Parametric
TABS Intermediate-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 95.6% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 2.1% | |||
Texas Water Development Board: | |||
4.50%, 10/15/37 | $ | 2,000 | $ 2,077,020 |
4.55%, 10/15/38 | 5,000 | 5,182,650 | |
4.70%, 10/15/41 | 2,500 | 2,557,300 | |
4.75%, 10/15/42 | 1,000 | 1,018,660 | |
$ 10,835,630 | |||
Education — 5.0% | |||
Bethlehem Area School District Authority, PA: | |||
2.38%, (67% of SOFR + 0.35%), 11/1/25 (Put Date), 1/1/30(1) | $ | 3,990 | $ 3,835,747 |
2.38%, (67% of SOFR + 0.35%), 11/1/25 (Put Date), 1/1/32(1) | 1,000 | 961,330 | |
Clark-Pleasant Community School Building Corp., IN, 5.25%, 7/15/38(2) | 1,380 | 1,481,803 | |
Connecticut Health and Educational Facilities Authority, (Westminster School), 4.00%, 7/1/38 | 2,050 | 1,874,458 | |
Georgia Private Colleges and Universities Authority, (Savannah College of Art and Design): | |||
4.00%, 4/1/40 | 2,010 | 1,762,147 | |
4.00%, 4/1/41 | 1,600 | 1,392,928 | |
Nevada System of Higher Education, 5.00%, 7/1/23 | 500 | 505,345 | |
New York Dormitory Authority, (School Districts Revenue Bond Financing Program), 5.00%, 10/1/32 | 1,530 | 1,647,167 | |
Ohio Higher Educational Facility Commission, (Kenyon College): | |||
5.00%, 7/1/36(2) | 1,600 | 1,613,840 | |
5.00%, 7/1/37(2) | 1,100 | 1,105,489 | |
Texas A&M University, 4.375%, 5/15/38 | 1,850 | 1,808,319 | |
University of California: | |||
5.00%, 5/15/32(2) | 2,500 | 2,743,525 | |
5.00%, 5/15/33(2) | 1,000 | 1,100,450 | |
5.00%, 5/15/34(2) | 1,500 | 1,638,750 | |
University of Hawaii, 3.00%, 10/1/31 | 1,565 | 1,469,817 | |
University of Mississippi Educational Building Corp., 4.125%, 10/1/40 | 915 | 844,307 | |
Virginia Commonwealth University, 4.00%, 11/1/32 | 285 | 286,602 | |
$ 26,072,024 | |||
Electric Utilities — 3.5% | |||
Clark County Public Utility District No 1, NV, 5.00%, 1/1/42 | $ | 1,280 | $ 1,307,776 |
Energy Northwest, WA, (Columbia Generating Station): | |||
4.00%, 7/1/42 | 1,650 | 1,489,356 |
Security | Principal Amount (000's omitted) | Value | |
Electric Utilities (continued) | |||
Energy Northwest, WA, (Columbia Generating Station): (continued) | |||
4.00%, 7/1/42 | $ | 1,000 | $ 902,640 |
5.00%, 7/1/41 | 6,650 | 6,947,787 | |
Florida Municipal Power Agency, 3.00%, 10/1/32 | 1,750 | 1,518,737 | |
Garland, TX, Electric Utility System Revenue: | |||
4.00%, 3/1/32 | 1,015 | 1,014,624 | |
4.00%, 3/1/33 | 1,055 | 1,042,836 | |
4.00%, 3/1/34 | 375 | 368,003 | |
Lower Colorado River Authority, TX, (LCRA Transmission Services Corp.), 5.00%, 5/15/42 | 1,000 | 1,020,540 | |
New Braunfels, TX, Utility System Revenue, 4.00%, 7/1/33 | 1,070 | 1,067,785 | |
North Carolina Municipal Power Agency Number 1, (Catawba), 5.00%, 1/1/23 | 1,485 | 1,489,381 | |
$ 18,169,465 | |||
Escrowed/Prerefunded — 2.3% | |||
Hamilton County, OH, Sewer System, Prerefunded to 12/1/23, 5.00%, 12/1/24 | $ | 1,000 | $ 1,019,100 |
