N-CSRS 1 clearwater181851_n-csrs.htm N-CSRS

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number   811-05038

 

  Clearwater Investment Trust  
  (Exact name of registrant as specified in charter)  

 

  2000 Wells Fargo Place, 30 East 7th Street, Saint Paul, Minnesota 55101-4930  
  (Address of principal executive offices) (Zip code)  

 

Stephen G. Simon

Fiduciary Counselling, Inc.

2000 Wells Fargo Place, 30 E. 7th Street

Saint Paul, Minnesota 55101-4930

 

Copy to:

 

John V. O’Hanlon, Esq.

Dechert LLP

One International Place, 40th Floor

100 Oliver Street

  Boston, Massachusetts 02110  
  (Name and address of agent for service)  

 

  Registrant’s telephone number, including area code:   651-228-0935  
         
  Date of fiscal year end:   December 31  
         
  Date of reporting period:   June 30, 2018  

 

 

 

Item 1.   Reports to Stockholders

 

 

CLEARWATER INVESTMENT TRUST 

Clearwater Core Equity Fund  

Clearwater Small Companies Fund

Clearwater Tax-Exempt Bond Fund

Clearwater International Fund

 

Semi-annual Report 

for the period ended

June 30, 2018

 

 

 

 

Management Discussion of Clearwater Funds’ Performance

 

Clearwater Core Equity Fund

 

The Clearwater Core Equity Fund seeks long-term growth of capital. Current income, to the extent income is produced by the stocks held by the Fund, is a secondary objective. Under normal market conditions, the Clearwater Core Equity Fund pursues its investment objective by investing at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of U.S. companies.The Clearwater Core Equity Fund’s assets are managed in a “multi-manager, multi-style” approach. As of June 30, 2018, the Core Equity Fund had three subadvisers that provide day-to-day management of Fund assets. Parametric Portfolio Associates LLC (“Parametric”), with approximately 60% of the Fund’s assets, manages its portion of the Fund’s assets to track the Russell 1000® Index as closely as possible without requiring the Fund to realize taxable gains. The remaining 40% of the Fund’s assets are divided between AQR Capital Management, LLC (“AQR”) and O’Shaughnessy Asset Management, LLC (“OSAM”), who both utilize an active management style.

 

2018 Year-To-Date Market Overview: 

Domestic large capitalization equities, as defined by the Russell 1000® Index, generated positive low single digit returns in the first half of 2018, despite headwinds from tariff negotiations, tightening U.S. monetary policy, and the return of market volatility. Corporate tax cuts and record earnings and profit margins for U.S. companies helped offset these headwinds during this time period.

 

2018 Year-To-Date Performance and 2018 Outlook: 

The Clearwater Core Equity Fund gained 2.5%, net of fees, in the first half of 2018, compared to an increase of 2.9% for the Russell 1000® Index, the Fund’s benchmark. Parametric, the subadviser that follows a tax-managed passive strategy, underperformed the Fund’s benchmark. AQR, one of the two active subadvisers, underperformed the Fund’s benchmark as well. The other active subadviser, OSAM, outperformed the Fund’s benchmark, helping to offset some of the underperformance from Parametric and AQR. OSAM’s outperformance was driven by its preference for high quality and high momentum stocks, which performed well in the first half of 2018.

 

Each of the three subadvisers comment on the performance of their specific portions of the Fund and provide a market outlook for the next six months in the paragraphs below. For comparison of the subadvisers’ capabilities, performance is shown gross of fees. The Fund pays a single advisory fee to Clearwater Management Co., Inc., which in turn pays the subadvisers out of its advisory fee.

 

Although the overall performance of the Clearwater Core Equity Fund is measured against its benchmark, as stated above, each of the underlying subadvisers may manage their portion of the Fund against a different benchmark that aligns more closely with their strategy. In each section below, the subadvisers discuss their view of the market over the last six months, the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed and their outlook for the next six months.

 

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AQR Commentary

 

General Market Overview

We trade a set of strategies based on the value, momentum, and quality signals of individual securities that seek a positive expected return versus the appropriate benchmark, in a variety of economic environments. Because our investment approach employs a systematic set of rules based on economic intuition and testing to seek to ensure they are robust across time, macro environments, and geographies, we typically do not offer general market overviews.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater Core Equity Fund managed by AQR (the “Portfolio”) underperformed the Russell 1000® Index (the “benchmark”) in the first six months of 2018, returning 1.8%, gross of fees, while the benchmark returned 2.9%. Both stock selection within sectors and sector selection detracted from performance. The strategy performed worst in the Consumer Discretionary sector, where both stock selection and sector selection underper-formed for the period.

 

2018 Remaining Year Outlook: 

In terms of sector positioning we are currently overweight Information Technology while being underweight Healthcare. With respect to long-term attractiveness, we believe that valuations are currently less attractive in the U.S.

 

OSAM Commentary

 

General Market Overview: 

A few key themes have emerged over the first six months of 2018. Growth outperformed value (the Russell 1000® Growth Index outperformed the Russell 1000® Value Index by 8.9% in the first six months of 2018) and small capitalization stocks outperformed large capitalization stocks (the Russell 2000® Index outperformed the Russell 1000® Index by 4.8%). Volatility in U.S. markets was extraordinarily low in 2017; in fact, the standard deviation of S&P 500 Index returns was the 2nd lowest in the last 90 years. 2018 has been marked by a return to more normal levels of volatility. Quality factors were rewarded in the first half of the year. Most notably, stocks with strong earnings growth significantly outperformed an equal-weighted group of large cap stocks over the period.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater Core Equity Fund managed by OSAM (the “Portfolio”) outperformed the Russell 1000® Index (the “benchmark”) in the first six months of 2018, returning 4.3%, gross of fees, while the benchmark returned 2.9%. For the period, momentum was the highest factor contributor to the Portfolio’s return relative to the benchmark, followed by quality. Exposure to the value factor was the largest detractor from the Portfolio’s return relative to the benchmark. Shareholder yield, which is a combination of dividend yield and share repurchase yield, underperformed slightly. Industry and stock selection exposures were also additive to the Portfolio’s return relative to the benchmark.

 

2018 Remaining Year Outlook: 

Based on our key factor themes, we believe the Portfolio is well positioned versus its benchmark and relative to the overall market. We believe that the companies included in the Portfolio have higher levels of return on capital, lower reliance on external financing, and trade at deep discounts across several valuation factors. They are also returning capital to shareholders at nearly two times the rate of the benchmark (shareholder yield of 4.6% versus 2.6% for the benchmark). We believe that these combined advantages can only be delivered by a portfolio which is distinct from

 

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the benchmark. We also believe that our Portfolio continues to represent a unique take on the U.S. equity market. Looking ahead, we expect to continue to focus on our niche of the market: quality companies, often trading at out-of-favor prices, which are aggressively returning capital to equity shareholders through dividends and share repurchases.

 

Parametric Commentary

 

General Market Overview: 

In the first half of 2018, the market exhibited more volatility compared to 2017. The North Korean nuclear crisis weighed on the market leading up to the summit meeting between President Trump and North Korea’s leader, Kim Jong-Un. Markets have reacted to the threat of tariffs on products from China, Mexico, Canada, and the European Union, with rising concerns of an all-out global trade war. Relatively, the U.S. market performed better than international markets in part, due to the tax reform legislation passed in December 2017, which resulted in a lower corporate tax rate and strong dividend growth.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater Core Equity Fund managed by Parametric (the “Portfolio”) underperformed the Russell 1000® Index (the “benchmark”) in the first six months of 2018, returning 2.5%, gross of fees, while the benchmark returned 2.9%. Most of the underperformance was attributable to small over and underweights to individual stocks within the Industrials and Consumer Discretionary sectors. An underweight to Netflix detracted from performance as the stock returned 103.9% for the six months of 2018. Underweights to several stocks in the Information Technology sector (including Microsoft and Apple) also contributed to the underperformance.

 

2018 Remaining Year Outlook: 

With the threat of a global trade war, we believe that the market uncertainty for the remainder of 2018 has increased. We also believe that the positive impacts from the “Tax Cuts and Jobs Act” have been taken into account by the market. On the other hand, we have not yet observed any negative impact due to the Federal Reserve’s interest rate increases.

 

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Clearwater Small Companies Fund

 

The Clearwater Small Companies Fund seeks long-term growth of capital. Current income is a secondary objective. Under normal market conditions, the Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of small companies. The Fund defines “small companies” as issuers with market capitalizations no greater than that of the largest market capitalization company included in the Russell 2000® Index at the time of purchase. Equity securities consist primarily of exchange-traded common and preferred stocks and convertible securities. The Fund uses a “multi-style, multi-manager” approach with three subadvisers who employ distinct investment styles: Cooke & Bieler, L.P. (“Cooke & Bieler”), Kennedy Capital Management Inc. (“KCM”), and Pzena Investment Management, LLC (“Pzena”). At the period ending June 30, 2018, KCM managed 60% of the Fund while Cooke & Bieler and Pzena managed 20% each.

 

2018 Year-To-Date Market Overview: 

Domestic small capitalization equities, as defined by the Russell 2000® Index, generated positive upper single digit returns in the first half of 2018, despite headwinds from tariff negotiations, tightening U.S. monetary policy, and the return of market volatility. Corporate tax cuts and record earnings and profit margins for U.S. companies helped offset these headwinds during this time period.

 

2018 Year-To-Date Performance and 2018 Outlook: 

The Clearwater Small Companies Fund gained 4.4%, net of fees, in the first half of 2018, compared to an increase of 7.7% for the Russell 2000® Index, the Fund’s benchmark. KCM and Cooke & Bieler underperformed the Fund’s benchmark, while Pzena was able to beat the benchmark rather meaningfully.

 

Each of the three subadvisers comment on the performance of their specific portions of the Fund and provide a market outlook for the next six months in the paragraphs below. For comparison of the subadvisers’ capabilities, performance is shown gross of fees. The Fund pays a single advisory fee to Clearwater Management Co., Inc., which in turn pays the subadvisers out of its advisory fee.

 

Although the overall performance of the Clearwater Small Companies Fund is measured against its benchmark, as stated above, each of the underlying subadvisers may manage their portion of the Fund against a different benchmark that aligns more closely with their strategy. In each section below, the subadvisers discuss their view of the market over the last six months, the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed and their outlook for the next six months.

 

Cooke & Bieler Commentary

 

General Market Overview: 

U.S. equity market momentum continued into early 2018, followed by a late January swoon that put first quarter value index returns down across the market capitalization spectrum. Second quarter market conditions improved broadly, with particular strength in stocks of small capitalization companies. The Russell 2000® Value Index gained 5.4% over the first six months of 2018. Volatility increased meaningfully in the first several months of the year and remained elevated through the end of June, with wide swings in stock prices that in our view were not justified by company fundamentals and seemed driven more by sentiment.

 

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2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater Small Companies Fund managed by Cooke & Bieler (the “Portfolio”) underper-formed the Russell 2000® Value Index (the “benchmark”) in the first six months of 2018, returning 3.7%, gross of fees, while the benchmark returned 5.4%. The cumulative impact of sector allocation decisions was about neutral. The positive impact of the Portfolio’s overweight in Healthcare and underweight in Utilities was offset by the negative effect of its overweight in Industrials and underweight in Energy. Here, oil prices rose 23% in the period, breathing life into many small cap Energy companies whose narrow focus, combined with levered balance sheets, make them challenging to own given our focus on quality. With the exception of strong stock selection within the Portfolio’s Financials holdings, stock selection was generally weak elsewhere in the Portfolio - typically an indication of style-related headwinds. Poor stock selection in Healthcare was somewhat unsurprising as it was the benchmark’s best-performing sector, due primarily to the outperformance of its biotech constituents. Significant individual contributors to the Portfolio’s return included FirstCash, PGT Innovations, NOW Inc., TCF Financial and Malibu Boats. Significant detractors included Quanex Building Products, Gildan Activewear, Winnebago Industries, World Fuel Services and Air Lease.

 

2018 Remaining Year Outlook: 

Entering the second half of 2018, we believe the Portfolio is now more attractive on a forward price-to-earnings (P/E) basis than it was at the start of the year. More importantly, the market has continued to move toward a place that we believe is more conducive to active management. The strong returns posted by small capitalization stocks during the first half of 2018 disguised considerable underlying volatility - a far cry from the long, quiet period witnessed over the past several years and one that further widened the gap between fundamental progress and stock price performance. This volatility and what we believe to be the resulting mispricings should provide opportunities for skilled stock pickers, in our opinion.

 

KCM Commentary

 

General Market Overview: 

The 7.7% appreciation of the Russell 2000® Index during the first half of 2018 was achieved in spite of ongoing political turmoil in the U.S., increasingly aggressive protectionist trade rhetoric, and the implementation of new tariffs on a broad range of goods. Even with the background of these uncertainties, our conversations with management teams this quarter continued to exhibit the optimism that was present entering the year (talk of “synchronized global growth” was again common this quarter), and the overall demand backdrop remained healthy for most industries. In addition, we believe most U.S. companies are benefitting from the reduction in corporate tax rates. While overall U.S. small capitalization equity performance has been robust, a somewhat rare phenomenon has occurred thus far in 2018: unprofitable companies in the Russell 2000® Index are significantly outperforming their profitable peers. This has been a challenging environment for active managers.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater Small Companies Fund managed by KCM (the “Portfolio”) underperformed the Russell 2000® Index (the “benchmark”) in the first six months of 2018, returning 3.5%, gross of fees, while the benchmark returned 7.7%. Both stock selection and sector allocation were negative contributors during the period. Sector-wise, our underweight in Healthcare detracted from performance while our underweight to Utilities aided performance.

 

2018 Remaining Year Outlook: 

While the economy appears to be on solid footing, and while we believe that management teams are generally optimistic, we are seeing some early signs of skepticism and concern being reflected in equity valuations. For example, many companies with more cyclical exposure (either perceived or in reality) underperformed the broader market during the first half of 2018. While we remain cognizant of the power of the broader economy to overwhelm

 

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some business fundamentals, we see a number of situations where we feel company-specific drivers are underappreciated by the equity markets, independent of cyclical characteristics. We believe that history indicates that the outperformance of loss-making firms relative to their profitable peers is unsustainable, and we remain steadfast in our stock selection and portfolio construction process. We believe that our focus on identifying companies with superior returns on capital, reinvestment opportunities, reasonable valuations, and principled management teams has served us well over the long term.

 

Pzena Commentary

 

General Market Overview: 

Concerns around inflation, interest rates, and global trade all disrupted economic optimism leading into the year. This was balanced against the benefits of domestic tax cuts, which led to market volatility throughout the first half of 2018. Against this backdrop, small capitalization stocks outperformed their large capitalization peers. More significantly, growth outperformed value across all market capitalizations, a continuing trend from 2017. We believe that small capitalization outperformance of large capitalization in the second quarter was driven by the threat of foreign tariffs and benefits of domestic tax cuts, which drove investors towards smaller companies that tend to be more domestically focused. Additionally, merger and acquisition activities continued to heat up, with many of our positions benefiting from acquisition or takeover speculation.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater Small Companies Fund managed by Pzena (the “Portfolio”) outperformed the Russell 2000® Value Index (the “benchmark”) in the first six months of 2018, returning 10.1%, gross of fees, while the benchmark returned 5.4%. Outperformance was driven by the Producer Durables, Financial Services, and Healthcare sectors. One of the top individual contributors was Puerto Rican health insurer Triple-S, which outperformed after announcing improved earnings trends, as increased reimbursement rates and a stabilized operating environment helped profitability. Essendant (wholesaler of office essentials) was strong both after announcing a transaction to combine with competitor S.P. Richards, which should drive substantial synergies, as well as news that customer Staples tried to acquire the company. We believe the merger could generate substantial value, and we continue to hold our position. Chart Industries (maker of liquefied gas solutions) was strong due to organic growth and margin expansion across all three of its segments, and we believe that its strong position should allow it to benefit from eventual liquefied natural gas orders.

 

The detracting sectors were Consumer Discretionary and Materials. Jeld-Wen (door and window manufacturer) was the largest detractor as the company’s continued manufacturing problems led to an organic sales decline in North America. This drove the Board of Directors to replace the CEO with the Chairman and former CEO. We view the problems as temporary and continue to believe in the value proposition, as well as the below trend nature of the business. The corresponding market decline created an opportunity for us to increase our position. Also detracting were ATM manufacturer Diebold Nixdorf and specialty technology distributor Anixter International. Diebold traded down as results were below expectations and the company suspended its dividend to instead focus on paying down debt. The company’s new CEO is cutting costs, but demand for ATMs remains depressed. Anixter detracted after announcing disappointing margins in its largest segment, reflecting lower vendor rebates and rapid inflation in transportation costs. The company is rapidly working to adjust pricing.

 

2018 Remaining Year Outlook: 

We continue to see opportunities in a broader number of industries due to market movements in recent months, but our Portfolio remains heavily invested in what we believe to be attractively valued, economically sensitive sectors, including Producer Durables as well as certain areas of Technology. We are still not yet finding opportunities in what we typically perceive to be “safe” sectors, such as Real Estate Investment Trusts (REITs) and Utilities.

 

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Clearwater Tax-Exempt Bond Fund

 

The Clearwater Tax-Exempt Bond Fund seeks high current income that is exempt from U.S. federal income tax, consistent with preservation of capital. Under normal market conditions, the Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in tax-exempt bonds, which are debt obligations issued by or for the U.S. states, territories, and possessions and the District of Columbia. The interest on these securities is generally exempt from both U.S. regular federal income tax and U.S. federal alternative minimum tax. However, the Fund may invest up to 20% of its assets in securities that generate interest income subject to federal alternative minimum tax for individuals. The Fund invests in both revenue bonds, which are backed by and payable only from the revenues derived from a specific facility or specific revenue source, and in general obligation bonds, which are secured by the full faith, credit and taxation power of the issuing municipality. The Fund’s subadviser, Sit Fixed Income Advisors II, LLC (“Sit”), provides day-to-day management for the Fund. It should be noted that the Fund is not a money market fund and is not intended to be a money market fund substitute. Under normal market conditions, the Fund’s investments may be more susceptible than a money market fund to interest rate risk and credit risks relevant to the Fund’s investments.

 

Sit has provided the commentary below regarding the Clearwater Tax-Exempt Bond Fund. The Fund pays a single advisory fee to Clearwater Management Co., Inc., which in turn pays the subadviser out of its advisory fee.

 

Sit Commentary

 

General Market Overview: 

Tax-exempt municipal bonds generally outperformed taxable bonds in the first half of 2018, supported by a dramatic drop in the supply of tax-exempt municipal bonds and modestly positive flows into tax-exempt municipal bond funds. Despite the flattening of the U.S. Treasury yield curve, the tax-exempt yield curve bucked the trend and steepened. Credit fundamentals remain generally sound as credit spreads were mostly unchanged during the first half of 2018. State government general fund revenue collections are on the upswing and state budgets are largely healthy, despite a few notable exceptions such as Illinois, New Jersey and Connecticut. Prices of Puerto Rico-related debt appreciated markedly in the first half of 2018 as the Commonwealth navigated the recovery from last Fall’s hurricanes and the fiscal control board provided guidance to the market by certifying a six-year fiscal turnaround plan. We believe that the situation could still lead to volatility in the tax-exempt municipal bond market, however, as the debt restructuring process proceeds through U.S. District Court. The U.S. Federal Reserve hiked short-term interest rates by 25 basis points in both March and June and has signaled it intends to continue raising short-term interest rates in 2018. Going into 2018 there was some uncertainty as to how tax legislation passed in December 2017 would impact the demand for tax-exempt municipal bonds because of the reduction of the maximum corporate tax rate and the capping of state and local tax deductions. We believe that early indications suggest that corporate demand has softened, but demand from individuals remains solid.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The Clearwater Tax-Exempt Bond Fund returned 1.1%, net of fees, for the six months ended June 30, 2018. The Fund’s benchmark, the Barclays Municipal Bond 5 Year (4-6) Index (the “benchmark”), returned 0.3% over the same period. The Fund adjusted its interest rate hedge by decreasing the size of its short position in U.S. Treasury futures in order to modestly increase the Fund’s average life duration, a measure of the Fund’s sensitivity to changes in interest rates, from 3.5 years at the beginning of the year to 4.0 years at the end of the period. For comparison, the Fund’s benchmark, had duration of 4.0 years at December 31, 2017, and decreased slightly to 3.9 years at the end of the period. The Fund’s yield rose during the period, more than that of the benchmark. The Fund’s overweight in housing bonds helped performance as Housing was the best performing sector in the index during the period. Credit quality played a large role as well, with lower investment grade bonds and non-rated bonds outperforming bonds with higher credit quality as investors sought higher yields.

 

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2018 Remaining Year Outlook: 

We expect growth to accelerate after a slow first quarter. GDP grew at a 2.0% annual rate in the first quarter of 2018 on continued momentum in business investment, though gains were offset by a slowdown in consumer spending and residential investment. The second quarter growth numbers are projected to be much stronger, fueled by strong manufacturing data and U.S. housing starts that rebounded in May to the highest levels since 2007. In turn, we believe we will see robust growth throughout the remainder of 2018, buoyed by a low unemployment rate, steady job and wage growth and low inflation. However we believe that, tariffs and growing trade conflicts could have a potentially dampening effect on the U.S. economy in the second half of 2018. We expect that interest rates, while remaining low in absolute terms, will likely rise, especially on the short end, as the U.S. Federal Reserve has signaled it intends to continue raising short-term interest rates in addition to unwinding its balance sheet at an accelerated pace. We expect the Treasury yield curve will continue to flatten and may invert in the second half of 2018, with yields rising more on the short and intermediate portions of the curve. We expect the tax-exempt municipal curve to reverse course and flatten as well in the second half of 2018, as normally seen during tightening interest rate cycles. Supply of tax-exempt municipal bonds should remain relatively light, providing strong technical support for the market, although partially offset by reduced demand from banks in response to recently passed tax legislation. All things considered, we expect tax-exempt municipal bonds to continue to outperform Treasuries in the second half of 2018. We expect lower investment grade bonds to continue their strong relative performance in the second half of 2018, as investor focus remains on yield. Puerto Rico-related concerns, as well as those from Illinois, New Jersey and Connecticut, will continue to weigh on the market, however, and could produce some volatility. Furthermore, potential problems with budgets and funding retirement pension and healthcare obligations still persist in other places and remain the subject of many of the negative media reports about the municipal bond market. We believe that the Fund’s duration and its use of revenue and non-rated bonds have positioned it opportunistically for the economic and interest rate environment that we expect in the second half of 2018. Investment of new cash flows will be focused on maturities in the 5-30 year range.

 

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Clearwater International Fund

 

The Clearwater International Fund seeks long-term growth of capital. The Fund generally invests at least 80% of the value of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of companies organized or located outside the United States and doing a substantial amount of business outside the United States. The Fund diversifies its investments among many different countries throughout the world and may invest in companies of any size. The Fund does not intend to invest more than 20% of its net assets in the equity securities of developing or emerging market issuers. The Fund uses a “multi-style, multi-manager” approach. The Fund’s adviser allocates portions of the Fund’s assets among subadvisers who employ distinct investment styles.The Fund currently has four subadvisers that provide day-to-day management of Fund assets. Parametric Portfolio Associates LLC (“Parametric”) manages its portion of the portfolio (approximately 40%) to track the MSCI World Ex U.S.A. Index - Net Dividends as closely as possible without requiring the Fund to realize taxable gains. The Fund’s other three subadvisers, Artisan Partners Limited Partnership (“Artisan”), Templeton Investment Counsel, LLC (“Templeton”) and WCM Investment Management (“WCM”), utilize an active management style and manage the remaining 60% of the Fund.

 

2018 Year-To-Date Market Overview: 

As defined by the Fund’s benchmark, the MSCI World Ex U.S.A. Index - Net Dividends (the “benchmark”), large capitalization, international developed market equities generated negative low single digit returns in the first half of 2018. Improving corporate earnings were offset by less accommodative monetary policy in Europe and weaker international currencies, which negatively impacted returns for U.S.-based investors. These currency losses decrease the returns earned by shareholders because the Clearwater International Fund reports its results in U.S. dollars, after currency adjustments have taken place.

 

2018 Year-To-Date Performance and 2018 Outlook: 

The Clearwater International Fund declined by 2.0%, net of fees, during the first six months of 2018, compared to a decrease of 2.8% for the benchmark. Parametric, the subadviser that follows a tax-managed passive strategy, outperformed the benchmark. Two of the Fund’s active subadvisers, Artisan and Templeton, underperformed the benchmark during the first six months of 2018. WCM, the other active subadviser, significantly outperformed the benchmark.

 

Each of the four subadvisers comment on the performance of their specific portions of the Fund and provide a market outlook for the next six months in the paragraphs below. For comparison of the subadvisers’ capabilities, performance is shown gross of fees. The Fund pays a single advisory fee to Clearwater Management Co., Inc., which in turn pays the subadvisers out of its advisory fee.

 

Although the overall performance of the Clearwater International Fund is measured against its benchmark, as stated above, each of the underlying subadvisers may manage their portion of the Fund against a different benchmark that aligns more closely with their strategy. In each section below, the subadvisers discuss their view of the market over the last six months, the performance of their portfolios with respect to the benchmark against which their particular portfolio is managed and their outlook for the next six months.

 

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Artisan Partners Commentary

 

General Market Overview: 

Measured in U.S. dollar terms, the MSCI EAFE Index (the “benchmark”) declined by 2.8% during the first six months of 2018. Overall, a stronger U.S. dollar modestly weighed on returns for U.S.-based investors. In local-currency-terms, the benchmark returned (1.0)% during the period. Emerging markets trailed developed equity markets on concerns that tighter monetary policy expectations would sap capital from that region. U.S. markets fared better than European markets, aided in part by the impact of corporate tax cuts and improved sentiment in the economy. In general, volatility picked up during the period on heightened protectionist rhetoric.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater International Fund managed by Artisan (the “Portfolio”) underperformed the benchmark in the first six months of 2018, returning (5.1)%, gross of fees, while the benchmark returned (2.8)%. Performance of the following stocks had a positive impact on the Portfolio during the period: Tesco, Imperial Oil, Ericsson, Medtronic and GlaxoSmithKline. Notable detractors during the period included: ING, Samsung Electronics, ABB, UBS, and Telefonica Brasil.

 

2018 Remaining Year Outlook: 

We believe the increased volatility in 2018 has created opportunities to begin deploying cash on hand and cash generated from the sale of what we believe to be fairly valued securities, into undervalued securities.

 

Parametric Commentary

 

General Market Overview: 

In the first half of 2018, the market exhibited more volatility compared to 2017. The North Korean nuclear crisis weighed on the market leading up to the summit meeting between President Trump and North Korea’s leader, Kim Jong-Un. Markets have reacted to the threat of tariffs on products from China, Mexico, Canada, and the European Union, with rising concerns of an all-out global trade war. Relatively, the U.S. market performed better than international markets in part, due to the tax reform legislation passed in December 2017, which resulted in a lower corporate tax rate and strong dividend growth. The international markets have been negatively impacted by the growing concern of a trade war, and four of the past six months during this period had negative returns.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater International Fund managed by Parametric (the “Portfolio”) outperformed the MSCI World Ex U.S.A. Index - Net Dividends (the “benchmark”) in the first six months of 2018, returning (2.4)%, gross of fees, while the benchmark returned (2.8)%. Nearly all of the outperformance was attributable to small over and underweights to individual stocks within the Financials and Telecommunication services sectors. In particular, an underweight to Deutsche Bank contributed to performance. Stock selection in Spain and Canada was also a positive contributor.

 

2018 Remaining Year Outlook: 

With the threat of a global trade war, we believe the market uncertainty for the remainder of 2018 has increased. We also believe that progress towards, or lack of, a nuclear deal with North Korea, is likely to impact the markets. The Federal Reserve’s tightening of monetary policy could have an impact on the global market.

 

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Templeton Commentary

 

General Market Overview: 

International small capitalization stocks outperformed their larger capitalization counterparts during the first six months of 2018, but still closed the first half of 2018 with a loss in U.S. dollar terms. Intensifying trade tensions and their potential to slow global economic growth weighed on sentiment. Concerns also arose that the synchronized global growth story might be coming to an end, as the U.S. economy looked resilient, while pockets of Europe, Asia and Latin America faced various challenges. Developed market stocks, as measured by MSCI indexes, performed better than their emerging and frontier market peers, which generally suffered fairly steep declines.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater International Fund managed by Templeton (the “Portfolio”) underperformed the MSCI All-Country World Ex U.S.A. Small Cap Index - Net Dividends (the “benchmark”) during the first six months of 2018, returning (3.7)%, gross of fees, while the benchmark returned (2.9)%. The construction of the Portfolio is based on the attractiveness of individual stocks. As a result, stock selection—particularly in the Industrials, Information Technology and Financials sectors—made the largest positive impact on the Portfolio’s performance relative to the benchmark. Stock selection in and an overweight to the Consumer Discretionary sector detracted from relative performance, as did stock selection in the Consumer Staples sector and stock selection in and an underweight to the Healthcare sector. Regionally, holdings in Asia contributed significantly to relative performance, while stock selection in Brazil detracted.

 

2018 Remaining Year Outlook: 

Looking ahead, we remain optimistic on the prospects for value and believe that companies whose fundamentals are underappreciated by a market focused on the short-term should be well positioned for outperformance over time. At the close of the second quarter of 2018, the gap between the market’s cheapest and most expensive stocks was the widest it has been in at least 30 years. Put another way, value globally has been this cheap only a tiny fraction of the time in the past three decades. Though it certainly doesn’t feel like it, such signs suggest that now is a great time for opportunistic value investors. And despite our conviction in value’s long-term prospects, we are not sitting idly by waiting for the cycle to turn. We have worked hard to continuously refine and improve our process with recent initiatives, including enhanced quantitative capabilities, improved risk management strategies, and the integration of ESG (environmental, social and governance) analysis into our investment framework. The goal of these efforts is to ensure that our investment process remains true to Templeton’s time-tested fundamental value approach, while also evolving to best address client goals and market conditions.

 

WCM Commentary

 

General Market Overview: 

Volatility has taken center stage for the first half of 2018 and the major non-U.S. equity benchmarks declined for a second straight quarter following a robust 2017. Developed markets (as measured by the MSCI EAFE Index) outperformed emerging markets (as measured by the MSCI Emerging Markets Index) by 3.9% during the first six months of 2018. This marks a reversal from 2017, when emerging markets outperformed developed markets. Our Portfolio is typically overweight the Technology, Healthcare, and Consumer Discretionary sectors, and under-weight the Financials and Energy sectors. We believe these allocations take advantage of what we believe are many long-lasting tailwinds around the world. Bottom-up fundamental analysis has also driven the most notable shifts in our sector weights over the last couple of years: a meaningful reduction in our Consumer Staples exposure, and an increase in our Technology and Industrials sector exposures. Shifts in the market—for example, falling barriers-to-entry for certain types of businesses, the shift from bricks & mortar to e-commerce, and increased local competition for the large multinationals—mean a less attractive outlook for many Consumer Staples companies. In

 

A-11 

 

 

Technology and Industrials, we believe we have identified several stocks with higher, more sustainable growth. We are still finding what we believe to be enticing opportunities: beneficiaries of secular tailwinds, with strengthening competitive advantages, plus strong company cultures, and that are trading at reasonable valuations.

 

2018 Performance for the 6-month period ending June 30, 2018: 

The portion of the Clearwater International Fund managed by WCM (the “Portfolio”) significantly outperformed the MSCI All-Country World Ex U.S.A. Index - Net Dividends (the “benchmark”) during the first six months of 2018, returning 3.2%, gross of fees, while the benchmark returned (3.8)%. Notably, the Portfolio delivered a positive return in a down market. The majority of the Portfolio’s outperformance was attributable to stock selection. Looking at stock selection, Consumer Discretionary (Ferrari NV, Hermes International SCA, LVMH Moet Hennessy Louis Vuitton SE) was the best performing sector relative to the benchmark, followed by Financials (HDFC Bank Limited Sponsored ADR, AIA Group Limited, Chubb Limited) and Healthcare (CSL Limited, ICON Plc, Sysmex Corporation). On the flipside, Consumer Staples (Raia Drogasil S.A., Reckitt Benckiser Group plc, Nestle S.A.) was the worst performing sector relative to the benchmark, followed by Real Estate (no exposure) and Telecommunication Services (no exposure).

 

From a sector allocation perspective, our significant overweight to Consumer Discretionary was the largest driver of outperformance, followed by our overweight to Healthcare and Information Technology. On the other hand, our underweights to Energy, Materials and Consumer Staples detracted from our relative performance.

 

2018 Remaining Year Outlook:

 

Looking ahead, most observers expect continued volatility around interest rates, macroeconomic, and geopolitical rhetoric and events. We believe that such an uncertain backdrop tends to be favorable for the types of companies in which we seek to invest: those with good growth, expanding economic moats (referring to a business’ ability to maintain competitive advantages over its competitors in order to protect its long-term profits and market share from competitor firms), and strong free cash flow generation. When that type of backdrop gives us an opportunity, we seek to upgrade the quality of the Portfolio.

 

A-12 

 

 

Fund Expense Example 

(unaudited)

 

As a shareholder of the Clearwater Core Equity Fund (“Core Equity Fund”), Clearwater Small Companies Fund (“Small Companies Fund”), Clearwater Tax-Exempt Bond Fund (“Tax-Exempt Bond Fund”), and Clearwater International Fund (“International Fund” and together with the Core Equity Fund, Small Companies Fund and Tax-Exempt Bond Fund, the “Funds”), you incur costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. In addition to the ongoing costs which the Funds pay directly, you as a shareholder indirectly bear the expenses of any outside exchange traded funds or mutual funds in which the Funds invest. (These are also referred to as “acquired funds” and those indirect expenses represent the Funds’ pro rata portion of the cumulative expense charged by the acquired funds.)

 

The example provided is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended June 30, 2018.

 

Actual Expenses 

The first section of the table on the following page 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 January 1, 2018 through June 30, 2018” to estimate the expenses attributable to your investment during this period.

 

Hypothetical Example for Comparison Purposes 

The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Funds and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.

 

Please note that the expenses shown in the second section of the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you compare the relative total costs of the Funds to other mutual funds that charge transaction costs and/or sales charges or redemption fees.

 

A-13 

 

 

Actual returns

Beginning Account 

Value January 1, 2018

Ending Account Value 

June 30, 2018 

Expenses Paid During the 

Period January 1, 2018 

through June 30, 2018*

Core Equity Fund $1,000.00 $1,024.80 $1.91
Small Companies Fund $1,000.00 $1,044.40 $5.22
Tax-Exempt Bond Fund $1,000.00 $1,011.00 $1.70
International Fund $1,000.00 $979.70 $3.34

 

Hypothetical 5% return 

(before expenses)

     
Core Equity Fund $1,000.00 $1,022.91 $1.91
Small Companies Fund $1,000.00 $1,019.69 $5.16
Tax-Exempt Bond Fund $1,000.00 $1,023.11 $1.71
International Fund $1,000.00 $1,021.42 $3.41

 

*Expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expense ratios for the most recent one-half year period may differ from expense ratios based on one-year data in the Financial Highlights.

 

The annualized expense ratios (reflecting voluntary fee waivers currently in effect) are as follows:

 

Core Equity Fund 0.38%
Small Companies Fund 1.03%
Tax-Exempt Bond Fund 0.34%
International Fund 0.68%

 

Quarterly Portfolio Schedule of Investments

 

The Funds file a complete schedule of their portfolio holdings as of the close of the first and third quarters of their fiscal years with the Securities and Exchange Commission (the “SEC”) on Form N-Q. Shareholders may request copies of Form N-Q free of charge by calling the TransferAgent toll free at 1- 855-684-9144 or by sending a written request to: The Northern Trust Company, P.O. Box 4766, Chicago, IL 60680-4766 Attn: Clearwater Investment Trust Funds. These filings are also available on the SEC’s Internet site at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information about the public reference room may be obtained by calling 1-800-SEC-0330.

 

Voting Proxies on Fund Portfolio Securities

 

The Funds have established Proxy Voting Policies and Procedures (“Policies”) that the Funds use to determine how to vote proxies relating to portfolio securities. They also report, on Form N-PX, how the Funds voted any such proxies during the most recent 12-month period ended June 30. Shareholders may request copies of the Policies or Form N-PX free of charge by calling Fiduciary Counselling, Inc. toll free at 1-888-228-0935 or by sending a written request to: Fiduciary Counselling, Inc., 30 East 7th Street, Suite 2000, St. Paul, MN 55101 Attn: Clearwater Investment Trust Funds. Form N-PX is also available from the EDGAR database on the SEC’s Internet site at http://www.sec.gov.

 

A-14 

 

 

Clearwater Investment Trust

 

Financial Statements

 

For the Six Months Ended June 30, 2018 (Unaudited)

 

Table of Contents

 

  Financial Statements:  

 

  1 Statements of Assets and Liabilities  
  2 Statements of Operations  
  3 Statements of Changes in Net Assets  
  4 Financial Highlights  
  8 Notes to Financial Statements  
  27 Schedules of Investments  
  27 Core Equity Fund  
  40 Small Companies Fund  
  48 Tax-Exempt Bond Fund  
  63 International Fund  

 

 

 

CLEARWATER INVESTMENT TRUST 

Statements of Assets and Liabilities

June 30, 2018 (unaudited)

 

   Core Equity   Small Companies   Tax-Exempt   International 
   Fund   Fund   Bond Fund   Fund 
Assets                
Investments in securities, at fair value (identified cost: $258,958,450, $329,021,588, $518,316,404 and $429,422,247, respectively)  $519,914,084    376,856,868    535,693,646    603,001,950 
Foreign currencies, at value (cost: $390, $0, $0 and $1,035,524, respectively)   392    -    -    1,034,666 
Cash (restricted: $0, $0, $914,480 and $0, respectively)   -    -    4,449,382    - 
Receivable for securities sold   -    1,119,047    -    970,479 
Receivable for variation margin on futures contracts   -    -    7,258    - 
Receivable for shares of beneficial interest sold   -    -    8,121    37,000 
Accrued dividend and interest receivable   470,206    403,136    5,405,409    1,392,000 
Foreign tax reclaim receivable   8,906    -    -    1,593,807 
Unrealized appreciation on forward foreign currency exchange contracts   -    -    -    152,273 
Total assets   520,393,588    378,379,051    545,563,816    608,182,175 
Liabilities                    
Payables for investment securities purchased   -    2,425,918    3,362,886    1,030,188 
Payable for fund shares redeemed   49,000    40,000    950,000    - 
Accrued investment advisory fee   496,798    947,984    453,850    1,052,375 
Payable for dividend distribution   -    -    124,319    - 
Payable for variation margin on futures contracts   -    -    1,500    - 
Unrealized depreciation on forward foreign currency exchange contracts   -    -    -    2,016 
Deferred foreign capital gains taxes payable   -    -    -    26,314 
Short-term Financing   401,947    -    -    - 
Total liabilities   947,745    3,413,902    4,892,555    2,110,893 
Net assets  $519,445,843    374,965,149    540,671,261    606,071,282 
Capital                    
Capital Stock and additional paid-in capital (authorized unlimited number of shares at no par value for each Fund: 11,731,374, 18,975,848, 53,514,905 and 35,903,831 shares, respectively)  $234,908,962    307,747,245    515,568,014    413,484,161 
Undistributed (overdistributed) net investment income   3,960,136    426,934    3,418,271    4,939,180 
Accumulated net realized gain from investments and foreign currency transactions   19,621,108    18,955,690    5,100,403    14,097,809 
Unrealized appreciation of investments and translation of assets and liabilities in foreign currencies   260,955,637    47,835,280    16,584,573    173,550,132 
Net assets  $519,445,843    374,965,149    540,671,261    606,071,282 
Net asset value per share of outstanding capital stock  $44.28    19.76    10.10    16.88 

 

See accompanying notes to financial statements.

 

1

 

 

CLEARWATER INVESTMENT TRUST 

Statements of Operations 

for the six months ended June 30, 2018 (unaudited)

 

   Core Equity   Small Companies   Tax-Exempt   International 
   Fund   Fund   Bond Fund   Fund 
Investment income:                    
Income:                    
Dividends (net of foreign taxes withheld of $2,897, $4,565, $0 and $1,063,251, respectively)  $4,771,895    2,292,845    805,302    9,782,166 
Interest   -    -    11,065,599    - 
Total income   4,771,895    2,292,845    11,870,901    9,782,166 
Expenses:                    
Investment advisory fee   2,395,102    2,465,942    1,578,460    3,111,603 
Voluntary fee reduction   (1,383,841)   (584,518)   (683,999)   (994,749)
Total net expenses   1,011,261    1,881,424    894,461    2,116,854 
Net investment income   3,760,634    411,421    10,976,440    7,665,312 
Net realized gain (loss) on:                    
Security transactions   35,769,054    13,467,695    (1,052,035)   11,937,616 
Forward foreign currency exchange contracts   -    -    -    (305,182)
Foreign currency transactions   -    -    -    (58,416)
Futures contracts   -    -    5,124,664    - 
Net increase (decrease) in unrealized appreciation/depreciation on:                     
Security transactions (net of increase (decrease) in deferred foreign taxes of $0, $0, $0 and $98,901, respectively)   (26,361,882)   2,042,842    (7,904,777)   (31,757,539)
Forward foreign currency exchange contracts   -    -    -    173,908 
Futures contracts   -    -    (1,188,543)   - 
Translation of other assets and liabilities denominated in foreign currencies   (19)   -    -    (37,816)
Net gain (loss) on investments   9,407,153    15,510,537    (5,020,691)   (20,047,429)
Net increase (decrease) in net assets resulting from operations  $13,167,787    15,921,958    5,955,749    (12,382,117)

 

See accompanying notes to financial statements.

