Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2023
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 97.0% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 2.1% | |||
Texas Water Development Board, 4.55%, 10/15/38 | $ | 1,500 | $ 1,647,240 |
$ 1,647,240 | |||
Education — 4.6% | |||
Allegheny County Higher Education Building Authority, PA, (Carnegie Mellon University), 3.657%, (70% of SOFR + 0.29%), 8/1/27 (Put Date), 2/1/33(1) | $ | 1,000 | $ 968,500 |
Bethlehem Area School District Authority, PA, 3.566%, (67% of SOFR + 0.35%), 11/1/25 (Put Date), 1/1/32(1) | 2,300 | 2,238,981 | |
Southcentral Pennsylvania General Authority, (York College of Pennsylvania), 5.00%, 11/1/24 | 250 | 255,310 | |
Vermont State Colleges, 5.00%, 7/1/24 | 100 | 100,209 | |
$ 3,563,000 | |||
Electric Utilities — 5.8% | |||
Foley Utilities Board, AL: | |||
5.00%, 11/1/30 | $ | 755 | $ 863,637 |
5.00%, 11/1/31 | 900 | 1,044,261 | |
Public Finance Authority, WI, (Duke Energy Progress, LLC), 3.30% to 10/1/26 (Put Date), 10/1/46 | 1,700 | 1,704,862 | |
Redding Joint Powers Financing Authority, CA, Electric System Revenue, 4.00%, 6/1/23 | 175 | 175,110 | |
Seattle, WA, Municipal Light and Power Revenue, 4.11%, (SIFMA + 0.25%), 11/1/26 (Put Date), 5/1/45(1) | 500 | 487,160 | |
Springfield, IL, Electric System Revenue, 5.00%, 3/1/25 | 250 | 257,745 | |
$ 4,532,775 | |||
Escrowed/Prerefunded — 0.0%(2) | |||
Royal Oak Hospital Finance Authority, MI, (William Beaumont Hospital), Escrowed to Maturity, 5.00%, 9/1/23 | $ | 35 | $ 35,172 |
$ 35,172 | |||
General Obligations — 24.0% | |||
Amarillo Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/27 | $ | 750 | $ 813,075 |
Bexar County, TX, 3.00%, 6/15/30 | 2,350 | 2,327,064 | |
Boulder Valley School District No. Re-2, CO, 4.00%, 12/1/23 | 25 | 25,118 | |
California, 2.85%, 12/1/32 | 500 | 489,780 | |
Campton Township, IL, 5.00%, 12/15/23 | 105 | 105,995 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Chaffey Joint Union High School District, CA, (Election of 2012), 0.00%, 8/1/28 | $ | 535 | $ 459,100 |
Corpus Christi Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/24 | 395 | 404,555 | |
David Douglas School District No. 40, OR: | |||
0.00%, 6/15/26 | 525 | 476,999 | |
0.00%, 6/15/27 | 325 | 286,832 | |
0.00%, 6/15/28 | 310 | 265,379 | |
0.00%, 6/15/30 | 275 | 219,926 | |
0.00%, 6/15/32 | 750 | 554,475 | |
Decatur City Board of Education, AL, 5.00%, 2/1/25 | 50 | 51,735 | |
Hays Consolidated Independent School District, TX, (PSF Guaranteed), 3.25%, 2/15/32 | 1,000 | 986,990 | |
Houston Independent School District, TX, (PSF Guaranteed), 4.00% to 6/1/25 (Put Date), 6/1/39 | 2,000 | 2,038,000 | |
Illinois, 5.00%, 3/1/25 | 1,750 | 1,795,447 | |
Lakeland, FL, 5.00%, 10/1/24 | 50 | 51,292 | |
Lockhart Independent School District, TX, (PSF Guaranteed), 5.00%, 8/1/33 | 155 | 158,856 | |
Minneapolis Special School District No. 1, MN, 5.00%, 2/1/24 | 1,000 | 1,013,530 | |
North Carolina, 2.00%, 6/1/33 | 1,365 | 1,204,189 | |
Pecos-Barstow-Toyah Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/24 | 625 | 634,406 | |
Spring-Ford Area School District, PA: | |||
5.00%, 4/1/27 | 280 | 304,783 | |