Louisiana Transportation Authority: | |||
Prerefunded to 8/15/23, 5.00%, 8/15/30 | 1,885 | 1,910,297 | |
Prerefunded to 8/15/23, 5.00%, 8/15/31 | 1,230 | 1,246,506 | |
Prerefunded to 8/15/23, 5.00%, 8/15/32 | 1,090 | 1,104,628 | |
Massachusetts School Building Authority, Dedicated Sales Tax Revenue, Prerefunded to 5/15/23, 5.00%, 5/15/33 | �� 2,000 | 2,019,780 | |
Royal Oak Hospital Finance Authority, MI, (William Beaumont Hospital), Prerefunded to 3/1/24, 5.00%, 9/1/24 | 520 | 531,690 | |
South Dakota Building Authority: | |||
Prerefunded to 6/1/24, 5.00%, 6/1/26 | 900 | 924,507 | |
Prerefunded to 6/1/24, 5.00%, 6/1/32 | 1,500 | 1,540,845 | |
Westmoreland County Municipal Authority, PA, Water and Sewer Revenue, Prerefunded to 8/15/23, 5.00%, 8/15/31 | 1,735 | 1,759,637 | |
$ 12,056,990 | |||
General Obligations — 33.6% | |||
Alabama: | |||
5.00%, 11/1/41(2) | $ | 1,000 | $ 1,062,750 |
5.00%, 11/1/42(2) | 6,560 | 6,964,949 | |
Alamo Community College District, TX, 5.00%, 2/15/27 | 2,500 | 2,662,775 | |
Anna, TX: | |||
4.00%, 2/15/39 | 2,890 | 2,639,928 | |
4.125%, 2/15/41 | 1,075 | 980,303 |
1
Parametric
TABS Intermediate-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Arlington Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/33 | $ | 750 | $ 819,120 |
Auburn, AL, 5.00%, 8/1/36 | 535 | 571,872 | |
Batavia, IL, 4.00%, 11/1/24 | 755 | 755,483 | |
Beaumont, TX, Certificates of Obligation, 4.00%, 3/1/31 | 930 | 936,064 | |
Beverly Hills Unified School District, CA, (Election of 2008), 4.00%, 8/1/38 | 900 | 868,383 | |
Blanco Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/36 | 950 | 1,013,583 | |
California: | |||
4.00%, 10/1/34 | 2,930 | 2,908,904 | |
4.00%, 10/1/37 | 1,750 | 1,701,035 | |
5.50%, 12/1/52 | 2,600 | 2,695,316 | |
Campbell, CA, (Election of 2018): | |||
5.00%, 9/1/40 | 300 | 318,309 | |
5.00%, 9/1/41 | 1,080 | 1,142,802 | |
Cape May County, NJ, 3.00%, 10/1/29 | 1,095 | 1,031,906 | |
Chaffey Joint Union High School District, CA, (Election of 2012), 0.00%, 8/1/36 | 1,035 | 553,663 | |
Cleveland Municipal School District, OH, Prerefunded to 6/1/23, 5.00%, 12/1/32 | 3,105 | 3,138,068 | |
Commonwealth of Massachusetts, 4.00%, 2/1/40 | 700 | 648,242 | |
Community Independent School District, TX, (PSF Guaranteed): | |||
5.00%, 2/15/35 | 1,370 | 1,475,558 | |
5.00%, 2/15/36 | 1,420 | 1,522,283 | |
Connecticut, 3.00%, 1/15/32 | 1,850 | 1,648,387 | |
Crystal Lake, IL, 4.00%, 12/15/23 | 455 | 455,419 | |
Cypress-Fairbanks Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/36 | 2,765 | 2,988,578 | |
Decatur, IL, 5.00%, 3/1/23 | 1,030 | 1,033,801 | |
El Monte Union High School District, CA, (Election of 2018), 4.00%, 6/1/33 | 250 | 252,025 | |
Florida, (Department of Transportation), 2.00%, 7/1/33 | 1,000 | 752,380 | |
Fort Bend Independent School District, TX, (PSF Guaranteed), 4.00%, 8/15/35 | 1,000 | 1,002,590 | |
