-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, DDn8fx/F0SAZKx7G0yxod6zvgJjUjxUydX5lhaU+0h1fx6EPsjkiqtPNuMTg6ns2 JvD6HgBQmxnxpvlNm/sXsQ== 0001169232-09-003788.txt : 20090904 0001169232-09-003788.hdr.sgml : 20090904 20090904084923 ACCESSION NUMBER: 0001169232-09-003788 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20090630 FILED AS OF DATE: 20090904 DATE AS OF CHANGE: 20090904 EFFECTIVENESS DATE: 20090904 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CLEARWATER INVESTMENT TRUST CENTRAL INDEX KEY: 0000811161 IRS NUMBER: 000000000 STATE OF INCORPORATION: MN FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-05038 FILM NUMBER: 091054907 BUSINESS ADDRESS: STREET 1: 2000 WELLS FARGO PLACE STREET 2: 30 EAST 7TH STREET CITY: ST PAUL STATE: MN ZIP: 55101-4930 BUSINESS PHONE: 6122280935 MAIL ADDRESS: STREET 1: 2000 WELLS FARGO PLACE STREET 2: 30 EAST 7TH STREET CITY: ST PAUL STATE: MN ZIP: 55101 0000811161 S000000697 Clearwater Growth Fund C000002050 Clearwater Growth Fund 0000811161 S000000698 Clearwater Small Cap Fund C000002051 Clearwater Small Cap Fund 0000811161 S000000699 Clearwater Tax-Exempt Bond Fund C000002052 Clearwater Tax-Exempt Bond Fund 0000811161 S000024756 CLEARWATER INTERNATIONAL FUND C000073549 CLEARWATER INTERNATIONAL FUND N-CSRS 1 d77659_n-csr.txt SEMI ANNUAL REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-5038 Clearwater Investment Trust 2000 Wells Fargo Place, 30 East 7th Street, Saint Paul, Minnesota 55101-4930 Susanne S. Smith Chief Compliance Officer Fiduciary Counselling, Inc. 2000 Wells Fargo Place, 30 East 7th Street Saint Paul, Minnesota 55101-4930 (Name and address of agent for service) Copy to: Steven G. Lentz Faegre & Benson LLP 90 South Seventh Street 2200 Wells Fargo Center Minneapolis, Minnesota 55402 (Name and address for agent for service) Registrant's telephone number, including area code: 651-228-0935 Date of fiscal year end: December 31, 2009 Date of reporting period: June 30, 2009 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. CLEARWATER INVESTMENT TRUST SEMIANNUAL REPORT (unaudited) June 30, 2009 ------------------------------------------- CLEARWATER INVESTMENT TRUST ------------------------------------------- Letter to our shareholders (unaudited) August, 2009 On June 30, 2009, the net asset value of the Clearwater Growth Fund was $19.38 per unit. The Fund increased 4.2% on a total return basis for the first half of 2009 while its comparative benchmark, the Russell 1000 Index, increased 4.3%. For the second quarter, the Fund increased 16.3% while the Russell 1000 Index increased 16.5%. On June 30, 2009, the net asset value of the Clearwater Small Cap Fund was $11.38 per unit. The Fund increased 9.5% on a total return basis for the first half of 2009, while its comparative benchmark, the Russell 2000 Index, increased 2.6%. For the second quarter, the Fund increased 25.1% while the Russell 2000 Index increased 20.7%. On June 30, 2009, the net asset value of the Clearwater Tax Exempt Bond Fund was $8.77 per unit. The Fund increased 11.5% on a total return basis for the first half of 2009 with a second quarter return of 4.7%. For comparative purposes, the Barclay's 5-Year Municipal Bond Index increased 3.0% for the first half of 2008 with a .8% increase in the second quarter. On June 30, 2009, the net asset value of the Clearwater International Fund was $11.21 per unit. The Fund increased 12.1% on a total return basis since its inception date of February 5, 2009, while it comparative benchmark, the MSCI World ex US Index increased 19.4% from February 5, 2009. For the second quarter, the Fund increased 23.9% while the MSCI ex US Index increased 25.9%. Clearwater Growth Fund: Parametric Portfolio Associates, the sub-advisor for the Clearwater Growth Fund, made the following comments: The US equity market had its best quarter in over ten years, as measured by the S&P 500 Index, up 15.9%. The rally in the second quarter broke a string of six negative quarters in a row, easing the minds of investors, most of who just experienced the most volatile period of their investment lives, if not modern history. All economic sectors were up in the second quarter, but notable was the stunning reversal of financials, up 35.7%. The recovery in financial services companies, the very sector that drove the US economy to the brink of catastrophe, helped lift the US stock market back into positive territory for the year. This revival boosted the cyclical sectors, those most sensitive to changes in the overall economy, including technology, up 19.7%, industrials, up 18.9%, consumer discretionary, up 18.2% and materials, up 16.3%. The worst performing were the defensive telecommunications, up 3.4%, health care, up 8.9% and consumer staples, up 9.8%, as investors were not as focused on sectors that can weather a slumping economy. Companies that had been beaten down for the last eighteen months rebounded this quarter, helping small-cap stocks outperform large-caps (S&P SmallCap 600 Index, 21.1%; S&P MidCap 400 Index, 18.7%). Clearwater Investment Trust August, 2009 Page 2 Value outperformed growth (S&P 500/Citigroup Value Index, 17.5%; S&P 500/Citigroup Growth Index, 14.6%), largely due to the concentration of financials in the Value Index. The market is now about where it started the year. The about face in stocks this quarter versus last made clear that investors are past their extreme pessimism born from the credit crisis. Stocks are trading at historical norms relative to projected earnings, but forecasting corporate profits in the current economic environment is challenging. Payrolls and home prices continue to decline, but consumer confidence and factory orders are on the rise. As this unfolds, our broadly diversified, sector-neutral Tax Managed Core portfolios will provide a great opportunity to capture the next market leaders, while doing so in a tax efficient manner. Clearwater Small Cap Fund: Kennedy Capital Management, one of the two sub-advisors for the Small Cap Fund, made the following comments: Sectors that were over-weighted versus the Benchmark for the three months ended June 2009 were Health Care, Telecommunication Services, and Materials. Sectors that were underweighted versus the Benchmark were Financials, Consumer Discretionary, and Utilities. The areas of strongest relative performance for the three months ended June 2009 were within the Consumer Discretionary, Materials, and Financials sectors of the Composite. The areas of weakest relative performance were within the Consumer Staples, Telecommunication Services, and Utilities sectors of the Composite. As has been a recurring theme, we remain underweight Financials. In general, markets were under-estimating the potential hits to equity for banks and thrifts. Given the markedly lower returns in the Financial sector in Q2 (up 9.92% vs. 20.67% for the Russell 2000(R) as a whole), we are beginning to see some opportunities in the sector. As usual, we continue to find other opportunities in the sector, including select insurance companies and REITs. Portfolio Construction and Outlook During the second quarter, our sector weightings showed some changes. The largest shifts were in Information Technology ("IT") and Health Care ("HC"). You'll recall that our IT overweight grew in Q1. It ratcheted back down as some of the themes we had recognized quickly rose to fair value (e.g., companies that had enough cash to cover their market caps and were burning little, if any, cash). The shift in HC was discussed earlier in this letter. We continue to hold a generally skeptical view of the recovery of the Consumer and the capital cushions of banks. While we find ourselves clearly more cynical about a Consumer spending recovery than many other investors, we are beginning to get more comfortable that the market is pricing in the proper degree of credit weakness at some banks. As such, although our Financials underweight did not change much, our bank and thrift holdings moved marginally higher. We recently began to add National Penn Bancshares Inc., a stock that we sold above $13 last year and are now buying under $5. We have confidence in the management team and believe that the market is markedly undervaluing the equity. Clearwater Investment Trust August, 2009 Page 3 In terms of our largest holdings, there have been some changes. Our top three names are unchanged, but we have increased our position in Syniverse (which, incidentally, accounted for most of the increasing overweight in the Telecommunication Services sector). Syniverse is a stock we have owned for quite some time, but we recently increased our investment as we believe the market is underestimating the impact of mobile data growth for them. Another new name to our top holdings is Comtech Telecommunications Corp. ("CMTL"), a company largely focused on providing secure communications solutions to the defense sector. After meeting with management and having subsequent conversations with them and competitors, we gained comfort that investors were clearly underestimating top and bottom line improvement opportunities for the company over the next two to five years. In addition, management had proven its ability to enhance CFROI over time, while still growing assets. We continue our commitment to managing well-diversified portfolios on behalf of our clients, with approximately 90-140 positions representing a broad array of growth and value. We believe the Clearwater portfolio exhibits excellent risk-return characteristics overall, characterized by higher historical Cash Flow Return on Investment than the benchmark, but with superior valuations. Based on several metrics, including Price to Book, Price to Sales and Price to Forward Earnings ratios, our portfolios exhibit an attractive valuation profile, which we believe will serve our clients well in months and years to come. Keeley Capital Management, the other sub-advisor for the Small Cap Fund, made the following comments: Beginning in mid-March, U.S. equity markets staged a strong three month rebound which allowed equity averages to recoup most of the losses that were posted during the first quarter. These gains occurred in spite of continued weak economic data, a worse than expected GDP report, the struggles of the domestic auto companies and the market's focus on bank "stress-tests". Amid this negative news, a few signs of economic recovery were evident. These included TARP repayments by a number of financial institutions along with improvement in home sales and factory orders. Stock investors continued to focus on these "green shoots" and a "slowing of the declines" thesis as several more economic reports--though negative-- nevertheless mildly beat expectations. Economic reports released toward the end of the quarter sent mixed signals. For instance, the housing market was showing signs of improvement in reports released in June but at the same time rising interest rates served to dampen the expectation that low mortgage rates would facilitate this rebound. The mixed nature of the data caused market moves to cancel out leaving equity averages little changed during the month of June. The Federal Reserve held interest rates in check and mentioned that deflation appeared less likely. Going forward, investors' attention may start focusing on rising interest rates and the potential for higher inflation. The Federal Reserves' purchases of Government securities initially helped keep yields contained and compressed risk premiums, however, supply/demand concerns have since forced the yield on 10 year Treasury Bonds to spike close to 4% before backing off late in the quarter. Bank stress-tests resulted in the major banks requiring at least $75 billion in additional capital. In an encouraging sign, many of these banks responded quickly Clearwater Investment Trust August, 2009 Page 4 by raising capital via stock offerings. In turn, the Fed allowed ten major banks to return $68 billion in TARP. From a sector weight perspective, the portfolio continues to be over-weight Industrials and Energy for the quarter. Both of these over-weights have contributed positively to the relative out-performance achieved during the quarter. Additionally, the portfolio continues to be under-weight Financials, which also contributed to the relative out-performance, but from an allocation standpoint hurt the portfolio due to the under-weight. It is important to note, that, as part of our investment philosophy, the portfolio will tend to be under-weight sectors with a short product life-cycle. Accordingly, the portfolio was under-weight Information Technology and Telecomm Services both of which hindered results during the quarter, as Technology was one of the best performing sectors within the Russell 2000 Value Index for the quarter. Among the primary areas of corporate restructuring that we regularly follow, we anticipate a number of interesting opportunities from companies that will be emerging from bankruptcy over the next several quarters. Additionally, we remain committed to our value driven strategy which buys stocks of relatively unknown (spin-offs) and out of favor (below book value) companies. While the short-term outlook may be unclear, we believe that long-term investors have an exceptional opportunity to benefit from the compelling valuations that are offered right now. Valuations at present levels are attractive and the growth potential of our companies over a long-term perspective is extremely compelling. Clearwater Tax-Exempt Bond Fund: Sit Fixed Income Advisors II, LLC, the sub-advisor for the Tax-Exempt Bond Fund, made the following comments: After a very volatile and difficult year in 2008, the first half of 2009 witnessed significant healing in the fixed income capital markets. Many government programs, including TARP, TALF and PPIP, were announced or implemented, and had generally positive effects. In addition, Congress passed and President Obama signed a $787 billion fiscal stimulus bill. While only about 10% of that money has been spent to date, it has had and will continue to have a positive impact on short-term economic growth. Perhaps most importantly, some tolerance for risk has returned to the investment community, resulting in strong performance for most fixed income securities other than U.S. Treasuries. The Federal Reserve applied aggressive actions throughout 2008, lowering the federal funds rate from 4.25% at the beginning of the year to near zero by December. In addition, the Fed has continued to use many other means to pump liquidity into fixed income markets during 2009. The U.S. Treasury yield curve steepened considerably during the first half of the year. Long-term Treasury yields ended June about 165 basis points higher than the beginning of the year, while short-term yields rose only 10 - 15 basis points. Short-term tax-exempt yields have remained steady during 2009, while long-term yields have fallen about 50 basis points, resulting in considerable out-performance for intermediate and long-term tax-exempt bonds. Heavy issuance in the government markets continued, and issuance picked up considerably in the corporate and tax-exempt markets as the liquidity crisis abated and appetite for risk returned. Ratios of tax-exempt yields to Treasuries reached unprecedented levels in 2008, rising from their normal level of 85-90% of Treasuries to more than 200% in some cases. This phenomenon has reversed itself in 2009, and will likely be brought closer to historic Clearwater Investment Trust August, 2009 Page 5 norms by both a rise in Treasury yields and a fall in tax-exempt yields during the remainder of the year. With a recession gripping the domestic economy, the Fed is likely to continue to be accommodative in 2009. Furthermore, fiscal stimulus from the Obama administration will have a significant impact on fixed income markets in 2009 and beyond. Returns in fixed income markets, except for U.S. Treasuries, are likely to be bumpy but positive as the Fed's accommodative policies and the federal government's fiscal stimulus take hold. The recent trend of revenue bonds underperforming general obligation bonds reversed itself during 2009, with revenue bond returns averaging 8.6% for the first half of the year vs. 4.2% for general obligation bonds. Furthermore, longer duration outperformed shorter duration, and lower quality issues outperformed those of higher credit quality, as investors sought yield. We expect revenue bonds to continue to be strong performers in the second half of 2009, as the Fed's accommodative policies and the Obama administration's fiscal stimulus should help allay liquidity concerns in the market, and investor focus returns to yield. General obligation bond performance may weaken further on a relative basis, however, as many cities, counties and states continue to experience revenue shortfalls with the economy in recession and continued weakness in the housing sector. In addition, potential problems funding retirement pension and healthcare obligations still persist. The Fund`s performance, with its heavy emphasis on revenue bonds, was very strong on an absolute and relative basis due to the sectors and structures in which it was invested, its longer duration, and its use of non-rated revenue bonds, whose spreads tightened considerably with the reversal of the flight to quality in the municipal market. Non-rated and rated revenue bonds significantly enhance total return performance in periods of stable or rising Treasury interest rates, but often underperform in an environment of rapidly falling Treasury rates, which is what the market and the Fund experienced in 2008. The economy officially dipped into recession in December 2007, and has continued to get progressively weaker. The recession has continued through the first half of 2009, but we expect slightly positive growth in the second half of 2009, as the Fed's accommodative policies and the federal government's stimulus plan take effect. With the housing and subprime mortgage mess still unwinding and unemployment reaching levels not seen in decades, interest rates are likely to be volatile over the second half of the year. The Treasury yield curve should remain relatively steep, with yields rising across the curve, while the tax-exempt curve grows somewhat flatter, with long-term municipal yields falling. While inflation is currently dormant, we remain vigilant, as the Fed's accommodative policies, the stimulus plan and the massive issuance of Treasury debt is likely to fuel inflation down the road. Given these offsetting concerns, we held the Fund's average life duration, a measure of the Fund's sensitivity to changes in interest rates, steady at 5.6 years during the first half of the year. For comparison, the Fund's benchmark, the Lehman 5-Year Index, had duration of 4.1 years at June 30, 2009. The Fund's longer duration and its use of non-rated bonds have positioned it opportunistically for the economic and interest rate environment that we expect over the next twelve months. The Fund's strong yield (its 12-month distribution rate remained strong at 4.78% at June 30) should continue to produce high tax-exempt income for its shareholders in the current and expected market environment. Investment of new cash flows will be focused on maturities in the 5-25 year range. Clearwater Investment Trust August, 2009 Page 6 Clearwater International Fund: Parametric Portfolio Associates, one of the sub-advisors for the International Fund, made the following comments: In international markets, the MSCI EAFE index was up 25.4% during the quarter and the emerging markets MSCI EM Index was up an impressive 34.7%. Currency appreciation contributed significantly to returns, as the US dollar depreciated against all major currencies. Developed markets are in positive territory for the year, up 8%, as are emerging markets, up 36% for the year. All country returns were positive with developed market leaders Singapore and Greece, up 46% and 39%, respectively. The laggards were Ireland, up only 6.6% and Switzerland, up 16.3%. The British pound and Australian dollar each appreciated over 15% versus the dollar. The best performing sector was financials, up 41%, while defensive sectors, such as healthcare and telecommunications, lagged the market, each up only 10.6%. As the US financial bailout takes hold and the idea of another round of stimulus begins to percolate, US dollar weakness may continue to be a significant factor in foreign market returns. AXA Rosenberg, one of the sub-advisors for the International Fund, made the following comments: As the first quarter unfolded, angst and uncertainty gripped the market, but during the second quarter a remarkable equity resurgence enthralled global market investors. Economic data released during this current quarter has shown some signs of stabilization and boosted investor confidence. The subsequent shift in investor sentiment resulted in a very robust equity market rally beginning in mid-March. However, the rally started to show signs of weakness as the 2nd quarter came to a close. The global markets ended the month of June in modest negative territory as investors reacted to mixed economic data, particularly weak employment figures. There is also recent concern that the recovery is materializing slower than expected and corporate earnings will continue to be under pressure. In spite of the profit-taking by investors in June, the MSCI World Index (USD) gained 21.1% in the 2nd quarter and is up 6.8% year to date. The S&P Developed World Small Cap Index (USD) gained 26.6% in the 2nd quarter and is up 12.2% year to date. Globally, small cap stocks outperformed large cap stocks this quarter while emerging markets outperformed developed markets. In terms of style, value modestly outperformed growth, assisted by the relatively better performance of financial stocks. Investors began to price in the economic recovery in March 2009 as the ECB, US Federal Reserve, Bank of Japan, and Bank of England all held base rates constant and refrained from extending or adding to existing quantitative easing and asset repurchasing programs. In spite of the weakening global macroeconomic environment, commodity prices rose sharply in the 2nd quarter. In particular, oil rose to an eight month high above $70 per barrel, posting its best quarterly performance since 1990. The commodity rally was based on the hope that emerging market economies would recover more quickly than developed economies which could drive raw material prices higher as we move past the current economic malaise. Concerns regarding a declining equity market and slowing global growth dissipated. A renewed sense of optimism gripped investors as they urgently rushed into economically sensitive cyclical stocks. Investors were hoping that their earnings outlook would improve as the year progresses. Every sector within the MSCI World Index posted positive performance in the second quarter. Clearwater Investment Trust August, 2009 Page 7 The top performing sectors were Financials, Materials and Industrials, while the defensive areas such as Telecom and Healthcare lagged as investors positioned themselves for a potential economic recovery. The International Mid-Small Cap strategies significantly underperformed their respective benchmarks in the second quarter as the market began to anticipate an economic recovery. The reversal in equity market performance, and the sudden change in investor sentiment, presented a challenging market environment for our investment process and we underperformed primarily due to stock selection. In the month of April alone, the S&P Citi Int'l Small Cap benchmark rebounded 13.97% with a very high dispersion of returns. The median return for the quarter was over 28%, and the top half of returns averaged in excess of 50% over the quarter, while our best active positions posted returns averaging just above 30%. The early cycle rally was driven by the cheapest, low quality, high beta stocks across the entire market, but particularly noted in sectors that had underperformed the market over the past several quarters - Energy, Financials, Industrials, Consumer Discretionary, and Materials. Conversely, investors virtually ignored the higher quality, lower beta sectors including Telecom, Healthcare and Consumer Staples. Driven by concerns over financial leverage and forecasted earnings contractions, our portfolios have been underweight in Energy, Materials and Financials, favoring instead healthcare, telecom and software. In such extreme market conditions, the ability to perfectly predict earnings is almost irrelevant as investors paid little heed to the fundamental value of a company relative to its share price. Clearly this is a challenge for our investment process, but one which we believe is unsustainable. The top performing stocks this quarter typically had poor trailing earnings and poor earnings expectations, poor recent price performance, and high sensitivity to the market and economic cycles. In terms of investment themes, the rebound in Financials weighed on our active returns overall, but our bank and insurance positions contributed positively. Within Financials, we are slightly underweight banks, favoring those with healthier balance sheets, which were not generally the banks that rallied the most across most market segments, but the mid cap segment performed better. In particular, our holdings in Sumitomo Trust and Fukuoka Financial Group contributed positively. Within the insurance industry, we favored property and casualty insurers over life insurance and remained slightly underweight overall. Real Estate Development and REITS contributed to our sector underperformance. We remain underweight real estate given their investment losses and interest coverage concerns. Not surprisingly, while we continue to see downside risk, the sharp reversal in investor sentiment proved difficult for our strategy as investors started to anticipate the impact of the stimulus packages being rolled-out by the central banks globally. For example, Segro PLC, a UK REIT, posted a return of 157% in the quarter and we remain out of the security based on poor relative earnings yield and a continued forecasted contraction in 1 Year earnings. In Japan, several REITs posted returns in excess of 300% and Sumitomo Realty, which has a large weight in the benchmark posted a 67% return, but again, we did not participate. Positions within the Materials sector also suffered as commodity prices began to trend upwards. We are underweight Chemicals and Rubber, Basic Minerals and Mining, along with Construction Materials, which all rebounded sharply. In particular, our absence in Sumitomo Metal and Sumitomo Electric impacted performance. Stock selection within Industrials was the biggest detractor during the quarter, specifically within Construction and Homebuilding, Metal Clearwater Investment Trust August, 2009 Page 8 Product and Machinery, and Information Services. Our overweight positions in Hitachi (Machinery) and West Japan Railway both underperformed their peers, as did our position in Havas, a French communication consulting services company. Stock selection within the Consumer Discretionary group was another significant detractor to overall performance, particularly in the Cars and Truck industry, Retail, and the Publishing and Broadcasting area. Underweight positions in Hyundai Mobis and Mitsubish Motor detracted as these companies rebounded, posting returns of 52% and 48% respectively. Our overweight positions with Suzuki and Yamaha Motor both underperformed their peers despite stronger forecasted earnings and valuation profiles. Stock selection within the Retail industry group was weak as investors recalibrated their expectation of economic recovery. In the second quarter investors began to move out of the more conservative retail stocks, which have more consistent and conservative earnings outlook, and into more speculative names which may benefit if and when the economy recovers. Our overweight position Sainsbury of the UK and FamilyMart of Japan, driven by stable earnings profile, suffered relative to Burberry, which remained out of the portfolio due to significant overvaluation relative to its peers. Earnings and earnings change guide our portfolio positioning and remain the key drivers of long-term value. Accordingly, our forecasts of earnings along those two dimensions drive our active bottom up stock selection. Our strategies have delivered more earnings per dollar invested than their benchmarks in virtually every period since inception. But over the past two years, companies' earnings and financial statements have been deeply affected by the extremely turbulent economic environment, providing new challenges as well as new insights that we have been working to incorporate into our models. The rapid decline in the level of reported earnings worldwide has been stark, and an unusually high proportion of this decline can be attributed to write-downs in the value of goodwill and other assets. Unlike in previous years, these negative exceptional earnings items were not one-off events, but early warning signs for companies that were likely to have additional write downs in subsequent quarters. Although the generally conservative nature of our fundamental discipline has helped us avoid many of the most troubled companies among these, particularly in the financials sector, our portfolios have not escaped unscathed. Our models have continued to identify companies with superior forward operating earnings relative to price, but our overall advantage with respect to reported earnings has been diminished recently by our portfolio's higher exposure to companies with significant earnings write-downs. During Q2 and continuing into Q3, we will be refining our models in ways that not only address this issue with respect to the recent period, but also enhance our models' earnings forecasting and valuation accuracy over the long run. For the Valuation Model, the refinements include using historical transactions and subsequent business segment valuations to better model the current economic value of goodwill and similar assets. For the Earnings Forecast Model, we are introducing a notion of earnings quality to more accurately identify those underperforming companies whose earnings are most likely to rebound following significant write downs, among other things. These efforts grew out of our ongoing model research activities that strive to continually improve our ability to forecast companies' fundamentals so that our portfolios will perform well across diverse market environments. Clearwater Investment Trust August, 2009 Page 9 Additional Managers: In May, two additional active managers were added to the Clearwater International Fund: Artisan Partners and Eagle Global Advisors. Artisan concentrates on large cap value while Eagle concentrates on large cap growth. Comments from these recently added managers will be included in future letters to unit holders. Clearwater Investment Trust Clearwater Management Company --------------------------- ----------------------------- G. H. Weyerhaeuser, Jr., P. W. Pascoe, Chairman and Treasurer Chairman and Treasurer W. T. Weyerhaeuser, V. P. and Secretary F. T. Weyerhaeuser S. B. Carr, Jr. V. P. and Secretary W. J. Driscoll L. R. Jones E. D. Hlavka C. W. Rasmussen C. W. Morley L. E. Rasmussen F. W. Piasecki J. H. Weyerhaeuser D. C. Titcomb Shareholder Expense Example As a shareholder of the Funds, you incur costs, including management fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from December 31, 2008 to June 30, 2009. Actual Expenses The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During the Period" to estimate the expenses attributable to your investment during this period. Hypothetical Example for Comparison Purposes The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Clearwater Funds and funds offered by other organizations. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the second section of the table are meant to highlight your ongoing costs only. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you compare the relative total costs of the Clearwater Funds to funds that charge transaction costs and/or sales charges or redemption fees.
