UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
| | | | |
| | Investment Company Act file number | 811-05038 | |
| | | |
| | Clearwater Investment Trust | |
| | (Exact name of registrant as specified in charter) | |
| | | |
| | 2000 Wells Fargo Place, 30 East 7th Street,
Saint Paul, Minnesota 55101-4930 | |
| | (Address of principal executive offices) (Zip code) | |
Stephen G. Simon
Fiduciary Counselling, Inc.
2000 Wells Fargo Place, 30 E. 7th Street
Saint Paul, Minnesota 55101-4930
Copy to:
| | John O’Hanlon, Esq.
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, Massachusetts 02110 | |
| | (Name and address of agent for service) | |
| Registrant’s telephone number,including area code: | | 651-228-0935 |
| Date of fiscal year end: | December 31 |
| | |
| Date of reporting period: | December 31, 2015 |
Item 1. Reports to Stockholders
CLEARWATER INVESTMENT TRUST
Clearwater Core Equity Fund
Clearwater Small Companies Fund
Clearwater Tax-Exempt Bond Fund
Clearwater International Fund
Annual Report
for the year ended
December 31, 2015
Letter to Shareholders
(unaudited)
February 25, 2016
This annual report provides information regarding the performance and holdings of the Clearwater Investment Trust mutual funds (“the Funds”) for the year ended December 31, 2015. During 2015, the Clearwater Small Companies Fund, the Clearwater Tax-Exempt Bond Fund, and the Clearwater International Fund outperformed their respective benchmarks while the Clearwater Core Equity Fund underperformed its benchmark.
We encourage you to read this annual report as it contains important information about the Funds. The Funds’ investment manager, the Clearwater Management Company, and the portfolio managers who act as subadvisers to the Funds provide commentary in the next section, titled Management Discussion of Clearwater Funds’ Performance. Additionally, this report includes information describing the contract renewal process in November and December 2015, during which the Board of Trustees reviewed the services provided, performance, and fees charged by the Clearwater Management Company and that of each subadviser to the Funds. Effective January 29, 2015, the Trust terminated Heartland Advisers, Inc. and Knightsbridge Asset Management, LLC as subadvisers to the Clearwater Core Equity Fund. Effective as of February 3, 2015 and February 4, 2015, respectively, the Trust engaged AQR Capital Management, LLC and O’Shaughnessy Asset Management, LLC as subadvisers to the Clearwater Core Equity Fund.
The Funds’ updated annual Prospectus will be mailed to you at the beginning of May 2016. This annual update of the Prospectus and the related Statement of Additional Information, which is available by request to your Financial Consultant at Fiduciary Counselling, Inc., includes a detailed discussion of the investment objectives and risks of investing in each Fund. We believe this will help you better understand how your shareholder assets are invested and managed. For additional information that is available at this time, please see the Clearwater Mutual Funds’ current Prospectus and Statement of Additional Information.
We hope the information disclosed within this annual report is helpful in understanding the 2015 results of each of the Funds. We appreciate your continued confidence and your choice to invest with us.
| Justin H. Weyerhaeuser | James E. Johnson |
| President | Chairman |
| Clearwater Investment Trust | Clearwater Investment Trust |
Management Discussion of Clearwater Funds’ Performance
Clearwater Core Equity Fund
The Clearwater Core Equity Fund seeks long-term growth of capital. Current income, to the extent income is produced by the stocks held by the Fund, is a secondary objective. Under normal market conditions, the Clearwater Core Equity Fund pursues its investment objective by investing at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of U.S. companies. The Clearwater Core Equity Fund’s assets are managed in a “multi-manager, multi-style” approach. The Core Equity Fund has four subadvisers. Parametric Portfolio Associates LLC, (“Parametric”), with approximately 60% of the Fund’s assets, manages its portion of the Fund’s assets to mirror the Russell 1000® Index as closely as possible without requiring the Fund to realize taxable gains. The remaining 40% of the Fund’s assets are divided among AQR Capital Management, LLC (“AQR”), O’Shaughnessy Asset Management, LLC (“OSAM”), and Osterweis Capital Management, LLC (“Osterweis”), who all utilize an active management style.
2015 Market Overview:
Domestic large capitalization equities achieved a very modest positive return in 2015. The dominant factors influencing share prices were modest yet persistent growth of the U.S. economy, falling commodity prices, including a 30% decline in the price of crude oil, and the strengthening of the U.S. dollar against most foreign currencies. In mid-December, the U.S. Federal Reserve (the “Fed”) announced that it would raise short-term interest rates by 0.25%. Corporate earnings fell year-over-year mostly due to plunging profits in the energy sector and the negative impact of a stronger dollar on export-sensitive companies.
2015 Performance and 2016 Outlook:
The Clearwater Core Equity Fund declined 0.7%, net of fees, in 2015 compared to a gain of 0.9% for the Russell 1000® Index, the Fund’s benchmark. Parametric, the subadviser that follows a tax-managed passive strategy, slightly outperformed the Fund’s benchmark while Osterweis, one of the active managers, significantly underperformed. During February, the Fund’s performance was negatively impacted by 0.6% when two other managers, Knightsbridge Asset Management LLC and Heartland Advisers, Inc., were terminated and replaced by two new active managers, AQR and OSAM.
Each of the three “active” subadvisers comment on the performance of their respective portfolios and their outlook for the next year in the paragraphs below. For comparison of the subadvisers’ capabilities, performance is shown gross of fees. The Fund pays a single advisory fee to Clearwater Management Company, which in turn pays the subadvisers out of its advisory fee.
Although the overall performance of the Clearwater Core Equity Fund is measured against its benchmark, as stated above, each of the underlying subadvisers may manage their portfolio of the Fund against a different benchmark that aligns more closely with their particular strategy. In each section below, the subadvisers discuss the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed.
AQR Commentary
2015 Performance: AQR began managing a portion of the Clearwater Core Equity Fund (the “Portfolio”) on February 12, 2015. For the period from the Portfolio’s inception until December 31, 2015 the Russell 1000® Index (the “benchmark”) returned (0.1%) while the Portfolio had a return of 0.5% (gross of fees), outperforming the benchmark by 0.6%. Stock selection within sectors contributed positively to performance while sector selection detracted from performance. The Portfolio performed best in the Energy sector where both sector selection and stock selection outperformed for the period.
2016 Outlook: In terms of sector positioning, we are currently overweight in Financials while being underweight in Health Care. Tactically, we are now underweight value in the U.S.
OSAM Commentary
2015 Performance: OSAM began managing a portion of the Clearwater Core Equity Fund (the “Portfolio”) on February 13, 2015. For the period from the Portfolio’s inception in February 2015 until December 31, 2015, the Portfolio outperformed slightly, returning (4.2%) (gross of fees) while the Russell 1000® Value Index (the “benchmark”) returned (4.5%). The Portfolio benefited from stock selection within sectors, but this was offset by negative sector allocation effects. For the period, overweight allocations to Energy and Materials and an underweight to Health Care detracted from returns. However, stock selection within Energy was a strong contributor, with the strategy owning mainly downstream refinery companies. Additionally, Cameron International, a Portfolio holding, received an acquisition offer from Schlumberger at a 76% premium, spiking the stock price. The Portfolio also benefited from picks within Consumer Staples.
2016 Outlook: For 2015 the S&P 500® rode the performance of a very small group of momentum stocks. The top ten stocks by contribution to total return—Amazon, Microsoft, Alphabet (2 share classes), G.E., Facebook, Home Depot, Starbucks, McDonald’s and Netflix—were up an average of 53.5% during 2015. The remaining stocks in the index were down an average of 3.5%. In terms of contribution to the S&P 500®’s total return, the top ten stocks added more than 3%, while the rest of the S&P 500® had a negative contribution. This scenario—where the top ten stocks in the S&P 500® contribute more to the market’s return than the remaining 490 stocks—is uncommon. Over the past 50 years, it has happened just 20% of the time (in one year periods that the market is up). This means that 80% of the time, the bottom 490 stocks contribute more to the market’s total return than the top 10. Not so in 2015. Strategies that emphasize value—like ours—have missed the return boost provided by this narrow group of leaders because these leaders have performed so well despite very expensive prices (the Portfolio held Home Depot and Starbucks, which had cheaper valuations than others listed above). We think that it is more useful, looking forward to 2016, to describe why we generally haven’t owned stocks like these and, in most cases, why we won’t in the future. To see why we don’t own the expensive names which led the market in 2015, let’s consider the value factor. Our value factor measures stocks based on their sales, earnings and cash flows in relation to price. From 1964-2015, the cheapest stocks by this measure have outperformed the market, on average, while expensive stocks have underperformed. The cheapest 10% of stocks have outperformed by 5.1%, annualized, and average performance deteriorates as stocks get more expensive, down to the lowest decile which have underperformed by 6.4% annualized. In this case, we define the market as an equal-weighted universe of stocks trading on the NYSE, AMEX and NASDAQ exchanges with an inflation-adjusted market capitalization greater than the market average (approximately $7 billion currently). Could 2015’s top names continue to lead the market in 2016? Of course it is possible. But given our view of their extremely expensive average valuation, we will continue to avoid these names. We believe long term success comes from building a portfolio around proven stock selection factors—measured using key selection criteria like Quality, Valuation, Momentum, and Shareholder Yield.
Osterweis Commentary
2015 Performance: For the year ended December 31, 2015, the portion of the Clearwater Core Equity Fund managed by Osterweis (the “Portfolio”) generated a total return of (5.0%) (gross of fees) versus 1.4% for the S&P 500® Index (the “S&P 500®” or the “benchmark”). The U.S. and global economies appeared to soften in the second half of 2015. It seemed that deflationary trends were rattling markets worldwide. Nearly all non-U.S. equities and bonds, commodities and currencies registered losses for U.S. investors. This made the past year a difficult period in which to generate positive investment returns in equities and most other publicly traded securities. It looks like investors have migrated to an ever shrinking number of companies that are still seeing robust growth. This has led to a very narrow stock market in which the vast majority of performance in the broader indices was driven by a small handful of richly valued “growth champions.” In 2015, we estimate that the top ten S&P 500 contributors gained an average of 53% while all the other stocks in the index averaged a negative return.
After starting 2015 on a strong note, the Portfolio was buffeted beginning mid-year by the trends discussed above. In response, we pared back the number of holdings and refocused on the less cyclical, larger and better capitalized holdings in the Portfolio. Even with these actions, the Portfolio lagged the S&P 500® as a handful of mega-cap U.S. growth stocks drove much of the performance in the market. Strategies like ours that hold a range of companies from small to large, value to growth and U.S. as well as non-U.S. have had trouble keeping up. Besides the general behavior of the market, certain specific issues within the Portfolio also proved challenging this year. For one, Valeant Pharmaceuticals sold off dramatically in fall 2015 as it became an object of considerable controversy. We owned Valeant in the Portfolio for about five years and over time the company’s management delivered increased sales and earnings, successfully fulfilling our investment thesis. We decided to exit the position in October, when we became concerned that the company’s growth may well face considerable obstacles in the months and quarters ahead. Although the stock performed very well for the Portfolio over the long term, the drop from its high hurt this year’s performance. Another factor behind our weak performance in 2015 was our position in energy-related stocks. We focused holdings on non-commodity energy companies that we believed had the potential to grow and prosper simply based on volume growth. This led us to infrastructure companies such as pipeline and storage facilities. These stocks got hit just as hard as many of the commodity producers over the past year even though our companies continued to grow volumes, earnings, cash flows and distributions as expected. On the positive side, our security selection in Information Technology added considerable value, and within the overall Portfolio ten stocks garnered double digit returns during a year when the average return of the S&P 500® members was negative.
2016 Outlook: While we are mindful of the potential risks of deflation, we think the U.S. expansion has further room to run for a number of reasons. We believe corporate profits are unlikely to fall off a cliff, but their composition may shift (e.g., away from energy, materials and industrials and towards U.S. consumer-oriented companies). Current stock valuations do not appear excessive to us, broadly speaking, but we believe that valuations are getting stretched for certain premier consumer-growth companies. Our guess is that the Fed’s interest rate normalization will be slow and deliberate. We don’t think that rising rates will pose a real risk to the stock market for some time. That said, risk is always our chief concern. We continue to invest selectively in a group of companies that we believe should be able to grow despite a sluggish global economic environment and a strong U.S. dollar.
Clearwater Small Companies Fund
The Clearwater Small Companies Fund seeks long-term growth of capital. Current income is a secondary objective. Under normal market conditions, the Fund normally invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of small companies. The Fund defines “small companies” as issuers with market capitalizations no greater than $5 billion at the time of purchase. Equity securities consist primarily of exchange-traded common and preferred stocks and convertible securities. The Fund uses a “multi-style, multi-manager” approach with two subadvisers who employ distinct investment styles: Kennedy Capital Management Inc. (“Kennedy”) and Keeley Asset Management Corp. (“Keeley”). At the period ending December 31, 2015 Kennedy and Keeley respectively managed approximately 75% and 25% of the Fund balances.
2015 Market Overview:
Domestic small capitalization equities recorded single digit losses over the period. Domestic large capitalization equities achieved a very modest positive return in 2015. The dominant factors influencing share prices were modest yet persistent growth of the U.S. economy, falling commodity prices, including a 30% decline in the price of crude oil, and the strengthening of the U.S. dollar against most foreign currencies. In mid-December, the U.S. Federal Reserve (the “Fed”) announced that it would raise short-term interest rates by 0.25%. Corporate earnings fell year-over-year mostly due to plunging profits in the energy sector and the negative impact a stronger dollar had on export-sensitive companies.
2015 Performance and 2016 Outlook:
The Clearwater Small Companies Fund fell 4.0%, net of fees, during 2015 compared to a loss of 4.4% for the Russell 2000® Index, the Fund’s benchmark. The slight outperformance was driven primarily by good stock selection and secondarily by sector weighting.
The two subadvisers to the Fund comment on the performance of their specific portfolios and their outlook for the next year in the paragraphs below. For comparison of the subadvisers’ capabilities, performance is shown gross of fees. The Fund pays a single advisory fee to Clearwater Management Company, which in turn pays the subadvisers out of its advisory fee.
Although the overall performance of the Clearwater Small Companies Fund is measured against its benchmark, as stated above, each of the underlying subadvisers may manage their portfolio of the Fund against a different benchmark that aligns more closely with their particular strategy. In each section below, the subadvisers discuss the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed.
Kennedy Commentary
2015 Performance: For the year ended December 31, 2015, the portion of the Clearwater Small Companies Fund managed by Kennedy (the “Portfolio”) returned (1.5%) (gross of fees), outperforming the (4.4%) return of the Fund’s benchmark, the Russell 2000® Index. Within Kennedy’s Portfolio are two “sub-portfolios”; one focused on small companies, and one focused on microcap companies. The small companies sub-portfolio returned (2.6%) (gross of fees) versus the (4.4%) return of its benchmark, the Russell 2000® Index, while the microcap sub-portfolio returned 1.0% (gross of fees) versus the (5.2%) return of its benchmark, the Russell Microcap® Index. Stock selection had a positive impact on the Portfolio’s relative performance vs. the Fund’s benchmark, the Russell 2000® Index, during the year, particularly in the Financials, Consumer Discretionary, Industrials, and Energy sectors. Stock selection for the year detracted from performance in the Healthcare, Information Technology, and Materials sectors.
2016 Outlook: We expect the domestic economy in 2016 to be similar to 2015. Although January 1, 2016 started a new year, we see many of the same forces at play. A strong domestic currency, coupled with limited economic growth, is in our view unlikely to lead to outsized organic revenue growth for many companies. As is typically our mantra, we must strive to find those companies that we believe can create secular growth through product differentiation and through intelligent use of capital and operating cash flow. While we do not believe that Fed tightening will help spur an economic recovery, it might not be as detrimental to corporations as typically assumed. Long-term borrowing rates remain decidedly favorable for most companies. Additionally, the U.S. consumer is relatively fit. The household debt service ratio, which we believe captures the health of the consumer, remains at positive levels unseen since at least 1980. Consumer sentiment measures paint an optimistic picture, and low gasoline prices help. Overall, we believe the Portfolio exhibits strong risk-return characteristics, characterized by expected long-term earnings growth rates commensurate with the benchmark, but with what we believe to be attractive valuations. In seeking outperformance, we keep a watchful eye on cash flow returns on investment – not only those generated by our companies but those priced in by the market.
Keeley Commentary
2015 Performance: For the year ended December 31, 2015, the portion of the Clearwater Small Companies Fund managed by Keeley (the “Portfolio”) slightly outperformed its benchmark, the Russell 2000® Value Index (the “benchmark”). The Portfolio returned (7.2%) (gross of fees) versus (7.5%) for the benchmark.
For the year, the Portfolio benefited from overall stock selection, yet was hurt by various sector weights. The only sector allocation that helped the Portfolio in 2015 was Energy, which held a relative underweight versus the benchmark. Of the other sectors, the most significant negative performance came from overweights in Materials, Consumer Discretionary, and Industrials, as well as our underweights in Financials and Health Care. From a stock selection perspective, positive performance was generated in Materials, Consumer Discretionary, Consumer
Staples, Industrials and Utilities. Weak stock selection and underperformance was generated in Technology, Financials, Energy and Health Care.
2016 Outlook: Generally speaking, 2015 was a difficult year for U.S. small cap investors. However, the last negative year for small cap value stocks prior to 2015 was 2011, when the Russell 2000® Value Index dropped 5.5%. While years such as 2015 are difficult, we believe that market dislocations and sporadic volatility often help identify attractive, long-term opportunities. In the small-cap value space in which we operate, we focus our attention on specific, change-driven catalysts that have the potential to help companies become better than they are today. These catalysts are often driven by ownership changes, operating changes, balance sheet or capital restructurings and marketplace shifts. Looking forward, we intend to continue investing in select companies that we believe will strive to create value in each of these areas, resulting in benefits from these restructuring catalysts.
Clearwater Tax-Exempt Bond Fund
The Clearwater Tax-Exempt Bond Fund seeks high current income that is exempt from U.S. federal income tax, consistent with preservation of capital. Under normal market conditions, the Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in tax-exempt bonds, which are debt obligations issued by or for the U.S. states, territories and possessions and the District of Columbia. The interest on these securities is generally exempt from both U.S. regular federal income tax and U.S. federal alternative minimum tax. However, the Fund may invest up to 20% of its assets in securities that generate interest income subject to federal alternative minimum tax for individuals. The Fund invests in both revenue bonds, which are backed by and payable only from the revenues derived from a specific facility or specific revenue source, and in general obligation bonds, which are secured by the full faith, credit and taxation power of the issuing municipality. The Fund’s subadviser, Sit Fixed Income Advisers II, LLC (“Sit”), provides day to day management for the Fund. It should be noted that the Fund is not a money market fund and is not intended to be a money market fund substitute. Under normal market conditions, the Fund’s investments may be more susceptible than a money market fund to interest rate risk and credit risks relevant to the Fund’s investments.
Sit has provided the commentary below regarding the Clearwater Tax-Exempt Bond Fund. The Fund pays a single advisory fee to Clearwater Management Company, which in turn pays the subadviser out of its advisory fee.
Sit Commentary
2015 Market Overview: Tax-exempt fixed income markets experienced a tale of two halves in 2015, as the U.S. Treasury and tax-exempt yield curves flattened modestly, and fund flows into tax-exempt bond funds remained modestly positive. Supply of municipal bonds entered the market at a record rate in the first half of 2015, but slowed somewhat in the second half, although still finishing the year with the fifth largest supply on record. This large amount of supply was very manageable to absorb, however, given that approximately three quarters of it was refinancing of existing debt and that fund inflows into tax-exempt bond funds were concentrated in long-term and high yield tax-exempt funds. Credit fundamentals are in our view generally sound and spreads tightened further during the year. State and local government tax collections continued to improve from the low recession-driven levels of 2008 and 2009, and have now exceeded pre-recession levels, such that even though assistance from the federal government’s stimulus programs is no longer helping, state and local government finances remain generally on the upswing, with the notable exceptions of Chicago and the states of Illinois, New Jersey and Pennsylvania. Nonetheless, concerns are rising about states with heavy concentrations in the oil and gas industries. Puerto Rico related debt was volatile throughout the year, taking a major downturn in mid-year as the Governor warned that Puerto Rico would not be able to honor all of its debt obligations. While a few minor issues did experience defaults, the vast majority of required payments were made timely and in full. We believe that more volatility is likely in 2016 as Puerto Rico continues to suffer a recession and it attempts to restructure some of its debt. The U.S. Federal Reserve (the “Fed”) remained quite accommodative, despite its move to raise the federal funds rate by 25 basis
points in December 2015. Concerns about tax reform and a potential reduction of the value of the municipal bond tax exemption remain but had little overall effect on the market.
2015 Performance: For the year ended December 31, 2015, the Clearwater Tax-Exempt Bond Fund (the “Fund”) returned 4.7%, (net of fees) compared to its benchmark, the Barclays Capital U.S. Municipal Bond Index: 5 Year (4-6) (the “benchmark”), which returned 2.4% over the same period. Given the Fed’s accommodative policies, the Fund maintained its average life duration, a measure of the Fund’s sensitivity to changes in interest rates, at 5.6 years during 2015 to take advantage of the steep tax-exempt yield curve. For comparison, the Fund’s benchmark had duration of 3.9 years at December 31, 2014, and it remained there throughout the year. The Fund’s longer duration was the primary reason for its outperformance during 2015. Revenue bonds modestly outperformed general obligation bonds during 2015, with revenue bonds returning 3.6% for the year, while general obligation bonds returned 3.1%. Furthermore, lower quality issues (especially lower investment grade and non-rated issues) significantly outperformed those of higher credit quality, as investors sought yield. The Fund’s performance, due to its heavy emphasis on revenue bonds, its considerably longer duration and its meaningful exposure to lower quality issues, outperformed that of its benchmark in 2015.
2016 Outlook: We believe that the U.S. Presidential election will dominate headlines and perhaps add some political risk to the market in 2016, depending on who is nominated for each party and what his or her tax plan may be. We expect U.S. growth in 2016 to accelerate from its tepid pace in later 2015 and for inflation to remain subdued. The pace of increase in single-family housing starts has moderated, and underemployment, despite some improvement, remains elevated, and wage growth remains slow. The economy has been able to muddle through the decline in oil prices and global uncertainty over the past year but in our view doesn’t seem able to accelerate to a consistently higher level of growth as is typical after most recessions. We believe that interest rates, while likely to remain low in absolute terms, will likely rise, especially on the short end, as the Fed hiked in December 2015 and has signaled it intends to continue raising short-term interest rates in 2016. We expect the Treasury yield curve to remain relatively steep, with yields rising more on the short and intermediate portions of the curve, while the tax-exempt curve flattens similarly, with short-term and intermediate rates rising some and long-term tax-exempt yields rising less as supply continues at a still manageable level and most state and local government finances continue to improve, helping tax-exempt bonds outperform. One important consideration for the market will in our view be the performance of the equity markets. If they weaken, we believe it should be a positive for bonds, but if they rally strongly, more money could move out of fixed income into equities, again creating negative pressure on the bond market. We expect revenue bonds to continue their strong relative performance in 2016, as investor focus remains on yield. We believe that Puerto Rico related concerns will weigh on the market, however, and could produce some volatility. Furthermore, potential problems with budgets and funding retirement pension and healthcare obligations still persist in other places, especially the city of Chicago and the State of Illinois (although local officials in and around Chicago seem to be making some positive changes), and remain the subject of many of the negative media reports about the municipal market. We believe that the Fund’s longer duration and its use of revenue and non-rated bonds have positioned it opportunistically for the economic and interest rate environment that we expect in 2016, although we do expect to shorten duration modestly during the year.
Clearwater International Fund
The Clearwater International Fund seeks long-term growth of capital. The Fund generally invests at least 80% of the value of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of companies organized or located outside the United States and doing a substantial amount of business outside the United States. The Fund diversifies its investments among a number of different countries throughout the world, and may invest in companies of any size. The Fund does not intend to invest more than 20% of its net assets in the equity securities of developing or emerging market issuers. The Fund uses a “multi-style, multi-manager” approach. The Fund’s adviser allocates portions of the Fund’s assets among subadvisers who employ distinct investment styles. The Fund currently has five subadvisers. Parametric Portfolio Associates LLC (“Parametric”) manages its portion of the portfolio (approximately 50%) to mirror the MSCI World Ex USA Index (net) as closely as possible without requiring the Fund to realize taxable gains. The Fund also has four sub-advisers who
utilize an active management style and each manage approximately 12.5% of the Fund: Artisan Partners Limited Partnership (“Artisan Partners”), Denver Investments (“Denver”), Templeton Investment Counsel, LLC (“Templeton”) and WCM Investment Management (“WCM”).
2015 Market Overview:
International developed market equities recorded single digit losses during 2015. The dominant factors influencing share prices included weak economic growth in Europe and Japan, ultra-easy monetary policies from the European Central Bank and the Bank of Japan, the impact of slowing growth in China, and some unnerving geo-political events highlighted by a crisis in the Ukraine, Greece’s uncertain status in the Eurozone, and mass migration of refugees from the Middle East. Currency adjustments adversely impacted returns in 2015 as the Euro fell 11.4% and the Japanese Yen 0.5% against the U.S. dollar. These currency losses lower the returns shown to shareholders because the Clearwater International Fund reports its results in U.S. dollars, after currency adjustments have taken place.
2015 Performance and 2016 Outlook:
The Clearwater International Fund fell 0.2%, net of fees, during 2015 compared to a loss of 3.0% for the MSCI World ex-U.S. Index (net), the Fund’s benchmark. All five of the Fund’s subadvisers outperformed the Fund’s benchmark.
Each of the three “active” sub-advisers comment on the performance of their specific portions of the portfolio and provide market outlook for the next year in the paragraphs below. For comparison of the subadvisers’ capabilities, performance is shown gross of fees. The Fund pays a single advisory fee to Clearwater Management Company, which in turn pays the subadvisers out of its advisory fee.
Although the overall performance of the Clearwater International Fund is measured against its benchmark, as stated above, each of the underlying subadvisers may manage their portfolio of the Fund against a different benchmark that aligns more closely with their particular strategy. In each section below, the subadvisers will discuss the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed.
Artisan Partners Commentary
2015 Performance: For the year ended December 31, 2015, the portion of the Clearwater International Fund managed by Artisan (the “Portfolio”) returned (0.6%) (gross of fees) slightly outperforming the MSCI EAFE Index (net) (“the benchmark”),which returned (0.8%) over the same period. Performance of the following stocks had a positive impact on the Portfolio during the period: leading global facility services provider ISS; global insurance firm Arch Capital Group; Japanese household products company Kao Corp; China’s leading private provider of test preparation and afterschool tutoring, New Oriental Education & Technology Group; and supplier of chemicals to the electronics industry, Alent PLC. Notable detractors in the period included: leading UK-based retail and commercial banking franchise, Royal Bank of Scotland; Brazil’s leading telecommunications firm, Telefonica Brasil; UK food retailer TESCO plc; UK-based engineering company Amec Foster Wheeler; and global supplier of semiconductor equipment, Applied Materials.
2016 Outlook: Over the last twelve months, the Portfolio’s discount to intrinsic value has widened to what we believe are reasonable levels. Notwithstanding any potential turmoil from an end to the continued central bank economic subsidies that have resulted in generally fair to inflated asset values and enhanced economic activity, Artisan believes the Portfolio is positioned today to generate decent returns. We have increased the Portfolio’s exposure to banks, which appear to us to be better capitalized, have significantly greater liquidity, hold lower risk assets and trade at or near historically low valuations.
Denver Commentary
2015 Performance: For the year ended December 31, 2015, the portion of the Clearwater International Fund managed by Denver (the “Portfolio”) returned 2.8% (gross of fees), trailing its benchmark, the MSCI EAFE Small Cap Index (net) (the “benchmark”), which returned 9.6%. Similar to the Portfolio, the broader comparative MSCI ACWI ex USA Small-Cap Index returned in the low single digits, 2.6%, as both were impacted by their emerging market and Canada components. The Portfolio’s investments in Japan and the United Kingdom were sources of positive performance. Stock selection in Japan was a notable contributor as several Japanese stocks added to the Portfolio this year were strong performers. The Portfolio’s overweighted positions in Hong Kong, Canada and Brazil were primary performance detractors. Stock selection in Hong Kong and Israel also detracted as holdings in these markets underperformed the respective components of the benchmark. Portfolio holdings Webjet Ltd., Rightmove PLC and SMS Co., Ltd. were standout performers for the year. Among the Portfolio’s holdings that weathered the year with more difficulty were Slater & Gordon Ltd, Home Capital Group Inc. and Totvs S.A. We reduced our exposure to Slater & Gordon given uncertainty surrounding the potential impact of proposed regulation. We concluded that fundamental deterioration had too greatly altered the relative upside opportunity in Home Capital and after many years of meaningful contribution to the Portfolio’s return, we exited the stock. As the Brazilian economy slowed, so too did Totvs revenues; the increased economic sensitivity and lower upside led us to exit our position in Totvs.
2016 Outlook: We committed a significant share of our time this year to research trips in Europe, Asia, South America, Australia and Israel to check in with management of current holdings and to more thoroughly vet potential investment candidates. We consequently added several new stocks to the Portfolio, among them companies based in Japan, Australia and the UK. In turn, we trimmed or exited positions we felt offered less relative growth upside. We performed an in-depth analysis of the drivers of our performance to identify and understand areas for potential improvement. While we always remain true to our disciplined, bottom-up research process, we may periodically make adjustments to fine-tune the fundamental strength and valuation profile of the Portfolio. This led us, based on our identification of investment opportunities, to: 1) gradually decrease the Portfolio’s exposure to Hong Kong holdings with consumer discretionary focus in China in particular; 2) reduce the Portfolio’s direct or indirect exposure to the natural resources and commodities sectors; and 3) add companies embodying strong growth characteristics yet trading at what we believe to be attractive valuations in the countries noted above. Additionally, though we will continue to invest in a concentrated portfolio of approximately forty companies, we have reduced the weightings in our top holdings to broaden the Portfolio’s exposure.
Templeton Commentary
2015 Performance: For the year ended December 31, 2015, the portion of the Clearwater International Fund managed by Templeton (the “Portfolio”) returned 2.7% (gross of fees) which was slightly trailing its benchmark, the MSCI All-Country World ex-U.S. Small Cap Index (net), (the “benchmark”), which returned 3.0% over the same period. The Portfolio’s performance was driven by stock selection in the Consumer Staples, Energy and Industrials sectors. Greggs, a vertically integrated retail baker in the UK and a leading player in the take-away sandwich and savories market, was the top stock contributor. Greggs reported strong financial results during the period attributable to new product offerings and renovated stores, evidence that its food-on-the-go offer is resonating with customers. Stock selection in Financials, Information Technology and Consumer Discretionary detracted from relative performance for the year. South Korea-based BNK Financial Group was the top detractor for the year, underperforming on general weakness in the South Korean market. However, BNK’s operating performance has improved, and we believe its focus away from growth and toward profitability and decreasing risk is a positive. Regionally, stock selection in Europe contributed to relative performance for the year. The long-term case for investing in select opportunities in Europe remains attractive, in our view. Regional leaders have shown pragmatism managing through periodic crises and we believe Europe’s corporate sector remains lowly valued at a depressed point in the earnings cycle, creating scope for both earnings recovery and multiple re-rating. Stock selection in Asia detracted from relative performance.
2016 Outlook: A critical lesson we have learned through decades of investing in global equities markets is that returns generally tend to accrue to value strategies intermittently, with long-term performance a journey of peaks
and valleys. We buy on pessimism, and the market can remain at odds with our portfolios for a considerable time. But empirical evidence shows that historically when the value cycle has turned, it has often done so swiftly. We think being properly positioned for these turns is essential to potentially capturing the long-term benefits of the value investment discipline. At the onset of 2016, we are witnessing historic extremes in the discount afforded to value relative to growth, quality and safety. While this environment has been (and may remain) painful to value investors for some time, we believe the normalization of these extremes represents the most compelling opportunity in equity markets today.
WCM Commentary
2015 Performance: For the year ended December 31, 2015, the portion of the Clearwater International Fund managed by WCM (the “Portfolio”) returned 7.4% (gross of fees) outperforming its benchmark, the MSCI All-Country World ex-U.S. Index (net), (the “benchmark”), which returned (5.3%) over the same period. Outperformance for 2015 is attributable to both allocation and selection, with strong stock selection driving the bulk of our returns. From an allocation standpoint, the biggest contributors to the Portfolio’s outperformance were our overweights to Consumer Staples and Health Care, the top two performing sectors in the benchmark, as well as our underweights to Financials and Energy, the fourth and first worst performing sectors in the benchmark, respectively, over the period. There were no material detractors due to allocation.
Regarding selection, which accounted for roughly 75% of the Portfolio’s total outperformance, the biggest contributors to outperformance were found within Materials, Health Care, and Technology. The only material detractor from performance came from Industrials.
2016 Outlook: We continue to expect market volatility to be the norm. Rather than trying to predict macro events, we think our time is best served preparing for the various outcome scenarios and teeing up our watch list to capitalize on the opportunities that emerge. Most important, we believe our quality growth approach—which we define as growing moats backed by superior cultures and secular tailwinds—is most conducive to volatile environments such as these.
Comparison of the Change in Value of a $10,000 Investment in the
Clearwater Core Equity Fund and the Russell 1000® Index
Comparison of the Change in Value of a $10,000 Investment in the
Clearwater Small Companies Fund and the Russell 2000® Index
Comparison of the Change in Value of a $10,000 Investment in the
Clearwater Tax-Exempt Bond Fund and the Barclays Capital U.S. Municipal Bond Index: 5 Year (4-6)
Comparison of the Change in Value of a $10,000 Investment in the
Clearwater International Fund and the MSCI World ex-U.S. Index (net)
* Clearwater International Fund inception date.
Fund Expense Example
(unaudited)
As a shareholder of the Clearwater Core Equity Fund, Clearwater Small Companies Fund, Clearwater Tax-Exempt Bond Fund, and Clearwater International Fund (the “Funds”), you incur costs, including management fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. In addition to the ongoing costs which the Funds pay directly, you as a shareholder indirectly bear the expenses of any outside exchange traded funds or mutual funds in which the Funds invest. (These are also referred to as “acquired funds” and those indirect expenses represent the Funds’ pro rata portion of the cumulative expense charged by the acquired funds.)
The Example provided is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended December 31, 2015.
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During the Period July 1, 2015 through December 31, 2015” to estimate the expenses attributable to your investment during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Funds and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Please note that the expenses shown in the second section of the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you compare the relative total costs of the Funds to other mutual funds that charge transaction costs and/or sales charges or redemption fees.
| Actual returns | Beginning Account Value July 1, 2015 | Ending Account
Value December 31,
2015 | Expenses Paid During the
Period July 1, 2015 through
December 31, 2015 * |
| Core Equity Fund | $1,000.00 | $980.20 | $2.00 |
| Small Companies Fund | $1,000.00 | $909.80 | $4.72 |
| Tax-Exempt Bond Fund | $1,000.00 | $1,048.10 | $1.76 |
| International Fund | $1,000.00 | $947.20 | $3.39 |
Hypothetical 5% return
(before expenses)
| Core Equity Fund | $1,000.00 | $1,023.19 | $2.04 |
| Small Companies Fund | $1,000.00 | $1,020.27 | $4.99 |
| Tax-Exempt Bond Fund | $1,000.00 | $1,023.49 | $1.73 |
| International Fund | $1,000.00 | $1,021.73 | $3.52 |
| * | Expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expense ratios for the most recent one-half year period may differ from expense ratios based on one-year data in the Financial Highlights. |
The annualized expense ratios are as follows:
| Core Equity Fund | 0.40% |
| Small Companies Fund | 0.98% |
| Tax-Exempt Bond Fund | 0.34% |
| International Fund | 0.69% |
Quarterly Portfolio Schedule of Investments
The Funds file a complete schedule of their portfolio holdings as of the close of the first and third quarters of their fiscal years with the Securities and Exchange Commission (the “SEC”) on Form N-Q. Shareholders may request copies of Form N-Q free of charge by calling the Transfer Agent toll free at 1-855-684-9144 or by sending a written request to: The Northern Trust Company, P.O. Box 4766, Chicago, IL 60680-4766 Attn: Clearwater Investment Trust Funds. These filings are also available on the SEC’s Internet site at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information about the public reference room may be obtained by calling 1-800-SEC-0330.
Voting Proxies on Fund Portfolio Securities
The Funds have established Proxy Voting Policies and Procedures (“Policies”) that the Funds use to determine how to vote proxies relating to portfolio securities. They also report, on Form N-PX, how the Funds voted any such proxies during the most recent 12-month period ended June 30. Shareholders may request copies of the Policies or Form N-PX free of charge by calling Fiduciary Counselling, Inc. toll free at 1-888-228-0935 or by sending a written request to: Fiduciary Counselling, Inc., 30 East 7th Street, Suite 2000, St. Paul, MN 55101 Attn: Clearwater Investment Trust Funds. Form N-PX is also available from the EDGAR database on the SEC’s Internet site at http://www.sec.gov.
EXECUTIVE OFFICERS AND TRUSTEES
Information about the Independent Trustees
| | | | | | | | | | | | | | | | | |
| Name and Age | | | Positions Held
With the Funds | | | Term of Office | | | Principal Occupation
or Employment During
the Last Five Years | | | Number of
Portfolios in
the Fund
Complex to Be
Overseen by
the Trustee | | | Other
Directorships
Held by the
Trustee
During the
Last 5 Years | |
James E. Johnson (73)
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Trustee, Chairman of the Board, Chairman of the Audit Committee | | | As Trustee:
Tenure: 5 years
Term: Indefinite As Chairman:
Tenure: May 2013 – Present
Term: Indefinite As Chairman of the Audit Committee:
Tenure: January 2016 – Present
Term: Indefinite | | | Retired as Executive Vice President, Securian Financial Group, Inc. in 2010, Securian Financial Group, Inc. (1968-2010) | | | 4 | | | None | |
| | | | | | | | | | | | | | | | | |
Charles W. Rasmussen (49)1
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Trustee, Chairman of the Nominating Committee | | | As Trustee:
Tenure: 16 years
Term: Indefinite As Chairman of the Nominating Committee:
Tenure: 5 Years
Term: Indefinite | | | President and Chief Executive Officer, P&G Manufacturing, Inc. (air filtration equipment, 2002-Present) | | | 4 | | | None | |
| | | | | | | | | | | | | | | | | |
Laura E. Rasmussen (52)1
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Trustee | | | Tenure: 16 years
Term: Indefinite | | | Business Owner, 3 Kittens Needle Arts (textile sales, 2006-Present) | | | 4 | | | None | |
| | | | | | | | | | | | | | | | | |
Lindsay Schack (38)
30 East 7th Street
Saint Paul, Minnesota
55101 | | | Trustee | | | Tenure: November 2015 – Present
Term: Indefinite | | | Owner and Architect, LS Architecture (2013 – Present), Architect, Tuya Studios, Inc. (architectural services, 2011 – 2012), Project Designer, Montana State University (2007 – 2011), Adjunct Faculty, Montana State University School of Architecture (2007 – 2013) | | | 4 | | | None | |
| | |
| 1 | Mr. Rasmussen and Ms. Rasmussen are spouses-in-law. |
Information about the Funds’ Executive Officers and Interested Trustees
| | | | | | | | | | | | | | | | | |
| Name and Age | | | Positions Held
With the Funds | | | Term of Office | | | Principal Occupation
or Employment During
the Last Five Years | | | Number of
Portfolios in
the Fund
Complex to Be
Overseen by
the Trustee | | | Other
Directorships
Held by the
Trustee
During the
Last 5 Years | |
Sara G. Dent (57)2
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Trustee, Secretary | | | As Trustee:
Tenure: December 2013 – Present
Term: Indefinite As Secretary:
Tenure: June 2015 – Present
Term: Reappointed Annually | | | Private Investor | | | 4 | | | None | |
| | | | | | | | | | | | | | | | | |
Justin H.
Weyerhaeuser (42)3
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Trustee, President and Treasurer | | | Tenure: 7 years
Term: Indefinite As President and Treasurer:
Tenure: May 2013 – Present
Term: Reappointed Annually | | | Private Investor (February 2013-Present), Attorney, Davis Graham &Stubbs LLP (law firm, November 2011-February 2013), Husch Blackwell (law firm, July 2011-November 2011), Jacobs Chase Attorneys (2009-July 2011), Volunteer Attorney, ACLU of Colorado (2007-2009) | | | 4 | | | None | |
| | | | | | | | | | | | | | | | | |
Stephen G. Simon (47)
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Chief Compliance Officer | | | Tenure: March 2014 – Present
Term: Reappointed Annually | | | Chief Compliance Officer, Fiduciary Counselling, Inc. (February 2014- Present), Chief Compliance Officer, Clearwater Management Company (March 2014- Present), Chief Compliance Officer, Allianz Investment Management, LLC (2004- February 2014) | | | N/A | | | N/A | |
| | | | | | | | | | | | | | | | | |
Shari L. Clifford (47)
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Assistant Treasurer | | | Tenure: March 2014 – Present
Term: Reappointed Annually | | | Chief Financial Officer and Treasurer, Fiduciary Counselling, Inc. (February 2014-Present), Controller and Finance Director, Woodbury Financial Services, Inc. | | | N/A | | | N/A | |
| | |
| 2 | Ms. Sara G. Dent is an interested Trustee due to her mother’s level of ownership of voting securities in two of the Funds in the Trust. |
| | |
| 3 | Mr. Justin H. Weyerhaeuser is an interested Trustee due to his position as the Funds’ President and Treasurer. |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | (November 2007-February 2014) | | | | | | | |
Brianne Mitchell (33)
30 East 7th Street
Saint Paul,
Minnesota 55101 | | | Assistant Secretary | | | Tenure: December 2014 – Present
Term: Reappointed Annually | | | Senior Compliance Analyst, Fiduciary Counselling, Inc. (July 2014-Present), Legal & Compliance Analyst, Highbridge Capital Management (June 2013- June 2014), Assoc. General Counsel & Asst. Director of Compliance, Catterton Management Company (January 2011- June 2013) | | | N/A | | | N/A | |
Marcia Lucas (48)
The Northern Trust
Company 50 South
LaSalle Street
Chicago, IL 60603 | | | Assistant Secretary | | | Tenure: March 2011 – Present
Term: Reappointed Annually | | | The Northern Trust Company, Vice President (2011-Present), Second Vice President (2010- 2011), Partner, Michael Best & Friedrich LLP (2005-2008) | | | N/A | | | N/A | |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information (“SAI”). The SAI is available, without charge, upon request, by contacting the transfer agent at 1-855-684-9144 or writing the Funds at The Northern Trust Company, P.O. Box 4766, Chicago, IL 60680-4766. The Funds do not have an internet website.
Approval of Investment Management and Subadvisory Agreements
Approval of Subadvisory Agreement – Keeley Asset Management Corp. (Small Companies Fund)
At an in-person meeting on September 11, 2015, the Trust’s Board of Trustees (the “Board” or “Trustees”) considered a new subadvisory agreement for Keeley Asset Management Corp. (“Keeley”) (the “New Keeley Agreement”) that would take effect following an anticipated change in control of Keeley and termination of the current subadvisory agreement (the “June Keeley Agreement”). The Board noted that it had approved the June Keeley Agreement in June 2015 following the death of the controlling shareholder of Keeley, which constituted a change in control of Keeley and termination of the then-current subadvisory agreement (the “Prior Keeley Agreement”). In connection with its September 11, 2015 meeting, the Board was informed that Keeley was anticipated to undergo a second change in control as a result of a transaction by which the outstanding shares of Keeley’s parent company would be transferred to a new limited liability company, TA KAMCO LLC, which would be controlled by TA Associates, a current minority owner of Keeley (the “Transaction”). The Board was further informed that TA Associates planned to issue non-voting equity to Keeley’s key employees following the Transaction.
At their September 11, 2015 meeting, the Trustees considered the approval of the New Keeley Agreement for an initial two-year period. The Trustees considered a number of factors, including those discussed below, that they believed to be relevant. No single factor determined whether or not the agreement would be approved but rather the totality of factors considered was determinative. Following an analysis and discussion of the factors described below, the Trustees, including all of the Trustees who are not “interested persons” of the Trust (the “Independent Trustees”), approved the New Keeley Agreement.
In considering the approval of the New Keeley Agreement, the Trustees considered that the terms and conditions of the New Keeley Agreement are substantially identical to the terms and conditions of the June Keeley Agreement and Prior Keeley Agreement.
Among other things, the Trustees considered: (i) information about the anticipated impact of the change in control on the nature, quality and extent of services provided to the Fund and its shareholders, including compliance services; (ii) information about the anticipated impact of the change in control on the management structure and personnel of Keeley; (iii) that there would be no changes to the portfolio management team that is primarily responsible for the day-to-day management of the Fund in connection with the Transaction; and (iv) that the fees payable to Keeley under the New Keeley Agreement would not differ from those under the June Keeley Agreement or the Prior Keeley Agreement.
The Trustees also considered that they had performed a full review of the Prior Keeley Agreement in December 2014 and had determined to renew the Prior Keeley Agreement. The Trustees determined that the information they had considered with respect to the following factors in connection with their renewal of the Prior Keeley Agreement and their conclusions regarding those factors were applicable to their decision to approve the New Keeley Agreement: (i) the nature, extent and quality of services to be provided; (ii) investment performance; (iii) comparative fees and cost of services provided; (iv) management profitability; and (v) economies of scale.
Based on the factors described above, the Trustees, including all of the Independent Trustees, concluded that the subadvisory fee was fair and reasonable in view of the investment performance and quality of services provided. In reaching this conclusion, no single factor was considered determinative.
Approval of Investment Management and Subadvisory Agreements (All Funds)
Clearwater Management Company, Inc. (“CMC”) is responsible for managing the investment programs and strategies for the Core Equity Fund, Small Companies Fund, Tax-Exempt Bond Fund, and International Fund (collectively, “the Funds”). CMC also provides other administrative services to the Funds and these services, as well as its investment management services, are provided to the Funds under an agreement (the “Management Agreement”). CMC conducts due diligence when selecting each subadviser (collectively, the “Subadvisers”) for the Funds and oversees the performance of the Subadvisers. The Subadvisers provide portfolio management and related services for the Funds under individual subadvisory agreements (the “Subadvisory Agreements”).
The Trustees met periodically throughout the year to address a broad range of agenda items. For example, at each regularly scheduled meeting, the Trustees reviewed information about the investment performance and financial results of the Funds. On an annual basis, the Trustees, including the Independent Trustees, consider the renewal of the Management Agreement and the Subadvisory Agreements. In addition, the Trustees may periodically consider the retention of new subadvisers.
At their in-person meetings on November 14 and December 5, 2015, the Trustees considered the renewal of the Management Agreement and the Subadvisory Agreements for AQR Capital Management, LLC, Artisan Partners Limited Partnership, Denver Investments, Fiduciary Counselling, Inc. (“FCI”), Keeley, Kennedy Capital Management, Inc., O’Shaughnessy Asset Management, LLC, Osterweis Capital Management, LLC (“Osterweis”), Parametric Portfolio Associates LLC, Sit Fixed Income Advisors II, LLC, Templeton Investment Counsel, LLC, and WCM Investment Management. At the November 14 and December 5, 2015 meetings, the Trustees also considered a new Subadvisory Agreement for Osterweis that would take effect following an anticipated change in control of Osterweis in January 2016 and termination of the current Subadvisory Agreement.
Prior to the November 14, 2015 meeting, the Trustees requested, received, and reviewed written responses from CMC and the Subadvisers to questions posed to them on behalf of the Trustees and supporting materials relating to those questions and responses. The information presented at the meeting, including performance and expense data obtained from independent sources, was designed to assist the Trustees in making their determination as to the renewal of the Management Agreement and Subadvisory Agreements. At this meeting, counsel to the Funds reviewed with the Trustees the various factors relevant to their consideration of the Management Agreement and Subadvisory Agreements, and the Trustees’ responsibilities related to their review. In response to requests from the Trustees for certain additional information following review of the materials provided for the November 14, 2015 meeting, CMC and certain of the Subadvisers provided supplemental information in connection with the December 5, 2015 meeting.
At the November 14 and December 5, 2015 meetings, the Trustees considered a number of factors, including those discussed below, that they believed to be relevant. No single factor determined whether or not an agreement would be approved but rather the totality of factors considered was determinative. Following an analysis and discussion of the factors described below, the Trustees, including all of the Independent Trustees, approved the renewal of the Management Agreement and the Subadvisory Agreements, including the current Subadvisory Agreement with Osterweis, for an additional one-year period, and approved the new Subadvisory Agreement with Osterweis for a two-year period from its anticipated effective date.
Nature, Extent, and Quality of Services Provided
The Trustees considered information presented as to the nature, extent, and quality of services provided by CMC and the Subadvisers, as well as their investment expertise, resources, and capabilities. The Trustees considered the quality of the Subadvisers previously recommended by CMC, as well as the ongoing work performed by CMC to recommend enhancements to individual fund management or creation of new funds. The Trustees reviewed information regarding the financial condition of CMC and the Subadvisers related to their ongoing ability to provide services specified under the Management Agreement and Subadvisory Agreements. The Trustees considered that FCI provides, in addition to investment management services, certain services related to due diligence, performance reporting, compliance, and other administrative functions which support the investment management services and Subadviser oversight services provided by CMC. Based on their analysis of the data presented, the Trustees concluded that they were generally satisfied with the nature and quality of the services being provided under the Management Agreement and respective Subadvisory Agreements.
Investment Performance
The Trustees reviewed specific information as to the investment performance of the Funds as compared to the performance of their respective benchmark indices and peer groups over various periods of time. On a quarterly basis, the Trustees reviewed reports summarizing the net assets, redemptions, and purchases of shares of the Funds. The Trustees concluded that they were generally satisfied with CMC’s and the Subadvisers’ investment performance to date.
Comparative Fees and Cost of Services Provided
The Trustees reviewed the fees paid to CMC and the Subadvisers. The Trustees reviewed reports describing both the management fees charged by CMC and the total expense ratios of the Funds in comparison to those of similarly situated funds. In addition, on a quarterly basis, the Trustees reviewed information as to the expense ratios of the Funds compared to the median expense ratio of a peer group of funds with comparable investment strategies. The Trustees also reviewed information provided by each of the Subadvisers as to fees they charge to other clients, as applicable. The Trustees noted the ongoing efforts of CMC to reduce expenses charged to shareholders through oversight of service providers and by voluntarily waiving certain fees payable to CMC as specified in the Funds’ prospectus. In this regard, the Board considered that, effective March 16, 2015, CMC has voluntarily agreed to waive (i) the management fee for the Core Equity Fund from the contractual fee of 0.90% to 0.40%; (ii) the management fee for the Small Companies Fund from the contractual fee of 1.35% to 0.98%; (iii) the management fee for the Tax-Exempt Bond Fund from the contractual fee of 0.60% to 0.34%; and (iv) the management fee for the International Fund from the contractual fee of 1.00% to 0.69%.
Management Profitability
The Trustees reviewed CMC’s level of profitability with respect to the Funds, particularly noting CMC’s payment of fees and expenses typically absorbed by mutual fund shareholders. The Trustees concluded that profitability levels for CMC were reasonable. The Trustees considered that the Subadvisers are each independent firms and the subadvisory fees charged are the result of arm’s length bargaining between them and CMC under the supervision of the Trustees.
Economies of Scale
The Trustees considered whether economies of scale might be realized by CMC as the Funds’ assets grow and whether there also might be benefits from such growth for the Funds’ shareholders. The Trustees
noted that the Funds have been in operation for a number of years and, based on their distribution strategy, the Funds will probably not see significant increases in size. However, the Trustees determined that they would continue to monitor the assets of the Funds and consider whether there were additional opportunities to realize benefits from economies of scale for shareholders in the future.
Based on the factors described above, the Trustees, including all of the Independent Trustees, concluded that the investment management fees and subadvisory fees were fair and reasonable in view of the investment performance and quality of services provided. In reaching this conclusion, no single factor was considered determinative.
Federal Tax Information
(unaudited)
Qualified Dividend Income. Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), 100.00% of ordinary dividends paid during the fiscal year ended December 31, 2015 for the Core Equity Fund, 100.00% of ordinary dividends paid during the fiscal year ended December 31, 2015 for the Small Companies Fund, and 100.00% of ordinary dividends paid during the fiscal year ended December 31, 2015 for the International Fund are designated as “qualified dividend income”, as defined in the Act, subject to reduced tax rates in 2015.
Corporate Dividends-Received Deduction. 100.00%, 37.45% and 0.11% of the dividends distributed during the fiscal year ended December 31, 2015, for the Core Equity, Small Companies and International Funds, respectively, qualify for the dividends-received deduction for corporate shareholders.
Capital Gain Distribution. The following Funds made capital gain distributions in December 2015, and hereby designated these long-term capital gain distributions as follows:
| | | | | |
| Fund | | Long-Term Capital Gain | |
| | | | | |
| Core Equity(1) | | $ | 37,447,878 | |
| Small Companies(2) | | | 32,947,975 | |
| Tax-Exempt Bond | | | 1,682,556 | |
| International | | | 2,640,682 | |
| | |
| (1) | During the fiscal year 2015, Core Equity Fund designated long-term capital gain distributions in the amount of $39,583,976. Core Equity Fund utilized equalization accounting for tax purposes, whereby a portion of redemption payments were treated as distributions of long-term capital gain. As a result the Fund paid long-term capital gain distributions in the amount of $37,447,878. |
| | |
| (2) | During the fiscal year 2015, Small Companies Fund designated long-term capital gain distributions in the amount of $33,005,107. Small Companies Fund utilized equalization accounting for tax purposes, whereby a portion of redemption payments were treated as distributions of long-term capital gain. As a result the Fund paid long-term capital gain distributions in the amount of $32,947,975. |
Clearwater Investment Trust
Financial Statements
For the Fiscal Year Ended December 31, 2015
Table of Contents
Financial Statements:
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Clearwater Investment Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Clearwater Core Equity Fund, Clearwater Small Companies Fund, Clearwater Tax-Exempt Bond Fund and the Clearwater International Fund (collectively, the “Funds”), as of December 31, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2015, by correspondence with the custodian, transfer agent (of underlying funds) and brokers, or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Clearwater Core Equity Fund, Clearwater Small Companies Fund, Clearwater Tax-Exempt Bond Fund and the Clearwater International Fund as of December 31, 2015, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Minneapolis, Minnesota
February 25, 2016
CLEARWATER INVESTMENT TRUST
Statements of Assets and Liabilities
December 31, 2015
| | | | | | | | | | | | | | | | | |
| | Core Equity
Fund | | | Small Companies
Fund | | | Tax-Exempt
Bond Fund | | | International
Fund | |
| Assets | | | | | | | | | | | | | | | | |
| Investments in securities, at fair value (identified cost: $267,093,223 Core Equity Fund; $284,159,304 Small Companies Fund; $483,559,949 Tax-Exempt Bond Fund; $393,931,634 International Fund) | | $ | 489,737,389 | | | | 304,434,197 | | | | 510,674,481 | | | | 486,984,152 | |
| Foreign currencies, at value (cost: $190,315) | | | - | | | | - | | | | - | | | | 190,426 | |
| Cash | | | 1,609 | | | | - | | | | - | | | | - | |
| Receivable for securities sold | | | 1,221,658 | | | | 1,323,540 | | | | - | | | | 772 | |
| Receivable for shares of beneficial interest sold | | | 2,640,000 | | | | 843,000 | | | | 468,000 | | | | 4,247,700 | |
| Receivable for variation margin on futures contracts | | | 28,287 | | | | - | | | | - | | | | - | |
| Accrued dividend and interest receivable | | | 542,075 | | | | 344,270 | | | | 5,175,177 | | | | 623,518 | |
| Foreign tax reclaim receivable | | | 34,761 | | | | 845 | | | | - | | | | 1,208,006 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | - | | | | - | | | | - | | | | 51,181 | |
| Total assets | | | 494,205,779 | | | | 306,945,852 | | | | 516,317,658 | | | | 493,305,755 | |
| Liabilities | | | | | | | | | | | | | | | | |
| Payables for investment securities purchased | | | 1,280,139 | | | | 6,813,235 | | | | 3,000,000 | | | | 1,216,400 | |
| Accrued investment advisory fee | | | 507,917 | | | | 752,457 | | | | 433,412 | | | | 859,836 | |
| Payable for dividend distribution | | | - | | | | - | | | | 111,302 | | | | - | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | - | | | | - | | | | - | | | | 45,312 | |
| Total liabilities | | | 1,788,056 | | | | 7,565,692 | | | | 3,544,714 | | | | 2,121,548 | |
| Net assets | | $ | 492,417,723 | | | | 299,380,160 | | | | 512,772,944 | | | | 491,184,207 | |
| Capital | | | | | | | | | | | | | | | | |
| Capital stock and additional paid-in capital (authorized unlimited number of shares at no par value for each Fund: 13,844,056, 17,422,910, 50,490,556 and 35,023,182 shares, respectively) | | $ | 268,902,334 | | | | 275,500,070 | | | | 485,559,116 | | | | 402,722,768 | |
| Undistributed (overdistributed) net investment income | | | 300,012 | | | | - | | | | 112,785 | | | | (1,183,615 | ) |
| Accumulated net realized gain (loss) from investments and foreign currency transactions | | | 571,331 | | | | 3,605,196 | | | | (13,489 | ) | | | (3,267,532 | ) |
| Unrealized appreciation of investments and translation of assets and liabilities in foreign currencies | | | 222,644,046 | | | | 20,274,894 | | | | 27,114,532 | | | | 92,912,586 | |
| Net assets | | $ | 492,417,723 | | | | 299,380,160 | | | | 512,772,944 | | | | 491,184,207 | |
| Net asset value per share of outstanding capital stock | | $ | 35.57 | | | | 17.18 | | | | 10.16 | | | | 14.02 | |
See accompanying notes to financial statements.
CLEARWATER INVESTMENT TRUST
Statements of Operations
Year ended December 31, 2015
| | | | | | | | | | | | | | | | | |
| | | Core Equity
Fund | | | Small Companies
Fund | | | Tax-Exempt
Bond Fund | | | International
Fund | |
| Investment income: | | | | | | | | | | | | | | | | |
| Income: | | | | | | | | | | | | | | | | |
| Dividends (net of foreign taxes withheld of $56,024, $7,075, $0 and $1,104,327, respectively) | | $ | 10,167,825 | | | | 3,825,212 | | | | 1,754,357 | | | | 12,989,612 | |
| Interest | | | - | | | | - | | | | 21,461,251 | | | | - | |
| Total income | | | 10,167,825 | | | | 3,825,212 | | | | 23,215,608 | | | | 12,989,612 | |
| Expenses: | | | | | | | | | | | | | | | | |
| Investment advisory fee | | | 4,706,539 | | | | 4,353,615 | | | | 3,045,115 | | | | 5,075,868 | |
| Voluntary fee reduction | | | (2,505,518 | ) | | | (1,219,793 | ) | | | (1,329,903 | ) | | | (1,593,500 | ) |
| Total net expenses | | | 2,201,021 | | | | 3,133,822 | | | | 1,715,212 | | | | 3,482,368 | |
| Net investment income | | | 7,966,804 | | | | 691,390 | | | | 21,500,396 | | | | 9,507,244 | |
| Net realized gain (loss) on: | | | | | | | | | | | | | | | | |
| Security transactions | | | 40,279,358 | | | | 39,821,655 | | | | 2,120,557 | | | | 634,398 | |
| Futures contracts | | | (10,606 | ) | | | - | | | | - | | | | - | |
| Forward foreign currency exchange contracts | | | - | | | | - | | | | - | | | | 475,193 | |
| Foreign currency transactions | | | (2,211 | ) | | | - | | | | - | | | | 72,791 | |
| Net increase (decrease) in unrealized appreciation/depreciation on: | | | | | | | | | | | | | | | | |
| Security transactions | | | (52,001,563 | ) | | | (53,057,897 | ) | | | (474,940 | ) | | | (11,879,338 | ) |
| Forward foreign currency exchange contracts | | | - | | | | - | | | | - | | | | (508,234 | ) |
| Translation of other assets and liabilities denominated in foreign currencies | | | 1,320 | | | | - | | | | - | | | | (43,057 | ) |
| Net gain (loss) on investments | | | (11,733,702 | ) | | | (13,236,242 | ) | | | 1,645,617 | | | | (11,248,247 | ) |
| Net increase (decrease) in net assets resulting from operations | | $ | (3,766,898 | ) | | | (12,544,852 | ) | | | 23,146,013 | | | | (1,741,003 | ) |
See accompanying notes to financial statements.
