HC Capital Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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 811-08918

HC Capital Trust

(Exact name of registrant as specified in charter)

Five Tower Bridge, 300 Barr Harbor Drive, Suite 500, West Conshohocken, PA 19428

(Address of principal executive offices) (Zip code)

Citi Fund Services Ohio, Inc., 3435 Stelzer Road, Columbus, OH 43219

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 242-9596

Date of fiscal year end: June 30

Date of reporting period: December 31, 2015

Item 1. Reports to Stockholders.

Semiannual Report

The Value Equity Portfolio

The Institutional Value Equity Portfolio

The Growth Equity Portfolio

The Institutional Growth Equity Portfolio

The Small Capitalization–Mid Capitalization Equity Portfolio

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

The Real Estate Securities Portfolio

The Commodity Returns Strategy Portfolio

The ESG Growth Portfolio

The International Equity Portfolio

The Institutional International Equity Portfolio

The Emerging Markets Portfolio

The Core Fixed Income Portfolio

The Fixed Income Opportunity Portfolio

The U.S. Government Fixed Income Securities Portfolio

The Inflation Protected Securities Portfolio

The U.S. Corporate Fixed Income Securities Portfolio

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

The Short-Term Municipal Bond Portfolio

The Intermediate Term Municipal Bond Portfolio

The Intermediate Term Municipal Bond II Portfolio

December 31, 2015

December 31, 2015

We are pleased to present the December 31, 2015 Semiannual Report for the HC Capital Trust (the “Trust”).

The Trust is an open-end management investment company. The Trust currently consists of twenty-one separate investment portfolios (the “Portfolios”). Day-to-day portfolio management services are provided to each of the Trust’s Portfolios by one or more independent money management organizations (“Specialist Managers”). Each Specialist Manager is subject to the supervision of HC Capital Solutions, an operating division of Hirtle Callaghan & Co., LLC, which serves as the Trust’s primary investment adviser and to the general oversight of the Trust’s Board of Trustees.

The Value Equity Portfolio, seeks total return by investing in a diversified portfolio of equity securities of large companies with relatively low price-earnings ratios and high dividend yields.

The Institutional Value Equity Portfolio, seeks total return by investing in a diversified portfolio of equity securities of large companies with relatively low price-earnings ratios and high dividend yields.

The Growth Equity Portfolio, seeks capital appreciation by investing in a diversified portfolio of equity securities of large and mid-capitalization companies with superior prospects for earnings growth.

The Institutional Growth Equity Portfolio, seeks capital appreciation by investing in a diversified portfolio of equity securities of large and mid-capitalization companies with superior prospects for earnings growth.

The Small Capitalization–Mid Capitalization Equity Portfolio, seeks long-term capital appreciation by investing in a diversified portfolio of equity securities of small-capitalization companies.

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio, seeks long-term capital appreciation by investing in a diversified portfolio of equity securities of small-capitalization companies.

The Real Estate Securities Portfolio, seeks to provide a total return consisting of both capital appreciation and current income.

The Commodity Returns Strategy Portfolio, presented as Consolidated, seeks capital appreciation by investing in a diversified portfolio of commodity-related instruments.

The ESG Growth Portfolio, seeks to maximize total return subject to emphasizing environmental, social and governance (“ESG”) focused investments.

The International Equity Portfolio, seeks total return by investing in a diversified portfolio of equity securities of companies based in countries other than the United States of America.

The Institutional International Equity Portfolio, seeks total return by investing in a diversified portfolio of equity securities of companies based in countries other than the United States of America.

The Emerging Markets Portfolio, seeks total return by investing in a diversified portfolio of securities issued by companies domiciled, or doing a substantial portion of their business, in countries with a developing or emerging economy or securities market.

The Core Fixed Income Portfolio, seeks current income, consistent with the preservation of capital, by investing in a diversified portfolio of debt securities, including U.S. and non-U.S. government securities, corporate debt securities, and asset-backed issues.

The Fixed Income Opportunity Portfolio, seeks to achieve above-average total return by investing in high yield securities (commonly referred to as “junk bonds”).

The U.S. Government Fixed Income Securities Portfolio, seeks to provide a moderate and sustainable level of current income, consistent with the preservation of capital by investing primarily in a diversified portfolio of U.S. Treasury and government related fixed income securities.

The Inflation Protected Securities Portfolio, seeks to provide inflation protection and income consistent with investment in inflation-indexed securities.

The U.S. Corporate Fixed Income Securities Portfolio, seeks to provide a moderate and sustainable level of current income, consistent with the preservation of capital by investing primarily in a diversified portfolio of investment grade fixed income securities issued by U.S. corporations.

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio, seeks to provide a moderate and sustainable level of current income, consistent with the preservation of capital by investing primarily in a diversified portfolio of publicly issued mortgage and asset backed securities.

The Short-Term Municipal Bond Portfolio, seeks current income exempt from Federal income tax, consistent with preservation of capital, by investing primarily in securities issued by municipalities and related securities.

The Intermediate Term Municipal Bond Portfolio, seeks current income, consistent with the preservation of capital, exempt from Federal income tax by investing in securities issued by municipalities and related entities.

The Intermediate Term Municipal Bond II Portfolio, seeks current income, consistent with the preservation of capital, exempt from Federal income tax by investing in securities issued by municipalities and related entities.

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HC CAPITAL TRUST Semiannual Report

December 31, 2015

Table of Contents

Portfolios of Investments	1
Statements of Assets and Liabilities	175
Statements of Operations	180
Statements of Changes in Net Assets	185
Financial Highlights	192
Notes to Financial Statements	203
Additional Information	239

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HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 86.89%
		Aerospace & Defense — 2.40%
	341	Huntington Ingalls Industries, Inc.	$	43
	29,732	L-3 Communications Holdings, Inc.		3,553
	10,313	Lockheed Martin Corp.		2,239
	419	Orbital ATK, Inc.		37
	916	Rockwell Collins, Inc.		85
	989	Spirit Aerosystems Holdings, Inc. (a)		50
	1,970	Textron, Inc.		83
	24,626	The Boeing Co.		3,561
	348	Triumph Group, Inc.		14
	40,516	United Technologies Corp.		3,892
				13,557
		Air Freight & Logistics — 0.57%
	5,823	C.H. Robinson Worldwide, Inc.		361
	29,801	United Parcel Service, Inc., Class – B		2,868
				3,229
		Airlines — 1.33%
	13,550	Copa Holdings SA, Class – A^		654
	71,090	Delta Air Lines, Inc.		3,603
	142,012	JetBlue Airways Corp. (a)		3,217
				7,474
		Auto Components — 1.71%
	61,326	Goodyear Tire & Rubber Co.		2,004
	29,448	Johnson Controls, Inc.		1,163
	25,851	Lear Corp.		3,175
	80,540	Magna International, Inc., ADR		3,267
	341	Visteon Corp. (a)		39
				9,648
		Automobiles — 1.08%
	148,803	Ford Motor Co.		2,097
	105,884	General Motors Co.		3,601
	8,779	Harley-Davidson, Inc.		398
				6,096
		Banks — 7.05%
	1,184	Associated Banc-Corp.		22
	498,693	Bank of America Corp.		8,392
	1,765	Bank of Hawaii Corp.		111
	4,604	BankUnited, Inc.		166
	38,479	BB&T Corp.		1,455
	2,180	BOK Financial Corp.		130
	1,340	CIT Group, Inc.		53
	7,331	Citigroup, Inc.		379
	187,768	Citizens Financial Group, Inc.		4,918
	1,372	Comerica, Inc.		57
	676	Commerce Bancshares, Inc.		29
	2,919	Cullen/Frost Bankers, Inc.		175
	1,123	East West Bancorp, Inc.		47
	41,493	Fifth Third Bancorp		834
	15,003	First Niagara Financial Group, Inc.		163
	74,005	JPMorgan Chase & Co.		4,887
	6,602	KeyCorp		87
	6,831	M&T Bank Corp.		828
	5,399	PacWest Bancorp		233
	13,232	People’s United Financial, Inc.		214

Shares		Security Description	Value (000)
		Banks (continued)
	4,084	PNC Financial Services Group, Inc.	$	389
	812	Popular, Inc.		23
	112,454	Regions Financial Corp.		1,080
	4,002	SunTrust Banks, Inc.		171
	1,323	TCF Financial Corp.		19
	77,791	U.S. BanCorp		3,319
	212,874	Wells Fargo & Co.		11,571
	1,572	Zions BanCorp.		43
				39,795
		Beverages — 1.26%
	35,630	PepsiCo, Inc.		3,560
	82,705	The Coca-Cola Co.		3,553
				7,113
		Biotechnology — 2.07%
	61,114	AbbVie, Inc.		3,620
	24,505	Amgen, Inc.		3,978
	4,008	Baxalta, Inc.		156
	1,269	Biogen Idec, Inc. (a)		389
	33,793	Gilead Sciences, Inc.		3,420
	1,159	Medivation, Inc. (a)		56
	339	United Therapeutics Corp. (a)		53
				11,672
		Capital Markets — 1.31%
	8,585	Ameriprise Financial, Inc.		914
	1,330	Artisan Partners Asset Management, Inc.		48
	4,898	BlackRock, Inc., Class – A		1,668
	7,720	Eaton Vance Corp.		250
	3,647	Federated Investors, Inc., Class – B		104
	2,734	Franklin Resources, Inc.		101
	1,873	Goldman Sachs Group, Inc.		338
	32,506	Invesco Ltd.		1,089
	5,920	Lazard Ltd., Class – A		266
	3,591	LPL Financial Holdings, Inc.^		153
	10,507	Morgan Stanley		334
	7,480	NorthStar Asset Management Group, Inc.		91
	887	Raymond James Financial, Inc.		51
	24,571	T. Rowe Price Group, Inc.		1,757
	5,937	Waddell & Reed Financial, Inc., Class – A		170
				7,334
		Chemicals — 4.24%
	8,889	Air Products & Chemicals, Inc.		1,157
	1,163	Celanese Corp., Series A		78
	151,681	CF Industries Holdings, Inc.		6,189
	28,037	E.I. du Pont de Nemours & Co.		1,867
	5,964	Eastman Chemical Co.		403
	10,527	Huntsman Corp.		120
	77,371	LyondellBasell Industries NV, Class – A		6,723
	20,814	Praxair, Inc.		2,131
	5,710	RPM International, Inc.		252
	1,488	The Chemours Co.		8
	76,332	The Dow Chemical Co.		3,930
	36,009	The Mosaic Co.		993
	1,864	The Scotts Miracle-Gro Co.		120
	306	Westlake Chemical Corp.		17
				23,988

See accompanying notes to financial statements.

1

HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Commercial Services & Supplies — 0.46%
	963	Copart, Inc. (a)	$	37
	5,465	Covanta Holding Corp.		85
	5,329	KAR Auction Services, Inc.		197
	7,123	Pitney Bowes, Inc.		147
	8,554	R.R. Donnelley & Sons Co.		126
	8,280	Republic Services, Inc., Class – A		364
	8,217	The ADT Corp.		271
	15,873	Tyco International PLC		506
	16,178	Waste Management, Inc.		863
				2,596
		Communications Equipment — 1.46%
	2,453	Brocade Communications Systems, Inc.		23
	142,406	Cisco Systems, Inc.		3,867
	7,671	Motorola Solutions, Inc.		525
	76,623	Qualcomm, Inc.		3,830
				8,245
		Construction & Engineering — 0.02%
	683	Chicago Bridge & Iron Co.		27
	1,018	Fluor Corp.		48
	886	Jacobs Engineering Group, Inc. (a)		37
	1,408	Quanta Services, Inc. (a)		29
				141
		Consumer Finance — 2.26%
	4,539	American Express Co.		316
	73,174	Capital One Financial Corp.		5,281
	36,159	Discover Financial Services		1,939
	20,857	Navient Corp.		239
	41,002	OneMain Holdings, Inc. (a)		1,703
	620	Santander Consumer USA Holdings, Inc. (a)		10
	3,017	SLM Corp. (a)		20
	107,753	Synchrony Financial (a)		3,277
				12,785
		Containers & Packaging — 0.44%
	3,245	Avery Dennison Corp.		203
	4,044	Bemis Co., Inc.		181
	25,222	International Paper Co.		950
	4,406	Packaging Corp. of America		278
	4,689	Sonoco Products Co.		192
	14,621	WestRock Co.		667
				2,471
		Distributors — 0.10%
	6,416	Genuine Parts Co.		551
		Diversified Consumer Services — 0.07%
	23	Graham Holdings Co.		11
	11,438	H&R Block, Inc.		381
				392
		Diversified Financial Services — 0.56%
	2,612	Berkshire Hathaway, Inc., Class – B (a)		345
	2,299	Leucadia National Corp.		40
	75,449	Voya Financial, Inc.		2,785
				3,170

Shares		Security Description	Value (000)
		Diversified Telecommunication Services — 2.07%
	112,450	AT&T, Inc.	$	3,869
	43,680	CenturyLink, Inc.		1,099
	44,712	Frontier Communications Corp.		209
	1,717	Level 3 Communications, Inc. (a)		93
	139,543	Verizon Communications, Inc.		6,450
				11,720
		Electric Utilities — 2.55%
	38,863	American Electric Power, Inc.		2,265
	13,607	Duke Energy Corp.		971
	62,165	Edison International		3,681
	3,374	Entergy Corp.		231
	4,994	Eversource Energy		255
	17,981	Exelon Corp.		499
	6,549	FirstEnergy Corp.		208
	2,771	Great Plains Energy, Inc.		76
	1,687	Hawaiian Electric Industries, Inc.		49
	8,496	NextEra Energy, Inc.		883
	4,581	OGE Energy Corp.		120
	3,804	Pepco Holdings, Inc.		99
	1,633	Pinnacle West Capital Corp.		105
	113,070	PPL Corp.		3,858
	13,779	The Southern Co.		645
	2,508	Westar Energy, Inc.		106
	9,486	Xcel Energy, Inc.		341
				14,392
		Electrical Equipment — 1.71%
	100,851	Eaton Corp. PLC		5,248
	79,663	Emerson Electric Co.		3,810
	6,252	Rockwell Automation, Inc.		642
				9,700
		Electronic Equipment, Instruments & Components — 0.66%
	569	Arrow Electronics, Inc. (a)		31
	801	Avnet, Inc.		34
	61,605	Corning, Inc.		1,126
	284	Dolby Laboratories, Inc., Class – A		10
	924	Ingram Micro, Inc.		28
	84,818	Keysight Technologies, Inc. (a)		2,403
	4,226	National Instruments Corp.		121
				3,753
		Energy Equipment & Services — 2.21%
	3,169	Baker Hughes, Inc.		146
	482	Diamond Offshore Drilling, Inc.		10
	291	Dril-Quip, Inc. (a)		17
	1,774	FMC Technologies, Inc. (a)		51
	1,914	Franks International NV		32
	6,494	Halliburton Co.		221
	68,131	Helmerich & Payne, Inc.		3,648
	15,555	Nabors Industries Ltd.		132
	109,133	National Oilwell Varco, Inc.		3,656
	13,131	Oceaneering International, Inc.		493
	8,194	Patterson-UTI Energy, Inc.		124
	440	RPC, Inc.		5
	50,830	Schlumberger Ltd.		3,545
	5,732	Schlumberger Ltd.		400
	1,122	Superior Energy Services, Inc.		15
				12,495

See accompanying notes to financial statements.

2

HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Food & Staples Retailing — 0.90%
	25,851	Sysco Corp.	$	1,060
	64,641	Wal-Mart Stores, Inc.		3,963
	2,695	Whole Foods Market, Inc.		90
				5,113
		Food Products — 1.44%
	64,490	Archer-Daniels-Midland Co.		2,366
	1,067	Bunge Ltd.		73
	5,430	Campbell Soup Co.		285
	13,605	ConAgra Foods, Inc.		574
	8,542	Flowers Foods, Inc.		184
	21,630	General Mills, Inc.		1,247
	5,756	Hershey Co.		514
	987	Hormel Foods Corp.		78
	8,251	Kellogg Co.		596
	1,506	Mead Johnson Nutrition Co.		119
	4,415	Pinnacle Foods, Inc.		187
	26,633	The Kraft Heinz Co.		1,938
				8,161
		Gas Utilities — 0.08%
	1,881	AGL Resources, Inc.		120
	1,549	Atmos Energy Corp.		98
	1,528	National Fuel Gas Co.		65
	4,043	Questar Corp.		79
	3,017	UGI Corp.		102
				464
		Health Care Equipment & Supplies — 0.07%
	620	Align Technology, Inc. (a)		41
	4,169	Baxter International, Inc.		159
	279	Intuitive Surgical, Inc. (a)		152
	780	Varian Medical Systems, Inc. (a)		63
				415
		Health Care Providers & Services — 1.83%
	55,859	Aetna, Inc.		6,039
	2,045	Anthem, Inc.		285
	910	Centene Corp. (a)		60
	1,990	CIGNA Corp.		291
	338	LifePoint Hospitals, Inc. (a)		25
	662	Patterson Cos., Inc.		30
	30,760	UnitedHealth Group, Inc.		3,619
				10,349
		Hotels, Restaurants & Leisure — 1.69%
	2,854	Brinker International, Inc.		137
	4,417	Darden Restaurants, Inc.		281
	4,042	Dunkin’ Brands Group, Inc.		172
	2,886	Extended Stay America, Inc.		46
	1	International Game Technology PLC		—
	84,358	Las Vegas Sands Corp.		3,699
	30,151	McDonald’s Corp.		3,562
	2,383	Six Flags Entertainment Corp.		131
	2,998	Wynn Resorts Ltd.^		207
	18,027	YUM! Brands, Inc.		1,317
				9,552

Shares		Security Description	Value (000)
		Household Durables — 0.20%
	4,786	Garmin Ltd.	$	178
	5,729	Leggett & Platt, Inc.		241
	2,643	PulteGroup, Inc.		47
	1,329	Toll Brothers, Inc. (a)		44
	3,111	Tupperware Brands Corp.		173
	3,135	Whirlpool Corp.		461
				1,144
		Household Products — 1.54%
	900	Church & Dwight Co., Inc.		76
	36,287	Colgate-Palmolive Co.		2,417
	12,232	Kimberly-Clark Corp.		1,557
	175	Spectrum Brands Holdings, Inc.		18
	5,230	The Clorox Co.		663
	49,772	The Procter & Gamble Co.		3,953
				8,684
		Independent Power and Renewable Electricity Producers — 0.03%
	1,122	Calpine Corp. (a)		16
	974	NRG Energy, Inc., Class – C		11
	14,739	The AES Corp.		142
				169
		Industrial Conglomerates — 1.33%
	23,704	3M Co.		3,571
	3,946	Danaher Corp.		367
	115,798	General Electric Co.		3,606
				7,544
		Insurance — 4.92%
	14,496	ACE Ltd.		1,694
	24,799	Aflac, Inc.		1,485
	116	Alleghany Corp. (a)		55
	4,153	Allied World Assurance Co. Holdings AG		154
	119,531	Allstate Corp.		7,422
	18,706	American Financial Group, Inc.		1,348
	19,202	American International Group, Inc.		1,190
	51	American National Insurance Co.		5
	7,209	Arthur J. Gallagher & Co.		295
	445	Aspen Insurance Holdings Ltd.		21
	3,080	Assurant, Inc.		248
	5,496	AXIS Capital Holdings Ltd.		309
	6,213	Cincinnati Financial Corp.		368
	448	Endurance Specialty Holdings Ltd.		29
	824	Erie Indemnity Co., Class – A		79
	2,236	Everest Re Group Ltd.		410
	35,030	First American Financial Corp.		1,258
	63,124	FNF Group		2,189
	1,828	Lincoln National Corp.		92
	1,032	Mercury General Corp.		48
	64,315	MetLife, Inc.		3,101
	8,686	Old Republic International Corp.		162
	337	PartnerRe Ltd.		47
	15,923	Principal Financial Group, Inc.		716
	2,357	ProAssurance Corp.		114
	31,071	Prudential Financial, Inc.		2,529
	481	Reinsurance Group of America		41

See accompanying notes to financial statements.

3

HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Insurance (continued)
	329	RenaissanceRe Holdings Ltd.	$	37
	17,794	The Travelers Cos., Inc.		2,008
	3,737	Validus Holdings Ltd.		173
	2,183	XL Group PLC		86
				27,713
		Internet Software & Services — 0.08%
	8,743	eBay, Inc. (a)		241
	6,743	Yahoo!, Inc. (a)		224
				465
		IT Services — 1.73%
	1,127	Amdocs Ltd.		62
	20,085	Automatic Data Processing, Inc.		1,702
	4,510	Cognizant Technology Solutions Corp. (a)		271
	25,945	International Business Machines Corp.		3,571
	10,819	Paychex, Inc.		572
	21,053	Western Union Co.		377
	305,688	Xerox Corp.		3,249
				9,804
		Leisure Products — 0.16%
	4,369	Hasbro, Inc.		294
	13,154	Mattel, Inc.		358
	3,002	Polaris Industries, Inc.		258
				910
		Life Sciences Tools & Services — 0.05%
	2,504	Agilent Technologies, Inc.		106
	154	Bio-Rad Laboratories, Inc., Class – A (a)		21
	281	Bio-Techne Corp.		25
	835	Bruker Biosciences Corp. (a)		20
	357	Charles River Laboratories International, Inc. (a)		29
	620	Waters Corp. (a)		83
				284
		Machinery — 3.01%
	525	AGCO Corp.		24
	56,710	Caterpillar, Inc.		3,854
	692	Colfax Corp. (a)		16
	3,688	Crane Co.		176
	41,335	Cummins, Inc.		3,638
	15,346	Deere & Co.		1,170
	19,456	Dover Corp.		1,193
	940	Flowserve Corp.		40
	401	Graco, Inc.		29
	12,891	Illinois Tool Works, Inc.		1,195
	95,961	ITT Corp.		3,485
	675	Joy Global, Inc.		9
	3,848	Kennametal, Inc.		74
	3,975	Lincoln Electric Holdings, Inc.		206
	528	Oshkosh Corp.		21
	2,448	PACCAR, Inc.		116
	7,280	Parker Hannifin Corp.		706
	7,473	Pentair PLC		370
	720	Terex Corp.		13
	20,403	The Timken Co.		583
	1,067	Trinity Industries, Inc.		26
	165	Valmont Industries, Inc.		17

Shares		Security Description	Value (000)
		Machinery (continued)
	1,259	Xylem, Inc.	$	46
				17,007
		Marine — 0.00%
	318	Kirby Corp. (a)		17
		Media — 1.02%
	4,683	Cinemark Holdings, Inc.		157
	43,962	Comcast Corp., Class – A		2,480
	776	Dish Network Corp. (a)		44
	410	Gannett, Inc. Com		7
	2,144	John Wiley & Sons, Inc., Class – A		97
	46	Liberty Broadband, Class – A (a)		2
	1,371	News Corp., Class – A		18
	9,602	Omnicom Group, Inc.		726
	3,058	Regal Entertainment Group, Class – A^		58
	325	Scripps Networks Interactive, Class – A		18
	15,310	Thomson Reuters Corp.		579
	3,381	Tribune Media Co.		114
	4,447	Twenty-First Century Fox, Inc.		121
	1,710	Twenty-First Century Fox, Inc.		47
	31,658	Viacom, Inc., Class – B		1,303
				5,771
		Metals & Mining — 0.33%
	9,812	Alcoa, Inc.		97
	4,802	Allegheny Technologies, Inc.		54
	1,635	Compass Minerals International, Inc.		123
	47,482	Freeport-McMoRan Copper & Gold, Inc.		321
	4,095	Newmont Mining Corp.		74
	16,110	Nucor Corp.		650
	4,125	Reliance Steel & Aluminum Co.		239
	2,780	Royal Gold, Inc.		101
	9,288	Steel Dynamics, Inc.		166
	8,718	Tahoe Resources, Inc.		76
				1,901
		Multiline Retail — 1.30%
	163	Dillard’s, Inc., Class – A		11
	47,192	Dollar General Corp.		3,391
	9,336	Kohl’s Corp.		445
	21,261	Macy’s, Inc.		744
	5,640	Nordstrom, Inc.		281
	33,713	Target Corp.		2,448
				7,320
		Multi-Utilities — 1.01%
	1,746	Alliant Energy Corp.		109
	3,518	Ameren Corp.		152
	9,220	CenterPoint Energy, Inc.		169
	4,052	CMS Energy Corp.		146
	5,685	Consolidated Edison, Inc.		365
	10,838	Dominion Resources, Inc.		733
	2,987	DTE Energy Co.		240
	4,231	MDU Resources Group, Inc.		78
	99,250	NiSource, Inc.		1,937
	7,955	PG&E Corp.		423
	9,784	Public Service Enterprise Group, Inc.		379
	2,537	SCANA Corp.		153
	4,361	Sempra Energy		410
	3,039	TECO Energy, Inc.		81

See accompanying notes to financial statements.

4

HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Multi-Utilities (continued)
	1,346	Vectren Corp.	$	57
	5,264	WEC Energy Group, Inc.		270
				5,702
		Oil, Gas & Consumable Fuels — 8.18%
	547	Antero Resources Corp. (a)		12
	44,838	Chevron Corp.		4,034
	85,169	ConocoPhillips		3,977
	1,670	CONSOL Energy, Inc.		13
	670	Continental Resources, Inc. (a)		15
	479	CVR Energy, Inc.		19
	16,042	Devon Energy Corp.		513
	622	Energen Corp.		25
	69,994	EOG Resources, Inc.		4,956
	1,155	EQT Corp.		60
	52,334	Exxon Mobil Corp.		4,079
	4,955	Golar LNG Ltd.		78
	40,665	Hess Corp.		1,971
	8,136	HollyFrontier Corp.		325
	190,162	Kinder Morgan, Inc.		2,837
	5,263	Marathon Oil Corp.		66
	48,489	Marathon Petroleum Corp.		2,514
	125,678	Murphy Oil Corp.		2,821
	3,316	Noble Energy, Inc.		109
	53,376	Occidental Petroleum Corp.		3,609
	139,262	ONEOK, Inc.		3,434
	2,989	PBF Energy, Inc., Class – A		110
	25,924	Phillips 66		2,121
	1,262	Range Resources Corp.		31
	542	SM Energy Co.		11
	3,014	Southwestern Energy Co. (a)		21
	101,588	Spectra Energy Corp.		2,432
	40,756	The Williams Cos., Inc.		1,047
	69,186	Valero Energy Corp.		4,892
	1,577	Whiting Petroleum Corp. (a)		15
	551	World Fuel Services Corp.		21
				46,168
		Paper & Forest Products — 0.04%
	5,699	Domtar Corp.		211
		Personal Products — 0.06%
	19,527	Avon Products, Inc.		79
	560	Coty, Inc.		14
	422	Edgewell Personal Care Co.		33
	2,821	Nu Skin Enterprises, Inc., Class – A		107
	1,425	The Estee Lauder Cos., Inc., Class – A		126
				359
		Pharmaceuticals — 3.56%
	32,493	Eli Lilly & Co.		2,738
	38,780	Johnson & Johnson		3,983
	75,045	Merck & Co., Inc.		3,964
	292,311	Pfizer, Inc.		9,436
				20,121
		Professional Services — 0.15%
	596	Manpowergroup, Inc.		50
	15,030	Nielsen Holdings PLC		701

Shares		Security Description	Value (000)
		Professional Services (continued)
	1,044	Robert Half International, Inc.	$	49
	530	Towers Watson & Co., Class – A		68
				868
		Real Estate Investment Trusts — 2.26%
	1,526	Alexandria Real Estate Equities, Inc.		138
	2,185	American Campus Communities, Inc.		90
	1,082	American Capital Agency Corp.		19
	501	American Homes 4 Rent, Class – A		8
	19,886	Annaly Capital Management, Inc.		187
	3,424	Apartment Investment & Management Co., Class – A		137
	3,372	Apple Hospitality REIT, Inc.^		67
	2,385	AvalonBay Communities, Inc.		439
	3,963	BioMed Realty Trust, Inc.		94
	483	Boston Properties, Inc.		62
	4,084	Brandywine Realty Trust		56
	3,185	Brixmor Property Group, Inc.		82
	1,894	Camden Property Trust		145
	4,263	CBL & Associates Properties, Inc.		53
	620	Chimera Investment Corp.		8
	3,001	Columbia Property Trust, Inc.		70
	2,192	Corporate Office Properties Trust		48
	2,502	Corrections Corp. of America		66
	6,750	Crown Castle International Corp.		585
	6,048	DDR Corp.		102
	2,771	Digital Realty Trust, Inc.		210
	2,773	Douglas Emmett, Inc.		86
	6,297	Duke Realty Corp.		132
	1,132	Equinix, Inc.		342
	1,549	Equity Lifestyle Properties, Inc.		103
	7,372	Equity Residential		602
	1,226	Essex Property Trust, Inc.		294
	1,942	Extra Space Storage, Inc.		171
	1,084	Federal Realty Investment Trust		158
	1,582	Gaming & Leisure Properties, Inc.		44
	12,941	General Growth Properties, Inc.		352
	10,492	HCP, Inc.		401
	2,099	Healthcare Trust of America, Inc., Class – A		57
	3,453	Hospitality Properties Trust		90
	16,284	Host Hotels & Resorts, Inc.		250
	3,729	Iron Mountain, Inc.		101
	280	Kilroy Realty Corp.		18
	7,851	Kimco Realty Corp.		208
	1,707	Lamar Advertising Co., Class – A		102
	3,356	Liberty Property Trust		104
	8,415	MFA Financial, Inc.		56
	1,313	Mid-America Apartment Communities, Inc.		119
	2,598	National Retail Properties, Inc.		104
	4,159	OMEGA Healthcare Investors, Inc.		145
	3,368	Outfront Media, Inc.		74
	551	Paramount Group, Inc.		10
	3,361	Piedmont Office Realty Trust, Inc., Class – A		63
	3,125	Plum Creek Timber Co., Inc.		149
	1,209	Post Properties, Inc.		72
	10,678	Prologis, Inc.		458

See accompanying notes to financial statements.

5

HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Real Estate Investment Trusts (continued)
	2,122	Public Storage	$	526
	2,946	Rayonier, Inc.		65
	4,714	Realty Income Corp.		243
	1,659	Regency Centers Corp.		113
	5,119	Retail Properties of America, Inc., Class – A		76
	5,887	Senior Housing Properties Trust		87
	5,502	Simon Property Group, Inc.		1,071
	1,810	SL Green Realty Corp.		204
	9,604	Spirit Realty Capital, Inc.		96
	4,818	Starwood Property Trust, Inc.		99
	2,214	Tanger Factory Outlet Centers, Inc.		72
	1,524	Taubman Centers, Inc.		117
	3,207	The Macerich Co.		259
	8,218	Two Harbors Investment Corp.		67
	4,676	UDR, Inc.		176
	7,387	Ventas, Inc.		417
	20,104	VEREIT, Inc.		159
	2,778	Vornado Realty Trust		278
	2,713	Weingarten Realty Investors		94
	7,159	Welltower, Inc.		487
	11,490	Weyerhaeuser Co.		344
	2,552	WP Carey, Inc.		151
	4,002	WP GLIMCHER, Inc.		42
				12,774
		Real Estate Management & Development — 0.02%
	897	CBRE Group, Inc., Class – A (a)		31
	679	Forest City Enterprises, Inc., Class – A (a)		15
	138	Jones Lang LaSalle, Inc.		22
	463	Realogy Holdings Corp. (a)		17
				85
		Road & Rail — 1.16%
	58,746	CSX Corp.		1,524
	15,604	Norfolk Southern Corp.		1,320
	2,369	Ryder System, Inc.		135
	46,077	Union Pacific Corp.		3,603
				6,582
		Semiconductors & Semiconductor Equipment — 2.73%
	13,275	Analog Devices, Inc.		734
	288,288	Applied Materials, Inc.		5,382
	13,126	Cypress Semiconductor Corp.		129
	510	First Solar, Inc. (a)		34
	114,897	Intel Corp.		3,958
	6,716	KLA-Tencor Corp.		466
	1,083	Lam Research Corp.		86
	9,977	Linear Technology Corp.		424
	20,452	Marvell Technology Group Ltd.		180
	10,391	Maxim Integrated Products, Inc.		395
	7,884	Microchip Technology, Inc.		367
	7,501	Micron Technology, Inc. (a)		106
	3,767	NVIDIA Corp.		124
	45,039	Texas Instruments, Inc.		2,469
	12,460	Xilinx, Inc.		585
				15,439

Shares		Security Description	Value (000)
		Software — 2.40%
	14,129	CA, Inc.	$	404
	559	King Digital Entertainment PLC		10
	158,473	Microsoft Corp.		8,792
	104,657	Oracle Corp.		3,823
	483	SolarWinds, Inc. (a)		28
	25,094	Symantec Corp.		527
				13,584
		Specialty Retail — 1.42%
	1,167	Bed Bath & Beyond, Inc. (a)		56
	13,757	Best Buy Co., Inc.		419
	630	Dick’s Sporting Goods, Inc.		22
	2,568	DSW, Inc., Class – A		61
	36,927	Foot Locker, Inc.		2,404
	85,020	GameStop Corp., Class – A^		2,384
	25,428	Gap, Inc.		628
	310	Murphy USA, Inc. (a)		19
	265,274	Office Depot, Inc. (a)		1,496
	1,857	Penske Automotive Group, Inc.		79
	25,494	Staples, Inc.		241
	659	Urban Outfitters, Inc. (a)		15
	3,783	Williams-Sonoma, Inc.		221
				8,045
		Technology Hardware, Storage & Peripherals — 1.48%
	2,713	Apple, Inc.		286
	218,830	Hewlett Packard Enterprise Co.		3,326
	307,162	HP, Inc.		3,637
	2,514	Lexmark International, Inc., Class – A		82
	14,036	NetApp, Inc.		372
	11,324	Western Digital Corp.		680
				8,383
		Textiles, Apparel & Luxury Goods — 0.25%
	12,279	Coach, Inc.		402
	301	Fossil Group, Inc. (a)		11
	1,340	Michael Kors Holdings Ltd. (a)		54
	428	Ralph Lauren Corp.		48
	14,713	V.F. Corp.		915
				1,430
		Thrifts & Mortgage Finance — 0.06%
	21,163	New York Community Bancorp, Inc.		345
		Tobacco — 2.26%
	135,338	Altria Group, Inc.		7,878
	40,592	Philip Morris International, Inc.		3,568
	28,928	Reynolds American, Inc.		1,335
				12,781
		Trading Companies & Distributors — 0.17%
	693	Air Lease Corp.		23
	11,042	Fastenal Co.		451
	3,842	GATX Corp.		163
	4,898	MSC Industrial Direct Co., Inc., Class – A		276
	732	NOW, Inc. (a)		12
	307	WESCO International, Inc. (a)		13
				938
		Transportation Infrastructure — 0.05%
	3,824	Macquarie Infrastructure Corp.		278

See accompanying notes to financial statements.

6

HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)		Security Description	Value (000)
		Common Stocks (continued)
		Water Utilities — 0.04%
	2,535	American Water Works Co., Inc.	$	152
	2,654	Aqua America, Inc.		79
				231
		Wireless Telecommunication Services — 0.29%
	555	Telephone & Data Systems, Inc.		14
	50,007	Vodafone Group PLC, ADR		1,613
				1,627
		Total Common Stocks		491,055
		Contingent Rights — 0.00%
		Food & Staples Retailing — 0.00%
	11,130	Safeway, Inc.* (a)		1
	11,130	Safeway, Inc.* (a)		11
				12
		Total Contingent Rights		12
		Time Deposit — 0.19%
$	1,093	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16		1,093
		Total Time Deposit		1,093
		Mutual Funds — 12.91%
	2,009,325	Dreyfus Treasury Prime Cash Management Fund, 0.00% (b)		2,009
	619,214	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (c)		619
	70,338,274	SSgA Treasury Money Market Fund, 0.00% (b)		70,339
		Total Mutual Funds		72,967
		Repurchase Agreement — 0.38%
$	2,128	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $2,128,245 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $2,170,713) ^^		2,128
		Total Repurchase Agreement		2,128
		Total Investments (cost $526,169) — 100.37%		567,255
		Liabilities in excess of other assets — (0.37)%		(2,093	)
		Net Assets — 100.00%	$	565,162

Amounts designated as “—” are $0 or have been rounded to $0.

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $2,641 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) The rate disclosed is the rate in effect on December 31, 2015.

(c) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

REIT — Real Estate Investment Trust

See accompanying notes to financial statements.

7

HC CAPITAL TRUST

The Value Equity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Value Equity Portfolio	AllianceBernstein L.P.			Cadence Capital Management, LLC			Parametric Portfolio Associates, LLC			HC Capital Solutions			Total
Common Stocks		30.88	%		56.01	%		—			—			86.89	%
Contingent Rights		—			0.00	%		—			—			0.00	%
Time Deposit		0.19	%		—			—			—			0.19	%
Mutual Funds		0.07	%		0.43	%		5.89	%		6.52	%		12.91	%
Repurchase Agreement		0.23	%		0.15	%		—			—			0.38	%
Other Assets (Liabilities)		-0.43	%		-0.28	%		0.34	%		—			-0.37	%
Total Net Assets		30.94	%		56.31	%		6.23	%		6.52	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	362	E-Mini S&P 500 Future	$	36,841		3/18/16	$	(98	)
	42	E-Mini S&P Midcap 400 Future		5,853		3/18/16		48
		Net Unrealized Appreciation/(Depreciation)					$	(50	)

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

8

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares			Security Description	Value (000)
			Common Stocks — 82.87%
			Aerospace & Defense — 2.28%
	493		Huntington Ingalls Industries, Inc.	$	63
	43,519		L-3 Communications Holdings, Inc.		5,201
	15,060		Lockheed Martin Corp.		3,270
	607		Orbital ATK, Inc.		54
	1,327		Rockwell Collins, Inc.		122
	1,432		Spirit Aerosystems Holdings, Inc. (a)		72
	2,853		Textron, Inc.		120
	35,956		The Boeing Co.		5,199
	503		Triumph Group, Inc.		20
	59,114		United Technologies Corp.		5,679
					19,800
			Air Freight & Logistics — 0.54%
	8,502		C.H. Robinson Worldwide, Inc.		527
	43,513		United Parcel Service, Inc., Class – B		4,188
					4,715
			Airlines — 1.15%
	19,781		Copa Holdings SA, Class – A^		955
	102,261	��	Delta Air Lines, Inc.		5,183
	168,681		JetBlue Airways Corp. (a)		3,821
					9,959
			Auto Components — 1.74%
	120,117		Goodyear Tire & Rubber Co.		3,924
	42,998		Johnson Controls, Inc.		1,698
	38,603		Lear Corp.		4,741
	115,125		Magna International, Inc., ADR		4,670
	494		Visteon Corp. (a)		57
					15,090
			Automobiles — 1.02%
	217,268		Ford Motor Co.		3,061
	154,455		General Motors Co.		5,253
	12,818		Harley-Davidson, Inc.		582
					8,896
			Banks — 6.72%
	1,715		Associated Banc-Corp.		32
	734,290		Bank of America Corp.		12,358
	2,573		Bank of Hawaii Corp.		162
	6,712		BankUnited, Inc.		242
	56,111		BB&T Corp.		2,122
	3,181		BOK Financial Corp.		190
	1,940		CIT Group, Inc.		77
	10,618		Citigroup, Inc.		549
	276,644		Citizens Financial Group, Inc.		7,245
	1,987		Comerica, Inc.		83
	978		Commerce Bancshares, Inc.		42
	4,256		Cullen/Frost Bankers, Inc.		255
	1,627		East West Bancorp, Inc.		68
	60,510		Fifth Third Bancorp		1,216
	21,875		First Niagara Financial Group, Inc.		237
	108,347		JPMorgan Chase & Co.		7,154
	9,562		KeyCorp		126
	9,961		M&T Bank Corp.		1,207
	7,873		PacWest Bancorp		339
	19,290		People’s United Financial, Inc.		312

Shares		Security Description	Value (000)
		Banks (continued)
	5,915	PNC Financial Services Group, Inc.	$	564
	1,176	Popular, Inc.		33
	164,072	Regions Financial Corp.		1,575
	5,796	SunTrust Banks, Inc.		248
	1,916	TCF Financial Corp.		27
	113,475	U.S. BanCorp		4,842
	312,483	Wells Fargo & Co.		16,988
	2,276	Zions BanCorp.		62
				58,355
		Beverages — 1.20%
	52,024	PepsiCo, Inc.		5,198
	120,759	The Coca-Cola Co.		5,188
				10,386
		Biotechnology — 2.04%
	89,234	AbbVie, Inc.		5,286
	35,751	Amgen, Inc.		5,803
	5,805	Baxalta, Inc.		227
	1,837	Biogen Idec, Inc. (a)		563
	56,247	Gilead Sciences, Inc.		5,692
	1,678	Medivation, Inc. (a)		81
	491	United Therapeutics Corp. (a)		77
				17,729
		Capital Markets — 1.24%
	12,535	Ameriprise Financial, Inc.		1,334
	1,942	Artisan Partners Asset Management, Inc.		70
	7,151	BlackRock, Inc., Class – A		2,435
	11,272	Eaton Vance Corp.		366
	5,325	Federated Investors, Inc., Class – B		153
	3,960	Franklin Resources, Inc.		146
	2,712	Goldman Sachs Group, Inc.		489
	47,462	Invesco Ltd.		1,589
	8,635	Lazard Ltd., Class – A		389
	5,243	LPL Financial Holdings, Inc.^		224
	15,217	Morgan Stanley		484
	10,921	NorthStar Asset Management Group, Inc.		133
	1,285	Raymond James Financial, Inc.		74
	35,853	T. Rowe Price Group, Inc.		2,562
	8,662	Waddell & Reed Financial, Inc., Class – A		248
				10,696
		Chemicals — 4.06%
	12,979	Air Products & Chemicals, Inc.		1,689
	1,685	Celanese Corp., Series A		113
	219,614	CF Industries Holdings, Inc.		8,963
	40,937	E.I. du Pont de Nemours & Co.		2,726
	8,707	Eastman Chemical Co.		588
	15,370	Huntsman Corp.		175
	113,842	LyondellBasell Industries NV, Class – A		9,892
	30,393	Praxair, Inc.		3,112
	8,338	RPM International, Inc.		367
	2,155	The Chemours Co.		12
	115,258	The Dow Chemical Co.		5,933
	52,546	The Mosaic Co.		1,450
	2,721	The Scotts Miracle-Gro Co.		176
	444	Westlake Chemical Corp.		24
				35,220

See accompanying notes to financial statements.

9

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Commercial Services & Supplies — 0.44%
	1,394	Copart, Inc. (a)	$	53
	7,979	Covanta Holding Corp.		124
	7,781	KAR Auction Services, Inc.		288
	10,401	Pitney Bowes, Inc.		215
	12,490	R.R. Donnelley & Sons Co.		184
	12,090	Republic Services, Inc., Class – A		532
	11,982	The ADT Corp.		395
	23,176	Tyco International PLC		739
	23,622	Waste Management, Inc.		1,260
				3,790
		Communications Equipment — 1.39%
	3,552	Brocade Communications Systems, Inc.		33
	207,792	Cisco Systems, Inc.		5,642
	11,201	Motorola Solutions, Inc.		767
	111,817	Qualcomm, Inc.		5,589
				12,031
		Construction & Engineering — 0.02%
	989	Chicago Bridge & Iron Co.		39
	1,475	Fluor Corp.		70
	1,283	Jacobs Engineering Group, Inc. (a)		54
	2,039	Quanta Services, Inc. (a)		41
				204
		Consumer Finance — 2.29%
	6,574	American Express Co.		457
	107,819	Capital One Financial Corp.		7,783
	53,978	Discover Financial Services		2,894
	30,419	Navient Corp.		348
	60,899	OneMain Holdings, Inc. (a)		2,530
	898	Santander Consumer USA Holdings, Inc. (a)		14
	4,370	SLM Corp. (a)		28
	192,209	Synchrony Financial (a)		5,846
				19,900
		Containers & Packaging — 0.42%
	4,738	Avery Dennison Corp.		297
	5,905	Bemis Co., Inc.		264
	36,826	International Paper Co.		1,388
	6,433	Packaging Corp. of America		406
	6,837	Sonoco Products Co.		279
	21,325	WestRock Co.		973
				3,607
		Distributors — 0.09%
	9,368	Genuine Parts Co.		805
		Diversified Consumer Services — 0.07%
	34	Graham Holdings Co.		16
	16,680	H&R Block, Inc.		556
				572
		Diversified Financial Services — 0.54%
	3,784	Berkshire Hathaway, Inc., Class – B (a)		500
	3,330	Leucadia National Corp.		58
	111,911	Voya Financial, Inc.		4,130
				4,688

Shares		Security Description	Value (000)
		Diversified Telecommunication Services — 1.98%
	164,086	AT&T, Inc.	$	5,646
	63,739	CenturyLink, Inc.		1,604
	65,285	Frontier Communications Corp.		305
	2,486	Level 3 Communications, Inc. (a)		135
	206,255	Verizon Communications, Inc.		9,533
				17,223
		Electric Utilities — 2.46%
	57,404	American Electric Power, Inc.		3,345
	19,844	Duke Energy Corp.		1,417
	92,313	Edison International		5,467
	4,920	Entergy Corp.		336
	7,292	Eversource Energy		372
	26,221	Exelon Corp.		728
	9,562	FirstEnergy Corp.		303
	4,040	Great Plains Energy, Inc.		110
	2,464	Hawaiian Electric Industries, Inc.		71
	12,390	NextEra Energy, Inc.		1,287
	6,681	OGE Energy Corp.		176
	5,555	Pepco Holdings, Inc.		144
	2,385	Pinnacle West Capital Corp.		154
	171,909	PPL Corp.		5,868
	20,120	The Southern Co.		941
	3,657	Westar Energy, Inc.		155
	13,833	Xcel Energy, Inc.		497
				21,371
		Electrical Equipment — 1.63%
	145,070	Eaton Corp. PLC		7,550
	116,262	Emerson Electric Co.		5,560
	9,118	Rockwell Automation, Inc.		936
				14,046
		Electronic Equipment, Instruments & Components — 0.63%
	825	Arrow Electronics, Inc. (a)		45
	1,160	Avnet, Inc.		50
	89,860	Corning, Inc.		1,643
	411	Dolby Laboratories, Inc., Class – A		14
	1,339	Ingram Micro, Inc.		41
	124,938	Keysight Technologies, Inc. (a)		3,538
	6,170	National Instruments Corp.		177
				5,508
		Energy Equipment & Services — 2.11%
	4,590	Baker Hughes, Inc.		212
	698	Diamond Offshore Drilling, Inc.		15
	421	Dril-Quip, Inc. (a)		25
	2,570	FMC Technologies, Inc. (a)		75
	2,791	Franks International NV		47
	9,406	Halliburton Co.		320
	99,470	Helmerich & Payne, Inc.^		5,327
	22,682	Nabors Industries Ltd.		193
	159,311	National Oilwell Varco, Inc.		5,334
	19,163	Oceaneering International, Inc.		719
	11,950	Patterson-UTI Energy, Inc.		180
	638	RPC, Inc.		8
	74,158	Schlumberger Ltd.		5,173

See accompanying notes to financial statements.

10

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Energy Equipment & Services (continued)
	8,368	Schlumberger Ltd.	$	584
	1,625	Superior Energy Services, Inc.		22
				18,234
		Food & Staples Retailing — 0.86%
	37,693	Sysco Corp.		1,545
	94,317	Wal-Mart Stores, Inc.		5,782
	3,902	Whole Foods Market, Inc.		131
				7,458
		Food Products — 1.37%
	94,109	Archer-Daniels-Midland Co.		3,451
	1,545	Bunge Ltd.		105
	7,929	Campbell Soup Co.		417
	19,865	ConAgra Foods, Inc.		838
	12,458	Flowers Foods, Inc.		268
	31,582	General Mills, Inc.		1,821
	8,404	Hershey Co.		750
	1,429	Hormel Foods Corp.		113
	12,047	Kellogg Co.		871
	2,181	Mead Johnson Nutrition Co.		172
	6,446	Pinnacle Foods, Inc.		274
	38,835	The Kraft Heinz Co.		2,825
				11,905
		Gas Utilities — 0.08%
	2,742	AGL Resources, Inc.		174
	2,262	Atmos Energy Corp.		143
	2,230	National Fuel Gas Co.		95
	5,897	Questar Corp.		115
	4,405	UGI Corp.		149
				676
		Health Care Equipment & Supplies — 0.07%
	898	Align Technology, Inc. (a)		59
	6,038	Baxter International, Inc.		230
	404	Intuitive Surgical, Inc. (a)		221
	1,129	Varian Medical Systems, Inc. (a)		91
				601
		Health Care Providers & Services — 1.79%
	84,564	Aetna, Inc.		9,143
	2,961	Anthem, Inc.		413
	1,318	Centene Corp. (a)		87
	2,882	CIGNA Corp.		422
	489	LifePoint Hospitals, Inc. (a)		36
	959	Patterson Cos., Inc.		43
	46,117	UnitedHealth Group, Inc.		5,425
				15,569
		Hotels, Restaurants & Leisure — 1.61%
	4,167	Brinker International, Inc.		200
	6,450	Darden Restaurants, Inc.		410
	5,901	Dunkin’ Brands Group, Inc.		251
	4,214	Extended Stay America, Inc.		67
	123,141	Las Vegas Sands Corp.		5,399
	44,024	McDonald’s Corp.		5,201
	3,479	Six Flags Entertainment Corp.		191

Shares		Security Description	Value (000)
		Hotels, Restaurants & Leisure (continued)
	4,378	Wynn Resorts Ltd.^	$	303
	26,321	YUM! Brands, Inc.		1,923
				13,945
		Household Durables — 0.19%
	6,988	Garmin Ltd.		260
	8,364	Leggett & Platt, Inc.		351
	3,828	PulteGroup, Inc.		68
	1,925	Toll Brothers, Inc. (a)		64
	4,542	Tupperware Brands Corp.		253
	4,578	Whirlpool Corp.		673
				1,669
		Household Products — 1.46%
	1,303	Church & Dwight Co., Inc.		111
	52,983	Colgate-Palmolive Co.		3,529
	17,860	Kimberly-Clark Corp.		2,274
	254	Spectrum Brands Holdings, Inc.		26
	7,626	The Clorox Co.		967
	72,617	The Procter & Gamble Co.		5,766
				12,673
		Independent Power and Renewable Electricity Producers — 0.03%
	1,624	Calpine Corp. (a)		23
	1,411	NRG Energy, Inc., Class – C		17
	21,497	The AES Corp.		206
				246
		Industrial Conglomerates — 1.27%
	34,611	3M Co.		5,214
	5,715	Danaher Corp.		531
	169,077	General Electric Co.		5,266
				11,011
		Insurance — 4.51%
	21,140	ACE Ltd.		2,470
	36,172	Aflac, Inc.		2,167
	168	Alleghany Corp. (a)		80
	6,064	Allied World Assurance Co. Holdings AG		226
	175,758	Allstate Corp.		10,914
	27,573	American Financial Group, Inc.		1,987
	8,699	American International Group, Inc.		539
	73	American National Insurance Co.		7
	10,526	Arthur J. Gallagher & Co.		431
	644	Aspen Insurance Holdings Ltd.		31
	4,497	Assurant, Inc.		362
	8,016	AXIS Capital Holdings Ltd.		451
	9,071	Cincinnati Financial Corp.		537
	649	Endurance Specialty Holdings Ltd.		42
	1,203	Erie Indemnity Co., Class – A		115
	3,261	Everest Re Group Ltd.		597
	52,055	First American Financial Corp.		1,869
	85,593	FNF Group		2,968
	2,647	Lincoln National Corp.		133
	1,507	Mercury General Corp.		70
	93,827	MetLife, Inc.		4,523
	12,682	Old Republic International Corp.		236
	489	PartnerRe Ltd.		68

See accompanying notes to financial statements.

11

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Insurance (continued)
	23,250	Principal Financial Group, Inc.	$	1,046
	3,442	ProAssurance Corp.		167
	45,366	Prudential Financial, Inc.		3,693
	697	Reinsurance Group of America		60
	476	RenaissanceRe Holdings Ltd.		54
	26,195	The Travelers Cos., Inc.		2,956
	5,450	Validus Holdings Ltd.		252
	3,162	XL Group PLC		124
				39,175
		Internet Software & Services — 0.08%
	12,662	eBay, Inc. (a)		348
	9,765	Yahoo!, Inc. (a)		325
				673
		IT Services — 1.65%
	1,632	Amdocs Ltd.		89
	29,327	Automatic Data Processing, Inc.		2,485
	6,532	Cognizant Technology Solutions Corp. (a)		392
	37,883	International Business Machines Corp.		5,212
	15,797	Paychex, Inc.		836
	30,739	Western Union Co.		551
	451,141	Xerox Corp.		4,796
				14,361
		Leisure Products — 0.15%
	6,380	Hasbro, Inc.		430
	19,206	Mattel, Inc.		521
	4,383	Polaris Industries, Inc.		377
				1,328
		Life Sciences Tools & Services — 0.05%
	3,627	Agilent Technologies, Inc.		151
	223	Bio-Rad Laboratories, Inc., Class – A (a)		31
	406	Bio-Techne Corp.		37
	1,209	Bruker Biosciences Corp. (a)		29
	517	Charles River Laboratories International, Inc. (a)		42
	898	Waters Corp. (a)		121
				411
		Machinery — 2.89%
	760	AGCO Corp.		34
	82,752	Caterpillar, Inc.		5,624
	1,002	Colfax Corp. (a)		23
	5,385	Crane Co.		258
	60,340	Cummins, Inc.		5,311
	22,407	Deere & Co.		1,709
	28,394	Dover Corp.		1,741
	1,361	Flowserve Corp.		57
	581	Graco, Inc.		42
	18,822	Illinois Tool Works, Inc.		1,744
	147,140	ITT Corp.		5,344
	977	Joy Global, Inc.		12
	5,612	Kennametal, Inc.		108
	5,798	Lincoln Electric Holdings, Inc.		301
	765	Oshkosh Corp.		30
	3,546	PACCAR, Inc.		168
	10,618	Parker Hannifin Corp.		1,030

Shares		Security Description		Value (000)
		Machinery (continued)
	10,911	Pentair PLC		$	540
	1,043	Terex Corp.			19
	29,790	The Timken Co.			852
	1,546	Trinity Industries, Inc.			37
	239	Valmont Industries, Inc.			25
	1,824	Xylem, Inc.			67
					25,076
		Marine — 0.00%
	461	Kirby Corp. (a)			24
		Media — 0.98%
	6,838	Cinemark Holdings, Inc.			229
	64,806	Comcast Corp., Class – A			3,656
	1,123	Dish Network Corp. (a)			64
	594	Gannett, Inc. Com			10
	3,129	John Wiley & Sons, Inc., Class – A			141
	67	Liberty Broadband, Class – A (a)			3
	1,985	News Corp., Class – A			27
	14,019	Omnicom Group, Inc.			1,061
	4,465	Regal Entertainment Group, Class – A^			84
	471	Scripps Networks Interactive, Class – A			26
	22,354	Thomson Reuters Corp.			846
	4,937	Tribune Media Co.			167
	6,441	Twenty-First Century Fox, Inc.			175
	2,477	Twenty-First Century Fox, Inc.			67
	46,224	Viacom, Inc., Class – B			1,903
					8,459
			��
		Metals & Mining — 0.32%
	14,211	Alcoa, Inc.			140
	7,012	Allegheny Technologies, Inc.			79
	2,387	Compass Minerals International, Inc.			180
	69,328	Freeport-McMoRan Copper & Gold, Inc.			469
	5,931	Newmont Mining Corp.			107
	23,494	Nucor Corp.			947
	6,017	Reliance Steel & Aluminum Co.			348
	4,059	Royal Gold, Inc.			148
	13,561	Steel Dynamics, Inc.			242
	12,715	Tahoe Resources, Inc.			110
					2,770
		Multiline Retail — 1.23%
	237	Dillard’s, Inc., Class – A			16
	69,319	Dollar General Corp.			4,982
	13,615	Kohl’s Corp.			648
	31,043	Macy’s, Inc.			1,086
	8,234	Nordstrom, Inc.			410
	49,225	Target Corp.			3,574
					10,716
		Multi-Utilities — 0.96%
	2,549	Alliant Energy Corp.			159
	5,137	Ameren Corp.			222
	13,447	CenterPoint Energy, Inc.			247
	5,916	CMS Energy Corp.			213
	8,291	Consolidated Edison, Inc.			533
	15,825	Dominion Resources, Inc.			1,070
	4,361	DTE Energy Co.			350

See accompanying notes to financial statements.

12

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Multi-Utilities (continued)
	6,177	MDU Resources Group, Inc.	$	113
	146,192	NiSource, Inc.		2,853
	11,598	PG&E Corp.		617
	14,269	Public Service Enterprise Group, Inc.		552
	3,698	SCANA Corp.		224
	6,367	Sempra Energy		599
	4,437	TECO Energy, Inc.		118
	1,965	Vectren Corp.		83
	7,685	WEC Energy Group, Inc.		394
				8,347
		Oil, Gas & Consumable Fuels — 7.61%
	793	Antero Resources Corp. (a)		17
	65,407	Chevron Corp.		5,884
	124,253	ConocoPhillips		5,801
	2,419	CONSOL Energy, Inc.		19
	970	Continental Resources, Inc. (a)		22
	700	CVR Energy, Inc.		28
	23,424	Devon Energy Corp.		750
	900	Energen Corp.		37
	105,621	EOG Resources, Inc.		7,478	��
	1,673	EQT Corp.		87
	76,337	Exxon Mobil Corp.		5,950
	7,235	Golar LNG Ltd.		114
	59,943	Hess Corp.		2,906
	11,879	HollyFrontier Corp.		474
	277,654	Kinder Morgan, Inc.		4,143
	7,623	Marathon Oil Corp.		96
	44,133	Marathon Petroleum Corp.		2,288
	195,629	Murphy Oil Corp.		4,392
	4,802	Noble Energy, Inc.		158
	77,934	Occidental Petroleum Corp.		5,269
	203,336	ONEOK, Inc.		5,014
	4,364	PBF Energy, Inc., Class – A		161
	37,802	Phillips 66		3,092
	1,827	Range Resources Corp.		45
	784	SM Energy Co.		15
	4,365	Southwestern Energy Co. (a)		31
	148,329	Spectra Energy Corp.		3,551
	59,508	The Williams Cos., Inc.		1,529
	96,241	Valero Energy Corp.		6,805
	2,285	Whiting Petroleum Corp. (a)		22
	798	World Fuel Services Corp.		31
				66,209
		Paper & Forest Products — 0.04%
	8,316	Domtar Corp.		307
		Personal Products — 0.06%
	28,478	Avon Products, Inc.		115
	811	Coty, Inc.		21
	612	Edgewell Personal Care Co.		48
	4,113	Nu Skin Enterprises, Inc., Class – A		156
	2,064	The Estee Lauder Cos., Inc., Class – A		182
				522

Shares		Security Description	Value (000)
		Pharmaceuticals — 3.39%
	47,444	Eli Lilly & Co.	$	3,998
	56,576	Johnson & Johnson		5,811
	109,492	Merck & Co., Inc.		5,783
	429,851	Pfizer, Inc.		13,876
				29,468
		Professional Services — 0.15%
	863	Manpowergroup, Inc.		73
	21,945	Nielsen Holdings PLC		1,022
	1,512	Robert Half International, Inc.		71
	767	Towers Watson & Co., Class – A		99
				1,265
		Real Estate Investment Trusts — 2.15%
	2,226	Alexandria Real Estate Equities, Inc.		201
	3,186	American Campus Communities, Inc.		132
	1,568	American Capital Agency Corp.		27
	726	American Homes 4 Rent, Class – A		12
	29,002	Annaly Capital Management, Inc.		272
	4,995	Apartment Investment & Management Co., Class – A		200
	4,916	Apple Hospitality REIT, Inc.		98
	3,477	AvalonBay Communities, Inc.		640
	5,779	BioMed Realty Trust, Inc.		137
	700	Boston Properties, Inc.		89
	5,956	Brandywine Realty Trust		81
	4,651	Brixmor Property Group, Inc.		120
	2,763	Camden Property Trust		212
	6,218	CBL & Associates Properties, Inc.		77
	898	Chimera Investment Corp.		12
	4,376	Columbia Property Trust, Inc.		103
	3,197	Corporate Office Properties Trust		70
	3,648	Corrections Corp. of America		97
	9,844	Crown Castle International Corp.		852
	8,831	DDR Corp.		149
	4,042	Digital Realty Trust, Inc.		306
	4,050	Douglas Emmett, Inc.		126
	9,181	Duke Realty Corp.		193
	1,653	Equinix, Inc.		500
	2,259	Equity Lifestyle Properties, Inc.		151
	10,751	Equity Residential		878
	1,788	Essex Property Trust, Inc.		428
	2,836	Extra Space Storage, Inc.		250
	1,583	Federal Realty Investment Trust		231
	2,309	Gaming & Leisure Properties, Inc.		64
	18,873	General Growth Properties, Inc.		514
	15,302	HCP, Inc.		585
	3,065	Healthcare Trust of America, Inc., Class – A		83
	5,036	Hospitality Properties Trust		132
	23,748	Host Hotels & Resorts, Inc.		364
	5,445	Iron Mountain, Inc.		147
	406	Kilroy Realty Corp.		26
	11,447	Kimco Realty Corp.		303
	2,490	Lamar Advertising Co., Class – A		149
	4,896	Liberty Property Trust		152
	12,272	MFA Financial, Inc.		81
	1,915	Mid-America Apartment Communities, Inc.		174

See accompanying notes to financial statements.

13

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Real Estate Investment Trusts (continued)
	3,789	National Retail Properties, Inc.	$	152
	6,066	OMEGA Healthcare Investors, Inc.		212
	4,913	Outfront Media, Inc.		107
	798	Paramount Group, Inc.		14
	4,902	Piedmont Office Realty Trust, Inc., Class – A		93
	4,556	Plum Creek Timber Co., Inc.		217
	1,764	Post Properties, Inc.		104
	15,571	Prologis, Inc.		668
	3,099	Public Storage		769
	4,295	Rayonier, Inc.		95
	6,874	Realty Income Corp.		355
	2,420	Regency Centers Corp.		165
	7,465	Retail Properties of America, Inc., Class – A		110
	8,587	Senior Housing Properties Trust		127
	8,033	Simon Property Group, Inc.		1,563
	2,642	SL Green Realty Corp.		298
	14,007	Spirit Realty Capital, Inc.		140
	7,027	Starwood Property Trust, Inc.		144
	3,229	Tanger Factory Outlet Centers, Inc.		106
	2,222	Taubman Centers, Inc.		170
	4,676	The Macerich Co.		377
	11,985	Two Harbors Investment Corp.		97
	6,819	UDR, Inc.		256
	10,773	Ventas, Inc.		608
	29,320	VEREIT, Inc.		232
	4,056	Vornado Realty Trust		405
	3,956	Weingarten Realty Investors		137
	10,440	Welltower, Inc.		710
	16,756	Weyerhaeuser Co.		502
	3,723	WP Carey, Inc.		220
	5,835	WP GLIMCHER, Inc.		62
				18,633
		Real Estate Management & Development — 0.01%
	1,299	CBRE Group, Inc., Class – A (a)		44
	984	Forest City Enterprises, Inc., Class – A (a)		22
	200	Jones Lang LaSalle, Inc.		32
	671	Realogy Holdings Corp. (a)		25
				123
		Road & Rail — 1.11%
	85,707	CSX Corp.		2,224
	22,763	Norfolk Southern Corp.		1,926
	3,460	Ryder System, Inc.		197
	67,278	Union Pacific Corp.		5,260
				9,607
		Semiconductors & Semiconductor Equipment — 2.60%
	19,383	Analog Devices, Inc.		1,072
	424,936	Applied Materials, Inc.		7,933
	19,165	Cypress Semiconductor Corp.		188
	738	First Solar, Inc. (a)		49
	167,612	Intel Corp.		5,773
	9,806	KLA-Tencor Corp.		680
	1,568	Lam Research Corp.		125
	14,568	Linear Technology Corp.		619

Shares		Security Description	Value (000)
		Semiconductors & Semiconductor Equipment (continued)
	29,825	Marvell Technology Group Ltd.	$	263
	15,172	Maxim Integrated Products, Inc.		577
	11,512	Microchip Technology, Inc.		536
	10,863	Micron Technology, Inc. (a)		154
	5,456	NVIDIA Corp.		180
	65,762	Texas Instruments, Inc.		3,604
	18,172	Xilinx, Inc.		854
				22,607
		Software — 2.31%
	20,602	CA, Inc.		588
	809	King Digital Entertainment PLC		14
	232,802	Microsoft Corp.		12,917
	158,205	Oracle Corp.		5,779
	700	SolarWinds, Inc. (a)		41
	36,640	Symantec Corp.		769
				20,108
		Specialty Retail — 1.36%
	1,691	Bed Bath & Beyond, Inc. (a)		82
	20,064	Best Buy Co., Inc.		611
	913	Dick’s Sporting Goods, Inc.		32
	3,749	DSW, Inc., Class – A		89
	54,403	Foot Locker, Inc.		3,540
	124,835	GameStop Corp., Class – A^		3,500
	37,108	Gap, Inc.		917
	448	Murphy USA, Inc. (a)		27
	388,459	Office Depot, Inc. (a)		2,191
	2,711	Penske Automotive Group, Inc.		115
	37,224	Staples, Inc.		353
	955	Urban Outfitters, Inc. (a)		22
	5,524	Williams-Sonoma, Inc.		323
				11,802
		Technology Hardware, Storage & Peripherals — 1.49%
	3,929	Apple, Inc.		414
	344,265	Hewlett Packard Enterprise Co.		5,233
	473,240	HP, Inc.		5,603
	3,671	Lexmark International, Inc., Class – A		119
	20,470	NetApp, Inc.		543
	16,518	Western Digital Corp.		992
				12,904
		Textiles, Apparel & Luxury Goods — 0.24%
	17,906	Coach, Inc.		586
	436	Fossil Group, Inc. (a)		16
	1,941	Michael Kors Holdings Ltd. (a)		78
	619	Ralph Lauren Corp.		69
	21,483	V.F. Corp.		1,337
				2,086
		Thrifts & Mortgage Finance — 0.06%
	30,861	New York Community Bancorp, Inc.		504
		Tobacco — 2.16%
	198,609	Altria Group, Inc.		11,562
	59,268	Philip Morris International, Inc.		5,210
	42,238	Reynolds American, Inc.		1,949
				18,721

See accompanying notes to financial statements.

14

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)		Security Description	Value (000)
		Common Stocks (continued)
		Trading Companies & Distributors — 0.16%
	1,004	Air Lease Corp.	$	34
	16,123	Fastenal Co.		658
	5,606	GATX Corp.		239
	7,152	MSC Industrial Direct Co., Inc., Class – A		402
	1,060	NOW, Inc. (a)		17
	445	WESCO International, Inc. (a)		19
				1,369
		Transportation Infrastructure — 0.05%
	5,584	Macquarie Infrastructure Corp.		405
		Water Utilities — 0.04%
	3,702	American Water Works Co., Inc.		221
	3,876	Aqua America, Inc.		116
				337
		Wireless Telecommunication Services — 0.27%
	804	Telephone & Data Systems, Inc.		21
	73,840	Vodafone Group PLC, ADR		2,382
				2,403
		Total Common Stocks		719,298
		Contingent Rights — 0.00%
		Food & Staples Retailing — 0.00%
	18,568	Safeway, Inc.* (a)		1
	18,568	Safeway, Inc.* (a)		19
				20
		Total Contingent Rights		20
		Time Deposit — 0.17%
$	1,519	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16		1,519
		Total Time Deposit		1,519
		Mutual Funds —16.90%
	2,935,076	Dreyfus Treasury Prime Cash Management Fund, 0.00% (b)		2,935
	2,008,930	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (c)		2,009
	141,727,434	SSgA Treasury Money Market Fund, 0.00% (b)		141,727
		Total Mutual Funds		146,671

Principal Amount (000)		Security Description	Value (000)
		Repurchase Agreement — 0.71%
$	6,183	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $6,183,695 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 –8/15/45 fair value $6,307,088) ^^	$	6,183
		Total Repurchase Agreement		6,183
		Total Investments (cost $817,273) — 100.65%		873,691
		Liabilities in excess of other assets — (0.65)%		(5,631	)
		Net Assets — 100.00%	$	868,060

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $7,992 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) The rate disclosed is the rate in effect on December 31, 2015.

(c) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

REIT — Real Estate Investment Trust

See accompanying notes to financial statements.

15

HC CAPITAL TRUST

The Institutional Value Equity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Institutional Value Equity Portfolio	AllianceBernstein L.P.			Cadence Capital Management, LLC			Parametric Portfolio Associates, LLC			HC Capital Solutions			Total
Common Stocks		29.66	%		53.21	%		—			—			82.87	%
Contingent Rights		—			0.00	%					—			0.00	%
Time Deposit		0.17	%		—			—			—			0.17	%
Mutual Funds		0.07	%		0.53	%		10.60	%		5.70	%		16.90	%
Repurchase Agreement		0.23	%		0.48	%		—			—			0.71	%
Other Assets (Liabilities)		-0.41	%		-0.74	%		0.50	%		—			-0.65	%
Total Net Assets		29.72	%		53.48	%		11.10	%		5.70	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	806	E-Mini S&P 500 Future	$	82,027		3/18/16	$	(218	)
	138	E-Mini S&P Midcap 400 Future		19,230		3/18/16		75
		Net Unrealized Appreciation/(Depreciation)					$	(143	)

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

16

HC CAPITAL TRUST

The Growth Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 83.68%
		Aerospace & Defense — 1.48%
	12,650	General Dynamics Corp.	$	1,738
	3,551	L-3 Communications Holdings, Inc.		424
	5,989	Precision Castparts Corp.		1,390
	12,959	Raytheon Co.		1,614
	5,591	Rockwell Collins, Inc.		516
	15,583	The Boeing Co.		2,253
	37,965	United Technologies Corp.		3,647
				11,582
		Air Freight & Logistics — 0.10%
	6,150	C.H. Robinson Worldwide, Inc.		381
	8,153	Expeditors International of Washington, Inc.		368
				749
		Airlines — 0.02%
	2,991	Spirit Airlines, Inc. (a)		119
		Automobiles — 0.18%
	6,019	Tesla Motors, Inc.^ (a)		1,445
		Banks — 0.20%
	20,043	Citigroup, Inc.		1,037
	2,222	Cullen/Frost Bankers, Inc.		133
	5,688	First Republic Bank		376
				1,546
		Beverages — 2.14%
	6,389	Brown-Forman Corp., Class – B		634
	8,123	Dr. Pepper Snapple Group, Inc.		757
	13,888	Monster Beverage Corp. (a)		2,069
	62,777	PepsiCo, Inc.		6,273
	164,455	The Coca-Cola Co.		7,065
				16,798
		Biotechnology — 4.18%
	11,404	Alexion Pharmaceuticals, Inc. (a)		2,175
	100,133	Amgen, Inc.		16,254
	22,428	Baxalta, Inc.		875
	5,650	Biogen Idec, Inc. (a)		1,731
	2,836	BioMarin Pharmaceutical, Inc. (a)		297
	21,464	Celgene Corp. (a)		2,571
	15,163	Regeneron Pharmaceuticals, Inc. (a)		8,232
	5,252	Vertex Pharmaceuticals, Inc. (a)		661
				32,796
		Capital Markets — 1.63%
	3,832	Federated Investors, Inc., Class – B		110
	16,428	Franklin Resources, Inc.		605
	35,000	Morgan Stanley		1,113
	5,466	SEI Investments Co.		286
	142,416	State Street Corp.		9,451
	10,641	T. Rowe Price Group, Inc.		761
	11,173	TD Ameritrade Holdg Corp.		388
	3,518	Waddell & Reed Financial, Inc., Class –A		101
				12,815
		Chemicals — 3.14%
	8,763	Air Products & Chemicals, Inc.		1,140
	106,399	Ecolab, Inc.		12,169
	3,343	International Flavors & Fragrances, Inc.		400
	81,848	Monsanto Co.		8,064

Shares		Security Description	Value (000)
		Chemicals (continued)
	12,126	Praxair, Inc.	$	1,242
	6,104	The Sherwin-Williams Co.		1,585
				24,600
		Commercial Services & Supplies — 0.17%
	4,138	Cintas Corp.		377
	4,647	Copart, Inc. (a)		177
	3,897	Rollins, Inc.		101
	3,485	Stericycle, Inc. (a)		420
	5,097	Waste Connections, Inc.		287
				1,362
		Communications Equipment — 1.33%
	212,180	Cisco Systems, Inc.		5,762
	3,116	F5 Networks, Inc. (a)		302
	4,392	Harris Corp.		382
	2,945	Palo Alto Networks, Inc. (a)		519
	69,909	Qualcomm, Inc.		3,494
				10,459
		Construction & Engineering — 0.07%
	6,139	Fluor Corp.		290
	5,438	Jacobs Engineering Group, Inc. (a)		228
				518
		Containers & Packaging — 0.05%
	2,669	AptarGroup, Inc.		194
	4,191	Sonoco Products Co.		171
				365
		Distributors — 0.07%
	6,382	Genuine Parts Co.		548
		Diversified Consumer Services — 0.00%
	3,407	Apollo Group, Inc., Class – A (a)		26
		Diversified Financial Services — 0.54%
	3,543	CBOE Holdings, Inc.		230
	13,197	CME Group, Inc.		1,196
	1,734	FactSet Research Systems, Inc.		282
	825	Morningstar, Inc.		66
	24,657	The McGraw-Hill Cos., Inc.		2,431
				4,205
		Electrical Equipment — 0.28%
	10,131	AMETEK, Inc.		543
	29,045	Emerson Electric Co.		1,389
	2,428	Hubbell, Inc. (a)		245
				2,177
		Electronic Equipment, Instruments & Components — 0.17%
	13,019	Amphenol Corp., Class – A		680
	2,011	Dolby Laboratories, Inc., Class – A		68
	5,877	FLIR Systems, Inc.		165
	6,426	Ingram Micro, Inc.		195
	4,084	National Instruments Corp.		117
	2,116	Zebra Technologies Corp. (a)		147
				1,372
		Energy Equipment & Services — 2.22%
	49,488	Core Laboratories NV		5,381
	1,690	Dril-Quip, Inc. (a)		100

See accompanying notes to financial statements.

17

HC CAPITAL TRUST

The Growth Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Energy Equipment & Services (continued)
	9,717	FMC Technologies, Inc. (a)	$	282
	3,970	Helmerich & Payne, Inc.		213
	17,753	National Oilwell Varco, Inc.		594
	4,098	Oceaneering International, Inc.		154
	152,969	Schlumberger Ltd.		10,670
				17,394
		Food & Staples Retailing — 3.66%
	30,971	Costco Wholesale Corp.		5,002
	48,442	CVS Caremark Corp.		4,736
	24,180	Sysco Corp.		991
	47,383	The Kroger Co.		1,982
	39,536	Walgreens Boots Alliance, Inc.		3,367
	66,001	Wal-Mart Stores, Inc.		4,046
	256,639	Whole Foods Market, Inc.		8,597
				28,721
		Food Products — 1.85%
	7,229	Campbell Soup Co.		380
	7,130	Flowers Foods, Inc.		153
	6,183	Hershey Co.		552
	5,506	Hormel Foods Corp.		435
	5,365	McCormick & Co., Inc.		459
	8,367	Mead Johnson Nutrition Co.		661
	253,735	Mondelez International, Inc., Class – A		11,378
	4,273	The J.M. Smucker Co.		527
				14,545
		Health Care Equipment & Supplies — 2.20%
	100,446	Abbott Laboratories		4,512
	22,428	Baxter International, Inc.		856
	7,995	Becton, Dickinson & Co.		1,232
	3,130	C.R. Bard, Inc.		593
	5,872	Dentsply International, Inc.		357
	8,724	Edwards Lifesciences Corp. (a)		689
	3,970	IDEXX Laboratories, Inc. (a)		289
	1,483	Intuitive Surgical, Inc. (a)		810
	59,255	Medtronic PLC		4,558
	5,794	ResMed, Inc.		311
	11,726	St. Jude Medical, Inc.		724
	13,924	Stryker Corp.		1,294
	4,289	Varian Medical Systems, Inc. (a)		347
	6,962	Zimmer Holdings, Inc.		714
				17,286
		Health Care Providers & Services — 1.87%
	14,762	Aetna, Inc.		1,596
	11,562	Anthem, Inc.		1,612
	30,407	Express Scripts Holding Co. (a)		2,658
	3,534	Henry Schein, Inc. (a)		559
	4,126	Laboratory Corp. of America Holdings (a)		510
	9,518	McKesson Corp.		1,877
	4,110	MEDNAX, Inc. (a)		295
	3,541	Patterson Cos., Inc.		160
	5,979	Quest Diagnostics, Inc.		425
	40,595	UnitedHealth Group, Inc.		4,776
	3,641	VCA Antech, Inc. (a)		200
				14,668

Shares		Security Description	Value (000)
		Health Care Technology — 1.39%
	180,222	Cerner Corp. (a)	$	10,844
	1,567	Veeva Systems, Inc. (a)		45
				10,889
		Hotels, Restaurants & Leisure — 3.14%
	1,306	Chipotle Mexican Grill, Inc. (a)		627
	26,417	Marriott International, Inc.		1,771
	53,452	McDonald’s Corp.		6,315
	1,049	Panera Bread Co., Class – A (a)		204
	239,704	Starbucks Corp.		14,389
	18,270	YUM! Brands, Inc.		1,335
				24,641
		Household Durables — 0.02%
	5,021	Garmin Ltd.		187
		Household Products — 2.85%
	5,598	Church & Dwight Co., Inc.		475
	183,527	Colgate-Palmolive Co.		12,227
	15,592	Kimberly-Clark Corp.		1,985
	5,296	The Clorox Co.		672
	88,559	The Procter & Gamble Co.		7,032
				22,391
		Industrial Conglomerates — 1.10%
	27,069	3M Co.		4,077
	2,657	Carlisle Cos., Inc.		236
	25,156	Danaher Corp.		2,336
	38,388	General Electric Co.		1,196
	4,103	Roper Industries, Inc.		779
				8,624
		Insurance — 0.06%
	4,955	Brown & Brown, Inc.		159
	5,398	Torchmark Corp.		309
				468
		Internet & Catalog Retail — 4.37%
	25,196	Amazon.com, Inc. (a)		17,030
	22,570	JD.com, Inc., ADR (a)		728
	25,874	Netflix, Inc. (a)		2,959
	10,340	Priceline.com, Inc. (a)		13,183
	4,586	TripAdvisor, Inc. (a)		391
				34,291
		Internet Software & Services — 6.82%
	23,046	Alibaba Group Holding Ltd., ADR (a)		1,873
	9,502	Alphabet, Inc., Class – A (a)		7,393
	24,442	Alphabet, Inc., Class – C (a)		18,549
	52,498	eBay, Inc. (a)		1,443
	152,591	Facebook, Inc., Class – A (a)		15,970
	20,421	LinkedIn Corp., Class – A (a)		4,596
	4,825	Rackspace Hosting, Inc. (a)		122
	115,818	Tencent Holdings Ltd., ADR		2,272
	39,226	Yahoo!, Inc. (a)		1,305
				53,523
		IT Services — 8.43%
	26,218	Accenture PLC, Class – A		2,740
	6,637	Amdocs Ltd.		362
	134,494	Automatic Data Processing, Inc.		11,395
	4,965	Broadridge Financial Solutions, Inc.		267

See accompanying notes to financial statements.

18

HC CAPITAL TRUST

The Growth Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		IT Services (continued)
	25,196	Cognizant Technology Solutions Corp. (a)	$	1,512
	71,317	FleetCor Technologies, Inc. (a)		10,193
	5,598	Global Payments, Inc.		361
	39,169	International Business Machines Corp.		5,390
	3,484	Jack Henry & Associates, Inc.		272
	78,234	MasterCard, Inc., Class – A		7,617
	13,474	Paychex, Inc.		713
	52,488	PayPal Holdings, Inc. (a)		1,900
	6,511	Teradata Corp. (a)		172
	6,961	Total System Services, Inc.		347
	288,644	Visa, Inc., Class – A		22,385
	22,338	Western Union Co.		400
				66,026
		Leisure Products — 0.03%
	2,678	Polaris Industries, Inc.		230
		Life Sciences Tools & Services — 0.64%
	1,521	Bio-Techne Corp.		137
	8,801	Illumina, Inc. (a)		1,689
	1,224	Mettler-Toledo International, Inc. (a)		415
	16,545	Thermo Electron Corp.		2,347
	3,490	Waters Corp. (a)		470
				5,058
		Machinery — 0.33%
	2,029	Crane Co.		97
	5,897	Donaldson Co., Inc.		169
	3,304	IDEX Corp.		253
	13,399	Illinois Tool Works, Inc.		1,242
	2,361	The Middleby Corp. (a)		255
	3,970	Wabtec Corp.		282
	7,619	Xylem, Inc.		278
				2,576
		Marine — 0.02%
	2,369	Kirby Corp. (a)		125
		Media — 1.53%
	1,822	John Wiley & Sons, Inc., Class – A		82
	10,707	Omnicom Group, Inc.		810
	4,366	Scripps Networks Interactive, Class – A		241
	92,546	The Walt Disney Co.		9,724
	18,147	Time Warner, Inc.		1,174
				12,031
		Multiline Retail — 0.15%
	9,531	Dollar Tree, Inc. (a)		736
	8,617	Kohl’s Corp.		410
				1,146
		Oil, Gas & Consumable Fuels — 1.84%
	70,673	Chevron Corp.		6,358
	9,093	Concho Resources, Inc. (a)		844
	6,833	EOG Resources, Inc.		484
	85,449	Exxon Mobil Corp.		6,660
	2,934	World Fuel Services Corp.		113
				14,459

Shares		Security Description	Value (000)
		Personal Products — 0.12%
	2,430	Nu Skin Enterprises, Inc., Class – A	$	92
	9,473	The Estee Lauder Cos., Inc., Class – A		834
				926
		Pharmaceuticals — 3.35%
	10,780	Allergan PLC (a)		3,369
	38,010	Bristol-Myers Squibb Co.		2,615
	40,764	Eli Lilly & Co.		3,435
	70,866	Johnson & Johnson		7,278
	117,376	Merck & Co., Inc.		6,200
	21,788	Novo Nordisk A/S, Class – B, ADR		1,265
	10,307	Shire PLC, ADR		2,113
				26,275
		Professional Services — 0.96%
	5,020	Equifax, Inc.		559
	2,799	IHS, Inc. (a)		331
	2,652	Towers Watson & Co., Class – A		341
	82,246	Versik Analytics, Inc., Class – A (a)		6,323
				7,554
		Real Estate Investment Trusts — 1.23%
	13,508	American Tower Corp.		1,310
	27,593	Equinix, Inc.		8,344
				9,654
		Road & Rail — 0.34%
	33,827	Kansas City Southern		2,526
	1,846	Landstar System, Inc.		108
				2,634
		Semiconductors & Semiconductor Equipment — 2.47%
	13,015	Analog Devices, Inc.		720
	227,802	ARM Holdings PLC, ADR		10,306
	206,194	Intel Corp.		7,104
	9,757	Linear Technology Corp.		414
	10,340	NXP Semiconductors NV (a)		871
				19,415
		Software — 6.47%
	25,933	Adobe Systems, Inc. (a)		2,436
	3,799	ANSYS, Inc. (a)		351
	1,639	Atlassian Corp. PLC, Class – A (a)		49
	6,788	Citrix Systems, Inc. (a)		514
	11,720	Intuit, Inc.		1,131
	197,309	Microsoft Corp.		10,946
	136,051	Oracle Corp.		4,970
	142,017	Red Hat, Inc. (a)		11,759
	118,528	Salesforce.com, Inc. (a)		9,293
	82,531	SAP AG, ADR		6,528
	2,675	SolarWinds, Inc. (a)		158
	19,160	Splunk, Inc. (a)		1,127
	3,617	VMware, Inc., Class – A^(a)		205
	16,185	Workday, Inc., Class – A (a)		1,290
				50,757
		Specialty Retail — 3.30%
	2,650	Aaron’s, Inc.		59
	2,543	Abercrombie & Fitch Co., Class – A		69
	2,995	Advance Auto Parts, Inc.		451
	1,359	AutoZone, Inc. (a)		1,008

See accompanying notes to financial statements.

19

HC CAPITAL TRUST

The Growth Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Specialty Retail (continued)
	7,681	Bed Bath & Beyond, Inc. (a)	$	371
	11,700	Best Buy Co., Inc.		356
	3,949	Dick’s Sporting Goods, Inc.		140
	4,483	GameStop Corp., Class – A ^		126
	10,389	Gap, Inc.		257
	130,647	Industria de Diseno Textil SA, ADR		2,254
	146,030	Lowe’s Cos., Inc.		11,104
	12,470	O’Reilly Automotive, Inc. (a)		3,160
	17,570	Ross Stores, Inc.		945
	26,839	Staples, Inc.		254
	6,328	The Home Depot, Inc.		837
	50,009	The TJX Cos., Inc.		3,546
	4,646	Tiffany & Co.		354
	2,654	Ulta Salon, Cosmetics & Fragrance, Inc. (a)		491
	4,400	Urban Outfitters, Inc. (a)		100
				25,882
		Technology Hardware, Storage & Peripherals — 1.80%
	112,679	Apple, Inc.		11,861
	84,857	EMC Corp.		2,179
	2,591	Lexmark International, Inc., Class – A		84
				14,124
		Textiles, Apparel & Luxury Goods — 2.44%
	11,356	Coach, Inc.		372
	1,239	Deckers Outdoor Corp. (a)		58
	1,827	Fossil Group, Inc. (a)		67
	8,456	Michael Kors Holdings Ltd. (a)		339
	238,282	NIKE, Inc., Class – B		14,892
	2,446	Ralph Lauren Corp.		273
	28,707	Under Armour, Inc., Class – A (a)		2,314
	14,314	V.F. Corp.		891
				19,206
		Tobacco — 0.78%
	65,166	Philip Morris International, Inc.		5,728
	8,724	Reynolds American, Inc.		403
				6,131
		Trading Companies & Distributors — 0.15%
	12,255	Fastenal Co.		501
	1,981	MSC Industrial Direct Co., Inc., Class – A		111
	4,434	NOW, Inc. (a)		70
	2,412	W.W. Grainger, Inc.		489
				1,171
		Total Common Stocks		656,490

Shares or Principal Amount (000)		Security Description	Value (000)
		Time Deposit — 1.77%
$	13,876	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16	$	13,876
		Total Time Deposit		13,876
		Mutual Funds — 14.33%
	433,210	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (b)		433
	112,006,872	SSgA Treasury Money Market Fund, 0.00% (c)		112,007
		Total Mutual Funds		112,440
		Repurchase Agreement — 0.17%
$	1,333	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $1,333,466 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $1,360,075)^^		1,333
		Total Repurchase Agreement		1,333
		Total Investments (cost $582,940) — 99.95%		784,139
		Other assets in excess of liabilities — 0.05%		398
		Net Assets — 100.00%	$	784,537

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $1,737 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(c) The rate disclosed is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

See accompanying notes to financial statements.

20

HC CAPITAL TRUST

The Growth Equity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Growth Equity Portfolio	Jennison Associates, LLC			Mellon Capital Management Corporation			Parametric Portfolio Associates, LLC			Sustainable Growth Advisers, LP			HC Capital Solutions			Total
Common Stocks		14.83	%		35.50	%		—			33.35	%		—			83.68	%
Time Deposit		0.19	%		—			—			1.58	%		—			1.77	%
Mutual Funds		0.04	%		0.22	%		4.69	%		—			9.38	%		14.33	%
Repurchase Agreement		0.14	%		0.03	%		—			—			—			0.17	%
Other Assets (Liabilities)		-0.18	%		—			0.32	%		-0.09	%		—			0.05	%
Total Net Assets		15.02	%		35.75	%		5.01	%		34.84	%		9.38	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	179	E-Mini NASDAQ 100 Future	$	16,424		3/18/16	$	(156	)
	260	E-Mini S&P 500 Future		26,460		3/18/16		(203	)
	45	E-Mini S&P Midcap 400 Future		6,271		3/18/16		(73	)
	118	Russell 2000 Mini Index Future		13,352		3/18/16		174
		Net Unrealized Appreciation/(Depreciation)					$	(258	)

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

21

HC CAPITAL TRUST

The Institutional Growth Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 83.13%
		Aerospace & Defense — 1.72%
	25,144	General Dynamics Corp.	$	3,454
	7,062	L-3 Communications Holdings, Inc.		844
	11,893	Precision Castparts Corp.		2,759
	25,760	Raytheon Co.		3,208
	11,111	Rockwell Collins, Inc.		1,026
	22,715	The Boeing Co.		3,284
	75,445	United Technologies Corp.		7,248
				21,823
		Air Freight & Logistics — 0.12%
	12,223	C.H. Robinson Worldwide, Inc.		758
	16,210	Expeditors International of Washington, Inc.		731
				1,489
		Airlines — 0.02%
	5,943	Spirit Airlines, Inc. (a)		237
		Automobiles — 0.17%
	8,775	Tesla Motors, Inc.^(a)		2,106
		Banks — 0.20%
	29,204	Citigroup, Inc.		1,512
	4,421	Cullen/Frost Bankers, Inc.		265
	11,293	First Republic Bank		746
				2,523
		Beverages — 2.58%
	12,719	Brown-Forman Corp., Class – B		1,263
	16,127	Dr. Pepper Snapple Group, Inc.		1,503
	23,579	Monster Beverage Corp. (a)		3,512
	124,748	PepsiCo, Inc.		12,465
	326,796	The Coca-Cola Co.		14,039
				32,782
		Biotechnology — 3.75%
	16,624	Alexion Pharmaceuticals, Inc. (a)		3,171
	149,345	Amgen, Inc.		24,243
	44,572	Baxalta, Inc.		1,740
	8,240	Biogen Idec, Inc. (a)		2,524
	4,134	BioMarin Pharmaceutical, Inc. (a)		433
	31,290	Celgene Corp. (a)		3,747
	19,794	Regeneron Pharmaceuticals, Inc. (a)		10,746
	7,661	Vertex Pharmaceuticals, Inc. (a)		964
				47,568
		Capital Markets — 1.42%
	7,621	Federated Investors, Inc., Class – B		218
	32,642	Franklin Resources, Inc.		1,202
	51,059	Morgan Stanley		1,625
	10,866	SEI Investments Co.		569
	180,823	State Street Corp.		12,000
	21,141	T. Rowe Price Group, Inc.		1,511
	22,189	TD Ameritrade Holdg Corp.		770
	6,981	Waddell & Reed Financial, Inc., Class – A		200
				18,095
		Chemicals — 2.76%
	17,432	Air Products & Chemicals, Inc.		2,268
	143,067	Ecolab, Inc.		16,364
	6,646	International Flavors & Fragrances, Inc.		795
��	105,776	Monsanto Co.		10,421

Shares		Security Description	Value (000)
		Chemicals (continued)
	24,091	Praxair, Inc.	$	2,467
	10,785	The Sherwin-Williams Co.		2,800
				35,115
		Commercial Services & Supplies — 0.21%
	8,231	Cintas Corp.		749
	9,238	Copart, Inc. (a)		351
	7,734	Rollins, Inc.		200
	6,931	Stericycle, Inc. (a)		836
	10,133	Waste Connections, Inc.		571
				2,707
		Communications Equipment — 1.61%
	421,625	Cisco Systems, Inc.		11,449
	6,185	F5 Networks, Inc. (a)		600
	8,714	Harris Corp.		757
	4,296	Palo Alto Networks, Inc. (a)		757
	138,921	Qualcomm, Inc.		6,944
				20,507
		Construction & Engineering — 0.08%
	12,205	Fluor Corp.		576
	10,814	Jacobs Engineering Group, Inc. (a)		454
				1,030
		Containers & Packaging — 0.06%
	5,320	AptarGroup, Inc.		387
	8,331	Sonoco Products Co.		340
				727
		Distributors — 0.09%
	12,706	Genuine Parts Co.		1,091
		Diversified Consumer Services — 0.00%
	6,791	Apollo Group, Inc., Class – A (a)		52
		Diversified Financial Services — 0.60%
	7,048	CBOE Holdings, Inc.		457
	26,220	CME Group, Inc.		2,376
	3,447	FactSet Research Systems, Inc.		560
	1,646	Morningstar, Inc.		132
	41,939	The McGraw-Hill Cos., Inc.		4,135
				7,660
		Electrical Equipment — 0.34%
	20,133	AMETEK, Inc.		1,079
	57,705	Emerson Electric Co.		2,760
	4,827	Hubbell, Inc. (a)		488
				4,327
		Electronic Equipment, Instruments & Components — 0.21%
	25,880	Amphenol Corp., Class – A		1,351
	4,009	Dolby Laboratories, Inc., Class – A		135
	11,687	FLIR Systems, Inc.		328
	12,778	Ingram Micro, Inc.		388
	8,111	National Instruments Corp.		233
	4,203	Zebra Technologies Corp. (a)		293
				2,728
		Energy Equipment & Services — 1.82%
	63,006	Core Laboratories NV		6,851
	3,378	Dril-Quip, Inc. (a)		200
	19,304	FMC Technologies, Inc. (a)		560

See accompanying notes to financial statements.

22

HC CAPITAL TRUST

The Institutional Growth Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Energy Equipment & Services (continued)
	7,890	Helmerich & Payne, Inc.	$	423
	35,272	National Oilwell Varco, Inc.		1,181
	8,148	Oceaneering International, Inc.		306
	195,464	Schlumberger Ltd.		13,634
				23,155
		Food & Staples Retailing — 3.89%
	54,793	Costco Wholesale Corp.		8,849
	96,267	CVS Caremark Corp.		9,412
	48,048	Sysco Corp.		1,970
	69,122	The Kroger Co.		2,891
	78,564	Walgreens Boots Alliance, Inc.		6,690
	131,150	Wal-Mart Stores, Inc.		8,039
	342,560	Whole Foods Market, Inc.		11,477
				49,328
		Food Products — 1.63%
	14,361	Campbell Soup Co.		755
	14,156	Flowers Foods, Inc.		304
	12,283	Hershey Co.		1,097
	10,933	Hormel Foods Corp.		865
	10,659	McCormick & Co., Inc.		912
	16,630	Mead Johnson Nutrition Co.		1,312
	321,855	Mondelez International, Inc., Class – A		14,431
	8,493	The J.M. Smucker Co.		1,048
				20,724
		Health Care Equipment & Supplies — 2.63%
	178,990	Abbott Laboratories		8,039
	44,572	Baxter International, Inc.		1,700
	15,908	Becton, Dickinson & Co.		2,451
	6,209	C.R. Bard, Inc.		1,176
	11,657	Dentsply International, Inc.		709
	17,324	Edwards Lifesciences Corp. (a)		1,368
	7,896	IDEXX Laboratories, Inc. (a)		576
	2,944	Intuitive Surgical, Inc. (a)		1,608
	117,742	Medtronic PLC		9,057
	11,519	ResMed, Inc.		618
	23,305	St. Jude Medical, Inc.		1,440
	27,672	Stryker Corp.		2,572
	8,534	Varian Medical Systems, Inc. (a)		690
	13,832	Zimmer Holdings, Inc.		1,419
				33,423
		Health Care Providers & Services — 2.29%
	29,343	Aetna, Inc.		3,173
	22,972	Anthem, Inc.		3,203
	60,417	Express Scripts Holding Co. (a)		5,281
	7,015	Henry Schein, Inc. (a)		1,110
	8,210	Laboratory Corp. of America Holdings (a)		1,015
	18,914	McKesson Corp.		3,730
	8,170	MEDNAX, Inc. (a)		585
	7,045	Patterson Cos., Inc.		319
	11,875	Quest Diagnostics, Inc.		845
	80,681	UnitedHealth Group, Inc.		9,491
	7,239	VCA Antech, Inc. (a)		398
				29,150

Shares		Security Description	Value (000)
		Health Care Technology — 1.15%
	242,142	Cerner Corp. (a)	$	14,570
	3,130	Veeva Systems, Inc. (a)		90
				14,660
		Hotels, Restaurants & Leisure — 3.16%
	2,598	Chipotle Mexican Grill, Inc. (a)		1,247
	38,534	Marriott International, Inc.		2,583
	99,889	McDonald’s Corp.		11,801
	2,084	Panera Bread Co., Class – A (a)		406
	357,561	Starbucks Corp.		21,464
	36,292	YUM! Brands, Inc.		2,651
				40,152
		Household Durables — 0.03%
	9,980	Garmin Ltd.		371
		Household Products — 2.97%
	11,124	Church & Dwight Co., Inc.		944
	263,681	Colgate-Palmolive Co.		17,566
	30,987	Kimberly-Clark Corp.		3,945
	10,532	The Clorox Co.		1,336
	175,968	The Procter & Gamble Co.		13,974
				37,765
		Industrial Conglomerates — 1.30%
	53,782	3M Co.		8,102
	5,266	Carlisle Cos., Inc.		467
	49,992	Danaher Corp.		4,643
	55,958	General Electric Co.		1,743
	8,156	Roper Industries, Inc.		1,548
				16,503
		Insurance — 0.07%
	9,848	Brown & Brown, Inc.		316
	10,749	Torchmark Corp.		615
				931
		Internet & Catalog Retail — 3.63%
	33,712	Amazon.com, Inc. (a)		22,785
	32,902	JD.com, Inc., ADR (a)		1,062
	37,750	Netflix, Inc. (a)		4,318
	13,443	Priceline.com, Inc. (a)		17,139
	9,124	TripAdvisor, Inc. (a)		778
				46,082
		Internet Software & Services — 6.25%
	33,619	Alibaba Group Holding Ltd., ADR (a)		2,732
	16,635	Alphabet, Inc., Class – A (a)		12,942
	35,711	Alphabet, Inc., Class – C (a)		27,100
	104,299	eBay, Inc. (a)		2,866
	203,327	Facebook, Inc., Class – A (a)		21,280
	27,464	LinkedIn Corp., Class – A (a)		6,182
	9,596	Rackspace Hosting, Inc. (a)		243
	168,948	Tencent Holdings Ltd., ADR		3,315
	77,947	Yahoo!, Inc. (a)		2,593
				79,253
		IT Services — 8.23%
	52,100	Accenture PLC, Class – A		5,444
	13,179	Amdocs Ltd.		719
	181,529	Automatic Data Processing, Inc.		15,379
	9,867	Broadridge Financial Solutions, Inc.		530

See accompanying notes to financial statements.

23

HC CAPITAL TRUST

The Institutional Growth Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		IT Services (continued)
	50,058	Cognizant Technology Solutions Corp. (a)	$	3,004
	92,945	FleetCor Technologies, Inc. (a)		13,285
	11,132	Global Payments, Inc.		718
	77,830	International Business Machines Corp.		10,711
	6,928	Jack Henry & Associates, Inc.		541
	136,128	MasterCard, Inc., Class – A		13,253
	26,785	Paychex, Inc.		1,417
	104,299	PayPal Holdings, Inc. (a)		3,776
	12,962	Teradata Corp. (a)		342
	13,830	Total System Services, Inc.		689
	435,471	Visa, Inc., Class – A		33,773
	44,400	Western Union Co.		795
				104,376
		Leisure Products — 0.04%
	5,337	Polaris Industries, Inc.		459
		Life Sciences Tools & Services — 0.72%
	3,045	Bio-Techne Corp.		274
	12,716	Illumina, Inc. (a)		2,441
	2,435	Mettler-Toledo International, Inc. (a)		826
	32,873	Thermo Electron Corp.		4,662
	6,939	Waters Corp. (a)		934
				9,137
		Machinery — 0.40%
	4,041	Crane Co.		193
	11,739	Donaldson Co., Inc.		336
	6,582	IDEX Corp.		504
	26,616	Illinois Tool Works, Inc.		2,468
	4,695	The Middleby Corp. (a)		506
	7,890	Wabtec Corp.		562
	15,132	Xylem, Inc.		552
				5,121
		Marine — 0.02%
	4,710	Kirby Corp. (a)		248
		Media — 1.32%
	3,614	John Wiley & Sons, Inc., Class – A		163
	21,277	Omnicom Group, Inc.		1,610
	8,667	Scripps Networks Interactive, Class – A		479
	121,939	The Walt Disney Co.		12,812
	26,472	Time Warner, Inc.		1,712
				16,776
		Multiline Retail — 0.18%
	18,938	Dollar Tree, Inc. (a)		1,462
	17,112	Kohl’s Corp.		815
				2,277
		Oil, Gas & Consumable Fuels — 2.21%
	140,443	Chevron Corp.		12,634
	13,265	Concho Resources, Inc. (a)		1,232
	9,967	EOG Resources, Inc.		706
	169,806	Exxon Mobil Corp.		13,236
	5,834	World Fuel Services Corp.		224
				28,032

Shares		Security Description	Value (000)
		Personal Products — 0.14%
	4,833	Nu Skin Enterprises, Inc., Class – A	$	183
	18,822	The Estee Lauder Cos., Inc., Class – A		1,658
				1,841
		Pharmaceuticals — 3.78%
	18,099	Allergan PLC (a)		5,656
	55,442	Bristol-Myers Squibb Co.		3,814
	81,006	Eli Lilly & Co.		6,826
	140,822	Johnson & Johnson		14,465
	233,250	Merck & Co., Inc.		12,320
	31,785	Novo Nordisk A/S, Class – B, ADR		1,846
	15,035	Shire PLC, ADR		3,082
				48,009
		Professional Services — 0.85%
	9,980	Equifax, Inc.		1,111
	5,566	IHS, Inc. (a)		659
	5,279	Towers Watson & Co., Class – A		678
	109,349	Versik Analytics, Inc., Class – A (a)		8,408
				10,856
		Real Estate Investment Trusts — 1.00%
	19,389	American Tower Corp.		1,880
	35,736	Equinix, Inc.		10,806
				12,686
		Road & Rail — 0.27%
	42,961	Kansas City Southern		3,207
	3,676	Landstar System, Inc.		216
				3,423
		Semiconductors & Semiconductor Equipment — 2.42%
	25,874	Analog Devices, Inc.		1,431
	290,224	ARM Holdings PLC, ADR		13,129
	409,714	Intel Corp.		14,115
	19,407	Linear Technology Corp.		824
	15,081	NXP Semiconductors NV (a)		1,271
				30,770
		Software — 6.19%
	38,403	Adobe Systems, Inc. (a)		3,608
	7,562	ANSYS, Inc. (a)		699
	2,389	Atlassian Corp. PLC, Class – A (a)		72
	13,489	Citrix Systems, Inc. (a)		1,020
	23,303	Intuit, Inc.		2,249
	376,290	Microsoft Corp.		20,876
	270,340	Oracle Corp.		9,876
	184,055	Red Hat, Inc. (a)		15,241
	157,241	Salesforce.com, Inc. (a)		12,328
	104,735	SAP AG, ADR		8,285
	5,331	SolarWinds, Inc. (a)		314
	27,951	Splunk, Inc. (a)		1,644
	7,178	VMware, Inc., Class – A^(a)		406
	23,604	Workday, Inc., Class – A (a)		1,881
				78,499
		Specialty Retail — 3.14%
	5,270	Aaron’s, Inc.		118
	5,067	Abercrombie & Fitch Co., Class – A		137
	5,949	Advance Auto Parts, Inc.		895
	2,695	AutoZone, Inc. (a)		1,999

See accompanying notes to financial statements.

24

HC CAPITAL TRUST

The Institutional Growth Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares			Security Description	Value (000)
			Common Stocks (continued)
			Specialty Retail (continued)
	15,267		Bed Bath & Beyond, Inc. (a)	$	737
	23,245		Best Buy Co., Inc.		708
	7,858		Dick’s Sporting Goods, Inc.		278
	8,904		GameStop Corp., Class – A^		250
	20,655		Gap, Inc.		510
	190,571		Industria de Diseno Textil SA, ADR		3,287
	185,030		Lowe’s Cos., Inc.		14,069
	20,500	��	O’Reilly Automotive, Inc. (a)		5,195
	34,917		Ross Stores, Inc.		1,879
	53,335		Staples, Inc.		505
	9,225		The Home Depot, Inc.		1,220
	88,270		The TJX Cos., Inc.		6,259
	9,237		Tiffany & Co.		705
	5,258		Ulta Salon, Cosmetics & Fragrance, Inc. (a)		973
	8,748		Urban Outfitters, Inc. (a)		199
					39,923
			Technology Hardware, Storage & Peripherals — 1.98%
	196,167		Apple, Inc.		20,649
	168,619		EMC Corp.		4,330
	5,154		Lexmark International, Inc., Class – A		167
					25,146
			Textiles, Apparel & Luxury Goods — 2.34%
	22,582		Coach, Inc.		739
	2,462		Deckers Outdoor Corp. (a)		116
	3,624		Fossil Group, Inc. (a)		132
	16,806		Michael Kors Holdings Ltd. (a)		673
	353,174		NIKE, Inc., Class – B		22,073
	4,862		Ralph Lauren Corp.		542
	45,683		Under Armour, Inc., Class – A (a)		3,683
	28,460		V.F. Corp.		1,772
					29,730
			Tobacco — 0.96%
	129,501		Philip Morris International, Inc.		11,384
	17,324		Reynolds American, Inc.		800
					12,184
			Trading Companies & Distributors — 0.18%
	24,356		Fastenal Co.		994
	3,940		MSC Industrial Direct Co., Inc., Class – A		222
	8,822		NOW, Inc. (a)		140
	4,780		W.W. Grainger, Inc.^		968
					2,324
			Total Common Stocks		1,055,881

Shares or Principal Amount (000)		Security Description	Value (000)
		Time Deposit — 1.35%
$	17,197	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16	$	17,197
		Total Time Deposit		17,197
		Mutual Funds — 15.23%
	540,153	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (b)		540
	192,912,392	SSgA Treasury Money Market Fund, 0.00% (c)		192,912
		Total Mutual Funds		193,452
		Repurchase Agreement — 0.13%
$	1,663	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $1,662,646 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $1,695,823)^^		1,663
		Total Repurchase Agreement		1,663
		Total Investments (cost $1,017,855) — 99.84%		1,268,193
		Other assets in excess of liabilities — 0.16%		1,996
		Net Assets — 100.00%	$	1,270,189

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $2,151 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(c) The rate disclosed is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

See accompanying notes to financial statements.

25

HC CAPITAL TRUST

The Institutional Growth Equity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Institutional Growth Equity Portfolio	Jennison Associates, LLC			Mellon Capital Management Corporation			Parametric Portfolio Associates, LLC			Sustainable Growth Advisers, LP			HC Capital Solutions			Total
Common Stocks		13.34	%		43.58	%		—			26.21	%		—			83.13	%
Time Deposit		0.18	%		—			—			1.17	%		—			1.35	%
Mutual Funds		0.02	%		0.26	%		3.44	%		—			11.51	%		15.23	%
Repurchase Agreement		0.05	%		0.08	%		—			—			—			0.13	%
Other Assets (Liabilities)		-0.07	%		-0.06	%		0.36	%		-0.07	%		—			0.16	%
Total Net Assets		13.52	%		43.86	%		3.80	%		27.31	%		11.51	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	355	E-Mini NASDAQ 100 Future	$	32,573		3/18/16	$	(255	)
	496	E-Mini S&P 500 Future		50,478		3/18/16		(135	)
	67	E-Mini S&P Midcap 400 Future		9,336		3/18/16		51
	189	Russell 2000 Mini Index Future		21,385		3/18/16		279
		Net Unrealized Appreciation/(Depreciation)					$	(60	)

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

26

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 85.75%
		Aerospace & Defense — 0.92%
	5	Aerojet Rocketdyne Holdings, Inc. (a)	$	—
	3	Astronics Corp. (a)		—
	2,600	Cubic Corp.		123
	7,040	Curtiss-Wright Corp.		482
	96	Ducommun, Inc. (a)		2
	18,000	Erickson Air-Crane, Inc. (a)		37
	3,179	Esterline Technologies Corp. (a)		257
	3	HEICO Corp.		—
	7	HEICO Corp., Class – A		—
	19	National Presto Industries, Inc.		2
	1	Sparton Corp. (a)		—
	11	TASER International, Inc. (a)		—
	1	Teledyne Technologies, Inc. (a)		—
	41	Triumph Group, Inc.		2
	1	Vectrus, Inc. (a)		—
				905
		Air Freight & Logistics — 0.31%
	49	Atlas Air Worldwide Holdings, Inc. (a)		2
	4	Echo Global Logistics, Inc. (a)		—
	4	Forward Air Corp.		—
	7	Hub Group, Inc., Class – A (a)		—
	1	Park-Ohio Holdings Corp.		—
	3	Radiant Logistics, Inc. (a)		—
	26,932	UTI Worldwide, Inc. (a)		189
	4,167	XPO Logistics, Inc. (a)		114
				305
		Airlines — 2.62%
	2	Allegiant Travel Co.		—
	4,941	American Airlines Group, Inc.		209
	40	Copa Holdings SA, Class – A		2
	2,284	Hawaiian Holdings, Inc. (a)		81
	19,196	JetBlue Airways Corp. (a)		435
	23,813	United Continental Holdings, Inc. (a)		1,365
	3	Virgin America, Inc. (a)		—
	29,912	Volaris Aviation Holding Co., ADR (a)		513
				2,605
		Auto Components — 1.45%
	10	American Axle & Manufacturing Holdings, Inc. (a)		—
	48	Cooper Tire & Rubber Co.		2
	12,558	Dana Holding Corp.		173
	4	Dorman Products, Inc. (a)		—
	4	Drew Industries, Inc.		—
	13,534	Fox Factory Holding Corp. (a)		224
	5,255	Gentherm, Inc. (a)		249
	97	Metaldyne Performance Group, Inc.		2
	7,786	Modine Manufacturing Co. (a)		70
	2	Motorcar Parts of America, Inc. (a)		—
	31,800	Spartan Motors, Inc.		99
	12,630	Stoneridge, Inc. (a)		187
	5,900	Superior Industries, Inc.		109
	7,049	Tenneco, Inc. (a)		324
	68	Tower International, Inc.		2
				1,441

Shares		Security Description	Value (000)
		Automobiles — 0.00%
	3	Winnebago Industries, Inc.	$	—
		Banks — 5.73%
	62	1st Source, Inc.		2
	80	American National Bankshares, Inc.		2
	8,775	Associated Banc-Corp.		165
	143	Banc of California, Inc.		2
	62	Banco Latinoamericano de Comercio Exterior SA, Class – E		2
	6,593	Bank of the Ozarks, Inc.		326
	14,100	BankUnited, Inc.		508
	11,620	Banner Corp.		533
	10,031	BBCN Bancorp, Inc.		173
	1	BNC Bancorp		—
	106	CNB Financial Corp.		2
	21,657	Columbia Banking System, Inc.		703
	57	Community Trust Bancorp, Inc.		2
	4,965	Cullen/Frost Bankers, Inc.		298
	3	Eagle BanCorp, Inc. (a)		—
	89	Fidelity Southern Corp.		2
	72	Financial Institutions, Inc.		2
	588	First Bancorp (a)		2
	107	First Bancorp		2
	79	First Business Financial Services, Inc.		2
	8	First Citizens BancShares, Inc., Class – A		2
	108	First Community Bancshares, Inc.		2
	9	First Financial Bankshares, Inc.		—
	55	First Financial Corp.		2
	67	First Interstate BancSystem, Inc.		2
	8,225	First Midwest BanCorp, Inc.		152
	183	First Niagara Financial Group, Inc.		2
	105	FirstMerit Corp.		2
	66	Great Western Bancorp, Inc.		2
	65	Hancock Holding Co.		2
	50	Heartland Financial USA, Inc.		2
	4	Hilltop Holdings, Inc. (a)		—
	3,783	Home Bancshares, Inc.		153
	77	Horizon Bancorp		2
	131	Independent Bank Corp.		2
	73	International Bancshares Corp.		2
	23,610	Investors Bancorp, Inc.		294
	171	Lakeland Bancorp, Inc.		2
	90	MainSource Financial Group, Inc.		2
	1,300	MB Financial, Inc.		42
	56	National Bankshares, Inc.		2
	13,549	National Penn Bancshares, Inc.		167
	70	NBT Bancorp, Inc.		2
	19,246	PacWest Bancorp		829
	105	Peoples Bancorp, Inc.		2
	7,664	Popular, Inc.		218
	114	Sierra Bancorp		2
	4,610	SVB Financial Group (a)		548
	4,842	Synovus Financial Corp.		157
	7,709	TCF Financial Corp.		109
	119	Triumph Bancorp, Inc. (a)		2
	79	Trustmark Corp.		2

See accompanying notes to financial statements.

27

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Banks (continued)
	96	Univest Corp. of Pennsylvania	$	2
	6,177	Webster Financial Corp.		230
	6	Western Alliance Bancorp (a)		—
				5,669
		Beverages — 0.00%
	9	Castle Brands, Inc. (a)		—
	1	Coca-Cola Bottling Co. Consolidated		—
	1	MGP Ingredients, Inc.		—
	1	National Beverage Corp. (a)		—
	2	The Boston Beer Co., Inc., Class – A (a)		1
				1
		Biotechnology — 2.00%
	1	Abeona Therapeutics, Inc. (a)		—
	662	Acadia Pharmaceuticals, Inc. (a)		24
	3	Acceleron Pharma, Inc. (a)		—
	16	Achillion Pharmaceuticals, Inc. (a)		—
	71	Acorda Therapeutics, Inc. (a)		3
	1	Aduro Biotech, Inc. (a)		—
	4	Advaxis, Inc. (a)		—
	3	Aegerion Pharmaceuticals, Inc. (a)		—
	2	Affimed Therapeutics BV (a)		—
	8	Agenus, Inc. (a)		—
	3	Alder Biopharmaceuticals, Inc. (a)		—
	6	AMAG Pharmaceuticals, Inc. (a)		—
	20	Amicus Therapeutics, Inc. (a)		—
	1,442	Anacor Pharmaceuticals, Inc. (a)		164
	5	Anthera Pharmaceuticals, Inc. (a)		—
	1	Applied Genetic Technologies Corp. (a)		—
	2	Ardelyx, Inc. (a)		—
	32	Arena Pharmaceuticals, Inc. (a)		—
	37	ARIAD Pharmaceuticals, Inc. (a)		—
	15	Array BioPharma, Inc. (a)		—
	5	Arrowhead Research Corp. (a)		—
	1	Asterias Biotherapeutics, Inc. (a)		—
	2,354	Atara Biotherapeutics, Inc. (a)		62
	1	aTyr Pharma, Inc. (a)		—
	3	Avalanche Biotechnologies, Inc. (a)		—
	1	Bellicum Pharmaceuticals, Inc. (a)		—
	8	BioCryst Pharmaceuticals, Inc. (a)		—
	883	BioMarin Pharmaceutical, Inc. (a)		94
	1	BioSpecifics Technologies Corp. (a)		—
	7	BioTime, Inc. (a)		—
	1	Blueprint Medicines Corp. (a)		—
	2	Cara Therapeutics, Inc. (a)		—
	9	Catalyst Pharmaceuticals, Inc. (a)		—
	17	Celldex Therapeutics, Inc. (a)		—
	1	Cellular Biomedicine Group, Inc. (a)		—
	4,840	Cepheid, Inc. (a)		178
	4	ChemoCentryx, Inc. (a)		—
	7	Chimerix, Inc. (a)		—
	1	Cidara Therapeutics, Inc. (a)		—
	4	Clovis Oncology, Inc. (a)		—
	3	Coherus Biosciences, Inc. (a)		—
	2	Concert Pharmaceuticals, Inc. (a)		—

Shares		Security Description	Value (000)
		Biotechnology (continued)
	4	CorMedix, Inc. (a)	$	—
	22	CTI BioPharma Corp. (a)		—
	14	Curis, Inc. (a)		—
	2	Cytokinetics, Inc. (a)		—
	7	CytRx Corp. (a)		—
	2	Dicerna Pharmaceuticals, Inc. (a)		—
	2,815	Dyax Corp. (a)		107
	6	Dynavax Technologies Corp. (a)		—
	1	Eagle Pharmaceuticals, Inc. (a)		—
	68	Emergent BioSolutions, Inc. (a)		3
	2	Enanta Pharmaceuticals, Inc. (a)		—
	4	Epizyme, Inc. (a)		—
	2	Esperion Therapeutics, Inc. (a)		—
	17	Exact Sciences Corp. (a)		—
	28	Exelixis, Inc. (a)		—
	3	Fibrocell Science, Inc. (a)		—
	11	Fibrogen, Inc. (a)		—
	3	Five Prime Therapeutics, Inc. (a)		—
	2	Flexion Therapeutics, Inc. (a)		—
	2	Foundation Medicine, Inc. (a)		—
	21	Galena Biopharma, Inc. (a)		—
	2	Genocea Biosciences, Inc. (a)		—
	7	Genomic Health, Inc. (a)		—
	19	Geron Corp. (a)		—
	19	Halozyme Therapeutics, Inc. (a)		—
	3	Heron Therapeutics, Inc. (a)		—
	10	Idera Pharmaceuticals, Inc. (a)		—
	1	Ignyta, Inc. (a)		—
	1	Immune Design Corp. (a)		—
	18	ImmunoGen, Inc. (a)		—
	12	Immunomedics, Inc. (a)		—
	6	Infinity Pharmaceuticals, Inc. (a)		—
	8	Inovio Pharmaceuticals, Inc. (a)		—
	12	Insmed, Inc. (a)		—
	3	Insys Therapeutics, Inc. (a)		—
	2,600	Intrexon Corp.^		78
	1	Invitae Corp. (a)		—
	29	Ironwood Pharmaceuticals, Inc. (a)		—
	3	Karyopharm Therapeutics, Inc. (a)		—
	14	Keryx Biopharmaceuticals, Inc. (a)		—
	22,400	Kindred Biosciences, Inc. (a)		76
	1,411	Kite Pharma, Inc. (a)		87
	2	La Jolla Pharmaceutical Co. (a)		—
	3	Lexicon Pharmaceuticals, Inc. (a)		—
	3	Ligand Pharmaceuticals, Inc., Class – B (a)		—
	6	Lion Biotechnologies, Inc. (a)		—
	4	MacroGenics, Inc. (a)		—
	57	MannKind Corp. (a)		—
	2	Medgenics, Inc. (a)		—
	1,058	Medivation, Inc. (a)		51
	14	Merrimack Pharmaceuticals, Inc. (a)		—
	23	MiMedx Group, Inc. (a)		—
	1	Mirati Therapeutics, Inc. (a)		—
	13	Momenta Pharmaceuticals, Inc. (a)		—
	5,089	Myriad Genetics, Inc. (a)		221

See accompanying notes to financial statements.

28

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Biotechnology (continued)
	19	Navidea Biopharmaceuticals, Inc. (a)	$	—
	2,765	Neurocrine Biosciences, Inc. (a)		157
	3	NewLink Genetics Corp. (a)		—
	6	Northwest Biotherapeutics, Inc. (a)		—
	45	Novavax, Inc. (a)		—
	4	Ocata Therapeutics, Inc. (a)		—
	2	OncoMed Pharmaceuticals, Inc. (a)		—
	15	Oncothyreon, Inc. (a)		—
	1,360	Ophthotech Corp. (a)		108
	14	Orexigen Therapeutics, Inc. (a)		—
	11	Organovo Holdings, Inc. (a)		—
	2	Osiris Therapeutics, Inc.		—
	2	Otonomy, Inc. (a)		—
	3	OvaScience, Inc. (a)		—
	635	PDL BioPharma, Inc.		2
	26	Peregrine Pharmaceuticals, Inc. (a)		—
	2	Pfenex, Inc. (a)		—
	2,988	Portola Pharmaceuticals, Inc. (a)		155
	9	Progenics Pharmaceuticals, Inc. (a)		—
	1	Proteon Therapeutics, Inc. (a)		—
	6	Prothena Corp. PLC (a)		—
	6	PTC Therapeutics, Inc. (a)		—
	6	Radius Health, Inc. (a)		—
	11	Raptor Pharmaceuticals Corp. (a)		—
	4	Regulus Therapeutics, Inc. (a)		—
	7	Repligen Corp. (a)		—
	5	Retrophin, Inc. (a)		—
	9	Rigel Pharmaceuticals, Inc. (a)		—
	2	Sage Therapeutics, Inc. (a)		—
	5,994	Sangamo BioSciences, Inc. (a)		55
	9	Sarepta Therapeutics, Inc. (a)		—
	3,975	Seattle Genetics, Inc. (a)		179
	2	Seres Therapeutics, Inc. (a)		—
	4	Sorrento Therapeutics, Inc. (a)		—
	1	Spark Therapeutics, Inc. (a)		—
	2	Spectrum Pharmaceuticals, Inc. (a)		—
	13	Synergy Pharmaceuticals, Inc. (a)		—
	12	Synta Pharmaceuticals Corp. (a)		—
	1	T2 Biosystems, Inc. (a)		—
	5	Tesaro, Inc. (a)		—
	5	TG Therapeutics, Inc. (a)		—
	9	Threshold Pharmaceuticals, Inc. (a)		—
	1	Tokai Pharmaceuticals, Inc. (a)		—
	3	Trevena, Inc. (a)		—
	3	Trovagene, Inc. (a)		—
	1,321	Ultragenyx Pharmaceutical, Inc. (a)		149
	4	Vanda Pharmaceuticals, Inc. (a)		—
	1	Verastem, Inc. (a)		—
	56,700	Vical, Inc. (a)		23
	2	Vitae Pharmaceuticals, Inc. (a)		—
	2	Vital Therapies, Inc. (a)		—
	1	XBiotech, Inc. (a)		—
	4	Xencor, Inc. (a)		—
	10	XOMA Corp. (a)		—

Shares		Security Description	Value (000)
		Biotechnology (continued)
	2	Zafgen, Inc. (a)	$	—
	25	ZIOPHARM Oncology, Inc. (a)		—
				1,976
		Building Products — 1.59%
	10	AAON, Inc.		—
	8	Advanced Drainage Systems, Inc.		—
	2	American Woodmark Corp. (a)		—
	6	Apogee Enterprises, Inc.		—
	3,070	Armstrong World Industries, Inc. (a)		140
	6	Builders FirstSource, Inc. (a)		—
	6,118	CaesarStone Sdot Yam Ltd. (a)		265
	4	Continental Building Products, Inc. (a)		—
	1,400	CSW Industrials, Inc. (a)		53
	7,091	Gibraltar Industries, Inc. (a)		181
	1	Griffon Corp.		—
	9	Insteel Industries, Inc.		—
	1,789	Lennox International, Inc.		224
	2,707	Masonite International Corp. (a)		166
	4	NCI Building Systems, Inc. (a)		—
	1	Nortek, Inc. (a)		—
	2	Patrick Industries, Inc. (a)		—
	14	PGT, Inc. (a)		—
	3	Ply Gem Holdings, Inc. (a)		—
	1,500	Simpson Manufacturing Co., Inc.		51
	3,545	Trex Co., Inc. (a)		135
	5,076	Universal Forest Products, Inc.		348
				1,563
		Capital Markets — 1.70%
	2,376	Artisan Partners Asset Management, Inc.		86
	1	Associated Capital Group, Inc., A (a)		—
	31	BGC Partners, Inc., Class – A		—
	222	Calamos Asset Management, Inc., Class – A		2
	4,000	Capital Southwest Corp.		56
	3	Cohen & Steers, Inc.		—
	52,601	Cowen Group, Inc. (a)		201
	5,620	E*Trade Financial Corp. (a)		167
	7	Evercore Partners, Inc., Class – A		—
	1	Fifth Street Asset Management, Inc.		—
	10	Financial Engines, Inc.		—
	1	GAMCO Investors, Inc., Class – A		—
	2,294	Greenhill & Co., Inc.		66
	8	HFF, Inc., Class – A		—
	87	Houlihan Lokey, Inc.		2
	8,135	Interactive Brokers Group, Inc., Class – A		356
	1	International Fcstone, Inc. (a)		—
	1	Investment Technology Group, Inc.		—
	2	Janus Capital Group, Inc.		—
	1	KCG Holdings, Inc. (a)		—
	4	Ladenburg Thalmann Financial Services, Inc. (a)		—
	2,719	LPL Financial Holdings, Inc.^		116
	1	Medley Management, Inc., Class – A		—
	2	Moelis & Co., Class – A		—
	3	Om Asset Management PLC		—
	124	Oppenheimer Holdings, Inc., Class – A		2
	2	Pzena Investment Management, Inc.		—

See accompanying notes to financial statements.

29

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Capital Markets (continued)
	3,911	Raymond James Financial, Inc.	$	227
	8,224	Stifel Financial Corp. (a)		348
	3	Virtu Financial, Inc., Class – A		—
	3	Westwood Holdings Group, Inc.		—
	3,288	WisdomTree Investments, Inc.		52
				1,681
		Chemicals — 2.25%
	61	A. Schulman, Inc.		2
	2,731	Albemarle Corp.		153
	103	Axiall Corp.		2
	1,120	Balchem Corp.		68
	3,591	Cabot Corp.		147
	4	Calgon Carbon Corp.		—
	1	Chase Corp.		—
	14	Chemtura Corp. (a)		—
	1	Core Molding Technologies, Inc. (a)		—
	10	Ferro Corp. (a)		—
	5,078	FMC Corp.		199
	131	FutureFuel Corp.		2
	7	H.B. Fuller Co.		—
	158	Huntsman Corp.		2
	56	Innophos Holdings, Inc.		2
	1	KMG Chemicals, Inc.		—
	79	Koppers Holdings, Inc. (a)		1
	13,172	Kraton Performance Polymers, Inc. (a)		219
	297	Kronos Worldwide, Inc.		2
	1	LSB Industries, Inc. (a)		—
	4,353	Methanex Corp.		144
	6	Minerals Technologies, Inc.		—
	1,211	NewMarket Corp.		460
	12	Olin Corp.		—
	4	Omnova Solutions, Inc. (a)		—
	7,176	PolyOne Corp.		228
	2	Quaker Chemical Corp.		—
	28,403	Rentech, Inc. (a)		100
	6	Senomyx, Inc. (a)		—
	6,535	Sensient Technologies Corp.		411
	35	Stepan Co.		2
	3	Trecora Resources (a)		—
	1	Tredegar Industries, Inc.		—
	2	Trinseo SA (a)		—
	18,659	Tronox Ltd., Class – A		73
	1	Valhi, Inc.		—
				2,217
		Commercial Services & Supplies — 1.30%
	2,710	ABM Industries, Inc.		77
	210	ACCO Brands Corp. (a)		1
	19,158	ARC Document Solutions, Inc. (a)		85
	4,325	Brady Corp.		99
	2	Casella Waste Systems, Inc. (a)		—
	31	Deluxe Corp.		2
	84	Ennis, Inc.		2
	5,449	Essendant, Inc.		178
	2	G & K Services, Inc., Class – A		—

Shares		Security Description	Value (000)
		Commercial Services & Supplies (continued)
	13	Healthcare Services Group, Inc.	$	—
	10	Herman Miller, Inc.		—
	8	HNI Corp.		—
	2	InnerWorkings, Inc. (a)		—
	9	Interface, Inc.		—
	4,704	KAR Auction Services, Inc.		174
	2	Kimball International, Inc., Class – B		—
	6	Knoll, Inc.		—
	1,525	Matthews International Corp., Class – A		82
	57	McGrath RentCorp		1
	1	Mobile Mini, Inc.		—
	4	MSA Safety, Inc.		—
	5,212	Multi-Color Corp.		313
	175	Quad Graphics, Inc.		2
	95	R.R. Donnelley & Sons Co.		1
	2	SP Plus Corp. (a)		—
	97	Steelcase, Inc., Class – A		1
	1,803	Team, Inc. (a)		58
	5,405	Tetra Tech, Inc.		141
	2,410	The Brink’s Co.		70
	14	UniFirst Corp.		1
	3	US Ecology, Inc.		—
	68	West Corp.		1
				1,289
		Communications Equipment — 0.70%
	3	Aerohive Networks, Inc. (a)		—
	2	Alliance Fiber Optic Products, Inc. (a)		—
	2	Applied Optoelectronics, Inc. (a)		—
	83	BEL Fuse, Inc., Class – B		1
	149	Black Box Corp.		1
	167	Brocade Communications Systems, Inc.		2
	5	CalAmp Corp. (a)		—
	21	Ciena Corp. (a)		—
	7	Clearfield, Inc. (a)		—
	75	Comtech Telecommunications Corp.		2
	35	EchoStar Corp., Class – A (a)		1
	3	Extreme Networks, Inc. (a)		—
	2	Harmonic, Inc. (a)		—
	15,853	Infinera Corp. (a)		288
	6	InterDigital, Inc.		—
	17	Ixia (a)		—
	2	KVH Industries, Inc. (a)		—
	9	NetScout Systems, Inc. (a)		—
	4	Novatel Wireless, Inc. (a)		—
	24,800	PC-Telephone, Inc.		113
	7	Plantronics, Inc.		—
	10	Ruckus Wireless, Inc. (a)		—
	32,037	ShoreTel, Inc. (a)		285
	4	Ubiquiti Networks, Inc. (a)		—
	7	ViaSat, Inc. (a)		—
				693
		Construction & Engineering — 0.48%
	2	Argan, Inc.		—
	5	Comfort Systems USA, Inc.		—
	5	Dycom Industries, Inc. (a)		—

See accompanying notes to financial statements.