 

2

 

 

CLEARWATER INVESTMENT TRUST 

Statements of Changes in Net Assets 

for the six months ended June 30, 2018 (unaudited) and the year ended December 31, 2017

 

   Core Equity Fund   Small Companies Fund  
   06/30/2018   12/31/2017   06/30/2018   12/31/2017 
Operations:                    
Net investment income  $3,760,634    7,574,470    411,421    354,268 
Net realized gain   35,769,054    38,688,118    13,467,695    62,106,611 
Net increase (decrease) in unrealized appreciation/depreciation   (26,361,901)   59,003,270    2,042,842    (17,724,945)
Net increase in net assets resulting from operations   13,167,787    105,265,858    15,921,958    44,735,934 
Distributions to shareholders from:                    
Net investment income   -    (7,688,471)   -    (483,397)
Net realized gain   -    (26,497,925)   -    (57,259,786)
Total distributions to shareholders   -    (34,186,396)   -    (57,743,183)
Capital share transactions:                    
Proceeds from shares sold   31,022,325    17,783,135    2,035,200    4,295,100 
Reinvestment of distributions from net investment income and net realized gain   -    34,174,713    -    57,743,183 
Payments for shares redeemed   (63,136,077)   (51,127,836)   (12,711,959)   (22,704,074)
Net increase (decrease) in net assets from capital share transactions   (32,113,752)   830,012    (10,676,759)   39,334,209 
Total increase (decrease) in net assets   (18,945,965)   71,909,474    5,245,199    26,326,960 
Net assets:                    
At the beginning of the year   538,391,808    466,482,334    369,719,950    343,392,990 
At the end of the year  $519,445,843    538,391,808    374,965,149    369,719,950 
Undistributed net investment income  $3,960,136    199,502    426,934    - 

 

   Tax-Exempt Bond Fund   International Fund 
   06/30/2018   12/31/2017   06/30/2018   12/31/2017 
Operations:                    
Net investment income  $10,976,440    21,975,142    7,665,312    9,695,264 
Net realized gain   4,072,629    3,698,187    11,574,018    35,979,946 
Net increase (decrease) in unrealized appreciation/depreciation   (9,093,320)   15,727,491    (31,621,447)   88,603,816 
Net increase (decrease) in net assets resulting from operations   5,955,749    41,400,820    (12,382,117)   134,279,026 
Distributions to shareholders from:                    
Net investment income   (11,634,603)   (24,005,546)   -    (10,724,142)
Net realized gain   -    (3,125,893)   -    (7,930,041)
Total distributions to shareholders   (11,634,603)   (27,131,439)   -    (18,654,183)
Capital share transactions:                    
Proceeds from shares sold   18,707,521    25,194,500    2,990,300    13,231,107 
Reinvestment of distributions from net investment income and net realized gain   11,749,173    27,662,365    -    18,654,200 
Payments for shares redeemed   (9,262,484)   (26,826,167)   (9,178,903)   (31,866,974)
Net increase (decrease) in net assets from capital share transactions   21,194,210    26,030,698    (6,188,603)   18,333 
Total increase (decrease) in net assets   15,515,356    40,300,079    (18,570,720)   115,643,176 
Net assets:                    
At the beginning of the year   525,155,905    484,855,826    624,642,002    508,998,826 
At the end of the year  $540,671,261    525,155,905    606,071,282    624,642,002 
Undistributed (overdistributed) net investment income  $3,418,271    4,066,323    4,939,180    (2,481,650)

 

See accompanying notes to financial statements.

 

3

 

 

CLEARWATER INVESTMENT TRUST

 

Financial Highlights

 

Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:

 

   June 30,   Year ended December 31, 
   2018                     
Core Equity Fund  (Unaudited)   2017   2016   2015   2014   2013 
Net asset value, beginning of period  $43.21    37.43    35.57    39.41    37.77    28.81 
Income (loss) from investment operations:                              
Net investment income   0.33    0.64    0.65    0.64    0.60    0.51 
Net realized and unrealized gains (losses)   0.74    8.03    3.27    (0.96)   2.91    8.95 
Total from investment operations   1.07    8.67    3.92    (0.32)   3.51    9.46 
Less distributions to shareholders from:                              
Net investment income   -    (0.65)   (0.49)   (0.60)   (0.63)   (0.50)
Net realized gain   -    (2.24)   (1.57)   (2.92)   (1.24)   - 
Total distributions to shareholders:   -    (2.89)   (2.06)   (3.52)   (1.87)   (0.50)
Net asset value, end of period  $44.28    43.21    37.43    35.57    39.41    37.77 
Total return (a)   2.48%   23.26%   10.98%   (0.71)%   9.23%   32.85%
Net assets, end of period (000s omitted)  $519,446    538,392    466,482    492,418    541,017    523,042 
Ratio of expenses, net of waivers, to average net assets (b), (c), (d), (e), (f), (g), (h)   0.38%   0.39%   0.43%   0.42%   0.50%   0.50%
Ratio of expenses, before waivers, to average net assets (b), (c), (d), (e), (f), (g), (h)   0.90%   0.90%   0.90%   0.90%   0.90%   0.90%
Ratio of net investment income (loss), net of waivers, to average net assets (c), (d), (e), (f), (g), (h)   1.41%   1.51%   1.63%   1.52%   1.50%   1.51%
Ratio of net investment income (loss), before waivers, to average net assets (c), (d), (e), (f), (g), (h)   0.89%   1.00%   1.16%   1.02%   1.10%   1.11%
Portfolio turnover rate (excluding short-term securities)   13.49%   31.13%   44.11%   94.07%   13.54%   21.07%

  

(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. Total return is not annualized for periods of less than one year.

(b)In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.

(c)Annualized for periods less than one year.

(d)Effective September 22, 2017, the investment advisory fee, net of voluntary waivers, increased to 0.38%. Also effective September 22, 2017, the Adviser decreased the voluntary waiver to 0.52%

(e)Effective March 16, 2017, the investment advisory fee, net of voluntary waivers, decreased to 0.37%. Also effective March 16, 2017, the Adviser increased the voluntary waiver to 0.53%.

(f)Effective March 16, 2016, the investment advisory fee, net of voluntary waivers, increased to 0.44%. Also effective March 16, 2016, the Adviser decreased the voluntary waiver to 0.46%.

(g)Effective March 16, 2015, the investment advisory fee, net of voluntary waivers,decreased to 0.40%. Also effective March 16, 2015, the Adviser increased the voluntary waiver to 0.50%.

(h)Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, decreased to 0.50%. Also effective March 15, 2013, the Adviser increased the voluntary waiver to 0.40%.

 

See accompanying notes to financial statements.

 

4

 

 

CLEARWATER INVESTMENT TRUST

 

Financial Highlights

 

Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:

 

   June 30,   Year ended December 31, 
   2018                     
Small Companies Fund  (Unaudited)   2017   2016   2015   2014   2013 
Net asset value, beginning of period  $18.92    19.79    17.18    20.30    22.35    18.70 
Income (loss) from investment operations:                              
Net investment income   0.04    0.02    0.07    0.07    0.05    0.05 
Net realized and unrealized gains (losses)   0.80    2.58    3.30    (0.90)   1.10    6.30 
Total from investment operations   0.84    2.60    3.37    (0.83)   1.15    6.35 
Less distributions to shareholders from:                              
Net investment income   -    (0.03)   (0.05)   (0.06)   (0.04)   (0.06)
Net realized gain   -    (3.44)   (0.71)   (2.23)   (3.16)   (2.64)
Total distributions to shareholders:   -    (3.47)   (0.76)   (2.29)   (3.20)   (2.70)
Net asset value, end of period  $19.76    18.92    19.79    17.18    20.30    22.35 
Total return (a)   4.44%   13.46%   19.67%   (3.96)%   5.03%   34.01%
Net assets, end of period (000s omitted)  $374,965    369,720    343,393    299,380    333,888    343,068 
Ratio of expenses, net of waivers, to average net assets (b), (c), (d), (e), (f), (g), (h)   1.03%   0.99%   1.02%   0.97%   0.94%   0.95%
Ratio of expenses, before waivers, to average net assets (b), (c), (d), (e), (f), (g), (h)   1.35%   1.35%   1.35%   1.35%   1.35%   1.35%
Ratio of net investment income (loss), net of waivers, to average net assets (c), (d), (e), (f), (g), (h)   0.23%   0.11%   0.28%   0.22%   0.24%   0.21%
Ratio of net investment income (loss), before waivers, to average net assets (c), (d), (e), (f), (g), (h)   (0.09)%   (0.25)%   (0.05)%   (0.16)%   (0.17)%   (0.19)%
Portfolio turnover rate (excluding short-term securities)   29.30%   113.85%   78.82%   58.71%   55.51%   59.84%

  

(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. Total return is not annualized for periods of less than one year.

(b)In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.

(c)Annualized for periods less than one year.

(d)Effective September 22, 2017, the investment advisory fee, net of voluntary waivers, increased to 1.03%. Also effective March 16, 2017, the Adviser decreased the voluntary waiver to 0.32%.

(e)Effective March 16, 2017, the investment advisory fee, net of voluntary waivers, decreased to 0.96%. Also effective March 16, 2017, the Adviser increased the voluntary waiver to 0.39%.

(f)Effective March 16, 2016, the investment advisory fee, net of voluntary waivers, increased to 1.03%. Also effective March 16, 2016, the Adviser decreased the voluntary waiver to 0.32%.

(g)Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.98%. Also effective March 16, 2015, the Adviser decreased the voluntary waiver to 0.37%.

(h)Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, decreased to 0.94%. Also effective March 15, 2013, the Adviser increased the voluntary waiver to 0.41%.

 

See accompanying notes to financial statements.

 

  5(Continued)

 

 

CLEARWATER INVESTMENT TRUST

 

Financial Highlights

 

Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:

 

   June 30,   Year ended December 31, 
   2018                     
Tax-Exempt Bond Fund  (Unaudited)   2017   2016   2015   2014   2013 
Net asset value, beginning of period  $10.21    9.93    10.16    10.16    9.23    10.15 
Income (loss) from investment operations:                              
Net investment income (loss)   (0.24)   0.45    0.46    0.42    0.44    0.46 
Net realized and unrealized gains (losses)   0.35    0.38    (0.23)   0.04    0.95    (0.84)
Total from investment operations   0.11    0.83    0.23    0.46    1.39    (0.38)
Less distributions to shareholders from:                              
Net investment income   (0.22)   (0.49)   (0.44)   (0.42)   (0.44)   (0.46)
Net realized gain   -    (0.06)   (0.02)   (0.04)   (0.02)   (0.08)
Total distributions to shareholders:   (0.22)   (0.55)   (0.46)   (0.46)   (0.46)   (0.54)
Net asset value, end of period  $10.10    10.21    9.93    10.16    10.16    9.23 
Total return (a)   1.10%   8.54%   2.28%   4.73%   15.29%   (3.77)%
Net assets, end of period (000s omitted)  $540,671    525,156    484,856    512,773    507,982    465,026 
Ratio of expenses, net of waivers, to average net assets (b), (c), (d), (e)   0.34%   0.34%   0.34%   0.34%   0.33%   0.34%
Ratio of expenses, before waivers, to average net assets (b), (c), (d), (e)   0.60%   0.60%   0.60%   0.60%   0.60%   0.60%
Ratio of net investment income (loss), net of waivers, to average net assets (c), (d), (e)   4.17%   4.35%   4.54%   4.23%   4.48%   4.78%
Ratio of net investment income (loss), before waivers, to average net assets (c), (d), (e)   3.91%   4.09%   4.28%   3.97%   4.21%   4.52%
Portfolio turnover rate (excluding short-term securities)   4.83%   13.28%   13.48%   18.93%   22.25%   31.65%

  

(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. Total return is not annualized for periods of less than one year.

(b)In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.

(c)Annualized for periods less than one year.

(d)Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.34%. Also effective March 16, 2015, the Adviser decreased the voluntary waiver to 0.26%.

(e)Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, decreased to 0.33%. Also effective March 15, 2013, the Adviser increased the voluntary waiver to 0.27%.

 

See accompanying notes to financial statements.

 

  6(Continued)

 

 

CLEARWATER INVESTMENT TRUST

 

Financial Highlights

 

Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:

 

   June 30,   Year ended December 31, 
   2018                     
International Fund  (Unaudited)   2017   2016   2015   2014   2013 
Net asset value, beginning of period  $17.23    14.04    14.02    14.41    15.76    13.33 
Income (loss) from investment operations:                              
Net investment income   0.21    0.27    0.27    0.28    0.35    0.29 
Net realized and unrealized gains (losses)   (0.56)   3.44    0.02    (0.31)   (1.08)   2.62 
Total from investment operations   (0.35)   3.71    0.29    (0.03)   (0.73)   2.91 
Less distributions to shareholders from:                              
Net investment income   -    (0.30)   (0.27)   (0.28)   (0.36)   (0.34)
Net realized gain   -    (0.22)   -(a)   (0.08)   (0.26)   (0.14)
Total distributions to shareholders:   -    (0.52)   (0.27)   (0.36)   (0.62)   (0.48)
Net asset value, end of period  $16.88    17.23    14.04    14.02    14.41    15.76 
Total return (b)   (2.03)%   26.54%   2.09%   (0.15)%   (4.70)%   21.85%
Net assets, end of period (000s omitted)  $606,071    624,642    508,999    491,184    481,943    511,904 
Ratio of expenses, net of waivers, to average net assets (c), (d), (e), (f), (g), (h), (i)   0.68%   0.67%   0.70%   0.69%   0.67%   0.66%
Ratio of expenses, before waivers, to average net assets (c), (d), (e), (f), (g), (h), (i)   1.00%   1.00%   1.00%   1.00%   1.00%   1.00%
Ratio of net investment income (loss), net of waivers, to average net assets (d), (e), (f), (g), (h), (i)   2.47%   1.67%   1.90%   1.87%   2.22%   1.99%
Ratio of net investment income (loss), before waivers, to average net assets (d), (e), (f), (g), (h), (i)   2.15%   1.34%   1.60%   1.56%   1.89%   1.65%
Portfolio turnover rate (excluding short-term securities)   10.22%   36.17%   37.21%   18.49%   15.33%   22.54%

 

(a)Per share amounts from distributions paid from net realized gain were less than $0.01 per share.

(b)Total return figures are based on the change in net asset value of a share during the period and assume reinvestment of distributions at net asset value. Total return is not annualized for periods of less than one year.

(c)In addition to fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.

(d)Annualized for periods less than one year.

(e)Effective September 22, 2017, the investment advisory fee, net of voluntary waivers, increased to 0.68%. Also effective September 22, 2017, the Adviser decreased the voluntary waiver to 0.32%.

(f)Effective March 16, 2017, the investment advisory fee, net of voluntary waivers, decreased to 0.65%. Also effective March 16, 2017, the Adviser increased the voluntary waiver to 0.35%.

(g)Effective March 16, 2016, the investment advisory fee, net of voluntary waivers, increased to 0.70%. Also effective March 16, 2016, the Adviser decreased the voluntary waiver to 0.30%.

(h)Effective March 16, 2015, the investment advisory fee, net of voluntary waivers, increased to 0.69%. Also effective March 16, 2015, the Adviser decreased the voluntary waiver to 0.31%.

(i)Effective March 15, 2013, the investment advisory fee, net of voluntary waivers, increased to 0.67%. Also effective March 15, 2013, the Adviser decreased the voluntary waiver to 0.33%.

 

See accompanying notes to financial statements. 

 

  7(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Notes to Financial Statements (unaudited)

June 30, 2018

 

(1)     Organization

 

Clearwater Investment Trust (the “Trust”) was established on January 12, 1987 as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (as amended) as a diversified open end management investment company and presently includes four series: Clearwater Core Equity Fund (“Core Equity Fund”), Clearwater Small Companies Fund (“Small Companies Fund”), Clearwater Tax-Exempt Bond Fund (“Tax-Exempt Bond Fund”), and Clearwater International Fund (“International Fund” and together with the Core Equity Fund, Small Companies Fund and Tax-Exempt Bond Fund, the “Funds”). Clearwater Management Co., Inc. (the “Adviser”) serves as the investment adviser for each of the Funds and is responsible for the oversight of each of the Fund’s subadvisers. The Trust’s declaration of trust permits the Board of Trustees to create additional funds in the future. The investment objective of the Core Equity, Small Companies, and International Funds is long-term capital growth. The investment objective of the Tax-Exempt Bond Fund is high current income that is exempt from United States (“U.S.”) federal income tax, consistent with preservation of capital.

 

Fiduciary Counselling, Inc. (“FCI”) acts as subadviser to each of the Funds. FCI does not provide day-to-day management, but provides the Funds with various investment-related services, including investment strategy advice, manager recommendations and related duties as requested by the Adviser. FCI also provides certain services related to due diligence, performance reporting, compliance, and other administrative functions, which support the investment management services and subadviser oversight services provided to the Funds by the Adviser.

 

The Northern Trust Company serves as the custodian, administrator, accounting services agent and transfer agent for the Trust.

 

Under normal market conditions, the Core Equity Fund pursues its investment objective by investing at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of U.S. companies. The equity securities in which the Fund primarily invests are common and preferred stocks. The Fund employs a multi-style (growth and value) and multi-manager approach whereby portions of the Fund are allocated to different subadvisers who employ distinct investment styles. The Fund’s Adviser allocates portions of the Fund’s assets among subadvisers. The Fund currently allocates assets among the following subadvisers who provide day-to-day management for the Fund: Parametric Portfolio Associates, LLC (“Parametric”), AQR Capital Management (“AQR”), and O’Shaughnessy Asset Management (“OSAM”). The allocation among subadvisers will vary over time, but the current intent of the Fund’s Adviser is that under normal market conditions approximately 60% of the Fund’s total assets will be allocated to Parametric; the remaining assets will be allocated to one or more of the Fund’s two other subadvisers that provide day-to-day management. Parametric manages its portion of the Fund’s assets using a passive management strategy to seek investment results that track, before fees and expenses, the investment results of the Russell 1000® Index as closely as possible without requiring the Fund to realize taxable gains. In addition, as noted above, FCI also acts as a subadviser to the Fund but does not provide day-to-day management.

 

Under normal market conditions, the Small Companies Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of small companies. The Fund defines “small companies” as issuers with market capitalizations no greater than that of the largest capitalization company included in the Russell 2000® Index at the time of purchase. The equity securities the Fund invests in consist primarily of exchange-traded common and preferred stocks. The Fund may also invest in a type of equity security called a convertible security to reduce volatility or correlation risk in the portfolio. A convertible security generally

 

 

  8(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Notes to Financial Statements (unaudited)

June 30, 2018

 

entitles the holder to receive interest paid or accrued on debt securities or the dividend paid on preferred stock until the convertible security matures or is redeemed, converted or exchanged. It is intended that the Fund holds a portion of its portfolio for more than two years to allow for the change that prompted the relevant security’s purchase to yield results. The Fund uses a “multi-style, multi-manager” approach. The Fund’s Adviser allocates portions of the Fund’s assets between subadvisers who employ distinct investment styles. The Fund currently allocates assets between the following subadvisers who provide day-to-day management for the Fund: Kennedy Capital Management, Inc. (“KCM”), Cooke & Bieler, L.P. (“Cooke & Bieler”), and Pzena Investment Management, LLC (“Pzena”). FCI also acts as a subadviser to the Fund but does not provide day-to-day management.

 

Under normal market conditions, the Tax-Exempt Bond Fund invests at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in tax-exempt bonds, which are debt obligations issued by or for the U.S. states, territories and possessions and the District of Columbia. The interest on these bonds is generally exempt from both U.S. regular federal income tax and U.S. federal alternative minimum tax. However, the Fund may invest up to 20% of its net assets in bonds that generate interest income subject to federal alternative minimum tax for individuals. The Fund invests in both revenue bonds, which are backed by and payable only from the revenues derived from a specific facility or specific revenue source, and in general obligation bonds, which are secured by the full faith, credit and taxation power of the issuing municipality. The Fund currently has one subadviser that provides day-to-day management for the Fund, Sit Fixed Income Advisors II, LLC (“Sit”). FCI also acts as a subadviser to the Fund but does not provide day-to-day management.

 

Under normal market conditions, the International Fund intends to invest at least 80% of the value of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of companies organized or located outside the United States and doing a substantial amount of business outside the United States. Equity securities in which the Fund invests include common and preferred stock, sponsored and unsponsored American Depositary Receipts, European Depositary Receipts, Global Depositary Receipts, exchange-traded funds, and other investment companies. The Fund diversifies its investments among a number of different countries throughout the world, and may invest in companies of any size. The Fund does not intend to invest more than 20% of its net assets in the equity securities of developing or emerging market issuers. In order to hedge against adverse movements in currency exchange rates, the Fund may enter into foreign currency exchange contracts. The Fund does not intend to invest in foreign currency exchange contracts, options, futures contracts or options in futures contracts for speculative purposes. The Fund uses a “multi-style, multi-manager” approach. The Fund’s assets are allocated to different subadvisers who employ distinct investment styles. The Fund currently allocates assets among the following subadvisers who provide day-to-day management for the Fund: Parametric, Artisan Partners Limited Partnership (“Artisan Partners”), WCM Investment Management (“WCM”) and Templeton Investment Counsel, LLC (“Templeton”). The allocation among subadvisers will vary over time, but the current intent of the Fund’s Adviser is that under normal market conditions approximately 40% of the Fund’s assets will be allocated to Parametric, and the remaining assets will be allocated to one or more of the Fund’s three other subadvisers that provide day-to-day management of the Fund. Parametric manages its portion of the Fund’s assets using a passive management strategy to seek investment results that track, before fees and expenses, the investment results of the MSCI World Ex U.S.A. Index - Net Dividends as closely as possible without requiring the Fund to realize taxable gains. FCI also acts as a subadviser to the Fund but does not provide day-to-day management. 

 

  9(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Notes to Financial Statements (unaudited)

June 30, 2018

 

(2)     Summary of Significant Accounting Policies

 

The Funds are investment companies and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”

 

The significant accounting policies followed by the Funds are as follows:

 

(a)     Investments in Securities

 

Investments in U.S. and foreign equity securities are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Foreign security values are stated in U.S. dollars. Equity securities which have not traded on the date of valuation or securities for which sales prices are not generally reported are valued at the mean between the last bid and asked prices. Debt securities are valued on the basis of evaluated prices provided by independent pricing services when such prices are believed to reflect the fair value of such securities or broker provided prices. Such prices may be determined by taking into account other similar securities’ prices, yields, maturities, call features, ratings, prepayment speeds, credit risks, cash flows, institutional size trading in similar groups of securities and developments related to specific securities. Shares of open end investment companies are valued at their daily net asset value (“NAV”). Shares of closed-end funds and exchange traded funds are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded.

 

Securities for which no market quotations are readily available (including those for which trading has been suspended), or when the Adviser becomes aware that a significant event impacting the value of a security or group of securities has occurred after the closing of the exchange on which the security or securities principally trade, but before the calculation of the NAV, are valued at fair value as determined in good faith using procedures established by the Board of Trustees. This may occur particularly with respect to certain foreign securities held by the International Fund, whereby the Board of Trustees may use adjustment factors obtained from an independent evaluation service that are intended to reflect more accurately the fair value of these foreign securities as of the time the Fund’s NAV is calculated. The procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security. These procedures are used by the Valuation Committee, in accordance with the procedures established by the Board of Trustees, to determine the fair value of the security or securities. Such determinations are then submitted for review and ratification by the Board of Trustees. The use of fair valuation involves the risk that the values used by the Funds to price their investments may be higher or lower than the values used by other unaffiliated investment companies and investors to price the same investments.

 

Security transactions are accounted for on the trade date, which is the date the securities are purchased or sold. Realized gains and losses are calculated on an identified cost basis. Dividend income is recognized on the ex-dividend date or, for foreign securities, as soon as the information is available. Interest income, is recognized on an accrual basis and includes amortization of premiums and accretion of discounts using the effective yield method.

 

  10(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Notes to Financial Statements (unaudited)

June 30, 2018

 

(b)     Foreign Currency Translation

 

The International Fund invests in securities which are purchased and sold in foreign currencies as a principal investment strategy. The costs of purchases, proceeds from sales of investments, interest and dividend income are translated into U.S. dollars using the spot market rate of exchange prevailing on the respective dates of such transactions. The value of the International Fund’s net assets, as measured in U.S. dollars, may be affected favorably or unfavorably by changes in foreign currency exchange rates and exchange control regulations. The gains or losses, if any, on investments resulting from changes in foreign exchange rates are recorded within net realized gain (loss) on security transactions and within net increase (decrease) in unrealized appreciation/depreciation on security transactions on the Statements of Operations. The realized gains or losses, if any, on translation of other assets and liabilities denominated in foreign currencies are recorded within net realized gain (loss) on foreign currency transactions on the Statements of Operations. The International Fund also will incur costs in converting U.S. dollars to local currencies, and vice versa. Risks may arise upon investing in foreign securities including, but not limited to, political, social or economic instability in the country of the issuer, the difficulty of predicting international trade patterns, the possibility of the imposition of exchange controls, expropriation, limits on removal of currency or other assets, nationalization of assets, foreign withholding and income tax and possible delays in the settlement of foreign stock exchange transactions. The principal markets on which these securities trade may have less volume and liquidity, and may be more volatile, than securities markets in the U.S.

 

(c)     Futures Contracts

 

The Tax-Exempt Bond Fund invests in long or short financial futures contracts for hedging purposes or to manage duration or gain additional exposure to bond markets. When used as a hedge, the Fund will purchase and sell various kinds of futures contracts. The Fund will also enter into closing purchase and sale transactions with respect to any such futures contracts. The futures contracts may be based on various securities and securities indices. The Fund bears the market risk arising from changes in the value of these financial instruments. At the time the Fund enters into a futures contract, it is generally required to make a margin deposit with the custodian or broker of a specified amount of liquid assets. Futures are marked to market each day with the change in value reflected in the unrealized appreciation or depreciation. Risk may arise as a result of the potential inability of the counterparties to meet the terms of their contracts. Credit risk is mitigated to the extent that the exchange on which a particular futures contract is traded assumes the risk of a counterparty defaulting on its obligations under the contract. The Statements of Operations include any realized gains or losses on closed futures contracts within Net realized gains (losses) on futures contracts, and any unrealized gains or losses on open futures contracts within Net increase (decrease) in unrealized appreciation/depreciation on futures contracts. Additional information on derivative instruments and how these positions may impact the financial statements is found in Note 8, Derivative Instruments.

 

(d)     Forward Foreign Currency Exchange Contracts

 

The International Fund enters into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge against adverse movements in foreign currency exchange rates, specific transactions or the portfolio position. The objective of the International Fund’s foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of the International Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. Forward foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded on forward foreign currency exchange contracts within net increase (decrease) in unrealized appreciation/depreciation on the Statements of Operations. The International Fund records 

 

  11(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Notes to Financial Statements (unaudited)

June 30, 2018

 

any realized gains or losses at the time the forward foreign currency exchange contract is offset by entering into a closing transaction with the same counterparty or is extinguished by delivery of the currency. Realized gains or losses, if any, are recorded within net realized gain (loss) on forward foreign currency exchange contracts on the Statements of Operations. Risks may arise upon entering into forward foreign currency exchange contracts from the potential of the issuer to default on its obligations under the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. The International Fund bears the market risk from changes in foreign currency exchange rates and the credit risk if the issuer fails to perform. Additional information on derivative instruments and how these positions may impact the financial statements is found in Note 8, Derivative Instruments.

 

(e)     Spot Contracts

 

The International Fund routinely enters into spot contracts in order to buy or sell a certain amount of foreign currency at the current market rate. The International Fund may enter into spot contracts in order to make payments, or to receive payments, based on investment trading activity in a foreign currency. A spot contract allows the International Fund to buy or sell foreign currency on the day it chooses to deal. From time to time, the Core Equity Fund may also enter into spot contracts in order to make or receive payments due to investment trading activity in a foreign currency on a non-U.S. exchange. Spot contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded in translation of other assets and liabilities denominated in foreign currencies within net increase (decrease) in unrealized appreciation/depreciation on the Statements of Operations. Unrealized gains or losses on outstanding spot contracts are recorded in payables for investment securities purchased or receivable for securities sold, respectively, on the Statements of Assets and Liabilities. The Funds record any realized gains or losses at the time the spot contract settles. Realized gains or losses, if any, are included within net realized gain (loss) on foreign currency transactions on the Statements of Operations. Risks may arise upon entering into spot contracts from unanticipated movements in the value of a foreign currency relative to the U.S. dollar in a short period of time. The Funds bear the market risk from changes in foreign currency exchange rates.

 

(f)      Master Limited Partnerships

 

The International Fund invests in Master Limited Partnerships (“MLPs”). The benefits derived from the Fund’s investments in MLPs are largely dependent on the MLPs being treated as partnerships for federal income tax purposes. If any of the MLPs held by the Fund were treated as corporations for U.S. federal income tax purposes, the after-tax return to the Fund with respect to its investments in such MLPs would be materially reduced, causing a decline in the value of the common stock. The Fund must include its allocable share of an MLP’s taxable income in its reportable taxable income, whether or not it receives a distribution in cash from the MLP. In such case, the Fund may have to liquidate securities to make required distributions to shareholders.

 

(g)     Delayed Delivery Transactions and When-Issued Securities

 

Certain Funds may engage in securities transactions on a when-issued or delayed-delivery basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations. When delayed-delivery purchases are outstanding, a Fund will segregate liquid assets on its records in amounts sufficient to meet 

 

  12(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Notes to Financial Statements (unaudited)

June 30, 2018

 

the purchase price. A Fund may dispose of or renegotiate a delayed-delivery transaction, which may result in a capital gain or loss.

 

(h)     Short-Term Investments

 

The Core Equity, Small Companies, Tax-Exempt Bond, and International Funds currently invest in the U.S. Government Select Portfolio, a money market portfolio of Northern Institutional Funds, an investment company advised by Northern Trust Investments, Inc. The U.S. Government Select Portfolio primarily invests in securities issued by the U.S. government, government agencies, and government-sponsored enterprises.

 

(i)      Recoverable Taxes

 

The balances disclosed as foreign tax reclaim receivable, if any, represent net amounts withheld by foreign governments on dividend income earned in the respective countries subject to reclamation. All reclaims are paid directly to the applicable Funds.

 

(j)      Federal Taxes

 

The Trust’s policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies. On a calendar-year basis, the Funds intend to distribute substantially all of their net investment income and net realized gains, if any, to avoid the payment of federal income and excise taxes. Therefore, no income tax provision is required. Each Fund is treated as a separate entity for federal income tax purposes.

 

Management has analyzed the Funds’ tax positions taken on federal tax returns for all open tax years and has concluded that as of December 31, 2017, no provision for income tax would be required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for the 2014, 2015, 2016 and 2017 tax years for which the applicable statutes of limitations have not expired remain subject to examination by the Internal Revenue Service and state departments of revenue. Net investment income and net realized gain (loss) for the Funds may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains, if any, may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gain (loss) were recorded by the Funds. The Trust has analyzed the Funds’ tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Further, the Trust is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve 

 

  13(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

months. The tax character of distributions by the Funds during the years ended December 31, 2017 and 2016 was as follows: 

 

   Tax-Exempt   Ordinary Income* 
   2017   2016   2017   2016 
Core Equity Fund  $-   $-   $7,688,471   $5,855,360 
Small Companies Fund   -    -    8,674,016    848,536 
Tax-Exempt Bond Fund   24,359,964    21,330,974    1,189,281    97,304 
International Fund   -    -    10,724,142    9,674,768 

  

   Long-Term Capital Gains**                 
   2017   2016                 
Core Equity Fund  $26,497,925   $18,781,172                 
Small Companies Fund   49,069,167    12,075,262                 
Tax-Exempt Bond Fund   2,113,229    1,167,286                 
International Fund   7,930,041    12,673                 

 

* In addition to the ordinary income distributions, during 2017 the following Funds utilized equalization accounting for tax purposes whereby a portion of redemption payments were treated as distributions of ordinary income in the following amounts:

 

Core Equity Fund  $43,242              
Small Companies Fund   928,098                   
International Fund   60,990                   

 

** In addition to the long-term capital gain distributions, during 2017 the following Funds utilized equalization accounting for tax purposes whereby a portion of redemption payments were treated as distributions of long-term capital gains in the following amounts:

 

Core Equity Fund  $1,370,009              
Small Companies Fund   1,244,470                   
International Fund   604,615                   

  

 14(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018

 

As of June 30, 2018, the components of distributable earnings on a tax basis were as follows:

 

   Core Equity Fund   Small Companies Fund   Tax-Exempt Bond Fund   International Fund 
Undistributed ordinary income  $4,071,687   $9,365,099   $1,778,980   $9,271,316 
Undistributed tax-exempt income   -    -    448,495    - 
Undistributed capital gain   19,664,964    10,434,797    2,528,754    13,063,761 
Accumulated capital losses and other   -    -    (124,321)   - 
Unrealized appreciation   260,800,230    47,418,008    20,471,339    170,252,043 
Total  $284,536,881   $67,217,904   $25,103,247   $192,587,120 

 

Distributions to shareholders from net investment income and net realized gain are determined in accordance with federal income tax regulations, which may differ from such amounts recorded in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) for financial reporting purposes. Accordingly, the Funds may make reclassifications among certain of their capital accounts in order to reflect the tax treatment for certain permanent differences that exist between federal income tax regulations and U.S. GAAP. These reclassifications are reported in order to reflect the tax treatment for certain permanent differences that exist between income tax regulations and U.S. GAAP. These reclassifications may relate to net operating losses, Section 988 currency gains and losses, Passive Foreign Investment Companies (“PFICs”) gains and losses, recharacterization of dividends from investments in Real Estate Investment Trusts (“REITs”) and Partnerships gains and losses. At December 31, 2017, the Funds utilized equalization accounting whereby a portion of redemption payments were treated as distributions. These reclassifications have no impact on the total net assets or the NAV per share of the Funds. At June 30, 2018, reclassifications have been recorded among the following capital accounts on the Statements of Assets and Liabilities:

 

   Core Equity Fund   Small Companies Fund   Tax-Exempt Bond Fund   International Fund 
Undistributed (overdistributed) net investment income  $-   $15,513   $10,110   $(244,482)
Accumulated net realized gain (loss)   (25,989,208)   (15,513)   (10,110)   244,482 
Additonal paid-in capital   25,989,208    -    -    - 

 

(k)Distributions to Shareholders

 

Distributions to shareholders from net investment income, if any, are declared annually for the Core Equity, Small Companies, and International Funds and declared daily, payable monthly, for the Tax-Exempt Bond Fund. Distributions to shareholders from net realized gains, if any, are declared annually for all Funds. Distributions are paid in cash or reinvested in additional shares at the direction of the shareholders. During the year ended December 31, 2017, the Core Equity, Small Companies and International Funds utilized equalization accounting with respect to distributions to shareholders, in order to keep remaining shareholders’ interest in undistributed income from being affected.

 

 15(Continued)

  

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018

 

(l)Use of Estimates

 

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the period. Actual results could differ from those estimates.

 

(m)Indemnification

 

Under each Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to each Fund. In addition, certain of each Fund’s contracts with its service providers contain general indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against each Fund cannot be determined and each Fund has no historical basis for predicting the likelihood of any such claims. The Funds believe that the likelihood of any such claims is remote.

 

(3)Fair Value Measurements

 

Fair value is an estimate of the price the Funds would receive upon selling a security in a timely transaction to an independent buyer in the principal or most advantageous market for the security. This guidance establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments, as described in Note 2(a). These inputs are summarized in the three broad levels listed below.

 

Level 1 – Unadjusted quoted market prices in active markets for identical securities on the measurement date.

 

Level 2 – Other significant observable inputs including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc. or quoted prices for identical or similar assets in markets that are not active. Inputs that are derived principally from or corroborated by observable market data are also considered Level 2 measurement. An adjustment to any observable input that is significant to the fair value may render the measurement a Level 3 measurement.

 

Level 3 – Valuations based on unobservable inputs, which may include the Adviser’s own assumptions in determining the fair value of an investment.

 

 16(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following is a summary of the inputs used in valuing each Fund’s investments and other financial instruments, if any, which are carried at fair value, as of June 30, 2018.

 

 

   Core Equity Fund (a)
   Level 1   Level 2   Level 3   Total
Common Stocks  $516,544,181   $-   $-   $516,544,181
Short-Term Investments   3,369,903    -    -    3,369,903
Total  $519,914,084   $-   $-   $519,914,084

 

(a) For the Core Equity Fund, the investment value is comprised of equity securities, rights and short-term investments. See the Fund’s Schedule of Investments for industry classification. Investments in equity and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Investments in rights generally are determined by taking into account the terms of the rights as well as the value of the underlying equity securities, which are determined by the valuation methodology described above. Two rights were deemed Level 3 classifications, as their trading was suspended pending corporate actions and these rights were valued at period end using internally determined prices.

 

The Core Equity Fund records all transfers between levels based on valuations at the end of each reporting period. At June 30, 2018, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2017.

 

   Small Companies Fund (b)
   Level 1   Level 2   Level 3   Total
Common Stocks  $364,672,481   $-  $-   $ 364,672,481
Convertible Bonds   -    128,342    -    128,342
Convertible Preferred Stock   422,648    -    -    422,648
Preferred Stocks   3,108,272    -    -    3,108,272
Warrants   -    -    -*   -
Short-Term Investments   8,525,125    -    -    8,525,125
Total  $376,728,526   $128,342   $-   $376,856,868

 

* Security has been deemed worthless and is a Level 3 investment.

 

(b) For the Small Companies Fund, the investment value is comprised of equity securities, convertible bonds, warrants and short-term investments. See the Fund’s Schedule of Investments for industry classification. Investments in equity and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. At June 30, 2018, one security was deemed worthless, resulting in Level 3 classification.

 

There were no significant Level 3 valuations at June 30, 2018.

 

 17(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018

 

The Small Companies Fund records all transfers between levels based on valuations at the end of each reporting period. At June 30, 2018, there was one equity security transfer from Level 2 to Level 1 classification based on levels assigned to the securities on December 31, 2017. The common stock was transferred from Level 2 to Level 1 based on prices derived from listed last price for the current reporting period. No other transfers between levels occurred during the reporting period.

 

   Tax-Exempt Bond Fund (c)  
   Level 1   Level 2   Level 3   Total 
Closed-End Funds  $25,094,929   $-   $-   $25,094,929 
Municipal Bonds                    
Airports   -    2,772,155    -    2,772,155 
Bond Banks   -    511,425    -    511,425 
Development   -    37,610,635    -    37,610,635 
Education   -    38,175,978    -    38,175,978 
Facilities   -    2,942,067    -    2,942,067 
General   -    47,527,337    -    47,527,337 
General Obligations   -    21,631,527    -    21,631,527 
Higher Education   -    18,534,613    -    18,534,613 
Housing   -    25,507,920    -    25,507,920 
Medical   -    31,488,338    -    31,488,338 
Mello-Roos   -    666,984    -    666,984 
Multifamily Housing   -    47,808,437    -    47,808,437 
Nursing Home   -    70,413,313    -    70,413,313 
Power   -    3,726,038    -    3,726,038 
School District   -    32,844,530    -    32,844,530 
Single Family Housing   -    97,594,873    -    97,594,873 
Student Loan   -    1,379,586    -    1,379,586 
Tobacco Settlement   -    1,413,758    -    1,413,758 
Transportation   -    7,183,158    -    7,183,158 
Utilities   -    397,262    -    397,262 
Water   -    5,657,486    -    5,657,486 
Short-Term Investments   14,811,297    -    -    14,811,297 
Total  $39,906,226   $495,787,420   $-   $535,693,646 

 

(c) For the Tax-Exempt Bond Fund, the investment value is comprised of closed-end funds, municipal bonds, and short-term investments. Investments in closed-end funds and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Investments in municipal bonds generally are based on valuations using adjusted evaluated prices provided by the primary pricing provider. The Board of Trustees has delegated to the Valuation Committee the responsibility to determine in good faith the fair value of securities for which no price quotation is available from an approved pricing service or broker-dealer at the time the Tax-Exempt Bond Fund’s NAV is calculated, including securities for which the prices do not represent fair value or for which a significant event occurs that materially affects the value

 

 18(Continued)

  

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018

 

of the security after the close of the market on which the security principally trades and before the time the Tax-Exempt Bond Fund’s NAV is calculated. 

 

Tax-Exempt Bond Fund                
Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Liabilities                
Futures Contracts  $(792,669)  $-   $-   $(792,669)
Net Other Financial Instruments  $(792,669)  $-   $-   $(792,669)

 

The futures contracts outstanding at June 30, 2018 are considered Level 1 investments due to the contracts being marked-to-market daily at the applicable exchange rates that have been adjusted from the initial quoted rate. Futures contracts are shown on a gross basis in the above table and on the Statements of Operations.

 

The Tax-Exempt Bond Fund, records all transfers between levels based on valuations at the end of each reporting period. At June 30, 2018, for the Tax-Exempt Bond Fund, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2017.