CLEARWATER INVESTMENT TRUST
Statements of Changes in Net Assets
Years ended December 31, 2015 and 2014
| | | | | | | | | | | | | | | | | |
| | | Core Equity Fund | | | Small Companies Fund | |
| | | 12/31/2015 | | | 12/31/2014 | | | 12/31/2015 | | | 12/31/2014 | |
| Operations: | | | | | | | | | | | | | | | | |
| Net investment income | | $ | 7,966,804 | | | | 7,989,905 | | | | 691,390 | | | | 815,686 | |
| Net realized gain | | | 40,266,541 | | | | 17,023,383 | | | | 39,821,655 | | | | 36,427,294 | |
| Net increase (decrease) in unrealized appreciation/depreciation | | | (52,000,243 | ) | | | 22,275,634 | | | | (53,057,897 | ) | | | (20,342,867 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (3,766,898 | ) | | | 47,288,922 | | | | (12,544,852 | ) | | | 16,900,113 | |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (7,757,756 | ) | | | (8,347,216 | ) | | | (876,975 | ) | | | (637,608 | ) |
| Net realized gain | | | (39,583,976 | ) | | | (16,626,561 | ) | | | (35,922,516 | ) | | | (47,231,708 | ) |
| Total distributions to shareholders | | | (47,341,732 | ) | | | (24,973,777 | ) | | | (36,799,491 | ) | | | (47,869,316 | ) |
| Equalization: | | | | | | | | | | | | | | | | |
| Net equalization | | | 2,237,640 | | | | - | | | | 1,600,313 | | | | - | |
| Capital share transactions: | | | | | | | | | | | | | | | | |
| Proceeds from shares sold | | | 6,275,620 | | | | 3,000,890 | | | | 22,980,623 | | | | 8,274,472 | |
| Reinvestment of distributions from net investment income and net realized gain | | | 45,104,098 | | | | 24,973,774 | | | | 35,199,184 | | | | 47,869,316 | |
| Payments for shares redeemed | | | (51,108,187 | ) | | | (32,315,020 | ) | | | (44,943,480 | ) | | | (34,354,438 | ) |
| Net increase (decrease) in net assets from capital share transactions | | | 271,531 | | | | (4,340,356 | ) | | | 13,236,327 | | | | 21,789,350 | |
| Total increase (decrease) in net assets | | | (48,599,459 | ) | | | 17,974,789 | | | | (34,507,703 | ) | | | (9,179,853 | ) |
| Net assets: | | | | | | | | | | | | | | | | |
| At the beginning of the year | | | 541,017,182 | | | | 523,042,393 | | | | 333,887,863 | | | | 343,067,716 | |
| At the end of the year | | $ | 492,417,723 | | | | 541,017,182 | | | | 299,380,160 | | | | 333,887,863 | |
| Undistributed net investment income | | $ | 300,012 | | | | 445,248 | | | | - | | | | 130,675 | |
| | | | | | | | | | | | | | | | | |
| | | Tax-Exempt Bond Fund | | | International Fund |
| | | 12/31/2015 | | | 12/31/2014 | | | 12/31/2015 | | | 12/31/2014 | |
| Operations: | | | | | | | | | | | | | | | | |
| Net investment income | | $ | 21,500,396 | | | | 21,933,285 | | | | 9,507,244 | | | | 11,338,380 | |
| Net realized gain | | | 2,120,557 | | | | 1,154,381 | | | | 1,182,382 | | | | 7,234,369 | |
| Net increase (decrease) in unrealized appreciation/depreciation | | | (474,940 | ) | | | 46,365,974 | | | | (12,430,629 | ) | | | (42,795,882 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 23,146,013 | | | | 69,453,640 | | | | (1,741,003 | ) | | | (24,223,133 | ) |
| Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (21,496,917 | ) | | | (21,919,530 | ) | | | (9,471,417 | ) | | | (11,567,920 | ) |
| Net realized gain | | | (2,015,724 | ) | | | (894,126 | ) | | | (2,834,849 | ) | | | (8,447,272 | ) |
| Total distributions to shareholders | | | (23,512,641 | ) | | | (22,813,656 | ) | | | (12,306,266 | ) | | | (20,015,192 | ) |
| Equalization: | | | | | | | | | | | | | | | | |
| Net equalization | | | - | | | | - | | | | - | | | | - | |
| Capital share transactions: | | | | | | | | | | | | | | | | |
| Proceeds from shares sold | | | 23,502,450 | | | | 18,525,800 | | | | 29,859,634 | | | | 14,290,245 | |
| Reinvestment of distributions from net investment income and net realized gain | | | 23,506,847 | | | | 22,773,030 | | | | 12,306,269 | | | | 20,015,199 | |
| Payments for shares redeemed | | | (41,851,737 | ) | | | (44,983,038 | ) | | | (18,877,071 | ) | | | (20,028,659 | ) |
| Net increase (decrease) in net assets from capital share transactions | | | 5,157,560 | | | | (3,684,208 | ) | | | 23,288,832 | | | | 14,276,785 | |
| Total increase (decrease) in net assets | | | 4,790,932 | | | | 42,955,776 | | | | 9,241,563 | | | | (29,961,540 | ) |
| Net assets: | | | | | | | | | | | | | | | | |
| At the beginning of the year | | | 507,982,012 | | | | 465,026,236 | | | | 481,942,644 | | | | 511,904,184 | |
| At the end of the year | | $ | 512,772,944 | | | | 507,982,012 | | | | 491,184,207 | | | | 481,942,644 | |
| | | | | | | | | | | | | | | | | |
| Undistributed (overdistributed) net investment income | | $ | 112,785 | | | | 49,910 | | | | (1,183,615 | ) | | | (1,759,655 | ) |
See accompanying notes to financial statements.
CLEARWATER INVESTMENT TRUST
Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years ended and selected information for each year ended is as follows:
| | | | | | | | | | | | | | | | |
| | | Year ended December 31, | |
| Core Equity Fund | | 2015 | | | 2014 | | | 2013 | | | 2012 | | | 2011 | |
| Net asset value, beginning of year | | $ | 39.41 | | | | 37.77 | | | | 28.81 | | | | 25.26 | | | | 26.38 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.64 | | | | 0.60 | | | | 0.51 | | | | 0.40 | | | | 0.33 | |
| Net realized and unrealized gains (losses) | | | (0.96 | ) | | | 2.91 | | | | 8.95 | | | | 3.54 | | | | (1.13 | ) |
| Total from investment operations | | | (0.32 | ) | | | 3.51 | | | | 9.46 | | | | 3.94 | | | | (0.80 | ) |
| Less distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.60 | ) | | | (0.63 | ) | | | (0.50 | ) | | | (0.39 | ) | | | (0.32 | ) |
| Net realized gain | | | (2.92 | ) | | | (1.24 | ) | | | - | | | | - | | | | - | |
| Total distributions to shareholders | | | (3.52 | ) | | | (1.87 | ) | | | (0.50 | ) | | | (0.39 | ) | | | (0.32 | ) |
| Net asset value, end of year | | $ | 35.57 | | | | 39.41 | | | | 37.77 | | | | 28.81 | | | | 25.26 | |
| Total return (a) | | | (0.71 | )% | | | 9.23 | % | | | 32.85 | % | | | 15.64 | % | | | (3.04 | )% |
| Net assets, end of year (000s omitted) | | $ | 492,418 | | | | 541,017 | | | | 523,042 | | | | 395,242 | | | | 332,320 | |
| Ratio of expenses, net of waivers, to average net assets (b)(c)(d)(e)(f) | | | 0.42 | % | | | 0.50 | % | | | 0.50 | % | | | 0.54 | % | | | 0.53 | % |
| Ratio of expenses, before waivers, to average net assets (b)(c)(d)(e)(f) | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.69 | % |
| Ratio of net investment income, net of waivers, to average net assets (c)(d)(e)(f) | | | 1.52 | % | | | 1.50 | % | | | 1.51 | % | | | 1.49 | % | | | 1.25 | % |
| Ratio of net investment income, before waivers, to average net assets (c)(d)(e)(f) | | | 1.02 | % | | | 1.10 | % | | | 1.11 | % | | | 1.13 | % | | | 1.09 | % |
| Portfolio turnover rate (excluding short-term securities) | | | 94.07 | % | | | 13.54 | % | | | 21.07 | % | | | 22.31 | % | | | 27.01 | % |
| | |
| (a) | Total return figures are based on the change in net asset value of a share during the Year and assume reinvestment of distributions at net asset value. |
| | |
| (b) | In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios. |
| | |
| (c) | Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, decreased to 0.40%. Also effective March 16, 2015, the Advisor increased the voluntary waiver to 0.50%. |
| | |
| (d) | Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, decreased to 0.50%. Also effective March 15, 2013, the Advisor increased the voluntary waiver to 0.40%. |
| | |
| (e) | Effective March 15, 2012, the investment advisory fee, net of voluntary waivers, decreased to 0.52%. Also effective March 15, 2012, the Adviser increased the voluntary waiver to 0.38%. |
| | |
| (f) | Effective June 1, 2011, the investment advisory fee, net of voluntary waivers, increased to 0.60%. Also effective June 1, 2011, the Adviser increased the voluntary waiver to 0.30%. |
See accompanying notes to financial statements.
CLEARWATER INVESTMENT TRUST
Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years ended and selected information for each year ended is as follows:
| | | | | | | | | | | | | | | | |
| | | Year ended December 31, | |
| Small Companies Fund | | 2015 | | | 2014 | | | 2013 | | | 2012 | | | 2011 | |
| Net asset value, beginning of year | | $ | 20.30 | | | | 22.35 | | | | 18.70 | | | | 16.91 | | | | 18.70 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.07 | | | | 0.05 | | | | 0.05 | | | | 0.09 | | | | 0.01 | |
| Net realized and unrealized gains (losses) | | | (0.90 | ) | | | 1.10 | | | | 6.30 | | | | 3.10 | | | | (0.28 | ) |
| Total from investment operations | | | (0.83 | ) | | | 1.15 | | | | 6.35 | | | | 3.19 | | | | (0.27 | ) |
| Less distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.06 | ) | | | (0.04 | ) | | | (0.06 | ) | | | (0.10 | ) | | | (0.01 | ) |
| Net realized gain | | | (2.23 | ) | | | (3.16 | ) | | | (2.64 | ) | | | (1.30 | ) | | | (1.51 | ) |
| Total distributions to shareholders | | | (2.29 | ) | | | (3.20 | ) | | | (2.70 | ) | | | (1.40 | ) | | | (1.52 | ) |
| Net asset value, end of year | | $ | 17.18 | | | | 20.30 | | | | 22.35 | | | | 18.70 | | | | 16.91 | |
| Total return (a) | | | (3.96 | )% | | | 5.03 | % | | | 34.01 | % | | | 19.02 | % | | | (1.62 | )% |
| Net assets, end of year (000s omitted) | | $ | 299,380 | | | | 333,888 | | | | 343,068 | | | | 281,936 | | | | 239,508 | |
| Ratio of expenses, net of waivers, to average net assets (b)(c)(d)(e) | | | 0.97 | % | | | 0.94 | % | | | 0.95 | % | | | 1.00 | % | | | 0.98 | % |
| Ratio of expenses, before waivers, to average net assets (b)(d)(e) | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % |
| Ratio of net investment income (loss), net of waivers, to average net assets(d)(e) | | | 0.22 | % | | | 0.24 | % | | | 0.21 | % | | | 0.51 | % | | | 0.05 | % |
| Ratio of net investment income (loss), before waivers, to average net assets(d)(e) | | | (0.16 | )% | | | (0.17 | )% | | | (0.19 | )% | | | 0.16 | % | | | (0.32 | )% |
| Portfolio turnover rate (excluding short-term securities) | | | 58.71 | % | | | 55.51 | % | | | 59.84 | % | | | 59.48 | % | | | 64.54 | % |
| | |
| (a) | Total return figures are based on the change in net asset value of a share during the Year and assume reinvestment of distributions at net asset value. |
| (b) | In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios. |
| (c) | Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.98%. Also effective March 16, 2015, the Adviser reduced the voluntary waiver to 0.37%. |
| (d) | Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, decreased to 0.94%. Also effective March 15, 2013, the Adviser increased the voluntary waiver to 0.41%. |
| (e) | Effective June 1, 2011, the investment advisory fee, net of voluntary waivers, increased to 1.00%. Also effective June 1, 2011, the Adviser reduced the voluntary waiver to 0.35%. |
See accompanying notes to financial statements.
CLEARWATER INVESTMENT TRUST
Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years ended and selected information for each year ended is as follows:
| | | | | | | | | | | | | | | | |
| | | Year ended December 31, | |
| Tax-Exempt Bond Fund | | 2015 | | | 2014 | | | 2013 | | | 2012 | | | 2011 | |
| Net asset value, beginning of year | | $ | 10.16 | | | | 9.23 | | | | 10.15 | | | | 9.62 | | | | 9.06 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.42 | | | | 0.44 | | | | 0.46 | | | | 0.48 | | | | 0.48 | |
| Net realized and unrealized gains (losses) | | | 0.04 | | | | 0.95 | | | | (0.84 | ) | | | 0.53 | | | | 0.56 | |
| Total from investment operations | | | 0.46 | | | | 1.39 | | | | (0.38 | ) | | | 1.01 | | | | 1.04 | |
| Less distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.42 | ) | | | (0.44 | ) | | | (0.46 | ) | | | (0.48 | ) | | | (0.48 | ) |
| Net realized gain | | | (0.04 | ) | | | (0.02 | ) | | | (0.08 | ) | | | - | | | | - | |
| Total distributions to shareholders | | | (0.46 | ) | | | (0.46 | ) | | | (0.54 | ) | | | (0.48 | ) | | | (0.48 | ) |
| Net asset value, end of year | | $ | 10.16 | | | | 10.16 | | | | 9.23 | | | | 10.15 | | | | 9.62 | |
| Total return (a) | | | 4.73 | % | | | 15.29 | % | | | (3.77 | )% | | | 10.66 | % | | | 11.81 | % |
| Net assets, end of year (000s omitted) | | $ | 512,773 | | | | 507,982 | | | | 465,026 | | | | 527,118 | | | | 518,834 | |
| Ratio of expenses, net of waivers, to average net assets (b)(c)(d) | | | 0.34 | % | | | 0.33 | % | | | 0.34 | % | | | 0.36 | % | | | 0.36 | % |
| Ratio of expenses, before waivers, to average net assets (b)(c)(d) | | | 0.60 | % | | | 0.60 | % | | | 0.60 | % | | | 0.60 | % | | | 0.60 | % |
| Ratio of net investment income, net of waivers, to average net assets(c)(d) | | | 4.23 | % | | | 4.48 | % | | | 4.78 | % | | | 4.79 | % | | | 5.08 | % |
| Ratio of net investment income, before waivers, to average net assets(c)(d) | | | 3.97 | % | | | 4.21 | % | | | 4.52 | % | | | 4.55 | % | | | 4.84 | % |
| Portfolio turnover rate (excluding short-term securities) | | | 18.93 | % | | | 22.25 | % | | | 31.65 | % | | | 28.06 | % | | | 24.83 | % |
| | |
| (a) | Total return figures are based on the change in net asset value of a share during the Year and assume reinvestment of distributions at net asset value. |
| | |
| (b) | In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios. |
| | |
| (c) | Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.34%. Also effective March 16, 2015, the Adviser reduced the voluntary waiver to 0.26%. |
| | |
| (d) | Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, decreased to 0.33%. Also effective March 15, 2013, the Adviser increased the voluntary waiver to 0.27%. |
See accompanying notes to financial statements.
CLEARWATER INVESTMENT TRUST
Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years ended and selected information for each year ended is as follows:
| | | | | | | | | | | | | | | | |
| | | Year ended December 31, | |
| International Fund | | 2015 | | | 2014 | | | 2013 | | | 2012 | | | 2011 | |
| Net asset value, beginning of year | | $ | 14.41 | | | | 15.76 | | | | 13.33 | | | | 12.23 | | | | 14.33 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.28 | | | | 0.35 | | | | 0.29 | | | | 0.30 | | | | 0.30 | |
| Net realized and unrealized gains (losses) | | | (0.31 | ) | | | (1.08 | ) | | | 2.62 | | | | 1.88 | | | | (2.08 | ) |
| Total from investment operations | | | (0.03 | ) | | | (0.73 | ) | | | 2.91 | | | | 2.18 | | | | (1.78 | ) |
| Less distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.28 | ) | | | (0.36 | ) | | | (0.34 | ) | | | (0.31 | ) | | | (0.29 | ) |
| Net realized gain | | | (0.08 | ) | | | (0.26 | ) | | | (0.14 | ) | | | (0.77 | ) | | | (0.03 | ) |
| Total distributions to shareholders | | | (0.36 | ) | | | (0.62 | ) | | | (0.48 | ) | | | (1.08 | ) | | | (0.32 | ) |
| Net asset value, end of year | | $ | 14.02 | | | | 14.41 | | | | 15.76 | | | | 13.33 | | | | 12.23 | |
| Total return (a) | | | (0.15 | )% | | | (4.70 | )% | | | 21.85 | % | | | 17.91 | % | | | (12.44 | )% |
| Net assets, end of year (000s omitted) | | $ | 491,184 | | | | 481,943 | | | | 511,904 | | | | 408,059 | | | | 305,071 | |
| Ratio of expenses, net of waivers, to average net assets (b)(c)(d)(e)(f) | | | 0.69 | % | | | 0.67 | % | | | 0.66 | % | | | 0.62 | % | | | 0.77 | % |
| Ratio of expenses, before waivers, to average net assets (b)(c)(d)(e)(f) | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| Ratio of net investment income, net of waivers, to average net assets (c)(d)(e)(f) | | | 1.87 | % | | | 2.22 | % | | | 1.99 | % | | | 2.39 | % | | | 2.15 | % |
| Ratio of net investment income, before waivers, to average net assets (c)(d)(e)(f) | | | 1.56 | % | | | 1.89 | % | | | 1.65 | % | | | 2.01 | % | | | 1.92 | % |
| Portfolio turnover rate (excluding short-term securities) | | | 18.49 | % | | | 15.33 | % | | | 22.54 | % | | | 72.32 | % | | | 36.93 | % |
| | |
| (a) | Total return figures are based on the change in net asset value of a share during the Year and assume reinvestment of distributions at net asset value. |
| | |
| (b) | In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios. |
| | |
| (c) | Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.69%. Also effective March 16, 2015, the Adviser reduced the voluntary waiver to 0.31%. |
| | |
| (d) | Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, increased to 0.67%. Also effective March 15, 2013, the Adviser reduced the voluntary waiver to 0.33%. |
| | |
| (e) | Effective March 15, 2012, the investment advisory fee, net of voluntary waivers, decreased to 0.60%. Also effective March 15, 2012, the Adviser increased the voluntary waiver to 0.40%. |
| | |
| (f) | Effective June 1, 2011, the investment advisory fee, net of voluntary waivers, decreased to 0.75%. Also effective June 1, 2011, the Adviser increased the voluntary waiver to 0.25%. Effective December 5, 2011, the investment advisory fee, net of voluntary waivers, decreased to 0.70%. Also effective December 5, 2011, the Adviser increased the voluntary waiver to 0.30%. |
See accompanying notes to financial statements.
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
Clearwater Investment Trust (the “Trust”) was established on January 12, 1987 as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (as amended) as a diversified open end management investment company and presently includes four series: Clearwater Core Equity Fund (Core Equity Fund), Clearwater Small Companies Fund (Small Companies Fund), Clearwater Tax-Exempt Bond Fund (Tax-Exempt Bond Fund), and Clearwater International Fund (International Fund), (the “Funds”). Clearwater Management Company (the “Adviser”) serves as the investment adviser for each of the Funds and is responsible for the oversight of each of the Fund’s subadvisers. The Trust’s declaration of trust permits the Board of Trustees to create additional funds in the future. The investment objective of the Core Equity, Small Companies, and International Funds is long-term capital growth. The investment objective of the Tax-Exempt Bond Fund is high current income that is exempt from United States (“U.S.”) federal income tax, consistent with preservation of capital.
Fiduciary Counselling, Inc. (“FCI”) acts as subadviser to each of the Funds. FCI does not provide day-to-day management, but provides the Funds with various investment-related services, including investment strategy advice, manager recommendations and related duties as requested by the Adviser. FCI also provides certain services related to due diligence, performance reporting, compliance, and other administrative functions, which support the investment management services and subadviser oversight services provided to the Funds by the Adviser.
The Northern Trust Company serves as the custodian, administrator, accounting services agent and transfer agent for the Trust.
Effective January 29, 2015, the Trust terminated Knightsbridge Asset Management, LLC and Heartland Advisors, Inc., two of the subadvisers to the Core Equity Fund. Effective February 3, 2015 and February 4, 2015, respectively, the Trust engaged AQR Capital Management, LLC (“AQR”) and O’Shaughnessy Asset Management, LLC (“OSAM”) as two new subadvisers to the Core Equity Fund.
Under normal market conditions, the Core Equity Fund pursues its investment objective by investing at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of U.S. companies. The equity securities in which the Fund primarily invests are common and preferred stocks. The Fund employs a multi-style (growth and value) and multi-manager approach whereby portions of the Fund are allocated to different subadvisers who employ distinct investment styles. The Fund’s Adviser allocates portions of the Fund’s assets among subadvisers. The Fund currently allocates assets among the following subadvisers who provide day-to-day management for the Fund: Parametric Portfolio Associates, LLC (“Parametric”), AQR, OSAM and Osterweis Capital Management, LLC (“Osterweis”). The allocation among subadvisers will vary over time, but the current intent of the Fund’s Adviser is that under normal market conditions approximately 60% of the Fund’s total assets will be allocated to Parametric; the remaining assets will be allocated to one or more of the Fund’s three other subadvisers. To the extent feasible, Parametric manages its portion of the Fund’s assets in a passive management strategy so that its portion of the Fund’s holdings generally matches the holdings of the Russell 1000® Index as closely as possible without requiring the Fund to realize gains. In addition, as noted above, FCI also acts as a subadviser to the Fund but does not provide day-to-day management.
Under normal market conditions, the Small Companies Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of small companies. The Fund defines
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
“small companies” as issuers with market capitalizations no greater than $5 billion at the time of purchase. The equity securities the Fund invests in consist primarily of exchange traded common and preferred stocks. The Fund may also invest in a type of equity security called a convertible security to reduce volatility or correlation risk in the portfolio. A convertible security generally entitles the holder to receive interest paid or accrued on debt securities or the dividend paid on preferred stock until the convertible security matures or is redeemed, converted or exchanged. It is intended that the Fund holds a portion of its portfolio for more than two years to allow for the change that prompted the relevant security’s purchase to yield results. The Fund uses a “multi-style, multi-manager” approach. The Fund’s Adviser allocates portions of the Fund’s assets between subadvisers who employ distinct investment styles. The Fund currently allocates assets between the following subadvisers who provide day-to-day management for the Fund: Kennedy Capital Management, Inc. (“Kennedy”) and Keeley Asset Management Corp. (“Keeley”). FCI also acts as a subadviser to the Fund but does not provide day-to-day management.
Under normal market conditions, the Tax-Exempt Bond Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in tax-exempt bonds, which are debt obligations issued by or for the U.S. states, territories and possessions and the District of Columbia. The interest on these bonds is generally exempt from both U.S. regular federal income tax and U.S. federal alternative minimum tax. However, the Fund may invest up to 20% of its net assets in bonds that generate interest income subject to federal alternative minimum tax for individuals. All exempt interest income may increase certain corporate shareholders’ alternative minimum tax. The Fund invests in both revenue bonds, which are backed by and payable only from the revenues derived from a specific facility or specific revenue source, and in general obligation bonds, which are secured by the full faith, credit and taxation power of the issuing municipality. The Fund currently has one subadviser that provides day-to-day management for the Fund, Sit Fixed Income Advisers II, LLC (“Sit”). FCI also acts as a subadviser to the Fund but does not provide day-to-day management.
Under normal market conditions, the International Fund intends to invest at least 80% of the value of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of companies organized or located outside the U.S. and doing a substantial amount of business outside the U.S. Equity securities in which the Fund invests include common and preferred stock, sponsored and unsponsored American Depositary Receipts, European Depositary Receipts, and Global Depositary Receipts and exchange-traded funds and other investment companies. The Fund diversifies its investments among a number of different countries throughout the world, and may invest in companies of any size. The Fund does not intend to invest more than 20% of its net assets in the equity securities of developing or emerging market issuers. In order to hedge against adverse movements in currency exchange rates, the Fund may enter into foreign currency exchange contracts. The Fund does not intend to invest in foreign currency exchange contracts, options, future contracts or options in future contracts for speculative purposes. The Fund uses a “multi-style, multi-manager” approach. The Fund’s assets are allocated to different subadvisers who employ distinct investment styles. The Fund currently allocates assets among the following subadvisers who provide day-to-day management for the Fund: Parametric, Artisan Partners Limited Partnership (“Artisan Partners”), Denver Investments (“Denver”), WCM Investment Management (“WCM”) and Templeton Investment Counsel, LLC (“Templeton”). The allocation among subadvisers will vary over time, but the current intent of the Fund’s Adviser is that under normal market conditions approximately 50% of the Fund’s assets will be allocated to Parametric, and the remaining assets will be allocated to one or more of the Fund’s four other subadvisers that provide day-to-day management of the Fund. Parametric manages its portion of the Fund’s assets in a passive management strategy so that, to the extent feasible, its portion of the
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
Fund’s holdings matches the holdings of the MSCI World ex-U.S. Index (net) as closely as possible. FCI also acts as a subadviser to the Fund but does not provide day-to-day management.
| | |
| (2) | Summary of Significant Accounting Policies |
The Funds are investment companies and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies.”
The significant accounting policies followed by the Funds are as follows:
| | | |
| | (a) | Investments in Securities |
| | |
| | Investments in U.S. and foreign equity securities are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Foreign security values are stated in U.S. dollars. Equity securities which have not traded on the date of valuation or securities for which sales prices are not generally reported are valued at the mean between the last bid and asked prices. Debt securities are valued at the market price supplied by an independent pricing vendor provided such prices are believed to reflect the fair value of such securities. Shares of open end investment companies are valued at their daily net asset value (“NAV”). Securities for which no market quotations are readily available (including those for which trading has been suspended), or when the Adviser becomes aware that a significant event impacting the value of a security or group of securities has occurred after the closing of the exchange on which the security or securities principally trade, but before the calculation of the NAV, are valued at fair value as determined in good faith using procedures established by the Board of Trustees. This may occur particularly with respect to certain foreign securities held by the International Fund, whereby the Board of Trustees may use adjustment factors obtained from an independent evaluation service that are intended to reflect more accurately the fair value of these foreign securities as of the time the Fund’s NAV is calculated. The procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security. These procedures are used by the Valuation Committee, in accordance with the procedures established by the Board of Trustees, to determine the fair value of the security or securities. Such determinations are then submitted for review and ratification by the Board of Trustees. The use of fair valuation involves the risk that the values used by the Funds to price their investments may be higher or lower than the values used by other unaffiliated investment companies and investors to price the same investments. Security transactions are accounted for on the trade date, which is the date the securities are purchased or sold. Realized gains and losses are calculated on an identified cost basis. Dividend income is recognized on the ex-dividend date or, for foreign securities, as soon as the information is available. Interest income, including accretion of original issue discount and amortization of original issue premium, is accrued daily. |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | |
| | (b) | Foreign Currency Translation |
| | | |
| | The International Fund invests in securities which are purchased and sold in foreign currencies as a principal investment strategy. The costs of purchases, proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot market rate of exchange prevailing on the respective dates of such transactions. The value of the International Fund’s net assets, as measured in U.S. dollars, may be affected favorably or unfavorably by changes in foreign currency exchange rates and exchange control regulations. The gains or losses, if any, on investments resulting from changes in foreign exchange rates are recorded within net realized gain (loss) on security transactions and within net increase (decrease) in unrealized appreciation/depreciation on security transactions on the Statements of Operations. The realized gains or losses, if any, on translation of other assets and liabilities denominated in foreign currencies are recorded within net realized gain (loss) on foreign currency transactions on the Statements of Operations. The International Fund also will incur costs in converting U.S. dollars to local currencies, and vice versa. The International Fund therefore may enter into foreign currency transactions as a principal investment strategy. Risks may arise upon investing in foreign securities including, but not limited to, political, social or economic instability in the country of the issuer, the difficulty of predicting international trade patterns, the possibility of the imposition of exchange controls, expropriation, limits on removal of currency or other assets, nationalization of assets, foreign withholding and income tax and possible delays in the settlement of foreign stock exchange transactions. The principal markets on which these securities trade may have less volume and liquidity, and may be more volatile, than securities markets in the U.S. |
| | | |
| | (c) | Futures Contracts |
| | | |
| | The Core Equity Fund invests in long or short financial futures contracts for hedging purposes or to gain exposure to the equity market. When used as a hedge, the Fund will purchase and sell various kinds of futures contracts. The Fund will also enter into closing purchase and sale transactions with respect to any such futures contracts. The futures contracts may be based on various securities and securities indices. The Fund bears the market risk arising from changes in the value of these financial instruments. At the time the Fund enters into a futures contract, it is generally required to make a margin deposit with the custodian or broker of a specified amount of liquid assets. Futures are marked to market each day with the change in value reflected in the unrealized appreciation or depreciation. Risk may arise as a result of the potential inability of the counterparties to meet the terms of their contracts. Credit risk is mitigated to the extent that the exchange on which a particular futures contract is traded assumes the risk of a counterparty defaulting on its obligations under the contract. The Statements of Operations include any realized gains or losses on closed futures contracts within Net realized gains (losses) on futures contracts, and any unrealized gains or losses on open futures contracts within Net increase (decrease) in unrealized appreciation/depreciation on futures contracts. Additional information on derivative instruments and how these positions may impact the financial statements is found in Note 8, Derivative Instruments. |
| | | |
| | (d) | Forward Foreign Currency Exchange Contracts |
| | |
| | The International Fund enters into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge against adverse movements in foreign currency exchange rates, specific transactions or the portfolio position. The objective of the International Fund’s foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of the International Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. Forward foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in forward foreign currency |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | |
| | (d) | Forward Foreign Currency Exchange Contracts (continued) |
| | | |
| | exchange contracts within net increase (decrease) in unrealized appreciation/depreciation on the Statements of Operations. The International Fund records any realized gains or losses at the time the forward foreign currency exchange contract is offset by entering into a closing transaction with the same counterparty or is extinguished by delivery of the currency. Realized gains or losses, if any, are recorded within net realized gain (loss) on forward foreign currency exchange contracts on the Statements of Operations. Risks may arise upon entering into forward foreign currency exchange contracts from the potential of the issuer to default on its obligations under the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. The International Fund bears the market risk from changes in foreign currency exchange rates and the credit risk if the issuer fails to perform. Additional information on derivative instruments and how these positions may impact the financial statements is found in Note 8, Derivative Instruments. |
| | |
| | (e) | Spot Contracts |
| | |
| | The International Fund routinely enters into spot contracts in order to buy or sell a certain amount of foreign currency at the current market rate. The International Fund may enter into spot contracts in order to make payments, or to receive payments, based on investment trading activity in a foreign currency. A spot contract allows the International Fund to buy or sell foreign currency on the day it chooses to deal. From time to time, the Core Equity Fund may also enter into spot contracts in order to make or receive payments due to investment trading activity in a foreign currency on a non-U.S. exchange. Spot contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in translation of other assets and liabilities denominated in foreign currencies within net increase (decrease) in unrealized appreciation/depreciation on the Statements of Operations. Unrealized gains or losses on outstanding spot contracts are recorded in payables for investment securities purchased or receivable for securities sold, respectively, on the Statements of Assets and Liabilities. The Funds record any realized gains or losses at the time the spot contract settles. Realized gains or losses, if any, are included within net realized gain (loss) on foreign currency transactions on the Statements of Operations. Risks may arise upon entering into spot contracts from unanticipated movements in the value of a foreign currency relative to the U.S. dollar in a short period of time. The Funds bear the market risk from changes in foreign currency exchange rates. |
| | |
| | (f) | Master Limited Partnerships |
| | | |
| | The Core Equity and International Funds invest in Master Limited Partnerships (“MLPs”). The benefits derived from the Funds’ investments in MLPs are largely dependent on the MLPs being treated as partnerships for federal income tax purposes. If any of the MLPs held by the Funds were treated as corporations for U.S. federal income tax purposes, the after-tax return to the Funds with respect to their investments in such MLPs would be materially reduced, causing a decline in the value of the common stock. The Funds must include their allocable share of an MLP’s taxable income in their reportable taxable income, whether or not it receives a distribution in cash from the MLP. In such case, the Funds may have to liquidate securities to make required distributions to shareholders. |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | |
| | (g) | Delayed Delivery Transactions and When-Issued Securities |
| | | |
| | Certain Funds may engage in securities transactions on a when-issued or delayed-delivery basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations. When delayed-delivery purchases are outstanding, a Fund will segregate liquid assets on its records in amounts sufficient to meet the purchase price. A Fund may dispose of or renegotiate a delayed-delivery transaction, which may result in a capital gain or loss. |
| | | |
| | (h) | Short-Term Investments |
| | | |
| | Each Fund currently invests uninvested cash in money market portfolios of Northern Institutional Funds, an investment company advised by Northern Trust Investments, Inc. (“NTI”), a subsidiary of Northern Trust. The Core Equity, Small Companies and International Funds currently invest in the U.S. Government Select Portfolio and the Tax-Exempt Bond Fund currently invests in the Tax-Exempt Portfolio. The U.S. Government Select Portfolio primarily invests in securities issued by the U.S. government, government agencies, and government-sponsored enterprises. The Tax-Exempt Portfolio primarily invests in high-quality short-term municipal instruments. |
| | | |
| | (i) | Recoverable Taxes |
| | | |
| | The balances disclosed as foreign tax reclaim receivable, if any, represent net amounts withheld by foreign governments on dividend income earned in the respective countries subject to reclamation. All reclaims are paid directly to the applicable Funds. |
| | | |
| | (j) | Federal Taxes |
| | | |
| | The Trust’s policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies. On a calendar-year basis, the Funds intend to distribute substantially all of their net investment income and net realized gains, if any, to avoid the payment of federal income and excise taxes. Therefore, no income tax provision is required. Each Fund is treated as a separate entity for federal income tax purposes. Management has analyzed the Funds’ tax positions taken on federal tax returns for all open tax years and has concluded that as of December 31, 2015, no provision for income tax would be required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for the 2012, 2013, 2014 and 2015 tax years for which the applicable statutes of limitations have not expired remain subject to examination by the Internal Revenue Service and state departments of revenue. Net investment income and net realized gain (loss) for the Funds may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains, if any, may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gain (loss) were recorded by the Funds. The tax character of distributions paid by the Funds during the years ended December 31, 2015 and 2014 was as follows: |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | | | | | | | | | | | |
| | | Tax-Exempt | | | Ordinary Income |
| | | 2015 | | | 2014 | | | 2015 | | | 2014 | |
| Core Equity Fund | | $ | - | | | $ | - | | | $ | 7,656,214 | | | $ | 7,119,857 | |
| Small Companies Fund | | | - | | | | - | | | | 2,251,204 | | | | 4,041,973 | |
| Tax-Exempt Bond Fund | | | 21,378,310 | | | | 21,739,172 | | | | 449,770 | | | | 683,862 | |
| International Fund | | | - | | | | - | | | | 9,665,584 | | | | 13,341,732 | |
| | | | | | | | | | | | | | | | | |
| | | Long-Term Capital Gains | | | | | |
| | | 2015 | | | 2014 | | | | | | | | | |
| Core Equity Fund | | $ | 37,447,878 | | | $ | 17,853,920 | | | | | | | | | |
| Small Companies Fund | | | 32,947,975 | | | | 43,827,345 | | | | | | | | | |
| Tax-Exempt Bond Fund | | | 1,682,556 | | | | 350,149 | | | | | | | | | |
| International Fund | | | 2,640,682 | | | | 6,673,460 | | | | | | | | | |
As of December 31, 2015, the components of distributable earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | | |
| | | Core
Equity Fund | | | Small Companies
Fund | | | Tax-Exempt
Bond Fund | | | International
Fund | |
| Undistributed ordinary income | | $ | - | | | $ | - | | | $ | 1,801 | | | $ | 91,738 | |
| Undistributed capital gain | | | 701,742 | | | | 4,310,646 | | | | 16,964 | | | | 12,673 | |
| Accumulated capital losses | | | - | | | | - | | | | (32,254 | ) | | | (2,560,770 | ) |
| Unrealized appreciation | | | 222,813,647 | | | | 19,569,444 | | | | 27,069,343 | | | | 90,917,798 | |
| Total | | $ | 223,515,389 | | | $ | 23,880,090 | | | $ | 27,055,854 | | | $ | 88,461,439 | |
| | Distributions to shareholders from net investment income and net realized gain are determined in accordance with federal income tax regulations, which may differ from such amounts recorded in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) for financial reporting purposes. Accordingly, the Funds may make reclassifications among certain of their capital accounts in order to reflect the tax treatment for certain permanent differences that exist between federal income tax regulations and U.S. GAAP. These reclassifications are reported in order to reflect the tax treatment for certain permanent differences that exist between income tax regulations and U.S. GAAP. These reclassifications may relate to net operating losses, Section 988 currency gains and losses, Passive Foreign Investment Companies (“PFICs”) gains and losses and Partnerships gains and losses. The reclassifications utilized equalization accounting whereby a portion of redemption payments were treated as distributions. These reclassifications have no impact on the total net assets or the NAV per share of the Funds. At December 31, 2015, reclassifications have been recorded among the following capital accounts on the Statements of Assets and Liabilities: |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | | | | | | | | | | | | | | | |
| Equalization Reclassifications | | | | | | | | | | | | | | | | |
| | | Core
Equity Fund | | | Small Companies
Fund | | | Tax-Exempt
Bond Fund | | | International
Fund | |
| | | | | | | | | | | | | | | | | |
| Undistributed (overdistributed) net investment income | | $ | (455,826 | ) | | $ | 54,911 | | | $ | 59,396 | | | $ | 540,213 | |
| Accumulated net realized gain (loss) | | | (1,781,814 | ) | | | (1,655,224 | ) | | | (59,396 | ) | | | (540,213 | ) |
| APIC | | | 2,237,640 | | | | 1,600,313 | | | | - | | | | - | |
| | (k) | Distributions to Shareholders |
| | | |
| | Distributions to shareholders from net investment income, if any, are declared annually for the Core Equity, Small Companies, and International Funds and declared daily, payable monthly, for the Tax-Exempt Bond Fund. Distributions to shareholders from net realized gains, if any, are declared annually for all Funds. Distributions are paid in cash or reinvested in additional shares at the direction of the shareholders. During the year ended, December 31, 2015, Core Equity and Small Companies Funds had equalization that was applied to the distributions to shareholders, in order to keep remaining shareholders’ interest in undistributed income from being affected. Such equalization is recorded on the Statements of Changes in Net Assets. |
| | | |
| | (l) | Use of Estimates |
| | | |
| | The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the period. Actual results could differ from those estimates. |
| | | |
| | (m) | Indemnification |
| | | |
| | Under each Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to each Fund. In addition, certain of each Fund’s contracts with its service providers contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against each Fund cannot be determined and each Fund has no historical basis for predicting the likelihood of any such claims. |
| | |
| (3) | Fair Value Measurements |
| | |
| Fair value is an estimate of the price the Funds would receive upon selling a security in a timely transaction to an independent buyer in the principal or most advantageous market of the security. This guidance establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments, as described in Note 2(a) above. These inputs are summarized in the three broad levels listed below. |
| | |
| · | Level 1 – Unadjusted quoted market prices in active markets for identical securities on the measurement date. |
| | |
| · | Level 2 – Other significant observable inputs including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc. or quoted prices for identical or similar assets in markets that are not active. Inputs that are derived principally from or corroborated by observable market data are also considered |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | |
| | Level 2 measurement. An adjustment to any observable input that is significant to the fair value may render the measurement a Level 3 measurement. |
| | |
| · | Level 3 – Valuations based on unobservable inputs, which may include the Adviser’s own assumptions in determining the fair value of an investment. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following is a summary of the inputs used in valuing each Fund’s investments and other financial instruments, if any, which are carried at fair value, as of December 31, 2015.
| | | | | | | | | |
| | | Core Equity Fund (a) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| | | | | | | | | | | | | | | | | |
| Common Stocks | | $ | 475,501,959 | | | $ | - | | | $ | - | | | $ | 475,501,959 | |
| Master Limited Partnerships | | | 3,714,344 | | | | - | | | | - | | | | 3,714,344 | |
| Rights | | | - | | | | - | | | | 1,702 | | | | 1,702 | |
| Short-Term Investments | | | 10,519,384 | | | | - | | | | - | | | | 10,519,384 | |
| Total | | $ | 489,735,687 | | | $ | - | | | $ | 1,702 | | | $ | 489,737,389 | |
| | | |
| | (a) | For the Core Equity Fund, the investment value is comprised of equity securities, MLPs, rights and short-term investments. See the Fund’s Schedule of Investments for industry classification. Investments in equity, MLPs and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Investments in rights generally are determined by taking into account the terms of the rights as well as the value of the underlying equity securities, which are determined by the valuation methodology described above. Two rights were deemed Level 3 classifications, as their trading was suspended pending corporate actions and these rights were valued at period end using the applicable company’s internally determined prices, which also factored in the terms of the applicable corporate actions and third party valuations. The Core Equity Fund records all transfers between levels based on valuations at the end of each reporting period. At December 31, 2015, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2014. |
There were no significant Level 3 valuations for which significant unobservable valuations inputs were developed at December 31, 2015.
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | | | | | | | | | | | | | | | |
| | | Small Companies Fund (b) | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | $ | 280,712,243 | | | $ | - | | | $ | - | | | $ | 280,712,243 | |
| Investment Companies | | | 5,938,691 | | | | | | | | | | | | 5,938,691 | |
| Short-Term Investments | | | 17,783,263 | | | | - | | | | - | | | | 17,783,263 | |
| Total | | $ | 304,434,197 | | | $ | - | | | $ | - | | | $ | 304,434,197 | |
| | | |
| | (b) | For the Small Companies Fund, the investment value is comprised of equity securities and short-term investments. See the Fund’s Schedule of Investments for industry classification. Investments in equity and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. |
The Small Companies Fund records all transfers between levels based on valuations at the end of each reporting period. At December 31, 2015, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2014.
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | | | | | | | | | | | | |
| | | Tax-Exempt Bond Fund (c) | |
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Closed-End Funds | | $ | 27,464,532 | | $ | - | | $ | - | | $ | 27,464,532 | |
| Municipal Bonds | | | | | | | | | | | | | |
| Airport | | | - | | | 2,891,010 | | | - | | | 2,891,010 | |
| Bond Bank | | | - | | | 2,436,791 | | | - | | | 2,436,791 | |
| Development | | | - | | | 33,040,543 | | | 296,001 | | | 33,336,544 | |
| Education | | | - | | | 39,788,959 | | | - | | | 39,788,959 | |
| Facilities | | | - | | | 3,573,931 | | | - | | | 3,573,931 | |
| General | | | - | | | 46,241,532 | | | 5,115 | | | 46,246,647 | |
| General Obligation | | | - | | | 20,489,054 | | | - | | | 20,489,054 | |
| Higher Education | | | - | | | 19,254,759 | | | - | | | 19,254,759 | |
| Housing | | | - | | | 34,957,899 | | | - | | | 34,957,899 | |
| Medical | | | - | | | 45,552,425 | | | 98,000 | | | 45,650,425 | |
| Mello-Roos | | | - | | | 2,044,510 | | | - | | | 2,044,510 | |
| Multifamily Housing | | | - | | | 34,066,726 | | | - | | | 34,066,726 | |
| Nursing Home | | | - | | | 50,403,430 | | | - | | | 50,403,430 | |
| Power | | | - | | | 4,689,336 | | | - | | | 4,689,336 | |
| School District | | | - | | | 31,283,246 | | | - | | | 31,283,246 | |
| Single Family Housing | | | - | | | 75,250,339 | | | - | | | 75,250,339 | |
| Student Loan | | | - | | | 2,272,500 | | | - | | | 2,272,500 | |
| Tobacco Settlement | | | - | | | 731,016 | | | - | | | 731,016 | |
| Transportation | | | - | | | 9,597,627 | | | - | | | 9,597,627 | |
| Utilities | | | - | | | 1,978,578 | | | - | | | 1,978,578 | |
| Water | | | - | | | 8,046,389 | | | - | | | 8,046,389 | |
| Short-Term Investments | | | 14,220,233 | | | - | | | - | | | 14,220,233 | |
| Total | | $ | 41,684,765 | | $ | 468,590,600 | | $ | 399,116 | | $ | 510,674,481 | |
| | (c) | For the Tax-Exempt Bond Fund, the investment value is comprised of closed-end funds, municipal bonds, and short-term investments. Investments in closed-end funds and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Investments in municipal bonds generally are based on valuations using adjusted evaluated prices provided by the primary pricing provider. The Board of Trustees has delegated to the Valuation Committee the responsibility to determine in good faith the fair value of securities for which no price quotation is available from an approved pricing service or broker-dealer at the time the Tax-Exempt Bond Fund’s NAV is calculated, including securities for which the prices do not represent fair value or for which a significant event occurs that materially affects the value of the security after the close of the market on which the security principally trades and before the time the Tax-Exempt Bond Fund’s NAV is calculated. |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
As of December 31, 2015, the Valuation Committee determined the fair valuation of municipal bonds based on inputs such as the last traded price at the time of significant events or the default of a municipal bond in addition to the consideration of recent developments relating to a credit review of a municipal bond as well as observations and the nature of similar securities which are not currently openly traded in the active market. Such investments have been classified as Level 3 instruments.
The Tax-Exempt Bond Fund records all transfers between levels based on valuations at the end of each reporting period. At December 31, 2015, the Tax-Exempt Bond Fund there were no transfers from Level 1 to Level 2 classifications based on levels assigned to the securities on December 31, 2014.
There were no significant Level 3 valuations for which significant unobservable valuations inputs were developed at December 31, 2015.
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | | | | | | | | | | | | |
| | | International Fund (d) | |
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| | | | | | | | | | | | | | |
| Common Stocks | | | | | | | | | | | | | |
| Hong Kong | | $ | 15,042,034 | | $ | - | | $ | - | | $ | 15,042,034 | |
| Thailand | | | - | | | 638,534 | | | - | * | | 638,534 | |
| All other countries | | | 448,035,613 | | | - | | | - | | | 448,035,613 | |
| Master Limited Partnerships | | | 1,632,693 | | | - | | | - | | | 1,632,693 | |
| Preferred Stock | | | 2,729,012 | | | - | | | - | | | 2,729,012 | |
| Rights | | | | | | | | | | | | | |
| Singapore | | | - | | | 51 | | | - | | | 51 | |
| Investment Companies | | | 919,080 | | | - | | | - | | | 919,080 | |
| Short-Term Investments | | | 17,987,135 | | | - | | | - | | | 17,987,135 | |
| Total | | $ | 486,345,567 | | $ | 638,585 | | $ | - | | $ | 486,984,152 | |
*Security is worth less than $1.
| | (d) | For the International Fund, the investment value is comprised of equity securities, MLPs, rights, investment companies and short-term investments. See the Fund’s Schedule of Investments for additional information on industry sector and currency concentration information. Investments in equity, MLPs, investment companies and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Investments in rights are generally determined by taking into account the terms of the rights as well as the value of the underlying equity securities, which are determined by the valuation methodology described above. At December 31, 2015, two rights were theoretically valued based on the terms of such rights and the valuations of the underlying securities, resulting in Level 2 classifications. Two Thailand based securities were valued based on the prices of similar securities as there was not any active trading on the securities’ foreign lines resulting in Level 2 classifications. |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | | | | | | | | | | | | |
| International Fund | | | | | | | | | | | | | |
| Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Assets | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts | | $ | - | | $ | 51,181 | | $ | - | | $ | 51,181 | |
| | | | | | | | | | | | | | |
| Liabilities | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts | | | - | | | (45,312 | ) | | - | | | (45,312 | ) |
| | | | | | | | | | | | | | |
| Net Other Financial Instruments | | $ | - | | $ | 5,869 | | $ | - | | $ | 5,869 | |
The forward foreign currency exchange contracts outstanding at December 31, 2015 are considered Level 2 investments due to the contracts being marked-to-market daily at the applicable exchange rates that have been adjusted from the initial quoted rate. Forward foreign currency exchange contracts are shown on a gross basis in the above table and on the Statements of Assets and Liabilities.
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
The International Fund records all transfers between levels based on valuations at the end of each reporting period.
At December 31, 2015, the International Fund had transfers from Level 2 to Level 1 classifications from December 31, 2014 to December 31, 2015 as disclosed below:
| | | | | | |
| Transfers from Level 2 to Level 1 |
| Country | | Value | | Reason |
| Common Stocks | | | | | |
| Australia | | $ | 21,183,904 | | Unadjusted valuations at last trade or closing price |
| Austria | | | 1,004,600 | | Unadjusted valuations at last trade or closing price |
| Belgium | | | 5,602,775 | | Unadjusted valuations at last trade or closing price |
| Brazil | | | 1,931,295 | | Unadjusted valuations at last trade or closing price |
| Canada | | | 23,331,009 | | Unadjusted valuations at last trade or closing price |
| Chile | | | 96,519 | | Unadjusted valuations at last trade or closing price |
| China | | | 7,436,242 | | Unadjusted valuations at last trade or closing price |
| Denmark | | | 11,624,111 | | Unadjusted valuations at last trade or closing price |
| Finland | | | 4,525,544 | | Unadjusted valuations at last trade or closing price |
| France | | | 23,973,239 | | Unadjusted valuations at last trade or closing price |
| Germany | | | 24,883,538 | | Unadjusted valuations at last trade or closing price |
| Greece | | | 67,740 | | Unadjusted valuations at last trade or closing price |
| Hong Kong | | | 13,586,046 | | Unadjusted valuations at last trade or closing price |
| Ireland | | | 3,791,342 | | Unadjusted valuations at last trade or closing price |
| Israel | | | 384,400 | | Unadjusted valuations at last trade or closing price |
| Italy | | | 7,193,424 | | Unadjusted valuations at last trade or closing price |
| Japan | | | 67,134,346 | | Unadjusted valuations at last trade or closing price |
| Mexico | | | 49,828 | | Unadjusted valuations at last trade or closing price |
| Netherlands | | | 13,306,760 | | Unadjusted valuations at last trade or closing price |
| New Zealand | | | 265,665 | | Unadjusted valuations at last trade or closing price |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| | | | | | |
| Transfers from Level 2 to Level 1 |
| Country | | | Value | | Reason |
| Norway | | $ | 2,771,201 | | Unadjusted valuations at last trade or closing price |
| Philippines | | | 661,144 | | Unadjusted valuations at last trade or closing price |
| Portugal | | | 317,027 | | Unadjusted valuations at last trade or closing price |
| Singapore | | | 2,762,532 | | Unadjusted valuations at last trade or closing price |
| South Africa | | | 2,290,079 | | Unadjusted valuations at last trade or closing price |
| South Korea | | | 7,248,488 | | Unadjusted valuations at last trade or closing price |
| Spain | | | 8,565,934 | | Unadjusted valuations at last trade or closing price |
| Sweden | | | 5,605,363 | | Unadjusted valuations at last trade or closing price |
| Switzerland | | | 32,099,820 | | Unadjusted valuations at last trade or closing price |
| Taiwan | | | 1,566,597 | | Unadjusted valuations at last trade or closing price |
| United Kingdom | | | 67,626,578 | | Unadjusted valuations at last trade or closing price |
| United States | | | 552,541 | | Unadjusted valuations at last trade or closing price |
| Preferred Stock | | | | | |
| Germany | | | 1,256,241 | | Unadjusted valuations at last trade or closing price |
| South Korea | | | 190,742 | | Unadjusted valuations at last trade or closing price |
| Total | | $ | 364,886,614 | | |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| (4) | Investment Security Transactions |
The cost of purchases and proceeds from sales of securities (excluding short-term securities) for the year ended December 31, 2015, were as follows:
| | | | | | | | |
| | | Purchases | | Sales | |
| Core Equity Fund | | $ | 481,571,843 | | $ | 520,939,178 | |
| Small Companies Fund | | | 182,491,802 | | | 207,437,136 | |
| Tax-Exempt Bond Fund | | | 92,838,129 | | | 94,042,886 | |
| International Fund | | | 105,693,699 | | | 89,811,560 | |
| (5) | Capital Share Transactions |
Transactions in capital shares for the fiscal year ended December 31, 2015 and the fiscal year ended December 31, 2014, were as follows:
| | | | | | | | | | | | | | |
| | | Core Equity Fund | | Small Companies Fund | |
| | | 2015 | | 2014 | | 2015 | | 2014 | |
| Sold | | | 167,034 | | | 76,703 | | | 1,163,619 | | | 375,718 | |
| Issued for reinvestment of distributions | | | 1,281,731 | | | 625,596 | | | 2,070,540 | | | 2,336,228 | |
| Redeemed | | | (1,333,010 | ) | | (823,611 | ) | | (2,262,541 | ) | | (1,611,217 | ) |
| Net Increase (decrease) | | | 115,755 | | | (121,312 | ) | | 971,618 | | | 1,100,729 | |
| | | | | | | | | | | | | | |
| | | Tax-Exempt Bond Fund | | International Fund | |
| | | 2015 | | 2014 | | 2015 | | 2014 | |
| Sold | | | 2,331,345 | | | 1,888,829 | | | 2,003,543 | | | 897,252 | |
| Issued for reinvestment of distributions | | | 2,431,950 | | | 2,303,187 | | | 894,351 | | | 1,374,670 | |
| Redeemed | | | (4,258,540 | ) | | (4,609,524 | ) | | (1,314,000 | ) | | (1,309,596 | ) |
| Net Increase (decrease) | | | 504,755 | | | (417,508 | ) | | 1,583,894 | | | 962,326 | |
| (6) | Capital Loss Carryforward |
For the period subsequent to October 31, 2015 through the fiscal year ended December 31, 2015, the following Funds incurred net capital losses, and/or Section 988 currency losses which each Fund intends to treat as having been incurred in the following fiscal year:
| | | | | | | | | | | |
| | | Short-Term | | Long-Term | | Total | |
| Core Equity Fund | | $ | - | | $ | - | | $ | - | |
| Small Companies Fund | | | - | | | - | | | - | |
| Tax-Exempt Bond Fund | | | (46,837 | ) | | 79,091 | | | 32,254 | |
| International Fund | | | 1,158,372 | | | 1,402,398 | | | 2,560,770 | |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| (7) | Expenses and Related-Party Transactions |
The Trust has a contract for investment advisory services with the Adviser. Under terms of separate agreements, Core Equity Fund, Small Companies Fund, Tax-Exempt Bond Fund and International Fund each pay an investment advisory fee equal to an annual rate of 0.90%, 1.35%, 0.60% and 1.00%, respectively, of each Fund’s average daily net assets. The Adviser is responsible for the payment or reimbursement of all the Funds’ expenses, except brokerage, taxes, interest, and extraordinary expenses. The Adviser has periodically modified its management fee for each of the Funds through voluntary waivers. Effective March 16, 2015, the voluntary waiver for the Core Equity Fund was increased to 0.50%, while the voluntary waivers for the Small Companies, Tax-Exempt Bond and International Funds were reduced to 0.37%, 0.26% and 0.31%, respectively. For the year ended December 31, 2015, the management fees actually paid by the Core Equity, Small Companies, Tax-Exempt Bond and International Funds, net of voluntary waivers, are 0.44%, 0.96%, 0.34% and 0.68%, respectively. As of December 31, 2015, the management fees in place, net of voluntary waivers, for the Core Equity, Small Companies, Tax-Exempt Bond, and International Funds are 0.40%, 0.98%, 0.34%, and 0.69%, respectively. The Adviser currently intends to continue these voluntary waivers indefinitely. However, the Adviser may terminate these voluntary arrangements at any time.
In addition to fees and expenses which the Funds bear directly, the Funds indirectly bear a pro rata share of the fees and expenses of any acquired funds in which they invest, such as short-term investments in mutual funds or other investment companies and investments in closed-end funds. Such indirect expenses are not included in any of the reported expense ratios.
The Adviser has entered into subadvisory contracts with independent investment advisory firms for each Fund to provide daily investment management services. The subadvisory fees are based on each subadviser’s proportional net assets it currently manages within each Fund and are paid directly by the Adviser. For each subadviser, the fee schedule is detailed according to the following schedule:
The subadvisory fee for the Core Equity Fund, payable to Parametric and OSAM is equal to an annual rate of 0.15% and 0.35% of the portions of net assets managed, respectively.
Effective January 29, 2015, the subadvisory fee for the Core Equity Fund, payable to Osterweis for Osterweis’s portion of net assets managed was changed and is now based on the annual rates in the below table. Prior to January 29, 2015, the subadvisory fee payable to Osterweis was equal to an annual rate of 0.75% of the portion of net assets managed.
| | Osterweis |
| First $25 Million | 0.75% |
| Next $75 Million | 0.65% |
| Over $100 Million | 0.55% |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
The subadvisory fee for the Core Equity Fund, payable to AQR for AQR’s portion of net assets managed is based on the following annual rates:
| | AQR |
| All assets while assets are below $100 Million | 0.375% |
| All assets while assets are at or above $100 Million | 0.35% |
The subadvisory fee for the Small Companies Fund, payable to Kennedy and Keeley for each of their respective portions of net assets managed is based on the following annual rates:
| | Kennedy |
| First $50 Million | 0.85% |
| Over $50 Million | 0.80% |
| | |
| | Keeley |
| First $2 Million | 1.00% |
| Next $8 Million | 0.85% |
| Over $10 Million | 0.70% |
The subadvisory fee for the Tax-Exempt Bond Fund, payable to Sit for Sit’s portion of net assets managed is based on the following annual rates:
| | Sit |
| First $20 Million | 0.40% |
| Next $30 Million | 0.30% |
| Next $25 Million | 0.25% |
| Next $175 Million | 0.20% |
| Over $250 Million | 0.18% |
The subadvisory fee for the International Fund, payable to Parametric and WCM, is equal to an annual rate of 0.15% and 0.80% of the portions of net assets managed, respectively.
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
The subadvisory fee for the International Fund, payable to Artisan Partners, Denver, and Templeton for each of their respective portions of net assets managed is based on the following annual rates:
| | Artisan Partners |
| First $50 Million | 0.80% |
| Next $50 Million | 0.60% |
| Over $100 Million | 0.50% |
| | |
| | Denver |
| First $10 Million | 1.25% |
| Over $10 Million | 0.85% |
| | |
| | Templeton |
| First $25 Million | 0.95% |
| Next $25 Million | 0.85% |
| Next $50 Million | 0.75% |
| Next $150 Million | 0.65% |
| Next $250 Million | 0.55% |
| Over $500 Million | 0.50% |
The Adviser has also engaged FCI as a subadviser for each Fund. FCI regularly provides the Funds with various investment-related services, including investment strategy advice, manager recommendations and related duties as requested by the Adviser. FCI also provides certain services related to due diligence, performance reporting, compliance, and other administrative functions, which support the investment management services and subadviser oversight services provided to the Trust by the Adviser. For its services, FCI is compensated with a subadvisory fee payable by the Adviser of 0.20% of each Fund’s average daily net assets, paid on a quarterly basis. FCI is compensated out of the investment advisory fees the Adviser receives from the respective Funds. FCI has agreed to waive the difference between the amount calculated under the subadvisory fee schedule and an amount determined by multiplying the total number of hours worked by FCI in providing services under the subadvisory agreement by an hourly rate that is approved by the Adviser.
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
| (8) | Derivative Instruments |
Information concerning the types of derivatives in which the Core Equity Fund and the International Fund invests, the objectives for using them and their related risks can be found in Note 2 (c) and (d). Below are the types of derivatives held in the International Fund by location as presented in the Statements of Assets and Liabilities as of December 31, 2015, with additional detail on the net amounts impacting the Statements of Assets and Liabilities. The forward foreign currency exchange contracts presented below are not subject to master netting agreements or other similar agreements. There were no derivative instruments held in the Core Equity Fund as of December 31, 2015.
| | | | | | | | | | | | | | | | | | |
| ASSETS | | | LIABILITIES |
| Name of Fund | | Derivative Type | | Statements of Assets and
Liabilities Location | | Value | | Statements of Assets and
Liabilities Location | | Value | | Net Amounts of
Assets Presented
in the Statements
of Assets and
Liabilities | | Counterparty |
| International Fund | | Forward foreign currency exchange contracts | | Unrealized appreciation on forward foreign currency exchange contracts | | $ | 51,181 | | Unrealized depreciation on forward foreign currency exchange contracts | | $ | 45,312 | | $ | 5,869 | | Northern Trust |
The following tables set forth by primary risk exposure the Core Equity Fund’s net realized gain (loss) on futures contracts and the International Fund’s net realized gain (loss) and net increase (decrease) in appreciation/depreciation on forward foreign currency exchange contracts for the fiscal year ended December 31, 2015:
| | | | | | | | | | | | | | | | | | |
| Name of Fund | | Derivative Type | | Statements of
Operations Location | | Value | | Name of Fund | | Derivative Type | | Statements of Operations
Location | | Value | |
| Core Equity Fund | | Equity index futures contracts | | Net realized gain (loss) on futures contracts | | $ | (10,606 | ) | Core Equity Fund | | Equity index futures contracts | | Net increase (decrease) in unrealized appreciation/depreciation on futures contracts | | $ | - | |
| | | | | | | | | | | | | | | | | | |
| International Fund | | Forward foreign currency exchange contracts | | Net realized gain (loss) loss on forward foreign currency exchange contracts | | $ | 475,193 | | International Fund | | Forward foreign currency exchange contracts | | Net increase (decrease) in unrealized appreciation/depreciation on forward foreign currency exchange contracts | | $ | (508,234 | ) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2015
Derivative transactions are measured in terms of the notional amount. The following table presents, for the Core Equity Fund, the number of transactions and weighted average notional amounts of equity index futures contracts and, for the International Fund, the number of transactions and weighted average notional amounts of forward foreign currency exchange contracts, which is indicative of the volume of derivative activity, for the fiscal year ended December 31, 2015.
| | | | | | | | | | | |
| Core Equity Fund | | | International Fund | |
Equity Index
Futures Contracts | | | Forward Foreign Currency
Exchange Contracts | |
Number of
Transactions | | Weighted
Average Notional
Amount | | | Number of
Transactions | | Weighted
Average Notional
Amount | |
| 1 | | $ | 3,464,436 | | | 10 | | $ | 130,918,741 | |
Management has evaluated subsequent events relating to the Funds through the date the financial statements were available to be issued, and has concluded that the following subsequent event took place: Effective January 1, 2016 the annual rates on which the subadvisory fee payable to AQR for AQR’s portion of net assets managed for the Core Equity Fund are based were changed from: All assets while assets are below $100 Million – 0.375% and all assets while assets are at or above $100 Million – 0.35% to 0.35% flat rate.