30

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Construction & Engineering (continued)
	13,305	Furmanite Corp. (a)	$	89
	1	Great Lakes Dredge & Dock Co. (a)		—
	2	HC2 Holdings, Inc. (a)		—
	14,582	MasTec, Inc. (a)		253
	78	MYR Group, Inc. (a)		2
	1	NV5 Holdings, Inc. (a)		—
	3,347	Primoris Services Corp.		74
	3,403	Tutor Perini Corp. (a)		57
				475
		Construction Materials — 0.55%
	4,623	Eagle Materials, Inc.		280
	6,638	Headwaters, Inc. (a)		112
	1,079	Martin Marietta Materials, Inc.		147
	8	Summit Materials, Inc., Class – A (a)		—
	2	U.S. Concrete, Inc. (a)		—
				539
		Consumer Finance — 0.16%
	1	Encore Capital Group, Inc. (a)		—
	3	Enova International, Inc. (a)		—
	6	First Cash Financial Services, Inc. (a)		—
	9,288	Green Dot Corp., Class – A (a)		153
	63	Nelnet, Inc., Class – A		2
	8	PRA Group, Inc. (a)		—
	121	Santander Consumer USA Holdings, Inc. (a)		2
	1	World Acceptance Corp. (a)		—
				157
		Containers & Packaging — 1.11%
	1	AEP Industries, Inc. (a)		—
	6,711	AptarGroup, Inc.		488
	16,702	Berry Plastics Group, Inc. (a)		604
	52	Greif, Inc., Class – A		2
	3	Myers Industries, Inc.		—
				1,094
		Distributors — 0.00%
	2	Core-Mark Holding Co., Inc.		—
	1	Fenix Parts, Inc. (a)		—
	8	Pool Corp.		1
				1
		Diversified Consumer Services — 0.28%
	5,833	2U, Inc. (a)		164
	105	American Public Education, Inc. (a)		2
	6	Bright Horizons Family Solutions, Inc. (a)		—
	45	Capella Education Co.		2
	27,983	Career Education Corp. (a)		103
	4	Chegg, Inc. (a)		—
	1	Collectors Universe, Inc.		—
	93	DeVry Education Group, Inc.		2
	4	Graham Holdings Co.		2
	9	Grand Canyon Education, Inc. (a)		—
	1	Houghton Mifflin Harcourt Co. (a)		—
	1	Liberty Tax, Inc.		—
	13	LifeLock, Inc. (a)		—
	11	Sotheby’s		—

Shares		Security Description	Value (000)
		Diversified Consumer Services (continued)
	39	Strayer Education, Inc. (a)	$	2
	3	Weight Watchers International, Inc. (a)		—
				277
		Diversified Financial Services — 0.13%
	267	Gain Capital Holdings, Inc.		2
	7,009	Leucadia National Corp.		121
	6	MarketAxess Holdings, Inc.		1
	99	Marlin Business Services Corp.		2
	2	On Deck Capital, Inc. (a)		—
				126
		Diversified Telecommunication Services — 0.78%
	4	8x8, Inc. (a)		—
	13,670	Cogent Communications Group, Inc.		475
	4	Consolidated Communications Holdings, Inc.		—
	3	FairPoint Communications, Inc. (a)		—
	5	General Communication, Inc., Class – A (a)		—
	46	Hawaiian Telcom Holdco, Inc. (a)		1
	119	IDT Corp.		1
	7	inContact, Inc. (a)		—
	2	Inteliquent, Inc.		—
	1	Intelsat SA (a)		—
	136	Iridium Communications, Inc. (a)		1
	3	Lumos Networks Corp. (a)		—
	41,000	ORBCOMM, Inc. (a)		297
	1	pdvWireless, Inc. (a)		—
	1	Straight Path Communications, Inc., Class – B (a)		—
	3	Vonage Holdings Corp. (a)		—
	11	Windstream Holdings, Inc.		—
				775
		Electric Utilities — 0.41%
	10,214	El Paso Electric Co.		392
	84	PNM Resources, Inc.		3
	66	Portland General Electric Co.		2
	126	Spark Energy, Inc., Class – A		3
	105	The Empire District Electric Co.		3
	70	Unitil Corp.		3
				406
		Electrical Equipment — 1.51%
	2,410	Acuity Brands, Inc.		564
	1	Allied Motion Technologies, Inc.		—
	3,095	AZZ, Inc.		172
	11,800	Broadwind Energy, Inc. (a)		25
	2,665	Encore Wire Corp.		99
	2,715	EnerSys		152
	4	Enphase Energy, Inc. (a)		—
	6	Franklin Electric Co., Inc.		—
	1	FuelCell Energy, Inc. (a)		—
	8,408	Generac Holdings, Inc. (a)		250
	10,728	General Cable Corp.		144
	37,400	Orion Energy Systems, Inc. (a)		81
	13	Plug Power, Inc. (a)		—
	1	Power Solutions International, Inc. (a)		—
	1	PowerSecure International, Inc. (a)		—

See accompanying notes to financial statements.

31

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Electrical Equipment (continued)
	35	Preformed Line Products Co.	$	1
	25	Regal-Beloit Corp.		1
	2	Thermon Group Holdings, Inc. (a)		—
	2	Vicor Corp. (a)		—
				1,489
		Electronic Equipment, Instruments & Components — 3.29%
	126	AVX Corp.		2
	2	Badger Meter, Inc.		—
	6,728	Belden, Inc.		322
	71	Benchmark Electronics, Inc. (a)		1
	15,262	Control4 Corp. (a)		111
	2	Daktronics, Inc.		—
	45	Dolby Laboratories, Inc., Class – A		2
	10,605	DTS, Inc. (a)		239
	10,853	Electro Rent Corp.		100
	11,400	Electro Scientific Industries, Inc. (a)		59
	15	ePlus, Inc. (a)		1
	67	Fabrinet (a)		2
	1	FARO Technologies, Inc. (a)		—
	7	FEI Co.		1
	23,377	Flextronics International Ltd. (a)		262
	5,783	Insight Enterprises, Inc. (a)		145
	19	InvenSense, Inc. (a)		—
	2,325	IPG Photonics Corp. (a)		207
	7,163	Itron, Inc. (a)		259
	9,651	Jabil Circuit, Inc.		225
	140	Kimball Electronics, Inc. (a)		2
	2,699	Littelfuse, Inc.		289
	53	Methode Electronics, Inc.		2
	2	MTS Systems Corp.		—
	3	Newport Corp. (a)		—
	1	OSI Systems, Inc. (a)		—
	64	PC Connection, Inc.		1
	43	Plexus Corp. (a)		2
	5	RealD, Inc. (a)		—
	4,826	Rogers Corp. (a)		249
	71	Sanmina Corp. (a)		1
	16	SYNNEX Corp.		1
	2,522	Tech Data Corp. (a)		167
	15,999	Trimble Navigation Ltd. (a)		344
	173	TTM Technologies, Inc. (a)		1
	4,531	Universal Display Corp. (a)		247
	124	Vishay Intertechnology, Inc.		1
				3,245
		Energy Equipment & Services — 0.84%
	95	Atwood Oceanics, Inc.		1
	3,500	Bristow Group, Inc.		91
	65	Diamond Offshore Drilling, Inc.		1
	2,249	Dril-Quip, Inc. (a)		133
	89	Ensco PLC, ADR		2
	88	Exterran Corp. (a)		1
	8	Fairmount Santrol Holdings, Inc. (a)		—
	10,200	Gulf Island Fabrication, Inc.		107

Shares		Security Description	Value (000)
		Energy Equipment & Services (continued)
	3	ION Geophysical Corp. (a)	$	—
	30,125	Key Energy Services, Inc. (a)		15
	42,249	McDermott International, Inc. (a)		141
	11,300	Mitcham Industries, Inc. (a)		34
	109	Noble Corp. PLC		1
	67	PHI, Inc. (a)		1
	2	RigNet, Inc. (a)		—
	21,912	Superior Energy Services, Inc.		295
	13	US Silica Holdings, Inc.		—
				823
		Food & Staples Retailing — 1.03%
	8,413	Casey’s General Stores, Inc.		1,014
	2	Chefs’ Warehouse Holdings LLC (a)		—
	2	Fairway Group Holdings Corp. (a)		—
	37	Ingles Markets, Inc., Class – A		2
	1	Natural Grocers by Vitamin Cottage, Inc. (a)		—
	3	PriceSmart, Inc.		—
	94	SpartanNash Co.		2
	6	The Fresh Market, Inc. (a)		—
	9	United Natural Foods, Inc. (a)		—
	78	Village Super Market, Inc., Class – A		2
				1,020
		Food Products — 0.58%
	6,061	Amplify Snack Brands, Inc.^(a)		70
	11	B&G Foods, Inc., Class – A		—
	7	Boulder Brands, Inc. (a)		—
	2	Calavo Growers, Inc.		—
	48	Cal-Maine Foods, Inc.		2
	6	Dean Foods Co.		—
	3	Diamond Foods, Inc. (a)		—
	1	Farmer Brothers Co. (a)		—
	48	Fresh Del Monte Produce, Inc.		1
	3	Freshpet, Inc.^(a)		—
	3	Inventure Foods, Inc. (a)		—
	3,092	J&J Snack Foods Corp.		362
	36	John B Sanfilippo & Son, Inc.		2
	2	Lancaster Colony Corp.		—
	10,801	Landec Corp. (a)		128
	1	Lifeway Foods, Inc. (a)		—
	2	Limoneira Co.		—
	90	Omega Protein Corp. (a)		2
	26	Sanderson Farms, Inc.		2
	1	Seaboard Corp. (a)		3
	1	Tootsie Roll Industries, Inc.		—
				572
		Gas Utilities — 0.85%
	44	Southwest Gas Corp.		2
	24,717	UGI Corp.		835
				837
		Health Care Equipment & Supplies — 6.34%
	3	Abaxis, Inc.		—
	8,138	Abiomed, Inc. (a)		736
	10	Accuray, Inc. (a)		—
	2	Anika Therapeutics, Inc. (a)		—

See accompanying notes to financial statements.

32

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Health Care Equipment & Supplies (continued)
	20	Antares Pharma, Inc. (a)	$	—
	3	AtriCure, Inc. (a)		—
	2,895	Cantel Medical Corp.		180
	4	Cardiovascular Systems, Inc. (a)		—
	11	Cerus Corp. (a)		—
	3	Corindus Vascular Robotics, Inc., Class – I (a)		—
	1	Cutera, Inc. (a)		—
	3	Cynosure, Inc. (a)		—
	11,096	DexCom, Inc. (a)		910
	3,208	Edwards Lifesciences Corp. (a)		253
	18	Endologix, Inc. (a)		—
	1	Entellus Medical, Inc. (a)		—
	93	Exactech, Inc. (a)		2
	6	GenMark Diagnostics, Inc. (a)		—
	13	Globus Medical, Inc. (a)		—
	3	Haemonetics Corp. (a)		—
	56	Halyard Health, Inc. (a)		2
	4,771	HeartWare International, Inc. (a)		240
	2	ICU Medical, Inc. (a)		—
	2	Inogen, Inc. (a)		—
	13,477	Insulet Corp. (a)		510
	2,213	Integra LifeSciences Holdings Corp. (a)		150
	4	InVivo Therapeutics Holdings Corp. (a)		—
	2	K2M Group Holdings, Inc. (a)		—
	2,491	LDR Holding Corp. (a)		63
	1	LeMaitre Vascular, Inc.		—
	5	LivaNova PLC (a)		—
	9	Masimo Corp. (a)		—
	5	Meridian Bioscience, Inc.		—
	5	Natus Medical, Inc. (a)		—
	6,816	Neogen Corp. (a)		385
	9,594	Nevro Corp. (a)		649
	8	NuVasive, Inc. (a)		—
	17	NxStage Medical, Inc. (a)		—
	1	OraSure Technologies, Inc. (a)		—
	3	Oxford Immunotec Global PLC (a)		—
	2	Quidel Corp. (a)		—
	6	Rockwell Medical Technologies, Inc. (a)		—
	6	RTI Surgical, Inc. (a)		—
	2	Second Sight Medical Products, Inc. (a)		—
	1	Sientra, Inc. (a)		—
	5	STAAR Surgical Co. (a)		—
	9,494	STERIS PLC		716
	13,791	Tandem Diabetes Care, Inc. (a)		163
	3,078	The Cooper Cos., Inc.		413
	6	The Spectranetics Corp. (a)		—
	13	Unilife Corp. (a)		—
	2	Vascular Solutions, Inc. (a)		—
	2	Veracyte, Inc. (a)		—
	10,487	West Pharmaceutical Services, Inc.		632
	11	Wright Medical Group NV (a)		—
	9,231	Zeltiq Aesthetics, Inc. (a)		263
				6,267

Shares		Security Description	Value (000)
		Health Care Providers & Services — 2.40%
	1	AAC Holdings, Inc. (a)	$	—
	13,422	Acadia Healthcare Co., Inc. (a)		839
	75	Aceto Corp.		2
	1	Adeptus Health, Inc., Class – A (a)		—
	51	Air Methods Corp. (a)		2
	46	Almost Family, Inc. (a)		2
	3	Amedisys, Inc. (a)		—
	10	AMN Healthcare Services, Inc. (a)		—
	2	AmSurg Corp. (a)		—
	4	Biotelemetry, Inc. (a)		—
	4	Capital Senior Living Corp. (a)		—
	15	Chemed Corp.		2
	2	Civitas Solutions, Inc. (a)		—
	66	Community Health Systems, Inc. (a)		2
	1	CorVel Corp. (a)		—
	3	Cross Country Healthcare, Inc. (a)		—
	6,808	Diplomat Pharmacy, Inc. (a)		233
	5	ExamWorks Group, Inc. (a)		—
	551	Five Star Quality Care, Inc. (a)		2
	2	Genesis Healthcare, Inc. (a)		—
	5	HealthEquity, Inc. (a)		—
	68	HealthSouth Corp.		2
	144	Kindred Healthcare, Inc.		2
	4	Landauer, Inc.		—
	41	LHC Group, Inc. (a)		2
	8,167	LifePoint Hospitals, Inc. (a)		599
	35	Magellan Health Services, Inc. (a)		2
	3,974	MEDNAX, Inc. (a)		285
	33	Molina Heathcare, Inc. (a)		2
	30	National Healthcare Corp.		2
	1	National Research Corp., Class – A		—
	4	Nobilis Health Corp. (a)		—
	5,201	Owens & Minor, Inc.		187
	40	Patterson Cos., Inc.		2
	41	Providence Service Corp. (a)		2
	5	RadNet, Inc. (a)		—
	161	Select Medical Holdings Corp.		2
	54	Surgical Care Affiliates, Inc. (a)		2
	12	Team Health Holdings, Inc. (a)		1
	58	Tenet Healthcare Corp. (a)		2
	80	The Ensign Group, Inc.		2
	8,045	Triple-S Management Corp., Class – A (a)		192
	2	Trupanion, Inc. (a)		—
	2	U.S. Physical Therapy, Inc.		—
	30	WellCare Health Plans, Inc. (a)		2
				2,374
		Health Care Technology — 1.01%
	8,339	Allscripts Healthcare Solutions, Inc. (a)		128
	4	Castlight Health, Inc., Class – B (a)		—
	1	Computer Programs & Systems, Inc.		—
	1	Connecture, Inc. (a)		—
	7	HealthStream, Inc. (a)		—
	12	HMS Holdings Corp. (a)		—
	1	Imprivata, Inc. (a)		—
	92	Inovalon Holdings, Inc., Class – A (a)		2

See accompanying notes to financial statements.

33

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Health Care Technology (continued)
	8	MedAssets, Inc. (a)	$	—
	11,136	Medidata Solutions, Inc. (a)		550
	10,312	Omnicell, Inc. (a)		320
	1	Press Ganey Holdings, Inc. (a)		—
	7	Quality Systems, Inc.		—
	2	Vocera Communications, Inc. (a)		—
				1,000
		Hotels, Restaurants & Leisure — 2.73%
	3	BJ’s Restaurant, Inc. (a)		—
	155	Bloomin’ Brands, Inc.		3
	1	Bojangles’, Inc. (a)		—
	18	Boyd Gaming Corp. (a)		—
	233	Bravo Brio Restaurant Group, Inc. (a)		2
	4,190	Buffalo Wild Wings, Inc. (a)		670
	15	Carrols Restaurant Group, Inc. (a)		—
	33,100	Century Casinos, Inc. (a)		259
	2	Churchill Downs, Inc.		—
	3,412	Chuy’s Holdings, Inc. (a)		107
	8,605	ClubCorp Holdings, Inc.		157
	3	Cracker Barrel Old Country Store, Inc.		—
	3	Dave & Buster’s Entertainment, Inc. (a)		—
	8	Denny’s Corp. (a)		—
	6,015	Diamond Resorts International, Inc. (a)		153
	3	DineEquity, Inc.		—
	2	El Pollo Loco Holdings, Inc. (a)		—
	2	Eldorado Resorts, Inc. (a)		—
	4	Fiesta Restaurant Group, Inc. (a)		—
	46	Hyatt Hotels Corp., Class – A (a)		2
	3,066	International Speedway Corp., Class – A		103
	146	Interval Leisure Group, Inc.		2
	3	Isle of Capri Casino (a)		—
	6	Jack in the Box, Inc.		—
	2	Jamba, Inc. (a)		—
	1	Kona Grill, Inc. (a)		—
	9	Krispy Kreme Doughnuts, Inc. (a)		—
	12	La Quinta Holdings, Inc. (a)		—
	113	Marcus Corp.		2
	2	Marriott Vacations Worldwide Corp.		—
	1	Morgans Hotel Group Co. (a)		—
	1	Noodles & Co. (a)		—
	4	Papa John’s International, Inc.		—
	1	Papa Murphy’s Holdings, Inc. (a)		—
	1	Penn National Gaming, Inc. (a)		—
	9	Pinnacle Entertainment, Inc. (a)		—
	5	Popeyes Louisiana Kitchen, Inc. (a)		—
	3	Potbelly Corp. (a)		—
	2	Red Robin Gourmet Burgers, Inc. (a)		—
	30,490	Ruby Tuesday, Inc. (a)		169
	3	Ruth’s Hospitality Group, Inc.		—
	7	Scientific Games Corp., Class – A (a)		—
	129	SeaWorld Entertainment, Inc.		3
	561	Shake Shack, Inc., Class – A (a)		22
	5	Sonic Corp.		—
	101	Speedway Motorsports, Inc.		2

Shares		Security Description	Value (000)
		Hotels, Restaurants & Leisure (continued)
	5,824	Texas Roadhouse, Inc., Class – A	$	209
	8	The Cheesecake Factory, Inc.		—
	2	The Habit Restaurants, Inc. (a)		—
	6,045	Vail Resorts, Inc.		775
	2,023	Zoe’s Kitchen, Inc. (a)		57
				2,697
		Household Durables — 0.83%
	1	Bassett Furniture Industries, Inc.		—
	1,131	CalAtlantic Group, Inc.		43
	1	Cavco Industries, Inc. (a)		—
	64	CSS Industries, Inc.		2
	38	Flexsteel Industries, Inc.		2
	2,835	Harman International Industries, Inc.		267
	2,622	Helen of Troy Ltd. (a)		247
	3	Installed Building Products, Inc. (a)		—
	2	iRobot Corp. (a)		—
	4	La-Z-Boy, Inc.		—
	9,024	Libbey, Inc.		192
	133	Lifetime Brands, Inc.		2
	1	M/I Homes, Inc. (a)		—
	2	MDC Holdings, Inc.		—
	3,001	Skullcandy, Inc. (a)		14
	1	TRI Pointe Homes, Inc. (a)		—
	919	Universal Electronics, Inc. (a)		47
	4	Zagg, Inc. (a)		—
				816
		Household Products — 0.00%
	54	Central Garden & Pet Co., Class – A (a)		1
	5	HRG Group, Inc. (a)		—
	2	WD-40 Co.		—
				1
		Independent Power and Renewable Electricity Producers — 0.01%
	226	NRG Energy, Inc., Class – C		3
	182	NRG Yield, Inc., Class – C		2
	2	Ormat Technologies, Inc.		—
	2	Vivint Solar, Inc. (a)		—
				5
		Industrial Conglomerates — 0.10%
	1,138	Carlisle Cos., Inc.		101
	2	Raven Industries, Inc.		—
				101
		Insurance — 3.47%
	532	Alleghany Corp. (a)		254
	1	Ambac Financial Group, Inc. (a)		—
	69	American Equity Investment Life Holding Co.		2
	12,089	American Financial Group, Inc.		872
	17	American National Insurance Co.		2
	9,509	Argo Group International Holdings Ltd.		570
	3,012	Aspen Insurance Holdings Ltd.		145
	73	Assured Guaranty Ltd.		2
	1	Atlas Financial Holdings, Inc. (a)		—
	1	Crawford & Co.		—
	2	eHealth, Inc. (a)		—

See accompanying notes to financial statements.

34

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Insurance (continued)
	74	EMC Insurance Group, Inc.	$	2
	3	Employers Holdings, Inc.		—
	6,670	Endurance Specialty Holdings Ltd.		427
	1,495	Everest Re Group Ltd.		274
	3,100	First American Financial Corp.		111
	7,325	Genworth Financial, Inc., Class – A (a)		27
	155	Hallmark Financial Services, Inc. (a)		2
	52	HCI Group, Inc.		2
	2	Heritage Insurance Holdings, Inc.		—
	115	Maiden Holdings Ltd.		2
	7	National Western Life Group, Inc., Class – A		2
	1	Patriot National, Inc. (a)		—
	1,081	Primerica, Inc.		51
	2,150	StanCorp Financial Group, Inc.		245
	6,840	Stewart Information Services Corp.		255
	1	Third Point Reinsurance Ltd. (a)		—
	4	Universal Insurance Holdings, Inc.		—
	3,277	W.R. Berkley Corp.		179
				3,426
		Internet & Catalog Retail — 0.50%
	188	1-800-FLOWERS.COM, Inc., Class – A (a)		1
	2	Blue Nile, Inc. (a)		—
	3	Etsy, Inc. (a)		—
	16,200	Gaiam, Inc., Class – A (a)		101
	6	HSN, Inc.		—
	3	Liberty TripAdvisor Holdings, Inc., Class – A (a)		—
	4	NutriSystem, Inc.		—
	2	Overstock.com, Inc. (a)		—
	3	PetMed Express, Inc.		—
	6	Shutterfly, Inc. (a)		—
	8,182	Wayfair, Inc., Class – A (a)		391
				493
		Internet Software & Services — 2.50%
	2,121	Akamai Technologies, Inc. (a)		112
	2	Amber Road, Inc. (a)		—
	6	Angie’s List, Inc. (a)		—
	1	Apigee Corp. (a)		—
	139	Bankrate, Inc. (a)		2
	4	Bazaarvoice, Inc. (a)		—
	1	Benefitfocus, Inc. (a)		—
	194	Blucora, Inc. (a)		2
	2	Box, Inc., Class – A (a)		—
	27,434	Brightcove, Inc. (a)		170
	2	Carbonite, Inc. (a)		—
	3	ChannelAdvisor Corp. (a)		—
	6	Cimpress NV (a)		—
	5	comScore, Inc. (a)		—
	4	Constant Contact, Inc. (a)		—
	9	Cornerstone OnDemand, Inc. (a)		—
	6,598	Cvent, Inc. (a)		231
	6	Demandware, Inc. (a)		—
	220	DHI Group, Inc. (a)		2
	282	EarthLink Holdings Corp.		2
	8	Endurance International Group Holdings, Inc. (a)		—

Shares		Security Description	Value (000)
		Internet Software & Services (continued)
	4,506	Envestnet, Inc. (a)	$	135
	3	Everyday Health, Inc. (a)		—
	3	Five9, Inc. (a)		—
	3,345	GoDaddy, Inc., Class – A (a)		107
	17,561	Gogo, Inc.^ (a)		314
	14	GrubHub, Inc. (a)		—
	3	GTT Communications, Inc. (a)		—
	8,466	Hortonworks, Inc. (a)		185
	20	Internap Network Services Corp. (a)		—
	3	Intralinks Holdings, Inc. (a)		—
	32	j2 Global, Inc.		3
	7	LivePerson, Inc. (a)		—
	3,721	LogMeln, Inc. (a)		251
	2	Marin Software, Inc. (a)		—
	5	Marketo, Inc. (a)		—
	1	MaxPoint Interactive, Inc. (a)		—
	8,088	Monster Worldwide, Inc. (a)		46
	11,509	New Relic, Inc. (a)		420
	16	NIC, Inc.		—
	3	Opower, Inc. (a)		—
	3	Q2 Holdings, Inc. (a)		—
	11,716	QuinStreet, Inc. (a)		50
	8	Quotient Technology, Inc. (a)		—
	47,800	RealNetworks, Inc. (a)		203
	1	Reis, Inc.		—
	2	SciQuest, Inc. (a)		—
	3	Shutterstock, Inc. (a)		—
	4	SPS Commerce, Inc. (a)		—
	2	Stamps.com, Inc. (a)		—
	1	TechTarget (a)		—
	3	Textura Corp. (a)		—
	1	Travelzoo, Inc. (a)		—
	6	TrueCar, Inc. (a)		—
	171	United Online, Inc. (a)		2
	3,650	Web.com Group, Inc. (a)		73
	7	WebMD Health Corp. (a)		—
	2	Wix.com Ltd. (a)		—
	9,904	XO Group, Inc. (a)		159
				2,469
		IT Services — 2.38%
	1	6D Global Technologies, Inc.*(a)		—
	52	Blackhawk Network Holdings, Inc. (a)		2
	65	Booz Allen Hamilton Holding Corp.		2
	20	CACI International, Inc., Class – A (a)		2
	59	Cardtronics, Inc. (a)		2
	39	Cass Information Systems, Inc.		2
	74	Convergys Corp.		2
	47	CoreLogic, Inc. (a)		2
	64	CSG Systems International, Inc.		2
	68	CSRA, Inc.		2
	246	Datalink Corp. (a)		2
	8	EPAM Systems, Inc. (a)		1
	3,974	Euronet Worldwide, Inc. (a)		288
	509	Everi Holdings, Inc. (a)		2
	9	EVERTEC, Inc.		—

See accompanying notes to financial statements.

35

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		IT Services (continued)
	7	Exlservice Holdings, Inc. (a)	$	—
	5	Forrester Research, Inc.		—
	7,376	Global Payments, Inc.		476
	906	Heartland Payment Systems, Inc.		86
	8,954	Jack Henry & Associates, Inc.		699
	34	Leidos Holdings, Inc.		2
	414	Lionbridge Technologies, Inc. (a)		2
	3,177	Luxoft Holding, Inc. (a)		245
	61	ManTech International Corp., Class – A		2
	5,691	MAXIMUS, Inc.		320
	69	NeuStar, Inc., Class – A (a)		2
	115	Perficient, Inc. (a)		2
	1	PFSweb, Inc. (a)		—
	43	Science Applications International Corp.		2
	5	ServiceSource International, Inc. (a)		—
	61	Sykes Enterprises, Inc. (a)		2
	6	Syntel, Inc. (a)		—
	70	TeleTech Holdings, Inc.		2
	113	The Hackett Group, Inc.		2
	10	Travelport Worldwide Ltd.		—
	4	Unisys Corp. (a)		—
	2,728	VeriFone Systems, Inc. (a)		76
	4	Virtusa Corp. (a)		—
	3,890	WNS (Holdings) Ltd., ADR (a)		121
				2,352
		Leisure Products — 0.17%
	1	Arctic Cat, Inc.		—
	14,307	Callaway Golf Co.		134
	227	JAKKS Pacific, Inc. (a)		2
	80	Johnson Outdoors, Inc., Class – A		2
	40,200	LeapFrog Enterprises, Inc. (a)		29
	2	Malibu Boats, Inc., Class – A (a)		—
	1	Marine Products Corp.		—
	4	Nautilus, Inc. (a)		—
	7	Smith & Wesson Holding Corp. (a)		—
	4	Sturm, Ruger & Co., Inc.		—
				167
		Life Sciences Tools & Services — 1.15%
	3	Accelerate Diagnostics, Inc. (a)		—
	228	Affymetrix, Inc. (a)		2
	136	Albany Molecular Research, Inc. (a)		3
	17	Bio-Rad Laboratories, Inc., Class – A (a)		2
	25	Bio-Techne Corp.		2
	106	Bruker Biosciences Corp. (a)		3
	6,043	Cambrex Corp. (a)		285
	31	Charles River Laboratories International, Inc. (a)		2
	4	Fluidigm Corp. (a)		—
	107	Furiex Pharmaceuticals, Inc.*(a)		—
	735	Harvard Bioscience, Inc. (a)		3
	1,877	Illumina, Inc. (a)		360
	7,085	INC Research Holdings, Inc., Class – A (a)		344
	110	Luminex Corp. (a)		2
	2	NanoString Technologies, Inc. (a)		—
	7	NeoGenomics, Inc. (a)		—

Shares		Security Description	Value (000)
		Life Sciences Tools & Services (continued)
	8	Pacific Boisciences of California, Inc. (a)	$	—
	47	PAREXEL International Corp. (a)		3
	58	PRA Health Sciences, Inc. (a)		3
	4,330	QIAGEN NV (a)		120
	16	Sequenom, Inc. (a)		—
	90	VWR Corp. (a)		3
				1,137
		Machinery — 2.97%
	6	Accuride Corp. (a)		—
	9,030	Actuant Corp., Class – A		216
	32	AGCO Corp.		1
	1	Albany International Corp., Class – A		—
	3	Altra Holdings, Inc.		—
	31	American Railcar Industries		1
	6	Blount International, Inc. (a)		—
	1	Blue Bird Corp. (a)		—
	85	Briggs & Stratton Corp.		1
	7,725	Chart Industries, Inc. (a)		139
	8	CLARCOR, Inc.		—
	7,440	Columbus McKinnon Corp.		141
	526	Commercial Vehicle Group, Inc. (a)		1
	1	Douglas Dynamics, Inc.		—
	2	ENPRO Industries, Inc.		—
	71	Freightcar America, Inc.		1
	73	Global Brass & Copper Holdings, Inc.		2
	10,741	Harsco Corp.		85
	12	Hillenbrand, Inc.		—
	26	Hyster-Yale Materials Handling, Inc.		1
	4,940	IDEX Corp.		379
	9,820	ITT Corp.		358
	4	John Bean Technologies Corp.		—
	123	Joy Global, Inc.		2
	5,221	Lincoln Electric Holdings, Inc.		272
	2	Lindsay Corp.		—
	1	Lydall, Inc. (a)		—
	16,477	Meritor, Inc. (a)		138
	72	Miller Industries, Inc.		2
	5	Mueller Industries, Inc.		—
	21	Mueller Water Products, Inc., Class – A		—
	3	Nn, Inc.		—
	38	Oshkosh Corp.		1
	4	Proto Labs, Inc. (a)		—
	5	RBC Bearings, Inc. (a)		—
	19	Rexnord Corp. (a)		—
	5,015	Snap-on, Inc.		861
	1	Standex International Corp.		—
	6	Sun Hydraulics Corp.		—
	4	Tennant Co.		—
	6,375	Terex Corp.		118
	1	The Gorman-Rupp Co.		—
	57	The Greenbrier Cos., Inc.		2
	50	The Timken Co.		1
	4,250	TriMas Corp. (a)		79
	63	Trinity Industries, Inc.		2
	2,563	Wabash National Corp. (a)		30

See accompanying notes to financial statements.

36

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Machinery (continued)
	1,034	WABCO Holdings, Inc. (a)	$	106
	9	Woodward, Inc.		—
	8	Xerium Technologies, Inc. (a)		—
				2,940
		Marine — 0.12%
	2,314	Kirby Corp. (a)		122
	7	Matson, Inc.		—
				122
		Media — 0.79%
	40	AMC Entertainment Holdings, Inc., Class – A		1
	7	Central Eurpoean Media Enterprises Ltd. (a)		—
	5	Crown Media Holdings, Inc., Class – A (a)		—
	98	Entercom Communications Corp. (a)		1
	8	Entravision Communications Corp., Class – A		—
	69	Gannett, Inc. Com		1
	34,057	Global Eagle Entertainment, Inc. (a)		337
	8	Gray Television, Inc. (a)		—
	261	Harte-Hanks, Inc.		1
	5,803	Imax Corp. (a)		206
	7,176	Lions Gate Entertainment Corp.		232
	2	Loral Space & Communications, Inc. (a)		—
	2	MDC Partners, Inc., Class – A		—
	2	National CineMedia, Inc.		—
	6	Nexstar Broadcasting Group, Inc., Class – A		—
	2	Rentrak Corp. (a)		—
	3	SFX Entertainment, Inc. (a)		—
	48	Sinclair Broadcast Group, Inc.		2
	5	The E.W. Scripps Co., Class – A		—
	4	The New York Times Co., Class – A		—
	61	Time, Inc.		1
	110	Townsquare Media, Inc., Class – A (a)		1
	96	Tribune Publishing Co.		1
	23	Viacom, Inc., Class – A		1
	4	World Wrestling Entertainment, Inc., Class – A		—
				785
		Metals & Mining — 1.11%
	6,190	Agnico-Eagle Mines Ltd.		163
	31,815	Allegheny Technologies, Inc.		359
	7,202	Carpenter Technology Corp.		218
	35,270	Coeur d’Alene Mines Corp. (a)		87
	100	Commercial Metals Co.		1
	17,436	Ferroglobe PLC		187
	10,257	Horsehead Holding Corp.^(a)		21
	1	Kaiser Aluminum Corp.		—
	2	Real Industry, Inc. (a)		—
	4,900	Schnitzer Steel Industries, Inc., Class – A		70
	7	Stillwater Mining Co. (a)		—
	6	SunCoke Energy, Inc.		—
	2	Worthington Industries, Inc.		—
				1,106
		Multiline Retail — 0.00%
	46	Big Lots, Inc.		2
	11	Burlington Stores, Inc. (a)		—

Shares		Security Description	Value (000)
		Multiline Retail (continued)
	24	Dillard’s, Inc., Class – A	$	2
	5	Tuesday Morning Corp. (a)		—
				4
		Multi-Utilities — 0.41%
	70	Avista Corp.		2
	8,764	Black Hills Corp.		407
				409
		Oil, Gas & Consumable Fuels — 1.53%
	82	Alon USA Energy, Inc.		1
	23,295	Carrizo Oil & Gas, Inc. (a)		690
	9,700	Contango Oil & Gas Co. (a)		62
	56	Delek US Holdings, Inc.		1
	136,440	Enbridge Energy Management LLC (a)(b)		—
	9,620	Energen Corp.		394
	3	Energy Fuels, Inc. (a)		—
	3	Evolution Petroleum Corp.		—
	226	Hallador Energy Co.		1
	7,466	Interoil Corp. (a)		234
	2,376	Matador Resources Co. (a)		47
	1	Panhandle Oil & Gas, Inc., Class – A		—
	2	Par Petroleum Corp. (a)		—
	5	Parsley Energy, Inc., Class – A (a)		—
	26	REX American Resources Corp. (a)		1
	8	Semgroup Corp.		—
	11	Solazyme, Inc. (a)		—
	3	Synergy Resources Corp. (a)		—
	42	Targa Resources Corp.		1
	62	Teekay Shipping Corp.		1
	10	Ultra Petroleum Corp. (a)		—
	11	Uranium Energy Corp. (a)		—
	44	Western Refining, Inc.		2
	13,358	WPX Energy, Inc. (a)		77
				1,512
		Paper & Forest Products — 0.51%
	4,989	Boise Cascade Co. (a)		127
	317	Clearwater Paper Corp. (a)		14
	3	Deltic Timber Corp.		—
	40	Domtar Corp.		1
	14	KapStone Paper & Packaging Corp.		—
	19,966	Louisiana-Pacific Corp. (a)		361
	1	Neenah Paper, Inc.		—
	85	P.H. Glatfelter Co.		2
	43	Schweitzer-Mauduit International, Inc.		2
	5	Wausau Paper Corp.		—
				507
		Personal Products — 0.00%
	1	Inter Parfums, Inc.		—
	1	Medifast, Inc.		—
	1	Natural Health Trends Corp.		—
	23	Nu Skin Enterprises, Inc., Class – A		1
	24	Nutraceutical International Corp. (a)		1
	2	Synutra International, Inc. (a)		—
	1	USANA Health Sciences, Inc. (a)		—
				2

See accompanying notes to financial statements.

37

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Pharmaceuticals — 0.32%
	3	Aerie Pharmaceuticals, Inc. (a)	$	—
	1	Agile Therapeutics, Inc. (a)		—
	4	Alimera Sciences, Inc. (a)		—
	3	Amphastar Pharmaceuticals, Inc. (a)		—
	1	ANI Pharmaceuticals, Inc. (a)		—
	4	Aratana Therapeutics, Inc. (a)		—
	2	Assembly Biosciences, Inc. (a)		—
	6	BioDelivery Sciences International, Inc. (a)		—
	2	Carbylan Therapeutics, Inc. (a)		—
	101	Catalent, Inc. (a)		3
	7	Cempra Holdings LLC (a)		—
	1	Collegium Pharmaceutical, Inc. (a)		—
	8	Corcept Therapeutics, Inc. (a)		—
	1	Corium International, Inc. (a)		—
	8	DepoMed, Inc. (a)		—
	1	Dermira, Inc. (a)		—
	14	Durect Corp. (a)		—
	1	Flex Pharma, Inc. (a)		—
	3	Foamix Pharmaceuticals Ltd. (a)		—
	1	Heska Corp. (a)		—
	64	Impax Laboratories, Inc. (a)		3
	2	Intersect ENT, Inc. (a)		—
	2,487	Intra-Cellular Therapies, Inc. (a)		134
	63	Lannett Co., Inc. (a)		3
	9,674	Nektar Therapeutics (a)		163
	2	Ocular Therapeutix, Inc. (a)		—
	5	Omeros Corp. (a)		—
	200	Omthera Pharmaceutical, Inc.*(a)		—
	7	Pacira Pharmaceuticals, Inc. (a)		1
	2	Paratek Pharmaceuticals, Inc. (a)		—
	6	Pernix Therapeutics Holdings, Inc. (a)		—
	67	Phibro Animal Health Corp., Class – A		2
	4	POZEN, Inc. (a)		—
	55	Prestige Brands Holdings, Inc. (a)		3
	8	Relypsa, Inc. (a)		—
	2	Revance Therapeutics, Inc. (a)		—
	160	Sagent Pharmaceuticals, Inc. (a)		3
	267	SciClone Pharmaceuticals, Inc. (a)		2
	3	Sucampo Pharmaceuticals, Inc., Class – A (a)		—
	5	Supernus Pharmaceuticals, Inc. (a)		—
	5	Teligent, Inc. (a)		—
	5	Tetraphase Pharmaceuticals, Inc. (a)		—
	62	The Medicines Co. (a)		2
	17	TherapeuticsMD, Inc. (a)		—
	10	Theravance, Inc.		—
	15	VIVUS, Inc. (a)		—
	8	XenoPort, Inc. (a)		—
	3	Zogenix, Inc. (a)		—
				319
		Professional Services — 0.11%
	1	Barrett Business Services, Inc.		—
	166	CBIZ, Inc. (a)		2
	5	CEB, Inc.		—
	6	Exponent, Inc.		—

Shares		Security Description	Value (000)
		Professional Services (continued)
	2	GP Strategies Corp. (a)	$	—
	3	Insperity, Inc.		—
	108	Kelly Services, Inc., Class – A		2
	3	Kforce, Inc.		—
	4	Korn/Ferry International		—
	1	Mistras Group, Inc. (a)		—
	10	On Assignment, Inc. (a)		—
	205,600	Pendrell Corp. (a)		104
	1	Resources Connections, Inc.		—
	1	RPX Corp. (a)		—
	6	The Advisory Board Co. (a)		—
	5	TriNet Group, Inc. (a)		—
	6	TrueBlue, Inc. (a)		—
	1	Volt Information Sciences, Inc. (a)		—
	25	VSE Corp.		2
	5	WageWorks, Inc. (a)		—
				110
		Real Estate Investment Trusts — 2.78%
	13,680	Acadia Realty Trust		454
	157	AG Mortgage Investment Trust, Inc.		2
	6,651	Alexandria Real Estate Equities, Inc.		602
	7	American Assets Trust, Inc.		—
	173	American Capital Mortgage Investment Corp.		2
	529	Anworth Mortgage Asset Corp.		2
	189	Apollo Residential Mortgage, Inc.		2
	114	ARMOUR Residential REIT, Inc.		2
	384	Ashford Hospitality Trust		2
	357	Campus Crest Communities, Inc. (a)		2
	246	Capstead Mortgage Corp.		2
	13	CareTrust REIT, Inc.		—
	173	CBL & Associates Properties, Inc.		2
	341	Cedar Realty Trust, Inc.		2
	123	Colony Capital, Inc., Class – A		2
	5	Coresite Realty Corp.		—
	21	CubeSmart		1
	10	CyrusOne, Inc.		—
	333	CYS Investments, Inc.		2
	3,859	DiamondRock Hospitality Co.		38
	79	DuPont Fabros Technology, Inc.		4
	379	Dynex Capital, Inc.		2
	10	Easterly Government Properties, Inc.		—
	7,002	EastGroup Properties, Inc.		390
	6,410	Equity Commonwealth (a)		179
	1	Equity One, Inc.		—
	217	First Potomac Realty Trust		2
	167	Hatteras Financial Corp.		2
	16	Inland Real Estate Corp.		—
	191	Invesco Mortgage Capital		2
	320	Investors Real Estate Trust		2
	297	Lexington Realty Trust		2
	6,531	Mid-America Apartment Communities, Inc.		594
	2	National Health Investors, Inc.		—
	3	National Storage Affiliates		—
	206	New Residential Investment Corp.		4
	120	Pennsylvania Real Estate Investment Trust		4

See accompanying notes to financial statements.

38

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Real Estate Investment Trusts (continued)
	4	Potlatch Corp.	$	—
	28	PS Business Parks, Inc.		2
	5	QTS Realty Trust, Inc., Class – L		—
	916	RAIT Financial Trust		2
	32,830	Redwood Trust, Inc.		434
	6	RLJ Lodging Trust		—
	8	Ryman Hospitality Properties, Inc.		—
	1	Sabra Healthcare REIT, Inc.		—
	3	Saul Centers, Inc.		—
	5	Sovran Self Storage, Inc.		1
	1	Sun Communities, Inc.		—
	5	Universal Health Realty Income Trust		—
	18	Urban Edge Properties		—
	191	Western Asset Mortgage Capital Corp.		2
	230	WP GLIMCHER, Inc.		2
				2,749
		Real Estate Management & Development — 0.00%
	2	Altisource Portfolio Solutions SA (a)		—
	1	Kennedy-Wilson Holdings, Inc.		—
	2	Marcus & Millichap, Inc. (a)		—
	61	RE/MAX Holdings, Inc., Class – A		2
				2
		Road & Rail — 0.11%
	92	ArcBest Corp.		2
	2	Celadon Group, Inc.		—
	105	Covenant Transportation Group, Inc., Class – A (a)		2
	7	Heartland Express, Inc.		—
	10	Knight Transportation, Inc.		—
	1	Roadrunner Transportation Systems, Inc. (a)		—
	6	Saia, Inc. (a)		—
	7,381	Swift Transportation Co. (a)		103
	1	Universal Truckload Services, Inc.		—
	1	Werner Enterprises, Inc.		—
	1	YRC Worldwide, Inc. (a)		—
				107
		Semiconductors & Semiconductor Equipment — 6.66%
	3	Advanced Energy Industries, Inc. (a)		—
	37	Advanced Micro Devices, Inc. (a)		—
	5	Ambarella, Inc.^ (a)		—
	350	Amkor Technology, Inc. (a)		2
	5	Applied Micro Circuits Corp. (a)		—
	10,812	Atmel Corp.		93
	11,900	Brooks Automation, Inc.		127
	3	Cabot Microelectronics Corp. (a)		—
	1	Cascade Microtech, Inc. (a)		—
	7,093	Cavium, Inc. (a)		467
	1	CEVA, Inc. (a)		—
	68	Cirrus Logic, Inc. (a)		2
	177	Cohu, Inc.		2
	7,912	Cree, Inc. (a)		211
	51,786	Cypress Semiconductor Corp.		509
	5,446	Diodes, Inc. (a)		125
	177	Entegris, Inc. (a)		2

Shares		Security Description	Value (000)
		Semiconductors & Semiconductor Equipment (continued)
	1	Exar Corp. (a)	$	—
	11,984	Fairchild Semiconductor International, Inc. (a)		248
	4	FormFactor, Inc. (a)		—
	5	Inphi Corp. (a)		—
	26,622	Integrated Device Technology, Inc. (a)		702
	185	IXYS Corp.		2
	7	Lattice Semiconductor Corp. (a)		—
	9,198	MA-COM Technology Solutions Holdings, Inc. (a)		376
	39,447	Mattson Technology, Inc. (a)		139
	5,961	Maxim Integrated Products, Inc.		227
	7	MaxLinear, Inc. (a)		—
	17	Microsemi Corp. (a)		1
	7,430	MKS Instruments, Inc.		267
	6,085	Monolithic Power Systems, Inc.		389
	72	OmniVision Technologies, Inc. (a)		2
	28,414	ON Semiconductor Corp. (a)		278
	3	PDF Solutions, Inc. (a)		—
	176	Photronics, Inc. (a)		2
	8	PMC – Sierra, Inc. (a)		—
	3	Power Integrations, Inc.		—
	8,673	Qorvo, Inc. (a)		442
	66,086	QuickLogic Corp. (a)		75
	24	Rambus, Inc. (a)		—
	37,600	Rubicon Technology, Inc. (a)		43
	1	Rudolph Technologies, Inc. (a)		—
	3,085	Semtech Corp. (a)		58
	1,735	Silicon Laboratories, Inc. (a)		84
	5,661	Skyworks Solutions, Inc.		436
	3,115	Synaptics, Inc. (a)		250
	8,243	Tessera Technologies, Inc.		247
	11,809	Tower Semiconductor Ltd. (a)		166
	461	Ultra Clean Holdings, Inc. (a)		2
	15,423	Ultratech, Inc. (a)		306
	15,069	Veeco Instruments, Inc. (a)		310
	363	Xcerra Corp. (a)		2
				6,594
		Software — 6.99%
	4	A10 Networks, Inc. (a)		—
	20	ACI Worldwide, Inc. (a)		—
	1	American Software, Inc., Class – A		—
	14	Aspen Technology, Inc. (a)		1
	9	AVG Technologies NV (a)		—
	1	Barracuda Networks, Inc. (a)		—
	3,448	Blackbaud, Inc.		227
	5	Bottomline Technologies, Inc. (a)		—
	4	BroadSoft, Inc. (a)		—
	8,757	Callidus Software, Inc. (a)		163
	9	CommVault Systems, Inc. (a)		—
	6,662	CyberArk Software Ltd. (a)		301
	1	Digimarc Corp. (a)		—
	6	Digital Turbine, Inc. (a)		—
	65	Ebix, Inc.		2
	5,526	Electronic Arts, Inc. (a)		381
	5,526	Ellie Mae, Inc. (a)		333
	142	EPIQ Systems, Inc.		2

See accompanying notes to financial statements.

39

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Software (continued)
	26	Fair Isaac Corp.	$	2
	6,715	Fleetmatics Group Ltd. (a)		341
	6,979	Fortinet, Inc. (a)		218
	4	Gigamon, Inc. (a)		—
	2	Globant SA (a)		—
	9	Glu Mobile, Inc. (a)		—
	2	Guidance Software, Inc. (a)		—
	5,115	Guidewire Software, Inc. (a)		308
	3,549	HubSpot, Inc. (a)		200
	4	Imperva, Inc. (a)		—
	8	Infoblox, Inc. (a)		—
	2	Interactive Intelligence Group (a)		—
	6	Jive Software, Inc. (a)		—
	109	King Digital Entertainment PLC		2
	5,352	Manhattan Associates, Inc. (a)		355
	109	Mentor Graphics Corp.		2
	2	MicroStrategy, Inc. (a)		—
	5	MobileIron, Inc. (a)		—
	3	Model N, Inc. (a)		—
	10	Monotype Imaging Holdings, Inc.		—
	246	NetSuite, Inc. (a)		21
	7,382	Nuance Communications, Inc. (a)		147
	1	Park City Group, Inc. (a)		—
	6,879	Paycom Software, Inc. (a)		259
	2	Paylocity Holding Corp. (a)		—
	5	Pegasystems, Inc.		—
	8,997	Proofpoint, Inc. (a)		586
	3	PROS Holdings, Inc. (a)		—
	5,081	PTC, Inc. (a)		176
	15	QLIK Technologies, Inc. (a)		—
	3	Qualys, Inc. (a)		—
	13	RealPage, Inc. (a)		—
	14	RingCentral, Inc., Class – A (a)		—
	26,800	Rosetta Stone, Inc. (a)		179
	34,223	Rovi Corp. (a)		571
	2	Sapiens International Corp. NV		—
	45,955	SeaChange International, Inc. (a)		310
	14,340	Silver Spring Networks, Inc. (a)		207
	8	Synchronoss Technologies, Inc. (a)		—
	6	Take-Two Interactive Software, Inc. (a)		—
	4,784	Tangoe, Inc. (a)		40
	391	Telecommunication Systems, Inc. (a)		2
	17,800	Telenav, Inc. (a)		101
	3	The Rubicon Project, Inc. (a)		—
	1,086	The Ultimate Software Group, Inc. (a)		212
	26,109	TiVo, Inc. (a)		225
	2	TubeMogul, Inc. (a)		—
	4,480	Tyler Technologies, Inc. (a)		782
	1	Varonis Systems, Inc. (a)		—
	4	VASCO Data Security International, Inc. (a)		—
	10	Verint Systems, Inc. (a)		—
	6	VirnetX Holding Corp. (a)		—
	1	Workiva, Inc. (a)		—
	3	Xura, Inc. (a)		—

Shares		Security Description	Value (000)
		Software (continued)
	3,151	Zendesk, Inc. (a)	$	83
	8	Zix Corp. (a)		—
	69,794	Zynga, Inc. (a)		187
				6,926
		Specialty Retail — 1.91%
	30	American Eagle Outfitters, Inc.		—
	4	Asbury Automotive Group, Inc. (a)		—
	179	Ascena Retail Group, Inc. (a)		2
	193	Big 5 Sporting Goods Corp.		2
	2	Boot Barn Holdings, Inc. (a)		—
	1	Caleres, Inc.		—
	6,982	Chico’s FAS, Inc.		74
	1	Destination XL Group, Inc. (a)		—
	10	Express, Inc. (a)		—
	10	Five Below, Inc. (a)		—
	6,635	Francesca’s Holdings Corp. (a)		116
	55	GameStop Corp., Class – A		2
	22	Group 1 Automotive, Inc.		2
	3	Hibbett Sports, Inc. (a)		—
	2	Kirkland’s, Inc.		—
	4	Lithia Motors, Inc.		—
	8,204	MarineMax, Inc. (a)		151
	3	Mattress Firm Holding Corp. (a)		—
	6	Monro Muffler Brake, Inc.		—
	44	Outerwall, Inc.		2
	3	Party City Holdco, Inc. (a)		—
	288	Pier 1 Imports, Inc.		1
	8,776	Rent-A-Center, Inc.		131
	4,050	Restoration Hardware Holdings, Inc. (a)		323
	7	Select Comfort Corp. (a)		—
	68	Shoe Carnival, Inc.		2
	75	Sonic Automotive, Inc., Class – A		2
	2,650	Sportsman’s Warehouse Holdings, Inc. (a)		34
	246	Stein Mart, Inc.		2
	4	The Buckle, Inc.		—
	1	The Cato Corp.		—
	1	The Children’s Place Retail Stores, Inc.		—
	2	The Container Store Group, Inc. (a)		—
	111	The Finish Line, Inc., Class – A		2
	8	The Men’s Wearhouse, Inc.		—
	12,521	Tile Shop Holdings, Inc. (a)		205
	293	Tilly’s, Inc., Class – A (a)		2
	9,711	Tractor Supply Co.		831
	2	Zumiez, Inc. (a)		—
				1,886
		Technology Hardware, Storage & Peripherals — 0.29%
	3	Avid Technology, Inc. (a)		—
	10	Cray, Inc. (a)		—
	13	Diebold, Inc.		—
	2	Eastman Kodak Co. (a)		—
	8	Electronics for Imaging, Inc. (a)		—
	75,000	Imation Corp. (a)		103
	4	Immersion Corp. (a)		—
	37	Lexmark International, Inc., Class – A		1
	11	Nimble Storage, Inc. (a)		—

See accompanying notes to financial statements.

40

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Technology Hardware, Storage & Peripherals (continued)
	15,228	QLogic Corp. (a)	$	187
	5	Silicon Graphics International Corp. (a)		—
	5	Super Micro Computer, Inc. (a)		—
	12	Violin Memory, Inc. (a)		—
				291
		Textiles, Apparel & Luxury Goods — 1.13%
	1	Cherokee, Inc. (a)		—
	5,083	Columbia Sportswear Co.		248
	8	Crocs, Inc. (a)		—
	1	Culp, Inc.		—
	3	Deckers Outdoor Corp. (a)		—
	39	Fossil Group, Inc. (a)		1
	12,965	G-III Apparel Group Ltd. (a)		574
	68	Movado Group, Inc.		2
	842	Oxford Industries, Inc.		54
	4	Sequential Brands Group, Inc. (a)		—
	10	Steven Madden Ltd. (a)		—
	1	Superior Uniform Group, Inc.		—
	7	Tumi Holdings, Inc. (a)		—
	2	Vince Holding Corp. (a)		—
	14,251	Wolverine World Wide, Inc.		238
				1,117
		Thrifts & Mortgage Finance — 0.39%
	8	Bofl Holding, Inc. (a)		—
	11	Essent Group Ltd. (a)		—
	61	Federal Agricultural Mortgage Corp., Class – C		2
	50	First Defiance Financial Corp.		2
	80	HomeStreet, Inc. (a)		2
	1	Impac Mortgage Holdings, Inc. (a)		—
	2,535	LendingTree, Inc. (a)		226
	1	Meridian Bancorp, Inc.		—
	31	MGIC Investment Corp. (a)		—
	4,769	PHH Corp. (a)		77
	330	TrustCo Bank Corp. NY		2
	1	United Financial Bancorp, Inc.		—
	2	Walker & Dunlop, Inc. (a)		—
	2,154	WSFS Financial Corp.		70
				381
		Tobacco — 0.17%
	2,936	Universal Corp.		165
	15	Vector Group Ltd.		—
				165
		Trading Companies & Distributors — 1.29%
	76	Aircastle Ltd.		2
	7,544	Applied Industrial Technologies, Inc.		305
	7,407	Beacon Roofing Supply, Inc. (a)		305
	9,973	BMC Stock Holdings, Inc. (a)		167
	157	CAI International, Inc. (a)		2
	1	DXP Enterprises, Inc. (a)		—
	3,106	GATX Corp.		132
	4	H&E Equipment Services, Inc.		—
	1	Lawson Products, Inc. (a)		—

Shares or Principal Amount (000)		Security Description	Value (000)
		Trading Companies & Distributors (continued)
	9,035	MRC Global, Inc. (a)	$	117
	1	Neff Corp., Class – A (a)		—
	90	TAL International Group, Inc.		1
	104	Textainer Group Holdings Ltd.		1
	4	Univar, Inc. (a)		—
	2,105	Watsco, Inc.		247
	35	WESCO International, Inc. (a)		2
				1,281
		Wireless Telecommunication Services — 0.00%
	3	Boingo Wireless, Inc. (a)		—
	3	Shenandoah Telecommunications Co.		—
	70	Spok Holdings, Inc.		1
				1
		Total Common Stocks		84,802
		Contingent Rights — 0.00%
		Biotechnology — 0.00%
	500	Clinical Data, Inc.*(a)(c)		—
		Technology Hardware, Storage & Peripherals — 0.00%
	1,000	Gerber Scientific, Inc.*(a)(b)(d)		—
		Wireless Telecommunication Services — 0.00%
	260	Leap Wireless International, Inc.*(a)(d)		—
		Total Contingent Rights		—
		Warrant — 0.00%
		Oil, Gas & Consumable Fuels — 0.00%
	160	Magnum Hunter Resources Corp. (a)		—
		Total Warrant		—
		Time Deposit — 3.14%
$	3,108	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16		3,108
		Total Time Deposit		3,108
		Mutual Funds — 11.10%
	141,040	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (e)		141
	565,007	SSgA Prime Money Market Fund, 0.19% (f)		565
	10,264,822	SSgA Treasury Money Market Fund, 0.00% (f)		10,265
		Total Mutual Funds		10,971
		Repurchase Agreement — 0.44%
$	437	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $436,843 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $445,561)^^		437
		Total Repurchase Agreement		437
		Total Investments (cost $84,464) — 100.43%		99,318
		Liabilities in excess of other assets — (0.43)%		(423	)
		Net Assets — 100.00%	$	98,895

See accompanying notes to financial statements.

41

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Amounts designated as “—” are $0 or have been rounded to $0.

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $544 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) These securities have been deemed illiquid by the Specialist Manager and represent 0.00% of the Portfolio.

(c) Rights entitle the Portfolio to cash based on the company’s achievement of milestones in connection with a pharmaceutical drug that was brought to market.

(d) Rights entitle the Portfolio to cash based on any net recoveries obtained by the company in connection with certain claims of patent infringement.

(e) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(f) The rate disclosed is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

REIT — Real Estate Investment Trust

See accompanying notes to financial statements.

42

HC CAPITAL TRUST

The Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Small Capitalization-Mid Capitalization Equity Portfolio	Ariel Investments, LLC			Cupps Capital Management, LLC			Frontier Capital Management Company, LLC			IronBridge Capital Management LP			Mellon Capital Management Corporation			Parametric Portfolio Associates, LLC			Pzena Investment Management, LLC			HC Capital Solutions			Total
Common Stocks		4.00	%		14.06	%		27.57	%		33.55	%		0.79	%		—			5.78	%		—			85.75	%
Contingent Rights		—			—			—			—			0.00	%		—			—			—			0.00	%
Warrant		—			—			—			—			0.00	%		—			—			—			0.00	%
Time Deposit		0.20	%		—			1.33	%		1.53	%		—			—			0.08	%		—			3.14	%
Mutual Funds		—			0.57	%		0.12	%		0.02	%		0.01	%		2.71	%		—			7.67	%		11.10	%
Repurchase Agreement		—			—			0.38	%		0.06	%		—			—			—			—			0.44	%
Other Assets (Liabilities)		-0.01	%		-0.08	%		-0.49	%		-0.26	%		—			0.45	%		-0.04	%		—			-0.43	%
Total Net Assets		4.19	%		14.55	%		28.91	%		34.90	%		0.80	%		3.16	%		5.82	%		7.67	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	91	Russell 2000 Mini Index Future	$	10,297		3/18/16	$	74
		Net Unrealized Appreciation/(Depreciation)					$	74

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

43

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 82.81%
		Aerospace & Defense — 0.88%
	4,700	Cubic Corp.	$	222
	13,405	Curtiss-Wright Corp.		917
	231	Ducommun, Inc. (a)		4
	6,045	Esterline Technologies Corp. (a)		490
	44	National Presto Industries, Inc.		4
	98	Triumph Group, Inc.		4
				1,641
		Air Freight & Logistics — 0.32%
	118	Atlas Air Worldwide Holdings, Inc. (a)		5
	50,821	UTI Worldwide, Inc. (a)		357
	8,542	XPO Logistics, Inc.^(a)		233
				595
		Airlines — 2.63%
	9,323	American Airlines Group, Inc.		395
	95	Copa Holdings SA, Class – A		5
	3,921	Hawaiian Holdings, Inc. (a)		139
	37,236	JetBlue Airways Corp. (a)		843
	44,916	United Continental Holdings, Inc. (a)		2,573
	55,716	Volaris Aviation Holding Co., ADR (a)		956
				4,911
		Auto Components — 1.26%
	114	Cooper Tire & Rubber Co.		4
	23,966	Dana Holding Corp.		331
	25,524	Fox Factory Holding Corp. (a)		422
	10,800	Gentherm, Inc. (a)		512
	230	Metaldyne Performance Group, Inc.		4
	14,441	Modine Manufacturing Co. (a)		131
	21,898	Stoneridge, Inc. (a)		324
	13,372	Tenneco, Inc. (a)		613
	158	Tower International, Inc.		5
				2,346
		Banks — 5.68%
	149	1st Source, Inc.		5
	191	American National Bankshares, Inc.		5
	15,250	Associated Banc-Corp.		286
	321	Banc of California, Inc.		5
	177	Banco Latinoamericano de Comercio Exterior SA, Class – E		5
	13,525	Bank of the Ozarks, Inc.		669
	26,810	BankUnited, Inc.		966
	22,160	Banner Corp.		1,015
	17,402	BBCN Bancorp, Inc.		300
	252	CNB Financial Corp.		5
	41,188	Columbia Banking System, Inc.		1,338
	136	Community Trust Bancorp, Inc.		5
	9,461	Cullen/Frost Bankers, Inc.		568
	214	Fidelity Southern Corp.		5
	173	Financial Institutions, Inc.		5
	1,409	First Bancorp (a)		5
	256	First Bancorp		5
	188	First Business Financial Services, Inc.		5
	20	First Citizens BancShares, Inc., Class – A		5
	248	First Community Bancshares, Inc.		5

Shares		Security Description	Value (000)
		Banks (continued)
	132	First Financial Corp.	$	4
	160	First Interstate BancSystem, Inc.		5
	14,315	First Midwest BanCorp, Inc.		264
	440	First Niagara Financial Group, Inc.		5
	252	FirstMerit Corp.		5
	159	Great Western Bancorp, Inc.		5
	184	Hancock Holding Co.		5
	125	Heartland Financial USA, Inc.		4
	7,760	Home Bancshares, Inc.		314
	175	Horizon Bancorp		5
	315	Independent Bank Corp.		5
	170	International Bancshares Corp.		4
	45,010	Investors Bancorp, Inc.		560
	410	Lakeland Bancorp, Inc.		5
	210	MainSource Financial Group, Inc.		5
	134	National Bankshares, Inc.		5
	23,550	National Penn Bancshares, Inc.		290
	170	NBT Bancorp, Inc.		5
	36,669	PacWest Bancorp		1,579
	252	Peoples Bancorp, Inc.		5
	14,391	Popular, Inc.		408
	262	Sierra Bancorp		5
	8,780	SVB Financial Group (a)		1,043
	8,375	Synovus Financial Corp.		271
	13,480	TCF Financial Corp.		190
	286	Triumph Bancorp, Inc. (a)		5
	189	Trustmark Corp.		4
	230	Univest Corp. of Pennsylvania		5
	10,428	Webster Financial Corp.		388
				10,605
		Biotechnology — 1.98%
	1,330	Acadia Pharmaceuticals, Inc. (a)		47
	150	Acorda Therapeutics, Inc. (a)		6
	2,950	Anacor Pharmaceuticals, Inc. (a)		333
	4,836	Atara Biotherapeutics, Inc. (a)		128
	1,632	BioMarin Pharmaceutical, Inc. (a)		171
	9,189	Cepheid, Inc. (a)		336
	5,735	Dyax Corp. (a)		216
	155	Emergent BioSolutions, Inc. (a)		6
	4,950	Intrexon Corp.^		149
	2,890	Kite Pharma, Inc. (a)		178
	1,996	Medivation, Inc. (a)		96
	9,567	Myriad Genetics, Inc. (a)		414
	5,655	Neurocrine Biosciences, Inc. (a)		320
	2,790	Ophthotech Corp. (a)		219
	1,522	PDL BioPharma, Inc.		5
	6,125	Portola Pharmaceuticals, Inc. (a)		315
	11,596	Sangamo BioSciences, Inc. (a)		106
	7,550	Seattle Genetics, Inc. (a)		339
	2,710	Ultragenyx Pharmaceutical, Inc. (a)		304
				3,688
		Building Products — 1.44%
	5,988	Armstrong World Industries, Inc. (a)		274
	11,399	CaesarStone Sdot Yam Ltd. (a)		494
	12,276	Gibraltar Industries, Inc. (a)		312

See accompanying notes to financial statements.

44

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Building Products (continued)
	3,377	Lennox International, Inc.	$	422
	4,680	Masonite International Corp. (a)		287
	6,678	Trex Co., Inc. (a)		254
	9,673	Universal Forest Products, Inc.		661
				2,704
		Capital Markets — 1.48%
	4,480	Artisan Partners Asset Management, Inc.		162
	533	Calamos Asset Management, Inc., Class – A		5
	10,344	E*Trade Financial Corp. (a)		307
	4,322	Greenhill & Co., Inc.		124
	209	Houlihan Lokey, Inc.		5
	16,708	Interactive Brokers Group, Inc., Class – A		728
	5,316	LPL Financial Holdings, Inc.^		227
	297	Oppenheimer Holdings, Inc., Class – A		5
	7,270	Raymond James Financial, Inc.		421
	15,656	Stifel Financial Corp. (a)		663
	6,729	WisdomTree Investments, Inc.		106
				2,753
		Chemicals — 2.17%
	133	A. Schulman, Inc.		4
	5,092	Albemarle Corp.		285
	247	Axiall Corp.		4
	2,298	Balchem Corp.		140
	6,708	Cabot Corp.		274
	9,580	FMC Corp.		375
	302	FutureFuel Corp.		4
	378	Huntsman Corp.		4
	134	Innophos Holdings, Inc.		4
	214	Koppers Holdings, Inc. (a)		4
	24,826	Kraton Performance Polymers, Inc. (a)		412
	713	Kronos Worldwide, Inc.		4
	9,003	Methanex Corp.		297
	2,293	NewMarket Corp.		873
	13,630	PolyOne Corp.		433
	12,420	Sensient Technologies Corp.		780
	81	Stepan Co.		4
	35,180	Tronox Ltd., Class – A		138
				4,039
		Commercial Services & Supplies — 1.13%
	5,170	ABM Industries, Inc.		147
	501	ACCO Brands Corp. (a)		4
	33,394	ARC Document Solutions, Inc. (a)		148
	7,459	Brady Corp.		171
	60	Deluxe Corp.		3
	201	Ennis, Inc.		4
	9,447	Essendant, Inc.		307
	8,757	KAR Auction Services, Inc.		324
	2,635	Matthews International Corp., Class – A		141
	136	McGrath RentCorp		3
	9,930	Multi-Color Corp.		595
	420	Quad Graphics, Inc.		4
	240	R.R. Donnelley & Sons Co.		4
	210	Steelcase, Inc., Class – A		3

Shares		Security Description	Value (000)
		Commercial Services & Supplies (continued)
	9,350	Tetra Tech, Inc.	$	243
	36	UniFirst Corp.		4
	160	West Corp.		3
				2,108
		Communications Equipment — 0.66%
	199	BEL Fuse, Inc., Class – B		3
	356	Black Box Corp.		3
	400	Brocade Communications Systems, Inc.		4
	180	Comtech Telecommunications Corp.		4
	83	EchoStar Corp., Class – A (a)		3
	32,541	Infinera Corp. (a)		590
	71,080	ShoreTel, Inc. (a)		629
				1,236
		Construction & Engineering — 0.39%
	27,567	MasTec, Inc. (a)		478
	186	MYR Group, Inc. (a)		4
	6,306	Primoris Services Corp.		139
	6,010	Tutor Perini Corp. (a)		101
				722
		Construction Materials — 0.55%
	8,603	Eagle Materials, Inc.		519
	13,621	Headwaters, Inc. (a)		230
	1,997	Martin Marietta Materials, Inc.		273
				1,022
		Consumer Finance — 0.16%
	17,507	Green Dot Corp., Class – A (a)		287
	150	Nelnet, Inc., Class – A		5
	290	Santander Consumer USA Holdings, Inc. (a)		5
				297
		Containers & Packaging — 1.14%
	12,761	AptarGroup, Inc.		927
	33,008	Berry Plastics Group, Inc. (a)		1,194
	125	Greif, Inc., Class – A		4
				2,125
		Diversified Consumer Services — 0.27%
	10,999	2U, Inc.^(a)		307
	251	American Public Education, Inc. (a)		5
	103	Capella Education Co.		5
	49,308	Career Education Corp. (a)		179
	224	DeVry Education Group, Inc.		6
	11	Graham Holdings Co.		5
	92	Strayer Education, Inc. (a)		6
				513
		Diversified Financial Services — 0.13%
	638	Gain Capital Holdings, Inc.		5
	13,220	Leucadia National Corp.		231
	279	Marlin Business Services Corp.		4
				240
		Diversified Telecommunication Services — 0.46%
	24,209	Cogent Communications Group, Inc.		840
	110	Hawaiian Telcom Holdco, Inc. (a)		3
	285	IDT Corp.		3
	411	Iridium Communications, Inc. (a)		3
				849

See accompanying notes to financial statements.

45

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Electric Utilities — 0.42%
	19,418	El Paso Electric Co.	$	747
	201	PNM Resources, Inc.		6
	154	Portland General Electric Co.		6
	302	Spark Energy, Inc., Class – A		6
	239	The Empire District Electric Co.		7
	167	Unitil Corp.		6
				778
		Electrical Equipment — 1.39%
	4,575	Acuity Brands, Inc.		1,070
	5,880	AZZ, Inc.		327
	5,027	Encore Wire Corp.		186
	5,161	EnerSys		289
	15,838	Generac Holdings, Inc. (a)		471
	18,692	General Cable Corp.		251
	84	Preformed Line Products Co.		4
	55	Regal-Beloit Corp.		3
				2,601
		Electronic Equipment, Instruments & Components — 3.09%
	285	AVX Corp.		3
	12,629	Belden, Inc.		603
	170	Benchmark Electronics, Inc. (a)		4
	27,280	Control4 Corp.^(a)		198
	100	Dolby Laboratories, Inc., Class – A		3
	20,013	DTS, Inc. (a)		452
	364	Electro Rent Corp.		3
	37	ePlus, Inc. (a)		3
	160	Fabrinet (a)		4
	43,523	Flextronics International Ltd. (a)		488
	10,074	Insight Enterprises, Inc. (a)		253
	4,423	IPG Photonics Corp. (a)		394
	13,885	Itron, Inc. (a)		502
	18,021	Jabil Circuit, Inc.		420
	335	Kimball Electronics, Inc. (a)		4
	5,133	Littelfuse, Inc.		550
	116	Methode Electronics, Inc.		4
	153	PC Connection, Inc.		3
	98	Plexus Corp. (a)		3
	9,096	Rogers Corp. (a)		469
	169	Sanmina Corp. (a)		3
	38	SYNNEX Corp.		3
	4,353	Tech Data Corp. (a)		289
	30,486	Trimble Navigation Ltd. (a)		655
	515	TTM Technologies, Inc. (a)		3
	8,368	Universal Display Corp. (a)		456
	300	Vishay Intertechnology, Inc.		4
				5,776
		Energy Equipment & Services — 0.60%
	227	Atwood Oceanics, Inc.		2
	156	Diamond Offshore Drilling, Inc.		3
	4,098	Dril-Quip, Inc. (a)		243
	212	Ensco PLC, ADR		3
	211	Exterran Corp. (a)		3
	59,575	Key Energy Services, Inc. (a)		29

Shares		Security Description	Value (000)
		Energy Equipment & Services (continued)
	79,745	McDermott International, Inc. (a)	$	266
	262	Noble Corp. PLC		3
	161	PHI, Inc. (a)		3
	41,215	Superior Energy Services, Inc.		555
				1,110
		Food & Staples Retailing — 1.04%
	16,024	Casey’s General Stores, Inc.		1,930
	89	Ingles Markets, Inc., Class – A		4
	225	SpartanNash Co.		5
	187	Village Super Market, Inc., Class – A		5
				1,944
		Food Products — 0.45%
	11,442	Amplify Snack Brands, Inc.^(a)		132
	100	Cal-Maine Foods, Inc.^		5
	113	Fresh Del Monte Produce, Inc.		4
	5,900	J&J Snack Foods Corp.		687
	75	John B Sanfilippo & Son, Inc.		4
	217	Omega Protein Corp. (a)		5
	61	Sanderson Farms, Inc.		5
	2	Seaboard Corp. (a)		6
				848
		Gas Utilities — 0.74%
	102	Southwest Gas Corp.		6
	40,618	UGI Corp.		1,371
				1,377
		Health Care Equipment & Supplies — 6.52%
	16,395	Abiomed, Inc. (a)		1,481
	5,510	Cantel Medical Corp.		342
	21,021	DexCom, Inc. (a)		1,723
	6,002	Edwards Lifesciences Corp. (a)		474
	263	Exactech, Inc. (a)		5
	120	Halyard Health, Inc. (a)		4
	8,993	HeartWare International, Inc. (a)		453
	26,264	Insulet Corp. (a)		993
	4,220	Integra LifeSciences Holdings Corp. (a)		286
	5,116	LDR Holding Corp. (a)		128
	13,222	Neogen Corp. (a)		747
	19,722	Nevro Corp. (a)		1,332
	18,070	STERIS PLC		1,362
	26,011	Tandem Diabetes Care, Inc. (a)		307
	5,808	The Cooper Cos., Inc.		779
	19,950	West Pharmaceutical Services, Inc.		1,201
	18,968	Zeltiq Aesthetics, Inc. (a)		541
				12,158
		Health Care Providers & Services — 2.43%
	25,996	Acadia Healthcare Co., Inc. (a)		1,625
	172	Aceto Corp.		5
	100	Air Methods Corp. (a)		4
	109	Almost Family, Inc. (a)		4
	29	Chemed Corp.		4
	157	Community Health Systems, Inc. (a)		4
	13,990	Diplomat Pharmacy, Inc. (a)		479
	1,322	Five Star Quality Care, Inc. (a)		4
	127	HealthSouth Corp.		4

See accompanying notes to financial statements.

46

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Health Care Providers & Services (continued)
	345	Kindred Healthcare, Inc.	$	4
	98	LHC Group, Inc. (a)		4
	15,573	LifePoint Hospitals, Inc. (a)		1,144
	84	Magellan Health Services, Inc. (a)		5
	7,497	MEDNAX, Inc. (a)		537
	65	Molina Heathcare, Inc. (a)		4
	71	National Healthcare Corp.		4
	9,048	Owens & Minor, Inc.		326
	95	Patterson Cos., Inc.		4
	92	Providence Service Corp. (a)		4
	355	Select Medical Holdings Corp.		4
	122	Surgical Care Affiliates, Inc. (a)		5
	140	Tenet Healthcare Corp. (a)		4
	176	The Ensign Group, Inc.		4
	13,976	Triple-S Management Corp., Class – A (a)		334
	50	WellCare Health Plans, Inc. (a)		4
				4,524
		Health Care Technology — 1.05%
	15,465	Allscripts Healthcare Solutions, Inc. (a)		238
	220	Inovalon Holdings, Inc., Class – A (a)		4
	22,648	Medidata Solutions, Inc. (a)		1,116
	19,583	Omnicell, Inc. (a)		609
				1,967
		Hotels, Restaurants & Leisure — 2.46%
	320	Bloomin’ Brands, Inc.		5
	553	Bravo Brio Restaurant Group, Inc. (a)		5
	7,972	Buffalo Wild Wings, Inc. (a)		1,273
	7,015	Chuy’s Holdings, Inc. (a)		220
	17,682	ClubCorp Holdings, Inc.		323
	12,351	Diamond Resorts International, Inc. (a)		315
	109	Hyatt Hotels Corp., Class – A (a)		5
	155	International Speedway Corp., Class – A		5
	339	Interval Leisure Group, Inc.		5
	270	Marcus Corp.		5
	57,980	Ruby Tuesday, Inc. (a)		319
	299	SeaWorld Entertainment, Inc.		6
	1,150	Shake Shack, Inc., Class – A^(a)		46
	240	Speedway Motorsports, Inc.		5
	11,948	Texas Roadhouse, Inc., Class – A		427
	11,827	Vail Resorts, Inc.		1,515
	4,150	Zoe’s Kitchen, Inc.^(a)		116
				4,595
		Household Durables — 0.82%
	2,316	CalAtlantic Group, Inc.		88
	154	CSS Industries, Inc.		4
	92	Flexsteel Industries, Inc.		4
	5,268	Harman International Industries, Inc.		496
	4,990	Helen of Troy Ltd. (a)		470
	17,666	Libbey, Inc.		377
	318	Lifetime Brands, Inc.		4
	1,731	Universal Electronics, Inc. (a)		89
				1,532
		Household Products — 0.00%
	127	Central Garden & Pet Co., Class – A (a)		2

Shares		Security Description	Value (000)
		Independent Power and Renewable Electricity Producers — 0.01%
	542	NRG Energy, Inc., Class – C	$	6
	437	NRG Yield, Inc., Class – C		7
				13
		Industrial Conglomerates — 0.10%
	2,148	Carlisle Cos., Inc.		191
		Insurance — 3.30%
	1,013	Alleghany Corp.(a)		485
	160	American Equity Investment Life Holding Co.		4
	23,050	American Financial Group, Inc.		1,662
	42	American National Insurance Co.		4
	17,710	Argo Group International Holdings Ltd.		1,060
	5,165	Aspen Insurance Holdings Ltd.		249
	175	Assured Guaranty Ltd.		5
	176	EMC Insurance Group, Inc.		4
	12,185	Endurance Specialty Holdings Ltd.		780
	2,790	Everest Re Group Ltd.		511
	12,725	Genworth Financial, Inc., Class – A (a)		47
	372	Hallmark Financial Services, Inc. (a)		4
	125	HCI Group, Inc.		4
	272	Maiden Holdings Ltd.		4
	17	National Western Life Group, Inc., Class – A		4
	1,890	Primerica, Inc.		89
	3,700	StanCorp Financial Group, Inc.		421
	13,040	Stewart Information Services Corp.		488
	6,180	W.R. Berkley Corp.		338
				6,163
		Internet & Catalog Retail — 0.43%
	443	1-800-FLOWERS.COM, Inc., Class – A (a)		3
	16,814	Wayfair, Inc., Class – A^(a)		801
				804
		Internet Software & Services — 2.26%
	4,001	Akamai Technologies, Inc. (a)		211
	334	Bankrate, Inc. (a)		4
	465	Blucora, Inc. (a)		5
	52,451	Brightcove, Inc. (a)		325
	13,560	Cvent, Inc. (a)		473
	486	DHI Group, Inc. (a)		4
	603	EarthLink Holdings Corp.		4
	9,248	Envestnet, Inc. (a)		276
	6,885	GoDaddy, Inc., Class – A (a)		221
	34,216	Gogo, Inc.^(a)		609
	17,408	Hortonworks, Inc.^(a)		381
	58	j2 Global, Inc.		5
	7,638	LogMeln, Inc. (a)		513
	14,223	Monster Worldwide, Inc. (a)		81
	23,660	New Relic, Inc. (a)		863
	22,826	QuinStreet, Inc. (a)		98
	410	United Online, Inc. (a)		5
	6,698	Web.com Group, Inc. (a)		134
				4,212

See accompanying notes to financial statements.

47

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		IT Services — 2.46%
	100	Blackhawk Network Holdings, Inc. (a)	$	4
	156	Booz Allen Hamilton Holding Corp.		5
	48	CACI International, Inc., Class – A (a)		4
	128	Cardtronics, Inc. (a)		4
	82	Cass Information Systems, Inc.		4
	192	Convergys Corp.		5
	114	CoreLogic, Inc. (a)		4
	135	CSG Systems International, Inc.		5
	163	CSRA, Inc.		5
	586	Datalink Corp. (a)		4
	8,150	Euronet Worldwide, Inc. (a)		590
	1,219	Everi Holdings, Inc. (a)		5
	13,928	Global Payments, Inc.		898
	1,855	Heartland Payment Systems, Inc.		176
	17,066	Jack Henry & Associates, Inc.		1,332
	82	Leidos Holdings, Inc.		5
	975	Lionbridge Technologies, Inc. (a)		5
	6,520	Luxoft Holding, Inc. (a)		503
	146	ManTech International Corp., Class – A		4
	10,780	MAXIMUS, Inc.		606
	189	NeuStar, Inc., Class – A (a)		5
	268	Perficient, Inc. (a)		5
	90	Science Applications International Corp.		4
	147	Sykes Enterprises, Inc. (a)		5
	165	TeleTech Holdings, Inc.		5
	264	The Hackett Group, Inc.		4
	5,090	VeriFone Systems, Inc. (a)		143
	8,000	WNS (Holdings) Ltd., ADR (a)		250
				4,589
		Leisure Products — 0.15%
	29,401	Callaway Golf Co.		277
	545	JAKKS Pacific, Inc. (a)		4
	191	Johnson Outdoors, Inc., Class – A		4
				285
		Life Sciences Tools & Services — 1.19%
	542	Affymetrix, Inc. (a)		5
	296	Albany Molecular Research, Inc. (a)		6
	41	Bio-Rad Laboratories, Inc., Class – A (a)		6
	60	Bio-Techne Corp.		5
	253	Bruker Biosciences Corp. (a)		6
	11,529	Cambrex Corp. (a)		543
	75	Charles River Laboratories International, Inc. (a)		6
	1,762	Harvard Bioscience, Inc. (a)		6
	3,541	Illumina, Inc. (a)		680
	14,572	INC Research Holdings, Inc., Class – A (a)		706
	263	Luminex Corp. (a)		6
	82	PAREXEL International Corp. (a)		6
	131	PRA Health Sciences, Inc. (a)		6
	8,063	QIAGEN NV (a)		223
	216	VWR Corp. (a)		6
				2,216

Shares		Security Description	Value (000)
		Machinery — 2.97%
	15,610	Actuant Corp., Class – A	$	374
	67	AGCO Corp.		3
	73	American Railcar Industries		3
	203	Briggs & Stratton Corp.		4
	13,375	Chart Industries, Inc. (a)		240
	12,910	Columbus McKinnon Corp.		244
	1,253	Commercial Vehicle Group, Inc. (a)		3
	168	Freightcar America, Inc.		3
	167	Global Brass & Copper Holdings, Inc.		4
	18,464	Harsco Corp.		145
	63	Hyster-Yale Materials Handling, Inc.		3
	10,080	IDEX Corp.		772
	19,590	ITT Corp.		712
	295	Joy Global, Inc.		4
	9,902	Lincoln Electric Holdings, Inc.		514
	30,664	Meritor, Inc. (a)		256
	173	Miller Industries, Inc.		4
	91	Oshkosh Corp.		4
	9,543	Snap-on, Inc.		1,635
	11,103	Terex Corp.		205
	122	The Greenbrier Cos., Inc.		4
	119	The Timken Co.		3
	7,325	TriMas Corp. (a)		137
	151	Trinity Industries, Inc.		4
	4,888	Wabash National Corp. (a)		58
	1,951	WABCO Holdings, Inc. (a)		200
				5,538
		Marine — 0.12%
	4,368	Kirby Corp. (a)		230
		Media — 0.78%
	110	AMC Entertainment Holdings, Inc., Class – A		3
	235	Entercom Communications Corp. (a)		3
	166	Gannett, Inc. Com		3
	64,268	Global Eagle Entertainment, Inc. (a)		634
	622	Harte-Hanks, Inc.		2
	10,785	Imax Corp. (a)		383
	13,307	Lions Gate Entertainment Corp.		431
	85	Sinclair Broadcast Group, Inc.		3
	145	Time, Inc.		2
	264	Townsquare Media, Inc., Class – A (a)		3
	225	Tribune Publishing Co.		2
	55	Viacom, Inc., Class – A		2
				1,471
		Metals & Mining — 1.14%
	11,901	Agnico-Eagle Mines Ltd.		313
	60,047	Allegheny Technologies, Inc.		675
	14,696	Carpenter Technology Corp.		444
	66,533	Coeur d’Alene Mines Corp. (a)		165
	260	Commercial Metals Co.		4
	32,882	Ferroglobe PLC		353
	19,350	Horsehead Holding Corp.^(a)		40
	8,740	Schnitzer Steel Industries, Inc., Class – A		126
				2,120

See accompanying notes to financial statements.

48

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Multiline Retail — 0.00%
	101	Big Lots, Inc.	$	4
	59	Dillard’s, Inc., Class – A		4
				8
		Multi-Utilities — 0.42%
	167	Avista Corp.		6
	16,693	Black Hills Corp.		775
				781
		Oil, Gas & Consumable Fuels — 1.43%
	196	Alon USA Energy, Inc.		3
	40,180	Carrizo Oil & Gas, Inc. (a)		1,189
	124	Delek US Holdings, Inc.		3
	18,890	Energen Corp.		774
	542	Hallador Energy Co.		2
	14,077	Interoil Corp. (a)		442
	4,870	Matador Resources Co. (a)		96
	63	REX American Resources Corp. (a)		3
	100	Targa Resources Corp.		3
	150	Teekay Shipping Corp.		1
	77	Western Refining, Inc.		3
	25,188	WPX Energy, Inc. (a)		145
				2,664
		Paper & Forest Products — 0.51%
	9,218	Boise Cascade Co. (a)		235
	592	Clearwater Paper Corp. (a)		27
	100	Domtar Corp.		4
	37,178	Louisiana-Pacific Corp. (a)		669
	247	P.H. Glatfelter Co.		5
	100	Schweitzer-Mauduit International, Inc.		4
				944
		Personal Products — 0.00%
	56	Nu Skin Enterprises, Inc., Class – A		3
	57	Nutraceutical International Corp. (a)		1
				4
		Pharmaceuticals — 0.35%
	206	Catalent, Inc. (a)		5
	127	Impax Laboratories, Inc. (a)		5
	5,099	Intra-Cellular Therapies, Inc. (a)		274
	141	Lannett Co., Inc. (a)		6
	19,833	Nektar Therapeutics (a)		334
	161	Phibro Animal Health Corp., Class – A		5
	109	Prestige Brands Holdings, Inc. (a)		6
	377	Sagent Pharmaceuticals, Inc. (a)		6
	623	SciClone Pharmaceuticals, Inc. (a)		6
	145	The Medicines Co. (a)		5
				652
		Professional Services — 0.01%
	379	CBIZ, Inc. (a)		4
	257	Kelly Services, Inc., Class – A		4
	60	VSE Corp.		4
				12
		Real Estate Investment Trusts — 2.81%
	26,100	Acadia Realty Trust		865
	424	AG Mortgage Investment Trust, Inc.		5

Shares		Security Description	Value (000)
		Real Estate Investment Trusts (continued)
	12,647	Alexandria Real Estate Equities, Inc.	$	1,142
	412	American Capital Mortgage Investment Corp.		6
	1,290	Anworth Mortgage Asset Corp.		6
	430	Apollo Residential Mortgage, Inc.		5
	274	ARMOUR Residential REIT, Inc.		6
	921	Ashford Hospitality Trust		6
	857	Campus Crest Communities, Inc. (a)		6
	587	Capstead Mortgage Corp.		5
	413	CBL & Associates Properties, Inc.		5
	818	Cedar Realty Trust, Inc.		6
	295	Colony Capital, Inc., Class – A		6
	798	CYS Investments, Inc.		6
	6,724	DiamondRock Hospitality Co.		65
	182	DuPont Fabros Technology, Inc.		6
	905	Dynex Capital, Inc.		6
	13,361	EastGroup Properties, Inc.		743
	12,220	Equity Commonwealth (a)		339
	519	First Potomac Realty Trust		6
	399	Hatteras Financial Corp.		5
	433	Invesco Mortgage Capital		5
	767	Investors Real Estate Trust		5
	712	Lexington Realty Trust		6
	12,463	Mid-America Apartment Communities, Inc.		1,132
	495	New Residential Investment Corp.		6
	282	Pennsylvania Real Estate Investment Trust		6
	67	PS Business Parks, Inc.		6
	2,196	RAIT Financial Trust		6
	62,415	Redwood Trust, Inc.		824
	524	Western Asset Mortgage Capital Corp.		5
	550	WP GLIMCHER, Inc.		6
				5,252
		Real Estate Management & Development — 0.00%
	147	RE/MAX Holdings, Inc., Class – A		5
		Road & Rail — 0.11%
	218	ArcBest Corp.		5
	250	Covenant Transportation Group, Inc., Class – A (a)		5
	13,973	Swift Transportation Co. (a)		192
				202
		Semiconductors & Semiconductor Equipment — 6.62%
	839	Amkor Technology, Inc. (a)		5
	21,032	Atmel Corp.		181
	14,568	Cavium, Inc. (a)		957
	155	Cirrus Logic, Inc. (a)		5
	425	Cohu, Inc.		5
	14,927	Cree, Inc. (a)		398
	98,405	Cypress Semiconductor Corp.		965
	9,795	Diodes, Inc. (a)		225
	398	Entegris, Inc. (a)		5
	22,303	Fairchild Semiconductor International, Inc. (a)		462
	52,948	Integrated Device Technology, Inc. (a)		1,395
	443	IXYS Corp.		6
	18,895	MA-COM Technology Solutions Holdings, Inc. (a)		773
	74,399	Mattson Technology, Inc. (a)		263
	11,094	Maxim Integrated Products, Inc.		422

See accompanying notes to financial statements.

49

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Semiconductors & Semiconductor Equipment (continued)
	14,160	MKS Instruments, Inc.	$	510
	11,468	Monolithic Power Systems, Inc.		731
	169	OmniVision Technologies, Inc. (a)		5
	50,873	ON Semiconductor Corp. (a)		499
	421	Photronics, Inc. (a)		5
	16,868	Qorvo, Inc. (a)		859
	116,590	QuickLogic Corp. (a)		132
	5,838	Semtech Corp. (a)		110
	3,209	Silicon Laboratories, Inc. (a)		156
	10,832	Skyworks Solutions, Inc.		832
	5,869	Synaptics, Inc. (a)		472
	15,404	Tessera Technologies, Inc.		462
	24,285	Tower Semiconductor Ltd. (a)		341
	1,104	Ultra Clean Holdings, Inc. (a)		6
	30,085	Ultratech, Inc. (a)		596
	28,425	Veeco Instruments, Inc. (a)		584
	863	Xcerra Corp. (a)		5
				12,372
		Software — 6.74%
	7,070	Blackbaud, Inc.		466
	17,990	Callidus Software, Inc. (a)		334
	13,700	CyberArk Software Ltd. (a)		619
	145	Ebix, Inc.		5
	10,425	Electronic Arts, Inc. (a)		716
	10,383	Ellie Mae, Inc. (a)		625
	335	EPIQ Systems, Inc.		4
	50	Fair Isaac Corp.		5
	12,598	Fleetmatics Group Ltd. (a)		640
	12,905	Fortinet, Inc. (a)		402
	9,728	Guidewire Software, Inc. (a)		585
	7,290	HubSpot, Inc. (a)		410
	261	King Digital Entertainment PLC		5
	10,180	Manhattan Associates, Inc. (a)		674
	261	Mentor Graphics Corp.		5
	512	NetSuite, Inc. (a)		43
	13,920	Nuance Communications, Inc. (a)		277
	14,135	Paycom Software, Inc. (a)		532
	17,620	Proofpoint, Inc. (a)		1,145
	9,668	PTC, Inc. (a)		335
	64,578	Rovi Corp. (a)		1,076
	40,662	SeaChange International, Inc. (a)		274
	27,964	Silver Spring Networks, Inc. (a)		403
	9,020	Tangoe, Inc. (a)		76
	937	Telecommunication Systems, Inc. (a)		5
	2,237	The Ultimate Software Group, Inc. (a)		437
	49,213	TiVo, Inc. (a)		425
	8,734	Tyler Technologies, Inc. (a)		1,522
	6,457	Zendesk, Inc. (a)		171
	130,072	Zynga, Inc. (a)		349
				12,565
		Specialty Retail — 1.96%
	416	Ascena Retail Group, Inc. (a)		4
	462	Big 5 Sporting Goods Corp.		5
	11,994	Chico’s FAS, Inc.		128

Shares		Security Description	Value (000)
		Specialty Retail (continued)
	13,632	Francesca’s Holdings Corp. (a)	$	237
	133	GameStop Corp., Class – A		4
	51	Group 1 Automotive, Inc.		4
	15,246	MarineMax, Inc. (a)		281
	98	Outerwall, Inc.		4
	663	Pier 1 Imports, Inc.		3
	15,260	Rent-A-Center, Inc.		228
	8,317	Restoration Hardware Holdings, Inc. (a)		661
	187	Shoe Carnival, Inc.		4
	179	Sonic Automotive, Inc., Class – A		4
	5,448	Sportsman’s Warehouse Holdings, Inc. (a)		70
	590	Stein Mart, Inc.		4
	261	The Finish Line, Inc., Class – A		5
	25,743	Tile Shop Holdings, Inc. (a)		422
	703	Tilly’s, Inc., Class – A (a)		5
	18,448	Tractor Supply Co.		1,577
				3,650
		Technology Hardware, Storage & Peripherals — 0.19%
	88	Lexmark International, Inc., Class – A		3
	28,268	QLogic Corp. (a)		345
				348
		Textiles, Apparel & Luxury Goods — 1.15%
	9,680	Columbia Sportswear Co.		472
	112	Fossil Group, Inc. (a)		4
	24,812	G-III Apparel Group Ltd. (a)		1,099
	162	Movado Group, Inc.		4
	1,730	Oxford Industries, Inc.		110
	27,096	Wolverine World Wide, Inc.		453
				2,142
		Thrifts & Mortgage Finance — 0.40%
	147	Federal Agricultural Mortgage Corp., Class – C		5
	120	First Defiance Financial Corp.		5
	202	HomeStreet, Inc. (a)		4
	5,208	LendingTree, Inc. (a)		465
	8,272	PHH Corp. (a)		134
	791	TrustCo Bank Corp. NY		5
	3,810	WSFS Financial Corp.		123
				741
		Tobacco — 0.16%
	5,427	Universal Corp.		304
		Trading Companies & Distributors — 1.30%
	179	Aircastle Ltd.		4
	13,245	Applied Industrial Technologies, Inc.		536
	14,412	Beacon Roofing Supply, Inc. (a)		592
	18,538	BMC Stock Holdings, Inc. (a)		311
	377	CAI International, Inc. (a)		4
	6,492	GATX Corp.		276
	16,888	MRC Global, Inc. (a)		218
	216	TAL International Group, Inc.		3
	249	Textainer Group Holdings Ltd.		4
	4,001	Watsco, Inc.		469
	85	WESCO International, Inc. (a)		4
				2,421

See accompanying notes to financial statements.

50

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)		Security Description	Value (000)
		Common Stocks (continued)
		Wireless Telecommunication Services — 0.00%
	166	Spok Holdings, Inc.	$	3
		Total Common Stocks		154,508
		Contingent Rights — 0.00%
		Biotechnology — 0.00%
	700	Clinical Data, Inc.*(a)(b)		—
		Technology Hardware, Storage & Peripherals — 0.00%
	1,400	Gerber Scientific, Inc.*(a)(c)(d)		—
		Total Contingent Rights		—
		Time Deposit — 3.08%
$	5,754	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16		5,754
		Total Time Deposit		5,754
		Mutual Funds — 14.20%
	675,829	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (e)		676
	1,176,996	SSgA Prime Money Market Fund, 0.19% (f)		1,177
	24,639,936	SSgA Treasury Money Market Fund, 0.00% (f)		24,640
		Total Mutual Funds		26,493
		Repurchase Agreement — 1.24%
$	2,311	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $2,311,131 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $2,357,249)^^		2,311
		Total Repurchase Agreement		2,311
		Total Investments (cost $156,668) — 101.33%		189,066
		Liabilities in excess of other assets — (1.33)%		(2,490	)
		Net Assets — 100.00%	$	186,576

Amounts designated as “—” are $0 or have been rounded to $0.

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $2,850 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) Rights entitle the Portfolio to cash based on the company’s achievement of milestones in connection with a pharmaceutical drug that was brought to market.

(c) Rights entitle the Portfolio to cash based on any net recoveries obtained by the company in connection with certain claims of patent infringement.

(d) These securities have been deemed illiquid by the Specialist Manager and represent 0.00% of the Portfolio.

(e) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(f) The rate disclosed is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

REIT — Real Estate Investment Trust

See accompanying notes to financial statements.

51

HC CAPITAL TRUST

The Institutional Small Capitalization–Mid Capitalization Equity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Institutional Small Capitalization-Mid Capitalization Equity Portfolio	Cupps Capital Management, LLC			Frontier Capital Management Company, LLC			IronBridge Capital Management LP			Mellon Capital Management Corporation			Parametric Portfolio Associates, LLC			Pzena Investment Management, LLC			HC Capital Solutions			Total
Common Stocks		15.32	%		27.50	%		33.85	%		0.82	%		—			5.32	%		—			82.81	%
Contingent Rights		—			—			—			0.00	%		—			—			—			0.00	%
Time Deposit		—			1.42	%		1.58	%		—			—			0.08	%		—			3.08	%
Mutual Funds		0.80	%		0.17	%		0.02	%		0.02	%		2.25	%		—			10.94	%		14.20	%
Repurchase Agreement		0.57	%		0.60	%		0.07	%					—			—			—			1.24	%
Other Assets (Liabilities)		-0.82	%		-0.77	%		-0.29	%		0.00	%		0.60	%		-0.05	%		—			-1.33	%
Total Net Assets		15.87	%		28.92	%		35.23	%		0.84	%		2.85	%		5.35	%		10.94	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	226	Russell 2000 Index Future	$	25,572		3/18/16	$	230
		Net Unrealized Appreciation/(Depreciation)					$	230

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

52

HC CAPITAL TRUST

The Real Estate Securities Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 90.27%
		Food & Staples Retailing — 0.93%
	13,264	CVS Caremark Corp.	$	1,297
		Hotels, Restaurants & Leisure — 3.17%
	107,467	Hilton Worldwide Holdings, Inc.		2,299
	29,436	Wyndham Worldwide Corp.		2,139
				4,438
		Household Durables — 0.96%
	42,166	D.R. Horton, Inc.		1,351
		Real Estate Investment Trusts — 80.39%
	40,147	Acadia Realty Trust		1,331
	46,760	American Tower Corp.		4,533
	57,091	AvalonBay Communities, Inc.		10,512
	197,995	Big Yellow Group PLC		2,348
	42,266	Boston Properties, Inc.		5,391
	177,943	Douglas Emmett, Inc.		5,548
	121,488	Duke Realty Corp.		2,554
	8,764	Equinix, Inc.		2,650
	53,745	Equity Lifestyle Properties, Inc.		3,583
	100,190	Equity One, Inc.		2,720
	78,450	Equity Residential		6,401
	33,849	Essex Property Trust, Inc.		8,104
	35,996	Extra Space Storage, Inc.		3,175
	36,676	Federal Realty Investment Trust		5,358
	176,491	General Growth Properties, Inc.		4,802
	95,300	Healthcare Trust of America, Inc., Class – A		2,570
	25,383	Kite Realty Group Trust		658
	99,718	Paramount Group, Inc.		1,805
	37,165	Pebblebrook Hotel Trust		1,041
	117,826	Physicians Realty Trust		1,987
	25,850	PS Business Parks, Inc.		2,260
	36,963	Public Storage		9,156
	61,823	Simon Property Group, Inc.		12,021
	44,993	SL Green Realty Corp.		5,083
	103,742	Welltower, Inc.		7,058
				112,649

Shares		Security Description	Value (000)
		Real Estate Management & Development — 4.82%
	210,467	Forest City Enterprises, Inc., Class – A (a)	$	4,616
	4,024	Jones Lang LaSalle, Inc.		643
	61,783	Kennedy-Wilson Holdings, Inc.		1,488
				6,747
		Total Common Stocks		126,482
		Mutual Funds — 9.40%
	2,338,633	DWS Government Cash Money Market Fund, 0.15% (b)		2,339
	10,836,091	SSgA Treasury Money Market Fund, 0.00% (b)		10,836
		Total Mutual Funds		13,175
		Total Investments (cost $113,732) — 99.67%		139,657
		Other assets in excess of liabilities — 0.33%		460
		Net Assets — 100.00%	$	140,117

(a) Represents non-income producing security.

(b) The rate disclosed is the rate in effect on December 31, 2015.

See accompanying notes to financial statements.

53

HC CAPITAL TRUST

The Real Estate Securities Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Real Estate Securities Portfolio	Parametric Portfolio Associates, LLC			Wellington Management Company, LLP			HC Capital Solutions			Total
Common Stocks		—			90.27	%		—			90.27	%
Mutual Funds		1.31	%		1.67	%		6.42	%		9.40	%
Other Assets (Liabilities)		0.11	%		0.22	%		—			0.33	%
Total Net Assets		1.42	%		92.16	%		6.42	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	87	Dow Jones U.S. Real Estate Index Future	$	2,559		3/18/16	$	63
		Net Unrealized Appreciation/(Depreciation)					$	63

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

54

HC CAPITAL TRUST

The Commodity Returns Strategy Portfolio

Consolidated Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 70.28%
		Australia — 2.49%
	191,368	Alumina Ltd. (Metals & Mining)	$	160
	84,143	Amcor Ltd. (Containers & Packaging)		817
	229,107	BHP Billiton Ltd. (Metals & Mining)		2,947
	59,309	Boral Ltd. (Construction Materials)		254
	165,149	Caltex Australia Ltd. (Oil, Gas & Consumable Fuels)		4,513
	1,061,399	Fortescue Metals Group Ltd. (Metals & Mining)^		1,428
	403,365	Iluka Resources Ltd. (Metals & Mining)		1,784
	126,965	Incitec Pivot Ltd. (Chemicals)		363
	1,906,969	Medusa Mining Ltd. (Metals & Mining) (a)		501
	54,636	Newcrest Mining Ltd. (Metals & Mining) (a)		517
	28,243	Orica Ltd. (Chemicals)		316
	353,606	Origin Energy Ltd. (Oil, Gas & Consumable Fuels)		1,196
	30,247	Rio Tinto Ltd. (Metals & Mining)		978
	1,201,897	Santos Ltd. (Oil, Gas & Consumable Fuels)		3,200
	770,383	Western Areas Ltd. (Metals & Mining)		1,248
	150,374	Woodside Petroleum Ltd. (Oil, Gas & Consumable Fuels)		3,132
				23,354
		Austria — 0.29%
	29,824	OMV AG (Oil, Gas & Consumable Fuels)		846
	293,889	Schoeller-Bleckmann Oilfield Equipment AG, ADR (Energy Equipment & Services)*		1,610
	8,493	Voestalpine AG (Metals & Mining)		260
				2,716
		Belgium — 0.45%
	5,292	Solvay SA (Chemicals)		565
	87,669	Umicore SA (Chemicals)		3,676
				4,241
		Bermuda — 0.07%
	654,000	Kunlun Energy Co. Ltd. (Oil, Gas & Consumable Fuels)		581
	142,000	Nine Dragons Paper Holdings Ltd. (Paper & Forest Products)		83
				664
		Brazil — 0.34%
	51,600	Companhia Siderurgica Nacional SA (CSN) (Metals & Mining)		52
	20,213	Cosan SA Industria e Comercio (Oil, Gas & Consumable Fuels)		129
	20,577	Duratex SA (Paper & Forest Products)		31
	18,900	Fibria Celulose SA (Paper & Forest Products)		248
	603,712	Petroleo Brasileiro SA (Oil, Gas & Consumable Fuels) (a)		1,308
	73,303	Ultrapar Participacoes SA (Oil, Gas & Consumable Fuels)		1,120
	97,510	Vale SA (Metals & Mining)		321
				3,209
		Canada — 6.16%
	16,300	Agnico-Eagle Mines Ltd. (Metals & Mining)		429
	9,687	Agrium, Inc. (Chemicals)^		866
	29,300	AltaGas Ltd. (Oil, Gas & Consumable Fuels)		654
	69,400	ARC Resources Ltd. (Oil, Gas & Consumable Fuels)		838

Shares		Security Description	Value (000)
		Canada (continued)
	80,300	Cameco Corp. (Oil, Gas & Consumable Fuels)	$	991
	293,669	Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels)		6,415
	98,300	Canadian Oil Sands Ltd. (Oil, Gas & Consumable Fuels)		588
	1,600	CCL Industries, Inc., Class B (Containers & Packaging)		259
	169,014	Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels)		2,138
	496,404	Eldorado Gold Corp. (Metals & Mining)		1,471
	174,411	Enbridge, Inc. (Oil, Gas & Consumable Fuels)		5,799
	419,671	First Quantum Minerals Ltd. (Metals & Mining)		1,571
	10,340	Franco-Nevada Corp. (Metals & Mining)		473
	386,918	Goldcorp, Inc. (Metals & Mining)		4,473
	70,515	Husky Energy, Inc. (Oil, Gas & Consumable Fuels)		729
	72,988	Imperial Oil Ltd. (Oil, Gas & Consumable Fuels)		2,374
	60,160	Imperial Oil Ltd. (Oil, Gas & Consumable Fuels)		1,960
	68,100	Inter Pipeline Ltd. (Oil, Gas & Consumable Fuels)^		1,093
	34,500	Keyera Corp. (Oil, Gas & Consumable Fuels)		1,004
	53,000	Methanex Corp. (Chemicals)		1,751
	69,569	Pembina Pipelines Corp. (Oil, Gas & Consumable Fuels)		1,516
	30,600	Peyto Exploration & Development Corp. (Oil, Gas & Consumable Fuels)		550
	59,546	Potash Corp. of Saskatchewan, Inc. (Chemicals)		1,020
	30,551	Silver Wheaton Corp. (Metals & Mining)		380
	293,198	Suncor Energy, Inc. (Oil, Gas & Consumable Fuels)		7,570
	42,997	Teck Cominco Ltd., Class B (Metals & Mining)^		166
	280,500	TransCanada Corp. (Oil, Gas & Consumable Fuels)^		9,163
	76,206	Turquoise Hill Resources Ltd. (Metals & Mining) (a)		193
	73,448	Uranium Participation Corp. (Capital Markets) (a)		272
	48,200	Veresen, Inc. (Oil, Gas & Consumable Fuels)^		309
	22,300	Vermilion Energy, Inc. (Oil, Gas & Consumable Fuels)^		606
	5,200	West Fraser Timber Co. Ltd. (Paper & Forest Products)		197
				57,818
		Chile — 0.11%
	94,714	Empresas CMPC SA (Paper & Forest Products)		205
	92,242	Empresas Copec SA (Oil, Gas & Consumable Fuels)		792
				997
		China — 1.47%
	300,000	Aluminum Corp. of China Ltd., H Shares (Metals & Mining) (a)		98
	777,700	Anhui Conch Cement Co. Ltd., H Shares (Construction Materials)		2,079
	441,000	China Coal Energy Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)^		168

See accompanying notes to financial statements.

55

HC CAPITAL TRUST

The Commodity Returns Strategy Portfolio

Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		China (continued)
	299,000	China Oilfield Services Ltd., H Shares (Energy Equipment & Services)	$	257
	5,173,869	China Petroleum & Chemical Corp., H Shares (Oil, Gas & Consumable Fuels)		3,108
	689,300	China Shenhua Energy Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)		1,076
	3,621,302	CNOOC Ltd. (Oil, Gas & Consumable Fuels)		3,770
	100,000	Jiangxi Copper Co. Ltd., H Shares (Metals & Mining)		118
	4,278,729	PetroChina Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)		2,801
	264,000	Sinopec Shanghai Petrochemical Co. Ltd., H Shares (Chemicals) (a)		104
	308,000	Yanzhou Coal Mining Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)^		143
	443,000	Zijin Mining Group Co. Ltd., H Shares (Metals & Mining)		116
				13,838
		Colombia — 0.05%
	30,543	Cementos Argos SA (Construction Materials)		94
	814,818	Ecopetrol SA (Oil, Gas & Consumable Fuels)		286
	22,006	Grupo Argos SA (Construction Materials)		112
				492
		Curaçao — 2.69%
	361,425	Schlumberger Ltd. (Energy Equipment & Services)		25,209
		Denmark — 0.12%
	5,746	Christian Hansen Holding A/S (Chemicals)		359
	16,657	Novozymes A/S, B Shares (Chemicals)		798
				1,157
		Finland — 0.19%
	25,975	Neste Oil Oyj (Oil, Gas & Consumable Fuels)		775
	41,709	Stora Enso Oyj, R Shares (Paper & Forest Products)		377
	35,841	UPM-Kymmene Oyj (Paper & Forest Products)		666
				1,818
		France — 2.07%
	24,589	Air Liquide SA (Chemicals)		2,760
	4,966	Arkema SA (Chemicals)		348
	2,587	Imerys SA (Construction Materials)		181
	21,223	Technip SA (Energy Equipment & Services)		1,055
	335,712	Total SA (Oil, Gas & Consumable Fuels) (b)		15,048
				19,392
		Germany — 1.31%
	51,845	Aurubis AG (Metals & Mining)		2,625
	65,566	BASF SE (Chemicals)		4,993
	8,123	Evonik Industries AG (Chemicals)		269
	10,089	HeidelbergCement AG (Construction Materials)		822
	14,503	K+S AG – Registered (Chemicals)		370
	6,935	Lanxess AG (Chemicals)		319
	13,292	Linde AG (Chemicals)		1,920
	8,144	Symrise AG (Chemicals)		539
	24,173	ThyssenKrupp AG (Metals & Mining)		479
				12,336

Shares		Security Description	Value (000)
		Greece — 0.01%
	3,504	Titan Cement Co., SA (Construction Materials)	$	67
		Hungary — 0.03%
	6,042	MOL Hungarian Oil & Gas PLC (Oil, Gas & Consumable Fuels)		295
		India — 0.45%
	132,519	Reliance Industries Ltd., GDR (Oil, Gas & Consumable Fuels) (c)		4,055
	21,972	Tata Steel Ltd., Registered Shares, GDR (Metals & Mining)		87
	16,783	Vedanta Ltd., ADR (Metals & Mining)		93
				4,235
		Indonesia — 0.05%
	2,377,300	PT Adaro Energy Tbk (Oil, Gas & Consumable Fuels)		88
	111,600	PT Indocement Tunggal Prakarsa Tbk (Construction Materials)		179
	224,700	PT Semen Gresik (Persero) Tbk (Construction Materials)		184
				451
		Ireland (Republic of) — 0.18%
	58,672	CRH PLC (Construction Materials)		1,692
		Israel — 0.02%
	38,536	Israel Chemicals Ltd. (Chemicals)		156
		Italy — 1.46%
	892,040	Eni SpA (Oil, Gas & Consumable Fuels)		13,253
	53,733	Saipem SpA (Energy Equipment & Services)^(a)		434
				13,687
		Japan — 3.04%
	12,000	Air Water, Inc. (Chemicals)		193
	83,000	Asahi Kasei Corp. (Chemicals)		561
	22,100	Daicel Corp. (Chemicals)		329
	7,900	Hitachi Chemical Co. Ltd. (Chemicals)		125
	16,000	Hitachi Metals Ltd. (Metals & Mining)		197
	14,500	Idemitsu Kosan Co. Ltd. (Oil, Gas & Consumable Fuels)		232
	612,800	INPEX Corp. (Oil, Gas & Consumable Fuels)		5,974
	35,100	JFE Holdings, Inc. (Metals & Mining)		551
	142,000	JGC Corp. (Construction & Engineering)		2,174
	14,400	JSR Corp. (Chemicals)		224
	455,444	JX Holdings, Inc. (Oil, Gas & Consumable Fuels)		1,912
	21,000	Kaneka Corp. (Chemicals)		218
	17,000	Kansai Paint Co. Ltd. (Chemicals)		258
	235,000	Kobe Steel Ltd. (Metals & Mining)		255
	152,100	Komatsu Ltd. (Machinery)		2,489
	26,100	Kuraray Co. Ltd. (Chemicals)		316
	4,100	Maruichi Steel Tube Ltd. (Metals & Mining)		121
	89,800	Mitsubishi Chemical Holdings Corp. (Chemicals)		570
	30,000	Mitsubishi Gas Chemical Co., Inc. (Chemicals)		153
	1,231,000	Mitsubishi Materials Corp. (Metals & Mining)		3,879
	62,000	Mitsui Chemicals, Inc. (Chemicals)		275
	11,100	Nippon Paint Holdings Co. Ltd. (Chemicals)		269

See accompanying notes to financial statements.

56

HC CAPITAL TRUST

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Japan (continued)
	54,200	Nippon Steel & Sumitomo Metal Corp. (Metals & Mining)	$	1,072
	11,800	Nitto Denko Corp. (Chemicals)		862
	60,000	Oji Paper Co. Ltd. (Paper & Forest Products)		241
	29,315	Shin-Etsu Chemical Co. Ltd. (Chemicals)		1,594
	31,100	Showa Shell Sekiyu K.K. (Oil, Gas & Consumable Fuels)		254
	99,000	Sumitomo Chemical Co. Ltd. (Chemicals)		569
	29,000	Sumitomo Metal Mining Co. Ltd. (Metals & Mining)		352
	89,000	Taiheiyo Cement Corp. (Construction Materials)		260
	11,500	Taiyo Nippon Sanso Corp. (Chemicals)		104
	71,000	Teijin Ltd. (Chemicals)		242
	57,000	TonenGeneral Sekiyu K.K. (Oil, Gas & Consumable Fuels)		481
	105,000	Toray Industries, Inc. (Chemicals)		976
	12,600	Toyo Seikan Kaisha Ltd. (Containers & Packaging)		234
				28,516
		Jersey — 0.62%
	872,945	Glencore International PLC (Metals & Mining)		1,157
	52,650	Petrofac Ltd. (Energy Equipment & Services)		617
	65,027	Randgold Resources Ltd. (Metals & Mining)		4,006
				5,780
		Luxembourg — 0.15%
	75,714	ArcelorMittal (Metals & Mining)^		319
	95,794	Tenaris SA (Energy Equipment & Services)		1,135
				1,454
		Malaysia — 0.11%
	387,550	Bumi Armada Berhad (Energy Equipment & Services)		92
	31,600	Lafarge Malayan Cement Berhad (Construction Materials)		65
	212,200	Petronas Chemicals Group Berhad (Chemicals)		359
	41,000	Petronas Dagangan Berhad (Oil, Gas & Consumable Fuels)		238
	544,300	SapuraKencana Petroleum Berhad (Energy Equipment & Services)		255
				1,009
		Mexico — 0.14%
	845,167	Cemex SAB de CV (Construction Materials) (a)		463
	254,734	Grupo Mexico SAB de CV, Series B (Metals & Mining)		544
	10,539	Industrias Penoles SAB de CV (Metals & Mining)		108
	79,532	Mexichem SAB de CV (Chemicals)		178
				1,293
		Mongolia — 0.06%
	25,735,800	Mongolian Mining Corp. (Metals & Mining) (a)		578

Shares		Security Description	Value (000)
		Netherlands — 0.86%
	17,687	Akzo Nobel NV (Chemicals)	$	1,182
	8,589	Core Laboratories NV (Energy Equipment & Services)		934
	12,147	Koninklijke DSM NV (Chemicals)		609
	14,213	Koninklijke Vopak NV (Oil, Gas & Consumable Fuels)		612
	54,669	LyondellBasell Industries NV, Class – A (Chemicals)		4,750
				8,087
		New Zealand — 0.03%
	52,119	Fletcher Building Ltd. (Construction Materials)		261
		Norway — 1.36%
	1,137,902	Norsk Hydro ASA (Metals & Mining)		4,231
	485,365	Statoil ASA (Oil, Gas & Consumable Fuels)		6,772
	77,553	TGS Nopec Geophysical Co. ASA (Energy Equipment & Services)^		1,235
	11,905	Yara International ASA (Chemicals)		512
				12,750
		Papua New Guinea — 0.14%
	277,947	Oil Search Ltd. (Oil, Gas & Consumable Fuels)		1,352
		Peru — 0.01%
	14,500	Compania de Minas Buenaventura SA, ADR (Metals & Mining) (a)		62
		Poland — 0.21%
	3,383	Grupa Azoty SA (Chemicals) (a)		86
	15,267	Grupa Lotos SA (Oil, Gas & Consumable Fuels) (a)		105
	10,608	KGHM Polska Miedz SA (Metals & Mining)		171
	65,082	Polski Koncern Naftowy Orlen SA (Oil, Gas & Consumable Fuels)		1,123
	358,943	Polskie Gornictwo Naftowe i Gazownictwo SA (Oil, Gas & Consumable Fuels)		470
	43,774	Synthos SA (Chemicals)		42
				1,997
		Portugal — 0.10%
	78,185	Galp Energia SGPS SA, B Shares (Oil, Gas & Consumable Fuels)		912
		Russia — 1.45%
	1,214,217	Gazprom OAO – Sponsored ADR (Oil, Gas & Consumable Fuels)		4,515
	103,532	Lukoil PJSC, ADR (Oil, Gas & Consumable Fuels)		3,352
	40,393	MMC Norilsk Nickel PJSC, ADR (Metals & Mining)		513
	18,445	NovaTek OAO, Registered Shares, GDR (Oil, Gas & Consumable Fuels)		1,519
	238,310	Rosneft Oil Co. OJSC, Registered Shares, GDR (Oil, Gas & Consumable Fuels)		831
	15,568	Severstal, Registered Shares, GDR (Metals & Mining)		130
	328,084	Surgutneftegas, ADR (Oil, Gas & Consumable Fuels)		1,496
	47,351	Tatneft, ADR (Oil, Gas & Consumable Fuels)		1,252
				13,608

See accompanying notes to financial statements.

57

HC CAPITAL TRUST

The Commodity Returns Strategy Portfolio

Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		South Africa — 0.40%
	4,534	Anglo Platinum Ltd. (Metals & Mining) (a)	$	55
	23,659	Exxaro Resources Ltd. (Oil, Gas & Consumable Fuels)^		67
	58,952	Gold Fields Ltd. (Metals & Mining)		161
	40,718	Impala Platinum Holdings Ltd. (Metals & Mining) (a)		66
	8,965	Mondi Ltd. (Paper & Forest Products)		178
	41,221	Sappi Ltd. (Paper & Forest Products) (a)		173
	112,222	Sasol Ltd. (Oil, Gas & Consumable Fuels)		3,033
				3,733
		South Korea — 0.55%
	8,440	GS Holdings Corp. (Oil, Gas & Consumable Fuels)		362
	7,976	Hanwha Chemical Corp. (Chemicals)		182
	1,169	Honam Petrochemical Corp. (Chemicals)		239
	1,730	Hyosung Corp. (Chemicals)		171
	5,298	Hyundai Steel Co. (Metals & Mining)		223
	1,172	Korea Kumho Petrochemical Co. Ltd. (Chemicals)		51
	643	Korea Zinc Co. Ltd. (Metals & Mining)		256
	3,305	LG Chem Ltd. (Chemicals)		912
	1,265	OCI Co. Ltd. (Chemicals)^		80
	4,685	POSCO (Metals & Mining)		657
	13,130	SK Innovation Co. Ltd. (Oil, Gas & Consumable Fuels) (a)		1,440
	9,138	S-Oil Corp. (Oil, Gas & Consumable Fuels)		612
				5,185
		Spain — 0.26%
	222,669	Repsol YPF SA (Oil, Gas & Consumable Fuels)		2,451
		Sweden — 0.68%
	380,133	Boliden AB (Metals & Mining)		6,373
		Switzerland — 0.88%
	620	EMS-Chemie Holding AG – Registered (Chemicals)		273
	659	Givaudan SA (Chemicals)		1,196
	30,258	Holcim Ltd., Registered Shares (Construction Materials)		1,516
	125	Sika AG (Chemicals)		452
	6,631	Syngenta AG, Registered Shares (Chemicals)		2,596
	73,747	Transocean Ltd. (Energy Equipment & Services)^		922
	157,200	Weatherford International PLC (Energy Equipment & Services) (a)		1,319
				8,274
		Taiwan — 0.34%
	179,082	Asia Cement Corp. (Construction Materials)		149
	842,376	China Steel Corp. (Metals & Mining)		459
	230,000	Formosa Chemicals & Fibre Corp. (Chemicals)		516
	232,000	Formosa Petrochemical Corp. (Oil, Gas & Consumable Fuels)		555
	278,160	Formosa Plastics Corp. (Chemicals)		650
	320,010	Nan Ya Plastics Corp. (Chemicals)		591
	252,000	Taiwan Cement Corp. (Construction Materials)		209
	67,000	Taiwan Fertilizer Co. Ltd. (Chemicals)		87
				3,216

Shares		Security Description	Value (000)
		Thailand — 0.29%
	96,700	Banpu Public Co. Ltd., Registered Shares (Oil, Gas & Consumable Fuels)	$	43
	54,800	Indorama Ventures Public Co. Ltd. (Chemicals)		32
	1,622,100	IRPC Public Co. Ltd. – NVDR (Oil, Gas & Consumable Fuels)		192
	178,504	PTT Exploration & Production Public Co. Ltd. (Oil, Gas & Consumable Fuels)		283
	125,455	PTT Global Chemical Public Co. Ltd. (Chemicals)		174
	200,900	PTT Public Co. Ltd. – NVDR (Oil, Gas & Consumable Fuels)		1,353
	129,300	Thai Oil Public Co. Ltd. (Oil, Gas & Consumable Fuels)		236
	29,000	The Siam Cement Public Co. Ltd. (Construction Materials)		366
				2,679
		Turkey — 0.08%
	106,080	Eregli Demir ve Celik Fabrikalari TAS (Metals & Mining)		110
	33,080	Petkim Petrokimya Holding A/S (Chemicals) (a)		52
	25,380	Tupras-Turkiye Petrol Rafinerileri A/S (Oil, Gas & Consumable Fuels) (a)		606
				768
		United Kingdom — 10.00%
	79,110	AMEC PLC (Energy Equipment & Services)		499
	94,529	Anglo American PLC (Metals & Mining)		415
	29,880	Antofagasta PLC (Metals & Mining)		206
	937,181	BG Group PLC (Oil, Gas & Consumable Fuels)		13,583
	1,498,915	BHP Billiton PLC (Metals & Mining)		16,714
	2,911,832	BP PLC (Oil, Gas & Consumable Fuels)		15,130
	7,889	Croda International PLC (Chemicals)		353
	16,751	Fresnillo PLC (Metals & Mining)		174
	13,527	Johnson Matthey PLC (Chemicals)		529
	24,426	Mondi PLC (Paper & Forest Products)		479
	40,968	Rexam PLC (Containers & Packaging)		365
	252,939	Rio Tinto PLC (Metals & Mining)		7,363
	1,185,657	Royal Dutch Shell PLC, A Shares (Oil, Gas & Consumable Fuels)		26,851
	494,872	Royal Dutch Shell PLC, B Shares (Oil, Gas & Consumable Fuels)		11,277
				93,938
		United States — 28.51%
	14,560	Air Products & Chemicals, Inc. (Chemicals)		1,894
	4,825	Airgas, Inc. (Chemicals)		667
	6,478	Albemarle Corp. (Chemicals)		363
	807,760	Alcoa, Inc. (Metals & Mining)		7,974
	30,535	Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels)		1,483
	13,700	Antero Resources Corp. (Oil, Gas & Consumable Fuels)^(a)		299
	4,600	Ashland, Inc. (Chemicals)		472
	5,300	Avery Dennison Corp. (Containers & Packaging)		332
	88,425	Baker Hughes, Inc. (Energy Equipment & Services)		4,081

See accompanying notes to financial statements.