 

   International Fund (d) 
   Level 1   Level 2   Level 3   Total 
Common Stocks                    
Thailand  $-   $708,935   $-   $708,935 
All other countries   572,417,887    -    -    572,417,887 
Preferred Stocks   4,385,351    -    -    4,385,351 
Rights   29,023    -    -    29,023 
Investment Companies   2,302,558    -    -    2,302,558 
Short-Term Investments   23,158,196    -    -    23,158,196 
Total  $602,293,015   $708,935   $-   $603,001,950 

 

(d) For the International Fund, the investment value is comprised of equity securities, rights, investment companies and short-term investments. See the Fund’s Schedule of Investments for additional information on industry sector and currency concentration information. Investments in equity and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are

 

 19(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

traded. Shares of open end investment companies are valued at their daily net asset value. One inactively traded Thailand based security was valued based on the prices of similar securities resulting in Level 2 classifications.

 

International Fund                
Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Assets                
Forward foreign currency exchange contracts  $-   $152,273   $-   $152,273 
Liabilities                    
Forward foreign currency exchange contracts   -    (2,016)   -    (2,016)
Net Other Financial Instruments  $-   $150,257   $-   $150,257 

 

The forward foreign currency exchange contracts outstanding at June 30, 2018 are considered Level 2 investments due to the contracts being marked-to-market daily at the applicable exchange rates that have been adjusted from the initial quoted rate. Forward foreign currency exchange contracts are shown on a gross basis in the above table and on the Statements of Assets and Liabilities.

 

The International Fund records all transfers between levels based on valuations at the end of each reporting period. At June 30, 2018, for the International Fund, there were no transfers between Level 1, Level 2 or Level 3 classifications based on levels assigned to the securities on December 31, 2017.

 

(4) Investment Security Transactions

 

The cost of purchases and proceeds from sales of securities (excluding short-term securities) for the period ended June 30, 2018, were as follows:

 

    Purchases   Sales 
Core Equity Fund   $71,519,393   $100,548,678 
Small Companies Fund    103,818,624    107,995,343 
Tax-Exempt Bond Fund    44,128,733    23,459,201 
International Fund    65,310,084    60,737,829 

 

The difference between book basis and tax basis net unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, deferral of post-October currency and capital losses for tax purposes, and the recharacterization of income recognition on investments in PFICs.

 

 20(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

At June 30, 2018, for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, net unrealized appreciation (depreciation) on investments (including the effects of foreign currency translation and derivative instruments, if any) and the cost basis of investments (including derivative instruments, if any) were as follows:

 

Funds   Unrealized Appreciation   Unrealized Depreciation   Net Appreciation (Depreciation)   Cost Basis of Investments 
Core Equity Fund   $264,527,788   $(3,727,560)  $260,800,228   $259,113,856 
Small Companies Fund    57,530,594    (10,112,586)   47,418,008    329,438,860 
Tax-Exempt Bond Fund    26,405,512    (5,890,875)   20,514,637    515,179,010 
International Fund    183,452,488    (13,022,476)   170,430,012    432,571,938 

 

(5)Capital Share Transactions

 

Transactions in capital shares for the six months ended June 30, 2018 and the fiscal year ended December 31, 2017 were as follows: 

 

   Core Equity Fund   Small Companies Fund 
   2018   2017   2018   2017 
Sold   701,194    413,847    105,368    203,833 
Issued for reinvestment of distributions   -    800,157    -    3,111,163 
Redeemed   (1,429,748)   (1,216,957)   (667,260)   (1,127,622)
Net Increase (decrease)   (728,554)   (2,953)   (561,892)   2,187,374 

 

   Tax-Exempt Bond Fund   International Fund 
   2018   2017   2018   2017 
Sold   1,850,680    2,493,171    170,812    805,478 
Issued for reinvestment of distributions   1,162,900    2,737,332    -    1,105,107 
Redeemed   (916,609)   (2,655,913)   (528,755)   (1,900,836)
Net Increase (decrease)   2,096,971    2,574,590    (357,943)   9,749 

 

(6)Capital Loss Carryforward

 

For the period subsequent to October 31, 2017 through the fiscal year ended December 31, 2017, the International Fund incurred capital losses and/or late year losses in the amount of $8,557 which the Fund intends to treat as having been incurred in the following fiscal year.

 

At June 30, 2018, the Funds had no short-term or long-term capital loss carryforwards available to offset future net capital gains. During the fiscal year ended December 31, 2017, the International Fund utilized $23,948,482 in capital losses.

 

 21(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

(7) Expenses and Related-Party Transactions

 

The Trust has a contract for investment advisory services with the Adviser. Under terms of separate agreements, Core Equity Fund, Small Companies Fund, Tax-Exempt Bond Fund and International Fund each pay an investment advisory fee equal to a percentage of each Fund’s average daily net assets. The Adviser is responsible for the payment or reimbursement of all the Funds’ expenses, except brokerage, taxes, interest, and extraordinary expenses. The Adviser has periodically modified its management fee for each of the Funds through voluntary waivers. For the period ending June 30, 2018, management fees and voluntary waivers were as follows:

 

  Management Fees and Voluntary Waivers
  Management Fee %   Voluntary Waiver %   Net Fee Actually Paid %
Core Equity Fund 0.90   0.52*   0.38
Small Companies Fund 1.35   0.32*   1.03
Tax-Exempt Bond Fund 0.60      0.26**   0.34
International Fund 1.00   0.32*   0.68

 

* Effective September 22, 2017.

 

** Effective March 16, 2015.

 

The Adviser currently intends to continue these voluntary waivers indefinitely. However, the Adviser may terminate these voluntary arrangements at any time.

 

In addition to fees and expenses which the Funds bear directly, the Funds indirectly bear a pro rata share of the fees and expenses of any acquired funds in which they invest, such as short-term investments in mutual funds or other investment companies and investments in closed-end funds. Such indirect expenses are not included in any of the reported expense ratios.

 

The Adviser has entered into subadvisory contracts with independent investment advisory firms for each Fund to provide daily investment management services. The subadvisory fees are based on each subadviser’s proportional net assets it currently manages within each Fund and are paid directly by the Adviser. For each subadviser, the fee schedule is detailed according to the following schedule:

 

The subadvisory fee for the Core Equity Fund, payable to Parametric, OSAM and AQR is equal to an annual rate of 0.15%, 0.35% and 0.35% of the portions of net assets managed, respectively.

 

The subadvisory fee for the Small Companies Fund, payable to Pzena for its portion of net assets managed is 1%.

 

 22(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

The subadvisory fee for the Small Companies Fund, payable to KCM and Cooke & Bieler for each of their respective portions of net assets managed is based on the following annual rates:

 

    KCM
Up to and including $50 Million   0.85%  
Over $50 Million   0.80%  

 

    Cooke & Bieler
First $15 million     1.00%  
Next $20 million     0.765%  
Next $25 million     0.7225%  
All assets in excess of $60 million     0.68%  

 

The subadvisory fee for the Tax-Exempt Bond Fund, payable to Sit for Sit’s portion of net assets managed is based on the following annual rates:

 

  Sit      

Up to and including $20 Million 

 0.40%

 
Next $30 Million 0.30%  
Next $25 Million 0.25%  
Next $175 Million 0.20%  
Over $250 Million 0.18%  

 

The subadvisory fee for the International Fund, payable to Parametric and WCM, is equal to an annual rate of 0.15% and 0.80% of the portions of net assets managed, respectively.

 

 23(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

The subadvisory fee for the International Fund, payable to Artisan Partners and Templeton for each of their respective portions of net assets managed is based on the following annual rates: 

 

  Artisan Partners
First $50 Million 0.80%
Next $50 Million 0.60%
All assets in excess of $100 Million 0.50%

 

  Templeton
First $25 Million 0.95%
Next $25 Million 0.85%
Next $50 Million 0.75%
Next $150 Million 0.65%
Next $250 Million 0.55%
Over $500 Million 0.50%

 

 

The Adviser has also engaged FCI as a subadviser for each Fund. FCI regularly provides the Funds with various investment-related services, including investment strategy advice, manager recommendations and related duties as requested by the Adviser. FCI also provides certain services related to due diligence, performance reporting, compliance, and other administrative functions, which support the investment management services and subadviser oversight services provided to the Trust by the Adviser. For its services, FCI is compensated with a subadvisory fee payable by the Adviser of 0.20% of each Fund’s average daily net assets, paid on a quarterly basis. FCI is compensated out of the investment advisory fees the Adviser receives from the respective Funds. FCI has agreed to waive the difference between the amount calculated under the subadvisory fee schedule and an amount determined by multiplying the total number of hours worked by FCI in providing services under the subadvisory agreement by an hourly rate that is approved by the Adviser.

 

(8) Derivative Instruments

 

Information concerning the types of derivatives in which the Tax-Exempt Bond Fund and International Fund invest, the objectives for using them and their related risks can be found in Note 2 (c) and (d). Below are the types of derivatives held in the Tax-Exempt Bond Fund and International Fund by location as presented in the Statements of Assets and Liabilities as of June 30, 2018, with additional detail on the net amounts impacting the Statements of

 

 24(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

Assets and Liabilities. The futures contracts and forward foreign currency exchange contracts presented below are not subject to master netting agreements or other similar agreements.

  

ASSETS  LIABILITIES
Name of Fund  Derivative Type  Statements of Assets and Liabilities Location  Value  Statements of Assets and Liabilities Location  Value   Counterparty
Tax-Exempt Bond Fund  Futures contracts  Net unrealized appreciation on futures contracts   $-  Net unrealized depreciation on futures contracts   $792,669*  Northern Trust
International Fund  Forward foreign currency exchange contracts  Unrealized appreciation on forward foreign currency exchange contracts  $152,273  Unrealized depreciation on forward foreign currency exchange contracts  $2,016   Northern Trust

 

* Represents cumulative appreciation/depreciation on futures contracts as in the Schedules of Investments. Only the variation margin receivable/payable is reported within the Statement of Assets and Liabilities for futures contracts.

 

The following tables set forth by primary risk exposure the Tax-Exempt Bond Fund’s and International Fund’s net realized gain (loss) and net increase (decrease) in appreciation/depreciation on futures contracts and forward foreign currency exchange contracts for the six months ended June 30, 2018:

 

Name of Fund   Derivative Type  Statements of Operations Location  Value   Name of Fund  Derivative Type  Statements of Operations Locations  Value 
Tax-Exempt Bond Fund   Futures contracts  Net realized gain (loss) on futures contracts  $5,124,663   Tax-Exempt Bond Fund   Futures contracts  Net increase (decrease) in unrealized appreciation/ depreciation on futures contracts  $(1,188,543)
International Fund   Forward foreign currency exchange contracts  Net realized gain (loss) on forward foreign currency exchange contracts  $(305,182)  International Fund  Forward foreign currency exchange contracts  Net increase (decrease) in unrealized appreciation/depreciation on forward foreign currency exchange contracts  $173,908 

 

 25(Continued)

 

CLEARWATER INVESTMENT TRUST

Notes to Financial Statements (unaudited)

June 30, 2018 

 

Derivative transactions are measured in terms of the notional amount. The following table presents, for the Tax-Exempt Bond Fund and International Fund, the number of transactions and weighted average notional amounts of forward foreign currency exchange contracts, which is indicative of the volume of derivative activity, for the six months ended June 30, 2018.

 

Tax-Exempt Bond Fund 
Futures Contracts 

Number of

Transactions

    

Weighted

Average Notional

Amount

 
3,151   $138,617,781 

 

International Fund 
Forward Foreign Currency  
Exchange Contracts 

Number of

Transactions

    

Weighted

Average Notional

Amount

 
8   $4,760,442 

 

(9) Short-term Financing

 

ReFlow Fund, LLC (“ReFlow”) provides each Fund with a potential source of cash to meet net shareholder redemptions through share purchase for a fee. The Fund then generally redeems those shares when it experiences net sales. The shares may be redeemed in-kind in accordance with the Fund’s redemption in-kind policies. The Fund is generally required to redeem the shares purchased by ReFlow within 30 days (15 days if redeemed in-kind). As such, the proceeds received from ReFlow’s purchase of fund shares is treated as a liability on the statement of assets and liabilities. The fee paid on outstanding shares owned by ReFlow is based on an auction starting at a minimum bid of 0.20% and is paid by the Adviser under the unified advisory fee agreement. During the period ended June 30, 2018, the Fund below utilized the ReFlow arrangement. The average rate paid to ReFlow by the Adviser was 0.20%.

 

    Average Amount Oustanding for Days in Use 
Core Equity Fund   $589,929 

 

 26(Continued)

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares  Security  Cost    Fair value (a)    Percent of
net assets
 
Common Stocks:               
  Consumer Discretionary:             
 1,500   ADVANCE AUTO PARTS, INC.  $53,558    203,550      
 6,224   AMAZON.COM, INC.(b)   1,847,202    10,579,555      
 1,600   AMC NETWORKS, INC., CLASS A(b)   25,785    99,520      
 1,100   AUTOLIV, INC.(c)   19,410    157,542      
 300   AUTOZONE, INC.(b)   19,223    201,279      
 59,592   BEST BUY CO., INC.   2,196,167    4,444,371      
 1,400   BIG LOTS, INC.   15,477    58,492      
 1,048   BOOKING HOLDINGS, INC.(b)   805,444    2,124,390      
 4,400   BORGWARNER, INC.   51,799    189,904      
 750   BRINKER INTERNATIONAL, INC.   10,084    35,700      
 631   BURLINGTON STORES, INC.(b)   52,729    94,984      
 300   CABLE ONE, INC.   113,966    219,987      
 4,168   CARMAX, INC.(b)   50,984    303,722      
 1,377   CARTER’S, INC.   119,865    149,253      
 4,161   CBS CORP., CLASS B (NON VOTING)   27,109    233,931      
 3,229   CHARTER COMMUNICATIONS, INC., CLASS A(b)   121,025    946,775      
 100   CLEAR CHANNEL OUTDOOR HOLDINGS, INC., CLASS A   94    430      
 57,818   COMCAST CORP., CLASS A   633,587    1,897,009      
 4,600   D.R. HORTON, INC.   22,057    188,600      
 1,826   DARDEN RESTAURANTS, INC.   79,573    195,492      
 1,500   DICK’S SPORTING GOODS, INC.   24,803    52,875      
 3,089   DOLLAR GENERAL CORP.   207,226    304,575      
 6,724   DOLLAR TREE, INC.(b)   63,447    571,540      
 900   DOMINO’S PIZZA, INC.   90,041    253,953      
 2,737   ENTERCOM COMMUNICATIONS CORP., CLASS A   2,989    20,664      
 2,955   EXPEDIA GROUP, INC.   207,889    355,162      
 700   FLOOR & DECOR HOLDINGS, INC., CLASS A(b)   30,751    34,531      
 3,000   FOOT LOCKER, INC.   40,394    157,950      
 38,163   FORD MOTOR CO.   164,117    422,464      
 3,600   GAMESTOP CORP., CLASS A   14,505    52,452      
 1,833   GAP (THE), INC.   42,086    59,371      
 7,229   GARMIN LTD.(c)   282,862    440,969      
 683   GCI LIBERTY, INC., CLASS A(b)   5,882    30,790      
 4,533   GENERAL MOTORS CO.   146,247    178,600      
 15,000   GENTEX CORP.   106,860    345,300      
 3,450   GENUINE PARTS CO.   102,424    316,676      
 1,200   H&R BLOCK, INC.   32,279    27,336      
 4,700   HANESBRANDS, INC.   67,354    103,494      
 6,750   HARLEY-DAVIDSON, INC.   39,547    284,040      
 400   HASBRO, INC.   10,206    36,924      
 800   HILTON GRAND VACATIONS, INC.(b)   34,176    27,760      
 14,367   HOME DEPOT (THE), INC.   1,509,348    2,803,002      
 305   ILG, INC.   1,053    10,074      
 1,700   INTERNATIONAL GAME TECHNOLOGY PLC   45,829    39,508      
 30,359   INTERPUBLIC GROUP OF (THE) COS., INC.   390,610    711,615      
 24,237   KOHL’S CORP.   969,230    1,766,877      
 6,190   L BRANDS, INC.   70,745    228,287      
 9,064   LAS VEGAS SANDS CORP.   482,133    692,127      
 11,703   LEAR CORP.   1,300,542    2,174,535      
 2,900   LENNAR CORP., CLASS A   37,613    152,250      
 58   LENNAR CORP., CLASS B   652    2,476      
 1,600   LIBERTY BROADBAND CORP., CLASS C(b)   135,837    121,152      
 14,010   LIBERTY EXPEDIA HOLDINGS, INC., CLASS A(b)   503,609    615,599      
 5,832   LIBERTY GLOBAL PLC, CLASS A(b)(c)   42,377    160,613      
 7,374   LIBERTY GLOBAL PLC, CLASS C(b)(c)   51,974    196,222      
 1,000   LIBERTY MEDIA CORP.-LIBERTY FORMULA ONE, CLASS A(b)   33,470    35,310      
 2,300   LIBERTY MEDIA CORP.-LIBERTY FORMULA ONE, CLASS C(b)   80,654    85,399      
 980   LIBERTY TRIPADVISOR HOLDINGS, INC., CLASS A(b)   1,653    15,778      
 1,200   LKQ CORP.(b)   14,970    38,280      
 2,700   LOWE’S COS., INC.   277,417    258,039      
 1,300   LULULEMON ATHLETICA, INC.(b)(c)   99,526    162,305      
 13,830   MACY’S, INC.   347,574    517,657      
 16,832   MARRIOTT INTERNATIONAL, INC., CLASS A   1,935,570    2,130,931      
 244   MARRIOTT VACATIONS WORLDWIDE CORP.   3,057    27,562      
 5,000   MATTEL, INC.   80,253    82,100      

 

See accompanying notes to financial statements.27(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Consumer Discretionary (Cont’d):             
 10,620   MCDONALD’S CORP.  $433,348    1,664,048      
 6,600   MGM RESORTS INTERNATIONAL   54,921    191,598      
 500   MICHAEL KORS HOLDINGS LTD.(b)(c)   30,710    33,300      
 600   MOHAWK INDUSTRIES, INC.(b)   26,796    128,562      
 600   MURPHY USA, INC.(b)   4,392    44,574      
 1,800   NETFLIX, INC.(b)   15,943    704,574      
 4,915   NEWELL BRANDS, INC.   52,223    126,758      
 2,375   NEWS CORP., CLASS A   7,170    36,813      
 17,800   NIKE, INC., CLASS B   268,854    1,418,304      
 4,300   NORDSTROM, INC.   45,233    222,654      
 600   NORWEGIAN CRUISE LINE HOLDINGS LTD.(b)   31,692    28,350      
 400   NVR, INC.(b)   944,289    1,188,140      
 19,659   OMNICOM GROUP, INC.   1,360,994    1,499,392      
 900   O’REILLY AUTOMOTIVE, INC.(b)   27,059    246,213      
 400   POLARIS INDUSTRIES, INC.   50,284    48,872      
 370   POOL CORP.   34,226    56,055      
 34,679   PULTEGROUP, INC.   698,016    997,021      
 2,464   PVH CORP.   205,689    368,910      
 61,463   QURATE RETAIL, INC.(b)   1,311,807    1,304,245      
 3,568   RALPH LAUREN CORP.   252,964    448,569      
 12,800   ROSS STORES, INC.   207,188    1,084,800      
 3,870   ROYAL CARIBBEAN CRUISES LTD.   82,045    400,932      
 500   SIX FLAGS ENTERTAINMENT CORP.   33,760    35,025      
 1,600   SKECHERS U.S.A., INC., CLASS A(b)   59,085    48,016      
 28,500   STARBUCKS CORP.   182,045    1,392,225      
 5,000   TAPESTRY, INC.   19,161    233,550      
 10,222   TARGET CORP.   622,756    778,099      
 5,700   TEGNA, INC.   26,227    61,845      
 1,660   TESLA, INC.(b)   292,795    569,297      
 4,136   THOR INDUSTRIES, INC.   148,062    402,805      
 1,400   TIFFANY & CO.   35,210    184,240      
 10,094   TJX (THE) COS., INC.   86,033    960,747      
 1,466   TOPBUILD CORP.(b)   11,809    114,847      
 800   TRIBUNE MEDIA CO., CLASS A   33,560    30,616      
 810   TRIPADVISOR, INC.(b)   13,993    45,125      
 14,107   TWENTY-FIRST CENTURY FOX, INC., CLASS A   220,305    700,977      
 753   ULTA BEAUTY, INC.(b)   117,541    175,795      
 4,100   UNDER ARMOUR, INC., CLASS A(b)   56,370    92,168      
 906   UNDER ARMOUR, INC., CLASS C(b)   10,146    19,099      
 9,578   VF CORP.   281,277    780,799      
 100,199   VIACOM, INC., CLASS B   3,020,665    3,022,002      
 28,667   WALT DISNEY (THE) CO.   647,872    3,004,588      
 500   WAYFAIR, INC., CLASS A(b)   38,095    59,380      
 2,100   WHIRLPOOL CORP.   89,510    307,083      
 1,600   WYNN RESORTS LTD.   32,322    267,744      
 4,416   YUM CHINA HOLDINGS, INC.(c)   9,382    169,839      
 18,457   YUM! BRANDS, INC.   1,026,653    1,443,707      
       29,657,396   66,571,912    12.82%
Consumer Staples:               
 8,800   ALTRIA GROUP, INC.   564,326    499,752      
 36,088   ARCHER-DANIELS-MIDLAND CO.   1,293,792    1,653,913      
 7,290   BROWN-FORMAN CORP., CLASS B   57,343    357,283      
 500   BUNGE LTD.   33,065    34,855      
 8,000   CHURCH & DWIGHT CO., INC.   100,310    425,280      
 57,881   COCA-COLA (THE) CO.   869,464    2,538,661      
 1,380   COLGATE-PALMOLIVE CO.   43,344    89,438      
 17,524   CONAGRA BRANDS, INC.   543,262    626,133      
 7,253   CONSTELLATION BRANDS, INC., CLASS A   671,569    1,587,464      
 6,477   COSTCO WHOLESALE CORP.   231,819    1,353,563      
 6,400   COTY, INC., CLASS A   123,575    90,240      
 7,643   DR. PEPPER SNAPPLE GROUP, INC.   254,571    932,446      
 700   ENERGIZER HOLDINGS, INC.   33,278    44,072      
 5,708   ESTEE LAUDER (THE) COS., INC., CLASS A   348,336    814,474      
 29,616   GENERAL MILLS, INC.   1,180,988    1,310,804      
 6,600   HERBALIFE NUTRITION LTD.(b)   45,262    354,552      
 1,642   HERSHEY (THE) CO.   60,568    152,805      
 4,800   HORMEL FOODS CORP.   43,206    178,608      

    

See accompanying notes to financial statements.28(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Consumer Staples (Cont’d):             
 12,962   INGREDION, INC.  $1,225,428    1,434,893      
 1,600   JM SMUCKER (THE) CO.   64,617    171,968      
 1,550   KIMBERLY-CLARK CORP.   69,760    163,277      
 5,579   KRAFT HEINZ (THE) CO.   34,550    350,473      
 67,464   KROGER (THE) CO.   1,218,211    1,919,351      
 633   LAMB WESTON HOLDINGS, INC.   7,452    43,367      
 700   MCCORMICK & CO., INC. (NON VOTING)   21,613    81,263      
 3,456   MOLSON COORS BREWING CO., CLASS B   167,944    235,146      
 15,338   MONDELEZ INTERNATIONAL, INC., CLASS A   125,797    628,858      
 6,654   MONSTER BEVERAGE CORP.(b)   172,029    381,274      
 4,924   NU SKIN ENTERPRISES, INC., CLASS A   174,547    385,008      
 31,957   PEPSICO, INC.   2,666,047    3,479,159      
 25,865   PHILIP MORRIS INTERNATIONAL, INC.   886,888    2,088,340      
 2,305   PILGRIM’S PRIDE CORP.(b)   49,839    46,400      
 6,000   PINNACLE FOODS, INC.   219,854    390,360      
 700   POST HOLDINGS, INC.(b)   43,421    60,214      
 64,765   PROCTER & GAMBLE (THE) CO.   3,189,653    5,055,556      
 26,450   SYSCO CORP.   1,120,141    1,806,270      
 21,977   TYSON FOODS, INC., CLASS A   1,044,801    1,513,116      
 16,150   WALGREENS BOOTS ALLIANCE, INC.   185,200    969,242      
 36,730   WALMART, INC.   2,907,264    3,145,924      
       22,093,134   37,393,802    7.20%
Energy:               
 3,546   ANADARKO PETROLEUM CORP.   67,687    259,744      
 2,479   ANDEAVOR   125,030    325,195      
 30,277   ANTERO RESOURCES CORP.(b)   560,174    646,414      
 762   APERGY CORP.(b)   7,853    31,814      
 1,200   BAKER HUGHES A GE CO.   36,468    39,636      
 32,795   CHEVRON CORP.   1,428,027    4,146,272      
 500   CIMAREX ENERGY CO.   32,151    50,870      
 3,600   CNX RESOURCES CORP.(b)   25,763    64,008      
 1,700   CONCHO RESOURCES, INC.(b)   49,631    235,195      
 29,983   CONOCOPHILLIPS   853,190    2,087,416      
 450   CONSOL ENERGY, INC.(b)   5,125    17,258      
 2,000   CONTINENTAL RESOURCES, INC.(b)   20,765    129,520      
 6,000   DIAMONDBACK ENERGY, INC.   570,297    789,420      
 9,794   ENBRIDGE, INC.(c)   137,797    349,548      
 1,300   ENERGEN CORP.(b)   44,343    94,666      
 600   EOG RESOURCES, INC.   19,976    74,658      
 4,000   EQT CORP.   132,900    220,720      
 42,529   EXXON MOBIL CORP.   1,611,996    3,518,424      
 10,758   HALLIBURTON CO.   164,732    484,755      
 3,100   HELMERICH & PAYNE, INC.   39,003    197,656      
 1,800   HESS CORP.   77,007    120,402      
 13,549   HOLLYFRONTIER CORP.   567,415    927,158      
 7,312   KINDER MORGAN, INC.   64,699    129,203      
 6,100   MARATHON OIL CORP.   92,456    127,246      
 28,217   MARATHON PETROLEUM CORP.   1,751,828    1,979,705      
 3,000   MURPHY OIL CORP.   39,255    101,310      
 5,500   NABORS INDUSTRIES LTD.   30,723    35,255      
 4,722   NATIONAL OILWELL VARCO, INC.   74,438    204,935      
 1,200   NEWFIELD EXPLORATION CO.(b)   27,012    36,300      
 3,800   NOBLE ENERGY, INC.   20,499    134,064      
 6,000   OCCIDENTAL PETROLEUM CORP.   54,261    502,080      
 2,300   OCEANEERING INTERNATIONAL, INC.   43,181    58,558      
 2,000   ONEOK, INC.   27,076    139,660      
 2,600   PATTERSON-UTI ENERGY, INC.   53,630    46,800      
 30,963   PBF ENERGY, INC., CLASS A   1,045,190    1,298,279      
 12,072   PHILLIPS 66   144,087    1,355,806      
 3,930   PIONEER NATURAL RESOURCES CO.   165,650    743,713      
 15,236   SCHLUMBERGER LTD.   336,122    1,021,269      
 1,600   SM ENERGY CO.   31,501    41,104      
 1,000   TARGA RESOURCES CORP.   22,120    49,490      
 4,900   TRANSOCEAN LTD.(b)(c)   46,629    65,856      
 60,636   VALERO ENERGY CORP.   3,544,266    6,720,288      
 1,400   WHITING PETROLEUM CORP.(b)   31,358    73,808      

 

See accompanying notes to financial statements.29(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Energy (Cont’d):        
 5,200   WPX ENERGY, INC.(b)  $50,544    93,756      
       14,273,855   29,769,234    5.73%
Financials:               
 600   AFFILIATED MANAGERS GROUP, INC.   35,024    89,202      
 51,432   AFLAC, INC.   1,855,928    2,212,605      
 500   ALLEGHANY CORP.   140,685    287,485      
 14,374   ALLSTATE (THE) CORP.   729,086    1,311,915      
 19,826   ALLY FINANCIAL, INC.   404,611    520,829      
 8,233   AMERICAN EXPRESS CO.   227,627    806,834      
 4,900   AMERICAN FINANCIAL GROUP, INC.   220,290    525,917      
 6,100   AMERICAN INTERNATIONAL GROUP, INC.   143,498    323,422      
 2,134   AMERICAN NATIONAL INSURANCE CO.   259,877    255,205      
 30,304   AMERIPRISE FINANCIAL, INC.   3,000,681    4,238,923      
 3,021   AON PLC(c)   77,683    414,391      
 27,300   ARCH CAPITAL GROUP LTD.(b)(c)   417,170    722,358      
 2,300   ARTHUR J. GALLAGHER & CO.   80,002    150,144      
 1,700   ASPEN INSURANCE HOLDINGS LTD.(c)   70,107    69,190      
 4,900   ASSURANT, INC.   218,575    507,101      
 14,090   ASSURED GUARANTY LTD.(c)   367,190    503,436      
 739   ATHENE HOLDING LTD., CLASS A(b)   33,966    32,398      
 1,300   AXIS CAPITAL HOLDINGS LTD.(c)   43,361    72,306      
 165,803   BANK OF AMERICA CORP.   2,093,702    4,673,987      
 13,901   BANK OF NEW YORK MELLON (THE) CORP.   390,433    749,681      
 7,900   BB&T CORP.   173,879    398,476      
 28,441   BERKSHIRE HATHAWAY, INC., CLASS B(b)   3,720,534    5,308,513      
 210   BLACKROCK, INC.   113,742    104,798      
 200   BRIGHTHOUSE FINANCIAL, INC.(b)   6,471    8,014      
 620   CANNAE HOLDINGS, INC.(b)   2,893    11,501      
 28,065   CAPITAL ONE FINANCIAL CORP.   1,893,675    2,579,173      
 17,900   CHARLES SCHWAB (THE) CORP.   156,088    914,690      
 6,250   CHUBB LTD.(c)   587,621    793,875      
 47,758   CITIGROUP, INC.   2,666,305    3,195,965      
 2,058   CME GROUP, INC.   219,513    337,347      
 1,281   COMERICA, INC.   86,479    116,469      
 500   CREDIT ACCEPTANCE CORP.(b)   86,421    176,700      
 13,776   DISCOVER FINANCIAL SERVICES   358,994    969,968      
 10,182   E*TRADE FINANCIAL CORP.(b)   276,402    622,731      
 469   FAIRFAX FINANCIAL HOLDINGS LTD.(c)   86,576    262,903      
 142,697   FIFTH THIRD BANCORP   4,051,221    4,095,404      
 400   FIRST CITIZENS BANCSHARES, INC., CLASS A   57,523    161,320      
 30,500   FIRST HORIZON NATIONAL CORP.   193,065    544,120      
 21,413   FNF GROUP   775,160    805,557      
 7,500   FRANKLIN RESOURCES, INC.   151,437    240,375      
 9,248   GOLDMAN SACHS GROUP (THE), INC.   883,616    2,039,831      
 3,000   HANOVER INSURANCE GROUP (THE), INC.   215,948    358,680      
 3,700   HARTFORD FINANCIAL SERVICES GROUP (THE), INC.   62,227    189,181      
 43,648   HUNTINGTON BANCSHARES, INC.   258,761    644,244      
 505   INTERCONTINENTAL EXCHANGE, INC.   12,819    37,143      
 2,700   INVESCO LTD.   32,171    71,712      
 15,903   JANUS HENDERSON GROUP PLC(c)   222,792    488,699      
 25,805   JEFFERIES FINANCIAL GROUP, INC.   650,645    586,806      
 94,458   JPMORGAN CHASE & CO.   4,654,002    9,842,524      
 7,735   KEYCORP   53,455    151,142      
 3,752   LEGG MASON, INC.   52,584    130,307      
 1,100   LINCOLN NATIONAL CORP.   22,715    68,475      
 1,300   LOEWS CORP.   10,310    62,764      
 200   MARKEL CORP.(b)   67,789    216,870      
 5,684   MARSH & MCLENNAN COS., INC.   240,120    465,917      
 1,300   MERCURY GENERAL CORP.   38,018    59,228      
 2,200   METLIFE, INC.   52,967    95,920      
 2,200   MOODY’S CORP.   77,502    375,232      
 32,796   MORGAN STANLEY   929,518    1,554,530      
 3,900   MSCI, INC.   124,722    645,177      
 5,900   NASDAQ, INC.   240,309    538,493      
 5,300   NAVIENT CORP.   28,833    69,059      
 4,539   PACWEST BANCORP   65,912    224,317      
 10,514   PNC FINANCIAL SERVICES GROUP (THE), INC.   508,110    1,420,441      

 

See accompanying notes to financial statements.30(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Financials (Cont’d):             
 1,600   POPULAR, INC.  $33,280    72,336      
 5,628   PRINCIPAL FINANCIAL GROUP, INC.   175,248    298,003      
 900   PROASSURANCE CORP.   47,676    31,905      
 20,386   PROGRESSIVE (THE) CORP.   496,849    1,205,832      
 9,013   PRUDENTIAL FINANCIAL, INC.   304,801    842,806      
 4,745   RAYMOND JAMES FINANCIAL, INC.   405,021    423,966      
 57,111   REGIONS FINANCIAL CORP.   885,554    1,015,434      
 6,314   REINSURANCE GROUP OF AMERICA, INC.   744,579    842,793      
 3,355   RENAISSANCERE HOLDINGS LTD.(c)   403,064    403,674      
 3,151   ROYAL BANK OF CANADA(c)   75,538    237,270      
 2,535   S&P GLOBAL, INC.   62,263    516,861      
 7,500   SEI INVESTMENTS CO.   108,537    468,900      
 10,100   SLM CORP.(b)   36,679    115,645      
 1,313   STATE STREET CORP.   105,277    122,227      
 11,022   SUNTRUST BANKS, INC.   381,251    727,672      
 4,737   SYNCHRONY FINANCIAL   128,601    158,121      
 4,704   SYNOVUS FINANCIAL CORP.   83,310    248,512      
 3,549   T. ROWE PRICE GROUP, INC.   106,978    412,003      
 5,800   TCF FINANCIAL CORP.   51,852    142,796      
 2,600   TFS FINANCIAL CORP.   25,038    41,002      
 2,468   TORCHMARK CORP.   145,321    200,920      
 6,468   TRAVELERS (THE) COS., INC.   490,381    791,295      
 3,225   UNUM GROUP   105,603    119,293      
 18,335   US BANCORP   353,553    917,117      
 1,300   VALIDUS HOLDINGS LTD.(c)   32,791    87,880      
 18,701   VOYA FINANCIAL, INC.   955,187    878,947      
 6,106   W.R. BERKLEY CORP.   273,043    442,135      
 1,800   WASHINGTON FEDERAL, INC.   23,535    58,860      
 69,827   WELLS FARGO & CO.   860,628    3,871,209      
 300   WILLIS TOWERS WATSON PLC(c)   46,047    45,480      
 3,100   XL GROUP LTD.(c)   108,861    173,445      
 4,014   ZIONS BANCORPORATION   106,804    211,498      
       44,142,490   76,577,757   14.74%
Health Care:               
 12,487   ABBOTT LABORATORIES   246,035    761,582      
 12,935   ABBVIE, INC.   238,839    1,198,428      
 1,500   ACADIA PHARMACEUTICALS, INC.(b)   43,250    22,905      
 1,360   AETNA, INC.   129,860    249,560      
 4,120   AGILENT TECHNOLOGIES, INC.   181,587    254,781      
 3,000   ALEXION PHARMACEUTICALS, INC.(b)   58,088    372,450      
 937   ALIGN TECHNOLOGY, INC.(b)   111,337    320,585      
 4,459   ALLERGAN PLC   145,720    743,404      
 4,700   ALLSCRIPTS HEALTHCARE SOLUTIONS, INC.(b)   50,008    56,400      
 1,000   ALNYLAM PHARMACEUTICALS, INC.(b)   123,670    98,490      
 7,200   AMERISOURCEBERGEN CORP.   115,968    613,944      
 8,218   AMGEN, INC.   1,381,543    1,516,961      
 7,050   ANTHEM, INC.   381,518    1,678,111      
 8,439   BAXTER INTERNATIONAL, INC.   397,601    623,136      
 3,365   BECTON DICKINSON AND CO.   357,114    806,119      
 7,838   BIOGEN, INC.(b)   912,645    2,274,901      
 1,500   BLUEBIRD BIO, INC.(b)   253,362    235,425      
 32,800   BOSTON SCIENTIFIC CORP.(b)   182,160    1,072,560      
 18,300   BRISTOL-MYERS SQUIBB CO.   420,955    1,012,722      
 2,145   BRUKER CORP.   43,219    62,291      
 1,000   CARDINAL HEALTH, INC.   26,001    48,830      
 9,872   CELGENE CORP.(b)   131,010    784,034      
 16,804   CENTENE CORP.(b)   1,310,222    2,070,421      
 3,600   CERNER CORP.(b)   40,604    215,244      
 5,700   CIGNA CORP.   89,680    968,715      
 4,513   COOPER (THE) COS., INC.   1,098,535    1,062,586      
 23,143   CVS HEALTH CORP.   1,463,129    1,489,252      
 12,160   DANAHER CORP.   263,810    1,199,949      
 2,850   DAVITA, INC.(b)   21,812    197,904      
 5,332   DENTSPLY SIRONA, INC.   141,306    233,382      
 1,500   DEXCOM, INC.(b)   87,311    142,470      
 9,526   EDWARDS LIFESCIENCES CORP.(b)   248,804    1,386,700      
 8,244   ELI LILLY & CO.   337,754    703,461      

 

See accompanying notes to financial statements.31(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Health Care (Cont’d):               
 3,700   EXELIXIS, INC.(b)  $96,482    79,624    
 33,888   EXPRESS SCRIPTS HOLDING CO.(b)   1,624,849    2,616,492      
 84,850   GILEAD SCIENCES, INC.   4,477,856    6,010,774      
 193   HALYARD HEALTH, INC.(b)   3,014    11,049      
 1,437   HCA HEALTHCARE, INC.   150,003    147,436      
 3,800   HENRY SCHEIN, INC.(b)   86,167    276,032      
 6,608   HOLOGIC, INC.(b)   92,603    262,668      
 2,933   HUMANA, INC.   727,337    872,949      
 2,299   IDEXX LABORATORIES, INC.(b)   98,745    501,044      
 2,300   ILLUMINA, INC.(b)   98,233    642,367      
 7,700   INTERCEPT PHARMACEUTICALS, INC.(b)   492,019    646,107      
 6,477   INTUITIVE SURGICAL, INC.(b)   2,122,322    3,099,115      
 700   IONIS PHARMACEUTICALS, INC.(b)   36,610    29,169      
 1,861   IQVIA HOLDINGS, INC.(b)   112,204    185,765      
 27,672   JOHNSON & JOHNSON   2,032,010    3,357,720      
 842   LABORATORY CORP. OF AMERICA HOLDINGS(b)   53,269    151,164      
 23,830   MALLINCKRODT PLC(b)   346,224    444,668      
 5,700   MCKESSON CORP.   202,596    760,380      
 8,500   MEDTRONIC PLC(c)   708,592    727,685      
 44,310   MERCK & CO., INC.   1,043,166    2,689,617      
 1,577   METTLER-TOLEDO INTERNATIONAL, INC.(b)   277,694    912,499      
 6,700   MYLAN N.V.(b)   268,105    242,138      
 400   NEUROCRINE BIOSCIENCES, INC.(b)   28,172    39,296      
 12,800   OPKO HEALTH, INC.(b)   53,838    60,160      
 1,900   PERRIGO CO. PLC(c)   140,505    138,529      
 94,484   PFIZER, INC.   1,000,538    3,427,880      
 1,962   QUEST DIAGNOSTICS, INC.   157,891    215,702      
 100   REGENERON PHARMACEUTICALS, INC.(b)   38,340    34,499      
 4,791   RESMED, INC.   129,046    496,252      
 900   SAGE THERAPEUTICS, INC.(b)   138,123    140,877      
 1,300   TELEFLEX, INC.   66,613    348,673      
 6,998   THERMO FISHER SCIENTIFIC, INC.   196,316    1,449,566      
 306   UNITED THERAPEUTICS CORP.(b)   36,355    34,624      
 23,801   UNITEDHEALTH GROUP, INC.   1,408,686    5,839,337      
 2,036   UNIVERSAL HEALTH SERVICES, INC., CLASS B   38,822    226,892      
 1,880   VAREX IMAGING CORP.(b)   19,829    69,729      
 5,199   VARIAN MEDICAL SYSTEMS, INC.(b)   193,000    591,230      
 1,445   VEEVA SYSTEMS, INC., CLASS A(b)   55,063    111,063      
 900   VERTEX PHARMACEUTICALS, INC.(b)   22,442    152,964      
 2,600   WATERS CORP.(b)   60,997    503,334      
 4,304   ZIMMER BIOMET HOLDINGS, INC.   233,961    479,638      
 600   ZOETIS, INC.   43,236    51,114      
         30,246,330    63,555,524    12.23%
Industrials:               
 8,665   3M CO.   811,139    1,704,579      
 3,264   A.O. SMITH CORP.   124,751    193,066      
 923   ACCO BRANDS CORP.   3,137    12,784      
 1,020   AECOM(b)   28,495    33,691      
 4,642   AGCO CORP.   225,963    281,862      
 900   AIR LEASE CORP.   17,685    37,773      
 1,533   ALLEGION PLC(c)   40,913    118,593      
 400   AMERCO   120,202    142,460      
 5,175   AMETEK, INC.   73,221    373,428      
 18,302   BOEING (THE) CO.   1,969,297    6,140,504      
 5,205   BWX TECHNOLOGIES, INC.   145,980    324,376      
 2,996   CARLISLE COS., INC.   114,358    324,497      
 10,504   CATERPILLAR, INC.   272,491    1,425,078      
 3,200   CINTAS CORP.   258,101    592,224      
 6,001   CRANE CO.   207,659    480,860      
 3,724   CSX CORP.   136,592    237,517      
 1,895   CUMMINS, INC.   83,862    252,035      
 7,300   DEERE & CO.   199,160    1,020,540      
 25,942   DELTA AIR LINES, INC.   945,911    1,285,167      
 1,525   DOVER CORP.   32,899    111,630      
 1,987   DUN & BRADSTREET (THE) CORP.   49,383    243,706      
 16,254   EATON CORP. PLC   539,812    1,214,824      
 2,280   EXPEDITORS INTERNATIONAL OF WASHINGTON, INC.   112,692    166,668      

