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: 811-5038
------------------------------------
Clearwater Investment Trust
(Exact name of registrant as specified in charter)
2000 Wells Fargo Place, 30 East 7th Street, Saint Paul, Minnesota 55101-4930
(Address of principal executive offices) (Zip code)
Jay A. Narverud
Chief Compliance Officer
Fiduciary Counselling, Inc.
2000 Wells Fargo Place, 30 East 7th Street
Saint Paul, Minnesota 55101-4930
(Name and address of agent for service)
Copy to:
Timothy Silva, Esq.
Wilmer, Cutler, Pickering, Hale and Dorr, LLP
60 State Street
Boston, Massachusetts 02109
(Name and address for agent for service)
Registrant's telephone number, including area code:
651-228-0935
Date of fiscal year end: December 31, 2006
Date of reporting period: December 31, 2006
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
[KPMG LOGO]
CLEARWATER INVESTMENT TRUST
Financial Statements
December 31, 2006
(With Report of Independent Registered Public Accounting Firm Thereon)
Clearwater Investment Trust
February 2007
To: Our Unit Holders:
On December 31, 2006 the net asset value of the Clearwater Growth Fund was
$29.47 per unit. The net asset value of the Clearwater Small Cap Fund was $18.71
per unit. On a total return basis for 2006, the Clearwater Growth Fund increased
by 14.8% versus the Russell 1000 increase of 15.5%, while the Clearwater Small
Cap Fund increased by 17.1% versus the Russell 2000 increase of 18.4%. For the
fourth quarter, the Clearwater Growth Fund increased by 6.7%, versus the Russell
1000 increase of 7.0%, while the Clearwater Small Cap Fund increased by 10.4%
versus an increase of 8.9% for the Russell 2000.
On December 31, 2006 the net asset value of the Clearwater Tax-Exempt Bond Fund
was $10.06 per unit. On a total return basis for 2006 the fund increased 5.3%
with a fourth quarter return of 1.3%. For comparative purposes, the Lehman
5-Year Municipal Bond Index increased 3.3% for the year with a 0.6% increase in
the fourth quarter.
Parametric Portfolio Associates, the sub-advisor for the Clearwater Growth Fund,
made the following comments:
Domestic Market Review
During the fourth quarter, the inflation-minded Federal Reserve appeared content
that the economy was neither too hot nor too cold and left interest rates alone
for the third and fourth time in a row. Investors seemed to agree with this
"Goldilocks" notion that the economy was just right, as US equities had their
best quarter of the year, with an increase in the S&P 500 Index of 6.7%. Once
again sector rotation reigned, as the third quarter's worst performing economic
sectors, materials and energy, were the fourth quarter's best performers, both
up over 11%, while health care, a top performing sector in the third quarter,
was the worst performer in the fourth quarter, just up 2.0%. Value outperformed
growth, as investors gravitated towards cheaper stocks, those with lower prices
relative to their trailing earnings and book values. Size was not a factor in
driving returns in the last quarter of 2006, as mid-cap and small-cap stocks
performed similarly to large-cap stocks. While the economic environment seemed
ideal in the fourth quarter, with continued low interest rates, low inflation
and solid GDP growth, the political environment was very volatile, the US
electorate giving both houses of Congress and the majority of governorships to
the Democrats for the first time in 12 years. Although largely motivated by the
war in Iraq, this major political shift could increase volatility in the stock
market, but our broadly diversified, sector-neutral Tax Managed Core portfolios
will provide a
great opportunity to capture the next market leaders, while doing so in a tax
efficient manner.
International Market Review
The global indices ended 2006 with impressive double-digit returns, as
macro-economic data in Europe and the U. S. indicated growth numbers in line
with long term-averages, slowing slightly but aided by inflation marginally
below expectations. The MSCI EAFE Index, measuring all non-North American
developed markets, returned 10.4% for the quarter and 26.3% for the year.
Similarly, the emerging markets measured by the MSCI EMF Index, posted a 17.6%
return for the quarter and a solid 32.2% return for 2006. With business
confidence in Europe stronger then expected and a Euro survey showing that the
manufacturing growth remains well entrenched, most of the European markets
performed strongly during the quarter. Some of the top performing countries in
the region were Sweden (+19.9%), Ireland (+17.4%), Denmark (+16.1%) and Greece
(+15.1%). Germany was up 14.4% as the jobless rate there declined to 9.8%, the
first time it was been below 10% since 1992. The Japanese market was up modestly
at 5.0% with the economy growing much more slowly than previously expected. An
improvement in economic conditions worldwide together with expectation of a soft
landing in the US and Europe has boosted consumer confidence. It remains to be
seen if this will translate to sustained high equity returns worldwide in 2007.
Comparison of the Change in Value of a $10,000 Investment in the Clearwater
Growth Fund and the Russell 1000 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Growth Fund Russell 1000
12/31/1996 10,000.00 10,000.00
12/31/1997 12,835.91 13,285.19
12/31/1998 15,748.40 16,875.29
12/31/1999 19,572.87 20,404.24
12/31/2000 19,174.46 18,814.93
12/31/2001 16,647.11 16,472.55
12/31/2002 12,936.69 12,905.82
12/31/2003 16,754.84 16,763.47
12/31/2004 18,689.11 18,675.28
12/31/2005 19,787.37 19,845.40
12/31/2006 22,709.48 22,913.73
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Total Return One Year Five Years Ten Years
- --------------------------------------------------------------------------------
Growth Fund 14.8% 6.4% 8.6%
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Russell 1000 15.5% 6.8% 8.6%
- --------------------------------------------------------------------------------
Past performance is not predictive of future performance. The graph and table do
not reflect the deduction of taxes that you would pay on fund distributions or
the redemption of future shares.
Kennedy Capital Management, one of the sub-advisors to the Clearwater Small Cap
Fund, made the following comments about the market and their portion of the
portfolio:
Performance
The Russell 2000 Index had a return of 18.4% in 2006, outperforming the S&P 500
return of 15.8%. This represents almost eight years of small cap dominance. To
be perfectly accurate, in 2005 the S&P 500 edged out the Russell 2000 Index by a
mere 30 basis points. Other than that, the Russell 2000 has outpaced the S&P 500
in each calendar year since 1998.
Small caps came out of the blocks with an impressive start in the first quarter
of 2006, posting a return of 13.9%, handily outpacing the S&P 500 by 970 basis
points. The next two quarters of the year favored the S&P 500. Then the final
quarter of 2006 returned to small cap dominance. All in all, 2006 was a
rewarding year for small cap stocks, but posed challenges for active investors
due to rapid sector leadership changes.
For the year, the Clearwater Small Cap Fund slightly underperformed the
benchmark, with a return of 17.1% compared to 18.4% for the Russell 2000. Most
of this underperformance occurred in the third quarter with positive comparisons
in other quarters.
Sector Weightings
The sector weightings for the Kennedy portion of the Clearwater Small Cap Fund
remained comparable in the second half of the year compared to the first six
months of 2006. During the latter half of 2006, significant overweights relative
to our benchmark included Autos and Transportation (6.9% vs the benchmark at
3.8%), Healthcare (13.3% vs 11.4), Materials and Processing (13.9% vs 9.2%), and
Producer Durables (10.7% vs 7.1%). Underweighted sectors included Consumer
Discretionary (12.5% vs 19.3%) and Financials (15.0% vs 24.3%).
Performance Attribution
Overall, the impact of sector weightings during the final two quarters of 2006
accounted for most of the second-half performance. Stock selection during this
interval had limited impact on relative performance. Exceptional results in
Producer Durables were offset by sub-par results in Healthcare. The net impact
of stock selection during the final two quarters of the year was a mere negative
0.16% (16 basis points).
We have maintained a moderate rate of turnover in your portfolio. The three
largest positions in your portfolio at year end were also major positions in
your account at mid-year: Stage Stores (SSI), Griffon Corp (GFF) and Oil States
International (OIS). To give you a flavor of the breadth of companies we select
as holdings in your portfolio, here's a brief description of these three major
portfolio holdings:
Stage Stores operates more than 650 department stores, mainly in rural towns in
Texas and 32 other US states. Through its Stage, Bealls, Palais Royal, and
Peebles stores, the company offers small-town America moderately priced apparel
and accessories,
cosmetics, and footwear. Stage Stores acquired the 78-store B.C. Moore & Sons
chain for about $37 million in 2006.
Griffon's four business segments include garage doors (37% of sales),
installation services (of garage doors and fireplaces; 21% of sales), specialty
plastic films (for use in disposable diapers, adult incontinence products,
medical garments, and surgical drapes; 26% of sales), and advanced information
and communications systems (radar, air-traffic control, and defense systems; 16%
of sales). Griffon's Clopay subsidiary is a leading US garage-door maker. It
sells to such mass retailers as The Home Depot and Lowes. About 75% of Griffon's
sales occur in the United States.
Oil States provides tubular services and offers casing, premium tubing, and line
pipes. The company's well site services range from remote-site accommodations to
hydraulic well control equipment. It also offers offshore products, including
flex-element technology and deepwater mooring systems.
Portfolio Characteristics
We continue to concentrate our attention on uncovering those companies that are
most uniquely positioned for future capital appreciation potential. As always,
our process begins with screening and analyzing those segments of our investment
universe that are most overlooked and undervalued. Of course every year presents
its new set of macro and micro-oriented challenges. We believe, however, that
our fundamentally based research process will continue to be the key to not only
weathering these challenges but also discovering many exciting investment
opportunities in 2007.
Comparison of the Change in Value of a $10,000 Investment in the
Clearwater Small Cap Fund and the Russell 2000 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Small Cap Fund Russell 2000
12/31/1996 $10,000 $10,000
12/31/1997 $14,020 $12,236
12/31/1998 $13,026 $11,925
12/31/1999 $16,583 $14,460
12/31/2000 $18,355 $14,023
12/31/2001 $20,798 $14,371
12/31/2002 $18,663 $11,428
12/31/2003 $29,612 $16,828
12/31/2004 $35,799 $19,912
12/31/2005 $39,108 $20,819
12/31/2006 $45,780 $24,638
- --------------------------------------------------------------------------------
Total Return One Year Five Years Ten Years
- --------------------------------------------------------------------------------
Small Cap Fund 17.1% 17.1% 16.4%
- --------------------------------------------------------------------------------
Russell 2000 18.4% 11.4% 9.4%
- --------------------------------------------------------------------------------
Past performance is not predictive of future performance. The graph and table do
not reflect the deduction of taxes that you would pay on fund distributions or
the redemption of future shares.
Keeley Capital Management: the other sub-advisor to the Clearwater Small Cap
Fund. was hired in 2006 and has a small but growing portion of the Fund to
manage.
SIT Investment Associates: the sub-advisor for the Clearwater Tax-Exempt Bond
Fund, made the following comments:
2006 was a tale of two halves for the fixed income markets. The first half of
the year was quite weak, as the Federal Reserve continued its restrictive policy
with four additional 25 basis point tightenings, raising the federal funds rate
to 5.25%. Fixed income markets rallied considerably in the second half of the
year, however, as growth appeared to slow and the Fed paused, albeit retaining a
tightening bias. The U. S. Treasury and municipal yield curves flattened
considerably during the past year. Long-term Treasury yields finished the year
about 30 basis points higher, while short-term yields rose about 90 basis
points. Long-term municipal yields actually fell about 15 basis points during
2006. Heavy issuance in the government, mortgage, corporate, and municipal
markets continued, and while demand was not as strong as in 2005, it was more
than able to absorb the supply. Many in the market now believe that the Fed is
at the end of its tightening cycle. Moderating but acceptable growth in the
domestic economy accompanied by a still troublesome but improving federal budget
deficit, with moderate and apparently contained inflation despite high oil
prices support this expectation. However, any evidence of stronger growth or
worsening inflation could be met with further short-term interest rate hikes. We
expect the Fed to remain on hold during the first half of 2007, with possibly
some modest easing in the second half of the year.
The trend of revenue bonds outperforming general obligation bonds continued
during 2006, and lower quality issues outperformed those of higher credit
quality, as investors continued to seek yield aggressively. We expect revenue
bonds to continue to be strong performers in 2007. General obligation bond
performance should improve on a relative basis, however, as many cities,
counties and states, have, with the help of solid economic growth, adequately
addressed their most urgent budget problems. Potential problems funding
retirement pension and healthcare obligations remain, however. The Fund's
performance, with its heavy emphasis on revenue bonds, was strong on an absolute
basis due to the high current income it produces, and much stronger than that of
its benchmark, despite its shorter duration, primarily due to its use of
non-rated revenue bonds, whose spreads tightened considerably with the continued
strong demand for yield in the municipal market. Non-rated and rated revenue
bonds significantly enhance total return performance in periods of stable or
rising interest rates.
The economy has now produced twenty-one consecutive quarters of solid growth,
although the third quarter of 2006 was a bit weak. We expect growth to rebound
in the first half of 2007, but to moderate somewhat in the second half of the
year. With the Fed on hold, interest rates are likely to remain in a fairly
narrow trading range. The Treasury yield curve should remain relatively flat,
with the municipal curve somewhat steeper. Given our expectation that the Fed is
close to done with its tightening, we lengthened the Fund's average life
duration, a measure of the Fund's sensitivity to changes in interest
rates, from 3.4 to 3.9 years during the year, accompanied by a small increase in
yield. For comparison, the Fund's benchmark, the Lehman Brothers 5-Year
Municipal Bond Index, had duration of 4.1 years at December 31, 2006. The Fund's
slightly shorter duration and its use of non-rated bonds have positioned it
defensively for the fairly stable interest rate environment that we expect in
2007. We expect to lengthen duration a bit further once it is clear the Fed is
through with its tightening cycle. The Fund's strong yield should continue to
produce high tax-exempt income for its shareholders in the current and expected
market environment. Investment of new cash flows will be focused on maturities
in the 3-20 year range.
Comparison of the Change in Value of a $10,000 Investment in the Clearwater
Tax-Exempt Bond Fund and the Lehman Brothers 5-Year Municipal Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Tax-Exempt Bond Fund Lehman 5-Year Municipal Bond Index
1/14/2000 $10,000 $10,000
12/31/2000 $10,890 $10,772
12/31/2001 $11,549 $11,441
12/31/2002 $12,370 $12,502
12/31/2003 $12,882 $13,017
12/31/2004 $13,406 $13,372
12/31/2005 $14,017 $13,499
12/31/2006 $14,765 $13,949
- --------------------------------------------------------------------------------
One Five Inception
Total Return Year Year 1/14/00
- --------------------------------------------------------------------------------
Tax-Exempt Bond Fund 5.4% 5.0% 5.7%
- --------------------------------------------------------------------------------
Lehman 5-Year Muni 3.3% 4.0% 4.9%
- --------------------------------------------------------------------------------
Past performance is not predictive of future performance. The graph and table do
not reflect the deduction of taxes that you would pay on fund distributions or
the redemption of future shares.
Clearwater Investment Trust Clearwater Management Company
- --------------------------- -----------------------------
G. H. Weyerhaeuser, Jr., President and CEO P. W. Pascoe, Chairman and Treasurer
L. R. Jones W.T. Weyerhaeuser, V.P. and Secretary
C. W. Rasmussen S. B. Carr, Jr.
L. Rasmussen W. J. Driscoll
F. T. Weyerhaeuser E. D. Hlavka
C. W. Morley
F. W. Piasecki
D. C. Titcomb
EXECUTIVE OFFICERS AND TRUSTEES
Information About the Funds' Independent Trustees
====================================================================================================================================
Number of
Portfolios in Other
Principal the Fund Complex Directorships
Positions Held with Term of Office and Occupation(s) During Overseen by the Held by the
Name, Address, and Age the Funds Length of Time Served the Last 5 Years Trustee Trustee
====================================================================================================================================
Lucy R. Jones Trustee Tenure: 6 yrs Private Investor 3 None
(65) Term:
Indefinite
30 East 7th Street,
Saint. Paul,
Minnesota 55101
- ------------------------------------------------------------------------------------------------------------------------------------
Charles W. Trustee Tenure: 6 yrs President and 3 None
Rasmussen (39)(1) Term: Chief Executive
Indefinite Officer, P&G
Manufacturing, Inc.
30 East 7th Street, (air filtration
Saint. Paul, equipment, 2002-
Minnesota 55101 Present);
- ------------------------------------------------------------------------------------------------------------------------------------
Laura E. Trustee Tenure: 6 yrs Private Investor 3 None
Rasmussen (43)(1) Term:
Indefinite
30 East 7th Street,
Saint. Paul,
Minnesota 55101
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Mr. Rasmussen and Ms. Rasmussen are spouses-in-law, and are nieces or
nephews of Mr. Weyerhaeuser (see below).
EXECUTIVE OFFICERS AND TRUSTEES
Information About the Funds' Officers and Interested Trustee
====================================================================================================================================
Number of
Portfolios in Other
Principal the Fund Complex Directorships
Positions Held with Term of Office and Occupation(s) During Overseen by the Held by the
Name, Address, and Age the Funds Length of Time Served the Last 5 Years Trustee Trustee
====================================================================================================================================
George H. Trustee, Chairman, As Trustee; Senior Vice 3 None
Weyerhaeuser, Jr. (53) Chief Executive Tenure: 1 yr President,
Officer and Term: Indefinite Technology,
Treasurer Weyerhaeuser
Company (1998 -
2006)
30 East 7th Street, As Officer; Director,
Saint. Paul, Tenure: 1 yr Clearwater
Minnesota 55101 Term Expires: Management
December, 2007 Company (1987-
2006)
- ------------------------------------------------------------------------------------------------------------------------------------
Frederick T. Trustee, Vice As Trustee; Private Investor 3 Potlatch
Weyerhaeuser (75)(1) President and Tenure: 20 yrs Corporation
Secretary Term: Indefinite (1960-2003)
30 East 7th Street, As Officer;
Saint. Paul, Tenure: 20 yrs
Minnesota 55101 Term Expires:
December, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Mr. Weyerhaeuser is an interested trustee due to his daughter's position
as a director of Clearwater Management Company, the Funds' adviser.
Shareholder Expense Example
As a shareholder of the Funds, you incur costs, including management fees and
other Fund expenses. This Example is intended to help you to understand your
ongoing costs (in dollars) of investing in the Funds.
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, 2006 to December 31, 2006.
Actual Expenses
The first section of the table below provides information about actual account
values and actual expenses. You may use the information in this section,
together with the amount you invested, to estimate the expenses that you
incurred over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first section under the heading entitled "Expenses
Paid During the Period" to estimate the expenses attributable to your investment
during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. Thus, you should not use the hypothetical account
values and expenses to estimate the actual ending account balance or your
expenses for the period. Rather, these figures are provided to enable you to
compare the ongoing costs of investing in the Clearwater Funds and funds offered
by other organizations. To do so, compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of the other
funds.
Please note that the expenses shown in the second section of the table are meant
to highlight your ongoing costs only. Therefore, the second section of the table
is useful in comparing ongoing costs only, and will not help you compare the
relative total costs of the Clearwater Funds to funds that charge transaction
costs and/or sales charges or redemption fees.
---------------------------------------------------------
Expenses Paid
During the
Ending Account Period*
Beginning Account Value July 1, 2006 thru
Value December 31, December 31,
Actual July 1, 2006 2006 2006
- -----------------------------------------------------------------------------------------
Growth Fund $1,000.00 $1,122.70 $1.61
- -----------------------------------------------------------------------------------------
Small Cap Fund $1,000.00 $1,076.00 $5.23
- -----------------------------------------------------------------------------------------
Tax-Exempt Bond Fund $1,000.00 $1,038.90 $2.11
- -----------------------------------------------------------------------------------------
Hypothetical (5% return
before expenses)
- -----------------------------------------------------------------------------------------
Growth Fund $1,000.00 $1,025.21 $1.53
- -----------------------------------------------------------------------------------------
Small Cap Fund $1,000.00 $1,025.21 $5.10
- -----------------------------------------------------------------------------------------
Tax-Exempt Bond Fund $1,000.00 $1,025.21 $2.09
- -----------------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratios, multiplied by
the average account value over the period, multiplied by 184/365 (to
reflect the one-half year period). The annualized expense ratios are as
follows:
Growth Fund 0.30%
Small Cap Fund 1.00%
Tax-Exempt Bond Fund 0.41%
Quarterly Portfolio Schedule of Investments
The Funds file a complete schedule of their portfolio holdings as of the close
of the first and third quarters of their fiscal years with the SEC on Form N-Q.
Shareholders may request copies of Form N-Q free of charge by calling the
Transfer Agent toll free at 1-888-228-0935 or by sending a written request to:
Fiduciary Counselling, Inc, 30 East 7th Street, Suite 2000, St. Paul, MN 55101
Attn: Clearwater Investment Trust Transfer Agent. These filings are also
available on the SEC's Internet site at http://www.sec.gov and may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC. Information
about the public reference room may be obtained by calling 1-800-SEC-0330.
Voting Proxies on Fund Portfolio Securities
The funds have established Proxy Voting Policies and Procedure ("Policies") that
the funds use to determine how to vote proxies relating to portfolio securities.
They also report, on Form N-PX, how the Funds voted any such proxies during the
most recent 12-month period ended June 30. Shareholders may request copies of
the Policies or Form N-PX free of charge by calling the Transfer Agent toll free
at 1-888-228-0935 or by sending a written request to: Fiduciary Counselling,
Inc, 30 East 7th Street, Suite 2000, St. Paul, MN 55101 Attn: Clearwater
Investment Trust Transfer Agent. Form N-PX is also available from the EDGAR
database on the SEC's Internet site at http://www.sec.gov.
Board Approval of the Investment Advisory Agreement and Subadvisory Contracts
Clearwater Management Company
Clearwater Management Company (CMC) is responsible for managing the investment
programs and strategies for the Growth Fund, Small Cap Fund and Tax-Exempt Bond
Fund. The Trustees agreed to retain the CMC under the terms of the investment
advisory agreement dated March 1, 1998. The agreement will continue for one year
and is renewable for successive one-year periods.
The Trustees discussed the materials presented throughout the year and those
presented during the meeting in connection with the annual advisory agreement
renewal with Clearwater Management Co. Inc. (CMC). The board based its decision
on the information contained in the materials presented. The Trustees considered
the factors discussed below among others. No single factor determined whether or
not the agreement would be renewed but rather the totality of factors considered
was determinative.
Nature, Extent and Quality of Services Provided
The Trustees considered the nature and quality of the services provided by CMC
since 1987. The Trustees considered the quality of the due diligence work that
CMC performs on the sub-advisers and noted the good reputation that the CMC
board has with the shareholder base. They also noted their approval of the
various ideas for enhancements and adjustments to the funds made by CMC. The
Trustees considered reports presented to them which demonstrate CMC's compliance
with both its and the fund's compliance policies and procedures and Codes of
Ethics. Based on their analysis of the data presented, the Trustees concluded
that they were pleased with the nature and quality of the services provided.
Investment Performance
The Trustees considered the work performed by CMC in monitoring the investment
performance of the various sub-advisers. They noted their approval of the
investment performance of the funds compared to other funds with similar
objectives. The Trustees concluded that they were pleased with the services that
CMC provided regarding the investment performance of the funds.
Cost of Services
The Trustees reviewed the fees paid to CMC. They noted their appreciation that
CMC has negotiated the best deal possible with the sub-advisers regarding their
fees. They were also pleased with CMC's willingness to limit their profitability
through voluntary fee reductions, including the most recent waiver effective
April 1, 2006. It was also noted that CMC charges a fixed fee which results in
fewer cost fluctuations and willingly pays certain expenses that are normally
borne by the shareholders, namely the Fidelity transaction fee. The Trustees
concluded that they were pleased with the cost of services paid to CMC, noting
that the fee is very reasonable for the services provided.
Parametric Portfolio Associates
Parametric Portfolio Associates (Parametric) is responsible for managing the
investment program and strategies for the Growth Fund. The Trustees agreed to
retain Parametric under the terms of the subadvisory contract dated September
20, 2001. The agreement will continue for one year and is renewable for
successive one-year periods.
The Trustees considered the materials presented throughout the year and based
their decision on that information, including the most recent evaluation of
Parametric's investment staff, portfolio management process and fund
performance. The Trustees considered the factors discussed below among others.
No single factor determined whether or not the agreement would be renewed but
rather the totality of factors considered was determinative.
Nature, Extent and Quality of Services Provided
The trustees considered the depth and experience of the Parametric organization.