58

HC CAPITAL TRUST

The Commodity Returns Strategy Portfolio

Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		United States (continued)
	8,700	Ball Corp. (Containers & Packaging)	$	633
	403,843	Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels)		7,144
	38,646	Cameron International Corp. (Energy Equipment & Services) (a)		2,442
	42,181	Caterpillar, Inc. (Machinery)		2,867
	10,900	Celanese Corp., Series A (Chemicals)		734
	16,625	CF Industries Holdings, Inc. (Chemicals)		678
	121,446	Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels)^		547
	270,908	Chevron Corp. (Oil, Gas & Consumable Fuels)		24,370
	19,200	Cimarex Energy Co. (Oil, Gas & Consumable Fuels)		1,716
	26,000	Concho Resources, Inc. (Oil, Gas & Consumable Fuels) (a)		2,414
	388,553	ConocoPhillips (Oil, Gas & Consumable Fuels)		18,141
	15,438	Continental Resources, Inc. (Oil, Gas & Consumable Fuels) (a)		355
	9,900	Crown Holdings, Inc. (Containers & Packaging) (a)		502
	64,510	E.I. du Pont de Nemours & Co. (Chemicals)		4,297
	9,956	Eastman Chemical Co. (Chemicals)		672
	18,936	Ecolab, Inc. (Chemicals)		2,166
	45,380	Energen Corp. (Oil, Gas & Consumable Fuels)		1,860
	191,549	EOG Resources, Inc. (Oil, Gas & Consumable Fuels)		13,560
	30,938	EQT Corp. (Oil, Gas & Consumable Fuels)		1,613
	471,926	Exxon Mobil Corp. (Oil, Gas & Consumable Fuels)		36,875
	61,319	First Solar, Inc. (Semiconductors & Semiconductor Equipment) (a)		4,046
	10,162	FMC Corp. (Chemicals)		398
	46,500	FMC Technologies, Inc. (Energy Equipment & Services) (a)		1,349
	70,517	Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining)		477
	173,348	Halliburton Co. (Energy Equipment & Services)		5,901
	21,900	Helmerich & Payne, Inc. (Energy Equipment & Services)^		1,173
	52,348	Hess Corp. (Oil, Gas & Consumable Fuels)		2,538
	36,372	HollyFrontier Corp. (Oil, Gas & Consumable Fuels)		1,451
	5,400	International Flavors & Fragrances, Inc. (Chemicals)		646
	28,300	International Paper Co. (Containers & Packaging)		1,067
	137,334	Marathon Oil Corp. (Oil, Gas & Consumable Fuels)		1,729
	199,511	Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels)		10,343
	3,828	Martin Marietta Materials, Inc. (Construction Materials)		523
	33,326	Monsanto Co. (Chemicals)		3,283
	33,300	Murphy Oil Corp. (Oil, Gas & Consumable Fuels)		748
	158,610	National Oilwell Varco, Inc. (Energy Equipment & Services)		5,312
	33,375	Newmont Mining Corp. (Metals & Mining)		600

Shares		Security Description	Value (000)
		United States (continued)
	86,920	Noble Energy, Inc. (Oil, Gas & Consumable Fuels)	$	2,862
	154,596	Nucor Corp. (Metals & Mining)		6,230
	154,910	Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels)		10,473
	19,858	Oceaneering International, Inc. (Energy Equipment & Services)		745
	42,400	ONEOK, Inc. (Oil, Gas & Consumable Fuels)		1,046
	5,700	Packaging Corp. of America (Containers & Packaging)		359
	154,142	Pattern Energy Group, Inc. (Independent Power and Renewable Electricity Producers)		3,223
	172,175	Phillips 66 (Oil, Gas & Consumable Fuels)		14,085
	43,042	Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels)		5,397
	19,322	PPG Industries, Inc. (Chemicals)		1,909
	20,450	Praxair, Inc. (Chemicals)		2,094
	34,329	Range Resources Corp. (Oil, Gas & Consumable Fuels)		845
	50,579	Reliance Steel & Aluminum Co. (Metals & Mining)		2,929
	14,100	Sealed Air Corp. (Containers & Packaging)		629
	12,260	Southern Copper Corp. (Metals & Mining)		320
	136,178	Spectra Energy Corp. (Oil, Gas & Consumable Fuels)		3,260
	107,883	SunPower Corp. (Semiconductors & Semiconductor Equipment)^(a)		3,238
	25,000	Tesoro Corp. (Oil, Gas & Consumable Fuels)		2,634
	80,229	The Dow Chemical Co. (Chemicals)		4,131
	84,075	The Mosaic Co. (Chemicals)		2,320
	5,651	The Sherwin-Williams Co. (Chemicals)		1,467
	195,015	Valero Energy Corp. (Oil, Gas & Consumable Fuels)		13,791
	9,500	Vulcan Materials Co. (Construction Materials)		902
	3,500	Westlake Chemical Corp. (Chemicals)		190
				267,724
		Total Common Stocks		659,824
		Preferred Stocks — 0.38%
		Brazil — 0.24%
	10,700	Braskem SA – Preferred, Class – A (Chemicals)		75
	65,100	Gerdau SA – Preferred (Metals & Mining)		77
	208,600	Klabin SA – Preferred (Containers & Packaging)		201
	795,275	Petroleo Brasileiro SA – Preferred (Oil, Gas & Consumable Fuels) (a)		1,347
	27,900	Suzano Papel e Celulose SA – Preferred, Class – A (Paper & Forest Products)		132
	146,004	Vale SA – Preferred (Metals & Mining)		378
				2,210
		Chile — 0.01%
	7,309	Sociedad Quimica y Minera de Chile SA –Preferred, B Shares (Chemicals)		137
		Germany — 0.03%
	5,266	Fuchs Petrolub AG – Preferred (Chemicals)		248
		Russia — 0.09%
	315	AK Transneft OAO – Preferred (Oil, Gas & Consumable Fuels)		838

See accompanying notes to financial statements.

59

HC CAPITAL TRUST

The Commodity Returns Strategy Portfolio

Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)		Security Description	Value (000)
		Preferred Stocks (continued)
		South Korea — 0.01%
	578	LG Chem Ltd. – Preferred (Chemicals)	$	121
		Total Preferred Stocks		3,554
		Corporate Bonds — 0.48%
$	400	Bank of America Corp., 4.10%, 7/24/23 (Banks)		414
	500	Baxalta, Inc., 2.88%, 6/23/20, Callable 5/23/20 @ 100 (Biotechnology) (c)		494
	100	Baxalta, Inc., 3.60%, 6/23/22, Callable 4/23/22 @ 100 (Biotechnology) (c)		100
	400	Baxalta, Inc., 4.00%, 6/23/25, Callable 3/23/25 @ 100 (Biotechnology) (c)		396
	100	Citigroup, Inc., 2.65%, 10/26/20 (Banks)		99
	650	eBay, Inc., 1.35%, 7/15/17 (Internet Software & Services)		645
	700	Ford Motor Credit Co. LLC, 0.98%, 9/8/17 (Consumer Finance) (d)		690
	400	Goldman Sachs Group, Inc., 1.71%, 9/15/20, Callable 8/15/20 @ 100 (Capital Markets) (d)		401
	150	HP Enterprise Co., 2.45%, 10/5/17 (Technology Hardware, Storage & Peripherals) (c)		150
	150	HP Enterprise Co., 2.85%, 10/5/18, Callable 9/5/18 @ 100 (Technology Hardware, Storage & Peripherals) (c)		150
	700	International Lease Finance Corp., 5.75%, 5/15/16 (Trading Companies & Distributors)		710
	166	Overseas Private Investment Corp., 4.73%, 3/15/22 (Commercial Services & Supplies)		180
	92	SLM Corp., 6.25%, 1/25/16 (Consumer Finance)		92
		Total Corporate Bonds		4,521
		Asset Backed Securities — 0.32%
	1,100	Household Home Equity Loan Trust, Series 2007-1, Class M2, 0.88%, 3/20/36 (d)		1,036
	400	New Century Home Equity Loan Trust, Series 2005-3, Class M2, 0.91%, 7/25/35 (d)		387
	200	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.92%, 7/25/35 (d)		199
	304	Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1, 1.20%, 10/25/33 (d)		294
	767	Highlander Euro CDO, Series 2007-3X, Class A, 0.16%, 5/1/23 (d)		817
	216	Harvest CLO, Series V, Class A1D, 0.20%, 4/5/24 (d)		233
		Total Asset Backed Securities		2,966
		Collateralized Mortgage Obligations — 0.34%
	300	Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1, 0.67%, 1/25/36 (d)		280
	45	BCAP LLC Trust, Series 2011-R11, Class 30A5, 2.51%, 1/26/34 (c)(d)		45
	425	Bear Stearns ALT-A Trust, Series 2007-8, Class 1A, 1.12%, 9/25/34 (d)		412
	183	Countrywide Alternative Loan Trust, Series 2004-J7, Class 2A1, 1.20%, 9/25/34 (d)		179

Principal Amount (000)		Security Description	Value (000)
		Collateralized Mortgage Obligations (continued)
$	2,293	Fannie Mae, Series 2013-M4, Class X 1, 3.89%, 2/25/18 (d)	$	135
	200	First Franklin Mortgage Loan Trust Asset Backed Certificates, Series 2005-FF6, Class M2, 0.86%, 5/25/36 (d)		189
	16	GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 12A, 3.07%, 6/25/34 (d)		16
	200	Long Beach Mortgage Loan Trust, Series 2005-2, Class M4, 1.35%, 4/25/35 (d)		195
	400	Structured Asset Securities Corp., Series 2005-NC1, Class M2, 0.91%, 2/25/35 (d)		377
	200	WaMu Mortgage Pass-Through Certificates, Series 2004-AR10, Class A3, 0.80%, 7/25/44 (d)		184
	280	WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1, 2.58%, 1/25/35 (d)		281
	139	Hercules (Eclipse 2006-4) PLC, Series 2006-4, Class A, 0.82%, 10/25/18 (d)		201
	127	Marche Mutui Srl, Series 4, Class A, 0.34%, 2/25/55 (d)		137
	237	Grecale SRL, Series 2011-1, Class A2, 0.45%, 1/27/61 (d)		253
	43	Marche Mutui Srl, Series 5, Class A, 0.34%, 10/27/65 (d)		47
	261	Marche Mutui Srl, Series 6, Class A1, 2.19%, 1/27/64 (d)		287
		Total Collateralized Mortgage Obligations		3,218
		Certificate of Deposit — 0.15%
	1,400	Intesa Sanpaolo NY, 1.70%, 4/11/16 (d)		1,401
		Total Certificate of Deposit		1,401
		Global Bonds — 0.42%
		Denmark — 0.01%
	100	Nykredit Realkredit A/S, Series E, 4.00%, 6/3/36, Callable 6/3/21 @ 100 (d)(e)		109
		Italy — 0.02%
	202	Buoni Poliennali del Tes, Series CPI, 1.70%, 9/15/18 (e)		232
		Mexico — 0.14%
	19,603	Mexican Udibonos, Series S, 4.50%, 12/4/25 (d)(e)		1,250
				1,250
		Spain — 0.20%
	100	Bankia SA, 0.15%, 1/25/16 (d)(e)		109
	100	Bonos y Obligaciones del Estado, 5.85%, 1/31/22 (c)(e)		140
	600	Generalitat de Catalunya, 4.95%, 2/11/20 (e)		701
	700	Generalitat de Valencia, Series E, 4.90%, 3/17/20 (e)		872
				1,822
		United Kingdom — 0.04%
	190	LBG Capital No.2 PLC, Series 21, 15.00%, 12/21/19 (e)		378

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)		Security Description	Value (000)
		Global Bonds (continued)
		United States — 0.01%
$	100	JPMorgan Chase Bank NA, 4.37%, 11/30/21, Callable 11/14/16 @ 100 (d)	$	111
		Total Global Bonds		3,902
		U.S. Government Agency Securities — 0.51%
	2,000	Federal Home Loan Bank, 0.23%, 2/26/16 (f)(g)		1,999
	100	Federal Home Loan Bank, 0.28%, 3/3/16(f)(g)		100
	800	Federal Home Loan Bank, 0.11%, 1/14/16(f)(g)		800
	200	Federal Home Loan Bank, 0.23%, 2/10/16 (g)		200
	300	Federal Home Loan Bank, 0.12%, 1/22/16 (g)		300
	200	Federal Home Loan Bank, 0.13%, 1/27/16 (g)		200
	1,200	Federal Home Loan Bank, 0.13%, 1/29/16 (g)		1,200
				4,799
		Total U.S. Government Agency Securities		4,799
		U.S. Government Agency Mortgage — 0.66%
	6,000	Fannie Mae, 30 YR TBA, 3.50%, 1/25/46		6,188
		Total U.S. Government Agency Mortgage		6,188
		U.S. Treasury Obligations — 2.19%
	5,600	U.S. Treasury Bill, 0.02%, 1/21/16 (f)		5,599
	100	U.S. Treasury Bill, 0.47%, 6/30/16 (f)		100
	3,900	U.S. Treasury Note, 0.50%, 9/30/16		3,893
	2,359	U.S. Treasury Inflation Index Note, 2.38%, 1/15/17		2,417
	1,100	U.S. Treasury Note, 0.43%, 10/31/17 (d)		1,100
	206	U.S. Treasury Inflation Index Note, 0.13%, 4/15/18		205
	711	U.S. Treasury Inflation Index Note, 0.13%, 4/15/19		706
	362	U.S. Treasury Inflation Index Note, 0.13%, 7/15/22 (g)		351
	103	U.S. Treasury Inflation Index Note, 0.13%, 1/15/23		99
	102	U.S. Treasury Inflation Index Note, 0.63%, 1/15/24		101
	100	U.S. Treasury Inflation Index Note, 0.38%, 7/15/25		97
	324	U.S. Treasury Inflation Index Bond, 2.00%, 1/15/26		359
	224	U.S. Treasury Inflation Index Bond, 2.38%, 1/15/27 (g)		259
	532	U.S. Treasury Inflation Index Bond, 2.50%, 1/15/29		1,139
	116	U.S. Treasury Inflation Index Bond, 3.88%, 4/15/29		157
	109	U.S. Treasury Inflation Index Bond, 2.13%, 2/15/41		128
	842	U.S. Treasury Inflation Index Bond, 0.75%, 2/15/42		737
	10	U.S. Treasury Inflation Index Bond, 1.38%, 2/15/44		2,440
	80	U.S. Treasury Bond, 3.00%, 5/15/45		79
	600	U.S. Treasury Bond, 3.00%, 11/15/45		597
		Total U.S.Treasury Obligations		20,563
		Yankee Dollars — 1.13%
		Belgium — 0.02%
	200	KBC Bank NV, 8.00%, 1/25/23, Callable 1/25/18 @ 100 (Banks) (d)		218

Principal Amount (000)		Security Description	Value (000)
		Yankee Dollars (continued)
		Canada — 0.04%
$	400	Canadian Natural Resources Ltd., 0.98%, 3/30/16 (Oil, Gas & Consumable Fuels) (d)	$	399
		Cayman Islands — 0.02%
	200	Petrobras International Finance Co., 5.38%, 1/27/21(Diversified Financial Services)		149
		France — 0.25%
	2,300	Dexia Credit Local SA NY, 0.65%, 6/5/18 (Banks) (c)(d)		2,287
		Germany — 0.07%
	700	KFW, 1.13%, 8/6/18 (Sovereign)		694
		Luxembourg — 0.07%
	700	Actavis Funding SCS, 3.80%, 3/15/25, Callable 12/15/24 @ 100 (Pharmaceuticals)		696
		Netherlands — 0.17%
	700	Deutsche Annington Finance BV, 3.20%, 10/2/17 (Real Estate Management & Development) (c)		707
	250	Petrobras Global Finance, 2.89%, 3/17/17 (Oil, Gas & Consumable Fuels) (d)		229
	800	Petrobras Global Finance, 2.46%, 1/15/19 (Oil, Gas & Consumable Fuels) (d)		608
				1,544
		Norway — 0.11%
	500	Kommunalbanken AS, 0.98%, 3/27/17 (Diversified Financial Services) (c)(d)		501
	400	Nordea Eiendomskreditt AS, 2.13%, 9/22/16 (Thrifts & Mortgage Finance) (c)		403
	100	Statoil ASA, 0.65%, 5/15/18 (Oil, Gas & Consumable Fuels) (d)		99
				1,003
		Slovenia — 0.13%
	200	Republic of Slovenia – Registered Shares, 5.85%, 5/10/23 (Sovereign)		228
	900	Republic of Slovenia – Registered Shares, 5.25%, 2/18/24 (Sovereign)		993
				1,221
		South Korea — 0.03%
	300	Export-Import Bank of Korea, 1.38%, 9/17/16 (Diversified Financial Services) (d)		301
		Switzerland — 0.07%
	600	UBS AG Stamford Connecticut, 7.63%, 8/17/22 (Banks)		684
		United Kingdom — 0.14%
	600	Barclays Bank PLC, 7.63%, 11/21/22 (Banks)		683
	600	HBOS PLC, Series E, 1.30%, 9/30/16, Callable 3/30/16 @ 100 (Banks)(d)		598
	50	Lloyds Bank PLC, 3.50%, 5/14/25 (Banks)		50
				1,331
		United States — 0.01%
	2,100	Navient LLC, Series E, 8.78%, 9/15/16 (Consumer Finance)		122
		Total Yankee Dollars		10,649

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Contracts, Shares or Principal Amount (000)		Security Description	Value (000)
		Time Deposit — 0.47%
$	4,382	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16	$	4,382
		Total Time Deposit		4,382
		Mutual Funds — 22.64%
	1,413	ETFS Platinum Trust		121
	3,966,000	Federated Treasury Obligations Fund, Institutional Shares, 0.08%^^(h)		3,966
	637,000	Market Vectors Gold Miners ETF		8,740
	400,000	SPDR Metals & Mining ETF		5,980
	193,768,000	SSgA Treasury Money Market Fund, 0.00% (h)		193,768
		Total Mutual Funds		212,575
		Purchased Options — 0.0%
		Total Purchased Options		53
		Repurchase Agreements — 5.84%
$	10,600	Bank of America Corp., 0.28%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $10,600,330 collateralized by U.S. Treasury Note, 0.00% – 1.38%, 2/29/20 fair value $10,812,119)		10,600
	100	Bank of Nova Scotia, 0.52%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $100,006 collateralized by U.S. Treasury Note, 1.38%, 5/31/20 fair value $102,659)		100
	10,600	BNP Paribas, 0.28%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $10,600,330 collateralized by U.S. Treasury Obligation, 0.00% – 8.75%, 5/12/16 – 11/15/26 fair value $10,812,127)		10,600
	10,600	Deutsche Bank Securities, Inc., 0.35%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $10,600,412 collateralized by U.S. Treasury Note, 0.63% – 2.75%, 4/30/2018 – 2/15/24 fair value $10,812,131)		10,600
	12,207	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $12,208,003 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $12,451,609)^^		12,207
	10,700	RBC Capital Markets LLC, 0.30%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $10,700,357 collateralized by U.S. Treasury Note, 2.13% – 2.75%, 08/15/21 – 02/15/24 fair value $10,816,331)		10,700
		Total Repurchase Agreements		54,807
		Total Investments (cost $1,079,364) — 105.81%		993,402
		Liabilities in excess of other assets — (5.81%)		(54,569	)
		Net Assets—100.00%	$	938,833

Amounts designated as “—” are $0 or have been rounded to $0.

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $15,416 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) These securities have been deemed illiquid by the Specialist Manager and represent 0.00% of the Portfolio’s net assets.

(c) Represents a security purchased under Rule 144A or Section 4(2) and is exempt from registration under the Securities Act of 1933, as amended, or is otherwise restricted to resale. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid by the Specialist Manager.

(d) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(e) The principal amount is disclosed in local currency and the value is disclosed in U.S. Dollars.

(f) Rate disclosed represents effective yield at purchase.

(g) All or part of this security has been pledged as collateral for derivative instruments held by the Portfolio.

(h) The rate disclosed is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

ETF — Exchange-Traded Fund

GDR — Global Depositary Receipt

LIBOR — Represents the London InterBank Offered Rate

MTN — Medium Term Note

NVDR — Non-Voting Depository Receipt

TBA — To Be Announced purchase or sale commitment. Security is subject to delayed delivery

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Commodity Returns Strategy Portfolio	Mellon Capital Management Corporation			Pacific Investment Management Company, LLC			Parametric Portfolio Associates, LLC			Wellington Management Company, LLP			HC Capital Solutions			Total
Common Stocks		46.38	%		—			—			23.90	%		—			70.28	%
Preferred Stocks		0.38	%		—			—			—			—			0.38	%
Corporate Bonds		—			0.48	%		—			—			—			0.48	%
Asset Backed Securities		—			0.32	%		—			—			—			0.32	%
Collateralized Mortgage Obligations		—			0.34	%		—			—			—			0.34	%
Certificate of Deposit		—			0.15	%		—			—			—			0.15	%
Global Bonds		—			0.42	%		—			—			—			0.42	%
U.S. Government Agency Securities		—			0.51	%		—			—			—			0.51	%
U.S. Government Agency Mortgage		—			0.66	%		—			—			—			0.66	%
U.S. Treasury Obligations		—			2.19	%		—			—			—			2.19	%
Yankee Dollars		—			1.13	%		—			—			—			1.13	%
Time Deposit		—			0.05	%		—			0.42	%		—			0.47	%
Mutual Funds		6.17	%		—			8.47	%		0.28	%		7.72	%		22.64	%
Purchased Options		—			0.00	%		—			—			—			0.00	%
Repurchase Agreements		0.50	%		0.01	%		—			5.33	%		—			5.84	%
Other Assets (Liabilities)		-5.93	%		- 1.45	%		2.12	%		-0.55	%		—			-5.81	%
Total Net Assets		47.50	%		4.81	%		10.59	%		29.38	%		7.72	%		100.00	%

The following tables reflect the open derivative positions held by the Portfolio as of December 31, 2015.

Long/(Short) Futures

Number of Contracts			Futures Contracts Positions^	Value (000)			Expiration		Unrealized Appreciation/ (Depreciation) (000)
	29		10-Year U.S. Treasury Note Future	$	3,651			3/21/16	$	(4	)
	(30	)	3-Month LIBOR		—			3/11/16		2
	(30	)	3-Month LIBOR		(2	)		3/11/16		(1	)
	30		3-Month LIBOR		7			3/11/16		3
	111		3-Month LIBOR		8			12/21/16		(5	)
	(111	)	3-Month LIBOR		(2	)		12/21/16		1
	(7	)	5-Year U.S. Treasury Note Future		(828	)		3/31/16		(1	)
	183		Brent Crude Future*		6,894			1/29/16		(612	)
	3		Brent Crude Future*		123			5/31/16		(39	)
	24		Brent Crude Future*		1,066			10/31/16		(260	)
	(19	)	Brent Crude Future*		(944	)		10/31/17		410
	(19	)	Brent Crude Future*		(1,015	)		10/31/18		204
	(1	)	Brent Dubai ICE Swap Future*		(5	)		1/29/16		—
	(1	)	Brent Dubai ICE Swap Future*		(5	)		2/29/16		—
	(1	)	Brent Dubai ICE Swap Future*		(4	)		3/31/16		—
	(1	)	Brent Dubai ICE Swap Future*		(5	)		3/31/16		—
	(1	)	Brent Dubai ICE Swap Future*		(5	)		4/29/16		—
	(1	)	Brent Dubai ICE Swap Future*		(4	)		6/30/16		—
	674		Canadian Dollar Future		48,750			3/15/16		(400	)
	(10	)	Cocoa Future*		(321	)		3/15/16		7
	(6	)	Cocoa Future*		(192	)		5/13/16		6
	(2	)	Cocoa Future*		(64	)		9/15/16		1
	15		Cocoa Future*		473			3/16/17		(7	)
	10		Coffee ‘C’ Future*		475			3/18/16		33

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Number of Contracts			Futures Contracts Positions^	Value (000)			Expiration		Unrealized Appreciation/ (Depreciation) (000)
	64		Corn Future*	$	1,148			3/14/16	$	(30	)
	(8	)	Corn Future*		(148	)		7/14/16		12
	46		Corn Future*		881			12/14/16		(119	)
	10		Cotton No.2 Future*		316			3/8/16		—
	(2	)	Crude Oil Option Future*		(5	)		4/26/16		—
	(7	)	Crude Oil Option Future*		(158	)		10/26/17		(71	)
	48		Electrolytic Copper Future*		5,650			3/14/16		118
	86		E-Mini S&P 500 Future		8,752			3/18/16		(102	)
	6		Euro-BTP Italian Government Bond Futures		899			3/8/16		(10	)
	(9	)	Euro-Bund Future		(1,544	)		3/8/16		22
	31		Gas Oil Future*		1,011			1/12/16		(450	)
	10		Gasoline RBOB Future*		534			1/29/16		21
	2		Gasoline RBOB Future*		109			2/29/16		2
	9		Gasoline RBOB Future*		568			6/30/16		(49	)
	74		Gold 100 Oz Future*		7,845			2/25/16		(80	)
	74		Hard Red Winter Wheat Future*		1,733			3/14/16		(36	)
	(22	)	Henry Hub Natural Gas Swap Future*		(131	)		3/29/16		21
	22		Henry Hub Natural Gas Swap Future*		138			6/28/16		(20	)
	2		Henry Hub Natural Gas Swap Future*		13			10/27/16		—
	2		Henry Hub Natural Gas Swap Future*		14			11/28/16		1
	4		Henry Hub Natural Gas Swap Future*		29			12/28/16		(14	)
	4		Henry Hub Natural Gas Swap Future*		29			1/27/17		(14	)
	4		Henry Hub Natural Gas Swap Future*		28			2/24/17		(15	)
	4		Henry Hub Natural Gas Swap Future*		27			3/29/17		(16	)
	4		Henry Hub Natural Gas Swap Future*		27			4/26/17		(16	)
	4		Henry Hub Natural Gas Swap Future*		27			5/26/17		(16	)
	4		Henry Hub Natural Gas Swap Future*		27			6/28/17		(15	)
	4		Henry Hub Natural Gas Swap Future*		28			7/27/17		(15	)
	4		Henry Hub Natural Gas Swap Future*		28			8/29/17		(15	)
	4		Henry Hub Natural Gas Swap Future*		28			9/27/17		(15	)
	3		Henry Hub Natural Gas Swap Future*		21			10/27/17		(11	)
	3		Henry Hub Natural Gas Swap Future*		22			11/28/17		(10	)
	3		Henry Hub Natural Gas Swap Future*		23			12/27/17		(10	)
	3		Henry Hub Natural Gas Swap Future*		23			1/29/18		(10	)
	3		Henry Hub Natural Gas Swap Future*		23			2/26/18		(11	)
	3		Henry Hub Natural Gas Swap Future*		21			3/27/18		(13	)
	3		Henry Hub Natural Gas Swap Future*		21			4/26/18		(13	)
	3		Henry Hub Natural Gas Swap Future*		21			5/29/18		(12	)
	3		Henry Hub Natural Gas Swap Future*		21			6/27/18		(12	)
	3		Henry Hub Natural Gas Swap Future*		21			7/27/18		(12	)
	3		Henry Hub Natural Gas Swap Future*		21			8/29/18		(12	)
	3		Henry Hub Natural Gas Swap Future*		21			9/26/18		(12	)
	2		Henry Hub Natural Gas Swap Future*		15			10/29/18		(7	)
	2		Henry Hub Natural Gas Swap Future*		15			11/28/18		(7	)
	(2	)	ICE WTI Crude Future*		(76	)		2/19/16		—
	27		Lean Hogs Future*		646			2/12/16		17
	(20	)	Lean Hogs Future*		(624	)		6/14/16		(35	)
	(9	)	Live Cattle Future*		(497	)		4/29/16		(19	)

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Number of Contracts			Futures Contracts Positions^	Value (000)			Expiration		Unrealized Appreciation/ (Depreciation) (000)
	6		Live Cattle Future*	$	307			6/30/16	$	18
	8		Live Cattle Future*		396			8/31/16		9
	3		LLS (Argus) VS WTI Spread Calendar Swap Future*		4			1/29/16		(2	)
	3		LLS (Argus) VS WTI Spread Calendar Swap Future*		4			2/29/16		(3	)
	3		LLS (Argus) VS WTI Spread Calendar Swap Future*		3			3/31/16		(3	)
	3		LLS (Argus) VS WTI Spread Calendar Swap Future*		3			4/29/16		(3	)
	3		LLS (Argus) VS WTI Spread Calendar Swap Future*		4			5/31/16		(3	)
	3		LLS (Argus) VS WTI Spread Calendar Swap Future*		4			6/30/16		(3	)
	1		LLS (Argus) VS WTI Spread Calendar Swap Future*		1			7/29/16		(1	)
	1		LLS (Argus) VS WTI Spread Calendar Swap Future*		1			8/31/16		(1	)
	1		LLS (Argus) VS WTI Spread Calendar Swap Future*		1			9/30/16		(1	)
	1		LLS (Argus) VS WTI Spread Calendar Swap Future*		1			10/31/16		(1	)
	1		LLS (Argus) VS WTI Spread Calendar Swap Future*		1			11/30/16		(1	)
	1		LLS (Argus) VS WTI Spread Calendar Swap Future*		1	��		12/30/16		(1	)
	17		LME Lead Future*		764			3/14/16		76
	166		Mini MSCI EAFE Index Future		14,095			3/18/16		(145	)
	104		Mini MSCI Emerging Markets Index Future		4,095			3/18/16		(88	)
	15		Natural Gas Future*		351			1/27/16		(25	)
	13		Natural Gas Future*		307			2/25/16		(12	)
	(8	)	Natural Gas Future*		(191	)		3/29/16		(9	)
	(5	)	Natural Gas Future*		(121	)		4/27/16		(13	)
	6		Natural Gas Future*		148			5/26/16		6
	7		Natural Gas Future*		176			6/28/16		—
	(5	)	Natural Gas Future*		(127	)		9/28/16		(7	)
	5		Natural Gas Future*		138			11/28/16		5
	(20	)	Natural Gas Future*		(574	)		12/28/16		9
	(15	)	Natural Gas Future*		(424	)		2/24/17		35
	15		Natural Gas Future*		399			3/29/17		(29	)
	14		New York Harbor USLD Future*		661			1/29/16		(6	)
	5		New York Harbor USLD Future*		241			2/29/16		—
	10		NYMEX Palladium Future*		562			3/29/16		15
	46		NYMEX WTI Crude Future*		1,704			1/20/16		28
	35		NYMEX WTI Crude Future*		1,336			2/22/16		(230	)
	6		NYMEX WTI Crude Future*		263			11/21/16		1
	7		NYMEX WTI Crude Future*		334			11/20/17		(28	)
	43		Platinum Future*		1,920			4/27/16		65
	88		Primary Aluminum Future*		3,317			3/14/16		(22	)
	(35	)	Primary Aluminum Future*		(1,350	)		12/19/16		172
	38		Primary Nickel Future*		2,010			3/14/16		16
	6		Red Spring Wheat Future*		148			3/14/16		(9	)
	1		Red Spring Wheat Future*		25			5/13/16		(1	)
	445		S&P Toronto Stock Exchange 60 Index Future		48,948			3/17/16		(653	)
	26		Silver Future*		1,794			3/29/16		(54	)
	(1	)	Soybean Future*		(43	)		5/13/16		1
	1		Soybean Future*		44			11/14/16		—
	(1	)	Soybean Oil Future*		(18	)		3/14/16		(1	)
	1		Soybean Oil Future*		19			12/14/16		1
	10		Sugar #11 Future*		171			2/29/16		153

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Number of Contracts			Futures Contracts Positions^	Value (000)			Expiration		Unrealized Appreciation/ (Depreciation) (000)
	(6	)	Sugar #11 Future*	$	(100	)		4/29/16	$	(8	)
	46		Sugar #11 Future*		754			6/30/16		28
	(18	)	Wheat Future*		(423	)		3/14/16		30
	(1	)	Wheat Future*		(24	)		5/13/16		1
	8		White Sugar Future*		169			2/12/16		27
	6		White Sugar Future*		125			4/15/16		10
	42		Zinc Future*		1,689			3/14/16		46
			Net Unrealized Appreciation/(Depreciation)						$	(2,383	)

Amounts designated as “—” are $0 or have been rounded to $0.

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

* All or a portion of these futures contracts are held by the wholly-owned subsidiaries of the Portfolio. See Note 2O in the Notes to Financial Statements for the basis of consolidation.

Forward Currency Contracts

Contract Amount (Local Currency)		Currency	Counterparty	Settlement Date		Settlement Value (000)		Value on 12/31/15 (000)		Unrealized Appreciation/ (Depreciation) (000)
		Currencies Purchased
	27,000	Australian Dollar	Deutshe Bank		2/11/16	$	20	$	20	$	—
	134,000	Australian Dollar	BNP Paribas		2/11/16		95		97		2
	1,121,747	Brazilian Real	Credit Suisse		1/5/16		281		283		2
	11,943,531	Brazilian Real	Deutshe Bank		1/5/16		3,162		3,014		(148	)
	331,028	Brazilian Real	BNP Paribas		2/2/16		84		83		(1	)
	11,099,902	Brazilian Real	Deutshe Bank		2/2/16		2,805		2,774		(31	)
	70,000	British Pound Sterling	JPMorgan Chase		2/11/16		105		103		(2	)
	94,000	British Pound Sterling	JPMorgan Chase		2/2/16		140		139		(1	)
	1,038,000	British Pound Sterling	BNP Paribas		1/5/16		1,551		1,530		(21	)
	358,000	British Pound Sterling*	Barclays Bank		2/11/16		544		528		(16	)
	1,077,000	Canadian Dollar	JPMorgan Chase		2/11/16		773		779		6
	142,000	Canadian Dollar*	Barclays Bank		2/11/16		107		103		(4	)
	626,540	Chinese Yuan Renminbi	BNP Paribas		1/29/16		95		96		1
	656,030	Chinese Yuan Renminbi	Barclays Bank		1/29/16		100		101		1
	119,000	Euro	BNP Paribas		1/5/16		130		129		(1	)
	223,000	Euro	JPMorgan Chase		2/2/16		245		243		(2	)
	1,166,000	Euro	JPMorgan Chase		2/11/16		1,281		1,268		(13	)
	283,000	Euro*	Standard Chartered		2/11/16		304		308		4
	7,801,000	Euro	JPMorgan Chase		1/5/16		8,514		8,478		(36	)
	2,040,000	Euro	Deutshe Bank		1/5/16		2,238		2,217		(21	)
	119,350,768	Indian Rupee	Barclays Bank		1/21/16		1,800		1,798		(2	)
	6,000,000	Japanese Yen	JPMorgan Chase		2/12/16		50		50		—
	173,559,960	Korean Won	JPMorgan Chase		1/21/16		147		148		1
	170,660,860	Korean Won	JPMorgan Chase		1/21/16		146		146		—
	7,652,000	Mexican Peso	Barclays Bank		3/14/16		443		442		(1	)
	8,485,000	Mexican Peso	Barclays Bank		3/14/16		497		490		(7	)
	117,000	Singapore Dollar	Barclays Bank		2/26/16		82		82		—
	122,000	Singapore Dollar	Barclays Bank		2/26/16		87		86		(1	)
	8,851,287	South African Rand	HSBC		1/6/16		579		572		(7	)

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Contract Amount (Local Currency)		Currency	Counterparty	Settlement Date		Settlement Value (000)		Value on 12/31/15 (000)		Unrealized Appreciation/ (Depreciation) (000)
	5,297,689	Taiwanese Dollar	JPMorgan Chase		2/26/16	$	161	$	161	$	—
		Total Currencies Purchased				$	26,566	$	26,268	$	(298	)
		Currencies Sold
	162,000	Australian Dollar	JPMorgan Chase		2/11/16	$	114	$	118	$	(4	)
	31,350	Brazilian Real	Goldman Sachs		1/5/16		8		8		—
	1,121,747	Brazilian Real	BNP Paribas		1/5/16		284		283		1
	1,121,747	Brazilian Real	Credit Suisse		2/2/16		278		280		(2	)
	812,279	Brazilian Real	Credit Suisse		1/5/16		209		205		4
	11,036,140	Brazilian Real	JPMorgan Chase		4/4/16		3,371		2,702		669
	11,099,902	Brazilian Real	Deutshe Bank		1/5/16		2,832		2,801		31
	1,012,000	British Pound Sterling	JPMorgan Chase		2/2/16		1,502		1,492		10
	83,000	British Pound Sterling	Credit Suisse		2/11/16		125		122		3
	2,050,000	British Pound Sterling	Deutshe Bank		1/5/16		3,091		3,022		69
	271,000	Canadian Dollar	Deutshe Bank		2/11/16		195		196		(1	)
	278,000	Canadian Dollar	JPMorgan Chase		2/11/16		200		201		(1	)
	177,000	Canadian Dollar	Barclays Bank		2/11/16		133		128		5
	2,513,745	Chinese Yuan Renminbi	JPMorgan Chase		10/24/16		384		381		3
	94,000	Euro	BNP Paribas		1/5/16		100		102		(2	)
	5,886,000	Euro	JPMorgan Chase		2/2/16		6,437		6,401		36
	9,866,000	Euro	Goldman Sachs		1/5/16		10,456		10,721		(265	)
	21,519,108	Indian Rupee	Barclays Bank		1/21/16		324		324		—
	22,164,174	Indian Rupee	Goldman Sachs		1/21/16		333		334		(1	)
	36,752,780	Indian Rupee	Deutshe Bank		1/21/16		552		554		(2	)
	13,402,462	Japanese Yen	JPMorgan Chase		2/12/16		109		112		(3	)
	655,710,000	Korean Won	JPMorgan Chase		1/21/16		557		559		(2	)
	40,862,120	Mexican Peso	Goldman Sachs		3/14/16		2,383		2,360		23
	454,000	Singapore Dollar	Deutshe Bank		2/26/16		320		320		—
	10,090,500	Taiwanese Dollar	JPMorgan Chase		2/26/16		309		307		2
		Total Currencies Sold				$	34,606	$	34,033	$	573
		Net Unrealized Appreciation/(Depreciation)								$	275

Amounts designated as “—” are $0 or have been rounded to $0.

* All or a portion of these forward currency contracts are held by the wholly-owned subsidiaries of the Portfolio. See Note 2O in the Notes to Financial Statements for the basis of consolidation.

Option Contracts

Over-the-counter options purchased as of December 31, 2015 were as follows:

Description	Counterparty	Put/ Call	Exercise Price		Expiration Date		Number of Contracts		Cost (000)		Value (000)		Unrealized Appreciation/ (Depreciation) (000)
Natural Gas Euro Option*	Canadian Imperial Bank of Commerce	Call	$	3		5/25/16		3	$	4	$	5	$	1
Total									$	4	$	5	$	1

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Over-the-counter options written as of December 31, 2015 were as follows:

Description	Counterparty	Put/ Call	Exercise Price		Expiration Date		Number of Contracts			Premium (000)			Value (000)			Unrealized Appreciation/ (Depreciation) (000)
Natural Gas Euro Option*	Canadian Imperial Bank of Commerce	Call	$	2		2/24/16		(3	)	$	(4	)	$	(5	)	$	(1	)
Total										$	(4	)	$	(5	)	$	(1	)

Exchange-traded options purchased as of December 31, 2015 were as follows:

Description	Put/ Call	Exercise Price		Expiration Date		Number of Contracts		Cost (000)		Value (000)		Unrealized Appreciation/ (Depreciation) (000)
Brent Average Price Option*	Call	$	72		1/29/16		1	$	3	$		$	(3	)
Brent Average Price Option*	Call		87		1/29/16		2		3		—		(3	)
Brent Average Price Option*	Call		87		2/29/16		2		3		—		(3	)
Brent Average Price Option*	Call		72		2/29/16		1		3				(3	)
Brent Average Price Option*	Call		87		3/31/16		2		3		—		(3	)
Brent Average Price Option*	Call		72		3/31/16		1		3		—		(3	)
Gold Future Option*	Call		2,000		12/27/16		8		38		—		(38	)
Natural Gas Euro Option*	Call		3		3/28/16		11		8		5		(3	)
Natural Gas Euro Option*	Call		3		5/25/16		3		3		4		1
Natural Gas Euro Option*	Call		3		5/25/16		3		2		3		1
Natural Gas Euro Option*	Call		3		5/25/16		7		8		11		3
Natural Gas Option*	Call		3		2/24/16		40		103		16		(87	)
Natural Gas Option*	Call		3		3/28/16		2		2		2		—
Natural Gas Option*	Call		3		3/28/16		2		2		3		1
Natural Gas Option*	Call		3		3/28/16		3		2		1		(1	)
Copper LME Option*	Put		4,200		6/1/16		1		4		3		(1	)
Total								$	190	$	48	$	(142	)

Exchange-traded options written as of December 31, 2015 were as follows:

Description	Put/ Call	Exercise Price		Expiration Date		Number of Contracts			Premium (000)			Value (000)			Unrealized Appreciation/ (Depreciation) (000)
Crude Oil Future*	Call	$	—		1/19/16		(7	)	$	(1	)	$	—		$	1
Crude Oil Future*	Call		—		2/19/16		(7	)		(1	)		—			1
Natural Gas Euro Option*	Call		3		2/24/16		(11	)		(11	)		(4	)		7
Natural Gas Euro Option*	Call		3		2/24/16		(3	)		(2	)		(2	)		—
Natural Gas Euro Option*	Call		3		2/24/16		(3	)		(2	)		(3	)		(1	)
Natural Gas Euro Option*	Call		—		2/25/16		(7	)		(8	)		(11	)		(3	)
Natural Gas Option*	Call		3		2/24/16		(2	)		(2	)		(2	)		—
Natural Gas Option*	Call		3		2/24/16		(2	)		(2	)		(2	)		—
Natural Gas Option*	Call		4		2/24/16		(43	)		(30	)		(3	)		27
NY Harbour ULSD Asia Option*	Call		2		1/29/16		(1	)		(4	)		—			4
NY Harbour ULSD Asia Option*	Call		3		1/29/16		(2	)		(4	)		—			4
NY Harbour ULSD Asia Option*	Call		3		2/29/16		(2	)		(4	)		—			4
NY Harbour ULSD Asia Option*	Call		2		2/29/16		(1	)		(4	)		—			4
NY Harbour ULSD Asia Option*	Call		3		3/31/16		(2	)		(4	)		—			4
NY Harbour ULSD Asia Option*	Call		2		3/31/16		(1	)		(4	)		—			4
Natural Gas Option*	Put		2		1/26/16		(2	)		(1	)		(1	)		—
Natural Gas Option*	Put		3		2/24/16		(43	)		(67	)		(119	)		(52	)
Total									$	(151	)	$	(147	)	$	4

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Over-the counter swaptions purchased as of December 31, 2015 were as follows:

Description	Counterparty	Put/ Call		Exercise Price		Expiration Date		Notional Amount (000)		Cost (000)		Value (000)		Unrealized Appreciation/ (Depreciation) (000)
1 Year Interest Rate, Pay 6-Month USD LIBOR	Goldman Sachs		Put	$	0.95		1/5/16	$	720	$	5	$	—	$	(5	)
Total										$	5	$	—	$	(5	)

Over-the-counter swaptions written as of December 31, 2015 were as follows:

Description	Counterparty	Put/ Call	Exercise Price		Expiration Date		Notional Amount (000)		Premium (000)			Value (000)			Unrealized Appreciation/ (Depreciation) (000)
5 Year Interest Rate, Pay 6-Month USD LIBOR	Goldman Sachs	Call	$	2.50		2/18/16	$	860	$	(28	)	$	(16	)	$	12
5 Year Interest Rate, Pay 6-Month USD LIBOR	Goldman Sachs	Put		3.00		1/19/16		190		(7	)		—			7
S&P GSCI Copper Official Close Index*	Goldman Sachs	Call		0.81		2/4/16		1,000		(4	)		—			4
S&P GSCI Copper Official Close Index*	Goldman Sachs	Call		0.97		2/16/16		1,260		(5	)		—			5
S&P GSCI Copper Official Close Index*	Goldman Sachs	Call		0.90		3/11/16		297		(1	)		—			1
S&P GSCI Energy Index*	Goldman Sachs	Call		1.42		2/4/16		300		(1	)		—			1
S&P GSCI Energy Index*	Goldman Sachs	Call		1.40		2/16/16		620		(2	)		—			2
S&P GSCI Natural Gas Official Close Index*	Goldman Sachs	Call		2.26		2/4/16		200		—			—			—
Total									$	(48	)	$	(16	)	$	32

Amounts designated as “—” are $0 or have been rounded to $0.

* All or a portion of these option contracts are held by the wholly-owned subsidiaries of the Portfolio. See Note 2O in the Notes to Financial Statements for the basis of consolidation.

Total Return Swap Agreements

Underlying Reference	Counterparty	Expiration Date		Notional Amount (000)		Amount at Value (000)			Unrealized Appreciation/ (Depreciation) (000)
S&P GSCI Agricultural Index*	Goldman Sachs		2/26/16	$	113	$	4		$	4
S&P GSCI Agricultural Index*	Goldman Sachs		5/31/16		547		18			18
S&P GSCI Grains Index*	Barclays Bank		2/26/16		567		(13	)		(13	)
S&P GSCI Grains Index*	Goldman Sachs		5/31/16		188		(4	)		(4	)
						$	5		$	5

Interest Rate Swap Agreements

Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate			Expiration Date		Counterparty	Notional Amount (000)	Swap Premiums Paid/ (Received) (000)		Amount at Value (000)			Unrealized Appreciation/ (Depreciation) (000)
Pay	Brazil CETIP		14.50	%		1/4/21	BNP Paribas	500 BRL	$	—	$	(6	)	$	(6	)
Pay	Brazil CETIP		14.50	%		1/4/21	BNP Paribas	1,900 BRL		—		(22	)		(22	)
Receive	U.S. CPI Urban Consumers NSA		2.50	%		7/15/22	Deutsche Bank	500 USD		3		(53	)		(56	)
Pay	United Kingdom RPI Index		3.32	%		5/15/30	Goldman Sachs	300 GBP		—		8			8
Pay	United Kingdom RPI Index		3.40	%		6/15/30	JPMorgan Chase	2,000 GBP		—		91			91
Pay	United Kingdom RPI Index		3.28	%		9/15/30	JPMorgan Chase	400 GBP		4		4			—
									$	7	$	22		$	15

See accompanying notes to financial statements.

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Consolidated Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Centrally Cleared Interest Rate Swap Agreements

Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate			Expiration Date		Notional Amount (000)		Swap Premiums Paid/ (Received) (000)		Amount at Value (000)			Unrealized Appreciation/ (Depreciation) (000)
Receive	3-Month U.S Dollar LIBOR BBA		0.75	%		6/18/16		10,300 USD	$	—	$	(5	)	$	(5	)
Receive	3-Month U.S Dollar LIBOR BBA		0.68	%		9/14/16		3,900 USD		—		2			2
Receive	Euro HICP		0.32	%		9/15/16		1,500 EUR		—		(3	)		(3	)
Receive	3-Month U.S Dollar LIBOR BBA		1.50	%		12/16/17		1,000 USD		—		(7	)		(7	)
Receive	3-Month U.S Dollar LIBOR BBA		2.00	%		12/16/20		1,800 USD		—		(23	)		(23	)
Pay	Brazil CETIP		16.15	%		1/4/21		1,100 BRL		—		2			2
Pay	Brazil CETIP		16.15	%		1/4/21		600 BRL		—		1			1
Pay	CME IRS REC GBP		2.00	%		3/18/22		2,200 GBP		80		53			(27	)
Pay	CME IRS REC MXN		6.35	%		9/1/23		8,500 MXN		35		7			(28	)
Receive	3-Month U.S Dollar LIBOR BBA		2.23	%		9/16/25		600 USD		—		(2	)		(2	)
Receive	3-Month U.S Dollar LIBOR BBA		2.80	%		10/28/25		23,200 USD		—		(74	)		(74	)
Receive	3-Month U.S Dollar LIBOR BBA		2.50	%		12/16/25		680 USD		11		(20	)		(31	)
Receive	3-Month U.S Dollar LIBOR BBA		2.25	%		6/15/26		3,600 USD		—		11			11
Receive	3-Month U.S Dollar LIBOR BBA		2.25	%		6/15/26		500 USD		1		3			2
Receive	United Kingdom RPI Index		3.30	%		12/15/30		1,100 GBP		5		4			(1	)
Receive	6-Month GBP LIBOR BBA		2.00	%		9/16/45		1,740 GBP		221		89			(132	)
									$	353	$	38		$	(315	)

Commodity Forward Swap Agreements

Reference Entity	Counterparty	Strike Price		Expiration Date		Notional Amount (000)		Swap Premiums Paid/ (Received) (000)		Amount at Value (000)			Unrealized Appreciation/ (Depreciation) (000)
CUAC*	Macquarie	$	—		12/30/16	$	4	$	—	$	1		$	1
CUAC*	Macquarie		37.00		3/31/16		1		—		8			8
Eurmarg*	BNP Paribas		—		3/31/16		3		—		(4	)		(4	)
Eurmarg*	BNP Paribas		6.40		12/30/16		12		—		(10	)		(10	)
Eurmarg*	BNP Paribas		—		12/29/17		10		—		(12	)		(12	)
Eurmarg*	BNP Paribas		—		9/30/16		18		6		(3	)		(9	)
Eurmarg*	Goldman Sachs		—		12/30/16		4		—		—			—
Eurmarg*	JPMorgan Chase		—		12/29/17		1		—		(1	)		(1	)
Eurmarg*	JPMorgan Chase		—		3/31/16		1		—		(1	)		(1	)
Eurmarg*	JPMorgan Chase		6.50		12/30/16		5		—		(4	)		(4	)
Eurobobco*	BNP Paribas		9.00		9/30/16		6		—		38			38
Eurtop*	BNP Paribas		2.07		3/31/16		12		—		(6	)		(6	)
Eurtop*	Goldman Sachs		2.13		3/31/16		3		—		(2	)		(2	)
Eurtop*	Goldman Sachs		1.94		3/31/16		3		—		(1	)		(1	)
Eurtop*	Goldman Sachs		2.10		3/31/16		3		—		(2	)		(2	)
Eurtop*	Goldman Sachs		2.15		3/31/16		3		—		(2	)		(2	)
Eurtop*	Goldman Sachs		2.21		3/31/16		6		—		(4	)		(4	)
Gold*	Goldman Sachs		1,289.26		1/29/16		1		—		(123	)		(123	)
Platinum*	Goldman Sachs		1,004.00		10/31/16		—		—		(37	)		(37	)
								$	6	$	(165	)	$	(171	)

See accompanying notes to financial statements.

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HC CAPITAL TRUST

The Commodity Returns Strategy Portfolio

Consolidated Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Commodity Swap Agreements

Reference Entity	Counterparty	Expiration Date	Notional Amount (000)		Swap Premiums Paid/ (Received) (000)			Amount at Value (000)			Unrealized Appreciation/ (Depreciation) (000)
Bloomberg Commodity Index*	BNP Paribas	2/16/16	$	1,961	$	—		$	25		$	25
Bloomberg Commodity Index*	Canadian Imperial Bank of Commerce	2/16/16		2,296		—			29			29
Bloomberg Commodity Index*	Goldman Sachs	2/16/16		9,092		—			108			108
Bloomberg Commodity Index*	Goldman Sachs	2/16/16		37		(2	)		—			2
Bloomberg Commodity Index*	Goldman Sachs	2/16/16		6,882		—			86			86
Bloomberg Commodity Index*	Goldman Sachs	2/16/16		2,014		—			25			25
Bloomberg Commodity Index*	JPMorgan Chase	2/16/16		12,549		(66	)		158			224
Bloomberg Commodity Index*	JPMorgan Chase	2/16/16		1,708		—			(13	)		(13	)
Bloomberg Commodity Index 1 month Forward*	BNP Paribas	2/16/16		347		8			4			(4	)
Bloomberg Commodity Index 1 month Forward*	Goldman Sachs	2/16/16		2,621		—			33			33
Bloomberg Commodity Index 1 month Forward*	JPMorgan Chase	2/16/16		5,253		—			67			67
					$	(60	)	$	522		$	582

Variance Swap Agreements

Reference Entity	Counterparty	Strike Price	Expiration Date		Notional Amount (000)		Amount at Value (000)			Unrealized Appreciation/ (Depreciation) (000)
London Gold Market Fixing Ltd. Index*	Goldman Sachs	$0.1089		4/29/20	$	455	$	17		$	17
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0784		4/09/20		179		2			2
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0778		3/24/20		538		5			5
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0625		1/25/16		308		(1	)		(1	)
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0784		4/6/20		179		2			2
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0790		4/14/20		178		2			2
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0282		1/6/16		298		(2	)		(2	)
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0870		4/28/20		339		6			6
London Gold Market Fixing Ltd. Index*	Goldman Sachs	0.0858		4/27/20		341		5			5
London Palladium Market Index*	Goldman Sachs	0.0676		1/6/16		192		7			7
London Palladium Market Index*	Goldman Sachs	0.0625		1/25/16		200		(1	)		(1	)
London Palladium Market Index*	Goldman Sachs	0.0625		1/25/16		200		(2	)		(2	)
							$	40		$	40

Amounts designated as “—” are $0 or have been rounded to $0.

* All or a portion of these swap agreements are held by the wholly-owned subsidiaries of the Portfolio. See Note 2O in the Notes to Financial Statements for the basis of consolidation.

See accompanying notes to financial statements.

71

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The ESG Growth Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 99.62%
		Australia — 4.52%
	57,163	Alumina Ltd. (Metals & Mining)	$	48
	9,807	AusNet Services (Electric Utilities)		11
	21,943	Australia & New Zealand Banking Group Ltd. (Banks)		443
	3,228	Bendigo & Adelaide Bank Ltd. (Banks)		28
	57,281	BHP Billiton Ltd. (Metals & Mining)		737
	13,011	Commonwealth Bank of Australia (Banks)		803
	11,273	Dexus Property Group (Real Estate Investment Trusts)		61
	18,835	Insurance Australia Group Ltd. (Insurance)		76
	61,399	Mirvac Group (Real Estate Investment Trusts)		88
	18,877	National Australia Bank Ltd. (Banks)		412
	39,463	Origin Energy Ltd. (Oil, Gas & Consumable Fuels)		133
	10,050	Rio Tinto Ltd. (Metals & Mining)		325
	86,368	Scentre Group (Real Estate Investment Trusts)		262
	37,495	Stockland Trust Group (Real Estate Investment Trusts)		111
	9,539	Suncorp Group Ltd. (Insurance)		83
	67,081	Telstra Corp. Ltd. (Diversified Telecommunication Services)		273
	38,078	Vicinity Centres (Real Estate Investment Trusts)		77
	24,981	Westpac Banking Corp. (Banks)		605
	18,131	Woodside Petroleum Ltd. (Oil, Gas & Consumable Fuels)		378
	28,163	Woolworths Ltd. (Food & Staples Retailing)		500
				5,454
		Austria — 0.09%
	301	ANDRITZ AG (Machinery)		15
	2,924	OMV AG (Oil, Gas & Consumable Fuels)		82
	509	Voestalpine AG (Metals & Mining)		16
				113
		Belgium — 0.63%
	4,393	Anheuser-Busch InBev NV (Beverages)		546
	1,225	Belgacom SA (Diversified Telecommunication Services)		40
	384	Groupe Bruxelles Lambert SA (Diversified Financial Services)		33
	672	KBC Groep NV (Banks)		42
	897	Solvay SA (Chemicals)		96
				757
		Curaçao — 0.78%
	13,493	Schlumberger Ltd. (Energy Equipment & Services)		941
		Denmark — 0.91%
	120	A.P. Moller – Maersk A/S, Class – A (Marine)		155
	415	A.P. Moller – Maersk A/S, Class – B (Marine)		540
	6,567	ISS A/S (Commercial Services & Supplies)		237
	24,244	TDC A/S (Diversified Telecommunication Services)		121
	1,939	Tryg A/S (Insurance)		39
				1,092

Shares		Security Description	Value (000)
		Finland — 0.39%
	1,343	Elisa Oyj (Diversified Telecommunication Services)	$	51
	2,267	Fortum Oyj (Electric Utilities)		34
	2,484	Metso Oyj (Machinery)		56
	2,389	Nokian Renkaat Oyj (Auto Components)		85
	1,637	Orion Oyj, Class – B (Pharmaceuticals)		57
	10,315	UPM-Kymmene Oyj (Paper & Forest Products)		191
				474
		France — 4.01%
	7,597	AXA SA (Insurance)		208
	3,777	Bouygues SA (Construction & Engineering)		150
	1,033	Casino Guichard-Perrachon SA (Food & Staples Retailing)		47
	834	CNP Assurances (Insurance)		11
	7,482	Compagnie de Saint-Gobain (Building Products)		324
	3,487	Credit Agricole SA (Banks)		41
	3,106	Edenred (Commercial Services & Supplies)		59
	1,044	Electricite de France SA (Electric Utilities)		15
	6,217	ENGIE (Multi-Utilities)		110
	2,305	Eutelsat Communications (Media)		69
	203	Fonciere des Regions (Real Estate Investment Trusts)		18
	278	Gecina SA (Real Estate Investment Trusts)		34
	319	Icade (Real Estate Investment Trusts)		21
	1,490	Klepierre (Real Estate Investment Trusts)		66
	1,789	Lagardere SCA (Media)		53
	3,949	Natixism SA (Banks)		22
	14,467	Orange (Diversified Telecommunication Services)		242
	5,107	Rexel SA (Trading Companies & Distributors)		68
	9,421	Sanofi-Aventis (Pharmaceuticals)		803
	7,392	Schneider Electric SA (Electrical Equipment)		420
	1,235	Suez Environnement Co. (Multi-Utilities)		23
	1,899	Technip SA (Energy Equipment & Services)		94
	17,922	Total SA (Oil, Gas & Consumable Fuels)		804
	758	Unibail-Rodamco SE (Real Estate Investment Trusts)		193
	1,684	Veolia Environnement (Multi-Utilities)		40
	8,164	Vinci SA (Construction & Engineering)		523
	17,381	Vivendi (Media)		374
				4,832
		Germany — 3.98%
	1,669	Allianz SE (Insurance)		294
	642	Axel Springer AG (Media)		36
	9,330	BASF SE (Chemicals)		711
	4,729	Bayerische Motoren Werke AG (Automobiles)		498
	11,958	Daimler AG (Automobiles)		999
	713	Deutsche Boerse AG (Diversified Financial Services)		63
	14,203	Deutsche Post AG (Air Freight & Logistics)		397
	23,447	Deutsche Telekom AG (Diversified Telecommunication Services)		421
	7,390	E.ON AG (Multi-Utilities)		71
	2,064	Evonik Industries AG (Chemicals)		68
	989	Hugo Boss AG (Textiles, Apparel & Luxury Goods)		82

See accompanying notes to financial statements.

72

HC CAPITAL TRUST

The ESG Growth Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Germany (continued)
	440	MAN SE (Machinery)	$	44
	2,495	Metro AG (Food & Staples Retailing)		79
	616	Muenchener Rueckversicherungs-Gesellschaft AG (Insurance)		123
	3,232	ProSiebenSat.1 Media AG (Media)		163
	7,510	Siemens AG (Industrial Conglomerates)		726
	4,388	Telefonica Deutschland Holding AG (Diversified Telecommunication Services)		23
				4,798
		Hong Kong — 1.77%
	6,100	ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment)		48
	59,000	BOC Hong Kong (Holdings) Ltd. (Banks)		180
	10,000	Cheung Kong Infrastructure Holdings Ltd. (Electric Utilities)		92
	28,000	CLP Holdings Ltd. (Electric Utilities)		238
	79,000	Hang Lung Properties Ltd. (Real Estate Management & Development)		179
	12,000	Hang Seng Bank Ltd. (Banks)		227
	38,267	HK Electric Investments Ltd. (Electric Utilities)		32
	74,000	HKT Trust & HKT Ltd. (Diversified Telecommunication Services)		94
	19,000	Hysan Development Co. (Real Estate Management & Development)		78
	378,000	Li & Fung Ltd. (Textiles, Apparel & Luxury Goods)		255
	1,987	Michael Kors Holdings Ltd. (Textiles, Apparel & Luxury Goods) (a)		80
	45,000	MTR Corp. Ltd. (Road & Rail)		222
	135,000	PCCW Ltd. (Diversified Telecommunication Services)		79
	23,000	Swire Pacific Ltd., Class – A (Real Estate Management & Development)		257
	21,000	The Bank of East Asia Ltd. (Banks)		78
				2,139
		Ireland (Republic of) — 0.14%
	5,911	CRH PLC (Construction Materials)		170
		Israel — 0.35%
	103,064	Israel Chemicals Ltd. (Chemicals)		418
		Italy — 0.61%
	3,296	Assicurazioni Generali SpA (Insurance)		60
	4,607	Atlantia SpA (Transportation Infrastructure)		122
	20,270	Enel SpA (Electric Utilities)		84
	27,781	Eni SpA (Oil, Gas & Consumable Fuels)		414
	5,605	Snam Rete Gas SpA (Gas Utilities)		29
	4,572	Terna – Rete Elettrica Nationale SpA (Electric Utilities)		24
				733
		Japan — 12.71%
	500	Aeon Credit Service Co. Ltd. (Consumer Finance)		11
	4,700	Aisin Seiki Co. Ltd. (Auto Components)		202
	7,400	Amada Holdings Co. Ltd. (Machinery)		71
	24,000	Asahi Glass Co. Ltd. (Building Products)		138
	30,000	Asahi Kasei Corp. (Chemicals)		203
	45,000	Astellas Pharma, Inc. (Pharmaceuticals)		641

Shares		Security Description	Value (000)
		Japan (continued)
	1,500	Benesse Holdings, Inc. (Diversified Consumer Services)	$	43
	12,000	Dai Nippon Printing Co. Ltd. (Commercial Services & Supplies)		119
	6,300	Daiwa House Industry Co. Ltd. (Real Estate Management & Development)		181
	10,300	Denso Corp. (Auto Components)		493
	5,200	Eisai Co. Ltd. (Pharmaceuticals)		344
	2,200	Hitachi Chemical Co. Ltd. (Chemicals)		35
	2,400	Hitachi Construction Machinery Co. Ltd. (Machinery)		37
	104,000	Hitachi Ltd. (Electronic Equipment, Instruments & Components)		590
	36,000	Honda Motor Co. Ltd. (Automobiles)		1,151
	1,800	Idemitsu Kosan Co. Ltd. (Oil, Gas & Consumable Fuels)		29
	38,600	ITOCHU Corp. (Trading Companies & Distributors)		457
	1,100	ITOCHU Techno-Solutions Corp. (IT Services)		22
	11,600	JFE Holdings, Inc. (Metals & Mining)		182
	4,100	JSR Corp. (Chemicals)		64
	51,300	JX Holdings, Inc. (Oil, Gas & Consumable Fuels)		215
	31,000	Kawasaki Heavy Industries Ltd. (Machinery)		115
	18,400	KDDI Corp. (Wireless Telecommunication Services)		478
	75,000	Kobe Steel Ltd. (Metals & Mining)		81
	20,800	Komatsu Ltd. (Machinery)		340
	9,700	Konica Minolta, Inc. (Technology Hardware, Storage & Peripherals)		97
	7,700	Kuraray Co. Ltd. (Chemicals)		93
	2,500	Kurita Water Industries Ltd. (Machinery)		52
	7,000	Kyocera Corp. (Electronic Equipment, Instruments & Components)		325
	1,400	Lawson, Inc. (Food & Staples Retailing)		114
	1,100	Miraca Holdings, Inc. (Health Care Providers & Services)		48
	31,500	Mitsubishi Corp. (Trading Companies & Distributors)		523
	41,000	Mitsubishi Electric Corp. (Electrical Equipment)		430
	23,000	Mitsubishi Materials Corp. (Metals & Mining)		72
	4,700	Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals)		81
	40,100	Mitsui & Co. Ltd. (Trading Companies & Distributors)		477
	130,300	Mizuho Financial Group, Inc. (Banks)		261
	2,700	MS&AD Insurance Group Holdings, Inc. (Insurance)		79
	8,000	Nippon Electric Glass Co. Ltd. (Electronic Equipment, Instruments & Components)		40
	16	Nippon Prologis REIT, Inc. (Real Estate Investment Trusts)		29
	16,000	Nippon Steel & Sumitomo Metal Corp. (Metals & Mining)		317
	8,900	Nippon Telegraph & Telephone Corp. (Diversified Telecommunication Services)		354
	36,000	Nippon Yusen Kabushiki Kaisha (Marine)		87
	56,300	Nissan Motor Co. Ltd. (Automobiles)		590

See accompanying notes to financial statements.

73

HC CAPITAL TRUST

The ESG Growth Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Japan (continued)
	1,300	Nomura Real Estate Holdings, Inc. (Real Estate Management & Development)	$	24
	15,700	NTT DoCoMo, Inc. (Wireless Telecommunication Services)		322
	10,000	Osaka Gas Co. Ltd. (Gas Utilities)		36
	8,200	Otsuka Holdings Co. Ltd. (Pharmaceuticals)		291
	2,200	Park24 Co. Ltd. (Commercial Services & Supplies)		53
	11,700	Resona Holdings, Inc. (Banks)		57
	2,000	Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment)		101
	1,100	Sankyo Co. Ltd. (Leisure Products)		41
	4,200	Sega Sammy Holdings, Inc. (Leisure Products)		39
	9,800	Sekisui Chemical Co. Ltd. (Household Durables)		128
	12,700	Sekisui House Ltd. (Household Durables)		214
	3,800	Showa Shell Sekiyu K.K. (Oil, Gas & Consumable Fuels)		31
	1,700	Sompo Japan Nipponkoa Holdings, Inc. (Insurance)		56
	25,700	Sumitomo Corp. (Trading Companies & Distributors)		262
	12,000	Sumitomo Heavy Industries Ltd. (Machinery)		54
	11,000	Sumitomo Metal Mining Co. Ltd. (Metals & Mining)		134
	7,400	Sumitomo Mitsui Financial Group, Inc. (Banks)		279
	18,000	Sumitomo Mitsui Trust Holdings, Inc. (Banks)		68
	16,900	Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals)		843
	2,900	THK Co. Ltd. (Machinery)		54
	3,800	Tokio Marine Holdings, Inc. (Insurance)		147
	7,000	TonenGeneral Sekiyu K.K. (Oil, Gas & Consumable Fuels)		59
	1,500	Toyoda Gosei Co. Ltd. (Auto Components)		34
	24,700	Toyota Motor Corp. (Automobiles)		1,521
	4,600	Toyota Tsusho Corp. (Trading Companies & Distributors)		108
	4,500	USS Co. Ltd. (Specialty Retail)		68
				15,335
		Jersey — 0.06%
	6,496	Petrofac Ltd. (Energy Equipment & Services)		76
		Luxembourg — 0.18%
	1,012	Millicom International Cellular SA (Wireless Telecommunication Services)		58
	5,725	SES – FDR, Class – A (Media)		159
				217
		Netherlands — 1.01%
	3,417	AEGON NV (Insurance)		19
	1,854	Akzo Nobel NV (Chemicals)		123
	7,089	CNH Industrial NV (Machinery)		49
	6,757	Koninklijke Ahold NV (Food & Staples Retailing)		143
	650	Koninklijke Boskalis Westminster NV (Construction & Engineering)		27
	1,370	Koninklijke DSM NV (Chemicals)		69
	7,060	Koninklijke Philips Electronics NV (Industrial Conglomerates)		180

Shares		Security Description	Value (000)
		Netherlands (continued)
	531	Koninklijke Vopak NV (Oil, Gas & Consumable Fuels)	$	23
	968	Randstad Holding NV (Professional Services)		60
	8,628	STMicroelectronics NV (Semiconductors & Semiconductor Equipment)		58
	9,049	Unilever NV (Personal Products)		393
	2,281	Wolters Kluwer NV (Media)		77
				1,221
		New Zealand — 0.04%
	2,968	Fletcher Building Ltd. (Construction Materials)		15
	5,092	Meridian Energy Ltd. (Independent Power and Renewable Electricity Producers)		8
	12,983	Telecom Corp. of New Zealand Ltd. (Diversified Telecommunication Services)		29
				52
		Norway — 0.37%
	893	Gjensidige Forsikring ASA (Insurance)		14
	21,845	Statoil ASA (Oil, Gas & Consumable Fuels)		305
	7,347	Telenor ASA (Diversified Telecommunication Services)		123
				442
		Portugal — 0.06%
	18,883	EDP – Energias de Portugal SA (Electric Utilities)		68
		Singapore — 1.12%
	48,900	Ascendas Real Estate Investment Trust (Real Estate Investment Trusts)		78
	53,200	CapitaCommercial Trust (Real Estate Investment Trusts)		50
	60,800	CapitaMall Trust (Real Estate Investment Trusts)		83
	59,700	Keppel Corp. Ltd. (Industrial Conglomerates)		273
	39,400	SembCorp Industries Ltd. (Industrial Conglomerates)		84
	46,700	Singapore Press Holdings Ltd. (Media)		129
	170,100	Singapore Telecommunications Ltd. (Diversified Telecommunication Services)		440
	15,100	United Overseas Bank Ltd. (Banks)		208
				1,345
		Spain — 1.51%
	9,832	Abertis Infraestructuras SA (Transportation Infrastructure)		154
	37,685	Banco Bilbao Vizcaya Argentaria SA (Banks)		275
	85,440	Banco Santander SA (Banks)		420
	5,937	Corporacion Mapfre (Insurance)		15
	1,283	Enagas (Gas Utilities)		36
	2,208	Gas Natural SDG SA (Gas Utilities)		45
	24,829	Repsol YPF SA (Oil, Gas & Consumable Fuels)		273
	54,137	Telefonica SA (Diversified Telecommunication Services)		601
				1,819
		Sweden — 1.80%
	1,256	Industrivarden AB, C Shares (Diversified Financial Services)		22
	23,245	Nordea Bank AB (Banks)		255
	35,754	Sandvik AB (Machinery)		312
	11,623	Skandinaviska Enskilda Banken AB, Class – A (Banks)		122

See accompanying notes to financial statements.

74

HC CAPITAL TRUST

The ESG Growth Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Sweden (continued)
	10,005	Skanska AB, B Shares (Construction & Engineering)	$	194
	6,891	Swedbank AB, A Shares (Banks)		152
	4,949	Tele2 AB, B Shares (Wireless Telecommunication Services)		49
	89,673	Telefonaktiebolaget LM Ericsson, B Shares (Communications Equipment)		865
	39,766	TeliaSonera AB (Diversified Telecommunication Services)		198
				2,169
		Switzerland — 5.62%
	72,061	ABB Ltd., Registered Shares (Electrical Equipment)		1,287
	6,503	Adecco SA, Registered Shares (Professional Services)		445
	1,244	Garmin Ltd. (Household Durables)		46
	1,540	Kuehne & Nagel International Ltd. (Marine)		211
	21,932	Nestle SA (Food Products)		1,629
	308	Pargesa Holding SA (Diversified Financial Services)		19
	6,060	Roche Holding AG (Pharmaceuticals)		1,680
	183	SGS SA, Registered Shares (Professional Services)		348
	430	Sulzer AG (Machinery)		40
	1,280	Swiss Prime Site AG (Real Estate Management & Development)		100
	3,483	Swiss Re AG (Insurance)		340
	479	Swisscom AG (Diversified Telecommunication Services)		240
	1,525	Zurich Financial Services AG (Insurance)		392
				6,777
		United Kingdom — 10.65%
	6,783	Aberdeen Asset Management PLC (Capital Markets)		29
	47,870	Anglo American PLC (Metals & Mining)		210
	2,996	Aon PLC (Insurance)		276
	23,143	AstraZeneca PLC (Pharmaceuticals)		1,563
	27,485	Aviva PLC (Insurance)		209
	62,154	BHP Billiton PLC (Metals & Mining)		693
	23,132	British American Tobacco PLC (Tobacco)		1,284
	12,462	Capital Shopping Centres Group PLC (Real Estate Investment Trusts)		58
	33,682	Centrica PLC (Multi-Utilities)		108
	73,534	GlaxoSmithKline PLC (Pharmaceuticals)		1,485
	4,382	ICAP PLC (Capital Markets)		33
	101,200	ITV PLC (Media)		412
	35,941	J Sainsbury PLC (Food & Staples Retailing)		137
	40,007	Legal & General Group PLC (Insurance)		158
	27,973	National Grid PLC (Multi-Utilities)		386
	34,499	Old Mutual PLC (Insurance)		91
	23,162	Pearson PLC (Media)		250
	8,119	Persimmon PLC (Household Durables) (a)		242
	40,004	Rio Tinto PLC (Metals & Mining)		1,165
	46,620	Rolls-Royce Holdings PLC (Aerospace & Defense)		395

Shares		Security Description	Value (000)
		United Kingdom (continued)
	32,984	Royal Dutch Shell PLC, A Shares (Oil, Gas & Consumable Fuels)	$	747
	31,964	Royal Dutch Shell PLC, B Shares (Oil, Gas & Consumable Fuels)		728
	21,422	Royal Mail PLC (Air Freight & Logistics)		140
	1,695	Severn Trent PLC (Water Utilities)		54
	6,882	SSE PLC (Electric Utilities)		155
	21,908	Standard Chartered PLC (Banks)		182
	13,179	Standard Life PLC (Insurance)		75
	14,760	Tate & Lyle PLC (Food Products)		130
	5,158	United Utilities Group PLC (Water Utilities)		71
	387,773	Vodafone Group PLC (Wireless Telecommunication Services)		1,257
	56,924	William Morrison Supermarkets PLC (Food & Staples Retailing)		124
				12,847
		United States — 46.31%
	6,743	3M Co. (Industrial Conglomerates)		1,016
	680	Aaron’s, Inc. (Specialty Retail)		15
	6,674	Accenture PLC, Class – A (IT Services)		697
	765	Advance Auto Parts, Inc. (Specialty Retail)		115
	2,282	Air Products & Chemicals, Inc. (Chemicals)		297
	1,057	Alphabet, Inc., Class – A (Internet Software & Services) (a)		822
	1,081	Alphabet, Inc., Class – C (Internet Software & Services) (a)		820
	8,078	Amgen, Inc. (Biotechnology)		1,311
	3,233	Amphenol Corp., Class – A (Electronic Equipment, Instruments & Components)		169
	3,282	Analog Devices, Inc. (Semiconductors & Semiconductor Equipment)		182
	897	ANSYS, Inc. (Software) (a)		83
	2,800	Anthem, Inc. (Health Care Providers & Services)		390
	11,785	Apple, Inc. (Technology Hardware, Storage & Peripherals)		1,240
	658	AptarGroup, Inc. (Containers & Packaging)		48
	2,386	Autodesk, Inc. (Software) (a)		145
	4,988	Automatic Data Processing, Inc. (IT Services)		423
	332	AutoZone, Inc. (Specialty Retail) (a)		246
	2,225	Becton, Dickinson & Co. (Health Care Equipment & Supplies)		343
	1,795	Bed Bath & Beyond, Inc. (Specialty Retail) (a)		87
	1,024	Bemis Co., Inc. (Containers & Packaging)		46
	3,036	Best Buy Co., Inc. (Specialty Retail)		92
	2,501	Biogen Idec, Inc. (Biotechnology) (a)		766
	391	Bio-Techne Corp. (Life Sciences Tools & Services)		35
	1,198	Broadridge Financial Solutions, Inc. (IT Services)		64
	1,218	Brown & Brown, Inc. (Insurance)		39
	1,526	C.H. Robinson Worldwide, Inc. (Air Freight & Logistics)		95
	1,914	Cameron International Corp. (Energy Equipment & Services) (a)		121
	1,742	Campbell Soup Co. (Food Products)		92
	3,518	Cardinal Health, Inc. (Health Care Providers & Services)		314

See accompanying notes to financial statements.

75

HC CAPITAL TRUST

The ESG Growth Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		United States (continued)
	653	Carlisle Cos., Inc. (Industrial Conglomerates)	$	58
	551	Carter’s, Inc. (Textiles, Apparel & Luxury Goods)		49
	876	CBOE Holdings, Inc. (Diversified Financial Services)		57
	3,183	Cerner Corp. (Health Care Technology) (a)		192
	305	Choice Hotels International, Inc. (Hotels, Restaurants & Leisure)		15
	956	Cintas Corp. (Commercial Services & Supplies)		86
	50,661	Cisco Systems, Inc. (Communications Equipment)		1,375
	1,680	Citrix Systems, Inc. (Software) (a)		127
	3,407	CME Group, Inc. (Diversified Financial Services)		308
	2,763	Coach, Inc. (Textiles, Apparel & Luxury Goods)		90
	6,487	Cognizant Technology Solutions Corp. (IT Services) (a)		389
	9,613	Colgate-Palmolive Co. (Household Products)		640
	905	Commerce Bancshares, Inc. (Banks)		38
	1,331	Copart, Inc. (Commercial Services & Supplies) (a)		51
	505	Crane Co. (Machinery)		24
	10,500	CSX Corp. (Road & Rail)		272
	570	Cullen/Frost Bankers, Inc. (Banks)		34
	1,258	Darden Restaurants, Inc. (Hotels, Restaurants & Leisure)		80
	1,847	DaVita Healthcare Partners, Inc. (Health Care Providers & Services) (a)		129
	1,400	Dentsply International, Inc. (Health Care Equipment & Supplies)		85
	965	Dick’s Sporting Goods, Inc. (Specialty Retail)		34
	426	Dolby Laboratories, Inc., Class – A (Electronic Equipment, Instruments & Components)		14
	2,411	Dollar Tree, Inc. (Multiline Retail) (a)		187
	1,437	Donaldson Co., Inc. (Machinery)		41
	1,678	Dover Corp. (Machinery)		103
	2,009	Dr. Pepper Snapple Group, Inc. (Beverages)		187
	409	Dril-Quip, Inc. (Energy Equipment & Services) (a)		24
	386	DST Systems, Inc. (IT Services)		44
	1,240	Eaton Vance Corp. (Capital Markets)		40
	12,909	eBay, Inc. (Internet Software & Services) (a)		355
	2,804	Ecolab, Inc. (Chemicals)		320
	622	Edgewell Personal Care Co. (Personal Products)		49
	2,252	Edwards Lifesciences Corp. (Health Care Equipment & Supplies) (a)		178
	10,397	Eli Lilly & Co. (Pharmaceuticals)		876
	20,634	EMC Corp. (Technology Hardware, Storage & Peripherals)		530
	1,916	Expeditors International of Washington, Inc. (Air Freight & Logistics)		86
	7,750	Express Scripts Holding Co. (Health Care Providers & Services) (a)		678
	18,281	Exxon Mobil Corp. (Oil, Gas & Consumable Fuels)		1,425
	720	F5 Networks, Inc. (Communications Equipment) (a)		70
	418	FactSet Research Systems, Inc. (Diversified Financial Services)		68
	3,079	Fastenal Co. (Trading Companies & Distributors)		126

Shares		Security Description	Value (000)
		United States (continued)
	1,422	First Republic Bank (Banks)	$	95
	2,515	Fiserv, Inc. (IT Services) (a)		230
	961	FleetCor Technologies, Inc. (IT Services) (a)		137
	1,471	FLIR Systems, Inc. (Electronic Equipment, Instruments & Components)		41
	1,468	Fluor Corp. (Construction & Engineering)		69
	2,311	FMC Technologies, Inc. (Energy Equipment & Services) (a)		67
	443	Fossil Group, Inc. (Textiles, Apparel & Luxury Goods) (a)		16
	419	Four Corners Property Trust, Inc. (Real Estate Investment Trusts) (a)		10
	4,062	Franklin Resources, Inc. (Capital Markets)		150
	1,128	GameStop Corp., Class – A (Specialty Retail)		32
	2,387	Gap, Inc. (Specialty Retail)		59
	1,595	Genuine Parts Co. (Distributors)		137
	1,295	Harris Corp. (Communications Equipment)		113
	877	Henry Schein, Inc. (Health Care Providers & Services) (a)		139
	1,525	Hershey Co. (Food Products)		136
	1,341	Hormel Foods Corp. (Food Products)		106
	579	Hubbell, Inc. (Electrical Equipment) (a)		59
	780	IDEX Corp. (Machinery)		60
	935	IDEXX Laboratories, Inc. (Health Care Equipment & Supplies) (a)		68
	687	IHS, Inc. (Professional Services) (a)		81
	1,637	Ingram Micro, Inc. (Electronic Equipment, Instruments & Components)		50
	46,245	Intel Corp. (Semiconductors & Semiconductor Equipment)		1,592
	9,202	International Business Machines Corp. (IT Services)		1,267
	809	International Flavors & Fragrances, Inc. (Chemicals)		97
	2,929	Intuit, Inc. (Software)		283
	818	Jack Henry & Associates, Inc. (IT Services)		64
	1,315	Jacobs Engineering Group, Inc. (Construction & Engineering) (a)		55
	486	John Wiley & Sons, Inc., Class – A (Media)		22
	14,320	Johnson & Johnson (Pharmaceuticals)		1,471
	3,870	Kimberly-Clark Corp. (Household Products)		493
	2,123	Kohl’s Corp. (Multiline Retail)		101
	1,051	Laboratory Corp. of America Holdings (Health Care Providers & Services) (a)		130
	468	Landstar System, Inc. (Road & Rail)		27
	796	Lincoln Electric Holdings, Inc. (Machinery)		41
	2,510	Linear Technology Corp. (Semiconductors & Semiconductor Equipment)		107
	3,042	LKQ Corp. (Distributors) (a)		90
	2,884	Lockheed Martin Corp. (Aerospace & Defense)		626
	1,116	Lululemon Athletica, Inc. (Textiles, Apparel & Luxury Goods) (a)		59
	10,622	MasterCard, Inc., Class – A (IT Services)		1,034
	1,340	McCormick & Co., Inc. (Food Products)		115
	10,185	McDonald’s Corp. (Hotels, Restaurants & Leisure)		1,204
	2,460	McKesson Corp. (Health Care Providers & Services)		485

See accompanying notes to financial statements.

76

HC CAPITAL TRUST

The ESG Growth Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		United States (continued)
	2,120	Mead Johnson Nutrition Co. (Food Products)	$	167
	937	MEDNAX, Inc. (Health Care Providers & Services) (a)		67
	281	Mettler-Toledo International, Inc. (Life Sciences Tools & Services) (a)		95
	30,884	Microsoft Corp. (Software)		1,714
	164	Morningstar, Inc. (Diversified Financial Services)		13
	502	MSC Industrial Direct Co., Inc., Class – A (Trading Companies & Distributors)		28
	887	National Fuel Gas Co. (Gas Utilities)		38
	1,184	National Instruments Corp. (Electronic Equipment, Instruments & Components)		34
	4,059	National Oilwell Varco, Inc. (Energy Equipment & Services)		136
	90	NewMarket Corp. (Chemicals)		34
	14,414	NIKE, Inc., Class – B (Textiles, Apparel & Luxury Goods)		901
	1,471	Nordstrom, Inc. (Multiline Retail)		73
	3,240	Norfolk Southern Corp. (Road & Rail)		274
	8,162	Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels)		552
	1,035	Oceaneering International, Inc. (Energy Equipment & Services)		39
	731	Old Dominion Freight Line, Inc. (Road & Rail) (a)		43
	33,667	Oracle Corp. (Software)		1,230
	267	Panera Bread Co., Class – A (Hotels, Restaurants & Leisure) (a)		52
	905	Patterson Cos., Inc. (Health Care Providers & Services)		41
	3,398	Paychex, Inc. (IT Services)		180
	11,285	PayPal Holdings, Inc. (IT Services) (a)		409
	14,473	PepsiCo, Inc. (Beverages)		1,446
	5,755	Phillips 66 (Oil, Gas & Consumable Fuels)		471
	3,063	Praxair, Inc. (Chemicals)		314
	1,470	Precision Castparts Corp. (Aerospace & Defense)		341
	15,144	Qualcomm, Inc. (Communications Equipment)		757
	1,502	Quest Diagnostics, Inc. (Health Care Providers & Services)		107
	1,294	Rackspace Hosting, Inc. (Internet Software & Services) (a)		33
	3,243	Raytheon Co. (Aerospace & Defense)		404
	1,922	Red Hat, Inc. (Software) (a)		159
	1,410	ResMed, Inc. (Health Care Equipment & Supplies)		76
	8,772	Reynolds American, Inc. (Tobacco)		405
	1,354	Robert Half International, Inc. (Professional Services)		64
	1,385	Rockwell Collins, Inc. (Aerospace & Defense)		128
	997	Rollins, Inc. (Commercial Services & Supplies)		26
	1,053	Roper Industries, Inc. (Industrial Conglomerates)		200
	4,399	Ross Stores, Inc. (Specialty Retail)		237
	1,429	SCANA Corp. (Multi-Utilities)		86
	916	Scripps Networks Interactive, Class – A (Media)		51
	582	Snap-on, Inc. (Machinery)		100
	701	SolarWinds, Inc. (Software) (a)		41
	1,060	Sonoco Products Co. (Containers & Packaging)		43

Shares		Security Description	Value (000)
		United States (continued)
	767	Spirit Airlines, Inc. (Airlines) (a)	$	31
	6,406	Staples, Inc. (Specialty Retail)		61
	15,946	Starbucks Corp. (Hotels, Restaurants & Leisure)		957
	6,311	Sysco Corp. (Food & Staples Retailing)		258
	2,771	T. Rowe Price Group, Inc. (Capital Markets)		198
	2,672	TD Ameritrade Holdg Corp. (Capital Markets)		93
	1,492	Teradata Corp. (IT Services) (a)		39
	1,714	The ADT Corp. (Commercial Services & Supplies)		57
	1,375	The Clorox Co. (Household Products)		174
	35,116	The Coca-Cola Co. (Beverages)		1,509
	379	The Dun & Bradstreet Corp. (Professional Services)		39
	2,195	The Estee Lauder Cos., Inc., Class – A (Personal Products)		193
	1,252	The J.M. Smucker Co. (Food Products)		154
	2,909	The McGraw-Hill Cos., Inc. (Diversified Financial Services)		287
	573	The Middleby Corp. (Machinery) (a)		62
	18,925	The Procter & Gamble Co. (Household Products)		1,503
	862	The Sherwin-Williams Co. (Chemicals)		224
	9,653	The Southern Co. (Electric Utilities)		451
	12,892	The Walt Disney Co. (Media)		1,354
	4,231	Thermo Electron Corp. (Life Sciences Tools & Services)		600
	1,182	Tiffany & Co. (Specialty Retail)		90
	693	Towers Watson & Co., Class – A (Professional Services)		89
	2,607	Trimble Navigation Ltd. (Electronic Equipment, Instruments & Components) (a)		56
	674	Ulta Salon, Cosmetics & Fragrance, Inc. (Specialty Retail) (a)		125
	9,305	Union Pacific Corp. (Road & Rail)		729
	9,461	United Technologies Corp. (Aerospace & Defense)		909
	3,593	V.F. Corp. (Textiles, Apparel & Luxury Goods)		224
	1,000	Varian Medical Systems, Inc. (Health Care Equipment & Supplies) (a)		81
	862	VCA Antech, Inc. (Health Care Providers & Services) (a)		47
	1,571	Versik Analytics, Inc., Class – A (Professional Services) (a)		121
	18,944	Visa, Inc., Class – A (IT Services)		1,470
	820	VMware, Inc., Class – A (Software) (a)		46
	701	W.W. Grainger, Inc. (Trading Companies & Distributors)		142
	966	Wabtec Corp. (Machinery)		69
	867	Waters Corp. (Life Sciences Tools & Services) (a)		117
	5,408	Western Union Co. (IT Services)		97
	3,752	Whole Foods Market, Inc. (Food & Staples Retailing)		126
	756	World Fuel Services Corp. (Oil, Gas & Consumable Fuels)		29
	5,306	Xcel Energy, Inc. (Electric Utilities)		191

See accompanying notes to financial statements.

77

HC CAPITAL TRUST

The ESG Growth Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		United States (continued)
	1,813	Xylem, Inc. (Machinery)	$	66
	9,972	Yahoo!, Inc. (Internet Software & Services) (a)		332
				55,874
		Total Common Stocks		120,163
		Preferred Stock — 0.05%
		Germany — 0.05%
	738	Bayerische Motoren Werke AG – Preferred (Automobiles)		62
		Total Preferred Stock		62
		Right — 0.00%
		Singapore — 0.00%
	1,833	Ascendas Real Estate Investment Trust (Real Estate Investment Trusts) (a)		—
		Total Right		—
		Mutual Fund — 0.15%
	176,000	SSgA Treasury Money Market Fund, 0.00% (b)		176
		Total Mutual Fund		176
		Total Investments (cost $127,759) — 99.82%		120,401
		Other assets in excess of liabilities — 0.18%		216
		Net Assets — 100.00%	$	120,617

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Represents non-income producing security.

(b) The rate disclosed is the rate in effect on December 31, 2015.

FDR — Fiduciary Depositary Receipt

REIT — Real Estate Investment Trust

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The ESG Growth Portfolio	Cadence Capital Management, LLC			Mellon Capital Management Corporation			Total
Common Stocks		52.19	%		47.43	%		99.62	%
Preferred Stock		0.05	%		—			0.05	%
Right		0.00	%		—			0.00	%
Mutual Fund		—			0.15	%		0.15	%
Other Assets (Liabilities)		0.11	%		0.07	%		0.18	%
Total Net Assets		52.35	%		47.65	%		100.00	%

See accompanying notes to financial statements.

78

HC CAPITAL TRUST

The International Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 75.99%
		Australia — 4.42%
	624,766	Alumina Ltd. (Metals & Mining)	$	521
	6,187	Ansell Ltd. (Health Care Equipment & Supplies)		96
	132,104	AusNet Services (Electric Utilities)		142
	187,059	Australia & New Zealand Banking Group Ltd. (Banks)		3,774
	25,692	Bank of Queensland Ltd. (Banks)		259
	30,901	Bendigo & Adelaide Bank Ltd. (Banks)		267
	600,218	BHP Billiton Ltd. (Metals & Mining)		7,722
	109,896	Commonwealth Bank of Australia (Banks)		6,793
	111,571	Dexus Property Group (Real Estate Investment Trusts)		605
	138,013	DUET Group (Multi-Utilities)		229
	38,570	Iluka Resources Ltd. (Metals & Mining)		171
	161,366	Insurance Australia Group Ltd. (Insurance)		648
	495,389	Mirvac Group (Real Estate Investment Trusts)		709
	161,692	National Australia Bank Ltd. (Banks)		3,527
	8,453	Newcrest Mining Ltd. (Metals & Mining) (a)		80
	88,741	Orica Ltd. (Chemicals)		994
	390,292	Origin Energy Ltd. (Oil, Gas & Consumable Fuels)		1,320
	1,417	REA Group Ltd. (Media)		56
	102,276	Rio Tinto Ltd. (Metals & Mining)		3,307
	737,130	Scentre Group (Real Estate Investment Trusts)		2,235
	31,148	Seek Ltd. (Professional Services)		347
	312,612	Stockland Trust Group (Real Estate Investment Trusts)		928
	86,083	Suncorp Group Ltd. (Insurance)		755
	13,101	Sydney Airport (Transportation Infrastructure)		60
	599,936	Telstra Corp. Ltd. (Diversified Telecommunication Services)		2,437
	453,596	Vicinity Centres (Real Estate Investment Trusts)		920
	226,140	Westfield Corp. (Real Estate Investment Trusts)		1,555
	208,688	Westpac Banking Corp. (Banks)		5,057
	143,449	Woodside Petroleum Ltd. (Oil, Gas & Consumable Fuels)		2,988
	295,352	Woolworths Ltd. (Food & Staples Retailing)		5,239
				53,741
		Austria — 0.04%
	1,378	ANDRITZ AG (Machinery)		67
	11,714	OMV AG (Oil, Gas & Consumable Fuels)		333
	1,108	Vienna Insurance Group Wiener Staedtische Versicherung AG (Insurance)		30
	2,261	Voestalpine AG (Metals & Mining)		69
				499
		Belgium — 0.94%
	11,304	Ageas (Insurance)		525
	46,031	Anheuser-Busch InBev NV (Beverages)		5,727
	13,743	Belgacom SA (Diversified Telecommunication Services)		447
	3,859	Groupe Bruxelles Lambert SA (Diversified Financial Services)		330
	24,473	KBC Groep NV (Banks)		1,530
	8,815	Solvay SA (Chemicals)		941
	17,022	Telenet Group Holding NV (Media) (a)		920

Shares		Security Description	Value (000)
		Belgium (continued)
	11,558	UCB SA (Pharmaceuticals)	$	1,043
				11,463
		Bermuda — 0.06%
	176,000	Beijing Enterprises Water Group Ltd. (Water Utilities)		123
	9,000	Golar LNG Ltd. (Oil, Gas & Consumable Fuels)		142
	14,562	Seadrill Ltd. (Energy Equipment & Services)^(a)		50
	122,000	Sihuan Pharmaceutical Holdings Group Ltd. (Pharmaceuticals)*		69
	92,667	Yue Yuen Industrial Holdings Ltd. (Textiles, Apparel & Luxury Goods)		315
				699
		Brazil — 0.06%
	33,380	Banco Bradesco SA, ADR (Banks)		161
	35,100	Companhia Vale do Rio Doce, ADR (Metals & Mining)		90
	26,900	Hypermarcas SA (Personal Products) (a)		148
	28,640	Itau Unibanco Holding SA, ADR (Banks)		185
	26,200	Vale SA, ADR (Metals & Mining)^		86
				670
		Canada — 0.38%
	5,000	Alimentation Couche-Tard, Inc., Class – B (Food & Staples Retailing)		220
	168,020	Baytex Energy Corp. (Oil, Gas & Consumable Fuels)		544
	1,500	Canadian National Railway Co. (Road & Rail)		84
	3,669	Canadian Pacific Railway Ltd. (Road & Rail)		468
	10,100	Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels)		128
	30,000	Centerra Gold, Inc. (Metals & Mining)		143
	7,000	Enbridge, Inc. (Oil, Gas & Consumable Fuels)		233
	67,584	First Quantum Minerals Ltd. (Metals & Mining) (b)		253
	71,880	Imperial Oil Ltd. (Oil, Gas & Consumable Fuels)		2,342
	12,300	Labrador Iron Ore Royalty Corp. (Metals & Mining)^		85
	6,700	Potash Corp. of Saskatchewan, Inc. (Chemicals)		115
				4,615
		Cayman Islands — 0.04%
	8,000	Ctrip.com International, ADR (Internet & Catalog Retail) (a)		371
	38,000	Stella International Holdings Ltd. (Textiles, Apparel & Luxury Goods)		94
				465
		China — 1.30%
	16,832	Baidu, Inc., ADR (Internet Software & Services) (a)		3,182
	252,613	Bank of China Ltd., H Shares (Banks)		112
	33,500	China COSCO Holdings Co. Ltd., H Shares (Marine) (a)		15
	481,610	China Mobile Ltd. (Wireless Telecommunication Services)		5,421
	60,800	China Pacific Insurance Group Co. Ltd. (Insurance)		249

See accompanying notes to financial statements.

79

HC CAPITAL TRUST

The International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		China (continued)
	49,000	China Shipping Container Lines Co. Ltd., H Shares (Marine) (a)	$	14
	3,258,382	CNOOC Ltd. (Oil, Gas & Consumable Fuels)		3,391
	22,000	Cosco Pacific Ltd. (Transportation Infrastructure)		24
	133,808	Industrial & Commercial Bank of China Ltd., H Shares (Banks)		80
	5,100	Jardine Matheson Holdings Ltd. (Industrial Conglomerates)		247
	134,500	PICC Property & Casualty Co. Ltd., H Shares (Insurance)		265
	48,500	Ping An Insurance Group Co. of China (Insurance)		268
	25,500	Shanghai Fosun Pharmaceutical (Group) Co. Ltd., H Shares (Pharmaceuticals)		74
	114,000	Sunny Optical Technology Group Co. Ltd. (Electronic Equipment, Instruments & Components)		260
	110,935	Tencent Holdings Ltd. (Internet Software & Services)		2,172
				15,774
		Denmark — 1.02%
	834	A.P. Moller – Maersk A/S, Class – A (Marine)		1,074
	2,885	A.P. Moller – Maersk A/S, Class – B (Marine)		3,765
	92,015	Danske Bank A/S (Banks)		2,469
	7,436	Genmab A/S (Biotechnology) (a)		989
	52,465	ISS A/S (Commercial Services & Supplies)		1,892
	15,913	Novo Nordisk A/S, Class – B (Pharmaceuticals)		921
	195,879	TDC A/S (Diversified Telecommunication Services)		975
	15,206	Tryg A/S (Insurance)		302
				12,387
		Finland — 0.41%
	10,300	Elisa Oyj (Diversified Telecommunication Services)		387
	16,904	Fortum Oyj (Electric Utilities)		255
	17,165	Metso Oyj (Machinery)		384
	16,812	Nokian Renkaat Oyj (Auto Components)		600
	15,817	Orion Oyj, Class – B (Pharmaceuticals)		547
	25,609	Sampo Oyj, A Shares (Insurance)		1,301
	79,913	UPM-Kymmene Oyj (Paper & Forest Products)		1,484
				4,958
		France — 6.74%
	76,399	AXA SA (Insurance)		2,087
	65,689	BNP Paribas (Banks)		3,716
	33,123	Bouygues SA (Construction & Engineering)		1,313
	9,876	Casino Guichard-Perrachon SA (Food & Staples Retailing)^		454
	7,409	CNP Assurances (Insurance)		100
	60,880	Compagnie de Saint-Gobain (Building Products)		2,638
	29,573	Credit Agricole SA (Banks)		348
	4,348	Danone SA (Food Products)		294

Shares		Security Description	Value (000)
		France (continued)
	28,461	Edenred (Commercial Services & Supplies)	$	538
	10,237	Electricite de France SA (Electric Utilities)		151
	326,862	ENGIE (Multi-Utilities)		5,789
	24,144	Eutelsat Communications (Media)		723
	1,986	Fonciere des Regions (Real Estate Investment Trusts)		178
	2,000	Gecina SA (Real Estate Investment Trusts)		243
	2,509	Icade (Real Estate Investment Trusts)		168
	3,968	JC Decaux SA (Media)		152
	12,428	Klepierre (Real Estate Investment Trusts)		552
	17,830	Lagardere SCA (Media)		532
	69,595	Legrand SA (Electrical Equipment)		3,936
	7,744	L’Oreal SA (Personal Products)		1,302
	8,052	LVMH Moet Hennessy Louis Vuitton SA (Textiles, Apparel & Luxury Goods)		1,265
	29,439	Natixism SA (Banks)		167
	14,627	Numericable – SFR (Media)		531
	187,579	Orange (Diversified Telecommunication Services) (b)		3,137
	15,567	Pernod Ricard SA (Beverages)		1,775
	5,055	Renault SA (Automobiles)		506
	35,980	Rexel SA (Trading Companies & Distributors)		479
	9,173	Safran SA (Aerospace & Defense)		630
	137,541	Sanofi-Aventis (Pharmaceuticals)		11,720
	125,174	Schneider Electric SA (Electrical Equipment)		7,110
	6,518	SCOR SE (Insurance)		244
	4,194	Societe Generale (Banks)		193
	11,191	Suez Environnement Co. (Multi-Utilities)		209
	63,575	Technip SA (Energy Equipment & Services)		3,161
	278,609	Total SA (Oil, Gas & Consumable Fuels)		12,488
	7,140	Unibail-Rodamco SE (Real Estate Investment Trusts)		1,813
	14,111	Veolia Environnement (Multi-Utilities)		335
	79,453	Vinci SA (Construction & Engineering)		5,092
	160,103	Vivendi (Media)		3,438
	103,770	Zodiac Aerospace (Aerospace & Defense)		2,471
				81,978
		Germany — 5.46%
	20,924	Allianz SE (Insurance)		3,688
	4,955	Axel Springer AG (Media)		276
	80,266	BASF SE (Chemicals)		6,113
	57,551	Bayer AG (Pharmaceuticals)		7,187
	44,672	Bayerische Motoren Werke AG (Automobiles)		4,706
	18,080	Beiersdorf AG (Personal Products)		1,643
	3,565	Brenntag AG (Trading Companies & Distributors)		186
	114,689	Daimler AG (Automobiles)		9,580
	37,704	Deutsche Bank AG (Capital Markets)		916
	5,825	Deutsche Boerse AG (Diversified Financial Services)		512
	107,197	Deutsche Post AG (Air Freight & Logistics)		2,997
	187,941	Deutsche Telekom AG (Diversified Telecommunication Services)		3,376
	19,240	Deutsche Wohnen AG (Real Estate Management & Development)		532
	55,252	E.ON AG (Multi-Utilities)		530

See accompanying notes to financial statements.

80

HC CAPITAL TRUST

The International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Germany (continued)
	4,770	ElringKlinger AG (Auto Components)	$	121
	15,666	Evonik Industries AG (Chemicals)		518
	4,204	Freenet AG (Wireless Telecommunication Services)		142
	6,506	GEA Group AG (Machinery)		263
	1,873	Hannover Rueckversicherung AG (Insurance)		214
	7,621	Hugo Boss AG (Textiles, Apparel & Luxury Goods)		629
	8,719	Lanxess AG (Chemicals)		401
	39,133	Linde AG (Chemicals)		5,652
	3,760	MAN SE (Machinery)		378
	17,759	Metro AG (Food & Staples Retailing)		566
	2,047	MTU Aero Engines Holding AG (Aerospace & Defense)		199
	5,464	Muenchener Rueckversicherungs-Gesellschaft AG (Insurance)		1,088
	29,624	ProSiebenSat.1 Media AG (Media)		1,494
	41,243	SAP AG (Software)		3,272
	66,614	Siemens AG (Industrial Conglomerates)		6,444
	15,610	TAG Immobilien AG (Real Estate Management & Development)		194
	33,087	Telefonica Deutschland Holding AG (Diversified Telecommunication Services)		174
	3,336	Volkswagen AG (Automobiles)		513
	34,883	Vonovia SE (Real Estate Management & Development)		1,078
	16,889	Wirecard AG (IT Services)		844
				66,426
		Hong Kong — 2.24%
	773,380	AIA Group Ltd. (Insurance) (b)		4,621
	2,600	Alibaba Group Holding Ltd., ADR (Internet Software & Services) (a)		211
	41,200	ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment)		321
	245,055	BOC Hong Kong (Holdings) Ltd. (Banks)		746
	156,000	Cathay Pacific Airways Ltd. (Airlines)		268
	63,759	Cheung Kong Infrastructure Holdings Ltd. (Electric Utilities)		589
	140,000	China Everbright International Ltd. (Commercial Services & Supplies)		179
	562,700	China Merchants Holdings (International) Co. Ltd. (Transportation Infrastructure)		1,780
	262,500	Ck Hutchison Holdings Ltd. (Industrial Conglomerates)		3,529
	113,593	CLP Holdings Ltd. (Electric Utilities)		963
	126,000	First Pacific Co. Ltd. (Diversified Financial Services)		83
	334,000	Hanergy Thin Film Power Group Ltd. (Semiconductors & Semiconductor Equipment)*(a)		169
	300,675	Hang Lung Properties Ltd. (Real Estate Management & Development)		681
	49,106	Hang Seng Bank Ltd. (Banks)		931
	103,073	HK Electric Investments Ltd. (Electric Utilities)^		86
	406,680	HKT Trust & HKT Ltd. (Diversified Telecommunication Services)		519

Shares		Security Description	Value (000)
		Hong Kong (continued)
	67,000	Hysan Development Co. (Real Estate Management & Development)	$	274
	85,000	Kerry Properties Ltd. (Real Estate Management & Development)		231
	1,308,000	Li & Fung Ltd. (Textiles, Apparel & Luxury Goods)		885
	4,200	Melco Crown Entertainment Ltd., ADR (Hotels, Restaurants & Leisure)		71
	196,874	MTR Corp. Ltd. (Road & Rail)		972
	669,483	New World Development Co. Ltd. (Real Estate Management & Development)		657
	504,000	PCCW Ltd. (Diversified Telecommunication Services)		295
	91,724	Power Assets Holdings Ltd. (Electric Utilities)		841
	333,205	Sino Land Co. Ltd. (Real Estate Management & Development)		485
	214,256	Sun Hung Kai Properties Ltd. (Real Estate Management & Development)		2,576
	90,208	Swire Pacific Ltd., Class – A (Real Estate Management & Development)		1,008
	83,404	The Bank of East Asia Ltd. (Banks)		309
	308,908	The Link Real Estate Investment Trust (Real Estate Investment Trusts)		1,842
	194,970	The Wharf (Holdings) Ltd. (Real Estate Management & Development)		1,076
				27,198
		India — 0.05%
	39,915	Infosys Ltd., ADR (IT Services)		669
		Ireland (Republic of) — 0.77%
	3,525	Allegion PLC (Building Products)		232
	729,844	Bank of Ireland (Banks) (a)		267
	55,217	CRH PLC (Construction Materials)		1,592
	78,618	Medtronic PLC (Health Care Equipment & Supplies)		6,048
	14,398	Ryanair Holdings PLC, ADR (Airlines)		1,245
				9,384
		Israel — 0.43%
	76,988	Bank Leumi Le-Israel (Banks) (a)		267
	245,924	Bezeq The Israeli Telecommunication Corp. Ltd. (Diversified Telecommunication Services)		542
	1,151	Delek Group Ltd. (Oil, Gas & Consumable Fuels)		231
	108,085	Israel Chemicals Ltd. (Chemicals)		439
	57,496	Teva Pharmaceutical Industries Ltd. (Pharmaceuticals)		3,751
				5,230
		Italy — 0.58%
	19,654	Assicurazioni Generali SpA (Insurance)		359
	40,023	Atlantia SpA (Transportation Infrastructure)		1,059
	160,421	Enel SpA (Electric Utilities)		672
	252,290	Eni SpA (Oil, Gas & Consumable Fuels)		3,748
	28,238	Intesa Sanpaolo SpA (Banks)		86
	166,044	Mediaset SpA (Media)		688
	49,624	Snam Rete Gas SpA (Gas Utilities)		259
	36,863	Terna – Rete Elettrica Nationale SpA (Electric Utilities)		190
				7,061

See accompanying notes to financial statements.

81

HC CAPITAL TRUST

The International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Japan — 16.01%
	4,261	Aeon Credit Service Co. Ltd. (Consumer Finance)	$	95
	29,324	Aisin Seiki Co. Ltd. (Auto Components)		1,262
	41,162	Aozora Bank Ltd. (Banks)		144
	162,229	Asahi Glass Co. Ltd. (Building Products)		930
	163,000	Asahi Kasei Corp. (Chemicals)		1,102
	11,480	Benesse Holdings, Inc. (Diversified Consumer Services)		331
	93,611	Bridgestone Corp. (Auto Components)		3,212
	33,000	Brother Industries Ltd. (Technology Hardware, Storage & Peripherals)		379
	178,910	Canon, Inc. (Technology Hardware, Storage & Peripherals)		5,413
	400	COSMOS Pharmaceutical Corp. (Food & Staples Retailing)		63
	90,577	Dai Nippon Printing Co. Ltd. (Commercial Services & Supplies)		896
	28,763	Daihatsu Motor Co. Ltd. (Automobiles)		388
	103,878	Daiichi Sankyo Co. Ltd. (Pharmaceuticals)		2,144
	5,279	Daito Trust Construction Co. Ltd. (Real Estate Management & Development)		610
	42,950	Daiwa House Industry Co. Ltd. (Real Estate Management & Development)		1,235
	62,000	Daiwa Securities Group, Inc. (Capital Markets)		379
	75,700	Denso Corp. (Auto Components)		3,619
	58,400	East Japan Railway Co. (Road & Rail)		5,500
	39,957	Eisai Co. Ltd. (Pharmaceuticals)		2,644
	9,259	FamilyMart Co. Ltd. (Food & Staples Retailing)		431
	31,500	Fanuc Ltd. (Machinery)		5,428
	29,886	Fukuoka Financial Group, Inc. (Banks)		148
	25,900	Hamamatsu Photonics K.K. (Electronic Equipment, Instruments & Components)		710
	2,696	Hikari Tsushin, Inc. (Specialty Retail)		184
	14,500	Hitachi Chemical Co. Ltd. (Chemicals)		230
	14,841	Hitachi Construction Machinery Co. Ltd. (Machinery)		231
	1,531,000	Hitachi Ltd. (Electronic Equipment, Instruments & Components)		8,677
	6,541	Hokuriku Electric Power Co. (Electric Utilities)		97
	242,436	Honda Motor Co. Ltd. (Automobiles)		7,750
	1,100	Hoshizaki Electric Co. Ltd. (Machinery)		68
	12,798	Idemitsu Kosan Co. Ltd. (Oil, Gas & Consumable Fuels)		204
	222,000	IHI Corp. (Machinery)		613
	84,300	Isuzu Motors Ltd. (Automobiles)		908
	253,417	ITOCHU Corp. (Trading Companies & Distributors)		2,998
	7,800	ITOCHU Techno-Solutions Corp. (IT Services)		155
	99,000	Japan Airlines Co. Ltd. (Airlines)		3,544
	64	Japan Prime Realty Investment Corp. (Real Estate Investment Trusts)		219
	92	Japan Real Estate Investment Corp. (Real Estate Investment Trusts)		447
	184	Japan Retail Fund Investment Corp. (Real Estate Investment Trusts)		354
	248,812	Japan Tobacco, Inc. (Tobacco)		9,136

Shares		Security Description	Value (000)
		Japan (continued)
	70,400	JFE Holdings, Inc. (Metals & Mining)	$	1,106
	31,000	JGC Corp. (Construction & Engineering)		475
	40,179	JS Group Corp. (Building Products)		892
	27,254	JSR Corp. (Chemicals)		425
	357,606	JX Holdings, Inc. (Oil, Gas & Consumable Fuels)		1,501
	222,000	Kawasaki Heavy Industries Ltd. (Machinery)		821
	416,900	KDDI Corp. (Wireless Telecommunication Services)		10,828
	1,820	Keyence Corp. (Electronic Equipment, Instruments & Components)		1,000
	131,363	Kirin Holdings Co. Ltd. (Beverages)		1,784
	442,986	Kobe Steel Ltd. (Metals & Mining)		481
	135,645	Komatsu Ltd. (Machinery)		2,220
	64,400	Konica Minolta, Inc. (Technology Hardware, Storage & Peripherals)		645
	17,000	Kubota Corp. (Machinery)		263
	54,284	Kuraray Co. Ltd. (Chemicals)		658
	17,621	Kurita Water Industries Ltd. (Machinery)		369
	46,800	Kyocera Corp. (Electronic Equipment, Instruments & Components)		2,174
	10,094	Lawson, Inc. (Food & Staples Retailing)		819
	270,216	Marubeni Corp. (Trading Companies & Distributors)		1,389
	6,687	Maruichi Steel Tube Ltd. (Metals & Mining)		197
	7,700	Miraca Holdings, Inc. (Health Care Providers & Services)		339
	233,645	Mitsubishi Corp. (Trading Companies & Distributors)		3,887
	274,000	Mitsubishi Electric Corp. (Electrical Equipment)		2,877
	53,018	Mitsubishi Gas Chemical Co., Inc. (Chemicals)		271
	158,204	Mitsubishi Materials Corp. (Metals & Mining)		498
	35,526	Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals)		612
	572,705	Mitsubishi UFJ Financial Group, Inc. (Banks)		3,548
	276,888	Mitsui & Co. Ltd. (Trading Companies & Distributors)		3,290
	866,377	Mizuho Financial Group, Inc. (Banks)		1,733
	19,000	MS&AD Insurance Group Holdings, Inc. (Insurance)		557
	6,900	Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components)		993
	86,167	NGK Insulators Ltd. (Machinery)		1,942
	1,300	Nidec Corp. (Electrical Equipment)		94
	223,900	Nikon Corp. (Household Durables)^		2,999
	99	Nippon Building Fund, Inc. (Real Estate Investment Trusts)		473
	57,423	Nippon Electric Glass Co. Ltd. (Electronic Equipment, Instruments & Components)		289
	113	Nippon Prologis REIT, Inc. (Real Estate Investment Trusts)		204
	107,600	Nippon Steel & Sumitomo Metal Corp. (Metals & Mining)		2,130
	69,500	Nippon Telegraph & Telephone Corp. (Diversified Telecommunication Services)		2,766
	232,000	Nippon Yusen Kabushiki Kaisha (Marine)		562
	414,954	Nissan Motor Co. Ltd. (Automobiles)		4,345

See accompanying notes to financial statements.

82

HC CAPITAL TRUST

The International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Japan (continued)
	135,300	Nomura Holdings, Inc. (Capital Markets)	$	754
	9,011	Nomura Real Estate Holdings, Inc. (Real Estate Management & Development)		167
	134,825	NTT DoCoMo, Inc. (Wireless Telecommunication Services)		2,766
	135,822	Oji Paper Co. Ltd. (Paper & Forest Products)		546
	49,100	Olympus Corp. (Health Care Equipment & Supplies)		1,933
	5,900	Ono Pharmaceutical Co. Ltd. (Pharmaceuticals)		1,052
	3,900	Oracle Corp. Japan (Software)		182
	74,712	Osaka Gas Co. Ltd. (Gas Utilities)		270
	59,815	Otsuka Holdings Co. Ltd. (Pharmaceuticals)		2,125
	16,484	Park24 Co. Ltd. (Commercial Services & Supplies)		399
	81,338	Resona Holdings, Inc. (Banks)		395
	130,183	Ricoh Co. Ltd. (Technology Hardware, Storage & Peripherals)		1,341
	3,100	Rinnai Corp. (Household Durables)		275
	14,900	Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment)		755
	1,400	Ryohin Keikaku Co. (Multiline Retail)		284
	8,415	Sankyo Co. Ltd. (Leisure Products)		314
	26,300	Sega Sammy Holdings, Inc. (Leisure Products)		246
	65,393	Sekisui Chemical Co. Ltd. (Household Durables)		854
	85,352	Sekisui House Ltd. (Household Durables)		1,435
	2,200	Shimano, Inc. (Leisure Products)		338
	28,900	Shin-Etsu Chemical Co. Ltd. (Chemicals)		1,571
	28,694	Showa Shell Sekiyu K.K. (Oil, Gas & Consumable Fuels)		234
	1,600	SMC Corp. (Machinery)		416
	8,100	SoftBank Corp. (Wireless Telecommunication Services)		409
	12,500	Sompo Japan Nipponkoa Holdings, Inc. (Insurance)		410
	6,008	Sony Financial Holdings, Inc. (Insurance)		107
	182,786	Sumitomo Corp. (Trading Companies & Distributors)		1,864
	107,000	Sumitomo Electric Industries Ltd. (Auto Components)		1,511
	77,000	Sumitomo Heavy Industries Ltd. (Machinery)		345
	74,226	Sumitomo Metal Mining Co. Ltd. (Metals & Mining)		901
	132,848	Sumitomo Mitsui Financial Group, Inc. (Banks)		5,014
	119,832	Sumitomo Mitsui Trust Holdings, Inc. (Banks)		454
	26,791	Sumitomo Rubber Industries Ltd. (Auto Components)		348
	3,800	Sysmex Corp. (Health Care Equipment & Supplies)		244
	127,911	Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals)		6,379
	11,342	The Chugoku Electric Power Co., Inc. (Electric Utilities)		149
	15,900	The Yokohama Rubber Co. Ltd. (Auto Components)		244
	16,400	THK Co. Ltd. (Machinery)		304
	25,400	Tokio Marine Holdings, Inc. (Insurance)		982
	46,981	TonenGeneral Sekiyu K.K. (Oil, Gas & Consumable Fuels)		397

Shares		Security Description	Value (000)
		Japan (continued)
	9,962	Toyoda Gosei Co. Ltd. (Auto Components)	$	226
	291,903	Toyota Motor Corp. (Automobiles)		17,978
	31,070	Toyota Tsusho Corp. (Trading Companies & Distributors)		727
	23,227	Trend Micro, Inc. (Software)		942
	191	United Urban Investment Corp. (Real Estate Investment Trusts)		259
	31,600	USS Co. Ltd. (Specialty Retail)		474
	21,000	Yahoo Japan Corp. (Internet Software & Services)		85
				194,739
		Jersey — 0.21%
	100,593	Glencore International PLC (Metals & Mining)		133
	40,571	Petrofac Ltd. (Energy Equipment & Services)		476
	83,927	WPP PLC (Media)		1,930
				2,539
		Liberia — 0.09%
	10,647	Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)		1,078
		Luxembourg — 0.29%
	114,861	ArcelorMittal (Metals & Mining)^		485
	9,836	Millicom International Cellular SA (Wireless Telecommunication Services)		565
	4,163	RTL Group (Media)		347
	57,611	SES – FDR, Class – A (Media)		1,595
	44,053	Tenaris SA (Energy Equipment & Services)		522
				3,514
		Mexico — 0.11%
	9,812	Cemex SAB de CV, ADR (Construction Materials) (a)		55
	49,269	Grupo Televisa SA, ADR (Media)		1,340
				1,395
		Netherlands — 2.45%
	1,633	ABN AMRO Group NV (Banks) (a)(b)		37
	29,029	AEGON NV (Insurance)		164
	7,514	Airbus Group NV (Aerospace & Defense)		506
	114,361	Akzo Nobel NV (Chemicals)		7,639
	34,563	ASML Holding NV (Semiconductors & Semiconductor Equipment)		3,071
	1,661	ASML Holding NV, NYS (Semiconductors & Semiconductor Equipment)		147
	59,883	CNH Industrial NV (Machinery)		410
	4,146	Gemalto NV (Software)		249
	647	Heineken Holding NV (Beverages)		55
	8,282	ING Groep NV (Banks)		112
	58,455	Koninklijke Ahold NV (Food & Staples Retailing)		1,233
	5,775	Koninklijke Boskalis Westminster NV (Construction & Engineering)		236
	18,544	Koninklijke DSM NV (Chemicals)		930
	61,276	Koninklijke Philips Electronics NV (Industrial Conglomerates)		1,564
	4,559	Koninklijke Vopak NV (Oil, Gas & Consumable Fuels)		196
	8,398	Randstad Holding NV (Professional Services)		523

See accompanying notes to financial statements.

83

HC CAPITAL TRUST

The International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Netherlands (continued)
	360,933	Reed Elsevier NV (Media)	$	6,079
	72,561	STMicroelectronics NV (Semiconductors & Semiconductor Equipment)		486
	266,410	TNT NV (Air Freight & Logistics) (a)		1,010
	101,932	Unilever NV (Personal Products)		4,442
	20,085	Wolters Kluwer NV (Media)		674
				29,763
		New Zealand — 0.02%
	15,255	Fletcher Building Ltd. (Construction Materials)		76
	27,516	Infratil Ltd. (Electric Utilities)		61
	67,438	Telecom Corp. of New Zealand Ltd. (Diversified Telecommunication Services)		153
				290
		Norway — 0.36%
	15,504	DNB ASA (Banks)		191
	8,860	Gjensidige Forsikring ASA (Insurance)		142
	204,811	Statoil ASA (Oil, Gas & Consumable Fuels)		2,858
	71,197	Telenor ASA (Diversified Telecommunication Services)		1,187
				4,378
		Papua New Guinea — 0.02%
	50,090	Oil Search Ltd. (Oil, Gas & Consumable Fuels)		244
		Portugal — 0.02%
	75,126	EDP – Energias de Portugal SA (Electric Utilities)		271
		Russia — 0.01%
	19,700	Rosneft Oil Co., Registered Shares, GDR (Oil, Gas & Consumable Fuels)		69
		Singapore — 1.07%
	332,572	Ascendas Real Estate Investment Trust (Real Estate Investment Trusts)		533
	347,844	CapitaCommercial Trust (Real Estate Investment Trusts)		330
	393,715	CapitaMall Trust (Real Estate Investment Trusts)		535
	5,798	DBS Group Holdings Ltd. (Banks)		68
	1,379,241	Hutchison Port Holdings Trust (Transportation Infrastructure)		729
	462,399	Keppel Corp. Ltd. (Industrial Conglomerates)		2,113
	295,200	SembCorp Industries Ltd. (Industrial Conglomerates)		633
	264,217	SembCorp Marine Ltd. (Machinery)^		325
	376,681	Singapore Press Holdings Ltd. (Media)		1,045
	321,927	Singapore Tech Engineering (Aerospace & Defense)		681
	1,381,479	Singapore Telecommunications Ltd. (Diversified Telecommunication Services)		3,562
	368,780	Suntec REIT (Real Estate Investment Trusts)		402
	112,300	United Overseas Bank Ltd. (Banks)		1,549
	663,136	Yangzijiang Shipbuilding Holdings Ltd. (Machinery)		513
				13,018

Shares		Security Description	Value (000)
		South Africa — 0.01%
	43,895	African Bank Investments Ltd. (Diversified Financial Services)*(a)	$	—
	668	Naspers Ltd. (Media)		91
				91
		South Korea — 0.93%
	3,757	Hyundai Motor Co. Ltd. (Automobiles)		474
	25,411	KT&G Corp. (Tobacco)		2,259
	10	Orion Corp. (Food Products)		10
	3,832	Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals)		4,088
	24,622	SK Telecom Co. Ltd. (Wireless Telecommunication Services)		4,507
				11,338
		Spain — 1.85%
	91,770	Abertis Infraestructuras SA (Transportation Infrastructure)		1,435
	3,759	Amadeus IT Holding SA, A Shares (IT Services)		166
	354,899	Banco Bilbao Vizcaya Argentaria SA (Banks)		2,593
	814,403	Banco Santander SA (Banks)		4,005
	763,542	CaixaBank SA (Banks) (b)		2,657
	59,777	Corporacion Mapfre (Insurance)^		150
	11,926	Enagas (Gas Utilities)		336
	19,117	Gas Natural SDG SA (Gas Utilities)		390
	26,719	Grifols SA, ADR (Biotechnology)		866
	15,717	Grifols SA (Biotechnology)		726
	232,374	Repsol YPF SA (Oil, Gas & Consumable Fuels)		2,558
	26,192	Tecnicas Reunidas SA (Energy Equipment & Services)^		990
	507,997	Telefonica SA (Diversified Telecommunication Services)		5,635
				22,507
		Sweden — 1.94%
	23,296	Assa Abloy AB, B Shares (Building Products)		488
	10,457	Autoliv, Inc. – SDR (Auto Components)		1,321
	9,543	Electrolux AB, B Shares (Household Durables)		230
	12,227	Industrivarden AB, C Shares (Diversified Financial Services)		209
	3,697	Modern Times Group, B Shares (Media)		94
	230,821	Nordea Bank AB (Banks)		2,535
	307,427	Sandvik AB (Machinery)		2,682
	112,143	Skandinaviska Enskilda Banken AB, Class – A (Banks)		1,180
	93,352	Skanska AB, B Shares (Construction & Engineering)		1,812
	37,113	Svenska Handelsbanken AB, A Shares (Banks)		493
	114,655	Swedbank AB, A Shares (Banks)		2,527
	47,142	Tele2 AB, B Shares (Wireless Telecommunication Services)		470
	796,305	Telefonaktiebolaget LM Ericsson, B Shares (Communications Equipment)		7,683
	385,794	TeliaSonera AB (Diversified Telecommunication Services)		1,917
				23,641

See accompanying notes to financial statements.

84

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The International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Switzerland — 8.96%
	614,837	ABB Ltd., Registered Shares (Electrical Equipment)	$	10,977
	12,206	Actelion Ltd. (Biotechnology)		1,696
	77,485	Adecco SA, Registered Shares (Professional Services)		5,304
	57,870	Aryzta AG (Food Products)		2,928
	4,416	Baloise Holding AG, Registered Shares (Insurance)		560
	112,575	Clariant AG (Chemicals)		2,135
	44,010	Compagnie Financiere Richemont SA, Registered Shares (Textiles, Apparel & Luxury Goods)		3,151
	11,362	Credit Suisse Group AG (Capital Markets) (b)		245
	2,798	DKSH Holding Ltd. (Professional Services)		176
	343	Givaudan SA (Chemicals)		623
	5,028	Holcim Ltd., Registered Shares (Construction Materials)		252
	6,241	Julius Baer Group Ltd. (Capital Markets)		302
	13,371	Kuehne & Nagel International Ltd. (Marine)		1,832
	253,262	Nestle SA (Food Products)		18,807
	80,722	Novartis AG, Registered Shares (Pharmaceuticals)		6,946
	2,798	Pargesa Holding SA (Diversified Financial Services)		177
	1,167	Partners Group Holding AG (Capital Markets)		420
	90,751	Roche Holding AG (Pharmaceuticals)		25,156
	1,470	SGS SA, Registered Shares (Professional Services)		2,795
	3,830	Sulzer AG (Machinery)		360
	10,212	Swiss Prime Site AG (Real Estate Management & Development)		798
	32,052	Swiss Re AG (Insurance)		3,131
	4,368	Swisscom AG (Diversified Telecommunication Services)		2,186
	7,556	Syngenta AG, Registered Shares (Chemicals)		2,958
	10,743	TE Connectivity Ltd. (Electronic Equipment, Instruments & Components)		694
	516	The Swatch Group AG (Textiles, Apparel & Luxury Goods)		35
	694	The Swatch Group AG, B Shares (Textiles, Apparel & Luxury Goods)		241
	106,320	Transocean Ltd. (Energy Equipment & Services)^		1,329
	263,191	UBS Group AG (Capital Markets)		5,107
	29,999	Zurich Financial Services AG (Insurance)		7,709
				109,030
		Taiwan — 0.06%
	83,000	Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment)		358
	14,900	Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Semiconductors & Semiconductor Equipment)		339
				697
		United Kingdom — 16.36%
	102,265	AA PLC (Commercial Services & Supplies)		472
	42,543	Aberdeen Asset Management PLC (Capital Markets)		181

Shares		Security Description	Value (000)
		United Kingdom (continued)
	8,834	Admiral Group PLC (Insurance)	$	216
	2,600	Aggreko PLC (Commercial Services & Supplies)		35
	263,875	Anglo American PLC (Metals & Mining)		1,158
	5,829	Aon PLC (Insurance)		537
	6,100	ARM Holdings PLC (Semiconductors & Semiconductor Equipment)		93
	2,000	Associated British Foods PLC (Food Products)		98
	196,196	AstraZeneca PLC (Pharmaceuticals)		13,251
	717,543	Aviva PLC (Insurance)		5,445
	39,347	Babcock International Group PLC (Commercial Services & Supplies)		589
	530,287	BAE Systems PLC (Aerospace & Defense)		3,903
	501,854	Balfour Beatty PLC (Construction & Engineering) (a)		1,999
	1,379,821	Barclays PLC (Banks)		4,441
	199,700	BCA Marketplace PLC, Registered Shares (Specialty Retail)		508
	389,451	BHP Billiton PLC (Metals & Mining)		4,342
	1,805,661	BP PLC (Oil, Gas & Consumable Fuels)		9,382
	318,995	British American Tobacco PLC (Tobacco)		17,712
	115,320	BT Group PLC (Diversified Telecommunication Services)		801
	2,500	Burberry Group PLC (Textiles, Apparel & Luxury Goods)		44
	80,126	Capital Shopping Centres Group PLC (Real Estate Investment Trusts)		374
	105,798	Carnival PLC (Hotels, Restaurants & Leisure)		6,026
	210,741	Centrica PLC (Multi-Utilities)		677
	18,902	Croda International PLC (Chemicals)		847
	29,448	Delphi Automotive PLC (Auto Components)		2,525
	129,688	Diageo PLC (Beverages)		3,541
	5,100	Ensco PLC, ADR (Energy Equipment & Services)		78
	8,200	Fidessa Group PLC (Software)		242
	228,575	G4S PLC (Commercial Services & Supplies)		759
	719,268	GlaxoSmithKline PLC (Pharmaceuticals)		14,524
	33,654	Grainger PLC (Real Estate Management & Development)		115
	5,855	Greene King PLC (Hotels, Restaurants & Leisure)		80
	9,000	Halma PLC (Electronic Equipment, Instruments & Components)		115
	20,300	Henderson Group PLC (Capital Markets)		92
	87,487	Home Retail Group PLC (Internet & Catalog Retail)		128
	835,540	HSBC Holdings PLC (Banks)		6,594
	659,266	HSBC Holdings PLC (HK) (Banks)		5,213
	34,083	ICAP PLC (Capital Markets)		256
	194,385	Imperial Tobacco Group PLC (Tobacco)		10,266
	27,730	InterContinental Hotels Group PLC (Hotels, Restaurants & Leisure)		1,081
	477,672	International Consolidated Airlines Group SA (Airlines)		4,294
	634,205	ITV PLC (Media)		2,582
	223,019	J Sainsbury PLC (Food & Staples Retailing)		849
	55,086	Johnson Matthey PLC (Chemicals)		2,154

See accompanying notes to financial statements.

