Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 79.8% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 2.8% | |||
Maine Municipal Bond Bank, 4.00%, 11/1/37 | $ | 1,575 | $ 1,628,440 |
Texas Water Development Board: | |||
4.50%, 10/15/37 | 2,000 | 2,146,140 | |
4.55%, 10/15/38 | 5,000 | 5,339,350 | |
4.70%, 10/15/41 | 2,500 | 2,656,175 | |
4.75%, 10/15/42 | 1,000 | 1,058,500 | |
$ 12,828,605 | |||
Education — 2.7% | |||
Arizona State University, Green Bonds, 5.00%, 7/1/50(1) | $ | 5,000 | $ 5,356,650 |
Bethlehem Area School District Authority, PA: | |||
3.908%, (67% of SOFR + 0.35%), 1/1/30(2) | 3,970 | 3,913,586 | |
3.908%, (67% of SOFR + 0.35%), 1/1/32(2) | 1,000 | 985,770 | |
Texas A&M University, 4.375%, 5/15/38 | 1,720 | 1,787,390 | |
University of Mississippi Educational Building Corp., 4.125%, 10/1/40 | 305 | 309,383 | |
$ 12,352,779 | |||
Electric Utilities — 1.5% | |||
Georgia Municipal Electric Authority, (Plant Vogtle Units 3 & 4 Project M), 5.25%, 7/1/64 | $ | 6,500 | $ 6,806,930 |
$ 6,806,930 | |||
Escrowed/Prerefunded — 0.0%(3) | |||
California School Finance Authority, (Aspire Public Schools), Escrowed to Maturity, 5.00%, 8/1/25(4) | $ | 25 | $ 25,475 |
$ 25,475 | |||
General Obligations — 28.9% | |||
Anna, TX, 4.125%, 2/15/41 | $ | 1,075 | $ 1,072,441 |
Apex, NC, 3.00%, 6/1/31 | 245 | 236,437 | |
Brookline, MA, 1.625%, 2/15/35 | 6,315 | 4,861,098 | |
Bryan, TX, 2.00%, 8/15/33 | 2,365 | 1,912,765 | |
Burleson, TX, 5.00%, 3/1/40 | 5,870 | 6,308,900 | |
California: | |||
5.00%, 12/1/26 | 5,325 | 5,559,832 | |
5.50%, 12/1/52 | 25 | 27,143 | |
Chandler, AZ, 2.85%, 7/1/32 | 2,010 | 1,869,943 | |
College Station, TX, 2.95%, 2/15/29 | 680 | 652,848 | |
Commonwealth of Massachusetts, 4.00%, 2/1/40 | 700 | 702,779 | |
Concord, MA: | |||
4.00%, 1/15/40 | 1,140 | 1,174,679 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Concord, MA: (continued) | |||
4.00%, 1/15/41 | $ | 705 | $ 719,615 |
Conroe Independent School District, TX, (PSF Guaranteed), 3.00%, 2/15/39 | 2,975 | 2,570,430 | |
Crowley Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/39 | 345 | 381,246 | |
David Douglas School District No. 40, OR, 0.00%, 6/15/43 | 5,500 | 2,225,520 | |
Florida, (Department of Transportation), 2.00%, 7/1/33 | 900 | 745,074 | |
Forsyth County, NC, 4.00%, 6/1/43 | 505 | 498,869 | |
Gladstone School District No. 115, Clackamas County, OR, 0.00%, 6/15/26 | 1,000 | 924,030 | |
Glendale Unified School District, CA, 0.00%, 9/1/30 | 5,280 | 4,054,723 | |
Guilford County, NC, 3.00%, 5/1/37 | 2,025 | 1,820,475 | |
Hays Consolidated Independent School District, TX, (PSF Guaranteed): | |||
3.00%, 2/15/37 | 1,215 | 1,107,400 | |
3.25%, 2/15/32 | 3,000 | 2,909,790 | |
Kern Community College District, CA, (Election of 2016), 5.25%, 8/1/41 | 1,000 | 1,137,850 | |
Kilgore Independent School District, TX, (PSF Guaranteed), 2.50%, 2/15/36 | 2,340 | 1,983,524 | |
Lake Oswego, OR: | |||
2.55%, 6/1/34 | 1,550 | 1,361,938 | |
2.60%, 6/1/35 | 1,645 | 1,435,575 | |
Lewisville, TX: | |||
2.75%, 2/15/35 | 1,065 | 930,661 | |