Parametric was founded in 1987 and currently has assets under management of
$17.8 billion and employs a team of twenty-two investment professionals. They
specialize in index-based and structured equity strategies and are considered
the industry leader in tax-efficient portfolio management. Parametric uses a
quantitative, technology driven process that can be highly automated. Parametric
has been managing the Growth Fund since 1997 and has had four ownership changes
during this timeframe. Brian Langstraat is the Chief Executive Officer and he
has been with Parametric since 1990. Debjani Chaudhuri manages the portfolio.
The investment objective of the Clearwater Growth Fund is to achieve long-term,
broad, diversified exposure to the U.S. equity market in a tax-efficient and low
cost manner. The portfolio targets the Russell 1000 index. The trustees also
considered reports presented to them which demonstrate Parametric's compliance
with both its and the fund's compliance polices and procedures and codes of
ethics. Based on their analysis of the data presented, the trustees concluded
that they were pleased with the nature and quality of the services provided.
Investment Performance
The trustees considered the fund's performance in the short and intermediate
terms as well as since inception. They compared the fund's performance to
relevant benchmarks and peer groups and noted that the returns have met
expectations in recent years. They paid particular attention to the performance
reports prepared for their consideration by the fund's transfer agent and
shareholder service provider that demonstrated consistent performance relative
to the benchmark and noted that the tax efficiency targets have been met or
exceeded. It was noted that the tracking error has been significantly below the
stated benchmark of 1.5% and is currently at 0.4%.
Cost of Services
The trustees made a comparative analysis of the fund's subadvisory fee relative
to similar funds as well as other institutional investment accounts. The
trustees noted that management fees charged by most advisers directly managing a
fund's portfolio (i.e. not via hiring a subadviser to manage the portfolio) also
covers significant administrative services not required of Parametric.
Parametric charges a fee based on assets under management on a sliding scale
ranging from 45 basis points on the first $1 million under
management to 10 basis points on assets in excess of $75 million. It was noted
that trading costs are exceptionally low as is typical for a tax-managed
account. The management expense as a percentage of average assets under
management in 2006, the time period examined by the trustees, was 15 basis
points or 0.15%. The trustees relied on presentations by the fund's transfer
agent and shareholder servicing provider comparing Parametric's management fee
to its relevant peer groups both within the investment company universe and
within the institutional investor universe in general. Such presentations relied
on reports published by Morningstar. This analysis led the trustees to determine
that the fees charged to the fund were fair and reasonable in light of the high
quality services tailored specifically to the fund's circumstances.
Additionally, the trustees relied, in making their decision, on Parametric's
representation that the fee charged is less than a new client would pay. The
trustees also noted that the fee charged by Parametric when combined with all
other fund expenses resulted in an overall expense ratio to the fund of .30% of
average net assets versus the industry average for large cap domestic funds of
1.12% according to fund analysis company Morningstar, Inc.
Management Profitability
The trustees did not consider the profitability of Parametric resulting from its
relationship with the fund. The fund's situation is different from that where
the portfolio is managed by the sole adviser, which established, promotes and
markets the fund as a method of increasing its assets under management and,
therefore, its profitability. Parametric is an independent firm and the advisory
fee charged is the result of arm's length bargaining between Parametric and the
fund's adviser under the supervision of the trustees.
Economies of Scale
The trustees considered whether the fund could enjoy economies of scale as it
grows as a result of Parametric realizing economies of scale. Due to the
quantitative, technology-driven service that can be highly automated, it was
determined that there is no natural limit to the assets that they could manage
under this approach. Also, since the current fee charged by Parametric (.15%) is
lower than their general fee schedule (.20%), there are no benefits to be seen
regarding reducing fees. Based on the above, the trustees determined that
further economies of scale resulting from the relationship with Parametric were
not a consideration in that the fee is already low.
Kennedy Capital Management
Kennedy Capital Management (Kennedy) is responsible for managing a portion of
the investment program and strategies for the Small Cap Fund. The Trustees
agreed to retain Kennedy under the terms of the subadvisory contract dated April
16, 1999. The agreement will continue for one year and is renewable for
successive one-year periods.
The Trustees considered the materials presented throughout the year and based
their decision on that information, including the most recent evaluation of
Kennedy's investment staff, portfolio management process and fund performance.
The Trustees considered the factors discussed below among others. No single
factor determined whether or not the agreement would be renewed but rather the
totality of factors considered was determinative.
Nature, Extent and Quality of Services Provided
The trustees considered the depth, experience and organizational stability of
the Kennedy Capital organization. Kennedy has been managing investment
portfolios since 1980 with total assets under management of $4.4 billion and
employs a team of twenty-four investment professionals. They provide active
small cap domestic security selection with 95% institutional and 5% high net
worth clients. Kennedy has had a number of management changes over the years and
is currently headed by Randy Kirkland, President and CEO. Matt Jermak is the
portfolio manager and he has been with Kennedy since 1992. Kennedy Capital is
research-intensive and narrowly focused on small cap equities. Their process has
evolved since they were originally hired to manage the fund in 1994 into a very
sophisticated set of fundamental criteria that captures the contrarian
philosophy of the firm's founders. This has resulted in investment returns well
above both the fund's peers and its comparable indices. The trustees also
considered reports presented to them which demonstrate Kennedy's compliance with
both its and the fund's compliance polices and procedures and codes of ethics.
Based on their analysis of the data presented, the trustees concluded that they
were pleased with the nature and quality of the services provided.
Investment Performance
The trustees considered the fund's performance in the short and intermediate
terms as well as since inception. They compared the fund's performance to
relevant benchmarks and peer groups and noted that the returns have exceeded
expectations. They paid particular attention to the performance reports prepared
for their considerations by the fund's transfer agent and shareholder service
provider that demonstrated solid relative performance against both the small-cap
and micro-cap universes. Kennedy has continued to achieve investment performance
that ranks in the top quartile of similar managers. Trading continues to be a
strength for Kennedy. Abel-Noser reports place their execution near the top of
their peer group. Tax efficiency is not a high priority for Kennedy, but the
portfolio manager does review the portfolio for tax-loss harvesting
opportunities and strives to hold securities long enough to achieve long-term
gain status. Due to their exceptional pre-tax returns, the minimal attention to
tax efficiencies has not been a large drawback. The trustees concluded that they
were satisfied with Kennedy Capital's investment management performance.
Cost of Services
The trustees made a comparative analysis of the fund's subadvisory fee relative
to similar small cap funds as well as other institutional investment accounts.
The trustees noted that management fees charged by most advisers directly
managing a fund's portfolio (i.e. not via hiring a subadviser to manage the
portfolio) also cover significant administrative services not required of
Kennedy. Kennedy charges a fee based on assets under management on a sliding
scale ranging from 85 basis points on the first $50 million under management to
80 basis points on assets in excess of $50 million. The management expense as a
percentage of average assets under management in 2006, the time period examined
by the trustees, was 81 basis points or 0.81%. The trustees relied on
presentations by the fund's transfer agent and shareholder servicing provider
comparing Kennedy's management fee to its relevant peer groups both within the
investment company universe and within the institutional investor universe in
general. Such
presentations relied upon reports published by Morningstar. This analysis led
the trustees to determine that the fees charged to the fund were fair and
reasonable in light of the high quality services provided. Additionally, the
trustees relied, in making their decision, on Kennedy's representation that no
client with a similar account was being charged a lesser fee. The trustees also
noted that the fee charged by Kennedy when combined with all other fund expenses
resulted in an overall expense ratio to the fund of 1.00% of average net assets
versus the industry average for small cap domestic funds of 1.40% according to
fund analysis company Morningstar, Inc.
Management Profitability
The trustees did not consider the profitability of Kennedy resulting from its
relationship with the fund. The fund's situation is different from that where
the portfolio is managed by the sole adviser, which established, promotes and
markets the fund as a method of increasing its assets under management and,
therefore, its profitability. Kennedy is an independent firm and the advisory
fee charged is the result of arm's length bargaining between Kennedy and the
fund's adviser under the supervision of the trustees.
Economies of Scale
The trustees considered whether the fund could enjoy economies of scale as it
grows as a result of Kennedy realizing economies of scale. They found that there
was some room in the current fee schedule for Kennedy's fee, as a percentage of
assets under management, to go down slightly as a growing asset base moves the
overall percentage down from the current 81 basis points towards 80 basis
points. The trustees determined that further economies of scale resulting from
the relationship with Kennedy were not a major consideration given that the
relationship is the result of arm's length bargaining, most of the economies of
scale have already been realized and that the fee is already low--especially in
light of the quality of service provided.
Keeley Asset Management
Keeley Asset Management (Keeley) is responsible for managing a portion of the
investment program and strategies for the Small Cap Fund. The Trustees agreed to
retain Keeley under the terms of the subadvisory contract dated August 1, 2006.
The agreement will continue for two years and is renewable for successive
one-year periods.
The Trustees considered the materials presented throughout the year and based
their decision on that information, including the most recent evaluation of
Keeley's investment staff, portfolio management process and fund performance.
The Trustees considered the factors discussed below among others. No single
factor determined whether or not the agreement would be renewed but rather the
totality of factors considered was determinative.
Nature, Extent and Quality of Services Provided
The trustees considered the depth, experience and organizational stability of
the Keeley Asset Management organization. Keeley has been managing investment
portfolios since 1982 with total assets under management of $5 billion and
employs a team of sixteen investment professionals. Keeley was headed by John L.
Keeley, Jr., who is its President, sole equity owner and is the portfolio
manager. Their investment strategy is to exploit
several inefficient niches by investing in small to mid cap companies undergoing
internal corporate restructuring. This strategy is viewed as a complement to the
diversified small cap portfolio that is managed by Kennedy Capital Management.
Keeley favors industries with long product life cycles, avoiding technology and
healthcare. A typical portfolio will contain 50-60 holdings with each holding
representing no more than 2% of the portfolio. Cash positions range between
3-10% and the average portfolio turnover is approximately 33%. Keeley regularly
re-balances the portfolio in order to reduce the holdings of appreciated stocks
and to free cash to invest in underweighted securities. The trustees also
considered reports presented to them which demonstrate Keeley's compliance with
both its and the fund's compliance polices and procedures and codes of ethics.
Based on their analysis of the data presented, the trustees concluded that they
were pleased with the nature and quality of the services provided.
Investment Performance
The trustees considered the subadviser's performance in the short period since
inception. They compared the fund's performance to relevant benchmarks and peer
groups. They paid particular attention to the performance reports prepared for
their considerations by the fund's transfer agent and shareholder service
provider. The trustees concluded that they were satisfied with Keeley's
investment management performance to date but will continue to monitor closely
due to the short-term history with Clearwater.
Cost of Services
The trustees made a comparative analysis of the fund's subadvisory fee relative
to similar small cap funds as well as other institutional investment accounts.
The trustees noted that management fees charged by most advisers directly
managing a fund's portfolio (i.e. not via hiring a subadviser to manage the
portfolio) also cover significant administrative services not required of
Keeley. Keeley charges a fee based on assets under management on a sliding scale
ranging from 100 basis points on the first $2 million under management to 70
basis points on assets in excess of $10 million. The trustees relied on
presentations by the fund's transfer agent and shareholder servicing provider
comparing Keeley's management fee to its relevant peer groups both within the
investment company universe and within the institutional investor universe in
general. Such presentations relied upon reports published by Morningstar. This
analysis led the trustees to determine that the fees charged to the fund were
fair and reasonable in light of the high quality services provided.
Management Profitability
The trustees did not consider the profitability of Keeley resulting from its
relationship with the fund. The fund's situation is different from that where
the portfolio is managed by the sole adviser, which established, promotes and
markets the fund as a method of increasing its assets under management and,
therefore, its profitability. Keeley is an independent firm and the advisory fee
charged is the result of arm's length bargaining between Keeley and the fund's
adviser under the supervision of the trustees.
Economies of Scale
The trustees considered whether the fund could enjoy economies of scale as it
grows as a result of Keeley realizing economies of scale. They found that there
was some room in
the current fee schedule for Keeley's fee, as a percentage of assets under
management, to go down as a growing asset base moves the overall percentage.
Sit Fixed Income Advisers II
Sit Fixed Income Advisers II (Sit) is responsible for managing the investment
program and strategies for the Tax-Exempt Bond Fund. The Trustees agreed to
retain Sit under the terms of the subadvisory contract dated December 15, 1999.
The agreement will continue for one year and is renewable for successive
one-year periods.
The Trustees considered the materials presented throughout the year and based
their decision on that information, including the most recent evaluation of
Sit's investment staff, portfolio management process and fund performance. The
Trustees considered the factors discussed below among others. No single factor
determined whether or not the agreement would be renewed but rather the totality
of factors considered was determinative.
Nature, Extent and Quality of Services Provided
The trustees considered the depth, experience and organizational stability of
the Sit organization. Sit and its affiliates have been managing investment
portfolios since 1981 with total assets under management of $6.6 billion and
$4.5 billion in fixed income. Sit is a stable, well-capitalized organization and
has had no ownership changes. Mr. Michael C. Brilley, President and Senior Fixed
Income Officer and manager of the fund, has been in the investment management
business for over 38 years and has been with Sit since 1984. Mr. Paul J.
Jungquist, Vice President and Senior Fixed Income Portfolio Manager and Fixed
Income Credit Analyst and co-manager of the fund has been with Sit since 1994.
He specializes in non-rated securities. The portfolio managers adhere to a
research-intensive and disciplined investment process which, as discussed below,
has resulted in sound investment returns at a level of volatility well below
that of both the fund's peers and its comparison indices. The trustees also
considered reports presented to them which demonstrate Sit's compliance with
both its and the fund's compliance polices and procedures and codes of ethics.
Based on their analysis of the data presented, the trustees concluded that they
were pleased with the nature and quality of the services provided.
Investment Performance
The trustees considered the fund's performance in the short and intermediate
terms as well as since inception. They compared the fund's performance to
relevant benchmarks and peer groups and noted that the combined risk-adjusted
returns have consistently met or exceeded expectations. They paid particular
attention to the performance reports prepared for their considerations by the
fund's transfer agent and shareholder service provider that demonstrated solid
relative and absolute performance.
Cost of Services
The trustees made a comparative analysis of the fund's subadvisory fee relative
to similar tax-exempt bond funds as well as other institutional investment
accounts. The trustees noted that management fees charged by most advisers
directly managing a fund's portfolio (i.e. not via hiring a subadviser to manage
the portfolio) also cover significant
administrative services not required of Sit. Sit charges a fee based on assets
under management on a sliding scale ranging from 40 basis points on the first
$20 million under management to 20 basis points on assets in excess of $75
million. The management expense as a percentage of average assets under
management in 2006, the time period examined by the trustees, was 23 basis
points or 0.23%. The trustees relied on presentations by the fund's transfer
agent and shareholder servicing provider comparing Sit's management fee to its
relevant peer groups both within the investment company universe and within the
institutional investor universe in general. Such presentations relied upon
published reports from Morningstar. This analysis led the trustees to determine
that the fees charged to the fund were fair and reasonable in light of the high
quality services provided. Additionally, the trustees relied, in making their
decision, on Sit's representation that no client with a similar account was
being charged a lesser fee. The trustees also noted that the fee charged by Sit
when combined with all other fund expenses resulted in an overall expense ratio
to the fund of 0.41% of average net assets versus the industry average for tax
exempt bond mutual funds of 0.82% according to fund analysis company
Morningstar, Inc.
Management Profitability
The trustees did not consider the profitability of Sit resulting from its
relationship with the fund. The fund's situation is different from that where
the portfolio is managed by the sole adviser, which established, promotes and
markets the fund as a method of increasing its assets under management and,
therefore, its profitability. Sit is an independent firm and the advisory fee
charged is the result of arm's length bargaining between Sit and the fund's
adviser under the supervision of the trustees.
Economies of Scale
The trustees considered whether the fund could enjoy economies of scale as it
grows as a result of Sit realizing economies of scale. They found that there was
some room in the current fee schedule for Sit's fee, as a percentage of assets
under management, to go down as a growing asset base moves the overall
percentage down from the current 23 basis points towards 20 basis points. The
trustees determined that further economies of scale resulting from the
relationship with Sit were not a major consideration given that the relationship
is the result of arm's length bargaining, most of the economies of scale have
already been realized and that the fee is already low--especially in light of
the quality of service provided.
[LETTERHEAD OF KPMG LLP]
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Clearwater Investment Trust:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Clearwater Growth Fund, Clearwater Small Cap
Fund, and Clearwater Tax-Exempt Bond Fund (funds within Clearwater Investment
Trust) (the Funds) as of December 31, 2006, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the years in the two-year period then ended, and the financial
highlights for each of the years in the five-year period then ended. These
financial statements and the financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and the financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 2006, by correspondence with
the custodian and brokers or by other appropriate auditing procedures where
replies from brokers were not received. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and the financial highlights referred
to above present fairly, in all material respects, the financial position of
Clearwater Growth Fund, Clearwater Small Cap Fund, and Clearwater Tax-Exempt
Bond Fund at December 31, 2006, the results of their operations for the year
then ended, the changes in their net assets for each of the years in the
two-year period then ended, and the financial highlights for each of the years
in the five-year period then ended, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
February 23, 2007
CLEARWATER INVESTMENT TRUST
Statements of Assets and Liabilities
December 31, 2006
Growth Small Cap Tax-Exempt
Assets Fund Fund Bond Fund
------------- ------------- -------------
Investments in uncollectible securities, at fair value
(identified cost: $168,837,180 Growth Fund;
$226,260,495 Small Cap Fund; $282,323,738
Tax-Exempt Bond Fund) $ 295,010,120 263,380,508 282,742,316
Receivable for securities sold 1,757,853 3,217,038 562,461
Accrued dividend and interest receivable, less
the allowance for uncollectible interest
of $214,646 (Tax-Exempt Bond Fund) 385,387 282,304 3,985,478
------------- ------------- -------------
Total assets 297,153,360 266,879,850 287,290,255
------------- ------------- -------------
Liabilities
Payables for investment securities purchased 3,729,103 193,796 2,651,527
Payables for fund shares redeemed 1,701,845 12,199,198 393,535
Disbursements in excess of cash -- -- 219,375
Accrued investment advisory fee 209,439 640,776 281,040
------------- ------------- -------------
Total liabilities 5,640,387 13,033,770 3,545,477
------------- ------------- -------------
Net assets $ 291,512,973 253,846,080 283,744,778
============= ============= =============
Capital
Capital stock and additional paid-in capital
(authorized unlimited number of shares at no
par value for each Fund: outstanding
9,891,716; 13,569,901; and 28,210,656
shares, respectively) $ 171,704,881 216,009,340 283,805,196
Undistributed net investment income 41,347 -- 29,357
Accumulated net realized gain (loss) (6,406,195) 716,727 (508,353)
Unrealized appreciation of
investments 126,172,940 37,120,013 418,578
------------- ------------- -------------
Net assets $ 291,512,973 253,846,080 283,744,778
============= ============= =============
Net asset value per share of outstanding
capital stock $ 29.47 18.71 10.06
See accompanying notes to financial statements.
2
CLEARWATER INVESTMENT TRUST
Statements of Operations
Year ended December 31, 2006
Growth Small Cap Tax-Exempt
Fund Fund Bond Fund
------------- ------------- -------------
Investment income:
Income:
Dividends (net of foreign taxes withheld
of $2,730, $158, and $0, respectively) $ 4,680,096 1,492,198 113,908
Interest 83,465 484,256 13,228,001
------------- ------------- -------------
Total income 4,763,561 1,976,454 13,341,909
------------- ------------- -------------
Expenses:
Investment advisory fee 1,138,981 3,334,885 1,576,576
Voluntary fee reduction (349,769) (791,167) (463,866)
------------- ------------- -------------
Total net expenses 789,212 2,543,718 1,112,710
------------- ------------- -------------
Net investment income (loss) 3,974,349 (567,264) 12,229,199
------------- ------------- -------------
Realized and unrealized gain on investments:
Net realized gain on security transactions 128,596 31,989,191 488,196
Unrealized appreciation during
the period 32,244,344 7,228,498 1,130,276
------------- ------------- -------------
Net gain on investments 32,372,940 39,217,689 1,618,472
------------- ------------- -------------
Net increase in net assets
from operations $ 36,347,289 38,650,425 13,847,671
============= ============= =============
See accompanying notes to financial statements.
3
CLEARWATER INVESTMENT TRUST
Statements of Changes in Net Assets
Years ended December 31, 2006 and 2005
Growth Fund Small Cap Fund Tax-Exempt Bond Fund
--------------------------- --------------------------- --------------------------
2006 2005 2006 2005 2006 2005
------------- ------------ ------------ ------------ ------------ ------------
Operations:
Net investment income (loss) $ 3,974,349 3,239,655 (567,264) (420,498) 12,229,199 9,732,776
Net realized gain (loss) on investments 128,596 (183,070) 31,989,191 32,094,771 488,196 (619,037)
Unrealized appreciation (depreciation)
during the period 32,244,344 9,638,336 7,228,498 (12,414,271) 1,130,276 127,766
------------- ------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations 36,347,289 12,694,921 38,650,425 19,260,002 13,847,671 9,241,505
------------- ------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income (3,964,912) (3,216,075) -- -- (12,199,842) (9,733,198)
Net realized gain on investments -- -- (30,987,135) (31,690,587) -- --
------------- ------------ ------------ ------------ ------------ ------------
Total distributions to
shareholders (3,964,912) (3,216,075) (30,987,135) (31,690,587) (12,199,842) (9,733,198)
------------- ------------ ------------ ------------ ------------ ------------
Capital share transactions:
Proceeds from shares sold 34,417,700 30,664,800 8,934,890 16,045,384 60,572,020 34,462,703
Reinvestment of distributions from net
investment income and gain 7,180,987 -- 62,677,722 -- 12,199,842 9,733,198
Payments for shares redeemed (11,838,840) (13,352,717) (28,780,546) (13,536,726) (16,150,633) (6,905,680)
------------- ------------ ------------ ------------ ------------ ------------
Increase in net assets from
capital shares transactions 29,759,847 17,312,083 42,832,066 2,508,658 56,621,229 37,290,221
------------- ------------ ------------ ------------ ------------ ------------
Total increase (decrease) in
net assets 62,142,224 26,790,929 50,495,356 (9,921,927) 58,269,058 36,798,528
Net assets:
At the beginning of the year 229,370,749 202,579,820 203,350,724 213,272,651 225,475,720 188,677,192
------------- ------------ ------------ ------------ ------------ ------------
At the end of the year $ 291,512,973 229,370,749 253,846,080 203,350,724 283,744,778 225,475,720
============= ============ ============ ============ ============ ============
Undistributed net investment income $ 41,347 31,910 -- -- 29,357 --
See accompanying notes to financial statements.
4
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
(1) Organization
Clearwater Investment Trust (the Trust) was established on January 12,
1987 as a Massachusetts business trust and is registered under the
Investment Company Act of 1940 (as amended) as a diversified open end
management investment company and presently includes three series of
funds: Clearwater Growth Fund, Clearwater Small Cap Fund, and Clearwater
Tax-Exempt Bond Fund (the Funds). The Trust's declaration of trust permits
the Board of Trustees to create additional funds in the future. The
investment objective of the Clearwater Growth and Small Cap Funds is long
term capital growth. The investment objective of the Clearwater Tax-Exempt
Bond Fund is high current income that is exempt from federal income tax,
consistent with preservation of capital.
The Clearwater Growth Fund is passively managed to track but not replicate
the Russell 1000 Index (the Index), an unmanaged, capitalization weighted
index of the largest 1000 public companies in the United States. The fund
is managed so that its holdings match the holdings of the Index as closely
as possible while attempting to minimize the realization of taxable gains.
This means that the fund will not buy and sell securities to match changes
in the composition of securities in the Index. Instead, the fund's
portfolio is adjusted periodically to reflect the holdings and weightings
of the Index, but only after consideration of the Fund's policy to
minimize realization of taxable gains.
The Clearwater Small Cap Fund invests primarily in equity securities of
issuers with market capitalizations, at the time of investment, no greater
than the range of capitalizations of the companies included in the Russell
2000 Index, an unmanaged, capitalization weighted index of the largest
3000 public companies in the United States less the largest 1000 tracked
by the Russell 1000 Index.
The Clearwater Tax-Exempt Bond Fund invests at least 80% of its assets in
municipal securities, which are debt obligations issued by or for the U.S.
states, territories and possessions, and the District of Columbia. The
interest on these securities is generally exempt from regular federal
income tax and may also be exempt from federal alternative minimum tax.
However, the Fund may invest up to 20% of its assets in securities that
generate interest income subject to federal alternative minimum tax.
