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, 2016 |
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, 2016
Letter to Shareholders
(unaudited)
February 27, 2017
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, 2016. During 2016, the Clearwater Tax-Exempt Bond Fund outperformed its benchmark while the Clearwater Core Equity Fund, the Clearwater Small Companies Fund, and the Clearwater International Fund underperformed their respective benchmarks.
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 2016, 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. In November 2016, the Trust terminated Osterweis Capital Management, LLC as subadviser to the Clearwater Core Equity Fund and the assets that had been with that manager were equally allocated to AQR Capital Management, LLC and O’Shaughnessy Asset Management, LLC, who both utilize an active management style.
The Funds’ updated annual Prospectus will be sent to you at the beginning of May 2017. 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 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 2016 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 |
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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. As of December 31, 2016, the Core Equity Fund had three subadvisers that provided day-today management of Fund assets. Parametric Portfolio Associates LLC (“Parametric”), with approximately 60% of the Fund’s assets, manages its portion of the Fund’s assets to seek investment results that match, before fees and expenses, the investment results of 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 between AQR Capital Management, LLC (“AQR”) and O’Shaughnessy Asset Management, LLC (“OSAM”), who both utilize an active management style. Osterweis Capital Management, LLC (“Osterweis”), another active manager, was terminated late in the year.
2016 Market Overview:
Domestic large capitalization equities achieved a welcomed double-digit return in 2016. The dominant factors influencing share prices were slow, but persistent, growth of the U.S. economy, the avoidance of a “hard landing” by China, and an expectation for pro-growth policies under a Trump administration.
2016 Performance and 2017 Outlook:
The Clearwater Core Equity Fund gained 11.0%, net of fees, in 2016 compared to an increase of 12.1% for the Russell 1000® Index, the Fund’s benchmark. Parametric, the subadviser that follows a tax-managed strategy, slightly underperformed the Fund’s benchmark. Of the active managers, AQR and Osterweis underperformed the Fund benchmark in 2016, while OSAM modestly outperformed. The subadvisory contract with Osterweis was terminated in November and the assets that had been with that manager were equally allocated to AQR and OSAM.
Each of the three current 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 Co., Inc., 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 portion of the Fund against a different benchmark that aligns more closely with their particular strategy. In each section below, the subadvisers discuss their view of the market over the last twelve months, the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed and their outlook for the next twelve months.
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AQR Commentary
General Market Overview:
We trade a set of strategies based on the value, momentum, and profitability signals of individual securities that seek a positive expected return (vs. the appropriate benchmark) in a variety of economic environments. Because our investment approach employs a systematic set of rules based on economic intuition and rigorous testing to ensure they are robust across time, macro environments, and geographies, we typically do not offer general market overviews.
2016 Performance:
For the period from January 2016 until December 2016 month-end, the Russell 1000® Index returned 12.1% while the portion of the Clearwater Core Equity Fund managed by AQR (the “Portfolio”) had gross returns of 8.6%, underperforming the benchmark by 3.5%. Stock selection within sectors detracted from performance while sector selection contributed positively to performance. The Portfolio performed worst in the Financials sector where stock selection underperformed, while sector selection outperformed for the period.
2017 Outlook:
In terms of sector positioning, we are currently overweight in Industrials while being underweight in Energy. With regard to long-term attractiveness, we see value as more attractive in the U.S.
OSAM Commentary
General Market Overview:
The 2016 Presidential Election was a defining moment for investment factors in 2016 and marked a surge in equity market returns. It also saw a reversal for many investment factors and sectors from earlier in the year. Valuation metrics and shareholder yield started to come into favor in Q3 of 2016, but accelerated in the market for the months following the election. Conversely, poor returns to strong momentum and earnings growth accelerated their slide from earlier in the year. Value has outperformed growth based on Russell’s definitions as well, with the Russell 1000® Value outperforming the Russell 1000® Growth by 4.8% after the election. Sectors had a similar transition. Banks within the Financials sector have been surging since the election due to the prospects of reduced regulation and a rising rate environment, which are expected to help profits from loan activity. Utilities and Consumer Staples sectors, which tend to attract more income-oriented investors, have struggled since rising rates have increased bond yields. For much of the past five years, monetary policy has been a catalyst for growth in the market with the U.S. Federal Reserve (“Fed”) maintaining low rates to spur growth. We feel that the market is now pricing in that fiscal policy from the incoming Trump cabinet and that a Republican led Congress may help push growth as the Fed begins to raise rates.
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2016 Performance:
The portion of the Clearwater Core Equity Fund managed by OSAM (the “Portfolio”) underperformed the benchmark for the year ending December 31, 2016, returning 12.5% (gross of fees) while the Russell 1000® Value Index returned 17.3%. Momentum struggled for the year and detracted from excess returns. Quality exposures to our earnings quality, earnings growth, and financial strength factors had mixed performance, and marginally detracted on the year. Industry and selection effects were also negative on the year—primarily driven by our lack of exposure to Commercial Banks and selection within the Consumer Discretionary sector. For the year, cheap stocks outperformed the market, and our exposure to the value factor helped returns. Similarly, companies with high shareholder yields also outperformed. Because shareholder yield is a component of our value theme, some of the benefits are coming through in the positive value exposure and impact for the year.
2017 Outlook:
We’ve recently extensively explored the differences in methodology between our own definition of “Value” and that used to determine the constituents and weightings of the Russell 1000® Value Index. Russell categorizes stocks as value stocks based on 1) their price-to-book ratios and 2) their sales and earnings growth (where low growth = value). A large reason that we outperformed the 12.0% return of the S&P 500® in 2016, but lost to the Russell 1000® Value Index, is that price-to-book was a strong performing value factor for the year, and particularly during the fourth quarter. We avoid using the price-to-book factor for what we believe to be good reasons. In a recent piece called “Price-to-Book’s Growing Blind Spot,” we explained why price-to-book is a suboptimal measure of cheapness. First, the factor spreads (cheap minus expensive stocks) have narrowed considerably for price-to-book in the U.S., while other value factors have continued to work well. The problem with the factor is exaggerated among stocks with large changes to their share count (share repurchase or share issuance). Given our emphasis on buybacks in Market Leaders Core (our name for the strategy we employ for the Portfolio), this is a significant issue. We have found there to be a distinct disadvantage to price-to-book among stocks with active share repurchase history. Among more share active companies (meaning the stocks issued or repurchased 5% or more of their shares), price-to-book has generally failed to provide any edge (forward excess returns for the cheaper stocks from 1983-2015). It has been a great year for price-to-book (and benchmarks that use it in their index methodology), but longer term we believe other measures of value will provide strong results for our investors. Based on our key themes, we believe the Market Leaders Core strategy is well positioned versus its benchmark and relative to the overall market. The Portfolio’s companies have higher levels of return on capital, lower reliance on external financing, and trade at deep discounts across a number of valuation factors. They are also returning capital to shareholders at more than two times the rate of the benchmark (shareholder yield of 7.3% versus 2.7% for the benchmark). These combined advantages can only be delivered by a portfolio which is distinct from the benchmark. We believe that the Portfolio continues to represent a unique take on the U.S. market.
Parametric Commentary
General Market Overview:
It was a turbulent year for U.S. stocks, with the major U.S. Indexes plunging into correction territory during the first six weeks of 2016 and then fully recovering by the end of the first quarter. The specter of the United Kingdom voting to leave the European Union, commonly referred to as Brexit, shocked investors, but the panic appeared brief as U.S. stocks quickly rebounded by the end of the second quarter
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to pre-Brexit vote levels. While the broad market seemed to move steadily upward, there was material volatility in economic sector returns, a phenomenon seen all year, as large sector return differences suggested investors were vacillating. The surprising Donald Trump win in the presidential election was a turning point for the U.S. equity market, as it reversed a slight decline at the point of the election to finish the year solidly positive.
2016 Performance:
The portion of the Clearwater Core Equity Fund managed by Parametric underperformed its benchmark for the full year 2016, returning 11.9% gross of fees while the Russell 1000® Index returned 12.1%. One third of the underperformance to the benchmark can be attributed to a slight overweight to Health Care, which was the worst performing sector with a (2.7%) return for the year. Stock selection within Energy, Consumer Staples, and Telecommunication sectors also contributed to underperformance. The top five securities contributing to the underperformance were Gilead Sciences, Verizon Communications, McKesson Corporation, Express Scripts and IBM.
2017 Outlook:
Almost lost in the election impact on equities was the highly-anticipated December increase in interest rates, as the Fed raised the benchmark federal funds rate for only the second time since the financial crisis of 2008. We anticipate that further rate increases may depend on how much Congress and the new President cut taxes, spend on infrastructure, and how those actions may spur on inflation. As this unfolds, we feel that these decisions will weigh on investor uncertainty and market outlook.
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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”). As of December 31, 2016 Kennedy and Keeley respectively managed approximately 80% and 20% of the Fund balances.
2016 Market Overview:
Domestic small capitalization equities rose dramatically in 2016. The dominant factors influencing share prices were slow, but persistent, growth of the U.S. economy, the avoidance of a “hard landing” by China, and an anticipation of pro-growth policies under a Trump administration, which are expected to be especially beneficial to smaller U.S. companies.
2016 Performance and 2017 Outlook:
The Clearwater Small Companies Fund rose 19.7%, net of fees, during 2016 compared to a return of 21.3% for the Russell 2000® Index, the Fund’s benchmark. Kennedy’s microcap subportfolio outperformed, but Kennedy’s core subportfolio underperformed by a modest amount and Keeley’s subportfolio underperformed slightly as well. The underperformance was mostly the result of poor security selection in the Information Technology sector as well as underexposure to the Materials and Energy sectors, the two best performing sectors for small cap stocks in 2016.
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 Co., Inc., 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 portion of the Fund against a different benchmark that aligns more closely with their particular strategy. In each section below, the subadvisers discuss their view of the market over the last twelve months, the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed and their outlook for the next twelve months.
Keeley Commentary
General Market Overview:
Bullish, risk-on sentiment generated a strong tailwind for U.S. equities in 2016 as investors shrugged off intermittent volatility and opportunistically bought into dips. Market volatility early in the year turned around quickly and clawed back with bullish enthusiasm through the first two quarters. Following the United Kingdom vote to leave the European Union, commonly referred to as Brexit, markets moved sharply downward for roughly a week, but recovered nicely by the first week in July. Markets generally moved sideways as the U.S. presidential election neared, and following Trump’s election, markets responded in bullish fashion to close out the year. Gross Domestic Product and employment have
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improved, and the U.S. Federal Reserve’s interest rate hike in December has not held equity markets back. The strong, risk-on attitude drove significant performance in riskier market caps, particularly small and mid-cap stocks.
2016 Performance:
For the year ending December 31, 2016, the portion of the Clearwater Small Companies Fund managed by Keeley (the “Portfolio”) underperformed its benchmark, the Russell 2000® Value Index. The Portfolio gained 20.4%, gross of fees, versus a gain of 31.7% for the benchmark. Over the course of the year, the majority of the Portfolio’s relative underperformance came primarily from stock selection in Technology, Materials, and Consumer Staples sectors. In addition, an underweight in the strong Financials sector, as well as weak stock selection hurt overall performance. The portfolio also held a significant overweight in Consumer Discretionary (17.5% vs. 10.0%), and this negatively impacted performance during 2016. Despite the Portfolio’s underweight in Energy (3.2% vs. 4.7%), the strong rebound helped performance as the names in the Portfolio gained over 45%, whereas the names in the benchmark rose just over 28%. A moderate overweight in Industrials (17.9% vs. 12.2%) also helped performance, as did an underweight in the underperforming Health Care sector.
2017 Outlook:
Over the course of 2016, we noticed a lot of mean reversion tendencies within the portfolio. Sectors or stocks that had a rough month or quarter rebounded in the following quarter, or vice versa. Similar behavior occurred between growth and value stocks as well as large caps versus small caps. We believe this type of activity is likely to persist in 2017, especially as markets grapple with the uncertainty of a Trump administration. We believe that rising interest rates should benefit Financials, but that Health Care will likely be volatile given the uncertainty surrounding Obamacare. Looking forward, we believe there is potential for an increase in corporate changes in the small cap value space. These include ownership changes (spin-offs, divestitures, de-mutualizations), operating changes (new management, cost cutting, M&A) and capital restructurings (emergence from bankruptcy, refinancing, capital reallocation). We also look forward to seeking to take advantage of shifts in the marketplace, including regulatory changes and industry consolidation.
Kennedy Commentary
General Market Overview:
After a slow start, 2016 turned out to be an excellent year for small cap stocks. Enthusiasm grew as the year progressed, transforming a middling half year performance (Russell 2000® Index was up 2.2% during the first six months of 2016) into a robust full year (+21.8%). Throughout the volatility, two important themes have been impactful on companies and markets this year – the benefits of low interest rates and the uncertain direction of healthcare policy. As we have learned, though, the pending Trump presidency has driven a frenzy in the market of late. Investors have been quick to transform political soundbites into policy changes. Some of the more important questions for equity investors that have emerged are:
● | Will corporate tax rates be slashed? |
● | Will bank regulations be loosened substantially? |
● | Will infrastructure spending accelerate? |
● | Will the Affordable Care Act be repealed? |
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With the post-election surge in stocks, we think we have the market’s answers. However, we believe that, we will learn that enacting change in our economy is more difficult than anticipated.
2016 Performance:
For the full year, the portion of the Clearwater Small Companies Fund managed by Kennedy (the “Portfolio”) returned 21.0%, gross of fees, underperforming the 21.3% return of its benchmark, the Russell 2000® Index. Stock selection was a marginally positive contributor during the period, adding seven basis points of relative performance. Sector allocation was a negative factor, although this was mainly attributable to our relatively high average cash holding of 4.6% during the year. Towards the lower end of our market capitalization range, we were challenged to reinvest cash at various points of the year. From a sector perspective, Consumer Discretionary and Health Care strength was offset by underperformance in Information Technology.
2017 Outlook:
Our perspective is shaped by a confluence of factors. As suggested earlier, some investors may rush to judgment on how vague policy statements will evolve into political and economic reality. Of course, we do not know what the corporate tax rate will be in 2018, but we now believe there is a higher chance that it falls at some point in the future. This, in our view, leads to an increased probability of higher cash flows (than we thought before) and, therefore, higher valuation, all things being equal. Similar arguments hold for the other questions posed (e.g., regulation, infrastructure, healthcare). We also need to remain mindful of our country’s growing protectionist bent. This protectionism could potentially lead to an unwinding of companies’ abilities to optimize cost and revenue opportunities around the world, negatively impacting future cash flows. Finally, we see the possibility that a lowering of near-term tax receipts (through a substantially lower corporate tax rate), combined with intensified infrastructure spending could lead to ballooning fiscal deficits, driving down the value of the U.S. dollar and driving interest rates higher. Nominal interest rates are a key component of cost of capital and thus serve as one of the main discounting mechanisms for calculating a company’s intrinsic value. We feel that there are a multitude of cross-currents that could create volatility for the stock market in 2017. We expect to continue to factor these into our stock-specific analysis as the year progresses.
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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. A subadviser, Sit Fixed Income Advisors 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”). The Fund pays a single advisory fee to Clearwater Management Co., Inc., which in turn pays the subadviser out of its advisory fee.
Sit Commentary
General Market Overview:
Tax-exempt fixed income markets experienced high volatility in 2016, as rates fell dramatically through Labor Day but rose sharply in the last few months of the year. The U.S. Treasury and tax-exempt yield curves flattened modestly, and fund flows into tax-exempt municipal bond funds were modestly positive for the year, although they turned sharply negative after the surprising election results. Supply of municipals set a record rate in 2016, but slowed considerably after the election. This large amount of supply was manageable to absorb, however, given that approximately three quarters of it was refinancing of existing debt and that net fund inflows were concentrated in long-term and high yield tax-exempt funds. Credit fundamentals are in our view generally sound, and spreads tightened further during most of the year, although they did widen in the fourth quarter. 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 and New Jersey. Puerto Rico related debt was the strongest performer in the municipal market in 2016, despite defaulting on its general obligation debt on July 1. The establishment of a Financial Control Board in September reassured investors that bondholders’ rights will be considered in any restructuring. More volatility is likely in 2017 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 2016. Concerns about tax reform and a potential reduction of the value of the municipal bond tax exemption are heightened after the election of Donald Trump and a Republican Congress. Developments on this front bear close scrutiny and may require timely action in 2017.
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2016 Performance:
The Fund returned 2.3%, net of fees, for the year ended December 31, 2016. The Fund’s benchmark, the Barclays Municipal Bond 5 Year (4-6) Index (the “Barclays 5-Year Muni Index”), returned (0.4%) over the same period. Given the Fed’s accommodative policies, the Fund lengthened its average life duration, a measure of the Fund’s sensitivity to changes in interest rates, to 5.8 years from 5.6 years during 2016 to take advantage of the steep tax-exempt yield curve. For comparison, the Fund’s benchmark, the Barclays 5-Year Muni Index, had duration of 3.9 years at December 31, 2015, and it remained there throughout the year. The Fund’s longer duration and its superior security selection in non-rated bonds were the primary reasons for its outperformance during 2016. Revenue bonds modestly outperformed general obligation bonds during 2016, with revenue bonds returning 0.4% for the year, while general obligation bonds returned 0.2%. 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 2016.
2017 Outlook:
We believe that the newly elected President and Congress will dominate headlines and add some political risk to the market in 2017, depending on what policies, especially with regard to tax reform, are put forth and enacted. We expect U.S. growth in 2017 to accelerate from its tepid pace in 2016, and for inflation to inch higher. Single-family housing starts has moderated, and underemployment, despite some improvement, remains elevated, while wage growth is showing signs of improvement. The economy has been able to muddle through the decline in oil prices and global uncertainty over the past year, but in our view, hasn’t been 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 historically low in absolute terms, will likely rise, especially on the short end, as the Fed hiked in December 2016 and has signaled it intends to continue raising short-term interest rates in 2017. 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 contracts to a more manageable level and most state and local government finances continue to improve, helping tax-exempt bonds outperform absent the effects of tax reform. We expect revenue bonds to continue their strong relative performance in 2017, 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 are 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 2017, although we do expect to shorten duration modestly during the year. At this time, we expect to focus investment of new cash flows on maturities in the 5 to 25-year range.
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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 that provide day-to-day management of Fund assets. Parametric Portfolio Associates LLC (“Parametric”) manages its portion of the portfolio (approximately 50%) to seek investment results that match, before fees and expenses, the investment results of the MSCI World Ex U.S.A. Index - Net as closely as possible without requiring the Fund to realize taxable gains. The Fund also has four subadvisers who utilize an active management style, with each managing 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”).
2016 Market Overview:
International developed market equities recorded low single digit gains during 2016. 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 a rise in nationalist populism, as expressed, for example, in the United Kingdom’s vote to exit the European Union (commonly referred to as Brexit). Currency adjustments adversely impacted returns in 2016 as the euro fell 3.2% and the British pound lost 16.5% 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.
2016 Performance and 2017 Outlook:
The Clearwater International Fund gained 2.1%, net of fees, during 2016 compared to an increase of 2.7% for the MSCI World Ex U.S.A. Index - Net, the Fund’s benchmark. Parametric, the subadviser that follows a tax-managed strategy, slightly outperformed the Fund’s benchmark. Artisan Partners was the only active management subadviser to outperform the Fund’s benchmark. The other three, Templeton, WCM, and Denver, all underperformed in 2016, for various reasons as described below in the subadviser commentary.
Each of the five subadvisers 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 Co., Inc., 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 portion of the Fund against a different benchmark that aligns more closely with their particular strategy. In each section below, the subadvisers discuss their view of the market over the last twelve months, the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed and their outlook for the next twelve months.
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Artisan Partners Commentary
General Market Overview:
Measured in U.S. dollar terms, the MSCI EAFE Index - Net was up just 1.0% during the 12-month period ended December 31, 2016. However, a generally stronger dollar played a role – in local terms, the index was up 5.3%. The UK was down 0.1% in USD terms but up 19.2% in local terms – hindered by a depreciating pound sterling. Similarly, European markets as a whole were down 0.4% but up 7.2% in local terms. U.S. stocks led the way, up 10.9% for the year, much of that coming after the U.S. election when the market quickly repriced stronger U.S. economic growth and higher inflation expectations.
2016 Performance:
During the twelve-month period ending December 31, 2016, the portion of the Clearwater International Fund managed by Artisan Partners (the “Portfolio”) returned 6.6%, gross of fees, outperforming the MSCI EAFE Index - Net, which was up 1.0% over the same period. Performance of the following stocks had a positive impact on the Portfolio during the period: Samsung Electronics, a leader in smartphones, semiconductors, and other electronic components; Tokyo Electron, a manufacturer of industrial semiconductors and capital equipment; Telefonica Brasil, Brazil’s leading telecommunications firm; global insurance firm Arch Capital Group; and ABB, a leading global engineering company. Notable detractors in the period included: bank stocks RBS, UBS, and Lloyds Banking; Baidu, China’s dominant search engine; and Korean automaker Kia Motors.
2017 Outlook:
With stocks in our view broadly looking more fair valued now than six months ago, we remain selective in our deployment of portfolio capital.
Denver Commentary
General Market Overview:
From a global market perspective, the year 2016 began with much of the same from the recent past—massive quantitative easing in Europe and Japan. In the United States, the U.S. Federal Reserve (the “Fed”) slowly transitioned from a dovish stance to eventually raising rates at the end of the year. Brexit also played a role in volatility, but in the end, the United Kingdom market normalized, while the pound remained weak. The biggest impact on the international small-cap portfolio from a general market perspective was the news of the incoming administration in the United States. Even international stocks were affected by the strengthening of the U.S. dollar after Donald Trump’s election. Regardless of what effect, if any, currency swings have on individual foreign companies, when an investor converts ownership of those stocks back into the U.S. dollar, the strengthening actually decreases the value of the holdings.
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2016 Performance:
The strengthening U.S. dollar was a major factor in the meager returns of the portion of the Clearwater International Fund managed by Denver (the “Portfolio”), which returned for the year 2.5% versus our index, the MSCI EAFE Small Cap Index - Net, which returned 2.2%. The outcome of the United States presidential election also affected sentiment in certain sectors. For instance, cyclical companies like Materials that may benefit from the infrastructure boom promised by President-elect Trump outperformed the general market. Other commodity-related sectors, such as Energy, rallied as oil prices increased. The Portfolio did not benefit from the recent rally in these sectors, as we generally hold companies that we believe have lower economic sensitivity. Although, our stock selection remained positive for the year, it was not enough to compensate for these meaningful negative sector effects relative to the index.
2017 Outlook:
As volatility overall has remained low, we have not kept pace with our index. That said, we remain focused on what academic research indicates is the driver of long term performance – owning high-quality growing companies at attractive valuations. We are optimistic that the values in our international small-cap portfolio will continue to grow earnings at a faster pace than the market. Coupled with an estimated EV/FCF (enterprise value to free cash flow) valuation less than half the market, we believe our portfolio is in a good position for the coming year.
Parametric Commentary
General Market Overview:
Developed equity markets outside the U.S., as measured by the MSCI World Ex U.S.A. Index - Net, had a moderate positive return for the full year 2016. The modest return disguised considerable market turbulence during the year. Investor concerns about a slowing global economy and collapsing commodity prices pushed global stock markets into correction territory early in the year. Stocks then rallied on news of increased stimulus by central banks, a dovish Fed announcement, and a commodity turnaround. Then political and economic uncertainty weighed on the markets in the wake of the surprise Brexit decision, followed by a quick rebound. The year finished with a nearly flat 4th quarter with a rebound in December from broadly supportive economic news and higher bond yields, after declines in October and November.
2016 Performance:
The portion of the Clearwater International Fund managed by Parametric (the “Portfolio”) slightly outperformed its benchmark for the full year 2016, returning 3.0% gross of fees while the MSCI World Ex U.S.A. Index – Net returned 2.7%. Stock selection within the Materials, Health Care, and Telecommunication sectors contributed most to the outperformance. From a country perspective, stock selection within Canada and Australia contributed most to the outperformance. The top five securities contributing to outperformance are Rio Tinto, Teck Resources, BOC Hong Kong, Bendigo and Adelaide Bank, and Royal Dutch Shell.
2017 Outlook:
Markets around the world have, in our view, many political and economic uncertainties and concerns, and may be impacted by ongoing turmoil in many parts of the world. We anticipate that political uncertainty is set to continue in 2017, with the start of Brexit negotiations, elections in France, Germany and the
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Netherlands, and the potential for early elections in Italy. Further, we believe that investors may also be waiting to see how U.S. economic and foreign policy changes under President Trump.
Templeton Commentary
General Market Overview:
International small-capitalization stocks underperformed their larger-capitalization counterparts in 2016. Global markets were aided by accommodative monetary policies of various global central banks, improved commodity prices after 2016’s first quarter, finalization of Greece’s new debt deal, generally encouraging global economic data, expectations of higher interest rates and inflation in the U.S. driven by talk of expansionary fiscal policies under new U.S. President Donald Trump, and an Organization of the Petroleum Exporting Countries deal to curb oil production. However, these factors were partially offset by a slowdown in China’s economy and declining commodity prices early in the period, geopolitical tensions in certain regions, uncertainty about the Fed’s timing for raising interest rates and worries about the health of European banks. In addition, global economic concerns and the Brexit vote contributed to volatility in global stock markets.
2016 Performance:
The portion of the Clearwater International Fund managed by Templeton (the “Portfolio”) returned (0.5%) versus the MSCI ACWI Ex U.S.A. Small Cap Index - Net return of 3.9%. The construction of the Portfolio is based on the attractiveness of individual stocks. As a result, stock selection, particularly in Europe, was the cause of relative underperformance. Looking at the longer term, we continue to find what we believe are compelling bargains in the Eurozone, which according to our analysis remains in the early stages of an economic cycle and geared to a continued value recovery given high operating leverage, an undervalued currency and low starting-point valuations. Politics and policy have been major headwinds but seem excessively discounted given continued broad support for the euro and recent gains by political moderates, as well as the strengthening of the European Central Bank as a credible bond market backstop. At the sector level, holdings in materials, consumer staples and real estate detracted from relative performance. Holdings in consumer discretionary and information technology contributed.
2017 Outlook:
The global rally in value stocks in late 2016 was, by some measures, the second-most powerful since 1989. While this may seem like an extreme view, we recall that value as a style had become cheaper and appeared more oversold than ever before, according to some analyses. As we have argued often over the past year, value looked poised for recovery should interest rates that were historically low and equity valuations and/or performance start to revert toward the mean. In our view, this has begun to happen, and value has been taking on the characteristics of a momentum trade as some investors hurry to mitigate relative losses from the abrupt style rotation. While value has become a momentum trade half a dozen times in the last decade, sometimes staying that way for several quarters, it has historically tended to eventually lose steam, and we would not be surprised to see a temporary pullback in the value recovery at some point. Such concerns notwithstanding, value has been bouncing off an extremely low base, and we believe the longer-term prospects for our investment philosophy remain attractive. Should rising interest rates herald a renewed economic cycle, we believe that we could see significant improvements in the earnings of value stocks, further supporting a style that has thus far benefited primarily from the re-rating of valuation multiples. Economic and interest-rate normalization, in our view, represent significant
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challenges for holders of fixed income assets who have not experienced capital impairment in a generation. Real assets that can adjust for or pass through price increases and sustainably generate cash flows—like equities—appear far better positioned, in our view. But we do not think this is the time to buy stocks indiscriminately. After a strong post-financial crisis bull market and the more recent embedding of reflationary expectations, various segments of the market look expensive to us. As the market refocuses on fundamentals, we believe that this next cycle can again prove the virtue of value-oriented, active investors focused on the long term.
WCM Commentary
General Market Overview:
In calendar year 2016, the overall market was up, with broad international benchmarks registering positive returns over the period. After a strong showing in the first half of the year, returns regressed over the last two quarters. As far back as August, we observed “quality” companies (defined for this point as higher Return-on-Equity) lagging – mostly on the heels of Brexit – and that trend continued following the US election results. Fourth quarter saw the market enter a more “reflationary trade” environment with perceived beneficiaries such as Financials, Energy, and Materials all posting gains. Traditional growth sectors like Health Care, Staples and Tech were bottom performers as the market rotated into more cyclical, less predictable parts of the market.
2016 Performance:
Noting the market environment mentioned above, the portion of the Clearwater International Fund managed by WCM (the “Portfolio”) underperformed, returning 1.5%, gross of fees, compared to the MSCI ACWI Ex U.S.A. Index - Net, which returned 4.5% over the same period.
After eight consecutive quarters of outperformance, the Portfolio has trailed its benchmark for the last two quarters. Underperformance for 2016 is attributable to both allocation and selection, with an overweight to Denmark being the main detractor from a regional standpoint. From a sector standpoint, the biggest detractors to the Portfolio’s underperformance were our overweight to and selection in Health Care (one of the weakest performing sectors), as well as our stock selection in Materials.
2017 Outlook:
Looking ahead, we expect continued volatility around interest rates, macro, and potential political shifts, among other things. We feel that a “risk off” backdrop is favorable for our kinds of businesses: business growth, expanding competitive advantages, and strong free cash flow generation. We made several tactical trades in the fourth quarter, all with the goal of upgrading the quality of the portfolio.
From a sector standpoint, we remain overweight in Technology, Health Care, and Consumer, while we are underweight in Financials and Energy. We believe this allocation best positions the Portfolio to take advantage of many of the long-lasting tailwinds we’re seeing around the world. We continue to look for what we believe to be attractive opportunities — companies benefiting from a secular tailwind, growing their competitive advantage, possessing a strong culture and trading at a reasonable valuation.
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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
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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.
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Fund Expense Example
(unaudited)
As a shareholder of the 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” and together with the Core Equity Fund, Small Companies Fund and Tax-Exempt Bond 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, 2016.
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, 2016 through December 31, 2016” 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.
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Actual returns | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Expenses Paid During the Period July 1, 2016 through December 31, 2016 * |
Core Equity Fund | $1,000.00 | $1,091.20 | $2.31 |
Small Companies Fund | $1,000.00 | $1,170.20 | $5.62 |
Tax-Exempt Bond Fund | $1,000.00 | $967.90 | $1.68 |
International Fund | $1,000.00 | $1,036.40 | $3.58 |
Hypothetical 5% return
(before expenses)
Core Equity Fund | $1,000.00 | $1,022.92 | $2.24 |
Small Companies Fund | $1,000.00 | $1,019.96 | $5.23 |
Tax-Exempt Bond Fund | $1,000.00 | $1,023.43 | $1.73 |
International Fund | $1,000.00 | $1,021.62 | $3.56 |
* | Expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by 184/366 (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 (a) | 0.44% |
Small Companies Fund (b) | 1.03% |
Tax-Exempt Bond Fund (c) | 0.34% |
International Fund (d) | 0.70% |
(a) | The management fee of the Core Equity Fund was decreased through a voluntary waiver to 0.44%, which remained in effect in the reporting period. |
(b) | The management fee of the Small Companies Fund was decreased through a voluntary waiver to 1.03%, which remained in effect in the reporting period. |
(c) | The management fee of the Tax-Exempt Bond Fund was decreased through a voluntary waiver to 0.34%, which remained in effect in the reporting period. |
(d) | The management fee of the International Fund was decreased through a voluntary waiver to 0.70%, which remained in effect in the reporting period. |
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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.
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Shareholder Meeting Results
A special meeting of shareholders was held on November 3, 2016. All shareholders of record at the close of business on September 19, 2016 were entitled to attend or submit proxies. The results of votes taken among shareholders on the proposal before them are reported below.
PROPOSAL: Election of Trustees
Number of Votes | % of Votes | |||||||
Sara G. Dent | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - | |||||||
James E. Johnson | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - | |||||||
Charles W. Rasmussen | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - | |||||||
Laura E. Rasmussen | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - | |||||||
Lindsay R. Schack | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - | |||||||
E. Rodman Titcomb, Jr. | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - | |||||||
David M. Weyerhaeuser | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - | |||||||
Justin H. Weyerhaeuser | ||||||||
For | 100,088,000.015 | 88.41 | % | |||||
Withheld | - | |||||||
Abstained | - |
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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 (74) 30 East 7th Street Saint Paul, Minnesota 55101 | Trustee, Chairman of the Board | As Trustee: Tenure: 5 years Term: Indefinite As Chairman Tenure: 2013-Present Term: Indefinite | Retired as Executive Vice President, Securian Financial Group, Inc. in 2010, Securian Financial Group, Inc. (1968- 2010) | 4 | None |
Charles W. Rasmussen1 (50) 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 | Nu Star Inc. (private company, 2014- present)
|
Laura E. Rasmussen1 (53) 30 East 7th Street Saint Paul, Minnesota 55101 | Trustee, Chairman of the Audit Committee | As Trustee: Tenure: 16 years Term: Indefinite As Chairman of the Audit Committee: Tenure: 2016 – Present Term: Indefinite | Business Owner, 3 Kittens Needle Arts (textile sales, 2006-Present) | 4 | None |
Lindsay R. Schack (39) 30 East 7th Street Saint Paul, Minnesota 55101 | Trustee | Tenure: 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 |
David M. Weyerhaeuser (58) 30 East 7th Street Saint Paul, Minnesota 55101 | Trustee | Tenure: 2016-Present Term: Indefinite | Vice President, Sales and Marketing, Northwest Hardwoods (lumber manufacturer and distributor, 1991 – 2016) | 4 | R.D. Merrill Company, Inc. (private company, 1992 – Present) |
1 | Mr. Rasmussen and Ms. Rasmussen are siblings-in-law. |
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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 Officer/ Trustee | Other Directorships Held by the Officer/ Trustee During the Last 5 Years |
Sara G. Dent2 (58) 30 East 7th Street Saint Paul, Minnesota 55101 | Trustee | Tenure: 2013 – Present Term: Indefinite | Private Investor | 4 | None |
E. Rodman Titcomb, Jr.3 (68) 30 East 7th Street Saint Paul, Minnesota 55101 | Trustee | Tenure: 2016-Present Term: Indefinite | Chairman and Chief Executive Officer, Rock Island Company (holding company, 1998 – 2013), Chairman, Coal Valley Corporation (holding company, 1975 – 2012), Managing Director, Elizabeth Ordway Dunn Foundation (1983 – 2013) | 4 | Rock Island Company (private company, 1998- 2013), Coal Valley Corporation (private company, 1975- 2012) |
Justin H. Weyerhaeuser4 (43) 30 East 7th Street Saint Paul, Minnesota 55101 | Trustee, President and Treasurer | Tenure: 8 years Term: Indefinite As President and Treasurer: Tenure: 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 (48) 30 East 7th Street Saint Paul, Minnesota 55101 | Chief Compliance Officer and Secretary | Tenure: 2014 – Present Term: Reappointed Annually As Secretary: Tenure: 2016 – 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 |
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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 Officer/ Trustee | Other Directorships Held by the Officer/ Trustee During the Last 5 Years |
Shari L. Clifford (48) 30 East 7th Street Saint Paul, Minnesota 55101 | Assistant Treasurer | Tenure: 2014 – Present Term: Reappointed Annually | Chief Financial Officer and Treasurer, Fiduciary Counselling, Inc. (February 2014 – Present), Controller and Finance Director, Woodbury Financial Services, Inc. (November 2007 – February 2014) | N/A | N/A |
Michael D. Jiang (32) The Northern Trust Company 50 South LaSalle Street Chicago, IL 60603 | Assistant Secretary | Tenure: 2016 – Present Term: Reappointed Annually | The Northern Trust Company, Second Vice President (2015 - Present) | 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 one of the Funds in the Trust. From June 2015 through June 2016, Ms. Dent also served as Secretary of the Trust. |
3 | Mr. Titcomb is an interested Trustee due to his brother’s position as a director of CMC. |
4 | Mr. Justin H. Weyerhaeuser is an interested Trustee due to his position as the Funds’ President and Treasurer. |
Additional information about the Fund Directors 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.
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Approval of Investment Management and Subadvisory Agreements
Clearwater Management Co., 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 Trust’s Board of Trustees (“Board” or “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 Trustees who are not “interested persons” of the Trust (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 4 and December 8, 2016, 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 Asset Management Corp. (“KAMCO”), Kennedy Capital Management, Inc., O’Shaughnessy Asset Management, LLC, Parametric Portfolio Associates LLC, Sit Fixed Income Advisors II, LLC, Templeton Investment Counsel, LLC, and WCM Investment Management. At the December 8, 2016 meeting, the Trustees also considered a new Subadvisory Agreement for the Small Companies Fund with a successor to KAMCO (the “New Keeley Agreement”) that would take effect following an anticipated change in control of KAMCO and termination of the current Subadvisory Agreement.
Prior to the November 4, 2016 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 comparative performance and expense data, 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 and Trustees 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 4, 2016 meeting, CMC and certain of the Subadvisers provided supplemental information in connection with the December 8, 2016 meeting.
At the November 4 and December 8, 2016 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 KAMCO (the “Current Keeley Agreement”), for an additional one-year period, and approved the New Keeley Agreement for a two-year period from its anticipated effective date.
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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. 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.
With respect to the New Keeley Agreement, the Board noted that KAMCO was expected to undergo a change in control during the first quarter of 2017 as a result of a transaction by which Teton Advisors, Inc. would acquire KAMCO from TA Associates and KAMCO would become Keeley Teton Advisors, LLC (the “Transaction”). In connection with its consideration of the New Keeley Agreement, the Board considered: (i) information about the anticipated impact of the change in control on the nature, extent and quality of services provided to the Small Companies Fund and its shareholders; (ii) information about the anticipated impact of the change in control on the management structure and personnel of KAMCO; (iii) that there would be no changes to the portfolio management team that is primarily responsible for the day-to-day management of the assets of the Small Companies Fund allocated to KAMCO in connection with the Transaction; (iv) that the fees payable under the New Keeley Agreement would not differ from those under the Current Keeley Agreement; and (v) that the terms of the New Keeley Agreement are substantially identical to the terms of the Current Keeley Agreement.
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, 2016, CMC has voluntarily agreed to waive (i) the management fee for the Core Equity Fund from the contractual fee of 0.90% to 0.44%; (ii) the management fee for the Small Companies Fund from the contractual fee of 1.35% to 1.03%; (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 0.70%.
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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.
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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, 2016 for the Core Equity Fund, 100.00% of ordinary dividends paid during the fiscal year ended December 31, 2016 for the Small Companies Fund, and 100.00% of ordinary dividends paid during the fiscal year ended December 31, 2016 for the International Fund are designated as “qualified dividend income”, as defined in the Act, subject to reduced tax rates in 2016.
Corporate Dividends-Received Deduction. 100.00% and 100.00% of the dividends distributed during the fiscal year ended December 31, 2016, for the Core Equity and Small Companies, respectively, qualify for the dividends-received deduction for corporate shareholders.
Capital Gain Distribution. The following Funds made capital gain distributions in December 2016, and hereby designated these long-term capital gain distributions as follows:
Fund | Long-Term Capital Gain | |||
Core Equity(1) | $ | 18,781,172 | ||
Small Companies(2) | 12,075,262 | |||
Tax-Exempt Bond | 1,167,286 | |||
International | 12,673 |
(1) | During the fiscal year 2016, Core Equity Fund utilized equalization accounting for tax purposes, whereby a portion of redemption payments were treated as distributions of long-term capital gain in the amount of $655,236. |
(2) | During the fiscal year 2016, Small Companies Fund utilized equalization accounting for tax purposes, whereby a portion of redemption payments were treated as distributions of long-term capital gain in the amount of $125,173. |
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Clearwater Investment Trust
Financial Statements
For the Fiscal Year Ended December 31, 2016
Table of Contents
Financial Statements:
KPMG LLP 4200 Wells Fargo Center 90 South Seventh Street Minneapolis, MN 55402 |
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, 2016, 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, 2016, 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, 2016, 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.
Minneapolis, Minnesota
February 27, 2017
KPMG LLP is a Delaware limited liability partnership and the U.S. member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity. |
1
CLEARWATER INVESTMENT TRUST
Statements of Assets and Liabilities
December 31, 2016
Core Equity Fund | Small Companies Fund | Tax-Exempt Bond Fund | International Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities, at fair value (identified cost: $238,066,473 Core Equity Fund; $278,729,368 Small Companies Fund; $467,690,356 Tax-Exempt Bond Fund; $391,343,550 International Fund) | $ | 466,380,747 | 342,246,751 | 482,625,949 | 507,812,742 | |||||||||||
Foreign currencies, at value (cost: $390 Core Equity Fund; $433,106 International Fund) | 384 | - | - | 434,174 | ||||||||||||
Cash | - | 1,364 | 5,448 | - | ||||||||||||
Receivable for securities sold | - | 5,716,390 | - | 68,144 | ||||||||||||
Receivable for shares of beneficial interest sold | 3,200 | - | 12,800 | 19,000 | ||||||||||||
Accrued dividend and interest receivable | 566,815 | 398,010 | 6,424,020 | 639,107 | ||||||||||||
Foreign tax reclaim receivable | 38,803 | - | - | 1,264,867 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | - | - | - | 221,165 | ||||||||||||
Total assets | 466,989,949 | 348,362,515 | 489,068,217 | 510,459,199 | ||||||||||||
Liabilities | ||||||||||||||||
Payables for investment securities purchased | - | 4,122,891 | 3,023,618 | 560,828 | ||||||||||||
Accrued investment advisory fee | 507,615 | 846,634 | 418,841 | 897,837 | ||||||||||||
Payable for dividend distribution | - | - | 769,932 | - | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | - | - | - | 1,708 | ||||||||||||
Total liabilities | 507,615 | 4,969,525 | 4,212,391 | 1,460,373 | ||||||||||||
Net assets | $ | 466,482,334 | 343,392,990 | 484,855,826 | 508,998,826 | |||||||||||
Capital | ||||||||||||||||
Capital stock and additional paid-in capital (authorized unlimited number of shares at no par value for each Fund: 12,462,881, 17,350,366, 48,843,344 and 36,252,025 shares, respectively) | $ | 224,574,620 | 276,917,227 | 468,343,106 | 418,988,826 | |||||||||||
Undistributed (overdistributed) net investment income | - | - | 1,098,542 | (1,591,305 | ) | |||||||||||
Accumulated net realized gain (loss) from investments and foreign currency transactions | 13,593,446 | 2,958,380 | 478,585 | (24,966,458 | ) | |||||||||||
Unrealized appreciation of investments and translation of assets and liabilities in foreign currencies | 228,314,268 | 63,517,383 | 14,935,593 | 116,567,763 | ||||||||||||
Net assets | $ | 466,482,334 | 343,392,990 | 484,855,826 | 508,998,826 | |||||||||||
Net asset value per share of outstanding capital stock | $ | 37.43 | 19.79 | 9.93 | 14.04 |
See accompanying notes to financial statements.
2
CLEARWATER INVESTMENT TRUST
Year ended December 31, 2016
Core Equity Fund | Small Companies Fund | Tax-Exempt Bond Fund | International Fund | |||||||||||||
Investment income: | ||||||||||||||||
Income: | ||||||||||||||||
Dividends (net of foreign taxes withheld of $44,999, $7,800, $0 and $1,236,373, respectively) | $ | 9,332,204 | 3,926,532 | 1,590,785 | 13,023,328 | |||||||||||
Interest | - | 4 | 23,212,394 | - | ||||||||||||
Total income | 9,332,204 | 3,926,536 | 24,803,179 | 13,023,328 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 4,079,834 | 4,071,267 | 3,049,790 | 4,997,333 | ||||||||||||
Voluntary fee reduction | (2,122,484 | ) | (993,352 | ) | (1,321,574 | ) | (1,508,788 | ) | ||||||||
Other Expenses | 85 | 85 | - | 85 | ||||||||||||
Total net expenses | 1,957,435 | 3,078,000 | 1,728,216 | 3,488,630 | ||||||||||||
Net investment income | 7,374,769 | 848,536 | 23,074,963 | 9,534,698 | ||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Security transactions | 32,005,849 | 11,553,619 | 1,657,062 | (21,623,666 | ) | |||||||||||
Forward foreign currency exchange contracts | - | - | - | (205,597 | ) | |||||||||||
Foreign currency transactions | (102 | ) | - | - | (124,610 | ) | ||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on: | ||||||||||||||||
Security transactions | 5,670,109 | 43,242,489 | (12,178,939 | ) | 23,416,674 | |||||||||||
Forward foreign currency exchange contracts | - | - | - | 213,588 | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | 113 | - | - | 24,915 | ||||||||||||
Net gain (loss) on investments | 37,675,969 | 54,796,108 | (10,521,877 | ) | 1,701,304 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 45,050,738 | 55,644,644 | 12,553,086 | 11,236,002 |
See accompanying notes to financial statements.
3
CLEARWATER INVESTMENT TRUST
Statements of Changes in Net Assets
Years ended December 31, 2016 and 2015
Core Equity Fund | Small Companies Fund | |||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 7,374,769 | 7,966,804 | 848,536 | 691,390 | |||||||||||
Net realized gain | 32,005,747 | 40,266,541 | 11,553,619 | 39,821,655 | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | 5,670,222 | (52,000,243 | ) | 43,242,489 | (53,057,897 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 45,050,738 | (3,766,898 | ) | 55,644,644 | (12,544,852 | ) | ||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (7,221,912 | ) | (7,757,756 | ) | (903,897 | ) | (876,975 | ) | ||||||||
Net realized gain | (19,436,500 | ) | (39,583,976 | ) | (12,145,074 | ) | (35,922,516 | ) | ||||||||
Total distributions to shareholders | (26,658,412 | ) | (47,341,732 | ) | (13,048,971 | ) | (36,799,491 | ) | ||||||||
Equalization: | ||||||||||||||||
Net equalization | 2,021,880 | 2,237,640 | 125,173 | 1,600,313 | ||||||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 10,473,387 | 6,275,620 | 34,485,963 | 22,980,623 | ||||||||||||
Reinvestment of distributions from net investment income and net realized gain | 24,636,527 | 45,104,098 | 12,923,794 | 35,199,184 | ||||||||||||
Payments for shares redeemed | (81,459,509 | ) | (51,108,187 | ) | (46,117,773 | ) | (44,943,480 | ) | ||||||||
Net increase (decrease) in net assets from capital share transactions | (46,349,595 | ) | 271,531 | 1,291,984 | 13,236,327 | |||||||||||
Total increase (decrease) in net assets | (25,935,389 | ) | (48,599,459 | ) | 44,012,830 | (34,507,703 | ) | |||||||||
Net assets: | ||||||||||||||||
At the beginning of the year | 492,417,723 | 541,017,182 | 299,380,160 | 333,887,863 | ||||||||||||
At the end of the year | $ | 466,482,334 | 492,417,723 | 343,392,990 | 299,380,160 | |||||||||||
Undistributed net investment income (loss) | $ | - | 300,012 | - | - | |||||||||||
Tax-Exempt Bond Fund | International Fund | |||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 23,074,963 | 21,500,396 | 9,534,698 | 9,507,244 | |||||||||||
Net realized gain (loss) | 1,657,062 | 2,120,557 | (21,953,873 | ) | 1,182,382 | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | (12,178,939 | ) | (474,940 | ) | 23,655,177 | (12,430,629 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | 12,553,086 | 23,146,013 | 11,236,002 | (1,741,003 | ) | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (22,085,107 | ) | (21,496,917 | ) | (9,674,768 | ) | (9,471,417 | ) | ||||||||
Net realized gain | (1,169,087 | ) | (2,015,724 | ) | (12,673 | ) | (2,834,849 | ) | ||||||||
Total distributions to shareholders | (23,254,194 | ) | (23,512,641 | ) | (9,687,441 | ) | (12,306,266 | ) | ||||||||
Equalization: | ||||||||||||||||
Net equalization | - | - | - | - | ||||||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 19,338,667 | 23,502,450 | 34,599,021 | 29,859,634 | ||||||||||||
Reinvestment of distributions from net investment income and net realized gain | 22,594,801 | 23,506,847 | 9,687,457 | 12,306,269 | ||||||||||||
Payments for shares redeemed | (59,149,478 | ) | (41,851,737 | ) | (28,020,420 | ) | (18,877,071 | ) | ||||||||
Net increase (decrease) in net assets from capital share transactions | (17,216,010 | ) | 5,157,560 | 16,266,058 | 23,288,832 | |||||||||||
Total increase (decrease) in net assets | (27,917,118 | ) | 4,790,932 | 17,814,619 | 9,241,563 | |||||||||||
Net assets: | ||||||||||||||||
At the beginning of the year | 512,772,944 | 507,982,012 | 491,184,207 | 481,942,644 | ||||||||||||
At the end of the year | $ | 484,855,826 | 512,772,944 | 508,998,826 | 491,184,207 | |||||||||||
Undistributed (overdistributed) net investment income | $ | 1,098,542 | 112,785 | (1,591,305 | ) | (1,183,615 | ) |
See accompanying notes to financial statements.