------------------------------------------------------------ Expenses Paid During the Period* Beginning Account Ending Account December 31, Value Value 2008 thru June 30, Actual December 31, 2008 June 30, 2009 2009 - --------------------------------------------------------------------------------------- Growth Fund $1,000.00 $1,041.90 $1.42 - --------------------------------------------------------------------------------------- Small Cap Fund $1,000.00 $1,095.30 $4.94 - --------------------------------------------------------------------------------------- Tax-Exempt Bond Fund $1,000.00 $1,114.80 $1.89 - --------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) - --------------------------------------------------------------------------------------- Growth Fund $1,000.00 $1,024.79 $1.41 - --------------------------------------------------------------------------------------- Small Cap Fund $1,000.00 $1,024.79 $4.77 - --------------------------------------------------------------------------------------- Tax-Exempt Bond Fund $1,000.00 $1,024.79 $1.81 - --------------------------------------------------------------------------------------- ------------------------------------------------------------ Expenses Paid Beginning Account Ending Account During the Period* Value Value February 5, 2009 Actual February 5, 2009 June 30, 2009 thru June 30, 2009 - --------------------------------------------------------------------------------------- International Fund $1,000.00 $1,121.00 $4.24 - --------------------------------------------------------------------------------------- Hypothetical (5% return before expenses) - --------------------------------------------------------------------------------------- International Fund $1,000.00 $1,020.00 $4.04 - ---------------------------------------------------------------------------------------
*Expenses are equal to the Fund's annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The annualized expense ratios are as follows: Growth Fund 0.28% Small Cap Fund 0.95% Tax-Exempt Bond Fund 0.36% International Fund 1.00% Quarterly Portfolio Schedule of Investments The Funds file a complete schedule of their portfolio holdings as of the close of the first and third quarters of their fiscal years with the SEC on Form N-Q. Shareholders may request copies of Form N-Q free of charge by calling the Transfer Agent toll free at 1-888-228-0935 or by sending a written request to: Fiduciary Counselling, Inc, 30 East 7th Street, Suite 2000, St. Paul, MN 55101 Attn: Clearwater Investment Trust Transfer Agent. These filings are also available on the SEC's Internet site at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information about the public reference room may be obtained by calling 1-800-SEC-0330. Voting Proxies on Fund Portfolio Securities The funds have established Proxy Voting Policies and Procedure ("Policies") that the funds use to determine how to vote proxies relating to portfolio securities. They also report, on Form N-PX, how the Funds voted any such proxies during the most recent 12-month period ended June 30. Shareholders may request copies of the Policies or Form N-PX free of charge by calling the Transfer Agent toll free at 1-888-228-0935 or by sending a written request to: Fiduciary Counselling, Inc, 30 East 7th Street, Suite 2000, St. Paul, MN 55101 Attn: Clearwater Investment Trust Transfer Agent. Form N-PX is also available from the EDGAR database on the SEC's Internet site at http://www.sec.gov. CLEARWATER INVESTMENT TRUST Statement of Assets and Liabilities June 30, 2009 (unaudited)
Growth Small Cap Tax-Exempt International Assets Fund Fund Bond Fund Fund ------------- ------------- ------------- ------------- Investments in securities, at market value (identified cost: $205,587,492 Growth Fund; $162,022,728 Small Cap Fund; $499,584,204 Tax-Exempt Bond Fund; $172,767,623 International Fund) $ 227,813,322 159,436,754 457,788,103 199,446,483 Cash and cash equivalents -- -- 68,813 7,718,841 Foreign currencies, at value (cost: $467,527) -- -- -- 466,572 Receivable for securities sold -- 772,062 739,956 316,321 Receivable for shares of beneficial interest sold 103,000 -- -- 651,000 Accrued dividend and interest receivable, less the allowance for uncollectible interest of $612,987 (Tax-Exempt Bond Fund) 306,112 127,117 6,458,791 391,333 Foreign tax reclaimable receivable -- -- -- 148,984 Unrealized appreciation on forward foreign currency exchange contracts -- -- -- 300 ------------- ------------- ------------- ------------- Total assets 228,222,434 160,335,933 465,055,663 209,139,834 ------------- ------------- ------------- ------------- Liabilities Payables for investment securities purchased -- 1,845,996 4,669,006 3,222,878 Payables for fund shares redeemed -- 757,748 1,298,332 -- Dividend Distribution Payable -- -- -- -- Accrued investment advisory fee 153,840 347,214 401,638 401,546 Unrealized depreciation on forward foreign currency exchange contracts -- -- -- 5,768 Unrealized depreciation on spot contracts -- -- -- 2,886 ------------- ------------- ------------- ------------- Total liabilities 153,840 2,950,958 6,368,976 3,633,078 ------------- ------------- ------------- ------------- Net assets $ 228,068,594 157,384,975 458,686,687 205,506,756 ============= ============= ============= ============= Capital Capital stock and additional paid-in capital (authorized unlimited number of shares at no par value for each Fund: outstanding 11,769,582; 13,832,261; 52,288,702; and 18,325,906 shares, respectively) $ 219,772,570 216,288,461 506,993,295 174,799,172 Undistributed net investment income (loss) 2,371,745 (20,939) (28,643) 1,917,554 Accumulated net realized gain (loss) (16,301,551) (56,296,573) (6,481,887) 2,100,254 Unrealized appreciation (depreciation) of investments 22,225,830 (2,585,974) (41,796,101) 26,689,776 ------------- ------------- ------------- ------------- Net assets $ 228,068,594 157,384,975 458,686,664 205,506,756 ============= ============= ============= ============= Net asset value per share of outstanding capital stock $ 19.38 11.38 8.77 11.21 ============= ============= ============= =============
See accompanying notes to financial statements. 1 CLEARWATER INVESTMENT TRUST Statement of Operations for the six months ended June 30, 2009 (unaudited)
Growth Small Cap Tax-Exempt International Fund Fund Bond Fund Fund* ------------ ------------ ------------ ------------- Investment income: Income: Dividends (net of foreign taxes withheld of $555, $527, $0, and $295,603 respectively) $ 2,601,015 571,245 919,353 2,348,115 Interest 6,046 27,311 11,883,910 17,045 ------------ ------------ ------------ ------------ Total income 2,607,061 598,556 12,803,263 2,365,160 Expenses: Federal excise taxes -- -- 61 0 Investment advisory fee 461,890 897,706 1,278,589 447,606 Voluntary fee reduction (174,492) (265,987) (511,435) 0 ------------ ------------ ------------ ------------ Total expenses 287,398 631,719 767,215 447,606 ------------ ------------ ------------ ------------ Net investment income 2,319,663 (33,163) 12,036,048 1,917,554 ------------ ------------ ------------ ------------ Realized and unrealized gain (loss) on investments: Net realized gain (loss) on security transactions (6,787,557) (23,155,862) (1,487,228) 1,785,310 Net realized gain (loss) on foreign currency transactions -- -- -- 314,944 Unrealized appreciation (depreciation) during the period 15,290,064 37,945,009 34,223,044 26,678,860 Unrealized appreciation (depreciation) on forward foreign currency exchange contracts during the period -- -- -- (5,468) Unrealized appreciation (depreciation) on translation of other assets and liabilities denominated in foreign currencies during the period -- -- -- 16,384 ------------ ------------ ------------ ------------ Net gain (loss) on investments 8,502,507 14,789,147 32,735,816 28,790,030 ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from operations $ 10,822,170 14,755,984 44,771,864 30,707,584 ============ ============ ============ ============
* Period from February 5, 2009 (commencement of operations) to June 30, 2009. See accompanying notes to financial statements. 2 CLEARWATER INVESTMENT TRUST Statements of Changes in Net Assets for the six months ended June 30, 2009 (unaudited) and the year ended December 31, 2008
Growth Fund Small Cap Fund ------------------------------ ------------------------------ 6/30/2009 12/31/2008 6/30/2009 12/31/2008 ------------- ------------- ------------- ------------- Operations: Net investment income (loss) $ 2,319,663 5,402,700 (33,163) 632,123 Net realized gain (loss) on investments (6,787,557) (3,244,756) (23,155,862) (33,071,302) Unrealized appreciation (depreciation) during the period 15,290,064 (129,750,015) 37,945,009 (50,669,506) ------------- ------------- ------------- ------------- Net increase (decrease) in net assets from operations 10,822,170 (127,592,071) 14,755,984 (83,108,685) ------------- ------------- ------------- ------------- Distributions to shareholders from: Net investment income -- (5,407,889) -- (619,899) Net realized gain on investments -- -- -- -- ------------- ------------- ------------- ------------- Total distributions to shareholders -- (5,407,889) -- (619,899) ------------- ------------- ------------- ------------- Capital share transactions: Proceeds from shares sold 40,536,365 44,225,789 46,577,955 70,802,034 Reinvestment of distributions from net investment income and gain -- 5,407,889 -- 619,899 Payments for shares redeemed (20,552,817) (50,362,010) (24,795,089) (113,834,226) ------------- ------------- ------------- ------------- Increase (decrease) in net assets from capital shares transactions 19,983,548 (728,332) 21,782,866 (42,412,292) ------------- ------------- ------------- ------------- Total increase (decrease) in net assets 30,805,718 (133,728,292) 36,538,850 (126,140,876) Net assets: At the beginning of the period 197,262,876 330,991,168 120,846,125 246,987,001 ------------- ------------- ------------- ------------- At the end of the period $ 228,068,594 197,262,876 157,384,975 120,846,125 ============= ============= ============= ============= Undistributed net investment income (loss) $ 2,371,745 52,082 (20,939) 12,224 ============= ============= ============= ============= International Tax-Exempt Bond Fund Fund ------------------------------ ------------- 6/30/2009 12/31/2008 6/30/2009* ------------- ------------- ------------- Operations: Net investment income (loss) $ 12,036,048 18,391,619 1,917,554 Net realized gain (loss) on investments (1,487,228) (3,472,572) 2,100,254 Unrealized appreciation (depreciation) during the period 34,223,044 (64,059,902) 26,689,776 ------------- ------------- ------------- Net increase (decrease) in net assets from operations 44,771,864 (49,140,855) 30,707,584 ------------- ------------- ------------- Distributions to shareholders from: Net investment income (12,089,181) (18,367,129) -- Net realized gain on investments -- -- -- ------------- ------------- ------------- Total distributions to shareholders (12,089,181) (18,367,129) -- ------------- ------------- ------------- Capital share transactions: Proceeds from shares sold 59,214,450 171,622,315 197,928,072 Reinvestment of distributions from net investment income and gain 12,089,181 18,367,120 -- Payments for shares redeemed (16,147,623) (89,028,497) (23,128,900) ------------- ------------- ------------- Increase (decrease) in net assets from capital shares transactions 55,156,008 100,960,938 174,799,172 ------------- ------------- ------------- Total increase (decrease) in net assets 87,838,691 33,452,954 205,506,756 Net assets: At the beginning of the period 370,847,973 337,395,019 -- ------------- ------------- ------------- At the end of the period $ 458,686,664 370,847,973 205,506,756 ============= ============= ============= Undistributed net investment income (loss) $ (28,643) 24,490 1,917,554 ============= ============= =============
* Period from February 5, 2009 (commencement of operations) to June 30, 2009. 3 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 (1) Organization Clearwater Investment Trust (the Trust) was established on January 12, 1987 as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (as amended) as a diversified open end management investment company and presently includes four series of funds: Clearwater Growth Fund, Clearwater Small Cap Fund, Clearwater Tax-Exempt Bond Fund, and Clearwater International Fund (the Funds). The Trust's declaration of trust permits the Board of Trustees to create additional funds in the future. The investment objective of the Clearwater Growth, Small Cap, and International Funds is long term capital growth. The investment objective of the Clearwater Tax-Exempt Bond Fund is high current income that is exempt from federal income tax, consistent with preservation of capital. The Clearwater International Fund commenced operations on February 5, 2009. The Clearwater Growth Fund is passively managed to track but not replicate the Russell 1000 Index (the Index), an unmanaged, capitalization weighted index of the largest 1000 public companies in the United States. The Fund is managed so that its holdings match the holdings of the Index as closely as possible while attempting to minimize the realization of taxable gains. This means that the Fund will not buy and sell securities to match changes in the composition of securities in the Index. Instead, the Fund's portfolio is adjusted periodically to reflect the holdings and weightings of the Index, but only after consideration of the Fund's policy to minimize realization of taxable gains. The Clearwater Small Cap Fund invests primarily in equity securities of issuers with market capitalizations, at the time of investment, no greater than the range of capitalizations of the companies included in the Russell 2000 Index, an unmanaged, capitalization weighted index of the largest 3000 public companies in the United States less the largest 1000 tracked by the Russell 1000 Index. The Clearwater Tax-Exempt Bond Fund invests at least 80% of its assets in municipal securities, which are debt obligations issued by or for the U.S. states, territories and possessions, and the District of Columbia. The interest on these securities is generally exempt from regular federal income tax and may also be exempt from federal alternative minimum tax. However, the Fund may invest up to 20% of its assets in securities that generate interest income subject to federal alternative minimum tax. The Clearwater International Fund, using a "multi-style, multi-manager" approach, allocates portions of its assets among subadvisors who employ distinct investment styles. The Fund currently has four subadvisers, Parametric Portfolio Associates (Parametric), AXA Rosenberg Investment Management LLC (AXA Rosenberg), Artisan Partners Limited Partnership (Artisan Partners), and Eagle Global Advisors, LLC (Eagle). The Fund, passively managed by its four subadvisors, invests at least 80% of the value of its net assets in equity securities that are generally issued by companies domiciled outside of the Unites States or that derive more than half of their revenues or pre-tax income from activities occurring outside of the United States. The Fund diversifies its investments among a number of different countries throughout the world, and may invest in companies of any size. The Fund does not currently intend to invest more than 20% of its net assets in the equity securities of developing or emerging market issuers. In managing its portion of the Fund's assets, Parametric will track but not replicate the MSCI World Ex USA Index (the MSCI Index), an unmanaged free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the following twenty-two developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, (Continued) 4 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 Switzerland, and the United Kingdom. Parametric will manage the Fund's holdings to match the holdings of the MSCI Index as closely as possible without requiring the Fund to realize taxable gains. This means that the Fund is not required to buy and sell securities to match changes in the composition of securities in the MSCI Index. Instead, Parametric will adjust the Fund's portfolio periodically to reflect the holdings and weightings of the MSCI Index but only after consideration of the Fund's policy to minimize realization of taxable gains. AXA Rosenberg will manage its portion of the Fund's assets favoring stocks that appear attractive from the perspective of the Valuation and Earnings Forecast Models. AXA Rosenberg seeks to construct a portfolio that is similar to the S&P/Citigroup Global ex-U.S. Broad Market Index $2-$10 billion Cap Range benchmark with respect to characteristics such as country weights, market capitalization, weightings and other risk exposures. The portion of the Fund's assets allocated to Artisan Partners will be invested in a diversified portfolio of non-U.S. stocks that are believed to be undervalued and benchmarked against the MSCI EAFE Index and the MSCI EAFE Value Index. The MSCI EAFE Index is an unmanaged, free float-adjusted market capitalization index designed to measure the equity market performance of developed markets other than the United States and Canada. It tracks all the same countries as the MSCI World Ex USA Index does, with the exception of Canada. The MSCI EAFE Value Index is a subset of the MSCI EAFE Index, consisting of the securities classified by Morgan Stanley Capital International, Inc. as representing the value style and represents approximately half of the free-float adjusted market capitalization of the MSCI EAFE Index. Eagle will manage its portion of the Fund's assets favoring securities of companies with capitalizations of at least $2 billion and will track its performance against the MSCI EAFE Index. (2) Summary of Significant Accounting Policies 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 maturing more than 60 days from the valuation date are valued at the market price supplied by an independent pricing vendor; those securities with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued at amortized cost, which approximates fair value. Securities for which no market quotations are readily available (including those the trading of which has been suspended) will be valued at fair value as determined in good faith by the board of trustees, although the actual computations may be made by persons acting pursuant to the direction of the board. 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 (Continued) 5 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 available. Interest income, including amortization of original issue discount and premium, is accrued daily. (b) Foreign Currency Translations The International Fund may invest in securities which are purchased and sold in foreign currencies as a principal investment strategy. The cost of purchases and 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 assets as measured in U.S. dollars therefore 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 included in the Statements of Operations with net realized and unrealized gain (loss) on investments. The realized gains or losses, if any, on translations of other assets and liabilities denominated in foreign currencies are included in 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. The International Fund therefore may enter into foreign currency transactions as a principal investment strategy. 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 United States. (c) Forward Foreign Currency Exchange Contracts The International Fund may enter 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 either specific transactions or the portfolio position. The objective of the International Fund's foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of the International Fund's foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. Forward foreign currency exchange contracts are marked-to-market daily at the applicable exchange rates and any resulting unrealized gains or losses are recorded in the financial statements. The International Fund records 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. Risks may arise upon entering into forward foreign currency exchange contracts from the potential inability of the issuer of the contracts 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 Statements of Operations reflect realized gains or losses, if any, in net realized gain (loss) on foreign currency transactions and unrealized gains or losses in unrealized appreciation (depreciation) on forward (Continued) 6 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 foreign currency exchange contracts. Further information on how these positions impact the financial statements can be found in Note 7. (d) Spot Contacts The International Fund may enter into spot contracts in order to buy or sell a certain amount of foreign currency at the current market rate, with settlement occurring in two business days. The International Fund may enter into spot contracts in order to make payments, or to receive payments, based on 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. 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. (e) Cash and Cash Equivalents For the International Fund, cash and cash equivalents include cash and short-term deposits maintained in foreign currencies. (f) Recoverable Taxes The balance disclosed as foreign tax reclaimable receivable represents net amounts withheld by foreign governments on dividend income earned in the respective countries subject to reclamation. All reclaims are paid directly to the International Fund. (g) Federal Taxes The Trust's policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies. On a calendar-year basis, the Funds intend to distribute substantially all of their net investment income and realized gains, if any, to avoid the payment of federal income and excise taxes. Therefore, no income tax provision is required. Each fund is treated as a separate entity for federal income tax purposes. (Continued) 7 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 Financial Accounting Standards Board (FASB) Interpretation 48 (FIN 48), "Accounting for Uncertainty in Income Taxes," clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement 109, "Accounting for Income Taxes." FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. Management has yet to file a federal tax return for the International Fund as operations commenced on February 5, 2009. Therefore, management has not yet analyzed the International Fund's tax position; however, the International Fund anticipates concluding that no provision for income tax will be required in the International Fund's financial statements for December 31, 2009. Management has analyzed the other three funds' tax positions taken on federal tax returns for all open tax years and has concluded that as of June 30, 2009, no provision for income tax would be required in the Funds' financial statements. The Funds' federal and Minnesota state income and federal excise tax returns for the 2005, 2006 and 2007 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 gains (losses) for the Funds may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains, 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 gains (losses) were recorded by the Funds. The International Fund has yet to make an annual distribution; however, the International Fund intends to make its annual distribution to shareholders before its fiscal year end, December 31, 2009. The International Fund is excluded from disclosing federal tax and distribution information until such time when the federal tax return is filed and the annual distribution is declared and paid. The tax character of distributions paid by the other funds during the years ended December 31, 2008 and 2007 was as follows:
Tax-exempt Ordinary income -------------------------- ------------------------- 2008 2007 2008 2007 ----------- ----------- ----------- ----------- Growth Fund $ -- -- 5,407,889 5,154,945 Small Cap Fund -- -- 619,899 6,487,523 Tax-Exempt Bond Fund 18,268,358 14,887,748 98,771 32,566 Long-term capital gain Return of Capital -------------------------- ------------------------- 2008 2007 2008 2007 ----------- ----------- ----------- ----------- Growth Fund $ -- -- -- 76,840 Small Cap Fund -- 29,070,454 -- -- Tax-Exempt Bond Fund -- --
(Continued) 8 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 As of June 30, 2009, the components of distributable earnings on a tax basis were as follows:
Small Cap Tax-Exempt International Growth Fund Fund Bond Fund Fund ------------ ------------ ------------ ------------- Undistributed ordinary income $ 2,371,745 (20,939) -- 1,917,554 Undistributed capital gain -- -- -- 2,100,254 Accumulated capital losses (16,023,129) (56,296,573) (6,481,887) -- Unrealized appreciation (depreciation) 21,947,408 (2,585,974) (41,796,078) 26,689,776 ------------ ------------ ------------ ------------ Total $ 8,296,024 (58,903,486) (48,277,965) 30,707,584 ============ ============ ============ ============
On the statements of assets and liabilities, due to permanent book-to-tax differences, the following adjustments have been made:
Small Cap Tax-Exempt International Growth Fund Fund Bond Fund Fund ------------ ------------ ------------ ------------ Undistributed net income $ -- $ -- $ -- $ -- Accumulated net realized gains -- -- -- -- Additional paid-in capital -- -- -- --
(h) Distributions to Shareholders Distributions to shareholders from net investment income, if any, are declared annually for the Growth, Small Cap, 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. (i) Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the period. Actual results could differ from those estimates. (3) Fair Value Measurements The Funds adopted Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), effective January 1, 2008, which governs the application of generally accepted accounting principles that require fair value measurements of the Funds' assets and liabilities. 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 of the security. SFAS 157 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) above. These inputs are summarized in the three broad levels listed below. (Continued) 9 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 o Level 1 - quoted prices in active markets for identical securities. o 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. An adjustment to any observable input that is significant to the fair value may render the measurement a Level 3 measurement. o Level 3 - significant unobservable inputs including the Funds' own assumptions in determining fair value of investments. Investments are valued as of the close of business on the New York Stock Exchange, normally 4:00pm Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the Funds use independent pricing services approved by the Board of Trustees to value their estimates. When prices are not readily available, or are determined not to reflect fair value, the Funds may value these securities at fair value as determined in accordance with the procedures approved by the Funds' Board of Trustees. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the Funds' assets that are measured at fair value at June 30, 2009: Investments in Securities at Value Growth Small Cap Fund (a) Fund (a) ------------ ----------- Level 1 $227,383,543 151,677,136 Level 2 429,779 7,759,617 Level 3 -- -- ------------ ----------- Total $227,813,322 159,436,754 ============ =========== (a) For these funds, 100% of the investment value is compromised of equity and fixed income securities. See the respective Fund's Schedule of Investments for industry classification. Level 2 securities are primarily cash equivalents and fixed income. (Continued) 10 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009