Georgia: | |||
4.00%, 7/1/29 | 5,525 | 5,708,098 | |
4.00%, 8/1/35 | 500 | 493,325 | |
5.00%, 7/1/30 | 6,000 | 6,679,320 | |
5.00%, 8/1/33 | 5,000 | 5,490,850 | |
Gladstone School District No. 115, Clackamas County, OR, 0.00%, 6/15/26 | 1,000 | 876,870 | |
Glendale Unified School District, CA, 0.00%, 9/1/30 | 5,280 | 3,845,899 | |
Hutto Independent School District, TX, (PSF Guaranteed): | |||
4.00%, 8/1/40 | 650 | 600,503 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Hutto Independent School District, TX, (PSF Guaranteed): (continued) | |||
5.00%, 8/1/31 | $ | 330 | $ 367,178 |
5.00%, 8/1/32 | 250 | 279,348 | |
5.00%, 8/1/33 | 290 | 323,634 | |
5.00%, 8/1/35 | 530 | 582,947 | |
5.00%, 8/1/36 | 365 | 399,044 | |
5.00%, 8/1/37 | 425 | 461,274 | |
5.00%, 8/1/38 | 455 | 490,294 | |
5.00%, 8/1/39 | 625 | 667,475 | |
Illinois, 5.00%, 3/1/26 | 6,500 | 6,549,075 | |
Katy Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/39 | 350 | 327,457 | |
King & Snohomish Counties School District No. 417, WA, 5.00%, 12/1/34 | 1,495 | 1,625,902 | |
La Grange Park District, IL, 5.00%, 12/1/22 | 440 | 440,612 | |
Los Angeles Community College District, CA, (Election of 2008), 4.00%, 8/1/34 | 5,000 | 5,034,900 | |
Los Angeles Unified School District, CA, 4.00%, 7/1/38 | 6,550 | 6,143,179 | |
Macomb County, MI, 4.00%, 5/1/24 | 1,000 | 1,009,940 | |
Madison County, TN, 5.00%, 5/1/23 | 1,115 | 1,125,024 | |
Mamaroneck Union Free School District, NY, 4.00%, 8/15/35 | 1,200 | 1,192,056 | |
Massachusetts, 4.00%, 2/1/39 | 4,000 | 3,758,520 | |
Medina Valley Independent School District, TX, (PSF Gauranteed): | |||
4.00%, 2/15/38 | 480 | 456,797 | |
4.00%, 2/15/39 | 495 | 467,087 | |
4.00%, 2/15/42 | 310 | 282,953 | |
Morris Township, NJ, 3.00%, 11/1/29 | 60 | 56,989 | |
Mountain View Whisman School District, CA: | |||
4.00%, 9/1/39(2) | 2,180 | 2,085,889 | |
4.00%, 9/1/40(2) | 1,300 | 1,232,985 | |
Mountain View-Los Altos Union High School District, CA, 0.00%, 8/1/25 | 2,115 | 1,916,550 | |
Neshaminy School District, PA, 4.00%, 11/1/26 | 435 | 439,498 | |
New Braunfels, TX, 5.00%, 2/1/33 | 835 | 883,221 | |
New Hampshire, 4.00%, 12/1/32 | 2,035 | 2,075,252 | |
New York City, NY: | |||
5.00%, 8/1/33 | 2,465 | 2,681,033 | |
5.25%, 10/1/39 | 1,000 | 1,075,600 | |
5.25%, 10/1/42 | 8,000 | 8,478,720 | |
5.25%, 10/1/43 | 2,500 | 2,640,025 | |
Ohio, 5.00%, 5/1/35 | 200 | 218,852 | |
Pasadena Independent School District, TX, (PSF Guaranteed): | |||
4.00%, 2/15/39(2) | 5,000 | 4,755,850 |
2
Parametric
TABS Intermediate-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Pasadena Independent School District, TX, (PSF Guaranteed): (continued) | |||
5.00%, 2/15/36 | $ | 700 | $ 760,571 |
Paw Paw Public Schools, MI: | |||
4.00%, 5/1/42 | 475 | 423,933 | |
5.00%, 5/1/40 | 405 | 422,715 | |
Pennsylvania: | |||
4.00%, 10/1/39 | 6,000 | 5,445,120 | |
4.125%, 10/1/41 | 10,150 | 9,262,281 | |
