Parametric
TABS Short-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 94.2% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 3.3% | |||
Indianapolis Local Public Improvement Bond Bank, IN, 5.00%, 6/1/34 | $ | 2,000 | $ 2,095,260 |
Maine Municipal Bond Bank, 3.00%, 11/1/35 | 1,700 | 1,426,213 | |
Texas Water Development Board: | |||
4.50%, 10/15/37 | 1,000 | 1,038,510 | |
4.55%, 10/15/38 | 3,500 | 3,627,855 | |
$ 8,187,838 | |||
Education — 10.0% | |||
Alabama Public School and College Authority, Social Bonds, 4.00%, 11/1/36 | $ | 1,500 | $ 1,459,230 |
Connecticut Health and Educational Facilities Authority, (Sacred Heart University), 5.00%, 7/1/25 | 30 | 30,974 | |
Massachusetts College Building Authority, 5.00%, 5/1/30 | 600 | 656,130 | |
New York Dormitory Authority, (Rockefeller University), (SPA: JPMorgan Chase Bank, N.A.), 2.20%, 7/1/32(1) | 3,250 | 3,250,000 | |
Ohio Higher Educational Facility Commission, (Case Western Reserve University), 2.47%, (SIFMA + 0.23%), 12/1/26 (Put Date), 12/1/42(2) | 1,995 | 1,925,933 | |
Southwest Higher Education Authority, Inc., TX, (Southern Methodist University), 5.00%, 10/1/23 | 225 | 228,400 | |
Texas A&M University: | |||
4.00%, 5/15/33 | 1,290 | 1,286,169 | |
5.00%, 5/15/35 | 1,250 | 1,355,587 | |
University of California: | |||
5.00%, 5/15/28(3) | 1,500 | 1,605,315 | |
5.00%, 5/15/29(3) | 2,000 | 2,162,300 | |
University of Houston, TX: | |||
5.00%, 2/15/35 | 2,000 | 2,142,200 | |
5.00%, 2/15/36 | 2,250 | 2,404,845 | |
University of Michigan, 4.00% to 4/1/24 (Put Date), 4/1/49 | 3,000 | 3,009,390 | |
University of Texas, 5.00%, 8/15/24 | 1,000 | 1,031,720 | |
Will, Grundy, and Kendall Counties Community School District No. 201, IL: | |||
5.00%, 10/15/27 | 705 | 749,189 | |
5.00%, 10/15/28 | 1,000 | 1,070,200 | |
$ 24,367,582 | |||
Electric Utilities — 0.4% | |||
Denton, TX, Utility System Revenue, 5.00%, 12/1/26 | $ | 1,000 | $ 1,053,770 |
$ 1,053,770 |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded — 5.7% | |||
Arizona, Certificates of Participation, Escrowed to Maturity, 5.00%, 10/1/24 | $ | 2,000 | $ 2,065,020 |
Illinois Development Finance Authority, (Regency Park): | |||
Escrowed to Maturity, 0.00%, 7/15/23 | 5,000 | 4,884,550 | |
Escrowed to Maturity, 0.00%, 7/15/25 | 5,750 | 5,201,047 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
Escrowed to Maturity, 5.00%, 2/15/25 | 120 | 124,476 | |
Escrowed to Maturity, 5.00%, 2/15/25 | 50 | 51,921 | |
Sales Tax Asset Receivable Corp., NY, Prerefunded to 10/15/24, 5.00%, 10/15/27 | 1,500 | 1,551,765 | |
$ 13,878,779 | |||
General Obligations — 33.2% | |||
Abilene, TX, 5.00%, 2/15/25 | $ | 20 | $ 20,692 |
Alabama, 5.00%, 11/1/32(3) | 3,980 | 4,448,088 | |
California: | |||
1.60%, 12/1/29 | 1,520 | 1,276,040 | |
4.00%, 9/1/28 | 2,500 | 2,585,000 | |
5.50%, 12/1/52 | 3,780 | 3,918,575 | |
Cleveland Heights-University Heights City School District, OH, 0.00%, 12/1/23 | 100 | 95,526 | |
Commonwealth of Massachusetts, 4.00%, 11/1/35 | 1,000 | 978,890 | |
Commonwealth of Massachusetts, (Consolidated Loan), 5.00%, 10/1/35 | 5,000 | 5,461,300 | |
Connecticut: | |||
3.00%, 1/15/32 | 1,000 | 891,020 | |
4.00%, 6/1/32 | 900 | 899,352 | |
Social Bonds, 3.00%, 6/1/33 | 1,955 | 1,694,672 | |
Crandall Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/34 | 1,020 | 1,113,197 | |
Cypress-Fairbanks Independent School District, TX, (PSF Guaranteed): | |||
5.00%, 2/15/27 | 1,225 | 1,300,239 | |
5.00%, 2/15/34 | 1,500 | 1,637,415 | |
Denton Independent School District, TX, (PSF Guaranteed), 0.00%, 8/15/24 | 3,000 | 2,825,820 | |
Edina, MN, 5.00%, 2/1/30 | 125 | 134,681 | |
Georgia, 4.00%, 7/1/29 | 5,550 | 5,733,927 | |