85

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Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		United Kingdom (continued)
	255,625	Legal & General Group PLC (Insurance)	$	1,009
	49,192	Liberty Global PLC, Class – A (Media) (a)		2,084
	71,246	Liberty Global PLC, Class – C (Media) (a)		2,904
	5,441,516	Lloyds Banking Group PLC (Banks)		5,854
	15,507	Marks & Spencer Group PLC (Multiline Retail)		103
	45,573	Meggitt PLC (Aerospace & Defense)		252
	4,441	Merlin Entertainments PLC (Hotels, Restaurants & Leisure)		30
	150,794	Michael Page International PLC (Professional Services)		1,077
	160,726	National Grid PLC (Multi-Utilities)		2,216
	100,916	Ocado Group PLC (Internet & Catalog Retail) (a)		451
	220,319	Old Mutual PLC (Insurance)		580
	142,956	Pearson PLC (Media)		1,545
	49,435	Persimmon PLC (Household Durables) (a)		1,475
	33,140	Prudential PLC (Insurance)		747
	242,655	Rio Tinto PLC (Metals & Mining)		7,064
	290,903	Rolls-Royce Holdings PLC (Aerospace & Defense)		2,464
	307,500	Royal Dutch Shell PLC, A Shares (Oil, Gas & Consumable Fuels)		6,964
	299,336	Royal Dutch Shell PLC, B Shares (Oil, Gas & Consumable Fuels)		6,821
	136,305	Royal Mail PLC (Air Freight & Logistics)		893
	9,909	Severn Trent PLC (Water Utilities)		317
	6,800	Shaftesbury PLC (Real Estate Investment Trusts)		92
	1,600	Spirax-Sarco Engineering PLC (Machinery)		77
	44,800	Sports Direct International (Specialty Retail) (a)		381
	299,292	SSE PLC (Electric Utilities)		6,719
	138,701	Standard Chartered PLC (Banks)		1,151
	80,331	Standard Life PLC (Insurance)		460
	85,102	Tate & Lyle PLC (Food Products)		750
	287,155	Thomas Cook Group PLC (Hotels, Restaurants & Leisure) (a)		512
	17,098	Tullow Oil PLC (Oil, Gas & Consumable Fuels) (a)		42
	29,198	United Utilities Group PLC (Water Utilities)		402
	4,114,145	Vodafone Group PLC (Wireless Telecommunication Services)		13,339
	391,204	William Morrison Supermarkets PLC (Food & Staples Retailing)		852
	191,629	Worldpay Group PLC (IT Services) (a)(b)		868
				199,114
		United States — 0.28%
	2,717	Allergan PLC (Pharmaceuticals) (a)		849
	31,138	Cognizant Technology Solutions Corp. (IT Services) (a)		1,869
	23,700	Samsonite International SA (Textiles, Apparel & Luxury Goods)		71
	6,627	WABCO Holdings, Inc. (Machinery) (a)		678
				3,467
		Total Common Stocks		924,400

Shares or Principal Amount (000)		Security Description	Value (000)
		Preferred Stocks — 0.85%
		Germany — 0.85%
	5,535	Bayerische Motoren Werke AG – Preferred (Automobiles)	$	463
	8,805	Henkel AG & Co. KGaA – Preferred (Household Products)		983
	13,963	Porsche Automobil Holding SE – Preferred (Automobiles)		751
	56,328	Volkswagen AG – Preferred (Automobiles)		8,131
				10,328
		Total Preferred Stocks		10,328
		Contingent Right — 0.00%
		Singapore — 0.00%
	12,471	Ascendas Real Estate Investment Trust (Real Estate Investment Trusts) (a)		1
		Total Contingent Right		1
		Time Deposit — 0.91%
$	11,116	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16		11,116
		Total Time Deposit		11,116
		Mutual Funds — 22.77%
	515,000	Dreyfus Treasury Prime Cash Management Fund, 0.00% (c)		515
	1,521,000	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (d)		1,521
	6,091,455	HC Capital Trust – The Emerging Markets Portfolio		85,220
	189,788,588	SSgA Treasury Money Market Fund, 0.00% (c)		189,788
		Total Mutual Funds		277,044
		Repurchase Agreement — 0.38%
$	4,680	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $4,680,469 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $4,773,866)^^		4,680
		Total Repurchase Agreement		4,680
		Total Investments (cost $1,222,845) — 100.90%		1,227,569
		Liabilities in excess of other assets — (0.90%)		(10,942	)
		Net Assets—100.00%	$	1,216,627

Amounts designated as “—” are $0 or have been rounded to $0.

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $5,853 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

See accompanying notes to financial statements.

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Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

(a) Represents non-income producing security.

(b) Represents a security purchased under Rule 144A or Section 4(2) and is exempt from registration under the Securities Act of 1933, as amended, or is otherwise restricted to resale. Certain of these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities have been deemed liquid by the Specialist Manager.

(c) The rate disclosed is the rate in effect on December 31, 2015.

(d) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

FDR — Fiduciary Depositary Receipt

GDR — Global Depositary Receipt

REIT — Real Estate Investment Trust

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The International Equity Portfolio	Artisan Partners LP			Cadence Capital Management, LLC			Capital Guardian Trust Company			Causeway Capital Management LLC			Mellon Capital Management Corporation			Parametric Portfolio Associates, LLC			HC Capital Solutions			Total
Common Stocks		7.94	%		48.40	%		3.76	%		15.87	%		0.02	%		—			—			75.99	%
Preferred Stocks		0.08	%		0.27	%		—			0.50	%		—			—			—			0.85	%
Contingent Right		—			0.00	%		—			—			—			—			—			0.00	%
Time Deposit		0.47	%		—			0.12	%		0.32	%		—			—			—			0.91	%
Mutual Funds		—			0.10	%		0.01	%		0.06	%		0.10	%		15.50	%		7.00	%		22.77	%
Repurchase Agreement		—			0.18	%		0.01	%		0.19	%		—			—			—			0.38	%
Other Assets (Liabilities)		-0.03	%		0.19	%		0.01	%		-0.21	%		—			-1.04	%		0.18	%		-0.90	%
Total Net Assets		8.46	%		49.14	%		3.91	%		16.73	%		0.12	%		14.46	%		7.18	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	2,272	Mini MSCI EAFE Index Future	$	192,916		3/18/16	$	(2,913	)
		Net Unrealized Appreciation/(Depreciation)					$	(2,913	)

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

87

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 93.21%
		Australia — 6.14%
	1,500,868	Alumina Ltd. (Metals & Mining)	$	1,252
	177,890	Amcor Ltd. (Containers & Packaging)		1,728
	6,915	Ansell Ltd. (Health Care Equipment & Supplies)		107
	121,008	Aristocrat Leisure Ltd. (Hotels, Restaurants & Leisure)		893
	349,419	AusNet Services (Electric Utilities)		376
	471,178	Australia & New Zealand Banking Group Ltd. (Banks)		9,506
	64,271	Bank of Queensland Ltd. (Banks)		648
	81,422	Bendigo & Adelaide Bank Ltd. (Banks)		704
	1,549,463	BHP Billiton Ltd. (Metals & Mining)		19,936
	12,665	Blackmores Ltd. (Personal Products)		2,002
	280,526	Commonwealth Bank of Australia (Banks)		17,339
	92,391	CSL Ltd. (Biotechnology)		7,042
	285,296	Dexus Property Group (Real Estate Investment Trusts)		1,547
	344,851	DUET Group (Multi-Utilities)		571
	1,335,407	Evolution Mining Ltd. (Metals & Mining)		1,357
	163,386	GPT Group (Real Estate Investment Trusts)		566
	50,302	Iluka Resources Ltd. (Metals & Mining)		222
	272,303	Independence Group NL (Metals & Mining)		500
	416,211	Insurance Australia Group Ltd. (Insurance)		1,671
	103,761	Magellan Financial Group Ltd. (Capital Markets)		2,039
	1,297,248	Mirvac Group (Real Estate Investment Trusts)		1,857
	406,297	National Australia Bank Ltd. (Banks)		8,864
	10,495	Newcrest Mining Ltd. (Metals & Mining) (a)		99
	220,227	Orica Ltd. (Chemicals)		2,467
	1,036,192	Origin Energy Ltd. (Oil, Gas & Consumable Fuels)		3,504
	128,443	Platinum Asset Management Ltd. (Capital Markets)		750
	708,842	Qantas Airways Ltd. (Airlines)		2,100
	1,281	REA Group Ltd. (Media)		51
	264,028	Rio Tinto Ltd. (Metals & Mining)		8,537
	135,461	Sandfire Resources NL (Metals & Mining)		549
	1,853,601	Scentre Group (Real Estate Investment Trusts)		5,620
	38,340	Seek Ltd. (Professional Services)		427
	807,713	Stockland Trust Group (Real Estate Investment Trusts)		2,397
	220,127	Suncorp Group Ltd. (Insurance)		1,932
	16,829	Sydney Airport (Transportation Infrastructure)		77
	2,342,711	Telstra Corp. Ltd. (Diversified Telecommunication Services)		9,518
	71,837	TPG Telecom Ltd. (Diversified Telecommunication Services)		514
	1,122,288	Vicinity Centres (Real Estate Investment Trusts)		2,276
	289,316	Westfield Corp. (Real Estate Investment Trusts)		1,990
	543,599	Westpac Banking Corp. (Banks)		13,173
	372,004	Woodside Petroleum Ltd. (Oil, Gas & Consumable Fuels)		7,748
	762,451	Woolworths Ltd. (Food & Staples Retailing)		13,524
				157,980

Shares		Security Description	Value (000)
		Austria — 0.17%
	3,505	ANDRITZ AG (Machinery)	$	171
	84,202	Erste Group Bank AG (Banks) (a)		2,634
	30,753	OMV AG (Oil, Gas & Consumable Fuels)		873
	2,420	Vienna Insurance Group Wiener Staedtische Versicherung AG (Insurance)		66
	18,149	Voestalpine AG (Metals & Mining)		555
				4,299
		Belgium — 1.07%
	29,194	Ageas (Insurance)		1,355
	116,871	Anheuser-Busch InBev NV (Beverages)		14,542
	34,736	Belgacom SA (Diversified Telecommunication Services)		1,130
	9,830	Groupe Bruxelles Lambert SA (Diversified Financial Services)		841
	38,257	KBC Groep NV (Banks)		2,392
	23,524	Solvay SA (Chemicals)		2,510
	46,778	Telenet Group Holding NV (Media) (a)		2,528
	23,685	UCB SA (Pharmaceuticals)		2,138
				27,436
		Bermuda — 0.07%
	82,300	Alibaba Health Information Technology Ltd. (Diversified Telecommunication Services)^(a)		57
	508,000	Beijing Enterprises Water Group Ltd. (Water Utilities)		354
	11,600	Golar LNG Ltd. (Oil, Gas & Consumable Fuels)		183
	108,000	Kunlun Energy Co. Ltd. (Oil, Gas & Consumable Fuels)		96
	55,000	Nine Dragons Paper Holdings Ltd. (Paper & Forest Products)		32
	17,685	Seadrill Ltd. (Energy Equipment & Services)^(a)		61
	216,000	Sihuan Pharmaceutical Holdings Group Ltd. (Pharmaceuticals)*		123
	239,000	Yue Yuen Industrial Holdings Ltd. (Textiles, Apparel & Luxury Goods)		810
				1,716
		Brazil — 0.21%
	149,900	Ambev SA (Beverages)		677
	2,900	B2W CIA Digital (Internet & Catalog Retail) (a)		11
	43,120	Banco Bradesco SA, ADR (Banks)		207
	23,620	Banco Bradesco SA (Banks)		122
	26,600	Banco do Brasil SA (Banks)		99
	14,300	Banco Santander Brasil SA (Banks)		58
	22,000	BB Seguridade Participacoes SA (Insurance)		136
	54,400	BM&FBOVESPA SA (Diversified Financial Services)		150
	14,900	BR Malls Participacoes SA (Real Estate Management & Development)		42
	21,000	BRF SA (Food Products)		294
	26,600	CCR SA (Transportation Infrastructure)		84
	7,509	CETIP SA (Capital Markets)		71
	11,600	Cia de Saneamento Basico do Estado de Sao Paulo (Water Utilities)		56
	27,360	Cielo SA (IT Services)		232

See accompanying notes to financial statements.

88

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Brazil (continued)
	4,500	Companhia Brasileira de Destribuicao Grupo PAO de (Food & Staples Retailing)	$	48
	21,700	Companhia Siderurgica Nacional SA (CSN) (Metals & Mining)		22
	37,900	Companhia Vale do Rio Doce, ADR (Metals & Mining)		97
	3,600	Cosan SA Industria e Comercio (Oil, Gas & Consumable Fuels)		23
	6,738	CPFL Energia SA (Electric Utilities) (a)		26
	9,670	Duratex SA (Paper & Forest Products)		14
	8,000	EDP – Energias do Brasil SA (Electric Utilities)		24
	22,400	Embraer SA (Aerospace & Defense)		171
	4,800	Equatorial Energia SA (Electric Utilities)		42
	9,600	Estacio Participacoes SA (Diversified Consumer Services)		34
	8,400	Fibria Celulose SA (Paper & Forest Products)		111
	44,400	Hypermarcas SA (Personal Products) (a)		244
	36,320	Itau Unibanco Holding SA, ADR (Banks)		237
	95,889	Itau Unibanco Holding SA (Banks)		639
	24,700	JBS SA (Food Products)		77
	18,500	Klabin SA (Containers & Packaging)		110
	46,388	Kroton Educacional SA (Diversified Consumer Services)		112
	5,000	Localiza Rent A Car SA (Road & Rail)		31
	1,925	Lojas Americanas SA (Multiline Retail)		6
	21,500	Lojas Renner SA (Multiline Retail)		93
	1,200	M Dias Branco SA (Food Products)		20
	2,700	Multiplan Empreendimentos Imobiliarios SA (Real Estate Management & Development)		26
	5,900	Natura Cosmeticos SA (Personal Products)		35
	9,000	OdontoPrev SA (Health Care Providers & Services)		22
	96,800	Petroleo Brasileiro SA (Oil, Gas & Consumable Fuels) (a)		209
	3,900	Porto Seguro SA (Insurance)		28
	7,400	Qualicorp SA (Health Care Providers & Services)		26
	7,200	Raia Drogasil SA (Food & Staples Retailing)		64
	5,200	Sul America SA (Insurance)		24
	28,700	Tim Participacoes SA (Wireless Telecommunication Services)		50
	3,800	Totvs SA (Software)		30
	4,300	Tractebel Energia SA (Independent Power and Renewable Electricity Producers)		36
	3,100	Transmissora Alianca de Energia Eletrica SA (Electric Utilities)		13
	11,100	Ultrapar Participacoes SA (Oil, Gas & Consumable Fuels)		170
	38,200	Vale SA, ADR (Metals & Mining)^		126
	43,700	Vale SA (Metals & Mining)		143
	19,120	WEG SA (Machinery)		72
				5,494
		Canada — 0.25%
	7,000	Alimentation Couche-Tard, Inc., Class – B (Food & Staples Retailing)		308
	214,900	Baytex Energy Corp. (Oil, Gas & Consumable Fuels)		696

Shares			Security Description	Value (000)
			Canada (continued)
	2,700		Canadian National Railway Co. (Road & Rail)	$	151
	7,537		Canadian Pacific Railway Ltd. (Road & Rail)		962
	14,100		Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels)		178
	38,700		Centerra Gold, Inc. (Metals & Mining)		184
	9,000		Enbridge, Inc. (Oil, Gas & Consumable Fuels)		299
	85,339		First Quantum Minerals Ltd. (Metals & Mining) (c)		320
	91,830		Imperial Oil Ltd. (Oil, Gas & Consumable Fuels)		2,992
	14,100		Labrador Iron Ore Royalty Corp. (Metals & Mining)^		98
	8,400		Potash Corp. of Saskatchewan, Inc. (Chemicals)		144
					6,332
			Cayman Islands — 0.08%
	24,500		AAC Technologies Holdings, Inc. (Electronic Equipment, Instruments & Components)		159
	33,000		Anta Sports Products Ltd. (Textiles, Apparel & Luxury Goods)		90
	33,904		Chailease Holding Co. Ltd. (Diversified Financial Services)		58
	215,900		China Huishan Dairy Holdings Co. Ltd. (Food Products)^		83
	92,000		China Mengniu Dairy Co. Ltd. (Food Products)		149
	14,978		Ctrip.com International, ADR (Internet & Catalog Retail) (a)		694
	365,000		GCL-Poly Energy Holdings Ltd. (Semiconductors & Semiconductor Equipment)^		54
	175,000		Geely Automobile Holdings Ltd. (Automobiles)		92
	28,000		Kingsoft Corp. Ltd. (Software)^		68
	1,743		New Oriental Education & Technology Group, Inc., ADR (Diversified Consumer Services)		55
	88,000		New World China Land Ltd. (Real Estate Management & Development)		70
	888,000		Semiconductor Manufacturing International Corp. (Semiconductors & Semiconductor Equipment) (a)		91
	19,000		Shenzhou International Group Holdings Ltd. (Textiles, Apparel & Luxury Goods)		109
	63,500		Stella International Holdings Ltd. (Textiles, Apparel & Luxury Goods)		158
	1,481		Youku Tudou, Inc., ADR (Internet Software & Services) (a)		40
	273		YY, Inc., ADR (Internet Software & Services) (a)		17
	10,000		Zhen Ding Technology Holding Ltd. (Electronic Equipment, Instruments & Components)		23
					2,010
			Chile — 0.05%
	59,337		AES Gener SA (Independent Power and Renewable Electricity Producers)		26
	84,497	��	Aguas Andinas SA, Class – A (Water Utilities)		43
	702,361		Banco de Chile SA (Banks)		72
	1,125		Banco de Credito e Inversiones SA (Banks)		42
	2,227,239		Banco Santander Chile (Banks)		99
	42,804		Cencosud SA (Food & Staples Retailing)		86

See accompanying notes to financial statements.

89

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The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Chile (continued)
	263,282	Colbun SA (Independent Power and Renewable Electricity Producers)	$	63
	4,988	Compania Cervecerias Unidas SA (Beverages)		55
	3,723,064	CorpBanca SA (Banks)		30
	100,319	Empresa Nacional de Electricidad SA (Independent Power and Renewable Electricity Producers)		125
	3,935	Empresa Nacional de Telecomunicaciones SA (Wireless Telecommunication Services)		35
	42,212	Empresas CMPC SA (Paper & Forest Products)		91
	13,909	Empresas Copec SA (Oil, Gas & Consumable Fuels)		120
	612,295	Enersis SA (Electric Utilities)		148
	8,154	LATAM Airlines Group SA (Airlines) (a)		43
	18,171	S.A.C.I. Falabella (Multiline Retail)		116
	14,975	Sonda SA (IT Services)		27
				1,221
		China — 1.79%
	966	58.com, Inc., ADR (Internet Software & Services) (a)		64
	739,000	Agricultural Bank of China Ltd., H Shares (Banks)		301
	62,000	Air China Ltd. (Airlines)		49
	134,000	Aluminum Corp. of China Ltd., H Shares (Metals & Mining) (a)		44
	37,000	Anhui Conch Cement Co. Ltd., H Shares (Construction Materials)		99
	67,000	AviChina Industry & Technology Co. Ltd., H Shares (Aerospace & Defense)		52
	38,925	Baidu, Inc., ADR (Internet Software & Services) (a)		7,358
	2,882,335	Bank of China Ltd., H Shares (Banks)		1,279
	293,000	Bank of Communications Co. Ltd., H Shares (Banks)		205
	50,000	Beijing Capital International Airport Co. Ltd., H Shares (Transportation Infrastructure)		54
	92,000	Brilliance China Automotive Holdings Ltd. (Automobiles)		115
	21,500	Byd Co. Ltd., H Shares (Automobiles)^(a)		117
	20,000	CAR, Inc. (Road & Rail)^(a)		33
	269,000	CGN Power Co. Ltd., H Shares (Independent Power and Renewable Electricity Producers)		100
	293,000	China Cinda Asset Management Co. Ltd., H Shares (Capital Markets)		108
	274,000	China CITIC Bank Corp. Ltd., H Shares (Banks) (a)		177
	89,000	China Coal Energy Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)^		34
	139,000	China Communications Construction Co. Ltd. (Construction & Engineering)		141
	80,000	China Communications Services Corp. Ltd., H Shares (Diversified Telecommunication Services)		30
	40,000	China Conch Venture Holdings Ltd. (Machinery)		83
	2,703,000	China Construction Bank Corp., H Shares (Banks)		1,844

Shares		Security Description	Value (000)
		China (continued)
	118,500	China COSCO Holdings Co. Ltd., H Shares (Marine)^(a)	$	54
	114,900	China Everbright Bank Co. Ltd., H Shares (Banks)		56
	111,000	China Galaxy Securities Co., H Shares (Capital Markets)		101
	16,900	China International Marine Containers Group Co. Ltd., H Shares (Machinery)		31
	237,000	China Life Insurance Co. Ltd., H Shares (Insurance)		761
	92,000	China Longyuan Power Group Corp. (Independent Power and Renewable Electricity Producers)		69
	36,000	China Medical System Holdings Ltd. (Pharmaceuticals)		53
	148,000	China Merchants Bank Co. Ltd., H Shares (Banks)		346
	185,500	China Minsheng Banking Corp. Ltd., H Shares (Banks)		183
	737,982	China Mobile Ltd. (Wireless Telecommunication Services)		8,307
	96,000	China National Building Material Co. Ltd., H Shares (Construction Materials)		46
	60,000	China Oilfield Services Ltd., H Shares (Energy Equipment & Services)		52
	160,800	China Pacific Insurance Group Co. Ltd. (Insurance)		658
	820,000	China Petroleum & Chemical Corp., H Shares (Oil, Gas & Consumable Fuels)		492
	107,000	China Power International Development Ltd. (Independent Power and Renewable Electricity Producers)		62
	66,000	China Railway Construction Corp. Ltd., H Shares (Construction & Engineering)		81
	121,000	China Railway Group Ltd., H Shares (Construction & Engineering)		91
	89,333	China Resources Land Ltd. (Real Estate Management & Development)		260
	64,000	China Resources Power Holdings Co. Ltd. (Independent Power and Renewable Electricity Producers)		125
	107,500	China Shenhua Energy Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)		168
	206,000	China Shipping Container Lines Co. Ltd., H Shares (Marine)^(a)		56
	60,000	China Southern Airlines Co. Ltd., H Shares (Airlines)		46
	446,000	China Telecom Corp. Ltd. (Diversified Telecommunication Services)		208
	43,900	China Vanke Co. Ltd., H Shares (Real Estate Management & Development)^		130
	28,700	Chongqing Changan Automobile Co. Ltd., Class – A (Automobiles)		63
	84,000	Chongqing Rural Commercial Bank Co. Ltd., H Shares (Banks)		50
	68,000	CITIC Securities Co. Ltd., H Shares (Capital Markets)		158
	4,736,771	CNOOC Ltd. (Oil, Gas & Consumable Fuels)		4,930
	80,000	Cosco Pacific Ltd. (Transportation Infrastructure)		88
	190,000	Country Garden Holdings Co. (Real Estate Management & Development)		77

See accompanying notes to financial statements.

90

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The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		China (continued)
	137,000	CSR Corp. Ltd., H Shares (Machinery)	$	168
	19,626	Dalian Wanda Commercial Properties Co. Ltd., Class – H (Real Estate Management & Development)		114
	94,000	Datang International Power Generation Co. Ltd., H Shares (Independent Power and Renewable Electricity Producers)		28
	90,000	Dongfeng Motor Group Co. Ltd., H Shares (Automobiles)		119
	24,000	ENN Energy Holdings Ltd. (Gas Utilities)		127
	38,900	GF Securities Co. Ltd., Class – H (Capital Markets)^(a)		97
	397,000	GOME Electrical Appliances Holding Ltd. (Specialty Retail)		66
	103,500	Great Wall Motor Co. Ltd., H Shares (Automobiles)		120
	74,000	Guangzhou Automobile Group Co. Ltd., H Shares (Automobiles)		66
	22,000	Haitian International Holdings Ltd. (Machinery)		32
	102,400	Haitong Securities Co. Ltd., H Shares (Capital Markets)		179
	54,000	Huadian Power International Corp. Ltd., H Shares (Independent Power and Renewable Electricity Producers)		35
	130,000	Huaneng Power International, Inc., H Shares (Independent Power and Renewable Electricity Producers)		111
	112,000	Huaneng Renewables Corp. Ltd., Class – H (Independent Power and Renewable Electricity Producers)		33
	28,600	Huatai Securities Co. Ltd., Class – H (Capital Markets)(a)		66
	2,517,277	Industrial & Commercial Bank of China Ltd., H Shares (Banks)		1,509
	6,500	Jardine Matheson Holdings Ltd. (Industrial Conglomerates)		315
	5,100	JD.com, Inc., ADR (Internet & Catalog Retail) (a)		164
	40,000	Jiangsu Expressway Co. Ltd., H Shares (Transportation Infrastructure)		54
	36,000	Jiangxi Copper Co. Ltd., H Shares (Metals & Mining)		42
	49,000	Longfor Properties (Real Estate Management & Development)		73
	44,300	Luye Pharma Group Ltd. (Pharmaceuticals)^(a)		46
	1,193	NetEase, Inc., ADR (Internet Software & Services)		216
	23,300	New China Life Insurance Co. Ltd., H Shares (Insurance)		97
	219,000	People’s Insurance Co., Group of China Ltd., H Shares (Insurance)		107
	678,000	PetroChina Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)		444
	296,260	PICC Property & Casualty Co. Ltd., H Shares (Insurance)		585
	230,000	Ping An Insurance Group Co. of China (Insurance)		1,268
	1,320	Qihoo 360 Technology Co. Ltd., ADR (Internet Software & Services) (a)		96

Shares		Security Description	Value (000)
		China (continued)
	600	Qunar Cayman Islands Ltd., ADR (Internet & Catalog Retail) (a)	$	32
	64,000	Shandong Weigao Group Medical Polymer Co. Ltd. (Health Care Equipment & Supplies)		44
	94,000	Shanghai Electric Group Co. Ltd., H Shares (Electrical Equipment)^		50
	49,500	Shanghai Fosun Pharmaceutical (Group) Co. Ltd., H Shares (Pharmaceuticals)		143
	16,000	Shanghai Industrial Holdings Ltd. (Industrial Conglomerates)		42
	13,300	Shanghai Lujiazue Finance & Trade Zone Development Co. Ltd. (Real Estate Management & Development)		54
	23,100	Shanghai Pharmaceuticals Holding Co. Ltd., H Shares (Health Care Providers & Services)		50
	46,500	Shimao Property Holdings Ltd. (Real Estate Management & Development)		82
	122,000	Shui On Land Ltd. (Real Estate Management & Development)		33
	42,000	Sinopec Engineering Group Co. Ltd., H Shares (Construction & Engineering)		36
	116,000	Sinopec Shanghai Petrochemical Co. Ltd., H Shares (Chemicals) (a)		46
	40,000	Sinopharm Group Co. (Health Care Providers & Services)		159
	55,000	Sinotrans Ltd., H Shares (Air Freight & Logistics)		29
	70,500	Soho China Ltd. (Real Estate Management & Development)		34
	2,320	SouFun Holdings Ltd., ADR (Internet Software & Services)		17
	67,500	Sun Art Retail Group Ltd. (Food & Staples Retailing)^		51
	63,000	Sunac China Holdings Ltd. (Real Estate Management & Development)		48
	143,000	Sunny Optical Technology Group Co. Ltd. (Electronic Equipment, Instruments & Components)		326
	401	TAL Education Group, ADR (Diversified Consumer Services) (a)		19
	393,465	Tencent Holdings Ltd. (Internet Software & Services)		7,704
	23,000	Travelsky Technology Ltd., Class – H (IT Services)		38
	12,000	Tsingtao Brewery Co. Ltd. (Beverages)^		54
	5,674	Vipshop Holdings Ltd., ADR (Internet & Catalog Retail) (a)		87
	186,000	Want Want China Holdings Ltd. (Food Products)^		138
	33,000	Weichai Power Co. Ltd. (Machinery)		36
	62,000	Yanzhou Coal Mining Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)^		29
	48,000	Zhejiang Expressway Co. Ltd., H Shares (Transportation Infrastructure)		57
	17,500	Zhuzhou CSR Times Electric Co. Ltd. (Electrical Equipment)		100
	194,000	Zijin Mining Group Co. Ltd., H Shares (Metals & Mining)		51
	25,080	ZTE Corp., H Shares (Communications Equipment)		57
				46,112

See accompanying notes to financial statements.

91

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Colombia — 0.01%
	13,969	Cementos Argos SA (Construction Materials)	$	43
	26	Corporacion Financiera Colombiana (Diversified Financial Services)		—
	2,763	Corporacion Financiera Colombiana SA (Diversified Financial Services)		34
	139,346	Ecopetrol SA (Oil, Gas & Consumable Fuels)		49
	9,994	Grupo Argos SA (Construction Materials)		51
	7,937	Grupo de Inversiones Suramericana (Diversified Financial Services)		89
	11,804	Interconexion Electrica SA (Electric Utilities)		27
				293
		Czech Republic — 0.02%
	20,600	AVG Technologies NV (Software) (a)		413
	5,395	CEZ A/S (Electric Utilities)		96
	504	Komercni Banka A/S (Banks)		100
	1,163	O2 Czech Republic A/S (Diversified Telecommunication Services)		12
				621
		Denmark — 1.51%
	2,300	A.P. Moller – Maersk A/S, Class – A (Marine)		2,962
	7,509	A.P. Moller – Maersk A/S, Class – B (Marine)		9,797
	239,111	Danske Bank A/S (Banks)		6,417
	9,433	Genmab A/S (Biotechnology) (a)		1,254
	136,722	ISS A/S (Commercial Services & Supplies)		4,929
	174,520	Novo Nordisk A/S, Class – B (Pharmaceuticals)		10,107
	502,316	TDC A/S (Diversified Telecommunication Services)		2,501
	40,359	Tryg A/S (Insurance)		802
				38,769
		Egypt — 0.01%
	34,140	Commercial International Bank Egypt SAE (Banks)		166
	90,204	Orascom Telecom Holding SAE (Wireless Telecommunication Services) (a)		24
	33,747	Talaat Moustafa Group (Real Estate Management & Development)		28
				218
		Faroe Islands — 0.03%
	29,806	Bakkafrost P/F (Food Products)		878
		Finland — 0.66%
	26,291	Elisa Oyj (Diversified Telecommunication Services)		989
	42,422	Fortum Oyj (Electric Utilities)		639
	115,776	Kone Oyj (Machinery)		4,900
	44,769	Metso Oyj (Machinery)		1,003
	44,535	Nokian Renkaat Oyj (Auto Components)		1,590
	37,860	Orion Oyj, Class – B (Pharmaceuticals)		1,310
	54,870	Sampo Oyj, A Shares (Insurance)		2,786
	206,098	UPM-Kymmene Oyj (Paper & Forest Products)		3,826
				17,043
		France — 7.31%
	335,187	AXA SA (Insurance)		9,158
	158,403	BNP Paribas (Banks)		8,961
	85,240	Bouygues SA (Construction & Engineering)		3,379

Shares		Security Description	Value (000)
		France (continued)
	24,704	Casino Guichard-Perrachon SA (Food & Staples Retailing)^	$	1,135
	19,070	CNP Assurances (Insurance)		257
	159,485	Compagnie de Saint-Gobain (Building Products)		6,910
	145,873	Credit Agricole SA (Banks)		1,719
	5,600	Danone SA (Food Products)		378
	70,129	Edenred (Commercial Services & Supplies)		1,325
	25,835	Electricite de France SA (Electric Utilities)		380
	28,922	Elis SA (Commercial Services & Supplies)		479
	489,385	ENGIE (Multi-Utilities)		8,667
	60,440	Eutelsat Communications (Media)		1,809
	5,119	Fonciere des Regions (Real Estate Investment Trusts)		458
	5,127	Gecina SA (Real Estate Investment Trusts)		623
	6,491	Icade (Real Estate Investment Trusts)		436
	5,107	JC Decaux SA (Media)		196
	32,513	Klepierre (Real Estate Investment Trusts)		1,445
	45,909	Lagardere SCA (Media)		1,370
	89,942	Legrand SA (Electrical Equipment)		5,087
	29,262	L’Oreal SA (Personal Products)		4,921
	14,515	LVMH Moet Hennessy Louis Vuitton SA (Textiles, Apparel & Luxury Goods)		2,280
	76,594	Natixism SA (Banks)		433
	18,900	Numericable – SFR (Media)		687
	450,770	Orange (Diversified Telecommunication Services) (c)		7,538
	8,263	Orpea (Health Care Providers & Services)		661
	27,574	Pernod Ricard SA (Beverages)		3,144
	6,358	Renault SA (Automobiles)		636
	91,771	Rexel SA (Trading Companies & Distributors)		1,222
	11,851	Safran SA (Aerospace & Defense)		814
	307,057	Sanofi-Aventis (Pharmaceuticals)		26,165
	244,477	Schneider Electric SA (Electrical Equipment)		13,885
	16,764	SCOR SE (Insurance)		627
	103,514	Societe Generale (Banks)		4,769
	28,923	Suez Environnement Co. (Multi-Utilities)		541
	99,044	Technip SA (Energy Equipment & Services)		4,925
	623,080	Total SA (Oil, Gas & Consumable Fuels)		27,931
	17,730	Unibail-Rodamco SE (Real Estate Investment Trusts)		4,501
	1,263	Valeo SA (Auto Components)		195
	66,311	Veolia Environnement (Multi-Utilities)		1,573
	203,539	Vinci SA (Construction & Engineering)		13,044
	404,217	Vivendi (Media)		8,680
	200,931	Zodiac Aerospace (Aerospace & Defense)		4,784
				188,128
		Germany — 6.71%
	51,134	Allianz SE (Insurance)		9,013
	8,507	Aurubis AG (Metals & Mining)		431
	12,779	Axel Springer AG (Media)		711
	254,643	BASF SE (Chemicals)		19,396
	107,030	Bayer AG (Pharmaceuticals)		13,365
	110,258	Bayerische Motoren Werke AG (Automobiles)		11,614
	37,051	Beiersdorf AG (Personal Products)		3,367

See accompanying notes to financial statements.

92

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Germany (continued)
	4,535	Brenntag AG (Trading Companies & Distributors)	$	236
	9,074	Continental AG (Auto Components)		2,195
	311,313	Daimler AG (Automobiles)		26,009
	137,942	Deutsche Bank AG (Capital Markets)		3,349
	14,960	Deutsche Boerse AG (Diversified Financial Services)		1,315
	39,405	Deutsche Lufthansa AG, Registered Shares (Airlines) (a)		621
	295,881	Deutsche Post AG (Air Freight & Logistics)		8,271
	470,735	Deutsche Telekom AG (Diversified Telecommunication Services)		8,454
	25,491	Deutsche Wohnen AG (Real Estate Management & Development)		705
	142,431	E.ON AG (Multi-Utilities)		1,367
	5,719	ElringKlinger AG (Auto Components)		145
	38,038	Evonik Industries AG (Chemicals)		1,258
	6,997	Freenet AG (Wireless Telecommunication Services)		236
	8,047	GEA Group AG (Machinery)		325
	10,111	Hannover Rueckversicherung AG (Insurance)		1,154
	27,783	Hugo Boss AG (Textiles, Apparel & Luxury Goods)		2,292
	11,158	Lanxess AG (Chemicals)		513
	62,832	Linde AG (Chemicals)		9,075
	9,589	MAN SE (Machinery)		964
	48,502	Metro AG (Food & Staples Retailing)		1,545
	2,705	MTU Aero Engines Holding AG (Aerospace & Defense)		264
	35,369	Muenchener Rueckversicherungs-Gesellschaft AG (Insurance)		7,046
	138,000	ProSiebenSat.1 Media AG (Media)		6,961
	65,595	SAP AG (Software)		5,204
	173,819	Siemens AG (Industrial Conglomerates)		16,814
	8,368	Stroeer SE (Media)		525
	87,382	Suedzucker AG (Food Products)		1,732
	20,598	TAG Immobilien AG (Real Estate Management & Development)		257
	83,687	Telefonica Deutschland Holding AG (Diversified Telecommunication Services)		441
	9,634	Volkswagen AG (Automobiles)		1,480
	71,509	Vonovia SE (Real Estate Management & Development)		2,208
	34,412	Wirecard AG (IT Services)^		1,720
				172,578
		Greece — 0.02%
	43,845	Alpha Bank SA (Banks) (a)		118
	58,469	Eurobank Ergasias SA (Banks) (a)		65
	1,023	Folli Follie SA (Specialty Retail)		19
	8,115	Hellenic Telecommunication Organization SA (Diversified Telecommunication Services)		81
	3,369	JUMBO SA (Specialty Retail) (a)		36
	173,526	National Bank of Greece SA (Banks) (a)		64
	7,405	Opap SA (Hotels, Restaurants & Leisure)		65
	170,992	Piraeus Bank SA (Banks) (a)		51

Shares		Security Description	Value (000)
		Greece (continued)
	2,063	Public Power Corp. SA (Electric Utilities)	$	9
	1,481	Titan Cement Co., SA (Construction Materials)		28
				536
		Hong Kong — 2.90%
	1,516,118	AIA Group Ltd. (Insurance) (c)		9,059
	19,400	Alibaba Group Holding Ltd., ADR (Internet Software & Services) (a)		1,577
	338,000	Alibaba Pictures Group Ltd. (Media)^(a)		83
	98,800	ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment)		771
	15,000	Beijing Enterprises Holdings Ltd. (Industrial Conglomerates)		90
	144,000	Belle International Holdings Ltd. (Textiles, Apparel & Luxury Goods)		108
	820,505	BOC Hong Kong (Holdings) Ltd. (Banks)		2,497
	373,000	Cathay Pacific Airways Ltd. (Airlines)		642
	131,534	Cheung Kong Infrastructure Holdings Ltd. (Electric Utilities)		1,215
	262,000	China Everbright International Ltd. (Commercial Services & Supplies)		335
	32,000	China Everbright Ltd. (Capital Markets)		73
	58,000	China Gas Holdings Ltd. (Gas Utilities)		83
	675,459	China Merchants Holdings (International) Co. Ltd. (Transportation Infrastructure)		2,136
	128,000	China Overseas Land & Investment Ltd. (Real Estate Management & Development)		446
	40,000	China Resources Enterprises Ltd. (Food & Staples Retailing)		85
	30,000	China Resources Gas Group Ltd. (Gas Utilities)		90
	60,000	China State Construction International Holdings Ltd. (Construction & Engineering)		104
	50,400	China Taiping Insurance Holdings Co. Ltd. (Insurance) (a)		155
	190,000	China Unicom (Hong Kong) Ltd. (Diversified Telecommunication Services)		230
	139,000	CITIC Pacific Ltd. (Industrial Conglomerates)		245
	677,000	Ck Hutchison Holdings Ltd. (Industrial Conglomerates)		9,101
	283,419	CLP Holdings Ltd. (Electric Utilities)		2,403
	124,000	CSPC Pharmaceutical Group Ltd. (Pharmaceuticals)		126
	144,000	Evergrande Real Estate Group Ltd. (Real Estate Management & Development)^		126
	60,000	Far East Horizon Ltd. (Diversified Financial Services)		56
	342,000	First Pacific Co. Ltd. (Diversified Financial Services)		226
	70,056	Fosun International Ltd. (Industrial Conglomerates)		109
	108,000	Franshion Properties China Ltd. (Real Estate Management & Development)		37
	46,000	Goldin Properties Holdings Ltd. (Real Estate Management & Development)^(a)		53
	94,000	Guangdong Investment Ltd. (Water Utilities)		133
	34,000	Guangzhou R&F Properties Co. Ltd., H Shares (Real Estate Management & Development)		42

See accompanying notes to financial statements.

93

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Hong Kong (continued)
	41,000	Haier Electronics Group Co. Ltd. (Household Durables)	$	83
	588,000	Hanergy Thin Film Power Group Ltd. (Semiconductors & Semiconductor Equipment)*(a)		297
	731,000	Hang Lung Properties Ltd. (Real Estate Management & Development)		1,656
	123,409	Hang Seng Bank Ltd. (Banks)		2,339
	24,500	Hengan International Group Co. Ltd. (Personal Products)		230
	271,377	HK Electric Investments Ltd. (Electric Utilities)^		227
	883,180	HKT Trust & HKT Ltd. (Diversified Telecommunication Services)		1,128
	173,000	Hysan Development Co. (Real Estate Management & Development)		707
	1,460,000	Imperial Pacific International Holdings Ltd. (Food Products) (a)		32
	214,500	Kerry Properties Ltd. (Real Estate Management & Development)		584
	208,000	Lenovo Group Ltd. (Technology Hardware, Storage & Peripherals)		210
	3,134,000	Li & Fung Ltd. (Textiles, Apparel & Luxury Goods)		2,119
	5,600	Melco Crown Entertainment Ltd., ADR (Hotels, Restaurants & Leisure)		94
	490,500	MTR Corp. Ltd. (Road & Rail)		2,422
	1,659,000	New World Development Co. Ltd. (Real Estate Management & Development)		1,629
	2,431,000	PCCW Ltd. (Diversified Telecommunication Services)		1,421
	224,538	Power Assets Holdings Ltd. (Electric Utilities)		2,059
	150,000	Sino Biopharmaceutiical Ltd. (Pharmaceuticals)		136
	821,839	Sino Land Co. Ltd. (Real Estate Management & Development)		1,197
	113,500	Sino-Ocean Land Holdings Ltd. (Real Estate Management & Development)		72
	530,040	Sun Hung Kai Properties Ltd. (Real Estate Management & Development)		6,371
	221,326	Swire Pacific Ltd., Class – A (Real Estate Management & Development)		2,472
	205,341	The Bank of East Asia Ltd. (Banks)		762
	909,618	The Link Real Estate Investment Trust (Real Estate Investment Trusts)		5,423
	1,285,000	The Wharf (Holdings) Ltd. (Real Estate Management & Development)		7,084
	66,000	Tingyi (Cayman Islands) Holding Corp. (Food Products)		94
	278,000	Wheelock & Co. Ltd. (Real Estate Management & Development)		1,167
	228,000	Yuexiu Property Co. Ltd. (Real Estate Management & Development)		39
				74,490
		Hungary — 0.01%
	1,001	MOL Hungarian Oil & Gas PLC (Oil, Gas & Consumable Fuels)		49
	7,465	OTP Bank Nyrt PLC (Banks)		154

Shares		Security Description	Value (000)
		Hungary (continued)
	4,671	Richter Gedeon Nyrt (Pharmaceuticals)	$	88
				291
		India — 0.05%
	72,830	Infosys Ltd., ADR (IT Services)		1,220
		Indonesia — 0.11%
	457,700	PT Adaro Energy Tbk (Oil, Gas & Consumable Fuels)		17
	30,100	PT AKR Corporindo Tbk (Trading Companies & Distributors)		16
	12,000	PT Astra Agro Lestari Tbk (Food Products)		14
	679,400	PT Astra International Tbk (Automobiles)		293
	396,600	PT Bank Central Asia Tbk (Banks)		379
	115,200	PT Bank Danamon Indonesia Tbk (Banks)		27
	294,700	PT Bank Mandiri Tbk (Banks)		196
	219,300	PT Bank Negara Indonesia Persero Tbk (Banks)		79
	357,700	PT Bank Rakyat Indonesia Persero Tbk (Banks)		293
	249,800	PT Bumi Serpong Damai Tbk (Real Estate Management & Development)		32
	251,500	PT Charoen Pokphand Indonesia Tbk (Food Products)		47
	243,500	PT Global MediaCom Tbk (Media)		19
	16,200	PT Gudang Garam Tbk (Tobacco)		64
	12,300	PT Hanjaya Mandala Sampoerna Tbk (Tobacco)		84
	41,800	PT Indocement Tunggal Prakarsa Tbk (Construction Materials)		67
	39,500	PT Indofood CBP Sukses Makmur Tbk (Food Products)		38
	146,700	PT Indofood Sukses Makmur Tbk (Food Products)		54
	68,300	PT Jasa Marga Persero Tbk (Transportation Infrastructure)		26
	584,700	PT Kalbe Farma Tbk (Pharmaceuticals)		56
	655,600	PT Lippo Karawaci Tbk (Real Estate Management & Development)		49
	78,100	PT Matahari Department Store Tbk (Multiline Retail)		99
	140,000	PT Media Nusantara Citra Tbk (Media)		19
	365,700	PT Perusahaan Gas Negara Tbk (Gas Utilities)		72
	86,300	PT Semen Gresik (Persero) Tbk (Construction Materials)		71
	346,500	PT Summarecon Agung Tbk (Real Estate Management & Development)		41
	180,000	PT Surya Citra Media Tbk (Media)		40
	1,629,700	PT Telekomunikasi Indonesia Persero Tbk (Diversified Telecommunication Services)		365
	64,300	PT Tower Bersama Infrastructure Tbk (Wireless Telecommunication Services) (a)		27
	46,900	PT Unilever Indonesia Tbk (Household Products)		125
	56,500	PT United Tractors Tbk (Machinery)		69
	77,900	PT XL Axiata Tbk (Diversified Telecommunication Services) (a)		21
				2,799

See accompanying notes to financial statements.

94

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Ireland (Republic of) — 0.87%
	7,225	Allegion PLC (Building Products)	$	476
	890,761	Bank of Ireland (Banks) (a)		326
	143,029	CRH PLC (Construction Materials)		4,124
	16,895	ICON PLC (Life Sciences Tools & Services) (a)		1,313
	155,653	Medtronic PLC (Health Care Equipment & Supplies)		11,974
	42,798	Ryanair Holdings PLC, ADR (Airlines)		3,700
	15,477	Smurfit Kappa Group PLC (Containers & Packaging)		396
				22,309
		Israel — 0.57%
	97,379	Bank Leumi Le-Israel (Banks) (a)		338
	650,097	Bezeq The Israeli Telecommunication Corp. Ltd. (Diversified Telecommunication Services)		1,431
	2,791	Delek Group Ltd. (Oil, Gas & Consumable Fuels)		559
	279,197	Israel Chemicals Ltd. (Chemicals)		1,134
	170,306	Teva Pharmaceutical Industries Ltd. (Pharmaceuticals)		11,114
				14,576
		Italy — 0.84%
	50,687	Assicurazioni Generali SpA (Insurance)		926
	104,508	Atlantia SpA (Transportation Infrastructure)		2,765
	744,681	Enel SpA (Electric Utilities)		3,122
	779,299	Eni SpA (Oil, Gas & Consumable Fuels)		11,577
	15,602	Intesa Sanpaolo SpA (Banks)		48
	340,369	Mediaset SpA (Media)		1,410
	330,019	Saras SpA (Oil, Gas & Consumable Fuels) (a)		636
	133,489	Snam Rete Gas SpA (Gas Utilities)		697
	99,352	Terna – Rete Elettrica Nationale SpA (Electric Utilities)		511
				21,692
		Japan — 19.61%
	11,600	Aeon Credit Service Co. Ltd. (Consumer Finance)		259
	75,632	Aisin Seiki Co. Ltd. (Auto Components)		3,255
	56,600	Alfresa Holdings Corp. (Health Care Providers & Services)		1,118
	35,300	ALPS ELECTRIC Co. Ltd. (Electronic Equipment, Instruments & Components)		957
	116,000	Aozora Bank Ltd. (Banks)		405
	405,575	Asahi Glass Co. Ltd. (Building Products)		2,324
	455,000	Asahi Kasei Corp. (Chemicals)		3,077
	28,949	Benesse Holdings, Inc. (Diversified Consumer Services)		834
	241,900	Bridgestone Corp. (Auto Components)		8,299
	84,900	Brother Industries Ltd. (Technology Hardware, Storage & Peripherals)		975
	462,367	Canon, Inc. (Technology Hardware, Storage & Peripherals)		13,988
	102,400	Chubu Electric Power Co., Inc. (Electric Utilities)		1,402
	700	COSMOS Pharmaceutical Corp. (Food & Staples Retailing)		110

Shares		Security Description	Value (000)
		Japan (continued)
	226,079	Dai Nippon Printing Co. Ltd. (Commercial Services & Supplies)	$	2,236
	75,612	Daihatsu Motor Co. Ltd. (Automobiles)		1,020
	264,591	Daiichi Sankyo Co. Ltd. (Pharmaceuticals)		5,462
	13,267	Daito Trust Construction Co. Ltd. (Real Estate Management & Development)		1,533
	200,000	Daiwa House Industry Co. Ltd. (Real Estate Management & Development)		5,750
	150,000	Daiwa Securities Group, Inc. (Capital Markets)		917
	184,700	Denso Corp. (Auto Components)		8,828
	74,800	East Japan Railway Co. (Road & Rail)		7,044
	104,971	Eisai Co. Ltd. (Pharmaceuticals)		6,945
	24,057	FamilyMart Co. Ltd. (Food & Staples Retailing)		1,120
	78,300	Fanuc Ltd. (Machinery)		13,493
	24,300	Foster Electric Co. Ltd. (Household Durables)		529
	33,700	Fuji Heavy Industries Ltd. (Automobiles)		1,388
	110,000	Fujitsu Ltd. (IT Services)		549
	81,000	Fukuoka Financial Group, Inc. (Banks)		402
	33,800	Hamamatsu Photonics K.K. (Electronic Equipment, Instruments & Components)		927
	6,800	Hikari Tsushin, Inc. (Specialty Retail)		463
	37,500	Hitachi Chemical Co. Ltd. (Chemicals)		595
	38,700	Hitachi Construction Machinery Co. Ltd. (Machinery)		602
	2,851,000	Hitachi Ltd. (Electronic Equipment, Instruments & Components)		16,157
	17,700	Hokuriku Electric Power Co. (Electric Utilities)		262
	626,324	Honda Motor Co. Ltd. (Automobiles)		20,021
	1,500	Hoshizaki Electric Co. Ltd. (Machinery)		93
	33,100	Idemitsu Kosan Co. Ltd. (Oil, Gas & Consumable Fuels)		529
	435,000	IHI Corp. (Machinery)		1,201
	213,800	Isuzu Motors Ltd. (Automobiles)		2,303
	690,468	ITOCHU Corp. (Trading Companies & Distributors)		8,168
	22,200	ITOCHU Techno-Solutions Corp. (IT Services)		442
	188,600	Japan Airlines Co. Ltd. (Airlines)		6,751
	164	Japan Prime Realty Investment Corp. (Real Estate Investment Trusts)		560
	236	Japan Real Estate Investment Corp. (Real Estate Investment Trusts)		1,145
	475	Japan Retail Fund Investment Corp. (Real Estate Investment Trusts)		914
	608,182	Japan Tobacco, Inc. (Tobacco)		22,331
	177,000	JFE Holdings, Inc. (Metals & Mining)		2,780
	79,000	JGC Corp. (Construction & Engineering)		1,209
	102,145	JS Group Corp. (Building Products)		2,269
	70,483	JSR Corp. (Chemicals)		1,099
	71,500	JTEKT Corp. (Machinery)		1,170
	912,824	JX Holdings, Inc. (Oil, Gas & Consumable Fuels)		3,832
	28,500	Kakaku.com, Inc. (Internet Software & Services)		561

See accompanying notes to financial statements.

95

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Japan (continued)
	9,500	Kaken Pharmaceutical Co. Ltd. (Pharmaceuticals)	$	649
	40,700	Kanamoto Co. Ltd. (Trading Companies & Distributors)		1,029
	539,000	Kawasaki Heavy Industries Ltd. (Machinery)		1,994
	698,100	KDDI Corp. (Wireless Telecommunication Services)		18,132
	2,350	Keyence Corp. (Electronic Equipment, Instruments & Components)		1,292
	334,232	Kirin Holdings Co. Ltd. (Beverages)		4,538
	1,115,000	Kobe Steel Ltd. (Metals & Mining)		1,212
	347,600	Komatsu Ltd. (Machinery)		5,689
	165,700	Konica Minolta, Inc. (Technology Hardware, Storage & Peripherals)		1,660
	21,000	Kubota Corp. (Machinery)		324
	135,729	Kuraray Co. Ltd. (Chemicals)		1,644
	45,000	Kurita Water Industries Ltd. (Machinery)		942
	120,900	Kyocera Corp. (Electronic Equipment, Instruments & Components)		5,615
	25,126	Lawson, Inc. (Food & Staples Retailing)		2,040
	698,331	Marubeni Corp. (Trading Companies & Distributors)		3,591
	17,277	Maruichi Steel Tube Ltd. (Metals & Mining)		510
	80,600	Medipal Holdings Corp. (Health Care Providers & Services)		1,373
	216,000	Minebea Co. Ltd. (Machinery)		1,850
	19,600	Miraca Holdings, Inc. (Health Care Providers & Services)		863
	597,640	Mitsubishi Corp. (Trading Companies & Distributors)		9,941
	1,093,000	Mitsubishi Electric Corp. (Electrical Equipment)		11,475
	139,000	Mitsubishi Gas Chemical Co., Inc. (Chemicals)		711
	566,000	Mitsubishi Materials Corp. (Metals & Mining)		1,783
	88,843	Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals)		1,531
	1,976,682	Mitsubishi UFJ Financial Group, Inc. (Banks)		12,246
	715,526	Mitsui & Co. Ltd. (Trading Companies & Distributors)		8,503
	442,000	Mitsui Chemicals, Inc. (Chemicals)		1,961
	2,238,692	Mizuho Financial Group, Inc. (Banks)		4,478
	45,600	MS&AD Insurance Group Holdings, Inc. (Insurance)		1,337
	39,700	Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components)		5,713
	177,327	NGK Insulators Ltd. (Machinery)		3,998
	1,300	Nidec Corp. (Electrical Equipment)		94
	288,100	Nikon Corp. (Household Durables)^		3,858
	262	Nippon Building Fund, Inc. (Real Estate Investment Trusts)		1,252
	143,000	Nippon Electric Glass Co. Ltd. (Electronic Equipment, Instruments & Components)		721
	279	Nippon Prologis REIT, Inc. (Real Estate Investment Trusts)		505
	273,700	Nippon Steel & Sumitomo Metal Corp. (Metals & Mining)		5,415

Shares		Security Description	Value (000)
		Japan (continued)
	308,200	Nippon Telegraph & Telephone Corp. (Diversified Telecommunication Services)	$	12,267
	595,000	Nippon Yusen Kabushiki Kaisha (Marine)		1,442
	1,561,179	Nissan Motor Co. Ltd. (Automobiles)		16,349
	450,800	Nomura Holdings, Inc. (Capital Markets)		2,511
	22,500	Nomura Real Estate Holdings, Inc. (Real Estate Management & Development)		417
	332,100	NTT DoCoMo, Inc. (Wireless Telecommunication Services)		6,813
	325,090	Oji Paper Co. Ltd. (Paper & Forest Products)		1,307
	100,600	Olympus Corp. (Health Care Equipment & Supplies)		3,961
	12,100	Ono Pharmaceutical Co. Ltd. (Pharmaceuticals)		2,158
	5,000	Oracle Corp. Japan (Software)		233
	31,700	ORIX Corp. (Diversified Financial Services)		445
	191,477	Osaka Gas Co. Ltd. (Gas Utilities)		692
	154,581	Otsuka Holdings Co. Ltd. (Pharmaceuticals)		5,493
	41,900	Park24 Co. Ltd. (Commercial Services & Supplies)		1,015
	199,485	Resona Holdings, Inc. (Banks)		969
	287,100	Ricoh Co. Ltd. (Technology Hardware, Storage & Peripherals)		2,957
	3,900	Rinnai Corp. (Household Durables)		346
	35,700	Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment)		1,808
	1,800	Ryohin Keikaku Co. (Multiline Retail)		365
	111,000	Sanden Holdings Corp. (Auto Components)		354
	21,604	Sankyo Co. Ltd. (Leisure Products)		806
	67,200	Sega Sammy Holdings, Inc. (Leisure Products)		629
	167,757	Sekisui Chemical Co. Ltd. (Household Durables)		2,191
	216,965	Sekisui House Ltd. (Household Durables)		3,648
	2,800	Shimano, Inc. (Leisure Products)		430
	36,900	Shin-Etsu Chemical Co. Ltd. (Chemicals)		2,006
	71,700	Showa Shell Sekiyu K.K. (Oil, Gas & Consumable Fuels)		585
	2,100	SMC Corp. (Machinery)		546
	10,500	SoftBank Corp. (Wireless Telecommunication Services)		530
	156,900	Sompo Japan Nipponkoa Holdings, Inc. (Insurance)		5,153
	17,200	Sony Financial Holdings, Inc. (Insurance)		308
	540,000	Sumitomo Chemical Co. Ltd. (Chemicals)		3,101
	472,300	Sumitomo Corp. (Trading Companies & Distributors)		4,816
	271,500	Sumitomo Electric Industries Ltd. (Auto Components)		3,834
	199,000	Sumitomo Heavy Industries Ltd. (Machinery)		892
	193,000	Sumitomo Metal Mining Co. Ltd. (Metals & Mining)		2,343
	389,723	Sumitomo Mitsui Financial Group, Inc. (Banks)		14,709
	299,000	Sumitomo Mitsui Trust Holdings, Inc. (Banks)		1,133
	267,931	Sumitomo Rubber Industries Ltd. (Auto Components)		3,484

See accompanying notes to financial statements.

96

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Japan (continued)
	22,100	SUZUKEN Co. Ltd. (Health Care Providers & Services)	$	840
	5,000	Sysmex Corp. (Health Care Equipment & Supplies)		321
	330,485	Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals)		16,480
	31,900	Takeuchi Mfg Co. Ltd. (Machinery)		649
	30,200	The Chugoku Electric Power Co., Inc. (Electric Utilities)		399
	110,000	The San-in Godo Bank Ltd. (Banks)		895
	40,800	The Yokohama Rubber Co. Ltd. (Auto Components)		627
	43,400	THK Co. Ltd. (Machinery)		804
	65,400	Tokio Marine Holdings, Inc. (Insurance)		2,526
	115,135	TonenGeneral Sekiyu K.K. (Oil, Gas & Consumable Fuels)		972
	25,281	Toyoda Gosei Co. Ltd. (Auto Components)		574
	641,900	Toyota Motor Corp. (Automobiles)		39,534
	77,900	Toyota Tsusho Corp. (Trading Companies & Distributors)		1,823
	49,600	Trend Micro, Inc. (Software)		2,013
	475	United Urban Investment Corp. (Real Estate Investment Trusts)		645
	78,900	USS Co. Ltd. (Specialty Retail)		1,186
	25,700	Yahoo Japan Corp. (Internet Software & Services)		104
				504,510
		Jersey — 0.34%
	131,495	Glencore International PLC (Metals & Mining)		174
	112,339	Petrofac Ltd. (Energy Equipment & Services)		1,318
	48,470	Shire PLC (Pharmaceuticals)		3,325
	172,007	WPP PLC (Media)		3,956
				8,773
		Liberia — 0.10%
	24,989	Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)		2,529
		Luxembourg — 0.34%
	295,281	ArcelorMittal (Metals & Mining)^		1,246
	25,275	Millicom International Cellular SA (Wireless Telecommunication Services)		1,451
	10,646	RTL Group (Media)		886
	137,109	SES – FDR, Class – A (Media)		3,799
	115,963	Tenaris SA (Energy Equipment & Services)		1,373
				8,755
		Malaysia — 0.14%
	29,400	Airasia Berhad (Airlines)		9
	36,300	Alliance Financial Group Berhad (Banks)		30
	54,800	AMMB Holdings Berhad (Banks)		58
	53,100	Astro Malaysia Holdings Berhad (Media)		34
	85,100	Axiata Group Berhad (Wireless Telecommunication Services)		127
	22,934	Berjaya Sports Toto Berhard (Hotels, Restaurants & Leisure)		16
	4,300	British American Tobacco Malaysia Berhad (Tobacco)		56

Shares		Security Description	Value (000)
		Malaysia (continued)
	86,400	Bumi Armada Berhad (Energy Equipment & Services)	$	20
	158,600	CIMB Group Holdings Berhad (Banks)		167
	124,788	Dialog Group Berhad (Construction & Engineering)		46
	106,700	DiGi.Com Berhad (Wireless Telecommunication Services)		134
	38,200	Felda Global Ventures Holdings Berhad (Food Products)		15
	54,700	Gamuda Berhad (Construction & Engineering)		59
	75,600	Genting Berhad (Hotels, Restaurants & Leisure)		130
	99,400	Genting Malaysia Berhad (Hotels, Restaurants & Leisure)		101
	8,000	Genting Plantations Berhad (Food Products)		20
	10,100	Hap Seng Consolidated Berhad (Industrial Conglomerates)		15
	12,500	Hartalega Holdings Berhad (Health Care Equipment & Supplies)		17
	22,156	Hong Leong Bank Berhad (Banks)		69
	8,066	Hong Leong Financial Group Berhad (Banks)		26
	81,500	IHH Healthcare Berhad (Health Care Providers & Services)		125
	99,800	IJM Corp. Berhad (Construction & Engineering)		79
	84,900	IOI Corp. Berhad (Food Products)		88
	45,300	IOI Properties Group Berhad (Real Estate Management & Development)		24
	14,400	Kuala Lumpur Kepong Berhad (Food Products)		77
	13,200	Lafarge Malayan Cement Berhad (Construction Materials)		27
	149,600	Malayan Banking Berhad (Banks)		293
	27,900	Malaysia Airports holdings Berhad (Transportation Infrastructure)		37
	55,300	Maxis Berhad (Wireless Telecommunication Services)		87
	37,200	MISC Berhad (Marine)		81
	87,200	Petronas Chemicals Group Berhad (Chemicals)		147
	8,300	Petronas Dagangan Berhad (Oil, Gas & Consumable Fuels)		48
	23,100	Petronas Gas Berhad (Gas Utilities)		122
	16,100	PPB Group Berhad (Food Products)		59
	81,040	Public Bank Berhad (Banks)		350
	20,200	RHB Capital Berhad (Banks)		27
	110,800	SapuraKencana Petroleum Berhad (Energy Equipment & Services)		53
	98,000	Sime Darby Berhad (Industrial Conglomerates)		176
	36,400	Telekom Malaysia Berhad (Diversified Telecommunication Services)		57
	109,200	Tenega Nasional Berhad (Electric Utilities)		338
	14,000	UMW Holdings Berhad (Automobiles)		26
	31,600	Westports Holding Berhad (Transportation Infrastructure)		30
	143,800	YTL Corp. Berhad (Multi-Utilities)		53
	75,600	YTL Power International Berhad (Multi-Utilities)		26
				3,579
		Malta — 0.00%
	11,360	Brait SE (Capital Markets)		123

See accompanying notes to financial statements.

97

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Mexico — 0.30%
	89,200	Alfa SAB de CV, Class – A (Industrial Conglomerates)	$	177
	1,015,500	America Movil SAB de CV (Wireless Telecommunication Services)		714
	13,500	Arca Continental SAB de CV (Beverages)		82
	12,224	Cemex SAB de CV, ADR (Construction Materials) (a)		68
	428,011	Cemex SAB de CV (Construction Materials) (a)		234
	15,000	Coca-Cola FEMSA SAB de CV, Series L (Beverages)		108
	35,400	Compartamos SAB de CV (Consumer Finance)		69
	15,300	Controladora Comercial Mexicana SAB de CV (Food & Staples Retailing)		42
	6,200	El Puerto de Liverpool SAB de CV, Class – C1 (Multiline Retail)		76
	76,700	Fibra Uno Amdinistracion SA (Real Estate Investment Trusts)		169
	59,400	Fomento Economico Mexicano SAB de CV (Beverages)		557
	6,500	Gruma SAB de CV, Class – B (Food Products)		91
	10,200	Grupo Aeroportuario del Pacifico SAB de CV, B Shares (Transportation Infrastructure)		91
	6,170	Grupo Aeroportuario del Sureste SAB de CV, Class – B (Transportation Infrastructure)		87
	51,400	Grupo Bimbo SAB de CV (Food Products) (a)		137
	19,500	Grupo Carso SAB de CV, Series A1 (Industrial Conglomerates)		80
	11,600	Grupo Comercial Chedraui SAB de CV (Food & Staples Retailing)		31
	80,400	Grupo Financiero Banorte SAB de CV (Banks)		443
	72,500	Grupo Financiero Inbursa SAB de CV, Class – O (Banks)		131
	55,600	Grupo Financiero Santander Mexico SAB de CV, B Shares (Banks)		98
	20,700	Grupo Lala SAB de CV (Food Products)		48
	117,400	Grupo Mexico SAB de CV, Series B (Metals & Mining)		251
	101,224	Grupo Televisa SA, ADR (Media)		2,755
	81,900	Grupo Televisa SAB de CV (Media)		448
	4,675	Industrias Penoles SAB de CV (Metals & Mining)		48
	46,500	Kimberly-Clark de Mexico SAB de CV, A Shares (Household Products)		109
	30,800	Mexichem SAB de CV (Chemicals)		69
	20,400	Ohl Mexico SAB de CV (Transportation Infrastructure) (a)		21
	8,200	Promotora y Operadora de Infraestructura SAB de CV (Construction & Engineering) (a)		96
	169,900	Wal-Mart de Mexico SAB de CV (Food & Staples Retailing)		429
				7,759
		Netherlands — 2.88%
	2,157	ABN AMRO Group NV (Banks) (a)(c)		48
	537,477	AEGON NV (Insurance)		3,040
	105,081	Airbus Group NV (Aerospace & Defense)		7,080

Shares		Security Description	Value (000)
		Netherlands (continued)
	166,180	Akzo Nobel NV (Chemicals)	$	11,103
	59,162	ASML Holding NV (Semiconductors & Semiconductor Equipment)		5,256
	7,119	ASML Holding NV, NYS (Semiconductors & Semiconductor Equipment)		632
	164,736	CNH Industrial NV (Machinery)		1,128
	22,815	Euronext NV (Diversified Financial Services)		1,170
	5,433	Gemalto NV (Software)		326
	20,901	Grandvision NV (Specialty Retail)		627
	884	Heineken Holding NV (Beverages)		75
	8,290	Heineken Holding NV (Beverages)		638
	10,554	ING Groep NV (Banks)		143
	274,598	Koninklijke Ahold NV (Food & Staples Retailing)		5,791
	14,713	Koninklijke Boskalis Westminster NV (Construction & Engineering)		600
	39,136	Koninklijke DSM NV (Chemicals)		1,962
	159,817	Koninklijke Philips Electronics NV (Industrial Conglomerates)		4,079
	12,020	Koninklijke Vopak NV (Oil, Gas & Consumable Fuels)		518
	54,210	NN Group NV (Insurance)		1,912
	21,899	Randstad Holding NV (Professional Services)		1,363
	514,676	Reed Elsevier NV (Media)		8,668
	188,354	STMicroelectronics NV (Semiconductors & Semiconductor Equipment)		1,261
	419,058	TNT NV (Air Freight & Logistics) (a)		1,589
	304,501	Unilever NV (Personal Products)		13,270
	51,622	Wolters Kluwer NV (Media)		1,733
				74,012
		New Zealand — 0.03%
	40,626	Fletcher Building Ltd. (Construction Materials)		204
	35,000	Infratil Ltd. (Electric Utilities)		78
	178,026	Telecom Corp. of New Zealand Ltd. (Diversified Telecommunication Services)		400
				682
		Norway — 0.61%
	85,424	DNB ASA (Banks)		1,053
	23,680	Gjensidige Forsikring ASA (Insurance)		379
	814,817	Statoil ASA (Oil, Gas & Consumable Fuels)		11,368
	177,779	Telenor ASA (Diversified Telecommunication Services)		2,964
				15,764
		Papua New Guinea — 0.01%
	66,408	Oil Search Ltd. (Oil, Gas & Consumable Fuels)		323
		Peru — 0.01%
	6,200	Compania de Minas Buenaventura SA, ADR (Metals & Mining) (a)		27
	2,191	Credicorp Ltd. (Banks)		213
				240
		Philippines — 0.06%
	66,530	Aboitiz Equity Ventures, Inc. (Industrial Conglomerates)		82
	49,400	Aboitiz Power Corp. (Independent Power and Renewable Electricity Producers)		43

See accompanying notes to financial statements.

98

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Philippines (continued)
	69,300	Alliance Global Group, Inc. (Industrial Conglomerates)	$	24
	7,210	Ayala Corp. (Diversified Financial Services)		116
	226,900	Ayala Land, Inc. (Real Estate Management & Development)		167
	20,150	Bank of the Philippine Islands (Banks)		36
	53,700	BDO Unibank, Inc. (Banks)		119
	136,900	DMCI Holdings, Inc. (Industrial Conglomerates)		40
	309,300	Energy Development Corp. (Independent Power and Renewable Electricity Producers)		41
	1,115	Globe Telecom, Inc. (Wireless Telecommunication Services)		44
	2,575	GT Capital Holdings, Inc. (Diversified Financial Services)		72
	16,900	International Container Terminal Services, Inc. (Transportation Infrastructure)		25
	84,540	JG Summit Holdings, Inc. (Industrial Conglomerates)		132
	14,340	Jollibee Foods Corp. (Hotels, Restaurants & Leisure)		67
	356,000	Megaworld Corp. (Real Estate Management & Development)		32
	448,100	Metro Pacific Investments Corp. (Diversified Financial Services)		49
	10,310	Metropolitan Bank & Trust Co. (Banks)		18
	2,985	Philippine Long Distance Telephone Co. (Wireless Telecommunication Services)		130
	34,700	Robinsons Land Corp. (Real Estate Management & Development)		20
	4,780	SM Investments Corp. (Industrial Conglomerates)		87
	279,100	SM Prime Holdings, Inc. (Real Estate Management & Development)		128
	29,220	Universal Robina Corp. (Food Products)		115
				1,587
		Poland — 0.06%
	1,394	Alior Bank SA (Banks) (a)		24
	1,104	Bank Handlowy w Warszawie SA (Banks)		20
	14,737	Bank Millennium SA (Banks) (a)		21
	4,023	Bank Pekao SA (Banks)		146
	1,164	Bank Zachodni WBK SA (Banks)		84
	761	CCC SA (Textiles, Apparel & Luxury Goods)		27
	6,389	Cyfrowy Polsat SA (Media) (a)		34
	7,239	Enea SA (Electric Utilities)		21
	6,708	Energa SA (Electric Utilities)		22
	2,745	Eurocash SA (Food & Staples Retailing)		34
	1,510	Grupa Azoty SA (Chemicals) (a)		39
	2,554	Grupa Lotos SA (Oil, Gas & Consumable Fuels) (a)		18
	4,681	KGHM Polska Miedz SA (Metals & Mining)		76
	43	LPP SA (Textiles, Apparel & Luxury Goods)		61
	496	MBank SA (Banks)(a)		40
	27,898	PGE SA (Electric Utilities)		91
	10,020	Polski Koncern Naftowy Orlen SA (Oil, Gas & Consumable Fuels)		173
	59,087	Polskie Gornictwo Naftowe i Gazownictwo SA (Oil, Gas & Consumable Fuels)		77

Shares		Security Description	Value (000)
		Poland (continued)
	29,136	Powszechna Kasa Oszczednosci Bank Polski SA (Banks) (a)	$	202
	17,400	Powszechny Zaklad Ubezpieczen SA (Insurance)		150
	17,743	Synthos SA (Chemicals)		17
	23,818	Tauron Polska Energia SA (Electric Utilities)		17
	21,701	Telekomunikacja Polska SA (Diversified Telecommunication Services)		36
				1,430
		Portugal — 0.08%
	102,844	Altri, SGPS, SA (Paper & Forest Products)		532
	183,534	EDP – Energias de Portugal SA (Electric Utilities)		661
	75,585	Jeronimo Martins, SGPS, SA (Food & Staples Retailing)		984
				2,177
		Qatar — 0.04%
	3,275	Barwa Real Estate Co. (Real Estate Management & Development)		36
	3,870	Doha Bank QSC (Banks)		47
	24,555	Ezdan Real Estate Co. QSC (Real Estate Management & Development)		107
	4,730	Industries Qatar QSC (Industrial Conglomerates)		143
	12,371	Masraf Al Rayan (Banks)		127
	2,747	Ooredoo QSC (Diversified Telecommunication Services)		57
	930	Qatar Electricity & Water Co. (Multi-Utilities)		55
	6,966	Qatar Gas Transport Co. Ltd. (Oil, Gas & Consumable Fuels)		45
	3,043	Qatar Insurance Co. (Insurance) (a)		69
	1,805	Qatar Islamic Bank (Banks)		53
	5,639	Qatar National Bank (Banks)		270
	4,911	The Commercial Bank of Qatar QSC (Banks)		62
	11,438	Vodafone Qatar (Wireless Telecommunication Services)		40
				1,111
		Romania — 0.00%
	6,166	New Europe Property Investment PLC (Real Estate Management & Development)		71
		Russia — 0.14%
	61,600	ALROSA AO (Metals & Mining)		47
	3,932,000	Federal Hydrogenerating Co. (Electric Utilities)		37
	376,882	Gazprom OAO (Oil, Gas & Consumable Fuels)		703
	16,402	LUKOIL OAO (Oil, Gas & Consumable Fuels)		527
	8,362	Magnit OJSC, Registered Shares, GDR (Food & Staples Retailing)		336
	3,144	MegaFon OAO, GDR (Wireless Telecommunication Services)		37
	1,778	MMC Norilsk Nickel PJSC (Metals & Mining)		224
	15,875	Mobile TeleSystems OJSC, ADR (Wireless Telecommunication Services)		98
	2,900	NovaTek OAO, Registered Shares, GDR (Oil, Gas & Consumable Fuels)		239
	35,590	Rosneft Oil (Oil, Gas & Consumable Fuels)		124
	25,400	Rosneft Oil Co., Registered Shares, GDR (Oil, Gas & Consumable Fuels)		89

See accompanying notes to financial statements.

99

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Russia (continued)
	27,240	Rostelecom OJSC (Diversified Telecommunication Services)	$	34
	346,390	Sberbank of Russia (Banks)		481
	7,050	Severstal (Metals & Mining)		59
	5,147	Sistema JSFC, GDR (Wireless Telecommunication Services)		30
	241,100	Surgutneftegas (Oil, Gas & Consumable Fuels)		113
	44,810	Tatneft, Class – S (Oil, Gas & Consumable Fuels)		196
	38,080	The Moscow Exchange MICEX (Diversified Financial Services)		48
	163,060,000	VTB Bank OJSC (Banks)		178
				3,600
		Singapore — 1.35%
	899,800	Ascendas Real Estate Investment Trust (Real Estate Investment Trusts)		1,442
	904,609	CapitaCommercial Trust (Real Estate Investment Trusts)		859
	1,029,700	CapitaMall Trust (Real Estate Investment Trusts)		1,398
	71,721	DBS Group Holdings Ltd. (Banks)		841
	3,545,507	Hutchison Port Holdings Trust (Transportation Infrastructure)		1,874
	1,192,791	Keppel Corp. Ltd. (Industrial Conglomerates)		5,452
	745,900	SembCorp Industries Ltd. (Industrial Conglomerates)		1,599
	662,700	SembCorp Marine Ltd. (Machinery)^		816
	979,347	Singapore Press Holdings Ltd. (Media)		2,716
	805,400	Singapore Tech Engineering (Aerospace & Defense)		1,703
	3,419,610	Singapore Telecommunications Ltd. (Diversified Telecommunication Services)		8,820
	954,880	Suntec REIT (Real Estate Investment Trusts)		1,040
	284,100	United Overseas Bank Ltd. (Banks)		3,918
	3,023,711	Yangzijiang Shipbuilding Holdings Ltd. (Machinery)		2,337
				34,815
		South Africa — 0.29%
	76,767	African Bank Investments Ltd. (Diversified Financial Services)*(a)		—
	1,336	Anglo Platinum Ltd. (Metals & Mining) (a)		16
	13,565	AngloGold Ashanti Ltd. (Metals & Mining) (a)		94
	10,943	Aspen Pharmacare Holdings Ltd. (Pharmaceuticals)		219
	10,425	Barclays Africa Group Ltd. (Banks)		97
	7,428	Barloworld Ltd. (Trading Companies & Distributors)		30
	10,180	Bidvest Group Ltd. (Industrial Conglomerates)		216
	1,193	Capitec Bank Holdings Ltd. (Banks)		42
	7,705	Coronation Fund Managers Ltd. (Capital Markets)		26
	11,989	Discovery Ltd. (Insurance)		103

Shares		Security Description	Value (000)
		South Africa (continued)
	3,843	Exxaro Resources Ltd. (Oil, Gas & Consumable Fuels)^	$	11
	106,347	FirstRand Ltd. (Diversified Financial Services)		291
	31,600	Fortress Income Fund Ltd., Class – A (Real Estate Investment Trusts)		33
	22,800	Fortress Income Fund Ltd., Class – A (Real Estate Investment Trusts)		51
	26,067	Gold Fields Ltd. (Metals & Mining)		71
	69,853	Growthpoint Properties Ltd. (Real Estate Investment Trusts)		105
	8,098	Hyprop Investments Ltd. (Real Estate Investment Trusts)		54
	18,081	Impala Platinum Holdings Ltd. (Metals & Mining) (a)		29
	6,288	Imperial Holdings Ltd. (Distributors)		49
	8,169	Investec Ltd. (Capital Markets)		58
	3,919	Liberty Holdings Ltd. (Insurance)		29
	26,997	Life Healthcare Group Holdings Ltd. (Health Care Providers & Services)^		61
	3,339	Massmart Holdings Ltd. (Food & Staples Retailing)		22
	15,065	Mediclinic International Ltd. (Health Care Providers & Services)		116
	30,861	MMI Holdings Ltd. (Insurance)		44
	3,974	Mondi Ltd. (Paper & Forest Products)		79
	8,058	Mr. Price Group Ltd. (Specialty Retail)		104
	53,008	MTN Group Ltd. (Wireless Telecommunication Services)		457
	13,841	Naspers Ltd. (Media)		1,893
	5,906	Nedbank Group Ltd. (Banks)		72
	27,817	Netcare Ltd. (Health Care Providers & Services)		61
	8,171	Pick n Pay Stores Ltd. (Food & Staples Retailing)		34
	3,538	Pioneer Foods Group Ltd. (Food Products)		36
	3,047	PSG Group Ltd. (Diversified Financial Services)		44
	123,792	Redefine Properties Ltd. (Real Estate Investment Trusts)		78
	15,474	Remgro Ltd. (Diversified Financial Services)		245
	9,475	Resilient REIT Ltd. (Real Estate Investment Trusts)		71
	21,326	RMB Holdings Ltd. (Diversified Financial Services)		77
	19,038	RMI Holdings Ltd. (Insurance)		48
	5,051	Samsung Heavy Industries Co. Ltd. (Machinery)		46
	54,805	Sanlam Ltd. (Insurance)		214
	18,360	Sappi Ltd. (Paper & Forest Products) (a)		77
	17,635	Sasol Ltd. (Oil, Gas & Consumable Fuels)		476
	14,264	Shoprite Holdings Ltd. (Food & Staples Retailing)		132
	38,235	Standard Bank Group Ltd. (Banks)		280
	75,283	Steinhoff International Holdings NV (Household Durables)		383
	7,882	Telkom SA SOC Ltd. (Diversified Telecommunication Services)		33
	6,866	The Foschini Group Ltd. (Specialty Retail)		54
	4,668	The Spar Group Ltd. (Food & Staples Retailing)		56
	4,941	Tiger Brands Ltd. (Food Products)		102
	14,363	Truworths International Ltd. (Specialty Retail)		85

See accompanying notes to financial statements.

100

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		South Africa (continued)
	8,980	Tsogo Sun Holdings Ltd. (Hotels, Restaurants & Leisure)	$	14
	11,412	Vodacom Group Ltd. (Wireless Telecommunication Services)		113
	30,644	Woolworths Holdings Ltd. (Multiline Retail)		198
				7,429
		South Korea — 1.19%
	1,037	Amorepacific Corp. (Personal Products)		364
	849	Amorepacific Group (Personal Products)		106
	220	BGF Retail Co. Ltd. (Food & Staples Retailing)		32
	7,304	BS Financial Group, Inc. (Banks)		52
	2,161	Celltrion, Inc. (Pharmaceuticals)^(a)		154
	2,453	Cheil Industries, Inc. (Industrial Conglomerates) (a)		290
	2,699	Cheil Worldwide, Inc. (Media) (a)		47
	226	CJ Cheiljedang Corp. (Food Products)		72
	487	CJ Corp. (Industrial Conglomerates)		103
	442	CJ E&M Corp. (Media) (a)		30
	199	CJ Korea Express Co. Ltd. (Road & Rail) (a)		32
	1,808	Coway Co. Ltd. (Household Durables)		129
	893	Daelim Industrial Co. Ltd. (Construction & Engineering)		50
	3,393	Daewoo Engineering & Construction Co. Ltd. (Construction & Engineering) (a)		16
	1,544	Daewoo International Corp. (Trading Companies & Distributors)		21
	6,011	Daewoo Securities Co. Ltd. (Capital Markets)		48
	987	Daum Kakao Corp. (Internet Software & Services)		97
	5,676	DGB Financial Group, Inc. (Banks)		48
	1,421	Dongbu Insurance Co. Ltd. (Insurance)		85
	876	Dongsuh Cos., Inc. (Food & Staples Retailing)		23
	193	Doosan Corp. (Industrial Conglomerates)		15
	1,064	Doosan Heavy Industries & Construction Co. Ltd. (Electrical Equipment)		19
	639	E-Mart Co. Ltd. (Food & Staples Retailing)		103
	1,674	GS Engineering & Construction Corp. (Construction & Engineering) (a)		28
	1,446	GS Holdings Corp. (Oil, Gas & Consumable Fuels)		62
	614	GS Retail Co. Ltd. (Food & Staples Retailing)		28
	1,261	Halla Climate Control Corp. (Auto Components)		55
	9,721	Hana Financial Group, Inc. (Banks)		194
	2,500	Hankook Tire Co. Ltd. (Auto Components)		100
	174	Hanmi Pharm Co. Ltd. (Pharmaceuticals) (a)		107
	385	Hanmi Science Co. Ltd. (Pharmaceuticals) (a)		42
	315	Hanssem Co. Ltd. (Household Durables)		62
	3,532	Hanwha Chemical Corp. (Chemicals)		80
	1,509	Hanwha Corp. (Industrial Conglomerates)		50
	463	Honam Petrochemical Corp. (Chemicals)		94
	1,116	Hotel Shilla Co. Ltd. (Specialty Retail)		73
	18,601	Hynix Semiconductor, Inc. (Semiconductors & Semiconductor Equipment)		481
	764	Hyosung Corp. (Chemicals)		76
	509	Hyundai Department Store (Multiline Retail)		55

Shares		Security Description	Value (000)
		South Korea (continued)
	1,895	Hyundai Development Co. (Construction & Engineering)	$	62
	2,231	Hyundai Engineering & Construction Co. Ltd. (Construction & Engineering)		54
	628	Hyundai Glovis Co. Ltd. (Air Freight & Logistics)		102
	1,258	Hyundai Heavy Industries Co. Ltd. (Machinery) (a)		93
	2,083	Hyundai Marine & Fire Insurance Co. Ltd. (Insurance)		64
	2,221	Hyundai Mobis Co. Ltd. (Auto Components)		465
	9,889	Hyundai Motor Co. Ltd. (Automobiles)		1,247
	2,432	Hyundai Steel Co. (Metals & Mining)		103
	549	Hyundai Wia Corp. (Auto Components)		52
	9,335	Industrial Bank of Korea (Banks)		98
	3,942	Kangwon Land, Inc. (Hotels, Restaurants & Leisure)		128
	12,201	KB Financial Group, Inc. (Banks)		344
	165	KCC Corp. (Building Products)		58
	752	KEPCO Plant Service & Engineering Co. Ltd. (Commercial Services & Supplies)		57
	8,564	Kia Motors Corp. (Automobiles)		382
	1,467	Korea Aerospace Industries Ltd. (Aerospace & Defense)		97
	8,320	Korea Electric Power Corp. (Electric Utilities)		353
	597	Korea Gas Corp. (Gas Utilities)		19
	1,066	Korea Investment Holdings Co. Ltd. (Capital Markets)		45
	463	Korea Kumho Petrochemical Co. Ltd. (Chemicals)		20
	7,327	Korea Life Insurance Co. Ltd. (Insurance)		46
	256	Korea Zinc Co. Ltd. (Metals & Mining)		102
	1,165	Korean Air Lines Co. Ltd. (Airlines) (a)		27
	1,080	KT Corp. (Diversified Telecommunication Services)		26
	36,063	KT&G Corp. (Tobacco)		3,205
	1,487	LG Chem Ltd. (Chemicals)		411
	3,005	LG Corp. (Industrial Conglomerates)		181
	7,222	LG Display Co. Ltd. (Electronic Equipment, Instruments & Components)		150
	3,565	LG Electronics, Inc. (Household Durables)		162
	301	LG Household & Health Care Ltd. (Household Products)		267
	474	LG Innotek Co. Ltd. (Electronic Equipment, Instruments & Components)		39
	7,154	LG UPlus Corp. (Diversified Telecommunication Services)		63
	14	Lotte Chilsung Beverage Co. Ltd. (Beverages)		27
	24	Lotte Confectionery Co. Ltd. (Food Products)		47
	370	Lotte Shopping Co. Ltd. (Multiline Retail)		72
	1,977	Mirae Asset Securities Co. Ltd. (Capital Markets)		36
	907	Naver Corp. (Internet Software & Services)		506
	514	NCsoft Corp. (Software)		93
	3,445	NH Investment & Securities Co. Ltd. (Capital Markets)		29
	563	OCI Co. Ltd. (Chemicals)		36
	136	Orion Corp. (Food Products)		134
	26	Ottogi Corp. (Food Products)		27
	1,521	Paradise Co. Ltd. (Hotels, Restaurants & Leisure)		23

See accompanying notes to financial statements.

101

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		South Korea (continued)
	2,192	POSCO (Metals & Mining)	$	307
	634	S1 Corp. (Commercial Services & Supplies)		54
	1,162	Samsung Card Co. Ltd. (Consumer Finance)		30
	2,008	Samsung Electro-Mechanics Co. Ltd. (Electronic Equipment, Instruments & Components)		107
	8,468	Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals)		9,034
	1,147	Samsung Fire & Marine Insurance Co. Ltd. (Insurance)		300
	2,551	Samsung Life Insurance Co. Ltd. (Insurance)		238
	1,745	Samsung SDI Co. Ltd. (Electronic Equipment, Instruments & Components)		168
	987	Samsung SDS Co. Ltd. (IT Services)		212
	1,630	Samsung Securities Co. Ltd. (Capital Markets)		57
	13,670	Shinhan Financial Group Co. Ltd. (Banks)		459
	231	Shinsegae Co. Ltd. (Multiline Retail)		45
	1,126	SK C&C Co. Ltd. (Industrial Conglomerates)		229
	2,067	SK Innovation Co. Ltd. (Oil, Gas & Consumable Fuels) (a)		227
	2,384	SK Networks Co. Ltd. (Trading Companies & Distributors)		11
	31,937	SK Telecom Co. Ltd. (Wireless Telecommunication Services)		5,846
	1,335	S-Oil Corp. (Oil, Gas & Consumable Fuels)		89
	11,356	Woori Bank (Banks)		85
	282	Yuhan Corp. (Pharmaceuticals)		65
				30,638
		Spain — 2.31%
	243,346	Abertis Infraestructuras SA (Transportation Infrastructure)		3,805
	4,700	Amadeus IT Holding SA, A Shares (IT Services)		207
	1,108,993	Banco Bilbao Vizcaya Argentaria SA (Banks)		8,102
	68,931	Banco de Sabadell SA (Banks)		122
	2,445,402	Banco Santander SA (Banks)		12,028
	1,112,122	CaixaBank SA (Banks) (c)		3,870
	154,486	Corporacion Mapfre (Insurance)^		387
	30,795	Enagas (Gas Utilities)		869
	24,920	Endesa (Electric Utilities)		501
	50,187	Gas Natural SDG SA (Gas Utilities)		1,023
	54,766	Grifols SA, ADR (Biotechnology)		1,775
	32,567	Grifols SA (Biotechnology)		1,505
	278,207	Iberdrola SA (Electric Utilities)		1,971
	10,160	Red Electrica Corporacion SA (Electric Utilities)		849
	608,492	Repsol YPF SA (Oil, Gas & Consumable Fuels)		6,698
	33,504	Tecnicas Reunidas SA (Energy Equipment & Services)^		1,267
	1,311,561	Telefonica SA (Diversified Telecommunication Services)		14,548
				59,527
		Sweden — 2.45%
	30,642	Assa Abloy AB, B Shares (Building Products)		642
	76,547	Atlas Copco AB (Machinery)		1,879
	21,439	Autoliv, Inc. – SDR (Auto Components)		2,708

Shares		Security Description	Value (000)
		Sweden (continued)
	40,504	Boliden AB (Metals & Mining)	$	679
	12,243	Electrolux AB, B Shares (Household Durables)		296
	7,014	Hennes & Mauritz AB, B Shares (Specialty Retail)		250
	31,381	Industrivarden AB, C Shares (Diversified Financial Services)		537
	4,782	Modern Times Group, B Shares (Media)		122
	594,769	Nordea Bank AB (Banks)		6,530
	837,184	Sandvik AB (Machinery)		7,302
	288,280	Skandinaviska Enskilda Banken AB, Class – A (Banks)		3,034
	249,950	Skanska AB, B Shares (Construction & Engineering)		4,851
	56,756	Svenska Cellusoa AB, B Shares (Household Products)		1,646
	46,593	Svenska Handelsbanken AB, A Shares (Banks)		619
	270,656	Swedbank AB, A Shares (Banks)		5,965
	117,661	Tele2 AB, B Shares (Wireless Telecommunication Services)		1,174
	2,067,179	Telefonaktiebolaget LM Ericsson, B Shares (Communications Equipment)		19,944
	993,371	TeliaSonera AB (Diversified Telecommunication Services)		4,936
				63,114
		Switzerland — 9.93%
	1,608,044	ABB Ltd., Registered Shares (Electrical Equipment)		28,708
	37,098	Actelion Ltd. (Biotechnology)		5,156
	197,279	Adecco SA, Registered Shares (Professional Services)		13,507
	74,025	Aryzta AG (Food Products)		3,746
	11,364	Baloise Holding AG, Registered Shares (Insurance)		1,441
	91	Chocoladefabriken Lindt & Sprungil AG (Food Products)		568
	145,109	Clariant AG (Chemicals)		2,752
	55,900	Compagnie Financiere Richemont SA, Registered Shares (Textiles, Apparel & Luxury Goods)		4,002
	14,411	Credit Suisse Group AG (Capital Markets) (c)		311
	3,275	DKSH Holding Ltd. (Professional Services)		206
	438	Givaudan SA (Chemicals)		795
	6,560	Holcim Ltd., Registered Shares (Construction Materials)		329
	7,879	Julius Baer Group Ltd. (Capital Markets)		381
	34,621	Kuehne & Nagel International Ltd. (Marine)		4,744
	722,297	Nestle SA (Food Products)		53,636
	118,471	Novartis AG, Registered Shares (Pharmaceuticals)		10,194
	6,717	Pargesa Holding SA (Diversified Financial Services)		424
	1,196	Partners Group Holding AG (Capital Markets)		430
	234,003	Roche Holding AG (Pharmaceuticals)		64,864
	3,859	SGS SA, Registered Shares (Professional Services)		7,336
	10,430	Sulzer AG (Machinery)		981
	4,008	Swiss Life Holding (Insurance)		1,080

See accompanying notes to financial statements.

102

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Switzerland (continued)
	26,196	Swiss Prime Site AG (Real Estate Management & Development)	$	2,046
	82,899	Swiss Re AG (Insurance)		8,099
	11,276	Swisscom AG (Diversified Telecommunication Services)		5,644
	15,495	Syngenta AG, Registered Shares (Chemicals)		6,067
	22,019	TE Connectivity Ltd. (Electronic Equipment, Instruments & Components)		1,423
	699	The Swatch Group AG (Textiles, Apparel & Luxury Goods)		47
	891	The Swatch Group AG, B Shares (Textiles, Apparel & Luxury Goods)		310
	279,740	Transocean Ltd. (Energy Equipment & Services)^		3,498
	424,844	UBS Group AG (Capital Markets)		8,244
	56,400	Zurich Financial Services AG (Insurance)		14,493
				255,462
		Taiwan — 0.55%
	80,524	Acer, Inc. (Technology Hardware, Storage & Peripherals) (a)		30
	200,000	Advanced Semiconductor Engineering, Inc. (Semiconductors & Semiconductor Equipment)		230
	10,491	AdvanTech Co. Ltd. (Technology Hardware, Storage & Peripherals)		67
	66,980	Asia Cement Corp. (Construction Materials)		56
	51,000	Asia Pacific Telecom Co. Ltd. (Diversified Telecommunication Services) (a)		18
	23,000	Asustek Computer, Inc. (Technology Hardware, Storage & Peripherals)		190
	292,000	AU Optronics Corp. (Electronic Equipment, Instruments & Components)		86
	4,258	Casetek Holdings Ltd. (Technology Hardware, Storage & Peripherals)		17
	21,000	Catcher Technology Co. Ltd. (Technology Hardware, Storage & Peripherals)		175
	257,100	Cathay Financial Holding Co. Ltd. (Insurance)		361
	156,534	Chang Hwa Commercial Bank Ltd. (Banks)		75
	63,000	Cheng Shin Rubber Industry Co. Ltd. (Auto Components)		102
	15,235	Chicony Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals)		33
	87,000	China Airlines Ltd. (Airlines) (a)		32
	419,000	China Development Financial Holding Corp. (Banks)		105
	106,660	China Life Insurance Co. Ltd. (Insurance)		81
	379,440	China Steel Corp. (Metals & Mining)		207
	474,313	Chinatrust Financial Holding Co. Ltd. (Banks)		242
	121,000	Chunghwa Telecom Co. Ltd. (Diversified Telecommunication Services)		365
	142,000	Compal Electronics, Inc. (Technology Hardware, Storage & Peripherals)		79
	230,715	E.Sun Financial Holding Co. Ltd. (Banks)		134
	6,320	ECLAT Textile Co. Ltd. (Textiles, Apparel & Luxury Goods)		87
	69,984	EVA Airways Corp. (Airlines) (a)		39
	39,680	Evergreen Marine Corp. Ltd. (Marine)		16

Shares		Security Description	Value (000)
		Taiwan (continued)
	108,413	Far Eastern New Century Corp. (Industrial Conglomerates)	$	85
	53,000	Far EasTone Telecommunications Co. Ltd. (Wireless Telecommunication Services)		109
	10,300	Feng Tay Enterprise Co. Ltd. (Textiles, Apparel & Luxury Goods)		52
	284,013	First Financial Holdings Co., Ltd. (Banks)		132
	103,000	Formosa Chemicals & Fibre Corp. (Chemicals)		231
	39,000	Formosa Petrochemical Corp. (Oil, Gas & Consumable Fuels)		93
	134,000	Formosa Plastics Corp. (Chemicals)		313
	26,000	Formosa Taffeta Co. Ltd. (Textiles, Apparel & Luxury Goods)		24
	30,451	Foxconn Technology Co. Ltd. (Technology Hardware, Storage & Peripherals)		64
	211,000	Fubon Financial Holding Co. Ltd. (Diversified Financial Services)		287
	10,000	Giant Manufacturing Co. Ltd. (Leisure Products)		67
	1,000	Hermes Microvision, Inc. (Semiconductors & Semiconductor Equipment)		36
	23,400	Highwealth Construction Corp. (Real Estate Management & Development)		27
	6,548	Hiwin Technologies Corp. (Machinery)		26
	460,898	Hon Hai Precision Industry Co. Ltd. (Electronic Equipment, Instruments & Components)		1,127
	8,000	Hotai Motor Co. Ltd. (Specialty Retail)		92
	21,000	HTC Corp. (Technology Hardware, Storage & Peripherals)		50
	217,779	Hua Nan Financial Holdings Co. Ltd., Class – C (Banks)		101
	285,500	Innolux Corp. (Electronic Equipment, Instruments & Components)		86
	78,000	Inotera Memories, Inc. (Semiconductors & Semiconductor Equipment) (a)		66
	79,000	Inventec Corp. (Technology Hardware, Storage & Peripherals)		52
	3,000	Largan Precision Co. Ltd. (Electronic Equipment, Instruments & Components)		204
	71,982	Lite-On Technology Corp. (Technology Hardware, Storage & Peripherals)		69
	48,000	MediaTek, Inc. (Semiconductors & Semiconductor Equipment)		363
	360,034	Mega Financial Holding Co. Ltd. (Banks)		232
	7,500	Merida Industry Co. Ltd. (Leisure Products)		40
	153,000	Nan Ya Plastics Corp. (Chemicals)		283
	19,000	Novatek Microelectronics Corp. (Semiconductors & Semiconductor Equipment)		74
	3,000	Obi Pharma, Inc. (Biotechnology) (a)		60
	60,000	Pegatron Corp. (Technology Hardware, Storage & Peripherals)		131
	5,000	Phison Electronics Corp. (Semiconductors & Semiconductor Equipment)		35
	74,000	Pou Chen Corp. (Textiles, Apparel & Luxury Goods)		97
	21,000	Powertech Technology, Inc. (Semiconductors & Semiconductor Equipment)		41
	17,000	President Chain Store Corp. (Food & Staples Retailing)		106
	154,638	President Enterprises Corp. (Food Products)		257

See accompanying notes to financial statements.

103

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Taiwan (continued)
	84,000	Quanta Computer, Inc. (Technology Hardware, Storage & Peripherals)	$	135
	14,000	Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment)		32
	16,000	Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment)		38
	27,426	Ruentex Development Co. Ltd. (Real Estate Management & Development)		36
	18,000	Ruentex Industries Ltd. (Textiles, Apparel & Luxury Goods)		33
	272,847	Shin Kong Financial Holding Co. Ltd. (Insurance)		59
	73,000	Siliconware Precision Industries Co. (Semiconductors & Semiconductor Equipment)		115
	9,000	Simplo Technology Co. Ltd. (Electronic Equipment, Instruments & Components)		29
	285,422	SinoPac Financial Holdings Co. Ltd. (Banks)		81
	11,484	Standard Foods Corp. (Food Products)		29
	43,000	Synnex Technology International Corp. (Electronic Equipment, Instruments & Components)		42
	266,965	Taishin Financial Holding Co. Ltd. (Banks)		92
	143,524	Taiwan Business Bank (Banks) (a)		36
	100,000	Taiwan Cement Corp. (Construction Materials)		83
	239,316	Taiwan Cooperative Financial Holding Co. Ltd. (Banks)		100
	23,000	Taiwan Fertilizer Co. Ltd. (Chemicals)		30
	52,000	Taiwan Mobile Co. Ltd. (Wireless Telecommunication Services)		158
	957,000	Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment)		4,128
	18,600	Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Semiconductors & Semiconductor Equipment)		423
	65,000	Teco Electric & Machinery Co. Ltd. (Electrical Equipment)		52
	6,000	Transcend Information, Inc. (Semiconductors & Semiconductor Equipment)		16
	407,000	United Microelectronics Corp. (Semiconductors & Semiconductor Equipment)		149
	27,000	Vanguard International Semiconductor Corp. (Semiconductors & Semiconductor Equipment)		35
	75,480	Wistron Corp. (Technology Hardware, Storage & Peripherals)		42
	48,000	WPG Holdings Ltd. (Electronic Equipment, Instruments & Components)		46
	265,820	Yuanta Financial Holding Co. Ltd. (Capital Markets)		98
	29,000	Yulon Motor Co. Ltd. (Automobiles)		26
				14,082
		Thailand — 0.10%
	33,600	Advanced INFO Service Public Co. Ltd. (Wireless Telecommunication Services)		141
	14,300	Airports of Thailand Public Co. Ltd., Registered Shares (Transportation Infrastructure)		137
	7,900	Bangkok Bank Public Co. Ltd. – NVDR (Banks)		33

Shares		Security Description	Value (000)
		Thailand (continued)
	128,400	Bangkok Dusit Medical Service Public Co. Ltd. (Health Care Providers & Services)	$	79
	500,000	Bangkok Metro PCL (Road & Rail)*(a)(b)		31
	34,800	Banpu Public Co. Ltd., Registered Shares (Oil, Gas & Consumable Fuels)		15
	31,900	BEC World Public Co. Ltd., Registered Shares (Media)		27
	143,900	BTS Group Holdings Public Co. Ltd. (Road & Rail)		36
	12,000	Bumrungrad Hospital Public Co. Ltd. (Health Care Providers & Services)		70
	45,400	Central Pattana Public Co. Ltd., Registered Shares (Real Estate Management & Development)		59
	97,700	Charoen Pokphand Foods Public Co. Ltd. (Food Products)		49
	138,900	CP ALL Public Co. Ltd. (Food & Staples Retailing)		151
	18,700	Delta Electronics (Thailand) Public Co. Ltd. (Electronic Equipment, Instruments & Components)		40
	64,097	Delta Electronics Public Co. Ltd. – NVDR (Electronic Equipment, Instruments & Components)		301
	40,600	Energy Absolute Public Co. Ltd. – NVDR (Oil, Gas & Consumable Fuels)		25
	17,300	Glow Energy Public Co. Ltd. (Independent Power and Renewable Electricity Producers)		35
	30,008	Home Product Center Public Co. Ltd., Registered Shares (Specialty Retail)		6
	41,300	Indorama Ventures Public Co. Ltd. (Chemicals)		24
	331,500	IRPC Public Co. Ltd. – NVDR (Oil, Gas & Consumable Fuels)		39
	57,200	Kasikornbank Public Co. Ltd. (Banks)		238
	117,400	Krung Thai Bank Public Co. Ltd., Registered Shares (Banks)		54
	57,460	Minor International Public Co. Ltd., Registered Shares (Hotels, Restaurants & Leisure)		58
	40,800	PTT Exploration & Production Public Co. Ltd. (Oil, Gas & Consumable Fuels)		65
	55,900	PTT Global Chemical Public Co. Ltd. (Chemicals)		78
	32,400	PTT Public Co. Ltd. – NVDR (Oil, Gas & Consumable Fuels)		219
	49,300	Siam Commercial Bank Public Co. Ltd. (Banks)		163
	27,200	Thai Oil Public Co. Ltd. (Oil, Gas & Consumable Fuels)		50
	68,400	Thai Union Group Public Co. Ltd. (Food Products)		33
	12,700	The Siam Cement Public Co. Ltd. (Construction Materials)		160
	441,600	TMB Bank Public Co. Ltd. (Banks)		30
	288,110	True Corp. PCL (Diversified Telecommunication Services) (a)		53
				2,499
		Turkey — 0.06%
	69,346	Akbank TAS (Banks)		159
	6,922	Anadolu EFES Biracilik VE Malt Sanayii A/S (Beverages)		45
	8,094	Arcelik A/S (Household Durables)		39

See accompanying notes to financial statements.

104

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Turkey (continued)
	6,776	Bim Birlesik Magazalar A/S (Food & Staples Retailing)	$	119
	2,386	Coca-Cola Icecek A/S (Beverages)		30
	64,366	Emlak Konut Gayrimenkul Yatirim (Real Estate Investment Trusts)		57
	16,884	Enka Insaat ve Sanayi A/S (Industrial Conglomerates)		26
	47,723	Eregli Demir ve Celik Fabrikalari TAS (Metals & Mining)		50
	2,434	Ford Otomotiv Sanayi A/S (Automobiles)		25
	27,376	Haci OMER Sabanci Holding A/S (Diversified Financial Services)		78
	21,579	KOC Holdings A/S (Industrial Conglomerates)		81
	11,340	Petkim Petrokimya Holding A/S (Chemicals) (a)		18
	5,497	TAV Havalimanlari Holding A/S (Transportation Infrastructure)		34
	4,302	Tofas Turk Otomobil Fabrikasi A/S (Automobiles)		28
	4,205	Tupras-Turkiye Petrol Rafinerileri A/S (Oil, Gas & Consumable Fuels) (a)		100
	18,478	Turk Hava Yollari Anonim Ortakligi A/S (Airlines) (a)		47
	15,702	Turk Telekomunikasyon A/S (Diversified Telecommunication Services)		29
	26,679	Turkcell Iletisim Hizmetleri A/S (Wireless Telecommunication Services)		90
	73,000	Turkiye Garanti Bankasi A/S (Banks)		179
	18,197	Turkiye Halk Bankasi A/S (Banks)		65
	46,359	Turkiye Is Bankasi A/S, C Shares (Banks)		73
	19,851	Turkiye Sise ve Cam Fabrikalari A/S (Industrial Conglomerates)		22
	20,860	Turkiye Vakiflar Bankasi TAO, Class – D (Banks)		27
	5,262	Ulker Biskuvi Sanayi A/S (Food Products)		32
	29,729	Yapi ve Kredi Bankasi A/S (Banks)		33
				1,486
		United Arab Emirates — 0.04%
	65,514	Abu Dhabi Commercial Bank PJSC (Banks)		117
	105,261	Aldar Properties PJSC (Real Estate Management & Development)		66
	75,685	Arabtec Holding Co. (Construction & Engineering) (a)		25
	5,551	DP World Ltd. (Transportation Infrastructure)		113
	63,397	Dubai Financial Market (Diversified Financial Services)		21
	32,863	Dubai Islamic Bank (Banks)		55
	50,264	Emaar Malls Group PJSC (Real Estate Management & Development) (a)		38
	117,316	Emaar Properties PJSC (Real Estate Management & Development)		180
	52,962	Emirates Telecommunications Group Co. PJSC (Diversified Telecommunication Services)		232
	26,538	First Gulf Bank PJSC (Banks)		91
	22,742	National Bank of Abu Dhabi (Banks)		49
				987
		United Kingdom — 18.43%
	128,200	AA PLC (Commercial Services & Supplies)		592

Shares		Security Description	Value (000)
		United Kingdom (continued)
	103,987	Aberdeen Asset Management PLC (Capital Markets)	$	443
	88,141	Admiral Group PLC (Insurance)		2,153
	3,100	Aggreko PLC (Commercial Services & Supplies)		42
	677,254	Anglo American PLC (Metals & Mining)		2,971
	11,906	Aon PLC (Insurance)		1,098
	8,000	ARM Holdings PLC (Semiconductors & Semiconductor Equipment)		122
	2,500	Associated British Foods PLC (Food Products)		123
	491,064	AstraZeneca PLC (Pharmaceuticals)		33,165
	403,539	Auto Trader Group PLC (Internet Software & Services) (a)		2,631
	917,414	Aviva PLC (Insurance)		6,963
	80,691	Babcock International Group PLC (Commercial Services & Supplies)		1,207
	1,366,271	BAE Systems PLC (Aerospace & Defense)		10,058
	629,975	Balfour Beatty PLC (Construction & Engineering) (a)		2,509
	2,111,650	Barclays PLC (Banks)		6,796
	260,000	BCA Marketplace PLC, Registered Shares (Specialty Retail)		662
	86,538	Bellway PLC (Household Durables)		3,618
	1,005,350	BHP Billiton PLC (Metals & Mining)		11,210
	4,687,915	BP PLC (Oil, Gas & Consumable Fuels)		24,358
	760,648	British American Tobacco PLC (Tobacco)		42,236
	1,009,949	BT Group PLC (Diversified Telecommunication Services)		7,012
	3,200	Burberry Group PLC (Textiles, Apparel & Luxury Goods)		56
	209,481	Capital Shopping Centres Group PLC (Real Estate Investment Trusts)		979
	157,710	Carnival PLC (Hotels, Restaurants & Leisure)		8,983
	1,306,728	Centrica PLC (Multi-Utilities)		4,195
	321,821	Compass Group PLC (Hotels, Restaurants & Leisure)		5,576
	38,740	Croda International PLC (Chemicals)		1,735
	60,360	Delphi Automotive PLC (Auto Components)		5,175
	169,948	Diageo PLC (Beverages)		4,640
	41,435	easyJet PLC (Airlines)		1,063
	6,600	Ensco PLC, ADR (Energy Equipment & Services)		102
	10,300	Fidessa Group PLC (Software)		304
	613,669	G4S PLC (Commercial Services & Supplies)		2,038
	1,592,041	GlaxoSmithKline PLC (Pharmaceuticals)		32,148
	44,330	Grainger PLC (Real Estate Management & Development)		152
	7,268	Greene King PLC (Hotels, Restaurants & Leisure)		99
	5,700	Halma PLC (Electronic Equipment, Instruments & Components)		73
	25,500	Henderson Group PLC (Capital Markets)		116
	107,991	Home Retail Group PLC (Internet & Catalog Retail)		158
	96,885	Howden Joinery Group PLC (Specialty Retail)		751
	2,123,279	HSBC Holdings PLC (Banks)		16,759

See accompanying notes to financial statements.

105

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		United Kingdom (continued)
	843,478	HSBC Holdings PLC (HK) (Banks)	$	6,669
	89,680	ICAP PLC (Capital Markets)		673
	535,716	Imperial Tobacco Group PLC (Tobacco)		28,291
	57,459	InterContinental Hotels Group PLC (Hotels, Restaurants & Leisure)		2,239
	1,021,112	International Consolidated Airlines Group SA (Airlines)		9,179
	1,997,513	ITV PLC (Media)		8,132
	886,461	J Sainsbury PLC (Food & Staples Retailing)		3,375
	112,915	Johnson Matthey PLC (Chemicals)		4,417
	675,987	Legal & General Group PLC (Insurance)		2,667
	95,432	Liberty Global PLC, Class – A (Media) (a)		4,042
	142,998	Liberty Global PLC, Class – C (Media) (a)		5,830
	8,002,907	Lloyds Banking Group PLC (Banks)		8,610
	16,555	Marks & Spencer Group PLC (Multiline Retail)		110
	52,538	Meggitt PLC (Aerospace & Defense)		290
	5,465	Merlin Entertainments PLC (Hotels, Restaurants & Leisure)		37
	331,686	Michael Page International PLC (Professional Services)		2,369
	29,236	Micro Focus International PLC (Software)		687
	28,402	Mondi PLC (Paper & Forest Products)		557
	106,004	Moneysupermarket.com Group PLC (Internet Software & Services)		573
	406,005	National Grid PLC (Multi-Utilities)		5,599
	14,080	Next PLC (Multiline Retail)		1,512
	126,444	Ocado Group PLC (Internet & Catalog Retail) (a)		565
	579,549	Old Mutual PLC (Insurance)		1,524
	371,090	Pearson PLC (Media)		4,011
	133,851	Persimmon PLC (Household Durables) (a)		3,992
	11,469	Provident Financial PLC (Consumer Finance)		569
	42,225	Prudential PLC (Insurance)		951
	537,416	Rentokil Initial PLC (Commercial Services & Supplies)		1,261
	616,819	Rio Tinto PLC (Metals & Mining)		17,956
	757,257	Rolls-Royce Holdings PLC (Aerospace & Defense)		6,413
	933,499	Royal Dutch Shell PLC, A Shares (Oil, Gas & Consumable Fuels)		21,140
	772,724	Royal Dutch Shell PLC, B Shares (Oil, Gas & Consumable Fuels)		17,609
	346,484	Royal Mail PLC (Air Freight & Logistics)		2,269
	26,403	Severn Trent PLC (Water Utilities)		844
	4,400	Shaftesbury PLC (Real Estate Investment Trusts)		59
	1,900	Spirax-Sarco Engineering PLC (Machinery)		92
	57,900	Sports Direct International (Specialty Retail) (a)		492
	512,506	SSE PLC (Electric Utilities)		11,506
	354,357	Standard Chartered PLC (Banks)		2,940
	213,176	Standard Life PLC (Insurance)		1,221
	217,902	Tate & Lyle PLC (Food Products)		1,919
	273,618	Taylor Wimpey PLC (Household Durables)		818
	421,644	Thomas Cook Group PLC (Hotels, Restaurants & Leisure) (a)		752

Shares		Security Description	Value (000)
		United Kingdom (continued)
	21,348	Tullow Oil PLC (Oil, Gas & Consumable Fuels) (a)	$	52
	75,627	United Utilities Group PLC (Water Utilities)		1,041
	9,002,104	Vodafone Group PLC (Wireless Telecommunication Services)		29,188
	1,022,512	William Morrison Supermarkets PLC (Food & Staples Retailing)		2,228
	390,855	Worldpay Group PLC (IT Services) (a)(c)		1,770
				474,111
		United States — 0.30%
	7,544	Allergan PLC (Pharmaceuticals) (a)		2,358
	63,826	Cognizant Technology Solutions Corp. (IT Services) (a)		3,830
	29,700	Samsonite International SA (Textiles, Apparel & Luxury Goods)		89
	5,055	Southern Copper Corp. (Metals & Mining)		132
	13,584	WABCO Holdings, Inc. (Machinery) (a)		1,389
				7,798
		Total Common Stocks		2,398,014
		Preferred Stocks — 0.85%
		Brazil — 0.05%
	80,120	Banco Bradesco SA – Preferred (Banks)		390
	5,300	Braskem SA – Preferred, Class – A (Chemicals)		37
	6,600	Centrais Eletricas Brasileiras SA – Preferred, B Shares (Electric Utilities)		17
	25,400	Companhia Energetica de Minas Gerais SA – Preferred, ADR (Electric Utilities)		40
	6,300	Companhia Energetica de Sao Paulo – Preferred, B Shares (Independent Power and Renewable Electricity Producers)		21
	3,400	Companhia Paranaense de Energia-COPEL – Preferred, B Shares (Electric Utilities)		21
	29,300	Gerdau SA – Preferred (Metals & Mining)		34
	108,936	Itausa – Investimentos Itau SA – Preferred (Banks)		190
	16,525	Lojas Americanas SA – Preferred (Multiline Retail)		81
	123,700	Petroleo Brasileiro SA – Preferred (Oil, Gas & Consumable Fuels) (a)		210
	12,300	Suzano Papel e Celulose SA – Preferred, Class – A (Paper & Forest Products)		58
	12,500	Telefonica Brasil SA – Preferred (Diversified Telecommunication Services)		113
	58,600	Vale SA – Preferred (Metals & Mining)		152
				1,364
		Chile — 0.00%
	8,758	Embotelladora Andina SA – Preferred, B Shares (Beverages)		26
	3,264	Sociedad Quimica y Minera de Chile SA – Preferred, B Shares (Chemicals)		61
				87
		Colombia — 0.01%
	14,406	Bancolombia SA – Preferred (Banks)		99
	111,222	Grupo Aval Acciones y Valores SA – Preferred (Banks)		38

See accompanying notes to financial statements.

106

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)		Security Description	Value (000)
		Preferred Stocks (continued)
		Colombia (continued)
	3,110	Grupo de Inversiones Suramericana – Preferred (Diversified Financial Services)	$	34
				171
		Germany — 0.74%
	14,897	Bayerische Motoren Werke AG – Preferred (Automobiles)		1,246
	18,226	Henkel AG & Co. KGaA – Preferred (Household Products)		2,034
	41,663	Porsche Automobil Holding SE – Preferred (Automobiles)		2,242
	93,057	Volkswagen AG – Preferred (Automobiles)		13,433
				18,955
		Russia — 0.01%
	52	AK Transneft OAO – Preferred (Oil, Gas & Consumable Fuels)		139
	213,400	Surgutneftegas – Preferred (Oil, Gas & Consumable Fuels)		129
				268
		South Korea — 0.04%
	289	Amorepacific Corp. – Preferred (Personal Products)		56
	1,262	Hyundai Motor Co. Ltd. – Preferred (Automobiles)		112
	802	Hyundai Motor Co. Ltd. – Preferred (Automobiles)		70
	257	LG Chem Ltd. – Preferred (Chemicals)		54
	660	Samsung Electronics Co. Ltd. – Preferred (Technology Hardware, Storage & Peripherals)		611
				903
		Total Preferred Stocks		21,748
		Rights — 0.00%
		Brazil — 0.00%
	774	Banco Bradesco SA (Banks) (a)		—
	2,627	Banco Bradesco SA Preference (Banks) (a)		2
				2
		Hong Kong — 0.00%
	73,000	Gcl-Poly Energy Holdings Ltd. (Semiconductors & Semiconductor Equipment) (a)		—
		South Korea — 0.00%
	1,598	BNK Financial Group, Inc., Class – R (Banks) (a)		2
		Total Rights		4
		Contingent Right — 0.00%
		Singapore — 0.00%
	33,742	Ascendas Real Estate Investment Trust (Real Estate Investment Trusts) (a)		1
		Total Contingent Right		1
		U.S. Treasury Obligation — 0.00%
$	45	U.S. Treasury Bill, 0.03%, 2/25/16 (d)(e)		45
		Total U.S. Treasury Obligation		45

Shares or Principal Amount (000)		Security Description	Value (000)
		Time Deposit — 0.72%
$	18,425	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16	$	18,425
		Total Time Deposit		18,425
		Mutual Funds — 4.70%
	694,000	Dreyfus Treasury Prime Cash Management Fund, 0.00% (f)		694
	3,693,000	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (g)		3,693
	3,306,878	HC Capital Trust – The Emerging Markets Portfolio		46,263
	344,202	iShares MSCI India ETF		9,466
	57,982,000	SSgA Treasury Money Market Fund, 0.00% (f)		57,982
	2,707,000	SSgA U.S. Government Money Market Fund, 0.00% (f)		2,707
		Total Mutual Funds		120,805
		Repurchase Agreement — 0.46%
$	11,859	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $11,859,324 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $12,095,973)^^		11,859
		Total Repurchase Agreement		11,859
		Total Investments (cost $2,656,333) — 99.94%		2,570,901
		Other assets in excess of liabilities — 0.06%		1,593
		Net Assets — 100.00%	$	2,572,494

Amounts designated as “—” are $0 or have been rounded to $0.

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $14,664 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) These securities have been deemed illiquid by the Specialist Manager and represent 0.01% of the Portfolio.

(c) Represents a security purchased under Rule 144A or Section 4(2) and is exempt from registration under the Securities Act of 1933, as amended, or is otherwise restricted to resale. Certain of these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities have been deemed liquid by the Specialist Manager.

(d) Rate disclosed represents effective yield at purchase.

(e) All or part of this security has been pledged as collateral for derivative instruments held by the Portfolio.

(f) The rate disclosed is the rate in effect on December 31, 2015.

See accompanying notes to financial statements.

107

HC CAPITAL TRUST

The Institutional International Equity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

(g) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

ETF — Exchange Traded Fund

FDR — Fiduciary Depositary Receipt

GDR — Global Depositary Receipt

NVDR — Non-Voting Depository Receipt

REIT — Real Estate Investment Trust

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Institutional International Equity Portfolio	Artisan Partners LP			Cadence Capital Management, LLC			Capital Guardian Trust Company			Causeway Capital Management LLC			Lazard Asset Management LLC			Mellon Capital Management Corporation			Parametric Portfolio Associates, LLC			HC Capital Solutions			Total
Common Stocks		7.73	%		59.04	%		2.28	%		9.59	%		10.77	%		3.80	%		—			—			93.21	%
Preferred Stocks		0.08	%		0.36	%		—			0.30	%		—			0.11	%		—			—			0.85	%
Rights		—			—			—			—			—			0.00	%		—			—			0.00	%
Contingent Right		—			0.00	%		—			—			—			—			—			—			0.00	%
U.S. Treasury Obligation		—			—			—			—			—			0.00	%		—			—			0.00	%
Time Deposit		0.42	%		—			0.10	%		0.20	%		—			—			—			—			0.72	%
Mutual Funds		0.01	%		0.10	%		0.00	%		0.05	%		0.10	%		0.39	%		2.25	%		1.80	%		4.70	%
Repurchase Agreement		0.05	%		0.21	%		0.01	%		0.14	%		—			0.05	%		—			—			0.46	%
Other Assets (Liabilities)		-0.09	%		0.20	%		0.00	%		-0.16	%		0.03	%		-0.05	%		0.08	%		0.05	%		0.06	%
Total Net Assets		8.20	%		59.91	%		2.39	%		10.12	%		10.90	%		4.30	%		2.33	%		1.85	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	695	Mini MSCI EAFE Index Future	$	59,012		3/18/16	$	1,513
	9	Mini MSCI Emerging Markets Index Future		354		3/18/16		1
		Net Unrealized Appreciation/(Depreciation)					$	1,514

^ Cash has been pledged as collateral for futures contracts held by the Portfolio.

See accompanying notes to financial statements.

108

HC CAPITAL TRUST

The Emerging Markets Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks — 77.05%
		Brazil — 5.04%
	3,821,600	Ambev SA (Beverages)	$	17,248
	1,120,500	BB Seguridade Participacoes SA (Insurance)		6,893
	1,997,900	BM&FBOVESPA SA (Diversified Financial Services)		5,501
	1,344,550	Cia de Saneamento Basico do Estado de Sao Paulo SABESP, ADR (Water Utilities)		6,185
	1,148,300	Cia Hering (Specialty Retail)		4,416
	1,238,898	Companhia Vale do Rio Doce, ADR (Metals & Mining)		3,159
	401,700	CPFL Energia SA (Electric Utilities) (a)		1,542
	810,300	Cyrela Brazil Realty SA Empreendimentos (Household Durables)		1,537
	3,115,000	Duratex SA (Paper & Forest Products)		4,647
	1,587,665	Gerdau SA, ADR (Metals & Mining)		1,905
	580,500	Hypermarcas SA (Personal Products) (a)		3,187
	1,193,982	Itau Unibanco Holding SA, ADR (Banks)		7,772
	401,305	Itau Unibanco Holding SA (Banks)		2,672
	4,188,926	Magnesita Refratarios SA (Construction Materials) (a)(b)		3,072
	1,262,000	Mills Estruturas e Servicos de Engenharia SA (Trading Companies & Distributors) (a)		849
	538,700	Natura Cosmeticos SA (Personal Products)		3,199
	1,988,634	Petroleo Brasileiro SA, ADR (Oil, Gas & Consumable Fuels)^(a)		8,551
	655,839	Telefonica Brasil SA, ADR (Diversified Telecommunication Services)		5,922
	133,000	Transmissora Alianca de Energia Eletrica SA (Electric Utilities)		563
				88,820
		Chile — 1.14%
	27,808	Banco de Credito e Inversiones SA (Banks)		1,050
	2,522,229	Cencosud SA (Food & Staples Retailing)		5,042
	2,846,900	Empresa Nacional de Electricidad SA (Independent Power and Renewable Electricity Producers)		3,534
	593,036	Empresa Nacional de Telecomunicaciones SA (Wireless Telecommunication Services) (b)		5,313
	16,545,744	Enersis SA (Electric Utilities)		3,999
	764,500	Vina Concha y Toro SA (Beverages)		1,147
				20,085
		China — 19.89%
	22,526,000	Agricultural Bank of China Ltd., H Shares (Banks)		9,167
	2,588,500	Anhui Conch Cement Co. Ltd., H Shares (Construction Materials)		6,919
	32,824,100	Bank of China Ltd., H Shares (Banks)		14,566
	9,912,000	Bank of Communications Co. Ltd., H Shares (Banks)		6,951
	3,295,500	Baoxin Auto Group Ltd. (Specialty Retail)^		2,051
	3,144,000	Brilliance China Automotive Holdings Ltd. (Automobiles)		3,932
	28,944,000	China Communications Services Corp. Ltd., H Shares (Diversified Telecommunication Services) (b)		10,827
	56,244,350	China Construction Bank Corp., H Shares (Banks)		38,369

Shares		Security Description	Value (000)
		China (continued)
	2,879,000	China Everbright Bank Co. Ltd., H Shares (Banks)	$	1,394
	2,244,000	China Life Insurance Co. Ltd., H Shares (Insurance)		7,204
	4,788,500	China Merchants Bank Co. Ltd., H Shares (Banks)		11,209
	133,862	China Mobile Ltd., ADR (Wireless Telecommunication Services)		7,540
	2,481,500	China Mobile Ltd. (Wireless Telecommunication Services)		27,933
	9,933,400	China Petroleum & Chemical Corp., H Shares (Oil, Gas & Consumable Fuels)		5,965
	1,457,500	China Railway Construction Corp. Ltd., H Shares (Construction & Engineering)		1,794
	10,458,000	China Resources Cement Holdings Ltd. (Construction Materials)^		3,195
	7,894,143	China Resources Power Holdings Co. Ltd. (Independent Power and Renewable Electricity Producers)		15,273
	7,445,000	China Shenhua Energy Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)		11,626
	1,458,800	China Vanke Co. Ltd., H Shares (Real Estate Management & Development)^		4,336
	2,742,500	China Zhentong Auto Services Holdings Ltd. (Specialty Retail)		1,259
	2,612,000	Chongqing Rural Commercial Bank Co. Ltd., H Shares (Banks)		1,569
	15,281,000	CNOOC Ltd. (Oil, Gas & Consumable Fuels)		15,906
	13,639,780	Cosco Pacific Ltd. (Transportation Infrastructure) (b)		14,994
	6,294,000	Country Garden Holdings Co. (Real Estate Management & Development)		2,565
	1,960,000	Galaxy Entertainment Group Ltd. (Hotels, Restaurants & Leisure)		6,142
	7,201,324	Guangzhou Automobile Group Co. Ltd., H Shares (Automobiles)		6,398
	57,591,440	Industrial & Commercial Bank of China Ltd., H Shares (Banks)		34,523
	2,704,000	Jiangsu Expressway Co. Ltd., H Shares (Transportation Infrastructure)		3,629
	4,331,000	Lee & Man Paper Manufacturing Ltd. (Paper & Forest Products)		2,409
	12,048,000	Lianhua Supermarket Holdings Ltd., H Shares (Food & Staples Retailing)^(a)(b)		5,226
	58,110,737	Parkson Retail Group Ltd. (Multiline Retail) (b)		7,547
	7,418,000	PetroChina Co. Ltd., H Shares (Oil, Gas & Consumable Fuels)		4,856
	1,616,000	Ping An Insurance Group Co. of China (Insurance)		8,912
	6,975,000	Shanghai Industrial Holdings Ltd. (Industrial Conglomerates) (b)		18,209
	1,550,500	Shimao Property Holdings Ltd. (Real Estate Management & Development)		2,733
	2,005,000	Soho China Ltd. (Real Estate Management & Development)		968
	9,709,000	Weichai Power Co. Ltd. (Machinery)		10,692
	16,696,000	West China Cement Ltd. (Construction Materials)		3,434

See accompanying notes to financial statements.