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Common Stocks: | | | | | | | | | | | |
| | Consumer Discretionary: | | | | | | | | | | |
| | 3,287 | | AARON’S, INC. | | $ | 111,298 | | | 73,596 | | | | |
| | 3,000 | | ADVANCE AUTO PARTS, INC. | | | 288,060 | | | 451,530 | | | | |
| | 6,544 | | AMAZON.COM, INC.(b) | | | 483,157 | | | 4,423,024 | | | | |
| | 4,920 | | AMC NETWORKS, INC., CLASS A(b) | | | 271,744 | | | 367,426 | | | | |
| | 3,300 | | AMERICAN EAGLE OUTFITTERS, INC. | | | 33,099 | | | 51,150 | | | | |
| | 1,300 | | AUTOLIV, INC.(c) | | | 29,595 | | | 162,201 | | | | |
| | 3,709 | | AUTONATION, INC.(b) | | | 232,500 | | | 221,279 | | | | |
| | 1,739 | | AUTOZONE, INC.(b) | | | 1,001,211 | | | 1,290,181 | | | | |
| | 36,979 | | BED BATH & BEYOND, INC.(b) | | | 1,883,185 | | | 1,784,237 | | | | |
| | 1,400 | | BIG LOTS, INC. | | | 15,477 | | | 53,956 | | | | |
| | 4,400 | | BORGWARNER, INC. | | | 51,799 | | | 190,212 | | | | |
| | 750 | | BRINKER INTERNATIONAL, INC. | | | 10,084 | | | 35,962 | | | | |
| | 2,178 | | BRUNSWICK CORP. | | | 114,880 | | | 110,011 | | | | |
| | 15,960 | | CABELA’S, INC.(b) | | | 655,925 | | | 745,811 | | | | |
| | 300 | | CABLE ONE, INC. | | | 113,966 | | | 130,098 | | | | |
| | 4,168 | | CARMAX, INC.(b) | | | 50,984 | | | 224,947 | | | | |
| | 10,233 | | CARNIVAL CORP. | | | 477,313 | | | 557,494 | | | | |
| | 1,877 | | CARTER’S, INC. | | | 163,750 | | | 167,109 | | | | |
| | 39,755 | | CBS CORP., CLASS B (NON VOTING) | | | 1,543,797 | | | 1,873,653 | | | | |
| | 12,870 | | CHARTER COMMUNICATIONS, INC., CLASS A(b) | | | 1,695,797 | | | 2,356,497 | | | | |
| | 600 | | CHICO’S FAS, INC. | | | 5,619 | | | 6,402 | | | | |
| | 41,844 | | CINEMARK HOLDINGS, INC. | | | 951,055 | | | 1,398,845 | | | | |
| | 9,400 | | CLEAR CHANNEL OUTDOOR HOLDINGS, INC., CLASS A(b) | | | 8,052 | | | 52,546 | | | | |
| | 5,000 | | COACH, INC. | | | 19,161 | | | 163,650 | | | | |
| | 30,200 | | COMCAST CORP., CLASS A | | | 469,412 | | | 1,704,186 | | | | |
| | 1,345 | | CST BRANDS, INC. | | | 11,311 | | | 52,643 | | | | |
| | 13,874 | | D.R. HORTON, INC. | | | 294,006 | | | 444,384 | | | | |
| | 5,793 | | DARDEN RESTAURANTS, INC. | | | 242,013 | | | 368,667 | | | | |
| | 7,148 | | DELPHI AUTOMOTIVE PLC(c) | | | 594,295 | | | 612,798 | | | | |
| | 2,400 | | DEVRY EDUCATION GROUP, INC. | | | 44,808 | | | 60,744 | | | | |
| | 7,787 | | DICK’S SPORTING GOODS, INC. | | | 302,168 | | | 275,270 | | | | |
| | 4,666 | | DISCOVERY COMMUNICATIONS, INC., CLASS A(b) | | | 131,865 | | | 124,489 | | | | |
| | 5,117 | | DOLLAR GENERAL CORP. | | | 349,426 | | | 367,759 | | | | |
| | 17,992 | | DOLLAR TREE, INC.(b) | | | 923,396 | | | 1,389,342 | | | | |
| | 900 | | DOMINO’S PIZZA, INC. | | | 90,041 | | | 100,125 | | | | |
| | 8,385 | | DSW, INC., CLASS A | | | 205,950 | | | 200,066 | | | | |
| | 3,710 | | EXPEDIA, INC. | | | 274,189 | | | 461,153 | | | | |
| | 13,992 | | FOOT LOCKER, INC. | | | 722,804 | | | 910,739 | | | | |
| | 71,768 | | FORD MOTOR CO. | | | 548,534 | | | 1,011,211 | | | | |
| | 9,868 | | GAMESTOP CORP., CLASS A | | | 281,290 | | | 276,699 | | | | |
| | 2,850 | | GANNETT CO., INC. | | | 10,265 | | | 46,426 | | | | |
| | 4,100 | | GAP (THE), INC. | | | 58,946 | | | 101,270 | | | | |
| | 2,200 | | GARMIN LTD.(c) | | | 40,557 | | | 81,774 | | | | |
| | 9,726 | | GENERAL MOTORS CO. | | | 336,306 | | | 330,781 | | | | |
| | 21,679 | | GENTEX CORP. | | | 214,551 | | | 347,081 | | | | |
| | 4,250 | | GENUINE PARTS CO. | | | 179,436 | | | 365,032 | | | | |
| | 6,788 | | GNC HOLDINGS, INC., CLASS A | | | 202,358 | | | 210,564 | | | | |
| | 12,145 | | GOODYEAR TIRE & RUBBER (THE) CO. | | | 377,069 | | | 396,777 | | | | |
| | 45,678 | | GROUPON, INC.(b) | | | 167,189 | | | 140,231 | | | | |
| | 11,540 | | H&R BLOCK, INC. | | | 146,952 | | | 384,397 | | | | |
| | 2,000 | | HANESBRANDS, INC. | | | 10,393 | | | 58,860 | | | | |
| | 6,750 | | HARLEY-DAVIDSON, INC. | | | 39,547 | | | 306,382 | | | | |
| | 4,300 | | HARMAN INTERNATIONAL INDUSTRIES, INC. | | | 74,798 | | | 405,103 | | | | |
| | 4,704 | | HASBRO, INC. | | | 336,763 | | | 316,861 | | | | |
| | 48,111 | | HOME DEPOT (THE), INC. | | | 2,193,710 | | | 6,362,680 | | | | |
| | 15,600 | | INTERPUBLIC GROUP OF (THE) COS., INC. | | | 40,950 | | | 363,168 | | | | |
| | 107 | | J. ALEXANDER’S HOLDINGS, INC.(b) | | | 481 | | | 1,168 | | | | |
| | 7,404 | | J.C. PENNEY CO., INC.(b) | | | 67,698 | | | 49,311 | | | | |
| | 3,150 | | JARDEN CORP.(b) | | | 25,277 | | | 179,928 | | | | |
| | 1,100 | | JOHNSON CONTROLS, INC. | | | 27,632 | | | 43,439 | | | | |
| | 14,386 | | KOHL’S CORP. | | | 408,272 | | | 685,205 | | | | |
| | 18,563 | | L BRANDS, INC. | | | 1,170,498 | | | 1,778,707 | | | | |
| | 2,338 | | LAS VEGAS SANDS CORP. | | | 14,654 | | | 102,498 | | | | |
| | 10,022 | | LEAR CORP. | | | 983,800 | | | 1,231,002 | | | | |
| | 1,800 | | LEGGETT & PLATT, INC. | | | 79,087 | | | 75,636 | | | | |
| | 2,900 | | LENNAR CORP., CLASS A | | | 38,265 | | | 141,839 | | | | |
| | 783 | | LIBERTY BROADBAND CORP., CLASS A(b) | | | 1,186 | | | 40,442 | | | | |
See accompanying notes to the financial statements. | 31 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Consumer Discretionary (Cont’d): | | | | | | | | | | |
| | 1,566 | | LIBERTY BROADBAND CORP., CLASS C(b) | | $ | 2,222 | | | 81,213 | | | | |
| | 291 | | LIBERTY GLOBAL PLC LILAC, CLASS A(b)(c) | | | 2,824 | | | 12,039 | | | | |
| | 368 | | LIBERTY GLOBAL PLC LILAC, CLASS C(b)(c) | | | 4,387 | | | 15,824 | | | | |
| | 5,832 | | LIBERTY GLOBAL PLC, CLASS A(b)(c) | | | 48,578 | | | 247,044 | | | | |
| | 41,239 | | LIBERTY GLOBAL PLC, SERIES C(b)(c) | | | 1,430,734 | | | 1,681,314 | | | | |
| | 75,965 | | LIBERTY INTERACTIVE CORP. QVC GROUP, CLASS A(b) | | | 1,107,115 | | | 2,075,364 | | | | |
| | 3,132 | | LIBERTY MEDIA CORP., CLASS A(b) | | | 3,690 | | | 122,931 | | | | |
| | 6,264 | | LIBERTY MEDIA CORP., CLASS C(b) | | | 6,877 | | | 238,533 | | | | |
| | 1,580 | | LIBERTY TRIPADVISOR HOLDINGS, INC., CLASS A(b) | | | 11,997 | | | 47,937 | | | | |
| | 2,973 | | LIBERTY VENTURES, SERIES A(b) | | | 15,728 | | | 134,112 | | | | |
| | 1,200 | | LKQ CORP.(b) | | | 14,970 | | | 35,556 | | | | |
| | 33,118 | | LOWE’S COS., INC. | | | 1,817,686 | | | 2,518,293 | | | | |
| | 10,249 | | MACY’S, INC. | | | 289,607 | | | 358,510 | | | | |
| | 4,764 | | MAGNA INTERNATIONAL, INC.(c) | | | 236,572 | | | 193,228 | | | | |
| | 7,705 | | MARRIOTT INTERNATIONAL, INC., CLASS A | | | 268,964 | | | 516,543 | | | | |
| | 496 | | MARRIOTT VACATIONS WORLDWIDE CORP. | | | 3,643 | | | 28,247 | | | | |
| | 10,507 | | MCDONALD’S CORP. | | | 405,723 | | | 1,241,297 | | | | |
| | 6,600 | | MGM RESORTS INTERNATIONAL(b) | | | 54,921 | | | 149,952 | | | | |
| | 9,564 | | MICHAELS (THE) COS., INC.(b) | | | 219,830 | | | 211,460 | | | | |
| | 896 | | MOHAWK INDUSTRIES, INC.(b) | | | 83,327 | | | 169,693 | | | | |
| | 600 | | MURPHY USA, INC.(b) | | | 4,392 | | | 36,444 | | | | |
| | 4,900 | | NETFLIX, INC.(b) | | | 41,142 | | | 560,462 | | | | |
| | 2,200 | | NEWELL RUBBERMAID, INC. | | | 26,950 | | | 96,976 | | | | |
| | 6,475 | | NEWS CORP., CLASS A | | | 28,965 | | | 86,506 | | | | |
| | 41,690 | | NIKE, INC., CLASS B | | | 1,455,626 | | | 2,605,625 | | | | |
| | 4,300 | | NORDSTROM, INC. | | | 45,233 | | | 214,183 | | | | |
| | 100 | | NVR, INC.(b) | | | 128,601 | | | 164,300 | | | | |
| | 2,195 | | OMNICOM GROUP, INC. | | | 52,802 | | | 166,074 | | | | |
| | 6,970 | | O’REILLY AUTOMOTIVE, INC.(b) | | | 1,096,083 | | | 1,766,337 | | | | |
| | 1,500 | | PANERA BREAD CO., CLASS A(b) | | | 69,667 | | | 292,170 | | | | |
| | 2,782 | | PENSKE AUTOMOTIVE GROUP, INC. | | | 134,562 | | | 117,790 | | | | |
| | 800 | | PRICELINE GROUP (THE), INC.(b) | | | 194,799 | | | 1,019,960 | | | | |
| | 14,100 | | PULTEGROUP, INC. | | | 58,797 | | | 251,262 | | | | |
| | 2,881 | | PVH CORP. | | | 232,484 | | | 212,186 | | | | |
| | 1,500 | | RALPH LAUREN CORP. | | | 31,320 | | | 167,220 | | | | |
| | 3,000 | | REGAL ENTERTAINMENT GROUP, CLASS A | | | 26,428 | | | 56,610 | | | | |
| | 16,426 | | ROSS STORES, INC. | | | 387,477 | | | 883,883 | | | | |
| | 6,200 | | ROYAL CARIBBEAN CRUISES LTD. | | | 152,757 | | | 627,502 | | | | |
| | 10,400 | | SERVICE CORP. INTERNATIONAL | | | 74,152 | | | 270,608 | | | | |
| | 11,700 | | SKECHERS U.S.A., INC., CLASS A(b) | | | 240,497 | | | 353,457 | | | | |
| | 23,117 | | STAPLES, INC. | | | 310,563 | | | 218,918 | | | | |
| | 57,606 | | STARBUCKS CORP. | | | 1,734,164 | | | 3,458,088 | | | | |
| | 710 | | STARWOOD HOTELS & RESORTS WORLDWIDE, INC. | | | 14,193 | | | 49,189 | | | | |
| | 19,301 | | TARGET CORP. | | | 924,869 | | | 1,401,446 | | | | |
| | 5,700 | | TEGNA, INC. | | | 40,935 | | | 145,464 | | | | |
| | 1,000 | | TEMPUR SEALY INTERNATIONAL, INC.(b) | | | 31,500 | | | 70,460 | | | | |
| | 2,000 | | TESLA MOTORS, INC.(b) | | | 137,158 | | | 480,020 | | | | |
| | 3,906 | | THOR INDUSTRIES, INC. | | | 130,245 | | | 219,322 | | | | |
| | 4,200 | | TIFFANY & CO. | | | 122,192 | | | 320,418 | | | | |
| | 5,679 | | TIME WARNER CABLE, INC. | | | 183,138 | | | 1,053,966 | | | | |
| | 21,033 | | TIME WARNER, INC. | | | 457,012 | | | 1,360,204 | | | | |
| | 2,629 | | TIME, INC. | | | 19,683 | | | 41,196 | | | | |
| | 16,572 | | TJX (THE) COS., INC. | | | 540,209 | | | 1,175,121 | | | | |
| | 1,466 | | TOPBUILD CORP.(b) | | | 11,809 | | | 45,109 | | | | |
| | 2,204 | | TRACTOR SUPPLY CO. | | | 197,520 | | | 188,442 | | | | |
| | 54,890 | | TRI POINTE GROUP, INC.(b) | | | 784,594 | | | 695,456 | | | | |
| | 2,210 | | TRIPADVISOR, INC.(b) | | | 42,908 | | | 188,403 | | | | |
| | 12,400 | | TWENTY-FIRST CENTURY FOX, INC., CLASS A | | | 79,285 | | | 336,784 | | | | |
| | 600 | | ULTA SALON COSMETICS & FRAGRANCE, INC.(b) | | | 79,252 | | | 111,000 | | | | |
| | 1,000 | | UNDER ARMOUR, INC., CLASS A(b) | | | 23,330 | | | 80,610 | | | | |
| | 5,885 | | URBAN OUTFITTERS, INC.(b) | | | 148,401 | | | 133,884 | | | | |
| | 6,800 | | VF CORP. | | | 87,065 | | | 423,300 | | | | |
| | 14,030 | | VIACOM, INC., CLASS B | | | 580,331 | | | 577,475 | | | | |
| | 800 | | VISTEON CORP.(b) | | | 33,968 | | | 91,600 | | | | |
| | 29,560 | | WALT DISNEY (THE) CO. | | | 578,637 | | | 3,106,165 | | | | |
| | 3,472 | | WHIRLPOOL CORP. | | | 329,535 | | | 509,933 | | | | |
| | 5,475 | | WYNDHAM WORLDWIDE CORP. | | | 24,501 | | | 397,759 | | | | |
| | 1,600 | | WYNN RESORTS LTD. | | | 32,322 | | | 110,704 | | | | |
See accompanying notes to the financial statements. | 32 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Consumer Discretionary (Cont’d): | | | | | | | | | | |
| | 9,016 | | YUM! BRANDS, INC. | | $ | 78,831 | | | 658,619 | | | | |
| | | | | | | 41,213,935 | | | 77,476,354 | | | 15.73 | % |
| | Consumer Staples: | | | | | | | | | | |
| | 42,092 | | ALTRIA GROUP, INC. | | | 845,251 | | | 2,450,175 | | | | |
| | 44,800 | | ARCHER-DANIELS-MIDLAND CO. | | | 1,728,581 | | | 1,643,264 | | | | |
| | 2,916 | | BROWN-FORMAN CORP., CLASS B | | | 57,343 | | | 289,500 | | | | |
| | 4,000 | | CHURCH & DWIGHT CO., INC. | | | 100,310 | | | 339,520 | | | | |
| | 9,470 | | CLOROX (THE) CO. | | | 957,970 | | | 1,201,080 | | | | |
| | 61,381 | | COCA-COLA (THE) CO. | | | 927,204 | | | 2,636,928 | | | | |
| | 1,026 | | COCA-COLA ENTERPRISES, INC. | | | 52,006 | | | 50,520 | | | | |
| | 14,780 | | COLGATE-PALMOLIVE CO. | | | 422,681 | | | 984,644 | | | | |
| | 1,900 | | CONAGRA FOODS, INC. | | | 33,608 | | | 80,104 | | | | |
| | 4,600 | | CONSTELLATION BRANDS, INC., CLASS A | | | 63,227 | | | 655,224 | | | | |
| | 12,576 | | COSTCO WHOLESALE CORP. | | | 945,525 | | | 2,031,024 | | | | |
| | 4,100 | | COTY, INC., CLASS A | | | 79,479 | | | 105,083 | | | | |
| | 470 | | CRIMSON WINE GROUP LTD.(b) | | | 2,671 | | | 4,136 | | | | |
| | 17,406 | | CVS HEALTH CORP. | | | 1,187,680 | | | 1,701,785 | | | | |
| | 14,985 | | DIAGEO PLC ADR(c)(d) | | | 1,148,602 | | | 1,634,414 | | | | |
| | 24,111 | | DR. PEPPER SNAPPLE GROUP, INC. | | | 1,551,889 | | | 2,247,145 | | | | |
| | 397 | | EDGEWELL PERSONAL CARE CO. | | | 15,226 | | | 31,113 | | | | |
| | 397 | | ENERGIZER HOLDINGS, INC. | | | 5,307 | | | 13,522 | | | | |
| | 3,734 | | ESTEE LAUDER (THE) COS., INC., CLASS A | | | 70,943 | | | 328,816 | | | | |
| | 4,932 | | FLOWERS FOODS, INC. | | | 85,588 | | | 105,989 | | | | |
| | 12,400 | | GENERAL MILLS, INC. | | | 277,055 | | | 714,984 | | | | |
| | 3,300 | | HERBALIFE LTD.(b) | | | 45,262 | | | 176,946 | | | | |
| | 1,642 | | HERSHEY (THE) CO. | | | 60,568 | | | 146,581 | | | | |
| | 2,400 | | HORMEL FOODS CORP. | | | 43,206 | | | 189,792 | | | | |
| | 4,400 | | INGREDION, INC. | | | 269,819 | | | 421,696 | | | | |
| | 1,600 | | JM SMUCKER (THE) CO. | | | 64,617 | | | 197,344 | | | | |
| | 5,800 | | KEURIG GREEN MOUNTAIN, INC. | | | 122,296 | | | 521,884 | | | | |
| | 1,550 | | KIMBERLY-CLARK CORP. | | | 69,760 | | | 197,315 | | | | |
| | 135,893 | | KONINKLIJKE AHOLD N.V. ADR(c)(d) | | | 2,545,607 | | | 2,872,099 | | | | |
| | 7,279 | | KRAFT HEINZ (THE) CO. | | | 89,966 | | | 529,620 | | | | |
| | 55,790 | | KROGER (THE) CO. | | | 1,281,551 | | | 2,333,696 | | | | |
| | 700 | | MCCORMICK & CO., INC. (NON VOTING) | | | 21,613 | | | 59,892 | | | | |
| | 2,200 | | MEAD JOHNSON NUTRITION CO. | | | 103,422 | | | 173,690 | | | | |
| | 4,600 | | MOLSON COORS BREWING CO., CLASS B | | | 296,175 | | | 432,032 | | | | |
| | 22,838 | | MONDELEZ INTERNATIONAL, INC., CLASS A | | | 194,577 | | | 1,024,056 | | | | |
| | 2,900 | | MONSTER BEVERAGE CORP.(b) | | | 253,105 | | | 431,984 | | | | |
| | 4,924 | | NU SKIN ENTERPRISES, INC., CLASS A | | | 174,547 | | | 186,570 | | | | |
| | 25,391 | | PEPSICO, INC. | | | 923,209 | | | 2,537,069 | | | | |
| | 30,132 | | PHILIP MORRIS INTERNATIONAL, INC. | | | 261,758 | | | 2,648,904 | | | | |
| | 6,000 | | PINNACLE FOODS, INC. | | | 219,854 | | | 254,760 | | | | |
| | 200 | | POST HOLDINGS, INC.(b) | | | 4,616 | | | 12,340 | | | | |
| | 37,760 | | PROCTER & GAMBLE (THE) CO. | | | 640,170 | | | 2,998,522 | | | | |
| | 5,896 | | REYNOLDS AMERICAN, INC. | | | 28,919 | | | 272,100 | | | | |
| | 1,900 | | SPECTRUM BRANDS HOLDINGS, INC. | | | 176,648 | | | 193,420 | | | | |
| | 8,000 | | SYSCO CORP. | | | 124,114 | | | 328,000 | | | | |
| | 10,601 | | TYSON FOODS, INC., CLASS A | | | 237,958 | | | 565,351 | | | | |
| | 29,200 | | WALGREENS BOOTS ALLIANCE, INC. | | | 1,044,743 | | | 2,486,526 | | | | |
| | 4,023 | | WAL-MART STORES, INC. | | | 73,562 | | | 246,610 | | | | |
| | 8,800 | | WHOLE FOODS MARKET, INC. | | | 116,393 | | | 294,800 | | | | |
| | | | | | | 20,046,181 | | | 41,982,569 | | | 8.53 | % |
| | Energy: | | | | | | | | | | |
| | 4,746 | | ANADARKO PETROLEUM CORP. | | | 106,963 | | | 230,561 | | | | |
| | 800 | | BAKER HUGHES, INC. | | | 24,230 | | | 36,920 | | | | |
| | 4,800 | | CAMERON INTERNATIONAL CORP.(b) | | | 124,988 | | | 303,360 | | | | |
| | 33,195 | | CHEVRON CORP. | | | 1,449,959 | | | 2,986,222 | | | | |
| | 400 | | CIMAREX ENERGY CO. | | | 24,076 | | | 35,752 | | | | |
| | 6,474 | | CNOOC LTD. ADR(c)(d) | | | 755,324 | | | 675,756 | | | | |
| | 6,900 | | COLUMBIA PIPELINE GROUP, INC. | | | 67,929 | | | 138,000 | | | | |
| | 1,700 | | CONCHO RESOURCES, INC.(b) | | | 49,631 | | | 157,862 | | | | |
| | 25,044 | | CONOCOPHILLIPS | | | 447,749 | | | 1,169,304 | | | | |
| | 2,000 | | CONTINENTAL RESOURCES, INC.(b) | | | 20,765 | | | 45,960 | | | | |
| | 4,700 | | CVR ENERGY, INC. | | | 185,803 | | | 184,945 | | | | |
| | 9,600 | | EOG RESOURCES, INC. | | | 62,765 | | | 679,584 | | | | |
| | 4,000 | | EQT CORP. | | | 132,900 | | | 208,520 | | | | |
See accompanying notes to the financial statements. | 33 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Energy (Cont’d): | | | | | | | | | | |
| | 61,451 | | EXXON MOBIL CORP. | | $ | 2,358,896 | | | 4,790,105 | | | | |
| | 2,400 | | FMC TECHNOLOGIES, INC.(b) | | | 33,690 | | | 69,624 | | | | |
| | 2,291 | | FRANK’S INTERNATIONAL N.V.(c) | | | 38,740 | | | 38,237 | | | | |
| | 244,521 | | GAZPROM PAO ADR(c)(d) | | | 1,104,137 | | | 897,392 | | | | |
| | 11,258 | | HALLIBURTON CO. | | | 162,587 | | | 383,222 | | | | |
| | 3,100 | | HELMERICH & PAYNE, INC. | | | 39,003 | | | 166,005 | | | | |
| | 10,797 | | HESS CORP. | | | 549,205 | | | 523,439 | | | | |
| | 7,307 | | HOLLYFRONTIER CORP. | | | 213,260 | | | 291,476 | | | | |
| | 7,312 | | KINDER MORGAN, INC. | | | 64,699 | | | 109,095 | | | | |
| | 62,103 | | MARATHON PETROLEUM CORP. | | | 2,829,948 | | | 3,219,420 | | | | |
| | 2,400 | | MURPHY OIL CORP. | | | 27,663 | | | 53,880 | | | | |
| | 47,201 | | NATIONAL OILWELL VARCO, INC. | | | 1,755,261 | | | 1,580,762 | | | | |
| | 7,000 | | NEWFIELD EXPLORATION CO.(b) | | | 206,807 | | | 227,920 | | | | |
| | 3,800 | | NOBLE ENERGY, INC. | | | 20,499 | | | 125,134 | | | | |
| | 6,000 | | OCCIDENTAL PETROLEUM CORP. | | | 54,283 | | | 405,660 | | | | |
| | 2,300 | | OCEANEERING INTERNATIONAL, INC. | | | 58,863 | | | 86,296 | | | | |
| | 2,000 | | ONEOK, INC. | | | 27,592 | | | 49,320 | | | | |
| | 4,745 | | PBF ENERGY, INC., CLASS A | | | 157,025 | | | 174,663 | | | | |
| | 15,250 | | PHILLIPS 66 | | | 318,751 | | | 1,247,450 | | | | |
| | 3,200 | | PIONEER NATURAL RESOURCES CO. | | | 48,507 | | | 401,216 | | | | |
| | 16,800 | | SCHLUMBERGER LTD. | | | 367,601 | | | 1,171,800 | | | | |
| | 9,954 | | SPECTRA ENERGY CORP. | | | 137,808 | | | 238,299 | | | | |
| | 10,750 | | TESORO CORP. | | | 862,535 | | | 1,132,728 | | | | |
| | 73,640 | | VALERO ENERGY CORP. | | | 3,491,060 | | | 5,207,084 | | | | |
| | 1,600 | | WILLIAMS (THE) COS., INC. | | | 33,917 | | | 41,120 | | | | |
| | | | | | | 18,415,419 | | | 29,484,093 | | | 5.99 | % |
| | Financials: | | | | | | | | | | |
| | 4,842 | | ACE LTD.(c) | | | 408,747 | | | 565,788 | | | | |
| | 1,100 | | AFFILIATED MANAGERS GROUP, INC.(b) | | | 73,653 | | | 175,736 | | | | |
| | 38,598 | | AFLAC, INC. | | | 2,042,143 | | | 2,312,020 | | | | |
| | 2,100 | | ALEXANDRIA REAL ESTATE EQUITIES, INC. | | | 110,158 | | | 189,756 | | | | |
| | 4,011 | | ALLEGHANY CORP.(b) | | | 1,228,124 | | | 1,916,977 | | | | |
| | 9,942 | | ALLIED WORLD ASSURANCE CO. HOLDINGS A.G.(c) | | | 155,197 | | | 369,743 | | | | |
| | 46,860 | | ALLSTATE (THE) CORP. | | | 2,649,912 | | | 2,909,537 | | | | |
| | 18,333 | | AMERICAN EXPRESS CO. | | | 546,904 | | | 1,275,060 | | | | |
| | 4,900 | | AMERICAN FINANCIAL GROUP, INC. | | | 220,290 | | | 353,192 | | | | |
| | 29,813 | | AMERICAN INTERNATIONAL GROUP, INC. | | | 1,126,554 | | | 1,847,512 | | | | |
| | 3,450 | | AMERICAN TOWER CORP. | | | 159,151 | | | 334,477 | | | | |
| | 5,191 | | AMERIPRISE FINANCIAL, INC. | | | 160,907 | | | 552,426 | | | | |
| | 4,500 | | AMTRUST FINANCIAL SERVICES, INC. | | | 234,575 | | | 277,110 | | | | |
| | 4,748 | | AON PLC(c) | | | 110,582 | | | 437,813 | | | | |
| | 5,628 | | APARTMENT INVESTMENT & MANAGEMENT CO., CLASS A | | | 119,782 | | | 225,289 | | | | |
| | 13,309 | | ARCH CAPITAL GROUP LTD.(b)(c) | | | 708,971 | | | 928,303 | | | | |
| | 1,600 | | ARTHUR J GALLAGHER & CO. | | | 34,040 | | | 65,504 | | | | |
| | 1,398 | | ASPEN INSURANCE HOLDINGS LTD.(c) | | | 68,982 | | | 67,523 | | | | |
| | 3,116 | | ASSOCIATED BANC-CORP | | | 61,095 | | | 58,425 | | | | |
| | 5,629 | | ASSURANT, INC. | | | 278,461 | | | 453,360 | | | | |
| | 14,090 | | ASSURED GUARANTY LTD.(c) | | | 367,190 | | | 372,399 | | | | |
| | 734 | | AVALONBAY COMMUNITIES, INC. | | | 31,138 | | | 135,151 | | | | |
| | 4,327 | | AXIS CAPITAL HOLDINGS LTD.(c) | | | 209,054 | | | 243,264 | | | | |
| | 231,627 | | BANK OF AMERICA CORP. | | | 2,273,174 | | | 3,898,282 | | | | |
| | 26,545 | | BANK OF NEW YORK MELLON (THE) CORP. | | | 708,754 | | | 1,094,185 | | | | |
| | 15,669 | | BB&T CORP. | | | 372,180 | | | 592,445 | | | | |
| | 16,100 | | BERKSHIRE HATHAWAY, INC., CLASS B(b) | | | 1,291,772 | | | 2,125,844 | | | | |
| | 2,500 | | BIOMED REALTY TRUST, INC. | | | 43,113 | | | 59,225 | | | | |
| | 3,388 | | BOSTON PROPERTIES, INC. | | | 171,468 | | | 432,106 | | | | |
| | 2,600 | | BRANDYWINE REALTY TRUST | | | 28,512 | | | 35,516 | | | | |
| | 900 | | CAMDEN PROPERTY TRUST | | | 24,065 | | | 69,084 | | | | |
| | 16,557 | | CAPITAL ONE FINANCIAL CORP. | | | 657,737 | | | 1,195,084 | | | | |
| | 450 | | CARE CAPITAL PROPERTIES, INC. | | | 9,068 | | | 13,756 | | | | |
| | 7,600 | | CBRE GROUP, INC., CLASS A(b) | | | 222,808 | | | 262,808 | | | | |
| | 21,400 | | CHARLES SCHWAB (THE) CORP. | | | 186,608 | | | 704,702 | | | | |
| | 3,540 | | CHIMERA INVESTMENT CORP. | | | 32,047 | | | 48,286 | | | | |
| | 2,700 | | CHUBB (THE) CORP. | | | 86,607 | | | 358,128 | | | | |
| | 1,164 | | CINCINNATI FINANCIAL CORP. | | | 71,014 | | | 68,874 | | | | |
| | 2,100 | | CIT GROUP, INC. | | | 73,090 | | | 83,370 | | | | |
| | 40,860 | | CITIGROUP, INC. | | | 1,710,839 | | | 2,114,505 | | | | |
| | 3,755 | | CITIZENS FINANCIAL GROUP, INC. | | | 90,954 | | | 98,343 | | | | |
See accompanying notes to the financial statements. | 34 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Financials (Cont’d): | | | | | | | | | | |
| | 965 | | CME GROUP, INC. | | $ | 35,563 | | | 87,429 | | | | |
| | 2,750 | | CNA FINANCIAL CORP. | | | 85,964 | | | 96,662 | | | | |
| | 4,800 | | CORPORATE OFFICE PROPERTIES TRUST | | | 106,129 | | | 104,784 | | | | |
| | 1,545 | | CORRECTIONS CORP. OF AMERICA | | | 23,098 | | | 40,927 | | | | |
| | 911 | | CREDIT ACCEPTANCE CORP.(b) | | | 172,104 | | | 194,972 | | | | |
| | 4,600 | | CROWN CASTLE INTERNATIONAL CORP. | | | 194,396 | | | 397,670 | | | | |
| | 8,500 | | DDR CORP. | | | 108,884 | | | 143,140 | | | | |
| | 18,200 | | DIGITAL REALTY TRUST, INC. | | | 1,176,467 | | | 1,376,284 | | | | |
| | 16,287 | | DISCOVER FINANCIAL SERVICES | | | 233,079 | | | 873,309 | | | | |
| | 5,200 | | DOUGLAS EMMETT, INC. | | | 55,202 | | | 162,136 | | | | |
| | 1,700 | | DUKE REALTY CORP. | | | 28,468 | | | 35,734 | | | | |
| | 11,007 | | E*TRADE FINANCIAL CORP.(b) | | | 191,896 | | | 326,247 | | | | |
| | 3,309 | | EAST WEST BANCORP, INC. | | | 116,956 | | | 137,522 | | | | |
| | 2,726 | | ENDURANCE SPECIALTY HOLDINGS LTD.(c) | | | 141,555 | | | 174,437 | | | | |
| | 27,190 | | EPR PROPERTIES | | | 1,538,403 | | | 1,589,255 | | | | |
| | 945 | | EQUINIX, INC. | | | 81,596 | | | 285,768 | | | | |
| | 8,300 | | EQUITY COMMONWEALTH(b) | | | 215,883 | | | 230,159 | | | | |
| | 800 | | EQUITY LIFESTYLE PROPERTIES, INC. | | | 26,862 | | | 53,336 | | | | |
| | 8,216 | | EQUITY RESIDENTIAL | | | 331,618 | | | 670,343 | | | | |
| | 875 | | ESSEX PROPERTY TRUST, INC. | | | 105,181 | | | 209,484 | | | | |
| | 14,778 | | EVEREST RE GROUP LTD.(c) | | | 2,621,387 | | | 2,705,704 | | | | |
| | 900 | | FEDERAL REALTY INVESTMENT TRUST | | | 48,326 | | | 131,490 | | | | |
| | 43,645 | | FIFTH THIRD BANCORP | | | 579,624 | | | 877,265 | | | | |
| | 400 | | FIRST CITIZENS BANCSHARES, INC., CLASS A | | | 57,523 | | | 103,268 | | | | |
| | 36,400 | | FIRST HORIZON NATIONAL CORP. | | | 273,237 | | | 528,528 | | | | |
| | 15,200 | | FIRST NIAGARA FINANCIAL GROUP, INC. | | | 120,688 | | | 164,920 | | | | |
| | 1,863 | | FNF GROUP | | | 21,555 | | | 64,590 | | | | |
| | 620 | | FNFV GROUP(b) | | | 2,893 | | | 6,963 | | | | |
| | 766 | | FOUR CORNERS PROPERTY TRUST, INC.(b) | | | 5,008 | | | 18,507 | | | | |
| | 10,077 | | FRANKLIN RESOURCES, INC. | | | 189,834 | | | 371,035 | | | | |
| | 6,400 | | GENERAL GROWTH PROPERTIES, INC. | | | 122,757 | | | 174,144 | | | | |
| | 7,700 | | GENWORTH FINANCIAL, INC., CLASS A(b) | | | 31,801 | | | 28,721 | | | | |
| | 14,100 | | GOLDMAN SACHS GROUP (THE), INC. | | | 1,764,725 | | | 2,541,243 | | | | |
| | 3,000 | | HANOVER INSURANCE GROUP (THE), INC. | | | 215,948 | | | 244,020 | | | | |
| | 41,158 | | HARTFORD FINANCIAL SERVICES GROUP (THE), INC. | | | 1,685,214 | | | 1,788,727 | | | | |
| | 7,000 | | HCP, INC. | | | 101,081 | | | 267,680 | | | | |
| | 4,250 | | HEALTHCARE TRUST OF AMERICA, INC., CLASS A | | | 95,672 | | | 114,623 | | | | |
| | 1,800 | | HOSPITALITY PROPERTIES TRUST | | | 23,559 | | | 47,070 | | | | |
| | 16,122 | | HOST HOTELS & RESORTS, INC. | | | 138,445 | | | 247,311 | | | | |
| | 678 | | HOWARD HUGHES (THE) CORP.(b) | | | 20,502 | | | 76,722 | | | | |
| | 49,009 | | HUNTINGTON BANCSHARES, INC. | | | 318,046 | | | 542,040 | | | | |
| | 701 | | INTERCONTINENTAL EXCHANGE, INC. | | | 89,127 | | | 179,638 | | | | |
| | 11,400 | | INVESCO LTD. | | | 176,068 | | | 381,672 | | | | |
| | 33,700 | | JANUS CAPITAL GROUP, INC. | | | 222,792 | | | 474,833 | | | | |
| | 2,200 | | JONES LANG LASALLE, INC. | | | 277,845 | | | 351,692 | | | | |
| | 87,326 | | JPMORGAN CHASE & CO. | | | 3,197,806 | | | 5,766,136 | | | | |
| | 40,062 | | KEYCORP | | | 465,691 | | | 528,418 | | | | |
| | 600 | | KILROY REALTY CORP. | | | 31,529 | | | 37,968 | | | | |
| | 8,201 | | KIMCO REALTY CORP. | | | 94,870 | | | 216,998 | | | | |
| | 4,200 | | LAMAR ADVERTISING CO., CLASS A | | | 54,181 | | | 251,916 | | | | |
| | 3,752 | | LEGG MASON, INC. | | | 52,584 | | | 147,191 | | | | |
| | 1,100 | | LIBERTY PROPERTY TRUST | | | 23,627 | | | 34,155 | | | | |
| | 1,100 | | LINCOLN NATIONAL CORP. | | | 22,715 | | | 55,286 | | | | |
| | 4,800 | | LOEWS CORP. | | | 96,218 | | | 184,320 | | | | |
| | 2,787 | | M&T BANK CORP. | | | 210,712 | | | 337,729 | | | | |
| | 5,123 | | MACERICH (THE) CO. | | | 119,436 | | | 413,375 | | | | |
| | 644 | | MARKEL CORP.(b) | | | 422,377 | | | 568,877 | | | | |
| | 3,378 | | MARSH & MCLENNAN COS., INC. | | | 79,972 | | | 187,310 | | | | |
| | 3,600 | | MCGRAW HILL FINANCIAL, INC. | | | 84,305 | | | 354,888 | | | | |
| | 4,600 | | MERCURY GENERAL CORP. | | | 235,539 | | | 214,222 | | | | |
| | 16,471 | | METLIFE, INC. | | | 770,434 | | | 794,067 | | | | |
| | 1,200 | | MID-AMERICA APARTMENT COMMUNITIES, INC. | | | 78,164 | | | 108,972 | | | | |
| | 2,200 | | MOODY’S CORP. | | | 77,502 | | | 220,748 | | | | |
| | 21,600 | | MORGAN STANLEY | | | 332,129 | | | 687,096 | | | | |
| | 800 | | MORNINGSTAR, INC. | | | 32,901 | | | 64,328 | | | | |
| | 3,900 | | MSCI, INC. | | | 124,722 | | | 281,307 | | | | |
| | 5,900 | | NASDAQ, INC. | | | 240,309 | | | 343,203 | | | | |
| | 12,600 | | NAVIENT CORP. | | | 86,630 | | | 144,270 | | | | |
See accompanying notes to the financial statements. | 35 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Financials (Cont’d): | | | | | | | | | | |
| | 12,797 | | NEW YORK COMMUNITY BANCORP, INC. | | $ | 175,693 | | | 208,847 | | | | |
| | 602 | | NORTHERN TRUST CORP. | | | 27,467 | | | 43,398 | | | | |
| | 10,059 | | OLD REPUBLIC INTERNATIONAL CORP. | | | 182,682 | | | 187,399 | | | | |
| | 5,177 | | PACWEST BANCORP | | | 95,285 | | | 223,129 | | | | |
| | 1,800 | | PARTNERRE LTD.(c) | | | 96,426 | | | 251,532 | | | | |
| | 4,385 | | PLUM CREEK TIMBER CO., INC. | | | 105,969 | | | 209,252 | | | | |
| | 13,476 | | PNC FINANCIAL SERVICES GROUP (THE), INC. | | | 581,111 | | | 1,284,398 | | | | |
| | 8,040 | | POPULAR, INC.(c) | | | 229,520 | | | 227,854 | | | | |
| | 1,600 | | POST PROPERTIES, INC. | | | 97,204 | | | 94,656 | | | | |
| | 8,619 | | PRINCIPAL FINANCIAL GROUP, INC. | | | 323,376 | | | 387,683 | | | | |
| | 35,391 | | PROGRESSIVE (THE) CORP. | | | 993,019 | | | 1,125,434 | | | | |
| | 10,169 | | PROLOGIS, INC. | | | 257,893 | | | 436,453 | | | | |
| | 15,377 | | PRUDENTIAL FINANCIAL, INC. | | | 824,832 | | | 1,251,842 | | | | |
| | 1,461 | | PUBLIC STORAGE | | | 119,727 | | | 361,890 | | | | |
| | 6,972 | | RAYONIER, INC. | | | 74,591 | | | 154,778 | | | | |
| | 2,700 | | REALTY INCOME CORP. | | | 57,130 | | | 139,401 | | | | |
| | 3,900 | | REGENCY CENTERS CORP. | | | 88,714 | | | 265,668 | | | | |
| | 55,374 | | REGIONS FINANCIAL CORP. | | | 478,300 | | | 531,590 | | | | |
| | 3,371 | | REINSURANCE GROUP OF AMERICA, INC. | | | 296,860 | | | 288,389 | | | | |
| | 1,379 | | RENAISSANCERE HOLDINGS LTD.(c) | | | 146,120 | | | 156,089 | | | | |
| | 9,800 | | RETAIL PROPERTIES OF AMERICA, INC., CLASS A | | | 84,614 | | | 144,746 | | | | |
| | 48 | | RMR GROUP (THE), INC., CLASS A(b) | | | 626 | | | 694 | | | | |
| | 3,151 | | ROYAL BANK OF CANADA(c) | | | 75,538 | | | 168,831 | | | | |
| | 7,500 | | SEI INVESTMENTS CO. | | | 108,537 | | | 393,000 | | | | |
| | 400 | | SIGNATURE BANK(b) | | | 29,712 | | | 61,348 | | | | |
| | 3,595 | | SIMON PROPERTY GROUP, INC. | | | 148,165 | | | 699,012 | | | | |
| | 1,900 | | SL GREEN REALTY CORP. | | | 58,204 | | | 214,662 | | | | |
| | 12,600 | | SLM CORP.(b) | | | 48,157 | | | 82,152 | | | | |
| | 3,600 | | STATE STREET CORP. | | | 149,287 | | | 238,896 | | | | |
| | 18,572 | | SUNTRUST BANKS, INC. | | | 579,676 | | | 795,624 | | | | |
| | 259 | | SVB FINANCIAL GROUP(b) | | | 33,084 | | | 30,795 | | | | |
| | 4,704 | | SYNOVUS FINANCIAL CORP. | | | 83,310 | | | 152,316 | | | | |
| | 6,349 | | T. ROWE PRICE GROUP, INC. | | | 125,884 | | | 453,890 | | | | |
| | 2,100 | | TAUBMAN CENTERS, INC. | | | 57,233 | | | 161,112 | | | | |
| | 14,946 | | TCF FINANCIAL CORP. | | | 157,745 | | | 211,038 | | | | |
| | 2,600 | | TFS FINANCIAL CORP. | | | 25,038 | | | 48,958 | | | | |
| | 7,868 | | TORCHMARK CORP. | | | 240,368 | | | 449,735 | | | | |
| | 35,582 | | TRAVELERS (THE) COS., INC. | | | 3,114,881 | | | 4,015,785 | | | | |
| | 22,941 | | U.S. BANCORP | | | 538,078 | | | 978,892 | | | | |
| | 4,100 | | UDR, INC. | | | 65,319 | | | 154,037 | | | | |
| | 50,542 | | UNUM GROUP | | | 1,633,374 | | | 1,682,543 | | | | |
| | 1,300 | | URBAN EDGE PROPERTIES | | | 18,730 | | | 30,485 | | | | |
| | 6,518 | | VALIDUS HOLDINGS LTD.(c) | | | 251,458 | | | 301,718 | | | | |
| | 1,800 | | VENTAS, INC. | | | 63,969 | | | 101,574 | | | | |
| | 800 | | VORNADO REALTY TRUST | | | 36,178 | | | 79,968 | | | | |
| | 29,561 | | VOYA FINANCIAL, INC. | | | 1,165,289 | | | 1,091,097 | | | | |
| | 1,800 | | WASHINGTON FEDERAL, INC. | | | 23,535 | | | 42,894 | | | | |
| | 2,100 | | WEINGARTEN REALTY INVESTORS | | | 29,916 | | | 72,618 | | | | |
| | 117,454 | | WELLS FARGO & CO. | | | 3,069,271 | | | 6,384,799 | | | | |
| | 400 | | WELLTOWER, INC. | | | 12,418 | | | 27,212 | | | | |
| | 300 | | WHITE MOUNTAINS INSURANCE GROUP LTD. | | | 194,754 | | | 218,043 | | | | |
| | 1,797 | | WP GLIMCHER, INC. | | | 9,413 | | | 19,066 | | | | |
| | 6,006 | | WR BERKLEY CORP. | | | 267,607 | | | 328,829 | | | | |
| | 7,780 | | XL GROUP PLC(c) | | | 266,117 | | | 304,820 | | | | |
| | 3,000 | | ZIONS BANCORPORATION | | | 56,955 | | | 81,900 | | | | |
| | | | | | | 58,341,093 | | | 88,938,463 | | | 18.06 | % |
| | Health Care: | | | | | | | | | | |
| | 12,735 | | ABBOTT LABORATORIES | | | 208,212 | | | 571,929 | | | | |
| | 17,835 | | ABBVIE, INC. | | | 400,697 | | | 1,056,545 | | | | |
| | 11,721 | | AETNA, INC. | | | 760,910 | | | 1,267,275 | | | | |
| | 800 | | AGILENT TECHNOLOGIES, INC. | | | 20,756 | | | 33,448 | | | | |
| | 4,200 | | ALERE, INC.(b) | | | 77,812 | | | 164,178 | | | | |
| | 4,018 | | ALEXION PHARMACEUTICALS, INC.(b) | | | 239,586 | | | 766,433 | | | | |
| | 11,499 | | ALLERGAN PLC(b) | | | 2,033,603 | | | 3,593,437 | | | | |
| | 13,375 | | AMERISOURCEBERGEN CORP. | | | 732,656 | | | 1,387,121 | | | | |
| | 21,440 | | AMGEN, INC. | | | 891,493 | | | 3,480,355 | | | | |
| | 23,264 | | ANTHEM, INC. | | | 2,432,619 | | | 3,243,932 | | | | |
| | 1,800 | | BAXALTA, INC. | | | 40,330 | | | 70,254 | | | | |
See accompanying notes to the financial statements. | 36 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Health Care (Cont’d): | | | | | | | | | | |
| | 11,555 | | BAYER A.G. ADR(c)(d) | | $ | 941,529 | | | 1,442,468 | | | | |
| | 7,649 | | BECTON DICKINSON AND CO. | | | 867,519 | | | 1,178,634 | | | | |
| | 5,250 | | BIOGEN, INC.(b) | | | 66,400 | | | 1,608,337 | | | | |
| | 900 | | BIOMARIN PHARMACEUTICAL, INC.(b) | | | 45,432 | | | 94,284 | | | | |
| | 32,800 | | BOSTON SCIENTIFIC CORP.(b) | | | 182,160 | | | 604,832 | | | | |
| | 23,000 | | BRISTOL-MYERS SQUIBB CO. | | | 576,711 | | | 1,582,170 | | | | |
| | 3,400 | | CARDINAL HEALTH, INC. | | | 128,461 | | | 303,518 | | | | |
| | 14,267 | | CELGENE CORP.(b) | | | 221,012 | | | 1,708,616 | | | | |
| | 4,671 | | CENTENE CORP.(b) | | | 269,390 | | | 307,399 | | | | |
| | 3,600 | | CERNER CORP.(b) | | | 40,603 | | | 216,612 | | | | |
| | 10,355 | | CIGNA CORP. | | | 666,634 | | | 1,515,247 | | | | |
| | 3,879 | | COMMUNITY HEALTH SYSTEMS, INC.(b) | | | 68,097 | | | 102,910 | | | | |
| | 5,828 | | CR BARD, INC. | | | 913,874 | | | 1,104,056 | | | | |
| | 3,850 | | DAVITA HEALTHCARE PARTNERS, INC.(b) | | | 97,977 | | | 268,383 | | | | |
| | 5,310 | | DENTSPLY INTERNATIONAL, INC. | | | 202,129 | | | 323,114 | | | | |
| | 11,600 | | EDWARDS LIFESCIENCES CORP.(b) | | | 389,590 | | | 916,168 | | | | |
| | 11,263 | | ELI LILLY & CO. | | | 531,325 | | | 949,020 | | | | |
| | 4,200 | | ENDO INTERNATIONAL PLC(b)(c) | | | 110,376 | | | 257,124 | | | | |
| | 16,502 | | EXPRESS SCRIPTS HOLDING CO.(b) | | | 241,921 | | | 1,442,440 | | | | |
| | 35,149 | | GILEAD SCIENCES, INC. | | | 936,837 | | | 3,556,727 | | | | |
| | 35,810 | | GLAXOSMITHKLINE PLC ADR(c)(d) | | | 1,541,185 | | | 1,444,934 | | | | |
| | 193 | | HALYARD HEALTH, INC.(b) | | | 3,014 | | | 6,448 | | | | |
| | 5,698 | | HCA HOLDINGS, INC.(b) | | | 392,988 | | | 385,356 | | | | |
| | 700 | | HEALTH NET, INC.(b) | | | 17,017 | | | 47,922 | | | | |
| | 1,900 | | HENRY SCHEIN, INC.(b) | | | 86,166 | | | 300,561 | | | | |
| | 33,914 | | HOLOGIC, INC.(b) | | | 1,111,401 | | | 1,312,133 | | | | |
| | 3,900 | | HUMANA, INC. | | | 39,107 | | | 696,189 | | | | |
| | 2,800 | | IDEXX LABORATORIES, INC.(b) | | | 60,410 | | | 204,176 | | | | |
| | 2,300 | | ILLUMINA, INC.(b) | | | 98,233 | | | 441,474 | | | | |
| | 43,713 | | JOHNSON & JOHNSON | | | 1,789,731 | | | 4,490,199 | | | | |
| | 500 | | LABORATORY CORP. OF AMERICA HOLDINGS(b) | | | 11,742 | | | 61,820 | | | | |
| | 5,700 | | MCKESSON CORP. | | | 202,596 | | | 1,124,211 | | | | |
| | 3,340 | | MEDTRONIC PLC(c) | | | 250,428 | | | 256,913 | | | | |
| | 48,078 | | MERCK & CO., INC. | | | 1,123,592 | | | 2,539,480 | | | | |
| | 1,321 | | METTLER-TOLEDO INTERNATIONAL, INC.(b) | | | 91,350 | | | 447,991 | | | | |
| | 18,150 | | NOVARTIS A.G. ADR(c)(d) | | | 1,122,679 | | | 1,561,626 | | | | |
| | 1,600 | | PATTERSON COS., INC. | | | 29,864 | | | 72,336 | | | | |
| | 3,400 | | PERKINELMER, INC. | | | 53,706 | | | 182,138 | | | | |
| | 9,905 | | PERRIGO CO. PLC(c) | | | 1,508,682 | | | 1,433,254 | | | | |
| | 128,157 | | PFIZER, INC. | | | 2,116,934 | | | 4,136,908 | | | | |
| | 3,300 | | QUINTILES TRANSNATIONAL HOLDINGS, INC.(b) | | | 199,165 | | | 226,578 | �� | | | |
| | 900 | | REGENERON PHARMACEUTICALS, INC.(b) | | | 135,034 | | | 488,583 | | | | |
| | 4,000 | | RESMED, INC. | | | 81,990 | | | 214,760 | | | | |
| | 900 | | SIRONA DENTAL SYSTEMS, INC.(b) | | | 38,745 | | | 98,613 | | | | |
| | 5,009 | | ST. JUDE MEDICAL, INC. | | | 143,833 | | | 309,406 | | | | |
| | 4,700 | | STRYKER CORP. | | | 18,139 | | | 436,818 | | | | |
| | 9,030 | | TELEFLEX, INC. | | | 473,790 | | | 1,186,994 | | | | |
| | 6,700 | | THERMO FISHER SCIENTIFIC, INC. | | | 138,727 | | | 950,395 | | | | |
| | 29,031 | | UNITEDHEALTH GROUP, INC. | | | 1,749,071 | | | 3,415,207 | | | | |
| | 3,936 | | UNIVERSAL HEALTH SERVICES, INC., CLASS B | | | 239,148 | | | 470,313 | | | | |
| | 4,700 | | VARIAN MEDICAL SYSTEMS, INC.(b) | | | 173,242 | | | 379,760 | | | | |
| | 2,100 | | VCA, INC.(b) | | | 111,194 | | | 115,500 | | | | |
| | 3,000 | | VERTEX PHARMACEUTICALS, INC.(b) | | | 74,805 | | | 377,490 | | | | |
| | 2,792 | | WATERS CORP.(b) | | | 85,524 | | | 375,747 | | | | |
| | 3,374 | | ZIMMER BIOMET HOLDINGS, INC. | | | 140,047 | | | 346,139 | | | | |
| | | | | | | 30,789,930 | | | 65,655,338 | | | 13.33 | % |
| | Industrials: | | | | | | | | | | | | |
| | 7,987 | | 3M CO. | | | 480,442 | | | 1,203,162 | | | | |
| | 1,632 | | A.O. SMITH CORP. | | | 124,751 | | | 125,028 | | | | |
| | 923 | | ACCO BRANDS CORP.(b) | | | 3,137 | | | 6,581 | | | | |
| | 398 | | ACUITY BRANDS, INC. | | | 79,415 | | | 93,052 | | | | |
| | 5,250 | | ADT (THE) CORP. | | | 121,803 | | | 173,145 | | | | |
| | 4,642 | | AGCO CORP. | | | 225,963 | | | 210,700 | | | | |
| | 54,480 | | AIR LEASE CORP. | | | 1,361,635 | | | 1,823,990 | | | | |
| | 4,300 | | ALASKA AIR GROUP, INC. | | | 287,293 | | | 346,193 | | | | |
| | 1,533 | | ALLEGION PLC(c) | | | 40,913 | | | 101,055 | | | | |
| | 400 | | AMERCO | | | 120,202 | | | 155,800 | | | | |
| | 8,290 | | AMERICAN AIRLINES GROUP, INC. | | | 372,163 | | | 351,081 | | | | |
See accompanying notes to the financial statements. | 37 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Industrials (Cont’d): | | | | | | | | | | |
| | 5,175 | | AMETEK, INC. | | $ | 73,220 | | | 277,328 | | | | |
| | 1,700 | | B/E AEROSPACE, INC. | | | 34,478 | | | 72,029 | | | | |
| | 26,210 | | BOEING (THE) CO. | | | 1,418,127 | | | 3,789,704 | | | | |
| | 5,205 | | BWX TECHNOLOGIES, INC. | | | 145,980 | | | 165,363 | | | | |
| | 3,054 | | CARLISLE COS., INC. | | | 119,403 | | | 270,859 | | | | |
| | 10,504 | | CATERPILLAR, INC. | | | 272,491 | | | 713,852 | | | | |
| | 7,392 | | CINTAS CORP. | | | 596,190 | | | 673,042 | | | | |
| | 800 | | COPA HOLDINGS S.A., CLASS A(c) | | | 32,618 | | | 38,608 | | | | |
| | 3,948 | | CRANE CO. | | | 66,572 | | | 188,872 | | | | |
| | 27,900 | | CSX CORP. | | | 97,923 | | | 724,005 | | | | |
| | 3,700 | | CUMMINS, INC. | | | 50,756 | | | 325,637 | | | | |
| | 12,904 | | DANAHER CORP. | | | 417,049 | | | 1,198,524 | | | | |
| | 7,300 | | DEERE & CO. | | | 199,160 | | | 556,771 | | | | |
| | 20,600 | | DELTA AIR LINES, INC. | | | 598,960 | | | 1,044,214 | | | | |
| | 2,125 | | DOVER CORP. | | | 61,065 | | | 130,284 | | | | |
| | 1,987 | | DUN & BRADSTREET (THE) CORP. | | | 49,383 | | | 206,509 | | | | |
| | 8,384 | | EATON CORP. PLC | | | 117,573 | | | 436,303 | | | | |
| | 11,100 | | EMERSON ELECTRIC CO. | | | 295,942 | | | 530,913 | | | | |
| | 4,763 | | EQUIFAX, INC. | | | 495,640 | | | 530,455 | | | | |
| | 3,180 | | EXPEDITORS INTERNATIONAL OF WASHINGTON, INC. | | | 138,841 | | | 143,418 | | | | |
| | 6,653 | | FEDEX CORP. | | | 130,734 | | | 991,230 | | | | |
| | 1,950 | | FLUOR CORP. | | | 26,013 | | | 92,079 | | | | |
| | 4,300 | | FORTUNE BRANDS HOME & SECURITY, INC. | | | 33,889 | | | 238,650 | | | | |
| | 1,400 | | GATX CORP. | | | 24,276 | | | 59,570 | | | | |
| | 6,100 | | GENERAL DYNAMICS CORP. | | | 636,576 | | | 837,896 | | | | |
| | 146,510 | | GENERAL ELECTRIC CO. | | | 2,774,373 | | | 4,563,787 | | | | |
| | 4,145 | | HD SUPPLY HOLDINGS, INC.(b) | | | 123,558 | | | 124,474 | | | | |
| | 6,600 | | HERTZ GLOBAL HOLDINGS, INC.(b) | | | 37,676 | | | 93,918 | | | | |
| | 9,188 | | HONEYWELL INTERNATIONAL, INC. | | | 279,204 | | | 951,601 | | | | |
| | 1,200 | | HUBBELL, INC. | | | 43,309 | | | 121,248 | | | | |
| | 610 | | HUNTINGTON INGALLS INDUSTRIES, INC. | | | 14,978 | | | 77,379 | | | | |
| | 2,500 | | IDEX CORP. | | | 58,238 | | | 191,525 | | | | |
| | 700 | | IHS, INC., CLASS A(b) | | | 30,839 | | | 82,901 | | | | |
| | 21,902 | | ILLINOIS TOOL WORKS, INC. | | | 1,699,003 | | | 2,029,877 | | | | |
| | 3,300 | | INGERSOLL-RAND PLC | | | 106,424 | | | 182,457 | | | | |
| | 1,468 | | JACOBS ENGINEERING GROUP, INC.(b) | | | 29,713 | | | 61,583 | | | | |
| | 2,100 | | JB HUNT TRANSPORT SERVICES, INC. | | | 40,530 | | | 154,056 | | | | |
| | 15,500 | | JETBLUE AIRWAYS CORP.(b) | | | 95,281 | | | 351,075 | | | | |
| | 2,900 | | KANSAS CITY SOUTHERN | | | 46,328 | | | 216,543 | | | | |
| | 850 | | KLX, INC.(b) | | | 13,147 | | | 26,172 | | | | |
| | 1,100 | | L-3 COMMUNICATIONS HOLDINGS, INC. | | | 49,763 | | | 131,461 | | | | |
| | 1,200 | | LANDSTAR SYSTEM, INC. | | | 38,351 | | | 70,380 | | | | |
| | 900 | | LENNOX INTERNATIONAL, INC. | | | 26,811 | | | 112,410 | | | | |
| | 1,400 | | LINCOLN ELECTRIC HOLDINGS, INC. | | | 28,970 | | | 72,646 | | | | |
| | 2,763 | | LOCKHEED MARTIN CORP. | | | 433,039 | | | 599,985 | | | | |
| | 2,200 | | MACQUARIE INFRASTRUCTURE CORP. | | | 157,616 | | | 159,720 | | | | |
| | 4,800 | | MANITOWOC (THE) CO., INC. | | | 47,568 | | | 73,680 | | | | |
| | 5,214 | | MANPOWERGROUP, INC. | | | 330,211 | | | 439,488 | | | | |
| | 24,352 | | MASCO CORP. | | | 398,631 | | | 689,162 | | | | |
| | 2,000 | | NIELSEN HOLDINGS PLC | | | 61,200 | | | 93,200 | | | | |
| | 700 | | NORDSON CORP. | | | 29,470 | | | 44,905 | | | | |
| | 4,760 | | NORFOLK SOUTHERN CORP. | | | 99,373 | | | 402,648 | | | | |
| | 21,751 | | NORTHROP GRUMMAN CORP. | | | 3,154,860 | | | 4,106,806 | | | | |
| | 2,180 | | NOW, INC.(b) | | | 21,218 | | | 34,488 | | | | |
| | 3,500 | | OSHKOSH CORP. | | | 60,585 | | | 136,640 | | | | |
| | 5,938 | | OWENS CORNING | | | 241,110 | | | 279,264 | | | | |
| | 8,389 | | PACCAR, INC. | | | 91,278 | | | 397,639 | | | | |
| | 3,658 | | PARKER-HANNIFIN CORP. | | | 207,489 | | | 354,753 | | | | |
| | 2,519 | | PENTAIR PLC(c) | | | 73,408 | | | 124,766 | | | | |
| | 2,000 | | PRECISION CASTPARTS CORP. | | | 118,921 | | | 464,020 | | | | |
| | 4,100 | | QUANTA SERVICES, INC.(b) | | | 52,132 | | | 83,025 | | | | |
| | 2,800 | | R.R. DONNELLEY & SONS CO. | | | 25,228 | | | 41,216 | | | | |
| | 3,900 | | RAYTHEON CO. | | | 151,724 | | | 485,667 | | | | |
| | 2,000 | | REPUBLIC SERVICES, INC. | | | 81,516 | | | 87,980 | | | | |
| | 6,221 | | ROCKWELL AUTOMATION, INC. | | | 179,002 | | | 638,337 | | | | |
| | 5,214 | | ROCKWELL COLLINS, INC. | | | 154,727 | | | 481,252 | | | | |
| | 920 | | ROLLINS, INC. | | | 24,890 | | | 23,828 | | | | |
| | 300 | | ROPER TECHNOLOGIES, INC. | | | 19,526 | | | 56,937 | | | | |
See accompanying notes to the financial statements. | 38 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Industrials (Cont’d): | | | | | | | | | | |
| | 2,300 | | SNAP-ON, INC. | | $ | 230,888 | | | 394,289 | | | | |
| | 2,700 | | SOLARCITY CORP.(b) | | | 98,496 | | | 137,754 | | | | |
| | 27,380 | | SOUTHWEST AIRLINES CO. | | | 568,288 | | | 1,178,983 | | | | |
| | 6,439 | | SPIRIT AEROSYSTEMS HOLDINGS, INC., CLASS A(b) | | | 267,176 | | | 322,401 | | | | |
| | 300 | | SPX CORP. | | | 2,963 | | | 2,799 | | | | |
| | 5,273 | | STANLEY BLACK & DECKER, INC. | | | 334,697 | | | 562,787 | | | | |
| | 2,000 | | STERICYCLE, INC.(b) | | | 95,284 | | | 241,200 | | | | |
| | 1,700 | | TEREX CORP. | | | 31,637 | | | 31,416 | | | | |
| | 1,100 | | TEXTRON, INC. | | | 27,165 | | | 46,211 | | | | |
| | 1,000 | | TOWERS WATSON & CO., CLASS A | | | 56,220 | | | 128,460 | | | | |
| | 14,189 | | TYCO INTERNATIONAL PLC | | | 493,890 | | | 452,487 | | | | |
