Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 82.8% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 1.6% | |||
Maine Municipal Bond Bank, 3.00%, 11/1/35 | $ | 1,700 | $ 1,570,103 |
Texas Water Development Board, 4.50%, 10/15/37 | 1,000 | 1,073,070 | |
$ 2,643,173 | |||
Education — 4.7% | |||
Connecticut Health and Educational Facilities Authority, (Yale University), 2.80% to 2/10/26 (Put Date), 7/1/48 | $ | 5,000 | $ 4,894,350 |
University of Texas, 5.00%, 8/15/24 | 1,000 | 1,003,490 | |
Will, Grundy, and Kendall Counties Community School District No. 201, IL: | |||
5.00%, 10/15/27 | 705 | 742,464 | |
5.00%, 10/15/28 | 1,000 | 1,069,510 | |
$ 7,709,814 | |||
Escrowed/Prerefunded — 2.2% | |||
Arizona, Certificates of Participation, Escrowed to Maturity, 5.00%, 10/1/24 | $ | 2,000 | $ 2,010,000 |
Illinois Development Finance Authority, (Regency Park), Escrowed to Maturity, 0.00%, 7/15/25 | 1,560 | 1,491,984 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
Escrowed to Maturity, 5.00%, 2/15/25 | 120 | 121,328 | |
Escrowed to Maturity, 5.00%, 2/15/25 | 50 | 50,585 | |
$ 3,673,897 | |||
General Obligations — 29.5% | |||
Abilene, TX, 5.00%, 2/15/25 | $ | 20 | $ 20,207 |
Auburn, ME, 2.00%, 11/1/34 | 1,250 | 1,005,763 | |
Braintree, MA, 1.50%, 10/15/31 | 1,975 | 1,603,345 | |
California: | |||
5.00%, 11/1/28 | 610 | 648,863 | |
5.50%, 12/1/52 | 1,085 | 1,177,995 | |
Columbia School District, MO, 2.10%, 3/1/27 | 1,040 | 980,210 | |
Cypress-Fairbanks Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/27 | 1,225 | 1,284,302 | |
Denton Independent School District, TX, (PSF Guaranteed), 0.00%, 8/15/24 | 3,000 | 2,966,820 | |
Edina, MN, 5.00%, 2/1/30 | 125 | 134,484 | |
Frisco, TX, 2.00%, 2/15/33 | 1,000 | 831,590 | |
Illinois, 5.00%, 3/1/25 | 5,250 | 5,294,677 | |
Liberty Hill Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/27 | 2,010 | 2,099,666 | |
Meramec Valley R-III School District, MO, 3.00%, 3/1/35 | 30 | 28,302 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Montgomery County, MD, 5.00%, 10/1/29 | $ | 1,300 | $ 1,385,748 |
Mountain View Whisman School District, CA, (Election of 2020), 4.00%, 9/1/32 | 10 | 10,663 | |
Mountain View-Los Altos Union High School District, CA, 0.00%, 8/1/24 | 900 | 891,855 | |
New York: | |||
5.00%, 3/15/31 | 5,250 | 5,996,917 | |
5.00%, 3/15/32 | 2,500 | 2,901,325 | |
New York, NY, 5.00%, 8/1/30 | 1,500 | 1,660,860 | |
North Carolina, 2.00%, 6/1/33 | 1,250 | 1,037,538 | |
Orange County, NC, 3.10%, 2/1/36 | 1,445 | 1,348,460 | |
Pennsylvania, 4.00%, 5/1/32 | 2,005 | 2,104,127 | |
Rutherford County, TN, 1.50%, 4/1/33 | 2,000 | 1,561,960 | |
Somerville, MA: | |||
1.75%, 10/15/32 | 4,130 | 3,390,028 | |
1.75%, 10/15/33 | 1,260 | 1,009,651 | |
Washington, 5.00%, 7/1/26 | 1,500 | 1,552,590 | |
Wylie Independent School District, TX, (PSF Guaranteed), 3.25% to 8/15/28 (Put Date), 8/15/41 | 5,675 | 5,472,970 | |
$ 48,400,916 | |||
Hospital — 6.9% | |||
Allegheny County Hospital Development Authority, PA, (UPMC), 4.47%, (SIFMA + 0.70%), 11/15/47(1) | $ | 4,500 | $ 4,478,940 |
Missouri Health and Educational Facilities Authority, (Mercy Health), 5.00%, 6/1/27 | 3,500 | 3,655,750 | |
Missouri Health and Educational Facilities Authority, (SSM Health), 5.00% to 6/1/28 (Put Date), 6/1/39 | 3,000 | 3,164,640 | |
