Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 97.0% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 2.3% | |||
Texas Water Development Board, 4.55%, 10/15/38 | $ | 1,500 | $ 1,554,795 |
Vermont Municipal Bond Bank, 5.00%, 12/1/28 | 160 | 167,259 | |
$ 1,722,054 | |||
Education — 10.8% | |||
Alabama Public School and College Authority, Social Bonds, 4.00%, 11/1/36 | $ | 1,500 | $ 1,459,230 |
Allegheny County Higher Education Building Authority, PA, (Carnegie Mellon University), 2.418%, (70% of SOFR + 0.29%), 8/1/27 (Put Date), 2/1/33(1) | 1,000 | 946,960 | |
Bethlehem Area School District Authority, PA, 2.38%, (67% of SOFR + 0.35%), 11/1/25 (Put Date), 1/1/32(1) | 2,300 | 2,211,059 | |
Los Ranchos de Albuquerque, NM, (Albuquerque Academy): | |||
5.00%, 9/1/26 | 150 | 156,152 | |
5.00%, 9/1/27 | 100 | 105,001 | |
Oklahoma Agricultural and Mechanical Colleges, (Oklahoma State University), 4.00%, 9/1/32 | 465 | 461,922 | |
Southcentral Pennsylvania General Authority, (York College of Pennsylvania), 5.00%, 11/1/24 | 250 | 255,397 | |
UCF Stadium Corp., FL, 5.00%, 3/1/23 | 250 | 250,965 | |
University of California: | |||
5.00%, 5/15/28(2) | 1,500 | 1,605,315 | |
5.00%, 5/15/29(2) | 350 | 378,402 | |
Vermont State Colleges, 5.00%, 7/1/24 | 100 | 100,727 | |
West Clark 2000 School Building Corp., IN, 5.00%, 1/15/23 | 100 | 100,355 | |
$ 8,031,485 | |||
Electric Utilities — 6.0% | |||
Foley Utilities Board, AL: | |||
5.00%, 11/1/30 | $ | 855 | $ 911,866 |
5.00%, 11/1/31 | 900 | 958,248 | |
Public Finance Authority, WI, (Duke Energy Progress, LLC), 3.30% to 10/1/26 (Put Date), 10/1/46 | 1,700 | 1,661,546 | |
Redding Joint Powers Financing Authority, CA, Electric System Revenue, 4.00%, 6/1/23 | 175 | 175,886 | |
Seattle, WA, Municipal Light and Power Revenue, 2.49%, (SIFMA + 0.25%), 11/1/26 (Put Date), 5/1/45(1) | 500 | 487,590 | |
Springfield, IL, Electric System Revenue, 5.00%, 3/1/25 | 250 | 257,282 | |
$ 4,452,418 |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded — 0.0%(3) | |||
Royal Oak Hospital Finance Authority, MI, (William Beaumont Hospital), Escrowed to Maturity, 5.00%, 9/1/23 | $ | 35 | $ 35,507 |
$ 35,507 | |||
General Obligations — 18.8% | |||
Amarillo Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/27 | $ | 750 | $ 798,135 |
Boulder Valley School District No. Re-2, CO, 4.00%, 12/1/23 | 25 | 25,220 | |
Campton Township, IL: | |||
5.00%, 12/15/22 | 200 | 200,422 | |
5.00%, 12/15/23 | 105 | 106,667 | |
Commonwealth of Massachusetts, 4.00%, 11/1/35 | 1,000 | 978,890 | |
Connecticut, 4.00%, 6/1/32 | 1,000 | 999,280 | |
Corpus Christi Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/24 | 395 | 406,348 | |
Crandall Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/28 | 295 | 318,420 | |
Decatur City Board of Education, AL, 5.00%, 2/1/25 | 50 | 51,758 | |
El Monte Union High School District, CA, (Election of 2018): | |||
4.00%, 6/1/31 | 100 | 101,552 | |
4.00%, 6/1/32 | 150 | 151,905 | |
Hayward Community School District, WI, 5.00%, 3/1/32 | 750 | 813,975 | |
Huntsville Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/35 | 1,405 | 1,510,164 | |
Illinois, 5.00%, 3/1/25 | 1,750 | 1,764,035 | |
Lakeland, FL, 5.00%, 10/1/24 | 50 | 51,448 | |
Loudoun County, VA, 5.00%, 12/1/32 | 2,000 | 2,246,960 | |
McLean County Public Building Commission, IL, 5.00%, 12/1/22 | 250 | 250,333 | |
Pecos-Barstow-Toyah Independent School District, TX, (PSF Guaranteed): | |||