| | 15,000 | | UNION PACIFIC CORP. | | | 216,086 | | | 1,173,000 | | | | |
| | 4,828 | | UNITED CONTINENTAL HOLDINGS, INC.(b) | | | 104,937 | | | 276,644 | | | | |
| | 6,140 | | UNITED PARCEL SERVICE, INC., CLASS B | | | 306,489 | | | 590,852 | | | | |
| | 16,850 | | UNITED TECHNOLOGIES CORP. | | | 637,288 | | | 1,618,780 | | | | |
| | 2,000 | | USG CORP.(b) | | | 12,350 | | | 48,580 | | | | |
| | 500 | | VERISK ANALYTICS, INC.(b) | | | 25,120 | | | 38,440 | | | | |
| | 180 | | VERITIV CORP.(b) | | | 1,653 | | | 6,520 | | | | |
| | 1,700 | | W.W. GRAINGER, INC. | | | 74,317 | | | 344,403 | | | | |
| | 2,966 | | WABCO HOLDINGS, INC.(b) | | | 129,705 | | | 303,303 | | | | |
| | 1,400 | | WABTEC CORP. | | | 25,603 | | | 99,568 | | | | |
| | 1,650 | | WASTE CONNECTIONS, INC. | | | 29,915 | | | 92,928 | | | | |
| | 8,650 | | WASTE MANAGEMENT, INC. | | | 135,675 | | | 461,651 | | | | |
| | 1,600 | | XYLEM, INC. | | | 30,618 | | | 58,400 | | | | |
| | | | | | | 25,038,254 | | | 47,352,657 | | | 9.62 | % |
| | Information Technology: | | | | | | | | | | |
| | 7,922 | | ACCENTURE PLC, CLASS A(c) | | | 481,403 | | | 827,849 | | | | |
| | 19,200 | | ACTIVISION BLIZZARD, INC. | | | 281,280 | | | 743,232 | | | | |
| | 7,524 | | ADOBE SYSTEMS, INC.(b) | | | 128,931 | | | 706,805 | | | | |
| | 3,300 | | AKAMAI TECHNOLOGIES, INC.(b) | | | 45,919 | | | 173,679 | | | | |
| | 1,600 | | ALLIANCE DATA SYSTEMS CORP.(b) | | | 75,650 | | | 442,512 | | | | |
| | 5,831 | | ALPHABET, INC., CLASS A(b) | | | 1,531,657 | | | 4,536,576 | | | | |
| | 5,611 | | ALPHABET, INC., CLASS C(b) | | | 1,207,730 | | | 4,258,076 | | | | |
| | 11,651 | | AMDOCS LTD. | | | 640,814 | | | 635,795 | | | | |
| | 13,014 | | ANALOG DEVICES, INC. | | | 385,778 | | | 719,934 | | | | |
| | 1,300 | | ANSYS, INC.(b) | | | 34,888 | | | 120,250 | | | | |
| | 111,291 | | APPLE, INC. | | | 2,541,791 | | | 11,714,491 | | | | |
| | 12,100 | | APPLIED MATERIALS, INC. | | | 130,014 | | | 225,907 | | | | |
| | 7,600 | | ARRIS GROUP, INC.(b) | | | 203,338 | | | 232,332 | | | | |
| | 5,577 | | ARROW ELECTRONICS, INC.(b) | | | 286,156 | | | 302,162 | | | | |
| | 2,386 | | AUTODESK, INC.(b) | | | 55,907 | | | 145,379 | | | | |
| | 4,066 | | AUTOMATIC DATA PROCESSING, INC. | | | 116,002 | | | 344,472 | | | | |
| | 2,540 | | AVAGO TECHNOLOGIES LTD.(c) | | | 306,554 | | | 368,681 | | | | |
| | 7,056 | | AVNET, INC. | | | 317,350 | | | 302,279 | | | | |
| | 262 | | BLACKHAWK NETWORK HOLDINGS, INC.(b) | | | 6,196 | | | 11,583 | | | | |
| | 8,300 | | BOOZ ALLEN HAMILTON HOLDING CORP. | | | 242,633 | | | 256,055 | | | | |
| | 9,791 | | BROADCOM CORP., CLASS A | | | 140,937 | | | 566,116 | | | | |
| | 3,413 | | BROADRIDGE FINANCIAL SOLUTIONS, INC. | | | 106,898 | | | 183,380 | | | | |
| | 3,470 | | CA, INC. | | | 95,608 | | | 99,103 | | | | |
| | 11,400 | | CADENCE DESIGN SYSTEMS, INC.(b) | | | 154,632 | | | 237,234 | | | | |
| | 2,022 | | CDK GLOBAL, INC. | | | 30,504 | | | 95,983 | | | | |
| | 6,470 | | CDW CORP. | | | 231,037 | | | 271,999 | | | | |
| | 122,760 | | CISCO SYSTEMS, INC. | | | 774,129 | | | 3,333,548 | | | | |
| | 4,234 | | CITRIX SYSTEMS, INC.(b) | | | 47,866 | | | 320,302 | | | | |
| | 17,812 | | COGNIZANT TECHNOLOGY SOLUTIONS CORP., CLASS A(b) | | | 450,125 | | | 1,069,076 | | | | |
| | 8,400 | | COMMSCOPE HOLDING CO., INC.(b) | | | 248,168 | | | 217,476 | | | | |
| | 5,200 | | COMPUTER SCIENCES CORP. | | | 169,154 | | | 169,936 | | | | |
| | 8,308 | | CORELOGIC, INC.(b) | | | 139,352 | | | 281,309 | | | | |
| | 58,855 | | CORNING, INC. | | | 898,149 | | | 1,075,869 | | | | |
| | 1,500 | | CSRA, INC. | | | 26,427 | | | 45,000 | | | | |
| | 2,700 | | CYPRESS SEMICONDUCTOR CORP.(b) | | | 3,261 | | | 26,487 | | | | |
| | 2,000 | | DOLBY LABORATORIES, INC., CLASS A | | | 43,420 | | | 67,300 | | | | |
| | 88,065 | | EBAY, INC.(b) | | | 1,962,531 | | | 2,420,026 | | | | |
| | 2,140 | | ECHOSTAR CORP., CLASS A(b) | | | 36,471 | | | 83,695 | | | | |
| | 14,000 | | ELECTRONIC ARTS, INC.(b) | | | 430,874 | | | 962,080 | | | | |
| | 34,310 | | EMC CORP. | | | 233,560 | | | 881,081 | | | | |
| | 2,800 | | F5 NETWORKS, INC.(b) | | | 196,245 | | | 271,488 | | | | |
See accompanying notes to the financial statements. | 39 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Information Technology (Cont’d): | | | | | | | | | | |
| | 27,108 | | FACEBOOK, INC., CLASS A(b) | | $ | 860,094 | | | 2,837,123 | | | | |
| | 7,802 | | FIDELITY NATIONAL INFORMATION SERVICES, INC. | | | 135,427 | | | 472,801 | | | | |
| | 19,694 | | FISERV, INC.(b) | | | 1,196,885 | | | 1,801,213 | | | | |
| | 2,600 | | FORTINET, INC.(b) | | | 80,697 | | | 81,042 | | | | |
| | 3,648 | | GENPACT LTD.(b) | | | 90,411 | | | 91,127 | | | | |
| | 3,800 | | GLOBAL PAYMENTS, INC. | | | 113,707 | | | 245,138 | | | | |
| | 5,000 | | HARRIS CORP. | | | 189,845 | | | 434,500 | | | | |
| | 18,800 | | HEWLETT PACKARD ENTERPRISE CO. | | | 175,629 | | | 285,760 | | | | |
| | 18,800 | | HP, INC. | | | 146,039 | | | 222,592 | | | | |
| | 1,800 | | IAC/INTERACTIVECORP | | | 101,008 | | | 108,090 | | | | |
| | 11,883 | | INGRAM MICRO, INC., CLASS A | | | 337,988 | | | 361,006 | | | | |
| | 113,600 | | INTEL CORP. | | | 944,333 | | | 3,913,520 | | | | |
| | 6,146 | | INTERNATIONAL BUSINESS MACHINES CORP. | | | 449,617 | | | 845,813 | | | | |
| | 5,000 | | INTUIT, INC. | | | 103,285 | | | 482,500 | | | | |
| | 2,247 | | IPG PHOTONICS CORP.(b) | | | 183,260 | | | 200,343 | | | | |
| | 5,643 | | JABIL CIRCUIT, INC. | | | 118,730 | | | 131,425 | | | | |
| | 54,310 | | JUNIPER NETWORKS, INC. | | | 1,328,231 | | | 1,498,956 | | | | |
| | 2,425 | | KEYSIGHT TECHNOLOGIES, INC.(b) | | | 68,467 | | | 68,700 | | | | |
| | 2,600 | | KLA-TENCOR CORP. | | | 72,951 | | | 180,310 | | | | |
| | 1,062 | | KNOWLES CORP.(b) | | | 12,542 | | | 14,156 | | | | |
| | 4,800 | | LAM RESEARCH CORP. | | | 123,706 | | | 381,216 | | | | |
| | 1,419 | | LEIDOS HOLDINGS, INC. | | | 72,899 | | | 79,833 | | | | |
| | 5,400 | | LINEAR TECHNOLOGY CORP. | | | 119,475 | | | 229,338 | | | | |
| | 700 | | LINKEDIN CORP., CLASS A(b) | | | 65,041 | | | 157,556 | | | | |
| | 14,800 | | MARVELL TECHNOLOGY GROUP LTD.(c) | | | 94,527 | | | 130,536 | | | | |
| | 17,000 | | MASTERCARD, INC., CLASS A | | | 182,282 | | | 1,655,120 | | | | |
| | 4,400 | | MAXIM INTEGRATED PRODUCTS, INC. | | | 76,114 | | | 167,200 | | | | |
| | 4,200 | | MICROCHIP TECHNOLOGY, INC. | | | 45,818 | | | 195,468 | | | | |
| | 11,900 | | MICRON TECHNOLOGY, INC.(b) | | | 53,371 | | | 168,504 | | | | |
| | 143,549 | | MICROSOFT CORP. | | | 1,568,186 | | | 7,964,099 | | | | |
| | 4,357 | | MOTOROLA SOLUTIONS, INC. | | | 314,968 | | | 298,237 | | | | |
| | 20,236 | | NETAPP, INC. | | | 677,062 | | | 536,861 | | | | |
| | 4,800 | | NEUSTAR, INC., CLASS A(b) | | | 79,848 | | | 115,056 | | | | |
| | 1,985 | | NUANCE COMMUNICATIONS, INC.(b) | | | 33,845 | | | 39,482 | | | | |
| | 22,678 | | NVIDIA CORP. | | | 333,027 | | | 747,467 | | | | |
| | 458 | | NXP SEMICONDUCTORS N.V.(b)(c) | | | 38,953 | | | 38,564 | | | | |
| | 68,262 | | ORACLE CORP. | | | 82,431 | | | 2,493,611 | | | | |
| | 3,059 | | PALO ALTO NETWORKS, INC.(b) | | | 157,642 | | | 538,812 | | | | |
| | 3,666 | | PAYCHEX, INC. | | | 10,315 | | | 193,895 | | | | |
| | 11,100 | | PAYPAL HOLDINGS, INC.(b) | | | 120,672 | | | 401,820 | | | | |
| | 2,400 | | PTC, INC.(b) | | | 82,674 | | | 83,112 | | | | |
| | 4,256 | | QORVO, INC.(b) | | | 188,862 | | | 216,630 | | | | |
| | 13,100 | | QUALCOMM, INC. | | | 225,513 | | | 654,803 | | | | |
| | 4,200 | | RED HAT, INC.(b) | | | 61,669 | | | 347,802 | | | | |
| | 7,600 | | SALESFORCE.COM, INC.(b) | | | 86,711 | | | 595,840 | | | | |
| | 13,871 | | SANDISK CORP. | | | 498,966 | | | 1,054,057 | | | | |
| | 34,510 | | SEAGATE TECHNOLOGY PLC | | | 1,098,727 | | | 1,265,137 | | | | |
| | 3,700 | | SERVICENOW, INC.(b) | | | 139,416 | | | 320,272 | | | | |
| | 14,419 | | SYMANTEC CORP. | | | 71,242 | | | 302,799 | | | | |
| | 4,400 | | SYNOPSYS, INC.(b) | | | 172,415 | | | 200,684 | | | | |
| | 4,500 | | TERADATA CORP.(b) | | | 73,317 | | | 118,890 | | | | |
| | 17,445 | | TERADYNE, INC. | | | 288,229 | | | 360,588 | | | | |
| | 25,829 | | TEXAS INSTRUMENTS, INC. | | | 739,586 | | | 1,415,687 | | | | |
| | 26,322 | | TOTAL SYSTEM SERVICES, INC. | | | 1,242,015 | | | 1,310,836 | | | | |
| | 5,000 | | TRIMBLE NAVIGATION LTD.(b) | | | 38,163 | | | 107,250 | | | | |
| | 2,251 | | VERISIGN, INC.(b) | | | 149,978 | | | 196,647 | | | | |
| | 23,200 | | VISA, INC., CLASS A | | | 395,709 | | | 1,799,160 | | | | |
| | 7,800 | | VISHAY INTERTECHNOLOGY, INC. | | | 48,931 | | | 93,990 | | | | |
| | 1,500 | | VMWARE, INC., CLASS A(b) | | | 47,285 | | | 84,855 | | | | |
| | 5,900 | | WESTERN DIGITAL CORP. | | | 91,433 | | | 354,295 | | | | |
| | 26,427 | | WESTERN UNION (THE) CO. | | | 476,123 | | | 473,308 | | | | |
| | 3,000 | | WORKDAY, INC., CLASS A(b) | | | 180,280 | | | 239,040 | | | | |
| | 168,960 | | XEROX CORP. | | | 1,777,838 | | | 1,796,045 | | | | |
| | 11,961 | | XILINX, INC. | | | 298,091 | | | 561,808 | | | | |
| | 20,640 | | YAHOO!, INC.(b) | | | 228,331 | | | 686,486 | | | | |
| | | | | | | 35,100,171 | | | 85,195,348 | | | 17.30 | % |
| | Materials: | | | | | | | | | | | | |
| | 2,775 | | AIR PRODUCTS & CHEMICALS, INC. | | | 126,374 | | | 361,055 | | | | |
See accompanying notes to the financial statements. | 40 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Materials (Cont’d): | | | | | | | | | | |
| | 400 | | AIRGAS, INC. | | $ | 16,882 | | | 55,328 | | | | |
| | 1,300 | | ALBEMARLE CORP. | | | 29,153 | | | 72,813 | | | | |
| | 800 | | APTARGROUP, INC. | | | 27,324 | | | 58,120 | | | | |
| | 11,498 | | ASHLAND, INC. | | | 1,149,892 | | | 1,180,845 | | | | |
| | 3,553 | | AVERY DENNISON CORP. | | | 211,095 | | | 222,631 | | | | |
| | 2,564 | | BALL CORP. | | | 10,015 | | | 186,480 | | | | |
| | 3,000 | | BEMIS CO., INC. | | | 66,889 | | | 134,070 | | | | |
| | 3,295 | | CELANESE CORP., SERIES A | | | 191,320 | | | 221,852 | | | | |
| | 7,619 | | CF INDUSTRIES HOLDINGS, INC. | | | 223,544 | | | 310,931 | | | | |
| | 500 | | COMPASS MINERALS INTERNATIONAL, INC. | | | 27,453 | | | 37,635 | | | | |
| | 37,723 | | CROWN HOLDINGS, INC.(b) | | | 1,245,559 | | | 1,912,556 | | | | |
| | 6,017 | | DOMTAR CORP.(c) | | | 215,123 | | | 222,328 | | | | |
| | 18,902 | | DOW CHEMICAL (THE) CO. | | | 571,553 | | | 973,075 | | | | |
| | 13,025 | | E.I. DU PONT DE NEMOURS & CO. | | | 366,183 | | | 867,465 | | | | |
| | 438 | | EAGLE MATERIALS, INC. | | | 1,727 | | | 26,468 | | | | |
| | 3,737 | | EASTMAN CHEMICAL CO. | | | 110,785 | | | 252,285 | | | | |
| | 3,991 | | ECOLAB, INC. | | | 137,417 | | | 456,491 | | | | |
| | 3,683 | | INTERNATIONAL FLAVORS & FRAGRANCES, INC. | | | 79,231 | | | 440,634 | | | | |
| | 9,431 | | INTERNATIONAL PAPER CO. | | | 115,495 | | | 355,549 | | | | |
| | 46,875 | | LYONDELLBASELL INDUSTRIES N.V., CLASS A | | | 3,950,178 | | | 4,073,438 | | | | |
| | 700 | | MARTIN MARIETTA MATERIALS, INC. | | | 27,965 | | | 95,606 | | | | |
| | 14,152 | | MONSANTO CO. | | | 416,648 | | | 1,394,255 | | | | |
| | 24,227 | | MOSAIC (THE) CO. | | | 726,851 | | | 668,423 | | | | |
| | 5,844 | | NUCOR CORP. | | | 99,313 | | | 235,513 | | | | |
| | 63,420 | | OWENS-ILLINOIS, INC.(b) | | | 1,513,192 | | | 1,104,776 | | | | |
| | 2,100 | | PACKAGING CORP. OF AMERICA | | | 30,902 | | | 132,405 | | | | |
| | 7,972 | | PPG INDUSTRIES, INC. | | | 180,558 | | | 787,793 | | | | |
| | 6,450 | | PRAXAIR, INC. | | | 258,706 | | | 660,480 | | | | |
| | 6,555 | | RELIANCE STEEL & ALUMINUM CO. | | | 321,215 | | | 379,600 | | | | |
| | 6,500 | | RPM INTERNATIONAL, INC. | | | 72,503 | | | 286,390 | | | | |
| | 5,473 | | SEALED AIR CORP. | | | 224,396 | | | 244,096 | | | | |
| | 3,939 | | SHERWIN-WILLIAMS (THE) CO. | | | 656,239 | | | 1,022,564 | | | | |
| | 3,600 | | SONOCO PRODUCTS CO. | | | 74,519 | | | 147,132 | | | | |
| | 3,234 | | SOUTHERN COPPER CORP.(c) | | | 38,445 | | | 84,472 | | | | |
| | 8,700 | | STEEL DYNAMICS, INC. | | | 95,178 | | | 155,469 | | | | |
| | 3,200 | | VALSPAR (THE) CORP. | | | 68,240 | | | 265,440 | | | | |
| | 4,510 | | VULCAN MATERIALS CO. | | | 263,016 | | | 428,315 | | | | |
| | 2,242 | | WESTROCK CO. | | | 27,004 | | | 102,280 | | | | |
| | | | | | | 13,968,082 | | | 20,617,058 | | | 4.19 | % |
| | Telecommunication Services: | | | | | | | | | | |
| | 80,412 | | AT&T, INC. | | | 1,497,497 | | | 2,766,977 | | | | |
| | 16,300 | | FRONTIER COMMUNICATIONS CORP. | | | 58,484 | | | 76,121 | | | | |
| | 6,710 | | LEVEL 3 COMMUNICATIONS, INC.(b) | | | 159,907 | | | 364,756 | | | | |
| | 44,067 | | NIPPON TELEGRAPH & TELEPHONE CORP. ADR(c)(d) | | | 1,318,506 | | | 1,751,223 | | | | |
| | 4,575 | | NTT DOCOMO, INC. ADR(c)(d) | | | 90,122 | | | 93,787 | | | | |
| | 400 | | SBA COMMUNICATIONS CORP., CLASS A(b) | | | 27,928 | | | 42,028 | | | | |
| | 27,740 | | SPRINT CORP.(b) | | | 103,117 | | | 100,419 | | | | |
| | 8,278 | | TELEPHONE & DATA SYSTEMS, INC. | | | 186,808 | | | 214,317 | | | | |
| | 9,550 | | T-MOBILE US, INC.(b) | | | 330,964 | | | 373,596 | | | | |
| | 28,583 | | VERIZON COMMUNICATIONS, INC. | | | 836,764 | | | 1,321,106 | | | | |
| | | | | | | 4,610,097 | | | 7,104,330 | | | 1.44 | % |
| | Utilities: | | | | | | | | | | |
| | 4,500 | | AGL RESOURCES, INC. | | | 135,198 | | | 287,145 | | | | |
| | 1,000 | | ALLIANT ENERGY CORP. | | | 24,835 | | | 62,450 | | | | |
| | 1,600 | | AMEREN CORP. | | | 40,872 | | | 69,168 | | | | |
| | 9,200 | | AMERICAN ELECTRIC POWER CO., INC. | | | 289,948 | | | 536,084 | | | | |
| | 35,230 | | AMERICAN WATER WORKS CO., INC. | | | 944,168 | | | 2,104,993 | | | | |
| | 1,735 | | AQUA AMERICA, INC. | | | 22,973 | | | 51,703 | | | | |
| | 8,500 | | CALPINE CORP.(b) | | | 56,652 | | | 122,995 | | | | |
| | 5,800 | | CENTERPOINT ENERGY, INC. | | | 66,308 | | | 106,488 | | | | |
| | 13,300 | | CMS ENERGY CORP. | | | 259,708 | | | 479,864 | | | | |
| | 6,889 | | CONSOLIDATED EDISON, INC. | | | 343,192 | | | 442,756 | | | | |
| | 8,862 | | DOMINION RESOURCES, INC. | | | 284,452 | | | 599,426 | | | | |
| | 2,300 | | DTE ENERGY CO. | | | 84,036 | | | 184,437 | | | | |
| | 7,051 | | DUKE ENERGY CORP. | | | 211,844 | | | 503,371 | | | | |
| | 8,525 | | EDISON INTERNATIONAL | | | 182,117 | | | 504,765 | | | | |
| | 3,064 | | ENTERGY CORP. | | | 60,101 | | | 209,455 | | | | |
See accompanying notes to the financial statements. | 41 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Utilities (Cont’d): | | | | | | | | | | |
| | 4,961 | | EVERSOURCE ENERGY | | $ | 125,492 | | | 253,358 | | | | |
| | 2,800 | | GREAT PLAINS ENERGY, INC. | | | 43,498 | | | 76,468 | | | | |
| | 10,500 | | ITC HOLDINGS CORP. | | | 154,843 | | | 412,125 | | | | |
| | 1,500 | | NATIONAL FUEL GAS CO. | | | 38,322 | | | 64,125 | | | | |
| | 4,000 | | NEXTERA ENERGY, INC. | | | 157,876 | | | 415,560 | | | | |
| | 6,900 | | NISOURCE, INC. | | | 43,973 | | | 134,619 | | | | |
| | 30,655 | | NRG YIELD, INC., CLASS A | | | 523,409 | | | 426,411 | | | | |
| | 35,815 | | NRG YIELD, INC., CLASS C | | | 590,913 | | | 528,629 | | | | |
| | 4,800 | | OGE ENERGY CORP. | | | 43,344 | | | 126,192 | | | | |
| | 500 | | ONE GAS, INC. | | | 3,925 | | | 25,085 | | | | |
| | 5,900 | | PG&E CORP. | | | 79,340 | | | 313,821 | | | | |
| | 2,400 | | PINNACLE WEST CAPITAL CORP. | | | 71,637 | | | 154,752 | | | | |
| | 800 | | PPL CORP. | | | 12,920 | | | 27,304 | | | | |
| | 6,400 | | PUBLIC SERVICE ENTERPRISE GROUP, INC. | | | 274,037 | | | 247,616 | | | | |
| | 4,800 | | SCANA CORP. | | | 166,536 | | | 290,352 | | | | |
| | 2,700 | | SEMPRA ENERGY | | | 124,368 | | | 253,827 | | | | |
| | 9,700 | | SOUTHERN (THE) CO. | | | 207,277 | | | 453,863 | | | | |
| | 7,600 | | TECO ENERGY, INC. | | | 90,842 | | | 202,540 | | | | |
| | 9,850 | | UGI CORP. | | | 246,882 | | | 332,536 | | | | |
| | 1,600 | | VECTREN CORP. | | | 77,182 | | | 67,872 | | | | |
| | 4,820 | | WEC ENERGY GROUP, INC. | | | 46,469 | | | 247,314 | | | | |
| | 1,400 | | WESTAR ENERGY, INC. | | | 25,767 | | | 59,374 | | | | |
| | 8,825 | | XCEL ENERGY, INC. | | | 193,224 | | | 316,906 | | | | |
| | | | | | | 6,348,480 | | | 11,695,749 | | | 2.37 | % |
| | | Sub-total Common Stocks: | | | 253,871,642 | | | 475,501,959 | | | 96.56 | % |
| Master Limited Partnerships: | | | | | | | | | | |
| | Energy: | | | | | | | | | | |
| | 55,900 | | ENTERPRISE PRODUCTS PARTNERS L.P. | | | 1,244,968 | | | 1,429,922 | | | | |
| | 24,235 | | MAGELLAN MIDSTREAM PARTNERS L.P. | | | 828,011 | | | 1,646,041 | | | | |
| | 30,795 | | VTTI ENERGY PARTNERS L.P.(c) | | | 627,516 | | | 638,381 | | | | |
| | | | | | | 2,700,495 | | | 3,714,344 | | | 0.75 | % |
| | | Sub-total Master Limited Partnerships: | | | 2,700,495 | | | 3,714,344 | | | 0.75 | % |
| Rights: | | | | | | | | | | |
| | Consumer Staples: | | | | | | | | | | |
| | 1,600 | | CASA LEY (CONTINGENT VALUE RIGHTS)(b) | | | 1,624 | | | 1,624 | | | | |
| | Financials: | | | | | | | | | | |
| | 1,600 | | PROPERTY DEVELOPMENT CENTERS LLC (CONTINGENT VALUE RIGHTS)(b) | | | 78 | | | 78 | | | | |
| | | Sub-total Rights: | | | 1,702 | | | 1,702 | | | 0.00 | % |
| Short-Term Investments: | | | | | | | | | | |
| | 10,519,384 | | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.09%(e) | | | 10,519,384 | | | 10,519,384 | | | | |
| | | Sub-total Short-Term Investments: | | | 10,519,384 | | | 10,519,384 | | | 2.14 | % |
| | | | Grand total(f) | | $ | 267,093,223 | | | 489,737,389 | | | 99.45 | % |
Notes to Schedule of Investments:
| | | |
| | (a) | Investments are valued in accordance with procedures described in note 2 to the financial statements. |
| | (b) | Non-income producing assets. |
| | (c) | Foreign security values are stated in U.S. dollars. As of December 31, 2015, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 5.53% of net assets. |
| | (d) | Securities are American Depositary Receipts of companies based outside of the United States representing 2.51% of net assets as of December 31, 2015. |
| | (e) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2014, the value of the Clearwater Core Equity Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $10,357,430 with net purchases of $161,954 during the fiscal year ended December 31, 2015. |
| | (f) | At December 31, 2015, the cost for Federal income tax purposes was $266,923,625. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
| Gross unrealized appreciation | | $ | 227,479,472 | |
| Gross unrealized depreciation | | | (4,665,708 | ) |
| Net unrealized appreciation | | $ | 222,813,764 | |
See accompanying notes to the financial statements. | 42 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments – Clearwater Core Equity Fund
December 31, 2015
See accompanying notes to the financial statements. | 43 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Common Stocks: | | | | | | | | | | |
| | Consumer Discretionary: | | | | | | | | | | |
| | 47,679 | | 1-800-FLOWERS.COM, INC., CLASS A(b) | | $ | 386,663 | | | 347,103 | | | | |
| | 35,600 | | AMERICAN AXLE & MANUFACTURING HOLDINGS, INC.(b) | | | 806,403 | | | 674,264 | | | | |
| | 220,146 | | BLACK DIAMOND, INC.(b) | | | 1,598,292 | | | 973,045 | | | | |
| | 48,900 | | BLOOMIN’ BRANDS, INC. | | | 1,124,517 | | | 825,921 | | | | |
| | 55,805 | | BRAVO BRIO RESTAURANT GROUP, INC.(b) | | | 720,142 | | | 502,245 | | | | |
| | 14,912 | | CALLAWAY GOLF CO. | | | 137,249 | | | 140,471 | | | | |
| | 24,835 | | CARRIAGE SERVICES, INC. | | | 455,737 | | | 598,524 | | | | |
| | 5,697 | | CSS INDUSTRIES, INC. | | | 163,303 | | | 161,681 | | | | |
| | 41,100 | | CST BRANDS, INC. | | | 1,266,746 | | | 1,608,654 | | | | |
| | 81,711 | | DANA HOLDING CORP. | | | 1,885,252 | | | 1,127,612 | | | | |
| | 128,500 | | DENNY’S CORP.(b) | | | 495,367 | | | 1,263,155 | | | | |
| | 142,135 | | EW SCRIPPS (THE) CO., CLASS A | | | 2,718,703 | | | 2,700,565 | | | | |
| | 32,657 | | FTD COS., INC.(b) | | | 1,028,002 | | | 854,634 | | | | |
| | 24,477 | | G-III APPAREL GROUP LTD.(b) | | | 1,206,942 | | | 1,083,352 | | | | |
| | 14,464 | | HELEN OF TROY LTD.(b) | | | 1,120,930 | | | 1,363,232 | | | | |
| | 32,897 | | HORIZON GLOBAL CORP.(b) | | | 294,154 | | | 341,142 | | | | |
| | 45,000 | | HOUGHTON MIFFLIN HARCOURT CO.(b) | | | 939,234 | | | 980,100 | | | | |
| | 94,083 | | IROBOT CORP.(b) | | | 2,976,777 | | | 3,330,538 | | | | |
| | 43,809 | | JAMBA, INC.(b) | | | 601,555 | | | 590,983 | | | | |
| | 145,684 | | LIFELOCK, INC.(b) | | | 1,771,406 | | | 2,090,565 | | | | |
| | 19,003 | | LITHIA MOTORS, INC., CLASS A | | | 1,145,958 | | | 2,027,050 | | | | |
| | 25,284 | | MARRIOTT VACATIONS WORLDWIDE CORP. | | | 1,580,674 | | | 1,439,924 | | | | |
| | 73,000 | | MEDIA GENERAL, INC.(b) | | | 1,166,231 | | | 1,178,950 | | | | |
| | 4,490 | | MODINE MANUFACTURING CO.(b) | | | 39,392 | | | 40,635 | | | | |
| | 34,867 | | OUTERWALL, INC. | | | 2,352,959 | | | 1,274,040 | | | | |
| | 26,000 | | PENSKE AUTOMOTIVE GROUP, INC. | | | 499,100 | | | 1,100,840 | | | | |
| | 17,679 | | PEP BOYS-MANNY MOE & JACK (THE)(b) | | | 156,374 | | | 325,470 | | | | |
| | 6,319 | | PERRY ELLIS INTERNATIONAL, INC.(b) | | | 145,003 | | | 116,396 | | | | |
| | 17,496 | | RENT-A-CENTER, INC. | | | 304,976 | | | 261,915 | | | | |
| | 52,867 | | SHUTTERFLY, INC.(b) | | | 2,345,299 | | | 2,355,754 | | | | |
| | 29,602 | | SUMMER INFANT, INC.(b) | | | 70,210 | | | 66,012 | | | | |
| | 21,878 | | SUPERIOR INDUSTRIES INTERNATIONAL, INC. | | | 405,265 | | | 402,993 | | | | |
| | 106,061 | | TILE SHOP HOLDINGS, INC.(b) | | | 1,221,079 | | | 1,739,400 | | | | |
| | 57,000 | | TIME, INC. | | | 1,346,835 | | | 893,190 | | | | |
| | 30,323 | | TRAVELCENTERS OF AMERICA LLC(b) | | | 339,122 | | | 285,036 | | | | |
| | 81,100 | | TRI POINTE GROUP, INC.(b) | | | 1,357,771 | | | 1,027,537 | | | | |
| | 3,965 | | UNIFI, INC.(b) | | | 107,352 | | | 111,615 | | | | |
| | 12,300 | | VAIL RESORTS, INC. | | | 445,869 | | | 1,574,277 | | | | |
| | 24,100 | | VISTA OUTDOOR, INC.(b) | | | 1,069,330 | | | 1,072,691 | | | | |
| | 38,337 | | VITAMIN SHOPPE, INC.(b) | | | 1,529,146 | | | 1,253,620 | | | | |
| | 12,385 | | WINNEBAGO INDUSTRIES, INC. | | | 253,598 | | | 246,462 | | | | |
| | | | | | | 39,578,917 | | | 40,351,593 | | | 13.48 | % |
| | Consumer Staples: | | | | | | | | | | |
| | 65,489 | | BOULDER BRANDS, INC.(b) | | | 717,301 | | | 719,069 | | | | |
| | 53,104 | | CAL-MAINE FOODS, INC. | | | 2,170,390 | | | 2,460,839 | | | | |
| | 56,350 | | FLOWERS FOODS, INC. | | | 466,378 | | | 1,210,962 | | | | |
| | 63,394 | | FRESH MARKET (THE), INC.(b) | | | 2,176,391 | | | 1,484,687 | | | | |
| | 8,313 | | JOHN B. SANFILIPPO & SON, INC. | | | 296,392 | | | 449,151 | | | | |
| | 17,551 | | MEDIFAST, INC. | | | 524,103 | | | 533,199 | | | | |
| | 4,613 | | OMEGA PROTEIN CORP.(b) | | | 62,610 | | | 102,409 | | | | |
| | 84,122 | | S&W SEED CO.(b) | | | 370,661 | | | 354,995 | | | | |
| | 7,087 | | SENECA FOODS CORP., CLASS A(b) | | | 154,404 | | | 205,381 | | | | |
| | 27,729 | | SPARTANNASH CO. | | | 635,551 | | | 600,056 | | | | |
| | 25,897 | | SPECTRUM BRANDS HOLDINGS, INC. | | | 981,292 | | | 2,636,315 | | | | |
| | | | | | | 8,555,473 | | | 10,757,063 | | | 3.59 | % |
| | Energy: | | | | | | | | | | |
| | 21,103 | | ALON USA ENERGY, INC. | | | 281,273 | | | 313,168 | | | | |
| | 36,138 | | CARRIZO OIL & GAS, INC.(b) | | | 917,892 | | | 1,068,962 | | | | |
| | 15,780 | | ENERGEN CORP. | | | 784,608 | | | 646,822 | | | | |
| | 62,691 | | FORUM ENERGY TECHNOLOGIES, INC.(b) | | | 1,353,531 | | | 781,130 | | | | |
| | 68,986 | | MEMORIAL RESOURCE DEVELOPMENT CORP.(b) | | | 1,275,416 | | | 1,114,124 | | | | |
| | 43,300 | | PARSLEY ENERGY, INC., CLASS A(b) | | | 801,057 | | | 798,885 | | | | |
| | 47,953 | | STEEL EXCEL, INC.(b) | | | 900,248 | | | 705,389 | | | | |
| | 115,300 | | SYNERGY RESOURCES CORP.(b) | | | 1,219,900 | | | 982,356 | | | | |
| | | | | | | 7,533,925 | | | 6,410,836 | | | 2.14 | % |
See accompanying notes to the financial statements. | 44 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Financials: | | | | | | | | | | |
| | 33,843 | | ALEXANDER & BALDWIN, INC. | | $ | 1,335,780 | | | 1,194,996 | | | | |
| | 66,800 | | AMERICAN EQUITY INVESTMENT LIFE HOLDING CO. | | | 1,445,024 | | | 1,605,204 | | | | |
| | 32,805 | | AMERICAN NATIONAL BANKSHARES, INC. | | | 706,239 | | | 840,136 | | | | |
| | 14,806 | | ASHFORD HOSPITALITY PRIME, INC. | | | 230,752 | | | 214,687 | | | | |
| | 208,397 | | ASHFORD HOSPITALITY TRUST, INC. | | | 1,767,497 | | | 1,314,985 | | | | |
| | 41,400 | | BANCORPSOUTH, INC. | | | 829,969 | | | 993,186 | | | | |
| | 9,976 | | BANK MUTUAL CORP. | | | 71,542 | | | 77,813 | | | | |
| | 57,741 | | BANKUNITED, INC. | | | 1,705,663 | | | 2,082,141 | | | | |
| | 611 | | BCB BANCORP, INC. | | | 6,413 | | | 6,354 | | | | |
| | 13,452 | | BERKSHIRE HILLS BANCORP, INC. | | | 267,307 | | | 391,588 | | | | |
| | 35,474 | | BLUE HILLS BANCORP, INC. | | | 468,984 | | | 543,107 | | | | |
| | 18,925 | | BNC BANCORP | | | 316,881 | | | 480,317 | | | | |
| | 39,448 | | BROOKLINE BANCORP, INC. | | | 358,488 | | | 453,652 | | | | |
| | 15,105 | | BSB BANCORP, INC.(b) | | | 236,123 | | | 353,306 | | | | |
| | 132,903 | | CAMPUS CREST COMMUNITIES, INC. | | | 887,138 | | | 903,740 | | | | �� |
| | 19,270 | | CAPE BANCORP, INC. | | | 174,758 | | | 239,526 | | | | |
| | 20,025 | | CARETRUST REIT, INC. | | | 210,263 | | | 219,274 | | | | |
| | 11,413 | | CAROLINA FINANCIAL CORP. | | | 174,037 | | | 205,434 | | | | |
| | 41,265 | | CHESAPEAKE LODGING TRUST | | | 651,049 | | | 1,038,227 | | | | |
| | 36,254 | | CHEVIOT FINANCIAL CORP. | | | 413,484 | | | 555,774 | | | | |
| | 9,205 | | CHICOPEE BANCORP, INC. | | | 148,166 | | | 159,615 | | | | |
| | 12,224 | | CITIZENS & NORTHERN CORP. | | | 240,204 | | | 256,704 | | | | |
| | 19,721 | | CNB FINANCIAL CORP. | | | 335,081 | | | 355,570 | | | | |
| | 4,890 | | COMMUNITY BANKERS TRUST CORP.(b) | | | 24,622 | | | 26,259 | | | | |
| | 8,556 | | COMMUNITY TRUST BANCORP, INC. | | | 279,605 | | | 299,118 | | | | |
| | 28,039 | | CONNECTONE BANCORP, INC. | | | 506,709 | | | 524,049 | | | | |
| | 72,215 | | CORPORATE OFFICE PROPERTIES TRUST | | | 2,023,892 | | | 1,576,453 | | | | |
| | 104,551 | | COUSINS PROPERTIES, INC. | | | 1,057,919 | | | 985,916 | | | | |
| | 18,835 | | DONEGAL GROUP, INC., CLASS A | | | 295,142 | | | 265,197 | | | | |
| | 23,407 | | EMC INSURANCE GROUP, INC. | | | 359,295 | | | 592,197 | | | | |
| | 10,288 | | EVANS BANCORP, INC. | | | 228,397 | | | 262,344 | | | | |
| | 79,671 | | FARMERS NATIONAL BANC CORP. | | | 608,534 | | | 685,171 | | | | |
| | 9,411 | | FINANCIAL INSTITUTIONS, INC. | | | 164,057 | | | 263,508 | | | | |
| | 20,843 | | FIRST BANCORP | | | 332,154 | | | 390,598 | | | | |
| | 7,340 | | FIRST BUSINESS FINANCIAL SERVICES, INC. | | | 159,645 | | | 183,573 | | | | |
| | 15,011 | | FIRST FINANCIAL CORP. | | | 472,904 | | | 509,924 | | | | |
| | 54,100 | | FIRSTMERIT CORP. | | | 912,539 | | | 1,008,965 | | | | |
| | 15,109 | | FLUSHING FINANCIAL CORP. | | | 238,321 | | | 326,959 | | | | |
| | 46,300 | | FORESTAR GROUP, INC.(b) | | | 769,985 | | | 506,522 | | | | |
| | 35,200 | | GAMING AND LEISURE PROPERTIES, INC. | | | 1,244,385 | | | 978,560 | | | | |
| | 5,356 | | GERMAN AMERICAN BANCORP, INC. | | | 143,918 | | | 178,462 | | | | |
| | 26,353 | | GETTY REALTY CORP. | | | 423,235 | | | 451,954 | | | | |
| | 228,747 | | GRAMERCY PROPERTY TRUST | | | 1,659,094 | | | 1,765,926 | | | | |
| | 69,469 | | GREAT WESTERN BANCORP, INC. | | | 1,557,997 | | | 2,015,990 | | | | |
| | 52,430 | | GUARANTY BANCORP | | | 846,249 | | | 867,192 | | | | |
| | 68,354 | | HANMI FINANCIAL CORP. | | | 1,475,565 | | | 1,621,357 | | | | |
| | 17,800 | | HANOVER INSURANCE GROUP (THE), INC. | | | 948,198 | | | 1,447,852 | | | | |
| | 30,586 | | HERITAGE COMMERCE CORP. | | | 275,322 | | | 365,809 | | | | |
| | 24,794 | | HERITAGE FINANCIAL CORP. | | | 308,156 | | | 467,119 | | | | |
| | 64,153 | | HERSHA HOSPITALITY TRUST | | | 1,701,437 | | | 1,395,969 | | | | |
| | 27,564 | | HORACE MANN EDUCATORS CORP. | | | 614,963 | | | 914,574 | | | | |
| | 18,100 | | IBERIABANK CORP. | | | 853,747 | | | 996,767 | | | | |
| | 9,320 | | KEARNY FINANCIAL CORP. | | | 119,896 | | | 118,084 | | | | |
| | 76,887 | | KITE REALTY GROUP TRUST | | | 1,928,435 | | | 1,993,680 | | | | |
| | 15,520 | | LCNB CORP. | | | 243,488 | | | 253,907 | | | | |
| | 89,465 | | LEGACYTEXAS FINANCIAL GROUP, INC. | | | 1,796,145 | | | 2,238,414 | | | | |
| | 40,348 | | MARCUS & MILLICHAP, INC.(b) | | | 1,296,501 | | | 1,175,741 | | | | |
| | 152,473 | | MEDICAL PROPERTIES TRUST, INC. | | | 1,739,431 | | | 1,754,964 | | | | |
| | 544 | | MIDWESTONE FINANCIAL GROUP, INC. | | | 16,317 | | | 16,543 | | | | |
| | 88,208 | | NATIONAL BANK HOLDINGS CORP., CLASS A | | | 1,675,923 | | | 1,885,005 | | | | |
| | 119,543 | | NEW MOUNTAIN FINANCE CORP. | | | 1,768,271 | | | 1,556,450 | | | | |
| | 39,682 | | NORTHWEST BANCSHARES, INC. | | | 479,871 | | | 531,342 | | | | |
| | 2,519 | | OLD LINE BANCSHARES, INC. | | | 40,395 | | | 44,259 | | | | |
| | 37,969 | | OPUS BANK | | | 1,393,513 | | | 1,403,714 | | | | |
| | 24,206 | | ORITANI FINANCIAL CORP. | | | 322,630 | | | 399,399 | | | | |
| | 39,360 | | PACIFIC CONTINENTAL CORP. | | | 452,033 | | | 585,677 | | | | |
| | 24,696 | | PACIFIC MERCANTILE BANCORP(b) | | | 156,100 | | | 175,589 | | | | |
See accompanying notes to the financial statements. | 45 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Financials (Cont’d): | | | | | | | | | | |
| | 27,784 | | PACWEST BANCORP | | $ | 665,659 | | | 1,197,490 | | | | |
| | 29,256 | | PARK STERLING CORP. | | | 191,588 | | | 214,154 | | | | |
| | 34,186 | | PEOPLES BANCORP, INC. | | | 785,519 | | | 644,064 | | | | |
| | 26,883 | | PEOPLE’S UTAH BANCORP | | | 410,373 | | | 462,656 | | | | |
| | 6,921 | | PHOENIX (THE) COS., INC.(b) | | | 230,740 | | | 256,354 | | | | |
| | 72,700 | | PROVIDENT FINANCIAL SERVICES, INC. | | | 1,313,447 | | | 1,464,905 | | | | |
| | 10,622 | | QCR HOLDINGS, INC. | | | 206,661 | | | 258,008 | | | | |
| | 4,643 | | RENASANT CORP. | | | 69,426 | | | 159,766 | | | | |
| | 19,690 | | RYMAN HOSPITALITY PROPERTIES, INC. | | | 335,984 | | | 1,016,792 | | | | |
| | 55,900 | | SABRA HEALTH CARE REIT, INC. | | | 1,054,677 | | | 1,130,857 | | | | |
| | 4,971 | | SANDY SPRING BANCORP, INC. | | | 115,606 | | | 134,018 | | | | |
| | 29,297 | | SI FINANCIAL GROUP, INC. | | | 292,666 | | | 399,904 | | | | |
| | 168,500 | | SLM CORP.(b) | | | 1,441,141 | | | 1,098,620 | | | | |
| | 86,700 | | SPIRIT REALTY CAPITAL, INC. | | | 690,036 | | | 868,734 | | | | |
| | 61,485 | | STAG INDUSTRIAL, INC. | | | 1,265,473 | | | 1,134,398 | | | | |
| | 14,460 | | STATE BANK FINANCIAL CORP. | | | 234,256 | | | 304,094 | | | | |
| | 18,871 | | STONEGATE BANK | | | 518,439 | | | 620,101 | | | | |
| | 44,000 | | SYNOVUS FINANCIAL CORP. | | | 1,111,625 | | | 1,424,720 | | | | |
| | 21,700 | | TEXAS CAPITAL BANCSHARES, INC.(b) | | | 1,077,542 | | | 1,072,414 | | | | |
| | 15,025 | | TRICO BANCSHARES | | | 373,658 | | | 412,286 | | | | |
| | 30,900 | | UMB FINANCIAL CORP. | | | 1,599,416 | | | 1,438,395 | | | | |
| | 91,963 | | UMPQUA HOLDINGS CORP. | | | 1,020,980 | | | 1,462,212 | | | | |
| | 34,400 | | UNION BANKSHARES CORP. | | | 802,320 | | | 868,256 | | | | |
| | 100,290 | | UNITED FINANCIAL BANCORP, INC. | | | 1,140,942 | | | 1,291,735 | | | | |
| | 32,914 | | UNIVEST CORP. OF PENNSYLVANIA | | | 592,199 | | | 686,586 | | | | |
| | 38,500 | | URBAN EDGE PROPERTIES | | | 880,313 | | | 902,825 | | | | |
| | 12,435 | | URSTADT BIDDLE PROPERTIES, INC., CLASS A | | | 210,694 | | | 239,249 | | | | |
| | 26,329 | | VALIDUS HOLDINGS LTD.(c) | | | 1,214,543 | | | 1,218,769 | | | | |
| | 35,625 | | WALKER & DUNLOP, INC.(b) | | | 440,048 | | | 1,026,356 | | | | |
| | 9,892 | | WASHINGTONFIRST BANKSHARES, INC. | | | 197,840 | | | 223,955 | | | | |
| | 22,300 | | WINTRUST FINANCIAL CORP. | | | 760,889 | | | 1,081,996 | | | | |
| | 75,718 | | WISDOMTREE INVESTMENTS, INC. | | | 1,566,501 | | | 1,187,258 | | | | |
| | 50,500 | | XENIA HOTELS & RESORTS, INC. | | | 1,111,008 | | | 774,165 | | | | |
| | | | | | | 70,817,986 | | | 77,168,480 | | | 25.78 | % |
| | Health Care: | | | | | | | | | | |
| | 54,114 | | ACCURAY, INC.(b) | | | 382,573 | | | 365,269 | | | | |
| | 17,837 | | ACETO CORP. | | | 386,397 | | | 481,242 | | | | |
| | 36,275 | | AIR METHODS CORP.(b) | | | 1,545,700 | | | 1,521,011 | | | | |
| | 5,380 | | ALBANY MOLECULAR RESEARCH, INC.(b) | | | 89,232 | | | 106,793 | | | | |
| | 70,463 | | ALERE, INC.(b) | | | 2,385,300 | | | 2,754,399 | | | | |
| | 4,593 | | ALLIANCE HEALTHCARE SERVICES, INC.(b) | | | 34,466 | | | 42,164 | | | | |
| | 43,203 | | AMN HEALTHCARE SERVICES, INC.(b) | | | 1,309,921 | | | 1,341,453 | | | | |
| | 18,912 | | AMSURG CORP.(b) | | | 1,578,102 | | | 1,437,312 | | | | |
| | 1,145 | | ANIKA THERAPEUTICS, INC.(b) | | | 37,169 | | | 43,693 | | | | |
| | 188,942 | | BIOSCRIP, INC.(b) | | | 879,054 | | | 330,649 | | | | |
| | 8,253 | | CROSS COUNTRY HEALTHCARE, INC.(b) | | | 101,623 | | | 135,267 | | | | |
| | 16,928 | | CRYOLIFE, INC. | | | 161,766 | | | 182,484 | | | | |
| | 4,147 | | CYNOSURE, INC., CLASS A(b) | | | 96,011 | | | 185,246 | | | | |
| | 77,017 | | DEPOMED, INC.(b) | | | 2,091,287 | | | 1,396,318 | | | | |
| | 32,995 | | EMERGENT BIOSOLUTIONS, INC.(b) | | | 721,485 | | | 1,320,130 | | | | |
| | 107,776 | | EXAMWORKS GROUP, INC.(b) | | | 3,424,025 | | | 2,866,842 | | | | |
| | 80,239 | | FLAMEL TECHNOLOGIES S.A. ADR(b)(c)(d) | | | 1,168,794 | | | 979,718 | | | | |
| | 65,901 | | GLOBUS MEDICAL, INC., CLASS A(b) | | | 1,077,071 | | | 1,833,366 | | | | |
| | 42,076 | | HEALTHSOUTH CORP. | | | 1,438,475 | | | 1,464,666 | | | | |
| | 9,026 | | HEALTHSTREAM, INC.(b) | | | 236,123 | | | 198,572 | | | | |
| | 113,762 | | HMS HOLDINGS CORP.(b) | | | 1,789,540 | | | 1,403,823 | | | | |
| | 50,907 | | HORIZON PHARMA PLC(b) | | | 862,459 | | | 1,103,155 | | | | |
| | 28,750 | | ICON PLC(b)(c) | | | 1,404,710 | | | 2,233,875 | | | | |
| | 3,134 | | LANDAUER, INC. | | | 101,867 | | | 103,171 | | | | |
| | 24,196 | | LIFEPOINT HEALTH, INC.(b) | | | 1,638,783 | | | 1,775,986 | | | | |
| | 9,561 | | MISONIX, INC.(b) | | | 99,622 | | | 89,778 | | | | |
| | 49,235 | | OMNICELL, INC.(b) | | | 1,692,324 | | | 1,530,224 | | | | |
| | 19,253 | | ORASURE TECHNOLOGIES, INC.(b) | | | 94,029 | | | 123,989 | | | | |
| | 25,404 | | PAREXEL INTERNATIONAL CORP.(b) | | | 1,417,212 | | | 1,730,520 | | | | |
| | 2,241 | | PHARMERICA CORP.(b) | | | 46,702 | | | 78,435 | | | | |
| | 30,917 | | PSYCHEMEDICS CORP. | | | 366,494 | | | 313,498 | | | | |
| | 3,852 | | SAGENT PHARMACEUTICALS, INC.(b) | | | 58,321 | | | 61,285 | | | | |
| | 3,530 | | SPAN-AMERICA MEDICAL SYSTEMS, INC. | | | 64,206 | | | 70,071 | | | | |
See accompanying notes to the financial statements. | 46 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Health Care (Cont’d): | | | | | | | | | | |
| | 11,458 | | SYMMETRY SURGICAL, INC.(b) | | $ | 75,511 | | | 105,414 | | | | |
| | 30,740 | | WEST PHARMACEUTICAL SERVICES, INC. | | | 591,771 | | | 1,851,163 | | | | |
| | 48,246 | | WRIGHT MEDICAL GROUP N.V.(b)(c) | | | 1,262,788 | | | 1,166,588 | | | | |
| | | | | | | 30,710,913 | | | 32,727,569 | | | 10.93 | % |
| | Industrials: | | | | | | | | | | |
| | 23,500 | | A.O. SMITH CORP. | | | 461,432 | | | 1,800,335 | | | | |
| | 44,000 | | ABM INDUSTRIES, INC. | | | 1,286,854 | | | 1,252,680 | | | | |
| | 70,410 | | AEROJET ROCKETDYNE HOLDINGS, INC.(b) | | | 1,194,615 | | | 1,102,621 | | | | |
| | 4,325 | | AEROVIRONMENT, INC.(b) | | | 93,775 | | | 127,458 | | | | |
| | 39,200 | | AIR LEASE CORP. | | | 906,256 | | | 1,312,416 | | | | |
| | 4,484 | | ALLEGIANT TRAVEL CO. | | | 461,911 | | | 752,550 | | | | |
| | 81,464 | | API TECHNOLOGIES CORP.(b) | | | 207,682 | | | 112,420 | | | | |
| | 45,048 | | ASTRONICS CORP.(b) | | | 1,887,958 | | | 1,833,904 | | | | |
| | 15,190 | | AZZ, INC. | | | 640,898 | | | 844,108 | | | | |
| | 29,237 | | BLOUNT INTERNATIONAL, INC.(b) | | | 239,487 | | | 286,815 | | | | |
| | 80,890 | | CASELLA WASTE SYSTEMS, INC., CLASS A(b) | | | 395,401 | | | 483,722 | | | | |
| | 16,536 | | CLARCOR, INC. | | | 958,950 | | | 821,509 | | | | |
| | 15,313 | | DIGITALGLOBE, INC.(b) | | | 232,313 | | | 239,802 | | | | |
| | 100,494 | | ECHO GLOBAL LOGISTICS, INC.(b) | | | 2,345,504 | | | 2,049,073 | | | | |
| | 5,862 | | ENCORE WIRE CORP. | | | 212,351 | | | 217,422 | | | | |
| | 3,692 | | ENNIS, INC. | | | 40,293 | | | 71,071 | | | | |
| | 20,000 | | ENPRO INDUSTRIES, INC. | | | 569,233 | | | 876,800 | | | | |
| | 51,981 | | ESCO TECHNOLOGIES, INC. | | | 1,870,869 | | | 1,878,593 | | | | |
| | 14,400 | | FORTUNE BRANDS HOME & SECURITY, INC. | | | 279,186 | | | 799,200 | | | | |
| | 74,472 | | GENERAC HOLDINGS, INC.(b) | | | 2,737,905 | | | 2,217,031 | | | | |
| | 8,724 | | GENERAL CABLE CORP. | | | 126,248 | | | 117,163 | | | | |
| | 9,500 | | GENESEE & WYOMING, INC., CLASS A(b) | | | 231,632 | | | 510,055 | | | | |
| | 2,748 | | GIBRALTAR INDUSTRIES, INC.(b) | | | 39,457 | | | 69,909 | | | | |
| | 25,427 | | GREENBRIER (THE) COS., INC. | | | 1,080,013 | | | 829,429 | | | | |
| | 28,210 | | HARSCO CORP. | | | 289,377 | | | 222,295 | | | | |
| | 41,700 | | HILLENBRAND, INC. | | | 1,231,301 | | | 1,235,571 | | | | |
| | 35,684 | | HURON CONSULTING GROUP, INC.(b) | | | 2,047,186 | | | 2,119,630 | | | | |
| | 32,400 | | ITT CORP. | | | 644,275 | | | 1,176,768 | | | | |
| | 22,791 | | JASON INDUSTRIES, INC.(b) | | | 182,594 | | | 86,150 | | | | |
| | 28,400 | | JOHN BEAN TECHNOLOGIES CORP. | | | 366,843 | | | 1,415,172 | | | | |
| | 1,927 | | KADANT, INC. | | | 76,692 | | | 78,255 | | | | |
| | 77,569 | | LSI INDUSTRIES, INC. | | | 654,416 | | | 945,566 | | | | |
| | 20,388 | | MULTI-COLOR CORP. | | | 1,322,586 | | | 1,219,406 | | | | |
| | 12,524 | | NORDSON CORP. | | | 824,581 | | | 803,415 | | | | |
| | 19,944 | | NORTEK, INC.(b) | | | 870,895 | | | 869,957 | | | | |
| | 65,147 | | ON ASSIGNMENT, INC.(b) | | | 1,933,020 | | | 2,928,358 | | | | |
| | 174,626 | | PGT, INC.(b) | | | 2,152,359 | | | 1,988,990 | | | | |
| | 27,667 | | QUANEX BUILDING PRODUCTS CORP. | | | 523,254 | | | 576,857 | | | | |
| | 27,007 | | REGAL BELOIT CORP. | | | 1,727,838 | | | 1,580,450 | | | | |
| | 35,269 | | REXNORD CORP.(b) | | | 905,321 | | | 639,074 | | | | |
| | 43,800 | | RITCHIE BROS. AUCTIONEERS, INC.(c) | | | 969,778 | | | 1,056,018 | | | | |
| | 30,578 | | SPARTON CORP.(b) | | | 743,483 | | | 611,254 | | | | |
| | 11,254 | | TELEDYNE TECHNOLOGIES, INC.(b) | | | 351,764 | | | 998,230 | | | | |
| | 17,113 | | TRIMAS CORP.(b) | | | 364,723 | | | 319,157 | | | | |
| | 24,060 | | TRIUMPH GROUP, INC. | | | 1,528,201 | | | 956,385 | | | | |
| | 56,038 | | VERSAR, INC.(b) | | | 193,786 | | | 173,157 | | | | |
| | 43,396 | | VIAD CORP. | | | 1,101,840 | | | 1,225,069 | | | | |
| | 45,637 | | WOODWARD, INC. | | | 1,779,701 | | | 2,266,333 | | | | |
| | | | | | | 41,286,037 | | | 46,097,603 | | | 15.40 | % |
| | Information Technology: | | | | | | | | | | |
| | 13,778 | | ASURE SOFTWARE, INC.(b) | | | 81,915 | | | 62,139 | | | | |
| | 30,069 | | BELDEN, INC. | | | 1,811,285 | | | 1,433,690 | | | | |
| | 106,487 | | CALLIDUS SOFTWARE, INC.(b) | | | 1,156,913 | | | 1,977,464 | | | | |
| | 9,036 | | CHECKPOINT SYSTEMS, INC. | | | 63,796 | | | 56,656 | | | | |
| | 14,137 | | CIBER, INC.(b) | | | 50,127 | | | 49,621 | | | | |
| | 50,215 | | COGNEX CORP. | | | 1,355,552 | | | 1,695,760 | | | | |
| | 33,200 | | DIEBOLD, INC. | | | 1,091,832 | | | 998,988 | | | | |
| | 14,281 | | DSP GROUP, INC.(b) | | | 144,166 | | | 134,813 | | | | |
| | 74,009 | | ELECTRONICS FOR IMAGING, INC.(b) | | | 3,051,334 | | | 3,459,181 | | | | |
| | 17,858 | | EPIQ SYSTEMS, INC. | | | 289,346 | | | 233,404 | | | | |
| | 25,886 | | EURONET WORLDWIDE, INC.(b) | | | 1,000,113 | | | 1,874,923 | | | | |
See accompanying notes to the financial statements. | 47 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Information Technology (Cont’d): | | | | | | | | | | |
| | 12,733 | | EVERYDAY HEALTH, INC.(b) | | $ | 73,546 | | | 76,653 | | | | |
| | 25,980 | | EXAR CORP.(b) | | | 167,875 | | | 159,257 | | | | |
| | 68,600 | | FAIRCHILD SEMICONDUCTOR INTERNATIONAL, INC.(b) | | | 855,360 | | | 1,420,706 | | | | |
| | 52,733 | | FARO TECHNOLOGIES, INC.(b) | | | 1,998,409 | | | 1,556,678 | | | | |
| | 68,934 | | FRANKLIN WIRELESS CORP.(b) | | | 125,914 | | | 151,655 | | | | |
| | 52,123 | | FREQUENCY ELECTRONICS, INC.(b) | | | 524,497 | | | 553,546 | | | | |
| | 68,536 | | GLOBALSCAPE, INC. | | | 182,918 | | | 271,403 | | | | |
| | 70,085 | | INTERNAP CORP.(b) | | | 551,194 | | | 448,544 | | | | |
| | 23,482 | | INTEST CORP.(b) | | | 83,922 | | | 99,329 | | | | |
| | 42,524 | | IPG PHOTONICS CORP.(b) | | | 2,491,582 | | | 3,791,440 | | | | |
| | 30,550 | | ITERIS, INC.(b) | | | 59,851 | | | 65,683 | | | | |
| | 39,000 | | KNOWLES CORP.(b) | | | 1,186,746 | | | 519,870 | | | | |
| | 27,993 | | LATTICE SEMICONDUCTOR CORP.(b) | | | 169,201 | | | 181,115 | | | | |
| | 34,627 | | LIONBRIDGE TECHNOLOGIES, INC.(b) | | | 139,723 | | | 170,019 | | | | |
| | 9,493 | | LOJACK CORP.(b) | | | 50,207 | | | 52,781 | | | | |
| | 24,028 | | MARCHEX, INC., CLASS B | | | 92,105 | | | 93,469 | | | | |
| | 14,499 | | MAXLINEAR, INC., CLASS A(b) | | | 105,174 | | | 213,570 | | | | |
| | 30,891 | | MERCURY SYSTEMS, INC.(b) | | | 364,308 | | | 567,159 | | | | |
| | 59,633 | | METHODE ELECTRONICS, INC. | | | 1,879,856 | | | 1,898,118 | | | | |
| | 164,500 | | MITEL NETWORKS CORP.(b)(c) | | | 1,490,514 | | | 1,265,005 | | | | |
| | 120,381 | | MODUSLINK GLOBAL SOLUTIONS, INC.(b) | | | 406,754 | | | 298,545 | | | | |
| | 224,920 | | MONSTER WORLDWIDE, INC.(b) | | | 1,378,453 | | | 1,288,791 | | | | |
| | 13,169 | | OSI SYSTEMS, INC.(b) | | | 922,479 | | | 1,167,563 | | | | |
| | 26,017 | | PC-TEL, INC. | | | 177,534 | | | 118,377 | | | | |
| | 5,137 | | PERCEPTRON, INC.(b) | | | 39,667 | | | 40,017 | | | | |
| | 98,944 | | PERFICIENT, INC.(b) | | | 1,664,342 | | | 1,693,921 | | | | |
| | 26,867 | | PLANET PAYMENT, INC.(b) | | | 62,891 | | | 81,944 | | | | |
| | 103,922 | | QUANTUM CORP.(b) | | | 116,670 | | | 96,647 | | | | |
| | 27,789 | | RADWARE LTD.(b)(c) | | | 541,508 | | | 426,283 | | | | |
| | 31,663 | | ROGERS CORP.(b) | | | 1,950,595 | | | 1,632,861 | | | | |
| | 1,941 | | ROVI CORP.(b) | | | 17,243 | | | 32,337 | | | | |
