Parametric
TABS 10-to-20 Year Laddered Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 69.5% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 2.8% | |||
Vermont Bond Bank, (Vermont State Colleges System), 3.00%, 10/1/36 | $ | 460 | $ 436,641 |
$ 436,641 | |||
Education — 0.4% | |||
University of Michigan, 4.00%, 4/1/38 | $ | 60 | $ 62,750 |
$ 62,750 | |||
Electric Utilities — 0.3% | |||
Missouri Joint Municipal Electric Utility Commission, (Prairie State Energy Campus), 4.00%, 12/1/35 | $ | 50 | $ 51,680 |
$ 51,680 | |||
Escrowed/Prerefunded — 0.4% | |||
Tucson, AZ, Water System Revenue, Prerefunded to 7/1/25, 5.00%, 7/1/32 | $ | 60 | $ 64,727 |
$ 64,727 | |||
General Obligations — 11.1% | |||
California, 4.00%, 9/1/32 | $ | 225 | $ 234,387 |
Colonial School District, PA, 5.00%, 2/15/36 | 100 | 107,010 | |
Connecticut, 4.00%, 6/1/33 | 350 | 368,826 | |
La Canada Unified School District, CA, (Election of 2017), 4.00%, 8/1/40 | 140 | 141,667 | |
Los Angeles Community College District, CA, (Election of 2008), 4.00%, 8/1/33 | 125 | 129,180 | |
Mississippi Development Bank, (Rankin County School District), 4.00%, 6/1/38 | 160 | 163,048 | |
Monterey Peninsula Community College District, CA, 4.00%, 8/1/33 | 100 | 102,972 | |
Rio Grande City Grulla Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/34 | 250 | 267,548 | |
Rowland Unified School District, CA, (Election of 2012), 0.00%, 8/1/34 | 400 | 232,304 | |
$ 1,746,942 | |||
Hospital — 17.3% | |||
Cobb County Kennestone Hospital Authority, GA, (WellStar Health System, Inc.): | |||
4.00%, 4/1/34 | $ | 250 | $ 253,975 |
4.00%, 4/1/39 | 500 | 502,680 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Glynn-Brunswick Memorial Hospital Authority, GA, (Southeast Georgia Health System), 4.00%, 8/1/35 | $ | 500 | $ 502,050 |
Massachusetts Development Finance Agency, (Berkshire Retirement Community, Inc.), 5.00%, 7/1/31 | 50 | 53,178 | |
New York City Health and Hospitals Corp., NY: | |||
5.00%, 2/15/37 | 325 | 368,914 | |
5.00%, 2/15/38 | 345 | 390,916 | |
New York Dormitory Authority, (Catholic Health System Obligated Group), 4.00%, 7/1/39 | 250 | 216,362 | |
Pima County Industrial Development Authority, AZ, (Tucson Medical Center), 5.00%, 4/1/33 | 150 | 170,871 | |
Richmond County Hospital Authority, GA, (University Health Services, Inc.), 4.00%, 1/1/36 | 150 | 151,040 | |
Tampa, FL, (H. Lee Moffitt Cancer Center), 5.00%, 7/1/35 | 100 | 110,794 | |
$ 2,720,780 | |||
Housing — 0.6% | |||
Vermont Housing Finance Agency, (FHLMC), (FNMA), (GNMA), 3.85%, 11/1/33 | $ | 84 | $ 84,712 |
$ 84,712 | |||
Insured - General Obligations — 0.4% | |||
Grossmont Union High School District, CA, (Election of 2008), (AGM), 0.00%, 8/1/33 | $ | 100 | $ 60,765 |
$ 60,765 | |||
Insured - Special Tax Revenue — 1.8% | |||
Vineyard Redevelopment Agency, UT: | |||
(AGM), 4.00%, 5/1/33 | $ | 150 | $ 158,045 |
(AGM), 4.00%, 5/1/35 | 115 | 120,521 | |
$ 278,566 | |||
Insured - Transportation — 2.4% | |||
New Orleans Aviation Board, LA: | |||
(AGM), 5.00%, 1/1/32 | $ | 100 | $ 109,277 |
(AGM), 5.00%, 1/1/33 | 100 | 108,842 | |
(AGM), 5.00%, 1/1/34 | 150 | 163,064 | |
$ 381,183 | |||
Lease Revenue/Certificates of Participation — 3.9% | |||
Lake Houston Redevelopment Authority, TX: | |||
3.00%, 9/1/34 | $ | 190 | $ 169,013 |
4.00%, 9/1/33 | 150 | 151,708 |
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Parametric
TABS 10-to-20 Year Laddered Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Lease Revenue/Certificates of Participation (continued) | |||
New Jersey Economic Development Authority, (School Facilities Construction), 5.00%, 6/15/33 | $ | 150 | $ 155,194 |
Palo Alto, CA, (California Avenue Parking Garage), 5.00%, 11/1/38 | 115 | 128,944 | |
$ 604,859 | |||
Other Revenue — 2.7% | |||
Fort Myers, FL, Capital Improvement Revenue, 5.00%, 12/1/36 | $ | 250 | $ 267,595 |
Wisconsin, Environmental Improvement Fund Revenue: | |||
5.00%, 6/1/34 | 50 | 53,141 | |
5.00%, 6/1/35 | 100 | 106,252 | |
$ 426,988 | |||
Senior Living/Life Care — 10.1% | |||
Baltimore County, MD, (Riderwood Village, Inc.), 4.00%, 1/1/32 | $ | 350 | $ 370,713 |