$ 11,299,330 | |||
Housing — 18.9% | |||
Connecticut Housing Finance Authority: | |||
Social Bonds, 4.07%, (SIFMA + 0.30%), 11/15/50(1) | $ | 345 | $ 344,348 |
Social Bonds, (FHLMC), (FNMA), (GNMA), 5.25%, 11/15/53 | 1,955 | 2,034,764 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 11/15/52 | 2,870 | 2,973,263 | |
Florida Housing Finance Corp., Social Bonds, (FHLMC), (FNMA), (GNMA), 2.60%, 7/1/45 | 220 | 156,308 | |
Illinois Housing Development Authority: | |||
Social Bonds, (FHLMC), (FNMA), (GNMA), 5.25%, 10/1/52 | 915 | 946,732 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 6.25%, 10/1/52 | 1,415 | 1,505,022 | |
Indiana Housing and Community Development Authority, SFMR, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.00%, 7/1/53 | 965 | 980,845 |
1
Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Housing (continued) | |||
Michigan Housing Development Authority, SFMR, Social Bonds, (LOC: Barclays Bank PLC), 3.80%, 6/1/46(2) | $ | 5,000 | $ 5,000,000 |
Nebraska Investment Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 3/1/52 | 1,620 | 1,691,426 | |
Nevada Housing Division, (FHLMC), (FNMA), (GNMA), 3.00%, 10/1/39 | 785 | 653,874 | |
New Mexico Mortgage Finance Authority, (Single Family Mortgage Program), (FHLMC), (FNMA), (GNMA), 3.35%, 7/1/39 | 310 | 276,058 | |
Ohio Housing Finance Agency: | |||
3.35%, 9/1/49 | 540 | 430,002 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 2.25%, 9/1/40 | 210 | 153,506 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 2.45%, 9/1/45 | 460 | 314,281 | |
Social Bonds, (FHLMC), (FNMA), (GNMA), 5.75%, 3/1/54 | 965 | 1,011,040 | |
Oklahoma Housing Finance Agency, (FHLMC), (FNMA), (GNMA), 6.50%, 9/1/54 | 1,165 | 1,301,025 | |
Pennsylvania Housing Finance Agency, SFMR, (SPA: TD Bank, N.A.), 3.80%, 10/1/50(2) | 5,000 | 5,000,000 | |
South Dakota Housing Development Authority, (FHLMC), (FNMA), (GNMA), 6.25%, 5/1/55 | 1,000 | 1,092,500 | |
Tennessee Housing Development Agency, Social Bonds, 5.50%, 1/1/53 | 1,940 | 2,002,216 | |
Texas Department of Housing and Community Affairs, Social Bonds, (GNMA), 5.75%, 1/1/53 | 2,915 | 3,076,054 | |
$ 30,943,264 | |||
Insured - General Obligations — 2.2% | |||
Rancho Santiago Community College District, CA, (Election of 2002), (AGM), 0.00%, 9/1/28 | $ | 2,000 | $ 1,730,580 |
San Mateo County Community College District, CA, (Election of 2001), (NPFG), 0.00%, 9/1/27 | 2,000 | 1,788,900 | |
$ 3,519,480 | |||
Lease Revenue/Certificates of Participation — 0.5% | |||
Malibu, CA: | |||
5.00%, 11/1/38 | $ | 275 | $ 275,184 |
5.00%, 11/1/43 | 225 | 225,106 | |
5.00%, 11/1/48 | 375 | 375,131 | |
$ 875,421 | |||
Other Revenue — 7.0% | |||
California Infrastructure and Economic Development Bank, (California Academy of Sciences), Sustainability Bonds, 3.25%, 8/1/29 | $ | 3,000 | $ 2,978,640 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Energy Southeast A Cooperative District, AL, 5.50% to 1/1/31 (Put Date), 11/1/53 | $ | 3,000 | $ 3,206,370 |
Lancaster Port Authority, OH, Gas Supply Revenue, (Liq: Royal Bank of Canada), 5.00% to 2/1/25 (Put Date), 8/1/49 | 4,185 | 4,215,467 | |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 5.00% to 3/1/30 (Put Date), 7/1/53 | 1,000 | 1,050,300 | |
$ 11,450,777 | |||
Special Tax Revenue — 0.7% | |||