Green Local School District, OH, 5.00%, 11/1/38(3) | 215 | 224,641 | |
Illinois, 5.00%, 3/1/25 | 5,250 | 5,292,105 | |
Liberty Hill Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/27(3) | 2,010 | 2,136,550 | |
Loudoun County, VA, 5.00%, 12/1/30 | 2,265 | 2,521,624 | |
Massachusetts, 5.00%, 12/1/24 | 5,000 | 5,177,800 | |
Meramec Valley R-III School District, MO, 3.00%, 3/1/35 | 30 | 25,479 |
1
Parametric
TABS Short-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Mercer County, NJ, 2.00%, 2/15/32 | $ | 3,295 | $ 2,575,965 |
Minnesota, 5.00%, 8/1/31 | 1,415 | 1,582,338 | |
Mountain View Whisman School District, CA, (Election of 2020): | |||
4.00%, 9/1/32 | 10 | 10,231 | |
4.00%, 9/1/33 | 25 | 25,292 | |
Mountain View-Los Altos Union High School District, CA: | |||
0.00%, 8/1/23 | 945 | 922,632 | |
0.00%, 8/1/24 | 900 | 848,583 | |
New York, NY, 5.00%, 8/1/26 | 1,000 | 1,057,760 | |
Oconee County, GA, 4.00%, 1/1/34 | 15 | 14,860 | |
Ohio, 5.00%, 12/15/23 | 500 | 510,265 | |
Pasadena Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/38(3) | 3,240 | 3,483,194 | |
Redmond, WA, 5.00%, 12/1/34 | 1,320 | 1,439,988 | |
River Vale Township Board of Education, NJ: | |||
2.00%, 6/15/32 | 1,280 | 981,914 | |
2.00%, 6/15/33 | 1,300 | 962,143 | |
San Diego Unified School District, CA: | |||
0.00%, 7/1/30 | 1,920 | 1,421,165 | |
0.00%, 7/1/32 | 2,750 | 1,842,280 | |
St. Louis County, MO, Special Obligation Bonds: | |||
5.00%, 12/1/33 | 1,055 | 1,132,796 | |
5.00%, 12/1/34 | 1,110 | 1,183,138 | |
Sugar Land, TX, 5.00%, 2/15/23 | 1,105 | 1,110,647 | |
Washington: | |||
4.00%, 7/1/27 | 2,700 | 2,777,301 | |
4.00%, 7/1/35 | 1,180 | 1,161,179 | |
Westlake, TX, 4.00%, 2/15/34 | 1,130 | 1,118,982 | |
Wylie Independent School District, TX, (PSF Guaranteed), 2.25% to 8/15/23 (Put Date), 8/15/41(4) | 4,775 | 4,747,162 | |
$ 81,302,448 | |||
Hospital — 13.7% | |||
Allegheny County Hospital Development Authority, PA, (UPMC), 2.94%, (SIFMA + 0.70%), 5/15/27 (Put Date), 11/15/47(2) | $ | 4,500 | $ 4,377,330 |
Allen County, OH, Bon Secours (Mercy Health), 5.00% to 6/4/30 (Put Date), 10/1/51 | 2,500 | 2,616,350 | |
Cobb County Kennestone Hospital Authority, GA, (WellStar Health System, Inc.), 4.00%, 4/1/33 | 90 | 85,184 | |
Missouri Health and Educational Facilities Authority, (Mercy Health): | |||
5.00%, 6/1/26 | 2,500 | 2,606,875 | |
5.00%, 6/1/27 | 3,500 | 3,685,465 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
New Jersey Health Care Facilities Financing Authority, (Virtua Health), (LOC: TD Bank, N.A.), 1.81%, 7/1/43(1) | $ | 5,000 | $ 5,000,000 |
New York Dormitory Authority, (Maimonides Medical Center), 4.00%, 8/1/31 | 275 | 269,547 | |
University of Colorado Hospital Authority, (SPA: TD Bank, N.A.), 2.25%, 11/15/39(1) | 7,725 | 7,725,000 | |
Wisconsin Health and Educational Facilities Authority, (Advocate Aurora Health Credit Group), 5.00% to 1/31/24 (Put Date), 8/15/54 | 6,000 | 6,103,980 | |
Wisconsin Health and Educational Facilities Authority, (Aspirus, Inc. Obligated Group), 5.00%, 8/15/34 | 1,000 | 1,039,480 | |
$ 33,509,211 | |||
Housing — 3.8% | |||
Connecticut Housing Finance Authority, 1.85%, 11/15/31 | $ | 390 | $ 318,723 |
Connecticut Housing Finance Authority, Social Bonds, 2.54%, (SIFMA + 0.30%), 11/15/24 (Put Date), 11/15/50(2) | 2,500 | 2,487,925 | |
New York Housing Finance Agency, Green Bonds, 2.75%, 11/1/22 | 2,205 | 2,205,000 | |
New York Housing Finance Agency, Sustainability Bonds, 1.10%, 5/1/26 | 625 | 566,744 | |
North Dakota Housing Finance Agency, (SPA: TD Bank, N.A.), 2.22%, 1/1/46(1) | 1,650 | 1,650,000 | |
Tennessee Housing Development Agency, Social Bonds, 5.50%, 1/1/53 | 2,000 | 2,069,760 | |
$ 9,298,152 | |||