Maryland Health and Higher Educational Facilities Authority, (Broadmead): | |||
5.00%, 7/1/31 | 150 | 162,774 | |
5.00%, 7/1/32 | 220 | 238,524 | |
Missouri Health and Educational Facilities Authority, (Lutheran Senior Services), 5.00%, 2/1/31 | 100 | 104,252 | |
Orange County Health Facilities Authority, FL, (Presbyterian Retirement Communities), 5.00%, 8/1/35 | 150 | 158,532 | |
West Cornwall Township Municipal Authority, PA, (Lebanon Valley Brethren Home): | |||
4.00%, 11/15/31 | 200 | 205,752 | |
4.00%, 11/15/36 | 220 | 223,135 | |
4.00%, 11/15/41 | 125 | 125,293 | |
$ 1,588,975 | |||
Special Tax Revenue — 3.5% | |||
Baltimore, MD, Special Tax Obligation, 5.00%, 6/15/29 | $ | 50 | $ 51,944 |
New York City Transitional Finance Authority, NY, Future Tax Revenue, 4.00%, 2/1/42 | 500 | 498,490 | |
$ 550,434 | |||
Transportation — 11.8% | |||
Bay Area Toll Authority, CA, Toll Bridge Revenue, (San Francisco Bay Area), 1.34%, (SIFMA + 0.90%), 5/1/23 (Put Date), 4/1/47(1) | $ | 150 | $ 149,904 |
Pennsylvania Turnpike Commission, 5.00%, 12/1/34 | 500 | 570,315 | |
Port Authority of New York and New Jersey, 4.00%, 7/15/38 | 500 | 505,010 | |
Salt Lake City, UT, (Salt Lake City International Airport), 5.00%, 7/1/36 | 200 | 217,698 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Texas Transportation Commission, (Central Texas Turnpike System): | |||
0.00%, 8/1/35 | $ | 300 | $ 171,543 |
0.00%, 8/1/38 | 500 | 244,040 | |
$ 1,858,510 | |||
Total Tax-Exempt Municipal Obligations (identified cost $11,692,973) | $10,918,512 |
Short-Term Investments — 10.0% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 0.30%(2) | 1,569,531 | $ 1,569,531 | |
Total Short-Term Investments (identified cost $1,569,531) | $ 1,569,531 | ||
Total Investments — 79.5% (identified cost $13,262,504) | $12,488,043 | ||
Other Assets, Less Liabilities — 20.5% | $ 3,211,663 | ||
Net Assets — 100.0% | $15,699,706 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Floating rate security. The stated interest rate represents the rate in effect at April 30, 2022. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2022. |
At April 30, 2022, the concentration of the Fund’s investments in the various states, determined as a percentage of net assets, is as follows: | |
New York | 12.6% |
Others, representing less than 10% individually | 56.9% |
The Fund 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. At April 30, 2022, 5.8% of total investments are backed by bond insurance of a financial guaranty assurance agency. |
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Parametric
TABS 10-to-20 Year Laddered Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Abbreviations: | |
AGM | – Assured Guaranty Municipal Corp. |
FHLMC | – Federal Home Loan Mortgage Corp. |
FNMA | – Federal National Mortgage Association |
GNMA | – Government National Mortgage Association |
PSF | – Permanent School Fund |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
The Fund did not have any open derivative instruments at April 30, 2022.
Affiliated Investments
At April 30, 2022, the value of the Fund's investment in Morgan Stanley Institutional Liquidity Funds-Government Portfolio (Liquidity Fund) and Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund) was $1,569,531, which represents 10.0% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended April 30, 2022 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 | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $1,399,552 | $3,905,604 | $(5,305,386) | $230 | $ — | $ — | $154 | — |
Liquidity Fund | — | 2,298,459 | (728,928) | — | — | 1,569,531 | 79 | 1,569,531 |
Total | $230 | $ — | $1,569,531 | $233 |
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 April 30, 2022, the hierarchy of inputs used in valuing the Fund's investments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Tax-Exempt Municipal Obligations | $ — | $10,918,512 | $ — | $10,918,512 |
Short-Term Investments | 1,569,531 | — | — | 1,569,531 |
Total Investments | $1,569,531 | $10,918,512 | $ — | $12,488,043 |
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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