5.00%, 2/15/24 | 625 | 639,237 | |
5.00%, 2/15/28 | 250 | 268,405 | |
San Diego Unified School District, CA, 0.00%, 7/1/30 | 1,000 | 740,190 | |
St. Louis County, MO, Special Obligation Bonds, 5.00%, 12/1/32 | 1,005 | 1,088,716 | |
Washington, 4.00%, 7/1/35 | 500 | 492,025 | |
$14,004,085 | |||
Hospital — 7.9% | |||
Allegheny County Hospital Development Authority, PA, (Allegheny Health Network Obligated Group), 5.00%, 4/1/31 | $ | 1,000 | $ 1,029,110 |
1
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Allen County, OH, Bon Secours (Mercy Health), 5.00% to 6/4/30 (Put Date), 10/1/51 | $ | 1,500 | $ 1,569,810 |
Colorado Health Facilities Authority, (Vail Valley Medical Center): | |||
4.00%, 1/15/25 | 25 | 25,209 | |
5.00%, 1/15/23 | 25 | 25,077 | |
Greeneville Health and Educational Facilities Board, TN, (Ballad Health), 5.00%, 7/1/28 | 1,000 | 1,037,340 | |
Northampton County General Purpose Authority, PA, (St. Luke's University Health Network), 5.00%, 8/15/25 | 30 | 30,926 | |
Pima County Industrial Development Authority, AZ, (Tucson Medical Center), 5.00%, 4/1/32 | 1,000 | 1,037,170 | |
Public Finance Authority, WI, (Renown Regional Medical Center), 5.00%, 6/1/25 | 375 | 383,948 | |
San Diego County, CA, (Sanford Burnham Prebys Medical Discovery Institute), 5.00%, 11/1/25 | 35 | 36,590 | |
Southcentral Pennsylvania General Authority, (Hanover Hospital, Inc.), 5.00%, 12/1/22 | 200 | 200,220 | |
Wisconsin Health and Educational Facilities Authority, (Advocate Aurora Health Credit Group), 5.00% to 7/29/26 (Put Date), 8/15/54 | 500 | 519,025 | |
$ 5,894,425 | |||
Housing — 6.8% | |||
Iowa Finance Authority, SFMR, (FHLMC), (FNMA), (GNMA): | |||
0.85%, 1/1/28 | $ | 100 | $ 84,340 |
0.95%, 7/1/28 | 285 | 237,835 | |
1.05%, 1/1/29 | 225 | 185,447 | |
1.15%, 7/1/29 | 250 | 204,290 | |
1.30%, 1/1/30 | 200 | 162,228 | |
(SPA: TD Bank, N.A.), 2.15%, 7/1/49(4) | 1,500 | 1,500,000 | |
Massachusetts Housing Finance Agency, 3.95% to 6/1/25 (Put Date), 12/1/49 | 700 | 700,007 | |
New York Mortgage Agency: | |||
2.05%, 4/1/28 | 230 | 207,154 | |
2.10%, 10/1/28 | 135 | 120,781 | |
2.25%, 4/1/30 | 325 | 282,831 | |
2.30%, 10/1/30 | 395 | 341,616 | |
Tennessee Housing Development Agency, Social Bonds, 5.50%, 1/1/53 | 1,000 | 1,034,880 | |
$ 5,061,409 | |||
Insured - Education — 1.5% | |||
Northern Arizona University, (BAM), 5.00%, 6/1/30 | $ | 450 | $ 488,331 |
Troy University, AL, (AGM), 5.00%, 11/1/33 | 590 | 624,432 | |
$ 1,112,763 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Escrowed/Prerefunded — 0.1% | |||
New Britain, CT: | |||
(BAM), 5.00%, 3/1/25 | $ | 50 | $ 51,898 |
(BAM), Escrowed to Maturity, 5.00%, 3/1/23 | 30 | 30,179 | |
$ 82,077 | |||
Insured - General Obligations — 3.7% | |||
Fort Bend County Municipal Utility District No. 58, TX, (BAM), 3.00%, 4/1/27 | $ | 90 | $ 85,774 |
Glendale Union High School District No. 205, AZ, (AGM), 5.00%, 7/1/33 | 625 | 679,175 | |
Rancho Santiago Community College District, CA, (Election of 2002): | |||
(AGM), 0.00%, 9/1/27 | 750 | 627,555 | |
(AGM), 0.00%, 9/1/28 | 1,210 | 973,590 | |
(AGM), 0.00%, 9/1/30 | 500 | 368,320 | |
$ 2,734,414 | |||
Insured - Housing — 6.0% | |||
Connecticut Housing Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 11/15/52(2) | $ | 500 | $ 518,850 |
Nebraska Investment Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 3/1/52(2) | 1,000 | 1,039,420 | |