4
CLEARWATER INVESTMENT TRUST
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:
Year ended December 31, | ||||||||||||||||||||
Core Equity Fund | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 35.57 | 39.41 | 37.77 | 28.81 | 25.26 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.65 | 0.64 | 0.60 | 0.51 | 0.40 | |||||||||||||||
Net realized and unrealized gains (losses) | 3.27 | (0.96 | ) | 2.91 | 8.95 | 3.54 | ||||||||||||||
Total from investment operations | 3.92 | (0.32 | ) | 3.51 | 9.46 | 3.94 | ||||||||||||||
Less distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.49 | ) | (0.60 | ) | (0.63 | ) | (0.50 | ) | (0.39 | ) | ||||||||||
Net realized gain | (1.57 | ) | (2.92 | ) | (1.24 | ) | - | - | ||||||||||||
Total distributions to shareholders | (2.06 | ) | (3.52 | ) | (1.87 | ) | (0.50 | ) | (0.39 | ) | ||||||||||
Net asset value, end of year | $ | 37.43 | 35.57 | 39.41 | 37.77 | 28.81 | ||||||||||||||
Total return (a) | 10.98 | % | (0.71 | )% | 9.23 | % | 32.85 | % | 15.64 | % | ||||||||||
Net assets, end of year (000s omitted) | $ | 466,482 | 492,418 | 541,017 | 523,042 | 395,242 | ||||||||||||||
Ratio of expenses, net of waivers, to average net assets (b)(c)(d)(e)(f) | 0.43 | % | 0.42 | % | 0.50 | % | 0.50 | % | 0.54 | % | ||||||||||
Ratio of expenses, before waivers, to average net assets (b)(c)(d)(e)(f) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||
Ratio of net investment income, net of waivers, to average net assets (c)(d)(e)(f) | 1.63 | % | 1.52 | % | 1.50 | % | 1.51 | % | 1.49 | % | ||||||||||
Ratio of net investment income, before waivers, to average net assets (c)(d)(e)(f) | 1.16 | % | 1.02 | % | 1.10 | % | 1.11 | % | 1.13 | % | ||||||||||
Portfolio turnover rate (excluding short-term securities) | 44.11 | % | 94.07 | % | 13.54 | % | 21.07 | % | 22.31 | % |
(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, 2016, the investment advisory fee, net of voluntary waivers, increased to 0.44%. Also effective March 16, 2016, the Adviser decreased the voluntary waiver to 0.46%. |
(d) | 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%. |
(e) | 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%. |
(f) | 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%. |
See accompanying notes to financial statements.
5
CLEARWATER INVESTMENT TRUST
Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:
Year ended December 31, | ||||||||||||||||||||
Small Companies Fund | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 17.18 | 20.30 | 22.35 | 18.70 | 16.91 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.07 | 0.07 | 0.05 | 0.05 | 0.09 | |||||||||||||||
Net realized and unrealized gains (losses) | 3.30 | (0.90 | ) | 1.10 | 6.30 | 3.10 | ||||||||||||||
Total from investment operations | 3.37 | (0.83 | ) | 1.15 | 6.35 | 3.19 | ||||||||||||||
Less distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.05 | ) | (0.06 | ) | (0.04 | ) | (0.06 | ) | (0.10 | ) | ||||||||||
Net realized gain | (0.71 | ) | (2.23 | ) | (3.16 | ) | (2.64 | ) | (1.30 | ) | ||||||||||
Total distributions to shareholders | (0.76 | ) | (2.29 | ) | (3.20 | ) | (2.70 | ) | (1.40 | ) | ||||||||||
Net asset value, end of year | $ | 19.79 | 17.18 | 20.30 | 22.35 | 18.70 | ||||||||||||||
Total return (a) | 19.67 | % | (3.96 | )% | 5.03 | % | 34.01 | % | 19.02 | % | ||||||||||
Net assets, end of year (000s omitted) | $ | 343,393 | 299,380 | 333,888 | 343,068 | 281,936 | ||||||||||||||
Ratio of expenses, net of waivers, to average net assets (b)(c)(d)(e) | 1.02 | % | 0.97 | % | 0.94 | % | 0.95 | % | 1.00 | % | ||||||||||
Ratio of expenses, before waivers, to average net assets (b)(c)(e) | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | ||||||||||
Ratio of net investment income (loss), net of waivers, to average net assets(c)(e) | 0.28 | % | 0.22 | % | 0.24 | % | 0.21 | % | 0.51 | % | ||||||||||
Ratio of net investment income (loss), before waivers, to average net assets(c)(e) | (0.05 | )% | (0.16 | )% | (0.17 | )% | (0.19 | )% | 0.16 | % | ||||||||||
Portfolio turnover rate (excluding short-term securities) | 78.82 | % | 58.71 | % | 55.51 | % | 59.84 | % | 59.48 | % |
(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, 2016, the investment advisory fee, net of voluntary waivers, increased to 1.03%. Also effective March 16, 2016, the Adviser decreased the voluntary waiver to 0.32%. |
(d) | Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.98%. Also effective March 16, 2015, the Adviser decreased the voluntary waiver to 0.37%. |
(e) | 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%. |
See accompanying notes to financial statements.
(Continued)
6
CLEARWATER INVESTMENT TRUST
Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:
Year ended December 31, | ||||||||||||||||||||
Tax-Exempt Bond Fund | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 10.16 | 10.16 | 9.23 | 10.15 | 9.62 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.46 | 0.42 | 0.44 | 0.46 | 0.48 | |||||||||||||||
Net realized and unrealized gains (losses) | (0.23 | ) | 0.04 | 0.95 | (0.84 | ) | 0.53 | |||||||||||||
Total from investment operations | 0.23 | 0.46 | 1.39 | (0.38 | ) | 1.01 | ||||||||||||||
Less distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.44 | ) | (0.42 | ) | (0.44 | ) | (0.46 | ) | (0.48 | ) | ||||||||||
Net realized gain | (0.02 | ) | (0.04 | ) | (0.02 | ) | (0.08 | ) | - | |||||||||||
Total distributions to shareholders | (0.46 | ) | (0.46 | ) | (0.46 | ) | (0.54 | ) | (0.48 | ) | ||||||||||
Net asset value, end of year | $ | 9.93 | 10.16 | 10.16 | 9.23 | 10.15 | ||||||||||||||
Total return (a) | 2.28 | % | 4.73 | % | 15.29 | % | (3.77 | )% | 10.66 | % | ||||||||||
Net assets, end of year (000s omitted) | $ | 484,856 | 512,773 | 507,982 | 465,026 | 527,118 | ||||||||||||||
Ratio of expenses, net of waivers, to average net assets (b)(c)(d) | 0.34 | % | 0.34 | % | 0.33 | % | 0.34 | % | 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) | 4.54 | % | 4.23 | % | 4.48 | % | 4.78 | % | 4.79 | % | ||||||||||
Ratio of net investment income, before waivers, to average net assets(c)(d) | 4.28 | % | 3.97 | % | 4.21 | % | 4.52 | % | 4.55 | % | ||||||||||
Portfolio turnover rate (excluding short-term securities) | 13.48 | % | 18.93 | % | 22.25 | % | 31.65 | % | 28.06 | % |
(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 decreased 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.
(Continued)
7
CLEARWATER INVESTMENT TRUST
Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:
Year ended December 31, | ||||||||||||||||||||
International Fund | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||
Net asset value, beginning of year | $ | 14.02 | 14.41 | 15.76 | 13.33 | 12.23 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.27 | 0.28 | 0.35 | 0.29 | 0.30 | |||||||||||||||
Net realized and unrealized gains (losses) | 0.02 | (0.31 | ) | (1.08 | ) | 2.62 | 1.88 | |||||||||||||
Total from investment operations | 0.29 | (0.03 | ) | (0.73 | ) | 2.91 | 2.18 | |||||||||||||
Less distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.27 | ) | (0.28 | ) | (0.36 | ) | (0.34 | ) | (0.31 | ) | ||||||||||
Net realized gain | - | (a) | (0.08 | ) | (0.26 | ) | (0.14 | ) | (0.77 | ) | ||||||||||
Total distributions to shareholders | (0.27 | ) | (0.36 | ) | (0.62 | ) | (0.48 | ) | (1.08 | ) | ||||||||||
Net asset value, end of year | $ | 14.04 | 14.02 | 14.41 | 15.76 | 13.33 | ||||||||||||||
Total return (b) | 2.09 | % | (0.15 | )% | (4.70 | )% | 21.85 | % | 17.91 | % | ||||||||||
Net assets, end of year (000s omitted) | $ | 508,999 | 491,184 | 481,943 | 511,904 | 408,059 | ||||||||||||||
Ratio of expenses, net of waivers, to average net assets (c)(d)(e)(f)(g) | 0.70 | % | 0.69 | % | 0.67 | % | 0.66 | % | 0.62 | % | ||||||||||
Ratio of expenses, before waivers, to average net assets (c)(d)(e)(f)(g) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of net investment income, net of waivers, to average net assets (d)(e)(f)(g) | 1.90 | % | 1.87 | % | 2.22 | % | 1.99 | % | 2.39 | % | ||||||||||
Ratio of net investment income, before waivers, to average net assets (d)(e)(f)(g) | 1.60 | % | 1.56 | % | 1.89 | % | 1.65 | % | 2.01 | % | ||||||||||
Portfolio turnover rate (excluding short-term securities) | 37.21 | % | 18.49 | % | 15.33 | % | 22.54 | % | 72.32 | % |
(a) | Per share amounts from distributions paid from net realized gain were less than $0.01 per share. |
(b) | 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. |
(c) | 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. |
(d) | Effective March 16, 2016, the investment advisory fee, net of voluntary waivers, increased to 0.70%. Also effective March 16, 2016, the Adviser decreased the voluntary waiver to 0.30%. |
(e) | Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.69%. Also effective March 16, 2015, the Adviser decreased the voluntary waiver to 0.31%. |
(f) | Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, increased to 0.67%. Also effective March 15, 2013, the Adviser decreased the voluntary waiver to 0.33%. |
(g) | 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%. |
See accompanying notes to financial statements.
(Continued)
8
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(1) | Organization |
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” and together with the Core Equity Fund, Small Companies Fund and Tax-Exempt Bond Fund, the “Funds”). Clearwater Management Co., Inc. (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 November 4, 2016, the Trust terminated Osterweis Capital Management, LLC, one of the subadvisers to the Clearwater 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 Capital Management (“AQR”), and O’Shaughnessy Asset Management (“OSAM”). 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 two other subadvisers that provide day-to-day management. Parametric manages its portion of the Fund’s assets using a passive management strategy to seek investment results that match, before fees and expenses, the investment results of the Russell 1000® Index as closely as possible without requiring the Fund to realize taxable 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
9 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
“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, Global Depositary Receipts, 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, futures contracts or options in futures 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 using a passive management strategy to seek investment results that match, before fees and expenses, the investment results of the MSCI World Ex U.S.A. Index - Net as closely as possible without requiring the Fund to realize taxable gains. FCI also acts as a subadviser to the Fund but does not provide day-to-day management.
10 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(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 on the basis of evaluated prices provided by independent pricing services when such prices are believed to reflect the fair value of such securities or broker provided prices. Such prices may be determined by taking into account other similar securities’ prices, yields, maturities, call features, ratings, prepayment speeds, credit risks, cash flows, institutional size trading in similar groups of securities and developments related to specific securities. Shares of open end investment companies are valued at their daily net asset value (“NAV”). Shares of closed-end funds and exchange traded funds are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. | |
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, is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method. |
11 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(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. 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) | 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 on forward foreign currency 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.
12 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(d) | 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.
(e) | 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.
(f) | 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.
(g) | Short-Term Investments |
The Core Equity, Small Companies, Tax-Exempt Bond, and International Funds currently invest in the U.S. Government Select Portfolio, a money market portfolio of Northern Institutional Funds, an investment company advised by Northern Trust Investments, Inc. The U.S. Government Select Portfolio primarily invests in securities issued by the U.S. government, government agencies, and government-sponsored enterprises. Before July 28, 2016, the Tax-Exempt Bond Fund invested in the Tax-Exempt Portfolio of the Northern Institutional Funds. The Tax-Exempt Portfolio primarily invests in high-quality short-term municipal instruments.
13 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(h) | 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.
(i) | 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, 2016, 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 2013, 2014, 2015 and 2016 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 Trust has analyzed the Funds’ tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Further, the Trust is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The tax character of distributions paid by the Funds during the years ended December 31, 2016 and 2015 was as follows:
Tax-Exempt | Ordinary Income | ||||||||||||||||
2016 | 2015 | 2016 | 2015 | ||||||||||||||
Core Equity Fund | $ | - | $ | - | $ | 5,855,360 | $ | 7,656,214 | |||||||||
Small Companies Fund | - | - | 848,536 | 2,251,204 | |||||||||||||
Tax-Exempt Bond Fund | 21,330,974 | 21,378,310 | 97,304 | 449,770 | |||||||||||||
International Fund | - | - | 9,674,768 | 9,665,584 |
Long-Term Capital Gains | |||||||||
2016 | 2015 | ||||||||
Core Equity Fund | $ | 18,781,172 | $ | 37,447,878 | |||||
Small Companies Fund | 12,075,262 | 32,947,975 | |||||||
Tax-Exempt Bond Fund | 1,167,286 | 1,682,556 | |||||||
International Fund | 12,673 | 2,640,682 |
14 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
During 2016, the Core Equity Fund utilized equalization accounting for tax purposes, whereby a portion of redemption payments were treated as distributions of ordinary income in the amount of $1,366,554.
As of December 31, 2016, 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 | $ | - | $ | - | $ | - | $ | 105,242 | ||||||||
Undistributed tax-exempt income | - | - | 1,913,662 | - | ||||||||||||
Undistributed capital gain | 13,943,322 | 3,430,558 | 591,290 | - | ||||||||||||
Accumulated capital losses and other | - | - | (882,636 | ) | (23,943,457 | ) | ||||||||||
Unrealized appreciation | 227,964,392 | 63,045,205 | 14,890,404 | 113,848,215 | ||||||||||||
Total | $ | 241,907,714 | $ | 66,475,763 | $ | 16,512,720 | $ | 90,010,000 |
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, recharacterization of dividends from investments in Real Estate Investment Trusts (“REITs”) and Partnerships gains and losses. At December 31, 2016, 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, 2016, reclassifications have been recorded among the following capital accounts on the Statements of Assets and Liabilities:
Core Equity Fund | Small Companies Fund | Tax-Exempt Bond Fund | International Fund | |||||||||||||
Undistributed (overdistributed) net investment income | $ | (1,819,423 | ) | $ | 55,361 | $ | (4,099 | ) | $ | (267,621 | ) | |||||
Accumulated net realized gain (loss) | (202,457 | ) | (180,534 | ) | 4,099 | 267,621 | ||||||||||
APIC | 2,021,880 | 125,173 | - | - |
15 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(j) | 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, 2016, the Core Equity and Small Companies Funds utilized equalization accounting with respect to 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. |
(k) | 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. |
(l) | 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. The Funds believe that the likelihood of any such claims is remote. |
(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 for 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). 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 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. |
16 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
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, 2016.
Core Equity Fund (a) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 463,581,059 | $ | - | $ | - | $ | 463,581,059 | ||||||||
Rights | - | - | 1,702 | 1,702 | ||||||||||||
Short-Term Investments | 2,797,986 | - | - | 2,797,986 | ||||||||||||
Total | $ | 466,379,045 | $ | - | $ | 1,702 | $ | 466,380,747 |
(a) | For the Core Equity Fund, the investment value is comprised of equity securities, rights 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. 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 internally determined prices. |
The Core Equity Fund records all transfers between levels based on valuations at the end of each reporting period. At December 31, 2016, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2015. |
There were no significant Level 3 valuations for which significant unobservable inputs were used at December 31, 2016.
17 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
Small Companies Fund (b) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 329,433,445 | $ | - | $ | - | $ | 329,433,445 | ||||||||
Short-Term Investments | 12,813,306 | - | - | 12,813,306 | ||||||||||||
Total | $ | 342,246,751 | $ | - | $ | - | $ | 342,246,751 |
(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, 2016, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2015.
18 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
Tax-Exempt Bond Fund (c) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Closed-End Funds | $ | 26,771,699 | $ | - | $ | - | $ | 26,771,699 | ||||||||
Municipal Bonds | ||||||||||||||||
Airports | - | 2,818,650 | - | 2,818,650 | ||||||||||||
Bond Banks | - | 537,610 | - | 537,610 | ||||||||||||
Development | - | 34,195,772 | - | 34,195,772 | ||||||||||||
Education | - | 40,354,504 | - | 40,354,504 | ||||||||||||
Facilities | - | 1,908,099 | - | 1,908,099 | ||||||||||||
General | - | 43,004,985 | - | 43,004,985 | ||||||||||||
General Obligations | - | 19,666,205 | - | 19,666,205 | ||||||||||||
Higher Education | - | 18,445,043 | - | 18,445,043 | ||||||||||||
Housing | - | 31,138,902 | - | 31,138,902 | ||||||||||||
Medical | - | 41,013,312 | - | 41,013,312 | ||||||||||||
Mello-Roos | - | 1,831,653 | - | 1,831,653 | ||||||||||||
Multifamily Housing | - | 34,698,822 | - | 34,698,822 | ||||||||||||
Nursing Home | - | 53,357,434 | - | 53,357,434 | ||||||||||||
Power | - | 3,885,960 | - | 3,885,960 | ||||||||||||
School District | - | 30,462,436 | - | 30,462,436 | ||||||||||||
Single Family Housing | - | 75,949,640 | - | 75,949,640 | ||||||||||||
Student Loan | - | 1,853,303 | - | 1,853,303 | ||||||||||||
Transportation | - | 7,023,492 | - | 7,023,492 | ||||||||||||
Utilities | - | 417,161 | - | 417,161 | ||||||||||||
Water | - | 5,613,403 | - | 5,613,403 | ||||||||||||
Short-Term Investments | 7,677,864 | - | - | 7,677,864 | ||||||||||||
Total | $ | 34,449,563 | $ | 448,176,386 | $ | - | $ | 482,625,949 |
(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. |
(Continued)
19
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
The Tax-Exempt Bond Fund records all transfers between levels based on valuations at the end of each reporting period. At December 31, 2016, for the Tax-Exempt Bond Fund, there were seven transfers from Level 3 to Level 2 classifications based on levels assigned to the securities on December 31, 2015. The municipal bonds were transferred from Level 3 to Level 2 based on prices derived from observable market data for the current reporting period. No other transfers between levels occurred during the reporting period.
There were no significant Level 3 valuations for which significant unobservable inputs were used at December 31, 2016.
International Fund (d) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Thailand | $ | 246,818 | 499,356 | - | $ | 746,174 | ||||||||||
United Kingdom | 69,884,706 | - | 1,712 | 69,886,418 | ||||||||||||
All other countries | 413,233,518 | - | - | 413,233,518 | ||||||||||||
Convertible Preferred Stocks | - | - | 126,236 | 126,236 | ||||||||||||
Investment Companies | 932,008 | - | - | 932,008 | ||||||||||||
Master Limited Partnerships | 15 | - | - | 15 | ||||||||||||
Preferred Stocks | 3,276,810 | - | - | 3,276,810 | ||||||||||||
Rights | 17,308 | - | - | 17,308 | ||||||||||||
Short-Term Investments | 19,594,255 | - | - | 19,594,255 | ||||||||||||
Total | $ | 507,185,438 | $ | 499,356 | $ | 127,948 | $ | 507,812,742 |
(d) | For the International Fund, the investment value is comprised of equity securities, MLPs, investment companies, rights 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 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. Shares of open end investment companies are valued at their daily net asset value. Two inactively traded Thailand based securities were valued based on the prices of similar securities resulting in Level 2 classifications. At December 31, 2016, four securities were either deemed worthless or with a stale price, resulting in Level 3 classification. |
(Continued)
20
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
International Fund Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Forward foreign currency exchange contracts | $ | - | $ | 221,165 | $ | - | $ | 221,165 | ||||||||
Liabilities | ||||||||||||||||
Forward foreign currency exchange contracts | - | (1,708 | ) | - | (1,708 | ) | ||||||||||
Net Other Financial Instruments | $ | - | $ | 219,457 | $ | - | $ | 219,457 |
The forward foreign currency exchange contracts outstanding at December 31, 2016 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.
The International Fund records all transfers between levels based on valuations at the end of each reporting period. At December 31, 2016, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2015.
There were no significant Level 3 valuations for which significant unobservable inputs were used at December 31, 2016.
(Continued)
21
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(4) | Investment Security Transactions |
The cost of purchases and proceeds from sales of securities (excluding short-term securities) for the year ended December 31, 2016, were as follows:
Purchases | Sales | |||||||
Core Equity Fund | $ | 198,015,610 | $ | 250,885,504 | ||||
Small Companies Fund | 240,718,731 | 252,208,885 | ||||||
Tax-Exempt Bond Fund | 66,120,604 | 77,850,118 | ||||||
International Fund | 197,186,008 | 179,753,493 |
(5) | Capital Share Transactions |
Transactions in capital shares for the years ended December 31, 2016 and 2015 were as follows:
Core Equity Fund | Small Companies Fund | |||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Sold | 300,366 | 167,034 | 1,915,674 | 1,163,619 | ||||||||||||
Issued for reinvestment of distributions | 652,796 | 1,281,731 | 655,033 | 2,070,540 | ||||||||||||
Redeemed | (2,334,337 | ) | (1,333,010 | ) | (2,643,251 | ) | (2,262,541 | ) | ||||||||
Net Increase (decrease) | (1,381,175 | ) | 115,755 | (72,544 | ) | 971,618 |
Tax-Exempt Bond Fund | International Fund | |||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Sold | 1,899,036 | 2,331,345 | 2,532,939 | 2,003,543 | ||||||||||||
Issued for reinvestment of distributions | 2,207,354 | 2,431,950 | 694,441 | 894,351 | ||||||||||||
Redeemed | (5,753,602 | ) | (4,258,540 | ) | (1,998,537 | ) | (1,314,000 | ) | ||||||||
Net Increase (decrease) | (1,647,212 | ) | 504,755 | 1,228,843 | 1,583,894 |
(6) | Capital Loss Carryforward |
For the period subsequent to October 31, 2016 through the fiscal year ended December 31, 2016, the following Funds incurred capital losses and/or Section 988 currency (gains) and losses yielding a net capital loss 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 | 112,705 | - | 112,705 | |||||||||
International Fund | - | - | - |
(Continued)
22
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
At December 31, 2016, the Funds had the following short-term and long-term capital loss carryforwards available to offset future net capital gains which do not expire. Future utilization of the capital loss carryforwards may be limited.
Short-Term | Long-Term | Total | ||||||||||
Core Equity Fund | $ | - | $ | - | $ | - | ||||||
Small Companies Fund | - | - | - | |||||||||
Tax-Exempt Bond Fund | - | - | - | |||||||||
International Fund | 8,358,982 | 15,584,475 | 23,943,457 |
(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. From the beginning of the reporting period until March 15, 2016, the management fees and the corresponding voluntary waivers for the Funds were as follows:
Management Fees Prior to March 16, 2016 | ||||||
Management Fee % | Voluntary Waiver % | Net Fee Actually Paid % | ||||
Core Equity Fund | 0.90 | (0.50) | 0.40 | |||
Small Companies Fund | 1.35 | (0.37) | 0.98 | |||
Tax-Exempt Bond Fund | 0.60 | (0.26) | 0.34 | |||
International Fund | 1.00 | (0.31) | 0.69 |
The Adviser has periodically modified its management fee for each of the Funds through voluntary waivers. Effective March 16, 2016, the net management fees actually paid for the Core Equity Fund, Small Companies Fund and the International Fund changed due to the Adviser’s modification of the voluntary waivers for those Funds as shown below:
Management Fees Effective March 16, 2016 | ||||||
Management Fee % | Voluntary Waiver % | Net Fee Actually Paid % | ||||
Core Equity Fund | 0.90 | (0.46) | 0.44 | |||
Small Companies Fund | 1.35 | (0.32) | 1.03 | |||
Tax-Exempt Bond Fund | 0.60 | (0.26) | 0.34 | |||
International Fund | 1.00 | (0.30) | 0.70 |
The Adviser currently intends to continue these voluntary waivers indefinitely. However, the Adviser may terminate these voluntary arrangements at any time.
(Continued)
23
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
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, OSAM and AQR is equal to an annual rate of 0.15%, 0.35% and 0.35% of the portions of net assets managed, respectively.
The subadvisory fee for the Core Equity Fund, payable to Osterweis for its portion of net assets managed was based on the following annual rates:
Osterweis | |
First $25 Million | 0.75% |
$25 Million to $100 Million | 0.65% |
More than $100 Million | 0.55% |
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 | |
Up to and including $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% |
(Continued)
24
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
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 | |
Up to and including $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.
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% |
All assets in excess of $100 Million | 0.50% |
Denver | |
First $10 Million | 1.25% |
All assets in excess of $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.
(Continued)
25
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
(8) | Derivative Instruments |
Information concerning the types of derivatives in which 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, 2016, 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.
ASSETS | LIABILITIES | ||||||||||||||
Name of Fund | Derivative Type | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | Counterparty | |||||||||
International Fund | Forward foreign currency exchange contracts | Unrealized appreciation on forward foreign currency exchange contracts | $ | 221,165 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 1,708 | Northern Trust |
The following tables set forth by primary risk exposure the International Fund’s net realized gain (loss) and net increase (decrease) in appreciation/depreciation on forward foreign currency exchange contracts for the year ended December 31, 2016:
Name of Fund | Derivative Type | Statements of Operations Location | Value | Name of Fund | Derivative Type | Statements of Operations Location | Value | ||||||||||
International Fund | Forward foreign currency exchange contracts | Net realized gain (loss) on forward foreign currency exchange contracts | $ | (205,597) | International Fund | Forward foreign currency exchange contracts | Net increase (decrease) in unrealized appreciation/depreciation on forward foreign currency exchange contracts | $ | 213,588 |
26 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2016
Derivative transactions are measured in terms of the notional amount. The following table presents, 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 year ended December 31, 2016.
International Fund | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Number of Transactions | Weighted Average Notional Amount | |||||
14 | $ | 4,574,827 |
(9) | Subsequent Events |
Management has evaluated subsequent events relating to the Funds through the date the financial statements were available to be issued and has concluded there are no such events or transactions requiring financial statement disclosure and/or adjustments to the financial statements.
27 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Common Stocks: | ||||||||||||||||
Consumer Discretionary: | ||||||||||||||||
1,500 | ADVANCE AUTO PARTS, INC. | $ | 53,557 | 253,680 | ||||||||||||
6,150 | AMAZON.COM, INC.(b) | 274,721 | 4,611,701 | |||||||||||||
1,600 | AMC NETWORKS, INC., CLASS A(b) | 25,785 | 83,744 | |||||||||||||
1,100 | AUTOLIV, INC.(c) | 19,410 | 124,465 | |||||||||||||
800 | AUTOZONE, INC.(b) | 320,664 | 631,832 | |||||||||||||
15,753 | BED BATH & BEYOND, INC. | 818,905 | 640,202 | |||||||||||||
71,085 | BEST BUY CO., INC. | 2,505,566 | 3,033,197 | |||||||||||||
1,400 | BIG LOTS, INC. | 15,477 | 70,294 | |||||||||||||
4,400 | BORGWARNER, INC. | 51,799 | 173,536 | |||||||||||||
1,536 | BRINKER INTERNATIONAL, INC. | 49,069 | 76,078 | |||||||||||||
327 | BURLINGTON STORES, INC.(b) | 28,306 | 27,713 | |||||||||||||
300 | CABLE ONE, INC. | 113,966 | 186,519 | |||||||||||||
4,168 | CARMAX, INC.(b) | 50,984 | 268,378 | |||||||||||||
2,080 | CARTER’S, INC. | 181,648 | 179,691 | |||||||||||||
13,473 | CBS CORP., CLASS B (NON VOTING) | 473,967 | 857,152 | |||||||||||||
3,229 | CHARTER COMMUNICATIONS, INC., CLASS A(b) | 121,025 | 929,694 | |||||||||||||
9,400 | CLEAR CHANNEL OUTDOOR HOLDINGS, INC., CLASS A | 2,952 | 47,470 | |||||||||||||
14,667 | COACH, INC. | 365,135 | 513,638 | |||||||||||||
45,223 | COMCAST CORP., CLASS A | 1,664,257 | 3,122,648 | |||||||||||||
1,345 | CST BRANDS, INC. | 11,311 | 64,762 | |||||||||||||
4,600 | D.R. HORTON, INC. | 22,057 | 125,718 | |||||||||||||
3,426 | DARDEN RESTAURANTS, INC. | 109,414 | 249,139 | |||||||||||||
4,599 | DICK’S SPORTING GOODS, INC. | 167,581 | 244,207 | |||||||||||||
3,089 | DOLLAR GENERAL CORP. | 207,226 | 228,802 | |||||||||||||
8,843 | DOLLAR TREE, INC.(b) | 223,214 | 682,503 | |||||||||||||
900 | DOMINO’S PIZZA, INC. | 90,041 | 143,316 | |||||||||||||
2,955 | EXPEDIA, INC. | 207,888 | 334,742 | |||||||||||||
8,243 | FOOT LOCKER, INC. | 331,601 | 584,346 | |||||||||||||
38,163 | FORD MOTOR CO. | 164,117 | 462,917 | |||||||||||||
3,600 | GAMESTOP CORP., CLASS A | 14,505 | 90,936 | |||||||||||||
11,912 | GAP (THE), INC. | 319,041 | 267,305 | |||||||||||||
7,229 | GARMIN LTD.(c) | 282,862 | 350,534 | |||||||||||||
65,420 | GENERAL MOTORS CO. | 1,991,087 | 2,279,233 | |||||||||||||
25,361 | GENTEX CORP. | 276,468 | 499,358 | |||||||||||||
3,450 | GENUINE PARTS CO. | 102,424 | 329,613 | |||||||||||||
1,599 | GOODYEAR TIRE & RUBBER (THE) CO. | 46,171 | 49,361 | |||||||||||||
19,219 | GROUPON, INC.(b) | 70,098 | 63,807 | |||||||||||||
2,000 | HANESBRANDS, INC. | 10,095 | 43,140 | |||||||||||||
7,242 | HARLEY-DAVIDSON, INC. | 68,099 | 422,498 | |||||||||||||
4,300 | HARMAN INTERNATIONAL INDUSTRIES, INC. | 74,798 | 477,988 | |||||||||||||
3,884 | HASBRO, INC. | 281,693 | 302,136 | |||||||||||||
36,720 | HOME DEPOT (THE), INC. | 1,493,768 | 4,923,418 | |||||||||||||
305 | ILG, INC. | 1,053 | 5,542 | |||||||||||||
5,927 | INTERNATIONAL GAME TECHNOLOGY PLC | 168,886 | 151,257 | |||||||||||||
15,600 | INTERPUBLIC GROUP OF (THE) COS., INC. | 40,950 | 365,196 | |||||||||||||
4,469 | J.C. PENNEY CO., INC.(b) | 38,023 | 37,137 | |||||||||||||
564 | JOHN WILEY & SONS, INC., CLASS A | 28,679 | 30,738 | |||||||||||||
64,353 | KOHL’S CORP. | 2,607,169 | 3,177,751 | |||||||||||||
6,190 | L BRANDS, INC. | 70,745 | 407,550 | |||||||||||||
4,983 | LAS VEGAS SANDS CORP. | 158,265 | 266,142 | |||||||||||||
22,875 | LEAR CORP. | 2,607,707 | 3,027,964 | |||||||||||||
3,631 | LEGGETT & PLATT, INC. | 163,555 | 177,483 | |||||||||||||
2,900 | LENNAR CORP., CLASS A | 38,265 | 124,497 | |||||||||||||
783 | LIBERTY BROADBAND CORP., CLASS A(b) | 1,186 | 56,736 | |||||||||||||
1,566 | LIBERTY BROADBAND CORP., CLASS C(b) | 2,222 | 115,994 | |||||||||||||
1,189 | LIBERTY EXPEDIA HOLDINGS, INC., CLASS A(b) | 6,215 | 47,168 | |||||||||||||
5,832 | LIBERTY GLOBAL PLC, CLASS A(b)(c) | 42,377 | 178,401 | |||||||||||||
7,374 | LIBERTY GLOBAL PLC, SERIES C(b)(c) | 51,974 | 219,008 | |||||||||||||
9,800 | LIBERTY INTERACTIVE CORP. QVC GROUP, CLASS A(b) | 22,847 | 195,804 | |||||||||||||
313 | LIBERTY MEDIA CORP.-LIBERTY BRAVES, CLASS A(b) | 345 | 6,413 | |||||||||||||
626 | LIBERTY MEDIA CORP.-LIBERTY BRAVES, CLASS C(b) | 492 | 12,889 | |||||||||||||
783 | LIBERTY MEDIA CORP.-LIBERTY MEDIA, CLASS A(b) | 658 | 24,547 | |||||||||||||
1,566 | LIBERTY MEDIA CORP.-LIBERTY MEDIA, CLASS C(b) | 1,276 | 49,063 | |||||||||||||
3,132 | LIBERTY MEDIA CORP.-LIBERTY SIRIUSXM, CLASS A(b) | 2,687 | 108,117 | |||||||||||||
6,264 | LIBERTY MEDIA CORP.-LIBERTY SIRIUSXM, CLASS C(b) | 5,109 | 212,475 | |||||||||||||
1,080 | LIBERTY TRIPADVISOR HOLDINGS, INC., CLASS A(b) | 3,377 | 16,254 | |||||||||||||
1,783 | LIBERTY VENTURES, SERIES A(b) | 7,986 | 65,739 |
See accompanying notes to the financial statements. | 28 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Consumer Discretionary (Cont’d): | ||||||||||||||||
2,665 | LKQ CORP.(b) | $ | 61,727 | 81,682 | ||||||||||||
4,500 | LOWE’S COS., INC. | 104,595 | 320,040 | |||||||||||||
45,127 | MACY’S, INC. | 1,684,330 | 1,615,998 | |||||||||||||
20,440 | MARRIOTT INTERNATIONAL, INC., CLASS A | 1,068,488 | 1,689,979 | |||||||||||||
496 | MARRIOTT VACATIONS WORLDWIDE CORP. | 3,643 | 42,086 | |||||||||||||
11,913 | MATTEL, INC. | 372,418 | 328,203 | |||||||||||||
30,777 | MCDONALD’S CORP. | 2,790,690 | 3,746,176 | |||||||||||||
6,600 | MGM RESORTS INTERNATIONAL(b) | 54,921 | 190,278 | |||||||||||||
29,392 | MICHAEL KORS HOLDINGS LTD.(b)(c) | 1,369,255 | 1,263,268 | |||||||||||||
2,099 | MICHAELS (THE) COS., INC.(b) | 45,372 | 42,925 | |||||||||||||
600 | MOHAWK INDUSTRIES, INC.(b) | 26,796 | 119,808 | |||||||||||||
2,049 | MURPHY USA, INC.(b) | 104,617 | 125,952 | |||||||||||||
4,900 | NETFLIX, INC.(b) | 41,142 | 606,620 | |||||||||||||
4,915 | NEWELL BRANDS, INC. | 52,223 | 219,455 | |||||||||||||
2,375 | NEWS CORP., CLASS A | 7,170 | 27,218 | |||||||||||||
19,544 | NIKE, INC., CLASS B | 354,890 | 993,422 | |||||||||||||
4,300 | NORDSTROM, INC. | 45,233 | 206,099 | |||||||||||||
117 | NVR, INC.(b) | 154,454 | 195,273 | |||||||||||||
9,561 | OMNICOM GROUP, INC. | 649,940 | 813,737 | |||||||||||||
2,251 | O’REILLY AUTOMOTIVE, INC.(b) | 290,427 | 626,701 | |||||||||||||