| | 21,502 | | SHORETEL, INC.(b) | | | 158,831 | | | 190,293 | | | | |
| | 54,750 | | SUPER MICRO COMPUTER, INC.(b) | | | 1,487,353 | | | 1,341,923 | | | | |
| | 285,218 | | SUPPORT.COM, INC.(b) | | | 326,051 | | | 288,070 | | | | |
| | 5,324 | | SYKES ENTERPRISES, INC.(b) | | | 78,607 | | | 163,873 | | | | |
| | 67,278 | | SYNCHRONOSS TECHNOLOGIES, INC.(b) | | | 2,478,435 | | | 2,370,204 | | | | |
| | 26,856 | | SYNNEX CORP. | | | 1,059,033 | | | 2,415,160 | | | | |
| | 143,890 | | TELECOMMUNICATION SYSTEMS, INC., CLASS A(b) | | | 561,547 | | | 715,133 | | | | |
| | 70,421 | | UNISYS CORP.(b) | | | 1,311,592 | | | 778,152 | | | | |
| | 26,300 | | VERINT SYSTEMS, INC.(b) | | | 998,158 | | | 1,066,728 | | | | |
| | 9,500 | | WEX, INC.(b) | | | 248,602 | | | 839,800 | | | | |
| | 57,062 | | XURA, INC.(b) | | | 1,328,062 | | | 1,402,584 | | | | |
| | 10,003 | | ZIX CORP.(b) | | | 24,774 | | | 50,815 | | | | |
| | | | | | | 40,028,462 | | | 44,032,660 | | | 14.71 | % |
| | Materials: | | | | | | | | | | |
| | 41,669 | | A. SCHULMAN, INC. | | | 1,428,763 | | | 1,276,738 | | | | |
| | 91,550 | | BERRY PLASTICS GROUP, INC.(b) | | | 2,511,143 | | | 3,312,279 | | | | |
| | 83,296 | | CHEMTURA CORP.(b) | | | 1,804,456 | | | 2,271,482 | | | | |
| | 48,700 | | COMMERCIAL METALS CO. | | | 803,504 | | | 666,703 | | | | |
| | 42,040 | | HANDY & HARMAN LTD.(b) | | | 867,567 | | | 862,240 | | | | |
| | 5,284 | | INNOPHOS HOLDINGS, INC. | | | 173,015 | | | 153,130 | | | | |
| | 3,381 | | INNOSPEC, INC. | | | 113,043 | | | 183,622 | | | | |
| | 11,600 | | KAISER ALUMINUM CORP. | | | 883,670 | | | 970,456 | | | | |
| | 38,800 | | KAPSTONE PAPER AND PACKAGING CORP. | | | 1,069,815 | | | 876,492 | | | | |
| | 61,265 | | KOPPERS HOLDINGS, INC. | | | 1,194,465 | | | 1,118,086 | | | | |
| | 16,743 | | OMNOVA SOLUTIONS, INC.(b) | | | 128,116 | | | 102,635 | | | | |
| | 25,064 | | POLYONE CORP. | | | 862,633 | | | 796,033 | | | | |
| | 103,258 | | RENTECH, INC.(b) | | | 983,943 | | | 363,468 | | | | |
| | 18,500 | | SENSIENT TECHNOLOGIES CORP. | | | 1,007,928 | | | 1,162,170 | | | | |
| | 11,055 | | TRECORA RESOURCES(b) | | | 138,490 | | | 136,972 | | | | |
| | | | | | | 13,970,551 | | | 14,252,506 | | | 4.76 | % |
| | Utilities: | | | | | | | | | | |
| | 42,645 | | ALLETE, INC. | | | 1,715,118 | | | 2,167,645 | | | | |
| | 24,916 | | AVANGRID, INC.(b) | | | 965,732 | | | 956,775 | | | | |
| | 4,210 | | DELTA NATURAL GAS CO., INC. | | | 83,575 | | | 88,368 | | | | |
| | 30,777 | | LACLEDE GROUP (THE), INC. | | | 1,544,522 | | | 1,828,462 | | | | |
| | 3,713 | | MIDDLESEX WATER CO. | | | 65,667 | | | 98,543 | | | | |
See accompanying notes to the financial statements. | 48 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Utilities (Cont’d): | | | | | | | | | | |
| | 20,300 | | NORTHWESTERN CORP. | | $ | 1,050,290 | | | 1,101,275 | | | | |
| | 20,600 | | ONE GAS, INC. | | | 735,857 | | | 1,033,502 | | | | |
| | 71,290 | | PURE CYCLE CORP.(b) | | | 347,911 | | | 342,192 | | | | |
| | 1,277 | | SJW CORP. | | | 36,548 | | | 37,863 | | | | |
| | 36,900 | | SOUTH JERSEY INDUSTRIES, INC. | | | 1,049,573 | | | 867,888 | | | | |
| | 7,955 | | UNITIL CORP. | | | 244,080 | | | 285,425 | | | | |
| | 4,250 | | YORK WATER (THE) CO. | | | 86,381 | | | 105,995 | | | | |
| | | | | | | 7,925,254 | | | 8,913,933 | | | 2.98 | % |
| | | Sub-total Common Stocks: | | | 260,407,518 | | | 280,712,243 | | | 93.77 | % |
| Investment Companies: | | | | | | | | | | |
| | Financials: | | | | | | | | | | |
| | 86,469 | | ISHARES RUSSELL MID-CAP VALUE ETF | | | 5,968,523 | | | 5,938,691 | | | | |
| | | | | | | 5,968,523 | | | 5,938,691 | | | 1.98 | % |
| | | Sub-total Investment Companies: | | | 5,968,523 | | | 5,938,691 | | | 1.98 | % |
| | Short-Term Investments: | | | | | | | | | | |
| | 17,783,263 | | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.09%(e) | | | 17,783,263 | | | 17,783,263 | | | | |
| | | Sub-total Short-Term Investments: | | | 17,783,263 | | | 17,783,263 | | | 5.94 | % |
| | | | Grand total(f) | | $ | 284,159,304 | | | 304,434,197 | | | 101.69 | % |
Notes to Schedule of Investments:
| | | |
| | (a) | Investments are valued in accordance with procedures described in note 2 to the financial statements. |
| | (b) | Non-income producing assets. |
| | (c) | Foreign security values are stated in U.S. dollars. As of December 31, 2015, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 2.79% of net assets. |
| | (d) | Securities are American Depositary Receipts of companies based outside of the United States representing 0.33% of net assets as of December 31, 2015. |
| | (e) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2014, the value of the Clearwater Small Companies Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $11,049,724 with net purchases of $6,733,539 during the fiscal year December 31, 2015. |
| | (f) | At December 31, 2015, the cost for Federal income tax purposes was $284,864,755. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
| Gross unrealized appreciation | | $ | 42,346,447 | |
| Gross unrealized depreciation | | | (22,777,005 | ) |
| Net unrealized appreciation | | $ | 19,569,442 | |
See accompanying notes to the financial statements. | 49 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments – Clearwater Small Companies Fund
December 31, 2015
See accompanying notes to the financial statements. | 50 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Closed-End Funds: | | | | | | | | | | | | | | |
| | 227,600 | | | BLACKROCK LNG-TM MUN ADV | | | | | | $ | 2,360,733 | | | 2,617,400 | | | | |
| | 22,000 | | | BLACKROCK MUN INCOMSCI BR | | | | | | | 300,539 | | | 324,500 | | | | |
| | 12,000 | | | BLACKROCK MUNIHOLDINGS II | | | | | | | 174,062 | | | 184,200 | | | | |
| | 148,800 | | | BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND | | | | | | | 1,705,296 | | | 2,162,064 | | | | |
| | 57,300 | | | BLACKROCK MUNIHOLDINGS QUALITY FUND II INC | | | | | | | 729,193 | | | 779,853 | | | | |
| | 35,700 | | | BLACKROCK MUNIHOLDINGS QUALITY FUND INC | | | | | | | 474,032 | | | 490,161 | | | | |
| | 8,302 | | | BLACKROCK MUNIYIELD FUND INC | | | | | | | 122,288 | | | 123,451 | | | | |
| | 55,111 | | | BLACKROCK MUNIYIELD INVESTMENT QUALITY FUND | | | | | | | 701,111 | | | 777,065 | | | | |
| | 142,461 | | | BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND INC | | | | | | | 1,846,525 | | | 1,988,756 | | | | |
| | 51,700 | | | BLACKROCK MUNIYIELD PENNS | | | | | | | 729,423 | | | 751,718 | | | | |
| | 101,896 | | | BLACKROCK MUNIYIELD QUAL | | | | | | | 1,307,244 | | | 1,353,179 | | | | |
| | 118,472 | | | BLACKROCK MUNIYIELD QUALITY FUND III INC | | | | | | | 1,572,465 | | | 1,745,093 | | | | |
| | 193,098 | | | DEUTSCHE MUNICIPAL INCOME | | | | | | | 2,097,006 | | | 2,602,961 | | | | |
| | 33,000 | | | DREYFUS STRAT MUN COM USD | | | | | | | 301,450 | | | 281,820 | | | | |
| | 43,668 | | | DREYFUS STRATEGIC MUNI BD | | | | | | | 359,770 | | | 352,401 | | | | |
| | 20,318 | | | EATON VANCE CALI MUN BOND | | | | | | | 225,304 | | | 260,680 | | | | |
| | 178,050 | | | INVESCO ADV MUN INC TR II | | | | | | | 1,985,371 | | | 2,097,429 | | | | |
| | 113,205 | | | INVESCO MUNICIPAL OPP TR | | | | | | | 1,410,252 | | | 1,490,910 | | | | |
| | 66,122 | | | INVESCO QUALITY MUNI INC | | | | | | | 750,670 | | | 839,088 | | | | |
| | 30,000 | | | INVESCO TST. FOR INV. GRA | | | | | | | 398,796 | | | 399,900 | | | | |
| | 50,248 | | | MANAGED DURATION INVESTME | | | | | | | 635,196 | | | 691,412 | | | | |
| | 15,963 | | | NUVEEN MI QUALITY INCOME | | | | | | | 214,604 | | | 218,533 | | | | |
| | 52,779 | | | NUVEEN PENN INV QUAL MUNI | | | | | | | 723,142 | | | 723,072 | | | | |
| | 30,200 | | | NUVEEN PREMIER MUNI INC F | | | | | | | 409,657 | | | 412,532 | | | | |
| | 238,709 | | | NUVEEN PREMIUM INC MUNI F | | | | | | | 3,273,534 | | | 3,451,732 | | | | |
| | 22,077 | | | WESTERN ASSET MUNICIPAL P | | | | | | | 276,995 | | | 344,622 | | | | |
| | | | Sub-total Closed-End Funds | | | | | | | 25,084,658 | | | 27,464,532 | | | 5.36 | % |
| Municipal Bonds: | | | | | | | | | | | | | | |
| | 2,350,000 | | | ACALANES CA UNION HIGH SCH DIST(b) | | 8/1/2039 | | 2.02 | | | 1,159,351 | | | 2,016,676 | | | | |
| | 1,000,000 | | | AGUA CALIENTE CA BAND OF CAHUILLA INDIANS REVENUE(c) | | 7/1/2018 | | 6.00 | | | 979,088 | | | 995,090 | | | | |
| | 675,000 | | | ALABAMA ST HSG FIN AUTH SF MTGE REVENUE | | 10/1/2028 | | 5.25 | | | 675,000 | | | 707,360 | | | | |
| | 385,000 | | | ALABAMA ST HSG FIN AUTH SF MTGE REVENUE | | 4/1/2038 | | 4.50 | | | 295,058 | | | 385,300 | | | | |
| | 1,000,000 | | | ALACHUA CNTY FL HLTH FACS AUTH CCRC | | 10/1/2032 | | 8.00 | | | 1,145,563 | | | 1,245,070 | | | | |
| | 750,000 | | | ALASKA ST HSG FIN CORP MTGE REVENUE | | 12/1/2037 | | 4.13 | | | 736,690 | | | 768,833 | | | | |
| | 500,000 | | | ALASKA ST HSG FIN CORP MTGE REVENUE | | 12/1/2040 | | 4.63 | | | 495,000 | | | 516,155 | | | | |
| | 350,000 | | | ALASKA ST INDL DEV & EXPORT AUTH CMNTY PROVIDER REVENUE(d)(e) | | 12/1/2010 | | 5.40 | | | 350,000 | | | 98,000 | | | | |
| | 780,000 | | | ALLEGHENY CNTY PA INDL DEV AUTH CHRT SCH REVENUE | | 8/15/2026 | | 5.90 | | | 780,000 | | | 833,321 | | | | |
| | 1,000,000 | | | ALVORD CA UNIF SCH DIST | | 8/1/2036 | | 5.25 | | | 1,025,068 | | | 1,158,920 | | | | |
| | 1,000,000 | | | ALVORD CA UNIF SCH DIST(b) | | 8/1/2046 | | 1.89 | | | 386,817 | | | 843,710 | | | | |
| | 1,000,000 | | | AMERICAN SAMOA AS ECON DEV AUTH GEN REVENUE | | 9/1/2029 | | 6.25 | | | 1,000,000 | | | 1,010,000 | | | | |
| | 806,104 | | | ARIZONA ST HLTH FACS AUTH | | 7/1/2027 | | 5.25 | | | 786,327 | | | 911,639 | | | | |
| | 895,000 | | | ARIZONA ST HLTH FACS AUTH HLTH CARE FACS REVENUE | | 10/1/2022 | | 5.10 | | | 882,944 | | | 899,824 | | | | |
| | 2,060,000 | | | ARLINGTON TX HGR EDU FIN CORP EDU REVENUE | | 8/15/2028 | | 7.00 | | | 2,032,864 | | | 2,250,179 | | | | |
| | 500,000 | | | ASTURIA FL CMNTY DEV DIST SPL ASSMNT | | 5/1/2034 | | 5.75 | | | 500,000 | | | 502,500 | | | | |
| | 400,000 | | | ASTURIA FL CMNTY DEV DIST SPL ASSMNT | | 5/1/2045 | | 5.75 | | | 396,052 | | | 399,964 | | | | |
| | 500,000 | | | ATHENS-CLARKE CNTY GA UNIF GOVT DEV AUTH REVENUE | | 6/15/2039 | | 5.00 | | | 520,170 | | | 563,510 | | | | |
| | 500,000 | | | ATLANTA GA ARPT REVENUE | | 1/1/2030 | | 6.00 | | | 511,887 | | | 604,240 | | | | |
| | 500,000 | | | ATLANTA GA DEV AUTH | | 7/1/2035 | | 4.00 | | | 491,662 | | | 516,380 | | | | |
| | 1,500,000 | | | BAY CNTY FL EDUCTNL FACS REVENUE | | 9/1/2030 | | 5.25 | | | 1,391,881 | | | 1,557,660 | | | | |
See accompanying notes to the financial statements. | 51 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 1,000,000 | | | BELLALAGO FL EDUCTNL FACS BENEFIT DIST CAPITAL IMPT REVENUE | | 5/1/2030 | | 4.38 | | $ | 983,754 | | | 1,057,420 | | | | |
| | 1,195,000 | | | BELLWOOD IL | | 12/1/2027 | | 5.88 | | | 1,185,408 | | | 1,412,131 | | | | |
| | 985,000 | | | BEXAR CNTY TX HSG FIN CORP | | 2/1/2035 | | 3.75 | | | 985,000 | | | 1,023,297 | | | | |
| | 2,000,000 | | | BEXAR CNTY TX REVENUE | | 8/15/2039 | | 5.00 | | | 2,123,661 | | | 2,184,520 | | | | |
| | 500,000 | | | BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE | | 5/1/2035 | | 6.25 | | | 500,000 | | | 506,835 | | | | |
| | 750,000 | | | BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE | | 5/1/2045 | | 6.25 | | | 750,000 | | | 761,483 | | | | |
| | 500,000 | | | BOONE CNTY MO HOSP REVENUE | | 8/1/2028 | | 5.75 | | | 505,957 | | | 558,235 | | | | |
| | 750,000 | | | BOWLING GREEN OH STUDENT HSG REVENUE | | 6/1/2031 | | 5.75 | | | 722,619 | | | 813,368 | | | | |
| | 500,000 | | | BOYNTON BEACH FLA REV(e) | | 6/1/2022 | | 5.75 | | | 500,000 | | | 212,505 | | | | |
| | 500,000 | | | BOYNTON BEACH FLA REV(e) | | 6/1/2027 | | 6.25 | | | 500,000 | | | 212,505 | | | | |
| | 1,150,000 | | | BURBANK IL EDUCTNL FACS REVENUE(c) | | 9/1/2035 | | 6.00 | | | 1,150,000 | | | 1,165,030 | | | | |
| | 1,000,000 | | | BUREAU CNTY TWP IL HIGH SCH DIST #502 | | 10/1/2043 | | 6.63 | | | 1,061,454 | | | 1,245,750 | | | | |
| | 600,000 | | | BURLINGTON CNTY NJ BRIDGE COMMISSION ECON DEV REVENUE | | 1/1/2038 | | 5.63 | | | 603,084 | | | 610,158 | | | | |
| | 390,000 | | | BUTLER CNTY PA GEN AUTH REVENUE | | 10/1/2034 | | 1.11 | | | 390,000 | | | 314,422 | | | | |
| | 124,028 | | | CALIFORNIA ST CMNTY HSG FIN AGY LEASE REVENUE(e) | | 8/1/2012 | | 4.65 | | | 124,028 | | | 248 | | | | |
| | 351,527 | | | CALIFORNIA ST CMNTY HSG FIN AGY LEASE REVENUE(d)(e) | | 11/1/2012 | | 4.85 | | | 347,373 | | | 3,515 | | | | |
| | 500,000 | | | CALIFORNIA ST HLTH FACS FING AUTH REVENUE | | 8/15/2033 | | 5.50 | | | 506,472 | | | 586,220 | | | | |
| | 1,000,000 | | | CALIFORNIA ST HSG FIN AGY REVENUE | | 8/1/2033 | | 5.45 | | | 930,800 | | | 1,061,240 | | | | |
| | 500,000 | | | CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK ST SCH FUND APP | | 8/15/2029 | | 5.75 | | | 502,703 | | | 576,505 | | | | |
| | 1,500,000 | | | CALIFORNIA ST SCH FACS FING AUTH REVENUE(b) | | 8/1/2029 | | 1.64 | | | 1,145,643 | | | 1,824,210 | | | | |
| | 1,000,000 | | | CALIFORNIA ST STWD CMNTYS DEV AUTH EDUCTNL FACS REVENUE | | 7/1/2030 | | 5.15 | | | 841,117 | | | 1,007,390 | | | | |
| | 600,000 | | | CALIFORNIA ST STWD CMNTYS DEV AUTH REVENUE | | 11/1/2021 | | 6.50 | | | 600,000 | | | 679,650 | | | | |
| | 1,400,000 | | | CALIFORNIA ST STWD CMNTYS DEVAUTH STUDENT HSG REVENUE | | 1/15/2036 | | 5.60 | | | 1,400,000 | | | 1,463,644 | | | | |
| | 400,000 | | | CALIFORNIA STWD CMNTYS DEV AUTH REVENUE | | 11/1/2023 | | 5.13 | | | 400,000 | | | 420,504 | | | | |
| | 750,000 | | | CAPITAL TRUST AGY FL REVENUE | | 4/1/2035 | | 7.00 | | | 750,000 | | | 758,888 | | | | |
| | 1,250,000 | | | CAPITAL TRUST AGY FL REVENUE(c) | | 12/1/2035 | | 6.75 | | | 1,235,147 | | | 1,259,775 | | | | |
| | 1,000,000 | | | CARLSBAD CA UNIF SCH DIST(b) | | 8/1/2031 | | 2.26 | | | 623,343 | | | 1,040,130 | | | | |
| | 1,000,000 | | | CARMEL IN REVENUE | | 11/15/2022 | | 6.00 | | | 986,118 | | | 1,106,810 | | | | |
| | 1,000,000 | | | CARMEL IN REVENUE | | 11/15/2027 | | 7.00 | | | 1,020,325 | | | 1,132,420 | | | | |
| | 500,000 | | | CEDAR FALLS IA CMNTY SCH DIST SCH INFRASTRUCTURE SALES SVCS | | 6/1/2027 | | 5.38 | | | 498,650 | | | 554,740 | | | | |
| | 1,000,000 | | | CENTRL BRADFORD PROGRESS AUTH PA | | 12/1/2031 | | 5.50 | | | 1,025,275 | | | 1,171,370 | | | | |
| | 595,000 | | | CHANDLER PARK ACADEMY MI PUBLIC SCH ACADEMY REVENUE | | 11/1/2022 | | 5.00 | | | 488,683 | | | 595,607 | | | | |
| | 1,000,000 | | | CHERRY CREEK CORPORATE CENTER MET DIST CO REVENUE | | 6/1/2037 | | 5.00 | | | 1,000,000 | | | 1,003,060 | | | | |
| | 225,000 | | | CHESTERFIELD CNTY VA INDL DEV AUTH MF REVENUE | | 7/1/2019 | | 5.20 | | | 217,878 | | | 225,423 | | | | |
See accompanying notes to the financial statements. | 52 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 500,000 | | | CHICAGO IL BRD OF EDU | | 12/1/2017 | | 5.00 | | $ | 500,000 | | | 501,560 | | | | |
| | 1,000,000 | | | CHICAGO IL MIDWAY ARPT REVENUE | | 1/1/2035 | | 5.25 | | | 1,002,286 | | | 1,126,990 | | | | |
| | 100,000 | | | CITIZEN POTAWATOMI NATION OK SENIOR OBLG TAX REVENUE | | 9/1/2016 | | 6.50 | | | 100,000 | | | 100,200 | | | | |
| | 460,000 | | | CLIFTON TX HGR EDU FIN CORP EDU REVENUE | | 2/15/2018 | | 7.75 | | | 457,748 | | | 478,929 | | | | |
| | 1,500,000 | | | CLOVIS CA UNIF SCH DIST(f) | | 8/1/2030 | | 0.00 | | | 622,687 | | | 820,830 | | | | |
| | 750,000 | | | COLLIER CNTY FL INDL DEV AUTH | | 10/1/2039 | | 6.25 | | | 736,336 | | | 888,345 | | | | |
| | 1,000,000 | | | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(c) | | 5/15/2020 | | 6.50 | | | 1,000,000 | | | 1,001,570 | | | | |
| | 650,000 | | | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(c) | | 5/15/2022 | | 5.25 | | | 650,000 | | | 651,118 | | | | |
| | 750,000 | | | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(c) | | 5/15/2026 | | 7.25 | | | 750,000 | | | 871,470 | | | | |
| | 1,500,000 | | | COLORADO ST EDUCTNL & CULTURAL FACS AUTH INDEP SCH REVENUE | | 5/1/2030 | | 6.00 | | | 1,464,698 | | | 1,647,585 | | | | |
| | 1,000,000 | | | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE | | 6/1/2033 | | 5.50 | | | 976,267 | | | 1,086,930 | | | | |
| | 1,000,000 | | | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE | | 7/1/2034 | | 5.60 | | | 994,230 | | | 1,085,870 | | | | |
| | 1,000,000 | | | COLORADO ST HLTH FACS AUTH REVENUE | | 8/1/2033 | | 7.63 | | | 988,004 | | | 1,177,830 | | | | |
| | 500,000 | | | COLORADO ST HLTH FACS AUTH REVENUE | | 12/1/2035 | | 5.75 | | | 491,852 | | | 499,385 | | | | |
| | 315,000 | | | COLORADO ST HSG & FIN AUTH | | 10/1/2029 | | 5.40 | | | 315,000 | | | 335,113 | | | | |
| | 270,000 | | | COLORADO ST HSG FIN AUTH SF MTGE REVENUE | | 11/1/2034 | | 5.00 | | | 270,000 | | | 276,113 | | | | |
| | 1,000,000 | | | COLTON CA JT UNIF SCH DIST(b) | | 8/1/2035 | | 1.86 | | | 612,819 | | | 895,080 | | | | |
| | 1,000,000 | | | CONNECTICUT ST HSG FIN AUTH | | 11/15/2035 | | 4.75 | | | 1,000,000 | | | 1,046,340 | | | | |
| | 135,000 | | | CONNECTICUT ST HSG FIN AUTH | | 11/15/2041 | | 4.63 | | | 134,371 | | | 141,296 | | | | |
| | 1,500,000 | | | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | | 11/15/2035 | | 3.75 | | | 1,500,000 | | | 1,528,485 | | | | |
| | 1,000,000 | | | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | | 5/15/2038 | | 3.95 | | | 1,000,000 | | | 1,033,480 | | | | |
| | 1,000,000 | | | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | | 11/15/2040 | | 3.75 | | | 1,000,000 | | | 1,008,560 | | | | |
| | 2,485,000 | | | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | | 5/15/2042 | | 4.15 | | | 2,485,000 | | | 2,553,586 | | | | |
| | 5,000,000 | | | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | | 11/15/2047 | | 3.65 | | | 5,000,000 | | | 4,981,150 | | | | |
| | 500,000 | | | COPPERLEAF CO MET DIST #2 | | 12/1/2030 | | 5.25 | | | 500,000 | | | 520,670 | | | | |
| | 500,000 | | | COPPERLEAF CO MET DIST #2 | | 12/1/2045 | | 5.75 | | | 500,000 | | | 522,815 | | | | |
| | 1,105,000 | | | CORONA-NORCO CA UNIF SCH DIST(b) | | 8/1/2039 | | 1.35 | | | 736,438 | | | 1,393,670 | | | | |
| | 637,000 | | | CORTLAND IL SPL TAX REVENUE(e) | | 3/1/2017 | | 5.50 | | | 633,881 | | | 127,394 | | | | |
| | 500,000 | | | COVENTRY OH LOCAL SCH DIST | | 11/1/2037 | | 5.25 | | | 506,245 | | | 552,165 | | | | |
| | 330,000 | | | CROW FIN AUTH MT TRIBAL PURPOSE REVENUE | | 10/1/2017 | | 5.65 | | | 326,345 | | | 331,195 | | | | |
See accompanying notes to the financial statements. | 53 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 487,300 | | | CUYAHOGA CNTY OH HSG MTGE REVENUE | | 3/20/2042 | | 5.70 | | $ | 497,879 | | | 513,887 | | | | |
| | 600,000 | | | DALLAS CNTY TX FLOOD CONTROL DIST(c) | | 4/1/2032 | | 5.00 | | | 600,687 | | | 613,314 | | | | |
| | 1,000,000 | | | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE | | 11/1/2037 | | 5.25 | | | 1,010,223 | | | 1,159,780 | | | | |
| | 2,000,000 | | | DAMON RUN IN CONSERVANCY DIST | | 7/1/2025 | | 6.10 | | | 2,021,864 | | | 2,246,300 | | | | |
| | 1,000,000 | | | DAMON RUN IN CONSERVANCY DIST | | 1/1/2027 | | 6.38 | | | 1,008,527 | | | 1,129,090 | | | | |
| | 1,000,000 | | | DAVIE FL EDUCTNL FACS REVENUE | | 4/1/2042 | | 6.00 | | | 1,025,880 | | | 1,179,840 | | | | |
| | 500,000 | | | DAVIESS CNTY IN HOSP ASSN LEASE RENTAL REVENUE | | 1/15/2029 | | 5.25 | | | 490,717 | | | 548,770 | | | | |
| | 1,000,000 | | | DAYTON-MONTGOMERY CNTY OH PORT AUTH PROJ REVENUE | | 1/15/2040 | | 7.00 | | | 1,000,000 | | | 1,005,930 | | | | |
| | 500,000 | | | DECATUR IL | | 3/1/2034 | | 5.00 | | | 516,903 | | | 557,740 | | | | |
| | 1,000,000 | | | DEKALB/KANE/LA SALLE CNTYS IL CMNTY CLG DIST #523(f) | | 2/1/2029 | | 0.00 | | | 496,863 | | | 524,510 | | | | |
| | 1,000,000 | | | DEL MAR CA RACE TRACK AUTH(c) | | 10/1/2035 | | 5.00 | | | 1,058,371 | | | 1,085,890 | | | | |
| | 280,000 | | | DELAWARE ST HSG AUTH REVENUE | | 7/1/2031 | | 5.20 | | | 280,000 | | | 296,290 | | | | |
| | 500,000 | | | DINUBA CA FING AUTH LEASE REVENUE | | 9/1/2038 | | 5.38 | | | 495,133 | | | 511,570 | | | | |
| | 500,000 | | | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | | 7/1/2033 | | 5.45 | | | 500,000 | | | 553,665 | | | | |
| | 1,000,000 | | | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | | 6/1/2040 | | 4.90 | | | 1,000,000 | | | 1,050,730 | | | | |
| | 1,000,000 | | | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | | 6/1/2041 | | 5.00 | | | 1,000,000 | | | 1,070,680 | | | | |
| | 1,000,000 | | | DOUGLAS CNTY CO MF REVENUE | | 10/1/2029 | | 4.50 | | | 1,000,000 | | | 1,061,260 | | | | |
| | 3,000,000 | | | DUBLIN CA UNIF SCH DIST(f) | | 8/1/2034 | | 0.00 | | | 933,787 | | | 1,096,830 | | | | |
| | 1,000,000 | | | EAST CHICAGO IN SAN DIST REVENUE | | 7/15/2035 | | 4.00 | | | 993,270 | | | 1,003,400 | | | | |
| | 1,500,000 | | | EAST MORGAN CNTY CO HOSP DIST COPS | | 12/1/2038 | | 5.88 | | | 1,500,000 | | | 1,534,320 | | | | |
| | 2,045,000 | | | EDEN TWP CA HOSP DIST COPS | | 6/1/2030 | | 6.00 | | | 2,025,453 | | | 2,321,402 | | | | |
| | 750,000 | | | EL PASO DE ROBLES CA REDEV AGY TAX ALLOCATION REVENUE | | 7/1/2033 | | 6.38 | | | 742,549 | | | 858,892 | | | | |
| | 1,000,000 | | | EL PASO TX DOWNTOWN DEV CORP SPL REVENUE | | 8/15/2038 | | 7.25 | | | 1,078,706 | | | 1,256,550 | | | | |
| | 1,000,000 | | | ENCINITAS CA UNION SCH DIST(b) | | 8/1/2035 | | 2.16 | | | 547,822 | | | 1,021,160 | | | | |
| | 1,155,000 | | | ENTERPRISE CA ELEM SCH DIST(b) | | 8/1/2035 | | 1.94 | | | 687,565 | | | 1,118,698 | | | | |
| | 1,000,000 | | | ERIE CNTY PA HOSP AUTH | | 7/1/2027 | | 7.00 | | | 1,000,000 | | | 1,062,350 | | | | |
| | 600,000 | | | ESCONDIDO CA SPL TAX | | 9/1/2036 | | 5.00 | | | 653,692 | | | 684,342 | | | | |
| | 500,000 | | | FAIRFAX CNTY VA REDEV & HSG AUTH MF REVENUE | | 8/1/2039 | | 5.60 | | | 500,000 | | | 523,965 | | | | |
| | 238,000 | | | FARMS NEW KENT VA CMNTY DEV AUTH SPL ASSMNT(e) | | 3/1/2036 | | 5.13 | | | 238,000 | | | 59,510 | | | | |
| | 1,000,000 | | | FAYETTE CNTY KY SCH DIST FIN CORP | | 8/1/2033 | | 4.00 | | | 990,000 | | | 1,049,530 | | | | |
| | 1,000,000 | | | FESTIVAL RANCH AZ CMNTY FACS DIST | | 7/15/2024 | | 6.25 | | | 1,007,845 | | | 1,113,260 | | | | |
| | 315,000 | | | FIDDLERS CREEK FL CDD #2 SPL ASSMNT REVENUE(e) | | 5/1/2013 | | 5.75 | | | 314,118 | | | 236,880 | | | | |
| | 900,000 | | | FISHHAWK CCD IV FL SPL ASSMNT REVENUE | | 5/1/2033 | | 7.00 | | | 900,000 | | | 978,219 | | | | |
| | 1,000,000 | | | FLORIDA ST DEV FIN CORP EDUCTNL FACS REVENUE | | 6/15/2034 | | 6.00 | | | 990,024 | | | 1,028,650 | | | | |
See accompanying notes to the financial statements. | 54 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 1,000,000 | | | FLORIDA ST DEV FIN CORP EDUCTNL FACS REVENUE(c) | | 6/15/2035 | | 6.00 | | $ | 1,001,368 | | | 1,014,370 | | | | |
| | 325,000 | | | FLORIDA ST HSG FIN CORP REVENUE | | 7/1/2026 | | 5.00 | | | 325,658 | | | 351,462 | | | | |
| | 1,035,000 | | | FLORIDA ST HSG FIN CORP REVENUE | | 7/1/2034 | | 5.30 | | | 1,036,379 | | | 1,082,869 | | | | |
| | 1,000,000 | | | FLORIDA ST HSG FIN CORP REVENUE | | 7/1/2035 | | 3.75 | | | 1,000,000 | | | 1,016,060 | | | | |
| | 965,000 | | | FLORIDA ST HSG FIN CORP REVENUE | | 7/1/2039 | | 4.20 | | | 965,000 | | | 998,823 | | | | |
| | 1,250,000 | | | FORT SILL APACHE TRIBE OK ECONDEV AUTH GAMING ENTERPRISE REV(c) | | 8/25/2026 | | 8.50 | | | 1,250,000 | | | 1,473,412 | | | | |
| | 1,000,000 | | | FRANKLIN CNTY KS UNIF SCH DIST #290 | | 9/1/2039 | | 4.75 | | | 1,054,644 | | | 1,100,000 | | | | |
| | 1,040,000 | | | FULTON CNTY GA DEV AUTH | | 11/1/2028 | | 5.25 | | | 902,090 | | | 1,008,488 | | | | |
| | 1,000,000 | | | FYI PROPERTIES WA LEASE REVENUE | | 6/1/2034 | | 5.50 | | | 982,882 | | | 1,124,100 | | | | |
| | 500,000 | | | GAINESVILLE & HALL CNTY GA DEV AUTH RETMNT CMNTY REVENUE | | 11/15/2029 | | 6.38 | | | 508,089 | | | 565,930 | | | | |
| | 1,586,920 | | | GALVESTON COUNTY MUNICIPAL UTILITY DISTRICT | | 2/24/2016 | | 5.49 | | | 1,586,920 | | | 1,190,142 | | | | |
| | 3,500,000 | | | GEORGIA ST HSG & FIN AUTH REVENUE | | 12/1/2037 | | 3.80 | | | 3,500,000 | | | 3,540,285 | | | | |
| | 2,000,000 | | | GEORGIA ST HSG & FIN AUTH REVENUE | | 12/1/2037 | | 4.00 | | | 2,000,000 | | | 2,051,900 | | | | |
| | 4,500,000 | | | GEORGIA ST HSG & FIN AUTH REVENUE | | 12/1/2040 | | 3.80 | | | 4,500,000 | | | 4,540,335 | | | | |
| | 1,000,000 | | | GEORGIA ST HSG & FIN AUTH REVENUE | | 12/1/2041 | | 3.85 | | | 1,006,534 | | | 1,011,490 | | | | |
| | 1,950,000 | | | GEORGIA ST HSG & FIN AUTH REVENUE | | 12/1/2043 | | 3.90 | | | 1,948,411 | | | 1,957,000 | | | | |
| | 1,500,000 | | | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE(b) | | 10/1/2035 | | 1.91 | | | 917,553 | | | 1,245,015 | | | | |
| | 1,000,000 | | | HABITAT FL CDD CAPITAL IMPT REVENUE | | 5/1/2031 | | 3.50 | | | 991,749 | | | 1,009,500 | | | | |
| | 1,165,000 | | | HAMILTON CNTY OH HLTH CARE REVENUE | | 1/1/2031 | | 6.13 | | | 1,137,100 | | | 1,312,221 | | | | |
| | 880,000 | | | HAMMOND IN LOCAL PUBLIC IMPT BOND BANK SPL REVENUE | | 8/15/2025 | | 6.50 | | | 880,000 | | | 882,666 | | | | |
| | 1,000,000 | | | HAMMOND IN LOCAL PUBLIC IMPT BOND BANK SPL REVENUE | | 8/15/2030 | | 6.50 | | | 1,000,000 | | | 1,002,820 | | | | |
| | 1,250,000 | | | HARRIS CNTY TX CULTURAL EDU FACS FIN CORP REVENUE(c) | | 8/15/2021 | | 6.75 | | | 1,250,000 | | | 1,370,700 | | | | |
| | 1,000,000 | | | HARRISBURG PA AUTH | | 7/15/2021 | | 5.00 | | | 1,000,000 | | | 1,003,950 | | | | |
| | 1,500,000 | | | HARTNELL CA CMNTY CLG DIST(b) | | 8/1/2034 | | 2.36 | | | 773,860 | | | 1,317,210 | | | | |
| | 3,500,000 | | | HEALDSBURG CA UNIF SCH DIST(b) | | 8/1/2037 | | 1.44 | | | 2,378,637 | | | 2,705,780 | | | | |
| | 1,000,000 | | | HELENDALE CA SCH DIST(b) | | 8/1/2034 | | 1.82 | | | 637,470 | | | 1,054,180 | | | | |
| | 750,000 | | | HEMPSTEAD TOWN NY LOCAL DEV CORP REVENUE | | 9/1/2038 | | 5.00 | | | 756,131 | | | 844,905 | | | | |
| | 2,000,000 | | | HENDERSON NV HLTHCARE FAC REVENUE | | 7/1/2031 | | 5.25 | | | 2,000,000 | | | 2,086,960 | | | | |
| | 850,000 | | | HERITAGE HARBOUR FL N CDD SPLASSMNT | | 5/1/2034 | | 5.00 | | | 850,000 | | | 866,532 | | | | |
| | 1,000,000 | | | HIDALGO CNTY TX REGL MOBILITY AUTH VEHICLE REGISTRATION FEE | | 12/1/2038 | | 5.25 | | | 1,029,990 | | | 1,159,770 | | | | |
See accompanying notes to the financial statements. | 55 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 500,000 | | | HIGHLANDS CNTY FL HLTH FACS AUTH | | 11/15/2032 | | 5.13 | | $ | 500,275 | | | 520,020 | | | | |
| | 49,000 | | | HOUMA-TERREBONNE LA PUBLIC TRUST FING AUTH SF MTGE | | 12/1/2040 | | 5.15 | | | 50,598 | | | 49,105 | | | | |
| | 1,500,000 | | | HOUSTON TX HGR EDU FIN CORP | | 9/1/2038 | | 5.50 | | | 1,541,970 | | | 1,717,200 | | | | |
| | 500,000 | | | IDAHO ST HLTH FACS AUTH REVENUE | | 10/1/2021 | | 6.00 | | | 500,000 | | | 500,625 | | | | |
| | 750,000 | | | IDAHO ST HLTH FACS AUTH REVENUE | | 10/1/2024 | | 7.00 | | | 750,000 | | | 827,767 | | | | |
| | 750,000 | | | IDAHO ST HLTH FACS AUTH REVENUE | | 10/1/2029 | | 7.38 | | | 741,931 | | | 811,883 | | | | |
| | 100,000 | | | IDAHO ST HSG & FIN ASSN SF MTGE REVENUE | | 7/1/2026 | | 5.65 | | | 101,156 | | | 100,000 | | | | |
| | 500,000 | | | ILLINOIS ST | | 7/1/2033 | | 5.50 | | | 498,790 | | | 544,805 | | | | |
| | 480,000 | | | ILLINOIS ST COPS | | 7/1/2017 | | 5.80 | | | 480,000 | | | 481,186 | | | | |
| | 1,000,000 | | | ILLINOIS ST EDUCTNL FACS AUTH | | 11/1/2036 | | 4.50 | | | 1,000,000 | | | 1,019,680 | | | | |
| | 500,000 | | | ILLINOIS ST FIN AUTH EDU REVENUE | | 9/1/2032 | | 6.00 | | | 500,000 | | | 563,325 | | | | |
| | 675,000 | | | ILLINOIS ST FIN AUTH EDUCTNL FAC REVENUE | | 2/1/2034 | | 6.00 | | | 683,557 | | | 706,158 | | | | |
| | 610,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 8/15/2026 | | 6.00 | | | 611,772 | | | 616,002 | | | | |
| | 500,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 3/15/2027 | | 5.00 | | | 504,560 | | | 515,560 | | | | |
| | 465,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 5/15/2029 | | 5.25 | | | 467,056 | | | 498,266 | | | | |
| | 1,045,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 5/15/2030 | | 5.50 | | | 1,064,623 | | | 1,114,795 | | | | |
| | 750,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 11/15/2036 | | 5.25 | | | 753,468 | | | 759,983 | | | | |
| | 570,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 2/1/2037 | | 5.25 | | | 570,513 | | | 580,192 | | | | |
| | 500,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 5/15/2037 | | 5.00 | | | 498,030 | | | 506,320 | | | | |
| | 750,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 12/1/2037 | | 5.00 | | | 774,832 | | | 809,603 | | | | |
| | 500,000 | | | ILLINOIS ST FIN AUTH REVENUE | | 3/1/2038 | | 6.00 | | | 486,253 | | | 555,775 | | | | |
| | 1,000,000 | | | ILLINOIS ST FIN AUTH STUDENT HSG REVENUE | | 10/1/2024 | | 6.00 | | | 991,596 | | | 1,121,380 | | | | |
| | 1,000,000 | | | ILLINOIS ST HSG DEV AUTH | | 7/1/2034 | | 4.95 | | | 1,000,000 | | | 1,077,820 | | | | |
| | 500,000 | | | ILLINOIS ST HSG DEV AUTH | | 7/1/2047 | | 4.50 | | | 465,720 | | | 501,200 | | | | |
| | 1,500,000 | | | ILLINOIS ST SPORTS FACS AUTH | | 6/15/2031 | | 5.25 | | | 1,620,986 | | | 1,694,190 | | | | |
| | 1,000,000 | | | IMPERIAL CA CMNTY CLG DIST | | 8/1/2040 | | 6.75 | | | 1,000,000 | | | 1,311,750 | | | | |
| | 500,000 | | | INDIANA ST BOND BANK REVENUE | | 2/1/2029 | | 5.50 | | | 492,196 | | | 551,305 | | | | |
| | 3,000,000 | | | INDIANA ST FIN AUTH REVENUE | | 9/15/2030 | | 6.50 | | | 3,056,925 | | | 3,437,310 | | | | |
| | 500,000 | | | INDIANA ST FIN AUTH REVENUE | | 11/15/2031 | | 5.50 | | | 493,209 | | | 545,160 | | | | |
| | 1,000,000 | | | INDIANA ST FIN AUTH REVENUE | | 11/15/2033 | | 6.50 | | | 986,929 | | | 1,140,530 | | | | |
| | 1,000,000 | | | INDIANA ST FIN AUTH REVENUE | | 3/1/2041 | | 5.00 | | | 1,054,123 | | | 1,084,240 | | | | |
| | 500,000 | | | INDIANA ST FIN AUTH REVENUE | | 11/15/2041 | | 5.88 | | | 545,135 | | | 562,035 | | | | |
| | 1,000,000 | | | INDIANA ST FIN AUTH REVENUE | | 11/15/2041 | | 6.00 | | | 986,955 | | | 1,133,150 | | | | |
| | 575,000 | | | INDIANA ST HLTH & EDUCTNL FACFING AUTH HOSP REVENUE | | 2/15/2030 | | 5.25 | | | 446,659 | | | 577,352 | | | | |
| | 5,908,012 | | | INTERMEDIATE SCH DIST #287 MN LEASE REVENUE | | 11/1/2032 | | 5.30 | | | 5,697,079 | | | 5,983,635 | | | | |
| | 2,000,000 | | | JEFFERSON CA UNION HIGH SCH DIST SAN MATEO CNTY(f) | | 8/1/2031 | | 0.00 | | | 717,921 | | | 651,060 | | | | |
| | 260,000 | | | JEFFERSON PARISH LA FIN AUTH | | 6/1/2038 | | 5.00 | | | 270,560 | | | 269,355 | | | | |
| | 95,000 | | | JEFFERSON PARISH LA FIN AUTH | | 12/1/2048 | | 5.70 | | | 99,683 | | | 99,176 | | | | |
| | 390,000 | | | KALISPEL TRIBE OF INDIANS PRIORITY DIST WA REVENUE | | 1/1/2016 | | 6.20 | | | 390,000 | | | 393,327 | | | | |
| | 955,000 | | | KANSAS CITY MO INDL DEV AUTH | | 9/1/2023 | | 5.45 | | | 955,000 | | | 1,015,451 | | | | |
| | 1,000,000 | | | KANSAS CITY MO INDL DEV AUTH | | 11/20/2039 | | 5.10 | | | 1,000,000 | | | 1,050,940 | | | | |
| | 1,500,000 | | | KANSAS CITY MO INDL DEV AUTH SENIOR LIVING FACS REVENUE(c) | | 11/15/2036 | | 5.75 | | | 1,500,000 | | | 1,502,220 | | | | |
See accompanying notes to the financial statements. | 56 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 500,000 | | | KENTUCKY ST ECON DEV FIN AUTH MF HSG REVENUE | | 11/20/2035 | | 5.38 | | $ | 500,000 | | | 515,830 | | | | |
| | 1,000,000 | | | KENTUCKY ST HSG CORP HSG REVENUE | | 7/1/2028 | | 3.75 | | | 985,256 | | | 1,052,530 | | | | |
| | 1,805,000 | | | KERRVILLE TX HLTH FACS DEV CORP HOSP REVENUE | | 8/15/2035 | | 5.45 | | | 1,776,875 | | | 1,816,408 | | | | |
| | 750,000 | | | KING CNTY WA HSG AUTH | | 5/1/2028 | | 5.20 | | | 750,000 | | | 817,455 | | | | |
| | 500,000 | | | KIRKWOOD MO INDL DEV AUTH RETMNT CMNTY REVENUE | | 5/15/2021 | | 8.00 | | | 500,000 | | | 564,005 | | | | |
| | 2,130,000 | | | KOYUKUK AK REVENUE | | 10/1/2023 | | 7.00 | | | 2,083,241 | | | 2,396,484 | | | | |
| | 250,000 | | | LAFAYETTE LA PUBLIC TRUST FING AUTH SF MTGE | | 1/1/2041 | | 5.35 | | | 255,516 | | | 254,805 | | | | |
| | 500,000 | | | LAKE CNTY IL SCH DIST #33 | | 12/1/2040 | | 5.00 | | | 527,984 | | | 550,475 | | | | |
| | 1,900,000 | | | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | | 5/1/2030 | | 7.40 | | | 1,883,407 | | | 2,304,909 | | | | |
| | 750,000 | | | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | | 5/1/2033 | | 6.70 | | | 750,000 | | | 863,047 | | | | |
| | 500,000 | | | LAKEWOOD RANCH FL STEWARDSHIPDIST SPL ASSMNT REVENUE | | 5/1/2025 | | 4.25 | | | 498,839 | | | 511,945 | | | | |
| | 1,000,000 | | | LAKEWOOD RANCH FL STEWARDSHIPDIST SPL ASSMNT REVENUE | | 5/1/2034 | | 5.35 | | | 1,000,000 | | | 1,033,690 | | | | |
| | 600,000 | | | LAKEWOOD RANCH FL STEWARDSHIPDIST SPL ASSMNT REVENUE | | 5/1/2035 | | 4.88 | | | 598,540 | | | 611,958 | | | | |
| | 500,000 | | | LAMBERTSON FARMS CO MET DIST #1 REVENUE | | 12/15/2025 | | 5.00 | | | 500,000 | | | 502,270 | | | | |
| | 500,000 | | | LAMBERTSON FARMS CO MET DIST #1 REVENUE | | 12/15/2035 | | 5.50 | | | 500,000 | | | 502,220 | | | | |
| | 2,000,000 | | | LAS VEGAS NV REDEV AGY TAX INCR REVENUE | | 6/15/2023 | | 7.50 | | | 1,985,764 | | | 2,256,120 | | | | |
| | 525,000 | | | LAS VEGAS NV SPL IMPT DIST #812 | | 12/1/2035 | | 5.00 | | | 528,250 | | | 532,361 | | | | |
| | 240,000 | | | LEHIGH CNTY PA GEN PURPOSE AUTH | | 8/15/2042 | | 1.26 | | | 240,000 | | | 182,402 | | | | |
| | 750,000 | | | LEWISVILLE TX COMB CONTRACT REVENUE | | 9/1/2024 | | 3.00 | | | 741,519 | | | 766,080 | | | | |
| | 475,000 | | | LEXINGTON OAKS FL CDD SPL ASSMNT REVENUE | | 5/1/2033 | | 5.65 | | | 475,000 | | | 511,618 | | | | |
| | 1,000,000 | | | LITTLETON VLG MET DIST NO 2 COLO SPL REV | | 12/1/2045 | | 5.38 | | | 996,272 | | | 1,004,490 | | | | |
| | 180,000 | | | LOMBARD IL PUBLIC FACS CORP CONFERENCE CENTER & HOTEL REVENU(e) | | 1/1/2015 | | 6.38 | | | 180,000 | | | 90,000 | | | | |
| | 550,000 | | | LOMBARD IL PUBLIC FACS CORP CONFERENCE CENTER & HOTEL REVENU | | 1/1/2030 | | 5.50 | | | 550,000 | | | 480,101 | | | | |
| | 1,000,000 | | | LOMBARD IL PUBLIC FACS CORP CONFERENCE CENTER & HOTEL REVENU(e) | | 1/1/2036 | | 5.25 | | | 1,005,522 | | | 330,000 | | | | |
| | 445,000 | | | LONG LAKE RANCH CMNTY DEV DISTFLA CAP IMPT REV | | 5/1/2024 | | 5.63 | | | 445,000 | | | 456,868 | | | | |
| | 325,000 | | | LONG LAKE RANCH CMNTY DEV DISTFLA CAP IMPT REV | | 5/1/2044 | | 5.75 | | | 318,305 | | | 331,568 | | | | |
| | 1,000,000 | | | LOUISIANA ST ENERGY & PWR AUTH PWR PROJ REVENUE | | 6/1/2038 | | 5.25 | | | 1,018,377 | | | 1,150,750 | | | | |
| | 340,000 | | | LOUISIANA ST HSG FIN AGY SF MTGE REVENUE | | 12/1/2034 | | 5.10 | | | 340,000 | | | 359,611 | | | | |
| | 65,000 | | | LOUISIANA ST HSG FIN AGY SF MTGE REVENUE | | 6/1/2038 | | 5.85 | | | 66,248 | | | 67,843 | | | | |
| | 305,000 | | | LOUISIANA ST HSG FIN AGY SF MTGE REVENUE | | 12/1/2038 | | 5.70 | | | 308,457 | | | 315,096 | | | | |
See accompanying notes to the financial statements. | 57 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 135,000 | | | LOUISIANA ST HSG FIN AGY SF MTGE REVENUE | | 6/1/2039 | | 5.60 | | $ | 139,192 | | | 144,739 | | | | |
| | 1,000,000 | | | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH | | 11/15/2030 | | 6.00 | | | 1,018,544 | | | 1,028,420 | | | | |
| | 500,000 | | | LOUISIANA ST PUBLIC FACS AUTH HOSP REVENUE | | 7/1/2035 | | 5.00 | | | 548,265 | | | 570,150 | | | | |
| | 1,000,000 | | | LOUISIANA ST PUBLIC FACS AUTH REVENUE | | 6/1/2030 | | 5.00 | | | 1,000,000 | | | 1,003,550 | | | | |
| | 750,000 | | | LOUISIANA ST PUBLIC FACS AUTH REVENUE | | 5/1/2031 | | 6.50 | | | 747,053 | | | 829,717 | | | | |
| | 460,000 | | | LOUISIANA ST PUBLIC FACS AUTH REVENUE | | 2/15/2036 | | 0.94 | | | 460,000 | | | 414,133 | | | | |
| | 500,000 | | | LUCAS CNTY OH HLTH CARE FACS REVENUE | | 8/15/2030 | | 5.50 | | | 492,558 | | | 546,610 | | | | |
| | 1,500,000 | | | LUCAS MET HSG AUTH OH COPS | | 11/1/2036 | | 5.00 | | | 1,583,401 | | | 1,612,035 | | | | |
| | 1,480,000 | | | LUZERNE CNTY PA | | 11/1/2026 | | 7.00 | | | 1,530,509 | | | 1,706,336 | | | | |
| | 1,000,000 | | | MACON & MOULTRIE CNTYS IL CMNTY SCH DIST #3 MOUNT ZION | | 12/1/2041 | | 5.50 | | | 1,029,668 | | | 1,170,370 | | | | |
| | 1,000,000 | | | MACON CNTY IL SCH DIST #61 | | 1/1/2037 | | 5.25 | | | 1,020,634 | | | 1,104,240 | | | | |
| | 250,000 | | | MAGNOLIA CREEK FL CDD CAPITAL IMPT REVENUE(d)(e) | | 5/1/2014 | | 5.60 | | | 250,000 | | | 87,500 | | | | |
| | 1,000,000 | | | MAINE ST HSG AUTH MTGE PURCHASE | | 11/15/2035 | | 4.00 | | | 1,000,000 | | | 1,035,500 | | | | |
| | 1,500,000 | | | MAINE ST HSG AUTH MTGE PURCHASE | | 11/15/2040 | | 3.85 | | | 1,500,000 | | | 1,515,240 | | | | |
| | 1,000,000 | | | MAINE ST HSG AUTH MTGE REVENUE | | 11/15/2037 | | 4.50 | | | 1,000,000 | | | 1,054,320 | | | | |
| | 1,000,000 | | | MAINE ST TECH CLG SYS COPS | | 1/1/2017 | | 5.80 | | | 1,000,000 | | | 1,004,620 | | | | |
| | 1,000,000 | | | MALTA IL TAX INCR REVENUE(e) | | 12/30/2025 | | 5.75 | | | 1,000,000 | | �� | 552,470 | | | | |
| | 500,000 | | | MANATEE CNTY FL SCH BRD COPS | | 7/1/2031 | | 5.63 | | | 496,138 | | | 581,645 | | | | |
| | 500,000 | | | MANCHESTER NH HSG & REDEV AUTH REVENUE(f) | | 1/1/2020 | | 0.00 | | | 406,400 | | | 431,970 | | | | |
| | 452,000 | | | MANHATTAN IL SPL SVC AREA SPL TAX(e) | | 3/1/2022 | | 5.75 | | | 452,000 | | | 81,414 | | | | |
| | 500,000 | | | MANSFIELD OH | | 12/1/2024 | | 6.00 | | | 513,097 | | | 567,980 | | | | |
| | 800,000 | | | MAPLE-STEEL ND JT WTR RESOURCE DIST | | 5/1/2030 | | 4.00 | | | 800,000 | | | 801,280 | | | | |
| | 462,000 | | | MARQUIS VA CMNTY DEV AUTH REVENUE(f) | | 9/1/2041 | | 0.00 | | | 108,576 | | | 60,088 | | | | |
| | 349,000 | | | MARQUIS VA CMNTY DEV AUTH REVENUE | | 9/1/2041 | | 5.63 | | | 376,602 | | | 279,423 | | | | |
| | 750,000 | | | MARSHALL CREEK FL CDD SPL ASSMNT | | 5/1/2032 | | 5.00 | | | 769,654 | | | 771,938 | | | | |
| | 750,000 | | | MARTINEZ CA UNIF SCH DIST | | 8/1/2035 | | 6.13 | | | 629,255 | | | 968,895 | | | | |
| | 500,000 | | | MARYLAND ST CMNTY DEV ADMIN DEPT HSG & CMNTY DEV | | 9/1/2030 | | 5.13 | | | 500,000 | | | 543,000 | | | | |
| | 500,000 | | | MARYLAND ST CMNTY DEV ADMIN DEPT HSG & CMNTY DEV | | 7/1/2031 | | 4.50 | | | 500,000 | | | 532,285 | | | | |
| | 480,096 | | | MASHANTUCKET WSTRN PEQUOT TRIBE CT | | 7/1/2031 | | 6.05 | | | 522,163 | | | 31,581 | | | | |
| | 895,000 | | | MASSACHUSETTS ST DEV FIN AGY REVENUE | | 7/1/2030 | | 6.38 | | | 884,538 | | | 990,282 | | | | |
| | 1,310,000 | | | MASSACHUSETTS ST EDUCTNL FING AUTH | | 1/1/2028 | | 5.25 | | | 1,310,000 | | | 1,418,782 | | | | |
| | 715,000 | | | MASSACHUSETTS ST HSG FIN AGY | | 12/1/2033 | | 5.00 | | | 715,000 | | | 776,233 | | | | |
| | 715,000 | | | MASSACHUSETTS ST HSG FIN AGY | | 12/1/2038 | | 5.15 | | | 715,000 | | | 762,569 | | | | |
| | 1,000,000 | | | MASSACHUSETTS ST HSG FIN AGY | | 12/1/2043 | | 5.00 | | | 1,000,000 | | | 1,078,240 | | | | |
See accompanying notes to the financial statements. | 58 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 885,000 | | | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE | | 6/1/2040 | | 5.05 | | $ | 885,000 | | | 925,011 | | | | |
| | 3,100,000 | | | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE | | 12/1/2043 | | 4.00 | | | 3,100,000 | | | 3,118,538 | | | | |
| | 160,000 | | | MEAD NE TAX INCR REVENUE(e) | | 7/1/2012 | | 5.13 | | | 160,000 | | | 1,600 | | | | |
| | 1,000,000 | | | MEDFORD OR HOSP FACS AUTH REVENUE | | 10/1/2042 | | 5.00 | | | 1,042,353 | | | 1,077,760 | | | | |
| | 1,070,000 | | | MET GOVT NASHVILLE & DAVIDSON CNTY TN HLTH & EDUCTNL FAC BRD(e) | | 12/20/2020 | | 8.00 | | | 1,070,000 | | | 53,511 | | | | |
| | 855,000 | | | MET GOVT NASHVILLE & DAVIDSON CNTY TN HLTH & EDUCTNL FAC BRD(e) | | 6/20/2036 | | 10.00 | | | 855,000 | | | 25,599 | | | | |
| | 1,830,000 | | | MET GOVT NASHVILLE & DAVIDSON CNTY TN HLTH & EDUCTNL FAC BRD(e) | | 12/20/2040 | | 7.50 | | | 1,830,000 | | | 1,097,817 | | | | |
| | 500,000 | | | MIAMI-DADE CNTY FL HLTH FACS AUTH HOSP REVENUE | | 8/1/2030 | | 6.00 | | | 487,649 | | | 580,265 | | | | |
| | 1,000,000 | | | MIAMI-DADE CNTY FL SPL OBLIG(f) | | 10/1/2038 | | 0.00 | | | 307,611 | | | 307,620 | | | | |
| | 750,000 | | | MICHIGAN ST FIN AUTH REVENUE | | 11/15/2035 | | 5.25 | | | 745,312 | | | 763,545 | | | | |
| | 1,500,000 | | | MICHIGAN ST HOSP FIN AUTH | | 6/1/2034 | | 6.13 | | | 1,533,494 | | | 1,752,420 | | | | |
| | 1,000,000 | | | MICHIGAN ST HSG DEV AUTH | | 10/1/2034 | | 5.63 | | | 1,000,000 | | | 1,055,360 | | | | |
| | 1,850,000 | | | MICHIGAN ST HSG DEV AUTH | | 10/1/2035 | | 4.10 | | | 1,850,000 | | | 1,911,790 | | | | |
| | 1,000,000 | | | MICHIGAN ST HSG DEV AUTH | | 12/1/2035 | | 3.95 | | | 1,000,000 | | | 1,025,700 | | | | |
| | 1,000,000 | | | MICHIGAN ST HSG DEV AUTH | | 12/1/2040 | | 3.95 | | | 1,000,000 | | | 1,009,970 | | | | |
| | 1,000,000 | | | MICHIGAN ST MUNI BOND AUTH | | 5/1/2023 | | 5.75 | | | 1,013,552 | | | 1,140,630 | | | | |
| | 430,000 | | | MICHIGAN ST PUBLIC EDUCTNL FACS AUTH(c)(g) | | 9/1/2016 | | 6.00 | | | 429,510 | | | 258,009 | | | | |
| | 360,000 | | | MICHIGAN ST PUBLIC EDUCTNL FACS AUTH | | 10/1/2023 | | 6.25 | | | 360,000 | | | 179,971 | | | | |
| | 500,000 | | | MICHIGAN ST PUBLIC EDUCTNL FACS AUTH | | 11/1/2028 | | 6.35 | | | 500,000 | | | 500,845 | | | | |
| | 85,045 | | | MINNESOTA ST HGR EDU FACS AUTH REVENUE | | 10/1/2016 | | 4.49 | | | 85,122 | | | 85,563 | | | | |
| | 320,000 | | | MINNESOTA ST HSG FIN AGY | | 7/1/2034 | | 5.05 | | | 320,000 | | | 338,013 | | | | |
| | 640,000 | | | MINNESOTA ST HSG FIN AGY | | 1/1/2040 | | 5.10 | | | 640,000 | | | 671,091 | | | | |
| | 1,000,000 | | | MISSISSIPPI ST DEV BANK SPL OBLG | | 10/1/2031 | | 6.50 | | | 975,893 | | | 1,177,170 | | | | |
| | 80,000 | | | MISSISSIPPI ST HOME CORP SF MTGE REVENUE | | 6/1/2039 | | 6.75 | | | 83,687 | | | 83,907 | | | | |
| | 125,000 | | | MISSOURI ST HSG DEV COMMISSION SF HSG REVENUE | | 9/1/2034 | | 5.35 | | | 125,000 | | | 132,400 | | | | |
| | 1,175,000 | | | MONTANA ST BRD OF HSG | | 12/1/2038 | | 3.75 | | | 1,175,000 | | | 1,200,133 | | | | |
| | 820,000 | | | MONTANA ST BRD OF HSG | | 12/1/2038 | | 5.20 | | | 820,000 | | | 896,334 | | | | |
| | 450,000 | | | MONTANA ST BRD OF HSG | | 12/1/2039 | | 5.50 | | | 450,027 | | | 468,756 | | | | |