New York City Transitional Finance Authority, NY, Future Tax Revenue, 5.00%, 11/1/30 | $ | 1,000 | $ 1,121,230 |
$ 1,121,230 | |||
Transportation — 5.2% | |||
Metropolitan Washington Airports Authority, D.C., Aviation Revenue, (LOC: TD Bank, N.A.), 3.78%, 10/1/39(2) | $ | 2,000 | $ 2,000,000 |
Pennsylvania Turnpike Commission: | |||
(LOC: TD Bank, N.A.), 3.80%, 12/1/38(2) | 2,000 | 2,000,000 | |
(LOC: TD Bank, N.A.), 3.80%, 12/1/39(2) | 2,500 | 2,500,000 | |
Wisconsin, Transportation Revenue, 5.00%, 7/1/24 | 2,000 | 2,003,400 | |
$ 8,503,400 | |||
Water and Sewer — 3.4% | |||
Indiana Finance Authority, Green Bonds, 5.00%, 2/1/25 | $ | 1,500 | $ 1,516,335 |
North Texas Municipal Water District, 5.00%, 9/1/24 | 1,120 | 1,121,041 | |
Southeast Energy Authority, AL, (Project No. 2), 4.00% to 12/1/31 (Put Date), 12/1/51 | 3,000 | 2,937,930 | |
$ 5,575,306 | |||
Total Tax-Exempt Municipal Obligations (identified cost $135,256,979) | $135,716,008 |
Taxable Municipal Obligations — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.4% | |||
Austin Independent School District, TX, (PSF Guaranteed), 4.00%, 8/1/26 | $ | 665 | $ 649,778 |
Total Taxable Municipal Obligations (identified cost $648,096) | $ 649,778 |
2
Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
U.S. Treasury Obligations — 14.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: | |||
3.75%, 12/31/28 | $ | 12,247 | $ 11,742,768 |
4.125%, 11/15/32 | 12,000 | 11,523,750 | |
Total U.S. Treasury Obligations (identified cost $23,824,732) | $ 23,266,518 |
Short-Term Investments — 1.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(3) | 1,947,767 | $ 1,947,767 | |
Total Short-Term Investments (identified cost $1,947,767) | $ 1,947,767 | ||
Total Investments — 98.6% (identified cost $161,677,574) | $161,580,071 | ||
Other Assets, Less Liabilities — 1.4% | $ 2,375,028 | ||
Net Assets — 100.0% | $163,955,099 |
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, 2024. |
(2) | 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. |
(3) | 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 | 12.0% |
Others, representing less than 10% individually | 71.1% |
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, 2024, 2.2% 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 was 1.1% 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 |
The Fund did not have any open derivative instruments at April 30, 2024.
Affiliated Investments
At April 30, 2024, the value of the Fund's investment in funds that may be deemed to be affiliated was $1,947,767, which represents 1.2% 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) | $2,520,558 | $21,380,012 | $(21,952,803) | $ — | $ — | $1,947,767 | $46,663 | 1,947,767 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
3
Parametric
TABS Short-Term Municipal Bond Fund
April 30, 2024
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 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 | $ — | $135,716,008 | $ — | $135,716,008 |
Taxable Municipal Obligations | — | 649,778 | — | 649,778 |
U.S. Treasury Obligations | — | 23,266,518 | — | 23,266,518 |
Short-Term Investments | 1,947,767 | — | — | 1,947,767 |
Total Investments | $1,947,767 | $159,632,304 | $ — | $161,580,071 |
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.
4