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) |
Karen P. Rau
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, 2020 |
Item 1. Reports to Stockholders
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) |
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, 2020
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, 2020.
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, 2020 through June 30, 2020” 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-1
Actual returns | Beginning Account Value January 1, 2020 | Ending Account Value June 30, 2020 | Expenses Paid During the Period January 1, 2020 through June 30, 2020* |
Core Equity Fund | $1,000.00 | $945.60 | $1.50 |
Small Companies Fund | $1,000.00 | $809.20 | $4.27 |
Tax-Exempt Bond Fund | $1,000.00 | $998.50 | $1.44 |
International Fund | $1,000.00 | $928.80 | $3.12 |
Hypothetical 5% return (before expenses) | |||
Core Equity Fund | $1,000.00 | $1,023.32 | $1.56 |
Small Companies Fund | $1,000.00 | $1,020.14 | $4.77 |
Tax-Exempt Bond Fund | $1,000.00 | $1,023.42 | $1.46 |
International Fund | $1,000.00 | $1,021.63 | $3.27 |
* | Expenses are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Expense ratios for the most recent one-half year period may differ from expense ratios based on one-year data in the Financial Highlights. |
The annualized expense ratios (reflecting voluntary fee waivers in effect during the period) are as follows:
Core Equity Fund | 0.31% |
Small Companies Fund | 0.95% |
Tax-Exempt Bond Fund | 0.29% |
International Fund | 0.65% |
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Approval of Subadvisory Agreement
Clearwater Management Co., Inc. (“CMC”) is responsible for managing the investment programs and strategies for Funds. CMC conducts due diligence when selecting each subadviser (collectively, the “Subadvisers”) for the Funds and oversees the performance of the Subadvisers. The Subadvisers provide portfolio management and related services for the Funds under individual subadvisory agreements.
Approval of Subadvisory Agreement – Parametric Portfolio Associates LLC (Small Companies Fund)
At a meeting on June 18, 2020, the Trustees considered a new subadvisory agreement with Parametric Portfolio Associates LLC (“Parametric”) (the “Parametric Agreement”) for the Clearwater Small Companies Fund (the “Small Companies Fund”). At this meeting, the Trustees received a presentation from Clearwater Management Co., Inc. (“CMC”) discussing Parametric’s investment philosophy and process, past performance, subadvisory experience, investment team and organizational structure. The Trustees noted that Parametric currently serves as a subadviser for the Clearwater Core Equity Fund (the “Core Equity Fund”) and the Clearwater International Fund (the “International Fund”). Similar to the strategy utilized for the Core Equity Fund and the International Fund, Parametric will manage its portion of the Small Companies Fund’s assets using a passive management strategy to seek investment results that track, before fees and expenses, the investment results of the S&P SmallCap 600® Index as closely as possible without requiring the Small Companies Fund to realize taxable gains.
In advance of the meeting on June 18, 2020, the Trustees received written information that included: information as to the proposed allocation of assets among the Small Companies Fund’s subadvisers, and a summary of information regarding Parametric, including its investment professionals, process, philosophy, portfolio construction, past performance and proposed subadvisory fees. In addition, at the meeting on March 6, 2020, the Trustees received information from the Trust’s Interim Chief Compliance Officer as to her review of Parametric’s Code of Ethics, Form ADV and compliance program.
At the June 18, 2020 meeting, counsel to the Small Companies Fund and Trustees reviewed with the Trustees the various factors relevant to their consideration of the Parametric Agreement and the Trustees’ responsibilities related to their review. The Trustees reviewed and analyzed a number of factors that the Trustees deemed relevant with respect to the Parametric Agreement. These factors included: the nature, quality, and extent of the services to be provided to the Small Companies Fund by Parametric; Parametric’s investment process; Parametric’s historical performance record for its S&P 600® tax-managed index-tracking strategy; the qualifications and experience of the investment professionals who would be responsible for the management of their allocation of the Small Companies Fund’s assets; and Parametric’s overall resources. The Trustees considered that they are familiar with Parametric through their oversight of the Core Equity Fund and International Fund.
No single factor determined whether or not the agreement would be approved but rather the totality of factors considered was determinative. Following an analysis and discussion of the factors described below, the Trustees, including all of the Independent Trustees, approved the Parametric Agreement.
Nature, Extent, and Quality of Services Provided
The Trustees considered the specific investment processes Parametric would use in managing its allocation of the Small Companies Fund’s assets. The Trustees looked at the qualifications of Parametric’s investment team who would be responsible for managing its allocation of the Small Companies Fund’s assets. The Trustees concluded that the nature, extent, and quality of the subadvisory services expected to be provided by Parametric were appropriate for the Small Companies Fund.
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Investment Performance
The Trustees discussed Parametric’s performance record for the strategy it would use in managing its allocation of the Small Companies Fund’s assets as compared to its strategy benchmark, the S&P SmallCap 600® Index, and the Small Companies Fund’s benchmark, the Russell 2000® Index. The Trustees noted that the strategy’s performance was in line with expectations for the period since its inception at the beginning of 2014. The Trustees concluded that this data supported the decision to approve the Parametric Agreement.
Subadvisory Fee
The Trustees evaluated the proposed subadvisory fee rate, which was negotiated at arm’s length by CMC. The Trustees noted that the fee rate was the same as that charged by Parametric with respect to the Core Equity Fund and the International Fund. The Trustees also noted that CMC, not the Small Companies Fund, would pay the subadvisory fee to Parametric. The Trustees concluded that the proposed subadvisory fee rate was reasonable given the nature, extent and quality of the subadvisory services to be performed by Parametric.
Benefits to the Subadviser
The Trustees considered the ancillary benefits that could accrue to Parametric due to its relationship with the Small Companies Fund and noted that the relationship would be limited to the provision of subadvisory services. The Trustees concluded that no significant ancillary benefits would result from the Parametric Agreement.
Profitability
The Trustees considered that Parametric is an independent firm and that the subadvisory fee to be charged is the result of arm’s length bargaining between Parametric and CMC.
Economies of Scale
The Trustees noted that CMC, not the Small Companies Fund, would pay the subadvisory fee to Parametric and that the Trustees consider on an annual basis whether economies of scale might be realized by CMC as the Small Companies Fund’s assets grow and whether there also might be benefits from such growth for the Small Companies Fund’s shareholders.
Other Considerations
The Trustees considered CMC’s judgment and recommendation that adding Parametric as a subadviser would add value to the Small Companies Fund’s shareholders and would be complementary to the Small Companies Fund’s other subadvisers.
Conclusion
After full consideration of the factors described above along with other information, with no single factor identified as being of paramount importance, the Trustees, including all of the Independent Trustees, concluded that the approval of the Parametric Agreement was in the best interests of the Small Companies Fund and its shareholders and approved the Parametric Agreement, with the proposed fee to be paid by CMC out of its management fee.
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Quarterly Portfolio Schedule of Investments
The Funds file a complete schedule of their portfolio holdings as of the close of the first and third quarters of their fiscal years with the Securities and Exchange Commission (the “SEC”) on Form N-PORT. Shareholders may request portfolio holdings information free of charge by calling the Transfer Agent toll free at 1- 855-684-9144 or by sending a written request to: The Northern Trust Company, P.O. Box 4766, Chicago, IL 60680-4766 Attn: Clearwater Investment Trust Funds. These filings are also available on the SEC’s Internet site at http://www.sec.gov.
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-5
Clearwater Investment Trust
Financial Statements
For the Six Months Ended June 30, 2020 (Unaudited)
Table of Contents
CLEARWATER INVESTMENT TRUST
Statements of Assets and Liabilities
June 30, 2020 (unaudited)
Core Equity Fund | Small Companies Fund | Tax-Exempt Bond Fund | International Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities, at fair value (including securities on loan of: $0, $5,029,287, $0 and $6,082,126, respectively); (identified cost: $262,970,353, $349,460,813, $565,721,847 and $508,876,120, respectively) | $ | 495,371,212 | 342,237,170 | 581,880,150 | 675,175,467 | |||||||||||
Foreign currencies, at value (cost: $0, $0, $0 and $1,116,736, respectively) | - | - | - | 1,119,231 | ||||||||||||
Receivable for securities sold | 5,591,196 | 148 | - | 11,767 | ||||||||||||
Receivable for shares of beneficial interest sold | 7,200 | - | 14,200 | - | ||||||||||||
Accrued dividend and interest receivable | 423,830 | 282,492 | 5,751,798 | 928,165 | ||||||||||||
Foreign tax reclaim receivable | 2,940 | - | - | 1,440,732 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | - | - | - | 17,682 | ||||||||||||
Total assets | 501,396,378 | 342,519,810 | 587,646,148 | 678,693,044 | ||||||||||||
Liabilities | ||||||||||||||||
Payables for investment securities purchased | 6,301,512 | 559,993 | - | 456,547 | ||||||||||||
Accrued investment advisory fee | 358,906 | 704,012 | 417,919 | 994,119 | ||||||||||||
Payable for dividend distribution | - | - | 310,145 | - | ||||||||||||
Payable upon return of securities loaned | - | 5,133,834 | - | 6,450,555 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | - | - | - | 25,022 | ||||||||||||
Total liabilities | 6,660,418 | 6,397,839 | 728,064 | 7,926,243 | ||||||||||||
Net assets | $ | 494,735,960 | 336,121,971 | 586,918,084 | 670,766,801 | |||||||||||
Capital | ||||||||||||||||
Capital Stock and additional paid-in capital (authorized unlimited number of shares at no par value for each Fund: 10,868,256, 22,518,935, 59,236,146 and 41,786,699 shares, respectively) | $ | 273,530,734 | 354,935,934 | 574,352,435 | 508,320,195 | |||||||||||
Distributable earnings | 221,205,226 | (18,813,963 | ) | 12,565,649 | 162,446,606 | |||||||||||
Net assets | $ | 494,735,960 | 336,121,971 | 586,918,084 | 670,766,801 | |||||||||||
Net asset value per share of outstanding capital stock | $ | 45.52 | 14.93 | 9.91 | 16.05 |
See accompanying notes to financial statements.
1
CLEARWATER INVESTMENT TRUST
for the six months ended June 30, 2020 (unaudited)
Core Equity Fund | Small Companies Fund | Tax-Exempt Bond Fund | International Fund | |||||||||||||
Investment income: | ||||||||||||||||
Income: | ||||||||||||||||
Dividends (net of foreign taxes withheld of $4,649, $2,167, $0 and $732,190, respectively) | $ | 4,848,548 | 2,455,827 | 729,543 | 7,289,200 | |||||||||||
Interest | - | 19,888 | 11,613,877 | - | ||||||||||||
Net income from securities loaned | - | 10,473 | - | 63,388 | ||||||||||||
Total income | 4,848,548 | 2,486,188 | 12,343,420 | 7,352,588 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fee | 2,188,761 | 2,124,547 | 1,773,421 | 3,179,545 | ||||||||||||
Voluntary fee reduction | (1,434,851 | ) | (629,498 | ) | (916,265 | ) | (1,112,771 | ) | ||||||||
Total net expenses | 753,910 | 1,495,049 | 857,156 | 2,066,774 | ||||||||||||
Net investment income | 4,094,638 | 991,139 | 11,486,264 | 5,285,814 | ||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Security transactions | 6,655,427 | (13,441,834 | ) | (273,833 | ) | (6,784,667 | ) | |||||||||
Forward foreign currency exchange contracts | - | - | - | 60,897 | ||||||||||||
Foreign currency transactions | - | - | - | (114,559 | ) | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on: | ||||||||||||||||
Security transactions (net of increase (decrease) in deferred foreign taxes of $0, $0, $0 and $204,467, respectively) | (42,219,571 | ) | (53,464,556 | ) | (13,143,976 | ) | (48,643,991 | ) | ||||||||
Forward foreign currency exchange contracts | - | - | - | 17,537 | ||||||||||||
Translation of other assets and liabilities denominated in foreign currencies | - | - | - | (12,967 | ) | |||||||||||
Net gain (loss) on investments | (35,564,144 | ) | (66,906,390 | ) | (13,417,809 | ) | (55,477,750 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | (31,469,506 | ) | (65,915,251 | ) | (1,931,545 | ) | (50,191,936 | ) |
See accompanying notes to financial statements.
2
CLEARWATER INVESTMENT TRUST
Statements of Changes in Net Assets
for the six months ended June 30, 2020 (unaudited) and the year ended December 31, 2019
Core Equity Fund | Small Companies Fund | |||||||||||||||
06/30/2020 | 12/31/2019 | 06/30/2020 | 12/31/2019 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 4,094,638 | 7,810,733 | 991,139 | 2,201,885 | |||||||||||
Net realized gain (loss) | 6,655,427 | 39,171,072 | (13,441,834 | ) | 7,694,544 | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | (42,219,571 | ) | 81,303,827 | (53,464,556 | ) | 69,837,002 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (31,469,506 | ) | 128,285,632 | (65,915,251 | ) | 79,733,431 | ||||||||||
Distributions to shareholders | - | (9,748,573 | ) | - | (7,557,886 | ) | ||||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 42,605,973 | 46,023,492 | 35,633,935 | 7,397,888 | ||||||||||||
Reinvestment of distributions from net investment income and net realized gain | - | 9,732,390 | - | 7,557,886 | ||||||||||||
Payments for shares redeemed | (59,571,809 | ) | (87,995,545 | ) | (7,021,234 | ) | (19,627,687 | ) | ||||||||
Net increase (decrease) in net assets from capital share transactions | (16,965,836 | ) | (32,239,663 | ) | 28,612,701 | (4,671,913 | ) | |||||||||
Total increase (decrease) in net assets | (48,435,342 | ) | 86,297,396 | (37,302,550 | ) | 67,503,632 | ||||||||||
Net assets: | ||||||||||||||||
At the beginning of the period | 543,171,302 | 456,873,906 | 373,424,521 | 305,920,889 | ||||||||||||
At the end of the period | $ | 494,735,960 | 543,171,302 | 336,121,971 | 373,424,521 |
Tax-Exempt Bond Fund | International Fund | |||||||||||||||
06/30/2020 | 12/31/2019 | 06/30/2020 | 12/31/2019 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 11,486,264 | 22,637,160 | 5,285,814 | 11,402,417 | |||||||||||
Net realized gain (loss) | (273,833 | ) | (3,127,404 | ) | (6,838,329 | ) | 12,114,317 | |||||||||
Net increase (decrease) in unrealized appreciation/depreciation | (13,143,976 | ) | 21,211,388 | (48,639,421 | ) | 118,505,646 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (1,931,545 | ) | 40,721,144 | (50,191,936 | ) | 142,022,380 | ||||||||||
Distributions to shareholders | (12,159,180 | ) | (24,064,555 | ) | - | (20,986,457 | ) | |||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | 20,117,700 | 65,972,600 | 26,486,665 | 76,508,600 | ||||||||||||
Reinvestment of distributions from net investment income and net realized gain | 12,197,215 | 23,964,450 | - | 20,986,457 | ||||||||||||
Payments for shares redeemed | (34,582,692 | ) | (32,802,047 | ) | (17,378,944 | ) | (31,388,422 | ) | ||||||||
Net increase (decrease) in net assets from capital share transactions | (2,267,777 | ) | 57,135,003 | 9,107,721 | 66,106,635 | |||||||||||
Total increase (decrease) in net assets | (16,358,502 | ) | 73,791,592 | (41,084,215 | ) | 187,142,558 | ||||||||||
Net assets: | ||||||||||||||||
At the beginning of the period | 603,276,586 | 529,484,994 | 711,851,016 | 524,708,458 | ||||||||||||
At the end of the period | $ | 586,918,084 | 603,276,586 | 670,766,801 | 711,851,016 |
See accompanying notes to financial statements.
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CLEARWATER INVESTMENT TRUST
Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years or period ended and selected information for each year or period ended is as follows:
June 30, | Year ended December 31, | |||||||||||||||||||||||
Core Equity Fund | 2020 (Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 48.14 | 37.97 | 43.21 | 37.43 | 35.57 | 39.41 | |||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.38 | 0.72 | 0.68 | 0.64 | 0.65 | 0.64 | ||||||||||||||||||
Net realized and unrealized gains (losses) | (3.00 | ) | 10.32 | (3.46 | ) | 8.03 | 3.27 | (0.96 | ) | |||||||||||||||
Total from investment operations | (2.62 | ) | 11.04 | (2.78 | ) | 8.67 | 3.92 | (0.32 | ) | |||||||||||||||
Less distributions to shareholders from: | �� | |||||||||||||||||||||||
Net investment income | - | (0.66 | ) | (0.67 | ) | (0.65 | ) | (0.49 | ) | (0.60 | ) | |||||||||||||
Net realized gain | - | (0.21 | ) | (1.79 | ) | (2.24 | ) | (1.57 | ) | (2.92 | ) | |||||||||||||
Total distributions to shareholders: | - | (0.87 | ) | (2.46 | ) | (2.89 | ) | (2.06 | ) | (3.52 | ) | |||||||||||||
Net asset value, end of period | $ | 45.52 | 48.14 | 37.97 | 43.21 | 37.43 | 35.57 | |||||||||||||||||
Total return (a) | (5.44 | )% | 29.11 | % | (6.61 | )% | 23.26 | % | 10.98 | % | (0.71 | )% | ||||||||||||
Net assets, end of period (000s omitted) | $ | 494,736 | 543,171 | 456,874 | 538,392 | 466,482 | 492,418 | |||||||||||||||||
Ratio of expenses, net of waivers, to average net assets (b), (c), (d), (e), (f), (g), (h), (i) | 0.31 | % | 0.35 | % | 0.38 | % | 0.39 | % | 0.43 | % | 0.42 | % | ||||||||||||
Ratio of expenses, before waivers, to average net assets (b), (c), (d), (e), (f), (g), (h), (i) | 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), (i) | 1.68 | % | 1.54 | % | 1.47 | % | 1.51 | % | 1.63 | % | 1.52 | % | ||||||||||||
Ratio of net investment income (loss), before waivers, to average net assets (c), (d), (e), (f), (g), (h), (i) | 1.09 | % | 0.99 | % | 0.95 | % | 1.00 | % | 1.16 | % | 1.02 | % | ||||||||||||
Portfolio turnover rate (excluding short-term securities) | 27.68 | % | 33.73 | % | 34.64 | % | 31.13 | % | 44.11 | % | 94.07 | % |
(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 January 1, 2020 the investment advisory fee, net of voluntary waivers, decreased to 0.31%. Also effective January 1, 2020, the Adviser increased the voluntary waiver to 0.59%. |
(e) | Effective December 12, 2018 the investment advisory fee, net of voluntary waivers, decreased to 0.35%. Also effective December 12, 2018, the Adviser increased the voluntary waiver to 0.55%. |
(f) | 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%. |
(g) | 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%. |
(h) | 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%. |
(i) | 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%. |
See accompanying notes to financial statements.
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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, | |||||||||||||||||||||||
Small Companies Fund | 2020 (Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 18.45 | 14.90 | 18.92 | 19.79 | 17.18 | 20.30 | |||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.05 | 0.14 | 0.07 | 0.02 | 0.07 | 0.07 | ||||||||||||||||||
Net realized and unrealized gains (losses) | (3.57 | ) | 3.79 | (2.37 | ) | 2.58 | 3.30 | (0.90 | ) | |||||||||||||||
Total from investment operations | (3.52 | ) | 3.93 | (2.30 | ) | 2.60 | 3.37 | (0.83 | ) | |||||||||||||||
Less distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | - | (0.11 | ) | (0.07 | ) | (0.03 | ) | (0.05 | ) | (0.06 | ) | |||||||||||||
Net realized gain | - | (0.27 | ) | (1.65 | ) | (3.44 | ) | (0.71 | ) | (2.23 | ) | |||||||||||||
Total distributions to shareholders: | - | (0.38 | ) | (1.72 | ) | (3.47 | ) | (0.76 | ) | (2.29 | ) | |||||||||||||
Net asset value, end of period | $ | 14.93 | 18.45 | 14.90 | 18.92 | 19.79 | 17.18 | |||||||||||||||||
Total return (a) | (19.08 | )% | 26.40 | % | (12.49 | )% | 13.46 | % | 19.67 | % | (3.96 | )% | ||||||||||||
Net assets, end of period (000s omitted) | $ | 336,122 | 373,425 | 305,921 | 369,720 | 343,393 | 299,380 | |||||||||||||||||
Ratio of expenses, net of waivers, to average net assets (b), (c), (d), (e), (f), (g), (h), (i) | 0.95 | % | 0.98 | % | 1.03 | % | 0.99 | % | 1.02 | % | 0.97 | % | ||||||||||||
Ratio of expenses, before waivers, to average net assets (b), (c), (d), (e), (f), (g), (h), (i) | 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), (i) | 0.63 | % | 0.64 | % | 0.33 | % | 0.11 | % | 0.28 | % | 0.22 | % | ||||||||||||
Ratio of net investment income (loss), before waivers, to average net assets (c), (d), (e), (f), (g), (h), (i) | 0.23 | % | 0.27 | % | 0.01 | % | (0.25 | )% | (0.05 | )% | (0.16 | )% | ||||||||||||
Portfolio turnover rate (excluding short-term securities) | 31.67 | % | 64.32 | % | 63.08 | % | 113.85 | % | 78.82 | % | 58.71 | % |
(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 January 1, 2020 the investment advisory fee, net of voluntary waivers, decreased to 0.95%. Also effective January 1, 2020, the Adviser increased the voluntary waiver to 0.40%. |
(e) | Effective December 12, 2018, the investment advisory fee, net of voluntary waivers, decreased to 0.98%. Also effective December 12, 2018, the Adviser increased the voluntary waiver to 0.37%. |
(f) | 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%. |
(g) | 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%. |
(h) | 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%. |
(i) | 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%. |
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, | |||||||||||||||||||||||
Tax-Exempt Bond Fund | 2020 (Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.13 | 9.82 | 10.21 | 9.93 | 10.16 | 10.16 | |||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.19 | 0.40 | 0.42 | 0.45 | 0.46 | 0.42 | ||||||||||||||||||
Net realized and unrealized gains (losses) | (0.21 | ) | 0.34 | (0.26 | ) | 0.38 | (0.23 | ) | 0.04 | |||||||||||||||
Total from investment operations | (0.02 | ) | 0.74 | 0.16 | 0.83 | 0.23 | 0.46 | |||||||||||||||||
Less distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.43 | ) | (0.45 | ) | (0.49 | ) | (0.44 | ) | (0.42 | ) | ||||||||||||
Net realized gain | - | - | (0.10 | ) | (0.06 | ) | (0.02 | ) | (0.04 | ) | ||||||||||||||
Total distributions to shareholders: | (0.20 | ) | (0.43 | ) | (0.55 | ) | (0.55 | ) | (0.46 | ) | (0.46 | ) | ||||||||||||
Net asset value, end of period | $ | 9.91 | 10.13 | 9.82 | 10.21 | 9.93 | 10.16 | |||||||||||||||||
Total return (a) | (0.15 | )% | 7.69 | % | 1.59 | % | 8.54 | % | 2.28 | % | 4.73 | % | ||||||||||||
Net assets, end of period (000s omitted) | $ | 586,918 | 603,277 | 529,485 | 525,156 | 484,856 | 512,773 | |||||||||||||||||
Ratio of expenses, net of waivers, to average net assets (b), (c), (d), (e), (f) | 0.29 | % | 0.32 | % | 0.34 | % | 0.34 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of expenses, before waivers, to average net assets (b), (c), (d), (e), (f) | 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), (f) | 3.89 | % | 4.05 | % | 4.22 | % | 4.35 | % | 4.54 | % | 4.23 | % | ||||||||||||
Ratio of net investment income (loss), before waivers, to average net assets (c), (d), (e), (f) | 3.58 | % | 3.77 | % | 3.96 | % | 4.09 | % | 4.28 | % | 3.97 | % | ||||||||||||
Portfolio turnover rate (excluding short-term securities) | 9.65 | % | 12.53 | % | 11.36 | % | 13.28 | % | 13.48 | % | 18.93 | % |
(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 January 1, 2020 the investment advisory fee, net of voluntary waivers, decreased to 0.29%. Also effective January 1, 2020, the Adviser increased the voluntary waiver to 0.31%. |
(e) | Effective December 12, 2018, the investment advisory fee, net of voluntary waivers, decreased to 0.32%. Also effective December 12, 2018, the Adviser increased the voluntary waiver to 0.28%. |
(f) | 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%. |
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, | |||||||||||||||||||||||
International Fund | 2020 (Unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 17.28 | 14.08 | 17.23 | 14.04 | 14.02 | 14.41 | |||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.13 | 0.29 | 0.30 | 0.27 | 0.27 | 0.28 | ||||||||||||||||||
Net realized and unrealized gains (losses) | (1.36 | ) | 3.43 | (2.70 | ) | 3.44 | 0.02 | (0.31 | ) | |||||||||||||||
Total from investment operations | (1.23 | ) | 3.72 | (2.40 | ) | 3.71 | 0.29 | (0.03 | ) | |||||||||||||||
Less distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | - | (0.30 | ) | (0.29 | ) | (0.30 | ) | (0.27 | ) | (0.28 | ) | |||||||||||||
Net realized gain | - | (0.22 | ) | (0.46 | ) | (0.22 | ) | - | (a) | (0.08 | ) | |||||||||||||
Total distributions to shareholders: | - | (0.52 | ) | (0.75 | ) | (0.52 | ) | (0.27 | ) | (0.36 | ) | |||||||||||||
Net asset value, end of period | $ | 16.05 | 17.28 | 14.08 | 17.23 | 14.04 | 14.02 | |||||||||||||||||
Total return (b) | (7.12 | )% | 26.47 | % | (14.01 | )% | 26.54 | % | 2.09 | % | (0.15 | )% | ||||||||||||
Net assets, end of period (000s omitted) | $ | 670,767 | 711,851 | 524,708 | 624,642 | 508,999 | 491,184 | |||||||||||||||||
Ratio of expenses, net of waivers, to average net assets (c), (d), (e), (f), (g), (h), (i) | 0.65 | % | 0.68 | % | 0.68 | % | 0.67 | % | 0.70 | % | 0.69 | % | ||||||||||||
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) | 1.66 | % | 1.88 | % | 1.79 | % | 1.67 | % | 1.90 | % | 1.87 | % | ||||||||||||
Ratio of net investment income (loss), before waivers, to average net assets (d), (e), (f), (g), (h), (i) | 1.31 | % | 1.56 | % | 1.47 | % | 1.34 | % | 1.60 | % | 1.56 | % | ||||||||||||
Portfolio turnover rate (excluding short-term securities) | 25.49 | % | 49.69 | % | 19.57 | % | 36.17 | % | 37.21 | % | 18.49 | % |
(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 January 1, 2020 the investment advisory fee, net of voluntary waivers, decreased to 0.65%. Also effective January 1, 2020, the Adviser increased the voluntary waiver to 0.35%. |
(f) | Effective September 22, 2017, the investment advisory fee, net of voluntary waivers, increased to 0.68%. Also effective September 22, 2017, the Advisor decreased the voluntary waiver to 0.32%. |
(g) | 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% |
(h) | 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%. |
(i) | 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%. |
See accompanying notes to financial statements.
7 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
(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 (the “1940 Act”), 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, LLC (“AQR”), and O’Shaughnessy Asset Management, LLC (“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 40% to 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, 2020
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”). Effective June 18, 2020, the Trust appointed Parametric as a subadviser to the Small Companies Fund. Parametric began managing assets for the Fund on July 1, 2020. The allocation among subadvisers will vary over time, but the current intent of the Fund’s adviser is that under normal market conditions approximately 10% 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 S&P SmallCap 600® Index 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.
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 (including frontier market issuers). In order to hedge against adverse movements in currency exchange rates, the Fund may enter into foreign currency exchange contracts. The Fund may use options, futures contracts, and options on futures contracts to attempt to manage market or business risks. The Fund does not intend to invest in foreign currency exchange contracts, options, futures contracts, or options on 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, LLC (“WCM”) and LSV Asset Management (“LSV”). The allocation among subadvisers will vary over time, but the current intent of the Fund’s Adviser is that under normal market conditions approximately 30% 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
9 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
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.
(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.
10 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
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.
(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 gain exposure to interest rate risk. 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 interest rates or 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 gain (loss) 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
11 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
currency hedging transactions is to reduce the risk that the U.S. dollar value of the International Fund’s foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. Forward foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates. Any resulting unrealized gains or losses are recorded on forward foreign currency exchange contracts within net increase (decrease) in unrealized appreciation/depreciation on the Statements of Operations. The International Fund records any realized gains or losses at the time the forward foreign currency exchange contract is offset by entering into a closing transaction with the same counterparty or is extinguished by delivery of the currency. Realized gains or losses, if any, are recorded within Net realized gain (loss) on forward foreign currency exchange contracts on the Statements of Operations. Risks may arise upon entering into forward foreign currency exchange contracts from the potential of the counterparty 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.
12 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
(g) | Delayed Delivery Transactions and When-Issued Securities |
Certain Funds may engage in securities transactions on a when-issued or delayed-delivery basis. In these transactions, the securities’ prices and yields are fixed on the date of the commitment, with payment and delivery scheduled for a future date. During this period, the securities are subject to market fluctuations. When delayed-delivery purchases are outstanding, a Fund will segregate liquid assets on its records in amounts sufficient to meet the purchase price. A Fund may dispose of or renegotiate a delayed-delivery transaction, which may result in a capital gain or loss.
(h) | Short-Term Investments |
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 reclaims. 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, 2019, no provision for income tax is required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for the 2016, 2017, 2018 and 2019 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
13 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The tax character of distributions by the Funds during the years ended December 31, 2019 and 2018 was as follows:
Tax-Exempt | Ordinary Income* | ||||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||||
Core Equity Fund | $ | — | $ | — | $ | 7,398,837 | $ | 7,833,537 | |||||||||
Small Companies Fund | — | — | 2,265,820 | 13,643,176 | |||||||||||||
Tax-Exempt Bond Fund | 23,538,099 | 23,513,734 | 426,352 | 2,426,996 | |||||||||||||
International Fund | — | — | 12,139,749 | 10,507,300 |
Long-Term Capital Gains** | |||||||||
2019 | 2018 | ||||||||
Core Equity Fund | $ | 2,349,736 | $ | 20,355,019 | |||||
Small Companies Fund | 5,292,066 | 18,194,790 | |||||||
Tax-Exempt Bond Fund | — | 3,154,039 | |||||||
International Fund | 8,846,708 | 16,117,600 |
* In addition to the ordinary income distributions, during 2019 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 | $ | 350,142 | |||
Small Companies Fund | $ | 4,263 | |||
International Fund | $ | 21,020 |
** In addition to the long-term capital gain distributions, during 2019 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 | $ | 286,224 | |||
Small Companies Fund | $ | 66,095 | |||
International Fund | $ | 233,532 |
14 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
As of June 30, 2020, 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 | $ | 4,188,721 | $ | 991,139 | $ | — | $ | 4,309,560 | ||||||||
Undistributed tax-exempt income | — | — | 473,948 | — | ||||||||||||
Undistributed capital gain | 2,728,041 | 1,876,412 | — | 1,817,056 | ||||||||||||
Accumulated capital losses and other | (17,471,420 | ) | (12,268,287 | ) | (4,546,938 | ) | (6,220,834 | ) | ||||||||
Unrealized appreciation/depreciation | 231,759,884 | (9,413,227 | ) | 16,638,639 | 162,540,824 | |||||||||||
Total | $ | 221,205,226 | $ | (18,813,963 | ) | $ | 12,565,649 | $ | 162,446,606 |
Distributions to shareholders 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. The primary reasons for permanent differences are the Funds use of equalization accounting whereby a portion of redemption payments were treated as distributions and realized gains on in-kind redemptions that are not recognized for tax purposes. These reclassifications have no impact on the total net assets or the NAV per share of the Funds. At June 30, 2020, 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 | |||||||||||||
Additional paid-in capital | $ | 24,477,444 | $ | — | $ | — | $ | — | ||||||||
Distributable Earnings | (24,477,444 | ) | — | — | — |
(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, 2019, 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.
(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.
15 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
(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. |
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, 2020.
Core Equity Fund (a) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 491,234,876 | $ | — | $ | — | $ | 491,234,876 | ||||||||
Rights | 4,485 | — | — | 4,485 | ||||||||||||
Short-Term Investments | 4,131,851 | — | — | 4,131,851 | ||||||||||||
Total | $ | 495,371,212 | $ | — | $ | — | $ | 495,371,212 |
(a) For the Core Equity Fund, the investment value is comprised of equity securities and short-term investments. See the Fund’s Schedule of Investments for industry classification. Investments in equity and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Investments in rights generally are determined by taking into account the terms of the
16 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
rights as well as the value of the underlying equity securities, which are determined by the valuation methodology described above.
Small Companies Fund (b) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | $ | 324,986,415 | $ | — | $ | — | $ | 324,986,415 | ||||||||
Convertible Bonds | — | 488,410 | — | 488,410 | ||||||||||||
Convertible Preferred Stock | 64,444 | 189,817 | — | 254,261 | ||||||||||||
Master Limited Partnerships | 262,836 | — | — | 262,836 | ||||||||||||
Preferred Stocks | 2,397,218 | — | — | 2,397,218 | ||||||||||||
Rights | — | — | — | * | — | * | ||||||||||
Warrants | — | — | — | * | — | * | ||||||||||
Short-Term Investments | 13,848,030 | — | — | 13,848,030 | ||||||||||||
Total | $ | 341,558,943 | $ | 678,227 | $ | — | * | $ | 342,237,170 |
* 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, master limited partnerships, rights, 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.
There were no significant Level 3 valuations at June 30, 2020.
17 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
Tax-Exempt Bond Fund (c) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Closed-End Funds | $ | 33,942,306 | $ | — | $ | — | $ | 33,942,306 | ||||||||
Municipal Bonds | ||||||||||||||||
Alabama | — | 1,044,640 | — | 1,044,640 | ||||||||||||
Alaska | — | 1,149,130 | — | 1,149,130 | ||||||||||||
Arizona | — | 15,160,483 | — | 15,160,483 | ||||||||||||
Arkansas | — | 1,569,803 | — | 1,569,803 | ||||||||||||
California | — | 46,932,514 | — | 46,932,514 | ||||||||||||
Colorado | — | 29,851,503 | — | 29,851,503 | ||||||||||||
Connecticut | — | 8,829,013 | — | 8,829,013 | ||||||||||||
District of Columbia | — | 5,488,485 | — | 5,488,485 | ||||||||||||
Florida | — | 63,446,725 | — | 63,446,725 | ||||||||||||
Georgia | — | 20,871,761 | — | 20,871,761 | ||||||||||||
Idaho | — | 1,603,964 | — | 1,603,964 | ||||||||||||
Illinois | — | 33,250,006 | — | 33,250,006 | ||||||||||||
Indiana | — | 14,611,842 | — | 14,611,842 | ||||||||||||
Iowa | — | 1,529,700 | — | 1,529,700 | ||||||||||||
Kansas | — | 2,712,455 | — | 2,712,455 | ||||||||||||
Kentucky | — | 776,726 | — | 776,726 | ||||||||||||
Louisiana | — | 9,180,024 | — | 9,180,024 | ||||||||||||
Maine | — | 4,744,519 | — | 4,744,519 | ||||||||||||
Maryland | — | 3,299,286 | — | 3,299,286 | ||||||||||||
Massachusetts | — | 11,995,379 | — | 11,995,379 | ||||||||||||
Michigan | — | 15,163,750 | — | 15,163,750 | ||||||||||||
Minnesota | — | 4,079,135 | — | 4,079,135 | ||||||||||||
Mississippi | — | 1,974,300 | — | 1,974,300 | ||||||||||||
Missouri | — | 7,457,369 | — | 7,457,369 | ||||||||||||
Montana | — | 4,466,051 | — | 4,466,051 | ||||||||||||
Nebraska | — | 2,631,585 | — | 2,631,585 | ||||||||||||
Nevada | — | 3,032,695 | — | 3,032,695 | ||||||||||||
New Hampshire | — | 3,850,844 | — | 3,850,844 | ||||||||||||
New Jersey | — | 14,037,295 | — | 14,037,295 | ||||||||||||
New Mexico | — | 8,699,988 | — | 8,699,988 | ||||||||||||
New York | — | 32,047,905 | — | 32,047,905 | ||||||||||||
North Carolina | — | 5,604,245 | — | 5,604,245 | ||||||||||||
North Dakota | — | 1,176,711 | — | 1,176,711 | ||||||||||||
Ohio | — | 15,935,174 | — | 15,935,174 | ||||||||||||
Oklahoma | — | 3,369,046 | — | 3,369,046 | ||||||||||||
Oregon | — | 9,305,108 | — | 9,305,108 | ||||||||||||
Pennsylvania | — | 17,377,703 | — | 17,377,703 | ||||||||||||
Puerto Rico | — | 1,517,265 | — | 1,517,265 | ||||||||||||
Rhode Island | — | 2,705,066 | — | 2,705,066 | ||||||||||||
South Carolina | — | 6,846,001 | — | 6,846,001 |
18 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
Tax-Exempt Bond Fund (c) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
South Dakota | $ | — | $ | 502,180 | $ | — | $ | 502,180 | ||||||||
Tennessee | — | 11,422,966 | — | 11,422,966 | ||||||||||||
Texas | — | 39,092,061 | — | 39,092,061 | ||||||||||||
Utah | — | 4,883,786 | — | 4,883,786 | ||||||||||||
Vermont | — | 1,713,626 | — | 1,713,626 | ||||||||||||
Virginia | — | 3,845,333 | — | 3,845,333 | ||||||||||||
Washington | — | 15,593,435 | — | 15,593,435 | ||||||||||||
West Virginia | — | 1,622,475 | — | 1,622,475 | ||||||||||||
Wisconsin | — | 21,212,615 | — | 21,212,615 | ||||||||||||
Wyoming | — | 3,439,506 | — | 3,439,506 | ||||||||||||
Short-Term Investments | 5,284,667 | — | — | 5,284,667 | ||||||||||||
Total | $ | 39,226,973 | $ | 542,653,177 | $ | — | $ | 581,880,150 |
(c) For the Tax-Exempt Bond Fund, the investment value is comprised of closed-end funds, municipal bonds, and short-term investments. Investments in closed-end funds and short-term securities generally are valued at the last sales price or the regular trading session closing price on the principal exchange or market where they are traded. Investments in municipal bonds generally are based on valuations using adjusted evaluated prices provided by the primary pricing provider. The Board of Trustees has delegated to the Valuation Committee the responsibility to determine in good faith the fair value of securities for which no price quotation is available from an approved pricing service or broker-dealer at the time the Tax-Exempt Bond Fund’s NAV is calculated, including securities for which the prices do not represent fair value or for which a significant event occurs that materially affects the value of the security after the close of the market on which the security principally trades and before the time the Tax-Exempt Bond Fund’s NAV is calculated.
19 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
International Fund (d) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 25,537,593 | $ | — | * | $ | 25,537,593 | |||||||
Austria | — | 2,587,500 | — | 2,587,500 | ||||||||||||
Belgium | — | 5,628,494 | — | 5,628,494 | ||||||||||||
Canada | 59,198,925 | 1,989 | — | 59,200,914 | ||||||||||||
China | 9,489,426 | 11,654,089 | — | 21,143,515 | ||||||||||||
Czech Republic | — | 592,709 | — | 592,709 | ||||||||||||
Denmark | — | 18,313,012 | — | 18,313,012 | ||||||||||||
Finland | — | 2,624,639 | — | 2,624,639 | ||||||||||||
France | — | 38,521,327 | — | 38,521,327 | ||||||||||||
Georgia | — | 290,887 | — | 290,887 | ||||||||||||
Germany | 4,779,765 | 31,101,886 | — | 35,881,651 | ||||||||||||
Greece | — | 91,888 | — | 91,888 | ||||||||||||
Hong Kong | 166,092 | 13,211,772 | — | 13,377,864 | ||||||||||||
India | 4,748,287 | 9,300,741 | — | 14,049,028 | ||||||||||||
Indonesia | — | 1,716,692 | — | 1,716,692 | ||||||||||||
Ireland | 8,230,540 | 11,465,098 | — | 19,695,638 | ||||||||||||
Israel | 164,583 | 1,691,117 | — | 1,855,700 | ||||||||||||
Italy | 494,234 | 12,485,850 | — | 12,980,084 | ||||||||||||
Japan | — | 97,837,665 | — | 97,837,665 | ||||||||||||
Jersey | — | 65,292 | — | 65,292 | ||||||||||||
Macau | — | 72,003 | — | 72,003 | ||||||||||||
Malaysia | — | 308,351 | — | 308,351 | ||||||||||||
Netherlands | 8,064,449 | 14,318,525 | — | 22,382,974 | ||||||||||||
New Zealand | — | 137,756 | — | 137,756 | ||||||||||||
Norway | 2,004,245 | 2,655,636 | — | 4,659,881 | ||||||||||||
Philippines | — | 653,845 | — | 653,845 | ||||||||||||
Poland | — | 249,184 | — | 249,184 | ||||||||||||
Portugal | — | 1,008,470 | — | 1,008,470 | ||||||||||||
Russia | 1,336,751 | 391,282 | — | 1,728,033 | ||||||||||||
Singapore | — | 2,986,548 | — | 2,986,548 | ||||||||||||
South Africa | — | 1,262,773 | — | 1,262,773 | ||||||||||||
South Korea | — | 18,437,971 | — | 18,437,971 | ||||||||||||
Spain | — | 8,694,021 | — | 8,694,021 | ||||||||||||
Sweden | — | 24,658,976 | — | 24,658,976 | ||||||||||||
Switzerland | 276,532 | 67,972,250 | — | 68,248,782 | ||||||||||||
Taiwan | 5,298,742 | 5,755,849 | — | 11,054,591 | ||||||||||||
Thailand | 160,775 | 255,919 | — | 416,694 | ||||||||||||
Turkey | — | 787,541 | — | 787,541 | ||||||||||||
United Arab Emirates | — | 1,001,650 | — | 1,001,650 | ||||||||||||
United Kingdom | 3,376,703 | 60,145,443 | — | 63,522,146 | ||||||||||||
United States | 18,313,103 | 295,143 | — | 18,608,246 |
20 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
International Fund (d) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
All other countries | $ | 15,811,033 | $ | — | $ | — | $ | 15,811,033 | ||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 3,811,589 | — | — | 3,811,589 | ||||||||||||
Germany | — | 1,051,009 | — | 1,051,009 | ||||||||||||
South Korea | — | 1,893,758 | — | 1,893,758 | ||||||||||||
Rights | — | 3,554 | — | 3,554 | ||||||||||||
Warrants | 1,565,192 | — | — | 1,565,192 | ||||||||||||
Short-Term Investments | 28,166,804 | — | — | 28,166,804 | ||||||||||||
Total | $ | 175,457,770 | $ | 499,717,697 | $ | — | $ | 675,175,467 |
* Security has been deemed worthless and is a Level 3 investment.
(d) For the International Fund, the investment value is comprised of equity securities, rights, warrants 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 traded.
There were no significant Level 3 valuations for which significant unobservable inputs were used at June 30, 2020.
International Fund Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | 17,682 | $ | — | $ | 17,682 | ||||||||
Liabilities | ||||||||||||||||
Forward foreign currency exchange contracts | — | (25,022 | ) | — | (25,022 | ) | ||||||||||
Net Other Financial Instruments | $ | — | $ | (7,340 | ) | $ | — | $ | (7,340 | ) |
The forward foreign currency exchange contracts outstanding at June 30, 2020 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.
(4) | Investment Security Transactions |
The cost of purchases and proceeds from sales of securities (excluding short-term securities) for the period ended June 30, 2020, were as follows:
Purchases | Sales | ||||||||
Core Equity Fund | $ | 135,139,989 | $ | 148,508,209 |
21 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
Purchases | Sales | ||||||||
Small Companies Fund | 130,377,804 | 99,076,547 | |||||||
Tax-Exempt Bond Fund | 69,889,478 | 55,684,780 | |||||||
International Fund | 184,342,608 | 158,690,391 |
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 passive foreign investment companies.
At June 30, 2020, 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:
Net | |||||||||||||||||
Unrealized | Unrealized | Appreciation | Cost Basis of | ||||||||||||||
Funds | Appreciation | Depreciation | (Depreciation) | Investments | |||||||||||||
Core Equity Fund | 232,988,517 | (1,228,633 | ) | 231,759,884 | 263,611,328 | ||||||||||||
Small Companies Fund | 39,047,221 | (48,460,448 | ) | (9,413,227 | ) | 351,650,397 | |||||||||||
Tax-Exempt Bond Fund | 32,980,701 | (16,342,062 | ) | 16,638,639 | 565,241,511 | ||||||||||||
International Fund | 197,272,797 | (34,765,210 | ) | 162,507,587 | 512,667,880 |
(5) | Capital Share Transactions |
Transactions in capital shares for the six months ended June 30, 2020 and the fiscal year ended December 31, 2019 were as follows:
Core Equity Fund | Small Companies Fund | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Sold | 963,804 | 1,044,814 | 2,735,778 | 428,526 | ||||||||||||
Issued for reinvestment of distributions | — | 204,376 | — | 412,774 | ||||||||||||
Redeemed | (1,379,347 | ) | (1,997,685 | ) | (457,491 | ) | (1,137,168 | ) | ||||||||
Net Increase (decrease) | (415,543 | ) | (748,495 | ) | 2,278,287 | (295,868 | ) |
22 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
Tax-Exempt Bond Fund | International Fund | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Sold | 1,979,776 | 6,498,951 | 1,734,417 | 4,699,885 | ||||||||||||
Issued for reinvestment of distributions | 1,228,581 | 2,381,364 | - | 1,224,414 | ||||||||||||
Redeemed | (3,500,696 | ) | (3,270,230 | ) | (1,149,450 | ) | (1,983,567 | ) | ||||||||
Net Increase (decrease) | (292,339 | ) | 5,610,085 | 584,967 | 3,940,732 |
(6) | Capital Loss Carryforward |
At June 30, 2020, the Funds had the following short term capital loss carry-forwards and long term capital loss carry forwards available to offset future net capital gains which do not expire. Future utilization of the capital loss carry-forward may be limited.
Late-year | |||||||||||||||||
Short-Term | Long-Term | Gain/Loss | Total | ||||||||||||||
Core Equity Fund | $ | 17,471,420 | $ | — | $ | — | $ | 17,471,420 | |||||||||
Small Companies Fund | 9,596,293 | 2,671,994 | — | 12,268,287 | |||||||||||||
Tax-Exempt Bond Fund | 2,124,989 | 2,111,804 | — | 4,236,793 | |||||||||||||
International Fund | 6,220,834 | — | — | 6,220,834 |
(7) | Expenses and Related-Party Transactions |
The Trust has a contract for investment advisory services with the Adviser. Under terms of separate agreements, Core Equity Fund, Small Companies Fund, Tax-Exempt Bond Fund and International Fund each pay an investment advisory fee equal to an annual rate of 0.90%, 1.35%, 0.60% and 1.00%, respectively, of each Fund’s average daily net assets. The Adviser is responsible for the payment or reimbursement of all the Funds’ expenses, except brokerage, taxes, interest, and extraordinary expenses. The Adviser has periodically modified its management fee for each of the Funds through voluntary waivers. For the period ending June 30, 2020, voluntary waivers on management fees were as follows:
Management Fees Voluntary Waivers % | |
Core Equity Fund | (0.59) |
Small Companies Fund | (0.40) |
Tax-Exempt Bond Fund | (0.31) |
International Fund | (0.35) |
The Adviser has periodically modified its management fee for each of the Funds through voluntary waivers. The net management fee actually paid for the Core Equity Fund, Small Companies Fund, Tax-Exempt Bond Fund and International Fund are 0.31%, 0.95%, 0.29% and 0.65%, respectively.
The Adviser currently intends to continue these voluntary waivers indefinitely. However, the Adviser may terminate these voluntary arrangements at any time.
23 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
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 AQR, Parametric and OSAM is equal to an annual rate of 0.22%, 0.10% and 0.35% of the portions of net assets managed, respectively.