Clearwater Tax-Exempt Bond Fund (b) Level 1 Level 2 Level 3 Total Other Significant Significant Quoted Observable Unobservable Prices Inputs Inputs Assets Cash Equivalents STIF- Type Instrument $ -- 10,261,326 -- 10,261,326 Total Cash Equivalents 10,261,326 10,261,326 Equities Common Stock 6,880,296 -- -- 6,880,296 Mutual Funds 18,833,378 -- -- 18,833,378 Real Estate Investment Trust 242,374 -- -- 242,374 Shares of Beneficial Interest 2,220,838 -- -- 2,220,838 Total Equities 28,176,886 -- -- 28,176,886 Fixed Income Coporate Bonds -- 445,330 -- 445,330 Municipals -- 418,580,525 -- 418,580,525 Other Asset Backed -- 324,036 -- 324,036 Total Fixed Income -- 419,349,891 -- 419,349,891 ----------- ----------- ----------- ----------- Total Assets $28,176,886 429,611,217 -- 457,788,103 =========== =========== =========== ===========
(b) For this fund, 100% of the investment value is compromised of equity and fixed income securities. See the Fund's Schedule of Investments for geographical classification. Level 2 securities are primarily cash equivalents and fixed income. (Continued) 11 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009
Clearwater International Fund (c) Level 1 Level 2 Level 3 Total Other Significant Significant Quoted Observable Unobservable Prices Inputs Inputs Assets Common Stock Consumer Discretionary $ 1,852,421 21,131,260 -- 22,983,681 Consumer Staple 1,949,539 19,625,789 -- 21,575,328 Energy 3,780,144 12,934,583 -- 16,714,727 Financials 5,164,969 41,759,712 -- 46,924,681 Health Care 1,499,796 14,614,578 -- 16,114,374 Industrials 942,351 22,101,127 -- 23,043,478 Information Technology 1,808,463 11,175,092 -- 12,983,555 Materials 3,504,466 14,723,994 -- 18,228,460 Telecommunication Services 1,156,534 8,907,629 -- 10,064,163 Utilities 200,097 9,671,796 -- 9,871,893 ----------- ----------- ----------- Total Common Stock 21,858,780 176,645,560 -- 198,504,340 ----------- ----------- ----------- Preferred Stocks Consumer Discretionary -- 180,310 -- 180,310 Consumer Staples -- 73,738 -- 73,738 Energy 343,608 -- -- 343,608 Health Care -- 60,199 -- 60,199 Materials 135,080 -- -- 135,080 Utilities -- 57,371 -- 57,371 ----------- ----------- ----------- Total Preferred Stock 478,688 371,618 -- 850,306 ----------- ----------- ----------- Rights Consumer Staples -- -- 141 Industrials -- 936 -- 1,077 Materials -- 89,983 -- 89,983 ----------- ----------- ----------- Total Rights -- 90,919 141 91,060 ----------- ----------- ----------- Warrants Financials -- 777 -- 777 ----------- ----------- ----------- Total Warrants -- 777 -- 777 ----------- ----------------------------------------------- Total Assets $22,337,468 177,108,874 141 199,446,483 =========== =================================== ===========
(c) For this fund, 100% of the investment value is compromised of equity securities. See the Fund's Schedule of Investments for geographical classification. Level 2 securities are primarily foreign securities where the closing price has been adjusted by application of a systematic process for events occurring after the close of the foreign exchange. (Continued) 12 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 Other Financial Instruments (d) International Fund ------------ Level 1 $ -- Level 2 (5,468) Level 3 -- ----------- Total $ (5,468) =========== (d) Other financial instruments include forward foreign currency exchange contracts. The following is a reconciliation of investments for the Clearwater International Fund in which significant unobservable inputs (Level 3) were used in determining fair value: Investments in Securities at Value -------------- Balance as of 2/5/09 $ -- Realized gain (loss) -- Change in unrealized appreciation (depreciation) 141 Net Purchases (Sales) -- Transfers in and/or out of Level 3 -- ----------- Balance as of 6/30/09 $ 141 =========== (4) Investment Security Transactions Cost of purchases and proceeds from sales of securities, other than temporary investments in short term securities, for the six months ended June 30, 2009, were as follows: Purchases Sales ------------ ------------ Growth Fund $ 43,389,566 20,176,588 Small Cap Fund 85,954,736 65,561,554 Tax-Exempt Bond Fund 91,432,544 43,029,100 International Fund 204,066,154 33,083,841 (Continued) 13 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 (5) Capital Share Transactions Transactions in shares of each fund for the six months ended June 30, 2009 and year ended December 31, 2008 were as follows:
Growth Fund Small Cap Fund ------------------------------ ------------------------------ 2009 2008 2009 2008 ----------- ----------- ----------- ----------- Sold $ 2,292,635 1,825,122 4,593,408 5,527,593 Issued for reinvested distributions -- 290,747 -- 59,663 Redeemed (1,127,205) (2,338,433) (2,394,245) (8,764,097) ----------- ----------- ----------- ----------- Increase $ 1,165,430 (222,564) 2,199,163 (3,176,841) =========== =========== =========== =========== International Tax-Exempt Bond Fund Fund ------------------------------ ------------- 2009 2008 2009 ----------- ----------- ----------- Sold $ 6,926,581 19,251,653 20,332,063 Issued for reinvested distributions 1,402,291 2,036,379 -- Redeemed (1,875,184) (10,437,584) (2,006,157) ----------- ----------- ----------- Increase $ 6,453,688 10,850,448 18,325,906 =========== =========== ===========
(6) Capital Loss Carry Over For federal income tax purposes, the Growth Fund, Small Cap Fund, and Tax-Exempt Bond Fund have capital loss carryovers of $9,227,824, $33,061,736 and $4,994,659, respectively, at December 31, 2008, which, if not offset by subsequent capital gains, will expire as follows:
Small Cap Tax-Exempt Growth Fund Fund Bond Fund ------------ ------------ ----------- Year of expiration: 2010 $ 5,878,353 -- -- 2012 -- -- -- 2013 183,070 -- 508,252 2014 -- -- -- 2015 -- -- 1,013,836 2016 3,166,401 33,061,735 3,472,571 ------------ ------------ ----------- Total $ 9,227,824 33,061,735 4,994,659 ============ ============ ===========
(Continued) 14 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 (7) Expenses and Related-Party Transactions The Trust has a contract for investment advisory services with Clearwater Management Company (CMC), a management firm of which the Trust's President and Treasurer is a shareholder. Under terms of an agreement, Clearwater Growth Fund, Clearwater Small Cap Fund, Clearwater Tax-Exempt Bond Fund and Clearwater International Fund pay a fee equal to an annual rate of 0.45%, 1.35%, 0.60% and 1.00% of average net assets, respectively. CMC is responsible for the payment or reimbursement of all the Funds' expenses, except brokerage, taxes, interest, and extraordinary expenses. At this time, CMC has not made a voluntary fee reduction to the annual rate of fees paid by the Clearwater International Fund. The annual rate of fees paid by the Clearwater Growth Fund, Clearwater Small Cap Fund, and Clearwater Tax-Exempt Bond Fund have been voluntarily reduced by CMC over time as follows: On July 1, 2002 CMC voluntarily reduced the fees paid by the funds to 0.39%, 1.33%, and 0.56%, respectively. Effective April 1, 2004 CMC made an additional voluntary fee reduction to 0.37%, 1.20%, and 0.50%, respectively. Effective April 1, 2005 CMC voluntarily reduced the fees paid by the funds to 0.35%, 1.12%, and 0.47%, respectively. Effective April 1, 2006 CMC voluntarily reduced the fees paid by the funds to 0.30%, 1.00%, and 0.41%, respectively. Effective April 1, 2007 CMC voluntarily reduced the fees paid by the funds to 0.28%, 0.97%, and 0.37%, respectively. Effective July 1, 2008 CMC voluntarily reduced the fees paid by the Clearwater Small Cap Fund and Clearwater Tax-Exempt Bond Fund funds to 0.95% and 0.36%, respectively. These voluntary fee reductions may be discontinued at any time. In addition to fees and expenses which the Funds bear directly, the Funds indirectly bear a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in any of the reported expense ratios. CMC has entered into sub advisory contracts with independent investment advisory firms for each fund to provide daily investment management services. The sub advisory fee for the Clearwater Growth Fund, payable to Parametric Portfolio Associates, is equal to an annual rate of 0.15% of net assets. The subadvisory fee for the Clearwater Small Cap Fund, payable to Kennedy Capital Management, Inc., is equal to an annual rate of 0.85% of the first $50 million in net assets it manages and then decreasing to 0.80% of net assets in excess of $50 million. The subadvisory fee for the Clearwater Small Cap Fund, payable to Keeley Asset Management, is equal to an annual rate of 1.00% of the first $2 million in net assets it manages, decreasing to 0.85% on the next $8 million in net assets, and further decreasing to 0.70% of net assets in excess of $10 million. The subadvisory fee for the Clearwater Tax-Exempt Bond Fund, payable to Sit Fixed Income Advisers II, LLC, is equal to an annual rate of 0.40% on the first $20 million in net assets and then decreasing in reduced percentages to 0.20% of net assets in excess of $75 million. The sub advisory fee for the Clearwater International Fund, payable to Parametric Portfolio Associates, is equal to an annual rate of 0.15% of net assets. The sub advisory fee for the Clearwater International Fund, payable to AXA Rosenberg, is equal to an annual rate of 0.85% on the first $50 million in net asses it manages, decreasing to 0.75% on the next $50 million in net assets, and further decreasing to 0.65% of net assets in excess of $100 million. The sub advisory fee for the Clearwater International Fund, payable to Artisan Partners, is equal to an annual rate of 0.80% on the first $50 million in net assets it manages, decreasing to 0.60% on the next $50 million in net assets, and further decreasing to 0.50% of net assets in excess of $100 million. The sub advisory fee for the Clearwater International Fund, payable to Eagle, is equal to an annual rate of 0.60% on the first $100 million in net assets it manages and then decreasing to 0.50% of net assets in excess of $100 million. (Continued) 15 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 (8) Financial Highlights Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the years and selected information for each year is as follows:
Year ended December 31, June 30, -------------------------------------------------------------------- Growth Fund 2009 2008 2007 2006 2005 2004 ----------------------------------- -------- -------- -------- -------- -------- -------- Net asset value, beginning of year $ 18.60 30.57 29.47 26.03 24.93 22.66 Income from investment operations: Net investment income 0.06 0.51 0.48 0.40 0.37 0.38 Net realized and unrealized gain (loss) 0.72 (11.96) 1.10 3.44 1.10 2.24 -------- -------- -------- -------- -------- -------- Total from investment operations 0.78 (11.45) 1.58 3.84 1.47 2.62 -------- -------- -------- -------- -------- -------- Less distributions: Dividends from net investment income -- (0.52) (0.48) (0.40) (0.37) (0.35) Distributions from net realized gains -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- Total distributions -- (0.52) (0.48) (0.40) (0.37) (0.35) -------- -------- -------- -------- -------- -------- Net asset value, end of year $ 19.38 18.60 30.57 29.47 26.03 24.93 ======== ======== ======== ======== ======== ======== Total return (a) 0.2% (37.5)% 5.4% 14.8% 5.9% 11.5% Net assets, end of year (000s omitted) $228,069 197,263 330,991 291,513 229,371 202,580 Ratio of expenses to average net assets (b)(c)(d) 0.28% 0.28% 0.28% 0.31% 0.36% 0.37% Ratio of net investment income to average net assets (b)(d) 2.26% 1.92% 1.61% 1.56% 1.52% 1.62% Portfolio turnover rate (excluding short-term securities) (d) 19.68% 14.71% 17.99% 5.24% 5.80% 1.52%
(a) Total return figures are based on the change in net asset value of a share during the period and assume reinvestment of distributions at net asset value. (b) Total fund expenses are contractually limited to 0.45% of average daily net assets. However, during the period ended June 30, 2009 and the years ended December 31, 2008, 2007, 2006, 2005, and 2004, the investment advisor voluntarily reduced management fees otherwise payable by the Funds. Had the Funds incurred these expenses, the ratio of expenses to average daily net assets on an annualized basis would have been 0.45% for the six months ended June 30, 2009 and 0.45%, 0.45%, 0.45%, 0.45%, and 0.45%, for the years ended December 31, 2008, 2007, 2006, 2005, and 2004, respectively The ratio of net investment income to average daily net assets on an annualized basis (Continued) 16 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 would have been 2.09% for the six months ended June 30, 2009 and 1.75%, 1.44%, 1.42%, 1.43%, and 1.54%, for the years ended December 31, 2008, 2007, 2006, 2005, and 2004, respectively. (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 the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratio. (d) Annualized for periods less than one year. (Continued) 17 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009
Year ended December 31, June 30, -------------------------------------------------------------------- Small Cap Fund 2009 2008 2007 2006 2005 2004 - ----------------------------------- -------- -------- -------- -------- -------- -------- Net asset value, beginning of year $ 10.39 16.68 18.71 18.09 19.14 18.35 Income from investment operations: Net investment income (loss) -- 0.05 -- (0.04) (0.04) (0.09) Net realized and unrealized gains (losses) 0.99 (6.29) 0.58 3.13 1.81 3.92 -------- -------- -------- -------- -------- -------- Total from investment operations 0.99 (6.24) 0.58 3.09 1.77 3.83 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income -- (0.05) -- -- -- -- Distributions from net realized gains -- -- (2.61) (2.47) (2.82) (3.04) -------- -------- -------- -------- -------- -------- Total distributions -- (0.05) (2.61) (2.47) (2.82) (3.04) -------- -------- -------- -------- -------- -------- Net asset value, end of year $ 11.38 10.39 16.68 18.71 18.09 19.14 ======== ======== ======== ======== ======== ======== Total return (a) 1.6% (37.4)% 3.1% 17.1% 9.2% 20.9% Net assets, end of year (000s omitted) $157,385 120,846 246,987 253,846 203,351 213,273 Ratio of expenses to average net assets (b)(c)(d) 0.95% 0.95% 0.98% 1.03% 1.14% 1.24% Ratio of net investment income (loss) to average net assets (b)(d) (0.05)% 0.32% --% (0.23)% (0.19)% (0.45)% Portfolio turnover rate (excluding short-term securities) (d) 102.27% 117.12% 115.19% 69.57% 73.65% 83.25%
(a) Total return figures are based on the change in net asset value of a share during the period and assume reinvestment of distributions at net asset value. (b) Total fund expenses are contractually limited to 1.35% of average daily net assets. However, during the period ended June 30, 2009 and the years ended December 31, 2008, 2007, 2006, 2005, and 2004, the investment advisor voluntarily reduced management fees otherwise payable by the Funds. Had the Funds incurred these expenses, the ratio of expenses to average daily net assets on an annualized basis would have been 1.35% for the six months ended June 30, 2009 and 1.35%, 1.35%, 1.35%, 1.35%, and 1.35%, for the years ended December 31, 2008, 2007, 2006, 2005, and 2004, respectively. The ratio of net investment income (loss) to average daily net assets on an annualized basis would have been (0.45)%, for the six months ended June 30, 2009 and (0.37)%, (0.55)%, (0.40)%, (0.56)%, and (0.14)%, for the years ended December 31, 2008, 2007, 2006, 2005, and 2004, respectively. (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 the 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. (Continued) 18 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009
Year ended December 31, Tax-Exempt June 30, -------------------------------------------------------------------- Bond Fund 2009 2008 2007 2006 2005 2004 - ----------------------------------- -------- -------- -------- -------- -------- -------- Net asset value, beginning of year $ 8.09 9.64 10.06 10.00 10.03 10.12 Income from investment operations: Net investment income 0.24 0.46 0.46 0.43 0.48 0.50 Net realized and unrealized gains 0.68 (1.55) (0.42) 0.06 (0.03) (0.10) -------- -------- -------- -------- -------- -------- Total from investment operations 0.92 (1.09) 0.04 0.49 0.45 0.40 -------- -------- -------- -------- -------- -------- Less distributions: Distributions from net investment income (0.24) (0.46) (0.46) (0.43) (0.48) (0.49) Distributions from net realized gains -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- Total distributions (0.24) (0.46) (0.46) (0.43) (0.48) (0.49) -------- -------- -------- -------- -------- -------- Net asset value, end of year $ 8.77 8.09 9.64 10.06 10.00 10.03 ======== ======== ======== ======== ======== ======== Total return (a) 11.5% (11.8)% 0.6% 5.3% 4.6% 4.1% Net assets, end of year (000s omitted) $458,687 370,848 337,395 283,745 225,476 188,677 Ratio of expenses to average net assets (b)(c)(d) 0.36% 0.37% 0.38% 0.42% 0.48% 0.51% Ratio of net investment income to average net assets (b)(d) 5.65% 5.03% 4.75% 4.66% 4.77% 4.84% Portfolio turnover rate (excluding short-term securities)(d) 20.63% 32.20% 27.58% 40.20% 41.39% 35.25%
(a) Total return figures are based on the change in net asset value of a share during the period and assume reinvestment of distributions at net asset value. (b) Total fund expenses are contractually limited to 0.60% of average daily net assets. However, during the period ended June 30, 2009 and the years ended December 31, 2008, 2007, 2006, 2005, and 2004, the investment advisor voluntarily reduced management fees otherwise payable by the Funds. Had the Funds incurred these expenses, the ratio of expenses to average daily net assets on an annualized basis would have been 0.60% for the six months ended June 30, 2009 and 0.60%, 0.60%, 0.60%, 0.60%, and 0.60%, for the years ended December 31, 2008, 2007, 2006, 2005, and 2004, respectively. The ratio of net investment income to average daily net assets on an annualized basis would have been 4.69% for the six months ended June 30, 2009 and 4.80%, 4.53%, 4.48%, 4.65%, and 4.75%, for the years ended December 31, 2008, 2007, 2006, 2005, and 2004, respectively. (Continued) 19 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 (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 the 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. (Continued) 20 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 June 30, International Fund 2009 (a) - ----------------------------------------------- ----------- Net asset value, beginning of period $ 10.00 Income from investment operations: Net investment income 0.10 Net realized and unrealized gains 1.11 ----------- Total from investment operations 1.21 ----------- Less distributions: Distributions from net investment income -- Distributions from net realized gains -- ----------- Total distributions -- ----------- Net asset value, end of period $ 11.21 =========== Total return (b) 12.10% Net assets, end of period (000s omitted) $ 205,507 Ratio of expenses to average net assets (c) (d) 1.00% Ratio of net investment income to average net assets (d) 4.26% Portfolio turnover rate (excluding short-term securities) 26.57% (a) Commenced investment operations on February 5, 2009. (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 less than one year. (c) Total fund expenses are contractually limited to 1.00% of average daily net assets. (d) Annualized for periods less than one year. (9) New Accounting Pronouncements The International Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (FAS 161), effective February 5, 2009. FAS 161 is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund's financial position and results of operations. None of the derivatives held in the International Fund have been designated as hedging instruments under FAS statement 133. The objectives and strategies of these derivatives and counterparty credit risk can be found in Note 2. (Continued) 21 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 Below are the types of derivatives in the Clearwater International Fund by location as presented in the Statement of Assets and Liabilities as of June 30, 2009:
ASSETS LIABILITIES ------------------------------------------------------------------------------------------------------------------- Statement of Assets and Statement of Assets and Derivative type Liabilities Location Value Liabilities Location Value ------------------------------------------------------------------------------------------------------------------- Unrealized appreciation on Unrealized depreciation on forward foreign currency forward foreign currency Foreign exchange contracts exchange contracts $ 300 exchange contracts $ 5,768 ------------------------------------------------------------------------------------------------------------------- The following tables set forth by primary risk exposure the Clearwater International Fund's realized gains (losses) and change in unrealized gains (losses) by type of derivative contract for the period ended June 30, 2009 in accordance with FAS 161. AMOUNT OF REALIZED GAIN (LOSS) ON CHANGE IN UNREALIZED APPRECIATION DERIVATIVE CONTRACTS (DEPRECIATION) ON DERIVATIVE CONTRACTS ----------------------------------------------------------- ---------------------------------------------------------------- Statement of Statement of Derivative type Operations Location Value Derivative type Operations Location Value ----------------------------------------------------------- ---------------------------------------------------------------- Unrealized appreciation Net realized gain (loss) (depreciation) on forward Foreign exchange on foreign currency Foreign foreign currency exchange contracts transactions $ 717,262 exchange contracts contracts during the period $ (5,468) ----------------------------------------------------------- ----------------------------------------------------------------
The following table presents the volume of derivative activity for the six months ended June 30, 2009. Derivative activity during the period is measured by number of trades during the period and average notional amount for foreign exchange contracts. Foreign Exchange Contracts ---------------------------------------------------------------------- Number Average of Trades Notional Amount ---------------------------------------------------------------------- Clearwater International Fund 1,581 $ 133,061 ---------------------------------------------------------------------- The Funds adopted Financial Accounting Standards Board Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (FSP FAS 157-4), effective June 30, 2009. FSP FAS 157-4 provides additional guidance for estimating fair value in accordance with FAS 157 when the volume and level of activity for the assets or liability have significantly decreased. FSP FAS 157-4 also requires additional disaggregation of the current FAS 157 required disclosures. Management has evaluated the implications of FSP FAS 157-4 and has concluded there will be no impact on the financial statement disclosures. (Continued) 22 CLEARWATER INVESTMENT TRUST Notes to Financial Statements (unaudited) June 30, 2009 The Funds adopted Financial Accounting Standards Board Staff Position No. 165, Subsequent Events (Statement 165), effective June 30, 2009. Statement 165 establishes general standards of accounting for and disclosure of events that occur after the balance sheet date, but before the financial statements are issued or are available to be issued. Management has evaluated subsequent events for the Funds through August 27, 2009, the date the financial statements are available to be issued, and has concluded there are not any recognized or non-recognized subsequent events that are required for financial statement disclosure. 23 CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Growth Fund (unaudited) June 30, 2009
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Common stocks: Consumer discretionary: 800 AARON S INC $ 24,772 23,856 2,300 ABERCROMBIE + FITCH CO 50,218 58,397 2,900 ADVANCE AUTO PARTS 103,545 120,321 700 AEROPOSTALE (b) 24,280 23,989 7,450 AMAZON COM INC (b) 356,005 623,267 3,300 AMERICAN EAGLE OUTFITTERS INC 33,099 46,761 1,100 AUTOLIV 19,410 31,647 1,200 AUTOZONE INC (b) 111,271 181,332 7,975 BED BATH + BEYOND INC (b) 241,621 245,231 7,650 BEST BUY CO INC 210,571 256,199 1,400 BIG LOTS INC (b) 15,477 29,442 800 BJS WHSL CLUB INC (b) 25,292 25,784 1,300 BLACK + DECKER CORPORATION 44,208 37,258 3,800 BORG WARNER INC 107,106 129,770 1,950 BRINKER INTL INC 41,847 33,209 8,300 BROCADE COMMUNICATIONS SYS INC (b) 52,215 64,906 6,400 CABLEVISION SYS CORP 104,096 124,224 5,468 CARMAX INC (b) 78,791 80,380 9,600 CARNIVAL CORP 318,908 247,392 14,043 CBS CORP NEW 273,383 97,178 1,200 CENTRAL EUROPEAN MEDIA ENTERPR (b) 24,318 23,628 2,700 CHICOS FAS INC (b) 25,286 26,271 300 CHIPOTLE MEXICAN GRILL INC (b) 23,753 24,000 7,200 CLEAR CHANNEL OUTDOOR HLDGS IN (b) 44,739 38,160 7,500 COACH INC 71,549 201,600 66,567 COMCAST CORP NEW 1,201,630 964,556 1,300 COPART INC (b) 32,032 45,071 10,200 COSTCO WHSL CORP NEW 368,008 466,140 11,000 D R HORTON INC 101,073 102,960 2,800 DARDEN RESTAURANTS INC 65,099 92,344 1,500 DICKS SPORTING GOODS INC (b) 24,803 25,800 15,023 DIRECTV GROUP INC (b) 225,529 371,218 5,996 DISCOVERYCOMMUNICATIONS INC (b) 89,062 123,098 5,700 DISH NETWORK CORP (b) 174,889 92,397 46,060 DISNEY WALT CO 1,018,071 1,074,580 2,000 DOLBY LABORATORIES INC (b) 43,420 74,560 2,500 DOLLAR TREE INC (b) 70,662 105,250 5,800 DREAMWORKS ANIMATION SKG (b) 124,439 160,022 6,220 EXPEDIA INC DEL (b) 124,528 93,984 5,600 FAMILY DLR STORES INC 141,708 158,480 3,000 FOOT LOCKER INC 40,394 31,410 77,963 FORD MTR CO DEL (b) 455,720 473,235 4,300 FORTUNE BRANDS INC 149,332 149,382 3,800 GAMESTOP CORP NEW (b) 15,311 83,638 14,300 GAP INC 234,156 234,520 4,900 GARMIN LTD 133,242 116,718 9,200 GENTEX CORP 131,306 106,720 5,050 GENUINE PARTS CO 153,969 169,478 4,200 GOODYEAR TIRE AND RUBBER (b) 114,093 47,292 4,481 HANESBRANDS INC (b) 121,016 67,260 7,150 HARLEY DAVIDSON INC 41,890 115,902 5,000 HARMAN INTL INDS INC NEW 86,975 94,000 4,700 HASBRO INC 119,921 113,928 10,500 HERTZ GLOBAL HLDGS INC (b) 77,375 83,895 43,625 HOME DEPOT INC 245,729 1,030,859 7,800 INTERNATIONAL GAME TECHNOLOGY 211,426 124,020 17,200 INTERPUBLIC GROUP COS INC (b) 45,150 86,860 5,300 J C PENNEY INC 210,583 152,163