1,500 | PANERA BREAD CO., CLASS A(b) | 69,667 | 307,635 | |||||||||||||
370 | POOL CORP. | 34,226 | 38,606 | |||||||||||||
600 | PRICELINE GROUP (THE), INC.(b) | 55,053 | 879,636 | |||||||||||||
14,100 | PULTEGROUP, INC. | 58,797 | 259,158 | |||||||||||||
2,464 | PVH CORP. | 205,689 | 222,351 | |||||||||||||
2,851 | RALPH LAUREN CORP. | 166,783 | 257,502 | |||||||||||||
16,181 | ROSS STORES, INC. | 406,362 | 1,061,474 | |||||||||||||
3,903 | ROYAL CARIBBEAN CRUISES LTD. | 83,046 | 320,202 | |||||||||||||
4,483 | SALLY BEAUTY HOLDINGS, INC.(b) | 115,208 | 118,441 | |||||||||||||
3,846 | SCRIPPS NETWORKS INTERACTIVE, INC., CLASS A | 245,756 | 274,489 | |||||||||||||
689 | SIX FLAGS ENTERTAINMENT CORP. | 38,181 | 41,312 | |||||||||||||
28,500 | STARBUCKS CORP. | 182,045 | 1,582,320 | |||||||||||||
34,087 | TARGET CORP. | 2,001,516 | 2,462,104 | |||||||||||||
5,700 | TEGNA, INC. | 40,935 | 121,923 | |||||||||||||
860 | TESLA MOTORS, INC.(b) | 22,377 | 183,773 | |||||||||||||
4,136 | THOR INDUSTRIES, INC. | 148,062 | 413,807 | |||||||||||||
1,400 | TIFFANY & CO. | 35,210 | 108,402 | |||||||||||||
14,233 | TIME WARNER, INC. | 283,582 | 1,373,911 | |||||||||||||
1,829 | TIME, INC. | 12,640 | 32,648 | |||||||||||||
11,706 | TJX (THE) COS., INC. | 194,755 | 879,472 | |||||||||||||
1,466 | TOPBUILD CORP.(b) | 11,809 | 52,190 | |||||||||||||
810 | TRIPADVISOR, INC.(b) | 13,993 | 37,560 | |||||||||||||
2,387 | TUPPERWARE BRANDS CORP. | 142,995 | 125,604 | |||||||||||||
12,400 | TWENTY-FIRST CENTURY FOX, INC., CLASS A | 79,285 | 347,696 | |||||||||||||
730 | ULTA SALON COSMETICS & FRAGRANCE, INC.(b) | 109,768 | 186,106 | |||||||||||||
800 | UNDER ARMOUR, INC., CLASS A(b) | 9,641 | 23,240 | |||||||||||||
906 | UNDER ARMOUR, INC., CLASS C(b) | 10,146 | 22,804 | |||||||||||||
6,165 | URBAN OUTFITTERS, INC.(b) | 196,774 | 175,579 | |||||||||||||
6,800 | VF CORP. | 87,065 | 362,780 | |||||||||||||
1,400 | VISTA OUTDOOR, INC.(b) | 52,897 | 51,660 | |||||||||||||
27,560 | WALT DISNEY (THE) CO. | 532,656 | 2,872,303 | |||||||||||||
2,100 | WHIRLPOOL CORP. | 89,510 | 381,717 | |||||||||||||
5,475 | WYNDHAM WORLDWIDE CORP. | 24,501 | 418,126 | |||||||||||||
1,600 | WYNN RESORTS LTD. | 32,322 | 138,416 | |||||||||||||
9,016 | YUM CHINA HOLDINGS, INC.(b) | 22,147 | 235,498 | |||||||||||||
18,689 | YUM! BRANDS, INC. | 657,807 | 1,183,574 | |||||||||||||
35,530,337 | 68,940,215 | 14.78 | % | |||||||||||||
Consumer Staples: | ||||||||||||||||
37,440 | ALTRIA GROUP, INC. | 786,272 | 2,531,693 | |||||||||||||
10,300 | ARCHER-DANIELS-MIDLAND CO. | 188,618 | 470,195 | |||||||||||||
5,832 | BROWN-FORMAN CORP., CLASS B | 57,343 | 261,973 | |||||||||||||
615 | CASEY’S GENERAL STORES, INC. | 70,706 | 73,111 | |||||||||||||
8,000 | CHURCH & DWIGHT CO., INC. | 100,310 | 353,520 | |||||||||||||
6,276 | CLOROX (THE) CO. | 777,441 | 753,245 | |||||||||||||
57,881 | COCA-COLA (THE) CO. | 869,464 | 2,399,746 | |||||||||||||
6,080 | COLGATE-PALMOLIVE CO. | 172,111 | 397,875 | |||||||||||||
1,900 | CONAGRA BRANDS, INC. | 26,152 | 75,145 |
See accompanying notes to the financial statements. | 29 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Consumer Staples (Cont’d): | ||||||||||||||||
4,600 | CONSTELLATION BRANDS, INC., CLASS A | $ | 63,227 | 705,226 | ||||||||||||
8,172 | COSTCO WHOLESALE CORP. | 290,372 | 1,308,419 | |||||||||||||
4,100 | COTY, INC., CLASS A | 79,479 | 75,071 | |||||||||||||
7,625 | CVS HEALTH CORP. | 236,748 | 601,689 | |||||||||||||
23,383 | DR. PEPPER SNAPPLE GROUP, INC. | 1,496,163 | 2,120,137 | |||||||||||||
2,391 | ENERGIZER HOLDINGS, INC. | 112,183 | 106,662 | |||||||||||||
3,734 | ESTEE LAUDER (THE) COS., INC., CLASS A | 70,943 | 285,614 | |||||||||||||
16,668 | GENERAL MILLS, INC. | 540,715 | 1,029,582 | |||||||||||||
3,300 | HERBALIFE LTD.(b) | 45,262 | 158,862 | |||||||||||||
1,642 | HERSHEY (THE) CO. | 60,568 | 169,832 | |||||||||||||
6,002 | HORMEL FOODS CORP. | 86,512 | 208,930 | |||||||||||||
19,715 | INGREDION, INC. | 2,197,661 | 2,463,587 | |||||||||||||
5,953 | JM SMUCKER (THE) CO. | 636,251 | 762,341 | |||||||||||||
1,550 | KIMBERLY-CLARK CORP. | 69,760 | 176,886 | |||||||||||||
5,579 | KRAFT HEINZ (THE) CO. | 34,550 | 487,158 | |||||||||||||
26,800 | KROGER (THE) CO. | 228,089 | 924,868 | |||||||||||||
633 | LAMB WESTON HOLDINGS, INC.(b) | 7,452 | 23,959 | |||||||||||||
700 | MCCORMICK & CO., INC. (NON VOTING) | 21,613 | 65,331 | |||||||||||||
4,114 | MOLSON COORS BREWING CO., CLASS B | 258,129 | 400,333 | |||||||||||||
22,232 | MONDELEZ INTERNATIONAL, INC., CLASS A | 177,099 | 985,545 | |||||||||||||
6,654 | MONSTER BEVERAGE CORP.(b) | 172,029 | 295,038 | |||||||||||||
4,924 | NU SKIN ENTERPRISES, INC., CLASS A | 174,547 | 235,269 | |||||||||||||
13,282 | PEPSICO, INC. | 757,191 | 1,389,695 | |||||||||||||
28,832 | PHILIP MORRIS INTERNATIONAL, INC. | 248,821 | 2,637,840 | |||||||||||||
5,633 | PILGRIM’S PRIDE CORP. | 121,798 | 106,971 | |||||||||||||
6,000 | PINNACLE FOODS, INC. | 219,854 | 320,700 | |||||||||||||
701 | POST HOLDINGS, INC.(b) | 42,673 | 56,353 | |||||||||||||
52,442 | PROCTER & GAMBLE (THE) CO. | 1,989,936 | 4,409,324 | |||||||||||||
5,596 | REYNOLDS AMERICAN, INC. | 27,316 | 313,600 | |||||||||||||
1,900 | SPECTRUM BRANDS HOLDINGS, INC. | 176,648 | 232,427 | |||||||||||||
1,963 | SPROUTS FARMERS MARKET, INC.(b) | 43,420 | 37,140 | |||||||||||||
42,883 | SYSCO CORP. | 1,915,880 | 2,374,431 | |||||||||||||
10,601 | TYSON FOODS, INC., CLASS A | 237,958 | 653,870 | |||||||||||||
19,650 | WALGREENS BOOTS ALLIANCE, INC. | 224,986 | 1,626,234 | |||||||||||||
10,103 | WAL-MART STORES, INC. | 649,029 | 698,320 | |||||||||||||
12,390 | WHOLE FOODS MARKET, INC. | 271,233 | 381,116 | |||||||||||||
17,034,512 | 36,144,863 | 7.75 | % | |||||||||||||
Energy: | ||||||||||||||||
3,346 | ANADARKO PETROLEUM CORP. | 58,107 | 233,317 | |||||||||||||
500 | APACHE CORP. | 18,831 | 31,735 | |||||||||||||
1,800 | BAKER HUGHES, INC. | 83,788 | 116,946 | |||||||||||||
56 | CALIFORNIA RESOURCES CORP.(b) | 22 | 1,192 | |||||||||||||
9,400 | CHESAPEAKE ENERGY CORP.(b) | 48,316 | 65,988 | |||||||||||||
32,795 | CHEVRON CORP. | 1,428,027 | 3,859,972 | |||||||||||||
500 | CIMAREX ENERGY CO. | 32,151 | 67,950 | |||||||||||||
6,643 | CNOOC LTD. ADR(c)(d) | 668,354 | 823,466 | |||||||||||||
1,700 | CONCHO RESOURCES, INC.(b) | 49,631 | 225,420 | |||||||||||||
23,044 | CONOCOPHILLIPS | 383,142 | 1,155,426 | |||||||||||||
3,600 | CONSOL ENERGY, INC. | 30,888 | 65,628 | |||||||||||||
2,000 | CONTINENTAL RESOURCES, INC.(b) | 20,765 | 103,080 | |||||||||||||
2,600 | DIAMOND OFFSHORE DRILLING, INC.(b) | 50,336 | 46,020 | |||||||||||||
6,000 | DIAMONDBACK ENERGY, INC.(b) | 570,297 | 606,360 | |||||||||||||
1,300 | ENERGEN CORP.(b) | 44,343 | 74,971 | |||||||||||||
9,600 | EOG RESOURCES, INC. | 62,765 | 970,560 | |||||||||||||
4,000 | EQT CORP. | 132,900 | 261,600 | |||||||||||||
43,651 | EXXON MOBIL CORP. | 1,662,337 | 3,939,939 | |||||||||||||
2,400 | FMC TECHNOLOGIES, INC.(b) | 33,690 | 85,272 | |||||||||||||
24,100 | GULFPORT ENERGY CORP.(b) | 565,788 | 521,524 | |||||||||||||
10,158 | HALLIBURTON CO. | 138,080 | 549,446 | |||||||||||||
3,100 | HELMERICH & PAYNE, INC. | 39,003 | 239,940 | |||||||||||||
2,400 | HOLLYFRONTIER CORP. | 22,578 | 78,624 | |||||||||||||
7,312 | KINDER MORGAN, INC. | 64,699 | 151,432 | |||||||||||||
2,900 | LAREDO PETROLEUM, INC.(b) | 31,813 | 41,006 | |||||||||||||
9,230 | MARATHON PETROLEUM CORP. | 345,489 | 464,730 | |||||||||||||
3,000 | MURPHY OIL CORP. | 39,255 | 93,390 | |||||||||||||
1,714 | NABORS INDUSTRIES LTD. | 28,070 | 28,110 | |||||||||||||
32,061 | NATIONAL OILWELL VARCO, INC. | 986,702 | 1,200,364 |
See accompanying notes to the financial statements. | 30 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Energy (Cont’d): | ||||||||||||||||
5,702 | NEWFIELD EXPLORATION CO.(b) | $ | 166,375 | 230,931 | ||||||||||||
7,700 | NOBLE CORP. PLC(c) | 50,127 | 45,584 | |||||||||||||
3,800 | NOBLE ENERGY, INC. | 20,499 | 144,628 | |||||||||||||
6,000 | OCCIDENTAL PETROLEUM CORP. | 54,261 | 427,380 | |||||||||||||
2,000 | ONEOK, INC. | 27,592 | 114,820 | |||||||||||||
17,696 | PATTERSON-UTI ENERGY, INC. | 254,139 | 476,376 | |||||||||||||
18,181 | PHILLIPS 66 | 533,530 | 1,571,020 | |||||||||||||
3,200 | PIONEER NATURAL RESOURCES CO. | 48,507 | 576,224 | |||||||||||||
2,100 | QEP RESOURCES, INC.(b) | 28,224 | 38,661 | |||||||||||||
1,310 | RICE ENERGY, INC.(b) | 28,629 | 27,968 | |||||||||||||
1,457 | ROWAN COS. PLC, CLASS A(b) | 28,249 | 27,523 | |||||||||||||
15,436 | SCHLUMBERGER LTD. | 388,361 | 1,295,852 | |||||||||||||
1,400 | SM ENERGY CO. | 27,342 | 48,272 | |||||||||||||
3,400 | SOUTHWESTERN ENERGY CO.(b) | 26,758 | 36,788 | |||||||||||||
9,954 | SPECTRA ENERGY CORP. | 137,808 | 409,010 | |||||||||||||
1,100 | TARGA RESOURCES CORP. | 29,491 | 61,677 | |||||||||||||
31,831 | TESORO CORP. | 2,524,872 | 2,783,621 | |||||||||||||
4,400 | TRANSOCEAN LTD.(b)(c) | 65,692 | 64,856 | |||||||||||||
67,868 | VALERO ENERGY CORP. | 3,217,924 | 4,636,742 | |||||||||||||
3,300 | WHITING PETROLEUM CORP.(b) | 26,631 | 39,666 | |||||||||||||
870 | WORLD FUEL SERVICES CORP. | 39,979 | 39,942 | |||||||||||||
5,200 | WPX ENERGY, INC.(b) | 50,544 | 75,764 | |||||||||||||
15,415,701 | 29,276,713 | 6.28 | % | |||||||||||||
Financials: | ||||||||||||||||
50,806 | AEGON N.V. (REGISTERED)(c) | 279,494 | 280,957 | |||||||||||||
600 | AFFILIATED MANAGERS GROUP, INC.(b) | 35,023 | 87,180 | |||||||||||||
11,757 | AFLAC, INC. | 621,464 | 818,287 | |||||||||||||
500 | ALLEGHANY CORP.(b) | 140,685 | 304,060 | |||||||||||||
20,390 | ALLIANZ S.E. ADR(c)(d) | 310,533 | 336,027 | |||||||||||||
8,100 | ALLIED WORLD ASSURANCE CO. HOLDINGS A.G.(c) | 86,629 | 435,051 | |||||||||||||
28,753 | ALLSTATE (THE) CORP. | 1,505,142 | 2,131,172 | |||||||||||||
10,133 | AMERICAN EXPRESS CO. | 257,999 | 750,653 | |||||||||||||
4,900 | AMERICAN FINANCIAL GROUP, INC. | 220,290 | 431,788 | |||||||||||||
15,268 | AMERICAN INTERNATIONAL GROUP, INC. | 603,389 | 997,153 | |||||||||||||
23,841 | AMERIPRISE FINANCIAL, INC. | 2,059,682 | 2,644,921 | |||||||||||||
5,829 | AON PLC(c) | 230,910 | 650,108 | |||||||||||||
9,843 | ARCH CAPITAL GROUP LTD.(b)(c) | 475,417 | 849,352 | |||||||||||||
1,600 | ARTHUR J. GALLAGHER & CO. | 34,040 | 83,136 | |||||||||||||
3,116 | ASSOCIATED BANC-CORP | 61,095 | 76,965 | |||||||||||||
4,900 | ASSURANT, INC. | 218,575 | 455,014 | |||||||||||||
14,090 | ASSURED GUARANTY LTD.(c) | 367,190 | 532,179 | |||||||||||||
24,328 | AXA S.A. ADR(c)(d) | 491,239 | 613,066 | |||||||||||||
4,327 | AXIS CAPITAL HOLDINGS LTD.(c) | 209,054 | 282,423 | |||||||||||||
202,767 | BANK OF AMERICA CORP. | 2,094,278 | 4,481,151 | |||||||||||||
11,957 | BANK OF NEW YORK MELLON (THE) CORP. | 299,377 | 566,523 | |||||||||||||
11,991 | BB&T CORP. | 367,317 | 563,817 | |||||||||||||
31,431 | BERKSHIRE HATHAWAY, INC., CLASS B(b) | 3,682,535 | 5,122,624 | |||||||||||||
11,040 | CAPITAL ONE FINANCIAL CORP. | 402,176 | 963,130 | |||||||||||||
21,400 | CHARLES SCHWAB (THE) CORP. | 186,608 | 844,658 | |||||||||||||
6,400 | CHUBB LTD.(c) | 606,479 | 845,568 | |||||||||||||
28,445 | CINCINNATI FINANCIAL CORP. | 1,897,056 | 2,154,709 | |||||||||||||
18,281 | CITIGROUP, INC. | 630,914 | 1,086,440 | |||||||||||||
5,929 | CITIZENS FINANCIAL GROUP, INC. | 206,596 | 211,250 | |||||||||||||
3,385 | CME GROUP, INC. | 342,594 | 390,460 | |||||||||||||
707 | COMERICA, INC. | 48,979 | 48,154 | |||||||||||||
500 | CREDIT ACCEPTANCE CORP.(b) | 86,421 | 108,755 | |||||||||||||
23,154 | DISCOVER FINANCIAL SERVICES | 661,472 | 1,669,172 | |||||||||||||
7,339 | E*TRADE FINANCIAL CORP.(b) | 86,904 | 254,296 | |||||||||||||
900 | ENDURANCE SPECIALTY HOLDINGS LTD.(c) | 25,105 | 83,160 | |||||||||||||
1,649 | EVEREST RE GROUP LTD.(c) | 296,126 | 356,844 | |||||||||||||
44,943 | FIFTH THIRD BANCORP | 694,227 | 1,212,113 | |||||||||||||
400 | FIRST CITIZENS BANCSHARES, INC., CLASS A | 57,523 | 142,000 | |||||||||||||
36,400 | FIRST HORIZON NATIONAL CORP. | 273,237 | 728,364 | |||||||||||||
1,863 | FNF GROUP | 21,555 | 63,267 | |||||||||||||
620 | FNFV GROUP(b) | 2,893 | 8,494 | |||||||||||||
8,577 | FRANKLIN RESOURCES, INC. | 158,011 | 339,478 | |||||||||||||
8,500 | GOLDMAN SACHS GROUP (THE), INC. | 723,237 | 2,035,325 |
See accompanying notes to the financial statements. | 31 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Financials (Cont’d): | ||||||||||||||||
3,000 | HANOVER INSURANCE GROUP (THE), INC. | $ | 215,948 | 273,030 | ||||||||||||
45,927 | HARTFORD FINANCIAL SERVICES GROUP (THE), INC. | 1,880,708 | 2,188,422 | |||||||||||||
45,100 | HUNTINGTON BANCSHARES, INC. | 273,731 | 596,222 | |||||||||||||
505 | INTERCONTINENTAL EXCHANGE, INC. | 12,819 | 28,492 | |||||||||||||
2,700 | INVESCO LTD. | 32,170 | 81,918 | |||||||||||||
33,700 | JANUS CAPITAL GROUP, INC. | 222,792 | 447,199 | |||||||||||||
87,697 | JPMORGAN CHASE & CO. | 3,636,288 | 7,567,374 | |||||||||||||
15,243 | KEYCORP | 183,009 | 278,490 | |||||||||||||
3,752 | LEGG MASON, INC. | 52,584 | 112,222 | |||||||||||||
21,812 | LINCOLN NATIONAL CORP. | 1,090,438 | 1,445,481 | |||||||||||||
1,300 | LOEWS CORP. | 10,310 | 60,879 | |||||||||||||
2,482 | M&T BANK CORP. | 387,425 | 388,259 | |||||||||||||
200 | MARKEL CORP.(b) | 67,789 | 180,900 | |||||||||||||
12,691 | MARSH & MCLENNAN COS., INC. | 707,260 | 857,785 | |||||||||||||
1,300 | MERCURY GENERAL CORP. | 38,018 | 78,273 | |||||||||||||
36,430 | METLIFE, INC. | 1,552,807 | 1,963,213 | |||||||||||||
2,200 | MOODY’S CORP. | 77,502 | 207,394 | |||||||||||||
23,488 | MORGAN STANLEY | 527,137 | 992,368 | |||||||||||||
16,662 | MSCI, INC. | 1,181,714 | 1,312,632 | |||||||||||||
5,900 | NASDAQ, INC. | 240,309 | 396,008 | |||||||||||||
25,914 | NAVIENT CORP. | 273,025 | 425,767 | |||||||||||||
4,539 | PACWEST BANCORP | 65,912 | 247,103 | |||||||||||||
14,721 | PNC FINANCIAL SERVICES GROUP (THE), INC. | 999,199 | 1,721,768 | |||||||||||||
8,040 | POPULAR, INC.(c) | 229,520 | 352,313 | |||||||||||||
5,628 | PRINCIPAL FINANCIAL GROUP, INC. | 175,248 | 325,636 | |||||||||||||
1,200 | PROASSURANCE CORP. | 63,041 | 67,440 | |||||||||||||
21,221 | PROGRESSIVE (THE) CORP. | 523,891 | 753,346 | |||||||||||||
25,500 | PRUDENTIAL FINANCIAL, INC. | 1,755,712 | 2,653,530 | |||||||||||||
38,253 | REGIONS FINANCIAL CORP. | 407,378 | 549,313 | |||||||||||||
3,371 | REINSURANCE GROUP OF AMERICA, INC. | 296,860 | 424,173 | |||||||||||||
1,379 | RENAISSANCERE HOLDINGS LTD.(c) | 146,120 | 187,847 | |||||||||||||
3,151 | ROYAL BANK OF CANADA(c) | 75,539 | 213,354 | |||||||||||||
3,600 | S&P GLOBAL, INC. | 84,305 | 387,144 | |||||||||||||
7,500 | SEI INVESTMENTS CO. | 108,537 | 370,200 | |||||||||||||
10,100 | SLM CORP.(b) | 36,679 | 111,302 | |||||||||||||
177,862 | SOCIETE GENERALE S.A. ADR(c)(d) | 1,281,507 | 1,746,605 | |||||||||||||
359 | STATE STREET CORP. | 28,221 | 27,901 | |||||||||||||
13,722 | SUNTRUST BANKS, INC. | 405,753 | 752,652 | |||||||||||||
30,331 | SWISS RE A.G. ADR(c)(d) | 671,137 | 720,665 | |||||||||||||
766 | SYNCHRONY FINANCIAL | 28,223 | 27,783 | |||||||||||||
4,704 | SYNOVUS FINANCIAL CORP. | 83,310 | 193,240 | |||||||||||||
6,349 | T. ROWE PRICE GROUP, INC. | 125,884 | 477,826 | |||||||||||||
5,800 | TCF FINANCIAL CORP. | 51,852 | 113,622 | |||||||||||||
2,600 | TFS FINANCIAL CORP. | 25,038 | 49,504 | |||||||||||||
2,468 | TORCHMARK CORP. | 145,321 | 182,040 | |||||||||||||
23,807 | TRAVELERS (THE) COS., INC. | 1,850,935 | 2,914,453 | |||||||||||||
50,038 | UNUM GROUP | 1,803,757 | 2,198,169 | |||||||||||||
28,219 | US BANCORP | 838,018 | 1,449,610 | |||||||||||||
6,518 | VALIDUS HOLDINGS LTD.(c) | 251,458 | 358,555 | |||||||||||||
1,800 | WASHINGTON FEDERAL, INC. | 23,535 | 61,830 | |||||||||||||
77,145 | WELLS FARGO & CO. | 942,151 | 4,251,461 | |||||||||||||
300 | WHITE MOUNTAINS INSURANCE GROUP LTD. | 194,754 | 250,815 | |||||||||||||
6,106 | WR BERKLEY CORP. | 273,043 | 406,110 | |||||||||||||
4,008 | ZIONS BANCORPORATION | 111,016 | 172,504 | |||||||||||||
48,826,107 | 81,641,386 | 17.50 | % | |||||||||||||
Health Care: | ||||||||||||||||
8,535 | ABBOTT LABORATORIES | 131,963 | 327,829 | |||||||||||||
12,835 | ABBVIE, INC. | 229,019 | 803,728 | |||||||||||||
8,291 | AETNA, INC. | 427,221 | 1,028,167 | |||||||||||||
4,120 | AGILENT TECHNOLOGIES, INC. | 181,587 | 187,707 | |||||||||||||
3,000 | ALEXION PHARMACEUTICALS, INC.(b) | 58,087 | 367,050 | |||||||||||||
737 | ALIGN TECHNOLOGY, INC.(b) | 64,241 | 70,848 | |||||||||||||
4,359 | ALLERGAN PLC(b) | 128,625 | 915,434 | |||||||||||||
4,700 | ALLSCRIPTS HEALTHCARE SOLUTIONS, INC.(b) | 50,008 | 47,987 | |||||||||||||
7,200 | AMERISOURCEBERGEN CORP. | 115,968 | 562,968 | |||||||||||||
20,454 | AMGEN, INC. | 770,397 | 2,990,579 | |||||||||||||
7,749 | ANTHEM, INC. | 269,791 | 1,114,074 |
See accompanying notes to the financial statements. | 32 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Health Care (Cont’d): | ||||||||||||||||
8,439 | BAXTER INTERNATIONAL, INC. | $ | 397,601 | 374,185 | ||||||||||||
3,530 | BECTON DICKINSON AND CO. | 355,325 | 584,392 | |||||||||||||
6,084 | BIOGEN, INC.(b) | 317,378 | 1,725,301 | |||||||||||||
32,800 | BOSTON SCIENTIFIC CORP.(b) | 182,160 | 709,464 | |||||||||||||
21,700 | BRISTOL-MYERS SQUIBB CO. | 613,259 | 1,268,148 | |||||||||||||
2,145 | BRUKER CORP. | 43,219 | 45,431 | |||||||||||||
5,828 | C.R. BARD, INC. | 913,874 | 1,309,318 | |||||||||||||
1,000 | CARDINAL HEALTH, INC. | 26,001 | 71,970 | |||||||||||||
12,872 | CELGENE CORP.(b) | 146,839 | 1,489,934 | |||||||||||||
1,852 | CENTENE CORP.(b) | 106,465 | 104,657 | |||||||||||||
3,600 | CERNER CORP.(b) | 40,603 | 170,532 | |||||||||||||
5,700 | CIGNA CORP. | 89,680 | 760,323 | |||||||||||||
18,843 | DANAHER CORP. | 790,752 | 1,466,739 | |||||||||||||
2,850 | DAVITA, INC.(b) | 21,812 | 182,970 | |||||||||||||
11,687 | DENTSPLY SIRONA, INC. | 527,125 | 674,690 | |||||||||||||
10,162 | EDWARDS LIFESCIENCES CORP.(b) | 307,446 | 952,179 | |||||||||||||
9,294 | ELI LILLY & CO. | 400,623 | 683,574 | |||||||||||||
20,696 | EXPRESS SCRIPTS HOLDING CO.(b) | 611,746 | 1,423,678 | |||||||||||||
40,489 | GILEAD SCIENCES, INC. | 1,274,558 | 2,899,417 | |||||||||||||
193 | HALYARD HEALTH, INC.(b) | 3,014 | 7,137 | |||||||||||||
2,341 | HENRY SCHEIN, INC.(b) | 154,657 | 355,153 | |||||||||||||
6,608 | HOLOGIC, INC.(b) | 92,603 | 265,113 | |||||||||||||
3,900 | HUMANA, INC. | 39,107 | 795,717 | |||||||||||||
13,909 | IDEXX LABORATORIES, INC.(b) | 1,290,247 | 1,631,108 | |||||||||||||
2,300 | ILLUMINA, INC.(b) | 98,233 | 294,492 | |||||||||||||
154 | INTUITIVE SURGICAL, INC.(b) | 100,629 | 97,662 | |||||||||||||
41,461 | JOHNSON & JOHNSON | 3,425,444 | 4,776,722 | |||||||||||||
1,360 | LABORATORY CORP. OF AMERICA HOLDINGS(b) | 117,456 | 174,597 | |||||||||||||
903 | MALLINCKRODT PLC(b) | 56,066 | 44,987 | |||||||||||||
5,700 | MCKESSON CORP. | 202,596 | 800,565 | |||||||||||||
540 | MEDTRONIC PLC(c) | 39,309 | 38,464 | |||||||||||||
48,185 | MERCK & CO., INC. | 1,277,400 | 2,836,651 | |||||||||||||
1,417 | METTLER-TOLEDO INTERNATIONAL, INC.(b) | 132,234 | 593,100 | |||||||||||||
1,600 | PATTERSON COS., INC. | 29,864 | 65,648 | |||||||||||||
3,400 | PERKINELMER, INC. | 53,706 | 177,310 | |||||||||||||
600 | PERRIGO CO. PLC(c) | 49,572 | 49,938 | |||||||||||||
90,880 | PFIZER, INC. | 853,722 | 2,951,782 | |||||||||||||
6,346 | QUEST DIAGNOSTICS, INC. | 517,028 | 583,197 | |||||||||||||
1,861 | QUINTILES IMS HOLDINGS, INC.(b) | 112,204 | 141,529 | |||||||||||||
4,791 | RESMED, INC. | 129,046 | 297,282 | |||||||||||||
4,539 | ST. JUDE MEDICAL, INC. | 114,088 | 363,982 | |||||||||||||
4,700 | STRYKER CORP. | 18,139 | 563,107 | |||||||||||||
1,300 | TELEFLEX, INC. | 66,613 | 209,495 | |||||||||||||
6,700 | THERMO FISHER SCIENTIFIC, INC. | 138,727 | 945,370 | |||||||||||||
320 | UNITED THERAPEUTICS CORP.(b) | 39,095 | 45,898 | |||||||||||||
24,201 | UNITEDHEALTH GROUP, INC. | 1,417,209 | 3,873,128 | |||||||||||||
3,936 | UNIVERSAL HEALTH SERVICES, INC., CLASS B | 239,148 | 418,712 | |||||||||||||
5,199 | VARIAN MEDICAL SYSTEMS, INC.(b) | 217,945 | 466,766 | |||||||||||||
962 | VCA, INC.(b) | 50,899 | 66,041 | |||||||||||||
1,445 | VEEVA SYSTEMS, INC., CLASS A(b) | 55,063 | 58,812 | |||||||||||||
900 | VERTEX PHARMACEUTICALS, INC.(b) | 22,441 | 66,303 | |||||||||||||
4,379 | WATERS CORP.(b) | 321,839 | 588,494 | |||||||||||||
4,304 | ZIMMER BIOMET HOLDINGS, INC. | 233,961 | 444,173 | |||||||||||||
21,302,677 | 50,401,708 | 10.80 | % | |||||||||||||
Industrials: | ||||||||||||||||
6,987 | 3M CO. | 417,187 | 1,247,669 | |||||||||||||
4,565 | A.O. SMITH CORP. | 187,414 | 216,153 | |||||||||||||
38,320 | ABB LTD. ADR(b)(c)(d) | 838,528 | 807,402 | |||||||||||||
923 | ACCO BRANDS CORP.(b) | 3,137 | 12,045 | |||||||||||||
665 | ACUITY BRANDS, INC. | 145,308 | 153,522 | |||||||||||||
1,657 | AECOM(b) | 48,445 | 60,249 | |||||||||||||
4,642 | AGCO CORP. | 225,963 | 268,586 | |||||||||||||
900 | AIR LEASE CORP. | 17,685 | 30,897 | |||||||||||||
4,088 | ALASKA AIR GROUP, INC. | 273,119 | 362,728 | |||||||||||||
1,533 | ALLEGION PLC(c) | 40,913 | 98,112 | |||||||||||||
400 | AMERCO | 120,202 | 147,836 | |||||||||||||
31,039 | AMERICAN AIRLINES GROUP, INC. | 1,110,907 | 1,449,211 | |||||||||||||
5,175 | AMETEK, INC. | 73,221 | 251,505 |
See accompanying notes to the financial statements. | 33 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Industrials (Cont’d): | ||||||||||||||||
1,700 | B/E AEROSPACE, INC. | $ | 34,478 | 102,323 | ||||||||||||
19,374 | BOEING (THE) CO. | 777,977 | 3,016,144 | |||||||||||||
5,205 | BWX TECHNOLOGIES, INC. | 145,980 | 206,639 | |||||||||||||
3,405 | CARLISLE COS., INC. | 156,546 | 375,537 | |||||||||||||
10,504 | CATERPILLAR, INC. | 272,491 | 974,141 | |||||||||||||
11,388 | CINTAS CORP. | 1,031,717 | 1,315,997 | |||||||||||||
6,001 | CRANE CO. | 207,659 | 432,792 | |||||||||||||
31,624 | CSX CORP. | 234,515 | 1,136,250 | |||||||||||||
7,101 | CUMMINS, INC. | 497,031 | 970,494 | |||||||||||||
7,300 | DEERE & CO. | 199,160 | 752,192 | |||||||||||||
77,697 | DELTA AIR LINES, INC. | 2,965,968 | 3,821,915 | |||||||||||||
3,195 | DONALDSON CO., INC. | 117,473 | 134,446 | |||||||||||||
1,525 | DOVER CORP. | 40,758 | 114,268 | |||||||||||||
2,379 | DUN & BRADSTREET (THE) CORP. | 97,918 | 288,620 | |||||||||||||
16,537 | EATON CORP. PLC | 619,090 | 1,109,467 | |||||||||||||
3,766 | EQUIFAX, INC. | 389,116 | 445,254 | |||||||||||||
2,280 | EXPEDITORS INTERNATIONAL OF WASHINGTON, INC. | 112,692 | 120,749 | |||||||||||||
9,123 | FEDEX CORP. | 573,731 | 1,698,703 | |||||||||||||
5,271 | FLUOR CORP. | 195,376 | 276,833 | |||||||||||||
6,209 | FORTIVE CORP. | 90,098 | 332,989 | |||||||||||||
4,300 | FORTUNE BRANDS HOME & SECURITY, INC. | 33,889 | 229,878 | |||||||||||||
1,400 | GATX CORP. | 24,276 | 86,212 | |||||||||||||
2,128 | GENERAL DYNAMICS CORP. | 296,250 | 367,421 | |||||||||||||
88,180 | GENERAL ELECTRIC CO. | 1,377,356 | 2,786,488 | |||||||||||||
3,752 | HD SUPPLY HOLDINGS, INC.(b) | 114,664 | 159,498 | |||||||||||||
360 | HERC HOLDINGS, INC.(b) | 5,808 | 14,458 | |||||||||||||
9,188 | HONEYWELL INTERNATIONAL, INC. | 277,615 | 1,064,430 | |||||||||||||
2,299 | HUBBELL, INC. | 159,480 | 268,293 | |||||||||||||
6,103 | HUNTINGTON INGALLS INDUSTRIES, INC. | 920,563 | 1,124,112 | |||||||||||||
3,871 | IDEX CORP. | 178,041 | 348,622 | |||||||||||||
21,789 | ILLINOIS TOOL WORKS, INC. | 1,688,136 | 2,668,281 | |||||||||||||
10,505 | INGERSOLL-RAND PLC | 631,190 | 788,295 | |||||||||||||
5,384 | JACOBS ENGINEERING GROUP, INC.(b) | 233,589 | 306,888 | |||||||||||||
2,100 | JB HUNT TRANSPORT SERVICES, INC. | 40,530 | 203,847 | |||||||||||||
13,203 | JETBLUE AIRWAYS CORP.(b) | 81,151 | 296,011 | |||||||||||||
859 | JOHNSON CONTROLS INTERNATIONAL PLC | 16,341 | 35,382 | |||||||||||||
2,900 | KANSAS CITY SOUTHERN | 46,328 | 246,065 | |||||||||||||
850 | KLX, INC.(b) | 13,147 | 38,344 | |||||||||||||
30,023 | KOMATSU LTD. ADR(c)(d) | 676,360 | 680,922 | |||||||||||||
3,689 | L-3 COMMUNICATIONS HOLDINGS, INC. | 431,514 | 561,134 | |||||||||||||
1,000 | LANDSTAR SYSTEM, INC. | 30,070 | 85,300 | |||||||||||||
900 | LENNOX INTERNATIONAL, INC. | 26,811 | 137,853 | |||||||||||||
1,400 | LINCOLN ELECTRIC HOLDINGS, INC. | 28,970 | 107,338 | |||||||||||||
1,884 | LOCKHEED MARTIN CORP. | 285,755 | 470,887 | |||||||||||||
1,973 | MACQUARIE INFRASTRUCTURE CORP. | 134,768 | 161,194 | |||||||||||||
4,800 | MANITOWOC (THE) CO., INC.(b) | 10,053 | 28,704 | |||||||||||||
4,800 | MANITOWOC FOODSERVICE, INC.(b) | 37,515 | 92,784 | |||||||||||||
2,475 | MANPOWERGROUP, INC. | 81,958 | 219,953 | |||||||||||||
25,346 | MASCO CORP. | 430,620 | 801,441 | |||||||||||||
2,181 | MSC INDUSTRIAL DIRECT CO., INC., CLASS A | 157,499 | 201,503 | |||||||||||||
1,724 | NORDSON CORP. | 171,931 | 193,174 | |||||||||||||
5,702 | NORFOLK SOUTHERN CORP. | 202,245 | 616,215 | |||||||||||||
18,238 | NORTHROP GRUMMAN CORP. | 2,546,657 | 4,241,794 | |||||||||||||
2,180 | NOW, INC.(b) | 21,218 | 44,625 | |||||||||||||
6,476 | OSHKOSH CORP. | 222,024 | 418,414 | |||||||||||||
6,784 | OWENS CORNING | 282,404 | 349,783 | |||||||||||||
10,867 | PACCAR, INC. | 233,323 | 694,401 | |||||||||||||
6,720 | PARKER-HANNIFIN CORP. | 597,595 | 940,800 | |||||||||||||
2,519 | PENTAIR PLC(c) | 73,408 | 141,240 | |||||||||||||
8,836 | QUANTA SERVICES, INC.(b) | 189,853 | 307,935 | |||||||||||||
2,199 | R.R. DONNELLEY & SONS CO. | 38,058 | 35,888 | |||||||||||||
5,411 | RAYTHEON CO. | 477,132 | 768,362 | |||||||||||||
5,949 | REPUBLIC SERVICES, INC. | 290,901 | 339,390 | |||||||||||||
6,221 | ROCKWELL AUTOMATION, INC. | 179,002 | 836,102 | |||||||||||||
1,814 | ROCKWELL COLLINS, INC. | 43,808 | 168,267 | |||||||||||||
920 | ROLLINS, INC. | 24,890 | 31,078 | |||||||||||||
700 | ROPER TECHNOLOGIES, INC. | 94,318 | 128,156 | |||||||||||||
2,300 | SNAP-ON, INC. | 230,888 | 393,921 |
See accompanying notes to the financial statements. | 34 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Industrials (Cont’d): | ||||||||||||||||
17,600 | SOUTHWEST AIRLINES CO. | $ | 129,730 | 877,184 | ||||||||||||
5,900 | SPIRIT AEROSYSTEMS HOLDINGS, INC., CLASS A | 238,478 | 344,265 | |||||||||||||
1,000 | SPIRIT AIRLINES, INC.(b) | 53,610 | 57,860 | |||||||||||||
6,924 | STANLEY BLACK & DECKER, INC. | 533,158 | 794,114 | |||||||||||||
1,200 | STERICYCLE, INC.(b) | 50,064 | 92,448 | |||||||||||||
1,399 | TEREX CORP. | 45,070 | 44,110 | |||||||||||||
5,162 | TIMKEN (THE) CO. | 171,352 | 204,931 | |||||||||||||
1,596 | TORO (THE) CO. | 76,510 | 89,296 | |||||||||||||
15,000 | UNION PACIFIC CORP. | 216,086 | 1,555,200 | |||||||||||||
42,713 | UNITED CONTINENTAL HOLDINGS, INC.(b) | 2,231,076 | 3,112,923 | |||||||||||||
4,635 | UNITED PARCEL SERVICE, INC., CLASS B | 280,241 | 531,356 | |||||||||||||
3,799 | UNITED RENTALS, INC.(b) | 315,894 | 401,098 | |||||||||||||
10,650 | UNITED TECHNOLOGIES CORP. | 359,588 | 1,167,453 | |||||||||||||
5,414 | USG CORP.(b) | 104,550 | 156,356 | |||||||||||||
1,144 | VALMONT INDUSTRIES, INC. | 146,411 | 161,190 | |||||||||||||
700 | VERISK ANALYTICS, INC.(b) | 58,779 | 56,819 | |||||||||||||
180 | VERITIV CORP.(b) | 1,653 | 9,675 | |||||||||||||
1,700 | W.W. GRAINGER, INC. | 74,317 | 394,825 | |||||||||||||
1,966 | WABCO HOLDINGS, INC.(b) | 30,197 | 208,691 | |||||||||||||
1,400 | WABTEC CORP. | 25,603 | 116,228 | |||||||||||||
650 | WASTE CONNECTIONS, INC.(c) | 42,575 | 51,084 | |||||||||||||
13,741 | WASTE MANAGEMENT, INC. | 465,162 | 974,374 | |||||||||||||
3,065 | WESCO INTERNATIONAL, INC.(b) | 174,935 | 203,976 | |||||||||||||
3,710 | XYLEM, INC. | 120,583 | 183,719 | |||||||||||||
32,597,327 | 59,751,926 | 12.81 | % | |||||||||||||
Information Technology: | ||||||||||||||||
6,616 | ACCENTURE PLC, CLASS A(c) | 490,312 | 774,932 | |||||||||||||
18,273 | ACTIVISION BLIZZARD, INC. | 261,150 | 659,838 | |||||||||||||
6,224 | ADOBE SYSTEMS, INC.(b) | 79,363 | 640,761 | |||||||||||||
3,300 | AKAMAI TECHNOLOGIES, INC.(b) | 45,920 | 220,044 | |||||||||||||
1,600 | ALLIANCE DATA SYSTEMS CORP. | 75,650 | 365,600 | |||||||||||||
4,681 | ALPHABET, INC., CLASS A(b) | 1,100,420 | 3,709,458 | |||||||||||||
3,406 | ALPHABET, INC., CLASS C(b) | 490,985 | 2,628,819 | |||||||||||||
4,700 | AMDOCS LTD. | 231,646 | 273,775 | |||||||||||||
13,014 | ANALOG DEVICES, INC. | 385,778 | 945,077 | |||||||||||||
1,200 | ANSYS, INC.(b) | 30,630 | 110,988 | |||||||||||||
87,550 | APPLE, INC. | 1,273,454 | 10,140,041 | |||||||||||||
72,897 | APPLIED MATERIALS, INC. | 1,965,882 | 2,352,386 | |||||||||||||
309 | ARISTA NETWORKS, INC.(b) | 26,320 | 29,902 | |||||||||||||
5,202 | ARRIS INTERNATIONAL PLC(b) | 139,105 | 156,736 | |||||||||||||
4,877 | ARROW ELECTRONICS, INC.(b) | 267,343 | 347,730 | |||||||||||||
1,686 | AUTODESK, INC.(b) | 32,709 | 124,781 | |||||||||||||
6,866 | AUTOMATIC DATA PROCESSING, INC. | 370,293 | 705,688 | |||||||||||||
13,900 | BLACK KNIGHT FINANCIAL SERVICES, INC., CLASS A(b) | 545,066 | 525,420 | |||||||||||||
8,300 | BOOZ ALLEN HAMILTON HOLDING CORP. | 242,633 | 299,381 | |||||||||||||
4,414 | BROADCOM LTD.(c) | 248,889 | 780,263 | |||||||||||||
3,413 | BROADRIDGE FINANCIAL SOLUTIONS, INC. | 106,898 | 226,282 | |||||||||||||
5,685 | CA, INC. | 165,545 | 180,613 | |||||||||||||
11,400 | CADENCE DESIGN SYSTEMS, INC.(b) | 154,632 | 287,508 | |||||||||||||
1,522 | CDK GLOBAL, INC. | 19,712 | 90,848 | |||||||||||||
6,100 | CDW CORP. | 214,484 | 317,749 | |||||||||||||
124,888 | CISCO SYSTEMS, INC. | 1,032,144 | 3,774,115 | |||||||||||||
5,974 | CITRIX SYSTEMS, INC.(b) | 196,190 | 533,538 | |||||||||||||
718 | COGNEX CORP. | 38,165 | 45,679 | |||||||||||||
12,600 | COGNIZANT TECHNOLOGY SOLUTIONS CORP., CLASS A(b) | 95,624 | 705,978 | |||||||||||||
297 | COMMERCEHUB, INC., SERIES A(b) | 505 | 4,458 | |||||||||||||
594 | COMMERCEHUB, INC., SERIES C(b) | 1,003 | 8,928 | |||||||||||||
7,708 | COMMSCOPE HOLDING CO., INC.(b) | 227,630 | 286,738 | |||||||||||||
3,700 | COMPUTER SCIENCES CORP. | 133,499 | 219,854 | |||||||||||||
8,308 | CORELOGIC, INC.(b) | 139,352 | 305,984 | |||||||||||||
34,137 | CORNING, INC. | 513,249 | 828,505 | |||||||||||||
2,700 | CYPRESS SEMICONDUCTOR CORP. | 3,261 | 30,888 | |||||||||||||
5,724 | DELL TECHNOLOGIES, INC. CLASS V(b) | 266,695 | 314,648 | |||||||||||||
3,901 | DOLBY LABORATORIES, INC., CLASS A | 134,600 | 176,286 | |||||||||||||
23,460 | EBAY, INC.(b) | 454,136 | 696,527 | |||||||||||||
1,640 | ECHOSTAR CORP., CLASS A(b) | 25,986 | 84,280 | |||||||||||||
11,266 | ELECTRONIC ARTS, INC.(b) | 280,102 | 887,310 |
See accompanying notes to the financial statements. | 35 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Information Technology (Cont’d): | ||||||||||||||||
2,667 | F5 NETWORKS, INC.(b) | $ | 181,488 | 385,968 | ||||||||||||
23,600 | FACEBOOK, INC., CLASS A(b) | 654,660 | 2,715,180 | |||||||||||||
11,102 | FIDELITY NATIONAL INFORMATION SERVICES, INC. | 388,684 | 839,755 | |||||||||||||
8,992 | FISERV, INC.(b) | 191,173 | 955,670 | |||||||||||||
3,800 | GLOBAL PAYMENTS, INC. | 113,707 | 263,758 | |||||||||||||
5,000 | HARRIS CORP. | 189,845 | 512,350 | |||||||||||||
29,233 | HEWLETT PACKARD ENTERPRISE CO. | 418,054 | 676,452 | |||||||||||||
11,910 | HP, INC. | 179,763 | 176,744 | |||||||||||||
1,300 | IAC/INTERACTIVECORP(b) | 78,263 | 84,227 | |||||||||||||
115,780 | INTEL CORP. | 1,050,263 | 4,199,341 | |||||||||||||
5,578 | INTERNATIONAL BUSINESS MACHINES CORP. | 727,934 | 925,892 | |||||||||||||
5,000 | INTUIT, INC. | 103,285 | 573,050 | |||||||||||||
2,247 | IPG PHOTONICS CORP.(b) | 183,260 | 221,801 | |||||||||||||
4,848 | JABIL CIRCUIT, INC. | 99,252 | 114,752 | |||||||||||||
24,297 | JUNIPER NETWORKS, INC. | 559,025 | 686,633 | |||||||||||||
1,425 | KEYSIGHT TECHNOLOGIES, INC.(b) | 47,146 | 52,112 | |||||||||||||
952 | KLA-TENCOR CORP. | 68,542 | 74,903 | |||||||||||||
6,748 | LAM RESEARCH CORP. | 312,519 | 713,466 | |||||||||||||
1,441 | LEIDOS HOLDINGS, INC. | 46,816 | 73,693 | |||||||||||||
3,700 | MARVELL TECHNOLOGY GROUP LTD.(c) | 18,704 | 51,319 | |||||||||||||
17,000 | MASTERCARD, INC., CLASS A | 182,282 | 1,755,250 | |||||||||||||
4,200 | MICROCHIP TECHNOLOGY, INC. | 40,478 | 269,430 | |||||||||||||
14,461 | MICRON TECHNOLOGY, INC.(b) | 112,955 | 316,985 | |||||||||||||
140,442 | MICROSOFT CORP. | 1,965,551 | 8,727,066 | |||||||||||||
15,135 | MOTOROLA SOLUTIONS, INC. | 1,031,066 | 1,254,540 | |||||||||||||
3,677 | NCR CORP.(b) | 132,736 | 149,139 | |||||||||||||
4,231 | NETAPP, INC. | 146,409 | 149,227 | |||||||||||||
32,858 | NVIDIA CORP. | 1,117,797 | 3,507,263 | |||||||||||||
60,962 | ORACLE CORP. | 31,813 | 2,343,989 | |||||||||||||
2,800 | PALO ALTO NETWORKS, INC.(b) | 116,508 | 350,140 | |||||||||||||
5,021 | PAYCHEX, INC. | 84,701 | 305,679 | |||||||||||||
6,900 | PAYPAL HOLDINGS, INC.(b) | 78,207 | 272,343 | |||||||||||||
2,400 | PTC, INC.(b) | 82,674 | 111,048 | |||||||||||||
2,490 | QORVO, INC.(b) | 111,933 | 131,298 | |||||||||||||
22,955 | QUALCOMM, INC. | 1,000,377 | 1,496,666 | |||||||||||||
4,200 | RED HAT, INC.(b) | 61,669 | 292,740 | |||||||||||||
7,600 | SALESFORCE.COM, INC.(b) | 86,710 | 520,296 | |||||||||||||
46,464 | SEAGATE TECHNOLOGY PLC | 1,485,775 | 1,773,531 | |||||||||||||
14,419 | SYMANTEC CORP. | 71,242 | 344,470 | |||||||||||||
17,142 | SYNOPSYS, INC.(b) | 927,724 | 1,008,978 | |||||||||||||
43,500 | TAIWAN SEMICONDUCTOR MANUFACTURING CO. LTD. | |||||||||||||||
ADR(c)(d) | 1,319,326 | 1,250,625 | ||||||||||||||
29,414 | TE CONNECTIVITY LTD.(c) | 1,819,708 | 2,037,802 | |||||||||||||
13,045 | TERADYNE, INC. | 248,079 | 331,343 | |||||||||||||
30,977 | TEXAS INSTRUMENTS, INC. | 1,129,769 | 2,260,392 | |||||||||||||
8,792 | TRIMBLE, INC.(b) | 143,101 | 265,079 | |||||||||||||
2,600 | TWITTER, INC.(b) | 48,880 | 42,380 | |||||||||||||
787 | VERSUM MATERIALS, INC.(b) | 4,722 | 22,091 | |||||||||||||
23,200 | VISA, INC., CLASS A | 395,709 | 1,810,064 | |||||||||||||
7,800 | VISHAY INTERTECHNOLOGY, INC. | 48,931 | 126,360 | |||||||||||||
2,800 | VMWARE, INC., CLASS A(b) | 167,024 | 220,444 | |||||||||||||
9,518 | WESTERN DIGITAL CORP. | 244,099 | 646,748 | |||||||||||||
15,686 | WESTERN UNION (THE) CO. | 292,275 | 340,700 | |||||||||||||
12,671 | XILINX, INC. | 334,878 | 764,948 | |||||||||||||
24,140 | YAHOO!, INC.(b) | 477,431 | 933,494 | |||||||||||||
33,661,882 | 86,227,950 | 18.48 | % | |||||||||||||
Materials: | ||||||||||||||||
367 | ADVANSIX, INC.(b) | 1,587 | 8,125 | |||||||||||||
1,575 | AIR PRODUCTS & CHEMICALS, INC. | 57,863 | 226,517 | |||||||||||||
2,627 | ALBEMARLE CORP. | 138,118 | 226,132 | |||||||||||||
1,600 | ASHLAND GLOBAL HOLDINGS, INC. | 47,358 | 174,864 | |||||||||||||
3,165 | AVERY DENNISON CORP. | 207,899 | 222,246 | |||||||||||||
2,564 | BALL CORP. | 10,015 | 192,479 | |||||||||||||
4,077 | BEMIS CO., INC. | 127,121 | 194,962 | |||||||||||||
2,279 | BERRY PLASTICS GROUP, INC.(b) | 94,191 | 111,056 | |||||||||||||
7,092 | BHP BILLITON PLC ADR(c)(d) | 138,380 | 223,114 | |||||||||||||
2,464 | CABOT CORP. | 128,235 | 124,531 | |||||||||||||
2,695 | CELANESE CORP., SERIES A | 166,690 | 212,204 | |||||||||||||
See accompanying notes to the financial statements. | 36 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Materials (Cont’d): | ||||||||||||||||
3,225 | CROWN HOLDINGS, INC.(b) | $ | 133,175 | 169,538 | ||||||||||||
25,237 | DOW CHEMICAL (THE) CO. | 1,085,953 | 1,444,061 | |||||||||||||
11,925 | E.I. DU PONT DE NEMOURS & CO. | 332,718 | 875,295 | |||||||||||||
438 | EAGLE MATERIALS, INC. | 1,727 | 43,156 | |||||||||||||
3,000 | EASTMAN CHEMICAL CO. | 58,012 | 225,630 | |||||||||||||