2.75%, 2/15/36 | 1,760 | 1,516,662 | |
Lexington, MA, 4.00%, 2/1/42 | 905 | 916,883 | |
Massachusetts, 4.00%, 2/1/39 | 4,000 | 4,066,960 | |
Minnesota, 1.50%, 8/1/35 | 1,500 | 1,108,365 | |
Morris Township, NJ, 3.00%, 11/1/29 | 60 | 58,647 | |
Mountain View Whisman School District, CA, (Election of 2020): | |||
4.00%, 9/1/39 | 2,180 | 2,269,118 | |
4.00%, 9/1/40 | 975 | 1,007,887 | |
Mountain View-Los Altos Union High School District, CA, 0.00%, 8/1/25 | 2,115 | 2,021,432 | |
New Braunfels, TX, 5.00%, 2/1/41 | 610 | 656,513 | |
New York, NY: | |||
5.00%, 3/15/37 | 1,000 | 1,151,370 | |
5.00%, 8/1/39 | 1,000 | 1,113,530 | |
5.00%, 3/15/40 | 1,500 | 1,682,475 | |
5.00%, 4/1/44 | 1,250 | 1,365,075 | |
5.25%, 10/1/39 | 1,000 | 1,123,590 | |
5.25%, 10/1/42 | 6,000 | 6,643,200 | |
5.25%, 10/1/43 | 2,500 | 2,754,700 |
1
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
New York, NY: (continued) | |||
5.25%, 4/1/47 | $ | 7,500 | $ 8,238,975 |
Orange County, NC, 3.15%, 2/1/37 | 810 | 748,213 | |
Pennsylvania, 4.00%, 10/1/37 | 6,000 | 6,149,460 | |
Pickerington Local School District, OH: | |||
4.25%, 12/1/41 | 800 | 818,136 | |
4.25%, 12/1/42 | 285 | 290,181 | |
Plano, TX, 3.34%, 9/1/36 | 5,055 | 4,804,171 | |
Portland, ME, 2.50%, 4/1/36 | 1,760 | 1,487,763 | |
Prosper Independent School District, TX, (PSF Guaranteed), 1.625%, 2/15/33 | 4,730 | 3,747,626 | |
Richmond, VA, 2.70%, 7/15/39 | 3,000 | 2,418,990 | |
Santa Monica-Malibu Unified School District, CA, (Election of 2018): | |||
5.00%, 8/1/39 | 1,000 | 1,127,010 | |
5.00%, 8/1/42 | 2,000 | 2,224,320 | |
Sherman, TX: | |||
5.00%, 8/15/38 | 2,185 | 2,405,794 | |
5.00%, 8/15/43 | 2,785 | 2,989,670 | |
Solana Beach School District, CA, (Election of 2016), 4.00%, 8/1/30 | 70 | 72,526 | |
Somerville, MA, 1.875%, 10/15/36 | 4,490 | 3,373,202 | |
St. Charles County Francis Howell R-III School District, MO, 3.00%, 3/1/36 | 3,000 | 2,730,510 | |
Suffolk, VA, 2.95%, 2/1/30 | 730 | 704,027 | |
Washington, 5.00%, 7/1/26 | 6,000 | 6,210,360 | |
Wisconsin, 5.00%, 5/1/36(1) | 1,000 | 1,129,400 | |
Worthington City School District, OH, 5.00%, 12/1/43 | 375 | 408,488 | |
$130,720,814 | |||
Hospital — 6.8% | |||
Harris County Cultural Education Facilities Finance Corp., TX, (Texas Children's Hospital), (LOC: TD Bank, N.A.), 3.80%, 10/1/45(5) | $ | 14,000 | $ 14,000,000 |
Missouri Health and Educational Facilities Authority, (SSM Health), 5.00% to 6/1/28 (Put Date), 6/1/39 | 3,000 | 3,164,640 | |
Richmond County Hospital Authority, GA, (University Health Services, Inc.), 4.00%, 1/1/36 | 1,100 | 1,100,220 | |
St. Paul Housing and Redevelopment Authority, MN, (HealthPartners Obligated Group), 5.00%, 7/1/30 | 510 | 515,579 | |
University of Colorado Hospital Authority, (SPA: TD Bank, N.A.), 3.80%, 11/15/39(5) | 12,000 | 12,000,000 | |
$ 30,780,439 |
Security | Principal Amount (000's omitted) | Value | |
Housing — 9.3% | |||
Connecticut Housing Finance Authority: | |||
Social Bonds, 4.07%, (SIFMA + 0.30%), 11/15/50(2) | $ | 275 | $ 274,480 |