See accompanying notes to the financial statements. 24 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Consumer discretionary (Cont'd): 16,350 JOHNSON CTLS INC $ 313,847 355,122 1,200 KB HOME 31,938 16,416 7,750 KOHLS CORP (b) 86,001 331,313 3,500 LAMAR ADVERTISING CO (b) 55,722 53,445 6,200 LAS VEGAS SANDS CORP (b) 42,935 48,732 1,100 LEGGETT +PLATT INC 23,652 16,753 20,237 LIBERTY MEDIA CORP NEW - INTERACTIVE (b) 199,371 101,387 5,040 LIBERTY MEDIA CORP NEW - CAPTIAL (b) 25,423 68,342 11,824 LIBERTY MEDIA CORP NEW - ENTERTAINMENT (b) 157,814 316,292 10,290 LIMITED BRANDS INC 118,493 123,171 38,100 LOWES COSINC 677,316 739,521 3,300 M.D.C. HOLDINGS INC 109,610 99,363 9,300 MACYS INC 172,825 109,368 3,814 MARRIOTT INTL INC NEW 37,782 84,175 8,700 MATTEL INC 164,712 139,635 28,900 MCDONALDSCORP 997,447 1,661,461 9,290 MCGRAW HILL COS INC 320,929 279,722 3,700 MGM MIRACE INC (b) 23,921 23,643 2,000 MOHAWK INDS INC (b) 144,244 71,360 800 NETFLIX COM INC (b) 32,332 33,072 4,200 NEWELL RUBBERMAID INC 97,738 43,722 53,375 NEWS CORP 740,670 486,246 9,800 NIKE INC 371,751 507,444 7,200 NORDSTROMINC 136,794 143,208 100 NVR INC (b) 51,543 50,239 2,200 O REILLY AUTOMOTIVE INC (b) 66,143 83,776 4,500 OFFICE DEPOT INC (b) 65,209 20,520 7,495 OMNICOM GROUP 278,273 236,692 1,500 PANERA BREAD CO (b) 69,668 74,790 2,500 PENN NATLGAMING INC (b) 97,645 72,775 2,900 PETSMART INC 64,210 62,234 1,500 POLO RALPH LAUREN CORP 31,320 80,310 1,100 PRICELINECOM INC (b) 120,841 122,705 7,500 PULTE HOMES INC 77,063 66,225 6,200 RADIOSHACK CORP 75,547 86,552 6,000 REGAL ENTMT GROUP 86,655 79,740 3,000 ROSS STORES INC 58,084 115,800 2,000 ROYAL CARIBBEAN CRUISES LTD 25,110 27,080 2,300 SCRIPPS NETWORKS INTERACTIVE I 91,239 64,009 1,227 SEARS HLDGS CORP (b) 78,518 81,620 2,400 SHERWIN WILLIAMS CO 116,100 129,000 1,200 SIGNET JEWELERS LTS (b) 22,278 24,984 1,400 SNAP ON INC 52,729 40,236 2,900 STANLEY WORKS 129,263 98,136 16,250 STAPLES INC 264,742 327,763 19,650 STARBUCKSCORP (b) 279,363 272,939 5,010 STARWOOD HOTELS + RESORTS INC 224,617 111,222 19,100 TARGET CORP 700,947 753,877 2,600 THOR INDSINC 30,537 47,762 4,200 TIFFANY +CO NEW 122,192 106,512 7,333 TIM HORTONS INC 165,989 179,952 9,479 TIME WARNER CABLE INC 424,308 300,200 29,533 TIME WARNER INC 806,877 743,936 9,947 TJX COS INC NEW 190,657 312,933 5,500 TOLL BROSINC (b) 124,557 93,335 800 TRW AUTOMOTIVE HLDGS CORP (b) 18,216 9,040 3,227 URBAN OUTFITTERS INC (b) 61,562 67,347 2,300 V F CORP 135,032 127,305 16,356 VIACOM INC NEW (b) 588,093 371,281
See accompanying notes to the financial statements. 25 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Consumer discretionary (Cont'd): 4,100 VIRGIN MEDIA INC $ 70,268 38,335 3,166 WABCO HLDGS INC 71,725 56,038 56,896 WAL MART STORES INC 2,635,118 2,756,042 9,090 WENDYS/ARBYS GROUP INC 56,673 36,360 2,300 WHIRLPOOLCORP 98,184 97,888 2,200 WILEY JOHN + SONS INC 89,428 73,150 7,375 WYNDHAM WORLDWIDE CORP 33,003 89,385 2,300 WYNN RESORTS LTD (b) 80,216 81,190 11,416 YUM BRANDS INC 146,079 380,609 ------------- ----------- 22,977,378 24,930,678 10.93% Consumer staples: 1,600 ALBERTO CULIVER CO NEW 38,952 40,688 48,200 ALTRIA GROUP INC 438,944 789,998 17,100 ARCHER DANIELS MIDLAND CO 393,061 457,767 12,462 AVON PRODS INC 319,131 321,270 2,544 BROWN FORMAN CORP 86,717 109,341 2,800 BUNGE LIMITED 229,834 168,700 6,200 CAMPBELL SOUP CO 168,826 182,404 2,100 CENTRAL EUROPEAN DISTR CORP (b) 29,894 55,797 3,000 CHURCH AND DWIGHT INC 157,235 162,930 3,000 CLOROX CO 154,515 167,490 58,559 COCA COLA CO 2,289,309 2,810,246 4,800 COCA COLA ENTERPRISES INC 91,134 79,920 12,390 COLGATE PALMOLIVE CO 727,954 876,469 10,200 CONAGRA INC 223,722 194,412 4,600 CONSTELLATION BRANDS INC (b) 63,227 58,328 1,300 CORN PRODUCTS INTL INC 29,972 34,827 38,322 CVS CAREMARK CORP 798,221 1,221,322 3,700 DEAN FOODS CO NEW (b) 73,612 71,003 5,773 DEL MONTEFOODS CO 57,723 54,151 6,000 DR PEPPERSNAPPLE GROUP INC (b) 125,060 127,140 1,200 FLOWERS FOODS INC 25,434 26,208 8,200 GENERAL MLS INC 392,281 459,364 800 GREEN MTN COFFEE ROASTERS (b) 44,948 47,296 1,600 HANSEN NAT CORP (b) 61,969 49,312 8,075 HEINZ H JCO 303,404 288,278 1,900 HERBALIFE LTD 52,204 59,926 3,100 HERSHEY CO / THE 120,285 111,600 3,100 HORMEL FOODS CORP 111,616 107,074 5,800 KELLOGG CO 268,705 270,106 11,150 KIMBERLY CLARK CORP 645,201 584,595 37,838 KRAFT FOODS INC (b) 737,606 958,815 16,500 KROGER CO 302,529 363,825 1,667 LAUDER ESTEE COS INC 62,718 54,461 4,900 LORILLARD INC 266,592 332,073 2,800 MCCORMICK+ CO INC 97,399 91,084 3,900 MOLSON COORS BREWING CO 154,918 165,087 1,000 NBTY INC (b) 21,300 28,120 3,700 PEPSI BOTTLING GROUP INC 103,155 125,208 900 PEPSIAMERICAS INC 23,765 24,129 38,226 PEPSICO INC 1,625,439 2,100,901 49,500 PHILIP MORRIS INTL ORD SHR 970,270 2,159,190 73,389 PROCTER AND GAMBLE CO 2,098,483 3,750,178 1,500 RALCORP HLDGS INC NEW (b) 91,238 91,380 5,200 REYNOLDS AMERN INC 154,046 200,824 11,419 SAFEWAY INC 247,841 232,605 25,750 SARA LEE CORP 310,924 251,320 5,400 SMITHFIELD FOODS INC (b) 108,846 75,438 2,300 SMUCKER JM CO 104,300 111,918
See accompanying notes to the financial statements. 26 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Consumer staples (Cont'd): 4,606 SUPERVALUINC $ 89,569 59,648 13,300 SYSCO CORP 277,716 298,984 2,100 TERRA INDS INC 102,659 50,862 9,527 TYSON FOODS INC (DEL) 111,286 120,135 25,050 WALGREEN CO 330,243 736,470 5,000 WHOLE FOODS MKT INC 107,821 94,900 -------------- ------------ 17,023,745 22,465,516 9.85% Energy: 11,246 ANADARKO PETE CORP 451,512 510,456 8,434 APACHE CORP 376,498 608,513 6,800 BAKER HUGHES INC 413,255 247,792 12,500 BJ SVCS CO 297,345 170,375 1,804 CABOT OIL+ GAS CORP 57,973 55,275 2,200 CAMERON INTL CORP (b) 42,735 62,260 16,686 CHESAPEAKE ENERGY CORP 404,571 330,883 51,395 CHEVRON CORP 2,665,967 3,404,919 2,800 CIMAREX ENERGY CO 154,862 79,352 1,900 CONCHO RES INC (b) 55,471 54,511 39,544 CONOCOPHILLIPS 1,353,753 1,663,221 6,515 CONSOL ENERGY INC 175,329 221,249 1,000 CONTINENTAL RES INC OK (b) 20,765 27,750 9,300 DENBURY RES INC (b) 88,955 136,989 10,823 DEVON ENERGY CORPORATION NEW 551,454 589,854 1,600 DIAMOND OFFSHORE DRILLING INC 123,444 132,880 4,100 DRESSER RAND GROUP INC (b) 134,747 107,010 13,900 EL PASO CORP 103,337 128,297 1,200 ENCORE AQUISITION CO (b) 85,206 37,020 4,554 ENSCO INTL INC 193,114 158,798 7,500 EOG RESOURCES INC 252,552 509,400 1,900 EXCO RES INC (b) 24,045 24,548 124,433 EXXON MOBIL CORP 6,035,367 8,699,111 3,200 FMC TECHNOLOGIES INC (b) 138,073 120,256 4,100 FRONTIER OIL CORP 57,462 53,751 21,658 HALLIBURTON CO 498,073 448,321 2,200 HELIX ENERGY SOLUTIONS GROUP (b) 23,551 23,914 3,100 HELMERICHAND PAYNE INC 39,003 95,697 6,500 HESS CORP 480,990 349,375 1,200 HOLLY CORP 22,578 21,576 16,986 MARATHON OIL CORP 469,088 511,788 1,700 MARINER ENERGY INC (b) 23,571 19,975 900 MASSEY ENERGY CORP 37,637 17,586 4,800 MURPHY OIL CORP 156,309 260,736 5,400 NABORS INDUSTRIES LTD (b) 164,133 84,132 10,722 NATIONAL OILWELL VARCO INC (b) 326,348 350,181 5,142 NEWFIELD EXPL CO (b) 222,527 167,989 3,700 NOBLE ENERGY INC 128,330 218,189 21,514 OCCIDENTAL PETE CORP 432,097 1,415,836 2,000 OCEANEERING INTL INC (b) 102,370 90,400 900 OIL STATES INTL INC (b) 54,464 21,789 5,600 PATTERSON UTI ENERGY INC 114,212 72,016 7,200 PEABODY ENERGY CORP 208,428 217,152 3,200 PIONEER NAT RES CO 48,507 81,600 1,400 PLAINS EXPL + PRODTN CO (b) 40,439 38,304 5,600 PRIDE INTERNATIONAL INC (b) 188,739 140,336 5,810 QUICKSILVER RES INC (b) 119,305 53,975 4,800 RANGE RESCORP 198,185 198,768 1,100 ROWAN COS INC 50,419 21,252 9,000 SANDRIDGE ENERGY INC (b) 82,155 76,680 29,100 SCHLUMBERGER LTD 1,551,515 1,574,601
See accompanying notes to the financial statements. 27 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Energy (Cont'd): 7,900 SMITH INTL INC $ 235,488 203,425 9,300 SOUTHWESTERN ENERGY CO (b) 163,645 361,305 3,200 SUNOCO INC 36,080 74,240 4,700 SUPERIOR ENERGY SVCS INC (b) 169,835 81,169 4,600 TESORO CORP 87,062 58,558 2,300 TIDEWATERINC 118,715 98,601 11,010 VALERO ENERGY CORP 152,221 185,959 13,675 WILLIAMS COS INC 253,252 213,467 13,246 XTO ENERGY INC 390,850 505,202 -------------- ----------- 21,647,905 26,488,563 11.61% Financials: 500 AFFILIATED MANAGERS GROUP INC (b) 28,438 29,095 14,050 AFLAC INC 447,566 436,815 700 ALEXANDRIA REAL ESTATE EQUIT 25,015 25,053 2,700 ALLIED WORLD ASSURANCE COMPANY 86,630 110,241 13,500 ALLSTATE CORP 579,315 329,400 4,829 AMB PPTY CORP 161,507 90,833 25,333 AMERICAN EXPRESS CO 881,415 588,739 1,800 AMERICAN FINL GROUP INC OHIO 29,745 38,844 2,700 AMERICREDIT CORP (b) 31,865 36,585 7,391 AMERIPRISE FINL INC 288,205 179,380 14,400 ANNALY CAPITAL MANAGEMENT INC 233,405 218,016 7,000 AON CORP 213,108 265,090 6,028 APARTMENTINVT + MGMT CO 121,929 53,348 400 ARCH CAP GROUP LTD (b) 22,194 23,432 2,000 ASPEN INSURANCE HOLDINGS LTD (b) 45,330 44,680 4,100 ASSOCIATED BANC CORP 116,092 51,250 4,300 ASSURANT INC 180,126 103,587 1,834 AVALONBAY CMNTYS INC 136,479 102,594 5,100 AXIS CAPITAL HOLDINGS LTD 187,376 133,518 3,400 BANCORPSOUTH INC 62,679 69,802 189,765 BANK AMER CORP 5,217,989 2,504,898 600 BANK HAWAII CORP 22,761 21,498 27,101 BANK NEW YORK MELLON CORP 811,406 794,330 14,558 BB+T CORP 413,754 319,985 5,206 BERKLEY WR CORP 157,149 111,773 600 BLACKROCK INC CLA 110,619 105,252 1,988 BOSTON PPTYS INC 107,373 94,828 6,500 BRANDYWINE RLTY TR 106,523 48,425 1,100 BRE PPTYS INC 25,471 26,136 1,200 BROWN + BROWN INC 23,406 23,916 900 CAMDEN PPTY TR 24,791 24,840 10,847 CAPITAL ONE FINL CORP 359,177 237,332 11,200 CAPITALSOURCE INC 65,018 54,656 3,700 CB RICHARD ELLIS GROUP INC (b) 84,241 34,632 7,700 CHIMERA INVT CORP 25,064 26,873 9,000 CHUBB CORP 420,411 358,920 2,756 CINCINNATI FINL CORP 103,501 61,597 9,900 CIT GROUP INC NEW 41,179 21,285 135,115 CITIGROUP INC 1,579,867 401,292 1,300 CITY NATL CORP 47,574 47,879 1,573 CME GROUP INC 483,345 489,376 4,600 COMERICA INC 233,547 97,290 900 CORPORATE OFFICE PPTYS TR 25,241 26,397 1,600 CORRECTIONS CORP AMER NEW (b) 25,672 27,184 500 CULLEN FROST BANKERS INC 22,813 23,060 1,500 DIGITAL RLTY TR INC 60,188 53,775 9,887 DISCOVER FINL SVCS 148,722 101,539 2,800 DOUGLAS EMMETT INC 24,514 25,172
See accompanying notes to the financial statements. 28 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Financials (Cont'd): 2,500 DUKE RLTY CORP $ 64,721 21,925 900 ENDURANCE SPECIALTY HOLDINGS 25,106 26,370 5,416 EQUITY RESIDENTIAL 174,162 120,398 2,900 ERIE INDTY CO 151,861 103,704 2,400 EVEREST REINSURANCE GROUP LTD 184,908 171,768 400 FEDERAL RLTY INVT TR 20,906 20,608 1,400 FEDERATED INVS INC PA 30,835 33,726 6,281 FIDELITY NATL FINL INC 104,831 84,982 14,500 FIFTH THIRD BANCORP 111,895 102,950 600 FIRST CTZNS BANCSHARES INC N C 86,506 80,190 9,456 FIRST HORIZON NATL CORP 129,284 113,471 3,200 FIRST NIAGARA FINL GROUP INC 37,456 36,544 1,200 FOREST CITY ENTERPRISES INC 54,504 7,920 5,559 FRANKLIN RES INC 329,853 400,304 14,300 FULTON FINL CORP PA 158,276 74,503 1,600 GALLAGHER ARTHUR J + CO 34,040 34,144 8,400 GENWORTH FINL INC 118,743 58,716 7,700 GLG PARTNERS INC 27,451 31,493 11,926 GOLDMAN SACHS GROUP INC 1,167,796 1,758,369 400 GREENHILL + CO INC 27,762 28,884 1,200 HANOVER INS GROUP INC 51,342 45,732 6,700 HARTFORD FINANCIAL SVCS GRP 254,778 79,529 1,000 HCC INS HLDGS INC 24,155 24,010 7,100 HCP INC 118,485 150,449 4,000 HEALTH CARE REIT INC 162,580 136,400 1,800 HOSPITALITY PPTYS TR 23,967 21,402 22,667 HOST HOTELS + RESORTS INC 301,929 190,176 6,400 HRPT PPTYS TR 56,139 25,984 10,500 HUDSON CITY BANCORP INC 166,268 139,545 8,300 HUNTINGTON BANCSHARES INC 77,106 34,694 2,700 INTERCONTINENTALEXCHANGE INC (b) 369,218 308,448 9,000 INVESCO LTD 201,525 160,380 1,200 INVESTMENT TECHNOLOGY GROUP (b) 25,026 24,468 7,900 JANUS CAP GROUP INC 103,806 90,060 1,500 JEFFRIES GROUP INC NEW (b) 31,418 31,995 92,046 JPMORGAN CHASE + CO 2,754,575 3,139,689 15,200 KEYCORP NEW 300,120 79,648 7,701 KIMCO RLTY CORP 202,479 77,395 6,152 LEGG MASON INC 147,960 149,986 3,500 LEUCADIA NATL CORP (b) 126,468 73,815 1,100 LIBERTY PROPERTY 24,811 25,344 6,948 LINCOLN NATL CORP IN 251,421 119,575 7,200 LOEWS CORP 209,492 197,280 1,660 M + T BK CORP 119,477 84,544 1,400 MACERICH CO 24,199 24,654 5,200 MACK CA RLTY CORP 157,688 118,560 12,978 MARSH + MCLENNAN COS INC 332,812 261,247 4,699 MARSHALL + ILSLEY CORP NEW 98,962 22,555 10,700 MBIA INC (b) 53,340 46,331 1,300 MERCURY GEN CORP 38,019 43,459 11,800 METLIFE INC 396,459 354,118 4,400 MOODYS CORP 173,138 115,940 29,460 MORGAN STANLEY 946,952 839,905 4,500 NASDAQ OMX GROUP INC (b) 139,568 95,895 1,500 NATIONWIDE HEALTH PPTYS INC 48,338 38,610 9,749 NEW YORK CMNTY BANCORP INC 112,805 104,217 6,002 NORTHERN TRUST CORP 315,914 322,187 8,200 NYSE EURONEXT 441,787 223,450 4,525 OLD REP INTL CORP 87,079 44,571
See accompanying notes to the financial statements. 29 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Financials (Cont'd): 4,100 ONEBEACONINSURANCE GROUP LTD $ 90,672 47,929 300 PARTNERRE LTD (b) 19,595 19,485 10,423 PEOPLES UTD FINL INC 162,067 156,762 5,485 PLUM CREEK TIMBER CO INC 142,391 163,343 11,825 PNC FINL SVCS GROUP INC 522,073 458,928 15,300 POPULAR INC 151,853 33,660 6,300 PRICE T ROWE GROUP INC 123,748 262,521 6,450 PRINCIPAL FINANCIAL GROUP 232,504 121,518 18,348 PROGRESSIVE CORP OHIO (b) 320,780 277,238 9,272 PROLOGIS 229,113 74,732 2,200 PROTECTIVE LIEF CORP 24,849 25,168 11,600 PRUDENTIAL FINL INC 460,463 431,752 4,091 PUBLIC STORAGE 306,429 267,879 2,825 RAYMOND JAMES FINANCIAL INC 70,271 48,618 2,700 REALTY INCOME CORP 66,843 59,184 3,900 REGENCY CTRS CORP 103,877 136,149 28,899 REGIONS FINL CORP NEW 240,101 116,752 2,900 RENAISSANCERE HOLDINGS LTD 136,231 134,966 25,200 SCHWAB CHARLES CORP 224,456 442,008 5,400 SEI INVESTMENTS CO 74,937 97,416 1,500 SENIOR HSG PPTSY TR 25,073 24,480 6,806 SIMON PPTY GROUP INC NEW 435,404 350,033 1,500 SL GREEN RLTY CORP 32,888 34,410 12,200 SLM CORP (b) 173,437 125,294 1,700 ST JOE CO (b) 56,409 45,033 11,435 STATE STREET CORPORATION 576,163 539,732 8,734 SUNTRUST BKS INC 210,006 143,674 9,000 SYNOVUS FINL CORP 99,692 26,910 1,000 TAUBMAN CENTERS INC 26,955 26,860 3,900 TCF FINANCIAL CORP 33,574 52,143 7,566 TD AMERITRADE HLDG CORP (b) 121,495 132,708 3,500 TORCHMARK INC 157,289 129,640 1,100 TRANSATLANTIC HLDGS INC (b) 71,062 47,663 14,188 TRAVELERS COS INC 527,750 582,276 2,400 UDR INC 24,876 24,792 4,000 UNITRIN INC 101,606 48,080 11,100 UNUM GROUP 195,951 176,046 45,585 US BANCORP DEL 1,058,872 816,883 1,100 VALIDUS HOLDINGS LTD 23,557 24,178 5,613 VALLEY NATL BANCORP 95,555 65,672 2,900 VENTAS INC 129,094 86,594 11,300 VISA INC 898,914 703,538 2,718 VORNADO RLTY TR 218,656 122,392 1,000 WADDELL + REED FINL INC 25,395 26,370 1,800 WASHINGTON FED INC 23,535 23,400 1,900 WEINGARTEN RLTY INVS 25,128 27,569 117,045 WELLS FARGO + CO NEW 2,037,899 2,839,512 2,800 WHITNEY HLDG CORP 53,158 25,648 1,900 WILMINGTON TR CORP 24,197 25,954 7,225 XL CAPITAL LTD 92,119 82,799 3,500 ZIONS BANCORP 167,964 40,460 -------------- ------------ 38,609,138 31,268,407 13.71% Healthcare: 37,935 ABBOTT LABS 1,488,217 1,784,462 10,600 AETNA INC 167,862 265,530 2,000 ALEXION PHARMACEUTICALS INC (b) 77,450 82,240 7,886 ALLERGAN INC 359,711 375,216 5,600 AMERISOURCEBERGEN CORP 85,048 99,344 23,850 AMGEN INC (b) 210,763 1,262,619
See accompanying notes to the financial statements. 30 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Healthcare (Cont'd): 2,700 AMYLIN PHARMACEUTICALS INC (b) $ 82,493 36,450 1,700 BARD C R INC 108,173 126,565 16,500 BAXTER INTL INC 550,769 873,840 1,400 BECKMAN COULTER INC 70,301 79,996 6,500 BECTON DICKINSON + CO 417,630 463,515 7,850 BIOGEN IDEC INC (b) 108,762 354,428 2,300 BIOMARIN PHARMACEUTICAL INC (b) 67,195 35,903 43,150 BOSTON SCIENTIFIC CORP (b) 509,468 437,541 49,700 BRISTOL MYERS SQUIBB CO 1,211,201 1,009,407 7,750 CARDINAL HEALTH INC 401,200 236,763 11,136 CELGENE CORP (b) 379,970 532,746 1,200 CEPHALON INC (b) 78,269 67,980 800 CHARLES RIV LABORATORIES INTL (b) 24,460 27,000 9,500 CIGNA CORP 159,169 228,855 1,100 COMMUNITY HEALTH SYS INC NEW (b) 30,223 27,775 1,400 COVANCE INC (b) 82,457 68,880 2,546 COVENTRY HEALTH CARE INC (b) 100,005 47,636 3,225 DAVITA INC (b) 123,269 159,509 2,900 DENDREON CORP (b) 74,487 72,065 3,700 DENTSPLY INTL INC NEW 102,583 112,924 1,900 EDWARDS LIFESCIENCES CORP (b) 118,152 129,257 2,800 ENDO PHARMACEUTICALS HLDGS (b) 65,974 50,176 5,200 EXPRESS SCRIPTS INC (b) 208,059 357,500 5,550 FOREST LABS INC (b) 163,317 139,361 700 GEN PROBE INC NEW (b) 31,315 30,086 5,600 GENZYME CORP (b) 339,957 311,752 23,460 GILEAD SCIENCES INC (b) 609,799 1,098,866 10,600 HEALTH MGMT ASSOC (b) 68,741 52,364 2,450 HEALTH NET INC (b) 64,669 38,098 1,100 HENRY SCHEIN INC (b) 47,867 52,745 1,300 HILL ROM HLDGS 38,228 21,086 3,700 HILLENBRAND INC 88,840 61,568 6,000 HLTH CORP (b) 58,236 78,600 8,108 HOLOGIC INC (b) 180,379 115,377 6,805 HOSPIRA INC (b) 247,485 262,129 3,900 HUMANA INC (b) 39,107 125,814 700 IDEXX LABS INC (b) 28,165 32,340 3,400 ILLUMINA INC (b) 140,152 132,396 7,700 IMS HEALTH INC 151,365 97,790 800 INTUITIVE SURGICAL INC (b) 199,170 130,928 1,800 INVERNESSMED INNOVATIONS INC (b) 57,627 64,044 69,284 JOHNSON +JOHNSON 2,665,119 3,935,331 1,931 KINETIC CONCEPTS INC (b) 71,019 52,620 9,700 KING PHARMACEUTICALS INC (b) 103,405 93,411 3,200 LABORATORY CORP AMER HLDGS (b) 89,704 216,928 5,973 LIFE TECHNOLOGIES CORP (b) 188,036 249,194 27,094 LILLY ELI+ CO 1,136,627 938,536 1,950 LINCARE HLDGS INC (b) 58,492 45,864 5,700 MCKESSON CORP 202,597 250,800 11,556 MEDCO HEALTH SOLUTIONS INC (b) 211,064 527,069 28,750 MEDTRONIC INC 288,847 1,003,088 54,286 MERCK + CO INC 1,757,176 1,517,837 2,853 MILLIPORECORP (b) 170,051 200,309 6,100 MYLAN INC (b) 70,250 79,605 2,400 MYRIAD GENETICS INC (b) 88,020 85,560 1,200 OMNICARE INC 29,082 30,912 900 OSI PHARMACEUTICALS INC (b) 25,799 25,407 4,200 PATTERSON COS INC (b) 117,791 91,140 1,800 PERRIGO CO 59,715 50,004
See accompanying notes to the financial statements. 31 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Healthcare (Cont'd): 169,675 PFIZER INC $ 1,467,451 2,545,125 4,165 QUEST DIAGNOSTICS INC 169,785 235,031 2,000 RESMED INC (b) 81,990 81,460 40,303 SCHERING PLOUGH CORP 735,163 1,012,411 3,074 SEPRACOR INC (b) 81,275 53,242 12,600 SERVICE CORP INTL 90,438 69,048 9,039 ST JUDE MED INC (b) 270,099 371,503 7,900 STRYKER CORP 148,406 313,946 12,900 TENET HEALTHCARE CORP (b) 56,567 36,378 11,200 THERMO FISHER SCIENTIFIC INC (b) 369,287 456,624 600 UNITED THERAPEUTICS CORP DEL (b) 50,361 49,998 31,002 UNITEDHEALTH GROUP INC 702,176 774,430 2,068 UNIVERSAL HEALTH SVCS INC 96,639 101,022 1,100 VALEANT PHARMACEUTICALS INTL (b) 25,273 28,292 5,200 VARIAN MED SYS INC (b) 191,672 182,728 2,400 VCA ANTECH INC (b) 71,120 64,080 4,100 VERTEX PHARMACEUTICALS INC (b) 110,188 146,124 2,600 WATERS CORP (b) 60,997 133,822 3,175 WATSON PHARMACEUTICALS INC (b) 79,361 106,966 13,049 WELLPOINTINC (b) 554,723 664,064 34,267 WYETH 1,429,527 1,555,379 5,274 ZIMMER HOLDINGS INC (b) 288,265 224,672 -------------- ------------- 24,481,288 30,851,422 13.53% Industrials: 17,350 3M CO 1,222,505 1,042,735 2,800 AECOM TECHNOLOGY CORP (b) 81,858 89,600 4,210 AGCO CORP (b) 174,615 122,385 2,300 AMETEK INC NEW 73,221 79,534 4,400 AMR CORP DEL (b) 32,583 17,688 3,400 APOLLO GROUP INC (b) 227,899 241,808 1,700 AVERY DENNISON CORP 90,518 43,656 2,000 BE AEROSPACE INC (b) 58,542 28,720 8,400 BLOCK H +R INC 103,744 144,732 19,400 BOEING CO 472,797 824,500 900 BUCYRUS INTL INC NEW 24,314 25,704 6,447 BURLINGTON NORTHN SANTA FE 265,003 474,112 3,400 C H ROBINSON WORLDWIDE INC 164,205 177,310 1,600 CAREER EDCORP (b) 26,824 39,824 3,000 CARLISLE COS INC 76,640 72,120 15,804 CATERPILLAR INC 527,808 522,164 3,700 CINTAS CORP 122,389 84,508 4,227 CON WAY INC 131,352 149,255 4,300 CONTINENTAL AIRLS INC (b) 102,190 38,098 3,900 CONVERGYSCORP (b) 69,089 36,192 5,000 COOPER INDUSTRIES LTD 187,339 155,250 1,200 COPA HOLDINGS S A 46,086 48,984 4,500 COVANTA HLDG CORP (b) 119,422 76,320 3,948 CRANE CO 66,572 88,080 12,600 CSX CORP 178,116 436,338 6,000 CUMMINS INC 184,025 211,260 7,600 DANAHER CORP 409,614 469,224 9,900 DEERE + CO 379,732 395,505 11,850 DELTA AIRLINES INC DE (b) 87,483 68,612 1,978 DEVRY INCDEL 93,134 98,979 1,600 DONALDSONCO INC 63,715 55,424 6,900 DONNELLEYR R + SONS CO 207,199 80,178 5,925 DOVER CORP 251,755 196,058 1,987 DUN + BRADSTREET CORP DEL NEW 49,383 161,364 4,300 EATON CORP 166,977 191,823
See accompanying notes to the financial statements. 32 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Industrials (Cont'd): 19,700 EMERSON ELEC CO $ 559,227 638,280 1,397 ENERGIZERHLDGS INC (b) 87,823 72,979 4,600 EXPEDITORS INTL WA INC 180,973 153,364 2,800 FASTENAL CO 109,422 92,876 8,253 FEDEX CORP 203,089 459,032 1,100 FIRST SOLAR INC (b) 142,678 178,332 1,300 FLOWSERVE CORP 119,620 90,753 4,250 FLUOR CORP NEW 127,616 217,983 2,300 FTI CONSULTING INC (b) 119,264 116,656 900 GARDNER DENVER INC (b) 50,054 22,653 1,400 GATX CORPORATION 24,276 36,008 8,700 GENERAL DYNAMICS CORP 397,697 481,893 258,100 GENERAL ELEC CO 5,331,370 3,024,932 700 GENERALE CABLE CORP (b) 50,306 26,306 1,000 GLOBAL PMTS INC 33,115 37,460 3,700 GOODRICH CORP 111,298 184,889 4,100 GRACO INC 162,258 90,282 1,700 GRAINGER W W INC 74,317 139,196 2,200 HARSCO CORP 59,517 62,260 5,000 HEWITT ASSOCS INC (b) 161,225 148,900 17,200 HONEYWELLINTL INC 474,434 540,080 2,400 HUBBELL INC 102,187 76,944 2,100 HUNT J B TRANS SVCS INC 40,530 64,113 2,500 IDEX CORP 58,238 61,425 11,924 ILLINOIS TOOL WKS INC 497,186 445,242 5,400 IRON MTN INC PA (b) 121,527 155,250 3,600 ITT CORP NEW 168,296 160,200 1,300 ITT EDL SVCS INC (b) 52,038 130,858 3,000 JABIL CIRCUIT INC 49,755 22,260 4,768 JACOBS ENGR GROUP INC (b) 150,683 200,685 2,238 JOY GLOBAL INC 102,549 79,941 2,900 KANSAS CITY SOUTHERN (b) 46,328 46,719 1,700 KBR INC 31,340 31,348 2,700 L 3 COMMUNICATIONS HLDG CORP 176,123 187,326 1,200 LANDSTAR SYS INC 38,351 43,092 1,100 LINCOLN ELEC HLDGS INC 60,456 39,644 8,700 LOCKHEED MARTIN CORP 604,797 701,655 2,600 MANITOWOC INC 107,595 13,676 2,475 MANPOWER INC WIS 96,158 104,792 8,800 MASCO CORP 173,216 84,304 8,600 MCDERMOTTINTL INC (b) 230,361 174,666 2,500 MOLEX INC 68,986 38,875 4,900 MONSTER WORLDWIDE INC (b) 76,056 57,869 600 NAVISTAR INTL CORP INC (b) 25,923 26,160 9,960 NORFOLK SOUTHN CORP 358,053 375,193 8,160 NORTHROP GRUMMAN CORP 460,053 372,749 1,700 OVERSEAS SHIPHOLDING GROUP INC 109,761 57,868 5,600 OWENS CORNING NEW (b) 130,330 71,568 11,089 PACCAR INC 192,792 360,503 2,200 PALL CORP 55,214 58,432 3,950 PARKER HANNIFIN CORP 212,565 169,692 2,200 PENTAIR INC 72,761 56,364 5,700 PITNEY BOWES INC 182,172 125,001 2,800 PRECISIONCASTPARTS CORP 183,293 204,484 5,300 QUANTA SERVICES INC (b) 92,074 122,589 10,100 RAYTHEON CO 403,423 448,743 2,200 RELIANCE STL + ALUM CO 61,215 84,458 9,022 REPUBLIC SVCS INC 172,639 220,227 3,300 ROBERT HALF INTL INC 85,171 77,946
See accompanying notes to the financial statements. 33 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Industrials (Cont'd): 5,850 ROCKWELL AUTOMATION INC $ 82,443 187,902 6,514 ROCKWELL COLLINS INC 230,297 271,829 1,600 ROPER INDS 104,136 72,496 1,800 SHAW GROUP INC (b) 92,083 49,338 27,375 SOUTHWEST AIRLS CO 284,393 184,234 1,300 SPIRIT AEROSYSTEMS HLDGS INC (b) 24,954 17,862 1,400 SPX CORP 92,591 68,558 2,880 STERICYCLE INC (b) 153,242 148,406 2,300 SUNPOWER CORP (b) 134,286 61,272 500 TELEFLEX INC 22,515 22,415 1,300 TEREX CORP NEW (b) 60,843 15,691 6,750 TEXTRON INC 147,724 65,205 1,790 TOTAL SYS SVCS INC 55,518 23,968 1,500 TRINITY INDS INC 41,498 20,430 12,400 UNION PACCORP 479,948 645,544 17,040 UNITED PARCEL SVC INC 1,128,804 851,830 22,250 UNITED TECHNOLOGIES CORP 892,889 1,156,110 2,500 URS CORP NEW (b) 94,338 123,800 4,600 USG CORP (b) 41,137 46,322 2,300 UTI WORLDWIDE INC (b) 26,669 26,220 2,100 WALTER INDS INC 49,711 76,104 10,950 WASTE MGMT INC DEL 214,223 308,352 -------------- ----------- 25,422,646 23,999,908 10.52% Information technology: 14,700 ACCENTURELTD BERMUDA (d) 560,241 491,862 15,400 ACTIVISION BLIZZARD INC (b) 141,131 194,502 14,524 ADOBE SYSINC (b) 368,313 411,029 24,400 ADVANCED MICRO DEVICES INC (b) 115,918 94,428 2,200 AFFILIATED COMPUTER SVCS INC (b) 100,152 97,724 10,400 AGILENT TECHNOLOGIES INC (b) 250,955 211,224 3,300 AKAMAI TECHNOLOGIES INC (b) 45,920 63,294 1,900 ALLIANCE DATA SYSTEMS CORP (b) 92,734 78,261 1,800 ALLSCRIPT MISYS HEALTCAR SOLNS 26,667 28,548 6,400 ALTERA CORP 120,963 104,192 5,300 AMDOCS LTD (b) 161,841 113,685 4,000 AMPHENOL CORP NEW 168,180 126,560 9,400 ANALOG DEVICES INC 135,404 232,932 1,200 ANSYS INC (b) 30,630 37,392 21,700 APPLE INC (b) 1,116,513 3,090,731 34,100 APPLIED MATERIALS INC 462,127 374,077 2,200 ARROW ELECTRS INC (b) 73,136 46,728 5,486 AUTODESK INCORPORATED (b) 183,162 104,124 12,566 AUTOMATIC DATA PROCESSING INC 439,957 445,339 3,600 AVNET INC (b) 98,190 75,708 4,550 BMC SOFTWARE INC (b) 89,322 153,745 14,412 BROADCOM CORP (b) 279,029 357,273 3,080 BROADRIDGE FINL SOLUTIONS INC 52,817 51,066 10,925 CA INC 208,510 190,423 9,000 CADENCE DESIGN SYS INC (b) 147,531 53,100 2,900 CERNER CORP (b) 130,834 180,641 147,950 CISCO SYSINC (b) 980,596 2,757,788 4,534 CITRIX SYS INC (b) 56,437 144,589 6,800 COGNIZANT TECHNOLOGY SOLUTIONS (b) 110,051 181,560 2,074 COMMSCOPEINC (b) 90,418 54,463 5,322 COMPUTER SCIENCES CORP (b) 246,664 235,765 8,000 COMPUWARECORP (b) 54,024 54,880 41,300 CORNING INC 518,972 663,278 1,200 CREE INC (b) 28,926 35,268
See accompanying notes to the financial statements. 34 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Information technology (Cont'd): 2,700 CYPRESS SEMICONDUCTOR CORP (b) $ 8,499 24,840 47,350 DELL INC (b) 1,115,339 650,116 32,200 EBAY INC (b) 338,565 551,586 6,800 ELECTRONIC ARTS INC (b) 291,314 147,696 49,310 EMC CORP (b) 424,991 645,961 1,900 EQUINIX INC (b) 147,260 138,206 1,400 F5 NETWORKS INC (b) 32,375 48,426 1,600 FAIRCHILDSEMICONDUCTOR INTL (b) 21,840 11,184 4,742 FIDELITY NATL INFORMATION SVC 96,711 94,650 2,050 FISERV INC (b) 18,488 93,685 2,700 FLIR SYS INC (b) 97,278 60,912 5,967 GOOGLE INC (b) 2,011,528 2,515,628 2,800 HARRIS CORP DEL 37,337 79,408 61,627 HEWLETT PACKARD CO 1,229,895 2,381,884 2,710 IAC INTERACTIVECORP (b) 66,598 43,496 1,200 IHS INC (b) 65,421 59,844 6,300 INGRAM MICRO INC (b) 83,129 110,250 6,110 INTEGRATED DEVICE TECHNOLOGY (b) 79,318 36,904 141,100 INTEL CORP 880,006 2,335,205 33,700 INTERNATIONAL BUSINESS MACHS 2,921,985 3,518,954 7,800 INTERSIL CORP 123,552 98,046 7,800 INTUIT (b) 187,603 219,648 400 ITRON INC (b) 22,946 22,028 14,267 JUNIPER NETWORKS INC (b) 289,096 336,701 3,000 KLA TENCOR CORP 101,654 75,750 3,000 LAM RESH CORP (b) 83,706 78,000 2,371 LENDERPROCESSING SVCS INC 76,903 65,843 1,800 LEXMARK INTL INC (b) 75,928 28,530 10,000 LINEAR TECHNOLOGY CORP 263,333 233,500 28,600 LSI CORP (b) 120,263 130,416 1,100 MACROVISION SOLUTIONS CORP (b) 24,569 23,991 10,300 MARVELL TECHNOLOGY GROUP LTD (b) (d) 105,209 119,892 1,900 MASTERCARD INC 215,138 317,889 1,600 MAXIM INTEGRATED PRODS INC 25,608 25,104 3,900 MCAFEE INC (b) 96,027 164,541 6,914 MEMC ELECTR MATLS INC (b) 212,290 123,138 4,267 METAVANTE TECHNOLOGIES INC (b) 97,561 110,345 1,300 METTLER TOLEDO INTL INC (b) 87,484 100,295 5,400 MICROCHIP TECHNOLOGY INC 101,340 121,770 15,700 MICRON TECHNOLOGY INC (b) 70,415 79,442 1,000 MICROS SYS INC (b) 26,215 25,320 196,550 MICROSOFT CORP 2,410,787 4,671,994 47,200 MOTOROLA INC 264,087 312,936 4,400 NATIONAL SEMICONDUCTOR CORP 72,388 55,220 4,000 NCR CORP NEW (b) 85,604 47,320 8,800 NETAPP INC (b) 216,784 173,536 5,200 NOVELL INC (b) 31,071 23,556 2,800 NOVELLUS SYS INC (b) 70,810 46,760 7,100 NUANCE COMMUNICATIONS INC (b) 101,494 85,839 17,750 NVIDIA CORP (b) 191,401 200,398 6,700 ON SEMICONDUCTOR CORP (b) 63,550 45,962 93,962 ORACLE CORP 442,963 2,012,666 7,266 PAYCHEX INC 101,485 183,103 3,400 PERKINELMER INC 53,706 59,160 3,200 PMC SIERRA INC (b) 26,160 25,472 5,700 QLOGIC CORP (b) 82,128 72,276 39,050 QUALCOMM INC 1,029,224 1,765,060 4,500 RAMBUS INC DEL (b) 79,087 69,705 4,200 RED HAT INC (b) 61,669 84,546