109

HC CAPITAL TRUST

The Emerging Markets Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		China (continued)
	5,573,000	Wumart Stores, Inc., H Shares (Food & Staples Retailing)*^(a)	$	4,428
	3,230,000	Zhejiang Expressway Co. Ltd., H Shares (Transportation Infrastructure)		3,859
				350,509
		Colombia — 0.17%
	8,455,436	Ecopetrol SA (Oil, Gas & Consumable Fuels)		2,961
		Egypt — 0.25%
	923,125	Commercial International Bank Egypt SAE (Banks)		4,491
		Hong Kong — 1.39%
	10,006,000	Belle International Holdings Ltd. (Textiles, Apparel & Luxury Goods)		7,487
	6,537,337	Evergrande Real Estate Group Ltd. (Real Estate Management & Development)^		5,723
	2,038,000	Far East Horizon Ltd. (Diversified Financial Services)		1,888
	4,256,000	Franshion Properties China Ltd. (Real Estate Management & Development)		1,450
	1,110,800	Guangzhou R&F Properties Co. Ltd., H Shares (Real Estate Management & Development)		1,362
	1,911,283	NWS Holdings Ltd. (Industrial Conglomerates)		2,853
	3,881,000	Sino-Ocean Land Holdings Ltd. (Real Estate Management & Development)		2,475
	7,956,000	Yuexiu Property Co. Ltd. (Real Estate Management & Development)		1,370
				24,608
		Hungary — 0.84%
	70,440	MOL Hungarian Oil & Gas PLC (Oil, Gas & Consumable Fuels)		3,445
	276,078	OTP Bank Nyrt PLC (Banks)		5,692
	296,830	Richter Gedeon Nyrt (Pharmaceuticals)		5,618
				14,755
		India — 8.50%
	35,800	ACC Ltd. (Construction Materials)		734
	547,500	Ambuja Cements Ltd. (Construction Materials)		1,674
	131,700	Bajaj Auto Ltd. (Automobiles)		5,025
	4,973,565	Bank of India (Banks)		8,593
	273,500	Bharat Pertoleum Corp. Ltd. (Oil, Gas & Consumable Fuels)		3,674
	687,070	Cairn India Ltd. (Oil, Gas & Consumable Fuels)		1,429
	8,842,285	Chennai Super Kings Cricket Ltd. (Media) (a)		301
	1,043,800	Coal India Ltd. (Oil, Gas & Consumable Fuels)		5,179
	242,800	GAIL India Ltd. (Gas Utilities)		1,373
	3,058,736	ICICI Bank Ltd. (Banks)		12,081
	7,514,705	India Cements Ltd. (Construction Materials) (a)		10,955
	301,888	Infosys Ltd. (IT Services)		5,031
	1,542,165	ITC Ltd. (Tobacco)		7,626
	3,928,513	NMDC Ltd. (Metals & Mining)		5,318

Shares		Security Description	Value (000)
		India (continued)
	4,530,313	NTPC Ltd. (Independent Power and Renewable Electricity Producers)	$	9,990
	1,176,490	Oil & Natural Gas Corp. Ltd. (Oil, Gas & Consumable Fuels)		4,291
	186,800	Oil India Ltd. (Oil, Gas & Consumable Fuels)		1,080
	1,458,111	Oriental Bank of Commerce (Banks)		3,079
	2,473,086	Power Grid Corp. of India Ltd. (Electric Utilities)		5,263
	2,120,259	Punjab National Bank (Banks)		3,687
	1,224,811	Reliance Industries Ltd. (Oil, Gas & Consumable Fuels) (c) (d)		18,754
	1,501,159	Rolta India Ltd. (IT Services)		2,267
	228,304	Rural Electrification Corp. Ltd. (Diversified Financial Services)		778
	999,100	Sesa Sterlite Ltd. (Metals & Mining)		1,352
	3,197,750	State Bank of India (Banks)		10,807
	5,802,442	Steel Authority of India Ltd. (Metals & Mining)		4,218
	156,024	Tata Consultancy Services Ltd. (IT Services)		5,736
	852,200	Tata Power Co. Ltd. (Electric Utilities)		871
	91,938	Vedanta Ltd., ADR (Metals & Mining)		511
	953,300	Wipro Ltd. (IT Services)		8,035
				149,712
		Indonesia — 1.33%
	12,646,100	PT Astra International Tbk (Automobiles)		5,449
	5,715,800	PT Bank Rakyat Indonesia Persero Tbk (Banks)		4,693
	772,200	PT Indocement Tunggal Prakarsa Tbk (Construction Materials)		1,239
	4,449,600	PT Indofood Sukses Makmur Tbk (Food Products)		1,657
	5,648,000	PT Perusahaan Gas Negara Tbk (Gas Utilities)		1,114
	1,554,700	PT Semen Gresik (Persero) Tbk (Construction Materials)		1,274
	26,009,350	PT Telekomunikasi Indonesia Persero Tbk (Diversified Telecommunication Services)		5,827
	1,724,700	PT United Tractors Tbk (Machinery)		2,101
				23,354
		Malaysia — 1.64%
	1,277,400	AMMB Holdings Berhad (Banks)		1,345
	942,887	Berjaya Sports Toto Berhard (Hotels, Restaurants & Leisure)		670
	5,315,315	CIMB Group Holdings Berhad (Banks)		5,609
	1,724,100	Felda Global Ventures Holdings Berhad (Food Products)		684
	4,013,800	IOI Corp. Berhad (Food Products)		4,161
	298,700	Lafarge Malayan Cement Berhad (Construction Materials)		618
	2,894,514	Malayan Banking Berhad (Banks)		5,658
	1,310,400	Maxis Berhad (Wireless Telecommunication Services)		2,072
	2,991,600	Sime Darby Berhad (Industrial Conglomerates)		5,380
	813,900	UMW Holdings Berhad (Automobiles)		1,490

See accompanying notes to financial statements.

110

HC CAPITAL TRUST

The Emerging Markets Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Malaysia (continued)
	2,695,600	YTL Corp. Berhad (Multi-Utilities)	$	984
	879,500	YTL Power International Berhad (Multi-Utilities)		303
				28,974
		Mexico — 2.91%
	1,736,629	Alpek SA de CV (Chemicals)		2,438
	8,998,100	America Movil SAB de CV (Wireless Telecommunication Services)		6,330
	716,700	Coca-Cola FEMSA SAB de CV, Series L (Beverages)		5,154
	921,600	Compartamos SAB de CV (Consumer Finance)		1,784
	2,632,900	Consorcio ARA SAB de CV (Household Durables)		914
	1,984,200	Fibra Uno Amdinistracion SA (Real Estate Investment Trusts)		4,375
	357,705	Grupo Aeroportuario del Sureste SAB de CV, Class – B (Transportation Infrastructure)		5,064
	1,027,206	Grupo Financiero Santander Mexico SAB de CV – Sponsored ADR, Class – B (Banks)		8,906
	3,012,445	Grupo Mexico SAB de CV, Series B (Metals & Mining)		6,433
	2,692,700	Kimberly-Clark de Mexico SAB de CV, A Shares (Household Products)		6,310
	449,905	Telesites SAB (Diversified Telecommunication Services)^(a)		293
	186,006	Volaris Aviation Holding Co., ADR (Airlines) (a)		3,192
				51,193
		Peru — 0.32%
	58,100	Credicorp Ltd. (Banks)		5,654
		Philippines — 0.60%
	2,091,820	Aboitiz Equity Ventures, Inc. (Industrial Conglomerates)		2,567
	1,280,500	Aboitiz Power Corp. (Independent Power and Renewable Electricity Producers)		1,135
	3,545,200	Alliance Global Group, Inc. (Industrial Conglomerates)		1,209
	6,948,000	DMCI Holdings, Inc. (Industrial Conglomerates)		2,032
	84,400	Philippine Long Distance Telephone Co. (Wireless Telecommunication Services)		3,691
				10,634
		Poland — 1.58%
	28,500	Bank Handlowy w Warszawie SA (Banks)		522
	115,600	Bank Pekao SA (Banks)		4,230
	177,500	Energa SA (Electric Utilities)		572
	1,475,693	Powszechna Kasa Oszczednosci Bank Polski SA (Banks) (a)		10,268
	1,272,711	Powszechny Zaklad Ubezpieczen SA (Insurance)		10,999
	461,400	Synthos SA (Chemicals)		447
	484,500	Telekomunikacja Polska SA (Diversified Telecommunication Services)		812
				27,850

Shares		Security Description	Value (000)
		Qatar — 0.50%
	50,800	Doha Bank QSC (Banks)	$	619
	238,055	Industries Qatar QSC (Industrial Conglomerates)		7,241
	69,900	The Commercial Bank of Qatar QSC (Banks)		878
				8,738
		Russia — 2.17%
	1,783,162	Gazprom OAO, GDR (Oil, Gas & Consumable Fuels) (b)		6,544
	206,238	Lukoil PJSC, ADR (Oil, Gas & Consumable Fuels)		6,676
	314,719	Lukoil PJSC, ADR (Oil, Gas & Consumable Fuels)		10,224
	347,950	MegaFon OAO, GDR (Wireless Telecommunication Services) (c) (d)		4,048
	604,914	Rosneft Oil Co. OJSC, Registered Shares, GDR (Oil, Gas & Consumable Fuels) (c) (d)		2,109
	1,176,989	Sberbank of Russia, ADR (Banks)		6,905
	202,664	Severstal, Registered Shares, GDR (Metals & Mining)		1,693
				38,199
		South Africa — 3.42%
	92,300	African Rainbow Minerals Ltd. (Metals & Mining)		260
	770,893	Barclays Africa Group Ltd. (Banks)		7,159
	195,200	Coronation Fund Managers Ltd. (Capital Markets)		669
	249,400	Exxaro Resources Ltd. (Oil, Gas & Consumable Fuels)^		709
	2,149,263	FirstRand Ltd. (Diversified Financial Services)		5,879
	1,972,966	Growthpoint Properties Ltd. (Real Estate Investment Trusts)		2,964
	423,000	Hyprop Investments Ltd. (Real Estate Investment Trusts)		2,834
	786,510	Imperial Holdings Ltd. (Distributors)		6,103
	88,443	Liberty Holdings Ltd. (Insurance)		659
	1,590,900	Life Healthcare Group Holdings Ltd. (Health Care Providers & Services)		3,615
	949,100	MMI Holdings Ltd. (Insurance)		1,347
	508,130	MTN Group Ltd. (Wireless Telecommunication Services)		4,381
	528,100	Nampak Ltd. (Containers & Packaging)		850
	5,894,906	Redefine Properties Ltd. (Real Estate Investment Trusts)		3,704
	450,500	Resilient REIT Ltd. (Real Estate Investment Trusts)		3,355
	253,319	Sasol Ltd. (Oil, Gas & Consumable Fuels)		6,846
	680,358	Standard Bank Group Ltd. (Banks)		4,992
	677,100	Truworths International Ltd. (Specialty Retail)		3,995
				60,321
		South Korea — 13.89%
	90,800	Coway Co. Ltd. (Household Durables)		6,467
	78,600	Daewoo International Corp. (Trading Companies & Distributors)		1,083
	153,300	Daewoo Securities Co. Ltd. (Capital Markets)		1,214

See accompanying notes to financial statements.

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Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		South Korea (continued)
	111,493	DGB Financial Group, Inc. (Banks)	$	950
	36,300	Dongbu Insurance Co. Ltd. (Insurance)		2,172
	10,440	Doosan Corp. (Industrial Conglomerates)		785
	47,090	E-Mart Co. Ltd. (Food & Staples Retailing)		7,558
	86,700	GS Holdings Corp. (Oil, Gas & Consumable Fuels)		3,716
	64,100	Halla Climate Control Corp. (Auto Components)		2,816
	236,389	Hana Financial Group, Inc. (Banks)		4,725
	18,600	Hyosung Corp. (Chemicals)		1,840
	175,123	Hyundai Engineering & Construction Co. Ltd. (Construction & Engineering)		4,205
	51,541	Hyundai Marine & Fire Insurance Co. Ltd. (Insurance)		1,580
	50,959	Hyundai Mobis Co. Ltd. (Auto Components)		10,664
	155,864	Hyundai Motor Co. Ltd. (Automobiles)		19,662
	215,300	Industrial Bank of Korea (Banks)		2,252
	192,700	Kangwon Land, Inc. (Hotels, Restaurants & Leisure)		6,291
	318,511	KB Financial Group, Inc., ADR (Banks) (a)		8,877
	564,531	KB Financial Group, Inc. (Banks)		15,907
	33,400	KEPCO Plant Service & Engineering Co. Ltd. (Commercial Services & Supplies)		2,527
	202,981	Kia Motors Corp. (Automobiles)		9,053
	415,778	Korea Electric Power Corp., ADR (Electric Utilities) (a)		8,802
	11,400	Korea Kumho Petrochemical Co. Ltd. (Chemicals)		500
	181,700	Korea Life Insurance Co. Ltd. (Insurance)		1,145
	243,230	KT Corp., ADR (Diversified Telecommunication Services) (a)		2,897
	177,834	KT Corp. (Diversified Telecommunication Services)		4,262
	94,964	KT&G Corp. (Tobacco)		8,441
	19,543	LG Chem Ltd. (Chemicals)		5,396
	520,712	LG Display Co. Ltd. (Electronic Equipment, Instruments & Components)		10,787
	94,450	LG Electronics, Inc. (Household Durables)		4,295
	42,841	Lotte Shopping Co. Ltd. (Multiline Retail)		8,430
	25,271	LS Corp. (Electrical Equipment)		859
	24,900	LS Industrial Systems Co. Ltd. (Electrical Equipment)		970
	67,662	POSCO (Metals & Mining)		9,480
	67,298	POSCO, ADR (Metals & Mining)		2,380
	28,900	Samsung Card Co. Ltd. (Consumer Finance)		757
	35,802	Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals)		38,194
	428,758	Shinhan Financial Group Co. Ltd. (Banks)		14,405
	16,609	Shinsegae Co. Ltd. (Multiline Retail)		3,232
	7,928	SK Telecom Co. Ltd. (Wireless Telecommunication Services)		1,451
	492,954	Woori Bank (Banks)		3,688
				244,715
		Taiwan — 8.52%
	7,459,000	Advanced Semiconductor Engineering, Inc. (Semiconductors & Semiconductor Equipment)		8,570

Shares		Security Description	Value (000)
		Taiwan (continued)
	1,405,971	Asia Cement Corp. (Construction Materials)	$	1,170
	602,000	Asustek Computer, Inc. (Technology Hardware, Storage & Peripherals)		4,972
	752,000	Casetek Holdings Ltd. (Technology Hardware, Storage & Peripherals)		3,055
	2,122,000	Cheng Shin Rubber Industry Co. Ltd. (Auto Components)		3,430
	586,920	Chicony Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals)		1,284
	8,985,000	China Development Financial Holding Corp. (Banks)		2,242
	701,000	China Motor Corp. (Automobiles)		461
	2,140,000	Chunghwa Telecom Co. Ltd. (Diversified Telecommunication Services)		6,448
	15,260,000	Compal Electronics, Inc. (Technology Hardware, Storage & Peripherals)		8,541
	778,000	CTCI Corp. (Construction & Engineering)		846
	1,036,000	Far EasTone Telecommunications Co. Ltd. (Wireless Telecommunication Services)		2,130
	979,000	Formosa Taffeta Co. Ltd. (Textiles, Apparel & Luxury Goods)		890
	3,085,996	Fubon Financial Holding Co. Ltd. (Diversified Financial Services)		4,198
	1,000	Grand Pacific Petrochemical Corp. (Chemicals)		—
	492,700	Highwealth Construction Corp. (Real Estate Management & Development)		566
	3,624,763	Hon Hai Precision Industry Co. Ltd. (Electronic Equipment, Instruments & Components)		8,872
	874,000	HTC Corp. (Technology Hardware, Storage & Peripherals)		2,065
	3,022,000	Inventec Corp. (Technology Hardware, Storage & Peripherals)		1,970
	362,000	Kinsus Interconnect Technology Corp. (Semiconductors & Semiconductor Equipment)		732
	2,658,779	Lite-On Technology Corp. (Technology Hardware, Storage & Peripherals)		2,565
	1,161,962	MediaTek, Inc. (Semiconductors & Semiconductor Equipment)		8,790
	6,290,477	Mega Financial Holding Co. Ltd. (Banks)		4,056
	1,367,740	Nan Ya Printed Circuit Board Corp. (Electronic Equipment, Instruments & Components)		1,388
	746,000	Novatek Microelectronics Corp. (Semiconductors & Semiconductor Equipment)		2,905
	2,076,000	Pegatron Corp. (Technology Hardware, Storage & Peripherals)		4,516
	1,620	Pou Chen Corp. (Textiles, Apparel & Luxury Goods)		2
	867,000	Powertech Technology, Inc. (Semiconductors & Semiconductor Equipment)		1,710
	2,426,000	Quanta Computer, Inc. (Technology Hardware, Storage & Peripherals)		3,893
	2,168,150	Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment)		4,935
	542,000	Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment)		1,291
	449,000	Ruentex Development Co. Ltd. (Real Estate Management & Development)		584
	691,000	Ruentex Industries Ltd. (Textiles, Apparel & Luxury Goods)		1,285

See accompanying notes to financial statements.

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Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares		Security Description	Value (000)
		Common Stocks (continued)
		Taiwan (continued)
	34,791,969	Shin Kong Financial Holding Co. Ltd. (Insurance)	$	7,539
	3,855,000	Siliconware Precision Industries Co. (Semiconductors & Semiconductor Equipment)		6,089
	1,664,000	Simplo Technology Co. Ltd. (Electronic Equipment, Instruments & Components)		5,286
	1,585,000	Synnex Technology International Corp. (Electronic Equipment, Instruments & Components)		1,538
	2,126,000	Taiwan Cement Corp. (Construction Materials)		1,760
	522,000	Taiwan Fertilizer Co. Ltd. (Chemicals)		682
	1,096,000	Taiwan Mobile Co. Ltd. (Wireless Telecommunication Services)		3,329
	2,233,000	Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment)		9,634
	91,173	Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Semiconductors & Semiconductor Equipment)		2,074
	252,000	Transcend Information, Inc. (Semiconductors & Semiconductor Equipment)		655
	559,000	U-Ming Marine Transport Corp. (Marine)		451
	3,018,633	United Microelectronics Corp., ADR (Semiconductors & Semiconductor Equipment) (b)		5,675
	1,012,000	Vanguard International Semiconductor Corp. (Semiconductors & Semiconductor Equipment)		1,307
	698,000	Wan Hai Lines Ltd. (Marine)		385
	3,099,878	Wistron Corp. (Technology Hardware, Storage & Peripherals)		1,739
	1,765,000	WPG Holdings Ltd. (Electronic Equipment, Instruments & Components)		1,676
				150,181
		Thailand — 1.66%
	488,300	Advanced Info Service Public Co. Ltd. (Wireless Telecommunication Services)		2,055
	2,590,000	Bangkok Bank Public Co. Ltd. – Foreign Registered Shares (Banks)		11,064
	252,800	Bangkok Bank Public Co. Ltd. – NVDR (Banks)		1,067
	1,107,000	Banpu Public Co. Ltd., Registered Shares (Oil, Gas & Consumable Fuels)		490
	927,700	BEC World Public Co. Ltd. (Media)		783
	5,442,800	BTS Group Holdings PCL (Road & Rail)		1,374
	464,500	Delta Electronics (Thailand) Public Co. Ltd. (Electronic Equipment, Instruments & Components)		982
	246,600	Glow Energy Public Co. Ltd. (Independent Power and Renewable Electricity Producers)		504
	1,644,700	Krung Thai Bank Public Co. Ltd. – NVDR (Banks)		759
	1,195,775	PTT Exploration & Production Public Co. Ltd. (Oil, Gas & Consumable Fuels)		1,897
	764,842	PTT Global Chemical Public Co. Ltd. (Chemicals)		1,058

Shares		Security Description	Value (000)
		Thailand (continued)
	727,600	Siam Commercial Bank Public Co. Ltd. – NVDR (Banks)	$	2,401
	2,688,400	Thai Oil Public Co. Ltd. (Oil, Gas & Consumable Fuels)		4,902
				29,336
		Turkey — 0.68%
	1,233,900	Eregli Demir ve Celik Fabrikalari TAS (Metals & Mining)		1,284
	1	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS, Class – D (Metals & Mining)		—
	280,000	TAV Havalimanlari Holding A/S (Transportation Infrastructure)		1,746
	215,200	Tofas Turk Otomobil Fabrikasi A/S (Automobiles)		1,397
	442,600	Turk Telekomunikasyon A/S (Diversified Telecommunication Services)		828
	1,871,312	Turkiye Halk Bankasi A/S (Banks)		6,653
				11,908
		United Arab Emirates — 0.61%
	926,500	Abu Dhabi Commercial Bank PJSC (Banks)		1,653
	845,900	Dubai Islamic Bank (Banks)		1,416
	3,289,132	Emaar Properties PJSC (Real Estate Management & Development)		5,058
	770,200	First Gulf Bank PJSC (Banks)		2,644
				10,771
		Total Common Stocks		1,357,769
		Preferred Stocks — 1.95%
		Brazil — 0.95%
	3,116,300	Banco do Estado do Rio Grande do Sul SA – Preferred, B Shares (Banks)		4,618
	1,176,212	Companhia Energetica de Minas Gerais SA – Preferred, ADR (Electric Utilities)		1,823
	153,100	Companhia Paranaense de Energia-COPEL – Preferred, B Shares (Electric Utilities)		941
	2,287,600	Gerdau SA – Preferred (Metals & Mining)		2,690
	984,112	Itausa – Investimentos Itau SA – Preferred (Banks)		1,712
	2,882,800	Marcopolo SA – Preferred (Machinery)		1,348
	346,356	Metalurgica Gerdau SA – Preferred (Metals & Mining)		145
	4,187,500	Randon Participacoes SA – Preferred (Machinery) (b)		2,594
	104,700	Telefonica Brasil SA – Preferred (Diversified Telecommunication Services)		946
				16,817
		Colombia — 0.06%
	2,865,700	Grupo Aval Acciones y Valores SA – Preferred (Banks)		986
		South Korea — 0.94%
	62,900	Hyundai Motor Co. Ltd. – Preferred (Automobiles)		5,599
	40,300	Hyundai Motor Co. Ltd. – Preferred (Automobiles)		3,525
	8,007	Samsung Electronics Co. Ltd. – Preferred (Technology Hardware, Storage & Peripherals)		7,403
				16,527
		Total Preferred Stocks		34,330

See accompanying notes to financial statements.

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Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)		Security Description	Value (000)
		Time Deposit — 0.53%
$	9,313	State Street Liquidity Management Control System Eurodollar Time Deposit, 0.01%, 1/4/16	$	9,313
		Total Time Deposit		9,313
		Mutual Funds — 17.85%
	7,732,000	Federated Treasury Obligations Fund, Institutional Shares, 0.08% (e)		7,732
	2,591,163	iShares MSCI Emerging Markets Index Fund ETF^		83,409
	223,331,000	SSgA Treasury Money Market Fund, 0.00% (d)		223,331
		Total Mutual Funds		314,472
		Repurchase Agreement — 1.35%
$	23,798	Jefferies LLC, 0.40%, 1/4/16 (Purchased on 12/31/15, proceeds at maturity $23,799,017 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $24,273,918)^^		23,798
		Total Repurchase Agreement		23,798
		Total Investments (cost $2,103,933) — 98.73%		1,739,682
		Other assets in excess of liabilities — 1.27%		22,439
		Net Assets — 100.00%	$	1,762,121

Amounts designated as “—” are $0 or have been rounded to $0.

* Security was fair valued on December 31, 2015 and represents a Level 2 security. Refer to Note 2 in the Notes to Financial Statements.

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $29,738 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents non-income producing security.

(b) These securities have been deemed illiquid by the Specialist Manager and represent 4.05% of the Portfolio.

(c) Represents a security purchased under Rule 144A or Section 4(2) and is exempt from registration under the Securities Act of 1933, as amended, or is otherwise restricted to resale. Certain of these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities have been deemed liquid by the Specialist Manager.

(d) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(e) The rate disclosed is the rate in effect on December 31, 2015.

ADR — American Depositary Receipt

ETF — Exchange Traded Fund

GDR — Global Depositary Receipt

NVDR — Non-Voting Depository Receipt

REIT — Real Estate Investment Trust

See accompanying notes to financial statements.

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Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Emerging Markets Portfolio	Boston Company Asset Management, LLC			Mellon Capital Management Corporation			Parametric Portfolio Associates, LLC			Total
Common Stocks		39.14	%		37.91	%		—			77.05	%
Preferred Stocks		0.80	%		1.15	%		—			1.95	%
Time Deposit		0.53	%		—			—			0.53	%
Mutual Funds		1.73	%		0.17	%		15.95	%		17.85	%
Repurchase Agreement		1.03	%		0.32	%		—			1.35	%
Other Assets (Liabilities)		-1.00	%		1.43	%		0.84	%		1.27	%
Total Net Assets		42.23	%		40.98	%		16.79	%		100.00	%

The following table reflects the open derivative positions held by the Portfolio as of December 31, 2015.

Long Futures

Number of Contracts		Futures Contracts Positions^	Value (000)		Expiration		Unrealized Appreciation/ (Depreciation) (000)
	5,903	Mini MSCI Emerging Markets Index Future	$	232,431		3/18/16	$	2,447
		Net Unrealized Appreciation/(Depreciation)					$	2,447

See accompanying notes to financial statements.

115

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The Core Fixed Income Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Asset Backed Securities — 0.48%
$	25	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class A3		1.27		7/8/19	$	25
	20	Capital Auto Receivables Asset Trust, Series 2015-1, Class A4		1.86		10/21/19		20
	50	Capital One Multi-Asset Execution Trust, Series 2015-A1, Class A1		1.39		1/15/21		50
	20	CarMax Auto Owner Trust, Series 2014-2, Class A3		0.98		1/15/19		20
	100	Chase Issuance Trust (CHAIT), Series 2014-A7, Class A		1.38		11/15/19		100
	100	Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4		1.23		4/24/19		99
	20	Fifth Third Auto Trust, Series 2014-3, Class A4		1.47		5/17/21		20
	25	Honda Auto Receivables Owner Trust, Series 2014-4, Class A3		0.99		9/17/18		25
	20	Mercedes-Benz Auto Lease Trust, Series 2015-A, Class A4		1.21		10/15/20		20
	25	Santander Drive Auto Receivables Trust, Series 2014-3, Class C		2.13		8/17/20		25
	20	World Omni Auto Receivables Trust, Series 2014-A, Class A3		0.94		4/15/19		20
		Total Asset Backed Securities						424
		Collateralized Mortgage Obligations — 1.82%
	50	Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4		2.88		2/10/48		48
	20	Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5		3.14		2/10/48		20
	25	Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A4		3.62		7/10/47		26
	43	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4 (a)		6.14		9/10/17		45
	29	Commercial Mortgage Trust, Series 2013-CR8, Class A1		1.02		6/10/46		29
	20	Commercial Mortgage Trust, Series 2014-LC15, Class A2		2.84		4/10/47		20
	20	Commercial Mortgage Trust, Series 2014-CR15, Class A2		2.93		2/10/47		20
	50	Commercial Mortgage Trust, Series 2015-LC19, Class A4		3.18		2/10/48		49
	20	Commercial Mortgage Trust, Series 2015-DC1, Class A5		3.35		2/10/48		20
	50	Commercial Mortgage Trust, Series 2013-CR8, Class A5 (a)		3.61		6/10/46		51
	25	Commercial Mortgage Trust, Series 2014-UBS3, Class A4		3.82		6/10/47		26
	30	Commercial Mortgage Trust, Series 2014-CR15, Class A4 (a)		4.07		2/10/47		32
	25	Commercial Mortgage Trust, Series 2013-CR11, Class B (a)		5.16		10/10/46		27
	66	Fannie Mae-ACES, Series 2013-M14, Class APT (a)		2.50		4/25/23		66
	25	Fannie Mae-ACES, Series 2012-M4, Class 1A2		2.98		4/25/22		26
	50	Fannie Mae-ACES, Series K043, Class A2		3.06		12/25/24		50
	30	Fannie Mae-ACES, Series 2014-M9, Class A2 (a)		3.10		7/25/24		30
	44	Fannie Mae-ACES, Series K716, Class A2		3.13		6/25/21		46
	26	Fannie Mae-ACES, Series 2014-M3, Class AB2 (a)		3.46		1/25/24		27
	23	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class A1		2.08		12/25/19		23
	50	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K023, Class A2		2.31		8/25/22		49
	25	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.87		12/25/21		26
	17	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class A1		3.02		2/25/23		18
	30	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A2 (a)		3.06		7/25/23		31
	35	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class A2 (a)		3.31		5/25/23		36
	60	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class A2		3.87		4/25/21		64
	35	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K012, Class A2		4.19		12/25/20		38
	45	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A2		4.25		1/25/20		48
	20	GS Mortgage Securities Trust, Series 2014-GC20, Class A3		3.68		4/10/47		21
	25	GS Mortgage Securities Trust, Series 2013-GC14, Class A5		4.24		8/10/46		27
	25	JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class A5		3.64		11/15/47		25
	20	JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A5		3.77		8/15/47		21
	25	JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class A4		3.80		9/15/47		26
	50	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-C8, Class A3		2.83		10/15/45		49
	30	Mercedes-Benz Auto Receivables Trust, Series 15-1, Class A4 (a)		1.75		12/15/21		30
	14	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 (a)		5.84		11/12/16		14
	6	Morgan Stanley BAML Trust, Series 2013-C9, Class A1		0.83		5/15/46		6
	50	Morgan Stanley BAML Trust, Series 2013-C11, Class A2		3.09		8/15/46		51
	25	Morgan Stanley BAML Trust, Series 2015-C21, Class ASB		3.15		3/15/48		25
	20	Morgan Stanley BAML Trust, Series 2015-C20, Class A4		3.25		2/15/48		20
	25	Morgan Stanley BAML Trust, Series 2013-C9, Class AS		3.46		5/15/46		25

See accompanying notes to financial statements.

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The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Collateralized Mortgage Obligations (continued)
$	25	Morgan Stanley BAML Trust, Series 2014-C17, Class A5		3.74		8/15/47	$	26
	159	Morgan Stanley Capital I, Series 2007-IQ15, Class A4 (a)		5.92		7/11/17		164
	25	UBS Commercial Mortgage Trust, Series 2012-C1, Class AAB		3.00		5/10/45		25
	20	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A2		2.11		5/10/63		20
	30	UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5		2.85		12/10/45		29
	20	WF-RBS Commercial Mortgage Trust, Series 2012-C7, Class A1		2.30		6/15/45		20
		Total Collateralized Mortgage Obligations						1,615
		U.S. Government Agency Mortgages — 27.41%
	91	Fannie Mae, Pool #AS2673		2.00		5/1/29		90
	70	Fannie Mae, Pool #AS4946		2.50		5/1/30		70
	127	Fannie Mae, Pool #MA1277		2.50		12/1/27		129
	125	Fannie Mae, Pool #AP4742		2.50		8/1/27		127
	77	Fannie Mae, Pool #AU0293		2.50		8/1/28		78
	77	Fannie Mae, Pool #AU1660		2.50		7/1/28		78
	78	Fannie Mae, Pool #AU6677		2.50		9/1/28		79
	127	Fannie Mae, Pool #MA1210		2.50		9/1/49		130
	63	Fannie Mae, Pool #AB7391		2.50		12/1/42		61
	53	Fannie Mae, Pool #AY1861 (a)		2.72		1/1/45		54
	0	Fannie Mae, Pool #AY4200		3.00		5/1/45		0
	123	Fannie Mae, Pool #AJ3079		3.00		11/1/26		127
	119	Fannie Mae, Pool #AP6493		3.00		9/1/42		119
	0	Fannie Mae, Pool #AT2014		3.00		4/1/43		0
	83	Fannie Mae, Pool #AT0682		3.00		4/1/43		83
	116	Fannie Mae, Pool #AK0006		3.00		1/1/27		120
	113	Fannie Mae, Pool #AB7099		3.00		11/1/42		113
	21	Fannie Mae, Pool #AO7628		3.00		6/1/27		22
	142	Fannie Mae, Pool #AP2465		3.00		8/1/42		143
	193	Fannie Mae, Pool #AP6375		3.00		9/1/42		194
	92	Fannie Mae, Pool #AB4483		3.00		2/1/27		95
	83	Fannie Mae, Pool #AB8897		3.00		4/1/43		83
	138	Fannie Mae, Pool #AO0752		3.00		4/1/42		138
	25	Fannie Mae, Pool #AX7686		3.00		1/1/45		25
	47	Fannie Mae, Pool #MA2230		3.00		4/1/35		48
	42	Fannie Mae, Pool #AU3353		3.00		8/1/43		42
	48	Fannie Mae, Pool #MA2287		3.00		6/1/35		49
	113	Fannie Mae, Pool #MA1307		3.00		1/1/33		116
	82	Fannie Mae, Pool #AT2127		3.00		4/1/43		83
	93	Fannie Mae, Pool #MA2246		3.00		4/1/30		96
	87	Fannie Mae, Pool #AS0302		3.00		8/1/43		87
	73	Fannie Mae, Pool #AY2961		3.00		5/1/45		73
	68	Fannie Mae, Pool #AU8932		3.00		11/1/28		70
	190	Fannie Mae, Pool #AQ7920		3.00		12/1/42		190
	141	Fannie Mae, Pool #AQ0546		3.50		11/1/42		146
	237	Fannie Mae, Pool #AO8137		3.50		8/1/42		245
	156	Fannie Mae, Pool #AB6017		3.50		8/1/42		161
	90	Fannie Mae, Pool #AS3133		3.50		8/1/44		93
	86	Fannie Mae, Pool #AB2052		3.50		1/1/26		90
	49	Fannie Mae, Pool #MA1107		3.50		7/1/32		51
	79	Fannie Mae, Pool #MA1059		3.50		5/1/32		82
	200	Fannie Mae, Pool #AB4689		3.50		3/1/42		207
	49	Fannie Mae, Pool #AY3377		3.50		4/1/45		50
	23	Fannie Mae, Pool #AX0159		3.50		9/1/29		24
	69	Fannie Mae, Pool #AX9530		3.50		2/1/45		71
	141	Fannie Mae, Pool #AP9390		3.50		10/1/42		146

See accompanying notes to financial statements.

117

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	39	Fannie Mae, Pool #MA1921		3.50		6/1/34	$	40
	41	Fannie Mae, Pool #AT2673		3.50		4/1/43		43
	24	Fannie Mae, Pool #AJ1886		3.50		3/1/42		24
	43	Fannie Mae, Pool #AJ4867		3.50		1/1/42		44
	92	Fannie Mae, Pool #AS4771		3.50		4/1/45		95
	77	Fannie Mae, Pool #AS4772		3.50		4/1/45		80
	25	Fannie Mae, Pool #AS5596		3.50		8/1/45		26
	50	Fannie Mae, Pool #AZ0862		3.50		7/1/45		52
	90	Fannie Mae, Pool #MA2125		3.50		12/1/44		93
	55	Fannie Mae, Pool #AJ8476		3.50		12/1/41		57
	23	Fannie Mae, Pool #AX0103		3.50		8/1/29		24
	77	Fannie Mae, Pool #MA1980		3.50		8/1/44		80
	290	Fannie Mae, Pool #AO2548		3.50		4/1/42		299
	146	Fannie Mae, Pool #AL1717		3.50		5/1/27		154
	81	Fannie Mae, Pool #AX0841		4.00		9/1/44		86
	23	Fannie Mae, Pool #AZ1210		4.00		5/1/45		25
	81	Fannie Mae, Pool #AS3293		4.00		9/1/44		85
	31	Fannie Mae, Pool #AY9901		4.00		7/1/45		33
	40	Fannie Mae, Pool #AJ6153		4.00		11/1/41		42
	50	Fannie Mae, Pool #AS3975		4.00		12/1/44		53
	137	Fannie Mae, Pool #AJ7689		4.00		12/1/41		145
	169	Fannie Mae, Pool #AI8534		4.00		8/1/41		179
	114	Fannie Mae, Pool #AJ5303		4.00		11/1/41		121
	44	Fannie Mae, Pool #AU8849		4.00		11/1/43		46
	86	Fannie Mae, Pool #AS3903		4.00		11/1/44		91
	93	Fannie Mae, Pool #AS3467		4.00		10/1/44		98
	28	Fannie Mae, Pool #AS3638		4.00		10/1/44		30
	84	Fannie Mae, Pool #AS3468		4.00		10/1/44		89
	60	Fannie Mae, Pool #AS3452		4.00		9/1/44		64
	84	Fannie Mae, Pool #AC7328		4.00		12/1/39		89
	76	Fannie Mae, Pool #MA0534		4.00		10/1/30		81
	26	Fannie Mae, Pool #AV0606		4.00		11/1/43		28
	76	Fannie Mae, Pool #AH5859		4.00		2/1/41		80
	131	Fannie Mae, Pool #AH6242		4.00		4/1/26		138
	74	Fannie Mae, Pool #AO2959		4.00		5/1/42		78
	75	Fannie Mae, Pool #AX7289		4.00		12/1/44		79
	112	Fannie Mae, Pool #AI1186		4.00		4/1/41		119
	336	Fannie Mae, Pool #190405		4.00		10/1/40		358
	22	Fannie Mae, Pool #745278		4.50		6/1/19		22
	55	Fannie Mae, Pool #AA9781		4.50		7/1/24		60
	26	Fannie Mae, Pool #930998		4.50		4/1/29		28
	24	Fannie Mae, Pool #829106		4.50		10/1/20		25
	14	Fannie Mae, Pool #735646		4.50		7/1/20		15
	27	Fannie Mae, Pool #AI8104		4.50		6/1/41		29
	36	Fannie Mae, Pool #AH7521		4.50		3/1/41		38
	35	Fannie Mae, Pool #AU9017		4.50		9/1/43		38
	82	Fannie Mae, Pool #AS2751		4.50		6/1/44		88
	87	Fannie Mae, Pool #AS2337		4.50		5/1/44		94
	236	Fannie Mae, Pool #AL1107		4.50		11/1/41		255
	82	Fannie Mae, Pool #AI1888		4.50		5/1/41		88
	15	Fannie Mae, Pool #MA0481		4.50		8/1/30		16
	35	Fannie Mae, Pool #AE4314		4.50		9/1/40		37
	214	Fannie Mae, Pool #AE0217		4.50		8/1/40		231
	22	Fannie Mae, Pool #AB0339		4.50		1/1/20		23
	103	Fannie Mae, Pool #AE0954		4.50		2/1/41		112

See accompanying notes to financial statements.

118

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	26	Fannie Mae, Pool #AE0945		5.00		12/1/20	$	27
	55	Fannie Mae, Pool #725027		5.00		11/1/33		61
	51	Fannie Mae, Pool #725238		5.00		3/1/34		57
	18	Fannie Mae, Pool #890603		5.00		8/1/41		20
	43	Fannie Mae, Pool #AH5988		5.00		3/1/41		47
	235	Fannie Mae, Pool #889117		5.00		10/1/35		259
	151	Fannie Mae, Pool #890221		5.50		12/1/33		169
	38	Fannie Mae, Pool #AD0527		5.50		6/1/39		42
	53	Fannie Mae, Pool #959451		6.00		12/1/37		60
	116	Fannie Mae, Pool #725228		6.00		3/1/34		133
	52	Fannie Mae, Pool #889984		6.50		10/1/38		60
	70	Fannie Mae, Pool #AE0442		6.50		1/1/39		80
	13	Fannie Mae, Pool #888596		6.50		7/1/37		14
	41	Fannie Mae, Pool #AL0583		6.50		10/1/39		47
	75	Fannie Mae, 15 YR TBA		3.00		1/25/30		77
	200	Fannie Mae, 30 YR TBA		3.00		1/25/46		200
	25	Fannie Mae, 30 YR TBA		3.50		2/25/46		26
	375	Fannie Mae, 30 YR TBA		3.50		1/25/46		388
	67	Freddie Mac, Pool #J25686		2.00		9/1/28		66
	53	Freddie Mac, Pool #849138 (a)		2.42		10/1/43		54
	47	Freddie Mac, Pool #849578 (a)		2.43		12/1/44		48
	78	Freddie Mac, Pool #G18485		2.50		10/1/28		79
	215	Freddie Mac, Pool #G18459		2.50		3/1/28		219
	41	Freddie Mac, Pool #J24626		2.50		7/1/28		42
	78	Freddie Mac, Pool #G18470		2.50		6/1/28		79
	77	Freddie Mac, Pool #G18475		2.50		8/1/28		78
	23	Freddie Mac, Pool #G07445		2.50		7/1/43		22
	93	Freddie Mac, Pool #G08524		3.00		3/1/43		93
	42	Freddie Mac, Pool #G18531		3.00		11/1/29		44
	78	Freddie Mac, Pool #K90311		3.00		4/1/33		80
	200	Freddie Mac, Pool #C09035		3.00		4/1/43		200
	59	Freddie Mac, Pool #G15145		3.00		7/1/29		61
	171	Freddie Mac, Pool #G08537		3.00		7/1/43		171
	100	Freddie Mac, Pool #J25193		3.00		8/1/23		103
	69	Freddie Mac, Pool #J15438		3.00		5/1/21		71
	58	Freddie Mac, Pool #C91709		3.00		6/1/33		59
	80	Freddie Mac, Pool #E09004		3.00		7/1/27		83
	43	Freddie Mac, Pool #Q20542		3.00		7/1/43		43
	78	Freddie Mac, Pool #C04446		3.00		1/1/43		78
	49	Freddie Mac, Pool #J31327		3.00		4/1/30		51
	43	Freddie Mac, Pool #Q20138		3.00		7/1/43		43
	97	Freddie Mac, Pool #G08635		3.00		4/1/45		97
	83	Freddie Mac, Pool #G08525		3.00		5/1/43		83
	50	Freddie Mac, Pool #G08680		3.00		12/1/45		50
	96	Freddie Mac, Pool #G08631		3.00		3/1/45		96
	21	Freddie Mac, Pool #G18518		3.00		7/1/29		22
	85	Freddie Mac, Pool #G08528		3.00		4/1/43		85
	40	Freddie Mac, Pool #G07283		3.50		7/1/42		41
	100	Freddie Mac, Pool #C91456		3.50		6/1/32		104
	75	Freddie Mac, Pool #G08681		3.50		12/1/45		77
	45	Freddie Mac, Pool #Q17596		3.50		4/1/43		46
	99	Freddie Mac, Pool #G08667		3.50		9/1/45		102
	40	Freddie Mac, Pool #J30284		3.50		11/1/29		42
	80	Freddie Mac, Pool #Q09896		3.50		8/1/42		82
	40	Freddie Mac, Pool #J14069		3.50		1/1/26		42

See accompanying notes to financial statements.

119

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	71	Freddie Mac, Pool #Q18101		3.50		5/1/43	$	73
	96	Freddie Mac, Pool #G08554		3.50		10/1/43		99
	79	Freddie Mac, Pool #C03759		3.50		2/1/42		82
	192	Freddie Mac, Pool #G08636		3.50		4/1/45		197
	66	Freddie Mac, Pool #J13919		3.50		12/1/20		69
	293	Freddie Mac, Pool #G08495		3.50		6/1/42		303
	70	Freddie Mac, Pool #G08567		4.00		1/1/44		74
	144	Freddie Mac, Pool #G08601		4.00		8/1/44		152
	92	Freddie Mac, Pool #Q27459		4.00		7/1/44		97
	47	Freddie Mac, Pool #Q25809		4.00		4/1/44		49
	71	Freddie Mac, Pool #Q26974		4.00		7/1/44		75
	50	Freddie Mac, Pool #G08563		4.00		1/1/44		53
	81	Freddie Mac, Pool #Q24955		4.00		2/1/44		86
	90	Freddie Mac, Pool #G08606		4.00		9/1/44		95
	0	Freddie Mac, Pool #G14786		4.00		4/1/19		0
	41	Freddie Mac, Pool #G11690		4.00		2/1/20		43
	19	Freddie Mac, Pool #Q25548		4.00		4/1/44		21
	173	Freddie Mac, Pool #A96286		4.00		1/1/41		183
	77	Freddie Mac, Pool #G06506		4.00		12/1/40		82
	70	Freddie Mac, Pool #G08669		4.00		9/1/45		74
	94	Freddie Mac, Pool #G08637		4.00		4/1/45		99
	14	Freddie Mac, Pool #J06163		4.00		1/1/20		14
	19	Freddie Mac, Pool #J14924		4.00		4/1/26		20
	14	Freddie Mac, Pool #J10406		4.50		8/1/24		15
	35	Freddie Mac, Pool #C09059		4.50		3/1/44		37
	162	Freddie Mac, Pool #A97692		4.50		3/1/41		174
	83	Freddie Mac, Pool #A97186		4.50		3/1/41		90
	17	Freddie Mac, Pool #A97658		4.50		3/1/41		18
	47	Freddie Mac, Pool #Q04294		4.50		11/1/41		51
	82	Freddie Mac, Pool #G18303		4.50		3/1/24		88
	49	Freddie Mac, Pool #Q03305		4.50		9/1/41		53
	17	Freddie Mac, Pool #Q01065		4.50		6/1/41		18
	18	Freddie Mac, Pool #C90686		4.50		6/1/23		20
	24	Freddie Mac, Pool #Q24817		4.50		2/1/44		26
	67	Freddie Mac, Pool #Q22671		4.50		11/1/43		72
	81	Freddie Mac, Pool #G01890		4.50		10/1/35		88
	42	Freddie Mac, Pool #G08341		5.00		4/1/39		45
	38	Freddie Mac, Pool #G04913		5.00		3/1/38		41
	49	Freddie Mac, Pool #G04817		5.00		9/1/38		54
	49	Freddie Mac, Pool #G01962		5.00		12/1/35		54
	53	Freddie Mac, Pool #G05904		5.00		9/1/39		58
	84	Freddie Mac, Pool #C01598		5.00		8/1/33		93
	78	Freddie Mac, Pool #G04688		5.50		9/1/38		87
	227	Freddie Mac, Pool #G01665		5.50		3/1/34		253
	24	Freddie Mac, Pool #G30432		5.50		11/1/28		26
	7	Freddie Mac, Pool #1G1537 (a)		5.76		2/1/37		7
	101	Freddie Mac, Pool #G02794		6.00		5/1/37		114
	29	Freddie Mac, Pool #G03616		6.00		12/1/37		33
	10	Freddie Mac, Pool #C90989		6.00		9/1/26		11
	50	Freddie Mac, Gold 30 YR TBA		3.50		2/15/46		51
	375	Freddie Mac, Gold 30 YR TBA		3.50		1/15/44		387
	24	Government National Mortgage Association, Pool #MA0712 (a)		2.50		1/20/43		25
	23	Government National Mortgage Association, Pool #MA2767 (a)		2.50		4/20/45		24
	17	Government National Mortgage Association, Pool #MA1155		2.50		7/20/43		17

See accompanying notes to financial statements.

120

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	24	Government National Mortgage Association, Pool #777254		2.50		3/15/43	$	23
	35	Government National Mortgage Association, Pool #AA8341		2.50		2/15/28		36
	84	Government National Mortgage Association, Pool #MA2147		3.00		8/20/44		85
	55	Government National Mortgage Association, Pool #MA0205		3.00		7/20/27		57
	58	Government National Mortgage Association, Pool #AA2654		3.00		6/15/43		59
	92	Government National Mortgage Association, Pool #MA2444		3.00		12/20/44		94
	83	Government National Mortgage Association, Pool #MA1447		3.00		11/20/43		84
	50	Government National Mortgage Association, Pool #MA3309		3.00		12/20/45		51
	50	Government National Mortgage Association, Pool #626911		3.00		2/15/45		50
	84	Government National Mortgage Association, Pool #MA0153		3.00		6/20/42		85
	75	Government National Mortgage Association, Pool #MA0851		3.00		3/20/43		76
	87	Government National Mortgage Association, Pool #AA5897		3.00		12/15/42		89
	70	Government National Mortgage Association, Pool #MA0391		3.00		9/20/42		71
	76	Government National Mortgage Association, Pool #MA1011		3.00		5/20/43		77
	49	Government National Mortgage Association, Pool #MA2960		3.00		7/20/45		50
	41	Government National Mortgage Association, Pool #MA1374		3.00		10/20/43		41
	78	Government National Mortgage Association, Pool #MA0461		3.00		10/20/42		79
	83	Government National Mortgage Association, Pool #AA6149		3.00		3/20/43		84
	287	Government National Mortgage Association, Pool #MA0624		3.00		12/20/42		292
	65	Government National Mortgage Association, Pool #MA0852		3.50		3/20/43		68
	71	Government National Mortgage Association, Pool #MA0699		3.50		1/20/43		75
	225	Government National Mortgage Association, Pool #MA0088		3.50		5/20/42		236
	58	Government National Mortgage Association, Pool #AB9211		3.50		11/15/42		60
	125	Government National Mortgage Association, Pool #MA0462		3.50		10/20/42		131
	23	Government National Mortgage Association, Pool #778157		3.50		3/15/42		24
	67	Government National Mortgage Association, Pool #MA0934		3.50		4/20/43		70
	37	Government National Mortgage Association, Pool #MA1012		3.50		5/20/43		39
	33	Government National Mortgage Association, Pool #AC3938		3.50		1/15/43		35
	71	Government National Mortgage Association, Pool #MA0318		3.50		8/20/42		74
	70	Government National Mortgage Association, Pool #MA0154		3.50		6/20/42		73
	239	Government National Mortgage Association, Pool #MA0220		3.50		7/20/42		250
	49	Government National Mortgage Association, Pool #MA2826		3.50		5/20/45		51
	62	Government National Mortgage Association, Pool #MA1574		3.50		1/20/29		64
	18	Government National Mortgage Association, Pool #MA1600		3.50		1/20/44		19
	58	Government National Mortgage Association, Pool #MA2223		3.50		9/20/44		60
	81	Government National Mortgage Association, Pool #AJ0411		3.50		9/15/44		85
	64	Government National Mortgage Association, Pool #MA2371		3.50		11/20/44		67
	92	Government National Mortgage Association, Pool #MA1839		4.00		4/20/44		98
	49	Government National Mortgage Association, Pool #MA2224		4.00		9/20/44		52
	37	Government National Mortgage Association, Pool #770602		4.00		9/15/41		39
	52	Government National Mortgage Association, Pool #766495		4.00		10/15/41		56
	49	Government National Mortgage Association, Pool #MA2304		4.00		10/20/44		52
	45	Government National Mortgage Association, Pool #MA2372		4.00		11/20/44		48
	78	Government National Mortgage Association, Pool #MA2522		4.00		1/20/45		83
	128	Government National Mortgage Association, Pool #MA2446		4.00		12/20/44		136
	46	Government National Mortgage Association, Pool #MA1761		4.00		3/20/44		49
	46	Government National Mortgage Association, Pool #MA1996		4.00		6/20/44		49
	93	Government National Mortgage Association, Pool #MA2074		4.00		7/20/44		99
	56	Government National Mortgage Association, Pool #MA1286		4.00		9/20/43		60
	127	Government National Mortgage Association, Pool #MA1091		4.00		6/20/43		136
	22	Government National Mortgage Association, Pool #MA0023		4.00		4/20/42		24
	38	Government National Mortgage Association, Pool #AL7545		4.00		4/15/45		40
	15	Government National Mortgage Association, Pool #AD2781		4.00		10/15/43		16
	138	Government National Mortgage Association, Pool #005139		4.00		8/20/41		147

See accompanying notes to financial statements.

121

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	54	Government National Mortgage Association, Pool #738710		4.00		9/15/41	$	57
	63	Government National Mortgage Association, Pool #MA2149		4.00		8/20/44		67
	19	Government National Mortgage Association, Pool #MA1762		4.50		3/20/44		20
	102	Government National Mortgage Association, Pool #MA1092		4.50		6/20/43		111
	60	Government National Mortgage Association, Pool #MA2756		4.50		4/20/45		65
	42	Government National Mortgage Association, Pool #MA2373		4.50		11/20/44		45
	81	Government National Mortgage Association, Pool #721760		4.50		8/15/40		88
	194	Government National Mortgage Association, Pool #004801		4.50		9/20/40		211
	161	Government National Mortgage Association, Pool #737310		4.50		8/15/40		176
	22	Government National Mortgage Association, Pool #724216		4.50		8/15/39		24
	43	Government National Mortgage Association, Pool #MA1014		4.50		5/20/43		47
	38	Government National Mortgage Association, Pool #738906		4.50		10/15/41		41
	84	Government National Mortgage Association, Pool #697974		5.00		6/15/40		93
	216	Government National Mortgage Association, Pool #004559		5.00		10/20/39		239
	64	Government National Mortgage Association, Pool #697946		5.00		3/15/39		70
	40	Government National Mortgage Association, Pool #MA0538		5.50		11/20/42		44
	64	Government National Mortgage Association, Pool #510835		5.50		2/15/35		72
	41	Government National Mortgage Association, Pool #MA0466		5.50		10/20/42		45
	23	Government National Mortgage Association, Pool #704170		5.50		1/15/39		25
	58	Government National Mortgage Association, Pool #781959		6.00		7/15/35		67
	42	Government National Mortgage Association, Pool #004222		6.00		8/20/38		47
	4	Government National Mortgage Association, Pool #582199		6.50		1/15/32		5
	625	Government National Mortgage Association, 30 YR TBA		3.50		1/20/45		652
	200	Government National Mortgage Association, 30 YR TBA		3.50		2/15/46		208
		Total U.S. Government Agency Mortgages						24,365
		U.S. Government Agency Securities — 1.56%
	25	Fannie Mae		0.88		10/26/17		25
	60	Fannie Mae		0.88		5/21/18		59
	60	Fannie Mae, Callable 2/23/16 @ 100.00		0.95		8/23/17		60
	25	Fannie Mae, Callable 7/28/16 @ 100.00		1.07		7/28/17		25
	45	Fannie Mae, Callable 3/27/16 @ 100.00		1.07		9/27/17		45
	45	Fannie Mae		1.13		4/27/17		45
	30	Fannie Mae		1.25		1/30/17		30
	25	Fannie Mae		1.50		6/22/20		25
	30	Fannie Mae		1.63		11/27/18		30
	25	Fannie Mae		1.88		9/18/18		25
	55	Fannie Mae (b)		2.84		10/9/19		51
	25	Fannie Mae, Callable 3/1/16 @ 100.00		3.00		3/1/28		24
	20	Fannie Mae		5.63		7/15/37		27
	20	Fannie Mae, Callable 4/18/16 @ 100.00		6.00		4/18/36		20
	20	Fannie Mae		6.25		5/15/29		27
	20	Fannie Mae		7.25		5/15/30		30
	10	Federal Farm Credit Bank, Callable 1/15/16 @ 100.00		0.54		11/7/16		10
	20	Federal Farm Credit Bank		4.88		1/17/17		21
	35	Federal Home Loan Bank, Series 1		1.00		6/21/17		35
	40	Federal Home Loan Bank		1.63		6/14/19		40
	50	Federal Home Loan Bank		1.75		12/14/18		51
	25	Federal Home Loan Bank		2.13		3/10/23		25
	25	Federal Home Loan Bank		3.63		3/12/21		27
	20	Federal Home Loan Bank		4.13		3/13/20		22
	70	Federal Home Loan Bank, Series 1069		5.00		11/17/17		74
	15	Federal Home Loan Bank		5.63		6/11/21		18
	70	Freddie Mac		0.75		1/12/18		68
	50	Freddie Mac		1.00		9/29/17		50

See accompanying notes to financial statements.

122

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Securities (continued)
$	50	Freddie Mac		1.00		3/8/17	$	50
	65	Freddie Mac		1.00		7/28/17		65
	25	Freddie Mac, Callable 1/30/16 @ 100.00		1.02		4/30/18		25
	25	Freddie Mac, Callable 2/28/16 @ 100.00		1.03		11/28/17		25
	20	Freddie Mac, Callable 3/12/16 @ 100.00		1.20		6/12/18		20
	20	Freddie Mac		1.25		10/2/19		20
	25	Freddie Mac		1.38		5/1/20		25
	20	Freddie Mac		1.40		8/22/19		20
	25	Freddie Mac		1.75		5/30/19		25
	65	Freddie Mac		2.38		1/13/22		66
	15	Freddie Mac		6.25		7/15/32		21
	5	Tennessee Valley Authority		3.50		12/15/42		5
	5	Tennessee Valley Authority		5.25		9/15/39		6
	20	Tennessee Valley Authority		5.88		4/1/36		26
		Total U.S. Government Agency Securities						1,388
		Corporate Bonds — 34.83%
	560	AbbVie, Inc. (Biotechnology)		1.75		11/6/17		560
	95	AbbVie, Inc. (Biotechnology)		4.40		11/6/42		89
	250	ACE INA Holdings, Inc. (Insurance), Callable 10/3/20 @ 100.00		2.30		11/3/20		248
	65	Air Products & Chemicals, Inc. (Chemicals)		2.75		2/3/23		64
	625	American Express Co. (Consumer Finance)		7.00		3/19/18		693
	340	Ameriprise Financial, Inc. (Capital Markets)		4.00		10/15/23		353
	230	Amgen, Inc. (Biotechnology)		2.13		5/15/17		231
	160	Amgen, Inc. (Biotechnology), Callable 5/15/41 @ 100.00		5.15		11/15/41		162
	100	Analog Devices, Inc. (Semiconductors & Semiconductor Equipment), Callable 9/15/25 @ 100.00		3.90		12/15/25		101
	50	Analog Devices, Inc. (Semiconductors & Semiconductor Equipment), Callable 6/15/45 @ 100.00		5.30		12/15/45		52
	160	Anheuser-Busch InBev NV (Beverages)		2.50		7/15/22		154
	315	Anthem, Inc. (Health Care Providers & Services), Callable 5/15/21 @ 100.00		3.70		8/15/21		323
	100	Anthem, Inc. (Health Care Providers & Services)		4.63		5/15/42		94
	155	Archer-Daniels-Midland Co. (Food Products)		4.02		4/16/43		149
	240	AT&T, Inc. (Diversified Telecommunication Services)		5.35		9/1/40		237
	490	AT&T, Inc. (Diversified Telecommunication Services)		5.50		2/1/18		524
	80	AT&T, Inc. (Diversified Telecommunication Services)		5.55		8/15/41		80
	25	Atmos Energy Corp. (Gas Utilities), Callable 4/15/44 @ 100.00		4.13		10/15/44		24
	708	Bank of America Corp. (Banks)		2.60		1/15/19		710
	505	Bank of America Corp., MTN (Banks)		3.30		1/11/23		498
	115	Bank of America Corp., Series L, MTN (Banks)		5.65		5/1/18		124
	110	Bank One Corp. (Banks)		8.00		4/29/27		142
	370	Bear Stearns Co. LLC (Capital Markets)		6.40		10/2/17		399
	100	Berkshire Hathaway, Inc. (Diversified Financial Services)		4.40		5/15/42		99
	135	Berkshire Hathaway, Inc. (Diversified Financial Services)		5.15		4/1/17		141
	290	Bunge Limited Finance Co. (Food Products)		8.50		6/15/19		336
	85	Burlington Northern Santa Fe LLC (Road & Rail), Callable 3/1/44 @ 100.00		4.55		9/1/44		82
	700	Capital One Bank USA, Series BKNT (Banks), Callable 1/13/19 @ 100.00		2.25		2/13/19		697
	205	Capital One Financial Corp. (Consumer Finance)		6.75		9/15/17		220
	50	Caterpillar Financial Services Corp., MTN (Consumer Finance)		7.05		10/1/18		57
	100	Caterpillar, Inc. (Machinery)		5.20		5/27/41		108
	195	Chevron Corp. (Oil, Gas & Consumable Fuels), Callable 10/17/20 @ 100.00		2.42		11/17/20		194
	170	Cisco Systems, Inc. (Communications Equipment)		2.13		3/1/19		172
	95	Cisco Systems, Inc. (Communications Equipment)		5.50		1/15/40		111
	175	Citigroup, Inc. (Banks)		2.65		10/26/20		174
	44	Citigroup, Inc. (Banks)		4.95		11/7/43		46
	250	Coca-Cola Enterprises, Inc. (Beverages)		3.50		9/15/20		256

See accompanying notes to financial statements.

123

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	300	Comcast Corp. (Media)		2.85		1/15/23	$	297
	285	Comcast Corp. (Media), Callable 2/15/35 @ 100.00		4.40		8/15/35		287
	40	Comcast Corp. (Media)		6.45		3/15/37		50
	265	ConocoPhillips (Oil, Gas & Consumable Fuels)		6.50		2/1/39		279
	15	Consolidated Edison Co. of New York, Inc., Series 08-B (Multi-Utilities)		6.75		4/1/38		19
	230	CSX Corp. (Road & Rail)		6.22		4/30/40		271
	185	CVS Health Corp. (Food & Staples Retailing), Callable 2/15/21 @ 100.00		4.13		5/15/21		196
	185	CVS Health Corp. (Food & Staples Retailing), Callable 1/20/35 @ 100.00		4.88		7/20/35		191
	225	Delphi Corp. (Auto Components), Callable 12/15/23 @ 100.00		4.15		3/15/24		227
	175	Delphi Corp. (Auto Components), Callable 2/15/18 @ 103.00		5.00		2/15/23		185
	435	Devon Energy Corp. (Oil, Gas & Consumable Fuels), Callable 1/15/41 @ 100.00		5.60		7/15/41		329
	555	Dominion Resources, Inc. (Multi-Utilities)		5.20		8/15/19		605
	130	Dominion Resources, Inc. (Multi-Utilities)		6.40		6/15/18		142
	100	Duke Energy Carolinas LLC (Electric Utilities)		5.30		2/15/40		115
	50	Duke Energy Corp. (Electric Utilities), Callable 1/15/24 @ 100.00		3.75		4/15/24		51
	300	Eaton Corp. (Electrical Equipment)		2.75		11/2/22		291
	100	Eaton Corp. (Electrical Equipment)		4.15		11/2/42		92
	130	Ecolab, Inc. (Chemicals)		4.35		12/8/21		139
	25	Ecolab, Inc. (Chemicals)		5.50		12/8/41		27
	349	Enterprise Products Operating LLC (Oil, Gas & Consumable Fuels), Callable 9/15/43 @ 100.00		4.85		3/15/44		282
	250	Enterprise Products Partners LP (Oil, Gas & Consumable Fuels), Callable 9/15/19 @ 100.00		2.55		10/15/19		240
	20	Enterprise Products Partners LP (Oil, Gas & Consumable Fuels), Callable 12/15/45 @ 100.00		4.90		5/15/46		16
	475	Exxon Mobil Corp. (Oil, Gas & Consumable Fuels), Callable 2/6/20 @ 100.00		1.91		3/6/20		470
	100	FedEx Corp. (Air Freight & Logistics)		4.90		1/15/34		103
	30	FedEx Corp. (Air Freight & Logistics)		8.00		1/15/19		35
	330	Fiserv, Inc. (IT Services), Callable 5/1/20 @ 100.00		2.70		6/1/20		327
	75	Fiserv, Inc. (IT Services), Callable 3/1/25 @ 100.00		3.85		6/1/25		75
	119	General Electric Co. (Industrial Conglomerates)		4.13		10/9/42		116
	595	General Motors Co. (Automobiles)		3.50		10/2/18		601
	166	Gilead Sciences, Inc. (Biotechnology), Callable 8/1/44 @ 100.00		4.50		2/1/45		162
	155	GlaxoSmithKline PLC (Pharmaceuticals)		6.38		5/15/38		198
	291	Goldman Sachs Group, Inc. (Capital Markets)		2.63		1/31/19		293
	270	Goldman Sachs Group, Inc. (Capital Markets)		4.00		3/3/24		277
	365	Goldman Sachs Group, Inc. (Capital Markets)		6.15		4/1/18		396
	405	International Business Machines Corp. (IT Services)		3.63		2/12/24		417
	180	International Paper Co. (Containers & Packaging), Callable 5/15/41 @ 100.00		6.00		11/15/41		189
	135	Johnson & Johnson (Pharmaceuticals), Callable 6/5/33 @ 100.00		4.38		12/5/33		149
	50	Johnson & Johnson (Pharmaceuticals)		4.85		5/15/41		57
	690	JPMorgan Chase & Co. (Banks)		4.25		10/15/20		732
	95	Lincoln National Corp. (Insurance)		7.00		6/15/40		119
	35	Lockheed Martin Corp. (Aerospace & Defense), Callable 10/23/20 @ 100.00		2.50		11/23/20		35
	120	Lockheed Martin Corp. (Aerospace & Defense), Callable 12/1/24 @ 100.00		2.90		3/1/25		115
	140	Lockheed Martin Corp. (Aerospace & Defense), Callable 9/1/34 @ 100.00		3.60		3/1/35		125
	270	Medtronic, Inc. (Health Care Equipment & Supplies), Callable 1/1/23 @ 100.00		2.75		4/1/23		264
	85	Medtronic, Inc. (Health Care Equipment & Supplies), Callable 9/15/43 @ 100.00		4.63		3/15/44		86
	50	MetLife, Inc. (Insurance)		4.05		3/1/45		46
	385	MetLife, Inc. (Insurance)		7.72		2/15/19		448
	50	Microsoft Corp. (Software), Callable 9/3/22 @ 100.00		2.65		11/3/22		50
	125	Microsoft Corp. (Software), Callable 5/3/35 @ 100.00		4.20		11/3/35		128
	256	MidAmerican Energy Holdings Co. (Electric Utilities)		6.13		4/1/36		298
	505	National Rural Utilities Cooperative Finance Corp. (Diversified Financial Services), Callable 8/15/23 @ 100.00		3.40		11/15/23		518
	540	Nucor Corp. (Metals & Mining), Callable 5/1/23 @ 100.00		4.00		8/1/23		523
	25	Nucor Corp. (Metals & Mining), Callable 2/1/43 @ 100.00		5.20		8/1/43		23
	85	Oklahoma Gas & Electric Co. (Electric Utilities), Callable 11/15/40 @ 100.00		5.25		5/15/41		95
	205	Oracle Corp. (Software)		6.50		4/15/38		257

See accompanying notes to financial statements.

124

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	300	Philip Morris International, Inc. (Tobacco)		3.60		11/15/23	$	313
	200	PNC Financial Services Group, Inc. (Banks) (c)		2.85		11/9/22		198
	107	Procter & Gamble Co.(The) (Household Products)		9.36		1/1/21		128
	100	Progress Energy, Inc. (Electric Utilities)		6.00		12/1/39		116
	110	Prudential Financial, Inc. (Insurance)		6.20		11/15/40		130
	50	Puget Energy, Inc. (Multi-Utilities), Callable 4/15/22 @ 100.00		5.63		7/15/22		55
	110	Puget Energy, Inc. (Multi-Utilities)		6.00		9/1/21		124
	100	Puget Energy, Inc. (Multi-Utilities)		6.50		12/15/20		115
	135	Reed Elsevier NV (Media), Callable 7/15/22 @ 100.00		3.13		10/15/22		131
	95	Reed Elsevier NV (Media)		8.63		1/15/19		111
	210	Roper Industries, Inc. (Industrial Conglomerates)		2.05		10/1/18		209
	35	Roper Industries, Inc. (Industrial Conglomerates), Callable 8/15/22 @ 100.00		3.13		11/15/22		34
	100	San Diego Gas & Electric Co. (Multi-Utilities), Callable 10/1/41 @ 100.00		4.30		4/1/42		101
	335	Southern California Gas Co. (Gas Utilities), Callable 6/15/24 @ 100.00		3.15		9/15/24		334
	199	Southwest Airlines Co 2007-1 Trust (Airlines)		6.15		8/1/22		223
	225	Southwest Airlines Co. (Airlines), Callable 10/5/20 @ 100.00		2.65		11/5/20		224
	380	Sunoco Logistics Partners LP (Oil, Gas & Consumable Fuels), Callable 10/15/22 @ 100.00		3.45		1/15/23		321
	160	Sunoco Logistics Partners LP (Oil, Gas & Consumable Fuels), Callable 7/15/42 @ 100.00		4.95		1/15/43		114
	45	SunTrust Banks, Inc. (Banks), Callable 10/1/18 @ 100.00		2.35		11/1/18		45
	240	SunTrust Banks, Inc. (Banks), Callable 4/1/19 @ 100.00		2.50		5/1/19		241
	320	TC Pipelines, LP (Oil, Gas & Consumable Fuels), Callable 12/13/24 @ 100.00		4.38		3/13/25		281
	20	Tennessee Valley Authority, Series E (Independent Power and Renewable Electricity Producers)		6.75		11/1/25		26
	310	The Dow Chemical Co. (Chemicals), Callable 8/15/22 @ 100.00		3.00		11/15/22		296
	205	The Dow Chemical Co. (Chemicals)		8.55		5/15/19		242
	120	The Home Depot, Inc. (Specialty Retail)		5.88		12/16/36		146
	100	The Interpublic Group of Cos., Inc. (Media)		2.25		11/15/17		100
	320	The Kroger Co. (Food & Staples Retailing), Callable 5/1/23 @ 100.00		3.85		8/1/23		331
	95	The Travelers Cos., Inc. (Insurance)		6.25		6/15/37		120
	215	Time Warner, Inc. (Media)		5.38		10/15/41		220
	240	Time Warner, Inc. (Media)		6.88		6/15/18		267
	40	Toyota Motor Credit Corp., MTN (Consumer Finance)		3.30		1/12/22		41
	95	Twenty-First Century Fox, Inc. (Media)		5.65		8/15/20		106
	390	Twenty-First Century Fox, Inc. (Media)		6.20		12/15/34		442
	50	Twenty-First Century Fox, Inc. (Media)		6.90		3/1/19		57
	135	United Parcel Service, Inc. (Air Freight & Logistics)		6.20		1/15/38		173
	140	UnitedHealth Group, Inc. (Health Care Providers & Services)		6.88		2/15/38		183
	180	Valero Energy Corp. (Oil, Gas & Consumable Fuels)		6.63		6/15/37		181
	40	Ventas Realty, LP (Real Estate Investment Trusts), Callable 5/15/22 @ 100.00		3.25		8/15/22		39
	65	Ventas Realty, LP (Real Estate Investment Trusts), Callable 11/1/24 @ 100.00		3.50		2/1/25		62
	115	Ventas Realty, LP (Real Estate Investment Trusts), Callable 10/15/25 @ 100.00		4.13		1/15/26		115
	215	Verizon Communications, Inc. (Diversified Telecommunication Services)		5.15		9/15/23		236
	655	Verizon Communications, Inc. (Diversified Telecommunication Services)		6.55		9/15/43		778
	160	Viacom, Inc. (Media), Callable 12/15/42 @ 100.00		4.88		6/15/43		128
	355	Virginia Electric & Power Co. (Electric Utilities), Callable 12/15/22 @ 100.00		2.75		3/15/23		350
	35	Virginia Electric & Power Co. (Electric Utilities), Callable 10/15/21 @ 100.00		2.95		1/15/22		35
	630	Wachovia Corp. (Banks)		5.75		2/1/18		680
	250	Wal-Mart Stores, Inc. (Food & Staples Retailing)		5.63		4/1/40		297
	70	Wal-Mart Stores, Inc. (Food & Staples Retailing)		6.50		8/15/37		90
	160	Waste Management, Inc. (Commercial Services & Supplies), Callable 12/1/24 @ 100.00		3.13		3/1/25		156
	150	Wells Fargo & Co., MTN (Banks)		2.55		12/7/20		149
	165	Wells Fargo & Co. (Banks)		3.00		2/19/25		161
	245	Western Gas Partners, LP (Oil, Gas & Consumable Fuels), Callable 3/1/25 @ 100.00		3.95		6/1/25		206

See accompanying notes to financial statements.

125

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	250	WestRock Co. (Containers & Packaging)		4.90		3/1/22	$	265
		Total Corporate Bonds						30,988
		U.S. Treasury Obligations — 20.47%
	17	U.S. Treasury Bond		1.00		8/31/19		17
	125	U.S. Treasury Bond		2.50		2/15/45		112
	114	U.S. Treasury Bond		2.75		11/15/42		108
	73	U.S. Treasury Bond		2.75		8/15/42		70
	90	U.S. Treasury Bond		2.88		8/15/45		87
	150	U.S. Treasury Bond		2.88		5/15/43		146
	110	U.S. Treasury Bond		3.00		11/15/44		109
	120	U.S. Treasury Bond		3.00		5/15/45		119
	20	U.S. Treasury Bond		3.00		11/15/45		20
	14	U.S. Treasury Bond		3.00		5/15/42		14
	110	U.S. Treasury Bond		3.13		2/15/43		113
	82	U.S. Treasury Bond		3.13		2/15/42		84
	110	U.S. Treasury Bond		3.13		5/15/21		117
	50	U.S. Treasury Bond		3.13		11/15/41		52
	100	U.S. Treasury Bond		3.13		8/15/44		102
	120	U.S. Treasury Bond		3.38		5/15/44		129
	5	U.S. Treasury Bond		3.50		2/15/39		6
	125	U.S. Treasury Bond		3.63		2/15/44		140
	120	U.S. Treasury Bond		3.63		8/15/43		135
	68	U.S. Treasury Bond		3.75		8/15/41		78
	85	U.S. Treasury Bond		3.75		11/15/43		98
	70	U.S. Treasury Bond		3.88		8/15/40		82
	65	U.S. Treasury Bond		4.25		11/15/40		80
	65	U.S. Treasury Bond		4.38		5/15/40		82
	40	U.S. Treasury Bond		4.38		5/15/41		50
	25	U.S. Treasury Bond		4.38		11/15/39		31
	30	U.S. Treasury Bond		4.50		8/15/39		38
	20	U.S. Treasury Bond		4.50		2/15/36		26
	75	U.S. Treasury Bond		4.63		2/15/40		98
	70	U.S. Treasury Bond		4.75		2/15/41		93
	20	U.S. Treasury Bond		5.25		2/15/29		26
	30	U.S. Treasury Bond		5.25		11/15/28		39
	40	U.S. Treasury Bond		5.38		2/15/31		54
	35	U.S. Treasury Bond		6.13		11/15/27		48
	10	U.S. Treasury Bond		6.25		8/15/23		13
	25	U.S. Treasury Bond		6.25		5/15/30		36
	40	U.S. Treasury Bond		6.50		11/15/26		56
	40	U.S. Treasury Bond		6.75		8/15/26		57
	17	U.S. Treasury Bond		7.50		11/15/24		24
	15	U.S. Treasury Bond		7.63		2/15/25		22
	40	U.S. Treasury Bond		8.00		11/15/21		53
	35	U.S. Treasury Bond		8.13		8/15/19		43
	85	U.S. Treasury Note		0.50		7/31/17		84
	85	U.S. Treasury Note		0.50		3/31/17		85
	10	U.S. Treasury Note		0.50		4/30/17		10
	85	U.S. Treasury Note		0.50		1/31/17		85
	50	U.S. Treasury Note		0.50		2/28/17		50
	115	U.S. Treasury Note		0.63		11/30/17		114
	75	U.S. Treasury Note		0.63		2/15/17		75
	160	U.S. Treasury Note		0.63		8/31/17		158
	90	U.S. Treasury Note		0.63		6/30/17		90

See accompanying notes to financial statements.

126

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations (continued)
$	65	U.S. Treasury Note		0.63		7/31/17	$	65
	215	U.S. Treasury Note		0.63		5/31/17		213
	100	U.S. Treasury Note		0.63		4/30/18		99
	70	U.S. Treasury Note		0.63		9/30/17		70
	55	U.S. Treasury Note		0.75		1/15/17		55
	112	U.S. Treasury Note		0.75		3/15/17		112
	68	U.S. Treasury Note		0.75		6/30/17		68
	80	U.S. Treasury Note		0.75		2/28/18		79
	100	U.S. Treasury Note		0.75		3/31/18		99
	78	U.S. Treasury Note		0.75		12/31/17		77
	115	U.S. Treasury Note		0.75		10/31/17		114
	100	U.S. Treasury Note		0.88		4/15/17		100
	41	U.S. Treasury Note		0.88		1/31/18		41
	80	U.S. Treasury Note		0.88		11/30/17		80
	50	U.S. Treasury Note		0.88		1/31/17		50
	75	U.S. Treasury Note		0.88		10/15/17		75
	95	U.S. Treasury Note		0.88		5/15/17		95
	120	U.S. Treasury Note		0.88		11/15/17		120
	80	U.S. Treasury Note		0.88		1/15/18		80
	95	U.S. Treasury Note		0.88		7/15/17		95
	90	U.S. Treasury Note		0.88		8/15/17		90
	90	U.S. Treasury Note		0.88		6/15/17		90
	70	U.S. Treasury Note		0.88		2/28/17		70
	45	U.S. Treasury Note		0.88		7/31/19		44
	135	U.S. Treasury Note		0.88		4/30/17		135
	75	U.S. Treasury Note		0.88		10/15/18		74
	80	U.S. Treasury Note		1.00		3/15/18		80
	30	U.S. Treasury Note		1.00		8/15/18		30
	95	U.S. Treasury Note		1.00		9/15/17		95
	75	U.S. Treasury Note		1.00		2/15/18		75
	50	U.S. Treasury Note		1.00		5/15/18		50
	135	U.S. Treasury Note		1.00		3/31/17		135
	20	U.S. Treasury Note		1.00		6/30/19		20
	70	U.S. Treasury Note		1.00		12/31/17		70
	85	U.S. Treasury Note		1.00		11/30/19		83
	85	U.S. Treasury Note		1.00		12/15/17		85
	50	U.S. Treasury Note		1.00		9/15/18		50
	70	U.S. Treasury Note		1.00		9/30/19		69
	50	U.S. Treasury Note		1.00		5/31/18		50
	5	U.S. Treasury Note		1.13		3/31/20		5
	60	U.S. Treasury Note		1.13		4/30/20		59
	60	U.S. Treasury Note		1.13		12/31/19		59
	50	U.S. Treasury Note		1.13		5/31/19		49
	50	U.S. Treasury Note		1.13		6/15/18		50
	75	U.S. Treasury Note		1.25		2/29/20		74
	100	U.S. Treasury Note		1.25		1/31/20		98
	120	U.S. Treasury Note		1.25		10/31/18		120
	110	U.S. Treasury Note		1.25		11/30/18		110
	65	U.S. Treasury Note		1.25		12/15/18		65
	65	U.S. Treasury Note		1.25		1/31/19		65
	75	U.S. Treasury Note		1.25		11/15/18		75
	50	U.S. Treasury Note		1.25		10/31/19		49
	90	U.S. Treasury Note		1.38		2/28/19		90
	40	U.S. Treasury Note		1.38		1/31/20		40

See accompanying notes to financial statements.

127

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations (continued)
$	135	U.S. Treasury Note		1.38		9/30/18	$	135
	70	U.S. Treasury Note		1.38		7/31/18		70
	60	U.S. Treasury Note		1.38		6/30/18		60
	51	U.S. Treasury Note		1.38		12/31/18		51
	30	U.S. Treasury Note		1.38		5/31/20		30
	115	U.S. Treasury Note		1.38		3/31/20		114
	105	U.S. Treasury Note		1.38		10/31/20		103
	145	U.S. Treasury Note		1.38		9/30/20		143
	25	U.S. Treasury Note		1.38		11/30/18		25
	110	U.S. Treasury Note		1.38		2/29/20		109
	65	U.S. Treasury Note		1.38		4/30/20		64
	115	U.S. Treasury Note		1.38		8/31/20		113
	101	U.S. Treasury Note		1.50		2/28/19		101
	70	U.S. Treasury Note		1.50		1/31/22		68
	80	U.S. Treasury Note		1.50		11/30/19		80
	110	U.S. Treasury Note		1.50		10/31/19		110
	110	U.S. Treasury Note		1.50		12/31/18		111
	120	U.S. Treasury Note		1.50		5/31/20		119
	120	U.S. Treasury Note		1.50		5/31/19		120
	130	U.S. Treasury Note		1.50		8/31/18		131
	20	U.S. Treasury Note		1.50		3/31/19		20
	130	U.S. Treasury Note		1.63		7/31/20		129
	130	U.S. Treasury Note		1.63		6/30/20		129
	110	U.S. Treasury Note		1.63		12/31/19		110
	45	U.S. Treasury Note		1.63		4/30/19		45
	85	U.S. Treasury Note		1.63		6/30/19		85
	75	U.S. Treasury Note		1.63		7/31/19		75
	120	U.S. Treasury Note		1.63		8/31/19		120
	117	U.S. Treasury Note		1.63		11/15/22		114
	81	U.S. Treasury Note		1.63		8/15/22		79
	80	U.S. Treasury Note		1.63		3/31/19		81
	95	U.S. Treasury Note		1.75		4/30/22		93
	40	U.S. Treasury Note		1.75		10/31/18		41
	95	U.S. Treasury Note		1.75		9/30/22		93
	25	U.S. Treasury Note		1.75		5/15/22		25
	120	U.S. Treasury Note		1.75		9/30/19		121
	124	U.S. Treasury Note		1.75		5/15/23		121
	95	U.S. Treasury Note		1.75		2/28/22		94
	95	U.S. Treasury Note		1.75		3/31/22		94
	95	U.S. Treasury Note		1.75		12/31/20		95
	35	U.S. Treasury Note		1.75		10/31/20		35
	100	U.S. Treasury Note		1.88		11/30/21		100
	95	U.S. Treasury Note		1.88		8/31/22		94
	94	U.S. Treasury Note		1.88		6/30/20		95
	75	U.S. Treasury Note		1.88		8/31/17		76
	55	U.S. Treasury Note		1.88		9/30/17		56
	100	U.S. Treasury Note		1.88		5/31/22		99
	90	U.S. Treasury Note		1.88		10/31/22		89
	100	U.S. Treasury Note		1.88		10/31/17		101
	125	U.S. Treasury Note		2.00		8/31/21		126
	60	U.S. Treasury Note		2.00		11/30/20		61
	165	U.S. Treasury Note		2.00		8/15/25		160
	90	U.S. Treasury Note		2.00		11/30/22		90
	50	U.S. Treasury Note		2.00		2/15/22		50

See accompanying notes to financial statements.

128

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations (continued)
$	55	U.S. Treasury Note		2.00		11/15/21	$	55
	50	U.S. Treasury Note		2.00		7/31/20		51
	100	U.S. Treasury Note		2.00		7/31/22		100
	40	U.S. Treasury Note		2.00		9/30/20		40
	125	U.S. Treasury Note		2.00		5/31/21		126
	155	U.S. Treasury Note		2.00		2/15/23		154
	150	U.S. Treasury Note		2.00		2/15/25		147
	100	U.S. Treasury Note		2.00		10/31/21		100
	60	U.S. Treasury Note		2.13		1/31/21		61
	65	U.S. Treasury Note		2.13		12/31/21		66
	100	U.S. Treasury Note		2.13		9/30/21		101
	80	U.S. Treasury Note		2.13		8/31/20		81
	10	U.S. Treasury Note		2.13		12/31/22		10
	150	U.S. Treasury Note		2.13		8/15/21		152
	100	U.S. Treasury Note		2.13		6/30/22		101
	135	U.S. Treasury Note		2.13		5/15/25		133
	145	U.S. Treasury Note		2.25		11/15/25		145
	180	U.S. Treasury Note		2.25		11/15/24		179
	80	U.S. Treasury Note		2.25		11/30/17		82
	30	U.S. Treasury Note		2.25		7/31/18		31
	90	U.S. Treasury Note		2.25		3/31/21		92
	115	U.S. Treasury Note		2.25		7/31/21		117
	70	U.S. Treasury Note		2.25		4/30/21		71
	215	U.S. Treasury Note		2.38		8/15/24		216
	25	U.S. Treasury Note		2.38		12/31/20		26
	30	U.S. Treasury Note		2.38		6/30/18		31
	20	U.S. Treasury Note		2.38		7/31/17		20
	85	U.S. Treasury Note		2.50		8/15/23		87
	215	U.S. Treasury Note		2.50		5/15/24		219
	50	U.S. Treasury Note		2.50		6/30/17		51
	65	U.S. Treasury Note		2.63		4/30/18		67
	174	U.S. Treasury Note		2.63		11/15/20		180
	50	U.S. Treasury Note		2.63		1/31/18		52
	115	U.S. Treasury Note		2.63		8/15/20		120
	72	U.S. Treasury Note		2.75		12/31/17		74
	166	U.S. Treasury Note		2.75		11/15/23		172
	50	U.S. Treasury Note		2.75		2/28/18		52
	160	U.S. Treasury Note		2.75		2/15/24		166
	85	U.S. Treasury Note		2.75		2/15/19		89
	99	U.S. Treasury Note		2.75		5/31/17		102
	30	U.S. Treasury Note		2.88		3/31/18		31
	50	U.S. Treasury Note		3.00		2/28/17		51
	111	U.S. Treasury Note		3.13		5/15/19		117
	100	U.S. Treasury Note		3.13		1/31/17		102
	62	U.S. Treasury Note		3.25		3/31/17		64
	121	U.S. Treasury Note		3.38		11/15/19		129
	120	U.S. Treasury Note		3.50		5/15/20		129
	100	U.S. Treasury Note		3.50		2/15/18		105
	140	U.S. Treasury Note		3.63		2/15/20		150
	135	U.S. Treasury Note		3.63		2/15/21		147
	100	U.S. Treasury Note		3.63		8/15/19		107
	90	U.S. Treasury Note		3.75		11/15/18		96
	50	U.S. Treasury Note		3.88		5/15/18		53
	30	U.S. Treasury Note		4.00		8/15/18		32

See accompanying notes to financial statements.

129

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)				Rate %		Maturity Date		Value (000)
			U.S. Treasury Obligations (continued)
$	75		U.S. Treasury Note		4.25		11/15/17	$	79
	24		U.S. Treasury Note		4.25		5/15/39		30
	50		U.S. Treasury Note		4.63		2/15/17		52
	70		U.S. Treasury Note		4.75		8/15/17		74
	30		U.S. Treasury Note		5.50		8/15/28		40
			Total U.S. Treasury Obligations						18,208
			Yankee Dollars — 6.34%
	200		America Movil SAB de CV (Wireless Telecommunication Services)		6.13		3/30/40		220
	25		Bank of Nova Scotia (Banks)		1.85		4/14/20		24
	25		Bank of Nova Scotia (Banks)		2.13		9/11/19		25
	580		BHP Billiton Ltd. (Metals & Mining)		3.85		9/30/23		549
	30		BHP Billiton Ltd. (Metals & Mining)		5.00		9/30/43		27
	145		British Telecommunications PLC (Diversified Telecommunication Services)		9.63		12/15/30		212
	210		Canadian Natural Resources (Oil, Gas & Consumable Fuels)		5.70		5/15/17		214
	90		Canadian Natural Resources (Oil, Gas & Consumable Fuels)		5.90		2/1/18		94
	100		Canadian Pacific Railway Co. (Road & Rail), Callable 11/1/24 @ 100.00		2.90		2/1/25		94
	320		Canadian Pacific Railway Co. (Road & Rail), Callable 12/15/22 @ 100.00		4.45		3/15/23	��	339
	25		Canadian Pacific Railway Co. (Road & Rail)		7.25		5/15/19		29
	15		Delphi Automotive PLC (Auto Components), Callable 10/19/20 @ 100.00		3.15		11/19/20		15
	210		Deutsche Telekom International Finance (Diversified Financial Services) (a)(c)		8.75		6/15/30		291
	120		Diageo Capital PLC (Beverages)		5.88		9/30/36		140
	120		HSBC Holdings PLC (Banks)		5.10		4/5/21		133
	120		HSBC Holdings PLC (Banks)		6.80		6/1/38		150
	105		Iberdrola International BV (Electric Utilities)		5.81		3/15/25		119
	165		Iberdrola International BV (Electric Utilities)		6.75		7/15/36		202
	125		LyondellBasell Industries NV (Chemicals)		4.00		7/15/23		125
	500		LyondellBasell Industries NV (Chemicals), Callable 1/15/19 @ 100.00		5.00		4/15/19		532
	195		Orange SA (Diversified Telecommunication Services)		9.00		3/1/31		275
	200		Petroleos Mexicanos (Oil, Gas & Consumable Fuels)		5.75		3/1/18		209
	175		Petroleos Mexicanos (Oil, Gas & Consumable Fuels)		6.63		6/15/35		156
	160		Rio Tinto Finance USA Ltd. (Metals & Mining)		5.20		11/2/40		147
	225		Rio Tinto Finance USA PLC (Metals & Mining), Callable 12/22/21 @ 100.00		3.50		3/22/22		212
	25		Royal Bank of Canada (Banks)		1.20		9/19/17		25
	25		Royal Bank of Canada (Banks)		1.88		2/5/20		25
	25		Royal Bank of Canada (Banks)		2.20		9/23/19		25
	235		Shell International Finance BV (Diversified Financial Services)		6.38		12/15/38		278
	300		Statoil ASA (Oil, Gas & Consumable Fuels)		3.25		11/10/24		294
	30		Statoil ASA (Oil, Gas & Consumable Fuels)		5.10		8/17/40		32
	120		Telefonica Emisiones (Diversified Telecommunication Services)		7.05		6/20/36		144
	175		Telefonica Emisiones SAU (Diversified Telecommunication Services)		6.22		7/3/17		186
	100		Vodafone Group PLC (Wireless Telecommunication Services)		6.15		2/27/37		99
			Total Yankee Dollars						5,641
			Time Deposit — 0.06%
	53		State Street Liquidity Management Control System Eurodollar Time Deposit		0.01		1/4/16		53
			Total Time Deposit						53
			Mutual Funds — 8.52%
	6,846,666		SSgA Treasury Money Market Fund (b)		0.00				6,847
	729,319		SSgA U.S. Government Money Market Fund (b)						729
			Total Mutual Funds						7,576
			Total Investments Before TBA Sale Commitments (cost $91,451) — 101.49%						90,258
			TBA Sale Commitments (c) — (1.45)%
$	(25	)	Fannie Mae, 15 YR TBA		3.50		1/25/30		(26	)
	(65	)	Fannie Mae, 15 YR TBA		4.50		1/25/31		(67	)

See accompanying notes to financial statements.

130

HC CAPITAL TRUST

The Core Fixed Income Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Principal Amount (000)				Rate %		Maturity Date		Value (000)
			TBA Sale Commitments (c) (continued)
$	(50	)	Fannie Mae, 15 YR TBA		2.50		1/25/31	$	(50	)
	(25	)	Fannie Mae, 15 YR TBA		2.50		2/25/31		(25	)
	(50	)	Fannie Mae, 30 YR TBA		4.50		2/25/46		(54	)
	(75	)	Fannie Mae, 30 YR TBA		4.50		1/25/46		(81	)
	(25	)	Fannie Mae, 30 YR TBA		2.50		1/25/46		(24	)
	(75	)	Fannie Mae, 30 YR TBA		4.00		1/25/45		(79	)
	(50	)	Freddie Mac, Gold 15 YR TBA		4.50		1/15/31		(52	)
	(25	)	Freddie Mac, Gold 15 YR TBA		2.50		1/15/30		(25	)
	(50	)	Freddie Mac, Gold 15 YR TBA		3.00		1/15/31		(52	)
	(25	)	Freddie Mac, Gold 15 YR TBA		3.50		1/15/30		(26	)
	(25	)	Freddie Mac, Gold 30 YR TBA		5.00		1/15/46		(27	)
	(75	)	Freddie Mac, Gold 30 YR TBA		3.00		1/15/44		(75	)
	(25	)	Freddie Mac, Gold 30 YR TBA		3.00		2/15/46		(25	)
	(100	)	Freddie Mac, Gold 30 YR TBA		5.50		1/15/46		(111	)
	(75	)	Freddie Mac, Gold 30 YR TBA		4.50		1/15/44		(81	)
	(75	)	Freddie Mac, Gold 30 YR TBA		4.00		1/15/46		(79	)
	(75	)	Government National Mortgage Association, 30 YR TBA		3.00		2/20/45		(76	)
	(25	)	Government National Mortgage Association, 30 YR TBA		4.00		1/20/46		(27	)
	(25	)	Government National Mortgage Association, 30 YR TBA		3.50		1/15/46		(26	)
	(25	)	Government National Mortgage Association, 30 YR TBA		3.00		2/15/46		(25	)
	(25	)	Government National Mortgage Association, 30 YR TBA		3.00		2/15/46		(25	)
	(25	)	Government National Mortgage Association, 30 YR TBA		3.50		2/15/46		(26	)
	(50	)	Government National Mortgage Association, 30 YR TBA		5.50		1/15/46		(56	)
	(25	)	Government National Mortgage Association, 30 YR TBA		4.50		2/15/46		(27	)
	(25	)	Government National Mortgage Association, 30 YR TBA		4.50		1/15/46		(27	)
			Total TBA Sale Commitments						(1,274	)
			Liabilities in excess of other assets — (0.04)%						(33	)
			Net Assets — 100.00%					$	88,951

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at December 31, 2015.

(b) The rate disclosed is the rate in effect on December 31, 2015.

(c) Represents a “to be announced” transaction. The Portfolio has committed to sell securities for which all specific information is not available at this time. (See Note 2 in the Notes to Financial Statements.)

MTN — Medium Term Note

TBA — To Be Announced purchase or sale commitment. Security is subject to delayed delivery

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Core Fixed Income Portfolio	Agincourt Capital Management, LLC			Mellon Capital Management Corporation			HC Capital Solutions			Total
Asset Backed Securities		—			0.48	%		—			0.48	%
Collateralized Mortgage Obligations		—			1.82	%		—			1.82	%
U.S. Government Agency Mortgages		—			27.41	%		—			27.41	%
U.S. Government Agency Securities		—			1.56	%		—			1.56	%
Corporate Bonds		34.81	%		0.02	%		—			34.83	%
U.S. Treasury Obligations		—			20.47	%		—			20.47	%
Yankee Dollars		6.20	%		0.14	%		—			6.34	%
Time Deposit		—			0.06	%		—			0.06	%
Mutual Funds		0.82	%		0.75	%		6.95	%		8.52	%
TBA Sale Commitments		—			-1.45	%		—			-1.45	%
Other Assets (Liabilities)		0.48	%		-0.50	%		-0.02	%		-0.04	%
Total Net Assets		42.31	%		50.76	%		6.93	%		100.00	%

See accompanying notes to financial statements.

131

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The Fixed Income Opportunity Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Asset Backed Security — 0.65%
$	4,606	Magnus-Relda Holding Vier GMBH, Series 1A, Class JNR (a)		7.00		10/28/24	$	5,090
		Total Asset Backed Security						5,090
		Collateralized Mortgage Obligations — 16.33%
	6,000	Banc of America Merrill Lynch Mezzanine Securities Trust, Series 2014-INMZ, Class MZB (a)(b)(c)		8.81		12/15/19		6,000
	1,974	BLCP Hotel Trust, Series 2014-CLMZ, Class M (a)(b)		6.06		8/15/29		1,883
	6,000	Carefree Portfolio Trust, Series 2014-CMZB, Class MZB (a)(b)(c)		8.05		11/15/29		5,886
	4,000	Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class E (a)		3.00		2/10/48		2,428
	1,500	Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class E (a)(b)		3.21		7/10/47		961
	2,700	Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class E (a)(b)		4.16		4/10/48		1,878
	1,300	Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class F (a)(b)		4.16		4/10/48		724
	6,000	Commercial Mortgage Trust, Series 2014-CR21, Class F (a)		3.00		12/10/47		3,875
	3,409	Commercial Mortgage Trust, Series 2015-CR24, Class E (a)(b)		3.12		8/10/55		2,015
	5,500	Commercial Mortgage Trust, Series 2015-LC21, Class E (a)		3.25		7/10/48		3,364
	2,900	Commercial Mortgage Trust, Series 2013-CR7, Class G (a)(b)		4.35		3/10/46		2,087
	1,800	Commercial Mortgage Trust, Series 2015-CR25, Class F (a)(b)		4.55		8/10/48		919
	4,000	Commercial Mortgage Trust, Series 2015-CR25, Class E (a)(b)		4.55		8/10/48		2,681
	420	Commercial Mortgage Trust, Series 2013-CR12, Class E (a)(b)		5.08		10/10/46		358
	3,900	Connecticut Avenue Securities, Series 14-C02, Class 2M2 (b)		3.02		5/25/24		3,509
	2,970	Credit Suisse European Mortgage Capital Trust, Series 2014-1MGN, Class B (a)(b)		7.16		7/20/22		3,195
	8,500	Credit Suisse Mortgage Trust, Series 2015-TOWN, Class F (a)(b)		4.83		3/15/17		8,383
	4,000	Credit Suisse Mortgage Trust, Series 2015-LHMZ, Class MZ (a)(b)		8.93		7/6/20		3,997
	5,000	Credit Suisse Mortgage Trust, Series 2015-Town Mezzanine Securities Trust, Class MZ (a)(b)		9.18		3/1/28		4,950
	2,100	DBUBS Mortgage Trust, Series 2011-LC3A, Class G (a)		3.75		8/10/44		1,121
	600	Goldman Sachs Mortgage Securities Trust, Series 2013-GC14, Class F (a)(b)		4.77		8/10/46		490
	30,014	Goldman Sachs Mortgage Securities Trust, Series 2013-GC13, Class XB (a)(b)		0.58		7/10/46		1,257
	700	JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class E (a)(b)		3.36		9/15/47		464
	4,300	JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class E (a)(b)		4.62		8/15/48		2,999
	2,900	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBMZ, Class M (a)(b)		6.56		10/15/29		2,799
	4,700	Lone Star Portfolio Trust, Series 2015-LSP, Class F (a)(b)		7.10		9/15/28		4,693
	4,000	Morgan Stanley BAML Trust, Series 2015-C25, Class E (a)(b)		4.53		10/15/28		2,747
	1,110	Morgan Stanley BAMLTrust, Series 2015-C21, Class E (a)		3.01		3/15/48		692
	1,800	Morgan Stanley BAML Trust, Series 2015- C25, Class F (a)(b)		4.53		10/15/28		973
	5,000	Parklane Trust 2015 B Private		–		10/25/25		4,999
	15,000	Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M3 (b)		4.92		4/25/28		14,853
	15,000	Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class B (b)		9.57		4/25/28		14,682
	3,500	Structured Agency Credit Risk Debt Notes, Series 15-HQA2, Class B (b)		10.92		5/25/28		3,509
	4,726	UBS – Barclays Commercial Mortgage Trust, Series 2012-C2, Class G (a)(b)		4.89		5/10/63		3,229
	8,192	UBS – Barclays Commercial Mortgage Trust, Series 2012-C2, Class H (a)(b)		4.89		5/10/63		3,285
	4,800	Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E (a)		3.00		5/15/48		2,869
	510	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class E (a)		3.50		7/15/46		362
	4,000	Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E (a)(b)		4.61		11/15/48		2,785
		Total Collateralized Mortgage Obligations						127,901
		U.S. Government Agency Mortgage — 0.46%
	3,645	Connecticut Avenue Securities, Series 2015-C03, Class 1M2 (a)(b)		0.52		7/25/25		3,626
		Total U.S. Government Agency Mortgage						3,626
		Corporate Bonds — 51.31%
	1,719	A Schulman, Inc. (Chemicals), Callable 6/1/18 @ 105.16 (a)		6.88		6/1/23		1,646
	1,519	Acadia Healthcare Co., Inc. (Health Care Providers & Services), Callable 7/1/17 @ 103.84		5.13		7/1/22		1,420
	1,464	Alcoa, Inc. (Metals & Mining), Callable 7/1/24 @ 100.00		5.13		10/1/24		1,332
	2,176	Aleris International, Inc. (Metals & Mining), Callable 2/12/16 @ 103.81		7.63		2/15/18		1,850
	360	Aleris International, Inc. (Metals & Mining), Callable 2/12/16 @ 105.91		7.88		11/1/20		274
	1,184	Allegion US Holding Co., Inc. (Building Products), Callable 10/1/16 @ 104.31 (a)		5.75		10/1/21		1,199

See accompanying notes to financial statements.

132

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	80	Ally Financial, Inc. (Consumer Finance)		5.50		2/15/17	$	82
	143	Ally Financial, Inc. (Consumer Finance), Callable 10/20/25 @ 100.00		5.75		11/20/25		145
	248	Ally Financial, Inc. (Consumer Finance)		7.50		9/15/20		281
	2,624	Ally Financial, Inc. (Consumer Finance)		8.00		11/1/31		3,083
	800	Ally Financial, Inc. (Consumer Finance)		8.00		3/15/20		912
	1,183	Altice US Finance I Corp. (Wireless Telecommunication Services), Callable 7/15/18 @ 104.03 (a)		5.38		7/15/23		1,186
	707	AMC Networks, Inc. (Media), Callable 7/15/16 @ 104.00		7.75		7/15/21		742
	500	AmerenEnergy Generating Co., Series H (Electric Utilities)^		7.00		4/15/18		335
	2,603	American Airlines Pass-Through Trust, Series 2013-2, Class B (Airlines)		5.60		7/15/20		2,648
	716	American Airlines Pass-Through Trust, Class B (Airlines)		5.63		1/15/21		725
	4,082	American Axle & Manufacturing, Inc. (Auto Components), Callable 3/15/16 @ 105.00		6.25		3/15/21		4,224
	276	American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors), Callable 12/15/18 @ 104.31 (a)		5.75		12/15/23		278
	3,047	Amsted Industries, Inc. (Machinery), Callable 3/15/18 @ 103.00 (a)		5.00		3/15/22		3,047
	369	Amsted Industries, Inc. (Machinery), Callable 9/15/19 @ 102.69 (a)		5.38		9/15/24		362
	1,765	Anixter International, Inc. (Electronic Equipment, Instruments & Components)		5.13		10/1/21		1,765
	500	Anixter International, Inc. (Electronic Equipment, Instruments & Components) (a)		5.50		3/1/23		503
	2,408	ARC Properties Operating Partnership, LP (Capital Markets), Callable 11/6/23 @ 100.00		4.60		2/6/24		2,282
	1,729	Audatex North America, Inc. (Software), Callable 6/15/17 @ 103.00 (a)		6.00		6/15/21		1,742
	1,630	B&G Foods, Inc. (Food Products), Callable 6/1/16 @ 103.47		4.63		6/1/21		1,614
	1,612	Belo Corp. (Media)		7.25		9/15/27		1,636
	2,736	Blue Racer Mid LLC/Blue Racer Mid Finance (Oil, Gas & Consumable Fuels), Callable 11/15/17 @ 104.60 (a)		6.13		11/15/22		1,888
	1,114	Building Materials Corp. of America (Building Products), Callable 11/15/19 @ 102.39 (a)		5.38		11/15/24		1,111
	731	Cable One, Inc. (Media), Callable 6/15/18 @ 102.88 (a)		5.75		6/15/22		727
	3,697	Cablevision Systems Corp. (Media)		5.88		9/15/22		3,143
	175	Cablevision Systems Corp. (Media)		8.00		4/15/20		171
	53	CalAtlantic Group, Inc. (Household Durables), Callable 6/15/21 @ 100.00		6.25		12/15/21		57
	5,594	California Resources Corp. (Oil, Gas & Consumable Fuels), Callable 6/15/21 @ 100.00		5.50		9/15/21		1,762
	1,875	Calpine Corp. (Independent Power and Renewable Electricity Producers), Callable 1/15/17 @ 103.94 (a)		7.88		1/15/23		1,997
	2,425	Cardtronics, Inc. (IT Services), Callable 8/1/17 @ 103.84		5.13		8/1/22		2,340
	1,179	CCO Holdings LLC/CCO Holdings Capital Corp. (Diversified Telecommunication Services), Callable 2/15/18 @ 103.00		5.13		2/15/23		1,180
	385	CCO Holdings LLC/CCO Holdings Capital Corp. (Diversified Telecommunication Services), Callable 3/15/16 @ 104.00		5.25		3/15/21		400
	661	CCO Holdings LLC/CCO Holdings Capital Corp. (Diversified Telecommunication Services), Callable 9/30/17 @ 103.00		5.25		9/30/22		668
	2,835	CCO Holdings LLC/CCO Holdings Capital Corp. (Diversified Telecommunication Services), Callable 5/1/20 @ 102.68 (a)		5.38		5/1/25		2,821
	1,005	CCO Holdings LLC/CCO Holdings Capital Corp. (Diversified Telecommunication Services), Callable 7/15/18 @ 102.88 ^		5.75		1/15/24		1,033
	1,935	CCO Holdings LLC/CCO Holdings Capital Corp. (Diversified Telecommunication Services), Callable 3/1/18 @ 103.00		5.75		9/1/23		1,983
	1,307	CCOH Safari LLC (Media), Callable 2/15/21 @ 102.87 (a)		5.75		2/15/26		1,310
	753	CDW LLC/CDW Finance (Trading Companies & Distributors), Callable 3/1/18 @ 103.75		5.00		9/1/23		764
	187	CDW LLC/CDW Finance (Trading Companies & Distributors), Callable 8/15/17 @ 104.50		6.00		8/15/22		197
	3,614	CenturyLink, Inc. (Diversified Telecommunication Services)		5.63		4/1/20		3,573
	2,118	CenturyLink, Inc., Series T (Diversified Telecommunication Services)		5.80		3/15/22		1,941
	245	CenturyLink, Inc. (Diversified Telecommunication Services)		6.45		6/15/21		239
	3,120	Cenveo Corp. (Commercial Services & Supplies), Callable 2/1/19 @ 100.00 (a)		6.00		8/1/19		2,199
	1,530	Cenveo Corp. (Commercial Services & Supplies), Callable 2/12/16 @ 105.75^		11.50		5/15/17		1,415
	3,168	Cequel Communications Holdings I LLC/Cequel Capital Corp. (Media), Callable 2/12/16 @ 104.78 (a)		6.38		9/15/20		3,097
	3,012	Chemours Co. (Chemicals), Callable 5/15/20 @ 103.50 (a)		6.63		5/15/23		2,108

See accompanying notes to financial statements.

133

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	1,506	Chemours Co. (Chemicals), Callable 5/15/20 @ 103.50 (a)		7.00		5/15/25	$	1,028
	2,752	Chemtura Corp. (Chemicals), Callable 7/15/16 @ 104.00		5.75		7/15/21		2,766
	1,009	Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels), Callable 12/15/18 @ 104.00		8.00		12/15/22		494
	3,659	CHS/Community Health Systems, Inc. (Health Care Providers & Services), Callable 7/15/16 @ 104.00		7.13		7/15/20		3,645
	788	Churchill Downs, Inc. (Hotels, Restaurants & Leisure), Callable 12/15/16 @ 104.00 (a)		5.38		12/15/21		790
	1,500	Cincinnati Bell, Inc. (Diversified Telecommunication Services), Callable 2/12/16 @ 104.19		8.38		10/15/20		1,534
	115	CIT Group, Inc. (Banks)		5.00		5/15/17		118
	5,271	CIT Group, Inc. (Banks)		5.00		8/15/22		5,413
	1,760	CIT Group, Inc. (Banks) (a)		6.63		4/1/18		1,857
	2,580	Citigroup, Inc. (Banks), Callable 11/15/20 @ 100.00 (b)		6.13		12/29/49		2,632
	1,331	Clayton Williams Energy, Inc. (Oil, Gas & Consumable Fuels), Callable 2/12/16 @ 103.88^		7.75		4/1/19		1,027
	65	Clean Harbors, Inc. (Commercial Services & Supplies), Callable 12/1/16 @ 102.56		5.13		6/1/21		66
	40	Clean Harbors, Inc. (Commercial Services & Supplies), Callable 8/1/16 @ 102.63		5.25		8/1/20		41
	1,235	Clear Channel Worldwide Holdings, Inc., Series B (Media), Callable 11/15/17 @ 103.00		6.50		11/15/22		1,204
	106	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp. (Oil, Gas & Consumable Fuels), Callable 3/15/19 @ 103.00		6.38		3/15/24		31
	710	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp. (Oil, Gas & Consumable Fuels), Callable 2/12/16 @ 102.83		8.50		12/15/19		355
	2,802	CNH Industrial Capital LLC (Machinery)		4.38		11/6/20		2,641
	1,418	Commercial Metals Co. (Metals & Mining), Callable 2/15/23 @ 100.00		4.88		5/15/23		1,177
	497	Commscope, Inc. (Wireless Telecommunication Services), Callable 6/15/17 @ 102.19		4.38		6/15/20		501
	2,239	Commscope, Inc. (Wireless Telecommunication Services), Callable 6/15/17 @ 102.50 (a)		5.00		6/15/21		2,147
	1,698	Consol Energy, Inc. (Oil, Gas & Consumable Fuels), Callable 4/15/17 @ 104.41		5.88		4/15/22		1,053
	911	Constellation Brands, Inc. (Beverages)		4.75		12/1/25		928
	4,094	Cott Beverages, Inc. (Beverages), Callable 7/1/17 @ 104.03		5.38		7/1/22		4,012
	343	Cott Beverages, Inc. (Beverages), Callable 1/1/17 @ 103.38		6.75		1/1/20		354
	59	Credit Acceptance Corp. (Consumer Finance), Callable 2/15/17 @ 103.06		6.13		2/15/21		58
	4,205	Credit Acceptance Corp. (Consumer Finance), Callable 3/15/18 @ 105.53 (a)		7.38		3/15/23		4,183
	2,224	Crown Castle International Corp. (Real Estate Investment Trusts)		5.25		1/15/23		2,338
	776	CSC Holdings LLC (Media)		6.75		11/15/21		762
	1,483	CSC Holdings LLC (Media)		8.63		2/15/19		1,579
	2,000	CTR Partnership LP/CareTrust Capital Corp. (Capital Markets), Callable 6/1/17 @ 102.94		5.88		6/1/21		2,018
	986	D.R. Horton, Inc. (Household Durables), Callable 12/1/18 @ 100.00		3.75		3/1/19		986
	636	D.R. Horton, Inc. (Household Durables), Callable 6/15/22 @ 100.00		4.38		9/15/22		632
	90	D.R. Horton, Inc. (Household Durables), Callable 11/15/22 @ 100.00		4.75		2/15/23		92
	1,424	Darling Ingredients, Inc. (Food Products), Callable 1/15/17 @ 104.03		5.38		1/15/22		1,403
	1,149	DCP Midstream LLC (Oil, Gas & Consumable Fuels) (a)		5.35		3/15/20		988
	459	DigitalGlobe, Inc. (Aerospace & Defense), Callable 2/1/17 @ 103.00		5.25		2/1/21		386
	1,640	DISH DBS Corp. (Media)		5.13		5/1/20		1,624
	1,140	DISH DBS Corp. (Media)		5.88		7/15/22		1,063
	1,135	DISH DBS Corp. (Media)		6.75		6/1/21		1,144
	1,052	DISH DBS Corp. (Media)		7.88		9/1/19		1,144
	750	Dynegy, Inc. (Independent Power and Renewable Electricity Producers), Callable 6/1/18 @ 102.93		5.88		6/1/23		602
	61	Dynegy, Inc. (Independent Power and Renewable Electricity Producers), Callable 5/1/17 @ 103.38		6.75		11/1/19		57
	145	EchoStar DBS Corp. (Media)		7.13		2/1/16		145
	2,300	Envision Healthcare (Health Care Providers & Services) (b)		–		10/28/22		2,284
	1,596	Equinix, Inc. (Real Estate Investment Trusts), Callable 4/1/17 @ 102.44		4.88		4/1/20		1,659
	1,221	Equinix, Inc. (Real Estate Investment Trusts), Callable 4/1/18 @ 103.00		5.38		4/1/23		1,245
	1,500	Exterran Partners LP (Energy Equipment & Services), Callable 4/1/17 @ 103.00		6.00		4/1/21		1,234
	263	Family Tree Escrow LLC (Multiline Retail), Callable 3/19/17 @ 102.63 (a)		5.25		3/1/20		272
	657	Family Tree Escrow LLC (Multiline Retail), Callable 3/1/18 @ 104.31 (a)		5.75		3/1/23		684

See accompanying notes to financial statements.

134

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	3,347	First Cash Financial Services, Inc. (Consumer Finance), Callable 4/1/17 @ 105.06		6.75		4/1/21	$	3,280
	2,281	Frontier Communications Corp. (Diversified Telecommunication Services), Callable 6/15/21 @ 100.00		6.25		9/15/21		1,933
	900	Frontier Communications Corp. (Diversified Telecommunication Services)		7.13		1/15/23		776
	5,564	Frontier Communications Corp. (Diversified Telecommunication Services)		8.50		4/15/20		5,577
	1,377	Frontier Communications Corp. (Diversified Telecommunication Services), Callable 6/15/22 @ 100.00 (a)		10.50		9/15/22		1,368
	3,861	FTS International, Inc. (Energy Equipment & Services), Callable 5/1/17 @ 104.69		6.25		5/1/22		1,081
	1,639	FTS International, Inc. (Energy Equipment & Services), Callable 6/15/16 @ 103.00 (a)(b)		8.01		6/15/20		1,115
	531	Gannett Co., Inc. (Media), Callable 9/15/17 @ 102.44		4.88		9/15/21		532
	210	GCI, Inc. (Diversified Telecommunication Services), Callable 6/1/16 @ 103.00		6.75		6/1/21		213
	1,249	General Motors Financial Co. (Consumer Finance)		4.25		5/15/23		1,236
	3,461	Genesis Energy, LP (Oil, Gas & Consumable Fuels), Callable 2/15/17 @ 103.00		5.75		2/15/21		2,925
	480	Genesis Energy, LP (Oil, Gas & Consumable Fuels), Callable 5/15/18 @ 104.50		6.00		5/15/23		384
	1,006	Genesis Energy, LP (Oil, Gas & Consumable Fuels), Callable 8/1/18 @ 103.38		6.75		8/1/22		855
	2,655	GenOn Energy, Inc. (Independent Power and Renewable Electricity Producers)		9.50		10/15/18		2,145
	3,040	GenOn Energy, Inc. (Independent Power and Renewable Electricity Producers), Callable 10/15/20 @ 104.94		9.88		10/15/20		2,250
	1,425	GMAC, Inc. (Consumer Finance)		8.00		11/1/31		1,646
	2,400	Goldman Sachs Group, Inc., Series M (Capital Markets), Callable 5/10/20 @ 100.00, Perpetual Bond (b)(d)		5.37		12/31/49		2,381
	1,595	Harland Clarke Holdings Corp. (Commercial Services & Supplies), Callable 3/1/17 @ 103.00 (a)		6.88		3/1/20		1,324
	1,622	Harland Clarke Holdings Corp. (Commercial Services & Supplies), Callable 2/12/16 @ 104.88 (a)		9.75		8/1/18		1,500
	4,108	HCA Holdings, Inc. (Health Care Providers & Services), Callable 8/15/25 @ 100.00		5.88		2/15/26		4,124
	1,475	HCA, Inc. (Health Care Providers & Services)		5.38		2/1/25		1,457
	687	HCA, Inc. (Health Care Providers & Services)		5.88		3/15/22		725
	455	HCA, Inc. (Health Care Providers & Services)		6.50		2/15/20		496
	4,940	Hornbeck Offshore Services, Inc. (Energy Equipment & Services), Callable 3/1/16 @ 104.00		5.00		3/1/21		3,359
	216	Hughes Satellite Systems Corp. (Diversified Telecommunication Services)		6.50		6/15/19		233
	1,111	Hughes Satellite Systems Corp. (Diversified Telecommunication Services)		7.63		6/15/21		1,178
	954	Huntington Ingalls Industries, Inc. (Aerospace & Defense), Callable 11/15/20 @ 102.50 (a)		5.00		11/15/25		968
	3,047	Huntsman International LLC (Chemicals), Callable 8/15/20 @ 100.00^		4.88		11/15/20		2,780
	88	Huntsman International Ltd. (Chemicals), Callable 8/15/22 @ 100.00^		5.13		11/15/22		79
	2,466	Ingles Markets, Inc. (Food & Staples Retailing), Callable 6/15/18 @ 103.00 (a)		5.75		6/15/23		2,460
	1,321	International Lease Finance Corp. (Trading Companies & Distributors)		5.88		8/15/22		1,407
	1,055	International Lease Finance Corp. (Trading Companies & Distributors)		5.88		4/1/19		1,118
	1,330	International Lease Finance Corp. (Trading Companies & Distributors)		6.25		5/15/19		1,425
	90	International Lease Finance Corp. (Trading Companies & Distributors)		8.25		12/15/20		106
	1,271	Iron Mountain, Inc. (Real Estate Investment Trusts), Callable 10/1/17 @ 103.00 (a)		6.00		10/1/20		1,341
	1,100	J.B. Poindexter & Co., Inc. (Auto Components), Callable 4/1/17 @ 105.00 (a)		9.00		4/1/22		1,150
	967	JBS USA LLC/JBS USA Finance, Inc. (Food Products), Callable 2/12/16 @ 105.44 (a)		7.25		6/1/21		960
	746	JMC Steel Group, Inc. (Metals & Mining), Callable 2/12/16 @ 104.13 (a)		8.25		3/15/18		494
	2,400	JPMorgan Chase & Co. (Banks), Callable 5/1/20 @ 100.00, Perpetual Bond (b)(d)		5.30		12/31/49		2,391
	2,827	Kindred Healthcare, Inc. (Health Care Providers & Services), Callable 4/15/17 @ 104.78		6.38		4/15/22		2,346
	3,267	KLX, Inc. (Aerospace & Defense), Callable 12/1/17 @ 104.41 (a)		5.88		12/1/22		3,104
	1,156	Lamar Media Corp. (Media), Callable 2/1/17 @ 102.94		5.88		2/1/22		1,214
	1,872	Lennar Corp. (Household Durables), Callable 2/28/25 @ 100.00		4.75		5/30/25		1,830
	316	Lennar Corp. (Household Durables), Callable 8/15/22 @ 100.00 (b)		4.75		11/15/22		313
	517	Lennar Corp. (Household Durables), Callable 9/15/23 @ 100.00		4.88		12/15/23		514
	1,411	LifePoint Hospitals, Inc. (Health Care Providers & Services), Callable 12/1/16 @ 104.13		5.50		12/1/21		1,436
	1,953	Limited Brands, Inc. (Specialty Retail)		5.63		2/15/22		2,075
	64	LKQ Corp. (Distributors), Callable 5/15/18 @ 102.38		4.75		5/15/23		60
	4,981	Lockheed Martin Corp. (Aerospace & Defense) (a)		7.42		9/15/20		4,968
	392	Lynx I Corp. (Media), Callable 4/15/17 @ 103.00 (a)		5.38		4/15/21		405

See accompanying notes to financial statements.

135

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	1,301	M/I Homes, Inc. (Household Durables), Callable 1/15/18 @ 103.37 (a)		6.75		1/15/21	$	1,281
	4,475	Martin Midstream Partners LP/Martin Midstream Finance Corp. (Oil, Gas & Consumable Fuels), Callable 2/15/17 @ 104.00		7.25		2/15/21		3,937
	1,812	Meritage Homes Corp. (Household Durables)		7.15		4/15/20		1,907
	2,500	MetLife, Inc., Series C (Insurance), Callable 6/15/20 @ 100.00, Perpetual Bond (b)(d)		5.25		12/31/49		2,544
	6,361	MGM Resorts International (Hotels, Restaurants & Leisure)		5.25		3/31/20		6,297
	150	MidContinent Express Pipeline LLC (Oil, Gas & Consumable Fuels)		6.70		9/15/19		140
	500	MPLX LP (Oil, Gas & Consumable Fuels), Callable 3/1/25 @ 100.00		4.88		6/1/25		448
	386	MPLX LP (Oil, Gas & Consumable Fuels), Callable 9/1/24 @ 100.00		4.88		12/1/24		346
	3,427	MPT Operating Partnership LP/MPT Finance Corp. (Real Estate Investment Trusts), Callable 2/15/17 @ 103.00		6.38		2/15/22		3,496
	1,629	MPT Operating Partnership LP/MPT Finance Corp. (Real Estate Investment Trusts), Callable 5/1/16 @ 103.00		6.88		5/1/21		1,690
	1,843	Multi-Color Corp. (Commercial Services & Supplies), Callable 12/1/17 @ 104.60 (a)		6.13		12/1/22		1,825
	5,023	Navient LLC (Consumer Finance)		6.13		3/25/24		4,094
	748	NCR Corp. (Technology Hardware, Storage & Peripherals), Callable 2/15/17 @ 102.31		4.63		2/15/21		712
	2,776	NCR Corp. (Technology Hardware, Storage & Peripherals), Callable 12/15/17 @ 102.94		5.88		12/15/21		2,735
	2,793	Neptune Finance Corp. (Media), Callable 1/15/19 @ 107.59 (a)		10.13		1/15/23		2,912
	597	Netflix, Inc. (Internet & Catalog Retail) (a)		5.50		2/15/22		612
	1,619	Netflix, Inc. (Internet & Catalog Retail)		5.75		3/1/24		1,664
	2,083	Netflix, Inc. (Internet & Catalog Retail) (a)		5.88		2/15/25		2,135
	198	Nexstar Broadcasting Group, Inc. (Media), Callable 2/12/16 @ 105.16		6.88		11/15/20		202
	3,214	NGL Energy Partners LP/Finance Co. (Oil, Gas & Consumable Fuels), Callable 10/15/16 @ 105.16		6.88		10/15/21		2,411
	385	Nielsen Finance LLC/Nielsen Finance Co. (Diversified Financial Services), Callable 10/1/16 @ 102.00 (a)		4.50		10/1/20		391
	387	Nielsen Finance LLC/Nielsen Finance Co. (Diversified Financial Services), Callable 4/15/17 @ 104.00 (a)		5.00		4/15/22		382
	634	NRG Energy, Inc. (Independent Power and Renewable Electricity Producers), Callable 7/15/18 @ 103.12		6.25		7/15/22		550
	3,157	NRG Energy, Inc. (Independent Power and Renewable Electricity Producers), Callable 5/15/16 @ 104.00		7.88		5/15/21		2,960
	1,825	NRG Energy, Inc. (Independent Power and Renewable Electricity Producers), Callable 2/12/16 @ 104.13		8.25		9/1/20		1,770
	1,534	NuStar Logistics LP (Oil, Gas & Consumable Fuels)		4.80		9/1/20		1,381
	370	NuStar Logistics LP (Oil, Gas & Consumable Fuels)		6.75		2/1/21		348
	115	Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels), Callable 7/15/17 @ 103.44		6.88		1/15/23		71
	3,544	Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels), Callable 9/15/17 @ 103.44^		6.88		3/15/22		2,268
	2,469	Orbital ATK, Inc. (Aerospace & Defense), Callable 10/1/16 @ 103.94		5.25		10/1/21		2,481
	3,453	Penske Automotive Group (Specialty Retail), Callable 12/1/19 @ 102.69		5.38		12/1/24		3,488
	3,609	PHH Corp. (Thrifts & Mortgage Finance), Callable 8/15/17 @ 103.00		6.38		8/15/21		3,284
	969	PolyOne Corp. (Chemicals)		5.25		3/15/23		945
	4,909	Post Holdings, Inc. (Food Products), Callable 2/15/17 @ 103.69		7.38		2/15/22		5,117
	2,030	QEP Resources, Inc. (Oil, Gas & Consumable Fuels)		6.80		3/1/20		1,822
	1,144	Quad Graphics, Inc. (Commercial Services & Supplies)		7.00		5/1/22		718
	1,503	Quicken Loans, Inc. (Diversified Financial Services), Callable 5/1/20 @ 102.88		5.75		5/1/25		1,432
	185	Quintiles Transnational (Pharmaceuticals), Callable 5/15/18 @ 103.66		4.88		5/15/23		186
	42	Resolute Forest Products (Paper & Forest Products), Callable 5/15/17 @ 104.41		5.88		5/15/23		31
	938	Rose Rock Midstream, LP (Oil, Gas & Consumable Fuels), Callable 7/15/17 @ 104.22		5.63		7/15/22		666
	1,550	Rose Rock Midstream, LP (Oil, Gas & Consumable Fuels), Callable 5/15/19 @ 102.81 (a)		5.63		11/15/23		1,101
	750	RRI Energy, Inc. (Independent Power and Renewable Electricity Producers)		7.88		6/15/17		653
	2,467	Sabine Pass Liquefaction (Oil, Gas & Consumable Fuels), Callable 1/1/22 @ 100.00 (a)		5.63		3/1/25		2,088
	35	Sabine Pass LNG LP (Oil, Gas & Consumable Fuels), Callable 11/1/16 @ 103.25		6.50		11/1/20		34
	794	Sabre Holdings Corp. (Software), Callable 11/15/18 @ 103.93 (a)		5.25		11/15/23		785
	1,482	Sabre Holdings Corp. (Software), Callable 4/15/18 @ 104.03		5.38		4/15/23		1,475
	1,147	Sanchez Energy Corp. (Oil, Gas & Consumable Fuels), Callable 7/15/18 @ 103.06^		6.13		1/15/23		619

See accompanying notes to financial statements.

136

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %			Maturity Date		Value (000)
		Corporate Bonds (continued)
$	4,252	Select Medical Corp. (Health Care Providers & Services), Callable 6/1/16 @ 105.00		6.38			6/1/21	$	3,721
	1,521	SemGroup Corp. (Oil, Gas & Consumable Fuels), Callable 6/15/16 @ 106.00		7.50			6/15/21		1,361
	57	Service Corp. International (Diversified Consumer Services), Callable 5/15/19 @ 102.69		5.38			5/15/24		59
	557	Service Corp. International (Diversified Consumer Services)		8.00			11/15/21		654
	421	Shea Homes LP/Funding Corp. (Real Estate Investment Trusts), Callable 6/15/21 @ 100.00 (a)		6.13			4/1/25		433
	1,786	Sinclair Television Group, Inc. (Media), Callable 4/1/16 @ 104.00		5.38			4/1/21		1,790
	238	Sinclair Television Group, Inc. (Media), Callable 10/1/17 @ 103.00		6.13			10/1/22		243
	293	Sinclair Television Group, Inc. (Media), Callable 11/1/16 @ 105.00		6.38			11/1/21		302
	1,444	Sirius XM Radio, Inc. (Media), Callable 4/15/20 @ 102.69 (a)		5.38			4/15/25		1,453
	733	Sirius XM Radio, Inc. (Media), Callable 8/1/16 @ 104.31 (a)		5.75			8/1/21		757
	157	Sirius XM Radio, Inc. (Media), Callable 10/1/16 @ 103.00 (a)		5.88			10/1/20		164
	700	Sirius XM Radio, Inc. (Media), Callable 7/15/19 @ 103.00 (a)		6.00	��		7/15/24		732
	2,396	SLM Corp. (Consumer Finance)		5.50			1/15/19		2,240
	130	Sonic Automotive, Inc. (Specialty Retail), Callable 7/15/17 @ 103.50		7.00			7/15/22		137
	901	Spectrum Brands, Inc. (Household Durables), Callable 7/15/20 @ 102.88 (a)		5.75			7/15/25		924
	2,525	Sprint Capital Corp. (Wireless Telecommunication Services)		6.90			5/1/19		2,058
	630	Sprint Corp. (Wireless Telecommunication Services), Callable 11/15/24 @ 100.00 (a)		7.63			2/15/25		460
	1,396	Sprint Nextel Corp. (Wireless Telecommunication Services)		6.00			11/15/22		1,002
	960	Sprint Nextel Corp. (Wireless Telecommunication Services)		7.00			3/1/20		962
	590	Sprint Nextel Corp. (Wireless Telecommunication Services)		7.00			8/15/20		456
	770	Sprint Nextel Corp. (Wireless Telecommunication Services)		11.50			11/15/21		708
	47	Standard Pacific Corp. (Household Durables)		8.38			1/15/21		55
	281	Steel Dynamics, Inc. (Metals & Mining), Callable 10/1/17 @ 102.56		5.13			10/1/21		260
	461	Steel Dynamics, Inc. (Metals & Mining), Callable 4/15/18 @ 103.00		5.25			4/15/23		421
	1,000	Steel Dynamics, Inc. (Metals & Mining), Callable 8/15/17 @ 103.00		6.38			8/15/22		960
	2,525	Summit Midstream Holdings LLC (Oil, Gas & Consumable Fuels), Callable 7/1/16 @ 105.63		7.50			7/1/21		2,146
	900	Targa Resources Partners LP (Oil, Gas & Consumable Fuels), Callable 2/1/17 @ 103.00		6.38			8/1/22		776
	504	Taylor Morrison Communities, Inc. (Real Estate Management & Development), Callable 4/15/16 @ 103.94 (a)		5.25			4/15/21		504
	1,116	Taylor Morrison Communities, Inc. (Real Estate Management & Development), Callable 1/15/23 @ 100.00 (a)		5.88			4/15/23		1,102
	3,123	Tenet Healthcare Corp. (Health Care Providers & Services)		4.50			4/1/21		3,045
	267	Tenet Healthcare Corp. (Health Care Providers & Services)		4.75			6/1/20		268
	3,531	Tenet Healthcare Corp. (Health Care Providers & Services)		6.00			10/1/20		3,716
	1,510	Tesoro Logistics LP/Tesoro Logistics Corp. (Oil, Gas & Consumable Fuels), Callable 10/1/16 @ 103.00		5.88			10/1/20		1,442
	75	Tesoro Logistics LP/Tesoro Logistics Corp. (Oil, Gas & Consumable Fuels), Callable 10/15/16 @ 104.59		6.13			10/15/21		71
	119	Tesoro Logistics LP/Tesoro Logistics Corp. (Oil, Gas & Consumable Fuels), Callable 10/15/18 @ 103.13 (a)		6.25			10/15/22		113
	1,949	The ADT Corp. (Commercial Services & Supplies)		3.50			7/15/22		1,744
	1,703	The ADT Corp. (Commercial Services & Supplies)^		6.25			10/15/21		1,779
	7	The AES Corp. (Independent Power and Renewable Electricity Producers), Callable 3/15/19 @ 102.75 (b)		3.41			6/1/19		6
	61	The AES Corp. (Independent Power and Renewable Electricity Producers), Callable 4/15/20 @ 102.75		5.50			4/15/25		54
	4,400	The AES Corp. (Independent Power and Renewable Electricity Producers), Callable 6/1/21 @ 100.00		7.38			7/1/21		4,487
	250	The AES Corp. (Independent Power and Renewable Electricity Producers)^		8.00			6/1/20		275
	2,196	The Goodyear Tire & Rubber Co. (Auto Components), Callable 3/1/16 @ 104.88		6.50			3/1/21		2,309
	3,300	The Goodyear Tire & Rubber Co. (Auto Components)		8.75			8/15/20		3,919
	1,008	The Men’s Wearhouse, Inc. (Specialty Retail), Callable 7/1/17 @ 105.25		7.00			7/1/22		716
	1,582	The Ryland Group, Inc. (Household Durables)		5.38			10/1/22		1,590
	713	T-Mobile USA, Inc. (Wireless Telecommunication Services), Callable 9/1/18 @ 103.00		6.00			3/1/23		722

See accompanying notes to financial statements.

