The Trustees and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust and the Portfolio hold indefinite terms of office. The “noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110. As used below, “EVC” refers to Eaton Vance Corp., “EV” refers to Eaton Vance, Inc., “EVM” refers to Eaton Vance Management, “BMR” refers to Boston Management and Research and “EVD” refers to Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Fund’s principal underwriter, the Portfolio’s placement agent and a wholly-owned subsidiary of EVC. Each officer affiliated with Eaton Vance may hold a position with other Eaton Vance affiliates that is comparable to his or her position with EVM listed below. Each Trustee oversees 177 portfolios in the Eaton Vance Complex (including all master and feeder funds in a master feeder structure). Each officer serves as an officer of certain other Eaton Vance funds. Each Trustee and officer serves until his or her successor is elected.
| | | | | | |
| Name and Year of Birth | | Position(s) with the Trust
and the Portfolio | | Trustee Since(1) | | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | | | | | | |
| | | |
Thomas E. Faust Jr. 1958 | | Trustee | | 2007 | | Chairman, Chief Executive Officer and President of EVC, Director and President of EV, Chief Executive Officer and President of EVM and BMR, and Director of EVD. Trustee and/or officer of 177 registered investment companies. Mr. Faust is an interested person because of his positions with EVM, BMR, EVD, EVC and EV, which are affiliates of the Trust and the Portfolio. Directorships in the Last Five Years.(2) Director of EVC and Hexavest Inc. (investment management firm). |
| | | |
| | | | | | |
Noninterested Trustees | | | | |
| | | |
Mark R. Fetting 1954 | | Trustee | | 2016 | | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Directorships in the Last Five Years. None. |
| | | |
Cynthia E. Frost 1961 | | Trustee | | 2014 | | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012); Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000); Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995); Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989); Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Directorships in the Last Five Years. None. |
| | | |
George J. Gorman 1952 | | Trustee | | 2014 | | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Directorships in the Last Five Years. Formerly, Trustee of the BofA Funds Series Trust (11 funds) (2011-2014) and of the Ashmore Funds (9 funds) (2010-2014). |
| | | |
Valerie A. Mosley 1960 | | Trustee | | 2014 | | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Former Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Former Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Directorships in the Last Five Years.(2) Director of Dynex Capital, Inc. (mortgage REIT) (since 2013). |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Management and Organization — continued
| | | | | | |
| Name and Year of Birth | | Position(s) with the Trust
and the Portfolio | | Trustee Since(1) | | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | | | | |
| | | |
William H. Park 1947 | | Chairperson of the Board and Trustee | | 2016 (Chairperson) 2003 (Trustee) | | Private investor. Formerly, Consultant (management and transactional) (2012-2014). Formerly, Chief Financial Officer, Aveon Group L.P. (investment management firm) (2010-2011). Formerly, Vice Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and Chief Financial Officer, United Asset Management Corporation (investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (a registered public accounting firm) (1972-1981). Directorships in the Last Five Years.(2) None. |
| | | |
Helen Frame Peters 1948 | | Trustee | | 2008 | | Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002). Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm) (1991-1998). Directorships in the Last Five Years.(2) None. |
| | | |
Susan J. Sutherland 1957 | | Trustee | | 2015 | | Private investor. Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Directorships in the Last Five Years. Formerly, Director of Montpelier Re Holdings Ltd. (global provider of customized insurance and reinsurance products) (2013-2015). |
| | | |
Harriett Tee Taggart 1948 | | Trustee | | 2011 | | Managing Director, Taggart Associates (a professional practice firm). Formerly, Partner and Senior Vice President, Wellington Management Company, LLP (investment management firm) (1983-2006). Ms. Taggart has apprised the Board of Trustees that she intends to retire as a Trustee of all Eaton Vance Funds in 2018. Directorships in the Last Five Years.(2) Director of Albemarle Corporation (chemicals manufacturer) (since 2007) and The Hanover Group (specialty property and casualty insurance company) (since 2009). |
| | | |
Scott E. Wennerholm 1959 | | Trustee | | 2016 | | Trustee at Wheelock College (postsecondary institution) (since 2012). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Directorships in the Last Five Years. None. |
| | | |
| | | | | | |
Principal Officers who are not Trustees | | |
| Name and Year of Birth | | Position(s) with the Trust and the Portfolio | | Officer
Since(3) | | Principal Occupation(s) During Past Five Years |
Payson F. Swaffield 1956 | | President | | 2003 | | Vice President and Chief Income Investment Officer of EVM and BMR. Also Vice President of Calvert Research and Management (“CRM”). |