(2) Summary of Significant Accounting Policies
The significant accounting policies followed by the Funds are as follows:
(a) Investments in Securities
Investments in equity securities are valued at the last sales price
on the principal exchange or market where they are traded. Equity
securities which have not traded on the date of valuation or
securities for which sales prices are not generally reported are
valued at the mean between the last bid and asked prices. Debt
securities maturing more than 60 days from the valuation date are
valued at the market price supplied by an independent pricing
vendor; those securities with maturities of less than 60 days when
acquired, or which subsequently are within 60 days of maturity, are
valued at amortized cost, which approximates fair value. Securities
for which no market quotations are readily available (including
those the trading of which has been suspended) will be valued at
fair value as determined in good faith by the board of trustees,
although the actual computations may be made by persons acting
pursuant to the direction of the board.
5 (Continued)
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
Security transactions are accounted for on the date the securities
are purchased or sold. Realized gains and losses are calculated on
an identified cost basis. Dividend income is recognized on the
ex-dividend date and interest income, including amortization of
original issue discount and premium, is accrued daily.
(b) Federal Taxes
The Trust's policy is to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies.
On a calendar-year basis, the Funds intend to distribute
substantially all of their net investment income and realized gains,
if any, to avoid the payment of federal income and excise taxes.
Therefore, no income tax provision is required. Each fund is treated
as a separate entity for federal income tax purposes.
Net investment income and net realized gains (losses) for the funds
may differ for financial statement and tax purposes. The character
of distributions made during the year from net investment income or
net realized gains may differ from their ultimate characterization
for federal income tax purposes. Also, due to the timing of dividend
distributions, the fiscal year in which amounts are distributed may
differ from the year that the income or realized gains (losses) were
recorded by the funds. The tax character of distributions paid
during the years ended December 31, 2006 and 2005 was as follows:
Long-term
Tax-exempt Ordinary income capital gain
-------------------------- -------------------------- --------------------------
2006 2005 2006 2005 2006 2005
----------- ----------- ----------- ----------- ----------- -----------
Growth Fund $ -- -- 3,964,912 3,216,075 -- --
Small Cap Fund -- -- 6,076,177 4,659,852 24,910,958 27,030,735
Tax-Exempt Bond Fund 12,135,102 9,652,012 64,740 81,186 -- --
As of December 31, 2006, the components of distributable earnings on
a tax basis were as follows:
Tax-Exempt
Growth Fund Small Cap Fund Bond Fund
------------- -------------- -------------
Undistributed ordinary income $ 41,347 218,624 403,549
Undistributed capital gain -- 498,103 --
Accumulated capital losses (6,406,195) -- (508,252)
Unrealized appreciation (depreciation) 126,172,940 37,120,013 418,578
------------- ------------- -------------
Total $ 119,808,092 37,836,740 313,875
============= ============= =============
6 (Continued)
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
On the statements of assets and liabilities, due to permanent
book-to-tax differences, the following adjustments have been made:
Tax-Exempt
Growth Fund Small Cap Fund Bond Fund
------------ -------------- ------------
Undistributed net income $ -- $ 567,264 $ --
Accumulated net realized gains -- (567,264) --
Additional paid-in capital -- -- --
(c) Distributions to Shareholders
Distributions to shareholders from net investment income, if any,
are declared annually for the Growth and Small Cap Funds and
declared daily, payable monthly, for the Tax-Exempt Bond Fund.
Distributions to shareholders from net realized gains, if any, are
declared annually for all Funds. Distributions are paid in cash or
reinvested in additional shares.
(d) Use of Estimates
The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets
and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of
increase and decrease in net assets from operations during the
period. Actual results could differ from those estimates.
(e) Recent Accounting Pronouncements
On September 20, 2006, the Financial Accounting Standards Board
(FASB) released Statement of Financial Accounting Standards No. 157,
Fair Value Measurements (SFAS 157). SFAS 157 establishes an
authoritative definition of fair value, sets out a framework for
measuring fair value, and requires additional disclosures about fair
value measurements. The application of SFAS 157 is required for
fiscal years beginning after November 15, 2007 and interim periods
within those fiscal years. The impact of SFAS 157 on the Funds'
financial statements is being evaluated.
In June 2006, the FASB issued FASB Interpretation 48 (FIN 48),
Accounting for Uncertainty in Income Taxes. FIN 48 clarifies the
accounting for uncertainty in income taxes recognized in accordance
with FASB Statement No. 109, Accounting for Income Taxes. FIN 48
prescribes a two-step process to recognize and measure a tax
position taken or expected to be taken in a tax return. The first
step is to determine whether a tax position has met the
more-likely-than-not recognition threshold and the second step is to
measure a tax position that meets the threshold to determine the
amount of benefit to recognize. FIN 48 also provides guidance on
derecognition, classification, interest and penalties, accounting in
interim periods, disclosure, and transition. FIN 48 is effective for
mutual funds in the first required financial statement reporting
period for its fiscal year beginning after December 15, 2006. Tax
positions of the Funds are being evaluated to determine the impact,
if any, to the Funds. The adoption of FIN 48 is not anticipated to
have a material impact on the Funds.
7 (Continued)
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
(3) Investment Security Transactions
Cost of purchases and proceeds from sales of securities, other than
temporary investments in short term securities, for the year ended
December 31, 2006, were as follows:
Purchases Sales
------------ -----------
Growth Fund $ 45,503,353 13,272,897
Small Cap Fund 165,947,035 168,927,646
Tax-Exempt Bond Fund 158,638,509 103,172,835
(4) Capital Share Transactions
Transactions in shares of each fund for the years ended December 31, 2006
and 2005 were as follows:
Growth Fund Small Cap Fund Tax-Exempt Bond Fund
-------------------------- -------------------------- --------------------------
2006 2005 2006 2005 2006 2005
----------- ----------- ----------- ----------- ----------- -----------
Sold $ 1,245,428 1,222,595 460,215 839,490 6,058,892 3,443,664
Issued for reinvested distributions 258,093 -- 3,408,010 -- 1,219,204 972,555
Redeemed (422,969) (538,106) (1,537,715) (741,221) (1,611,929) (689,986)
----------- ----------- ----------- ----------- ----------- -----------
Increase $ 1,080,552 684,489 2,330,510 98,269 5,666,167 3,726,233
=========== =========== =========== =========== =========== ===========
(5) Capital Loss Carry Over
For federal income tax purposes, the Growth Fund and Tax-Exempt Bond Fund
have capital loss carryovers of $6,406,195 and $508,353, respectively, at
December 31, 2006, which, if not offset by subsequent capital gains, will
expire as follows:
Tax-Exempt
Growth Fund Bond Fund
------------- ----------
Year of expiration:
2010 $ 6,223,125 --
2012 -- --
2013 183,070 508,252
------------- ----------
Total $ 6,406,195 508,252
============= ==========
8 (Continued)
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
(6) Expenses and Related-Party Transactions
The Trust has a contract for investment advisory services with Clearwater
Management Company (CMC), a management firm of which the Trust's President
and Treasurer is a shareholder. Under terms of an agreement, Clearwater
Growth Fund, Clearwater Small Cap Fund, and Clearwater Tax-Exempt Bond
Fund pay a fee equal to an annual rate of 0.45%, 1.35%, and 0.60% of
average net assets, respectively. CMC is responsible for the payment or
reimbursement of all the Funds' expenses, except brokerage, taxes,
interest, and extraordinary expenses. On July 1, 2002 CMC voluntarily
reduced the fees paid by the funds to 0.39%, 1.33%, and 0.56%,
respectively. Effective April 1, 2004 CMC made an additional voluntary fee
reduction to 0.37%, 1.20%, and 0.50%, respectively. Effective April 1,
2005 CMC voluntarily reduced the fees paid by the funds to 0.35%, 1.12%,
and 0.47%, respectively. Effective April 1, 2006 CMC voluntarily reduced
the fees paid by the funds to 0.30%, 1.00%, and 0.41%, respectively. These
voluntary fee reductions may be discontinued at any time.
CMC has entered into sub advisory contracts with independent investment
advisory firms for each fund to provide daily investment management
services. The sub advisory fee for the Clearwater Growth Fund, payable to
Parametric Portfolio Associates, is equal to an annual rate of 0.15% of
net assets. The subadvisory fee for the Clearwater Small Cap Fund, payable
to Kennedy Capital Management, Inc., is equal to an annual rate of 0.85%
of the first $50 million in net assets it manages and then decreasing to
0.80% of net assets in excess of $50 million. The subadvisory fee for the
Clearwater Small Cap Fund, payable to Keeley Asset Management, is equal to
an annual rate of 1.00% of the first $2 million in net assets it manages,
decreasing to 0.85% on the next $8 million in net assets, and further
decreasing to 0.70% of net assets in excess of $10 million. The
subadvisory fee for the Clearwater Tax-Exempt Bond Fund, payable to Sit
Fixed Income Advisers II, LLC, is equal to an annual rate of 0.40% on the
first $20 million in net assets and then decreasing in reduced percentages
to 0.20% of net assets in excess of $75 million.
9 (Continued)
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
(7) Financial Highlights
Per share data (rounded to the nearest cent) for a share of capital stock
outstanding throughout the years and selected information for each year is
as follows:
Year ended December 31
-------------------------------------------------------------------------
Growth Fund 2006 2005 2004 2003 2002
-------------------------------------- ----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year $ 26.03 24.93 22.66 17.70 23.07
Income from investment operations:
Net investment income 0.40 0.37 0.38 0.27 0.23
Net realized and unrealized
gain (loss) 3.44 1.10 2.24 4.95 (5.37)
----------- ----------- ----------- ----------- -----------
Total from investment
operations 3.84 1.47 2.62 5.22 (5.14)
----------- ----------- ----------- ----------- -----------
Less distributions:
Dividends from net investment
income (0.40) (0.37) (0.35) (0.26) (0.23)
Distributions from net realized
gains -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total distributions (0.40) (0.37) (0.35) (0.26) (0.23)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 29.47 26.03 24.93 22.66 17.70
=========== =========== =========== =========== ===========
Total return (a) 14.8% 5.9% 11.5% 29.5% (22.3)%
Net assets, end of year
(000s omitted) $ 291,513 229,371 202,580 150,460 103,981
Ratio of expenses to average
net assets (b) 0.31% 0.36% 0.37% 0.39% 0.43%
Ratio of net investment income
to average net assets (b) 1.56% 1.52% 1.62% 1.40% 1.14%
Portfolio turnover rate (excluding
short-term securities) 5.24% 5.80% 1.52% 13.64% 31.40%
(a) Total return figures are based on the change in net asset value of a
share during the period and assume reinvestment of distributions at
net asset value.
(b) Total fund expenses are contractually limited to 0.45% of average
daily net assets. However, during the years ended December 31, 2006,
2005, 2004, 2003, and 2002, the investment advisor voluntarily
reduced management fees otherwise payable by the Funds. Had the
Funds incurred these expenses, the ratio of expenses to average
daily net assets would have been 0.45%, 0.45%, 0.45%, 0.45%, and
0.45%, for the years ended December 31, 2006, 2005, 2004, 2003, and
2002, respectively, and the ratio of net investment income to
average daily net assets would have been 1.42%, 1.43%, 1.54%, 1.34%,
and 1.12%, respectively.
10 (Continued)
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
Year ended December 31
-------------------------------------------------------------------------------
Small Cap Fund 2006 2005 2004 2003 2002
---------------------------------------- ----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year $ 18.09 19.14 18.35 13.11 14.61
Income from investment operations:
Net investment income (loss) (0.04) (0.04) (0.09) (0.02) (0.01)
Net realized and unrealized
gains (losses) 3.13 1.81 3.92 7.71 (1.49)
----------- ----------- ----------- ----------- -----------
Total from investment
operations 3.09 1.77 3.83 7.69 (1.50)
----------- ----------- ----------- ----------- -----------
Less distributions:
Distributions from net
investment income -- -- -- -- --
Distributions from net
realized gains (2.47) (2.82) (3.04) (2.45) --
----------- ----------- ----------- ----------- -----------
Total distributions (2.47) (2.82) (3.04) (2.45) --
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 18.71 18.09 19.14 18.35 13.11
=========== =========== =========== =========== ===========
Total return (a) 17.1% 9.2% 20.9% 58.7% (10.3)%
Net assets, end of year
(000s omitted) $ 253,846 203,351 213,273 138,089 77,492
Ratio of expenses to average
net assets (b) 1.03% 1.14% 1.24% 1.33% 1.34%
Ratio of net investment income
(loss) to average net assets (b) (0.23)% (0.19)% (0.45)% (0.12)% (0.02)%
Portfolio turnover rate (excluding
short-term securities) 69.57% 73.65% 83.25% 100.82% 81.16%
(a) Total return figures are based on the change in net asset value of a
share during the period and assume reinvestment of distributions at
net asset value.
(b) Total fund expenses are contractually limited to 1.35% of average
daily net assets. However, during the years ended December 31, 2006,
2005, 2004, 2003, and 2002, the investment advisor voluntarily
reduced management fees otherwise payable by the Funds. Had the
Funds incurred these expenses, the ratio of expenses to average
daily net assets would have been 1.35%, 1.35%, 1.35%, 1.35%, and
1.35%, for the years ended December 31, 2006, 2005, 2004, 2003, and
2002, respectively, and the ratio of net investment income (loss) to
average daily net assets would have been (0.55)%, (0.40)%, (0.56)%,
(0.14)%, and (0.03)%, respectively.
11 (Continued)
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements
December 31, 2006
Year ended December 31
Tax-Exempt -------------------------------------------------------------------------------
Bond Fund 2006 2005 2004 2003 2002
-------------------------------------- ----------- ----------- ----------- ----------- -----------
Net asset value, beginning of year $ 10.00 10.03 10.12 10.24 10.14
Income from investment operations:
Net investment income 0.43 0.48 0.50 0.53 0.58
Net realized and unrealized gains 0.06 (0.03) (0.10) (0.12) 0.12
----------- ----------- ----------- ----------- -----------
Total from investment
operations 0.49 0.45 0.40 0.41 0.70
----------- ----------- ----------- ----------- -----------
Less distributions:
Distributions from net
investment income (0.43) (0.48) (0.49) (0.53) (0.58)
Distributions from net
realized gains -- -- -- -- (0.02)
----------- ----------- ----------- ----------- -----------
Total distributions (0.43) (0.48) (0.49) (0.53) (0.60)
----------- ----------- ----------- ----------- -----------
Net asset value, end of year $ 10.06 10.00 10.03 10.12 10.24
=========== =========== =========== =========== ===========
Total return (a) 5.3% 4.6% 4.1% 4.1% 7.1%
Net assets, end of year
(000s omitted) $ 283,745 225,476 188,677 134,481 91,905
Ratio of expenses to average
net assets (b) 0.42% 0.48% 0.51% 0.56% 0.58%
Ratio of net investment income
to average net assets (b) 4.66% 4.77% 4.84% 5.24% 5.69%
Portfolio turnover rate (excluding
short-term securities) 40.20% 41.39% 35.25% 39.84% 39.79%
(a) Total return figures are based on the change in net asset value of a
share during the period and assume reinvestment of distributions at
net asset value.
(b) Total fund expenses are contractually limited to 0.60% of average
daily net assets. However, during the years ended December 31, 2006,
2005, 2004, 2003, and 2002, the investment advisor voluntarily
reduced management fees otherwise payable by the Funds. Had the
Funds incurred these expenses, the ratio of expenses to average
daily net assets would have been 0.60%, 0.60%, 0.60%, 0.60%, and
0.60%, for the years ended December 31, 2006, 2005, 2004, 2003, and
2002, respectively, and the ratio of net investment income to
average daily net assets would have been 4.48%, 4.65%, 4.75%, 5.20%,
and 5.67%, respectively.
12
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
Common stocks:
Consumer discretionary:
2,300 ABERCROMBIE & FITCH CO $ 50,218 160,149
1,809 ACCO BRANDS CORP (b) 16,591 47,884
300 ADVANCE AUTO PARTS 10,758 10,668
5,050 AMAZON COM INC (b) 150,753 199,273
10,950 AMERICAN EAGLE OUTFITTERS INC 106,990 341,750
900 AMERICAN GREETINGS CORP 13,869 21,483
300 ANNTAYLOR STORES CORP (b) 11,958 9,852
1,400 APPLEBEES INTL INC 36,640 34,538
600 ARVINMERITOR INC 10,494 10,938
1,892 AUTOLIV 79,511 114,088
1,600 AUTONATION INC DEL (b) 30,080 34,112
5,100 AUTOZONE INC (b) 544,407 589,356
2,994 AVIS BUDGET GROUP INC (b) 29,085 64,940
900 BEAZER HOMES USA INC 53,114 42,309
7,475 BED BATH & BEYOND INC (b) 279,785 284,798
1,850 BELO CORP 30,400 33,985
10,400 BEST BUY CO INC 349,645 511,576
1,400 BIG LOTS INC (b) 15,477 32,088
1,300 BLACK & DECKER CORPORATION 44,208 103,961
1,600 BORG WARNER INC 82,009 94,432
2,400 BRINKER INTL INC (b) 53,802 72,384
2,525 CABLEVISION SYS CORP 0 71,912
2,084 CARMAX INC (b) 50,984 111,765
330 CAVCO INDS INC DEL (b) 815 11,563
13,289 CBS CORP CLASS B (b) 366,122 414,351
800 CDW CORP 44,354 56,256
6,600 CENTEX CORP 66,427 371,382
6,075 CHEESECAKE FACTORY (b) 171,247 149,445
3,000 CHICOS FAS INC (b) 28,000 62,070
8,900 CIRCUIT CITY STORES INC 104,507 168,922
4,575 CLEAR CHANNEL COMMUNICATIONS 152,744 162,596
9,200 COACH INC (b) 107,172 395,232
1,525 COMCAST CL A SPCL (b) 36,552 63,867
35,445 COMCAST CORP NEW (b) 959,071 1,500,387
1,300 COPART INC (b) 32,032 39,000
7,800 COSTCO WHSL CORP NEW 237,671 412,386
6,533 D R HORTON INC 137,874 173,059
2,800 DARDEN RESTAURANTS INC 65,099 112,476
17,423 DIRECTV GROUP INC (b) 258,330 434,530
36,660 DISNEY WALT CO 784,463 1,256,338
4,800 DOLBY LABORATORIES INC (b) 104,393 148,896
2,900 DOLLAR GEN CORP 56,761 46,574
500 DOLLAR TREE STORES INC (b) 10,674 15,050
300 DOW JONES & CO INC 10,650 11,400
4,300 EASTMAN KODAK CO 100,539 110,940
3,000 ECHOSTAR COMMUNICATIONS CORP N (b) 101,063 114,090
3,670 EXPEDIA INC DEL (b) 65,267 76,997
9,064 FEDERATED DEPT STORES INC DE 244,139 345,610
2,300 FOOT LOCKER INC 36,173 50,439
15,434 FORD MTR CO DEL (b) 128,545 115,909
7,700 FORTUNE BRANDS INC 266,191 657,503
1,900 GAMESTOP CORP NEW (b) 15,311 104,709
200 GANNETT INC 11,038 12,092
9,900 GAP INC 151,942 193,050
8,700 GENERAL MTRS CORP 169,911 267,264
9,200 GENTEX CORP 131,306 143,152
681 HANESBRANDS INC (b) 15,037 16,085
14,850 HARLEY DAVIDSON INC 87,002 1,046,480
2,350 HARMAN INTL INDS INC NEW 206,167 234,789
5,800 HARRAHS ENTMT INC 427,395 479,776
8,150 HEARST ARGYLE TELEVISION INC 196,577 207,825
7,203 HILTON HOTELS CORP 169,355 251,385
48,025 HOME DEPOT INC 244,498 1,928,684
(Continued)
See accompanying notes to financial statements.
13
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- -------------- ----------------------------------------------- ---------------- --------------- ---------------
2,659 IDEARC INC (b) $ 68,147 76,180
5,300 INTERNATIONAL GAME TECHNOLOGY 181,663 244,860
11 INTERPUBLIC GROUP COS INC (b) 0 135
3,650 JOHNSON CTLS INC 171,134 313,608
2,200 JONES APPAREL GROUP INC 78,005 73,546
1,200 KB HOME 39,516 61,536
11,550 KOHLS CORP (b) 92,211 790,367
700 LAMAR ADVERTISING CO (b) 26,224 45,773
1,300 LEAR CORP (b) 21,307 38,389
900 LEE ENTERPRISES INC 30,240 27,954
3,100 LEGGETT & PLATT INC 70,116 74,090
2,100 LENNAR CORP 95,438 110,166
2,317 LIBERTY GLOBAL INC - SERIES C COMMON (b) 35,539 64,876
13,158 LIBERTY MEDIA HLDG CORP- INTERACTIVE COM A (b) 214,168 283,818
2,631 LIBERTY MEDIA HLDG CORP- CAPITAL COM A (b) 156,652 257,785
10,290 LIMITED BRANDS INC 118,493 297,793
921 LIVE NATION INC (b) 11,411 20,630
1,850 LIZ CLAIBORNE INC 62,867 80,401
31,600 LOWES COS INC 670,577 984,340
100 M.D.C. HOLDINGS INC 6,787 5,705
23,700 MARRIOTT INTL INC NEW 97,956 1,130,964
6,500 MATTEL INC 118,061 147,290
51 MCCLATCHY CO 2,162 2,208
23,400 MCDONALDS CORP 546,937 1,037,322
7,190 MCGRAW HILL COS INC 279,243 489,064
3,300 MOHAWK INDS INC (b) 248,413 247,038
974 MOVE INC (b) 0 5,367
3,800 NEWELL RUBBERMAID INC 86,564 110,010
43,775 NEWS CORP 678,724 940,287
3,200 NIKE INC 212,954 316,896
5,000 NORDSTROM INC 52,596 246,700
7,277 NTL INC DEL 183,458 183,671
8,099 OFFICE DEPOT INC (b) 189,986 309,139
3,300 OFFICEMAX INC DEL 114,939 163,845
2,500 OMNICOM GROUP 168,958 261,350
400 PACIFIC SUNWEAR OF CALIF (b) 9,204 7,832
1,800 PENN NATL GAMING INC (b) 66,876 74,916
3,700 PENNEY J C INC 142,894 286,232
1,400 PETSMART INC 35,894 40,404
1,500 POLO RALPH LAUREN CORP 31,320 116,490
2,200 PULTE HOMES INC 52,465 72,864
100 RADIOSHACK CORP 1,933 1,678
1,100 READERS DIGEST ASSN INC 15,807 18,370
3,000 REGAL ENTMT GROUP 55,920 63,960
6,000 ROSS STORES INC 148,772 175,800
800 RYLAND GROUP INC (b) 43,093 43,696
1,000 SCHOLASTIC CORP (b) 28,560 35,840
600 SCRIPPS E W CO OH 23,112 29,964
1,479 SEARS HLDGS CORP (b) 113,477 248,368
1,100 SHERWIN WILLIAMS CO 50,106 69,938
37,000 SIRIUS SATELLITE RADIO INC (b) 142,280 130,980
700 SNAP ON INC 17,991 33,348
800 STANDARD PAC CORP NEW 29,288 21,432
900 STANLEY WORKS 27,855 45,261
12,150 STAPLES INC 173,534 324,405
15,750 STARBUCKS CORP (b) 276,383 557,865
946 STATION CASINOS INC 63,967 77,260
15,000 TARGET CORP 493,687 855,750
3,000 TIFFANY & CO NEW 86,618 117,720
17,108 TIM HORTONS INC 366,842 495,448
100 TIMBERLAND CO (b) 3,401 3,158
85,800 TIME WARNER INC NEW 1,181,330 1,868,724
8,400 TJX COS INC NEW 158,823 239,568
2,000 TOLL BROS INC (b) 50,443 64,460
300 TRIBUNE CO NEW 9,582 9,234
800 TRW AUTOMOTIVE HLDGS CORP (b) 18,216 20,696
(Continued)
See accompanying notes to financial statements.