137

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	692	T-Mobile USA, Inc. (Wireless Telecommunication Services), Callable 1/15/18 @ 103.00		6.13		1/15/22	$	711
	2,633	T-Mobile USA, Inc. (Wireless Telecommunication Services), Callable 4/1/17 @ 103.00		6.25		4/1/21		2,718
	1,916	T-Mobile USA, Inc. (Wireless Telecommunication Services), Callable 1/15/21 @ 103.25		6.50		1/15/26		1,934
	600	T-Mobile USA, Inc. (Wireless Telecommunication Services), Callable 1/15/19 @ 103.25		6.50		1/15/24		612
	2,081	Toll Brothers Finance Corp. (Household Durables)		5.88		2/15/22		2,184
	1,000	Toll Holdings, Inc. (Household Durables), Callable 1/15/23 @ 100.00		4.38		4/15/23		970
	2,917	TreeHouse Foods, Inc. (Food Products), Callable 3/15/17 @ 103.65		4.88		3/15/22		2,778
	2,894	Unit Corp. (Energy Equipment & Services), Callable 5/15/16 @ 103.31		6.63		5/15/21		2,084
	916	United Airlines Pass Through Trust, Class B (Airlines)		4.63		9/3/22		914
	600	United Rentals Inc. (Commercial Services & Supplies), Callable 5/15/19 @ 102.87		5.75		11/15/24		594
	418	United Rentals NA, Inc. (Trading Companies & Distributors), Callable 7/15/18 @ 103.47		4.63		7/15/23		417
	1,520	United Rentals NA, Inc. (Trading Companies & Distributors), Callable 4/15/17 @ 104.00		7.63		4/15/22		1,625
	3,325	Universal Hospital Services, Inc. (Health Care Providers & Services), Callable 2/12/16 @ 105.72		7.63		8/15/20		3,121
	3,428	Univision Communications, Inc. (Media), Callable 9/15/17 @ 103.38 (a)		6.75		9/15/22		3,553
	5,729	URS Corp. (Construction & Engineering), Callable 1/1/22 @ 100.00		5.00		4/1/22		5,378
	2,223	Valeant Pharmaceuticals International, Inc. (Pharmaceuticals), Callable 10/15/16 @ 103.00 (a)		6.38		10/15/20		2,145
	500	VEREIT, Inc. (Real Estate Investment Trusts), Callable 1/6/19 @ 100.00		3.00		2/6/19		481
	2,784	ViaSat, Inc. (Communications Equipment), Callable 6/15/16 @ 103.00		6.88		6/15/20		2,888
	1,914	Vista Outdoor, Inc. (Leisure Products), Callable 10/1/18 @ 104.40 (a)		5.88		10/1/23		1,962
	3,010	Vulcan Materials Co. (Construction Materials)		7.50		6/15/21		3,507
	1,957	West Corp. (Commercial Services & Supplies), Callable 7/15/17 @ 104.00		5.38		7/15/22		1,688
	2,210	Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels), Callable 12/15/18 @ 100.00		5.00		3/15/19		1,669
	3,781	Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels), Callable 12/15/20 @ 100.00		5.75		3/15/21		2,756
	600	Windstream Corp. (Diversified Telecommunication Services), Callable 2/12/16 @ 103.88^		7.75		10/15/20		506
	2,723	Windstream Corp. (Diversified Telecommunication Services)		7.88		11/1/17		2,786
	2,007	ZF North America Capital (Auto Components) (a)		4.50		4/29/22		1,962
	1,596	ZF North America Capital (Auto Components)		4.75		4/29/25		1,520
		Total Corporate Bonds						401,863
		Yankee Dollars — 11.70%
	1,429	1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure), Callable 10/1/17 @ 102.31 (a)		4.63		1/15/22		1,433
	1,882	AerCap Ireland Capital Ltd. (Trading Companies & Distributors)		3.75		5/15/19		1,880
	2,294	AerCap Ireland Capital Ltd. (Trading Companies & Distributors)		4.50		5/15/21		2,331
	298	AerCap Ireland Capital Ltd. (Trading Companies & Distributors)		5.00		10/1/21		307
	28	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Trading Companies & Distributors)		4.63		7/1/22		28
	1,225	Aircastle Ltd. (Trading Companies & Distributors)		5.50		2/15/22		1,259
	865	Aircastle Ltd. (Trading Companies & Distributors)		7.63		4/15/20		973
	1,940	Albea Beauty Holdings SA (Containers & Packaging), Callable 2/12/16 @ 106.28 (a)		8.38		11/1/19		2,018
	4,700	Altice Financing SA (Consumer Finance), Callable 4/1/16 @ 103.75 (a)		6.63		2/15/23		4,641
	2,973	ArcelorMittal (Metals & Mining)		6.00		8/5/20		2,375
	100	ArcelorMittal (Metals & Mining)		6.13		6/1/18		92
	1,506	ArcelorMittal (Metals & Mining)^		7.00		2/25/22		1,212
	1,235	Barry Callebaut Services NV (Food Products) (a)		5.50		6/15/23		1,296
	130	Bombardier, Inc. (Aerospace & Defense) (a)		6.13		1/15/23		90
	840	Bombardier, Inc. (Aerospace & Defense), Callable 3/15/20 @ 103.75 (a)		7.50		3/15/25		588
	358	Cascades, Inc. (Containers & Packaging), Callable 7/15/17 @ 104.13 (a)		5.50		7/15/22		347
	1,800	Cascades, Inc. (Containers & Packaging), Callable 7/15/18 @ 104.31 (a)		5.75		7/15/23		1,728
	3,323	Cimpress NV (Internet Software & Services), Callable 4/1/18 @ 105.25		7.00		4/1/22		3,190
	1,758	Cogeco Cable, Inc. (Media), Callable 5/1/16 @ 104.00 (a)		4.88		5/1/20		1,754
	4,602	Drill Rigs Holdings, Inc. (Energy Equipment & Services), Callable 2/12/16 @ 103.25^ (a)		6.50		10/1/17		2,703
	125	FMG Resources (August 2006) Pty Ltd. (Metals & Mining), Callable 3/1/18 @ 109.75^ (a)		9.75		3/1/22		114
	2,596	Gibson Energy, Inc. (Oil, Gas & Consumable Fuels), Callable 7/15/16 @ 105.00 (a)		6.75		7/15/21		2,486
	3,663	HudBay Minerals, Inc. (Metals & Mining), Callable 10/1/16 @ 105.00		9.50		10/1/20		2,683
	871	Intelsat Jackson Holdings SA (Diversified Telecommunication Services), Callable 8/1/18 @ 102.75		5.50		8/1/23		684

See accompanying notes to financial statements.

138

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Yankee Dollars (continued)
$	2,546	Intelsat Jackson Holdings SA (Diversified Telecommunication Services), Callable 2/12/16 @ 103.63		7.25		10/15/20	$	2,215
	2,229	Intelsat Jackson Holdings SA (Diversified Telecommunication Services), Callable 4/1/16 @ 103.75		7.50		4/1/21		1,939
	2,646	Intelsat Luxembourg SA (Wireless Telecommunication Services), Callable 2/12/16 @ 103.63		7.25		4/1/19		2,428
	3,440	Intergen NV (Electric Utilities), Callable 6/30/18 @ 103.50 (a)		7.00		6/30/23		2,726
	1,126	International Game Technology (Hotels, Restaurants & Leisure), Callable 11/15/19 @ 100.00		5.63		2/15/20		1,109
	644	International Game Technology (Hotels, Restaurants & Leisure), Callable 8/15/21 @ 100.00		6.25		2/15/22		602
	1,259	Lundin Mining Corp. (Metals & Mining), Callable 11/1/17 @ 103.75 (a)		7.50		11/1/20		1,180
	905	Lundin Mining Corp. (Metals & Mining), Callable 11/1/18 @ 103.94 (a)		7.88		11/1/22		833
	796	Mallinckrodt International Finance SA (Pharmaceuticals), Callable 4/15/20 @ 102.75 (a)		5.50		4/15/25		732
	1,502	Mallinckrodt International Finance SA (Pharmaceuticals), Callable 10/15/18 @ 104.22 (a)		5.63		10/15/23		1,427
	4,191	MEG Energy Corp. (Oil, Gas & Consumable Fuels), Callable 7/30/17 @ 103.00 (a)		6.38		1/30/23		2,871
	751	MEG Energy Corp. (Oil, Gas & Consumable Fuels), Callable 2/12/16 @ 104.88 (a)		6.50		3/15/21		526
	3,573	Navios Maritime Holdings, Inc. (Marine), Callable 1/15/17 @ 106.00 (a)		7.38		1/15/22		1,787
	1,547	NCL Corp. Ltd. (Hotels, Restaurants & Leisure), Callable 11/15/17 @ 102.31 (a)		4.63		11/15/20		1,515
	1,093	NCL Corp. Ltd. (Hotels, Restaurants & Leisure), Callable 11/15/16 @ 102.63 (a)		5.25		11/15/19		1,109
	1,279	Norbord, Inc. (Paper & Forest Products) (a)		5.38		12/1/20		1,279
	176	Norbord, Inc. (Paper & Forest Products)		6.25		4/15/23		172
	995	Novelis, Inc. (Metals & Mining), Callable 2/12/16 @ 102.09		8.38		12/15/17		968
	2,401	NXP BV/NXP Funding LLC (Semiconductors & Semiconductor Equipment) (a)		4.13		6/15/20		2,401
	2,467	Quebecor Media, Inc. (Media)		5.75		1/15/23		2,485
	1,672	Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)		5.25		11/15/22		1,714
	1,782	SoftBank Corp. (Wireless Telecommunication Services) (a)		4.50		4/15/20		1,773
	2,158	Stena AB (Marine) (a)		7.00		2/1/24		1,834
	1,000	Teekay Corp. (Oil, Gas & Consumable Fuels)		8.50		1/15/20		675
	2,402	Telecom Italia SpA (Diversified Telecommunication Services)		7.18		6/18/19		2,647
	220	The Nielsen Co. (Luxembourg) Sarl (Diversified Financial Services), Callable 10/1/16 @ 104.00		5.50		10/1/21		226
	3,751	Tullow Oil PLC (Oil, Gas & Consumable Fuels), Callable 11/1/16 @ 103.00		6.00		11/1/20		2,608
	1,623	Tullow Oil PLC (Oil, Gas & Consumable Fuels), Callable 4/15/17 @ 105.00		6.25		4/15/22		1,087
	2,310	Ultra Petroleum Corp. (Oil, Gas & Consumable Fuels), Callable 2/12/16 @ 102.88 (a)		5.75		12/15/18		554
	874	UPCB Finance IV Ltd. (Media) (a)		5.38		1/15/25		824
	2,889	UPCB Finance V Ltd. (Media), Callable 11/15/16 @ 103.63 (a)		7.25		11/15/21		3,069
	922	UPCB Finance VI Ltd. (Media), Callable 1/15/17 @ 103.44		6.88		1/15/22		975
	761	Valeant Pharmaceuticals International, Inc. (Pharmaceuticals), Callable 3/1/18 @ 102.75 (a)		5.50		3/1/23		670
	2,700	Valeant Pharmaceuticals International, Inc. (Pharmaceuticals), Callable 2/12/16 @ 105.06 (a)		6.75		8/15/18		2,675
	668	Videotron Ltee (Media) (a)		5.00		7/15/22		668
	1,995	VPII Escrow Corp. (Pharmaceuticals), Callable 7/15/16 @ 105.25 (a)		7.50		7/15/21		1,990
	1,264	VRX Escrow Corp. (Pharmaceuticals), Callable 4/15/20 @ 103.06 (a)		6.13		4/15/25		1,128
		Total Yankee Dollars						91,633
		Preferred Stock — 0.02%
	7,070	GMAC Capital Trust I, Series 2 (Consumer Finance) Callable 2/15/16 @ 25.00						179
		Total Preferred Stock						179
		Time Deposit — 1.14%
$	8,915	State Street Liquidity Management Control System Eurodollar Time Deposit		0.01		1/4/16		8,915
		Total Time Deposit						8,915
		Mutual Funds — 16.44%
	440,900	BlackRock Corporate High Yield Fund, Inc.						4,312
	1,382,677	BlackRock Debt Strategies Fund, Inc.						4,660

See accompanying notes to financial statements.

139

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Mutual Funds (continued)
	684,714	Credit Suisse Asset Management Income Fund, Inc.					$	1,904
	282,052	Deutsche High Income Opportunities Fund, Inc.						3,684
	233,399	Deutsche High Income Trust						1,856
	2,729,113	Federated Treasury Obligations Fund, Institutional Shares (b)		0.00				2,729
	306,898	First Trust High Income Long/Short Fund						4,321
	535,779	iShares Iboxx $ High Yield Corporate Bond Fund						43,173
	194,526	Ivy High Income Opportunity Fund						2,408
	267,646	MFS Intermediate High Income Fund						621
	390,589	Neuberger Berman High Yield Strategies Fund, Inc.						3,941
	541,547	New America High Income Fund, Inc.						4,148
	38,986,464	SSgA Treasury Money Market Fund (e)		0.00				38,986
	3,023,121	SSgA U.S. Government Money Market Fund (e)		0.00				3,023
	429,009	Wells Fargo Advantage Income Opportunities Fund						3,196
	788,723	Western Asset High Income Opportunity Fund, Inc.						3,699
	457,798	Western Asset Managed High Income Fund, Inc.						2,069
		Total Mutual Funds						128,730
		Repurchase Agreement — 1.07%
$	8,400	Jefferies LLC (Purchased on 12/31/15, proceeds at maturity $8,400,495 collateralized by U.S. Treasury Obligations, 0.11% – 3.16%, 2/15/16 – 8/15/45 fair value $8,568,124)^^		0.40		1/4/16		8,400
		Total Repurchase Agreement						8,400
		Total Investments (cost $830,360) — 99.12%						776,337
		Other assets in excess of liabilities — 0.88%						6,864
		Net Assets — 100.00%					$	783,201

^ All or part of this security was on loan as of December 31, 2015. The total value of securities on loan as of December 31, 2015, was $10,788 (amount in thousands).

^^ Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2015.

(a) Represents a security purchased under Rule 144A or Section 4(2) and is exempt from registration under the Securities Act of 1933, as amended, or is otherwise restricted to resale. Certain of these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities have been deemed liquid by the Specialist Manager.

(b) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(c) Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at December 31, 2015.

(d) A perpetual bond is one with no maturity date that pays a fixed interest rate until the bond insurance is terminated.

(e) The rate disclosed is the rate in effect on December 31, 2015.

ULC — Unlimited Liability Co.

See accompanying notes to financial statements.

140

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The Fixed Income Opportunity Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Fixed Income Opportunity Portfolio	City of London Investment Management Company			Fort Washington Investment Advisors, Inc.			Parametric Portfolio Associates, LLC			Western Asset Management Company			HC Capital Solutions			Total
Asset Backed Security		—			—			—			0.65	%		—			0.65	%
Collateralized Mortgage Obligations		—			—			—			16.33	%		—			16.33	%
U.S. Government Agency Mortgage		—			—			—			0.46	%		—			0.46	%
Corporate Bonds		—			50.67	%		—			0.64	%		—			51.31	%
Yankee Dollars		—			11.70	%		—			—			—			11.70	%
Preferred Stock		—			0.02	%		—			—			—			0.02	%
Time Deposit		—			1.12	%		0.02	%		—			—			1.14	%
Mutual Funds		5.60	%		0.35	%		7.14	%		0.75	%		2.60	%		16.44	%
Repurchase Agreement		—			1.07	%		—			—			—			1.07	%
Other Assets (Liabilities)		0.06	%		-0.18	%		1.45	%		-0.45	%		—			0.88	%
Total Net Assets		5.66	%		64.75	%		8.61	%		18.38	%		2.60	%		100.00	%

The following tables reflect the open derivative positions held by the Portfolio as of December 31, 2015.

Short Futures

Number of Contracts		Futures Contracts Positions^	Value (000)			Expiration		Unrealized Appreciation/ (Depreciation) (000)
	(374)	10-Year U.S. Treasury Note Future	$	(47,089	)		3/21/16	$	88
	81	5-Year U.S. Treasury Note Future		9,584			3/31/16		(15	)
	(37)	Euro FX Currency Future		(5,035	)		3/14/16		(7	)
	(26)	Euro-Bund Future		(4,462	)		3/8/16		65
		Net Unrealized Appreciation/(Depreciation)						$	131

^ Cash has been pledged as collateral for Futures Contracts held by the Portfolio.

Currency Contracts

Contract Amount (Local Currency)		Currency	Counterparty	Settlement Date		Settlement Value (000)		Value on 12/31/15 (000)		Unrealized Appreciation/ (Depreciation) (000)
		Currencies Purchased
	215,000	Euro	Citibank		1/19/16	$	237	$	234	$	(3	)
		Total Currencies Purchased				$	237	$	234	$	(3	)
		Currencies Sold
	2,976,118	Euro	Citibank		1/19/16	$	3,406	$	3,235	$	171
		Total Currencies Sold				$	3,406	$	3,235	$	171
		Net Unrealized Appreciation/(Depreciation)								$	168

See accompanying notes to financial statements.

141

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The U.S. Government Fixed Income Securities Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Securities — 5.95%
$	100	Fannie Mae, Callable 12/27/15 @ 100.00		0.88		12/27/17	$	99
	350	Fannie Mae		0.88		12/20/17		348
	200	Fannie Mae		0.88		5/21/18		198
	300	Fannie Mae		0.88		8/28/17		299
	300	Fannie Mae, Series 1, Callable 10/30/15 @ 100.00		1.00		4/30/18		297
	300	Fannie Mae, Callable 12/28/15 @ 100.00		1.00		12/28/17		299
	50	Fannie Mae, Callable 11/15/15 @ 100.00		1.00		2/15/18		50
	125	Fannie Mae, Callable 7/28/16 @ 100.00		1.07		7/28/17		125
	500	Fannie Mae, Callable 10/30/15 @ 100.00		1.13		4/30/18		497
	75	Fannie Mae, Callable 12/28/15 @ 100.00		1.13		3/28/18		75
	250	Fannie Mae, Callable 11/28/15 @ 100.00		1.15		2/28/18		249
	150	Fannie Mae, Callable 10/29/15 @ 100.00		1.55		10/29/19		149
	300	Fannie Mae		1.63		11/27/18		302
	200	Fannie Mae		1.75		11/26/19		201
	350	Fannie Mae		1.88		9/18/18		355
	100	Fannie Mae, Callable 11/22/15 @ 100.00		2.50		2/22/23		99
	250	Fannie Mae		2.63		9/6/24		253
	430	Fannie Mae (a)		2.84		10/9/19		398
	200	Fannie Mae, Callable 3/1/16 @ 100.00		3.00		3/1/28		196
	260	Fannie Mae		5.00		2/13/17		272
	150	Fannie Mae, Callable 4/18/16 @ 100.00		6.00		4/18/36		152
	85	Fannie Mae		6.21		8/6/38		120
	95	Fannie Mae		6.25		5/15/29		129
	160	Fannie Mae		6.63		11/15/30		227
	180	Fannie Mae		7.25		5/15/30		266
	150	Federal Farm Credit Bank, Callable 1/15/16 @ 100.00		0.54		11/7/16		150
	250	Federal Farm Credit Bank		1.13		12/18/17		250
	200	Federal Home Loan Bank, Series 1		0.88		5/24/17		200
	500	Federal Home Loan Bank, Series 1		1.00		6/21/17		500
	200	Federal Home Loan Bank		1.25		6/8/18		200
	200	Federal Home Loan Bank		1.75		12/14/18		202
	300	Federal Home Loan Bank		2.00		9/14/18		305
	300	Federal Home Loan Bank		2.13		3/10/23		297
	160	Federal Home Loan Bank		2.88		9/11/20		167
	250	Federal Home Loan Bank, Series 1069		5.00		11/17/17		268
	180	Federal Home Loan Bank		5.25		12/11/20		208
	65	Federal Home Loan Bank		5.50		7/15/36		84
	400	Freddie Mac		0.88		2/22/17		400
	300	Freddie Mac		0.88		3/7/18		298
	230	Freddie Mac		1.00		9/29/17		229
	500	Freddie Mac		1.00		3/8/17		500
	600	Freddie Mac		1.00		7/28/17		599
	125	Freddie Mac, Callable 1/30/16 @ 100.00		1.02		4/30/18		125
	245	Freddie Mac, Callable 3/12/16 @ 100.00		1.20		6/12/18		244
	200	Freddie Mac		1.25		8/1/19		198
	100	Freddie Mac		1.25		10/2/19		99
	200	Freddie Mac		1.38		5/1/20		197
	250	Freddie Mac		1.40		8/22/19		247
	50	Freddie Mac		1.75		5/30/19		50
	450	Freddie Mac		2.38		1/13/22		456
	350	Freddie Mac		4.88		6/13/18		380
	250	Freddie Mac		6.25		7/15/32		348
	80	Freddie Mac		6.75		3/15/31		115
	110	Tennessee Valley Authority		4.70		7/15/33		125

See accompanying notes to financial statements.

142

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The U.S. Government Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Securities (continued)
$	135	Tennessee Valley Authority		5.25		9/15/39	$	162
	100	Tennessee Valley Authority		5.50		7/18/17		107
	190	Tennessee Valley Authority		6.15		1/15/38		252
		Total U.S. Government Agency Securities						13,617
		Corporate Bond — 0.12%
	250	Private Export Funding Corp. (Diversified Financial Services)		4.38		3/15/19		270
		Total Corporate Bond						270
		U.S. Treasury Obligations — 82.07%
	600	U.S. Treasury Bond		1.00		8/31/19		588
	1,390	U.S. Treasury Bond		2.50		2/15/45		1,245
	671	U.S. Treasury Bond		2.75		11/15/42		638
	837	U.S. Treasury Bond		2.75		8/15/42		798
	880	U.S. Treasury Bond		2.88		8/15/45		853
	1,116	U.S. Treasury Bond		2.88		5/15/43		1,086
	1,260	U.S. Treasury Bond		3.00		5/15/45		1,252
	1,015	U.S. Treasury Bond		3.00		11/15/44		1,009
	439	U.S. Treasury Bond		3.00		5/15/42		441
	685	U.S. Treasury Bond		3.00		11/15/45		682
	1,200	U.S. Treasury Bond		3.13		5/15/21		1,277
	1,510	U.S. Treasury Bond		3.13		8/15/44		1,540
	616	U.S. Treasury Bond		3.13		11/15/41		635
	647	U.S. Treasury Bond		3.13		2/15/43		662
	550	U.S. Treasury Bond		3.13		2/15/42		567
	1,405	U.S. Treasury Bond		3.38		5/15/44		1,505
	400	U.S. Treasury Bond		3.50		2/15/39		442
	900	U.S. Treasury Bond		3.63		8/15/43		1,012
	1,280	U.S. Treasury Bond		3.63		2/15/44		1,437
	630	U.S. Treasury Bond		3.75		8/15/41		722
	1,245	U.S. Treasury Bond		3.75		11/15/43		1,431
	185	U.S. Treasury Bond		3.88		8/15/40		216
	690	U.S. Treasury Bond		4.25		11/15/40		851
	363	U.S. Treasury Bond		4.38		5/15/40		456
	125	U.S. Treasury Bond		4.38		2/15/38		157
	546	U.S. Treasury Bond		4.38		5/15/41		688
	400	U.S. Treasury Bond		4.50		8/15/39		511
	685	U.S. Treasury Bond		4.50		2/15/36		877
	673	U.S. Treasury Bond		4.63		2/15/40		875
	775	U.S. Treasury Bond		4.75		2/15/41		1,028
	282	U.S. Treasury Bond		5.25		11/15/28		368
	230	U.S. Treasury Bond		5.25		2/15/29		301
	159	U.S. Treasury Bond		5.38		2/15/31		216
	385	U.S. Treasury Bond		6.00		2/15/26		514
	235	U.S. Treasury Bond		6.13		11/15/27		325
	150	U.S. Treasury Bond		6.13		8/15/29		213
	122	U.S. Treasury Bond		6.25		8/15/23		158
	100	U.S. Treasury Bond		6.38		8/15/27		141
	368	U.S. Treasury Bond		6.50		11/15/26		515
	350	U.S. Treasury Bond		6.88		8/15/25		490
	300	U.S. Treasury Bond		7.25		8/15/22		397
	7	U.S. Treasury Bond		7.88		2/15/21		9
	400	U.S. Treasury Bond		8.00		11/15/21		534
	350	U.S. Treasury Bond		8.13		8/15/19		432
	110	U.S. Treasury Bond		8.13		8/15/21		147

See accompanying notes to financial statements.

143

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The U.S. Government Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations (continued)
$	400	U.S. Treasury Bond		8.75		8/15/20	$	524
	1,000	U.S. Treasury Note		0.50		7/31/17		992
	820	U.S. Treasury Note		0.50		3/31/17		816
	1,020	U.S. Treasury Note		0.50		2/28/17		1,016
	800	U.S. Treasury Note		0.50		1/31/17		797
	1,000	U.S. Treasury Note		0.63		2/15/17		997
	1,930	U.S. Treasury Note		0.63		9/30/17		1,918
	1,825	U.S. Treasury Note		0.63		8/31/17		1,814
	780	U.S. Treasury Note		0.63		11/30/17		774
	1,250	U.S. Treasury Note		0.63		5/31/17		1,245
	905	U.S. Treasury Note		0.63		7/31/17		900
	930	U.S. Treasury Note		0.63		6/30/17		925
	1,100	U.S. Treasury Note		0.63		4/30/18		1,086
	850	U.S. Treasury Note		0.75		10/31/17		846
	513	U.S. Treasury Note		0.75		3/31/18		508
	1,100	U.S. Treasury Note		0.75		1/15/17		1,099
	1,046	U.S. Treasury Note		0.75		3/15/17		1,045
	755	U.S. Treasury Note		0.75		4/15/18		748
	650	U.S. Treasury Note		0.75		2/28/18		645
	986	U.S. Treasury Note		0.75		12/31/17		979
	200	U.S. Treasury Note		0.75		6/30/17		199
	1,000	U.S. Treasury Note		0.88		1/31/17		1,000
	740	U.S. Treasury Note		0.88		1/15/18		737
	765	U.S. Treasury Note		0.88		11/30/17		763
	475	U.S. Treasury Note		0.88		11/15/17		473
	680	U.S. Treasury Note		0.88		4/15/17		680
	495	U.S. Treasury Note		0.88		8/15/17		494
	449	U.S. Treasury Note		0.88		1/31/18		447
	1,092	U.S. Treasury Note		0.88		4/30/17		1,092
	895	U.S. Treasury Note		0.88		7/15/17		894
	305	U.S. Treasury Note		0.88		10/15/17		304
	705	U.S. Treasury Note		0.88		10/15/18		697
	380	U.S. Treasury Note		0.88		7/31/19		371
	655	U.S. Treasury Note		0.88		2/28/17		655
	940	U.S. Treasury Note		0.88		5/15/17		939
	830	U.S. Treasury Note		0.88		6/15/17		829
	835	U.S. Treasury Note		0.88		7/15/18		828
	860	U.S. Treasury Note		1.00		12/15/17		859
	1,000	U.S. Treasury Note		1.00		5/31/18		995
	800	U.S. Treasury Note		1.00		5/15/18		796
	435	U.S. Treasury Note		1.00		2/15/18		434
	705	U.S. Treasury Note		1.00		9/15/18		700
	1,200	U.S. Treasury Note		1.00		3/31/17		1,202
	710	U.S. Treasury Note		1.00		9/15/17		710
	416	U.S. Treasury Note		1.00		9/30/19		407
	740	U.S. Treasury Note		1.00		12/31/17		739
	755	U.S. Treasury Note		1.00		3/15/18		752
	200	U.S. Treasury Note		1.00		8/15/18		199
	515	U.S. Treasury Note		1.00		11/30/19		503
	855	U.S. Treasury Note		1.13		6/15/18		853
	600	U.S. Treasury Note		1.13		5/31/19		593
	550	U.S. Treasury Note		1.13		3/31/20		538
	700	U.S. Treasury Note		1.13		4/30/20		684
	975	U.S. Treasury Note		1.13		12/31/19		957

See accompanying notes to financial statements.

144

HC CAPITAL TRUST

The U.S. Government Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations (continued)
$	1,075	U.S. Treasury Note		1.25		1/31/20	$	1,059
	1,195	U.S. Treasury Note		1.25		10/31/18		1,193
	292	U.S. Treasury Note		1.25		2/29/20		287
	475	U.S. Treasury Note		1.25		10/31/19		469
	705	U.S. Treasury Note		1.25		11/15/18		704
	835	U.S. Treasury Note		1.25		1/31/19		832
	685	U.S. Treasury Note		1.25		12/15/18		684
	300	U.S. Treasury Note		1.25		4/30/19		298
	1,150	U.S. Treasury Note		1.25		11/30/18		1,148
	925	U.S. Treasury Note		1.38		10/31/20		909
	850	U.S. Treasury Note		1.38		9/30/20		836
	500	U.S. Treasury Note		1.38		1/31/20		495
	900	U.S. Treasury Note		1.38		2/29/20		890
	657	U.S. Treasury Note		1.38		6/30/18		660
	800	U.S. Treasury Note		1.38		7/31/18		803
	1,055	U.S. Treasury Note		1.38		8/31/20		1,038
	1,340	U.S. Treasury Note		1.38		4/30/20		1,323
	1,105	U.S. Treasury Note		1.38		3/31/20		1,092
	668	U.S. Treasury Note		1.38		2/28/19		668
	1,600	U.S. Treasury Note		1.38		9/30/18		1,605
	585	U.S. Treasury Note		1.38		11/30/18		586
	825	U.S. Treasury Note		1.38		5/31/20		813
	493	U.S. Treasury Note		1.38		12/31/18		493
	533	U.S. Treasury Note		1.50		1/31/19		535
	1,135	U.S. Treasury Note		1.50		5/31/19		1,136
	1,250	U.S. Treasury Note		1.50		10/31/19		1,246
	890	U.S. Treasury Note		1.50		1/31/22		865
	1,176	U.S. Treasury Note		1.50		2/28/19		1,180
	500	U.S. Treasury Note		1.50		3/31/19		502
	1,210	U.S. Treasury Note		1.50		11/30/19		1,205
	240	U.S. Treasury Note		1.50		12/31/18		241
	1,600	U.S. Treasury Note		1.50		8/31/18		1,611
	695	U.S. Treasury Note		1.50		5/31/20		689
	1,025	U.S. Treasury Note		1.63		11/30/20		1,019
	1,250	U.S. Treasury Note		1.63		6/30/20		1,245
	1,205	U.S. Treasury Note		1.63		12/31/19		1,205
	1,160	U.S. Treasury Note		1.63		6/30/19		1,165
	1,160	U.S. Treasury Note		1.63		7/31/19		1,164
	360	U.S. Treasury Note		1.63		8/31/19		361
	230	U.S. Treasury Note		1.63		4/30/19		231
	1,220	U.S. Treasury Note		1.63		3/31/19		1,228
	757	U.S. Treasury Note		1.63		11/15/22		735
	870	U.S. Treasury Note		1.63		7/31/20		866
	570	U.S. Treasury Note		1.63		8/15/22		555
	950	U.S. Treasury Note		1.75		2/28/22		937
	1,698	U.S. Treasury Note		1.75		5/15/23		1,655
	910	U.S. Treasury Note		1.75		4/30/22		896
	850	U.S. Treasury Note		1.75		9/30/22		833
	815	U.S. Treasury Note		1.75		10/31/20		814
	1,165	U.S. Treasury Note		1.75		3/31/22		1,147
	780	U.S. Treasury Note		1.75		9/30/19		785
	640	U.S. Treasury Note		1.75		10/31/18		648
	1,000	U.S. Treasury Note		1.75		12/31/20		999
	816	U.S. Treasury Note		1.88		9/30/17		828

See accompanying notes to financial statements.

145

HC CAPITAL TRUST

The U.S. Government Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations (continued)
$	965	U.S. Treasury Note		1.88		5/31/22	$	956
	850	U.S. Treasury Note		1.88		10/31/22		839
	550	U.S. Treasury Note		1.88		10/31/17		558
	600	U.S. Treasury Note		1.88		8/31/17		608
	875	U.S. Treasury Note		1.88		8/31/22		865
	420	U.S. Treasury Note		1.88		6/30/20		423
	310	U.S. Treasury Note		1.88		11/30/21		309
	1,043	U.S. Treasury Note		2.00		2/15/22		1,045
	700	U.S. Treasury Note		2.00		2/28/21		706
	1,925	U.S. Treasury Note		2.00		2/15/25		1,883
	1,680	U.S. Treasury Note		2.00		8/15/25		1,638
	980	U.S. Treasury Note		2.00		10/31/21		983
	850	U.S. Treasury Note		2.00		11/30/22		845
	1,010	U.S. Treasury Note		2.00		7/31/22		1,007
	1,538	U.S. Treasury Note		2.00		2/15/23		1,529
	550	U.S. Treasury Note		2.00		11/30/20		556
	910	U.S. Treasury Note		2.00		7/31/20		921
	800	U.S. Treasury Note		2.00		9/30/20		809
	400	U.S. Treasury Note		2.00		5/31/21		403
	1,925	U.S. Treasury Note		2.00		11/15/21		1,932
	260	U.S. Treasury Note		2.13		6/30/21		263
	750	U.S. Treasury Note		2.13		1/31/21		761
	1,385	U.S. Treasury Note		2.13		9/30/21		1,400
	830	U.S. Treasury Note		2.13		12/31/22		832
	600	U.S. Treasury Note		2.13		8/31/20		610
	1,035	U.S. Treasury Note		2.13		6/30/22		1,040
	1,660	U.S. Treasury Note		2.13		5/15/25		1,638
	1,500	U.S. Treasury Note		2.13		8/15/21		1,518
	1,200	U.S. Treasury Note		2.25		4/30/21		1,224
	1,420	U.S. Treasury Note		2.25		11/15/25		1,417
	500	U.S. Treasury Note		2.25		7/31/18		513
	500	U.S. Treasury Note		2.25		3/31/21		510
	1,955	U.S. Treasury Note		2.25		11/15/24		1,955
	374	U.S. Treasury Note		2.25		11/30/17		382
	785	U.S. Treasury Note		2.25		7/31/21		800
	2,120	U.S. Treasury Note		2.38		8/15/24		2,143
	200	U.S. Treasury Note		2.38		5/31/18		206
	450	U.S. Treasury Note		2.38		6/30/18		463
	970	U.S. Treasury Note		2.38		7/31/17		991
	700	U.S. Treasury Note		2.38		12/31/20		720
	750	U.S. Treasury Note		2.50		6/30/17		767
	1,890	U.S. Treasury Note		2.50		5/15/24		1,932
	1,290	U.S. Treasury Note		2.50		8/15/23		1,323
	550	U.S. Treasury Note		2.63		4/30/18		569
	1,277	U.S. Treasury Note		2.63		8/15/20		1,327
	406	U.S. Treasury Note		2.63		1/31/18		419
	1,353	U.S. Treasury Note		2.63		11/15/20		1,406
	300	U.S. Treasury Note		2.75		2/28/18		310
	1,415	U.S. Treasury Note		2.75		2/15/24		1,474
	1,537	U.S. Treasury Note		2.75		11/15/23		1,604
	648	U.S. Treasury Note		2.75		12/31/17		669
	800	U.S. Treasury Note		2.75		5/31/17		820
	529	U.S. Treasury Note		2.75		2/15/19		551
	400	U.S. Treasury Note		2.88		3/31/18		415

See accompanying notes to financial statements.

146

HC CAPITAL TRUST

The U.S. Government Fixed Income Securities Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations (continued)
$	900	U.S. Treasury Note		3.00		2/28/17	$	922
	730	U.S. Treasury Note		3.13		5/15/19		770
	482	U.S. Treasury Note		3.13		4/30/17		496
	1,035	U.S. Treasury Note		3.13		1/31/17		1,060
	710	U.S. Treasury Note		3.25		3/31/17		731
	1,082	U.S. Treasury Note		3.38		11/15/19		1,156
	799	U.S. Treasury Note		3.50		2/15/18		839
	825	U.S. Treasury Note		3.50		5/15/20		887
	1,152	U.S. Treasury Note		3.63		2/15/21		1,253
	800	U.S. Treasury Note		3.63		8/15/19		859
	1,260	U.S. Treasury Note		3.63		2/15/20		1,360
	1,000	U.S. Treasury Note		3.75		11/15/18		1,070
	300	U.S. Treasury Note		4.00		8/15/18		322
	500	U.S. Treasury Note		4.25		11/15/17		530
	400	U.S. Treasury Note		4.25		5/15/39		493
	648	U.S. Treasury Note		4.50		5/15/17		679
	580	U.S. Treasury Note		4.63		2/15/17		604
	800	U.S. Treasury Note		4.75		8/15/17		848
	313	U.S. Treasury Note		5.50		8/15/28		417
		Total U.S. Treasury Obligations						187,732
		Yankee Dollar — 0.06%
	115	AID-Israel (Sovereign)		5.50		9/18/23		138
		Total Yankee Dollar						138
		Mutual Fund — 11.40%
	26,068,299	SSgA Treasury Money Market Fund (b)		0.00				26,068
		Total Mutual Fund						26,068
		Total Investments (cost $226,170) — 99.60%						227,825
		Other assets in excess of liabilities — 0.40%						914
		Net Assets — 100.00%					$	228,739

(a) Zero Coupon Security. Effective rate shown is as of December 31, 2015.

(b) The rate disclosed is the rate in effect on December 31, 2015.

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The U.S. Government Fixed Income Securities Portfolio	Mellon Capital Management Corporation			HC Capital Solutions			Total
U.S. Government Agency Securities		5.95	%		—			5.95	%
Corporate Bond		0.12	%		—			0.12	%
U.S. Treasury Obligations		82.07	%		—			82.07	%
Yankee Dollar		0.06	%		—			0.06	%
Mutual Fund		—			11.40	%		11.40	%
Other Assets (Liabilities)		0.41	%		-0.01	%		0.40	%
Total Net Assets		88.61	%		11.39	%		100.00	%

See accompanying notes to financial statements.

147

HC CAPITAL TRUST

The Inflation Protected Securities Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Treasury Obligations — 94.36%
$	6,425	U.S. Treasury Inflation Index Bond		0.63		2/15/43	$	5,414
	8,705	U.S. Treasury Inflation Index Bond		0.75		2/15/42		7,616
	10,781	U.S. Treasury Inflation Index Bond		0.75		2/15/45		9,360
	9,726	U.S. Treasury Inflation Index Bond		1.38		2/15/44		9,858
	7,348	U.S. Treasury Inflation Index Bond		1.75		1/15/28		8,013
	9,159	U.S. Treasury Inflation Index Bond		2.00		1/15/26		10,158
	3,888	U.S. Treasury Inflation Index Bond		2.13		2/15/40		4,562
	4,947	U.S. Treasury Inflation Index Bond		2.13		2/15/41		5,837
	12,575	U.S. Treasury Inflation Index Bond		2.38		1/15/25		14,273
	7,365	U.S. Treasury Inflation Index Bond		2.38		1/15/27		8,499
	7,119	U.S. Treasury Inflation Index Bond		2.50		1/15/29		8,416
	2,869	U.S. Treasury Inflation Index Bond		3.38		4/15/32		3,872
	6,210	U.S. Treasury Inflation Index Bond		3.63		4/15/28		8,103
	7,558	U.S. Treasury Inflation Index Bond		3.88		4/15/29		10,247
	19,640	U.S. Treasury Inflation Index Note		0.13		1/15/23		18,805
	19,098	U.S. Treasury Inflation Index Note		0.13		7/15/24		18,109
	23,775	U.S. Treasury Inflation Index Note		0.13		4/15/18		23,719
	23,615	U.S. Treasury Inflation Index Note		0.13		4/15/20		23,297
	23,600	U.S. Treasury Inflation Index Note		0.13		4/15/19		23,446
	19,552	U.S. Treasury Inflation Index Note		0.13		7/15/22		18,934
	18,957	U.S. Treasury Inflation Index Note		0.13		1/15/22		18,348
	21,376	U.S. Treasury Inflation Index Note		0.13		4/15/17		21,328
	19,146	U.S. Treasury Inflation Index Note		0.25		1/15/25		18,244
	19,073	U.S. Treasury Inflation Index Note		0.38		7/15/25		18,434
	19,475	U.S. Treasury Inflation Index Note		0.38		7/15/23		18,998
	17,119	U.S. Treasury Inflation Index Note		0.63		7/15/21		17,213
	19,438	U.S. Treasury Inflation Index Note		0.63		1/15/24		19,189
	16,180	U.S. Treasury Inflation Index Note		1.13		1/15/21		16,665
	14,141	U.S. Treasury Inflation Index Note		1.25		7/15/20		14,693
	9,206	U.S. Treasury Inflation Index Note		1.38		1/15/20		9,562
	7,179	U.S. Treasury Inflation Index Note		1.38		7/15/18		7,429
	7,271	U.S. Treasury Inflation Index Note		1.63		1/15/18		7,496
	7,588	U.S. Treasury Inflation Index Note		1.88		7/15/19		8,041
	6,680	U.S. Treasury Inflation Index Note		2.13		1/15/19		7,064
	7,989	U.S. Treasury Inflation Index Note		2.38		1/15/17		8,185
	6,892	U.S. Treasury Inflation Index Note		2.63		7/15/17		7,197
		Total U.S. Treasury Obligations						458,624
		Mutual Fund — 5.34%
	25,972,186	SSgA Treasury Money Market Fund (a)		0.00				25,972
		Total Mutual Fund						25,972
		Total Investments (cost $493,721) — 99.70%						484,596
		Other assets in excess of liabilities — 0.30%						1,471
		Net Assets — 100.00%					$	486,067

(a) The rate disclosed is the rate in effect on December 31, 2015.

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Inflation Protected Securities Portfolio	Mellon Capital Management Corporation			HC Capital Solutions			Total
U.S. Treasury Obligations		94.36	%		—			94.36	%
Mutual Funds		—			5.34	%		5.34	%
Other Assets (Liabilities)		0.31	%		-0.01	%		0.30	%
Total Net Assets		94.67	%		5.33	%		100.00	%

See accompanying notes to financial statements.

148

HC CAPITAL TRUST

The U.S. Corporate Fixed Income Securities Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds — 79.66%
$	3,655	AbbVie, Inc. (Biotechnology)		1.75		11/6/17	$	3,648
	770	AbbVie, Inc. (Biotechnology)		4.40		11/6/42		719
	1,630	ACE INA Holdings, Inc. (Insurance), Callable 10/3/20 @ 100.00		2.30		11/3/20		1,619
	425	Air Products & Chemicals, Inc. (Chemicals)		2.75		2/3/23		416
	1,825	American Express Co. (Consumer Finance)		1.55		5/22/18		1,811
	3,130	American Express Co. (Consumer Finance)		7.00		3/19/18		3,470
	150	Ameriprise Financial, Inc. (Capital Markets)		3.70		10/15/24		153
	2,230	Ameriprise Financial, Inc. (Capital Markets)		4.00		10/15/23		2,317
	1,740	Amgen, Inc. (Biotechnology)		2.13		5/15/17		1,751
	1,200	Amgen, Inc. (Biotechnology), Callable 5/15/41 @ 100.00		5.15		11/15/41		1,217
	655	Analog Devices, Inc. (Semiconductors & Semiconductor Equipment), Callable 9/15/25 @ 100.00		3.90		12/15/25		661
	315	Analog Devices, Inc. (Semiconductors & Semiconductor Equipment), Callable 6/15/45 @ 100.00		5.30		12/15/45		325
	1,490	Anheuser-Busch InBev NV (Beverages)		2.50		7/15/22		1,434
	1,670	Anthem, Inc. (Health Care Providers & Services), Callable 5/15/21 @ 100.00		3.70		8/15/21		1,708
	625	Anthem, Inc. (Health Care Providers & Services)		4.63		5/15/42		590
	965	Archer-Daniels-Midland Co. (Food Products)		4.02		4/16/43		927
	1,000	AT&T, Inc. (Diversified Telecommunication Services)		2.38		11/27/18		1,008
	1,725	AT&T, Inc. (Diversified Telecommunication Services)		5.35		9/1/40		1,704
	2,175	AT&T, Inc. (Diversified Telecommunication Services)		5.50		2/1/18		2,325
	495	AT&T, Inc. (Diversified Telecommunication Services)		5.55		8/15/41		497
	155	Atmos Energy Corp. (Gas Utilities), Callable 4/15/44 @ 100.00		4.13		10/15/44		148
	4,516	Bank of America Corp. (Banks)		2.60		1/15/19		4,531
	3,420	Bank of America Corp., MTN (Banks)		3.30		1/11/23		3,372
	1,400	Bank of America Corp., Series L, MTN (Banks)		5.65		5/1/18		1,505
	1,033	Bank One Corp. (Banks)		8.00		4/29/27		1,335
	1,210	Bear Stearns Co. LLC (Capital Markets)		6.40		10/2/17		1,303
	620	Berkshire Hathaway, Inc. (Diversified Financial Services)		4.40		5/15/42		614
	885	Berkshire Hathaway, Inc. (Diversified Financial Services)		5.15		4/1/17		923
	935	Bunge Limited Finance Co. (Food Products)		8.50		6/15/19		1,082
	530	Burlington Northern Santa Fe LLC (Road & Rail), Callable 3/1/44 @ 100.00		4.55		9/1/44		512
	5,025	Capital One Bank USA, Series BKNT (Banks), Callable 1/13/19 @ 100.00		2.25		2/13/19		5,004
	1,270	Capital One Financial Corp. (Consumer Finance)		6.75		9/15/17		1,363
	310	Caterpillar Financial Services Corp., MTN (Consumer Finance)		7.05		10/1/18		352
	645	Caterpillar, Inc. (Machinery)		5.20		5/27/41		696
	1,285	Chevron Corp. (Oil, Gas & Consumable Fuels), Callable 10/17/20 @ 100.00		2.42		11/17/20		1,279
	845	Cisco Systems, Inc. (Communications Equipment)		5.50		1/15/40		991
	3,955	Citigroup, Inc. (Banks)		2.55		4/8/19		3,981
	1,160	Citigroup, Inc. (Banks)		2.65		10/26/20		1,152
	277	Citigroup, Inc. (Banks)		4.95		11/7/43		291
	1,565	Coca-Cola Enterprises, Inc. (Beverages)		3.50		9/15/20		1,600
	670	Comcast Corp. (Media)		2.85		1/15/23		666
	795	Comcast Corp. (Media)		3.13		7/15/22		808
	2,390	Comcast Corp. (Media), Callable 2/15/35 @ 100.00		4.40		8/15/35		2,405
	275	Comcast Corp. (Media)		6.45		3/15/37		342
	1,850	ConocoPhillips (Oil, Gas & Consumable Fuels)		6.50		2/1/39		1,949
	95	Consolidated Edison Co. of New York, Inc., Series 08-B (Multi-Utilities)		6.75		4/1/38		122
	1,625	CSX Corp. (Road & Rail)		6.22		4/30/40		1,914
	1,650	CVS Health Corp. (Food & Staples Retailing), Callable 2/15/21 @ 100.00		4.13		5/15/21		1,746
	1,525	CVS Health Corp. (Food & Staples Retailing), Callable 1/20/35 @ 100.00		4.88		7/20/35		1,575
	1,984	Delphi Corp. (Auto Components), Callable 12/15/23 @ 100.00		4.15		3/15/24		2,000
	185	Delphi Corp. (Auto Components), Callable 2/15/18 @ 103.00		5.00		2/15/23		196
	2,175	Devon Energy Corp. (Oil, Gas & Consumable Fuels), Callable 1/15/41 @ 100.00		5.60		7/15/41		1,643
	2,480	Dominion Resources, Inc. (Multi-Utilities)		5.20		8/15/19		2,701

See accompanying notes to financial statements.

149

HC CAPITAL TRUST

The U.S. Corporate Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	800	Dominion Resources, Inc. (Multi-Utilities)		6.40		6/15/18	$	876
	963	Duke Energy Carolinas LLC (Electric Utilities)		5.30		2/15/40		1,104
	310	Duke Energy Corp. (Electric Utilities), Callable 1/15/24 @ 100.00		3.75		4/15/24		314
	1,705	Eaton Corp. (Electrical Equipment)		2.75		11/2/22		1,649
	620	Eaton Corp. (Electrical Equipment)		4.15		11/2/42		572
	1,475	Eaton Corp. (Electrical Equipment)		5.60		5/15/18		1,595
	1,100	Ecolab, Inc. (Chemicals)		4.35		12/8/21		1,175
	161	Ecolab, Inc. (Chemicals)		5.50		12/8/41		175
	2,157	Enterprise Products Operating LLC (Oil, Gas & Consumable Fuels), Callable 9/15/43 @ 100.00		4.85		3/15/44		1,745
	2,750	Enterprise Products Partners LP (Oil, Gas & Consumable Fuels), Callable 9/15/19 @ 100.00		2.55		10/15/19		2,638
	120	Enterprise Products Partners LP (Oil, Gas & Consumable Fuels), Callable 12/15/45 @ 100.00		4.90		5/15/46		98
	3,690	Exxon Mobil Corp. (Oil, Gas & Consumable Fuels), Callable 2/6/20 @ 100.00		1.91		3/6/20		3,662
	1,560	FedEx Corp. (Air Freight & Logistics)		4.90		1/15/34		1,602
	180	FedEx Corp. (Air Freight & Logistics)		8.00		1/15/19		210
	1,470	Fiserv, Inc. (IT Services), Callable 5/1/20 @ 100.00		2.70		6/1/20		1,458
	480	Fiserv, Inc. (IT Services), Callable 3/1/25 @ 100.00		3.85		6/1/25		479
	824	General Electric Co. (Industrial Conglomerates)		4.13		10/9/42		805
	3,970	General Motors Co. (Automobiles)		3.50		10/2/18		4,010
	1,150	Gilead Sciences, Inc. (Biotechnology), Callable 8/1/44 @ 100.00		4.50		2/1/45		1,125
	1,000	GlaxoSmithKline PLC (Pharmaceuticals)		6.38		5/15/38		1,276
	1,956	Goldman Sachs Group, Inc. (Capital Markets)		2.63		1/31/19		1,970
	1,315	Goldman Sachs Group, Inc. (Capital Markets)		4.00		3/3/24		1,350
	3,910	Goldman Sachs Group, Inc. (Capital Markets)		6.15		4/1/18		4,246
	1,875	International Business Machines Corp. (IT Services)		3.63		2/12/24		1,931
	500	International Business Machines Corp. (IT Services)		4.00		6/20/42		468
	1,200	International Paper Co. (Containers & Packaging), Callable 5/15/41 @ 100.00		6.00		11/15/41		1,258
	895	Johnson & Johnson (Pharmaceuticals), Callable 6/5/33 @ 100.00		4.38		12/5/33		987
	305	Johnson & Johnson (Pharmaceuticals)		4.85		5/15/41		349
	4,295	JPMorgan Chase & Co. (Banks)		4.25		10/15/20		4,558
	310	JPMorgan Chase & Co. (Banks)		4.35		8/15/21		330
	595	Lincoln National Corp. (Insurance)		7.00		6/15/40		746
	215	Lockheed Martin Corp. (Aerospace & Defense), Callable 10/23/20 @ 100.00		2.50		11/23/20		214
	880	Lockheed Martin Corp. (Aerospace & Defense), Callable 12/1/24 @ 100.00		2.90		3/1/25		845
	815	Lockheed Martin Corp. (Aerospace & Defense), Callable 9/1/34 @ 100.00		3.60		3/1/35		729
	2,250	Medtronic, Inc. (Health Care Equipment & Supplies), Callable 1/1/23 @ 100.00		2.75		4/1/23		2,198
	350	Medtronic, Inc. (Health Care Equipment & Supplies), Callable 9/15/43 @ 100.00		4.63		3/15/44		356
	310	MetLife, Inc. (Insurance)		4.05		3/1/45		287
	2,483	MetLife, Inc. (Insurance)		7.72		2/15/19		2,885
	400	Microsoft Corp. (Software), Callable 9/3/22 @ 100.00		2.65		11/3/22		400
	860	Microsoft Corp. (Software), Callable 5/3/35 @ 100.00		4.20		11/3/35		878
	1,795	MidAmerican Energy Holdings Co. (Electric Utilities)		6.13		4/1/36		2,092
	3,870	National Rural Utilities Cooperative Finance Corp. (Diversified Financial Services), Callable 8/15/23 @ 100.00		3.40		11/15/23		3,971
	3,745	Nucor Corp. (Metals & Mining), Callable 5/1/23 @ 100.00		4.00		8/1/23		3,633
	135	Nucor Corp. (Metals & Mining), Callable 2/1/43 @ 100.00		5.20		8/1/43		122
	535	Oklahoma Gas & Electric Co. (Electric Utilities), Callable 11/15/40 @ 100.00		5.25		5/15/41		599
	1,430	Oracle Corp. (Software)		6.50		4/15/38		1,792
	2,175	Philip Morris International, Inc. (Tobacco)		3.60		11/15/23		2,268
	250	PNC Bank NA (Banks), Callable 10/5/20 @ 100.00		2.45		11/5/20		249
	1,250	PNC Financial Services Group, Inc. (Banks) (a)		2.85		11/9/22		1,235
	536	Procter & Gamble Co.(The) (Household Products)		9.36		1/1/21		640
	630	Progress Energy, Inc. (Electric Utilities)		6.00		12/1/39		729
	695	Prudential Financial, Inc. (Insurance)		6.20		11/15/40		820
	385	Puget Energy, Inc. (Multi-Utilities), Callable 4/15/22 @ 100.00		5.63		7/15/22		427

See accompanying notes to financial statements.

150

HC CAPITAL TRUST

The U.S. Corporate Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Corporate Bonds (continued)
$	1,688	Puget Energy, Inc. (Multi-Utilities)		6.00		9/1/21	$	1,902
	620	Puget Energy, Inc. (Multi-Utilities)		6.50		12/15/20		710
	850	Reed Elsevier NV (Media), Callable 7/15/22 @ 100.00		3.13		10/15/22		826
	610	Reed Elsevier NV (Media)		8.63		1/15/19		711
	450	Rock-Tenn Co. (Containers & Packaging)		4.45		3/1/19		469
	1,345	Roper Industries, Inc. (Industrial Conglomerates)		2.05		10/1/18		1,336
	215	Roper Industries, Inc. (Industrial Conglomerates), Callable 8/15/22 @ 100.00		3.13		11/15/22		209
	700	San Diego Gas & Electric Co. (Multi-Utilities), Callable 10/1/41 @ 100.00		4.30		4/1/42		708
	2,110	Southern California Gas Co. (Gas Utilities), Callable 6/15/24 @ 100.00		3.15		9/15/24		2,103
	1,290	Southwest Airlines Co 2007-1 Trust (Airlines)		6.15		8/1/22		1,445
	1,592	Southwest Airlines Co. (Airlines), Callable 10/5/20 @ 100.00		2.65		11/5/20		1,585
	1,530	Sunoco Logistics Partners LP (Oil, Gas & Consumable Fuels), Callable 10/15/22 @ 100.00		3.45		1/15/23		1,291
	1,495	Sunoco Logistics Partners LP (Oil, Gas & Consumable Fuels), Callable 7/15/42 @ 100.00		4.95		1/15/43		1,069
	320	SunTrust Banks, Inc. (Banks), Callable 10/1/18 @ 100.00		2.35		11/1/18		322
	2,500	SunTrust Banks, Inc. (Banks), Callable 4/1/19 @ 100.00		2.50		5/1/19		2,513
	2,091	TC Pipelines, LP (Oil, Gas & Consumable Fuels), Callable 12/13/24 @ 100.00		4.38		3/13/25		1,837
	1,485	The Dow Chemical Co. (Chemicals), Callable 8/15/22 @ 100.00		3.00		11/15/22		1,423
	2,345	The Dow Chemical Co. (Chemicals)		8.55		5/15/19		2,764
	825	The Home Depot, Inc. (Specialty Retail)		5.88		12/16/36		1,006
	652	The Interpublic Group of Cos., Inc. (Media)		2.25		11/15/17		650
	1,850	The Kroger Co. (Food & Staples Retailing), Callable 5/1/23 @ 100.00		3.85		8/1/23		1,907
	630	The Travelers Cos., Inc. (Insurance)		6.25		6/15/37		797
	1,445	Time Warner, Inc. (Media)		5.38		10/15/41		1,478
	1,835	Time Warner, Inc. (Media)		6.88		6/15/18		2,038
	875	Toyota Motor Credit Corp., MTN (Consumer Finance)		3.30		1/12/22		904
	660	Twenty-First Century Fox, Inc. (Media)		5.65		8/15/20		738
	2,680	Twenty-First Century Fox, Inc. (Media)		6.20		12/15/34		3,042
	315	Twenty-First Century Fox, Inc. (Media)		6.90		3/1/19		358
	890	United Parcel Service, Inc. (Air Freight & Logistics)		6.20		1/15/38		1,141
	905	UnitedHealth Group, Inc. (Health Care Providers & Services)		6.88		2/15/38		1,183
	1,135	Valero Energy Corp. (Oil, Gas & Consumable Fuels)		6.63		6/15/37		1,140
	270	Ventas Realty, LP (Real Estate Investment Trusts), Callable 5/15/22 @ 100.00		3.25		8/15/22		263
	845	Ventas Realty, LP (Real Estate Investment Trusts), Callable 11/1/24 @ 100.00		3.50		2/1/25		809
	601	Ventas Realty, LP (Real Estate Investment Trusts), Callable 10/15/25 @ 100.00		4.13		1/15/26		599
	2,190	Verizon Communications, Inc. (Diversified Telecommunication Services)		5.15		9/15/23		2,408
	4,244	Verizon Communications, Inc. (Diversified Telecommunication Services)		6.55		9/15/43		5,038
	990	Viacom, Inc. (Media), Callable 12/15/42 @ 100.00		4.88		6/15/43		795
	2,290	Virginia Electric & Power Co. (Electric Utilities), Callable 12/15/22 @ 100.00		2.75		3/15/23		2,258
	215	Virginia Electric & Power Co. (Electric Utilities), Callable 10/15/21 @ 100.00		2.95		1/15/22		216
	2,895	Wachovia Corp. (Banks)		5.75		2/1/18		3,127
	1,855	Wal-Mart Stores, Inc. (Food & Staples Retailing)		5.63		4/1/40		2,208
	450	Wal-Mart Stores, Inc. (Food & Staples Retailing)		6.50		8/15/37		581
	1,000	Waste Management, Inc. (Commercial Services & Supplies), Callable 12/1/24 @ 100.00		3.13		3/1/25		973
	970	Wells Fargo & Co., MTN (Banks)		2.55		12/7/20		965
	1,155	Wells Fargo & Co. (Banks)		3.00		2/19/25		1,124
	1,605	Western Gas Partners, LP (Oil, Gas & Consumable Fuels), Callable 3/1/25 @ 100.00		3.95		6/1/25		1,348
	1,375	WestRock Co. (Containers & Packaging)		4.90		3/1/22		1,459
		Total Corporate Bonds						214,307
		Yankee Dollars — 14.30%
	1,220	America Movil SAB de CV (Wireless Telecommunication Services)		6.13		3/30/40		1,340
	4,090	BHP Billiton Ltd. (Metals & Mining)		3.85		9/30/23		3,873
	990	British Telecommunications PLC (Diversified Telecommunication Services)		9.63		12/15/30		1,446
	1,309	Canadian Natural Resources (Oil, Gas & Consumable Fuels)		5.70		5/15/17		1,337
	473	Canadian Natural Resources (Oil, Gas & Consumable Fuels)		5.90		2/1/18		492

See accompanying notes to financial statements.

151

HC CAPITAL TRUST

The U.S. Corporate Fixed Income Securities Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Yankee Dollars (continued)
$	640	Canadian Pacific Railway Co. (Road & Rail), Callable 11/1/24 @ 100.00		2.90		2/1/25	$	602
	2,390	Canadian Pacific Railway Co. (Road & Rail), Callable 12/15/22 @ 100.00		4.45		3/15/23		2,538
	165	Canadian Pacific Railway Co. (Road & Rail)		7.25		5/15/19		188
	210	Delphi Automotive PLC (Auto Components), Callable 10/19/20 @ 100.00		3.15		11/19/20		210
	1,440	Deutsche Telekom International Finance (Diversified Financial Services) (a)		8.75		6/15/30		1,997
	750	Diageo Capital PLC (Beverages)		5.88		9/30/36		877
	1,605	HSBC Holdings PLC (Banks)		5.10		4/5/21		1,784
	500	HSBC Holdings PLC (Banks)		6.80		6/1/38		622
	645	Iberdrola International BV (Electric Utilities)		5.81		3/15/25		732
	1,295	Iberdrola International BV (Electric Utilities)		6.75		7/15/36		1,587
	875	LyondellBasell Industries NV (Chemicals)		4.00		7/15/23		873
	2,947	LyondellBasell Industries NV (Chemicals), Callable 1/15/19 @ 100.00		5.00		4/15/19		3,135
	250	LyondellBasell Industries NV (Chemicals), Callable 1/15/24 @ 100.00		5.75		4/15/24		275
	1,343	Orange SA (Diversified Telecommunication Services)		9.00		3/1/31		1,896
	1,242	Petroleos Mexicanos (Oil, Gas & Consumable Fuels)		5.75		3/1/18		1,293
	1,150	Petroleos Mexicanos (Oil, Gas & Consumable Fuels)		6.63		6/15/35		1,028
	1,325	Rio Tinto Finance USA Ltd. (Metals & Mining)		5.20		11/2/40		1,215
	1,400	Rio Tinto Finance USA PLC (Metals & Mining), Callable 12/22/21 @ 100.00		3.50		3/22/22		1,320
	1,575	Shell International Finance BV (Diversified Financial Services)		6.38		12/15/38		1,861
	2,610	Statoil ASA (Oil, Gas & Consumable Fuels)		3.25		11/10/24		2,562
	185	Statoil ASA (Oil, Gas & Consumable Fuels)		5.10		8/17/40		195
	745	Telefonica Emisiones (Diversified Telecommunication Services)		7.05		6/20/36		895
	1,605	Telefonica Emisiones SAU (Diversified Telecommunication Services)		6.22		7/3/17		1,706
	605	Vodafone Group PLC (Wireless Telecommunication Services)		6.15		2/27/37		597
		Total Yankee Dollars						38,476
		Mutual Funds — 5.09%
	11,318,427	SSgA Treasury Money Market Fund (b)		0.00				11,319
	2,384,360	SSgA U.S. Government Money Market Fund (b)		0.00				2,384
		Total Mutual Funds						13,703
		Total Investments (cost $275,934) — 99.05%						266,486
		Other assets in excess of liabilities — 0.95%						2,547
		Net Assets — 100.00%					$	269,033

(a) Step Bond: Coupon rate is set for an initial period and then increased to a higher coupon rate at a specified date. The rate shown is the rate in effect at December 31, 2015.

(b) The rate disclosed is the rate in effect on December 31, 2015.

MTN — Medium Term Note

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The U.S. Corporate Fixed Income Securities Portfolio	Agincourt Capital Management, LLC			HC Capital Solutions			Total
Corporate Bonds		79.66	%		—			79.66	%
Yankee Dollars		14.30	%		—			14.30	%
Mutual Funds		0.89	%		4.20	%		5.09	%
Other Assets (Liabilities)		0.96	%		-0.01	%		0.95	%
Total Net Assets		95.81	%		4.19	%		100.00	%

See accompanying notes to financial statements.

152

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Asset Backed Securities — 1.75%
$	270	American Express Credit Account Master Trust, Series 2014-2, Class A		1.26		1/15/20	$	269
	200	American Express Credit Account Master Trust, Series 2014-3, Class A		1.49		4/15/20		200
	125	Capital Auto Receivables Asset Trust, Series 2015-1, Class A4		1.86		10/21/19		124
	250	Capital One Multi-Asset Execution Trust, Series 2007-A7, Class A7		5.75		7/15/20		267
	300	Chase Issuance Trust (CHAIT), Series 2015-A2, Class A2		1.59		2/18/20		301
	250	Chase Issuance Trust (CHAIT), Series 2012-A7, Class A7		2.16		9/16/24		243
	100	Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1		2.88		1/23/23		102
	250	Discover Card Execution Note Trust, Series 2013-A2, Class A2		0.69		8/15/18		250
	200	Discover Card Execution Note Trust, Series 2014-A4, Class A4		2.12		12/15/21		201
	195	Fifth Third Auto Trust, Series 2014-3, Class A3		0.96		3/15/19		194
	187	Fifth Third Auto Trust, Series 2014-3, Class A4		1.47		5/17/21		185
	225	Ford Credit Auto Owner Trust, Series 2013-C, Class A4		1.25		10/15/18		225
	85	Ford Credit Auto Owner Trust, Series 2015-A, Class A3		1.28		9/15/19		85
	160	Ford Credit Auto Owner Trust, Series 2015-A, Class A4		1.64		6/15/20		159
	200	Honda Auto Receivables Owner Trust, Series 2014-3, Class A3		0.88		6/15/18		199
	100	Honda Auto Receivables Owner Trust, Series 2014-4, Class A3		0.99		9/17/18		100
	40	Mercedes-Benz Auto Lease Trust, Series 2015-A, Class A4		1.21		10/15/20		40
	200	Nissan Auto Receivables Owner Trust, Series 2013-B, Class A4		1.31		10/15/19		200
	200	Santander Drive Auto Receivables Trust, Series 2014-3, Class C		2.13		8/17/20		200
		Total Asset Backed Securities						3,544
		Collateralized Mortgage Obligations — 5.59%
	50	CD Commercial Mortgage Trust, Series 2007-CD5, Class AM (a)		6.12		11/15/44		53
	250	Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class A2		2.79		3/10/47		254
	250	Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4		2.88		2/10/48		240
	200	Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5		3.14		2/10/48		195
	250	Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A4		3.62		7/10/47		255
	237	Commercial Mortgage Trust, Series 2012-CR1, Class A2		2.35		5/15/45		239
	100	Commercial Mortgage Trust, Series 2014-LC15, Class A2		2.84		4/10/47		102
	200	Commercial Mortgage Trust, Series 2015-LC19, Class A4		3.18		2/10/48		196
	80	Commercial Mortgage Trust, Series 2015-DC1, Class A5		3.35		2/10/48		79
	500	Commercial Mortgage Trust, Series 2013-CR8, Class A5 (a)		3.61		6/10/46		516
	100	Commercial Mortgage Trust, Series 2014-UBS4, Class AM		3.97		8/10/47		100
	100	Commercial Mortgage Trust, Series 2013-CR11, Class B (a)		5.16		10/10/46		109
	38	Fannie Mae-ACES, Series 2013-M14, Class APT (a)		2.50		4/25/23		37
	75	Fannie Mae-ACES, Series 2012-M4, Class 1A2		2.98		4/25/22		78
	400	Fannie Mae-ACES, Series K043, Class A2		3.06		12/25/24		403
	250	Fannie Mae-ACES, Series 2014-M9, Class A2 (a)		3.10		7/25/24		254
	300	Fannie Mae-ACES, Series K716, Class A2		3.13		6/25/21		310
	160	Fannie Mae-ACES, Series 2014-M3, Class AB2 (a)		3.46		1/25/24		166
	129	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class A1		2.08		12/25/19		130
	50	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K023, Class A2		2.31		8/25/22		49
	200	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K027, Class A2		2.64		1/25/23		200
	80	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class A1		2.76		5/25/20		82
	350	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class A2		2.87		12/25/21		359
	104	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class A1		3.02		2/25/23		108
	200	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A2 (a)		3.06		7/25/23		204
	200	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class A2 (a)		3.31		5/25/23		207
	200	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K029, Class A2		3.32		2/25/23		208
	260	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class A2		3.87		4/25/21		277
	225	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K012, Class A2		4.19		12/25/20		244
	200	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A2		4.25		1/25/20		215
	120	Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A2		4.33		10/25/20		131
	125	GS Mortgage Securities Trust, Series 2014-GC20, Class A3		3.68		4/10/47		130
	300	GS Mortgage Securities Trust, Series 2013-GC14, Class A5		4.24		8/10/46		321

See accompanying notes to financial statements.

153

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Collateralized Mortgage Obligations (continued)
$	150	JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class A5		3.64		11/15/47	$	152
	200	JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class A4		3.80		9/15/47		206
	200	JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class A5		4.13		11/15/45		211
	193	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2013-LC11, Class A2		1.85		4/15/46		192
	250	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-C8, Class A3		2.83		10/15/45		247
	250	Morgan Stanley BAML Trust, Series 2013-C11, Class A2		3.09		8/15/46		255
	100	Morgan Stanley BAML Trust, Series 2015-C21, Class ASB		3.15		3/15/48		100
	100	Morgan Stanley BAML Trust, Series 2015-C20, Class A4		3.25		2/15/48		98
	100	Morgan Stanley BAML Trust, Series 2014-C17, Class A5		3.74		8/15/47		103
	100	Morgan Stanley BAML Trust, Series 2014-C15, Class A4		4.05		4/15/47		105
	1,000	Morgan Stanley Capital I, Series 2007-HQ11, Class A4 (a)		5.45		2/12/44		1,024
	847	Morgan Stanley Capital I, Series 2007-IQ15, Class A4 (a)		5.92		7/11/17		881
	250	UBS Commercial Mortgage Trust, Series 2012-C1, Class AAB		3.00		5/10/45		251
	155	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4		3.53		5/10/63		159
	225	Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A5		5.50		4/15/47		231
	185	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A5		3.82		8/15/50		191
	156	Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class C		4.07		2/15/48		144
	106	WF-RBS Commercial Mortgage Trust, Series 2014-LC14, Class A1		1.19		3/15/47		105
	200	WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class ASB		2.98		6/15/46		201
		Total Collateralized Mortgage Obligations						11,307
		U.S. Government Agency Mortgages — 88.00%
	84	Fannie Mae, Pool #AS0001		2.00		7/1/28		83
	437	Fannie Mae, Pool #AS1058		2.00		11/1/28		433
	74	Fannie Mae, Pool #AY4232		2.00		5/1/30		72
	256	Fannie Mae, Pool #AB7391		2.50		12/1/42		247
	272	Fannie Mae, Pool #AU5334		2.50		11/1/28		275
	465	Fannie Mae, Pool #AS4946		2.50		5/1/30		469
	625	Fannie Mae, Pool #AP4742		2.50		8/1/27		635
	765	Fannie Mae, Pool #MA1210		2.50		9/1/49		777
	383	Fannie Mae, Pool #AU2619		2.50		8/1/28		388
	116	Fannie Mae, Pool #AS4660		2.50		3/1/30		117
	189	Fannie Mae, Pool #AU6387		2.50		11/1/28		191
	581	Fannie Mae, Pool #AO3019		2.50		5/1/27		590
	97	Fannie Mae, Pool #AT2717		2.50		5/1/43		93
	284	Fannie Mae, Pool #AU4798		2.50		9/1/28		287
	80	Fannie Mae, Pool #MA1270		2.50		11/1/32		79
	37	Fannie Mae, Pool #MA1511		2.50		7/1/33		36
	698	Fannie Mae, Pool #MA1277		2.50		12/1/27		709
	106	Fannie Mae, Pool #AS0513		2.50		8/1/43		103
	196	Fannie Mae, Pool #AZ6458		2.50		7/1/30		198
	138	Fannie Mae, Pool #AL5800 (a)		2.68		2/1/44		142
	62	Fannie Mae, Pool #AL4360 (a)		2.70		11/1/43		64
	213	Fannie Mae, Pool #AY1861 (a)		2.72		1/1/45		217
	300	Fannie Mae, Series 2012-M1, Class A2		2.73		10/25/21		308
	343	Fannie Mae, Pool #AU3735		3.00		8/1/43		344
	98	Fannie Mae, Pool #AY2961		3.00		5/1/45		98
	618	Fannie Mae, Pool #AK0006		3.00		1/1/27		640
	235	Fannie Mae, Pool #MA1401		3.00		4/1/33		241
	569	Fannie Mae, Pool #MA1307		3.00		1/1/33		584
	763	Fannie Mae, Pool #AK3302		3.00		3/1/27		790
	291	Fannie Mae, Pool #AY4200		3.00		5/1/45		291
	150	Fannie Mae, Pool #AU7890		3.00		9/1/28		155
	1,101	Fannie Mae, Pool #AO0752		3.00		4/1/42		1,105
	108	Fannie Mae, Pool #MA1338		3.00		2/1/33		111

See accompanying notes to financial statements.

154

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	460	Fannie Mae, Pool #AB4483		3.00		2/1/27	$	476
	262	Fannie Mae, Pool #AW7383		3.00		8/1/29		270
	148	Fannie Mae, Pool #AW8295		3.00		8/1/29		153
	463	Fannie Mae, Pool #MA2246		3.00		4/1/30		478
	190	Fannie Mae, Pool #MA2230		3.00		4/1/35		193
	86	Fannie Mae, Pool #MA2087		3.00		11/1/34		87
	175	Fannie Mae, Pool #MA2149		3.00		1/1/30		180
	504	Fannie Mae, Pool #AB8897		3.00		4/1/43		505
	48	Fannie Mae, Pool #MA2287		3.00		6/1/35		49
	61	Fannie Mae, Pool #MA2065		3.00		10/1/34		63
	1,872	Fannie Mae, Pool #AB7099		3.00		11/1/42		1,877
	48	Fannie Mae, Pool #AX8309		3.00		11/1/29		50
	517	Fannie Mae, Pool #AS4333		3.00		1/1/45		517
	211	Fannie Mae, Pool #MA1527		3.00		8/1/33		217
	854	Fannie Mae, Pool #AP2465		3.00		8/1/42		857
	975	Fannie Mae, Pool #AP6493		3.00		9/1/42		978
	504	Fannie Mae, Pool #AT0682		3.00		4/1/43		504
	105	Fannie Mae, Pool #AS4334		3.00		1/1/45		105
	61	Fannie Mae, Pool #AR7426		3.00		7/1/43		61
	466	Fannie Mae, Pool #AT7620		3.00		6/1/43		467
	486	Fannie Mae, Pool #AT2014		3.00		4/1/43		486
	1,777	Fannie Mae, Pool #AP6375		3.00		9/1/42		1,783
	80	Fannie Mae, Pool #AT1575		3.00		5/1/43		80
	164	Fannie Mae, Pool #AS3117		3.00		8/1/29		169
	236	Fannie Mae, Pool #AS2312		3.00		5/1/29		243
	482	Fannie Mae, Pool #AY4829		3.00		5/1/45		483
	1,482	Fannie Mae, Pool #AQ7920		3.00		12/1/42		1,486
	267	Fannie Mae, Pool #AQ3223		3.00		11/1/27		277
	371	Fannie Mae, Pool #AS1527		3.00		1/1/29		382
	178	Fannie Mae, Pool #310139		3.50		11/1/25		187
	45	Fannie Mae, Pool #AX0159		3.50		9/1/29		47
	447	Fannie Mae, Pool #MA1107		3.50		7/1/32		467
	776	Fannie Mae, Pool #AQ0546		3.50		11/1/42		802
	462	Fannie Mae, Pool #AY4300		3.50		1/1/45		477
	465	Fannie Mae, Pool #MA1980		3.50		8/1/44		479
	450	Fannie Mae, Pool #MA2125		3.50		12/1/44		464
	265	Fannie Mae, Pool #AX5201		3.50		10/1/29		277
	294	Fannie Mae, Pool #AS5696		3.50		8/1/45		303
	346	Fannie Mae, Pool #MA1059		3.50		5/1/32		361
	394	Fannie Mae, Pool #AX2486		3.50		10/1/44		406
	49	Fannie Mae, Pool #MA1021		3.50		3/1/27		52
	1,873	Fannie Mae, Pool #AB6017		3.50		8/1/42		1,935
	475	Fannie Mae, Pool #AS4773		3.50		4/1/45		490
	460	Fannie Mae, Pool #AX9530		3.50		2/1/45		475
	472	Fannie Mae, Pool #AY1306		3.50		3/1/45		487
	222	Fannie Mae, Pool #AS4772		3.50		4/1/45		229
	116	Fannie Mae, Pool #AS2081		3.50		4/1/29		122
	388	Fannie Mae, Pool #AJ8476		3.50		12/1/41		401
	1,814	Fannie Mae, Pool #AK7497		3.50		4/1/42		1,875
	1,818	Fannie Mae, Pool #AO2548		3.50		4/1/42		1,879
	122	Fannie Mae, Pool #AK0706		3.50		2/1/27		128
	462	Fannie Mae, Pool #AS4771		3.50		4/1/45		476
	303	Fannie Mae, Pool #AJ4093		3.50		10/1/26		318
	434	Fannie Mae, Pool #MA1982		3.50		8/1/34		453

See accompanying notes to financial statements.

155

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	41	Fannie Mae, Pool #AJ6181		3.50		12/1/26	$	43
	488	Fannie Mae, Pool #AZ0862		3.50		7/1/45		504
	486	Fannie Mae, Pool #MA2292		3.50		6/1/45		502
	1,027	Fannie Mae, Pool #AL1717		3.50		5/1/27		1,078
	261	Fannie Mae, Pool #AU3742		3.50		8/1/43		270
	222	Fannie Mae, Pool #AO9140		3.50		7/1/42		230
	200	Fannie Mae, Pool #AO4647		3.50		6/1/42		207
	652	Fannie Mae, Pool #AO3760		3.50		5/1/42		674
	356	Fannie Mae, Pool #AO4385		3.50		6/1/42		368
	76	Fannie Mae, Pool #AV6407		3.50		2/1/29		80
	73	Fannie Mae, Pool #AP9390		3.50		10/1/42	��	76
	451	Fannie Mae, Pool #AS3133		3.50		8/1/44		466
	1,861	Fannie Mae, Pool #AO8137		3.50		8/1/42		1,923
	817	Fannie Mae, Pool #AS0531		4.00		9/1/43		869
	445	Fannie Mae, Pool #AX0841		4.00		9/1/44		471
	61	Fannie Mae, Pool #AW9041		4.00		8/1/44		64
	404	Fannie Mae, Pool #AS2498		4.00		5/1/44		427
	64	Fannie Mae, Pool #AY2291		4.00		3/1/45		67
	366	Fannie Mae, Pool #AW5063		4.00		7/1/44		387
	350	Fannie Mae, Pool #AV2340		4.00		12/1/43		370
	897	Fannie Mae, Pool #AJ7857		4.00		12/1/41		952
	368	Fannie Mae, Pool #AO2959		4.00		5/1/42		390
	434	Fannie Mae, Pool #AS3467		4.00		10/1/44		459
	83	Fannie Mae, Pool #AS3448		4.00		9/1/44		88
	599	Fannie Mae, Pool #AH5859		4.00		2/1/41		635
	1,025	Fannie Mae, Pool #AJ5303		4.00		11/1/41		1,087
	1,799	Fannie Mae, Pool #AH6242		4.00		4/1/26		1,891
	402	Fannie Mae, Pool #AY1595		4.00		1/1/45		425
	344	Fannie Mae, Pool #AS3903		4.00		11/1/44		365
	1,329	Fannie Mae, Pool #AJ7689		4.00		12/1/41		1,409
	2,121	Fannie Mae, Pool #190405		4.00		10/1/40		2,250
	252	Fannie Mae, Pool #AC7328		4.00		12/1/39		266
	417	Fannie Mae, Pool #MA0641		4.00		2/1/31		446
	152	Fannie Mae, Pool #MA0493		4.00		8/1/30		162
	99	Fannie Mae, Pool #AT3872		4.00		6/1/43		104
	243	Fannie Mae, Pool #AS3468		4.00		10/1/44		257
	443	Fannie Mae, Pool #AS3293		4.00		9/1/44		469
	428	Fannie Mae, Pool #AS3216		4.00		9/1/44		453
	68	Fannie Mae, Pool #AH3394		4.00		1/1/41		72
	42	Fannie Mae, Pool #AW7048		4.50		6/1/44		45
	143	Fannie Mae, Pool #AU5302		4.50		10/1/43		154
	42	Fannie Mae, Pool #310112		4.50		6/1/19		44
	21	Fannie Mae, Pool #254720		4.50		5/1/18		21
	248	Fannie Mae, Pool #MA0481		4.50		8/1/30		269
	304	Fannie Mae, Pool #AA9781		4.50		7/1/24		328
	81	Fannie Mae, Pool #AA0860		4.50		1/1/39		87
	298	Fannie Mae, Pool #AS0861		4.50		10/1/43		321
	1,009	Fannie Mae, Pool #AL1107		4.50		11/1/41		1,092
	75	Fannie Mae, Pool #AH6790		4.50		3/1/41		81
	1,323	Fannie Mae, Pool #AH7521		4.50		3/1/41		1,432
	440	Fannie Mae, Pool #AI4815		4.50		6/1/41		476
	955	Fannie Mae, Pool #AH9055		4.50		4/1/41		1,034
	80	Fannie Mae, Pool #982892		4.50		5/1/23		84
	446	Fannie Mae, Pool #AE0217		4.50		8/1/40		483

See accompanying notes to financial statements.

156

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	428	Fannie Mae, Pool #AD8529		4.50		8/1/40	$	463
	181	Fannie Mae, Pool #AS2276		4.50		4/1/44		196
	332	Fannie Mae, Pool #AL4450		4.50		12/1/43		359
	189	Fannie Mae, Pool #AB1389		4.50		8/1/40		204
	362	Fannie Mae, Pool #AS1638		4.50		2/1/44		391
	74	Fannie Mae, Pool #AB1470		4.50		9/1/40		80
	4	Fannie Mae, Pool #AB0339		4.50		1/1/20		5
	407	Fannie Mae, Pool #AB3192		4.50		6/1/41		440
	89	Fannie Mae, Pool #725238		5.00		3/1/34		98
	72	Fannie Mae, Pool #890603		5.00		8/1/41		79
	3	Fannie Mae, Pool #868986		5.00		5/1/21		3
	1	Fannie Mae, Pool #650196		5.00		11/1/17		1
	422	Fannie Mae, Pool #AS0837		5.00		10/1/43		464
	324	Fannie Mae, Pool #AH5988		5.00		3/1/41		356
	83	Fannie Mae, Pool #890621		5.00		5/1/42		91
	1,620	Fannie Mae, Pool #889117		5.00		10/1/35		1,792
	58	Fannie Mae, Pool #725504		5.00		1/1/19		61
	189	Fannie Mae, Pool #AS0575		5.00		9/1/43		208
	37	Fannie Mae, Pool #AL3272		5.00		2/1/25		41
	534	Fannie Mae, Pool #AL5788		5.00		5/1/42		590
	183	Fannie Mae, Pool #836750		5.00		10/1/35		201
	158	Fannie Mae, Pool #796663		5.00		9/1/19		164
	2	Fannie Mae, Pool #630942		5.50		2/1/17		2
	43	Fannie Mae, Pool #929451		5.50		5/1/38		48
	105	Fannie Mae, Pool #976945		5.50		2/1/23		113
	4	Fannie Mae, Pool #A79636		5.50		7/1/38		5
	7	Fannie Mae, Pool #A69671		5.50		12/1/37		7
	50	Fannie Mae, Pool #909662		5.50		2/1/22		54
	6	Fannie Mae, Pool #625938		5.50		3/1/17		6
	38	Fannie Mae, Pool #AL0725		5.50		6/1/24		39
	2,370	Fannie Mae, Pool #890221		5.50		12/1/33		2,663
	44	Fannie Mae, Pool #545400		5.50		1/1/17		45
	14	Fannie Mae, Pool #545900		5.50		7/1/17		14
	1,455	Fannie Mae, Pool #725228		6.00		3/1/34		1,660
	393	Fannie Mae, Pool #889984		6.50		10/1/38		449
	575	Fannie Mae, 30 YR TBA		3.50		2/25/46		592
	825	Fannie Mae, 30 YR TBA		3.50		1/25/46		851
	1,200	Fannie Mae, 30 YR TBA		4.00		1/25/45		1,269
	87	Freddie Mac, Pool #J25759		2.00		8/1/28		86
	96	Freddie Mac, Pool #G18547		2.00		3/1/30		94
	237	Freddie Mac, Pool #J25777		2.00		9/1/28		235
	266	Freddie Mac, Pool #849138 (a)		2.42		10/1/43		271
	172	Freddie Mac, Pool #849578 (a)		2.43		12/1/44		176
	24	Freddie Mac, Pool #1G2883 (a)		2.50		6/1/38		25
	391	Freddie Mac, Pool #G18568		2.50		9/1/30		395
	350	Freddie Mac, Pool #G18533		2.50		12/1/29		353
	156	Freddie Mac, Pool #G18485		2.50		10/1/28		158
	436	Freddie Mac, Pool #J26408		2.50		11/1/28		444
	159	Freddie Mac, Pool #J25585		2.50		9/1/28		161
	370	Freddie Mac, Pool #J25016		2.50		8/1/28		376
	389	Freddie Mac, Pool #G18470		2.50		6/1/28		395
	359	Freddie Mac, Pool #G18459		2.50		3/1/28		365
	53	Freddie Mac, Pool #G18472		2.50		7/1/28		54
	371	Freddie Mac, Pool #J18954		2.50		4/1/27		377

See accompanying notes to financial statements.

157

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	96	Freddie Mac, Pool #C09026		2.50		2/1/43	$	93
	356	Freddie Mac, Pool #J23440		2.50		4/1/28		362
	87	Freddie Mac, Pool #Q19754		3.00		7/1/43		87
	80	Freddie Mac, Pool #Q18599		3.00		6/1/43		80
	26	Freddie Mac, Pool #Q18882		3.00		5/1/43		26
	395	Freddie Mac, Pool #G15145		3.00		7/1/29		407
	259	Freddie Mac, Pool #Q20067		3.00		7/1/43		259
	20	Freddie Mac, Pool #Q13086		3.00		11/1/42		20
	488	Freddie Mac, Pool #Q16222		3.00		3/1/43		488
	750	Freddie Mac, Pool #G08534		3.00		6/1/43		750
	75	Freddie Mac, Pool #J33135		3.00		11/1/30		77
	87	Freddie Mac, Pool #G08540		3.00		8/1/43		87
	100	Freddie Mac, Pool #G18575		3.00		11/1/30		103
	415	Freddie Mac, Pool #G08525		3.00		5/1/43		415
	163	Freddie Mac, Pool #J28722		3.00		7/1/29		168
	744	Freddie Mac, Pool #Q21065		3.00		8/1/43		744
	430	Freddie Mac, Pool #G15217		3.00		11/1/29		444
	1,645	Freddie Mac, Pool #G08537		3.00		7/1/43		1,645
	82	Freddie Mac, Pool #J29932		3.00		11/1/29		84
	488	Freddie Mac, Pool #G18514		3.00		6/1/29		503
	225	Freddie Mac, Pool #AZ0538		3.00		9/1/30		232
	270	Freddie Mac, Pool #G18569		3.00		9/1/30		278
	368	Freddie Mac, Pool #C91581		3.00		11/1/32		377
	340	Freddie Mac, Pool #G18531		3.00		11/1/29		351
	542	Freddie Mac, Pool #G08653		3.00		7/1/45		541
	168	Freddie Mac, Pool #C91707		3.00		6/1/33		172
	392	Freddie Mac, Pool #G18518		3.00		7/1/29		405
	296	Freddie Mac, Pool #C04422		3.00		12/1/42		296
	510	Freddie Mac, Pool #G08635		3.00		4/1/45		509
	392	Freddie Mac, Pool #C04446		3.00		1/1/43		393
	195	Freddie Mac, Pool #G08640		3.00		5/1/45		195
	422	Freddie Mac, Pool #C04619		3.00		3/1/43		422
	86	Freddie Mac, Pool #G18534		3.00		12/1/29		89
	175	Freddie Mac, Pool #G08680		3.00		12/1/45		175
	166	Freddie Mac, Pool #C91819		3.00		4/1/35		170
	248	Freddie Mac, Pool #C91724		3.00		9/1/33		254
	194	Freddie Mac, Pool #Q12052		3.50		10/1/42		200
	407	Freddie Mac, Pool #Q09896		3.50		8/1/42		419
	390	Freddie Mac, Pool #J15105		3.50		4/1/26		409
	87	Freddie Mac, Pool #C03920		3.50		5/1/42		90
	219	Freddie Mac, Pool #Q06749		3.50		3/1/42		226
	317	Freddie Mac, Pool #Q08903		3.50		6/1/42		327
	96	Freddie Mac, Pool #G30776		3.50		7/1/35		100
	250	Freddie Mac, Pool #Q37449		3.50		11/1/45		258
	133	Freddie Mac, Pool #J14232		3.50		1/1/21		139
	437	Freddie Mac, Pool #Q20860		3.50		8/1/43		450
	399	Freddie Mac, Pool #J26144		3.50		10/1/23		418
	295	Freddie Mac, Pool #C91403		3.50		3/1/32		308
	305	Freddie Mac, Pool #Q08998		3.50		6/1/42		314
	97	Freddie Mac, Pool #J27494		3.50		2/1/29		102
	320	Freddie Mac, Pool #C91456		3.50		6/1/32		335
	232	Freddie Mac, Pool #Q04087		3.50		10/1/41		239
	521	Freddie Mac, Pool #G08632		3.50		3/1/45		536
	75	Freddie Mac, Pool #MA2495		3.50		12/31/49		77

See accompanying notes to financial statements.

158

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	744	Freddie Mac, Pool #G08562		3.50		1/1/44	$	766
	164	Freddie Mac, Pool #G08605		3.50		9/1/44		168
	150	Freddie Mac, Pool #G08681		3.50		12/1/45		154
	490	Freddie Mac, Pool #G08654		3.50		7/1/45		505
	453	Freddie Mac, Pool #G08623		3.50		1/1/45		467
	863	Freddie Mac, Pool #G08636		3.50		4/1/45		889
	1,555	Freddie Mac, Pool #G08495		3.50		6/1/42		1,602
	492	Freddie Mac, Pool #G08627		3.50		2/1/45		507
	486	Freddie Mac, Pool #G08650		3.50		6/1/45		501
	494	Freddie Mac, Pool #G08667		3.50		9/1/45		509
	350	Freddie Mac, Pool #AY5303		3.50		3/1/45		362
	164	Freddie Mac, Pool #G08599		3.50		8/1/44		169
	766	Freddie Mac, Pool #G08554		3.50		10/1/43		789
	531	Freddie Mac, Pool #G08641		3.50		5/1/45		547
	490	Freddie Mac, Pool #G08660		4.00		8/1/45		518
	375	Freddie Mac, Pool #G08669		4.00		9/1/45		396
	482	Freddie Mac, Pool #G06506		4.00		12/1/40		510
	326	Freddie Mac, Pool #J11263		4.00		11/1/19		339
	200	Freddie Mac, Pool #AY0025		4.00		2/1/45		212
	58	Freddie Mac, Pool #J12435		4.00		6/1/25		61
	49	Freddie Mac, Pool #G08633		4.00		3/1/45		52
	2,029	Freddie Mac, Pool #A96286		4.00		1/1/41		2,149
	420	Freddie Mac, Pool #C09070		4.00		12/1/44		444
	200	Freddie Mac, Pool #AZ8067		4.00		9/1/45		212
	464	Freddie Mac, Pool #G08616		4.00		11/1/44		490
	148	Freddie Mac, Pool #C91738		4.00		11/1/33		158
	427	Freddie Mac, Pool #G08618		4.00		12/1/44		452
	260	Freddie Mac, Pool #C91765		4.00		5/1/34		278
	254	Freddie Mac, Pool #G14453		4.00		6/1/26		268
	25	Freddie Mac, Pool #Q27456		4.00		7/1/44		26
	348	Freddie Mac, Pool #G08567		4.00		1/1/44		368
	196	Freddie Mac, Pool #G08601		4.00		8/1/44		207
	407	Freddie Mac, Pool #Q24955		4.00		2/1/44		432
	352	Freddie Mac, Pool #Q27594		4.00		8/1/44		372
	473	Freddie Mac, Pool #G08588		4.00		5/1/44		500
	318	Freddie Mac, Pool #G08459		4.00		9/1/41		337
	119	Freddie Mac, Pool #G08483		4.00		3/1/42		126
	0	Freddie Mac, Pool #G14786		4.00		4/1/19		0
	436	Freddie Mac, Pool #G08595		4.00		7/1/44		460
	390	Freddie Mac, Pool #A97495		4.50		3/1/41		421
	106	Freddie Mac, Pool #E02862		4.50		3/1/26		114
	165	Freddie Mac, Pool #J09503		4.50		4/1/24		177
	267	Freddie Mac, Pool #A90437		4.50		1/1/40		288
	274	Freddie Mac, Pool #G08596		4.50		7/1/44		296
	2,997	Freddie Mac, Pool #A97692		4.50		3/1/41		3,234
	56	Freddie Mac, Pool #C09059		4.50		3/1/44		61
	33	Freddie Mac, Pool #357316		4.50		12/1/17		34
	77	Freddie Mac, Pool #J07849		4.50		5/1/23		82
	125	Freddie Mac, Pool #J09311		4.50		2/1/24		133
	196	Freddie Mac, Pool #Q25432		4.50		3/1/44		212
	89	Freddie Mac, Pool #Q22671		4.50		11/1/43		97
	125	Freddie Mac, Pool #G13255		5.00		7/1/23		136
	567	Freddie Mac, Pool #G04913		5.00		3/1/38		620
	35	Freddie Mac, Pool #G07068		5.00		7/1/41		38

See accompanying notes to financial statements.

159

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	1,186	Freddie Mac, Pool #C01598		5.00		8/1/33	$	1,312
	85	Freddie Mac, Pool #G05205		5.00		1/1/39		93
	78	Freddie Mac, Pool #C90845		5.00		8/1/24		85
	385	Freddie Mac, Pool #Q00763		5.00		5/1/41		421
	175	Freddie Mac, Pool #G06031		5.50		3/1/40		195
	1,342	Freddie Mac, Pool #G01665		5.50		3/1/34		1,494
	7	Freddie Mac, Pool #G06091		5.50		5/1/40		8
	84	Freddie Mac, Pool #G05709		6.00		6/1/38		95
	54	Freddie Mac, Pool #A62706		6.00		6/1/37		61
	688	Freddie Mac, Pool #G02794		6.00		5/1/37		778
	140	Freddie Mac, Pool #G03551		6.00		11/1/37		158
	25	Freddie Mac, Gold 15 YR TBA		2.50		1/15/30		25
	150	Freddie Mac, Gold 15 YR TBA		3.00		1/15/31		155
	600	Freddie Mac, Gold 30 YR TBA		3.50		2/15/46		616
	200	Freddie Mac, Gold 30 YR TBA		3.50		1/15/44		206
	300	Freddie Mac, Gold 30 YR TBA		4.00		1/15/46		317
	371	Government National Mortgage Association, Pool #MA2767 (a)		2.50		4/20/45		377
	147	Government National Mortgage Association, Pool #MA0712 (a)		2.50		1/20/43		150
	74	Government National Mortgage Association, Pool #MA1133		2.50		7/20/28		76
	76	Government National Mortgage Association, Pool #MA0908		2.50		4/20/28		77
	25	Government National Mortgage Association, Pool #711729		2.50		3/15/43		24
	135	Government National Mortgage Association, Pool #MA0601		2.50		12/20/27		137
	171	Government National Mortgage Association, Pool #MA1283		2.50		9/20/43		166
	25	Government National Mortgage Association, Pool #MA2890		2.50		6/20/45		24
	140	Government National Mortgage Association, Pool #AA8341		2.50		2/15/28		143
	92	Government National Mortgage Association, Pool #776954		2.50		11/15/42		90
	2,447	Government National Mortgage Association, Pool #MA0624		3.00		12/20/42		2,490
	142	Government National Mortgage Association, Pool #MA1265		3.00		9/20/28		148
	89	Government National Mortgage Association, Pool #MA2797		3.00		5/20/30		93
	407	Government National Mortgage Association, Pool #MA1374		3.00		10/20/43		414
	229	Government National Mortgage Association, Pool #AA2654		3.00		6/15/43		233
	310	Government National Mortgage Association, Pool #779084		3.00		4/15/42		315
	149	Government National Mortgage Association, Pool #MA0851		3.00		3/20/43		152
	413	Government National Mortgage Association, Pool #AA6149		3.00		3/20/43		420
	76	Government National Mortgage Association, Pool #AA2934		3.00		7/15/42		77
	188	Government National Mortgage Association, Pool #MA0205		3.00		7/20/27		195
	143	Government National Mortgage Association, Pool #MA2600		3.00		2/20/45		146
	436	Government National Mortgage Association, Pool #MA0153		3.00		6/20/42		443
	390	Government National Mortgage Association, Pool #MA0461		3.00		10/20/42		397
	507	Government National Mortgage Association, Pool #MA0391		3.00		9/20/42		516
	370	Government National Mortgage Association, Pool #AD8433		3.00		7/15/43		376
	208	Government National Mortgage Association, Pool #AG0440		3.00		8/15/43		211
	447	Government National Mortgage Association, Pool #MA2444		3.00		12/20/44		453
	49	Government National Mortgage Association, Pool #AN5756		3.00		7/15/45		50
	400	Government National Mortgage Association, Pool #MA3309		3.00		12/20/45		406
	347	Government National Mortgage Association, Pool #MA3104		3.00		8/20/45		352
	345	Government National Mortgage Association, Pool #MA2960		3.00		7/20/45		350
	837	Government National Mortgage Association, Pool #MA2147		3.00		8/20/44		852
	387	Government National Mortgage Association, Pool #MA2825		3.00		5/20/45		393
	563	Government National Mortgage Association, Pool #MA0088		3.50		5/20/42		589
	448	Government National Mortgage Association, Pool #MA0022		3.50		4/20/42		469
	50	Government National Mortgage Association, Pool #AL8566		3.50		3/15/45		52
	62	Government National Mortgage Association, Pool #MA1574		3.50		1/20/29		64
	1,432	Government National Mortgage Association, Pool #MA0220		3.50		7/20/42		1,497
	668	Government National Mortgage Association, Pool #MA0934		3.50		4/20/43		698

See accompanying notes to financial statements.

160

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		U.S. Government Agency Mortgages (continued)
$	96	Government National Mortgage Association, Pool #740798		3.50		1/15/42	$	101
	285	Government National Mortgage Association, Pool #MA1919		3.50		5/20/44		298
	206	Government National Mortgage Association, Pool #738602		3.50		8/15/26		216
	752	Government National Mortgage Association, Pool #MA0462		3.50		10/20/42		786
	413	Government National Mortgage Association, Pool #MA2445		3.50		12/20/44		431
	304	Government National Mortgage Association, Pool #AC3938		3.50		1/15/43		317
	170	Government National Mortgage Association, Pool #AD2416		3.50		5/15/43		177
	274	Government National Mortgage Association, Pool #AD2954		3.50		7/15/44		285
	484	Government National Mortgage Association, Pool #MA2892		3.50		6/20/45		505
	793	Government National Mortgage Association, Pool #MA3034		3.50		8/20/45		828
	648	Government National Mortgage Association, Pool #MA0852		3.50		3/20/43		677
	229	Government National Mortgage Association, Pool #778157		3.50		3/15/42		238
	79	Government National Mortgage Association, Pool #796271		3.50		7/15/42		82
	710	Government National Mortgage Association, Pool #MA1090		3.50		6/20/43		742
	341	Government National Mortgage Association, Pool #MA2371		3.50		11/20/44		357
	347	Government National Mortgage Association, Pool #MA1838		3.50		4/20/44		363
	363	Government National Mortgage Association, Pool #MA0699		3.50		1/20/43		379
	1,096	Government National Mortgage Association, Pool #MA2073		3.50		7/20/44		1,146
	38	Government National Mortgage Association, Pool #MA1266		3.50		9/20/28		39
	1,496	Government National Mortgage Association, Pool #MA2148		3.50		8/20/44		1,564
	472	Government National Mortgage Association, Pool #MA2754		3.50		4/20/45		492
	65	Government National Mortgage Association, Pool #779401		4.00		6/15/42		69
	307	Government National Mortgage Association, Pool #713876		4.00		8/15/39		325
	323	Government National Mortgage Association, Pool #MA1678		4.00		2/20/44		344
	252	Government National Mortgage Association, Pool #AD5627		4.00		4/15/43		267
	546	Government National Mortgage Association, Pool #MA1761		4.00		3/20/44		582
	125	Government National Mortgage Association, Pool #AB1483		4.00		8/15/42		133
	183	Government National Mortgage Association, Pool #753254		4.00		9/15/43		194
	540	Government National Mortgage Association, Pool #MA2224		4.00		9/20/44		574
	70	Government National Mortgage Association, Pool #766495		4.00		10/15/41		74
	206	Government National Mortgage Association, Pool #MA2149		4.00		8/20/44		219
	482	Government National Mortgage Association, Pool #MA2304		4.00		10/20/44		512
	392	Government National Mortgage Association, Pool #MA2522		4.00		1/20/45		416
	162	Government National Mortgage Association, Pool #738710		4.00		9/15/41		172
	622	Government National Mortgage Association, Pool #MA2074		4.00		7/20/44		662
	133	Government National Mortgage Association, Pool #MA0155		4.00		6/20/42		143
	70	Government National Mortgage Association, Pool #004922		4.00		1/20/41		75
	197	Government National Mortgage Association, Pool #740068		4.00		9/15/40		209
	234	Government National Mortgage Association, Pool #MA1996		4.00		6/20/44		249
	226	Government National Mortgage Association, Pool #MA1286		4.00		9/20/43		240
	426	Government National Mortgage Association, Pool #MA1376		4.00		10/20/43		454
	199	Government National Mortgage Association, Pool #AM8203		4.00		5/15/45		212
	254	Government National Mortgage Association, Pool #MA2602		4.00		2/20/45		270
	434	Government National Mortgage Association, Pool #MA1449		4.00		11/20/43		463
	289	Government National Mortgage Association, Pool #MA0319		4.00		8/20/42		308
	1,393	Government National Mortgage Association, Pool #005139		4.00		8/20/41		1,491
	630	Government National Mortgage Association, Pool #MA1839		4.00		4/20/44		671
	105	Government National Mortgage Association, Pool #MA1092		4.50		6/20/43		114
	418	Government National Mortgage Association, Pool #MA1762		4.50		3/20/44		450
	277	Government National Mortgage Association, Pool #MA0701		4.50		1/20/43		302
	1,830	Government National Mortgage Association, Pool #004801		4.50		9/20/40		1,993
	1,335	Government National Mortgage Association, Pool #721760		4.50		8/15/40		1,460
	335	Government National Mortgage Association, Pool #005260		4.50		12/20/41		365
	543	Government National Mortgage Association, Pool #717148		4.50		5/15/39		593
	74	Government National Mortgage Association, Pool #738793		4.50		9/15/41		80

See accompanying notes to financial statements.

161

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)				Rate %		Maturity Date		Value (000)
			U.S. Government Agency Mortgages (continued)
$	524		Government National Mortgage Association, Pool #MA2756		4.50		4/20/45	$	564
	88		Government National Mortgage Association, Pool #729511		4.50		4/15/40		95
	2		Government National Mortgage Association, Pool #673496		5.00		4/15/38		3
	221		Government National Mortgage Association, Pool #604285		5.00		5/15/33		246
	164		Government National Mortgage Association, Pool #712690		5.00		4/15/39		179
	66		Government National Mortgage Association, Pool #782468		5.00		11/15/38		73
	401		Government National Mortgage Association, Pool #782523		5.00		11/15/35		447
	93		Government National Mortgage Association, Pool #675179		5.00		3/15/38		103
	41		Government National Mortgage Association, Pool #MA0465		5.00		10/20/42		46
	315		Government National Mortgage Association, Pool #MA2076		5.00		7/20/44		343
	232		Government National Mortgage Association, Pool #694531		5.00		11/15/38		254
	1,506		Government National Mortgage Association, Pool #004559		5.00		10/20/39		1,664
	84		Government National Mortgage Association, Pool #658181		5.50		11/15/36		93
	39		Government National Mortgage Association, Pool #MA0466		5.50		10/20/42		43
	297		Government National Mortgage Association, Pool #783284		5.50		6/20/40		330
	197		Government National Mortgage Association, Pool #510835		5.50		2/15/35		222
	168		Government National Mortgage Association, Pool #004222		6.00		8/20/38		188
	188		Government National Mortgage Association, Pool #004245		6.00		9/20/38		211
	364		Government National Mortgage Association, Pool #781959		6.00		7/15/35		420
	19		Government National Mortgage Association, Pool #695773		6.50		11/15/38		22
	2		Government National Mortgage Association, Pool #690789		6.50		5/15/38		2
	48		Government National Mortgage Association, Pool #699237		6.50		9/15/38		55
	375		Government National Mortgage Association, 30 YR TBA		3.00		2/20/45		380
	2,275		Government National Mortgage Association, 30 YR TBA		3.50		2/15/46		2,364
	1,020		Government National Mortgage Association, 30 YR TBA		3.50		1/20/45		1,063
	400		Government National Mortgage Association, 30 YR TBA		4.00		1/20/46		425
	100		Government National Mortgage Association, 30 YR TBA		4.00		1/15/46		106
			Total U.S. Government Agency Mortgages						177,890
			Yankee Dollars — 0.32%
	100		Bank of Nova Scotia (Banks)		1.85		4/14/20		98
	100		Bank of Nova Scotia (Banks)		2.13		9/11/19		100
	200		Royal Bank of Canada (Banks)		1.20		9/19/17		199
	150		Royal Bank of Canada (Banks)		1.88		2/5/20		147
	100		Royal Bank of Canada (Banks)		2.20		9/23/19		100
			Total Yankee Dollars						644
			Mutual Fund — 8.31%
	16,806,531		SSgA Treasury Money Market Fund (b)		0.00				16,806
			Total Mutual Fund						16,806
			Total Investments Before TBA Sale Commitments (cost $209,102) — 103.97%						210,191
			TBA Sale Commitments (c) — (2.24)%
$	(300	)	Fannie Mae, 15 YR TBA		3.50		1/25/30		(314	)
	(1,000	)	Fannie Mae, 15 YR TBA		4.00		1/25/46		(1,042	)
	(250	)	Fannie Mae, 15 YR TBA		5.50		1/25/31		(260	)
	(325	)	Fannie Mae, 30 YR TBA		5.00		1/25/46		(358	)
	(100	)	Fannie Mae, 30 YR TBA		2.50		1/25/46		(97	)
	(225	)	Fannie Mae, 30 YR TBA		4.50		2/25/46		(243	)
	(125	)	Fannie Mae, 30 YR TBA		3.00		1/25/46		(125	)
	(475	)	Fannie Mae, 30 YR TBA		4.50		1/25/46		(512	)
	(100	)	Freddie Mac, Gold 15 YR TBA		4.00		1/15/31		(104	)
	(200	)	Freddie Mac, Gold 15 YR TBA		4.50		1/15/31		(206	)
	(100	)	Freddie Mac, Gold 30 YR TBA		4.50		2/15/46		(108	)
	(75	)	Freddie Mac, Gold 30 YR TBA		5.00		1/15/46		(82	)
	(450	)	Freddie Mac, Gold 30 YR TBA		4.50		1/15/44		(485	)
	(25	)	Freddie Mac, Gold 30 YR TBA		2.50		2/15/46		(24	)
	(100	)	Government National Mortgage Association, 30 YR TBA		4.50		1/20/45		(107	)

See accompanying notes to financial statements.

162

HC CAPITAL TRUST

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Principal Amount (000)				Rate %		Maturity Date		Value (000)
			TBA Sale Commitments (c) (continued)
$	(300	)	Government National Mortgage Association, 30 YR TBA		5.00		1/20/46	$	(325	)
	(100	)	Government National Mortgage Association, 30 YR TBA		4.50		1/15/46		(108	)
	(50	)	Government National Mortgage Association, 30 YR TBA		2.50		1/20/46		(48	)
			Total TBA Sale Commitments						(4,548	)
			Liabilities in excess of other assets — (1.73)%						(3,496	)
			Net Assets — 100.00%					$	202,147

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015.

(b) The rate disclosed is the rate in effect on December 31, 2015.

(c) Represents a “to be announced” transaction. The Portfolio has committed to sell securities for which all specific information is not available at this time. (See Note 2 in the Notes to Financial Statements.)

TBA — To Be Announced purchase or sale commitment. Security is subject to delayed delivery

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio	Mellon Capital Management Corporation			HC Capital Solutions			Total
Asset Backed Securities		1.75	%		—			1.75	%
Collateralized Mortgage Obligations		5.59	%		—			5.59	%
U.S. Government Agency Mortgages		88.00	%		—			88.00	%
Yankee Dollars		0.32	%		—			0.32	%
Mutual Fund		1.89	%		6.42	%		8.31	%
TBA Sale Commitments		-2.24	%		—			-2.24	%
Other Assets (Liabilities)		-1.72	%		-0.01	%		-1.73	%
Total Net Assets		93.59	%		6.41	%		100.00	%

See accompanying notes to financial statements.

163

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Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds — 98.05%
		Arizona — 5.69%
$	650	Arizona State Transportation Board Grant Anticipation Notes Revenue, Series A		5.00		7/1/17	$	690
	460	Gilbert Arizona Public Facilities Municipal Property Corp. Revenue		5.00		7/1/17		489
								1,179
		Arkansas — 1.97%
	400	Rogers Arkansas Sales & USE Tax Revenue		3.00		11/1/16		408
		Florida — 2.01%
	255	Port St. Lucie Florida Utility Revenue (NATL-RE)		5.00		9/1/16		262
	150	Tallahassee Florida Energy System Revenue		5.00		10/1/16		155
								417
		Illinois — 7.41%
	425	McHenry County Illinois Conservation District, GO		5.00		2/1/20		486
	475	Northbrook Illinois, GO, Series A		5.00		12/1/19		541
	500	Regional Transportation Authority Revenue (AGM/GO of Authority)		5.75		6/1/16		511
								1,538
		Iowa — 7.52%
	500	Ames Iowa Refunding Corp. Purpose Bonds, GO, Series A		5.00		6/1/16		509
	450	Waukee Iowa Community School District, GO, Series C		5.00		6/1/19		505
	500	West Des Moines Iowa, GO, Series B		5.00		6/1/18		548
								1,562
		Maryland — 2.50%
	450	Maryland State, GO, Series A		5.00		3/1/20		519
		Massachusetts — 2.54%
	525	Ashburnham Massachusetts, GO		5.00		1/15/16		526
		Michigan — 9.90%
	400	Michigan State Finance Authority Revenue, Trinity Health Corp. Revenue		5.00		12/1/18		443
	1,000	Michigan State, GO, Series A		4.00		11/1/16		1,030
	500	Oakland University Michigan Revenue		5.00		3/1/21		582
								2,055
		Nevada — 2.62%
	535	Las Vegas Valley Nevada Water District, GO, Series B		4.00		6/1/16		543
		New Jersey — 0.70%
	130	South Brunswick Township New Jersey, GO		4.00		9/1/20		145
		New Mexico — 2.60%
	500	New Mexico Finance Authority State Transportation Revenue, Series A-2		5.00		12/15/17		540
		New York — 12.52%
	525	Albany NY, GO, Series A		3.00		6/1/17		541
	400	New York City, GO, Series B (AMBAC)		5.00		8/15/18		440
	310	New York City Transitional Finance Authority Future Tax Secured Revenue, Series D, ETM (Pre-Refunded/Escrowed to Maturity)		5.00		11/1/17		333
	1,190	New York City Transitional Finance Authority Future Tax Secured Revenue, Series D		5.00		11/1/17		1,281
								2,595
		Pennsylvania — 7.29%
	525	Philadelphia Pennsylvania Authority For Industrial Development Temple University Revenue		5.00		4/1/21		613
	475	Pleasant Valley Pennsylvania School District, GO (State Aid Withholding)		5.00		5/1/18		516
	380	South Eastern Pennsylvania School District York County, GO (State Aid Withholding)		2.00		2/15/16		381
								1,510
		Tennessee — 2.68%
	525	Tennessee State School Bond Authority Revenue, Series A		4.00		11/1/17		555

See accompanying notes to financial statements.

164

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The Short-Term Municipal Bond Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds (continued)
		Texas — 11.25%
$	745	College Station Texas, GO		5.00		2/15/16	$	749
	450	Goose Creek Texas Consolidated Independent School District, GO, Callable 2/15/21 @ 100.00 (PSF-GTD)		5.00		2/15/22		527
	430	Harris County Texas Toll Road Revenue, Senior Lien, Series B		5.00		8/15/22		519
	400	Hurst-Euless-Bedford Texas Independent School District, GO (PSF-GTD)		5.00		8/15/17		427
	110	Katy Texas Independent School District, GO, Series A (PSF-GTD)		4.00		2/15/17		114
								2,336
		Utah — 2.50%
	500	Washington County Utah Water Conservancy District Revenue		5.25		10/1/16		518
		Virginia — 1.24%
	250	Virginia State Commonwealth Transportation Board Revenue, Series B		5.00		9/15/16		258
		Washington — 12.31%
��	475	Clark County Washington Public Utilities District No. 1 System Revenue		5.00		1/1/18		512
	275	King County Washington, GO, Series B		4.00		12/1/16		284
	350	King County Washington Sewer Revenue , Callable 7/1/20 @ 100.00		5.00		1/1/22		403
	500	Tacoma Washington Electric System Revenue, Series A		4.00		1/1/20		551
	800	Washington State Health Care Facilities Authority, Catholic Health Revenue, Series A		5.00		2/1/16		803
								2,553
		Wisconsin — 2.80%
	400	Madison Wisconsin Area Technical College, Promissory Notes, GO, Series B		3.00		3/1/16		402
	175	Wisconsin State Clean Water Revenue, Series 3		5.00		6/1/16		178
								580
		Total Municipal Bonds						20,337
		Mutual Fund — 3.79%
	786,473	SSgA Treasury Money Market Fund (a)		0.00				786
		Total Mutual Fund						786
		Total Investments (cost $20,976) — 101.84%						21,123
		Liabilities in excess of other assets — (1.84)%						(382	)
		Net Assets — 100.00%					$	20,741

(a) The rate disclosed is the rate in effect on December 31, 2015.

AGM — Assured Guaranty Municipal Corporation

AMBAC — American Municipal Bond Assurance Corporation

ETM — Escrowed to Maturity

GO — General Obligation

NATL-RE — Reinsurance provided by National Reinsurance

PSF-GTD — Public School Fund Guaranteed

As of December 31, 2015, 100% of the Portfolio’s net assets were managed by Breckinridge Capital Advisors, Inc.

See accompanying notes to financial statements.

165

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The Intermediate Term Municipal Bond Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds — 92.49%
		Alabama — 2.06%
$	2,500	Alabama State Public School & College Authority Revenue, Series B		5.00		1/1/19	$	2,783
	2,500	Birmingham Alabama Waterworks Board Water Revenue, Series A, Callable 1/1/19 @ 100.00 (Assured GTY)		5.00		1/1/21		2,788
	2,920	Birmingham Alabama Waterworks Board Water Revenue, Series A, Callable 1/1/19 @ 100.00 (Assured GTY)		5.00		1/1/22		3,256
								8,827
		Alaska — 0.61%
	2,265	Alaska Industrial Development & Export Authority Revenue, Revolving Fund, Series A, Callable 4/1/20 @ 100.00 (GO of Authority)		5.25		4/1/22		2,597
		Arizona — 0.83%
	1,500	Phoenix Arizona Civic Improvement Corp. Wastewater System Revenue, Junior Lien		5.00		7/1/21		1,775
	1,625	Phoenix Arizona Civic Improvement Corp. Transportation Excise Tax Revenue		5.00		7/1/18		1,782
								3,557
		Arkansas — 0.33%
	1,200	Arkansas State Development Finance Authority Hospital Revenue, Series B		5.00		2/1/23		1,401
		California — 9.80%
	5,000	California State, GO, Callable 4/1/19 @ 100.00		5.50		4/1/21		5,704
	5,000	California State, GO, Callable 10/1/19 @ 100.00		5.25		10/1/20		5,767
	3,325	California State Department of Water Resources Revenue, Central Valley Project		5.25		7/1/22		3,336
	1,000	California State Public Works Board Lease Revenue, Series B		5.00		10/1/21		1,191
	1,480	Los Angeles California Wastewater System Revenue, Series D		5.00		6/1/21		1,766
	2,500	Los Angeles California Department of Water & Power System Revenue, Series A		5.00		7/1/20		2,916
	1,650	Los Angeles California Department of Water & Power System Revenue, Series A		5.00		7/1/21		1,970
	5,000	Los Angeles California Harbor Department Revenue, Series C , Callable 8/1/19 @ 100.00		5.25		8/1/22		5,687
	1,250	North Natomas California Community Facilities District Special Tax Revenue, Series E		5.00		9/1/18		1,350
	5,000	Orange County California Sanitation District Wastewater Revenue, Series A		5.00		2/1/22		6,038
	3,925	San Francisco California City & County Airports Commission International Terminal Revenue, Series F, AMT, Callable 5/1/21 @ 100.00		5.00		5/1/22		4,551
	65	University of California Revenue, Series Q , Callable 5/15/17 @ 100.00		5.25		5/15/23		70
	1,500	University of California Revenue, Series AO		5.00		5/15/20		1,743
								42,089
		Colorado — 2.57%
	3,495	Colorado State Educational & Cultural Facilities Authority Revenue, Series B		5.00		4/1/19		3,894
	5,000	Colorado State Health Facilities Authority Revenue, Catholic Health Initiatives, Series D-3, Callable 11/12/21 @ 100.00 (a)		5.00		10/1/38		5,786
	1,150	Denver City & County Colorado Airport Revenue, Series A, AMT, Callable 7/1/16 @ 100.00		5.00		11/15/19		1,290
								10,970
		Connecticut — 1.12%
	2,500	Connecticut State Special Tax Obligation Revenue, Transportation Infrastructure, Series A		5.00		9/1/21		2,965
	1,570	Connecticut State Special Tax Obligation Revenue, Transportation Infrastructure, Series B		5.00		8/1/20		1,823
								4,788
		Florida — 7.88%
	2,000	Citizens Property Insurance Corp. Florida Revenue, Series A-1		5.00		6/1/19		2,235
	2,500	Citizens Property Insurance Corp. Florida Revenue, Senior Secured Bonds, Series A-1		5.00		6/1/19		2,792
	5,000	Citizens Property Insurance Corp. Florida Revenue, Series A-1, Callable 12/1/19 @ 100.00		5.00		6/1/20		5,631
	2,000	Florida State Municipal Power Agency Revenue, Series A, Callable 10/1/19 @ 100.00		5.25		10/1/22		2,280
	4,435	Florida State Turnpike Authority Revenue, Department of Transportation, Series C		5.00		7/1/20		5,137
	1,285	Greater Orlando Florida Aviation Authority Airport Facilities Revenue, Series A		5.00		10/1/21		1,507
	1,100	JEA Florida Electric System Revenue, Series A		5.00		10/1/20		1,278
	1,600	Lee County Florida Transportation Facilities Revenue (AGM)		5.00		10/1/20		1,853
	4,570	Miami-Dade County Florida Aviation Revenue, Series A		5.00		10/1/21		5,317
	2,000	Orange Country Florida Tourist Development Tax Revenue		5.00		10/1/20		2,321

See accompanying notes to financial statements.

166

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Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds (continued)
		Florida (continued)
$	1,845	Palm Beach County Florida School Board, Series D		5.00		8/1/21	$	2,175
	1,155	Tampa Bay Florida Water Regional Supply Authority Utility System Revenue		5.00		10/1/20		1,347
								33,873
		Georgia — 4.97%
	1,000	Atlanta Georgia Development Authority revenue, Series A-1		5.00		7/1/23		1,205
	3,650	Atlanta Georgia Water & Wastewater Revenue, Series A, Callable 11/1/19 @ 100.00 (ETM)		6.00		11/1/21		4,307
	1,700	Atlanta Georgia Water & Wastewater Revenue, Series B		5.00		11/1/19		1,935
	3,050	Georgia State Municipal Gas Authority Revenue, Gas Portfolio III Project, Series U		5.00		10/1/21		3,583
	2,000	Main Street Natural Gas, Inc. Georgia Gas Revenue, Series A (JP Morgan Chase & Co.)		5.00		3/15/19		2,207
	4,500	Metropolitan Atlanta Georgia Rapid Transit Authority Sales Tax Revenue, Series A (NATL-RE)		5.00		7/1/19		5,089
	1,620	Municipal Electric Authority of Georgia Revenue, Series A		5.00		1/1/21		1,891
	1,000	Municipal Electric Authority of Georgia Revenue, Series D, Callable 7/1/18 @ 100.00		5.75		1/1/19		1,113
								21,330
		Idaho — 0.06%
	260	Idaho Housing & Finance Association, Single Family Mortgage Revenue, Series B, Class III, AMT		5.40		7/1/28		260
		Illinois — 5.26%
	1,815	Chicago Illinois, GO, Series A (AMBAC)		5.00		12/1/24		1,848
	1,000	Chicago Illinois, GO, Series A, Callable 12/1/20 @ 100.00		5.00		12/1/21		1,056
	1,090	Chicago Illinois, GO, Series 2003B		5.00		1/1/22		1,155
	2,550	Chicago Illinois Certificates of Participation, Tax Increment Allocation Revenue, Diversey/Narragansett Project, Series NT, Callable 2/11/16 @ 100.00 (d)		7.46		2/15/26		1,774
	3,190	Chicago Illinois Park District, GO, Series D		5.00		1/1/21		3,544
	1,000	Chicago Illinois Wastewater Transmission Revenue, Series C		5.00		1/1/21		1,117
	1,205	City of Chicago Illinois Water Revenue		4.00		11/1/19		1,286
	1,000	Chicago Illinois Water Revenue		4.00		11/1/21		1,068
	1,240	Illinois State Finance Authority Revenue, Series B		5.00		5/1/22		1,469
	1,500	Illinois State Finance Authority Revenue, University of Chicago, Series A		5.00		10/1/20		1,735
	2,500	Illinois State Sales Tax Revenue (NATL-RE)		5.75		6/15/18		2,766
	3,500	Railsplitter Illinois Tobacco Settlement Authority Revenue		5.00		6/1/18		3,780
								22,598
		Indiana — 0.55%
	1,000	Indiana State Finance Authority Revenue, Stadium Project, Series A		5.00		2/1/23		1,202
	1,000	Richmond Indiana Hospital Authority Revenue, Reid Hospital & Health Care, Series A		5.00		1/1/21		1,152
								2,354
		Kansas — 0.27%
	1,185	Kansas State Department of Transportation Highway Revenue, Series B-5 (a)		0.56		9/1/19		1,178
		Louisiana — 2.58%
	1,000	Louisiana Stadium & Exposition District, Series A		5.00		7/1/18		1,092
	2,850	Louisiana State Citizens Property Insurance Corp. Revenue (AGM)		5.00		6/1/22		3,360
	6,000	Tobacco Settlement Financing Corp. Louisiana Revenue, Series A		5.00		5/15/19		6,633
								11,085
		Massachusetts — 3.20%
	4,730	Massachusetts State Educational Financing Authority Revenue, Series K		5.00		7/1/19		5,172
	2,315	Massachusetts State Development Finance Agency Revenue, Bentley University, Callable 7/1/20 @ 100.00		5.00		7/1/21		2,641
	2,180	Massachusetts State Development Finance Agency Revenue, Bentley University, Callable 7/1/20 @ 100.00		5.00		7/1/22		2,486
	2,920	Massachusetts State Development Finance Agency Revenue, Tufts Medical Center, Inc., Series I		5.25		1/1/21		3,400
								13,699

See accompanying notes to financial statements.