The subadvisory fee for the Small Companies Fund, payable to KCM is determined by the net assets managed in two different strategies/accounts for its portion of net assets managed is based on the following annual rates:
Clearwater Small Cap Core Net Assets | Percent |
Up to and including $50 million | 0.75% |
Next $50 million | 0.70% |
Over $100 million | 0.50% |
Clearwater Micro Cap Core Net Assets | Percent | |
All Assets | 0.80% |
The subadvisory fee for the Small Companies Fund, payable to Cooke & Bieler for its portion of net assets managed is based on the following annual rates:
Cooke & | |
Bieler | |
First $15 million | 1.0000% |
Next $20 million | 0.7650% |
Next $25 million | 0.7225% |
All assets in excess of $60 million | 0.6800% |
The subadvisory fee for the Small Companies Fund, payable to Pzena for its portion of net assets managed is 1.00%.
24 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
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% |
Next $250 million | 0.18% |
The subadvisory fee for the Tax-Exempt Bond Fund payable to Sit is equal to 0.185% of the portion of net assets managed by Sit if such assets exceed $500 million.
The subadvisory fee for the International Fund payable to Parametric is equal to an annual rate of 0.10% of the portion of net assets managed. The subadvisory fee for the International Fund payable to WCM is equal to an annual rate of 0.80% and 0.70% of the portions of net assets managed for the WCM Focused Growth International strategy and WCM International Small Cap Growth strategy, respectively.
The subadvisory fee for the International Fund, payable to Artisan Partners and LSV 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% |
LSV | |
First $25 million | 0.95% |
Next $25 million | 0.85% |
Over $50 million | 0.75% |
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.
25 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
(8) | Derivative Instruments |
Information concerning the types of derivatives in which the International Fund invests, the objectives for using them and their related risks can be found in Notes 2(c) and 2(d). Below are the types of derivatives held in the International Fund by location as presented in the Statements of Assets and Liabilities as of June 30, 2020, with additional detail on the net amounts impacting the Statements of Assets and Liabilities. The forward foreign currency exchange contracts presented below are not subject to master netting agreements or other similar agreements.
ASSETS | LIABILITIES | ||||||||||||||||
Statements of Assets and | Statements of Assets and | ||||||||||||||||
Name of Fund | Derivative Type | Liabilities Location | Value | Liabilities Location | Value | Counterparty | |||||||||||
Unrealized appreciation | Unrealized deppreciation | ||||||||||||||||
Forward foreign | on forward foreign | on forward foreign | |||||||||||||||
currency exchange | currency exchange | currency exchange | |||||||||||||||
International Fund | contracts | contracts | $ | 17,682 | contracts | $ | 25,022 | Northern Trust |
The following table sets forth, by primary risk exposure, the International Fund’s net realized gain (loss) and net increase (decrease) in appreciation/depreciation on forward foreign currency exchange contracts for the six months ended June 30, 2020:
Statements of | Statements of | |||||||||||||||||||
Name of Fund | Derivative Type | Operations Location | Value | Name of Fund | Derivative Type | Operations Locations | Value | |||||||||||||
Net increase | ||||||||||||||||||||
(decrease) in | ||||||||||||||||||||
unrealized | ||||||||||||||||||||
Net realized gain | appreciation/depreciation | |||||||||||||||||||
Forward foreign | (loss) on forward | Forward foreign | on forward foreign | |||||||||||||||||
currency exchange | foreign currency | currency exchange | currency exchange | |||||||||||||||||
Internationl Fund | contracts | exchange contracts | $ | 60,897 | International Fund | contracts | contracts | $ | 17,537 |
Derivative transactions are measured in terms of the notional amount. The following table presents, for the International Fund, the number of transactions and weighted average notional amounts of futures contracts and forward foreign currency exchange contracts, which is indicative of the volume of derivative activity, for the six months ended June 30, 2020.
International Fund | ||||
Forward Foreign Currency Exchange Contracts | ||||
Weighted | ||||
Number of | Average Notional | |||
Transactions | Amount | |||
28 | $ | 6,997,406 |
(9) | Short-term Financing |
ReFlow Fund, LLC (“ReFlow”) provides each Fund with a potential source of cash to meet net shareholder redemptions through share purchases 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
26 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
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. For the six months ended June 30, 2020, the Core Equity Fund had total sales in kind of $34,733,887, resulting in realized gains of $24,477,444. These realized gains are not recognized for tax purposes as discussed in Note 2. As of June 30, 2020, the Fund’s ReFlow account had a zero balance. During the six months ended June 30, 2020, the Fund had the following activity:
Average Amount | ||||||||
Oustanding for | ||||||||
Days in Use | Days Used | |||||||
Core Equity Fund | $ | 20,474 | 67 |
(10) | Portfolio Securities Loaned |
The Small Companies Fund and the International Fund participate in a securities lending program and have loaned portions of their investment portfolios at June 30, 2020. Under the program, the Funds loan securities to borrowers who post collateral for those loaned securities. The Securities Finance Trust Company serves as the Funds’ securities lending agent (the lending agent) who operates and maintains the securities lending program. The loans are governed by a securities lending agreement between the lending agent, acting on behalf of the Funds, and each borrowing counterparty. The fair value of securities on loan as of June 30, 2020 is recognized within investments in securities, at fair value, on the Funds’ Statements of Assets and Liabilities.
Each borrower receives a negotiated interest rate, which is generally referred to as the rebate rate, on the cash that it delivers to the Funds as collateral for the securities loaned and agrees to pay a negotiated rate with respect to the loaned securities. The amount of these rates for each securities lending transaction may differ depending on several factors, including the demand for the security, tax considerations and the credit quality of the borrower. A net payment is generally made by the borrower with respect to these rates upon termination of the loan (the Net Rate). The value of the securities loan will be marked-to-market daily, and the borrower will be required to provide additional collateral if the posted amount falls below certain negotiated levels, and the lending agent (on behalf of the Funds) will be required to return collateral to the borrower if the amount of collateral posted is greater than such negotiated levels.
During the reporting period, the cash collateral received from borrowers related to the Funds’ securities lending activities was invested in the Fidelity Investments Money Market Government Portfolio and the daily residual was swept into the Northern Institutional Fund-U.S Government Select Portfolio. The short-term investments purchased with the cash collateral in the amount of $5,133,834 and $6,450,555 are included in Investment in Securities on the Statement of Assets and Liabilities of the Small Companies Fund and the International Fund, respectively.
The Funds provide compensation to the lending agent in connection with operating and maintaining the securities lending program. The lending agent is compensated in an amount of 15% of gross revenues for the 12 month period commencing as of implementation date. The fee will then be increased to 20% for the first $1 million of gross revenues and 15% of any gross revenues in excess of $ 1 million. The revenues derived from the securities lending
27 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
activities of the Funds depend on many factors, including the value of the securities available to be loaned, the demand for the securities available to be loaned, the actual percentage of the Fund’s securities that are on loan (the utilization rate), the amount earned from the investment of any collateral and the amount of the fees or profit retained by the lending agent. All compensation, costs and expenses associated with the securities lending program are considered transaction charges that are borne by the Funds and are not an obligation of the Manager under the securities lending agency agreement. These transaction charges are netted with the income from securities lending and included in net income from securities loaned on the accompanying Statement of Operations.
The Funds’ securities lending program involves certain risks, including counterparty or borrower risk, collateral investment risk, replacement risk, operational, legal, tax and accounting risks. In the event the borrower does not meet its contractual obligation to return the securities, the Funds may be exposed to the risk of loss of reacquiring the loaned securities at prevailing market prices using the proceeds of the sale of the collateral.
28 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
The following is information on the securities lending activities by the lending agent for the Funds as of June 30, 2020:
Gross Amounts of | |||||||||||||
Securities Loaned in | |||||||||||||
Statement of Assets, | Cash Collateral | ||||||||||||
Liabilities | % of Net Assets | Received | |||||||||||
Small Companies Fund | $ | 5,029,287 | 1.50% | $ | 5,133,834 | ||||||||
International Fund | 6,082,126 | 0.91% | 6,450,555 |
At June 30, 2020, there were no offsetting of securities and they are presented on a gross basis.
(11) | Recent Market Events |
U.S. and international markets have experienced significant periods of volatility in recent months and years due to a number of economic, political and global macro factors including the impact of the coronavirus as a global pandemic and related public health issues, growth concerns in the U.S. and overseas, uncertainties regarding interest rates, trade tensions and the threat of tariffs imposed by the U.S. and other countries. In particular, the spread of the novel coronavirus worldwide has resulted in disruptions to supply chains and customer activity, stress on the global healthcare system, rising unemployment claims, quarantines, cancellations, market declines, the closing of borders, restrictions on travel and widespread concern and uncertainty. Health crises and related political, social and economic disruptions caused by the spread of the recent coronavirus outbreak may also exacerbate other pre-existing political, social and economic risks in certain countries. It is not possible to know the extent of these impacts, and they may be short term or may last for an extended period of time. These developments as well as other events, such as the U.S. presidential election, could result in further market volatility and negatively affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and other markets, despite government efforts to address market disruptions. In addition, the Funds may face challenges with respect to their day-to-day operations if key personnel of the Funds’ investment adviser or other service providers are unavailable due to quarantines and restrictions on travel related to the coronavirus outbreak. As a result, the risk environment remains elevated. The Adviser will monitor developments and seek to manage each Fund in a manner consistent with achieving the Fund’s investment objective, but there can be no assurance that it will be successful in doing so.
(12) | LIBOR Transition |
Certain of the Funds’ investments, payment obligations and financing terms may be based on floating rates, such as London Interbank Offered Rate (“LIBOR”), Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (FCA), which regulates LIBOR, announced that the FCA will no longer persuade nor compel banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. The transition away from Reference Rates may lead to increased volatility and illiquidity in markets that are tied to such Reference Rates and reduced values of Reference Rate-related instruments. This announcement and any additional regulatory or market changes that occur as a result of the transition away from Reference Rates may have an adverse impact on a Fund’s investments, performance or financial condition.
29 | (Continued) |
CLEARWATER INVESTMENT TRUST
Notes to Financial Statements (unaudited)
June 30, 2020
(13) | Subsequent Events |
Effective June 18, 2020, the Trust appointed Parametric as one of its subadvisers to the Small Companies Fund. On July 1, 2020, Parametric began managing assets for the Fund.
Management has evaluated subsequent events for the Funds through the date the financial statements were issued and concluded that there were no additional events that require financial statement disclosure and/or adjustments to the financial statements.
30 | (Continued) |
Review of Liquidity Risk Management Program
The Trust has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act that applies to each series of the Trust (each series, a “Fund”). The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board has designated the Trust’s Valuation and Liquidity Committee to administer the Program (the “Program Administrator”). Certain aspects of the Program may rely on third parties to perform certain functions.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments; and (5) periodic reporting to the Board.
At a meeting of the Board on March 6, 2020, the Program Administrator provided a written report to the Board (the “Annual Report”) addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, for the initial period from December 1, 2018 through December 31, 2019. Among other things, the Annual Report discussed: (i) the results of the liquidity risk assessment undertaken by the Program Administrator; and (ii) the liquidity classification process and the roles of various parties in classifying a Fund’s investments into liquidity categories. The Annual Report indicated that the Program Administrator considers the Program to be operating effectively to assess and manage each Fund’s liquidity risk, and further believes that the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to the Funds’ liquidity developments.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other risks to which it may be subject.
31 |
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets |
| |||||||||||
Common Stocks: | ||||||||||||||||
Communication Services: | ||||||||||||||||
19,411 | ACTIVISION BLIZZARD, INC. | $ | 684,569 | 1,473,295 | ||||||||||||
5,002 | ALPHABET, INC., CLASS A(b) | 2,292,897 | 7,093,086 | |||||||||||||
4,079 | ALPHABET, INC., CLASS C(b) | 1,734,443 | 5,766,115 | |||||||||||||
2,000 | ALTICE U.S.A., INC., CLASS A(b) | 43,775 | 45,080 | |||||||||||||
3,914 | AMC NETWORKS, INC., CLASS A(b) | 99,698 | 91,548 | |||||||||||||
145,889 | AT&T, INC. | 4,007,966 | 4,410,224 | |||||||||||||
300 | CABLE ONE, INC. | 113,966 | 532,455 | |||||||||||||
123,585 | CENTURYLINK, INC. | 1,241,084 | 1,239,558 | |||||||||||||
290 | CHARTER COMMUNICATIONS, INC., CLASS A(b) | 117,410 | 147,912 | |||||||||||||
49,281 | CINEMARK HOLDINGS, INC. | 463,207 | 569,196 | |||||||||||||
57,795 | COMCAST CORP., CLASS A | 632,884 | 2,252,849 | |||||||||||||
83,577 | DISCOVERY, INC., CLASS A(b) | 2,044,082 | 1,763,475 | |||||||||||||
385 | DISH NETWORK CORP., CLASS A(b) | 4,926 | 13,286 | |||||||||||||
22,798 | ELECTRONIC ARTS, INC.(b) | 1,720,609 | 3,010,476 | |||||||||||||
31,337 | FACEBOOK, INC., CLASS A(b) | 1,845,029 | 7,115,693 | |||||||||||||
1,360 | GCI LIBERTY, INC., CLASS A(b) | 51,149 | 96,723 | |||||||||||||
300 | IAC/INTERACTIVECORP(b) | 37,278 | 97,020 | |||||||||||||
3,289 | IAC/INTERACTIVECORP(b) | 207,144 | 352,087 | |||||||||||||
2,115 | INTERPUBLIC GROUP OF (THE) COS., INC. | 31,161 | 36,293 | |||||||||||||
5,832 | LIBERTY GLOBAL PLC, CLASS A(b)(c) | 42,377 | 127,488 | |||||||||||||
7,374 | LIBERTY GLOBAL PLC, CLASS C(b)(c) | 51,974 | 158,615 | |||||||||||||
1,800 | LIBERTY MEDIA CORP.-LIBERTY FORMULA ONE, CLASS C(b) | 45,464 | 57,078 | |||||||||||||
4,262 | NETFLIX, INC.(b) | 1,436,618 | 1,939,381 | |||||||||||||
2,375 | NEWS CORP., CLASS A | 7,170 | 28,168 | |||||||||||||
700 | NEXSTAR MEDIA GROUP, INC., CLASS A | 44,492 | 58,583 | |||||||||||||
5,434 | OMNICOM GROUP, INC. | 271,408 | 296,696 | |||||||||||||
1,200 | SPOTIFY TECHNOLOGY S.A.(b)(c) | 149,087 | 309,828 | |||||||||||||
1,544 | TEGNA, INC. | 7,743 | 17,200 | |||||||||||||
27,736 | T-MOBILE U.S., INC.(b) | 1,959,092 | 2,888,704 | |||||||||||||
3,305 | TRIPADVISOR, INC. | 56,130 | 62,828 | |||||||||||||
9,852 | TWITTER, INC.(b) | 231,498 | 293,491 | |||||||||||||
51,076 | VERIZON COMMUNICATIONS, INC. | 2,028,168 | 2,815,820 | |||||||||||||
1 | VIACOMCBS, INC., CLASS B | 48 | 23 | |||||||||||||
27,007 | WALT DISNEY (THE) CO. | 679,844 | 3,011,551 | |||||||||||||
24,384,390 | 48,171,825 | 9.74 | % | |||||||||||||
Consumer Discretionary: | ||||||||||||||||
1,500 | ADVANCE AUTO PARTS, INC. | 53,557 | 213,675 | |||||||||||||
5,523 | AMAZON.COM, INC.(b) | 5,865,607 | 15,236,963 | |||||||||||||
2,400 | ARAMARK | 47,393 | 54,168 | |||||||||||||
1,100 | AUTOLIV, INC.(c) | 13,982 | 70,961 | |||||||||||||
11,207 | AUTONATION, INC.(b) | 259,971 | 421,159 | |||||||||||||
800 | AUTOZONE, INC.(b) | 571,776 | 902,496 | |||||||||||||
57,075 | BEST BUY CO., INC. | 3,242,872 | 4,980,935 | |||||||||||||
1,400 | BIG LOTS, INC. | 15,477 | 58,800 | |||||||||||||
1,461 | BOOKING HOLDINGS, INC.(b) | 2,144,770 | 2,326,409 | |||||||||||||
7,742 | BORGWARNER, INC. | 164,658 | 273,293 | |||||||||||||
831 | BURLINGTON STORES, INC.(b) | 85,265 | 163,649 | |||||||||||||
3,068 | CARMAX, INC.(b) | 33,093 | 274,739 | |||||||||||||
57,484 | CARNIVAL CORP. | 601,788 | 943,887 | |||||||||||||
1,000 | CARVANA CO.(b) | 127,620 | 120,200 | |||||||||||||
4,600 | D.R. HORTON, INC. | 22,057 | 255,070 | |||||||||||||
2,326 | DARDEN RESTAURANTS, INC. | 108,803 | 176,241 | |||||||||||||
1,500 | DICK’S SPORTING GOODS, INC. | 24,803 | 61,890 | |||||||||||||
3,389 | DOLLAR GENERAL CORP. | 248,398 | 645,638 | |||||||||||||
5,224 | DOLLAR TREE, INC.(b) | 52,773 | 484,160 | |||||||||||||
1,100 | DOMINO’S PIZZA, INC. | 154,333 | 406,384 | |||||||||||||
55,998 | EBAY, INC. | 1,669,649 | 2,937,095 | |||||||||||||
1,200 | ETSY, INC.(b) | 49,559 | 127,476 | |||||||||||||
822 | EXPEDIA GROUP, INC. | 13,985 | 67,568 | |||||||||||||
1,391 | FLOOR & DECOR HOLDINGS, INC., CLASS A(b) | 42,485 | 80,191 | |||||||||||||
19,572 | FOOT LOCKER, INC. | 464,589 | 570,720 | |||||||||||||
22,163 | FORD MOTOR CO. | 72,511 | 134,751 | |||||||||||||
1,300 | FRONTDOOR, INC.(b) | 30,172 | 57,629 | |||||||||||||
18,248 | GAP (THE), INC. | 140,118 | 230,290 | |||||||||||||
5,273 | GARMIN LTD.(c) | 188,068 | 514,118 |
See accompanying notes to financial statements. | 32 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets |
| |||||||||||
Consumer Discretionary (Cont’d): | ||||||||||||||||
15,000 | GENTEX CORP. | $ | 106,860 | 386,550 | ||||||||||||
3,450 | GENUINE PARTS CO. | 102,424 | 300,012 | |||||||||||||
15,152 | HANESBRANDS, INC. | 128,483 | 171,066 | |||||||||||||
400 | HASBRO, INC. | 10,206 | 29,980 | |||||||||||||
1,600 | HILTON WORLDWIDE HOLDINGS, INC. | 115,613 | 117,520 | |||||||||||||
15,167 | HOME DEPOT (THE), INC. | 2,348,959 | 3,799,485 | |||||||||||||
30,418 | INTERNATIONAL GAME TECHNOLOGY PLC | 167,706 | 270,720 | |||||||||||||
6,950 | KOHL’S CORP. | 55,508 | 144,352 | |||||||||||||
971 | KONTOOR BRANDS, INC. | 5,113 | 17,294 | |||||||||||||
3,290 | L BRANDS, INC. | 38,158 | 49,251 | |||||||||||||
2,338 | LAS VEGAS SANDS CORP. | 14,775 | 106,473 | |||||||||||||
24,125 | LENNAR CORP., CLASS A | 996,306 | 1,486,582 | |||||||||||||
58 | LENNAR CORP., CLASS B | 652 | 2,673 | |||||||||||||
15,160 | LKQ CORP.(b) | 410,648 | 397,192 | |||||||||||||
4,767 | LULULEMON ATHLETICA, INC.(b)(c) | 606,562 | 1,487,352 | |||||||||||||
3,038 | MARRIOTT INTERNATIONAL, INC., CLASS A | 63,603 | 260,448 | |||||||||||||
294 | MARRIOTT VACATIONS WORLDWIDE CORP. | 4,103 | 24,170 | |||||||||||||
10,620 | MCDONALD’S CORP. | 433,348 | 1,959,071 | |||||||||||||
6,600 | MGM RESORTS INTERNATIONAL | 54,921 | 110,880 | |||||||||||||
600 | MOHAWK INDUSTRIES, INC.(b) | 26,796 | 61,056 | |||||||||||||
600 | MURPHY U.S.A., INC.(b) | 4,392 | 67,554 | |||||||||||||
4,915 | NEWELL BRANDS, INC. | 52,223 | 78,050 | |||||||||||||
10,000 | NIKE, INC., CLASS B | 221,030 | 980,500 | |||||||||||||
13,490 | NORDSTROM, INC. | 188,641 | 208,960 | |||||||||||||
103 | NVR, INC.(b) | 133,164 | 335,651 | |||||||||||||
900 | O’REILLY AUTOMOTIVE, INC.(b) | 27,059 | 379,503 | |||||||||||||
900 | PLANET FITNESS, INC., CLASS A(b) | 45,306 | 54,513 | |||||||||||||
370 | POOL CORP. | 34,226 | 100,592 | |||||||||||||
14,100 | PULTEGROUP, INC. | 58,797 | 479,823 | |||||||||||||
2,342 | PVH CORP. | 101,514 | 112,533 | |||||||||||||
20,045 | QURATE RETAIL, INC., CLASS A(b) | 77,825 | 190,428 | |||||||||||||
4,984 | RALPH LAUREN CORP. | 274,393 | 361,440 | |||||||||||||
4,543 | ROSS STORES, INC. | 175,795 | 387,245 | |||||||||||||
9,411 | ROYAL CARIBBEAN CRUISES LTD. | 228,563 | 473,373 | |||||||||||||
3,200 | SIX FLAGS ENTERTAINMENT CORP. | 48,149 | 61,472 | |||||||||||||
36,969 | STARBUCKS CORP. | 1,239,447 | 2,720,549 | |||||||||||||
4,800 | TAPESTRY, INC. | 14,970 | 63,744 | |||||||||||||
22,005 | TARGET CORP. | 2,265,472 | 2,639,060 | |||||||||||||
1,403 | TESLA, INC.(b) | 676,248 | 1,514,973 | |||||||||||||
1,900 | THOR INDUSTRIES, INC. | 22,316 | 202,407 | |||||||||||||
1,400 | TIFFANY & CO. | 35,210 | 170,716 | |||||||||||||
20,188 | TJX (THE) COS., INC. | 86,033 | 1,020,705 | |||||||||||||
1,466 | TOPBUILD CORP.(b) | 11,809 | 166,787 | |||||||||||||
553 | ULTA BEAUTY, INC.(b) | 73,007 | 112,491 | |||||||||||||
1,100 | VEONEER, INC.(b)(c) | 5,428 | 11,759 | |||||||||||||
6,800 | VF CORP. | 81,950 | 414,392 | |||||||||||||
3,000 | WENDY’S (THE) CO. | 43,280 | 65,340 | |||||||||||||
7,417 | WHIRLPOOL CORP. | 755,937 | 960,724 | |||||||||||||
2,107 | WILLIAMS-SONOMA, INC. | 92,334 | 172,795 | |||||||||||||
23,166 | WYNDHAM DESTINATIONS, INC. | 477,832 | 652,818 | |||||||||||||
1,400 | WYNDHAM HOTELS & RESORTS, INC. | 46,408 | 59,668 | |||||||||||||
1,600 | WYNN RESORTS LTD. | 33,438 | 119,184 | |||||||||||||
900 | YUM CHINA HOLDINGS, INC.(c) | 40,023 | 43,263 | |||||||||||||
29,873,095 | 59,355,694 | 12.00 | % | |||||||||||||
Consumer Staples: | ||||||||||||||||
31,639 | ALTRIA GROUP, INC. | 1,460,255 | 1,241,831 | |||||||||||||
10,300 | ARCHER-DANIELS-MIDLAND CO. | 188,618 | 410,970 | |||||||||||||
700 | BEYOND MEAT, INC.(b) | 51,107 | 93,786 | |||||||||||||
500 | BOSTON BEER (THE) CO., INC., CLASS A(b) | 267,930 | 268,325 | |||||||||||||
7,290 | BROWN-FORMAN CORP., CLASS B | 57,343 | 464,081 | |||||||||||||
2,704 | CAMPBELL SOUP CO. | 131,380 | 134,200 | |||||||||||||
10,068 | CHURCH & DWIGHT CO., INC. | 241,887 | 778,256 | |||||||||||||
3,772 | CLOROX (THE) CO. | 567,268 | 827,464 | |||||||||||||
56,139 | COCA-COLA (THE) CO. | 844,179 | 2,508,291 | |||||||||||||
1,280 | COLGATE-PALMOLIVE CO. | 36,019 | 93,773 | |||||||||||||
1,900 | CONAGRA BRANDS, INC. | 26,152 | 66,823 | |||||||||||||
1,600 | CONSTELLATION BRANDS, INC., CLASS A | 202,589 | 279,920 |
See accompanying notes to financial statements. | 33 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets |
| |||||||||||
Consumer Staples (Cont’d): | ||||||||||||||||
5,421 | COSTCO WHOLESALE CORP. | $ | 559,890 | 1,643,701 | ||||||||||||
2,714 | ESTEE LAUDER (THE) COS., INC., CLASS A | 467,829 | 512,078 | |||||||||||||
3,709 | FLOWERS FOODS, INC. | 79,756 | 82,933 | |||||||||||||
22,764 | GENERAL MILLS, INC. | 832,581 | 1,403,401 | |||||||||||||
5,300 | HERBALIFE NUTRITION LTD.(b) | 36,401 | 238,394 | |||||||||||||
12,516 | HERSHEY (THE) CO. | 1,672,186 | 1,622,324 | |||||||||||||
4,800 | HORMEL FOODS CORP. | 43,206 | 231,696 | |||||||||||||
14,371 | INGREDION, INC. | 1,033,138 | 1,192,793 | |||||||||||||
13,592 | J M SMUCKER (THE) CO. | 1,399,653 | 1,438,170 | |||||||||||||
1,643 | KEURIG DR. PEPPER, INC. | (27,168 | ) | 46,661 | ||||||||||||
5,938 | KIMBERLY-CLARK CORP. | 663,076 | 839,336 | |||||||||||||
3,714 | KRAFT HEINZ (THE) CO. | 26,692 | 118,439 | |||||||||||||
65,637 | KROGER (THE) CO. | 1,229,474 | 2,221,812 | |||||||||||||
633 | LAMB WESTON HOLDINGS, INC. | 7,452 | 40,468 | |||||||||||||
700 | MCCORMICK & CO., INC. (NON VOTING) | 21,613 | 125,587 | |||||||||||||
1,300 | MOLSON COORS BEVERAGE CO., CLASS B | 37,841 | 44,668 | |||||||||||||
6,969 | MONDELEZ INTERNATIONAL, INC., CLASS A | 94,887 | 356,325 | |||||||||||||
5,164 | MONSTER BEVERAGE CORP.(b) | 225,909 | 357,968 | |||||||||||||
232 | NU SKIN ENTERPRISES, INC., CLASS A | 8,194 | 8,869 | |||||||||||||
24,270 | PEPSICO, INC. | 1,881,046 | 3,209,950 | |||||||||||||
11,229 | PHILIP MORRIS INTERNATIONAL, INC. | 661,987 | 786,704 | |||||||||||||
29,290 | PILGRIM’S PRIDE CORP.(b) | 489,068 | 494,708 | |||||||||||||
700 | POST HOLDINGS, INC.(b) | 43,421 | 61,334 | |||||||||||||
34,396 | PROCTER & GAMBLE (THE) CO. | 1,138,085 | 4,112,730 | |||||||||||||
12,432 | SYSCO CORP. | 389,192 | 679,533 | |||||||||||||
9,301 | TYSON FOODS, INC., CLASS A | 229,865 | 555,363 | |||||||||||||
2,700 | US FOODS HOLDING CORP.(b) | 45,757 | 53,244 | |||||||||||||
34,639 | WALGREENS BOOTS ALLIANCE, INC. | 1,184,164 | 1,468,347 | |||||||||||||
16,214 | WALMART, INC. | 1,379,933 | 1,942,113 | |||||||||||||
19,929,855 | 33,057,369 | 6.68 | % | |||||||||||||
Energy: | ||||||||||||||||
485 | ANTERO MIDSTREAM CORP. | 973 | 2,474 | |||||||||||||
7,500 | APACHE CORP. | 44,217 | 101,250 | |||||||||||||
6,600 | BAKER HUGHES CO. | 77,964 | 101,574 | |||||||||||||
2,200 | CHENIERE ENERGY, INC.(b) | 73,298 | 106,304 | |||||||||||||
28,175 | CHEVRON CORP. | 1,278,870 | 2,514,055 | |||||||||||||
2,700 | CIMAREX ENERGY CO. | 45,270 | 74,223 | |||||||||||||
1,700 | CONCHO RESOURCES, INC. | 49,631 | 87,550 | |||||||||||||
41,073 | CONOCOPHILLIPS | 1,118,102 | 1,725,887 | |||||||||||||
2,000 | CONTINENTAL RESOURCES, INC. | 20,765 | 35,060 | |||||||||||||
9,794 | ENBRIDGE, INC.(c) | 137,797 | 297,933 | |||||||||||||
12,548 | EOG RESOURCES, INC. | 570,060 | 635,682 | |||||||||||||
16,551 | EXXON MOBIL CORP. | 628,157 | 740,161 | |||||||||||||
3,100 | HELMERICH & PAYNE, INC. | 39,003 | 60,481 | |||||||||||||
2,600 | HESS CORP. | 90,342 | 134,706 | |||||||||||||
14,939 | HOLLYFRONTIER CORP. | 455,166 | 436,219 | |||||||||||||
18,112 | KINDER MORGAN, INC. | 207,900 | 274,759 | |||||||||||||
7,200 | NOBLE ENERGY, INC. | 44,105 | 64,512 | |||||||||||||
5,994 | OCCIDENTAL PETROLEUM CORP. | 53,941 | 109,690 | |||||||||||||
3,900 | ONEOK, INC. | 54,889 | 129,558 | |||||||||||||
10,187 | PBF ENERGY, INC., CLASS A | 81,344 | 104,315 | |||||||||||||
1,000 | PHILLIPS 66 | 50,510 | 71,900 | |||||||||||||
2,230 | PIONEER NATURAL RESOURCES CO. | 225,620 | 217,871 | |||||||||||||
9,633 | SCHLUMBERGER LTD. | 108,848 | 177,151 | |||||||||||||
20,984 | VALERO ENERGY CORP. | 897,521 | 1,234,279 | |||||||||||||
11,500 | WILLIAMS (THE) COS., INC. | 152,085 | 218,730 | |||||||||||||
6,506,378 | 9,656,324 | 1.95 | % | |||||||||||||
Financials: | ||||||||||||||||
500 | ALLEGHANY CORP. | 140,685 | 244,570 | |||||||||||||
26,264 | ALLSTATE (THE) CORP. | 1,916,211 | 2,547,345 | |||||||||||||
3,633 | AMERICAN EXPRESS CO. | 111,938 | 345,862 | |||||||||||||
3,100 | AMERICAN FINANCIAL GROUP, INC. | 190,545 | 196,726 | |||||||||||||
5,500 | AMERICAN INTERNATIONAL GROUP, INC. | 129,086 | 171,490 | |||||||||||||
3,642 | AMERICAN NATIONAL INSURANCE CO. | 245,405 | 262,479 | |||||||||||||
12,120 | AMERIPRISE FINANCIAL, INC. | 970,823 | 1,818,485 | |||||||||||||
13,600 | ANNALY CAPITAL MANAGEMENT, INC. | 79,649 | 89,216 | |||||||||||||
1,848 | AON PLC, CLASS A | 223,031 | 355,925 |
See accompanying notes to financial statements. | 34 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets |
| |||||||||||
Financials (Cont’d): | ||||||||||||||||
15,811 | ARCH CAPITAL GROUP LTD.(b)(c) | $ | 307,170 | 452,985 | ||||||||||||
2,300 | ARTHUR J. GALLAGHER & CO. | 80,002 | 224,227 | |||||||||||||
4,900 | ASSURANT, INC. | 218,575 | 506,121 | |||||||||||||
1,000 | AXIS CAPITAL HOLDINGS LTD.(c) | 28,371 | 40,560 | |||||||||||||
128,328 | BANK OF AMERICA CORP. | 1,480,342 | 3,047,790 | |||||||||||||
10,000 | BANK OF NEW YORK MELLON (THE) CORP. | 206,454 | 386,500 | |||||||||||||
23,306 | BERKSHIRE HATHAWAY, INC., CLASS B(b) | 2,706,956 | 4,160,354 | |||||||||||||
2,000 | BRIGHTHOUSE FINANCIAL, INC.(b) | 48,875 | 55,640 | |||||||||||||
620 | CANNAE HOLDINGS, INC.(b) | 2,893 | 25,482 | |||||||||||||
9,258 | CAPITAL ONE FINANCIAL CORP. | 345,636 | 579,458 | |||||||||||||
17,900 | CHARLES SCHWAB (THE) CORP. | 156,088 | 603,946 | |||||||||||||
2,385 | CHUBB LTD.(c) | 126,355 | 301,989 | |||||||||||||
81,873 | CITIGROUP, INC. | 4,246,539 | 4,183,710 | |||||||||||||
7,030 | CITIZENS FINANCIAL GROUP, INC. | 131,016 | 177,437 | |||||||||||||
1,965 | CME GROUP, INC. | 203,851 | 319,391 | |||||||||||||
500 | CREDIT ACCEPTANCE CORP.(b) | 86,421 | 209,505 | |||||||||||||
8,202 | DISCOVER FINANCIAL SERVICES | 125,376 | 410,838 | |||||||||||||
3,601 | E*TRADE FINANCIAL CORP. | 49,884 | 179,078 | |||||||||||||
469 | FAIRFAX FINANCIAL HOLDINGS LTD.(c) | 86,576 | 144,846 | |||||||||||||
1,863 | FIDELITY NATIONAL FINANCIAL, INC. | 15,560 | 57,120 | |||||||||||||
10,565 | FIFTH THIRD BANCORP | 109,297 | 203,693 | |||||||||||||
400 | FIRST CITIZENS BANCSHARES, INC., CLASS A | 57,523 | 162,008 | |||||||||||||
30,500 | FIRST HORIZON NATIONAL CORP. | 193,065 | 303,780 | |||||||||||||
15,329 | GOLDMAN SACHS GROUP (THE), INC. | 1,896,007 | 3,029,317 | |||||||||||||
3,000 | HANOVER INSURANCE GROUP (THE), INC. | 215,948 | 303,990 | |||||||||||||
19,283 | HARTFORD FINANCIAL SERVICES GROUP (THE), INC. | 719,250 | 743,360 | |||||||||||||
35,000 | HUNTINGTON BANCSHARES, INC. | 169,771 | 316,225 | |||||||||||||
505 | INTERCONTINENTAL EXCHANGE, INC. | 12,819 | 46,258 | |||||||||||||
15,903 | JANUS HENDERSON GROUP PLC(c) | 222,792 | 336,507 | |||||||||||||
47,492 | JPMORGAN CHASE & CO. | 1,723,282 | 4,467,097 | |||||||||||||
5,904 | KEYCORP | 30,107 | 71,911 | |||||||||||||
1,852 | LEGG MASON, INC. | 25,956 | 92,137 | |||||||||||||
200 | MARKEL CORP.(b) | 67,789 | 184,634 | |||||||||||||
5,684 | MARSH & MCLENNAN COS., INC. | 240,120 | 610,291 | |||||||||||||
1,300 | MERCURY GENERAL CORP. | 38,019 | 52,975 | |||||||||||||
1,800 | METLIFE, INC. | 42,684 | 65,736 | |||||||||||||
1,474 | MGIC INVESTMENT CORP. | 18,102 | 12,072 | |||||||||||||
800 | MOODY’S CORP. | 28,632 | 219,784 | |||||||||||||
75,102 | MORGAN STANLEY | 2,245,740 | 3,627,427 | |||||||||||||
931 | MSCI, INC. | 257,575 | 310,786 | |||||||||||||
5,900 | NASDAQ, INC. | 240,309 | 704,873 | |||||||||||||
17,289 | OLD REPUBLIC INTERNATIONAL CORP. | 256,475 | 281,984 | |||||||||||||
2,326 | ONEMAIN HOLDINGS, INC. | 40,168 | 57,080 | |||||||||||||
2,485 | PACWEST BANCORP | 28,898 | 48,979 | |||||||||||||
7,214 | PNC FINANCIAL SERVICES GROUP (THE), INC. | 276,365 | 758,985 | |||||||||||||
1,600 | POPULAR, INC. | 33,280 | 59,472 | |||||||||||||
1,800 | PRINCIPAL FINANCIAL GROUP, INC. | 37,586 | 74,772 | |||||||||||||
13,251 | PROGRESSIVE (THE) CORP. | 817,013 | 1,061,538 | |||||||||||||
5,900 | PRUDENTIAL FINANCIAL, INC. | 182,566 | 359,310 | |||||||||||||
16,006 | RAYMOND JAMES FINANCIAL, INC. | 1,016,976 | 1,101,693 | |||||||||||||
12,839 | REGIONS FINANCIAL CORP. | 73,436 | 142,770 | |||||||||||||
800 | RENAISSANCERE HOLDINGS LTD.(c) | 81,779 | 136,824 | |||||||||||||
3,151 | ROYAL BANK OF CANADA(c) | 75,539 | 213,638 | |||||||||||||
7,500 | SEI INVESTMENTS CO. | 108,537 | 412,350 | |||||||||||||
10,100 | SLM CORP. | 36,679 | 71,003 | |||||||||||||
20,869 | STATE STREET CORP. | 1,074,601 | 1,326,225 | |||||||||||||
37,894 | SYNCHRONY FINANCIAL | 827,136 | 839,731 | |||||||||||||
3,657 | SYNOVUS FINANCIAL CORP. | 49,372 | 75,078 | |||||||||||||
3,549 | T. ROWE PRICE GROUP, INC. | 106,978 | 438,301 | |||||||||||||
2,946 | TCF FINANCIAL CORP. | 51,834 | 86,671 | |||||||||||||
1,300 | TD AMERITRADE HOLDING CORP. | 45,798 | 47,294 | |||||||||||||
15,374 | TRAVELERS (THE) COS., INC. | 1,378,221 | 1,753,405 | |||||||||||||
12,994 | TRUIST FINANCIAL CORP. | 242,181 | 487,925 | |||||||||||||
16,200 | TWO HARBORS INVESTMENT CORP. | 75,902 | 81,648 | |||||||||||||
17,585 | US BANCORP | 318,503 | 647,480 | |||||||||||||
7,855 | W R BERKLEY CORP. | 230,563 | 450,013 | |||||||||||||
1,800 | WASHINGTON FEDERAL, INC. | 23,535 | 48,312 |
See accompanying notes to financial statements. | 35 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets |
| |||||||||||
Financials (Cont’d): | ||||||||||||||||
47,427 | WELLS FARGO & CO. | $ | 593,148 | 1,214,131 | ||||||||||||
2,568 | WESTERN ALLIANCE BANCORP | 59,789 | 97,250 | |||||||||||||
2,600 | ZIONS BANCORP N.A. | 49,361 | 88,400 | |||||||||||||
31,407,319 | 50,426,198 | 10.19 | % | |||||||||||||
Health Care: | ||||||||||||||||
12,487 | ABBOTT LABORATORIES | 246,035 | 1,141,686 | |||||||||||||
22,394 | ABBVIE, INC. | 940,731 | 2,198,643 | |||||||||||||
300 | ABIOMED, INC.(b) | 44,070 | 72,468 | |||||||||||||
500 | ACCELERON PHARMA, INC.(b) | 48,935 | 47,635 | |||||||||||||
1,800 | ADAPTIVE BIOTECHNOLOGIES CORP.(b) | 45,536 | 87,084 | |||||||||||||
1,457 | AGILENT TECHNOLOGIES, INC. | 63,335 | 128,755 | |||||||||||||
1,200 | AGIOS PHARMACEUTICALS, INC.(b) | 44,843 | 64,176 | |||||||||||||
6,464 | ALEXION PHARMACEUTICALS, INC.(b) | 488,262 | 725,519 | |||||||||||||
2,191 | ALIGN TECHNOLOGY, INC.(b) | 327,961 | 601,298 | |||||||||||||
1,200 | ALNYLAM PHARMACEUTICALS, INC.(b) | 181,534 | 177,732 | |||||||||||||
