Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited)
Tax-Exempt Municipal Obligations — 94.1% |
Security | Principal Amount (000's omitted) | Value | |
Education — 6.6% | |||
Allegheny County Higher Education Building Authority, PA, (Carnegie Mellon University), 4.014%, (70% of SOFR + 0.29%), 8/1/27 (Put Date), 2/1/33(1) | $ | 1,000 | $ 987,940 |
Bethlehem Area School District Authority, PA, 3.908%, (67% of SOFR + 0.35%), 1/1/32(1) | 2,300 | 2,267,271 | |
Connecticut Health and Educational Facilities Authority, (Yale University), 2.95% to 7/1/27 (Put Date), 7/1/49 | 1,250 | 1,227,225 | |
Southcentral Pennsylvania General Authority, (York College of Pennsylvania), 5.00%, 11/1/24 | 250 | 250,875 | |
$ 4,733,311 | |||
Electric Utilities — 7.3% | |||
Foley Utilities Board, AL: | |||
5.00%, 11/1/30 | $ | 755 | $ 825,955 |
5.00%, 11/1/31 | 900 | 995,994 | |
Fremont, NE, Combined Utilities Revenue, 1.75%, 7/15/33 | 1,600 | 1,263,904 | |
Public Finance Authority, WI, (Duke Energy Progress, LLC), 3.30% to 10/1/26 (Put Date), 10/1/46 | 1,700 | 1,672,324 | |
Seattle, WA, Municipal Light and Power Revenue, 4.02%, (SIFMA + 0.25%), 5/1/45(1) | 500 | 488,000 | |
$ 5,246,177 | |||
General Obligations — 25.1% | |||
Bexar County, TX, 3.00%, 6/15/30 | $ | 2,350 | $ 2,280,134 |
California, 2.85%, 12/1/32 | 500 | 463,660 | |
Columbia School District, MO, 2.10%, 3/1/27 | 500 | 471,255 | |
David Douglas School District No. 40, OR: | |||
0.00%, 6/15/26 | 525 | 486,024 | |
0.00%, 6/15/27 | 325 | 290,693 | |
0.00%, 6/15/28 | 310 | 267,735 | |
0.00%, 6/15/30 | 155 | 124,684 | |
Decatur City Board of Education, AL, 5.00%, 2/1/25 | 50 | 50,486 | |
Forest Lake, MN, 2.15%, 2/1/27 | 300 | 283,956 | |
Frisco, TX, 2.00%, 2/15/33 | 415 | 345,110 | |
Hays Consolidated Independent School District, TX, (PSF Guaranteed), 3.25%, 2/15/32 | 1,000 | 969,930 | |
Illinois, 5.00%, 3/1/25 | 1,750 | 1,764,892 | |
Lakeland, FL, 5.00%, 10/1/24 | 50 | 50,240 | |
Lewisville, TX, 2.75%, 2/15/33 | 1,530 | 1,371,293 | |
Lockhart Independent School District, TX, (PSF Guaranteed), 5.00%, 8/1/33 | 155 | 155,578 | |
Loudoun County, VA, 1.625%, 12/1/34 | 1,000 | 766,900 | |
Marathon County, WI, 2.00%, 2/1/32 | 985 | 822,938 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
North Carolina, 2.00%, 6/1/33 | $ | 1,365 | $ 1,132,991 |
Orange County, NC, 2.875%, 2/1/32 | 450 | 424,962 | |
Pennsylvania, 4.00%, 5/1/32 | 500 | 524,720 | |
Rochester, MN, 1.25%, 2/1/31 | 310 | 250,694 | |
Rutherford County, TN, 1.50%, 4/1/33 | 1,500 | 1,171,470 | |
Sheldon Independent School District, TX, (PSF Guaranteed), 3.00%, 2/15/32 | 200 | 189,574 | |
Somerville, MA, 1.75%, 10/15/33 | 3,000 | 2,403,930 | |
Spring-Ford Area School District, PA: | |||
5.00%, 4/1/27 | 280 | 294,081 | |
5.00%, 4/1/28 | 300 | 320,979 | |
5.00%, 4/1/30 | 135 | 149,125 | |
Umatilla School District No. 6R, OR: | |||
0.00%, 6/15/25 | 70 | 67,075 | |
0.00%, 6/15/26 | 20 | 18,481 | |
0.00%, 6/15/27 | 150 | 133,797 | |
$18,047,387 | |||
Hospital — 5.3% | |||
Colorado Health Facilities Authority, (Vail Valley Medical Center), 4.00%, 1/15/25 | $ | 25 | $ 25,013 |
Harris County Cultural Education Facilities Finance Corp., TX, (Texas Children's Hospital), (LOC: TD Bank, N.A.), 3.80%, 10/1/45(2) | 700 | 700,000 | |