14
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
6,755 UNIVISION COMMUNICATIONS INC (b) $ 202,257 239,262
3,227 URBAN OUTFITTERS INC (b) 61,562 74,318
1,700 V F CORP 87,065 139,536
12,389 VIACOM INC NEW (b) 587,609 508,321
45,250 WAL MART STORES INC (b) 2,173,768 2,089,645
100 WASHINGTON POST CO 74,901 74,560
12,633 WENDYS INTL INC 323,241 418,026
3,779 WHIRLPOOL CORP 172,356 313,733
800 WILEY JOHN & SON 27,401 30,776
1,000 WILLIAMS SONOMA INC 32,379 31,440
5,989 WYNDHAM WORLDWIDE CORP (b) 97,386 191,768
2,141 XM SATELLITE RADIO HLDGS INC (b) 30,710 30,937
5,808 YUM BRANDS INC 154,802 341,510
2,400 ZALE CORP NEW (b) 39,515 67,704
--------------- --------------
21,669,262 35,507,097 12.18%
Consumer staples:
38,400 ALTRIA GROUP INC 984,571 3,295,488
26,642 ANHEUSER BUSCH COS INC 1,269,343 1,310,786
13,500 ARCHER DANIELS MIDLAND CO 294,994 431,460
9,362 AVON PRODS INC 275,428 309,320
1,800 BROWN FORMAN CORP 70,069 119,232
6,200 CAMPBELL SOUP CO 168,826 241,118
38,200 COCA COLA CO 1,180,718 1,843,150
5,700 COCA COLA ENTERPRISES INC 120,731 116,394
18,590 COLGATE PALMOLIVE CO 1,052,590 1,212,812
8,000 CONAGRA INC 182,521 216,000
9,288 CONSTELLATION BRANDS INC (b) 207,998 269,538
18,000 CVS CORP 374,839 556,380
2,900 DEAN FOODS CO NEW (b) 79,989 122,612
5,773 DEL MONTE FOODS CO 57,723 63,676
6,200 GENERAL MLS INC 277,056 357,120
5,575 HEINZ H J CO 190,266 250,931
2,200 HERSHEY CO / THE 111,290 109,560
1,300 HORMEL FOODS CORP 29,432 48,542
4,100 KELLOGG CO 179,871 205,246
7,250 KIMBERLY CLARK CORP 420,840 492,638
8,315 KRAFT FOODS INC 275,333 296,846
14,400 KROGER CO 246,089 332,208
1,867 LAUDER ESTEE COS INC 70,634 76,211
4,100 LOEWS CORP 107,638 265,352
1,600 MCCORMICK & CO INC 55,297 61,696
900 MOLSON COORS BREWING CO 54,437 68,796
1,000 NBTY INC (b) 21,300 41,570
2,400 PEPSI BOTTLING GROUP INC 52,032 74,184
33,726 PEPSICO INC 1,380,671 2,109,561
70,939 PROCTER AND GAMBLE CO 1,762,318 4,559,250
9,800 RITE AID CORP (b) 39,788 53,312
8,419 SAFEWAY INC 166,288 290,961
5,450 SARA LEE CORP 86,393 92,814
1,300 SMITHFIELD FOODS INC (b) 35,157 33,358
300 SMUCKER J M CO 4,313 14,541
5,255 SUPERVALU INC 109,897 187,866
11,900 SYSCO CORP 258,179 437,444
9,527 TYSON FOODS INC (DEL) 111,286 156,719
2,900 UST INC 80,807 168,780
27,350 WALGREEN CO 324,378 1,255,092
2,400 WHOLE FOODS MKT INC 64,365 112,632
6,213 WRIGLEY WM JR CO 215,561 321,336
--------------- --------------
13,051,257 22,582,530 7.75%
Energy:
4,146 ANADARKO PETE CORP 93,285 180,434
9,134 APACHE CORP 389,377 607,502
6,740 BAKER HUGHES INC 389,247 503,208
3,600 BJ SVCS CO 97,551 105,552
(Continued)
See accompanying notes to financial statements.
15
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
8,588 BP PLC (d) $ 211,116 576,255
16,686 CHESAPEAKE ENERGY CORP 404,571 484,728
43,195 CHEVRON CORP 1,985,719 3,176,128
34,543 CONOCOPHILLIPS 1,143,534 2,485,369
6,823 DEVON ENERGY CORPORATION NEW 223,151 457,687
13,900 EL PASO CORP 103,337 212,392
3,054 ENSCO INTL INC 112,586 152,883
8,500 EOG RESOURCES INC 80,824 530,825
118,333 EXXON MOBIL CORP 5,098,189 9,067,858
3,621 GRANT PRIDECO INC (b) 158,501 144,007
14,358 HALLIBURTON CO 282,706 445,816
6,200 HELMERICH AND PAYNE INC 82,265 151,714
305 HUGOTON RTY TR TX 9,016 7,503
6,693 MARATHON OIL CORP 383,245 619,103
2,400 MURPHY OIL CORP 32,055 122,040
5,367 NATIONAL OILWELL VARCO INC (b) 254,016 328,353
5,142 NEWFIELD EXPL CO (b) 222,527 236,275
5,800 NOBLE ENERGY INC (b) 74,136 284,606
28,500 OCCIDENTAL PETE CORP 267,374 1,391,655
3,200 PIONEER NAT RES CO 48,507 127,008
2,905 QUICKSILVER RES INC (b) 119,305 106,294
9,700 SCHLUMBERGER LTD 109,606 612,652
2,200 SMITH INTL INC 38,951 90,354
9,600 SUNOCO INC 108,241 598,656
6,593 TRANSOCEAN INC (b) 105,613 533,308
10,902 VALERO ENERGY CORP 223,003 557,746
9,060 WILLIAMS COS INC 101,393 236,647
6,258 XTO ENERGY INC 99,546 294,439
--------------- --------------
13,052,493 25,428,998 8.72%
Financials:
9,550 AFLAC INC 299,320 439,300
9,000 ALLIED CAP CORP NEW 196,349 294,120
9,800 ALLSTATE CORP 429,333 638,078
8,000 AMB PPTY CORP 264,402 468,880
1,300 AMBAC FINL GROUP INC 91,536 115,791
19,233 AMERICAN EXPRESS CO 718,730 1,166,866
2,200 AMERICAN FINL RLTY TR 24,376 25,168
48,685 AMERICAN INTL GROUP INC 1,158,837 3,488,767
8,200 AMERICREDIT CORP (b) 141,934 206,394
7,391 AMERIPRISE FINL INC 288,205 402,810
4,800 AON CORP 95,152 169,632
1,631 APARTMENT INVT & MGMT CO 55,426 91,369
1,096 ARCHSTONE SMITH TR 38,818 63,798
3,100 ASSOCIATED BANC CORP 105,586 108,128
10,200 ASTORIA FINL CORP 96,415 307,632
96,683 BANK AMER CORP 3,316,121 5,161,905
21,519 BANK NEW YORK INC 648,205 847,203
8,658 BB&T CORP 244,238 380,346
1,100 BEAR STEARNS COS INC 56,969 179,058
688 BOSTON PPTYS INC 65,527 76,973
9,136 CAPITAL ONE FINL CORP 493,710 701,828
2,200 CAPITALSOURCE INC 52,800 60,082
2,100 CB RICHARD ELLIS GROUP INC (b) 50,437 69,720
700 CHICAGO MERCANTILE EXCHANGE 233,488 356,825
4,200 CHUBB CORP 129,882 222,222
2,756 CINCINNATI FINL CORP 103,501 124,874
2,300 CIT GROUP INC NEW 61,304 128,271
98,959 CITIGROUP INC 2,416,693 5,512,016
28,722 COLONIAL BANCGROUPINC 650,228 739,304
3,200 COMERICA INC 171,938 187,776
2,805 COMMERCE BANCORP INC N J 83,732 98,932
5,200 CONSECO INC (b) 97,448 103,896
18,354 COUNTRYWIDE FINL CORP 475,926 779,127
3,276 CRESCENT REAL ESTATE EQUITIES 55,314 64,701
12,000 E TRADE FINL CORP (b) 125,906 269,040
(Continued)
See accompanying notes to financial statements.
16
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
7,200 EQUITY OFFICE PPTYS TR $ 215,012 346,824
5,016 EQUITY RESIDENTIAL 159,472 254,562
8,600 ERIE INDTY CO 446,989 498,628
17,950 FEDERAL HOME LN MTG CORP 54,545 1,218,805
19,854 FEDERAL NATL MTG ASSN 1,088,972 1,179,129
3,981 FIDELITY NATIONAL FINANCIAL 76,148 95,066
4,742 FIDELITY NATL INFORMATION SVC 173,614 190,107
12,735 FIFTH THIRD BANCORP 486,336 521,244
8,450 FIRST HORIZON NATL CORP 255,733 353,041
1,200 FOREST CITY ENTERPRISES INC 54,504 70,080
9,745 FRANKLIN RES INC 179,015 1,073,607
1,800 GALLAGHER ARTHUR J & CO 55,152 53,190
17,400 GENERAL GROWTH PPTYS INC 205,324 908,802
4,000 GENWORTH FINL INC 120,777 136,840
7,326 GOLDMAN SACHS GROUP INC 790,684 1,460,438
4,700 HARTFORD FINANCIAL SVCS GRP 259,891 438,557
14,600 HEALTH CARE PPTY INVS INC 244,506 537,572
9,667 HOST HOTELS & RESORTS INC 172,098 237,325
7,200 HRPT PPTYS TR 67,324 88,920
1,284 HSBC HLDGS PLC (d) 64,775 117,679
11,600 HUNTINGTON BANCSHARES INC 253,776 275,500
4,822 INVESTMENT TECHNOLOGY GROUP (b) 158,855 206,767
5,944 INVESTORS FINL SERVICES CORP 241,428 253,630
4,000 ISTAR FINL INC 76,749 191,280
4,400 JANUS CAP GROUP INC 64,273 94,996
67,140 JPMORGAN CHASE & CO 1,973,129 3,242,862
12,100 KEYCORP NEW 225,332 460,163
3,301 KIMCO RLTY CORP 101,180 148,380
2,252 LEGG MASON INC 225,146 214,053
8,894 LEHMAN BROTHERS HLDGS INC 308,197 694,799
1,600 LEUCADIA NATL CORP 27,592 45,120
6,948 LINCOLN NATL CORP IN 251,424 461,347
6,300 LOEWS CORP 49,966 261,261
1,060 M & T BK CORP 97,320 129,490
5,600 MACK CA RLTY CORP 178,832 285,600
9,482 MANULIFE FINL CORP 135,056 320,397
9,276 MARSH & MCLENNAN COS INC 257,563 284,402
2,000 MARSHALL & ILSLEY CORP 51,520 96,220
4,850 MBIA INC 254,638 354,341
5,400 MELLON FINL CORP 171,240 227,610
16,590 MERRILL LYNCH & CO INC 785,340 1,544,529
8,000 METLIFE INC 318,745 472,080
6,800 MGIC INVT CORP WIS 163,404 425,272
4,300 MOODYS CORP 204,231 296,958
19,560 MORGAN STANLEY 944,969 1,592,771
16,290 NATIONAL CITY CORP 298,674 595,562
800 NATIONWIDE FINL SVCS INC 25,928 43,360
2,349 NEW YORK CMNTY BANCORP INC 43,174 37,819
3,802 NORTHERN TRUST CORP 184,623 230,743
11,125 OLD REP INTL CORP 221,092 258,990
7,392 PEOPLES BK BRIDGEPORT CONN 218,430 329,831
255 PIPER JAFFRAY COS (b) 7,794 16,613
3,485 PLUM CREEK TIMBER CO INC 79,081 138,877
1,344 PMI GROUP INC 56,424 63,396
3,925 PNC FINL SVCS GROUP INC 179,373 290,607
200 POPULAR INC 2,025 3,590
20,600 PRICE T ROWE GROUP INC 137,008 901,662
2,550 PRINCIPAL FINANCIAL GROUP 69,037 149,685
21,209 PROGRESSIVE CORP OHIO 420,576 513,682
4,672 PROLOGIS 198,320 283,917
8,500 PRUDENTIAL FINL INC 341,982 729,810
2,991 PUBLIC STORAGE INC 238,179 291,623
5,700 RADIAN GROUP INC 332,003 307,287
1,125 RAYMOND JAMES FINANCIAL INC 12,570 34,099
7,487 REALOGY CORP (b) 92,042 227,006
2,700 REALTY INCOME CORP 68,554 74,790
(Continued)
See accompanying notes to financial statements.
17
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
12,390 REGIONS FINL CORP NEW $ 340,140 463,386
300 REINSURANCE GROUP AMER INC 12,570 16,710
1,100 SAFECO CORP 54,889 68,805
25,700 SCHWAB CHARLES CORP 229,436 497,038
5,126 SIMON PPTY GROUP INC NEW 352,978 519,213
4,500 SKY FINL GROUP INC 106,014 128,430
7,350 SLM CORP 271,453 358,460
7,245 SOVEREIGN BANCORP INC (b) 91,649 183,951
2,414 ST JOE CO 111,322 129,318
5,010 STARWOOD HOTELS & RESORTS INC 224,617 313,125
4,950 STATE STREET CORPORATION 254,544 333,828
4,334 SUNTRUST BKS INC 279,900 366,006
4,200 SYNOVUS FINL CORP 112,014 129,486
23,200 TCF FINANCIAL CORP 200,798 636,144
7,566 TD AMERITRADE HLDG CORP 121,495 122,418
2,303 TD BANKNORTH INC 42,416 74,341
13,588 THE ST PAUL TRAVELERS COS INC 470,201 729,540
4,300 THORNBURG MTG INC 127,446 108,059
1,900 TORCHMARK INC 80,235 121,144
1,104 TORONTO DOMINION BK ONT (d) 44,108 66,096
400 TRANSATLANTIC HLDGS INC 23,500 24,840
4,000 UNITRIN INC 101,606 200,440
5,600 UNUMPROVIDENT CORP 84,370 116,368
33,285 US BANCORP DEL 783,214 1,204,584
1,517 VALLEY NATL BANCORP 29,039 40,216
2,245 VORNADO RLTY TR (b) 186,436 272,768
38,160 WACHOVIA CORP 2ND NEW 1,565,256 2,173,212
19,705 WASHINGTON MUT INC 351,733 896,380
65,653 WELLS FARGO & CO NEW 737,750 2,334,621
26,044 WESTERN UN CO 79,377 583,906
7,225 XL CAPITAL LTD (b) 92,119 520,345
500 ZIONS BANCORP 29,372 41,220
--------------- --------------
37,047,446 65,708,423 22.54%
Healthcare:
33,268 ABBOTT LABS 1,274,159 1,620,484
18,800 AETNA INC 151,653 811,784
2,443 ALLERGAN INC 171,647 292,525
3,400 AMERISOURCEBERGEN CORP 97,885 152,864
25,150 AMGEN INC (b) 102,792 1,717,997
600 AMYLIN PHARMACEUTICALS INC (b) 9,606 21,642
1,800 APPLERA CORP APPLIED BIOSYS 37,429 66,042
1,300 BARD C R INC 78,455 107,861
7,800 BARR PHARMACEUTICALS INC (b) 393,492 390,936
2,100 BAUSCH & LOMB INC 103,026 109,326
11,000 BAXTER INTL INC 220,992 510,290
2,500 BECTON DICKINSON & CO 123,650 175,375
20,837 BIOGEN IDEC INC (b) 584,369 1,024,972
3,200 BIOMET INC (b) 120,878 132,064
28,058 BOSTON SCIENTIFIC CORP (b) 551,596 482,036
39,900 BRISTOL MYERS SQUIBB CO 999,000 1,050,168
7,335 CARDINAL HEALTH INC 408,005 472,594
10,313 CAREMARK RX INC 297,382 588,975
8,036 CELGENE CORP (b) 182,909 462,311
900 CEPHALON INC (b) 55,152 63,369
2,200 CIGNA CORP 107,215 289,454
700 COVANCE INC (b) 31,465 41,237
2,546 COVENTRY HEALTH CARE INC (b) 100,005 127,427
16,603 CYTYC CORP (b) 420,454 469,865
2,125 DAVITA INC (b) 62,678 120,870
180 EDWARDS LIFESCIENCES CORP (b) 1,872 8,467
2,500 EXPRESS SCRIPTS INC (b) 113,522 179,000
7,676 FOREST LABS INC (b) 330,153 388,406
100 GEN PROBE INC NEW (b) 5,058 5,237
8,300 GENENTECH INC (b) 429,519 673,379
5,200 GENZYME CORP (b) 283,372 320,216
(Continued)
See accompanying notes to financial statements.
18
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
9,430 GILEAD SCIENCES INC (b) $ 375,927 612,290
3,152 GLAXOSMITHKLINE PLC (d) 76,079 166,300
4,000 HEALTH MGMT ASSOC 76,501 84,440
2,450 HEALTH NET INC (b) 64,669 119,217
1,400 HILLENBRAND INDS INC 76,636 79,702
2,005 HOSPIRA INC (b) 50,661 67,328
3,900 HUMANA INC (b) 39,107 215,709
100 IMCLONE SYS INC (b) 3,259 2,676
2,100 IMS HEALTH INC 52,215 57,708
2,500 INVITROGEN CORP (b) 164,832 141,475
54,579 JOHNSON & JOHNSON 1,622,418 3,603,306
1,931 KINETIC CONCEPTS INC (b) 71,019 76,371
4,300 KING PHARMACEUTICALS INC (b) 44,032 68,456
3,400 LABORATORY CORP AMER HLDGS (b) 99,252 249,798
19,694 LILLY ELI & CO 843,679 1,026,057
1,950 LINCARE HLDGS INC (b) 58,492 77,688
1,300 MANOR CARE INC NEW 30,973 60,996
4,700 MCKESSON CORP 159,643 238,290
6,878 MEDCO HEALTH SOLUTIONS INC (b) 264,556 367,560
1,300 MEDICIS PHARMACEUTICAL CORP 43,528 45,669
4,599 MEDIMMUNE INC (b) 118,709 148,870
27,050 MEDTRONIC INC 100,935 1,447,446
37,686 MERCK & CO INC 1,203,924 1,643,110
953 MILLIPORE CORP (b) 60,735 63,470
4,700 MYLAN LABS INC 53,880 93,812
1,500 NEKTAR THERAPEUTICS (b) 21,900 22,815
2,700 OMNICARE INC 93,183 104,301
800 PATTERSON COS INC (b) 27,744 28,408
1,300 PDL BIOPHARMA INC (b) 20,144 26,182
143,074 PFIZER INC 1,039,211 3,705,617
1,400 PHARMACEUTICAL PROD DEV INC 32,993 45,108
2,050 QUEST DIAGNOSTICS INC 62,932 108,650
28,903 SCHERING PLOUGH CORP 521,414 683,267
3,200 SEPRACOR INC (b) 143,842 197,056
12,600 SERVICE CORP INTL 90,438 129,150
7,039 ST JUDE MED INC (b) 200,879 257,346
15,650 STRYKER CORP 60,399 862,472
2,157 TEVA PHARMACEUTICAL INDS LTD (d) 40,824 67,040
1,800 TRIAD HOSPS INC (b) 60,781 75,294
27,090 UNITEDHEALTH GROUP INC 680,496 1,455,546
700 UNIVERSAL HEALTH SVCS INC 31,885 38,801
5,800 VARIAN MED SYS INC (b) 213,788 275,906
6,200 VCA ANTECH INC (b) 205,792 199,578
2,175 WATSON PHARMACEUTICALS INC (b) 50,706 56,615
12,749 WELLPOINT INC (b) 580,688 1,003,219
28,967 WYETH 1,205,857 1,475,000
3,374 ZIMMER HOLDINGS INC (b) 203,949 264,454
--------------- --------------
19,194,897 34,716,739 11.91%
Industrials:
13,050 3M CO 929,474 1,016,987
1,725 ADESA INC 30,322 47,869
2,750 ALLIED WASTE INDUSTRIES INC (b) 16,321 33,798
3,193 AMERICAN PWR CONVERSION CORP 54,636 97,674
3,500 AMERICAN STD COS INC DEL 138,580 160,475
6,932 AMR CORP DEL (b) 123,752 209,554
1,700 ARAMARK CORP 47,836 56,865
1,700 AVERY DENNISON CORP 90,518 115,481
6,200 BLOCK H & R INC 58,017 142,848
18,700 BOEING CO 442,349 1,661,308
5,947 BURLINGTON NORTHN SANTA FE 196,725 438,948
300 CARLISLE COS INC 15,924 23,550
13,104 CATERPILLAR INC 471,606 803,668
4,000 CERIDIAN CORP NEW (b) 76,450 111,920
500 CHECKFREE CORP NEW (b) 20,383 20,080
3,263 CINTAS CORP 109,764 129,574
(Continued)
See accompanying notes to financial statements.
19
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
2,100 CON WAY INC $ 20,609 92,484
12,675 CRANE CO 213,729 464,412
10,200 CSX CORP 107,400 351,186
950 CUMMINS INC 53,831 112,271
3,200 DANAHER CORP 122,770 231,808
3,650 DEERE & CO 199,160 347,006
1,000 DEVRY INC DEL 19,142 28,000
3,893 DISCOVERY HLDG CO (b) 45,381 62,638
2,875 DONALDSON CO INC 107,432 99,791
4,300 DONNELLEY R R & SONS CO 131,760 152,822
3,325 DOVER CORP 122,574 162,992
9,500 DUN & BRADSTREET CORP DEL NEW (b) 236,409 786,505
3,000 EATON CORP 103,554 225,420
6,000 EMDEON CORP (b) 58,236 74,340
18,700 EMERSON ELEC CO 514,252 824,483
1,397 ENERGIZER HLDGS INC (b) 87,823 99,173
1,600 EXPEDITORS INTL WA INC 73,091 64,800
1,400 FASTENAL CO 43,652 50,232
11,275 FEDEX CORP 224,125 1,224,691
10,550 FISERV INC (b) 95,145 553,031
3,675 FLUOR CORP NEW 96,907 300,064
1,400 GATX CORPORATION 24,276 60,662
6,000 GENERAL DYNAMICS CORP 249,324 446,100
215,200 GENERAL ELEC CO 4,987,009 8,007,592
5,050 GENUINE PARTS CO 153,969 239,522
3,700 GOODRICH CORP 111,298 168,535
1,700 GRAINGER W W INC 74,317 118,898
800 HARSCO CORP 28,236 60,880
14,400 HONEYWELL INTL INC 366,044 651,456
1,200 HUBBELL INC 44,766 54,252
2,100 HUNT J B TRANS SVCS INC 40,530 43,617
9,424 ILLINOIS TOOL WKS INC 366,074 435,295
100 IRON MTN INC PA (b) 4,022 4,134
2,800 ITT CORP NEW 116,998 159,096
1,300 ITT EDL SVCS INC (b) 52,038 86,281
2,734 JACOBS ENGR GROUP INC (b) 167,658 222,930
200 JOY GLOBAL INC 10,010 9,668
1,800 L 3 COMMUNICATIONS HLDG CORP 99,393 147,204
1,000 LANDSTAR SYS INC 30,070 38,180
5,600 LOCKHEED MARTIN CORP 167,741 515,592
1,475 MANPOWER INC WIS 66,373 110,522
8,188 MASCO CORP 175,878 244,576
1,800 MONSTER WORLDWIDE INC (b) 45,970 83,952
6,860 NORFOLK SOUTHN CORP 164,461 344,989
4,292 NORTHROP GRUMMAN CORP 197,337 290,568
2,884 OSHKOSH TRUCK CORP 137,832 139,643
6,793 PACCAR INC 173,041 440,866
2,300 PALL CORP 58,256 79,465
1,900 PARKER HANNIFIN CORP 123,853 146,072
1,800 PENTAIR INC 64,233 56,520
1,497 PHH CORP (b) 10,184 43,218
10,200 PITNEY BOWES INC 328,150 471,138
4,000 PRECISION CASTPARTS CORP 45,286 313,120
6,700 RAYTHEON CO 200,320 353,760
4,650 REPUBLIC SVCS INC 125,531 189,116
4,400 REYNOLDS AMERN INC 123,818 288,068
3,700 ROBERT HALF INTL INC 112,654 137,344
7,250 ROCKWELL AUTOMATION INC 102,173 442,830
2,714 ROCKWELL COLLINS INC 75,092 171,769
6,100 SABRE HLDGS CORP 153,967 194,529
4,100 SERVICE MASTER COMPANY 44,239 53,751
2,400 SKYWEST INC 26,040 61,224
15,775 SOUTHWEST AIRLS CO 223,545 241,673
1,000 SPX CORP 51,053 61,160
200 STERICYCLE INC (b) 8,456 15,100
700 SWIFT TRANSN INC (b) 16,331 18,389
(Continued)
See accompanying notes to financial statements.