5.00%, 4/1/28 | 300 | 333,549 | |
5.00%, 4/1/30 | 135 | 155,621 | |
Torrance Unified School District, CA, (Election of 2008), 0.00%, 8/1/26 | 2,000 | 1,800,240 | |
Victor Valley Union High School District, CA, (Election of 2008), Prerefunded to 8/1/23, 0.00%, 8/1/52 | 5,650 | 1,037,566 | |
Worthington City School District, OH, 0.00%, 12/1/32 | 880 | 632,430 | |
$18,626,932 | |||
Hospital — 4.3% | |||
Colorado Health Facilities Authority, (Vail Valley Medical Center), 4.00%, 1/15/25 | $ | 25 | $ 25,329 |
Greeneville Health and Educational Facilities Board, TN, (Ballad Health), 5.00%, 7/1/28 | 1,000 | 1,080,740 | |
Northampton County General Purpose Authority, PA, (St. Luke's University Health Network), 5.00%, 8/15/25 | 30 | 30,933 | |
Pennsylvania Economic Development Financing Authority, (UPMC), 5.00%, 5/15/31 | 1,000 | 1,135,970 | |
San Diego County, CA, (Sanford Burnham Prebys Medical Discovery Institute), 5.00%, 11/1/25 | 35 | 36,829 |
1
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Wisconsin Health and Educational Facilities Authority, (Advocate Aurora Health Credit Group): | |||
5.00% to 1/30/24 (Put Date), 8/15/54 | $ | 500 | $ 506,025 |
5.00% to 7/29/26 (Put Date), 8/15/54 | 500 | 529,025 | |
$ 3,344,851 | |||
Housing — 13.7% | |||
Connecticut Housing Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 11/15/52 | $ | 500 | $ 535,325 |
Iowa Finance Authority, SFMR, (FHLMC), (FNMA), (GNMA), (SPA: TD Bank, N.A.), 4.00%, 7/1/49(3) | 1,500 | 1,500,000 | |
Maine Housing Authority, Social Bonds, 3.125% to 5/1/24 (Put Date), 11/15/54 | 2,500 | 2,487,950 | |
Nebraska Investment Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 3/1/52 | 1,000 | 1,069,560 | |
New York Mortgage Agency: | |||
2.05%, 4/1/28 | 230 | 215,331 | |
2.10%, 10/1/28 | 135 | 126,125 | |
2.25%, 4/1/30 | 325 | 297,342 | |
2.30%, 10/1/30 | 395 | 361,733 | |
Ohio Housing Finance Agency, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.75%, 3/1/54 | 750 | 808,770 | |
Tennessee Housing Development Agency, Social Bonds, 5.50%, 1/1/53 | 1,000 | 1,067,090 | |
Texas Department of Housing and Community Affairs, Social Bonds, (GNMA), 5.75%, 1/1/53 | 2,000 | 2,164,440 | |
$10,633,666 | |||
Insured - Education — 0.9% | |||
Troy University, AL, (AGM), 5.00%, 11/1/33 | $ | 590 | $ 678,813 |
$ 678,813 | |||
Insured - Electric Utilities — 0.7% | |||
Georgia Municipal Electric Authority, (Plant Vogtle Units 3 & 4 Project M): | |||
(AGM), 5.00%, 7/1/27 | $ | 240 | $ 260,583 |
(AGM), 5.00%, 7/1/28 | 270 | 298,690 | |
$ 559,273 | |||
Insured - Escrowed/Prerefunded — 0.1% | |||
New Britain, CT, (BAM), Escrowed to Maturity, 5.00%, 3/1/25 | $ | 50 | $ 51,902 |
$ 51,902 |
Security | Principal Amount (000's omitted) | Value | |
Insured - General Obligations — 3.7% | |||
Glendale Union High School District No. 205, AZ, (AGM), 5.00%, 7/1/33 | $ | 625 | $ 738,500 |
Rancho Santiago Community College District, CA, (Election of 2002): | |||
(AGM), 0.00%, 9/1/27 | 750 | 661,987 | |
(AGM), 0.00%, 9/1/28 | 1,210 | 1,037,321 | |
(AGM), 0.00%, 9/1/30 | 500 | 401,305 | |
$ 2,839,113 | |||
Insured - Lease Revenue/Certificates of Participation — 1.5% | |||
Fairfield, CA, Certificates of Participation, (AGC), 0.00%, 4/1/33 | $ | 1,330 | $ 948,091 |