24,621 | AMERISOURCEBERGEN CORP. | 1,599,383 | 2,481,058 | |||||||||||||
17,083 | AMGEN, INC. | 3,099,196 | 4,029,196 | |||||||||||||
5,455 | ANTHEM, INC. | 483,009 | 1,434,556 | |||||||||||||
193 | AVANOS MEDICAL, INC.(b) | 3,014 | 5,672 | |||||||||||||
3,700 | AVANTOR, INC.(b) | 41,167 | 62,900 | |||||||||||||
9,039 | BAXTER INTERNATIONAL, INC. | 441,749 | 778,258 | |||||||||||||
2,865 | BECTON DICKINSON AND CO. | 250,650 | 685,509 | |||||||||||||
12,052 | BIOGEN, INC.(b) | 3,375,157 | 3,224,513 | |||||||||||||
1,267 | BIO-RAD LABORATORIES, INC., CLASS A(b) | 602,784 | 572,038 | |||||||||||||
32,800 | BOSTON SCIENTIFIC CORP.(b) | 182,160 | 1,151,608 | |||||||||||||
47,070 | BRISTOL-MYERS SQUIBB CO. | 2,055,080 | 2,767,716 | |||||||||||||
2,145 | BRUKER CORP. | 43,219 | 87,259 | |||||||||||||
20,122 | CARDINAL HEALTH, INC. | 921,069 | 1,050,167 | |||||||||||||
1,500 | CATALENT, INC.(b) | 72,507 | 109,950 | |||||||||||||
2,772 | CENTENE CORP.(b) | 79,676 | 176,161 | |||||||||||||
3,600 | CERNER CORP. | 40,603 | 246,780 | |||||||||||||
241 | CHARLES RIVER LABORATORIES INTERNATIONAL, INC.(b) | 31,337 | 42,018 | |||||||||||||
3,042 | CIGNA CORP. | 173,127 | 570,831 | |||||||||||||
200 | COOPER (THE) COS., INC. | 50,902 | 56,728 | |||||||||||||
20,573 | CVS HEALTH CORP. | 994,240 | 1,336,628 | |||||||||||||
9,229 | DANAHER CORP. | 272,153 | 1,631,964 | |||||||||||||
22,773 | DAVITA, INC.(b) | 1,689,308 | 1,802,255 | |||||||||||||
5,332 | DENTSPLY SIRONA, INC. | 141,306 | 234,928 | |||||||||||||
1,500 | DEXCOM, INC.(b) | 87,311 | 608,100 | |||||||||||||
11,778 | EDWARDS LIFESCIENCES CORP.(b) | 161,745 | 813,978 | |||||||||||||
3,800 | ELANCO ANIMAL HEALTH, INC.(b) | 74,580 | 81,510 | |||||||||||||
23,244 | ELI LILLY AND CO. | 2,171,317 | 3,816,200 | |||||||||||||
35,059 | EXELIXIS, INC.(b) | 612,930 | 832,301 | |||||||||||||
18,912 | GILEAD SCIENCES, INC. | 266,163 | 1,455,089 | |||||||||||||
3,800 | HENRY SCHEIN, INC.(b) | 67,547 | 221,882 | |||||||||||||
6,608 | HOLOGIC, INC.(b) | 92,603 | 376,656 | |||||||||||||
6,925 | HORIZON THERAPEUTICS PLC(b) | 168,428 | 384,892 | |||||||||||||
2,378 | HUMANA, INC. | 820,169 | 922,070 | |||||||||||||
2,299 | IDEXX LABORATORIES, INC.(b) | 98,745 | 759,038 | |||||||||||||
2,300 | ILLUMINA, INC.(b) | 98,233 | 851,805 | |||||||||||||
1,900 | INCYTE CORP.(b) | 120,835 | 197,543 | |||||||||||||
1,462 | INTUITIVE SURGICAL, INC.(b) | 560,949 | 833,091 | |||||||||||||
2,000 | IOVANCE BIOTHERAPEUTICS, INC.(b) | 54,955 | 54,900 | |||||||||||||
5,634 | IQVIA HOLDINGS, INC.(b) | 560,732 | 799,352 | |||||||||||||
24,558 | JOHNSON & JOHNSON | 1,573,363 | 3,453,592 | |||||||||||||
842 | LABORATORY CORP. OF AMERICA HOLDINGS(b) | 53,269 | 139,865 | |||||||||||||
400 | MASIMO CORP.(b) | 87,004 | 91,196 | |||||||||||||
5,700 | MCKESSON CORP. | 202,596 | 874,494 | |||||||||||||
12,348 | MEDTRONIC PLC(c) | 1,077,575 | 1,132,312 | |||||||||||||
43,396 | MERCK & CO., INC. | 1,384,084 | 3,355,813 | |||||||||||||
1,317 | METTLER-TOLEDO INTERNATIONAL, INC.(b) | 123,051 | 1,060,909 | |||||||||||||
1,639 | MOLINA HEALTHCARE, INC.(b) | 247,224 | 291,709 | |||||||||||||
35,680 | MYLAN N.V.(b) | 667,531 | 573,734 | |||||||||||||
800 | NEUROCRINE BIOSCIENCES, INC.(b) | 72,192 | 97,600 | |||||||||||||
300 | PENUMBRA, INC.(b) | 36,663 | 53,646 | |||||||||||||
1,200 | PERRIGO CO. PLC(c) | 53,711 | 66,324 | |||||||||||||
111,756 | PFIZER, INC. | 2,947,062 | 3,654,421 |
See accompanying notes to financial statements. | 36 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets |
| |||||||||||
Health Care (Cont’d): | ||||||||||||||||
2,600 | PPD, INC.(b) | $ | 45,518 | 69,680 | ||||||||||||
2,000 | QIAGEN N.V.(b)(c) | 83,380 | 85,620 | |||||||||||||
992 | REGENERON PHARMACEUTICALS, INC.(b) | 572,258 | 618,661 | |||||||||||||
400 | REPLIGEN CORP.(b) | 46,604 | 49,444 | |||||||||||||
8,022 | RESMED, INC. | 644,542 | 1,540,224 | |||||||||||||
700 | SAREPTA THERAPEUTICS, INC.(b) | 66,178 | 112,238 | |||||||||||||
2,100 | SEATTLE GENETICS, INC.(b) | 357,076 | 356,832 | |||||||||||||
9,724 | STERIS PLC | 1,138,123 | 1,492,051 | |||||||||||||
800 | TELADOC HEALTH, INC.(b) | 157,024 | 152,672 | |||||||||||||
1,800 | TELEFLEX, INC. | 195,858 | 655,164 | |||||||||||||
2,298 | THERMO FISHER SCIENTIFIC, INC. | 502,466 | 832,657 | |||||||||||||
5,772 | UNITED THERAPEUTICS CORP.(b) | 641,566 | 698,412 | |||||||||||||
14,191 | UNITEDHEALTH GROUP, INC. | 1,970,694 | 4,185,635 | |||||||||||||
2,036 | UNIVERSAL HEALTH SERVICES, INC., CLASS B | 38,822 | 189,124 | |||||||||||||
1,880 | VAREX IMAGING CORP.(b) | 19,829 | 28,482 | |||||||||||||
5,199 | VARIAN MEDICAL SYSTEMS, INC.(b) | 193,000 | 636,981 | |||||||||||||
1,199 | VEEVA SYSTEMS, INC., CLASS A(b) | 163,094 | 281,070 | |||||||||||||
4,100 | VERTEX PHARMACEUTICALS, INC.(b) | 824,040 | 1,190,271 | |||||||||||||
8,978 | WATERS CORP.(b) | 1,428,708 | 1,619,631 | |||||||||||||
4,304 | ZIMMER BIOMET HOLDINGS, INC. | 233,961 | 513,725 | |||||||||||||
559 | ZOETIS, INC. | 40,258 | 76,605 | |||||||||||||
42,979,604 | 73,022,890 | 14.76 | % | |||||||||||||
Industrials: | ||||||||||||||||
6,987 | 3M CO. | 417,187 | 1,089,902 | |||||||||||||
923 | ACCO BRANDS CORP. | 3,137 | 6,554 | |||||||||||||
11,607 | ADT, INC. | 45,143 | 92,624 | |||||||||||||
2,812 | AGCO CORP. | 136,874 | 155,954 | |||||||||||||
900 | AIR LEASE CORP. | 17,685 | 26,361 | |||||||||||||
1,533 | ALLEGION PLC(c) | 40,913 | 156,703 | |||||||||||||
5,175 | AMETEK, INC. | 73,220 | 462,490 | |||||||||||||
3,000 | BOEING (THE) CO. | 165,524 | 549,900 | |||||||||||||
1,200 | BWX TECHNOLOGIES, INC. | 54,215 | 67,968 | |||||||||||||
2,996 | CARLISLE COS., INC. | 114,358 | 358,531 | |||||||||||||
10,640 | CARRIER GLOBAL CORP. | 57,007 | 236,421 | |||||||||||||
10,504 | CATERPILLAR, INC. | 272,491 | 1,328,756 | |||||||||||||
3,200 | CINTAS CORP. | 258,101 | 852,352 | |||||||||||||
2,000 | COPART, INC.(b) | 143,195 | 166,540 | |||||||||||||
6,700 | CORELOGIC, INC. | 76,313 | 450,374 | |||||||||||||
3,948 | CRANE CO. | 66,572 | 234,748 | |||||||||||||
6,524 | CSX CORP. | 318,241 | 454,984 | |||||||||||||
14,665 | CUMMINS, INC. | 2,331,857 | 2,540,858 | |||||||||||||
7,300 | DEERE & CO. | 199,160 | 1,147,195 | |||||||||||||
10,100 | DELTA AIR LINES, INC. | 100,965 | 283,305 | |||||||||||||
1,525 | DOVER CORP. | 32,899 | 147,254 | |||||||||||||
19,882 | EATON CORP. PLC | 725,861 | 1,739,277 | |||||||||||||
2,280 | EXPEDITORS INTERNATIONAL OF WASHINGTON, INC. | 112,692 | 173,371 | |||||||||||||
1,953 | FEDEX CORP. | 39,089 | 273,850 | |||||||||||||
3,325 | FORTIVE CORP. | 43,068 | 224,970 | |||||||||||||
36,852 | FORTUNE BRANDS HOME & SECURITY, INC. | 1,732,360 | 2,355,948 | |||||||||||||
1,400 | GATX CORP. | 24,276 | 85,372 | |||||||||||||
2,128 | GENERAL DYNAMICS CORP. | 296,250 | 318,051 | |||||||||||||
50,000 | GENERAL ELECTRIC CO. | 348,445 | 341,500 | |||||||||||||
21,743 | GRAFTECH INTERNATIONAL LTD. | 149,548 | 173,509 | |||||||||||||
875 | HEICO CORP. | 61,334 | 87,194 | |||||||||||||
2,156 | HEICO CORP., CLASS A | 109,365 | 175,153 | |||||||||||||
360 | HERC HOLDINGS, INC.(b) | 5,808 | 11,063 | |||||||||||||
9,188 | HONEYWELL INTERNATIONAL, INC. | 265,803 | 1,328,493 | |||||||||||||
25,039 | HOWMET AEROSPACE, INC. | 299,194 | 396,868 | |||||||||||||
1,200 | HUBBELL, INC. | 43,310 | 150,432 | |||||||||||||
885 | HUNTINGTON INGALLS INDUSTRIES, INC. | 73,903 | 154,424 | |||||||||||||
1,500 | IAA, INC.(b) | 45,883 | 57,855 | |||||||||||||
2,271 | IDEX CORP. | 140,770 | 358,909 | |||||||||||||
6,025 | IHS MARKIT LTD.(c) | 423,559 | 454,888 | |||||||||||||
4,824 | ILLINOIS TOOL WORKS, INC. | 155,812 | 843,476 | |||||||||||||
2,382 | INGERSOLL RAND, INC.(b) | 18,866 | 66,982 | |||||||||||||
1,468 | JACOBS ENGINEERING GROUP, INC. | 29,713 | 124,486 | |||||||||||||
2,100 | JB HUNT TRANSPORT SERVICES, INC. | 40,530 | 252,714 |
See accompanying notes to financial statements. | 37 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Industrials (Cont’d): | ||||||||||||||||
37,751 | JOHNSON CONTROLS INTERNATIONAL PLC | $ | 982,980 | 1,288,819 | ||||||||||||
4,274 | L3HARRIS TECHNOLOGIES, INC. | 274,846 | 725,170 | |||||||||||||
600 | LENNOX INTERNATIONAL, INC. | 17,874 | 139,794 | |||||||||||||
1,400 | LINCOLN ELECTRIC HOLDINGS, INC. | 28,970 | 117,936 | |||||||||||||
3,232 | LOCKHEED MARTIN CORP. | 941,979 | 1,179,421 | |||||||||||||
1,800 | LYFT, INC., CLASS A(b) | 50,324 | 59,418 | |||||||||||||
1,200 | MANITOWOC (THE) CO., INC.(b) | 10,053 | 13,056 | |||||||||||||
2,475 | MANPOWERGROUP, INC. | 81,957 | 170,156 | |||||||||||||
15,263 | MASCO CORP. | 139,724 | 766,355 | |||||||||||||
577 | NORDSON CORP. | 57,299 | 109,463 | |||||||||||||
760 | NORFOLK SOUTHERN CORP. | 14,546 | 133,433 | |||||||||||||
4,673 | NORTHROP GRUMMAN CORP. | 480,108 | 1,436,667 | |||||||||||||
2,519 | NVENT ELECTRIC PLC(c) | 24,113 | 47,181 | |||||||||||||
7,066 | OLD DOMINION FREIGHT LINE, INC. | 1,046,366 | 1,198,323 | |||||||||||||
6,091 | OSHKOSH CORP. | 198,359 | 436,237 | |||||||||||||
5,320 | OTIS WORLDWIDE CORP. | 90,693 | 302,495 | |||||||||||||
1,100 | OWENS CORNING | 22,578 | 61,336 | |||||||||||||
1,067 | PACCAR, INC. | 47,468 | 79,865 | |||||||||||||
4,628 | PARKER-HANNIFIN CORP. | 350,966 | 848,174 | |||||||||||||
2,519 | PENTAIR PLC(c) | 49,295 | 95,697 | |||||||||||||
4,100 | QUANTA SERVICES, INC. | 52,131 | 160,843 | |||||||||||||
13,341 | RAYTHEON TECHNOLOGIES CORP. | 243,956 | 822,072 | |||||||||||||
12,257 | REPUBLIC SERVICES, INC. | 732,074 | 1,005,687 | |||||||||||||
6,280 | ROLLINS, INC. | 221,629 | 266,209 | |||||||||||||
700 | ROPER TECHNOLOGIES, INC. | 94,317 | 271,782 | |||||||||||||
700 | SNAP-ON, INC. | 17,991 | 96,957 | |||||||||||||
26,799 | SOUTHWEST AIRLINES CO. | 909,504 | 915,990 | |||||||||||||
1,500 | SPIRIT AEROSYSTEMS HOLDINGS, INC., CLASS A | 25,470 | 35,910 | |||||||||||||
2,557 | STANLEY BLACK & DECKER, INC. | 72,048 | 356,395 | |||||||||||||
600 | STERICYCLE, INC.(b) | 18,858 | 33,588 | |||||||||||||
5,162 | TIMKEN (THE) CO. | 171,352 | 234,819 | |||||||||||||
1,596 | TORO (THE) CO. | 76,510 | 105,879 | |||||||||||||
10,505 | TRANE TECHNOLOGIES PLC(c) | 489,469 | 934,735 | |||||||||||||
200 | TRANSDIGM GROUP, INC. | 62,989 | 88,410 | |||||||||||||
12,944 | UBER TECHNOLOGIES, INC.(b) | 398,810 | 402,300 | |||||||||||||
4,943 | UNION PACIFIC CORP. | 181,537 | 835,713 | |||||||||||||
1,928 | UNITED AIRLINES HOLDINGS, INC.(b) | 38,137 | 66,728 | |||||||||||||
3,540 | UNITED PARCEL SERVICE, INC., CLASS B | 166,527 | 393,577 | |||||||||||||
11,099 | UNITED RENTALS, INC.(b) | 1,158,398 | 1,654,195 | |||||||||||||
1,047 | VERISK ANALYTICS, INC. | 122,184 | 178,199 | |||||||||||||
180 | VERITIV CORP.(b) | 1,653 | 3,053 | |||||||||||||
700 | W.W. GRAINGER, INC. | 30,601 | 219,912 | |||||||||||||
975 | WASTE CONNECTIONS, INC. | 42,575 | 91,445 | |||||||||||||
17,554 | WASTE MANAGEMENT, INC. | 879,219 | 1,859,144 | |||||||||||||
1,200 | WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP. | 21,945 | 69,084 | |||||||||||||
1,600 | XYLEM, INC. | 30,618 | 103,936 | |||||||||||||
21,281,496 | 41,374,117 | 8.36 | % | |||||||||||||
Information Technology: | ||||||||||||||||
2,200 | 2U, INC.(b) | 40,782 | 83,512 | |||||||||||||
4,949 | ACCENTURE PLC, CLASS A(c) | 304,426 | 1,062,649 | |||||||||||||
7,678 | ADOBE, INC.(b) | 1,196,396 | 3,342,310 | |||||||||||||
12,800 | ADVANCED MICRO DEVICES, INC.(b) | 228,636 | 673,408 | |||||||||||||
12,626 | AKAMAI TECHNOLOGIES, INC.(b) | 715,662 | 1,352,118 | |||||||||||||
4,877 | ALLIANCE DATA SYSTEMS CORP. | 212,272 | 220,050 | |||||||||||||
1,236 | ALTERYX, INC., CLASS A(b) | 140,231 | 203,050 | |||||||||||||
4,065 | AMDOCS LTD. | 200,086 | 247,477 | |||||||||||||
4,400 | ANALOG DEVICES, INC. | 82,698 | 539,616 | |||||||||||||
1,400 | ANAPLAN, INC.(b) | 47,612 | 63,434 | |||||||||||||
1,200 | ANSYS, INC.(b) | 30,630 | 350,076 | |||||||||||||
70,583 | APPLE, INC. | 6,404,827 | 25,748,678 | |||||||||||||
7,400 | APPLIED MATERIALS, INC. | 134,145 | 447,330 | |||||||||||||
4,877 | ARROW ELECTRONICS, INC.(b) | 267,343 | 335,001 | |||||||||||||
1,800 | ATLASSIAN CORP. PLC, CLASS A(b)(c) | 206,509 | 324,486 | |||||||||||||
3,688 | AUTODESK, INC.(b) | 420,648 | 882,133 | |||||||||||||
6,766 | AUTOMATIC DATA PROCESSING, INC. | 361,211 | 1,007,390 | |||||||||||||
7,371 | BLACK KNIGHT, INC.(b) | 272,636 | 534,840 | |||||||||||||
9,493 | BOOZ ALLEN HAMILTON HOLDING CORP. | 296,190 | 738,460 |
See accompanying notes to financial statements. | 38 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Information Technology (Cont’d): | ||||||||||||||||
2,791 | BROADCOM, INC. | $ | 153,147 | 880,868 | ||||||||||||
3,413 | BROADRIDGE FINANCIAL SOLUTIONS, INC. | 106,898 | 430,686 | |||||||||||||
1,209 | CACI INTERNATIONAL, INC., CLASS A(b) | 249,365 | 262,208 | |||||||||||||
21,470 | CADENCE DESIGN SYSTEMS, INC.(b) | 788,762 | 2,060,261 | |||||||||||||
1,522 | CDK GLOBAL, INC. | 19,712 | 63,041 | |||||||||||||
7,000 | CDW CORP. | 292,424 | 813,260 | |||||||||||||
9,515 | CERENCE, INC.(b) | 225,769 | 388,593 | |||||||||||||
84,083 | CISCO SYSTEMS, INC. | 2,009,827 | 3,921,631 | |||||||||||||
18,376 | CITRIX SYSTEMS, INC. | 2,131,097 | 2,717,994 | |||||||||||||
2,200 | CLOUDFLARE, INC., CLASS A(b) | 78,522 | 79,090 | |||||||||||||
1,000 | COGNEX CORP. | 44,753 | 59,720 | |||||||||||||
2,700 | COGNIZANT TECHNOLOGY SOLUTIONS CORP., CLASS A | 25,751 | 153,414 | |||||||||||||
15,600 | CORNING, INC. | 85,176 | 404,040 | |||||||||||||
900 | COUPA SOFTWARE, INC.(b) | 111,897 | 249,336 | |||||||||||||
1,000 | CROWDSTRIKE HOLDINGS, INC., CLASS A(b) | 98,800 | 100,290 | |||||||||||||
2,100 | DATADOG, INC., CLASS A(b) | 179,184 | 182,595 | |||||||||||||
923 | DELL TECHNOLOGIES, INC., CLASS C(b) | 21,056 | 50,710 | |||||||||||||
3,700 | DOCUSIGN, INC.(b) | 464,753 | 637,177 | |||||||||||||
2,000 | DOLBY LABORATORIES, INC., CLASS A | 43,420 | 131,740 | |||||||||||||
2,300 | DROPBOX, INC., CLASS A(b) | 42,360 | 50,071 | |||||||||||||
4,992 | DXC TECHNOLOGY CO. | 158,627 | 82,368 | |||||||||||||
1,640 | ECHOSTAR CORP., CLASS A(b) | 21,050 | 45,854 | |||||||||||||
954 | EPAM SYSTEMS, INC.(b) | 163,143 | 240,418 | |||||||||||||
300 | EURONET WORLDWIDE, INC.(b) | 25,458 | 28,746 | |||||||||||||
300 | EVERBRIDGE, INC.(b) | 42,279 | 41,508 | |||||||||||||
1,300 | F5 NETWORKS, INC.(b) | 30,063 | 181,324 | |||||||||||||
300 | FAIR ISAAC CORP.(b) | 80,682 | 125,412 | |||||||||||||
12,959 | FIDELITY NATIONAL INFORMATION SERVICES, INC. | 538,426 | 1,737,672 | |||||||||||||
3,900 | FIREEYE, INC.(b) | 44,602 | 47,483 | |||||||||||||
9,784 | FISERV, INC.(b) | 172,685 | 955,114 | |||||||||||||
600 | FIVE9, INC.(b) | 64,638 | 66,402 | |||||||||||||
200 | FLEETCOR TECHNOLOGIES, INC.(b) | 33,618 | 50,306 | |||||||||||||
5,523 | FORTINET, INC.(b) | 393,491 | 758,142 | |||||||||||||
3,708 | GLOBAL PAYMENTS, INC. | 264,415 | 628,951 | |||||||||||||
800 | GODADDY, INC., CLASS A(b) | 39,006 | 58,664 | |||||||||||||
18,800 | HEWLETT PACKARD ENTERPRISE CO. | 102,062 | 182,924 | |||||||||||||
11,910 | HP, INC. | 179,763 | 207,591 | |||||||||||||
400 | HUBSPOT, INC.(b) | 54,548 | 89,740 | |||||||||||||
1,200 | INPHI CORP.(b) | 136,907 | 141,000 | |||||||||||||
43,631 | INTEL CORP. | 1,003,642 | 2,610,443 | |||||||||||||
10,978 | INTERNATIONAL BUSINESS MACHINES CORP. | 1,136,405 | 1,325,813 | |||||||||||||
3,500 | INTUIT, INC. | 75,843 | 1,036,665 | |||||||||||||
13,175 | JABIL, INC. | 259,881 | 422,654 | |||||||||||||
1,771 | JACK HENRY & ASSOCIATES, INC. | 322,129 | 325,917 | |||||||||||||
400 | KEYSIGHT TECHNOLOGIES, INC.(b) | 32,788 | 40,312 | |||||||||||||
7,012 | LAM RESEARCH CORP. | 401,371 | 2,268,102 | |||||||||||||
21,899 | LEIDOS HOLDINGS, INC. | 1,776,438 | 2,051,279 | |||||||||||||
827 | LOGMEIN, INC. | 17,893 | 70,105 | |||||||||||||
3,770 | MARVELL TECHNOLOGY GROUP LTD. | 20,234 | 132,176 | |||||||||||||
7,853 | MASTERCARD, INC., CLASS A | 1,639,459 | 2,322,132 | |||||||||||||
1,900 | MEDALLIA, INC.(b) | 44,418 | 47,956 | |||||||||||||
4,200 | MICROCHIP TECHNOLOGY, INC. | 38,962 | 442,302 | |||||||||||||
43,227 | MICRON TECHNOLOGY, INC.(b) | 944,172 | 2,227,055 | |||||||||||||
113,888 | MICROSOFT CORP. | 4,940,620 | 23,177,347 | |||||||||||||
500 | MKS INSTRUMENTS, INC. | 32,310 | 56,620 | |||||||||||||
900 | MONGODB, INC.(b) | 115,074 | 203,706 | |||||||||||||
900 | NEW RELIC, INC.(b) | 42,264 | 62,010 | |||||||||||||
36,573 | NORTONLIFELOCK, INC. | 432,755 | 725,243 | |||||||||||||
9,984 | NVIDIA CORP. | 1,873,485 | 3,793,021 | |||||||||||||
3,900 | NXP SEMICONDUCTORS N.V.(c) | 334,137 | 444,756 | |||||||||||||
3,297 | OKTA, INC.(b) | 513,168 | 660,158 | |||||||||||||
64,269 | ORACLE CORP. | 3,416,256 | 3,552,148 | |||||||||||||
2,800 | PALO ALTO NETWORKS, INC.(b) | 116,508 | 643,076 | |||||||||||||
466 | PAYCHEX, INC. | 27,642 | 35,300 | |||||||||||||
1,553 | PAYCOM SOFTWARE, INC.(b) | 217,948 | 481,011 | |||||||||||||
8,900 | PAYPAL HOLDINGS, INC.(b) | 822,031 | 1,550,647 | |||||||||||||
907 | PERSPECTA, INC. | 8,504 | 21,070 |
See accompanying notes to financial statements. | 39 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Information Technology (Cont’d): | ||||||||||||||||
3,800 | PLURALSIGHT, INC., CLASS A(b) | $ | 42,888 | 68,590 | ||||||||||||
600 | PROOFPOINT, INC.(b) | 56,232 | 66,672 | |||||||||||||
2,400 | PTC, INC.(b) | 82,674 | 186,696 | |||||||||||||
2,403 | QORVO, INC.(b) | 185,625 | 265,604 | |||||||||||||
17,545 | QUALCOMM, INC. | 1,433,322 | 1,600,279 | |||||||||||||
1,500 | RINGCENTRAL, INC., CLASS A(b) | 152,618 | 427,515 | |||||||||||||
8,372 | SALESFORCE.COM, INC.(b) | 147,727 | 1,568,327 | |||||||||||||
76,375 | SEAGATE TECHNOLOGY PLC | 3,154,086 | 3,697,314 | |||||||||||||
2,100 | SERVICENOW, INC.(b) | 273,110 | 850,626 | |||||||||||||
6,675 | SKYWORKS SOLUTIONS, INC. | 640,777 | 853,465 | |||||||||||||
900 | SMARTSHEET, INC., CLASS A(b) | 39,015 | 45,828 | |||||||||||||
1,400 | SPLUNK, INC.(b) | 162,032 | 278,180 | |||||||||||||
3,000 | SQUARE, INC., CLASS A(b) | 111,050 | 314,820 | |||||||||||||
1,938 | SS&C TECHNOLOGIES HOLDINGS, INC. | 86,602 | 109,458 | |||||||||||||
5,804 | SYNNEX CORP. | 351,443 | 695,145 | |||||||||||||
8,688 | SYNOPSYS, INC.(b) | 744,304 | 1,694,160 | |||||||||||||
4,600 | TERADYNE, INC. | 82,730 | 388,746 | |||||||||||||
27,940 | TEXAS INSTRUMENTS, INC. | 943,662 | 3,547,542 | |||||||||||||
7,049 | TRIMBLE, INC.(b) | 94,849 | 304,446 | |||||||||||||
1,000 | TWILIO, INC., CLASS A(b) | 215,260 | 219,420 | |||||||||||||
2,100 | UBIQUITI, INC. | 357,603 | 366,576 | |||||||||||||
200 | VERISIGN, INC.(b) | 23,200 | 41,366 | |||||||||||||
12,478 | VISA, INC., CLASS A | 563,791 | 2,410,375 | |||||||||||||
7,800 | VISHAY INTERTECHNOLOGY, INC. | 48,931 | 119,106 | |||||||||||||
3,772 | VMWARE, INC., CLASS A(b) | 190,784 | 584,132 | |||||||||||||
5,845 | WESTERN DIGITAL CORP. | 90,457 | 258,057 | |||||||||||||
208,267 | WESTERN UNION (THE) CO. | 4,265,673 | 4,502,733 | |||||||||||||
1,000 | WORKDAY, INC., CLASS A(b) | 137,260 | 187,360 | |||||||||||||
6,750 | XILINX, INC. | 47,180 | 664,132 | |||||||||||||
2,685 | ZEBRA TECHNOLOGIES CORP., CLASS A(b) | 397,763 | 687,226 | |||||||||||||
1,300 | ZENDESK, INC.(b) | 79,216 | 115,089 | |||||||||||||
2,300 | ZOOM VIDEO COMMUNICATIONS, INC., CLASS A(b) | 581,479 | 583,142 | |||||||||||||
700 | ZSCALER, INC.(b) | 41,398 | 76,650 | |||||||||||||
57,712,154 | 135,970,163 | 27.48 | % | |||||||||||||
Materials: | ||||||||||||||||
1,075 | AIR PRODUCTS AND CHEMICALS, INC. | 43,205 | 259,570 | |||||||||||||
1,300 | ALBEMARLE CORP. | 29,152 | 100,373 | |||||||||||||
13,770 | AMCOR PLC(c) | 60,200 | 140,592 | |||||||||||||
700 | ASHLAND GLOBAL HOLDINGS, INC. | 12,006 | 48,370 | |||||||||||||
3,165 | AVERY DENNISON CORP. | 207,899 | 361,095 | |||||||||||||
2,804 | CABOT CORP. | 78,012 | 103,888 | |||||||||||||
20,131 | CELANESE CORP. | 1,574,486 | 1,738,111 | |||||||||||||
4,500 | CHEMOURS (THE) CO. | 49,032 | 69,075 | |||||||||||||
7,262 | CORTEVA, INC. | 88,857 | 194,549 | |||||||||||||
1,800 | CROWN HOLDINGS, INC.(b) | 57,831 | 117,234 | |||||||||||||
7,262 | DOW, INC. | 147,036 | 295,999 | |||||||||||||
10,454 | DUPONT DE NEMOURS, INC. | 408,910 | 555,421 | |||||||||||||
7,160 | EASTMAN CHEMICAL CO. | 255,445 | 498,622 | |||||||||||||
3,191 | ECOLAB, INC. | 114,294 | 634,849 | |||||||||||||
15,800 | FREEPORT-MCMORAN, INC. | 103,648 | 182,806 | |||||||||||||
14,585 | HUNTSMAN CORP. | 227,957 | 262,092 | |||||||||||||
238 | INTERNATIONAL FLAVORS & FRAGRANCES, INC. | 5,120 | 29,146 | |||||||||||||
29,001 | INTERNATIONAL PAPER CO. | 942,990 | 1,021,125 | |||||||||||||
4,450 | LINDE PLC(c) | 723,931 | 943,890 | |||||||||||||
9,574 | LYONDELLBASELL INDUSTRIES N.V., CLASS A | 429,495 | 629,203 | |||||||||||||
700 | MARTIN MARIETTA MATERIALS, INC. | 27,965 | 144,599 | |||||||||||||
28,958 | NEWMONT CORP. | 1,194,310 | 1,787,867 | |||||||||||||
5,844 | NUCOR CORP. | 99,313 | 242,000 | |||||||||||||
8,317 | PACKAGING CORP. OF AMERICA | 742,458 | 830,037 | |||||||||||||
5,172 | PPG INDUSTRIES, INC. | 123,888 | 548,542 | |||||||||||||
6,625 | RELIANCE STEEL & ALUMINUM CO. | 325,929 | 628,911 | |||||||||||||
600 | ROYAL GOLD, INC. | 22,314 | 74,592 | |||||||||||||
2,400 | RPM INTERNATIONAL, INC. | 24,657 | 180,144 | |||||||||||||
500 | SCOTTS MIRACLE-GRO (THE) CO. | 37,765 | 67,235 | |||||||||||||
1,400 | SEALED AIR CORP. | 24,528 | 45,990 | |||||||||||||
3,600 | SONOCO PRODUCTS CO. | 74,519 | 188,244 | |||||||||||||
3,234 | SOUTHERN COPPER CORP.(c) | 38,445 | 128,616 |
See accompanying notes to financial statements. | 40 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Materials (Cont’d): | ||||||||||||||||
8,200 | STEEL DYNAMICS, INC. | $ | 89,708 | 213,938 | ||||||||||||
4,392 | VALVOLINE, INC. | 24,184 | 84,897 | |||||||||||||
2,100 | VULCAN MATERIALS CO. | 63,441 | 243,285 | |||||||||||||
2,242 | WESTROCK CO. | 24,357 | 63,359 | |||||||||||||
8,497,287 | 13,658,266 | 2.76 | % | |||||||||||||
Real Estate: | ||||||||||||||||
2,100 | ALEXANDRIA REAL ESTATE EQUITIES, INC. | 105,954 | 340,725 | |||||||||||||
3,148 | AMERICAN TOWER CORP. | 239,658 | 813,884 | |||||||||||||
3,729 | APARTMENT INVESTMENT AND MANAGEMENT CO., CLASS A | 47,243 | 140,359 | |||||||||||||
21,906 | APPLE HOSPITALITY REIT, INC. | 171,757 | 211,612 | |||||||||||||
734 | AVALONBAY COMMUNITIES, INC. | 31,138 | 113,506 | |||||||||||||
14,500 | BOSTON PROPERTIES, INC. | 1,246,525 | 1,310,510 | |||||||||||||
46,503 | BRIXMOR PROPERTY GROUP, INC. | 409,622 | 596,168 | |||||||||||||
2,153 | CAMDEN PROPERTY TRUST | 123,556 | 196,397 | |||||||||||||
24,200 | COLONY CAPITAL, INC. | 47,333 | 58,080 | |||||||||||||
500 | CORESITE REALTY CORP. | 42,695 | 60,530 | |||||||||||||
4,700 | CROWN CASTLE INTERNATIONAL CORP. | 187,941 | 786,545 | |||||||||||||
2,027 | CUBESMART | 53,050 | 54,709 | |||||||||||||
900 | CYRUSONE, INC. | 45,114 | 65,475 | |||||||||||||
2,500 | DIGITAL REALTY TRUST, INC. | 269,780 | 355,275 | |||||||||||||
5,200 | DOUGLAS EMMETT, INC. | 43,778 | 159,432 | |||||||||||||
1,700 | DUKE REALTY CORP. | 28,435 | 60,163 | |||||||||||||
6,509 | EPR PROPERTIES | 141,336 | 215,643 | |||||||||||||
2,140 | EQUINIX, INC. | 817,154 | 1,502,922 | |||||||||||||
1,600 | EQUITY LIFESTYLE PROPERTIES, INC. | 26,895 | 99,968 | |||||||||||||
5,416 | EQUITY RESIDENTIAL | 174,162 | 318,569 | |||||||||||||
675 | ESSEX PROPERTY TRUST, INC. | 73,425 | 154,690 | |||||||||||||
900 | FEDERAL REALTY INVESTMENT TRUST | 48,326 | 76,689 | |||||||||||||
1,046 | FOUR CORNERS PROPERTY TRUST, INC. | 8,468 | 25,522 | |||||||||||||
2,025 | GAMING AND LEISURE PROPERTIES, INC. | 54,657 | 70,048 | |||||||||||||
7,000 | HEALTHPEAK PROPERTIES, INC. | 70,658 | 192,920 | |||||||||||||
2,015 | HIGHWOODS PROPERTIES, INC. | 68,454 | 75,220 | |||||||||||||
94,647 | HOST HOTELS & RESORTS, INC. | 1,168,899 | 1,021,241 | |||||||||||||
678 | HOWARD HUGHES (THE) CORP.(b) | 20,502 | 35,222 | |||||||||||||
700 | JBG SMITH PROPERTIES | 17,888 | 20,699 | |||||||||||||
700 | JONES LANG LASALLE, INC. | 39,951 | 72,422 | |||||||||||||
4,001 | KIMCO REALTY CORP. | 36,979 | 51,373 | |||||||||||||
4,678 | LAMAR ADVERTISING CO., CLASS A | 77,075 | 312,303 | |||||||||||||
6,311 | MID-AMERICA APARTMENT COMMUNITIES, INC. | 643,774 | 723,682 | |||||||||||||
15,318 | OUTFRONT MEDIA, INC. | 184,437 | 217,056 | |||||||||||||
10,911 | PROLOGIS, INC. | 280,830 | 1,018,324 | |||||||||||||
4,274 | PUBLIC STORAGE | 715,870 | 820,138 | |||||||||||||
6,972 | RAYONIER, INC. | 74,592 | 172,836 | |||||||||||||
2,600 | REALTY INCOME CORP. | 48,709 | 154,700 | |||||||||||||
3,900 | REGENCY CENTERS CORP. | 85,345 | 178,971 | |||||||||||||
4,528 | SBA COMMUNICATIONS CORP. | 826,172 | 1,348,982 | |||||||||||||
1,594 | SIMON PROPERTY GROUP, INC. | 75,050 | 108,998 | |||||||||||||
1,100 | SUN COMMUNITIES, INC. | 82,400 | 149,248 | |||||||||||||
2,100 | TAUBMAN CENTERS, INC. | 53,754 | 79,296 | |||||||||||||
4,100 | UDR, INC. | 62,718 | 153,258 | |||||||||||||
10,100 | VEREIT, INC. | 50,618 | 64,943 | |||||||||||||
4,300 | VICI PROPERTIES, INC. | 66,203 | 86,817 | |||||||||||||
21,709 | VORNADO REALTY TRUST | 843,765 | 829,501 | |||||||||||||
21,812 | WEINGARTEN REALTY INVESTORS | 307,488 | 412,901 | |||||||||||||
4,916 | WEYERHAEUSER CO. | 64,713 | 110,413 | |||||||||||||
10,404,846 | 16,198,885 | 3.28 | % | |||||||||||||
Utilities: | ||||||||||||||||
3,000 | AES (THE) CORP. | 32,870 | 43,470 | |||||||||||||
2,000 | ALLIANT ENERGY CORP. | 24,835 | 95,680 | |||||||||||||
1,600 | AMEREN CORP. | 40,872 | 112,576 | |||||||||||||
3,406 | AMERICAN ELECTRIC POWER CO., INC. | 147,690 | 271,254 | |||||||||||||
13,200 | AVANGRID, INC. | 502,113 | 554,136 | |||||||||||||
5,800 | CENTERPOINT ENERGY, INC. | 66,308 | 108,286 | |||||||||||||
13,300 | CMS ENERGY CORP. | 259,708 | 776,986 | |||||||||||||
4,875 | CONSOLIDATED EDISON, INC. | 311,551 | 350,659 | |||||||||||||
12,073 | DOMINION ENERGY, INC. | 450,978 | 980,086 |
See accompanying notes to financial statements. | 41 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Utilities (Cont’d): | ||||||||||||||||
2,300 | DTE ENERGY CO. | $ | 84,036 | 247,250 | ||||||||||||
12,117 | DUKE ENERGY CORP. | 582,142 | 968,027 | |||||||||||||
4,425 | EDISON INTERNATIONAL | 136,263 | 240,322 | |||||||||||||
4,321 | ENTERGY CORP. | 369,658 | 405,353 | |||||||||||||
1,735 | ESSENTIAL UTILITIES, INC. | 22,973 | 73,286 | |||||||||||||
2,974 | EVERGY, INC. | 67,407 | 176,328 | |||||||||||||
4,961 | EVERSOURCE ENERGY | 125,492 | 413,103 | |||||||||||||
20,725 | EXELON CORP. | 772,860 | 752,110 | |||||||||||||
5,500 | FIRSTENERGY CORP. | 176,692 | 213,290 | |||||||||||||
900 | NATIONAL FUEL GAS CO. | 20,790 | 37,737 | |||||||||||||
4,400 | NEXTERA ENERGY, INC. | 204,691 | 1,056,748 | |||||||||||||
6,900 | NISOURCE, INC. | 43,973 | 156,906 | |||||||||||||
4,800 | OGE ENERGY CORP. | 43,344 | 145,728 | |||||||||||||
5,000 | PG&E CORP.(b) | 46,280 | 44,350 | |||||||||||||
2,400 | PINNACLE WEST CAPITAL CORP. | 71,637 | 175,896 | |||||||||||||
700 | PPL CORP. | 10,384 | 18,088 | |||||||||||||
14,873 | PUBLIC SERVICE ENTERPRISE GROUP, INC. | 687,970 | 731,157 | |||||||||||||
3,200 | SEMPRA ENERGY | 174,758 | 375,136 | |||||||||||||
8,600 | SOUTHERN (THE) CO. | 176,010 | 445,910 | |||||||||||||
5,426 | UGI CORP. | 80,112 | 172,547 | |||||||||||||
1,600 | WEC ENERGY GROUP, INC. | 91,440 | 140,240 | |||||||||||||
968 | XCEL ENERGY, INC. | 36,241 | 60,500 | |||||||||||||
5,862,078 | 10,343,145 | 2.09 | % | |||||||||||||
Sub-total Common Stocks: | 258,838,502 | 491,234,876 | 99.29 | % | ||||||||||||
Rights: | ||||||||||||||||
Rights: | ||||||||||||||||
26,698 | T-MOBILE U.S., INC.(b) | — | 4,485 | |||||||||||||
— | 4,485 | 0.00 | % | |||||||||||||
Sub-total Rights: | — | 4,485 | 0.00 | % | ||||||||||||
Short-Term Investments: | ||||||||||||||||
4,131,851 | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.13%(d) | 4,131,851 | 4,131,851 | |||||||||||||
Sub-total Short-Term Investments: | 4,131,851 | 4,131,851 | 0.84 | % | ||||||||||||
Grand total | $ | 262,970,353 | 495,371,212 | 100.13 | % |
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, 2020, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 2.23% of net assets. |
(d) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2019, the value of the Clearwater Core Equity Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $2,916,876 with net purchases of $1,214,975 during the six months ended June 30, 2020. |
See accompanying notes to financial statements. | 42 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Core Equity Fund
June 30, 2020 (unaudited)
Clearwater Core Equity Fund Portfolio Diversification
(as a percentage of net assets)
See accompanying notes to financial statements. | 43 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Common Stocks: | ||||||||||||||||
Communication Services: | ||||||||||||||||
253,566 | ALASKA COMMUNICATIONS SYSTEMS GROUP, INC. | $ | 515,430 | 707,449 | ||||||||||||
50,229 | EW SCRIPPS (THE) CO., CLASS A | 684,682 | 439,504 | |||||||||||||
22,394 | HEMISPHERE MEDIA GROUP, INC.(b) | 187,651 | 220,133 | |||||||||||||
36,627 | SAGA COMMUNICATIONS, INC., CLASS A | 1,103,078 | 937,651 | |||||||||||||
2,490,841 | 2,304,737 | 0.69 | % | |||||||||||||
Consumer Discretionary: | ||||||||||||||||
189,700 | AMERICAN EAGLE OUTFITTERS, INC. | 3,387,557 | 2,067,730 | |||||||||||||
19,264 | AMERICA’S CAR-MART, INC.(b) | 1,050,883 | 1,692,728 | |||||||||||||
258,269 | BBX CAPITAL CORP. | 1,306,826 | 656,003 | |||||||||||||
125,568 | BLUEGREEN VACATIONS CORP.(c) | 1,164,186 | 680,579 | |||||||||||||
48,687 | BOOT BARN HOLDINGS, INC.(b) | 1,016,526 | 1,049,692 | |||||||||||||
122,981 | CALLAWAY GOLF CO. | 1,837,897 | 2,153,397 | |||||||||||||
52,563 | CARRIAGE SERVICES, INC. | 967,681 | 952,442 | |||||||||||||
200,875 | CLARUS CORP. | 1,078,616 | 2,326,132 | |||||||||||||
8,292 | CORE-MARK HOLDING CO., INC. | 203,152 | 206,927 | |||||||||||||
136,558 | DANA, INC. | 1,431,720 | 1,664,642 | |||||||||||||
71,600 | EXTENDED STAY AMERICA, INC. | 1,391,461 | 801,204 | |||||||||||||
77,675 | FIESTA RESTAURANT GROUP, INC.(b) | 965,621 | 495,567 | |||||||||||||
293,912 | FULL HOUSE RESORTS, INC.(b) | 677,145 | 390,903 | |||||||||||||
139,300 | GILDAN ACTIVEWEAR, INC.(d) | 3,411,847 | 2,157,757 | |||||||||||||
67,200 | HANESBRANDS, INC. | 921,601 | 758,688 | |||||||||||||
23,433 | HELEN OF TROY LTD.(b) | 2,567,983 | 4,418,526 | |||||||||||||
60,338 | HOOKER FURNITURE CORP. | 1,390,880 | 1,173,574 | |||||||||||||
26,989 | INSTALLED BUILDING PRODUCTS, INC.(b) | 1,542,565 | 1,856,303 | |||||||||||||
229,914 | LIFETIME BRANDS, INC. | 2,208,697 | 1,545,022 | |||||||||||||
34,600 | MALIBU BOATS, INC., CLASS A(b) | 879,859 | 1,797,470 | |||||||||||||
58,509 | MASTERCRAFT BOAT HOLDINGS, INC.(b) | 1,069,042 | 1,114,596 | |||||||||||||
68,618 | MOTORCAR PARTS OF AMERICA, INC.(b) | 1,293,852 | 1,212,480 | |||||||||||||
321,469 | OFFICE DEPOT, INC. | 673,508 | 755,452 | |||||||||||||
124,264 | POTBELLY CORP.(b) | 461,866 | 283,322 | |||||||||||||
112,829 | SKYLINE CHAMPION CORP.(b) | 2,298,554 | 2,746,258 | |||||||||||||
59,780 | STONERIDGE, INC.(b) | 1,272,602 | 1,235,055 | |||||||||||||
18,894 | UNIFI, INC.(b) | 390,124 | 243,355 | |||||||||||||
3,955 | UNIVERSAL ELECTRONICS, INC.(b) | 146,082 | 185,173 | |||||||||||||
47,000 | WINNEBAGO INDUSTRIES, INC. | 1,208,000 | 3,131,140 | |||||||||||||
26,204 | WYNDHAM DESTINATIONS, INC. | 1,115,831 | 738,429 | |||||||||||||
39,332,164 | 40,490,546 | 12.05 | % | |||||||||||||
Consumer Staples: | ||||||||||||||||
53,511 | BJ’S WHOLESALE CLUB HOLDINGS, INC.(b) | 1,300,898 | 1,994,355 | |||||||||||||
5,512 | JOHN B. SANFILIPPO & SON, INC. | 456,728 | 470,339 | |||||||||||||
6,667 | MEDIFAST, INC.(c) | 362,195 | 925,180 | |||||||||||||
67,603 | NATURE’S SUNSHINE PRODUCTS, INC.(b) | 635,338 | 609,103 | |||||||||||||
95,450 | PERFORMANCE FOOD GROUP CO.(b) | 2,852,888 | 2,781,413 | |||||||||||||
17,835 | SENECA FOODS CORP., CLASS A(b) | 602,487 | 603,001 | |||||||||||||
28,962 | SPECTRUM BRANDS HOLDINGS, INC. | 1,534,591 | 1,329,356 | |||||||||||||
487,964 | SUNOPTA, INC.(b)(d) | 1,609,517 | 2,293,431 | |||||||||||||
23,018 | UNIVERSAL CORP. | 1,226,458 | 978,495 | |||||||||||||
10,581,100 | 11,984,673 | 3.56 | % | |||||||||||||
Energy: | ||||||||||||||||
20,873 | DMC GLOBAL, INC. | 505,611 | 576,095 | |||||||||||||
24,051 | HELMERICH & PAYNE, INC. | 655,493 | 469,235 | |||||||||||||
79,031 | MURPHY OIL CORP. | 1,222,331 | 1,090,628 | |||||||||||||
56,614 | NATIONAL OILWELL VARCO, INC. | 596,877 | 693,521 | |||||||||||||
363,462 | NEXTIER OILFIELD SOLUTIONS, INC.(b) | 1,927,664 | 890,482 | |||||||||||||
57,656 | TECHNIPFMC PLC(d) | 466,300 | 394,367 | |||||||||||||
5,374,276 | 4,114,328 | 1.22 | % | |||||||||||||
Financials: | ||||||||||||||||
10,485 | 1ST CONSTITUTION BANCORP | 178,934 | 130,014 | |||||||||||||
8,735 | AMALGAMATED BANK, CLASS A | 149,572 | 110,410 | |||||||||||||
39,162 | AMBAC FINANCIAL GROUP, INC.(b) | 680,998 | 560,800 | |||||||||||||
97,608 | AMERICAN EQUITY INVESTMENT LIFE HOLDING CO. | 2,455,362 | 2,411,894 | |||||||||||||
6,455 | AMERICAN NATIONAL BANKSHARES, INC. | 233,606 | 161,633 | |||||||||||||
44,696 | AMERIS BANCORP | 1,327,383 | 1,054,379 | |||||||||||||
34,288 | ARGO GROUP INTERNATIONAL HOLDINGS LTD.(d) | 1,415,051 | 1,194,251 | |||||||||||||
125,228 | ASSOCIATED BANC-CORP | 2,683,780 | 1,713,119 |
See accompanying notes to financial statements. | 44 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Financials (Cont’d): | ||||||||||||||||
53,473 | AXIS CAPITAL HOLDINGS LTD.(d) | $ | 2,747,538 | 2,168,865 | ||||||||||||
40,949 | BANCORP (THE), INC.(b) | 369,780 | 401,300 | |||||||||||||
16,369 | BANKWELL FINANCIAL GROUP, INC. | 414,111 | 260,267 | |||||||||||||
5,922 | BERKSHIRE HILLS BANCORP, INC. | 61,664 | 65,261 | |||||||||||||
24,649 | BLACKROCK TCP CAPITAL CORP. | 344,310 | 225,292 | |||||||||||||
9,211 | BRIDGE BANCORP, INC. | 279,430 | 210,379 | |||||||||||||
4,836 | BRYN MAWR BANK CORP. | 158,933 | 133,764 | |||||||||||||
51,753 | CANNAE HOLDINGS, INC.(b) | 1,106,837 | 2,127,048 | |||||||||||||
284,491 | CNO FINANCIAL GROUP, INC. | 4,847,722 | 4,429,525 | |||||||||||||