Social Bonds, 6.25%, 5/15/54 | 3,800 | 4,095,336 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 5.25%, 11/15/53 | 4,890 | 5,089,512 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 11/15/52 | 985 | 1,020,440 | |
Connecticut Housing Finance Authority, (Housing Mortgage Finance), 1.50%, 11/15/31 | 4,310 | 3,645,571 | |
Florida Housing Finance Corp., Social Bonds, (FHLMC), (FNMA), (GNMA), 2.60%, 7/1/45 | 500 | 355,245 | |
Illinois Housing Development Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 6.25%, 10/1/52 | 4,250 | 4,520,385 | |
Nebraska Investment Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 3/1/52 | 2,775 | 2,897,350 | |
Nevada Housing Division, (FHLMC), (FNMA), (GNMA), 3.00%, 10/1/39 | 1,730 | 1,441,021 | |
New Mexico Mortgage Finance Authority, (Single Family Mortgage Program), (FHLMC), (FNMA), (GNMA), 3.35%, 7/1/39 | 630 | 561,021 | |
Ohio Housing Finance Agency: | |||
3.35%, 9/1/49 | 1,175 | 935,653 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 2.25%, 9/1/40 | 590 | 431,278 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 2.45%, 9/1/45 | 1,120 | 765,206 | |
Oklahoma Housing Finance Agency, (FHLMC), (FNMA), (GNMA), 6.50%, 9/1/54 | 1,325 | 1,479,707 | |
Pennsylvania Housing Finance Agency, SFMR, Social Bonds, 5.50%, 10/1/53 | 6,090 | 6,385,609 | |
Seattle Housing Authority, WA, (Northgate Plaza), 1.00%, 6/1/26 | 1,000 | 930,840 | |
Tennessee Housing Development Agency, Social Bonds, 5.50%, 1/1/53 | 2,990 | 3,085,889 | |
Texas Department of Housing and Community Affairs: | |||
Social Bonds, (GNMA), 5.75%, 1/1/53 | 1,940 | 2,047,185 | |
Social Bonds, (GNMA), 6.00%, 1/1/54 | 1,785 | 1,943,597 | |
$ 41,905,325 | |||
Insured - Bond Bank — 1.1% | |||
Indianapolis Local Public Improvement Bond Bank, IN, (AGM), 4.00%, 6/1/36 | $ | 4,950 | $ 5,107,460 |
$ 5,107,460 | |||
Insured - Education — 2.6% | |||
Scott County School District Finance Corp., KY, (BAM), 5.00%, 9/1/41 | $ | 5,000 | $ 5,432,300 |
2
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Insured - Education (continued) | |||
Texas State Technical College Financing System Improvement, (AGM), 5.50%, 8/1/42 | $ | 5,750 | $ 6,453,570 |
$ 11,885,870 | |||
Insured - General Obligations — 1.2% | |||
Grossmont Union High School District, CA, (Election of 2008), (AGM), 0.00%, 8/1/33 | $ | 3,435 | $ 2,203,346 |
Mauston School District, WI: | |||
(AGM), 1.70%, 3/1/35 | 1,500 | 1,128,705 | |
(AGM), 1.75%, 3/1/36 | 1,200 | 882,408 | |
Rialto Unified School District, CA, (Election of 2022): | |||
(BAM), 0.00%, 8/1/41 | 675 | 307,895 | |
(BAM), 0.00%, 8/1/42 | 700 | 302,253 | |
(BAM), 0.00%, 8/1/43 | 1,325 | 542,137 | |
$ 5,366,744 | |||
Insured - Housing — 0.7% | |||
Colorado Housing and Finance Authority, Social Bonds, (GNMA), 6.00%, 11/1/52 | $ | 2,790 | $ 2,948,416 |
$ 2,948,416 | |||
Insured - Special Tax Revenue — 0.2% | |||
Newark, NJ, (Mulberry Pedestrian Bridge Redevelopment), (AGM), 5.00%, 11/15/42 | $ | 1,000 | $ 1,076,790 |
$ 1,076,790 | |||
Lease Revenue/Certificates of Participation — 0.0%(3) | |||
Aspen Fire Protection District, CO, 4.00%, 12/1/24 | $ | 130 | $ 130,060 |