167

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Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds (continued)
		Michigan — 5.62%
$	2,300	Michigan State Finance Authority Revenue, Beaumont Health Credit Group		4.00		8/1/20	$	2,519
	2,000	Michigan State Finance Authority Revenue, Detroit School District, Series A (Q-SBLF)		5.00		5/1/21		2,319
	4,000	Michigan State Finance Authority Revenue, Series D1 (AGM)		5.00		7/1/21		4,682
	6,000	Michigan State Finance Authority Revenue, Series B, Callable 7/1/18 @ 100.00		5.00		7/1/21		6,577
	2,000	Michigan State, GO, Series A		5.00		11/1/19		2,282
	2,530	Michigan State Trunk Line Revenue		5.00		11/15/18		2,807
	1,665	Wayne County Michigan Airport Authority Revenue, Detroit Metropolitan Airport, Junior Lien, AMT, Callable 12/1/17 @ 100.00 (NATL-RE/FGIC)		5.00		12/1/22		1,785
	1,000	Wayne County Michigan Airport Authority Revenue, Series A, AMT		5.00		12/1/19		1,110
								24,081
		Minnesota — 0.25%
	1,000	Western Minnesota Municipal Power Agency Revenue, Series A		4.00		1/1/19		1,083
		Missouri — 1.51%
	2,500	Kansas City Missouri Airport Revenue, Series A, AMT		5.00		9/1/20		2,864
	1,600	Missouri State Joint Municipal Electric Utility Commission Power Project Revenue, Series A		5.00		1/1/21		1,871
	1,500	Missouri State Development Finance Board Infrastructure Facilities Revenue, Branson Landing Project, Series A		5.00		6/1/20		1,713
								6,448
		Nevada — 1.34%
	4,865	Las Vegas Valley Nevada Water District, GO, Series A		5.00		6/1/21		5,737
		New Jersey — 2.45%
	750	New Jersey State Health Care Facilities Financing Authority Revenue, Virtua Health, Inc.		5.00		7/1/19		836
	3,750	New Jersey State Economic Development Authority Revenue, School Facilities Construction, Series NN		5.00		3/1/21		4,098
	5,000	New Jersey State Higher Education Assistance Authority Senior Revenue, Series 2015-1A		5.00		12/1/20		5,586
								10,520
		New Mexico — 0.81%
	1,000	New Mexico State Municipal Energy Acquisition Authority Gas Supply Revenue, Series B (Royal Bank of Canada) (a)		0.81		2/1/19		994
	2,500	New Mexico State Municipal Energy Acquisition Authority Gas Supply Revenue , Callable 2/1/19 @ 100.00 (SPA) (a)		0.91		11/1/39		2,490
								3,484
		New York — 13.13%
	2,500	Long Island New York Power Authority Electricity System Revenue, Series C , Callable 5/1/18 @ 100.00 (a)		1.05		5/1/33		2,495
	2,110	Metropolitan Transportation Authority New York Revenue, Series A-1		5.00		11/15/22		2,541
	1,500	Metropolitan Transportation Authority New York Revenue, Series C		5.00		11/15/18		1,661
	2,000	Metropolitan Transportation Authority New York Revenue, Series B		5.00		11/15/22		2,408
	1,000	Metropolitan Transportation Authority New York Revenue, Series F		5.00		11/15/20		1,162
	3,020	New York State, GO, Series E, Callable 8/1/19 @ 100.00		5.00		8/1/21		3,419
	3,250	New York State, GO, Series G		5.00		8/1/19		3,675
	2,500	New York City Health & Hospital Corp. Revenue, Health System, Series A, Callable 2/15/20 @ 100.00 (GO of Corp.)		5.00		2/15/22		2,857
	1,000	New York City Transitional Finance Authority Future Tax Revenue, Series E		5.00		11/1/18		1,109
	1,520	New York City Transitional Finance Authority Building AID Revenue, Series S-2 (State Aid Withholding)		5.00		7/15/21		1,800
	210	New York State Housing Finance Agency Revenue, St. Philips Housing, Series A (FNMA)		4.05		11/15/16		211
	1,165	New York State Dormitory Authority Revenues Non State Supported Debt, Icahn School of Medicine at Mount Sinai, Series A		5.00		7/1/21		1,343
	2,500	New York State Dormitory Authority State Personal Income Tax Revenue, Series A		5.00		2/15/19		2,794
	2,400	New York State Dormitory Authority State Personal Income Tax Revenue, Series E		5.00		3/15/20		2,760
	1,200	New York State Thruway Authority Revenue, Series J		5.00		1/1/20		1,368

See accompanying notes to financial statements.

168

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Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds (continued)
		New York (continued)
$	5,000	New York State Thruway Authority General Revenue, Junior Indebtedness Obligations, Series A		5.00		5/1/19	$	5,606
	3,255	New York State Transportation Development Corp. Special Facilities Revenue, Terminal One Group Associates		5.00		1/1/21		3,730
	2,000	Port Authority of New York & New Jersey New York Revenue, Consolidated 185th, AMT		5.00		9/1/22		2,369
	4,500	Port Authority of New York & New Jersey New York Revenue, Consolidated 185th, AMT		5.00		9/1/23		5,376
	3,000	Sales Tax Asset Receivable Corp. New York Revenue, Series A		5.00		10/15/19		3,425
	2,500	Triborough New York Bridge & Tunnel Authority Revenue, Series 2003B-2, Callable 6/3/19 @ 100.00 (a)(b)		0.51		1/1/33		2,476
	1,500	Triborough New York Bridge & Tunnel Authority Revenue, Series A (GO of Authority)		5.00		11/15/18		1,666
								56,251
		Ohio — 2.66%
	6,535	Kent State University Revenue, Series B , Callable 5/1/19 @ 100.00 (Assured GTY)		5.00		5/1/22		7,327
	990	Mahoning County Ohio Hospital Facilities Revenue, Western Reserve Care System (MBIA)		5.50		10/15/25		1,171
	2,500	Montgomery County Ohio Revenue, Miami Valley Hospital, Series A, Callable 11/15/20 @ 100.00		5.75		11/15/22		2,966
								11,464
		Pennsylvania — 2.80%
	1,230	Montgomery County Pennsylvania Industrial Development Authority Revenue, Acts Retirement-Life Communities, Inc., Series B, Callable 11/15/16 @ 100.00		5.00		11/15/17		1,272
	2,960	Pennsylvania State Economic Development Finance Authority, Unemployment Compensation Revenue, Series B, Callable 1/1/18 @ 100.00		5.00		7/1/21		3,191
	3,000	Philadelphia Pennsylvania Gas Works Revenue		5.00		8/1/21		3,497
	1,590	Pittsburgh Pennsylvania Water & Sewer Authority Revenue, First Lien, Series A (AGM)		5.00		9/1/19		1,777
	2,000	University of Pittsburgh Revenue, Commonwealth Systems of Higher Education, Series B, Callable 3/15/19 @ 100.00 (GO of University)		5.50		9/15/21		2,281
								12,018
		South Carolina — 0.93%
	3,500	Piedmont Municipal Power Agency Electric Revenue, Series A-2, Callable 1/1/21 @ 100.00		5.00		1/1/22		4,010
		South Dakota — 0.02%
	80	Heartland Consumers Power District South Dakota Electric Revenue (ETM)		6.38		1/4/16		80
		Tennessee — 0.54%
	2,000	Tennessee State Energy Acquisition Corp. Gas Revenue, Series A (Goldman Sachs Group, Inc.)		5.25		9/1/21		2,321
		Texas — 13.75%
	1,650	Allen Texas Independent School District, GO (PSF-GTD)		5.00		2/15/21		1,943
	1,000	Austin Texas Community College District, GO		5.00		8/1/23		1,228
	3,500	Dallas-Fort Worth Texas International Airport Revenue, Series E, AMT		5.00		11/1/19		3,949
	20	Dallas Texas, GO, Series A (ETM)		5.00		2/15/18		22
	2,090	Dickinson Texas Independent School District, GO (PSF-GTD)		5.00		2/15/21		2,453
	1,000	El Paso Texas Water & Sewer Revenue		5.00		3/1/22		1,193
	2,800	Fort Worth Texas Water & Sewer Revenue		5.00		2/15/19		3,133
	3,235	Harris County Houston Texas Sports Authority Revenue, Series A		5.00		11/15/20		3,759
	1,450	Houston Texas Community College Revenue		5.00		4/15/21		1,708
	2,000	Houston Texas Hotel Occupancy Tax & Special Revenue, Series A		5.00		9/1/20		2,288
	2,500	Houston Texas Utility System Revenue (a)		0.91		5/15/34		2,496
	1,000	Love Field Texas Airport Modernization Corp. General Airport Revenue, AMT		5.00		11/1/22		1,185
	1,000	Lower Colorado River Texas Authority Transmission Contract Revenue		5.00		5/15/21		1,167
	1,000	Lower Colorado River Texas Authority Transmission Contract Revenue		5.00		5/15/22		1,185
	3,400	North East Texas Independent School District, GO (PSF-GTD)		5.00		2/1/20		3,892
	1,695	North Texas Tollway Authority Revenue, Series A		5.00		1/1/22		1,998
	2,500	North Texas Tollway Authority Revenue, Series A		5.00		1/1/22		2,917
	2,345	Retama Texas Development Corp. Special Facilities Revenue (ETM)		8.75		12/15/18		2,835

See accompanying notes to financial statements.

169

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The Intermediate Term Municipal Bond Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %			Maturity Date		Value (000)
		Municipal Bonds (continued)
		Texas (continued)
$	1,070	Sam Rayburn Texas Municipal Power Agency Revenue		5.00			10/1/20	$	1,226
	2,000	San Antonio Texas, GO		5.00			2/1/20		2,299
	4,150	San Antonio Texas Electricity & Gas Revenue, Junior Lien		5.00			2/1/20		4,770
	1,175	San Antonio Texas Water Revenue, Junior Lien, Series A		5.00			5/15/22		1,411
	2,500	Texas State College Student Loan, GO, AMT		5.50			8/1/19		2,862
	4,365	Texas State College Student Loan, GO		5.00			8/1/22		5,212
	1,500	Texas State Transportation Commission Highway Fund Revenue, Series A		5.00	��		4/1/19		1,686
									58,817
		Utah — 0.03%
	135	Utah Housing Corp., Single Family Mortgage, Series D-2, Class III, AMT, Callable 1/1/16 @ 100.00		5.00			7/1/18		135
		Washington — 3.62%
	1,155	Energy Northwest Washington Electric Revenue, Columbia Generating Station, Series A		5.00			7/1/20		1,341
	1,070	Grant County Washington Public Utilities District #2 Priest Rapids Hydro Electric Revenue, Series B, AMT		5.00			1/1/20		1,214
	1,650	Grant County Washington Public Utilities District #2 Priest Rapids Hydro Electric Revenue, Series B, AMT		5.00			1/1/21		1,908
	1,420	Grant County Washington Public Utilities District #2 Priest Rapids Hydro Electric Revenue, Series B, AMT		5.00			1/1/22		1,661
	1,000	Port of Seattle Washington, GO, AMT, Callable 6/1/21 @ 100.00		5.25			12/1/21		1,170
	1,000	Port of Seattle Washington Revenue, Series C, AMT		5.00			4/1/22		1,174
	2,500	Washington State, GO, Series B		5.00			7/1/23		3,060
	2,500	Washington State Motor Vehicle Fuel Tax, GO, Series C		5.00			2/1/21		2,942
	1,000	Washington State Health Care Facilities Authority Revenue, Providence Health & Services, Series B		5.00			10/1/19		1,132
									15,602
		Wisconsin — 0.94%
	1,000	Wisconsin State Health & Educational Facilities Authority Health Facilities Revenue, Unity Point Health, Series A		5.00			12/1/21		1,176
	2,500	Wisconsin State, GO, Series B		5.00			5/1/20		2,888
									4,064
		Total Municipal Bonds							396,721
		Corporate Bond — 0.00%
	3,939	ASC Equipment (Trading Companies & Distributors) (c)		5.13			3/1/08		—
		Total Corporate Bond							—
		Time Deposit — 1.63%
	7,006	State Street Liquidity Management Control System Eurodollar Time Deposit		0.01			1/4/16		7,006
		Total Time Deposit							7,006
		Mutual Fund — 4.79%
	20,553,391	SSgA Treasury Money Market Fund (c)		0.00					20,553
		Total Mutual Fund							20,553
		Total Investments (cost $416,237) — 98.91%							424,280
		Other assets in excess of liabilities — 1.09%							4,664
		Net Assets — 100.00%						$	428,944

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Variable Rate Security. The rate reflected is the rate in effect on December 31, 2015. The maturity date represents actual maturity date.

(b) Continuously callable.

(c) The rate disclosed is the rate in effect on December 31, 2015.

(d) Issuer has defaulted on the payment of principal and interest. These securities have been deemed illiquid by the Specialist Manager and represents 0.42% of the Portfolio’s net assets.

See accompanying notes to financial statements.

170

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The Intermediate Term Municipal Bond Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

AGM — Assured Guaranty Municipal Corporation

AMBAC — American Municipal Bond Assurance Corporation

AMT — Alternative Minimum Tax

FGIC — Financial Guaranty Insurance Company

FNMA — Federal National Mortgage Association

GO — General Obligation

GTY — Guaranty

MBIA — Municipal Bond Insurance Association

NATL-RE — Reinsurance provided by National Reinsurance

PSF-GTD — Public School Fund Guaranteed

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Intermediate Term Municipal Bond Portfolio	Standish Mellon Asset Management Company			HC Capital Solutions			Total
Municipal Bonds		92.49	%		—			92.49	%
Corporate Bond		0.00	%		—			0.00	%
Time Deposit		1.63	%		—			1.63	%
Mutual Fund		—			4.79	%		4.79	%
Other Assets (Liabilities)		1.09	%		—			1.09	%
Total Net Assets		95.21	%		4.79	%		100.00	%

See accompanying notes to financial statements.

171

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The Intermediate Term Municipal Bond II Portfolio

Portfolio of Investments — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds — 92.83%
		Alabama — 8.27%
$	1,500	Alabama State Public School & College Authority Revenue, Series A		5.00		5/1/19	$	1,685
	1,235	Birmingham Alabama, GO, Series A, Callable 6/1/24 @ 100.00		5.00		12/1/26		1,485
	1,415	Birmingham Alabama Special Care Facilities Financing Authority Health Care Revenue, Children’s Hospital of Alabama, Callable 6/1/25 @ 100.00		5.00		6/1/29		1,643
	1,000	Pell City Alabama, GO, Series A, Callable 2/1/25 @ 100.00	��	5.00		2/1/26		1,202
	500	Tuscaloosa Alabama, GO, Series C		3.00		1/1/18		519
								6,534
		Arizona — 0.20%
	140	Yuma County Arizona Jail District Revenue, Pledge Obligation		5.00		7/1/20		160
		California — 1.46%
	620	California State Department Water Resources Power Supply Revenue, Series L, Callable 5/1/20 @ 100.00 (ETM)		5.00		5/1/22		719
	380	California State Department Water Resources Power Supply Revenue, Series L, Callable 5/1/20 @ 100.00		5.00		5/1/22		435
								1,154
		Connecticut — 1.82%
	1,200	Connecticut State Special Tax Obligation Revenue, Series A, Callable 8/1/25 @ 100.00		5.00		8/1/29		1,443
		Florida — 14.63%
	1,550	Florida Water Pollution Control Financing Corp. Revenue, Series A		5.00		7/15/16		1,588
	1,400	Lee County Florida School Board Certificates of Participation, Series A, Callable 8/1/24 @ 100.00		5.00		8/1/27		1,654
	1,000	Miami-Dade County Florida, GO, Series A, Callable 11/1/24 @ 100.00		5.00		11/1/27		1,215
	1,750	Miami-Dade County Florida School Board, Series A, Callable 11/1/16 @ 100.00 (Insurance/Program – AMBAC)		5.00		11/1/31		1,812
	1,000	Miami-Dade County Florida Water & Sewer Revenue, Series B (AGM)		5.25		10/1/20		1,168
	1,085	Orange County Florida School Board Certificates of Participation, Series A		5.00		8/1/23		1,310
	1,000	Palm Beach County Florida Public Improvement Revenue, Series 2		5.00		11/1/16		1,037
	1,500	West Palm Beach Florida Utility System Revenue, Series A, Callable 10/1/21 @ 100.00		5.00		10/1/22		1,782
								11,566
		Hawaii — 2.21%
	1,500	Honolulu City & County Hawaii, GO, Series B, Callable 12/1/20 @ 100.00		5.00		12/1/23		1,747
		Idaho — 1.91%
	1,285	Idaho State Housing & Finance Association, Grant & Revenue Anticipation Federal Highway Trust, Series A		5.00		7/15/22		1,514
		Illinois — 1.68%
	1,325	DuPage & Cook Counties Illinois Community Unit School District #205, GO (NATL-RE)		5.50		1/4/16		1,325
		Maryland — 1.90%
	1,330	Maryland State Transportation Authority Revenue, Transportation Facilities Project, Series A		5.00		7/1/19		1,502
		Massachusetts — 1.52%
	1,000	Massachusetts Bay Transportation Authority Sales Tax Revenue, Series B		5.25		7/1/21		1,203
		Michigan — 1.37%
	1,000	Grand Rapids Michigan Community College, GO (AGM)		5.00		5/1/18		1,087
		Minnesota — 0.56%
	400	Crow Wing County Minnesota, GO, Series A		5.00		2/1/19		443
		Nebraska — 1.33%
	1,000	Lincoln Nebraska Waterworks Revenue		3.00		8/15/18		1,052
		Nevada — 4.15%
	800	Clark County Nevada Highway Improvement Revenue		5.00		7/1/23		970
	1,105	Las Vegas Valley Nevada Water District, GO, Series B		5.00		12/1/24		1,364

See accompanying notes to financial statements.

172

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The Intermediate Term Municipal Bond II Portfolio

Portfolio of Investments (continued) — December 31, 2015 (Unaudited)

Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds (continued)
		Nevada (continued)
$	800	Nevada State System of Higher Education Certificates of Participation, Series A, Callable 7/1/24 @ 100.00		5.00		7/1/26	$	951
								3,285
		New York — 3.20%
	1,495	New York City Transitional Finance Authority Revenue, Series D, Callable 2/1/21 @ 100.00		5.25		2/1/22		1,773
	625	New York State Dormitory Authority State Personal Income Tax Revenue, Series A, Callable 2/15/24 @ 100.00		5.00		2/15/26		756
								2,529
		North Carolina — 1.27%
	1,000	North Carolina State Grant Anticipation Revenue, Vehicle Garvee		5.00		3/1/16		1,007
		Ohio — 8.02%
	700	American Municipal Power, Inc. Revenue, Series A, Callable 2/15/24 @ 100.00		5.00		2/15/27		828
	1,600	Columbus Ohio State, GO, Series 1, Callable 7/1/23 @ 100.00		5.00		7/1/24		1,965
	1,400	Cuyahoga County Ohio, GO, Series A		5.00		12/1/19		1,592
	1,000	Ohio State, GO, Series B		5.00		9/15/17		1,071
	750	Ohio State Building Authority State Facilities Revenue		5.00		10/1/21		890
								6,346
		Oklahoma — 2.12%
	450	Oklahoma State Capital Improvement Authority State Facilities Revenue, Series A		2.00		7/1/16		454
	1,150	Oklahoma State Capital Improvement Authority State Facilities Revenue, Series A		5.00		7/1/17		1,223
								1,677
		Pennsylvania — 4.78%
	1,010	Lackawanna County Pennsylvania Abington Heights School District, GO (State Aid Withholding)		3.00		3/15/16		1,015
	1,375	Blairsville-Saltsburg School District, GO (BAM State Aid Withholding)		5.00		3/15/23		1,624
	1,000	Pennsylvania State, GO, Series A		5.00		5/1/20		1,147
								3,786
		South Carolina — 1.56%
	1,100	Richland County School District No. 2, GO, Series A, Callable 2/1/19 @ 100.00 (SCSDE)		5.00		2/1/20		1,232
		Texas — 11.98%
	1,250	Dallas Texas Waterworks & Sewer System Revenue, Callable 10/1/21 @ 100.00		5.00		10/1/23		1,486
	1,500	Harris County Texas Cultural Education Facilities Finance Corp. Revenue, Texas Children’s Hospital, Callable 10/1/25 @ 100.00		5.00		10/1/27		1,789
	300	La Porte Texas Independent School District, GO		4.00		2/15/17		311
	500	Lewisville Texas Water & Sewer Revenue		3.00		2/15/17		513
	1,000	San Antonio Texas Electric & Gas Systems Revenue, Series D		5.00		2/1/17		1,047
	1,435	Sugar Land Texas, GO, Callable 2/15/19 @ 100.00		5.00		2/15/21		1,614
	1,800	Texas State University Systems Financing Revenue		5.00		3/15/17		1,893
	750	Webb County Texas, GO		4.50		2/15/19		825
								9,478
		Washington — 15.27%
	500	Everett Washington Water & Sewer Revenue		5.00		12/1/17		539
	1,000	King County Washington, GO		5.25		1/1/23		1,231
	1,400	King County Washington Sewer Revenue, Callable 1/1/22 @ 100.00		5.00		1/1/24		1,651
	750	King County Washington Sewer Revenue		5.00		1/1/20		858
	1,580	Port of Seattle Washington Revenue, Intermediate Lien, Series B		5.00		6/1/18		1,724
	1,150	Skagit County Washington, GO		4.00		12/1/17		1,218
	1,500	Tacoma Washington Water Revenue, Series A, Callable 6/1/20 @ 100.00		5.00		12/1/22		1,723
	1,800	Washington State, GO, Series R-2011-A		5.00		1/1/18		1,945
	1,100	Washington State Health Care Facilities Authority Revenue, Providence Health & Services, Series A		5.00		10/1/17		1,179
								12,068

See accompanying notes to financial statements.

173

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The Intermediate Term Municipal Bond II Portfolio

Portfolio of Investments (concluded) — December 31, 2015 (Unaudited)

Shares or Principal Amount (000)			Rate %		Maturity Date		Value (000)
		Municipal Bonds (continued)
		Wisconsin — 1.62%
$	1,220	Menomonee Falls Wisconsin School District, GO, Callable 4/1/17 @ 100.00 (NATL-RE/FGIC)		4.75		4/1/21	$	1,283
		Total Municipal Bonds						73,421
		Mutual Fund — 6.01%
	4,753,259	SSgA Treasury Money Market Fund (a)		0.00				4,753
		Total Mutual Fund						4,753
		Total Investments (cost $75,248) — 98.84%						78,174
		Other assets in excess of liabilities — 1.16%						917
		Net Assets — 100.00%					$	79,091

(a) The rate disclosed is the rate in effect on December 31, 2015.

AGM — Assured Guaranty Municipal Corporation

AMBAC — American Municipal Bond Assurance Corporation

FGIC — Financial Guaranty Insurance Company

GO — General Obligation

NATL-RE — Reinsurance provided by National Reinsurance

SCSDE — Insured by South Carolina School Discount Enhancement

The following table reflects the percentage of total net assets of the Portfolio attributable to each Specialist Manager.

The Intermediate Term Municipal Bond II Portfolio	Breckinridge Capital Advisors, Inc.			HC Capital Solutions			Total
Municipal Bonds		92.83	%		—			92.83	%
Mutual Fund		1.22	%		4.79	%		6.01	%
Other Assets (Liabilities)		1.17	%		-0.01	%		1.16	%
Total Net Assets		95.22	%		4.78	%		100.00	%

See accompanying notes to financial statements.

174

HC CAPITAL TRUST

Statements of Assets and Liabilities

As of December 31, 2015 (Unaudited)

(Amounts in thousands except per share amounts)

	The Value Equity Portfolio			The Institutional Value Equity Portfolio			The Growth Equity Portfolio		The Institutional Growth Equity Portfolio
ASSETS:
Investments, at cost	$	524,041		$	811,090		$	581,607	$	1,016,192
Repurchase agreements, at value and cost		2,128			6,183			1,333		1,663
Unrealized appreciation		41,086			56,418			201,199		250,338
Investments, at value		567,255			873,691			784,139		1,268,193
Cash		1			1			969		1
Foreign currency, at value (Cost $0, $0, $0 and $2, respectively)		—			—			—		2
Dividends and interest receivable		847			1,251			825		1,275
Margin deposits		1,945			4,450			1,761		5,093
Receivable for portfolio shares issued		1			102			—		122
Receivable from investments sold		41,340			61,327			—		—
Foreign tax reclaims receivable		8			10			56		3
Variation margin receivable on futures contracts		—			25			—		2
Prepaid expenses		21			23			25		31
Total assets		611,418			940,880			787,775		1,274,722
LIABILITIES:
Unrealized depreciation on futures contracts		—			143			—		—
Payable for investments purchased		43,242			64,045			952		1,212
Payable for portfolio shares redeemed		—			112			—		654
Payable for collateral received on loaned securities		2,747			8,192			1,767		2,203
Unrealized depreciation on futures contracts		50			—			258		60
Advisory fees payable		159			229			176		249
Management fees payable		22			37			35		55
Administrative services fees payable		3			5			5		8
Trustee fees payable		3			6			5		11
Other accrued expenses		30			51			40		81
Total liabilities		46,256			72,820			3,238		4,533
NET ASSETS	$	565,162		$	868,060		$	784,537	$	1,270,189
NET ASSETS CONSISTS OF:
Shares of beneficial interest, at par value	$	34		$	76		$	42	$	88
Additional paid-in capital		531,195			821,166			578,071		1,011,230
Accumulated net investment income/(distributions in excess of net investment income)		(161	)		(40	)		32		22
Accumulated net realized gain/(loss) from investment transactions		(6,942	)		(9,417	)		5,451		8,571
Net unrealized appreciation on investments		41,036			56,275			200,941		250,278
Net Assets	$	565,162		$	868,060		$	784,537	$	1,270,189
NET ASSETS:
HC Strategic Shares	$	564,115		$	866,757		$	783,260	$	1,268,486
HC Advisors Shares		1,047			1,303			1,277		1,703
Total	$	565,162		$	868,060		$	784,537	$	1,270,189
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(Unlimited number of shares authorized; par value $0.001):
HC Strategic Shares		33,448			75,848			42,311		87,444
HC Advisors Shares		62			114			69		117
Total		33,510			75,962			42,380		87,561
Net Asset Value, offering and redemption price per share: (a)
HC Strategic Shares	$	16.87		$	11.43		$	18.51	$	14.51
HC Advisors Shares	$	16.86		$	11.43		$	18.48	$	14.51

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

See accompanying notes to financial statements.

175

HC CAPITAL TRUST

Statements of Assets and Liabilities (continued)

As of December 31, 2015 (Unaudited)

(Amounts in thousands except per share amounts)

	The Small Capitalization– Mid Capitalization Equity Portfolio			The Institutional Small Capitalization– Mid Capitalization Equity Portfolio			The Real Estate Securities Portfolio			The Commodity Returns Strategy Portfolio(a)			The ESG Growth Portfolio
ASSETS:
Investments, at cost	$	84,027		$	154,357		$	113,732		$	1,024,557		$	127,759
Repurchase agreements, at value and cost		437			2,311			—			54,807			—
Unrealized appreciation (depreciation)		14,854			32,398			25,925			(85,962	)		(7,358	)
Investments, at value		99,318			189,066			139,657			993,402			120,401
Cash		—			—			—			930			—
Foreign currency, at value (Cost $0, $0, $0, $2,113 and $274, respectively)		—			—			—			2,496			273
Segregated cash for collateral		—			—			—			1,503			—
Swap agreements, at value		—			—			—			753			—
Unrealized appreciation on forward currency contracts		—			—			—			873			—
Dividends and interest receivable		55			110			536			928			182
Margin deposits		368			911			113			15,393			—
Receivable for portfolio shares issued		—			6			5			644			—
Receivable from investments sold		19			39			—			13,916			132
Foreign tax reclaims receivable		—			—			3			236			14
Variation margin receivable on futures contracts		—			—			—			80			—
Variation margin receivable on interest rate swap agreements		—			—			—			3			—
Unrealized appreciation on futures contracts		74			230			63			—			—
Prepaid expenses		12			12			12			50			47
Total assets		99,846			190,374			140,389		$	1,031,207			121,049
LIABILITIES:
Cash overdraft		1			—			—						397
Written options, at fair value (premiums received $0, $0, $0 and $203, respectively)		—			—			—			168			—
Swap agreements, at value		—			—			—			329			—
Unrealized depreciation on forwrad currency contracts		—			—			—			598			—
Unrealized depreciation on futures contracts		—			—			—			2,388			—
Payable for investments purchased		306			675			—			68,756			—
Payable for portfolio shares redeemed		—			20			30			255			—
Payable for collateral received on loaned securities		578			2,987			—			16,174			—
Payable to broker for swap collateral		—			—			—			3,189			—
Variation margin payable on futures contracts		—			—			—			54			—
Variation margin payable on interest rate swap agreements		—			—			—			81			—
Accrued foreign capital gains tax		—			—			—			12			—
Advisory fees payable		60			91			204			227			13
Management fees payable		3			8			6			37			5
Administrative services fees payable		1			1			1			6			1
Trustee fees payable		—			1			2			6			—
Other accrued expenses		2			15			29			94			16
Total liabilities		951			3,798			272		$	92,374			432
NET ASSETS	$	98,895		$	186,576		$	140,117		$	938,833		$	120,617
NET ASSETS CONSISTS OF:
Shares of beneficial interest, at par value	$	5		$	13		$	45		$	136		$	13
Additional paid-in capital		98,589			155,996			113,059			1,399,966			128,583
Accumulated net investment income/(distributions in excess of net investment income)		(38	)		(60	)		(387	)		(1,491	)		77
Accumulated net realized gain/(loss) from investment transactions		(14,589	)		(2,001	)		907			(371,471	)		(695	)
Net unrealized appreciation/(depreciation) on investments		14,928			32,628			26,493			(88,307	)		(7,361	)
Net Assets	$	98,895		$	186,576		$	140,117		$	938,833		$	120,617
NET ASSETS:
HC Strategic Shares	$	98,715		$	186,353		$	140,117		$	937,477		$	120,616
HC Advisors Shares		180			223			—			1,356			1
Total	$	98,895		$	186,576		$	140,117		$	938,833		$	120,617
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(Unlimited number of shares authorized; par value $0.001):
HC Strategic Shares		4,725			12,857			44,807			133,465			12,972
HC Advisors Shares		9			15			—			193			—
Total		4,734			12,872			44,807			133,558			12,972
Net Asset Value, offering and redemption price per share: (b)
HC Strategic Shares	$	20.89		$	14.49		$	3.13		$	7.03		$	9.30
HC Advisors Shares	$	20.86		$	14.49		$	—		$	7.03		$	9.30
												��

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Statement has been consolidated. See Note 2O in the Notes to Financial Statements for basis of consolidation.

(b) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

See accompanying notes to financial statements.

176

HC CAPITAL TRUST

Statements of Assets and Liabilities (continued)

As of December 31, 2015 (Unaudited)

(Amounts in thousands except per share amounts)

	The International Equity Portfolio			The Institutional International Equity Portfolio			The Emerging Markets Portfolio			The Core Fixed Income Portfolio
ASSETS:
Investments, at cost	$	1,218,165		$	2,644,474		$	2,080,135		$	91,451
Repurchase agreements, at value and cost		4,680			11,859			23,798			—
Unrealized appreciation (depreciation)		4,724			(85,432	)		(364,251	)		(1,193	)
Investments, at value		1,227,569			2,570,901			1,739,682			90,258
Cash		7,975			—			5			—
Foreign currency, at value (Cost $2,750, $7,786, $35,395 and $0, respectively)		2,751			7,774			33,984			—
Dividends and interest receivable		3,980			5,505			4,886			597
Margin deposits		1,076			445			8,698			—
Receivable for portfolio shares issued		1,470			251			3,929			71
Receivable from investments sold		132			338			1,494			2,345
Foreign tax reclaims receivable		2,144			3,794			39			—
TBA sale commitments receivable		—			—			—			1,274
Variation margin receivable on futures contracts		—			72			—			—
Unrealized appreciation on futures contracts		—			1,514			2,447			—
Prepaid expenses		45			55			38			7
Total assets		1,247,142			2,590,649			1,795,202			94,552
LIABILITIES:
TBA sale commitments, at fair value		—			20			—			1,274
Distributions payable		—			—			—			7
Payable for investments purchased		593			1,121			444			4,278
Payable for portfolio shares redeemed		20,108			300			136			10
Payable for collateral received on loaned securities		6,201			15,552			31,530			—
Variation margin payable on futures contracts		90			1			14			—
Unrealized depreciation on futures contracts		2,914			3			1			—
Accrued foreign capital gains tax		—			—			192			—
Advisory fees payable		194			455			436			5
Management fees payable		48			111			70			4
Administrative services fees payable		7			16			11			1
Trustee fees payable		9			13			8			1
Transfer agent fees		1			1			—			—
Other accrued expenses		350			562			239			21
Total liabilities		30,515			18,155			33,081			5,601
NET ASSETS	$	1,216,627		$	2,572,494		$	1,762,121		$	88,951
NET ASSETS CONSISTS OF:
Shares of beneficial interest, at par value	$	131		$	281		$	126		$	9
Additional paid-in capital		1,272,821			2,726,857			2,243,019			90,451
Accumulated net investment income/(distributions in excess of net investment income)		2,812			(2,493	)		(3,240	)		(113	)
Accumulated net realized loss from investment transactions		(60,571	)		(67,416	)		(114,321	)		(203	)
Net unrealized appreciation/(depreciation) on investments		1,434			(84,735	)		(363,463	)		(1,193	)
Net Assets	$	1,216,627		$	2,572,494		$	1,762,121		$	88,951
NET ASSETS:
HC Strategic Shares	$	1,214,038		$	2,568,970		$	1,759,544		$	86,350
HC Advisors Shares		2,589			3,524			2,577			2,601
Total	$	1,216,627		$	2,572,494		$	1,762,121		$	88,951
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(Unlimited number of shares authorized; par value $0.001):
HC Strategic Shares		130,351			280,125			125,796			9,006
HC Advisors Shares		278			385			184			271
Total		130,629			280,510			125,980			9,277
Net Asset Value, offering and redemption price per share: (a)
HC Strategic Shares	$	9.31		$	9.17		$	13.99		$	9.59
HC Advisors Shares	$	9.32		$	9.16		$	13.98		$	9.58

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

See accompanying notes to financial statements.

177

HC CAPITAL TRUST

Statements of Assets and Liabilities (continued)

As of December 31, 2015 (Unaudited)

(Amounts in thousands except per share amounts)

	The Fixed Income Opportunity Portfolio			The U.S. Government Fixed Income Securities Portfolio			The Inflation Protected Securities Portfolio			The U.S. Corporate Fixed Income Securities Portfolio
ASSETS:
Investments, at cost	$	821,960		$	226,170		$	493,721		$	275,934
Repurchase agreements, at value and cost		8,400			—			—			—
Unrealized appreciation (depreciation)		(54,023	)		1,655			(9,125	)		(9,448	)
Investments, at value		776,337			227,825			484,596			266,486
Foreign currency, at value (Cost $139, $0, $0 and $0, respectively)		134			—			—			—
Unrealized appreciation on forward currency contracts		171			—			—			—
Dividends and interest receivable		9,469			1,012			1,683			2,855
Margin deposits		904			—			—			—
Receivable for portfolio shares issued		38			—			32			—
Receivable from investments sold		12,725			5,760			7,226			—
Unrealized appreciation on futures contracts		132			—			—			—
Prepaid expenses		14			18			4			27
Total assets		799,924			234,615			493,541			269,368
LIABILITIES:
Unrealized depreciation on forward currency contracts		3			—			—			—
Distributions payable		—			73			60			167
Payable for investments purchased		5,000			5,689			7,238			—
Payable for portfolio shares redeemed		111			51			26			72
Payable for collateral received on loaned securities		11,129			—			—			—
Variation margin payable on futures contracts		3			—			—			—
Advisory fees payable		358			10			16			18
Management fees payable		34			10			21			12
Administrative services fees payable		5			1			3			2
Trustee fees payable		9			4			11			6
Other accrued expenses		71			38			99			58
Total liabilities		16,723			5,876			7,474			335
NET ASSETS	$	783,201		$	228,739		$	486,067		$	269,033
NET ASSETS CONSISTS OF:
Shares of beneficial interest, at par value	$	121		$	23		$	50		$	28
Additional paid-in capital		865,572			227,306			496,659			279,699
Accumulated net investment income/(distributions in excess of net investment income)		61			(5	)		(15	)		(19	)
Accumulated net realized loss from investment transactions		(28,823	)		(240	)		(1,502	)		(1,227	)
Net unrealized appreciation/(depreciation) on investments		(53,730	)		1,655			(9,125	)		(9,448	)
Net Assets	$	783,201		$	228,739		$	486,067		$	269,033
NET ASSETS:
HC Strategic Shares	$	782,241		$	228,739		$	486,066		$	269,033
HC Advisors Shares		960			—			1			—
Total	$	783,201		$	228,739		$	486,067		$	269,033
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(Unlimited number of shares authorized; par value $0.001):
HC Strategic Shares		120,517			23,075			49,579			28,226
HC Advisors Shares		148			—			—			—
Total		120,665			23,075			49,579			28,226
Net Asset Value, offering and redemption price per share: (a)
HC Strategic Shares	$	6.49		$	9.91		$	9.80		$	9.53
HC Advisors Shares	$	6.49		$	—		$	9.79		$	—

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

See accompanying notes to financial statements.

178

HC CAPITAL TRUST

Statements of Assets and Liabilities (concluded)

As of December 31, 2015 (Unaudited)

(Amounts in thousands except per share amounts)

	The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio			The Short-Term Municipal Bond Portfolio			The Intermediate Term Municipal Bond Portfolio			The Intermediate Term Municipal Bond II Portfolio
ASSETS:
Investments, at cost	$	209,102		$	20,976		$	416,237		$	75,248
Unrealized appreciation		1,089			147			8,043			2,926
Investments, at value		210,191			21,123			424,280			78,174
Dividends and interest receivable		552			230			5,236			974
Receivable from investments sold		4,048			—			—			—
TBA sale commitments receivable		4,548			—			—			—
Prepaid expenses		10			8			14			7
Total assets		219,349			21,361			429,530			79,155
LIABILITIES:
TBA sale commitments, at fair value		4,548			—			—			—
Distributions payable		132			—			76			14
Payable for investments purchased		12,424			612			—			—
Payable for portfolio shares redeemed		55			2			257			28
Income payable on TBA sale commitments		8			—			—			—
Advisory fees payable		10			2			174			8
Management fees payable		9			1			18			3
Administrative services fees payable		1			—			3			—
Trustee fees payable		1			—			7			1
Other accrued expenses		14			3			51			10
Total liabilities		17,202			620			586			64
NET ASSETS	$	202,147		$	20,741		$	428,944		$	79,091
NET ASSETS CONSISTS OF:
Shares of beneficial interest, at par value	$	21		$	2		$	42		$	8
Additional paid-in capital		207,484			20,608			426,898			76,180
Distributions in excess of net investment income		(836	)		(16	)		(76	)		(22	)
Accumulated net realized loss from investment transactions		(5,611	)		—			(5,963	)		(1	)
Net unrealized appreciation on investments		1,089			147			8,043			2,926
Net Assets	$	202,147		$	20,741		$	428,944		$	79,091
NET ASSETS:
HC Strategic Shares	$	202,147		$	20,741		$	427,048		$	78,540
HC Advisors Shares		—			—			1,896			551
Total	$	202,147		$	20,741		$	428,944		$	79,091
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(Unlimited number of shares authorized; par value $0.001):
HC Strategic Shares		20,781			2,091			42,186			7,548
HC Advisors Shares		—			—			187			53
Total		20,781			2,091			42,373			7,601
Net Asset Value, offering and redemption price per share: (a)
HC Strategic Shares	$	9.73		$	9.92		$	10.12		$	10.40
HC Advisors Shares	$	—		$	—		$	10.12		$	10.41

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

See accompanying notes to financial statements.

179

HC CAPITAL TRUST

Statements of Operations

For the Six Months Ended December 31, 2015 (Unaudited)

(Amounts in thousands)

	The Value Equity Portfolio			The Institutional Value Equity Portfolio			The Growth Equity Portfolio			The Institutional Growth Equity Portfolio
INVESTMENT INCOME:
Interest	$	5		$	7		$	—		$	—
Dividends (net of foreign withholding tax of $4, $9, $0 and $0, respectively)		7,761			11,364			5,559			8,712
Income from securities lending (net of fees of $14, $22, $9 and $8, respectively)		58			87			37			32
Total Investment Income		7,824			11,458			5,596			8,744
EXPENSES:
Advisory fees		418			619			720			1,014
Management fees		150			225			215			331
Administrative services fees		82			123			118			183
Distribution fees – HC Advisors Shares		1			2			2			3
Professional fees		27			44			38			67
Transfer agent fees		8			13			12			20
Compliance service fees		4			8			7			12
Custodian fees		25			36			34			56
Registration and filing fees		5			3			5			3
Trustee fees		12			21			18			32
Other		40			68			43			60
Total expenses before waivers and expenses paid indirectly		772			1,162			1,212			1,781
Less:    Distribution fees waived – HC Advisors Shares		(1	)		(2	)		(2	)		(3	)
Expenses paid indirectly		(31	)		(48	)		(5	)		(8	)
Administrative services fees waived		—			—			—			(2	)
Net Expenses		740			1,112			1,205			1,768
Net Investment Income		7,084			10,346			4,391			6,976
NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gains/(losses) from investment transactions		3,385			2,604			41,347			50,956
Net realized gains/(losses) from futures transactions		3,962			7,290			2,639			7,070
Net realized gains/(losses) from investments and futures transactions		7,347			9,894			43,986			58,026
Change in unrealized appreciation/(depreciation) on investments		(36,291	)		(51,421	)		(18,103	)		(18,572	)
Change in unrealized appreciation/(depreciation) on futures		356			263			1,180			1,765
Change in unrealized appreciation/(depreciation) on investments and futures		(35,935	)		(51,158	)		(16,923	)		(16,807	)
Net realized/unrealized gains/(losses) from investments and futures transactions		(28,588	)		(41,264	)		27,063			41,219
Change in net assets resulting from operations	$	(21,504	)	$	(30,918	)	$	31,454		$	48,195

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

180

HC CAPITAL TRUST

Statements of Operations (continued)

For the Six Months Ended December 31, 2015 (Unaudited)

(Amounts in thousands)

	The Small Capitalization– Mid Capitalization Equity Portfolio			The Institutional Small Capitalization– Mid Capitalization Equity Portfolio			The Real Estate Securities Portfolio			The Commodity Returns Strategy Portfolio (a)			The ESG Growth Portfolio (b)
INVESTMENT INCOME:
Interest	$	—		$	—		$	—		$	1,184		$	—
Dividends (net of foreign withholding tax of $1, $2, $5, $762 and $137, respectively)		425			767			1,319			9,275			1,293
Income from securities lending (net of fees of $2, $18, $0, $58 and $0, respectively)		10			69			—			233			—
Total Investment Income		435			836			1,319			10,692			1,293
EXPENSES:
Advisory fees		339			602			450			1,825			75
Management fees		25			48			34			245			27
Administrative services fees		14			27			19			136			15
Distribution fees – HC Advisors Shares		—			—			—			2			—
Professional fees		4			9			10			62			49
Transfer agent fees		1			3			2			16			1
Compliance service fees		1			2			1			10			1
Custodian fees		12			14			12			119			14
Registration and filing fees		4			3			5			6			13
Trustee fees		2			4			4			27			2
Other		13			27			23			80			46
Total expenses before waivers and expenses paid indirectly		415			739			560			2,528			243
Less:    Expenses waived by Specialist Manager		(21	)		(39	)		—			—			—
Distribution fees waived – HC Advisors Shares		—			—			—			(2	)		—
Expenses paid indirectly		(4	)		(7	)		(1	)		(3	)		—
Administrative services fees waived		—			—			(2	)		(2	)		—
Net Expenses		390			693			557			2,521			243
Net Investment Income		45			143			762			8,171			1,050
NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gains/(losses) from investment transactions		2,373			2,180			1,422			(83,102	)		(278	)
Net realized gains/(losses) from futures transactions		838			1,617			310			(47,731	)		—
Net realized gains/(losses) from written options transactions		—			—			—			(13	)		—
Net realized gains/(losses) from swap transactions		—			—			—			(36,464	)		—
Net realized gains/(losses) from foreign currency transactions		—			—			—			74			(144	)
Net realized gains/(losses) from investments, futures, written options, swap transactions, and foreign currency transactions		3,211			3,797			1,732			(167,236	)		(422	)
Change in unrealized appreciation/(depreciation) on investments (net of deferred foreign tax)		(12,258	)		(18,897	)		9,293			(60,312	)		(7,361	)
Change in unrealized appreciation/(depreciation) on futures		38			167			133			3,891			—
Change in unrealized appreciation/(depreciation) on written options		—			—			—			40			—
Change in unrealized appreciation/(depreciation) on swaps		—			—			—			(4,825	)		—
Change in unrealized appreciation/(depreciation) on foreign currency translations		—			—			—			809			—
Change in unrealized appreciation/(depreciation) on investments, futures, written options, swaps, and foreign currency translations		(12,220	)		(18,730	)		9,426			(60,397	)		(7,361	)
Net realized/unrealized gains/(losses) from investments, futures, written options, swaps, and foreign currency transactions		(9,009	)		(14,933	)		11,158			(227,633	)		(7,783	)
Change in net assets resulting from operations	$	(8,964	)	$	(14,790	)	$	11,920		$	(219,462	)	$	(6,733	)

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Statement has been consolidated. See Note 2O in the Notes to Financial Statements for basis of consolidation.

(b) For the period July 13, 2015 (commencement of operations) through December 31, 2015.

See accompanying notes to financial statements.

181

HC CAPITAL TRUST

Statements of Operations (continued)

For the Six Months Ended December 31, 2015 (Unaudited)

(Amounts in thousands)

	The International Equity Portfolio			The Institutional International Equity Portfolio			The Emerging Markets Portfolio			The Core Fixed Income Portfolio
INVESTMENT INCOME:
Interest	$	—		$	1		$	—		$	1,161
Dividends (net of foreign withholding tax of $1,963, $4,460, $3,455 and $0, respectively)		15,933			29,488			26,144			—
Income from securities lending (net of fees of $70, $145, $54 and $0, respectively)		280			576			213			—
Total Investment Income		16,213			30,065			26,357			1,161
EXPENSES:
Advisory fees		1,444			2,892			2,881			32
Management fees		334			676			420			25
Administrative services fees		183			370			229			14
Distribution fees – HC Advisors Shares		4			5			3			3
Fund accounting fees		47			64			—			—
Professional fees		87			134			129			4
Transfer agent fees		21			40			27			1
Compliance service fees		14			23			18			1
Custodian fees		334			454			1,001			14
Registration and filing fees		6			4			4			3
Trustee fees		35			62			47			2
Other		105			109			119			34
Total expenses before waivers and expenses paid indirectly		2,614			4,833			4,878			133
Less:    Distribution fees waived – HC Advisors Shares		(4	)		(5	)		(3	)		(3	)
Expenses paid indirectly		(18	)		(4	)		(6	)		—
Management fees waived		(15	)		(8	)		—			—
Administrative services fees waived		—			—			—			(2	)
Net Expenses		2,577			4,816			4,869			128
Net Investment Income		13,636			25,249			21,488			1,033
NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gains/(losses) from investment transactions		(36,979	)		(30,252	)		(54,041	)		(175	)
Net realized gains/(losses) from futures transactions		(1,979	)		(3,683	)		(16,871	)		—
Net realized gains/(losses) from foreign currency transactions		(648	)		(829	)		(1,276	)		—
Net realized gains/(losses) from investments, futures, and foreign currency transactions		(39,606	)		(34,764	)		(72,188	)		(175	)
Change in unrealized appreciation/(depreciation) on investments (net of deferred foreign tax)		(100,396	)		(220,842	)		(297,281	)		(556	)
Change in unrealized appreciation/(depreciation) on futures		(2,959	)		1,455			3,222			—
Change in unrealized appreciation/(depreciation) on foreign currency translations		(9	)		(13	)		(1,413	)		—
Change in unrealized appreciation/(depreciation) on investments, futures, and foreign currency translations		(103,364	)		(219,400	)		(295,472	)		(556	)
Net realized/unrealized gains/(losses) from investments, futures, and foreign currency transactions		(142,970	)		(254,164	)		(367,660	)		(731	)
Change in net assets resulting from operations	$	(129,334	)	$	(228,915	)	$	(346,172	)	$	302

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

182

HC CAPITAL TRUST

Statements of Operations (continued)

For the Six Months Ended December 31, 2015 (Unaudited)

(Amounts in thousands)

	The Fixed Income Opportunity Portfolio			The U.S. Government Fixed Income Securities Portfolio			The Inflation Protected Securities Portfolio			The U.S. Corporate Fixed Income Securities Portfolio
INVESTMENT INCOME:
Interest	$	20,456		$	1,958		$	3,002		$	3,978
Dividends		2,355			—			—			—
Income from securities lending (net of fees of $33, $0, $0, and $0, respectively)		132			—			—			—
Total Investment Income		22,943			1,958			3,002			3,978
EXPENSES:
Advisory fees		1,077			67			95			101
Management fees		207			61			126			66
Administrative services fees		115			33			72			36
Distribution fees – HC Advisors Shares		1			—			—			—
Professional fees		41			12			30			15
Transfer agent fees		11			3			7			4
Compliance service fees		6			2			5			2
Custodian fees		37			13			37			17
Registration and filing fees		3			4			29			4
Trustee fees		18			5			13			6
Other		43			22			24			23
Total expenses before waivers and expenses paid indirectly		1,559			222			438			274
Less:    Distribution fees waived – HC Advisors Shares		(1	)		—			—			—
Administrative services fees waived		(2	)		—			—			—
Net Expenses		1,556			222			438			274
Net Investment Income		21,387			1,736			2,564			3,704
NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gains/(losses) from investment transactions		(30,032	)		739			(987	)		(1,207	)
Net realized gains/(losses) from futures transactions		1,897			—			—			—
Net realized gains/(losses) from foreign currency transactions		(256	)		—			—			—
Net realized gains/(losses) from investments, futures, and foreign currency transactions		(28,391	)		739			(987	)		(1,207	)
Change in unrealized appreciation/(depreciation) on investments		(37,141	)		(629	)		(11,485	)		(2,754	)
Change in unrealized appreciation/(depreciation) on futures		156			—			—			—
Change in unrealized appreciation/(depreciation) on foreign currency translations		161			—			—			—
Change in unrealized appreciation/(depreciation) on investments, futures, and foreign currency transactions		(36,824	)		(629	)		(11,485	)		(2,754	)
Net realized/unrealized gains/(losses) from investments, futures, and foreign currency transactions		(65,215	)		110			(12,472	)		(3,961	)
Change in net assets resulting from operations	$	(43,828	)	$	1,846		$	(9,908	)	$	(257	)

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

183

HC CAPITAL TRUST

Statements of Operations (concluded)

For the Six Months Ended December 31, 2015 (Unaudited)

(Amounts in thousands)

	The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio			The Short-Term Municipal Bond Portfolio			The Intermediate Term Municipal Bond Portfolio			The Intermediate Term Municipal Bond II Portfolio
INVESTMENT INCOME:
Interest	$	2,589		$	153		$	5,061		$	887
Total Investment Income		2,589			153			5,061			887
EXPENSES:
Advisory fees		63			13			331			47
Management fees		56			5			107			20
Administrative services fees		30			3			58			12
Distribution fees – HC Advisors Shares		—			—			2			1
Professional fees		6			1			19			3
Transfer agent fees		3			—			6			1
Compliance service fees		1			—			3			—
Custodian fees		15			1			21			5
Registration and filing fees		3			2			4			3
Trustee fees		3			—			8			1
Other		20			4			16			6
Total expenses before waivers and expenses paid indirectly		200			29			575			99
Less:    Distribution fees waived – HC Advisors Shares		—			—			(2	)		(1	)
Administrative services fees waived		(2	)		—			—			—
Net Expenses		198			29			573			98
Net Investment Income		2,391			124			4,488			789
NET REALIZED/UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gains/(losses) from investment transactions		298			1			2,163			29
Change in unrealized appreciation/(depreciation) on investments		(848	)		(21	)		631			734
Net realized/unrealized gains/(losses) from investments		(550	)		(20	)		2,794			763
Change in net assets resulting from operations	$	1,841		$	104		$	7,282		$	1,552

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

184

HC CAPITAL TRUST

Statements of Changes in Net Assets

(Amounts in thousands)

	The Value Equity Portfolio						The Institutional Value Equity Portfolio						The Growth Equity Portfolio
	For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015
Operations:
Net investment income	$	7,084		$	12,448		$	10,346		$	19,621		$	4,391		$	7,729
Net realized gains/(losses) from investments, futures, and foreign currency transactions		7,347			79,232			9,894			129,534			43,986			152,492
Change in unrealized appreciation/(depreciation) from investments and futures		(35,935	)		(58,737	)		(51,158	)		(98,064	)		(16,923	)		(65,931	)
Change in net assets resulting from operations		(21,504	)		32,943			(30,918	)		51,091			31,454			94,290
Distributions to Shareholders from:
Net investment income:
HC Strategic Shares		(7,568	)		(12,541	)		(10,984	)		(19,960	)		(4,601	)		(7,774	)
HC Advisors Shares		(14	)		(23	)		(18	)		(29	)		(8	)		(15	)
Net realized gains/(losses) from investments and futures:
HC Strategic Shares		(23,910	)		—			(98,221	)		(120,230	)		(165,236	)		(9,890	)
HC Advisors Shares		(46	)		—			(166	)		(169	)		(319	)		(19	)
Change in net assets resulting from distributions		(31,538	)		(12,564	)		(109,389	)		(140,388	)		(170,164	)		(17,698	)
HC Strategic Shares
Proceeds from shares issued	$	6,568		$	27,767		$	23,419		$	72,971		$	4,606		$	38,244
Proceeds from reinvestment of dividends		26,911			10,269			108,881			138,813			143,918			14,918
Cost of shares redeemed		(38,444	)		(65,002	)		(40,544	)		(244,198	)		(98,826	)		(97,423	)
Change in net assets from HC Strategic Shares of beneficial interest		(4,965	)		(26,966	)		91,756			(32,414	)		49,698			(44,261	)
HC Advisors Shares
Proceeds from shares issued		2			20			24			376			2			—
Proceeds from reinvestment of dividends		—			—			—			—			—			—
Cost of shares redeemed		(18	)		(110	)		(93	)		(69	)		(80	)		(207	)
Change in net assets from HC Advisors Shares of beneficial interest		(16	)		(90	)		(69	)		307			(78	)		(207	)
Change in net assets from shares of beneficial interest	$	(4,981	)	$	(27,056	)	$	91,687		$	(32,107	)	$	49,620		$	(44,468	)
Change in net assets		(58,023	)		(6,677	)		(48,620	)		(121,404	)		(89,090	)		32,124
Net Assets:
Beginning of period		623,185			629,862			916,680			1,038,084			873,627			841,503
End of period	$	565,162		$	623,185		$	868,060		$	916,680		$	784,537		$	873,627
Accumulated net investment income/(distributions in excess of net investment income)	$	(161	)	$	337		$	(40	)	$	616		$	32		$	250
Share Transactions:
HC Strategic Shares
Issued		370			1,516			1,789			5,124			974			1,783
Reinvested		1,588			551			9,472			10,313			7,724			688
Redeemed		(2,210	)		(3,519	)		(3,223	)		(17,740	)		(5,362	)		(4,447	)
Change in HC Strategic Shares		(252	)		(1,452	)		8,038			(2,303	)		3,336			(1,976	)
HC Advisors Shares
Issued		—			1			2			27			—			—
Redeemed		(1	)		(6	)		(7	)		(5	)		(4	)		(9	)
Change in HC Advisors Shares		(1	)		(5	)		(5	)		22			(4	)		(9	)
Total change in shares		(253	)		(1,457	)		8,033			(2,281	)		3,332			(1,985	)

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

185

HC CAPITAL TRUST

Statements of Changes in Net Assets (continued)

(Amounts in thousands)

	The Institutional Growth Equity Portfolio						The Small Capitalization– Mid Capitalization Equity Portfolio						The Institutional Small Capitalization– Mid Capitalization Equity Portfolio
	For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015
Operations:
Net investment income	$	6,976		$	13,326		$	45		$	(69	)	$	143		$	50
Net realized gains/(losses) from investments, futures, and foreign currency transactions		58,026			215,625			3,211			10,604			3,797			11,799
Change in unrealized appreciation/(depreciation) from investments and futures		(16,807	)		(75,553	)		(12,220	)		(2,960	)		(18,730	)		1,922
Change in net assets resulting from operations		48,195			153,398			(8,964	)		7,575			(14,790	)		13,771
Distributions to Shareholders from:
Net investment income:
HC Strategic Shares		(7,548	)		(12,694	)		—			(34	)		(46	)		(144	)
HC Advisors Shares		(11	)		(19	)		—			—			—			—
Net realized gains/(losses) from investments and futures:
HC Strategic Shares		(231,687	)		(93,716	)		—			—			(10,877	)		(19,022	)
HC Advisors Shares		(375	)		(125	)		—			—			(14	)		(25	)
Change in net assets resulting from distributions		(239,621	)		(106,554	)		—			(34	)		(10,937	)		(19,191	)
HC Strategic Shares
Proceeds from shares issued	$	20,592		$	73,105		$	1,500		$	11,619		$	7,177		$	22,142
Proceeds from reinvestment of dividends		238,710			105,480			—			28			10,898			19,124
Cost of shares redeemed		(116,834	)		(350,955	)		(8,591	)		(18,118	)		(6,452	)		(17,890	)
Change in net assets from HC Strategic Shares of beneficial interest		142,468			(172,370	)		(7,091	)		(6,471	)		11,623			23,376
HC Advisors Shares
Proceeds from shares issued		14			359			3			4			5			48
Proceeds from reinvestment of dividends		—			—			—			—			—			—
Cost of shares redeemed		(186	)		(170	)		(2	)		(30	)		(13	)		(15	)
Change in net assets from HC Advisors Shares of beneficial interest		(172	)		189			1			(26	)		(8	)		33
Change in net assets from shares of beneficial interest	$	142,296		$	(172,181	)	$	(7,090	)	$	(6,497	)	$	11,615		$	23,409
Change in net assets		(49,130	)		(125,337	)		(16,054	)		1,044			(14,112	)		17,989
Net Assets:
Beginning of period		1,319,319			1,444,656			114,949			113,905			200,688			182,699
End of period	$	1,270,189		$	1,319,319		$	98,895		$	114,949		$	186,576		$	200,688
Accumulated net investment income/(distributions in excess of net investment income)	$	22		$	605		$	(38	)	$	(83	)	$	(60	)	$	(157	)
Share Transactions:
HC Strategic Shares
Issued		2,725			4,295			69			550			455			1,304
Reinvested		16,363			6,398			—			1			755			1,231
Redeemed		(8,471	)		(20,810	)		(403	)		(849	)		(418	)		(1,083	)
Change in HC Strategic Shares		10,617			(10,117	)		(334	)		(298	)		792			1,452
HC Advisors Shares
Issued		1			21			—			—			—			3
Redeemed		(12	)		(10	)		—			(1	)		(1	)		(1	)
Change in HC Advisors Shares		(11	)		11			—			(1	)		(1	)		2
Total change in shares		10,606			(10,106	)		(334	)		(299	)		791			1,454

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

186

HC CAPITAL TRUST

Statements of Changes in Net Assets (continued)

(Amounts in thousands)

	The Real Estate Securities Portfolio						The Commodity Return Strategy Portfolio (a)						The ESG Growth Portfolio			The International Equity Portfolio
	For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Period July 13, 2015 (b) through December 31, 2015 (Unaudited)			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015
Operations:
Net investment income	$	762		$	1,922		$	8,171		$	15,641		$	1,050		$	13,636		$	39,494
Net realized gains/(losses) from investments, futures, and foreign currency transactions		1,732			18,217			(167,236	)		(156,399	)		(422	)		(39,606	)		95,381
Change in unrealized appreciation/(depreciation) from investments, futures, and foreign currency transactions		9,426			(6,298	)		(60,397	)		(140,037	)		(7,361	)		(103,364	)		(206,515	)
Change in net assets resulting from operations		11,920			13,841			(219,462	)		(280,795	)		(6,733	)		(129,334	)		(71,640	)
Distributions to Shareholders from:
Net investment income:
HC Strategic Shares		(1,149	)		(2,342	)		(8,296	)		(17,239	)		(973	)		(11,328	)		(43,886	)
HC Advisors Shares		—			—			(12	)		(24	)		—			(28	)		(88	)
Net realized gains/(losses) from investments, futures, and foreign currency transactions:
HC Strategic Shares		(14,925	)		(7,059	)		—			(3,435	)		(273	)		(82,714	)		(152,759	)
HC Advisors Shares		—			—			—			(5	)		—			(219	)		(336	)
Change in net assets resulting from distributions		(16,074	)		(9,401	)		(8,308	)		(20,703	)		(1,246	)		(94,289	)		(197,069	)
HC Strategic Shares
Proceeds from shares issued	$	2,433		$	4,961		$	239,700		$	632,646		$	129,128		$	232,373		$	264,466
Proceeds from reinvestment of dividends		15,980			9,270			6,969			17,809			492			83,368			158,574
Cost of shares redeemed		(6,900	)		(57,496	)		(274,756	)		(330,968	)		(1,025	)		(400,980	)		(246,040	)
Change in net assets from HC Strategic Shares of beneficial interest		11,513			(43,265	)		(28,087	)		319,487			128,595			(85,239	)		177,000
HC Advisors Shares
Proceeds from shares issued		—			—			108			469			1			86			615
Proceeds from reinvestment of dividends		—			—			—			—			—			—			—
Cost of shares redeemed		—			—			(56	)		(34	)		—			(13	)		(179	)
Change in net assets from HC Advisors Shares of beneficial interest		—			—			52			435			1			73			436
Change in net assets from shares of beneficial interest	$	11,510		$	(43,265	)	$	(28,035	)	$	319,922		$	128,596		$	(85,166	)	$	177,436
Change in net assets		7,359			(38,825	)		(255,805	)		18,424			120,617			(308,789	)		(91,273	)
Net Assets:
Beginning of period		132,758			171,583			1,194,638			1,176,214			—			1,525,416			1,616,689
End of period	$	140,117		$	132,758		$	938,833		$	1,194,638		$	120,617		$	1,216,627		$	1,525,416
Accumulated net investment income/(distributions in excess of net investment income)	$	(387	)	$	—		$	(1,491	)	$	(1,354	)	$	77		$	2,812		$	532
Share Transactions:
HC Strategic Shares
Issued		761			1,497			33,326			68,801			13,025			24,196			23,645
Reinvested		5,116			2,771			967			1,948			52			8,918			14,241
Redeemed		(2,071	)		(16,961	)		(36,478	)		(36,159	)		(105	)		(38,934	)		(20,733	)
Change in HC Strategic Shares		3,806			(12,693	)		(2,185	)		34,590			12,972			(5,820	)		17,153
HC Advisors Shares
Issued		—			—			14			50			—			8			55
Redeemed		—			—			(7	)		(3	)		—			(1	)		(15	)
Change in HC Advisors Shares		—			—			7			47			—			7			40
Total change in shares		3,806			(12,693	)		(2,178	)		34,637			12,972			(5,813	)		17,193
																				��

Amounts designated as “—” are $0 or have been rounded to $0.

(a) Statement has been consolidated. See Note 2O in the Notes to Financial Statements for basis of consolidation.

(b) For the period July 13, 2015 (commencement of operations) through December 31, 2015.

See accompanying notes to financial statements.

187

HC CAPITAL TRUST

Statements of Changes in Net Assets (continued)

(Amounts in thousands)

	The Institutional International Equity Portfolio						The Emerging Markets Portfolio						The Core Fixed Income Portfolio
	For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015
Operations:
Net investment income	$	25,249		$	78,670		$	21,488		$	43,250		$	1,033		$	1,942
Net realized gains/(losses) from investments, futures, and foreign currency transactions		(34,764	)		136,491			(72,188	)		6,217			(175	)		1,528
Change in unrealized appreciation/(depreciation) from investments, futures, and foreign currency transactions		(219,400	)		(344,743	)		(295,472	)		(206,924	)		(556	)		(2,243	)
Change in net assets resulting from operations		(228,915	)		(129,582	)		(346,172	)		(157,457	)		302			1,227
Distributions to Shareholders from:
Net investment income:
HC Strategic Shares		(27,382	)		(87,620	)		(43,162	)		(41,389	)		(1,157	)		(2,162	)
HC Advisors Shares		(38	)		(117	)		(66	)		(60	)		(34	)		(62	)
Net realized gains/(losses) from investments, futures, and foreign currency transactions:
HC Strategic Shares		(118,215	)		(267,727	)		—			(28,792	)		(853	)		(91	)
HC Advisors Shares		(171	)		(343	)		—			(44	)		(26	)		(3	)
Change in net assets resulting from distributions		(145,806	)		(355,807	)		(43,228	)		(70,285	)		(2,070	)		(2,318	)
HC Strategic Shares
Proceeds from shares issued	$	71,496		$	298,647		$	685,717		$	482,630		$	3,293		$	8,399
Proceeds from reinvestment of dividends		142,027			342,849			34,694			58,999			2,007			2,249
Cost of shares redeemed		(140,365	)		(288,563	)		(465,129	)		(234,660	)		(14,184	)		(12,353	)
Change in net assets from HC Strategic Shares of beneficial interest		73,158			352,933			255,282			306,969			(8,884	)		(1,705	)
HC Advisors Shares
Proceeds from shares issued		168			1,282			294			585			114			284
Proceeds from reinvestment of dividends		—			—			—			—			—			—
Cost of shares redeemed		(204	)		(169	)		(119	)		(85	)		(259	)		(188	)
Change in net assets from HC Advisors Shares of beneficial interest		(36	)		1,113			175			500			(145	)		96
Change in net assets from shares of beneficial interest	$	73,122		$	354,046		$	255,457		$	307,469		$	(9,029	)	$	(1,609	)
Change in net assets		(301,599	)		(131,343	)		(133,943	)		79,727			(10,797	)		(2,700	)
Net Assets:
Beginning of period		2,874,093			3,005,436			1,896,064			1,816,337			99,748			102,448
End of period	$	2,572,494		$	2,874,093		$	1,762,121		$	1,896,064		$	88,951		$	99,748
Accumulated net investment income/(distributions in excess of net investment income)	$	(2,493	)	$	(322	)	$	(3,240	)	$	18,500		$	(113	)	$	45
Share Transactions:
HC Strategic Shares
Issued		7,164			26,502			46,468			26,508			336			846
Reinvested		15,430			32,663			2,438			3,385			207			227
Redeemed		(13,846	)		(26,351	)		(30,822	)		(12,799	)		(1,452	)		(1,243	)
Change in HC Strategic Shares		8,748			32,814			18,084			17,094			(909	)		(170	)
HC Advisors Shares
Issued		17			118			20			33			12			29
Redeemed		(21	)		(15	)		(8	)		(4	)		(27	)		(19	)
Change in HC Advisors Shares		(4	)		103			12			29			(15	)		10
Total change in shares		8,744			32,917			18,096			17,123			(924	)		(160	)

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

188

HC CAPITAL TRUST

Statements of Changes in Net Assets (continued)

(Amounts in thousands)

	The Fixed Income Opportunity Portfolio						The U.S. Government Fixed Income Securities Portfolio						The Inflation Protected Securities Portfolio
	For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015
Operations:
Net investment income	$	21,387		$	42,601		$	1,736		$	3,143		$	2,564		$	(1,298	)
Net realized gains/(losses) from investments, futures, and foreign currency transactions		(28,391	)		6,179			739			2,081			(987	)		(420	)
Change in unrealized appreciation/(depreciation) from investments, futures, and foreign currency transactions		(36,824	)		(47,619	)		(629	)		324			(11,485	)		(7,328	)
Change in net assets resulting from operations		(43,828	)		1,161			1,846			5,548			(9,908	)		(9,046	)
Distributions to Shareholders from:
Net investment income:
HC Strategic Shares		(24,287	)		(43,170	)		(1,805	)		(3,131	)		(938	)		(1,507	)
HC Advisors Shares		(30	)		(59	)		—			—			—			—
Net realized gains/(losses) from investments, futures, and foreign currency transactions:
HC Strategic Shares		(3,165	)		(18,509	)		(2,249	)		—			—			(414	)
HC Advisors Shares		(4	)		(25	)		—			—			—			—
Tax return of capital:
HC Strategic Shares		—			—			—			—			—			(868	)
Change in net assets resulting from distributions		(27,486	)		(61,763	)		(4,054	)		(3,131	)		(938	)		(2,789	)
HC Strategic Shares
Proceeds from shares issued	$	61,357		$	102,166		$	4,028		$	54,854		$	3,019		$	32,733
Proceeds from reinvestment of dividends		24,664			57,361			3,719			2,620			872			2,651
Cost of shares redeemed		(43,023	)		(92,612	)		(39,798	)		(43,807	)		(17,155	)		(39,831	)
Change in net assets from HC Strategic Shares of beneficial interest		42,998			66,915			(32,051	)		13,667			(13,264	)		(4,447	)
HC Advisors Shares
Proceeds from shares issued		29			138			—			—			—			—
Proceeds from reinvestment of dividends		—			—			—			—			—			—
Cost of shares redeemed		(72	)		(11	)		—			—			—			—
Change in net assets from HC Advisors Shares of beneficial interest		(43	)		127			—			—			—			—
Change in net assets from shares of beneficial interest	$	42,955		$	67,042		$	(32,051	)	$	13,667		$	(13,264	)	$	(4,447	)
Change in net assets		(28,359	)		6,440			(34,259	)		16,084			(24,110	)		(16,282	)
Net Assets:
Beginning of period		811,560			805,120			262,998			246,914			510,177			526,459
End of period	$	783,201		$	811,560		$	228,739		$	262,998		$	486,067		$	510,177
Accumulated net investment income/(distributions in excess of net investment income)	$	61		$	2,991		$	(5	)	$	64		$	(15	)	$	(1,641	)
Share Transactions:
HC Strategic Shares
Issued		8,832			14,150			400			5,477			304			3,252
Reinvested		3,731			8,023			372			260			89			260
Redeemed		(6,448	)		(12,835	)		(3,950	)		(4,317	)		(1,732	)		(3,952	)
Change in HC Strategic Shares		6,115			9,338			(3,178	)		1,420			(1,339	)		(440	)
HC Advisors Shares
Issued		4			19			—			—			—			—
Redeemed		(10	)		(2	)		—			—			—			—
Change in HC Advisors Shares		(6	)		17			—			—			—			—
Total change in shares		6,109			9,355			(3,178	)		1,420			(1,339	)		(440	)

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

189

HC CAPITAL TRUST

Statements of Changes in Net Assets (continued)

(Amounts in thousands)

	The U.S. Corporate Fixed Income Securities Portfolio						The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio						The Short-Term Municipal Bond Portfolio
	For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015
Operations:
Net investment income	$	3,704		$	6,309		$	2,391		$	4,961		$	124		$	252
Net realized gains/(losses) from investments		(1,207	)		7,917			298			1,318			1			2
Change in unrealized appreciation/(depreciation) from investments		(2,754	)		(13,362	)		(848	)		(1,122	)		(21	)		(214	)
Change in net assets resulting from operations		(257	)		864			1,841			5,157			104			40
Distributions to Shareholders from:
Net investment income:
HC Strategic Shares		(3,835	)		(6,349	)		(3,354	)		(6,634	)		(133	)		(250	)
Net realized gains/(losses) from investments:
HC Strategic Shares		(5,503	)		(2,303	)		—			—			(3	)		(4	)
Change in net assets resulting from distributions		(9,338	)		(8,652	)		(3,354	)		(6,634	)		(136	)		(254	)
HC Strategic Shares
Proceeds from shares issued	$	60,663		$	37,375		$	3,784		$	39,644		$	205		$	640
Proceeds from reinvestment of dividends		8,653			7,765			2,729			5,402			136			254
Cost of shares redeemed		(14,017	)		(71,627	)		(54,881	)		(42,173	)		(501	)		(1,450	)
Change in net assets from HC Strategic Shares of beneficial interest		55,299			(26,487	)		(48,368	)		2,873			(160	)		(556	)
HC Fund Shares
Change in net assets from shares of beneficial interest	$	55,299		$	(26,487	)	$	(48,368	)	$	2,873		$	(160	)	$	(556	)
Change in net assets		45,704			(34,275	)		(49,881	)		1,396			(192	)		(770	)
Net Assets:
Beginning of period		223,329			257,604			252,028			250,632			20,933			21,703
End of period	$	269,033		$	223,329		$	202,147		$	252,028		$	20,741		$	20,933
Accumulated net investment income/(distributions in excess of net investment income)	$	(19	)	$	112		$	(836	)	$	127		$	(16	)	$	(7	)
Share Transactions:
HC Strategic Shares
Issued		6,165			3,677			385			4,011			20			64
Reinvested		895			765			279			547			14			25
Redeemed		(1,434	)		(7,008	)		(5,579	)		(4,251	)		(50	)		(145	)
Change in HC Strategic Shares		5,626			(2,566	)		(4,915	)		307			(16	)		(56	)
Total change in shares		5,626			(2,566	)		(4,915	)		307			(16	)		(56	)

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

190

HC CAPITAL TRUST

Statements of Changes in Net Assets (concluded)

(Amounts in thousands)

	The Intermediate Term Municipal Bond Portfolio						The Intermediate Term Municipal Bond II Portfolio
	For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015			For the Six Months Ended December 31, 2015 (Unaudited)			For the Year Ended June 30, 2015
Operations:
Net investment income	$	4,488		$	8,512		$	789		$	1,429
Net realized gains/(losses) from investments		2,163			3,209			29			385
Change in unrealized appreciation/(depreciation) from investments		631			(5,140	)		734			(774	)
Change in net assets resulting from operations		7,282			6,581			1,552			1,040
Distributions to Shareholders from:
Net investment income:
HC Strategic Shares		(4,780	)		(8,450	)		(810	)		(1,411	)
HC Advisors Shares		(22	)		(45	)		(6	)		(12	)
Net realized gains/(losses) from investments:
HC Strategic Shares		—			—			(33	)		(319	)
HC Advisors Shares		—			—			—			(3	)
Change in net assets resulting from distributions		(4,802	)		(8,495	)		(849	)		(1,745	)
HC Strategic Shares
Proceeds from shares issued	$	13,400		$	33,215		$	2,054		$	7,805
Proceeds from reinvestment of dividends		4,557			8,157			799			1,675
Cost of shares redeemed		(13,800	)		(42,300	)		(2,113	)		(9,380	)
Change in net assets from HC Strategic Shares of beneficial interest		4,157			(928	)		740			100
HC Advisors Shares
Proceeds from shares issued		4			52			2			16
Proceeds from reinvestment of dividends		—			—			—			—
Cost of shares redeemed		(105	)		(549	)		(31	)		(160	)
Change in net assets from HC Advisors Shares of beneficial interest		(101	)		(497	)		(29	)		(144	)
Change in net assets from shares of beneficial interest	$	4,056		$	(1,425	)	$	711		$	(44	)
Change in net assets		6,536			(3,339	)		1,414			(749	)
Net Assets:
Beginning of period		422,408			425,747			77,677			78,426
End of period	$	428,944		$	422,408		$	79,091		$	77,677
Accumulated net investment income/(distributions in excess of net investment income)	$	(76	)	$	238		$	(22	)	$	5
Share Transactions:
HC Strategic Shares
Issued		1,323			3,277			198			750
Reinvested		451			806			76			161
Redeemed		(1,364	)		(4,173	)		(203	)		(900	)
Change in HC Strategic Shares		410			(90	)		71			11
HC Advisors Shares
Issued		—			5			—			2
Redeemed		(10	)		(54	)		(2	)		(16	)
Change in HC Advisors Shares		(10	)		(49	)		(2	)		(14	)
Total change in shares		400			(139	)		69			(3	)

Amounts designated as “—” are $0 or have been rounded to $0.

See accompanying notes to financial statements.

191

HC CAPITAL TRUST

Financial Highlights

Selected data for a share outstanding throughout the periods indicated.

			Change in Net Assets Resulting From Operations:									Distributions to Shareholders:
	Net Asset Value, Beginning of Period		Net Investment Income/ (Loss)			Net Realized/ Unrealized Gains/ (Losses) from Investments			Total from Operations			Net Investment Income			Net Realized Gains from Investments			Total Distributions to Shareholders
The Value Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	18.46	$	0.21		$	(0.83	)	$	(0.62	)	$	(0.23	)	$	(0.74	)	$	(0.97	)
Year Ended June 30, 2015		17.88		0.36			0.58			0.94			(0.36	)		—			(0.36	)
Year Ended June 30, 2014		14.94		0.42			2.94			3.36			(0.42	)		—			(0.42	)
Year Ended June 30, 2013		12.22		0.38			2.69			3.07			(0.35	)		—			(0.35	)
Year Ended June 30, 2012		12.50		0.30			(0.28	)		0.02			(0.30	)		—			(0.30	)
Year Ended June 30, 2011		9.98		0.22			2.52			2.74			(0.22	)		—			(0.22	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	18.46	$	0.22		$	(0.85	)	$	(0.63	)	$	(0.23	)	$	(0.74	)	$	(0.97	)
Year Ended June 30, 2015		17.88		0.36			0.58			0.94			(0.36	)		—			(0.36	)
Year Ended June 30, 2014		14.94		0.43			2.93			3.36			(0.42	)		—			(0.42	)
Year Ended June 30, 2013		12.22		0.35			2.72			3.07			(0.35	)		—			(0.35	)
Year Ended June 30, 2012		12.49		0.31			(0.28	)		0.03			(0.30	)		—			(0.30	)
Period Ended June 30, 2011(d)		9.93		0.21			2.57			2.78			(0.22	)		—			(0.22	)
The Institutional Value Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	13.49	$	0.14		$	(0.60	)	$	(0.46	)	$	(0.15	)	$	(1.45	)	$	(1.60	)
Year Ended June 30, 2015		14.79		0.27			0.44			0.71			(0.28	)		(1.73	)		(2.01	)
Year Ended June 30, 2014		14.60		0.36	(e)		2.66	(e)		3.02			(0.35	)		(2.48	)		(2.83	)
Year Ended June 30, 2013		12.55		0.38			2.69			3.07			(0.37	)		(0.65	)		(1.02	)
Year Ended June 30, 2012		12.96		0.13			(0.06	)		0.07			(0.30	)		(0.18	)		(0.48	)
Year Ended June 30, 2011		10.26		0.23			2.67			2.90			(0.20	)		—			(0.20	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	13.50	$	0.15		$	(0.62	)	$	(0.47	)	$	(0.15	)	$	(1.45	)	$	(1.60	)
Year Ended June 30, 2015		14.79		0.27			0.45			0.72			(0.28	)		(1.73	)		(2.01	)
Year Ended June 30, 2014		14.60		0.36	(e)		2.66	(e)		3.02			(0.35	)		(2.48	)		(2.83	)
Year Ended June 30, 2013		12.55		0.37			2.70			3.07			(0.37	)		(0.65	)		(1.02	)
Year Ended June 30, 2012		12.97		0.14			(0.08	)		0.06			(0.30	)		(0.18	)		(0.48	)
Period Ended June 30, 2011(d)		10.21		0.21			2.75			2.96			(0.20	)		—			(0.20	)
The Growth Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	22.37	$	0.11		$	0.77		$	0.88		$	(0.11	)	$	(4.63	)	$	(4.74	)
Year Ended June 30, 2015		20.51		0.19			2.10			2.29			(0.19	)		(0.24	)		(0.43	)
Year Ended June 30, 2014		16.95		0.21			3.56			3.77			(0.21	)		—			(0.21	)
Year Ended June 30, 2013		14.88		0.24			2.07			2.31			(0.24	)		—			(0.24	)
Year Ended June 30, 2012		13.87		0.15			1.01			1.16			(0.15	)		—			(0.15	)
Year Ended June 30, 2011		10.39		0.10			3.48			3.58			(0.10	)		—			(0.10	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	22.35	$	0.12		$	0.75		$	0.87		$	(0.11	)	$	(4.63	)	$	(4.74	)
Year Ended June 30, 2015		20.48		0.19			2.11			2.30			(0.19	)		(0.24	)		(0.43	)
Year Ended June 30, 2014		16.93		0.21			3.55			3.76			(0.21	)		—			(0.21	)
Year Ended June 30, 2013		14.86		0.22			2.09			2.31			(0.24	)		—			(0.24	)
Year Ended June 30, 2012		13.85		0.15			1.01			1.16			(0.15	)		—			(0.15	)
Period Ended June 30, 2011(d)		10.40		0.10			3.45			3.55			(0.10	)		—			(0.10	)
The Institutional Growth Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	17.14	$	0.09		$	0.55		$	0.64		$	(0.09	)	$	(3.18	)	$	(3.27	)
Year Ended June 30, 2015		16.59		0.16			1.63			1.79			(0.15	)		(1.09	)		(1.24	)
Year Ended June 30, 2014		15.00		0.18			3.01			3.19			(0.19	)		(1.41	)		(1.60	)
Year Ended June 30, 2013		15.02		0.23			2.07			2.30			(0.23	)		(2.09	)		(2.32	)
Year Ended June 30, 2012		14.10		0.16			0.97			1.13			(0.15	)		(0.06	)		(0.21	)
Year Ended June 30, 2011		10.58		0.12			3.50			3.62			(0.10	)		—			(0.10	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	17.15	$	0.09		$	0.54		$	0.63		$	(0.09	)	$	(3.18	)	$	(3.27	)
Year Ended June 30, 2015		16.59		0.16			1.64			1.80			(0.15	)		(1.09	)		(1.24	)
Year Ended June 30, 2014		15.00		0.19			3.00			3.19			(0.19	)		(1.41	)		(1.60	)
Year Ended June 30, 2013		15.01		0.23			2.08			2.31			(0.23	)		(2.09	)		(2.32	)
Year Ended June 30, 2012		14.10		0.16			0.96			1.12			(0.15	)		(0.06	)		(0.21	)
Period Ended June 30, 2011(d)		10.59		0.11			3.50			3.61			(0.10	)		—			(0.10	)

(a) Not annualized for periods less than one year.

(b) Annualized for periods less than one year.

(c) Portfolio turnover is calculated on the basis of the Portfolio, as a whole, without distinguishing between the classes of shares issued.

(d) For the period July 6, 2010 (commencement of operations) through June 30, 2011.

(e) Per share amounts are based on average shares outstanding.

(f) Portfolio Turnover does not include TBA security transactions.

See accompanying notes to financial statements.

192

						Ratios/Supplementary Data:
Net Asset Value, End of Period		Total Return(a)		Net Assets, at End of Period (in thousands)		Ratio of Expenses to Average Net Assets, Prior to Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Waivers(b)		Ratio of Net Investment Income/(Loss) to Average Net Assets(b)		Portfolio Turnover Rate(a)(c)
$	16.87		(3.33)%	$	564,115		0.26%		0.25%		0.25%		2.37%		35.03%
	18.46		5.27%		622,022		0.29%		0.28%		0.28%		1.95%		123.19%
	17.88		22.69%		628,645		0.32%		0.31%		0.31%		2.44%		53.96%
	14.94		25.46%		679,946		0.29%		0.27%		0.27%		2.73%		54.28%
	12.22		0.23%		608,294		0.29%		0.26%		0.26%		2.59%		108.58%
	12.50		27.56%		534,710		0.37%		0.31%		0.31%		1.90%		72.04%
$	16.86		(3.38)%	$	1,047		0.51%		0.25%		0.25%		2.37%		35.03%
	18.46		5.27%		1,163		0.54%		0.28%		0.28%		1.94%		123.19%
	17.88		22.69%		1,217		0.57%		0.31%		0.31%		2.43%		53.96%
	14.94		25.46%		1,564		0.48%		0.27%		0.27%		2.74%		54.28%
	12.22		0.32%		811		0.29%		0.26%		0.26%		2.58%		108.58%
	12.49		28.10%		763		0.62%		0.31%		0.31%		1.98%		72.04%
$	11.43		(3.31)%	$	866,757		0.26%		0.25%		0.25%		2.30%		35.15%
	13.49		5.05%		915,067		0.28%		0.27%		0.27%		1.95%		119.98%
	14.79		22.82%		1,036,650		0.32%		0.31%		0.31%		2.45%		63.68%
	14.60		25.76%		936,866		0.28%		0.26%		0.26%		2.76%		51.12%
	12.55		0.78%		958,796		0.29%		0.26%		0.26%		2.58%		128.77%
	12.96		28.41%		820,117		0.40%		0.35%		0.35%		1.79%		97.05%	(f)
$	11.43		(3.40)%	$	1,303		0.51%		0.25%		0.25%		2.30%		35.15%
	13.50		5.12%		1,613		0.53%		0.27%		0.27%		1.96%		119.98%
	14.79		22.82%		1,434		0.57%		0.31%		0.31%		2.45%		63.68%
	14.60		25.76%		2,098		0.46%		0.26%		0.26%		2.76%		51.12%
	12.55		0.70%		1,658		0.29%		0.26%		0.26%		2.58%		128.77%
	12.97		29.14%		1,292		0.65%		0.35%		0.35%		1.83%		97.05%	(f)
$	18.51		3.89%	$	783,260		0.28%		0.28%		0.28%		1.02%		18.90%
	22.37		11.27%		872,004		0.30%		0.30%		0.30%		0.88%		57.33%
	20.51		22.33%		839,813		0.28%		0.28%		0.28%		1.09%		30.28%
	16.95		15.62%		736,260		0.27%		0.27%		0.27%		1.47%		23.77%
	14.88		8.49%		731,586		0.31%		0.31%		0.31%		1.11%		64.59%
	13.87		34.56%		735,267		0.37%		0.36%		0.37%		0.82%		49.14%
$	18.48		3.85%	$	1,277		0.53%		0.28%		0.28%		1.03%		18.90%
	22.35		11.34%		1,623		0.55%		0.30%		0.30%		0.88%		57.33%
	20.48		22.29%		1,690		0.53%		0.28%		0.28%		1.09%		30.28%
	16.93		15.64%		1,530		0.46%		0.27%		0.27%		1.49%		23.77%
	14.86		8.50%		928		0.31%		0.31%		0.31%		1.10%		64.59%
	13.85		34.24%		955		0.62%		0.36%		0.37%		0.83%		49.14%
$	14.51		3.77%	$	1,268,486		0.27%		0.27%		0.27%		1.05%		18.21%
	17.14		11.14%		1,317,132		0.29%		0.28%		0.28%		0.93%		96.81%
	16.59		22.19%		1,442,721		0.26%		0.26%		0.26%		1.15%		48.43%
	15.00		17.08%		1,142,874		0.26%		0.26%		0.26%		1.53%		39.54%
	15.02		8.20%		1,090,547		0.32%		0.32%		0.32%		1.18%		83.80%
	14.10		34.29%		1,072,089		0.39%		0.38%		0.37%		0.92%		85.12%	(f)
$	14.51		3.71%	$	1,703		0.52%		0.27%		0.27%		1.05%		18.21%
	17.15		11.20%		2,187		0.54%		0.28%		0.28%		0.93%		96.81%
	16.59		22.19%		1,935		0.51%		0.26%		0.26%		1.16%		48.43%
	15.00		17.15%		1,842		0.44%		0.26%		0.26%		1.54%		39.54%
	15.01		8.13%		1,828		0.32%		0.32%		0.32%		1.19%		83.80%
	14.10		34.16%		1,555		0.64%		0.38%		0.37%		0.92%		85.12%	(f)

See accompanying notes to financial statements.

193

HC CAPITAL TRUST

Financial Highlights (continued)

Selected data for a share outstanding throughout the periods indicated.

			Change in Net Assets Resulting From Operations:									Distributions to Shareholders:
	Net Asset Value, Beginning of Period		Net Investment Income/ (Loss)			Net Realized/ Unrealized Gains/ (Losses) from Investments			Total from Operations			Net Investment Income			Net Realized Gains from Investments			Tax Return of Capital
The Small Capitalization–Mid Capitalization Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	22.68	$	0.01		$	(1.80	)	$	(1.79	)	$	—		$	—		$	—
Year Ended June 30, 2015		21.22		(0.01	)		1.48			1.47			(0.01	)		—			—
Year Ended June 30, 2014		17.12		0.06			4.11			4.17			(0.07	)		—			—
Year Ended June 30, 2013		13.68		0.15			3.43			3.58			(0.14	)		—			—
Year Ended June 30, 2012		14.04		0.07			(0.36	)		(0.29	)		(0.07	)		—			—
Year Ended June 30, 2011		10.41		0.05			3.64			3.69			(0.06	)		—			—
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	22.66	$	0.01		$	(1.81	)	$	(1.80	)	$	—		$	—		$	—
Year Ended June 30, 2015		21.20		(0.01	)		1.48			1.47			(0.01	)		—			—
Year Ended June 30, 2014		17.10		0.06			4.11			4.17			(0.07	)		—			—
Year Ended June 30, 2013		13.66		0.14			3.44			3.58			(0.14	)		—			—
Year Ended June 30, 2012		14.03		0.07			(0.37	)		(0.30	)		(0.07	)		—			—
Period Ended June 30, 2011(e)		10.13		0.05			3.91			3.96			(0.06	)		—			—
The Institutional Small Capitalization–Mid Capitalization Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	16.61	$	0.01		$	(1.23	)	$	(1.22	)	$	—		$	(0.90	)	$	—
Year Ended June 30, 2015		17.19		0.01			1.14			1.15			(0.01	)		(1.72	)		—
Year Ended June 30, 2014		17.09		0.03			3.28			3.31			(0.03	)		(3.18	)		—
Year Ended June 30, 2013		13.52		0.09			3.58			3.67			(0.10	)		—			—
Year Ended June 30, 2012		13.90		0.04			(0.38	)		(0.34	)		(0.04	)		—			—
Year Ended June 30, 2011		10.32		0.05			3.59			3.64			(0.06	)		—			—
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	16.61	$	0.01		$	(1.23	)	$	(1.22	)	$	—		$	(0.90	)	$	—
Year Ended June 30, 2015		17.19		0.01			1.14			1.15			(0.01	)		(1.72	)		—
Year Ended June 30, 2014		17.09		0.03			3.28			3.31			(0.03	)		(3.18	)		—
Year Ended June 30, 2013		13.52		0.09			3.58			3.67			(0.10	)		—			—
Year Ended June 30, 2012		13.90		0.04			(0.38	)		(0.34	)		(0.04	)		—			—
Period Ended June 30, 2011(e)		10.05		0.05			3.86			3.91			(0.06	)		—			—
The Real Estate Securities Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	3.24	$	0.03		$	0.27		$	0.30		$	(0.03	)	$	(0.38	)	$	—
Year Ended June 30, 2015		3.20		0.04			0.21			0.25			(0.05	)		(0.16	)		—
Year Ended June 30, 2014(f)		2.76		0.05			0.41			0.46			(0.02	)		—	(d)		—
Year Ended June 30, 2013(g)		11.16		0.09			0.94			1.03			(0.11	)		(6.65	)		—	(d)
Year Ended June 30, 2012		17.60		0.13			0.63			0.76			(0.20	)		(7.00	)		—
Year Ended June 30, 2011		13.53		0.20			4.71			4.91			(0.33	)		(0.51	)		—

(a) Not annualized for periods less than one year.

(b) Annualized for periods less than one year.

(c) Portfolio turnover is calculated on the basis of the Portfolio, as a whole, without distinguishing between the classes of shares issued.

(d) Amount rounds to less than $0.005 per share.

(e) For the period July 6, 2010 (commencement of operations) through June 30, 2011.

(f) For the period September 12, 2013 (commencement of operations) through June 30, 2014.

(g) Represents the last traded net asset value per share on June 30, 2013. As of the close of business on June 30, 2013, the Real Estate Securities Portfolio had no assets and no shareholders and was close to new investors.

See accompanying notes to financial statements.

194

Distributions to Shareholders:								Ratios/Supplementary Data:
Total Distributions to Shareholders		Net Asset Value, End of Period		Total Return(a)		Net Assets, at End of Period (in thousands)		Ratio of Expenses to Average Net Assets, Prior to Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Waivers(b)		Ratio of Net Investment Income/(Loss) to Average Net Assets(b)		Portfolio Turnover Rate(a)(c)
$	—	$	20.89		(7.89)%	$	98,715		0.79%		0.74%		0.74%		0.09%		26.82%
	(0.01)		22.68		6.91%		114,754		0.83%		0.82%		0.82%		(0.06)%		67.34%
	(0.07)		21.22		24.38%		113,698		0.61%		0.60%		0.60%		0.32%		41.18%
	(0.14)		17.12		26.34%		112,700		0.56%		0.56%		0.56%		0.99%		34.45%
	(0.07)		13.68		(2.06)%		125,014		0.63%		0.63%		0.63%		0.52%		57.28%
	(0.06)		14.04		35.48%		134,582		0.70%		0.70%		0.70%		0.37%		51.76%
$	—	$	20.86		(7.94)%	$	180		1.04%		0.74%		0.74%		0.09%		26.82%
	(0.01)		22.66		6.92%		195		1.08%		0.82%		0.82%		(0.06)%		67.34%
	(0.07)		21.20		24.41%		207		0.86%		0.60%		0.60%		0.32%		41.18%
	(0.14)		17.10		26.38%		191		0.75%		0.56%		0.56%		1.02%		34.45%
	(0.07)		13.66		(2.13)%		162		0.63%		0.63%		0.63%		0.52%		57.28%
	(0.06)		14.03		39.12%		157		0.95%		0.70%		0.70%		0.37%		51.76%
$	(0.90)	$	14.49		(7.32)%	$	186,353		0.76%		0.71%		0.71%		0.15%		28.65%
	(1.73)		16.61		7.43%		200,423		0.81%		0.80%		0.80%		0.03%		83.94%
	(3.21)		17.19		20.85%		182,460		0.70%		0.70%		0.70%		0.21%		67.75%
	(0.10)		17.09		27.29%		177,162		0.70%		0.69%		0.69%		0.68%		58.43%
	(0.04)		13.52		(2.45)%		196,911		0.78%		0.76%		0.76%		0.29%		81.04%
	(0.06)		13.90		35.33%		188,534		0.71%		0.71%		0.71%		0.42%		100.93%
$	(0.90)	$	14.49		(7.32)%	$	223		1.01%		0.71%		0.71%		0.15%		28.65%
	(1.73)		16.61		7.43%		265		1.06%		0.80%		0.80%		0.03%		83.94%
	(3.21)		17.19		20.85%		239		0.95%		0.70%		0.70%		0.22%		67.75%
	(0.10)		17.09		27.29%		243		0.88%		0.69%		0.69%		0.67%		58.43%
	(0.04)		13.52		(2.45)%		276		0.78%		0.76%		0.76%		0.29%		81.04%
	(0.06)		13.90		38.97%		228		0.96%		0.71%		0.71%		0.44%		100.93%
$	(0.41)	$	3.13		9.19%	$	140,117		0.81%		0.81%		0.81%		1.89%		16.26%
	(0.21)		3.24		7.44%		132,758		0.79%		0.79%		0.79%		1.22%		60.49%
	(0.02)		3.20		17.00%		171,583		0.79%		0.78%		0.78%		1.94%		52.49%
	(6.76)		5.43		13.28%		—		0.88%		0.88%		0.88%		0.98%		53.50%
	(7.20)		11.16		12.29%		77,739		0.82%		0.82%		0.82%		1.00%		70.31%
	(0.84)		17.60		37.15%		147,326		0.80%		0.80%		0.80%		2.15%		79.82%

See accompanying notes to financial statements.

195

HC CAPITAL TRUST

Financial Highlights (continued)

Selected data for a share outstanding throughout the periods indicated.

			Change in Net Assets Resulting From Operations:								Distributions to Shareholders:
	Net Asset Value, Beginning of Period		Net Investment Income/ (Loss)		Net Realized/ Unrealized Gains/ (Losses) from Investments			Total from Operations			Net Investment Income			Net Realized Gains from Investments			Tax Return of Capital		Total Distributions to Shareholders
The Commodity Returns Strategy Portfolio (d)
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	8.80	$	0.06	$	(1.77	)	$	(1.71	)	$	(0.06	)	$	—		$	—	$	(0.06	)
Year Ended June 30, 2015		11.64		0.13		(2.79	)		(2.66	)		(0.14	)		(0.04	)		—		(0.18	)
Year Ended June 30, 2014		9.82		0.09		1.83			1.92			(0.10	)		—			—		(0.10	)
Year Ended June 30, 2013		10.01		0.12		(0.20	)		(0.08	)		(0.11	)		—			—		(0.11	)
Year Ended June 30, 2012		12.62		0.07		(2.46	)		(2.39	)		(0.06	)		(0.16	)		—		(0.22	)
Year Ended June 30, 2011		9.57		0.04		3.19			3.23			(0.04	)		(0.14	)		—		(0.18	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	8.80	$	0.06	$	(1.77	)	$	(1.71	)	$	(0.06	)	$	—		$	—	$	(0.06	)
Year Ended June 30, 2015		11.63		0.13		(2.78	)		(2.65	)		(0.14	)		(0.04	)		—		(0.18	)
Year Ended June 30, 2014		9.81		0.08		1.84			1.92			(0.10	)		—			—		(0.10	)
Year Ended June 30, 2013		10.01		0.12		(0.21	)		(0.09	)		(0.11	)		—			—		(0.11	)
Year Ended June 30, 2012		12.62		0.08		(2.47	)		(2.39	)		(0.06	)		(0.16	)		—		(0.22	)
Period Ended June 30, 2011 (e)		9.71		0.05		3.04			3.09			(0.04	)		(0.14	)		—		(0.18	)
The ESG Growth Portfolio
HC Strategic Shares
Period Ended December 31, 2015 (Unaudited)(f)	$	10.00	$	0.07	$	(0.67	)	$	(0.60	)	$	(0.08	)	$	(0.02	)	$	—	$	(0.10	)
HC Advisors Shares
Period Ended December 31, 2015 (Unaudited)(f)	$	10.00	$	0.07	$	(0.67	)	$	(0.60	)	$	(0.08	)	$	(0.02	)	$	—	$	(0.10	)
The International Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	11.18	$	0.12	$	(1.10	)	$	(0.98	)	$	(0.10	)	$	(0.79	)	$	—	$	(0.89	)
Year Ended June 30, 2015		13.56		0.30		(0.96	)		(0.66	)		(0.34	)		(1.38	)		—		(1.72	)
Year Ended June 30, 2014		11.35		0.43		2.25			2.68			(0.43	)		(0.04	)		—		(0.47	)
Year Ended June 30, 2013		9.74		0.32		1.61			1.93			(0.32	)		—			—		(0.32	)
Year Ended June 30, 2012		10.98		0.24		(1.25	)		(1.01	)		(0.23	)		—			—		(0.23	)
Year Ended June 30, 2011		8.51		0.25		2.49			2.74			(0.27	)		—			—		(0.27	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	11.18	$	0.11	$	(1.08	)	$	(0.97	)	$	(0.10	)	$	(0.79	)	$	—	$	(0.89	)
Year Ended June 30, 2015		13.56		0.30		(0.96	)		(0.66	)		(0.34	)		(1.38	)		—		(1.72	)
Year Ended June 30, 2014		11.36		0.43		2.24			2.67			(0.43	)		(0.04	)		—		(0.47	)
Year Ended June 30, 2013		9.75		0.31		1.62			1.93			(0.32	)		—			—		(0.32	)
Year Ended June 30, 2012		10.99		0.24		(1.25	)		(1.01	)		(0.23	)		—			—		(0.23	)
Period Ended June 30, 2011(e)		8.74		0.23		2.29			2.52			(0.27	)		—			—		(0.27	)

(a) Not annualized for periods less than one year.

(b) Annualized for periods less than one year.

(c) Portfolio turnover is calculated on the basis of the Portfolio, as a whole, without distinguishing between the classes of shares issued.

(d) Statement has been consolidated. Please see Note 2O in the Notes to Financial Statements for basis of consolidation.

(e) For the period July 6, 2010 (commencement of operations) through June 30, 2011.

(f) For the period July 13, 2015 (commencement of operations) through December 31, 2015.

See accompanying notes to financial statements.

196

						Ratios/Supplementary Data:
Net Asset Value, End of Period		Total Return(a)		Net Assets, at End of Period (in thousands)		Ratio of Expenses to Average Net Assets, Prior to Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Waivers(b)		Ratio of Net Investment Income/(Loss) to Average Net Assets(b)		Portfolio Turnover Rate(a)(c)
$	7.03		(19.41)%	$	937,477		0.52%		0.52%		0.52%		1.67%		99.24%
	8.80		(22.91)%		1,193,003		0.63%		0.63%		0.63%		1.40%		63.29%
	11.64		19.64%		1,174,593		0.66%		0.66%		0.66%		0.87%		61.70%
	9.82		(0.85)%		906,350		0.64%		0.64%		0.64%		1.18%		34.75%
	10.01		(18.95)%		686,912		0.73%		0.73%		0.73%		0.83%		83.66%
	12.62		33.86%		500,846		1.03%		1.03%		1.03%		0.40%		79.60%
$	7.03		(19.41)%	$	1,356		0.77%		0.52%		0.52%		1.67%		99.24%
	8.80		(22.84)%		1,635		0.88%		0.63%		0.63%		1.37%		63.29%
	11.63		19.66%		1,621		0.91%		0.66%		0.66%		0.81%		61.70%
	9.81		(0.95)%		1,151		0.82%		0.64%		0.64%		1.20%		34.75%
	10.01		(18.95)%		902		0.73%		0.73%		0.73%		0.84%		84.66%
	12.62		31.93%		609		1.28%		1.03%		1.03%		0.44%		79.60%
$	9.30		(6.05)%	$	120,616		0.44%		0.44%		0.44%		1.91%		8.57%
$	9.30		(6.05)%	$	1		0.69%		0.44%		0.44%		1.79%		8.57%
$	9.31		(8.73)%	$	1,214,038		0.39%		0.39%		0.39%		2.05%		18.90%
	11.18		(4.50)%		1,522,384		0.38%		0.38%		0.38%		2.61%		48.85%
	13.56		23.72%		1,613,553		0.42%		0.42%		0.42%		3.26%		55.23%
	11.35		19.76%		1,385,888		0.41%		0.41%		0.41%		2.91%		46.29%
	9.74		(9.13)%		1,190,531		0.54%		0.54%		0.54%		2.58%		68.87%
	10.98		32.30%		1,204,581		0.57%		0.57%		0.57%		2.42%		49.11%
$	9.32		(8.64)%	$	2,589		0.64%		0.39%		0.39%		2.08%		18.90%
	11.18		(4.50)%		3,032		0.63%		0.38%		0.38%		2.59%		48.85%
	13.56		23.61%		3,136		0.67%		0.42%		0.42%		3.24%		55.23%
	11.36		19.74%		2,732		0.61%		0.41%		0.41%		3.07%		46.29%
	9.75		(9.12)%		1,581		0.54%		0.54%		0.54%		2.62%		68.87%
	10.99		28.93%		1,466		0.82%		0.57%		0.57%		3.05%		49.11%

See accompanying notes to financial statements.

197

HC CAPITAL TRUST

Financial Highlights (continued)

Selected data for a share outstanding throughout the periods indicated.

			Change in Net Assets Resulting From Operations:								Distributions to Shareholders:
	Net Asset Value, Beginning of Period		Net Investment Income/ (Loss)		Net Realized/ Unrealized Gains/ (Losses) from Investments			Total from Operations			Net Investment Income			Net Realized Gains from Investments			Total Distributions to Shareholders
The Institutional International Equity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.58	$	0.09	$	(0.96	)	$	(0.87	)	$	(0.10	)	$	(0.44	)	$	(0.54	)
Year Ended June 30, 2015		12.58		0.29		(0.89	)		(0.60	)		(0.32	)		(1.08	)		(1.40	)
Year Ended June 30, 2014		10.87		0.40		2.17			2.57			(0.40	)		(0.46	)		(0.86	)
Year Ended June 30, 2013		9.38		0.30		1.56			1.86			(0.30	)		(0.07	)		(0.37	)
Year Ended June 30, 2012		10.97		0.22		(1.29	)		(1.07	)		(0.21	)		(0.31	)		(0.52	)
Year Ended June 30, 2011		8.51		0.25		2.49			2.74			(0.28	)		—			(0.28	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.57	$	0.10	$	(0.97	)	$	(0.87	)	$	(0.10	)	$	(0.44	)	$	(0.54	)
Year Ended June 30, 2015		12.57		0.30		(0.90	)		(0.60	)		(0.32	)		(1.08	)		(1.40	)
Year Ended June 30, 2014		10.87		0.41		2.15			2.56			(0.40	)		(0.46	)		(0.86	)
Year Ended June 30, 2013		9.37		0.31		1.56			1.87			(0.30	)		(0.07	)		(0.37	)
Year Ended June 30, 2012		10.96		0.23		(1.30	)		(1.07	)		(0.21	)		(0.31	)		(0.52	)
Period Ended June 30, 2011(d)		8.73		0.24		2.27			2.51			(0.28	)		—			(0.28	)
The Emerging Markets Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	17.58	$	0.16	$	(3.39	)	$	(3.23	)	$	(0.36	)	$	—		$	(0.36	)
Year Ended June 30, 2015		20.01		0.40		(2.11	)		(1.71	)		(0.41	)		(0.31	)		(0.72	)
Year Ended June 30, 2014		17.51		0.35		2.51			2.86			(0.36	)		—			(0.36	)
Year Ended June 30, 2013		17.79		0.34		(0.36	)		(0.02	)		(0.26	)		—			(0.26	)
Year Ended June 30, 2012		22.42		0.18		(4.20	)		(4.02	)		(0.17	)		(0.44	)		(0.61	)
Year Ended June 30, 2011		17.81		0.25		4.72			4.97			(0.15	)		(0.21	)		(0.36	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	17.57	$	0.17	$	(3.40	)	$	(3.23	)	$	(0.36	)	$	—		$	(0.36	)
Year Ended June 30, 2015		20.00		0.42		(2.13	)		(1.71	)		(0.41	)		(0.31	)		(0.72	)
Year Ended June 30, 2014		17.51		0.35		2.50			2.85			(0.36	)		—			(0.36	)
Year Ended June 30, 2013		17.79		0.36		(0.38	)		(0.02	)		(0.26	)		—			(0.26	)
Year Ended June 30, 2012		22.42		0.19		(4.21	)		(4.02	)		(0.17	)		(0.44	)		(0.61	)
Period Ended June 30, 2011(d)		18.17		0.25		4.36			4.61			(0.15	)		(0.21	)		(0.36	)
The Core Fixed Income Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	9.78	$	0.11	$	(0.08	)	$	0.03		$	(0.12	)	$	(0.10	)	$	(0.22	)
Year Ended June 30, 2015		9.89		0.19		(0.07	)		0.12			(0.22	)		(0.01	)		(0.23	)
Year Ended June 30, 2014		9.73		0.22		0.24			0.46			(0.25	)		(0.05	)		(0.30	)
Year Ended June 30, 2013		10.27		0.21		(0.30	)		(0.09	)		(0.26	)		(0.19	)		(0.45	)
Year Ended June 30, 2012		10.14		0.24		0.53			0.77			(0.25	)		(0.39	)		(0.64	)
Year Ended June 30, 2011		10.25		0.19		0.15			0.34			(0.25	)		(0.20	)		(0.45	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	9.77	$	0.11	$	(0.08	)	$	0.03		$	(0.12	)	$	(0.10	)	$	(0.22	)
Year Ended June 30, 2015		9.88		0.19		(0.07	)		0.12			(0.22	)		(0.01	)		(0.23	)
Year Ended June 30, 2014		9.73		0.21		0.24			0.45			(0.25	)		(0.05	)		(0.30	)
Year Ended June 30, 2013		10.26		0.21		(0.29	)		(0.08	)		(0.26	)		(0.19	)		(0.45	)
Year Ended June 30, 2012		10.13		0.24		0.53			0.77			(0.25	)		(0.39	)		(0.64	)
Period Ended June 30, 2011(d)		10.27		0.24		0.07			0.31			(0.25	)		(0.20	)		(0.45	)
The Fixed Income Opportunity Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	7.08	$	0.18	$	(0.54	)	$	(0.36	)	$	(0.20	)	$	(0.03	)	$	(0.23	)
Year Ended June 30, 2015		7.65		0.38		(0.39	)		(0.01	)		(0.39	)		(0.17	)		(0.56	)
Year Ended June 30, 2014		7.41		0.43		0.37			0.80			(0.43	)		(0.13	)		(0.56	)
Year Ended June 30, 2013		7.22		0.47		0.19			0.66			(0.47	)		—			(0.47	)
Year Ended June 30, 2012		7.39		0.52		(0.16	)		0.36			(0.53	)		—			(0.53	)
Year Ended June 30, 2011		6.73		0.57		0.66			1.23			(0.57	)		—			(0.57	)
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	7.08	$	0.18	$	(0.54	)	$	(0.36	)	$	(0.20	)	$	(0.03	)	$	(0.23	)
Year Ended June 30, 2015		7.65		0.38		(0.39	)		(0.01	)		(0.39	)		(0.17	)		(0.56	)
Year Ended June 30, 2014		7.40		0.41		0.40			0.81			(0.43	)		(0.13	)		(0.56	)
Year Ended June 30, 2013		7.22		0.47		0.18			0.65			(0.47	)		—			(0.47	)
Year Ended June 30, 2012		7.39		0.53		(0.17	)		0.36			(0.53	)		—			(0.53	)
Period Ended June 30, 2011(d)		6.74		0.53		0.69			1.22			(0.57	)		—			(0.57	)

(a) Not annualized for periods less than one year.

(b) Annualized for periods less than one year.

(c) Portfolio turnover is calculated on the basis of the Portfolio, as a whole, without distinguishing between the classes of shares issued.

(d) For the period July 6, 2010 (commencement of operations) through June 30, 2011.

See accompanying notes to financial statements.

198

						Ratios/Supplementary Data:
Net Asset Value, End of Period		Total Return(a)		Net Assets, at End of Period (in thousands)		Ratio of Expenses to Average Net Assets, Prior to Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Waivers(b)		Ratio of Net Investment Income/(Loss) to Average Net Assets(b)		Portfolio Turnover Rate(a)(c)
$	9.17		(8.18)%	$	2,568,970		0.36%		0.36%		0.36%		1.87%		18.01%
	10.58		(4.38)%		2,869,985		0.36%		0.36%		0.36%		2.69%		52.55%
	12.58		24.16%		3,001,838		0.40%		0.40%		0.40%		3.35%		64.38%
	10.87		19.86%		2,431,816		0.42%		0.42%		0.42%		2.93%		47.98%
	9.38		(9.40)%		1,990,173		0.55%		0.55%		0.55%		2.59%		68.64%
	10.97		32.24%		1,753,957		0.58%		0.58%		0.58%		2.30%		54.67%
$	9.16		(8.20)%	$	3,524		0.61%		0.36%		0.36%		1.87%		18.01%
	10.57		(4.38)%		4,108		0.61%		0.36%		0.36%		2.81%		52.55%
	12.57		24.07%		3,598		0.65%		0.40%		0.40%		3.27%		64.38%
	10.87		19.99%		3,385		0.63%		0.42%		0.42%		2.89%		47.98%
	9.37		(9.41)%		3,148		0.55%		0.55%		0.55%		2.68%		68.64%
	10.96		28.79%		2,399		0.83%		0.58%		0.58%		2.53%		54.67%
$	13.99		(18.43)%	$	1,759,544		0.58%		0.58%		0.58%		2.56%		16.52%
	17.58		(8.48)%		1,893,047		0.59%		0.59%		0.59%		2.32%		85.72%
	20.01		16.48%		1,813,476		0.73%		0.73%		0.73%		2.26%		75.84%
	17.51		(0.28)%		1,079,208		0.77%		0.77%		0.77%		2.27%		63.21%
	17.79		(17.81)%		719,013		0.98%		0.98%		0.98%		1.68%		52.27%
	22.42		28.05%		510,732		1.00%		1.00%		1.00%		1.21%		61.56%
$	13.98		(18.44)%	$	2,577		0.83%		0.58%		0.58%		2.47%		16.52%
	17.57		(8.49)%		3,017		0.84%		0.59%		0.59%		2.34%		85.72%
	20.00		16.42%		2,861		0.98%		0.73%		0.73%		2.25%		75.84%
	17.51		(0.28)%		1,778		0.95%		0.77%		0.77%		2.24%		63.21%
	17.79		(17.81)%		1,350		0.98%		0.98%		0.98%		1.68%		52.27%
	22.42		25.44%		966		1.25%		1.00%		1.00%		1.28%		61.56%
$	9.59		0.27%	$	86,350		0.26%		0.26%		0.26%		2.10%		29.71%
	9.78		1.16%		96,952		0.27%		0.27%		0.27%		1.90%		89.60%
	9.89		4.78%		99,718		0.25%		0.25%		0.25%		2.22%		75.17%
	9.73		(1.02)%		93,015		0.27%		0.26%		0.26%		2.09%		53.26%
	10.27		7.75%		94,895		0.30%		0.30%		0.30%		2.34%		64.20%
	10.14		3.36%		103,528		0.33%		0.33%		0.33%		2.30%		684.04%
$	9.58		0.27%	$	2,601		0.51%		0.26%		0.26%		2.10%		29.71%
	9.77		1.16%		2,796		0.52%		0.27%		0.27%		1.90%		89.60%
	9.88		4.68%		2,730		0.50%		0.25%		0.25%		2.22%		75.17%
	9.73		(0.92)%		2,341		0.45%		0.26%		0.26%		2.08%		53.26%
	10.26		7.76%		2,232		0.30%		0.30%		0.30%		2.36%		64.20%
	10.13		3.05%		2,659		0.58%		0.33%		0.33%		2.26%		684.04%
$	6.49		(5.13)%	$	782,241		0.38%		0.38%		0.38%		5.18%		36.20%
	7.08		0.06%		810,466		0.32%		0.32%		0.32%		5.27%		55.80%
	7.65		11.23%		804,070		0.30%		0.30%		0.30%		5.52%		82.94%
	7.41		9.17%		752,140		0.43%		0.43%		0.43%		6.33%		74.84%
	7.22		5.27%		585,953		0.53%		0.53%		0.53%		7.30%		104.25%
	7.39		18.78%		452,436		0.54%		0.54%		0.54%		7.84%		157.18%
$	6.49		(5.13)%	$	960		0.63%		0.63%		0.38%		5.18%		36.20%
	7.08		0.07%		1,094		0.57%		0.32%		0.32%		5.27%		55.80%
	7.65		11.39%		1,050		0.55%		0.30%		0.30%		5.52%		82.94%
	7.40		9.03%		914		0.64%		0.43%		0.43%		6.33%		74.84%
	7.22		5.27%		753		0.53%		0.53%		0.53%		7.33%		104.25%
	7.39		18.61%		824		0.79%		0.54%		0.54%		7.80%		157.18%

See accompanying notes to financial statements.

199

HC CAPITAL TRUST

Financial Highlights (concluded)

Selected data for a share outstanding throughout the periods indicated.

			Change in Net Assets Resulting From Operations:									Distributions to Shareholders:
	Net Asset Value, Beginning of Period		Net Investment Income/ (Loss)			Net Realized/ Unrealized Gains/ (Losses) from Investments			Total from Operations			Net Investment Income			Net Realized Gains from Investments			Tax Return of Capital
The U.S. Government Fixed Income Securities Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.02	$	0.07		$	—	(f)	$	0.07		$	(0.08	)	$	(0.10	)	$	—
Year Ended June 30, 2015		9.94		0.12			0.08			0.20			(0.12	)		—			—
Year Ended June 30, 2014		9.91		0.12			0.07			0.19			(0.13	)		(0.03	)		—
Year Ended June 30, 2013		10.48		0.12			(0.30	)		(0.18	)		(0.12	)		(0.27	)		—
Year Ended June 30, 2012		10.01		0.15			0.66			0.81			(0.15	)		(0.19	)		—
Period Ended June 30, 2011(d)		10.00		0.07			0.01			0.08			(0.07	)		—			—
The Inflation Protected Securities Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.02	$	0.05		$	(0.25	)	$	(0.20	)	$	(0.02	)	$	—		$	—
Year Ended June 30, 2015		10.25		(0.03	)		(0.14	)		(0.17	)		(0.03	)		(0.01	)		(0.02	)
Period Ended June 30, 2014(e)		10.00		0.11			0.24			0.35			(0.10	)		—			—
HC Advisors Shares
Six Months ended December 31, 2015 (Unaudited)	$	10.01	$	0.05		$	(0.25	)	$	(0.20	)	$	(0.02	)	$	—		$	—
Year Ended June 30, 2015		10.26		(0.04	)		(0.15	)		(0.19	)		(0.05	)		(0.01	)		—
Period Ended June 30, 2014(e)		10.00		0.12			0.24			0.36			(0.10	)		—			—
The U.S. Corporate Fixed Income Securities Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	9.88	$	0.13		$	(0.14	)	$	(0.01	)	$	(0.14	)	$	(0.20	)	$	—
Year Ended June 30, 2015		10.24		0.27			(0.27	)		—			(0.27	)		(0.09	)		—
Year Ended June 30, 2014		9.97		0.31			0.44			0.75			(0.32	)		(0.16	)		—
Year Ended June 30, 2013		10.59		0.35			(0.35	)		—	(f)		(0.34	)		(0.28	)		—
Year Ended June 30, 2012		9.96		0.26			0.81			1.07			(0.35	)		(0.09	)		—
Period Ended June 30, 2011(d)		10.00		0.18			(0.04	)		0.14			(0.18	)		—			—
The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	9.81	$	0.11		$	(0.03	)	$	0.08		$	(0.16	)	$	—		$	—
Year Ended June 30, 2015		9.87		0.19			—			0.19			(0.25	)		—			—
Year Ended June 30, 2014		9.78		0.21			0.18			0.39			(0.30	)		—			—
Year Ended June 30, 2013		10.22		0.20			(0.30	)		(0.10	)		(0.34	)		—			—
Year Ended June 30, 2012		10.13		0.25			0.24			0.49			(0.36	)		(0.04	)		—
Period Ended June 30, 2011(d)		10.00		0.10			0.13			0.23			(0.10	)		—			—
The Short-Term Municipal Bond Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	9.94	$	0.06		$	(0.01	)	$	0.05		$	(0.07	)	$	—	(f)	$	—
Year Ended June 30, 2015		10.04		0.12			(0.10	)		0.02			(0.12	)		—			—
Year Ended June 30, 2014		10.05		0.12			0.01			0.13			(0.12	)		(0.02	)		—
Year Ended June 30, 2013		10.26		0.13			(0.11	)		0.02			(0.13	)		(0.10	)		—
Year Ended June 30, 2012		10.24		0.20			0.04			0.24			(0.20	)		(0.02	)		—
Year Ended June 30, 2011		10.28		0.22			(0.03	)		0.19			(0.22	)		(0.01	)		—
The Intermediate Term Municipal Bond Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.06	$	0.11		$	0.06		$	0.17		$	(0.11	)	$	—		$	—
Year Ended June 30, 2015		10.11		0.21			(0.05	)		0.16			(0.21	)		—			—
Year Ended June 30, 2014		9.96		0.25			0.15			0.40			(0.25	)		—			—
Year Ended June 30, 2013		10.10		0.28			(0.14	)		0.14			(0.28	)		—			—
Year Ended June 30, 2012		9.64		0.33			0.46			0.79			(0.33	)		—			—
Year Ended June 30, 2011		9.59		0.34			0.05			0.39			(0.34	)		—			—
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.06	$	0.10		$	0.06		$	0.16		$	(0.10	)	$	—		$	—
Year Ended June 30, 2015		10.11		0.21			(0.05	)		0.16			(0.21	)		—			—
Year Ended June 30, 2014		9.96		0.25			0.15			0.40			(0.25	)		—			—
Year Ended June 30, 2013		10.10		0.26			(0.12	)		0.14			(0.28	)		—			—
Year Ended June 30, 2012		9.64		0.33			0.46			0.79			(0.33	)		—			—
Period Ended June 30, 2011(h)		9.61		0.32			0.05			0.37			(0.34	)		—			—
The Intermediate Term Municipal Bond II Portfolio
HC Strategic Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.31	$	0.10		$	0.10		$	0.20		$	(0.11	)	$	—	(f)	$	—
Year Ended June 30, 2015		10.41		0.19			(0.06	)		0.13			(0.19	)		(0.04	)		—
Year Ended June 30, 2014		10.28		0.22			0.16			0.38			(0.22	)		(0.03	)		—
Year Ended June 30, 2013		10.56		0.22			(0.25	)		(0.03	)		(0.22	)		(0.03	)		—
Year Ended June 30, 2012		10.10		0.23			0.47			0.70			(0.23	)		(0.01	)		—
Period Ended June 30, 2011(d)		10.00		0.17			0.10			0.27			(0.17	)		—			—
HC Advisors Shares
Six Months Ended December 31, 2015 (Unaudited)	$	10.31	$	0.10		$	0.11		$	0.21		$	(0.11	)	$	—	(f)	$	—
Year Ended June 30, 2015		10.41		0.19			(0.06	)		0.13			(0.19	)		(0.04	)		—
Year Ended June 30, 2014		10.29		0.22			0.15			0.37			(0.22	)		(0.03	)		—
Year Ended June 30, 2013		10.56		0.22			(0.24	)		(0.02	)		(0.22	)		(0.03	)		—
Year Ended June 30, 2012		10.10		0.23			0.47			0.70			(0.23	)		(0.01	)		—
Period Ended June 30, 2011(h)		10.11		0.14			(0.01	)		0.13			(0.14	)		—			—

See accompanying notes to financial statements.

200

Distributions to Shareholders:								Ratios/Supplementary Data:
Total Distributions to Shareholders		Net Asset Value, End of Period		Total Return(a)		Net Assets, at End of Period (in thousands)		Ratio of Expenses to Average Net Assets, Prior to Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Expenses Paid  Indirectly and Waivers(b)		Ratio of Expenses to Average Net Assets, Net of Waivers(b)		Ratio of Net Investment Income/(Loss) to Average Net Assets(b)		Portfolio Turnover Rate(a)(c)
$	(0.18)	$	9.91		0.63%	$	228,739		0.18%		0.18%		0.18%		1.42%		21.59%
	(0.12)		10.02		2.03%		262,998		0.17%		0.17%		0.17%		1.21%		99.54%
	(0.16)		9.94		1.91%		246,914		0.18%		0.18%		0.18%		1.29%		62.52%
	(0.39)		9.91		(1.75)%		265,390		0.18%		0.18%		0.18%		1.21%		41.62%
	(0.34)		10.48		8.10%		250,150		0.25%		0.25%		0.25%		1.40%		89.01%
	(0.07)		10.01		0.85%		291,810		0.26%		0.26%		0.26%		1.43%		73.52%
$	(0.02)	$	9.80		(2.01)%	$	486,066		0.17%		0.17%		0.17%		1.02%		9.44%
	(0.06)		10.02		(1.72)%		510,176		0.18%		0.18%		0.18%		(0.25)%		27.12%
	(0.10)		10.25		3.50%		526,458		0.15%		0.15%		0.15%		4.55%		18.56%
$	(0.02)	$	9.79		(2.01)%	$	1		0.42%		0.17%		0.17%		0.91%		9.44%
	(0.06)		10.01		(1.91)%		1		0.43%		0.18%		0.18%		(0.25)%		27.12%
	(0.10)		10.26		3.60%		1		0.40%		0.15%		0.15%		4.58%		18.56%
$	(0.34)	$	9.53		(0.15)%	$	269,033		0.21%		0.21%		0.21%		2.82%		21.74%
	(0.36)		9.88		(0.01)%		223,329		0.28%		0.28%		0.28%		2.60%		158.19%
	(0.48)		10.24		7.76%		257,604		0.33%		0.33%		0.33%		3.16%		130.81%
	(0.62)		9.97		(0.24)%		220,054		0.33%		0.33%		0.33%		3.26%		52.16%
	(0.44)		10.59		10.87%		207,893		0.35%		0.35%		0.35%		3.33%		56.04%
	(0.18)		9.96		1.44%		233,801		0.36%		0.36%		0.36%		3.48%		127.65%
$	(0.16)	$	9.73		0.77%	$	202,147		0.18%		0.18%		0.18%		2.15%		10.83%	(g)
	(0.25)		9.81		1.97%		252,028		0.17%		0.17%		0.17%		1.91%		29.92%	(g)
	(0.30)		9.87		4.04%		250,632		0.17%		0.17%		0.17%		2.12%		26.46%	(g)
	(0.34)		9.78		(1.05)%		253,548		0.23%		0.23%		0.23%		1.84%		34.20%	(g)
	(0.40)		10.22		4.95%		237,857		0.30%		0.30%		0.30%		2.49%		28.67%	(g)
	(0.10)		10.13		2.33%		278,160		0.31%		0.31%		0.31%		1.60%		10.64%	(g)
$	(0.07)	$	9.92		0.46%	$	20,741		0.28%		0.28%		0.28%		1.18%		15.91%
	(0.12)		9.94		0.19%		20,933		0.31%		0.31%		0.31%		1.18%		26.24%
	(0.14)		10.04		1.26%		21,703		0.29%		0.29%		0.29%		1.16%		25.15%
	(0.23)		10.05		0.21%		22,608		0.27%		0.27%		0.27%		1.27%		5.92%
	(0.22)		10.26		2.33%		25,718		0.27%		0.27%		0.27%		1.88%		22.24%
	(0.23)		10.24		1.92%		32,518		0.28%		0.28%		0.28%		2.17%		19.68%
$	(0.11)	$	10.12		1.74%	$	427,048		0.27%		0.27%		0.27%		2.10%		16.75%
	(0.21)		10.06		1.54%		420,423		0.24%		0.24%		0.24%		2.03%		25.67%
	(0.25)		10.11		4.10%		423,257		0.29%		0.29%		0.29%		2.49%		34.05%
	(0.28)		9.96		1.39%		419,846		0.29%		0.29%		0.29%		2.74%		59.43%
	(0.33)		10.10		8.29%		442,365		0.31%		0.31%		0.31%		3.24%		16.99%
	(0.34)		9.64		4.13%		493,229		0.33%		0.33%		0.33%		3.48%		21.78%
$	(0.10)	$	10.12		1.74%	$	1,896		0.52%		0.27%		0.27%		2.10%		16.75%
	(0.21)		10.06		1.54%		1,985		0.49%		0.24%		0.24%		2.03%		25.67%
	(0.25)		10.11		4.10%		2,490		0.54%		0.29%		0.29%		2.48%		34.05%
	(0.28)		9.96		1.39%		1,840		0.48%		0.29%		0.29%		2.70%		59.43%
	(0.33)		10.10		8.29%		1,056		0.31%		0.31%		0.31%		3.24%		16.99%
	(0.34)		9.64		3.92%		1,211		0.58%		0.33%		0.33%		3.50%		21.78%
$	(0.11)	$	10.40		1.97%	$	78,540		0.25%		0.25%		0.25%		2.00%		4.89%
	(0.23)		10.31		1.31%		77,102		0.25%		0.25%		0.25%		1.85%		21.51%
	(0.25)		10.41		3.76%		77,702		0.25%		0.25%		0.25%		2.12%		17.84%
	(0.25)		10.28		(0.37)%		73,472		0.25%		0.25%		0.25%		2.06%		3.76%
	(0.24)		10.56		6.97%		72,377		0.25%		0.25%		0.25%		2.17%		12.31%
	(0.17)		10.10		2.72%		72,294		0.32%		0.32%		0.32%		1.86%		2.81%
$	(0.11)	$	10.41		2.07%	$	551		0.50%		0.25%		0.25%		2.00%		4.89%
	(0.23)		10.31		1.31%		575		0.50%		0.25%		0.25%		1.85%		21.51%
	(0.25)		10.41		3.66%		724		0.50%		0.25%		0.25%		2.11%		17.84%
	(0.25)		10.29		(0.27)%		463		0.44%		0.25%		0.25%		2.06%		3.76%
	(0.24)		10.56		6.97%		277		0.25%		0.25%		0.25%		2.24%		12.31%
	(0.14)		10.10		1.54%		303		0.57%		0.32%		0.32%		1.99%		2.81%

See accompanying notes to financial statements.

201

HC CAPITAL TRUST

Financial Highlights (continued)

Selected data for a share outstanding throughout the periods indicated.