20,831 | COMMERCE BANCSHARES, INC. | 991,681 | 1,238,820 | |||||||||||||
14,606 | COMMUNITY BANKERS TRUST CORP. | 130,349 | 80,333 | |||||||||||||
22,895 | COWEN, INC., CLASS A | 355,656 | 371,128 | |||||||||||||
54,879 | CRAWFORD & CO., CLASS A | 449,167 | 432,995 | |||||||||||||
35,624 | CRAWFORD & CO., CLASS B | 252,401 | 250,437 | |||||||||||||
101,211 | DONEGAL GROUP, INC., CLASS A | 1,520,565 | 1,439,221 | |||||||||||||
18,269 | EAGLE BANCORP MONTANA, INC. | 325,248 | 317,515 | |||||||||||||
33,111 | EMPIRE BANCORP, INC.(b) | 447,702 | 340,712 | |||||||||||||
53,884 | ENTERPRISE FINANCIAL SERVICES CORP. | 1,922,415 | 1,676,870 | |||||||||||||
113,805 | ESSENT GROUP LTD. | 4,116,439 | 4,127,707 | |||||||||||||
30,891 | FIDUS INVESTMENT CORP.(c) | 406,039 | 280,181 | |||||||||||||
39,815 | FIRST MERCHANTS CORP. | 1,501,402 | 1,097,700 | |||||||||||||
11,814 | FIRST MID BANCSHARES, INC. | 383,520 | 309,881 | |||||||||||||
77,252 | FIRST MIDWEST BANCORP, INC. | 1,720,204 | 1,031,314 | |||||||||||||
7,289 | FIRST NORTHWEST BANCORP | 122,410 | 90,529 | |||||||||||||
24,525 | FIRST WESTERN FINANCIAL, INC.(b) | 313,837 | 349,481 | |||||||||||||
30,600 | FIRSTCASH, INC. | 2,152,886 | 2,064,888 | |||||||||||||
35,392 | FLUSHING FINANCIAL CORP. | 720,134 | 407,716 | |||||||||||||
53,400 | GLACIER BANCORP, INC. | 2,184,309 | 1,884,486 | |||||||||||||
37,190 | HANCOCK WHITNEY CORP. | 1,506,483 | 788,428 | |||||||||||||
33,524 | HARBORONE BANCORP, INC.(b) | 338,075 | 286,295 | |||||||||||||
33,338 | HOMESTREET, INC. | 776,386 | 820,448 | |||||||||||||
128,600 | HOPE BANCORP, INC. | 2,102,282 | 1,185,692 | |||||||||||||
103,448 | INVESTCORP CREDIT MANAGEMENT BDC, INC.(c) | 712,223 | 355,861 | |||||||||||||
70,504 | LAKELAND BANCORP, INC. | 1,078,390 | 805,861 | |||||||||||||
16,563 | LCNB CORP. | 291,543 | 264,346 | |||||||||||||
8,943 | LENDINGTREE, INC.(b) | 2,333,788 | 2,589,267 | |||||||||||||
50,781 | MACKINAC FINANCIAL CORP. | 748,859 | 526,599 | |||||||||||||
10,557 | MAINSTREET BANCSHARES, INC.(b) | 205,222 | 139,352 | |||||||||||||
62,205 | MVC CAPITAL, INC.(c) | 530,204 | 406,199 | |||||||||||||
5,689 | NATIONAL WESTERN LIFE GROUP, INC., CLASS A | 1,646,680 | 1,155,948 | |||||||||||||
61,450 | NEW MOUNTAIN FINANCE CORP. | 800,632 | 570,871 | |||||||||||||
347,973 | OAKTREE SPECIALTY LENDING CORP. | 1,541,057 | 1,555,439 | |||||||||||||
150,327 | OAKTREE STRATEGIC INCOME CORP. | 1,274,640 | 953,073 | |||||||||||||
23,545 | PENNANTPARK INVESTMENT CORP. | 158,804 | 82,643 | |||||||||||||
6,251 | PENNS WOODS BANCORP, INC. | 174,938 | 141,960 | |||||||||||||
13,625 | PEOPLES BANCORP OF NORTH CAROLINA, INC. | 305,059 | 240,754 | |||||||||||||
37,112 | PIONEER BANCORP, INC.(b) | 494,566 | 339,575 | |||||||||||||
10,072 | RED RIVER BANCSHARES, INC. | 401,772 | 442,060 | |||||||||||||
19,189 | SHORE BANCSHARES, INC. | 284,276 | 212,806 | |||||||||||||
78,403 | SOLAR CAPITAL LTD. | 1,396,665 | 1,255,232 | |||||||||||||
59,935 | SOUTHERN NATIONAL BANCORP OF VIRGINIA, INC. | 939,361 | 580,770 | |||||||||||||
33,268 | STIFEL FINANCIAL CORP. | 1,580,438 | 1,577,901 | |||||||||||||
28,558 | SUMMIT STATE BANK | 363,303 | 277,298 | |||||||||||||
24,400 | SYNOVUS FINANCIAL CORP. | 596,222 | 500,932 | |||||||||||||
126,720 | TCF FINANCIAL CORP. | 4,008,045 | 3,728,102 | |||||||||||||
232,681 | UMPQUA HOLDINGS CORP. | 3,493,678 | 2,475,726 | |||||||||||||
16,486 | UNITED BANCORP, INC. | 204,353 | 189,754 | |||||||||||||
5,970 | UNITED BANCSHARES, INC. | 129,860 | 106,863 | |||||||||||||
28,241 | UNITED BANKSHARES, INC. | 841,759 | 781,146 | |||||||||||||
36,675 | UNITED SECURITY BANCSHARES | 376,167 | 245,356 | |||||||||||||
29,917 | UNITY BANCORP, INC. | 536,602 | 427,813 | |||||||||||||
62,894 | UNIVEST FINANCIAL CORP. | 1,517,780 | 1,015,109 | |||||||||||||
41,961 | WALKER & DUNLOP, INC. | 1,022,014 | 2,132,038 | �� | ||||||||||||
46,218 | WEBSTER FINANCIAL CORP. | 2,119,079 | 1,322,297 | |||||||||||||
20,588 | WEST BANCORP, INC. | 425,402 | 360,084 | |||||||||||||
31,923 | WISDOMTREE INVESTMENTS, INC. | 114,641 | 110,773 |
See accompanying notes to financial statements. | 45 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Financials (Cont’d): | ||||||||||||||||
32,236 | WSFS FINANCIAL CORP. | $ | 1,348,832 | 925,173 | ||||||||||||
78,191,455 | 67,025,959 | 19.94 | % | |||||||||||||
Health Care: | ||||||||||||||||
2,730 | ADDUS HOMECARE CORP.(b) | 179,663 | 252,689 | |||||||||||||
48,140 | AMN HEALTHCARE SERVICES, INC.(b) | 2,466,327 | 2,177,853 | |||||||||||||
229,480 | AVID BIOSERVICES, INC.(b) | 1,198,807 | 1,506,536 | |||||||||||||
34,635 | BIODELIVERY SCIENCES INTERNATIONAL, INC.(b) | 145,903 | 151,009 | |||||||||||||
5,499 | BIOSPECIFICS TECHNOLOGIES CORP.(b) | 330,165 | 336,979 | |||||||||||||
65,563 | BIOTELEMETRY, INC.(b) | 2,612,895 | 2,962,792 | |||||||||||||
25,313 | BRUKER CORP. | 762,230 | 1,029,733 | |||||||||||||
58,267 | CHEMBIO DIAGNOSTICS, INC.(b)(c) | 493,442 | 189,368 | |||||||||||||
33,897 | CRYOLIFE, INC.(b) | 637,436 | 649,805 | |||||||||||||
14,626 | CUTERA, INC.(b) | 186,598 | 177,998 | |||||||||||||
29,175 | EMERGENT BIOSOLUTIONS, INC.(b) | 1,219,566 | 2,307,159 | |||||||||||||
31,057 | EVOLENT HEALTH, INC., CLASS A(b) | 195,547 | 221,126 | |||||||||||||
24,394 | GLOBUS MEDICAL, INC., CLASS A(b) | 1,132,643 | 1,163,838 | |||||||||||||
170,127 | HARVARD BIOSCIENCE, INC.(b) | 330,094 | 527,394 | |||||||||||||
13,428 | HEALTHSTREAM, INC.(b) | 304,374 | 297,162 | |||||||||||||
17,200 | HILL-ROM HOLDINGS, INC. | 1,399,946 | 1,888,216 | |||||||||||||
48,162 | INFUSYSTEM HOLDINGS, INC.(b) | 241,509 | 555,789 | |||||||||||||
64,606 | INTEGRA LIFESCIENCES HOLDINGS CORP.(b) | 3,645,808 | 3,035,836 | |||||||||||||
21,051 | LHC GROUP, INC.(b) | 1,760,937 | 3,669,610 | |||||||||||||
15,413 | LIGAND PHARMACEUTICALS, INC.(b)(c) | 1,243,655 | 1,723,944 | |||||||||||||
26,820 | LIVANOVA PLC(b)(d) | 2,197,675 | 1,290,847 | |||||||||||||
20,232 | MAGELLAN HEALTH, INC.(b) | 1,082,014 | 1,476,531 | |||||||||||||
67,314 | MERIDIAN BIOSCIENCE, INC.(b) | 622,368 | 1,567,743 | |||||||||||||
30,236 | NANOVIBRONIX, INC.(b) | 138,743 | 72,869 | |||||||||||||
165,122 | NEXTGEN HEALTHCARE, INC.(b) | 1,368,060 | 1,813,040 | |||||||||||||
41,492 | OMNICELL, INC.(b) | 2,272,482 | 2,930,165 | |||||||||||||
15,473 | OPTIMIZERX CORP.(b)(c) | 144,830 | 201,613 | |||||||||||||
169,702 | ORASURE TECHNOLOGIES, INC.(b) | 1,987,592 | 1,973,634 | |||||||||||||
72,334 | PREMIER, INC., CLASS A(b) | 2,215,790 | 2,479,609 | |||||||||||||
35,594 | PROVIDENCE SERVICE (THE) CORP.(b) | 2,172,402 | 2,808,722 | |||||||||||||
49,265 | PSYCHEMEDICS CORP. | 597,640 | 270,957 | |||||||||||||
6,878 | SURMODICS, INC.(b) | 269,802 | 297,405 | |||||||||||||
33,400 | SYNEOS HEALTH, INC.(b) | 1,431,924 | 1,945,550 | |||||||||||||
4,394 | TABULA RASA HEALTHCARE, INC.(b)(c) | 221,744 | 240,484 | |||||||||||||
2,543 | TACTILE SYSTEMS TECHNOLOGY, INC.(b) | 118,899 | 105,356 | |||||||||||||
93,545 | TRIPLE-S MANAGEMENT CORP., CLASS B(b) | 2,136,298 | 1,779,226 | |||||||||||||
136,924 | VAREX IMAGING CORP.(b) | 3,514,931 | 2,074,399 | |||||||||||||
42,980,739 | 48,152,986 | 14.33 | % | |||||||||||||
Industrials: | ||||||||||||||||
13,900 | ACUITY BRANDS, INC. | 1,580,104 | 1,330,786 | |||||||||||||
2,075 | AEROVIRONMENT, INC.(b) | 106,165 | 165,233 | |||||||||||||
53,320 | AIR LEASE CORP. | 1,690,020 | 1,561,743 | |||||||||||||
26,909 | AIR TRANSPORT SERVICES GROUP, INC.(b) | 540,349 | 599,263 | |||||||||||||
23,955 | ALBANY INTERNATIONAL CORP., CLASS A | 1,105,502 | 1,406,398 | |||||||||||||
21,460 | AMERICAN WOODMARK CORP.(b) | 1,646,171 | 1,623,449 | |||||||||||||
45,849 | ASGN, INC.(b) | 1,955,379 | 3,057,211 | |||||||||||||
14,775 | ASTRONICS CORP.(b) | 239,051 | 156,024 | |||||||||||||
41,655 | AVIS BUDGET GROUP, INC.(b)(c) | 1,309,812 | 953,483 | |||||||||||||
33,707 | BRINK’S (THE) CO. | 2,098,286 | 1,534,006 | |||||||||||||
30,600 | BWX TECHNOLOGIES, INC. | 1,656,176 | 1,733,184 | |||||||||||||
27,578 | CBIZ, INC.(b) | 654,378 | 661,045 | |||||||||||||
16,818 | CECO ENVIRONMENTAL CORP.(b) | 124,845 | 110,831 | |||||||||||||
28,028 | CIRCOR INTERNATIONAL, INC.(b) | 999,140 | 714,153 | |||||||||||||
83,600 | COLFAX CORP.(b) | 2,030,328 | 2,332,440 | |||||||||||||
7,511 | COLUMBUS MCKINNON CORP. | 202,004 | 251,243 | |||||||||||||
48,714 | COVANTA HOLDING CORP. | 348,975 | 467,167 | |||||||||||||
2,972 | CRA INTERNATIONAL, INC. | 117,489 | 117,394 | |||||||||||||
15,900 | DONALDSON CO., INC. | 712,473 | 739,668 | |||||||||||||
145,915 | ENERPAC TOOL GROUP CORP. | 3,364,426 | 2,568,104 | |||||||||||||
11,383 | FTI CONSULTING, INC.(b) | 1,351,720 | 1,303,923 | |||||||||||||
98,500 | GATES INDUSTRIAL CORP. PLC(b) | 1,415,570 | 1,012,580 | |||||||||||||
19,000 | GORMAN-RUPP (THE) CO. | 560,570 | 590,520 | |||||||||||||
98,254 | GRAFTECH INTERNATIONAL LTD. | 1,052,082 | 784,067 | |||||||||||||
45,408 | GRAHAM CORP. | 671,476 | 578,498 |
See accompanying notes to financial statements. | 46 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Industrials (Cont’d): | ||||||||||||||||
11,387 | H&E EQUIPMENT SERVICES, INC. | $ | 163,906 | 210,432 | ||||||||||||
139,171 | HARSCO CORP.(b) | 1,843,569 | 1,880,200 | |||||||||||||
53,869 | HERC HOLDINGS, INC.(b) | 2,094,113 | 1,655,394 | |||||||||||||
19,600 | HEXCEL CORP. | 1,157,602 | 886,312 | |||||||||||||
59,637 | HILLENBRAND, INC. | 1,312,342 | 1,614,374 | |||||||||||||
2,706 | HURON CONSULTING GROUP, INC.(b) | 116,076 | 119,740 | |||||||||||||
40,100 | IAA, INC.(b) | 1,706,895 | 1,546,657 | |||||||||||||
115,044 | INTERFACE, INC. | 1,797,597 | 936,458 | |||||||||||||
143,218 | JELD-WEN HOLDING, INC.(b) | 3,115,500 | 2,307,242 | |||||||||||||
13,070 | KADANT, INC. | 1,168,532 | 1,302,556 | |||||||||||||
40,641 | KRATOS DEFENSE & SECURITY SOLUTIONS, INC.(b) | 549,480 | 635,219 | |||||||||||||
225,309 | LSI INDUSTRIES, INC. | 1,152,907 | 1,457,749 | |||||||||||||
16,402 | MASONITE INTERNATIONAL CORP.(b) | 1,065,205 | 1,275,748 | |||||||||||||
34,904 | MERCURY SYSTEMS, INC.(b) | 1,752,422 | 2,745,549 | |||||||||||||
5,250 | MSA SAFETY, INC. | 500,105 | 600,810 | |||||||||||||
72,300 | NOW, INC.(b) | 727,497 | 623,949 | |||||||||||||
15,500 | NV5 GLOBAL, INC.(b) | 708,179 | 787,865 | |||||||||||||
192,000 | PGT INNOVATIONS, INC.(b) | 2,936,615 | 3,010,560 | |||||||||||||
97,304 | PIONEER POWER SOLUTIONS, INC.(b) | 552,291 | 171,255 | |||||||||||||
24,357 | RADA ELECTRONIC INDUSTRIES LTD.(b)(d) | 124,313 | 159,295 | |||||||||||||
173,867 | REV GROUP, INC. | 1,963,728 | 1,060,589 | |||||||||||||
26,390 | RUSH ENTERPRISES, INC., CLASS A | 1,065,598 | 1,094,129 | |||||||||||||
51,493 | RYDER SYSTEM, INC. | 2,974,569 | 1,931,502 | |||||||||||||
23,675 | SCORPIO BULKERS, INC. | 430,222 | 362,227 | |||||||||||||
17,171 | SHYFT GROUP (THE), INC. | 227,631 | 289,160 | |||||||||||||
37,150 | SKYWEST, INC. | 1,490,976 | 1,211,833 | |||||||||||||
7,003 | SPX FLOW, INC.(b) | 199,409 | 262,192 | |||||||||||||
178,096 | STEELCASE, INC., CLASS A | 2,419,588 | 2,147,838 | |||||||||||||
89,602 | TEREX CORP. | 3,145,780 | 1,681,830 | |||||||||||||
38,359 | TITAN MACHINERY, INC.(b) | 523,332 | 416,579 | |||||||||||||
46,280 | TRIMAS CORP.(b) | 1,203,803 | 1,108,406 | |||||||||||||
11,229 | VALMONT INDUSTRIES, INC. | 1,489,079 | 1,275,839 | |||||||||||||
36,086 | WOODWARD, INC. | 2,189,393 | 2,798,469 | |||||||||||||
71,400,745 | 65,920,370 | 19.61 | % | |||||||||||||
Information Technology: | ||||||||||||||||
42,650 | ASURE SOFTWARE, INC.(b)(c) | 318,396 | 274,239 | |||||||||||||
66,412 | AVIAT NETWORKS, INC.(b) | 1,171,854 | 1,212,019 | |||||||||||||
57,573 | AVNET, INC. | 2,089,920 | 1,605,423 | |||||||||||||
26,895 | AXT, INC.(b) | 94,180 | 128,020 | |||||||||||||
42,686 | BELDEN, INC. | 1,605,548 | 1,389,429 | |||||||||||||
17,674 | BENCHMARK ELECTRONICS, INC. | 362,697 | 381,758 | |||||||||||||
21,361 | BOTTOMLINE TECHNOLOGIES DE, INC.(b) | 1,086,393 | 1,084,498 | |||||||||||||
27,899 | CASA SYSTEMS, INC.(b) | 118,362 | 116,060 | |||||||||||||
319,608 | CELESTICA, INC.(b)(d) | 2,835,434 | 2,182,923 | |||||||||||||
66,820 | COHU, INC. | 996,412 | 1,158,659 | |||||||||||||
13,989 | COMMUNICATIONS SYSTEMS, INC. | 70,270 | 70,924 | |||||||||||||
76,273 | DSP GROUP, INC.(b) | 955,279 | 1,211,215 | |||||||||||||
11,359 | EURONET WORLDWIDE, INC.(b) | 653,866 | 1,088,419 | |||||||||||||
9,722 | EVERBRIDGE, INC.(b) | 902,972 | 1,345,136 | |||||||||||||
68,981 | EVO PAYMENTS, INC., CLASS A(b) | 1,510,616 | 1,574,836 | |||||||||||||
26,150 | FARO TECHNOLOGIES, INC.(b) | 1,266,390 | 1,401,640 | |||||||||||||
133,620 | FRANKLIN WIRELESS CORP.(b) | 287,454 | 737,582 | |||||||||||||
112,503 | FREQUENCY ELECTRONICS, INC.(b) | 1,027,519 | 985,526 | |||||||||||||
68,807 | HARMONIC, INC.(b) | 431,509 | 326,833 | |||||||||||||
52,713 | IDENTIV, INC.(b) | 251,888 | 268,836 | |||||||||||||
64,566 | IMMERSION CORP.(b) | 468,304 | 402,246 | |||||||||||||
391,593 | INFINERA CORP.(b) | 2,198,701 | 2,318,231 | |||||||||||||
4,884 | INSIGHT ENTERPRISES, INC.(b) | 192,718 | 240,293 | |||||||||||||
26,540 | JABIL, INC. | 514,184 | 851,403 | |||||||||||||
65,948 | LIMELIGHT NETWORKS, INC.(b) | 288,276 | 485,377 | |||||||||||||
16,841 | LUMENTUM HOLDINGS, INC.(b) | 844,572 | 1,371,363 | |||||||||||||
9,400 | MKS INSTRUMENTS, INC. | 741,577 | 1,064,456 | |||||||||||||
54,493 | NETGEAR, INC.(b) | 1,139,461 | 1,410,824 | |||||||||||||
25,213 | NOVANTA, INC.(b) | 1,154,259 | 2,691,992 | |||||||||||||
9,242 | OSI SYSTEMS, INC.(b) | 655,203 | 689,823 | |||||||||||||
62,742 | PERFICIENT, INC.(b) | 1,413,864 | 2,244,909 | |||||||||||||
49,570 | PFSWEB, INC.(b) | 151,459 | 331,128 |
See accompanying notes to financial statements. | 47 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Information Technology (Cont’d): | ||||||||||||||||
50,123 | PHOTRONICS, INC.(b) | $ | 542,830 | 557,869 | ||||||||||||
36,714 | PLANTRONICS, INC. | 355,561 | 538,962 | |||||||||||||
18,380 | PLEXUS CORP.(b) | 986,771 | 1,296,893 | |||||||||||||
65,846 | SCANSOURCE, INC.(b) | 2,514,326 | 1,586,230 | |||||||||||||
460,298 | SERVICESOURCE INTERNATIONAL, INC.(b) | 476,570 | 727,271 | |||||||||||||
133,685 | STEEL CONNECT, INC.(b) | 119,447 | 80,224 | |||||||||||||
35,245 | SUPER MICRO COMPUTER, INC.(b) | 708,392 | 1,000,606 | |||||||||||||
7,325 | SYKES ENTERPRISES, INC.(b) | 200,307 | 202,610 | |||||||||||||
18,935 | SYNNEX CORP. | 1,471,691 | 2,267,845 | |||||||||||||
159,105 | UNISYS CORP.(b) | 1,675,016 | 1,735,836 | |||||||||||||
3,927 | UPLAND SOFTWARE, INC.(b) | 113,377 | 136,503 | |||||||||||||
108,812 | VERRA MOBILITY CORP.(b) | 1,242,821 | 1,118,587 | |||||||||||||
31,107 | VIRTUSA CORP.(b) | 1,187,681 | 1,010,044 | |||||||||||||
32,529 | WNS HOLDINGS LTD. ADR(b)(d)(e) | 1,563,847 | 1,788,444 | |||||||||||||
149,400 | XPERI HOLDING CORP. | 2,406,343 | 2,205,144 | |||||||||||||
43,364,517 | 48,899,088 | 14.55 | % | |||||||||||||
Materials: | ||||||||||||||||
46,800 | AXALTA COATING SYSTEMS LTD.(b) | 715,685 | 1,055,340 | |||||||||||||
40,700 | H.B. FULLER CO. | 2,166,492 | 1,815,220 | |||||||||||||
43,778 | INGEVITY CORP.(b) | 2,520,479 | 2,301,409 | |||||||||||||
89,193 | OLIN CORP. | 1,542,645 | 1,024,828 | |||||||||||||
55,768 | ORION ENGINEERED CARBONS S.A.(d) | 403,980 | 590,583 | |||||||||||||
17,160 | RELIANCE STEEL & ALUMINUM CO. | 1,329,093 | 1,628,999 | |||||||||||||
55,800 | SCHWEITZER-MAUDUIT INTERNATIONAL, INC. | 2,185,718 | 1,864,278 | |||||||||||||
23,814 | SYNALLOY CORP.(b) | 179,319 | 178,129 | |||||||||||||
27,852 | TREDEGAR CORP. | 463,198 | 428,921 | |||||||||||||
11,506,609 | 10,887,707 | 3.24 | % | |||||||||||||
Real Estate: | ||||||||||||||||
26,424 | ALPINE INCOME PROPERTY TRUST, INC. | 446,174 | 429,654 | |||||||||||||
45,103 | BLUEROCK RESIDENTIAL GROWTH REIT, INC. | 352,478 | 364,432 | |||||||||||||
2,215 | CIM COMMERCIAL TRUST CORP. | 21,013 | 23,878 | |||||||||||||
2,333 | COMMUNITY HEALTHCARE TRUST, INC. | 60,749 | 95,420 | |||||||||||||
145,351 | DIAMONDROCK HOSPITALITY CO. | 1,093,453 | 803,791 | |||||||||||||
96,509 | ESSENTIAL PROPERTIES REALTY TRUST, INC. | 1,569,516 | 1,432,194 | |||||||||||||
47,489 | GLOBAL MEDICAL REIT, INC. | 461,442 | 538,050 | |||||||||||||
245,862 | INDEPENDENCE REALTY TRUST, INC. | 2,745,963 | 2,824,954 | |||||||||||||
17,877 | INNOVATIVE INDUSTRIAL PROPERTIES, INC. | 1,674,863 | 1,573,534 | |||||||||||||
48,186 | ISTAR, INC. | 467,681 | 593,652 | |||||||||||||
47,940 | MARCUS & MILLICHAP, INC.(b) | 1,328,918 | 1,383,548 | |||||||||||||
29,140 | NEXPOINT RESIDENTIAL TRUST, INC. | 801,437 | 1,030,099 | |||||||||||||
95,731 | PHYSICIANS REALTY TRUST | 1,533,677 | 1,677,207 | |||||||||||||
139,094 | PLYMOUTH INDUSTRIAL REIT, INC. | 2,161,275 | 1,780,403 | |||||||||||||
16,825 | QTS REALTY TRUST, INC., CLASS A | 796,401 | 1,078,314 | |||||||||||||
63,291 | RAFAEL HOLDINGS, INC., CLASS B(b) | 1,168,269 | 909,492 | |||||||||||||
69,283 | REALOGY HOLDINGS CORP. | 1,827,617 | 513,387 | |||||||||||||
68,608 | STRATUS PROPERTIES, INC.(b) | 1,878,085 | 1,359,124 | |||||||||||||
7,049 | TEJON RANCH CO.(b) | 93,119 | 101,506 | |||||||||||||
45,988 | UMH PROPERTIES, INC. | 547,111 | 594,625 | |||||||||||||
15,144 | URBAN EDGE PROPERTIES | 148,337 | 179,759 | |||||||||||||
21,177,578 | 19,287,023 | 5.74 | % | |||||||||||||
Utilities: | ||||||||||||||||
20,302 | ALLETE, INC. | 1,050,355 | 1,108,692 | |||||||||||||
161,054 | PURE CYCLE CORP.(b) | 1,153,742 | 1,480,086 | |||||||||||||
31,421 | SJW GROUP | 1,943,271 | 1,951,558 | |||||||||||||
20,981 | SPIRE, INC. | 1,273,420 | 1,378,662 | |||||||||||||
5,420,788 | 5,918,998 | 1.76 | % | |||||||||||||
Sub-total Common Stocks: | 331,820,812 | 324,986,415 | 96.69 | % | ||||||||||||
Convertible Bonds: | ||||||||||||||||
Health Care: | ||||||||||||||||
578,000 | INVACARE CORP., 4.50%, 6/1/22 | 515,910 | 488,410 | |||||||||||||
515,910 | 488,410 | 0.14 | % | |||||||||||||
Sub-total Convertible Bonds: | 515,910 | 488,410 | 0.14 | % | ||||||||||||
Convertible Preferred Stocks: | ||||||||||||||||
Real Estate: | ||||||||||||||||
9,141 | WHEELER REAL ESTATE INVESTMENT TRUST, INC.(b) | 85,169 | 64,444 |
See accompanying notes to financial statements. | 48 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Real Estate (Cont’d): | ||||||||||||||||
17,641 | WHEELER REAL ESTATE INVESTMENT TRUST, INC. (Step to 10.75% on 9/21/2023), 8.75%(b)(f) | $ | 220,408 | 189,817 | ||||||||||||
305,577 | 254,261 | 0.08 | % | |||||||||||||
Sub-total Convertible Preferred Stocks: | 305,577 | 254,261 | 0.08 | % | ||||||||||||
Master Limited Partnerships: | ||||||||||||||||
Industrials: | ||||||||||||||||
49,874 | STEEL PARTNERS HOLDINGS L.P.(b) | 613,881 | 262,836 | |||||||||||||
613,881 | 262,836 | 0.08 | % | |||||||||||||
Sub-total Master Limited Partnerships: | 613,881 | 262,836 | 0.08 | % | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Industrials: | ||||||||||||||||
147,521 | STEEL PARTNERS HOLDINGS L.P., 6.00% | 2,356,403 | 2,397,218 | |||||||||||||
2,356,403 | 2,397,218 | 0.71 | % | |||||||||||||
Sub-total Preferred Stocks: | 2,356,403 | 2,397,218 | 0.71 | % | ||||||||||||
Rights: | ||||||||||||||||
Communication Services: | ||||||||||||||||
55,700 | MEDIA GENERAL, INC. (CONTINGENT VALUE RIGHTS)(b)(g) | - | - | |||||||||||||
- | - | 0.00 | % | |||||||||||||
Sub-total Rights: | - | - | 0.00 | % | ||||||||||||
Warrants: | ||||||||||||||||
Health Care: | ||||||||||||||||
19,977 | NANOVIBRONIX, INC.(b)(g) | 200 | - | |||||||||||||
200 | - | 0.00 | % | |||||||||||||
Sub-total Warrants: | 200 | - | 0.00 | % | ||||||||||||
Short-Term Investments: | ||||||||||||||||
5,133,834 | FIDELITY INVESTMENTS MONEY MARKET GOVERNMENT PORTFOLIO(h) | 5,133,834 | 5,133,834 | |||||||||||||
8,714,196 | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.13%(i) | 8,714,196 | 8,714,196 | |||||||||||||
Sub-total Short-Term Investments: | 13,848,030 | 13,848,030 | 4.12 | % | ||||||||||||
Grand total | $ | 349,460,813 | 342,237,170 | 101.82 | % |
Notes to Schedule of Investments:
(a) | Investments are valued in accordance with procedures described in Note 2 to the financial statements. |
(b) | Non-income producing assets. |
(c) | Security is either wholly or partially on loan. |
(d) | Foreign security values are stated in U.S. dollars. As of June 30, 2020, the value of foreign stocks or depositary receipts of companies based outside of the United States represented 4.23% of net assets. |
(e) | Securities are American Depositary Receipts of companies based outside of the United States representing 0.53% of net assets as of June 30, 2020. |
(f) | For step bonds, the coupon rate disclosed is the current rate in effect. |
(g) | Security has been deemed worthless and is a Level 3 investment. |
(h) | Investment relates to cash collateral received from portfolio securities loaned. |
(i) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2019, the value of the Clearwater Small Companies Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $9,691,925 with net sales of $977,729 during the six months ended June 30, 2020. |
See accompanying notes to financial statements. | 49 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Small Companies Fund
June 30, 2020 (unaudited)
Clearwater Small Companies Fund Portfolio Diversification
(as a percentage of net assets)
See accompanying notes to financial statements. | 50 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Closed-End Funds: | |||||||||||||||||||
171,824 | BLACKROCK LONG-TERM MUNICIPAL ADVANTAGE TRUST | $ | 1,701,436 | 2,036,114 | |||||||||||||||
54,180 | BLACKROCK MUNICIPAL INCOME QUALITY TRUST | 739,165 | 742,266 | ||||||||||||||||
17,900 | BLACKROCK MUNIENHANCED FUND INC | 188,128 | 196,184 | ||||||||||||||||
58,171 | BLACKROCK MUNIHOLDINGS FUND II INC | 822,153 | 833,590 | ||||||||||||||||
91,327 | BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND | 1,010,095 | 1,180,858 | ||||||||||||||||
46,838 | BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND INC | 651,076 | 627,161 | ||||||||||||||||
83,977 | BLACKROCK MUNIHOLDINGS QUALITY FUND II INC | 1,060,121 | 1,040,475 | ||||||||||||||||
74,300 | BLACKROCK MUNIHOLDINGS QUALITY FUND INC | 956,132 | 902,002 | ||||||||||||||||
55,111 | BLACKROCK MUNIYIELD INVESTMENT QUALITY FUND | 701,111 | 714,790 | ||||||||||||||||
157,958 | BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND INC | 2,064,776 | 2,141,910 | ||||||||||||||||
51,700 | BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND | 729,423 | 701,569 | ||||||||||||||||
102,096 | BLACKROCK MUNIYIELD QUALITY FUND II INC | 1,309,732 | 1,303,766 | ||||||||||||||||
118,472 | BLACKROCK MUNIYIELD QUALITY FUND III INC | 1,572,465 | 1,542,505 | ||||||||||||||||
42,549 | BNY MELLON STRATEGIC MUNICIPAL BOND FUND INC | 298,824 | 308,055 | ||||||||||||||||
177,634 | DWS MUNICIPAL INCOME TRUST | 2,001,406 | 1,918,447 | ||||||||||||||||
5,000 | EATON VANCE MUNICIPAL BOND FUND | 66,580 | 63,600 | ||||||||||||||||
178,050 | INVESCO ADVANTAGE MUNICIPAL INCOME TRUST II | 1,980,152 | 1,862,403 | ||||||||||||||||
149,405 | INVESCO MUNICIPAL OPPORTUNITY TRUST | 1,830,751 | 1,771,943 | ||||||||||||||||
101,614 | INVESCO MUNICIPAL TRUST | 1,262,363 | 1,194,981 | ||||||||||||||||
144,886 | INVESCO QUALITY MUNICIPAL INCOME TRUST | 1,749,794 | 1,727,041 | ||||||||||||||||
65,173 | INVESCO TRUST FOR INVESTMENT GRADE MUNICIPALS | 835,200 | 784,683 | ||||||||||||||||
21,234 | INVESCO VALUE MUNICIPAL INCOME TRUST | 270,068 | 306,831 | ||||||||||||||||
83,434 | NUVEEN AMT-FREE MUNICIPAL CREDIT INCOME FUND | 1,220,326 | 1,274,872 | ||||||||||||||||
300,875 | NUVEEN AMT-FREE QUALITY MUNICIPAL INCOME FUND | 4,065,667 | 4,182,163 | ||||||||||||||||
15,963 | NUVEEN MICHIGAN QUALITY MUNICIPAL INCOME FUND | 214,604 | 218,374 | ||||||||||||||||
52,779 | NUVEEN PENNSYLVANIA QUALITY MUNICIPAL INCOME FUND | 723,142 | 716,211 | ||||||||||||||||
234,784 | NUVEEN QUALITY MUNICIPAL INCOME FUND | 3,323,368 | 3,291,672 | ||||||||||||||||
28,000 | PUTNAM MUNICIPAL OPPORTUNITIES TRUST | 371,050 | 357,840 | ||||||||||||||||
Sub-total Closed-End Funds: | 33,719,108 | 33,942,306 | 5.78 | % | |||||||||||||||
Municipal Bonds: | |||||||||||||||||||
Alabama | |||||||||||||||||||
1,000,000 | PELL CITY AL SPL CARE FACS FING AUTH REVENUE | 12/1/2031 | 5.00 | 1,015,990 | 1,044,640 | ||||||||||||||
1,015,990 | 1,044,640 | 0.18 | % | ||||||||||||||||
Alaska | |||||||||||||||||||
50,000 | ALASKA ST HSG FIN CORP MTGE REVENUE | 12/1/2037 | 4.13 | 49,234 | 50,000 | ||||||||||||||
1,000,000 | ALASKA ST HSG FIN CORP MTGE REVENUE | 12/1/2040 | 3.75 | 1,072,428 | 1,081,630 | ||||||||||||||
350,000 | ALASKA ST INDL DEV & EXPORT AUTH CMNTY PROVIDER REVENUE(b) | 12/1/2010 | 5.40 | 350,000 | 17,500 | ||||||||||||||
1,471,662 | 1,149,130 | 0.20 | % | ||||||||||||||||
Arizona | |||||||||||||||||||
500,000 | ARIZONA ST INDL DEV AUTH EDU REVENUE(c) | 7/15/2038 | 5.75 | 520,636 | 548,470 | ||||||||||||||
1,000,000 | ARIZONA ST INDL DEV AUTH MF HSG REVENUE | 1/1/2038 | 5.38 | 1,000,000 | 914,640 | ||||||||||||||
700,000 | GLENDALE AZ INDL DEV AUTH | 11/15/2036 | 5.00 | 722,943 | 704,676 | ||||||||||||||
550,000 | GLENDALE AZ INDL DEV AUTH | 11/15/2046 | 5.25 | 557,394 | 505,192 | ||||||||||||||
800,000 | MARICOPA CNTY AZ INDL DEV AUTH EDU REVENUE | 7/1/2035 | 5.00 | 839,276 | 810,736 | ||||||||||||||
870,000 | MARICOPA CNTY AZ INDL DEV AUTH EDU REVENUE(c) | 7/1/2052 | 6.00 | 917,896 | 964,847 | ||||||||||||||
750,000 | MARICOPA CNTY AZ INDL DEV AUTH SENIOR LIVING FACS REVENUE(c) | 1/1/2036 | 5.75 | 742,366 | 737,925 | ||||||||||||||
500,000 | NAVAJO NATION AZ(c) | 12/1/2030 | 5.50 | 522,087 | 538,180 | ||||||||||||||
1,000,000 | PEORIA AZ INDL DEV AUTH | 11/15/2029 | 5.25 | 1,000,000 | 939,260 | ||||||||||||||
1,000,000 | PHOENIX AZ INDL DEV AUTH EDU REVENUE(c) | 7/1/2036 | 5.13 | 986,510 | 1,034,660 | ||||||||||||||
2,500,000 | PHOENIX AZ INDL DEV AUTH LEASE REVENUE | 6/1/2034 | 5.25 | 2,511,283 | 2,622,350 | ||||||||||||||
800,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE(c) | 12/1/2026 | 5.25 | 800,000 | 816,824 | ||||||||||||||
10,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE | 7/1/2031 | 6.75 | 7,960 | 10,088 | ||||||||||||||
1,370,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE(c) | 6/15/2035 | 5.38 | 1,450,623 | 1,410,401 |
See accompanying notes to financial statements. | 51 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Arizona (Cont’d): | |||||||||||||||||||
750,000 | PIMA CNTY AZ INDL DEV AUTH EDU REVENUE(c) | 6/15/2037 | 4.75 | $ | 737,132 | 734,588 | |||||||||||||
815,000 | QUECHAN INDIAN TRIBE AZ FORT YUMA INDIAN RESERVATION | 5/1/2025 | 9.75 | 815,000 | 864,356 | ||||||||||||||
500,000 | TEMPE AZ INDL DEV AUTH REVENUE(c) | 10/1/2024 | 4.70 | 499,024 | 497,495 | ||||||||||||||
500,000 | TEMPE AZ INDL DEV AUTH REVENUE(c) | 10/1/2037 | 6.00 | 502,579 | 505,795 | ||||||||||||||
15,132,709 | 15,160,483 | 2.58 | % | ||||||||||||||||
Arkansas | |||||||||||||||||||
525,000 | SHERIDAN AR SCH DIST #37 | 2/1/2047 | 4.00 | 530,541 | 539,123 | ||||||||||||||
1,000,000 | SPRINGDALE AR SALES & USE REVENUE | 4/1/2041 | 3.60 | 972,834 | 1,030,680 | ||||||||||||||
1,503,375 | 1,569,803 | 0.27 | % | ||||||||||||||||
California | |||||||||||||||||||
2,350,000 | ACALANES CA UNION HIGH SCH DIST (Step to 6.55% on 8/1/2024)(d) | 8/1/2039 | 0.00 | 1,808,531 | 2,642,246 | ||||||||||||||
1,000,000 | ALVORD CA UNIF SCH DIST | 8/1/2036 | 5.25 | 1,011,306 | 1,125,650 | ||||||||||||||
1,000,000 | ALVORD CA UNIF SCH DIST (Step to 7.35% on 8/1/2026)(d) | 8/1/2046 | 0.00 | 647,634 | 1,291,730 | ||||||||||||||
500,000 | CALIFORNIA ST HLTH FACS FING AUTH REVENUE | 8/15/2033 | 5.50 | 501,448 | 524,280 | ||||||||||||||
1,500,000 | CALIFORNIA ST SCH FACS FING AUTH REVENUE | 8/1/2029 | 6.00 | 1,491,227 | 1,938,735 | ||||||||||||||
750,000 | CALIFORNIA ST STWD CMNTYS DEV AUTH REVENUE | 10/1/2042 | 6.00 | 775,420 | 783,030 | ||||||||||||||
1,000,000 | CARLSBAD CA UNIF SCH DIST (Step to 6.13% on 8/1/2021)(d) | 8/1/2031 | 0.00 | 934,731 | 1,342,020 | ||||||||||||||
1,500,000 | CLOVIS CA UNIF SCH DIST(e) | 8/1/2030 | 0.00 | 816,720 | 969,210 | ||||||||||||||
1,000,000 | COLTON CA JT UNIF SCH DIST (Step to 5.80% on 8/1/2021)(d) | 8/1/2035 | 0.00 | 939,932 | 1,191,200 | ||||||||||||||
1,105,000 | CORONA-NORCO CA UNIF SCH DIST | 8/1/2039 | 6.80 | 1,103,917 | 1,539,287 | ||||||||||||||
750,000 | EL PASO DE ROBLES CA REDEV AGY TAX ALLOCATION REVENUE | 7/1/2033 | 6.38 | 743,756 | 753,308 | ||||||||||||||
1,000,000 | ENCINITAS CA UNION SCH DIST (Step to 6.75% on 8/1/2022)(d) | 8/1/2035 | 0.00 | 870,787 | 1,386,050 | ||||||||||||||
1,155,000 | ENTERPRISE CA ELEM SCH DIST (Step to 6.20% on 8/1/2021)(d) | 8/1/2035 | 0.00 | 1,081,063 | 1,589,014 | ||||||||||||||
600,000 | ESCONDIDO CA SPL TAX | 9/1/2036 | 5.00 | 631,176 | 707,100 | ||||||||||||||
1,500,000 | HARTNELL CA CMNTY CLG DIST (Step to 7.00% on 8/1/2022)(d) | 8/1/2034 | 0.00 | 1,299,676 | 1,829,865 | ||||||||||||||
3,500,000 | HEALDSBURG CA UNIF SCH DIST (Step to 4.60% on 8/1/2022)(d) | 8/1/2037 | 0.00 | 3,180,628 | 3,701,530 | ||||||||||||||
1,000,000 | HELENDALE CA SCH DIST | 8/1/2034 | 6.25 | 998,894 | 1,397,850 | ||||||||||||||
1,000,000 | IMPERIAL CA CMNTY CLG DIST | 8/1/2040 | 6.75 | 1,007,003 | 1,308,450 | ||||||||||||||
750,000 | MARTINEZ CA UNIF SCH DIST | 8/1/2035 | 6.13 | 747,572 | 924,638 | ||||||||||||||
2,000,000 | OAK PARK CA UNIF SCH DIST (Step to 7.10% on 8/1/2021)(d) | 8/1/2038 | 0.00 | 1,855,324 | 2,819,420 | ||||||||||||||
2,625,000 | PITTSBURG CALIF UNI SCH DIST FING AUTH REVENUE(e) | 9/1/2031 | 0.00 | 1,308,056 | 1,274,122 | ||||||||||||||
1,000,000 | REDONDO BEACH CA UNIF SCH DIST | 8/1/2034 | 6.38 | 997,365 | 1,304,240 | ||||||||||||||
750,000 | REEF-SUNSET CA UNIF SCH DIST (Step to 4.85% on 8/1/2021)(d) | 8/1/2038 | 0.00 | 712,057 | 823,688 | ||||||||||||||
1,000,000 | RIVERSIDE CA CMNTY PPTYS DEV INC LEASE REVENUE | 10/15/2038 | 6.00 | 1,010,662 | 1,179,390 | ||||||||||||||
1,500,000 | S TAHOE CA JT PWRS FING AUTH LEASE REVENUE | 10/1/2030 | 5.00 | 1,578,439 | 1,732,950 | ||||||||||||||
350,000 | SACRAMENTO CNTY CA WTR FING AUTH REVENUE (Floating, ICE LIBOR USD 3M + 0.57%)(f) | 6/1/2039 | 0.81 | 350,000 | 304,010 | ||||||||||||||
500,000 | SAN DIEGO CA HSG AUTH MF HSG REVENUE | 5/1/2029 | 5.00 | 500,000 | 514,835 | ||||||||||||||
1,500,000 | SAN GABRIEL CA UNIF SCH DIST | 8/1/2039 | 5.35 | 1,496,052 | 1,629,585 | ||||||||||||||
1,000,000 | SAN JOSE CA FING AUTH | 6/1/2039 | 5.00 | 1,023,952 | 1,081,390 | ||||||||||||||
500,000 | SANTA MONICA CA REDEV AGY | 7/1/2036 | 5.88 | 502,713 | 520,865 | ||||||||||||||
2,250,000 | SULPHUR SPRINGS CA UNION SCH DIST COPS | 12/1/2037 | 6.50 | 2,248,382 | 2,804,946 | ||||||||||||||
1,500,000 | SUTTER BUTTE CA FLOOD AGY ASSMNT REVENUE | 10/1/2038 | 4.00 | 1,484,597 | 1,603,560 | ||||||||||||||
1,000,000 | TRACY CA JT UNIF SCH DIST (Step to 7.30% on 8/1/2027)(d) | 8/1/2041 | 0.00 | 695,808 | 1,067,670 |
See accompanying notes to financial statements. | 52 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
California (Cont’d): | |||||||||||||||||||
1,250,000 | TUSTIN CA UNIF SCH DIST | 8/1/2028 | 6.00 | $ | 1,245,964 | 1,326,650 | |||||||||||||
37,600,792 | 46,932,514 | 8.00 | % | ||||||||||||||||
Colorado | |||||||||||||||||||
500,000 | 9TH AVENUE MET DIST #2 CO | 12/1/2048 | 5.00 | 500,000 | 508,810 | ||||||||||||||
1,000,000 | AEROTROPOLIS REGL TRANPRTN AUTH CO SPL REVENUE | 12/1/2051 | 5.00 | 1,014,707 | 1,001,040 | ||||||||||||||
750,000 | BROADWAY STATION MET DIST #2 CO | 12/1/2048 | 5.13 | 750,000 | 736,958 | ||||||||||||||
1,000,000 | BROADWAY STATION MET DIST #3 CO | 12/1/2049 | 5.00 | 1,023,185 | 956,880 | ||||||||||||||
650,000 | BUFFALO HIGHLANDS MET DIST | 12/1/2038 | 5.25 | 651,719 | 652,197 | ||||||||||||||
500,000 | COLORADO SCIENCE AND TECH PARK MET DIST #1 | 12/1/2033 | 5.00 | 505,956 | 509,250 | ||||||||||||||
1,000,000 | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE | 7/1/2034 | 5.60 | 995,141 | 1,003,580 | ||||||||||||||
1,000,000 | COLORADO ST EDUCTNL & CULTURAL FACS AUTH REVENUE(c) | 9/1/2046 | 5.00 | 1,003,367 | 974,300 | ||||||||||||||
1,250,000 | COLORADO ST HLTH FACS AUTH HOSP REVENUE | 12/1/2048 | 5.00 | 1,308,445 | 1,344,612 | ||||||||||||||
1,000,000 | COLORADO ST HLTH FACS AUTH REVENUE | 8/1/2033 | 7.63 | 989,747 | 1,051,590 | ||||||||||||||
650,000 | COPPER RIDGE MET DIST CO TAX INCR & SALES TAX SUPPORTED REVENUE | 12/1/2043 | 5.00 | 668,902 | 575,205 | ||||||||||||||
500,000 | COPPERLEAF CO MET DIST #2 | 12/1/2030 | 5.25 | 500,000 | 512,995 | ||||||||||||||
500,000 | COPPERLEAF CO MET DIST #2 | 12/1/2045 | 5.75 | 500,000 | 509,415 | ||||||||||||||
750,000 | COPPERLEAF CO MET DIST #4 | 12/1/2049 | 5.00 | 780,966 | 727,635 | ||||||||||||||
1,000,000 | CREEKWALK MARKETPLACE BUSINESS IMPT DIST CO(c) | 12/1/2039 | 5.50 | 1,000,000 | 987,040 | ||||||||||||||
750,000 | CRYSTAL CO CROSSING MET DIST | 12/1/2040 | 5.25 | 750,000 | 761,272 | ||||||||||||||
1,000,000 | DENVER CO URBAN RENEWAL AUTH TAX INCR REVENUE(c) | 12/1/2039 | 5.25 | 985,572 | 1,005,360 | ||||||||||||||
1,000,000 | DIATC MET DIST CO(c) | 12/1/2049 | 5.00 | 1,062,079 | 1,002,320 | ||||||||||||||
1,000,000 | DOUGLAS CNTY CO MF REVENUE | 10/1/2029 | 4.50 | 1,000,000 | 1,034,210 | ||||||||||||||
500,000 | HASKINS STATION CO MET DIST | 12/1/2039 | 5.00 | 516,536 | 499,705 | ||||||||||||||
500,000 | HUNTERS OVERLOOK METRO DIST #5 CO | 12/1/2049 | 5.00 | 527,340 | 502,355 | ||||||||||||||
710,000 | IRON MOUNTAIN MET DIST #2 CO | 12/1/2049 | 5.00 | 723,854 | 697,092 | ||||||||||||||
1,000,000 | LAMBERTSON FARMS CO MET DIST #1 REVENUE | 12/15/2025 | 5.00 | 991,140 | 892,620 | ||||||||||||||
500,000 | LAMBERTSON FARMS CO MET DIST #1 REVENUE | 12/15/2035 | 5.50 | 500,000 | 408,200 | ||||||||||||||
750,000 | LEYDEN ROCK MET DIST #10 | 12/1/2045 | 5.00 | 766,248 | 760,972 | ||||||||||||||
1,000,000 | LITTLETON VLG MET DIST #2 COLO SPL REVENUE | 12/1/2045 | 5.38 | 996,529 | 1,010,650 | ||||||||||||||
750,000 | MIRABELLE MET DIST #2 CO | 12/1/2049 | 5.00 | 793,054 | 729,698 | ||||||||||||||
583,045 | MOUNT CARBON CO MET DIST REVENUE (Step to 0.00% on 6/1/2033)(d) | 6/1/2043 | 7.00 | 583,045 | 583,045 | ||||||||||||||