3,991 | ECOLAB, INC. | 137,417 | 467,825 | |||||||||||||
31,587 | FREEPORT-MCMORAN, INC.(b) | 317,098 | 416,633 | |||||||||||||
11,671 | HUNTSMAN CORP. | 206,686 | 222,683 | |||||||||||||
373 | INGEVITY CORP.(b) | 2,637 | 20,463 | |||||||||||||
3,683 | INTERNATIONAL FLAVORS & FRAGRANCES, INC. | 79,231 | 433,968 | |||||||||||||
14,436 | INTERNATIONAL PAPER CO. | 381,262 | 765,974 | |||||||||||||
34,344 | LYONDELLBASELL INDUSTRIES N.V., CLASS A | 2,921,620 | 2,946,028 | |||||||||||||
700 | MARTIN MARIETTA MATERIALS, INC. | 27,965 | 155,071 | |||||||||||||
12,592 | MONSANTO CO. | 274,040 | 1,324,804 | |||||||||||||
8,700 | MOSAIC (THE) CO. | 203,503 | 255,171 | |||||||||||||
14,990 | NEWMONT MINING CORP. | 381,331 | 510,709 | |||||||||||||
6,734 | NUCOR CORP. | 153,847 | 400,808 | |||||||||||||
3,368 | PACKAGING CORP. OF AMERICA | 134,861 | 285,674 | |||||||||||||
7,972 | PPG INDUSTRIES, INC. | 180,558 | 755,427 | |||||||||||||
4,150 | PRAXAIR, INC. | 119,436 | 486,339 | |||||||||||||
7,176 | RELIANCE STEEL & ALUMINUM CO. | 366,730 | 570,779 | |||||||||||||
700 | ROYAL GOLD, INC. | 26,033 | 44,345 | |||||||||||||
9,745 | RPM INTERNATIONAL, INC. | 228,799 | 524,573 | |||||||||||||
954 | SCOTTS MIRACLE-GRO (THE) CO., CLASS A | 84,780 | 91,155 | |||||||||||||
1,400 | SEALED AIR CORP. | 24,528 | 63,476 | |||||||||||||
1,585 | SHERWIN-WILLIAMS (THE) CO. | 72,398 | 425,953 | |||||||||||||
5,997 | SONOCO PRODUCTS CO. | 194,930 | 316,042 | |||||||||||||
3,234 | SOUTHERN COPPER CORP.(c) | 38,445 | 103,294 | |||||||||||||
21,152 | STEEL DYNAMICS, INC. | 446,260 | 752,588 | |||||||||||||
5,300 | TAHOE RESOURCES, INC. | 46,375 | 49,926 | |||||||||||||
5,197 | UNITED STATES STEEL CORP. | 112,920 | 171,553 | |||||||||||||
3,200 | VALSPAR (THE) CORP. | 68,240 | 331,552 | |||||||||||||
2,100 | VULCAN MATERIALS CO. | 63,441 | 262,815 | |||||||||||||
2,242 | WESTROCK CO. | 24,357 | 113,826 | |||||||||||||
10,048,770 | 17,943,364 | 3.85 | % | |||||||||||||
Real Estate: | ||||||||||||||||
2,100 | ALEXANDRIA REAL ESTATE EQUITIES, INC. | 107,946 | 233,373 | |||||||||||||
3,350 | AMERICAN TOWER CORP. | 153,516 | 354,028 | |||||||||||||
5,628 | APARTMENT INVESTMENT & MANAGEMENT CO., CLASS A | 119,782 | 255,793 | |||||||||||||
1,734 | AVALONBAY COMMUNITIES, INC. | 193,548 | 307,178 | |||||||||||||
3,388 | BOSTON PROPERTIES, INC. | 171,468 | 426,143 | |||||||||||||
2,600 | BRANDYWINE REALTY TRUST | 28,512 | 42,926 | |||||||||||||
900 | CAMDEN PROPERTY TRUST | 24,065 | 75,663 | |||||||||||||
1,545 | CORECIVIC, INC. | 22,790 | 37,791 | |||||||||||||
11,000 | CORPORATE OFFICE PROPERTIES TRUST | 296,463 | 343,420 | |||||||||||||
4,600 | CROWN CASTLE INTERNATIONAL CORP. | 192,821 | 399,142 | |||||||||||||
400 | DIGITAL REALTY TRUST, INC. | 15,555 | 39,304 | |||||||||||||
5,200 | DOUGLAS EMMETT, INC. | 52,250 | 190,112 | |||||||||||||
1,700 | DUKE REALTY CORP. | 28,435 | 45,152 | |||||||||||||
1,729 | EPR PROPERTIES | 119,186 | 124,090 | |||||||||||||
845 | EQUINIX, INC. | 65,492 | 302,011 | |||||||||||||
800 | EQUITY LIFESTYLE PROPERTIES, INC. | 26,751 | 57,680 | |||||||||||||
5,416 | EQUITY RESIDENTIAL | 174,162 | 348,574 | |||||||||||||
875 | ESSEX PROPERTY TRUST, INC. | 116,032 | 203,438 | |||||||||||||
900 | FEDERAL REALTY INVESTMENT TRUST | 48,326 | 127,899 | |||||||||||||
1,046 | FOUR CORNERS PROPERTY TRUST, INC. | 9,208 | 21,464 | |||||||||||||
1,200 | GENERAL GROWTH PROPERTIES, INC. | 20,388 | 29,976 | |||||||||||||
7,000 | HCP, INC. | 72,529 | 208,040 | |||||||||||||
1,800 | HOSPITALITY PROPERTIES TRUST | 23,334 | 57,132 | |||||||||||||
12,222 | HOST HOTELS & RESORTS, INC. | 93,479 | 230,262 | |||||||||||||
678 | HOWARD HUGHES (THE) CORP.(b) | 20,502 | 77,360 | |||||||||||||
700 | JONES LANG LASALLE, INC. | 39,951 | 70,728 | |||||||||||||
17,764 | KIMCO REALTY CORP. | 342,234 | 446,942 | |||||||||||||
4,200 | LAMAR ADVERTISING CO., CLASS A | 52,239 | 282,408 | |||||||||||||
1,100 | LIBERTY PROPERTY TRUST | 23,353 | 43,450 | |||||||||||||
600 | LIFE STORAGE, INC. | 49,422 | 51,156 | |||||||||||||
5,738 | MACERICH (THE) CO. | 161,138 | 406,480 | |||||||||||||
See accompanying notes to the financial statements. | 37 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Real Estate (Cont’d): | ||||||||||||||||
1,800 | MID-AMERICA APARTMENT COMMUNITIES, INC. | $ | 132,698 | 176,256 | ||||||||||||
1,200 | NATIONAL RETAIL PROPERTIES, INC. | 50,508 | 53,040 | |||||||||||||
3,700 | NORTHSTAR REALTY FINANCE CORP. | 48,199 | 56,055 | |||||||||||||
4,744 | PIEDMONT OFFICE REALTY TRUST, INC., CLASS A | 95,967 | 99,197 | |||||||||||||
10,169 | PROLOGIS, INC. | 257,893 | 536,822 | |||||||||||||
1,261 | PUBLIC STORAGE | 106,852 | 281,833 | |||||||||||||
6,972 | RAYONIER, INC. | 74,591 | 185,455 | |||||||||||||
3,600 | REALTY INCOME CORP. | 106,605 | 206,928 | |||||||||||||
3,900 | REGENCY CENTERS CORP. | 85,672 | 268,905 | |||||||||||||
9,800 | RETAIL PROPERTIES OF AMERICA, INC., CLASS A | 83,048 | 150,234 | |||||||||||||
48 | RMR GROUP (THE), INC., CLASS A | 624 | 1,896 | |||||||||||||
3,300 | SENIOR HOUSING PROPERTIES TRUST | 48,067 | 62,469 | |||||||||||||
3,595 | SIMON PROPERTY GROUP, INC. | 148,165 | 638,724 | |||||||||||||
1,900 | SL GREEN REALTY CORP. | 58,203 | 204,345 | |||||||||||||
800 | SUN COMMUNITIES, INC. | 57,192 | 61,288 | |||||||||||||
2,100 | TAUBMAN CENTERS, INC. | 57,233 | 155,253 | |||||||||||||
4,100 | UDR, INC. | 65,319 | 149,568 | |||||||||||||
1,300 | URBAN EDGE PROPERTIES | 18,730 | 35,763 | |||||||||||||
1,800 | VENTAS, INC. | 63,969 | 112,536 | |||||||||||||
800 | VORNADO REALTY TRUST | 36,178 | 83,496 | |||||||||||||
2,497 | WASHINGTON PRIME GROUP, INC. | 14,987 | 25,994 | |||||||||||||
2,100 | WEINGARTEN REALTY INVESTORS | 29,916 | 75,159 | |||||||||||||
4,600 | WELLTOWER, INC. | 274,601 | 307,878 | |||||||||||||
4,916 | WEYERHAEUSER CO. | 64,713 | 147,922 | |||||||||||||
4,844,807 | 9,916,131 | 2.13 | % | |||||||||||||
Telecommunication Services: | ||||||||||||||||
96,028 | AT&T, INC. | 2,415,829 | 4,084,071 | |||||||||||||
72,914 | CENTURYLINK, INC. | 1,939,864 | 1,733,895 | |||||||||||||
180,600 | FRONTIER COMMUNICATIONS CORP. | 580,861 | 610,428 | |||||||||||||
12,792 | KT CORP. ADR(c)(d) | 193,383 | 180,239 | |||||||||||||
6,710 | LEVEL 3 COMMUNICATIONS, INC.(b) | 159,907 | 378,175 | |||||||||||||
3,400 | NIPPON TELEGRAPH & TELEPHONE CORP. ADR(c)(d) | 134,287 | 143,038 | |||||||||||||
14,466 | NTT DOCOMO, INC. ADR(c)(d) | 325,147 | 329,101 | |||||||||||||
2,100 | SBA COMMUNICATIONS CORP., CLASS A(b) | 214,169 | 216,846 | |||||||||||||
46,930 | SPRINT CORP.(b) | 318,398 | 395,151 | |||||||||||||
1,900 | TELEPHONE & DATA SYSTEMS, INC. | 50,350 | 54,853 | |||||||||||||
18,145 | T-MOBILE US, INC.(b) | 786,152 | 1,043,519 | |||||||||||||
51,873 | VERIZON COMMUNICATIONS, INC. | 2,084,321 | 2,768,981 | |||||||||||||
2,100 | ZAYO GROUP HOLDINGS, INC.(b) | 72,492 | 69,006 | |||||||||||||
9,275,160 | 12,007,303 | 2.57 | % | |||||||||||||
Utilities: | ||||||||||||||||
10,821 | AES CORP. | 129,813 | 125,740 | |||||||||||||
2,000 | ALLIANT ENERGY CORP. | 24,835 | 75,780 | |||||||||||||
4,699 | AMEREN CORP. | 193,032 | 246,510 | |||||||||||||
4,721 | AMERICAN ELECTRIC POWER CO., INC. | 229,501 | 297,234 | |||||||||||||
1,735 | AQUA AMERICA, INC. | 22,973 | 52,119 | |||||||||||||
13,200 | AVANGRID, INC. | 502,113 | 500,016 | |||||||||||||
5,800 | CENTERPOINT ENERGY, INC. | 66,308 | 142,912 | |||||||||||||
14,562 | CMS ENERGY CORP. | 310,873 | 606,071 | |||||||||||||
8,199 | CONSOLIDATED EDISON, INC. | 543,342 | 604,102 | |||||||||||||
8,862 | DOMINION RESOURCES, INC. | 284,452 | 678,741 | |||||||||||||
2,800 | DTE ENERGY CO. | 132,386 | 275,828 | |||||||||||||
7,651 | DUKE ENERGY CORP. | 257,468 | 593,871 | |||||||||||||
9,510 | EDISON INTERNATIONAL | 251,087 | 684,625 | |||||||||||||
7,630 | ENTERGY CORP. | 385,176 | 560,576 | |||||||||||||
4,961 | EVERSOURCE ENERGY | 125,492 | 273,996 | |||||||||||||
4,764 | GREAT PLAINS ENERGY, INC. | 98,321 | 130,295 | |||||||||||||
6,778 | MDU RESOURCES GROUP, INC. | 175,744 | 195,003 | |||||||||||||
900 | NATIONAL FUEL GAS CO. | 20,790 | 50,976 | |||||||||||||
7,406 | NEXTERA ENERGY, INC. | 555,528 | 884,721 | |||||||||||||
6,900 | NISOURCE, INC. | 43,973 | 152,766 | |||||||||||||
4,800 | OGE ENERGY CORP. | 43,344 | 160,560 | |||||||||||||
500 | ONE GAS, INC. | 3,925 | 31,980 | |||||||||||||
5,900 | PG & E CORP. | 79,340 | 358,543 | |||||||||||||
3,648 | PINNACLE WEST CAPITAL CORP. | 164,604 | 284,654 | |||||||||||||
700 | PPL CORP. | 10,384 | 23,835 | |||||||||||||
See accompanying notes to the financial statements. | 38 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Utilities (Cont’d): | ||||||||||||||||
1,200 | PUBLIC SERVICE ENTERPRISE GROUP, INC. | $ | 51,552 | 52,656 | ||||||||||||
7,046 | SCANA CORP. | 326,683 | 516,331 | |||||||||||||
3,200 | SEMPRA ENERGY | 174,758 | 322,048 | |||||||||||||
16,260 | SOUTHERN (THE) CO. | 549,851 | 799,829 | |||||||||||||
10,251 | UGI CORP. | 265,105 | 472,366 | |||||||||||||
1,600 | VECTREN CORP. | 77,182 | 83,440 | |||||||||||||
8,722 | WEC ENERGY GROUP, INC. | 268,624 | 511,545 | |||||||||||||
3,200 | WESTAR ENERGY, INC. | 128,360 | 180,320 | |||||||||||||
9,816 | XCEL ENERGY, INC. | 232,586 | 399,511 | |||||||||||||
6,729,505 | 11,329,500 | 2.43 | % | |||||||||||||
Sub-total Common Stocks: | 235,266,785 | 463,581,059 | 99.38 | % | ||||||||||||
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: | ||||||||||||||||
2,797,986 | NORTHERN INSTITUTIONAL FUNDS - | |||||||||||||||
U.S. GOVERNMENT SELECT PORTFOLIO, 0.38%(e) | 2,797,986 | 2,797,986 | ||||||||||||||
Sub-total Short-Term Investments: | 2,797,986 | 2,797,986 | 0.60 | % | ||||||||||||
Grand total(f) | $ | 238,066,473 | 466,380,747 | 99.98 | % |
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, 2016, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 4.21% of net assets. |
(d) | Securities are American Depositary Receipts of companies based outside of the United States representing 1.68% of net assets as of December 31, 2016. |
(e) | The short-term investment is a money market portfolio of the investment company Northern Institutional Funds. At December 31, 2015, the value of the Clearwater Core Equity Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $10,519,384 with net sales of $7,721,398 during the fiscal year ended December 31, 2016. |
(f) | At December 31, 2016, the cost for Federal income tax purposes was $238,416,349. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
Gross unrealized appreciation | $ | 229,587,484 | ||
Gross unrealized depreciation | (1,623,086 | ) | ||
Net unrealized appreciation | $ | 227,964,398 |
See accompanying notes to the financial statements. | 39 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments – Clearwater Core Equity Fund
December 31, 2016
See accompanying notes to the financial statements. | 40 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Common Stocks: | ||||||||||||||||
Consumer Discretionary: | ||||||||||||||||
69,738 | 1-800-FLOWERS.COM, INC., CLASS A(b) | $ | 576,400 | 746,197 | ||||||||||||
96,904 | BFC FINANCIAL CORP., CLASS A | 393,647 | 472,892 | |||||||||||||
218,100 | BLACK DIAMOND, INC.(b) | 1,288,152 | 1,166,835 | |||||||||||||
48,300 | BLOOMIN’ BRANDS, INC. | 1,045,223 | 870,849 | |||||||||||||
89,247 | BRAVO BRIO RESTAURANT GROUP, INC.(b) | 862,389 | 339,139 | |||||||||||||
51,241 | BUILD-A-BEAR WORKSHOP, INC.(b) | 624,424 | 704,564 | |||||||||||||
57,713 | CALLAWAY GOLF CO. | 568,531 | 632,534 | |||||||||||||
25,964 | CARRIAGE SERVICES, INC. | 482,560 | 743,609 | |||||||||||||
15,601 | CITI TRENDS, INC. | 296,222 | 293,923 | |||||||||||||
22,234 | CLUBCORP HOLDINGS, INC. | 291,119 | 319,058 | |||||||||||||
7,070 | COOPER-STANDARD HOLDINGS, INC.(b) | 567,664 | 730,897 | |||||||||||||
8,111 | CSS INDUSTRIES, INC. | 222,209 | 219,565 | |||||||||||||
5,910 | DEL FRISCO’S RESTAURANT GROUP, INC.(b) | 81,966 | 100,470 | |||||||||||||
121,600 | DENNY’S CORP.(b) | 616,940 | 1,560,128 | |||||||||||||
25,670 | DESTINATION XL GROUP, INC.(b) | 108,048 | 109,097 | |||||||||||||
14,674 | DREW INDUSTRIES, INC.(b) | 1,277,576 | 1,581,123 | |||||||||||||
16,194 | EMMIS COMMUNICATIONS CORP., CLASS A(b) | 57,639 | 53,116 | |||||||||||||
55,257 | FIESTA RESTAURANT GROUP, INC.(b) | 1,344,171 | 1,649,421 | |||||||||||||
11,661 | FINISH LINE (THE), INC., CLASS A | 252,259 | 219,343 | |||||||||||||
2,606 | FULL HOUSE RESORTS, INC.(b) | 6,086 | 6,254 | |||||||||||||
15,393 | HELEN OF TROY LTD.(b) | 1,205,233 | 1,299,939 | |||||||||||||
76,041 | IROBOT CORP.(b) | 2,320,642 | 4,444,596 | |||||||||||||
35,400 | JAMBA, INC.(b) | 422,239 | 364,620 | |||||||||||||
36,667 | LIBERTY TAX, INC. | 483,036 | 491,338 | |||||||||||||
41,527 | LITHIA MOTORS, INC., CLASS A | 3,063,503 | 4,021,059 | |||||||||||||
9,893 | MALIBU BOATS, INC., CLASS A(b) | 140,255 | 188,758 | |||||||||||||
4,660 | MARINEMAX, INC.(b) | 89,963 | 90,171 | |||||||||||||
26,287 | MARRIOTT VACATIONS WORLDWIDE CORP. | 1,635,534 | 2,230,452 | |||||||||||||
3,849 | MCBC HOLDINGS, INC. | 54,478 | 56,118 | |||||||||||||
55,700 | MEDIA GENERAL, INC.(b) | 869,898 | 1,048,831 | |||||||||||||
107,703 | MOTORCAR PARTS OF AMERICA, INC.(b) | 2,927,676 | 2,899,365 | |||||||||||||
13,052 | NEW HOME (THE) CO., INC.(b) | 127,489 | 152,839 | |||||||||||||
24,000 | NEXSTAR BROADCASTING GROUP, INC., CLASS A | 1,172,802 | 1,519,200 | |||||||||||||
24,700 | PENSKE AUTOMOTIVE GROUP, INC. | 545,832 | 1,280,448 | |||||||||||||
11,048 | PERRY ELLIS INTERNATIONAL, INC.(b) | 206,131 | 275,206 | |||||||||||||
164,587 | PINNACLE ENTERTAINMENT, INC.(b) | 1,802,601 | 2,386,512 | |||||||||||||
20,987 | SALEM MEDIA GROUP, INC., CLASS A | 124,527 | 131,169 | |||||||||||||
29,550 | SPORTSMAN’S WAREHOUSE HOLDINGS, INC.(b) | 276,128 | 277,475 | |||||||||||||
1,703 | SUPERIOR INDUSTRIES INTERNATIONAL, INC. | 44,886 | 44,874 | |||||||||||||
70,682 | TILE SHOP HOLDINGS, INC.(b) | 1,207,264 | 1,381,833 | |||||||||||||
40,500 | TIME, INC. | 948,121 | 722,925 | |||||||||||||
44,690 | TOPBUILD CORP.(b) | 1,175,514 | 1,590,964 | |||||||||||||
8,062 | TOWER INTERNATIONAL, INC. | 174,616 | 228,558 | |||||||||||||
29,795 | TOWN SPORTS INTERNATIONAL HOLDINGS, INC.(b) | 74,849 | 74,488 | |||||||||||||
80,100 | TRI POINTE GROUP, INC.(b) | 1,247,792 | 919,548 | |||||||||||||
24,862 | UNIFI, INC.(b) | 644,028 | 811,247 | |||||||||||||
9,500 | VAIL RESORTS, INC. | 341,218 | 1,532,445 | |||||||||||||
54,311 | VINCE HOLDING CORP.(b) | 279,506 | 219,960 | |||||||||||||
33,700 | VISTA OUTDOOR, INC.(b) | 1,395,641 | 1,243,530 | |||||||||||||
65,236 | WCI COMMUNITIES, INC.(b) | 1,478,759 | 1,529,784 | |||||||||||||
23,556 | WINNEBAGO INDUSTRIES, INC. | 618,132 | 745,547 | |||||||||||||
38,061,518 | 46,722,813 | 13.61 | % | |||||||||||||
Consumer Staples: | ||||||||||||||||
117,650 | AMPLIFY SNACK BRANDS, INC.(b) | 1,739,477 | 1,036,496 | |||||||||||||
2,650 | LIFEWAY FOODS, INC.(b) | 30,462 | 30,502 | |||||||||||||
58,587 | MEDIFAST, INC. | 1,848,205 | 2,438,977 | |||||||||||||
37,217 | NATURAL GROCERS BY VITAMIN COTTAGE, INC.(b) | 487,305 | 442,510 | |||||||||||||
13,996 | ORCHIDS PAPER PRODUCTS CO. | 378,004 | 366,415 | |||||||||||||
2,495 | REED’S, INC.(b) | 10,516 | 10,230 | |||||||||||||
125,368 | S&W SEED CO.(b) | 566,822 | 576,693 | |||||||||||||
2,081 | SENECA FOODS CORP., CLASS A(b) | 53,326 | 83,344 | |||||||||||||
90,546 | SUNOPTA, INC.(b)(c) | 597,169 | 638,349 | |||||||||||||
20,015 | TREEHOUSE FOODS, INC.(b) | 1,393,440 | 1,444,883 | |||||||||||||
36,810 | UNITED NATURAL FOODS, INC.(b) | 1,758,828 | 1,756,573 | |||||||||||||
8,863,554 | 8,824,972 | 2.57 | % |
See accompanying notes to the financial statements. | 41 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Energy: | ||||||||||||||||
52,026 | CARRIZO OIL & GAS, INC.(b) | $ | 1,450,040 | 1,943,171 | ||||||||||||
56,774 | OIL STATES INTERNATIONAL, INC.(b) | 1,806,575 | 2,214,186 | |||||||||||||
41,300 | PARSLEY ENERGY, INC., CLASS A(b) | 767,059 | 1,455,412 | |||||||||||||
51,311 | PBF ENERGY, INC., CLASS A | 1,423,767 | 1,430,551 | |||||||||||||
54,429 | SM ENERGY CO. | 1,935,776 | 1,876,712 | |||||||||||||
115,000 | SYNERGY RESOURCES CORP.(b) | 1,162,601 | 1,024,650 | |||||||||||||
8,545,818 | 9,944,682 | 2.90 | % | |||||||||||||
Financials: | ||||||||||||||||
53,162 | AMERICAN EQUITY INVESTMENT LIFE HOLDING CO. | 782,077 | 1,198,271 | |||||||||||||
29,929 | AMERICAN NATIONAL BANKSHARES, INC. | 687,090 | 1,041,529 | |||||||||||||
56,294 | AMERIS BANCORP | 1,819,148 | 2,454,418 | |||||||||||||
78,970 | ANWORTH MORTGAGE ASSET CORP. | 377,874 | 408,275 | |||||||||||||
47,411 | APOLLO COMMERCIAL REAL ESTATE FINANCE, INC. | 779,588 | 787,971 | |||||||||||||
25,522 | ARES COMMERCIAL REAL ESTATE CORP. | 319,154 | 350,417 | |||||||||||||
7,794 | BANC OF CALIFORNIA, INC. | 101,219 | 135,226 | |||||||||||||
6,131 | BANCORP 34, INC.(b) | 78,420 | 77,189 | |||||||||||||
67,000 | BANCORPSOUTH, INC. | 1,639,550 | 2,080,350 | |||||||||||||
45,071 | BANK MUTUAL CORP. | 342,131 | 425,921 | |||||||||||||
57,678 | BANKFINANCIAL CORP. | 692,219 | 854,788 | |||||||||||||
45,342 | BANKUNITED, INC. | 1,366,787 | 1,708,940 | |||||||||||||
9,602 | BCB BANCORP, INC. | 108,789 | 124,826 | |||||||||||||
3,214 | BERKSHIRE HILLS BANCORP, INC. | 84,498 | 118,436 | |||||||||||||
86,401 | BOFI HOLDING, INC.(b) | 1,698,473 | 2,466,749 | |||||||||||||
20,800 | BOK FINANCIAL CORP. | 1,018,062 | 1,727,232 | |||||||||||||
24,830 | BRIDGE BANCORP, INC. | 719,588 | 941,057 | |||||||||||||
12,538 | BSB BANCORP, INC.(b) | 211,880 | 362,975 | |||||||||||||
5,200 | CAPITAL BANK FINANCIAL CORP., CLASS A | 206,584 | 204,100 | |||||||||||||
1,430 | CAPITAL SOUTHWEST CORP. | 21,640 | 23,094 | |||||||||||||
82,779 | CAPSTEAD MORTGAGE CORP. | 801,936 | 843,518 | |||||||||||||
690 | CB FINANCIAL SERVICES, INC. | 17,884 | 17,837 | |||||||||||||
2,244 | CENTRAL VALLEY COMMUNITY BANCORP | 36,982 | 44,790 | |||||||||||||
23,067 | CHARTER FINANCIAL CORP. | 304,145 | 384,527 | |||||||||||||
10,928 | CITIZENS & NORTHERN CORP. | 215,239 | 286,314 | |||||||||||||
917 | CIVISTA BANCSHARES, INC. | 17,613 | 17,817 | |||||||||||||
20,907 | CNB FINANCIAL CORP. | 359,659 | 559,053 | |||||||||||||
22,184 | COMMUNITY BANKERS TRUST CORP.(b) | 118,896 | 160,834 | |||||||||||||
7,688 | COMMUNITY TRUST BANCORP, INC. | 254,998 | 381,325 | |||||||||||||
32,240 | DONEGAL GROUP, INC., CLASS A | 519,126 | 563,555 | |||||||||||||
12,129 | DONNELLEY FINANCIAL SOLUTIONS, INC.(b) | 276,227 | 278,725 | |||||||||||||
9,303 | EASTERN VIRGINIA BANKSHARES, INC. | 91,279 | 97,216 | |||||||||||||
13,833 | EHEALTH, INC.(b) | 110,897 | 147,321 | |||||||||||||
22,992 | EMC INSURANCE GROUP, INC. | 403,944 | 689,990 | |||||||||||||
35,458 | ESSA BANCORP, INC. | 480,922 | 557,400 | |||||||||||||
10,288 | EVANS BANCORP, INC. | 228,397 | 324,586 | |||||||||||||
87,353 | FARMERS NATIONAL BANC CORP. | 724,371 | 1,240,413 | |||||||||||||
6,879 | FINANCIAL INSTITUTIONS, INC. | 139,268 | 235,262 | |||||||||||||
23,221 | FIRST BANCORP | 470,152 | 630,218 | |||||||||||||
2,933 | FIRST BUSINESS FINANCIAL SERVICES, INC. | 68,116 | 69,571 | |||||||||||||
4,419 | FIRST GUARANTY BANCSHARES, INC. | 78,796 | 105,835 | |||||||||||||
13,595 | FIRST MID-ILLINOIS BANCSHARES, INC. | 340,217 | 462,230 | |||||||||||||
94,294 | FNB CORP. | 1,256,649 | 1,511,533 | |||||||||||||
49,120 | GREAT WESTERN BANCORP, INC. | 1,195,719 | 2,141,141 | |||||||||||||
45,584 | GUARANTY BANCORP | 746,099 | 1,103,133 | |||||||||||||
99,945 | HANMI FINANCIAL CORP. | 2,367,272 | 3,488,080 | |||||||||||||
65,600 | HERITAGE COMMERCE CORP. | 713,454 | 946,608 | |||||||||||||
24,377 | HERITAGE FINANCIAL CORP. | 335,098 | 627,708 | |||||||||||||
12,376 | HERITAGE OAKS BANCORP | 99,370 | 152,596 | |||||||||||||
70,100 | HILLTOP HOLDINGS, INC. | 1,352,287 | 2,088,980 | |||||||||||||
7,408 | HOME BANCORP, INC. | 207,534 | 286,023 | |||||||||||||
67,623 | HOPE BANCORP, INC. | 1,454,874 | 1,480,267 | |||||||||||||
5,356 | HORIZON BANCORP | 99,952 | 149,968 | |||||||||||||
17,100 | IBERIABANK CORP. | 918,723 | 1,432,125 | |||||||||||||
94,800 | KEARNY FINANCIAL CORP. | 1,130,182 | 1,474,140 | |||||||||||||
26,048 | LADDER CAPITAL CORP. | 342,764 | 357,379 | |||||||||||||
67,169 | LCNB CORP. | 1,114,724 | 1,561,679 | |||||||||||||
40,355 | LEGACYTEXAS FINANCIAL GROUP, INC. | 1,202,680 | 1,737,686 | |||||||||||||
8,469 | MIDLAND STATES BANCORP, INC. | 191,297 | 306,408 | |||||||||||||
See accompanying notes to the financial statements. | 42 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Financials (Cont’d): | ||||||||||||||||
6,163 | MIDWESTONE FINANCIAL GROUP, INC. | $ | 176,683 | 231,729 | ||||||||||||
15,640 | MTGE INVESTMENT CORP. | 250,225 | 245,548 | |||||||||||||
5,116 | NATIONAL BANKSHARES, INC. | 190,768 | 222,290 | |||||||||||||
96,979 | NEW MOUNTAIN FINANCE CORP. | 1,427,329 | 1,367,404 | |||||||||||||
19,288 | NORTHEAST BANCORP | 236,446 | 252,673 | |||||||||||||
21,247 | OCEANFIRST FINANCIAL CORP. | 502,038 | 638,048 | |||||||||||||
869 | OHIO VALLEY BANC CORP. | 23,365 | 23,637 | |||||||||||||
11,192 | OLD LINE BANCSHARES, INC. | 198,682 | 268,384 | |||||||||||||
35,765 | OPUS BANK | 1,234,381 | 1,074,739 | |||||||||||||
29,888 | PACIFIC CONTINENTAL CORP. | 355,175 | 653,053 | |||||||||||||
29,286 | PACWEST BANCORP | 728,558 | 1,594,330 | |||||||||||||
14,595 | PARK STERLING CORP. | 103,410 | 157,480 | |||||||||||||
7,530 | PEOPLES BANCORP OF NORTH CAROLINA, INC. | 179,617 | 188,777 | |||||||||||||
2,127 | PEOPLES FINANCIAL SERVICES CORP. | 85,726 | 103,585 | |||||||||||||
12,188 | PEOPLE’S UTAH BANCORP | 214,190 | 327,248 | |||||||||||||
51,800 | PROVIDENT FINANCIAL SERVICES, INC. | 921,469 | 1,465,940 | |||||||||||||
21,738 | PRUDENTIAL BANCORP, INC. | 351,346 | 372,155 | |||||||||||||
6,827 | RESOURCE CAPITAL CORP. | 31,162 | 56,869 | |||||||||||||
860 | SALISBURY BANCORP, INC. | 31,495 | 32,250 | |||||||||||||
3,560 | SHORE BANCSHARES, INC. | 39,184 | 54,290 | |||||||||||||
35,261 | SI FINANCIAL GROUP, INC. | 370,744 | 543,019 | |||||||||||||
21,207 | SIERRA BANCORP | 384,920 | 563,894 | |||||||||||||
23,867 | SOUTHERN MISSOURI BANCORP, INC. | 575,769 | 844,414 | |||||||||||||
21,625 | STATE BANK FINANCIAL CORP. | 427,539 | 580,848 | |||||||||||||
64,051 | STERLING BANCORP | 1,368,289 | 1,498,793 | |||||||||||||
29,651 | STIFEL FINANCIAL CORP.(b) | 1,516,540 | 1,481,067 | |||||||||||||
21,988 | STONEGATE BANK | 670,847 | 917,559 | |||||||||||||
56,238 | SUTHERLAND ASSET MANAGEMENT CORP. | 742,771 | 756,401 | |||||||||||||
26,705 | SYNOVUS FINANCIAL CORP. | 664,845 | 1,097,041 | |||||||||||||
27,522 | TRICO BANCSHARES | 721,075 | 940,702 | |||||||||||||
18,900 | UMB FINANCIAL CORP. | 932,147 | 1,457,568 | |||||||||||||
19,748 | UNITED FINANCIAL BANCORP, INC. | 258,165 | 358,624 | |||||||||||||
23,102 | UNITY BANCORP, INC. | 333,593 | 362,701 | |||||||||||||
15,609 | UNIVEST CORP. OF PENNSYLVANIA | 338,654 | 482,318 | |||||||||||||
24,272 | VALIDUS HOLDINGS LTD.(c) | 1,167,759 | 1,335,203 | |||||||||||||
78,571 | WALKER & DUNLOP, INC.(b) | 1,677,272 | 2,451,415 | |||||||||||||
37,317 | WEBSTER FINANCIAL CORP. | 1,772,655 | 2,025,567 | |||||||||||||
11,854 | WEST BANCORPORATION, INC. | 227,537 | 292,794 | |||||||||||||
44,908 | WESTERN ALLIANCE BANCORP(b) | 1,668,828 | 2,187,469 | |||||||||||||
73,105 | WESTERN ASSET MORTGAGE CAPITAL CORP. | 747,159 | 736,167 | |||||||||||||
57,690,870 | 76,679,548 | 22.33 | % | |||||||||||||
Health Care: | ||||||||||||||||
52,071 | ALERE, INC.(b) | 2,029,332 | 2,029,207 | |||||||||||||
10,594 | ALLIANCE HEALTHCARE SERVICES, INC.(b) | 94,818 | 101,702 | |||||||||||||
1,970 | ALMOST FAMILY, INC.(b) | 77,704 | 86,877 | |||||||||||||
64,411 | AMN HEALTHCARE SERVICES, INC.(b) | 1,820,840 | 2,476,603 | |||||||||||||
29,527 | CAMBREX CORP.(b) | 1,349,705 | 1,592,982 | |||||||||||||
79,667 | DEPOMED, INC.(b) | 1,569,035 | 1,435,599 | |||||||||||||
25,789 | DIGIRAD CORP. | 122,279 | 128,945 | |||||||||||||
39,246 | EMERGENT BIOSOLUTIONS, INC.(b) | 1,005,390 | 1,288,839 | |||||||||||||
64,800 | ENSIGN GROUP (THE), INC. | 1,307,171 | 1,439,208 | |||||||||||||
75,902 | HARVARD BIOSCIENCE, INC.(b) | 204,177 | 231,501 | |||||||||||||
30,031 | HEALTHSOUTH CORP. | 916,807 | 1,238,478 | |||||||||||||
17,387 | HEALTHWAYS, INC.(b) | 396,585 | 395,554 | |||||||||||||
153,160 | HMS HOLDINGS CORP.(b) | 2,457,413 | 2,781,385 | |||||||||||||
95,067 | HORIZON PHARMA PLC(b) | 1,723,615 | 1,538,184 | |||||||||||||
37,574 | ICON PLC(b)(c) | 2,091,489 | 2,825,565 | |||||||||||||
27,311 | MAGELLAN HEALTH, INC.(b) | 1,800,818 | 2,055,153 | |||||||||||||
49,242 | OMNICELL, INC.(b) | 1,679,382 | 1,669,304 | |||||||||||||
36,475 | PATTERSON COS., INC. | 1,393,184 | 1,496,569 | |||||||||||||
19,071 | PHARMERICA CORP.(b) | 414,395 | 479,636 | |||||||||||||
101,777 | PREMIER, INC., CLASS A(b) | 3,347,794 | 3,089,950 | |||||||||||||
4,630 | PRESTIGE BRANDS HOLDINGS, INC.(b) | 235,669 | 241,223 | |||||||||||||
8,592 | PROVIDENCE SERVICE (THE) CORP.(b) | 362,981 | 326,926 | |||||||||||||
21,701 | QUALITY SYSTEMS, INC.(b) | 267,817 | 285,368 | |||||||||||||
47,639 | STREAMLINE HEALTH SOLUTIONS, INC.(b) | 65,051 | 59,072 | |||||||||||||
17,169 | VASCULAR SOLUTIONS, INC.(b) | 956,777 | 963,181 |
See accompanying notes to the financial statements. | 43 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Health Care (Cont’d): | ||||||||||||||||
16,043 | WEST PHARMACEUTICAL SERVICES, INC. | $ | 374,241 | 1,360,928 | ||||||||||||
34,846 | WRIGHT MEDICAL GROUP N.V.(b)(c) | 886,587 | 800,761 | |||||||||||||
28,951,056 | 32,418,700 | 9.44 | % | |||||||||||||
Industrials: | ||||||||||||||||
20,900 | A.O. SMITH CORP. | 201,737 | 989,615 | |||||||||||||
31,700 | ABM INDUSTRIES, INC. | 919,303 | 1,294,628 | |||||||||||||
44,102 | AEROJET ROCKETDYNE HOLDINGS, INC.(b) | 710,862 | 791,631 | |||||||||||||
9,475 | AEROVIRONMENT, INC.(b) | 244,123 | 254,214 | |||||||||||||
55,300 | AIR LEASE CORP. | 1,432,594 | 1,898,449 | |||||||||||||
16,066 | AIR TRANSPORT SERVICES GROUP, INC.(b) | 215,646 | 256,413 | |||||||||||||
28,642 | ALBANY INTERNATIONAL CORP., CLASS A | 1,093,597 | 1,326,125 | |||||||||||||
7,715 | ALLEGIANT TRAVEL CO. | 976,810 | 1,283,776 | |||||||||||||
15,039 | ALLIED MOTION TECHNOLOGIES, INC. | 308,552 | 321,684 | |||||||||||||
29,063 | ARMSTRONG FLOORING, INC.(b) | 539,691 | 578,644 | |||||||||||||
43,728 | ATLAS AIR WORLDWIDE HOLDINGS, INC.(b) | 1,630,232 | 2,280,415 | |||||||||||||
109,575 | BABCOCK & WILCOX ENTERPRISES, INC.(b) | 2,130,735 | 1,817,849 | |||||||||||||
21,443 | BLUE BIRD CORP.(b) | 304,439 | 331,294 | |||||||||||||
6,618 | BLUELINX HOLDINGS, INC.(b) | 51,522 | 49,436 | |||||||||||||
30,379 | CASELLA WASTE SYSTEMS, INC., CLASS A(b) | 210,991 | 377,003 | |||||||||||||
4,766 | COLUMBUS MCKINNON CORP. | 81,156 | 128,873 | |||||||||||||
11,342 | CURTISS-WRIGHT CORP. | 781,489 | 1,115,599 | |||||||||||||
93,877 | ECHO GLOBAL LOGISTICS, INC.(b) | 2,271,703 | 2,351,619 | |||||||||||||
3,096 | ENCORE WIRE CORP. | 107,266 | 134,212 | |||||||||||||
26,224 | ENNIS, INC. | 430,851 | 454,986 | |||||||||||||
31,431 | ESCO TECHNOLOGIES, INC. | 1,181,245 | 1,780,566 | |||||||||||||
24,698 | GENCOR INDUSTRIES, INC.(b) | 378,188 | 387,759 | |||||||||||||
73,257 | GENERAC HOLDINGS, INC.(b) | 2,600,296 | 2,984,490 | |||||||||||||
10,095 | GENERAL CABLE CORP. | 135,526 | 192,310 | |||||||||||||
64,709 | HARSCO CORP. | 472,833 | 880,042 | |||||||||||||
10,481 | HERC HOLDINGS, INC.(b) | 338,751 | 420,917 | |||||||||||||
75,843 | INTERFACE, INC. | 1,255,041 | 1,406,888 | |||||||||||||
24,400 | ITT, INC. | 665,681 | 941,108 | |||||||||||||
57,122 | JASON INDUSTRIES, INC.(b) | 264,371 | 102,820 | |||||||||||||
18,300 | JOHN BEAN TECHNOLOGIES CORP. | 236,381 | 1,572,885 | |||||||||||||
3,113 | KADANT, INC. | 121,449 | 190,516 | |||||||||||||
38,700 | KBR, INC. | 672,327 | 645,903 | |||||||||||||
18,105 | LSC COMMUNICATIONS, INC. | 404,614 | 537,356 | |||||||||||||
113,147 | LSI INDUSTRIES, INC. | 1,064,675 | 1,102,052 | |||||||||||||
153,370 | MANITOWOC (THE) CO., INC.(b) | 685,089 | 917,153 | |||||||||||||
38,000 | MANITOWOC FOODSERVICE, INC.(b) | 683,251 | 734,540 | |||||||||||||
6,471 | MCGRATH RENTCORP | 230,505 | 253,599 | |||||||||||||
19,240 | MULTI-COLOR CORP. | 1,247,908 | 1,493,024 | |||||||||||||
48,633 | NCI BUILDING SYSTEMS, INC.(b) | 691,161 | 761,106 | |||||||||||||
12,236 | NORDSON CORP. | 1,106,992 | 1,371,044 | |||||||||||||
83,678 | ON ASSIGNMENT, INC.(b) | 2,590,290 | 3,695,221 | |||||||||||||
57,683 | PGT INNOVATIONS, INC.(b) | 661,932 | 660,470 | |||||||||||||
43,484 | PIONEER POWER SOLUTIONS, INC.(b) | 233,817 | 258,730 | |||||||||||||
38,085 | QUANEX BUILDING PRODUCTS CORP. | 703,991 | 773,126 | |||||||||||||
4,776 | REVOLUTION LIGHTING TECHNOLOGIES, INC.(b) | 27,019 | 26,268 | |||||||||||||
37,400 | RITCHIE BROS. AUCTIONEERS, INC.(c) | 823,002 | 1,271,600 | |||||||||||||
49,273 | SPARTON CORP.(b) | 1,114,233 | 1,175,161 | |||||||||||||
8,532 | SPX CORP.(b) | 174,792 | 202,379 | |||||||||||||
11,973 | TELEDYNE TECHNOLOGIES, INC.(b) | 414,674 | 1,472,679 | |||||||||||||
24,418 | TITAN MACHINERY, INC.(b) | 259,255 | 355,770 | |||||||||||||
21,132 | TRIMAS CORP.(b) | 375,555 | 496,602 | |||||||||||||
15,184 | VIAD CORP. | 498,348 | 669,614 | |||||||||||||
47,482 | WOODWARD, INC. | 1,871,092 | 3,278,632 | |||||||||||||
38,827,583 | 51,048,795 | 14.87 | % | |||||||||||||
Information Technology: | ||||||||||||||||
24,665 | AMBER ROAD, INC.(b) | 237,685 | 223,958 | |||||||||||||
30,963 | ANGIE’S LIST, INC.(b) | 247,809 | 254,826 | |||||||||||||
13,778 | ASURE SOFTWARE, INC.(b) | 81,915 | 117,251 | |||||||||||||
26,771 | AUTOBYTEL, INC.(b) | 392,734 | 360,070 | |||||||||||||
1,251 | BADGER METER, INC. | 39,923 | 46,224 | |||||||||||||
11,086 | BANKRATE, INC.(b) | 90,320 | 122,500 | |||||||||||||
49,581 | BAZAARVOICE, INC.(b) | 237,772 | 240,468 |
See accompanying notes to the financial statements. | 44 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Information Technology (Cont’d): | ||||||||||||||||
31,599 | BELDEN, INC. | $ | 1,882,003 | 2,362,657 | ||||||||||||
14,417 | CALAMP CORP.(b) | 200,156 | 209,047 | |||||||||||||
113,301 | CALLIDUS SOFTWARE, INC.(b) | 1,276,838 | 1,903,457 | |||||||||||||
24,960 | COGNEX CORP. | 460,327 | 1,587,955 | |||||||||||||
31,176 | COMTECH TELECOMMUNICATIONS CORP. | 373,413 | 369,436 | |||||||||||||
9,552 | DATAWATCH CORP.(b) | 59,185 | 52,536 | |||||||||||||
39,100 | DIEBOLD NIXDORF, INC. | 1,135,846 | 983,365 | |||||||||||||
29,712 | DIGI INTERNATIONAL, INC.(b) | 401,575 | 408,540 | |||||||||||||
32,511 | DSP GROUP, INC.(b) | 321,400 | 424,269 | |||||||||||||
87,742 | ELECTRONICS FOR IMAGING, INC.(b) | 3,675,992 | 3,848,364 | |||||||||||||
38,710 | EURONET WORLDWIDE, INC.(b) | 1,850,163 | 2,803,765 | |||||||||||||
29,536 | EXAR CORP.(b) | 201,278 | 318,398 | |||||||||||||
116,946 | FRANKLIN WIRELESS CORP.(b) | 246,413 | 333,296 | |||||||||||||
57,924 | FREQUENCY ELECTRONICS, INC.(b) | 577,886 | 625,579 | |||||||||||||
19,944 | INFORMATION SERVICES GROUP, INC.(b) | 78,324 | 72,596 | |||||||||||||
255,690 | INTERNAP CORP.(b) | 503,167 | 393,763 | |||||||||||||
28,865 | INTEST CORP.(b) | 107,054 | 132,779 | |||||||||||||
26,917 | IPG PHOTONICS CORP.(b) | 1,495,908 | 2,656,977 | |||||||||||||
13,433 | ITERIS, INC.(b) | 24,448 | 48,896 | |||||||||||||
31,871 | ITRON, INC.(b) | 1,611,467 | 2,003,092 | |||||||||||||
91,124 | JABIL CIRCUIT, INC. | 1,610,320 | 2,156,905 | |||||||||||||
52,200 | KNOWLES CORP.(b) | 1,055,595 | 872,262 | |||||||||||||
82,288 | LIONBRIDGE TECHNOLOGIES, INC.(b) | 363,170 | 477,270 | |||||||||||||
57,929 | MACOM TECHNOLOGY SOLUTIONS HOLDINGS, INC.(b) | 2,038,595 | 2,680,954 | |||||||||||||
143,671 | MAGNACHIP SEMICONDUCTOR CORP.(b)(c) | 734,146 | 890,760 | |||||||||||||
59,083 | MARCHEX, INC., CLASS B(b) | 193,214 | 156,570 | |||||||||||||
160,400 | MITEL NETWORKS CORP.(b)(c) | 1,265,836 | 1,090,720 | |||||||||||||
3,411 | PERCEPTRON, INC.(b) | 14,651 | 22,649 | |||||||||||||
111,497 | PERFICIENT, INC.(b) | 1,788,086 | 1,950,083 | |||||||||||||
5,200 | PFSWEB, INC.(b) | 41,684 | 44,200 | |||||||||||||
257,934 | QUANTUM CORP.(b) | 212,367 | 214,627 | |||||||||||||
7,836 | ROGERS CORP.(b) | 438,762 | 601,883 | |||||||||||||
53,003 | SHORETEL, INC.(b) | 404,413 | 378,971 | |||||||||||||
34,790 | SUPER MICRO COMPUTER, INC.(b) | 747,818 | 975,860 | |||||||||||||
418,252 | SUPPORT.COM, INC.(b) | 429,484 | 359,697 | |||||||||||||
79,334 | SYNCHRONOSS TECHNOLOGIES, INC.(b) | 2,907,133 | 3,038,492 | |||||||||||||
24,725 | SYNNEX CORP. | 951,418 | 2,992,220 | |||||||||||||
23,468 | USA TECHNOLOGIES, INC.(b) | 96,411 | 100,912 | |||||||||||||
26,400 | VERINT SYSTEMS, INC.(b) | 921,972 | 930,600 | |||||||||||||
40,200 | VERSUM MATERIALS, INC.(b) | 942,641 | 1,128,414 | |||||||||||||
91,625 | VIRTUSA CORP.(b) | 2,318,548 | 2,301,620 | |||||||||||||
6,762 | WEB.COM GROUP, INC.(b) | 107,475 | 143,016 | |||||||||||||
7,800 | WEX, INC.(b) | 203,342 | 870,480 | |||||||||||||
37,598,082 | 47,283,229 | 13.77 | % | |||||||||||||
Materials: | ||||||||||||||||
82,230 | BERRY PLASTICS GROUP, INC.(b) | 2,288,629 | 4,007,068 | |||||||||||||
17,639 | CALGON CARBON CORP. | 245,138 | 299,863 | |||||||||||||
58,551 | CHEMTURA CORP.(b) | 1,617,866 | 1,943,893 | |||||||||||||
57,800 | COMMERCIAL METALS CO. | 952,473 | 1,258,884 | |||||||||||||
14,975 | FERRO CORP.(b) | 191,611 | 214,592 | |||||||||||||
49,882 | HANDY & HARMAN LTD.(b) | 925,803 | 1,274,485 | |||||||||||||
37,596 | INGEVITY CORP.(b) | 1,713,208 | 2,062,516 | |||||||||||||
5,020 | INNOPHOS HOLDINGS, INC. | 146,459 | 262,345 | |||||||||||||
13,700 | KAISER ALUMINUM CORP. | 1,071,135 | 1,064,353 | |||||||||||||
33,500 | KAPSTONE PAPER AND PACKAGING CORP. | 910,424 | 738,675 | |||||||||||||
35,950 | KOPPERS HOLDINGS, INC.(b) | 704,580 | 1,448,785 | |||||||||||||
37,918 | OLIN CORP. | 781,464 | 971,080 | |||||||||||||
176,566 | RENTECH, INC.(b) | 912,747 | 437,884 | |||||||||||||
18,000 | SENSIENT TECHNOLOGIES CORP. | 1,019,456 | 1,414,440 | |||||||||||||
51,004 | US CONCRETE, INC.(b) | 2,770,354 | 3,340,762 | |||||||||||||
16,251,347 | 20,739,625 | 6.04 | % | |||||||||||||
Real Estate: | ||||||||||||||||
74,630 | CARETRUST REIT, INC. | 968,405 | 1,143,332 | |||||||||||||
158,612 | CBL & ASSOCIATES PROPERTIES, INC. | 1,728,194 | 1,824,038 | |||||||||||||
32,999 | EDUCATION REALTY TRUST, INC. | 1,459,854 | 1,395,858 | |||||||||||||
96,248 | FORESTAR GROUP, INC.(b) | 1,273,007 | 1,280,098 | |||||||||||||
123,580 | GRAMERCY PROPERTY TRUST | 881,830 | 1,134,464 |
See accompanying notes to the financial statements. | 45 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Real Estate (Cont’d): | ||||||||||||||||
9,271 | JERNIGAN CAPITAL, INC. | $ | 102,314 | 195,154 | ||||||||||||
79,300 | KENNEDY-WILSON HOLDINGS, INC. | 1,604,459 | 1,625,650 | |||||||||||||
81,808 | KITE REALTY GROUP TRUST | 2,030,962 | 1,920,852 | |||||||||||||
56,483 | MARCUS & MILLICHAP, INC.(b) | 1,614,877 | 1,509,226 | |||||||||||||
162,232 | MEDICAL PROPERTIES TRUST, INC. | 1,829,854 | 1,995,454 | |||||||||||||
85,200 | OUTFRONT MEDIA, INC. | 2,005,879 | 2,118,924 | |||||||||||||
59,671 | PARKWAY, INC.(b) | 1,060,341 | 1,327,680 | |||||||||||||
78,806 | RETAIL OPPORTUNITY INVESTMENTS CORP. | 1,615,474 | 1,665,171 | |||||||||||||
21,890 | RYMAN HOSPITALITY PROPERTIES, INC. | 592,181 | 1,379,289 | |||||||||||||
49,700 | SABRA HEALTH CARE REIT, INC. | 831,270 | 1,213,674 | |||||||||||||
96,269 | STAG INDUSTRIAL, INC. | 1,765,410 | 2,297,941 | |||||||||||||