(a) Not annualized for periods less than one year.

(b) Annualized for periods less than one year.

(c) Portfolio turnover is calculated on the basis of the Portfolio, as a whole, without distinguishing between the classes of shares issued.

(d) For the period December 6, 2010 (commencement of operations) through June 30, 2011.

(e) For the period April 3, 2014 (commencement of operations) through June 30, 2014.

(f) Amount rounds to less than $0.005 per share.

(g) Portfolio Turnover does not include TBA security transactions.

(h) For the period July 6, 2010 (commencement of operations) through June 30, 2011.

See accompanying notes to financial statements.

202

HC CAPITAL TRUST

Notes to Financial Statements — December 31, 2015 (Unaudited)

1.    DESCRIPTION.    HC Capital Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management series investment company. The Trust is a Delaware statutory trust which was organized on December 15, 1994. As of December 31, 2015, the Trust offered twenty-one separate investment portfolios: The Value Equity Portfolio (“Value Portfolio”), The Institutional Value Equity Portfolio (“Institutional Value Portfolio”), The Growth Equity Portfolio (“Growth Portfolio”), The Institutional Growth Equity Portfolio (“Institutional Growth Portfolio”), The Small Capitalization-Mid Capitalization Equity Portfolio (“Small Cap-Mid Cap Portfolio”), The Institutional Small Capitalization-Mid Capitalization Equity Portfolio (“Institutional Small Cap-Mid Cap Portfolio”), The Real Estate Securities Portfolio (“Real Estate Portfolio”), The Commodity Returns Strategy Portfolio (“Commodity Portfolio”), The ESG Growth Portfolio (“ESG Growth Portfolio”), The International Equity Portfolio (“International Portfolio”), The Institutional International Equity Portfolio (“Institutional International Portfolio”), The Emerging Markets Portfolio (“Emerging Markets Portfolio”), The Core Fixed Income Portfolio (“Core Fixed Income Portfolio”), The Fixed Income Opportunity Portfolio (“Fixed Opportunity Portfolio”), The U.S. Government Fixed Income Securities Portfolio (“U.S. Government Fixed Income Portfolio”), The Inflation Protected Securities Portfolio (“Inflation Protected Portfolio”), The U.S. Corporate Fixed Income Securities Portfolio (“U.S. Corporate Fixed Income Portfolio”), The U.S. Mortgage/Asset Backed Fixed Income Securities Portfolio (“U.S. Mortgage/Asset Backed Fixed Income Portfolio”), The Short-Term Municipal Bond Portfolio (“Short-Term Municipal Portfolio”), The Intermediate Term Municipal Bond Portfolio (“Intermediate Municipal Portfolio”), and The Intermediate Term Municipal Bond II Portfolio (“Intermediate Municipal II Portfolio) (each a “Portfolio” and collectively the “Portfolios”).

Each Portfolio is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.001 each in two classes of shares: HC Advisors Shares and HC Strategic Shares. As of December 31, 2015, the HC Advisors Shares for U.S. Government Fixed Income Portfolio, U.S. Corporate Fixed Income Portfolio, U.S. Mortgage/Asset Backed Fixed Income Portfolio and Short-Term Municipal Portfolio had not yet commenced operations. Each class of shares for each of the Portfolios has identical rights and privileges except with respect to voting rights on matters affecting a single class of shares. The Trust’s investment adviser is HC Capital Solutions (the “Adviser”), an operating division of Hirtle Callaghan & Co., LLC.

All the Portfolios in the Trust, except the Real Estate Portfolio and the ESG Growth Portfolio, are diversified portfolios under the 1940 Act. The Real Estate Portfolio and the ESG Growth Portfolio are non-diversified portfolios, which means that they may concentrate their investments in the securities of a limited number of issuers.

As is customary, the Trust’s organizational documents permit the Trust to indemnify its officers and trustees against certain liabilities under certain circumstances. In addition, in the normal course of business, the Trust enters into contracts with its vendors and others that also permit the indemnification of parties to the contract under certain circumstances. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust.

2.    SIGNIFICANT ACCOUNTING POLICIES.    The following is a summary of the significant accounting policies followed by the Portfolios in the preparation of their financial statements. The Portfolios 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 policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The presentation of the Portfolios’ financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

A.    Portfolio Valuation.    The net asset value (“NAV”) per share of each Portfolio is determined at the close of regular trading on the New York Stock Exchange (“NYSE”), normally at 4:00 p.m. Eastern time, on days the NYSE is open. Each class’s NAV per share is calculated by adding the market value or fair value, as applicable, of all securities and other assets of the Portfolio, subtracting its liabilities and dividing the result by the number of its outstanding shares.

B.    Securities Valuation.    Security values are ordinarily obtained through the use of independent pricing services in accordance with procedures adopted by the Trust’s Board of Trustees (the “Board”). Pursuant to such procedures, the Portfolios may use a pricing service, bank, or broker-dealer experienced in such matters to value the Portfolio’s securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined

203

HC CAPITAL TRUST

Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

by a committee established by the Board in accordance with procedures adopted by the Board. The fair valuation process is designed to value the subject security at the price the Portfolio would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.

For disclosure purposes, the Trust has a three-tier fair value hierarchy that is dependent upon the observability of various “inputs” used to determine the value of the Portfolios’ investments. These inputs are summarized in the three broad levels listed below:

• Level 1  — quoted prices in active markets for identical assets

• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 — significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

Equity Securities (Common and Preferred Stock and Exchange-Traded Funds): Readily marketable portfolio securities listed on a national securities exchange or on NASDAQ are valued at the closing price on the exchange or at the NASDAQ Official Closing Price. If there have been no sales on such exchange, or on NASDAQ, the securities are valued at the closing bid price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy. Readily marketable securities traded only in the over-the-counter market and not on NASDAQ are valued at the closing price and are typically categorized as Level 1 in the fair value hierarchy, or, if there have been no sales, are valued at the mean of the last reported bid and asked prices and are typically categorized as Level 2 in the fair value hierarchy.

Securities listed on a foreign exchange are valued at the closing price on that exchange provided that where the prices of such securities are denominated in foreign currencies, such prices are converted into U.S. dollars at the bid price of such currencies against U.S. dollars at the time of the NAV calculation. If there have been no sales on such exchange, the security is valued at the closing bid price. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy. Fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the NAV is calculated. Such securities may be valued at fair value in accordance with procedures adopted by the Board. Management identifies possible fluctuations in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, a Portfolio may use a systematic valuation model provided by an independent third party to fair value its international securities. Such systematic valuations are typically categorized as Level 2 in the fair value hierarchy.

Mutual Funds:    Mutual funds are valued at their respective daily net asset value and are typically categorized as Level 1 in the fair value hierarchy.

Fixed Income Securities (Corporate, Municipal and Foreign Bonds, U.S. Government and Agency Securities and Inflation Indexed Bonds):    Fixed income securities are valued using various inputs including benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and industry and market events, and are typically categorized as Level 2 in the fair value hierarchy.

Asset Backed and Mortgage Backed Securities:    In addition to the inputs discussed above for fixed income securities, asset backed and mortgage backed securities are valued using new issue data, monthly payment information and collateral performance and are typically categorized as Level 2 in the fair value hierarchy.

Short-Term Obligations:    Short-term obligations with maturities of 60 days or less may also be valued at amortized cost, which constitutes fair value as determined by the Board. Such securities are typically categorized as Level 2 in the fair value hierarchy.

Derivative Instruments (Futures, Options, Swaps and Forward Currency Contracts):    Swaps are valued using interdealer broker rates, benchmark yields, and swap details and are typically categorized as Level 2 in the fair value

204

HC CAPITAL TRUST

Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

hierarchy. Exchange traded futures, swaps and options are valued using quoted prices from the exchange and are typically categorized as Level 1 in the fair value hierarchy. Interest rate swaptions are valued using future interest rate volatility, yield curve, and strike price and are typically categorized as Level 2 in the fair value hierarchy. Forward currency contracts are valued using market quotes posted by major currency dealers and are typically categorized as Level 2 in the fair value hierarchy.

The following is a summary of the inputs used to value the following Portfolios’ securities as of December 31, 2015 (amounts in thousands). The breakdown of investment categorization is disclosed in the Schedule of Portfolio Investments for each Portfolio.

Portfolio	LEVEL 1 – Quoted Prices			LEVEL 2 – Other Significant Observable Inputs		LEVEL 3 – Significant Unobservable Inputs		Total
Value Portfolio
Common Stocks	$	490,655		$	400	$	—	$	491,055
Contingent Rights		—			12		—		12
Time Deposit		—			1,093		—		1,093
Mutual Funds		72,967			—		—		72,967
Repurchase Agreement		—			2,128		—		2,128
Total Investments	$	563,622		$	3,633	$	—	$	567,255
Other Financial Instruments1
Futures	$	(50	)	$	—	$	—	$	(50	)
Institutional Value Portfolio
Common Stocks	$	718,714		$	584	$	—	$	719,298
Contingent Rights		—			20		—		20
Time Deposit		—			1,519		—		1,519
Mutual Funds		146,671			—		—		146,671
Repurchase Agreement		—			6,183		—		6,183
Total Investments	$	865,385		$	8,306	$	—	$	873,691
Other Financial Instruments1
Futures	$	(143	)	$	—	$	—	$	(143	)
Growth Portfolio
Common Stocks	$	656,490		$	—	$	—	$	656,490
Time Deposit		—			13,876		—		13,876
Mutual Funds		112,440			—		—		112,440
Repurchase Agreement		—			1,333		—		1,333
Total Investments	$	768,930		$	15,209	$	—	$	784,139
Other Financial Instruments1
Futures	$	(258	)	$	—	$	—	$	(258	)
Institutional Growth Portfolio
Common Stocks	$	1,055,881		$	—	$	—	$	1,055,881
Time Deposit		—			17,197		—		17,197
Mutual Funds		193,452			—		—		193,452
Repurchase Agreement		—			1,663		—		1,663
Total Investments	$	1,249,333		$	18,860	$	—	$	1,268,193
Other Financial Instruments1
Futures	$	(60	)	$	—	$	—	$	(60	)

205

HC CAPITAL TRUST

Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

Portfolio	LEVEL 1 – Quoted Prices		LEVEL 2 – Other Significant Observable Inputs		LEVEL 3 – Significant Unobservable Inputs		Total
Small Cap–Mid Cap Portfolio
Common Stocks	$	84,802	$	—	$	—	$	84,802
Contingent Rights		—		—		—		—
Warrant		—		—		—		—
Time Deposit		—		3,108		—		3,108
Mutual Funds		10,971		—		—		10,971
Repurchase Agreement		—		437		—		437
Total Investments	$	95,773	$	3,545	$	—	$	99,318
Other Financial Instruments1
Futures	$	74	$	—	$	—	$	74
Institutional Small Cap–Mid Cap Portfolio
Common Stocks	$	154,508	$	—	$	—	$	154,508
Contingent Rights		—		—		—		—
Time Deposit		—		5,754		—		5,754
Mutual Funds		26,493		—		—		26,493
Repurchase Agreement		—		2,311		—		2,311
Total Investments	$	181,001	$	8,065	$	—	$	189,066
Other Financial Instruments1
Futures	$	230	$	—	$	—	$	230
Real Estate Portfolio
Common Stocks	$	124,134	$	2,348	$	—	$	126,482
Mutual Funds		13,175		—		—		13,175
Total Investments	$	137,309	$	2,348	$	—	$	139,657
Other Financial Instruments1
Futures	$	63	$	—	$	—	$	63
Commodity Portfolio
Common Stocks	$	365,907	$	293,917	$	—	$	659,824
Preferred Stocks		2,347		1,207		—		3,554
Corporate Bonds		—		4,521		—		4,521
Asset Backed Securities		—		2,966		—		2,966
Collateralized Mortgage Obligations		—		3,218		—		3,218
Certificate of Deposit		—		1,401		—		1,401
Global Bonds		—		3,902		—		3,902
U.S. Government Agency Securities		—		4,799		—		4,799
U.S. Government Agency Mortgage		—		6,188		—		6,188
U.S. Treasury Obligations		—		20,563		—		20,563
Yankee Dollars		—		10,649		—		10,649
Time Deposit		—		4,382		—		4,382
Mutual Funds		212,575		—		—		212,575
Purchased Options		—		53		—		53
Repurchase Agreements		—		54,807		—		54,807
Total Investments	$	580,829	$	412,573	$	—	$	993,402

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Portfolio	LEVEL 1 – Quoted Prices			LEVEL 2 – Other Significant Observable Inputs			LEVEL 3 – Significant Unobservable Inputs		Total
Commodity Portfolio (continued)
Other Financial Instruments1
Futures	$	(2,383	)	$	—		$	—	$	(2,383	)
Forward Currency Contracts		—			275			—		275
Written Options & Swaptions		(147	)		(21	)		—		(168	)
Total Return Swap Agreements		—			5			—		5
Interest Rate Swap Agreements		—			60			—		60
Commodity Forward Swap Agreements		—			(165	)		—		(165	)
Commodity Swap Agreements		—			522			—		522
Variance Swap Agreements		—			40			—		40
ESG Growth Portfolio
Common Stocks	$	57,216		$	62,947		$	—	$	120,163
Preferred Stock		—			62			—		62
Right		—			—			—		—
Mutual Fund		176			—			—		176
Total Investments	$	57,392		$	63,009		$	—	$	120,401
International Portfolio
Common Stocks	$	33,499		$	890,901		$	—	$	924,400
Preferred Stocks		—			10,328			—		10,328
Contingent Right		1			—			—		1
Time Deposit		—			11,116			—		11,116
Mutual Funds		277,044			—			—		277,044
Repurchase Agreement		—			4,680			—		4,680
Total Investments	$	310,544		$	917,025		$	—	$	1,227,569
Other Financial Instruments1
Futures	$	(2,913	)	$	—		$	—	$	(2,913	)
Institutional International Portfolio
Common Stocks	$	81,984		$	2,316,030		$	—	$	2,398,014
Preferred Stocks		1,622			20,126			—		21,748
Rights		4			—			—		4
Contingent Right		1			—			—		1
U.S. Treasury Obligation		—			45			—		45
Time Deposit		—			18,425			—		18,425
Mutual Funds		120,805			—			—		120,805
Repurchase Agreement		—			11,859			—		11,859
Total Investments	$	204,416		$	2,366,485		$	—	$	2,570,901
Other Financial Instruments1
Futures	$	1,514		$	—		$	—	$	1,514
Emerging Markets Portfolio
Common Stocks	$	224,237		$	1,133,532		$	—	$	1,357,769
Preferred Stocks		17,803			16,527			—		34,330
Time Deposit		—			9,313			—		9,313
Mutual Funds		314,472			—			—		314,472
Repurchase Agreement		—			23,798			—		23,798
Total Investments	$	556,512		$	1,183,170		$	—	$	1,739,682
Other Financial Instruments1
Futures	$	2,447		$	—		$	—	$	2,447

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Portfolio	LEVEL 1 – Quoted Prices		LEVEL 2 – Other Significant Observable Inputs			LEVEL 3 – Significant Unobservable Inputs		Total
Core Fixed Income Portfolio
Asset Backed Securities	$	—	$	424		$	—	$	424
Collateralized Mortgage Obligations		—		1,615			—		1,615
U.S. Government Agency Mortgages		—		24,365			—		24,365
U.S. Government Agency Securities		—		1,388			—		1,388
Corporate Bonds		—		30,988			—		30,988
U.S. Treasury Obligations		—		18,208			—		18,208
Yankee Dollars		—		5,641			—		5,641
Time Deposit		—		53			—		53
Mutual Funds		7,576		—			—		7,576
Total Investments	$	7,576	$	82,682		$	—	$	90,258
TBA Sale Commitments	$	—	$	(1,274	)	$	—	$	(1,274	)
Fixed Opportunity Portfolio
Asset Backed Security	$	—	$	5,090		$	—	$	5,090
Collateralized Mortgage Obligations		—		127,901			—		127,901
U.S. Government Agency Mortgage		—		3,626			—		3,626
Corporate Bonds		—		401,863			—		401,863
Yankee Dollars		—		91,633			—		91,633
Preferred Stock		179		—			—		179
Time Deposit		—		8,915			—		8,915
Mutual Funds		128,730		—			—		128,730
Repurchase Agreement		—		8,400			—		8,400
Total Investments	$	128,909	$	647,428		$	—	$	776,337
Other Financial Instruments1
Futures	$	131	$	—		$	—	$	132
Forward Currency Contracts		—		168			—		168
U.S. Government Fixed Income Portfolio
U.S. Government Agency Securities	$	—	$	13,617		$	—	$	13,617
Corporate Bond		—		270			—		270
U.S. Treasury Obligations		—		187,732			—		187,732
Yankee Dollar		—		138			—		138
Mutual Fund		26,068		—			—		26,068
Total Investments	$	26,068	$	201,757		$	—	$	227,825
Inflation Protected Portfolio
U.S. Treasury Obligations	$	—	$	458,624		$	—	$	458,624
Mutual Fund		25,972		—			—		25,972
Total Investments	$	25,972	$	458,624		$	—	$	484,596
U.S. Corporate Fixed Income Portfolio
Corporate Bonds	$	—	$	214,307		$	—	$	214,307
Yankee Dollars		—		38,476			—		38,476
Mutual Funds		13,703		—			—		13,703
Total Investments	$	13,703	$	252,783		$	—	$	266,486

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Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

Portfolio	LEVEL 1 – Quoted Prices		LEVEL 2 – Other Significant Observable Inputs			LEVEL 3 – Significant Unobservable Inputs		Total
U.S. Mortgage/Asset Backed Fixed Income Portfolio
Asset Backed Securities	$	—	$	3,544		$	—	$	3,544
Collateralized Mortgage Obligations		—		11,307			—		11,307
U.S. Government Agency Mortgages		—		177,890			—		177,890
Yankee Dollars		—		644			—		644
Mutual Fund		16,806		—			—		16,806
Total Investments	$	16,806	$	193,385		$	—	$	210,191
TBA Sale Commitments	$	—	$	(4,548	)	$	—	$	(4,548	)
Short-Term Municipal Portfolio
Municipal Bonds	$	—	$	20,337		$	—	$	20,337
Mutual Fund		786		—			—		786
Total Investments	$	786	$	20,337		$	—	$	21,123
Intermediate Municipal Portfolio
Municipal Bonds	$	—	$	396,721		$	—	$	396,721
Corporate Bond		—		—			—		—
Time Deposit		—		7,006			—		7,006
Mutual Fund		20,553		—			—		20,553
Total Investments	$	20,553	$	403,727		$	—	$	424,280
Intermediate Municipal II Portfolio
Municipal Bonds	$	—	$	73,421		$	—	$	73,421
Mutual Fund		4,753		—			—		4,753
Total Investments	$	4,753	$	73,421		$	—	$	78,174

¹  Other Financial Instruments are derivative instruments not reflected in the total investments, such as futures and currency contracts, which are valued at the unrealized appreciation/(depreciation) on the instrument and written options and swap agreements, which are valued at fair value.

The Trust’s policy is to disclose transfers between fair value hierarchy levels based on valuations at the end of the reporting period. There were no transfers from Level 2 to Level 1 as of December 31, 2015.

There were however, transfers from Level 1 to Level 2 as of December 31, 2015. On December 31, 2015, the Portfolios shown below systematically fair valued foreign securities trading on foreign stock exchanges that close before U.S. stock exchanges (amounts in thousands). The Portfolios did not systematically fair value on June 30, 2015.

	Transfers from Level 1 to Level 2
Real Estate Portfolio
Common Stocks	$	2,348
Commodity Portfolio
Common Stocks		273,265
International Portfolio
Common Stocks		835,780
Institutional International Portfolio
Common Stocks		2,111,665
Emerging Markets Portfolio
Common Stocks		1,127,931

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Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

C.    Securities Transactions and Investment Income.    For financial reporting purposes, portfolio securities transactions are reported on trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. Dividend income is recognized on the ex-dividend date and foreign dividends are recognized as soon as reliable information is available from the Portfolio’s sources. Interest income, including amortization of premium and accretion of discount on investments, is accrued daily, as earned. Realized gains and losses from securities transactions are determined by comparing the identified cost of the security lot sold to the net sales proceeds. Realized gains and losses from principal payment transactions on mortgage backed and asset backed securities are classified as investment income or loss for financial reporting purposes.

For certain securities, including real estate investment trusts, the Portfolio records distributions received in excess of income as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available. Actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio records adjustments to the estimated amounts of the components of distributions to investment income, unrealized appreciation/depreciation and realized gain/loss on investments as necessary, once the issuers provide information about the actual composition of the distributions.

D.    Restricted Securities.    A restricted security is a security that cannot be offered for public sale without prior registration under the Securities Act of 1933 (the “1933 Act”) (absent an exemption). Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board. Not all restricted securities are considered illiquid. At December 31, 2015, all restricted securities were deemed liquid.

E.    Allocations.    Expenses directly attributable to a Portfolio are charged to that Portfolio. Class specific expenses, if any, are borne by that class. Other expenses are allocated proportionately among the Portfolios in relation to the net assets of each Portfolio or by another appropriate method. Income, non-class specific expenses and realized and unrealized gains and losses are allocated to the respective classes based on relative net assets.

F.    Dividends and Capital Gain Distributions to Shareholders.    The Core Fixed Income Portfolio, U.S. Government Fixed Income Portfolio, Inflation Protected Portfolio, U.S. Corporate Fixed Income Portfolio, U.S. Mortgage/Asset Backed Fixed Income Portfolio, Short-Term Municipal Portfolio, Intermediate Municipal Portfolio and Intermediate Municipal II Portfolio declare and distribute dividends from net investment income, if any, on a monthly basis. The Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, Commodity Portfolio and Fixed Opportunity Portfolio declare and distribute dividends from net investment income, if any, on a quarterly basis. The ESG Growth Portfolio, International Portfolio and Institutional International Portfolio declare and distribute dividends from net investment income, if any, on a semiannual basis. The Emerging Markets Portfolio declares and distributes dividends from net investment income, if any, on an annual basis. Net realized capital gains, if any, are declared and distributed at least annually by each Portfolio.

G.    Repurchase Agreements.    Among the instruments that each of the Portfolios may use for temporary investment purposes are repurchase agreements. Under the terms of a typical repurchase agreement, a Portfolio would acquire an underlying debt security for a relatively short period (usually not more than one week), subject to an obligation of the seller to repurchase that security and the obligation of the Portfolio to resell that security at an agreed-upon price and date. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Portfolio’s ability to dispose of the underlying securities. The creditworthiness of those banks and non-bank dealers with which the Portfolios may enter into repurchase agreements are monitored in accordance with guidelines adopted by the Board, as is the market value of the securities underlying any repurchase agreement to ensure that the repurchase obligation of the seller is collateralized by an amount at least equal to the repurchase price including accrued interest. All repurchase agreements are fully collateralized by cash and/or government securities (as defined in the 1940 Act). If approved by the Adviser, repurchase agreements may also be fully collateralized by other securities that, at the time the repurchase agreement is entered into, are determined by the Board, or its authorized delegate, to be (i) issued by an issuer that has an exceptionally strong capacity to meet its obligations on the collateral, and (ii) sufficiently liquid that they can be sold by the Trust at approximately their carrying value in the ordinary course of business within seven calendar days. Master Repurchase Agreements (“MRA”) permit the Portfolios, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset receivables under the MRA with collateral posted by the counterparty and create one net payment due to or from the Portfolios. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Portfolios receive securities as collateral with a market value in excess of the repurchase price to be received by the Portfolios upon the

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Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Portfolios would recognize a liability with respect to such excess collateral to reflect the Portfolio’s obligation under bankruptcy law to return the excess to the counterparty.

The following table is a summary of each Portfolio’s open repurchase agreements which are subject to offset under an MRA on a net basis as of December 31, 2015:

Portfolio	Value of Repurchase Agreements (000)		Value of Collateral Received (000)		Net Amount (000)
Commodity Portfolio	$	42,600	$	42,600	$	—

H.    TBA Purchase and Sale Commitments.    Certain of the Portfolios may enter into “TBA” (to be announced) commitments to purchase or sell securities for a fixed price at a future date, typically not to exceed 45 days. TBA commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described under “Securities Valuation” above.

I.    Commission Recapture.    Certain of the Portfolios participate in a commission recapture program. These Portfolios will utilize the recaptured commissions to pay for, in whole or in part, certain expenses of the Portfolios, excluding investment advisory and distribution fees. The expenses eligible to be paid will include, but are not limited to, administration fees, audit fees, custodian fees, legal fees and printing expenses, as directed by the Trust. These amounts are disclosed as “Expenses paid indirectly” on the Statements of Operations.

For the period ending December 31, 2015, the following commissions were recaptured (amounts in thousands):

Portfolio	Commissions Recaptured
Value Portfolio	$	31
Institutional Value Portfolio		48
Growth Portfolio		5
Institutional Growth Portfolio		8
Small Cap–Mid Cap Portfolio		4
Institutional Small Cap–Mid Cap Portfolio		7
Real Estate Portfolio		1
Commodity Portfolio		3
International Portfolio		18
Institutional International Portfolio		4
Emerging Markets Portfolio		6

J.    Foreign Exchange Transactions.    The books and records of the Portfolios are maintained in U.S. dollars. Non-U.S. dollar denominated amounts are translated into U.S. dollars as follows, with the resultant exchange gains and losses recorded in the Statements of Operations:

i) value of investment securities and other assets and liabilities at the exchange rate on the valuation date; and

ii) purchases and sales of investment securities and income and expenses at the exchange rate prevailing on the respective date of such transactions.

The Portfolios do not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments.

Dividends and interest from non-U.S. sources received by a Portfolio are generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties, and each Portfolio intends to, if reasonable, undertake any procedural steps required to claim the benefits of such treaties. If the value of more than 50% of a Portfolio’s total assets at the close of any taxable year consists of stock or securities of non-U.S. corporations, the Portfolio may elect to treat any non-U.S. taxes paid by it as paid by its shareholders.

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The Portfolios may be subject to foreign taxes on gains in investments or currency repatriation. The Portfolios accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

K.    Derivative Instruments.    Certain of the Portfolios may invest in various financial instruments including positions in forward currency contracts, financial futures contracts, options contracts and swap agreements.

The following is a summary of the fair value of derivative instruments held by the Portfolios as of December 31, 2015 (amounts in thousands).

	Assets
Portfolio	Unrealized appreciation on futures contracts*		Investments, at value for purchased options		Investments, at value for written options		Unrealized appreciation on forward currency contracts		Swap agreements, at value*
Equity Risk Exposure:
Value Portfolio	$	48	$	—	$	—	$	—	$	—
Institutional Value Portfolio		75		—		—		—		—
Growth Portfolio		174		—		—		—		—
Institutional Growth Portfolio		330		—		—		—		—
Small Cap-Mid Cap Portfolio		74		—		—		—		—
Institutional Small Cap-Mid Cap Portfolio		230		—		—		—		—
Real Estate Portfolio		63		—		—		—		—
Institutional International Portfolio		1,514		—		—		—		—
Emerging Markets Portfolio		2,447		—		—		—		—
Foreign Exchange Rate Risk Exposure:
Commodity Portfolio		—		—		—		873		—
Fixed Opportunity Portfolio		—		—		—		172		—
Commodity Risk Exposure:
Commodity Portfolio		1,605		52		—		—		652
Interest Rate Risk Exposure:
Commodity Portfolio		28		—		—		—		273
Fixed Opportunity Portfolio		153		—		—		—		—
	Liabilities
Portfolio	Net unrealized deprecation on futures contracts*		Purchased options, at fair value		Written options, at fair value		Unrealized depreciation on forward currency contracts		Swap agreements, at value*
Equity Risk Exposure:
Value Portfolio	$	98	$	—	$	—	$	—	$	—
Institutional Value Portfolio		218		—		—		—		—
Growth Portfolio		432		—		—		—		—
Institutional Growth Portfolio		390		—		—		—		—
Commodity Portfolio		989		—		—		—		—
International Portfolio		2,913		—		—		—		—	��
Foreign Exchange Rate Risk Exposure:
Commodity Portfolio		400		—		—		598		—
Fixed Opportunity Portfolio		7		—		—		3		—
Commodity Risk Exposure:
Commodity Portfolio		2,606		—		152		—		248
Interest Rate Risk Exposure:
Commodity Portfolio		21		—		16		—		215
Fixed Opportunity Portfolio		15		—		—		—		—

* Total fair value is presented by Primary Risk Exposure. For forward currency contracts, such amounts represent the appreciation (for asset derivatives) or depreciation (for liability derivatives). For futures contracts and centrally cleared swaps, the amounts represent their cumulative appreciation/depreciation.

Amounts designated as “—” are $0 or have been rounded to $0.

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Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

The following is a summary of the effect of derivative instruments on the Statements of Operations for the period ending December 31, 2015 (amounts in thousands).

Portfolio		Net realized gains/(losses) from futures transactions			Net realized gains/(losses) from written options transactions			Net realized gains/(losses) from purchased options transactions		Net realized gains/(losses) from foreign currency transactions			Net realized gains/(losses) from swap transactions
Equity Risk Exposure:
Value Portfolio		$	3,962		$	—		$	—	$	—		$	—
Institutional Value Portfolio			7,290			—			—		—			—
Growth Portfolio			2,639			—			—		—			—
Institutional Growth Portfolio			7,070			—			—		—			—
Small Cap-Mid Cap Portfolio			838			—			—		—			—
Institutional Small Cap-Mid Cap Portfolio			1,617			—			—		—			—
Real Estate Portfolio			310			—			—		—			—
Commodity Portfolio			(662	)		66			—		—			—
International Portfolio			(2,635	)		—			—		—			—
Institutional International Portfolio			(4,515	)		—			—		—			—
Emerging Markets Portfolio			(16,871	)		—			—		—			—
Fixed Opportunity Portfolio			1,659			—			—		—			—
Foreign Exchange Rate Risk Exposure:
Commodity Portfolio			(1,014	)		(229	)		—		74			—
ESG Growth Portfolio			—			—			—		(144	)		—
International Portfolio			1,648			—			—		(648	)		—
Institutional International Portfolio			—			—			—		(829	)		—
Fixed Opportunity Portfolio	��		140			—			—		(256	)		—
Commodity Risk Exposure:
Commodity Portfolio			(45,916	)		—			—		—			(35,009	)
Interest Rate Risk Exposure:
Commodity Portfolio			(139	)		150			—		—			(492	)
International Portfolio			(992	)		—			—		—			—
Institutional International Portfolio			832			—			—		—			—
Fixed Opportunity Portfolio			98			—			—		—			—
		Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations
Portfolio		Change in unrealized appreciation/ (depreciation) on futures			Change in unrealized appreciation/ (depreciation) on written options			Change in unrealized appreciation/ (depreciation) on purchased options		Change in unrealized appreciation/ (depreciation) on foreign currency translations			Change in unrealized appreciation/ (depreciation) on swaps
Equity Risk Exposure:
Value Portfolio		$	355		$	—		$	—	$	—		$	—
Institutional Value Portfolio			263			—			—		—			—
Growth Portfolio			1,180			—			—		—			—
Institutional Growth Portfolio			1,765			—			—		—			—
Small Cap-Mid Cap Portfolio			38			—			—		—			—
Institutional Small Cap-Mid Cap Portfolio			166			—			—		—			—
Real Estate Portfolio			133			—			—		—			—
Commodity Portfolio			(520	)		—			—		—			—
International Portfolio			(2,958	)		—			—		—			—
Institutional International Portfolio			1,455			—			—		—			—
Emerging Markets Portfolio			2,388			—			—		—			—
Fixed Opportunity Portfolio			60			—			—		—			—

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Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

	Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations
Portfolio	Change in unrealized appreciation/ (depreciation) on futures			Change in unrealized appreciation/ (depreciation) on written options		Change in unrealized appreciation/ (depreciation) on purchased options			Change in unrealized appreciation/ (depreciation) on foreign currency translations		Change in unrealized appreciation/ (depreciation) on swaps
Foreign Exchange Rate Risk Exposure:
Commodity Portfolio	$	(229	)	$	—	$	—		$	505	$	—
Fixed Opportunity Portfolio		—			—		—			332		—
Commodity Risk Exposure:
Commodity Portfolio		4,658			4		64			—		(4,382	)
Interest Rate Risk Exposure:
Institutional Growth Portfolio		279			—		—			—		—
Commodity Portfolio		(18	)		36		(5	)		—		(443	)
Fixed Opportunity Portfolio		73			—		—			—		—

Amounts designated as “—” are $0 or have been rounded to $0.

The Trust is generally subject to master netting agreements (“MNA”) that allow for amounts owed between the Portfolio and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the counterparty. The MNA do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable MNA. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Portfolio’s ability to transact net amounts with counterparties at December 31, 2015.

As of December 31, 2015 each Portfolio’s derivative assets and liabilities by type are as follows (amounts in thousands):

	Value Portfolio						Institutional Value Portfolio						Growth Portfolio						Institutional Growth Portfolio
	Assets			Liabilities			Assets			Liabilities			Assets			Liabilities			Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	48		$	98		$	75		$	218		$	174		$	432		$	330		$	390
Total derivative assets and liabilities in the Statement of Assets and Liabilities		48			98			75			218			174			432			330			390
Derivatives not subject to a MNA or similar agreement		(48	)		(98	)		(75	)		(218	)		(174	)		(432	)		(330	)		(390	)
Total assets and liabilities subject to a MNA	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—

	Small Cap-Mid Cap Portfolio					Institutional Small Cap-Mid Cap Portfolio					Real Estate Portfolio					Commodity Portfolio
	Assets			Liabilities		Assets			Liabilities		Assets			Liabilities		Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	74		$	—	$	230		$	—	$	63		$	—	$	1,633		$	4,016
Forward currency contracts		—			—		—			—		—			—		873			598
Option contracts*		—			—		—			—		—			—		52			168
Swap agreements		—			—		—			—		—			—		925			463
Total derivative assets and liabilities in the Statement of Assets and Liabilities		74			—		230			—		63			—		3,483			5,245
Derivatives not subject to a MNA or similar agreement		(74	)		—		(230	)		—		(63	)		—		(1,852	)		(4,297	)
Total assets and liabilities subject to a MNA	$	—		$	—	$	—		$	—	$	—		$	—	$	1,631		$	948

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	International Portfolio					Institutional International Portfolio					Emerging Markets Portfolio					Fixed Opportunity Portfolio
	Assets		Liabilities			Assets			Liabilities		Assets			Liabilities		Assets			Liabilities
Derivative Financial Instruments:
Futures contracts	$	—	$	2,913		$	1,514		$	—	$	2,447		$	—	$	153		$	22
Forward currency contracts		—		—			—			—		—			—		171			3
Total derivative assets and liabilities in the Statement of Assets and Liabilities		—		2,913			1,514			—		2,447			—		324			25
Derivatives not subject to a MNA or similar agreement		—		(2,913	)		(1,514	)		—		(2,447	)		—		(153	)		(22	)
Total assets and liabilities subject to a MNA	$	—	$	—		$	—		$	—	$	—		$	—	$	171		$	3

* Includes option contracts purchased at value as reported in the Statement of Assets and Liabilities.

The following table represents the Portfolios’ derivative assets by counterparty, net of amounts available for offset under an MNA and net of the related collateral received by each Portfolio as of December 31, 2015 (amounts in thousands).

Counterparty	Derivative Assets Subject to a MNA by Counterparty		Derivatives Available for Offset			Non-cash Collateral Received (a)		Cash Collateral Received (a)			Net Amount of Derivative Assets
Commodity Portfolio:
Barclays Bank	$	6	$	(6	)	$	—	$	—		$	—
BNP Paribas		71		(71	)		—		—			—
Canadian Imperial Bank of Commerce		30		(1	)		—		—			29
Credit Suisse		9		(2	)		—		—			7
Deutsche Bank		100		(100	)		—		—			—
Goldman Sachs		355		(303	)		—		(30	)		22
JPMorgan Chase		1,047		(83	)		—		(309	)		655
Macquarie		9		—			—		—			9
Standard Chartered		4		—			—		—			4
Total	$	1,631	$	(566	)	$	—	$	(339	)	$	726
Fixed Opportunity Portfolio:
Citibank	$	171	$	(3	)	$	—	$	—		$	168
Total	$	171	$	(3	)	$	—	$	—		$	168

The following table represents the Portfolios’ derivative liabilities by counterparty, net of amounts available for offset under an MNA and net of the related collateral pledged by each Portfolio as of December 31, 2015 (amounts in thousands).

Counterparty	Derivative Liabilities Subject to a MNA by Counterparty		Derivatives Available for Offset			Non-cash Collateral Pledged (a)			Cash Collateral Pledged (a)			Net Amount of Derivative Liabilities
Commodity Portfolio:
Barclays Bank	$	31	$	(6	)	$	—		$	—		$	25
BNP Paribas		88		(71	)		—			—			17
Canadian Imperial Bank of Commerce		1		(1	)		—			—			—
Credit Suisse		2		(2	)		—			—			—
Deutsche Bank		256		(100	)		(48	)		—			108
Goldman Sachs		480		(325	)		—			(155	)		—

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Counterparty	Derivative Liabilities Subject to a MNA by Counterparty		Derivatives Available for Offset			Non-cash Collateral Pledged (a)			Cash Collateral Pledged (a)			Net Amount of Derivative Liabilities
Commodity Portfolio (continued):
HSBC	$	7	$	—		$	—		$	—		$	7
JPMorgan Chase		83		(83	)		—			—			—
Total	$	948	$	(588	)	$	(48	)	$	(155	)	$	157
Fixed Opportunity Portfolio:
Citibank	$	3	$	(3	)	$	—		$	—		$	—
Total	$	3	$	(3	)	$	—		$	—		$	—

(a) The actual collateral received or pledged may be in excess of the amounts shown in the tables. The tables only reflect collateral amounts up to the amount of the financial instruments disclosed on the Statements of Assets and Liabilities.

Forward Currency Contracts: Certain of the Portfolios may be subject to currency exchange rate risk in the normal course of pursuing their investment objectives. A Portfolio enters into forward currency contracts (“forward contracts”) for the purpose of hedging exposure to changes in foreign currency exchange rates on its holdings. A forward contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The value of the forward contract fluctuates with changes in currency exchange rates. The forward contract is marked-to-market daily and the change in value is recorded by the Portfolio as unrealized appreciation or depreciation. When the forward contract is closed, the Portfolio records a realized gain or loss equal to the fluctuation in value during the period the forward contract was open. The Portfolio could be exposed to credit risk if the counterparty is unable to meet the terms of a forward contract, or market risk if the value of the currency changes unfavorably.

Forward contracts may involve credit or market risk in excess of the amounts reflected on the Portfolio’s Statement of Assets and Liabilities. The gain or loss from the difference between the cost of original contracts and the amount realized upon the closing of such forward contracts is included in net realized gains or losses on foreign currency transactions. Fluctuations in the value of forward contracts held at December 31, 2015 are recorded for financial reporting purposes as net unrealized gains or losses by the Portfolio. In addition, at December 31, 2015, the Portfolios entered into currency contracts to settle trades in foreign currencies. These transactions are included in “Receivable from investments sold” and “Payable for investments purchased” on the Statements of Assets and Liabilities. The settlement value of the forward contracts outstanding at December 31, 2015 and the month-end average contract amount for all forward contracts during the period ending December 31, 2015 are detailed in the table below:

	Average Month-End Notional Amount (000)				Notional Amount Outstanding at December 31, 2015 (000)
Portfolio	Long		Short		Long		Short
Commodity Portfolio	$	18,652	$	46,340	$	20,132	$	34,606
International Portfolio		—		19		—		—
Institutional International Portfolio		—		6		—		—
Fixed Opportunity Portfolio		119		3,345		237		3,407

Financial Futures Contracts: Certain of the Portfolios may be subject to equity price risk, interest rate risk, commodity price risk and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. Certain of the Portfolios may invest in financial futures contracts (“futures contracts”) as part of their investment strategies, to gain exposure to or hedge against changes in the value of equities, interest rates or foreign currencies. The Commodity Portfolio may invest in commodity-linked futures contracts to gain exposure to the commodities market. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into a futures contract, a Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin,” are made or received by a Portfolio each day, depending on the daily fluctuations in the value of the underlying financial instrument. A Portfolio

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recognizes a gain or loss equal to the daily variation margin, which is recorded as a receivable or payable on the Statement of Assets and Liabilities (if applicable). When a futures contract is closed, a realized gain or loss is recorded as “Net realized gains/(losses) from futures transactions” on the Statement of Operations. Should market conditions move unexpectedly, the Portfolio may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of an imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets. With futures contracts, there is minimal counterparty credit risk to the Portfolios since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Securities designated as collateral for market value on futures contracts are noted in each Portfolio’s Portfolio of Investments (if applicable). Such collateral is held with the Trust’s custodian. The notional value of the futures contracts outstanding at December 31, 2015 and the month-end average notional amount for the period ending December 31, 2015 are detailed in the table below:

Portfolio	Average Month-End Notional Amount (000)		Notional Amount of Futures Contracts Outstanding at December 31, 2015 (000)
Value Portfolio	$	52,002	$	42,693
Institutional Value Portfolio		101,693		101,257
Growth Portfolio		67,157		62,507
Institutional Growth Portfolio		125,184		113,773
Small Cap–Mid Cap Portfolio		6,595		10,297
Institutional Small Cap–Mid Cap Portfolio		15,403		25,572
Real Estate Portfolio		2,775		2,559
Commodity Portfolio		245,201		179,092
International Portfolio		92,088		192,916
Institutional International Portfolio		113,558		59,366
Emerging Markets Portfolio		95,437		232,431
Fixed Opportunity Portfolio		75,009		73,418

Purchased Options Contracts: Certain of the Portfolios may be subject to equity price risk, commodities price risk and interest rate risk in the normal course of pursuing their investment objectives. In order to reduce such risks and/or in anticipation of future purchases, including to achieve market exposure, pending direct investment in securities, certain of the Portfolios may purchase put or call options. Options contracts provide the purchaser with the right, but not the obligation, to buy or sell (call or put option, respectively) a financial instrument at the exercise price. The Portfolio pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. When an option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain or loss on the transaction.

Written Options Contracts: Certain of the Portfolios may be subject to equity price risk and interest rate risk in the normal course of pursuing their investment objectives. In order to reduce such risks and/or in anticipation of future purchases, including to achieve market exposure, pending direct investment in securities, certain of the Portfolios may write put or call options. Premiums received from written options contracts are recorded as liabilities on the Statement of Assets and Liabilities and are marked-to-market to reflect the current value of the options written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options, which are either exercised or closed, are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. Realized gains and losses are reported as “Net realized gains/(losses) from written options transactions” on the Statement of Operations (if applicable). When writing an option, the Portfolio bears the market risk of unfavorable changes in the price of the underlying instrument.

With exchange-traded options, there is minimal counterparty credit risk to the Portfolios since the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. With over-the-counter options, the Portfolios bear the risk that counterparties will be unable to perform under the terms of the contracts.

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The Commodity Portfolio had the following transactions in purchased call and put options during the period ended December 31, 2015:

	Number of Contracts			Notional (000)1			Cost (000)
Options outstanding at June 30, 2015		6,360		$	—		$	474
Options purchased		730			1,220			481
Options exercised		—			—			—
Options expired		(367	)		(260	)		(143	)
Options closed		(6,631	)		(240	)		(619	)
Options outstanding at December 31, 2015		92		$	720		$	193

¹  Includes swaptions.

The Commodity Portfolio had the following transactions in written call and put options during the period ended December 31, 2015:

	Number of Contracts			Notional (000)1			Premiums Received (000)
Options outstanding at June 30, 2015		(4,780,190	)	$	(3,750	)	$	(463	)
Options written		(4,662,843	)		(11,767	)		(786	)
Options exercised		—			—			—
Options expired		1,612,583			10,790			329
Options closed		7,830,308			—			765
Options outstanding at December 31, 2015		(142	)	$	(4,727	)	$	(155	)

¹  Includes swaptions.

Swap Agreements:     Certain of the Portfolios may enter into swap agreements (“swaps”) for purposes of attempting to gain exposure to the securities making up an index without actually purchasing those instruments, to hedge a position or to gain exposure to a particular instrument or currency. A swap is a two-party contract entered into for periods ranging from one day to more than one year. In a standard swap transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested in a “basket” of securities representing a particular index.

Interest Rate Swaps:     Certain of the Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Because certain Portfolios hold fixed-rate bonds, the value of these bonds may decrease if interest rates rise. In order to reduce such risks, certain Portfolios may enter into interest rate swaps. Interest rate swaps involve the exchange of commitments to pay and receive a fixed or floating rate of interest based on a notional principal amount. The risks of interest rate swaps include changes in market conditions that will affect their value or the cash flows and the possible inability of the counterparty to fulfill its obligations under the agreement. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the swap’s remaining life. Net periodic interest payments to be received or paid are accrued daily and are recorded as realized gains or losses on the Statements of Operations.

Total Return Swaps:     Certain of the Portfolios may enter into total return swaps to gain or mitigate exposure to the underlying securities or indices. In “long” total return swaps, the counterparty will generally agree to pay the Portfolio the amount, if any, by which the notional amount of the swaps would have increased in value had it been invested in the particular instruments, plus an amount equal to any dividends or interest that would have been received on those instruments. The Portfolio will agree to pay to the counterparty an amount equal to a fixed or floating rate of interest on the notional amount of the swaps plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such instruments plus, in certain instances, commissions or trading spreads on the notional amount. Total return swaps do not involve the delivery of securities or other underlying instruments. The net amount of the excess, if any, of a

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Portfolio’s obligations over its entitlements with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets, having an aggregate value at least equal to such accrued excess, is maintained at the broker-dealer or the Portfolio’s custodian. Until a total return swap is settled in cash, the gain or loss on the notional amount plus dividends or interest on the instruments less the interest paid by the Portfolio on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap transactions.” A Portfolio may enter into total return swaps that provide the opposite return of its benchmark index or security (“short” the index or security). Its operations are similar to those swaps disclosed above except that the counterparty pays interest to the Portfolio on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swaps plus, in certain instances, the Portfolio will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted against any unrealized appreciation or depreciation to determine the value of the swaps.

Variance Swaps:     Certain of the Portfolios may invest in variance swaps to gain or reduce exposure to the underlying reference securities. Variance swaps involve two parties agreeing to exchange cash flows based on the measured variance (or square of the volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price is generally chosen such that the fair value of the swaps is zero. At the maturity date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. As a receiver of the realized price variance, a Portfolio would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike price. As a payer of the realized price variance, a Portfolio would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike price. This type of swap is essentially a forward contract on the future realized price variance of the underlying asset.

The primary risks associated with the use of swaps are an imperfect correlation between the price of financial instruments and movements in the prices of the underlying investments and the inability of counterparties to perform under the agreement. The counterparty to any swap agreement will typically be a bank, investment banking firm or broker-dealer. The Portfolio will bear the counterparty risk, i.e., the risk of loss of the net amount, if any, expected to be received under a swap in the event of the default or bankruptcy of the swap counterparty. The unrealized gain or loss at December 31, 2015 is disclosed in the swap tables included in the Portfolios of Investments. The notional value of the swap agreements outstanding at December 31, 2015 and the month-end average notional amount for the period ending December 31, 2015 are detailed in the table below:

Portfolio	Average Month-End Notional Amount (000)		Notional Amount of Swap Agreements Outstanding at December 31, 2015 (000)
Commodity Portfolio	$	56,844	$	64,054

L.    Inflation Indexed Bonds.    Certain of the Portfolios may invest in inflation-indexed bonds, which are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond resulting from inflation or deflation, respectively, as measured by the change in the Consumer Price Index, will be included as interest income or loss on the Statements of Operations, even though investors do not receive their principal until maturity. During the period ending December 31, 2015, the Inflation Protected Portfolio recognized income due to the increase in the Consumer Price Index.

Interest rates on conventional bonds have two primary components: a “real” yield and an increment that reflects investor expectations of future inflation. By contrast, interest rates on inflation-indexed bonds are adjusted for inflation and, therefore, are not affected meaningfully by inflation expectations. This leaves only real rates to influence the price of inflation-indexed bonds. A rise in real rates will cause the price of inflation-indexed bonds to fall, while a decline in real rates will boost the price of inflation-indexed bonds. Inflation-indexed bonds issued by non-U.S. governments would be expected to be indexed to the inflation rates prevailing in those countries.

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The primary risk associated with the use of inflation-indexed bonds is that the principal value of an investment is not protected or otherwise guaranteed by virtue of the Portfolio’s investments in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal value. Deflation risk is the possibility that prices throughout the economy decline over time and, in which case, the principal and income of an inflation-protected bond will decline and could result in losses.

M.    Bank Loans.    Certain Portfolios may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate, and secondarily the prime rate offered by one or more major U. S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Portfolio of Investments.

All or a portion of any bank loans may be unfunded. The Portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the Portfolio must have funds sufficient to cover its contractual obligation. These unfunded loan commitments, which are marked-to-market daily, are presented in the Portfolio of Investments. At December 31, 2015, none of the Portfolios invested in bank loans.

N.    Securities Lending.    Certain of the Portfolios may lend from their total assets in the form of their portfolio securities to broker-dealers under contracts calling for collateral equal to at least the market value of the securities loaned, marked-to-market on a daily basis. The Portfolios will continue to benefit from interest or dividends on the securities loaned and may also earn a return from the collateral. The Portfolios pay various fees in connection with the investment of the collateral. Any voting rights, or rights to consent, relating to securities loaned, pass to the borrower. Currently cash collateral received by a Portfolio in securities lending transactions may only be invested in repurchase agreements or money market funds investing in U.S. Treasury Obligations. A Portfolio bears the risk of such investments. Securities on loan at December 31, 2015 are presented in the Portfolio of Investments. The Portfolios pay the Securities Lending Agent fees based on the investment income received from securities lending activities as reflected on the Statements of Operations.

Securities lending transactions are entered into by a Portfolio under a Master Securities Lending Agreement (“MSLA”) which permits the Portfolio, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Portfolio to the same counterparty against amounts to be received and create a net payment due to or from the Portfolio.

The following table is a summary of the Portfolios’ securities lending agreements which are subject to offset under an MSLA at December 31, 2015:

Portfolio	Value of Securities on Loan (000)		Value of Collateral Received (000) (a)		Net Amount (000)
Value Portfolio	$	2,641	$	2,641	$	—
Institutional Value Portfolio		7,992		7,992		—
Growth Portfolio		1,737		1,737		—
Institutional Growth Portfolio		2,151		2,151		—
Small Cap-Mid Cap Portfolio		544		544		—
Institutional Cap-Mid Cap Portfolio		2,850		2,850		—
Commodity Portfolio		15,416		15,416		—
International Portfolio		5,853		5,853		—
Institutional International Portfolio		14,664		14,664		—
Emerging Markets Portfolio		29,738		29,738		—
Fixed Opportunity Portfolio		10,788		10,788		—

(a) The actual collateral received may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the value of securities on loan as disclosed in the Portfolio of Investments.

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O.    Basis for Consolidation for the Commodity Portfolio.    The HC Commodity Related Securities Fund, Ltd. and the HC Commodity Related Securities Fund II, Ltd. (the “Funds”) are incorporated as Cayman Islands exempted companies. The Funds are wholly-owned subsidiaries of the Commodity Portfolio and act as investment vehicles for the Commodity Portfolio for the purpose of effecting certain commodity-linked investments consistent with its investment objectives. The Funds may invest in commodity-linked derivative instruments including options, futures and swaps. The Funds may also invest in debt securities, some of which are intended to serve as margin or collateral for the Funds’ derivative positions.

Under the Articles of Association of each of the Funds, shares issued by the Funds give the Commodity Portfolio, as the sole shareholder, the right to receive notice of, to attend, and to vote at general meetings of the Funds, the right to participate in the profits of the Funds and rights to the assets of the Funds in the event that they are liquidated.

The following table summarizes the structure, incorporation and relationship information of the Funds, and certain financial information of the Funds recognized in the consolidated financial statements referred to above (amounts in thousands).

	HC Commodity Related Securities Fund, Ltd.			HC Commodity Related Securities Fund II, Ltd.
Date of Incorporation		April 27, 2011			June 2, 2011
Fund Net Assets
Commodity Portfolio	$	14,730		$	15,930
Subsidiary % of Fund net assets		1.57	%		1.70	%
Consolidated Financial Statement Information
Total assets		15,857			18,502
Total liabilities		1,127			2,572
Net assets		14,730			15,930
Total investment income		15			45
Net investment income (loss)		14			43
Net realized gains/(losses) from investment transactions		(941	)		—
Net realized gains/(losses) from futures transactions		(44,999	)		(318	)
Net realized gains/(losses) from written options transactions		(226	)		(47	)
Consolidated Financial Statement Information (continued)
Net realized gains/(losses) from swap transactions		(374	)		(34,961	)
Net realized gains/(losses) from foreign currency transactions		—			(12	)
Change in net unrealized appreciation/(depreciation) on investments		308			60
Change in net unrealized appreciation/(depreciation) on futures		4,788			215
Change in net unrealized appreciation/(depreciation) on written options		(40	)		45
Change in net unrealized appreciation/(depreciation) on swaps		(122	)		(4,263	)
Change in net unrealized appreciation/(depreciation) on foreign currency translations		—			(36	)
Net realized/unrealized gains/(losses) from investments, futures, written options, swaps and foreign currency transactions		(41,606	)		(39,318	)
Change in net assets resulting from operations		(41,592	)		(39,275	)

The Commodity Portfolio’s investments in these Funds have been consolidated and include the portfolio holdings of the underlying Funds. The consolidated financial statements include the accounts of the Commodity Portfolio and the Funds. All intercompany transactions and balances have been eliminated.

P.    Recent Accounting Pronouncements.     In May 2015, the FASB issued ASU No.    2015-07 “Fair Value Measurement (Topic 820), Disclosure for Investments in Certain Entities That Calculate Net Asset Value Per Share (or Its Equivalent) (“ASU 2015-07”). ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and amends certain disclosure requirements for such investments. ASU 2015-07 is effective for interim and annual reporting periods beginning after December 15, 2015. Management is evaluating any impact ASU 2015-07 may have on the Portfolios’ financial statements.

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3.    INVESTMENT ADVISORY AND ADMINISTRATIVE CONTRACTS.    The Trust has entered into investment advisory contracts (“Portfolio Management Contracts”) on behalf of each of the Portfolios with one or more investment management organizations (each, a “Specialist Manager”). For the Portfolio(s) it serves, each Specialist Manager is responsible for providing a continuous program of investment management for that portion of the Portfolio allocated to it and for placing all orders for the purchase and sale of securities and other instruments for such portion of the Portfolio. Except as noted, each Specialist Manager earns a fee, accrued daily and paid either monthly or quarterly, based on average daily net assets of that portion of the Portfolio managed.

For the period ending December 31, 2015, the Portfolios incurred the following investment advisory fees, before any applicable fee waivers, with respect to the services of the indicated Specialist Manager(s). The following annual fee rates are applied to the portions of the Portfolios that are managed by the Specialist Managers in determining amounts earned, except as footnoted.

Value Portfolio:

Specialist Manager	Amount Earned (000)		Fee
AllianceBernstein, L.P.	$	295		0.32	%(a)
Cadence Capital Management, LLC		105		0.065	%(b)
Mellon Capital Management Corporation		—		0.065	%(c)(d)
Parametric Portfolio Associates, LLC		18		0.07	%(e)
Parametric Portfolio Associates, LLC		—		0.35	%(c)(f)
Total	$	418		0.15	%

Institutional Value Portfolio:

Specialist Manager	Amount Earned (000)		Fee
AllianceBernstein, L.P.	$	435		0.32	%(a)
Cadence Capital Management, LLC		153		0.065	%(b)
Pacific Investment Management Company, LLC		—		0.25	%(c)
Mellon Capital Management Corporation		—		0.065	%(c)(d)
Parametric Portfolio Associates, LLC		31		0.06	%(e)
Parametric Portfolio Associates, LLC		—		0.35	%(c)(f)
Total	$	619		0.14	%

Growth Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Jennison Associates, LLC	$	179		0.26	%(g)
Sustainable Growth Advisers, LP		420		0.29	%(h)
Mellon Capital Management Corporation		101		0.065	%(d)
Cadence Capital Management, LLC		—		0.065	%(b)(c)
Parametric Portfolio Associates, LLC		20		0.07	%(e)
Parametric Portfolio Associates, LLC		—		0.35	%(c)(f)
Total	$	720		0.18	%

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Institutional Growth Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Jennison Associates, LLC	$	264		0.25	%(g)
Sustainable Growth Advisers, LP		542		0.29	%(h)
Mellon Capital Management Corporation		176		0.065	%(d)
Cadence Capital Management, LLC		—		0.065	%(b)(c)
Parametric Portfolio Associates, LLC		32		0.06	%(e)
Parametric Portfolio Associates, LLC		—		0.35	%(c)(f)
Total	$	1,014		0.16	%

Small Cap-Mid Cap Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Frontier Capital Management Company, LLC	$	69		0.47	%(i)
Mellon Capital Management Corporation		—		0.065	%(d)
IronBridge Capital Management, LP		126		0.70	%(j)
Pzena Investment Management, LLC		29		1.00	%
Cupps Capital Management, LLC		66		0.85	%
Cadence Capital Management, LLC		—		0.065	%(b)(c)
Ariel Investments, LLC		23		1.00	%(k)
Parametric Portfolio Associates, LLC		5		0.75	%(e)
Total	$	318		0.68	%

Institutional Small Cap-Mid Cap Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Frontier Capital Management Company, LLC	$	131		0.47	%(i)
IronBridge Capital Management, LP		238		0.70	%(j)
Pzena Investment Management, LLC		51		1.00	%
Cupps Capital Management, LLC		136		0.85	%
Mellon Capital Management Corporation		1		0.065	%(d)
Cadence Capital Management, LLC		—		0.065	%(b)(c)
Ariel Investments, LLC		—		1.00	%(c)(k)
Parametric Portfolio Associates, LLC		6		0.22	%(e)
Total	$	563		0.65	%

Real Estate Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Wellington Management Company, LLP	$	445		0.70	%(l)
Mellon Capital Management Corporation		—		0.10	%(c)(m)
Cadence Capital Management, LLC		—		0.10	%(c)(n)
Parametric Portfolio Associates, LLC		5		0.52	%(e)
Total	$	450		0.70	%

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Commodity Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Wellington Management Company, LLP	$	839		0.60	%(o)
Wellington Management Company, LLP		494		0.75	%(p)
Pacific Investment Management Company, LLC		313		0.49	%
Mellon Capital Management Corporation		157		0.10	%(m)
Cadence Capital Management, LLC		—		0.10	%(c)(n)
Parametric Portfolio Associates, LLC		20		0.06	%(e)
Total	$	1,825		0.39	%

ESG Growth Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Cadence Capital Management, LLC	$	52		0.18	%(q)
Mellon Capital Management Corporation		23		0.09	%(r)
Agincourt Capital Management, LLC		—		0.12	%(c)
Parametric Portfolio Associates, LLC		—		0.15	%(c)(e)
Total	$	75		0.14	%

International Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Causeway Capital Management, LLC	$	477		0.45	%
Artisan Partners Limited Partnership		363		0.69	%(s)
Capital Guardian Trust Company		172		0.40	%(t)
Cadence Capital Management, LLC		402		0.10	%(u)(v)
City of London Investment Management Company, Ltd.		—		0.80	%(c)(w)
Mellon Capital Management Corporation		17		0.13	%(x)(y)
Parametric Portfolio Associates, LLC		13		0.08	%(e)
Total	$	1,444		0.23	%

Institutional International Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Causeway Capital Management, LLC	$	610		0.45	%
Artisan Partners Limited Partnership		694		0.64	%(s)
Capital Guardian Trust Company		151		0.47	%(t)
Cadence Capital Management, LLC		806		0.10	%(u)(v)
City of London Investment Management Company, Ltd.		—		0.80	%(w)
Lazard Asset Management LLC		517		0.36	%(z)
Mellon Capital Management Corporation		87		0.13	%(x)(y)
Parametric Portfolio Associates, LLC		27		0.06	%(e)
Total	$	2,892		0.22	%

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Emerging Markets Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Boston Company Asset Management, LLC	$	2,341		0.59	%(aa)
Mellon Capital Management Corporation		512		0.13	%(y)
Cadence Capital Management, LLC		—		0.13	%(c)(u)
City of London Investment Management Company, Ltd.		—		1.00	%(c)(bb)
Parametric Portfolio Associates, LLC		28		0.06	%(e)
Total	$	2,881		0.34	%

Core Fixed Income Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Agincourt Capital Management, LLC	$	16		0.08	%
Mellon Capital Management Corporation		16		0.06	%(cc)
Mellon Capital Management Corporation		—		0.15	%(c)(dd)
Total	$	32		0.07	%

Fixed Opportunity Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Fort Washington Investment Advisors, Inc.	$	551		0.20	%(ee)
Western Asset Management Company, Ltd.		414		0.75	%
City of London Investment Management Company, Ltd.		102		0.45	%
Mellon Capital Management Corporation		—		0.25	%(c)
Parametric Portfolio Associates, LLC		10		0.10	%(e)
Total	$	1,077		0.30	%

U.S. Government Fixed Income Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Mellon Capital Management Corporation	$	67		0.06	%

Inflation Protected Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Mellon Capital Management Corporation	$	95		0.04	%(ff)

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U.S. Corporate Fixed Income Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Agincourt Capital Management, LLC	$	101		0.08	%
Mellon Capital Management Corporation		—		0.15	%(c)
Total	$	101		0.08	%

U.S. Mortgage/Asset Backed Fixed Income Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Mellon Capital Management Corporation	$	63		0.06	%

Short-Term Municipal Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Breckinridge Capital Advisors, Inc.	$	13		0.125	%

Intermediate Municipal Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Standish Mellon Asset Management Company, LLC	$	331		0.16	%(gg)

Intermediate Municipal II Portfolio:

Specialist Manager	Amount Earned (000)		Fee
Breckinridge Capital Advisors, Inc.	$	47		0.125	%

(a) AllianceBernstein L.P. (“AllianceBernstein”) receives a fee, which shall be payable monthly in arrears, of 0.37% of the average daily net assets of the first $150 million of the Combined Assets (as defined below), 0.35% of the next $150 million of Combined Assets and 0.29% of the Combined Assets exceeding $300 million.

“Combined Assets” shall mean the sum of: the average net assets of the portion of the Value Portfolio managed by AllianceBernstein, the average net assets of the portion of the Institutional Value Portfolio managed by AllianceBernstein, and assets invested in the same investment strategy as the Portfolio that are managed by AllianceBernstein for certain other clients of the Trust’s primary adviser.

(b) Cadence Capital Management, LLC (“Cadence”) receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.065% of the average daily net assets of the portion of the Portfolio managed by Cadence. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.075% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Cadence in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Cadence in other investment advisory accounts for which HC Capital Solutions or certain of its affiliates serves as investment adviser.

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(c) Specialist Manager approved by the Board but to which no assets were allocated during the period ending December 31, 2015.

(d) Mellon Capital Management Corporation (“Mellon”) receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.065% of the average daily net assets of the portion of the Portfolio managed by Mellon. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.075% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Mellon in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Mellon in other investment advisory accounts for which HC Capital Solutions or certain of its affiliates serves as investment adviser.

(e) With respect to its Liquidity Strategy, Parametric Portfolio Associates, LLC (“Parametric”) receives a fee, which shall be calculated daily and payable monthly in arrears, at an annual rate of 0.15% of the first $50 million of the Combined Assets (as defined below); 0.10% of the next $100 million of Combined Assets; and 0.05% of Combined Assets over $150 million. Parametric is also entitled to receive a flat fee of $10,000 per year for each Portfolio, provided that 1/12 of such fee will be waived with respect to each calendar month during which no Portfolio assets were allocated to that Portfolio.

“Combined Assets” shall mean the sum of: the net assets of that portion of each Portfolio managed by Parametric for investment in its Liquidity Strategy.

(f) With respect to its Defensive Strategy, Parametric receives a fee, which shall be calculated daily and payable monthly in arrears, at an annual rate of 0.35% of the first $50 million of the Combined Assets (as defined below) and 0.25% of Combined Assets over $50 million.

“Combined Assets” shall mean the sum of: the net assets of that portion of the Value Portfolio, Institutional Value Portfolio, Growth Portfolio and Institutional Growth Portfolio managed by Parametric for investment in its Defensive Strategy.

(g) Jennison Associates LLC (“Jennison”) is entitled to receive an annual fee of no more than 0.30% of average daily net assets of that portion of the Growth Portfolio and Institutional Growth Portfolio allocated to Jennison (the “Jennison Accounts”). While the rate at which Jennison’s fee for managing the Portfolios will not exceed 0.30%, the fee may decrease based on the aggregate market value of the Jennison Accounts and certain other assets managed by Jennison (which may pay fees exceeding 0.30%) for the benefit of certain investors who are clients of the Trust’s primary adviser at the following annual rates:

— 0.75% on the first $10 million;

— 0.50% on the next $30 million;

— 0.35% on the next $25 million;

— 0.25% on the next $335 million;

— 0.22% on the next $600 million;

— 0.20% on the next $4 billion; and

— 0.25% on the balance

(h) Sustainable Growth Advisers, LP (“SGA”) receives a fee, which shall be calculated daily and payable quarterly, at an annual rate of 0.35% of the first $200 million of Combined Assets (as defined below); 0.30% of the next $200 million of Combined Assets; 0.25% of the next $200 million of Combined Assets; 0.22% of the next $400 million of Combined Assets; and 0.20% of Combined Assets exceeding $1 billion.

“Combined Assets” shall mean the sum of: the net assets managed by SGA in the Growth Portfolio, the net assets managed by SGA in the Institutional Growth Portfolio, and the net assets invested in the same strategy as the Portfolios that are managed by SGA for certain other clients of the Trust’s primary adviser.

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(i) Frontier Capital Management Company, LLC (“Frontier”) receives a fee, which shall be calculated daily and payable monthly, at an annual rate of 0.45% of the first $90 million of Combined Assets (as defined below) and 0.75% of Combined Assets exceeding $90 million.

“Combined Assets” shall mean the sum of: the net assets managed by Frontier in the Small Cap-Mid Cap Portfolio, the net assets managed by Frontier in the Institutional Small Cap-Mid Cap Portfolio, and the net assets invested in the same strategy as the Portfolios that are managed by Frontier for certain other clients of the Trust’s primary adviser.

(j) Effective July 1, 2015 through September 29, 2015, IronBridge Capital Management LP (“IronBridge”) voluntarily agreed to lower its fee from 0.95% to 0.70% of the average daily net assets that it manages for the Portfolio. Effective September 30, 2015, IronBridge contractually agreed to receive a fee at an annual rate of 0.70%.

(k) For its services to the Small Cap-Mid Cap Portfolio and the Institutional Small Cap-Mid Cap Portfolio, Ariel Investments, LLC (“Ariel”) receives an annual fee, calculated daily and payable quarterly, in arrears, based on the Combined Assets (as defined below), in accordance with the following schedule: 1.00% of the first $10 million of the Combined Assets, 0.75% of the next $10 million of Combined Assets and 0.50% of the Combined Assets exceeding $20 million. Ariel did not manage assets for the Institutional Small Cap-Mid Cap Portfolio during the period shown in the table.

“Combined Assets” shall mean the sum of: the net assets managed by Ariel in the Small Cap-Mid Cap Portfolio, the Institutional Small Cap-Mid Cap Portfolio and the net assets invested in the same strategy as the Portfolios that are managed by Ariel for the benefit of certain investors who are clients of certain affiliates of the Trust’s primary adviser.

(l) Wellington Management Company, LLP (“Wellington”) receives a fee, which shall be payable monthly in arrears of 0.75% of the average daily net assets of the first $50 million of the Combined Assets (as defined below). On Combined Assets over $50 million, the fee shall be at the annual rate of 0.65% of the Combined Assets.

“Combined Assets” shall mean the sum of: the net assets of the Real Estate Portfolio and assets invested in the same investment strategy as the Portfolios that are managed by Wellington for certain other clients of the Trust’s primary adviser.

(m) Mellon receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.10% of the average daily net assets of the portion of the Portfolio managed by Mellon. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.11% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Mellon in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Mellon in other investment advisory accounts for which HC Capital Solutions or certain of its affiliates serves as investment adviser.

(n) Cadence receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.10% of the average daily net assets of the portion of the Portfolio managed by Cadence. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.11% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Cadence in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Cadence in other investment advisory accounts for which HC Capital Solutions or certain of its affiliates serves as investment adviser.

(o) With respect to its Global National Resources Strategy (“GNRS”), Wellington is entitled to receive a fee, which shall be payable monthly in arrears at the annual rate of 0.60%, so long as at least $150 million in assets are present in the GNRS and 0.85% if less than $150 million in assets are present in the GNRS.

(p) With respect to its Commodity Futures Strategy account, Wellington is entitled to receive a fee, which shall be payable monthly in arrears at the annual rate of 0.75% of the average daily net assets of the Commodity Futures Strategy account.

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(q) With respect to the Domestic Large Cap Equity Securities portion of the Portfolio managed by Cadence, Cadence receives a fee, which shall be calculated daily and payable monthly in arrears at the rate of 0.09% of such net assets of that portion of the Portfolio for the first twelve months of the Portfolio’s operations. After the first anniversary of the Portfolio’s operations, Cadence will receive a fee at the rate of 0.12% if such net assets are less than $100 million, and at the rate of 0.09% if such net assets equal or exceed $100 million.

With respect to the Developed Markets International Equity Securities portion of the Portfolio managed by Cadence, Cadence receives a fee, which shall be calculated daily and payable monthly in arrears at the rate of 0.14% of such net assets of that portion of the Portfolio for the first twelve months of the Portfolio’s operations. After the first anniversary of the Portfolio’s operations, Cadence will receive a fee at the rate of 0.20% if such net assets are less than $100 million, and at the rate of 0.14% if such net assets equal or exceed $100 million.

In addition, Cadence receives an annual flat fee of $24,000.

(r) With respect to the Domestic Large Cap Equity Securities portion of the Portfolio managed by Mellon, Mellon receives a fee, which shall be calculated daily and payable monthly in arrears at the rate of 0.09% of such net assets for the first twelve months of the Portfolio’s operations. After the first anniversary of the Portfolio’s operations, Mellon will receive a fee at the rate of 0.12% if such net assets are less than $100 million, and at the rate of 0.09% if such net assets equal or exceed $100 million.

With respect to the Developed Markets International Equity Securities portion of the Portfolio managed by Mellon, Mellon receives a fee, which shall be calculated daily and payable monthly in arrears at the rate of 0.14% of such net assets for the first twelve months of the Portfolio’s operations. After the first anniversary of the Portfolio’s operations at the rate of 0.20% if such net assets are less than $100 million, and at the rate of 0.14% if such net assets equal or exceed $100 million.

With respect to the Domestic Small and Mid Cap Equity Securities portion of the Portfolio managed by Mellon, Mellon receives a fee, which shall be calculated daily and payable monthly in arrears at the rate of 0.12% of such net assets.

With respect to the Emerging Markets International Equity Securities portion of the Portfolio managed by Mellon, Mellon receives a fee, which shall be calculated daily and payable monthly in arrears at the rate of 0.18% of such net assets.

(s) Artisan Partners Limited Partnership (“Artisan”) receives a fee, which shall be payable monthly in arrears within 30 days after each month end. For so long as the Combined Assets (as defined below) are greater than $500 million, the fee shall be at the annual rate of 0.47% of the average daily net assets of the Portfolios. If the Combined Assets are reduced to $500 million or less, the fee shall be calculated based on average daily net assets of the Portfolios at the following annual rates:

— 0.80% on assets up to $50 million; and

— 0.60% on assets in excess of $50 million

“Combined Assets” shall mean the sum of: the net assets of the International Portfolio managed by Artisan and the net assets of the Institutional International Portfolio managed by Artisan.

(t) Capital Guardian Trust Company (“CapGuardian”) receives a fee, which shall be payable quarterly in arrears in accordance with the following annual rates. The minimum annual fee (based on an account size of $50 million) is $312,500.

— 0.70% on the first $25 million;

— 0.55% on the next $25 million;

— 0.425% on the next $200 million; and

— 0.375% on the balance

When the total aggregated fees exceed $3 million, before discounts (as set forth below), fee break points are to be eliminated and the Portfolio will pay its fee at an annual rate of 0.375% on all assets in the Portfolio managed by CapGuardian.

The following fee discounts will be applied based upon the total annualized aggregate fees, which include fees from separate accounts, pooled investments vehicles, and funds with internally charged fees managed by The Capital Group

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Companies, Inc. The resulting discount percentage will be applied to each account’s fees (excluding fees related to investments in funds with internally charged fees):

— 5% discount on fees from $1.25 million to $4 million;

— 7.5% discount on fees from $4 million to $8 million;

— 10% discount on fees from $8 million to $12 million; and

— 12.5% discount on fees over $12 million

(u) With respect to the emerging markets portion of the Portfolio managed by Cadence, Cadence receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.13% of the average daily net assets of that portion of the Portfolio. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.15% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Cadence in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Cadence in other investment advisory accounts for which HC Capital Solutions or certain of its affiliates serves as investment adviser.

(v) With respect to the developed markets portion of the Portfolio managed by Cadence, Cadence receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.10% of the average daily net assets of that portion of the Portfolio. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.11% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Cadence in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Cadence in other investment advisory accounts for which HC Capital Solutions or certain of its affiliates serves as investment adviser.

(w) City of London Investment Management Company, Ltd. (“CLIM”) receives a fee, which shall be calculated daily and payable quarterly in arrears at the annual rate of 0.80% of the first $50 million of the Combined Assets (as defined below) and 0.40% of the Combined assets exceeding $50 million.

“Combined Assets” shall mean the sum of: the net assets managed by CLIM in the Portfolio and the net assets invested in the same strategy as the Portfolio that are managed by CLIM for certain other clients of the Trust’s primary adviser.

(x) With respect to the developed markets portion of the Portfolio managed by Mellon, Mellon receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.10% of the average daily net assets of that portion of the Portfolio. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.11% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Mellon in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Mellon in other investment advisory accounts for which HC Capital Solutions or certain of its affiliates serves as investment adviser.

(y) With respect to the emerging markets portion of the Portfolio managed by Mellon, Mellon receives a fee, which shall be calculated daily and payable monthly in arrears. For so long as Combined Assets (as defined below) are greater than $2 billion, the fee shall be at the annual rate of 0.13% of the average daily net assets of that portion of the Portfolio. If the Combined Assets are reduced to $2 billion or less due to redemptions, the fee shall be calculated at the annual rate of 0.15% beginning in the following calendar year.

“Combined Assets” shall mean the sum of: the net assets managed by Mellon in the Value Portfolio, Institutional Value Portfolio, Growth Portfolio, Institutional Growth Portfolio, Small Cap-Mid Cap Portfolio, Institutional Small Cap-Mid

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Cap Portfolio, Real Estate Portfolio, International Portfolio, Institutional International Portfolio, Emerging Markets Portfolio, Commodity Portfolio, and the net assets managed by Mellon in other investment advisory accounts for which HC Capital Solutions or one of its affiliates serves as investment adviser.

(z) Lazard Asset Management, LLC (“Lazard”) receives a fee which shall be payable monthly in arrears of 0.40% of the average daily net assets of the first $75 million and 0.35% on the excess over $75 million of that portion of the Portfolio managed by Lazard.

(aa) Boston Company Asset Management, LLC (“Boston Company”) receives an annual fee of 0.90% of the average daily net assets of the first $50 million; 0.85% of the average daily net assets on the next $50 million; 0.70% of the average daily net assets on the next $100 million; 0.55% of the average daily net assets on the next $200 million; and 0.50% of the average daily net assets over $400 million of that portion of the Portfolio managed by Boston Company.

(bb) CLIM receives a fee, which shall be calculated daily and payable quarterly in arrears at the annual rate of 1.00% of the first $100 million of the Combined Assets (as defined below); 0.80% of the next $100 million of the Combined Assets; and 0.50% of the Combined Assets exceeding $200 million.

“Combined Assets” shall mean the sum of: the net assets managed by CLIM in the Portfolio and the net assets invested in the same strategy as the Portfolio that are managed by CLIM for certain other clients of the Trust’s primary adviser.

(cc) Mellon receives a fee which shall be calculated daily and payable monthly at the annual rate of 0.06% of the average daily net assets of the U.S. mortgage- and asset-backed and U.S. Government securities portions of the Core Fixed Income Portfolio managed by Mellon. Mellon also receives a fee at the annual rate of 0.06% of the average daily net assets of the U.S. Government Fixed Income Portfolio and the U.S. Mortgage/Asset Backed Fixed Income Portfolio.

(dd) Mellon receives a fee which shall be calculated daily and payable monthly at the annual rate of 0.15% of the average daily net assets of the U.S. corporate fixed-income securities portion of the Core Fixed Income Portfolio managed by Mellon. Mellon also receives a fee at the annual rate of 0.15% of the average daily net assets of the portion of the U.S. Corporate Fixed Income Portfolio managed by Mellon.

(ee) Fort Washington Investment Advisors, Inc. (“Fort Washington”) receives a fee, which shall be payable quarterly in arrears. For so long as the Combined Assets (as defined below) are greater than $200 million, the fee shall be at the annual rate of 0.20% of the Combined Assets. If the Combined Assets are reduced to $200 million or less due to withdrawals or redemptions, beginning with the first calendar quarter following the date of such withdrawals or redemptions, the fee shall be based on 0.40% of the Combined Assets of the first $25 million, 0.375% of the Combined Assets of the next $25 million, 0.3375% of the Combined Assets of the next $50 million, and 0.25% of the Combined Assets of the next $100 million, and 0.20% of the Combined Assets exceeding $200 million.

“Combined Assets” shall mean the sum of: the net assets managed by Fort Washington in the Portfolio and the net assets invested in the same strategy as the Portfolio that are managed by Fort Washington for the benefit of certain investors who are clients of the Trust’s primary adviser.

(ff) Mellon receives a fee, which shall be payable monthly in arrears, at the annual rate of: 0.04% of the average daily net assets invested according to a domestic inflation-protected securities strategy; 0.07% of the average daily net assets invested according to a global inflation-protected securities strategy; and 0.13% of the average daily net assets invested according to an emerging-markets inflation-protected securities strategy.

(gg) Standish Mellon Asset Management Company LLC (“Standish Mellon”) receives a fee, which shall be calculated daily and payable quarterly, at an annual rate of 0.25% for the first $100 million of the Combined Assets (as defined below) and 0.15% of the Combined Assets exceeding $100 million. Standish Mellon is entitled to receive a fee at an annual rate not to exceed 0.20% of the Combined Assets.

“Combined Assets” shall mean the sum of: the net assets managed by Standish Mellon in the Portfolio and the net assets invested in the same strategy as the Portfolio that are managed by Standish Mellon for the benefit of certain investors who are clients of the Trust’s primary adviser.

Pursuant to discretionary investment advisory agreements between the Trust and the Adviser, the Adviser is paid a fee which is accrued daily and paid monthly at an annual rate of 0.05% of average daily net assets per Portfolio. The fees that the Adviser receives are listed as “Management fees” on the Statements of Operations. The Adviser continuously monitors the performance of various investment management organizations, including the Specialist Managers retained by the Trust, and generally oversees the services provided to the Trust by its administrator, custodian and other service providers. The Adviser

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is also authorized to allocate and reallocate assets among Specialist Managers in multi-manager portfolios of the Trust from time to time without additional authorization of the Board. In addition, the Adviser will make its officers available to serve as officers and/or Trustees of the Trust, and maintain office space sufficient for the Trust’s principal office. The Securities and Exchange Commission has issued an order that permits the Trust to enter into portfolio management agreements with Specialist Managers upon the approval of the Board but without submitting such contracts for the approval of the shareholders of the relevant Portfolio under certain circumstances.

Citi provides the Portfolios with administrative and fund accounting services. The fees for these services are disclosed as “Administrative service fees” on the Statements of Operations. The fees are accrued daily and payable on a monthly basis at an annual rate of 0.0506% of the Trust’s Portfolios’ average daily net assets up to $6 billion; 0.0047% of the Trust’s Portfolios’ average daily net assets between $6 billion and $12 billion; and 0.0276% in excess of $12 billion.

SunGard Investor Services LLC, a wholly-owned subsidiary of Fidelity National Information Services, provides dividend and capital gains disbursing agent and transfer agency services. The fees for these services are disclosed as “Transfer agency fees” on the Statements of Operations. The fees are accrued daily and payable on a monthly basis at an annual rate of 0.0034% of the Trust’s Portfolios’ average daily net assets up to $6 billion; 0.0003% of the Trust’s Portfolios’ average daily net assets between $6 billion and $12 billion; and 0.0019% in excess of $12 billion.

The Trust has adopted a Distribution Plan for the HC Advisors Shares under which the Adviser may receive compensation for distribution services. Under the Distribution Plan, which was adopted pursuant to Rule 12b-1 under the 1940 Act, the Adviser is entitled to receive a fee of up to 0.25% annually of the average daily net assets attributable to the HC Advisors Shares. Currently, the Adviser is voluntarily waiving all fees associated with the Distribution Plan, and there is no current intention to collect such a fee.

Unified Financial Securities, Inc. (“Unified”), a wholly-owned subsidiary of Huntington Bancshares, Inc., provides certain distribution services to the Trust. Unified receives an annual fee of $50,000 for performing the services listed under its agreement with the Trust. None of Unified’s duties under its agreement are primarily intended to result in the sale of Trust shares.

Alaric Compliance Services, LLC. (“Alaric”) provides an employee to serve as the Trust’s Chief Compliance Officer. For these services, Alaric is compensated $150,000 per year.

4.    PURCHASE AND SALE TRANSACTIONS.    The aggregate cost of purchases and proceeds from sales of investment securities, other than long-term U.S. Government securities, TBA securities and short-term securities, for the period ending December 31, 2015 were as follows (amounts in thousands):

Portfolio	Purchases		Sales
Value Portfolio	$	177,893	$	201,311
Institutional Value Portfolio		261,152		290,148
Growth Portfolio		133,987		217,430
Institutional Growth Portfolio		197,076		260,807
Small Cap–Mid Cap Portfolio		23,870		27,038
Institutional Small Cap–Mid Cap Portfolio		46,119		47,246
Real Estate Portfolio		20,154		25,448
Commodity Portfolio		496,961		471,544
ESG Growth Portfolio		137,436		9,727
International Portfolio		239,668		553,661
Institutional International Portfolio		462,553		519,943
Emerging Markets Portfolio		304,940		256,149
Core Fixed Income Portfolio		15,472		10,818
Fixed Opportunity Portfolio		306,291		244,736
U.S. Corporate Fixed Income Portfolio		104,526		52,805
U.S. Mortgage/Asset Backed Fixed Income Portfolio		499		5,326
Short-Term Municipal Portfolio		3,185		3,208
Intermediate Municipal Portfolio		67,803		66,787
Intermediate Municipal II Portfolio		3,547		4,507

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The aggregate cost of purchases and proceeds from sales of long-term U.S. Government securities for the period ending December 31, 2015 were as follows (amounts in thousands):

Portfolio	Purchases		Sales
Commodity Portfolio	$	215,255	$	248,280
Core Fixed Income Portfolio		10,699		22,856
U.S. Government Fixed Income Portfolio		47,337		96,241
Inflation Protected Portfolio		44,531		58,314
U.S. Mortgage/Asset Backed Fixed Income Portfolio		20,655		43,011

5.    FEDERAL INCOME TAXES.    It is the policy of each Portfolio to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code (the “Code”), and to make distributions of net investment income and net realized capital gains sufficient to relieve it (but not the shareholders) from all, or substantially all, federal income taxes. The Portfolios may utilize equalization accounting for tax purposes by designating earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes.

The Trust has evaluated tax positions taken or expected to be taken in the course of preparing each Portfolio’s tax returns to determine whether it is more likely than not (i.e., greater than 50-percent chance) that each tax position will be sustained upon examination by a tax authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Differences between tax positions taken in a tax return and amounts recognized in the financial statements will generally result in an increase in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense. Tax positions taken in tax years remain subject to examination by tax authorities (generally the last three tax year ends 2013 to 2015, and the interim tax period since then). The determination has been made that there are no uncertain tax positions that would require the Portfolios to record a tax liability and, therefore, there is no impact to the Portfolios’ financial statements. Furthermore, management of the Portfolios is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.

A.    Unrealized Appreciation/Depreciation on securities (amounts in thousands):

Portfolio	Tax Cost of Securities		Tax Unrealized Appreciation		Tax Unrealized (Depreciation)			Net Tax Unrealized Appreciation/ (Depreciation)
Value Portfolio	$	536,367	$	72,422	$	(41,534	)	$	30,888
Institutional Value Portfolio		830,619		103,619		(60,547	)		43,072
Growth Portfolio		588,810		209,051		(13,722	)		195,329
Institutional Growth Portfolio		1,024,459		266,800		(23,066	)		243,734
Small Cap Mid-Cap Portfolio		85,598		21,767		(8,047	)		13,720
Institutional Small Cap-Mid Cap Portfolio		158,337		40,983		(10,254	)		30,729
Real Estate Portfolio		113,716		26,878		(937	)		25,941
ESG Growth Portfolio		127,813		3,106		(10,518	)		(7,412	)
International Portfolio		1,244,430		115,435		(132,296	)		(16,861	)
Institutional International Portfolio		2,689,302		228,613		(347,014	)		(118,401	)
Emerging Markets Portfolio		2,136,330		47,327		(443,975	)		(396,648	)
Core Fixed Income Portfolio		91,478		606		(1,826	)		(1,220	)
Fixed Opportunity Portfolio		830,479		4,720		(58,862	)		(54,142	)
U.S. Government Fixed Income Portfolio		226,518		2,402		(1,095	)		1,307
Inflation Protected Portfolio		494,382		—		(9,786	)		(9,786	)
U.S. Corporate Fixed Income Portfolio		275,956		181		(9,651	)		(9,470	)
U.S. Mortgage/Asset Backed Fixed Income Portfolio		209,105		2,503		(1,417	)		1,086
Short-Term Municipal Portfolio		20,976		153		(6	)		147
Intermediate Municipal Portfolio		416,261		12,983		(4,964	)		8,019
Intermediate Municipal II Portfolio		75,248		2,933		(7	)		2,926

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The differences between book-basis and tax-basis unrealized appreciation/depreciation are attributable primarily to: tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains/losses on investments in passive foreign investment companies and the difference between book and tax accretion methods for market discount.

B.    Tax Characteristics of Distributions Paid

The tax characteristics of distributions paid during the fiscal year ending June 30, 2015 was as follows (amounts in thousands):

	Distributions Paid From:
Year Ended June 30, 2015	Ordinary Income			Net Long Term Gains		Total Taxable Distributions		Tax Return of Capital		Tax-Exempt Distributions		Total Distributions Paid*
Value Portfolio	$	12,564		$	—	$	12,564	$	—	$	—	$	12,564
Institutional Value Portfolio		42,720			97,668		140,388		—		—		140,388
Growth Portfolio		7,789			9,909		17,698		—		—		17,698
Institutional Growth Portfolio		23,423			83,131		106,554		—		—		106,554
Small Cap–Mid Cap Portfolio		34			—		34		—		—		34
Institutional Small Cap–Mid Cap Portfolio		377			18,814		19,191		—		—		19,191
Real Estate Portfolio		6,811			2,590		9,401		—		—		9,401
International Portfolio		44,795			152,274		197,069		—		—		197,069
Institutional International Portfolio		119,433			236,374		355,807		—		—		355,807
Emerging Markets Portfolio		53,137			17,148		70,285		—		—		70,285
Core Fixed Income Portfolio		2,521	��		—		2,521		—		—		2,521
Fixed Opportunity Portfolio		51,313			10,450		61,763		—		—		61,763
U.S. Government Fixed Income Portfolio		3,348			—		3,348		—		—		3,348
Inflation Protected Portfolio		3,769			—		3,769		868		—		4,637
U.S. Corporate Fixed Income Portfolio		8,967			140		9,107		—		—		9,107
U.S. Mortgage/Asset Backed Fixed Income Portfolio		7,141			—		7,141		—		—		7,141
Short-Term Municipal Portfolio		—			4		4		—		268		272
Intermediate Municipal Portfolio		68			—		68		—		9,181		9,249
Intermediate Municipal II Portfolio		—			322		322		—		1,543		1,865

* Total distributions paid may differ from what appears in the Statements of Changes in Net Assets because dividends for tax purposes are recognized when actually paid.

Amounts designated as “—” are $0 or have been rounded to $0.

C.     Components of Accumulated Earnings

As of June 30, 2015, the components of accumulated earnings/(deficit) on a tax basis were as follows (amounts in thousands):

Portfolio	Undistributed Ordinary Income/Tax Exempt Income		Undistributed Long Term Capital Gains		Accumulated Earnings		Dividends Payable		Accumulated Capital and Other Losses			Unrealized Appreciation/ (Depreciation)		Total Accumulated Earnings/ (Deficit)
Value Portfolio	$	337	$	16,011	$	16,348	$	—	$	—		$	70,627	$	86,975
Institutional Value Portfolio		20,151		67,736		87,887		—		—			99,238		187,125
Growth Portfolio		250		132,601		132,851		—		—			212,283		345,134
Institutional Growth Portfolio		5,562		183,765		189,327		—		—			260,970		450,297
Small Cap–Mid Cap Portfolio		—		—		—		—		(16,770	)		26,035		9,265
Institutional Small Cap–Mid Cap Portfolio		71		8,491		8,562		—		(1,719	)		49,457		56,300
Real Estate Portfolio		2,962		11,585		14,547		—		—			16,618		31,165
International Portfolio		9,800		73,644		83,444		—		—			83,851		167,295

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Portfolio	Undistributed Ordinary Income/Tax Exempt Income		Undistributed Long Term Capital Gains		Accumulated Earnings		Dividends Payable			Accumulated Capital and Other Losses			Unrealized Appreciation/ (Depreciation)			Total Accumulated Earnings/ (Deficit)
Institutional International Portfolio	$	28,392	$	92,233	$	120,625	$	—		$	—		$	99,463		$	220,088
Emerging Markets Portfolio		20,947		—		20,947		—			(20,242	)		(92,306	)		(91,601	)
Core Fixed Income Portfolio		404		524		928		(6	)		—			(666	)		256
Fixed Opportunity Portfolio		2,819		3,169		5,988		—			(209	)		(16,956	)		(11,177	)
U.S. Government Fixed Income Portfolio		548		1,180		1,728		(56	)		—			1,949			3,621
Inflation Protected Portfolio		—		—		—		—			(1,369	)		1,572			203
U.S. Corporate Fixed Income Portfolio		2,143		3,560		5,703		(86	)		—			(6,716	)		(1,099	)
U.S. Mortgage/Asset Backed Fixed Income Portfolio		253		—		253		(123	)		(5,869	)		1,897			(3,842	)
Short-Term Municipal Portfolio		3		2		5		—			—			168			173
Intermediate Municipal Portfolio		270		—		270		(33	)		(8,102	)		7,388			(477	)
Intermediate Municipal II Portfolio		36		4		40		(7	)		—			2,192			2,225

Amounts designated as “—” are $0 or have been rounded to $0.

D.     Capital Loss Carryforwards

As of their tax year ended June 30, 2015, the following Portfolios had capital loss carryforwards (“CLCFs”) as summarized below (amounts in thousands):

CLCFs subject to expiration:

Portfolio	Expires 2018		Expires 2019		Total
Small Cap–Mid Cap Portfolio	$	16,097	$	—	$	16,097
Intermediate Municipal Portfolio		—		8,102		8,102

CLCFs not subject to expiration:

Portfolio	Short-Term Amount		Long-Term Amount		Total
U.S. Mortgage/Asset Backed Fixed Income Portfolio	$	1,302	$	4,131	$	5,433

CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. During the year ending June 30, 2015, the Portfolios utilized CLCFs as follows (amounts in thousands):

Portfolio	Total
Value Portfolio	$	63,831
Growth Portfolio		5,297
Small Cap–Mid Cap Portfolio		11,279
Core Fixed Income Portfolio		256
U.S. Government Fixed Income Portfolio		434
U.S. Corporate Fixed Income Portfolio		70
Intermediate Municipal Portfolio		2,839

E.     Deferred Losses

Under current tax law, capital losses and specified ordinary losses realized after October 31 and non-specified ordinary losses incurred after December 31 (ordinary losses collectively known as “late year ordinary loss”) may be deferred and

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treated as occurring on the first business day of the following fiscal year. The following Portfolios had deferred losses, which will be treated as arising on the first day of the fiscal year ending June 30, 2016 (amounts in thousands):

Portfolio	Post-October Capital Losses		Late Year Ordinary Losses
Small Cap–Mid Cap Portfolio	$	589	$	84
Institutional Small Cap–Mid Cap Portfolio		1,673		46
Emerging Markets Portfolio		20,242		—
Fixed Opportunity Portfolio		209		—
Inflation Protected Portfolio		99		1,270
U.S. Mortgage/Asset Backed Fixed Income Portfolio		436		—

F.     Book-To-Tax Differences

Distributions are based on amounts calculated in accordance with applicable federal tax regulations, which may differ from GAAP. To the extent these differences are permanent in nature (e.g., net operating losses, reclassification of bond discount and premium, equalization accounting, treatment of gains (and losses) relating to foreign currency transactions and differing treatment of income relating to swap agreements), such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassifications.

On the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows (amounts in thousands):

Portfolio	Accumulated Net Investment Income/(Distributions in Excess of Net Investment Income)			Accumulated Net Realized Gains/(Losses)			Paid-In Capital
Value Portfolio	$	(312	)	$	136		$	176
Institutional Value Portfolio		(328	)		328			—
Growth Portfolio		(25	)		(3,299	)		3,324
Institutional Growth Portfolio		(165	)		165			—
Small Cap–Mid Cap Portfolio		(14	)		28			(14	)
Institutional Small Cap–Mid Cap Portfolio		(35	)		35			—
Real Estate Portfolio		(704	)		704			—
International Portfolio		941			(6,423	)		5,482
Institutional International Portfolio		2,445			(2,445	)		—
Emerging Markets Portfolio		(2,149	)		(15	)		2,164
Core Fixed Income Portfolio		281			(281	)		—
Fixed Opportunity Portfolio		1,147			(1,147	)		—
Inflation Protected Portfolio		1,690			(822	)		(868	)
U.S. Corporate Fixed Income Portfolio		21			(21	)		—
U.S. Mortgage/Asset Backed Fixed Income Portfolio		1,671			(1,671	)		—
Intermediate Municipal Portfolio		49			(49	)		—

G.     Commodity Portfolio Tax Information

The Commodity Portfolio has a tax year end of December 31.

The Commodity Portfolio’s tax cost of securities as of December 31, 2015 was $995,275, resulting in accumulated net unrealized depreciation of $1,873, consisting of $105,489 in gross unrealized appreciation and $107,362 in gross unrealized depreciation.

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Notes to Financial Statements (concluded) — December 31, 2015 (Unaudited)

The tax characteristics of distributions paid during the tax years ending December 31, 2015 and December 31, 2014 were as follows (amounts in thousands):

	Distributions Paid From:
Year Ended December 31, 2015	Ordinary Income		Net Long Term Gains		Total Taxable Distributions		Tax Return of Capital		Tax-Exempt Distributions		Total Distributions Paid*
Commodity Portfolio	$	23,354	$	—	$	23,354	$	17	$	—	$	23,371
Year Ended December 31, 2014
Commodity Portfolio	$	8,151	$	3,440	$	11,591	$	—	$	—	$	11,591

* Total distributions paid may differ from the Statements of Changes in Net Assets because dividends for tax purposes are recognized when actually paid.

Amounts designated as “—” are $0 or have been rounded to $0.

As of December 31, 2015, the components of accumulated earnings (deficit) on a tax basis were as follows:

Portfolio	Undistributed Ordinary Income/Tax Exempt Income		Undistributed Long Term Capital Gains		Accumulated Earnings		Dividends Payable		Accumulated Capital and Other Losses			Unrealized Appreciation/ (Depreciation)			Total Accumulated Earnings/ (Deficit)
Commodity Portfolio	$	—	$	—	$	—	$	—	$	(115,025	)	$	(82,066	)	$	(197,091	)

Amounts designated as “—” are $0 or have been rounded to $0.

At December 31, 2015, the Commodity Portfolio did not have any CLCFs available to offset future capital gains.

At December 31, 2015, the Commodity Portfolio had deferred losses, which will be treated as arising on the first day of the tax year ending December 31, 2016.

Portfolio	Post-October Capital Losses
Commodity Portfolio	$	28,812

6.    RISK CONSIDERATIONS.

Market Risk — Each Portfolio bears a basic risk that the value of the securities held by a Portfolio may decline in response to general market and economic conditions, or conditions that affect specific market sectors or individual companies.

Credit Risk — Credit risk is the risk that an issuer (or in the case of certain securities, the guarantor or counterparty) will be unable to make principal and interest payments when due. The creditworthiness of an issuer may be affected by a number of factors, including the financial condition of the issuer (or guarantor) and, in the case of foreign issuers, the financial condition of the region.

Foreign Investment Risk — Investments in securities issued by non-U.S. companies and non-U.S. governments and their agencies may be adversely affected by the lack of timely or reliable financial information, political, social and/or economic developments abroad and foreign regulatory requirements and market practices. Securities denominated in foreign currencies are subject to the risk that the value of the foreign currency will decline in relation to the U.S. dollar. In addition, risks associated with foreign investments may be intensified in the case of investments in emerging-market countries, whose political, legal and economic systems are less developed and less stable than those of more developed nations.

Concentration Risk — Concentration risk is the risk that results from focusing investments in one industry or market sector. The Real Estate Portfolio and Commodity Portfolio concentrate their investments in real estate securities and commodity-related industries, respectively, which may present greater risks of loss than if the Portfolios were more broadly diversified over numerous unrelated industries.

Commodity-Related Derivatives Risk — The Commodity Portfolio, through its investment in its subsidiaries, will hold commodity-related derivatives. Commodity-related derivatives provide exposure, which may include long and/or short exposure, to the investment returns of physical commodities that trade in the commodities markets without investing directly in physical commodities. The value of a commodity-related derivative typically is based on the price movements of a

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Notes to Financial Statements (continued) — December 31, 2015 (Unaudited)

physical commodity (such as heating oil, precious metals, livestock, or agricultural products), a commodity futures contract or commodity index, or some other readily measurable economic variable. The value of commodity-related derivatives may be affected by changes in overall market movements, volatility of the underlying benchmark, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The value of commodity-related derivatives will rise or fall in response to changes in the underlying commodity or related index. Investments in commodity-related derivatives may be subject to greater volatility than non-derivative based investments. A highly liquid secondary market may not exist for certain commodity-related derivatives, and there can be no assurance that one will develop.

7.    SUBSEQUENT EVENTS.    Management has evaluated subsequent events through the date these financial statements were issued. Based on the evaluation, no additional disclosures or adjustments were required to the financial statements as of December 31, 2015.

The Catholic SRI Growth Portfolio commenced operations on January 12, 2016.

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Additional Information — December 31, 2015 (Unaudited)

1.    SECURITY PROXY VOTING.    A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is contained in the Statement of Additional Information. Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve months ended June 30, is available without charge, upon request, by calling 800-242-9596 and on the Securities and Exchange Commission’s (‘‘SEC’’) website at http://www.sec.gov.

2.    SHAREHOLDER VOTES.    During the period ending December 31, 2015, no actions were taken by the shareholders of the Portfolios.

3.     EXPENSE EXAMPLE.    As a shareholder of the Trust, you incur ongoing costs, including management fees and other Portfolio expenses. This example (as set forth in the table below) is intended to help you understand your ongoing costs (in dollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2015 through December 31, 2015.

Actual Expenses:    The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:    The table below provides information about hypothetical account values and hypothetical expenses based on each of the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Beginning Account Value, July 1, 2015		Ending Account Value, December 31, 2015		Expenses Paid During Period2		Annualized Expense Ratio
Value Portfolio	HC Strategic Shares	Actual	$	1,000	$	966.70	$	1.24		0.25	%
		Hypothetical1	$	1,000	$	1,023.88	$	1.27		0.25	%
	HC Advisors Shares	Actual	$	1,000	$	966.20	$	1.24		0.25	%
		Hypothetical1	$	1,000	$	1,023.88	$	1.27		0.25	%
Institutional Value Portfolio	HC Strategic Shares	Actual	$	1,000	$	966.90	$	1.24		0.25	%
		Hypothetical1	$	1,000	$	1,023.88	$	1.27		0.25	%
	HC Advisors Shares	Actual	$	1,000	$	966.00	$	1.24		0.25	%
		Hypothetical1	$	1,000	$	1,023.88	$	1.27		0.25	%
Growth Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,038.90	$	1.44		0.28	%
		Hypothetical1	$	1,000	$	1,023.73	$	1.42		0.28	%
	HC Advisors Shares	Actual	$	1,000	$	1,038.50	$	1.43		0.28	%
		Hypothetical1	$	1,000	$	1,023.73	$	1.42		0.28	%
Institutional Growth Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,037.70	$	1.38		0.27	%
		Hypothetical1	$	1,000	$	1,023.78	$	1.37		0.27	%
	HC Advisors Shares	Actual	$	1,000	$	1,037.10	$	1.38		0.27	%
		Hypothetical1	$	1,000	$	1,023.78	$	1.37		0.27	%

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			Beginning Account Value, July 1, 2015		Ending Account Value, December 31, 2015		Expenses Paid During Period2		Annualized Expense Ratio
Small Cap–Mid Cap Portfolio	HC Strategic Shares	Actual	$	1,000	$	921.10	$	3.57		0.74	%
		Hypothetical1	$	1,000	$	1,021.42	$	3.76		0.74	%
	HC Advisors Shares	Actual	$	1,000	$	920.60	$	3.57		0.74	%
		Hypothetical1	$	1,000	$	1,021.42	$	3.76		0.74	%
Institutional Small Cap–Mid Cap Portfolio	HC Strategic Shares	Actual	$	1,000	$	926.80	$	3.44		0.71	%
		Hypothetical1	$	1,000	$	1,021.57	$	3.61		0.71	%
	HC Advisors Shares	Actual	$	1,000	$	926.80	$	3.44		0.71	%
		Hypothetical1	$	1,000	$	1,021.57	$	3.61		0.71	%
Real Estate Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,091.90	$	4.26		0.81	%
		Hypothetical1	$	1,000	$	1,021.06	$	4.12		0.81	%
Commodity Portfolio	HC Strategic Shares	Actual	$	1,000	$	805.90	$	2.36		0.52	%
		Hypothetical1	$	1,000	$	1,022.52	$	2.64		0.52	%
	HC Advisors Shares	Actual	$	1,000	$	805.90	$	2.36		0.52	%
		Hypothetical1	$	1,000	$	1,022.52	$	2.64		0.52	%
ESG Growth Portfolio	HC Strategic Shares	Actual3	$	1,000	$	939.50	$	2.01		0.44	%
		Hypothetical1	$	1,000	$	1,022.92	$	2.24		0.44	%
	HC Advisors Shares	Actual3	$	1,000	$	939.50	$	2.01		0.44	%
		Hypothetical1	$	1,000	$	1,022.92	$	2.24		0.44	%
International Portfolio	HC Strategic Shares	Actual	$	1,000	$	912.70	$	1.88		0.39	%
		Hypothetical1	$	1,000	$	1,023.18	$	1.98		0.39	%
	HC Advisors Shares	Actual	$	1,000	$	913.60	$	1.88		0.39	%
		Hypothetical1	$	1,000	$	1,023.18	$	1.98		0.39	%
Institutional International Portfolio	HC Strategic Shares	Actual	$	1,000	$	918.20	$	1.88		0.36	%
		Hypothetical1	$	1,000	$	1,023.33	$	1.83		0.36	%
	HC Advisors Shares	Actual	$	1,000	$	918.00	$	1.83		0.36	%
		Hypothetical1	$	1,000	$	1,023.33	$	1.83		0.36	%
Emerging Markets Portfolio	HC Strategic Shares	Actual	$	1,000	$	815.70	$	2.65		0.58	%
		Hypothetical1	$	1,000	$	1,022.22	$	2.95		0.58	%
	HC Advisors Shares	Actual	$	1,000	$	815.60	$	2.65		0.58	%
		Hypothetical1	$	1,000	$	1,022.22	$	2.95		0.58	%
Core Fixed Income Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,002.70	$	1.31		0.26	%
		Hypothetical1	$	1,000	$	1,023.83	$	1.32		0.26	%
	HC Advisors Shares	Actual	$	1,000	$	1,002.70	$	1.31		0.26	%
		Hypothetical1	$	1,000	$	1,023.83	$	1.32		0.26	%
Fixed Opportunity Portfolio	HC Strategic Shares	Actual	$	1,000	$	948.70	$	1.86		0.38	%
		Hypothetical1	$	1,000	$	1,023.23	$	1.93		0.38	%
	HC Advisors Shares	Actual	$	1,000	$	948.70	$	1.86		0.38	%
		Hypothetical1	$	1,000	$	1,023.23	$	1.93		0.38	%
U.S. Government Fixed Income Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,006.30	$	0.91		0.18	%
		Hypothetical1	$	1,000	$	1,024.23	$	0.92		0.18	%
Inflation Protected Portfolio	HC Strategic Shares	Actual	$	1,000	$	979.90	$	0.85		0.17	%
		Hypothetical1	$	1,000	$	1,024.28	$	0.87		0.17	%
	HC Advisors Shares	Actual	$	1,000	$	979.90	$	0.85		0.17	%
		Hypothetical1	$	1,000	$	1,024.28	$	0.87		0.17	%

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			Beginning Account Value, July 1, 2015		Ending Account Value, December 31, 2015		Expenses Paid During Period2		Annualized Expense Ratio
U.S. Corporate Fixed Income Portfolio	HC Strategic Shares	Actual	$	1,000	$	998.50	$	1.05		0.21	%
		Hypothetical1	$	1,000	$	1,024.08	$	1.07		0.21	%
U.S. Mortgage/Asset Backed Fixed Income Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,007.70	$	0.91		0.18	%
		Hypothetical1	$	1,000	$	1,024.23	$	0.92		0.18	%
Short-Term Municipal Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,004.60	$	1.41		0.28	%
		Hypothetical1	$	1,000	$	1,023.73	$	1.42		0.28	%
Intermediate Municipal Portfolio	HC Strategic Shares	Actual	$	1,000	$	1,017.40	$	1.37		0.27	%
		Hypothetical1	$	1,000	$	1,023.78	$	1.37		0.27	%
	HC Advisors Shares	Actual	$	1,000	$	1,017.40	$	1.37		0.27	%
		Hypothetical1	$	1,000	$	1,023.78	$	1.37		0.27	%
Intermediate Muni II	HC Strategic Shares	Actual	$	1,000	$	1,019.70	$	1.27		0.25	%
		Hypothetical1	$	1,000	$	1,023.88	$	1.27		0.25	%
	HC Advisors Shares	Actual	$	1,000	$	1,020.70	$	1.27		0.25	%
		Hypothetical1	$	1,000	$	1,023.88	$	1.27		0.25	%

1 Represents the hypothetical 5% annual return before expenses.

2 Expenses are equal to the Portfolio’s annualized expense ratio multiplied by the average account value over the period multiplied by 184/365 (to reflect the one-half year period).

3 Expenses are equal to the Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 172/365 (to reflect the stub period from July 13, 2015 (date of commencement of operations) to December 31, 2015).

4.     ADDITIONAL FEDERAL INCOME TAX INFORMATION

A.    Dividends Received Deduction.    For corporate shareholders, the following percentage of the total ordinary income distributions paid during the fiscal year ending December 31, 2015, qualify for the corporate dividend received deduction for the following Portfolio:

Portfolio	Dividends Received Deduction
Commodity Portfolio		37.49%

B.    Qualified Dividends.    For the fiscal year ending December 31, 2015, under current tax law, the following dividends paid may be subject to a maximum tax rate of 15%.

Portfolio	Dividends Paid
Commodity Portfolio		90.64%

The Portfolio intends to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with your 2015 Form 1099-DIV.

5.     ACCESS TO QUARTERLY HOLDINGS

A complete schedule of each Portfolio’s portfolio holdings for the first and third fiscal quarter of each fiscal year is filed with the SEC on Form N-Q and is available on the SEC’s website at http://www.sec.gov. In addition, the schedules may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

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6.     ADDITIONAL PORTFOLIO HOLDINGS INFORMATION

The following tables reflect the percentage of the total investments of each Portfolio attributable to the indicated industry sector, type of security or geographic region, as appropriate for the indicated Portfolio.

Value Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		9.0	%
Consumer Staples		7.5	%
Energy		10.1	%
Financials		31.3	%
Health Care		7.6	%
Industrials		12.4	%
Information Technology		10.6	%
Materials		4.9	%
Telecommunication Services		2.4	%
Utilities		3.6	%
Other		0.6	%
Total		100.0	%

Institutional Value Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		8.7	%
Consumer Staples		7.2	%
Energy		9.6	%
Financials		34.3	%
Health Care		7.3	%
Industrials		11.4	%
Information Technology		10.1	%
Materials		4.7	%
Telecommunication Services		2.3	%
Utilities		3.5	%
Other		0.9	%
Total		100.0	%

Growth Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		15.1	%
Consumer Staples		11.5	%
Energy		4.1	%
Financials		17.9	%
Health Care		13.7	%
Industrials		5.0	%
Information Technology		27.6	%
Materials		3.1	%
Other		2.0	%
Total		100.0	%

Institutional Growth Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		14.2	%
Consumer Staples		12.2	%
Energy		4.0	%
Financials		18.6	%
Health Care		14.3	%
Industrials		5.5	%
Information Technology		26.8	%
Materials		2.9	%
Other		1.5	%
Total		100.0	%

Small Cap-Mid Cap Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		9.9	%
Consumer Staples		1.8	%
Energy		2.3	%
Financials		25.4	%
Health Care		13.2	%
Industrials		13.4	%
Information Technology		22.6	%
Materials		5.5	%
Telecommunication Services		0.8	%
Utilities		1.6	%
Other		3.5	%
Total		100.0	%

Institutional Small Cap-Mid Cap Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		8.9	%
Consumer Staples		1.6	%
Energy		1.9	%
Financials		28.0	%
Health Care		13.3	%
Industrials		12.7	%
Information Technology		22.0	%
Materials		5.5	%
Telecommunication Services		0.4	%
Utilities		1.5	%
Other		4.2	%
Total		100.0	%

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Real Estate Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		4.2	%
Consumer Staples		0.9	%
Financials		94.9	%
Other		0.0	%
Total		100.0	%

Commodity Portfolio

Security Allocation	Percentage of Value
Energy		47.0	%
Financials		22.3	%
Health Care		0.2	%
Industrials		0.9	%
Information Technology		0.8	%
Materials		18.1	%
Sovereign Bond		0.2	%
Sovereign Bonds		0.4	%
Utilities		0.3	%
Other		9.8	%
Total		100.0	%

ESG Growth Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		13.0	%
Consumer Staples		10.8	%
Energy		6.9	%
Financials		9.8	%
Health Care		13.7	%
Industrials		15.3	%
Information Technology		17.8	%
Materials		6.4	%
Telecommunication Services		4.3	%
Utilities		2.0	%
Other		0.0	%
Total		100.0	%

International Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		10.8	%
Consumer Staples		7.6	%
Energy		5.6	%
Financials		35.5	%
Health Care		9.7	%
Industrials		11.7	%
Information Technology		4.5	%
Materials		5.8	%
Telecommunication Services		5.8	%
Utilities		1.7	%
Other		1.3	%
Total		100.0	%

Institutional International Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		12.5	%
Consumer Staples		10.0	%
Energy		6.7	%
Financials		22.0	%
Health Care		11.5	%
Industrials		15.2	%
Information Technology		5.8	%
Materials		6.7	%
Telecommunication Services		6.4	%
Utilities		2.0	%
Other		1.2	%
Total		100.0	%

Emerging Markets Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		9.0	%
Consumer Staples		4.7	%
Energy		7.6	%
Financials		44.4	%
Health Care		0.5	%
Industrials		5.6	%
Information Technology		10.8	%
Materials		5.5	%
Telecommunication Services		6.1	%
Utilities		3.9	%
Other		1.9	%
Total		100.0	%

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Additional Information (continued) — December 31, 2015 (Unaudited)

Core Fixed Income Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		3.9	%
Consumer Staples		2.9	%
Energy		4.4	%
Financials		19.8	%
Health Care		3.0	%
Industrials		3.4	%
Information Technology		1.9	%
Materials		3.7	%
Telecommunication Services		3.3	%
Utilities		3.3	%
Other		50.4	%
Total		100.0	%

Fixed Opportunity Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		12.7	%
Consumer Staples		2.7	%
Energy		8.1	%
Financials		24.8	%
Health Care		5.6	%
Industrials		8.1	%
Information Technology		2.7	%
Materials		4.9	%
Telecommunication Services		7.4	%
Utilities		2.7	%
Other		20.3	%
Total		100.0	%

U.S. Government Fixed Income Portfolio

Security Allocation	Percentage of Value
Treasury		82.4	%
Agency		6.0	%
Corporate		0.1	%
Yankee Dollar		0.1	%
Other		11.4	%
Total		100.0	%

Inflation Protected Portfolio

Security Allocation	Percentage of Value
Treasury		94.6	%
Other		5.4	%
Total		100.0	%

U.S. Corporate Fixed Income Portfolio

Security Allocation	Percentage of Value
Consumer Discretionary		8.4	%
Consumer Staples		6.3	%
Energy		9.9	%
Financials		33.1	%
Health Care		6.5	%
Industrials		8.4	%
Information Technology		3.6	%
Materials		8.8	%
Telecommunication Services		7.8	%
Utilities		7.2	%
Other		0.0	%
Total		100.0	%

U.S. Mortgage/Asset Backed Fixed Income Portfolio

Security Allocation	Percentage of Value
Agency		84.3	%
Mortgage		5.5	%
Asset Backed Securities		1.7	%
Yankee Dollar		0.3	%
Other		8.2	%
Total		100.0	%

Short-Term Municipal Portfolio

Security Allocation	Percentage of Value
Financials		3.7	%
General		10.1	%
General Obligation		32.4	%
Health Care		2.1	%
Higher Education		7.3	%
Medical		3.8	%
Power		2.6	%
School District		9.3	%
Transportation		19.1	%
Utilities		3.2	%
Water		6.4	%
Other		0.0	%
Total		100.0	%

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Additional Information (continued) — December 31, 2015 (Unaudited)

Intermediate Municipal Portfolio

Security Allocation	Percentage of Value
Airport		4.9	%
Development		1.2	%
Education		3.7	%
Facilities		4.2	%
Financials		4.8	%
General		17.3	%
General Obligation		14.1	%
Higher Education		3.6	%
Industrials		0.0	%
Medical		5.8	%
Multi-Family Housing		0.0	%
Nursing Homes		0.3	%
Power		5.2	%
School District		2.3	%
Single Family Housing		0.1	%
Student Loan		1.2	%
Tobacco Settlement		2.5	%
Transportation		12.6	%
Utilities		5.3	%
Water		9.2	%
Other		1.7	%
Total		100.0	%

Intermediate Municipal II Portfolio

Security Allocation	Percentage of Value
Education		6.1	%
Facilities		5.7	%
Financials		6.1	%
General		8.4	%
General Obligation		36.5	%
Higher Education		3.6	%
Medical		2.1	%
Pollution		2.0	%
Power		5.1	%
School District		2.1	%
Transportation		7.4	%
Utilities		5.2	%
Water		9.7	%
Other		0.0	%
Total		100.0	%

7.     BOARD APPROVAL OF INVESTMENT ADVISORY CONTRACTS

The Trust’s investment adviser is HC Capital Solutions (the “Adviser”), an operating division of Hirtle Callaghan & Co. LLC, (“Hirtle Callaghan”). The Adviser provides overall investment management services with respect to the Trust and its Portfolios pursuant to the terms of two separate agreements with the Trust (“HC Contracts”). The Adviser is authorized under the HC Contracts to purchase and sell portfolio securities for the Portfolios. Day-to-day portfolio management services are generally provided to the respective Portfolios by one or more investment advisory organizations (each a “Specialist Manager”) pursuant to the terms of separate investment advisory agreements (each, a “Portfolio Management Agreement”). The Trust consists of twenty-two Portfolios, sixteen of which are managed by two or more Specialist Managers,¹ and one of which, The Catholic SRI Growth Portfolio (“SRI Portfolio”), commenced operations subsequent to the date of this Semi-Annual Report. Each Specialist Manager is responsible for providing day-to-day portfolio management services for that portion of a Portfolio’s assets allocated to it by, and under the supervision of, the Adviser.

During the six-month period covered by this report, the Trust’s Board of Trustees (the “Board”):

• Approved continuation of certain Portfolio Management Agreements (“Continuing Agreements”), as set forth below;

• Approved New Portfolio Management Agreements with each of Cadence Capital Management, LLC (“Cadence”), Mellon Capital Management Corporation (“Mellon Capital”), Parametric Portfolio Associates, LLC (“Parametric”) and Agincourt Capital Management, LLC (“Agincourt”) relating to the SRI Portfolio; and

• Approved an amendments to the Portfolio Management Agreements between the Trust and IronBridge Capital Management, LP (“IronBridge”) reducing the rate at which advisory fees payable to IronBridge are computed.

¹  See Note 3.

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Continuation of Certain Portfolio Management Agreements.    The following Portfolio Management Agreements were approved for continuance during the period.

Specialist Manager	Portfolios
Ariel Investments, LLC.	The Small Capitalization-Mid Capitalization Equity Portfolio
	The Institutional Small Capitalization-Mid Capitalization Equity Portfolio
Artisan Partners Limited Partnership	The International Equity Portfolio
	The Institutional International Equity Portfolio
The Boston Company Asset Management, LLC	The Emerging Markets Portfolio
Cadence Capital Management, LLC	The Value Equity Portfolio
	The Institutional Value Equity Portfolio
	The Growth Equity Portfolio
	The Institutional Growth Equity Portfolio
	The Small Capitalization-Mid Capitalization Equity Portfolio
	The Institutional Small Capitalization-Mid Capitalization Equity Portfolio
	The Commodity Returns Strategy Portfolio
	The Real Estate Securities Portfolio
	The International Equity Portfolio
	The Institutional International Equity Portfolio
	The Emerging Markets Portfolio
Capital Guardian Trust Company	The International Equity Portfolio
	The Institutional International Equity Portfolio
Causeway Capital Management, LLC	The International Equity Portfolio
	The Institutional International Equity Portfolio
Cupps Capital Management Company LLC	The Small Capitalization-Mid Capitalization Equity Portfolio
	The Institutional Small Capitalization-Mid Capitalization Equity Portfolio
Frontier Capital Management Company, LLC	The Small Capitalization-Mid Capitalization Equity Portfolio
	The Institutional Small Capitalization-Mid Capitalization Equity Portfolio
IronBridge Capital Management, LP	The Small Capitalization-Mid Capitalization Equity Portfolio
	The Institutional Small Capitalization-Mid Capitalization Equity Portfolio
Lazard Asset Management, LLC	The International Equity Portfolio
	The Institutional International Equity Portfolio
Pzena Investment Management, LLC	The Small Capitalization-Mid Capitalization Equity Portfolio
	The Institutional Small Capitalization-Mid Capitalization Equity Portfolio
Wellington Management Company, LLP	The Commodity Returns Strategy Portfolio
	The Real Estate Securities Portfolio

In its deliberations with respect to each of the Continuing Agreements, the Board recognized that each of the respective Specialist Managers is responsible only for day-to-day investment decisions with respect to that portion of a Portfolio’s assets allocated to it. The Board further recognized that the Specialist Managers do not participate in the administration of any of the Portfolios or in the distribution of shares of any Portfolio and thus receive limited, if any, benefit from their association with the Trust other than the fee paid to them by the respective Portfolios for investment management services.

In approving the Continuing Agreements, the Board concluded that continuation of each of the Continuing Agreements was in the best interests of the Trust and consistent with the expectations of shareholders of the respective Portfolios. While the Board did not identify any particular factor as controlling, the Board gave substantial weight to the fact that the Trust is designed primarily to serve as a vehicle through which the Adviser implements asset allocation strategies on behalf of Hirtle Callaghan’s clients and that shares of the Portfolios to which the respective Continuing agreements relate are generally

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Additional Information (continued) — December 31, 2015 (Unaudited)

available only to such clients. The Board also considered representations by the Adviser that the performance achieved by the relevant Specialist Managers was consistent with the Adviser’s expectations, in the context of the overall objectives of the multi-manager strategy, of each of the respective Portfolios as well as the Adviser’s recommendation that each of the Continuing Agreements be approved. During the course of its deliberations, the Board was also informed with respect to publicly available information assembled by a third-party service provider about the performance of peer funds managed by other investment advisory organizations. The Board did not specifically rely on such information but based its conclusions on the facts and circumstances of the Trust.

In concluding that continuation of the Portfolio Management Agreements identified above was appropriate, the Board did not rely upon any single factor but gave considerable weight to the Adviser’s recommendations and its assessment of each Specialist Manager’s overall compliance profile and the success and future ability of each Specialist Manager in capturing the respective Portfolios’ desired asset classes. Based on the foregoing, the Board concluded that the performance of the Specialist Managers was satisfactory and that continuation of such contracts was in the best interest of shareholders of the respective Portfolios.

The Board also determined that the rate at which each of the Specialist Managers is compensated under the Continuing Agreements is reasonable. In reaching this conclusion, the Board had before it information about the impact of break-points, financial information about the Specialist Managers relating to factors such as profitability, comparable fees charged to other institutional clients and/or to peer funds for similar services and costs incurred by the Specialist Managers in providing services to the respective Portfolios as well as industry average fees for peer funds. In considering this information, the Board gave substantial weight to information demonstrating that the rate at which these Specialist Managers are compensated was determined as a result of arms-length negotiations conducted by the officers of the Trust and the Adviser, including in several cases, negotiated fee waivers/reductions and scheduled breakpoints designed to recognize economies of scale where appropriate.

Approval of New Portfolio Management Agreements Related to the SRI Portfolio.    During the period, the Board approved new Portfolio Management Agreements (the “SRI Agreements”) between the Trust and each of Cadence, Mellon Capital, Parametric and Agincourt (the “SRI Managers”) relating to the SRI Portfolio. The following is a summary of the factors considered by the Board in approving the SRI Agreements.

In approving the SRI Agreements, the Board received information from Cadence and Mellon Capital regarding their passive equity investing strategies, information from Parametric regarding its liquidity management strategies, information from Agincourt regarding its fixed income strategies and information from the Adviser regarding the Adviser’s belief that the SRI Managers’ strategies would provide an appropriate foundation upon which to build the new Portfolio. With respect to the nature and quality of the services expected to be provided to the Portfolios, the Board gave considerable weight to the Adviser’s recommendation as well as the Board’s familiarity with the SRI Managers, each of which served as a Specialist Manager to multiple other Portfolios of the Trust at the time it was approved with respect to the SRI Portfolio, including the similarly managed ESG Growth Portfolio. The Board also considered fact that the SRI Managers would not participate in the administration or distribution of shares of the Portfolio and that, other than advisory fees payable under the terms of the SRI Agreements, it was not expected that the SRI Managers would benefit materially from their association with the Trust. The Board also considered information provided to it by the Adviser and the SRI Managers with respect to the nature and quality of the services expected to be provided by the SRI Managers, their performance record in managing investment accounts similar to the Portfolio, their commitment to maintaining a consistent investment strategy, the size and depth of their respective organizations and other factors.

With respect to the fee schedules pursuant to which the SRI Managers would be compensated for its services, the Board was informed with respect to, among other relevant factors, comparative fee information, including information regarding both peer group fees, fees charged by the SRI Managers to other Portfolios of the Trust for which they provide advisory services and the rationale supporting the differences in the various fee schedules relating to different asset classes to be included in the Portfolio. The Board did not specifically rely upon such information, but gave substantial weight to the fact that the rates at which the SRI Managers were to be compensated were determined as a result of arms-length negotiations conducted by the officers of the Trust and the Adviser. The Board determined that the proposed fee schedules were fair and reasonable. In making this determination, the Board recognized that the impact of the fee to be paid to each of the SRI Managers on overall advisory fees would depend on the allocation of assets within the Portfolio.

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Additional Information (concluded) — December 31, 2015 (Unaudited)

Approval of Amendments to the Portfolio Management Agreements with IronBridge.    During the period, the Board also approved an amendment to each of the Portfolio Management Agreements with IronBridge, relating to the Small Capitalization – Mid Capitalization Equity and Institutional Small Capitalization – Mid Capitalization Equity Portfolios (the “Small-Mid Portfolios”). In approving the amendments, which reduced the rate at which fees payable by the Small-Mid Portfolios to IronBridge are computed, the Board reviewed information with respect to the nature of the services provided by IronBridge and the role of the organization in the context of the Small-Mid Portfolios, as well the view of the Adviser to the effect that reduction of the advisory fee rate would not change or impair the nature or quality of services provided to the Small-Mid Portfolios. Based on all of the information presented, the Board concluded that implementation of the amendments was in the best interests of shareholders of the Small-Mid Portfolios.

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HC CAPITAL TRUST

Trustees

JARRETT B. KLING

HARVEY G. MAGARICK

RICHARD W. WORTHAM III

R. RICHARD WILLIAMS

ROBERT J. ZION*

* “Interested Person” as that term is defined in the Investment Company Act of 1940

Investment Adviser

HC Capital Solutions

Five Tower Bridge

300 Barr Harbor Drive, Suite 500

West Conshohocken, PA 19428

Administrator

Citi Fund Services Ohio, Inc.

3435 Stelzer Road

Columbus, OH 43219

Distributor

Unified Financial Securities, LLC

2960 North Meridian Street, Suite 300

Indianapolis, IN 46208-4715

Counsel

Stradley Ronon Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103-7018

McCarter & English, LLP

1600 Market Street, Suite 3900

Philadelphia, PA 19103

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

41 South High Street, Suite 2500

Columbus, OH 43215

Custodian

State Street Bank and Trust Company

State Street Financial Center

1 Lincoln Street

Boston, MA 02111-2900

This report is for the information of the shareholders of HC Capital Trust. Its use in connection with any offering of the Trust’s shares is authorized only in case of a concurrent or prior delivery of the Trust’s current prospectus. The prospectus contains more complete information, including investment objectives, risks, fees and expenses and should be read carefully before investing or sending any money.

2/16

Item 2. Code of Ethics.

Not Applicable

Item 3. Audit Committee Financial Expert.

Not Applicable

Item 4. Principal Accountant Fees and Services.

Not applicable

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

(a) Not applicable.

(b) Not applicable.

(b)(1) Not applicable.

(b)(2) Not applicable.

(b)(3) Not applicable.

(b)(4) Not applicable.

(b)(5) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not Applicable

Item 11. Controls and Procedures.

(a)The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) 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 registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.

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.

(Registrant)             HC Capital Trust                                    

By (Signature and Title) /s/ Robert J. Zion      Robert J. Zion, Principal Executive Officer

Date: March 7, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title) /s/ Colette L. Bergman      Colette L. Bergman, Principal Financial Officer

Date: March 7, 2016

By (Signature and Title) /s/ Robert J. Zion      Robert J. Zion, Principal Executive Officer

Date: March 7, 2016