Pflugerville, TX, 5.00%, 8/1/35 | 1,970 | 2,114,795 | |
Prince George's County, MD, 5.00%, 7/1/34 | 1,800 | 2,001,276 | |
Richardson Independent School District, TX, (PSF Guaranteed): | |||
4.00%, 2/15/31 | 1,650 | 1,685,475 | |
5.00%, 2/15/39(2) | 1,000 | 1,060,930 | |
Rockwall Independent School District, TX, (PSF Guaranteed): | |||
5.00%, 2/15/39 | 1,000 | 1,063,740 | |
5.00%, 2/15/40 | 1,250 | 1,323,712 | |
San Francisco Bay Area Rapid Transit District, CA, 4.00%, 8/1/33 | 1,350 | 1,360,449 | |
Shoreline, WA, 4.00%, 12/1/33 | 1,605 | 1,584,344 | |
Solana Beach School District, CA, (Election of 2016), 4.00%, 8/1/30 | 70 | 72,016 | |
Spring Branch Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/42 | 3,000 | 3,195,210 | |
Texas Public Finance Authority, 4.00%, 2/1/34 | 2,460 | 2,362,067 | |
Township High School District No. 204, IL, 4.25%, 12/15/22 | 1,230 | 1,231,648 | |
Washington: | |||
4.00%, 7/1/27 | 2,500 | 2,571,575 | |
4.00%, 7/1/33 | 3,000 | 3,018,780 | |
5.00%, 2/1/39 | 1,450 | 1,550,122 | |
Waukesha County, WI, 4.00%, 4/1/30 | 1,300 | 1,329,276 | |
Western School District, MI, 5.00%, 5/1/42 | 1,000 | 1,035,570 | |
Zeeland Public Schools, MI, 5.00%, 5/1/24 | 1,000 | 1,021,930 | |
$174,662,036 | |||
Hospital — 5.6% | |||
Charlotte-Mecklenburg Hospital Authority, NC, (Atrium Health), (SPA: JPMorgan Chase Bank N.A.), 1.64%, 1/15/48(3) | $ | 5,800 | $ 5,800,000 |
Geisinger Authority, PA, (Geisinger Health System), 4.00%, 4/1/39 | 3,250 | 2,923,082 | |
Massachusetts Development Finance Agency, (Berkshire Health Systems): | |||
5.00%, 10/1/29 | 135 | 141,226 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Massachusetts Development Finance Agency, (Berkshire Health Systems): (continued) | |||
5.00%, 10/1/30 | $ | 400 | $ 416,816 |
Michigan Finance Authority, (Trinity Health Credit Group), 4.00%, 12/1/36 | 6,000 | 5,501,460 | |
Montgomery County, OH, (Kettering Health Network Obligated Group), 3.00%, 8/1/34 | 300 | 245,145 | |
Pennsylvania Economic Development Financing Authority, (UPMC), 5.00%, 2/15/38 | 1,995 | 2,024,606 | |
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania Health System), 4.00%, 8/15/34 | 1,260 | 1,196,005 | |
Richmond County Hospital Authority, GA, (University Health Services, Inc.), 4.00%, 1/1/36 | 1,100 | 1,019,007 | |
St. Paul Housing and Redevelopment Authority, MN, (HealthPartners Obligated Group), 5.00%, 7/1/30 | 600 | 612,330 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Methodist Hospitals of Dallas), (LOC: TD Bank, N.A.), 1.62%, 10/1/41(3) | 465 | 465,000 | |
University of North Carolina Hospitals at Chapel Hill, 5.00%, 2/1/33 | 890 | 930,477 | |
Virginia Small Business Financing Authority, (Bon Secours Mercy Health, Inc.), 5.00%, 10/1/40 | 7,500 | 7,622,400 | |
$ 28,897,554 | |||
Housing — 2.5% | |||
Connecticut Housing Finance Authority, Social Bonds, 2.54%, (SIFMA + 0.30%), 11/15/24 (Put Date), 11/15/50(1) | $ | 2,000 | $ 1,990,340 |