See accompanying notes to the financial statements. 35 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Information technology (Cont'd): 6,000 SAIC INC (b) $ 112,830 111,300 2,100 SALESFORCE COM INC (b) 102,263 80,157 7,800 SANDISK CORP (b) 118,234 114,582 9,300 SEAGATE TECHNOLOGY 87,467 97,278 500 SOHU COM INC (b) 36,563 31,415 16,356 SUN MICROSYSTEMS INC (b) 245,164 150,802 21,819 SYMANTEC CORP (b) 187,612 339,504 4,200 SYNOPSYS INC (b) 88,560 81,942 11,950 TELLABS INC (b) 70,500 68,474 4,500 TERADATA CORP (b) 73,317 105,435 36,600 TEXAS INSTRS INC 758,380 779,580 3,800 TRIMBLE NAVIGATION LTD (b) 87,764 74,594 6,800 VERISIGN INC (b) 137,208 125,664 3,500 VISHAY INTERTECHNOLOGY INC (b) 24,203 23,765 800 VMWARE INC (b) 24,132 21,816 5,900 WESTERN DIGITAL CORP (b) 91,433 156,350 18,044 WESTERN UN CO 160,005 295,922 14,250 XEROX CORP 94,483 92,340 6,750 XILINX INC 47,180 138,105 31,340 YAHOO INC (b) 473,723 490,784 -------------- ------------- 28,466,388 40,900,519 17.93% Materials: 5,175 AIR PRODS+ CHEMS INC 327,857 334,253 1,900 AIRGAS INC 100,686 77,007 4,316 AK STL HLDG CORP 137,899 82,824 1,900 ALBEMARLE CORP 53,108 48,583 26,400 ALCOA INC 609,187 272,712 4,500 ALLEGHENY TECHNOLOGIES INC 165,665 157,185 1,400 ALPHA NAT RES INC (b) 35,679 36,778 5,300 ARCH COAL INC 47,687 81,461 900 ASHLAND INC NEW 22,820 25,245 3,032 BALL CORP 70,662 136,925 4,200 BEMIS CO INC 93,645 105,840 2,600 CELANESE CORP DE 126,875 61,750 2,700 CLIFFS NAT RES INC 67,919 66,069 500 COMPASS MINERALS INTL INC 27,453 27,455 4,300 CROWN HLDGS INC (b) 74,494 103,802 3,537 CYTEC INDS INC 195,563 65,859 26,550 DOW CHEM CO 848,889 428,517 25,325 DU PONT EI DE NEMOURS + CO 1,012,294 648,827 2,338 EAGLE MATLS INC 47,204 59,011 1,000 EASTMAN CHEM CO 32,854 37,900 4,471 ECOLAB INC 168,776 174,324 1,900 FMC CORP 113,204 89,870 9,748 FREEPORT MCMORAN COPPER + GOLD 489,522 488,472 1,700 GREIF INC 77,348 75,174 5,100 HUNTSMAN CORP 96,099 25,653 13,931 INTERNATIONAL PAPER CO 292,674 210,776 1,000 INTREPID POTASH INC (b) 30,875 28,080 4,883 INTRNTNL FLAVRS + FRAGRNCS INC 105,046 159,772 1,400 JARDEN CORP (b) 25,277 26,250 1,500 LUBRIZOL CORP 72,108 70,965 700 MARTIN MARIETTA MATLS INC 27,965 55,216 6,975 MEADWESTVACO CORP 124,312 114,460 13,615 MONSANTO CO NEW 336,553 1,012,139 4,800 MOSAIC CO 139,447 212,640 12,445 NEWMONT MNG CORP 325,903 508,627 5,900 NUCOR CORP 100,351 262,137 4,950 OWENS ILLINC (b) 91,031 138,650
See accompanying notes to the financial statements. 36 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Materials (Cont'd): 3,200 PACKAGING CORP AMER 55,674 51,840 3,850 PACTIV CORP (b) 52,072 83,545 3,086 PPG INDS INC 144,348 135,475 7,650 PRAXAIR INC 343,228 543,686 4,648 RAYONIER INC 106,877 168,955 900 ROYAL GOLD INC 39,371 37,530 6,000 RPM INTL INC 61,643 84,240 700 SCOTTS MIRACLE GRO CO 25,183 24,535 3,400 SEALED AIR CORP NEW 82,806 62,730 3,200 SIGMA ALDRICH 187,446 158,592 5,200 SONOCO PRODS CO 127,607 124,540 5,400 SOUTHERN COPPER CORP DEL 64,881 110,376 3,600 STEEL DYNAMICS INC 87,525 53,028 2,000 TEMPLE INLAND INC 22,890 26,240 2,349 TITANIUM METALS CORP 62,648 21,587 3,100 UNITED STS STL CORP NEW 160,947 110,794 3,200 VALSPAR CORP 68,240 72,096 2,157 VULCAN MATLS CO 120,017 92,967 -------------- ------------- 8,528,326 8,473,964 3.72% Telecommunication services: 6,950 AMERICAN TOWER CORP (b) 121,100 219,134 146,215 AT+T INC 3,686,100 3,631,981 3,450 CENTURYTEL INC 93,913 105,915 9,300 CROWN CASTLE INTL CORP (b) 223,954 223,386 3,040 ECHOSTAR CORP (b) 67,049 48,458 3,992 EMBARQ CORP 121,233 167,904 11,525 FRONTIER COMMUNICATIONS CORP 88,166 82,289 8,000 JDS UNIPHASE CORP (b) 111,480 45,760 700 LEAP WIRELESS INTL INC (b) 36,068 23,051 9,253 LIBERTY GLOBAL INC (b) 219,268 147,030 7,100 METROPCS COMMUNICATIONS INC (b) 117,569 94,501 4,800 NEUSTAR INC (b) 79,848 106,368 2,400 NII HLDGS INC (b) 47,508 45,768 36,300 QWEST COMMUNICATIONS INTL INC 134,207 150,645 3,100 SBA COMMUNCATIONS CORP (b) 83,846 76,074 78,266 SPRINT NEXTEL CORP (b) 349,679 376,459 2,700 TELEPHONE+ DATA SYS INC 72,097 76,410 2,300 TW TELECOM INC (b) 25,312 23,621 1,980 UNITED STATES CELLULAR CORP (b) 99,059 76,131 69,683 VERIZON COMMUNICATIONS 2,312,815 2,141,359 11,424 WINDSTREAM CORP 138,133 95,505 -------------- ------------- 8,228,403 7,957,747 3.49% Utilities: 24,467 AES CORP (b) 353,174 284,062 4,500 AGL RES INC 135,198 143,100 3,000 ALLEGHENY ENERGY INC 168,525 76,950 1,000 ALLIANT ENERGY CORP 24,835 26,130 5,400 AMEREN CORP 209,724 134,406 9,200 AMERICAN ELEC PWR INC 309,797 265,788 3,488 AQUA AMERINC 67,899 62,435 18,600 CALPINE CORP (b) 123,969 207,390 5,800 CENTERPOINT ENERGY INC 66,308 64,264 10,200 CMS ENERGY CORP 144,342 123,216 6,600 CONSOLIDATED EDISON INC 273,555 246,972 3,515 CONSTELLATION ENERGY GROUP INC 156,028 93,429 13,562 DOMINION RES INC VA NEW 478,679 453,242 1,100 DPL INC 24,481 25,487 5,300 DTE ENERGY CO 213,573 169,600 30,013 DUKE ENERGY HLDG CORP 391,340 437,890
See accompanying notes to the financial statements. 37 (Continued)
Face Percent amount Market of or shares Security Cost value (a) net assets - ---------- ---------------------------------------------- -------------- ----------- ------------ Utilities (Cont'd): 8,700 DYNEGY INC DEL (b) $ 61,901 19,749 9,425 EDISON INTL 108,441 296,511 4,764 ENTERGY CORP NEW 192,987 369,305 4,000 EQT CORP 132,900 139,640 16,432 EXELON CORP 780,346 841,483 7,216 FIRSTENERGY CORP 371,700 279,620 9,672 FPL GROUPINC 454,710 549,950 2,800 GREAT PLAINS ENERGY INC 43,498 43,540 1,300 HAWAIIAN ELEC INDS INC 24,005 24,778 3,300 INTEGRYS ENERGY GROUP INC 164,560 98,967 1,900 ITC HLDGS CORP 83,876 86,184 7,200 MIRANT CORP NEW (b) 263,250 113,328 2,900 NALCO HLDG CO 58,310 48,836 1,500 NATIONAL FUEL GAS CO N J 38,322 54,120 7,800 NISOURCE INC 128,106 90,948 2,600 NORTHEASTUTILS 64,649 58,006 5,900 NRG ENERGY INC (b) 123,958 153,164 2,700 NSTAR 92,265 86,697 6,200 NV ENERGY INC 76,954 66,898 2,400 OGE ENERGY CORP 43,344 67,968 900 ONEOK INC NEW 26,132 26,541 700 ORMAT TECHNOLOGIES INC 27,311 28,217 6,028 PEPCO HLDGS INC 119,419 81,016 5,100 PETROHAWK ENERGY CORP (b) 129,577 113,730 7,700 PG+E CORP 145,781 295,988 2,400 PINNACLE WEST CAP CORP 71,637 72,360 9,787 PPL CORP 311,030 322,580 6,131 PROGRESS ENERGY INC 230,254 231,936 12,084 PUBLIC SVC ENTERPRISE GROUP 368,836 394,301 5,800 QUESTAR CORP 66,188 180,148 12,600 RRI ENERGY INC (b) 161,722 63,126 4,800 SCANA CORP NEW 166,536 155,856 4,700 SEMPRA ENERGY 234,783 233,261 19,259 SOUTHERN CO 545,610 600,110 2,200 SOUTHERN UN CO NEW 28,347 40,458 14,554 SPECTRA ENERGY CORP 253,079 246,254 7,600 TECO ENERGY INC 90,842 90,668 6,500 UGI CORP NEW 139,688 165,685 1,400 WESTSTAR ENERGY INC 25,767 26,278 3,710 WISCONSIN ENERGY CORP 71,536 151,034 12,125 XCEL ENERGY INC 108,918 223,221 -------------- ------------- 9,772,497 10,046,820 4.41% Cash equivalents: 429,779 SSGA MONEY MARKET FUND, current rate 0.22% 429,779 429,779 -------------- ------------- 429,779 429,779 0.19% -------------- ------------- ------- Grand total (c) $ 205,587,492 227,813,322 99.89% ============== ============= =======
Notes to investments in securities: (a) Securities are valued in accordance with procedures described in note 2 to the December 31, 2008 financial statements. (b) Currently non-income producing assets. (c) At June 30, 2009, the cost for Federal income tax purposes was $205,865,914. The aggregate gross unrealized appreciation and depreciation of investments in securities based of this cost were as follows: Gross unrealized appreciation $ 48,099,008 Gross unrealized depreciation (26,151,600) --------------- Net unrealized appreciation $ 21,947,408 =============== (d) Foreign security values are stated in U.S. dollars. As of June 30, 2009 the value of foreign securities represented 0.27% of net assets. See accompanying notes to the financial statements. 38 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund June 30, 2009 (unaudited) Clearwater Small Cap Fund Portfolio Diversification (as a percentage of net assets) [THE FOLLOWING TABLE WAS REPRESENTED AS PIE CHART IN THE PRINTED MATERIAL.] Cash Equivalent 1% Consumer Discretionary 10% Consumer Staples 9% Energy 15% Financials 14% Healthcare 11% Industrials 12% Information Technology 16% Materials 5% Telecommunications 3% Utilities 4% See accompanying notes to the financial statements. 39 CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund (unaudited) June 30, 2009
Face Percent amount Fair of or shares Security Cost value (a) net assets - --------- --------------------------------------------- -------------- ------------- ------------ Common stocks: Consumer discretionary: 19,250 AFC ENTERPRISES INC (b) $ 121,439 129,938 5,150 ANNTAYLOR STORES CORP (b) 35,971 41,097 32,800 CENTURY CASINOS INC (b) 44,773 97,744 3,650 CKE RESTAURANTS INC 29,640 30,952 7,250 COLE KENNETH PRODTNS INC 51,887 50,968 30,100 DENNYS CORP (b) 72,199 64,715 20,225 FUEL SYS SOLUTIONS INC (b) 505,139 408,343 30,000 GAYLORD ENTMT CO NEW (b) 783,218 381,300 113,600 HANCOCK FABRICS INC (b) 47,051 126,096 357,467 HANDLEMANCO DEL (b) 498,524 11,796 26,500 HANESBRANDS INC (b) 605,173 397,765 45,830 JO ANN STORES INC (b) 522,900 947,306 10,000 MIDAS INC (b) 103,374 104,800 6,350 MONRO MUFFLER BRAKE INC 160,887 163,259 25,000 ORIENT EXPRESS HOTELS LTD (b) (d) 520,045 212,250 281,495 PACIFIC SUNWEAR OF CALIF (b) 1,012,716 948,638 24,521 PHILLIPS VAN HEUSEN CORP 764,377 703,507 36,338 RED ROBIN GOURMET BURGERS INC (b) 643,117 681,338 45,000 SAKS INC (b) 758,428 199,350 4,258 SHOE CARNIVAL INC (b) 47,017 50,798 12,000 SNAP ON INC 552,421 344,880 12,100 TRACTOR SUPPLY CO (b) 407,601 499,972 11,850 VAIL RESORTS INC (b) 430,566 317,817 13,000 WABCO HLDGS INC (b) 614,201 230,100 75,515 WABTEC 2,418,320 2,429,318 16,000 WABTEC 424,579 514,720 27,050 WMS INDUSTRIES INC (b) 551,592 852,346 30,000 WYNDHAM WORLDWIDE CORP 766,350 363,600 -------------- ------------- 13,493,505 11,304,711 7.18% Consumer staples: 20,850 ALLION HEALTHCARE INC (b) 117,807 124,058 29,410 AMERICAN ITALIAN PASTA CO (b) 728,127 857,007 14,240 CHATTEM INC (b) 764,765 969,744 4,200 CHIQUITA BRANDS INTL INC (b) 43,108 43,092 23,000 DR PEPPERSNAPPLE GROUP INC (b) 361,424 487,370 27,000 FLOWERS FOODS INC 511,723 589,680 1,650 INGLES MKTS INC 23,628 25,146 2,150 J + J SNACK FOODS CORP 74,314 77,185 84,971 MEDIFAST INC (b) 459,098 973,768 9,950 OMEGA PROTEIN CORP (b) 53,572 40,397 16,050 RALCORP HLDGS INC NEW (b) 897,658 977,766 65,000 SALLY BEAUTY HLDGS INC (b) 562,956 413,400 88,575 SPARTAN STORES INC 1,755,777 1,099,216 25,000 SUPERVALU INC 476,323 323,750 47,460 TREEHOUSE FOODS INC (b) 1,056,377 1,365,424 -------------- ------------- 7,886,656 8,367,003 5.32% Energy: 18,000 COMSTOCK RES INC (b) 530,236 594,900 11,000 CONTANGO OIL + GAS CO (b) 491,222 467,390 41,590 DRIL QUIPINC (b) 974,747 1,584,579 34,000 EXCO RES INC (b) 570,189 439,280 22,000 GOODRICH PETE CORP (b) 668,990 540,980
See accompanying notes to the financial statements. 40 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund (unaudited) June 30, 2009
Face Percent amount Fair of or shares Security Cost value (a) net assets - --------- --------------------------------------------- -------------- ------------- ------------ 25,015 GULFMARK OFFSHORE INC (b) 945,682 690,414 10,100 OIL STATES INTL INC (b) 236,391 244,521 49,625 PENN VA CORP 935,868 812,361 14,000 PLAINS EXPL & PRODTN CO (b) 615,865 383,040 23,000 TESCO CORP (b) 570,490 182,620 25,420 WHITING PETE CORP NEW (b) 766,436 893,767 29,000 WILLBROS GROUP INC (b) 482,574 362,790 -------------- ------------- 7,788,691 7,196,642 4.57% Financials: 21,075 ABINGTON BANCORP INC PENN 188,927 167,757 32,460 AMERICAN CAMPUS CMNTYS INC 615,680 719,963 95,577 AMTRUST FINANCIAL SERVICES 821,133 1,089,578 24,950 ASPEN INSURANCE HOLDINGS LTD 542,201 557,383 30,000 BANKFINANCIAL CORP 512,714 265,800 3,800 BERKSHIRE HILL BANCORP INC 90,155 78,964 6,200 BROOKLINE BANCORP INC DEL 58,884 57,784 52,900 CAPLEASE INC 99,337 146,004 15,050 CENTER FINL CORP CA 43,848 37,926 10,300 CNB FINL CORP MASS (b) 104,072 109,180 33,305 COMMUNITY TR BANCORP INC 943,107 890,909 136,952 CONSECO INC (b) 285,186 324,576 35,700 CORPORATE OFFICE PPTYS TR 1,015,525 1,047,081 5,850 DIME CMNTY BANCORP INC 46,866 53,294 9,800 EAST WEST BANCORP INC 57,774 63,602 15,500 EASTERN INS HLDGS INC 202,517 145,855 47,000 EPOCH HLDG CORP 635,624 406,080 104,270 FIRST FINL BANCORP 785,927 784,110 64,926 FIRST MERCHANTS CORP 1,028,948 521,356 77,000 FIRST NIAGARA FINL GROUP INC 1,110,190 879,340 8,550 FIRST POTOMAC RLTY TR 80,702 83,363 31,000 FORESTAR GROUP INC (b) 678,995 368,280 20,000 GALLAGHER ARTHUR J + CO 372,538 426,800 57,010 HEALTHCARE RLTY TR 954,045 959,478 34,080 HOME FED BANCORP INC MD 450,267 347,275 15,145 HORACE MANN EDUCATORS CORP NEW 130,051 150,996 7,470 HORIZON BANCORP IND 100,149 122,583 11,500 IBERIABANK CORP 529,273 453,215 3,028 INVESTORS TITLE INS CO 83,306 81,453 22,000 LEGG MASON INC 549,294 536,360 49,850 MB FINL INC 508,052 507,972 42,750 MEDICAL PPTYS TR INC 205,947 259,493 107,177 NATIONAL PENN BANCSHARES INC 491,441 494,086 57,195 NATIONAL RETAIL PPTYS INC 967,954 992,333 59,725 NEWALLIANCE BANCSHARES INC 738,878 686,838 27,900 PLATINUM UNDERWRITERS HOLDINGS 828,000 797,661 20,000 PRIVATEBANKCORP INC 668,656 444,800 14,015 PULASKI FINL CORP 125,531 92,499 63,975 RAYMOND JAMES FINANCIAL INC 993,960 1,101,010 21,125 REDWOOD TR INC. 238,944 311,805 31,840 RENASANT CORP 646,921 478,237 2,750 SCBT FINL CORP 63,250 65,148 5,150 SMITHTOWN BANCORP INC 51,500 65,869 4,632 STELLARONE CORP 55,703 59,984 4,150 STEWART INFORMATION SVCS CORP 77,304 59,138 66,350 TEXAS CAPBANCSHARES INC (b) 989,769 1,026,435 35,000 WALTER INV MGMT CORP (b) 465,880 464,800 8,400 WESTFIELD FINL INC NEW 78,184 76,104
See accompanying notes to the financial statements. 41 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund (unaudited) June 30, 2009
Face Percent amount Fair of or shares Security Cost value (a) net assets - --------- --------------------------------------------- -------------- ------------- ------------ 65,000 WESTFIELD FINL INC NEW 695,338 588,900 50,959 WHITNEY HLDG CORP 590,722 466,784 2,850 WSFS FINL CORP 75,648 77,834 -------------- ------------- 22,674,819 20,994,070 13.35% Healthcare: 15,214 AMEDISYS INC (b) 470,740 502,366 118,175 AMERICAN MED SYS HLDGS (b) 1,102,482 1,867,165 18,690 AMERIGROUP CORP (b) 514,837 501,827 21,000 AMERISOURCEBERGEN CORP 346,011 372,540 20,595 BIO IMAGING TECHNOLOGIES INC (b) 112,221 73,730 10,040 BIO RAD LABORATORIES INC (b) 711,115 757,819 157,661 BRUKER CORP (b) 702,056 1,459,941 40,388 CATALYST HEALTH SOLUTIONS INC (b) 810,655 1,007,277 12,000 COVIDIEN LTD 503,805 449,280 26,358 DIGIRAD CORP (b) 28,632 33,738 148,250 ENDOCARE INC (b) 149,140 195,690 34,050 FIVE STAR QUALITY CARE INC (b) 46,880 65,036 105,756 HEALTHSPRING INC (b) 1,343,207 1,148,510 59,523 HEALTHTRONICS INC (b) 118,564 119,641 24,000 HILL ROM HLDGS 479,321 389,280 22,920 HOME DIAGNOSTICS INC DEL (b) 143,623 140,729 55,305 IMMUCOR CORP (b) 1,411,348 760,997 28,000 IMS HEALTH INC 419,289 355,600 8,195 INTEGRAMED AMER INC (b) 61,789 59,496 3,850 INVACARE CORP 65,173 67,953 82,566 KENDLE INTL INC (b) 1,282,453 1,010,608 50,000 LANGER INC (b) 30,631 33,000 71,809 MARTEK BIOSCIENCES CORP 1,765,675 1,518,760 19,100 MAXIMUS INC 657,513 787,875 25,037 NOVAMED EYECARE INC (b) 71,599 98,896 13,617 ORASURE TECHNOLOGIES INC (b) 36,738 33,634 57,235 ORTHOFIX INTERNATIONAL NV (b) (d) 1,064,552 1,431,447 10,000 PATTERSON COS INC (b) 208,266 217,000 28,000 PERRIGO CO 567,665 777,840 22,000 PHARMERICA CORP (b) 426,857 431,860 34,430 PHC INC MASS (b) 48,374 48,374 96,925 PSYCHIATRIC SOLUTIONS INC (b) 1,364,858 2,204,075 118,330 SYMMETRY MED INC (b) 1,440,476 1,102,836 29,500 SYNERGETICS USA INC (b) 48,125 36,285 48,580 THORATEC CORP (b) 866,615 1,300,972 21,025 UNITED THERAPEUTICS CORP DEL (b) 1,380,855 1,752,013 9,150 UNIVERSAL HEALTH SVCS INC 345,891 446,978 4,850 US PHYSICAL THERAPY INC (b) 72,166 72,166 60,395 ZOLL MED CORP (b) 1,008,278 1,168,039 -------------- ------------- 22,228,475 24,801,272 15.76% Industrials: 73,445 ACTUANT CORP 1,155,295 896,029 15,000 ACUITY BRANDS INC 533,328 420,750 27,000 AECOM TECHNOLOGY CORP (b) 628,313 864,000 34,410 ALLIED DEFENSE GROUP INC (b) 162,670 151,404 23,094 APPLIED SIGNAL TECHNOLOGY INC 394,296 589,128 16,200 ASTRONICSCORP (b) 199,005 168,318 2,475 ASTRONICSCORP (b) 32,956 26,297 20,301 AXSYS TECHNOLOGIES INC (b) 774,384 1,088,946 52,155 BE AEROSPACE INC (b) 1,625,673 748,946 14,000 BRINKS CO 399,884 406,420 20,000 BRINKS HOME SEC HLDGS INC (b) 459,348 566,200
See accompanying notes to the financial statements. 42 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund (unaudited) June 30, 2009
Face Percent amount Fair of or shares Security Cost value (a) net assets - --------- --------------------------------------------- -------------- ------------- ------------ 18,000 BUCYRUS INTL INC NEW 429,218 514,080 12,863 CECO ENVIRONMENTAL CORP (b) 32,655 51,195 23,500 CHICAGO BRDG + IRON CO N V (d) 512,687 291,400 16,400 CLARCOR INC 399,483 478,716 56,505 COINSTAR INC (b) 1,715,052 1,508,684 40,000 COLFAX CORP (b) 478,003 308,800 26,000 COVANTA HLDG CORP (b) 490,480 440,960 41,900 CURTISS WRIGHT CORP 1,576,848 1,245,687 122,484 DAYSTAR TECHNOLOGIES INC (b) 301,483 97,987 5,400 ENNIS INC 69,365 67,284 14,500 ENPRO INDS INC (b) 442,045 261,145 23,368 ESCO TECHNOLOGIES INC (b) 918,921 1,046,886 8,500 FLOWSERVE CORP 433,671 593,385 23,500 FOSTER L B CO (b) 542,920 706,645 20,000 FOSTER WHEELER LTD (b) 407,971 475,000 40,140 GARDNER DENVER INC (b) 1,287,203 1,010,324 560,950 GENCORP INC (b) 239,409 275,567 156,450 GENCORP INC (b) 921,900 298,820 19,950 GENESEE & WYO INC (b) 502,922 528,875 14,000 HARSCO CORP 708,406 396,200 9,400 HAWAIIAN HLDGS INC (b) 29,164 56,588 20,365 HEWITT ASSOCS INC (b) 544,862 606,470 45,602 ICF INTL INC (b) 798,860 1,258,159 92,050 ICONIX BRAND GROUP INC (b) 897,317 1,415,729 43,087 II VI INC (b) 991,380 955,239 67,350 INSITUFORM TECHNOLOGIES INC (b) 973,232 1,142,930 4,750 INSTEEL INDS INC 38,537 39,140 46,950 INVENTUREGROUP INC (b) 87,423 115,497 151,800 ITEX CORP (b) 89,132 103,224 40,000 JOHN BEAN TECHNOLOGIES CORP 516,680 500,800 13,300 JOY GLOBAL INC 515,967 475,076 25,000 KANSAS CITY SOUTHERN (b) 582,716 402,750 21,700 KIRBY CORP (b) 518,390 689,843 27,700 KOPPERS HLDGS INC 1,096,440 730,449 58,900 MANITOWOC INC 468,094 309,814 67,450 MCDERMOTT INTL INC (b) 979,168 1,369,910 43,000 MUELLER WTR PRODS INC 654,608 160,820 15,000 SHAW GROUP INC (b) 658,461 411,150 15,500 TENNANT CO 619,331 285,045 18,000 TEREX CORP NEW (b) 593,475 217,260 10,650 THOMAS + BETTS CORP (b) 497,587 307,359 18,000 TIMKEN CO 583,801 307,440 12,000 TYCO INTERNATIONAL LTD BERMUDA (d) 583,430 311,760 11,370 ULTRALIFECORP COM (b) 92,192 81,523 245,626 VALASSIS COMMUNICATIONS INC (b) 345,756 1,500,775 1,600 VSE CORP 44,764 41,856 18,000 WRIGHT EXPRESS CORP (b) 495,073 458,460 -------------- ------------- 33,071,633 30,779,140 19.55% Information technology: 306,935 3COM CORP (b) 622,889 1,445,664 323,546 8X8 INC NEW (b) 323,553 194,128 42,000 ADAPTEC INC (b) 102,391 111,300 84,000 ALLIANCE FIBER OPTIC PRODS INC (b) 71,527 90,720 135,889 ANAREN INC (b) 1,365,527 2,402,518 96,200 AVOCENT CORP (b) 1,826,003 1,342,952 24,725 AXT INC (b) 73,083 34,121 71,450 BLUEPHOENIX SOLUTIONS LTD (b) (d) 168,681 175,053
See accompanying notes to the financial statements. 43 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund (unaudited) June 30, 2009
Face Percent amount Fair of or shares Security Cost value (a) net assets - --------- --------------------------------------------- -------------- ------------- ------------ 28,000 BROADRIDGE FINL SOLUTIONS INC 458,289 464,240 35,280 CACI INTLINC (b) 1,402,922 1,506,809 92,950 CALAMP CORP (b) 62,620 74,360 12,337 CEVA INC (b) 79,599 107,085 217,544 CIBER INC (b) 695,157 674,386 67,725 COMTECH TELECOMMUNICATIONS (b) 1,802,978 2,159,073 13,550 CONCURRENT COMPUTER CORP NEW (b) 48,140 77,371 18,377 DATALINK CORP (b) 52,920 78,102 20,840 DST SYS INC DEL (b) 741,131 770,038 88,029 DYNAMICS RESH CORP (b) 788,360 881,170 29,039 FREQUENCYELECTRS INC (b) 126,463 108,896 88,119 GILAT SATELLITE NETWORKS LTD (b) (d) 448,622 391,248 10,226 GLOBECOMMSYS INC (b) 53,257 73,525 725,700 GRAPHON CORP (b) 201,337 58,056 27,700 GSI TECHNOLOGY INC (b) 82,847 106,922 34,200 HENRY JACK + ASSOC INC 702,928 709,650 7,300 INDUSTRIAL SVCS AMER INC FL 62,421 48,910 11,709 INFOSPACEINC (b) 68,485 77,631 15,050 INTEGRAL SYS INC MD (b) 146,183 125,216 21,100 ITERIS INC NEW (b) 26,871 27,430 20,000 LENDERPROCESSING SVCS INC 548,268 555,400 110,949 LOGICVISION INC DE (b) 90,360 114,277 345,108 LOOKSMART LTD (b) 875,928 458,994 45,675 MACROVISION SOLUTIONS CORP (b) 603,318 996,172 19,055 MEDIWARE INFORMATION SYS INC (b) 88,193 117,188 33,200 MEMSIC INC (b) 64,813 140,768 36,489 MERCURY COMPUTER SYS INC (b) 247,315 337,523 20,900 MICROTUNE INC DEL (b) 50,432 48,906 10,200 O2MICRO INTL LTD (b) (d) 22,350 51,000 20,116 OPNEXT INC (b) 34,049 43,048 3,000 OSI SYS INC (b) 45,757 62,550 5,106 PERVASIVE SOFTWARE INC (b) 24,937 31,096 146,996 RADIANT SYS INC (b) 1,293,614 1,220,067 8,750 RADISYS CORP (b) 53,835 78,838 30,300 REALNETWORKS INC (b) 80,723 90,597 135,867 RF MICRO DEVICES INC (b) 314,478 510,860 364,830 SELECTICAINC DEL (b) 159,131 153,229 42,850 SKILLSOFT PUB LTD CO (b) 322,369 334,230 5,869 SMITH MICRO SOFTWARE INC (b) 32,340 57,634 29,350 SPECTRUM CTL INC (b) 232,736 258,280 2,200 STANDARD MICROSYSTEMS CORP (b) 36,283 44,990 7,260 SUPER MICRO COMPUTER INC (b) 36,957 55,612 9,950 SYMMETRICOM INC (b) 35,121 57,412 25,650 SYNAPTICSINC (b) 643,917 991,373 24,850 TAKE TWO INTERACTIVE SOFTWARE 194,168 235,330 21,690 TELEDYNE TECHNOLOGIES INC (b) 945,577 710,348 69,263 TIER TECHNOLOGIES INC (b) 562,604 531,940 187,235 UNISYS CORP (b) 111,954 282,725 12,300 UNITED ONLINE INC 74,021 80,073 105,297 VIASAT INC (b) 2,085,346 2,699,815 12,062 VICON INDS INC (b) 68,006 69,960 57,978 VIRAGE LOGIC CORP (b) 196,093 260,901 12,375 ZAGG INC (b) 19,544 85,388 23,300 ZILOG INC (b) 55,218 55,454 6,200 ZORAN CORP (b) 33,889 67,580 -------------- ------------- 22,888,826 26,206,126 16.65%
See accompanying notes to the financial statements. 44 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund (unaudited) June 30, 2009
Face Percent amount Fair of or shares Security Cost value (a) net assets - --------- --------------------------------------------- -------------- ------------- ------------ Materials: 17,000 APTARGROUP INC 711,338 574,090 57,050 CALGON CARBON CORP (b) 692,986 792,425 24,150 CARPENTER TECHNOLOGY CORP 432,609 502,562 20,000 CLEARWATER PAPER CORP (b) 457,261 505,800 10,050 COMPASS MINERALS INTL INC 514,062 551,846 10,500 DELTIC TIMBER CORP 503,271 372,435 29,000 GREIF INC 1,556,979 1,282,380 8,902 HAYNES INTL INC (b) 173,083 210,977 14,350 INNOSPEC INC 123,378 154,263 12,250 NORTH AMERN GALVANIZING (b) 43,328 74,235 36,770 ROCK TENN CO 1,040,390 1,403,143 48,548 STAMFORD INDUSTRIAL GROUP INC (b) 362,814 80,104 14,000 TEXAS INDS INC 775,328 439,040 11,900 UFP TECHNOLOGIES INC (b) 68,689 49,623 36,363 WHX CORP (b) 468,130 94,544 42,000 ZEP INC 601,927 506,100 -------------- ------------- 8,525,573 7,593,566 4.82% Utilities: 11,900 ALLEGHENY ENERGY INC 500,010 305,235 21,030 ALLETE INC 671,405 604,613 12,000 ALLETE INC 558,188 345,000 2,300 AMERICAN STS WTR CO 77,315 79,672 28,000 CALPINE CORP (b) 495,994 312,200 6,350 CENTRAL VT PUBLIC SERVICE 132,577 114,935 4,100 CHESAPEAKE UTILS CORP 115,235 133,373 19,000 CLECO CORP NEW 470,134 425,980 9,650 CONNECTICUT WTR SVC INC 234,888 209,309 14,000 ITC HLDGS CORP 638,988 635,040 14,800 MIDDLESEX WTR CO 278,126 213,860 65,245 NEUSTAR INC (b) 1,292,007 1,445,829 32,575 NEUTRAL TANDEM INC (b) 889,415 961,614 68,030 NGP CAP RES CO 1,101,107 399,336 14,000 OTTER TAIL CORP 443,279 305,760 8,250 PENNICHUCK CORP 158,698 188,100 40,000 PETROHAWK ENERGY CORP (b) 448,994 892,000 24,500 PORTLAND GEN ELEC CO 677,887 477,260 154,700 PREMIERE GLOBAL SVCS INC (b) 1,962,782 1,676,948 2,300 SJW CORP 60,522 52,210 25,925 SOUTHWEST GAS CORP 639,058 575,794 17,900 SOUTHWEST WTR CO 86,020 98,808 147,064 SYNIVERSE HLDGS INC (b) 2,023,677 2,357,436 19,150 UNITIL CORP 383,591 394,873 15,000 VECTREN CORP 380,013 351,450 13,150 YORK WTR CO 166,122 201,590 -------------- ------------- 14,886,033 13,758,224 8.74% ETFs: Commodities: 23,000 POWERSHARES DB MULTI SECTOR 591,023 585,350 20,000 SPDR SER TR 503,442 366,600 -------------- ------------- 1,094,465 951,950 0.60% Cash equivalents: 7,484,051 SSGA MONEY MARKET FUND, Current rate 0.22% 7,484,051 7,484,051 4.76% -------------- ------------- --------- Grand Total (c) $ 162,022,728 159,436,754 101.30% ============== ============= =========
Notes to Investments in Securities (a) Securities are valued in accordance with procedures described in note 2 to the financial statements. (b) Currently non-income producing assets. (c) At June 30, 2009, the cost for Federal income tax purposes was $162,022,728. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost were as follows: Gross unrealized appreciation $ 20,330,692 Gross unrealized depreciation (22,916,666) -------------- Net unrealized appreciation $ (2,585,974) ============== (d) Foreign security values are stated in U.S. dollars. As of June 30, 2009, the value of foreign securities represented 1.80% of net assets. See accompanying notes to the financial statements. 45 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Small Cap Fund (unaudited) June 30, 2009 Clearwater Small Cap Fund Portfolio Diversification (as a percentage of net assets) [THE FOLLOWING TABLE WAS REPRESENTED AS PIE CHART IN THE PRINTED MATERIAL.] Cash Equivalent 5% Consumer Discretionary 7% Consumer Staples 5% Energy 4% Financials 13% Healthcare 16% Industrials 19% Information Technology 16% Materials 5% Utilities 9% ETF's Commodities 1% See accompanying notes to the financial statements. 46 CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ Closed-end funds: 47,200 AMERICAN MUN INCOME $ 554,976 554,600 134,900 BLACKROCK LONG TERM MUN 1,395,071 1,193,865 18,200 BLACKROCK MUN BD TR 169,379 233,506 25,100 BLACKROCK MUN INCOME TR II 237,725 302,455 21,837 BLACKROCK MUNI YIELD 275,930 244,356 186,000 BLACKROCK MUNIHOLDINGS FL INSD 2,175,942 2,112,960 59,500 BLACKROCK MUNIHOLDINGS INSD FD 749,861 653,905 71,200 BLACKROCK MUNIYIELD FLA FD INC 905,807 772,520 78,300 BLACKROCK MUNIYIELD INSD FD 1,032,557 889,488 61,100 BLACKROCK MUNIYIELD MI INSD FD 820,293 698,984 34,000 BLACKROCK MUNIYIELD MICH INSD 424,838 365,500 54,700 BLACKROCK MUNIYIELD PA INSD 774,527 672,263 28,100 BLACKROCK MUNIYIELD QUALITY FD 333,747 289,430 12,500 DREYFUS STRATEGIC MUN BD FD 68,613 83,750 202,100 DWS MUN INCOME TR 2,199,611 2,021,000 1,000 EATON VANCE 8,280 10,620 1,100 EATON VANCE INSD MI MUN BD FD 15,510 13,431 26,905 EATON VANCE MUN INCOME TR 286,929 258,019 10,800 FEDERATED PREMIER MUN INCOME 128,672 138,240 84,500 INSURED MUN INCOME FD 1,116,261 1,039,350 57,200 INVESTMENT GRADE MUNI INC FD 772,405 707,564 93,500 MBIA CAP CLAYMORE MANAGED 1,194,493 1,028,500 6,500 MFS HIGH INCOME NUM TR 23,108 26,325 67,200 MORGAN STANLEY DEAN WITTER 507,600 473,088 77,800 MSDW QUAL MUNI INVESTMENT TR 952,004 862,802 85,881 MSDW QUALITY MUNICIPAL INCOM 963,920 924,938 10,299 NEUBERGER BERMAN INTER MUN FD 126,917 128,943 35,600 NUVEEN DIVID ADVANTAGE MUN FD 395,022 440,728 17,000 NUVEEN DIVID ADVANTAGE MUN FD3 185,431 213,350 102,800 NUVEEN FLA INVT QUALITY MUN FD 1,345,366 1,192,480 124,100 NUVEEN FLA QUALITY INCOME MUN 1,726,853 1,499,128 13,500 NUVEEN INSD DIVID ADVANTAGE 181,771 173,070 4,800 NUVEEN MASS PREM INCOME MUN FD 65,734 59,808 30,600 NUVEEN MICH PREM INCOME MUN FD 404,605 343,026 44,600 NUVEEN MUN ADVANTAGE FD INC 522,316 572,664 15,500 NUVEEN N J INVT QUALITY MUN FD 211,528 185,845 10,100 NUVEEN PA DIVID ADVANTAGE MUN 127,549 120,695 48,500 NUVEEN PA INVT QUALITY MUN FD 673,352 566,480 14,400 NUVEEN PREM INCOME MUN FD 2 201,315 179,712 27,100 NUVEEN PREMIER INC 367,653 318,425 116,479 PUTNAM MUN OPPORTUITIES TR 1,333,285 1,147,318 82,800 VAN KAMPEN MERRITT 940,766 989,460 108,000 VAN KAMPEN MERRITT ADVANTAGE 1,260,111 1,073,520 45,200 VAN KAMPEN MERRITT PA 632,310 498,104 25,300 VAN KAMPEN MERRITT SELECT SECT 262,871 242,374 62,177 VAN KAMPEN MERRITT TR INVT 880,329 724,984 22,000 WESTERN ASSET MGNT MUNS FD INC 240,488 244,200 48,606 WESTERN ASSET PARTNERS FD INC 620,291 585,702 12,700 WESTERN INTER MUNI FD INC 111,045 105,410 ------------- ------------- 30,904,966 28,176,886 6.14%
