Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 98.4% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 0.2% | |||
Alaska Municipal Bond Bank Authority, 5.00%, 3/1/30 | $ | 1,145 | $ 1,209,235 |
$ 1,209,235 | |||
Education — 6.5% | |||
Bethlehem Area School District Authority, PA: | |||
0.538%, (67% of SOFR + 0.35%), 11/1/25 (Put Date), 1/1/30(1) | $ | 3,990 | $ 3,950,619 |
0.538%, (67% of SOFR + 0.35%), 11/1/25 (Put Date), 1/1/32(1) | 1,000 | 990,130 | |
Connecticut Health and Educational Facilities Authority, (Westminster School), 4.00%, 7/1/38 | 2,050 | 2,089,688 | |
Massachusetts College Building Authority, 5.00%, 5/1/29 | 750 | 855,720 | |
Massachusetts Development Finance Agency, (Harvard University), Green Bonds, 5.00%, 11/15/32(2) | 4,375 | 5,306,481 | |
Miami University, OH, 5.00%, 9/1/33(2) | 775 | 894,234 | |
Nevada System of Higher Education, 5.00%, 7/1/23 | 500 | 515,725 | |
New York Dormitory Authority, (Rockefeller University), (SPA: JPMorgan Chase Bank, N.A.), 0.44%, 7/1/32(3) | 15,455 | 15,455,000 | |
New York Dormitory Authority, (School Districts Revenue Bond Financing Program), 5.00%, 10/1/32 | 1,530 | 1,711,733 | |
Ohio Higher Educational Facility Commission, (Kenyon College): | |||
5.00%, 7/1/36(2) | 1,600 | 1,692,496 | |
5.00%, 7/1/37(2) | 1,100 | 1,161,215 | |
South Dakota Health and Educational Facilities Authority, (Vocation Education Program), 5.00%, 8/1/27 | 1,200 | 1,287,864 | |
University of Hawaii, 3.00%, 10/1/31 | 2,065 | 2,065,310 | |
Virginia Commonwealth University, 4.00%, 11/1/32 | 1,285 | 1,349,456 | |
Zionsville Community Schools Building Corp., IN, 5.00%, 7/15/25 | 350 | 369,134 | |
$ 39,694,805 | |||
Electric Utilities — 6.2% | |||
Anaheim Housing and Public Improvements Authority, CA, Electric System Revenue, 5.00%, 10/1/29(2) | $ | 6,360 | $ 6,968,652 |
Florida Municipal Power Agency: | |||
3.00%, 10/1/32 | 1,750 | 1,669,605 | |
3.00%, 10/1/33 | 1,100 | 1,050,368 | |
Garland, TX, Electric Utility System Revenue: | |||
4.00%, 3/1/32 | 1,015 | 1,076,611 | |
4.00%, 3/1/33 | 1,055 | 1,115,947 | |
4.00%, 3/1/34 | 375 | 395,520 | |
Lower Colorado River Authority, TX, (LCRA Transmission Services Corp.): | |||
5.00%, 5/15/34 | 3,020 | 3,388,621 |
Security | Principal Amount (000's omitted) | Value | |
Electric Utilities (continued) | |||
Lower Colorado River Authority, TX, (LCRA Transmission Services Corp.): (continued) | |||
5.00%, 5/15/42 | $ | 1,000 | $ 1,102,920 |
New Braunfels, TX, Utility System Revenue, 4.00%, 7/1/33 | 1,070 | 1,128,550 | |
North Carolina Municipal Power Agency Number 1, (Catawba), 5.00%, 1/1/23 | 1,485 | 1,516,660 | |
Salt River Project Agricultural Improvement and Power District, AZ, 5.00%, 1/1/32 | 5,000 | 5,881,400 | |
Seattle, WA, Municipal Light and Power Revenue, 0.69%, (SIFMA + 0.25%), 11/1/26 (Put Date), 5/1/45(1) | 2,000 | 1,981,780 | |
Springfield Electric System Revenue, IL: | |||
5.00%, 3/1/27 | 3,000 | 3,180,900 | |
5.00%, 3/1/28 | 3,475 | 3,680,651 | |
5.00%, 3/1/29 | 3,325 | 3,519,912 | |
$ 37,658,097 | |||
Escrowed/Prerefunded — 4.2% | |||