| | | |
Maureen A. Gemma 1960 | | Vice President, Secretary and Chief Legal Officer | | 2005 | | Vice President of EVM and BMR. Also Vice President and officer of CRM. |
| | | |
James F. Kirchner 1967 | | Treasurer | | 2007 | | Vice President of EVM and BMR. Also Vice President and officer of CRM. |
Eaton Vance
TABS 5-to-15 Year Laddered Municipal Bond NextShares
January 31, 2018
Management and Organization — continued
| | | | | | |
| Name and Year of Birth | | Position(s) with the Trust and the Portfolio | | Officer
Since(3) | | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | | |
| | | |
Richard F. Froio 1968 | | Chief Compliance Officer | | 2017 | | Vice President of EVM and BMR since 2017. Formerly Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
| (1) | Year first appointed to serve as Trustee for a fund in the Eaton Vance family of funds. Each Trustee has served continuously since appointment unless indicated otherwise. |
| (2) | During their respective tenures, the Trustees (except for Mmes. Frost and Sutherland and Messrs. Fetting, Gorman and Wennerholm) also served as Board members of one or more of the following funds (which operated in the years noted): eUnitsTM 2 Year U.S. Market Participation Trust: Upside to Cap / Buffered Downside (launched in 2012 and terminated in 2014); and eUnitsTM 2 Year U.S. Market Participation Trust II: Upside to Cap / Buffered Downside (launched in 2012 and terminated in 2014). However, Ms. Mosley did not serve as a Board member of eUnitsTM 2 Year U.S. Market Participation Trust: Upside to Cap / Buffered Downside (launched in 2012 and terminated in 2014). |
| (3) | Year first elected to serve as officer of a fund in the Eaton Vance family of funds when the officer has served continuously. Otherwise, year of most recent election as an officer of a fund in the Eaton Vance family of funds. Titles may have changed since initial election. |
The SAI for the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.
Eaton Vance Funds
IMPORTANT NOTICES
Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
| • | | Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
| • | | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
| • | | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
| • | | We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Your financial advisor may household the mailing of your documents indefinitely unless you instruct your financial advisor otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by your financial advisor.
Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.
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Investment Adviser of 5-to-15 Year Laddered
Municipal Bond Portfolio
Boston Management and Research
Two International Place
Boston, MA 02110
Investment Adviser and Administrator of Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares
Eaton Vance Management
Two International Place
Boston, MA 02110
Distributor*
Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer and Dividend Disbursing Agent
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, MA 02116-5022
Fund Offices
Two International Place
Boston, MA 02110
| * | FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org. |
22628 1.31.18
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is a private investor. Previously, he served as a consultant, as the Chief Financial Officer of Aveon Group, L.P. (an investment management firm), as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief
Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).
Item 4. Principal Accountant Fees and Services
Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares (the “Fund”) is a series of Eaton Vance NextShares Trust II (the “Trust”), a Massachusetts business trust, which, including the Fund, contains a total of 9 series (the “Series”). The Trust is registered under the Investment Company Act of 1940 as an open-end management investment company. This Form N-CSR relates to the Fund’s annual report.
Rule 2-01(c)(1)(ii)(A) of Regulation S-X (the “Loan Rule”) prohibits an accounting firm, such as the Trust’s principal accountant, Deloitte & Touche LLP (“D&T”), from having certain financial relationships with their audit clients and affiliated entities. Specifically, the Loan Rule provides, in relevant part, that an accounting firm generally would not be independent if it or a “covered person” of the accounting firm (within the meaning of applicable SEC rules relating to auditor independence) receives a loan from a lender that is a “record or beneficial owner of more than ten percent of the audit client’s equity securities.” Based on information provided to the Audit Committee of the Board of Trustees (the “Audit Committee”) of the Eaton Vance family of funds by D&T, certain relationships between D&T and its affiliates (“Deloitte Entities”) and one or more lenders who are record owners of shares of one or more funds within the Eaton Vance family of funds (the “Funds”) implicate the Loan Rule, calling into question D&T’s independence with respect to the Funds. The Funds are providing this disclosure to explain the facts and circumstances as well as D&T’s conclusions concerning D&T’s objectivity and impartiality with respect to the audits of the Funds notwithstanding the existence of one or more breaches of the Loan Rule.