See accompanying notes to the financial statements. 47 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ Municipal bonds: 1,000,000 ABAG FIN AUTH FOR NONPROFIT CO 2/15/2019 5.375 $ 868,508 901,110 750,000 ABILENE TEX HEALTH FACS DEV 11/15/2028 5.150 750,000 694,995 500,000 ADAMS CNTY PA INDL DEV AUTH 8/15/2021 5.875 500,040 520,435 1,500,000 ALABAMA HSG FIN AUTH SINGLE 10/1/2028 5.250 1,500,000 1,511,385 750,000 ALABAMA HSG FIN AUTH SINGLE 4/1/2038 4.500 555,871 640,313 200,000 ALABAMA SPL CARE FACS FING AUT 11/1/2019 5.000 209,038 202,550 1,270,000 ALACHUA CNTY FLA HEALTH FACS A 12/1/2011 6.000 1,270,000 1,271,816 500,000 ALASKA HSG FIN CORP HOME MTG 12/1/2033 5.450 500,000 504,005 250,000 ALASKA INDL DEV + EXPT AUTH CM 12/1/2011 5.450 250,000 243,685 350,000 ALASKA INDL DEV + EXPT AUTH CM 12/1/2010 5.400 350,000 342,475 165,000 ALASKA ST HSG FIN CORP 6/1/2049 6.000 166,516 166,040 1,500,000 ALASKA ST HSG FIN CORP 6/1/2032 5.250 1,277,982 1,500,855 2,000,000 ALASKA ST HSG FIN CORP 12/1/2034 5.250 2,008,801 2,001,680 240,000 ALBANY N Y INDL DEV AGY CIVIC 5/1/2016 6.500 240,000 187,207 250,000 ALBANY N Y INDL DEV AGY CIVIC 4/1/2020 5.000 254,823 206,740 350,000 ALEUTIANS EAST BOROUGH ALASKA 6/1/2025 5.500 313,976 242,697 500,000 ALEXANDRIA VA REDEV + HSG AUTH 10/1/2029 6.125 527,558 507,540 1,025,000 ALISAL CALIF UN SCH DIST ( c) 8/1/2025 6.221 388,207 395,650 350,000 ALLEGHENY CNTY PA HOSP DEV AUT 4/1/2010 3.875 348,665 349,150 250,000 AMHERST N Y INDL DEV AGY CIVIC 1/1/2013 4.875 250,000 240,183 500,000 ANDERSON IND ECONOMIC DEV REV 10/1/2021 4.750 495,856 405,025 410,000 ARBOR GREENE CMNTY DEV DIST FL 5/1/2019 5.000 417,316 375,269 500,000 ARIZONA HEALTH FACS AUTH 10/1/2010 4.750 500,000 492,315 1,084,857 ARIZONA HEALTH FACS AUTH REV 7/1/2027 5.250 1,053,259 772,537 1,750,000 ARLINGTON TEX SPL OBLIG 8/15/2034 5.000 1,878,165 1,757,683 900,000 ATLANTA GA TAX ALLOCATION 1/1/2020 5.400 894,743 764,586 650,000 ATOKA CNTY OKLA HEALTHCARE 10/1/2018 5.875 642,450 505,200 630,000 AUSTIN TEX CONVENTION ENTERPRI 1/1/2012 6.000 575,472 605,550 50,000 AUSTIN TEX UTIL SYS REV 5/15/2018 5.250 50,065 50,126 400,000 AVE MARIA STEWARDSHIP CMNTY DE 11/1/2012 4.800 399,699 270,156 250,000 BAPTIST RD RURAL TRANSN AUTH 12/1/2017 4.800 250,000 185,488 495,000 BELMONT CMNTY DEV DIST FLA CAP (b) 11/1/2014 5.125 494,412 133,353 500,000 BERKELEY CNTY S C SCH DIST INS 12/1/2024 5.250 514,850 503,700 500,000 BERKELEY CNTY S C SCH DIST INS 12/1/2019 5.250 519,622 511,020 750,000 BERKELEY CNTY S C SCH DIST INS 12/1/2020 5.000 759,710 755,843 300,000 BEXAR CNTY TEX HEALTH FACS DEV 7/1/2027 5.000 308,554 212,343 250,000 BEXAR CNTY TEX HSG FIN CORP MU 12/1/2021 6.500 268,276 201,010 805,000 BEXAR CNTY TEX HSG FIN CORP MU 4/1/2030 9.000 802,458 562,848 1,005,000 BEXAR CNTY TEX HSG FIN CORP MU (b) 6/1/2031 10.500 1,005,000 403,216 940,000 BEXAR CNTY TEX HSG FIN CORP MU 12/1/2036 9.250 917,085 707,021 570,000 BEXAR CNTY TEX HSG FIN CORP MU 8/1/2030 8.125 549,848 424,810 465,000 BEXAR CNTY TEX HSG FIN CORP MU 9/15/2021 8.750 465,000 444,503 100,000 BEXAR CNTY TEX HSG FIN CORP MU 6/1/2011 5.500 99,360 94,412 250,000 BEXAR CNTY TEX HSG FIN CORP MU 8/1/2030 6.100 251,870 188,055 500,000 BIRMINGHAM-SOUTHERN COLLEGE AL 12/1/2019 5.350 504,996 407,945 140,000 BIRMINGHAM-SOUTHERN COLLEGE AL 12/1/2025 6.125 142,746 111,838 350,000 BISHOP INTL ARPT AUTH MICH 12/1/2017 5.125 346,821 324,072 100,000 BISMARCK STATE COLLEGE 4/1/2032 5.010 101,764 94,382 650,000 BI-STATE DEV AGY MO ILL MET 10/1/2033 5.250 650,730 636,844 275,000 BLOUNT CNTY TENN HEALTH + EDL 4/1/2012 4.750 274,569 265,496 250,000 BLUE ASH OHIO TAX INCREMENT 12/1/2021 5.000 253,152 221,960 240,000 BLYTHE CALIF REDEV AGY REDEV P 5/1/2028 5.800 192,720 192,293 500,000 BOONE CNTY IND REDEV COMMN 8/1/2023 5.375 505,867 454,160
See accompanying notes to the financial statements. 48 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 750,000 BOONE CNTY IND REDEV COMMN 8/1/2028 5.000 $ 740,888 621,495 500,000 BOONE CNTY MO HOSP REV 8/1/2028 5.750 517,842 486,430 700,000 BOSTON MASS REV 10/1/2031 6.125 701,831 719,789 150,000 BRANSON COMM PK CMNTY IMPT 6/1/2010 5.000 149,666 149,204 750,000 BRAZOS CNTY TEX HEALTH FAC DEV 1/1/2032 5.375 772,132 634,575 500,000 BRAZOS CNTY TEX HEALTH FAC DEV 1/1/2033 5.500 505,646 422,205 400,000 BRAZOS RIV TEX HBR NAV DIST 5/15/2033 4.950 400,000 299,892 500,000 BREVARD CNTY FLA HEALTH FACS 4/1/2036 5.000 466,505 390,225 234,000 BRIDGEVILLE DEL SPL OBLIG 7/1/2035 5.125 234,000 155,921 250,000 BROWNSBURG IND REDEV AUTH ECON 2/1/2029 4.700 250,000 235,098 250,000 BROWNSBURG IND REDEV AUTH ECON 8/1/2024 4.625 250,000 237,093 50,000 BROWNSVILLE TEX ( c) 2/15/2011 4.890 45,903 46,480 895,000 BUCKEYE OHIO TOB SETTLEMENT 6/1/2024 5.125 858,573 723,276 165,000 BULLHEAD CITY ARIZ SPL ASSMT 1/1/2010 6.100 165,876 165,724 750,000 BUNCOME CNTY N C PROJ DEV FING 8/1/2024 6.750 736,765 615,840 250,000 BURKE CNTY GA DEV AUTH POLLUTN 10/1/2032 4.375 250,000 256,473 750,000 BURLINGTON KANS POLLUTION CTL 6/1/2031 5.300 758,060 726,353 395,000 BUTLER CNTY PA GEN AUTH REV 10/1/2034 1.509 395,000 237,494 360,000 CALIFORNIA CMNTYS HSG FIN AGY 10/1/2011 5.000 359,673 343,793 180,000 CALIFORNIA CMNTYS HSG FIN AGY 12/1/2011 5.000 179,825 169,994 145,000 CALIFORNIA CMNTYS HSG FIN AGY 8/1/2012 4.650 144,797 136,110 260,000 CALIFORNIA CMNTYS HSG FIN AGY 11/1/2012 4.850 259,331 244,457 140,000 CALIFORNIA CNTY CALIF TOB SECU 6/1/2023 5.625 134,331 131,034 185,000 CALIFORNIA CNTY CALIF TOB SECU 6/1/2019 4.750 179,653 173,469 150,000 CALIFORNIA CNTY CALIF TOB SECU 6/1/2021 4.500 148,227 118,482 500,000 CALIFORNIA CNTY CALIF TOB SECU 6/1/2036 5.000 494,880 302,905 500,000 CALIFORNIA HEALTH FACS FING 3/1/2033 5.000 504,979 413,095 500,000 CALIFORNIA HEALTH FACS FING 4/1/2010 5.300 503,981 504,075 500,000 CALIFORNIA HSG FIN AGY REV 8/1/2033 5.450 480,526 497,980 750,000 CALIFORNIA MUN FIN AUTH ED REV 6/1/2026 5.250 744,375 597,923 500,000 CALIFORNIA MUN FIN AUTH REV 5/1/2025 6.875 498,786 502,595 40,000 CALIFORNIA ST 10/1/2020 5.250 40,982 39,936 1,000,000 CALIFORNIA ST PUB WKS BRD LEAS 3/1/2016 5.625 976,929 1,002,980 750,000 CALIFORNIA STATEWIDE CMNTYS 6/1/2017 5.400 747,577 607,230 750,000 CALIFORNIA STATEWIDE CMNTYS 4/1/2037 5.125 757,352 520,598 200,000 CALIFORNIA STATEWIDE CMNTYS DE 4/20/2036 7.000 200,000 213,414 350,000 CALIFORNIA STATEWIDE CMNTYS DE 9/1/2029 6.000 350,000 279,405 615,000 CALIFORNIA STATEWIDE CMNTYS DE 11/20/2036 6.150 650,471 689,489 500,000 CALIFORNIA STATEWIDE CMNTYS DE 5/15/2032 5.750 493,066 431,715 400,000 CALIFORNIA STATEWIDE CMNTYS DE 8/15/2031 5.500 371,061 383,200 350,000 CAMBRIDGE PA AREA JT AUTH GTD 12/1/2028 5.625 341,694 309,715 1,250,000 CAMERON TEX ED CORP REV 8/15/2021 5.000 1,074,015 906,438 80,000 CAPE GIRARDEAU CNTY MO INDL DE 6/1/2032 5.750 82,959 69,643 335,000 CAPITAL TR AGY FLA MULTIFAMILY 6/1/2013 4.750 335,000 292,418 750,000 CAPITAL TR AGY FLA MULTIFAMILY 6/1/2038 5.875 763,383 461,295 1,294,963 CARLSBAD N M INDL DEV REV 4/15/2021 5.750 1,331,436 1,066,816 125,000 CARSON CITY NEV HOSP REV 9/1/2031 5.750 130,254 103,979 750,000 CARTHAGE MO HOSP REV 4/1/2010 4.500 746,465 741,375 1,000,000 CENTER UNI SCH DIST CALIF ( c) 8/1/2031 6.074 270,390 221,620 900,000 CENTINELA VALLEY CALIF UN HIGH 8/1/2033 5.500 912,174 787,203 280,000 CENTRAL NINE IND CAREER CTR BL 1/15/2018 4.500 279,003 281,375 595,000 CHANDLER PARK ACADEMY MICH 11/1/2022 5.000 430,711 463,517 270,000 CHARLESTON CNTY S C HOSP FACS 10/1/2019 5.500 277,231 275,044 400,000 CHARTIERS VALLEY PA INDL + COM 8/15/2012 5.000 398,277 388,228
See accompanying notes to the financial statements. 49 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 150,000 CHATHAM CNTY GA HOSP AUTH REV 1/1/2016 5.250 $ 150,557 144,483 500,000 CHATHAM CNTY GA HOSP AUTH REV 1/1/2034 5.500 520,735 374,520 500,000 CHAWANAKEE CALIF UNI SCH DIST 5/1/2039 6.250 500,000 501,860 500,000 CHEROKEE NATION OF OKLA HEALTH 12/1/2021 4.600 500,000 426,040 250,000 CHESTERFIELD CNTY VA INDL DEV 6/1/2017 5.875 255,796 257,990 275,000 CHESTERFIELD CNTY VA INDL DEV 7/1/2019 5.200 254,338 278,625 20,000 CHICAGO ILL MET HSG DEV CORP M 7/1/2022 6.850 20,589 20,030 500,000 CITIZEN POTAWATOMI NATION OKLA 9/1/2016 6.500 500,000 477,080 250,000 CLARK CNTY NEV ECONOMIC DEV RE 5/15/2033 5.375 254,333 233,590 455,000 CLARK CNTY NEV IMPT DIST 2/1/2019 5.000 456,680 279,270 250,000 CLARK CNTY NEV POLLUTN CTL REV 10/1/2011 5.300 250,000 241,778 355,000 CLEARWATER FLA HSG AUTH REV 5/1/2024 5.350 255,161 260,101 500,000 CLEVELAND CNTY OKLA JUSTICE 3/1/2029 5.750 487,924 506,990 515,000 CLEVELAND-CUYAHOGA CNTY OHIO P 5/15/2016 6.250 486,170 480,979 1,110,000 CLEVELAND-CUYAHOGA CNTY OHIO P 5/15/2023 5.250 982,574 833,976 750,000 CLIFTON TEX HIGHER ED FIN CORP 2/15/2018 7.750 738,399 756,450 1,000,000 COCONINO CNTY ARIZ POLLUTN CTL 6/1/2034 5.500 1,000,000 1,008,080 455,000 COLLIER CNTY FLA HSG FIN AUTH 8/15/2015 5.250 453,468 470,142 750,000 COLO HSG FIN AUTH SINGLE 11/1/2034 5.000 750,114 749,843 150,000 COLORADO EDL + CULTURAL FACS 6/15/2012 4.625 148,579 144,873 835,000 COLORADO EDL + CULTURAL FACS 11/15/2028 6.750 835,000 862,413 1,000,000 COLORADO EDL + CULTURAL FACS 6/1/2033 5.500 973,976 939,290 40,000 COLORADO HEALTH FACS AUTH REV 12/1/2010 6.250 40,000 40,798 600,000 COLORADO HEALTH FACS AUTH REV 9/15/2022 5.000 593,674 520,482 20,000 COLORADO HEALTH FACS AUTH REV 11/15/2020 5.125 19,786 23,278 280,000 COLORADO HEALTH FACS AUTH REV 11/15/2020 5.125 277,011 284,192 1,000,000 COLORADO HSG + FIN AUTH 10/1/2029 5.400 1,000,000 1,009,730 1,000,000 COLORADO HSG + FIN AUTH 11/1/2029 5.500 1,000,000 1,032,910 750,000 COMPARK BUSINESS CAMPUS MET 12/1/2027 5.750 764,962 661,493 260,000 CONCORDE ESTATES CMNTY DEV DIS (b) 5/1/2011 5.000 259,546 148,265 1,250,000 CONNECTICUT ST DEV AUTH POLLUT 9/1/2028 5.850 1,320,440 1,240,638 500,000 CONNECTICUT ST HEALTH + EDL 7/1/2025 6.000 506,627 452,770 450,000 CONNECTICUT ST HLTH + EDL FACS 7/1/2015 5.250 453,753 450,009 375,000 CONNERTON WEST CMNTY DEV DIST 5/1/2016 5.125 374,439 177,353 380,000 COOK CNTY ILL SCH DIST NO 148 12/1/2027 4.500 351,888 369,318 637,000 CORTLAND ILL SPL TAX REV 3/1/2017 5.500 632,112 391,309 500,000 CRAWFORD CNTY PA INDL DEV AUTH 11/1/2031 6.000 492,140 507,370 975,000 CROW FIN AUTH MONT TRIBAL PURP 10/1/2017 5.650 932,955 979,241 500,000 CUYAHOGA CNTY OHIO HSG MTG REV 3/20/2042 5.700 514,580 510,045 3,445,000 DALLAS TEX HSG FIN CORP MULTI- 10/20/2032 6.750 3,428,996 3,585,522 225,000 DALTON GA DEV AUTH REV 8/15/2026 5.250 226,926 195,345 232,306 DENHAM SPRINGS-LIVINGSTON HSG 11/1/2040 5.000 241,487 225,304 1,500,000 DENVER COLO CITY + CNTY EXCISE 9/1/2023 6.000 1,612,096 1,618,320 500,000 DENVER COLO CONVENTION CTR 12/1/2030 5.000 512,571 359,195 750,000 DENVER COLO CONVENTION CTR 12/1/2026 5.125 782,163 559,125 400,000 DETROIT CMNTY HIGH SCH MICH 11/1/2010 5.000 400,000 392,528 500,000 DETROIT LAKES MINN HSG + 8/1/2034 5.440 500,000 492,870 750,000 DETROIT MICH 4/1/2020 5.250 754,454 608,858 500,000 DINUBA CALIF FING AUTH LEASE R 9/1/2038 5.375 494,531 336,015 1,105,000 DIRECTOR ST NEV DEPT BUSINESS (b) 11/15/2014 6.000 1,094,973 665,144 2,000,000 DISTRICT COLUMBIA REV 7/1/2025 6.000 2,035,076 2,045,060 500,000 DISTRICT COLUMBIA REV 6/1/2026 5.000 510,142 324,195 415,000 DURBIN CROSSING CMNTY DEV DIST 11/1/2010 4.875 414,849 302,813 500,000 E-470 PUB HWY AUTH COLO REV 9/1/2024 5.500 506,747 444,660
See accompanying notes to the financial statements. 50 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 230,000 EAST BATON ROUGE LA MTG FIN AU 10/1/2024 4.625 $ 230,000 227,875 980,000 EAST POINT GA 2/1/2026 8.000 1,110,244 933,813 800,000 EDEN PRAIRIE MINN MULTIFAMILY 2/20/2043 6.200 873,477 849,064 250,000 EL PASO CNTY TEX HSG FIN CORP 12/1/2015 7.000 250,000 230,728 997,475 EL PASO TEX HSG FIN CORP MTG R 4/1/2033 6.180 1,036,789 1,025,664 500,000 ELKHART CNTY IND HOSP AUTH REV 8/15/2020 5.250 507,189 491,705 1,750,000 ERIE CNTY OHIO HOSP FACS REV 8/15/2032 5.625 1,768,210 1,465,625 500,000 ERIE CNTY OHIO HOSP FACS REV 8/15/2013 6.000 526,653 516,480 250,000 ESCONDIDO CALIF UN HIGH SCH DI ( c) 5/1/2019 6.449 133,655 147,413 500,000 ESTHERVILLE IOWA HOSP REV 7/1/2020 6.300 506,501 511,040 500,000 FAIRFAX CNTY VA REDEV + HSG AU 8/1/2039 5.600 500,000 508,155 250,000 FARGO N D HEALTH SYS REV 6/1/2027 5.375 246,589 229,630 2,933,438 FARGO N D UNIV FACS REV 11/29/2027 5.110 2,944,360 3,009,737 170,000 FARMINGTON N M POLLUTN CTL REV 4/1/2022 5.800 173,285 153,954 750,000 FARMINGTON N M POLLUTN CTL REV 12/1/2016 5.700 750,000 681,533 250,000 FARMINGTON N M POLLUTN CTL REV 12/1/2016 6.300 250,000 249,690 500,000 FARMINGTON N MEX HOSP REV 6/1/2022 5.000 509,139 459,265 739,000 FARMS NEW KENT VA CMNTY DEV 3/1/2036 5.125 739,000 400,560 315,000 FIDDLERS CREEK CMNTY DEV DIST 5/1/2013 5.750 313,656 278,583 400,000 FLAGSTAFF ARIZ 1/1/2022 5.000 400,486 399,264 975,000 FLAGSTAFF ARIZ INDL DEV AUTH R 7/1/2022 5.500 890,253 762,606 500,000 FLORIDA HSG FIN CORP REV 7/1/2033 5.450 500,000 500,335 970,000 FOREST CREEK CMNTY DEV DIST (b) 5/1/2011 4.850 969,565 490,529 500,000 FORT ML S C SCH FACS CORP 12/1/2030 5.250 496,959 482,530 1,000,000 FORT ML S C SCH FACS CORP 12/1/2029 5.250 992,717 975,500 1,000,000 FORT PIERCE FLA CAP IMPT REV 9/1/2025 5.750 984,425 1,076,650 1,000,000 FRANKLIN CNTY OHIO HEALTH CARE 7/1/2035 5.125 579,557 638,630 1,000,000 FRUITA COLO REV 1/1/2018 7.000 963,714 899,590 1,250,000 FULTON CNTY GA DEV AUTH REV 11/1/2028 5.250 1,074,634 882,775 330,000 FULTON CNTY PA INDL DEV AUTH 7/1/2011 5.375 329,586 322,994 1,059,836 GALVESTON CNTY TEX MUN UTIL 8/12/2009 6.250 1,059,836 1,058,766 500,000 GARDEN GROVE CALIF CTFS PARTN 8/1/2023 5.700 512,369 501,950 400,000 GEISINGER AUTH PA HEALTH SYS 5/1/2037 1.458 400,000 257,500 310,000 GENESEE CNTY N Y INDL DEV AGY 12/1/2014 4.750 310,000 284,273 500,000 GILA CNTY ARIZ UNI SCH DIST NO 7/1/2028 3.000 475,353 489,085 1,000,000 GOLDEN ST TOB SECURITIZATION (c) 6/1/2022 1.294 846,480 835,100 1,000,000 GOLDEN ST TOB SECURITIZATION 6/1/2017 5.000 961,968 952,160 1,000,000 GOLDEN ST TOB SECURITIZATION 6/1/2047 5.125 847,576 541,260 250,000 GOSHEN IND REDEV DIST TAX 1/1/2028 5.875 250,000 196,430 1,720,000 GRAND FORKS N D HEALTH CARE FA 12/1/2010 6.625 1,720,000 1,723,285 2,000,000 GRAND FORKS N D HEALTH CARE SY 8/15/2027 5.625 2,002,486 1,826,960 500,000 GRAND VALLEY MICH ST UNIV REV 12/1/2024 5.300 494,765 508,560 1,000,000 GRAVOIS BLUFFS TRANSN DEV DIST 5/1/2032 4.750 707,145 694,000 30,000 GRAVOIS BLUFFS TRANSN DEV DIST 5/1/2018 4.000 29,779 30,003 750,000 HAMILTON CNTY OHIO HEALTH CARE 1/1/2037 5.000 627,545 486,810 500,000 HAMMOND IND REDEV DIST REV 1/15/2017 6.000 500,000 445,330 500,000 HARRIS CNTY TEX DEPT ED PUB FA 2/15/2023 5.750 508,372 528,690 320,000 HARRIS CNTY TEX MUN UTIL DIST 9/1/2018 5.000 320,680 313,827 250,000 HARRISONVILLE MO ANNUAL 11/1/2028 4.625 242,066 216,755 350,000 HARVEY ILL 12/1/2027 5.500 358,495 321,139 1,000,000 HAWAII ST DEPT BUDGET + FIN 11/15/2023 7.875 966,304 996,040 360,000 HEALTH CARE AUTH FOR BAPTIST 11/15/2018 5.000 371,059 339,124 1,500,000 HEALTH CARE AUTH FOR BAPTIST 11/15/2036 6.125 1,500,000 1,522,230 1,500,000 HENDERSON NEV LOC IMPT DISTS 9/1/2010 4.500 1,500,000 989,010
See accompanying notes to the financial statements. 51 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 205,000 HENDERSON NEV LOC IMPT DISTS 9/1/2011 4.300 $ 179,765 195,232 100,000 HERITAGE ISLE AT VIERA CMNTY D 11/1/2009 5.000 99,991 97,119 255,000 HIGHLANDS CNTY FLA HEALTH FACS 11/15/2027 5.000 257,749 238,955 500,000 HILLSBOROUGH CNTY FLA INDL DEV 10/1/2024 5.250 511,823 457,675 500,000 HIMALAYA WTR + SANTN DIST COLO 12/1/2035 5.000 513,194 402,675 250,000 HOLLYWOOD FLA CMNTY REDEV AGY 3/1/2024 5.625 203,565 215,065 2,500,000 HOPKINS CNTY KY HOSP REV 11/15/2011 6.625 2,480,144 2,500,100 500,000 HOPKINS CNTY TEX HOSP DIST 2/15/2023 5.500 487,798 416,075 395,000 HOUMA-TERREBONNE PUB TR FING A 12/1/2040 5.150 412,452 386,717 250,000 HOWARD CNTY MD RETIREMENT 4/1/2027 5.250 255,744 172,948 400,000 HUNTSVILLE-REDSTONE VLG ALA 1/1/2015 5.250 400,000 361,528 500,000 HURON CNTY OHIO HOSP FACS REV 12/1/2022 5.000 501,928 483,375 120,000 IDAHO HEALTH FACS AUTH HOSP 8/1/2009 5.750 120,024 119,988 110,000 IDAHO HEALTH FACS AUTH HOSP 8/1/2010 6.000 110,216 107,077 165,000 IDAHO HSG + FIN ASSN 8/1/2010 5.750 165,000 160,906 245,000 IDAHO HSG + FIN ASSN 8/1/2017 6.250 245,000 199,714 250,000 IDAHO HSG + FIN ASSN 6/1/2021 5.500 250,000 215,550 250,000 IDAHO HSG + FIN ASSN 12/1/2018 5.500 247,269 208,518 250,000 IDAHO HSG + FIN ASSN 7/1/2021 5.625 249,234 211,658 750,000 IDAHO HSG + FIN ASSN 7/1/2021 9.000 750,000 759,593 500,000 IDAHO HSG + FIN ASSN SINGLE 1/1/2040 5.500 500,000 506,740 500,000 IDAHO HSG + FIN ASSN SINGLE 7/1/2038 5.500 500,000 501,145 730,000 ILLINOIS DEV FIN AUTH POLLUTN 3/1/2014 5.500 736,310 714,619 170,000 ILLINOIS DEV FIN AUTH POLLUTN 2/1/2024 5.700 174,073 160,815 215,000 ILLINOIS DEV FIN AUTH REV 7/1/2009 5.900 215,000 215,004 250,000 ILLINOIS DEV FIN AUTH REV 5/15/2021 5.500 259,032 238,065 135,000 ILLINOIS DEV FIN AUTH REV 7/1/2019 6.050 135,812 129,912 500,000 ILLINOIS EDL FACS AUTH REVS 10/1/2032 5.700 501,698 440,370 600,000 ILLINOIS FIN AUTH ED REV 9/1/2027 5.000 567,694 379,638 375,000 ILLINOIS FIN AUTH REV 4/1/2026 5.000 381,621 308,730 610,000 ILLINOIS FIN AUTH REV 8/15/2026 6.000 624,953 449,283 500,000 ILLINOIS FIN AUTH REV 5/15/2012 5.100 498,673 475,390 750,000 ILLINOIS FIN AUTH REV 11/15/2035 5.000 750,000 731,408 1,000,000 ILLINOIS FIN AUTH REV 11/15/2026 5.250 969,213 731,700 500,000 ILLINOIS FIN AUTH REV 11/15/2016 5.000 512,377 418,210 650,000 ILLINOIS FIN AUTH REV 5/15/2015 5.250 658,162 591,858 875,000 ILLINOIS FIN AUTH REV 2/1/2037 5.250 873,210 623,910 500,000 ILLINOIS FIN AUTH REV 2/15/2038 5.875 506,125 361,215 250,000 ILLINOIS FIN AUTH REV 5/15/2038 5.750 257,260 170,058 150,000 ILLINOIS FIN AUTH REV 12/1/2036 5.000 151,752 104,211 250,000 ILLINOIS FIN AUTH REV 12/1/2021 5.000 255,739 206,678 500,000 ILLINOIS FIN AUTH REV 3/15/2027 5.000 522,683 481,200 750,000 ILLINOIS FIN AUTH REV 5/15/2026 5.750 727,871 543,720 600,000 ILLINOIS FIN AUTH REV 5/15/2012 5.250 602,348 574,002 400,000 ILLINOIS FIN AUTH REV 11/15/2016 5.400 396,379 329,712 1,250,000 ILLINOIS FIN AUTH REV 11/15/2022 5.250 1,247,525 1,176,575 500,000 ILLINOIS FIN AUTH REV 5/15/2029 5.250 507,087 442,985 350,000 ILLINOIS FIN AUTH REV 8/15/2023 6.000 364,939 329,032 250,000 ILLINOIS FIN AUTH REV 11/15/2026 5.750 252,467 237,605 500,000 ILLINOIS FIN AUTH REV 3/1/2038 6.000 484,691 507,645 440,000 ILLINOIS FIN AUTH SPORTS FAC (b) 12/1/2035 7.000 436,637 320,624 500,000 ILLINOIS FIN AUTH SPORTS FAC 10/1/2037 6.250 483,910 321,825 750,000 ILLINOIS FIN AUTH SPORTS FAC 10/1/2027 6.125 729,923 501,945 500,000 ILLINOIS HEALTH FACS AUTH REV 2/15/2037 5.150 501,681 470,530
See accompanying notes to the financial statements. 52 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 2,100,000 ILLINOIS HEALTH FACS AUTH REV 8/15/2033 5.100 $ 2,150,076 1,984,101 500,000 ILLINOIS HEALTH FACS AUTH REV 8/1/2017 5.250 506,567 472,550 750,000 ILLINOIS HEALTH FACS AUTH REV 8/15/2028 5.375 736,822 679,628 500,000 ILLINOIS HEALTH FACS AUTH REV 7/1/2033 6.000 520,226 469,820 750,000 ILLINOIS HEALTH FACS AUTH REV 5/15/2014 6.250 751,756 750,248 500,000 ILLINOIS HSG DEV AUTH MULTI 7/1/2028 4.800 500,000 471,660 250,000 INDEPENDENCE CNTY ARK POLLUTN 7/1/2022 4.900 250,000 226,655 250,000 INDEPENDENCE MO THIRTY-NINTH 9/1/2032 6.875 250,000 196,053 500,000 INDIANA BD BK REV 2/1/2029 5.500 489,991 510,050 250,000 INDIANA HEALTH + EDL FAC FING 11/15/2025 5.250 255,143 205,830 500,000 INDIANA HEALTH + EDL FAC FING 11/15/2035 5.250 475,407 370,110 500,000 INDIANA HEALTH + EDL FAC FING 2/15/2036 5.250 502,812 398,505 1,000,000 INDIANA HEALTH + EDL FAC FING 2/15/2030 5.250 732,322 831,300 1,750,000 INDIANA HEALTH + EDL FAC FING 3/1/2022 5.500 1,608,937 1,665,510 500,000 INDIANA HEALTH FAC FING AUTH H 2/15/2017 5.125 491,339 484,185 350,000 INDIANA HEALTH FAC FING AUTH H 2/15/2018 5.250 358,914 350,126 620,000 INDIANA HEALTH FAC FING AUTH R 8/15/2009 4.750 618,686 620,750 1,315,000 INDIANA HEALTH FAC FING AUTH R 8/15/2018 5.000 1,172,864 1,249,224 280,000 INDIANA ST DEV FIN AUTH POLLUT 3/1/2030 5.000 280,951 272,591 250,000 INDUSTRY CALIF URBAN DEV AGY 5/1/2021 4.750 254,333 222,870 750,000 INGLEWOOD CALIF REDEV AGY TAX 5/1/2014 5.250 726,622 732,668 300,000 INTERCOMMUNITY HOSP FING AUTH 11/1/2019 5.250 310,590 263,814 200,000 INTERLOCKEN MET DIST COLO 12/15/2019 5.750 205,013 182,362 991,904 INTERMEDIATE SCH DIST 287 MINN 1/1/2028 5.460 1,011,945 901,115 5,843,197 INTERMEDIATE SCH DIST 287 MINN 11/1/2032 5.295 5,586,332 5,855,760 200,000 IOWA FIN AUTH RETIREMENT CMNTY 11/15/2009 4.250 199,818 198,612 200,000 IOWA FIN AUTH RETIREMENT CMNTY 11/15/2011 4.750 198,892 195,996 145,000 IOWA FIN AUTH SR HSG REV 11/1/2011 5.000 145,000 140,176 400,000 IOWA FIN AUTH SR HSG REV 12/1/2014 5.000 397,538 326,620 500,000 IOWA FIN AUTH SR LIVING FAC 11/15/2027 5.500 510,415 315,210 1,000,000 JACKSON CNTY MICH HOSP FIN 6/1/2017 5.250 951,678 959,290 550,000 JACKSONVILLE FLA ECONOMIC DEV 9/1/2017 6.000 550,000 488,956 1,000,000 JACKSONVILLE FLA HEALTH FACS A 11/1/2027 5.000 957,199 888,610 500,000 JACKSONVILLE FLA HEALTH FACS A 11/1/2022 5.000 495,182 466,250 400,000 JEFFERSON CNTY ALA MULTIFAMILY 9/1/2012 5.400 395,574 401,084 1,500,000 JEFFERSON CNTY KY MTG REV 11/15/2013 6.125 1,500,000 1,496,355 225,000 JEFFERSON PARISH LA FIN AUTH 6/1/2033 5.000 237,069 224,928 1,250,000 JEFFERSON PARISH LA FIN AUTH 6/1/2038 5.000 1,312,546 1,204,625 250,000 JEFFERSON PARISH LA FIN AUTH 12/1/2048 5.700 262,834 258,665 700,000 JOPLIN MO INDL DEV AUTH INDL R 5/15/2017 5.500 708,871 583,429 190,000 JUBAN PARK CMNTY DEV DEV DIST 10/1/2014 5.150 190,000 157,679 2,220,000 KALISPEL TRIBE INDIANS 1/1/2016 6.200 2,155,367 1,946,540 1,000,000 KANSAS ST DEV FIN AUTH HOSP RE 11/15/2029 5.500 976,010 998,710 700,000 KATY TEX DEV AUTH REV 6/1/2011 5.800 692,054 690,298 1,000,000 KENT HOSP FIN AUTH MICH REV 7/1/2035 6.000 1,063,677 745,000 250,000 KENTUCKY ECONOMIC DEV FIN AUTH 10/1/2012 6.250 253,584 257,600 750,000 KENTUCKY ECONOMIC DEV FIN AUTH 10/1/2018 6.000 728,240 758,318 200,000 KENTUCKY ECONOMIC DEV FIN AUTH 12/1/2033 6.000 198,459 205,828 500,000 KENTUCKY ECONOMIC DEV FIN AUTH 11/20/2035 5.375 500,000 512,755 250,000 KENTWOOD MICH ECONOMIC DEV 11/15/2014 5.250 248,475 224,190 2,750,000 KERRVILLE TEX HEALTH FACS DEV 8/15/2035 5.450 2,739,646 2,267,210 750,000 KING CNTY WASH HSG AUTH REV 5/1/2028 5.200 750,000 753,248 900,000 KLICKITAT CNTY WASH PUB HOSP 12/1/2020 6.000 827,370 759,339 750,000 KNOX CNTY TENN HEALTH EDL + HS 4/15/2031 6.500 634,827 748,170
See accompanying notes to the financial statements. 53 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 500,000 KNOX CNTY TENN HEALTH EDL + HS 4/1/2027 5.250 $ 514,401 439,950 500,000 LA VERNIA TEX HIGHER ED FIN CO 2/15/2018 6.000 500,000 439,765 1,913,000 LAFAYETTE LA PUB TR FING AUTH 1/1/2041 5.350 1,970,134 1,896,223 360,000 LAKE ASHTON II CMNTY DEV DIST 11/1/2010 4.875 360,206 329,184 260,000 LAKE CNTY ILL SCH DIST NO 038 (c) 2/1/2014 5.103 206,808 216,913 650,000 LAKELAND FLA HOSP SYS REV 11/15/2032 5.000 661,225 530,231 250,000 LAKELAND FLA RETIREMENT CMNTY 1/1/2019 5.875 250,000 221,263 750,000 LAKESIDE 370 LEVEE DIST MO 4/1/2028 7.000 750,000 612,563 400,000 LANCASTER CNTY PA HOSP AUTH RE 7/1/2012 5.200 399,770 386,808 500,000 LANCASTER CNTY PA HOSP AUTH RE 7/1/2022 6.100 498,645 474,020 400,000 LANGSTON OKLA ECONOMIC DEV 5/1/2026 5.250 413,563 309,764 2,000,000 LAS VEGAS NEV REDEV AGY TAX IN 6/15/2023 7.500 1,978,422 2,092,640 3,600,000 LAWRENCE CNTY IND HOSP ASSN LE 1/1/2015 7.000 3,600,000 3,595,932 250,000 LEE CNTY FLA INDL DEV AUTH HEA 11/15/2029 5.000 255,371 170,180 750,000 LEE CNTY FLA INDL DEV AUTH IND 6/15/2027 5.250 754,304 474,810 900,000 LEE CNTY S C SCH FACS INC 12/1/2031 6.000 866,923 814,833 250,000 LEHIGH CNTY PA GEN PURP AUTH 8/15/2042 1.612 250,000 131,563 200,000 LEWISVILLE TEX COMBINATION CON 9/1/2028 5.700 130,325 175,344 45,000 LEWISVILLE TEX INDPT SCH DIST 8/15/2025 5.000 45,531 45,717 1,750,000 LOMBARD ILL PUB FACS CORP 1/1/2036 5.250 1,783,402 1,583,330 500,000 LOMBARD ILL PUB FACS CORP 1/1/2015 6.375 500,000 449,905 300,000 LOMBARD ILL PUB FACS CORP 1/1/2025 5.500 318,170 199,926 550,000 LOMBARD ILL PUB FACS CORP 1/1/2030 5.500 579,443 342,441 250,000 LOMPOC CALIF HEALTHCARE DIST 8/1/2034 5.000 253,354 219,830 320,000 LORAIN CNTY OHIO HOSP REV 9/1/2016 5.625 324,664 321,670 330,000 LORAIN CNTY OHIO HOSP REV 9/1/2027 5.500 336,271 322,562 1,000,000 LOS ANGELES CALIF CMNTY COLLEG 8/1/2033 6.000 1,034,760 1,074,880 400,000 LOS ANGELES CALIF CTFS PARTN 2/1/2018 5.700 350,400 380,304 1,250,000 LOS ANGELES CALIF HSG AUTH 6/1/2029 5.000 1,087,966 1,032,438 500,000 LOUDOUN CNTY VA INDL DEV AUTH 8/1/2028 7.000 500,000 505,270 365,000 LOUISIANA HSG FIN AGY SINGLE 6/1/2038 5.850 392,074 385,655 230,000 LOUISIANA HSG FIN AGY SINGLE 12/1/2022 4.800 230,000 234,761 1,645,000 LOUISIANA HSG FIN AGY SINGLE 12/1/2038 5.700 1,734,706 1,647,616 235,000 LOUISIANA HSG FIN AGY SINGLE 6/1/2039 5.600 243,104 240,241 495,000 LOUISIANA HSG FIN AGY SINGLE 6/1/2040 6.550 524,175 530,650 465,000 LOUISIANA LOC GOVT ENVIR FACS 6/20/2028 8.000 465,000 366,364 400,000 LOUISIANA LOC GOVT ENVIR FACS 11/1/2032 6.750 400,000 323,644 440,000 LOUISIANA PUB FACS AUTH REV 7/1/2024 5.250 443,425 446,758 500,000 LOUISIANA PUB FACS AUTH REV 2/15/2036 1.292 500,000 290,625 35,000 LUBBOCK TEX HEALTH FACS DEV 1/20/2010 5.000 35,000 35,266 105,000 LUBBOCK TEX HEALTH FACS DEV 3/20/2012 5.000 105,000 109,192 350,000 LUCAS CNTY OHIO HEALTH CARE 8/15/2015 6.375 342,377 354,813 1,500,000 LUZERNE CNTY PA 11/1/2026 7.000 1,608,755 1,609,350 150,000 LYNN HAVEN FLA CAP IMPT REV 12/1/2016 5.000 150,000 150,431 626,479 LYONS COLO REV 11/30/2016 4.750 632,492 535,057 250,000 MADEIRA CMNTY DEV DIST FLA SPL 11/1/2014 5.250 249,529 137,765 460,000 MADISON CNTY FLA REV 7/1/2025 6.000 453,022 336,918 210,000 MADISON CNTY NY INDL DEV AGY C 2/1/2017 4.500 206,940 189,708 250,000 MAGNOLIA CREEK FLA CMNTY DEV D 5/1/2014 5.600 250,000 156,090 1,000,000 MAINE EDL LN AUTH STUDENT LN R 12/1/2027 5.625 1,000,000 991,460 1,000,000 MALTA ILL TAX INCREMENT REV 12/30/2025 5.750 1,000,000 598,840 250,000 MANCHESTER N H HSG + REDEV 1/1/2015 6.750 262,795 250,350 500,000 MANCHESTER N H HSG + REDEV (c) 1/1/2020 5.248 283,583 254,870 647,000 MANHATTAN ILL SPL SVC AREA SPL 3/1/2022 5.750 647,000 400,545