| | 1,000,000 | | | MONTANA ST BRD OF HSG SF MTGE | | 12/1/2038 | | 4.00 | | | 1,003,871 | | | 1,027,650 | | | | |
| | 1,250,000 | | | MONTERRA FL CDD SPL ASSMNT | | 5/1/2036 | | 3.50 | | | 1,221,440 | | | 1,237,450 | | | | |
| | 1,000,000 | | | MONTGOMERY CNTY MD HSG OPPNTYSCOMMN MFH & RECONSTR DEV REV | | 7/1/2039 | | 3.88 | | | 1,000,000 | | | 1,016,320 | | | | |
| | 500,000 | | | MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION MF REVENUE | | 7/1/2037 | | 5.13 | | | 500,000 | | | 535,710 | | | | |
| | 1,380,000 | | | MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION SF MTGE REVE | | 7/1/2038 | | 4.00 | | | 1,380,000 | | | 1,403,626 | | | | |
| | 750,000 | | | MOON INDL DEV AUTH PA REVENUE | | 7/1/2030 | | 5.63 | | | 740,848 | | | 755,213 | | | | |
| | 800,000 | | | MOUNT CARBON CO MET DIST REVENUE | | 6/1/2043 | | 7.00 | | | 800,000 | | | 476,960 | | | | |
| | 200,000 | | | MOUNT CARBON CO MET DIST | | | | | | | | | | | | | | |
| | | | | REVENUE(e) | | 6/1/2043 | | 8.00 | | | - | | | 1,000 | | | | |
See accompanying notes to the financial statements. | 59 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 500,000 | | | MULTNOMAH CNTY OR HOSP FACS AUTH REVENUE | | 12/1/2029 | | 5.00 | | $ | 529,929 | | | 540,600 | | | | |
| | 615,000 | | | MUNSTER IN ECON DEV TAX INCR REVENUE | | 7/15/2026 | | 4.75 | | | 612,455 | | | 672,749 | | | | |
| | 500,000 | | | N CENTRL TEXAS ST HLTH FAC DEV CORP | | 2/15/2025 | | 5.38 | | | 500,000 | | | 499,955 | | | | |
| | 1,000,000 | | | N SLOPE BORO AK SVC AREA 10 WTR & WSTWTR FACS | | 6/30/2034 | | 5.25 | | | 1,043,914 | | | 1,108,530 | | | | |
| | 460,000 | | | N SPRINGS FL IMPT DIST | | 5/1/2027 | | 6.00 | | | 460,000 | | | 482,609 | | | | |
| | 1,000,000 | | | N TX TOLLWAY AUTH REVENUE | | 1/1/2034 | | 6.00 | | | 1,000,000 | | | 1,183,150 | | | | |
| | 1,000,000 | | | N TX TOLLWAY AUTH REVENUE | | 1/1/2042 | | 6.20 | | | 741,432 | | | 1,271,940 | | | | |
| | 1,000,000 | | | NATRONA CNTY WY HOSP REVENUE | | 9/15/2031 | | 6.35 | | | 1,000,000 | | | 1,146,270 | | | | |
| | 500,000 | | | NAVAJO NATION AZ(c) | | 12/1/2030 | | 5.50 | | | 536,730 | | | 549,280 | | | | |
| | 1,000,000 | | | NEBRASKA ST INVESTMENT FIN AUTH SF HSG REVENUE | | 9/1/2035 | | 3.90 | | | 1,000,000 | | | 1,023,620 | | | | |
| | 1,890,000 | | | NEVADA ST HSG DIV SF MTGE REVENUE | | 10/1/2039 | | 3.85 | | | 1,890,000 | | | 1,910,147 | | | | |
| | 315,000 | | | NEVADA ST HSG DIV SF MTGE REVENUE | | 10/1/2040 | | 5.10 | | | 315,000 | | | 328,567 | | | | |
| | 1,000,000 | | | NEW HAMPSHIRE ST HLTH & EDU FACS AUTH REVENUE | | 1/1/2034 | | 6.00 | | | 972,051 | | | 1,137,340 | | | | |
| | 500,000 | | | NEW HAMPSHIRE ST HLTH & EDU FACS AUTH REVENUE | | 8/1/2038 | | 6.00 | | | 490,891 | | | 572,550 | | | | |
| | 1,000,000 | | | NEW HAMPSHIRE ST HSG FIN AUTH MF REVENUE | | 7/1/2031 | | 5.20 | | | 1,000,000 | | | 1,085,840 | | | | |
| | 455,000 | | | NEW HAMPSHIRE ST HSG FIN AUTH SF REVENUE | | 7/1/2034 | | 5.38 | | | 455,000 | | | 479,561 | | | | |
| | 255,000 | | | NEW HAMPSHIRE ST HSG FIN AUTH SF REVENUE | | 7/1/2038 | | 6.63 | | | 261,381 | | | 270,797 | | | | |
| | 750,000 | | | NEW HOPE CULTURAL ED FACS FINCORP TX RETIREMENT FAC REVENUE | | 1/1/2035 | | 5.50 | | | 767,056 | | | 771,435 | | | | |
| | 750,000 | | | NEW HOPE CULTURAL EDU FACS FIN CORP TX STUDENT HSG REV | | 7/1/2035 | | 5.00 | | | 776,351 | | | 794,798 | | | | |
| | 1,100,000 | | | NEW HOPE CULTURAL EDU FACS FIN CORP TX STUDENT HSG REV | | 4/1/2046 | | 5.00 | | | 1,159,181 | | | 1,204,852 | | | | |
| | 170,000 | | | NEW JERSEY ST ECON DEV AUTH | | 12/1/2016 | | 5.75 | | | 170,000 | | | 170,267 | | | | |
| | 420,000 | | | NEW JERSEY ST HGR EDU ASSISTANCE AUTH | | 6/1/2024 | | 5.38 | | | 418,445 | | | 456,590 | | | | |
| | 940,000 | | | NEW JERSEY ST HSG & MTGE FIN AGY | | 10/1/2030 | | 4.50 | | | 940,000 | | | 1,001,128 | | | | |
| | 140,000 | | | NEW JERSEY ST HSG & MTGE FIN AGY | | 10/1/2030 | | 6.45 | | | 144,251 | | | 149,628 | | | | |
| | 455,000 | | | NEW JERSEY ST HSG & MTGE FIN AGY | | 10/1/2034 | | 5.00 | | | 455,000 | | | 476,485 | | | | |
| | 630,000 | | | NEW JERSEY ST HSG & MTGE FIN AGY | | 10/1/2035 | | 5.00 | | | 630,000 | | | 658,760 | | | | |
| | 1,140,000 | | | NEW JERSEY ST HSG & MTGE FIN AGY | | 10/1/2037 | | 5.00 | | | 1,132,462 | | | 1,184,574 | | | | |
| | 1,000,000 | | | NEW JERSEY ST HSG & MTGE FIN AGY MF CONDUIT REVENUE | | 1/1/2030 | | 3.60 | | | 1,000,000 | | | 1,022,460 | | | | |
| | 1,000,000 | | | NEW JERSEY ST HSG & MTGE FIN AGY MF REVENUE | | 5/1/2041 | | 4.95 | | | 968,990 | | | 1,051,180 | | | | |
| | 500,000 | | | NEW JERSEY ST TRANSPRTN TRUSTFUND AUTH | | 6/15/2041 | | 5.25 | | | 512,341 | | | 537,330 | | | | |
| | 255,000 | | | NEW MEXICO ST MTGE FIN AUTH | | 9/1/2029 | | 4.80 | | | 255,000 | | | 269,362 | | | | |
| | 530,000 | | | NEW MEXICO ST MTGE FIN AUTH | | 9/1/2029 | | 5.00 | | | 530,000 | | | 551,672 | | | | |
| | 505,000 | | | NEW MEXICO ST MTGE FIN AUTH | | 9/1/2034 | | 5.00 | | | 505,000 | | | 535,295 | | | | |
| | 540,000 | | | NEW MEXICO ST MTGE FIN AUTH | | 3/1/2036 | | 5.45 | | | 540,000 | | | 569,894 | | | | |
See accompanying notes to the financial statements. | 60 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 845,000 | | | NEW MEXICO ST MTGE FIN AUTH | | 9/1/2042 | | 3.90 | | $ | 845,000 | | | 853,746 | | | | |
| | 1,180,000 | | | NEW MEXICO ST MTGE FIN AUTH | | 9/1/2042 | | 4.13 | | | 1,180,000 | | | 1,205,417 | | | | |
| | 115,000 | | | NEW RIVER FL CDD CAPITAL IMPT REVENUE(e) | | 5/1/2013 | | 5.00 | | | 114,821 | | | 1 | | | | |
| | 1,000,000 | | | NEW YORK CITY NY HSG DEV CORPMF HSG REVENUE | | 11/1/2037 | | 3.80 | | | 1,000,000 | | | 1,016,870 | | | | |
| | 1,000,000 | | | NEW YORK CITY NY HSG DEV CORPMF HSG REVENUE | | 11/1/2039 | | 4.30 | | | 1,000,000 | | | 1,033,640 | | | | |
| | 2,000,000 | | | NEW YORK CITY NY MUNI WTR FINAUTH WTR & SWR SYS REVENUE | | 6/15/2038 | | 5.00 | | | 2,199,327 | | | 2,295,640 | | | | |
| | 1,500,000 | | | NEW YORK ST HSG FIN AGY REVENUE | | 11/1/2034 | | 3.65 | | | 1,500,000 | | | 1,532,430 | | | | |
| | 500,000 | | | NEW YORK ST HSG FIN AGY REVENUE | | 11/1/2045 | | 5.10 | | | 500,000 | | | 539,245 | | | | |
| | 5,000,000 | | | NEW YORK ST HSG FIN AGY REVENUE | | 5/1/2048 | | 4.10 | | | 5,000,000 | | | 5,086,350 | | | | |
| | 750,000 | | | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | | 10/1/2038 | | 3.75 | | | 750,000 | | | 753,983 | | | | |
| | 1,450,000 | | | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | | 10/1/2040 | | 3.80 | | | 1,450,000 | | | 1,457,090 | | | | |
| | 1,465,000 | | | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | | 10/1/2040 | | 4.13 | | | 1,465,000 | | | 1,506,093 | | | | |
| | 500,000 | | | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | | 10/1/2042 | | 3.75 | | | 500,000 | | | 498,300 | | | | |
| | 500,000 | | | NORTH CAROLINA ST CAPITAL FACS FIN AGY EDUCTNL FACS REVENUE | | 6/1/2023 | | 5.00 | | | 500,000 | | | 500,705 | | | | |
| | 515,000 | | | NORTH DAKOTA ST HSG FIN AGY | | 7/1/2032 | | 3.60 | | | 515,000 | | | 517,606 | | | | |
| | 500,000 | | | NORTH SPRINGS FL IMPT DIST | | 5/1/2044 | | 6.50 | | | 500,000 | | | 520,290 | | | | |
| | 1,000,000 | | | NTHRN IL UNIV | | 4/1/2026 | | 5.50 | | | 1,008,987 | | | 1,125,050 | | | | |
| | 1,000,000 | | | NTHRN PALM BEACH CNTY FL IMPTDIST | | 8/1/2029 | | 5.00 | | | 1,000,000 | | | 1,026,640 | | | | |
| | 2,000,000 | | | OAK PARK CA UNIF SCH DIST(b) | | 8/1/2038 | | 1.86 | | | 1,111,389 | | | 2,036,480 | | | | |
| | 1,075,000 | | | OAKLAND CNTY MI ECON DEV CORP LTD OBLG REVENUE | | 12/1/2020 | | 6.50 | | | 1,070,954 | | | 1,145,907 | | | | |
| | 355,000 | | | OHIO ST HSG FIN AGY RSDL MTGE REVENUE | | 9/1/2033 | | 5.40 | | | 355,000 | | | 373,400 | | | | |
| | 5,159,451 | | | OKLAHOMA CNTY OK HOME FIN AUTH SF REVENUE(f) | | 9/1/2034 | | 0.00 | | | 1,672,053 | | | 1,712,112 | | | | |
| | 190,000 | | | OKLAHOMA ST HSG FIN AGY SF MTGE REVENUE | | 3/1/2032 | | 5.15 | | | 190,000 | | | 199,637 | | | | |
| | 240,000 | | | OKLAHOMA ST HSG FIN AGY SF MTGE REVENUE | | 9/1/2038 | | 6.50 | | | 245,195 | | | 253,966 | | | | |
| | 1,000,000 | | | ORANGE CNTY FL HLTH FACS AUTHREVENUE | | 8/1/2034 | | 5.00 | | | 1,059,331 | | | 1,101,780 | | | | |
| | 750,000 | | | ORANGE CNTY FL HLTH FACS AUTHREVENUE | | 8/1/2035 | | 5.00 | | | 792,042 | | | 817,927 | | | | |
| | 1,000,000 | | | ORANGE CNTY FL HSG FIN AUTH | | 9/1/2035 | | 3.80 | | | 1,000,000 | | | 1,014,740 | | | | |
| | 1,250,000 | | | OREGON ST | | 12/1/2034 | | 3.62 | | | 1,250,000 | | | 1,288,200 | | | | |
| | 2,000,000 | | | OREGON ST | | 12/1/2039 | | 3.90 | | | 2,000,000 | | | 2,049,000 | | | | |
| | 915,000 | | | OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE | | 7/1/2038 | | 4.00 | | | 915,000 | | | 928,972 | | | | |
| | 500,000 | | | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | | 6/1/2023 | | 6.25 | | | 500,000 | | | 536,040 | | | | |
| | 500,000 | | | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | | 6/1/2034 | | 7.25 | | | 500,000 | | | 595,755 | | | | |
See accompanying notes to the financial statements. | 61 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 500,000 | | | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | | 6/1/2049 | | 7.50 | | $ | 492,457 | | | 598,035 | | | | |
| | 500,000 | | | PENNSYLVANIA ST HGR EDUCTNL FACS AUTH REVENUE | | 7/1/2039 | | 1.06 | | | 500,000 | | | 398,120 | | | | |
| | 1,000,000 | | | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | | 10/1/2037 | | 3.65 | | | 1,005,158 | | | 1,009,790 | | | | |
| | 500,000 | | | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | | 10/1/2038 | | 4.00 | | | 500,000 | | | 512,170 | | | | |
| | 3,200,000 | | | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | | 10/1/2040 | | 4.05 | | | 3,200,000 | | | 3,267,224 | | | | |
| | 660,000 | | | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | | 10/1/2042 | | 3.70 | | | 660,000 | | | 660,310 | | | | |
| | 1,935,000 | | | PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE | | 12/1/2035 | | 5.13 | | | 1,577,126 | | | 2,155,687 | | | | |
| | 1,500,000 | | | PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE(b) | | 12/1/2037 | | 1.25 | | | 1,084,766 | | | 1,264,875 | | | | |
| | 1,000,000 | | | PEORIA AZ INDL DEV AUTH | | 11/15/2029 | | 5.25 | | | 1,000,000 | | | 1,020,190 | | | | |
| | 5,000,000 | | | PEORIA IL PUBLIC BLDG COMMISSION SCH DIST FACS REVENUE(f) | | 12/1/2026 | | 0.00 | | | 2,558,608 | | | 2,794,850 | | | | |
| | 500,000 | | | PHILADELPHIA PA AUTH FOR INDLDEV REVENUES | | 6/15/2023 | | 6.13 | | | 500,000 | | | 547,985 | | | | |
| | 1,250,000 | | | PHOENIX AZ INDL DEV AUTH EDU REVENUE(c) | | 7/1/2024 | | 5.75 | | | 1,241,616 | | | 1,353,850 | | | | |
| | 2,500,000 | | | PHOENIX AZ INDL DEV AUTH LEASE REVENUE | | 6/1/2034 | | 5.25 | | | 2,533,900 | | | 2,801,250 | | | | |
| | 1,000,000 | | | PIKE PLACE MARKET WA PRESERVATION & DEV AUTH SPL OBLG | | 12/1/2040 | | 5.00 | | | 1,077,783 | | | 1,122,960 | | | | |
| | 150,000 | | | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | | 12/1/2018 | | 6.38 | | | 150,000 | | | 156,684 | | | | |
| | 45,000 | | | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | | 7/1/2021 | | 6.70 | | | 45,000 | | | 45,392 | | | | |
| | 705,000 | | | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | | 6/1/2022 | | 5.00 | | | 658,278 | | | 700,009 | | | | |
| | 10,000 | | | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | | 7/1/2031 | | 6.75 | | | 7,571 | | | 10,067 | | | | |
| | 2,625,000 | | | PITTSBURG CALIF UNI SCH DIST FING AUTH REV(f) | | 9/1/2031 | | 0.00 | | | 1,064,826 | | | 1,107,645 | | | | |
| | 750,000 | | | POLK CNTY OR HOSP FAC AUTH REVENUE | | 7/1/2035 | | 5.13 | | | 750,000 | | | 756,743 | | | | |
| | 2,000,000 | | | PORT SAINT LUCIE FL RESEARCH FACS REVENUE | | 5/1/2033 | | 5.00 | | | 2,065,971 | | | 2,024,400 | | | | |
| | 1,000,000 | | | PROMENADE CASTLE ROCK CO MET DIST #1 | | 12/1/2025 | | 5.13 | | | 1,000,000 | | | 1,018,520 | | | | |
| | 865,000 | | | PUBLIC FIN AUTH WI CCRC REVENUE | | 6/1/2020 | | 7.00 | | | 856,944 | | | 976,533 | | | | |
| | 1,500,000 | | | PUBLIC FIN AUTH WI CCRC REVENUE | | 6/1/2046 | | 8.25 | | | 1,554,729 | | | 1,877,400 | | | | |
| | 420,000 | | | PUBLIC FIN AUTH WI EDUCTNL FAC REVENUE | | 9/1/2022 | | 5.25 | | | 420,000 | | | 432,818 | | | | |
| | 750,000 | | | PUBLIC FIN AUTH WI REVENUE | | 4/1/2025 | | 5.00 | | | 755,510 | | | 770,070 | | | | |
| | 600,000 | | | PUBLIC FIN AUTH WI REVENUE | | 4/1/2032 | | 5.50 | | | 600,000 | | | 609,126 | | | | |
| | 442,000 | | | PUBLIC FIN AUTH WI REVENUE(f) | | 10/1/2042 | | 0.00 | | | 495,767 | | | 69,140 | | | | |
| | 515,000 | | | PUBLIC FIN AUTH WI REVENUE | | 10/1/2042 | | 7.00 | | | 563,957 | | | 517,117 | | | | |
| | 1,250,000 | | | PUBLIC FIN AUTH WI SENIOR LIVING REVENUE | | 11/15/2024 | | 5.00 | | | 1,245,506 | | | 1,319,575 | | | | |
| | 1,000,000 | | | PUERTO RICO CMWLTH | | 7/1/2028 | | 6.00 | | | 991,269 | | | 666,280 | | | | |
| | 1,500,000 | | | PUERTO RICO CMWLTH | | 7/1/2035 | | 5.00 | | | 1,500,000 | | | 1,492,605 | | | | |
See accompanying notes to the financial statements. | 62 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 1,000,000 | | | PUERTO RICO INDL TOURIST EDUCTNL MED & ENVRNMNTL CONTROL FAC | | 11/15/2025 | | 6.13 | | $ | 1,000,000 | | | 1,021,910 | | | | |
| | 1,260,000 | | | QUECHAN INDIAN TRIBE AZ FORT YUMA INDIAN RESERVATION | | 5/1/2025 | | 9.75 | | | 1,260,000 | | | 1,417,487 | | | | |
| | 750,000 | | | RED RIVER TX HLTH FACS DEV CORP RETIREMENT FAC REVENUE | | 11/15/2020 | | 6.13 | | | 750,000 | | | 751,148 | | | | |
| | 750,000 | | | RED RIVER TX HLTH FACS DEV CORP RETIREMENT FAC REVENUE | | 11/15/2034 | | 7.50 | | | 746,157 | | | 874,192 | | | | |
| | 1,000,000 | | | REDONDO BEACH CA UNIF SCH DIST(b) | | 8/1/2034 | | 1.38 | | | 729,798 | | | 1,219,070 | | | | |
| | 750,000 | | | REEF-SUNSET CA UNIF SCH DIST(b) | | 8/1/2038 | | 1.30 | | | 523,937 | | | 621,240 | | | | |
| | 500,000 | | | RHODE ISLAND ST HLTH & EDUCTNL BLDG CORP | | 5/15/2030 | | 6.25 | | | 494,365 | | | 571,060 | | | | |
| | 1,000,000 | | | RHODE ISLAND ST HSG & MTGE FIN CORP | | 10/1/2028 | | 4.00 | | | 995,017 | | | 1,041,900 | | | | |
| | 750,000 | | | RHODE ISLAND ST HSG & MTGE FIN CORP | | 10/1/2037 | | 3.90 | | | 750,000 | | | 753,953 | | | | |
| | 1,000,000 | | | RIVERSIDE CA CMNTY PPTYS DEV INC LEASE REVENUE | | 10/15/2038 | | 6.00 | | | 1,022,414 | | | 1,190,110 | | | | |
| | 1,500,000 | | | S TAHOE CA JT PWRS FING AUTH LEASE REVENUE | | 10/1/2030 | | 5.00 | | | 1,649,248 | | | 1,697,835 | | | | |
| | 495,000 | | | S WSTRN IL DEV AUTH | | 10/1/2022 | | 7.00 | | | 495,000 | | | 417,681 | | | | |
| | 350,000 | | | SACRAMENTO CNTY CA WTR FING AUTH REVENUE | | 6/1/2039 | | 0.85 | | | 350,000 | | | 300,454 | | | | |
| | 270,000 | | | SADDLEBACK VLY CA UNIF SCH DIST PUBLIC FING AUTH | | 9/1/2017 | | 5.65 | | | 270,000 | | | 271,218 | | | | |
| | 72,000 | | | SAINT BERNARD PARISH LA HOME MTGE AUTH SF MTGE | | 3/1/2039 | | 5.80 | | | 70,560 | | | 74,343 | | | | |
| | 500,000 | | | SAINT JOHNS CNTY FL INDL DEV AUTH REVENUE | | 8/1/2040 | | 5.88 | | | 493,278 | | | 556,130 | | | | |
| | 460,000 | | | SAINT JOSEPH CNTY IN ECON DEV REVENUE | | 5/15/2026 | | 6.00 | | | 358,995 | | | 469,264 | | | | |
| | 500,000 | | | SAINT JOSEPH CNTY IN ECON DEV REVENUE | | 5/15/2038 | | 6.00 | | | 375,756 | | | 510,070 | | | | |
| | 1,000,000 | | | SAINT JOSEPH CNTY IN ECON DEV REVENUE | | 5/15/2039 | | 6.25 | | | 1,005,799 | | | 1,067,460 | | | | |
| | 416,006 | | | SAINT JOSEPH CNTY IN HOSP AUTH HLTH FACS REVENUE(e) | | 2/15/2028 | | 5.25 | | | 421,343 | | | 20,330 | | | | |
| | 750,000 | | | SAINT LOUIS CNTY MO INDL DEV AUTH SENIOR LIVING FACS | | 9/1/2042 | | 5.00 | | | 769,207 | | | 797,985 | | | | |
| | 750,000 | | | SAINT TAMMANY LA PUBLIC TRUST FING AUTH | | 11/15/2037 | | 5.25 | | | 763,250 | | | 773,835 | | | | |
| | 1,000,000 | | | SAN CLEMENTE CA SPL TAX | | 9/1/2040 | | 5.00 | | | 1,067,865 | | | 1,088,950 | | | | |
| | 500,000 | | | SAN DIEGO CA HSG AUTH MF HSG REVENUE | | 5/1/2029 | | 5.00 | | | 500,000 | | | 543,275 | | | | |
| | 1,500,000 | | | SAN GABRIEL CA UNIF SCH DIST | | 8/1/2039 | | 5.35 | | | 1,385,644 | | | 1,777,320 | | | | |
| | 1,000,000 | | | SAN JOSE CA FING AUTH | | 6/1/2039 | | 5.00 | | | 1,055,711 | | | 1,146,390 | | | | |
| | 500,000 | | | SANTA MONICA CA REDEV AGY | | 7/1/2036 | | 5.88 | | | 513,308 | | | 597,130 | | | | |
| | 1,450,000 | | | SARASOTA CNTY FL HLTH FACS AUTH RETMNT FAC REVENUE | | 1/1/2027 | | 5.50 | | | 1,238,695 | | | 1,521,296 | | | | |
| | 1,000,000 | | | SARASOTA CNTY FL HLTH FACS AUTH RETMNT FAC REVENUE | | 1/1/2032 | | 5.50 | | | 1,006,548 | | | 1,043,230 | | | | |
| | 1,000,000 | | | SCHERERVILLE IN ECON DEV REVENUE | | 1/15/2030 | | 6.00 | | | 1,017,119 | | | 1,202,380 | | | | |
| | 770,000 | | | SEATTLE WA HSG AUTH POOLED HSG REVENUE | | 9/15/2033 | | 5.75 | | | 784,361 | | | 900,245 | | | | |
| | 500,000 | | | SEMINOLE TRIBE FL SPL OBLG REVENUE(c) | | 10/1/2024 | | 5.50 | | | 501,483 | | | 526,105 | | | | |
| | 500,000 | | | SEVEN OAKS FL CMNTY DEV DIST SPL ASSMNT REVENUE | | 5/1/2033 | | 5.50 | | | 489,067 | | | 532,030 | | | | |
| | 150,000 | | | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(e) | | 1/1/2019 | | 5.35 | | | 134,965 | | | 3,756 | | | | |
See accompanying notes to the financial statements. | 63 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 625,000 | | | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(e) | | 1/1/2029 | | 5.55 | | $ | 556,862 | | | 15,650 | | | | |
| | 130,000 | | | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(e) | | 1/1/2029 | | 6.00 | | | - | | | 1 | | | | |
| | 425,000 | | | SILVERLEAF FL CDD CAPITAL IMPT REVENUE | | 5/1/2023 | | 6.50 | | | 425,000 | | | 452,170 | | | | |
| | 245,000 | | | SILVERLEAF FL CDD CAPITAL IMPT REVENUE | | 5/1/2044 | | 6.75 | | | 240,417 | | | 261,023 | | | | |
| | 370,000 | | | SOUTH CAROLINA ST EDU ASSISTANCE AUTH | | 10/1/2029 | | 5.10 | | | 366,382 | | | 397,128 | | | | |
| | 356,475 | | | SOUTH CAROLINA ST JOBS-ECON DEV AUTH REVENUE | | 11/15/2032 | | 6.00 | | | 356,475 | | | 366,378 | | | | |
| | 381,347 | | | SOUTH CAROLINA ST JOBS-ECON DEV AUTH REVENUE(f) | | 11/15/2047 | | 0.00 | | | 371,070 | | | 39,164 | | | | |
| | 1,000,000 | | | SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE | | 12/1/2038 | | 5.00 | | | 1,067,128 | | | 1,120,120 | | | | |
| | 1,400,000 | | | SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE | | 12/1/2043 | | 5.75 | | | 1,477,190 | | | 1,679,300 | | | | |
| | 500,000 | | | SOUTH DAKOTA ST HLTH & EDUCTNL FACS AUTH | | 9/1/2032 | | 5.00 | | | 499,500 | | | 551,010 | | | | |
| | 183,000 | | | SOUTHSIDE AZ CMNTY FACS DIST #1 SPL ASSMNT REVENUE PRESCOTT | | 7/1/2018 | | 6.13 | | | 158,441 | | | 158,571 | | | | |
| | 1,000,000 | | | STC MET DIST #2 CO | | 12/1/2038 | | 6.00 | | | 969,672 | | | 969,700 | | | | |
| | 150,000 | | | STERLING HILL FL CDD CAPITAL IMPT REVENUE(e) | | 11/1/2010 | | 5.50 | | | 150,000 | | | 118,500 | | | | |
| | 1,000,000 | | | SUGAR LAND TX DEV CORP SALES TAX REVENUE | | 2/15/2033 | | 5.00 | | | 1,103,725 | | | 1,136,980 | | | | |
| | 2,500,000 | | | SULPHUR SPRINGS CA UNION SCH DIST COPS | | 12/1/2037 | | 6.50 | | | 1,927,603 | | | 3,187,778 | | | | |
| | 1,500,000 | | | SUTTER BUTTE CA FLOOD AGY ASSMNT REVENUE | | 10/1/2038 | | 4.00 | | | 1,482,250 | | | 1,559,310 | | | | |
| | 1,100,000 | | | TALLAHASSEE FL HLTH FACS REVENUE | | 12/1/2040 | | 5.00 | | | 1,174,000 | | | 1,210,957 | | | | |
| | 1,000,000 | | | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP HOSP REVENUE | | 11/15/2038 | | 5.00 | | | 1,086,534 | | | 1,127,840 | | | | |
| | 15,000 | | | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENU | | 2/15/2016 | | 7.25 | | | 15,000 | | | 15,049 | | | | |
| | 750,000 | | | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENU | | 11/15/2035 | | 5.00 | | | 782,649 | | | 803,685 | | | | |
| | 750,000 | | | TAYLOR MI BROWNFIELD REDEV AUTH | | 5/1/2032 | | 5.00 | | | 797,212 | | | 812,618 | | | | |
| | 1,000,000 | | | TENNESSEE ST HSG DEV AGY | | 1/1/2035 | | 3.85 | | | 1,000,000 | | | 1,034,640 | | | | |
| | 1,350,000 | | | TENNESSEE ST HSG DEV AGY | | 7/1/2043 | | 3.80 | | | 1,350,000 | | | 1,362,271 | | | | |
| | 420,000 | | | TEXAS ST DEPT OF HSG & CMNTY AFFAIRS | | 7/1/2039 | | 5.45 | | | 420,000 | | | 440,933 | | | | |
| | 2,000,000 | | | TEXAS ST PRIV ACTIVITY BOND SURFACE TRANSPRTN CORP REVENUE | | 6/30/2033 | | 7.50 | | | 2,034,144 | | | 2,476,960 | | | | |
| | 1,000,000 | | | TOBACCO SETTLEMENT AUTH WA TOBACCO SETTLEMENT REVENUE | | 6/1/2029 | | 5.25 | | | 1,024,309 | | | 1,070,800 | | | | |
| | 650,000 | | | TOBACCO SETTLEMENT FING CORP LA REVENUE | | 5/15/2030 | | 5.50 | | | 674,197 | | | 731,016 | | | | |
| | 1,235,000 | | | TOLEDO-LUCAS CNTY OH PORT AUTHSTUDENT HSG REVENUE | | 7/1/2039 | | 5.00 | | | 1,237,469 | | | 1,297,800 | | | | |
| | 105,000 | | | TOLOMATO FL CDD(e) | | 5/1/2017 | | 6.38 | | | 105,000 | | | 5,040 | | | | |
| | 50,000 | | | TOLOMATO FL CDD | | 5/1/2017 | | 6.38 | | | 50,000 | | | 49,891 | | | | |
| | 35,000 | | | TOLOMATO FL CDD(b) | | 5/1/2039 | | 1.39 | | | 23,450 | | | 26,250 | | | | |
| | 140,000 | | | TOLOMATO FL CDD(b) | | 5/1/2040 | | 1.34 | | | 92,958 | | | 75,940 | | | | |
See accompanying notes to the financial statements. | 64 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 185,000 | | | TOLOMATO FL CDD(b) | | 5/1/2040 | | 1.37 | | $ | 122,842 | | | 114,030 | | | | |
| | 115,000 | | | TOLOMATO FL CDD(b) | | 5/1/2040 | | 1.91 | | | 61,076 | | | 59,951 | | | | |
| | 125,000 | | | TOLOMATO FL CDD(e) | | 5/1/2040 | | 6.61 | | | - | | | 1 | | | | |
| | 1,000,000 | | | TRACY CA JT UNIF SCH DIST(b) | | 8/1/2041 | | 2.00 | | | 458,697 | | | 709,890 | | | | |
| | 750,000 | | | TROUT CREEK CDD FL CAPITAL IMPT REVENUE | | 5/1/2035 | | 5.50 | | | 742,888 | | | 750,480 | | | | |
| | 500,000 | | | TSR CDD FL SPL ASSMNT REVENUE | | 11/1/2035 | | 5.38 | | | 498,483 | | | 505,745 | | | | |
| | 500,000 | | | TURLOCK CA PUBLIC FING AUTH WTR REVENUE | | 5/1/2032 | | 4.75 | | | 511,054 | | | 535,885 | | | | |
| | 1,250,000 | | | TUSTIN CA UNIF SCH DIST(b) | | 8/1/2028 | | 2.33 | | | 850,350 | | | 1,210,187 | | | | |
| | 690,000 | | | UNIVERSAL ACADEMY MI PUBLIC SCH ACADEMY REVENUE | | 12/1/2023 | | 6.50 | | | 679,531 | | | 698,880 | | | | |
| | 1,500,000 | | | UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE | | 10/15/2033 | | 6.50 | | | 1,523,690 | | | 1,572,465 | | | | |
| | 750,000 | | | UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE(c) | | 4/15/2045 | | 6.00 | | | 778,603 | | | 782,678 | | | | |
| | 290,000 | | | UTAH ST HSG CORP SF MTGE REVENUE | | 1/1/2032 | | 4.95 | | | 290,000 | | | 300,901 | | | | |
| | 545,000 | | | UTAH ST HSG CORP SF MTGE REVENUE | | 1/1/2033 | | 5.75 | | | 545,000 | | | 555,747 | | | | |
| | 490,000 | | | VANCOUVER WA HSG AUTH | | 3/1/2025 | | 5.00 | | | 481,862 | | | 544,640 | | | | |
| | 855,000 | | | VERMONT ST HSG FIN AGY | | 5/1/2032 | | 4.88 | | | 851,086 | | | 910,489 | | | | |
| | 320,000 | | | VIRGIN ISLANDS WTR & PWR AUTH WTR SYS REVENUE | | 7/1/2017 | | 5.50 | | | 320,000 | | | 321,110 | | | | |
| | 1,000,000 | | | VIRGINIA ST HSG DEV AUTH | | 7/1/2033 | | 4.13 | | | 1,000,000 | | | 1,048,000 | | | | |
| | 1,500,000 | | | VIRGINIA ST HSG DEV AUTH | | 10/1/2038 | | 5.10 | | | 1,500,000 | | | 1,643,100 | | | | |
| | 1,000,000 | | | VIRGINIA ST HSG DEV AUTH | | 12/1/2039 | | 5.00 | | | 1,000,000 | | | 1,063,070 | | | | |
| | 3,500,000 | | | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE | | 1/1/2038 | | 3.88 | | | 3,490,250 | | | 3,557,085 | | | | |
| | 3,000,000 | | | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE | | 7/1/2038 | | 4.80 | | | 3,000,000 | | | 3,241,860 | | | | |
| | 2,000,000 | | | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE | | 10/1/2038 | | 4.75 | | | 2,000,000 | | | 2,149,040 | | | | |
| | 1,250,000 | | | VLG FL CDD #7 SPL ASSMNT REVENUE | | 5/1/2036 | | 4.00 | | | 1,241,393 | | | 1,261,300 | | | | |
| | 1,300,000 | | | WASHINGTON ST HSG FIN COMMISSION | | 10/1/2022 | | 6.00 | | | 1,300,000 | | | 1,438,619 | | | | |
| | 530,000 | | | WASHINGTON ST HSG FIN COMMISSION(c) | | 7/1/2025 | | 6.00 | | | 533,777 | | | 550,999 | | | | |
| | 1,500,000 | | | WASHINGTON ST HSG FIN COMMISSION | | 7/1/2030 | | 3.50 | | | 1,500,000 | | | 1,526,220 | | | | |
| | 500,000 | | | WASHINGTON ST HSG FIN COMMISSION | | 12/1/2033 | | 3.50 | | | 500,000 | | | 506,130 | | | | |
| | 675,000 | | | WASHINGTON ST HSG FIN COMMISSION(c) | | 1/1/2035 | | 5.75 | | | 675,000 | | | 682,081 | | | | |
| | 1,075,000 | | | WASHINGTON ST HSG FIN COMMISSION NONPROFIT REVENUE | | 1/1/2017 | | 5.25 | | | 1,069,291 | | | 1,085,309 | | | | |
| | 2,300,000 | | | WASHINGTON ST HSG FIN COMMISSION NONPROFIT REVENUE | | 1/1/2027 | | 5.63 | | | 2,180,729 | | | 2,310,304 | | | | |
| | 265,000 | | | WATERS EDGE FL CDD CAPITAL IMPT REVENUE(b) | | 5/1/2039 | | 0.87 | | | 210,237 | | | 221,429 | | | | |
| | 5,000 | | | WATERS EDGE FL CDD CAPITAL IMPT REVENUE | | 5/1/2039 | | 5.35 | | | 5,216 | | | 5,007 | | | | |
| | 1,500,000 | | | WEST VIRGINIA ST HSG DEV FUND | | 11/1/2032 | | 3.75 | | | 1,500,000 | | | 1,547,820 | | | | |
| | 700,000 | | | WEST VIRGINIA ST HSG DEV FUND | | 11/1/2039 | | 4.10 | | | 700,000 | | | 721,749 | | | | |
| | 550,000 | | | WESTCHESTER CO NY LOCAL DEV CORP REVENUE | | 1/1/2034 | | 5.00 | | | 580,853 | | | 594,446 | | | | |
| | 685,000 | | | WESTMONT IL PARK DIST(f) | | 12/1/2031 | | 0.00 | | | 269,837 | | | 325,848 | | | | |
| | 685,000 | | | WESTMONT IL PARK DIST(f) | | 12/1/2033 | | 0.00 | | | 233,845 | | | 283,227 | | | | |
| | 1,350,000 | | | WICHITA KS HLTH CARE FACS REVENUE | | 5/15/2034 | | 6.25 | | | 1,350,000 | | | 1,400,355 | | | | |
See accompanying notes to the financial statements. | 65 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Municipal Bonds (Cont’d): | | | | | | | | | | | | | | |
| | 750,000 | | | WICHITA KS HLTH CARE FACS REVENUE | | 12/15/2036 | | 7.12 | | $ | 739,964 | | | 844,365 | | | | |
| | 750,000 | | | WIREGRASS FL CDD CAPITAL IMPTREVENUE | | 5/1/2035 | | 5.38 | | | 745,475 | | | 759,825 | | | | |
| | 1,000,000 | | | WISCONSIN ST GEN FUND ANNUAL APPROP REVENUE | | 5/1/2027 | | 6.00 | | | 1,010,480 | | | 1,147,690 | | | | |
| | 1,000,000 | | | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | | 5/1/2026 | | 5.50 | | | 1,012,306 | | | 1,012,830 | | | | |
| | 1,000,000 | | | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | | 10/1/2029 | | 5.00 | | | 1,000,000 | | | 1,027,030 | | | | |
| | 1,000,000 | | | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | | 7/1/2030 | | 5.75 | | | 1,014,981 | | | 1,147,150 | | | | |
| | 1,300,000 | | | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | | 8/15/2032 | | 5.00 | | | 1,440,965 | | | 1,457,586 | | | | |
| | 1,000,000 | | | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | | 5/15/2036 | | 5.00 | | | 1,002,721 | | | 1,005,730 | | | | |
| | 2,000,000 | | | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | | 8/15/2043 | | 5.00 | | | 2,110,246 | | | 2,134,260 | | | | |
| | 500,000 | | | WISCONSIN ST HSG & ECON DEV AUTH | | 11/1/2035 | | 3.88 | | | 500,000 | | | 510,005 | | | | |
| | 1,000,000 | | | WISCONSIN ST HSG & ECON DEV AUTH | | 11/1/2040 | | 4.00 | | | 1,000,000 | | | 1,017,910 | | | | |
| | 720,000 | | | WSTRN GENERATION AGY OR COGENERATION PROJ REVENUE | | 1/1/2021 | | 5.00 | | | 720,088 | | | 739,166 | | | | |
| | 1,000,000 | | | WYANDOTTE CNTY KS KANSAS CITY UNIF GOVT SPL OBLG REVENUE | | 9/1/2032 | | 5.75 | | | 992,558 | | | 1,005,800 | | | | |
| | 750,000 | | | WYNNFIELD LAKES FL CDD | | 5/1/2036 | | 4.50 | | | 744,592 | | | 789,353 | | | | |
| | 1,900,000 | | | WYOMING ST CMNTY DEV AUTH HSG REVENUE | | 12/1/2038 | | 4.05 | | | 1,900,000 | | | 1,936,727 | | | | |
| | 1,000,000 | | | WYOMING ST CMNTY DEV AUTH HSGREVENUE | | 12/1/2039 | | 4.05 | | | 1,000,000 | | | 1,023,800 | | | | |
| | 355,000 | | | ZEPHYR RIDGE FL CDD CAPITAL IMPT REVENUE(e) | | 5/1/2013 | | 5.25 | | | 355,352 | | | 139,781 | | | | |
| | | | Sub-total Municipal Bonds: | | | | | | | 444,255,058 | | | 468,989,716 | | | 91.46 | % |
See accompanying notes to the financial statements. | 66 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
| | | | | | | | | | | | | | | | | | | |
| Par/Shares | | | Security | | Maturity
date | | Coupon
rate | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Short-Term Investments: | | | | | | | | | | | | | | |
| | 14,220,233 | | | NORTHERN INSTITUTIONAL FUNDS - TAX EXEMPT PORTFOLIO, 0.01%(h) | | | | | | $ | 14,220,233 | | | 14,220,233 | | | | |
| | | | Sub-total Short-Term Investments: | | | | | | | 14,220,233 | | | 14,220,233 | | | 2.77 | % |
| | | | | Grand total(i) | | | | | | $ | 483,559,949 | | | 510,674,481 | | | 99.59 | % |
| | | |
| Notes to Schedule of Investments: |
| |
| | (a) | Investments are valued in accordance with procedures described in note 2 to the financial statements. |
| | (b) | For zero coupon bonds, the interest rate disclosed represents the annualized effective yield on the date of acquisition. |
| | (c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
| | (d) | This security is being measured at fair value according to procedures adopted by the Board of Trustees. |
| | (e) | Non-income producing assets. For long-term debt securities, item identified is in default as to payment of interest and/or principal. |
| | (f) | Zero coupon bond. |
| | (g) | Restricted security that has been deemed illiquid. At December 31, 2015, the value of this restricted illiquid security amounted to $258,009 or 0.05% of net assets. Additional information on this restricted illiquid security is as follows: |
| | | | | | | |
| SECURITY | | ACQUISITION
DATE | | ACQUISITION
COST | |
| MICHIGAN ST PUBLIC EDUCTNL FACS AUTH, 6.00%, 9/1/16 | | 9/24/07 - 4/12/11 | | | 426,563 | |
| | | |
| | (h) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2014, the value of the Clearwater Tax-Exempt Bond Fund’s investment in the Tax-Exempt Portfolio of the Northern Institutional Funds was $7,017,997 with net purchases of $7,202,236 during the fiscal year ended December 31, 2015. |
| | (i) | At December 31, 2015, the cost for Federal income tax purposes was $483,605,138. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
| | | | | |
| Gross unrealized appreciation | | $ | 38,704,032 | |
| Gross unrealized depreciation | | | (11,634,689 | ) |
| Net unrealized appreciation | | $ | 27,069,343 | |
See accompanying notes to the financial statements. | 67 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2015
Diversification of investments representing geographic diversification, as a percentage of total investments at fair value, is as follows:
| | | | | |
| Geographical Diversification | | Percent | |
| California | | | 10.63 | % |
| Florida | | | 10.20 | |
| Illinois | | | 9.82 | |
| Texas | | | 6.18 | |
| New York | | | 4.79 | |
| Indiana | | | 4.31 | |
| Georgia | | | 3.45 | |
| Wisconsin | | | 3.34 | |
| Pennsylvania | | | 3.30 | |
| Colorado | | | 2.98 | |
| Other | | | 41.00 | |
| | | | 100.00 | % |
See accompanying notes to the financial statements. | 68 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments – Clearwater Tax-Exempt Bond Fund (unaudited)
December 31, 2015
See accompanying notes to the financial statements. | 69 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Common Stocks: | | | | | | | | | | |
| | Australia: | | | | | | | | | | | | |
| | 899,955 | | 3P LEARNING LTD. | | $ | 1,251,879 | | | 1,318,152 | | | | |
| | 9,284 | | AGL ENERGY LTD. | | | 105,943 | | | 122,316 | | | | |
| | 13,354 | | ALS LTD. | | | 53,624 | | | 36,686 | | | | |
| | 51,722 | | ALUMINA LTD. | | | 50,177 | | | 43,532 | | | | |
| | 19,077 | | AMCOR LTD. | | | 178,607 | | | 186,835 | | | | |
| | 60,339 | | AMP LTD. | | | 196,569 | | | 256,339 | | | | |
| | 9,336 | | APA GROUP | | | 46,210 | | | 59,051 | | | | |
| | 21,346 | | ASCIANO LTD. | | | 100,771 | | | 135,949 | | | | |
| | 4,593 | | ASX LTD. | | | 114,203 | | | 142,110 | | | | |
| | 33,580 | | AURIZON HOLDINGS LTD. | | | 120,717 | | | 107,178 | | | | |
| | 53,031 | | AUSTRALIA & NEW ZEALAND BANKING GROUP LTD. | | | 774,574 | | | 1,079,318 | | | | |
| | 6,558 | | BANK OF QUEENSLAND LTD. | | | 66,657 | | | 66,617 | | | | |
| | 6,281 | | BENDIGO & ADELAIDE BANK LTD. | | | 52,780 | | | 54,695 | | | | |
| | 179,910 | | BGP HOLDINGS PLC(b)(c) | | | - | | | - | | | | |
| | 56,574 | | BHP BILLITON LTD. | | | 1,307,625 | | | 736,287 | | | | |
| | 31,456 | | BHP BILLITON PLC | | | 630,286 | | | 352,430 | | | | |
| | 10,199 | | BORAL LTD. | | | 28,970 | | | 43,923 | | | | |
| | 32,841 | | BRAMBLES LTD. | | | 174,637 | | | 276,884 | | | | |
| | 4,667 | | CALTEX AUSTRALIA LTD. | | | 128,323 | | | 128,212 | | | | |
| | 971 | | COCHLEAR LTD. | | | 35,894 | | | 67,629 | | | | |
| | 31,466 | | COMMONWEALTH BANK OF AUSTRALIA | | | 1,529,036 | | | 1,961,141 | | | | |
| | 9,454 | | COMPUTERSHARE LTD. | | | 86,815 | | | 80,052 | | | | |
| | 237,700 | | CORPORATE TRAVEL MANAGEMENT LTD. | | | 1,769,933 | | | 2,274,273 | | | | |
| | 302,094 | | CREDIT CORP. GROUP LTD. | | | 2,408,203 | | | 2,289,413 | | | | |
| | 5,236 | | CROWN RESORTS LTD. | | | 53,939 | | | 47,693 | | | | |
| | 37,791 | | CSL LTD. | | | 2,176,782 | | | 2,900,059 | | | | |
| | 2,549,844 | | DECMIL GROUP LTD. | | | 3,991,903 | | | 1,941,685 | | | | |
| | 14,184 | | DEXUS PROPERTY GROUP | | | 62,970 | | | 77,519 | | | | |
| | 34,490 | | FORTESCUE METALS GROUP LTD. | | | 68,323 | | | 46,998 | | | | |
| | 957,500 | | G8 EDUCATION LTD. | | | 2,129,291 | | | 2,490,897 | | | | |
| | 27,199 | | GOODMAN GROUP | | | 90,277 | | | 124,271 | | | | |
| | 30,080 | | GPT GROUP (THE) | | | 100,097 | | | 104,774 | | | | |
| | 17,989 | | HARVEY NORMAN HOLDINGS LTD. | | | 52,604 | | | 54,794 | | | | |
| | 24,794 | | HEALTHSCOPE LTD. | | | 48,101 | | | 48,059 | | | | |
| | 10,399 | | ILUKA RESOURCES LTD. | | | 52,383 | | | 46,452 | | | | |
| | 36,603 | | INCITEC PIVOT LTD. | | | 83,901 | | | 105,624 | | | | |
| | 47,825 | | INSURANCE AUSTRALIA GROUP LTD. | | | 120,292 | | | 193,766 | | | | |
| | 10,015 | | LENDLEASE GROUP | | | 61,130 | | | 104,068 | | | | |
| | 7,617 | | MACQUARIE GROUP LTD. | | | 165,843 | | | 459,425 | | | | |
| | 57,473 | | MIRVAC GROUP | | | 81,042 | | | 82,924 | | | | |
| | 42,531 | | NATIONAL AUSTRALIA BANK LTD. | | | 745,360 | | | 935,969 | | | | |
| | 17,346 | | NEWCREST MINING LTD.(b) | | | 173,211 | | | 163,941 | | | | |
| | 21,880 | | OIL SEARCH LTD. | | | 107,057 | | | 106,825 | | | | |
| | 7,620 | | ORICA LTD. | | | 112,755 | | | 86,067 | | | | |
| | 28,041 | | ORIGIN ENERGY LTD. | | | 185,874 | | | 96,037 | | | | |
| | 16,330 | | ORORA LTD. | | | 16,763 | | | 26,774 | | | | |
| | 1,077,200 | | OZFOREX GROUP LTD. | | | 2,060,193 | | | 2,574,655 | | | | |
| | 416 | | PERPETUAL LTD. | | | 7,027 | | | 14,141 | | | | |
| | 21,170 | | QBE INSURANCE GROUP LTD. | | | 221,634 | | | 194,221 | | | | |
| | 3,788 | | RAMSAY HEALTH CARE LTD. | | | 106,444 | | | 187,536 | | | | |
| | 6,668 | | REA GROUP LTD. | | | 234,225 | | | 267,681 | | | | |
| | 6,568 | | RECALL HOLDINGS LTD. | | | 24,961 | | | 33,263 | | | | |
| | 46,865 | | SANTOS LTD. | | | 138,138 | | | 125,674 | | | | |
| | 85,661 | | SCENTRE GROUP | | | 253,513 | | | 261,545 | | | | |
| | 5,884 | | SEEK LTD. | | | 49,598 | | | 65,944 | | | | |
| | 4,898 | | SHOPPING CENTRES AUSTRALASIA PROPERTY GROUP | | | 7,202 | | | 7,602 | | | | |
| | 633,861 | | SLATER & GORDON LTD. | | | 1,639,448 | | | 381,063 | | | | |
| | 9,824 | | SONIC HEALTHCARE LTD. | | | 79,849 | | | 127,927 | | | | |
| | 58,607 | | SOUTH32 LTD.(b) | | | 99,710 | | | 45,483 | | | | |
| | 39,133 | | SOUTH32 LTD.(b) | | | 63,699 | | | 30,287 | | | | |
| | 22,356 | | STAR ENTERTAINMENT GROUP (THE) LTD. | | | 70,002 | | | 82,757 | | | | |
| | 34,990 | | STOCKLAND | | | 132,305 | | | 104,539 | | | | |
| | 18,497 | | SUNCORP GROUP LTD. | | | 201,307 | | | 163,632 | | | | |
| | 9,837 | | SYDNEY AIRPORT | | | 33,263 | | | 45,518 | | | | |
| | 8,477 | | TABCORP HOLDINGS LTD. | | | 15,377 | | | 29,095 | | | | |
| | 35,105 | | TATTS GROUP LTD. | | | 95,309 | | | 112,301 | | | | |
| | 70,571 | | TELSTRA CORP. LTD. | | | 308,487 | | | 288,495 | | | | |
See accompanying notes to the financial statements. | 70 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Australia (Cont’d): | | | | | | | | | | |
| | 26,039 | | TRANSURBAN GROUP | | $ | 118,706 | | | 198,664 | | | | |
| | 12,264 | | TREASURY WINE ESTATES LTD. | | | 49,093 | | | 74,175 | | | | |
| | 71,464 | | VICINITY CENTRES | | | 130,043 | | | 145,812 | | | | |
| | 645,729 | | WEBJET LTD. | | | 2,122,400 | | | 2,587,985 | | | | |
| | 18,115 | | WESFARMERS LTD. | | | 666,822 | | | 549,282 | | | | |
| | 42,659 | | WESTFIELD CORP. | | | 217,717 | | | 295,624 | | | | |
| | 58,094 | | WESTPAC BANKING CORP. | | | 811,435 | | | 1,420,699 | | | | |
| | 10,656 | | WOODSIDE PETROLEUM LTD. | | | 354,620 | | | 223,012 | | | | |
| | 21,322 | | WOOLWORTHS LTD. | | | 402,719 | | | 380,665 | | | | |
| | | | | | | 32,607,577 | | | 33,082,920 | | | 6.74 | % |
| | Austria: | | | | | | | | | | |
| | 1,237 | | ANDRITZ A.G. | | | 66,657 | | | 60,561 | | | | |
| | 1,685 | | BUWOG A.G.(b) | | | 30,804 | | | 36,633 | | | | |
| | 5,146 | | ERSTE GROUP BANK A.G.(b) | | | 114,055 | | | 161,677 | | | | |
| | 33,719 | | IMMOFINANZ A.G.(b) | | | 87,282 | | | 76,989 | | | | |
| | 2,509 | | OMV A.G. | | | 80,527 | | | 71,247 | | | | |
| | 3,834 | | RAIFFEISEN BANK INTERNATIONAL A.G.(b) | | | 53,493 | | | 56,687 | | | | |
| | 313 | | STRABAG S.E. (BEARER) | | | 5,505 | | | 8,019 | | | | |
| | 1,368 | | VOESTALPINE A.G. | | | 51,510 | | | 42,140 | | | | |
| | 29,470 | | WIENERBERGER A.G. | | | 241,514 | | | 547,333 | | | | |
| | | | | | | 731,347 | | | 1,061,286 | | | 0.22 | % |
| | Belgium: | | | | | | | | | | |
| | 7,120 | | AGEAS | | | 106,908 | | | 331,172 | | | | |
| | 14,316 | | ANHEUSER-BUSCH INBEV S.A./N.V. | | | 562,478 | | | 1,779,825 | | | | |
| | 10,910 | | BARCO N.V. | | | 740,520 | | | 730,357 | | | | |
| | 1,645 | | COLRUYT S.A. | | | 74,892 | | | 84,818 | | | | |
| | 1,245 | | DELHAIZE GROUP | | | 51,899 | | | 121,486 | | | | |
| | 16,494 | | GROUPE BRUXELLES LAMBERT S.A. | | | 1,387,000 | | | 1,413,016 | | | | |
| | 4,347 | | KBC GROEP N.V. | | | 101,356 | | | 272,439 | | | | |
| | 12,430 | | ONTEX GROUP N.V. | | | 322,500 | | | 442,532 | | | | |
| | 2,190 | | PROXIMUS SADP | | | 49,577 | | | 71,399 | | | | |
| | 827 | | SOLVAY S.A., CLASS A | | | 118,069 | | | 88,463 | | | | |
| | 2,278 | | UCB S.A. | | | 111,517 | | | 206,046 | | | | |
| | 1,457 | | UMICORE S.A. | | | 72,577 | | | 61,222 | | | | |
| | | | | | | 3,699,293 | | | 5,602,775 | | | 1.14 | % |
| | Brazil: | | | | | | | | | | |
| | 179,502 | | CETIP S.A. - MERCADOS ORGANIZADOS | | | 2,031,136 | | | 1,701,441 | | | | |
| | 54,000 | | GRENDENE S.A. | | | 363,157 | | | 229,854 | | | | |
| | 16,700 | | M DIAS BRANCO S.A.(b) | | | 321,650 | | | 280,707 | | | | |
| | 48,500 | | TUPY S.A.(b) | | | 278,939 | | | 229,245 | | | | |
| | | | | | | 2,994,882 | | | 2,441,247 | | | 0.50 | % |
| | Canada: | | | | | | | | | | |
| | 3,548 | | AGNICO EAGLE MINES LTD. | | | 111,862 | | | 93,258 | | | | |
| | 3,620 | | AGRIUM, INC. | | | 154,492 | | | 323,542 | | | | |
| | 7,118 | | ALIMENTATION COUCHE TARD, INC., CLASS B | | | 231,690 | | | 313,332 | | | | |
| | 4,900 | | ARC RESOURCES LTD. | | | 108,943 | | | 59,139 | | | | |
| | 31,600 | | BADGER DAYLIGHTING LTD. | | | 587,009 | | | 557,687 | | | | |
| | 11,445 | | BANK OF MONTREAL | | | 703,611 | | | 645,823 | | | | |
| | 21,766 | | BANK OF NOVA SCOTIA (THE) | | | 1,148,066 | | | 880,424 | | | | |
| | 22,299 | | BARRICK GOLD CORP. | | | 199,329 | | | 165,023 | | | | |
| | 11,129 | | BAYTEX ENERGY CORP. | | | 51,701 | | | 36,032 | | | | |
| | 3,581 | | BCE, INC. | | | 153,196 | | | 138,354 | | | | |
| | 8,500 | | BLACKBERRY LTD.(b) | | | 90,213 | | | 78,876 | | | | |
| | 18,781 | | BROOKFIELD ASSET MANAGEMENT, INC., CLASS A | | | 198,617 | | | 592,447 | | | | |
| | 11,740 | | CAE, INC. | | | 85,345 | | | 130,237 | | | | |
| | 11,081 | | CAMECO CORP. | | | 198,977 | | | 136,701 | | | | |
| | 49,900 | | CANACCORD GENUITY GROUP, INC. | | | 261,393 | | | 184,281 | | | | |
| | 7,334 | | CANADIAN IMPERIAL BANK OF COMMERCE | | | 342,248 | | | 483,333 | | | | |
| | 15,994 | | CANADIAN NATIONAL RAILWAY CO. | | | 292,557 | | | 894,078 | | | | |
| | 19,866 | | CANADIAN NATURAL RESOURCES LTD. | | | 433,114 | | | 433,873 | | | | |
| | 13,960 | | CANADIAN PACIFIC RAILWAY LTD. | | | 1,652,149 | | | 1,781,296 | | | | |
| | 3,606 | | CANADIAN PACIFIC RAILWAY LTD. | | | 112,878 | | | 460,568 | | | | |
| | 1,060 | | CANADIAN TIRE CORP. LTD., CLASS A | | | 80,129 | | | 90,518 | | | | |
| | 6,690 | | CENOVUS ENERGY, INC. | | | 127,252 | | | 84,610 | | | | |
| | 6,978 | | CGI GROUP, INC., CLASS A(b) | | | 55,128 | | | 279,382 | | | | |
See accompanying notes to the financial statements. | 71 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Canada (Cont’d): | | | | | | | | | | |
| | 1,964 | | CI FINANCIAL CORP. | | $ | 49,854 | | | 43,433 | | | | |
| | 4,440 | | CONSTELLATION SOFTWARE, INC. | | | 1,285,829 | | | 1,851,086 | | | | |
| | 3,935 | | CRESCENT POINT ENERGY CORP. | | | 70,098 | | | 45,842 | | | | |
| | 2,064 | | DOLLARAMA, INC. | | | 75,934 | | | 119,243 | | | | |
| | 21,800 | | DOREL INDUSTRIES, INC., CLASS B | | | 783,674 | | | 493,600 | | | | |
| | 2,016 | | EMPIRE CO. LTD., CLASS A | | | 48,751 | | | 37,502 | | | | |
| | 14,970 | | ENBRIDGE, INC. | | | 664,392 | | | 497,666 | | | | |
| | 9,947 | | ENCANA CORP. | | | 135,701 | | | 50,537 | | | | |
| | 33,800 | | ENERFLEX LTD. | | | 348,127 | | | 324,638 | | | | |
| | 32,600 | | ENSIGN ENERGY SERVICES, INC. | | | 509,675 | | | 173,873 | | | | |
| | 269 | | FAIRFAX FINANCIAL HOLDINGS LTD. | | | 82,554 | | | 127,707 | | | | |
| | 3,000 | | FIRST CAPITAL REALTY, INC. | | | 51,131 | | | 39,785 | | | | |
| | 18,411 | | FIRST QUANTUM MINERALS LTD. | | | 92,325 | | | 68,923 | | | | |
| | 3,100 | | FORTIS, INC. | | | 105,357 | | | 83,812 | | | | |
| | 2,537 | | FRANCO-NEVADA CORP. | | | 128,281 | | | 116,060 | | | | |
| | 18,700 | | GENWORTH MI CANADA, INC. | | | 382,689 | | | 359,485 | | | | |
| | 614 | | GEORGE WESTON LTD. | | | 48,280 | | | 47,453 | | | | |
| | 6,104 | | GILDAN ACTIVEWEAR, INC. | | | 33,435 | | | 173,543 | | | | |