200,000 | MOUNT CARBON CO MET DIST REVENUE(b) | 6/1/2043 | 8.00 | — | 44,000 | ||||||||||||||
1,000,000 | PAINTED PRAIRIE PUB IMPT AUTH CO | 12/1/2039 | 5.00 | 1,032,711 | 1,033,730 | ||||||||||||||
500,000 | PALISADE CO MET DIST #2 LIMITED TAX | 12/1/2046 | 5.00 | 510,778 | 501,350 | ||||||||||||||
1,000,000 | PROMENADE CASTLE ROCK CO MET DIST #1 | 12/1/2025 | 5.13 | 1,000,000 | 1,036,270 | ||||||||||||||
500,000 | ST VRAIN LAKES MET DIST #2 | 12/1/2037 | 5.00 | 500,000 | 504,245 | ||||||||||||||
1,000,000 | STC MET DIST #2 CO | 12/1/2049 | 5.00 | 1,055,952 | 982,680 | ||||||||||||||
500,000 | TALLMAN GULCH MET DIST CO | 12/1/2047 | 5.25 | 500,000 | 503,015 | ||||||||||||||
1,000,000 | THOMPSON CROSSING MET DIST #4 CO | 12/1/2049 | 5.00 | 1,053,191 | 1,001,120 | ||||||||||||||
700,000 | VAUXMONT MET DIST CO | 12/15/2050 | 3.25 | 700,000 | 741,237 | ||||||||||||||
500,000 | VELOCITY MET DIST #3 CO | 12/1/2039 | 5.38 | 500,000 | 511,570 | ||||||||||||||
1,000,000 | WINDSHIRE PARK CO MET DIST #2 | 12/1/2047 | 6.50 | 1,079,120 | 1,053,280 | ||||||||||||||
30,319,284 | 29,851,503 | 5.09 | % | ||||||||||||||||
Connecticut | |||||||||||||||||||
1,000,000 | CONNECTICUT ST HSG FIN AUTH HSG FIN MTGE PROGRAM | 11/15/2035 | 3.88 | 1,000,000 | 1,101,930 | ||||||||||||||
515,000 | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | 5/15/2038 | 3.95 | 515,000 | 541,245 | ||||||||||||||
2,000,000 | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | 5/15/2045 | 3.85 | 2,059,448 | 2,073,060 | ||||||||||||||
5,000,000 | CONNECTICUT ST HSG FIN AUTH HSG MTGE FIN PROGRAM | 11/15/2047 | 3.65 | 5,000,000 | 5,075,050 |
See accompanying notes to financial statements. | 53 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Connecticut (Cont’d): | |||||||||||||||||||
580,434 | MASHANTUCKET WSTRN PEQUOT TRIBE CT | 7/1/2031 | 6.05 | $ | 594,687 | 37,728 | |||||||||||||
9,169,135 | 8,829,013 | 1.50 | % | ||||||||||||||||
District of Columbia | |||||||||||||||||||
500,000 | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | 7/1/2033 | 5.45 | 500,000 | 517,165 | ||||||||||||||
1,000,000 | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | 6/1/2040 | 4.90 | 1,000,000 | 1,046,960 | ||||||||||||||
1,000,000 | DIST OF COLUMBIA HSG FIN AGY MF HSG REVENUE | 6/1/2041 | 5.00 | 1,000,000 | 1,046,340 | ||||||||||||||
665,000 | DIST OF COLUMBIA REVENUE | 7/1/2027 | 4.13 | 616,081 | 636,678 | ||||||||||||||
1,250,000 | DIST OF COLUMBIA REVENUE | 7/1/2042 | 5.00 | 1,094,173 | 1,136,712 | ||||||||||||||
1,000,000 | DISTRICT OF COLUMBIA HSG FIN AGY | 9/1/2043 | 4.05 | 1,000,000 | 1,104,630 | ||||||||||||||
5,210,254 | 5,488,485 | 0.93 | % | ||||||||||||||||
Florida | |||||||||||||||||||
1,000,000 | ALACHUA CNTY FL HLTH FACS AUTH CCRC | 10/1/2032 | 8.00 | 1,067,208 | 1,106,330 | ||||||||||||||
500,000 | ALTA LAKES CMNTY DEV DIST FL SPL ASSMNT | 5/1/2039 | 4.40 | 497,445 | 502,885 | ||||||||||||||
395,000 | ASTURIA FL CMNTY DEV DIST SPL ASSMNT | 5/1/2034 | 5.75 | 395,000 | 412,534 | ||||||||||||||
1,265,000 | BAY CNTY FL EDUCTNL FACS REVENUE | 9/1/2030 | 5.25 | 1,182,256 | 1,271,704 | ||||||||||||||
1,000,000 | BELLALAGO FL EDUCTNL FACS BENEFIT DIST CAPITAL IMPT REVENUE | 5/1/2030 | 4.38 | 987,782 | 1,118,860 | ||||||||||||||
500,000 | BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE | 5/1/2035 | 6.25 | 500,000 | 546,625 | ||||||||||||||
190,000 | BLACKBURN CREEK CMNTY DEV DISTFL CAP IMPT REVENUE | 5/1/2045 | 6.25 | 190,000 | 205,983 | ||||||||||||||
1,370,000 | CAPITAL TRUST AGY FL CHRT SCH REVENUE | 2/1/2035 | 5.38 | 1,370,000 | 1,348,861 | ||||||||||||||
750,000 | CAPITAL TRUST AGY FL REVENUE | 4/1/2035 | 7.00 | 750,000 | 612,930 | ||||||||||||||
1,750,000 | CAPITAL TRUST AGY FL REVENUE(b)(c)(g) | 12/1/2035 | 6.75 | 1,745,953 | 962,500 | ||||||||||||||
750,000 | CAPITAL TRUST AGY FL REVENUE(b)(c)(g) | 7/1/2037 | 6.75 | 750,000 | 462,195 | ||||||||||||||
750,000 | CAPITAL TRUST AGY FL SENIOR LIVING REVENUE(c) | 8/1/2027 | 5.00 | 750,000 | 660,045 | ||||||||||||||
750,000 | CAPITAL TRUST AGY FL SENIOR LIVING REVENUE(c) | 8/1/2032 | 5.38 | 750,000 | 620,070 | ||||||||||||||
500,000 | CAPITAL TRUST AGY FL STUDENT HSG REVENUE(c) | 12/1/2043 | 5.25 | 514,350 | 485,550 | ||||||||||||||
710,000 | CELEBRATION POINTE CMNTY DEV DIST #1 FL SPL ASSMNT REVENUE(c) | 5/1/2032 | 5.00 | 714,063 | 746,551 | ||||||||||||||
750,000 | COLLIER CNTY FL INDL DEV AUTH | 10/1/2039 | 6.25 | 737,628 | 772,267 | ||||||||||||||
1,750,000 | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV(b)(c)(g) | 5/15/2044 | 8.13 | 1,913,765 | 1,312,500 | ||||||||||||||
750,000 | COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REVENUE(b)(c)(g) | 5/15/2026 | 7.25 | 750,000 | 562,500 | ||||||||||||||
1,000,000 | DAVIE FL EDUCTNL FACS REVENUE | 4/1/2042 | 6.00 | 1,011,051 | 1,146,610 | ||||||||||||||
500,000 | DOWDEN WEST CMNTY DEV DIST FL SPL ASSMNT REVENUE(c) | 5/1/2039 | 5.40 | 500,000 | 543,535 | ||||||||||||||
980,000 | ESCAMBIA CNTY FL HSG FIN AUTH SF MTGE REVENUE | 10/1/2049 | 3.75 | 980,000 | 1,055,627 | ||||||||||||||
715,000 | FISHHAWK CCD IV FL SPL ASSMNT REVENUE | 5/1/2033 | 7.00 | 715,000 | 784,755 | ||||||||||||||
1,000,000 | FLORIDA ST DEPT OF EDU CMNTY CLG CAPITAL IMPT REVENUE | 7/1/2030 | 4.38 | 1,010,000 | 1,013,400 | ||||||||||||||
1,000,000 | FLORIDA ST DEV FIN CORP EDUCTNL FACS REVENUE(c) | 6/15/2035 | 6.00 | 1,000,811 | 1,072,780 | ||||||||||||||
120,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2026 | 5.00 | 120,000 | 120,251 | ||||||||||||||
795,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2035 | 3.75 | 795,000 | 856,962 | ||||||||||||||
540,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2039 | 4.20 | 540,000 | 559,505 | ||||||||||||||
1,980,000 | FLORIDA ST HSG FIN CORP REVENUE | 1/1/2045 | 4.20 | 1,980,000 | 2,225,164 | ||||||||||||||
1,000,000 | FLORIDA ST HSG FIN CORP REVENUE | 7/1/2049 | 3.30 | 1,000,000 | 1,059,500 | ||||||||||||||
1,000,000 | FRERC CDD FL | 11/1/2040 | 5.38 | 1,000,000 | 1,003,650 | ||||||||||||||
650,000 | HARBOR BAY FL CDD CAPITAL IMPT REVENUE | 5/1/2048 | 4.10 | 645,694 | 664,066 |
See accompanying notes to financial statements. | 54 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Florida (Cont’d): | |||||||||||||||||||
800,000 | HERITAGE HARBOUR FL N CDD SPL ASSMNT | 5/1/2034 | 5.00 | $ | 800,000 | 881,064 | |||||||||||||
240,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2025 | 4.25 | 239,684 | 246,554 | ||||||||||||||
1,500,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2030 | 7.40 | 1,489,644 | 1,559,715 | ||||||||||||||
700,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2033 | 6.70 | 700,000 | 746,963 | ||||||||||||||
1,000,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2034 | 5.35 | 1,000,000 | 1,089,120 | ||||||||||||||
1,300,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2036 | 5.00 | 1,300,000 | 1,378,221 | ||||||||||||||
750,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE(c) | 5/1/2037 | 5.00 | 744,927 | 790,275 | ||||||||||||||
750,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2037 | 5.25 | 745,799 | 805,972 | ||||||||||||||
700,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2038 | 5.00 | 700,000 | 729,372 | ||||||||||||||
1,000,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2039 | 5.30 | 1,000,000 | 1,068,220 | ||||||||||||||
630,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2049 | 4.00 | 626,749 | 610,048 | ||||||||||||||
490,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2049 | 4.50 | 482,974 | 502,069 | ||||||||||||||
940,000 | LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE | 5/1/2050 | 4.00 | 925,457 | 909,704 | ||||||||||||||
465,000 | LEXINGTON OAKS FL CDD SPL ASSMNT REVENUE | 5/1/2033 | 5.65 | 465,000 | 479,224 | ||||||||||||||
315,000 | LONG LAKE RANCH CMNTY DEV DIST FLA CAP IMPT REVENUE | 5/1/2024 | 5.63 | 315,000 | 324,419 | ||||||||||||||
500,000 | LT RANCH CDD FL CAPITAL IMPT REVENUE | 5/1/2040 | 4.00 | 506,072 | 497,265 | ||||||||||||||
250,000 | MAGNOLIA CREEK FL CDD CAPITAL IMPT REVENUE(b) | 5/1/2014 | 5.60 | 250,000 | 45,000 | ||||||||||||||
500,000 | MANATEE CNTY FL SCH BRD COPS | 7/1/2031 | 5.63 | 496,938 | 526,440 | ||||||||||||||
735,000 | MARSHALL CREEK FL CDD SPL ASSMNT | 5/1/2032 | 5.00 | 746,002 | 758,248 | ||||||||||||||
500,000 | MIAMI BEACH FL HLTH FACS AUTH | 11/15/2044 | 5.00 | 528,493 | 536,760 | ||||||||||||||
135,000 | MIAMI-DADE CNTY FL HLTH FACS AUTH HOSP REVENUE | 8/1/2030 | 6.00 | 131,055 | 135,504 | ||||||||||||||
300,000 | N SPRINGS FL IMPT DIST | 5/1/2027 | 6.00 | 300,000 | 322,833 | ||||||||||||||
115,000 | NEW RIVER FL CDD CAPITAL IMPT REVENUE(b) | 5/1/2013 | 5.00 | 114,821 | 1 | ||||||||||||||
500,000 | NORTH SPRINGS FL IMPT DIST | 5/1/2044 | 6.50 | 500,000 | 532,865 | ||||||||||||||
1,400,000 | NTHRN PALM BEACH CNTY FL IMPT DIST | 8/1/2029 | 5.00 | 1,405,749 | 1,499,120 | ||||||||||||||
500,000 | NTHRN PALM BEACH CNTY FL IMPT DIST | 8/1/2037 | 5.00 | 508,929 | 544,220 | ||||||||||||||
1,000,000 | ORANGE CNTY FL HLTH FACS AUTH REVENUE | 8/1/2034 | 5.00 | 1,030,857 | 1,046,470 | ||||||||||||||
750,000 | ORANGE CNTY FL HLTH FACS AUTH REVENUE | 8/1/2035 | 5.00 | 774,416 | 790,852 | ||||||||||||||
1,000,000 | ORANGE CNTY FL HLTH FACS AUTH REVENUE | 8/1/2047 | 5.00 | 1,061,904 | 1,042,500 | ||||||||||||||
560,000 | ORANGE CNTY FL HSG FIN AUTH | 9/1/2035 | 3.80 | 560,000 | 597,946 | ||||||||||||||
500,000 | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | 6/1/2034 | 7.25 | 500,000 | 533,150 | ||||||||||||||
1,200,000 | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | 5/15/2036 | 5.00 | 1,292,148 | 1,223,760 | ||||||||||||||
1,000,000 | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | 6/1/2049 | 7.50 | 1,044,257 | 1,063,410 | ||||||||||||||
1,935,000 | PALM BEACH CNTY FL HLTH FACS AUTH REVENUE | 5/15/2053 | 4.00 | 1,784,584 | 1,591,963 | ||||||||||||||
500,000 | PARKER ROAD FL CDD CAPITAL IMPT REVENUE | 5/1/2050 | 4.10 | 498,265 | 480,925 | ||||||||||||||
500,000 | PINELLAS CNTY FL INDL DEV AUTH INDL DEV REVENUE | 7/1/2039 | 5.00 | 552,372 | 554,610 | ||||||||||||||
715,000 | POINCIANA FL W CDD SPL ASSMNT | 5/1/2030 | 5.38 | 708,223 | 755,383 | ||||||||||||||
495,000 | SEVEN OAKS FL CMNTY DEV DIST SPL ASSMNT REVENUE | 5/1/2033 | 5.50 | 486,065 | 512,241 |
See accompanying notes to financial statements. | 55 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Florida (Cont’d): | |||||||||||||||||||
165,000 | SILVERLEAF FL CDD CAPITAL IMPT REVENUE | 5/1/2044 | 6.75 | $ | 162,102 | 179,154 | |||||||||||||
142,538 | STERLING HILL FL CDD CAPITAL IMPT REVENUE(b) | 11/1/2010 | 5.50 | 142,538 | 89,799 | ||||||||||||||
1,100,000 | TALLAHASSEE FL HLTH FACS REVENUE | 12/1/2040 | 5.00 | 1,142,186 | 1,202,487 | ||||||||||||||
500,000 | TOLOMATO FL CDD | 5/1/2037 | 4.25 | 500,000 | 508,530 | ||||||||||||||
50,000 | TOLOMATO FL CDD (Step to 6.61% on 5/1/2022)(d) | 5/1/2040 | 0.00 | 49,159 | 38,193 | ||||||||||||||
185,000 | TOLOMATO FL CDD (Step to 6.61% on 11/1/2021)(d) | 5/1/2040 | 0.00 | 170,682 | 163,152 | ||||||||||||||
115,000 | TOLOMATO FL CDD (Step to 6.61% on 11/1/2024)(d) | 5/1/2040 | 0.00 | 85,075 | 78,318 | ||||||||||||||
1,490,000 | TOLOMATO FL CDD | 5/1/2040 | 3.75 | 1,433,356 | 1,669,381 | ||||||||||||||
125,000 | TOLOMATO FL CDD(b) | 5/1/2040 | 6.61 | — | 1 | ||||||||||||||
700,000 | TROUT CREEK CDD FL CAPITAL IMPT REVENUE | 5/1/2038 | 5.38 | 700,000 | 753,270 | ||||||||||||||
500,000 | TSR CDD FL SPL ASSMNT REVENUE | 11/1/2035 | 5.38 | 498,702 | 542,370 | ||||||||||||||
1,500,000 | UNIVERSITY PARK RECREATION DIST FL ON-AD VALOREM ASSMNT | 5/1/2050 | 3.50 | 1,500,000 | 1,653,240 | ||||||||||||||
1,150,000 | VLG FL CDD #7 SPL ASSMNT REVENUE | 5/1/2036 | 4.00 | 1,143,324 | 1,231,822 | ||||||||||||||
4,000 | WATERS EDGE FL CDD CAPITAL IMPT REVENUE | 5/1/2039 | 5.35 | 4,000 | 4,001 | ||||||||||||||
85,000 | WATERS EDGE FL CDD CAPITAL IMPT REVENUE | 5/1/2039 | 6.60 | 84,380 | 71,939 | ||||||||||||||
735,000 | WIREGRASS FL CDD CAPITAL IMPT REVENUE | 5/1/2035 | 5.38 | 731,227 | 777,336 | ||||||||||||||
750,000 | WYNNFIELD LAKES FL CDD | 5/1/2036 | 4.50 | 745,398 | 800,220 | ||||||||||||||
350,934 | ZEPHYR RIDGE FL CDD CAPITAL IMPT REVENUE(b) | 5/1/2013 | 5.25 | 351,276 | 154,411 | ||||||||||||||
63,622,795 | 63,446,725 | 10.81 | % | ||||||||||||||||
Georgia | |||||||||||||||||||
500,000 | ATHENS-CLARKE CNTY GA UNIF GOVT DEV AUTH REVENUE | 6/15/2039 | 5.00 | 508,783 | 554,615 | ||||||||||||||
500,000 | ATLANTA GA ARPT REVENUE | 1/1/2030 | 6.00 | 501,337 | 512,620 | ||||||||||||||
1,350,000 | COBB CNTY GA DEV AUTH(c) | 12/1/2039 | 5.00 | 1,418,481 | 1,291,734 | ||||||||||||||
845,000 | FULTON CNTY GA DEV AUTH | 11/1/2028 | 5.25 | 743,607 | 845,507 | ||||||||||||||
3,500,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2037 | 3.80 | 3,500,000 | 3,622,640 | ||||||||||||||
2,000,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2037 | 4.00 | 2,000,000 | 2,047,040 | ||||||||||||||
925,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2038 | 3.85 | 925,000 | 1,013,865 | ||||||||||||||
535,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2039 | 4.00 | 535,000 | 567,817 | ||||||||||||||
2,500,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2040 | 3.80 | 2,500,000 | 2,660,250 | ||||||||||||||
1,000,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2041 | 3.85 | 1,002,477 | 1,032,730 | ||||||||||||||
1,950,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2043 | 3.90 | 1,940,700 | 2,011,054 | ||||||||||||||
1,100,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2048 | 4.00 | 1,100,000 | 1,193,599 | ||||||||||||||
1,500,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2048 | 4.20 | 1,506,356 | 1,661,400 | ||||||||||||||
1,750,000 | GEORGIA ST HSG & FIN AUTH REVENUE | 12/1/2049 | 3.25 | 1,750,000 | 1,856,890 | ||||||||||||||
19,931,741 | 20,871,761 | 3.56 | % | ||||||||||||||||
Idaho | |||||||||||||||||||
655,000 | IDAHO ST HLTH FACS AUTH REVENUE | 10/1/2024 | 7.00 | 655,000 | 438,464 | ||||||||||||||
750,000 | IDAHO ST HLTH FACS AUTH REVENUE | 10/1/2029 | 7.38 | 743,739 | 500,370 | ||||||||||||||
1,000,000 | IDAHO ST HLTH FACS AUTH REVENUE | 10/1/2044 | 8.00 | 1,039,847 | 665,130 | ||||||||||||||
2,438,586 | 1,603,964 | 0.27 | % | ||||||||||||||||
Illinois | |||||||||||||||||||
1,195,000 | BELLWOOD IL | 12/1/2027 | 5.88 | 1,188,267 | 1,312,194 | ||||||||||||||
1,495,000 | BOLINGBROOK IL SPL SVC AREA SPL TAX | 3/1/2030 | 4.00 | 1,543,556 | 1,736,562 | ||||||||||||||
1,250,000 | BURBANK IL EDUCTNL FACS REVENUE(c) | 9/1/2035 | 6.00 | 1,260,230 | 1,326,000 |
See accompanying notes to financial statements. | 56 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Illinois (Cont’d): | |||||||||||||||||||
1,000,000 | BUREAU CNTY TWP IL HIGH SCH DIST #502 | 10/1/2043 | 6.63 | $ | 1,029,883 | 1,208,960 | |||||||||||||
1,000,000 | CHICAGO HEIGHTS IL | 12/1/2029 | 4.50 | 1,046,404 | 1,114,760 | ||||||||||||||
1,000,000 | CHICAGO IL MIDWAY ARPT REVENUE | 1/1/2035 | 5.25 | 1,000,913 | 1,077,940 | ||||||||||||||
1,000,000 | CHICAGO IL PARK DIST | 1/1/2028 | 5.00 | 1,073,538 | 1,089,040 | ||||||||||||||
750,000 | CHICAGO IL PARK DIST | 1/1/2042 | 4.00 | 772,214 | 806,640 | ||||||||||||||
637,000 | CORTLAND IL SPL TAX REVENUE(b) | 3/1/2017 | 5.50 | 633,881 | 95,550 | ||||||||||||||
500,000 | DECATUR IL | 3/1/2034 | 5.00 | 508,357 | 569,840 | ||||||||||||||
1,000,000 | DEKALB/KANE/LA SALLE CNTYS IL CMNTY CLG DIST #523(e) | 2/1/2029 | 0.00 | 601,416 | 598,390 | ||||||||||||||
1,500,000 | ILLINOIS ST | 2/1/2030 | 4.00 | 1,494,030 | 1,600,920 | ||||||||||||||
500,000 | ILLINOIS ST | 7/1/2033 | 5.50 | 498,790 | 524,300 | ||||||||||||||
1,000,000 | ILLINOIS ST EDUCTNL FACS AUTH | 11/1/2036 | 4.50 | 1,000,000 | 1,101,300 | ||||||||||||||
675,000 | ILLINOIS ST FIN AUTH EDUCTNL FAC REVENUE | 2/1/2034 | 6.00 | 679,285 | 712,908 | ||||||||||||||
600,000 | ILLINOIS ST FIN AUTH REVENUE | 5/15/2027 | 6.13 | 600,000 | 600,858 | ||||||||||||||
500,000 | ILLINOIS ST FIN AUTH REVENUE | 5/15/2036 | 5.00 | 501,241 | 504,015 | ||||||||||||||
750,000 | ILLINOIS ST FIN AUTH REVENUE | 12/1/2037 | 5.00 | 764,936 | 808,147 | ||||||||||||||
500,000 | ILLINOIS ST FIN AUTH REVENUE | 5/1/2038 | 5.25 | 508,574 | 497,670 | ||||||||||||||
1,450,000 | ILLINOIS ST FIN AUTH REVENUE | 5/15/2038 | 5.13 | 1,410,515 | 1,326,822 | ||||||||||||||
1,000,000 | ILLINOIS ST FIN AUTH REVENUE | 5/15/2045 | 5.00 | 1,052,822 | 1,003,800 | ||||||||||||||
1,000,000 | ILLINOIS ST HSG DEV AUTH MF REVENUE | 7/1/2044 | 3.15 | 1,000,000 | 1,049,150 | ||||||||||||||
975,000 | ILLINOIS ST HSG DEV AUTH REVENUE | 4/1/2041 | 3.88 | 975,000 | 1,062,652 | ||||||||||||||
1,000,000 | ILLINOIS ST SALES TAX REVENUE | 6/15/2033 | 5.00 | 1,067,541 | 1,084,840 | ||||||||||||||
1,500,000 | ILLINOIS ST SPORTS FACS AUTH | 6/15/2031 | 5.25 | 1,561,809 | 1,642,245 | ||||||||||||||
500,000 | LAKE CNTY IL SCH DIST #33 | 12/1/2040 | 5.00 | 516,739 | 554,660 | ||||||||||||||
1,000,000 | MACON & MOULTRIE CNTYS IL CMNTY SCH DIST #3 MOUNT ZION | 12/1/2041 | 5.50 | 1,014,254 | 1,106,390 | ||||||||||||||
1,000,000 | MACON CNTY IL SCH DIST #61 | 1/1/2037 | 5.25 | 1,002,290 | 1,018,660 | ||||||||||||||
1,080,000 | MACOUPIN SANGAMON & MONTGOMERY CNTYS IL CMNTY SCH DIST #34 | 12/1/2037 | 4.25 | 1,101,653 | 1,161,691 | ||||||||||||||
1,000,000 | MALTA IL TAX INCR REVENUE(b) | 12/30/2025 | 5.75 | 1,000,000 | 320,000 | ||||||||||||||
500,000 | MET PIER & EXPOSITION AUTH IL REVENUE | 6/15/2057 | 5.00 | 518,247 | 524,705 | ||||||||||||||
500,000 | RICHTON PARK IL PUBLIC LIBRARY DIST | 12/15/2032 | 4.50 | 523,683 | 530,115 | ||||||||||||||
750,000 | ROCKFORD IL | 12/15/2030 | 4.00 | 752,601 | 751,388 | ||||||||||||||
375,000 | S WSTRN IL DEV AUTH(b) | 10/1/2022 | 7.00 | 375,000 | 217,500 | ||||||||||||||
620,000 | UPPER IL RIVER VLY DEV AUTH(c) | 12/1/2022 | 4.00 | 617,170 | 622,232 | ||||||||||||||
750,000 | UPPER IL RIVER VLY DEV AUTH(c) | 12/1/2037 | 5.25 | 766,816 | 759,608 | ||||||||||||||
465,000 | UPPER IL RIVER VLY DEV AUTH(c) | 1/1/2045 | 5.00 | 495,758 | 466,279 | ||||||||||||||
685,000 | WESTMONT IL PARK DIST(e) | 12/1/2031 | 0.00 | 351,133 | 406,041 | ||||||||||||||
685,000 | WESTMONT IL PARK DIST(e) | 12/1/2033 | 0.00 | 306,298 | 355,234 | ||||||||||||||
33,114,844 | 33,250,006 | 5.67 | % | ||||||||||||||||
Indiana | |||||||||||||||||||
233,864 | CARMEL IN REVENUE(b) | 11/15/2022 | 6.00 | 237,266 | 2,339 | ||||||||||||||
331,723 | CARMEL IN REVENUE(b) | 11/15/2027 | 7.00 | 324,812 | 3,317 | ||||||||||||||
500,000 | DAVIESS CNTY IN HOSP ASSN LEASE RENTAL REVENUE | 1/15/2029 | 5.25 | 493,218 | 509,800 | ||||||||||||||
1,000,000 | EAST CHICAGO IN SAN DIST REVENUE | 7/15/2035 | 4.00 | 993,270 | 1,079,510 | ||||||||||||||
3,000,000 | INDIANA ST FIN AUTH REVENUE | 9/15/2030 | 6.50 | 3,013,721 | 3,222,000 | ||||||||||||||
500,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2031 | 5.50 | 494,572 | 512,290 | ||||||||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2033 | 6.50 | 988,948 | 1,059,250 | ||||||||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 3/1/2041 | 5.00 | 1,015,976 | 1,077,770 | ||||||||||||||
500,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2041 | 5.88 | 521,285 | 529,575 | ||||||||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2041 | 6.00 | 988,040 | 1,064,680 | ||||||||||||||
1,000,000 | INDIANA ST FIN AUTH REVENUE | 11/15/2046 | 5.25 | 1,028,842 | 1,035,480 | ||||||||||||||
1,500,000 | INDIANA ST HSG & CMNTY DEV AUTH MF HSG REVENUE | 1/1/2036 | 5.75 | 1,500,000 | 1,325,655 | ||||||||||||||
600,000 | MERRILLVILLE IN ECON DEV REVENUE | 4/1/2036 | 5.75 | 600,000 | 513,720 | ||||||||||||||
1,000,000 | MISHAWAKA IN MF HSG REVENUE(c) | 1/1/2038 | 5.38 | 1,000,000 | 874,920 | ||||||||||||||
615,000 | MUNSTER IN ECON DEV TAX INCR REVENUE | 7/15/2026 | 4.75 | 613,389 | 674,686 | ||||||||||||||
1,000,000 | SCHERERVILLE IN ECON DEV REVENUE | 1/15/2030 | 6.00 | 1,006,967 | 1,126,850 | ||||||||||||||
14,820,306 | 14,611,842 | 2.49 | % |
See accompanying notes to financial statements. | 57 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Iowa | |||||||||||||||||||
1,500,000 | IOWA ST FIN AUTH REVENUE | 5/15/2036 | 5.00 | $ | 1,615,184 | 1,529,700 | |||||||||||||
1,615,184 | 1,529,700 | 0.26 | % | ||||||||||||||||
Kansas | |||||||||||||||||||
1,000,000 | FRANKLIN CNTY KS UNIF SCH DIST #290 | 9/1/2039 | 4.75 | 1,031,843 | 1,212,970 | ||||||||||||||
700,000 | WICHITA KS HLTH CARE FACS REVENUE | 12/1/2036 | 5.25 | 711,040 | 675,339 | ||||||||||||||
935,000 | WYANDOTTE CNTY KS KANSAS CITY UNIF GOVT SPL OBLG REVENUE | 9/1/2032 | 5.75 | 929,321 | 824,146 | ||||||||||||||
2,672,204 | 2,712,455 | 0.46 | % | ||||||||||||||||
Kentucky | |||||||||||||||||||
735,000 | KENTUCKY ST HSG CORP HSG REVENUE | 7/1/2028 | 3.75 | 727,478 | 776,726 | ||||||||||||||
727,478 | 776,726 | 0.13 | % | ||||||||||||||||
Louisiana | |||||||||||||||||||
1,000,000 | LOUISIANA ST ENERGY & PWR AUTH PWR PROJ REVENUE | 6/1/2038 | 5.25 | 1,008,035 | 1,115,060 | ||||||||||||||
650,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH | 11/15/2025 | 5.25 | 683,294 | 658,034 | ||||||||||||||
1,000,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH | 11/15/2030 | 6.00 | 1,011,361 | 1,038,890 | ||||||||||||||
700,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH REVE(c) | 11/1/2037 | 5.65 | 700,000 | 716,268 | ||||||||||||||
1,000,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH REVE(c) | 7/1/2039 | 5.00 | 1,064,023 | 976,040 | ||||||||||||||
600,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH REVENUE(c) | 11/1/2039 | 5.50 | 600,000 | 603,516 | ||||||||||||||
1,000,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH REVENUE(c) | 11/1/2044 | 4.00 | 1,000,000 | 880,610 | ||||||||||||||
750,000 | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH REVENUE(c) | 11/1/2044 | 4.40 | 750,000 | 703,073 | ||||||||||||||
500,000 | LOUISIANA ST PUBLIC FACS AUTH HOSP REVENUE | 7/1/2035 | 5.00 | 527,531 | 568,055 | ||||||||||||||
750,000 | LOUISIANA ST PUBLIC FACS AUTH REVENUE | 5/1/2031 | 6.50 | 747,641 | 785,887 | ||||||||||||||
385,000 | LOUISIANA ST PUBLIC FACS AUTH REVENUE (Floating, ICE LIBOR USD 3M + 0.70%)(f) | 2/15/2036 | 0.96 | 385,000 | 375,013 | ||||||||||||||
750,000 | SAINT TAMMANY LA PUBLIC TRUST FING AUTH | 11/15/2037 | 5.25 | 757,254 | 759,578 | ||||||||||||||
9,234,139 | 9,180,024 | 1.56 | % | ||||||||||||||||
Maine | |||||||||||||||||||
1,000,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2035 | 4.00 | 1,000,000 | 1,074,430 | ||||||||||||||
1,000,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2036 | 3.90 | 1,000,000 | 1,087,070 | ||||||||||||||
1,500,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2040 | 3.85 | 1,500,000 | 1,591,065 | ||||||||||||||
500,000 | MAINE ST HSG AUTH MTGE PURCHASE | 11/15/2042 | 4.05 | 500,000 | 541,155 | ||||||||||||||
430,000 | MAINE ST HSG AUTH MTGE REVENUE | 11/15/2037 | 4.50 | 430,000 | 450,799 | ||||||||||||||
4,430,000 | 4,744,519 | 0.81 | % | ||||||||||||||||
Maryland | |||||||||||||||||||
500,000 | MARYLAND ST CMNTY DEV ADMIN DEPT HSG & CMNTY DEV | 7/1/2031 | 4.50 | 500,000 | 516,325 | ||||||||||||||
1,250,000 | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE | 7/1/2048 | 4.00 | 1,221,947 | 1,378,000 | ||||||||||||||
500,000 | MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION MF REVENUE | 7/1/2037 | 5.13 | 500,000 | 504,210 | ||||||||||||||
890,000 | MONTGOMERY CNTY MD HSG OPPORTUNITIES COMMISSION SF MTGE REVENUE | 7/1/2038 | 4.00 | 890,000 | 900,751 | ||||||||||||||
3,111,947 | 3,299,286 | 0.56 | % | ||||||||||||||||
Massachusetts | |||||||||||||||||||
700,000 | MASSACHUSETTS ST DEV FIN AGY REVENUE(c) | 10/1/2047 | 5.00 | 744,034 | 716,611 |
See accompanying notes to financial statements. | 58 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Massachusetts (Cont’d): | |||||||||||||||||||
1,500,000 | MASSACHUSETTS ST DEV FIN AGY REVENUE | 6/1/2049 | 4.00 | $ | 1,516,830 | 1,549,545 | |||||||||||||
250,000 | MASSACHUSETTS ST EDUCTNL FING AUTH | 1/1/2028 | 5.25 | 250,000 | 250,265 | ||||||||||||||
1,500,000 | MASSACHUSETTS ST EDUCTNL FING AUTH | 7/1/2034 | 3.63 | 1,516,363 | 1,538,940 | ||||||||||||||
700,000 | MASSACHUSETTS ST HSG FIN AGY | 12/1/2033 | 5.00 | 700,000 | 758,065 | ||||||||||||||
700,000 | MASSACHUSETTS ST HSG FIN AGY | 12/1/2038 | 5.15 | 700,000 | 755,146 | ||||||||||||||
1,000,000 | MASSACHUSETTS ST HSG FIN AGY | 12/1/2043 | 5.00 | 1,000,000 | 1,069,710 | ||||||||||||||
2,735,000 | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE | 12/1/2043 | 4.00 | 2,735,000 | 2,818,582 | ||||||||||||||
1,875,000 | MASSACHUSETTS ST HSG FIN AGY HSG REVENUE | 6/1/2046 | 4.20 | 1,875,000 | 2,037,225 | ||||||||||||||
500,000 | ROWLEY MA | 5/1/2027 | 4.00 | 500,000 | 501,290 | ||||||||||||||
11,537,227 | 11,995,379 | 2.04 | % | ||||||||||||||||
Michigan | |||||||||||||||||||
275,000 | CHANDLER PARK ACADEMY MI PUBLIC SCH ACADEMY REVENUE | 11/1/2022 | 5.00 | 254,994 | 275,558 | ||||||||||||||
750,000 | MICHIGAN ST FIN AUTH REVENUE | 11/15/2035 | 5.25 | 746,049 | 774,360 | ||||||||||||||
500,000 | MICHIGAN ST FIN AUTH REVENUE | 11/15/2042 | 5.00 | 522,144 | 531,880 | ||||||||||||||
1,850,000 | MICHIGAN ST HSG DEV AUTH | 10/1/2035 | 4.10 | 1,850,000 | 1,999,831 | ||||||||||||||
1,000,000 | MICHIGAN ST HSG DEV AUTH | 12/1/2036 | 3.70 | 1,000,000 | 1,078,440 | ||||||||||||||
600,000 | MICHIGAN ST HSG DEV AUTH | 10/1/2042 | 3.75 | 600,000 | 644,256 | ||||||||||||||
1,650,000 | MICHIGAN ST HSG DEV AUTH | 10/1/2043 | 4.00 | 1,650,000 | 1,813,366 | ||||||||||||||
1,000,000 | MICHIGAN ST HSG DEV AUTH | 10/1/2054 | 3.50 | 1,000,000 | 1,061,460 | ||||||||||||||
2,500,000 | MICHIGAN ST HSG DEV AUTH SF MTGE REVENUE | 12/1/2038 | 4.13 | 2,500,000 | 2,820,800 | ||||||||||||||
1,000,000 | MICHIGAN ST HSG DEV AUTH SF MTGE REVENUE | 6/1/2049 | 4.00 | 1,003,332 | 1,095,500 | ||||||||||||||
1,000,000 | MICHIGAN ST HSG DEV AUTH SF MTGE REVENUE | 6/1/2050 | 3.15 | 1,000,000 | 1,038,180 | ||||||||||||||
460,000 | MICHIGAN ST PUBLIC EDUCTNL FACS AUTH | 11/1/2028 | 6.35 | 460,000 | 461,003 | ||||||||||||||
280,000 | OAKLAND CNTY MI ECON DEV CORP LTD OBLG REVENUE | 12/1/2020 | 6.50 | 279,897 | 280,244 | ||||||||||||||
750,000 | TAYLOR MI BROWNFIELD REDEV AUTH | 5/1/2032 | 5.00 | 773,713 | 861,443 | ||||||||||||||
410,000 | UNIVERSAL ACADEMY MI PUBLIC SCH ACADEMY REVENUE | 12/1/2023 | 6.50 | 406,910 | 427,429 | ||||||||||||||
14,047,039 | 15,163,750 | 2.58 | % | ||||||||||||||||
Minnesota | |||||||||||||||||||
1,000,000 | APPLE VLY MN SENIOR LIVING REVENUE | 1/1/2047 | 5.00 | 978,431 | 619,240 | ||||||||||||||
1,000,000 | APPLE VY MN SENIOR HSG REVENUE | 9/1/2058 | 5.00 | 980,000 | 1,011,270 | ||||||||||||||
2,500,000 | MINNESOTA ST OFFICE OF HGR EDU REVENUE | 11/1/2038 | 2.65 | 2,365,032 | 2,448,625 | ||||||||||||||
4,323,463 | 4,079,135 | 0.69 | % | ||||||||||||||||
Mississippi | |||||||||||||||||||
1,000,000 | MISSISSIPPI ST DEV BANK SPL OBLG | 10/1/2031 | 6.50 | 980,439 | 1,001,940 | ||||||||||||||
1,000,000 | MISSISSIPPI ST DEV BANK SPL OBLG(c) | 11/1/2039 | 4.55 | 1,000,000 | 972,360 | ||||||||||||||
1,980,439 | 1,974,300 | 0.34 | % | ||||||||||||||||
Missouri | |||||||||||||||||||
485,000 | KANSAS CITY MO INDL DEV AUTH | 9/1/2023 | 5.45 | 485,000 | 485,194 | ||||||||||||||
1,300,000 | KANSAS CITY MO INDL DEV AUTH SENIOR LIVING FACS REVENUE(b)(c)(g) | 11/15/2036 | 5.75 | 1,300,000 | 859,079 | ||||||||||||||
1,000,000 | KIRKWOOD MO INDL DEV AUTH RETMNT CMNTY REVENUE | 5/15/2037 | 5.25 | 1,017,247 | 985,640 | ||||||||||||||
1,000,000 | MISSOURI ST HLTH & EDUCTNL FACS AUTH | 2/1/2042 | 5.00 | 907,863 | 1,037,630 | ||||||||||||||
2,000,000 | MISSOURI ST HLTH & EDUCTNL FACS AUTH | 2/1/2048 | 4.00 | 2,079,529 | 1,822,220 | ||||||||||||||
915,000 | MISSOURI ST HSG DEV COMMISSION SF MTGE REVENUE | 11/1/2048 | 3.80 | 915,000 | 988,246 | ||||||||||||||
495,000 | MISSOURI ST HSG DEV COMMISSION SF MTGE REVENUE | 11/1/2049 | 3.35 | 495,000 | 522,220 | ||||||||||||||
750,000 | SAINT LOUIS CNTY MO INDL DEV AUTH SENIOR LIVING FACS | 9/1/2042 | 5.00 | 756,891 | 757,140 | ||||||||||||||
7,956,530 | 7,457,369 | 1.27 | % |
See accompanying notes to financial statements. | 59 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | |||||||||||||
Montana | |||||||||||||||||||
885,000 | MONTANA ST BRD OF HSG | 12/1/2038 | 3.75 | $ | 885,000 | 919,046 | |||||||||||||
560,000 | MONTANA ST BRD OF HSG | 12/1/2038 | 5.20 | 560,000 | 604,901 | ||||||||||||||
995,000 | MONTANA ST BRD OF HSG | 6/1/2045 | 4.00 | 995,000 | 1,098,032 | ||||||||||||||
895,000 | MONTANA ST BRD OF HSG SF MTGE | 12/1/2037 | 3.95 | 895,000 | 982,656 | ||||||||||||||
800,000 | MONTANA ST BRD OF HSG SF MTGE | 12/1/2038 | 4.00 | 801,759 | 861,416 | ||||||||||||||
4,136,759 | 4,466,051 | 0.76 | % | ||||||||||||||||
Nebraska | |||||||||||||||||||
160,000 | MEAD NE TAX INCR REVENUE(b) | 7/1/2012 | 5.13 | 160,000 | 6,640 | ||||||||||||||
570,000 | NEBRASKA ST INVESTMENT FIN AUTH SF HSG REVENUE | 9/1/2035 | 3.75 | 570,000 | 570,000 | ||||||||||||||
880,000 | NEBRASKA ST INVESTMENT FIN AUTH SF HSG REVENUE | 9/1/2042 | 3.05 | 880,000 | 919,855 | ||||||||||||||
1,000,000 | SCOTTS BLUFF CNTY NE HOSP AUTH | 2/1/2037 | 5.25 | 1,039,971 | 1,135,090 | ||||||||||||||
2,649,971 | 2,631,585 | 0.45 | % | ||||||||||||||||
Nevada | |||||||||||||||||||
865,000 | NEVADA ST HSG DIV SF MTGE REVENUE | 10/1/2039 | 3.85 | 865,000 | 909,011 | ||||||||||||||
1,000,000 | NEVADA ST HSG DIV SF MTGE REVENUE | 10/1/2049 | 3.35 | 1,000,000 | 1,054,600 | ||||||||||||||
515,000 | NORTH LAS VEGAS NV LOCAL IMPT(c) | 12/1/2027 | 4.00 | 504,633 | 528,957 | ||||||||||||||
515,000 | NORTH LAS VEGAS NV LOCAL IMPT(c) | 12/1/2037 | 5.00 | 515,945 | 540,127 | ||||||||||||||
2,885,578 | 3,032,695 | 0.52 | % | ||||||||||||||||
New Hampshire | |||||||||||||||||||
1,000,000 | NEW HAMPSHIRE ST HLTH & EDU FACS AUTH REVENUE | 1/1/2034 | 6.00 | 976,446 | 1,027,940 | ||||||||||||||
1,000,000 | NEW HAMPSHIRE ST HSG FIN AUTH MF REVENUE | 7/1/2031 | 5.20 | 1,000,000 | 1,031,780 | ||||||||||||||
1,500,000 | NEW HAMPSHIRE ST HSG FIN AUTH MF REVENUE | 7/1/2052 | 4.00 | 1,500,000 | 1,625,535 | ||||||||||||||
165,000 | NEW HAMPSHIRE ST HSG FIN AUTH SF REVENUE | 7/1/2034 | 5.38 | 165,000 | 165,589 | ||||||||||||||
3,641,446 | 3,850,844 | 0.66 | % | ||||||||||||||||
New Jersey | |||||||||||||||||||
750,000 | NEW JERSEY ST ECON DEV AUTH | 6/15/2037 | 5.00 | 777,162 | 836,362 | ||||||||||||||
500,000 | NEW JERSEY ST ECON DEV AUTH | 6/15/2042 | 5.00 | 534,614 | 544,395 | ||||||||||||||
750,000 | NEW JERSEY ST ECON DEV AUTH REVENUE | 7/15/2047 | 5.00 | 794,158 | 806,505 | ||||||||||||||
2,500,000 | NEW JERSEY ST HGR EDU ASSISTANCE AUTH STUDENT LOAN REVENUE | 12/1/2039 | 3.50 | 2,492,995 | 2,483,725 | ||||||||||||||
1,000,000 | NEW JERSEY ST HGR EDU ASSISTANCE AUTH STUDENT LOAN REVENUE | 12/1/2050 | 4.25 | 988,205 | 1,007,270 | ||||||||||||||
1,000,000 | NEW JERSEY ST HSG & MTGE FIN AGY MF CONDUIT REVENUE | 1/1/2030 | 3.60 | 1,000,000 | 1,052,170 | ||||||||||||||
795,000 | NEW JERSEY ST HSG & MTGE FIN AGY REVENUE | 10/1/2030 | 4.50 | 795,000 | 822,889 | ||||||||||||||
3,270,000 | NEW JERSEY ST HSG & MTGE FIN AGY REVENUE | 10/1/2035 | 3.75 | 3,270,000 | 3,643,369 | ||||||||||||||
955,000 | NEW JERSEY ST HSG & MTGE FIN AGY REVENUE | 4/1/2049 | 4.00 | 957,518 | 1,020,484 | ||||||||||||||
500,000 | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH | 12/15/2039 | 4.00 | 527,813 | 514,855 | ||||||||||||||
500,000 | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH | 6/15/2041 | 5.25 | 507,172 | 537,315 | ||||||||||||||
700,000 | TOBACCO SETTLEMENT FING CORP NJ | 6/1/2046 | 5.00 | 704,510 | 767,956 | ||||||||||||||
13,349,147 | 14,037,295 | 2.39 | % | ||||||||||||||||
New Mexico | |||||||||||||||||||
620,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2042 | 3.90 | 620,000 | 634,390 | ||||||||||||||
925,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2042 | 4.13 | 925,000 | 949,845 | ||||||||||||||
1,530,000 | NEW MEXICO ST MTGE FIN AUTH | 7/1/2043 | 3.85 | 1,530,000 | 1,663,003 | ||||||||||||||
820,000 | NEW MEXICO ST MTGE FIN AUTH | 9/1/2046 | 3.80 | 820,000 | 862,435 | ||||||||||||||
765,000 | NEW MEXICO ST MTGE FIN AUTH | 7/1/2048 | 3.90 | 765,000 | 826,338 | ||||||||||||||
1,000,000 | NEW MEXICO ST MTGE FIN AUTH | 7/1/2048 | 4.00 | 1,001,887 | 1,088,580 | ||||||||||||||
990,000 | NEW MEXICO ST MTGE FIN AUTH | 7/1/2049 | 3.35 | 990,000 | 1,045,876 | ||||||||||||||
970,000 | NEW MEXICO ST MTGE FIN AUTH | 7/1/2049 | 4.00 | 970,000 | 1,057,581 | ||||||||||||||
550,000 | NEW MEXICO ST MTGE FIN AUTH | 7/1/2050 | 3.00 | 551,329 | 571,940 | ||||||||||||||
8,173,216 | 8,699,988 | 1.48 | % |
See accompanying notes to financial statements. | 60 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | ||||||||||||||||
New York | ||||||||||||||||||||||
750,000 | HEMPSTEAD TOWN NY LOCAL DEV CORP REVENUE | 9/1/2038 | 5.00 | $ | 752,811 | 805,065 | ||||||||||||||||
750,000 | MONROE CNTY NY INDL DEV CORP REVENUE | 1/1/2030 | 4.00 | 669,128 | 675,367 | |||||||||||||||||
1,250,000 | MONROE CNTY NY INDL DEV CORP REVENUE | 1/1/2050 | 5.00 | 1,337,683 | 1,079,625 | |||||||||||||||||
1,000,000 | NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE | 11/1/2037 | 3.80 | 1,000,000 | 1,023,540 | |||||||||||||||||
1,000,000 | NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE | 11/1/2039 | 4.30 | 1,000,000 | 1,052,530 | |||||||||||||||||
600,000 | NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE | 11/1/2042 | 3.85 | 601,476 | 646,788 | |||||||||||||||||
3,000,000 | NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE | 5/1/2045 | 3.90 | 2,838,750 | 3,114,360 | |||||||||||||||||
1,000,000 | NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE | 11/1/2047 | 3.65 | 1,000,000 | 1,036,480 | |||||||||||||||||
1,000,000 | NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE | 11/1/2049 | 3.95 | 1,000,000 | 1,064,270 | |||||||||||||||||
1,000,000 | NEW YORK CITY NY HSG DEV CORP MF HSG REVENUE | 11/1/2055 | 3.00 | 1,000,000 | 1,012,400 | |||||||||||||||||