20
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
500 TELEFLEX INC $ 22,515 32,280
1,500 TEREX CORP NEW (b) 71,771 96,870
2,175 TEXTRON INC 118,864 203,950
13,700 TYCO INTL LTD 132,068 416,480
3,900 UNION PAC CORP 228,791 358,878
8,600 UNITED PARCEL SVC INC 607,230 644,828
23,250 UNITED TECHNOLOGIES CORP 1,021,959 1,453,590
4,140 USG CORP (b) 196,196 226,872
8,650 WASTE MGMT INC DEL (b) 135,675 318,061
600 WEIGHT WATCHERS INTL INC NEW (b) 23,424 31,518
---------------- --------------
18,005,976 31,625,328 10.85%
Information technology:
2,800 ACTIVISION INC NEW (b) 9,966 48,272
15,624 ADOBE SYS INC (b) 374,459 642,459
10,800 ADVANCED MICRO DEVICES INC (b) 185,249 219,780
1,100 AFFILIATED COMPUTER SVCS INC (b) 55,291 53,724
2,000 AGERE SYS INC (b) 30,820 38,340
7,700 AGILENT TECHNOLOGIES INC (b) 158,652 268,345
9,042 AKAMAI TECHNOLOGIES INC (b) 290,283 480,311
12,609 ALCATEL LUCENT ADS (d) 209,595 179,300
5,300 ALTERA CORP (b) 99,804 104,304
11,100 ANALOG DEVICES INC 99,557 364,857
17,271 ANDREW CORP (b) 209,577 176,682
17,900 APPLE COMPUTER (b) 502,833 1,518,636
28,400 APPLIED MATERIALS INC 415,207 523,980
600 ARROW ELECTRS INC (b) 15,192 18,930
7,500 ASML HOLDING N V (b) (d) 45,625 184,725
10,586 AUTODESK INCORPORATED (b) 390,987 428,310
8,722 AUTOMATIC DATA PROCESSING INC 327,384 429,559
7,700 AVAYA INC (b) 79,422 107,646
6,200 BEA SYS INC (b) 52,185 77,996
3,350 BMC SOFTWARE INC (b) 58,044 107,870
7,162 BROADCOM CORP (b) 136,592 231,404
5,300 BROCADE COMMUNICATIONS SYS INC (b) 27,300 43,513
12,225 CA INC 243,611 276,896
11,200 CADENCE DESIGN SYS INC (b) 184,491 200,592
121,750 CISCO SYS INC (b) 374,322 3,327,428
3,534 CITRIX SYS INC (b) 37,071 95,595
2,400 COGNIZANT TECHNOLOGY SOLUTIONS (b) 67,929 185,184
2,722 COMPUTER SCIENCES CORP (b) 109,475 145,273
6,800 COMPUWARE CORP (b) 44,226 56,644
2,200 COMVERSE TECHNOLOGY INC (b) 37,400 46,442
39,200 CORNING INC (b) 490,464 733,432
500 CREE INC (b) 11,565 8,660
2,400 CYPRESS SEMICONDUCTOR CORP (b) 29,768 40,488
54,377 DELL INC (b) 1,490,559 1,364,319
14,700 DENDRITE INTL INC (b) 57,965 157,437
20,400 EBAY INC (b) 225,884 613,428
5,600 ELECTRONIC ARTS INC (b) 286,778 282,016
8,000 ELECTRONIC DATA SYS CORP NEW 178,953 220,400
42,210 EMC CORP (b) 337,885 557,172
3,700 EMULEX CORP (b) 49,943 72,187
700 F5 NETWORKS INC (b) 32,375 51,947
900 FAIR ISAAC CORPORATION 31,182 36,585
1,900 FAIRCHILD SEMICONDUCTOR INTL (b) 25,935 31,939
26,044 FIRST DATA CORP 94,887 664,643
4,567 GOOGLE INC (b) 1,554,489 2,103,012
2,800 HARRIS CORP DEL 37,337 128,408
56,327 HEWLETT PACKARD CO 1,052,419 2,320,109
3,220 IAC INTERACTIVECORP (b) 80,489 119,655
6,110 INTEGRATED DEVICE TECHNOLOGY (b) 79,318 94,583
127,400 INTEL CORP (b) 687,202 2,579,850
900 INTERDIGITAL COMM CORP (b) 15,021 30,195
29,200 INTERNATIONAL BUSINESS MACHS (b) 2,504,807 2,836,780
700 INTERNATIONAL RECTIFIER CORP (b) 29,995 26,971
(Continued)
See accompanying notes to financial statements.
21
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
7,800 INTERSIL CORP $ 123,552 186,576
5,000 INTUIT (b) 103,285 152,550
5,600 JABIL CIRCUIT INC 94,248 137,480
14,267 JUNIPER NETWORKS INC (b) 289,096 270,217
3,000 KLA TENCOR CORP 101,654 149,250
3,000 LAM RESH CORP (b) 83,706 151,860
1,800 LEXMARK INTL INC (b) 76,346 131,760
5,400 LINEAR TECHNOLOGY CORP 176,013 163,728
4,600 LSI LOGIC CORP (b) 43,516 41,400
10,381 MAXIM INTEGRATED PRODS INC 320,710 317,866
2,900 MCAFEE INC (b) 65,012 82,302
10,114 MEMC ELECTR MATLS INC (b) 331,672 395,862
5,400 MICROCHIP TECHNOLOGY INC 101,340 176,580
10,400 MICRON TECHNOLOGY INC (b) 92,623 145,184
165,450 MICROSOFT CORP 1,730,933 4,940,337
2,600 MOLEX INC 81,930 82,238
42,813 MOTOROLA INC 466,966 880,235
5,600 NATIONAL SEMICONDUCTOR CORP 101,536 127,120
475 NAVTEQ CORP (b) 12,051 16,611
2,000 NCR CORP NEW (b) 73,013 85,520
5,600 NETWORK APPLIANCE INC (b) 135,059 219,968
5,200 NOVELL INC (b) 31,071 32,240
2,400 NOVELLUS SYS INC (b) 60,000 82,608
15,542 NVIDIA CORP (b) 276,885 575,209
92,362 ORACLE CORP (b) 229,891 1,583,085
19,297 PAYCHEX INC 54,298 763,003
1,400 PERKINELMER INC 25,256 31,122
300 PLANTRONICS INC NEW 9,672 6,360
2,600 POLYCOM INC (b) 26,520 80,366
3,200 QLOGIC CORP (b) 47,315 70,144
29,750 QUALCOMM INC 658,867 1,124,253
4,800 RAMBUS INC DEL (b) 84,382 90,864
3,200 RED HAT INC (b) 41,904 73,600
2,500 SANDISK CORP (b) 61,884 107,575
777 SEAGATE TECHNOLOGY (b) 9,892 20,591
17,200 SOLECTRON CORP (b) 63,102 55,384
64,125 SUN MICROSYSTEMS INC (b) 282,072 347,558
21,819 SYMANTEC CORP (b) 187,612 454,926
277 SYMBOL TECHNOLOGIES INC (b) 957 4,138
1,600 SYNOPSYS INC (b) 26,568 42,768
1,100 TEKTRONIX INC 20,167 32,087
6,450 TELLABS INC (b) 37,637 66,177
29,700 TEXAS INSTRS INC 624,785 855,360
7,900 THERMO FISHER SCIENTIFIC INC (b) 166,738 357,791
4,400 UNISYS CORP (b) 27,676 34,496
942 VERIGY LTD (b) 9,724 16,721
10,900 VERISIGN INC (b) 60,947 262,145
2,600 WATERS CORP (b) 60,997 127,322
2,300 WESTERN DIGITAL CORP (b) 31,115 47,058
14,250 XEROX CORP (b) 141,439 241,538
13,050 XILINX INC 92,297 310,721
25,240 YAHOO INC (b) 532,158 644,630
200 ZEBRA TECHNOLOGIES CORP (b) 10,256 6,958
---------------- --------------
22,856,116 43,060,652 14.77%
Materials:
2,850 AIR PRODS & CHEMS INC 133,266 200,298
17,000 ALCOA INC 468,229 510,170
1,200 ALLEGHENY TECHNOLOGIES INC 84,006 108,816
6,200 ARCH COAL INC 55,785 186,186
3,032 BALL CORP 70,662 132,195
4,200 BEMIS CO INC 93,645 142,716
3,384 CONSOL ENERGY INC 101,377 108,728
3,000 CROWN HLDGS INC (b) 43,170 62,760
3,537 CYTEC INDS INC 195,563 199,876
19,250 DOW CHEM CO 687,985 768,845
(Continued)
See accompanying notes to financial statements.
22
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
17,325 DU PONT E I DE NEMOURS & CO $ 726,903 843,901
1,911 EAGLE MATLS INC 1,727 82,613
1,000 EASTMAN CHEM CO 32,854 59,310
2,571 ECOLAB INC 91,667 116,209
2,224 FLORIDA ROCK INDS INC 74,907 95,743
6,800 FREEPORT MCMORAN COPPER & GOLD 307,969 378,964
1,100 HUNTSMAN CORP (b) 20,889 20,867
9,131 INTERNATIONAL PAPER CO 320,093 311,367
12,625 INTRNTNL FLAVRS & FRAGRNCS INC 271,595 620,645
1,600 LOUISIANA PAC CORP 39,240 34,448
500 LUBRIZOL CORP 18,193 25,065
8,050 LYONDELL CHEMICAL CO 102,700 205,839
700 MARTIN MARIETTA MATLS INC 27,965 72,737
3,875 MEADWESTVACO CORP (b) 86,711 116,483
11,616 MONSANTO CO NEW 51,490 610,188
2,400 MOSAIC CO (b) 34,272 51,264
131 NEENAH PAPER INC 4,149 4,627
8,200 NEWMONT MNG CORP 132,185 370,230
8,800 NUCOR CORP 154,139 481,008
12,800 OM GROUP INC (b) 64,857 579,584
3,750 OWENS ILL INC (b) 50,933 69,188
1,100 PACKAGING CORP AMER 24,772 24,310
2,450 PACTIV CORP (b) 22,665 87,441
4,600 PEABODY ENERGY CORP 111,339 185,886
4,400 PHELPS DODGE CORP 71,022 526,768
3,086 PPG INDS INC 144,348 198,152
4,350 PRAXAIR INC 129,744 258,086
5,446 RAYONIER INC 117,391 223,558
3,000 ROHM & HAAS CO 117,514 153,360
11,000 RPM INTL INC 113,012 229,790
1,200 SEALED AIR CORP NEW 58,956 77,904
200 SIGMA ALDRICH 11,098 15,544
18,200 SMURFIT STONE CONTAINER CORP (b) 203,147 192,192
5,200 SONOCO PRODS CO 127,607 197,912
2,489 TEMPLE INLAND INC 82,284 114,569
7,749 TITANIUM METALS CORP (b) 206,666 228,673
2,100 UNITED STS STL CORP NEW 133,602 153,594
1,800 VULCAN MATLS CO 90,324 161,766
---------------- --------------
6,314,618 10,600,373 3.64%
Telecommunication services:
14,108 ALLTEL CORP 762,938 853,252
6,650 AMERICAN TOWER CORP (b) 114,210 247,912
69,369 AT&T INC 1,724,881 2,479,942
35,733 BELLSOUTH CORP 1,035,960 1,683,382
7,450 CENTURYTEL INC 200,627 325,267
11,525 CITIZENS COMMUNICATIONS CO 88,166 165,614
5,600 CROWN CASTLE INTL CORP (b) 176,471 180,880
2,992 EMBARQ CORP 70,313 157,260
3,953 LIBERTY GLOBAL INC (b) 76,131 115,230
36,800 QWEST COMMUNICATIONS INTL INC (b) 178,042 308,016
61,659 SPRINT NEXTEL CORP 717,313 1,164,739
1,300 TELEPHONE & DATA SYS INC 26,702 70,629
1,300 TELEPHONE & DATA SYS INC 26,702 64,480
4,580 UNITED STATES CELLULAR CORP (b) 197,008 318,722
53,187 VERIZON COMMUNICATIONS 1,804,299 1,980,684
12,862 VODAFONE GROUP PLC NEW (b) (d) 148,344 357,306
6,524 WINDSTREAM CORP (b) 71,367 92,771
---------------- --------------
7,419,472 10,566,085 3.62%
Utilities:
19,186 AES CORP (b) 265,922 422,859
800 AGL RES INC 22,424 31,128
308 ALLETE INC 8,794 14,334
5,400 AMEREN CORP 209,724 290,142
2,300 AMERICAN ELEC PWR INC 71,652 97,934
(Continued)
See accompanying notes to financial statements.
23
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
Percent
Market of
Shares Security Cost value (a) net assets
- ------------- ----------------------------------------------- ---------------- --------------- ---------------
6,188 AQUA AMER INC $ 147,443 140,963
5,800 CENTERPOINT ENERGY INC 66,308 96,164
16,100 CMS ENERGY CORP (b) 228,933 268,870
1,400 CONSOLIDATED EDISON INC 61,145 67,298
2,415 CONSTELLATION ENERGY GROUP INC 120,112 166,321
5,481 DOMINION RES INC VA NEW 379,225 459,527
2,700 DTE ENERGY CO 103,060 130,707
24,613 DUKE ENERGY HLDG CORP 523,563 817,398
9,425 EDISON INTL 108,441 428,649
9,400 ENTERGY CORP NEW 184,383 867,808
18,032 EXELON CORP 904,866 1,116,000
3,400 FIRSTENERGY CORP 134,307 205,020
11,372 FPL GROUP INC 545,463 618,864
7,000 GREAT PLAINS ENERGY INC 205,265 222,600
3,300 KEYSPAN CORP 99,867 135,894
1,600 NALCO HLDG CO (b) 28,832 32,736
1,500 NATIONAL FUEL GAS CO N J 38,322 57,810
6,900 NISOURCE INC 111,901 166,290
2,400 OGE ENERGY CORP 43,344 96,000
8,200 PEOPLES ENERGY CORP 334,284 365,474
2,328 PEPCO HLDGS INC 54,672 60,551
9,800 PG&E CORP 131,785 463,834
2,100 PIEDMONT NAT GAS INC 50,582 56,175
2,400 PINNACLE WEST CAP CORP 71,637 121,656
6,387 PPL CORP 203,124 228,910
2,150 PROGRESS ENERGY INC 65,685 105,522
4,600 PUBLIC SVC ENTERPRISE GROUP 276,822 305,348
7,350 PUGET ENERGY INC 149,926 186,396
2,900 QUESTAR CORP 66,188 240,845
9,600 RELIANT ENERGY INC (b) 117,097 136,416
2,000 SEMPRA ENERGY 103,728 112,080
8,600 SOUTHERN CO 176,010 316,996
3,600 SOUTHWESTERN ENERGY CO (b) 107,060 126,180
7,600 TECO ENERGY INC 90,842 130,948
21,414 TXU CORP 194,353 1,160,853
3,000 UGI CORP NEW 48,600 81,840
18,475 WISCONSIN ENERGY CORP 356,233 876,824
12,125 XCEL ENERGY INC 108,918 279,603
---------------- --------------
7,320,842 12,307,767 4.22%
Rights/Warrants:
4,286 LUCENT TECHNOLOGIES INC (b) 0 1,329
---------------- --------------
0 1,329 0.00%
Cash equivalents:
2,904,800 SSGA MONEY MARKET FUND, CURRENT RATE 4.99% 2,904,800 2,904,800 1.00%
---------------- -------------- -----------
Grand total (c) $ 168,837,180 295,010,120 101.20%
================ ============== ===========
Notes to investments in securities:
(a) Securities are valued in accordance with procedures described in
note 2 to the financial statements.
(b) Currently nonincome producing assets.
(c) At December 31, 2006, the cost for federal income tax purposes was
$168,837,180. The aggregate gross unrealized appreciation and
depreciation of investments in securities based on this cost were as
follows:
Gross unrealized appreciation $ 126,937,470
Gross unrealized depreciation (764,530)
-------------
Net unrealized appreciation $ 126,172,940
=============
(d) Foreign security values are stated in U.S. dollars. As of December
31, 2006, the value of foreign securities represented 0.1% of net
assets.
See accompanying notes to financial statements.
24
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Growth Fund
December 31, 2006
- --------------------------------------------------------------------------------
Clearwater Growth Fund Portfolio Diversification
(as a percentage of net assets)
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Consumer Discretionary 12%
Consumer Staples 8%
Energy 9%
Financials 22%
Healthcare 12%
Industrials 11%
Information Technology 15%
Materials 4%
Telecom 4%
Utilities 4%
Cash equivalents and other assets/liabilities represent (1)% of net assets.
- --------------------------------------------------------------------------------
See accompanying notes to financial statements.
25
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Cap Fund
December 31, 2006
Percent
Fair of
Shares Security Cost value (a) net assets
- ---------------- ------------------------------------------------- ---------------- --------------- ------------
Common stocks:
Consumer discretionary:
22,000 ACCO BRANDS CORP (b) $ 428,155 582,340
43,521 CACHE INC (b) 856,137 1,098,470
89,470 CHARLOTTE RUSSE HLDG INC (b) 1,508,905 2,751,203
104,500 COMMERCIAL VEH GROUP INC (b) 2,200,300 2,278,100
20,300 GAMESTOP CORP NEW (b) 893,540 1,118,733
10,900 GAYLORD ENTMT CO NEW (b) 430,214 555,137
60,200 GENESCO INC (b) 1,736,959 2,245,460
20,000 HANESBRANDS INC (b) 460,247 472,400
17,000 IDEARC INC (b) 483,352 487,050
114,050 NEW YORK & CO INC (b) 1,576,510 1,491,774
12,900 ORIENT EXPRESS HOTELS LTD 441,491 610,428
53,150 OXFORD INDS INC 2,198,330 2,638,898
31,128 RC2 CORP (b) 890,721 1,369,632
31,650 RETAIL VENTURES INC (b) 487,494 602,616
90,200 RUSH ENTERPRISES INC (b) 1,139,465 1,423,356
61,600 RUSH ENTERPRISES INC (b) 833,107 1,042,272
161,500 STAGE STORES INC 3,646,171 4,907,985
87,500 SYNTAX BRILLIAN CORP (b) 370,654 751,625
27,850 TRIARC COS INC 431,138 605,459
18,350 TUPPERWARE BRANDS CORP 393,382 414,894
11,850 VAIL RESORTS INC (b) 430,566 531,117
16,250 WABTEC 431,366 493,675
16,000 WYNDHAM WORLDWIDE CORP (b) 465,512 512,320
---------------- ---------------
22,733,716 28,984,943 11.42%
Consumer staples:
80,250 ELIZABETH ARDEN INC (b) 1,492,717 1,528,763
16,350 FLOWERS FOODS INC 454,333 441,287
56,000 SALLY BEAUTY HLDGS INC 479,440 436,800
---------------- ---------------
2,426,490 2,406,849 0.95%
Energy:
216,000 BOOTS & COOTS INTL WELL CTL (b) 237,361 483,840
12,450 CIMAREX ENERGY CO 496,824 454,425
15,400 COMSTOCK RES INC (b) 455,117 478,324
35,750 DENBURY RES INC (b) 282,202 993,493
8,000 EXCO RES INC (b) 135,407 135,280
28,500 FOREST OIL CORP (b) 630,283 931,380
13,000 GMX RES INC (b) 365,497 461,500
15,000 GOODRICH PETE CORP (b) 480,785 542,700
36,500 GULF IS FABRICATION INC 920,326 1,346,850
116,450 OIL STATES INTL INC (b) 2,667,606 3,753,184
151,100 PIONEER DRILLING CO (b) 2,057,051 2,006,608
11,000 PLAINS EXPL & PRODTN CO (b) 489,982 522,830
71,150 SUPERIOR ENERGY SVCS INC (b) 923,545 2,325,182
62,500 T.G.C. INDUSTRIES INC (b) 725,049 525,000
10,000 WHITING PETE CORP NEW (b) 450,054 466,000
28,500 WILLBROS GROUP INC (b) 484,446 538,650
---------------- ---------------
11,801,536 15,965,245 6.29%
Financials:
50,000 AMERICAN EQUITY INVT LIFE 544,009 651,500
207,130 ANWORTH MTG ASSET CORP 1 1,626,499 1,969,806
24,500 BANCTRUST FINL GROUP INC 507,275 625,240
28,000 BANKFINANCIAL CORP 479,878 498,680
58,450 BANKUNITED FINL CORP 1,447,250 1,634,262
43,000 BEVERLY HILLS BANCORP DE 420,765 356,470
32,950 BOSTON PRIVATE FINL HLDGS INC 822,061 929,520
17,800 CITIZENS FIRST BANCORP INC 431,440 547,172
59,290 COMPUCREDIT CORP (b) 1,830,746 2,360,335
22,250 CONSECO INC (b) 481,015 444,555
355,550 EAGLE HOSPITALITY PPTYS TR INC 3,020,364 3,263,949
32,950 EASTERN INS HLDGS INC (b) 431,677 479,752
194,610 ENCORE CAP GROUP INC (b) 2,923,556 2,452,086
16,150 FIRST CMNTY BANCORP CALIF 479,061 844,161
19,000 GRAMERCY CAP CORP 400,494 586,910
28,547 HOME FED BANCORP INC DEL 425,450 489,867
43,089 IRWIN FINL CORP 922,092 975,104
(Continued)
See accompanying notes to financial statements.
26
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Cap Fund
December 31, 2006
Percent
Fair of
Shares Security Cost value (a) net assets
- ---------------- ------------------------------------------------- ---------------- --------------- ------------
30,000 JEFFERSON BANCSHARES INC TENN $ 394,500 390,600
19,550 JEFFRIES GROUP INC NEW 501,853 524,331
53,750 KOHLBERG CAP CORP (b) 827,383 929,875
227,280 MFA MTG INVTS INC 1,708,874 1,747,783
21,900 NATIONAL RETAIL PPTYS INC 505,515 502,605
19,500 NYMAGIC INC 499,688 713,700
44,350 ONE LIBRTY PROPERTIES INC 658,729 1,114,516
150,950 PATRIOT CAP FDG INC 1,909,340 2,187,266
31,650 PHOENIX COS INC NEW 432,240 502,919
28,250 PROVIDENT BANKSHARES CORP 838,266 1,005,700
20,500 REINSURANCE GROUP AMER INC 607,149 1,141,850
146,704 SEABRIGHT INS HLDGS INC (b) 2,232,909 2,642,139
56,450 SOUTH FINL GROUP INC 1,498,610 1,501,006
47,250 SOUTHERN CT BANCORP INC (b) 382,861 337,838
15,000 TIERONE CORP 505,530 474,150
43,200 WASHINGTON FED INC 1,004,219 1,016,496
119,150 IPC HOLDINGS LTD BERMUDA (d) 3,317,677 3,747,268
---------------- ---------------
35,018,975 39,589,407 15.60%
Healthcare:
34,700 AMERIGROUP CORP (b) 643,232 1,245,383
205,250 ANGIOTECH PHARMACEUTICALS INC (b) 2,839,590 1,686,129
84,000 CARDIAC SCIENCE CORP NEW (b) 780,044 677,880
142,375 CENTENE CORP DEL (b) 2,241,859 3,498,154
398,650 DRAXIS HEALTH INC (b) 1,734,810 1,925,480
65,000 FIVE STAR QUALITY CARE INC (b) 548,025 724,750
20,500 GENTIVA HEALTH SVCS INC (b) 296,801 390,730
455,950 HEALTHTRONICS INC (b) 3,758,977 3,036,627
803,050 HOOPER HOLMES INC 2,935,060 2,658,096
60,150 KINDRED HEALTHCARE INC (b) 1,596,296 1,518,788
18,750 LIFECORE BIOMEDICAL INC (b) 189,635 334,313
145,921 MATRIXX INITIATIVES INC (b) 2,275,445 2,324,522
100,300 PERRIGO CO 1,415,846 1,735,190
131,450 REHABCARE GROUP INC (b) 2,461,943 1,952,033
172,800 SALIX PHARMACEUTICALS LTD (b) 2,837,477 2,102,976
125,400 SCIELE PHARMA INC (b) 2,393,777 3,009,600
52,000 SUNLINK HEALTH SYS INC (b) 460,977 364,000
16,923 SYNERGETICS USA INC (b) 70,392 73,954
20,000 SYNERON MEDICAL LTD (b) 485,228 542,600
---------------- ---------------
29,965,415 29,801,201 11.74%
Industrials:
20,750 ADESA INC 430,483 575,813
22,900 ALAMO GROUP INC 437,833 537,234
14,950 AMERICAN RAILCAR INDS INC 433,165 508,898
40,550 ARMOR HLDGS INC (b) 1,720,829 2,224,168
45,850 BELDEN CDT INC 1,018,994 1,792,277
175,350 BISYS GROUP INC (b) 2,376,828 2,263,769
26,750 BRISTOW GROUP INC (b) 918,732 965,408
11,000 BUCYRUS INTL INC NEW 533,193 569,360
18,500 CHICAGO BRDG & IRON CO N V 477,116 505,790
22,250 COVANTA HLDG CORP (b) 429,012 490,390
132,750 COVENANT TRANS INC (b) 1,991,178 1,513,350
42,000 ENNIS INC 786,726 1,027,320
13,850 ENPRO INDS INC (b) 429,513 459,959
8,400 FLOWSERVE CORP (b) 428,469 423,948
23,500 FOSTER L B CO (b) 542,920 608,885
11,450 FOSTER WHEELER LTD (b) 470,472 631,353
278,300 FRONTIER AIRLS HLDGS INC (b) 2,554,019 2,059,420
19,950 GENESEE & WYO INC (b) 502,922 523,488
188,200 GRIFFON CORP (b) 3,871,468 4,799,100
64,000 GSI GROUP INC (b) 611,522 620,160
33,971 HARDINGE INC 375,380 511,603
65,100 ICT GROUP INC (b) 1,525,444 2,056,509
13,300 JOY GLOBAL INC 515,967 642,922
16,550 KANSAS CITY SOUTHERN (b) 431,041 479,619
53,050 LADISH COMPANY INC (b) 1,544,360 1,967,094
116,350 LAMSON & SESSIONS CO (b) 2,862,938 2,822,651
85,350 MASTEC INC (b) 1,007,500 984,939
10,100 MCDERMOTT INTL INC (b) 481,195 513,686
(Continued)
See accompanying notes to financial statements.