Anchorage, AK, Prerefunded to 9/1/25, 5.00%, 9/1/28 | $ | 1,835 | $ 1,977,323 |
Hamilton County, OH, Sewer System, Prerefunded to 12/1/23, 5.00%, 12/1/24 | 1,000 | 1,042,730 | |
Homewood, AL, Prerefunded to 9/1/26, 5.00%, 9/1/32 | 370 | 406,919 | |
Illinois Finance Authority, (Northwestern Memorial HealthCare), Prerefunded to 8/15/22, 4.00%, 8/15/42 | 1,000 | 1,007,320 | |
Louisiana Transportation Authority: | |||
Prerefunded to 8/15/23, 5.00%, 8/15/30 | 1,885 | 1,953,199 | |
Prerefunded to 8/15/23, 5.00%, 8/15/31 | 1,230 | 1,274,501 | |
Prerefunded to 8/15/23, 5.00%, 8/15/32 | 1,090 | 1,129,436 | |
Massachusetts School Building Authority, Dedicated Sales Tax Revenue, Prerefunded to 5/15/23, 5.00%, 5/15/33 | 2,000 | 2,061,120 | |
Pennsylvania, Prerefunded to 6/1/22, 4.00%, 6/1/30 | 1,400 | 1,403,108 | |
Royal Oak Hospital Finance Authority, MI, (William Beaumont Hospital), Prerefunded to 3/1/24, 5.00%, 9/1/24 | 520 | 542,916 | |
San Diego Community College District, CA, Prerefunded to 8/1/26, 4.00%, 8/1/32 | 5,000 | 5,317,800 | |
South Dakota Building Authority: | |||
Prerefunded to 6/1/24, 5.00%, 6/1/26 | 1,000 | 1,053,990 | |
Prerefunded to 6/1/24, 5.00%, 6/1/32 | 1,500 | 1,580,985 | |
Westmoreland County Municipal Authority, PA, Water and Sewer Revenue, Prerefunded to 8/15/23, 5.00%, 8/15/31 | 1,735 | 1,798,900 | |
Wisconsin Health and Educational Facilities Authority, (Ministry Health Care), Prerefunded to 8/15/22, 5.00%, 8/15/32 | 2,885 | 2,914,658 | |
$ 25,464,905 |
1
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 28.9% | |||
Adams 12 Five Star Schools, CO, 5.00%, 12/15/30 | $ | 5,000 | $ 5,517,550 |
Arlington Independent School District, TX, (PSF Guaranteed): | |||
5.00%, 2/15/31 | 1,000 | 1,163,810 | |
5.00%, 2/15/33 | 750 | 872,625 | |
Arlington, MA, 5.00%, 10/15/30 | 1,615 | 1,898,126 | |
Austin Independent School District, TX, 4.00%, 8/1/33 | 3,660 | 3,940,832 | |
Austin Independent School District, TX, (PSF Guaranteed), 4.00%, 8/1/32 | 5,355 | 5,783,346 | |
Baltimore County, MD, 5.00%, 3/1/30 | 5,000 | 5,811,650 | |
Batavia, IL, 4.00%, 11/1/24 | 755 | 763,917 | |
Beaumont, TX, Certificates of Obligation, 4.00%, 3/1/31 | 930 | 1,003,340 | |
Brookline, MA, 5.00%, 3/15/30 | 2,270 | 2,604,598 | |
California: | |||
4.00%, 8/1/36 | 2,025 | 2,072,000 | |
5.00%, 4/1/29 | 4,000 | 4,542,640 | |
5.00%, 4/1/35 | 1,000 | 1,160,570 | |
Cape May County, NJ, 3.00%, 10/1/29 | 1,095 | 1,099,807 | |
Chaffey Joint Union High School District, CA, (Election of 2012), 0.00%, 8/1/36 | 1,035 | 609,946 | |
Cleveland Municipal School District, OH, 5.00%, 12/1/32 | 3,505 | 3,603,491 | |
Connecticut, 3.00%, 1/15/32 | 2,850 | 2,757,318 | |
Crystal Lake, IL, 4.00%, 12/15/23 | 455 | 460,091 | |
Dallas County, TX, 5.00%, 8/15/29 | 5,200 | 5,707,676 | |
Decatur, IL, 5.00%, 3/1/23 | 1,030 | 1,050,394 | |
Delaware, 5.00%, 3/1/32 | 5,070 | 6,056,216 | |
Denton County, TX, 4.00%, 7/15/30 | 1,000 | 1,068,060 | |
El Monte Union High School District, CA, (Election of 2018): | |||
4.00%, 6/1/33 | 250 | 259,448 | |
4.00%, 6/1/34 | 300 | 309,615 | |
Florida, 5.00%, 7/1/33 | 5,000 | 6,064,400 | |