Metropolitan Government of Nashville and Davidson County Health and Educational Facilities Board, TN, (Vanderbilt University Medical Center), 5.00%, 7/1/28 | 1,000 | 1,060,900 | |
Northampton County General Purpose Authority, PA, (St. Luke's University Health Network), 5.00%, 8/15/25 | 30 | 30,274 | |
San Diego County, CA, (Sanford Burnham Prebys Medical Discovery Institute), 5.00%, 11/1/25 | 35 | 35,693 | |
University of Colorado Hospital Authority: | |||
(SPA: TD Bank, N.A.), 3.80%, 11/15/35(2) | 1,000 | 1,000,000 | |
(SPA: TD Bank, N.A.), 3.80%, 11/15/39(2) | 1,000 | 1,000,000 | |
$ 3,851,880 | |||
Housing — 17.8% | |||
Connecticut Housing Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 11/15/52 | $ | 480 | $ 497,270 |
Nebraska Investment Finance Authority, Social Bonds, (FHLMC), (FNMA), (GNMA), 5.50%, 3/1/52 | 925 | 965,783 | |
New York Mortgage Agency, 2.10%, 10/1/28 | 135 | 122,872 | |
North Dakota Housing Finance Agency, (SPA: TD Bank, N.A.), 3.78%, 7/1/36(2) | 3,405 | 3,405,000 | |
Ohio Housing Finance Agency: | |||
Social Bonds, (FHLMC), (FNMA), (GNMA), 5.75%, 3/1/54 | 725 | 759,590 |
1
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Housing (continued) | |||
Ohio Housing Finance Agency: (continued) | |||
Social Bonds, (FHLMC), (FNMA), (GNMA), 6.25%, 3/1/55 | $ | 1,000 | $ 1,090,800 |
Pennsylvania Housing Finance Agency, SFMR: | |||
2.10%, 4/1/28 | 915 | 850,886 | |
(SPA: TD Bank, N.A.), 3.80%, 10/1/50(2) | 1,000 | 1,000,000 | |
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 | 1,000 | 1,032,070 | |
Texas Department of Housing and Community Affairs, Social Bonds, (GNMA), 5.75%, 1/1/53 | 1,910 | 2,015,527 | |
$12,832,298 | |||
Insured - General Obligations — 1.5% | |||
Rancho Santiago Community College District, CA, (Election of 2002), (AGM), 0.00%, 9/1/28 | $ | 1,210 | $ 1,047,001 |
$ 1,047,001 | |||
Insured - Lease Revenue/Certificates of Participation — 0.3% | |||
Highlands County School Board, FL, (BAM), 5.00%, 3/1/26 | $ | 180 | $ 181,899 |
$ 181,899 | |||
Insured - Special Tax Revenue — 0.0%(3) | |||
Successor Agency to Riverside County Redevelopment Agency, CA, (AGM), 5.00%, 10/1/24 | $ | 10 | $ 10,051 |
$ 10,051 | |||
Insured - Water and Sewer — 0.1% | |||
Hamburg Municipal Authority, PA, Sewer Revenue, (AGM), 2.00%, 10/1/30 | $ | 75 | $ 65,408 |
$ 65,408 | |||
Lease Revenue/Certificates of Participation — 0.3% | |||
St. Charles County Public Water Supply District No. 2, MO, 3.00%, 12/1/25 | $ | 250 | $ 246,510 |
$ 246,510 | |||
Other Revenue — 8.7% | |||
California Community Choice Financing Authority, Clean Energy Project Revenue, Green Bonds, 4.00% to 8/1/31 (Put Date), 2/1/52 | $ | 840 | $ 830,449 |
California Infrastructure and Economic Development Bank, (California Academy of Sciences), Sustainability Bonds, 3.25%, 8/1/29 | 2,000 | 1,985,760 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Fort Myers, FL, Capital Improvement Revenue: | |||
5.00%, 12/1/27 | $ | 255 | $ 260,488 |
5.00%, 12/1/28 | 470 | 479,677 | |
5.00%, 12/1/29 | 600 | 611,244 | |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 5.00% to 3/1/30 (Put Date), 7/1/53 | 2,000 | 2,100,600 | |