27
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Cap Fund
December 31, 2006
Percent
Fair of
Shares Security Cost value (a) net assets
- ---------------- ------------------------------------------------- ---------------- --------------- ------------
89,800 MILLER INDS INC TENN (b) $ 1,314,413 2,155,200
31,500 MUELLER WTR PRODS INC 505,259 468,405
408,800 NAVIOS MARITIME HOLDINGS INC 2,319,571 2,195,256
104,817 P A M TRANSN SVCS INC (b) 2,007,305 2,308,070
81,500 PACER INTL INC TN 1,655,218 2,426,255
110,750 PERINI CORP (b) 1,661,263 3,408,885
27,000 REGAL BELOIT CORP 877,634 1,417,770
11,800 TEREX CORP NEW (b) 500,395 762,044
10,650 THOMAS & BETTS CORP (b) 497,587 503,532
15,000 TIMKEN CO 485,531 437,700
16,300 WRIGHT EXPRESS CORP (b) 441,181 508,071
---------------- ---------------
41,974,575 49,670,299 19.56%
Information technology:
63,350 ADC TELECOMMUNICATIONS INC (b) 939,733 920,476
188,310 ALADDIN KNOWLEDGE SYSTEM LTD (b) 3,233,810 3,670,162
33,100 ALTIRIS INC (b) 696,942 840,078
50,000 ANADIGICS INC (b) 404,680 443,000
26,350 ANALOGIC CORP 1,144,861 1,479,289
145,700 ANDREW CORP (b) 1,580,502 1,490,511
22,500 APPLIX INC (b) 142,405 255,375
104,450 ARRIS GROUP INC (b) 805,164 1,306,670
25,350 ATHEROS COMMUNICATIONS INC (b) 424,785 540,462
59,900 AVOCENT CORP (b) 1,906,401 2,027,615
96,358 BROOKS AUTOMATION INC NEW (b) 1,323,348 1,387,555
56,500 CASCADE MICROTECH INC (b) 740,734 740,150
28,000 DIGI INTL INC (b) 308,422 386,120
68,200 DSP GROUP INC (b) 1,419,676 1,479,940
32,500 EMAGEON INC (b) 490,792 499,200
189,600 ENTEGRIS INC (b) 1,897,498 2,051,472
64,500 EPICOR SOFTWARE CORP (b) 802,358 871,395
80,000 EXFO ELECTRO OPTICAL ENGR INC (b) 445,737 449,600
31,800 GERBER SCIENTIFIC INC (b) 315,282 399,408
158,959 INTEGRATED DEVICE TECHNOLOGY (b) 1,726,129 2,460,685
64,650 INTEVAC INC (b) 1,176,919 1,677,668
381,400 LIONBRIDGE TECHNOLOGIES INC (b) 2,456,221 2,456,216
70,874 MICROTUNE INC DEL (b) 310,431 333,108
40,000 MOLDFLOW CORP (b) 534,212 555,600
104,350 MPS GROUP INC (b) 755,583 1,479,683
64,550 NETGEAR INC (b) 1,102,098 1,694,438
37,500 PACKETEER INC (b) 354,411 510,000
190,300 QUOVADX INC (b) 301,873 536,646
55,000 RADYNE COMSTREAM INC (b) 557,383 590,700
135,990 RUDOLPH TECHNOLOGIES INC (b) 2,149,503 2,164,961
75,050 SAFENET INC (b) 1,453,641 1,796,697
181,800 SEMITOOL INC (b) 1,793,116 2,419,758
80,000 SILICON MOTION TECHNOLOGY CORP (b) (d) 1,197,289 1,269,600
455,050 SKYWORKS SOLUTIONS INC (b) 2,385,181 3,221,754
90,000 SYMMETRICOM INC (b) 768,739 802,800
252,524 SYPRIS SOLUTIONS INC 2,640,214 1,755,042
130,850 TRIDENT MICROSYSTEMS INC (b) 2,248,201 2,378,853
67,650 VIASAT INC (b) 1,243,258 2,016,647
131,550 WEBSIDESTORY INC (b) 1,703,539 1,665,423
25,000 ZYGO CORP (b) 324,588 411,250
---------------- ---------------
46,205,659 53,436,004 21.04%
Materials:
37,300 AIRGAS INC 1,086,590 1,511,396
8,550 ALLEGHENY TECHNOLOGIES INC 515,336 775,314
30,000 ALPHA NAT RES INC (b) 524,404 426,900
69,350 AMERICAN VANGUARD CORP 1,100,789 1,102,665
81,650 CASTLE A M CO 2,236,213 2,077,993
50,600 CENTURY ALUM CO (b) 1,810,837 2,259,290
41,650 CLEVELAND CLIFFS INC 1,640,715 2,017,526
72,400 COMMERCIAL METALS CO 1,043,652 1,867,920
19,550 COMMERCIAL METALS CO 449,482 504,390
76,100 COMPASS MINERALS INTL INC 2,291,442 2,401,716
9,650 DELTIC TIMBER CORP 458,357 538,277
24,200 EAGLE MATLS INC 946,329 1,046,166
13,300 FOUNDATION COAL HLDGS INC 511,807 422,408
(Continued)
See accompanying notes to financial statements.
28
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Cap Fund
December 31, 2006
Percent
Fair of
Shares Security Cost value (a) net assets
- ---------------- ------------------------------------------------- ---------------- --------------- ------------
29,800 NORTHWEST PIPE CO (b) $ 652,535 1,001,876
21,750 TEXAS INDS INC 1,185,696 1,397,003
15,650 TEXAS INDS INC 870,890 1,005,200
32,200 TITANIUM METALS CORP (b) 259,439 950,222
33,800 UNIVERSAL STAINLESS & ALLOY PR (b) 582,319 1,131,624
---------------- ---------------
18,166,831 22,437,885 8.84%
Utilities:
11,900 ALLEGHENY ENERGY INC (b) 500,010 546,329
10,350 ALLETE INC 478,553 481,689
17,400 CLECO CORP NEW 430,052 439,002
46,400 GREAT PLAINS ENERGY INC 1,158,407 1,475,520
102,262 MDU RES GROUP INC 1,313,442 2,621,998
45,500 ONEOK INC NEW 934,250 1,961,960
41,000 PETROHAWK ENERGY CORP (b) 461,464 471,500
17,500 PORTLAND GEN ELEC CO 488,955 476,875
192,600 SEMCO ENERGY INC (b) 1,103,051 1,174,860
18,050 WESTSTAR ENERGY INC 430,501 468,578
---------------- ---------------
7,298,685 10,118,311 3.99%
Rights/Warrants:
Industrials:
291,350 NAVIOS MARITIME HOLDINGS INC (b) 29,160 326,312
---------------- ---------------
29,160 326,312 0.13%
Corporate Bonds:
Healthcare:
52,871 DEL GLOBAL TECHNOLOGIES CORP (b)(f)
MATURING MARCH 28, 2007, ZERO COUPON, 6.000% (e) 36,113 40,713
---------------- ---------------
36,113 40,713 0.02%
Cash equivalents:
10,603,341 SSGA MONEY MARKET FUND, CURRENT RATE 4.99% 10,603,341 10,603,341 4.18%
---------------- --------------- -----------
Grand Total (c) $ 226,260,495 263,380,508 103.76%
================ =============== ===========
Notes to Investments in Securities
(a) Securities are valued in accordance with procedures described in
note 2 to the financial statements.
(b) Currently non-income producing assets. For long-term debt
securities, item identified is in default as to payment of interest
and/or principal.
(c) At December 31, 2006, the cost for Federal income tax purposes was
$226,260,495. The aggregate gross unrealized appreciation and
depreciation of investments in securities based on this cost were as
follows:
Gross unrealized appreciation $ 44,634,915
Gross unrealized depreciation (7,514,902)
------------
Net unrealized appreciation $ 37,120,013
============
(d) Foreign security values are stated in U.S. dollars. As of December
31, 2006, the value of foreign securities represented 1.98% of net
assets.
(e) For zero coupon bonds, the interest rate disclosed represents the
annualized effective yield on the date of acquisition.
(f) This security is being fair-valued according to procedures adopted
by the Board of Trustees.
(Continued)
See accompanying notes to financial statements.
29
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Cap Fund
December 31, 2006
- --------------------------------------------------------------------------------
Clearwater Small Cap Fund Portfolio Diversification
(as a percentage of net assets)
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Consumer Discretionary 11%
Consumer Staples 1%
Energy 6%
Financials 16%
Healthcare 12%
Industrials 20%
Information Technology 21%
Materials 9%
Utilities 4%
Cash equivalents and other assets/liabilities represent less than 1% of net
assets.
- --------------------------------------------------------------------------------
See accompanying notes to financial statements.
30
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
Closed-end funds:
1,300 BLACKROCK INSD MUN 2008 $ 20,579 20,189
10,300 COLONIAL INSD MUN FD 136,221 138,432
54,600 DWS MUN INCOME TR 595,762 604,968
1,100 EATON VANCE INSD MI MUN BD FD 15,510 15,796
42,000 MBIA CAP CLAYMORE MANAGED 541,274 541,800
42,000 NUVEEN FLA INVT QUALITY MUN FD 573,977 580,020
63,600 NUVEEN FLA QUALITY INCOME MUN 877,066 880,224
12,000 NUVEEN PREMIER INC 164,327 166,200
79,900 SELIGMAN SELECT MUN FD INC 799,499 809,387
6,300 VAN KAMPEN MERITT MUN OPPORT 94,949 96,831
8,000 VAN KAMPEN MERRITT ADVANTAGE 106,434 108,800
100 VAN KAMPEN MERRITT TR INVT 1,441 1,542
35,100 VAN KAMPEN MERRITT TR INVT 525,717 528,255
------------- ------------
4,452,756 4,492,444 1.58%
Municipal bonds:
950,000 ABILENE TX HLTH FACS DEV CORP 11/15/2028 5.2500 $ 950,047 951,121
500,000 AGUA CAIENTE BAND 7/1/2008 4.6000 502,480 502,930
200,000 ALABAMA SPL CARE FACS FING 11/1/2019 5.0000 210,738 207,532
1,250,000 ALABAMA ST UNIV REV 8/1/2028 5.2500 1,303,686 1,364,538
995,000 ALASKA ST HSG FIN CORP ( c ) 12/1/2017 6.2390 510,295 526,385
300,000 ALBANY NY INDL DEV AGY CIVIC 5/1/2016 6.5000 300,000 304,683
500,000 ALEXANDRIA VA REDEV & HSG AUTH 10/1/2029 6.1250 529,380 525,640
400,000 ALLEGHENY CNTY PA HOSP DEV 4/1/2007 3.1000 399,652 398,920
300,000 ALLEGHENY CNTY PA HOSP DEV 4/1/2008 3.3000 298,367 296,694
340,000 ALLEGHENY CNTY PA HOSP DEV 4/1/2009 3.5000 336,382 334,733
350,000 ALLEGHENY CNTY PA HOSP DEV 4/1/2010 3.8750 344,499 346,084
500,000 ARBOR GREENE CMNTY DEV DIST FL 5/1/2019 5.0000 510,605 526,595
500,000 ARIZONA HEALTH FACS AUTH 10/1/2010 4.7500 500,000 499,760
800,000 ARIZONA HEALTH FACS AUTH REV 11/15/2009 6.5000 800,000 830,520
1,750,000 ARLINGTON TX SPL OBLIG 8/15/2034 5.0000 1,884,721 1,842,593
600,000 ATLANTA GA DEV AUTH REV 1/1/2031 5.0000 614,751 616,932
900,000 ATLANTA GA TAX ALLOCATION 1/1/2020 5.4000 893,872 930,672
375,000 AUSTIN TX 1/1/2009 6.0000 384,633 384,045
1,005,000 AUSTIN TX CONV ENTERPRISES 1/1/2023 6.0000 1,058,174 1,090,124
15,000 AUSTIN TX CONVENTION ENTERPRIS 1/1/2016 6.3750 14,805 16,298
50,000 AUSTIN TX UTIL SYS REV 5/15/2018 5.2500 50,126 50,059
500,000 AUSTIN TX WTR & WASTEWATER SYS 5/15/2027 5.1250 517,111 522,770
400,000 AVE MARIA STEWARDSHIP CMNTY 11/1/2012 4.8000 399,502 399,188
735,000 BADGER TOB ASSET SECURITIZATIO 6/1/2017 6.0000 766,681 790,787
290,000 BADGER TOB ASSET SECURITIZATIO 6/1/2027 6.1250 291,966 313,307
50,000 BAY AREA GOVT ASSOC CA REV 12/15/2014 6.0000 51,558 50,545
570,000 BEDFORD PARK IL TAX INCREMENT 1/1/2012 4.6250 567,487 566,609
500,000 BELMONT CMNTY DEV DIST FL 11/1/2014 5.1250 499,178 506,405
155,000 BENTON HARBOR MI CHARTER 5/1/2009 10.0000 155,000 154,374
500,000 BERKELEY CNTY S C SCH DIST INS 12/1/2019 5.2500 523,066 527,395
750,000 BERKELEY CNTY SC SCH DIST 12/1/2020 5.0000 761,217 789,848
550,000 BEVERLY HILLS CA PUB FIN AUTH 6/1/2023 5.0000 553,969 562,293
1,250,000 BEXAR CNTY TX HLTH FACS DEVCP 11/15/2023 6.1000 1,306,440 1,318,950
300,000 BEXAR CNTY TX HLTH FACS DEVCP 7/1/2027 5.0000 310,635 309,783
250,000 BEXAR CNTY TX HSG FIN CORP 12/1/2021 6.5000 270,692 269,468
515,000 BEXAR CNTY TX HSG FIN CORP MF 9/15/2021 8.7500 515,000 541,868
840,000 BEXAR CNTY TX HSG FIN CORP MF 4/1/2030 9.0000 837,566 824,964
610,000 BEXAR CNTY TX HSG FIN CORP MF 8/1/2030 8.1250 587,584 619,187
1,020,000 BEXAR CNTY TX HSG FIN CORP MF 6/1/2031 10.5000 1,020,000 1,016,705
1,025,000 BEXAR CNTY TX HSG FIN CORP MF 12/1/2036 9.2500 999,572 1,066,923
665,000 BEXAR CNTY TX REV 8/15/2022 5.7500 703,889 701,030
500,000 BIRMINGHAM SOUTHERN COLLEGE AL 12/1/2019 5.3500 505,874 504,770
140,000 BIRMINGHAM SOUTHERN COLLEGE AL 12/1/2025 6.1250 142,983 142,485
250,000 BLUE ASH OH TAX INCREMENT 12/1/2021 5.0000 253,590 255,060
500,000 BOONE CNTY IND REDEV DIST TAX 8/1/2023 5.3750 506,531 534,825
750,000 BOONE CNTY IND REDEV DIST TAX 8/1/2028 5.0000 740,220 775,665
750,000 BRAZOS CNTY TX HEALTH FAC DEV 1/1/2032 5.3750 773,380 791,820
650,000 BREMER CNTY IA RETIREMENT FAC 11/15/2030 4.5000 650,000 649,565
550,000 BRIDGEVILLE DEL SPL OBLIG 7/1/2035 5.1250 550,000 556,996
250,000 BROADVIEW IL TAX INCREMENT 7/1/2007 5.0000 250,667 250,798
125,000 BROWNSVILLE TX ( c ) 2/15/2011 4.8870 101,431 96,409
165,000 BULLHEAD CITY AZ SPL ASSMT 1/1/2010 6.1000 165,876 166,610
200,000 CALEXICO CA CMNTY REDEV AGY 8/1/2026 5.3750 208,115 210,056
(Continued)
See accompanying notes to financial statements.
31
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
100,000 CALIFORNIA CMNTYS HSG FIN AGY 8/1/2011 5.0000 $ 99,651 100,307
405,000 CALIFORNIA CMNTYS HSG FIN AGY 10/1/2011 5.0000 404,269 406,284
290,000 CALIFORNIA CMNTYS HSG FIN AGY 12/1/2011 5.0000 289,461 290,948
160,000 CALIFORNIA CMNTYS HSG FIN AGY 8/1/2012 4.6500 159,343 160,590
360,000 CALIFORNIA CMNTYS HSG FIN AGY 11/1/2012 4.8500 358,472 361,372
195,000 CALIFORNIA CNTY 6/1/2023 5.6250 186,248 197,239
500,000 CALIFORNIA CNTY CALIF TOB 6/1/2019 4.7500 482,911 503,615
500,000 CALIFORNIA HEALTH FACS FING 4/1/2010 5.3000 516,391 517,695
500,000 CALIFORNIA HEALTH FACS FING 8/1/2027 5.1250 521,072 513,465
500,000 CALIFORNIA MUN FIN AUTH ED REV 6/1/2026 5.2500 508,762 524,410
40,000 CALIFORNIA ST 10/1/2020 5.2500 41,136 40,353
500,000 CALIFORNIA ST DEPT WTR RES 7/1/2022 5.2500 505,399 516,500
275,000 CALIFORNIA ST DEPT WTR RES 12/1/2022 5.0000 277,190 280,459
120,000 CALIFORNIA ST DEPT WTR RES CEN 12/1/2027 5.3750 125,556 121,946
375,000 CALIFORNIA ST PUB WKS LEASE 6/1/2021 5.5000 382,644 375,334
350,000 CALIFORNIA ST PUB WKS LEASE 6/1/2023 5.0000 351,214 350,179
200,000 CALIFORNIA STATEWIDE CMNTYS 1/1/2012 5.6250 200,000 200,124
750,000 CALIFORNIA STATEWIDE CMNTYS 3/1/2035 5.0000 757,630 776,033
500,000 CAMERON TX ED CORP REV 8/15/2021 5.0000 495,379 519,530
500,000 CAPE GIRARDEAU CNTY MO INDL 6/1/2032 5.7500 519,463 526,930
750,000 CAPITAL TR AGY FL MULTIFAMILY 6/1/2038 5.8750 763,832 770,753
500,000 CAPITAL TR AGY FL REV 10/1/2033 8.9500 500,000 614,495
500,000 CAPITAL TR AGY FLA MULTIFAMILY 6/1/2013 4.7500 500,000 488,495
1,470,015 CARLSBAD NM INDL DEV REV 4/15/2021 5.7500 1,517,319 1,560,656
210,000 CARSON CITY NV HOSP REV 9/1/2031 5.7500 219,094 222,058
330,000 CARTHAGE MO HOSP REV 4/1/2007 4.0000 330,000 329,934
750,000 CARTHAGE MO HOSP REV 4/1/2010 4.5000 735,554 737,550
1,130,000 CENTRAL FALLS RI DETENTION FAC 1/15/2009 6.0000 1,130,000 1,140,419
165,000 CHARLESTON CNTY SC HOSP FACS 10/1/2019 5.5000 170,773 165,018
400,000 CHARTIERS VALLEY PA INDL 8/15/2012 5.0000 397,080 405,256
500,000 CHATHAM CNTY GA HOSP AUTH REV 1/1/2034 5.5000 521,747 533,315
500,000 CHEROKEE NATION OK HLTHCARE 12/1/2021 4.6000 500,000 500,020
250,000 CHESTERFIELD CNTY VA INDL DEV 6/1/2017 5.8750 257,264 269,715
450,000 CHESTERFIELD CNTY VA INDL DEV 7/1/2019 5.2000 410,498 465,341
330,000 CHICAGO IL 1/1/2025 5.1250 339,462 333,604
750,000 CHICAGO IL BRD ED 12/1/2030 5.2500 780,948 773,880
40,000 CHICAGO IL MET HSG DEV CORP 7/1/2022 6.8500 41,312 41,040
1,000,000 CHICAGO IL TAX INCREMENT 12/1/2008 6.5000 988,951 1,036,110
500,000 CITIZEN POTAWATOMI NATION OK 9/1/2016 6.5000 500,000 531,290
500,000 CLEVELAND CUYAHOGA CNTY OH 5/15/2023 5.2500 500,000 514,900
275,000 COLORADO EDL & CULTURAL FACS 6/15/2012 4.6250 270,459 267,432
400,000 COLORADO EDL & CULTURAL FACS A 11/1/2007 4.5000 402,338 399,960
295,000 COLORADO HEALTH FACS AUTH REV 12/1/2008 4.4000 293,391 296,643
225,000 COLORADO HEALTH FACS AUTH REV 12/1/2010 6.2500 227,093 237,029
350,000 COLORADO HEALTH FACS AUTH REV 12/1/2010 6.2500 353,256 369,299
1,000,000 COLORADO HEALTH FACS AUTH REV 9/15/2023 5.7000 1,032,925 1,046,690
500,000 COLORADO HEALTH FACS AUTH REV 3/1/2025 5.0000 495,329 516,905
750,000 COLORADO HEALTH FACS AUTH REV 11/15/2029 5.1250 782,400 790,380
295,000 CONCORDE ESTATES CMNTY DEV DIS 5/1/2011 5.0000 293,855 294,923
250,000 CONNECTICUT ST 7/1/2025 5.0000 254,977 263,723
590,000 CONNECTICUT ST DEV AUTH POLLTN 9/1/2028 5.8500 622,095 620,544
1,250,000 CONNECTICUT ST DEV AUTH POLLTN 9/1/2028 5.8500 1,325,400 1,314,713
350,000 COOLIDGE AZ UNI SCH DIST 10/1/2010 4.1500 348,794 346,682
250,000 CORALVILLE IA 6/1/2018 5.0000 247,842 261,323
645,000 CORTLAND IL SPL TAX REV 3/1/2017 5.5000 638,841 653,017
500,000 COW CREEK BAND UMPQUA TRIBE 5/1/2035 5.0000 500,000 500,780
1,070,000 CROW FIN AUTH MINN TRIBAL PUR 10/1/2017 5.6500 1,013,948 1,106,615
400,000 DADE CNTY FL HLTH FAC HOSP REV 5/15/2021 5.2500 405,381 400,412
490,000 DALLAS TX HSG FIN CORP 10/20/2032 6.7500 505,900 524,530
750,000 DAYTON OH SPL FACS REV 2/1/2018 5.6250 800,023 778,140
300,000 DECATUR TX HOSP AUTH HOSP REV 9/1/2007 4.1250 300,000 298,191
215,000 DELAWARE CNTY PA AUTH HOSP REV 12/15/2020 5.3000 222,478 215,114
750,000 DENVER CO CONVENTION CTR 12/1/2026 5.1250 784,977 808,350
500,000 DENVER COLO CONVENTION CTR 12/1/2030 5.0000 513,369 532,560
155,000 DESLOGE MO TAX INCREMENT REV 4/15/2007 4.0000 155,054 154,688
585,000 DETROIT CMNTY HIGH SCH MI 11/1/2010 5.0000 585,000 575,652
500,000 DETROIT LAKES MN HSG & HEALTH 8/1/2034 4.2500 500,000 501,380
1,250,000 DIRECTOR ST NV DEPT BUSINESS 11/15/2014 6.0000 1,234,514 1,259,950
55,000 DOUBLE BRANCH CMNTY DEV DIST 5/1/2008 5.1250 54,940 55,036
(Continued)
See accompanying notes to financial statements.