2,000,000 | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE | 6/15/2038 | 5.00 | 2,085,222 | 2,230,200 | |||||||||||||||||
1,000,000 | NEW YORK ST HSG FIN AGY | 11/1/2041 | 4.10 | 1,000,000 | 1,086,720 | |||||||||||||||||
1,000,000 | NEW YORK ST HSG FIN AGY | 11/1/2042 | 4.00 | 1,000,000 | 1,079,730 | |||||||||||||||||
1,000,000 | NEW YORK ST HSG FIN AGY | 11/1/2048 | 3.95 | 1,000,000 | 1,076,590 | |||||||||||||||||
1,500,000 | NEW YORK ST HSG FIN AGY REVENUE | 11/1/2034 | 3.65 | 1,500,000 | 1,585,500 | |||||||||||||||||
500,000 | NEW YORK ST HSG FIN AGY REVENUE | 11/1/2045 | 5.10 | 500,000 | 533,130 | |||||||||||||||||
4,000,000 | NEW YORK ST HSG FIN AGY REVENUE | 5/1/2048 | 4.10 | 4,000,000 | 4,098,920 | |||||||||||||||||
930,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2036 | 3.90 | 930,000 | 1,007,943 | |||||||||||||||||
435,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2042 | 3.75 | 435,000 | 445,218 | |||||||||||||||||
1,000,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2043 | 4.20 | 1,000,000 | 1,119,230 | |||||||||||||||||
1,490,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2048 | 3.80 | 1,490,000 | 1,595,954 | |||||||||||||||||
2,000,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 10/1/2049 | 2.95 | 2,000,000 | 2,094,420 | |||||||||||||||||
1,500,000 | NEW YORK ST MTGE AGY HOMEOWNER MTGE REVENUE | 4/1/2050 | 2.55 | 1,500,000 | 1,528,800 | |||||||||||||||||
500,000 | PORT AUTH OF NEW YORK & NEW JERSEY NY | 5/1/2035 | 5.00 | 502,237 | 501,665 | |||||||||||||||||
550,000 | WESTCHESTER CO NY LOCAL DEV CORP REVENUE | 1/1/2034 | 5.00 | 562,030 | 553,460 | |||||||||||||||||
30,704,337 | 32,047,905 | 5.46 | % | |||||||||||||||||||
North Carolina | ||||||||||||||||||||||
1,750,000 | MECKLENBURG CNTY NC MF HSG REVENUE | 1/1/2036 | 5.38 | 1,750,000 | 1,785,927 | |||||||||||||||||
975,000 | NORTH CAROLINA ST HSG FIN AGY HOME OWNERSHIP REVENUE | 1/1/2041 | 3.95 | 986,141 | 1,064,671 | |||||||||||||||||
945,000 | NORTH CAROLINA ST HSG FIN AGY HOME OWNERSHIP REVENUE | 1/1/2048 | 4.00 | 945,000 | 1,030,485 | |||||||||||||||||
1,000,000 | NORTH CAROLINA ST MED CARE COMMISSION HLTH CARE FACS REVENUE | 11/1/2037 | 5.00 | 1,089,309 | 1,115,110 | |||||||||||||||||
600,000 | NORTH CAROLINA ST MED CARE COMMISSION RETMNT FACS REVENUE | 10/1/2038 | 5.00 | 596,416 | 608,052 | |||||||||||||||||
5,366,866 | 5,604,245 | 0.95 | % | |||||||||||||||||||
North Dakota | ||||||||||||||||||||||
1,110,000 | NORTH DAKOTA ST HSG FIN AGY | 1/1/2044 | 3.05 | 1,110,000 | 1,176,711 | |||||||||||||||||
1,110,000 | 1,176,711 | 0.20 | % | |||||||||||||||||||
Ohio | ||||||||||||||||||||||
600,000 | BRYAN OH CITY SCH DIST | 12/15/2034 | 4.00 | 606,526 | 610,314 | |||||||||||||||||
750,000 | BUTLER CNTY OH PORT AUTH PUBLIC INFRASTRUCTURE REVENUE | 12/1/2041 | 5.00 | 759,278 | 758,535 | |||||||||||||||||
1,500,000 | COLUMBUS-FRANKLIN CNTY OH FIN AUTH DEV REVENUE | 5/15/2049 | 4.00 | 1,597,975 | 1,610,805 | |||||||||||||||||
500,000 | COVENTRY OH LOCAL SCH DIST | 11/1/2037 | 5.25 | 501,591 | 530,665 |
See accompanying notes to financial statements. | 61 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | ||||||||||||||||
Ohio (Cont’d): | ||||||||||||||||||||||
1,000,000 | DAYTON-MONTGOMERY CNTY OH PORT AUTH PROJ REVENUE | 1/15/2040 | 7.00 | $ | 1,000,000 | 815,330 | ||||||||||||||||
890,000 | HAMILTON CNTY OH HLTH CARE REVENUE | 1/1/2031 | 6.13 | 873,130 | 916,104 | |||||||||||||||||
750,000 | LAKE CNTY OH PORT & ECON DEV AUTH LEASE REVENUE(c) | 12/1/2037 | 6.50 | 750,000 | 576,780 | |||||||||||||||||
500,000 | LUCAS CNTY OH HLTH CARE FACS REVENUE | 8/15/2030 | 5.50 | 494,243 | 514,540 | |||||||||||||||||
1,500,000 | LUCAS MET HSG AUTH OH COPS | 11/1/2036 | 5.00 | 1,549,535 | 1,675,440 | |||||||||||||||||
2,000,000 | OHIO ST HGR EDUCTNL FAC COMMISSION | 11/1/2049 | 4.00 | 2,040,618 | 1,831,560 | |||||||||||||||||
870,000 | OHIO ST HSG FIN AGY RSDL MTGE REVENUE | 9/1/2039 | 3.35 | 783,915 | 922,339 | |||||||||||||||||
1,380,000 | OHIO ST HSG FIN AGY RSDL MTGE REVENUE | 9/1/2048 | 4.00 | 1,380,000 | 1,491,380 | |||||||||||||||||
1,460,000 | OHIO ST HSG FIN AGY RSDL MTGE REVENUE | 3/1/2049 | 4.00 | 1,460,000 | 1,570,712 | |||||||||||||||||
1,000,000 | OHIO ST HSG FIN AGY RSDL MTGE REVENUE | 9/1/2049 | 3.35 | 1,000,000 | 1,060,260 | |||||||||||||||||
1,000,000 | REVERE OH LOCAL SCH DIST | 12/1/2043 | 4.00 | 1,047,116 | 1,050,410 | |||||||||||||||||
15,843,927 | 15,935,174 | 2.71 | % | |||||||||||||||||||
Oklahoma | ||||||||||||||||||||||
1,090,000 | FORT SILL APACHE TRIBE OK ECONDEV AUTH GAMING ENTERPRISE REVENUE(c) | 8/25/2026 | 8.50 | 1,090,000 | 1,176,066 | |||||||||||||||||
2,000,000 | OKLAHOMA ST DEV FIN AUTH | 8/1/2049 | 5.00 | 2,225,034 | 2,192,980 | |||||||||||||||||
3,315,034 | 3,369,046 | 0.57 | % | |||||||||||||||||||
Oregon | ||||||||||||||||||||||
1,000,000 | CLACKAMAS CNTY OR HOSP FAC AUTH REVENUE | 11/15/2047 | 5.00 | 970,850 | 1,029,750 | |||||||||||||||||
500,000 | CLACKAMAS CNTY OR HOSP FAC AUTH REVENUE | 11/15/2055 | 5.38 | 502,234 | 505,875 | |||||||||||||||||
1,000,000 | MEDFORD OR HOSP FACS AUTH REVENUE | 10/1/2042 | 5.00 | 1,019,503 | 1,048,290 | |||||||||||||||||
500,000 | MULTNOMAH CNTY OR HOSP FACS AUTH REVENUE | 12/1/2029 | 5.00 | 511,409 | 512,655 | |||||||||||||||||
2,000,000 | OREGON ST | 12/1/2039 | 3.90 | 2,000,000 | 2,092,920 | |||||||||||||||||
575,000 | OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE | 7/1/2035 | 3.75 | 575,000 | 633,920 | |||||||||||||||||
745,000 | OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE | 7/1/2038 | 4.00 | 745,000 | 779,844 | |||||||||||||||||
1,265,000 | OREGON ST HSG & CMNTY SVCS DEPT MTGE REVENUE | 7/1/2048 | 3.75 | 1,265,000 | 1,352,424 | |||||||||||||||||
1,500,000 | POLK CNTY OR HOSP FAC AUTH REVENUE | 7/1/2035 | 5.13 | 1,527,528 | 1,349,430 | |||||||||||||||||
9,116,524 | 9,305,108 | 1.59 | % | |||||||||||||||||||
Pennsylvania | ||||||||||||||||||||||
545,000 | ALLEGHENY CNTY PA INDL DEV AUTH CHRT SCH REVENUE | 8/15/2026 | 5.90 | 545,000 | 547,126 | |||||||||||||||||
380,000 | BUTLER CNTY PA GEN AUTH REVENUE (Floating, ICE LIBOR USD 3M +0.70%)(f) | 10/1/2034 | 0.90 | 380,000 | 364,454 | |||||||||||||||||
1,000,000 | CENTRL BRADFORD PROGRESS AUTH PA | 12/1/2031 | 5.50 | 1,006,748 | 1,071,680 | |||||||||||||||||
650,000 | CMWLTH FING AUTH PA TOBACCO MASTER SETTLEMENT PAYMENT REVENUE | 6/1/2039 | 4.00 | 646,990 | 723,795 | |||||||||||||||||
600,000 | DAUPHIN CNTY PA GEN AUTH UNIV REVENUE(c) | 10/15/2022 | 4.00 | 599,305 | 590,196 | |||||||||||||||||
500,000 | MONTGOMERY CNTY PA INDL DEV AUTH | 11/15/2033 | 5.00 | 523,928 | 570,320 | |||||||||||||||||
1,250,000 | MONTGOMERY CNTY PA INDL DEV AUTH | 11/15/2036 | 5.00 | 1,263,577 | 1,413,262 | |||||||||||||||||
1,700,000 | PENNSYLVANIA HGR EDU ASSISTANCE AGY LOAN REVENUE | 6/1/2047 | 3.00 | 1,700,000 | 1,506,421 | |||||||||||||||||
1,000,000 | PENNSYLVANIA ST ECON DEV FING AUTH UPMC REVENUE | 4/15/2045 | 4.00 | 1,039,006 | 1,099,040 | |||||||||||||||||
500,000 | PENNSYLVANIA ST HGR EDUCTNL FACS AUTH REVENUE (Floating, ICE LIBOR USD 3M + 0.65%)(f) | 7/1/2039 | 0.85 | 500,000 | 450,275 |
See accompanying notes to financial statements. | 62 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | ||||||||||||||||
Pennsylvania (Cont’d): | ||||||||||||||||||||||
1,000,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2038 | 3.95 | $ | 1,000,000 | 1,095,940 | ||||||||||||||||
440,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2038 | 4.00 | 440,000 | 455,290 | |||||||||||||||||
1,835,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2042 | 3.65 | 1,835,000 | 1,952,128 | |||||||||||||||||
535,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2042 | 3.70 | 535,000 | 542,570 | |||||||||||||||||
495,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2047 | 4.00 | 495,000 | 531,199 | |||||||||||||||||
1,000,000 | PENNSYLVANIA ST HSG FIN AGY SF MTGE REVENUE | 10/1/2049 | 3.40 | 1,000,000 | 1,049,940 | |||||||||||||||||
1,500,000 | PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE (Step to 4.60% on 12/1/2021)(d) | 12/1/2037 | 0.00 | 1,402,849 | 1,653,660 | |||||||||||||||||
200,000 | PHILADELPHIA PA AUTH FOR INDL DEV REVENUES | 6/15/2023 | 6.13 | 200,000 | 211,972 | |||||||||||||||||
750,000 | PHILADELPHIA PA AUTH FOR INDL DEV REVENUES | 8/1/2036 | 5.63 | 740,198 | 797,700 | |||||||||||||||||
750,000 | PHILADELPHIA PA AUTH FOR INDL DEV REVENUES | 6/15/2049 | 5.00 | 779,282 | 750,735 | |||||||||||||||||
16,631,883 | 17,377,703 | 2.96 | % | |||||||||||||||||||
Puerto Rico | ||||||||||||||||||||||
1,500,000 | PUERTO RICO CMWLTH | 7/1/2035 | 5.00 | 1,500,000 | 1,517,265 | |||||||||||||||||
1,500,000 | 1,517,265 | 0.26 | % | |||||||||||||||||||
Rhode Island | ||||||||||||||||||||||
665,000 | RHODE ISLAND ST HSG & MTGE FIN CORP | 10/1/2028 | 4.00 | 662,668 | 677,076 | |||||||||||||||||
750,000 | RHODE ISLAND ST HSG & MTGE FIN CORP | 10/1/2037 | 3.90 | 750,000 | 778,590 | |||||||||||||||||
1,250,000 | RHODE ISLAND ST STUDENT LOAN AUTH STUDENT LOAN REVENUE | 12/1/2037 | 3.63 | 1,238,034 | 1,249,400 | |||||||||||||||||
2,650,702 | 2,705,066 | 0.46 | % | |||||||||||||||||||
South Carolina | ||||||||||||||||||||||
650,000 | BERKELEY CNTY SC ASSMNT REVENUE | 11/1/2040 | 4.25 | 647,351 | 631,592 | |||||||||||||||||
145,000 | SOUTH CAROLINA ST EDU ASSISTANCE AUTH | 10/1/2029 | 5.10 | 143,941 | 145,086 | |||||||||||||||||
1,250,000 | SOUTH CAROLINA ST HSG FIN & DEV AUTH MTGE REVENUE | 7/1/2045 | 3.05 | 1,250,000 | 1,305,212 | |||||||||||||||||
665,000 | SOUTH CAROLINA ST JOBS-ECON DEV AUTH ECON DEV REVENUE | 4/1/2054 | 4.00 | 688,681 | 599,019 | |||||||||||||||||
1,250,000 | SOUTH CAROLINA ST JOBS-ECON DEV AUTH HOSP FACS REVENUE | 12/1/2044 | 4.00 | 1,299,819 | 1,408,512 | |||||||||||||||||
1,000,000 | SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE | 12/1/2038 | 5.00 | 1,034,076 | 1,106,540 | |||||||||||||||||
1,400,000 | SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE | 12/1/2043 | 5.75 | 1,436,983 | 1,650,040 | |||||||||||||||||
6,500,851 | 6,846,001 | 1.17 | % | |||||||||||||||||||
South Dakota | ||||||||||||||||||||||
500,000 | SOUTH DAKOTA ST HLTH & EDUCTNL FACS AUTH | 9/1/2032 | 5.00 | 499,500 | 502,180 | |||||||||||||||||
499,500 | 502,180 | 0.09 | % | |||||||||||||||||||
Tennessee | ||||||||||||||||||||||
1,000,000 | FRANKLIN TN HLTH & EDUCTNL FACS BRD REVENUE(b)(c)(g) | 6/1/2027 | 6.50 | 1,000,000 | 815,250 | |||||||||||||||||
600,000 | NASHVILLE MET DEV & HSG AGY TN TAX INCR REVENUE(c) | 6/1/2036 | 5.13 | 600,000 | 617,928 | |||||||||||||||||
1,350,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD RETMNT FACS REVENUE | 10/1/2039 | 5.50 | 1,341,970 | 1,228,972 | |||||||||||||||||
150,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(b) | 1/1/2019 | 5.35 | 134,966 | 375 | |||||||||||||||||
625,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(b) | 1/1/2029 | 5.55 | 556,862 | 1,563 | |||||||||||||||||
130,000 | SHELBY CNTY TN HLTH EDUCTNL & HSG FACS BRD REVENUE(b) | 1/1/2029 | 6.00 | - | 1 | |||||||||||||||||
670,000 | TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE | 1/1/2031 | 3.60 | 674,134 | 699,902 |
See accompanying notes to financial statements. | 63 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | ||||||||||||||||
Tennessee (Cont’d): | ||||||||||||||||||||||
980,000 | TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE | 7/1/2042 | 3.85 | $ | 980,000 | 1,066,985 | ||||||||||||||||
970,000 | TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE | 7/1/2042 | 3.90 | 970,000 | 1,059,191 | |||||||||||||||||
2,000,000 | TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE | 7/1/2044 | 4.00 | 2,013,534 | 2,203,400 | |||||||||||||||||
990,000 | TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE | 1/1/2049 | 3.95 | 990,000 | 1,065,379 | |||||||||||||||||
1,965,000 | TENNESSEE HSG DEV AGY RSDL FING PROGRAM REVENUE | 1/1/2049 | 4.05 | 1,965,000 | 2,144,444 | |||||||||||||||||
485,000 | TENNESSEE ST HSG DEV AGY | 1/1/2035 | 3.85 | 485,000 | 519,576 | |||||||||||||||||
11,711,466 | 11,422,966 | 1.95 | % | |||||||||||||||||||
Texas | ||||||||||||||||||||||
500,000 | ARLINGTON TX HGR EDU FIN CORP EDU REVENUE | 6/15/2036 | 5.00 | 502,889 | 502,385 | |||||||||||||||||
650,000 | ARLINGTON TX SPL TAX REVENUE | 2/15/2041 | 5.00 | 691,241 | 744,666 | |||||||||||||||||
835,000 | BEXAR CNTY TX HSG FIN CORP(h) | 2/1/2035 | 3.75 | 835,000 | 872,216 | |||||||||||||||||
2,000,000 | BEXAR CNTY TX REVENUE | 8/15/2039 | 5.00 | 2,043,176 | 2,131,260 | |||||||||||||||||
675,000 | BRAZORIA CNTY TX MUNI UTILITYDIST #28 | 9/1/2032 | 4.00 | 696,261 | 690,296 | |||||||||||||||||
1,000,000 | BRAZOS TX HGR EDU AUTH STUDENT LOAN PROGRAM REVENUE | 4/1/2040 | 3.00 | 1,004,192 | 916,590 | |||||||||||||||||
625,000 | CLIFTON TX HGR EDU FIN CORP EDU REVENUE | 12/1/2035 | 5.00 | 649,795 | 669,131 | |||||||||||||||||
1,000,000 | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE | 11/1/2037 | 5.25 | 1,004,847 | 1,117,500 | |||||||||||||||||
1,350,000 | DANBURY TX HGR EDU AUTH INC EDU REVENUE | 8/15/2049 | 5.13 | 1,407,700 | 1,402,312 | |||||||||||||||||
1,500,000 | EL PASO CNTY TX HOSP DIST | 8/15/2043 | 5.00 | 1,588,807 | 1,542,495 | |||||||||||||||||
1,000,000 | EL PASO TX DOWNTOWN DEV CORP SPL REVENUE | 8/15/2038 | 7.25 | 1,036,548 | 1,195,700 | |||||||||||||||||
1,000,000 | FORT BEND CNTY TX MUNI UTILITY DIST #23 | 9/1/2033 | 4.00 | 1,031,263 | 1,021,210 | |||||||||||||||||
610,000 | FORT BEND CNTY TX MUNI UTILITY DIST #50 | 9/1/2029 | 4.00 | 629,070 | 624,689 | |||||||||||||||||
800,000 | GILMER TX ECON DEV CORP SALES TAX REVENUE | 7/15/2030 | 5.00 | 831,077 | 833,400 | |||||||||||||||||
1,500,000 | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE (Step to 5.50%on 10/1/2023)(d) | 10/1/2035 | 0.00 | 1,256,342 | 1,715,595 | |||||||||||||||||
560,000 | HARRIS CNTY TX MUNI UTILITY DIST #400 | 9/1/2033 | 4.00 | 577,512 | 571,878 | |||||||||||||||||
1,000,000 | HIDALGO CNTY TX REGL MOBILITY AUTH VEHICLE REGISTRATION FEE | 12/1/2038 | 5.25 | 1,014,337 | 1,112,780 | |||||||||||||||||
1,500,000 | HOUSTON TX HGR EDU FIN CORP | 9/1/2038 | 5.50 | 1,515,198 | 1,664,655 | |||||||||||||||||
750,000 | LEWISVILLE TX COMB CONTRACT REVENUE | 9/1/2024 | 3.00 | 745,633 | 781,807 | |||||||||||||||||
1,000,000 | MEADOWHILL TX REGL MUNI UTILITY DIST | 10/1/2034 | 4.00 | 1,057,479 | 1,054,150 | |||||||||||||||||
273,000 | N CENTRL TEXAS ST HLTH FAC DEV CORP | 2/15/2025 | 5.38 | 273,000 | 222,621 | |||||||||||||||||
1,000,000 | N TX TOLLWAY AUTH REVENUE | 1/1/2034 | 6.00 | 1,000,000 | 1,028,450 | |||||||||||||||||
1,000,000 | N TX TOLLWAY AUTH REVENUE | 1/1/2042 | 6.20 | 999,061 | 1,185,690 | |||||||||||||||||
1,000,000 | NEW HOPE CULTURAL ED FACS FIN CORP TX RETIREMENT FAC REVENUE | 10/1/2034 | 5.00 | 1,006,021 | 923,970 | |||||||||||||||||
750,000 | NEW HOPE CULTURAL ED FACS FIN CORP TX RETIREMENT FAC REVENUE | 1/1/2035 | 5.50 | 759,505 | 733,890 | |||||||||||||||||
1,100,000 | NEW HOPE CULTURAL ED FACS FIN CORP TX RETIREMENT FAC REVENUE | 1/1/2055 | 5.00 | 1,147,579 | 907,654 | |||||||||||||||||
750,000 | NEW HOPE CULTURAL EDU FACS FIN CORP TX EDU REVENUE(c) | 8/15/2036 | 5.00 | 752,176 | 753,930 | |||||||||||||||||
1,000,000 | NEW HOPE CULTURAL EDU FACS FIN CORP TX EDU REVENUE | 8/15/2036 | 5.50 | 1,001,805 | 1,015,660 | |||||||||||||||||
670,000 | NEW HOPE CULTURAL EDU FACS FIN CORP TX EDU REVENUE(c) | 8/15/2049 | 5.00 | 695,232 | 682,938 | |||||||||||||||||
1,100,000 | NEW HOPE CULTURAL EDU FACS FIN CORP TX STUDENT HSG REVENUE | 4/1/2046 | 5.00 | 1,129,449 | 1,187,549 | |||||||||||||||||
750,000 | RED RIVER TX HLTH FACS DEV CORP RETIREMENT FAC REVENUE | 11/15/2034 | 7.50 | 746,656 | 800,602 | |||||||||||||||||
1,000,000 | SUGAR LAND TX DEV CORP SALES TAX REVENUE | 2/15/2033 | 5.00 | 1,041,092 | 1,113,660 |
See accompanying notes to financial statements. | 64 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | ||||||||||||||||
Texas (Cont’d): | ||||||||||||||||||||||
1,000,000 | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP HOSP REVENUE | 11/15/2038 | 5.00 | $ | 1,036,487 | 1,093,330 | ||||||||||||||||
1,000,000 | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE(b) | 11/15/2022 | 5.50 | 1,000,000 | 650,000 | |||||||||||||||||
660,000 | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE | 11/15/2024 | 5.63 | 660,000 | 660,403 | |||||||||||||||||
750,000 | TARRANT CNTY TX CULTURAL EDU FACS FIN CORP RETMNT FAC REVENUE | 11/15/2035 | 5.00 | 769,510 | 621,195 | |||||||||||||||||
970,000 | TEXAS ST AFFORDABLE HSG CORP SF MTGE REVENUE | 3/1/2050 | 4.00 | 992,819 | 1,069,444 | |||||||||||||||||
2,000,000 | TEXAS ST DEPT OF HSG & CMNTY AFFAIRS | 9/1/2044 | 3.63 | 2,044,740 | 2,168,520 | |||||||||||||||||
1,000,000 | TEXAS ST DEPT OF HSG & CMNTY AFFAIRS | 9/1/2048 | 4.25 | 1,017,306 | 1,107,840 | |||||||||||||||||
38,190,805 | 39,092,061 | 6.66 | % | |||||||||||||||||||
Utah | ||||||||||||||||||||||
1,000,000 | UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE(c) | 7/15/2033 | 4.65 | 990,319 | 996,110 | |||||||||||||||||
1,000,000 | UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE | 10/15/2033 | 6.50 | 1,000,000 | 1,002,820 | |||||||||||||||||
1,000,000 | UTAH ST CHRT SCH FIN AUTH CHRT SCH REVENUE(c) | 4/15/2045 | 6.00 | 1,000,000 | 1,000,640 | |||||||||||||||||
90,000 | UTAH ST HSG CORP SF MTGE REVENUE | 1/1/2033 | 5.75 | 90,000 | 92,031 | |||||||||||||||||
1,500,000 | WEST VLY CITY UT MUNI BLDG AUTH LEASE REVENUE | 2/1/2039 | 5.00 | 1,631,200 | 1,792,185 | |||||||||||||||||
4,711,519 | 4,883,786 | 0.83 | % | |||||||||||||||||||
Vermont | ||||||||||||||||||||||
680,000 | VERMONT ST HSG FIN AGY | 5/1/2032 | 4.88 | 677,515 | 734,726 | |||||||||||||||||
1,000,000 | VERMONT ST STUDENT ASSISTANCE CORP EDU LOAN REVENUE | 6/15/2036 | 3.38 | 990,848 | 978,900 | |||||||||||||||||
1,668,363 | 1,713,626 | 0.29 | % | |||||||||||||||||||
Virginia | ||||||||||||||||||||||
500,000 | FAIRFAX CNTY VA REDEV & HSG AUTH MF REVENUE | 8/1/2039 | 5.60 | 500,000 | 501,405 | |||||||||||||||||
462,000 | MARQUIS VA CMNTY DEV AUTH REVENUE(e) | 9/1/2041 | 0.00 | 157,075 | 20,716 | |||||||||||||||||
349,000 | MARQUIS VA CMNTY DEV AUTH REVENUE | 9/1/2041 | 5.63 | 373,937 | 189,500 | |||||||||||||||||
1,000,000 | VIRGINIA ST HSG DEV AUTH | 7/1/2033 | 4.13 | 1,000,000 | 1,055,610 | |||||||||||||||||
2,005,000 | VIRGINIA ST HSG DEV AUTH CMWLTH MTGE | 1/1/2038 | 3.88 | 1,995,250 | 2,078,102 | |||||||||||||||||
4,026,262 | 3,845,333 | 0.66 | % | |||||||||||||||||||
Washington | ||||||||||||||||||||||
700,000 | KALISPEL TRIBE OF INDIANS PRIORITY DIST WA REVENUE(c) | 1/1/2038 | 5.25 | 686,619 | 776,272 | |||||||||||||||||
445,000 | KING CNTY WA HSG AUTH | 5/1/2028 | 5.20 | 445,000 | 451,515 | |||||||||||||||||
1,500,000 | KING CNTY WA HSG AUTH | 11/1/2039 | 3.00 | 1,467,593 | 1,559,595 | |||||||||||||||||
1,000,000 | PIKE PLACE MARKET WA PRESERVATION & DEV AUTH SPL OBLG | 12/1/2040 | 5.00 | 1,046,290 | 1,078,710 | |||||||||||||||||
770,000 | SEATTLE WA HSG AUTH POOLED HSG REVENUE | 9/15/2033 | 5.75 | 776,706 | 899,083 | |||||||||||||||||
500,000 | SNOHOMISH CNTY WA HSG AUTH | 4/1/2044 | 4.00 | 508,126 | 549,695 | |||||||||||||||||
1,000,000 | VANCOUVER WA HSG AUTH | 8/1/2034 | 3.75 | 983,853 | 1,095,840 | |||||||||||||||||
1,500,000 | VANCOUVER WA HSG AUTH | 6/1/2038 | 3.00 | 1,495,855 | 1,543,050 | |||||||||||||||||
1,500,000 | VANCOUVER WA HSG AUTH | 12/1/2051 | 3.30 | 1,500,000 | 1,576,095 | |||||||||||||||||
530,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 7/1/2025 | 6.00 | 532,245 | 558,684 | |||||||||||||||||
1,000,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 1/1/2031 | 5.00 | 1,001,336 | 1,029,030 | |||||||||||||||||
750,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 7/1/2031 | 5.00 | 789,975 | 755,790 | |||||||||||||||||
675,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 1/1/2035 | 5.75 | 675,000 | 676,586 |
See accompanying notes to financial statements. | 65 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | ||||||||||||||||
Washington (Cont’d): | ||||||||||||||||||||||
600,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 7/1/2036 | 5.00 | $ | 629,092 | 573,270 | ||||||||||||||||
500,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 1/1/2038 | 5.00 | 538,423 | 528,570 | |||||||||||||||||
1,000,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 1/1/2044 | 5.00 | 1,085,456 | 982,360 | |||||||||||||||||
1,000,000 | WASHINGTON ST HSG FIN COMMISSION(c) | 7/1/2048 | 5.00 | 1,093,428 | 959,290 | |||||||||||||||||
15,254,997 | 15,593,435 | 2.66 | % | |||||||||||||||||||
West Virginia | ||||||||||||||||||||||
1,500,000 | WEST VIRGINIA ST HSG DEV FUND | 11/1/2032 | 3.75 | 1,500,000 | 1,622,475 | |||||||||||||||||
1,500,000 | 1,622,475 | 0.28 | % | |||||||||||||||||||
Wisconsin | ||||||||||||||||||||||
1,500,000 | PUBLIC FIN AUTH WI CCRC REVENUE(c) | 6/1/2046 | 8.25 | 1,534,937 | 1,583,535 | |||||||||||||||||
16,520 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2046 | 0.00 | 1,120 | 390 | |||||||||||||||||
18,299 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2047 | 0.00 | 1,205 | 415 | |||||||||||||||||
17,930 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2048 | 0.00 | 1,154 | 400 | |||||||||||||||||
17,786 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2049 | 0.00 | 1,120 | 388 | |||||||||||||||||
17,496 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2050 | 0.00 | 1,077 | 366 | |||||||||||||||||
18,980 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2051 | 0.00 | 1,143 | 389 | |||||||||||||||||
446,246 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(f)(g)(i) | 7/1/2051 | 3.75 | 443,916 | 281,331 | |||||||||||||||||
19,357 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2052 | 0.00 | 1,140 | 381 | |||||||||||||||||
19,095 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2053 | 0.00 | 1,101 | 368 | |||||||||||||||||
18,909 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2054 | 0.00 | 1,069 | 353 | |||||||||||||||||
18,634 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2055 | 0.00 | 1,033 | 340 | |||||||||||||||||
18,360 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2056 | 0.00 | 999 | 329 | |||||||||||||||||
98,139 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(g) | 7/1/2056 | 5.50 | 97,967 | 71,078 | |||||||||||||||||
18,454 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2057 | 0.00 | 1,770 | 321 | |||||||||||||||||
18,165 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2058 | 0.00 | 946 | 308 | |||||||||||||||||
17,992 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2059 | 0.00 | 920 | 298 | |||||||||||||||||
17,834 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2060 | 0.00 | 897 | 285 | |||||||||||||||||
17,573 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2061 | 0.00 | 869 | 273 | |||||||||||||||||
17,400 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2062 | 0.00 | 848 | 262 | |||||||||||||||||
17,125 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2063 | 0.00 | 821 | 252 | |||||||||||||||||
16,967 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2064 | 0.00 | 801 | 245 | |||||||||||||||||
16,823 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2065 | 0.00 | 782 | 233 | |||||||||||||||||
16,731 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2066 | 0.00 | 765 | 221 | |||||||||||||||||
215,987 | PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE(c)(e) | 1/1/2067 | 0.00 | 9,314 | 2,633 | |||||||||||||||||
520,000 | PUBLIC FIN AUTH WI EDU REVENUE(c) | 6/15/2049 | 5.00 | 526,651 | 522,111 | |||||||||||||||||
445,000 | PUBLIC FIN AUTH WI REVENUE | 4/1/2025 | 5.00 | 446,861 | 467,379 | |||||||||||||||||
1,250,000 | PUBLIC FIN AUTH WI REVENUE(c) | 11/1/2028 | 6.25 | 1,250,000 | 1,438,512 | |||||||||||||||||
600,000 | PUBLIC FIN AUTH WI REVENUE | 4/1/2032 | 5.50 | 600,000 | 612,660 | |||||||||||||||||
1,000,000 | PUBLIC FIN AUTH WI REVENUE(c) | 1/1/2033 | 6.13 | 989,169 | 882,190 | |||||||||||||||||
341,000 | PUBLIC FIN AUTH WI REVENUE(e) | 10/1/2042 | 0.00 | 375,170 | 50,784 | |||||||||||||||||
515,000 | PUBLIC FIN AUTH WI REVENUE | 10/1/2042 | 7.00 | 527,586 | 481,994 | |||||||||||||||||
13,694 | PUBLIC FIN AUTH WI REVENUE(b)(c)(g) | 12/1/2048 | 5.50 | 13,694 | 6,847 |
See accompanying notes to financial statements. | 66 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Par/Shares | Security | Maturity date | Coupon rate | Cost | Fair value (a) | Percent of net assets | ||||||||||||||||
Wisconsin (Cont’d): | ||||||||||||||||||||||
1,195,000 | PUBLIC FIN AUTH WI SENIOR LIVING REVENUE(c) | 11/15/2024 | 5.00 | $ | 1,193,189 | 1,238,426 | ||||||||||||||||
500,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 8/1/2032 | 5.00 | 541,408 | 477,700 | |||||||||||||||||
1,300,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 8/15/2032 | 5.00 | 1,377,158 | 1,479,569 | |||||||||||||||||
700,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 6/1/2037 | 5.00 | 731,885 | 669,921 | |||||||||||||||||
500,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 9/15/2040 | 5.00 | 512,780 | 506,155 | |||||||||||||||||
2,000,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 8/15/2043 | 5.00 | 2,049,335 | 2,122,920 | |||||||||||||||||
1,400,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 9/15/2045 | 5.00 | 1,433,667 | 1,413,090 | |||||||||||||||||
650,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 11/1/2046 | 5.00 | 673,354 | 626,008 | |||||||||||||||||
2,000,000 | WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE | 10/1/2048 | 5.13 | 1,963,380 | 1,940,320 | |||||||||||||||||
500,000 | WISCONSIN ST HSG & ECON DEV AUTH | 11/1/2035 | 3.88 | 500,000 | 538,145 | |||||||||||||||||
1,000,000 | WISCONSIN ST HSG & ECON DEV AUTH | 11/1/2040 | 4.00 | 1,000,000 | 1,074,660 | |||||||||||||||||
1,000,000 | WISCONSIN ST HSG & ECON DEV AUTH | 11/1/2042 | 3.90 | 1,003,795 | 1,089,400 | |||||||||||||||||
1,500,000 | WISCONSIN ST HSG & ECON DEV AUTH | 5/1/2055 | 4.15 | 1,500,000 | 1,628,430 | |||||||||||||||||
21,316,796 | 21,212,615 | 3.61 | % | |||||||||||||||||||
Wyoming | ||||||||||||||||||||||
1,000,000 | NATRONA CNTY WY HOSP REVENUE | 9/15/2031 | 6.35 | 1,000,000 | 1,042,140 | |||||||||||||||||
630,000 | WYOMING ST CMNTY DEV AUTH HSG REVENUE | 12/1/2038 | 3.90 | 630,000 | 692,521 | |||||||||||||||||
1,645,000 | WYOMING ST CMNTY DEV AUTH HSG REVENUE | 12/1/2038 | 4.05 | 1,645,000 | 1,704,845 | |||||||||||||||||
3,275,000 | 3,439,506 | 0.59 | % | |||||||||||||||||||
Sub-total Municipal Bonds: | 526,718,072 | 542,653,177 | 92.46 | % | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
5,284,667 | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.13%(j) | 5,284,667 | 5,284,667 | |||||||||||||||||||
Sub-total Short-Term Investments: | 5,284,667 | 5,284,667 | 0.90 | % | ||||||||||||||||||
Grand total | $ | 565,721,847 | 581,880,150 | 99.14 | % |
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. For long-term debt securities, item identified is in default as to payment of interest and/or principal. |
(c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The value of these securities is determined by valuations supplied by a pricing service or brokers, or, if not available, in accordance with procedures established by the Board of Trustees. |
(d) | For step bonds, the coupon rate disclosed is the current rate in effect. |
(e) | Zero coupon bond. |
(f) | Variable rate security. Rate as of June 30, 2020 is disclosed. |
(g) | Restricted security that has been deemed illiquid. At June 30, 2020, the value of these restricted illiquid securities amounted to $5,333,280 or 0.91% of net assets. Additional information on these restricted illiquid securities is as follows: |
SECURITY | AQUISITION DATE | ACQUISITION COST | ||||
CAPITAL TRUST AGY FL REVENUE, 6.75%, 12/1/35 | 12/2/15-1/21/16 | $ | 1,748,875 | |||
CAPITAL TRUST AGY FL REVENUE, 6.75%, 7/1/37 | 6/28/17 | 750,000 | ||||
COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REV, 8.13%, 5/15/44 | 6/27/17-4/12/18 | 1,961,290 | ||||
COLLIER CNTY FLA INDL DEV AUTH CONTINUING CARE CMNTY REVENUE, 7.25%, 5/15/26 | 12/16/13 | 750,000 |
|
See accompanying notes to financial statements. | 67 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
SECURITY | AQUISITION DATE | ACQUISITION COST | ||||
FRANKLIN TN HLTH & EDUCTNL FACS BRD REVENUE, 6.50%, 6/1/27 | 5/24/17 | $ | 1,000,000 | |||
KANSAS CITY MO INDL DEV AUTH SENIOR LIVING FACS REVENUE, 5.75%, 11/15/36 | 12/18/15 | 1,300,000 | ||||
PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE, 5.50%, 7/1/56 | 3/26/18-1/2/20 | 97,967 | ||||
PUBLIC FIN AUTH WI CONFERENCE CENTER & HOTEL REVENUE, 3.75%, 7/1/51 | 3/26/18 | 443,916 | ||||
PUBLIC FIN AUTH WI REVENUE, 5.50%, 12/1/48 | 3/26/19 | 13,694 |
(h) | Security has converted to a fixed rate as of February 1, 2015, and will be going forward. |
(i) | These securities are remarketed by an agent, and the rate at which these securities are set are determined by general market conditions and supply and demand. |
(j) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2019, the value of the Clearwater Tax-Exempt Bond Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $22,581,520 with net sales of $17,296,853 for the six months ended June 30, 2020. |
Diversification of investments representing geographic diversification, as a percentage of total investments at fair value, is as follows:
Geographical Diversification | Percent | |||
Florida | 10.90 | % | ||
Illinois | 8.90 | |||
California | 8.07 | |||
Texas | 6.72 | |||
New York | 6.64 | |||
Colorado | 5.13 | |||
Georgia | 4.07 | |||
Wisconsin | 3.65 | |||
New Jersey | 3.00 | |||
Pennsylvania | 2.99 | |||
Other | 39.93 | |||
100.00 | % |
See accompanying notes to financial statements. | 68 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater Tax-Exempt Bond Fund
June 30, 2020 (unaudited)
Clearwater Tax-Exempt Bond Fund Portfolio Diversification
(as a percentage of net assets)
See accompanying notes to financial statements. | 69 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
Common Stocks: | |||||||||||||||
Argentina: | |||||||||||||||
8,630 | GLOBANT S.A.(b) | $ | 841,245 | 1,293,206 | |||||||||||
7,047 | MERCADOLIBRE, INC.(b) | 4,513,655 | 6,946,721 | ||||||||||||
5,354,900 | 8,239,927 | 1.23 | % | ||||||||||||
Australia: | |||||||||||||||
275,180 | ADAIRS LTD.(c) | 331,893 | 439,481 | ||||||||||||
102,780 | ALLIANCE AVIATION SERVICES LTD. | 167,434 | 216,080 | ||||||||||||
89,441 | APA GROUP | 554,557 | 688,729 | ||||||||||||
72,610 | APPEN LTD. | 1,072,905 | 1,706,775 | ||||||||||||
2,792 | ASX LTD. | 61,614 | 164,982 | ||||||||||||
19,807 | AUSTRALIA & NEW ZEALAND BANKING GROUP LTD. | 188,757 | 256,326 | ||||||||||||
195,700 | AVENTUS GROUP | 351,688 | 284,694 | ||||||||||||
250,708 | BEACH ENERGY LTD. | 466,720 | 264,710 | ||||||||||||
179,910 | BGP HOLDINGS PLC(b)(d) | - | - | ||||||||||||
19,642 | BHP GROUP LTD. | 286,016 | 487,451 | ||||||||||||
37,600 | BLUESCOPE STEEL LTD. | 301,071 | 304,956 | ||||||||||||
18,817 | BRAMBLES LTD. | 73,935 | 141,558 | ||||||||||||
49,542 | CEDAR WOODS PROPERTIES LTD. | 234,956 | 179,319 | ||||||||||||
971 | COCHLEAR LTD. | 35,893 | 126,696 | ||||||||||||
19,339 | COLES GROUP LTD. | 154,507 | 229,727 | ||||||||||||
11,157 | COMMONWEALTH BANK OF AUSTRALIA | 235,177 | 537,315 | ||||||||||||
43,827 | CSL LTD. | 3,060,527 | 8,688,834 | ||||||||||||
14,184 | DEXUS | 62,970 | 90,389 | ||||||||||||
97,180 | FORTESCUE METALS GROUP LTD. | 212,026 | 932,462 | ||||||||||||
22,072 | GOODMAN GROUP | 76,819 | 227,160 | ||||||||||||
191,776 | HT&E LTD. | 241,003 | 158,579 | ||||||||||||
46,448 | INSURANCE AUSTRALIA GROUP LTD. | 119,637 | 185,670 | ||||||||||||
10,015 | LENDLEASE GROUP | 61,130 | 85,949 | ||||||||||||
7,819 | MACQUARIE GROUP LTD. | 175,414 | 643,612 | ||||||||||||
25,670 | MINERAL RESOURCES LTD. | 246,214 | 376,620 | ||||||||||||
573,700 | MOUNT GIBSON IRON LTD. | 260,031 | 242,312 | ||||||||||||
281,913 | NANOSONICS LTD.(b) | 1,216,371 | 1,332,435 | ||||||||||||
319,500 | NEW HOPE CORP. LTD. | 444,174 | 304,151 | ||||||||||||
7,157 | NEWCREST MINING LTD. | 59,115 | 159,567 | ||||||||||||
13,064 | ORORA LTD. | 16,762 | 22,984 | ||||||||||||
256,036 | QANTAS AIRWAYS LTD. | 746,678 | 670,746 | ||||||||||||
2,805 | RAMSAY HEALTH CARE LTD. | 60,296 | 129,293 | ||||||||||||
169,500 | REGIS RESOURCES LTD. | 501,445 | 623,360 | ||||||||||||
321,800 | RURAL FUNDS GROUP | 463,059 | 427,834 | ||||||||||||
173,937 | SANTOS LTD. | 509,938 | 639,551 | ||||||||||||
22,739 | SEEK LTD. | 233,310 | 345,126 | ||||||||||||
102,600 | SMARTGROUP CORP. LTD. | 452,529 | 433,861 | ||||||||||||
39,820 | SONIC HEALTHCARE LTD. | 470,951 | 840,643 | ||||||||||||
99,989 | SOUTH32 LTD. | 68,941 | 141,583 | ||||||||||||
75,800 | SUPER RETAIL GROUP LTD. | 517,213 | 426,321 | ||||||||||||
11,916 | SYDNEY AIRPORT | 40,965 | 46,721 | ||||||||||||
13,099 | TRANSURBAN GROUP | 36,728 | 127,913 | ||||||||||||
12,261 | TREASURY WINE ESTATES LTD. | 49,081 | 88,758 | ||||||||||||
1,320 | WESFARMERS LTD. | 31,901 | 40,999 | ||||||||||||
3,058 | WISETECH GLOBAL LTD. | 44,549 | 40,899 | ||||||||||||
284,448 | ZIP CO. LTD.(b) | 699,659 | 1,034,462 | ||||||||||||
15,696,559 | 25,537,593 | 3.81 | % | ||||||||||||
Austria: | |||||||||||||||
15,700 | BAWAG GROUP A.G.(b)(e) | 600,064 | 541,306 | ||||||||||||
1,821 | ERSTE GROUP BANK A.G.(b) | 28,050 | 42,792 | ||||||||||||
93 | IMMOFINANZ A.G.(b) | - | 1,587 | ||||||||||||
32,264 | RAIFFEISEN BANK INTERNATIONAL A.G. | 563,262 | 573,896 | ||||||||||||
313 | STRABAG S.E. (BEARER) | 5,505 | 8,063 | ||||||||||||
57,900 | TELEKOM AUSTRIA A.G.(b) | 422,512 | 399,840 | ||||||||||||
631 | UBM DEVELOPMENT A.G. | 28,973 | 21,885 | ||||||||||||
VIENNA INSURANCE GROUP A.G. WIENER | |||||||||||||||
21,794 | VERSICHERUNG GRUPPE(b) | 595,919 | 486,800 | ||||||||||||
23,500 | WIENERBERGER A.G.(b) | 561,499 | 511,331 | ||||||||||||
2,805,784 | 2,587,500 | 0.38 | % | ||||||||||||
Belgium: | |||||||||||||||
7,478 | AGEAS S.A./N.V. | 117,910 | 264,481 |
See accompanying notes to financial statements. | 70 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