$ 6,268,218 | |||
Senior Living/Life Care — 1.8% | |||
Buffalo and Erie County Industrial Land Development Corp., NY, (Orchard Park CCRC, Inc.): | |||
5.00%, 11/15/24 | $ | 60 | $ 60,197 |
5.00%, 11/15/25 | 60 | 60,608 | |
5.00%, 11/15/29 | 830 | 839,885 | |
Orange County, FL, Health Facilities Authority, (Presbyterian Retirement Communities), 4.00%, 8/1/24 | 50 | 49,900 | |
West Cornwall Township Municipal Authority, PA, (Lebanon Valley Brethren Home): | |||
4.00%, 11/15/24 | 65 | 64,689 | |
4.00%, 11/15/25 | 125 | 123,425 | |
4.00%, 11/15/28 | 30 | 29,043 | |
4.00%, 11/15/29 | 50 | 48,216 | |
$ 1,275,963 | |||
Special Tax Revenue — 1.7% | |||
Battery Park City Authority, NY, (SPA: TD Bank, N.A.), 3.77%, 11/1/38(2) | $ | 1,215 | $ 1,215,000 |
$ 1,215,000 | |||
Transportation — 10.5% | |||
Hawaii, Highway Revenue, 5.00%, 1/1/29 | $ | 2,500 | $ 2,575,750 |
Maryland Department of Transportation, 3.00%, 9/1/32 | 500 | 476,935 | |
New York State Thruway Authority, 5.00%, 1/1/30 | 915 | 1,014,506 | |
Pennsylvania Turnpike Commission, (LOC: TD Bank, N.A.), 3.80%, 12/1/38(2) | 3,500 | 3,500,000 | |
$ 7,567,191 | |||
Water and Sewer — 7.1% | |||
Arizona Water Infrastructure Finance Authority, 5.00%, 10/1/25 | $ | 55 | $ 55,333 |
Jefferson County, AL, Sewer Revenue, 5.00%, 10/1/29 | 1,500 | 1,622,055 |
2
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Miami-Dade County, FL, Water and Sewer System Revenue, 5.00%, 10/1/24 | $ | 1,000 | $ 1,005,000 |
Southeast Energy Authority, AL, (Project No. 2), 4.00% to 12/1/31 (Put Date), 12/1/51 | 2,500 | 2,448,275 | |
$ 5,130,663 | |||
Total Tax-Exempt Municipal Obligations (identified cost $68,121,092) | $67,718,957 |
Short-Term Investments — 3.7% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(4) | 2,657,676 | $ 2,657,676 | |
Total Short-Term Investments (identified cost $2,657,676) | $ 2,657,676 | ||
Total Investments — 97.8% (identified cost $70,778,768) | $70,376,633 | ||
Other Assets, Less Liabilities — 2.2% | $ 1,605,104 | ||
Net Assets — 100.0% | $71,981,737 |
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) | Amount is less than 0.05%. |
(4) | 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: |
Pennsylvania | 14.6% |
Texas | 11.1% |
Others, representing less than 10% individually | 68.4% |
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 April 30, 2024, 1.9% 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 1.6% 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 |
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 |
3
Parametric
TABS 1-to-10 Year Laddered Municipal Bond Fund
April 30, 2024
Portfolio of Investments (Unaudited) — continued
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 $2,657,676, which represents 3.7% 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) | $4,512,016 | $8,489,397 | $(10,343,737) | $ — | $ — | $2,657,676 | $46,227 | 2,657,676 |
(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 | $ — | $67,718,957 | $ — | $67,718,957 |
Short-Term Investments | 2,657,676 | — | — | 2,657,676 |
Total Investments | $2,657,676 | $67,718,957 | $ — | $70,376,633 |
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