| | 3,958 | | GREAT-WEST LIFECO, INC. | | | 99,709 | | | 98,771 | | | | |
| | 2,408 | | H&R REAL ESTATE INVESTMENT TRUST | | | 51,228 | | | 34,892 | | | | |
| | 124,600 | | HUDBAY MINERALS, INC. | | | 1,106,269 | | | 478,157 | | | | |
| | 5,790 | | HUSKY ENERGY, INC. | | | 144,766 | | | 59,882 | | | | |
| | 2,500 | | IGM FINANCIAL, INC. | | | 100,363 | | | 63,851 | | | | |
| | 40,399 | | IMPERIAL OIL LTD. | | | 1,698,611 | | | 1,316,172 | | | | |
| | 2,780 | | INDUSTRIAL ALLIANCE INSURANCE & FINANCIAL SERVICES, INC. | | | 97,885 | | | 88,662 | | | | |
| | 2,672 | | INTACT FINANCIAL CORP. | | | 170,651 | | | 171,246 | | | | |
| | 4,880 | | INTER PIPELINE LTD. | | | 142,496 | | | 78,330 | | | | |
| | 1,400 | | KEYERA CORP. | | | 51,327 | | | 40,734 | | | | |
| | 7,600 | | LAURENTIAN BANK OF CANADA | | | 295,598 | | | 265,289 | | | | |
| | 3,199 | | LOBLAW COS. LTD. | | | 121,245 | | | 151,061 | | | | |
| | 9,476 | | MAGNA INTERNATIONAL, INC. | | | 61,549 | | | 384,327 | | | | |
| | 33,308 | | MANULIFE FINANCIAL CORP. | | | 427,899 | | | 499,247 | | | | |
| | 5,870 | | MEG ENERGY CORP.(b) | | | 52,555 | | | 34,023 | | | | |
| | 1,369 | | METHANEX CORP. | | | 12,561 | | | 45,214 | | | | |
| | 3,000 | | METRO, INC. | | | 54,328 | | | 83,992 | | | | |
| | 59,476 | | MTY FOOD GROUP, INC. | | | 1,691,059 | | | 1,393,949 | | | | |
| | 43,600 | | MULLEN GROUP LTD. | | | 795,325 | | | 441,451 | | | | |
| | 6,295 | | NATIONAL BANK OF CANADA | | | 247,929 | | | 183,386 | | | | |
| | 2,600 | | ONEX CORP. | | | 105,376 | | | 159,378 | | | | |
| | 3,282 | | OPEN TEXT CORP. | | | 72,477 | | | 157,352 | | | | |
| | 4,328 | | PAN AMERICAN SILVER CORP. | | | 53,923 | | | 28,182 | | | | |
| | 4,772 | | PEMBINA PIPELINE CORP. | | | 40,530 | | | 103,979 | | | | |
| | 2,500 | | PEYTO EXPLORATION & DEVELOPMENT CORP. | | | 95,328 | | | 44,934 | | | | |
| | 14,172 | | POTASH CORP. OF SASKATCHEWAN, INC. | | | 386,602 | | | 242,738 | | | | |
| | 4,200 | | POWER CORP. OF CANADA | | | 105,623 | | | 87,843 | | | | |
| | 1,672 | | POWER FINANCIAL CORP. | | | 52,980 | | | 38,438 | | | | |
| | 1,800 | | PRAIRIESKY ROYALTY LTD. | | | 46,528 | | | 28,515 | | | | |
| | 53,900 | | PRECISION DRILLING CORP. | | | 324,622 | | | 213,076 | | | | |
| | 3,681 | | RESTAURANT BRANDS INTERNATIONAL, INC. | | | 137,022 | | | 137,668 | | | | |
| | 2,546 | | RIOCAN REAL ESTATE INVESTMENT TRUST | | | 63,634 | | | 43,589 | | | | |
| | 2,701 | | RITCHIE BROS. AUCTIONEERS, INC. | | | 50,064 | | | 65,080 | | | | |
| | 9,354 | | ROGERS COMMUNICATIONS, INC., CLASS B | | | 221,766 | | | 322,594 | | | | |
| | 26,561 | | ROYAL BANK OF CANADA | | | 896,686 | | | 1,423,356 | | | | |
| | 4,800 | | SAPUTO, INC. | | | 103,951 | | | 114,823 | | | | |
| | 4,800 | | SEVEN GENERATIONS ENERGY LTD., CLASS A(b) | | | 46,370 | | | 46,762 | | | | |
| | 9,661 | | SHAW COMMUNICATIONS, INC., CLASS B | | | 153,543 | | | 166,172 | | | | |
| | 10,859 | | SILVER WHEATON CORP. | | | 214,195 | | | 134,982 | | | | |
| | 2,700 | | SNC-LAVALIN GROUP, INC. | | | 100,003 | | | 80,237 | | | | |
| | 11,810 | | SUN LIFE FINANCIAL, INC. | | | 235,812 | | | 368,289 | | | | |
| | 25,653 | | SUNCOR ENERGY, INC. | | | 606,141 | | | 662,228 | | | | |
| | 15,757 | | TELUS CORP. | | | 442,454 | | | 435,689 | | | | |
| | 34,125 | | TORONTO-DOMINION BANK (THE) | | | 715,090 | | | 1,337,674 | | | | |
| | 2,738 | | TOURMALINE OIL CORP.(b) | | | 103,345 | | | 44,225 | | | | |
| | 12,264 | | TRANSCANADA CORP. | | | 528,913 | | | 400,528 | | | | |
| | 15,331 | | TURQUOISE HILL RESOURCES LTD.(b) | | | 53,846 | | | 38,890 | | | | |
| | 4,727 | | VALEANT PHARMACEUTICALS INTERNATIONAL, INC.(b) | | | 394,088 | | | 480,181 | | | | |
See accompanying notes to the financial statements. | 72 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Canada (Cont’d): | | | | | | | | | | |
| | 2,256 | | VERMILION ENERGY, INC. | | $ | 83,841 | | | 61,320 | | | | |
| | 1,004 | | WEST FRASER TIMBER CO. LTD. | | | 54,124 | | | 38,115 | | | | |
| | 25,967 | | YAMANA GOLD, INC. | | | 47,350 | | | 48,229 | | | | |
| | | | | | | 26,235,566 | | | 26,964,704 | | | 5.49 | % |
| | Chile: | | | | | | | | | | |
| | 13,951 | | ANTOFAGASTA PLC | | | 126,538 | | | 96,519 | | | | |
| | | | | | | 126,538 | | | 96,519 | | | 0.02 | % |
| | China: | | | | | | | | | | |
| | 103,500 | | AAC TECHNOLOGIES HOLDINGS, INC. | | | 357,673 | | | 675,083 | | | | |
| | 10,659 | | BAIDU, INC. ADR(b)(d) | | | 1,188,707 | | | 2,014,978 | | | | |
| | 1,668,360 | | CHINA MEDICAL SYSTEM HOLDINGS LTD. | | | 1,396,045 | | | 2,458,393 | | | | |
| | 886,500 | | CHINA ZHENGTONG AUTO SERVICES HOLDINGS LTD. | | | 505,928 | | | 408,359 | | | | |
| | 47,410 | | CTRIP.COM INTERNATIONAL LTD. ADR(b)(d) | | | 2,300,915 | | | 2,196,505 | | | | |
| | 388,000 | | GOLDPAC GROUP LTD. | | | 327,086 | | | 169,718 | | | | |
| | 1,558,000 | | KINGDEE INTERNATIONAL SOFTWARE GROUP CO. LTD. | | | 298,674 | | | 715,670 | | | | |
| | 27,507 | | NEW ORIENTAL EDUCATION & TECHNOLOGY GROUP, INC. ADR(d) | | | 640,423 | | | 862,895 | | | | |
| | 116,600 | | TENCENT HOLDINGS LTD. | | | 793,696 | | | 2,294,372 | | | | |
| | 1,659,532 | | XTEP INTERNATIONAL HOLDINGS LTD. | | | 698,588 | | | 884,364 | | | | |
| | | | | | | 8,507,735 | | | 12,680,337 | | | 2.58 | % |
| | Denmark: | | | | | | | | | | |
| | 46 | | AP MOELLER - MAERSK A/S, CLASS A | | | 42,695 | | | 59,449 | | | | |
| | 120 | | AP MOELLER - MAERSK A/S, CLASS B | | | 125,436 | | | 156,832 | | | | |
| | 17,054 | | CARLSBERG A/S, CLASS B | | | 1,387,489 | | | 1,521,082 | | | | |
| | 38,335 | | CHR HANSEN HOLDING A/S | | | 1,483,248 | | | 2,409,893 | | | | |
| | 30,458 | | COLOPLAST A/S, CLASS B | | | 2,044,287 | | | 2,470,455 | | | | |
| | 13,100 | | DANSKE BANK A/S | | | 138,182 | | | 353,291 | | | | |
| | 1,592 | | DSV A/S | | | 48,904 | | | 62,987 | | | | |
| | 200 | | FLSMIDTH & CO. A/S | | | 6,013 | | | 6,990 | | | | |
| | 48,710 | | ISS A/S | | | 1,465,283 | | | 1,764,063 | | | | |
| | 50,955 | | NOVO NORDISK A/S ADR(d) | | | 1,724,237 | | | 2,959,466 | | | | |
| | 36,359 | | NOVO NORDISK A/S, CLASS B | | | 744,322 | | | 2,117,306 | | | | |
| | 48,197 | | NOVOZYMES A/S, CLASS B | | | 1,342,505 | | | 2,320,295 | | | | |
| | 2,600 | | PANDORA A/S | | | 18,150 | | | 330,149 | | | | |
| | 15,973 | | TDC A/S | | | 107,272 | | | 79,991 | | | | |
| | 3,250 | | TOPDANMARK A/S(b) | | | 33,362 | | | 92,760 | | | | |
| | 3,792 | | VESTAS WIND SYSTEMS A/S | | | 181,135 | | | 267,150 | | | | |
| | 538 | | WILLIAM DEMANT HOLDING A/S(b) | | | 50,896 | | | 51,472 | | | | |
| | | | | | | 10,943,416 | | | 17,023,631 | | | 3.47 | % |
| | Finland: | | | | | | | | | | |
| | 41,240 | | AMER SPORTS OYJ | | | 525,063 | | | 1,208,730 | | | | |
| | 6,013 | | FORTUM OYJ | | | 117,943 | | | 90,962 | | | | |
| | 33,370 | | HUHTAMAKI OYJ | | | 550,335 | | | 1,214,872 | | | | |
| | 1,396 | | KESKO OYJ, CLASS B | | | 30,705 | | | 49,109 | | | | |
| | 5,600 | | KONE OYJ, CLASS B | | | 116,154 | | | 238,381 | | | | |
| | 1,849 | | METSO OYJ | | | 47,784 | | | 41,595 | | | | |
| | 7,075 | | NESTE OYJ | | | 67,704 | | | 212,440 | | | | |
| | 66,103 | | NOKIA OYJ | | | 233,836 | | | 473,768 | | | | |
| | 2,240 | | NOKIAN RENKAAT OYJ | | | 31,307 | | | 80,576 | | | | |
| | 1,960 | | ORION OYJ, CLASS B | | | 49,561 | | | 68,097 | | | | |
| | 5,906 | | SAMPO OYJ, CLASS A | | | 269,424 | | | 301,662 | | | | |
| | 15,829 | | STORA ENSO OYJ, CLASS R | | | 75,698 | | | 144,326 | | | | |
| | 11,934 | | UPM-KYMMENE OYJ | | | 99,929 | | | 223,461 | | | | |
| | 1,849 | | VALMET OYJ | | | 14,443 | | | 17,884 | | | | |
| | 3,486 | | WARTSILA OYJ ABP | | | 107,429 | | | 159,681 | | | | |
| | | | | | | 2,337,315 | | | 4,525,544 | | | 0.92 | % |
| | France: | | | | | | | | | | |
| | 2,714 | | ACCOR S.A. | | | 79,810 | | | 117,992 | | | | |
| | 3,200 | | AIR FRANCE-KLM(b) | | | 22,485 | | | 24,413 | | | | |
| | 6,203 | | AIR LIQUIDE S.A. | | | 694,071 | | | 698,716 | | | | |
| | 10,484 | | AIRBUS GROUP S.E. | | | 351,610 | | | 706,396 | | | | |
| | 48,948 | | ALCATEL-LUCENT(b) | | | 195,204 | | | 194,159 | | | | |
| | 3,171 | | ALSTOM S.A.(b) | | | 111,651 | | | 97,059 | | | | |
| | 28,898 | | ARCELORMITTAL | | | 125,161 | | | 122,385 | | | | |
| | 1,616 | | ARKEMA S.A. | | | 127,629 | | | 113,432 | | | | |
| | 1,580 | | ATOS S.E. | | | 118,377 | | | 132,987 | | | | |
See accompanying notes to the financial statements. | 73 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | France (Cont’d): | | | | | | | | | | |
| | 35,199 | | AXA S.A. | | $ | 526,959 | | | 965,111 | | | | |
| | 26,840 | | BENETEAU S.A. | | | 272,439 | | | 376,564 | | | | |
| | 19,321 | | BNP PARIBAS S.A. | | | 865,266 | | | 1,096,678 | | | | |
| | 2,863 | | BOUYGUES S.A. | | | 109,876 | | | 113,705 | | | | |
| | 3,220 | | BUREAU VERITAS S.A. | | | 82,066 | | | 64,353 | | | | |
| | 3,068 | | CAP GEMINI S.A. | | | 111,959 | | | 285,403 | | | | |
| | 10,544 | | CARREFOUR S.A. | | | 248,258 | | | 305,374 | | | | |
| | 1,387 | | CASINO GUICHARD PERRACHON S.A. | | | 94,890 | | | 63,933 | | | | |
| | 994 | | CHRISTIAN DIOR S.E. | | | 70,757 | | | 169,326 | | | | |
| | 8,849 | | CIE DE SAINT-GOBAIN | | | 313,478 | | | 383,224 | | | | |
| | 3,404 | | CIE GENERALE DES ETABLISSEMENTS MICHELIN | | | 180,725 | | | 325,168 | | | | |
| | 18,530 | | CREDIT AGRICOLE S.A. | | | 153,011 | | | 219,096 | | | | |
| | 10,014 | | DANONE S.A. | | | 509,812 | | | 677,777 | | | | |
| | 2,340 | | DASSAULT SYSTEMES S.A. | | | 163,379 | | | 187,597 | | | | |
| | 3,633 | | EDENRED | | | 65,572 | | | 68,895 | | | | |
| | 8,317 | | ELECTRICITE DE FRANCE S.A. | | | 153,984 | | | 122,698 | | | | |
| | 24,206 | | ENGIE S.A. | | | 501,772 | | | 429,443 | | | | |
| | 3,332 | | ESSILOR INTERNATIONAL S.A. | | | 339,445 | | | 416,602 | | | | |
| | 2,425 | | EURAZEO S.A. | | | 77,940 | | | 167,346 | | | | |
| | 3,160 | | EUTELSAT COMMUNICATIONS S.A. | | | 100,179 | | | 94,782 | | | | |
| | 543 | | FONCIERE DES REGIONS | | | 49,242 | | | 48,684 | | | | |
| | 564 | | GECINA S.A. | | | 51,331 | | | 68,709 | | | | |
| | 13,307 | | GROUPE EUROTUNNEL S.E. (REGISTERED) | | | 102,800 | | | 165,727 | | | | |
| | 355 | | HERMES INTERNATIONAL | | | 122,518 | | | 120,272 | | | | |
| | 429 | | ILIAD S.A. | | | 59,695 | | | 102,568 | | | | |
| | 883 | | INGENICO GROUP S.A. | | | 105,253 | | | 111,793 | | | | |
| | 2,121 | | JCDECAUX S.A. | | | 50,974 | | | 81,366 | | | | |
| | 1,442 | | KERING | | | 274,344 | | | 247,522 | | | | |
| | 3,582 | | KLEPIERRE | | | 101,009 | | | 159,563 | | | | |
| | 4,882 | | LEGRAND S.A. | | | 111,114 | | | 276,948 | | | | |
| | 4,633 | | L’OREAL S.A. | | | 385,425 | | | 781,922 | | | | |
| | 15,488 | | LVMH MOET HENNESSY LOUIS VUITTON S.E. | | | 2,217,232 | | | 2,438,897 | | | | |
| | 21,116 | | NATIXIS S.A. | | | 78,841 | | | 119,719 | | | | |
| | 34,547 | | ORANGE S.A. | | | 364,835 | | | 581,368 | | | | |
| | 3,500 | | PERNOD RICARD S.A. | | | 239,500 | | | 400,141 | | | | |
| | 12,969 | | PEUGEOT S.A.(b) | | | 78,174 | | | 228,394 | | | | |
| | 3,471 | | PUBLICIS GROUPE S.A. | | | 251,099 | | | 231,532 | | | | |
| | 4,895 | | RENAULT S.A. | | | 134,511 | | | 492,758 | | | | |
| | 4,929 | | SAFRAN S.A. | | | 274,948 | | | 339,447 | | | | |
| | 18,715 | | SANOFI | | | 1,078,727 | | | 1,598,608 | | | | |
| | 10,522 | | SCHNEIDER ELECTRIC S.E. | | | 454,997 | | | 601,012 | | | | |
| | 278 | | SCHNEIDER ELECTRIC S.E. | | | 8,838 | | | 15,946 | | | | |
| | 1,813 | | SCOR S.E. | | | 36,441 | | | 67,994 | | | | |
| | 5,515 | | SES S.A. | | | 114,220 | | | 153,282 | | | | |
| | 457 | | SOCIETE BIC S.A. | | | 49,235 | | | 75,316 | | | | |
| | 13,326 | | SOCIETE GENERALE S.A. | | | 486,680 | | | 616,500 | | | | |
| | 9,578 | | SOCIETE TELEVISION FRANCAISE 1 | | | 79,414 | | | 106,691 | | | | |
| | 5,360 | | SODEXO S.A. | | | 288,102 | | | 525,064 | | | | |
| | 4,827 | | SUEZ ENVIRONNEMENT CO. | | | 84,075 | | | 90,542 | | | | |
| | 1,214 | | TECHNIP S.A. | | | 65,413 | | | 60,339 | | | | |
| | 1,413 | | THALES S.A. | | | 81,763 | | | 106,108 | | | | |
| | 39,948 | | TOTAL S.A. | | | 2,024,434 | | | 1,791,458 | | | | |
| | 1,808 | | UNIBAIL-RODAMCO S.E. | | | 228,178 | | | 460,560 | | | | |
| | 1,300 | | VALEO S.A. | | | 168,708 | | | 201,391 | | | | |
| | 13,671 | | VEOLIA ENVIRONNEMENT S.A. | | | 145,445 | | | 324,847 | | | | |
| | 8,317 | | VINCI S.A. | | | 347,069 | | | 534,537 | | | | |
| | 48,366 | | VIVENDI S.A. | | | 949,194 | | | 1,043,876 | | | | |
| | 1,345 | | WENDEL S.A. | | �� | 91,561 | | | 160,200 | | | | |
| | 2,435 | | ZODIAC AEROSPACE | | | 82,519 | | | 58,151 | | | | |
| | | | | | | 18,685,623 | | | 24,330,366 | | | 4.95 | % |
| | Germany: | | | | | | | | | | |
| | 3,492 | | ADIDAS A.G. | | | 145,098 | | | 341,202 | | | | |
| | 8,540 | | ALLIANZ S.E. (REGISTERED) | | | 758,733 | | | 1,517,882 | | | | |
| | 16,707 | | BASF S.E. | | | 672,194 | | | 1,284,016 | | | | |
| | 15,110 | | BAYER A.G. (REGISTERED) | | | 823,081 | | | 1,901,528 | | | | |
| | 6,222 | | BAYERISCHE MOTOREN WERKE A.G. | | | 604,270 | | | 660,151 | | | | |
| | 1,591 | | BEIERSDORF A.G. | | | 86,858 | | | 145,514 | | | | |
| | 1,188 | | BRENNTAG A.G. | | | 43,546 | | | 62,332 | | | | |
See accompanying notes to the financial statements. | 74 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Germany (Cont’d): | | | | | | | | | | |
| | 46,684 | | CANCOM S.E. | | $ | 2,063,170 | | | 2,218,591 | | | | |
| | 20,348 | | COMMERZBANK A.G.(b) | | | 248,184 | | | 211,667 | | | | |
| | 1,947 | | CONTINENTAL A.G. | | | 276,669 | | | 475,126 | | | | |
| | 27,770 | | CTS EVENTIM A.G. & CO. KGAA | | | 430,490 | | | 1,108,778 | | | | |
| | 17,639 | | DAIMLER A.G. (REGISTERED) | | | 589,913 | | | 1,487,145 | | | | |
| | 20,827 | | DEUTSCHE BANK A.G. (REGISTERED) | | | 702,443 | | | 509,825 | | | | |
| | 3,028 | | DEUTSCHE BOERSE A.G. | | | 155,699 | | | 267,828 | | | | |
| | 3,261 | | DEUTSCHE LUFTHANSA A.G. (REGISTERED)(b) | | | 35,709 | | | 51,617 | | | | |
| | 17,828 | | DEUTSCHE POST A.G. (REGISTERED) | | | 210,542 | | | 502,867 | | | | |
| | 55,337 | | DEUTSCHE TELEKOM A.G. (REGISTERED) | | | 698,325 | | | 1,003,695 | | | | |
| | 3,463 | | DEUTSCHE WOHNEN A.G. (BEARER) | | | 80,362 | | | 96,400 | | | | |
| | 29,921 | | E.ON S.E. | | | 500,385 | | | 290,406 | | | | |
| | 1,515 | | EVONIK INDUSTRIES A.G. | | | 55,665 | | | 50,405 | | | | |
| | 3,387 | | FRESENIUS MEDICAL CARE A.G. & CO. KGAA | | | 220,619 | | | 286,110 | | | | |
| | 6,867 | | FRESENIUS S.E. & CO. KGAA | | | 150,261 | | | 492,315 | | | | |
| | 2,127 | | GEA GROUP A.G. | | | 78,369 | | | 86,451 | | | | |
| | 15,460 | | GERRESHEIMER A.G. | | | 827,665 | | | 1,212,875 | | | | |
| | 40,600 | | GRAND CITY PROPERTIES S.A. | | | 502,297 | | | 943,771 | | | | |
| | 2,246 | | HANNOVER RUECK S.E. | | | 94,321 | | | 257,875 | | | | |
| | 3,952 | | HEIDELBERGCEMENT A.G. | | | 143,515 | | | 324,776 | | | | |
| | 975 | | HENKEL A.G. & CO. KGAA | | | 80,714 | | | 93,900 | | | | |
| | 2,600 | | HOCHTIEF A.G. | | | 108,936 | | | 242,630 | | | | |
| | 21,437 | | INFINEON TECHNOLOGIES A.G. | | | 117,250 | | | 314,621 | | | | |
| | 33,360 | | JENOPTIK A.G. | | | 480,407 | | | 521,695 | | | | |
| | 2,881 | | K+S A.G. (REGISTERED) | | | 79,970 | | | 73,953 | | | | |
| | 1,658 | | LANXESS A.G. | | | 98,543 | | | 76,902 | | | | |
| | 4,090 | | LEONI A.G. | | | 225,005 | | | 161,991 | | | | |
| | 2,755 | | LINDE A.G. | | | 477,662 | | | 400,896 | | | | |
| | 723 | | MAN S.E. | | | 80,199 | | | 72,836 | | | | |
| | 2,050 | | MERCK KGAA | | | 86,079 | | | 199,547 | | | | |
| | 2,538 | | METRO A.G. | | | 78,426 | | | 81,532 | | | | |
| | 3,549 | | MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT A.G. IN MUENCHEN (REGISTERED) | | | 444,935 | | | 711,786 | | | | |
| | 2,502 | | OSRAM LICHT A.G. | | | 92,424 | | | 105,472 | | | | |
| | 2,854 | | PROSIEBENSAT.1 MEDIA S.E. | | | 84,251 | | | 145,046 | | | | |
| | 2,620 | | RATIONAL A.G. | | | 657,685 | | | 1,195,575 | | | | |
| | 1,130 | | SALZGITTER A.G. | | | 50,070 | | | 27,907 | | | | |
| | 18,124 | | SAP S.E. | | | 760,217 | | | 1,445,311 | | | | |
| | 14,594 | | SIEMENS A.G. (REGISTERED) | | | 934,614 | | | 1,425,500 | | | | |
| | 8,250 | | STABILUS S.A.(b) | | | 338,171 | | | 345,672 | | | | |
| | 2,085 | | SYMRISE A.G. | | | 133,207 | | | 138,966 | | | | |
| | 8,784 | | TELEFONICA DEUTSCHLAND HOLDING A.G. | | | 48,334 | | | 46,690 | | | | |
| | 8,827 | | THYSSENKRUPP A.G. | | | 181,566 | | | 175,931 | | | | |
| | 7,837 | | TUI A.G. | | | 138,846 | | | 139,911 | | | | |
| | 7,071 | | TUI A.G. | | | 57,698 | | | 128,983 | | | | |
| | 1,929 | | UNITED INTERNET A.G. (REGISTERED) | | | 87,227 | | | 106,725 | | | | |
| | 404 | | VOLKSWAGEN A.G. | | | 40,235 | | | 62,476 | | | | |
| | 1,539 | | VONOVIA S.E. | | | 50,768 | | | 47,750 | | | | |
| | | | | | | 17,211,822 | | | 26,281,352 | | | 5.35 | % |
| | Greece: | | | | | | | | | | |
| | 6,746 | | HELLENIC TELECOMMUNICATIONS ORGANIZATION S.A. | | | 54,075 | | | 67,740 | | | | |
| | | | | | | 54,075 | | | 67,740 | | | 0.01 | % |
| | Hong Kong: | | | | | | | | | | |
| | 220,400 | | AIA GROUP LTD. | | | 733,244 | | | 1,325,235 | | | | |
| | 16,600 | | BANK OF EAST ASIA (THE) LTD. | | | 71,196 | | | 61,795 | | | | |
| | 82,500 | | BOC HONG KONG HOLDINGS LTD. | | | 169,112 | | | 252,289 | | | | |
| | 10,000 | | CHEUNG KONG INFRASTRUCTURE HOLDINGS LTD. | | | 46,496 | | | 92,645 | | | | |
| | 56,044 | | CHEUNG KONG PROPERTY HOLDINGS LTD. | | | 165,366 | | | 364,464 | | | | |
| | 56,044 | | CK HUTCHISON HOLDINGS LTD. | | | 349,706 | | | 756,408 | | | | |
| | 36,500 | | CLP HOLDINGS LTD. | | | 253,113 | | | 310,130 | | | | |
| | 27,800 | | ESPRIT HOLDINGS LTD. | | | 35,637 | | | 30,705 | | | | |
| | 1,882,000 | | EVA PRECISION INDUSTRIAL HOLDINGS LTD. | | | 523,540 | | | 335,115 | | | | |
| | 53,000 | | GALAXY ENTERTAINMENT GROUP LTD. | | | 163,269 | | | 167,205 | | | | |
| | 84,000 | | GLOBAL BRANDS GROUP HOLDING LTD.(b) | | | 14,387 | | | 15,933 | | | | |
| | 30,000 | | HANG LUNG PROPERTIES LTD. | | | 64,007 | | | 68,283 | | | | |
| | 18,600 | | HANG SENG BANK LTD. | | | 228,767 | | | 353,998 | | | | |
See accompanying notes to the financial statements. | 75 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Hong Kong (Cont’d): | | | | | | | | | | |
| | 21,303 | | HENDERSON LAND DEVELOPMENT CO. LTD. | | $ | 73,321 | | | 130,566 | | | | |
| | 100,430 | | HONG KONG & CHINA GAS CO. LTD. | | | 203,143 | | | 196,971 | | | | |
| | 16,800 | | HONG KONG EXCHANGES AND CLEARING LTD. | | | 320,867 | | | 430,294 | | | | |
| | 400 | | HOPEWELL HIGHWAY INFRASTRUCTURE LTD. | | | 229 | | | 193 | | | | |
| | 12,000 | | HYSAN DEVELOPMENT CO. LTD. | | | 49,052 | | | 49,161 | | | | |
| | 27,000 | | KERRY PROPERTIES LTD. | | | 90,767 | | | 73,683 | | | | |
| | 84,000 | | LI & FUNG LTD. | | | 86,666 | | | 57,120 | | | | |
| | 40,500 | | LINK REIT | | | 84,195 | | | 242,476 | | | | |
| | 171,000 | | LUK FOOK HOLDINGS INTERNATIONAL LTD. | | | 565,640 | | | 362,738 | | | | |
| | 26,800 | | MGM CHINA HOLDINGS LTD. | | | 51,645 | | | 33,543 | | | | |
| | 30,500 | | MTR CORP. LTD. | | | 88,703 | | | 151,122 | | | | |
| | 54,000 | | NEW WORLD DEVELOPMENT CO. LTD. | | | 59,134 | | | 53,373 | | | | |
| | 43,500 | | NWS HOLDINGS LTD. | | | 52,824 | | | 65,109 | | | | |
| | 2,092,210 | | PAX GLOBAL TECHNOLOGY LTD. | | | 1,180,535 | | | 2,156,987 | | | | |
| | 190,000 | | PCCW LTD. | | | 77,804 | | | 111,548 | | | | |
| | 4,678,603 | | PICO FAR EAST HOLDINGS LTD. | | | 1,199,566 | | | 1,267,742 | | | | |
| | 24,000 | | POWER ASSETS HOLDINGS LTD. | | | 139,091 | | | 220,799 | | | | |
| | 27,683,380 | | REXLOT HOLDINGS LTD.(e) | | | 2,646,928 | | | - | | | | |
| | 48,000 | | SANDS CHINA LTD. | | | 128,061 | | | 164,438 | | | | |
| | 22,000 | | SHANGRI-LA ASIA LTD. | | | 29,501 | | | 21,489 | | | | |
| | 59,400 | | SINO LAND CO. LTD. | | | 80,601 | | | 87,068 | | | | |
| | 566,000 | | SITOY GROUP HOLDINGS LTD. | | | 361,652 | | | 236,623 | | | | |
| | 256,000 | | STELLA INTERNATIONAL HOLDINGS LTD. | | | 679,964 | | | 637,519 | | | | |
| | 27,000 | | SUN HUNG KAI PROPERTIES LTD. | | | 327,389 | | | 326,088 | | | | |
| | 19,000 | | SWIRE PACIFIC LTD., CLASS A | | | 127,857 | | | 213,779 | | | | |
| | 17,800 | | SWIRE PROPERTIES LTD. | | | 50,632 | | | 51,447 | | | | |
| | 320,500 | | TECHTRONIC INDUSTRIES CO. LTD. | | | 604,369 | | | 1,306,804 | | | | |
| | 3,000 | | TELEVISION BROADCASTS LTD. | | | 9,222 | | | 12,368 | | | | |
| | 665,000 | | VALUE PARTNERS GROUP LTD. | | | 409,258 | | | 777,401 | | | | |
| | 88,000 | | VTECH HOLDINGS LTD. | | | 1,043,083 | | | 912,355 | | | | |
| | 22,000 | | WHARF HOLDINGS (THE) LTD. | | | 170,501 | | | 122,064 | | | | |
| | 19,000 | | WHEELOCK & CO. LTD. | | | 30,489 | | | 80,045 | | | | |
| | 30,000 | | WYNN MACAU LTD. | | | 50,423 | | | 35,071 | | | | |
| | 582,000 | | YINGDE GASES GROUP CO. LTD. | | | 583,171 | | | 268,845 | | | | |
| | 15,000 | | YUE YUEN INDUSTRIAL HOLDINGS LTD. | | | 30,233 | | | 51,000 | | | | |
| | | | | | | 14,504,356 | | | 15,042,034 | | | 3.06 | % |
| | India: | | | | | | | | | | |
| | 21,315 | | HDFC BANK LTD. ADR(d) | | | 1,215,975 | | | 1,313,004 | | | | |
| | | | | | | 1,215,975 | | | 1,313,004 | | | 0.27 | % |
| | Ireland: | | | | | | | | | | |
| | 7,035 | | ACCENTURE PLC, CLASS A | | | 262,681 | | | 735,158 | | | | |
| | 329,197 | | BANK OF IRELAND(b) | | | 119,783 | | | 120,921 | | | | |
| | 14,894 | | CRH PLC | | | 217,633 | | | 432,168 | | | | |
| | 126,313 | | EXPERIAN PLC | | | 2,109,034 | | | 2,236,390 | | | | |
| | 29,240 | | ICON PLC(b) | | | 1,948,070 | | | 2,271,948 | | | | |
| | 11,673 | | JAMES HARDIE INDUSTRIES PLC - CDI | | | 105,225 | | | 148,602 | | | | |
| | 2,523 | | KERRY GROUP PLC, CLASS A | | | 164,481 | | | 209,232 | | | | |
| | 25,297 | | MEDTRONIC PLC | | | 1,892,573 | | | 1,945,845 | | | | |
| | 12,075 | | PERRIGO CO. PLC | | | 1,894,443 | | | 1,747,252 | | | | |
| | 9,299 | | SHIRE PLC | | | 267,371 | | | 644,029 | | | | |
| | | | | | | 8,981,294 | | | 10,491,545 | | | 2.14 | % |
| | Israel: | | | | | | | | | | |
| | 1,266 | | AZRIELI GROUP LTD. | | | 53,830 | | | 47,178 | | | | |
| | 21,030 | | BANK HAPOALIM B.M. | | | 80,002 | | | 108,636 | | | | |
| | 21,775 | | BANK LEUMI LE-ISRAEL B.M.(b) | | | 77,241 | | | 75,549 | | | | |
| | 45,600 | | CAESARSTONE SDOT-YAM LTD.(b) | | | 2,212,955 | | | 1,976,304 | | | | |
| | 217 | | DELEK GROUP LTD. | | | 52,364 | | | 43,506 | | | | |
| | 293,414 | | MAGIC SOFTWARE ENTERPRISES LTD. | | | 1,907,892 | | | 1,622,579 | | | | |
| | 5,900 | | MIZRAHI TEFAHOT BANK LTD. | | | 51,135 | | | 70,509 | | | | |
| | 1,494 | | NICE-SYSTEMS LTD. | | | 50,675 | | | 86,200 | | | | |
| | 15,507 | | TEVA PHARMACEUTICAL INDUSTRIES LTD. ADR(d) | | | 643,646 | | | 1,017,880 | | | | |
| | | | | | | 5,129,740 | | | 5,048,341 | | | 1.03 | % |
| | Italy: | | | | | | | | | | |
| | 18,467 | | ASSICURAZIONI GENERALI S.P.A. | | | 269,600 | | | 339,568 | | | | |
| | 5,758 | | ATLANTIA S.P.A. | | | 117,756 | | | 153,309 | | | | |
| | 93,475 | | AZIMUT HOLDING S.P.A. | | | 1,279,167 | | | 2,342,526 | | | | |
See accompanying notes to the financial statements. | 76 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Italy (Cont’d): | | | | | | | | | | |
| | 25,272 | | BANCA MEDIOLANUM S.P.A. | | $ | 87,322 | | | 200,764 | | | | |
| | 37,987 | | BANCA MONTE DEI PASCHI DI SIENA S.P.A.(b) | | | 69,129 | | | 50,860 | | | | |
| | 5,291 | | BANCO POPOLARE S.C.(b) | | | 81,793 | | | 73,657 | | | | |
| | 57,599 | | ENEL GREEN POWER S.P.A. | | | 98,098 | | | 117,868 | | | | |
| | 116,304 | | ENEL S.P.A. | | | 453,132 | | | 491,923 | | | | |
| | 49,857 | | ENI S.P.A. | | | 958,264 | | | 747,713 | | | | |
| | 3,610 | | EXOR S.P.A. | | | 90,616 | | | 165,126 | | | | |
| | 10,070 | | FINMECCANICA S.P.A.(b) | | | 50,331 | | | 141,172 | | | | |
| | 38,985 | | INTERPUMP GROUP S.P.A. | | | 591,634 | | | 606,695 | | | | |
| | 221,029 | | INTESA SANPAOLO S.P.A. (RSP) | | | 430,164 | | | 741,748 | | | | |
| | 2,103 | | LUXOTTICA GROUP S.P.A. | | | 88,277 | | | 138,040 | | | | |
| | 17,526 | | MARR S.P.A. | | | 278,345 | | | 363,405 | | | | |
| | 8,839 | | MEDIOBANCA S.P.A. | | | 82,122 | | | 85,347 | | | | |
| | 4,438 | | PRYSMIAN S.P.A. | | | 86,023 | | | 97,714 | | | | |
| | 4,974 | | SAIPEM S.P.A.(b) | | | 50,817 | | | 40,487 | | | | |
| | 57,530 | | SNAM S.P.A. | | | 249,716 | | | 301,975 | | | | |
| | 111,427 | | TELECOM ITALIA S.P.A.(b) | | | 150,893 | | | 142,285 | | | | |
| | 7,080 | | TENARIS S.A. | | | 80,646 | | | 84,174 | | | | |
| | 34,652 | | TERNA RETE ELETTRICA NAZIONALE S.P.A. | | | 130,368 | | | 179,102 | | | | |
| | 69,828 | | UNICREDIT S.P.A. | | | 368,864 | | | 389,673 | | | | |
| | 25,343 | | UNIONE DI BANCHE ITALIANE S.P.A. | | | 103,374 | | | 170,757 | | | | |
| | | | | | | 6,246,451 | | | 8,165,888 | | | 1.66 | % |
| | Japan: | | | | | | | | | | |
| | 1,400 | | ABC-MART, INC. | | | 51,583 | | | 77,457 | | | | |
| | 30,200 | | ADERANS CO. LTD. | | | 398,005 | | | 210,052 | | | | |
| | 14,200 | | AEON CO. LTD. | | | 162,360 | | | 220,688 | | | | |
| | 6,300 | | AEON FINANCIAL SERVICE CO. LTD. | | | 81,451 | | | 142,883 | | | | |
| | 1,210 | | AEON MALL CO. LTD. | | | 23,091 | | | 20,980 | | | | |
| | 2,900 | | AISIN SEIKI CO. LTD. | | | 64,900 | | | 126,428 | | | | |
| | 15,000 | | AJINOMOTO CO., INC. | | | 116,767 | | | 359,354 | | | | |
| | 2,500 | | ALFRESA HOLDINGS CORP. | | | 24,420 | | | 50,023 | | | | |
| | 2,000 | | AMADA HOLDINGS CO. LTD. | | | 10,582 | | | 19,368 | | | | |
| | 21,000 | | ANA HOLDINGS, INC. | | | 52,231 | | | 61,151 | | | | |
| | 18,000 | | AOZORA BANK LTD. | | | 51,121 | | | 63,347 | | | | |
| | 118,902 | | ARCLAND SERVICE CO. LTD. | | | 2,421,669 | | | 2,880,674 | | | | |
| | 36,100 | | ASAHI CO. LTD. | | | 561,894 | | | 386,845 | | | | |
| | 16,000 | | ASAHI GLASS CO. LTD. | | | 97,913 | | | 92,649 | | | | |
| | 5,600 | | ASAHI GROUP HOLDINGS LTD. | | | 85,235 | | | 176,999 | | | | |
| | 31,000 | | ASAHI KASEI CORP. | | | 147,138 | | | 212,238 | | | | |
| | 44,400 | | ASICS CORP. | | | 618,213 | | | 932,365 | | | | |
| | 39,000 | | ASTELLAS PHARMA, INC. | | | 265,750 | | | 561,825 | | | | |
| | 1,500 | | BANDAI NAMCO HOLDINGS, INC. | | | 14,652 | | | 31,998 | | | | |
| | 37,000 | | BANK OF YOKOHAMA (THE) LTD. | | | 164,514 | | | 229,674 | | | | |
| | 13,800 | | BRIDGESTONE CORP. | | | 205,726 | | | 479,231 | | | | |
| | 5,200 | | BROTHER INDUSTRIES LTD. | | | 38,445 | | | 60,655 | | | | |
| | 20,100 | | CANON, INC. | | | 672,638 | | | 614,564 | | | | |
| | 13,600 | | CAPCOM CO. LTD. | | | 224,771 | | | 331,188 | | | | |
| | 3,800 | | CASIO COMPUTER CO. LTD. | | | 51,908 | | | 90,009 | | | | |
| | 2,700 | | CENTRAL JAPAN RAILWAY CO. | | | 229,516 | | | 485,211 | | | | |
| | 15,000 | | CHIBA BANK (THE) LTD. | | | 81,968 | | | 107,825 | | | | |
| | 3,500 | | CHUBU ELECTRIC POWER CO., INC. | | | 46,821 | | | 48,411 | | | | |
| | 4,500 | | CHUGAI PHARMACEUTICAL CO. LTD. | | | 82,278 | | | 158,742 | | | | |
| | 4,000 | | CHUGOKU BANK (THE) LTD. | | | 53,626 | | | 54,045 | | | | |
| | 7,900 | | CITIZEN HOLDINGS CO. LTD. | | | 31,581 | | | 57,445 | | | | |
| | 34,736 | | CREDIT SAISON CO. LTD. | | | 420,524 | | | 693,882 | | | | |
| | 6,000 | | DAI NIPPON PRINTING CO. LTD. | | | 55,038 | | | 60,152 | | | | |
| | 33,400 | | DAIBIRU CORP. | | | 353,886 | | | 278,715 | | | | |
| | 11,000 | | DAIDO STEEL CO. LTD. | | | 45,649 | | | 44,478 | | | | |
| | 17,500 | | DAI-ICHI LIFE INSURANCE (THE) CO. LTD. | | | 222,759 | | | 296,289 | | | | |
| | 9,900 | | DAIICHI SANKYO CO. LTD. | | | 154,612 | | | 206,780 | | | | |
| | 4,500 | | DAIKIN INDUSTRIES LTD. | | | 124,473 | | | 333,246 | | | | |
| | 1,200 | | DAITO TRUST CONSTRUCTION CO. LTD. | | | 117,985 | | | 139,873 | | | | |
| | 10,000 | | DAIWA HOUSE INDUSTRY CO. LTD. | | | 103,706 | | | 291,443 | | | | |
| | 25,000 | | DAIWA SECURITIES GROUP, INC. | | | 96,011 | | | 154,915 | | | | |
| | 8,700 | | DENSO CORP. | | | 211,549 | | | 421,121 | | | | |
| | 3,500 | | DENTSU, INC. | | | 82,003 | | | 194,517 | | | | |
| | 44,200 | | DESCENTE LTD. | | | 256,657 | | | 567,049 | | | | |
| | 1,400 | | DON QUIJOTE HOLDINGS CO. LTD. | | | 51,867 | | | 49,794 | | | | |
See accompanying notes to the financial statements. | 77 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Japan (Cont’d): | | | | | | | | | |
| | 13,000 | | DOWA HOLDINGS CO. LTD. | | $ | 55,385 | | | 94,746 | | | | |
| | 7,000 | | EAST JAPAN RAILWAY CO. | | | 392,789 | | | 666,833 | | | | |
| | 3,400 | | EISAI CO. LTD. | | | 112,861 | | | 228,081 | | | | |
| | 2,400 | | ELECTRIC POWER DEVELOPMENT CO. LTD. | | | 71,894 | | | 86,360 | | | | |
| | 1,800 | | FAMILYMART CO. LTD. | | | 52,590 | | | 84,463 | | | | |
| | 3,400 | | FANUC CORP. | | | 293,324 | | | 596,298 | | | | |
| | 1,100 | | FAST RETAILING CO. LTD. | | | 136,395 | | | 390,233 | | | | |
| | 21,000 | | FUJI ELECTRIC CO. LTD. | | | 51,969 | | | 89,280 | | | | |
| | 10,000 | | FUJI HEAVY INDUSTRIES LTD. | | | 146,485 | | | 418,237 | | | | |
| | 23,100 | | FUJI OIL HOLDINGS, INC. | | | 318,441 | | | 378,994 | | | | |
| | 8,800 | | FUJIFILM HOLDINGS CORP. | | | 165,274 | | | 371,929 | | | | |
| | 44,000 | | FUJITSU LTD. | | | 171,664 | | | 222,169 | | | | |
| | 11,000 | | FUKUOKA FINANCIAL GROUP, INC. | | | 36,036 | | | 55,368 | | | | |
| | 32,000 | | FURUKAWA ELECTRIC CO. LTD. | | | 65,376 | | | 68,422 | | | | |
| | 12,000 | | GS YUASA CORP. | | | 47,814 | | | 45,127 | | | | |
| | 6,000 | | GUNMA BANK (THE) LTD. | | | 31,571 | | | 35,293 | | | | |
| | 3,000 | | HAMAMATSU PHOTONICS K.K.(b) | | | 52,686 | | | 83,240 | | | | |
| | 17,000 | | HANKYU HANSHIN HOLDINGS, INC. | | | 86,484 | | | 111,594 | | | | |
| | 3,000 | | HINO MOTORS LTD. | | | 42,968 | | | 35,168 | | | | |
| | 525 | | HIROSE ELECTRIC CO. LTD. | | | 48,402 | | | 64,470 | | | | |
| | 7,000 | | HIROSHIMA BANK (THE) LTD. | | | 26,154 | | | 40,359 | | | | |
| | 95,000 | | HITACHI LTD. | | | 295,895 | | | 546,549 | | | | |
| | 6,000 | | HITACHI METALS LTD. | | | 45,405 | | | 75,128 | | | | |
| | 9,500 | | HOKKAIDO ELECTRIC POWER CO., INC.(b) | | | 84,575 | | | 98,561 | | | | |
| | 7,300 | | HOKURIKU ELECTRIC POWER CO. | | | 76,486 | | | 109,019 | | | | |
| | 29,700 | | HONDA MOTOR CO. LTD. | | | 811,447 | | | 966,155 | | | | |
| | 6,300 | | HOYA CORP. | | | 145,196 | | | 261,078 | | | | |
| | 3,800 | | IBIDEN CO. LTD. | | | 71,559 | | | 55,105 | | | | |
| | 1,200 | | IDEMITSU KOSAN CO. LTD. | | | 23,804 | | | 19,349 | | | | |
| | 20,000 | | IHI CORP. | | | 52,673 | | | 56,076 | | | | |
| | 15,600 | | INPEX CORP. | | | 192,488 | | | 153,865 | | | | |
| | 9,800 | | ISETAN MITSUKOSHI HOLDINGS LTD. | | | 85,535 | | | 129,313 | | | | |
| | 8,500 | | ISUZU MOTORS LTD. | | | 108,047 | | | 92,924 | | | | |
| | 27,200 | | ITOCHU CORP. | | | 291,860 | | | 326,323 | | | | |
| | 5,000 | | IYO BANK (THE) LTD. | | | 43,448 | | | 49,253 | | | | |
| | 4,000 | | J FRONT RETAILING CO. LTD. | | | 31,099 | | | 58,771 | | | | |
| | 7,000 | | JAPAN EXCHANGE GROUP, INC. | | | 56,090 | | | 111,236 | | | | |
| | 1,500 | | JAPAN PETROLEUM EXPLORATION CO. LTD. | | | 54,111 | | | 40,746 | | | | |
| | 16 | | JAPAN PRIME REALTY INVESTMENT CORP. | | | 56,433 | | | 54,977 | | | | |
| | 131,438 | | JAPAN PROPERTY MANAGEMENT CENTER CO. LTD. | | | 1,729,070 | | | 1,596,568 | | | | |
| | 16 | | JAPAN REAL ESTATE INVESTMENT CORP. | | | 81,469 | | | 78,140 | | | | |
| | 33 | | JAPAN RETAIL FUND INVESTMENT CORP. | | | 60,174 | | | 63,751 | | | | |
| | 16,700 | | JAPAN TOBACCO, INC. | | | 488,876 | | | 621,205 | | | | |
| | 7,200 | | JFE HOLDINGS, INC. | | | 122,618 | | | 115,013 | | | | |
| | 4,000 | | JGC CORP. | | | 53,048 | | | 61,999 | | | | |
| | 12,000 | | JOYO BANK (THE) LTD. | | | 54,056 | | | 57,407 | | | | |
| | 3,100 | | JSR CORP. | | | 39,530 | | | 48,978 | | | | |
| | 5,000 | | JTEKT CORP. | | | 36,670 | | | 83,406 | | | | |
| | 29,200 | | JX HOLDINGS, INC. | | | 150,765 | | | 123,510 | | | | |
| | 13,000 | | KAJIMA CORP. | | | 44,950 | | | 78,306 | | | | |
| | 107,177 | | KAKAKU.COM, INC. | | | 1,649,512 | | | 2,134,712 | | | | |
| | 18,000 | | KANSAI ELECTRIC POWER (THE) CO., INC.(b) | | | 164,557 | | | 218,570 | | | | |
| | 2,000 | | KANSAI PAINT CO. LTD. | | | 10,449 | | | 30,700 | | | | |
| | 10,000 | | KAO CORP. | | | 208,279 | | | 520,404 | | | | |
| | 35,000 | | KAWASAKI HEAVY INDUSTRIES LTD. | | | 71,135 | | | 131,619 | | | | |
| | 42,762 | | KDDI CORP. | | | 535,051 | | | 1,122,104 | | | | |
| | 24,800 | | KEIHIN CORP. | | | 308,810 | | | 441,136 | | | | |
| | 13,000 | | KEIKYU CORP. | | | 95,310 | | | 108,482 | | | | |
| | 5,000 | | KEIO CORP. | | | 28,322 | | | 43,679 | | | | |
| | 5,000 | | KEISEI ELECTRIC RAILWAY CO. LTD. | | | 23,110 | | | 64,479 | | | | |
| | 4,281 | | KEYENCE CORP. | | | 1,775,949 | | | 2,389,197 | | | | |
| | 6,000 | | KIKKOMAN CORP. | | | 52,867 | | | 210,907 | | | | |
| | 35,000 | | KINTETSU GROUP HOLDINGS CO. LTD. | | | 106,062 | | | 143,558 | | | | |
| | 10,000 | | KIRIN HOLDINGS CO. LTD. | | | 103,112 | | | 137,069 | | | | |
| | 14,800 | | KOBAYASHI PHARMACEUTICAL CO. LTD. | | | 793,539 | | | 1,228,870 | | | | |
| | 13,700 | | KOMATSU LTD. | | | 301,828 | | | 227,051 | | | | |
| | 2,300 | | KONAMI CORP. | | | 50,313 | | | 55,263 | | | | |
| | 7,000 | | KONICA MINOLTA, INC. | | | 53,139 | | | 71,168 | | | | |
See accompanying notes to the financial statements. | 78 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Japan (Cont’d): | | | | | | | | | | |
| | 15,900 | | KOSHIDAKA HOLDINGS CO. LTD. | | $ | 337,230 | | | 289,043 | | | | |
| | 21,000 | | KUBOTA CORP. | | | 129,773 | | | 329,864 | | | | |
| | 3,800 | | KURARAY CO. LTD. | | | 51,382 | | | 46,538 | | | | |
| | 4,300 | | KURITA WATER INDUSTRIES LTD. | | | 96,931 | | | 90,905 | | | | |
| | 92,000 | | KYB CO. LTD. | | | 338,205 | | | 281,676 | | | | |
| | 5,400 | | KYOCERA CORP. | | | 198,000 | | | 254,017 | | | | |
| | 5,000 | | KYOWA HAKKO KIRIN CO. LTD. | | | 54,616 | | | 79,662 | | | | |
| | 6,500 | | KYUSHU ELECTRIC POWER CO., INC.(b) | | | 59,661 | | | 71,763 | | | | |
| | 2,800 | | LAWSON, INC. | | | 120,035 | | | 229,460 | | | | |
| | 4,200 | | LIXIL GROUP CORP. | | | 71,097 | | | 94,347 | | | | |
| | 2,400 | | M3, INC. | | | 51,468 | | | 50,358 | | | | |
| | 1,600 | | MAKITA CORP. | | | 82,169 | | | 93,581 | | | | |
| | 24,000 | | MARUBENI CORP. | | | 173,505 | | | 124,817 | | | | |
| | 6,500 | | MARUI GROUP CO. LTD. | | | 32,287 | | | 106,968 | | | | |
| | 11,400 | | MAZDA MOTOR CORP. | | | 95,886 | | | 239,391 | | | | |
| | 2,400 | | MEIJI HOLDINGS CO. LTD. | | | 38,749 | | | 200,674 | | | | |
| | 27,400 | | MEITEC CORP. | | | 609,499 | | | 947,186 | | | | |
| | 4,000 | | MINEBEA CO. LTD. | | | 48,159 | | | 34,910 | | | | |
| | 1,800 | | MIRACA HOLDINGS, INC. | | | 71,311 | | | 80,120 | | | | |
| | 40,000 | | MITSUBISHI CHEMICAL HOLDINGS CORP. | | | 161,621 | | | 257,681 | | | | |
| | 25,200 | | MITSUBISHI CORP. | | | 378,464 | | | 425,189 | | | | |
| | 36,000 | | MITSUBISHI ELECTRIC CORP. | | | 284,130 | | | 384,126 | | | | |
| | 27,000 | | MITSUBISHI ESTATE CO. LTD. | | | 353,310 | | | 566,866 | | | | |
| | 17,000 | | MITSUBISHI GAS CHEMICAL CO., INC. | | | 75,149 | | | 87,974 | | | | |
| | 57,000 | | MITSUBISHI HEAVY INDUSTRIES LTD. | | | 185,317 | | | 252,906 | | | | |
| | 4,000 | | MITSUBISHI LOGISTICS CORP. | | | 45,017 | | | 53,413 | | | | |
| | 18,000 | | MITSUBISHI MATERIALS CORP. | | | 47,129 | | | 57,507 | | | | |
| | 9,400 | | MITSUBISHI MOTORS CORP. | | | 89,862 | | | 80,552 | | | | |
| | 3,800 | | MITSUBISHI TANABE PHARMA CORP. | | | 49,996 | | | 66,266 | | | | |
| | 240,600 | | MITSUBISHI UFJ FINANCIAL GROUP, INC. | | | 1,162,680 | | | 1,515,523 | | | | |
| | 27,000 | | MITSUBISHI UFJ LEASE & FINANCE CO. LTD. | | | 83,878 | | | 141,071 | | | | |
| | 29,600 | | MITSUI & CO. LTD. | | | 306,203 | | | 355,978 | | | | |
| | 37,000 | | MITSUI CHEMICALS, INC. | | | 87,469 | | | 166,846 | | | | |
| | 12,000 | | MITSUI FUDOSAN CO. LTD. | | | 289,621 | | | 305,104 | | | | |
| | 3,000 | | MITSUI MINING & SMELTING CO. LTD. | | | 5,391 | | | 5,641 | | | | |
| | 422,420 | | MIZUHO FINANCIAL GROUP, INC. | | | 741,265 | | | 855,770 | | | | |
| | 8,280 | | MS&AD INSURANCE GROUP HOLDINGS, INC. | | | 177,615 | | | 245,930 | | | | |
| | 3,600 | | MURATA MANUFACTURING CO. LTD. | | | 162,615 | | | 526,245 | | | | |
| | 123,000 | | NACHI-FUJIKOSHI CORP. | | | 659,604 | | | 571,022 | | | | |
| | 44,000 | | NEC CORP. | | | 128,517 | | | 140,938 | | | | |
| | 5,000 | | NGK INSULATORS LTD. | | | 63,091 | | | 114,564 | | | | |
| | 3,000 | | NGK SPARK PLUG CO. LTD. | | | 28,359 | | | 80,245 | | | | |
| | 6,000 | | NH FOODS LTD. | | | 72,315 | | | 118,707 | | | | |
| | 3,400 | | NIDEC CORP. | | | 96,057 | | | 249,975 | | | | |
| | 50,260 | | NIHON M&A CENTER, INC. | | | 1,994,434 | | | 2,450,381 | | | | |
| | 6,000 | | NIKON CORP. | | | 75,728 | | | 81,118 | | | | |
| | 1,800 | | NINTENDO CO. LTD. | | | 172,120 | | | 250,917 | | | | |
| | 22 | | NIPPON BUILDING FUND, INC. | | | 90,970 | | | 105,612 | | | | |
| | 17,000 | | NIPPON EXPRESS CO. LTD. | | | 60,747 | | | 80,902 | | | | |
| | 2,000 | | NIPPON PAINT HOLDINGS CO. LTD. | | | 44,426 | | | 49,220 | | | | |
| | 12,353 | | NIPPON STEEL & SUMITOMO METAL CORP. | | | 307,230 | | | 248,304 | | | | |
| | 15,200 | | NIPPON TELEGRAPH & TELEPHONE CORP. | | | 342,697 | | | 611,566 | | | | |
| | 17,000 | | NIPPON YUSEN K.K. | | | 49,682 | | | 41,724 | | | | |
| | 17,000 | | NISHI-NIPPON CITY BANK (THE) LTD. | | | 40,901 | | | 45,401 | | | | |
| | 5,000 | | NISSAN CHEMICAL INDUSTRIES LTD. | | | 50,851 | | | 115,188 | | | | |
| | 39,400 | | NISSAN MOTOR CO. LTD. | | | 365,539 | | | 419,421 | | | | |
| | 3,670 | | NISSHIN SEIFUN GROUP, INC. | | | 31,991 | | | 60,670 | | | | |
| | 1,200 | | NISSIN FOODS HOLDINGS CO. LTD. | | | 43,959 | | | 64,196 | | | | |
| | 2,700 | | NITORI HOLDINGS CO. LTD. | | | 87,310 | | | 229,802 | | | | |
| | 3,200 | | NITTO DENKO CORP. | | | 77,639 | | | 237,268 | | | | |
| | 72,300 | | NOMURA HOLDINGS, INC. | | | 256,136 | | | 408,494 | | | | |
| | 2,700 | | NOMURA REAL ESTATE HOLDINGS, INC. | | | 56,230 | | | 50,655 | | | | |
| | 2,970 | | NOMURA RESEARCH INSTITUTE LTD. | | | 43,930 | | | 115,395 | | | | |
| | 17,800 | | NORTH PACIFIC BANK LTD. | | | 49,457 | | | 62,347 | | | | |
| | 7,000 | | NSK LTD. | | | 50,459 | | | 77,224 | | | | |
| | 1,400 | | NTT DATA CORP. | | | 36,520 | | | 68,489 | | | | |
| | 25,400 | | NTT DOCOMO, INC. | | | 392,916 | | | 524,927 | | | | |
| | 6,500 | | NTT URBAN DEVELOPMENT CORP. | | | 52,710 | | | 63,272 | | | | |
See accompanying notes to the financial statements. | 79 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Japan (Cont’d): | | | | | | | | | | |
| | 12,000 | | OBAYASHI CORP. | | $ | 48,665 | | | 111,718 | | | | |
| | 9,000 | | ODAKYU ELECTRIC RAILWAY CO. LTD. | | | 81,886 | | | 98,016 | | | | |
| | 5,100 | | OLYMPUS CORP. | | | 71,174 | | | 203,669 | | | | |
| | 3,400 | | OMRON CORP. | | | 112,198 | | | 114,988 | | | | |
| | 1,000 | | ONO PHARMACEUTICAL CO. LTD. | | | 43,040 | | | 180,457 | | | | |
| | 8,000 | | ONWARD HOLDINGS CO. LTD. | | | 54,094 | | | 49,653 | | | | |
| | 4,800 | | ORIENTAL LAND CO. LTD. | | | 113,097 | | | 293,004 | | | | |
| | 23,000 | | ORIX CORP. | | | 302,054 | | | 328,271 | | | | |
| | 37,000 | | OSAKA GAS CO. LTD. | | | 121,878 | | | 134,954 | | | | |
| | 7,000 | | OTSUKA HOLDINGS CO. LTD. | | | 206,418 | | | 251,416 | | | | |
| | 35,400 | | PANASONIC CORP. | | | 242,835 | | | 365,354 | | | | |
| | 2,600 | | PARK24 CO. LTD. | | | 51,627 | | | 63,359 | | | | |
| | 15,200 | | RAKUTEN, INC. | | | 97,714 | | | 177,425 | | | | |
| | 1,600 | | RECRUIT HOLDINGS CO. LTD. | | | 50,223 | | | 47,390 | | | | |
| | 34,500 | | RESONA HOLDINGS, INC. | | | 158,868 | | | 169,694 | | | | |
| | 13,000 | | RICOH CO. LTD. | | | 126,012 | | | 135,305 | | | | |
| | 1,200 | | RINNAI CORP. | | | 52,047 | | | 107,625 | | | | |
| | 1,500 | | ROHM CO. LTD. | | | 51,836 | | | 77,125 | | | | |
| | 1,100 | | SANKYO CO. LTD. | | | 48,612 | | | 41,412 | | | | |
| | 15,100 | | SANTEN PHARMACEUTICAL CO. LTD. | | | 116,834 | | | 252,012 | | | | |
| | 13,720 | | SBI HOLDINGS, INC. | | | 111,165 | | | 150,789 | | | | |
| | 3,400 | | SECOM CO. LTD. | | | 133,812 | | | 233,088 | | | | |
| | 4,100 | | SEGA SAMMY HOLDINGS, INC. | | | 38,822 | | | 38,716 | | | | |
| | 3,400 | | SEIBU HOLDINGS, INC. | | | 65,652 | | | 70,181 | | | | |
| | 5,200 | | SEIKO EPSON CORP. | | | 85,119 | | | 80,902 | | | | |
| | 13,000 | | SEKISUI CHEMICAL CO. LTD. | | | 66,177 | | | 172,079 | | | | |
| | 8,000 | | SEKISUI HOUSE LTD. | | | 76,913 | | | 136,212 | | | | |
| | 13,100 | | SEVEN & I HOLDINGS CO. LTD. | | | 294,268 | | | 604,892 | | | | |
| | 4,900 | | SHIKOKU ELECTRIC POWER CO., INC. | | | 52,495 | | | 77,457 | | | | |
| | 4,000 | | SHIMADZU CORP. | | | 25,419 | | | 68,056 | | | | |
| | 1,000 | | SHIMAMURA CO. LTD. | | | 61,206 | | | 118,641 | | | | |
| | 1,500 | | SHIMANO, INC. | | | 58,204 | | | 232,872 | | | | |
| | 8,300 | | SHIN-ETSU CHEMICAL CO. LTD. | | | 411,842 | | | 456,933 | | | | |
| | 41,600 | | SHINKO PLANTECH CO. LTD. | | | 342,251 | | | 345,412 | | | | |
| | 25,000 | | SHINSEI BANK LTD. | | | 51,465 | | | 46,591 | | | | |
| | 4,000 | | SHIONOGI & CO. LTD. | | | 67,679 | | | 183,136 | | | | |
| | 5,900 | | SHISEIDO CO. LTD. | | | 88,706 | | | 124,141 | | | | |
| | 7,000 | | SHIZUOKA BANK (THE) LTD. | | | 65,240 | | | 68,838 | | | | |
| | 900 | | SMC CORP. | | | 106,941 | | | 237,888 | | | | |
| | 97,279 | | SMS CO. LTD. | | | 1,300,445 | | | 2,058,160 | | | | |
| | 15,600 | | SOFTBANK GROUP CORP. | | | 276,169 | | | 796,775 | | | | |
| | 5,700 | | SOMPO JAPAN NIPPONKOA HOLDINGS, INC. | | | 114,918 | | | 190,213 | | | | |
| | 18,000 | | SONY CORP. | | | 254,973 | | | 449,569 | | | | |
| | 4,400 | | SONY FINANCIAL HOLDINGS, INC. | | | 56,074 | | | 79,767 | | | | |
| | 19,400 | | SQUARE ENIX HOLDINGS CO. LTD. | | | 241,231 | | | 473,722 | | | | |
| | 54,900 | | STANLEY ELECTRIC CO. LTD. | | | 805,200 | | | 1,220,457 | | | | |
| | 7,000 | | SUMCO CORP. | | | 47,761 | | | 53,813 | | | | |
| | 25,000 | | SUMITOMO CHEMICAL CO. LTD. | | | 74,256 | | | 145,805 | | | | |
| | 18,000 | | SUMITOMO CORP. | | | 164,169 | | | 185,773 | | | | |
| | 13,100 | | SUMITOMO ELECTRIC INDUSTRIES LTD. | | | 127,803 | | | 187,898 | | | | |
| | 12,000 | | SUMITOMO HEAVY INDUSTRIES LTD. | | | 39,379 | | | 54,711 | | | | |
| | 9,000 | | SUMITOMO METAL MINING CO. LTD. | | | 88,484 | | | 110,782 | | | | |