Massachusetts Housing Finance Agency, 3.95% to 6/1/25 (Put Date), 12/1/49 | 1,800 | 1,800,018 | |
New York Mortgage Agency: | |||
2.05%, 4/1/28 | 1,000 | 900,670 | |
2.15%, 4/1/29 | 1,265 | 1,118,247 | |
2.25%, 4/1/30 | 1,000 | 870,250 | |
2.35%, 4/1/31 | 1,835 | 1,576,412 | |
2.40%, 10/1/31 | 1,130 | 964,410 | |
Seattle Housing Authority, WA, (Northgate Plaza), 1.00%, 6/1/26 | 1,000 | 912,970 | |
Tennessee Housing Development Agency, Social Bonds, 5.50%, 1/1/53 | 3,000 | 3,104,640 | |
$ 13,237,957 | |||
Industrial Development Revenue — 0.4% | |||
Loudoun County Economic Development Authority, VA, (Loudoun County Public Facilities), 5.00%, 12/1/35 | $ | 2,105 | $ 2,279,757 |
$ 2,279,757 |
3
Parametric
TABS Intermediate-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Insured - Bond Bank — 1.7% | |||
Indianapolis Local Public Improvement Bond Bank, IN: | |||
(AGM), 4.00%, 6/1/36 | $ | 4,950 | $ 4,554,594 |
(AGM), 4.00%, 6/1/39 | 5,000 | 4,464,650 | |
$ 9,019,244 | |||
Insured - Education — 2.1% | |||
Scott County School District Finance Corp., KY, (BAM), 5.00%, 9/1/41 | $ | 5,000 | $ 5,143,400 |
Texas State Technical College (Financing System Improvement), (AGM), 5.50%, 8/1/42(2) | 5,750 | 6,020,480 | |
$ 11,163,880 | |||
Insured - General Obligations — 1.9% | |||
Grossmont Union High School District, CA, (Election of 2008), (AGM), 0.00%, 8/1/33 | $ | 3,535 | $ 2,107,355 |
San Mateo County Community College District, CA, (Election of 2005), (NPFG), 0.00%, 9/1/29 | 5,000 | 3,860,750 | |
Springdale, AR, Water and Sewer Revenue: | |||
4.00%, 9/1/28 | 750 | 761,812 | |
4.00%, 9/1/30 | 835 | 841,847 | |
Yonkers, NY: | |||
(BAM), 4.00%, 5/1/34 | 695 | 687,362 | |
(BAM), 4.00%, 5/1/34 | 1,755 | 1,743,663 | |
$ 10,002,789 | |||
Insured - Housing — 3.1% | |||
Connecticut Housing Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 11/15/52(2) | $ | 2,000 | $ 2,075,400 |
Illinois Housing Development Authority, (GNMA/FNMA/FHLMC), Social Bonds, 5.25%, 10/1/52 | 1,700 | 1,736,227 | |
Indiana Housing and Community Development Authority, SFMR, Social Bonds, (GNMA/FNMA/FHLMC), 5.00%, 7/1/53 | 2,250 | 2,273,715 | |
Nebraska Investment Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 3/1/52(2) | 3,000 | 3,118,260 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue, 5.25%, 11/1/34 | 3,500 | 3,908,555 | |
Texas Department of Housing and Community Affairs, Social Bonds, (GNMA), 5.75%, 1/1/53 | 3,000 | 3,143,250 | |
$ 16,255,407 | |||
Insured - Lease Revenue/Certificates of Participation — 0.3% | |||
Ontario Public Financing Authority, CA, (Civic Center Improvements): | |||
(AGM), 5.00%, 11/1/23 | $ | 135 | $ 137,284 |
(AGM), 5.00%, 11/1/38 | 500 | 530,740 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Lease Revenue/Certificates of Participation (continued) | |||
Ontario Public Financing Authority, CA, (Civic Center Improvements): (continued) | |||