 

See accompanying notes to financial statements.32(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Industrials (Cont’d):             
 8,601   FEDEX CORP.  $478,914    1,952,943      
 1,950   FLUOR CORP.   26,013    95,121      
 4,109   FORTIVE CORP.   73,081    316,845      
 4,300   FORTUNE BRANDS HOME & SECURITY, INC.   33,889    230,867      
 1,400   GATX CORP.   24,276    103,922      
 2,128   GENERAL DYNAMICS CORP.   296,250    396,680      
 71,100   GENERAL ELECTRIC CO.   1,038,927    967,671      
 10,443   HARRIS CORP.   904,184    1,509,431      
 875   HEICO CORP.   61,334    63,814      
 2,156   HEICO CORP., CLASS A   109,379    131,423      
 360   HERC HOLDINGS, INC.(b)   5,808    20,282      
 9,188   HONEYWELL INTERNATIONAL, INC.   277,615    1,323,531      
 1,200   HUBBELL, INC.   43,310    126,888      
 885   HUNTINGTON INGALLS INDUSTRIES, INC.   73,903    191,859      
 19,036   IDEX CORP.   2,256,680    2,598,033      
 4,824   ILLINOIS TOOL WORKS, INC.   155,812    668,317      
 10,505   INGERSOLL-RAND PLC   631,190    942,614      
 1,468   JACOBS ENGINEERING GROUP, INC.   29,713    93,203      
 2,100   JB HUNT TRANSPORT SERVICES, INC.   40,530    255,255      
 13,203   JETBLUE AIRWAYS CORP.(b)   81,151    250,593      
 859   JOHNSON CONTROLS INTERNATIONAL PLC   16,341    28,734      
 2,900   KANSAS CITY SOUTHERN   46,328    307,284      
 850   KLX, INC.(b)   13,147    61,115      
 1,596   L3 TECHNOLOGIES, INC.   122,430    306,943      
 600   LENNOX INTERNATIONAL, INC.   17,874    120,090      
 1,400   LINCOLN ELECTRIC HOLDINGS, INC.   28,970    122,864      
 2,484   LOCKHEED MARTIN CORP.   486,437    733,848      
 1,200   MANITOWOC (THE) CO., INC.(b)   10,053    31,032      
 14,173   MANPOWERGROUP, INC.   1,451,755    1,219,728      
 23,793   MASCO CORP.   382,483    890,334      
 577   NORDSON CORP.   57,299    74,093      
 5,602   NORFOLK SOUTHERN CORP.   198,534    845,174      
 5,973   NORTHROP GRUMMAN CORP.   516,333    1,837,892      
 2,180   NOW, INC.(b)   21,218    29,059      
 2,519   NVENT ELECTRIC PLC(b)(c)   24,113    63,227      
 5,905   OLD DOMINION FREIGHT LINE, INC.   843,248    879,609      
 6,476   OSHKOSH CORP.   222,024    455,392      
 5,938   OWENS CORNING   241,110    376,291      
 9,067   PACCAR, INC.   128,927    561,791      
 4,628   PARKER-HANNIFIN CORP.   350,966    721,274      
 2,519   PENTAIR PLC(c)   49,295    106,000      
 4,100   QUANTA SERVICES, INC.(b)   52,132    136,940      
 3,398   RAYTHEON CO.   201,776    656,426      
 12,257   REPUBLIC SERVICES, INC.   732,074    837,889      
 6,221   ROCKWELL AUTOMATION, INC.   179,002    1,034,117      
 1,841   ROCKWELL COLLINS, INC.   46,427    247,946      
 1,720   ROLLINS, INC.   67,194    90,438      
 700   ROPER TECHNOLOGIES, INC.   94,318    193,137      
 2,015   SNAP-ON, INC.   191,097    323,851      
 19,364   SOUTHWEST AIRLINES CO.   628,876    985,240      
 9,681   SPIRIT AEROSYSTEMS HOLDINGS, INC., CLASS A   543,723    831,695      
 6,924   STANLEY BLACK & DECKER, INC.   533,158    919,576      
 1,200   STERICYCLE, INC.(b)   50,064    78,348      
 6,181   TEXTRON, INC.   396,678    407,390      
 5,162   TIMKEN (THE) CO.   171,352    224,805      
 7,788   TORO (THE) CO.   457,493    469,227      
 100   TRANSDIGM GROUP, INC.   27,449    34,514      
 6,947   TRINITY INDUSTRIES, INC.   189,804    238,004      
 10,843   UNION PACIFIC CORP.   172,601    1,536,236      
 1,928   UNITED CONTINENTAL HOLDINGS, INC.(b)   38,137    134,439      
 3,540   UNITED PARCEL SERVICE, INC., CLASS B   166,527    376,054      
 3,799   UNITED RENTALS, INC.(b)   315,894    560,808      
 10,650   UNITED TECHNOLOGIES CORP.   359,588    1,331,569      
 4,240   USG CORP.(b)   69,283    182,829      
 1,144   VALMONT INDUSTRIES, INC.   146,411    172,458      
 180   VERITIV CORP.(b)   1,653    7,173      
 4,011   W.W. GRAINGER, INC.   534,167    1,236,992      

 

See accompanying notes to financial statements.33(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Industrials (Cont’d):             
 1,066   WABCO HOLDINGS, INC.(b)  $16,369    124,743      
 1,200   WABTEC CORP.   21,945    118,296      
 975   WASTE CONNECTIONS, INC.   42,575    73,398      
 17,554   WASTE MANAGEMENT, INC.   879,219    1,427,842      
 4,800   WELBILT, INC.(b)   37,515    107,088      
 1,415   XPO LOGISTICS, INC.(b)   78,936    141,755      
 4,296   XYLEM, INC.   230,822    289,464      
         26,058,806    54,259,615    10.45%
Information Technology:               
 4,949   ACCENTURE PLC, CLASS A(c)   304,426    809,607      
 18,273   ACTIVISION BLIZZARD, INC.   261,150    1,394,595      
 10,827   ADOBE SYSTEMS, INC.(b)   697,111    2,639,731      
 10,200   ADVANCED MICRO DEVICES, INC.(b)   103,382    152,898      
 3,300   AKAMAI TECHNOLOGIES, INC.(b)   45,920    241,659      
 2,737   ALLIANCE DATA SYSTEMS CORP.   327,503    638,268      
 6,627   ALPHABET, INC., CLASS A(b)   2,935,384    7,483,142      
 4,778   ALPHABET, INC., CLASS C(b)   1,903,715    5,330,576      
 27,172   AMDOCS LTD.   1,741,679    1,798,515      
 8,600   ANALOG DEVICES, INC.   120,368    824,912      
 7,815   ANSYS, INC.(b)   840,376    1,361,217      
 80,919   APPLE, INC.   4,430,281    14,978,916      
 27,129   APPLIED MATERIALS, INC.   669,769    1,253,089      
 409   ARISTA NETWORKS, INC.(b)   48,993    105,313      
 1,300   ARRIS INTERNATIONAL PLC(b)   33,487    31,779      
 4,877   ARROW ELECTRONICS, INC.(b)   267,343    367,141      
 1,686   AUTODESK, INC.(b)   32,709    221,018      
 6,766   AUTOMATIC DATA PROCESSING, INC.   361,211    907,591      
 7,371   BLACK KNIGHT, INC.(b)   272,636    394,717      
 9,100   BOOZ ALLEN HAMILTON HOLDING CORP.   273,897    397,943      
 4,332   BROADCOM, INC.   235,609    1,051,116      
 3,413   BROADRIDGE FINANCIAL SOLUTIONS, INC.   106,898    392,836      
 60,267   CADENCE DESIGN SYSTEMS, INC.(b)   1,793,375    2,610,164      
 1,900   CARS.COM, INC.(b)   14,708    53,941      
 400   CAVIUM, INC.(b)   34,196    34,600      
 5,913   CDK GLOBAL, INC.   295,331    384,641      
 6,100   CDW CORP.   214,484    492,819      
 74,342   CISCO SYSTEMS, INC.   114,765    3,198,936      
 9,890   CITRIX SYSTEMS, INC.(b)   646,332    1,036,868      
 790   COGNEX CORP.   20,408    35,242      
 13,271   COGNIZANT TECHNOLOGY SOLUTIONS CORP., CLASS A   147,070    1,048,276      
 3,700   CONDUENT, INC.(b)   59,585    67,229      
 8,308   CORELOGIC, INC.(b)   139,352    431,185      
 49,134   CORNING, INC.   988,452    1,351,676      
 2,700   CYPRESS SEMICONDUCTOR CORP.   3,261    42,066      
 1,424   DELL TECHNOLOGIES, INC., CLASS V(b)   41,143    120,442      
 2,000   DOLBY LABORATORIES, INC., CLASS A   43,420    123,380      
 12,966   DXC TECHNOLOGY CO.   774,394    1,045,189      
 23,628   EBAY, INC.(b)   464,219    856,751      
 1,640   ECHOSTAR CORP., CLASS A(b)   25,986    72,816      
 11,266   ELECTRONIC ARTS, INC.(b)   280,102    1,588,731      
 300   EURONET WORLDWIDE, INC.(b)   25,458    25,131      
 4,014   F5 NETWORKS, INC.(b)   502,570    692,214      
 29,684   FACEBOOK, INC., CLASS A(b)   1,723,242    5,768,195      
 15,019   FIDELITY NATIONAL INFORMATION SERVICES, INC.   752,823    1,592,465      
 2,200   FIREEYE, INC.(b)   32,268    33,858      
 9,784   FISERV, INC.(b)   172,685    724,897      
 1,200   FLEETCOR TECHNOLOGIES, INC.(b)   222,127    252,780      
 5,300   FLIR SYSTEMS, INC.   266,227    275,441      
 16,386   FORTINET, INC.(b)   974,498    1,022,978      
 1,000   GENPACT LTD.   32,650    28,930      
 3,800   GLOBAL PAYMENTS, INC.   113,707    423,662      
 800   GODADDY, INC., CLASS A(b)   39,006    56,480      
 20,700   HEWLETT PACKARD ENTERPRISE CO.   129,133    302,427      
 16,210   HP, INC.   276,200    367,805      
 1,972   IAC/INTERACTIVECORP(b)   156,820    300,710      
 94,663   INTEL CORP.   645,759    4,705,698      
 13,431   INTERNATIONAL BUSINESS MACHINES CORP.   1,885,055    1,876,311      

 

See accompanying notes to financial statements.34(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Information Technology (Cont’d):               
 8,300   INTUIT, INC.  $615,438    1,695,731      
 2,247   IPG PHOTONICS CORP.(b)   183,260    495,756      
 8,615   JACK HENRY & ASSOCIATES, INC.   908,842    1,123,051      
 25,435   JUNIPER NETWORKS, INC.   717,733    697,428      
 4,207   KEYSIGHT TECHNOLOGIES, INC.(b)   258,291    248,339      
 15,895   LAM RESEARCH CORP.   1,814,754    2,747,451      
 1,441   LEIDOS HOLDINGS, INC.   46,816    85,019      
 727   LOGMEIN, INC.   9,735    75,063      
 3,700   MARVELL TECHNOLOGY GROUP LTD.   18,704    79,328      
 18,354   MASTERCARD, INC., CLASS A   472,628    3,606,928      
 1,100   MATCH GROUP, INC.(b)   33,561    42,614      
 2,581   MICRO FOCUS INTERNATIONAL PLC ADR(c)(d)   76,191    44,574      
 4,200   MICROCHIP TECHNOLOGY, INC.   38,201    381,990      
 83,783   MICRON TECHNOLOGY, INC.(b)   3,085,365    4,393,581      
 120,658   MICROSOFT CORP.   2,953,988    11,898,085      
 14,735   MOTOROLA SOLUTIONS, INC.   1,341,656    1,714,712      
 600   NATIONAL INSTRUMENTS CORP.   30,144    25,188      
 13,494   NVIDIA CORP.   1,013,635    3,196,729      
 19,581   ON SEMICONDUCTOR CORP.(b)   294,919    435,384      
 33,162   ORACLE CORP.   17,570    1,461,118      
 2,800   PALO ALTO NETWORKS, INC.(b)   116,508    575,316      
 566   PAYCHEX, INC.   27,923    38,686      
 7,200   PAYPAL HOLDINGS, INC.(b)   94,398    599,544      
 907   PERSPECTA, INC.   8,504    18,639      
 2,400   PTC, INC.(b)   82,674    225,144      
 500   QORVO, INC.(b)   33,530    40,085      
 15,000   QUALCOMM, INC.   427,469    841,800      
 5,774   RED HAT, INC.(b)   299,563    775,852      
 3,100   SABRE CORP.   62,820    76,384      
 7,600   SALESFORCE.COM, INC.(b)   86,710    1,036,640      
 60,705   SEAGATE TECHNOLOGY PLC   2,516,957    3,428,011      
 2,100   SERVICENOW, INC.(b)   273,110    362,187      
 500   SPLUNK, INC.(b)   40,835    49,555      
 3,000   SQUARE, INC., CLASS A(b)   111,050    184,920      
 15,893   SS&C TECHNOLOGIES HOLDINGS, INC.   812,312    824,847      
 14,419   SYMANTEC CORP.   71,242    297,752      
 4,400   SYNOPSYS, INC.(b)   172,415    376,508      
 500   TABLEAU SOFTWARE, INC., CLASS A(b)   35,535    48,875      
 200   TAKE-TWO INTERACTIVE SOFTWARE, INC.(b)   22,066    23,672      
 13,845   TERADYNE, INC.   281,983    527,079      
 34,792   TEXAS INSTRUMENTS, INC.   1,599,634    3,835,818      
 30,439   TOTAL SYSTEM SERVICES, INC.   2,336,438    2,572,704      
 7,720   TRIMBLE, INC.(b)   113,413    253,525      
 8,700   TWITTER, INC.(b)   197,336    379,929      
 100   TYLER TECHNOLOGIES, INC.(b)   18,187    22,210      
 9,845   VERISIGN, INC.(b)   1,020,524    1,352,900      
 787   VERSUM MATERIALS, INC.   4,722    29,237      
 24,838   VISA, INC., CLASS A   613,923    3,289,793      
 7,800   VISHAY INTERTECHNOLOGY, INC.   48,931    180,960      
 10,485   VMWARE, INC., CLASS A(b)   1,097,007    1,540,980      
 16,415   WESTERN DIGITAL CORP.   1,020,299    1,270,685      
 79,755   WESTERN UNION (THE) CO.   1,526,961    1,621,419      
 300   WEX, INC.(b)   41,025    57,144      
 2,000   WORLDPAY, INC., CLASS A(b)   149,775    163,560      
 6,750   XILINX, INC.   47,180    440,505      
 800   YELP, INC.(b)   26,800    31,344      
 400   ZEBRA TECHNOLOGIES CORP., CLASS A(b)   43,396    57,300      
 2,200   ZILLOW GROUP, INC., CLASS C(b)   86,638    129,932      
         59,565,882    137,851,023    26.54%
Materials:               
 367   ADVANSIX, INC.(b)   1,587    13,443      
 1,575   AIR PRODUCTS & CHEMICALS, INC.   57,863    245,275      
 1,300   ALBEMARLE CORP.   29,152    122,629      
 1,600   ARDAGH GROUP S.A.(c)   32,397    26,592      
 1,600   ASHLAND GLOBAL HOLDINGS, INC.   23,171    125,088      
 3,165   AVERY DENNISON CORP.   207,899    323,147      
 2,700   BEMIS CO., INC.   60,200    113,967      

 

See accompanying notes to financial statements.35(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Materials (Cont’d):             
 728   BERRY GLOBAL GROUP, INC.(b)  $26,333    33,444      
 10,424   CELANESE CORP., CLASS A   886,841    1,157,689      
 2,900   CF INDUSTRIES HOLDINGS, INC.   118,977    128,760      
 4,267   CHEMOURS (THE) CO.   186,210    189,284      
 1,800   CROWN HOLDINGS, INC.(b)   57,831    80,568      
 29,193   DOWDUPONT, INC.   815,663    1,924,403      
 9,332   EASTMAN CHEMICAL CO.   712,551    932,827      
 3,891   ECOLAB, INC.   133,579    546,024      
 46,467   FREEPORT-MCMORAN, INC.   638,756    802,020      
 538   INTERNATIONAL FLAVORS & FRAGRANCES, INC.   11,574    66,690      
 13,424   INTERNATIONAL PAPER CO.   335,084    699,122      
 36,624   LYONDELLBASELL INDUSTRIES N.V., CLASS A   3,439,583    4,023,146      
 700   MARTIN MARIETTA MATERIALS, INC.   27,965    156,331      
 3,200   MOSAIC (THE) CO.   54,200    89,760      
 7,400   NEWMONT MINING CORP.   136,530    279,054      
 5,844   NUCOR CORP.   99,313    365,250      
 3,000   OLIN CORP.   100,503    86,160      
 7,343   PACKAGING CORP. OF AMERICA   569,796    820,874      
 4,400   PLATFORM SPECIALTY PRODUCTS CORP.(b)   42,294    51,040      
 7,972   PPG INDUSTRIES, INC.   180,558    826,936      
 4,150   PRAXAIR, INC.   119,435    656,323      
 6,625   RELIANCE STEEL & ALUMINUM CO.   325,929    579,953      
 800   ROYAL GOLD, INC.   34,486    74,272      
 6,200   RPM INTERNATIONAL, INC.   65,987    361,584      
 500   SCOTTS MIRACLE-GRO (THE) CO.   51,425    41,580      
 1,400   SEALED AIR CORP.   24,528    59,430      
 1,385   SHERWIN-WILLIAMS (THE) CO.   62,295    564,484      
 3,600   SONOCO PRODUCTS CO.   74,519    189,000      
 3,234   SOUTHERN COPPER CORP.(c)   38,445    151,578      
 55,770   STEEL DYNAMICS, INC.   1,617,861    2,562,631      
 9,400   TAHOE RESOURCES, INC.   41,616    46,248      
 4,392   VALVOLINE, INC.   24,184    94,735      
 2,100   VULCAN MATERIALS CO.   63,441    271,026      
 2,242   WESTROCK CO.   24,357    127,839      
       11,554,918   20,010,206    3.85 %
 Real Estate:               
 2,100   ALEXANDRIA REAL ESTATE EQUITIES, INC.   105,664    264,957      
 2,900   AMERICAN HOMES 4 RENT, CLASS A   63,576    64,322      
 2,850   AMERICAN TOWER CORP.   162,229    410,884      
 3,628   APARTMENT INVESTMENT & MANAGEMENT CO., CLASS A   39,421    153,464      
 1,734   AVALONBAY COMMUNITIES, INC.   193,548    298,057      
 3,388   BOSTON PROPERTIES, INC.   171,468    424,923      
 2,600   BRANDYWINE REALTY TRUST   28,512    43,888      
 900   CAMDEN PROPERTY TRUST   24,065    82,017      
 1,545   CORECIVIC, INC.   22,263    36,910      
 11,000   CORPORATE OFFICE PROPERTIES TRUST   294,589    318,890      
 4,600   CROWN CASTLE INTERNATIONAL CORP.   193,222    495,972      
 2,300   CUBESMART   67,539    74,106      
 600   CYRUSONE, INC.   35,508    35,016      
 900   DIGITAL REALTY TRUST, INC.   73,251    100,422      
 5,200   DOUGLAS EMMETT, INC.   47,885    208,936      
 1,700   DUKE REALTY CORP.   28,435    49,351      
 845   EQUINIX, INC.   65,492    363,257      
 800   EQUITY LIFESTYLE PROPERTIES, INC.   26,751    73,520      
 5,416   EQUITY RESIDENTIAL   174,162    344,945      
 875   ESSEX PROPERTY TRUST, INC.   116,340    209,186      
 1,500   EXTRA SPACE STORAGE, INC.   130,992    149,715      
 900   FEDERAL REALTY INVESTMENT TRUST   48,326    113,895      
 1,046   FOUR CORNERS PROPERTY TRUST, INC.   9,032    25,763      
 4,435   GGP, INC.   88,429    90,607      
 7,000   HCP, INC.   86,147    180,740      
 1,800   HOSPITALITY PROPERTIES TRUST   23,088    51,498      
 12,222   HOST HOTELS & RESORTS, INC.   93,480    257,518      
 678   HOWARD HUGHES (THE) CORP.(b)   20,502    89,835      
 2,700   HUDSON PACIFIC PROPERTIES, INC.   91,666    95,661      
 3,600   INVITATION HOMES, INC.   85,227    83,016      
 400   JBG SMITH PROPERTIES   6,941    14,588      

 

See accompanying notes to financial statements.36(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Real Estate (Cont’d):             
 700   JONES LANG LASALLE, INC.  $39,951    116,193      
 8,201   KIMCO REALTY CORP.   89,647    139,335      
 4,200   LAMAR ADVERTISING CO., CLASS A   52,067    286,902      
 1,100   LIBERTY PROPERTY TRUST   23,353    48,763      
 600   LIFE STORAGE, INC.   48,983    58,386      
 5,123   MACERICH (THE) CO.   119,436    291,140      
 1,800   MID-AMERICA APARTMENT COMMUNITIES, INC.   132,698    181,206      
 11,400   PARAMOUNT GROUP, INC.   179,799    175,560      
 10,169   PROLOGIS, INC.   257,893    668,002      
 3,191   PUBLIC STORAGE   509,443    723,910      
 6,972   RAYONIER, INC.   74,591    269,747      
 2,700   REALTY INCOME CORP.   60,996    145,233      
 3,900   REGENCY CENTERS CORP.   85,171    242,112      
 9,800   RETAIL PROPERTIES OF AMERICA, INC., CLASS A   83,048    125,244      
 2,100   SBA COMMUNICATIONS CORP.(b)   214,169    346,752      
 3,300   SENIOR HOUSING PROPERTIES TRUST   48,067    59,697      
 2,595   SIMON PROPERTY GROUP, INC.   125,473    441,643      
 1,900   SL GREEN REALTY CORP.   58,204    191,007      
 600   SPIRIT MTA REIT(b)   5,418    6,180      
 6,000   SPIRIT REALTY CAPITAL, INC.   49,463    48,180      
 2,500   STORE CAPITAL CORP.   64,831    68,500      
 1,000   SUN COMMUNITIES, INC.   74,234    97,880      
 2,100   TAUBMAN CENTERS, INC.   55,573    123,396      
 4,100   UDR, INC.   65,319    153,914      
 1,300   URBAN EDGE PROPERTIES   18,730    29,731      
 3,527   VENTAS, INC.   150,097    200,863      
 800   VORNADO REALTY TRUST   29,237    59,136      
 1,715   WASHINGTON PRIME GROUP, INC.   8,005    13,909      
 2,100   WEINGARTEN REALTY INVESTORS   29,927    64,701      
 4,600   WELLTOWER, INC.   274,727    288,374      
 8,293   WEYERHAEUSER CO.   185,937    302,363      
         5,832,237    11,173,818    2.15%
 Telecommunication Services:               
 86,637   AT&T, INC.   1,499,906    2,781,911      
 7,314   CENTURYLINK, INC.   115,551    136,333      
 9,840   SPRINT CORP.(b)   21,187    53,529      
 1,900   TELEPHONE & DATA SYSTEMS, INC.   50,350    52,098      
 29,296   T-MOBILE U.S., INC.(b)   1,613,288    1,750,436      
 51,083   VERIZON COMMUNICATIONS, INC.   2,028,534    2,569,986      
 900   ZAYO GROUP HOLDINGS, INC.(b)   31,068    32,832      
         5,359,884    7,377,125    1.42%
 Utilities:               
 3,000   AES CORP.   32,870    40,230      
 2,000   ALLIANT ENERGY CORP.   24,835    84,640      
 1,600   AMEREN CORP.   40,872    97,360      
 8,554   AMERICAN ELECTRIC POWER CO., INC.   477,380    592,365      
 1,735   AQUA AMERICA, INC.   22,973    61,037      
 13,200   AVANGRID, INC.   502,113    698,676      
 5,800   CENTERPOINT ENERGY, INC.   66,308    160,718      
 13,300   CMS ENERGY CORP.   259,708    628,824      
 5,589   CONSOLIDATED EDISON, INC.   362,768    435,830      
 8,862   DOMINION ENERGY, INC.   284,452    604,211      
 2,800   DTE ENERGY CO.   132,386    290,164      
 14,104   DUKE ENERGY CORP.   729,148    1,115,345      
 8,525   EDISON INTERNATIONAL   182,117    539,377      
 3,164   ENTERGY CORP.   68,368    255,620      
 2,975   EVERGY, INC.   67,425    167,028      
 4,961   EVERSOURCE ENERGY   125,492    290,764      
 47,962   EXELON CORP.   1,824,653    2,043,181      
 5,500   FIRSTENERGY CORP.   176,692    197,505      
 900   NATIONAL FUEL GAS CO.   20,790    47,664      
 4,400   NEXTERA ENERGY, INC.   204,691    734,932      
 6,900   NISOURCE, INC.   43,973    181,332      
 1,200   NRG ENERGY, INC.   33,227    36,840      
 4,800   OGE ENERGY CORP.   43,344    169,008      
 500   ONE GAS, INC.   3,925    37,370      
 5,900   PG&E CORP.   79,340    251,104      

 

See accompanying notes to financial statements.37(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Utilities (Cont’d):              
 2,400   PINNACLE WEST CAPITAL CORP.  $71,637    193,344      
 700   PPL CORP.   10,384    19,985      
 1,400   PUBLIC SERVICE ENTERPRISE GROUP, INC.   61,948    75,796      
 5,100   SCANA CORP.   179,373    196,452      
 3,200   SEMPRA ENERGY   174,758    371,552      
 8,600   SOUTHERN (THE) CO.   176,010    398,266      
 5,426   UGI CORP.   80,112    282,532      
 356   VECTREN CORP.   22,050    25,436      
 6,420   WEC ENERGY GROUP, INC.   137,909    415,053      
 5,793   XCEL ENERGY, INC.   79,584    264,624      
         6,803,615    12,004,165    2.31%
  Sub-total Common Stocks:   255,588,547    516,544,181    99.44%
 Short-Term Investments:               
 3,369,903   NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 1.75%(e)   3,369,903    3,369,903      
  Sub-total Short-Term Investments:   3,369,903    3,369,903    0.65%
     Grand total  $258,958,450    519,914,084    100.09%

 

Notes to Schedule of Investments:

 

(a)Investments are valued in accordance with procedures described in note 2 to the financial statements.

(b)Non-income producing assets.

(c)Foreign security values are stated in U.S. dollars. As of June 30, 2018, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 1.58% of net assets.

(d)Securities are American Depositary Receipts of companies based outside of the United States representing 0.01% of net assets as of June 30, 2018.

(e)The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2017, the value of the Clearwater Core Equity Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $2,725,588 with net purchases of $644,315 during the six months ended June 30, 2018.

 

See accompanying notes to financial statements.38(Continued)

 

 

CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund

June 30, 2018 (unaudited)

 

Clearwater Core Equity Fund Portfolio Diversification
(as a percentage of net assets)

 

 

See accompanying notes to financial statements.39(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Common Stocks:               
Consumer Discretionary:               
 104,898   BBX CAPITAL CORP.  $633,515    947,229      
 34,156   CARRIAGE SERVICES, INC.   831,695    838,530      
 37,183   CENTURY CASINOS, INC.(b)   317,801    325,351      
 18,352   CENTURY COMMUNITIES, INC.(b)   557,642    579,006      
 14,636   CHILDREN’S PLACE (THE), INC.   1,799,642    1,768,029      
 277,878   CLARUS CORP.(b)   1,661,913    2,292,493      
 7,114   COOPER-STANDARD HOLDINGS, INC.(b)   581,194    929,586      
 8,338   CORE-MARK HOLDING CO., INC.   189,741    189,273      
 70,503   CSS INDUSTRIES, INC.   1,356,579    1,191,501      
 19,357   DINE BRANDS GLOBAL, INC.   1,313,734    1,447,904      
 14,668   FIESTA RESTAURANT GROUP, INC.(b)   247,601    420,972      
 34,070   FOX FACTORY HOLDING CORP.(b)   1,304,472    1,585,958      
 159,064   FULL HOUSE RESORTS, INC.(b)   366,548    529,683      
 30,227   G-III APPAREL GROUP LTD.(b)   832,451    1,342,079      
 104,400   GILDAN ACTIVEWEAR, INC.(c)   3,206,422    2,939,904      
 6,707   GRAY TELEVISION, INC.(b)   73,232    105,971      
 36,000   HELEN OF TROY LTD.(b)   3,353,674    3,544,200      
 28,642   IROBOT CORP.(b)   1,902,016    2,170,204      
 33,457   JAMBA, INC.(b)   267,225    356,317      
 6,557   LCI INDUSTRIES   568,793    591,113      
 125,924   LIFETIME BRANDS, INC.   1,439,757    1,592,939      
 18,658   LITHIA MOTORS, INC., CLASS A   1,135,647    1,764,487      
 45,504   LUBY’S, INC.(b)   129,857    117,855      
 23,900   MALIBU BOATS, INC., CLASS A(b)   662,870    1,002,366      
 5,043   MARINEMAX, INC.(b)   94,601    95,565      
 6,348   MARRIOTT VACATIONS WORLDWIDE CORP.   386,476    717,070      
 51,942   MOTORCAR PARTS OF AMERICA, INC.(b)   1,241,470    971,835      
 149,900   NAUTILUS, INC.(b)   2,393,075    2,353,430      
 91,547   NEW HOME (THE) CO., INC.(b)   960,938    912,724      
 12,443   PARTY CITY HOLDCO, INC.(b)   189,848    189,756      
 11,200   PENSKE AUTOMOTIVE GROUP, INC.   502,157    524,720      
 33,144   PERRY ELLIS INTERNATIONAL, INC.(b)   877,934    900,522      
 19,957   PETMED EXPRESS, INC.   882,157    879,106      
 36,260   PINNACLE ENTERTAINMENT, INC.(b)   387,240    1,223,050      
 8,369   POOL CORP.   835,778    1,267,903      
 16,174   POTBELLY CORP.(b)   202,325    209,453      
 32,573   SALEM MEDIA GROUP, INC., CLASS A   159,937    167,751      
 7,200   SCHOOL SPECIALTY, INC.(b)   119,448    140,760      
 12,200   TOPBUILD CORP.(b)   317,725    955,748      
 23,039   UNIFI, INC.(b)   680,010    730,336      
 31,400   WILLIAMS-SONOMA, INC.   1,493,807    1,927,332      
 57,500   WINNEBAGO INDUSTRIES, INC.   2,330,415    2,334,500      
         38,789,362    45,074,511    12.02%
Consumer Staples:               
 19,052   CALAVO GROWERS, INC.   1,401,289    1,831,850      
 15,510   CENTRAL GARDEN & PET CO., CLASS A(b)   589,187    627,690      
 18,064   COFFEE HOLDING CO., INC.(b)   85,208    97,545      
 76,047   CRIMSON WINE GROUP LTD.(b)   704,122    703,435      
 36,433   FARMER BROTHERS CO.(b)   1,143,052    1,113,028      
 46,595   HOSTESS BRANDS, INC.(b)   599,626    633,692      
 21,447   LANDEC CORP.(b)   263,632    319,560      
 2,589   OIL-DRI CORP. OF AMERICA   105,294    109,100      
 121,665   S&W SEED CO.(b)   455,518    395,411      
 123,492   SUNOPTA, INC.(b)(c)   936,943    1,037,333      
 34,139   UNITED NATURAL FOODS, INC.(b)   1,481,451    1,456,370      
 39,215   UNIVERSAL CORP.   2,163,365    2,590,151      
         9,928,687    10,915,165    2.91%
Energy:               
 96,243   MURPHY OIL CORP.   2,451,455    3,250,126      
 24,386   OIL STATES INTERNATIONAL, INC.(b)   752,658    782,791      
 65,106   PAR PACIFIC HOLDINGS, INC.(b)   1,145,866    1,131,542      
 52,591   SM ENERGY CO.   1,456,865    1,351,063      
 59,515   SOLARIS OILFIELD INFRASTRUCTURE, INC., CLASS A(b)   1,171,037    850,469      
 80,389   SRC ENERGY, INC.(b)   723,674    885,887      
 71,608   SUPERIOR ENERGY SERVICES, INC.(b)   720,870    697,462      
 33,362   TPG PACE ENERGY HOLDINGS CORP., CLASS A(b)   357,736    362,645      

 

See accompanying notes to financial statements.40(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Energy (Cont’d):               
 36,900   WORLD FUEL SERVICES CORP.  $1,329,632    753,129      
         10,109,793    10,065,114    2.68%
Financials:               
 142,314   AMERICAN EQUITY INVESTMENT LIFE HOLDING CO.   3,411,240    5,123,304      
 2,270   AMERICAN RIVER BANKSHARES   30,963    35,980      
 31,552   AMERIS BANCORP   980,020    1,683,299      
 1,323   AMES NATIONAL CORP.   36,782    40,815      
 29,449   ARGO GROUP INTERNATIONAL HOLDINGS LTD.(c)   1,542,282    1,712,459      
 75,536   ASPEN INSURANCE HOLDINGS LTD.(c)   3,060,337    3,074,315      
 107,251   ASSOCIATED BANC-CORP   2,470,813    2,927,952      
 40,013   AXIS CAPITAL HOLDINGS LTD.(c)   2,105,370    2,225,523      
 41,537   BANC OF CALIFORNIA, INC.   778,287    812,048      
 16,403   BANCORP (THE), INC.(b)   186,995    171,575      
 4,838   BANK OF PRINCETON (THE)(b)   156,430    160,864      
 11,563   BANKFINANCIAL CORP.   143,234    204,087      
 1,758   BAY BANKS OF VIRGINIA, INC.   16,577    17,141      
 34,787   BCB BANCORP, INC.   426,141    521,805      
 9,423   BRIDGE BANCORP, INC.   270,964    338,757      
 50,134   CAPITAL SOUTHWEST CORP.   814,977    907,927      
 29,039   CATHAY GENERAL BANCORP   1,230,975    1,175,789      
 8,020   CB FINANCIAL SERVICES, INC.   227,453    275,888      
 13,939   CENTERSTATE BANK CORP.   365,108    415,661      
 32,333   CENTRAL VALLEY COMMUNITY BANCORP   637,066    684,166      
 33,164   CITIZENS COMMUNITY BANCORP, INC.   443,126    469,271      
 1,908   CITIZENS HOLDING CO.   41,875    45,315      
 32,454   CIVISTA BANCSHARES, INC.   669,097    786,685      
 13,871   CNB FINANCIAL CORP.   264,228    416,962      
 26,565   COMMERCE BANCSHARES, INC.   1,395,420    1,719,021      
 13,701   COMMUNITY BANKERS TRUST CORP.(b)   72,307    122,624      
 21,144   CRAWFORD & CO., CLASS A   170,406    182,050      
 6,782   CRAWFORD & CO., CLASS B   52,628    58,664      
 77,497   DONEGAL GROUP, INC., CLASS A   1,198,213    1,054,734      
 20,013   EAGLE BANCORP MONTANA, INC.   366,069    386,251      
 7,573   EHEALTH, INC.(b)   142,756    167,363      
 32,752   EMC INSURANCE GROUP, INC.   686,273    909,851      
 28,433   ENTERPRISE FINANCIAL SERVICES CORP.   1,153,019    1,533,960      
 43,796   ESSA BANCORP, INC.   602,796    693,291      
 131,667   EXANTAS CAPITAL CORP.   1,231,853    1,340,370      
 19,986   FARMERS NATIONAL BANC CORP.   209,675    318,777      
 92,537   FIDUS INVESTMENT CORP.   1,344,687    1,314,951      
 20,046   FINANCIAL ENGINES, INC.   606,780    900,065      
 11,310   FIRST BANCSHARES (THE), INC.   319,970    406,595      
 20,886   FIRST BANK   267,387    290,315      
 1,685   FIRST CAPITAL, INC.   59,862    70,012      
 17,216   FIRST GUARANTY BANCSHARES, INC.   370,306    447,960      
 35,659   FIRST MERCHANTS CORP.   1,516,493    1,654,578      
 64,032   FIRST MIDWEST BANCORP, INC.   1,426,183    1,630,895      
 24,700   FIRSTCASH, INC.   1,474,743    2,219,295      
 65,479   FNB CORP.   841,981    878,728      
 14,839   HANOVER INSURANCE GROUP (THE), INC.   1,422,332    1,774,151      
 36,343   HERITAGE COMMERCE CORP.   409,547    617,468      
 7,073   HOME BANCORP, INC.   198,149    329,248      
 63,810   HOME BANCSHARES, INC.   1,532,906    1,439,554      
 147,427   HOPE BANCORP, INC.   2,439,921    2,628,623      
 2,660   HOWARD BANCORP, INC.(b)   47,986    47,880      
 6,230   INVESTAR HOLDING CORP.   132,387    172,260      
 7,667   ISABELLA BANK CORP.   212,268    204,333      
 11,348   LANDMARK BANCORP, INC.   322,752    323,418      
 65,176   LCNB CORP.   1,112,627    1,283,967      
 14,938   LEGACYTEXAS FINANCIAL GROUP, INC.   531,078    582,881      
 3,568   LENDINGTREE, INC.(b)   912,757    762,838      
 37,629   MACKINAC FINANCIAL CORP.   555,731    623,889      
 10,750   MERIDIAN BANK(b)   183,638    195,543      
 6,263   METROPOLITAN BANK HOLDING CORP.(b)   266,794    328,682      
 4,362   MIDDLEFIELD BANC CORP.   198,336    221,153      
 37,777   MIDWESTONE FINANCIAL GROUP, INC.   1,248,565    1,276,107      
 5,000   NATIONAL WESTERN LIFE GROUP, INC., CLASS A   1,664,104    1,536,300      

 

See accompanying notes to financial statements.41(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Financials (Cont’d):               
 50,829   NEW MOUNTAIN FINANCE CORP.  $696,630    691,274      
 4,359   NORWOOD FINANCIAL CORP.   99,470    157,011      
 118,947   OAKTREE SPECIALTY LENDING CORP.   513,760    568,567      
 11,265   OCEANFIRST FINANCIAL CORP.   294,021    337,499      
 23,597   OHA INVESTMENT CORP.   26,975    35,985      
 2,925   ORRSTOWN FINANCIAL SERVICES, INC.   62,731    76,050      
 3,425   PACIFIC FINANCIAL CORP.   31,413    40,621      
 4,319   PENNS WOODS BANCORP, INC.   181,459    193,405      
 26,950   PEOPLES BANCORP OF NORTH CAROLINA, INC.   670,730    863,209      
 5,858   PEOPLES FINANCIAL SERVICES CORP.   239,185    275,443      
 56,200   PRA GROUP, INC.(b)   1,589,787    2,166,510      
 17,500   RENAISSANCERE HOLDINGS LTD.(c)   2,317,318    2,105,600      
 9,813   RIVERVIEW FINANCIAL CORP.   124,358    124,134      
 3,636   SALISBURY BANCORP, INC.   137,808    162,529      
 19,145   SELECT BANCORP, INC.(b)   220,935    257,883      
 27,464   SHORE BANCSHARES, INC.   439,010    522,365      
 58,567   SI FINANCIAL GROUP, INC.   734,119    863,863      
 6,841   SIERRA BANCORP   128,495    193,190      
 21,875   SIMMONS FIRST NATIONAL CORP., CLASS A   649,094    654,063      
 14,622   SOUTHERN MISSOURI BANCORP, INC.   423,835    570,550      
 53,414   SOUTHERN NATIONAL BANCORP OF VIRGINIA, INC.   870,504    952,906      
 2,508   SOUTHWEST GEORGIA FINANCIAL CORP.   51,887    56,932      
 18,040   SPIRIT OF TEXAS BANCSHARES, INC.(b)   379,732    371,624      
 62,051   STERLING BANCORP   1,331,248    1,458,198      
 25,674   STIFEL FINANCIAL CORP.   1,306,897    1,341,466      
 15,778   SUMMIT FINANCIAL GROUP, INC.   343,722    423,482      
 25,038   SUMMIT STATE BANK   321,064    386,837      
 32,967   SYNOVUS FINANCIAL CORP.   966,978    1,741,647      
 167,094   TCF FINANCIAL CORP.   2,659,655    4,113,854      
 70,330   TCP CAPITAL CORP.   1,080,293    1,016,269      
 111,200   UMPQUA HOLDINGS CORP.   2,020,524    2,512,008      
 9,024   UNITED BANCORP, INC.   118,401    121,824      
 8,782   UNITED BANCSHARES, INC.   192,772    199,791      
 3,162   UNITED COMMUNITY BANCORP   60,216    86,006      
 7,712   UNITED COMMUNITY FINANCIAL CORP.   71,281    84,755      
 33,834   UNITED FINANCIAL BANCORP, INC.   544,321    592,772      
 19,395   UNITY BANCORP, INC.   280,064    441,236      
 46,247   WALKER & DUNLOP, INC.   1,120,258    2,573,646      
 42,989   WEBSTER FINANCIAL CORP.   2,081,315    2,738,399      
 22,903   WEST BANCORPORATION, INC.   498,385    576,010      
         75,092,675    89,525,646    23.88%
 Health Care:                   
 9,067   ANGIODYNAMICS, INC.(b)   145,602    201,650      
 150,107   AVID BIOSERVICES, INC.(b)   337,741    588,419      
 14,885   BIOTELEMETRY, INC.(b)   429,926    669,825      
 27,876   CAMBREX CORP.(b)   1,274,883    1,457,915      
 78,108   CAPITAL SENIOR LIVING CORP.(b)   1,081,158    833,412      
 18,517   CUTERA, INC.(b)   723,239    746,235      
 38,159   EMERGENT BIOSOLUTIONS, INC.(b)   1,275,345    1,926,648      
 400   GLOBUS MEDICAL, INC., CLASS A(b)   19,616    20,184      
 21,800   HILL-ROM HOLDINGS, INC.   1,661,686    1,904,012      
 5,407   ICU MEDICAL, INC.(b)   723,040    1,587,766      
 16,739   KINDRED HEALTHCARE, INC.(b)   149,898    150,651      
 22,418   LHC GROUP, INC.(b)   1,460,915    1,918,757      
 12,967   MAGELLAN HEALTH, INC.(b)   888,367    1,244,184      
 36,400   MEDNAX, INC.(b)   1,619,639    1,575,392      
 26,636   NANOVIBRONIX, INC.(b)   130,317    129,185      
 41,479   OMNICELL, INC.(b)   1,671,545    2,175,573      
 6,062   ORASURE TECHNOLOGIES, INC.(b)   103,269    99,841      
 208,710   PDL BIOPHARMA, INC.(b)   546,010    488,381      
 41,469   PREMIER, INC., CLASS A(b)   1,270,584    1,508,642      
 50,973   PRESTIGE BRANDS HOLDINGS, INC.(b)   2,179,046    1,956,344      
 18,415   PROVIDENCE SERVICE (THE) CORP.(b)   929,491    1,446,498      
 5,362   PSYCHEMEDICS CORP.   108,978    103,165      
 19,783   RTI SURGICAL, INC.(b)   88,102    91,002      
 62,262   STREAMLINE HEALTH SOLUTIONS, INC.(b)   74,413    91,525      
 61,300   SYNEOS HEALTH, INC.(b)   3,027,447    2,874,970      