26,800 | URBAN EDGE PROPERTIES | 601,422 | 737,268 | |||||||||||||
5,522 | URSTADT BIDDLE PROPERTIES, INC., CLASS A | 113,833 | 133,135 | |||||||||||||
22,079,566 | 24,897,208 | 7.25 | % | |||||||||||||
Telecommunication Services: | ||||||||||||||||
57,923 | ALASKA COMMUNICATIONS SYSTEMS GROUP, INC.(b) | 96,955 | 94,994 | |||||||||||||
18,157 | HAWAIIAN TELCOM HOLDCO, INC.(b) | 414,227 | 449,931 | |||||||||||||
69,533 | INTELIQUENT, INC. | 1,425,874 | 1,593,696 | |||||||||||||
1,937,056 | 2,138,621 | 0.62 | % | |||||||||||||
Utilities: | ||||||||||||||||
49,581 | ALLETE, INC. | 2,320,848 | 3,182,604 | |||||||||||||
22,900 | BLACK HILLS CORP. | 1,351,759 | 1,404,686 | |||||||||||||
10,800 | NORTHWESTERN CORP. | 553,974 | 614,196 | |||||||||||||
96,767 | PURE CYCLE CORP.(b) | 481,819 | 532,219 | |||||||||||||
40,900 | SOUTH JERSEY INDUSTRIES, INC. | 1,127,569 | 1,377,921 | |||||||||||||
25,153 | SPIRE, INC. | 1,273,643 | 1,623,626 | |||||||||||||
7,109,612 | 8,735,252 | 2.54 | % | |||||||||||||
Sub-total Common Stocks: | 265,916,062 | 329,433,445 | 95.94 | % | ||||||||||||
Short-Term Investments: | ||||||||||||||||
12,813,306 | NORTHERN INSTITUTIONAL FUNDS - | |||||||||||||||
U.S. GOVERNMENT SELECT PORTFOLIO, 0.38%(d) | 12,813,306 | 12,813,306 | ||||||||||||||
Sub-total Short-Term Investments: | 12,813,306 | 12,813,306 | 3.73 | % | ||||||||||||
Grand total(e) | $ | 278,729,368 | 342,246,751 | 99.67 | % |
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, 2016, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 2.58% of net assets. |
(d) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2015, the value of the Clearwater Small Companies Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $17,783,263 with net sales of $4,969,957 during the fiscal year ended December 31, 2016. |
(e) | At December 31, 2016, the cost for Federal income tax purposes was $279,201,549. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
Gross unrealized appreciation | $ | 69,454,925 | ||
Gross unrealized depreciation | (6,409,723 | ) | ||
Net unrealized appreciation | $ | 63,045,202 |
See accompanying notes to the financial statements. | 46 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments – Clearwater Small Companies Fund
December 31, 2016
See accompanying notes to the financial statements. | 47 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||||||
Closed-End Funds: | |||||||||||||||||||||||
227,600 | BLACKROCK LONG-TERM MUNICIPAL ADVANTAGE TRUST | $ | 2,360,733 | 2,567,328 | |||||||||||||||||||
12,000 | BLACKROCK MUNIHOLDINGS FUND II INC | 174,062 | 176,280 | ||||||||||||||||||||
148,800 | BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND | 1,705,296 | 2,109,984 | ||||||||||||||||||||
57,300 | BLACKROCK MUNIHOLDINGS QUALITY FUND II INC | 729,193 | 772,977 | ||||||||||||||||||||
35,700 | BLACKROCK MUNIHOLDINGS QUALITY FUND INC | 474,032 | 484,806 | ||||||||||||||||||||
8,302 | BLACKROCK MUNIYIELD FUND INC | 122,288 | 117,390 | ||||||||||||||||||||
55,111 | BLACKROCK MUNIYIELD INVESTMENT QUALITY FUND | 701,111 | 768,247 | ||||||||||||||||||||
142,461 | BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND INC | 1,846,525 | 1,936,045 | ||||||||||||||||||||
51,700 | BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND | 729,423 | 728,970 | ||||||||||||||||||||
101,896 | BLACKROCK MUNIYIELD QUALITY FUND II INC | 1,307,244 | 1,305,288 | ||||||||||||||||||||
118,472 | BLACKROCK MUNIYIELD QUALITY FUND III INC | 1,572,465 | 1,617,143 | ||||||||||||||||||||
100,027 | DEUTSCHE MUNICIPAL INCOME TRUST | 1,057,324 | 1,312,354 | ||||||||||||||||||||
43,668 | DREYFUS STRATEGIC MUNICIPAL BOND FUND INC | 359,770 | 351,091 | ||||||||||||||||||||
33,000 | DREYFUS STRATEGIC MUNICIPALS INC | 301,450 | 277,200 | ||||||||||||||||||||
18,592 | EATON VANCE CALIFORNIA MUNICIPAL BOND FUND II | 206,025 | 215,481 | ||||||||||||||||||||
178,050 | INVESCO ADVANTAGE MUNICIPAL INCOME TRUST II | 1,985,371 | 1,990,599 | ||||||||||||||||||||
113,205 | INVESCO MUNICIPAL OPPORTUNITY TRUST | 1,410,252 | 1,442,232 | ||||||||||||||||||||
30,000 | INVESCO MUNICIPAL TRUST | 412,242 | 367,800 | ||||||||||||||||||||
66,122 | INVESCO QUALITY MUNICIPAL INCOME TRUST | 750,670 | 819,913 | ||||||||||||||||||||
60,000 | INVESCO TRUST FOR INVESTMENT GRADE MUNICIPALS | 774,121 | 765,000 | ||||||||||||||||||||
50,248 | MANAGED DURATION INVESTMENT GRADE MUNICIPAL FUND | 633,640 | 659,254 | ||||||||||||||||||||
53,000 | NUVEEN AMT-FREE MUNICIPAL CREDIT INCOME FUND | 748,312 | 766,380 | ||||||||||||||||||||
245,475 | NUVEEN AMT-FREE QUALITY MUNICIPAL INCOME FUND | 3,273,528 | 3,274,630 | ||||||||||||||||||||
15,963 | NUVEEN MICHIGAN QUALITY MUNICIPAL INCOME FUND | 214,604 | 212,946 | ||||||||||||||||||||
52,779 | NUVEEN PENNSYLVANIA QUALITY MUNICIPAL INCOME FUND | 723,142 | 690,349 | ||||||||||||||||||||
29,741 | NUVEEN QUALITY MUNICIPAL INCOME FUND | 409,650 | 415,178 | ||||||||||||||||||||
28,000 | PUTNAM MUNICIPAL OPPORTUNITIES TRUST | 371,050 | 334,600 | ||||||||||||||||||||
19,613 | WESTERN ASSET MUNICIPAL PARTNERS FUND INC | 246,036 | 292,234 | ||||||||||||||||||||
Sub-total Closed-End Funds | 25,599,559 | 26,771,699 | 5.52 | % | |||||||||||||||||||
Municipal Bonds: | |||||||||||||||||||||||
2,350,000 | ACALANES CA UNION HIGH SCH DIST(b) | 8/1/2039 | 0.00 | 1,194,609 | 2,091,100 | ||||||||||||||||||
610,000 | ALABAMA ST HSG FIN AUTH SF MTGE REVENUE | 10/1/2028 | 5.25 | 610,000 | 624,561 | ||||||||||||||||||
1,000,000 | ALACHUA CNTY FL HLTH FACS AUTH CCRC | 10/1/2032 | 8.00 | 1,129,767 | 1,194,420 | ||||||||||||||||||
750,000 | ALASKA ST HSG FIN CORP MTGE REVENUE | 12/1/2037 | 4.13 | 737,068 | 756,772 | ||||||||||||||||||
500,000 | ALASKA ST HSG FIN CORP MTGE REVENUE | 12/1/2040 | 4.63 | 495,000 | 519,810 | ||||||||||||||||||
350,000 | ALASKA ST INDL DEV & EXPORT AUTH CMNTY PROVIDER REVENUE(c) | 12/1/2010 | 5.40 | 350,000 | 34,562 | ||||||||||||||||||
725,000 | ALLEGHENY CNTY PA INDL DEV AUTH CHRT SCH REVENUE | 8/15/2026 | 5.90 | 725,000 | 765,904 | ||||||||||||||||||
1,000,000 | ALVORD CA UNIF SCH DIST | 8/1/2036 | 5.25 | 1,022,260 | 1,139,940 | ||||||||||||||||||
1,000,000 | ALVORD CA UNIF SCH DIST(b) | 8/1/2046 | 0.00 | 399,018 | 926,230 | ||||||||||||||||||
1,000,000 | AMERICAN SAMOA AS ECON DEV AUTH GEN REVENUE | 9/1/2029 | 6.25 | 1,000,000 | 957,670 | ||||||||||||||||||
1,000,000 | APPLE VLY MN SENIOR LIVING REVENUE | 1/1/2047 | 5.00 | 977,200 | 1,003,070 | ||||||||||||||||||
754,155 | ARIZONA ST HLTH FACS AUTH | 7/1/2027 | 5.25 | 736,732 | 726,915 | ||||||||||||||||||
785,000 | ARIZONA ST HLTH FACS AUTH HLTH CARE FACS REVENUE | 10/1/2022 | 5.10 | 774,426 | 785,338 | ||||||||||||||||||
1,990,000 | ARLINGTON TX HGR EDU FIN CORP EDU REVENUE | 8/15/2028 | 7.00 | 1,958,059 | 2,154,553 |
See accompanying notes to the financial statements. | 48 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||||||
Municipal Bonds (Cont’d): | |||||||||||||||||||||||
500,000 | ARLINGTON TX HGR EDU FIN CORP EDU REVENUE | 6/15/2036 | 5.00 | 512,491 | 484,865 | ||||||||||||||||||
500,000 | ASTURIA FL CMNTY DEV DIST SPL ASSMNT | 5/1/2034 | 5.75 | 500,000 | 478,505 | ||||||||||||||||||
500,000 | ATHENS-CLARKE CNTY GA UNIF GOVT DEV AUTH REVENUE | 6/15/2039 | 5.00 | 517,824 | 546,940 | ||||||||||||||||||
500,000 | ATLANTA GA ARPT REVENUE | 1/1/2030 | 6.00 | 509,758 | 579,910 | ||||||||||||||||||
500,000 | ATLANTA GA DEV AUTH | 7/1/2035 | 4.00 | 491,947 | 503,230 | ||||||||||||||||||
1,500,000 | BAY CNTY FL EDUCTNL FACS REVENUE | 9/1/2030 | 5.25 | $ | 1,396,348 | 1,528,920 | |||||||||||||||||
1,000,000 | BELLALAGO FL EDUCTNL FACS BENEFIT DIST CAPITAL IMPT REVENUE | 5/1/2030 | 4.38 | 984,581 | 1,039,720 | ||||||||||||||||||
1,195,000 | BELLWOOD IL | 12/1/2027 | 5.88 | 1,185,981 | 1,349,466 | ||||||||||||||||||
955,000 | BEXAR CNTY TX HSG FIN CORP | 2/1/2035 | 3.75 | 955,000 | 966,852 | ||||||||||||||||||
2,000,000 | BEXAR CNTY TX REVENUE | 8/15/2039 | 5.00 | 2,106,968 | 2,171,040 | ||||||||||||||||||
500,000 | BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE | 5/1/2035 | 6.25 | 500,000 | 482,930 | ||||||||||||||||||
700,000 | BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE | 5/1/2045 | 6.25 | 700,000 | 672,847 | ||||||||||||||||||
750,000 | BOWLING GREEN OH STUDENT HSG REVENUE | 6/1/2031 | 5.75 | 723,714 | 792,757 | ||||||||||||||||||
1,150,000 | BURBANK IL EDUCTNL FACS REVENUE(d) | 9/1/2035 | 6.00 | 1,150,000 | 1,151,426 | ||||||||||||||||||
1,000,000 | BUREAU CNTY TWP IL HIGH SCH DIST #502 | 10/1/2043 | 6.63 | 1,055,099 | 1,230,580 | ||||||||||||||||||
390,000 | BUTLER CNTY PA GEN AUTH REVENUE | 10/1/2034 | 1.27 | 390,000 | 312,105 | ||||||||||||||||||
145,000 | CALIFORNIA ST CMNTY HSG FIN AGY LEASE REVENUE(c) | 8/1/2012 | 4.65 | 124,028 | 122 | ||||||||||||||||||
351,527 | CALIFORNIA ST CMNTY HSG FIN AGY LEASE REVENUE(c) | 11/1/2012 | 4.85 | 347,373 | 35 | ||||||||||||||||||
500,000 | CALIFORNIA ST HLTH FACS FING AUTH REVENUE | 8/15/2033 | 5.50 | 505,454 | 565,350 | ||||||||||||||||||
910,000 | CALIFORNIA ST HSG FIN AGY REVENUE | 8/1/2033 | 5.45 | 845,941 | 939,056 | ||||||||||||||||||
500,000 | CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK ST SCH FUND APP | 8/15/2029 | 5.75 | 502,102 | 558,125 | ||||||||||||||||||
600,000 | CALIFORNIA ST MUNI FIN AUTH REVENUE(d) | 11/1/2036 | 4.00 | 602,403 | 527,778 | ||||||||||||||||||
1,500,000 | CALIFORNIA ST SCH FACS FING AUTH REVENUE(b) | 8/1/2029 | 6.00 | 1,168,599 | 1,886,805 | ||||||||||||||||||
500,000 | CALIFORNIA ST STWD CMNTYS DEV AUTH REVENUE | 11/1/2021 | 6.50 | 500,000 | 551,200 | ||||||||||||||||||
750,000 | CAPITAL TRUST AGY FL REVENUE | 4/1/2035 | 7.00 | 750,000 | 760,425 | ||||||||||||||||||
1,750,000 | CAPITAL TRUST AGY FL REVENUE(d) | 12/1/2035 | 6.75 | 1,748,294 | 1,711,360 | ||||||||||||||||||
1,000,000 | CARLSBAD CA UNIF SCH DIST(b) | 8/1/2031 | 0.00 | 642,538 | 1,042,410 | ||||||||||||||||||
1,000,000 | CARMEL IN REVENUE | 11/15/2022 | 6.00 | 987,793 | 1,066,630 | ||||||||||||||||||
1,000,000 | CARMEL IN REVENUE | 11/15/2027 | 7.00 | 1,017,900 | 1,091,940 | ||||||||||||||||||
500,000 | CEDAR FALLS IA CMNTY SCH DIST SCH INFRASTRUCTURE SALES SVCS | 6/1/2027 | 5.38 | 498,650 | 540,375 | ||||||||||||||||||
1,000,000 | CENTRL BRADFORD PROGRESS AUTH PA | 12/1/2031 | 5.50 | 1,021,502 | 1,132,590 | ||||||||||||||||||
520,000 | CHANDLER PARK ACADEMY MI PUBLIC SCH ACADEMY REVENUE | 11/1/2022 | 5.00 | 437,622 | 520,390 | ||||||||||||||||||
80,000 | CHICAGO IL BRD OF EDU | 12/1/2017 | 5.00 | 80,000 | 80,931 | ||||||||||||||||||
1,000,000 | CHICAGO IL MIDWAY ARPT REVENUE | 1/1/2035 | 5.25 | 1,002,008 | 1,101,970 | ||||||||||||||||||
320,000 | CLIFTON TX HGR EDU FIN CORP EDU REVENUE | 2/15/2018 | 7.75 | 319,125 | 328,282 | ||||||||||||||||||
1,500,000 | CLOVIS CA UNIF SCH DIST(e) | 8/1/2030 | 0.00 | 661,378 | 823,815 | ||||||||||||||||||
750,000 | COLLIER CNTY FL INDL DEV AUTH | 10/1/2039 | 6.25 | 736,593 | 854,317 | ||||||||||||||||||
1,000,000 | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(d) | 5/15/2020 | 6.50 | 1,000,000 | 1,001,200 | ||||||||||||||||||
650,000 | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(d) | 5/15/2022 | 5.25 | 650,000 | 643,227 |
See accompanying notes to the financial statements. | 49 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||||||
Municipal Bonds (Cont’d): | |||||||||||||||||||||||
750,000 | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(d) | 5/15/2026 | 7.25 | $ | 750,000 | 837,825 | |||||||||||||||||
1,500,000 | COLORADO ST EDUCTNL & CULTURAL FACS AUTH INDEP SCH REVENUE | 5/1/2030 | 6.00 | 1,466,282 | 1,710,750 | ||||||||||||||||||
1,000,000 | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE | 6/1/2033 | 5.50 | 976,733 | 1,045,560 | ||||||||||||||||||
1,000,000 | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE | 7/1/2034 | 5.60 | 994,413 | 1,060,870 | ||||||||||||||||||
1,000,000 | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE(d) | 9/1/2046 | 5.00 | 1,012,411 | 900,730 | ||||||||||||||||||
1,000,000 | COLORADO ST HLTH FACS AUTH REVENUE | 8/1/2033 | 7.63 | 988,342 | 1,115,800 | ||||||||||||||||||
500,000 | COLORADO ST HLTH FACS AUTH REVENUE(d) | 12/1/2035 | 5.75 | 492,076 | 502,570 | ||||||||||||||||||
115,000 | COLORADO ST HSG & FIN AUTH | 10/1/2029 | 5.40 | 115,000 | 117,318 | ||||||||||||||||||
170,000 | COLORADO ST HSG FIN AUTH SF MTGE REVENUE | 11/1/2034 | 5.00 | 170,000 | 173,043 | ||||||||||||||||||
1,000,000 | COLTON CA JT UNIF SCH DIST(b) | 8/1/2035 | 0.00 | 628,336 | 927,430 | ||||||||||||||||||
1,500,000 | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | 11/15/2035 | 3.75 | 1,500,000 | 1,510,200 | ||||||||||||||||||
515,000 | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | 5/15/2038 | 3.95 | 515,000 | 521,175 | ||||||||||||||||||
1,000,000 | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | 11/15/2040 | 3.75 | 1,000,000 | 995,280 | ||||||||||||||||||
5,000,000 | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | 11/15/2047 | 3.65 | 5,000,000 | 4,760,450 | ||||||||||||||||||
500,000 | COPPERLEAF CO MET DIST #2 | 12/1/2030 | 5.25 | 500,000 | 505,175 | ||||||||||||||||||
500,000 | COPPERLEAF CO MET DIST #2 | 12/1/2045 | 5.75 | 500,000 | 508,930 | ||||||||||||||||||
1,105,000 | CORONA-NORCO CA UNIF SCH DIST(b) | 8/1/2039 | 0.00 | 749,218 | 1,410,875 | ||||||||||||||||||
637,000 | CORTLAND IL SPL TAX REVENUE(c) | 3/1/2017 | 5.50 | 633,881 | 127,101 | ||||||||||||||||||
500,000 | COVENTRY OH LOCAL SCH DIST | 11/1/2037 | 5.25 | 505,297 | 531,500 | ||||||||||||||||||
145,000 | CROW FIN AUTH MT TRIBAL PURPOSE REVENUE | 10/1/2017 | 5.65 | 144,292 | 145,529 | ||||||||||||||||||
750,000 | CRYSTAL CO CROSSING MET DIST | 12/1/2040 | 5.25 | 750,000 | 697,687 | ||||||||||||||||||
474,200 | CUYAHOGA CNTY OH HSG MTGE REVENUE | 3/20/2042 | 5.70 | 483,831 | 487,866 | ||||||||||||||||||
1,000,000 | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE | 11/1/2037 | 5.25 | 1,009,130 | 1,136,770 | ||||||||||||||||||
2,000,000 | DAMON RUN IN CONSERVANCY DIST | 7/1/2025 | 6.10 | 2,016,053 | 2,156,200 | ||||||||||||||||||
1,000,000 | DAMON RUN IN CONSERVANCY DIST | 1/1/2027 | 6.38 | 1,006,271 | 1,082,050 | ||||||||||||||||||
1,000,000 | DAVIE FL EDUCTNL FACS REVENUE | 4/1/2042 | 6.00 | 1,022,888 | 1,134,440 | ||||||||||||||||||
500,000 | DAVIESS CNTY IN HOSP ASSN LEASE RENTAL REVENUE | 1/15/2029 | 5.25 | 491,222 | 525,455 | ||||||||||||||||||
1,000,000 | DAYTON-MONTGOMERY CNTY OH PORT AUTH PROJ REVENUE | 1/15/2040 | 7.00 | 1,000,000 | 1,003,360 | ||||||||||||||||||
500,000 | DECATUR IL | 3/1/2034 | 5.00 | 515,144 | 542,875 | ||||||||||||||||||
1,000,000 | DEKALB/KANE/LA SALLE CNTYS IL CMNTY CLG DIST #523(e) | 2/1/2029 | 0.00 | 535,387 | 533,500 | ||||||||||||||||||
1,000,000 | DEL MAR CA RACE TRACK AUTH | 10/1/2035 | 5.00 | 1,053,086 | 1,058,820 | ||||||||||||||||||
275,000 | DELAWARE ST HSG AUTH REVENUE | 7/1/2031 | 5.20 | 275,000 | 285,134 |
See accompanying notes to the financial statements. | 50 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Percent | |||||||||||||||||||||||
Maturity | Coupon | Fair | of | ||||||||||||||||||||
Par/Shares | Security | date | rate | Cost | value (a) | net assets | |||||||||||||||||
Municipal Bonds (Cont’d): | |||||||||||||||||||||||
500,000 | DINUBA CA FING AUTH LEASE REVENUE | 9/1/2038 | 5.38 | $ | 495,246 | 514,490 | |||||||||||||||||
500,000 | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | 7/1/2033 | 5.45 | 500,000 | 539,210 | ||||||||||||||||||
1,000,000 | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | 6/1/2040 | 4.90 | 1,000,000 | 1,072,980 | ||||||||||||||||||
1,000,000 | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | 6/1/2041 | 5.00 | 1,000,000 | 1,099,130 | ||||||||||||||||||
1,000,000 | DOUGLAS CNTY CO MF REVENUE | 10/1/2029 | 4.50 | 1,000,000 | 1,040,390 | ||||||||||||||||||
3,000,000 | DUBLIN CA UNIF SCH DIST(e) | 8/1/2034 | 0.00 | 994,298 | 1,099,350 | ||||||||||||||||||
1,000,000 | EAST CHICAGO IN SAN DIST REVENUE | 7/15/2035 | 4.00 | 993,270 | 1,016,570 | ||||||||||||||||||
1,500,000 | EAST MORGAN CNTY CO HOSP DIST COPS | 12/1/2038 | 5.88 | 1,500,000 | 1,507,290 | ||||||||||||||||||
2,045,000 | EDEN TWP CA HOSP DIST COPS | 6/1/2030 | 6.00 | 2,026,332 | 2,336,842 | ||||||||||||||||||
750,000 | EL PASO DE ROBLES CA REDEV AGY TAX ALLOCATION REVENUE | 7/1/2033 | 6.38 | 742,788 | 833,017 | ||||||||||||||||||
1,000,000 | EL PASO TX DOWNTOWN DEV CORP SPL REVENUE | 8/15/2038 | 7.25 | 1,070,271 | 1,205,530 | ||||||||||||||||||
1,000,000 | ENCINITAS CA UNION SCH DIST(b) | 8/1/2035 | 0.00 | 564,931 | 1,044,030 | ||||||||||||||||||
1,155,000 | ENTERPRISE CA ELEM SCH DIST(b) | 8/1/2035 | 0.00 | 706,019 | 1,118,259 | ||||||||||||||||||
1,000,000 | ERIE CNTY PA HOSP AUTH | 7/1/2027 | 7.00 | 1,000,000 | 1,026,510 | ||||||||||||||||||
600,000 | ESCONDIDO CA SPL TAX | 9/1/2036 | 5.00 | 649,007 | 670,098 | ||||||||||||||||||
500,000 | FAIRFAX CNTY VA REDEV & HSG AUTH MF REVENUE | 8/1/2039 | 5.60 | 500,000 | 512,950 | ||||||||||||||||||
238,000 | FARMS NEW KENT VA CMNTY DEV AUTH SPL ASSMNT(c) | 3/1/2036 | 5.13 | 238,000 | 59,462 | ||||||||||||||||||
1,000,000 | FAYETTE CNTY KY SCH DIST FIN CORP | 8/1/2033 | 4.00 | 990,000 | 1,019,660 | ||||||||||||||||||
1,000,000 | FESTIVAL RANCH AZ CMNTY FACS DIST | 7/15/2024 | 6.25 | 1,005,791 | 1,071,380 | ||||||||||||||||||
315,000 | FIDDLERS CREEK FL CDD #2 SPL ASSMNT REVENUE(c) | 5/1/2013 | 5.75 | 314,118 | 233,100 | ||||||||||||||||||
875,000 | FISHHAWK CCD IV FL SPL ASSMNT REVENUE | 5/1/2033 | 7.00 | 875,000 | 919,380 | ||||||||||||||||||
1,000,000 | FLORIDA ST DEV FIN CORP EDUCTNL FACS REVENUE | 6/15/2034 | 6.00 | 990,329 | 1,001,160 | ||||||||||||||||||
1,000,000 | FLORIDA ST DEV FIN CORP EDUCTNL FACS REVENUE(d) | 6/15/2035 | 6.00 | 1,001,256 | 1,002,590 | ||||||||||||||||||
265,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2026 | 5.00 | 265,427 | 284,228 | ||||||||||||||||||
885,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2034 | 5.30 | 885,077 | 906,293 | ||||||||||||||||||
1,000,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2035 | 3.75 | 1,000,000 | 1,024,340 | ||||||||||||||||||
915,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2039 | 4.20 | 915,000 | 929,439 | ||||||||||||||||||
1,250,000 | FORT SILL APACHE TRIBE OK ECONDEV AUTH GAMING ENTERPRISE REV(d) | 8/25/2026 | 8.50 | 1,250,000 | 1,439,675 | ||||||||||||||||||
1,000,000 | FRANKLIN CNTY KS UNIF SCH DIST #290 | 9/1/2039 | 4.75 | 1,049,915 | 1,079,530 | ||||||||||||||||||
1,040,000 | FULTON CNTY GA DEV AUTH | 11/1/2028 | 5.25 | 908,920 | 965,494 | ||||||||||||||||||
1,000,000 | FYI PROPERTIES WA LEASE REVENUE | 6/1/2034 | 5.50 | 983,431 | 1,077,940 | ||||||||||||||||||
1,586,920 | GALVESTON CNTY TEX MUN UTIL DIST #52 | 2/22/2017 | 5.37 | 1,514,855 | 1,189,571 | ||||||||||||||||||
3,500,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2037 | 3.80 | 3,500,000 | 3,450,160 | ||||||||||||||||||
2,000,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2037 | 4.00 | 2,000,000 | 2,017,740 |
See accompanying notes to the financial statements. | 51 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Percent | |||||||||||||||||||||||
Maturity | Coupon | Fair | of | ||||||||||||||||||||
Par/Shares | Security | date | rate | Cost | value (a) | net assets | |||||||||||||||||
Municipal Bonds (Cont’d): | |||||||||||||||||||||||
4,500,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2040 | 3.80 | $ | 4,500,000 | 4,429,710 | |||||||||||||||||
1,000,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2041 | 3.85 | 1,005,689 | 1,001,550 | ||||||||||||||||||
1,950,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2043 | 3.90 | 1,946,803 | 1,896,024 | ||||||||||||||||||
3,750,000 | GLEN COVE NY LOCAL ECON ASSISTANCE CORP REVENUE(e) | 1/1/2045 | 0.00 | 716,376 | 676,537 | ||||||||||||||||||
550,000 | GLENDALE AZ INDL DEV AUTH | 11/15/2046 | 5.25 | 560,565 | 500,390 | ||||||||||||||||||
1,500,000 | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE(b) | 10/1/2035 | 0.00 | 940,674 | 1,265,805 | ||||||||||||||||||
1,115,000 | HAMILTON CNTY OH HLTH CARE REVENUE | 1/1/2031 | 6.13 | 1,089,402 | 1,266,908 | ||||||||||||||||||
1,250,000 | HARRIS CNTY TX CULTURAL EDU FACS FIN CORP REVENUE | 8/15/2021 | 6.75 | 1,250,000 | 1,331,262 | ||||||||||||||||||
1,500,000 | HARTNELL CA CMNTY CLG DIST(b) | 8/1/2034 | 0.00 | 801,916 | 1,453,035 | ||||||||||||||||||
3,500,000 | HEALDSBURG CA UNIF SCH DIST(b) | 8/1/2037 | 0.00 | 2,421,584 | 2,780,855 | ||||||||||||||||||
1,000,000 | HELENDALE CA SCH DIST(b) | 8/1/2034 | 0.00 | 653,103 | 1,102,370 | ||||||||||||||||||
750,000 | HEMPSTEAD TOWN NY LOCAL DEV CORP REVENUE | 9/1/2038 | 5.00 | 755,452 | 817,762 | ||||||||||||||||||
2,000,000 | HENDERSON NV HLTHCARE FAC REVENUE | 7/1/2031 | 5.25 | 2,000,000 | 2,027,000 | ||||||||||||||||||
840,000 | HERITAGE HARBOUR FL N CDD SPLASSMNT | 5/1/2034 | 5.00 | 840,000 | 841,319 | ||||||||||||||||||
1,000,000 | HIDALGO CNTY TX REGL MOBILITY AUTH VEHICLE REGISTRATION FEE | 12/1/2038 | 5.25 | 1,026,790 | 1,119,730 | ||||||||||||||||||
43,000 | HOUMA-TERREBONNE LA PUBLIC TRUST FING AUTH SF MTGE | 12/1/2040 | 5.15 | 44,319 | 43,021 | ||||||||||||||||||
1,500,000 | HOUSTON TX HGR EDU FIN CORP | 9/1/2038 | 5.50 | 1,536,508 | 1,660,305 | ||||||||||||||||||
200,000 | IDAHO ST HLTH FACS AUTH REVENUE | 10/1/2021 | 6.00 | 200,000 | 200,028 | ||||||||||||||||||
750,000 | IDAHO ST HLTH FACS AUTH REVENUE | 10/1/2024 | 7.00 | 750,000 | 799,207 | ||||||||||||||||||
750,000 | IDAHO ST HLTH FACS AUTH REVENUE | 10/1/2029 | 7.38 | 742,283 | 785,647 | ||||||||||||||||||
1,500,000 | ILLINOIS ST | 2/1/2030 | 4.00 | 1,492,362 | 1,489,380 | ||||||||||||||||||
500,000 | ILLINOIS ST | 7/1/2033 | 5.50 | 498,790 | 515,690 | ||||||||||||||||||
250,000 | ILLINOIS ST COPS | 7/1/2017 | 5.80 | 250,000 | 250,585 | ||||||||||||||||||
1,000,000 | ILLINOIS ST EDUCTNL FACS AUTH | 11/1/2036 | 4.50 | 1,000,000 | 1,023,830 | ||||||||||||||||||
500,000 | ILLINOIS ST FIN AUTH EDU REVENUE | 9/1/2032 | 6.00 | 500,000 | 545,170 | ||||||||||||||||||
675,000 | ILLINOIS ST FIN AUTH EDUCTNL FAC REVENUE | 2/1/2034 | 6.00 | 682,700 | 697,342 | ||||||||||||||||||
610,000 | ILLINOIS ST FIN AUTH REVENUE | 8/15/2026 | 6.00 | 610,000 | 610,616 | ||||||||||||||||||
500,000 | ILLINOIS ST FIN AUTH REVENUE | 3/15/2027 | 5.00 | 500,780 | 504,315 | ||||||||||||||||||
435,000 | ILLINOIS ST FIN AUTH REVENUE | 5/15/2029 | 5.25 | 436,138 | 459,169 | ||||||||||||||||||
1,045,000 | ILLINOIS ST FIN AUTH REVENUE | 5/15/2030 | 5.50 | 1,061,945 | 1,088,775 | ||||||||||||||||||
500,000 | ILLINOIS ST FIN AUTH REVENUE | 5/15/2036 | 5.00 | 501,828 | 506,695 | ||||||||||||||||||
750,000 | ILLINOIS ST FIN AUTH REVENUE | 11/15/2036 | 5.25 | 750,000 | 751,425 | ||||||||||||||||||
570,000 | ILLINOIS ST FIN AUTH REVENUE | 2/1/2037 | 5.25 | 570,041 | 572,149 | ||||||||||||||||||
750,000 | ILLINOIS ST FIN AUTH REVENUE | 12/1/2037 | 5.00 | 772,801 | 769,507 | ||||||||||||||||||
500,000 | ILLINOIS ST FIN AUTH REVENUE | 3/1/2038 | 6.00 | 486,554 | 549,545 | ||||||||||||||||||
1,000,000 | ILLINOIS ST HSG DEV AUTH | 7/1/2034 | 4.95 | 1,000,000 | 1,084,280 | ||||||||||||||||||
500,000 | ILLINOIS ST HSG DEV AUTH | 7/1/2047 | 4.50 | 465,720 | 500,020 | ||||||||||||||||||
1,500,000 | ILLINOIS ST SPORTS FACS AUTH | 6/15/2031 | 5.25 | 1,608,744 | 1,652,355 | ||||||||||||||||||
1,000,000 | IMPERIAL CA CMNTY CLG DIST | 8/1/2040 | 6.75 | 1,000,000 | 1,255,660 | ||||||||||||||||||
500,000 | INDIANA ST BOND BANK REVENUE | 2/1/2029 | 5.50 | 492,612 | 537,610 |
See accompanying notes to the financial statements. | 52 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
3,000,000 | INDIANA ST FIN AUTH REVENUE | 9/15/2030 | 6.50 | $ | 3,048,286 | 3,402,990 | |||||||
500,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2031 | 5.50 | 493,484 | 540,945 | ||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2033 | 6.50 | 987,328 | 1,105,870 | ||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 3/1/2041 | 5.00 | 1,046,202 | 1,053,870 | ||||||||
500,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2041 | 5.88 | 540,235 | 550,475 | ||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2041 | 6.00 | 987,172 | 1,108,980 | ||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2046 | 5.25 | 1,041,385 | 1,048,640 | ||||||||
1,500,000 | INDIANA ST HSG & CMNTY DEV | ||||||||||||
AUTH MF HSG REVENUE | 1/1/2036 | 5.75 | 1,500,000 | 1,407,750 | |||||||||
1,500,000 | IOWA ST FIN AUTH REVENUE | 5/15/2036 | 5.00 | 1,673,327 | 1,589,745 | ||||||||
75,000 | JEFFERSON PARISH LA FIN AUTH | 12/1/2048 | 5.70 | 78,734 | 77,858 | ||||||||
790,000 | KANSAS CITY MO INDL DEV AUTH | 9/1/2023 | 5.45 | 790,000 | 818,859 | ||||||||
1,000,000 | KANSAS CITY MO INDL DEV AUTH | 11/20/2039 | 5.10 | 1,000,000 | 1,075,320 | ||||||||
1,500,000 | KANSAS CITY MO INDL DEV AUTH SENIOR LIVING FACS REVENUE(d) | 11/15/2036 | 5.75 | 1,500,000 | 1,429,275 | ||||||||
1,000,000 | KENTUCKY ST HSG CORP HSG REVENUE | 7/1/2028 | 3.75 | 986,192 | 1,025,970 | ||||||||
750,000 | KING CNTY WA HSG AUTH | 5/1/2028 | 5.20 | 750,000 | 793,582 | ||||||||
465,000 | KIRKWOOD MO INDL DEV AUTH | ||||||||||||
RETMNT CMNTY REVENUE | 5/15/2021 | 8.00 | 465,000 | 505,371 | |||||||||
175,000 | LAFAYETTE LA PUBLIC TRUST FING AUTH SF MTGE | 1/1/2041 | 5.35 | 178,911 | 177,544 | ||||||||
500,000 | LAKE CNTY IL SCH DIST #33 | 12/1/2040 | 5.00 | 525,665 | 527,960 | ||||||||
500,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2025 | 4.25 | 498,942 | 495,820 | ||||||||
1,800,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2030 | 7.40 | 1,784,922 | 2,090,250 | ||||||||
750,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2033 | 6.70 | 750,000 | 828,637 | ||||||||
1,000,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2034 | 5.35 | 1,000,000 | 993,670 | ||||||||
1,400,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2036 | 5.00 | 1,400,000 | 1,374,380 | ||||||||
1,000,000 | LAMBERTSON FARMS CO MET DIST #1 REVENUE | 12/15/2025 | 5.00 | 991,140 | 982,290 | ||||||||
500,000 | LAMBERTSON FARMS CO MET DIST #1 REVENUE | 12/15/2035 | 5.50 | 500,000 | 485,670 | ||||||||
2,000,000 | LAS VEGAS NV REDEV AGY TAX INCR REVENUE | 6/15/2023 | 7.50 | 1,987,246 | 2,292,380 | ||||||||
235,000 | LEHIGH CNTY PA GEN PURPOSE AUTH | 8/15/2042 | 1.62 | 235,000 | 195,511 | ||||||||
750,000 | LEWISVILLE TX COMB CONTRACT REVENUE | 9/1/2024 | 3.00 | 742,386 | 753,742 | ||||||||
470,000 | LEXINGTON OAKS FL CDD SPL ASSMNT REVENUE | 5/1/2033 | 5.65 | 470,000 | 492,630 | ||||||||
750,000 | LEYDEN ROCK MET DIST #10 | 12/1/2045 | 5.00 | 767,817 | 693,030 | ||||||||
1,000,000 | LITTLETON VLG MET DIST #2COLO SPL REV | 12/1/2045 | 5.38 | 996,324 | 946,450 | ||||||||
180,000 | LOMBARD IL PUBLIC FACS CORP CONFERENCE CENTER & HOTEL REVENU(c) | 1/1/2015 | 6.38 | 180,000 | 57,600 | ||||||||
550,000 | LOMBARD IL PUBLIC FACS CORP CONFERENCE CENTER & HOTEL REVENU | 1/1/2030 | 5.50 | 550,000 | 442,744 | ||||||||
1,000,000 | LOMBARD IL PUBLIC FACS CORP CONFERENCE CENTER & HOTEL REVENU(c) | 1/1/2036 | 5.25 | 1,005,522 | 292,500 |
See accompanying notes to the financial statements. | 53 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
385,000 | LONG LAKE RANCH CMNTY DEV DISTFLA CAP IMPT REV | 5/1/2024 | 5.63 | $ | 385,000 | 383,164 | |||||||
300,000 | LONG LAKE RANCH CMNTY DEV DISTFLA CAP IMPT REV | 5/1/2026 | 4.00 | 299,529 | 284,916 | ||||||||
35,000 | LONG LAKE RANCH CMNTY DEV DISTFLA CAP IMPT REV | 5/1/2044 | 5.75 | 34,289 | 33,997 | ||||||||
700,000 | LONG LAKE RANCH CMNTY DEV DISTFLA CAP IMPT REV | 5/1/2046 | 4.75 | 690,151 | 624,862 | ||||||||
1,000,000 | LOUISIANA ST ENERGY & PWR AUTH PWR PROJ REVENUE | 6/1/2038 | 5.25 | 1,016,269 | 1,111,950 | ||||||||
275,000 | LOUISIANA ST HSG FIN AGY SF MTGE REVENUE | 12/1/2034 | 5.10 | 275,000 | 284,531 | ||||||||
170,000 | LOUISIANA ST HSG FIN AGY SF MTGE REVENUE | 12/1/2038 | 5.70 | 170,578 | 174,682 | ||||||||
120,000 | LOUISIANA ST HSG FIN AGY SF MTGE REVENUE | 6/1/2039 | 5.60 | 123,700 | 126,502 | ||||||||
500,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH | 11/15/2025 | 5.25 | 534,691 | 505,980 | ||||||||
1,000,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH | 11/15/2030 | 6.00 | 1,017,101 | 1,035,380 | ||||||||
500,000 | LOUISIANA ST PUBLIC FACS AUTH HOSP REVENUE | 7/1/2035 | 5.00 | 543,955 | 548,960 | ||||||||
750,000 | LOUISIANA ST PUBLIC FACS AUTH REVENUE | 5/1/2031 | 6.50 | 747,169 | 826,740 | ||||||||
445,000 | LOUISIANA ST PUBLIC FACS AUTH REVENUE | 2/15/2036 | 1.30 | 445,000 | 396,851 | ||||||||
500,000 | LUCAS CNTY OH HLTH CARE FACS REVENUE | 8/15/2030 | 5.50 | 492,897 | 549,280 | ||||||||
1,500,000 | LUCAS MET HSG AUTH OH COPS | 11/1/2036 | 5.00 | 1,576,415 | 1,570,815 | ||||||||
1,480,000 | LUZERNE CNTY PA | 11/1/2026 | 7.00 | 1,518,399 | 1,649,401 | ||||||||
1,000,000 | MACON & MOULTRIE CNTYS IL CMNTY SCH DIST #3 MOUNT ZION | 12/1/2041 | 5.50 | 1,026,531 | 1,113,490 | ||||||||
1,000,000 | MACON CNTY IL SCH DIST #61 | 1/1/2037 | 5.25 | 1,016,888 | 1,080,350 | ||||||||
250,000 | MAGNOLIA CREEK FL CDD CAPITAL IMPT REVENUE(c) | 5/1/2014 | 5.60 | 250,000 | 52,500 | ||||||||
1,000,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2035 | 4.00 | 1,000,000 | 1,010,750 | ||||||||
1,000,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2036 | 3.90 | 1,000,000 | 1,003,870 | ||||||||
1,000,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2040 | 3.55 | 1,000,000 | 923,910 | ||||||||
1,500,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2040 | 3.85 | 1,500,000 | 1,476,900 | ||||||||
1,000,000 | MAINE ST HSG AUTH MTGE REVENUE | 11/15/2037 | 4.50 | 1,000,000 | 1,031,190 | ||||||||
1,000,000 | MALTA IL TAX INCR REVENUE(c) | 12/30/2025 | 5.75 | 1,000,000 | 379,920 | ||||||||
500,000 | MANATEE CNTY FL SCH BRD COPS | 7/1/2031 | 5.63 | 496,299 | 559,710 | ||||||||
404,629 | MANHATTAN IL SPL SVC AREA SPL TAX(c) | 3/1/2022 | 5.75 | 404,629 | 72,696 | ||||||||
800,000 | MAPLE-STEELE ND JT WTR RESOURCE DIST | 5/1/2030 | 4.00 | 800,000 | 799,976 | ||||||||
650,000 | MARICOPA CNTY AZ INDL DEV AUTH EDU REVENUE | 7/1/2035 | 5.00 | 700,912 | 665,808 | ||||||||
750,000 | MARICOPA CNTY AZ INDL DEV AUTH SENIOR LIVING FACS REVENUE(d) | 1/1/2036 | 5.75 | 741,400 | 692,505 | ||||||||
462,000 | MARQUIS VA CMNTY DEV AUTH REVENUE(e) | 9/1/2041 | 0.00 | 121,213 | 58,429 | ||||||||
349,000 | MARQUIS VA CMNTY DEV AUTH REVENUE | 9/1/2041 | 5.63 | 376,059 | 267,927 | ||||||||
750,000 | MARSHALL CREEK FL CDD SPL ASSMNT | 5/1/2032 | 5.00 | 767,927 | 743,212 | ||||||||
750,000 | MARTINEZ CA UNIF SCH DIST(b) | 8/1/2035 | 6.13 | 632,038 | 959,295 |
See accompanying notes to the financial statements. | 54 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
455,000 | MARYLAND ST CMNTY DEV ADMIN DEPT HSG & CMNTY DEV | 9/1/2030 | 5.13 | $ | 455,000 | 482,796 | |||||||
500,000 | MARYLAND ST CMNTY DEV ADMIN DEPT HSG & CMNTY DEV | 7/1/2031 | 4.50 | 500,000 | 521,510 | ||||||||
499,687 | MASHANTUCKET WSTRN PEQUOT TRIBE CT | 7/1/2031 | 6.05 | 525,480 | 19,718 | ||||||||
855,000 | MASSACHUSETTS ST DEV FIN AGY REVENUE | 7/1/2030 | 6.38 | 845,438 | 914,987 | ||||||||
1,110,000 | MASSACHUSETTS ST EDUCTNL FING AUTH | 1/1/2028 | 5.25 | 1,110,000 | 1,170,417 | ||||||||
700,000 | MASSACHUSETTS ST HSG FIN AGY | 12/1/2033 | 5.00 | 700,000 | 733,607 | ||||||||
700,000 | MASSACHUSETTS ST HSG FIN AGY | 12/1/2038 | 5.15 | 700,000 | 730,254 | ||||||||
1,000,000 | MASSACHUSETTS ST HSG FIN AGY | 12/1/2043 | 5.00 | 1,000,000 | 1,055,510 | ||||||||
790,000 | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE | 6/1/2040 | 5.05 | 790,000 | 811,678 | ||||||||
3,100,000 | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE | 12/1/2043 | 4.00 | 3,100,000 | 3,034,807 | ||||||||
2,000,000 | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE | 6/1/2046 | 4.20 | 2,000,000 | 2,024,800 | ||||||||
160,000 | MEAD NE TAX INCR REVENUE(c) | 7/1/2012 | 5.13 | 160,000 | 3,773 | ||||||||
1,000,000 | MEDFORD OR HOSP FACS AUTH REVENUE | 10/1/2042 | 5.00 | 1,037,641 | 1,044,160 | ||||||||
600,000 | MERRILLVILLE IN ECON DEV REVENUE | 4/1/2036 | 5.75 | 600,000 | 557,424 | ||||||||
1,070,000 | MET GOVT NASHVILLE & DAVIDSON CNTY TN HLTH & EDUCTNL FAC BRD(c) | 12/20/2020 | 8.00 | 1,070,000 | 1,059,300 | ||||||||
855,000 | MET GOVT NASHVILLE & DAVIDSON CNTY TN HLTH & EDUCTNL FAC BRD(c) | 6/20/2036 | 10.00 | 855,000 | 85,500 | ||||||||
1,830,000 | MET GOVT NASHVILLE & DAVIDSON CNTY TN HLTH & EDUCTNL FAC BRD(c) | 12/20/2040 | 7.50 | 1,830,000 | 1,830,000 | ||||||||
500,000 | MIAMI-DADE CNTY FL HLTH FACS AUTH HOSP REVENUE | 8/1/2030 | 6.00 | 488,187 | 556,565 | ||||||||
750,000 | MICHIGAN ST FIN AUTH REVENUE | 11/15/2035 | 5.25 | 745,312 | 745,515 | ||||||||
1,500,000 | MICHIGAN ST HOSP FIN AUTH | 6/1/2034 | 6.13 | 1,524,305 | 1,666,290 | ||||||||
1,000,000 | MICHIGAN ST HSG DEV AUTH | 10/1/2034 | 5.63 | 1,000,000 | 1,031,310 | ||||||||
1,850,000 | MICHIGAN ST HSG DEV AUTH | 10/1/2035 | 4.10 | 1,850,000 | 1,869,517 | ||||||||
1,000,000 | MICHIGAN ST HSG DEV AUTH | 12/1/2035 | 3.95 | 1,000,000 | 1,003,350 | ||||||||
1,000,000 | MICHIGAN ST HSG DEV AUTH | 12/1/2036 | 3.70 | 1,000,000 | 981,980 | ||||||||
940,000 | MICHIGAN ST HSG DEV AUTH | 12/1/2040 | 3.95 | 940,000 | 922,836 | ||||||||
2,500,000 | MICHIGAN ST HSG DEV AUTH | 12/1/2045 | 3.70 | 2,500,000 | 2,339,500 | ||||||||
1,000,000 | MICHIGAN ST MUNI BOND AUTH | 5/1/2023 | 5.75 | 1,009,727 | 1,094,690 | ||||||||
221,418 | MICHIGAN ST PUBLIC EDUCTNL FACS AUTH(c)(d)(f) | 9/1/2016 | 6.00 | 218,373 | 210,329 | ||||||||
360,000 | MICHIGAN ST PUBLIC EDUCTNL FACS AUTH(c) | 10/1/2023 | 6.25 | 360,000 | 107,932 | ||||||||
500,000 | MICHIGAN ST PUBLIC EDUCTNL FACS AUTH | 11/1/2028 | 6.35 | 500,000 | 500,715 | ||||||||
275,000 | MINNESOTA ST HSG FIN AGY | 7/1/2034 | 5.05 | 275,000 | 285,128 | ||||||||
570,000 | MINNESOTA ST HSG FIN AGY | 1/1/2040 | 5.10 | 570,000 | 589,597 | ||||||||
1,000,000 | MISSISSIPPI ST DEV BANK SPL OBLG | 10/1/2031 | 6.50 | 976,792 | 1,134,460 | ||||||||
40,000 | MISSISSIPPI ST HOME CORP SF MTGE REVENUE | 6/1/2039 | 6.75 | 41,747 | 41,696 | ||||||||
1,650,000 | MISSISSIPPI ST HOME CORP SF MTGE REVENUE | 12/1/2045 | 3.62 | 1,650,000 | 1,585,534 | ||||||||
95,000 | MISSOURI ST HSG DEV COMMISSION SF HSG REVENUE | 9/1/2034 | 5.35 | 95,000 | 98,354 |
See accompanying notes to the financial statements. | 55 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
1,085,000 | MONTANA ST BRD OF HSG | 12/1/2038 | 3.75 | $ | 1,085,000 | 1,089,557 | |||||||
760,000 | MONTANA ST BRD OF HSG | 12/1/2038 | 5.20 | 760,000 | 810,274 | ||||||||
335,000 | MONTANA ST BRD OF HSG | 12/1/2039 | 5.50 | 335,012 | 347,355 | ||||||||
940,000 | MONTANA ST BRD OF HSG SF MTGE | 12/1/2038 | 4.00 | 943,312 | 945,320 | ||||||||
1,250,000 | MONTERRA FL CDD SPL ASSMNT | 5/1/2036 | 3.50 | 1,222,409 | 1,180,163 | ||||||||
1,000,000 | MONTGOMERY CNTY MD HSG OPPNTYS COMMN MFH & RECONSTR DEV REV | 7/1/2039 | 3.88 | 1,000,000 | 993,310 | ||||||||
500,000 | MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION MF REVENUE | 7/1/2037 | 5.13 | 500,000 | 523,205 | ||||||||
1,100,000 | MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION SF MTGE REVE | 7/1/2038 | 4.00 | 1,100,000 | 1,100,000 | ||||||||
750,000 | MOON INDL DEV AUTH PA REVENUE | 7/1/2030 | 5.63 | 741,267 | 771,030 | ||||||||
800,000 | MOUNT CARBON CO MET DIST REVENUE | 6/1/2043 | 7.00 | 800,000 | 470,912 | ||||||||
200,000 | MOUNT CARBON CO MET DIST REVENUE(c) | 6/1/2043 | 8.00 | - | 6,000 | ||||||||
500,000 | MULTNOMAH CNTY OR HOSP FACS AUTH REVENUE | 12/1/2029 | 5.00 | 526,090 | 546,875 | ||||||||