$ 130,060 | |||
Other Revenue — 2.3% | |||
California Community Choice Financing Authority, Clean Energy Project Revenue, Green Bonds, 4.00% to 8/1/28 (Put Date), 5/1/53 | $ | 4,700 | $ 4,684,772 |
Fort Myers, FL, Capital Improvement Revenue, 5.00%, 12/1/31 | 965 | 979,822 | |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue: | |||
5.00% to 6/1/29 (Put Date), 12/1/52 | 2,500 | 2,597,225 | |
5.00% to 3/1/30 (Put Date), 7/1/53 | 2,000 | 2,100,600 | |
$ 10,362,419 | |||
Senior Living/Life Care — 0.5% | |||
Colorado Health Facilities Authority, (CommonSpirit Health Obligations), 5.25%, 11/1/36 | $ | 925 | $ 1,027,518 |
Security | Principal Amount (000's omitted) | Value | |
Senior Living/Life Care (continued) | |||
North Carolina Medical Care Commission, (Deerfield Episcopal Retirement Community, Inc.), 5.00%, 11/1/31 | $ | 1,000 | $ 1,020,970 |
$ 2,048,488 | |||
Special Tax Revenue — 8.6% | |||
Miami, FL: | |||
5.00%, 3/1/37 | $ | 1,250 | $ 1,404,050 |
5.00%, 3/1/38 | 1,000 | 1,114,510 | |
Michigan Trunk Line Fund: | |||
4.00%, 11/15/39 | 15,545 | 16,015,547 | |
5.00%, 11/15/43 | 5,000 | 5,479,450 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue, 5.00%, 11/1/30 | 2,000 | 2,242,460 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/37 | 5,000 | 5,102,750 | |
4.00%, 2/15/39 | 6,095 | 6,128,340 | |
Triborough Bridge and Tunnel Authority, NY, Green Bonds, 5.25%, 11/15/39 | 1,215 | 1,391,600 | |
$ 38,878,707 | |||
Transportation — 1.7% | |||
Chicago, IL, (O'Hare International Airport), 5.25%, 1/1/37 | $ | 1,500 | $ 1,563,795 |
Massachusetts, (Rail Enhancement Program), 5.00%, 6/1/43 | 2,950 | 3,171,250 | |
North Texas Tollway Authority, 4.125%, 1/1/40 | 3,000 | 3,027,840 | |
$ 7,762,885 | |||
Water and Sewer — 8.9% | |||
Celina, TX, Waterworks and Sewer System Revenue, 1.75%, 9/1/33 | $ | 3,200 | $ 2,501,888 |
Jefferson County, AL, Sewer Revenue, 5.00%, 10/1/29 | 1,250 | 1,351,713 | |
Louisville and Jefferson County Metropolitan Sewer District, KY, 5.00%, 5/15/42 | 4,825 | 5,307,982 | |
Mesquite, TX, Waterworks and Sewer System Revenue, 3.00%, 3/1/33 | 390 | 360,832 | |
Metropolitan Utilities District of Omaha Water System Revenue, NE, 4.375%, 12/1/41 | 4,545 | 4,672,396 | |
New York State Environmental Facilities Corp., (Clean Water and Drinking Water Revenue), 4.00%, 6/15/39 | 4,950 | 5,026,131 | |
Southeast Energy Authority, AL, (Project No. 2), 4.00% to 12/1/31 (Put Date), 12/1/51 | 17,000 | 16,648,270 | |
Spotsylvania County Water and Sewer, VA, 4.00%, 12/1/37 | 720 | 744,199 |
3
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Virginia Beach, VA, Storm Water Utility Revenue, 3.00%, 11/15/39 | $ | 3,745 | $ 3,203,361 |
Washington Suburban Sanitary District, MD, 2.00%, 12/1/41 | 1,000 | 665,470 | |
$ 40,482,242 | |||
Total Tax-Exempt Municipal Obligations (identified cost $351,505,333) | $361,470,448 |
Taxable Municipal Obligations — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Education — 0.1% | |||
Virginia Public School Authority, 0.75%, 8/1/24 | $ | 495 | $ 489,040 |
$ 489,040 | |||