 

See accompanying notes to financial statements.42(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Health Care (Cont’d):               
 61,154   TIVITY HEALTH, INC.(b)  $2,147,981    2,152,621      
 81,720   TRIPLE-S MANAGEMENT CORP., CLASS B(b)   1,988,370    3,191,983      
 50,200   VAREX IMAGING CORP.(b)   1,725,134    1,861,918      
         27,781,742    32,996,698    8.80%
Industrials:                   
 163,822   ACTUANT CORP., CLASS A   4,228,286    4,808,176      
 49,000   AIR LEASE CORP.   1,961,060    2,056,530      
 21,231   AIR TRANSPORT SERVICES GROUP, INC.(b)   452,422    479,608      
 22,160   ALBANY INTERNATIONAL CORP., CLASS A   917,001    1,332,924      
 21,610   AMERICAN RAILCAR INDUSTRIES, INC.   795,993    853,163      
 17,706   APOGEE ENTERPRISES, INC.   738,800    852,898      
 92,183   ARC DOCUMENT SOLUTIONS, INC.(b)   363,444    163,164      
 66,872   ARMSTRONG FLOORING, INC.(b)   1,070,692    938,883      
 20,057   ASGN, INC.(b)   571,089    1,568,257      
 11,130   ASTRONICS CORP.(b)   293,916    400,346      
 4,879   ATKORE INTERNATIONAL GROUP, INC.(b)   80,105    101,337      
 25,704   ATLAS AIR WORLDWIDE HOLDINGS, INC.(b)   1,257,139    1,842,977      
 49,756   AVIS BUDGET GROUP, INC.(b)   1,867,925    1,617,070      
 17,485   BLUE BIRD CORP.(b)   331,132    390,790      
 30,560   BRINK’S (THE) CO.   2,107,281    2,437,160      
 13,578   CBIZ, INC.(b)   213,922    312,294      
 32,249   CHART INDUSTRIES, INC.(b)   1,158,765    1,989,118      
 76,100   COLFAX CORP.(b)   2,522,483    2,332,465      
 30,845   COLUMBUS MCKINNON CORP.   860,809    1,337,439      
 23,088   CPI AEROSTRUCTURES, INC.(b)   204,081    242,424      
 23,968   CUBIC CORP.   1,062,482    1,538,746      
 9,800   CURTISS-WRIGHT CORP.   677,090    1,166,396      
 34,500   DONALDSON CO., INC.   1,558,299    1,556,640      
 5,430   DUCOMMUN, INC.(b)   145,051    179,679      
 15,850   ENERSYS   1,141,298    1,183,044      
 232,108   ESSENDANT, INC.   2,801,054    3,068,468      
 58,000   GATES INDUSTRIAL CORP. PLC(b)   919,510    943,660      
 48,269   GENCOR INDUSTRIES, INC.(b)   728,907    779,544      
 77,493   GIBRALTAR INDUSTRIES, INC.(b)   2,240,546    2,905,987      
 18,100   GORMAN-RUPP (THE) CO.   550,488    633,500      
 36,386   GREAT LAKES DREDGE & DOCK CORP.(b)   160,256    191,026      
 19,177   HARSCO CORP.(b)   116,952    423,812      
 20,337   INNERWORKINGS, INC.(b)   195,868    176,728      
 45,431   INTERFACE, INC.   796,423    1,042,641      
 73,231   JELD-WEN HOLDING, INC.(b)   2,394,799    2,093,674      
 12,474   KADANT, INC.   889,706    1,199,375      
 57,379   KBR, INC.   987,770    1,028,232      
 58,819   KENNAMETAL, INC.   2,273,533    2,111,602      
 94,072   LSI INDUSTRIES, INC.   712,810    502,344      
 43,109   MASONITE INTERNATIONAL CORP.(b)   2,828,344    3,097,382      
 18,710   MCGRATH RENTCORP   707,826    1,183,782      
 40,215   MERCURY SYSTEMS, INC.(b)   1,806,219    1,530,583      
 59,428   MILACRON HOLDINGS CORP.(b)   918,662    1,124,972      
 3,444   MSA SAFETY, INC.   298,532    331,795      
 90,187   NAVIGANT CONSULTING, INC.(b)   1,984,403    1,996,740      
 108,400   NOW, INC.(b)   1,182,250    1,444,972      
 8,029   PARK-OHIO HOLDINGS CORP.   289,460    299,482      
 103,400   PGT INNOVATIONS, INC.(b)   1,448,457    2,155,890      
 86,113   PIONEER POWER SOLUTIONS, INC.(b)   520,760    443,482      
 175,821   QUANEX BUILDING PRODUCTS CORP.   3,666,481    3,155,987      
 65,761   REV GROUP, INC.   1,669,311    1,118,595      
 26,060   RUSH ENTERPRISES, INC., CLASS A(b)   1,114,606    1,130,483      
 11,236   RYDER SYSTEM, INC.   802,441    807,419      
 22,160   SKYWEST, INC.   715,659    1,150,104      
 31,754   SPX CORP.(b)   743,042    1,112,978      
 326,578   STEELCASE, INC., CLASS A   4,793,111    4,408,803      
 7,460   TELEDYNE TECHNOLOGIES, INC.(b)   217,885    1,484,988      
 40,473   TEREX CORP.   1,711,459    1,707,556      
 13,600   TETRA TECH, INC.   583,236    795,600      
 19,484   THERMON GROUP HOLDINGS, INC.(b)   436,477    445,599      
 45,098   TITAN MACHINERY, INC.(b)   757,393    701,274      
 123,677   TRIMAS CORP.(b)   3,173,087    3,636,104      

 

See accompanying notes to financial statements.43(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Industrials (Cont’d):               
 40,747   TRIUMPH GROUP, INC.  $973,790    798,641      
 23,712   USA TRUCK, INC.(b)   545,316    556,521      
 9,155   VALMONT INDUSTRIES, INC.   1,391,503    1,380,116      
 25,786   VIAD CORP.   1,206,129    1,398,890      
 69,993   WESCO AIRCRAFT HOLDINGS, INC.(b)   666,541    787,421      
 17,007   WESTPORT FUEL SYSTEMS, INC.(b)(c)   43,815    43,028      
 46,427   WOODWARD, INC.   2,677,254    3,568,379      
 16,247   YRC WORLDWIDE, INC.(b)   175,289    163,282      
         82,397,925    92,742,969    24.73%
Information Technology:               
 13,714   AMBER ROAD, INC.(b)   124,958    129,049      
 38,311   ANIXTER INTERNATIONAL, INC.(b)   2,672,341    2,425,086      
 33,125   ASTRONOVA, INC.   476,696    624,406      
 4,310   AVIAT NETWORKS, INC.(b)   69,565    70,555      
 30,376   BELDEN, INC.   1,898,277    1,856,581      
 6,709   BRIGHTCOVE, INC.(b)   48,506    64,742      
 136,000   CELESTICA, INC.(b)(c)   1,643,475    1,614,320      
 55,412   COHU, INC.   1,152,725    1,358,148      
 18,944   COMMVAULT SYSTEMS, INC.(b)   975,338    1,247,462      
 81,156   CYPRESS SEMICONDUCTOR CORP.   1,097,513    1,264,410      
 143,696   DIEBOLD NIXDORF, INC.   3,195,648    1,717,167      
 37,394   DSP GROUP, INC.(b)   466,449    465,555      
 23,410   EURONET WORLDWIDE, INC.(b)   1,420,037    1,961,056      
 57,761   EVERTEC, INC.   854,792    1,262,078      
 9,132   FARO TECHNOLOGIES, INC.(b)   463,661    496,324      
 133,620   FRANKLIN WIRELESS CORP.(b)   287,454    247,197      
 108,627   FREQUENCY ELECTRONICS, INC.(b)   1,007,238    875,534      
 43,299   INSIGHT ENTERPRISES, INC.(b)   1,753,271    2,118,620      
 53,188   INTERNAP CORP.(b)   581,482    554,219      
 15,231   ITRON, INC.(b)   879,892    914,622      
 42,774   JABIL, INC.   715,973    1,183,129      
 16,188   KEMET CORP.(b)   308,331    390,940      
 21,142   LUMENTUM HOLDINGS, INC.(b)   1,279,361    1,224,122      
 97,815   MARCHEX, INC., CLASS B   225,799    299,314      
 102,641   MITEL NETWORKS CORP.(b)(c)   1,107,986    1,125,972      
 26,785   MONOTYPE IMAGING HOLDINGS, INC.   581,111    543,735      
 34,796   MTS SYSTEMS CORP.   1,844,514    1,832,009      
 26,336   NOVANTA, INC.(b)   737,159    1,640,733      
 3,504   OSI SYSTEMS, INC.(b)   206,406    270,964      
 12,983   PC CONNECTION, INC.   350,946    431,036      
 10,190   PERCEPTRON, INC.(b)   67,862    107,505      
 51,584   PERFICIENT, INC.(b)   799,219    1,360,270      
 29,200   PLEXUS CORP.(b)   1,702,585    1,738,568      
 27,072   PROS HOLDINGS, INC.(b)   669,136    990,023      
 64,407   REIS, INC.   1,361,700    1,404,073      
 55,418   SCANSOURCE, INC.(b)   2,220,979    2,233,345      
 26,533   SHUTTERSTOCK, INC.(b)   1,260,932    1,259,256      
 215,627   STEEL CONNECT, INC.(b)   364,708    465,754      
 123,026   SUPPORT.COM, INC.(b)   364,441    350,624      
 17,035   SYNNEX CORP.   448,641    1,644,048      
 142,404   UNISYS CORP.(b)   1,722,722    1,837,012      
 100,893   VERIFONE SYSTEMS, INC.(b)   1,981,270    2,302,378      
 55,677   XCERRA CORP.(b)   765,213    777,808      
         42,156,312    46,679,749    12.45%
 Materials:                   
 2,503   ADVANSIX, INC.(b)   93,514    91,685      
 5,438   AMERICAN VANGUARD CORP.   112,046    124,802      
 19,859   BERRY GLOBAL GROUP, INC.(b)   446,616    912,322      
 35,700   H.B. FULLER CO.   1,981,801    1,916,376      
 23,435   INGEVITY CORP.(b)   1,205,024    1,894,954      
 18,714   INNOPHOS HOLDINGS, INC.   824,422    890,786      
 33,453   KOPPERS HOLDINGS, INC.(b)   771,899    1,282,923      
 6,778   MATERION CORP.   344,347    367,029      
 92,745   PQ GROUP HOLDINGS, INC.(b)   1,531,068    1,669,410      
 19,900   RELIANCE STEEL & ALUMINUM CO.   1,474,611    1,742,046      
 74,700   SCHWEITZER-MAUDUIT INTERNATIONAL, INC.   3,001,402    3,265,884      
 11,544   SUNCOKE ENERGY, INC.(b)   125,592    154,690      

 

See accompanying notes to financial statements.44(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

  

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Materials (Cont’d):               
 19,045   TRECORA RESOURCES(b)  $213,059    282,818      
 13,375   TRINSEO S.A.   903,040    948,956      
 14,192   US CONCRETE, INC.(b)   674,710    745,080      
         13,703,151    16,289,761    4.35%
Real Estate:               
 25,713   ASHFORD HOSPITALITY TRUST, INC.   149,174    208,275      
 28,781   BLUEROCK RESIDENTIAL GROWTH REIT, INC.   269,039    256,727      
 51,633   BRANDYWINE REALTY TRUST   899,678    871,565      
 45,305   CATCHMARK TIMBER TRUST, INC., CLASS A   509,287    576,733      
 94,317   CEDAR REALTY TRUST, INC.   431,231    445,176      
 35,960   CITY OFFICE REIT, INC.(c)   440,491    461,367      
 67,067   DIAMONDROCK HOSPITALITY CO.   728,503    823,583      
 24,895   EDUCATION REALTY TRUST, INC.   994,610    1,033,143      
 21,591   GRAMERCY PROPERTY TRUST   445,125    589,866      
 37,300   HFF, INC., CLASS A   1,362,387    1,281,255      
 55,497   INVESTORS REAL ESTATE TRUST   312,903    306,898      
 61,140   JERNIGAN CAPITAL, INC.   1,166,595    1,165,328      
 21,938   MARCUS & MILLICHAP, INC.(b)   499,060    855,801      
 59,565   MEDICAL PROPERTIES TRUST, INC.   507,246    836,293      
 28,312   RAMCO-GERSHENSON PROPERTIES TRUST   372,985    374,002      
 69,283   REALOGY HOLDINGS CORP.   1,827,617    1,579,652      
 28,421   RETAIL OPPORTUNITY INVESTMENTS CORP.   566,838    544,546      
 50,656   STAG INDUSTRIAL, INC.   816,530    1,379,363      
 17,723   STRATUS PROPERTIES, INC.(b)   521,175    541,438      
         12,820,474    14,131,011    3.77%
Telecommunication Services:            
 120,133   ALASKA COMMUNICATIONS SYSTEMS GROUP, INC.(b)   223,495    212,635      
 40,271   HAWAIIAN TELCOM HOLDCO, INC.(b)   974,158    1,164,637      
 36,936   ORBCOMM, INC.(b)   370,890    373,054      
         1,568,543    1,750,326    0.47%
 Utilities:                   
 8,253   ALLETE, INC.   245,827    638,865      
 31,094   NEW JERSEY RESOURCES CORP.   1,197,572    1,391,457      
 131,440   PURE CYCLE CORP.(b)   830,167    1,255,252      
 17,211   SPIRE, INC.   844,174    1,215,957      
         3,117,740    4,501,531    1.20%
  Sub-total Common Stocks:   317,466,404    364,672,481    97.26%
Convertible Bonds:               
Health Care:               
 139,789   PDL BIOPHARMA, INC., 2.75%, 12/1/21   138,822    128,342      
         138,822    128,342    0.03%
  Sub-total Convertible Bonds:   138,822    128,342    0.03%
Convertible Preferred Stocks:               
Real Estate:               
 22,772   WHEELER REAL ESTATE INVESTMENT TRUST, INC. (STEP TO 10.75% ON 9/21/2023), 8.75%   380,966    422,648      
         380,966    422,648    0.11%
  Sub-total Convertible Preferred Stocks:   380,966    422,648    0.11%
Preferred Stocks:               
Industrials:               
 152,441   STEEL PARTNERS HOLDINGS L.P., 6.00%(d)   2,510,072    3,108,272      
         2,510,072    3,108,272    0.83%
  Sub-total Preferred Stocks:   2,510,072    3,108,272    0.83%
Rights:               
Consumer Discretionary:               
 55,700   MEDIA GENERAL, INC. (CONTINGENT VALUE RIGHTS)(b)(e)             
                 0.00%
  Sub-total Rights:           0.00%
Warrants:                   

 

See accompanying notes to financial statements.45(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Health Care:                   
 19,977   NANOVIBRONIX, INC.(b)(e)  $199          
         199        0.00%
  Sub-total Warrants:   199        0.00%
Short-Term Investments:               
 8,525,125   NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 1.75%(f)   8,525,125    8,525,125      
  Sub-total Short-Term Investments:   8,525,125    8,525,125    2.27%
     Grand total  $329,021,588    376,856,868    100.50%

 

Notes to Schedule of Investments:

 

(a)This security is being measured at fair value according to procedures adopted by the Board of Trustees.

(b)Non-income producing assets.

(c)Foreign security values are stated in U.S. dollars. As of June 30, 2018, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 4.36% of net assets.

(d)Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

(e)Security has been deemed worthless and is a Level 3 investment.

(f)The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2017, the value of the Clearwater Small Companies Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $16,001,365 with net sales of $7,476,240 during the six months ended June 30, 2018.

 

See accompanying notes to financial statements.46(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Small Companies Fund
June 30, 2018 (unaudited)

 

Clearwater Small Companies Fund Portfolio Diversification
(as a percentage of net assets)

 

(PIE CHART) 

 

 

See accompanying notes to financial statements.47(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Closed-End Funds:
 227,600   BLACKROCK LONG-TERM MUNICIPAL ADVANTAGE TRUST          $2,360,733    2,560,500      
 40,000   BLACKROCK MUNICIPAL INCOME QUALITY TRUST           548,760    519,600      
 40,171   BLACKROCK MUNIHOLDINGS FUND II INC           575,479    555,565      
 69,429   BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND           724,569    897,717      
 57,300   BLACKROCK MUNIHOLDINGS QUALITY FUND II INC           729,193    700,779      
 35,700   BLACKROCK MUNIHOLDINGS QUALITY FUND INC           474,032    441,966      
 8,302   BLACKROCK MUNIYIELD FUND INC           122,288    110,583      
 55,111   BLACKROCK MUNIYIELD INVESTMENT QUALITY FUND           701,111    720,852      
 142,461   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND INC           1,846,525    1,867,664      
 51,700   BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND           729,423    694,848      
 101,896   BLACKROCK MUNIYIELD QUALITY FUND II INC           1,307,244    1,233,960      
 118,472   BLACKROCK MUNIYIELD QUALITY FUND III INC           1,572,465    1,492,747      
 36,970   DREYFUS STRATEGIC MUNICIPAL BOND FUND INC           301,534    279,863      
 79,565   DWS MUNICIPAL INCOME TRUST           900,864    876,806      
 178,050   INVESCO ADVANTAGE MUNICIPAL INCOME TRUST II           1,985,371    1,898,013      
 113,205   INVESCO MUNICIPAL OPPORTUNITY TRUST           1,410,252    1,329,027      
 60,000   INVESCO MUNICIPAL TRUST           773,718    709,200      
 76,122   INVESCO QUALITY MUNICIPAL INCOME TRUST           868,956    907,374      
 60,000   INVESCO TRUST FOR INVESTMENT GRADE MUNICIPALS           774,122    742,200      
 50,248   MANAGED DURATION INVESTMENT GRADE MUNICIPAL FUND           628,966    720,556      
 53,000   NUVEEN AMT-FREE MUNICIPAL CREDIT INCOME FUND           748,312    773,270      
 245,475   NUVEEN AMT-FREE QUALITY MUNICIPAL INCOME FUND           3,273,528    3,193,624      
 15,963   NUVEEN MICHIGAN QUALITY MUNICIPAL INCOME FUND           214,604    202,092      
 52,779   NUVEEN PENNSYLVANIA QUALITY MUNICIPAL INCOME FUND           723,142    666,599      
 29,740   NUVEEN QUALITY MUNICIPAL INCOME FUND           409,650    395,549      
 28,000   PUTNAM MUNICIPAL OPPORTUNITIES TRUST           371,050    327,040      
 19,613   WESTERN ASSET MUNICIPAL PARTNERS FUND INC.           246,036    276,935      
    Sub-total Closed-End Funds:           25,321,927    25,094,929    4.64% 
Municipal Bonds:
 2,350,000   ACALANES CA UNION HIGH SCH DIST (STEP TO 6.55% ON 8/1/2024)(b)  8/1/2039   0.00    1,590,321    2,201,080      
 1,000,000   ALACHUA CNTY FL HLTH FACS AUTH CCRC  10/1/2032   8.00    1,104,475    1,160,440      
 750,000   ALASKA ST HSG FIN CORP MTGE REVENUE  12/1/2037   4.13    737,663    762,225      
 500,000   ALASKA ST HSG FIN CORP MTGE REVENUE  12/1/2040   4.63    495,000    516,385      
 350,000   ALASKA ST INDL DEV & EXPORT AUTH CMNTY PROVIDER REVENUE(c)  12/1/2010   5.40    350,000    23,625      
 670,000   ALLEGHENY CNTY PA INDL DEV AUTH CHRT SCH REVENUE  8/15/2026   5.90    670,000    701,745      
 1,000,000   ALVORD CA UNIF SCH DIST  8/1/2036   5.25    1,017,793    1,123,250      
 1,000,000   ALVORD CA UNIF SCH DIST (STEP TO 7.35% ON 8/1/2026)(b)  8/1/2046   0.00    560,635    980,880      
 1,000,000   APPLE VLY MN SENIOR LIVING REVENUE  1/1/2047   5.00    977,699    1,028,370      
 1,095,000   ARBORWOOD FL CDD CAPITAL IMPT REVENUE  5/1/2032   3.50    1,065,607    1,070,264      
 1,000,000   ARIZONA ST INDL DEV AUTH MF HSG REVENUE  1/1/2038   5.38    1,000,000    987,510      
 1,915,000   ARLINGTON TX HGR EDU FIN CORP EDU REVENUE  8/15/2028   7.00    1,880,883    2,063,508      
 500,000   ARLINGTON TX HGR EDU FIN CORP EDU REVENUE  6/15/2036   5.00    508,558    506,270      
 650,000   ARLINGTON TX SPL TAX REVENUE  2/15/2041   5.00    707,134    718,022      
 500,000   ASTURIA FL CMNTY DEV DIST SPL ASSMNT  5/1/2034   5.75    500,000    509,270      
 500,000   ATHENS-CLARKE CNTY GA UNIF GOVT DEV AUTH REVENUE  6/15/2039   5.00    514,120    556,620      
 500,000   ATLANTA GA ARPT REVENUE  1/1/2030   6.00    506,342    550,615      
 500,000   ATLANTA GA DEV AUTH  7/1/2035   4.00    492,398    508,860      
 1,000,000   ATLANTA GA DEV AUTH SENIOR HLTH CARE FACS REVENUE  1/1/2023   6.00    990,301    992,640      
 750,000   ATLANTA GA DEV AUTH SENIOR HLTH CARE FACS REVENUE  1/1/2029   6.50    729,190    724,065      
 1,425,000   BAY CNTY FL EDUCTNL FACS REVENUE  9/1/2030   5.25    1,329,594    1,476,400      
 1,000,000   BELLALAGO FL EDUCTNL FACS BENEFIT DIST CAPITAL IMPT REVENUE  5/1/2030   4.38    985,890    1,047,880      
 1,195,000   BELLWOOD IL  12/1/2027   5.88    1,186,902    1,350,685      
 905,000   BEXAR CNTY TX HSG FIN CORP(d)  2/1/2035   3.75    905,000    929,290      

 

See accompanying notes to financial statements.48(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 2,000,000   BEXAR CNTY TX REVENUE  8/15/2039   5.00   $2,080,715    2,173,960      
 500,000   BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE  5/1/2035   6.25    500,000    519,395      
 305,000   BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE  5/1/2045   6.25    305,000    312,445      
 1,150,000   BURBANK IL EDUCTNL FACS REVENUE(e)  9/1/2035   6.00    1,150,000    1,208,535      
 1,000,000   BUREAU CNTY TWP IL HIGH SCH DIST #502  10/1/2043   6.63    1,044,904    1,227,420      
 385,000   BUTLER CNTY PA GEN AUTH REVENUE (FLOATING, ICE LIBOR USD 3M + 0.00%)(f)  10/1/2034   2.27    385,000    355,405      
 500,000   CALIFORNIA ST HLTH FACS FING AUTH REVENUE  8/15/2033   5.50    503,827    551,175      
 500,000   CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK ST SCH FUND APP  8/15/2029   5.75    501,139    531,815      
 1,500,000   CALIFORNIA ST SCH FACS FING AUTH REVENUE  8/1/2029   6.00    1,493,920    1,868,160      
 1,370,000   CAPITAL TRUST AGY FL CHRT SCHREVENUE  2/1/2035   5.38    1,370,000    1,357,341      
 750,000   CAPITAL TRUST AGY FL REVENUE  4/1/2035   7.00    750,000    755,483      
 1,750,000   CAPITAL TRUST AGY FL REVENUE(e)  12/1/2035   6.75    1,747,211    1,826,405      
 750,000   CAPITAL TRUST AGY FL REVENUE(e)  7/1/2037   6.75    750,000    786,532      
 750,000   CAPITAL TRUST AGY FL SENIOR LIVING REVENUE(e)  8/1/2027   5.00    750,000    755,078      
 750,000   CAPITAL TRUST AGY FL SENIOR LIVING REVENUE(e)  8/1/2032   5.38    750,000    759,908      
 1,000,000   CARLSBAD CA UNIF SCH DIST (STEP TO 6.13% ON 8/1/2021)(b)  8/1/2031   0.00    829,225    1,102,340      
 860,000   CARMEL IN REVENUE  11/15/2022   6.00    851,832    893,299      
 1,000,000   CARMEL IN REVENUE  11/15/2027   7.00    1,013,962    1,046,010      
 750,000   CELEBRATION POINTE CMNTY DEV DIST #1 FL SPL ASSMNT REVENUE(e)  5/1/2032   5.00    755,302    799,867      
 1,000,000   CENTRL BRADFORD PROGRESS AUTH PA  12/1/2031   5.50    1,015,497    1,112,730      
 445,000   CHANDLER PARK ACADEMY MI PUBLIC SCH ACADEMY REVENUE  11/1/2022   5.00    389,478    445,449      
 1,000,000   CHICAGO HEIGHTS IL  12/1/2029   4.50    1,061,417    1,053,400      
 1,000,000   CHICAGO IL MIDWAY ARPT REVENUE  1/1/2035   5.25    1,001,563    1,100,570      
 1,000,000   CHICAGO IL PARK DIST  1/1/2028   5.00    1,112,477    1,100,670      
 1,000,000   CLACKAMAS CNTY OR HOSP FAC AUTH REVENUE  11/15/2052   5.00    1,046,530    1,093,620      
 1,500,000   CLOVIS CA UNIF SCH DIST(g)  8/1/2030   0.00    723,954    886,860      
 650,000   CMWLTH FING AUTH PA TOBACCO MASTER SETTLEMENT PAYMENT REV  6/1/2039   4.00    646,785    661,713      
 750,000   COLLIER CNTY FL INDL DEV AUTH  10/1/2039   6.25    737,008    826,005      
 375,000   COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(e)  5/15/2022   5.25    375,000    375,173      
 750,000   COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(e)  5/15/2026   7.25    750,000    818,122      
 1,750,000   COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(e)  5/15/2044   8.13    1,944,212    1,928,710      
 1,000,000   COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE  6/1/2033   5.50    977,481    1,002,940      
 1,000,000   COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE  7/1/2034   5.60    994,708    1,037,770      
 1,000,000   COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE(e)  9/1/2046   5.00    1,008,722    1,001,090      
 1,000,000   COLORADO ST HLTH FACS AUTH REVENUE  8/1/2033   7.63    988,898    1,131,540      
 500,000   COLORADO ST HLTH FACS AUTH REVENUE(e)  12/1/2035   5.75    492,436    521,075      
 115,000   COLORADO ST HSG & FIN AUTH  10/1/2029   5.40    115,000    115,681      
 1,000,000   COLTON CA JT UNIF SCH DIST (STEP TO 5.80% ON 8/1/2021)(b)  8/1/2035   0.00    838,367    991,310      
 1,000,000   CONNECTICUT ST HSG FIN AUTH HSG FIN PROGRAM  11/15/2035   3.88    1,000,000    1,032,830      
 1,500,000   CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM  11/15/2035   3.75    1,500,000    1,515,810      
 515,000   CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM  5/15/2038   3.95    515,000    526,969      

 

See accompanying notes to financial statements.49(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)    Percent of
net assets
 
Municipal Bonds (Cont’d):
 1,000,000   CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM  11/15/2040   3.75   $1,000,000    1,012,590      
 5,000,000   CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM  11/15/2047   3.65    5,000,000    4,946,450      
 500,000   COPPERLEAF CO MET DIST #2  12/1/2030   5.25    500,000    524,910      
 500,000   COPPERLEAF CO MET DIST #2  12/1/2045   5.75    500,000    524,805      
 1,105,000   CORONA-NORCO CA UNIF SCH DIST  8/1/2039   6.80    1,104,671    1,460,235      
 637,000   CORTLAND IL SPL TAX REVENUE(c)  3/1/2017   5.50    633,881    127,400      
 500,000   COVENTRY OH LOCAL SCH DIST  11/1/2037   5.25    503,788    532,090      
 750,000   CRYSTAL CO CROSSING MET DIST  12/1/2040   5.25    750,000    758,678      
 474,200   CUYAHOGA CNTY OH HSG MTGE REVENUE  3/20/2042   5.70    478,084    480,090      
 1,000,000   DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE  11/1/2037   5.25    1,007,388    1,120,970      
 2,000,000   DAMON RUN IN CONSERVANCY DIST  7/1/2025   6.10    2,006,696    2,082,960      
 1,000,000   DAMON RUN IN CONSERVANCY DIST  1/1/2027   6.38    1,002,622    1,043,170      
 1,000,000   DAUPHIN CNTY PA GEN AUTH UNIV REVENUE(e)  10/15/2022   4.00    997,915    1,002,200      
 1,000,000   DAVIE FL EDUCTNL FACS REVENUE  4/1/2042   6.00    1,018,099    1,119,480      
 500,000   DAVIESS CNTY IN HOSP ASSN LEASE RENTAL REVENUE  1/15/2029   5.25    492,031    528,620      
 1,000,000   DAYTON-MONTGOMERY CNTY OH PORT AUTH PROJ REVENUE  1/15/2040   7.00    1,000,000    1,046,780      
 500,000   DECATUR IL  3/1/2034   5.00    512,370    539,525      
 1,000,000   DEKALB/KANE/LA SALLE CNTYS IL CMNTY CLG DIST #523(g)  2/1/2029   0.00    592,859    560,700      
 1,000,000   DEL MAR CA RACE TRACK AUTH  10/1/2035   5.00    1,044,766    1,088,110      
 220,000   DELAWARE ST HSG AUTH REVENUE  7/1/2031   5.20    220,000    223,839      
 500,000   DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE  7/1/2033   5.45    500,000    530,410      
 1,000,000   DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE  6/1/2040   4.90    1,000,000    1,069,520      
 1,000,000   DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE  6/1/2041   5.00    1,000,000    1,086,360      
 750,000   DIST OF COLUMBIA REVENUE  7/1/2037   5.00    750,000    787,102      
 1,000,000   DISTRICT OF COLUMBIA HSG FIN AGY  9/1/2043   4.05    1,000,000    1,010,160      
 1,000,000   DOUGLAS CNTY CO MF REVENUE  10/1/2029   4.50    1,000,000    1,034,100      
 3,000,000   DUBLIN CA UNIF SCH DIST(g)  8/1/2034   0.00    1,092,400    1,144,530      
 1,000,000   EAST CHICAGO IN SAN DIST REVENUE  7/15/2035   4.00    993,270    1,039,750      
 1,500,000   EAST MORGAN CNTY CO HOSP DIST COPS  12/1/2038   5.88    1,500,000    1,518,405      
 2,045,000   EDEN TWP CA HOSP DIST COPS  6/1/2030   6.00    2,027,749    2,214,469      
 750,000   EL PASO DE ROBLES CA REDEV AGY TAX ALLOCATION REVENUE  7/1/2033   6.38    743,177    785,265      
 1,000,000   EL PASO TX DOWNTOWN DEV CORP SPL REVENUE  8/15/2038   7.25    1,056,674    1,219,250      
 1,000,000   ENCINITAS CA UNION SCH DIST (STEP TO 6.75% ON 8/1/2022)(b)  8/1/2035   0.00    762,849    1,114,720      
 1,155,000   ENTERPRISE CA ELEM SCH DIST (STEP TO 6.20% ON 8/1/2021)(b)  8/1/2035   0.00    956,787    1,263,235      
 1,000,000   ERIE CNTY PA HOSP AUTH  7/1/2027   7.00    1,000,000    1,101,840      
 600,000   ESCONDIDO CA SPL TAX  9/1/2036   5.00    641,673    666,984      
 750,000   EVANSVILLE IN MF HSG REVENUE  1/1/2038   5.45    750,000    747,315      
 500,000   FAIRFAX CNTY VA REDEV & HSG AUTH MF REVENUE  8/1/2039   5.60    500,000    500,790      
 1,000,000   FAYETTE CNTY KY SCH DIST FIN CORP  8/1/2033   4.00    990,758    1,043,200      
 1,000,000   FESTIVAL RANCH AZ CMNTY FACS DIST  7/15/2024   6.25    1,002,476    1,030,950      
 315,000   FIDDLERS CREEK FL CDD #2 SPL ASSMNT REVENUE(c)  5/1/2013   5.75    314,118    220,500      
 750,000   FISHHAWK CCD IV FL SPL ASSMNT REVENUE  5/1/2033   7.00    750,000    785,737      
 1,000,000   FLORIDA ST DEV FIN CORP EDUCTNL FACS REVENUE  6/15/2034   6.00    990,820    1,053,990      
 1,000,000   FLORIDA ST DEV FIN CORP EDUCTNL FACS REVENUE(e)  6/15/2035   6.00    1,001,077    1,053,310      
 185,000   FLORIDA ST HSG FIN CORP REVENUE  7/1/2026   5.00    185,177    191,830      
 715,000   FLORIDA ST HSG FIN CORP REVENUE  7/1/2034   5.30    715,000    715,815      
 885,000   FLORIDA ST HSG FIN CORP REVENUE  7/1/2035   3.75    885,000    919,657      
 740,000   FLORIDA ST HSG FIN CORP REVENUE  7/1/2039   4.20    740,000    763,991      
 1,000,000   FLORIDA ST HSG FIN CORP REVENUE  7/1/2047   3.80    1,000,000    994,770      

 

See accompanying notes to financial statements.50(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity date  Coupon rate   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 1,250,000   FORT SILL APACHE TRIBE OK ECONDEV AUTH GAMING ENTERPRISE REV(e)  8/25/2026   8.50   $1,250,000    1,454,350      
 1,000,000   FRANKLIN CNTY KS UNIF SCH DIST #290  9/1/2039   4.75    1,042,496    1,081,820      
 1,000,000   FRANKLIN TN HLTH & EDUCTNL FACS BRD REVENUE(e)  6/1/2027   6.50    1,000,000    1,011,800      
 940,000   FULTON CNTY GA DEV AUTH  11/1/2028   5.25    821,073    908,670      
 1,000,000   FYI PROPERTIES WA LEASE REVENUE  6/1/2034   5.50    984,310    1,030,870      
 3,500,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2037   3.80    3,500,000    3,532,515      
 2,000,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2037   4.00    2,000,000    2,034,420      
 1,000,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2038   3.85    1,000,000    1,008,250      
 1,000,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2039   4.00    1,000,000    1,027,300      
 4,500,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2040   3.80    4,500,000    4,540,395      
 1,000,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2041   3.85    1,004,365    1,008,060      
 1,740,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2042   3.55    1,740,000    1,728,707      
 1,000,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2042   3.65    1,000,000    995,170      
 1,950,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2043   3.90    1,944,286    1,959,379      
 1,100,000   GEORGIA ST HSG & FIN AUTH REVENUE  12/1/2048   4.00    1,100,000    1,106,534      
 600,000   GLENDALE AZ INDL DEV AUTH  11/15/2036   5.00    616,685    620,838      
 550,000   GLENDALE AZ INDL DEV AUTH  11/15/2046   5.25    559,274    561,160      
 1,500,000   GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE (STEP TO 5.50% ON 10/1/2023)(b)  10/1/2035   0.00    1,127,676    1,394,550      
 1,010,000   HAMILTON CNTY OH HLTH CARE REVENUE  1/1/2031   6.13    988,437    1,101,395      
 1,250,000   HARRIS CNTY TX CULTURAL EDU FACS FIN CORP REVENUE  8/15/2021   6.75    1,250,000    1,320,500      
 1,500,000   HARTNELL CA CMNTY CLG DIST (STEP TO 7.00% ON 8/1/2022)(b)  8/1/2034   0.00    1,132,590    1,574,820      
 3,500,000   HEALDSBURG CA UNIF SCH DIST (STEP TO 4.60% ON 8/1/2022)(b)  8/1/2037   0.00    2,905,130    3,150,070      
 1,000,000   HELENDALE CA SCH DIST (STEP TO 6.25% ON 8/1/2019)(b)  8/1/2034   0.00    935,076    1,217,980      
 750,000   HEMPSTEAD TOWN NY LOCAL DEV CORP REVENUE  9/1/2038   5.00    754,376    817,822      
 800,000   HERITAGE HARBOUR FL N CDD SPLASSMNT  5/1/2034   5.00    800,000    862,008      
 1,000,000   HIDALGO CNTY TX REGL MOBILITY AUTH VEHICLE REGISTRATION FEE  12/1/2038   5.25    1,021,711    1,130,780      
 1,500,000   HOUSTON TX HGR EDU FIN CORP  9/1/2038   5.50    1,527,842    1,672,335      
 750,000   IDAHO ST HLTH FACS AUTH REVENUE  10/1/2024   7.00    750,000    832,500      
 750,000   IDAHO ST HLTH FACS AUTH REVENUE  10/1/2029   7.38    742,861    829,215      
 1,000,000   IDAHO ST HLTH FACS AUTH REVENUE  10/1/2044   8.00    1,054,969    1,133,310      
 1,500,000   ILLINOIS ST  2/1/2030   4.00    1,493,048    1,556,250      
 500,000   ILLINOIS ST  7/1/2033   5.50    498,790    527,170      
 1,000,000   ILLINOIS ST EDUCTNL FACS AUTH  11/1/2036   4.50    1,000,000    1,033,310      
 500,000   ILLINOIS ST FIN AUTH EDU REVENUE  9/1/2032   6.00    500,000    555,285      
 675,000   ILLINOIS ST FIN AUTH EDUCTNL FAC REVENUE  2/1/2034   6.00    681,320    708,811      
 565,000   ILLINOIS ST FIN AUTH REVENUE  8/15/2026   6.00    565,000    565,740      
 500,000   ILLINOIS ST FIN AUTH REVENUE  5/15/2036   5.00    501,589    526,880      
 750,000   ILLINOIS ST FIN AUTH REVENUE  12/1/2037   5.00    769,586    780,570      
 500,000   ILLINOIS ST FIN AUTH REVENUE  3/1/2038   6.00    487,039    514,565      
 700,000   ILLINOIS ST FIN AUTH REVENUE  5/15/2038   5.13    685,018    700,203      
 1,000,000   ILLINOIS ST FIN AUTH REVENUE  5/15/2045   5.00    1,071,978    1,073,130      
 1,000,000   ILLINOIS ST HSG DEV AUTH  7/1/2034   4.95    1,000,000    1,063,090      
 1,000,000   ILLINOIS ST HSG DEV AUTH REVENUE  4/1/2041   3.88    1,000,000    1,006,970      
 1,500,000   ILLINOIS ST SPORTS FACS AUTH  6/15/2031   5.25    1,589,466    1,637,340      
 1,000,000   IMPERIAL CA CMNTY CLG DIST  8/1/2040   6.75    1,008,426    1,299,740      
 500,000   INDIANA ST BOND BANK REVENUE  2/1/2029   5.50    493,281    511,425      
 3,000,000   INDIANA ST FIN AUTH REVENUE  9/15/2030   6.50    3,034,383    3,290,040      
 500,000   INDIANA ST FIN AUTH REVENUE  11/15/2031   5.50    493,924    538,230      
 1,000,000   INDIANA ST FIN AUTH REVENUE  11/15/2033   6.50    987,977    1,111,450      
 1,000,000   INDIANA ST FIN AUTH REVENUE  3/1/2041   5.00    1,033,785    1,069,890      
 500,000   INDIANA ST FIN AUTH REVENUE  11/15/2041   5.88    532,480    564,400      
 1,000,000   INDIANA ST FIN AUTH REVENUE  11/15/2041   6.00    987,521    1,137,550      
 1,000,000   INDIANA ST FIN AUTH REVENUE  11/15/2046   5.25    1,036,263    1,088,090      
 1,500,000   INDIANA ST HSG & CMNTY DEV AUTH MF HSG REVENUE  1/1/2036   5.75    1,500,000    1,442,445      
 1,500,000   IOWA ST FIN AUTH REVENUE  5/15/2036   5.00    1,649,300    1,635,180      