Highlands County School Board, FL, (BAM), 5.00%, 3/1/26 | 180 | 186,161 | |
$ 1,134,252 | |||
Insured - Special Tax Revenue — 0.0%(2) | |||
Successor Agency to Riverside County Redevelopment Agency, CA, (AGM), 5.00%, 10/1/24 | $ | 10 | $ 10,278 |
$ 10,278 | |||
Insured - Transportation — 1.4% | |||
New Orleans Aviation Board, LA, (AGM), 5.00%, 1/1/28 | $ | 1,000 | $ 1,102,760 |
$ 1,102,760 | |||
Insured - Water and Sewer — 0.1% | |||
Hamburg Municipal Authority, PA, Sewer Revenue, (AGM), 2.00%, 10/1/30 | $ | 75 | $ 67,135 |
$ 67,135 | |||
Lease Revenue/Certificates of Participation — 1.2% | |||
Aspen Fire Protection District, CO, 4.00%, 12/1/23 | $ | 120 | $ 120,463 |
Georgia Municipal Association, Inc., Certificates of Participation, (Atlanta Public Safety), 5.00%, 12/1/23 | 225 | 227,372 | |
Miami-Dade County School Board, FL, 5.00%, 2/1/24 | 300 | 303,570 | |
St. Charles County Public Water Supply District No. 2, MO, 3.00%, 12/1/25 | 250 | 250,012 | |
$ 901,417 | |||
Other Revenue — 6.0% | |||
Black Belt Energy Gas District, AL, (Liq: Royal Bank of Canada), 4.00% to 12/1/31 (Put Date), 6/1/51 | $ | 840 | $ 843,427 |
Fort Myers, FL, Capital Improvement Revenue: | |||
5.00%, 12/1/27 | 255 | 268,181 | |
5.00%, 12/1/28 | 545 | 572,343 | |
5.00%, 12/1/29 | 600 | 628,272 |
2
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 5.00% to 6/1/29 (Put Date), 12/1/52 | $ | 2,250 | $ 2,362,005 |
$ 4,674,228 | |||
Senior Living/Life Care — 4.5% | |||
Baltimore County, MD, (Riderwood Village, Inc.), 4.00%, 1/1/31 | $ | 1,225 | $ 1,233,158 |
Buffalo and Erie County Industrial Land Development Corp., NY, (Orchard Park CCRC, Inc.): | |||
5.00%, 11/15/24 | 60 | 60,857 | |
5.00%, 11/15/25 | 60 | 61,301 | |
5.00%, 11/15/29 | 830 | 839,429 | |
California Statewide Communities Development Authority, (American Baptist Homes of the West), 5.00%, 10/1/23 | 100 | 100,337 | |
Colorado Health Facilities Authority, (Commonspirit Health Obligations), 5.25%, 11/1/34 | 500 | 567,260 | |
Orange County, FL, Health Facilities Authority, (Presbyterian Retirement Communities), 4.00%, 8/1/24 | 50 | 49,850 | |
West Cornwall Township Municipal Authority, PA, (Lebanon Valley Brethren Home): | |||
4.00%, 11/15/23 | 75 | 74,712 | |
4.00%, 11/15/24 | 65 | 64,256 | |
4.00%, 11/15/25 | 125 | 122,549 | |
4.00%, 11/15/27 | 45 | 43,317 | |
4.00%, 11/15/28 | 30 | 28,592 | |
4.00%, 11/15/29 | 50 | 47,160 | |
4.00%, 11/15/30 | 190 | 177,280 | |
$ 3,470,058 | |||
Special Tax Revenue — 3.9% | |||
Battery Park City Authority, NY, (SPA: TD Bank, N.A.), 4.00%, 11/1/38(3) | $ | 3,000 | $ 3,000,000 |
$ 3,000,000 | |||
Transportation — 7.7% | |||
Hawaii, Highway Revenue, 5.00%, 1/1/29 | $ | 2,500 | $ 2,672,975 |
Idaho Housing and Finance Association, Federal Highway Trust Fund, 5.00%, 7/15/25 | 250 | 261,435 | |
Metropolitan Washington Airports Authority, D.C., (LOC: TD Bank, N.A.), 4.00%, 10/1/39(3) | 1,850 | 1,850,000 | |
Ohio, Major New State Infrastructure Project Revenue, 5.00%, 12/15/32 | 1,000 | 1,174,040 | |
$ 5,958,450 | |||
Water and Sewer — 10.8% | |||