(AGM), 5.00%, 11/1/39 | $ | 675 | $ 714,495 |
$ 1,382,519 | |||
Insured - Transportation — 1.0% | |||
Metropolitan Transportation Authority, NY, (AGM), 3.346%, (67% of SOFR + 0.80%), 4/1/26 (Put Date), 11/1/32(1) | $ | 5,500 | $ 5,216,695 |
$ 5,216,695 | |||
Lease Revenue/Certificates of Participation — 3.5% | |||
Aspen Fire Protection District, CO: | |||
4.00%, 12/1/24 | $ | 130 | $ 131,344 |
4.00%, 12/1/28 | 225 | 228,098 | |
Colorado, (Rural Colorado), 4.00%, 12/15/39 | 1,000 | 914,960 | |
Colorado, Certificates of Participation, 4.00%, 12/15/36 | 5,500 | 5,179,735 | |
Duchesne School District Municipal Building Authority, UT: | |||
5.00%, 6/1/39 | 1,000 | 1,007,500 | |
5.00%, 6/1/40 | 1,645 | 1,654,015 | |
Greater Texas Cultural Education Facilities Finance Corp., (Epicenter Multipurpose Facilities): | |||
5.00%, 3/1/30 | 475 | 509,589 | |
5.00%, 3/1/31 | 500 | 534,980 | |
5.00%, 3/1/32 | 750 | 793,387 | |
Ottawa County Building Authority, MI, 4.00%, 5/1/39 | 1,295 | 1,202,576 | |
Palm Beach County School Board, FL, 5.25%, 8/1/39 | 2,310 | 2,412,934 | |
Palo Alto, CA, Certificates of Participation, 3.00%, 11/1/33 | 110 | 96,459 | |
South San Francisco Public Facilities Financing Authority, CA, (Orange Memorial Park): | |||
4.00%, 6/1/42 | 1,000 | 893,040 | |
5.00%, 6/1/40 | 500 | 527,025 | |
5.25%, 6/1/46 | 525 | 555,865 | |
St. Louis County Special School District, MO, 4.00%, 4/1/29 | 525 | 531,699 | |
Virginia Public Building Authority, 4.00%, 8/1/35 | 800 | 790,888 | |
$ 17,964,094 | |||
Other Revenue — 9.9% | |||
Fort Myers, FL, Capital Improvement Revenue, 5.00%, 12/1/31 | $ | 965 | $ 995,668 |
Kentucky Public Energy Authority, Gas Supply Revenue, 4.00% to 2/1/28 (Put Date), 2/1/50 | 14,000 | 13,238,540 | |
Loudoun County Economic Development Authority, VA, (Howard Hughes Medical Institute), 4.00%, 10/1/52 | 1,150 | 1,008,584 |
4
Parametric
TABS Intermediate-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Louisiana Local Government Environmental Facilities and Community Development Authority, (Jefferson Parish), 5.00%, 12/1/33 | $ | 2,425 | $ 2,544,552 |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 5.00% to 6/1/29 (Put Date), 12/1/52 | 4,000 | 3,926,440 | |
New York Dormitory Authority, Personal Income Tax Revenue, 5.00%, 2/15/41 | 3,525 | 3,641,466 | |
Orange County, FL, Tourist Development Tax Revenue, 4.00%, 10/1/32 | 4,585 | 4,576,518 | |
Patriots Energy Group Financing Agency, SC, Gas Supply Revenue, (Liq: Royal Bank of Canada), 4.00%, 10/1/48 | 10,000 | 9,955,200 | |
Southeast Energy Authority A Cooperative District, AL, (Project No. 1), 4.00% to 10/1/28 (Put Date), 11/1/51 | 7,160 | 6,687,297 | |
Tennergy Corp., TN, Gas Supply Revenue, 4.00% to 9/1/28 (Put Date), 12/1/51 | 5,100 | 4,789,206 | |
$ 51,363,471 | |||
Senior Living/Life Care — 0.4% | |||
Colorado Health Facilities Authority, (Commonspirit Health Obligations), 5.25%, 11/1/36 | $ | 1,100 | $ 1,133,671 |