Frisco Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/32 | 3,260 | 3,518,225 | |
Georgia: | |||
5.00%, 8/1/29 | 1,240 | 1,435,002 | |
5.00%, 8/1/33 | 5,000 | 5,808,150 | |
Gladstone School District No. 115, Clackamas County, OR, 0.00%, 6/15/26 | 1,000 | 893,000 | |
Glendale Unified School District, CA, 0.00%, 9/1/30 | 5,280 | 3,916,282 | |
Greensboro, NC, 5.00%, 2/1/28 | 1,790 | 1,972,347 | |
La Grange Park District, IL, 5.00%, 12/1/22 | 440 | 448,254 | |
Long Beach Unified School District, CA, (Election of 2008): | |||
0.00%, 8/1/31 | 1,675 | 1,176,286 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Long Beach Unified School District, CA, (Election of 2008): (continued) | |||
0.00%, 8/1/32 | $ | 1,225 | $ 822,771 |
Los Angeles Community College District, CA, (Election of 2008), 4.00%, 8/1/34 | 5,000 | 5,142,950 | |
Los Angeles Unified School District, CA: | |||
4.00%, 7/1/33 | 1,000 | 1,054,130 | |
4.00%, 7/1/38 | 6,550 | 6,707,658 | |
Louisville/Jefferson County Metropolitan Government, KY, 5.00%, 4/1/30 | 9,220 | 10,727,747 | |
Macomb County, MI, 4.00%, 5/1/24 | 1,000 | 1,031,050 | |
Madison County, TN, 5.00%, 5/1/23 | 1,115 | 1,147,145 | |
McKinney Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/34 | 5,630 | 5,964,704 | |
Morris Township, NJ, 3.00%, 11/1/29 | 60 | 60,257 | |
Mountain View-Los Altos Union High School District, CA, 0.00%, 8/1/25 | 2,115 | 1,934,442 | |
Neshaminy School District, PA, 4.00%, 11/1/26 | 610 | 626,128 | |
New Hampshire, 4.00%, 12/1/32 | 2,085 | 2,218,482 | |
New Jersey, 4.00%, 6/1/31 | 8,450 | 8,830,672 | |
New York City, NY: | |||
5.00%, 8/1/29 | 5,000 | 5,666,250 | |
5.00%, 8/1/33 | 2,500 | 2,885,325 | |
Richardson Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/31 | 1,650 | 1,768,974 | |
Richland County School District No. 2, SC, 4.00%, 3/1/32 | 2,950 | 3,137,502 | |
Rio Grande City Grulla Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/34 | 1,345 | 1,439,406 | |
Rowland Unified School District, CA, (Election of 2012), 0.00%, 8/1/33 | 2,385 | 1,459,692 | |
San Dieguito Union High School District, CA, (Election of 2012), 4.00%, 8/1/42 | 8,075 | 8,180,702 | |
San Francisco Bay Area Rapid Transit District, CA, 4.00%, 8/1/33 | 1,350 | 1,385,019 | |
San Juan Unified School District, CA, (Election of 2012), 4.00%, 8/1/31 | 3,250 | 3,372,850 | |
South Portland, ME, 5.00%, 10/1/33 | 1,525 | 1,804,258 | |
South Suburban Park and Recreation District, CO, 5.00%, 12/15/29 | 1,120 | 1,291,707 | |
Southfield, MI, 4.00%, 5/1/28 | 1,160 | 1,239,820 | |
Swampscott, MA, 4.00%, 3/1/32 | 815 | 865,636 | |
Tomball Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/35 | 1,755 | 1,864,091 | |
Township High School District No. 204, IL, 4.25%, 12/15/22 | 1,230 | 1,249,729 | |
Washington: | |||
4.00%, 7/1/27(2) | 2,500 | 2,667,350 |
2
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Washington: (continued) | |||
4.00%, 7/1/33 | $ | 3,000 | $ 3,216,450 |
Zeeland Public Schools, MI, 5.00%, 5/1/24 | 1,000 | 1,047,020 | |
$176,158,929 | |||
Hospital — 8.0% | |||
Arizona Health Facilities Authority, (Banner Health), 0.69%, (SIFMA + 0.25%), 11/4/26 (Put Date), 1/1/46(1) | $ | 1,000 | $ 1,000,340 |