 

See accompanying notes to financial statements.51(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):   
 700,000   KALISPEL TRIBE OF INDIANS PRIORITY DIST WA REVENUE  1/1/2038   5.25   $685,743    716,821      
 715,000   KANSAS CITY MO INDL DEV AUTH  9/1/2023   5.45    715,000    738,767      
 1,000,000   KANSAS CITY MO INDL DEV AUTH  11/20/2039   5.10    1,000,000    1,041,560      
 1,400,000   KANSAS CITY MO INDL DEV AUTH SENIOR LIVING FACS REVENUE(e)  11/15/2036   5.75    1,400,000    1,353,688      
 885,000   KENTUCKY ST HSG CORP HSG REVENUE  7/1/2028   3.75    874,083    910,461      
 750,000   KING CNTY WA HSG AUTH  5/1/2028   5.20    750,000    756,630      
 1,500,000   KING CNTY WA HSG AUTH  5/1/2036   3.75    1,480,760    1,490,295      
 1,000,000   KIRKWOOD MO INDL DEV AUTH RETMNT CMNTY REVENUE  5/15/2037   5.25    1,021,270    1,070,890      
 500,000   LAKE CNTY IL SCH DIST #33  12/1/2040   5.00    522,006    525,555      
 750,000   LAKE CNTY OH PORT & ECON DEV AUTH LEASE REVENUE(e)  12/1/2037   6.50    750,000    802,777      
 240,000   LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE  5/1/2025   4.25    239,571    243,082      
 1,600,000   LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE  5/1/2030   7.40    1,587,533    1,789,872      
 735,000   LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE  5/1/2033   6.70    735,000    800,422      
 1,000,000   LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE  5/1/2034   5.35    1,000,000    1,076,870      
 1,400,000   LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE  5/1/2036   5.00    1,400,000    1,458,800      
 750,000   LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE(e)  5/1/2037   5.00    744,561    783,697      
 750,000   LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE  5/1/2037   5.25    745,504    796,170      
 1,000,000   LAMBERTSON FARMS CO MET DIST #1 REVENUE  12/15/2025   5.00    991,140    999,360      
 500,000   LAMBERTSON FARMS CO MET DIST #1 REVENUE  12/15/2035   5.50    500,000    503,255      
 2,000,000   LAS VEGAS NV REDEV AGY TAX INCR REVENUE  6/15/2023   7.50    1,989,681    2,110,200      
 650,000   LEE CNTY FL INDL DEV AUTH(e)  12/1/2032   5.38    650,000    663,195      
 700,000   LEE CNTY FL INDL DEV AUTH(e)  12/1/2052   5.75    684,575    718,375      
 750,000   LEWISVILLE TX COMB CONTRACT REVENUE  9/1/2024   3.00    743,731    756,428      
 465,000   LEXINGTON OAKS FL CDD SPL ASSMNT REVENUE  5/1/2033   5.65    465,000    482,242      
 750,000   LEYDEN ROCK MET DIST #10  12/1/2045   5.00    767,177    764,378      
 1,000,000   LITTLETON VLG MET DIST #2 COLO SPL REV  12/1/2045   5.38    996,407    1,005,300      
 385,000   LONG LAKE RANCH CMNTY DEV DIST FLA CAP IMPT REV  5/1/2024   5.63    385,000    397,262      
 695,000   LONG LAKE RANCH CMNTY DEV DIST FLA CAP IMPT REV  5/1/2046   4.75    685,482    696,446      
 250,000   LONG LAKE RANCH CMNTY DEV DISTFLA CAP IMPT REV  5/1/2026   4.00    249,666    250,615      
 1,000,000   LOUISIANA ST ENERGY & PWR AUTH PWR PROJ REVENUE  6/1/2038   5.25    1,012,916    1,109,240      
 225,000   LOUISIANA ST HSG FIN AGY SF MTGE REVENUE  12/1/2034   5.10    225,000    228,155      
 500,000   LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH  11/15/2025   5.25    529,712    535,435      
 1,000,000   LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH  11/15/2030   6.00    1,014,781    1,113,650      
 700,000   LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH REVE(e)  11/1/2037   5.65    700,000    722,050      
 500,000   LOUISIANA ST PUBLIC FACS AUTH HOSP REVENUE  7/1/2035   5.00    537,179    553,989      
 1,000,000   LOUISIANA ST PUBLIC FACS AUTH HOSP REVENUE  7/1/2047   5.00    1,106,810    1,099,490      
 750,000   LOUISIANA ST PUBLIC FACS AUTH REVENUE  5/1/2031   6.50    747,358    794,872      
 415,000   LOUISIANA ST PUBLIC FACS AUTH REVENUE (FLOATING, ICE LIBOR USD 3M + 0.00%)(f)  2/15/2036   2.27    415,000    392,623      
 500,000   LUCAS CNTY OH HLTH CARE FACS REVENUE  8/15/2030   5.50    493,441    531,850      

 

See accompanying notes to financial statements.52(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 1,500,000   LUCAS MET HSG AUTH OH COPS  11/1/2036   5.00   $1,565,395    1,579,770      
 1,480,000   LUZERNE CNTY PA  11/1/2026   7.00    1,498,894    1,575,830      
 1,000,000   MACON & MOULTRIE CNTYS IL CMNTY SCH DIST #3 MOUNT ZION  12/1/2041   5.50    1,021,536    1,098,300      
 1,000,000   MACON CNTY IL SCH DIST #61  1/1/2037   5.25    1,010,926    1,068,350      
 1,080,000   MACOUPIN SANGAMON & MONTGOMERY CNTYS IL CMNTY SCH DIST #34  12/1/2037   4.25    1,112,886    1,109,711      
 250,000   MAGNOLIA CREEK FL CDD CAPITAL IMPT REVENUE(c)  5/1/2014   5.60    250,000    52,500      
 1,000,000   MAINE ST HSG AUTH MTGE PURCHASE  11/15/2035   4.00    1,000,000    1,024,260      
 1,000,000   MAINE ST HSG AUTH MTGE PURCHASE  11/15/2036   3.90    1,000,000    1,023,810      
 1,000,000   MAINE ST HSG AUTH MTGE PURCHASE  11/15/2038   3.75    1,000,000    991,520      
 1,000,000   MAINE ST HSG AUTH MTGE PURCHASE  11/15/2040   3.55    1,000,000    983,270      
 1,500,000   MAINE ST HSG AUTH MTGE PURCHASE  11/15/2040   3.85    1,500,000    1,517,115      
 500,000   MAINE ST HSG AUTH MTGE PURCHASE  11/15/2042   4.05    500,000    510,120      
 820,000   MAINE ST HSG AUTH MTGE REVENUE  11/15/2037   4.50    820,000    851,898      
 1,000,000   MALTA IL TAX INCR REVENUE(c)  12/30/2025   5.75    1,000,000    320,000      
 500,000   MANATEE CNTY FL SCH BRD COPS  7/1/2031   5.63    496,557    554,275      
 800,000   MARICOPA CNTY AZ INDL DEV AUTH EDU REVENUE  7/1/2035   5.00    850,405    830,416      
 750,000   MARICOPA CNTY AZ INDL DEV AUTH SENIOR LIVING FACS REVENUE(e)  1/1/2036   5.75    741,790    761,063      
 462,000   MARQUIS VA CMNTY DEV AUTH REVENUE(g)  9/1/2041   0.00    140,065    23,922      
 349,000   MARQUIS VA CMNTY DEV AUTH REVENUE  9/1/2041   5.63    375,197    244,551      
 745,000   MARSHALL CREEK FL CDD SPL ASSMNT  5/1/2032   5.00    760,088    757,009      
 750,000   MARTINEZ CA UNIF SCH DIST  8/1/2035   6.13    748,285    927,660      
 500,000   MARYLAND ST CMNTY DEV ADMIN DEPT HSG & CMNTY DEV  7/1/2031   4.50    500,000    526,165      
 546,418   MASHANTUCKET WSTRN PEQUOT TRIBE CT  7/1/2031   6.05    567,294    17,076      
 820,000   MASSACHUSETTS ST DEV FIN AGY REVENUE  7/1/2030   6.38    811,502    885,977      
 700,000   MASSACHUSETTS ST DEV FIN AGY REVENUE(e)  10/1/2047   5.00    751,382    748,580      
 915,000   MASSACHUSETTS ST EDUCTNL FING AUTH  1/1/2028   5.25    915,000    943,914      
 700,000   MASSACHUSETTS ST HSG FIN AGY  12/1/2033   5.00    700,000    734,090      
 700,000   MASSACHUSETTS ST HSG FIN AGY  12/1/2038   5.15    700,000    735,868      
 1,000,000   MASSACHUSETTS ST HSG FIN AGY  12/1/2043   5.00    1,000,000    1,060,160      
 670,000   MASSACHUSETTS ST HSG FIN AGY HSG REVENUE  6/1/2040   5.05    670,000    679,333      
 2,770,000   MASSACHUSETTS ST HSG FIN AGY HSG REVENUE  12/1/2043   4.00    2,770,000    2,793,351      
 2,000,000   MASSACHUSETTS ST HSG FIN AGY HSG REVENUE  6/1/2046   4.20    2,000,000    2,069,380      
 160,000   MEAD NE TAX INCR REVENUE(c)  7/1/2012   5.13    160,000    14,880      
 1,000,000   MEDFORD OR HOSP FACS AUTH REVENUE  10/1/2042   5.00    1,030,212    1,070,750      
 500,000   MEMPHIS-SHELBY CNTY TN INDL DEV BRD ECON DEV GROWTH ENGINE T  7/1/2037   5.50    495,891    534,740      
 600,000   MERRILLVILLE IN ECON DEV REVENUE  4/1/2036   5.75    600,000    571,122      
 500,000   MET PIER & EXPOSITION AUTH ILREVENUE  6/15/2057   5.00    522,210    525,350      
 1,000,000   MIAMI FL HLTH FACS AUTH  7/1/2038   5.13    1,041,295    1,105,760      
 135,000   MIAMI-DADE CNTY FL HLTH FACS AUTH HOSP REVENUE  8/1/2030   6.00    131,055    145,390      
 750,000   MICHIGAN ST FIN AUTH REVENUE  11/15/2035   5.25    745,731    779,655      
 1,500,000   MICHIGAN ST HOSP FIN AUTH  6/1/2034   6.13    1,509,610    1,561,410      
 1,000,000   MICHIGAN ST HSG DEV AUTH  10/1/2034   5.63    1,000,000    1,010,240      
 1,850,000   MICHIGAN ST HSG DEV AUTH  10/1/2035   4.10    1,850,000    1,898,100      
 930,000   MICHIGAN ST HSG DEV AUTH  12/1/2035   3.95    930,000    950,069      
 1,000,000   MICHIGAN ST HSG DEV AUTH  12/1/2036   3.70    1,000,000    1,005,140      
 940,000   MICHIGAN ST HSG DEV AUTH  12/1/2040   3.95    940,000    956,854      
 600,000   MICHIGAN ST HSG DEV AUTH  10/1/2042   3.75    600,000    593,370      
 1,650,000   MICHIGAN ST HSG DEV AUTH  10/1/2043   4.00    1,650,000    1,657,524      
 1,000,000   MICHIGAN ST HSG DEV AUTH  12/1/2045   3.70    1,000,000    989,770      
 1,000,000   MICHIGAN ST MUNI BOND AUTH  5/1/2023   5.75    1,003,617    1,034,890      

 

See accompanying notes to financial statements.53(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 500,000   MICHIGAN ST PUBLIC EDUCTNL FACS AUTH  11/1/2028   6.35   $500,000    500,580      
 220,000   MINNESOTA ST HSG FIN AGY  7/1/2034   5.05    220,000    223,282      
 430,000   MINNESOTA ST HSG FIN AGY  1/1/2040   5.10    430,000    435,990      
 1,000,000   MISHAWAKA IN MF HSG REVENUE(e)  1/1/2038   5.38    1,000,000    987,510      
 1,000,000   MISSISSIPPI ST DEV BANK SPL OBLG  10/1/2031   6.50    978,250    1,051,340      
 1,525,000   MISSISSIPPI ST HOME CORP SF MTGE REVENUE  12/1/2045   3.63    1,525,000    1,505,373      
 55,000   MISSOURI ST HSG DEV COMMISSION SF HSG REVENUE  9/1/2034   5.35    55,000    55,501      
 965,000   MONTANA ST BRD OF HSG  12/1/2038   3.75    965,000    984,261      
 615,000   MONTANA ST BRD OF HSG  12/1/2038   5.20    615,000    657,773      
 1,000,000   MONTANA ST BRD OF HSG  12/1/2048   3.90    1,000,000    996,440      
 955,000   MONTANA ST BRD OF HSG SF MTGE  12/1/2037   3.95    955,000    988,874      
 845,000   MONTANA ST BRD OF HSG SF MTGE  12/1/2038   4.00    847,517    874,465      
 1,000,000   MONTGOMERY CNTY MD HSG OPPNTYS COMMN MFH & RECONSTR DEV REVENUE  7/1/2039   3.88    1,000,000    1,018,490      
 500,000   MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION MF REVENUE  7/1/2037   5.13    500,000    519,630      
 890,000   MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION SF MTGE REVENUE  7/1/2038   4.00    890,000    897,476      
 631,972   MOUNT CARBON CO MET DIST REVENUE  6/1/2043   7.00    631,972    568,775      
 200,000   MOUNT CARBON CO MET DIST REVENUE(c)  6/1/2043   8.00    -    44,000      
 500,000   MULTNOMAH CNTY OR HOSP FACS AUTH REVENUE  12/1/2029   5.00    520,053    536,950      
 615,000   MUNSTER IN ECON DEV TAX INCR REVENUE  7/15/2026   4.75    612,949    667,632      
 371,000   N CENTRL TEXAS ST HLTH FAC DEV CORP  2/15/2025   5.38    371,000    371,237      
 380,000   N SPRINGS FL IMPT DIST  5/1/2027   6.00    380,000    398,654      
 1,000,000   N TX TOLLWAY AUTH REVENUE  1/1/2034   6.00    1,000,000    1,101,480      
 1,000,000   N TX TOLLWAY AUTH REVENUE  1/1/2042   6.20    999,429    1,193,410      
 1,000,000   NATRONA CNTY WY HOSP REVENUE  9/15/2031   6.35    1,000,000    1,116,260      
 500,000   NAVAJO NATION AZ(e)  12/1/2030   5.50    528,968    562,330      
 650,000   NEBRASKA ST INVESTMENT FIN AUTH SF HSG REVENUE  9/1/2035   3.75    650,000    654,284      
 970,000   NEBRASKA ST INVESTMENT FIN AUTH SF HSG REVENUE  9/1/2035   3.90    970,000    987,528      
 1,240,000   NEVADA ST HSG DIV SF MTGE REVENUE  10/1/2039   3.85    1,240,000    1,257,013      
 130,000   NEVADA ST HSG DIV SF MTGE REVENUE  10/1/2040   5.10    130,000    130,631      
 1,000,000   NEW HAMPSHIRE ST HLTH & EDU FACS AUTH REVENUE  1/1/2034   6.00    974,342    1,100,200      
 500,000   NEW HAMPSHIRE ST HLTH & EDU FACS AUTH REVENUE  8/1/2038   6.00    491,399    523,240      
 1,000,000   NEW HAMPSHIRE ST HSG FIN AUTH MF REVENUE  7/1/2031   5.20    1,000,000    1,049,670      
 330,000   NEW HAMPSHIRE ST HSG FIN AUTH SF REVENUE  7/1/2034   5.38    330,000    332,746      
 1,500,000   NEW HAMPSHIRE ST HSG FIN AUTHMF REVENUE  7/1/2052   4.00    1,500,000    1,512,915      
 750,000   NEW HOPE CULTURAL ED FACS FINCORP TX RETIREMENT FAC REVENUE  1/1/2035   5.50    763,076    804,915      
 1,100,000   NEW HOPE CULTURAL EDU FACS FIN CORP TX STUDENT HSG REV  4/1/2046   5.00    1,143,363    1,190,486      
 750,000   NEW HOPE CULTURAL EDU FACS FINCORP TX EDU REVENUE(e)  8/15/2036   5.00    755,779    751,455      
 1,000,000   NEW HOPE CULTURAL EDU FACS FINCORP TX EDU REVENUE  8/15/2036   5.50    1,004,766    1,021,430      
 1,000,000   NEW HOPE CULTURAL EDU FACS FINCORP TX EDU REVENUE(e)  8/15/2037   6.00    1,017,026    1,045,240      
 500,000   NEW JERSEY ST ECON DEV AUTH  6/15/2042   5.00    542,317    536,980      
 750,000   NEW JERSEY ST ECON DEV AUTH REVENUE  7/15/2047   5.00    804,604    804,615      
 170,000   NEW JERSEY ST HGR EDU ASSISTANCE AUTH STUDENT LOAN REVENUE  6/1/2024   5.38    169,529    173,907      

 

See accompanying notes to financial statements.54(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 1,000,000   NEW JERSEY ST HSG & MTGE FIN AGY MF CONDUIT REVENUE  1/1/2030   3.60   $1,000,000    1,016,480      
 855,000   NEW JERSEY ST HSG & MTGE FIN AGY MF REVENUE  10/1/2030   4.50    855,000    887,088      
 365,000   NEW JERSEY ST HSG & MTGE FIN AGY MF REVENUE  10/1/2034   5.00    365,000    371,446      
 540,000   NEW JERSEY ST HSG & MTGE FIN AGY MF REVENUE  10/1/2035   5.00    540,000    545,994      
 915,000   NEW JERSEY ST HSG & MTGE FIN AGY MF REVENUE  10/1/2037   5.00    909,359    922,256      
 1,000,000   NEW JERSEY ST HSG & MTGE FIN AGY MF REVENUE  5/1/2041   4.95    968,990    1,020,830      
 3,500,000   NEW JERSEY ST HSG & MTGE FIN AGY REVENUE  10/1/2035   3.75    3,500,000    3,516,170      
 1,000,000   NEW JERSEY ST TRANSPRTN TRUST FUND AUTH  6/15/2024   5.00    1,000,000    1,002,240      
 1,000,000   NEW JERSEY ST TRANSPRTN TRUST FUND AUTH  6/15/2030   5.00    1,000,000    1,002,200      
 500,000   NEW JERSEY ST TRANSPRTN TRUST FUND AUTH  6/15/2041   5.25    509,610    536,330      
 210,000   NEW MEXICO ST MTGE FIN AUTH  9/1/2029   4.80    210,000    212,421      
 425,000   NEW MEXICO ST MTGE FIN AUTH  9/1/2034   5.00    425,000    432,361      
 415,000   NEW MEXICO ST MTGE FIN AUTH  3/1/2036   5.45    415,000    419,528      
 960,000   NEW MEXICO ST MTGE FIN AUTH  9/1/2042   3.70    960,000    959,962      
 675,000   NEW MEXICO ST MTGE FIN AUTH  9/1/2042   3.90    675,000    682,324      
 1,030,000   NEW MEXICO ST MTGE FIN AUTH  9/1/2042   4.13    1,030,000    1,052,608      
 1,550,000   NEW MEXICO ST MTGE FIN AUTH  7/1/2043   3.85    1,550,000    1,551,147      
 905,000   NEW MEXICO ST MTGE FIN AUTH  9/1/2046   3.80    905,000    910,801      
 775,000   NEW MEXICO ST MTGE FIN AUTH  7/1/2048   3.90    775,000    778,503      
 115,000   NEW RIVER FL CDD CAPITAL IMPT REVENUE(c)  5/1/2013   5.00    114,821    1      
 1,000,000   NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE  11/1/2037   3.80    1,000,000    1,010,270      
 1,000,000   NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE  11/1/2039   4.30    1,000,000    1,029,380      
 600,000   NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE  11/1/2042   3.85    601,933    602,730      
 1,000,000   NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE  11/1/2047   3.65    1,000,000    978,780      
 2,000,000   NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE  6/15/2038   5.00    2,138,152    2,226,480      
 1,500,000   NEW YORK ST HSG FIN AGY REVENUE  11/1/2034   3.65    1,500,000    1,520,415      
 1,000,000   NEW YORK ST HSG FIN AGY REVENUE  11/1/2041   4.10    1,000,000    1,035,190      
 1,000,000   NEW YORK ST HSG FIN AGY REVENUE  11/1/2042   4.00    1,000,000    1,024,980      
 500,000   NEW YORK ST HSG FIN AGY REVENUE  11/1/2045   5.10    500,000    538,450      
 4,000,000   NEW YORK ST HSG FIN AGY REVENUE  5/1/2048   4.10    4,000,000    4,053,600      
 1,000,000   NEW YORK ST HSG FIN AGY REVENUE  11/1/2048   3.95    1,000,000    1,004,400      
 955,000   NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE  10/1/2036   3.90    955,000    968,208      
 750,000   NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE  10/1/2038   3.75    750,000    756,375      
 1,450,000   NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE  10/1/2040   3.80    1,450,000    1,460,367      
 500,000   NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE  10/1/2042   3.75    500,000    501,540      
 500,000   NORTH CAROLINA ST CAPITAL FACS FIN AGY EDUCTNL FACS REVENUE  6/1/2023   5.00    500,000    500,845      
 1,000,000   NORTH CAROLINA ST HSG FIN AGY HOME OWNERSHIP REVENUE  7/1/2037   3.85    1,000,000    1,017,420      
 1,000,000   NORTH CAROLINA ST HSG FIN AGY HOME OWNERSHIP REVENUE  1/1/2041   3.95    1,014,422    1,015,160      
 1,000,000   NORTH CAROLINA ST HSG FIN AGY HOME OWNERSHIP REVENUE  1/1/2048   4.00    1,000,000    1,009,040      
 500,000   NORTH DAKOTA ST HSG FIN AGY  7/1/2048   4.00    534,700    527,060      
 600,000   NORTH LAS VEGAS NV LOCAL IMPT(e)  12/1/2027   4.00    585,269    585,714      
 600,000   NORTH LAS VEGAS NV LOCAL IMPT(e)  12/1/2037   5.00    601,336    603,306      
 500,000   NORTH SPRINGS FL IMPT DIST  5/1/2044   6.50    500,000    514,815      
 1,000,000   NTHRN IL UNIV  4/1/2026   5.50    1,003,946    1,052,960      
 1,400,000   NTHRN PALM BEACH CNTY FL IMPT DIST  8/1/2029   5.00    1,408,197    1,479,478      
 500,000   NTHRN PALM BEACH CNTY FL IMPTDIST  8/1/2037   5.00    510,962    528,755      

 

See accompanying notes to financial statements.55(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 2,000,000   OAK PARK CA UNIF SCH DIST (STEP TO 7.10% ON 8/1/2021)(b)  8/1/2038   0.00   $1,614,527    2,292,900      
 875,000   OAKLAND CNTY MI ECON DEV CORP LTD OBLG REVENUE  12/1/2020   6.50    873,249    894,661      
 255,000   OHIO ST HSG FIN AGY RSDL MTGE REVENUE  9/1/2033   5.40    255,000    255,729      
 950,000   OHIO ST HSG FIN AGY RSDL MTGE REVENUE  9/1/2039   3.35    849,773    935,788      
 85,000   OKLAHOMA ST HSG FIN AGY SF MTGE REVENUE  3/1/2032   5.15    85,000    85,850      
 10,000   OKLAHOMA ST HSG FIN AGY SF MTGE REVENUE  9/1/2038   6.50    10,015    10,071      
 1,000,000   ORANGE CNTY FL HLTH FACS AUTH REVENUE  8/1/2034   5.00    1,044,172    1,083,160      
 750,000   ORANGE CNTY FL HLTH FACS AUTH REVENUE  8/1/2035   5.00    782,669    818,002      
 1,000,000   ORANGE CNTY FL HLTH FACS AUTH REVENUE  8/1/2047   5.00    1,080,705    1,087,970      
 795,000   ORANGE CNTY FL HSG FIN AUTH  9/1/2035   3.80    795,000    804,564      
 1,250,000   OREGON ST  12/1/2034   3.63    1,250,000    1,269,950      
 2,000,000   OREGON ST  12/1/2039   3.90    2,000,000    2,053,980      
 680,000   OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE  7/1/2035   3.75    680,000    687,031      
 820,000   OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE  7/1/2038   4.00    820,000    832,136      
 1,355,000   OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE  7/1/2048   3.75    1,355,000    1,314,580      
 500,000   PALISADE CO MET DIST #2 LIMITED TAX  12/1/2046   5.00    508,020    504,890      
 500,000   PALM BEACH CNTY FL HLTH FACS AUTH REVENUE  6/1/2034   7.25    500,000    572,725      
 1,200,000   PALM BEACH CNTY FL HLTH FACS AUTH REVENUE  5/15/2036   5.00    1,319,440    1,308,144      
 500,000   PALM BEACH CNTY FL HLTH FACS AUTH REVENUE  6/1/2049   7.50    492,595    576,445      
 1,000,000   PELL CITY AL SPL CARE FACS FING AUTH REVENUE  12/1/2031   5.00    1,037,128    1,081,580      
 500,000   PENNSYLVANIA ST HGR EDUCTNL FACS AUTH REVENUE (FLOATING, ICE LIBOR  USD 3M + 0.00%)(f)  7/1/2039   2.22    500,000    427,685      
 1,000,000   PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE  10/1/2037   3.65    1,003,045    1,003,000      
 1,000,000   PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE  10/1/2038   3.95    1,000,000    1,008,060      
 500,000   PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE  10/1/2038   4.00    500,000    506,800      
 3,200,000   PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE  10/1/2040   4.05    3,200,000    3,275,132      
 1,835,000   PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE  10/1/2042   3.65    1,835,000    1,838,817      
 580,000   PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE  10/1/2042   3.70    580,000    587,325      
 750,000   PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE  10/1/2042   4.00    750,000    764,760      
 1,935,000   PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE  12/1/2035   5.13    1,930,261    2,088,968      
 1,500,000   PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE (STEP TO 4.60% ON 12/1/2021)(b)  12/1/2037   0.00    1,280,377    1,404,750      
 1,000,000   PEORIA AZ INDL DEV AUTH  11/15/2029   5.25    1,000,000    1,017,240      
 400,000   PHILADELPHIA PA AUTH FOR INDL DEV REVENUES  6/15/2023   6.13    400,000    428,728      
 750,000   PHILADELPHIA PA AUTH FOR INDL DEV REVENUES  8/1/2036   5.63    739,492    768,780      
 1,000,000   PHOENIX AZ INDL DEV AUTH EDU REVENUE(e)  7/1/2036   5.13    985,482    989,000      
 750,000   PHOENIX AZ INDL DEV AUTH EDU REVENUE  7/1/2042   6.30    791,749    844,912      
 2,500,000   PHOENIX AZ INDL DEV AUTH LEASE REVENUE  6/1/2034   5.25    2,521,963    2,734,075      
 1,000,000   PIKE PLACE MARKET WA PRESERVATION & DEV AUTH SPL OBLG  12/1/2040   5.00    1,060,997    1,102,630      

 

 

See accompanying notes to financial statements.56(Continued)

 

 

CLEARWATER INVESTMENT TRUST 

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 1,000,000   PIMA CNTY AZ INDL DEV AUTH EDU REVENUE(e)  12/1/2026   5.25   $1,000,000    1,032,190      
 10,000   PIMA CNTY AZ INDL DEV AUTH EDU REVENUE  7/1/2031   6.75    7,767    10,062      
 750,000   PIMA CNTY AZ INDL DEV AUTH EDU REVENUE(e)  6/15/2037   4.75    736,199    746,273      
 2,625,000   PITTSBURG CALIF UNI SCH DIST FING AUTH REV(g)  9/1/2031   0.00    1,313,494    1,207,185      
 820,000   POINCIANA FL W CDD SPL ASSMNT  5/1/2030   5.38    811,094    829,701      
 750,000   POLK CNTY OR HOSP FAC AUTH REVENUE  7/1/2035   5.13    750,000    781,058      
 2,000,000   PORT SAINT LUCIE FL RESEARCH FACS REVENUE  5/1/2033   5.00    2,029,373    2,053,280      
 1,000,000   PROMENADE CASTLE ROCK CO MET DIST #1  12/1/2025   5.13    1,000,000    1,061,450      
 380,000   PUBLIC FIN AUTH WI CCRC REVENUE  6/1/2020   7.00    378,325    401,778      
 1,500,000   PUBLIC FIN AUTH WI CCRC REVENUE  6/1/2046   8.25    1,544,574    1,724,880      
 16,520   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2046   0.00    566    508      
 18,299   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2047   0.00    623    562      
 17,930   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2048   0.00    607    550      
 17,786   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2049   0.00    600    545      
 17,496   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2050   0.00    587    535      
 18,980   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2051   0.00    633    579      
 451,406   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(f)(h)  7/1/2051   3.75    449,050    448,228      
 19,357   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2052   0.00    643    590      
 19,095   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2053   0.00    632    581      
 18,909   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2054   0.00    623    575      
 18,634   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2055   0.00    612    567      
 18,360   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2056   0.00    600    557      
 93,403   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)  7/1/2056   5.50    93,395    92,959      
 18,454   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2057   0.00    1,383    560      
 18,165   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2058   0.00    589    550      
 17,992   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2059   0.00    582    544      
 17,834   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2060   0.00    574    539      
 17,573   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2061   0.00    564    531      
 17,400   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2062   0.00    557    525      
 17,125   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2063   0.00    547    516      
 16,967   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2064   0.00    541    512      
 16,823   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2065   0.00    535    507      
 16,731   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2066   0.00    531    503      
 215,987   PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(e)(g)  1/1/2067   0.00    6,782    6,490      
 655,000   PUBLIC FIN AUTH WI REVENUE  4/1/2025   5.00    658,717    696,848      
 1,250,000   PUBLIC FIN AUTH WI REVENUE(e)  11/1/2028   6.25    1,250,000    1,268,487      
 600,000   PUBLIC FIN AUTH WI REVENUE  4/1/2032   5.50    600,000    644,208      
 371,751   PUBLIC FIN AUTH WI REVENUE(g)  10/1/2042   0.00    412,528    80,477      
 515,000   PUBLIC FIN AUTH WI REVENUE  10/1/2042   7.00    544,781    516,602      

 

See accompanying notes to financial statements.57(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 1,130,000   PUBLIC FIN AUTH WI SENIOR LIVING REVENUE(e)  11/15/2024   5.00   $1,126,906    1,217,247      
 1,500,000   PUERTO RICO CMWLTH  7/1/2035   5.00    1,500,000    1,584,060      
 1,045,000   QUECHAN INDIAN TRIBE AZ FORT YUMA INDIAN RESERVATION  5/1/2025   9.75    1,045,000    1,173,305      
 750,000   RED RIVER TX HLTH FACS DEV CORP RETIREMENT FAC REVENUE  11/15/2034   7.50    746,413    858,127      
 1,000,000   REDONDO BEACH CA UNIF SCH DIST  8/1/2034   6.38    998,315    1,276,770      
 750,000   REEF-SUNSET CA UNIF SCH DIST (STEP TO 4.85% ON 8/1/2021)(b)  8/1/2038   0.00    646,980    707,483      
 500,000   RHODE ISLAND ST HLTH & EDUCTNL BLDG CORP  5/15/2030   6.25    495,019    520,185      
 775,000   RHODE ISLAND ST HSG & MTGE FIN CORP  10/1/2028   4.00    771,748    791,546      
 750,000   RHODE ISLAND ST HSG & MTGE FIN CORP  10/1/2037   3.90    750,000    758,453      
 910,000   RHODE ISLAND ST HSG & MTGE FIN CORP  10/1/2046   3.40    910,000    859,322      
 1,000,000   RIVERSIDE CA CMNTY PPTYS DEV INC LEASE REVENUE  10/15/2038   6.00    1,016,253    1,207,940      
 500,000   ROWLEY MA  5/1/2027   4.00    500,452    500,555      
 1,500,000   S TAHOE CA JT PWRS FING AUTH LEASE REVENUE  10/1/2030   5.00    1,611,358    1,683,225      
 450,000   S WSTRN IL DEV AUTH(c)  10/1/2022   7.00    450,000    261,000      
 350,000   SACRAMENTO CNTY CA WTR FING AUTH REVENUE (FLOATING, ICE LIBOR USD 3M + 0.00%)(f)  6/1/2039   2.11    350,000    321,115      
 750,000   SAINT LOUIS CNTY MO INDL DEV AUTH SENIOR LIVING FACS  9/1/2042   5.00    762,678    784,597      
 750,000   SAINT TAMMANY LA PUBLIC TRUST FING AUTH  11/15/2037   5.25    760,085    800,895      
 500,000   SAN DIEGO CA HSG AUTH MF HSG REVENUE  5/1/2029   5.00    500,000    526,760      
 1,500,000   SAN GABRIEL CA UNIF SCH DIST  8/1/2039   5.35    1,497,433    1,664,115      
 1,000,000   SAN JOSE CA FING AUTH  6/1/2039   5.00    1,038,797    1,114,350      
 500,000   SANTA MONICA CA REDEV AGY  7/1/2036   5.88    507,731    557,585      
 1,000,000   SCHERERVILLE IN ECON DEV REVENUE  1/15/2030   6.00    1,011,798    1,145,880      
 1,000,000   SCOTTS BLUFF CNTY NE HOSP AUTH  2/1/2037   5.25    1,049,952    1,055,030      
 500,000   SEATTLE WA HSG AUTH  12/1/2047   3.85    500,000    500,770      
 770,000   SEATTLE WA HSG AUTH POOLED HSG REVENUE  9/15/2033   5.75    780,340    863,724      
 500,000   SEVEN OAKS FL CMNTY DEV DIST SPL ASSMNT REVENUE  5/1/2033   5.50    490,067    522,940      
 150,000   SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(c)  1/1/2019   5.35    134,966    375      
 625,000   SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(c)  1/1/2029   5.55    556,863    1,563      
 130,000   SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(c)  1/1/2029   6.00    -    1      
 750,000   SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(e)  9/1/2037   5.00    795,090    702,495      
 525,000   SHERIDAN AR SCH DIST #37  2/1/2047   4.00    537,134    531,626      
 30,000   SILVERLEAF FL CDD CAPITAL IMPT REVENUE  5/1/2023   6.50    30,000    31,521      
 215,000   SILVERLEAF FL CDD CAPITAL IMPT REVENUE  5/1/2044   6.75    211,105    228,592      
 255,000   SOUTH CAROLINA ST EDU ASSISTANCE AUTH  10/1/2029   5.10    252,839    261,765      
 1,000,000   SOUTH CAROLINA ST JOBS-ECON DEV AUTH HOSP REVENUE  2/1/2038   5.00    1,113,207    1,105,370      
 1,000,000   SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE  12/1/2038   5.00    1,049,513    1,067,880      
 1,400,000   SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE  12/1/2043   5.75    1,455,948    1,548,918      
 500,000   SOUTH DAKOTA ST HLTH & EDUCTNL FACS AUTH  9/1/2032   5.00    499,500    520,650      
 60,000   SOUTHSIDE AZ CMNTY FACS DIST #1 SPL ASSMNT REVENUE PRESCOTT  7/1/2018   6.13    60,000    60,000      
 1,000,000   SPRINGDALE AR SALES & USE REVENUE  4/1/2041   3.60    971,168    987,700      
 500,000   ST VRAIN LAKES MET DIST #2  12/1/2037   5.00    500,000    498,745      
 1,000,000   STC MET DIST #2 CO  12/1/2038   6.00    971,299    1,029,530      

 

See accompanying notes to financial statements.58(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 142,538   STERLING HILL FL CDD CAPITAL IMPT REVENUE(c)  11/1/2010   5.50   $142,538    91,224      
 1,000,000   SUGAR LAND TX DEV CORP SALES TAX REVENUE  2/15/2033   5.00    1,070,106    1,096,900      
 2,385,000   SULPHUR SPRINGS CA UNION SCH DIST COPS  12/1/2037   6.50    2,383,044    2,912,633      
 1,500,000   SUTTER BUTTE CA FLOOD AGY ASSMNT REVENUE  10/1/2038   4.00    1,483,500    1,541,385      
 1,100,000   TALLAHASSEE FL HLTH FACS REVENUE  12/1/2040   5.00    1,157,058    1,188,561      
 500,000   TALLMAN GULCH MET DIST CO  12/1/2047   5.25    500,000    497,750      
 1,000,000   TARRANT CNTY TX CULTURAL EDU FACS FIN CORP HOSP REVENUE  11/15/2038   5.00    1,059,745    1,092,270      
 1,000,000   TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE  11/15/2022   5.50    1,000,000    1,000,010      
 750,000   TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE  11/15/2024   5.63    750,000    764,708      
 750,000   TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE  11/15/2035   5.00    775,674    786,675      
 700,000   TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE  5/15/2037   5.00    758,899    733,803      
 1,485,000   TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE  11/15/2037   6.63    1,509,431    1,654,899      
 750,000   TAYLOR MI BROWNFIELD REDEV AUTH  5/1/2032   5.00    784,692    813,337      
 500,000   TEMPE AZ INDL DEV AUTH REVENUE(e)  10/1/2024   4.70    498,628    504,190      
 500,000   TEMPE AZ INDL DEV AUTH REVENUE(e)  10/1/2037   6.00    503,119    532,795      
 1,000,000   TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE  1/1/2031   3.60    1,010,750    1,011,300      
 955,000   TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE  7/1/2036   3.70    955,000    964,225      
 1,000,000   TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE  7/1/2042   3.85    1,000,000    1,003,020      
 1,000,000   TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE  7/1/2042   3.90    1,000,000    1,012,890      
 1,245,000   TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE  7/1/2047   3.65    1,245,000    1,238,377      
 580,000   TENNESSEE ST HSG DEV AGY  1/1/2035   3.85    580,000    600,317      
 930,000   TENNESSEE ST HSG DEV AGY  7/1/2043   3.80    930,000    933,320      
 325,000   TEXAS ST DEPT OF HSG & CMNTY AFFAIRS  7/1/2039   5.45    325,000    328,016      
 700,000   TOBACCO SETTLEMENT FING CORP NJ  6/1/2046   5.00    705,401    752,045      
 1,500,000   TOLOMATO FL CDD  5/1/2040   3.75    1,439,350    1,475,745      
 125,000   TOLOMATO FL CDD(c)  5/1/2040   6.61    -    1      
 185,000   TOLOMATO FL CDD (STEP TO 6.61% ON 11/1/2021)(b)  5/1/2040   0.00    150,016    147,341      
 115,000   TOLOMATO FL CDD (STEP TO 6.61% ON 11/1/2024)(b)  5/1/2040   0.00    74,494    75,356      
 90,000   TOLOMATO FL CDD (STEP TO 6.61% ON 5/1/2019)(b)  5/1/2040   0.00    83,519    85,978      
 50,000   TOLOMATO FL CDD (STEP TO 6.61% ON 5/1/2022)(b)  5/1/2040   0.00    43,860    40,098      
 1,000,000   TRACY CA JT UNIF SCH DIST (STEP TO 7.30% ON 8/1/2027)(b)  8/1/2041   0.00    613,766    837,040      
 600,000   TRAVIS CNTY TX HLTH FACS DEV CORP  1/1/2046   7.13    650,122    676,494      
 750,000   TRAVIS CNTY TX HLTH FACS DEV CORP(f)(h)  1/1/2047   5.25    750,000    796,350      
 700,000   TROUT CREEK CDD FL CAPITAL IMPT REVENUE  5/1/2038   5.38    700,000    699,937      
 500,000   TSR CDD FL SPL ASSMNT REVENUE  11/1/2035   5.38    498,598    535,790      
 1,250,000   TUSTIN CA UNIF SCH DIST (STEP TO 6.00% ON 8/1/2019)(b)  8/1/2028   0.00    1,167,808    1,327,200      
 555,000   UNIVERSAL ACADEMY MI PUBLIC SCH ACADEMY REVENUE  12/1/2023   6.50    548,776    568,653      
 750,000   UPPER IL RIVER VLY DEV AUTH(e)  12/1/2022   4.00    743,994    740,138      
 750,000   UPPER IL RIVER VLY DEV AUTH(e)  12/1/2037   5.25    766,340    759,968      
 1,000,000   UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE(e)  7/15/2033   4.65    989,292    991,450      
 1,500,000   UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE  10/15/2033   6.50    1,502,644    1,509,195      
 750,000   UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE(e)  4/15/2045   6.00    762,681    776,693      
 165,000   UTAH ST HSG CORP SF MTGE REVENUE  1/1/2033   5.75    165,000    169,363      

 

See accompanying notes to financial statements.59(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
  Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Municipal Bonds (Cont’d):
 490,000   VANCOUVER WA HSG AUTH  3/1/2025   5.00   $481,862    516,779      
 1,000,000   VANCOUVER WA HSG AUTH  8/1/2034   3.75    982,192    1,008,020      
 680,000   VERMONT ST HSG FIN AGY  5/1/2032   4.88    677,219    712,851      
 1,000,000   VIRGINIA ST HSG DEV AUTH  7/1/2033   4.13    1,000,000    1,038,010      
 1,000,000   VIRGINIA ST HSG DEV AUTH  12/1/2039   5.00    1,000,000    1,024,190      
 500,000   VIRGINIA ST HSG DEV AUTH  5/1/2041   3.55    500,000    498,430      
 3,500,000   VIRGINIA ST HSG DEV AUTH CMWLTH MTGE  1/1/2038   3.88    3,490,250    3,555,370      
 1,190,000   VLG FL CDD #7 SPL ASSMNT REVENUE  5/1/2036   4.00    1,182,491    1,214,205      
 530,000   WASHINGTON ST HSG FIN COMMISSION(e)  7/1/2025   6.00    532,976    558,721      
 1,000,000   WASHINGTON ST HSG FIN COMMISSION(e)  1/1/2031   5.00    1,001,668    1,077,320      
 750,000   WASHINGTON ST HSG FIN COMMISSION(e)  7/1/2031   5.00    801,051    787,267      
 675,000   WASHINGTON ST HSG FIN COMMISSION(e)  1/1/2035   5.75    675,000    683,377      
 600,000   WASHINGTON ST HSG FIN COMMISSION(e)  7/1/2036   5.00    637,324    625,686      
 500,000   WASHINGTON ST HSG FIN COMMISSION(e)  1/1/2038   5.00    546,820    550,840      
 745,000   WASHINGTON ST HSG FIN COMMISSION  12/1/2045   3.80    745,000    752,852      
 990,000   WASHINGTON ST HSG FIN COMMISSION  12/1/2047   4.00    1,053,292    1,037,926      
 4,000   WATERS EDGE FL CDD CAPITAL IMPT REVENUE  5/1/2039   5.35    4,000    3,926      
 145,000   WATERS EDGE FL CDD CAPITAL IMPT REVENUE  5/1/2039   6.60    144,023    145,225      
 1,500,000   WEST VIRGINIA ST HSG DEV FUND  11/1/2032   3.75    1,500,000    1,538,220      
 130,000   WEST VIRGINIA ST HSG DEV FUND  11/1/2039   4.10    130,000    131,179      
 575,000   WEST VIRGINIA ST HSG DEV FUND  11/1/2047   4.13    575,000    590,272      
 1,500,000   WEST VLY CITY UT MUNI BLDG AUTH LEASE REVENUE  2/1/2039   5.00    1,665,471    1,695,090      
 550,000   WESTCHESTER CO NY LOCAL DEV CORP REVENUE  1/1/2034   5.00    570,819    587,571      
 685,000   WESTMONT IL PARK DIST(g)  12/1/2031   0.00    312,341    359,639      
 685,000   WESTMONT IL PARK DIST(g)  12/1/2033   0.00    271,666    313,107      
 1,350,000   WICHITA KS HLTH CARE FACS REVENUE  5/15/2034   6.25    1,350,000    1,352,268      
 600,000   WICHITA KS HLTH CARE FACS REVENUE  12/1/2036   5.25    605,045    632,058      
 1,000,000   WINDSHIRE PARK CO MET DIST #2  12/1/2047   6.50    1,089,305    1,087,150      
 750,000   WIREGRASS FL CDD CAPITAL IMPT REVENUE  5/1/2035   5.38    745,830    791,767      
 905,000   WISCONSIN ST GEN FUND ANNUAL APPROP REVENUE  5/1/2027   6.00    907,569    937,670      
 630,000   WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE  7/1/2030   5.75    634,474    678,794      
 1,300,000   WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE  8/15/2032   5.00    1,406,801    1,454,947      
 700,000   WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE  6/1/2037   5.00    734,422    732,844      
 500,000   WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE  9/15/2040   5.00    519,942    525,150      
 2,000,000   WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE  8/15/2043   5.00    2,077,801    2,146,140      
 1,400,000   WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE  9/15/2045   5.00    1,452,508    1,467,074      
 500,000   WISCONSIN ST HSG & ECON DEV AUTH  11/1/2035   3.88    500,000    508,240      
 1,000,000   WISCONSIN ST HSG & ECON DEV AUTH  11/1/2040   4.00    1,000,000    1,022,160      
 1,000,000   WISCONSIN ST HSG & ECON DEV AUTH  11/1/2042   3.90    1,004,815    1,008,460      
 1,500,000   WISCONSIN ST HSG & ECON DEV AUTH  5/1/2055   4.15    1,500,000    1,505,175      
 935,000   WYANDOTTE CNTY KS KANSAS CITY UNIF GOVT SPL OBLG REVENUE  9/1/2032   5.75    928,711    999,908      
 750,000   WYNNFIELD LAKES FL CDD  5/1/2036   4.50    745,019    772,035      
 1,000,000   WYOMING ST CMNTY DEV AUTH HSG REVENUE  12/1/2038   3.90    1,000,000    1,017,320      
 1,645,000   WYOMING ST CMNTY DEV AUTH HSG REVENUE  12/1/2038   4.05    1,645,000    1,664,098      
 350,934   ZEPHYR RIDGE FL CDD CAPITAL IMPT REVENUE(c)  5/1/2013   5.25    351,276    294,784      
 Sub-total Municipal Bonds:           478,183,179    495,787,419    91.70% 

 

See accompanying notes to financial statements.60(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Par/Shares   Security  Maturity
date
   Coupon
rate
   Cost   Fair value (a)   Percent of
net assets
 
Short-Term Investments:
 14,811,298   NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT                        
     SELECT PORTFOLIO, 1.75%(i)           $14,811,298    14,811,298      
  Sub-total Short-Term Investments:            14,811,298    14,811,298    2.74
     Grand total           $518,316,404    535,693,646    99.08%

 

Notes to Schedule of Investments:

 

(a)Investments are valued in accordance with procedures described in note 2 to the financial statements.