Ohio Housing Finance Agency, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.75%, 3/1/54(2) | 750 | 786,157 | |
Texas Department of Housing and Community Affairs, Social Bonds, (GNMA), 5.75%, 1/1/53 | 2,000 | 2,095,500 | |
$ 4,439,927 | |||
Insured - Lease Revenue/Certificates of Participation — 0.2% | |||
Highlands County School Board, FL, (BAM), 5.00%, 3/1/26 | $ | 180 | $ 186,385 |
$ 186,385 | |||
Insured - Special Tax Revenue — 0.8% | |||
Successor Agency to Riverside County Redevelopment Agency, CA, (AGM), 5.00%, 10/1/24 | $ | 10 | $ 10,303 |
Vineyard Redevelopment Agency, UT: | |||
(AGM), 5.00%, 5/1/27 | 315 | 333,449 | |
(AGM), 5.00%, 5/1/28 | 235 | 251,072 | |
$ 594,824 | |||
Insured - Transportation — 3.5% | |||
New Orleans Aviation Board, LA: | |||
(AGM), 5.00%, 1/1/28 | $ | 1,000 | $ 1,048,070 |
(AGM), 5.00%, 1/1/29 | 1,510 | 1,575,458 | |
$ 2,623,528 |
2
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Insured - Water and Sewer — 0.1% | |||
Hamburg Municipal Authority, PA, Sewer Revenue, (AGM), 2.00%, 10/1/30 | $ | 75 | $ 62,726 |
$ 62,726 | |||
Lease Revenue/Certificates of Participation — 1.7% | |||
Aspen Fire Protection District, CO: | |||
4.00%, 12/1/23 | $ | 120 | $ 120,736 |
4.00%, 12/1/25 | 190 | 192,457 | |
Georgia Municipal Association, Inc., Certificates of Participation, (Atlanta Public Safety), 5.00%, 12/1/23 | 225 | 229,153 | |
Greater Texas Cultural Education Facilities Finance Corp., (Epicenter Multipurpose Facilities), 5.00%, 3/1/29 | 150 | 160,710 | |
Miami-Dade County School Board, FL, 5.00%, 2/1/24 | 300 | 306,084 | |
St. Charles County Public Water Supply District No. 2, MO, 3.00%, 12/1/25 | 250 | 244,985 | |
$ 1,254,125 | |||
Other Revenue — 10.5% | |||
Fort Myers, FL, Capital Improvement Revenue: | |||
5.00%, 12/1/27 | $ | 255 | $ 266,115 |
5.00%, 12/1/28 | 545 | 567,787 | |
5.00%, 12/1/29 | 600 | 622,950 | |
Kentucky Public Energy Authority, Gas Supply Revenue, 4.00% to 2/1/28 (Put Date), 2/1/50 | 1,500 | 1,418,415 | |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 5.00% to 6/1/29 (Put Date), 12/1/52 | 2,250 | 2,208,623 | |
New York City Cultural Resources Trust, NY, (Carnegie Hall), 5.00%, 12/1/26 | 275 | 290,001 | |
San Antonio, TX, Electric and Gas Systems Revenue, 2.00% to 12/1/27 (Put Date), 2/1/49 | 2,400 | 2,175,192 | |
Tennessee Energy Acquisition Corp., Gas Project Revenue, 5.00%, 11/1/22 | 300 | 300,000 | |
$ 7,849,083 | |||
Senior Living/Life Care — 5.0% | |||
Baltimore County, MD, (Riderwood Village, Inc.), 4.00%, 1/1/31 | $ | 1,225 | $ 1,208,891 |
Buffalo and Erie County Industrial Land Development Corp., NY, (Orchard Park CCRC, Inc.): | |||
5.00%, 11/15/24 | 60 | 60,985 | |
5.00%, 11/15/25 | 60 | 61,336 | |
5.00%, 11/15/29 | 830 | 838,350 | |
California Statewide Communities Development Authority, (American Baptist Homes of the West), 5.00%, 10/1/23 | 100 | 100,890 |
Security | Principal Amount (000's omitted) | Value | |
Senior Living/Life Care (continued) | |||
Colorado Health Facilities Authority, (Commonspirit Health Obligations), 5.25%, 11/1/34 | $ | 500 | $ 519,175 |
Orange County, FL, Health Facilities Authority, (Presbyterian Retirement Communities), 4.00%, 8/1/24 | 50 | 49,877 | |
West Cornwall Township Municipal Authority, PA, (Lebanon Valley Brethren Home): | |||
4.00%, 11/15/22 | 70 | 69,989 | |
4.00%, 11/15/23 | 75 | 74,728 | |
4.00%, 11/15/24 | 115 | 113,979 | |
4.00%, 11/15/25 | 125 | 123,207 | |