Carroll City-County Hospital Authority, GA, (Tanner Medical Center, Inc.), 5.00%, 7/1/34 | 2,560 | 2,751,974 | |
Kansas Development Finance Authority, (Adventist Health System), 5.00%, 11/15/28 | 5,090 | 5,100,689 | |
Massachusetts Development Finance Agency, (Berkshire Health Systems): | |||
5.00%, 10/1/29 | 400 | 454,996 | |
5.00%, 10/1/30 | 475 | 546,036 | |
Massachusetts Development Finance Agency, (Partners HealthCare System), 5.00%, 7/1/24 | 800 | 823,856 | |
Monongalia County Building Commission, WV, (Monongalia Health System Obligated Group), 5.00%, 7/1/24 | 215 | 225,129 | |
Monroeville Finance Authority, PA, (UPMC), 5.00%, 2/15/28(2) | 1,600 | 1,770,256 | |
Montgomery County, OH, (Kettering Health Network Obligated Group), 3.00%, 8/1/34 | 300 | 264,528 | |
Pennsylvania Economic Development Financing Authority, (UPMC), 5.00%, 2/15/38(2) | 2,000 | 2,210,000 | |
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania Health System), 4.00%, 8/15/34 | 1,360 | 1,383,800 | |
Pima County Industrial Development Authority, AZ, (Tucson Medical Center): | |||
4.00%, 4/1/35 | 800 | 803,848 | |
4.00%, 4/1/36 | 845 | 846,808 | |
4.00%, 4/1/37 | 875 | 874,895 | |
5.00%, 4/1/33 | 1,000 | 1,139,140 | |
Richmond County Hospital Authority, GA, (University Health Services, Inc.), 4.00%, 1/1/36 | 1,100 | 1,107,623 | |
St. Paul Housing and Redevelopment Authority, MN, (HealthPartners Obligated Group), 5.00%, 7/1/30 | 600 | 637,848 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Methodist Hospitals of Dallas), (LOC: TD Bank, N.A.), 0.32%, 10/1/41(4) | 14,500 | 14,500,000 | |
University of Colorado Hospital Authority, (SPA: TD Bank, N.A.), 0.45%, 11/15/35(3) | 10,000 | 10,000,000 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
University of North Carolina Hospitals at Chapel Hill, 5.00%, 2/1/33 | $ | 1,490 | $ 1,681,540 |
Yuma Industrial Development Authority, AZ, (Yuma Regional Medical Center), 5.00%, 8/1/22 | 1,000 | 1,008,840 | |
$ 49,132,146 | |||
Housing — 3.8% | |||
Connecticut Housing Finance Authority, Social Bonds, 0.74%, (SIFMA + 0.30%), 11/15/24 (Put Date), 11/15/50(1) | $ | 2,000 | $ 2,000,200 |
Massachusetts Housing Finance Agency, 1.45% to 12/1/22 (Put Date), 12/1/49 | 1,800 | 1,796,184 | |
New York City Housing Development Corp., NY, (SPA: TD Bank, N.A.), 0.44%, 11/1/60(3) | 12,700 | 12,700,000 | |
New York Mortgage Agency: | |||
2.05%, 4/1/28 | 1,000 | 940,540 | |
2.15%, 4/1/29 | 1,390 | 1,298,899 | |
2.25%, 4/1/30 | 1,000 | 922,710 | |
2.35%, 4/1/31 | 1,835 | 1,685,007 | |
2.40%, 10/1/31 | 1,130 | 1,036,380 | |
Seattle Housing Authority, WA, (Northgate Plaza), 1.00%, 6/1/26 | 1,000 | 932,350 | |
$ 23,312,270 | |||
Insured - General Obligations — 1.4% | |||
Grossmont Union High School District, CA, (Election of 2008), (AGM), 0.00%, 8/1/33 | $ | 3,535 | $ 2,148,043 |
San Mateo County Community College District, CA, (Election of 2005), (NPFG), 0.00%, 9/1/29 | 5,000 | 4,003,000 | |
Yonkers, NY: | |||
(BAM), 4.00%, 5/1/34 | 695 | 715,092 | |
(BAM), 4.00%, 5/1/34 | 1,755 | 1,811,581 | |
$ 8,677,716 | |||
