Parametric
Commodity Strategy Fund
September 30, 2023
Consolidated Portfolio of Investments (Unaudited)
Exchange-Traded Funds — 4.1% |
Security | Shares | Value | |
Equity Funds — 4.1% | |||
SPDR Gold MiniShares Trust(1) | 1,577,000 | $ 57,812,820 | |
Total Exchange-Traded Funds (identified cost $54,345,418) | $ 57,812,820 |
Short-Term Investments — 96.5% |
Affiliated Fund — 5.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(2) | 82,876,333 | $ 82,876,333 | |
Total Affiliated Fund (identified cost $82,876,333) | $ 82,876,333 |
U.S. Treasury Obligations — 90.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill: | |||
0.00%, 10/12/23 | $ | 13,750 | $ 13,729,862 |
0.00%, 11/2/23(3) | 50,000 | 49,772,452 | |
0.00%, 11/21/23 | 50,000 | 49,631,250 | |
0.00%, 12/5/23 | 18,000 | 17,830,032 | |
0.00%, 1/2/24 | 13,750 | 13,563,975 | |
0.00%, 1/4/24 | 18,000 | 17,750,900 | |
0.00%, 1/11/24(3) | 103,000 | 101,469,170 | |
0.00%, 1/18/24(3) | 60,000 | 59,046,000 | |
0.00%, 1/25/24(3) | 180,000 | 176,948,189 | |
0.00%, 2/15/24 | 13,750 | 13,474,889 | |
0.00%, 2/29/24 | 13,750 | 13,446,139 | |
0.00%, 3/21/24(3) | 58,750 | 57,266,504 | |
0.00%, 5/16/24(3) | 70,000 | 67,679,067 | |
0.00%, 6/13/24 | 63,750 | 61,387,425 | |
0.00%, 7/11/24 | 18,000 | 17,263,599 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill: (continued) | |||
0.00%, 8/8/24 | $ | 81,750 | $ 78,079,962 |
U.S. Treasury Inflation-Protected Note:(4) | |||
0.125%, 7/15/24 | 128,733 | 125,752,361 | |
0.50%, 4/15/24 | 139,378 | 136,934,897 | |
0.625%, 1/15/24 | 32,751 | 32,438,053 | |
U.S. Treasury Note: | |||
0.125%, 1/15/24 | 36,000 | 35,461,902 | |
0.125%, 2/15/24 | 36,000 | 35,303,139 | |
0.25%, 3/15/24 | 10,000 | 9,772,091 | |
0.375%, 8/15/24 | 13,750 | 13,155,439 | |
0.50%, 11/30/23 | 50,000 | 49,604,041 | |
1.25%, 8/31/24 | 13,750 | 13,233,887 | |
3.00%, 7/31/24 | 13,750 | 13,470,707 | |
Total U.S. Treasury Obligations (identified cost $1,274,968,146) | $1,273,465,932 | ||
Total Short-Term Investments (identified cost $1,357,844,479) | $1,356,342,265 | ||
Total Investments — 100.6% (identified cost $1,412,189,897) | $1,414,155,085 | ||
Other Assets, Less Liabilities — (0.6)% | $ (8,626,033) | ||
Net Assets — 100.0% | $1,405,529,052 |
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
(3) | Security (or a portion thereof) has been pledged as collateral for open futures contracts. |
(4) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Commodity Futures | |||||
Brent Crude Oil | 294 | Long | 11/30/23 | $ 26,565,840 | $ 467,392 |
Cocoa | 724 | Long | 12/13/23 | 24,746,320 | 680,796 |
Coffee | 880 | Long | 12/18/23 | 48,229,500 | (4,408,313) |
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Parametric
Commodity Strategy Fund
September 30, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Futures Contracts (continued) | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Commodity Futures (continued) | |||||
Copper | 533 | Long | 12/27/23 | $ 49,802,187 | $ (528,905) |
Corn | 2,152 | Long | 12/14/23 | 51,298,300 | (2,301,325) |
Cotton No. 2 | 598 | Long | 12/6/23 | 26,057,850 | 1,999,429 |
Feeder Cattle | 102 | Long | 1/25/24 | 13,160,550 | (23,202) |
Gold | 220 | Long | 12/27/23 | 41,054,200 | (3,299,120) |
Kansas Wheat | 348 | Long | 12/14/23 | 11,549,250 | (2,660,985) |
Lean Hogs | 876 | Long | 12/14/23 | 25,149,960 | (1,110,466) |
Live Cattle | 691 | Long | 12/29/23 | 51,942,470 | 438,675 |
LME Copper | 243 | Long | 10/16/23 | 50,051,925 | (470,969) |
LME Copper | 248 | Long | 11/13/23 | 51,205,800 | (2,104,900) |
LME Copper | 247 | Long | 12/18/23 | 51,067,250 | (481,019) |
LME Lead | 489 | Long | 10/16/23 | 26,717,738 | 1,638,175 |
LME Lead | 493 | Long | 11/13/23 | 26,720,600 | 299,269 |
LME Lead | 468 | Long | 12/18/23 | 25,400,701 | (682,988) |
LME Nickel | 394 | Long | 10/16/23 | 43,726,908 | (6,005,796) |
LME Nickel | 409 | Long | 11/13/23 | 45,597,774 | (7,173,366) |
LME Nickel | 417 | Long | 12/18/23 | 46,689,822 | (4,812,822) |
LME Primary Aluminum | 1,877 | Long | 10/16/23 | 109,757,576 | 9,230,763 |
LME Primary Aluminum | 1,906 | Long | 11/13/23 | 111,810,725 | 5,122,375 |
LME Primary Aluminum | 1,898 | Long | 12/18/23 | 111,626,125 | 7,208,888 |
LME Tin | 90 | Long | 10/16/23 | 10,675,800 | (2,110,040) |
LME Tin | 96 | Long | 11/13/23 | 11,430,720 | (1,931,760) |
LME Tin | 100 | Long | 12/18/23 | 11,959,500 | (1,137,750) |
LME Zinc | 851 | Long | 10/16/23 | 56,288,332 | 6,010,094 |
LME Zinc | 854 | Long | 11/13/23 | 56,561,488 | 3,241,544 |
LME Zinc | 845 | Long | 12/18/23 | 56,039,344 | 3,770,600 |
Low Sulphur Gasoil | 587 | Long | 12/12/23 | 54,400,225 | 3,833,168 |
Natural Gas | 2,602 | Long | 12/27/23 | 92,761,300 | (44,054,373) |