Belgium (Cont’d): | |||||||||||||||
10,113 | ANHEUSER-BUSCH INBEV S.A./N.V. | $ | 285,546 | 498,436 | |||||||||||
19,000 | BPOST S.A. | 195,697 | 127,959 | ||||||||||||
42,740 | GROUPE BRUXELLES LAMBERT S.A. | 3,730,124 | 3,581,104 | ||||||||||||
4,347 | KBC GROUP N.V. | 101,356 | 248,970 | ||||||||||||
21,394 | ONTEX GROUP N.V.(b) | 501,601 | 312,830 | ||||||||||||
9,705 | TELENET GROUP HOLDING N.V. | 401,578 | 399,082 | ||||||||||||
1,080 | UCB S.A. | 30,240 | 125,009 | ||||||||||||
1,502 | UMICORE S.A. | 44,422 | 70,623 | ||||||||||||
5,408,474 | 5,628,494 | 0.84 | % | ||||||||||||
Brazil: | |||||||||||||||
129,000 | CAMIL ALIMENTOS S.A.(b) | 274,164 | 266,156 | ||||||||||||
201,100 | GRUPO SBF S.A.(b) | 1,132,130 | 1,209,610 | ||||||||||||
116,800 | IOCHPE-MAXION S.A. | 415,995 | 290,384 | ||||||||||||
98,393 | NOTRE DAME INTERMEDICA PARTICIPACOES S.A. | 825,694 | 1,230,523 | ||||||||||||
88,100 | WIZ SOLUCOES E CORRETAGEM DE SEGUROS S.A. | 235,725 | 171,887 | ||||||||||||
2,883,708 | 3,168,560 | 0.47 | % | ||||||||||||
Canada: | |||||||||||||||
2,027 | AGNICO EAGLE MINES LTD. | 57,973 | 129,793 | ||||||||||||
12,428 | ALIMENTATION COUCHE-TARD, INC., CLASS B | 223,779 | 389,702 | ||||||||||||
78,700 | B2GOLD CORP. | 426,606 | 447,528 | ||||||||||||
785 | BANK OF MONTREAL | 34,168 | 41,783 | ||||||||||||
10,208 | BANK OF NOVA SCOTIA (THE) | 342,835 | 422,426 | ||||||||||||
40,918 | BARRICK GOLD CORP. | 384,639 | 1,101,013 | ||||||||||||
27,148 | BROOKFIELD ASSET MANAGEMENT, INC., CLASS A | 174,133 | 893,468 | ||||||||||||
11,000 | BRP, INC. (SUB VOTING) | 430,510 | 469,137 | ||||||||||||
83,849 | CAE, INC. | 1,756,114 | 1,360,014 | ||||||||||||
14,528 | CANADIAN IMPERIAL BANK OF COMMERCE | 674,491 | 971,030 | ||||||||||||
15,994 | CANADIAN NATIONAL RAILWAY CO. | 292,557 | 1,415,026 | ||||||||||||
3,606 | CANADIAN PACIFIC RAILWAY LTD. | 112,878 | 917,224 | ||||||||||||
22,029 | CANADIAN PACIFIC RAILWAY LTD. (NEW YORK EXCHANGE) | 2,964,365 | 5,624,885 | ||||||||||||
5,400 | CANADIAN TIRE CORP. LTD., CLASS A | 582,254 | 467,926 | ||||||||||||
13,600 | CARGOJET, INC. | 1,012,099 | 1,602,829 | ||||||||||||
35,300 | CASCADES, INC. | 347,472 | 384,566 | ||||||||||||
45,100 | CENTERRA GOLD, INC. | 366,388 | 503,289 | ||||||||||||
6,978 | CGI, INC.(b) | 55,128 | 439,620 | ||||||||||||
52,600 | COMINAR REAL ESTATE INVESTMENT TRUST(c) | 431,812 | 316,933 | ||||||||||||
339 | CONSTELLATION SOFTWARE, INC. | 209,176 | 382,771 | ||||||||||||
71,700 | CORUS ENTERTAINMENT, INC., CLASS B | 258,797 | 151,047 | ||||||||||||
29,500 | DESCARTES SYSTEMS GROUP (THE), INC.(b) | 1,149,758 | 1,557,355 | ||||||||||||
6,582 | DOLLARAMA, INC. | 86,132 | 218,948 | ||||||||||||
25,600 | DOREL INDUSTRIES, INC., CLASS B | 175,448 | 102,392 | ||||||||||||
110,655 | ECN CAPITAL CORP. | 366,000 | 314,620 | ||||||||||||
72,100 | ENERPLUS CORP. | 414,689 | 202,874 | ||||||||||||
28,366 | EQUINOX GOLD CORP.(b) | 177,520 | 317,174 | ||||||||||||
211 | FAIRFAX FINANCIAL HOLDINGS LTD. | 52,589 | 65,188 | ||||||||||||
15,640 | FIRSTSERVICE CORP. | 1,586,406 | 1,575,405 | ||||||||||||
1,025 | FORTIS, INC. | 32,011 | 38,981 | ||||||||||||
2,389 | FRANCO-NEVADA CORP. | 109,265 | 333,731 | ||||||||||||
6,104 | GILDAN ACTIVEWEAR, INC. | 33,435 | 94,554 | ||||||||||||
208,410 | HUSKY ENERGY, INC. | 454,613 | 684,670 | ||||||||||||
19,500 | IA FINANCIAL CORP., INC. | 882,358 | 652,969 | ||||||||||||
128,333 | IMPERIAL OIL LTD. | 3,613,348 | 2,064,520 | ||||||||||||
415 | INTACT FINANCIAL CORP. | 33,776 | 39,498 | ||||||||||||
1,100 | INTERNATIONAL PETROLEUM CORP.(b) | 2,833 | 1,989 | ||||||||||||
11,801 | KINAXIS, INC.(b) | 742,945 | 1,686,875 | ||||||||||||
35,289 | KINROSS GOLD CORP.(b) | 70,483 | 254,738 | ||||||||||||
2,064 | LOBLAW COS. LTD. | 70,779 | 100,509 | ||||||||||||
26,814 | LULULEMON ATHLETICA, INC.(b) | 5,344,898 | 8,366,236 | ||||||||||||
9,753 | MAGNA INTERNATIONAL, INC. | 71,192 | 434,345 | ||||||||||||
3,590 | MANULIFE FINANCIAL CORP. | 39,610 | 48,842 | ||||||||||||
3,000 | METRO, INC. | 54,328 | 123,748 | ||||||||||||
19,328 | NATIONAL BANK OF CANADA | 618,005 | 875,853 | ||||||||||||
18,700 | NFI GROUP, INC. | 423,076 | 229,342 | ||||||||||||
6,762 | NUTRIEN LTD. | 114,296 | 217,265 | ||||||||||||
6,564 | OPEN TEXT CORP. | 72,477 | 278,738 | ||||||||||||
4,522 | PEMBINA PIPELINE CORP. | 33,296 | 113,050 |
See accompanying notes to financial statements. | 71 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
Canada (Cont’d): | |||||||||||||||
49,000 | PIZZA PIZZA ROYALTY CORP. | $ | 343,236 | 301,017 | |||||||||||
27,894 | RIOCAN REAL ESTATE INVESTMENT TRUST | 313,497 | 315,595 | ||||||||||||
2,701 | RITCHIE BROS. AUCTIONEERS, INC. | 50,064 | 109,962 | ||||||||||||
9,320 | ROGERS COMMUNICATIONS, INC., CLASS B | 220,803 | 374,489 | ||||||||||||
27,055 | ROYAL BANK OF CANADA | 908,896 | 1,835,619 | ||||||||||||
40,500 | SEVEN GENERATIONS ENERGY LTD., CLASS A(b) | 277,351 | 90,391 | ||||||||||||
1,375 | SHOPIFY, INC., CLASS A(b) | 371,506 | 1,306,301 | ||||||||||||
10,094 | SHOPIFY, INC., CLASS A (NEW YORK EXCHANGE)(b) | 1,574,565 | 9,581,225 | ||||||||||||
12,101 | SUN LIFE FINANCIAL, INC. | 245,097 | 444,696 | ||||||||||||
96,283 | SUNCOR ENERGY, INC. | 2,391,519 | 1,623,393 | ||||||||||||
3,667 | TC ENERGY CORP. | 103,969 | 156,663 | ||||||||||||
31,989 | TECK RESOURCES LTD., CLASS B | 174,290 | 335,065 | ||||||||||||
9,096 | TELUS CORP. | 59,716 | 152,694 | ||||||||||||
10,700 | TFI INTERNATIONAL, INC. | 328,109 | 379,812 | ||||||||||||
8,040 | THOMSON REUTERS CORP. | 206,603 | 546,265 | ||||||||||||
30,009 | TORONTO-DOMINION BANK (THE) | 557,653 | 1,339,309 | ||||||||||||
104 | TRISURA GROUP LTD.(b) | 490 | 4,692 | ||||||||||||
16,800 | WAJAX CORP. | 206,860 | 103,948 | ||||||||||||
26,600 | WESTSHORE TERMINALS INVESTMENT CORP. | 397,133 | 327,406 | ||||||||||||
6,930 | WHEATON PRECIOUS METALS CORP. | 114,647 | 304,795 | ||||||||||||
25,967 | YAMANA GOLD, INC. | 47,753 | 141,158 | ||||||||||||
36,857,497 | 59,200,914 | 8.83 | % | ||||||||||||
Chile: | |||||||||||||||
405,800 | AGUAS ANDINAS S.A., CLASS A | 138,660 | 137,441 | ||||||||||||
5,893,187 | ENEL CHILE S.A. | 532,930 | 440,518 | ||||||||||||
671,590 | 577,959 | 0.09 | % | ||||||||||||
China: | |||||||||||||||
290,000 | AGILE GROUP HOLDINGS LTD. | 352,847 | 343,957 | ||||||||||||
73,000 | AIRTAC INTERNATIONAL GROUP | 969,374 | 1,287,528 | ||||||||||||
13,869 | ALIBABA GROUP HOLDING LTD. ADR(b)(f) | 2,721,462 | 2,991,543 | ||||||||||||
291,500 | ASIA CEMENT CHINA HOLDINGS CORP. | 362,392 | 287,420 | ||||||||||||
31,598 | BAIDU, INC. ADR(b)(f) | 3,957,248 | 3,788,284 | ||||||||||||
656,000 | CHINA BLUECHEMICAL LTD., CLASS H | 177,444 | 98,026 | ||||||||||||
408,000 | CHINA MEDICAL SYSTEM HOLDINGS LTD. | 472,941 | 481,085 | ||||||||||||
1,191,000 | CHINA SUNTIEN GREEN ENERGY CORP. LTD., CLASS H(b) | 329,834 | 272,236 | ||||||||||||
9,600 | HANGZHOU TIGERMED CONSULTING CO. LTD., CLASS A | 87,839 | 138,449 | ||||||||||||
67,857 | HANGZHOU TIGERMED CONSULTING CO. LTD., CLASS A (SHENZEN-HONG KONG EXCHANGE) | 587,456 | 978,138 | ||||||||||||
21,000 | SILERGY CORP. | 674,111 | 1,362,846 | ||||||||||||
95,155 | TENCENT HOLDINGS LTD. | 1,490,900 | 6,112,168 | ||||||||||||
104,537 | TRIP.COM GROUP LTD. ADR(b)(f) | 2,972,858 | 2,709,599 | ||||||||||||
412,000 | ZHEJIANG EXPRESSWAY CO. LTD., CLASS H | 352,185 | 292,236 | ||||||||||||
15,508,891 | 21,143,515 | 3.15 | % | ||||||||||||
Czech Republic: | |||||||||||||||
88,400 | MONETA MONEY BANK A.S.(e) | 268,732 | 199,627 | ||||||||||||
701 | PHILIP MORRIS CR A.S. | 402,294 | 393,082 | ||||||||||||
671,026 | 592,709 | 0.09 | % | ||||||||||||
Denmark: | |||||||||||||||
5,680 | ALK-ABELLO A/S(b) | 1,533,678 | 1,515,866 | ||||||||||||
44 | AP MOLLER - MAERSK A/S, CLASS A | 35,561 | 47,722 | ||||||||||||
65 | AP MOLLER - MAERSK A/S, CLASS B | 52,319 | 75,667 | ||||||||||||
1,537 | CARLSBERG A/S, CLASS B | 70,497 | 203,038 | ||||||||||||
1,178 | CHR HANSEN HOLDING A/S | 71,480 | 121,429 | ||||||||||||
1,500 | COLOPLAST A/S, CLASS B | 27,666 | 232,543 | ||||||||||||
22,200 | D/S NORDEN A/S | 318,702 | 298,559 | ||||||||||||
6,700 | DANSKE BANK A/S(b) | 54,825 | 89,116 | ||||||||||||
4,348 | DEMANT A/S(b) | 81,241 | 114,581 | ||||||||||||
74,428 | DSV PANALPINA A/S | 6,971,256 | 9,079,899 | ||||||||||||
804 | GENMAB A/S(b) | 100,710 | 268,955 | ||||||||||||
6,944 | ISS A/S(b) | 96,080 | 109,872 | ||||||||||||
21,785 | NOVO NORDISK A/S, CLASS B | 271,361 | 1,409,733 | ||||||||||||
2,460 | NOVOZYMES A/S, CLASS B | 38,506 | 142,161 | ||||||||||||
864 | ORSTED A/S(e) | 72,349 | 99,645 | ||||||||||||
9,400 | PANDORA A/S | 311,027 | 510,295 | ||||||||||||
33,032 | ROYAL UNIBREW A/S(b) | 2,269,667 | 2,746,401 | ||||||||||||
6,185 | SIMCORP A/S | 568,867 | 666,356 |
See accompanying notes to financial statements. | 72 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
Denmark (Cont’d): | |||||||||||||||
2,699 | SOLAR A/S, CLASS B | $ | 116,641 | 104,870 | |||||||||||
3,250 | TOPDANMARK A/S | 33,362 | 134,203 | ||||||||||||
3,362 | VESTAS WIND SYSTEMS A/S | 160,514 | 342,101 | ||||||||||||
13,256,309 | 18,313,012 | 2.73 | % | ||||||||||||
Finland: | |||||||||||||||
2,770 | ELISA OYJ | 86,574 | 168,375 | ||||||||||||
5,584 | KESKO OYJ, CLASS B | 30,705 | 95,410 | ||||||||||||
5,273 | KONE OYJ, CLASS B | 105,699 | 362,343 | ||||||||||||
21,225 | NESTE OYJ | 67,704 | 828,936 | ||||||||||||
3,741 | NOKIAN RENKAAT OYJ | 60,808 | 82,004 | ||||||||||||
2,237 | ORION OYJ, CLASS B | 59,265 | 108,151 | ||||||||||||
36,100 | SANOMA OYJ | 389,480 | 365,145 | ||||||||||||
18,590 | STORA ENSO OYJ (REGISTERED) | 105,291 | 221,690 | ||||||||||||
11,934 | UPM-KYMMENE OYJ | 99,929 | 344,392 | ||||||||||||
1,849 | VALMET OYJ | 14,443 | 48,193 | ||||||||||||
1,019,898 | 2,624,639 | 0.39 | % | ||||||||||||
France: | |||||||||||||||
2,425 | AEROPORTS DE PARIS | 221,080 | 248,622 | ||||||||||||
22,200 | AIR FRANCE-KLM(b)(c) | 263,182 | 100,350 | ||||||||||||
11,027 | AIRBUS S.E.(b) | 366,293 | 784,668 | ||||||||||||
4,707 | ARKEMA S.A. | 419,345 | 449,505 | ||||||||||||
27,762 | AXA S.A.(b) | 358,341 | 579,368 | ||||||||||||
3,062 | CAPGEMINI S.E. | 111,713 | 350,264 | ||||||||||||
19,252 | CIE DE SAINT-GOBAIN(b) | 430,348 | 691,966 | ||||||||||||
5,399 | CIE DES ALPES | 143,643 | 107,556 | ||||||||||||
3,383 | CIE GENERALE DES ETABLISSEMENTS MICHELIN S.C.A. | 179,029 | 350,466 | ||||||||||||
12,397 | CIE PLASTIC OMNIUM S.A. | 365,091 | 252,207 | ||||||||||||
37,390 | COFACE S.A.(b) | 449,179 | 244,848 | ||||||||||||
7,706 | COVIVIO | 482,654 | 557,704 | ||||||||||||
16,517 | CREDIT AGRICOLE S.A.(b) | 122,492 | 156,015 | ||||||||||||
22,084 | DANONE S.A.(b) | 1,252,105 | 1,526,038 | ||||||||||||
1,736 | EDENRED | 25,484 | 75,840 | ||||||||||||
417 | EIFFAGE S.A.(b) | 34,325 | 38,075 | ||||||||||||
4,785 | ENGIE S.A.(b) | 49,329 | 59,063 | ||||||||||||
15,893 | ESSILORLUXOTTICA S.A.(b) | 1,815,130 | 2,041,527 | ||||||||||||
8,050 | ESSILORLUXOTTICA S.A. (EURONEXT PARIS EXCHANGE)(b) | 948,207 | 1,031,764 | ||||||||||||
2,901 | EURAZEO S.E.(b) | 76,265 | 148,558 | ||||||||||||
564 | GECINA S.A. | 51,331 | 69,622 | ||||||||||||
9,197 | GETLINK S.E.(b) | 70,409 | 132,547 | ||||||||||||
3,791 | ILIAD S.A. | 536,903 | 738,885 | ||||||||||||
3,399 | INFOTEL S.A. | 145,404 | 131,284 | ||||||||||||
6,762 | IPSEN S.A. | 538,954 | 574,182 | ||||||||||||
9,500 | KAUFMAN & BROAD S.A. | 362,957 | 327,283 | ||||||||||||
1,026 | KERING S.A. | 174,510 | 557,292 | ||||||||||||
4,848 | LEGRAND S.A. | 109,851 | 367,857 | ||||||||||||
6,266 | L’OREAL S.A.(b) | 661,338 | 2,008,818 | ||||||||||||
16,073 | LVMH MOET HENNESSY LOUIS VUITTON S.E. | 2,533,629 | 7,039,957 | ||||||||||||
14,296 | MERSEN S.A. | 465,081 | 339,978 | ||||||||||||
8,798 | NEXITY S.A. | 431,993 | 284,372 | ||||||||||||
22,589 | PERNOD RICARD S.A. | 3,500,417 | 3,550,298 | ||||||||||||
12,760 | PEUGEOT S.A.(b) | 76,914 | 207,128 | ||||||||||||
22,566 | RENAULT S.A.(b) | 410,994 | 571,200 | ||||||||||||
2,684 | SAFRAN S.A.(b) | 123,278 | 268,487 | ||||||||||||
18,127 | SANOFI | 1,018,143 | 1,844,224 | ||||||||||||
278 | SCHNEIDER ELECTRIC S.E. | 8,838 | 31,082 | ||||||||||||
7,138 | SCHNEIDER ELECTRIC S.E. (EURONEXT PARIS EXCHANGE) | 267,356 | 791,374 | ||||||||||||
2,229 | SCOR S.E.(b) | 45,950 | 61,002 | ||||||||||||
3,699 | SOCIETE POUR L’INFORMATIQUE INDUSTRIELLE | 108,264 | 85,112 | ||||||||||||
28,468 | SODEXO S.A. | 2,575,842 | 1,923,022 | ||||||||||||
12,960 | SOITEC(b) | 1,077,856 | 1,441,734 | ||||||||||||
51,800 | TELEVISION FRANCAISE 1(b) | 458,222 | 279,811 | ||||||||||||
1,413 | THALES S.A. | 81,763 | 113,977 | ||||||||||||
5,240 | TOTAL S.A.(c) | 186,436 | 199,590 | ||||||||||||
5,246 | UNIBAIL-RODAMCO-WESTFIELD | 244,467 | 295,081 | ||||||||||||
3,269 | VALEO S.A. | 58,895 | 85,629 |
See accompanying notes to financial statements. | 73 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
France (Cont’d): | |||||||||||||||
13,514 | VEOLIA ENVIRONNEMENT S.A. | $ | 143,775 | 303,535 | |||||||||||
10,500 | VICAT S.A. | 406,419 | 322,422 | ||||||||||||
8,179 | VINCI S.A.(c) | 345,228 | 752,131 | ||||||||||||
95,834 | VIVENDI S.A. | 2,001,171 | 2,456,338 | ||||||||||||
6,004 | WENDEL S.E.(b) | 462,932 | 571,669 | ||||||||||||
27,798,755 | 38,521,327 | 5.74 | % | ||||||||||||
Georgia: | |||||||||||||||
21,875 | BANK OF GEORGIA GROUP PLC(b) | 355,261 | 290,887 | ||||||||||||
355,261 | 290,887 | 0.04 | % | ||||||||||||
Germany: | |||||||||||||||
3,994 | ADIDAS A.G.(b) | 192,837 | 1,044,909 | ||||||||||||
9,283 | ALLIANZ S.E. (REGISTERED) | 904,298 | 1,893,488 | ||||||||||||
166,833 | ARCH CAPITAL GROUP LTD.(b) | 3,025,026 | 4,779,765 | ||||||||||||
6,098 | AURUBIS A.G. | 286,000 | 375,631 | ||||||||||||
13,735 | BASF S.E. | 463,128 | 767,511 | ||||||||||||
9,925 | BAYER A.G. (REGISTERED) | 473,075 | 728,491 | ||||||||||||
8,787 | BAYERISCHE MOTOREN WERKE A.G. | 501,991 | 559,812 | ||||||||||||
2,206 | BEIERSDORF A.G. | 146,950 | 250,282 | ||||||||||||
1,188 | BRENNTAG A.G. | 43,546 | 62,366 | ||||||||||||
1,042 | CONTINENTAL A.G.(b) | 57,443 | 101,777 | ||||||||||||
1,858 | DELIVERY HERO S.E.(b)(e) | 87,405 | 189,306 | ||||||||||||
4,594 | DEUTSCHE BOERSE A.G. | 283,234 | 830,361 | ||||||||||||
15,996 | DEUTSCHE EUROSHOP A.G.(b) | 435,440 | 225,502 | ||||||||||||
37,890 | DEUTSCHE PFANDBRIEFBANK A.G.(b)(e) | 469,871 | 276,123 | ||||||||||||
18,572 | DEUTSCHE POST A.G. (REGISTERED)(b) | 230,768 | 677,501 | ||||||||||||
33,147 | DEUTSCHE TELEKOM A.G. (REGISTERED) | 373,793 | 554,463 | ||||||||||||
9,111 | DEUTSCHE WOHNEN S.E. | 295,363 | 408,726 | ||||||||||||
82,454 | E.ON S.E. | 724,674 | 927,011 | ||||||||||||
9,000 | ECKERT & ZIEGLER STRAHLEN- UND MEDIZINTECHNIK A.G. | 1,322,479 | 1,501,734 | ||||||||||||
41,476 | EVOTEC S.E.(b)(c) | 946,023 | 1,120,325 | ||||||||||||
23,600 | FREENET A.G. | 557,311 | 378,702 | ||||||||||||
56,759 | FRESENIUS MEDICAL CARE A.G. & CO. KGAA(b) | 4,335,734 | 4,839,140 | ||||||||||||
5,942 | FRESENIUS S.E. & CO. KGAA(b) | 114,987 | 293,302 | ||||||||||||
17,795 | HAMBURGER HAFEN UND LOGISTIK A.G. | 443,620 | 301,511 | ||||||||||||
4,367 | HANNOVER RUECK S.E. | 392,130 | 751,136 | ||||||||||||
3,671 | HEIDELBERGCEMENT A.G. | 131,196 | 195,596 | ||||||||||||
21,256 | HELLA GMBH & CO. KGAA | 938,972 | 868,494 | ||||||||||||
2,730 | HOCHTIEF A.G. | 118,140 | 241,628 | ||||||||||||
3,415 | HYPOPORT S.E.(b) | 1,249,249 | 1,509,864 | ||||||||||||
22,555 | INFINEON TECHNOLOGIES A.G. | 136,674 | 527,185 | ||||||||||||
6,898 | JOST WERKE A.G.(b)(e) | 220,852 | 232,651 | ||||||||||||
2,159 | MERCK KGAA | 96,589 | 250,292 | ||||||||||||
3,139 | MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT A.G. IN MUENCHEN (REGISTERED) | 392,853 | 814,650 | ||||||||||||
2,170 | OSRAM LICHT A.G.(b)(c) | 64,123 | 99,452 | ||||||||||||
19,095 | PROSIEBENSAT.1 MEDIA S.E.(b) | 286,490 | 227,003 | ||||||||||||
7,700 | PUBLITY A.G.(b)(c) | 286,657 | 304,020 | ||||||||||||
3,999 | RHEINMETALL A.G. | 520,402 | 345,870 | ||||||||||||
4,035 | RWE A.G. | 88,431 | 141,160 | ||||||||||||
17,103 | SAP S.E. | 683,559 | 2,380,662 | ||||||||||||
13,327 | SIEMENS A.G. (REGISTERED) | 815,103 | 1,565,493 | ||||||||||||
3,600 | SILTRONIC A.G. | 264,192 | 366,721 | ||||||||||||
188,717 | TELEFONICA DEUTSCHLAND HOLDING A.G. | 459,389 | 556,662 | ||||||||||||
141,527 | TUI A.G. - CDI(c) | 548,893 | 672,327 | ||||||||||||
4,171 | UNIPER S.E. | 46,925 | 134,609 | ||||||||||||
404 | VOLKSWAGEN A.G.(b) | 40,235 | 64,845 | ||||||||||||
7,564 | VONOVIA S.E. | 341,426 | 463,347 | ||||||||||||
1,141 | ZALANDO S.E.(b)(e) | 44,879 | 80,245 | ||||||||||||
24,882,355 | 35,881,651 | 5.35 | % | ||||||||||||
Greece: | |||||||||||||||
6,746 | HELLENIC TELECOMMUNICATIONS ORGANIZATION S.A. | 54,075 | 91,888 | ||||||||||||
54,075 | 91,888 | 0.01 | % | ||||||||||||
Hong Kong: | |||||||||||||||
656,600 | AIA GROUP LTD. | 3,703,942 | 6,111,021 | ||||||||||||
482,000 | AUSNUTRIA DAIRY CORP. LTD.(b) | 648,824 | 1,079,149 |
See accompanying notes to financial statements. | 74 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
Hong Kong (Cont’d): | |||||||||||||||
46,000 | BOC HONG KONG HOLDINGS LTD. | $ | 63,016 | 146,053 | |||||||||||
1,462,000 | CITIC TELECOM INTERNATIONAL HOLDINGS LTD. | 547,331 | 464,350 | ||||||||||||
52,544 | CK ASSET HOLDINGS LTD. | 147,485 | 312,451 | ||||||||||||
24,544 | CK HUTCHISON HOLDINGS LTD. | 120,441 | 157,340 | ||||||||||||
35,500 | CLP HOLDINGS LTD. | 245,345 | 347,643 | ||||||||||||
722,000 | FIRST PACIFIC CO. LTD. | 288,855 | 138,754 | ||||||||||||
18,000 | GALAXY ENTERTAINMENT GROUP LTD. | 39,054 | 122,217 | ||||||||||||
2,228,000 | GEMDALE PROPERTIES & INVESTMENT CORP. LTD. | 413,300 | 414,664 | ||||||||||||
15,300 | HANG SENG BANK LTD. | 175,457 | 258,329 | ||||||||||||
27,331 | HENDERSON LAND DEVELOPMENT CO. LTD. | 52,934 | 103,500 | ||||||||||||
11,800 | HONG KONG EXCHANGES & CLEARING LTD. | 203,281 | 502,901 | ||||||||||||
40,500 | LINK REIT | 84,196 | 330,472 | ||||||||||||
30,500 | MTR CORP. LTD. | 88,703 | 157,757 | �� | |||||||||||
190,000 | PCCW LTD. | 77,805 | 108,411 | ||||||||||||
392,000 | PERFECT SHAPE MEDICAL LTD. | 140,251 | 141,057 | ||||||||||||
185,000 | SHENZHEN INTERNATIONAL HOLDINGS LTD. | 343,057 | 295,356 | ||||||||||||
289,000 | SITC INTERNATIONAL HOLDINGS CO. LTD. | 303,932 | 307,929 | ||||||||||||
8,000 | SUN HUNG KAI PROPERTIES LTD. | 65,036 | 101,954 | ||||||||||||
7,000 | TECHTRONIC INDUSTRIES CO. LTD. | 44,938 | 68,290 | ||||||||||||
600,000 | UNITED LABORATORIES INTERNATIONAL HOLDINGS (THE) LTD. | 352,686 | 519,085 | ||||||||||||
469,800 | VALUETRONICS HOLDINGS LTD. | 216,550 | 186,127 | ||||||||||||
83,500 | WH GROUP LTD.(e) | 45,547 | 71,658 | ||||||||||||
21,000 | WHEELOCK & CO. LTD. | 44,368 | 166,092 | ||||||||||||
418,000 | XINYI GLASS HOLDINGS LTD. | 481,711 | 514,124 | ||||||||||||
358,000 | YUEXIU TRANSPORT INFRASTRUCTURE LTD. | 311,883 | 251,180 | ||||||||||||
9,249,928 | 13,377,864 | 1.99 | % | ||||||||||||
India: | |||||||||||||||
480,827 | BHARTI INFRATEL LTD. | 2,067,707 | 1,412,203 | ||||||||||||
83,635 | CREDITACCESS GRAMEEN LTD.(b) | 977,718 | 573,684 | ||||||||||||
687,800 | FIRSTSOURCE SOLUTIONS LTD. | 375,974 | 326,933 | ||||||||||||
386,194 | HCL TECHNOLOGIES LTD. | 2,483,490 | 2,861,541 | ||||||||||||
73,854 | HDFC BANK LTD. ADR(f) | 2,388,893 | 3,357,403 | ||||||||||||
114,700 | HINDUSTAN PETROLEUM CORP. LTD. | 431,628 | 329,544 | ||||||||||||
585,540 | INDIAN ENERGY EXCHANGE LTD.(e) | 1,443,125 | 1,395,940 | ||||||||||||
40,400 | JUBILANT LIFE SCIENCES LTD. | 314,717 | 353,014 | ||||||||||||
322,000 | NMDC LTD. | 521,633 | 347,805 | ||||||||||||
1,107,100 | SJVN LTD. | 377,346 | 321,636 | ||||||||||||
257,852 | SYNGENE INTERNATIONAL LTD.(e) | 1,140,471 | 1,378,441 | ||||||||||||
25,298 | WNS HOLDINGS LTD. ADR(b)(f) | 1,499,130 | 1,390,884 | ||||||||||||
14,021,832 | 14,049,028 | 2.09 | % | ||||||||||||
Indonesia: | |||||||||||||||
4,097,000 | ADARO ENERGY TBK PT | 470,816 | 285,719 | ||||||||||||
5,379,900 | BANK BTPN SYARIAH TBK PT | 1,333,767 | 1,201,622 | ||||||||||||
2,022,800 | MATAHARI DEPARTMENT STORE TBK PT(b) | 317,587 | 229,351 | ||||||||||||
2,122,170 | 1,716,692 | 0.26 | % | ||||||||||||
Ireland: | |||||||||||||||
27,587 | ACCENTURE PLC, CLASS A | 3,381,563 | 5,923,481 | ||||||||||||
102,809 | CRH PLC | 3,074,513 | 3,516,367 | ||||||||||||
65,382 | DALATA HOTEL GROUP PLC | 368,686 | 209,065 | ||||||||||||
167,302 | EXPERIAN PLC | 3,058,939 | 5,835,342 | ||||||||||||
904 | FLUTTER ENTERTAINMENT PLC | 76,633 | 118,662 | ||||||||||||
13,695 | ICON PLC(b) | 955,941 | 2,307,060 | ||||||||||||
11,485 | JAMES HARDIE INDUSTRIES PLC - CDI | 103,360 | 219,217 | ||||||||||||
3,255 | KERRY GROUP PLC, CLASS A | 214,084 | 404,945 | ||||||||||||
49,071 | KEYWORDS STUDIOS PLC | 830,224 | 1,101,031 | ||||||||||||
1,812 | SMURFIT KAPPA GROUP PLC | 50,441 | 60,468 | ||||||||||||
12,114,384 | 19,695,638 | 2.94 | % | ||||||||||||
Israel: | |||||||||||||||
94,185 | BANK HAPOALIM B.M. | 477,258 | 564,129 | ||||||||||||
1,532 | CHECK POINT SOFTWARE TECHNOLOGIES LTD.(b) | 119,497 | 164,583 | ||||||||||||
29,044 | MIZRAHI TEFAHOT BANK LTD. | 475,042 | 546,687 | ||||||||||||
3,072 | NICE LTD.(b) | 169,095 | 580,301 | ||||||||||||
1,240,892 | 1,855,700 | 0.28 | % | ||||||||||||
Italy: | |||||||||||||||
285,200 | A2A S.P.A. | 555,841 | 403,378 |
See accompanying notes to financial statements. | 75 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
Italy (Cont’d): | |||||||||||||||
67,826 | AMPLIFON S.P.A.(b) | $ | 1,657,871 | 1,804,019 | |||||||||||
18,874 | ASSICURAZIONI GENERALI S.P.A. | 231,826 | 285,234 | ||||||||||||
34,463 | ATLANTIA S.P.A.(b) | 455,057 | 552,734 | ||||||||||||
17,500 | AVIO S.P.A.(b) | 264,310 | 299,677 | ||||||||||||
25,272 | BANCA MEDIOLANUM S.P.A. | 87,322 | 181,178 | ||||||||||||
11,397 | EL.EN. S.P.A.(b) | 291,927 | 287,637 | ||||||||||||
84,847 | ENEL S.P.A. | 298,823 | 730,972 | ||||||||||||
4,500 | ENI S.P.A. | 39,200 | 42,850 | ||||||||||||
18,516 | FERRARI N.V. | 2,409,276 | 3,155,034 | ||||||||||||
1,022 | FERRARI N.V. (NEW YORK EXCHANGE) | 6,505 | 174,772 | ||||||||||||
45,389 | INTERPUMP GROUP S.P.A. | 811,065 | 1,346,724 | ||||||||||||
26,311 | INTESA SANPAOLO S.P.A.(b) | 43,868 | 50,264 | ||||||||||||
173,553 | IREN S.P.A. | 474,559 | 429,732 | ||||||||||||
19,254 | LA DORIA S.P.A. | 244,708 | 245,101 | ||||||||||||
12,059 | LEONARDO S.P.A. | 61,595 | 79,783 | ||||||||||||
70,149 | SNAM S.P.A. | 252,658 | 341,194 | ||||||||||||
49,687 | SOCIETA CATTOLICA DI ASSICURAZIONI S.C.(b) | 431,868 | 285,356 | ||||||||||||
163,162 | TENARIS S.A. | 1,598,924 | 1,051,825 | ||||||||||||
24,707 | TENARIS S.A. ADR(f) | 546,314 | 319,461 | ||||||||||||
39,609 | TERNA RETE ELETTRICA NAZIONALE S.P.A. | 160,166 | 271,941 | ||||||||||||
14,747 | UNICREDIT S.P.A.(b) | 136,015 | 135,386 | ||||||||||||
71,681 | UNIPOL GRUPPO S.P.A.(b) | 376,844 | 278,393 | ||||||||||||
95,230 | UNIPOLSAI ASSICURAZIONI S.P.A. | 153,826 | 227,439 | ||||||||||||
11,590,368 | 12,980,084 | 1.93 | % | ||||||||||||
Japan: | |||||||||||||||
1,500 | ABC-MART, INC. | 57,812 | 87,759 | ||||||||||||
30,600 | ADEKA CORP. | 390,224 | 407,443 | ||||||||||||
4,700 | AEON CO. LTD. | 52,433 | 109,167 | ||||||||||||
600 | AEON REIT INVESTMENT CORP. | 728,822 | 636,827 | ||||||||||||
2,300 | AISIN SEIKI CO. LTD. | 37,584 | 67,026 | ||||||||||||
15,000 | AJINOMOTO CO., INC. | 116,767 | 249,210 | ||||||||||||
2,500 | ALFRESA HOLDINGS CORP. | 24,420 | 52,045 | ||||||||||||
15,600 | ARCS CO. LTD. | 325,913 | 313,434 | ||||||||||||
12,000 | AS ONE CORP. | 1,300,246 | 1,310,602 | ||||||||||||
5,900 | ASAHI GROUP HOLDINGS LTD. | 94,464 | 206,696 | ||||||||||||
37,900 | ASAHI INTECC CO. LTD. | 938,837 | 1,076,941 | ||||||||||||
32,500 | ASAHI KASEI CORP. | 157,083 | 264,048 | ||||||||||||
22,100 | ASAHI YUKIZAI CORP. | 276,792 | 293,476 | ||||||||||||
9,300 | ASANUMA CORP. | 324,412 | 356,713 | ||||||||||||
37,000 | ASTELLAS PHARMA, INC. | 236,149 | 615,925 | ||||||||||||
1,500 | BANDAI NAMCO HOLDINGS, INC. | 14,652 | 78,834 | ||||||||||||
13,800 | BRIDGESTONE CORP. | 205,726 | 444,018 | ||||||||||||
32,100 | BROTHER INDUSTRIES LTD. | 541,898 | 578,424 | ||||||||||||
48,400 | BUNKA SHUTTER CO. LTD. | 363,296 | 335,117 | ||||||||||||
2,700 | CENTRAL JAPAN RAILWAY CO. | 229,516 | 417,953 | ||||||||||||
13,500 | CHUGAI PHARMACEUTICAL CO. LTD. | 82,278 | 721,671 | ||||||||||||
21,900 | CMIC HOLDINGS CO. LTD. | 316,498 | 290,099 | ||||||||||||
28,400 | CREDIT SAISON CO. LTD. | 361,395 | 324,730 | ||||||||||||
9,700 | DAIICHI SANKYO CO. LTD. | 150,922 | 792,167 | ||||||||||||
4,600 | DAIKIN INDUSTRIES LTD. | 136,302 | 739,708 | ||||||||||||
19,000 | DAITRON CO. LTD. | 328,045 | 294,855 | ||||||||||||
10,000 | DAIWA HOUSE INDUSTRY CO. LTD. | 103,706 | 235,856 | ||||||||||||
17,500 | DAIWA SECURITIES GROUP, INC. | 60,410 | 73,005 | ||||||||||||
5,600 | DAIWABO HOLDINGS CO. LTD. | 223,879 | 365,692 | ||||||||||||
8,200 | DENSO CORP. | 185,234 | 319,893 | ||||||||||||
3,300 | DENTSU GROUP, INC. | 56,753 | 78,277 | ||||||||||||
3,600 | EAST JAPAN RAILWAY CO. | 199,864 | 249,479 | ||||||||||||
19,700 | EBARA CORP. | 478,039 | 461,682 | ||||||||||||
17,800 | ECO’S CO. LTD. | 285,796 | 317,146 | ||||||||||||
3,400 | EISAI CO. LTD. | 112,861 | 269,503 | ||||||||||||
28,300 | ELEMATEC CORP. | 262,160 | 229,817 | ||||||||||||
20,400 | EXEDY CORP. | 319,517 | 302,909 | ||||||||||||
7,100 | FAMILYMART CO. LTD. | 51,860 | 121,843 | ||||||||||||
2,600 | FANUC CORP. | 182,941 | 464,601 | ||||||||||||
1,300 | FAST RETAILING CO. LTD. | 188,734 | 744,324 | ||||||||||||
250,600 | FEED ONE CO. LTD. | 432,664 | 466,948 | ||||||||||||
54,400 | FERROTEC HOLDINGS CORP. | 435,460 | 327,721 |
See accompanying notes to financial statements. | 76 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Percent of | |||||||||||||||
Shares | Security | Cost | Fair value (a) | net assets | |||||||||||
Japan (Cont’d): | |||||||||||||||
34,200 | FJ NEXT CO. LTD. | $ | 337,056 | 272,144 | |||||||||||
40,700 | FREEE K.K.(b)(c) | 924,241 | 1,860,606 | ||||||||||||
31,700 | FUJI CORP. | 564,353 | 554,467 | ||||||||||||
4,700 | FUJI ELECTRIC CO. LTD. | 61,631 | 128,457 | ||||||||||||
10,400 | FUJIBO HOLDINGS, INC. | 287,084 | 313,894 | ||||||||||||
8,700 | FUJIFILM HOLDINGS CORP. | 163,215 | 372,262 | ||||||||||||
2,300 | FUJITSU LTD. | 106,202 | 269,224 | ||||||||||||
41,400 | FUKUOKA FINANCIAL GROUP, INC. | 523,630 | 653,378 | ||||||||||||
35,800 | FURUNO ELECTRIC CO. LTD. | 322,070 | 323,143 | ||||||||||||
14,100 | GMO PAYMENT GATEWAY, INC. | 1,096,655 | 1,469,346 | ||||||||||||
119,800 | HACHIJUNI BANK (THE) LTD. | 476,117 | 454,402 | ||||||||||||
3,700 | HAKUHODO DY HOLDINGS, INC. | 39,218 | 43,971 | ||||||||||||
3,200 | HAMAMATSU PHOTONICS K.K. | 60,109 | 138,570 | ||||||||||||
2,200 | HANKYU HANSHIN HOLDINGS, INC. | 51,221 | 74,361 | ||||||||||||
55,300 | HASEKO CORP. | 721,604 | 696,462 | ||||||||||||
29,500 | HENNGE K.K.(b) | 755,812 | 1,323,796 | ||||||||||||
341 | HIROSE ELECTRIC CO. LTD. | 29,327 | 37,380 | ||||||||||||
19,000 | HITACHI LTD. | 295,895 | 599,819 | ||||||||||||
7,000 | HITACHI METALS LTD. | 55,542 | 83,340 | ||||||||||||
5,300 | HOYA CORP. | 112,594 | 507,554 | ||||||||||||
5,700 | HULIC CO. LTD. | 48,487 | 53,987 | ||||||||||||
26,100 | INNOTECH CORP. | 231,054 | 227,128 | ||||||||||||
13,800 | INTAGE HOLDINGS, INC. | 121,039 | 113,187 | ||||||||||||
1,300 | INVINCIBLE INVESTMENT CORP. | 761,926 | 335,767 | ||||||||||||
18,400 | ITOCHU CORP. | 196,261 | 396,247 | ||||||||||||
63,100 | IWAKI & CO. LTD. | 295,237 | 296,701 | ||||||||||||
21,900 | JACCS CO. LTD. | 467,646 | 356,695 | ||||||||||||
30,400 | JAPAN AVIATION ELECTRONICS INDUSTRY LTD. | 458,316 | 408,371 | ||||||||||||
50,300 | JAPAN ELEVATOR SERVICE HOLDINGS CO. LTD. | 1,147,911 | 1,614,886 | ||||||||||||
7,000 | JAPAN EXCHANGE GROUP, INC. | 56,090 | 161,702 | ||||||||||||
87,100 | JAPAN MATERIAL CO. LTD. | 1,049,142 | 1,365,783 | ||||||||||||
4,500 | KAJIMA CORP. | 25,084 | 53,598 | ||||||||||||
57,300 | KANDENKO CO. LTD. | 547,713 | 487,202 | ||||||||||||
12,300 | KANEKA CORP. | 387,968 | 319,546 | ||||||||||||
2,000 | KANSAI PAINT CO. LTD. | 10,449 | 42,154 | ||||||||||||
10,000 | KAO CORP. | 208,279 | 791,673 | ||||||||||||
29,762 | KDDI CORP. | 238,488 | 892,350 | ||||||||||||
1,200 | KEIO CORP. | 36,571 | 68,538 | ||||||||||||
2,400 | KEISEI ELECTRIC RAILWAY CO. LTD. | 22,185 | 75,136 | ||||||||||||
15,424 | KEYENCE CORP. | 1,762,769 | 6,439,863 | ||||||||||||
6,000 | KIKKOMAN CORP. | 52,867 | 288,940 | ||||||||||||
1,200 | KINTETSU GROUP HOLDINGS CO. LTD. | 35,697 | 53,898 | ||||||||||||
9,900 | KIRIN HOLDINGS CO. LTD. | 101,976 | 208,780 | ||||||||||||
10,000 | KIRINDO HOLDINGS CO. LTD. | 194,672 | 226,176 | ||||||||||||
67,600 | KITZ CORP. | 466,295 | 430,709 | ||||||||||||
35,300 | KOBE BUSSAN CO. LTD. | 1,408,887 | 1,989,975 | ||||||||||||
2,300 | KONAMI HOLDINGS CORP. | 50,313 | 76,616 | ||||||||||||
21,800 | KUBOTA CORP. | 139,630 | 325,113 | ||||||||||||
6,900 | KUREHA CORP. | 316,117 | 301,549 | ||||||||||||
4,000 | KYOCERA CORP. | 133,049 | 217,646 | ||||||||||||
49,000 | KYOSAN ELECTRIC MANUFACTURING CO. LTD. | 177,172 | 242,247 | ||||||||||||
5,000 | KYOWA KIRIN CO. LTD. | 54,616 | 131,187 | ||||||||||||
38,800 | LASERTEC CORP. | 1,276,928 | 3,658,641 | ||||||||||||
13,100 | LINTEC CORP. | 259,789 | 310,662 | ||||||||||||
5,100 | M3, INC. | 59,204 | 216,884 | ||||||||||||
1,900 | MAKITA CORP. | 46,157 | 69,002 | ||||||||||||
7,100 | MARUI GROUP CO. LTD. | 41,710 | 128,219 | ||||||||||||
14,600 | MATSUMOTOKIYOSHI HOLDINGS CO. LTD. | 542,531 | 528,800 | ||||||||||||
7,900 | MAZDA MOTOR CORP. | 39,344 | 47,367 | ||||||||||||
2,400 | MEIJI HOLDINGS CO. LTD. | 38,749 | 190,854 | ||||||||||||
12,800 | MELCO HOLDINGS, INC. | 351,215 | 356,661 | ||||||||||||
6,200 | MERCARI, INC.(b) | 176,315 | 191,598 | ||||||||||||
9,400 | MINEBEA MITSUMI, INC. | 95,642 | 170,430 | ||||||||||||
597 | MIRAI CORP. | 328,940 | 210,791 | ||||||||||||
36,400 | MITSUBISHI CHEMICAL HOLDINGS CORP. | 148,313 | 211,849 | ||||||||||||
17,500 | MITSUBISHI CORP. | 230,376 | 368,428 | ||||||||||||
40,000 | MITSUBISHI ELECTRIC CORP. | 324,423 | 519,414 |
See accompanying notes to financial statements. | 77 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Japan (Cont’d): | ||||||||||||||||
15,000 | MITSUBISHI ESTATE CO. LTD. | $ | 173,227 | 223,058 | ||||||||||||
9,200 | MITSUBISHI GAS CHEMICAL CO., INC. | 84,078 | 139,171 | |||||||||||||
26,600 | MITSUBISHI UFJ LEASE & FINANCE CO. LTD. | 82,462 | 125,898 | |||||||||||||
20,800 | MITSUBOSHI BELTING LTD. | 335,754 | 325,986 | |||||||||||||
14,000 | MITSUI & CO. LTD. | 128,045 | 207,018 | |||||||||||||
7,400 | MITSUI CHEMICALS, INC. | 87,469 | 154,241 | |||||||||||||
43,000 | MONOTARO CO. LTD. | 1,137,756 | 1,722,284 | |||||||||||||
6,080 | MS&AD INSURANCE GROUP HOLDINGS, INC. | 125,874 | 166,972 | |||||||||||||
37,400 | MUGEN ESTATE CO. LTD. | 216,786 | 180,445 | |||||||||||||
11,000 | MURATA MANUFACTURING CO. LTD. | 171,994 | 644,536 | |||||||||||||
20,200 | NANTO BANK (THE) LTD. | 470,557 | 391,894 | |||||||||||||
3,800 | NGK SPARK PLUG CO. LTD. | 38,830 | 54,443 | |||||||||||||
2,900 | NH FOODS LTD. | 69,814 | 116,351 | |||||||||||||
16,700 | NICHIAS CORP. | 297,341 | 347,463 | |||||||||||||
7,800 | NIDEC CORP. | 129,234 | 520,782 | |||||||||||||
49,800 | NIHON M&A CENTER, INC. | 1,402,375 | 2,249,536 | |||||||||||||
2,600 | NINTENDO CO. LTD. | 285,625 | 1,156,909 | |||||||||||||
22 | NIPPON BUILDING FUND, INC. | 90,970 | 125,230 | |||||||||||||
1,700 | NIPPON EXPRESS CO. LTD. | 60,747 | 87,991 | |||||||||||||
26 | NIPPON PROLOGIS REIT, INC. | 54,492 | 79,019 | |||||||||||||
30,400 | NIPPON TELEGRAPH & TELEPHONE CORP. | 342,697 | 707,718 | |||||||||||||
3,100 | NIPPON YUSEN K.K. | 39,009 | 43,618 | |||||||||||||
60,900 | NISHI-NIPPON FINANCIAL HOLDINGS, INC. | 426,037 | 410,738 | |||||||||||||
5,300 | NISSAN CHEMICAL CORP. | 61,593 | 271,479 | |||||||||||||
3,670 | NISSHIN SEIFUN GROUP, INC. | 31,991 | 54,755 | |||||||||||||
1,200 | NISSIN FOODS HOLDINGS CO. LTD. | 43,959 | 106,214 | |||||||||||||
2,800 | NITORI HOLDINGS CO. LTD. | 102,246 | 548,395 | |||||||||||||
3,200 | NITTO DENKO CORP. | 77,639 | 181,073 | |||||||||||||
3,500 | NITTO FUJI FLOUR MILLING CO. LTD. | 211,323 | 208,887 | |||||||||||||
144,800 | NOMURA HOLDINGS, INC. | 534,256 | 648,024 | |||||||||||||
32,900 | NOMURA REAL ESTATE HOLDINGS, INC. | 674,503 | 610,748 | |||||||||||||
10,301 | NOMURA RESEARCH INSTITUTE LTD. | 53,983 | 281,077 | |||||||||||||
8,300 | NTT DATA CORP. | 48,334 | 92,352 | |||||||||||||
23,700 | NTT DOCOMO, INC. | 361,213 | 632,232 | |||||||||||||
13,300 | OBAYASHI CORP. | 58,485 | 124,375 | |||||||||||||
35,800 | OKI ELECTRIC INDUSTRY CO. LTD. | 358,218 | 344,724 | |||||||||||||
33,200 | OLYMPUS CORP. | 214,157 | 639,440 | |||||||||||||
1,100 | OMRON CORP. | 31,828 | 73,696 | |||||||||||||
5,000 | ONO PHARMACEUTICAL CO. LTD. | 43,040 | 145,437 | |||||||||||||
5,900 | ORIENTAL LAND CO. LTD. | 268,018 | 779,048 | |||||||||||||
10,700 | ORIX CORP. | 118,187 | 131,935 | |||||||||||||
6,100 | OTSUKA HOLDINGS CO. LTD. | 177,230 | 265,862 | |||||||||||||
21,600 | PANASONIC CORP. | 133,086 | 188,292 | |||||||||||||
1,200 | PEPTIDREAM, INC.(b) | 42,060 | 54,975 | |||||||||||||
4,100 | PERSOL HOLDINGS CO. LTD. | 37,131 | 56,317 | |||||||||||||
30,600 | RAKSUL, INC.(b)(c) | 930,727 | 829,089 | |||||||||||||
61,900 | RAKUS CO. LTD. | 907,501 | 1,097,849 | |||||||||||||
8,400 | RAKUTEN, INC. | 40,327 | 73,869 | |||||||||||||
2,400 | RECRUIT HOLDINGS CO. LTD. | 31,274 | 82,042 | |||||||||||||
184,100 | RESONA HOLDINGS, INC. | 558,258 | 628,205 | |||||||||||||
1,200 | RINNAI CORP. | 52,047 | 99,911 | |||||||||||||
16,700 | RION CO. LTD. | 361,265 | 339,579 | |||||||||||||
4,400 | ROHM CO. LTD. | 177,627 | 291,593 | |||||||||||||
34,600 | SANKI ENGINEERING CO. LTD. | 423,298 | 395,888 | |||||||||||||
13,000 | SANTEN PHARMACEUTICAL CO. LTD. | 85,886 | 238,972 | |||||||||||||
13,620 | SBI HOLDINGS, INC. | 110,355 | 294,275 | |||||||||||||