Insured - Lease Revenue/Certificates of Participation — 0.9% | |||
Baltimore County, MD, Certificates of Participation, 5.00%, 3/1/29 | $ | 4,630 | $ 5,255,606 |
$ 5,255,606 | |||
Insured - Transportation — 0.9% | |||
Metropolitan Transportation Authority, NY, (AGM), 0.981%, (67% of SOFR + 0.80%), 4/1/26 (Put Date), 11/1/32(1) | $ | 5,500 | $ 5,459,740 |
$ 5,459,740 |
3
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Insured - Water and Sewer — 0.5% | |||
Pittsburgh Water and Sewer Authority, PA, (AGM), 1.09%, (SIFMA + 0.65%), 12/1/23 (Put Date), 9/1/40(1) | $ | 3,000 | $ 3,002,760 |
$ 3,002,760 | |||
Lease Revenue/Certificates of Participation — 2.4% | |||
Aspen Fire Protection District, CO: | |||
4.00%, 12/1/24 | $ | 130 | $ 134,479 |
4.00%, 12/1/28 | 225 | 238,369 | |
Greater Texas Cultural Education Facilities Finance Corp., (Epicenter Multipurpose Facilities): | |||
5.00%, 3/1/30 | 475 | 541,310 | |
5.00%, 3/1/31 | 500 | 575,455 | |
5.00%, 3/1/32 | 750 | 860,565 | |
Hudson Yards Infrastructure Corp., NY, Green Bonds, 5.00%, 2/15/34 | 2,000 | 2,317,980 | |
Oklahoma County Finance Authority, OK, (Deer Creek Public Schools), 5.00%, 12/1/26 | 1,410 | 1,511,816 | |
Orange County School Board, FL, 5.00%, 8/1/26 | 4,300 | 4,707,511 | |
Palo Alto, CA, (California Avenue Parking Garage), 5.00%, 11/1/36 | 1,295 | 1,454,790 | |
Palo Alto, CA, Certificates of Participation, 3.00%, 11/1/33 | 1,310 | 1,256,657 | |
St. Louis County Special School District, MO, 4.00%, 4/1/29 | 525 | 558,043 | |
Virginia Public Building Authority, 4.00%, 8/1/35 | 800 | 825,856 | |
$ 14,982,831 | |||
Other Revenue — 11.3% | |||
California Infrastructure and Economic Development Bank, (California Academy of Sciences), 0.79%, (SIFMA + 0.35%), 8/1/24 (Put Date), 8/1/47(1) | $ | 2,500 | $ 2,485,800 |
Fort Myers, FL, Capital Improvement Revenue: | |||
5.00%, 12/1/31 | 965 | 1,037,674 | |
5.00%, 12/1/35 | 380 | 407,147 | |
5.00%, 12/1/36 | 450 | 481,671 | |
Kentucky Public Energy Authority, Gas Supply Revenue: | |||
4.00% to 2/1/28 (Put Date), 2/1/50 | 14,000 | 14,283,360 | |
4.00% to 6/1/25 (Put Date), 12/1/49 | 5,000 | 5,072,600 | |
Louisiana Local Government Environmental Facilities and Community Development Authority, (Jefferson Parish), 5.00%, 12/1/33 | 2,425 | 2,708,191 | |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 4.00% to 12/1/28 (Put Date), 5/1/52 | 7,500 | 7,643,175 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/38 | 1,250 | 1,262,463 | |
5.00%, 3/15/35 | 5,000 | 5,681,700 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
New York Dormitory Authority, Personal Income Tax Revenue: (continued) | |||
5.00%, 3/15/36 | $ | 5,000 | $ 5,674,500 |
Orange County, FL, Tourist Development Tax Revenue, 4.00%, 10/1/32 | 4,585 | 4,721,816 | |
Patriots Energy Group Financing Agency, SC, Gas Supply Revenue, (Liq: Royal Bank of Canada), 4.00% to 2/1/24 (Put Date), 10/1/48 | 10,000 | 10,146,500 | |
PEFA, Inc., IA, Gas Project Revenue, 5.00% to 9/1/26 (Put Date), 9/1/49 | 7,160 | 7,558,828 | |
$ 69,165,425 | |||
Senior Living/Life Care — 0.2% | |||