Housing — 0.1% | |||
Pennsylvania Housing Finance Agency, SFMR, 5.457%, 4/1/37 | $ | 485 | $ 475,872 |
$ 475,872 | |||
Total Taxable Municipal Obligations (identified cost $964,898) | $ 964,912 |
U.S. Treasury Obligations — 18.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: | |||
3.75%, 12/31/28 | $ | 66,658 | $ 63,913,565 |
4.125%, 11/15/32 | 20,000 | 19,206,250 | |
Total U.S. Treasury Obligations (identified cost $85,725,112) | $ 83,119,815 |
Short-Term Investments — 1.9% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(6) | 8,730,186 | $ 8,730,186 | |
Total Short-Term Investments (identified cost $8,730,186) | $ 8,730,186 | ||
Total Investments — 100.3% (identified cost $446,925,529) | $454,285,361 | ||
Other Assets, Less Liabilities — (0.3)% | $ (1,456,023) | ||
Net Assets — 100.0% | $452,829,338 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | When-issued security. |
(2) | Floating rate security. The stated interest rate represents the rate in effect at April 30, 2024. |
(3) | Amount is less than 0.05%. |
(4) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2024, the aggregate value of these securities is $25,475 or less than 0.05% of the Fund's net assets. |
(5) | 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, 2024. |
(6) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2024. |
At April 30, 2024, the concentration of the Fund's investments in the various states, determined as a percentage of net assets, is as follows: |
Texas | 17.3% |
Other (less than 1% each) | 62.7% |
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 April 30, 2024, 5.2% 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 1.5% to 3.7% of total investments. |
4
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
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 |
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 |
SPA | – Standby Bond Purchase Agreement |
Affiliated Investments
At April 30, 2024, the value of the Fund’s investment in funds that may be deemed to be affiliated was $8,730,186, which represents 1.9% of the Fund’s net assets. Transactions in such investments by the Fund for the fiscal year to date ended April 30, 2024 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) | $9,129,656 | $34,616,438 | $(35,015,908) | $ — | $ — | $8,730,186 | $121,136 | 8,730,186 |
(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 April 30, 2024, the hierarchy of inputs used in valuing the Fund's investments, which are carried at fair value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Tax-Exempt Municipal Obligations | $ — | $361,470,448 | $ — | $361,470,448 |
Taxable Municipal Obligations | — | 964,912 | — | 964,912 |
U.S. Treasury Obligations | — | 83,119,815 | — | 83,119,815 |
Short-Term Investments | 8,730,186 | — | — | 8,730,186 |
Total Investments | $8,730,186 | $445,555,175 | $ — | $454,285,361 |
5
Parametric
TABS Intermediate-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
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 semi-annual or annual report to shareholders.
6