North Carolina Medical Care Commission, (Deerfield Episcopal Retirement Community, Inc.), 5.00%, 11/1/31 | 1,000 | 1,033,190 | |
$ 2,166,861 | |||
Special Tax Revenue — 4.6% | |||
Fairfax County, VA, Sewer Revenue, 4.00%, 7/15/41 | $ | 4,100 | $ 3,864,209 |
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 11/1/38 | 1,500 | 1,378,230 | |
4.00%, 11/1/38 | 250 | 229,705 | |
4.00%, 11/1/42 | 5,000 | 4,427,650 | |
5.00%, 8/1/36 | 3,705 | 3,914,629 | |
5.00%, 2/1/42 | 1,400 | 1,442,252 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/36 | 4,000 | 3,784,080 | |
4.00%, 3/15/41 | 1,200 | 1,072,440 | |
New York State Urban Development Corp., Personal Income Tax Revenue, 4.00%, 3/15/40 | 3,970 | 3,593,723 | |
$ 23,706,918 | |||
Transportation — 3.8% | |||
Chicago, IL, (O'Hare International Airport), 5.25%, 1/1/37 | $ | 1,500 | $ 1,544,685 |
El Paso, TX, (El Paso International Airport), 5.00%, 8/15/33 | 955 | 994,146 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Idaho Housing and Finance Association, Federal Highway Trust Fund, 5.00%, 7/15/25 | $ | 1,000 | $ 1,040,460 |
Illinois Toll Highway Authority, 5.00%, 1/1/33 | 100 | 103,725 | |
Los Angeles Department of Airports, CA, (Los Angeles International Airport), 5.00%, 5/15/33 | 175 | 192,330 | |
Massachusetts Department of Transportation, (LOC: TD Bank N.A.), 2.20%, 1/1/37(4) | 5,000 | 5,000,000 | |
Massachusetts, (Rail Enhancement Program), 5.00%, 6/1/43 | 2,950 | 3,085,671 | |
North Texas Tollway Authority, 4.125%, 1/1/40 | 3,000 | 2,781,180 | |
Salt Lake City, UT, (Salt Lake City International Airport): | |||
5.00%, 7/1/35 | 1,685 | 1,717,082 | |
5.00%, 7/1/36 | 1,615 | 1,639,483 | |
Wayne County Airport Authority, MI, (Detroit Metropolitan Wayne County Airport), 5.00%, 12/1/37 | 1,500 | 1,516,665 | |
$ 19,615,427 | |||
Water and Sewer — 8.3% | |||
Colorado Springs, CO, Utilities System Revenue, (SPA: Sumitomo Mitsui Banking Corp.), 2.22% , 11/1/28(4) | $ | 900 | $ 900,000 |
East Bay Municipal Utility District, CA, Wastewater System Revenue, Green Bonds, 5.00%, 6/1/45 | 200 | 213,358 | |
Kansas City, MO, Sanitary Sewer System Revenue, 5.00%, 1/1/30 | 600 | 644,436 | |
Metropolitan Utilities District of Omaha Water System Revenue, NE, 4.375%, 12/1/41 | 4,545 | 4,415,649 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
4.00%, 6/15/36 | 5,550 | 5,275,164 | |
4.00%, 6/15/39 | 5,895 | 5,425,876 | |
4.00%, 6/15/41 | 5,000 | 4,498,050 | |
4.00%, 6/15/41 | 3,695 | 3,324,059 | |
4.00%, 6/15/42 | 3,620 | 3,222,741 | |
Series EE, 5.00%, 6/15/35 | 1,155 | 1,162,253 | |
Seattle, WA, Water System Revenue, Green Bonds, 5.00%, 9/1/43 | 1,625 | 1,716,455 | |
Southeast Energy Authority A Cooperative District, AL, 4.00% to 12/1/31 (Put Date), 12/1/51 | 3,000 | 2,702,580 | |
Spotsylvania County Water and Sewer, VA, 4.00%, 12/1/37(2) | 750 | 732,090 | |