North Carolina Medical Care Commission, (Deerfield Episcopal Retirement Community, Inc.), 5.00%, 11/1/31 | $ | 1,000 | $ 1,081,310 |
$ 1,081,310 | |||
Special Tax Revenue — 4.9% | |||
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 11/1/38 | $ | 1,500 | $ 1,515,180 |
4.00%, 2/1/40 | 2,500 | 2,519,325 | |
4.00%, 2/1/42 | 5,700 | 5,682,786 | |
5.00%, 11/1/31 | 3,220 | 3,270,296 | |
5.00%, 11/1/31 | 1,000 | 1,160,580 | |
5.00%, 11/1/34 | 5,000 | 5,710,900 | |
5.00%, 2/1/42 | 1,400 | 1,569,358 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/36 | 4,000 | 4,094,160 | |
5.00%, 3/15/33 | 3,000 | 3,397,800 | |
New York State Urban Development Corp., Sales Tax Revenue, 3.00%, 3/15/40 | 1,035 | 907,561 | |
$ 29,827,946 | |||
Transportation — 13.2% | |||
Bay Area Toll Authority, CA, Toll Bridge Revenue, (San Francisco Bay Area), 0.89%, (SIFMA + 0.45%), 4/1/26 (Put Date), 4/1/56(1) | $ | 2,000 | $ 1,976,420 |
Central Texas Regional Mobility Authority, 5.00%, 1/1/34 | 1,250 | 1,375,263 | |
Chicago, IL, (O'Hare International Airport): | |||
5.00%, 1/1/33 | 1,000 | 1,046,440 | |
5.00%, 1/1/34 | 1,000 | 1,046,440 | |
5.25%, 1/1/33 | 3,750 | 4,075,950 | |
5.25%, 1/1/34 | 3,750 | 4,071,787 |
4
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Chicago, IL, (O'Hare International Airport): (continued) | |||
5.25%, 1/1/37 | $ | 1,500 | $ 1,624,605 |
Dallas and Fort Worth, TX, (Dallas/Fort Worth International Airport), 5.25%, 11/1/32 | 3,825 | 3,963,388 | |
El Paso, TX, (El Paso International Airport): | |||
5.00%, 8/15/22 | 655 | 661,354 | |
5.00%, 8/15/33 | 955 | 1,064,309 | |
Florida Department of Transportation, 5.00%, 7/1/28 | 2,455 | 2,687,881 | |
Georgia Ports Authority: | |||
5.00%, 7/1/30 | 1,400 | 1,622,824 | |
5.00%, 7/1/33 | 2,625 | 3,063,454 | |
Idaho Housing and Finance Association, Federal Highway Trust Fund, 5.00%, 7/15/25 | 1,000 | 1,075,500 | |
Illinois Toll Highway Authority, 5.00%, 1/1/33 | 100 | 107,359 | |
Los Angeles Department of Airports, CA, (Los Angeles International Airport), 5.00%, 5/15/33 | 1,000 | 1,150,030 | |
Maine Turnpike Authority, 5.00%, 7/1/35 | 1,000 | 1,164,560 | |
Metropolitan Transportation Authority, NY: | |||
0.518%, (67% of SOFR + 0.33%), 4/1/24 (Put Date), 11/1/35(1) | 2,375 | 2,356,974 | |
5.00%, 11/15/29 | 5,965 | 6,311,209 | |
5.00%, 11/15/29 | 1,390 | 1,486,939 | |
Series 2015F, 5.00%, 11/15/28 | 2,560 | 2,712,986 | |
Green Bonds, 4.00%, 11/15/32 | 5,000 | 5,021,150 | |
New Hampshire, Turnpike System Revenue, 5.00%, 8/1/30(2) | 3,445 | 3,994,202 | |
Riverside County Transportation Commission, CA, 4.00%, 6/1/37 | 2,375 | 2,366,711 | |
Salt Lake City, UT, (Salt Lake City International Airport): | |||
5.00%, 7/1/35 | 1,685 | 1,840,576 | |
5.00%, 7/1/36 | 1,615 | 1,757,911 | |
San Francisco City and County Airport Commission, CA, (San Francisco International Airport), 5.00%, 5/1/34 | 2,950 | 3,335,801 | |
Triborough Bridge and Tunnel Authority, NY: | |||
0.568%, (67% of SOFR + 0.38%), 2/1/24 (Put Date), 1/1/32(1) | 2,938 | 2,932,663 | |
5.00%, 5/15/29(2) | 10,000 | 11,256,500 | |
Wayne County Airport Authority, MI, (Detroit Metropolitan Wayne County Airport), 5.00%, 12/1/34 | 3,000 | 3,286,530 | |