615,000 | MUNSTER IN ECON DEV TAX INCR REVENUE | 7/15/2026 | 4.75 | 612,646 | 656,826 | ||||||||
460,000 | N CENTRL TEXAS ST HLTH FAC DEV CORP | 2/15/2025 | 5.38 | 460,000 | 447,240 | ||||||||
955,000 | N SLOPE BORO AK SVC AREA 10 WTR & WSTWTR FACS | 6/30/2034 | 5.25 | 989,839 | 1,093,255 | ||||||||
45,000 | N SLOPE BORO AK SVC AREA 10 WTR & WSTWTR FACS | 6/30/2034 | 5.25 | 46,646 | 48,388 | ||||||||
425,000 | N SPRINGS FL IMPT DIST | 5/1/2027 | 6.00 | 425,000 | 428,770 | ||||||||
1,000,000 | N TX TOLLWAY AUTH REVENUE | 1/1/2034 | 6.00 | 1,000,000 | 1,145,670 | ||||||||
1,000,000 | N TX TOLLWAY AUTH REVENUE(b) | 1/1/2042 | 6.20 | 700,102 | 1,225,690 | ||||||||
1,000,000 | NATRONA CNTY WY HOSP REVENUE | 9/15/2031 | 6.35 | 1,000,000 | 1,114,290 | ||||||||
500,000 | NAVAJO NATION AZ(d) | 12/1/2030 | 5.50 | 533,725 | 533,730 | ||||||||
980,000 | NEBRASKA ST INVESTMENT FIN AUTH SF HSG REVENUE | 9/1/2035 | 3.90 | 980,000 | 981,245 | ||||||||
1,750,000 | NEVADA ST HSG DIV SF MTGE REVENUE | 10/1/2039 | 3.85 | 1,750,000 | 1,723,803 | ||||||||
250,000 | NEVADA ST HSG DIV SF MTGE REVENUE | 10/1/2040 | 5.10 | 250,000 | 256,395 | ||||||||
1,000,000 | NEW HAMPSHIRE ST HLTH & EDU FACS AUTH REVENUE | 1/1/2034 | 6.00 | 972,925 | 1,117,160 | ||||||||
500,000 | NEW HAMPSHIRE ST HLTH & EDU FACS AUTH REVENUE | 8/1/2038 | 6.00 | 491,085 | 548,955 | ||||||||
1,000,000 | NEW HAMPSHIRE ST HSG FIN AUTH MF REVENUE | 7/1/2031 | 5.20 | 1,000,000 | 1,061,860 | ||||||||
370,000 | NEW HAMPSHIRE ST HSG FIN AUTH SF REVENUE | 7/1/2034 | 5.38 | 370,000 | 381,570 | ||||||||
170,000 | NEW HAMPSHIRE ST HSG FIN AUTH SF REVENUE | 7/1/2038 | 6.63 | 173,220 | 179,268 | ||||||||
750,000 | NEW HOPE CULTURAL ED FACS FINCORP TX RETIREMENT FAC REVENUE | 1/1/2035 | 5.50 | 765,525 | 770,003 | ||||||||
750,000 | NEW HOPE CULTURAL EDU FACS FIN CORP TX STUDENT HSG REV | 7/1/2035 | 5.00 | 774,077 | 781,095 | ||||||||
1,100,000 | NEW HOPE CULTURAL EDU FACS FIN CORP TX STUDENT HSG REV | 4/1/2046 | 5.00 | 1,153,036 | 1,172,875 |
See accompanying notes to the financial statements. | 56 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
750,000 | NEW HOPE CULTURAL EDU FACS FINCORP TX EDU REVENUE(d) | 8/15/2036 | 5.00 | $ | 758,504 | 715,320 | |||||||
1,000,000 | NEW HOPE CULTURAL EDU FACS FINCORP TX EDU REVENUE | 8/15/2036 | 5.50 | 1,006,883 | 1,000,330 | ||||||||
335,000 | NEW JERSEY ST HGR EDU ASSISTANCE AUTH STUDENT LOAN REVENUE | 6/1/2024 | 5.38 | 333,880 | 353,526 | ||||||||
940,000 | NEW JERSEY ST HSG & MTGE FIN AGY | 10/1/2030 | 4.50 | 940,000 | 987,085 | ||||||||
390,000 | NEW JERSEY ST HSG & MTGE FIN AGY | 10/1/2034 | 5.00 | 390,000 | 400,499 | ||||||||
600,000 | NEW JERSEY ST HSG & MTGE FIN AGY | 10/1/2035 | 5.00 | 600,000 | 615,372 | ||||||||
975,000 | NEW JERSEY ST HSG & MTGE FIN AGY | 10/1/2037 | 5.00 | 968,722 | 995,748 | ||||||||
1,000,000 | NEW JERSEY ST HSG & MTGE FIN AGY MF CONDUIT REVENUE | 1/1/2030 | 3.60 | 1,000,000 | 1,008,670 | ||||||||
1,000,000 | NEW JERSEY ST HSG & MTGE FIN AGY MF REVENUE | 5/1/2041 | 4.95 | 968,990 | 1,032,770 | ||||||||
1,000,000 | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH | 6/15/2024 | 5.00 | 1,038,367 | 1,038,200 | ||||||||
1,000,000 | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH | 6/15/2030 | 5.00 | 1,031,712 | 1,027,590 | ||||||||
500,000 | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH | 6/15/2041 | 5.25 | 511,287 | 508,855 | ||||||||
235,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2029 | 4.80 | 235,000 | 240,976 | ||||||||
470,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2034 | 5.00 | 470,000 | 487,310 | ||||||||
490,000 | NEW MEXICO ST MTGE FIN AUTH | 3/1/2036 | 5.45 | 490,000 | 506,141 | ||||||||
795,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2042 | 3.90 | 795,000 | 791,128 | ||||||||
1,120,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2042 | 4.13 | 1,120,000 | 1,132,163 | ||||||||
960,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2046 | 3.80 | 960,000 | 917,136 | ||||||||
115,000 | NEW RIVER FL CDD CAPITAL IMPT REVENUE(c) | 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 | 999,960 | ||||||||
1,000,000 | NEW YORK CITY NY HSG DEV CORPMF HSG REVENUE | 11/1/2039 | 4.30 | 1,000,000 | 1,014,360 | ||||||||
2,000,000 | NEW YORK CITY NY MUNI WTR FINAUTH WTR & SWR SYS REVENUE | 6/15/2038 | 5.00 | 2,175,453 | 2,270,920 | ||||||||
1,000,000 | NEW YORK ST HSG FIN AGY | 11/1/2041 | 4.10 | 1,000,000 | 1,010,020 | ||||||||
1,500,000 | NEW YORK ST HSG FIN AGY REVENUE | 11/1/2034 | 3.65 | 1,500,000 | 1,500,900 | ||||||||
500,000 | NEW YORK ST HSG FIN AGY REVENUE | 11/1/2045 | 5.10 | 500,000 | 528,195 | ||||||||
4,000,000 | NEW YORK ST HSG FIN AGY REVENUE | 5/1/2048 | 4.10 | 4,000,000 | 4,013,160 | ||||||||
1,000,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2036 | 3.90 | 1,000,000 | 1,005,120 | ||||||||
750,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2038 | 3.75 | 750,000 | 729,278 | ||||||||
1,450,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2040 | 3.80 | 1,450,000 | 1,416,621 | ||||||||
1,465,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2040 | 4.13 | 1,465,000 | 1,485,451 |
See accompanying notes to the financial statements. | 57 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
500,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2042 | 3.75 | $ | 500,000 | 480,775 | |||||||
500,000 | NORTH CAROLINA ST CAPITAL FACS FIN AGY EDUCTNL FACS REVENUE | 6/1/2023 | 5.00 | 500,000 | 500,575 | ||||||||
470,000 | NORTH DAKOTA ST HSG FIN AGY | 7/1/2032 | 3.60 | 470,000 | 470,038 | ||||||||
500,000 | NORTH SPRINGS FL IMPT DIST | 5/1/2044 | 6.50 | 500,000 | 501,025 | ||||||||
1,000,000 | NTHRN IL UNIV | 4/1/2026 | 5.50 | 1,007,044 | 1,070,150 | ||||||||
1,400,000 | NTHRN PALM BEACH CNTY FL IMPT DIST | 8/1/2029 | 5.00 | 1,409,890 | 1,431,864 | ||||||||
2,000,000 | OAK PARK CA UNIF SCH DIST(b) | 8/1/2038 | 0.00 | 1,140,683 | 2,150,500 | ||||||||
970,000 | OAKLAND CNTY MI ECON DEV CORP LTD OBLG REVENUE | 12/1/2020 | 6.50 | 967,001 | 1,000,972 | ||||||||
310,000 | OHIO ST HSG FIN AGY RSDL MTGE REVENUE | 9/1/2033 | 5.40 | 310,000 | 318,947 | ||||||||
1,000,000 | OHIO ST HSG FIN AGY RSDL MTGE REVENUE | 9/1/2039 | 3.35 | 889,936 | 903,670 | ||||||||
4,065,471 | OKLAHOMA CNTY OK HOME FIN AUTH SF REVENUE(e) | 9/1/2034 | 0.00 | 1,394,689 | 1,423,077 | ||||||||
155,000 | OKLAHOMA ST HSG FIN AGY SF MTGE REVENUE | 3/1/2032 | 5.15 | 155,000 | 159,793 | ||||||||
140,000 | OKLAHOMA ST HSG FIN AGY SF MTGE REVENUE | 9/1/2038 | 6.50 | 141,943 | 145,652 | ||||||||
1,000,000 | ORANGE CNTY FL HLTH FACS AUTH REVENUE | 8/1/2034 | 5.00 | 1,053,451 | 1,058,130 | ||||||||
750,000 | ORANGE CNTY FL HLTH FACS AUTH REVENUE | 8/1/2035 | 5.00 | 788,409 | 789,533 | ||||||||
1,000,000 | ORANGE CNTY FL HLTH FACS AUTH REVENUE | 8/1/2047 | 5.00 | 1,093,895 | 1,044,890 | ||||||||
960,000 | ORANGE CNTY FL HSG FIN AUTH | 9/1/2035 | 3.80 | 960,000 | 947,309 | ||||||||
1,250,000 | OREGON ST | 12/1/2034 | 3.62 | 1,250,000 | 1,259,888 | ||||||||
2,000,000 | OREGON ST | 12/1/2039 | 3.90 | 2,000,000 | 2,013,960 | ||||||||
905,000 | OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE | 7/1/2038 | 4.00 | 905,000 | 902,412 | ||||||||
500,000 | PALISADE CO MET DIST #2 LIMITED TAX | 12/1/2046 | 5.00 | 511,166 | 455,590 | ||||||||
500,000 | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | 6/1/2034 | 7.25 | 500,000 | 578,415 | ||||||||
1,200,000 | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | 5/15/2036 | 5.00 | 1,338,662 | 1,271,796 | ||||||||
500,000 | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | 6/1/2049 | 7.50 | 492,509 | 584,400 | ||||||||
1,000,000 | PELL CITY AL SPL CARE FACS FING AUTH REVENUE | 12/1/2031 | 5.00 | 1,051,640 | 1,061,190 | ||||||||
500,000 | PENNSYLVANIA ST HGR EDUCTNL FACS AUTH REVENUE | 7/1/2039 | 1.22 | 500,000 | 386,350 | ||||||||
1,000,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2037 | 3.65 | 1,004,333 | 992,760 | ||||||||
500,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2038 | 4.00 | 500,000 | 505,875 | ||||||||
1,700,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2040 | 4.05 | 1,700,000 | 1,702,159 | ||||||||
1,500,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2040 | 4.05 | 1,500,000 | 1,516,725 | ||||||||
630,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2042 | 3.70 | 630,000 | 649,265 | ||||||||
1,935,000 | PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE(b) | 12/1/2035 | 5.13 | 1,545,409 | 2,091,812 | ||||||||
1,500,000 | PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE(b) | 12/1/2037 | 0.00 | 1,100,936 | 1,294,515 | ||||||||
1,000,000 | PEORIA AZ INDL DEV AUTH | 11/15/2029 | 5.25 | 1,000,000 | 998,550 |
See accompanying notes to the financial statements. | 58 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
5,000,000 | PEORIA IL PUBLIC BLDG COMMISSION SCH DIST FACS REVENUE(e) | 12/1/2026 | 0.00 | $ | 2,720,652 | 2,869,900 | |||||||
400,000 | PHILADELPHIA PA AUTH FOR INDL DEV REVENUES | 6/15/2023 | 6.13 | 400,000 | 426,384 | ||||||||
750,000 | PHILADELPHIA PA AUTH FOR INDL DEV REVENUES | 8/1/2036 | 5.63 | 739,013 | 743,370 | ||||||||
1,000,000 | PHOENIX AZ INDL DEV AUTH EDU REVENUE(d) | 7/1/2036 | 5.13 | 984,778 | 920,140 | ||||||||
2,500,000 | PHOENIX AZ INDL DEV AUTH LEASE REVENUE | 6/1/2034 | 5.25 | 2,529,294 | 2,755,700 | ||||||||
1,000,000 | PIKE PLACE MARKET WA PRESERVATION & DEV AUTH SPL OBLG | 12/1/2040 | 5.00 | 1,071,258 | 1,089,240 | ||||||||
110,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | 12/1/2018 | 6.38 | 110,000 | 113,400 | ||||||||
2,100,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | 7/1/2026 | 5.50 | 2,095,412 | 1,976,940 | ||||||||
1,000,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE(d) | 12/1/2026 | 5.25 | 1,000,000 | 1,012,300 | ||||||||
10,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | 7/1/2031 | 6.75 | 7,644 | 10,050 | ||||||||
2,625,000 | PITTSBURG CALIF UNI SCH DIST FING AUTH REV(e) | 9/1/2031 | 0.00 | 1,164,621 | 1,164,214 | ||||||||
1,000,000 | POINCIANA FL W CDD SPL ASSMNT | 5/1/2030 | 5.38 | 988,250 | 991,970 | ||||||||
750,000 | POLK CNTY OR HOSP FAC AUTH REVENUE | 7/1/2035 | 5.13 | 750,000 | 730,335 | ||||||||
2,000,000 | PORT SAINT LUCIE FL RESEARCH FACS REVENUE | 5/1/2033 | 5.00 | 2,051,758 | 1,951,900 | ||||||||
1,000,000 | PROMENADE CASTLE ROCK CO MET DIST #1 | 12/1/2025 | 5.13 | 1,000,000 | 998,890 | ||||||||
710,000 | PUBLIC FIN AUTH WI CCRC REVENUE | 6/1/2020 | 7.00 | 704,709 | 771,784 | ||||||||
1,500,000 | PUBLIC FIN AUTH WI CCRC REVENUE | 6/1/2046 | 8.25 | 1,550,890 | 1,788,240 | ||||||||
750,000 | PUBLIC FIN AUTH WI REVENUE | 4/1/2025 | 5.00 | 755,026 | 760,065 | ||||||||
600,000 | PUBLIC FIN AUTH WI REVENUE | 4/1/2032 | 5.50 | 600,000 | 606,210 | ||||||||
427,010 | PUBLIC FIN AUTH WI REVENUE(e) | 10/1/2042 | 0.00 | 476,899 | 92,649 | ||||||||
515,000 | PUBLIC FIN AUTH WI REVENUE | 10/1/2042 | 7.00 | 556,555 | 495,018 | ||||||||
1,250,000 | PUBLIC FIN AUTH WI SENIOR LIVING REVENUE | 11/15/2024 | 5.00 | 1,245,919 | 1,296,875 | ||||||||
1,400,000 | PUBLIC FIN AUTH WIS ED REV(d) | 6/15/2036 | 5.00 | 1,405,121 | 1,246,378 | ||||||||
1,500,000 | PUERTO RICO CMWLTH | 7/1/2035 | 5.00 | 1,500,000 | 1,525,965 | ||||||||
1,000,000 | PUERTO RICO INDL TOURIST EDUCTNL MED & ENVRNMNTL CONTROL FAC | 11/15/2025 | 6.13 | 1,000,000 | 1,018,180 | ||||||||
1,260,000 | QUECHAN INDIAN TRIBE AZ FORT YUMA INDIAN RESERVATION | 5/1/2025 | 9.75 | �� | 1,260,000 | 1,361,354 | |||||||
750,000 | RED RIVER TX HLTH FACS DEV CORP RETIREMENT FAC REVENUE | 11/15/2034 | 7.50 | 746,254 | 840,233 | ||||||||
1,000,000 | REDONDO BEACH CA UNIF SCH DIST(b) | 8/1/2034 | 6.38 | 742,273 | 1,286,070 | ||||||||
750,000 | REEF-SUNSET CA UNIF SCH DIST(b) | 8/1/2038 | 0.00 | 532,325 | 656,258 | ||||||||
500,000 | RHODE ISLAND ST HLTH & EDUCTNL BLDG CORP | 5/15/2030 | 6.25 | 494,615 | 553,080 | ||||||||
1,000,000 | RHODE ISLAND ST HSG & MTGE FIN CORP | 10/1/2028 | 4.00 | 995,323 | 1,024,130 | ||||||||
750,000 | RHODE ISLAND ST HSG & MTGE FIN CORP | 10/1/2037 | 3.90 | 750,000 | 745,740 | ||||||||
1,000,000 | RHODE ISLAND ST HSG & MTGE FIN CORP | 10/1/2046 | 3.40 | 1,000,000 | 883,400 | ||||||||
1,000,000 | RIVERSIDE CA CMNTY PPTYS DEV INC LEASE REVENUE | 10/15/2038 | 6.00 | 1,020,046 | 1,171,650 |
See accompanying notes to the financial statements. | 59 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||
Municipal Bonds (Cont’d): | |||||||||||||
1,500,000 | S TAHOE CA JT PWRS FING AUTH LEASE REVENUE | 10/1/2030 | 5.00 | $ | 1,634,465 | 1,673,100 | |||||||
470,000 | S WSTRN IL DEV AUTH(c) | 10/1/2022 | 7.00 | 470,000 | 234,967 | ||||||||
350,000 | SACRAMENTO CNTY CA WTR FING AUTH REVENUE | 6/1/2039 | 1.19 | 350,000 | 281,813 | ||||||||
110,000 | SADDLEBACK VLY CA UNIF SCH DIST PUBLIC FING AUTH | 9/1/2017 | 5.65 | 110,000 | 110,415 | ||||||||
61,000 | SAINT BERNARD PARISH LA HOME MTGE AUTH SF MTGE | 3/1/2039 | 5.80 | 59,780 | 62,549 | ||||||||
500,000 | SAINT JOHNS CNTY FL INDL DEV AUTH REVENUE | 8/1/2040 | 5.88 | 493,403 | 569,690 | ||||||||
750,000 | SAINT LOUIS CNTY MO INDL DEV AUTH SENIOR LIVING FACS | 9/1/2042 | 5.00 | 766,675 | 786,503 | ||||||||
750,000 | SAINT TAMMANY LA PUBLIC TRUST FING AUTH | 11/15/2037 | 5.25 | 762,029 | 752,835 | ||||||||
1,000,000 | SAN CLEMENTE CA SPL TAX | 9/1/2040 | 5.00 | 1,062,012 | 1,051,140 | ||||||||
500,000 | SAN DIEGO CA HSG AUTH MF HSG REVENUE | 5/1/2029 | 5.00 | 500,000 | 536,430 | ||||||||
1,500,000 | SAN GABRIEL CA UNIF SCH DIST(b) | 8/1/2039 | 5.35 | 1,387,954 | 1,706,250 | ||||||||
1,000,000 | SAN JOSE CA FING AUTH | 6/1/2039 | 5.00 | 1,049,141 | 1,110,420 | ||||||||
500,000 | SANTA MONICA CA REDEV AGY | 7/1/2036 | 5.88 | 511,164 | 576,630 | ||||||||
1,000,000 | SARASOTA CNTY FL HLTH FACS AUTH RETMNT FAC REVENUE | 1/1/2032 | 5.50 | 1,003,357 | 1,043,140 | ||||||||
1,000,000 | SCHERERVILLE IN ECON DEV REVENUE | 1/15/2030 | 6.00 | 1,015,080 | 1,159,820 | ||||||||
1,000,000 | SCOTTS BLUFF CNTY NE HOSP AUTH | 2/1/2037 | 5.25 | 1,056,863 | 1,051,940 | ||||||||
770,000 | SEATTLE WA HSG AUTH POOLED HSG REVENUE | 9/15/2033 | 5.75 | 782,813 | 875,205 | ||||||||
500,000 | SEMINOLE TRIBE FL SPL OBLG REVENUE(d) | 10/1/2024 | 5.50 | 500,651 | 511,170 | ||||||||
500,000 | SEVEN OAKS FL CMNTY DEV DIST SPL ASSMNT REVENUE | 5/1/2033 | 5.50 | 489,451 | 517,695 | ||||||||
150,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(c) | 1/1/2019 | 5.35 | 134,965 | 377 | ||||||||
625,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(c) | 1/1/2029 | 5.55 | 556,862 | 1,569 | ||||||||
130,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(c) | 1/1/2029 | 6.00 | - | 1 | ||||||||
750,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE | 9/1/2037 | 5.00 | 802,553 | 749,948 | ||||||||
525,000 | SHERIDAN AR SCH DIST #37 | 2/1/2047 | 4.00 | 541,797 | 528,308 | ||||||||
305,000 | SILVERLEAF FL CDD CAPITAL IMPT REVENUE | 5/1/2023 | 6.50 | 305,000 | 314,299 | ||||||||
240,000 | SILVERLEAF FL CDD CAPITAL IMPT REVENUE | 5/1/2044 | 6.75 | 235,565 | 246,799 | ||||||||
320,000 | SOUTH CAROLINA ST EDU ASSISTANCE AUTH | 10/1/2029 | 5.10 | 317,032 | 329,360 | ||||||||
1,000,000 | SOUTH CAROLINA ST JOBS-ECON DEV AUTH HOSP REVENUE | 2/1/2038 | 5.00 | 1,132,435 | 1,073,940 | ||||||||
356,475 | SOUTH CAROLINA ST JOBS-ECON DEV AUTH REVENUE | 11/15/2032 | 6.00 | 356,475 | 344,943 | ||||||||
345,347 | SOUTH CAROLINA ST JOBS-ECON DEV AUTH REVENUE(e) | 11/15/2047 | 0.00 | 336,346 | 31,972 | ||||||||
1,000,000 | SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE | 12/1/2038 | 5.00 | 1,060,282 | 1,106,190 | ||||||||
1,400,000 | SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE | 12/1/2043 | 5.75 | 1,468,987 | 1,667,820 |
See accompanying notes to the financial statements. | 60 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Percent | |||||||||||||||||||||||
Maturity | Coupon | Fair | of | ||||||||||||||||||||
Par/Shares | Security | date | rate | Cost | value (a) | net assets | |||||||||||||||||
Municipal Bonds (Cont’d): | |||||||||||||||||||||||
500,000 | SOUTH DAKOTA ST HLTH & EDUCTNL FACS AUTH | 9/1/2032 | 5.00 | $ | 499,500 | 537,005 | |||||||||||||||||
117,000 | SOUTHSIDE AZ CMNTY FACS DIST #1 SPL ASSMNT REVENUE PRESCOTT | 7/1/2018 | 6.13 | 107,021 | 106,382 | ||||||||||||||||||
1,000,000 | STC MET DIST #2 CO | 12/1/2038 | 6.00 | 970,294 | 962,020 | ||||||||||||||||||
150,000 | STERLING HILL FL CDD CAPITAL IMPT REVENUE(c) | 11/1/2010 | 5.50 | 150,000 | 97,500 | ||||||||||||||||||
1,000,000 | SUGAR LAND TX DEV CORP SALES TAX REVENUE | 2/15/2033 | 5.00 | 1,090,600 | 1,102,870 | ||||||||||||||||||
2,445,000 | SULPHUR SPRINGS CA UNION SCH DIST COPS(b) | 12/1/2037 | 6.50 | 1,894,081 | 3,014,156 | ||||||||||||||||||
1,500,000 | SUTTER BUTTE CA FLOOD AGY ASSMNT REVENUE | 10/1/2038 | 4.00 | 1,482,736 | 1,525,710 | ||||||||||||||||||
1,100,000 | TALLAHASSEE FL HLTH FACS REVENUE | 12/1/2040 | 5.00 | 1,167,420 | 1,150,710 | ||||||||||||||||||
1,000,000 | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP HOSP REVENUE | 11/15/2038 | 5.00 | 1,076,094 | 1,093,970 | ||||||||||||||||||
750,000 | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE | 11/15/2035 | 5.00 | 779,947 | 767,228 | ||||||||||||||||||
700,000 | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE | 5/15/2037 | 5.00 | 769,843 | 671,034 | ||||||||||||||||||
750,000 | TAYLOR MI BROWNFIELD REDEV AUTH | 5/1/2032 | 5.00 | 792,348 | 810,600 | ||||||||||||||||||
1,500,000 | TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE | 7/1/2041 | 3.25 | 1,500,000 | 1,353,630 | ||||||||||||||||||
780,000 | TENNESSEE ST HSG DEV AGY | 1/1/2035 | 3.85 | 780,000 | 788,042 | ||||||||||||||||||
1,140,000 | TENNESSEE ST HSG DEV AGY | 7/1/2043 | 3.80 | 1,140,000 | 1,128,714 | ||||||||||||||||||
395,000 | TEXAS ST DEPT OF HSG & CMNTY AFFAIRS | 7/1/2039 | 5.45 | 395,000 | 406,380 | ||||||||||||||||||
1,235,000 | TOLEDO-LUCAS CNTY OH PORT AUTHSTUDENT HSG REVENUE | 7/1/2039 | 5.00 | 1,237,229 | 1,268,407 | ||||||||||||||||||
105,000 | TOLOMATO FL CDD(c) | 5/1/2017 | 6.38 | 105,000 | 4,995 | ||||||||||||||||||
25,000 | TOLOMATO FL CDD | 5/1/2017 | 6.38 | 25,000 | 24,904 | ||||||||||||||||||
35,000 | TOLOMATO FL CDD(b) | 5/1/2039 | 0.00 | 23,893 | 27,773 | ||||||||||||||||||
185,000 | TOLOMATO FL CDD(b) | 5/1/2040 | 0.00 | 124,929 | 112,732 | ||||||||||||||||||
140,000 | TOLOMATO FL CDD(b) | 5/1/2040 | 0.00 | 94,493 | 75,186 | ||||||||||||||||||
115,000 | TOLOMATO FL CDD(b) | 5/1/2040 | 0.00 | 62,687 | 59,005 | ||||||||||||||||||
125,000 | TOLOMATO FL CDD(c) | 5/1/2040 | 6.61 | - | 1 | ||||||||||||||||||
1,000,000 | TRACY CA JT UNIF SCH DIST(b) | 8/1/2041 | 0.00 | 472,913 | 760,400 | ||||||||||||||||||
600,000 | TRAVIS CNTY TX HLTH FACS DEV CORP | 1/1/2046 | 7.13 | 678,118 | 655,614 | ||||||||||||||||||
750,000 | TROUT CREEK CDD FL CAPITAL IMPT REVENUE | 5/1/2035 | 5.50 | 743,100 | 711,285 | ||||||||||||||||||
500,000 | TSR CDD FL SPL ASSMNT REVENUE | 11/1/2035 | 5.38 | 498,527 | 494,590 | ||||||||||||||||||
500,000 | TURLOCK CA PUBLIC FING AUTH WTR REVENUE | 5/1/2032 | 4.75 | 506,427 | 518,390 | ||||||||||||||||||
1,250,000 | TUSTIN CA UNIF SCH DIST(b) | 8/1/2028 | 0.00 | 876,785 | 1,264,350 | ||||||||||||||||||
625,000 | UNIVERSAL ACADEMY MI PUBLIC SCH ACADEMY REVENUE | 12/1/2023 | 6.50 | 616,460 | 637,844 | ||||||||||||||||||
1,500,000 | UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE | 10/15/2033 | 6.50 | 1,515,616 | 1,547,820 | ||||||||||||||||||
750,000 | UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE(d) | 4/15/2045 | 6.00 | 772,455 | 773,588 | ||||||||||||||||||
450,000 | UTAH ST HSG CORP SF MTGE REVENUE | 1/1/2033 | 5.75 | 450,000 | 469,931 | ||||||||||||||||||
490,000 | VANCOUVER WA HSG AUTH | 3/1/2025 | 5.00 | 481,862 | 525,799 | ||||||||||||||||||
785,000 | VERMONT ST HSG FIN AGY | 5/1/2032 | 4.88 | 781,555 | 822,390 | ||||||||||||||||||
1,000,000 | VIRGINIA ST HSG DEV AUTH | 7/1/2033 | 4.13 | 1,000,000 | 1,028,110 | ||||||||||||||||||
420,000 | VIRGINIA ST HSG DEV AUTH | 10/1/2038 | 5.10 | 420,000 | 448,623 | ||||||||||||||||||
1,000,000 | VIRGINIA ST HSG DEV AUTH | 12/1/2039 | 5.00 | 1,000,000 | 1,055,180 | ||||||||||||||||||
500,000 | VIRGINIA ST HSG DEV AUTH | 5/1/2041 | 3.55 | 500,000 | 471,135 |
See accompanying notes to the financial statements. | 61 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Percent | |||||||||||||||||||||||
Maturity | Coupon | Fair | of | ||||||||||||||||||||
Par/Shares | Security | date | rate | Cost | value (a) | net assets | |||||||||||||||||
Municipal Bonds (Cont’d): | |||||||||||||||||||||||
3,500,000 | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE | 1/1/2038 | 3.88 | $ | 3,490,250 | 3,500,735 | |||||||||||||||||
3,000,000 | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE | 7/1/2038 | 4.80 | 3,000,000 | 3,166,260 | ||||||||||||||||||
2,000,000 | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE | 10/1/2038 | 4.75 | 2,000,000 | 2,100,400 | ||||||||||||||||||
1,000,000 | VLG FL CDD #12 SPL ASSMNT REVENUE | 5/1/2031 | 3.62 | 1,000,000 | 909,930 | ||||||||||||||||||
1,230,000 | VLG FL CDD #7 SPL ASSMNT REVENUE | 5/1/2036 | 4.00 | 1,221,806 | 1,165,241 | ||||||||||||||||||
530,000 | WASHINGTON ST HSG FIN COMMISSION(d) | 7/1/2025 | 6.00 | 533,470 | 528,744 | ||||||||||||||||||
1,000,000 | WASHINGTON ST HSG FIN COMMISSION(d) | 1/1/2031 | 5.00 | 1,001,902 | 1,017,570 | ||||||||||||||||||
750,000 | WASHINGTON ST HSG FIN COMMISSION(d) | 7/1/2031 | 5.00 | 808,800 | 766,793 | ||||||||||||||||||
675,000 | WASHINGTON ST HSG FIN COMMISSION(d) | 1/1/2035 | 5.75 | 675,000 | 651,902 | ||||||||||||||||||
600,000 | WASHINGTON ST HSG FIN COMMISSION(d) | 7/1/2036 | 5.00 | 643,077 | 586,482 | ||||||||||||||||||
5,000 | WATERS EDGE FL CDD CAPITAL IMPT REVENUE | 5/1/2039 | 5.35 | 5,000 | 4,582 | ||||||||||||||||||
220,000 | WATERS EDGE FL CDD CAPITAL IMPT REVENUE(b) | 5/1/2039 | 6.60 | 175,547 | 202,721 | ||||||||||||||||||
1,500,000 | WEST VIRGINIA ST HSG DEV FUND | 11/1/2032 | 3.75 | 1,500,000 | 1,519,290 | ||||||||||||||||||
390,000 | WEST VIRGINIA ST HSG DEV FUND | 11/1/2039 | 4.10 | 390,000 | 390,445 | ||||||||||||||||||
550,000 | WESTCHESTER CO NY LOCAL DEV CORP REVENUE | 1/1/2034 | 5.00 | 576,960 | 586,042 | ||||||||||||||||||
685,000 | WESTMONT IL PARK DIST(e) | 12/1/2031 | 0.00 | 286,113 | 331,191 | ||||||||||||||||||
685,000 | WESTMONT IL PARK DIST(e) | 12/1/2033 | 0.00 | 248,311 | 288,180 | ||||||||||||||||||
1,350,000 | WICHITA KS HLTH CARE FACS REVENUE | 5/15/2034 | 6.25 | 1,350,000 | 1,374,395 | ||||||||||||||||||
600,000 | WICHITA KS HLTH CARE FACS REVENUE | 12/1/2036 | 5.25 | 605,870 | 595,218 | ||||||||||||||||||
750,000 | WICHITA KS HLTH CARE FACS REVENUE | 12/15/2036 | 7.13 | 740,179 | 818,978 | ||||||||||||||||||
750,000 | WIREGRASS FL CDD CAPITAL IMPTREVENUE | 5/1/2035 | 5.38 | 745,612 | 734,955 | ||||||||||||||||||
1,000,000 | WISCONSIN ST GEN FUND ANNUAL APPROP REVENUE | 5/1/2027 | 6.00 | 1,007,534 | 1,102,100 | ||||||||||||||||||
1,000,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 10/1/2029 | 5.00 | 1,000,000 | 1,005,670 | ||||||||||||||||||
1,000,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 7/1/2030 | 5.75 | 1,011,954 | 1,105,170 | ||||||||||||||||||
1,300,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 8/15/2032 | 5.00 | 1,427,652 | 1,427,179 | ||||||||||||||||||
1,000,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 5/15/2036 | 5.00 | 1,000,000 | 1,001,020 | ||||||||||||||||||
2,000,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 8/15/2043 | 5.00 | 2,097,651 | 2,098,680 | ||||||||||||||||||
500,000 | WISCONSIN ST HSG & ECON DEV AUTH | 11/1/2035 | 3.88 | 500,000 | 497,000 | ||||||||||||||||||
1,000,000 | WISCONSIN ST HSG & ECON DEV AUTH | 11/1/2040 | 4.00 | 1,000,000 | 1,000,660 | ||||||||||||||||||
1,000,000 | WYANDOTTE CNTY KS KANSAS CITY UNIF GOVT SPL OBLG REVENUE | 9/1/2032 | 5.75 | 992,833 | 974,740 | ||||||||||||||||||
750,000 | WYNNFIELD LAKES FL CDD | 5/1/2036 | 4.50 | 744,757 | 759,315 | ||||||||||||||||||
1,840,000 | WYOMING ST CMNTY DEV AUTH HSG REVENUE | 12/1/2038 | 4.05 | 1,840,000 | 1,852,475 |
See accompanying notes to the financial statements. | 62 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2016
Percent | ||||||||||||||||||||||
Maturity | Coupon | Fair | of | |||||||||||||||||||
Par/Shares | Security | date | rate | Cost | value (a) | net assets | ||||||||||||||||
Municipal Bonds (Cont’d): | ||||||||||||||||||||||
355,000 | ZEPHYR RIDGE FL CDD CAPITAL IMPT REVENUE(c) | 5/1/2013 | 5.25 | $ | 355,352 | 177,408 | ||||||||||||||||
Sub-total Municipal Bonds: | 434,412,933 | 448,176,386 | 92.44 | % | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
7,677,864 | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.38%(g) | 7,677,864 | 7,677,864 | |||||||||||||||||||
Sub-total Short-Term Investments: | 7,677,864 | 7,677,864 | 1.58 | % | ||||||||||||||||||
Grand total(h) | $ | 467,690,356 | 482,625,949 | 99.54 | % |
Notes to Schedule of Investments:
(a) | Investments are valued in accordance with procedures described in note 2 to the financial statements. |
(b) | For step bonds, the coupon rate disclosed is the current rate in effect. |
(c) | Non-income producing assets. For long-term debt securities, item identified is in default as to payment of interest and/or principal. |
(d) | 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. |
(e) | Zero coupon bond. |
(f) | Restricted security that has been deemed illiquid. At December 31, 2016, the value of this restricted illiquid security amounted to $210,329 or 0.04% of net assets. Additional information on this restricted illiquid security is as follows: |
ACQUISITION | ACQUISITION | |||||||
SECURITY | DATE | COST | ||||||
MICHIGAN ST PUBLIC EDUCTNL FACS AUTH, 6.00%, 9/1/16 | 4/12/11 | $ | 218,373 |
(g) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2015, the value of the Clearwater Tax-Exempt Bond Fund’s investment in the Tax-Exempt Portfolio of the Northern Institutional Funds was $14,220,233 with net sales of $14,220,233 for the year ended December 31, 2016. At July 28, 2016, the Fund began investing in the Government Select Portfolio, also a money market portfolio of Northern Institutional Funds, and had net purchases of $7,677,864 during the fiscal year ended December 31, 2016. |
(h) | At December 31, 2016, the cost for Federal income tax purposes was $467,735,545. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
Gross unrealized appreciation | $ | 27,763,996 | ||
Gross unrealized depreciation | (12,873,592 | ) | ||
Net unrealized appreciation | $ | 14,890,404 |
Diversification of investments representing geographic diversification, as a percentage of total investments at fair value, is as follows:
Geographical Diversification | Percent | |||
Florida | 10.71 | % | ||
California | 10.39 | |||
Illinois | 8.81 | |||
Texas | 5.92 | |||
New York | 5.12 | |||
Indiana | 4.16 | |||
Georgia | 3.52 | |||
Colorado | 3.50 | |||
Wisconsin | 3.38 | |||
Pennsylvania | 3.35 | |||
Other | 41.14 | |||
100.00 | % |
See accompanying notes to the financial statements. | 63 | (Continued) |
See accompanying notes to the financial statements. | 64 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Common Stocks: | ||||||||||||||||
Australia: | ||||||||||||||||
1,425,686 | 3P LEARNING LTD.(b) | $ | 1,483,100 | 1,183,173 | ||||||||||||
3,231 | AGL ENERGY LTD. | 34,720 | 51,506 | |||||||||||||
51,722 | ALUMINA LTD. | 50,177 | 68,305 | |||||||||||||
21,962 | AMCOR LTD. | 199,453 | 236,941 | |||||||||||||
34,554 | AMP LTD. | 88,996 | 125,677 | |||||||||||||
37,762 | APA GROUP | 210,499 | 233,541 | |||||||||||||
6,576 | ARISTOCRAT LEISURE LTD. | 49,294 | 73,556 | |||||||||||||
4,593 | ASX LTD. | 114,203 | 164,865 | |||||||||||||
80,380 | AUSTRALIA & NEW ZEALAND BANKING GROUP LTD. | 1,182,375 | 1,764,549 | |||||||||||||
68,613 | BANK OF QUEENSLAND LTD. | 536,424 | 587,738 | |||||||||||||
70,369 | BENDIGO & ADELAIDE BANK LTD. | 468,821 | 645,437 | |||||||||||||
179,910 | BGP HOLDINGS PLC(b)(c) | - | - | |||||||||||||
11,553 | BHP BILLITON LTD. | 134,009 | 208,931 | |||||||||||||
14,985 | BHP BILLITON PLC | 195,401 | 241,278 | |||||||||||||
13,275 | BORAL LTD. | 44,047 | 51,827 | |||||||||||||
32,841 | BRAMBLES LTD. | 174,637 | 293,876 | |||||||||||||
22,493 | COCA-COLA AMATIL LTD. | 143,242 | 164,269 | |||||||||||||
971 | COCHLEAR LTD. | 35,893 | 85,874 | |||||||||||||
25,057 | COMMONWEALTH BANK OF AUSTRALIA | 1,036,987 | 1,490,169 | |||||||||||||
146,418 | CORPORATE TRAVEL MANAGEMENT LTD. | 1,066,445 | 1,935,738 | |||||||||||||
146,073 | CREDIT CORP. GROUP LTD. | 1,119,509 | 1,891,120 | |||||||||||||
43,886 | CSL LTD. | 2,672,405 | 3,180,018 | |||||||||||||
39,647 | DEXUS PROPERTY GROUP | 223,436 | 275,240 | |||||||||||||
29,219 | DUET GROUP | 49,534 | 57,775 | |||||||||||||
97,180 | FORTESCUE METALS GROUP LTD. | 212,026 | 413,065 | |||||||||||||
548,736 | G8 EDUCATION LTD. | 1,172,266 | 1,421,623 | |||||||||||||
40,810 | GOODMAN GROUP | 150,085 | 209,982 | |||||||||||||
30,080 | GPT GROUP (THE) | 100,097 | 109,187 | |||||||||||||
17,989 | HARVEY NORMAN HOLDINGS LTD. | 52,604 | 66,726 | |||||||||||||
22,476 | INCITEC PIVOT LTD. | 40,394 | 58,391 | |||||||||||||
47,825 | INSURANCE AUSTRALIA GROUP LTD. | 120,292 | 206,732 | |||||||||||||
10,015 | LENDLEASE GROUP | 61,130 | 105,664 | |||||||||||||
11,250 | MACQUARIE GROUP LTD. | 340,166 | 707,299 | |||||||||||||
37,974 | MIRVAC GROUP | 50,570 | 58,370 | |||||||||||||
31,987 | NATIONAL AUSTRALIA BANK LTD. | 493,678 | 707,969 | |||||||||||||
17,346 | NEWCREST MINING LTD. | 173,211 | 253,484 | |||||||||||||
618,368 | OFX GROUP LTD. | 905,778 | 749,692 | |||||||||||||
56,579 | OIL SEARCH LTD. | 279,489 | 292,753 | |||||||||||||
17,965 | ORIGIN ENERGY LTD. | 77,152 | 85,436 | |||||||||||||
16,330 | ORORA LTD. | 16,762 | 35,236 | |||||||||||||
416 | PERPETUAL LTD. | 7,027 | 14,638 | |||||||||||||
4,187 | RAMSAY HEALTH CARE LTD. | 126,416 | 206,372 | |||||||||||||
53,873 | SANTOS LTD. | 157,036 | 156,287 | |||||||||||||
53,666 | SCENTRE GROUP | 107,604 | 179,698 | |||||||||||||
5,884 | SEEK LTD. | 49,598 | 63,183 | |||||||||||||
4,898 | SHOPPING CENTRES AUSTRALASIA PROPERTY GROUP | 7,202 | 7,812 | |||||||||||||
11,165 | SONIC HEALTHCARE LTD. | 99,657 | 172,425 | |||||||||||||
101,955 | SOUTH32 LTD. | 70,421 | 202,334 | |||||||||||||
22,356 | STAR ENTERTAINMENT GROUP (THE) LTD. | 70,002 | 83,409 | |||||||||||||
20,637 | SYDNEY AIRPORT | 77,498 | 89,207 | |||||||||||||
16,067 | TABCORP HOLDINGS LTD. | 39,321 | 55,771 | |||||||||||||
17,320 | TATTS GROUP LTD. | 40,111 | 55,995 | |||||||||||||
14,041 | TELSTRA CORP. LTD. | 44,723 | 51,677 | |||||||||||||
26,039 | TRANSURBAN GROUP | 118,706 | 193,924 | |||||||||||||
12,264 | TREASURY WINE ESTATES LTD. | 49,093 | 94,521 | |||||||||||||
58,571 | VICINITY CENTRES | 99,661 | 126,381 | |||||||||||||
54,691 | VOCUS COMMUNICATIONS LTD. | 169,880 | 152,740 | |||||||||||||
237,009 | WEBJET LTD. | 610,209 | 1,812,998 | |||||||||||||
1,657 | WESFARMERS LTD. | 60,183 | 50,403 | |||||||||||||
42,659 | WESTFIELD CORP. | 217,717 | 288,762 | |||||||||||||
82,008 | WESTPAC BANKING CORP. | 1,340,385 | 1,929,303 | |||||||||||||
25,317 | WOODSIDE PETROLEUM LTD. | 497,940 | 569,294 | |||||||||||||
16,846 | WOOLWORTHS LTD. | 309,169 | 292,982 | |||||||||||||
19,928,866 | 27,343,128 | 5.37 | % | |||||||||||||
Austria: | ||||||||||||||||
1,685 | BUWOG A.G.(b) | 30,804 | 39,181 |
See accompanying notes to the financial statements. | 65 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Austria (Cont’d): | ||||||||||||||||
3,566 | ERSTE GROUP BANK A.G.(b) | $ | 63,770 | 104,448 | ||||||||||||
313 | STRABAG S.E. (BEARER) | 5,505 | 11,087 | |||||||||||||
100,079 | 154,716 | 0.03 | % | |||||||||||||
Belgium: | ||||||||||||||||
7,120 | AGEAS | 106,907 | 281,882 | |||||||||||||
13,822 | ANHEUSER-BUSCH INBEV S.A./N.V. | 502,521 | 1,462,975 | |||||||||||||
10,910 | BARCO N.V. | 740,520 | 919,212 | |||||||||||||
1,645 | COLRUYT S.A. | 74,892 | 81,394 | |||||||||||||
97,858 | ECONOCOM GROUP S.A./N.V.(b) | 1,273,682 | 1,435,963 | |||||||||||||
17,642 | GROUPE BRUXELLES LAMBERT S.A. | 1,483,565 | 1,480,468 | |||||||||||||
9,979 | KBC GROUP N.V. | 397,316 | 617,974 | |||||||||||||
16,150 | ONTEX GROUP N.V. | 423,872 | 480,258 | |||||||||||||
2,962 | PROXIMUS SADP | 71,203 | 85,307 | |||||||||||||
1,071 | TELENET GROUP HOLDING N.V.(b) | 51,789 | 59,436 | |||||||||||||
1,896 | UCB S.A. | 81,069 | 121,566 | |||||||||||||
5,207,336 | 7,026,435 | 1.38 | % | |||||||||||||
Brazil: | ||||||||||||||||
261,868 | AMBEV S.A. ADR(d) | 1,502,567 | 1,285,772 | |||||||||||||
111,245 | CETIP S.A. - MERCADOS ORGANIZADOS | 1,375,665 | 1,524,419 | |||||||||||||
54,000 | GRENDENE S.A. | 363,157 | 291,677 | |||||||||||||
314,508 | LINX S.A. | 1,252,930 | 1,676,564 | |||||||||||||
13,900 | M DIAS BRANCO S.A.(b) | 260,329 | 491,178 | |||||||||||||
183,200 | QUALICORP S.A. | 1,005,698 | 1,083,541 | |||||||||||||
5,760,346 | 6,353,151 | 1.25 | % | |||||||||||||
Canada: | ||||||||||||||||
2,200 | AGNICO EAGLE MINES LTD. | 63,567 | 92,496 | |||||||||||||
3,620 | AGRIUM, INC. | 154,492 | 363,874 | |||||||||||||
6,409 | ALIMENTATION COUCHE-TARD, INC., CLASS B | 200,962 | 290,604 | |||||||||||||
14,318 | ALTAGAS LTD. | 325,394 | 361,509 | |||||||||||||
47,100 | BADGER DAYLIGHTING LTD. | 869,674 | 1,126,064 | |||||||||||||
11,663 | BANK OF MONTREAL | 692,033 | 838,860 | |||||||||||||
4,788 | BANK OF NOVA SCOTIA (THE) | 166,799 | 266,600 | |||||||||||||
27,451 | BARRICK GOLD CORP. | 239,298 | 439,371 | |||||||||||||
2,475 | BCE, INC. | 102,928 | 106,971 | |||||||||||||
49,653 | BOMBARDIER, INC., CLASS B(b) | 48,169 | 79,880 | |||||||||||||
27,947 | BOYD GROUP INCOME FUND | 1,785,052 | 1,780,915 | |||||||||||||
17,843 | BROOKFIELD ASSET MANAGEMENT, INC., CLASS A | 164,693 | 588,703 | |||||||||||||
11,740 | CAE, INC. | 85,345 | 164,210 | |||||||||||||
100,500 | CANACCORD GENUITY GROUP, INC.(b) | 421,963 | 357,044 | |||||||||||||
8,470 | CANADIAN IMPERIAL BANK OF COMMERCE | 417,420 | 691,150 | |||||||||||||
17,247 | CANADIAN NATIONAL RAILWAY CO. | 366,908 | 1,160,719 | |||||||||||||
26,238 | CANADIAN NATURAL RESOURCES LTD. | 589,011 | 836,200 | |||||||||||||
17,750 | CANADIAN PACIFIC RAILWAY LTD. | 2,116,556 | 2,534,167 | |||||||||||||
3,606 | CANADIAN PACIFIC RAILWAY LTD. | 112,878 | 514,479 | |||||||||||||
1,060 | CANADIAN TIRE CORP. LTD., CLASS A | 80,129 | 109,951 | |||||||||||||
1,884 | CANADIAN UTILITIES LTD., CLASS A | 45,048 | 50,782 | |||||||||||||
19,600 | CANADIAN WESTERN BANK | 436,244 | 442,903 | |||||||||||||
314 | CCL INDUSTRIES, INC., CLASS B | 45,979 | 61,694 | |||||||||||||
5,119 | CENOVUS ENERGY, INC. | 58,296 | 77,396 | |||||||||||||
6,978 | CGI GROUP, INC., CLASS A(b) | 55,128 | 334,907 | |||||||||||||
8,200 | CONSTELLATION SOFTWARE, INC. | 2,796,679 | 3,726,201 | |||||||||||||
6,122 | CRESCENT POINT ENERGY CORP. | 59,539 | 83,213 | |||||||||||||
83,900 | DESCARTES SYSTEMS GROUP (THE), INC.(b) | 1,782,957 | 1,789,042 | |||||||||||||
2,064 | DOLLARAMA, INC. | 75,934 | 151,235 | |||||||||||||
13,200 | DOREL INDUSTRIES, INC., CLASS B | 476,805 | 381,455 | |||||||||||||
7,455 | ECN CAPITAL CORP. | 17,223 | 18,323 | |||||||||||||
113,139 | ELDORADO GOLD CORP.(b) | 319,802 | 364,027 | |||||||||||||
7,455 | ELEMENT FLEET MANAGEMENT CORP. | 67,431 | 69,184 | |||||||||||||
10,505 | ENBRIDGE, INC. | 445,332 | 442,060 | |||||||||||||
33,604 | ENCANA CORP. | 212,882 | 394,443 | |||||||||||||
33,800 | ENERFLEX LTD. | 348,127 | 429,218 | |||||||||||||