3,400 | SECOM CO. LTD. | 133,812 | 297,058 | |||||||||||||
7,100 | SEGA SAMMY HOLDINGS, INC. | 66,480 | 84,942 | |||||||||||||
49,400 | SEIKITOKYU KOGYO CO. LTD. | 333,527 | 346,792 | |||||||||||||
12,800 | SEKISUI CHEMICAL CO. LTD. | 65,116 | 183,082 | |||||||||||||
6,600 | SEKISUI HOUSE LTD. | 53,502 | 125,649 | |||||||||||||
54,400 | SEVEN & I HOLDINGS CO. LTD. | 1,780,587 | 1,775,287 | |||||||||||||
4,000 | SHIMADZU CORP. | 25,419 | 106,406 | |||||||||||||
1,500 | SHIMANO, INC. | 58,204 | 288,497 | |||||||||||||
9,200 | SHIN-ETSU CHEMICAL CO. LTD. | 461,684 | 1,075,466 | |||||||||||||
36,500 | SHINOKEN GROUP CO. LTD. | 314,113 | 292,962 | |||||||||||||
2,800 | SHINSEI BANK LTD. | 33,686 | 33,718 |
See accompanying notes to financial statements. | 78 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Japan (Cont’d): | ||||||||||||||||
4,000 | SHIONOGI & CO. LTD. | $ | 67,679 | 250,398 | ||||||||||||
5,800 | SHISEIDO CO. LTD. | 87,058 | 367,720 | |||||||||||||
28,700 | SHOWA CORP. | 405,945 | 592,405 | |||||||||||||
20,200 | SK-ELECTRONICS CO. LTD. | 355,639 | 206,703 | |||||||||||||
1,100 | SMC CORP. | 183,450 | 561,440 | |||||||||||||
37,200 | SOFTBANK GROUP CORP. | 425,837 | 1,874,425 | |||||||||||||
5,700 | SOMPO HOLDINGS, INC. | 114,918 | 196,021 | |||||||||||||
40,800 | SONY CORP. | 1,463,987 | 2,794,038 | |||||||||||||
3,300 | STANLEY ELECTRIC CO. LTD. | 41,403 | 79,469 | |||||||||||||
4,600 | STARZEN CO. LTD. | 186,228 | 180,968 | |||||||||||||
6,200 | SUBARU CORP. | 36,216 | 128,936 | |||||||||||||
7,800 | SUMITOMO CORP. | 67,035 | 89,323 | |||||||||||||
5,600 | SUMITOMO ELECTRIC INDUSTRIES LTD. | 44,717 | 64,412 | |||||||||||||
17,600 | SUMITOMO HEAVY INDUSTRIES LTD. | 504,849 | 383,031 | |||||||||||||
5,800 | SUZUKI MOTOR CORP. | 104,611 | 196,795 | |||||||||||||
2,600 | SYSMEX CORP. | 51,707 | 199,697 | |||||||||||||
13,700 | T RAD CO. LTD. | 264,171 | 169,066 | |||||||||||||
72,200 | T&D HOLDINGS, INC. | 714,836 | 617,238 | |||||||||||||
2,800 | TAISEI CORP. | 38,364 | 101,822 | |||||||||||||
109,800 | TAKARA LEBEN CO. LTD. | 430,207 | 366,747 | |||||||||||||
5,397 | TAKEDA PHARMACEUTICAL CO. LTD. | 175,430 | 192,623 | |||||||||||||
74,100 | TATSUTA ELECTRIC WIRE AND CABLE CO. LTD. | 327,189 | 393,187 | |||||||||||||
1,200 | TDK CORP. | 61,120 | 118,961 | |||||||||||||
4,300 | TEIJIN LTD. | 51,471 | 68,343 | |||||||||||||
11,600 | TERUMO CORP. | 117,165 | 439,152 | |||||||||||||
2,000 | THK CO. LTD. | 29,290 | 49,465 | |||||||||||||
1,500 | TOHO CO. LTD. | 25,533 | 54,164 | |||||||||||||
3,600 | TOHO GAS CO. LTD. | 88,559 | 179,943 | |||||||||||||
4,100 | TOHOKU ELECTRIC POWER CO., INC. | 31,947 | 38,991 | |||||||||||||
14,400 | TOKIO MARINE HOLDINGS, INC. | 359,676 | 627,350 | |||||||||||||
3,300 | TOKYO ELECTRON LTD. | 135,391 | 809,860 | |||||||||||||
6,000 | TOKYO GAS CO. LTD. | 103,615 | 143,501 | |||||||||||||
11,200 | TOKYO SEIMITSU CO. LTD. | 346,916 | 357,638 | |||||||||||||
51,200 | TOKYO STEEL MANUFACTURING CO. LTD. | 317,332 | 294,324 | |||||||||||||
12,500 | TOKYU CORP. | 103,448 | 175,841 | |||||||||||||
22,600 | TOKYU FUDOSAN HOLDINGS CORP. | 81,378 | 105,755 | |||||||||||||
3,000 | TOTO LTD. | 30,029 | 114,975 | |||||||||||||
75,200 | TOYO CONSTRUCTION CO. LTD. | 312,593 | 279,651 | |||||||||||||
3,000 | TOYO SUISAN KAISHA LTD. | 74,690 | 167,483 | |||||||||||||
4,000 | TOYOTA INDUSTRIES CORP. | 101,266 | 211,784 | |||||||||||||
46,662 | TOYOTA MOTOR CORP. | 1,594,403 | 2,927,183 | |||||||||||||
1,700 | TOYOTA TSUSHO CORP. | 14,142 | 43,053 | |||||||||||||
900 | TREND MICRO, INC. | 26,540 | 50,263 | |||||||||||||
19,200 | UBE INDUSTRIES LTD. | 387,205 | 329,914 | |||||||||||||
7,700 | UNICHARM CORP. | 67,055 | 315,473 | |||||||||||||
5,500 | USS CO. LTD. | 64,763 | 87,868 | |||||||||||||
7,200 | V TECHNOLOGY CO. LTD. | 262,608 | 244,233 | |||||||||||||
1,500 | WELCIA HOLDINGS CO. LTD. | 54,205 | 120,935 | |||||||||||||
4,100 | WEST JAPAN RAILWAY CO. | 134,756 | 229,899 | |||||||||||||
1,300 | YAKULT HONSHA CO. LTD. | 22,252 | 76,517 | |||||||||||||
16,300 | YAMADA DENKI CO. LTD. | 56,674 | 80,858 | |||||||||||||
46,400 | YAMAGUCHI FINANCIAL GROUP, INC. | 326,523 | 284,941 | |||||||||||||
4,600 | YAMAHA MOTOR CO. LTD. | 46,377 | 72,073 | |||||||||||||
4,000 | YAMAZAKI BAKING CO. LTD. | 44,679 | 68,724 | |||||||||||||
5,000 | YASKAWA ELECTRIC CORP. | 48,019 | 172,883 | |||||||||||||
3,100 | YOKOGAWA ELECTRIC CORP. | 39,797 | 48,345 | |||||||||||||
10,100 | YUASA TRADING CO. LTD. | 293,394 | 271,534 |
See accompanying notes to financial statements. | 79 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Japan (Cont’d): | ||||||||||||||||
25,500 | Z HOLDINGS CORP. | $ | 64,236 | 124,445 | ||||||||||||
62,468,353 | 97,837,665 | 14.59 | % | |||||||||||||
Jersey: | ||||||||||||||||
217,400 | XLMEDIA PLC(b) | 170,743 | 65,292 | |||||||||||||
170,743 | 65,292 | 0.01 | % | |||||||||||||
Macau: | ||||||||||||||||
18,400 | SANDS CHINA LTD. | 30,745 | 72,003 | |||||||||||||
30,745 | 72,003 | 0.01 | % | |||||||||||||
Malaysia: | ||||||||||||||||
274,300 | RHB BANK BHD. | 377,864 | 308,351 | |||||||||||||
377,864 | 308,351 | 0.05 | % | |||||||||||||
Mexico: | ||||||||||||||||
201,200 | BANCO DEL BAJIO S.A.(b)(e) | 360,811 | 171,048 | |||||||||||||
76,900 | QUALITAS CONTROLADORA S.A.B. DE C.V. | 281,555 | 302,220 | |||||||||||||
328,700 | REGIONAL S.A.B. DE C.V.(b) | 1,265,852 | 884,370 | |||||||||||||
1,028,134 | WAL-MART DE MEXICO S.A.B. DE C.V. | 2,606,204 | 2,466,949 | |||||||||||||
4,514,422 | 3,824,587 | 0.57 | % | |||||||||||||
Netherlands: | ||||||||||||||||
266,723 | AEGON N.V. | 664,548 | 793,325 | |||||||||||||
2,925 | AKZO NOBEL N.V. | 135,104 | 261,684 | |||||||||||||
7,209 | ASML HOLDING N.V. | 116,879 | 2,642,664 | |||||||||||||
14,388 | ASML HOLDING N.V. (REGISTERED) | 2,834,935 | 5,295,215 | |||||||||||||
14,000 | ASR NEDERLAND N.V. | 434,452 | 429,252 | |||||||||||||
3,610 | EXOR N.V. | 90,616 | 205,830 | |||||||||||||
51,500 | FORFARMERS N.V. | 322,452 | 314,587 | |||||||||||||
1,100 | HEINEKEN HOLDING N.V. | 33,914 | 89,932 | |||||||||||||
3,784 | HEINEKEN N.V. | 138,748 | 348,476 | |||||||||||||
14,013 | IMCD N.V. | 1,066,356 | 1,315,544 | |||||||||||||
571,005 | ING GROEP N.V. | 5,601,610 | 3,966,675 | |||||||||||||
19,595 | INTERTRUST N.V.(e) | 321,331 | 333,339 | |||||||||||||
17,656 | KONINKLIJKE AHOLD DELHAIZE N.V. | 203,381 | 480,796 | |||||||||||||
3,368 | KONINKLIJKE DSM N.V. | 132,647 | 465,535 | |||||||||||||
54,610 | KONINKLIJKE KPN N.V. | 115,548 | 144,639 | |||||||||||||
20,095 | KONINKLIJKE PHILIPS N.V.(b) | 343,642 | 935,757 | |||||||||||||
24,283 | NXP SEMICONDUCTORS N.V. | 2,085,047 | 2,769,233 | |||||||||||||
8,117 | QIAGEN N.V.(b) | 119,394 | 349,505 | |||||||||||||
3,238 | RANDSTAD N.V. | 99,928 | 144,063 | |||||||||||||
23,800 | SIGNIFY N.V.(b)(e) | 640,632 | 613,805 | |||||||||||||
6,193 | WOLTERS KLUWER N.V. | 101,075 | 483,118 | |||||||||||||
15,602,239 | 22,382,974 | 3.34 | % | |||||||||||||
New Zealand: | ||||||||||||||||
15,712 | AUCKLAND INTERNATIONAL AIRPORT LTD. | 47,473 | 66,475 | |||||||||||||
31,147 | HALLENSTEIN GLASSON HOLDINGS LTD. | 115,879 | 71,281 | |||||||||||||
163,352 | 137,756 | 0.02 | % | |||||||||||||
Norway: | ||||||||||||||||
2,949 | AKER BP ASA | 36,352 | 53,842 | |||||||||||||
25,715 | BAKKAFROST P/F(b) | 1,789,895 | 1,619,843 | |||||||||||||
9,200 | DNB ASA(b) | 37,422 | 121,728 | |||||||||||||
141,845 | KITRON ASA(b) | 161,332 | 174,475 | |||||||||||||
23,955 | NORSK HYDRO ASA(b) | 48,328 | 66,261 | |||||||||||||
10,286 | ORKLA ASA | 69,398 | 90,161 | |||||||||||||
229,659 | PEXIP HOLDING ASA(b) | 1,896,923 | 2,004,245 | |||||||||||||
57,040 | STOREBRAND ASA(b) | 364,067 | 294,615 | |||||||||||||
9,490 | TGS NOPEC GEOPHYSICAL CO. ASA | 257,799 | 137,673 | |||||||||||||
2,793 | YARA INTERNATIONAL ASA | 67,961 | 97,038 | |||||||||||||
4,729,477 | 4,659,881 | 0.69 | % | |||||||||||||
Philippines: | ||||||||||||||||
573,800 | FIRST GEN CORP. | 286,157 | 281,839 |
See accompanying notes to financial statements. | 80 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Philippines (Cont’d): | ||||||||||||||||
9,000 | GLOBE TELECOM, INC. | $ | 319,161 | 372,006 | ||||||||||||
605,318 | 653,845 | 0.10 | % | |||||||||||||
Poland: | ||||||||||||||||
37,500 | CYFROWY POLSAT S.A. | 259,610 | 249,184 | |||||||||||||
259,610 | 249,184 | 0.04 | % | |||||||||||||
Portugal: | ||||||||||||||||
85,477 | ALTRI SGPS S.A. | 583,770 | 409,257 | |||||||||||||
20,567 | EDP - ENERGIAS DE PORTUGAL S.A. | 48,529 | 98,086 | |||||||||||||
3,199 | GALP ENERGIA SGPS S.A. | 35,036 | 36,953 | |||||||||||||
9,417 | JERONIMO MARTINS SGPS S.A.(b) | 105,676 | 164,761 | |||||||||||||
123,300 | NAVIGATOR (THE) CO. S.A.(b) | 307,999 | 299,413 | |||||||||||||
1,081,010 | 1,008,470 | 0.15 | % | |||||||||||||
Russia: | ||||||||||||||||
57,175 | HEADHUNTER GROUP PLC ADR(f) | 1,204,770 | 1,336,752 | |||||||||||||
48,406 | HIGHLAND GOLD MINING LTD. | 143,415 | 139,340 | |||||||||||||
257,400 | RUSHYDRO PJSC ADR(c)(f) | 218,665 | 251,941 | |||||||||||||
1,566,850 | 1,728,033 | 0.26 | % | |||||||||||||
Singapore: | ||||||||||||||||
302,700 | AEM HOLDINGS LTD. | 265,969 | 686,032 | |||||||||||||
529,900 | ASCOTT RESIDENCE TRUST | 504,028 | 383,641 | |||||||||||||
19,500 | CAPITALAND LTD.(b) | 25,645 | 40,957 | |||||||||||||
33,500 | CAPITALAND MALL TRUST | 31,763 | 47,236 | |||||||||||||
7,200 | CITY DEVELOPMENTS LTD. | 27,082 | 43,627 | |||||||||||||
28,200 | DBS GROUP HOLDINGS LTD. | 158,529 | 421,830 | |||||||||||||
503,500 | FRENCKEN GROUP LTD.(b) | 337,379 | 320,804 | |||||||||||||
21,000 | KEPPEL CORP. LTD. | 53,869 | 89,950 | |||||||||||||
7,840 | KEPPEL REIT | 3,183 | 6,203 | |||||||||||||
6,000 | OVERSEA-CHINESE BANKING CORP. LTD. | 32,488 | 38,827 | |||||||||||||
13,000 | SINGAPORE EXCHANGE LTD. | 40,226 | 78,014 | |||||||||||||
4,600 | UNITED OVERSEAS BANK LTD. | 26,071 | 66,914 | |||||||||||||
15,000 | UOL GROUP LTD. | 49,917 | 73,314 | |||||||||||||
48,200 | VENTURE CORP. LTD. | 558,851 | 560,784 | |||||||||||||
43,600 | WILMAR INTERNATIONAL LTD. | 88,595 | 128,415 | |||||||||||||
2,203,595 | 2,986,548 | 0.44 | % | |||||||||||||
South Africa: | ||||||||||||||||
22,880 | ADCOCK INGRAM HOLDINGS LTD. | 64,139 | 63,271 | |||||||||||||
33,591 | AFRICAN RAINBOW MINERALS LTD. | 339,096 | 326,116 | |||||||||||||
42,500 | BARLOWORLD LTD. | 289,872 | 168,421 | |||||||||||||
79,610 | INVESTEC PLC | 490,976 | 159,090 | |||||||||||||
117,469 | METAIR INVESTMENTS LTD.(b) | 184,301 | 122,182 | |||||||||||||
68,600 | OCEANA GROUP LTD. | 268,470 | 281,437 | |||||||||||||
83,378 | TELKOM S.A. SOC LTD. | 425,342 | 142,256 | |||||||||||||
2,062,196 | 1,262,773 | 0.19 | % | |||||||||||||
South Korea: | ||||||||||||||||
4,300 | DAELIM INDUSTRIAL CO. LTD. | 351,532 | 296,956 | |||||||||||||
15,700 | DAESANG CORP. | 366,086 | 340,323 | |||||||||||||
21,500 | DAEWON PHARMACEUTICAL CO. LTD. | 277,342 | 309,440 | |||||||||||||
20,489 | DB HITEK CO. LTD. | 270,468 | 497,904 | |||||||||||||
15,374 | DOUZONE BIZON CO. LTD. | 838,981 | 1,315,797 | |||||||||||||
9,900 | GS HOLDINGS CORP. | 371,567 | 298,257 | |||||||||||||
3,500 | HYUNDAI GLOVIS CO. LTD. | 391,747 | 298,323 | |||||||||||||
46,124 | HYUNDAI GREENFOOD CO. LTD. | 465,431 | 298,575 | |||||||||||||
18,600 | KC TECH CO. LTD. | 295,116 | 349,205 | |||||||||||||
18,400 | KT CORP. | 365,565 | 362,937 | |||||||||||||
30,770 | LG UPLUS CORP. | 348,896 | 314,451 | |||||||||||||
10,183 | LOTTE FINE CHEMICAL CO. LTD. | 404,389 | 294,503 | |||||||||||||
4,775 | MAEIL DAIRIES CO. LTD. | 380,764 | 316,365 | |||||||||||||
25,564 | NAVER CORP. | 3,202,446 | 5,733,165 | |||||||||||||
12,900 | SAMJIN PHARMACEUTICAL CO. LTD. | 284,383 | 292,168 | |||||||||||||
140,511 | SAMSUNG ELECTRONICS CO. LTD. | 4,227,389 | 6,228,730 | |||||||||||||
14,251 | SAMSUNG SECURITIES CO. LTD. | 434,059 | 315,824 | |||||||||||||
28,400 | UNITEST, INC. | 315,214 | 292,164 |
See accompanying notes to financial statements. | 81 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
South Korea (Cont’d): | ||||||||||||||||
10,200 | VIEWORKS CO. LTD. | $ | 234,573 | 282,884 | ||||||||||||
13,825,948 | 18,437,971 | 2.75 | % | |||||||||||||
Spain: | ||||||||||||||||
1,260 | ACCIONA S.A. | 78,312 | 123,161 | |||||||||||||
2,278 | ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS S.A. | 49,875 | 57,314 | |||||||||||||
583 | AENA S.M.E. S.A.(b)(e) | 50,199 | 77,614 | |||||||||||||
48,246 | AMADEUS IT GROUP S.A. | 3,571,077 | 2,510,377 | |||||||||||||
256,570 | BANCO BILBAO VIZCAYA ARGENTARIA S.A. | 764,978 | 881,286 | |||||||||||||
284,591 | BANCO DE SABADELL S.A. | 262,572 | 98,597 | |||||||||||||
926,561 | BANKIA S.A. | 2,650,221 | 985,398 | |||||||||||||
23,111 | CAIXABANK S.A. | 39,733 | 49,252 | |||||||||||||
24,100 | CIA DE DISTRIBUCION INTEGRAL LOGISTA HOLDINGS S.A. | 458,757 | 448,919 | |||||||||||||
2,531 | ENAGAS S.A. | 38,143 | 61,782 | |||||||||||||
61,100 | FAES FARMA S.A. | 274,848 | 248,260 | |||||||||||||
5,746 | FERROVIAL S.A. | 98,983 | 152,778 | |||||||||||||
15,282 | GRIFOLS S.A. | 273,864 | 463,575 | |||||||||||||
60,627 | IBERDROLA S.A. | 326,023 | 702,204 | |||||||||||||
2,120 | INDUSTRIA DE DISENO TEXTIL S.A. | 14,078 | 56,051 | |||||||||||||
87,000 | MEDIASET ESPANA COMUNICACION S.A.(b) | 475,447 | 321,361 | |||||||||||||
13,196 | MIQUEL Y COSTAS & MIQUEL S.A. | 241,236 | 189,699 | |||||||||||||
16,093 | NATURGY ENERGY GROUP S.A. | 256,441 | 299,128 | |||||||||||||
128,100 | PROSEGUR CIA DE SEGURIDAD S.A. | 305,625 | 297,866 | |||||||||||||
33,279 | RED ELECTRICA CORP. S.A. | 472,607 | 620,321 | |||||||||||||
2,773 | SIEMENS GAMESA RENEWABLE ENERGY S.A.(b) | 40,458 | 49,078 | |||||||||||||
10,743,477 | 8,694,021 | 1.30 | % | |||||||||||||
Sweden: | ||||||||||||||||
22,756 | ASSA ABLOY AB, CLASS B | 99,511 | 462,042 | |||||||||||||
100,888 | ATLAS COPCO AB, CLASS A | 2,771,136 | 4,266,158 | |||||||||||||
3,980 | ATLAS COPCO AB, CLASS B | 22,691 | 146,971 | |||||||||||||
135,529 | AVANZA BANK HOLDING AB | 1,155,747 | 1,922,427 | |||||||||||||
57,701 | BEIJER REF AB | 1,349,530 | 1,740,284 | |||||||||||||
74,089 | BIOTAGE AB(b) | 816,921 | 1,106,835 | |||||||||||||
32,900 | BOLIDEN AB | 800,179 | 747,255 | |||||||||||||
29,116 | CELLAVISION AB(b) | 959,656 | 877,315 | |||||||||||||
7,501 | ELECTROLUX AB, CLASS B | 79,015 | 125,220 | |||||||||||||
7,501 | ELECTROLUX PROFESSIONAL AB, CLASS B(b) | 16,773 | 27,361 | |||||||||||||
10,554 | EPIROC AB, CLASS A | 27,811 | 131,318 | |||||||||||||
5,246 | EPIROC AB, CLASS B | 19,620 | 64,072 | |||||||||||||
8,600 | ESSITY AB, CLASS B(b) | 62,137 | 277,645 | |||||||||||||
3,651 | HEXAGON AB, CLASS B(b) | 56,077 | 212,804 | |||||||||||||
80,300 | HUMANA AB(b) | 413,356 | 407,585 | |||||||||||||
38,321 | HUSQVARNA AB, CLASS B | 174,072 | 313,360 | |||||||||||||
8,821 | INDUSTRIVARDEN AB, CLASS C(b) | 96,124 | 199,570 | |||||||||||||
33,454 | INDUTRADE AB(b) | 1,010,855 | 1,319,444 | |||||||||||||
11,210 | INVESTOR AB, CLASS B | 160,645 | 590,677 | |||||||||||||
56,909 | INWIDO AB(b) | 320,042 | 392,835 | |||||||||||||
55,400 | KINDRED GROUP PLC | 287,801 | 330,682 | |||||||||||||
3,000 | KINNEVIK AB, CLASS B | 51,225 | 78,794 | |||||||||||||
7,801 | KNOW IT AB(b) | 144,666 | 129,458 | |||||||||||||
29,428 | LUNDIN ENERGY AB | 485,724 | 708,128 | |||||||||||||
44,500 | MEKONOMEN AB(b) | 323,086 | 314,750 | |||||||||||||
77,913 | NOBIA AB(b) | 452,973 | 368,201 | |||||||||||||
46,408 | NOBINA AB(b)(e) | 300,038 | 277,033 | |||||||||||||
77,000 | RESURS HOLDING AB(e) | 449,843 | 315,733 | |||||||||||||
18,295 | SANDVIK AB(b) | 146,769 | 341,232 | |||||||||||||
29,245 | SECTRA AB, CLASS B(b) | 1,233,302 | 1,662,103 | |||||||||||||
14,236 | SECURITAS AB, CLASS B(b) | 116,133 | 191,561 | |||||||||||||
63,171 | SKANDINAVISKA ENSKILDA BANKEN AB, CLASS A(b) | 322,937 | 546,349 | |||||||||||||
2,634 | SKANSKA AB, CLASS B(b) | 22,223 | 53,490 | |||||||||||||
8,600 | SVENSKA CELLULOSA AB S.C.A., CLASS B(b) | 15,915 | 102,126 | |||||||||||||
26,506 | SVENSKA HANDELSBANKEN AB, CLASS A(b) | 160,322 | 251,265 | |||||||||||||
40,373 | SWEDBANK AB, CLASS A(b) | 450,232 | 516,717 | |||||||||||||
60,732 | TELEFONAKTIEBOLAGET LM ERICSSON, CLASS B | 314,960 | 560,826 | |||||||||||||
35,506 | TETHYS OIL AB | 259,465 | 173,918 | |||||||||||||
29,300 | TRELLEBORG AB, CLASS B(b) | 420,080 | 425,795 | |||||||||||||
68,765 | VITEC SOFTWARE GROUP AB, CLASS B | 1,184,369 | 1,551,240 |
See accompanying notes to financial statements. | 82 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Sweden (Cont’d): | ||||||||||||||||
27,406 | VOLVO AB, CLASS B(b) | $ | 191,430 | 428,397 | ||||||||||||
17,745,391 | 24,658,976 | 3.68 | % | |||||||||||||
Switzerland: | ||||||||||||||||
340,595 | ABB LTD. (REGISTERED) | 6,654,386 | 7,655,744 | |||||||||||||
2,930 | ADECCO GROUP A.G. (REGISTERED) | 91,455 | 137,281 | |||||||||||||
81,997 | ALCON, INC.(b) | 4,441,047 | 4,698,119 | |||||||||||||
484 | BALOISE HOLDING A.G. (REGISTERED) | 26,452 | 72,484 | |||||||||||||
1,098 | BUCHER INDUSTRIES A.G. (REGISTERED) | 236,188 | 315,731 | |||||||||||||
34 | CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (PARTICIPATION CERTIFICATE) | 48,855 | 279,672 | |||||||||||||
3 | CHOCOLADEFABRIKEN LINDT & SPRUENGLI A.G. (REGISTERED) | 75,352 | 257,557 | |||||||||||||
63,396 | CIE FINANCIERE RICHEMONT S.A. (REGISTERED) | 4,352,467 | 4,036,993 | |||||||||||||
4,900 | DKSH HOLDING A.G. | 291,993 | 314,123 | |||||||||||||
16,851 | DUFRY A.G. (REGISTERED)(b) | 655,645 | 497,784 | |||||||||||||
1,038 | GEBERIT A.G. (REGISTERED) | 105,843 | 518,953 | |||||||||||||
140 | GIVAUDAN S.A. (REGISTERED) | 76,496 | 520,740 | |||||||||||||
6,000 | HELVETIA HOLDING A.G. (REGISTERED) | 567,039 | 558,617 | |||||||||||||
1,807 | IDORSIA LTD.(b) | 18,603 | 57,691 | |||||||||||||
18,285 | JULIUS BAER GROUP LTD. | 565,062 | 763,856 | |||||||||||||
73,085 | LAFARGEHOLCIM LTD. (REGISTERED)(b) | 3,608,821 | 3,196,594 | |||||||||||||
3,700 | LANDIS+GYR GROUP A.G.(b) | 249,447 | 239,115 | |||||||||||||
897 | LONZA GROUP A.G. (REGISTERED) | 50,452 | 472,983 | |||||||||||||
96,394 | NESTLE S.A. (REGISTERED) | 4,403,234 | 10,649,146 | |||||||||||||
70,806 | NOVARTIS A.G. (REGISTERED) | 3,857,648 | 6,152,380 | |||||||||||||
12,406 | ROCHE HOLDING A.G. | 1,614,189 | 4,295,349 | |||||||||||||
1,381 | SCHINDLER HOLDING A.G. (PARTICIPATION CERTIFICATE) | 108,493 | 324,685 | |||||||||||||
589 | SCHINDLER HOLDING A.G. (REGISTERED) | 68,597 | 138,597 | |||||||||||||
120 | SGS S.A. (REGISTERED) | 129,434 | 292,814 | |||||||||||||
25,167 | SIKA A.G. (REGISTERED) | 3,021,990 | 4,837,352 | |||||||||||||
1,308 | SONOVA HOLDING A.G. (REGISTERED)(b) | 84,414 | 260,818 | |||||||||||||
32,211 | STMICROELECTRONICS N.V. | 517,002 | 873,827 | |||||||||||||
635 | SULZER A.G. (REGISTERED) | 30,609 | 50,540 | |||||||||||||
743 | SWISS LIFE HOLDING A.G. (REGISTERED) | 101,194 | 274,777 | |||||||||||||
194 | SWISSCOM A.G. (REGISTERED) | 49,415 | 101,465 | |||||||||||||
3,864 | TECAN GROUP A.G. (REGISTERED) | 752,734 | 1,367,066 | |||||||||||||
433,977 | UBS GROUP A.G. (REGISTERED) | 6,181,859 | 4,985,766 | |||||||||||||
7,700 | VALIANT HOLDING A.G. (REGISTERED) | 734,240 | 718,444 | |||||||||||||
7,421 | VAT GROUP A.G.(e) | 1,002,181 | 1,352,967 | |||||||||||||
5,000 | VETROPACK HOLDING A.G. (REGISTERED)(b) | 256,087 | 276,532 | |||||||||||||
6,700 | VONTOBEL HOLDING A.G. (REGISTERED) | 477,708 | 469,171 | |||||||||||||
33,091 | WIZZ AIR HOLDINGS PLC(b)(e) | 1,275,093 | 1,365,683 | |||||||||||||
7,800 | ZEHNDER GROUP A.G. (REGISTERED) | 303,280 | 305,963 | |||||||||||||
10,900 | ZUR ROSE GROUP A.G.(b) | 2,479,765 | 2,970,662 | |||||||||||||
4,517 | ZURICH INSURANCE GROUP A.G. | 878,484 | 1,590,741 | |||||||||||||
50,443,253 | 68,248,782 | 10.17 | % | |||||||||||||
Taiwan: | ||||||||||||||||
305,000 | ASIA CEMENT CORP. | 434,632 | 449,919 | |||||||||||||
50,000 | BIOTEQUE CORP. | 216,137 | 266,448 | |||||||||||||
125,000 | CHC HEALTHCARE GROUP | 178,135 | 187,015 | |||||||||||||
146,000 | CHIPBOND TECHNOLOGY CORP. | 286,157 | 317,560 | |||||||||||||
419,000 | CHIPMOS TECHNOLOGIES, INC. | 449,603 | 479,120 | |||||||||||||
179,000 | ESON PRECISION IND CO. LTD. | 236,267 | 195,727 | |||||||||||||
38,000 | GLOBALWAFERS CO. LTD. | 372,583 | 517,737 | |||||||||||||
145,000 | JARLLYTEC CO. LTD. | 327,630 | 306,509 | |||||||||||||
241,000 | MIRLE AUTOMATION CORP. | 311,936 | 317,000 | |||||||||||||
90,000 | RADIANT OPTO-ELECTRONICS CORP. | 361,908 | 363,399 | |||||||||||||
1,260,000 | SINOPAC FINANCIAL HOLDINGS CO. LTD. | 492,562 | 462,251 | |||||||||||||
225,000 | TAIWAN HON CHUAN ENTERPRISE CO. LTD. | 422,583 | 420,931 | |||||||||||||
TAIWAN SEMICONDUCTOR MANUFACTURING CO. | ||||||||||||||||
93,337 | LTD. ADR(f) | 1,926,910 | 5,298,741 | |||||||||||||
82,000 | TOPCO SCIENTIFIC CO. LTD. | 252,353 | 302,286 | |||||||||||||
644,000 | WISTRON CORP. | 522,109 | 779,136 | |||||||||||||
90,000 | ZHEN DING TECHNOLOGY HOLDING LTD. | 335,681 | 390,812 | |||||||||||||
7,127,186 | 11,054,591 | 1.65 | % | |||||||||||||
Thailand: | ||||||||||||||||
432,100 | PRUKSA HOLDING PCL (REGISTERED) | 233,658 | 160,775 |
See accompanying notes to financial statements. | 83 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Thailand (Cont’d): | ||||||||||||||||
301,200 | THAI VEGETABLE OIL PCL | $ | 265,122 | 255,919 | ||||||||||||
498,780 | 416,694 | 0.06 | % | |||||||||||||
Turkey: | ||||||||||||||||
53,800 | COCA-COLA ICECEK A.S. | 315,265 | 340,548 | |||||||||||||
186,400 | TURKCELL ILETISIM HIZMETLERI A.S. | 453,929 | 446,993 | |||||||||||||
769,194 | 787,541 | 0.12 | % | |||||||||||||
United Arab Emirates: | ||||||||||||||||
183,562 | NETWORK INTERNATIONAL HOLDINGS PLC(b)(e) | 1,295,225 | 1,001,650 | |||||||||||||
1,295,225 | 1,001,650 | 0.15 | % | |||||||||||||
United Kingdom: | ||||||||||||||||
26,524 | 3I GROUP PLC | 99,606 | 273,178 | |||||||||||||
163,000 | 888 HOLDINGS PLC | 318,087 | 352,344 | |||||||||||||
3,206 | ADMIRAL GROUP PLC | 44,520 | 91,238 | |||||||||||||
38,656 | AGGREKO PLC | 408,897 | 211,757 | |||||||||||||
52,849 | ANGLO AMERICAN PLC | 411,011 | 1,221,603 | |||||||||||||
26,375 | ASTRAZENECA PLC | 983,695 | 2,749,505 | |||||||||||||
13,643 | AUTO TRADER GROUP PLC(e) | 65,400 | 88,892 | |||||||||||||
15,941 | AVIVA PLC | 45,428 | 53,946 | |||||||||||||
73,500 | BABCOCK INTERNATIONAL GROUP PLC | 428,762 | 282,168 | |||||||||||||
19,513 | BAE SYSTEMS PLC | 98,328 | 116,715 | |||||||||||||
113,471 | BAKKAVOR GROUP PLC(e) | 166,389 | 99,316 | |||||||||||||
107,100 | BALFOUR BEATTY PLC | 361,462 | 345,849 | |||||||||||||
9,400 | BELLWAY PLC | 411,711 | 296,180 | |||||||||||||
2,391 | BERKELEY GROUP HOLDINGS PLC | 71,739 | 123,222 | |||||||||||||
15,241 | BRITISH AMERICAN TOBACCO PLC | 352,060 | 585,581 | |||||||||||||
5,069 | BUNZL PLC | 39,524 | 135,904 | |||||||||||||
8,748 | BURBERRY GROUP PLC | 50,181 | 173,111 | |||||||||||||
100,069 | CNH INDUSTRIAL N.V.(b) | 835,343 | 699,066 | |||||||||||||
35,854 | CNH INDUSTRIAL N.V. (NEW YORK EXCHANGE)(b) | 326,020 | 252,054 | |||||||||||||
410,153 | COMPASS GROUP PLC | 5,189,618 | 5,642,524 | |||||||||||||
49,200 | CRANEWARE PLC | 1,223,633 | 1,038,646 | |||||||||||||
2,457 | CRODA INTERNATIONAL PLC | 92,898 | 159,864 | |||||||||||||
43,200 | DART GROUP PLC | 431,313 | 448,866 | |||||||||||||
28,666 | DECHRA PHARMACEUTICALS PLC | 1,061,503 | 1,010,002 | |||||||||||||
41,565 | DIAGEO PLC | 506,960 | 1,379,706 | |||||||||||||
177,500 | DIRECT LINE INSURANCE GROUP PLC | 614,920 | 595,234 | |||||||||||||
108,100 | DRAX GROUP PLC | 316,682 | 344,228 | |||||||||||||
54,776 | EASYJET PLC | 636,989 | 460,668 | |||||||||||||
4,107 | FERGUSON PLC | 80,053 | 335,973 | |||||||||||||
49,691 | FEVERTREE DRINKS PLC | 1,243,897 | 1,258,027 | |||||||||||||
17,467 | FIAT CHRYSLER AUTOMOBILES N.V.(b) | 108,686 | 175,215 | |||||||||||||
10,222 | FIAT CHRYSLER AUTOMOBILES N.V. (NEW YORK EXCHANGE)(b) | 17,872 | 104,673 | |||||||||||||
41,485 | GAN LTD.(b) | 1,083,821 | 1,055,793 | |||||||||||||
52,259 | GLAXOSMITHKLINE PLC | 768,484 | 1,058,869 | |||||||||||||
65,502 | IMI PLC | 820,996 | 747,816 | |||||||||||||
95,825 | INFORMA PLC | 503,101 | 557,541 | |||||||||||||
220,550 | INTEGRAFIN HOLDINGS PLC | 1,419,912 | 1,250,979 | |||||||||||||
32,745 | INTERNATIONAL CONSOLIDATED AIRLINES GROUP S.A. | 90,834 | 89,718 | |||||||||||||
301,600 | J SAINSBURY PLC | 799,323 | 779,246 | |||||||||||||
30,548 | JOHN WOOD GROUP PLC | 144,014 | 73,219 | |||||||||||||
2,128 | JOHNSON MATTHEY PLC | 33,879 | 55,236 | |||||||||||||
295,800 | KINGFISHER PLC | 764,284 | 808,156 | |||||||||||||
9,725 | LAND SECURITIES GROUP PLC | 61,351 | 66,548 | |||||||||||||
4,941,624 | LLOYDS BANKING GROUP PLC | 3,643,536 | 1,906,322 | |||||||||||||
6,030 | LONDON STOCK EXCHANGE GROUP PLC | 69,795 | 623,766 | |||||||||||||
191,900 | MAN GROUP PLC | 264,558 | 310,252 | |||||||||||||
300,659 | MARSTON’S PLC | 477,602 | 197,894 | |||||||||||||
7,217 | MEGGITT PLC | 16,687 | 26,272 | |||||||||||||
152,446 | MICRO FOCUS INTERNATIONAL PLC | 750,413 | 814,819 | |||||||||||||
145,235 | MORGAN ADVANCED MATERIALS PLC | 467,561 | 433,344 | |||||||||||||
21,838 | NATIONAL GRID PLC | 132,913 | 267,411 | |||||||||||||
2,141 | NEXT PLC | 36,699 | 129,646 | |||||||||||||
39,805 | NINETY ONE PLC(b) | 72,784 | 102,128 | |||||||||||||
103,083 | ONESAVINGS BANK PLC | 483,067 | 338,531 | |||||||||||||
12,212 | RECKITT BENCKISER GROUP PLC | 510,135 | 1,123,852 |
See accompanying notes to financial statements. | 84 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
United Kingdom (Cont’d): | ||||||||||||||||
109,800 | REDDE NORTHGATE PLC | $ | 378,816 | 225,540 | ||||||||||||
57,235 | REDROW PLC | 447,916 | 305,216 | |||||||||||||
47,054 | RELX PLC | 574,910 | 1,087,565 | |||||||||||||
166,623 | RELX PLC (LONDON EXCHANGE) | 1,889,353 | 3,856,534 | |||||||||||||
23,058 | RENTOKIL INITIAL PLC | 117,249 | 145,406 | |||||||||||||
19,426 | RIO TINTO LTD. | 611,119 | 1,317,243 | |||||||||||||
34,005 | RIO TINTO PLC | 893,599 | 1,913,459 | |||||||||||||
825,557 | ROYAL BANK OF SCOTLAND GROUP PLC | 1,889,929 | 1,241,694 | |||||||||||||
77,712 | ROYAL MAIL PLC | 220,280 | 175,290 | |||||||||||||
20,657 | SAGE GROUP (THE) PLC | 74,323 | 171,779 | |||||||||||||
16,135 | SEGRO PLC | 67,053 | 178,735 | |||||||||||||
114,270 | SENIOR PLC | 287,158 | 99,194 | |||||||||||||
13,084 | SEVERN TRENT PLC | 276,407 | 401,436 | |||||||||||||
247,066 | SMITH & NEPHEW PLC | 5,310,992 | 4,602,773 | |||||||||||||
3,071 | SMITHS GROUP PLC | 37,103 | 53,635 | |||||||||||||
111,145 | SOFTCAT PLC | 1,425,167 | 1,499,846 | |||||||||||||
9,489 | SPECTRIS PLC | 300,454 | 296,449 | |||||||||||||
414,000 | SPEEDY HIRE PLC | 294,411 | 290,065 | |||||||||||||
10,068 | SPIRAX-SARCO ENGINEERING PLC | 1,022,634 | 1,243,015 | |||||||||||||
82,413 | STHREE PLC | 315,585 | 276,135 | |||||||||||||
101,900 | STOCK SPIRITS GROUP PLC | 321,342 | 295,441 | |||||||||||||
77,600 | TATE & LYLE PLC | 713,986 | 641,285 | |||||||||||||
830,179 | TESCO PLC | 2,082,066 | 2,344,052 | |||||||||||||
148,000 | TP ICAP PLC | 641,118 | 642,818 | |||||||||||||
205,935 | TRAINLINE PLC(b)(e) | 743,614 | 1,112,417 | |||||||||||||
126,800 | TYMAN PLC | 343,290 | 298,701 | |||||||||||||
10,104 | UNILEVER N.V. | 262,590 | 535,869 | |||||||||||||
24,244 | UNILEVER PLC | 545,190 | 1,307,177 | |||||||||||||
8,137 | UNITED UTILITIES GROUP PLC | 56,989 | 91,658 | |||||||||||||
1,329 | WHITBREAD PLC | 20,100 | 36,541 | |||||||||||||
9,973 | WILLIS TOWERS WATSON PLC | 1,544,340 | 1,964,182 | |||||||||||||
324,500 | WM MORRISON SUPERMARKETS PLC | 792,191 | 765,524 | |||||||||||||
23,432 | WPP PLC | 141,019 | 182,859 | |||||||||||||
55,101,229 | 63,522,146 | 9.47 | % | |||||||||||||
United States: | ||||||||||||||||
248,400 | DIVERSIFIED GAS & OIL PLC | 347,000 | 295,143 | |||||||||||||
19,427 | ELASTIC N.V.(b) | 1,714,741 | 1,791,364 | |||||||||||||
3,424 | FIDELITY NATIONAL INFORMATION SERVICES, INC. | 289,873 | 459,124 | |||||||||||||
4,177 | METTLER-TOLEDO INTERNATIONAL, INC.(b) | 2,465,181 | 3,364,782 | |||||||||||||
3,157 | NEWMONT CORP. | 101,845 | 195,057 | |||||||||||||
31,395 | RESMED, INC. | 3,425,925 | 6,027,840 | |||||||||||||
159,026 | SCHLUMBERGER LTD. | 2,628,744 | 2,924,488 | |||||||||||||
23,139 | STERIS PLC | 3,706,900 | 3,550,448 | |||||||||||||
14,680,209 | 18,608,246 | 2.77 | % | |||||||||||||
Sub-total Common Stocks: | 471,630,322 | 638,683,561 | 95.22 | % | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil: | ||||||||||||||||
108,013 | AZUL S.A. ADR(b)(c)(f) | 1,776,830 | 1,207,585 | |||||||||||||
263,400 | CIA DE SANEAMENTO DO PARANA(b) | 350,151 | 304,178 | |||||||||||||
259,574 | TELEFONICA BRASIL S.A. ADR, 2.85%(f)(g) | 3,256,219 | 2,299,826 | |||||||||||||
5,383,200 | 3,811,589 | 0.57 | % | |||||||||||||
Germany: | ||||||||||||||||
1,739 | BAYERISCHE MOTOREN WERKE A.G., 5.74%(g) | 59,403 | 84,160 | |||||||||||||
3,800 | DRAEGERWERK A.G. & CO. KGAA, 0.26%(g) | 311,648 | 309,782 | |||||||||||||
10,197 | JUNGHEINRICH A.G., 2.38%(g) | 253,285 | 236,992 | |||||||||||||
312 | SARTORIUS A.G., 0.12%(g) | 56,342 | 102,500 | |||||||||||||
2,800 | STO S.E. & CO. KGAA, 0.31%(g) | 304,841 | 317,575 | |||||||||||||
985,519 | 1,051,009 | 0.16 | % | |||||||||||||
South Korea: | ||||||||||||||||
48,493 | SAMSUNG ELECTRONICS CO. LTD., 3.04%(g) | 1,439,460 | 1,893,758 | |||||||||||||
1,439,460 | 1,893,758 | 0.28 | % | |||||||||||||
Sub-total Preferred Stocks: | 7,808,179 | 6,756,356 | 1.01 | % |
See accompanying notes to financial statements. | 85 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Shares | Security | Cost | Fair value (a) | Percent of net assets | ||||||||||||
Rights: | ||||||||||||||||
Spain: | ||||||||||||||||
2,278 | ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS S.A.(b) | $ | 3,554 | 3,554 | ||||||||||||
3,554 | 3,554 | 0.00 | % | |||||||||||||
Sub-total Rights: | 3,554 | 3,554 | 0.00 | % | ||||||||||||
Warrants: | ||||||||||||||||
Ireland: | ||||||||||||||||
130,741 | RYANAIR HOLDINGS PLC(b) | 1,267,262 | 1,565,192 | |||||||||||||
1,267,262 | 1,565,192 | 0.23 | % | |||||||||||||
Sub-total Warrants: | 1,267,262 | 1,565,192 | 0.23 | % | ||||||||||||
Short-Term Investments: | ||||||||||||||||
6,450,555 | FIDELITY INVESTMENTS MONEY MARKET GOVERNMENT PORTFOLIO(h) | 6,450,554 | 6,450,555 | |||||||||||||
21,716,249 | NORTHERN INSTITUTIONAL FUNDS - U.S. GOVERNMENT SELECT PORTFOLIO, 0.13%(i) | 21,716,249 | 21,716,249 | |||||||||||||
Sub-total Short-Term Investments: | 28,166,803 | 28,166,804 | 4.20 | % | ||||||||||||
Grand total | $ | 508,876,120 | 675,175,467 | 100.66 | % |
Notes to Schedule of Investments:
(a) | Investments are valued in accordance with procedures described in Note 2 to the financial statements. |
(b) | Non-income producing assets. |
(c) | Security is either wholly or partially on loan. |
(d) | Security has been deemed worthless and is a Level 3 investment. |
(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) | Securities are American Depositary Receipts of companies based outside of the United States representing 3.72% of net assets as of June 30, 2020. |
(g) | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
(h) | Investment relates to cash collateral received from portfolio securities loaned. |
(i) | The short-term investment is a money market portfolio of the investment company, Northern Institutional Funds. At December 31, 2019, the value of the Clearwater International Fund’s investment in the U.S. Government Select Portfolio of the Northern Institutional Funds was $32,652,940 with net sales of $10,936,691 during the six months ended June 30, 2020. |
At June 30, 2020, the industry sectors for the Clearwater International Fund were:
Industry Sector | Percent of Long-Term Investments | |||
Communication Services | 5.69 | % | ||
Consumer Discretionary | 12.21 | |||
Consumer Staples | 8.85 | |||
Energy | 2.19 | |||
Financials | 13.46 | |||
Health Care | 14.40 | |||
Industrials | 16.76 | |||
Information Technology | 16.98 | |||
Materials | 6.00 | |||
Real Estate | 1.91 | |||
Utilities | 1.55 | |||
100.00 | % |
See accompanying notes to financial statements. | 86 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
At June 30, 2020, the Clearwater International Fund’s investments were denominated in the following currencies:
Concentration by Currency | Percent of Long-Term Investments | |||
Euro | 19.35 | % | ||
United States Dollar | 15.65 | |||
Japanese Yen | 15.12 | |||
British Pound | 10.38 | |||
Swiss Franc | 10.20 | |||
Canadian Dollar | 5.54 | |||
Other currencies | 23.76 | |||
100.00 | % |
At June 30, 2020, the Clearwater International Fund had outstanding forward foreign currency exchange contracts as follows:
Counterparty | Contract Settlement Date | Contract Amount | Unrealized Appreciation (Depreciation) | |||||||||||
Deliver | Receive | |||||||||||||
Northern Trust | 10/22/2020 | JPY | 186,886,118 | USD | 1,745,302 | $ | 11,253 | |||||||
Northern Trust | 10/22/2020 | USD | 448,144 | CNH | 3,226,934 | 5,411 | ||||||||
Northern Trust | 10/22/2020 | CNH | 3,162,545 | USD | 445,523 | 1,018 | ||||||||
$ | 17,682 | |||||||||||||
Northern Trust | 10/22/2020 | CNH | 42,102,332 | USD | 6,003,136 | $ | (25,022 | ) | ||||||
$ | (7,340 | ) |
See accompanying notes to financial statements. | 87 | (Continued) |
CLEARWATER INVESTMENT TRUST
Schedule of Investments - Clearwater International Fund
June 30, 2020 (unaudited)
Clearwater International Fund Portfolio Diversification
(as a percentage of net assets)
See accompanying notes to financial statements. | 88 | (Continued) |
Item 1. Reports to Stockholders (cont.).
(b) | Not applicable. |
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 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. |
(a)(4) | Not applicable. |
(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 26, 2020 |
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 26, 2020 |
Clearwater Investment Trust | ||
By | /s/ Justin H. Weyerhaeuser | |
Justin H. Weyerhaeuser | ||
Treasurer (Principal Financial Officer) | ||
Date: August 26, 2020 |