NY Harbor ULSD | 410 | Long | 11/30/23 | 54,377,316 | 2,308,647 |
Palladium | 211 | Long | 12/27/23 | 26,501,600 | (316,275) |
Platinum | 560 | Long | 1/29/24 | 25,645,200 | (106,768) |
RBOB Gasoline | 1,003 | Long | 11/30/23 | 98,979,250 | (5,235,635) |
Robusta Coffee | 526 | Long | 11/24/23 | 12,950,120 | (211,155) |
Silver | 894 | Long | 12/27/23 | 100,351,500 | (4,222,254) |
Soybean Meal | 659 | Long | 1/12/24 | 25,002,460 | (1,041,969) |
Soybean Oil | 1,475 | Long | 1/12/24 | 48,869,700 | (5,040,326) |
Soybeans | 762 | Long | 1/12/24 | 49,320,450 | (3,284,148) |
Sugar No. 11 | 838 | Long | 2/29/24 | 24,853,069 | 2,320,953 |
Wheat | 864 | Long | 12/14/23 | 23,392,800 | (5,157,781) |
White Sugar | 362 | Long | 11/15/23 | 12,776,790 | (200,170) |
WTI Crude Oil | 305 | Long | 11/20/23 | 27,084,000 | 970,103 |
LME Copper | (243) | Short | 10/16/23 | (50,051,925) | 2,122,194 |
LME Copper | (248) | Short | 11/13/23 | (51,205,800) | 504,525 |
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Parametric
Commodity Strategy Fund
September 30, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Futures Contracts (continued) | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Commodity Futures (continued) | |||||
LME Lead | (489) | Short | 10/16/23 | $ (26,717,738) | $ (503,900) |
LME Lead | (493) | Short | 11/13/23 | (26,720,600) | 736,525 |
LME Nickel | (394) | Short | 10/16/23 | (43,726,908) | 6,915,882 |
LME Nickel | (409) | Short | 11/13/23 | (45,597,774) | 4,714,476 |
LME Primary Aluminum | (1,877) | Short | 10/16/23 | (109,757,575) | (5,381,906) |
LME Primary Aluminum | (1,906) | Short | 11/13/23 | (111,810,725) | (7,675,595) |
LME Tin | (90) | Short | 10/16/23 | (10,675,800) | 1,867,050 |
LME Tin | (96) | Short | 11/13/23 | (11,430,720) | 1,119,360 |
LME Zinc | (851) | Short | 10/16/23 | (56,288,331) | (3,194,150) |
LME Zinc | (854) | Short | 11/13/23 | (56,561,488) | (3,805,638) |
LME Zinc | (37) | Short | 12/18/23 | (2,453,794) | (127,974) |
$(63,282,860) |
Abbreviations: | |
LME | – London Metal Exchange |
RBOB | – Reformulated Blendstock for Oxygenate Blending |
ULSD | – Ultra-Low Sulfur Diesel |
WTI | – West Texas Intermediate |
Basis for Consolidation
The Fund seeks to gain exposure to the commodity markets, in whole or in part, through investments in PSC Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Fund. The Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at September 30, 2023 were $282,329,366 or 20.1% of the Fund’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Fund and the Subsidiary.
The Fund is subject to commodity risk in the normal course of pursuing its investment objective. Commodity risk is the risk that the value of a commodity or commodity index will fluctuate based on increases or decreases in the commodities market and factors specific to a particular industry or commodity. The Fund invests primarily in commodities-linked derivative investments, including commodity futures contracts and commodity exchange-traded funds that provide exposure to the investment returns of the commodities markets, without investing directly in physical commodities.
At September 30, 2023, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
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Parametric
Commodity Strategy Fund
September 30, 2023
Consolidated Portfolio of Investments (Unaudited) — continued
Affiliated Investments
At September 30, 2023, the value of the Fund’s investment in funds that may be deemed to be affiliated was $82,876,333, which represents 5.9% of the Fund’s net assets. Transactions in such investments by the Fund for the fiscal year to date ended September 30, 2023 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $127,956,732 | $2,630,321,801 | $(2,675,402,200) | $ — | $ — | $82,876,333 | $3,641,806 | 82,876,333 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
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 September 30, 2023, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 57,812,820 | $ — | $ — | $ 57,812,820 |
Short-Term Investments: | ||||
Affiliated Fund | 82,876,333 | — | — | 82,876,333 |
U.S. Treasury Obligations | — | 1,273,465,932 | — | 1,273,465,932 |
Total Investments | $ 140,689,153 | $1,273,465,932 | $ — | $1,414,155,085 |
Futures Contracts | $ 67,520,883 | $ — | $ — | $ 67,520,883 |
Total | $ 208,210,036 | $1,273,465,932 | $ — | $1,481,675,968 |
Liability Description | ||||
Futures Contracts | $(130,803,743) | $ — | $ — | $ (130,803,743) |
Total | $(130,803,743) | $ — | $ — | $ (130,803,743) |
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
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