32
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
500,000 DURBIN CROSSING CMNTY DEV 11/1/2010 4.8750 $ 499,508 497,205
300,000 E470 PUB HWY AUTH CO REV 9/1/2026 5.0000 304,725 304,914
305,000 EAGLE MOUNTAIN UT SPL ASSMT 2/1/2007 8.0000 305,000 306,003
1,000,000 EAST POINT GA 2/1/2026 8.0000 1,143,140 1,142,810
800,000 EDEN PRAIRIE MN MLT FAM HSG 2/20/2043 6.2000 875,234 868,024
440,000 EL PASO CNTY TEX HSG FIN CORP 12/1/2015 7.0000 440,000 440,022
400,000 EL PASO TX HEALTH FACS DEV 8/15/2012 7.0000 400,000 430,412
500,000 ERIE CNTY OH HOSP FACS REV 8/15/2013 6.0000 540,574 550,045
500,000 ERNEST N MORIAL NEW ORLEANS LA 7/15/2028 5.2500 512,970 534,625
500,000 ESTHERVILLE IA HOSP REV 7/1/2020 6.3000 510,249 536,005
170,000 FARMINGTON NM POLLUTN CTL REV 4/1/2022 5.8000 173,701 170,071
750,000 FARMS NEW KENT VA 3/1/2036 5.1250 750,000 757,643
615,000 FIDDLERS CREEK CMNTY DEV DIST 5/1/2013 5.7500 610,950 642,294
15,000 FISHAWK CMNTY DEV DIST II 11/1/2007 5.0000 14,988 15,007
700,000 FLORIDA HSG FIN CORP REV 10/1/2030 5.7500 734,968 735,735
350,000 FLORIDA ST DIV BD FIN DEPT 7/1/2011 5.0000 365,620 355,835
1,335,000 FOREST CREEK CMNTY DEV DIST 5/1/2011 4.8500 1,333,664 1,331,556
500,000 FREEDOME WI SAN DIST 6/1/2011 4.9000 502,476 504,310
250,000 FULCO GA HOSP AUTH ANTIC CTFS 11/15/2028 5.0000 260,345 258,070
300,000 FULTON CNTY PA INDL DEV AUTH 7/1/2009 5.3000 299,562 299,685
330,000 FULTON CNTY PA INDL DEV AUTH 7/1/2011 5.3750 329,127 330,455
325,000 GALVESTON CNTY TX HEALTH FACS 11/1/2014 5.0000 332,174 329,817
500,000 GARDEN GROVE CA CTFS PARTN 8/1/2023 5.7000 513,755 500,860
750,000 GARZA CNTY TX PUB FAC CORP 10/1/2011 5.0000 753,880 762,308
500,000 GARZA CNTY TX PUB FAC CORP 10/1/2016 5.5000 514,203 531,580
220,000 GATEWAY SVCS CMNTY DEV DIST FL 5/1/2010 5.5000 219,003 220,933
20,000 GEORGIA MUN ELEC AUTH PWR REV ( c ) 1/1/2012 4.7430 15,542 14,856
280,000 GEORGIA MUN ELEC AUTH PWR REV ( c ) 1/1/2012 5.5570 211,472 203,885
1,750,000 GOLDEN ST TOB SECURITIZATION 6/1/2019 5.0000 1,819,577 1,801,170
1,000,000 GOLDEN ST TOB SECURITIZATION ( c ) 6/1/2022 1.2940 819,587 875,490
500,000 GREENVILLE CNTY S C SCH DIST 12/1/2028 5.0000 519,289 528,220
585,000 GROVE CITY PA AREA HOSP AUTH 7/1/2012 5.2500 584,304 586,503
1,000,000 HARRIS CNTY TX 8/15/2035 5.2500 1,046,825 1,045,210
300,000 HARRISBURG PA AUTH UNIV REV 9/1/2016 5.4000 300,000 303,243
1,000,000 HARTLAND MI CONS SCH DIST 5/1/2029 5.1250 1,023,630 1,040,230
500,000 HAWAII ST DEPT BUDGET & FIN 11/15/2009 6.7500 500,000 521,975
315,000 HAYWARD CA CTFS PARTN 8/1/2026 5.2500 323,120 318,487
360,000 HEALTH CARE AUTH FOR BAPTIST H 11/15/2018 5.0000 373,300 375,743
1,500,000 HENDERSON NV LOC IMPT DISTS 9/1/2010 4.5000 1,500,000 1,503,180
250,000 HENRICO CNTY VA ECONOMIC DEV 10/1/2027 5.0000 255,821 257,673
345,000 HERITAGE ISLE AT VIERA CMNTY 11/1/2009 5.0000 344,747 345,121
500,000 HERITAGE ISLE AT VIERA CMNTY 11/1/2013 5.0000 498,763 496,880
750,000 HIGHLANDS CNTY FL HEALTH FACS 11/15/2036 5.2500 769,186 799,658
1,000,000 HIGHLANDS CNTY FL HEALTH REV 11/15/2030 5.0000 1,026,357 1,038,070
775,000 HIGHLANDS CNTY FLA HEALTH FACS 11/15/2027 5.0000 791,086 806,233
500,000 HIMALAYA WTR & SANTN DIST CO 12/1/2035 5.0000 513,783 519,865
850,000 HOUSTON TX HLTH FACS DEV CORP 2/15/2023 7.0000 850,000 952,995
250,000 HOUSTON TX HLTH FACS DEV CORP 2/15/2034 4.7500 250,000 250,073
350,000 HOUSTON TX HLTH FACS DEV CORP 2/15/2034 5.0000 350,000 350,098
750,000 HUNTSVILLE AL HEALTH CARE AUTH 6/1/2022 5.6250 788,049 806,738
750,000 HUNTSVILLE AL HEALTH CARE AUTH 6/1/2032 5.7500 791,596 809,573
120,000 IDAHO HEALTH FACS AUTH HOSP 8/1/2009 5.7500 120,684 122,417
110,000 IDAHO HEALTH FACS AUTH HOSP 8/1/2010 6.0000 110,665 112,805
245,000 IDAHO HSG & FIN ASSN 8/1/2017 6.2500 245,000 246,485
310,000 IDAHO HSG & FIN ASSN NON PROFI 8/1/2010 5.7500 310,000 311,225
1,930,000 ILLINOIS DEV FIN AUTH POLLUTN 3/1/2014 5.5000 1,987,579 1,948,239
170,000 ILLINOIS DEV FIN AUTH POLLUTN 2/1/2024 5.7000 174,506 172,322
2,500,000 ILLINOIS DEV FIN AUTH POLLUTN 8/15/2026 5.9500 2,577,913 2,543,275
250,000 ILLINOIS DEV FIN AUTH REV 7/1/2009 5.9000 253,394 254,520
3,010,000 ILLINOIS DEV FIN AUTH REV 7/1/2019 6.0500 3,091,894 3,064,902
250,000 ILLINOIS DEV FIN AUTH REV 5/15/2021 5.5000 260,353 257,403
750,000 ILLINOIS EDL FACS AUTH 7/1/2038 5.1250 765,971 770,490
500,000 ILLINOIS FIN AUTH REV 5/15/2012 5.1000 497,665 502,375
650,000 ILLINOIS FIN AUTH REV 5/15/2015 5.2500 660,986 662,890
500,000 ILLINOIS FIN AUTH REV 11/15/2016 5.0000 515,722 515,630
375,000 ILLINOIS FIN AUTH REV 4/1/2026 5.0000 382,229 392,655
610,000 ILLINOIS FIN AUTH REV 8/15/2026 6.0000 626,156 646,551
750,000 ILLINOIS FIN AUTH REV 11/15/2035 5.0000 750,000 750,428
675,000 ILLINOIS FIN AUTH REV 2/1/2037 5.2500 683,870 711,018
(Continued)
See accompanying notes to financial statements.
33
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
500,000 ILLINOIS FIN AUTH REV 2/15/2038 5.8750 $ 506,323 526,845
500,000 ILLINOIS FIN AUTH REV 2/15/2038 5.4000 500,000 501,210
250,000 ILLINOIS FIN AUTH REV 5/15/2038 5.7500 257,501 261,005
375,000 ILLINOIS FIN AUTH SPORTS FAC 12/1/2035 7.0000 369,248 385,245
500,000 ILLINOIS FIN AUTH STUDENT HSG 6/1/2007 5.0000 503,783 501,615
500,000 ILLINOIS FN AUTH REV 11/15/2026 5.2500 515,621 516,115
1,000,000 ILLINOIS HEALTH FACS AUTH REV 11/15/2019 7.0000 1,050,937 1,048,470
2,400,000 ILLINOIS HEALTH FACS AUTH REV 11/15/2019 7.0000 2,522,775 2,516,328
1,000,000 ILLINOIS HEALTH FACS AUTH REV 5/15/2032 5.5000 1,025,566 1,042,150
500,000 ILLINOIS HLTH FACS AUTH REV 2/15/2019 6.0000 506,445 507,395
160,000 ILLINOIS HSG DEV AUTH ELDERLY 1/1/2007 6.6250 160,007 160,011
250,000 ILLINOIS ST SALES TAX REV 6/15/2009 5.0000 254,176 250,250
250,000 INDIANA HEALTH & EDL FAC FING 11/15/2025 5.2500 255,621 266,128
250,000 INDIANA HEALTH & EDL FAC FING 2/15/2040 5.2500 255,815 264,760
620,000 INDIANA HLTH FAC FING AUTH REV 8/15/2009 4.7500 594,031 621,866
190,000 INDIANA HLTH FAC FING AUTH REV 8/15/2018 5.0000 169,516 190,859
750,000 INDIANA HLTH FAC HOSP REV 8/1/2008 6.0000 757,648 767,483
350,000 INDIANA HLTH FAC HOSP REV 2/15/2018 5.2500 358,574 359,041
300,000 INDIANA HLTH FAC HOSP REV 1/1/2023 6.0000 312,070 300,417
185,000 INDIANA ST DEV FIN AUTH POLLUT 3/1/2030 5.0000 186,014 185,137
300,000 INDIANA TRANSN FIN AUTH HWY 12/1/2025 5.3750 315,216 316,833
300,000 INTERCOMMUNITY HOSP AUTH CA CT 11/1/2019 5.2500 312,485 310,131
200,000 INTERLOCKEN MT CIST CO 12/15/2019 5.7500 216,902 212,004
2,500,000 INTERMEDIATE SCH DIST 287 MN 11/1/2032 5.2950 2,547,999 2,553,675
1,000,000 INTERMEIDIATE SCH DIST 287 MN 1/1/2028 5.4600 1,022,514 1,046,740
200,000 IOWA FIN AUTH RETIREMENT CMNTY 11/15/2009 4.2500 198,662 195,938
200,000 IOWA FIN AUTH RETIREMENT CMNTY 11/15/2011 4.7500 197,854 197,212
230,000 IOWA FIN AUTH SR HSG REV 11/1/2011 5.0000 230,000 230,161
250,000 JEFFERSON PARISH LA FIN AUTH 6/1/2033 5.0000 264,140 264,815
250,000 JOHNSON CITY TN HEALTH & EDL 2/15/2009 4.5000 248,741 249,818
290,000 JOPLIN MO INDL DEV AUTH HEALTH 2/15/2008 4.0000 292,094 289,716
300,000 JUBAN PARK CMNTY DEV DIST LA 10/1/2014 5.1500 300,000 301,632
1,000,000 KENT HOSP FIN AUTH MICH REV 7/1/2035 6.0000 1,066,274 1,104,140
700,000 KENTWOOD MI ECONOMIC DEV 11/15/2026 5.2500 710,892 723,121
2,000,000 KERRVILLE TEX HEALTH FACS 8/15/2035 5.4500 2,017,774 2,018,060
605,000 KERSHAW CNTY SC PUB SCHS 12/1/2025 5.0000 618,690 643,169
1,500,000 KING CNTY WA 1/1/2030 5.0000 1,509,270 1,528,455
500,000 KNOX CNTY TENN HEALTH EDL & HSG 4/1/2029 5.6250 517,756 517,240
370,000 KNOX CNTY TN HEALTH EDL & HSG 4/1/2024 5.6250 382,267 383,039
500,000 KRONENWETTER WI REDEV AUTH 6/1/2008 4.8000 503,720 504,805
750,000 LAKE ASHTON II CMNTY DEV DIST 11/1/2010 4.8750 750,930 745,808
250,000 LAKE ASHTON II CMNTY DEV DIST 11/1/2011 5.0000 249,692 249,315
500,000 LAKELAND FL HOSP SYS REV 11/15/2032 5.0000 513,448 517,515
250,000 LANCASTER CNTY PA HOSP AUTH 11/1/2026 5.0000 262,148 261,963
400,000 LANGSTON OK ECONOMIC DEV AUTH 5/1/2026 5.2500 414,786 424,052
250,000 LEBANON CNTY PA HEALTH FACS 12/15/2008 4.0000 250,000 247,653
350,000 LEE CNTY FL WTR & SWR REV 10/1/2027 5.0000 354,146 369,884
300,000 LEWIS CNTY WA PUB HOSP DIST 12/1/2011 6.0000 302,034 300,453
500,000 LEWISVILLE TX INDPT SCH DIST 8/15/2025 5.0000 511,385 522,415
550,000 LOMBARD IL PUB FACS CORP 1/1/2030 5.5000 581,379 593,098
500,000 LOMBARD IL PUB FACS CORP REV 1/1/2015 6.3750 500,000 516,235
300,000 LOMBARD ILL PUB FACS CORP 1/1/2025 5.5000 320,020 323,970
100,000 LOS ANGELES CA CMNTY REDEV AGY 7/1/2007 4.8750 100,377 100,098
400,000 LOUDOUN CNTY VA DEV INDL AUTH 8/1/2028 5.0000 400,000 405,048
505,000 LOUISIANA LOC GOVT ENVIR FACS 6/20/2028 8.0000 505,000 505,045
400,000 LOUISIANA PUB FACS AUTH REV 12/1/2015 6.5000 413,042 404,472
270,000 LOUISIANA PUB FACS AUTH REV 5/15/2027 5.5000 273,459 287,474
100,000 LOUISIANA PUB FACS AUTH REV 2/1/2028 5.0000 102,575 102,846
115,000 LUBBOCK TX HLTH FACS DEV CORP 1/20/2010 5.0000 115,000 115,794
205,000 LUBBOCK TX HLTH FACS DEV CORP 3/20/2012 5.0000 205,000 209,223
250,000 LUBBOCK TX HLTH FACS DEV CORP 7/1/2019 5.2500 253,426 257,118
250,000 LUBBOCK TX HLTH FACS DEV CORP 7/1/2023 5.0000 252,172 254,558
350,000 LUCAS CNTY OH HEALTH CARE FAC 8/15/2015 6.3750 340,073 373,884
500,000 LYNN MA WTR & SWR COMN GEN REV 12/1/2032 5.0000 505,780 529,025
750,000 LYONS CO REV 11/30/2016 4.7500 759,130 757,365
485,000 MADISON CNTY FL REV 7/1/2025 6.0000 477,009 503,197
1,000,000 MALTA ILL TAX INCREMENT REV 12/30/2025 5.7500 1,000,000 1,005,860
500,000 MANCHESTER N H HSG & REDEV ( c ) 1/1/2020 5.2480 251,411 280,650
250,000 MANCHESTER NH HSG & REDEV 1/1/2015 6.7500 267,443 269,408
(Continued)
See accompanying notes to financial statements.
34
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
500,000 MANITOWOC WI ELEC REV 10/1/2034 5.2500 $ 514,752 517,180
500,000 MAPLE GROVE MN HEALTH CARE REV 9/1/2029 5.0000 505,927 521,590
500,000 MARICOPA CNTY AZ HOSP REV 1/1/2008 7.6250 509,910 503,985
250,000 MARICOPA CNTY AZ INDL DEV 1/1/2027 6.6250 267,277 268,843
250,000 MARYLAND ST ECONOMIC DEV CORP 12/1/2011 4.7500 247,826 247,775
750,000 MARYLAND ST HEALTH & HIGHER 1/1/2013 4.7500 750,000 750,143
250,000 MARYLAND ST HEALTH & HIGHER ED 1/1/2027 4.6250 250,000 252,878
150,000 MASHANTUCKET WESTERN PEQUOT ( c ) 9/1/2009 6.3000 127,125 132,765
500,000 MASHANTUCKET WSTRN PEQUOT 9/1/2036 5.5000 509,617 529,370
1,500,000 MASSACHUSETTS ST COLLEGE BLDG 5/1/2039 5.3750 1,571,132 1,565,700
750,000 MASSACHUSETTS ST HEALTH & EDL 7/1/2016 5.5000 766,520 768,450
500,000 MASSACHUSETTS ST HEALTH AUTH 7/1/2018 5.0000 519,555 531,810
350,000 MASSACHUSETTS ST HLTH EDL FACS 11/15/2009 5.1250 354,130 357,294
450,000 MASSACHUSETTS ST HLTH EDL FACS 7/1/2028 5.0000 464,534 458,271
225,000 MASSACHUSETTS ST TPK AUTH MET 1/1/2029 5.2500 232,097 229,736
265,000 MATAGORDA CNTY TX NAV DIST 1 6/1/2026 5.2500 271,468 274,818
1,000,000 MATTESON IL TAX INCREMENT REV 12/1/2009 4.2500 1,000,000 999,700
1,750,000 MC ALESTER OKLA PUB WKS AUTH ( c ) 2/1/2030 5.4800 501,629 496,195
200,000 MEAD VLG NE TAX INCREMENT REV 7/1/2012 5.1250 200,000 200,474
175,000 MECKLENBURG CNTY NC INDL FACS 12/1/2009 5.2500 176,959 175,159
10,000 MEDITERRA NO CMNTY DEV DIST FL 5/1/2008 6.0000 9,993 10,050
500,000 MESQUITE TX HEALTH FACS DEV 2/15/2015 5.0000 503,284 513,510
1,075,000 MET GOVT NASHVILLE DAVIDSON TN 12/20/2020 8.0000 1,075,000 1,074,516
855,000 MET GOVT NASHVILLE DAVIDSON TN ( b ) 6/20/2036 10.0000 855,000 679,845
1,850,000 MET GOVT NASHVILLE DAVIDSON TN 12/20/2040 7.5000 1,850,000 1,849,797
500,000 METRO GOVT NSHVILLE TN WTR SWR 1/1/2018 5.0000 515,989 510,755
850,000 METRO TRANSN AUTH NY SVC CONTR 7/1/2030 5.0000 882,649 889,704
300,000 METROPOLITAN PIER & EXPO IL 6/15/2012 5.2500 308,364 300,288
500,000 MI PUB EDL FACS AUTH REV 9/1/2019 5.5000 499,516 511,060
500,000 MIAMI CNTY OH HOSP FACS REV 5/15/2018 5.2500 513,116 533,570
500,000 MIAMI DADE CNTY FL EXPWY 7/1/2029 5.1250 521,993 527,715
220,000 MICHIGAN ST HOSP FIN AUTH REV 11/15/2009 4.0000 216,641 218,898
1,000,000 MICHIGAN ST STRATEGIC FD 9/1/2029 5.4500 1,061,637 1,065,830
330,000 MILWAUKEE WI REDEV AUTH REV 8/1/2015 5.1250 326,265 331,700
645,000 MINNESOTA ST HIGHER ED FACS 10/1/2016 4.4930 651,254 652,895
1,000,000 MISSISSIPPI DEV BK SPL 10/1/2013 5.0000 1,031,720 1,033,310
360,000 MISSISSIPPI HOSP EQUIP & FACS 1/1/2016 6.0000 373,990 367,466
750,000 MISSOURI ST DEV FIN BRD FACS 4/1/2015 6.0000 750,000 782,730
980,000 MISSOURI ST HLTH & EDL FAC AUT 2/1/2022 5.1250 1,015,698 1,024,864
375,000 MISSOURI ST HLTH & EDL FAC REV 5/15/2025 5.1250 391,027 393,251
500,000 MONROE CNTY GA POLLUTN CTL REV 7/1/2036 4.9000 512,185 511,985
505,000 MONROE MCKEEN PLAZA HSG DEV LA 2/1/2012 6.8000 508,066 505,657
500,000 MONROEVILLE AL WTRWKS BRD 1/1/2020 5.1250 514,874 510,580
500,000 MONTGOMERY AL MED CLINIC BRD 3/1/2015 7.0000 512,060 500,260
565,000 MONTGOMERY AL SPL CARE FACS 9/1/2022 5.3750 596,657 581,227
650,000 MONTGOMERY CNTY PA INDL DEV RE 2/1/2014 5.3750 645,277 668,785
375,000 MONTGOMERY CNTY PA INDL DEV RE 2/1/2028 6.1250 369,541 399,431
200,000 MONTGOMERY CNTY TX MUN UTIL 3/1/2017 4.9000 200,890 200,404
200,000 MOUNT CARBON MET DIST CO REV ( e ) 6/1/2043 1.0000 -- --
800,000 MOUNT CARBON MET DIST CO REV ( e ) 6/1/2043 7.0000 800,000 800,000
300,000 MOUNT DORA FL HEALTH FACS AUTH 8/15/2008 4.2500 297,665 296,670
200,000 MOUNT DORA FLA HEALTH FACS 8/15/2007 3.7500 199,692 198,526
260,000 MOUNTAIN REGL WTR SPL SVC DIST 12/1/2008 6.2500 258,972 260,099
500,000 MULESHOE TX INDPT SCH DIST 2/15/2031 5.0000 504,976 502,985
140,000 NEW HAMPSHIRE HEALTH & ED 7/1/2011 5.0000 140,949 141,546
480,000 NEW HAMPSHIRE HEALTH & ED 7/1/2016 5.0000 477,823 486,806
300,000 NEW JERSEY ECONOMIC DEV AUTH 1/1/2015 5.0000 296,102 305,946
250,000 NEW MEXICO HSG AUTH REGION 7/1/2017 6.0000 250,000 266,413
55,000 NEW MEXICO MTG FIN AUTH 1/1/2026 6.9500 57,992 55,831
250,000 NEW MEXICO ST HOSP EQUIP LN 7/1/2025 5.2500 260,883 268,335
500,000 NEW RIVER CNMTY DEV DIST FL CP 5/1/2013 5.0000 498,146 497,205
240,000 NEW YORK CNTYS TOB TR IV 6/1/2021 4.2500 237,435 237,264
395,000 NEW YORK N Y 3/15/2029 5.0000 406,862 405,649
500,000 NEW YORK ST ENVIRONMENTAL FACS 4/1/2022 5.1250 509,087 501,795
750,000 NEW YORK ST MED CARE FACS FIN 11/1/2020 5.3750 768,805 756,615
215,000 NEW YORK ST MTG AGY REV 4/1/2011 5.5500 222,549 221,315
560,000 NORMAN OKLA REGL HOSP AUTH REV 9/1/2016 5.6250 597,183 571,984
500,000 NORMAN OKLA REGL HOSP AUTH REV 9/1/2024 5.5000 510,160 538,220
250,000 NORTH CAROLINA MED CARE COMMN 2/15/2019 5.5000 257,510 256,495
(Continued)
See accompanying notes to financial statements.