See accompanying notes to the financial statements. 54 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 500,000 MARICOPA CNTY ARIZ ELEM SCH 7/1/2020 6.250 $ 513,790 562,375 300,000 MARICOPA CNTY ARIZ ELEM SCH 7/1/2024 8.000 308,788 315,810 1,000,000 MARICOPA CNTY ARIZ UNI SCH DIS 7/1/2026 6.250 1,020,565 1,105,140 235,000 MARION CNTY IND CONVENTION + R 6/1/2027 5.000 222,583 226,108 2,500,000 MARION CNTY OHIO HEALTH CARE F 11/15/2010 6.375 2,478,643 2,495,575 500,000 MARQUIS CMNTY DEV AUTH VA REV 9/1/2013 5.100 500,000 441,530 180,000 MARYLAND ST ECONOMIC DEV CORP 12/1/2011 4.750 179,184 155,592 500,000 MARYLAND ST HEALTH + HIGHER 1/1/2027 4.625 461,274 458,335 750,000 MARYLAND ST HEALTH + HIGHER 1/1/2013 4.750 750,000 750,000 250,000 MARYLAND ST HEALTH + HIGHER 1/1/2017 5.000 250,000 199,978 450,000 MARYLAND ST HEALTH + HIGHER 7/1/2029 6.750 440,316 503,496 500,000 MASHANTUCKET WESTERN PEQUOT TR 9/1/2036 5.500 509,260 241,260 250,000 MASSACHUSETTS ST 5/1/2037 1.245 250,000 163,063 460,000 MASSACHUSETTS ST DEV FIN AGY 10/1/2017 5.000 467,755 403,747 1,750,000 MASSACHUSETTS ST DEV FIN AGY 10/1/2017 5.000 1,634,038 1,604,103 750,000 MASSACHUSETTS ST HEALTH + EDL 7/1/2016 5.500 762,916 619,365 464,000 MASSACHUSETTS ST HEALTH + EDL 10/1/2017 6.000 470,455 418,899 3,000,000 MASSACHUSETTS ST HEALTH + EDL 7/1/2013 7.300 3,000,000 3,005,220 350,000 MASSACHUSETTS ST HEALTH + EDL 11/15/2009 5.125 350,565 350,091 1,050,000 MASSACHUSETTS ST HEALTH + EDL 1/15/2012 5.125 1,045,640 1,016,474 275,000 MASSACHUSETTS ST HEALTH + EDL 7/1/2028 5.000 282,996 256,460 1,000,000 MASSACHUSETTS ST HSG FIN AGY H 12/1/2033 5.350 1,000,000 994,560 100,000 MASSACHUSETTS ST INDL FIN AGY 9/1/2017 5.450 100,153 100,017 225,000 MASSACHUSETTS ST TPK AUTH MET 1/1/2029 5.250 231,588 204,073 500,000 MASSACHUSETTS ST TPK AUTH MET 1/1/2017 5.125 508,377 499,990 145,000 MASSACHUSETTS ST TPK AUTH MET 1/1/2027 5.000 147,232 130,436 1,000,000 MASSACHUSETTS ST TPK AUTH WEST 1/1/2017 5.550 1,003,495 1,003,840 265,000 MATAGORDA CNTY TEX NAV DIST NO 6/1/2026 5.250 270,942 233,393 80,000 MATAGORDA CNTY TEX NAV DIST NO 6/1/2026 5.250 80,768 78,502 510,000 MATTESON ILL TAX INCREMENT REV 12/1/2009 4.250 510,000 504,762 1,750,000 MC ALESTER OKLA PUB WKS AUTH U (c) 2/1/2030 5.480 572,541 521,535 200,000 MEAD VLG NEB TAX INCREMENT REV 7/1/2012 5.125 200,000 94,424 500,000 MESQUITE NEV REDEV AGY TAX 6/1/2014 5.750 494,715 494,485 500,000 MESQUITE TEX HEALTH FACS DEV C 2/15/2015 5.000 502,406 441,445 855,000 MET GOVT NASHVILLE + DAVIDSON (b) 6/20/2036 10.000 855,000 536,247 1,830,000 MET GOVT NASHVILLE + DAVIDSON (b) 12/20/2040 7.500 1,830,000 1,353,651 1,070,000 MET GOVT NASHVILLE + DAVIDSON (b) 12/20/2020 8.000 1,070,000 898,308 500,000 METROPOLITAN PIER + EXPOSITION 6/15/2027 6.500 500,000 500,600 500,000 MIAMI BEACH FLA HEALTH FACS 11/15/2028 5.375 505,623 311,815 500,000 MIAMI CNTY OHIO HOSP FAC 5/15/2018 5.250 510,820 465,325 750,000 MIAMI-DADE CNTY FLA WTR + SWR 10/1/2023 6.000 762,688 810,720 1,000,000 MICHIGAN MUN BD AUTH REV 5/1/2023 5.750 1,034,058 1,045,770 300,000 MICHIGAN PUB EDL FACS AUTH REV 9/1/2022 5.000 300,000 224,013 750,000 MICHIGAN PUB EDL FACS AUTH REV 9/1/2016 6.000 750,000 697,215 500,000 MICHIGAN PUB EDL FACS AUTH REV 10/1/2023 6.250 500,000 391,875 500,000 MICHIGAN PUB EDL FACS AUTH REV 11/1/2028 6.350 500,000 421,460 500,000 MICHIGAN PUB EDL FACS AUTH REV 9/1/2021 8.000 500,000 497,805 175,000 MICHIGAN ST HOSP FIN AUTH REV 6/1/2028 5.000 178,179 154,095 220,000 MICHIGAN ST HOSP FIN AUTH REV 11/15/2009 4.000 219,542 218,214 1,000,000 MICHIGAN ST HOSP FIN AUTH REV 12/1/2023 6.125 988,186 1,069,690 545,000 MICHIGAN ST HSG DEV AUTH RENTA 10/1/2038 5.700 545,000 550,799 625,000 MICHIGAN ST HSG DEV AUTH RENTA 10/1/2020 5.375 595,683 644,569 1,000,000 MICHIGAN ST HSG DEV AUTH RENTA 10/1/2034 5.625 1,000,000 1,001,690 1,000,000 MICHIGAN ST STRATEGIC FD LTD 9/1/2029 5.450 1,057,708 934,960
See accompanying notes to the financial statements. 55 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 280,000 MICHIGAN TOB SETTLEMENT FIN 6/1/2022 5.125 $ 262,578 228,578 500,000 MIDCITIES MET DIST NO 2 COLO 12/1/2030 5.125 500,632 397,190 1,000,000 MIDLOTHIAN TEX DEV AUTH TAX 11/15/2016 5.000 996,910 938,770 350,000 MILLCREEK RICHLAND JT AUTH PA 8/1/2022 5.250 269,808 318,133 500,000 MILLSBORO DEL SPL OBLG 7/1/2036 5.450 500,000 285,455 554,586 MINNESOTA ST HIGHER ED FACS 10/1/2016 4.493 558,792 516,131 240,000 MINNESOTA ST HSG FIN AGY 1/1/2020 5.000 229,584 243,053 470,000 MISSISSIPPI HOME CORP SINGLE F 6/1/2039 6.750 500,316 509,847 500,000 MISSOURI DEV FIN BRD 6/1/2029 5.625 486,247 504,135 250,000 MISSOURI ST DEV FIN BRD INFRAS 4/1/2025 5.125 252,931 238,663 500,000 MISSOURI ST DEV FIN BRD INFRAS 4/1/2028 4.750 484,864 436,795 500,000 MISSOURI ST DEV FIN BRD INFRAS 4/1/2027 6.000 507,477 500,825 500,000 MISSOURI ST DEV FIN BRD INFRAS 10/1/2027 6.125 483,705 503,255 500,000 MISSOURI ST DEV FIN BRD INFRAS 11/1/2025 5.500 491,507 502,250 980,000 MISSOURI ST HEALTH + EDL FACS 2/1/2022 5.125 1,011,387 832,980 500,000 MISSOURI ST HEALTH + EDL FACS 2/1/2027 4.875 505,523 371,725 500,000 MISSOURI ST HSG DEV COMMN SING 9/1/2034 5.250 496,545 498,370 450,000 MISSOURI ST HSG DEV COMMN SING 9/1/2034 5.350 450,000 452,192 500,000 MODESTO CALIF IRR DIST CTFS PA 7/1/2022 5.300 471,973 500,070 1,000,000 MOHAVE CNTY ARIZ INDL DEV AUTH 5/1/2015 7.250 991,558 1,052,890 260,000 MONROE-MCKEEN PLAZA HSG DEV CO 2/1/2012 6.800 260,857 260,634 1,550,000 MONTANA ST BRD HSG 12/1/2039 5.500 1,550,290 1,553,178 250,000 MONTGOMERY ALA EDL BLDG AUTH F 10/1/2032 5.250 260,378 208,325 250,000 MONTGOMERY ALA MED CLINIC BRD 3/1/2031 5.250 255,622 192,603 1,500,000 MONTGOMERY CNTY OHIO HEALTH 9/20/2032 6.550 1,456,401 1,518,855 750,000 MONTGOMERY CNTY OHIO REV 11/15/2039 5.250 750,000 753,608 500,000 MONTGOMERY CNTY PA INDL DEV AU 12/1/2017 6.250 498,864 443,585 375,000 MONTGOMERY CNTY PA INDL DEV AU 2/1/2028 6.125 369,883 250,669 650,000 MONTGOMERY CNTY PA INDL DEV AU 2/1/2014 5.375 646,742 575,627 240,000 MONTGOMERY ILL SPL ASSMT 3/1/2030 4.700 240,191 175,342 800,000 MOUNT CARBON MET DIST COLO REV 6/1/2043 7.000 800,000 231,600 200,000 MOUNT CARBON MET DIST COLO REV (b) (e) 6/1/2043 8.000 - - 400,000 NASSAU CNTY N Y INDL DEV AGY 1/1/2018 5.875 396,698 358,932 500,000 NEVADA HSG DIV SINGLE FAMILY 10/1/2039 5.375 500,000 499,585 185,000 NEW HAMPSHIRE HEALTH + ED FACS 7/1/2014 5.000 185,472 188,439 140,000 NEW HAMPSHIRE HEALTH + ED FACS 7/1/2011 5.000 140,447 140,714 480,000 NEW HAMPSHIRE HEALTH + ED FACS 7/1/2016 5.000 478,300 456,830 570,000 NEW HAMPSHIRE HGR EDL + HLTH F 10/1/2010 5.700 570,000 571,693 1,000,000 NEW HAMPSHIRE ST HSG FIN AUTH 7/1/2038 6.625 1,057,268 1,086,170 300,000 NEW JERSEY ECONOMIC DEV AUTH 1/1/2015 5.000 297,154 281,766 235,000 NEW JERSEY HEALTH CARE FACS FI 2/1/2021 5.000 240,714 232,063 490,000 NEW JERSEY HEALTH CARE FACS FI 11/15/2033 1.392 490,000 311,861 500,000 NEW JERSEY HEALTH CARE FACS FI 7/1/2015 5.750 491,280 461,840 2,500,000 NEW JERSEY HEALTH CARE FACS FI 7/1/2016 6.250 2,500,000 2,502,125 750,000 NEW JERSEY ST EDL FACS AUTH 12/1/2023 7.125 738,323 788,858 500,000 NEW JERSEY ST HIGHER ED ASSIST 6/1/2024 5.375 497,193 501,310 2,500,000 NEW JERSEY ST HIGHER ED ASSIST 6/1/2027 5.000 2,496,253 2,505,725 30,000 NEW MEXICO MTG FIN AUTH 1/1/2026 6.950 31,512 30,742 1,000,000 NEW MEXICO MTG FIN AUTH 9/1/2029 5.000 1,000,000 978,790 250,000 NEW MEXICO ST HOSP EQUIP LN CO 8/15/2017 5.000 249,165 197,688 250,000 NEW ORLEANS LA AVIATION BRD RE 1/1/2023 6.000 249,068 257,663 230,000 NEW ORLEANS LA SEW SVC REV 6/1/2010 5.200 231,029 229,609 500,000 NEW RIVER CMNTY DEV DIST FLA (b) 5/1/2013 5.000 498,810 212,615 155,000 NEW YORK CNTYS TOB TR IV 6/1/2021 4.250 153,562 139,932
See accompanying notes to the financial statements. 56 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 640,000 NEW YORK N Y CITY HSG DEV CORP 11/1/2024 5.100 $ 546,622 651,750 250,000 NEW YORK N Y CITY INDL DEV AGY 1/1/2029 6.125 246,487 274,340 1,500,000 NEW YORK N Y CITY INDL DEV AGY 5/1/2017 5.300 1,500,115 1,501,530 1,000,000 NEW YORK N Y CITY INDL DEV AGY 5/1/2029 5.625 997,525 1,000,170 350,000 NEW YORK ST DORM AUTH REVS 7/1/2019 6.875 365,783 339,689 1,000,000 NEW YORK ST DORM AUTH REVS 8/15/2024 6.450 998,297 1,049,180 990,000 NEW YORK ST DORM AUTH REVS 7/1/2015 6.050 990,000 991,475 750,000 NEW YORK ST DORM AUTH REVS NON 7/1/2029 6.250 762,828 808,283 1,820,000 NEW YORK ST MED CARE FACS FIN 2/15/2035 6.375 1,801,993 1,822,093 1,000,000 NEW YORK ST MED CARE FACS FIN 8/15/2023 6.300 1,000,000 1,002,050 250,000 NEW YORK ST URBAN DEV CORP 7/1/2016 5.500 250,000 250,798 500,000 NOBLESVILLE IND REDEV AUTH 2/1/2031 5.125 495,142 491,325 325,000 NORCO CALIF REDEV AGY TAX ALLO 3/1/2021 6.250 323,635 328,299 500,000 NORTH CAROLINA MED CARE COMMN 10/1/2034 5.800 541,547 430,355 500,000 NORTH CAROLINA MED CARE COMMN 10/1/2020 5.500 511,609 487,275 1,300,000 NORTH CAROLINA MED CARE COMMN 10/1/2035 4.750 1,300,000 1,265,134 250,000 NORTH CAROLINA MED CARE COMMN 1/1/2032 5.250 248,677 161,748 500,000 NORTH CAROLINA MUN PWR AGY NO 1/1/2020 6.500 501,310 509,065 1,000,000 NORTH CENT TEX HEALTH FAC DEV 5/15/2017 5.000 1,006,330 1,002,790 750,000 NORTH OAKS MINN SR HSG REV 10/1/2022 5.750 739,736 635,828 350,000 NORTH RANGE MET DIST NO 1 COLO 12/15/2024 5.000 361,636 227,329 1,000,000 NORTH TEX TWY AUTH REV (c) 1/1/2028 5.900 341,085 330,150 1,000,000 NORTH TEX TWY AUTH REV (c) 1/1/2042 1.154 688,004 718,360 1,500,000 NORTH TEX TWY AUTH REV 1/1/2038 5.500 1,500,000 1,556,940 250,000 NORTH TEX TWY AUTH REV 1/1/2031 6.125 254,333 253,135 3,000,000 NORTHEAST TEX MUN WTR DIST (c) 9/1/2027 8.519 661,257 676,380 500,000 NORTHEASTERN PA HOSP + ED AUTH 8/15/2016 5.150 501,949 487,470 500,000 NORTHERN CALIF GAS AUTH NO 1 7/1/2027 1.529 500,000 285,500 220,000 NORTHERN CALIF PWR AGY PUB PWR 7/1/2032 5.200 224,321 208,696 400,000 NORTHERN MARIANA ISLANDS 10/1/2022 5.000 403,361 324,036 300,000 OAK ISLAND N C ENTERPRISE SYS 6/1/2028 5.750 293,212 310,530 300,000 OAK ISLAND N C ENTERPRISE SYS 6/1/2029 5.875 295,645 311,751 250,000 OAKLAND CALIF UNI SCH DIST ALA 8/1/2024 5.000 259,202 227,248 100,000 OAKRIDGE CMNTY DEV DIST FLA 5/1/2018 5.250 100,836 101,018 500,000 OHIO ST HIGHER EDL FAC REV 12/1/2024 5.500 509,147 523,935 750,000 OHIO ST HSG FIN AGY RESIDENTIA 9/1/2028 6.125 750,000 803,805 500,000 OHIO ST HSG FIN AGY RESIDENTIA 9/1/2033 5.450 500,000 512,455 750,000 OHIO ST HSG FIN AGY RESIDENTIA 9/1/2033 5.400 750,000 750,480 250,000 OKANOGAN CNTY WASH PUB HOSP 12/1/2023 5.625 262,728 249,670 500,000 OKLAHOMA DEV FIN AUTH 6/1/2014 5.250 500,000 501,480 35,000 OKLAHOMA DEV FIN AUTH REV 2/15/2029 6.000 36,646 35,042 1,000,000 OKLAHOMA HSG FIN AGY SINGLE 9/1/2038 6.500 1,062,816 1,083,000 500,000 OKLAHOMA ST INDS AUTH REV 7/1/2023 5.125 486,576 486,610 500,000 OLIVER CNTY N D POLLUTN CTL RE 1/1/2027 5.300 501,715 488,305 1,000,000 ORANGE CNTY FLA HEALTH FACS AU 10/1/2021 6.250 983,082 1,057,880 275,000 ORANGE CNTY FLA HEALTH FACS AU 7/1/2009 4.625 275,000 274,989 500,000 OREGON HEALTH SCIENCES UNIV RE 7/1/2039 5.750 485,392 493,665 600,000 OREGON ST 10/1/2031 5.125 595,516 597,192 500,000 ORLEANS PARISH LA PARISHWIDE S 9/1/2020 5.500 500,000 456,965 520,000 ORLEANS PARISH LA SCH BRD (c) 2/1/2015 5.586 377,165 362,664 675,000 PALM BEACH CNTY FL HEALTH FACS 11/15/2029 5.125 683,682 566,926 615,000 PALM BEACH CNTY FLA HEALTH FAC 10/1/2011 5.500 616,395 615,357 1,000,000 PALM BEACH CNTY FLA HEALTH FAC 11/15/2022 5.375 908,730 842,570 195,000 PANTHER TRACE II FLA CMNTY DEV 11/1/2010 5.000 195,358 185,743
See accompanying notes to the financial statements. 57 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 400,000 PAOLI IND BLDG CORP 1/15/2032 5.000 $ 404,985 371,164 630,000 PARKLANDS LEE CMNTY DEV DIST (b) 5/1/2011 5.125 629,712 310,067 1,665,000 PATTERSON CALIF JT UNI SCH DIS (c) 8/1/2027 6.548 519,292 559,257 500,000 PELL CITY ALA SPL CARE FACS FI 12/1/2027 5.250 428,616 400,050 1,500,000 PENNSYLVANIA ECONOMIC DEV FING 10/15/2023 6.250 1,465,254 1,491,435 1,300,000 PENNSYLVANIA ST HIGHER EDL 3/15/2030 5.750 1,205,467 1,192,503 500,000 PENNSYLVANIA ST HIGHER EDL 7/1/2039 1.459 500,000 200,625 235,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2021 5.875 252,777 189,927 75,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2016 5.875 79,097 66,644 50,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2021 5.875 50,913 40,410 2,000,000 PEORIA ILL PUB BLDG COMMN SCH (c) 12/1/2021 5.601 1,007,255 1,030,120 5,000,000 PEORIA ILL PUB BLDG COMMN SCH (c) 12/1/2026 6.233 1,716,082 1,734,700 500,000 PEORIA ILL PUB BLDG COMMN SCH (c) 12/1/2022 6.149 221,858 233,115 195,000 PHOENIX ARIZ STR + HWY USER RE 7/1/2011 6.250 197,548 195,784 245,000 PIMA CNTY ARIZ INDL DEV AUTH 7/1/2024 6.100 240,872 181,219 200,000 PIMA CNTY ARIZ INDL DEV AUTH 12/15/2016 5.250 198,167 175,004 1,300,000 PIMA CNTY ARIZ INDL DEV AUTH 7/1/2031 6.750 939,996 973,453 450,000 PIMA CNTY ARIZ INDL DEV AUTH 2/1/2015 7.250 450,000 431,289 160,000 PIMA CNTY ARIZ INDL DEV AUTH 8/1/2012 6.250 160,000 157,336 325,000 PIMA CNTY ARIZ INDL DEV AUTH 2/1/2015 6.625 325,000 304,665 150,000 PIMA CNTY ARIZ INDL DEV AUTH 7/1/2012 5.000 149,789 139,079 150,000 PIMA CNTY ARIZ INDL DEV AUTH 7/1/2023 5.700 154,275 108,335 375,000 PIMA CNTY ARIZ INDL DEV AUTH 6/1/2016 6.000 375,000 335,794 1,200,000 PIMA CNTY ARIZ INDL DEV AUTH 12/1/2017 5.350 1,071,882 1,022,556 475,000 PIMA CNTY ARIZ INDL DEV AUTH 7/1/2014 4.650 473,944 405,265 250,000 PIMA CNTY ARIZ INDL DEV AUTH 6/1/2022 5.000 254,067 192,870 500,000 PIMA CNTY ARIZ INDL DEV AUTH 7/1/2022 5.375 505,389 400,805 500,000 PIMA CNTY ARIZ INDL DEV AUTH 12/1/2018 6.375 500,000 445,845 230,000 PIMA CNTY ARIZ INDL DEV AUTH 7/1/2015 5.125 229,106 211,480 500,000 PINAL CNTY ARIZ CTFS PARTN 12/1/2023 5.250 473,804 494,995 500,000 PINAL CNTY ARIZ INDL DEV AUTH 10/1/2020 5.250 523,759 442,200 300,000 PINAL CNTY ARIZ INDL DEV AUTH 10/1/2018 5.250 246,791 272,061 392,000 PINGREE GROVE ILL SPL SVC AREA 3/1/2015 5.250 389,501 314,212 225,000 PITT CNTY N C REV 12/1/2010 5.375 229,229 233,964 1,000,000 PITTSBURG CALIF REDEV AGY TAX 9/1/2028 6.500 976,351 1,022,040 250,000 PLAINFIELD IND CMNTY HIGH SCH 7/15/2023 5.000 247,258 254,318 500,000 PLEASANT VALLEY CALIF SCH DIST 2/1/2022 5.850 498,069 518,250 750,000 PLEASANTS CNTY W VA POLLUTN CT 5/1/2015 6.150 783,635 750,143 750,000 PORT CORPUS CHRISTI AUTH TEX 12/1/2022 5.650 750,000 699,488 1,750,000 PORT EVERGLADES AUTH FLA PORT 9/1/2016 5.000 1,755,251 1,767,535 560,000 PORTLAND ME HSG DEV CORP 8/1/2015 4.875 560,000 510,485 250,000 PORTLAND ME HSG DEV CORP 8/1/2021 5.700 250,000 212,940 500,000 POTTER COUNTY PA HOSP AUTH REV 8/1/2024 6.050 518,575 489,290 610,000 POTTER COUNTY PA HOSP AUTH REV 8/1/2016 5.950 613,849 610,031 105,000 PRIVATE COLLEGES + UNIVS AUTH 10/1/2029 5.375 105,199 86,172 250,000 PROVIDENCE R I HSG AUTH HSG 9/1/2026 5.000 255,707 255,245 500,000 PROVIDENCE R I HSG AUTH HSG 9/1/2027 5.000 509,095 507,260 250,000 PROVO UTAH CHARTER SCH REV 6/15/2037 5.500 250,000 164,403 450,000 PUERTO RICO COMWLTH HWY + TRAN 7/1/2045 1.339 450,000 183,938 500,000 PUERTO RICO ELEC PWR AUTH PWR 7/1/2025 1.489 500,000 245,875 500,000 PUERTO RICO SALES TAX FING 8/1/2057 1.618 500,000 305,625 1,500,000 PUERTO RICO SALES TAX FING (c) 8/1/2032 2.055 935,730 946,500 750,000 QUAIL CREEK CMNTY FACS DIST 7/15/2016 5.150 750,000 623,445 750,000 QUINAULT INDIAN NATION WASH 12/1/2015 5.800 746,106 563,865
See accompanying notes to the financial statements. 58 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 400,000 RENO NEV HOSP REV 6/1/2032 5.250 $ 413,314 331,308 500,000 RENO NEV HOSP REV 6/1/2020 5.500 508,792 493,565 750,000 RENO-SPARKS INDIAN COLONY NEV 6/1/2021 5.000 766,542 723,848 500,000 RHODE ISLAND HSG + MTG FIN COR 10/1/2038 5.625 500,000 505,285 500,000 RHODE ISLAND ST HEALTH + EDL 5/15/2030 6.250 493,076 516,315 250,000 RHODE ISLAND ST HEALTH + EDL B 5/15/2026 5.250 255,597 242,633 500,000 RHODE ISLAND ST STUDENT LN AUT 12/1/2027 5.750 500,000 499,410 500,000 RICHARDSON TEX HOSP AUTH HOSP 12/1/2028 5.625 515,413 379,275 325,000 RICHMOND IND HOSP AUTH REV 1/1/2029 6.500 314,509 334,269 1,750,000 RIO GRANDE VY HEALTH FACS DEV 8/1/2012 6.400 1,750,065 1,751,593 500,000 RIVERSIDE MO INDL DEV AUTH 5/1/2020 5.000 502,757 481,730 550,000 RIVERSIDE MO INDL DEV AUTH 5/1/2027 4.500 520,360 501,738 250,000 RIVERWOOD ESTATES CMNTY DEV (b) 5/1/2013 5.000 250,000 87,375 1,250,000 ROCKPORT IND POLLUTION CTL REV 6/1/2025 4.625 1,226,776 1,153,013 1,000,000 ROCKPORT IND POLLUTION CTL REV 6/1/2025 6.250 1,000,000 1,031,040 500,000 ROSS COUNTY OHIO HOSP REV 12/1/2028 5.750 502,838 501,775 1,000,000 SACRAMENTO CALIF CITY FING AUT (c) 12/1/2021 5.200 529,580 433,490 500,000 SACRAMENTO CNTY CALIF CTFS PAR 10/1/2027 4.750 500,370 433,195 250,000 SACRAMENTO CNTY CALIF SANTN DI 12/1/2035 0.977 250,000 152,813 350,000 SACRAMENTO CNTY CALIF WTR FING 6/1/2039 1.017 350,000 210,438 1,500,000 SADDLEBACK VY UNI SCH DIST CAL 9/1/2017 5.650 1,500,000 1,505,025 750,000 SAGINAW MICH HOSP FIN AUTH 7/1/2030 6.500 744,228 739,868 2,500,000 SALEM-KEIZER ORE SCH DIST NO (c) 6/15/2023 5.259 1,211,560 1,290,500 1,750,000 SAN BERNARDINO CNTY CALIF CTFS 8/1/2028 5.000 1,796,900 1,595,230 1,505,000 SAN DIEGO CALIF PUB FACS FING 5/15/2027 5.250 1,515,752 1,504,940 85,000 SAN DIEGO CALIF PUB FACS FING 5/15/2025 5.000 85,898 85,010 65,000 SAN DIEGO CALIF PUB FACS FING 5/15/2025 5.000 65,174 65,000 500,000 SAN DIEGO CALIF REDEV AGY 9/1/2023 5.000 447,196 452,375 250,000 SAN JOAQUIN HILLS CALIF TRANSN 1/15/2030 5.250 253,806 174,185 250,000 SANTA CLARA CALIF REDEV AGY TA 6/1/2015 5.000 251,882 250,153 1,250,000 SARASOTA CNTY FLA HEALTH FACS 1/1/2027 5.500 1,018,896 924,800 250,000 SARASOTA NATL CMNTY DEV DIST 5/1/2039 5.300 248,180 132,325 1,000,000 SCAGO EDL FACS CORP FOR 12/1/2026 5.000 1,044,018 960,610 1,000,000 SCAGO EDL FACS CORP FOR UN SCH 12/1/2021 5.000 1,044,018 929,830 500,000 SCOTTSDALE ARIZ INDL DEV AUTH 9/1/2030 5.250 483,221 457,575 200,000 SEMINOLE TRIBE FLA SPL OBLIG 10/1/2022 5.750 206,624 180,304 500,000 SEMINOLE TRIBE FLA SPL OBLIG 10/1/2024 5.500 505,943 438,610 250,000 SENECA NATION INDIANS CAP 12/1/2023 5.000 248,718 162,200 500,000 SHELBY CNTY TENN HEALTH EDL + 9/1/2026 5.625 496,442 415,090 750,000 SHELBY CNTY TENN HEALTH EDL + 9/1/2016 5.250 745,557 681,443 500,000 SHELBY CNTY TENN HEALTH EDL + 9/1/2011 4.900 500,000 500,120 625,000 SHELBY CNTY TENN HEALTH EDL + (b) 1/1/2029 5.550 556,863 94,156 150,000 SHELBY CNTY TENN HEALTH EDL + (b) 1/1/2019 5.350 134,966 23,265 1,000,000 SKOWHEGAN ME POLLUTN CTL REV 11/1/2013 5.900 1,000,000 1,003,850 1,250,000 SMYRNA TENN HSG ASSN INC MULTI 10/20/2035 6.450 1,255,474 1,304,413 550,000 SNOHOMISH CNTY WASH HSG AUTH H 4/1/2026 6.400 550,000 551,375 250,000 SOUTH CAROLINA HSG FIN + DEV A 7/1/2032 5.500 250,000 252,195 500,000 SOUTH CAROLINA JOBS ECONOMIC D 4/1/2024 5.000 511,924 453,280 500,000 SOUTH CAROLINA JOBS ECONOMIC D 11/15/2027 6.000 504,057 375,185 750,000 SOUTH CAROLINA JOBS ECONOMIC D 11/15/2042 5.150 750,000 690,165 695,000 SOUTH CAROLINA JOBS-ECONOMIC 11/1/2010 4.650 695,000 682,629 750,000 SOUTH CAROLINA JOBS-ECONOMIC 5/1/2011 5.000 750,000 742,260 1,000,000 SOUTH COAST CONSERVANCY DIST I 1/1/2028 5.250 994,076 1,029,340 400,000 SOUTH INDIAN RIV WTR CTL DIST 8/1/2031 4.125 371,396 328,536
See accompanying notes to the financial statements. 59 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 170,000 SOUTH LAKE CNTY HOSP DIST FLA 10/1/2022 6.000 $ 172,414 169,981 640,000 SOUTH LAKE CNTY HOSP DIST FLA 10/1/2013 5.500 640,009 669,613 300,000 SOUTHERN MINN MUN PWR AGY PWR 1/1/2013 4.840 300,000 266,001 250,000 SOUTHWESTERN ILL DEV AUTH REV 8/15/2015 5.375 256,990 244,570 1,500,000 SOUTHWESTERN ILL DEV AUTH REV 8/15/2029 5.625 1,539,366 1,250,775 250,000 SOUTHWESTERN ILL DEV AUTH REV 11/1/2026 5.625 248,269 162,420 700,000 SOUTHWESTERN ILL DEV AUTH REV 10/1/2022 7.000 700,000 610,806 500,000 SPARKS NEV REDEV AGY TAX 6/1/2020 6.400 492,252 398,120 500,000 SPARKS NEV TOURISM IMPT DIST 6/15/2020 6.500 482,916 407,550 317,000 ST BERNARD PARISH LA HOME MTG 3/1/2039 5.800 310,712 321,111 1,025,000 ST JOHN BAPTIST PARISH LA REV 6/1/2037 5.125 1,025,000 867,017 500,000 ST JOHNS CNTY FLA INDL DEV AUT 8/1/2034 5.625 482,076 380,325 240,000 ST JOHNS CNTY FLA INDL DEV AUT 10/1/2017 5.000 240,000 192,271 500,000 ST JOSEPH CNTY IND ECONOMIC DE 5/15/2038 6.000 366,211 355,065 460,000 ST JOSEPH CNTY IND ECONOMIC DE 5/15/2026 6.000 330,378 365,323 400,000 ST JOSEPH CNTY IND ECONOMIC DE 5/15/2014 5.750 407,617 376,624 500,000 ST JOSEPH CNTY IND HOSP AUTH 2/15/2028 5.250 509,711 379,810 500,000 ST JOSEPH MO INDL DEV AUTH TAX 11/1/2023 5.375 496,261 395,120 1,000,000 ST JOSEPH MO INDL DEV AUTH TAX 11/1/2019 5.100 988,096 842,740 800,000 ST LOUIS CNTY MO HSG AUTH MULT (b) 11/1/2014 8.500 800,000 324,728 250,000 ST LOUIS CNTY MO INDL DEV 9/1/2021 5.375 254,696 223,665 1,000,000 ST LOUIS CNTY MO INDL DEV 12/1/2027 5.375 1,000,000 986,040 250,000 ST LOUIS CNTY MO INDL DEV AUTH 11/15/2022 5.000 253,373 166,273 430,000 ST LOUIS MO INDL DEV AUTH TAX 5/1/2026 5.125 427,541 285,064 525,000 ST PAUL MINN HSG + REDEV AUTH 11/15/2014 5.250 534,798 489,699 229,535 ST TAMMANY PARISH LA FIN AUTH 12/1/2039 5.250 234,819 230,979 175,000 STERLING HILL CMNTY DEV DIST 11/1/2010 5.500 174,778 156,331 500,000 STONEYBROOK SOUTH CMNTY DEV 11/1/2015 5.450 498,499 247,835 500,000 SULLIVAN CNTY TENN HEALTH EDL 9/1/2036 5.250 516,326 334,615 395,000 SUMMIT ACADEMY NORTH MICH PUB 11/1/2011 4.750 395,077 373,054 500,000 TANGIPAHOA PARISH LA HOSP SVC 2/1/2015 5.375 518,613 484,290 750,000 TARRANT CNTY TEX CULTURAL ED 11/15/2036 6.000 772,627 586,703 1,000,000 TARRANT CNTY TEX CULTURAL ED 11/15/2026 6.000 1,036,007 849,960 1,000,000 TARRANT CNTY TEX CULTURAL ED 5/15/2027 5.125 703,158 773,070 250,000 TARRANT CNTY TEX CULTURAL ED 2/15/2013 5.000 249,751 239,710 500,000 TARRANT CNTY TEX CULTURAL ED 11/15/2016 5.250 485,112 448,485 490,000 TENNESSEE HSG DEV AGY 7/1/2034 5.100 490,000 470,478 1,000,000 TENNESSEE HSG DEV AGY 7/1/2038 5.450 1,000,000 997,110 500,000 TENNESSEE HSG DEV AGY 7/1/2031 4.500 500,000 507,700 230,000 TENNESSEE HSG DEV AGY MTG FIN 7/1/2023 5.200 232,151 233,022 795,000 TERREBONNE PARISH LA 3/1/2024 5.875 802,212 875,955 250,000 TEXAS MUN GAS ACQUISITION + SU 12/15/2026 1.872 250,000 161,000 185,000 TEXAS MUN GAS ACQUISITION + SU 12/15/2026 6.250 177,411 177,049 500,000 TEXAS ST 8/1/2024 5.500 502,494 501,095 500,000 TEXAS ST PUB FIN AUTH CHARTER 9/1/2018 5.500 500,000 419,655 1,000,000 TEXAS ST PUB FIN AUTH CHARTER 8/15/2030 5.000 872,407 627,650 800,000 TEXAS ST STUDENT HSG AUTH (b) 1/1/2033 11.000 800,000 8 1,305,000 TISONS LANDING CMNTY DEV DIST (b) 11/1/2011 5.000 1,304,267 462,492 300,000 TOBACCO SETTLEMENT FING CORP N 6/1/2015 5.000 308,167 280,539 425,000 TODD CREEK FARMS MET DIST NO 1 12/1/2009 4.750 424,565 275,953 250,000 TOLEDO-LUCAS CNTY OHIO PORT 12/1/2035 5.375 257,743 207,343 750,000 TOLOMATO CMNTY DEV DIST FLA 5/1/2017 6.375 750,000 618,945 2,000,000 TRAVIS CNTY TEX HEALTH FACS 11/15/2035 4.750 2,000,000 1,943,980 840,000 TRAVIS CNTY TEX HSG FIN CORP M (b) 6/1/2035 9.250 840,000 324,383
See accompanying notes to the financial statements. 60 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 1,000,000 TULSA OKLA TULSA INDL AUTH REV 10/1/2027 6.000 $ 1,030,811 1,044,830 520,000 TYLER TEX HEALTH FACS DEV CORP 7/1/2009 6.600 520,000 520,036 350,000 TYLER TEX HEALTH FACS DEV CORP 11/1/2037 5.375 347,607 271,478 500,000 ULSTER CNTY N Y INDL DEV AGY 9/15/2013 5.100 497,180 464,335 500,000 ULSTER CNTY N Y INDL DEV AGY 9/15/2016 5.250 494,080 418,915 350,000 UNIVERSITY CALIF REVS 5/15/2031 5.750 362,117 378,172 240,000 UNIVERSITY CITY MO INDL DEV AU 12/20/2030 6.000 250,788 237,994 250,000 UNIVERSITY ILL UNIV REVS 4/1/2038 5.750 258,280 263,918 671,000 UTAH ASSOCIATED MUNI POWER SYS 5/1/2022 4.750 671,000 505,256 500,000 UTAH HSG CORP SINGLE FAMILY MT 1/1/2040 5.550 500,000 502,130 600,000 UTAH ST CHARTER SCH FIN AUTH 7/15/2018 6.375 600,000 533,286 575,000 VALLEY ALA SPL CARE FACS FING 11/1/2011 5.450 581,783 561,522 1,080,000 VERANO CTR CMNTY DEV DIST FLA 11/1/2012 5.000 1,080,000 541,253 1,000,000 VERMONT EDL + HEALTH BLDGS FIN 12/1/2027 6.125 1,021,004 941,620 260,000 VERRADO CMNTY FACS DIST NO 1 7/15/2013 6.000 260,000 256,565 300,000 VIGO CNTY IND HOSP AUTH REV 9/1/2027 5.500 296,920 230,529 750,000 VIRGINIA ST HSG DEV AUTH 7/1/2025 6.000 750,000 798,803 500,000 VIRGINIA ST HSG DEV AUTH COMWL 7/1/2031 5.350 503,737 502,915 2,000,000 VIRGINIA ST HSG DEV AUTH COMWL 7/1/2036 5.375 2,092,175 2,007,700 250,000 WALKER FIELD COLO PUB ARPT AUT 12/1/2027 4.750 228,150 198,390 500,000 WASHINGTON CNTY VA INDL DEV AU 7/1/2019 7.250 492,956 560,495 470,000 WASHINGTON ST HEALTH CARE FACS 2/15/2027 5.000 385,462 384,253 500,000 WASHINGTON ST HEALTH CARE FACS 8/1/2028 6.250 517,471 533,130 500,000 WASHINGTON ST HEALTH CARE FACS 3/1/2024 6.500 477,265 510,005 1,000,000 WASHINGTON ST HEALTH CARE FACS 3/1/2029 7.125 974,167 1,053,020 1,000,000 WASHINGTON ST HSG FIN COMMN 12/1/2033 5.450 1,000,000 1,025,510 650,000 WASHINGTON ST HSG FIN COMMN NO 1/1/2013 5.100 650,000 619,223 1,150,000 WASHINGTON ST HSG FIN COMMN NO 1/1/2017 5.250 1,146,401 954,730 455,000 WATERS EDGE CMNTY DEV DIST FLA 11/1/2012 5.000 455,084 243,357 500,000 WATERSET NORTH CMNTY DEV DIST 11/1/2015 6.550 498,695 318,300 750,000 WEATHERFORD HOSP AUTH OKLA REV 5/1/2016 6.000 764,937 655,763 240,000 WEST VLGS IMPT DIST FLA REV 5/1/2037 5.500 240,000 112,690 665,000 WESTERN GENERATION AGY ORE 1/1/2021 5.000 670,707 524,206 200,000 WESTPARK CMNTY FACS DIST AZ 7/15/2016 4.900 200,000 162,430 500,000 WHITEHOUSE TEX INDPT SCH DIST ( c) 2/15/2025 4.650 243,866 216,805 255,000 WILL CNTY ILL SPL ED JT 1/1/2021 5.500 264,768 259,878 750,000 WINNEBAGO + STEPHENSON CNTYS I ( c) 1/1/2019 5.250 458,070 440,873 1,000,000 WISCONSIN HEALTH + EDL FACS 12/1/2034 5.000 1,000,000 994,360 460,000 WISCONSIN HEALTH + EDL FACS 8/15/2016 4.600 458,877 431,370 1,000,000 WISCONSIN ST GEN REV 5/1/2027 6.000 1,026,082 1,082,530 1,000,000 WISCONSIN ST HEALTH + EDL FA 11/15/2025 5.750 990,000 1,000,190 500,000 WISCONSIN ST HEALTH + EDL FACS 8/15/2026 5.875 475,778 456,880 400,000 WISCONSIN ST HEALTH + EDL FACS 8/15/2023 5.600 401,447 376,524