$ 80,437,716 | |||
Water and Sewer — 4.9% | |||
East Bay Municipal Utility District, CA, Water System Revenue, 5.00%, 6/1/30 | $ | 3,870 | $ 4,142,641 |
Kansas City, MO, Sanitary Sewer System Revenue, 5.00%, 1/1/30 | 600 | 671,076 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
4.00%, 6/15/36 | $ | 6,000 | $ 6,220,080 |
4.00%, 6/15/39 | 6,000 | 6,028,320 | |
(SPA: U.S. Bank, N.A.), 0.43%, 6/15/35(3) | 4,400 | 4,400,000 | |
Series EE, 5.00%, 6/15/35 | 1,155 | 1,188,957 | |
Rancho California Water District Financing Authority, 4.00%, 8/1/37 | 2,275 | 2,362,315 | |
South Central Connecticut Regional Water Authority: | |||
5.00%, 8/1/25(2) | 1,195 | 1,284,422 | |
5.00%, 8/1/26(2) | 1,000 | 1,092,670 | |
Springdale, AR, Water and Sewer Revenue: | |||
4.00%, 9/1/28(2) | 850 | 894,183 | |
4.00%, 9/1/29(2) | 675 | 708,284 | |
4.00%, 9/1/30(2) | 935 | 978,590 | |
$ 29,971,538 | |||
Total Tax-Exempt Municipal Obligations (identified cost $621,954,600) | $600,492,975 | ||
Total Investments — 98.4% (identified cost $621,954,600) | $600,492,975 | ||
Other Assets, Less Liabilities — 1.6% | $ 9,796,663 | ||
Net Assets — 100.0% | $610,289,638 |
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) | When-issued security. |
(3) | Variable rate demand obligation that may be tendered at par on any day for payment the lesser of 5 business days or 7 calendar days. The stated interest rate, which generally resets weekly, represents the rate in effect at April 30, 2022. |
(4) | Variable rate demand obligation that may be tendered at par on any day for payment the same or next business day. The stated interest rate, which generally resets daily, is determined by the remarketing agent and represents the rate in effect at April 30, 2022. |
At April 30, 2022, the concentration of the Fund’s investments in the various states and territories, determined as a percentage of total investments, is as follows: |
New York | 24.5% |
California | 13.8% |
Texas | 11.0% |
Others, representing less than 10% individually | 50.7% |
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Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2022
Portfolio of Investments (Unaudited) — continued
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, 2.9% 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 0.7% to 1.8% of total investments. |
Abbreviations: | |
AGM | – Assured Guaranty Municipal Corp. |
BAM | – Build America Mutual Assurance Co. |
Liq | – Liquidity Provider |
LOC | – Letter of Credit |
NPFG | – National Public Finance Guarantee Corp. |
PSF | – Permanent School Fund |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SOFR | – Secured Overnight Financing Rate |
SPA | – Standby Bond Purchase Agreement |
The Fund did not have any open derivative instruments at April 30, 2022.
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 | $ — | $600,492,975 | $ — | $600,492,975 |
Total Investments | $ — | $600,492,975 | $ — | $600,492,975 |
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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