(b)For step bonds, the coupon rate disclosed is the current rate in effect.

(c)Non-income producing assets. For long-term debt securities, item identified is in default as to payment of interest and/or principal.

(d)Security has converted to a fixed rate as of February 1, 2015, and will be going forward.

(e)Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees.

(f)Variable rate security. Rate as of June 30, 2018 is disclosed.

(g)Zero coupon bond.

(h)Rate is determined by a remarketing agent which, in its judgment, on the basis of prevailing financial markets, will be the lowest interest rate necessary to enable the remarketing agent to sell the bonds at a price equal to 100% of the principal amount.

(i)The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2017, the value of the Clearwater Tax-Exempt Bond Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $6,336,567 with net purchases of $8,474,731 for the six months ended June 30, 2018.

 

Diversification of investments representing geographic diversification, as a percentage of total investments at fair value, is as follows:

 

Geographical Diversification  Percent 
Florida   11.00% 
Illinois   9.33 
California   8.83 
Texas   6.02 
New York   4.81 
Georgia   4.64 
Indiana   4.01 
Pennsylvania   3.85 
Wisconsin   3.57 
Colorado   3.31 
Other   40.63 
    100.00% 

 

At June 30, 2018, the Clearwater Tax-Exempt Bond Fund had outstanding futures contracts as follows:

 

Type   Number of Contracts   Notional Amount   Contract Position   Contract Exp.   Value and Unrealized Appreciation (Depreciation) 
10-Year U.S. Treasury Note   598   $(71,872,125)  Short   9/18   $(557,371)
U.S. Treasury Long Bond   48    (6,960,000)  Short   9/18    (137,034)
2-Year U.S. Treasury Note   207    (23,518,758)  Short   9/18    (89,602)
5-Year U.S. Treasury Note   77    (16,310,766)  Short   9/18    (8,662)
Total                    $(792,669)

 

See accompanying notes to financial statements.61(Continued)

 

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2018 (unaudited)

 

Clearwater Tax-Exempt Bond Fund Portfolio Diversification
(as a percentage of net assets)

 

(flow chart)

 

See accompanying notes to financial statements.62(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
Common Stocks:               
 Australia:                   
 2,965   AGL ENERGY LTD.  $31,502    49,327      
 23,329   ALUMINA LTD.   18,929    48,341      
 4,589   AMCOR LTD.   47,824    48,938      
 78,760   AMP LTD.   202,267    207,499      
 37,762   APA GROUP   210,499    275,266      
 2,554   ASX LTD.   51,631    121,703      
 39,920   AUSNET SERVICES   47,786    47,416      
 77,846   AUSTRALIA & NEW ZEALAND BANKING GROUP LTD.   1,138,257    1,626,905      
 68,613   BANK OF QUEENSLAND LTD.   536,423    517,418      
 70,369   BENDIGO & ADELAIDE BANK LTD.   468,821    564,510      
 179,910   BGP HOLDINGS PLC(b)   -    -      
 11,117   BHP BILLITON LTD.   128,168    278,982      
 10,199   BORAL LTD.   28,970    49,287      
 17,400   BRAMBLES LTD.   64,294    114,347      
 2,100   CALTEX AUSTRALIA LTD.   48,250    50,571      
 971   COCHLEAR LTD.   35,893    143,840      
 11,157   COMMONWEALTH BANK OF AUSTRALIA   235,177    601,668      
 44,716   CSL LTD.   2,946,379    6,374,196      
 14,184   DEXUS   62,970    101,925      
 97,180   FORTESCUE METALS GROUP LTD.   212,026    315,720      
 18,737   GOODMAN GROUP   48,414    133,394      
 12,754   GPT GROUP (THE)   47,798    47,759      
 18,683   INCITEC PIVOT LTD.   30,152    50,190      
 47,825   INSURANCE AUSTRALIA GROUP LTD.   120,292    301,901      
 10,015   LENDLEASE GROUP   61,130    146,824      
 7,617   MACQUARIE GROUP LTD.   165,840    697,010      
 28,767   MIRVAC GROUP   47,560    46,197      
 19,199   NATIONAL AUSTRALIA BANK LTD.   247,937    389,447      
 7,924   NEWCREST MINING LTD.   69,944    127,839      
 24,361   OIL SEARCH LTD.   133,952    160,452      
 17,965   ORIGIN ENERGY LTD.(c)   77,152    133,349      
 16,330   ORORA LTD.   16,762    43,144      
 416   PERPETUAL LTD.   7,027    12,807      
 2,468   RAMSAY HEALTH CARE LTD.   49,765    98,591      
 30,915   SANTOS LTD.(c)   91,731    143,449      
 77,048   SCENTRE GROUP   181,975    250,315      
 5,884   SEEK LTD.   49,598    94,971      
 9,824   SONIC HEALTHCARE LTD.   79,849    178,339      
 101,955   SOUTH32 LTD.   70,421    272,381      
 11,647   STAR ENTERTAINMENT GROUP (THE) LTD.   31,304    42,493      
 9,837   SYDNEY AIRPORT   33,263    52,124      
 23,144   TABCORP HOLDINGS LTD.   58,046    76,390      
 18,927   TRANSURBAN GROUP   89,057    167,663      
 12,264   TREASURY WINE ESTATES LTD.   49,093    157,831      
 43,395   VICINITY CENTRES   66,950    83,176      
 12,394   WESFARMERS LTD.   440,675    452,739      
 60,491   WESTPAC BANKING CORP.   871,309    1,311,655      
 13,446   WOODSIDE PETROLEUM LTD.   310,775    352,852      
 16,846   WOOLWORTHS GROUP LTD.   309,168    380,489      
         10,373,005    17,943,630    2.96%
 Austria:                   
 1,685   BUWOG A.G.(c)   30,804    56,671      
 4,493   ERSTE GROUP BANK A.G.(c)   101,578    187,578      
 93   IMMOFINANZ A.G.(c)   -    2,218      
 313   STRABAG S.E. (BEARER)   5,505    12,245      
         137,887    258,712    0.04%
 Belgium:                   
 7,120   AGEAS   106,908    359,280      
 13,822   ANHEUSER-BUSCH INBEV S.A./N.V.   502,521    1,396,225      
 18,158   BARCO N.V.   1,517,130    2,218,034      
 24,293   GROUPE BRUXELLES LAMBERT S.A.   2,132,635    2,562,321      
 4,347   KBC GROUP N.V.   101,356    335,653      
 68,086   ONTEX GROUP N.V.   2,135,625    1,495,599      
 2,190   PROXIMUS SADP   49,577    49,385      
 1,071   TELENET GROUP HOLDING N.V.(c)   51,789    50,028      

 

See accompanying notes to financial statements.63(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Belgium (Cont’d):               
 1,091   UCB S.A.  $30,547    85,796      
         6,628,088    8,552,321    1.41%
 Brazil:                   
 876,700   CAMIL ALIMENTOS S.A.(c)   2,209,296    1,492,929      
 443,400   GRENDENE S.A.   1,138,996    906,077      
 84,200   M DIAS BRANCO S.A.(c)   957,716    812,509      
 90,900   RAIA DROGASIL S.A.(c)   1,902,688    1,557,314      
         6,208,696    4,768,829    0.79%
 Canada:                   
 3,480   AGNICO EAGLE MINES LTD.   121,170    159,540      
 170,600   ALAMOS GOLD, INC., CLASS A   1,178,151    970,714      
 4,817   ALIMENTATION COUCHE-TARD, INC., CLASS B   138,408    209,256      
 5,283   ARC RESOURCES LTD.   52,295    54,572      
 3,401   ATCO LTD., CLASS I   110,522    104,980      
 95,100   BADGER DAYLIGHTING LTD.   1,696,426    2,290,965      
 2,091   BANK OF MONTREAL   112,718    161,630      
 9,963   BANK OF NOVA SCOTIA (THE)   462,784    564,139      
 22,326   BARRICK GOLD CORP.   176,666    293,287      
 49,653   BOMBARDIER, INC., CLASS B(c)   48,169    196,399      
 17,842   BROOKFIELD ASSET MANAGEMENT, INC., CLASS A   164,184    723,777      
 11,740   CAE, INC.   85,345    243,882      
 305,800   CANACCORD GENUITY GROUP, INC.   1,171,500    1,688,745      
 15,100   CANADA GOOSE HOLDINGS, INC.(c)   252,671    888,093      
 6,639   CANADIAN IMPERIAL BANK OF COMMERCE   268,953    577,520      
 15,994   CANADIAN NATIONAL RAILWAY CO.   292,557    1,308,207      
 24,770   CANADIAN NATURAL RESOURCES LTD.   548,377    894,030      
 3,606   CANADIAN PACIFIC RAILWAY LTD.   112,878    660,828      
 22,695   CANADIAN PACIFIC RAILWAY LTD.   2,931,368    4,153,639      
 744   CANADIAN TIRE CORP. LTD., CLASS A   50,047    97,114      
 7,053   CANADIAN UTILITIES LTD., CLASS A   181,096    178,116      
 72,306   CANADIAN WESTERN BANK   1,520,098    1,905,749      
 1,570   CCL INDUSTRIES, INC., CLASS B   45,979    76,968      
 8,822   CENOVUS ENERGY, INC.   83,447    91,599      
 6,978   CGI GROUP, INC., CLASS A(c)   55,128    442,199      
 167   CONSTELLATION SOFTWARE, INC.   49,226    129,513      
 6,631   CRESCENT POINT ENERGY CORP.   47,243    48,724      
 59,847   DOLLARAMA, INC.   2,299,336    2,319,859      
 7,455   ECN CAPITAL CORP.   17,223    20,018      
 33,604   ENCANA CORP.   212,882    438,885      
 211   FAIRFAX FINANCIAL HOLDINGS LTD.   52,589    118,233      
 5,843   FIRST QUANTUM MINERALS LTD.   37,831    86,091      
 6,289   FORTIS, INC.   195,157    201,015      
 2,389   FRANCO-NEVADA CORP.   109,265    174,362      
 6,104   GILDAN ACTIVEWEAR, INC.   33,435    171,933      
 13,297   GOLDCORP, INC.   152,025    182,566      
 391,600   GRAN TIERRA ENERGY, INC.(c)   978,737    1,355,327      
 75,599   IMPERIAL OIL LTD.   2,694,988    2,512,970      
 1,100   INTERNATIONAL PETROLEUM CORP.(c)   2,833    7,369      
 33,281   KINROSS GOLD CORP.(c)   62,810    125,312      
 2,077   LOBLAW COS. LTD.   71,240    106,800      
 9,476   MAGNA INTERNATIONAL, INC.   61,549    551,124      
 31,473   MANULIFE FINANCIAL CORP.   380,571    565,468      
 1,775   METHANEX CORP.   26,977    125,512      
 3,000   METRO, INC.   54,328    101,982      
 111,100   MULLEN GROUP LTD.   1,569,568    1,309,047      
 46,114   NORTH WEST (THE) CO., INC.   998,940    1,028,458      
 13,432   NUTRIEN LTD.   376,707    730,732      
 2,600   ONEX CORP.   105,376    190,830      
 6,564   OPEN TEXT CORP.   72,477    231,024      
 23,139   PEMBINA PIPELINE CORP.   537,455    801,368      
 583   PRAIRIESKY ROYALTY LTD.   11,472    11,508      
 3,681   RESTAURANT BRANDS INTERNATIONAL, INC.   137,022    222,039      
 2,701   RITCHIE BROS. AUCTIONEERS, INC.   50,064    92,126      
 9,354   ROGERS COMMUNICATIONS, INC., CLASS B   221,766    444,273      
 27,066   ROYAL BANK OF CANADA   909,444    2,038,005      
 33,900   RUSSEL METALS, INC.   637,018    692,879      
 4,800   SAPUTO, INC.   103,951    159,373      

 

See accompanying notes to financial statements.64(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Canada (Cont’d):               
 4,800   SEVEN GENERATIONS ENERGY LTD., CLASS A(c)  $46,370    52,905      
 6,379   SHAW COMMUNICATIONS, INC., CLASS B   97,657    129,943      
 62,400   SHAWCOR LTD.   1,504,741    1,211,309      
 658   SHOPIFY, INC., CLASS A(c)   105,670    95,953      
 25,735   SHOPIFY, INC., CLASS A(c)   3,104,966    3,754,479      
 2,748   SMARTCENTRES REAL ESTATE INVESTMENT TRUST   63,889    63,817      
 2,877   SNC-LAVALIN GROUP, INC.   119,463    127,059      
 11,810   SUN LIFE FINANCIAL, INC.   235,812    474,592      
 32,366   SUNCOR ENERGY, INC.   755,817    1,317,142      
 19,201   TECK RESOURCES LTD., CLASS B   97,101    489,135      
 4,548   TELUS CORP.   59,716    161,558      
 8,041   THOMSON REUTERS CORP.   206,631    324,478      
 30,016   TORONTO-DOMINION BANK (THE)   557,894    1,737,282      
 3,846   TOURMALINE OIL CORP.   68,146    68,720      
 2,568   TRANSCANADA CORP.   64,615    111,108      
 104   TRISURA GROUP LTD.(c)   490    2,105      
 4,726   WHEATON PRECIOUS METALS CORP.   58,903    104,323      
 25,967   YAMANA GOLD, INC.   47,753    75,650      
         32,328,076    46,532,231    7.68%
 China:                   
 14,379   BAIDU, INC. ADR(c)(d)   1,869,279    3,494,097      
 1,632,000   CHINA ZHENGTONG AUTO SERVICES HOLDINGS LTD.   941,242    1,087,917      
 3,077,000   GOODBABY INTERNATIONAL HOLDINGS LTD.   1,576,045    1,862,923      
 1,977,000   GREATVIEW ASEPTIC PACKAGING CO. LTD.   1,052,505    1,179,306      
 42,000   HOLLYSYS AUTOMATION TECHNOLOGIES LTD.   856,363    929,880      
 132,000   SHANGHAI HAOHAI BIOLOGICAL TECHNOLOGY CO. LTD., CLASS H(e)   763,143    825,252      
 69,255   TENCENT HOLDINGS LTD.   464,936    3,476,167      
 3,198,500   XTEP INTERNATIONAL HOLDINGS LTD.   1,375,201    2,189,246      
         8,898,714    15,044,788    2.48%
 Denmark:                   
 74   AP MOLLER - MAERSK A/S, CLASS A   73,820    87,861      
 140   AP MOLLER - MAERSK A/S, CLASS B   147,760    174,409      
 18,198   CARLSBERG A/S, CLASS B   1,506,955    2,143,844      
 35,335   CHR HANSEN HOLDING A/S   1,625,437    3,264,359      
 1,500   COLOPLAST A/S, CLASS B   27,666    149,954      
 13,689   DANSKE BANK A/S   157,564    428,589      
 1,592   DSV A/S   48,905    128,658      
 200   FLSMIDTH & CO. A/S   6,013    11,972      
 808   GENMAB A/S(c)   101,229    124,722      
 41,056   ISS A/S   1,205,964    1,411,231      
 30,356   NILFISK HOLDING A/S(c)   1,652,224    1,482,127      
 22,329   NOVO NORDISK A/S, CLASS B   284,997    1,035,962      
 2,500   NOVOZYMES A/S, CLASS B   39,158    126,843      
 2,600   PANDORA A/S   18,150    181,675      
 3,250   TOPDANMARK A/S   33,362    142,329      
 3,244   VESTAS WIND SYSTEMS A/S   150,564    200,845      
 3,896   WILLIAM DEMANT HOLDING A/S(c)   70,444    156,818      
         7,150,212    11,252,198    1.86%
 Finland:                   
 95,751   AMER SPORTS OYJ(c)   1,813,075    3,021,323      
 2,770   ELISA OYJ   86,574    128,325      
 64,770   HUHTAMAKI OYJ   1,931,841    2,396,981      
 1,396   KESKO OYJ, CLASS B   30,705    85,425      
 4,902   KONE OYJ, CLASS B   86,493    249,934      
 7,075   NESTE OYJ   67,704    555,219      
 61,900   NOKIA OYJ   203,584    356,374      
 2,240   NOKIAN RENKAAT OYJ   31,307    88,521      
 1,960   ORION OYJ, CLASS B   49,561    52,851      
 103,442   OUTOTEC OYJ(c)   822,621    823,853      
 4,598   SAMPO OYJ, CLASS A   184,113    224,447      
 15,829   STORA ENSO OYJ (REGISTERED)   75,698    309,810      
 11,934   UPM-KYMMENE OYJ   99,928    426,736      
 1,849   VALMET OYJ   14,443    35,671      

 

See accompanying notes to financial statements.65(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Finland (Cont’d):               
 7,056   WARTSILA OYJ ABP  $56,960    138,679      
         5,554,607    8,894,149    1.47%
 France:                   
 1,275   ACCOR S.A.   29,826    62,565      
 3,443   AEROPORTS DE PARIS   334,974    778,816      
 10,877   AIRBUS S.E.   357,319    1,273,519      
 1,093   ARKEMA S.A.   77,841    129,428      
 435   ATOS S.E.   30,494    59,410      
 30,343   AXA S.A.   403,058    744,657      
 16,523   BNP PARIBAS S.A.   678,366    1,026,331      
 16,698   BOLLORE S.A.   52,911    77,688      
 2,871   BOUYGUES S.A.   90,917    123,750      
 3,068   CAPGEMINI S.E.   111,959    412,740      
 5,050   CARREFOUR S.A.   91,297    81,797      
 8,207   CIE DE SAINT-GOBAIN   279,263    366,785      
 3,404   CIE GENERALE DES ETABLISSEMENTS MICHELIN S.C.A.   180,725    414,612      
 1,133   COVIVIO   96,781    117,890      
 26,672   CREDIT AGRICOLE S.A.   211,038    356,172      
 9,359   DANONE S.A.   473,663    687,134      
 1,781   EDENRED   26,435    56,281      
 67,951   ENGIE S.A.   864,155    1,041,907      
 19,018   ESSILOR INTERNATIONAL CIE GENERALE D’OPTIQUE S.A.   2,383,453    2,685,095      
 2,806   EURAZEO S.A.   77,893    212,831      
 564   GECINA S.A.   51,331    94,383      
 9,468   GETLINK   72,457    129,861      
 304   ILIAD S.A.   29,549    48,051      
 740   INGENICO GROUP S.A.   56,963    66,541      
 1,026   KERING S.A.   174,510    579,432      
 2,335   KLEPIERRE S.A.   57,367    87,940      
 2,119   LAGARDERE S.C.A.   50,227    55,950      
 4,882   LEGRAND S.A.   111,114    358,605      
 6,266   L’OREAL S.A.   661,338    1,547,637      
 16,443   LVMH MOET HENNESSY LOUIS VUITTON S.E.   2,408,212    5,476,449      
 20,736   NATIXIS S.A.   68,871    147,182      
 39,439   ORANGE S.A.   438,130    660,686      
 23,111   PERNOD RICARD S.A.   3,581,297    3,775,765      
 12,969   PEUGEOT S.A.   78,174    296,240      
 1,281   PUBLICIS GROUPE S.A.   87,132    88,171      
 4,895   RENAULT S.A.   134,511    416,324      
 2,684   SAFRAN S.A.   123,278    326,132      
 23,341   SANOFI   1,427,291    1,871,236      
 278   SCHNEIDER ELECTRIC S.E.   8,838    23,209      
 7,138   SCHNEIDER ELECTRIC S.E.   267,356    595,340      
 1,813   SCOR S.E.   36,441    67,370      
 5,438   SES S.A.   87,032    99,639      
 14,520   SOCIETE GENERALE S.A.   503,103    612,382      
 25,144   SODEXO S.A.   2,299,110    2,514,074      
 9,578   TELEVISION FRANCAISE 1   79,414    101,002      
 1,413   THALES S.A.   81,763    182,089      
 25,714   TOTAL S.A.   1,258,342    1,567,804      
 1,568   UNIBAIL-RODAMCO-WESTFIELD(c)   177,708    345,256      
 10,960   UNIBAIL-RODAMCO-WESTFIELD - CDI(c)   121,533    118,988      
 1,878   VALEO S.A.   76,759    102,682      
 13,671   VEOLIA ENVIRONNEMENT S.A.   145,445    292,638      
 7,810   VINCI S.A.   316,569    751,166      
 88,523   VIVENDI S.A.   1,711,533    2,170,920      
 1,345   WENDEL S.A.   91,561    185,342      
         23,726,627    36,465,894    6.02%
 Germany:                   
 19,779   ADIDAS A.G.   3,158,763    4,318,156      
 8,277   ALLIANZ S.E. (REGISTERED)   727,077    1,711,054      
 15,026   BASF S.E.   542,099    1,437,305      
 25,870   BAYER A.G. (REGISTERED)   1,997,789    2,850,407      
 4,753   BAYERISCHE MOTOREN WERKE A.G.   388,601    430,890      
 2,206   BEIERSDORF A.G.   146,950    250,507      
 1,188   BRENNTAG A.G.   43,546    66,204      
 29,496   COMMERZBANK A.G.(c)   190,394    282,831      

 

See accompanying notes to financial statements.66(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Germany (Cont’d):               
 916   CONTINENTAL A.G.  $47,943    209,181      
 17,639   DAIMLER A.G. (REGISTERED)   589,913    1,135,613      
 17,792   DEUTSCHE BANK A.G. (REGISTERED)   191,448    191,610      
 4,525   DEUTSCHE BOERSE A.G.   273,152    603,202      
 2,487   DEUTSCHE LUFTHANSA A.G. (REGISTERED)   29,539    59,829      
 17,828   DEUTSCHE POST A.G. (REGISTERED)   210,542    582,323      
 72,227   DEUTSCHE TELEKOM A.G. (REGISTERED)(c)   948,582    1,119,281      
 3,463   DEUTSCHE WOHNEN S.E.   80,362    167,425      
 16,171   E.ON S.E.   135,984    172,869      
 594   FRESENIUS MEDICAL CARE A.G. & CO. KGAA   21,418    59,920      
 6,867   FRESENIUS S.E. & CO. KGAA   150,261    551,727      
 30,101   GERRESHEIMER A.G.   2,083,037    2,443,060      
 76,043   GRAND CITY PROPERTIES S.A.   1,218,832    1,974,979      
 2,246   HANNOVER RUECK S.E.   94,321    280,124      
 3,952   HEIDELBERGCEMENT A.G.   143,515    332,660      
 671   HENKEL A.G. & CO. KGAA   49,267    74,637      
 2,600   HOCHTIEF A.G.   108,936    470,016      
 1,280   HUGO BOSS A.G.   70,065    116,234      
 21,437   INFINEON TECHNOLOGIES A.G.   117,250    546,495      
 58,053   JENOPTIK A.G.   1,164,895    2,276,532      
 2,661   K+S A.G. (REGISTERED)   50,126    65,724      
 1,373   LINDE A.G.   199,368    286,766      
 1,053   LINDE A.G.   242,920    251,349      
 542   MAN S.E.   59,053    61,364      
 2,050   MERCK KGAA   86,079    200,185      
 3,532   METRO A.G.   47,866    43,660      
 3,091   MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT A.G. IN MUENCHEN (REGISTERED)   382,823    653,531      
 1,517   OSRAM LICHT A.G.   42,957    62,004      
 1,489   PROSIEBENSAT.1 MEDIA S.E.   25,180    37,785      
 85   PUMA S.E.   44,213    49,731      
 3,593   RATIONAL A.G.   1,260,610    2,345,511      
 3,656   RWE A.G.   77,508    83,362      
 17,103   SAP S.E.   683,559    1,976,317      
 13,106   SIEMENS A.G. (REGISTERED)   795,701    1,732,853      
 21,310   STABILUS S.A.   1,262,498    1,917,452      
 33,787   TELEFONICA DEUTSCHLAND HOLDING A.G.   130,155    133,205      
 2,356   THYSSENKRUPP A.G.   44,466    57,283      
 7,071   TUI A.G. - CDI   57,698    155,117      
 9,713   TUI A.G. - CDI   124,901    213,111      
 4,249   UNIPER S.E.   47,803    126,729      
 404   VOLKSWAGEN A.G.   40,235    66,759      
 2,682   VONOVIA S.E.   98,410    127,662      
 280   WIRECARD A.G.   45,195    45,107      
 1,702   ZALANDO S.E.(c)(e)   61,430    95,146      
 12,519   ZOOPLUS A.G.(c)   2,581,661    2,339,150      
         23,416,896    37,841,934    6.24%
 Greece:                   
 6,746   HELLENIC TELECOMMUNICATIONS ORGANIZATION S.A.   54,075    83,507      
         54,075    83,507    0.01%
 Hong Kong:                   
 669,800   AIA GROUP LTD.   3,771,814    5,856,567      
 181,500   BOC HONG KONG HOLDINGS LTD.   447,601    854,801      
 56,044   CK ASSET HOLDINGS LTD.   165,366    445,032      
 52,044   CK HUTCHISON HOLDINGS LTD.   307,834    551,909      
 10,000   CK INFRASTRUCTURE HOLDINGS LTD.   46,496    74,118      
 34,500   CLP HOLDINGS LTD.   236,618    371,578      
 18,000   GALAXY ENTERTAINMENT GROUP LTD.   39,054    139,377      
 15,300   HANG SENG BANK LTD.   175,457    382,617      
 23,029   HENDERSON LAND DEVELOPMENT CO. LTD.   45,544    121,814      
 103,059   HONG KONG & CHINA GAS CO. LTD.   169,115    197,301      
 12,300   HONG KONG EXCHANGES & CLEARING LTD.   212,928    369,991      
 40,500   LINK REIT   84,196    369,866      
 30,500   MTR CORP. LTD.   88,703    168,719      
 43,500   NWS HOLDINGS LTD.   52,825    75,294      
 2,690,000   PAX GLOBAL TECHNOLOGY LTD.   1,352,838    1,326,897      
 190,000   PCCW LTD.   77,805    107,041      

 

See accompanying notes to financial statements.67(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Hong Kong (Cont’d):               
 24,000   POWER ASSETS HOLDINGS LTD.  $139,092    167,788      
 172,800   SANDS CHINA LTD.   551,191    923,952      
 27,400   SINO LAND CO. LTD.   29,978    44,563      
 517,000   STELLA INTERNATIONAL HOLDINGS LTD.   1,145,145    640,517      
 8,000   SUN HUNG KAI PROPERTIES LTD.   65,036    120,730      
 19,000   SWIRE PACIFIC LTD., CLASS A   127,857    201,246      
 380,400   TECHTRONIC INDUSTRIES CO. LTD.   1,265,925    2,121,253      
 1,560,000   VALUE PARTNERS GROUP LTD.   1,265,139    1,232,793      
 147,800   VTECH HOLDINGS LTD.   1,970,617    1,705,834      
 83,500   WH GROUP LTD.(e)   45,547    68,008      
 6,000   WHARF HOLDINGS (THE) LTD.   50,398    19,272      
 6,000   WHARF REAL ESTATE INVESTMENT CO. LTD.   34,958    42,712      
 19,000   WHEELOCK & CO. LTD.   30,489    132,348      
 15,000   YUE YUEN INDUSTRIAL HOLDINGS LTD.   30,233    42,349      
         14,025,799    18,876,287    3.11%
 India:                   
 228,922   BHARTI INFRATEL LTD.   1,171,536    1,004,196      
 330,691   DEWAN HOUSING FINANCE CORP. LTD.   1,624,266    3,077,167      
 137,308   HCL TECHNOLOGIES LTD.   1,657,065    1,856,258      
 38,045   HDFC BANK LTD. ADR(d)   2,396,990    3,995,486      
         6,849,857    9,933,107    1.64%
 Ireland:                   
 28,417   ACCENTURE PLC, CLASS A   3,324,792    4,648,737      
 1,332   AERCAP HOLDINGS N.V.(c)   50,211    72,128      
 12,255   AIB GROUP PLC   70,934    66,548      
 8,740   BANK OF IRELAND GROUP PLC   68,337    68,231      
 16,075   CRH PLC   247,660    569,742      
 22,916   ICON PLC(c)   1,672,592    3,037,057      
 11,673   JAMES HARDIE INDUSTRIES PLC - CDI   105,224    195,924      
 3,255   KERRY GROUP PLC, CLASS A   214,084    340,587      
 33,520   MEDTRONIC PLC   2,582,668    2,869,647      
 610   PADDY POWER BETFAIR PLC   67,706    67,674      
 19,340   RYANAIR HOLDINGS PLC ADR(c)(d)   2,102,283    2,209,208      
 1,642   SMURFIT KAPPA GROUP PLC   65,704    66,538      
         10,572,195    14,212,021    2.34%
 Israel:                   
 21,007   BANK HAPOALIM B.M.   79,922    142,124      
 2,094   CHECK POINT SOFTWARE TECHNOLOGIES LTD.(c)   161,340    204,542      
 5,900   MIZRAHI TEFAHOT BANK LTD.   51,135    108,331      
 2,937   NICE LTD.(c)   148,741    303,153      
 10,209   TEVA PHARMACEUTICAL INDUSTRIES LTD. ADR(d)   187,118    248,283      
         628,256    1,006,433    0.17%
 Italy:                   
 25,746   ASSICURAZIONI GENERALI S.P.A.   314,339    432,051      
 16,128   ATLANTIA S.P.A.   316,847    476,884      
 66,509   AZIMUT HOLDING S.P.A.   1,015,718    1,029,505      
 25,272   BANCA MEDIOLANUM S.P.A.   87,322    171,321      
 81,915   ENEL S.P.A.   280,368    455,056      
 2,548   ENI S.P.A.   47,597    47,329      
 1,022   FERRARI N.V.   9,333    137,980      
 22,181   FERRARI N.V.   2,144,396    3,017,696      
 83,252   INTERPUMP GROUP S.P.A.   1,681,766    2,589,986      
 190,462   INTESA SANPAOLO S.P.A.   334,054    553,051      
 10,070   LEONARDO S.P.A.   50,331    99,558      
 39,101   LUXOTTICA GROUP S.P.A.   2,058,977    2,523,290      
 10,830   MEDIOBANCA BANCA DI CREDITO FINANZIARIO S.P.A.   70,955    100,698      
 1,669   PRYSMIAN S.P.A.   29,837    41,573      
 695   RIZZOLI CORRIERE DELLA SERA MEDIAGROUP S.P.A.(c)   460    877      
 76,191   SNAM S.P.A.   276,534    318,178      
 250,485   TECHNOGYM S.P.A.(e)   1,637,786    2,969,041      
 5,059   TENARIS S.A.   50,651    92,843      
 34,652   TERNA RETE ELETTRICA NAZIONALE S.P.A.   130,368    187,441      
 18,447   TOD’S S.P.A.   1,228,297    1,149,288      
 26,035   UNICREDIT S.P.A.   388,581    434,651      

 

See accompanying notes to financial statements.68(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Italy (Cont’d):               
 95,230   UNIPOLSAI ASSICURAZIONI S.P.A.  $153,826    210,464      
         12,308,343    17,038,761    2.81%
 Japan:                   
 1,400   ABC-MART, INC.   51,583    76,629      
 4,700   AEON CO. LTD.   52,433    100,610      
 4,800   AEON FINANCIAL SERVICE CO. LTD.   49,903    102,490      
 3,600   AEON MALL CO. LTD.   50,736    64,707      
 2,300   AISIN SEIKI CO. LTD.   37,584    104,909      
 15,000   AJINOMOTO CO., INC.   116,767    283,972      
 2,500   ALFRESA HOLDINGS CORP.   24,420    58,822      
 2,000   AMADA HOLDINGS CO. LTD.   10,582    19,239      
 1,400   ANA HOLDINGS, INC.   35,110    51,453      
 65,400   ANICOM HOLDINGS, INC.   1,452,220    2,463,243      
 1,800   AOZORA BANK LTD.   51,121    68,527      
 67,700   ASAHI CO. LTD.   935,870    955,132      
 5,600   ASAHI GROUP HOLDINGS LTD.   85,235    286,892      
 31,000   ASAHI KASEI CORP.   147,138    394,237      
 134,100   ASICS CORP.   2,185,913    2,268,611      
 37,000   ASTELLAS PHARMA, INC.   236,149    564,449      
 1,500   BANDAI NAMCO HOLDINGS, INC.   14,652    61,916      
 6,600   BANK OF KYOTO (THE) LTD.   216,700    305,812      
 13,800   BRIDGESTONE CORP.   205,726    540,084      
 5,200   BROTHER INDUSTRIES LTD.   38,445    102,765      
 156,800   BUNKA SHUTTER CO. LTD.   1,279,360    1,331,274      
 15,500   CANON, INC.   438,724    508,337      
 48,900   CAPCOM CO. LTD.   539,552    1,205,772      
 2,700   CENTRAL JAPAN RAILWAY CO.   229,516    559,924      
 4,500   CHUGAI PHARMACEUTICAL CO. LTD.   82,278    236,147      
 7,900   CITIZEN WATCH CO. LTD.   31,581    51,946      
 9,857   CONCORDIA FINANCIAL GROUP LTD.   47,717    50,213      
 2,500   DAI NIPPON PRINTING CO. LTD.   46,806    55,977      
 126,800   DAIBIRU CORP.   1,258,794    1,290,734      
 16,500   DAI-ICHI LIFE HOLDINGS, INC.   198,959    294,486      
 9,700   DAIICHI SANKYO CO. LTD.   150,922    371,213      
 4,500   DAIKIN INDUSTRIES LTD.   124,473    539,358      
 1,200   DAITO TRUST CONSTRUCTION CO. LTD.   117,985    195,204      
 13,600   DAIWA HOUSE INDUSTRY CO. LTD.   194,625    463,836      
 25,000   DAIWA SECURITIES GROUP, INC.   96,011    145,260      
 8,200   DENSO CORP.   185,234    400,835      
 2,800   DENTSU, INC.   46,871    132,773      
 84,200   DESCENTE LTD.   762,552    1,492,123      
 52,400   DOWA HOLDINGS CO. LTD.   1,799,579    1,616,276      
 7,000   EAST JAPAN RAILWAY CO.   392,789    671,138      
 3,400   EISAI CO. LTD.   112,861    239,657      
 7,500   ELECTRIC POWER DEVELOPMENT CO. LTD.   169,053    193,741      
 1,800   FAMILYMART UNY HOLDINGS CO. LTD.   52,590    189,568      
 16,800   FANUC CORP.   3,633,463    3,339,060      
 1,400   FAST RETAILING CO. LTD.   214,903    643,761      
 21,000   FUJI ELECTRIC CO. LTD.   51,969    160,087      
 65,700   FUJI OIL HOLDINGS, INC.   1,298,414    2,361,794      
 8,800   FUJIFILM HOLDINGS CORP.   165,274    343,845      
 18,000   FUJITSU LTD.   64,886    109,221      
 70,000   FUKUOKA FINANCIAL GROUP, INC.   230,551    352,165      
 3,200   FURUKAWA ELECTRIC CO. LTD.   65,376    111,999      
 49,500   HACHIJUNI BANK (THE) LTD.   214,554    211,922      
 3,000   HAMAMATSU PHOTONICS K.K.   52,686    128,980      
 2,400   HANKYU HANSHIN HOLDINGS, INC.   57,098    96,572      
 341   HIROSE ELECTRIC CO. LTD.   28,677    42,288      
 95,000   HITACHI LTD.   295,895    670,659      
 6,200   HITACHI METALS LTD.   47,471    64,400      
 10,000   HONDA MOTOR CO. LTD.   238,405    293,817      
 5,300   HOYA CORP.   112,594    301,537      
 49,400   IDEC CORP.   1,197,991    1,157,865      
 254,800   IDOM, INC.   1,560,383    1,410,761      
 18,200   ITOCHU CORP.   192,005    330,005      
 4,000   J FRONT RETAILING CO. LTD.   31,099    60,949      
 7,000   JAPAN EXCHANGE GROUP, INC.   56,090    130,181      

 