211 | FAIRFAX FINANCIAL HOLDINGS LTD. | 52,589 | 101,913 | |||||||||||||
6,587 | FINNING INTERNATIONAL, INC. | 109,877 | 128,978 | |||||||||||||
8,046 | FIRST QUANTUM MINERALS LTD. | 52,095 | 80,002 | |||||||||||||
2,919 | FRANCO-NEVADA CORP. | 138,161 | 174,533 | |||||||||||||
18,700 | GENWORTH MI CANADA, INC. | 382,689 | 468,806 |
See accompanying notes to the financial statements. | 66 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Canada (Cont’d): | ||||||||||||||||
614 | GEORGE WESTON LTD. | $ | 48,280 | 51,945 | ||||||||||||
6,104 | GILDAN ACTIVEWEAR, INC. | 33,435 | 154,981 | |||||||||||||
7,233 | GOLDCORP, INC. | 71,545 | 98,476 | |||||||||||||
193,900 | GRAN TIERRA ENERGY, INC.(b) | 480,450 | 586,328 | |||||||||||||
2,200 | GREAT-WEST LIFECO, INC. | 49,273 | 57,628 | |||||||||||||
3,116 | H&R REAL ESTATE INVESTMENT TRUST | 49,167 | 51,916 | |||||||||||||
48,021 | IMPERIAL OIL LTD. | 1,904,341 | 1,670,622 | |||||||||||||
2,672 | INTACT FINANCIAL CORP. | 170,651 | 191,248 | |||||||||||||
33,281 | KINROSS GOLD CORP.(b) | 62,810 | 103,860 | |||||||||||||
7,600 | LAURENTIAN BANK OF CANADA | 295,598 | 326,778 | |||||||||||||
4,185 | LOBLAW COS. LTD. | 167,040 | 220,806 | |||||||||||||
9,476 | MAGNA INTERNATIONAL, INC. | 61,549 | 411,463 | |||||||||||||
32,165 | MANULIFE FINANCIAL CORP. | 389,957 | 572,796 | |||||||||||||
1,723 | METHANEX CORP. | 23,658 | 75,573 | |||||||||||||
3,000 | METRO, INC. | 54,328 | 89,733 | |||||||||||||
42,020 | MTY FOOD GROUP, INC. | 1,142,540 | 1,582,342 | |||||||||||||
48,700 | MULLEN GROUP LTD. | 854,415 | 719,265 | |||||||||||||
2,600 | ONEX CORP. | 105,376 | 176,955 | |||||||||||||
3,282 | OPEN TEXT CORP. | 72,477 | 202,691 | |||||||||||||
21,359 | PEMBINA PIPELINE CORP. | 509,162 | 667,504 | |||||||||||||
7,286 | POTASH CORP. OF SASKATCHEWAN, INC. | 118,488 | 131,812 | |||||||||||||
583 | PRAIRIESKY ROYALTY LTD. | 11,473 | 13,869 | |||||||||||||
3,681 | RESTAURANT BRANDS INTERNATIONAL, INC. | 137,022 | 175,325 | |||||||||||||
2,701 | RITCHIE BROS. AUCTIONEERS, INC. | 50,064 | 91,633 | |||||||||||||
9,354 | ROGERS COMMUNICATIONS, INC., CLASS B | 221,766 | 360,812 | |||||||||||||
36,738 | ROYAL BANK OF CANADA | 1,472,354 | 2,486,413 | |||||||||||||
30,700 | RUSSEL METALS, INC. | 534,151 | 584,893 | |||||||||||||
4,800 | SAPUTO, INC. | 103,951 | 169,849 | |||||||||||||
4,800 | SEVEN GENERATIONS ENERGY LTD., CLASS A(b) | 46,370 | 111,934 | |||||||||||||
9,661 | SHAW COMMUNICATIONS, INC., CLASS B | 153,543 | 193,846 | |||||||||||||
13,000 | SHAWCOR LTD. | 320,406 | 347,015 | |||||||||||||
4,726 | SILVER WHEATON CORP. | 58,903 | 91,306 | |||||||||||||
1,424 | SNC-LAVALIN GROUP, INC. | 50,445 | 61,291 | |||||||||||||
11,810 | SUN LIFE FINANCIAL, INC. | 235,812 | 453,436 | |||||||||||||
32,366 | SUNCOR ENERGY, INC. | 755,817 | 1,058,256 | |||||||||||||
28,555 | TECK RESOURCES LTD., CLASS B | 195,137 | 571,462 | |||||||||||||
26,505 | TELUS CORP. | 774,736 | 843,920 | |||||||||||||
35,291 | TORONTO-DOMINION BANK (THE) | 749,566 | 1,740,565 | |||||||||||||
9,097 | TRANSCANADA CORP. | 362,684 | 410,183 | |||||||||||||
18,713 | TURQUOISE HILL RESOURCES LTD.(b) | 35,694 | 60,070 | |||||||||||||
66,286 | VERESEN, INC. | 504,158 | 647,235 | |||||||||||||
817 | WASTE CONNECTIONS, INC. | 52,460 | 64,070 | |||||||||||||
25,967 | YAMANA GOLD, INC. | 47,753 | 72,912 | |||||||||||||
30,520,893 | 41,229,099 | 8.10 | % | |||||||||||||
China: | ||||||||||||||||
47,000 | AAC TECHNOLOGIES HOLDINGS, INC. | 162,421 | 426,997 | |||||||||||||
14,597 | BAIDU, INC. ADR(b)(d) | 1,817,934 | 2,399,893 | |||||||||||||
1,312,329 | CHINA MEDICAL SYSTEM HOLDINGS LTD. | 970,551 | 2,078,200 | |||||||||||||
886,500 | CHINA ZHENGTONG AUTO SERVICES HOLDINGS LTD. | 505,928 | 258,365 | |||||||||||||
44,550 | CTRIP.COM INTERNATIONAL LTD. ADR(b)(d) | 2,155,266 | 1,782,000 | |||||||||||||
972,000 | GOODBABY INTERNATIONAL HOLDINGS LTD. | 409,543 | 465,036 | |||||||||||||
827,000 | GREATVIEW ASEPTIC PACKAGING CO. LTD. | 383,987 | 424,458 | |||||||||||||
66,300 | SHANGHAI HAOHAI BIOLOGICAL TECHNOLOGY CO. LTD., | |||||||||||||||
CLASS H(e) | 307,875 | 324,040 | ||||||||||||||
85,455 | TENCENT HOLDINGS LTD. | 574,186 | 2,090,504 | |||||||||||||
1,132,000 | XTEP INTERNATIONAL HOLDINGS LTD. | 567,701 | 475,894 | |||||||||||||
7,855,392 | 10,725,387 | 2.11 | % | |||||||||||||
Denmark: | ||||||||||||||||
74 | AP MOLLER - MAERSK A/S, CLASS A | 73,820 | 111,799 | |||||||||||||
147 | AP MOLLER - MAERSK A/S, CLASS B | 155,573 | 234,576 | |||||||||||||
17,067 | CARLSBERG A/S, CLASS B | 1,385,454 | 1,472,897 | |||||||||||||
27,840 | CHR HANSEN HOLDING A/S | 1,089,662 | 1,541,695 | |||||||||||||
28,210 | COLOPLAST A/S, CLASS B | 1,879,057 | 1,902,502 | |||||||||||||
14,225 | DANSKE BANK A/S | 168,005 | 431,433 | |||||||||||||
2,347 | DSV A/S | 78,328 | 104,414 | |||||||||||||
200 | FLSMIDTH & CO. A/S | 6,012 | 8,298 | |||||||||||||
808 | GENMAB A/S(b) | 101,229 | 134,200 |
See accompanying notes to the financial statements. | 67 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Denmark (Cont’d): | ||||||||||||||||
46,371 | ISS A/S | $ | 1,386,435 | 1,565,288 | ||||||||||||
34,450 | NOVO NORDISK A/S, CLASS B | 664,352 | 1,242,395 | |||||||||||||
43,852 | NOVOZYMES A/S, CLASS B | 1,206,831 | 1,511,924 | |||||||||||||
2,600 | PANDORA A/S | 18,150 | 340,163 | |||||||||||||
10,154 | TDC A/S(b) | 50,412 | 52,132 | |||||||||||||
3,250 | TOPDANMARK A/S(b) | 33,361 | 82,510 | |||||||||||||
3,792 | VESTAS WIND SYSTEMS A/S | 181,135 | 246,446 | |||||||||||||
3,896 | WILLIAM DEMANT HOLDING A/S(b) | 70,444 | 67,742 | |||||||||||||
8,548,260 | 11,050,414 | 2.17 | % | |||||||||||||
Finland: | ||||||||||||||||
45,390 | AMER SPORTS OYJ | 644,392 | 1,207,873 | |||||||||||||
2,770 | ELISA OYJ | 86,573 | 90,187 | |||||||||||||
26,940 | HUHTAMAKI OYJ | 444,292 | 1,000,484 | |||||||||||||
1,396 | KESKO OYJ, CLASS B | 30,705 | 69,772 | |||||||||||||
5,600 | KONE OYJ, CLASS B | 116,154 | 250,943 | |||||||||||||
9,785 | NESTE OYJ | 155,274 | 375,957 | |||||||||||||
61,900 | NOKIA OYJ | 203,584 | 298,950 | |||||||||||||
2,240 | NOKIAN RENKAAT OYJ | 31,306 | 83,518 | |||||||||||||
2,870 | ORION OYJ, CLASS B | 79,058 | 127,762 | |||||||||||||
5,232 | SAMPO OYJ, CLASS A | 211,995 | 234,563 | |||||||||||||
25,614 | STORA ENSO OYJ (REGISTERED) | 156,197 | 275,288 | |||||||||||||
14,474 | UPM-KYMMENE OYJ | 147,575 | 355,610 | |||||||||||||
1,849 | VALMET OYJ | 14,443 | 27,210 | |||||||||||||
2,352 | WARTSILA OYJ ABP | 56,960 | 105,668 | |||||||||||||
2,378,508 | 4,503,785 | 0.89 | % | |||||||||||||
France: | ||||||||||||||||
2,714 | ACCOR S.A. | 79,810 | 101,220 | |||||||||||||
3,443 | AEROPORTS DE PARIS | 334,974 | 368,951 | |||||||||||||
3,276 | AIR LIQUIDE S.A. | 359,196 | 364,332 | |||||||||||||
11,657 | AIRBUS GROUP S.E. | 403,103 | 771,093 | |||||||||||||
1,093 | ARKEMA S.A. | 77,841 | 106,932 | |||||||||||||
1,803 | ATOS S.E. | 138,320 | 190,267 | |||||||||||||
30,343 | AXA S.A. | 403,058 | 766,094 | |||||||||||||
26,840 | BENETEAU S.A. | 272,439 | 388,480 | |||||||||||||
17,447 | BNP PARIBAS S.A. | 725,141 | 1,112,036 | |||||||||||||
16,698 | BOLLORE S.A. | 52,911 | 58,883 | |||||||||||||
2,871 | BOUYGUES S.A. | 90,917 | 102,889 | |||||||||||||
3,068 | CAPGEMINI S.A. | 111,959 | 258,847 | |||||||||||||
6,929 | CARREFOUR S.A. | 149,202 | 166,955 | |||||||||||||
1,087 | CASINO GUICHARD PERRACHON S.A. | 50,531 | 52,165 | |||||||||||||
1,360 | CHRISTIAN DIOR S.E. | 132,368 | 285,247 | |||||||||||||
8,207 | CIE DE SAINT-GOBAIN | 279,263 | 382,323 | |||||||||||||
3,583 | CIE GENERALE DES ETABLISSEMENTS MICHELIN | 199,215 | 398,663 | |||||||||||||
26,672 | CREDIT AGRICOLE S.A. | 211,038 | 330,739 | |||||||||||||
14,933 | DANONE S.A. | 815,703 | 946,297 | |||||||||||||
1,740 | DASSAULT SYSTEMES S.E. | 116,908 | 132,590 | |||||||||||||
2,570 | EDENRED | 43,109 | 50,955 | |||||||||||||
4,861 | ELECTRICITE DE FRANCE S.A. | 52,380 | 49,532 | |||||||||||||
40,882 | ENGIE S.A. | 496,973 | 521,577 | |||||||||||||
17,554 | ESSILOR INTERNATIONAL S.A. | 2,186,401 | 1,983,637 | |||||||||||||
2,546 | EURAZEO S.A. | 77,929 | 148,957 | |||||||||||||
2,230 | EUROFINS SCIENTIFIC S.E. | 864,505 | 950,701 | |||||||||||||
1,133 | FONCIERE DES REGIONS | 96,781 | 98,919 | |||||||||||||
564 | GECINA S.A. | 51,331 | 78,041 | |||||||||||||
13,307 | GROUPE EUROTUNNEL S.E. (REGISTERED) | 102,800 | 126,545 | |||||||||||||
4,027 | HERMES INTERNATIONAL | 1,443,772 | 1,653,218 | |||||||||||||
713 | ICADE | 48,053 | 50,879 | |||||||||||||
514 | ILIAD S.A. | 68,964 | 98,825 | |||||||||||||
20,410 | INGENICO GROUP S.A. | 2,275,143 | 1,630,036 | |||||||||||||
2,121 | JCDECAUX S.A. | 50,974 | 62,358 | |||||||||||||
1,026 | KERING | 174,510 | 230,368 | |||||||||||||
3,582 | KLEPIERRE | 101,009 | 140,813 | |||||||||||||
2,119 | LAGARDERE S.C.A. | 50,227 | 58,876 | |||||||||||||
4,882 | LEGRAND S.A. | 111,114 | 277,251 | |||||||||||||
6,679 | L’OREAL S.A. | 728,756 | 1,219,115 | |||||||||||||
16,029 | LVMH MOET HENNESSY LOUIS VUITTON S.E. | 2,294,611 | 3,060,749 | |||||||||||||
20,736 | NATIXIS S.A. | 68,871 | 116,997 | |||||||||||||
See accompanying notes to the financial statements. | 68 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
France (Cont’d): | ||||||||||||||||
39,439 | ORANGE S.A. | $ | 438,130 | 599,276 | ||||||||||||
3,919 | PERNOD RICARD S.A. | 283,874 | 424,703 | |||||||||||||
12,969 | PEUGEOT S.A.(b) | 78,174 | 211,535 | |||||||||||||
3,691 | PUBLICIS GROUPE S.A. | 227,774 | 254,683 | |||||||||||||
4,895 | RENAULT S.A. | 134,511 | 435,457 | |||||||||||||
3,764 | REXEL S.A. | 51,854 | 61,949 | |||||||||||||
3,938 | SAFRAN S.A. | 203,835 | 283,624 | |||||||||||||
24,263 | SANOFI | 1,499,641 | 1,964,060 | |||||||||||||
14,808 | SCHNEIDER ELECTRIC S.E. | 713,650 | 1,030,499 | |||||||||||||
278 | SCHNEIDER ELECTRIC S.E. | 8,838 | 19,166 | |||||||||||||
1,813 | SCOR S.E. | 36,441 | 62,655 | |||||||||||||
3,311 | SES S.A. | 62,443 | 72,930 | |||||||||||||
2,134 | SFR GROUP S.A.(b) | 51,973 | 60,270 | |||||||||||||
457 | SOCIETE BIC S.A. | 49,235 | 62,129 | |||||||||||||
14,520 | SOCIETE GENERALE S.A. | 503,103 | 714,473 | |||||||||||||
6,746 | SODEXO S.A. | 418,232 | 775,449 | |||||||||||||
712 | TECHNIP S.A. | 35,976 | 50,823 | |||||||||||||
9,578 | TELEVISION FRANCAISE 1 | 79,414 | 95,288 | |||||||||||||
1,413 | THALES S.A. | 81,763 | 137,034 | |||||||||||||
40,004 | TOTAL S.A. | 1,910,061 | 2,051,609 | |||||||||||||
1,808 | UNIBAIL-RODAMCO S.E. | 228,178 | 431,549 | |||||||||||||
3,900 | VALEO S.A. | 168,708 | 224,192 | |||||||||||||
13,671 | VEOLIA ENVIRONNEMENT S.A. | 145,445 | 232,771 | |||||||||||||
8,317 | VINCI S.A. | 347,069 | 566,441 | |||||||||||||
77,148 | VIVENDI S.A. | 1,465,214 | 1,466,244 | |||||||||||||
1,345 | WENDEL S.A. | 91,561 | 161,969 | |||||||||||||
25,707,207 | 32,344,130 | 6.35 | % | |||||||||||||
Germany: | ||||||||||||||||
13,134 | ADIDAS A.G. | 1,630,103 | 2,075,900 | |||||||||||||
8,540 | ALLIANZ S.E. (REGISTERED) | 758,733 | 1,411,372 | |||||||||||||
21,971 | BASF S.E. | 1,076,438 | 2,042,414 | |||||||||||||
17,136 | BAYER A.G. (REGISTERED) | 1,013,636 | 1,788,128 | |||||||||||||
5,770 | BAYERISCHE MOTOREN WERKE A.G. | 473,448 | 539,049 | |||||||||||||
3,280 | BEIERSDORF A.G. | 225,003 | 278,287 | |||||||||||||
1,188 | BRENNTAG A.G. | 43,546 | 66,029 | |||||||||||||
14,038 | CANCOM S.E. | 572,738 | 665,191 | |||||||||||||
29,496 | COMMERZBANK A.G. | 190,394 | 224,981 | |||||||||||||
916 | CONTINENTAL A.G. | 47,943 | 177,129 | |||||||||||||
45,970 | CTS EVENTIM A.G. & CO. KGAA | 1,049,951 | 1,449,290 | |||||||||||||
22,373 | DAIMLER A.G. (REGISTERED) | 910,767 | 1,665,522 | |||||||||||||
19,504 | DEUTSCHE BANK A.G. (REGISTERED)(b) | 306,848 | 354,158 | |||||||||||||
3,028 | DEUTSCHE BOERSE A.G. | 155,699 | 243,583 | |||||||||||||
1,497 | DEUTSCHE BOERSE A.G.(b) | 117,452 | 122,189 | |||||||||||||
4,531 | DEUTSCHE LUFTHANSA A.G. (REGISTERED) | 51,319 | 58,522 | |||||||||||||
19,816 | DEUTSCHE POST A.G. (REGISTERED) | 266,311 | 651,541 | |||||||||||||
79,647 | DEUTSCHE TELEKOM A.G. (REGISTERED) | 1,064,833 | 1,371,210 | |||||||||||||
4,542 | DEUTSCHE WOHNEN A.G. (BEARER) | 109,838 | 142,669 | |||||||||||||
7,431 | E.ON S.E. | 56,153 | 52,409 | |||||||||||||
3,041 | FRESENIUS MEDICAL CARE A.G. & CO. KGAA | 190,582 | 257,529 | |||||||||||||
7,790 | FRESENIUS S.E. & CO. KGAA | 209,441 | 608,943 | |||||||||||||
1,527 | GEA GROUP A.G. | 49,653 | 61,451 | |||||||||||||
15,090 | GERRESHEIMER A.G. | 811,383 | 1,121,763 | |||||||||||||
40,600 | GRAND CITY PROPERTIES S.A. | 502,297 | 738,933 | |||||||||||||
2,246 | HANNOVER RUECK S.E. | 94,321 | 243,045 | |||||||||||||
3,952 | HEIDELBERGCEMENT A.G. | 143,515 | 368,707 | |||||||||||||
1,035 | HENKEL A.G. & CO. KGAA | 85,975 | 107,838 | |||||||||||||
2,600 | HOCHTIEF A.G. | 108,936 | 364,143 | |||||||||||||
1,280 | HUGO BOSS A.G. | 70,065 | 78,324 | |||||||||||||
21,437 | INFINEON TECHNOLOGIES A.G. | 117,250 | 372,559 | |||||||||||||
33,360 | JENOPTIK A.G. | 480,407 | 576,787 | |||||||||||||
2,661 | K+S A.G. (REGISTERED) | 50,126 | 63,557 | |||||||||||||
1,373 | LINDE A.G. | 199,368 | 225,609 | |||||||||||||
2,383 | MERCK KGAA | 115,974 | 248,714 | |||||||||||||
2,847 | METRO A.G. | 86,781 | 94,657 | |||||||||||||
3,549 | MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT | |||||||||||||||
A.G. IN MUENCHEN (REGISTERED) | 444,935 | 671,146 | ||||||||||||||
1,517 | OSRAM LICHT A.G. | 42,957 | 79,564 | |||||||||||||
1,489 | PROSIEBENSAT.1 MEDIA S.E. | 25,180 | 57,382 |
See accompanying notes to the financial statements. | 69 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||
Fair | of | |||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||
Germany (Cont’d): | ||||||||||||||
2,270 | RATIONAL A.G. | $ | 567,788 | 1,013,155 | ||||||||||
12,568 | RWE A.G.(b) | 154,112 | 156,309 | |||||||||||
18,719 | SAP S.E. | 805,845 | 1,631,734 | |||||||||||
16,683 | SIEMENS A.G. (REGISTERED) | 1,147,366 | 2,051,167 | |||||||||||
10,550 | STABILUS S.A.(b) | 440,305 | 566,823 | |||||||||||
1,283 | SYMRISE A.G. | 81,345 | 78,102 | |||||||||||
33,787 | TELEFONICA DEUTSCHLAND HOLDING A.G. | 130,155 | 144,753 | |||||||||||
6,976 | THYSSENKRUPP A.G. | 138,543 | 166,252 | |||||||||||
9,713 | TUI A.G. - CDI | 124,901 | 139,215 | |||||||||||
7,071 | TUI A.G. - CDI | 57,698 | 99,107 | |||||||||||
4,249 | UNIPER S.E.(b) | 47,803 | 58,660 | |||||||||||
689 | VOLKSWAGEN A.G. | 76,405 | 99,181 | |||||||||||
1,974 | VONOVIA S.E. | 59,424 | 64,218 | |||||||||||
1,702 | ZALANDO S.E.(b)(e) | 61,430 | 65,018 | |||||||||||
17,843,419 | 28,053,918 | 5.51% | ||||||||||||
Greece: | ||||||||||||||
6,746 | HELLENIC TELECOMMUNICATIONS ORGANIZATION S.A. | 54,075 | 63,414 | |||||||||||
54,075 | 63,414 | 0.01% | ||||||||||||
Hong Kong: | ||||||||||||||
255,103 | AIA GROUP LTD. | 929,879 | 1,439,262 | |||||||||||
7,200 | ASM PACIFIC TECHNOLOGY LTD. | 50,866 | 76,276 | |||||||||||
243,000 | BOC HONG KONG HOLDINGS LTD. | 627,235 | 869,592 | |||||||||||
10,000 | CHEUNG KONG INFRASTRUCTURE HOLDINGS LTD. | 46,496 | 79,567 | |||||||||||
77,544 | CHEUNG KONG PROPERTY HOLDINGS LTD. | 299,857 | 475,494 | |||||||||||
62,044 | CK HUTCHISON HOLDINGS LTD. | 421,486 | 703,291 | |||||||||||
36,500 | CLP HOLDINGS LTD. | 253,113 | 335,370 | |||||||||||
27,000 | GALAXY ENTERTAINMENT GROUP LTD. | 67,479 | 117,686 | |||||||||||
25,200 | HANG SENG BANK LTD. | 345,579 | 468,935 | |||||||||||
19,033 | HENDERSON LAND DEVELOPMENT CO. LTD. | 45,544 | 101,246 | |||||||||||
30,173 | HONG KONG & CHINA GAS CO. LTD. | 48,804 | 53,463 | |||||||||||
15,300 | HONG KONG EXCHANGES & CLEARING LTD. | 280,214 | 361,462 | |||||||||||
400 | HOPEWELL HIGHWAY INFRASTRUCTURE LTD. | 229 | 210 | |||||||||||
12,000 | HYSAN DEVELOPMENT CO. LTD. | 49,052 | 49,597 | |||||||||||
40,500 | LINK REIT | 84,195 | 263,228 | |||||||||||
199,000 | LUK FOOK HOLDINGS INTERNATIONAL LTD. | 628,344 | 519,666 | |||||||||||
30,500 | MTR CORP. LTD. | 88,703 | 148,282 | |||||||||||
43,500 | NWS HOLDINGS LTD. | 52,824 | 70,906 | |||||||||||
3,085,343 | PAX GLOBAL TECHNOLOGY LTD. | 1,728,838 | 2,045,092 | |||||||||||
190,000 | PCCW LTD. | 77,804 | 102,908 | |||||||||||
24,000 | POWER ASSETS HOLDINGS LTD. | 139,092 | 211,542 | |||||||||||
189,200 | SANDS CHINA LTD. | 599,483 | 822,237 | |||||||||||
1,606,124 | SINO BIOPHARMACEUTICAL LTD. | 1,132,946 | 1,130,884 | |||||||||||
33,400 | SINO LAND CO. LTD. | 39,470 | 50,049 | |||||||||||
349,300 | SITOY GROUP HOLDINGS LTD. | 222,845 | 90,990 | |||||||||||
256,000 | STELLA INTERNATIONAL HOLDINGS LTD. | 679,964 | 412,664 | |||||||||||
10,000 | SUN HUNG KAI PROPERTIES LTD. | 87,738 | 126,378 | |||||||||||
19,000 | SWIRE PACIFIC LTD., CLASS A | 127,857 | 181,437 | |||||||||||
287,400 | TECHTRONIC INDUSTRIES CO. LTD. | 543,999 | 1,030,333 | |||||||||||
3,000 | TELEVISION BROADCASTS LTD. | 9,222 | 9,865 | |||||||||||
665,000 | VALUE PARTNERS GROUP LTD. | 409,258 | 528,261 | |||||||||||
177,000 | VINDA INTERNATIONAL HOLDINGS LTD. | 318,897 | 330,969 | |||||||||||
88,000 | VTECH HOLDINGS LTD. | 1,043,083 | 1,176,813 | |||||||||||
83,500 | WH GROUP LTD.(e) | 45,547 | 67,515 | |||||||||||
23,000 | WHEELOCK & CO. LTD. | 48,337 | 129,467 | |||||||||||
15,000 | YUE YUEN INDUSTRIAL HOLDINGS LTD. | 30,233 | 54,452 | |||||||||||
11,604,512 | 14,635,389 | 2.88% | ||||||||||||
India: | ||||||||||||||
203,175 | DEWAN HOUSING FINANCE CORP. LTD. | 659,327 | 729,388 | |||||||||||
83,514 | HCL TECHNOLOGIES LTD. | 920,783 | 1,018,792 | |||||||||||
29,755 | HDFC BANK LTD. ADR(d) | 1,677,613 | 1,805,534 | |||||||||||
265,186 | JAIN IRRIGATION SYSTEMS LTD. | 293,402 | 344,230 | |||||||||||
3,551,125 | 3,897,944 | 0.77% | ||||||||||||
Ireland: | ||||||||||||||
27,481 | ACCENTURE PLC, CLASS A | 2,723,782 | 3,218,850 | |||||||||||
1,332 | AERCAP HOLDINGS N.V.(b) | 50,212 | 55,425 | |||||||||||
22,330 | CRH PLC | 425,003 | 774,629 | |||||||||||
See accompanying notes to the financial statements. | 70 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||
Fair | of | |||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||
Ireland (Cont’d): | ||||||||||||||
127,151 | EXPERIAN PLC | $ | 2,121,331 | 2,466,472 | ||||||||||
17,926 | ICON PLC(b) | 1,189,763 | 1,348,035 | |||||||||||
15,487 | JAMES HARDIE INDUSTRIES PLC - CDI | 160,183 | 245,541 | |||||||||||
4,858 | KERRY GROUP PLC, CLASS A | 328,282 | 347,225 | |||||||||||
24,575 | MEDTRONIC PLC | 1,827,279 | 1,750,477 | |||||||||||
8,825,835 | 10,206,654 | 2.01% | ||||||||||||
Israel: | ||||||||||||||
31,127 | BANK HAPOALIM B.M. | 129,966 | 185,127 | |||||||||||
52,044 | BANK LEUMI LE-ISRAEL B.M.(b) | 188,059 | 214,280 | |||||||||||
50,000 | CAESARSTONE LTD.(b) | 2,209,854 | 1,432,500 | |||||||||||
2,825 | CHECK POINT SOFTWARE TECHNOLOGIES LTD.(b) | 218,671 | 238,599 | |||||||||||
271,768 | MAGIC SOFTWARE ENTERPRISES LTD. | 1,720,187 | 1,807,257 | |||||||||||
5,900 | MIZRAHI TEFAHOT BANK LTD. | 51,135 | 86,309 | |||||||||||
2,305 | MOBILEYE N.V.(b) | 77,663 | 87,867 | |||||||||||
1,494 | NICE LTD. | 50,675 | 101,848 | |||||||||||
138,097 | SAPIENS INTERNATIONAL CORP. N.V. | 1,519,662 | 1,980,311 | |||||||||||
494 | TARO PHARMACEUTICAL INDUSTRIES LTD.(b) | 53,058 | 52,003 | |||||||||||
27,134 | TEVA PHARMACEUTICAL INDUSTRIES LTD. ADR(d) | 1,030,775 | 983,608 | |||||||||||
7,249,705 | 7,169,709 | 1.41% | ||||||||||||
Italy: | ||||||||||||||
29,756 | ASSICURAZIONI GENERALI S.P.A. | 370,271 | 442,276 | |||||||||||
18,890 | ATLANTIA S.P.A. | 374,706 | 442,630 | |||||||||||
121,539 | AZIMUT HOLDING S.P.A. | 1,757,972 | 2,029,097 | |||||||||||
25,272 | BANCA MEDIOLANUM S.P.A. | 87,322 | 181,696 | |||||||||||
99,381 | ENEL S.P.A. | 348,358 | 438,121 | |||||||||||
6,101 | FERRARI N.V. | 258,153 | 355,149 | |||||||||||
1,022 | FERRARI N.V. | 9,333 | 59,419 | |||||||||||
61,846 | INTERPUMP GROUP S.P.A. | 907,225 | 1,012,339 | |||||||||||
190,462 | INTESA SANPAOLO S.P.A. | 334,054 | 486,388 | |||||||||||
11,506 | ITALGAS S.P.A.(b) | 43,605 | 45,274 | |||||||||||
10,070 | LEONARDO-FINMECCANICA S.P.A.(b) | 50,331 | 141,407 | |||||||||||
31,856 | LUXOTTICA GROUP S.P.A. | 1,619,434 | 1,713,547 | |||||||||||
10,830 | MEDIOBANCA S.P.A. | 70,955 | 88,409 | |||||||||||
4,438 | PRYSMIAN S.P.A. | 86,023 | 113,989 | |||||||||||
695 | RIZZOLI CORRIERE DELLA SERA MEDIAGROUP S.P.A.(b) | 460 | 611 | |||||||||||
76,191 | SNAM S.P.A. | 276,534 | 313,912 | |||||||||||
23,860 | TECHNOGYM S.P.A.(b)(e) | 106,999 | 111,315 | |||||||||||
30,527 | TENARIS S.A. | 385,417 | 545,318 | |||||||||||
34,652 | TERNA RETE ELETTRICA NAZIONALE S.P.A. | 130,368 | 158,745 | |||||||||||
5,992 | TOD’S S.P.A. | 377,552 | 389,802 | |||||||||||
95,230 | UNIPOLSAI S.P.A. | 153,826 | 203,495 | |||||||||||
7,748,898 | 9,272,939 | 1.82% | ||||||||||||
Japan: | ||||||||||||||
1,400 | ABC-MART, INC. | 51,583 | 79,298 | |||||||||||
14,200 | AEON CO. LTD. | 162,360 | 201,200 | |||||||||||
4,800 | AEON FINANCIAL SERVICE CO. LTD. | 49,903 | 85,301 | |||||||||||
3,600 | AEON MALL CO. LTD. | 50,736 | 50,639 | |||||||||||
2,300 | AISIN SEIKI CO. LTD. | 37,584 | 99,773 | |||||||||||
15,000 | AJINOMOTO CO., INC. | 116,767 | 302,118 | |||||||||||
2,500 | ALFRESA HOLDINGS CORP. | 24,420 | 41,369 | |||||||||||
2,000 | ALPS ELECTRIC CO. LTD. | 49,738 | 48,359 | |||||||||||
2,000 | AMADA HOLDINGS CO. LTD. | 10,582 | 22,332 | |||||||||||
22,000 | ANA HOLDINGS, INC. | 55,008 | 59,256 | |||||||||||
57,300 | ANRITSU CORP. | 328,028 | 308,868 | |||||||||||
18,000 | AOZORA BANK LTD. | 51,121 | 63,606 | |||||||||||
75,792 | ARCLAND SERVICE HOLDINGS CO. LTD. | 1,463,181 | 1,862,457 | |||||||||||
33,600 | ASAHI CO. LTD. | 519,214 | 369,708 | |||||||||||
5,600 | ASAHI GROUP HOLDINGS LTD. | 85,235 | 176,804 | |||||||||||
36,000 | ASAHI KASEI CORP. | 181,568 | 314,028 | |||||||||||
51,400 | ASICS CORP. | 766,684 | 1,026,901 | |||||||||||
37,000 | ASTELLAS PHARMA, INC. | 236,149 | 513,964 | |||||||||||
1,500 | BANDAI NAMCO HOLDINGS, INC. | 14,652 | 41,390 | |||||||||||
33,000 | BANK OF KYOTO (THE) LTD. | 216,700 | 245,082 | |||||||||||
13,800 | BRIDGESTONE CORP. | 205,726 | 497,568 | |||||||||||
5,200 | BROTHER INDUSTRIES LTD. | 38,445 | 93,834 | |||||||||||
55,600 | BUNKA SHUTTER CO. LTD. | 422,487 | 429,101 |
See accompanying notes to the financial statements. | 71 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||
Fair | of | |||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||
Japan (Cont’d): | ||||||||||||||
15,500 | CANON, INC. | $ | 438,724 | 436,984 | ||||||||||
18,800 | CAPCOM CO. LTD. | 343,666 | 442,353 | |||||||||||
3,300 | CENTRAL JAPAN RAILWAY CO. | 327,176 | 542,965 | |||||||||||
9,700 | CHUBU ELECTRIC POWER CO., INC. | 128,683 | 135,530 | |||||||||||
4,500 | CHUGAI PHARMACEUTICAL CO. LTD. | 82,278 | 129,176 | |||||||||||
7,200 | CHUGOKU ELECTRIC POWER (THE) CO., INC. | 84,839 | 84,459 | |||||||||||
7,900 | CITIZEN WATCH CO. LTD. | 31,581 | 47,248 | |||||||||||
18,757 | CONCORDIA FINANCIAL GROUP LTD. | 87,711 | 90,290 | |||||||||||
19,236 | CREDIT SAISON CO. LTD. | 213,446 | 341,845 | |||||||||||
8,000 | DAI NIPPON PRINTING CO. LTD. | 74,325 | 79,059 | |||||||||||
61,800 | DAIBIRU CORP. | 611,995 | 529,299 | |||||||||||
16,500 | DAI-ICHI LIFE HOLDINGS, INC. | 198,959 | 274,729 | |||||||||||
13,600 | DAIICHI SANKYO CO. LTD. | 229,746 | 278,284 | |||||||||||
4,500 | DAIKIN INDUSTRIES LTD. | 124,473 | 413,326 | |||||||||||
1,200 | DAITO TRUST CONSTRUCTION CO. LTD. | 117,985 | 180,501 | |||||||||||
13,600 | DAIWA HOUSE INDUSTRY CO. LTD. | 194,625 | 371,898 | |||||||||||
38,000 | DAIWA SECURITIES GROUP, INC. | 169,709 | 234,194 | |||||||||||
8,200 | DENSO CORP. | 185,234 | 355,222 | |||||||||||
2,800 | DENTSU, INC. | 46,871 | 131,765 | |||||||||||
41,700 | DESCENTE LTD. | 242,140 | 480,241 | |||||||||||
117,000 | DOWA HOLDINGS CO. LTD. | 698,077 | 894,956 | |||||||||||
7,000 | EAST JAPAN RAILWAY CO. | 392,789 | 604,920 | |||||||||||
3,400 | EISAI CO. LTD. | 112,861 | 195,142 | |||||||||||
7,500 | ELECTRIC POWER DEVELOPMENT CO. LTD. | 169,053 | 172,620 | |||||||||||
1,800 | FAMILYMART UNY HOLDINGS CO. LTD. | 52,590 | 119,820 | |||||||||||
3,100 | FANUC CORP. | 243,447 | 525,574 | |||||||||||
1,400 | FAST RETAILING CO. LTD. | 214,903 | 501,065 | |||||||||||
21,000 | FUJI ELECTRIC CO. LTD. | 51,969 | 108,886 | |||||||||||
13,500 | FUJI HEAVY INDUSTRIES LTD. | 263,117 | 551,204 | |||||||||||
30,500 | FUJI OIL HOLDINGS, INC. | 457,518 | 599,170 | |||||||||||
8,800 | FUJIFILM HOLDINGS CORP. | 165,274 | 333,929 | |||||||||||
18,000 | FUJITSU LTD. | 64,886 | 100,030 | |||||||||||
70,000 | FUKUOKA FINANCIAL GROUP, INC. | 230,551 | 310,845 | |||||||||||
3,200 | FURUKAWA ELECTRIC CO. LTD. | 65,376 | 93,638 | |||||||||||
12,000 | GS YUASA CORP. | 47,814 | 49,899 | |||||||||||
49,500 | HACHIJUNI BANK (THE) LTD. | 214,554 | 287,153 | |||||||||||
3,000 | HAMAMATSU PHOTONICS K.K. | 52,686 | 78,931 | |||||||||||
4,400 | HANKYU HANSHIN HOLDINGS, INC. | 117,409 | 141,176 | |||||||||||
525 | HIROSE ELECTRIC CO. LTD. | 48,402 | 65,089 | |||||||||||
1,100 | HISAMITSU PHARMACEUTICAL CO., INC. | 45,282 | 55,059 | |||||||||||
158,000 | HITACHI LTD. | 579,912 | 854,383 | |||||||||||
21,200 | HITACHI METALS LTD. | 202,414 | 287,322 | |||||||||||
7,300 | HOKURIKU ELECTRIC POWER CO. | 76,486 | 81,822 | |||||||||||
28,200 | HONDA MOTOR CO. LTD. | 702,314 | 823,983 | |||||||||||
5,900 | HOYA CORP. | 132,155 | 247,914 | |||||||||||
68,600 | IDOM, INC. | 409,382 | 377,997 | |||||||||||
2,500 | IIDA GROUP HOLDINGS CO. LTD. | 44,925 | 47,422 | |||||||||||
5,300 | INPEX CORP. | 50,818 | 53,102 | |||||||||||
7,400 | ISETAN MITSUKOSHI HOLDINGS LTD. | 69,899 | 79,778 | |||||||||||
4,800 | ISUZU MOTORS LTD. | 58,574 | 60,824 | |||||||||||
27,200 | ITOCHU CORP. | 291,860 | 361,193 | |||||||||||
4,000 | J FRONT RETAILING CO. LTD. | 31,099 | 53,904 | |||||||||||
7,000 | JAPAN EXCHANGE GROUP, INC. | 56,090 | 100,021 | |||||||||||
8,600 | JAPAN POST HOLDINGS CO. LTD. | 102,805 | 107,357 | |||||||||||
16 | JAPAN PRIME REALTY INVESTMENT CORP. | 56,433 | 63,042 | |||||||||||
171,441 | JAPAN PROPERTY MANAGEMENT CENTER CO. LTD. | 2,251,658 | 1,908,404 | |||||||||||
25 | JAPAN REAL ESTATE INVESTMENT CORP. | 125,468 | 136,257 | |||||||||||
33 | JAPAN RETAIL FUND INVESTMENT CORP. | 60,174 | 66,805 | |||||||||||
20,800 | JAPAN TOBACCO, INC. | 630,747 | 684,109 | |||||||||||
4,000 | JGC CORP. | 53,048 | 72,693 | |||||||||||
3,100 | JSR CORP. | 39,530 | 48,884 | |||||||||||
5,000 | JTEKT CORP. | 36,670 | 80,000 | |||||||||||
13,300 | JX HOLDINGS, INC. | 63,457 | 56,295 | |||||||||||
13,000 | KAJIMA CORP. | 44,950 | 89,985 | |||||||||||
111,838 | KAKAKU.COM, INC. | 1,732,717 | 1,850,650 | |||||||||||
18,000 | KANSAI ELECTRIC POWER (THE) CO., INC.(b) | 164,557 | 196,826 | |||||||||||
3,100 | KANSAI PAINT CO. LTD. | 29,763 | 57,106 | |||||||||||
10,000 | KAO CORP. | 208,279 | 474,096 | |||||||||||
See accompanying notes to the financial statements. | 72 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||
Fair | of | |||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||
Japan (Cont’d): | ||||||||||||||
35,000 | KAWASAKI HEAVY INDUSTRIES LTD. | $ | 71,135 | 109,904 | ||||||||||
42,762 | KDDI CORP. | 535,051 | 1,082,816 | |||||||||||
13,000 | KEIKYU CORP. | 95,310 | 150,717 | |||||||||||
7,000 | KEIO CORP. | 44,821 | 57,557 | |||||||||||
2,500 | KEISEI ELECTRIC RAILWAY CO. LTD. | 23,110 | 60,685 | |||||||||||
4,081 | KEYENCE CORP. | 1,676,854 | 2,800,395 | |||||||||||
6,000 | KIKKOMAN CORP. | 52,867 | 192,000 | |||||||||||
35,000 | KINTETSU GROUP HOLDINGS CO. LTD. | 106,062 | 133,562 | |||||||||||
10,000 | KIRIN HOLDINGS CO. LTD. | 103,112 | 162,695 | |||||||||||
23,900 | KOBAYASHI PHARMACEUTICAL CO. LTD. | 646,972 | 1,022,460 | |||||||||||
2,300 | KONAMI HOLDINGS CORP. | 50,313 | 92,886 | |||||||||||
7,000 | KONICA MINOLTA, INC. | 53,139 | 69,536 | |||||||||||
21,000 | KUBOTA CORP. | 129,773 | 299,795 | |||||||||||
76,000 | KYB CORP. | 279,376 | 368,702 | |||||||||||
6,700 | KYOCERA CORP. | 254,933 | 333,180 | |||||||||||
5,000 | KYOWA HAKKO KIRIN CO. LTD. | 54,616 | 69,134 | |||||||||||
14,500 | KYUSHU ELECTRIC POWER CO., INC. | 130,132 | 157,313 | |||||||||||
43,400 | LAOX CO. LTD.(b) | 321,444 | 265,877 | |||||||||||
2,800 | LAWSON, INC. | 120,035 | 196,689 | |||||||||||
2,500 | LIXIL GROUP CORP. | 34,617 | 56,770 | |||||||||||
2,400 | M3, INC. | 51,468 | 60,475 | |||||||||||
1,600 | MAKITA CORP. | 82,169 | 107,191 | |||||||||||
32,000 | MARUBENI CORP. | 162,807 | 181,473 | |||||||||||
6,500 | MARUI GROUP CO. LTD. | 32,287 | 94,935 | |||||||||||
1,700 | MARUICHI STEEL TUBE LTD. | 49,299 | 55,345 | |||||||||||
11,400 | MAZDA MOTOR CORP. | 95,886 | 186,497 | |||||||||||
2,400 | MEIJI HOLDINGS CO. LTD. | 38,749 | 188,098 | |||||||||||
29,100 | MEITEC CORP. | 668,867 | 1,114,203 | |||||||||||
8,700 | MINEBEA CO. LTD. | 84,406 | 81,585 | |||||||||||
1,300 | MIRACA HOLDINGS, INC. | 50,134 | 58,396 | |||||||||||
40,000 | MITSUBISHI CHEMICAL HOLDINGS CORP. | 161,621 | 259,422 | |||||||||||
17,500 | MITSUBISHI CORP. | 230,376 | 372,834 | |||||||||||
46,000 | MITSUBISHI ELECTRIC CORP. | 389,405 | 641,343 | |||||||||||
39,000 | MITSUBISHI ESTATE CO. LTD. | 569,652 | 776,663 | |||||||||||
8,500 | MITSUBISHI GAS CHEMICAL CO., INC. | 75,149 | 145,091 | |||||||||||
103,000 | MITSUBISHI HEAVY INDUSTRIES LTD. | 349,475 | 469,372 | |||||||||||
4,000 | MITSUBISHI LOGISTICS CORP. | 45,017 | 56,573 | |||||||||||
1,800 | MITSUBISHI MATERIALS CORP. | 47,129 | 55,290 | |||||||||||
13,300 | MITSUBISHI MOTORS CORP. | 60,808 | 75,789 | |||||||||||
3,800 | MITSUBISHI TANABE PHARMA CORP. | 49,996 | 74,553 | |||||||||||
216,400 | MITSUBISHI UFJ FINANCIAL GROUP, INC. | 1,020,956 | 1,333,487 | |||||||||||
27,000 | MITSUBISHI UFJ LEASE & FINANCE CO. LTD. | 83,878 | 139,534 | |||||||||||
25,500 | MITSUI & CO. LTD. | 248,595 | 350,618 | |||||||||||
37,000 | MITSUI CHEMICALS, INC. | 87,469 | 166,203 | |||||||||||
13,000 | MITSUI FUDOSAN CO. LTD. | 316,615 | 300,877 | |||||||||||
3,000 | MITSUI MINING & SMELTING CO. LTD. | 5,391 | 7,598 | |||||||||||
43,000 | MITSUI OSK LINES LTD. | 90,360 | 119,204 | |||||||||||
370,200 | MIZUHO FINANCIAL GROUP, INC. | 565,773 | 664,539 | |||||||||||
9,780 | MS&AD INSURANCE GROUP HOLDINGS, INC. | 217,632 | 303,253 | |||||||||||
4,800 | MURATA MANUFACTURING CO. LTD. | 304,817 | 642,738 | |||||||||||
98,000 | NACHI-FUJIKOSHI CORP. | 472,883 | 425,121 | |||||||||||
44,000 | NEC CORP. | 109,228 | 116,706 | |||||||||||
5,000 | NGK INSULATORS LTD. | 63,090 | 96,984 | |||||||||||
4,100 | NGK SPARK PLUG CO. LTD. | 48,644 | 91,138 | |||||||||||
6,000 | NH FOODS LTD. | 72,315 | 161,968 | |||||||||||
4,300 | NIDEC CORP. | 158,515 | 371,042 | |||||||||||
62,404 | NIHON M&A CENTER, INC. | 1,228,658 | 1,735,298 | |||||||||||
36,100 | NIHON PARKERIZING CO. LTD. | 481,156 | 423,470 | |||||||||||
3,500 | NIKON CORP. | 39,528 | 54,413 | |||||||||||
2,600 | NINTENDO CO. LTD. | 285,625 | 545,917 | |||||||||||
22 | NIPPON BUILDING FUND, INC. | 90,970 | 121,788 | |||||||||||
17,000 | NIPPON EXPRESS CO. LTD. | 60,747 | 91,491 | |||||||||||
2,000 | NIPPON PAINT HOLDINGS CO. LTD. | 44,426 | 54,503 | |||||||||||
15,200 | NIPPON TELEGRAPH & TELEPHONE CORP. | 342,697 | 638,823 | |||||||||||
66,000 | NIPPON YUSEN K.K. | 127,650 | 122,541 | |||||||||||
5,000 | NISSAN CHEMICAL INDUSTRIES LTD. | 50,851 | 167,059 | |||||||||||
34,600 | NISSAN MOTOR CO. LTD. | 316,967 | 347,998 | |||||||||||
3,670 | NISSHIN SEIFUN GROUP, INC. | 31,991 | 55,077 |
See accompanying notes to the financial statements. | 73 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||
Fair | of | |||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||
Japan (Cont’d): | ||||||||||||||
1,200 | NISSIN FOODS HOLDINGS CO. LTD. | $ | 43,959 | 63,042 | ||||||||||
2,700 | NITORI HOLDINGS CO. LTD. | 87,310 | 308,637 | |||||||||||
4,000 | NITTO DENKO CORP. | 125,248 | 306,960 | |||||||||||
3,100 | NOK CORP. | 51,304 | 62,756 | |||||||||||
97,400 | NOMURA HOLDINGS, INC. | 360,220 | 574,275 | |||||||||||
8,400 | NOMURA REAL ESTATE HOLDINGS, INC. | 130,390 | 142,881 | |||||||||||
34 | NOMURA REAL ESTATE MASTER FUND, INC. | 46,931 | 51,433 | |||||||||||
3,267 | NOMURA RESEARCH INSTITUTE LTD. | 43,930 | 99,512 | |||||||||||
7,000 | NSK LTD. | 50,459 | 81,095 | |||||||||||
1,400 | NTT DATA CORP. | 36,520 | 67,679 | |||||||||||
29,200 | NTT DOCOMO, INC. | 479,428 | 665,323 | |||||||||||
18,900 | NTT URBAN DEVELOPMENT CORP. | 159,857 | 166,401 | |||||||||||
12,000 | OBAYASHI CORP. | 48,665 | 114,687 | |||||||||||
2,600 | ODAKYU ELECTRIC RAILWAY CO. LTD. | 43,250 | 51,455 | |||||||||||
15,000 | OJI HOLDINGS CORP. | 59,820 | 61,091 | |||||||||||
7,400 | OLYMPUS CORP. | 153,138 | 255,795 | |||||||||||
5,800 | OMRON CORP. | 167,504 | 222,571 | |||||||||||
5,900 | ONO PHARMACEUTICAL CO. LTD. | 64,138 | 129,005 | |||||||||||
8,000 | ONWARD HOLDINGS CO. LTD. | 54,094 | 56,060 | |||||||||||
4,800 | ORIENTAL LAND CO. LTD. | 113,097 | 271,305 | |||||||||||
13,500 | ORIX CORP. | 156,751 | 210,687 | |||||||||||
37,000 | OSAKA GAS CO. LTD. | 121,878 | 142,333 | |||||||||||
8,700 | OTSUKA HOLDINGS CO. LTD. | 264,752 | 379,115 | |||||||||||
36,000 | PANASONIC CORP. | 242,139 | 366,391 | |||||||||||
2,600 | PARK24 CO. LTD. | 51,627 | 70,520 | |||||||||||
15,200 | RAKUTEN, INC. | 97,714 | 148,976 | |||||||||||
1,600 | RECRUIT HOLDINGS CO. LTD. | 50,223 | 64,205 | |||||||||||
19,300 | RESONA HOLDINGS, INC. | 74,265 | 98,998 | |||||||||||
30,100 | RICOH CO. LTD. | 248,535 | 254,450 | |||||||||||
1,200 | RINNAI CORP. | 52,047 | 96,821 | |||||||||||
4,200 | ROHM CO. LTD. | 166,807 | 241,848 | |||||||||||
2,300 | SANKYO CO. LTD. | 77,278 | 74,289 | |||||||||||
13,000 | SANTEN PHARMACEUTICAL CO. LTD. | 85,886 | 159,059 | |||||||||||
13,720 | SBI HOLDINGS, INC. | 111,165 | 174,560 | |||||||||||
3,400 | SECOM CO. LTD. | 133,812 | 248,669 | |||||||||||
7,300 | SEGA SAMMY HOLDINGS, INC. | 68,324 | 108,618 | |||||||||||
8,400 | SEIBU HOLDINGS, INC. | 139,989 | 150,643 | |||||||||||
3,600 | SEIKO EPSON CORP. | 55,145 | 76,235 | |||||||||||
13,000 | SEKISUI CHEMICAL CO. LTD. | 66,177 | 207,333 | |||||||||||
9,800 | SEKISUI HOUSE LTD. | 105,606 | 163,131 | |||||||||||
14,000 | SEVEN & I HOLDINGS CO. LTD. | 329,694 | 533,408 | |||||||||||
77,400 | SEVEN BANK LTD. | 227,795 | 221,852 | |||||||||||
4,000 | SHIMADZU CORP. | 25,419 | 63,726 | |||||||||||
1,000 | SHIMAMURA CO. LTD. | 61,206 | 124,834 | |||||||||||
1,500 | SHIMANO, INC. | 58,204 | 235,380 | |||||||||||
6,000 | SHIMIZU CORP. | 50,949 | 54,879 | |||||||||||
10,000 | SHIN-ETSU CHEMICAL CO. LTD. | 508,153 | 775,786 | |||||||||||
17,800 | SHINKO PLANTECH CO. LTD. | 146,224 | 129,302 | |||||||||||
4,000 | SHIONOGI & CO. LTD. | 67,679 | 191,624 | |||||||||||
5,900 | SHISEIDO CO. LTD. | 88,706 | 149,349 | |||||||||||
1,100 | SMC CORP. | 155,380 | 262,635 | |||||||||||
69,215 | SMS CO. LTD. | 877,129 | 1,534,426 | |||||||||||
18,400 | SOFTBANK GROUP CORP. | 412,233 | 1,222,468 | |||||||||||
9,000 | SOMPO HOLDINGS, INC. | 202,248 | 304,941 | |||||||||||
18,800 | SONY CORP. | 260,756 | 526,802 | |||||||||||
13,500 | SQUARE ENIX HOLDINGS CO. LTD. | 170,840 | 347,102 | |||||||||||
41,400 | STANLEY ELECTRIC CO. LTD. | 603,109 | 1,131,748 | |||||||||||
2,500 | SUGI HOLDINGS CO. LTD. | 119,164 | 118,930 | |||||||||||
25,000 | SUMITOMO CHEMICAL CO. LTD. | 74,256 | 118,930 | |||||||||||
32,400 | SUMITOMO CORP. | 311,418 | 381,315 | |||||||||||
4,000 | SUMITOMO DAINIPPON PHARMA CO. LTD. | 45,511 | 68,791 | |||||||||||
14,800 | SUMITOMO ELECTRIC INDUSTRIES LTD. | 148,166 | 213,563 | |||||||||||