35
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
500,000 NORTH CAROLINA MED CARE COMMN 10/1/2034 5.8000 $ 543,433 540,710
1,300,000 NORTH CAROLINA MED CARE HLTH 10/1/2035 4.7500 1,300,000 1,300,078
420,000 NORTH CAROLINA MUN PWR AGY 1/1/2017 5.1250 436,579 428,828
535,000 NORTH CENT TX HLTH FAC DEV 11/15/2010 7.0000 565,401 575,901
500,000 NORTH HARRIS CNTY TX REGL WTR 12/15/2032 5.0000 516,814 524,925
500,000 NORTHEAST NEB SOLID WASTE COAL 5/15/2023 4.9000 502,297 500,425
1,000,000 NORTHRN CA PWR AGY PUB PWR REV 7/1/2009 5.0000 1,006,702 1,000,800
250,000 OAKLAND CA UNI SCH DIST 8/1/2024 5.0000 260,201 266,608
100,000 OAKRIDGE COMMUNITY DEVELOPMENT 5/1/2018 5.2500 103,900 104,100
565,000 OHIO ST AIR QUALITY DEV AUTH 1/1/2024 5.4500 578,709 565,763
1,100,000 OKLAHOMA CNTY OK FIN AUTH REV 11/15/2040 5.0000 1,100,000 1,093,213
500,000 OKLAHOMA DEV FIN AUTH HOSP 12/1/2023 5.1250 496,297 522,925
560,000 ORANGE CNTY FL HLTH FACS AUTH 7/1/2009 4.6250 560,000 554,786
500,000 ORANGE CNTY FL HLTH FACS AUTH 11/15/2039 5.1250 514,933 526,325
640,000 OREGON ST HEALTH HSG EDL AUTH 11/15/2026 8.0000 668,218 651,706
45,000 OREGON ST HSG & CMNTY SVCS DEP 7/1/2022 5.7000 45,788 45,342
495,000 ORLEANS PARISH LA SCH BRD ( c ) 2/1/2015 5.5260 314,588 324,606
315,000 PALM BEACH FL HEALTH FACS 11/15/2029 5.1250 317,491 321,760
225,000 PALO ALTO CNTY IA HOSP REV 8/1/2024 5.2500 228,390 230,162
685,000 PANTHER TRACE II FL CMNTY DEV 11/1/2010 5.0000 688,577 685,548
690,000 PARKLANDS LEE CMNTY DEV DIST 5/1/2011 5.1250 689,299 690,642
250,000 PENNSYLVANIA INTRGVRNMNTL COOP 6/15/2021 5.0000 257,744 257,010
600,000 PENNSYLVANIA ST HIGHER EDL 1/15/2022 6.0000 621,862 653,724
500,000 PENNSYLVANIA ST HIGHER EDL 3/15/2030 5.7500 516,452 526,785
295,000 PENNSYLVANIA ST HIGHER EDL 1/15/2031 6.0000 309,265 320,836
500,000 PENNSYLVANIA ST HIGHER EDL FAC 4/1/2015 5.3750 514,490 515,290
75,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2016 5.8750 80,191 76,619
325,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2016 5.8750 336,597 332,043
500,000 PENNSYLVANIA ST HIGHER EDL FAC 12/1/2018 5.0000 516,103 528,725
235,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2021 5.8750 255,273 240,092
500,000 PHILADELPHIA PA HOSP & HIGH ED 6/15/2019 5.6250 519,219 518,510
165,000 PHILADELPHIA PA HOSP & HIGH ED 11/15/2027 5.5000 167,733 167,559
250,000 PHILADELPHIA PA HOSPS & HIGHER 11/15/2023 6.6250 254,300 251,145
250,000 PHOENIX AZ STR & HWY USER REV 7/1/2011 6.2500 257,007 250,455
475,000 PIMA CNTY AZ INDL 2/1/2015 6.6250 475,000 483,878
200,000 PIMA CNTY AZ INDL DEV 12/15/2016 5.2500 197,698 205,160
265,000 PIMA CNTY AZ INDL DEV AUTH 8/1/2012 6.2500 265,000 270,165
500,000 PIMA CNTY AZ INDL DEV AUTH 6/1/2016 6.0000 500,000 513,175
400,000 PIMA CNTY AZ INDL DEV AUTH 12/1/2017 5.3500 400,000 397,860
150,000 PIMA CNTY AZ INDL DEV AUTH 7/1/2023 5.7000 154,756 155,318
150,000 PIMA CNTY AZ INDL DEV AUTH ED 7/1/2012 5.0000 149,635 152,852
925,000 PIMA CNTY AZ INDL DEV AUTH ED 2/1/2015 7.2500 923,365 912,716
180,000 PIMA CNTY AZ INDL DEV AUTH REV 2/1/2014 6.3750 180,000 183,996
500,000 PINAL CNTY ARIZ CTFS PARTN 12/1/2026 5.0000 505,055 520,375
500,000 PINAL CNTY AZ INDL DEV AUTH 10/1/2020 5.2500 527,556 532,770
617,000 PINGREE GROVE VILLAGE IL 3/1/2015 5.2500 611,675 630,315
225,000 PITT CNTY NC REV 12/1/2010 5.3750 236,158 238,093
1,250,000 PLEASANTS CNTY WV POLL CTL 5/1/2015 6.1500 1,327,994 1,272,013
2,000,000 PORT EVERGLADES AUTH FL IMPT 9/1/2016 5.0000 2,020,299 2,005,840
650,000 PORTLAND ME HSG DEV CORP 8/1/2015 4.8750 650,000 648,843
250,000 PORTLAND ME HSG DEV CORP 8/1/2021 5.7000 250,000 262,925
500,000 POTTER CNTY PA HOSP AUTH REV 8/1/2024 6.0500 520,498 510,820
250,000 PRIVATE COLLEGES&UNIVS AUTH GA 10/1/2014 5.2500 258,801 255,990
500,000 PUERTO RICO COMWLTH INFRSTRCTR 10/1/2032 5.5000 538,584 537,345
750,000 QUAIL CREEK CMNTY FACS DIST 7/15/2016 5.1500 750,000 772,035
300,000 RED RIVER AUTH TX POLLUTN CTL 7/1/2011 5.2000 306,859 303,675
750,000 RENO SPARKS INDIAN COLONY NV 6/1/2021 5.0000 768,986 790,590
100,000 REUNION EAST CMNTY DEV DIST 11/1/2007 5.9000 99,918 100,439
500,000 RICHARDSON TX HOSP AUTH REV 12/1/2028 5.6250 516,502 517,200
250,000 RIVERWOOD ESTATES CMNTY DEV 5/1/2013 5.0000 250,000 248,990
500,000 SACRAMENTO CNTY CA CTFS PARTN 10/1/2027 4.7500 500,531 505,950
400,000 SALEM OR HOSP FAC AUTH 8/15/2027 5.0000 415,561 422,028
1,750,000 SAN BERNARDINO CNTY CA CTFS 8/1/2028 5.0000 1,801,342 1,785,280
200,000 SAN DIEGO CA PUB FACS FING 5/15/2025 5.0000 202,357 200,876
375,000 SAN DIEGO CA SWR REV 5/15/2007 4.8000 375,995 375,338
500,000 SAN FRANCISCO CA CITY & CNTY 5/1/2031 5.1250 518,938 521,770
600,000 SAN JOAQUIN HILLS CA TRNS TOLL 1/15/2030 5.2500 610,462 612,630
250,000 SANTA CLARA CA REDEV TAX ALLOC 6/1/2015 5.0000 252,531 251,493
(Continued)
See accompanying notes to financial statements.
36
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
1,000,000 SAYRE PA HLTH CARE FACS AUTH 12/1/2031 5.8750 $ 1,058,303 1,083,060
1,000,000 SCAGO EDL 12/1/2021 5.0000 1,056,005 1,058,920
1,000,000 SCAGO EDL FACS CORP 12/1/2026 5.0000 1,056,005 1,057,260
500,000 SHELBY CNTY IN JAIL BLDG CORP 7/15/2007 5.3000 503,877 504,425
500,000 SHELBY CNTY TN HLTH EDL & HSG 9/1/2011 4.9000 500,000 501,145
750,000 SHELBY CNTY TN HLTH EDL & HSG 9/1/2016 5.2500 744,363 755,205
150,000 SHELBY CNTY TN HLTH EDL & HSG ( b ) 1/1/2019 5.3500 134,966 60,660
80,000 SHELBY CNTY TN HLTH EDL & HSG ( b ) 1/1/2026 6.6000 0 0
500,000 SHELBY CNTY TN HLTH EDL & HSG 9/1/2026 5.6250 496,155 514,155
130,000 SHELBY CNTY TN HLTH EDL & HSG ( b ) 1/1/2029 6.0000 0 0
625,000 SHELBY CNTY TN HLTH EDL & HSG ( b ) 1/1/2029 5.5500 556,863 248,588
250,000 SKAGIT CNTY WA 12/1/2008 4.6500 251,584 251,038
1,000,000 SKOWHEGAN ME POLLUTN 11/1/2013 5.9000 1,000,000 1,001,750
695,000 SOUTH CAROLINA JOBS ECONOMIC 11/1/2010 4.6500 695,000 696,654
500,000 SOUTH CAROLINA JOBS ECONOMIC 11/1/2030 5.0000 518,330 527,645
1,000,000 SOUTH COAST CONSERVANCY DIST 1/1/2028 5.2500 993,630 1,068,620
250,000 SOUTH DAKOTA ST HEALTH & EDL 11/1/2034 5.2500 259,919 262,728
925,000 SOUTH DAKTA ST HEATH & EDL FAC 7/1/2024 4.0500 925,000 925,000
400,000 SOUTH LA PORT COMMN PORT REV 4/1/2017 5.8500 421,173 408,968
165,000 SOUTH LAKE CNTY HOSP DIST FLA 10/1/2008 4.2500 164,861 165,066
640,000 SOUTH LAKE CNTY HOSP FL 10/1/2013 5.5000 640,034 681,786
250,000 SOUTH MIAMI FL HEALTH FACS AUT 11/15/2028 5.2000 260,444 261,563
300,000 SOUTHERN MN MUN PWR AGY SUPPLY 1/1/2013 4.8400 300,000 298,377
250,000 SOUTHWESTERN IL DEV AUTH REV 8/15/2015 5.3750 259,330 257,845
250,000 SOUTHWESTERN IL DEV AUTH REV 11/1/2026 5.6250 248,132 254,230
1,500,000 SOUTHWESTERN IL DEV AUTH REV 8/15/2029 5.6250 1,541,961 1,546,545
190,000 SOUTHWESTERN ILL DEV AUTH REV 4/1/2010 6.0000 187,552 187,749
260,000 SPARKS NEV REDEV AGY TAX 4/1/2007 4.0000 259,608 259,077
400,000 ST JOSEPH CNTY IND ECONOMIC 5/15/2014 5.7500 410,838 417,868
1,000,000 ST JOSEPH CNTY IND EDL FACS 3/1/2021 5.2500 1,029,082 1,016,820
1,000,000 ST JOSEPH MO INDL DEV AUTH TAX 11/1/2019 5.1000 986,051 1,007,190
500,000 ST JOSEPH MO INDL DEV AUTH TAX 11/1/2023 5.3750 495,855 508,270
800,000 ST LOUIS CNTY MO HSG AUTH ( b ) 11/1/2014 8.5000 800,000 524,688
500,000 ST LOUIS MO INDL DEV AUTH TAX 5/1/2026 5.1250 496,888 501,575
525,000 ST PAUL MN HSG & REDEV HOSP 11/15/2014 5.2500 538,571 547,239
430,000 STERLING HILL CMNTY DEV DIST 11/1/2010 5.5000 428,534 430,937
300,000 STERLING HILL CMNTY DEV DIST 5/1/2011 5.1000 300,000 302,124
500,000 SULLIVAN CNTY TN HEALTH EDL 9/1/2036 5.2500 516,995 525,910
135,000 SUMMIT ACADEMY NORTH MI PUB 7/1/2009 6.2500 136,579 142,387
445,000 SUMMIT ACADEMY NORTH MI PUB 11/1/2011 4.7500 445,170 441,467
181,000 SUNDANCE CMNTY FACS DIST AZ 7/1/2008 5.0000 181,000 182,158
475,000 TAMPA FL REV 12/1/2023 5.1250 482,524 478,059
500,000 TANGIPAH0A PARISH LA HOSP SVC 2/1/2015 5.3750 525,538 535,500
160,000 TAOS CNTY NM GROSS RCPTS TAX 10/1/2009 3.5000 158,754 157,680
750,000 TARRANT CNTY TX CLUTURAL ED 11/15/2036 6.0000 773,428 804,713
1,000,000 TARRANT CNTY TX CULTURAL ED 11/15/2026 6.0000 1,038,873 1,079,570
1,000,000 TARRANT CNTY TX HLTH FACS DEV 2/15/2022 5.2500 1,039,811 1,033,400
465,000 TARRANT CNTY TX HSG FIN CORP ( b ) 6/1/2031 10.5000 465,000 19,065
250,000 TEXAS MUN GAS ACQUISITION 12/15/2026 5.0380 250,000 250,000
250,000 TEXAS MUN GAS CORP 12/15/2026 4.2880 250,000 250,000
180,000 TEXAS ST AFFORDABLE HSG CORP 10/1/2008 4.1000 180,000 179,680
500,000 TEXAS ST PUB FIN AUTH CHARTER 9/1/2018 5.5000 500,000 503,170
800,000 TEXAS STUDENT HSG AUTH REV ( b ) 1/1/2033 11.0000 800,000 40,000
250,000 TEXAS WTR DEV BRD REV 7/15/2018 5.1250 259,405 250,158
1,500,000 TISONS LANDING CMNTY DEV DIST 11/1/2011 5.0000 1,499,007 1,509,180
490,000 TOB SECURITIZATION AUTH NORTH 6/1/2023 4.7500 476,383 498,492
460,000 TOBACCO SETTLEMENT FING CORP 6/1/2019 4.3750 423,306 459,374
1,025,000 TOBACCO SETTLEMENT REV MGMT 5/15/2022 6.0000 1,058,949 1,094,403
635,000 TODD CREEK FARMS MET DIST NO 1 12/1/2009 4.7500 630,722 632,155
2,000,000 TRAVIS CNTY TX HEALTH FACS DEV 11/15/2035 4.7500 2,000,000 1,999,980
840,000 TRAVIS CNTY TX HSG FIN CORP ( b ) 6/1/2035 9.2500 840,000 469,963
1,150,000 TUSCALOOSA AL SPL CARE FACS 8/1/2015 5.1250 1,140,145 1,137,994
975,000 TUSCALOOSA AL SPL CARE FACS 8/1/2036 5.8750 976,431 1,001,052
500,000 TWIN VALLEY PUB PWR RV 9/15/2022 5.2500 510,665 503,945
855,000 TYLER TX HEALTH FACS DEV CORP 11/1/2027 5.3750 897,695 895,536
200,000 UNIVERSITY CITY MO INDL DEV AU 12/20/2030 6.0000 211,403 202,186
1,000,000 UNIVERSITY FL RESH FNDTN INC 9/1/2033 5.1250 1,034,931 1,029,210
500,000 VALLEY VIEW HOSP AUTH OK REV 8/15/2014 6.0000 521,793 510,505
1,250,000 VERANO CTR CMNTY DEV DIST FL 11/1/2012 5.0000 1,250,000 1,255,563
(Continued)
See accompanying notes to financial statements.
37
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
Percent
Maturity Coupon Market of
Par/Shares Security date rate Cost value (a) net assets
- ------------- ------------------------------------ ----------- ------------ ------------- ------------ ------------
130,000 VERMONT EDL & HLTH BLDGS AGY 6/15/2007 4.3750 $ 129,982 129,611
300,000 VERRADO CMNTY FACS DIST NO 1 7/15/2013 6.0000 300,000 322,008
2,000,000 VIRGINIA ST HSG DEV AUTH 7/1/2036 5.3750 2,095,975 2,109,400
250,000 VISTANCIA CMNTY FACS DIST AZ 7/15/2008 4.1500 250,000 250,193
350,000 WASHINGTON CNTY IA HOSP REV 7/1/2017 5.2500 349,708 361,368
750,000 WASHINGTON CNTY OK MED AUTH 11/1/2010 5.5000 766,581 758,460
1,000,000 WASHINGTON CNTY PA AUTH REV 12/1/2029 6.1500 1,063,103 1,074,520
1,250,000 WASHINGTON DC CONVENTION CTR 10/1/2021 5.0000 1,285,318 1,287,188
500,000 WASHINGTON ST 7/1/2022 5.0000 516,456 521,895
400,000 WATERS EDGE CMNTY DEV DIST 11/1/2012 5.0000 400,000 403,116
605,000 WATSON RD CMNTY FACS DIST AZ 7/1/2008 4.6000 605,843 605,496
750,000 WEATHERFORD HOSP AUTH OK REV 5/1/2016 6.0000 769,135 788,445
125,000 WELD CNTY CO CTFS PARTN 12/15/2019 5.1250 127,888 130,213
250,000 WEST VLGS IMPT DIST FLA REV 5/1/2037 5.5000 250,000 252,225
1,000,000 WESTERN GENERATION AGY OR 1/1/2021 5.0000 1,011,767 1,009,540
200,000 WESTPARK CMNTY FACS DIST AZ 7/15/2016 4.9000 200,000 201,588
1,000,000 WHITMORE LAKE MI PUB SCH DIST 5/1/2028 5.0000 1,041,463 1,073,220
500,000 WI ST HEALTH EDL FACS 6/1/2028 5.7000 520,736 516,280
255,000 WILL CNTY IL SPL ED JT 1/1/2021 5.5000 266,249 275,770
500,000 WINKLER COUNTY TX 2/15/2031 5.2500 516,976 533,770
460,000 WISCONSIN HEALTH & EDL FACS 8/15/2016 4.6000 458,562 465,083
1,000,000 WISCONSIN HEALTH & EDL FACS 12/1/2034 4.7500 1,000,000 1,001,300
250,000 WISCONSIN ST HEALTH & EDL 11/15/2032 6.0000 269,363 272,505
90,000 WISCONSIN ST HEALTH & EDL FACS 9/1/2007 3.7500 90,000 89,943
250,000 WISCONSIN ST HEALTH & EDL FACS 10/1/2013 4.5000 248,554 253,255
250,000 WISCONSIN ST HEALTH & EDL FACS 3/1/2015 4.6500 250,000 252,390
400,000 WISCONSIN ST HEALTH & EDL FACS 9/1/2015 5.0000 400,000 403,352
450,000 WISCONSIN ST HEALTH & EDL FACS 7/1/2017 6.0000 464,149 480,461
500,000 WISCONSIN ST HEALTH & EDL FACS 12/15/2020 5.5000 531,177 517,465
350,000 WISCONSIN ST HEALTH & EDL FACS 7/1/2021 6.0000 360,346 372,883
485,000 WISCONSIN ST HEALTH & EDL FACS 11/15/2023 6.0000 519,653 531,851
250,000 WISCONSIN ST HEALTH & EDL FACS 7/1/2026 5.0000 259,628 260,268
250,000 WISCONSIN ST HEALTH & EDL FACS 2/15/2034 5.3750 255,847 265,138
1,150,000 WOODHILL PUB FAC CORP TEX 12/1/2015 7.2500 1,135,082 1,144,319
250,000 YORK CNTY PA INDL DEV AUTH REV 10/1/2019 6.4500 250,014 250,560
400,000 ZEPHYR RIDGE CMNTY DEV DIST FL 5/1/2013 5.2500 400,947 406,976
------------- ------------
271,586,584 271,965,473 95.85%
------------- ------------
Cash equivalents:
6,284,399 SSGA TAX FREE MONEY MARKET FUND, CURRENT RATE 3.31% 6,284,399 6,284,399 2.22%
------------- ------------ -----------
Grand total (d) $ 282,323,738 282,742,316 99.65%
============= ============ ===========
Notes to investments in securities:
(a) Securities are valued in accordance with procedures described in
note 2 to the financial statements.
(b) Currently non-income producing assets. For long-term debt
securities, item identified is in default as to payment of interest
and/or principal.
(c) For zero coupon bonds, the interest rate disclosed represents the
annualized effective yield on the date of acquisition.
(d) At December 31, 2006, the cost for federal income tax purposes was
$282,323,738. The aggregate gross unrealized appreciation and
depreciation of investments in securities based on this cost were as
follows:
Gross unrealized appreciation $ 3,752,353
Gross unrealized depreciation (3,333,775)
-----------
Net unrealized appreciation $ 418,578
===========
(e) This security is being fair-valued according to procedures adopted
by the Board of Trustees.
Distribution of investments representing geographic diversification, as a
percentage of total investments at value, is as follows:
Geographical diversification Percent
---------------------------------- -----------
Texas 12.41%
Illinois 11.30
Florida 9.79
California 6.18
Pennsylvania 4.39
Wisconsin 3.06
Colorado 3.05
Alabama 2.81
Tennessee 2.79
Indiana 2.68
South Carolina 2.51
Other 39.03
------------
100.00%
===========
(Continued)
See accompanying notes to financial statements.
38
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
December 31, 2006
- --------------------------------------------------------------------------------
Clearwater Tax-Exempt Bond Fund Portfolio Diversification
(as a percentage of net assets)
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED METERIAL.]
Cash Equivalents and other assets/liabilities 2%
Insured bonds 19%
General Obligation Bonds 2%
Multi-Family Housing Bonds 18%
Education Bonds 7%
Insured General Obligation Bonds 2%
Hospital Bonds 18%
Public Utility Bonds 1%
Industrial Revenue Bonds 6%
Public Housing Bonds 1%
Escrow Bonds 4%
Other 20%
- --------------------------------------------------------------------------------
See accompanying notes to financial statements.
39
CLEARWATER INVESTMENT TRUST
FORM N-CSR
Item 2 Code of Ethics (annual report only)
a) As of the end of the period covered by this report, the Trustees of
the Clearwater Investment Trust have adopted a code of ethics that
applies to the Trust's principal executive officer, principal
financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these
individuals are employed by the trust or a third party.
b) For purposes of this Item, the term "code of ethics" means written
standards that are reasonably designed to deter wrongdoing and to
promote:
1. Honest and ethical conduct, including the ethical
handling of actual or apparent conflicts of interest
between personal and professional relationships;
2. Full, fair, accurate, timely, and understandable
disclosure in reports and documents that a registrant
files with, or submits to, the Commission and in other
public communications made by the registrant;
3. Compliance with applicable governmental laws, rules, and
regulations;
4. The prompt internal reporting of violations of the code
to an appropriate person or persons identified in the
code' and
5. Accountability for adherence to the code.
c) During the period covered by this report no amendment has been made
to the Trust's code of ethics referred to in (a) above.
d) During the period covered by this report, the Trustees have granted
no waivers, including implicit waivers, from any provisions of the
Trust's code of ethics referred to in (a) above.
e) Not applicable.
f) See Item 12(a).
Item 3 Audit Committee Financial Expert (annual report only)
The Board of Trustees of the Clearwater Investment Trust consists of five
members, four of whom are Independent Trustees as defined by the Investment
Company Act of 1940. The Board of Trustees does not include an "audit committee
financial expert" as defined by Section 407 of the Sarbanes-Oxley Act of 2002
and the rules promulgated thereunder. Given the restrictive nature of the
definition of an "audit committee financial expert", the Trustees have
determined that the Trust's investor constituency is highly unlikely to include
anyone meeting that definition. Furthermore, the Trustees have determined that
given the nature of investment company financial statements in general and the
investment policies of the Trust's fund offerings in particular that the
independent trustees possess the necessary skills and experience to perform the
functions of the audit committee.
Item 4 Principal Accountant Fees and Services (annual report only) (accrual
basis)
a) Audit Fees 2006 = $75,125 2005 = $69,125
b) Audit-Related Fees 2006 = None 2005 = None
c) Tax Fees 2006 = None 2005 = None
d) All Other Fees 2006 = None 2005 = None
e)
1. The Independent Trustees have not adopted pre-approval
policies and procedures regarding the provision of audit or
non-audit services to the trust, as described in paragraph
(c)(7) of Rule 2-01 of Regulation S-X, as they require that
all such proposed services be approved by them in advance.
2. No services were pre-approved by the Independent Trustees
pursuant to paragraph (c)(7) of Rule 2-01 of Regulation S-X.
f) Not applicable.
g) Non-Audit Related Fees Provided to the Trust or to the Trust's
Investment
Adviser 2006 = $4,000 2005 = $3,800
h) The Trust's Principal Accountant provides the examination required
by Rule 206(4)-2(a)(3)(ii) regarding the custody and safekeeping of
client funds and securities. These fees were pre-approved by the
Trust's audit committee.
Item 5 Audit Committee of Listed Registrants (annual report only)
Not applicable.
Item 6 Schedule of Investments (annual and semi-annual report)
See Item 1.
Item 7 Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies
Not applicable (the Trust is an open-end Management Investment Company)
Item 8 Portfolio Managers of Closed-End Management Investment Companies
Not applicable (the Trust is an open-end Management Investment Company)
Item 9 Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable (the Trust is an open-end Management Investment Company)
Item 10 Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which
shareholders may recommend nominees to the Board of Trustees.
Item 11 Controls and Procedures
a) The Trust's principal executive officer and principal financial
officer have concluded that the Trust's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment company
Act of 1940, as amended) are effective based on their evaluation of
these controls and procedures as of a date within 90 days of the
filing date of this document.
b) There have been no significant changes in the Trust's internal
controls over financial reporting since the filing of the last
report that have materially affected, or are reasonably likely to
materially affect, the Trust's internal control over financial
reporting.
Item 12 Exhibits
a) The Clearwater Investment Trust Code of Ethics for the President,
Treasurer and Principal Accounting Officer is attached.
b) The certifications for each principal executive and principal
financial officer of the Trust as required by Rule 30a-2(a) of the
Investment Company Act of 1940 are attached.
c) No written solicitations to purchase securities were sent or
delivered during the period covered by this report by or on behalf
of the Trust.
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: Clearwater Investment Trust
---------------------------------
/s/George H. Weyerhaeuser, Jr.
---------------------------------
George H. Weyerhaeuser, Jr.
Chairman
Date: July 27, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1040, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
/s/George H. Weyerhaeuser, Jr.
---------------------------------
George H. Weyerhaeuser, Jr.
Chairman
Date: July 27, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1040, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
/s/George H. Weyerhaeuser, Jr.
---------------------------------
George H. Weyerhaeuser, Jr.
Treasurer
Date: July 27, 2007