Insured - Education — 0.2% | |||
William S Hart Union High School District, CA, (Election 2001), (AGM), 0.00%, 9/1/29 | $ | 500 | $ 387,110 |
$ 387,110 | |||
Insured - General Obligations — 2.9% | |||
Glendale Union High School District No. 205, AZ, (AGM), 5.00%, 7/1/34 | $ | 525 | $ 564,186 |
Green Local School District, OH, (AGM), 5.00%, 11/1/38(3) | 150 | 155,701 | |
Rancho Santiago Community College District, CA, (Election of 2002): | |||
(AGM), 0.00%, 9/1/28 | 2,000 | 1,609,240 | |
(AGM), 0.00%, 9/1/30 | 1,500 | 1,104,960 |
2
Parametric
TABS Short-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Insured - General Obligations (continued) | |||
San Jose Unified School District, CA, (Election of 2002), (NPFG), 0.00%, 8/1/28 | $ | 2,500 | $ 2,021,400 |
San Mateo County Community College District, CA, (Election of 2001), (NPFG), 0.00%, 9/1/27 | 2,000 | 1,675,060 | |
$ 7,130,547 | |||
Insured - Housing — 5.1% | |||
Connecticut Housing Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 11/15/52(3) | $ | 3,000 | $ 3,113,100 |
Illinois Housing Development Authority, (GNMA/FNMA/FHLMC), Social Bonds, 5.25%, 10/1/52 | 2,000 | 2,042,620 | |
Indiana Housing and Community Development Authority, SFMR, Social Bonds, (GNMA/FNMA/FHLMC), 5.00%, 7/1/53 | 1,000 | 1,010,540 | |
Nebraska Investment Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 3/1/52(3) | 2,000 | 2,078,840 | |
Ohio Housing Finance Agency, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.75%, 3/1/54(3) | 1,000 | 1,048,210 | |
Texas Department of Housing and Community Affairs, Social Bonds, (GNMA), 5.75%, 1/1/53 | 3,000 | 3,143,250 | |
$ 12,436,560 | |||
Lease Revenue/Certificates of Participation — 3.7% | |||
Colorado, (Rural Colorado), 5.00%, 12/15/25 | $ | 6,000 | $ 6,295,260 |
Malibu, CA: | |||
5.00%, 11/1/38 | 275 | 275,410 | |
5.00%, 11/1/43 | 225 | 225,358 | |
5.00%, 11/1/48 | 375 | 375,506 | |
Virginia Public Building Authority, 5.00%, 8/1/25 | 1,700 | 1,775,735 | |
$ 8,947,269 | |||
Other Revenue — 3.9% | |||
Black Belt Energy Gas District, AL, (Liq: Royal Bank of Canada), 4.00% to 6/1/27 (Put Date), 7/1/52 | $ | 4,000 | $ 3,875,400 |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 5.00% to 6/1/29 (Put Date), 12/1/52 | 1,250 | 1,227,013 | |
New York Dormitory Authority, Personal Income Tax Revenue, 5.00%, 3/15/35 | 1,115 | 1,197,365 | |
Tennergy Corp., TN, Gas Supply Revenue, 4.00% to 9/1/28 (Put Date), 12/1/51 | 3,500 | 3,286,710 | |
$ 9,586,488 |
Security | Principal Amount (000's omitted) | Value | |
Senior Living/Life Care — 0.2% | |||
Colorado Health Facilities Authority, (Commonspirit Health Obligations), 5.25%, 11/1/34 | $ | 500 | $ 519,175 |
$ 519,175 | |||
Special Tax Revenue — 2.2% | |||
New York City Transitional Finance Authority, NY, Future Tax Revenue, 5.00%, 11/1/23 | $ | 1,000 | $ 1,017,520 |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
5.00%, 2/15/24 | 1,290 | 1,319,386 | |
5.00%, 3/15/32 | 2,790 | 3,042,133 | |
$ 5,379,039 | |||
Transportation — 3.1% | |||
Connecticut, Special Tax Obligation, (Transportation Infrastructure), 5.00%, 7/1/29(3) | $ | 2,100 | $ 2,286,816 |
New Hampshire, Turnpike System Revenue, 5.00%, 8/1/29 | 3,030 | 3,314,184 | |
Wisconsin, Transportation Revenue, 5.00%, 7/1/24 | 2,000 | 2,058,400 | |
$ 7,659,400 | |||
Water and Sewer — 2.8% | |||
Greensboro, NC, Combined Enterprise System Revenue, 5.00%, 6/1/35 | $ | 75 | $ 82,673 |
Kansas City, MO, Sanitary Sewer System Revenue, 5.00%, 1/1/25 | 350 | 362,022 | |
North Texas Municipal Water District, 5.00%, 9/1/24 | 1,120 | 1,145,133 | |
San Francisco City and County Public Utilities Commission, CA, Wastewater Revenue, Green Bonds, 2.125% to 10/1/23 (Put Date), 10/1/48 | 2,500 | 2,465,225 | |