Arizona Water Infrastructure Finance Authority, 5.00%, 10/1/25 | $ | 55 | $ 56,514 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Colorado Springs, CO, Utilities System Revenue, (SPA: Sumitomo Mitsui Banking Corp.), 4.00%, 11/1/28(3) | $ | 3,000 | $ 3,000,000 |
DeKalb County, GA, Water and Sewerage Revenue, 5.00%, 10/1/24 | 335 | 344,547 | |
Miami-Dade County, FL, Water and Sewer System Revenue, 5.00%, 10/1/24 | 1,000 | 1,028,640 | |
North Penn Water Authority, PA, 4.32%, (SIFMA + 0.46%), 11/1/23(1) | 400 | 399,996 | |
San Francisco City and County Public Utilities Commission, CA, Wastewater Revenue, Green Bonds, 4.00% to 10/1/29 (Put Date), 10/1/48 | 1,000 | 1,075,050 | |
Southeast Energy Authority, AL, (Project No. 2), 4.00% to 12/1/31 (Put Date), 12/1/51 | 2,500 | 2,481,425 | |
$ 8,386,172 | |||
Total Tax-Exempt Municipal Obligations (identified cost $74,654,312) | $75,217,487 |
Short-Term Investments — 2.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(4) | 1,680,224 | $ 1,680,224 | |
Total Short-Term Investments (identified cost $1,680,224) | $ 1,680,224 | ||
Total Investments — 99.2% (identified cost $76,334,536) | $76,897,711 | ||
Other Assets, Less Liabilities — 0.8% | $ 627,391 | ||
Net Assets — 100.0% | $77,525,102 |
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, 2023. |
(2) | Amount is less than 0.05%. |
(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, is determined by the remarketing agent and represents the rate in effect at April 30, 2023. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
3
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2023
Portfolio of Investments (Unaudited) — continued
At April 30, 2023, the concentration of the Fund's investments in the various states, determined as a percentage of net assets, is as follows: |
Texas | 14.4% |
California | 10.5% |
Others, representing less than 10% individually | 72.1% |
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, 2023, 8.4% 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 0.3% to 6.8% of total investments. |
Abbreviations: | |
AGC | – Assured Guaranty Corp. |
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 |
PSF | – Permanent School Fund |
SFMR | – Single Family Mortgage Revenue |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SOFR | – Secured Overnight Financing Rate |
The Fund did not have any open derivative instruments at April 30, 2023.
Affiliated Investments
At April 30, 2023, the value of the Fund's investment in funds that may be deemed to be affiliated was $1,680,224, which represents 2.2% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended April 30, 2023 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, Institutional Class(1) | $6,057,601 | $20,537,395 | $(24,914,772) | $ — | $ — | $1,680,224 | $83,499 | 1,680,224 |
(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.
4
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2023
Portfolio of Investments (Unaudited) — continued
At April 30, 2023, 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 | $ — | $75,217,487 | $ — | $75,217,487 |
Short-Term Investments | 1,680,224 | — | — | 1,680,224 |
Total Investments | $1,680,224 | $75,217,487 | $ — | $76,897,711 |
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