4.00%, 11/15/26 | 120 | 117,330 | |
4.00%, 11/15/27 | 45 | 43,484 | |
4.00%, 11/15/28 | 80 | 76,396 | |
4.00%, 11/15/29 | 140 | 132,175 | |
4.00%, 11/15/30 | 190 | 177,190 | |
$ 3,767,982 | |||
Special Tax Revenue — 0.9% | |||
Allentown Neighborhood Improvement Zone Development Authority, PA: | |||
5.00%, 5/1/24 | $ | 150 | $ 151,911 |
5.00%, 5/1/25 | 450 | 454,154 | |
New York Urban Development Corp., Personal Income Tax Revenue, Prerefunded to 3/15/23, 5.00%, 3/15/26 | 100 | 100,666 | |
$ 706,731 | |||
Transportation — 6.7% | |||
Central Texas Regional Mobility Authority: | |||
5.00%, 1/1/25 | $ | 500 | $ 507,790 |
5.00%, 1/1/27 | 400 | 410,524 | |
Commonwealth of Massachusetts Transportation Fund Revenue, 4.00%, 6/1/34 | 500 | 495,910 | |
El Paso, TX, (El Paso International Airport), 5.00%, 8/15/25 | 660 | 683,555 | |
Hawaii, Highway Revenue, 5.00%, 1/1/29 | 2,500 | 2,639,750 | |
Idaho Housing and Finance Association, Federal Highway Trust Fund, 5.00%, 7/15/25 | 250 | 260,115 | |
$ 4,997,644 | |||
Water and Sewer — 3.7% | |||
Arizona Water Infrastructure Finance Authority, 5.00%, 10/1/25 | $ | 55 | $ 56,747 |
DeKalb County, GA, Water and Sewerage Revenue, 5.00%, 10/1/24 | 335 | 345,639 | |
Miami-Dade County, FL, Water and Sewer System Revenue, 5.00%, 10/1/24 | 1,000 | 1,031,200 |
3
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
North Penn Water Authority, PA, 2.70%, (SIFMA + 0.46%), 11/1/23(1) | $ | 400 | $ 399,972 |
Southeast Energy Authority A Cooperative District, AL, 4.00% to 12/1/31 (Put Date), 12/1/51 | 1,000 | 900,860 | |
$ 2,734,418 | |||
Total Tax-Exempt Municipal Obligations (identified cost $75,812,801) | $72,348,010 |
Short-Term Investments — 10.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(5) | 7,586,492 | $ 7,586,492 | |
Total Short-Term Investments (identified cost $7,586,492) | $ 7,586,492 | ||
Total Investments — 107.2% (identified cost $83,399,293) | $79,934,502 | ||
Other Assets, Less Liabilities — (7.2)% | $(5,369,071) | ||
Net Assets — 100.0% | $74,565,431 |
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) | Amount is less than 0.05%. |
(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, is determined by the remarketing agent and 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 | 15.6% |
Others, representing less than 10% individually | 81.4% |
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, 9.3% 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 8.2% 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 |
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 |
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 $7,586,492, which represents 10.2% 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 | Units/Shares, end of period |
Short-Term Investments | ||||||||
Eaton Vance Cash Reserves Fund, LLC | $9,633,863 | $15,094,195 | $(24,727,601) | $(457) | $ — | $ — | $1,729 | — |
Liquidity Fund, Institutional Class(1) | — | 71,617,624 | (64,031,132) | — | — | 7,586,492 | 98,806 | 7,586,492 |
Total | $(457) | $ — | $7,586,492 | $100,535 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
4
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
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 | $ — | $72,348,010 | $ — | $72,348,010 |
Short-Term Investments | 7,586,492 | — | — | 7,586,492 |
Total Investments | $7,586,492 | $72,348,010 | $ — | $79,934,502 |
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