Tampa Bay Regional Water Supply Authority, FL: | |||
5.00%, 10/1/39 | 1,250 | 1,336,163 | |
5.00%, 10/1/41 | 1,000 | 1,058,240 | |
5.00%, 10/1/42 | 1,670 | 1,758,694 | |
5.00%, 10/1/43 | 2,000 | 2,100,180 |
5
Parametric
TABS Intermediate-Term Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Texas Water Development Board, 4.60%, 10/15/39 | $ | 2,240 | $ 2,311,389 |
Washington Suburban Sanitary District, MD, 2.00%, 12/1/41 | 1,000 | 611,860 | |
$ 43,409,237 | |||
Total Tax-Exempt Municipal Obligations (identified cost $523,768,660) | $497,477,955 |
Taxable Municipal Obligations — 2.3% |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded — 0.4% | |||
Oklahoma Development Finance Authority, (St. John Health System): | |||
3.877%, 5/1/37 | $ | 1,500 | $ 1,396,380 |
4.714%, 5/1/52 | 1,000 | 875,590 | |
$ 2,271,970 | |||
General Obligations — 0.6% | |||
New York City, NY, Social Bonds, 5.263%, 10/1/52 | $ | 3,000 | $ 2,880,030 |
$ 2,880,030 | |||
Insured - Housing — 1.3% | |||
Massachusetts, Special Obligation, Social Bonds, 3.769%, 7/15/29 | $ | 7,500 | $ 7,042,275 |
$ 7,042,275 | |||
Total Taxable Municipal Obligations (identified cost $13,000,000) | $ 12,194,275 |
Short-Term Investments — 8.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(5) | 43,336,076 | $ 43,336,076 | |
Total Short-Term Investments (identified cost $43,336,076) | $ 43,336,076 | ||
Total Investments — 106.2% (identified cost $580,104,736) | $553,008,306 | ||
Other Assets, Less Liabilities — (6.2)% | $(32,473,180) | ||
Net Assets — 100.0% | $520,535,126 |
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 October 31, 2022. |
(2) | When-issued security. |
(3) | 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 October 31, 2022. |
(4) | 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 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: |
New York | 16.1% |
Texas | 14.9% |
Others, representing less than 10% individually | 66.9% |
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 October 31, 2022, 6.4% 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 0.7% to 4.3% of total investments. |
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 |
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 |
SOFR | – Secured Overnight Financing Rate |
SPA | – Standby Bond Purchase Agreement |
6
Parametric
TABS Intermediate-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 $43,336,076, which represents 8.3% 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) | $ — | $277,312,379 | $(233,976,303) | $ — | $ — | $43,336,076 | $439,474 | 43,336,076 |
(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 | $ — | $497,477,955 | $ — | $497,477,955 |
Taxable Municipal Obligations | — | 12,194,275 | — | 12,194,275 |
Short-Term Investments | 43,336,076 | — | — | 43,336,076 |
Total Investments | $43,336,076 | $509,672,230 | $ — | $553,008,306 |
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.
7