See accompanying notes to financial statements.69(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Japan (Cont’d):               
 10   JAPAN REAL ESTATE INVESTMENT CORP.  $49,036    52,929      
 27   JAPAN RETAIL FUND INVESTMENT CORP.   47,846    48,676      
 5,400   JAPAN TOBACCO, INC.   155,770    150,955      
 5,000   JTEKT CORP.   36,670    68,103      
 84,700   JXTG HOLDINGS, INC.   326,972    589,224      
 13,000   KAJIMA CORP.   44,950    100,745      
 2,100   KANSAI PAINT CO. LTD.   12,205    43,663      
 10,000   KAO CORP.   208,279    763,221      
 3,500   KAWASAKI HEAVY INDUSTRIES LTD.   71,135    103,215      
 29,862   KDDI CORP.   239,416    817,520      
 1,200   KEIO CORP.   36,571    58,095      
 2,500   KEISEI ELECTRIC RAILWAY CO. LTD.   23,110    85,919      
 10,062   KEYENCE CORP.   2,566,618    5,685,578      
 6,000   KIKKOMAN CORP.   52,867    302,940      
 1,200   KINTETSU GROUP HOLDINGS CO. LTD.   35,697    48,991      
 10,000   KIRIN HOLDINGS CO. LTD.   103,112    267,624      
 34,100   KOBAYASHI PHARMACEUTICAL CO. LTD.   1,256,667    2,947,541      
 5,700   KOMATSU LTD.   142,116    163,100      
 2,300   KONAMI HOLDINGS CORP.   50,313    117,166      
 21,000   KUBOTA CORP.   129,773    330,606      
 4,100   KYOCERA CORP.   137,688    231,339      
 5,000   KYOWA HAKKO KIRIN CO. LTD.   54,616    100,845      
 8,000   KYUSHU ELECTRIC POWER CO., INC.   70,471    89,310      
 1,400   LAWSON, INC.   63,601    87,504      
 1,900   LIXIL GROUP CORP.   21,742    38,029      
 2,400   M3, INC.   51,468    95,705      
 3,200   MAKITA CORP.   82,169    143,504      
 32,000   MARUBENI CORP.   162,807    244,260      
 6,500   MARUI GROUP CO. LTD.   32,287    137,027      
 11,400   MAZDA MOTOR CORP.   95,886    140,035      
 2,400   MEIJI HOLDINGS CO. LTD.   38,749    202,466      
 40,300   MEITEC CORP.   1,189,603    1,936,467      
 8,700   MINEBEA MITSUMI, INC.   84,406    147,259      
 36,800   MITSUBISHI CHEMICAL HOLDINGS CORP.   149,792    308,254      
 18,300   MITSUBISHI CORP.   250,540    508,760      
 40,000   MITSUBISHI ELECTRIC CORP.   322,861    532,719      
 19,000   MITSUBISHI ESTATE CO. LTD.   228,537    332,412      
 8,500   MITSUBISHI GAS CHEMICAL CO., INC.   75,149    192,702      
 5,700   MITSUBISHI HEAVY INDUSTRIES LTD.   185,317    207,530      
 13,300   MITSUBISHI MOTORS CORP.   60,808    106,073      
 3,800   MITSUBISHI TANABE PHARMA CORP.   49,996    65,693      
 195,000   MITSUBISHI UFJ FINANCIAL GROUP, INC.   915,016    1,111,543      
 27,000   MITSUBISHI UFJ LEASE & FINANCE CO. LTD.   83,878    166,075      
 14,000   MITSUI & CO. LTD.   128,045    233,618      
 7,400   MITSUI CHEMICALS, INC.   87,469    197,173      
 300   MITSUI MINING & SMELTING CO. LTD.   5,391    12,776      
 370,200   MIZUHO FINANCIAL GROUP, INC.   565,773    623,604      
 63,800   MORITA HOLDINGS CORP.   1,126,115    1,288,505      
 8,280   MS&AD INSURANCE GROUP HOLDINGS, INC.   177,615    257,565      
 3,600   MURATA MANUFACTURING CO. LTD.   162,615    605,446      
 75,900   N FIELD CO. LTD.   1,350,940    1,198,331      
 5,000   NGK INSULATORS LTD.   63,091    89,103      
 4,100   NGK SPARK PLUG CO. LTD.   48,644    117,021      
 3,000   NH FOODS LTD.   72,315    121,257      
 3,900   NIDEC CORP.   129,234    585,625      
 82,400   NIHON PARKERIZING CO. LTD.   1,121,238    1,187,828      
 2,600   NINTENDO CO. LTD.   285,625    850,111      
 22   NIPPON BUILDING FUND, INC.   90,970    126,975      
 1,700   NIPPON EXPRESS CO. LTD.   60,747    123,452      
 15,200   NIPPON TELEGRAPH & TELEPHONE CORP.   342,697    691,390      
 5,000   NISSAN CHEMICAL INDUSTRIES LTD.   50,851    233,482      
 4,800   NISSAN MOTOR CO. LTD.   35,069    46,736      
 3,670   NISSHIN SEIFUN GROUP, INC.   31,991    77,732      
 1,200   NISSIN FOODS HOLDINGS CO. LTD.   43,959    86,817      
 2,700   NITORI HOLDINGS CO. LTD.   87,310    421,406      
 4,000   NITTO DENKO CORP.   125,248    302,868      
 97,400   NOMURA HOLDINGS, INC.   360,220    473,474      

 

See accompanying notes to financial statements.70(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Japan (Cont’d):                   
 8,400   NOMURA REAL ESTATE HOLDINGS, INC.  $130,390    186,490      
 3,267   NOMURA RESEARCH INSTITUTE LTD.   43,930    158,459     
 7,000   NSK LTD.   50,459    72,267      
 7,000   NTT DATA CORP.   36,520    80,676      
 27,600   NTT DOCOMO, INC.   449,493    703,617      
 18,900   NTT URBAN DEVELOPMENT CORP.   159,857    203,143      
 12,000   OBAYASHI CORP.   48,665    124,970      
 5,100   OLYMPUS CORP.   71,174    191,166      
 1,100   OMRON CORP.   31,828    51,366      
 5,000   ONO PHARMACEUTICAL CO. LTD.   43,040    117,283      
 4,800   ORIENTAL LAND CO. LTD.   113,097    503,997      
 12,200   ORIX CORP.   138,498    193,058      
 2,400   OSAKA GAS CO. LTD.   36,678    49,695      
 6,100   OTSUKA HOLDINGS CO. LTD.   176,203    295,537      
 36,000   PANASONIC CORP.   242,138    485,625      
 2,600   PARK24 CO. LTD.   51,627    70,803      
 8,400   RAKUTEN, INC.   40,327    56,857      
 3,100   RECRUIT HOLDINGS CO. LTD.   50,726    85,847      
 19,300   RESONA HOLDINGS, INC.   74,265    103,303      
 1,200   RINNAI CORP.   52,047    105,894      
 4,200   ROHM CO. LTD.   166,807    352,798      
 200   RYOHIN KEIKAKU CO. LTD.   45,535    70,451      
 13,000   SANTEN PHARMACEUTICAL CO. LTD.   85,886    226,735      
 13,720   SBI HOLDINGS, INC.   111,165    353,673      
 3,400   SECOM CO. LTD.   133,812    261,246      
 7,300   SEGA SAMMY HOLDINGS, INC.   68,324    125,145      
 8,400   SEIBU HOLDINGS, INC.   139,989    141,726      
 13,000   SEKISUI CHEMICAL CO. LTD.   66,177    221,686      
 6,000   SEKISUI HOUSE LTD.   44,394    106,219      
 13,300   SEVEN & I HOLDINGS CO. LTD.   300,882    580,340      
 35,900   SEVEN BANK LTD.   107,465    109,923      
 4,000   SHIMADZU CORP.   25,419    121,031      
 1,000   SHIMAMURA CO. LTD.   61,206    88,064      
 1,500   SHIMANO, INC.   58,204    220,295      
 6,000   SHIMIZU CORP.   50,949    62,268      
 9,200   SHIN-ETSU CHEMICAL CO. LTD.   461,684    820,409      
 4,000   SHIONOGI & CO. LTD.   67,679    205,609      
 5,900   SHISEIDO CO. LTD.   88,706    468,845      
 900   SMC CORP.   106,941    330,280      
 18,400   SOFTBANK GROUP CORP.   412,233    1,325,053      
 9,000   SOMPO HOLDINGS, INC.   202,248    364,178      
 18,800   SONY CORP.   260,756    961,778      
 10,900   SQUARE ENIX HOLDINGS CO. LTD.   342,427    535,573      
 2,700   STANLEY ELECTRIC CO. LTD.   30,745    92,183      
 5,700   SUBARU CORP.   26,572    166,034      
 25,000   SUMITOMO CHEMICAL CO. LTD.   74,256    141,806      
 7,800   SUMITOMO CORP.   67,035    128,221      
 4,000   SUMITOMO DAINIPPON PHARMA CO. LTD.   45,511    84,722      
 8,800   SUMITOMO ELECTRIC INDUSTRIES LTD.   75,679    131,148      
 2,400   SUMITOMO HEAVY INDUSTRIES LTD.   39,379    81,073      
 7,000   SUMITOMO MITSUI FINANCIAL GROUP, INC.   248,253    272,249      
 1,331   SUMITOMO MITSUI TRUST HOLDINGS, INC.   33,400    52,812      
 4,000   SUMITOMO REALTY & DEVELOPMENT CO. LTD.   110,500    147,731      
 68,700   SUMITOMO RUBBER INDUSTRIES LTD.   896,144    1,092,101      
 9,300   SUZUKI MOTOR CORP.   199,522    513,909      
 31,885   SYSMEX CORP.   981,487    2,977,834      
 7,200   T&D HOLDINGS, INC.   71,473    108,245      
 1,400   TAIHEIYO CEMENT CORP.   29,931    46,091      
 3,400   TAISEI CORP.   55,809    187,635      
 5,000   TAKASHIMAYA CO. LTD.   31,428    42,813      
 5,600   TAKEDA PHARMACEUTICAL CO. LTD.   196,205    236,615      
 1,100   TDK CORP.   52,815    112,469      
 31,400   TECHNOPRO HOLDINGS, INC.   1,204,459    1,931,391      
 5,800   TEIJIN LTD.   67,529    106,450      
 5,800   TERUMO CORP.   117,165    332,656      
 2,000   THK CO. LTD.   29,290    57,354      
 1,500   TOHO CO. LTD.   25,533    50,332      

 

See accompanying notes to financial statements.

 71(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Japan (Cont’d):                   
 3,400   TOHO GAS CO. LTD.  $81,221    117,771      
 10,600   TOHOKU ELECTRIC POWER CO., INC.   96,604    129,538      
 14,400   TOKIO MARINE HOLDINGS, INC.   359,676    675,421      
 28,100   TOKYO ELECTRIC POWER CO. HOLDINGS, INC.(c)   104,659    130,963      
 3,300   TOKYO ELECTRON LTD.   135,391    566,915      
 6,000   TOKYO GAS CO. LTD.   103,615    159,355      
 9,800   TOKYO TATEMONO CO. LTD.   110,919    134,632      
 12,500   TOKYU CORP.   103,448    215,418      
 20,000   TOKYU FUDOSAN HOLDINGS CORP.   69,576    141,264      
 17,000   TORAY INDUSTRIES, INC.   70,413    134,200      
 68,000   TOSHIBA CORP.(c)   187,287    204,525      
 3,000   TOTO LTD.   30,029    139,277      
 3,000   TOYO SUISAN KAISHA LTD.   74,690    106,896      
 4,000   TOYOTA INDUSTRIES CORP.   101,266    224,360      
 46,662   TOYOTA MOTOR CORP.   1,594,403    3,021,872      
 1,800   TOYOTA TSUSHO CORP.   14,973    60,317      
 900   TREND MICRO, INC.   26,540    51,375      
 87,500   TSUMURA & CO.   2,572,511    2,829,337      
 7,800   UNICHARM CORP.   68,794    234,814      
 47   UNITED URBAN INVESTMENT CORP.   64,693    72,974      
 47,500   USHIO, INC.   553,345    604,503      
 4,900   USS CO. LTD.   56,003    93,295      
 4,100   WEST JAPAN RAILWAY CO.   134,756    302,329      
 443,200   YAHOO JAPAN CORP.   1,937,289    1,473,130      
 2,500   YAKULT HONSHA CO. LTD.   74,984    167,096      
 16,300   YAMADA DENKI CO. LTD.   56,674    81,121      
 8,300   YAMAHA MOTOR CO. LTD.   106,577    208,859      
 3,000   YAMATO HOLDINGS CO. LTD.   46,642    88,443      
 4,000   YAMAZAKI BAKING CO. LTD.   44,679    104,774      
 5,000   YASKAWA ELECTRIC CORP.   48,019    176,805      
 70,300   ZOJIRUSHI CORP.   1,024,437    859,741      
         60,930,668    97,754,348    16.13%
 Jersey:                   
 1,320   RANDGOLD RESOURCES LTD.   104,369    101,388      
         104,369    101,388    0.02%
 Mexico:                   
 3,986   FRESNILLO PLC   52,236    60,154      
 1,059,134   WAL-MART DE MEXICO S.A.B. DE C.V.   2,640,356    2,792,324      
         2,692,592    2,852,478    0.47%
 Netherlands:                   
 9,540   AALBERTS INDUSTRIES N.V.   176,556    456,996      
 774   ABN AMRO GROUP N.V. - CVA(e)   20,171    20,084      
 1,843   ABN AMRO GROUP N.V. - CVA(e)   46,894    47,651      
 39,919   ACCELL GROUP   739,842    853,099      
 35,981   AEGON N.V.   133,041    215,808      
 7,074   AKZO NOBEL N.V.   412,307    605,698      
 99,880   ARCADIS N.V.   1,934,773    1,803,252      
 27,560   ARCELORMITTAL   380,361    808,155      
 7,173   ASML HOLDING N.V.   106,863    1,421,514      
 36,253   BETER BED HOLDING N.V.   632,263    292,967      
 23,129   CORE LABORATORIES N.V.   2,535,916    2,919,111      
 3,610   EXOR N.V.   90,616    243,249      
 2,765   HEINEKEN HOLDING N.V.   148,540    265,098      
 3,662   HEINEKEN N.V.   128,663    367,863      
 331,816   ING GROEP N.V.   3,518,805    4,777,035      
 42,862   INTERTRUST N.V.(e)   817,000    761,826      
 17,656   KONINKLIJKE AHOLD DELHAIZE N.V.   203,381    422,786      
 3,281   KONINKLIJKE DSM N.V.   122,903    329,973      
 51,375   KONINKLIJKE KPN N.V.   108,346    139,790      
 45,035   KONINKLIJKE PHILIPS N.V.   1,203,101    1,915,659      
 1,264   NN GROUP N.V.   37,113    51,427      
 4,877   NXP SEMICONDUCTORS N.V.(c)   393,113    532,910      
 316,161   POSTNL N.V.   1,187,676    1,187,019      
 8,117   QIAGEN N.V.(c)   119,394    295,746      
 3,238   RANDSTAD N.V.   99,928    190,655      
 62,525   ROYAL DUTCH SHELL PLC, CLASS A   1,556,275    2,169,382      

 

See accompanying notes to financial statements.

 72(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Netherlands (Cont’d):                   
 81,662   ROYAL DUTCH SHELL PLC, CLASS B  $1,800,118    2,924,432      
 6,193   WOLTERS KLUWER N.V.   101,075    349,025      
         18,755,034    26,368,210    4.35%
 New Zealand:                   
 5,783   A2 MILK CO. LTD.(c)   46,019    44,887      
 16,545   AUCKLAND INTERNATIONAL AIRPORT LTD.   50,086    75,976      
 169,758   SPARK NEW ZEALAND LTD.   404,493    428,865      
         500,598    549,728    0.09%
 Norway:                   
 1,596   AKER BP ASA   59,621    58,946      
 14,797   DNB ASA   107,533    289,423      
 11,584   EQUINOR ASA   201,736    307,793      
 5,275   MARINE HARVEST ASA   105,431    105,055      
 68,659   ORKLA ASA   472,842    601,921      
 1,589   SCHIBSTED ASA, CLASS B   47,016    44,874      
 14,536   TELENOR ASA   210,513    298,329      
 120,979   XXL ASA(e)   1,349,217    980,387      
 2,500   YARA INTERNATIONAL ASA   58,115    103,753      
         2,612,024    2,790,481    0.46%
 Philippines:                   
 3,065,000   VISTA LAND & LIFESCAPES, INC.   315,279    352,632      
         315,279    352,632    0.06%
 Poland:                   
 23,200   CCC S.A.   1,222,714    1,282,127      
         1,222,714    1,282,127    0.21%
 Portugal:                   
 20,567   EDP - ENERGIAS DE PORTUGAL S.A.   48,529    81,662      
 8,119   GALP ENERGIA SGPS S.A.   108,273    154,878      
 10,286   JERONIMO MARTINS SGPS S.A.   127,947    148,588      
         284,749    385,128    0.06%
 Singapore:                   
 124,600   CAPITALAND LTD.   247,485    288,980      
 36,000   CAPITALAND MALL TRUST   34,133    54,694      
 5,000   CITY DEVELOPMENTS LTD.   14,259    40,110      
 28,300   DBS GROUP HOLDINGS LTD.   159,243    552,707      
 21,000   KEPPEL CORP. LTD.   53,869    110,202      
 7,840   KEPPEL REIT   3,183    6,329      
 10,900   OVERSEA-CHINESE BANKING CORP. LTD.   76,296    93,120      
 12,000   SINGAPORE AIRLINES LTD.   70,334    94,150      
 13,000   SINGAPORE EXCHANGE LTD.   40,226    68,411      
 24,600   SINGAPORE PRESS HOLDINGS LTD.   41,284    46,943      
 49,000   SINGAPORE TECHNOLOGIES ENGINEERING LTD.   119,584    118,319      
 112,000   SINGAPORE TELECOMMUNICATIONS LTD.   184,276    253,182      
 4,600   UNITED OVERSEAS BANK LTD.   26,071    90,346      
 15,000   UOL GROUP LTD.   49,917    83,890      
 35,400   WILMAR INTERNATIONAL LTD.   68,955    79,504      
         1,189,115    1,980,887    0.33%
 South Africa:                   
 6,584   MEDICLINIC INTERNATIONAL PLC   46,858    45,757      
 73,408   OLD MUTUAL LTD.(c)   87,200    145,708      
         134,058    191,465    0.03%
 South Korea:                   
 173,742   BNK FINANCIAL GROUP, INC.   1,666,526    1,457,593      
 238,308   DGB FINANCIAL GROUP, INC.   2,459,771    2,191,707      
 8,573   HYUNDAI MIPO DOCKYARD CO. LTD.(c)   730,021    659,994      
 6,241   HYUNDAI MOTOR CO.   879,730    702,777      
 3,728   KOREA INVESTMENT HOLDINGS CO. LTD.   132,374    281,314      
 3,152   KT&G CORP.   314,672    302,615      
 247   NAVER CORP.   155,614    169,099      
 126,473   SAMSUNG ELECTRONICS CO. LTD.   3,782,233    5,293,823      
         10,120,941    11,058,922    1.82%
 Spain:                   
 1,260   ACCIONA S.A.   78,312    104,354      
 1,731   ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS S.A.   50,359    70,145      

 

See accompanying notes to financial statements.

 73(Continued)

 

 

CLEARWATER INVESTMENT TRUST

 Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Spain (Cont’d):                   
 583   AENA S.M.E. S.A.(e)  $50,199    105,869      
 33,684   AMADEUS IT GROUP S.A.   2,448,106    2,659,125      
 127,837   BANCO BILBAO VIZCAYA ARGENTARIA S.A.   731,627    906,776      
 28,723   BANCO DE SABADELL S.A.   46,826    48,151      
 160,514   BANCO SANTANDER S.A.   708,650    860,762      
 329,788   BANKIA S.A.   1,491,749    1,235,100      
 7,551   BANKINTER S.A.   51,111    73,560      
 96,203   CAIXABANK S.A.   236,376    416,354      
 46,016   CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES S.A.   1,972,504    2,208,611      
 10,362   ENAGAS S.A.   213,104    303,003      
 13,433   FERROVIAL S.A.   246,565    275,700      
 16,489   GAS NATURAL SDG S.A.   264,629    436,723      
 15,282   GRIFOLS S.A.   273,864    460,078      
 54,401   IBERDROLA S.A.   265,914    420,819      
 45,260   INDUSTRIA DE DISENO TEXTIL S.A.   1,213,200    1,546,526      
 21,686   MAPFRE S.A.   49,735    65,465      
 26,579   RED ELECTRICA CORP. S.A.   390,097    541,319      
 47,986   REPSOL S.A.   589,129    939,478      
 13,844   TELEFONICA S.A.   117,739    117,680      
         11,489,795    13,795,598    2.28%
 Sweden:                   
 22,200   ASSA ABLOY AB, CLASS B   89,466    473,161      
 85,889   ATLAS COPCO AB, CLASS A   2,102,247    2,500,891      
 4,000   ATLAS COPCO AB, CLASS B   22,805    104,792      
 315,176   CLOETTA AB, CLASS B   1,231,417    956,428      
 49,173   DUNI AB   561,852    703,824      
 7,501   ELECTROLUX AB, CLASS B   95,788    170,844      
 9,604   EPIROC AB, CLASS A(c)   18,146    100,782      
 4,000   EPIROC AB, CLASS B(c)   7,248    36,620      
 8,600   ESSITY AB, CLASS B   62,137    212,390      
 88,478   GRANGES AB   998,575    1,158,732      
 10,170   HENNES & MAURITZ AB, CLASS B   153,747    151,583      
 43,495   HEXAGON AB, CLASS B   2,396,105    2,425,629      
 17,500   HUSQVARNA AB, CLASS B   64,201    166,115      
 8,270   INDUSTRIVARDEN AB, CLASS C   85,948    160,382      
 10,953   INVESTOR AB, CLASS B   150,033    446,228      
 3,000   KINNEVIK AB, CLASS B   51,225    102,794      
 3,301   LUNDIN PETROLEUM AB   46,596    105,294      
 41,436   NORDEA BANK AB   232,747    399,151      
 13,973   SANDVIK AB   86,678    248,048      
 13,348   SECURITAS AB, CLASS B   106,689    219,741      
 35,236   SKANDINAVISKA ENSKILDA BANKEN AB, CLASS A   139,725    335,021      
 2,800   SKANSKA AB, CLASS B   23,703    50,893      
 8,600   SVENSKA CELLULOSA AB S.C.A., CLASS B   15,915    93,444      
 26,700   SVENSKA HANDELSBANKEN AB, CLASS A   161,721    296,788      
 7,280   SWEDBANK AB, CLASS A   153,405    155,894      
 153,163   TELEFONAKTIEBOLAGET LM ERICSSON, CLASS B   832,332    1,184,366      
 112,540   TETHYS OIL AB   863,807    1,274,073      
 124,540   THULE GROUP AB (THE)(e)   1,917,481    3,097,944      
 25,108   VOLVO AB, CLASS B   162,740    401,425      
         12,834,479    17,733,277    2.93%
 Switzerland:                   
 201,168   ABB LTD. (REGISTERED)   3,967,183    4,410,136      
 3,728   ADECCO GROUP A.G. (REGISTERED)   131,290    221,203      
 484   BALOISE HOLDING A.G. (REGISTERED)   26,452    70,525      
 6,726   BUCHER INDUSTRIES A.G. (REGISTERED)   1,903,406    2,257,621      
 35   CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (PARTICIPATION CERTIFICATE)   50,308    227,254      
 3   CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (REGISTERED)   75,352    228,416      
 28,902   CHUBB LTD.   2,721,276    3,671,132      
 28,468   CIE FINANCIERE RICHEMONT S.A. (REGISTERED)   1,930,806    2,418,184      
 26,209   CREDIT SUISSE GROUP A.G. (REGISTERED)(c)   305,324    395,662      
 3,956   FERGUSON PLC   70,457    321,087      
 990   GEBERIT A.G. (REGISTERED)   85,632    425,771      
 140   GIVAUDAN S.A. (REGISTERED)   76,496    318,368      
 121,887   GLENCORE PLC(c)   266,010    582,315      

 

See accompanying notes to financial statements.

 74(Continued)

 

 

CLEARWATER INVESTMENT TRUST

 Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 Switzerland (Cont’d):                   
 1,807   IDORSIA LTD.(c)  $18,603    47,990      
 4,134   JULIUS BAER GROUP LTD.(c)   87,890    243,289      
 41,698   LAFARGEHOLCIM LTD. (REGISTERED)(c)   2,146,364    2,037,109      
 34,310   LOGITECH INTERNATIONAL S.A. (REGISTERED)   625,267    1,506,209      
 897   LONZA GROUP A.G. (REGISTERED)(c)   50,452    238,675      
 122,913   NESTLE S.A. (REGISTERED)   6,195,925    9,544,592      
 65,681   NOVARTIS A.G. (REGISTERED)   3,393,411    4,992,897      
 16,323   PANALPINA WELTTRANSPORT HOLDING A.G. (REGISTERED)   1,593,513    2,225,189      
 9,695   PARGESA HOLDING S.A. (BEARER)   636,914    823,336      
 12,406   ROCHE HOLDING A.G. (GENUSSCHEIN)   1,614,189    2,762,944      
 1,381   SCHINDLER HOLDING A.G. (PARTICIPATION CERTIFICATE)   108,493    297,871      
 589   SCHINDLER HOLDING A.G. (REGISTERED)   68,597    124,188      
 121   SGS S.A. (REGISTERED)   130,564    322,813      
 21,840   SIKA A.G. (REGISTERED)   2,339,326    3,030,209      
 1,300   SONOVA HOLDING A.G. (REGISTERED)   84,464    233,470      
 7,867   STMICROELECTRONICS N.V.   36,286    175,565      
 635   SULZER A.G. (REGISTERED)   30,609    77,331      
 984   SWATCH GROUP (THE) A.G. (BEARER)   257,037    468,103      
 743   SWISS LIFE HOLDING A.G. (REGISTERED)(c)   101,194    258,846      
 504   SWISS RE A.G.   37,466    43,616      
 529   SWISSCOM A.G. (REGISTERED)   191,612    236,749      
 29,598   TE CONNECTIVITY LTD.   750,239    2,665,596      
 4,544   TECAN GROUP A.G. (REGISTERED)   831,886    1,105,831      
 252,542   UBS GROUP A.G. (REGISTERED)(c)   4,121,558    3,908,115      
 4,668   ZURICH INSURANCE GROUP A.G.   912,787    1,386,306      
         37,974,638    54,304,513    8.96%
 Taiwan:                   
 625,846   CHICONY ELECTRONICS CO. LTD.   1,612,040    1,410,224      
 361,000   GIANT MANUFACTURING CO. LTD.   1,983,969    1,527,429      
 2,448,600   KING YUAN ELECTRONICS CO. LTD.   2,462,778    2,228,665      
 323,000   MERIDA INDUSTRY CO. LTD.   1,692,528    1,615,609      
 96,161   TAIWAN SEMICONDUCTOR MANUFACTURING CO. LTD. ADR(d)   1,911,494    3,515,646      
 663,000   TRIPOD TECHNOLOGY CORP.   1,817,057    1,822,307      
         11,479,866    12,119,880    2.00%
 Thailand:                   
 2,348,700   LPN DEVELOPMENT PCL (REGISTERED)   1,016,239    708,935      
         1,016,239    708,935    0.12%
 Turkey:                   
 68,099   MAVI GIYIM SANAYI VE TICARET A.S., CLASS B(e)   855,265    578,727      
         855,265    578,727    0.09%
 United Kingdom:                   
 25,248   3I GROUP PLC   88,645    300,089      
 2,834   ADMIRAL GROUP PLC   35,119    71,344      
 58,936   ANGLO AMERICAN PLC   468,356    1,318,229      
 12,195   AON PLC   1,218,437    1,672,788      
 1,891   ASHTEAD GROUP PLC   49,652    56,726      
 11,482   ASSOCIATED BRITISH FOODS PLC   349,112    414,899      
 26,375   ASTRAZENECA PLC   983,695    1,828,486      
 14,221   AUTO TRADER GROUP PLC(e)   68,171    79,934      
 76,752   AVIVA PLC   307,975    510,519      
 5,239   BABCOCK INTERNATIONAL GROUP PLC   41,807    56,544      
 46,467   BAE SYSTEMS PLC   230,164    396,649      
 318,603   BARCLAYS PLC   647,028    794,700      
 16,437   BELLWAY PLC   442,531    651,650      
 2,391   BERKELEY GROUP HOLDINGS (THE) PLC   71,739    119,437      
 40,530   BOVIS HOMES GROUP PLC   415,638    612,722      
 272,121   BP PLC   1,596,033    2,076,859      
 15,241   BRITISH AMERICAN TOBACCO PLC   352,059    770,378      
 37,587   BRITISH LAND (THE) CO. PLC   252,586    333,448      
 125,949   BT GROUP PLC   346,733    362,030      
 5,757   BUNZL PLC   59,557    174,370      
 8,202   BURBERRY GROUP PLC   40,549    233,811      
 83,639   CENTRICA PLC   167,720    174,018      
 13,580   CNH INDUSTRIAL N.V.   56,886    144,251      

 

See accompanying notes to financial statements.

 75(Continued)

 

 

CLEARWATER INVESTMENT TRUST

 

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 United Kingdom (Cont’d):                   
 1,447   COCA-COLA EUROPEAN PARTNERS PLC  $55,218    58,806     
 405,623   COMPASS GROUP PLC   5,559,054    8,664,170      
 16,550   CONVATEC GROUP PLC(e)   46,885    46,392      
 2,332   CRODA INTERNATIONAL PLC   82,807    147,789      
 70,113   DIAGEO PLC   941,574    2,518,711      
 50,421   DIXONS CARPHONE PLC   103,690    124,170      
 3,792   EASYJET PLC   49,609    83,725      
 176,111   EXPERIAN PLC   3,132,395    4,356,760      
 10,222   FIAT CHRYSLER AUTOMOBILES N.V.(c)   17,872    193,094      
 24,413   FIAT CHRYSLER AUTOMOBILES N.V.   161,492    465,674      
 30,218   G4S PLC   92,368    106,759      
 149,626   GLAXOSMITHKLINE PLC   2,621,182    3,020,880      
 129,347   GREGGS PLC   1,419,609    1,699,375      
 25,875   HAMMERSON PLC   126,745    178,460      
 226,183   HSBC HOLDINGS PLC   1,416,410    2,121,475      
 45,732   IMI PLC   652,022    683,217      
 18,792   IMPERIAL BRANDS PLC   441,174    699,877      
 12,262   INDIVIOR PLC(c)   11,861    62,012      
 2,381   INFORMA PLC   26,331    26,238      
 1,338   INTERCONTINENTAL HOTELS GROUP PLC   52,044    83,347      
 32,745   INTERNATIONAL CONSOLIDATED AIRLINES GROUP S.A. -CDI   90,834    287,638      
 622   INTERTEK GROUP PLC   47,316    46,922      
 63,684   INTU PROPERTIES PLC   169,226    151,453      
 24,324   ITV PLC   24,019    55,857      
 31,939   J SAINSBURY PLC   93,794    135,391      
 102,556   JOHN WOOD GROUP PLC   1,218,120    849,717      
 2,248   JOHNSON MATTHEY PLC   35,933    107,368      
 30,414   KINGFISHER PLC   60,107    119,213      
 26,094   LAND SECURITIES GROUP PLC   262,910    329,533      
 23,585   LEGAL & GENERAL GROUP PLC   66,978    82,796      
 3,027,297   LLOYDS BANKING GROUP PLC   2,461,762    2,519,021      
 6,030   LONDON STOCK EXCHANGE GROUP PLC   69,795    355,806      
 1,023,729   MAN GROUP PLC   1,865,102    2,385,983      
 14,004   MARKS & SPENCER GROUP PLC   54,346    54,540      
 7,217   MEGGITT PLC   16,687    46,985      
 35,540   MELROSE INDUSTRIES PLC   51,515    99,765      
 4,162   MICRO FOCUS INTERNATIONAL PLC   74,859    72,697      
 50,296   NATIONAL GRID PLC   443,209    556,514      
 2,148   NEXT PLC   36,823    171,507      
 34,908   OXFORD INSTRUMENTS PLC   539,512    460,698      
 7,366   PEARSON PLC   69,206    86,033      
 46,063   PRUDENTIAL PLC   714,750    1,054,431      
 24,469   QUILTER PLC(c)(e)   49,058    46,799      
 12,341   RECKITT BENCKISER GROUP PLC   519,685    1,016,148      
 37,896   RELX N.V.   361,301    808,317      
 161,400   RELX PLC   1,753,809    3,456,049      
 23,247   RIO TINTO LTD.   733,396    1,435,497      
 37,688   RIO TINTO PLC   992,616    2,089,525      
 18,136   ROLLS-ROYCE HOLDINGS PLC(c)   203,949    236,526      
 2,245,446   ROLLS-ROYCE HOLDINGS PLC(c)   3,125    2,963      
 848,876   ROYAL BANK OF SCOTLAND GROUP PLC(c)   3,219,507    2,869,099      
 20,657   SAGE GROUP (THE) PLC   74,323    171,369      
 16,135   SEGRO PLC   67,053    142,543      
 4,954   SEVERN TRENT PLC   76,220    129,421      
 703,745   SIG PLC   1,511,381    1,297,488      
 19,613   SKY PLC   145,505    378,298      
 26,103   SMITH & NEPHEW PLC   251,030    481,603      
 2,453   SMITHS GROUP PLC   28,519    54,970      
 15,150   SSE PLC   261,972    270,922      
 92,045   STANDARD CHARTERED PLC   654,783    841,346      
 39,357   STANDARD LIFE ABERDEEN PLC   131,737    169,173      
 1,424   TECHNIPFMC PLC   35,975    45,482      
 1,097,392   TESCO PLC   3,709,702    3,717,743      
 3,970   TRAVIS PERKINS PLC   69,979    74,531      
 11,442   UNILEVER N.V. - CVA   333,348    638,502      
 24,244   UNILEVER PLC   545,189    1,341,273      
 21,836   UNITED UTILITIES GROUP PLC   202,552    219,939      

 

See accompanying notes to financial statements.

 76(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Shares   Security  Cost   Fair value (a)   Percent of
net assets
 
 United Kingdom (Cont’d):               
 3,762   WEIR GROUP (THE) PLC  $43,887    99,298      
 5,178   WHITBREAD PLC   168,592    270,545      
 20,383   WM MORRISON SUPERMARKETS PLC   52,509    67,789      
 23,432   WPP PLC   141,019    368,928      
         50,109,058    71,266,766    11.76%
 United States:               
 137,877   ARCH CAPITAL GROUP LTD.(c)   1,891,836    3,648,225      
 20,110   AXIS CAPITAL HOLDINGS LTD.   1,025,983    1,118,518      
 4,351   CARNIVAL PLC   131,345    249,615      
 4,045   METTLER-TOLEDO INTERNATIONAL, INC.(c)   2,349,784    2,340,558      
 1,487   ONEMARKET LTD.(c)   1,709    1,409      
 9,299   SHIRE PLC   267,371    523,416      
 1,794   VALEANT PHARMACEUTICALS INTERNATIONAL, INC.(c)   41,403    41,758      
 3,950   WORLDPAY, INC., CLASS A(c)   310,561    323,031      
         6,019,992    8,246,530    1.36%
  Sub-total Common Stocks:   399,502,806    573,126,822    94.56%
Preferred Stocks:            
 Brazil:                   
 187,700   ALPARGATAS S.A., 1.83%(f)   600,320    585,995      
 219,451   TELEFONICA BRASIL S.A. ADR, 3.40%(d)(f)   2,825,129    2,604,883      
         3,425,449    3,190,878    0.53%
 Germany:               
 1,521   BAYERISCHE MOTOREN WERKE A.G., 5.88%(f)   49,612    121,316      
 1,217   HENKEL A.G. & CO. KGAA, 1.64%(f)   101,251    155,623      
 1,443   PORSCHE AUTOMOBIL HOLDING S.E., 3.22%(f)   60,635    91,941      
 770   VOLKSWAGEN A.G., 2.79%(f)   99,996    127,885      
         311,494    496,765    0.08%
 South Korea:               
 1,888   HYUNDAI MOTOR CO. LTD., 4.71%(f)   176,037    153,818      
 16,100   SAMSUNG ELECTRONICS CO. LTD., 2.87%(f)   366,307    543,890      
         542,344    697,708    0.11%
  Sub-total Preferred Stocks:   4,279,287    4,385,351    0.72%
Rights:                 
 Italy:                   
 190,462   INTESA SANPAOLO S.P.A.(c)   -    -      
         -    -    0.00%
 Spain:                   
 1,731   ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS S.A.(c)   1,889    1,783      
 47,986   REPSOL S.A.(c)   27,036    27,240      
         28,925    29,023    0.01%
  Sub-total Rights:   28,925    29,023    0.01%
Investment Companies:            
 United States:               
 36,700   ISHARES MSCI EAFE SMALL-CAP ETF   2,453,033    2,302,558      
         2,453,033    2,302,558    0.38%
     Sub-total Investment Companies:   2,453,033    2,302,558    0.38%
Short-Term Investments:               
 23,158,196   NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 1.75%(g)   23,158,196    23,158,196      
  Sub-total Short-Term Investments:   23,158,196    23,158,196    3.82%
     Grand total  $429,422,247    603,001,950    99.49%

 

Notes to Schedule of Investments:

 

(a)Investments are valued in accordance with procedures described in note 2 to the financial statements.

(b)Security has been deemed worthless and is a Level 3 investment.

(c)Non-income producing assets.

(d)Securities are American Depositary Receipts of companies based outside of the United States representing 2.65% of net assets as of June 30, 2018.

 

See accompanying notes to financial statements.77(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

(e)Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees.

(f)Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income.

(g)The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2017, the value of the Clearwater International Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $28,399,890 with net sales of $5,241,694 during the six months ended June 30, 2018.

 

At June 30, 2018, the industry sectors for the Clearwater International Fund were:

 

Industry Sector  Percent of
Long-Term
Investments
 
Consumer Discretionary   17.32%
Consumer Staples   9.69 
Energy   4.91 
Financials   18.37 
Health Care   9.87 
Industrials   15.53 
Information Technology   12.68 
Materials   6.22 
Real Estate   2.00 
Telecommunication Services   2.06 
Utilities   1.35 
    100.00%

 

At June 30, 2018, the Clearwater International Fund’s investments were denominated in the following currencies:

 

Concentration by Currency  Percent of
Long-Term
Investments
 
Euro   25.00%
Japanese Yen   16.86 
British Pound   12.56 
United States Dollar   10.31 
Swiss Franc   7.83 
Canadian Dollar   6.50 
Hong Kong Dollar   5.09 
Other currencies   15.85 
    100.00%

 

See accompanying notes to financial statements.78(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

At June 30, 2018, the Clearwater International Fund had outstanding forward foreign currency exchange contracts as follows:

                       
   Contract
Settlement
  Contract Amount   Unrealized
Appreciation
 
Counterparty  Date  Deliver   Receive   (Depreciation) 
Northern Trust  11/07/2018  CNH   17,894,427    USD    2,791,120   $106,880 
Northern Trust  07/26/2018  JPY   161,680,000    USD    1,488,887    25,957 
Northern Trust  11/07/2018  CNH   2,854,324    USD    447,597    19,436 
                        $152,273 
Northern Trust  07/26/2018  USD   160,916    JPY    17,561,348   $(2,016)
                        $(2,016)
                        $150,257 

 

See accompanying notes to financial statements.79(Continued)

 

 

CLEARWATER INVESTMENT TRUST

Schedule of Investments - Clearwater International Fund
June 30, 2018 (unaudited)

 

Clearwater International Fund Portfolio Diversification
(as a percentage of net assets)

 

(PIE CHART)

 

See accompanying notes to financial statements.80(Continued)

 

 

Item 2.   Code of Ethics

 

Not applicable to this filing.

 

Item 3.   Audit Committee Financial Expert

 

Not applicable to this filing.

 

Item 4.   Principal Accountant Fees and Services

 

Not applicable to this filing.

 

Item 5.   Audit Committee of Listed Registrants

 

Not applicable to this filing.

 

Item 6.   Investments

 

(a)Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this report on Form N-CSR.

 

(b)Not applicable.

 

Item 7.   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

 

Not applicable (the Trust is an open-end management investment company).

 

Item 8.   Portfolio Managers of Closed-End Management Investment Companies

 

Not applicable (the Trust is an open-end management investment company).

 

Item 9.   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Not applicable (the Trust is an open-end management investment company).

 

Item 10. Submission of Matters to a Vote of Security Holders

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the Board of Trustees.

 

Item 11. Controls and Procedures

 

  (a)

The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective based on the principal executive officer and principal financial officer’s evaluation of these controls and procedures, as required by Rule 30a-3(b) under the 1940 Act, as of a date within 90 days of the filing date of this document.

 

  (b)

There have been no significant changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this

 

 

 

 

   

report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

Not applicable (the Trust is an open-end management investment company).

 

Item 13. Exhibits

 

(a)(1)Not applicable to this filing.

 

(a)(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the 1940 Act.

 

(a)(3)No written solicitations to purchase securities were sent or delivered during the period covered by this report by or on behalf of the Trust.

 

(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the 1940 Act.

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  Clearwater Investment Trust
     
  By /s/ Justin H. Weyerhaeuser
    Justin H. Weyerhaeuser
    President (Principal Executive Officer) and
    Treasurer (Principal Financial Officer)
     
  Date:  August 30, 2018

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  Clearwater Investment Trust
     
  By /s/ Justin H. Weyerhaeuser
    Justin H. Weyerhaeuser
    President (Principal Executive Officer)
     
  Date: August 30, 2018

 

  Clearwater Investment Trust
     
  By /s/ Justin H. Weyerhaeuser
    Justin H. Weyerhaeuser
    Treasurer (Principal Financial Officer)
     
  Date: August 30, 2018