| | 25,500 | | SUMITOMO MITSUI FINANCIAL GROUP, INC. | | | 795,433 | | | 977,187 | | | | |
| | 71,310 | | SUMITOMO MITSUI TRUST HOLDINGS, INC. | | | 214,202 | | | 273,505 | | | | |
| | 6,000 | | SUMITOMO REALTY & DEVELOPMENT CO. LTD. | | | 163,837 | | | 173,468 | | | | |
| | 58,000 | | SUMITOMO RUBBER INDUSTRIES LTD. | | | 689,507 | | | 762,910 | | | | |
| | 2,000 | | SURUGA BANK LTD. | | | 41,830 | | | 41,815 | | | | |
| | 5,800 | | SUZUKI MOTOR CORP. | | | 104,611 | | | 178,688 | | | | |
| | 45,600 | | SYSMEX CORP. | | | 1,048,883 | | | 2,970,573 | | | | |
| | 7,700 | | T&D HOLDINGS, INC. | | | 97,474 | | | 103,077 | | | | |
| | 13,000 | | TAIHEIYO CEMENT CORP. | | | 27,372 | | | 38,288 | | | | |
| | 17,000 | | TAISEI CORP. | | | 55,809 | | | 113,149 | | | | |
| | 600 | | TAISHO PHARMACEUTICAL HOLDINGS CO. LTD. | | | 40,190 | | | 42,830 | | | | |
| | 10,000 | | TAKASHIMAYA CO. LTD. | | | 63,872 | | | 91,019 | | | | |
| | 12,800 | | TAKEDA PHARMACEUTICAL CO. LTD. | | | 505,987 | | | 645,884 | | | | |
| | 1,800 | | TDK CORP. | | | 105,373 | | | 117,110 | | | | |
| | 29,000 | | TEIJIN LTD. | | | 67,529 | | | 100,129 | | | | |
| | 5,200 | | TERUMO CORP. | | | 95,419 | | | 163,534 | | | | |
See accompanying notes to the financial statements. | 80 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Japan (Cont’d): | | | | | | | | | | |
| | 2,000 | | THK CO. LTD. | | $ | 29,290 | | | 37,572 | | | | |
| | 14,000 | | TOBU RAILWAY CO. LTD. | | | 67,422 | | | 69,653 | | | | |
| | 2,200 | | TOHO CO. LTD. | | | 42,502 | | | 61,500 | | | | |
| | 17,000 | | TOHO GAS CO. LTD. | | | 81,221 | | | 111,028 | | | | |
| | 7,200 | | TOHOKU ELECTRIC POWER CO., INC. | | | 56,650 | | | 91,052 | | | | |
| | 13,900 | | TOKAI RIKA CO. LTD. | | | 182,782 | | | 348,093 | | | | |
| | 14,400 | | TOKIO MARINE HOLDINGS, INC. | | | 359,676 | | | 564,523 | | | | |
| | 21,600 | | TOKYO ELECTRIC POWER CO., INC.(b) | | | 102,702 | | | 125,616 | | | | |
| | 24,300 | | TOKYO ELECTRON LTD. | | | 1,273,343 | | | 1,480,299 | | | | |
| | 40,000 | | TOKYO GAS CO. LTD. | | | 151,969 | | | 189,958 | | | | |
| | 25,000 | | TOKYU CORP. | | | 103,448 | | | 199,675 | | | | |
| | 23,000 | | TOKYU FUDOSAN HOLDINGS CORP. | | | 86,617 | | | 145,813 | | | | |
| | 4,000 | | TONENGENERAL SEKIYU K.K. | | | 37,796 | | | 34,011 | | | | |
| | 23,000 | | TORAY INDUSTRIES, INC. | | | 121,780 | | | 216,232 | | | | |
| | 47,000 | | TOSHIBA CORP.(b) | | | 133,933 | | | 97,719 | | | | |
| | 3,000 | | TOTO LTD. | | | 30,029 | | | 106,951 | | | | |
| | 3,000 | | TOYO SUISAN KAISHA LTD. | | | 74,690 | | | 105,578 | | | | |
| | 4,000 | | TOYOTA INDUSTRIES CORP. | | | 101,266 | | | 217,314 | | | | |
| | 50,500 | | TOYOTA MOTOR CORP. | | | 1,843,037 | | | 3,146,088 | | | | |
| | 1,900 | | TOYOTA TSUSHO CORP. | | | 17,167 | | | 45,036 | | | | |
| | 2,500 | | TREND MICRO, INC. | | | 74,501 | | | 102,542 | | | | |
| | 61,000 | | TSUGAMI CORP. | | | 318,601 | | | 267,457 | | | | |
| | 34,800 | | TSUMURA & CO. | | | 799,027 | | | 975,714 | | | | |
| | 19,513 | | TSURUHA HOLDINGS, INC. | | | 715,757 | | | 1,706,241 | | | | |
| | 8,000 | | UBE INDUSTRIES LTD. | | | 13,963 | | | 17,106 | | | | |
| | 68,000 | | UNICHARM CORP. | | | 1,450,912 | | | 1,401,356 | | | | |
| | 17,500 | | UNIPRES CORP. | | | 363,607 | | | 400,682 | | | | |
| | 34 | | UNITED URBAN INVESTMENT CORP. | | | 52,061 | | | 46,391 | | | | |
| | 6,500 | | USHIO, INC. | | | 68,874 | | | 90,744 | | | | |
| | 4,900 | | USS CO. LTD. | | | 56,003 | | | 74,604 | | | | |
| | 4,100 | | WEST JAPAN RAILWAY CO. | | | 134,756 | | | 286,330 | | | | |
| | 23,600 | | YAHOO JAPAN CORP. | | | 62,283 | | | 96,996 | | | | |
| | 1,300 | | YAKULT HONSHA CO. LTD. | | | 22,252 | | | 64,462 | | | | |
| | 16,300 | | YAMADA DENKI CO. LTD. | | | 56,674 | | | 70,926 | | | | |
| | 4,800 | | YAMAHA MOTOR CO. LTD. | | | 48,849 | | | 109,582 | | | | |
| | 6,100 | | YAMATO HOLDINGS CO. LTD. | | | 109,669 | | | 130,734 | | | | |
| | 1,600 | | YAMATO KOGYO CO. LTD. | | | 50,862 | | | 41,266 | | | | |
| | 4,000 | | YAMAZAKI BAKING CO. LTD. | | | 44,679 | | | 91,019 | | | | |
| | 5,000 | | YASKAWA ELECTRIC CORP. | | | 48,019 | | | 69,179 | | | | |
| | | | | | | 58,175,336 | | | 83,276,057 | | | 16.95 | % |
| | Mexico: | | | | | | | | | | |
| | 4,774 | | FRESNILLO PLC | | | 64,304 | | | 49,828 | | | | |
| | 486,919 | | WAL-MART DE MEXICO S.A.B. DE C.V. | | | 1,482,336 | | | 1,228,704 | | | | |
| | | | | | | 1,546,640 | | | 1,278,532 | | | 0.26 | % |
| | Netherlands: | | | | | | | | | | |
| | 35,080 | | AALBERTS INDUSTRIES N.V. | | | 676,899 | | | 1,211,936 | | | | |
| | 26,780 | | ACCELL GROUP | | | 446,234 | | | 613,058 | | | | |
| | 40,266 | | AEGON N.V. | | | 162,569 | | | 228,860 | | | | |
| | 4,340 | | AKZO NOBEL N.V. | | | 184,408 | | | 290,913 | | | | |
| | 3,272 | | ALTICE N.V., CLASS B(b) | | | 61,354 | | | 47,648 | | | | |
| | 35,110 | | ARCADIS N.V. | | | 869,545 | | | 708,362 | | | | |
| | 7,173 | | ASML HOLDING N.V. | | | 106,863 | | | 643,499 | | | | |
| | 19,324 | | CORE LABORATORIES N.V. | | | 2,244,937 | | | 2,101,292 | | | | |
| | 1,461 | | GEMALTO N.V. | | | 110,002 | | | 87,755 | | | | |
| | 1,005 | | HEINEKEN HOLDING N.V. | | | 26,697 | | | 77,545 | | | | |
| | 3,662 | | HEINEKEN N.V. | | | 128,663 | | | 313,479 | | | | |
| | 235,197 | | ING GROEP N.V. - CVA | | | 2,063,151 | | | 3,182,224 | | | | |
| | 15,595 | | KONINKLIJKE AHOLD N.V. | | | 212,766 | | | 330,060 | | | | |
| | 3,037 | | KONINKLIJKE DSM N.V. | | | 116,513 | | | 152,745 | | | | |
| | 51,375 | | KONINKLIJKE KPN N.V. | | | 108,346 | | | 194,965 | | | | |
| | 20,095 | | KONINKLIJKE PHILIPS N.V. | | | 343,642 | | | 514,509 | | | | |
| | 1,765 | | KONINKLIJKE VOPAK N.V. | | | 97,890 | | | 76,092 | | | | |
| | 2,816 | | NN GROUP N.V. | | | 80,872 | | | 99,612 | | | | |
| | 1,143 | | NXP SEMICONDUCTORS N.V.(b) | | | 98,161 | | | 96,298 | | | | |
| | 1,395 | | OCI N.V. | | | 50,711 | | | 34,565 | | | | |
| | 8,430 | | QIAGEN N.V.(b) | | | 119,420 | | | 230,086 | | | | |
See accompanying notes to the financial statements. | 81 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Netherlands (Cont’d): | | | | | | | | | | |
| | 3,238 | | RANDSTAD HOLDING N.V. | | $ | 99,928 | | | 202,442 | | | | |
| | 49,930 | | REFRESCO GERBER N.V.(b)(f) | | | 825,784 | | | 860,586 | | | | |
| | 67,295 | | ROYAL DUTCH SHELL PLC, CLASS A | | | 1,870,398 | | | 1,513,888 | | | | |
| | 45,720 | | ROYAL DUTCH SHELL PLC, CLASS B | | | 1,093,318 | | | 1,039,989 | | | | |
| | 122,967 | | TNT EXPRESS N.V. | | | 828,001 | | | 1,041,012 | | | | |
| | 21,980 | | USG PEOPLE N.V. | | | 170,963 | | | 410,375 | | | | |
| | 6,193 | | WOLTERS KLUWER N.V. | | | 101,075 | | | 208,402 | | | | |
| | | | | | | 13,299,110 | | | 16,512,197 | | | 3.36 | % |
| | New Zealand: | | | | | | | | | | |
| | 16,545 | | AUCKLAND INTERNATIONAL AIRPORT LTD. | | | 50,086 | | | 65,067 | | | | |
| | 12,034 | | FLETCHER BUILDING LTD. | | | 81,961 | | | 60,495 | | | | |
| | 8,264 | | RYMAN HEALTHCARE LTD. | | | 47,891 | | | 48,043 | | | | |
| | 18,050 | | SKYCITY ENTERTAINMENT GROUP LTD. | | | 49,428 | | | 54,690 | | | | |
| | 37,843 | | SPARK NEW ZEALAND LTD. | | | 73,138 | | | 85,413 | | | | |
| | | | | | | 302,504 | | | 313,708 | | | 0.06 | % |
| | Norway: | | | | | | | | | | |
| | 3,760 | | AKASTOR ASA(b) | | | 9,728 | | | 5,097 | | | | |
| | 94,149 | | AKER SOLUTIONS ASA | | | 1,049,998 | | | 322,281 | | | | |
| | 17,219 | | DNB ASA | | | 147,846 | | | 213,592 | | | | |
| | 21,490 | | NORSK HYDRO ASA | | | 82,180 | | | 80,433 | | | | |
| | 99,058 | | ORKLA ASA | | | 675,643 | | | 784,483 | | | | |
| | 15,548 | | STATOIL ASA | | | 274,710 | | | 217,280 | | | | |
| | 11,360 | | TELENOR ASA | | | 229,860 | | | 190,325 | | | | |
| | 72,730 | | TOMRA SYSTEMS ASA | | | 601,319 | | | 784,680 | | | | |
| | 4,000 | | YARA INTERNATIONAL ASA | | | 109,527 | | | 173,030 | | | | |
| | | | | | | 3,180,811 | | | 2,771,201 | | | 0.56 | % |
| | Philippines: | | | | | | | | | | |
| | 386,461 | | METROPOLITAN BANK & TRUST CO. | | | 658,640 | | | 661,144 | | | | |
| | | | | | | 658,640 | | | 661,144 | | | 0.14 | % |
| | Portugal: | | | | | | | | | | |
| | 28,955 | | EDP - ENERGIAS DE PORTUGAL S.A. | | | 81,065 | | | 104,501 | | | | |
| | 10,080 | | GALP ENERGIA SGPS S.A. | | | 157,855 | | | 117,432 | | | | |
| | 7,295 | | JERONIMO MARTINS SGPS S.A. | | | 80,825 | | | 95,095 | | | | |
| | | | | | | 319,745 | | | 317,028 | | | 0.07 | % |
| | Russia: | | | | | | | | | | |
| | 74,000 | | YANDEX N.V., CLASS A(b) | | | 1,667,321 | | | 1,163,280 | | | | |
| | | | | | | 1,667,321 | | | 1,163,280 | | | 0.24 | % |
| | Singapore: | | | | | | | | | | |
| | 31,000 | | ASCENDAS REAL ESTATE INVESTMENT TRUST | | | 51,610 | | | 49,848 | | | | |
| | 39,500 | | CAPITALAND LTD. | | | 75,674 | | | 93,325 | | | | |
| | 36,000 | | CAPITALAND MALL TRUST | | | 34,133 | | | 49,002 | | | | |
| | 11,000 | | CITY DEVELOPMENTS LTD. | | | 71,096 | | | 59,348 | | | | |
| | 32,000 | | COMFORTDELGRO CORP. LTD. | | | 49,631 | | | 68,834 | | | | |
| | 34,000 | | DBS GROUP HOLDINGS LTD. | | | 221,626 | | | 400,212 | | | | |
| | 22,000 | | FRASER AND NEAVE LTD. | | | 7,411 | | | 32,273 | | | | |
| | 44,000 | | FRASERS CENTREPOINT LTD. | | | 52,608 | | | 52,133 | | | | |
| | 113,000 | | GLOBAL LOGISTIC PROPERTIES LTD. | | | 177,046 | | | 171,345 | | | | |
| | 2,000 | | JARDINE CYCLE & CARRIAGE LTD. | | | 60,253 | | | 49,157 | | | | |
| | 21,400 | | KEPPEL CORP. LTD. | | | 54,823 | | | 98,254 | | | | |
| | 7,840 | | KEPPEL REIT | | | 3,232 | | | 5,142 | | | | |
| | 49,100 | | OVERSEA-CHINESE BANKING CORP. LTD. | | | 388,345 | | | 304,732 | | | | |
| | 17,000 | | SEMBCORP INDUSTRIES LTD. | | | 31,827 | | | 36,568 | | | | |
| | 22,000 | | SEMBCORP MARINE LTD. | | | 32,803 | | | 27,153 | | | | |
| | 12,000 | | SINGAPORE AIRLINES LTD. | | | 70,334 | | | 94,788 | | | | |
| | 31,000 | | SINGAPORE EXCHANGE LTD. | | | 139,131 | | | 168,348 | | | | |
| | 26,000 | | SINGAPORE PRESS HOLDINGS LTD. | | | 44,166 | | | 72,248 | | | | |
| | 21,000 | | SINGAPORE TECHNOLOGIES ENGINEERING LTD. | | | 48,624 | | | 44,580 | | | | |
| | 170,000 | | SINGAPORE TELECOMMUNICATIONS LTD. | | | 324,551 | | | 440,017 | | | | |
| | 16,000 | | STARHUB LTD. | | | 54,214 | | | 41,752 | | | | |
| | 24,400 | | UNITED OVERSEAS BANK LTD. | | | 340,013 | | | 337,460 | | | | |
| | 15,000 | | UOL GROUP LTD. | | | 49,917 | | | 66,013 | | | | |
| | | | | | | 2,383,068 | | | 2,762,532 | | | 0.56 | % |
| | South Africa: | | | | | | | | | | |
| | 16,349 | | INVESTEC PLC | | | 104,159 | | | 115,544 | | | | |
See accompanying notes to the financial statements. | 82 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | South Africa (Cont’d): | | | | | | | | | | |
| | 5,748 | | MONDI PLC | | $ | 128,231 | | | 113,039 | | | | |
| | 72,761 | | SHOPRITE HOLDINGS LTD. | | | 1,491,068 | | | 674,021 | | | | |
| | 231,707 | | WOOLWORTHS HOLDINGS LTD. | | | 1,469,762 | | | 1,500,515 | | | | |
| | | | | | | 3,193,220 | | | 2,403,119 | | | 0.49 | % |
| | South Korea: | | | | | | | | | | |
| | 6,492 | | BINGGRAE CO. LTD. | | | 586,045 | | | 379,260 | | | | |
| | 61,397 | | BNK FINANCIAL GROUP, INC. | | | 682,218 | | | 440,888 | | | | |
| | 68,192 | | DGB FINANCIAL GROUP, INC. | | | 792,461 | | | 584,478 | | | | |
| | 22,348 | | HANON SYSTEMS | | | 466,916 | | | 989,179 | | | | |
| | 5,243 | | HYUNDAI MIPO DOCKYARD(b) | | | 581,800 | | | 232,963 | | | | |
| | 18,148 | | KIA MOTORS CORP. | | | 860,470 | | | 814,110 | | | | |
| | 6,353 | | KIWOOM SECURITIES CO. LTD. | | | 349,706 | | | 335,922 | | | | |
| | 8,630 | | KOREA INVESTMENT HOLDINGS CO. LTD. | | | 309,155 | | | 364,689 | | | | |
| | 2,403 | | SAMSUNG ELECTRONICS CO. LTD. | | | 2,930,773 | | | 2,582,218 | | | | |
| | 9,049 | | YOUNGONE HOLDINGS CO. LTD. | | | 515,320 | | | 524,781 | | | | |
| | | | | | | 8,074,864 | | | 7,248,488 | | | 1.48 | % |
| | Spain: | | | | | | | | | | |
| | 7,845 | | ABERTIS INFRAESTRUCTURAS S.A. | | | 102,995 | | | 122,853 | | | | |
| | 1,260 | | ACCIONA S.A. | | | 78,312 | | | 108,285 | | | | |
| | 7,760 | | ACERINOX S.A. | | | 95,129 | | | 79,415 | | | | |
| | 3,979 | | ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS S.A. | | | 137,948 | | | 116,818 | | | | |
| | 759 | | AENA S.A.(b)(f) | | | 68,300 | | | 86,938 | | | | |
| | 8,299 | | AMADEUS IT HOLDING S.A., CLASS A | | | 256,267 | | | 366,935 | | | | |
| | 109,565 | | BANCO BILBAO VIZCAYA ARGENTARIA S.A. | | | 847,930 | | | 802,411 | | | | |
| | 115,773 | | BANCO DE SABADELL S.A. | | | 266,128 | | | 205,710 | | | | |
| | 18,052 | | BANCO POPULAR ESPANOL S.A. | | | 70,106 | | | 59,698 | | | | |
| | 249,945 | | BANCO SANTANDER S.A. | | | 1,738,658 | | | 1,238,079 | | | | |
| | 54,944 | | BANKIA S.A. | | | 89,144 | | | 64,129 | | | | |
| | 5,846 | | BANKINTER S.A. | | | 47,898 | | | 41,575 | | | | |
| | 41,315 | | CAIXABANK S.A. | | | 160,037 | | | 144,306 | | | | |
| | 1,388 | | CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES S.A. | | | 645,501 | | | 385,398 | | | | |
| | 16,470 | | DISTRIBUIDORA INTERNACIONAL DE ALIMENTACION S.A.(b) | | | 93,655 | | | 97,441 | | | | |
| | 6,512 | | ENAGAS S.A. | | | 118,772 | | | 184,000 | | | | |
| | 5,533 | | FERROVIAL S.A. | | | 97,924 | | | 125,401 | | | | |
| | 10,622 | | GAS NATURAL SDG S.A. | | | 164,427 | | | 217,190 | | | | |
| | 2,493 | | GRIFOLS S.A.(b) | | | 82,544 | | | 115,496 | | | | |
| | 86,102 | | IBERDROLA S.A. | | | 477,068 | | | 612,892 | | | | |
| | 48,532 | | INDUSTRIA DE DISENO TEXTIL S.A. | | | 1,301,361 | | | 1,671,399 | | | | |
| | 41,424 | | MAPFRE S.A. | | | 112,854 | | | 104,081 | | | | |
| | 21,390 | | MELIA HOTELS INTERNATIONAL S.A. | | | 142,889 | | | 283,131 | | | | |
| | 2,839 | | RED ELECTRICA CORP. S.A. | | | 121,909 | | | 237,906 | | | | |
| | 19,639 | | REPSOL S.A. | | | 379,635 | | | 215,988 | | | | |
| | 9,363 | | TECNICAS REUNIDAS S.A. | | | 419,375 | | | 354,607 | | | | |
| | 64,918 | | TELEFONICA S.A. | | | 902,009 | | | 722,076 | | | | |
| | 4,021 | | ZARDOYA OTIS S.A. | | | 45,057 | | | 47,107 | | | | |
| | | | | | | 9,063,832 | | | 8,811,265 | | | 1.79 | % |
| | Sweden: | | | | | | | | | | |
| | 2,566 | | ALFA LAVAL AB | | | 49,937 | | | 47,116 | | | | |
| | 22,200 | | ASSA ABLOY AB, CLASS B | | | 89,466 | | | 468,119 | | | | |
| | 11,337 | | ATLAS COPCO AB, CLASS A | | | 121,649 | | | 279,885 | | | | |
| | 6,368 | | ATLAS COPCO AB, CLASS B | | | 78,834 | | | 147,329 | | | | |
| | 4,254 | | BOLIDEN AB | | | 79,334 | | | 72,013 | | | | |
| | 31,182 | | BULTEN AB | | | 262,010 | | | 302,901 | | | | |
| | 34,110 | | DUNI AB | | | 300,088 | | | 571,770 | | | | |
| | 7,501 | | ELECTROLUX AB, CLASS B | | | 95,788 | | | 182,339 | | | | |
| | 7,464 | | ELEKTA AB, CLASS B | | | 78,438 | | | 63,751 | | | | |
| | 3,286 | | GETINGE AB, CLASS B | | | 76,263 | | | 86,613 | | | | |
| | 15,750 | | HENNES & MAURITZ AB, CLASS B | | | 348,166 | | | 563,656 | | | | |
| | 3,700 | | HEXAGON AB, CLASS B | | | 56,830 | | | 137,981 | | | | |
| | 17,500 | | HUSQVARNA AB, CLASS B | | | 64,201 | | | 116,094 | | | | |
| | 8,270 | | INDUSTRIVARDEN AB, CLASS C | | | 85,948 | | | 142,153 | | | | |
| | 3,000 | | INVESTMENT AB KINNEVIK, CLASS B | | | 51,225 | | | 93,112 | | | | |
| | 10,953 | | INVESTOR AB, CLASS B | | | 150,033 | | | 405,607 | | | | |
| | 3,301 | | LUNDIN PETROLEUM AB(b) | | | 46,595 | | | 47,942 | | | | |
| | 43,265 | | NORDEA BANK AB | | | 256,684 | | | 478,191 | | | | |
| | 23,773 | | SANDVIK AB | | | 201,678 | | | 208,541 | | | | |
See accompanying notes to the financial statements. | 83 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Sweden (Cont’d): | | | | | | | | | | |
| | 13,348 | | SECURITAS AB, CLASS B | | $ | 106,689 | | | 205,562 | | | | |
| | 35,236 | | SKANDINAVISKA ENSKILDA BANKEN AB, CLASS A | | | 139,725 | | | 373,170 | | | | |
| | 4,287 | | SKANSKA AB, CLASS B | | | 53,143 | | | 83,694 | | | | |
| | 5,793 | | SKF AB, CLASS B | | | 143,420 | | | 94,154 | | | | |
| | 9,751 | | SVENSKA CELLULOSA AB S.C.A., CLASS B | | | 108,769 | | | 284,740 | | | | |
| | 33,168 | | SVENSKA HANDELSBANKEN AB, CLASS A | | | 235,903 | | | 443,605 | | | | |
| | 7,747 | | SWEDBANK AB, CLASS A | | | 170,866 | | | 171,708 | | | | |
| | 3,023 | | SWEDISH MATCH AB | | | 101,559 | | | 107,506 | | | | |
| | 9,481 | | TELE2 AB, CLASS B | | | 115,918 | | | 95,187 | | | | |
| | 58,718 | | TELEFONAKTIEBOLAGET LM ERICSSON, CLASS B | | | 533,417 | | | 572,472 | | | | |
| | 30,643 | | TELIASONERA AB | | | 153,253 | | | 153,152 | | | | |
| | 51,280 | | THULE GROUP AB (THE)(f) | | | 620,391 | | | 703,156 | | | | |
| | 21,122 | | VOLVO AB, CLASS B | | | 129,486 | | | 197,922 | | | | |
| | | | | | | 5,105,706 | | | 7,901,141 | | | 1.61 | % |
| | Switzerland: | | | | | | | | | | |
| | 152,127 | | ABB LTD. (REGISTERED)(b) | | | 2,837,083 | | | 2,727,837 | | | | |
| | 24,002 | | ACE LTD. | | | 1,934,345 | | | 2,804,634 | | | | |
| | 1,593 | | ACTELION LTD. (REGISTERED)(b) | | | 79,557 | | | 222,028 | | | | |
| | 14,903 | | ADECCO S.A. (REGISTERED)(b) | | | 627,501 | | | 1,025,176 | | | | |
| | 2,059 | | ARYZTA A.G.(b) | | | 50,704 | | | 104,841 | | | | |
| | 484 | | BALOISE HOLDING A.G. (REGISTERED) | | | 26,452 | | | 61,660 | | | | |
| | 88 | | BARRY CALLEBAUT A.G. (REGISTERED)(b) | | | 88,741 | | | 96,382 | | | | |
| | 35 | | CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (PARTICIPATION CERTIFICATE) | | | 50,308 | | | 218,575 | | | | |
| | 3 | | CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (REGISTERED) | | | 75,352 | | | 223,502 | | | | |
| | 9,812 | | CIE FINANCIERE RICHEMONT S.A. (REGISTERED) | | | 675,352 | | | 706,315 | | | | |
| | 2,819 | | COCA-COLA HBC A.G. - CDI(b) | | | 52,202 | | | 60,175 | | | | |
| | 21,353 | | CREDIT SUISSE GROUP A.G. (REGISTERED)(b) | | | 523,086 | | | 462,407 | | | | |
| | 384 | | DUFRY A.G. (REGISTERED)(b) | | | 54,065 | | | 46,006 | | | | |
| | 990 | | GEBERIT A.G. (REGISTERED) | | | 85,632 | | | 336,260 | | | | |
| | 140 | | GIVAUDAN S.A. (REGISTERED)(b) | | | 76,496 | | | 254,812 | | | | |
| | 77,267 | | GLENCORE PLC(b) | | | 165,414 | | | 103,063 | | | | |
| | 4,134 | | JULIUS BAER GROUP LTD.(b) | | | 87,890 | | | 200,839 | | | | |
| | 348 | | KUEHNE + NAGEL INTERNATIONAL A.G. (REGISTERED) | | | 46,581 | | | 47,878 | | | | |
| | 8,679 | | LAFARGEHOLCIM LTD. (REGISTERED)(b) | | | 350,856 | | | 435,857 | | | | |
| | 45,240 | | LOGITECH INTERNATIONAL S.A. (REGISTERED) | | | 392,534 | | | 681,767 | | | | |
| | 897 | | LONZA GROUP A.G. (REGISTERED)(b) | | | 50,452 | | | 146,067 | | | | |
| | 95,294 | | NESTLE S.A. (REGISTERED) | | | 3,982,701 | | | 7,092,819 | | | | |
| | 54,380 | | NOVARTIS A.G. (REGISTERED) | | | 2,485,882 | | | 4,712,644 | | | | |
| | 11,062 | | PANALPINA WELTTRANSPORT HOLDING A.G. (REGISTERED) | | | 908,194 | | | 1,242,487 | | | | |
| | 8,225 | | PARGESA HOLDING S.A. (BEARER) | | | 522,376 | | | 521,453 | | | | |
| | 12,794 | | ROCHE HOLDING A.G. (GENUSSCHEIN) | | | 1,724,081 | | | 3,530,612 | | | | |
| | 1,381 | | SCHINDLER HOLDING A.G. (PARTICIPATION CERTIFICATE) | | | 108,493 | | | 231,638 | | | | |
| | 589 | | SCHINDLER HOLDING A.G. (REGISTERED) | | | 68,597 | | | 99,382 | | | | |
| | 1,059 | | SGS S.A. (REGISTERED) | | | 2,179,960 | | | 2,020,516 | | | | |
| | 77 | | SIKA A.G. (BEARER) | | | 152,753 | | | 278,295 | | | | |
| | 1,300 | | SONOVA HOLDING A.G. (REGISTERED) | | | 84,464 | | | 165,226 | | | | |
| | 14,638 | | STMICROELECTRONICS N.V. | | | 85,296 | | | 98,326 | | | | |
| | 635 | | SULZER A.G. (REGISTERED) | | | 30,609 | | | 59,816 | | | | |
| | 2,945 | | SWATCH GROUP (THE) A.G. (BEARER) | | | 1,421,362 | | | 1,029,691 | | | | |
| | 743 | | SWISS LIFE HOLDING A.G. (REGISTERED)(b) | | | 101,194 | | | 201,254 | | | | |
| | 1,660 | | SWISS PRIME SITE A.G. (REGISTERED)(b) | | | 125,957 | | | 130,102 | | | | |
| | 5,312 | | SWISS RE A.G. | | | 421,041 | | | 520,540 | | | | |
| | 459 | | SWISSCOM A.G. (REGISTERED) | | | 157,641 | | | 230,508 | | | | |
| | 1,651 | | SYNGENTA A.G. (REGISTERED) | | | 431,302 | | | 646,653 | | | | |
| | 26,168 | | TE CONNECTIVITY LTD. | | | 478,373 | | | 1,690,715 | | | | |
| | 9,385 | | TRANSOCEAN LTD. | | | 142,085 | | | 116,186 | | | | |
| | 202,701 | | UBS GROUP A.G. (REGISTERED) | | | 3,647,239 | | | 3,950,403 | | | | |
| | 4,176 | | WOLSELEY PLC | | | 70,461 | | | 227,227 | | | | |
| | 2,271 | | ZURICH INSURANCE GROUP A.G.(b) | | | 370,026 | | | 585,889 | | | | |
| | | | | | | 28,030,690 | | | 40,348,463 | | | 8.21 | % |
| | Taiwan: | | | | | | | | | | |
| | 52,000 | | CASETEK HOLDINGS LTD. | | | 307,756 | | | 212,927 | | | | |
| | 191,556 | | CHICONY ELECTRONICS CO. LTD. | | | 488,329 | | | 421,053 | | | | |
| | 102,000 | | GIANT MANUFACTURING CO. LTD. | | | 540,156 | | | 680,062 | | | | |
See accompanying notes to the financial statements. | 84 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | Taiwan (Cont’d): | | | | | | | | | | |
| | 176,000 | | SIMPLO TECHNOLOGY CO. LTD. | | $ | 932,483 | | | 562,608 | | | | |
| | 151,986 | | TAIWAN SEMICONDUCTOR MANUFACTURING CO. LTD. ADR(d) | | | 2,332,864 | | | 3,457,682 | | | | |
| | 190,000 | | TRIPOD TECHNOLOGY CORP. | | | 428,387 | | | 323,926 | | | | |
| | | | | | | 5,029,975 | | | 5,658,258 | | | 1.15 | % |
| | Thailand: | | | | | | | | | | |
| | 843,000 | | LPN DEVELOPMENT PCL (REGISTERED) | | | 503,454 | | | 374,823 | | | | |
| | 358,100 | | PRUKSA REAL ESTATE PCL (REGISTERED) | | | 244,466 | | | 263,711 | | | | |
| | | | | | | 747,920 | | | 638,534 | | | 0.13 | % |
| | United Arab Emirates: | | | | | | | | | | |
| | 697 | | ORASCOM CONSTRUCTION LTD.(b) | | | 10,246 | | | 4,879 | | | | |
| | | | | | | 10,246 | | | 4,879 | | | 0.00 | % |
| | United Kingdom: | | | | | | | | | | |
| | 25,248 | | 3I GROUP PLC | | | 88,645 | | | 179,254 | | | | |
| | 27,380 | | ABERDEEN ASSET MANAGEMENT PLC | | | 116,610 | | | 116,812 | | | | |
| | 5,080 | | ADMIRAL GROUP PLC | | | 89,059 | | | 124,241 | | | | |
| | 89,272 | | AMEC FOSTER WHEELER PLC | | | 1,131,169 | | | 564,453 | | | | |
| | 9,646 | | AON PLC | | | 900,341 | | | 889,458 | | | | |
| | 24,249 | | ARM HOLDINGS PLC | | | 346,404 | | | 371,420 | | | | |
| | 44,350 | | ARM HOLDINGS PLC ADR(d) | | | 1,435,002 | | | 2,006,394 | | | | |
| | 8,278 | | ASHTEAD GROUP PLC | | | 137,028 | | | 136,556 | | | | |
| | 5,784 | | ASSOCIATED BRITISH FOODS PLC | | | 197,977 | | | 284,965 | | | | |
| | 23,261 | | ASTRAZENECA PLC | | | 829,199 | | | 1,583,061 | | | | |
| | 84,472 | | AVIVA PLC | | | 357,595 | | | 642,568 | | | | |
| | 5,239 | | BABCOCK INTERNATIONAL GROUP PLC | | | 41,807 | | | 78,469 | | | | |
| | 54,121 | | BAE SYSTEMS PLC | | | 290,350 | | | 398,607 | | | | |
| | 13,290 | | BALFOUR BEATTY PLC(b) | | | 50,926 | | | 52,938 | | | | |
| | 310,363 | | BARCLAYS PLC | | | 1,176,480 | | | 1,001,549 | | | | |
| | 12,627 | | BARRATT DEVELOPMENTS PLC | | | 116,503 | | | 116,528 | | | | |
| | 8,550 | | BELLWAY PLC | | | 138,855 | | | 357,461 | | | | |
| | 18,880 | | BERENDSEN PLC | | | 171,348 | | | 300,317 | | | | |
| | 63,030 | | BG GROUP PLC | | | 997,933 | | | 915,250 | | | | |
| | 18,190 | | BOVIS HOMES GROUP PLC | | | 151,966 | | | 272,179 | | | | |
| | 341,153 | | BP PLC | | | 2,289,773 | | | 1,780,364 | | | | |
| | 33,107 | | BRITISH AMERICAN TOBACCO PLC | | | 1,273,712 | | | 1,840,487 | | | | |
| | 14,058 | | BRITISH LAND (THE) CO. PLC | | | 91,960 | | | 162,893 | | | | |
| | 148,609 | | BT GROUP PLC | | | 560,558 | | | 1,033,397 | | | | |
| | 5,069 | | BUNZL PLC | | | 39,524 | | | 140,861 | | | | |
| | 69,758 | | BURBERRY GROUP PLC | | | 1,497,534 | | | 1,228,905 | | | | |
| | 16,980 | | CAPITA PLC | | | 162,367 | | | 302,386 | | | | |
| | 92,189 | | CENTRICA PLC | | | 340,421 | | | 296,409 | | | | |
| | 24,375 | | CNH INDUSTRIAL N.V. | | | 141,398 | | | 167,944 | | | | |
| | 28,496 | | COBHAM PLC | | | 93,701 | | | 118,969 | | | | |
| | 319,481 | | COMPASS GROUP PLC | | | 3,227,989 | | | 5,534,002 | | | | |
| | 2,950 | | CRODA INTERNATIONAL PLC | | | 101,220 | | | 132,293 | | | | |
| | 230,510 | | DEBENHAMS PLC | | | 262,141 | | | 248,917 | | | | |
| | 82,520 | | DEVRO PLC | | | 362,296 | | | 352,788 | | | | |
| | 132,410 | | DFS FURNITURE PLC | | | 611,442 | | | 648,841 | | | | |
| | 73,948 | | DIAGEO PLC | | | 1,014,488 | | | 2,023,848 | | | | |
| | 14,844 | | DIGNITY PLC | | | 263,151 | | | 559,111 | | | | |
| | 198,045 | | DIPLOMA PLC | | | 1,681,918 | | | 2,221,800 | | | | |
| | 29,465 | | DIRECT LINE INSURANCE GROUP PLC | | | 123,934 | | | 177,007 | | | | |
| | 13,691 | | DIXONS CARPHONE PLC | | | 84,128 | | | 100,916 | | | | |
| | 103,100 | | DOMINO’S PIZZA GROUP PLC | | | 1,268,109 | | | 1,598,935 | | | | |
| | 95 | | DRAX GROUP PLC | | | 544 | | | 342 | | | | |
| | 2,272 | | EASYJET PLC | | | 52,680 | | | 58,279 | | | | |
| | 10,222 | | FIAT CHRYSLER AUTOMOBILES N.V. | | | 27,207 | | | 143,006 | | | | |
| | 150,060 | | FOXTONS GROUP PLC | | | 603,460 | | | 415,891 | | | | |
| | 21,685 | | G4S PLC | | | 77,070 | | | 72,088 | | | | |
| | 32,712 | | GKN PLC | | | 101,683 | | | 148,723 | | | | |
| | 89,632 | | GLAXOSMITHKLINE PLC | | | 1,383,058 | | | 1,814,220 | | | | |
| | 61,320 | | GREGGS PLC | | | 473,469 | | | 1,187,829 | | | | |
| | 17,505 | | HAMMERSON PLC | | | 69,535 | | | 154,835 | | | | |
| | 3,142 | | HARGREAVES LANSDOWN PLC | | | 48,173 | | | 69,757 | | | | |
| | 53,690 | | HOMESERVE PLC | | | 186,252 | | | 327,443 | | | | |
| | 365,533 | | HSBC HOLDINGS PLC | | | 2,594,279 | | | 2,889,414 | | | | |
See accompanying notes to the financial statements. | 85 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | United Kingdom (Cont’d): | | | | | | | | | | |
| | 4,108 | | IMI PLC | | $ | 83,264 | | | 52,173 | | | | |
| | 18,792 | | IMPERIAL TOBACCO GROUP PLC | | | 441,174 | | | 993,574 | | | | |
| | 12,262 | | INDIVIOR PLC | | | 11,861 | | | 33,948 | | | | |
| | 11,958 | | INMARSAT PLC | | | 92,794 | | | 200,436 | | | | |
| | 3,085 | | INTERCONTINENTAL HOTELS GROUP PLC | | | 111,384 | | | 120,883 | | | | |
| | 32,745 | | INTERNATIONAL CONSOLIDATED AIRLINES GROUP S.A. | | | 90,834 | | | 294,471 | | | | |
| | 2,722 | | INTERTEK GROUP PLC | | | 108,909 | | | 111,435 | | | | |
| | 6,025 | | INTU PROPERTIES PLC | | | 21,274 | | | 28,183 | | | | |
| | 101,800 | | IOMART GROUP PLC | | | 418,305 | | | 408,200 | | | | |
| | 709,059 | | ITE GROUP PLC | | | 2,404,571 | | | 1,648,952 | | | | |
| | 63,884 | | ITV PLC | | | 179,223 | | | 260,496 | | | | |
| | 29,306 | | J SAINSBURY PLC | | | 141,007 | | | 111,809 | | | | |
| | 3,841 | | JOHNSON MATTHEY PLC | | | 85,088 | | | 150,450 | | | | |
| | 42,914 | | KINGFISHER PLC | | | 109,517 | | | 208,454 | | | | |
| | 133,080 | | LAIRD PLC | | | 465,719 | | | 696,266 | | | | |
| | 15,511 | | LAND SECURITIES GROUP PLC | | | 113,585 | | | 269,137 | | | | |
| | 107,000 | | LEGAL & GENERAL GROUP PLC | | | 325,917 | | | 422,426 | | | | |
| | 13 | | LIBERTY GLOBAL PLC LILAC, CLASS A(b) | | | 658 | | | 538 | | | | |
| | 271 | | LIBERTY GLOBAL PLC, CLASS A(b) | | | 11,774 | | | 11,480 | | | | |
| | 669 | | LIBERTY GLOBAL PLC, SERIES C(b) | | | 27,554 | | | 27,275 | | | | |
| | 8,787 | | LIVANOVA PLC(b) | | | 545,066 | | | 521,684 | | | | |
| | 2,062,879 | | LLOYDS BANKING GROUP PLC | | | 1,725,387 | | | 2,222,129 | | | | |
| | 6,030 | | LONDON STOCK EXCHANGE GROUP PLC | | | 69,795 | | | 243,926 | | | | |
| | 366,990 | | MAN GROUP PLC | | | 511,805 | | | 949,484 | | | | |
| | 25,083 | | MARKS & SPENCER GROUP PLC | | | 101,882 | | | 167,286 | | | | |
| | 9,361 | | MEARS GROUP PLC | | | 43,128 | | | 64,584 | | | | |
| | 13,587 | | MEGGITT PLC | | | 60,745 | | | 75,052 | | | | |
| | 12,476 | | MELROSE INDUSTRIES PLC | | | 52,257 | | | 53,503 | | | | |
| | 7,630 | | MERLIN ENTERTAINMENTS PLC(f) | | | 55,544 | | | 51,235 | | | | |
| | 69,725 | | NATIONAL GRID PLC | | | 738,768 | | | 963,643 | | | | |
| | 3,200 | | NEXT PLC | | | 86,367 | | | 343,901 | | | | |
| | 96,618 | | OLD MUTUAL PLC | | | 133,905 | | | 254,815 | | | | |
| | 33,800 | | OXFORD INSTRUMENTS PLC | | | 528,090 | | | 382,180 | | | | |
| | 17,030 | | PEARSON PLC | | | 231,527 | | | 184,777 | | | | |
| | 4,751 | | PERSIMMON PLC(b) | | | 114,520 | | | 141,970 | | | | |
| | 6,290 | | PETROFAC LTD. | | | 120,064 | | | 73,811 | | | | |
| | 46,502 | | PRUDENTIAL PLC | | | 763,559 | | | 1,049,550 | | | | |
| | 136,746 | | QINETIQ GROUP PLC | | | 251,239 | | | 546,110 | | | | |
| | 2,341 | | RANDGOLD RESOURCES LTD. | | | 150,411 | | | 142,979 | | | | |
| | 40,632 | | RECKITT BENCKISER GROUP PLC | | | 2,929,949 | | | 3,762,300 | | | | |
| | 38,082 | | RELX N.V. | | | 365,855 | | | 643,132 | | | | |
| | 154,215 | | RELX PLC | | | 1,218,452 | | | 2,721,305 | | | | |
| | 10,746 | | REXAM PLC | | | 57,562 | | | 95,763 | | | | |
| | 37,300 | | RIGHTMOVE PLC | | | 1,305,410 | | | 2,268,241 | | | | |
| | 8,035 | | RIO TINTO LTD. | | | 434,730 | | | 261,782 | | | | |
| | 22,134 | | RIO TINTO PLC | | | 953,450 | | | 645,910 | | | | |
| | 7,360 | | ROLLS-ROYCE HOLDINGS PLC(b) | | | 96,551 | | | 62,388 | | | | |
| | 592,719 | | ROYAL BANK OF SCOTLAND GROUP PLC(b) | | | 3,273,178 | | | 2,638,835 | | | | |
| | 14,812 | | ROYAL MAIL PLC | | | 112,266 | | | 96,951 | | | | |
| | 12,109 | | RSA INSURANCE GROUP PLC | | | 88,842 | | | 76,136 | | | | |
| | 17,320 | | SABMILLER PLC | | | 799,648 | | | 1,039,071 | | | | |
| | 20,657 | | SAGE GROUP (THE) PLC | | | 74,323 | | | 183,781 | | | | |
| | 10,277 | | SEGRO PLC | | | 36,889 | | | 65,056 | | | | |
| | 4,954 | | SEVERN TRENT PLC | | | 76,220 | | | 158,990 | | | | |
| | 181,440 | | SIG PLC | | | 531,197 | | | 384,100 | | | | |
| | 18,980 | | SKY PLC | | | 142,985 | | | 311,141 | | | | |
| | 18,823 | | SMITH & NEPHEW PLC | | | 151,602 | | | 335,206 | | | | |
| | 5,478 | | SMITHS GROUP PLC | | | 80,025 | | | 75,871 | | | | |
| | 16,949 | | SSE PLC | | | 293,983 | | | 381,789 | | | | |
| | 5,631 | | ST JAMES’S PLACE PLC | | | 80,229 | | | 83,676 | | | | |
| | 26,942 | | STANDARD CHARTERED PLC | | | 310,308 | | | 223,890 | | | | |
| | 39,357 | | STANDARD LIFE PLC | | | 131,737 | | | 226,104 | | | | |
| | 5,438 | | TATE & LYLE PLC | | | 49,810 | | | 48,020 | | | | |
| | 51,921 | | TAYLOR WIMPEY PLC | | | 150,105 | | | 155,457 | | | | |
| | 727,350 | | TESCO PLC(b) | | | 3,190,664 | | | 1,603,028 | | | | |
| | 4,578 | | TRAVIS PERKINS PLC | | | 141,647 | | | 133,156 | | | | |
| | 16,283 | | TULLOW OIL PLC(b) | | | 80,266 | | | 39,775 | | | | |
| | 78,159 | | UBM PLC | | | 629,001 | | | 606,644 | | | | |
See accompanying notes to the financial statements. | 86 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| | United Kingdom (Cont’d): | | | | | | | | | | |
| | 27,845 | | UNILEVER N.V. - CVA | | $ | 940,072 | | | 1,213,600 | | | | |
| | 24,244 | | UNILEVER PLC | | | 545,190 | | | 1,045,946 | | | | |
| | 14,374 | | UNILEVER PLC ADR(d) | | | 343,168 | | | 619,807 | | | | |
| | 10,541 | | UNITED UTILITIES GROUP PLC | | | 80,109 | | | 145,372 | | | | |
| | 629,900 | | UTILITYWISE PLC | | | 1,720,562 | | | 1,627,369 | | | | |
| | 256,900 | | VECTURA GROUP PLC(b) | | | 364,176 | | | 666,551 | | | | |
| | 147,193 | | VESUVIUS PLC | | | 749,739 | | | 722,800 | | | | |
| | 484,417 | | VODAFONE GROUP PLC | | | 1,593,934 | | | 1,578,221 | | | | |
| | 2,849 | | WHITBREAD PLC | | | 65,613 | | | 184,842 | | | | |
| | 8,611 | | WILLIAM HILL PLC | | | 52,153 | | | 50,270 | | | | |
| | 25,749 | | WPP PLC | | | 191,382 | | | 593,302 | | | | |
| | | | | | | 65,835,824 | | | 80,604,163 | | | 16.41 | % |
| | United States: | | | | | | | | | | |
| | 33,449 | | ARCH CAPITAL GROUP LTD.(b) | | | 673,955 | | | 2,333,068 | | | | |
| | 21,690 | | AXIS CAPITAL HOLDINGS LTD. | | | 809,890 | | | 1,219,412 | | | | |
| | 4,351 | | CARNIVAL PLC | | | 131,345 | | | 247,975 | | | | |
| | 56,080 | | FLEXTRONICS INTERNATIONAL LTD.(b) | | | 336,054 | | | 628,657 | | | | |
| | 45,360 | | SENSATA TECHNOLOGIES HOLDING N.V.(b) | | | 1,576,269 | | | 2,089,281 | | | | |
| | 8,041 | | THOMSON REUTERS CORP. | | | 206,631 | | | 304,566 | | | | |
| | | | | | | 3,734,144 | | | 6,822,959 | | | 1.39 | % |
| | | Sub-total Common Stocks: | | | 370,572,601 | | | 463,716,181 | | | 94.41 | % |
| Master Limited Partnerships: | | | | | | | | | | |
| | United States: | | | | | | | | | | |
| | 36,274 | | LAZARD LTD., CLASS A | | | 1,045,014 | | | 1,632,693 | | | | |
| | | | | | | 1,045,014 | | | 1,632,693 | | | 0.33 | % |
| | | Sub-total Master Limited Partnerships: | | | 1,045,014 | | | 1,632,693 | | | 0.33 | % |
| Preferred Stocks: | | | | | | | | | | |
| | Brazil: | | | | | | | | | | |
| | 112,300 | | ALPARGATAS S.A. | | | 332,064 | | | 202,105 | | | | |
| | 119,593 | | TELEFONICA BRASIL S.A. ADR(d) | | | 1,520,644 | | | 1,079,925 | | | | |
| | | | | | | 1,852,708 | | | 1,282,030 | | | 0.26 | % |
| | Germany: | | | | | | | | | | |
| | 1,521 | | BAYERISCHE MOTOREN WERKE A.G. | | | 49,612 | | | 127,954 | | | | |
| | 4,500 | | DRAEGERWERK A.G. & CO. KGAA | | | 465,270 | | | 335,529 | | | | |
| | 3,246 | | HENKEL A.G. & CO. KGAA | | | 319,045 | | | 364,047 | | | | |
| | 3,478 | | PORSCHE AUTOMOBIL HOLDING S.E. | | | 159,145 | | | 189,023 | | | | |
| | 1,649 | | VOLKSWAGEN A.G. | | | 355,027 | | | 239,687 | | | | |
| | | | | | | 1,348,099 | | | 1,256,240 | | | 0.25 | % |
| | South Korea: | | | | | | | | | | |
| | 205 | | SAMSUNG ELECTRONICS CO. LTD. | | | 179,321 | | | 190,742 | | | | |
| | | | | | | 179,321 | | | 190,742 | | | 0.04 | % |
| | | Sub-total Preferred Stocks | | | 3,380,128 | | | 2,729,012 | | | 0.55 | % |
| Rights: | | | | | | | | | | |
| | Austria: | | | | | | | | | | |
| | 10,586 | | IMMOEAST A.G.(b)(c) | | | - | | | - | | | | |
| | | | | | | - | | | - | | | 0.00 | % |
| | Italy: | | | | | | | | | | |
| | 25,343 | | UNIONE DI BANCHE ITALIANE S.P.A.(b) | | | - | | | - | | | | |
| | | | | | | - | | | - | | | 0.00 | % |
| | Singapore: | | | | | | | | | | |
| | 1,162 | | ASCENDAS REAL ESTATE INVESTMENT TRUST(b) | | | - | | | 51 | | | | |
| | | | | | | - | | | 51 | | | 0.00 | % |
| | | Sub-total Rights | | | - | | | 51 | | | 0.00 | % |
See accompanying notes to the financial statements. | 87 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
| | | | | | | | | | | | | | |
| Shares | | Security | | Cost | | Fair
value (a) | | Percent
of
net assets | |
| Investment Companies: | | | | | | | | | | |
| | United States: | | | | | | | | | | |
| | 18,400 | | ISHARES MSCI EAFE SMALL-CAP ETF | | $ | 946,756 | | | 919,080 | | | | |
| | | | | | | 946,756 | | | 919,080 | | | 0.19 | % |
| | | Sub-total Investment Companies | | | 946,756 | | | 919,080 | | | 0.19 | % |
| Short-Term Investments: | | | | | | | | | | |
| | 17,987,135 | | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.09%(g) | | | 17,987,135 | | | 17,987,135 | | | | |
| | | Sub-total Short-Term Investments: | | | 17,987,135 | | | 17,987,135 | | | 3.66 | % |
| | | | Grand total(h) | | $ | 393,931,634 | | | 486,984,152 | | | 99.14 | % |
| | | |
| | (a) | Investments are valued in accordance with procedures described in note 2 to the financial statements. |
| | (b) | Non-income producing assets. |
| | (c) | Security has been deemed worthless and is a Level 3 investment. |
| | (d) | Securities are American Depositary Receipts of companies based outside of the United States representing 3.57% of net assets as of December 31, 2015. |
| | (e) | Amount rounds to less than $1. |
| | (f) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
| | (g) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2014, the value of the Clearwater International Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $16,787,523 with net buys of $1,199,612 during the fiscal year ended December 31, 2015. |
| | (h) | At December 31, 2015, the cost for Federal income tax purposes was $395,920,331. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
| Gross unrealized appreciation | | $ | 124,876,836 | |
| Gross unrealized depreciation | | | (33,813,015 | ) |
| Net unrealized appreciation | | $ | 91,063,821 | |
At December 31, 2015, the industry sectors for the Clearwater International Fund were:
| | | | | |
| Industry Sector | | Percent of
Long-Term
Investments | |
| Consumer Discretionary | | | 19.09 | % |
| Consumer Staples | | | 10.16 | |
| Energy | | | 4.13 | |
| Financials | | | 21.49 | |
| Health Care | | | 10.68 | |
| Industrials | | | 14.28 | |
| Information Technology | | | 11.06 | |
| Materials | | | 4.68 | |
| Telecommunication Services | | | 2.66 | |
| Utilities | | | 1.77 | |
| | | | 100.00 | % |
See accompanying notes to the financial statements. | 88 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2015
At December 31, 2015, the Clearwater International Fund’s investments were denominated in the following currencies:
| | | Percent of | |
| | | Long-Term | |
| Concentration by Currency | | Investments | |
| Euro | | | 20.30 | % |
| Japanese Yen | | | 17.76 | |
| British Pound | | | 17.22 | |
| United States Dollar | | | 10.38 | |
| Swiss Franc | | | 7.37 | |
| Australian Dollar | | | 7.06 | |
| Canadian Dollar | | | 5.44 | |
| All other currencies less than 5% | | | 14.47 | |
| | | | 100.00 | % |
At December 31, 2015, the Clearwater International Fund had outstanding forward foreign currency exchange contracts as follows:
| | | | | | | | | | | | | | | | |
Contracts To
Deliver Currency | | Amount
(Local
Currency) | | In
Exchange
For Currency | | Amount
(Local
Currency) | | Settlement
Date | | | Unrealized
Gains (Losses) | | | Counterparty |
| Japanese Yen | | 156,435,008 | | United States Dollar | | 1,257,336 | | 2/10/16 | | | $ | (45,312 | ) | | Northern Trust |
| Chinese Yuan | | 15,634,159 | | United States Dollar | | 2,390,873 | | 5/17/16 | | | | 51,181 | | | Northern Trust |
| | | | | | | | | | | | $ | 5,869 | | | |
See accompanying notes to the financial statements. | 89 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments – Clearwater International Fund
December 31, 2015
Item 2. Code of Ethics
As of December 31, 2015, the Board of Trustees of Clearwater Investment Trust (the “Trust”) has adopted a code of ethics that applies to the Trust’s President/Principal Executive Officer and Treasurer/Principal Financial Officer (“Code of Ethics”). For the fiscal year ended December 31, 2015, there were no amendments to any provision of the Code of Ethics, nor were there any waivers granted from a provision of the Code of Ethics. A copy of the Code of Ethics has been filed with this Form N-CSR pursuant to Item 12(a)(1).
Item 3. Audit Committee Financial Expert
The Board of Trustees of the Trust consists of six members, four of whom are Independent Trustees as defined by the Investment Company Act of 1940, as amended (the “1940 Act”). The Board of Trustees does not include an “audit committee financial expert” (as defined in Item 3 of Form N-CSR). Given the restrictive nature of the definition of an “audit committee financial expert,” the Board of Trustees has determined that no current member of the Board of Trustees of the Trust qualifies as an “audit committee financial expert.” Furthermore, the Board of Trustees has determined that given the nature of investment company financial statements in general and the investment policies of the Trust’s fund offerings in particular that the independent trustees possess the necessary skills and experience to perform the functions of the audit committee.
Item 4. Principal Accountant Fees and Services
| | | 2015 | 2014 |
| (a) | Audit Fees | $112,825 | $100,635 |
| (b) | Audit-Related Fees | $0 | $0 |
| (c) | Tax Fees1 | $45,260 | $54,400 |
| (d) | All Other Fees | $0 | $0 |
1Tax Fees are the aggregate amount billed by the Trust's principal accountant for tax compliance, tax advice, international tax reclaim filings and tax planning during the fiscal year.
(e)
| 1. | The audit committee has not adopted pre-approval policies and procedures regarding the provision of audit or non-audit services to the trust, as described in paragraph (c)(7) of Rule 2-01 of Regulation S-X, as the audit committee requires that all such services be approved by them in advance. |
| 2. | No services were pre-approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
| (g) | Non-Audit Related Fees Provided to the Trust or to the Trust’s Investment Adviser. |
| | | |
| | | 2015 = $15,500 2014 = $16,150 |
| (h) | For the most recent fiscal year, the Audit Committee has determined that the provision of non-audit services to Clearwater Management Company and its affiliates was compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants Not applicable (the Funds are not listed issuers).
Item 6. Investments
| (a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this report on Form N-CSR. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable (the Trust is an open-end management investment company)
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable (the Trust is an open-end management investment company)
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable (the Trust is an open-end management investment company)
Item 10. Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to the Board of Trustees.
Item 11. Controls and Procedures
| (a) | The Trust’s principal executive officer and principal financial officer has concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective based on the principal executive officer and principal financial officer’s evaluation of these controls and procedures (as required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended) as of a date within 90 days of the filing date of this document. |
| (b) | There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting. |
Item 12. Exhibits
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is incorporated by reference to Exhibit 12(a)(1) to the report filed on Form N-CSR on March 5, 2015 (Accession Number 0000897101-15-000283).
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the 1940 Act.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the 1940 Act.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | Clearwater Investment Trust |
| | | |
| | By: | /s/ Justin H. Weyerhaeuser |
| | | Justin H. Weyerhaeuser
President (Principal Executive Officer)
Treasurer (Principal Financial Officer) |
| | | |
| | | Date: March 4, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | Clearwater Investment Trust |
| | | |
| | By: | /s/ Justin H. Weyerhaeuser |
| | | Justin H. Weyerhaeuser
President (Principal Executive Officer) |
| | | |
| | | Date: March 4, 2016 |
| | Clearwater Investment Trust |
| | | |
| | By: | /s/ Justin H. Weyerhaeuser |
| | | Justin H. Weyerhaeuser
Treasurer (Principal Financial Officer) |
| | | |
| | | Date: March 4, 2016 |