On June 20, 2016, the U.S. Securities and Exchange Commission (the “SEC”) issued no-action relief to another mutual fund complex (see Fidelity Management & Research Company et al., No-Action Letter (June 20, 2016) (the “No-Action Letter”)) related to an auditor independence issue arising under the Loan Rule. In the No-Action Letter, the SEC indicated that it would not recommend enforcement action against the fund group if the auditor is not in compliance with the Loan Rule provided that: (1) the auditor has complied with PCAOB Rule 3526(b)(1) and 3526(b)(2); (2) the auditor’s non-compliance under the Loan Rule is with respect to certain lending relationships; and (3) notwithstanding such non-compliance, the auditor has concluded that it is objective and impartial with respect to the issues encompassed within its engagement as auditor of the funds.
Based on information provided by D&T to the Audit Committee, the requirements of the No-Action Letter appear to be met with respect to D&T’s lending relationships described above. Among other things, D&T has advised the Audit Committee of its conclusion that the consequences of the breach of the Loan Rule have been satisfactorily addressed, that D&T’s objectivity and impartiality in the planning and conduct of the audits of the Fund’s financial statements has not been compromised and that, notwithstanding the breach, D&T is in a position to continue as the auditor for the Funds and D&T does not believe any actions need to be taken with respect to previously issued reports by D&T. D&T has advised the Audit Committee that these conclusions were based in part on its consideration of the No-Action Letter and other relevant information communicated to the Audit Committee.
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the initial fiscal period from the commencement of operations on March 30, 2016 to January 31, 2017 and for the fiscal year ended January 31, 2018 by D&T for professional services rendered for the audit of the Fund’s annual financial statements and fees billed for other services rendered by D&T during such periods.
Eaton Vance TABS 5-to-15 Year Laddered Municipal Bond NextShares
| | | | | | | | |
Fiscal Year Ended* | | 1/31/17 | | | 1/31/18 | |
| | | | | | | | |
Audit Fees | | $ | 14,000 | | | $ | 14,000 | |
Audit-Related Fees(1) | | $ | 0 | | | $ | 0 | |
Tax Fees(2) | | $ | 9,449 | | | $ | 9,591 | |
All Other Fees(3) | | $ | 0 | | | $ | 0 | |
| | | | | | | | |
Total | | $ | 23,449 | | | $ | 23,591 | |
| | | | | | | | |
| * | Registrant commenced operations on March 30, 2016. |
| (1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
| (2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
| (3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Fund (the only series of the Trust) by D&T for the last two fiscal years of the Fund; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the last two fiscal years of each Series.
| | | | | | | | |
Fiscal Year Ended* | | 1/31/17 | | | 1/31/18 | |
Registrant(1) | | $ | 9,449 | | | $ | 9,591 | |
Eaton Vance(2) | | $ | 46,000 | | | $ | 148,018 | |
| * | Registrant commenced operations on March 30, 2016. |
| (1) | Includes all of the Series of the Trust. During the fiscal year reported above, certain of the Funds were “feeder” funds in a “master-feeder” fund structure or funds of funds. |
| (2) | Various subsidiaries of Eaton Vance Corp. act in either an investment advisory and/or service provider capacity with respect to the Series and/or their respective “master” funds (if applicable). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management 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
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
| | |
| |
(a)(1) | | Registrant’s Code of Ethics – Not applicable (please see Item 2). |
| |
(a)(2)(i) | | Treasurer’s Section 302 certification. |
| |
(a)(2)(ii) | | President’s Section 302 certification. |
| |
(b) | | Combined Section 906 certification. |
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.
Eaton Vance NextShares Trust II
| | |
| By: | | /s/ Payson F. Swaffield |
| | Payson F. Swaffield |
| | President |
| |
| Date: | | March 27, 2018 |
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 persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ James F. Kirchner |
| | James F. Kirchner |
| | Treasurer |
| |
| Date: | | March 27, 2018 |
| | |
| By: | | /s/ Payson F. Swaffield |
| | Payson F. Swaffield |
| | President |
| |
| Date: | | March 27, 2018 |