Southeast Energy Authority A Cooperative District, AL, 4.00% to 12/1/31 (Put Date), 12/1/51 | 3,000 | 2,702,580 | |
$ 6,757,633 | |||
Total Tax-Exempt Municipal Obligations (identified cost $238,930,973) | $230,401,001 |
3
Parametric
TABS Short-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Taxable Municipal Obligations — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded — 0.4% | |||
Oklahoma Development Finance Authority, (St. John Health System), 3.877%, 5/1/37 | $ | 1,000 | $ 930,920 |
Total Taxable Municipal Obligations (identified cost $1,000,000) | $ 930,920 |
U.S. Treasury Obligations — 2.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes, 1.50%, 2/29/24 | $ | 6,300 | $ 6,048,738 |
Total U.S. Treasury Obligations (identified cost $6,161,203) | $ 6,048,738 |
Short-Term Investments — 12.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(5) | 30,470,783 | $ 30,470,783 | |
Total Short-Term Investments (identified cost $30,470,783) | $ 30,470,783 | ||
Total Investments — 109.5% (identified cost $276,562,959) | $267,851,442 | ||
Other Assets, Less Liabilities — (9.5)% | $(23,324,835) | ||
Net Assets — 100.0% | $244,526,607 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | 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, is determined by the remarketing agent and represents the rate in effect at October 31, 2022. |
(2) | Floating rate security. The stated interest rate represents the rate in effect at October 31, 2022. |
(3) | When-issued/delayed delivery security. |
(4) | Multi-step coupon security. Interest rate represents the rate in effect at October 31, 2022. |
(5) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2022. |
At October 31, 2022, the concentration of the Fund’s investments in the various states, determined as a percentage of net assets, is as follows: |
Texas | 15.7% |
California | 11.2% |
Others, representing less than 10% individually | 67.7% |
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 October 31, 2022, 7.4% 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 1.1% to 3.5% of total investments. |
Abbreviations: | |
AGM | – Assured Guaranty Municipal Corp. |
FHLMC | – Federal Home Loan Mortgage Corp. |
FNMA | – Federal National Mortgage Association |
GNMA | – Government National Mortgage Association |
Liq | – Liquidity Provider |
LOC | – Letter of Credit |
NPFG | – National Public Finance Guarantee Corp. |
PSF | – Permanent School Fund |
SFMR | – Single Family Mortgage Revenue |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SPA | – Standby Bond Purchase Agreement |
4
Parametric
TABS Short-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
The Fund did not have any open derivative instruments at October 31, 2022.
Investments in Affiliated Funds
At October 31, 2022, the value of the Fund’s investment in funds that may be deemed to be affiliated was $30,470,783, which represents 12.4% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended October 31, 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 | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund(1) | $ — | $127,172,271 | $(96,701,488) | $ — | $ — | $30,470,783 | $270,725 | 30,470,783 |
(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 October 31, 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 | $ — | $230,401,001 | $ — | $230,401,001 |
Taxable Municipal Obligations | — | 930,920 | — | 930,920 |
U.S. Treasury Obligations | — | 6,048,738 | — | 6,048,738 |
Short-Term Investments | 30,470,783 | — | — | 30,470,783 |
Total Investments | $30,470,783 | $237,380,659 | $ — | $267,851,442 |
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.
5