12,000 | SUMITOMO HEAVY INDUSTRIES LTD. | 39,379 | 77,313 | |||||||||||
18,000 | SUMITOMO METAL MINING CO. LTD. | 187,124 | 232,094 | |||||||||||
41,000 | SUMITOMO MITSUI FINANCIAL GROUP, INC. | 1,267,071 | 1,564,578 | |||||||||||
14,331 | SUMITOMO MITSUI TRUST HOLDINGS, INC. | 429,445 | 512,912 | |||||||||||
4,000 | SUMITOMO REALTY & DEVELOPMENT CO. LTD. | 110,500 | 106,302 | |||||||||||
57,900 | SUMITOMO RUBBER INDUSTRIES LTD. | 688,127 | 919,464 | |||||||||||
See accompanying notes to the financial statements. | 74 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
Japan (Cont’d): | ||||||||||||||||
9,300 | SUZUKI MOTOR CORP. | $ | 199,522 | 327,360 | ||||||||||||
25,485 | SYSMEX CORP. | 582,414 | 1,476,222 | |||||||||||||
7,200 | T & D HOLDINGS, INC. | 71,473 | 95,209 | |||||||||||||
43,000 | TAIHEIYO CEMENT CORP. | 104,143 | 136,128 | |||||||||||||
17,000 | TAISEI CORP. | 55,809 | 118,982 | |||||||||||||
1,000 | TAISHO PHARMACEUTICAL HOLDINGS CO. LTD. | 68,094 | 82,995 | |||||||||||||
5,500 | TAIYO NIPPON SANSO CORP. | 49,981 | 63,718 | |||||||||||||
10,000 | TAKASHIMAYA CO. LTD. | 63,872 | 82,481 | |||||||||||||
7,100 | TAKEDA PHARMACEUTICAL CO. LTD. | 246,901 | 293,720 | |||||||||||||
1,100 | TDK CORP. | 52,815 | 75,671 | |||||||||||||
14,200 | TECHNOPRO HOLDINGS, INC. | 488,187 | 455,615 | |||||||||||||
5,800 | TEIJIN LTD. | 67,529 | 117,563 | |||||||||||||
5,200 | TERUMO CORP. | 95,419 | 191,983 | |||||||||||||
2,000 | THK CO. LTD. | 29,290 | 44,252 | |||||||||||||
14,000 | TOBU RAILWAY CO. LTD. | 65,385 | 69,476 | |||||||||||||
2,200 | TOHO CO. LTD. | 42,502 | 62,212 | |||||||||||||
17,000 | TOHO GAS CO. LTD. | 81,221 | 138,327 | |||||||||||||
10,600 | TOHOKU ELECTRIC POWER CO., INC. | 96,604 | 133,957 | |||||||||||||
16,400 | TOKIO MARINE HOLDINGS, INC. | 426,902 | 672,979 | |||||||||||||
28,100 | TOKYO ELECTRIC POWER CO. HOLDINGS, INC.(b) | 104,659 | 113,482 | |||||||||||||
17,200 | TOKYO ELECTRON LTD. | 887,621 | 1,625,446 | |||||||||||||
30,000 | TOKYO GAS CO. LTD. | 103,615 | 135,760 | |||||||||||||
9,800 | TOKYO TATEMONO CO. LTD. | 110,919 | 131,058 | |||||||||||||
25,000 | TOKYU CORP. | 103,448 | 183,743 | |||||||||||||
20,000 | TOKYU FUDOSAN HOLDINGS CORP. | 69,576 | 118,075 | |||||||||||||
28,000 | TONENGENERAL SEKIYU K.K. | 263,514 | 295,153 | |||||||||||||
19,000 | TORAY INDUSTRIES, INC. | 87,423 | 153,821 | |||||||||||||
39,000 | TOSHIBA CORP.(b) | 88,294 | 94,468 | |||||||||||||
3,000 | TOTO LTD. | 30,029 | 118,717 | |||||||||||||
3,000 | TOYO SUISAN KAISHA LTD. | 74,690 | 108,706 | |||||||||||||
5,600 | TOYOTA INDUSTRIES CORP. | 168,810 | 266,883 | |||||||||||||
48,862 | TOYOTA MOTOR CORP. | 1,707,201 | 2,875,490 | |||||||||||||
7,300 | TOYOTA TSUSHO CORP. | 136,342 | 190,190 | |||||||||||||
2,500 | TREND MICRO, INC. | 74,501 | 88,877 | |||||||||||||
62,000 | TSUGAMI CORP. | 324,668 | 355,953 | |||||||||||||
43,400 | TSUMURA & CO. | 1,008,894 | 1,195,705 | |||||||||||||
19,262 | TSURUHA HOLDINGS, INC. | 706,440 | 1,829,375 | |||||||||||||
8,000 | UBE INDUSTRIES LTD. | 13,963 | 16,770 | |||||||||||||
7,800 | UNICHARM CORP. | 68,794 | 170,682 | |||||||||||||
34 | UNITED URBAN INVESTMENT CORP. | 52,061 | 51,753 | |||||||||||||
36,100 | USHIO, INC. | 405,307 | 460,536 | |||||||||||||
4,900 | USS CO. LTD. | 56,003 | 78,065 | |||||||||||||
4,100 | WEST JAPAN RAILWAY CO. | 134,756 | 251,630 | |||||||||||||
38,100 | YAHOO JAPAN CORP. | 118,297 | 146,369 | |||||||||||||
3,100 | YAKULT HONSHA CO. LTD. | 101,546 | 143,760 | |||||||||||||
16,300 | YAMADA DENKI CO. LTD. | 56,674 | 87,863 | |||||||||||||
12,000 | YAMAGUCHI FINANCIAL GROUP, INC. | 112,747 | 130,704 | |||||||||||||
8,300 | YAMAHA MOTOR CO. LTD. | 106,577 | 182,795 | |||||||||||||
3,500 | YAMATO HOLDINGS CO. LTD. | 56,707 | 71,168 | |||||||||||||
4,000 | YAMAZAKI BAKING CO. LTD. | 44,679 | 77,279 | |||||||||||||
5,000 | YASKAWA ELECTRIC CORP. | 48,019 | 77,775 | |||||||||||||
4,600 | YOKOGAWA ELECTRIC CORP. | 49,277 | 66,634 | |||||||||||||
58,851,959 | 85,857,626 | 16.87 | % | |||||||||||||
Jordan: | ||||||||||||||||
2,797 | HIKMA PHARMACEUTICALS PLC | 58,456 | 65,252 | |||||||||||||
58,456 | 65,252 | 0.01 | % | |||||||||||||
Mexico: | ||||||||||||||||
3,986 | FRESNILLO PLC | 52,236 | 59,980 | |||||||||||||
453,934 | WAL-MART DE MEXICO S.A.B. DE C.V. | 1,381,919 | 811,314 | |||||||||||||
1,434,155 | 871,294 | 0.17 | % | |||||||||||||
Netherlands: | ||||||||||||||||
39,160 | AALBERTS INDUSTRIES N.V. | 808,041 | 1,270,455 | |||||||||||||
23,580 | ACCELL GROUP | 391,077 | 543,839 | |||||||||||||
35,981 | AEGON N.V. | 133,041 | 198,013 | |||||||||||||
4,809 | AKZO NOBEL N.V. | 214,185 | 300,644 | |||||||||||||
10,414 | ALTICE N.V., CLASS A(b) | 150,435 | 206,420 | |||||||||||||
See accompanying notes to the financial statements. | 75 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
Netherlands (Cont’d): | ||||||||||||||||
3,262 | ALTICE N.V., CLASS B(b) | $ | 50,824 | 65,001 | ||||||||||||
42,890 | ARCADIS N.V. | 1,006,886 | 601,825 | |||||||||||||
82,680 | ARCELORMITTAL(b) | 380,361 | 610,624 | |||||||||||||
8,748 | ASML HOLDING N.V. | 251,458 | 982,095 | |||||||||||||
10,933 | BETER BED HOLDING N.V. | 188,948 | 194,496 | |||||||||||||
18,089 | CORE LABORATORIES N.V. | 2,061,745 | 2,171,404 | |||||||||||||
3,610 | EXOR N.V. | 90,616 | 155,727 | |||||||||||||
4,039 | HEINEKEN HOLDING N.V. | 241,616 | 281,204 | |||||||||||||
3,662 | HEINEKEN N.V. | 128,663 | 274,693 | |||||||||||||
263,031 | ING GROEP N.V. | 2,353,835 | 3,701,880 | |||||||||||||
24,953 | KONINKLIJKE AHOLD DELHAIZE N.V. | 357,231 | 526,123 | |||||||||||||
3,281 | KONINKLIJKE DSM N.V. | 122,903 | 196,725 | |||||||||||||
51,375 | KONINKLIJKE KPN N.V. | 108,346 | 152,181 | |||||||||||||
20,095 | KONINKLIJKE PHILIPS N.V. | 343,642 | 613,437 | |||||||||||||
3,440 | NN GROUP N.V. | 102,690 | 116,582 | |||||||||||||
4,877 | NXP SEMICONDUCTORS N.V.(b) | 393,113 | 477,995 | |||||||||||||
8,430 | QIAGEN N.V.(b) | 119,420 | 236,754 | |||||||||||||
3,238 | RANDSTAD HOLDING N.V. | 99,928 | 175,639 | |||||||||||||
57,658 | REFRESCO GROUP N.V.(e) | 947,021 | 875,810 | |||||||||||||
84,420 | ROYAL DUTCH SHELL PLC, CLASS A | 2,033,725 | 2,333,079 | |||||||||||||
87,557 | ROYAL DUTCH SHELL PLC, CLASS B | 1,952,874 | 2,540,089 | |||||||||||||
6,193 | WOLTERS KLUWER N.V. | 101,075 | 224,386 | |||||||||||||
15,133,699 | 20,027,120 | 3.93 | % | |||||||||||||
New Zealand: | ||||||||||||||||
16,545 | AUCKLAND INTERNATIONAL AIRPORT LTD. | 50,086 | 71,836 | |||||||||||||
7,256 | FLETCHER BUILDING LTD. | 34,509 | 53,432 | |||||||||||||
8,264 | RYMAN HEALTHCARE LTD. | 47,891 | 46,559 | |||||||||||||
18,050 | SKYCITY ENTERTAINMENT GROUP LTD. | 49,428 | 49,280 | |||||||||||||
207,601 | SPARK NEW ZEALAND LTD. | 477,631 | 491,792 | |||||||||||||
659,545 | 712,899 | 0.14 | % | |||||||||||||
Norway: | ||||||||||||||||
46,453 | AKER SOLUTIONS ASA(b) | 398,470 | 222,546 | |||||||||||||
13,773 | DNB ASA | 87,874 | 204,792 | |||||||||||||
46,372 | NORSK HYDRO ASA | 176,415 | 221,782 | |||||||||||||
97,615 | ORKLA ASA | 664,869 | 883,982 | |||||||||||||
21,735 | STATOIL ASA | 373,513 | 398,689 | |||||||||||||
23,718 | TELENOR ASA | 360,610 | 354,314 | |||||||||||||
2,940 | TGS NOPEC GEOPHYSICAL CO. ASA | 49,354 | 65,266 | |||||||||||||
60,850 | TOMRA SYSTEMS ASA | 503,097 | 637,719 | |||||||||||||
4,000 | YARA INTERNATIONAL ASA | 109,527 | 157,492 | |||||||||||||
2,723,729 | 3,146,582 | 0.62 | % | |||||||||||||
Philippines: | ||||||||||||||||
386,461 | METROPOLITAN BANK & TRUST CO. | 658,640 | 564,386 | |||||||||||||
3,065,000 | VISTA LAND & LIFESCAPES, INC. | 315,280 | 305,190 | |||||||||||||
973,920 | 869,576 | 0.17 | % | |||||||||||||
Poland: | ||||||||||||||||
10,800 | CCC S.A. | 483,899 | 525,334 | |||||||||||||
483,899 | 525,334 | 0.10 | % | |||||||||||||
Portugal: | ||||||||||||||||
20,567 | EDP - ENERGIAS DE PORTUGAL S.A. | 48,529 | 62,655 | |||||||||||||
8,119 | GALP ENERGIA SGPS S.A. | 108,273 | 121,274 | |||||||||||||
10,286 | JERONIMO MARTINS SGPS S.A. | 127,947 | 159,598 | |||||||||||||
284,749 | 343,527 | 0.07 | % | |||||||||||||
Russia: | ||||||||||||||||
69,290 | YANDEX N.V., CLASS A(b) | 1,540,112 | 1,394,808 | |||||||||||||
1,540,112 | 1,394,808 | 0.27 | % | |||||||||||||
Singapore: | ||||||||||||||||
31,000 | ASCENDAS REAL ESTATE INVESTMENT TRUST | 51,557 | 48,593 | |||||||||||||
133,600 | CAPITALAND LTD. | 267,129 | 278,612 | |||||||||||||
36,000 | CAPITALAND MALL TRUST | 34,133 | 46,860 | |||||||||||||
8,300 | CITY DEVELOPMENTS LTD. | 45,519 | 47,456 | |||||||||||||
32,000 | COMFORTDELGRO CORP. LTD. | 49,631 | 54,580 | |||||||||||||
45,300 | DBS GROUP HOLDINGS LTD. | 343,605 | 542,418 | |||||||||||||
93,100 | GENTING SINGAPORE PLC | 46,422 | 58,181 |
See accompanying notes to the financial statements. | 76 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
Singapore (Cont’d): | ||||||||||||||||
80,000 | KEPPEL CORP. LTD. | $ | 278,811 | 319,856 | ||||||||||||
7,840 | KEPPEL REIT | 3,207 | 5,522 | |||||||||||||
8,000 | OVERSEA-CHINESE BANKING CORP. LTD. | 48,344 | 49,277 | |||||||||||||
27,600 | SEMBCORP INDUSTRIES LTD. | 55,183 | 54,318 | |||||||||||||
12,000 | SINGAPORE AIRLINES LTD. | 70,334 | 80,130 | |||||||||||||
13,000 | SINGAPORE EXCHANGE LTD. | 40,226 | 64,275 | |||||||||||||
26,000 | SINGAPORE PRESS HOLDINGS LTD. | 44,166 | 63,377 | |||||||||||||
25,600 | SINGAPORE TECHNOLOGIES ENGINEERING LTD. | 58,613 | 57,099 | |||||||||||||
170,000 | SINGAPORE TELECOMMUNICATIONS LTD. | 324,551 | 428,478 | |||||||||||||
4,600 | UNITED OVERSEAS BANK LTD. | 26,071 | 64,800 | |||||||||||||
15,000 | UOL GROUP LTD. | 49,917 | 62,045 | |||||||||||||
35,400 | WILMAR INTERNATIONAL LTD. | 68,955 | 87,757 | |||||||||||||
1,906,374 | 2,413,634 | 0.47 | % | |||||||||||||
South Africa: | ||||||||||||||||
8,608 | INVESTEC PLC | 50,848 | 56,861 | |||||||||||||
11,950 | MEDICLINIC INTERNATIONAL PLC | 118,146 | 113,547 | |||||||||||||
113,758 | SHOPRITE HOLDINGS LTD. | 2,073,230 | 1,420,220 | |||||||||||||
2,242,224 | 1,590,628 | 0.31 | % | |||||||||||||
South Korea: | ||||||||||||||||
68,404 | BNK FINANCIAL GROUP, INC. | 736,213 | 491,594 | |||||||||||||
109,458 | DGB FINANCIAL GROUP, INC. | 1,123,210 | 885,415 | |||||||||||||
5,842 | HYUNDAI MIPO DOCKYARD CO. LTD.(b) | 617,529 | 325,039 | |||||||||||||
11,741 | KIA MOTORS CORP. | 539,610 | 381,548 | |||||||||||||
4,478 | KIWOOM SECURITIES CO. LTD. | 242,864 | 266,945 | |||||||||||||
18,695 | KOREA INVESTMENT HOLDINGS CO. LTD. | 690,575 | 648,552 | |||||||||||||
1,928 | SAMSUNG ELECTRONICS CO. LTD. | 2,285,018 | 2,876,516 | |||||||||||||
6,235,019 | 5,875,609 | 1.15 | % | |||||||||||||
Spain: | ||||||||||||||||
23,459 | ABERTIS INFRAESTRUCTURAS S.A. | 310,064 | 328,308 | |||||||||||||
1,260 | ACCIONA S.A. | 78,312 | 92,751 | |||||||||||||
1,731 | ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS S.A. | 50,359 | 54,701 | |||||||||||||
759 | AENA S.A.(e) | 68,300 | 103,585 | |||||||||||||
8,385 | AMADEUS IT GROUP S.A. | 256,762 | 381,039 | |||||||||||||
127,837 | BANCO BILBAO VIZCAYA ARGENTARIA S.A. | 731,627 | 863,117 | |||||||||||||
188,184 | BANCO SANTANDER S.A. | 835,541 | 982,338 | |||||||||||||
7,551 | BANKINTER S.A. | 51,111 | 58,501 | |||||||||||||
96,203 | CAIXABANK S.A. | 236,376 | 317,982 | |||||||||||||
13,880 | CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES S.A. | 645,501 | 559,593 | |||||||||||||
10,680 | DISTRIBUIDORA INTERNACIONAL DE ALIMENTACION S.A. | 53,683 | 52,445 | |||||||||||||
10,362 | ENAGAS S.A. | 213,104 | 263,145 | |||||||||||||
2,616 | ENDESA S.A. | 51,202 | 55,419 | |||||||||||||
3,362 | FERROVIAL S.A. | 50,676 | 60,145 | |||||||||||||
16,489 | GAS NATURAL SDG S.A. | 264,629 | 310,866 | |||||||||||||
15,282 | GRIFOLS S.A. | 273,863 | 303,715 | |||||||||||||
60,806 | IBERDROLA S.A. | 298,760 | 399,022 | |||||||||||||
43,605 | INDUSTRIA DE DISENO TEXTIL S.A. | 1,146,453 | �� | 1,488,563 | ||||||||||||
21,686 | MAPFRE S.A. | 49,735 | 66,201 | |||||||||||||
26,579 | RED ELECTRICA CORP. S.A. | 390,097 | 501,513 | |||||||||||||
46,787 | REPSOL S.A. | 567,752 | 660,940 | |||||||||||||
10,806 | TECNICAS REUNIDAS S.A. | 356,930 | 443,224 | |||||||||||||
6,980,837 | 8,347,113 | 1.64 | % | |||||||||||||
Sweden: | ||||||||||||||||
22,200 | ASSA ABLOY AB, CLASS B | 89,466 | 412,050 | |||||||||||||
17,828 | ATLAS COPCO AB, CLASS A | 275,239 | 543,024 | |||||||||||||
13,024 | ATLAS COPCO AB, CLASS B | 226,073 | 355,385 | |||||||||||||
3,519 | BOLIDEN AB | 59,035 | 91,890 | |||||||||||||
31,182 | BULTEN AB | 262,010 | 304,612 | |||||||||||||
145,247 | CELLAVISION AB | 1,032,264 | 1,371,067 | |||||||||||||
92,170 | CLOETTA AB, CLASS B | 309,534 | 290,352 | |||||||||||||
29,850 | DUNI AB | 262,610 | 409,550 | |||||||||||||
7,501 | ELECTROLUX AB, CLASS B | 95,788 | 186,319 | |||||||||||||
19,782 | HENNES & MAURITZ AB, CLASS B | 453,970 | 550,212 | |||||||||||||
4,591 | HEXAGON AB, CLASS B | 86,469 | 164,026 | |||||||||||||
17,500 | HUSQVARNA AB, CLASS B | 64,201 | 136,091 | |||||||||||||
8,270 | INDUSTRIVARDEN AB, CLASS C | 85,948 | 154,133 |
See accompanying notes to the financial statements. | 77 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
Sweden (Cont’d): | ||||||||||||||||
10,953 | INVESTOR AB, CLASS B | $ | 150,033 | 409,358 | ||||||||||||
3,000 | KINNEVIK AB, CLASS B | 51,225 | 71,883 | |||||||||||||
3,301 | LUNDIN PETROLEUM AB(b) | 46,596 | 71,777 | |||||||||||||
41,436 | NORDEA BANK AB | 232,747 | 460,723 | |||||||||||||
13,973 | SANDVIK AB | 86,678 | 172,849 | |||||||||||||
13,348 | SECURITAS AB, CLASS B | 106,689 | 210,096 | |||||||||||||
83,628 | SKANDINAVISKA ENSKILDA BANKEN AB, CLASS A | 577,532 | 877,072 | |||||||||||||
4,287 | SKANSKA AB, CLASS B | 53,143 | 101,215 | |||||||||||||
2,910 | SKF AB, CLASS B | 46,158 | 53,533 | |||||||||||||
10,869 | SVENSKA CELLULOSA AB S.C.A., CLASS B | 139,005 | 306,960 | |||||||||||||
61,429 | SVENSKA HANDELSBANKEN AB, CLASS A | 588,266 | 853,611 | |||||||||||||
5,879 | SWEDBANK AB, CLASS A | 114,588 | 142,158 | |||||||||||||
59,340 | TELEFONAKTIEBOLAGET LM ERICSSON, CLASS B | 304,553 | 348,461 | |||||||||||||
50,581 | TETHYS OIL AB | 383,644 | 437,211 | |||||||||||||
66,010 | THULE GROUP AB (THE)(e) | 805,989 | 1,032,470 | |||||||||||||
25,108 | VOLVO AB, CLASS B | 162,740 | 293,229 | |||||||||||||
7,152,193 | 10,811,317 | 2.12 | % | |||||||||||||
Switzerland: | ||||||||||||||||
158,603 | ABB LTD. (REGISTERED)(b) | 2,910,475 | 3,345,569 | |||||||||||||
1,807 | ACTELION LTD. (REGISTERED)(b) | 109,134 | 391,283 | |||||||||||||
18,852 | ADECCO GROUP A.G. (REGISTERED) | 841,205 | 1,233,905 | |||||||||||||
3,027 | ARYZTA A.G.(b) | 88,968 | 133,321 | |||||||||||||
484 | BALOISE HOLDING A.G. (REGISTERED) | 26,452 | 60,981 | |||||||||||||
88 | BARRY CALLEBAUT A.G. (REGISTERED)(b) | 88,741 | 107,678 | |||||||||||||
3,470 | BASILEA PHARMACEUTICA A.G. (REGISTERED)(b) | 261,957 | 249,098 | |||||||||||||
4,050 | BUCHER INDUSTRIES A.G. (REGISTERED) | 928,822 | 997,287 | |||||||||||||
35 | CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (PARTICIPATION CERTIFICATE) | 50,308 | 181,307 | |||||||||||||
3 | CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (REGISTERED) | 75,352 | 182,363 | |||||||||||||
22,607 | CHUBB LTD. | 1,821,921 | 2,986,837 | |||||||||||||
21,254 | CIE FINANCIERE RICHEMONT S.A. (REGISTERED) | 1,318,705 | 1,407,819 | |||||||||||||
2,819 | COCA-COLA HBC A.G. - CDI(b) | 52,202 | 61,492 | |||||||||||||
26,209 | CREDIT SUISSE GROUP A.G. (REGISTERED)(b) | 305,324 | 376,032 | |||||||||||||
521 | DUFRY A.G. (REGISTERED)(b) | 59,186 | 64,978 | |||||||||||||
110 | EMS-CHEMIE HOLDING A.G. (REGISTERED) | 45,821 | 55,902 | |||||||||||||
990 | GEBERIT A.G. (REGISTERED) | 85,632 | 396,856 | |||||||||||||
201 | GIVAUDAN S.A. (REGISTERED) | 184,207 | 368,326 | |||||||||||||
124,017 | GLENCORE PLC(b) | 271,249 | 423,898 | |||||||||||||
4,134 | JULIUS BAER GROUP LTD.(b) | 87,890 | 183,621 | |||||||||||||
348 | KUEHNE + NAGEL INTERNATIONAL A.G. (REGISTERED) | 46,581 | 45,999 | |||||||||||||
5,569 | LAFARGEHOLCIM LTD. (REGISTERED)(b) | 193,725 | 293,408 | |||||||||||||
30,950 | LOGITECH INTERNATIONAL S.A. (REGISTERED) | 306,996 | 766,632 | |||||||||||||
1,082 | LONZA GROUP A.G. (REGISTERED)(b) | 80,211 | 187,328 | |||||||||||||
93,486 | NESTLE S.A. (REGISTERED) | 3,837,806 | 6,706,425 | |||||||||||||
64,579 | NOVARTIS A.G. (REGISTERED) | 3,212,678 | 4,699,307 | |||||||||||||
11,805 | PANALPINA WELTTRANSPORT HOLDING A.G. (REGISTERED) | 985,400 | 1,474,611 | |||||||||||||
8,225 | PARGESA HOLDING S.A. (BEARER) | 522,375 | 535,518 | |||||||||||||
136 | PARTNERS GROUP HOLDING A.G. | 47,269 | 63,740 | |||||||||||||
12,677 | ROCHE HOLDING A.G. (GENUSSCHEIN) | 1,678,439 | 2,895,679 | |||||||||||||
1,381 | SCHINDLER HOLDING A.G. (PARTICIPATION CERTIFICATE) | 108,493 | 243,570 | |||||||||||||
589 | SCHINDLER HOLDING A.G. (REGISTERED) | 68,597 | 102,900 | |||||||||||||
999 | SGS S.A. (REGISTERED) | 2,048,869 | 2,032,729 | |||||||||||||
77 | SIKA A.G. (BEARER) | 152,753 | 369,915 | |||||||||||||
1,300 | SONOVA HOLDING A.G. (REGISTERED) | 84,464 | 157,537 | |||||||||||||
9,004 | STMICROELECTRONICS N.V. | 44,215 | 102,126 | |||||||||||||
635 | SULZER A.G. (REGISTERED) | 30,609 | 65,477 | |||||||||||||
984 | SWATCH GROUP (THE) A.G. (BEARER) | 257,036 | 306,032 | |||||||||||||
743 | SWISS LIFE HOLDING A.G. (REGISTERED)(b) | 101,194 | 210,284 | |||||||||||||
1,660 | SWISS PRIME SITE A.G. (REGISTERED)(b) | 125,957 | 135,874 | |||||||||||||
3,535 | SWISS RE A.G. | 264,252 | 334,997 | |||||||||||||
792 | SWISSCOM A.G. (REGISTERED) | 299,329 | 354,739 | |||||||||||||
1,839 | SYNGENTA A.G.(b) | 500,196 | 728,611 | |||||||||||||
26,523 | TE CONNECTIVITY LTD. | 498,023 | 1,837,513 | |||||||||||||
252,429 | UBS GROUP A.G. (REGISTERED) | 4,304,227 | 3,953,886 | |||||||||||||
3,550 | VZ HOLDING A.G. | 948,793 | 1,065,035 | |||||||||||||
4,176 | WOLSELEY PLC | 70,461 | 255,369 |
See accompanying notes to the financial statements. | 78 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
Switzerland (Cont’d): | ||||||||||||||||
4,900 | ZURICH INSURANCE GROUP A.G.(b) | $ | 961,960 | 1,349,268 | ||||||||||||
31,394,459 | 44,483,062 | 8.74 | % | |||||||||||||
Taiwan: | ||||||||||||||||
303,778 | CHICONY ELECTRONICS CO. LTD. | 767,560 | 706,921 | |||||||||||||
102,000 | GIANT MANUFACTURING CO. LTD. | 540,156 | 579,168 | |||||||||||||
96,481 | TAIWAN SEMICONDUCTOR MANUFACTURING CO. LTD. ADR(d) | 1,480,906 | 2,773,829 | |||||||||||||
355,000 | TRIPOD TECHNOLOGY CORP. | 805,082 | 801,886 | |||||||||||||
3,593,704 | 4,861,804 | 0.96 | % | |||||||||||||
Thailand: | ||||||||||||||||
843,000 | LPN DEVELOPMENT PCL (REGISTERED) | 503,454 | 284,841 | |||||||||||||
127,500 | TISCO FINANCIAL GROUP PCL (REGISTERED) | 194,827 | 214,515 | |||||||||||||
146,700 | TISCO FINANCIAL GROUP PCL NVDR | 224,126 | 246,818 | |||||||||||||
922,407 | 746,174 | 0.15 | % | |||||||||||||
United Kingdom: | ||||||||||||||||
28,238 | 3I GROUP PLC | 108,512 | 244,996 | |||||||||||||
134,971 | ABERDEEN ASSET MANAGEMENT PLC | 477,788 | 427,988 | |||||||||||||
2,834 | ADMIRAL GROUP PLC | 35,119 | 63,810 | |||||||||||||
5,026 | AGGREKO PLC | 50,603 | 56,861 | |||||||||||||
79,912 | AMEC FOSTER WHEELER PLC | 1,016,241 | 462,873 | |||||||||||||
58,936 | ANGLO AMERICAN PLC(b) | 468,356 | 842,540 | |||||||||||||
10,135 | AON PLC | 941,506 | 1,130,357 | |||||||||||||
14,424 | ASSOCIATED BRITISH FOODS PLC | 456,183 | 487,955 | |||||||||||||
26,375 | ASTRAZENECA PLC | 983,695 | 1,442,389 | |||||||||||||
10,313 | AUTO TRADER GROUP PLC(e) | 51,982 | 51,983 | |||||||||||||
76,752 | AVIVA PLC | 307,975 | 460,082 | |||||||||||||
5,239 | BABCOCK INTERNATIONAL GROUP PLC | 41,807 | 61,531 | |||||||||||||
49,150 | BAE SYSTEMS PLC | 250,400 | 358,286 | |||||||||||||
318,603 | BARCLAYS PLC | 647,028 | 877,368 | |||||||||||||
8,300 | BELLWAY PLC | 139,290 | 253,268 | |||||||||||||
2,391 | BERKELEY GROUP HOLDINGS PLC | 71,739 | 82,742 | |||||||||||||
18,870 | BOVIS HOMES GROUP PLC | 159,247 | 190,694 | |||||||||||||
92,623 | BP PLC | 558,283 | 581,701 | |||||||||||||
33,662 | BRITISH AMERICAN TOBACCO PLC | 1,304,094 | 1,917,231 | |||||||||||||
37,587 | BRITISH LAND (THE) CO. PLC | 252,585 | 291,598 | |||||||||||||
210,090 | BT GROUP PLC | 825,487 | 949,959 | |||||||||||||
5,543 | BUNZL PLC | 52,031 | 144,070 | |||||||||||||
8,202 | BURBERRY GROUP PLC | 40,549 | 151,319 | |||||||||||||
30,021 | CAPITA PLC | 206,328 | 196,459 | |||||||||||||
136,536 | CENTRICA PLC | 346,482 | 393,913 | |||||||||||||
13,580 | CNH INDUSTRIAL N.V. | 56,886 | 118,148 | |||||||||||||
274,596 | COBHAM PLC | 532,026 | 553,981 | |||||||||||||
304,153 | COMPASS GROUP PLC | 3,143,335 | 5,626,321 | |||||||||||||
2,849 | CRODA INTERNATIONAL PLC | 101,252 | 112,215 | |||||||||||||
10,632 | CYBG PLC - CDI(b) | 28,649 | 36,982 | |||||||||||||
149,250 | DEVRO PLC | 504,193 | 349,018 | |||||||||||||
132,410 | DFS FURNITURE PLC | 611,442 | 370,423 | |||||||||||||
71,379 | DIAGEO PLC | 972,078 | 1,856,114 | |||||||||||||
151,879 | DIPLOMA PLC | 1,146,014 | 1,944,755 | |||||||||||||
29,465 | DIRECT LINE INSURANCE GROUP PLC | 123,934 | 134,139 | |||||||||||||
18,947 | DIXONS CARPHONE PLC | 76,376 | 82,800 | |||||||||||||
435,060 | DOMINO’S PIZZA GROUP PLC | 1,842,096 | 1,934,494 | |||||||||||||
3,792 | EASYJET PLC | 49,609 | 46,966 | |||||||||||||
99,640 | EMIS GROUP PLC | 1,317,689 | 1,184,371 | |||||||||||||
24,413 | FIAT CHRYSLER AUTOMOBILES N.V. | 161,492 | 222,676 | |||||||||||||
10,222 | FIAT CHRYSLER AUTOMOBILES N.V. | 17,872 | 93,225 | |||||||||||||
195,744 | FOXTONS GROUP PLC | 709,083 | 246,060 | |||||||||||||
30,218 | G4S PLC | 92,368 | 87,516 | |||||||||||||
32,712 | GKN PLC | 101,683 | 133,722 | |||||||||||||
88,274 | GLAXOSMITHKLINE PLC | 1,352,925 | 1,699,282 | |||||||||||||
63,580 | GREGGS PLC | 500,551 | 760,053 | |||||||||||||
25,875 | HAMMERSON PLC | 126,745 | 182,720 | |||||||||||||
3,142 | HARGREAVES LANSDOWN PLC | 48,173 | 46,970 | |||||||||||||
321,316 | HSBC HOLDINGS PLC | 2,023,400 | 2,601,257 | |||||||||||||
38,061 | IMI PLC | 510,382 | 487,826 | |||||||||||||
24,043 | IMPERIAL BRANDS PLC | 671,493 | 1,049,664 |
See accompanying notes to the financial statements. | 79 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
United Kingdom (Cont’d): | ||||||||||||||||
12,262 | INDIVIOR PLC | $ | 11,861 | 44,761 | ||||||||||||
14,896 | INMARSAT PLC | 118,054 | 137,959 | |||||||||||||
1,398 | INTERCONTINENTAL HOTELS GROUP PLC | 52,064 | 62,679 | |||||||||||||
32,745 | INTERNATIONAL CONSOLIDATED AIRLINES GROUP S.A. - CDI | 90,834 | 176,792 | |||||||||||||
2,722 | INTERTEK GROUP PLC | 108,909 | 116,773 | |||||||||||||
225,775 | IOMART GROUP PLC | 873,850 | 848,648 | |||||||||||||
103,895 | ITV PLC | 191,956 | 264,275 | |||||||||||||
31,939 | J SAINSBURY PLC | 93,794 | 98,128 | |||||||||||||
3,627 | JOHNSON MATTHEY PLC | 85,066 | 142,233 | |||||||||||||
47,251 | KINGFISHER PLC | 129,045 | 203,987 | |||||||||||||
149,840 | LAIRD PLC | 525,654 | 282,534 | |||||||||||||
27,834 | LAND SECURITIES GROUP PLC | 262,915 | 365,666 | |||||||||||||
86,237 | LEGAL & GENERAL GROUP PLC | 219,337 | 263,145 | |||||||||||||
9,107 | LIVANOVA PLC(b) | 559,558 | 409,542 | |||||||||||||
2,457,718 | LLOYDS BANKING GROUP PLC | 1,917,179 | 1,893,360 | |||||||||||||
6,030 | LONDON STOCK EXCHANGE GROUP PLC | 69,795 | 216,550 | |||||||||||||
445,197 | MAN GROUP PLC | 664,828 | 649,066 | |||||||||||||
17,996 | MARKS & SPENCER GROUP PLC | 68,165 | 77,624 | |||||||||||||
11,489 | MEGGITT PLC | 39,233 | 64,933 | |||||||||||||
9,380 | MERLIN ENTERTAINMENTS PLC(e) | 50,482 | 51,858 | |||||||||||||
104,028 | MORTGAGE ADVICE BUREAU HOLDINGS LTD. | 430,509 | 443,907 | |||||||||||||
39,427 | NATIONAL GRID PLC | 307,455 | 462,381 | |||||||||||||
4,130 | NEXT PLC | 139,980 | 253,625 | |||||||||||||
111,053 | OLD MUTUAL PLC | 166,441 | 283,714 | |||||||||||||
34,424 | OXFORD INSTRUMENTS PLC | 533,717 | 310,545 | |||||||||||||
16,001 | PEARSON PLC | 157,487 | 161,405 | |||||||||||||
50,106 | PRUDENTIAL PLC | 783,953 | 1,004,992 | |||||||||||||
85,630 | QINETIQ GROUP PLC | 148,374 | 277,334 | |||||||||||||
2,341 | RANDGOLD RESOURCES LTD. | 150,411 | 185,076 | |||||||||||||
48,445 | RECKITT BENCKISER GROUP PLC | 3,662,058 | 4,111,191 | |||||||||||||
40,900 | RELX N.V. | 410,924 | 688,424 | |||||||||||||
125,390 | RELX PLC | 983,893 | 2,239,149 | |||||||||||||
39,935 | RIGHTMOVE PLC | 1,557,933 | 1,920,896 | |||||||||||||
23,247 | RIO TINTO LTD. | 733,396 | 1,004,894 | |||||||||||||
41,280 | RIO TINTO PLC | 1,089,187 | 1,606,839 | |||||||||||||
1,388,878 | ROLLS-ROYCE HOLDINGS PLC(b) | 1,701 | 1,712 | |||||||||||||
32,329 | ROLLS-ROYCE HOLDINGS PLC(b) | 266,136 | 266,146 | |||||||||||||
793,982 | ROYAL BANK OF SCOTLAND GROUP PLC(b) | 3,604,516 | 2,197,719 | |||||||||||||
20,657 | SAGE GROUP (THE) PLC | 74,323 | 166,748 | |||||||||||||
5,867 | SCHRODERS PLC | 208,015 | 216,770 | |||||||||||||
16,135 | SEGRO PLC | 67,053 | 91,092 | |||||||||||||
8,093 | SEVERN TRENT PLC | 163,887 | 221,618 | |||||||||||||
238,690 | SIG PLC | 644,220 | 303,575 | |||||||||||||
17,175 | SKY PLC | 114,547 | 209,760 | |||||||||||||
26,103 | SMITH & NEPHEW PLC | 251,030 | 392,788 | |||||||||||||
4,620 | SMITHS GROUP PLC | 58,251 | 80,623 | |||||||||||||
25,572 | SSE PLC | 440,994 | 489,427 | |||||||||||||
92,045 | STANDARD CHARTERED PLC(b) | 654,783 | 752,763 | |||||||||||||
39,357 | STANDARD LIFE PLC | 131,737 | 180,433 | |||||||||||||
863,811 | TESCO PLC(b) | 3,279,963 | 2,202,044 | |||||||||||||
3,970 | TRAVIS PERKINS PLC | 69,979 | 71,041 | |||||||||||||
2,073 | UBM PLC | 10,703 | 18,688 | |||||||||||||
25,335 | UNILEVER N.V. - CVA | 831,895 | 1,043,153 | |||||||||||||
24,244 | UNILEVER PLC | 545,190 | 983,743 | |||||||||||||
12,769 | UNILEVER PLC ADR(d) | 304,634 | 519,698 | |||||||||||||
28,597 | UNITED UTILITIES GROUP PLC | 283,805 | 317,539 | |||||||||||||
392,087 | UTILITYWISE PLC | 960,325 | 964,000 | |||||||||||||
363,970 | VECTURA GROUP PLC(b) | 560,149 | 614,971 | |||||||||||||
100,469 | VESUVIUS PLC | 461,819 | 489,453 | |||||||||||||
116,904 | VODAFONE GROUP PLC | 367,496 | 287,928 | |||||||||||||
14,067 | WEIR GROUP (THE) PLC | 212,517 | 327,654 | |||||||||||||
5,178 | WHITBREAD PLC | 168,592 | 240,960 | |||||||||||||
20,383 | WM MORRISON SUPERMARKETS PLC | 52,509 | 57,952 | |||||||||||||
57,600 | WORLDPAY GROUP PLC(e) | 192,852 | 191,592 | |||||||||||||
25,749 | WPP PLC | 191,382 | 576,272 | |||||||||||||
59,178,356 | 69,886,418 | 13.73 | % |
See accompanying notes to the financial statements. | 80 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
United States: | ||||||||||||||||
33,026 | ARCH CAPITAL GROUP LTD.(b) | $ | 646,444 | 2,849,813 | ||||||||||||
18,040 | AXIS CAPITAL HOLDINGS LTD. | 673,601 | 1,177,471 | |||||||||||||
4,351 | CARNIVAL PLC | 131,345 | 221,190 | |||||||||||||
23,180 | FLEX LTD.(b) | 138,904 | 333,096 | |||||||||||||
34,089 | LAZARD LTD., CLASS A | 982,067 | 1,400,717 | |||||||||||||
11,640 | SHIRE PLC | 399,718 | 671,926 | |||||||||||||
8,041 | THOMSON REUTERS CORP. | 206,631 | 351,908 | |||||||||||||
3,178,710 | 7,006,121 | 1.38 | % | |||||||||||||
Sub-total Common Stocks: | 367,812,962 | 483,866,110 | 95.06 | % | ||||||||||||
Master Limited Partnerships: | ||||||||||||||||
Canada: | ||||||||||||||||
1 | BROOKFIELD BUSINESS PARTNERS L.P. | 17 | 15 | |||||||||||||
17 | 15 | 0.00 | % | |||||||||||||
Sub-total Master Limited Partnerships: | 17 | 15 | 0.00 | % | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil: | ||||||||||||||||
112,300 | ALPARGATAS S.A.(b) | 332,064 | 345,384 | |||||||||||||
132,034 | TELEFONICA BRASIL S.A. ADR(d) | 1,624,427 | 1,766,615 | |||||||||||||
1,956,491 | 2,111,999 | 0.42 | % | |||||||||||||
Germany: | ||||||||||||||||
1,521 | BAYERISCHE MOTOREN WERKE A.G. | 49,612 | 116,399 | |||||||||||||
2,072 | HENKEL A.G. & CO. KGAA | 181,473 | 247,009 | |||||||||||||
3,478 | PORSCHE AUTOMOBIL HOLDING S.E. | 159,145 | 189,426 | |||||||||||||
2,627 | VOLKSWAGEN A.G. | 341,213 | 368,754 | |||||||||||||
731,443 | 921,588 | 0.18 | % | |||||||||||||
South Korea: | ||||||||||||||||
205 | SAMSUNG ELECTRONICS CO. LTD. | 179,321 | 243,223 | |||||||||||||
179,321 | 243,223 | 0.05 | % | |||||||||||||
Sub-total Preferred Stocks | 2,867,255 | 3,276,810 | 0.65 | % | ||||||||||||
Convertible Preferred Stocks: | ||||||||||||||||
Canada: | ||||||||||||||||
41,800 | GRAN TIERRA ENERGY, INC.(b) | 125,400 | 126,236 | |||||||||||||
125,400 | 126,236 | 0.03 | % | |||||||||||||
Sub-total Convertible Preferred Stocks | 125,400 | 126,236 | 0.03 | % | ||||||||||||
Rights: | ||||||||||||||||
Australia: | ||||||||||||||||
6,972 | CORPORATE TRAVEL MANAGEMENT LTD.(b) | - | 17,308 | |||||||||||||
- | 17,308 | 0.00 | % | |||||||||||||
Austria: | ||||||||||||||||
10,586 | IMMOEAST A.G.(b)(c) | - | - | |||||||||||||
- | - | 0.00 | % | |||||||||||||
Sub-total Rights | - | 17,308 | 0.00 | % | ||||||||||||
Investment Companies: | ||||||||||||||||
United States: | ||||||||||||||||
18,700 | ISHARES MSCI EAFE SMALL-CAP ETF | 943,661 | 932,008 | |||||||||||||
943,661 | 932,008 | 0.18 | % | |||||||||||||
Sub-total Investment Companies | 943,661 | 932,008 | 0.18 | % |
See accompanying notes to the financial statements. | 81 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
Percent | ||||||||||||||||
Fair | of | |||||||||||||||
Shares | Security | Cost | value (a) | net assets | ||||||||||||
Short-Term Investments: | ||||||||||||||||
19,594,255 | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.38%(f) | $ | 19,594,255 | 19,594,255 | ||||||||||||
Sub-total Short-Term Investments: | 19,594,255 | 19,594,255 | 3.85 | % | ||||||||||||
Grand total(g) | $ | 391,343,550 | 507,812,742 | 99.77 | % |
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) | 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 2.62% of net assets as of December 31, 2016. |
(e) | 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. |
(f) | The short-term investment is a money market portfolio of the investment company Northern Institutional Funds. At December 31, 2015, the value of the Clearwater International Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $17,987,135 with net buys of $1,607,120 during the fiscal year ended December 31, 2016. |
(g) | At December 31, 2016, the cost for Federal income tax purposes was $393,843,722. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost was as follows: |
Gross unrealized appreciation | $ | 129,274,964 | ||
Gross unrealized depreciation | (15,305,944 | ) | ||
Net unrealized appreciation | $ | 113,969,020 |
At December 31, 2016, the industry sectors for the Clearwater International Fund were:
Percent of | ||||
Long-Term | ||||
Industry Sector | Investments | |||
Consumer Discretionary | 15.51 | % | ||
Consumer Staples | 9.74 | |||
Energy | 5.01 | |||
Financials | 19.91 | |||
Health Care | 9.88 | |||
Industrials | 14.47 | |||
Information Technology | 13.26 | |||
Materials | 5.50 | |||
Real Estate | 2.51 | |||
Telecommunication Services | 2.60 | |||
Utilities | 1.61 | |||
100.00 | % |
See accompanying notes to the financial statements. | 82 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
December 31, 2016
At December 31, 2016, the Clearwater International Fund’s investments were denominated in the following currencies:
Percent of | |||||
Long-Term | |||||
Concentration by Currency | Investments | ||||
Euro | 21.88 | % | |||
Japanese Yen | 17.59 | ||||
British Pound | 15.18 | ||||
United States Dollar | 9.41 | ||||
Canadian Dollar | 8.00 | ||||
Swiss Franc | 7.79 | ||||
Australian Dollar | 5.82 | ||||
All other currencies less than 5% | 14.33 | ||||
100.00 | % |
At December 31, 2016, the Clearwater International Fund had outstanding forward foreign currency exchange contracts as follows:
Amount | In | Amount | |||||||||||||
Contracts To | (Local | Exchange | (Local | Settlement | Unrealized | ||||||||||
Deliver Currency | Currency) | For Currency | Currency) | Date | Gains (Losses) | Counterparty | |||||||||
Japanese Yen | 124,000,000 | United States Dollar | 1,228,209 | 2/3/17 | $ | 165,183 | Northern Trust | ||||||||
Japanese Yen | 25,340,960 | United States Dollar | 215,535 | 2/3/17 | (1,708) | Northern Trust | |||||||||
Chinese Offshore Yuan | 14,034,216 | United States Dollar | 2,013,604 | 5/15/17 | 55,982 | Northern Trust | |||||||||
$ | 219,457 |
See accompanying notes to the financial statements. | 83 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments – Clearwater International Fund
December 31, 2016
See accompanying notes to the financial statements. | 84 |
Item 2. Code of Ethics
As of December 31, 2016, 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, 2016, 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.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the Trust consists of eight members, five 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
2016 | 2015 | |||
(a) | Audit Fees | $103,000 | $96,775 | |
(b) | Audit-Related Fees | $0 | $0 | |
(c) | Tax Fees1 | $29,630 | $38,760 | |
(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 adopted pre-approval policies and procedures regarding the provision of non-audit services to the trust, as described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The policies and procedures provide that, if pre-approval of non-audit services is requested other than at a regularly scheduled Audit Committee Meeting, Fund management shall present such request to the Audit Committee Chair, or committee member if a Chair is not designated, for review of the proposal and determination if a special session of the Audit Committee is required. If the Chair or member determines the request requires a special session, the Audit Committee Chair will call a session per standard protocols and invite non-members as required. If the request is deemed in adherence to the independence of the auditor and to the benefit of the Fund, the Chair or designee may grant the pre-approval without a special session.
The Chair, designee or Audit Committee shall review the purpose, terms and risks of the request in addition to assurances of maintaining auditor independence and adherence to Regulation S-X, paragraph (c)(7) of Rule 2-01. If the pre-approval request is approved, the request will be presented at the next regularly scheduled Audit Committee for ratification.
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. |
(f) | Not applicable. |
(g) | Non-Audit Related Fees Provided to the Trust or to the Trust’s Investment Adviser. |
2016 = $13,000 | 2015 = $15,500 |
(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. |
(b) | Not applicable. |
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 have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (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, as of a date within 90 days of the filing date of this document. |
(b) | There have been no significant 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 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) | (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. |
(a)(3) | No written solicitations to purchase securities were sent or delivered during the period covered by this report by or on behalf of the Trust. |
(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) and | ||
Treasurer (Principal Financial Officer) | ||
Date: March 7, 2017 |
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 7, 2017 |
Clearwater Investment Trust | ||
By | /s/ Justin H. Weyerhaeuser | |
Justin H. Weyerhaeuser | ||
Treasurer (Principal Financial Officer) | ||
Date: March 7, 2017 |