See accompanying notes to the financial statements. 61 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009
Face Percent Amount Maturity Coupon Market of or shares Security date rate Cost Value (a) net assets - ---------- ------------------------------------------- ------------ ---------- ------------- -------------- ------------ 350,000 WISCONSIN ST HEALTH + EDL FACS 7/1/2021 6.000 359,097 354,200 500,000 WISCONSIN ST HEALTH + EDL FACS 2/15/2032 5.250 488,319 449,310 450,000 WISCONSIN ST HEALTH + EDL FACS 7/1/2017 6.000 461,479 460,107 250,000 WISCONSIN ST HEALTH + EDL FACS 8/15/2017 5.250 249,395 249,980 500,000 WISCONSIN ST HEALTH + EDL FACS 2/15/2018 6.250 480,697 504,095 215,000 WISCONSIN ST HEALTH + EDL FACS 11/15/2023 6.000 228,833 219,582 250,000 WISCONSIN ST HEALTH + EDL FACS 11/15/2032 6.000 268,399 252,775 500,000 WISCONSIN ST HEALTH + EDL FACS 6/1/2028 5.700 519,319 419,050 500,000 WISCONSIN ST HEALTH + EDL FACS 8/15/2034 6.750 507,386 382,045 200,000 WISCONSIN ST HEALTH + EDL FACS 3/1/2015 4.650 200,000 189,006 400,000 WISCONSIN ST HEALTH + EDL FACS 9/1/2015 5.000 400,000 355,676 500,000 WISCONSIN ST HEALTH + EDL FACS 8/15/2024 6.500 $ 345,658 389,990 1,000,000 WISCONSIN ST HEALTH + EDL FACS 5/15/2029 5.125 852,591 811,330 500,000 WISCONSIN ST HEALTH + EDL FACS 7/1/2026 5.000 505,227 427,175 500,000 WISCONSIN ST HEALTH + EDL FACS 1/15/2025 5.650 509,016 503,725 1,000,000 WISCONSIN ST HEALTH + EDL FACS 8/15/2022 5.750 897,788 924,390 1,000,000 WISCONSIN ST HEALTH + EDL FACS 8/15/2023 5.500 1,000,302 966,030 940,000 WOODHILL PUB FAC CORP TEX 12/1/2015 7.250 930,468 905,051 750,000 WYOMING CMNTY DEV AUTH HSG REV 12/1/2023 5.250 760,604 768,863 250,000 WYOMING MUN PWR AGY PWR SUPPLY 1/1/2028 5.500 255,084 254,758 250,000 YORK CNTY PA INDL DEV AUTH POL 10/1/2019 6.450 250,000 250,903 250,000 YUBA CITY CALIF REDEV AGY TAX 9/1/2027 5.125 254,575 194,475 355,000 ZEPHYR RIDGE CMNTY DEV DIST (b) 5/1/2013 5.250 355,540 162,821 ------------- ------------- 458,417,911 419,349,891 91.42% Cash Equivalents: 10,261,326 SSGA TAX-EXEMPT MONEY MARKET FUND, Current rate 0.00% $ 10,261,326 10,261,326 ------------- ------------- 10,261,326 10,261,326 2.24% Grand total (d) $ 499,584,204 457,788,103 99.80% ============= ============= ======
Notes to investments in securities: (a) Securities are valued in accordance with procedures described in note 2 to the December 31, 2008 financial statements. (b) Currently non-income producing assets. For long-term debt securities, item identified is in default as to payment of interest and/or principal. (c) For zero coupon bonds, the interest rate disclosed represents the annualized effective yield on the date of acquisition. (d) At June 30, 2009, the cost for Federal income tax purposes was $499,584,180. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost were as follows: Gross unrealized appreciation $ 5,479,749 Gross unrealized depreciation (47,275,850) -------------- Net unrealized depreciation $ (41,796,101) ============== (e) This security is being fair-valued according to procedures adopted by the Board of Trustees. Distribution of investments representing geographic diversification, as a percentage of total investments at value, is as follows: Geographical Diversification Percent --------------------------------------------------------------- Texas 8.38% Illinois 6.80 California 6.47 Florida 5.61 Indiana 4.48 Arizona 3.39 Missouri 2.99 Louisiana 2.93 Michigan 2.93 Pennsylvania 2.64 South Carolina 2.05 Other 51.33 -------- 100.00% -------- See accompanying notes to the financial statements. 62 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater Tax-Exempt Bond Fund (unaudited) June 30, 2009 Clearwater Tax-Exempt Bond Fund Portfolio Diversification (as a percentage of net assets) [THE FOLLOWING TABLE WAS REPRESENTED AS PIE CHART IN THE PRINTED MATERIAL.] Public Housing Bonds 2% Insured Bonds 12% General Obligation Bonds 3% Multi-Family Housing Bonds 17% Education Bonds 11% Insured General Obligation Bonds 1% Hospital Bonds 20% Public Utility Bonds 2% Industrial Revenue Bonds 4% Cash Equivalents 2% Other Bonds 26% See accompanying notes to the financial statements. 63 CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ----------- -------------------------------------------- ------------- ------------- ----------- Common:Stocks: Australia: 14,044 AGL ENERGY LTD. $ 144,885 151,439 57,822 ALUMINA LTD. 55,820 66,362 27,357 AMCOR LTD. 88,944 109,831 28,290 AMP LTD. 92,128 110,840 16,965 ARROW ENERGY LTD.(b) 50,823 48,272 8,612 ASX LTD. 204,977 255,843 33,277 AUSTRALIA & NEW ZEALAND BANKING GROUP LTD. 351,123 439,876 19,517 AXA ASIA PACIFIC HOLDINGS LTD. 47,802 61,043 53,357 BHP BILLITON LTD. 1,211,023 1,462,263 2,082 BILLABONG INTERNATIONAL LTD. 13,239 14,630 42,228 BLUESCOPE STEEL LTD. 74,710 85,407 10,867 BORAL LTD. 30,867 35,396 17,400 BRAMBLES LTD. 64,294 83,235 45,718 CARNARVON PETROLEUM LTD.(b) 29,334 29,832 57,933 CFS RETAIL PROPERTY TRUST 66,005 76,587 23,498 COCA-COLA AMATIL LTD. 137,187 162,768 1,271 COCHLEAR LTD. 45,961 59,035 22,621 COMMONWEALTH BANK OF AUSTRALIA 527,768 707,237 11,720 COMPUTERSHARE LTD. 66,009 84,919 31,053 CROWN LTD. 139,300 180,940 5,742 CSL LTD. 127,131 148,395 41,838 CSR LTD. 48,720 56,969 4,600 DAVID JONES LTD. 14,014 16,762 44,394 DEXUS PROPERTY GROUP 24,235 26,612 1,477 DOMINION MINING LTD. 5,140 5,504 4,900 DOWNER EDI LTD. 18,269 21,983 2,100 ENERGY RESOURCES OF AUSTRALIA LTD. 43,530 39,409 38,735 FAIRFAX MEDIA LTD. 31,235 37,914 21,110 FORTESCUE METALS GROUP LTD.(b) 37,574 64,004 94,938 FOSTER'S GROUP LTD. 356,738 393,463 4,600 GOODMAN FIELDER LTD. 5,044 4,818 179,910 GPT GROUP 55,818 70,216 36,315 HARVEY NORMAN HOLDINGS LTD. 83,288 96,199 19,665 INCITEC PIVOT LTD. 31,737 37,418 64,025 INSURANCE AUSTRALIA GROUP LTD. 158,626 179,544 4,540 JB HI-FI LTD. 35,186 56,119 2,244 LEIGHTON HOLDINGS LTD. 29,819 42,247 5,257 LEND LEASE CORP. LTD. 19,894 29,611 18,700 LIHIR GOLD LTD.(b) 39,667 43,560 14,606 LION NATHAN LTD. 99,352 136,640 3,942 MACQUARIE GROUP LTD. 60,755 123,807 31,339 MACQUARIE INFRASTRUCTURE GROUP 32,101 35,989 49,680 METCASH LTD. 136,834 172,031 25,047 NATIONAL AUSTRALIA BANK LTD. 341,140 450,913 7,658 NEWCREST MINING LTD. 173,651 187,638 6,400 NUFARM LTD. 47,393 47,090 44,887 ONESTEEL LTD. 72,578 92,586 8,826 ORICA LTD. 89,233 153,636 12,164 ORIGIN ENERGY LTD. 118,319 143,122 68,197 OZ MINERALS LTD.(b) 31,654 50,515 14,831 PALADIN RESOURCES LTD.(b) 55,585 58,391 416 PERPETUAL LTD. 7,027 9,525 3,000 PRIMARY HEALTH CARE LTD. 10,007 12,667 36,732 QANTAS AIRWAYS LTD. 46,697 59,250 13,190 QBE INSURANCE GROUP LTD. 168,322 210,441 6,800 RAMSAY HEALTH CARE LTD. 50,838 63,014 7,434 RIO TINTO LTD. 238,618 311,106 17,740 SANTOS LTD. 192,604 208,385 2,100 SIMS METAL MANAGEMENT LTD. 24,232 43,718 1,000 SINO GOLD MINING LTD.(b) 5,328 4,149 6,745 SONIC HEALTHCARE LTD. 49,661 66,771 60,029 STOCKLAND 127,913 153,910 29,373 SUNCORP-METWAY LTD. 123,483 157,708 20,677 TABCORP HOLDINGS LTD. 93,266 118,979 47,346 TATTS GROUP LTD. 81,620 97,111 50,033 TELSTRA CORP. LTD. 108,102 136,508 18,889 TOLL HOLDINGS LTD. 78,539 93,707
See accompanying notes to the financial statements. 64 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- -------------------------------------------- ------------ -------------- ----------- Australia (Cont'd): 13,099 TRANSURBAN GROUP $ 36,728 43,620 6,100 WASHINGTON H SOUL PATTINSON & CO. LTD. 35,765 52,576 16,997 WESFARMERS LTD. 225,362 309,384 2,560 WESFARMERS LTD. - PPS 32,507 48,312 35,413 WESTFIELD GROUP 253,766 322,532 52,832 WESTPAC BANKING CORP. 701,839 855,725 6,211 WOODSIDE PETROLEUM LTD. 161,153 215,204 19,482 WOOLWORTHS LTD. 346,571 411,922 3,923 WORLEYPARSONS LTD. 47,061 74,735 ---------- ------------- 9,113,468 11,329,819 5.51% Austria: 857 AGRANA BETEILIGUNGS A.G. 54,876 72,787 3,566 ERSTE GROUP BANK A.G. 63,769 96,890 108 MAYR-MELNHOF KARTON A.G. 7,410 9,110 3,368 OESTERREICHISCHE POST A.G. 92,549 96,703 3,858 OMV A.G. 127,995 144,633 1,965 RAIFFEISEN INTERNATIONAL BANK HOLDING A.G. 63,526 68,241 4,513 STRABAG SE 83,601 100,051 2,648 TELEKOM AUSTRIA A.G. 37,131 41,432 915 VERBUND - OESTERREICHISCHE ELEKTRIZITA- ETSWIRTSCHAFTS A.G., CLASS A 30,953 46,673 2,303 VOESTALPINE A.G. 32,585 63,186 8,200 WIENERBERGER A.G.(b) 98,560 101,946 ---------- ------------- 692,955 841,652 0.41% Belgium: 10,113 ANHEUSER-BUSCH INBEV N.V. 285,546 366,123 519 BELGACOM S.A. 15,605 16,592 100 COFINIMMO 11,868 11,667 329 COLRUYT S.A. 74,892 75,081 1,204 DELHAIZE GROUP 76,000 84,772 1,713 DEXIA S.A.(b) 5,086 12,990 48,619 FORTIS(b) 87,769 165,765 413 GROUPE BRUXELLES LAMBERT S.A. 28,544 30,246 6,145 KBC GROEP N.V.(b) 107,919 112,102 400 MOBISTAR S.A. 25,537 24,691 346 NATIONALE A PORTEFEUILLE 15,895 16,727 1,896 SOLVAY S.A., CLASS A 119,873 159,970 3,600 TESSENDERLO CHEMIE N.V. 116,742 114,582 6,691 UCB S.A. 189,530 214,491 8,135 UMICORE 147,016 185,293 ---------- ------------- 1,307,822 1,591,092 0.77% Bermuda: 25,908 LANCASHIRE HOLDINGS LTD.(b) 203,181 199,151 ---------- ------------- 203,181 199,151 0.10% Brazil: 14,200 COSAN LTD.(b) 82,447 73,556 ---------- ------------- 82,447 73,556 0.04% Canada: 900 AGNICO-EAGLE MINES LTD. 47,571 47,409 2,453 AGNICO-EAGLE MINES LTD. 133,193 128,733 8,400 ALIMENTATION COUCHE TARD, INC. 85,331 101,612 390 ASTRAL MEDIA, INC. 10,206 9,972 2,900 ATCO LTD. 88,796 98,110 16,470 BARRICK GOLD CORP. 531,637 552,569 4,000 BIOVAIL CORP. 47,206 53,717 11,627 BROOKFIELD ASSET MANAGEMENT, INC. 172,468 198,473 5,526 BROOKFIELD PROPERTIES CORP. 35,639 44,042 7,813 CANADIAN NATIONAL RAILWAY CO. 282,487 335,646 700 CANADIAN PACIFIC RAILWAY LTD. 21,176 27,913 950 CANADIAN TIRE CORP. LTD., CLASS A 44,126 44,922 100 CANADIAN UTILITIES LTD. 3,136 3,263 1,300 CELESTICA, INC.(b) 8,178 8,807 11,000 CGI GROUP, INC.(b) 85,512 97,788 1,500 CORUS ENTERTAINMENT, INC. 19,529 19,151 2,100 EMPIRE CO. LTD. 88,804 76,371
See accompanying notes to the financial statements. 65 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ----------------------------------------------- ------------- ------------- ----------- Canada (Cont'd): 12,895 ENCANA CORP. $ 548,543 637,916 14,652 GENWORTH MI CANADA, INC.(b) 240,686 239,343 1,860 GEORGE WESTON LTD. 91,988 93,293 4,700 IAMGOLD CORP. 35,860 47,601 1,210 INMET MINING CORP. 47,703 44,389 3,879 IVANHOE MINES LTD./CA(b) 23,410 21,722 2,270 LOBLAW COS. LTD. 65,573 67,819 200 MACDONALD DETTWILER & ASSOCIATES LTD.(b) 4,651 4,557 3,269 MAGNA INTERNATIONAL, INC. 86,809 138,083 4,900 MAPLE LEAF FOODS, INC. 32,116 36,820 3,400 METRO, INC. 107,775 111,138 3,400 NATIONAL BANK OF CANADA 115,587 157,119 8,969 NEXEN, INC. 150,118 194,179 5,638 POTASH CORP. OF SASKATCHEWAN 495,204 524,616 3,600 POWER CORP. OF CANADA 64,352 83,072 2,800 QUEBECOR, INC. 39,157 47,664 8,062 RESEARCH IN MOTION LTD.(b) 390,601 572,805 4,300 RONA, INC.(b) 45,551 47,136 1,000 SHAW COMMUNICATIONS, INC. 15,672 16,834 100 SINO-FOREST CORP.(b) 845 1,066 400 SNC-LAVALIN GROUP, INC. 10,170 14,736 1,800 STANTEC, INC.(b) 43,273 43,316 15,389 SUNCOR ENERGY, INC. 381,135 466,902 10,975 TECK RESOURCES LTD., CLASS B(b) 52,057 174,942 2,800 TELUS CORP. 73,440 72,219 400 TIM HORTONS, INC. 10,327 9,774 900 WEST FRASER TIMBER CO. LTD. 20,432 18,137 12,820 YAMANA GOLD, INC. 115,774 113,967 10,128 YAMANA GOLD, INC. 86,061 89,532 ---------- ------------ 5,099,865 5,939,195 2.89% Cyprus: 8,127 BANK OF CYPRUS PUBLIC CO. LTD. 51,271 45,319 ---------- ------------ 51,271 45,319 0.02% Czech Republic: 3,900 CENTRAL EUROPEAN MEDIA ENTERPRISES LTD., CLASS A(b) 72,968 76,791 ---------- ------------ 72,968 76,791 0.04% Denmark: 10 A.P. MOLLER - MAERSK A/S, CLASS A 46,408 58,741 14 A.P. MOLLER - MAERSK A/S, CLASS B 65,265 84,065 3,100 CARLSBERG A/S, CLASS B 123,038 199,259 6,700 DANSKE BANK A/S(b) 59,247 115,649 4,000 DSV A/S(b) 31,768 49,678 200 FLSMIDTH & CO. A/S(b) 6,013 7,121 200 JYSKE BANK A/S (REGISTERED)(b) 4,423 5,732 8,400 NOVO-NORDISK A/S, CLASS B 408,903 456,550 500 NOVOZYMES A/S, CLASS B 39,158 40,639 4,800 SYDBANK A/S(b) 100,837 110,651 325 TOPDANMARK A/S(b) 33,362 37,981 900 TRYGVESTA A/S 49,560 53,096 2,700 VESTAS WIND SYSTEMS A/S(b) 119,280 194,094 ---------- ------------ 1,087,262 1,413,256 0.69% Finland: 1,805 ELISA OYJ 24,941 29,756 5,049 FORTUM OYJ 98,677 115,168 8,086 HUHTAMAKI OYJ 80,862 83,449 1,396 KESKO OYJ, CLASS B 30,705 37,008 1,628 KONE OYJ, CLASS B 35,674 49,999 5,078 METSO OYJ 59,357 95,119 1,251 NESTE OIL OYJ 14,206 17,417 66,454 NOKIA OYJ 834,737 969,825 9,600 NOKIA OYJ ADR 140,761 139,968 2,240 NOKIAN RENKAAT OYJ 31,307 42,235 3,324 ORION OYJ, CLASS B 57,180 52,153 2,272 OUTOKUMPU OYJ 32,298 39,350 10,565 POHJOLA BANK PLC 85,425 84,500
See accompanying notes to the financial statements. 66 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ---------------------------------------------- ------------ ------------- ----------- Finland (Cont'd): 1,988 RAUTARUUKKI OYJ $ 39,419 39,758 8,302 SAMPO OYJ, CLASS A 119,585 156,665 4,348 SANOMA-WSOY OYJ 67,470 67,630 6,741 STORA ENSO OYJ (REGISTERED)(b) 30,747 35,574 11,515 UPM-KYMMENE OYJ 93,315 100,359 317 WARTSILA OYJ 7,249 10,240 ---------- ------------ 1,883,915 2,166,173 1.05% France: 3,369 ACCOR S.A. 132,615 133,972 551 ADP 28,858 40,436 507 AIR FRANCE-KLM 5,280 6,500 3,942 AIR LIQUIDE S.A. 332,322 360,978 40,981 ALCATEL-LUCENT(b) 71,224 103,266 3,194 ALSTOM S.A. 178,537 189,045 3,600 ARKEMA 94,547 84,590 608 ATOS ORIGIN S.A.(b) 15,429 20,643 35,310 AXA S.A. 525,378 667,559 12,748 BNP PARIBAS 572,087 827,282 3,237 BOUYGUES S.A. 115,573 121,730 735 BUREAU VERITAS S.A. 29,322 36,256 1,862 CAP GEMINI S.A. 62,328 68,776 9,700 CARREFOUR S.A. 357,241 414,948 1,650 CASINO GUICHARD PERRACHON S.A. 116,237 111,453 648 CHRISTIAN DIOR S.A. 36,000 48,460 5,031 CIE DE SAINT-GOBAIN 154,127 168,222 3,462 CIE GENERALE D'OPTIQUE ESSILOR INTERNATIONAL S.A. 134,447 165,272 1,684 CNP ASSURANCES 109,875 160,786 3,619 COMPAGNIE GENERALE DE GEOPHYSIQUE-VERITAS(b) 61,263 65,334 2,031 COMPAGNIE GENERALE DES ESTABLISSEMENTS MICHELIN, CLASS B 81,301 116,082 11,581 CREDIT AGRICOLE S.A. 136,868 145,054 7,487 DANONE 333,899 370,268 812 DASSAULT SYSTEMES S.A. 31,122 35,905 2,824 EDF S.A. 110,257 137,712 614 EIFFAGE S.A. 30,643 35,830 486 EURAZEO 9,917 20,258 3,941 EUTELSAT COMMUNICATIONS 94,397 101,812 302 FONCIERE DES REGIONS 23,699 22,724 48,852 FRANCE TELECOM S.A. 1,118,837 1,109,948 20,995 GDF SUEZ 732,731 784,340 13,707 GEMALTO N.V.(b) 451,974 475,490 40,000 HAVAS SA 112,053 98,667 648 HERMES INTERNATIONAL 64,252 90,197 304 ILIAD S.A. 29,549 29,529 2,335 KLEPIERRE 57,367 60,230 3,031 LAFARGE S.A. 151,025 205,800 1,212 LAGARDERE S.C.A. 30,640 40,341 3,554 LEGRAND S.A. 61,802 77,646 6,236 L'OREAL S.A. 441,884 466,888 3,492 LVMH MOET HENNESSY LOUIS VUITTON S.A. 231,949 267,286 6,049 M6-METROPOLE TELEVISION 95,148 114,617 24,670 NATIXIS(b) 41,439 47,740 1,991 NEOPOST S.A. 170,916 179,042 1,967 NEXANS S.A. 85,376 104,856 3,600 NEXITY 77,566 107,578 2,277 PERNOD-RICARD S.A. 127,714 143,755 1,844 PEUGEOT S.A.(b) 36,311 48,641 1,531 PPR 112,344 125,277 27,282 PUBLICIS GROUPE 785,578 832,994 3,682 RENAULT S.A.(b) 98,990 135,931 4,202 SAFRAN S.A. 40,399 55,560 24,213 SANOFI-AVENTIS S.A. 1,417,372 1,424,021 2,772 SCHNEIDER ELECTRIC S.A. 184,092 212,005 1,813 SCOR S.E. 36,441 37,234 3,311 SES 62,443 63,215 679 SOCIETE BIC S.A. 35,899 38,998
See accompanying notes to the financial statements. 67 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ----------------------------------------------- ------------- -------------- ----------- France (Cont'd): 7,642 SOCIETE GENERALE $ 321,630 416,951 77,699 SOCIETE TELEVISION FRANCAISE 1 859,859 874,080 10,466 SODEXO 509,308 538,341 3,762 SUEZ ENVIRONNEMENT S.A. 55,709 65,973 1,557 TECHNIP S.A. 55,911 76,536 3,600 TELEPERFORMANCE 113,123 109,666 3,667 THALES S.A. 144,056 164,103 50,081 TOTAL S.A. 2,603,917 2,712,546 1,022 UNIBAIL-RODAMCO S.E. 141,501 152,619 746 VALEO S.A.(b) 13,164 13,766 736 VALLOUREC S.A. 62,762 89,482 5,373 VEOLIA ENVIRONMENT 121,010 158,737 10,529 VINCI S.A. 444,157 472,552 21,339 VIVENDI S.A. 559,221 511,170 3,250 ZODIAC AEROSPACE S.A. 103,209 105,882 ----------- ------------- 16,985,421 18,621,383 9.06% Germany: 2,785 ADIDAS A.G. 94,549 106,121 6,822 ALLIANZ S.E. (REGISTERED) 583,368 630,853 13,539 BASF S.E. 453,717 540,032 9,925 BAYER A.G. 473,075 532,943 5,264 BAYERISCHE MOTOREN WERKE A.G. 165,963 198,810 828 BEIERSDORF A.G. 35,556 39,033 246 CELESIO A.G. 4,967 5,654 9,754 COMMERZBANK A.G.(b) 35,963 60,648 13,157 DAIMLER A.G. (REGISTERED) 393,763 476,054 10,170 DEUTSCHE BANK A.G. (REGISTERED) 467,613 618,885 3,260 DEUTSCHE BOERSE A.G. 193,092 253,384 11,261 DEUTSCHE LUFTHANSA A.G. (REGISTERED) 127,854 141,558 13,453 DEUTSCHE POST A.G. (REGISTERED) 152,569 175,837 1,670 DEUTSCHE POSTBANK A.G.(b) 32,356 42,582 52,067 DEUTSCHE TELEKOM A.G. (REGISTERED) 641,017 615,367 38,499 E.ON A.G. 1,149,836 1,366,522 3,418 FRESENIUS MEDICAL CARE A.G. & CO. KGAA 133,793 152,543 2,738 GEA GROUP A.G. 27,680 41,536 162 HANNOVER RUECKVERSICHERUNG A.G. (REGISTERED)(b) 5,408 5,993 707 HEIDELBERGCEMENT A.G. 25,499 29,132 2,764 HENKEL A.G. & CO. KGAA 65,089 74,532 1,550 HOCHTIEF A.G. 59,506 78,311 5,862 INFINEON TECHNOLOGIES A.G.(b) 19,506 21,281 2,921 K+S A.G. 149,718 164,547 2,240 LINDE A.G. 160,885 184,164 1,438 MAN S.E. 62,202 88,445 1,310 MERCK KGAA 110,683 133,557 2,503 METRO A.G. 81,367 119,652 4,476 MUENCHENER RUECKVERSICHERUNGS A.G. (REGISTERED) 581,793 605,366 792 Q-CELLS S.E.(b) 18,281 16,192 9,698 RWE A.G. 711,478 765,617 582 SALZGITTER A.G. 34,934 51,170 12,974 SAP A.G. 477,368 523,067 12,496 SIEMENS A.G. (REGISTERED) 746,053 865,119 1,600 SOFTWARE A.G.(b) 116,187 113,457 1,987 SOLARWORLD A.G. 46,187 46,924 5,577 SUEDZUCKER A.G. 114,335 113,434 6,245 THYSSENKRUPP A.G. 125,145 155,595 14,837 TUI A.G.(b) 127,578 109,652 1,642 VOLKSWAGEN A.G. 492,919 555,856 517 WACKER CHEMIE A.G. 55,413 59,550 ----------- ------------- 9,554,265 10,878,975 5.29% Greece: 10,237 ALPHA BANK A.E.(b) 72,204 110,618 11,575 COCA COLA HELLENIC BOTTLING CO. S.A. 209,357 237,187 2,199 EFG EUROBANK ERGASIAS S.A.(b) 10,095 22,908 2,715 HELLENIC TELECOMMUNICATIONS ORGANIZATION S.A. 39,270 41,441 9,422 MARFIN INVESTMENT GROUP S.A.(b) 27,970 40,145
See accompanying notes to the financial statements. 68 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ------------------------------------------------- ------------- ------------- ----------- Greece (Cont'd): 9,916 NATIONAL BANK OF GREECE S.A.(b) $ 193,952 271,685 2,383 OPAP S.A. 63,182 63,289 7,703 PIRAEUS BANK S.A.(b) 62,054 75,931 2,492 PUBLIC POWER CORP. S.A.(b) 42,963 51,290 ---------- ------------- 721,047 914,494 0.45% Hong Kong: 35,300 BANK OF EAST ASIA LTD. 65,693 107,549 23,000 BELLE INTERNATIONAL HOLDINGS LTD. 11,860 20,192 123,100 BOC HONG KONG HOLDINGS LTD. 192,153 217,905 26,000 CATHAY PACIFIC AIRWAYS LTD. 31,809 35,736 20,000 CHEUNG KONG HOLDINGS LTD. 172,258 229,287 48,000 CLP HOLDINGS LTD. 327,332 318,414 12,600 DAIRY FARM INTERNATIONAL HOLDINGS LTD. 55,834 81,331 10,700 ESPRIT HOLDINGS LTD. 56,088 59,578 70,000 FIRST PACIFIC CO. 22,580 40,441 33,000 FOXCONN INTERNATIONAL HOLDINGS LTD.(b) 22,488 21,990 12,000 FUSHAN INTERNATIONAL ENERGY GROUP LTD.(b) 5,831 6,715 99,000 GENTING SINGAPORE PLC(b) 49,739 46,476 82,000 GUOCO GROUP LTD. 684,392 709,600 23,000 HANG LUNG GROUP LTD. 70,215 108,119 30,000 HANG LUNG PROPERTIES LTD. 64,007 99,032 11,500 HANG SENG BANK LTD. 124,740 163,269 13,000 HENDERSON LAND DEVELOPMENT CO. LTD. 45,544 74,375 2,000 HENGAN INTERNATIONAL GROUP CO. LTD. 7,168 9,339 53,600 HKR INTERNATIONAL LTD. 10,888 22,333 91,000 HONG KONG & CHINA GAS CO. LTD. 149,918 191,266 1,500 HONG KONG ELECTRIC HOLDINGS CO. LTD. 8,576 8,344 16,300 HONG KONG EXCHANGES AND CLEARING LTD. 155,347 252,889 10,500 HONGKONG & SHANGHAI (THE) HOTELS 9,511 10,645 8,000 HONGKONG LAND HOLDINGS LTD. 19,219 28,243 400 HOPEWELL HIGHWAY INFRASTRUCTURE LTD. 229 225 4,000 HOPEWELL HOLDINGS LTD. 10,853 12,483 10,000 HOPSON DEVELOPMENT HOLDINGS LTD. 14,210 15,353 49,000 HUTCHISON TELECOMMUNICATIONS INTERNATIONAL LTD. 8,078 11,491 36,000 HUTCHISON WHAMPOA LTD. 189,637 234,724 29,000 INDUSTRIAL & COMMERCIAL BANK OF CHINA ASIA LTD. 30,762 52,326 29,000 KERRY PROPERTIES LTD. 97,171 128,907 60,000 LI & FUNG LTD. 147,736 160,388 67,500 LINK REIT (THE) 137,581 143,909 16,500 MTR CORP. 38,268 49,447 72,400 NEW WORLD CHINA LAND LTD. 39,890 40,177 72,000 NEW WORLD DEVELOPMENT LTD. 89,485 129,967 8,000 NOBLE GROUP LTD. 8,052 10,016 6,000 NWS HOLDINGS LTD. 10,371 10,800 29,000 PACIFIC ANDES HOLDINGS LTD. 7,954 4,564 19,000 PACIFIC CENTURY PREMIUM DEVELOPMENTS LTD.(b) 3,825 4,465 22,000 ROAD KING INFRASTRUCTURE 7,853 16,393 20,000 SA SA INTERNATIONAL HOLDINGS LTD. 5,629 7,491 24,000 SHANGRI-LA ASIA LTD. 31,866 35,890 36,000 SINO LAND CO. 42,353 59,158 128,000 SINOLINK WORLDWIDE HOLDINGS 17,753 20,537 9,500 SMARTONE TELECOMMUNICATIONS HOLDING LTD. 5,769 5,862 20,000 SUN HUNG KAI PROPERTIES LTD. 177,899 248,945 19,000 SWIRE PACIFIC LTD., CLASS A 143,178 191,313 7,000 TELEVISION BROADCASTS LTD. 23,754 28,243 5,000 VTECH HOLDINGS LTD. 32,489 34,272 37,000 WHARF HOLDINGS LTD. 94,826 156,421 23,000 WHEELOCK & CO. LTD. 40,132 59,184 26,000 XINYI GLASS HOLDING CO. LTD. 22,400 22,368 38,000 YUE YUEN INDUSTRIAL HOLDINGS LTD. 77,204 89,452 ---------- ------------- 3,920,397 4,847,839 2.36% India: 13,000 STERLITE INDUSTRIES INDIA LTD. ADR 158,151 161,720 ---------- ------------- 158,151 161,720 0.08% Ireland: 21,988 COVIDIEN PLC 785,563 823,231
See accompanying notes to the financial statements. 69 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- -------------------------------------------------- ------------- ------------- ----------- Ireland (Cont'd): 8,371 CRH PLC $ 189,905 191,421 1,358 CRH PLC - DUBLIN 27,314 31,134 5,000 DCC PLC 109,069 103,183 5,458 ELAN CORP. PLC(b) 31,760 36,097 666 ELAN CORP. PLC(b) 5,141 4,459 146,954 EXPERIAN PLC 1,100,669 1,101,353 6,300 KERRY GROUP PLC, CLASS A 131,571 143,833 1,776 KERRY GROUP PLC, CLASS A(b) 35,054 40,292 ---------- ------------ 2,416,046 2,475,003 1.20% Italy: 41,159 A2A S.P.A. 67,304 75,277 7,890 ACEA S.P.A. 89,392 96,410 7,420 ALLEANZA ASSICURAZIONI S.P.A. 36,612 51,092 194 ANSALDO STS S.P.A. 2,982 3,578 14,341 ASSICURAZIONI GENERALI S.P.A. 226,041 299,303 4,399 ATLANTIA S.P.A. 77,023 89,029 18,162 AUTOGRILL S.P.A. 129,365 154,046 2,752 BANCA CARIGE S.P.A. 7,205 7,566 20,519 BANCA MONTE DEI PASCHI DI SIENA S.P.A. 32,088 33,144 10,828 BANCA POPOLARE DI MILANO SCRL 46,764 64,802 23,997 BANCO POPOLARE SCARL(b) 93,645 179,205 14,000 BENETTON GROUP S.P.A. 95,948 123,149 52,776 BENI STABILI S.P.A. 34,509 41,363 2,148 BULGARI S.P.A. 9,445 11,578 4,330 CIR-COMPAGNIE INDUSTRIALI RIUNITE S.P.A.(b) 5,464 7,163 4,000 DAVIDE CAMPARI-MILANO S.P.A. 27,005 32,100 37,336 ENEL COMST(b) 129,137 181,751 86,444 ENEL S.P.A. 431,265 421,134 43,855 ENI S.P.A. 882,244 1,040,384 1,200 FASTWEB(b) 28,153 28,077 10,667 FIAT S.P.A.(b) 65,563 108,216 18,053 FINMECCANICA S.P.A. 241,900 254,750 642 FONDIARIA-SAI S.P.A. 7,308 10,423 32,000 HERA S.P.A. 62,601 78,044 141,103 INTESA SANPAOLO S.P.A.(b) 391,952 457,488 16,000 IRIDE S.P.A. 30,985 27,656 886 LOTTOMATICA S.P.A. 14,246 17,106 1,095 LUXOTTICA GROUP S.P.A.(b) 14,342 22,774 8,238 MEDIASET S.P.A. 35,497 46,326 13,691 MEDIOBANCA S.P.A. 131,569 164,558 41,558 MEDIOLANUM S.P.A. 143,594 222,404 8,678 MILANO ASSICURAZIONI S.P.A. 26,985 28,802 20,039 PARMALAT S.P.A. 36,886 48,422 8,416 PICCOLO CREDITO VALTELLINESE SCARL 69,704 76,207 2,966 PRYSMIAN S.P.A. 29,515 44,682 3,842 SAIPEM S.P.A. 66,811 93,787 53,519 SNAM RETE GAS S.P.A. 243,142 235,433 5,506 SOCIETA INIZIATIVE AUTOSTRADALI E SERVIZI S.P.A. 27,910 38,438 158,727 TELECOM ITALIA S.P.A. 212,786 219,841 6,028 TENARIS S.A. 60,927 81,494 22,370 TERNA S.P.A. 71,955 74,611 229,149 UNICREDIT S.P.A. (MILAN EXCHANGE)(b) 360,753 587,083 11,384 UNIONE DI BANCHE ITALIANE SCPA 126,588 148,607 ---------- ------------ 4,925,110 6,027,303 2.93% Japan: 23,000 77 BANK (THE) LTD. 130,705 133,407 5,200 ADVANTEST CORP. 86,387 93,778 32,200 AEON CO. LTD. 209,859 317,182 12,000 AIOI INSURANCE CO. LTD. 49,160 54,555 2,300 AISIN SEIKI CO. LTD. 37,584 49,739 36,000 AJINOMOTO CO., INC. 256,584 284,480 2,000 AMADA CO. LTD. 10,582 12,360 19,200 ASAHI BREWERIES LTD. 245,519 275,723 15,000 ASAHI GLASS CO. LTD. 80,697 119,706 13,000 ASAHI KASEI CORP. 46,220 65,876 7,600 ASTELLAS PHARMA, INC. 243,758 268,466
See accompanying notes to the financial statements. 70 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ----------- ---------------------------------------- ------------ ----------- ----------- Japan (Cont'd): 11,000 BANK OF KYOTO (THE) LTD. $ 98,298 101,684 23,000 BANK OF YOKOHAMA (THE) LTD. 96,740 122,505 1,300 BENESSE CORP. 48,395 51,957 13,800 BRIDGESTONE CORP. 205,726 215,570 5,700 BROTHER INDUSTRIES LTD. 42,142 50,317 1,100 CANON MARKETING JAPAN, INC. 15,818 15,356 20,000 CANON, INC. 593,391 650,948 3,800 CASIO COMPUTER CO. LTD. 28,796 33,824 20 CENTRAL JAPAN RAILWAY CO. 108,338 122,886 15,000 CHIBA BANK (THE) LTD. 81,968 97,598 13,800 CHUBU ELECTRIC POWER CO., INC. 306,766 319,004 1,900 CHUGAI PHARMACEUTICAL CO. LTD. 30,706 36,200 5,000 CHUGOKU BANK (THE) LTD. 66,267 69,201 800 CHUGOKU ELECTRIC POWER (THE) CO., INC. 16,535 16,701 32,000 CHUO MITSUI TRUST HOLDINGS, INC.(b) 115,016 121,442 7,900 CITIZEN HOLDINGS CO. LTD. 31,581 40,295 2,000 COCA-COLA WEST CO. LTD. 30,433 38,226 13,000 COSMO OIL CO. LTD. 41,210 44,058 34,600 CREDIT SAISON CO. LTD. 472,224 436,904 26,000 DAI NIPPON PRINTING CO. LTD. 243,691 355,430 5,000 DAIHATSU MOTOR CO. LTD. 40,684 46,330 14,300 DAIICHI SANKYO CO. LTD. 249,753 255,884 4,300 DAIKIN INDUSTRIES LTD. 117,015 137,466 13,000 DAINIPPON SUMITOMO PHARMA CO. LTD. 103,231 113,605 1,200 DAITO TRUST CONSTRUCTION CO. LTD. 42,344 56,328 6,000 DAIWA HOUSE INDUSTRY CO. LTD. 45,826 64,295 158,000 DAIWA SECURITIES GROUP, INC. 942,699 933,863 8 DENA CO. LTD. 26,427 26,740 4,000 DENKI KAGAKU KOGYO K.K. 7,188 11,068 6,300 DENSO CORP. 131,613 160,600 12,100 DENTSU, INC. 218,917 253,404 3,600 EAST JAPAN RAILWAY CO. 188,040 216,782 9,100 EISAI CO. LTD. 276,246 323,793 500 ELECTRIC POWER DEVELOPMENT CO. LTD. 14,034 14,170 6,400 FAMILYMART CO. LTD. 186,965 200,593 2,600 FANUC LTD. 182,941 207,458 700 FAST RETAILING CO. LTD. 76,899 91,172 53,000 FUJI HEAVY INDUSTRIES LTD. 192,430 213,162 19,200 FUJIFILM HOLDINGS CORP. 471,781 605,737 75,000 FUJITSU LTD. 286,506 406,411 11,000 FUKUOKA FINANCIAL GROUP, INC. 36,036 49,051 15,000 FURUKAWA ELECTRIC (THE) CO. LTD. 48,082 67,280 8,000 GS YUASA CORP. 58,714 70,242 6,000 GUNMA BANK (THE) LTD. 31,571 33,271 12,000 HACHIJUNI BANK (THE) LTD. 67,350 67,697 14,000 HANKYU HANSHIN HOLDINGS, INC. 64,345 65,518 500 HIROSE ELECTRIC CO. LTD. 48,402 53,161 7,000 HIROSHIMA BANK (THE) LTD. 26,154 29,092 600 HISAMITSU PHARMACEUTICAL CO., INC. 17,668 18,638 103,000 HITACHI LTD. 293,171 319,019 25,000 HOKUHOKU FINANCIAL GROUP, INC. 45,996 62,445 5,000 HOKURIKU ELECTRIC POWER CO. 118,737 114,296 29,500 HONDA MOTOR CO. LTD. 747,585 807,754 5,000 HOYA CORP. 100,495 100,114 1,600 IBIDEN CO. LTD. 37,951 44,695 1,500 IDEMITSU KOSAN CO. LTD. 120,605 128,253 24,000 IHI CORP.(b) 31,334 41,287 11 INPEX CORP. 77,116 87,619 4,500 ISETAN MITSUKOSHI HOLDINGS LTD. 35,506 45,689 22,000 ISUZU MOTORS LTD. 36,516 35,137 24,000 ITOCHU CORP. 125,438 165,768 3,000 IYO BANK (THE) LTD. 30,900 30,575 35,000 J FRONT RETAILING CO. LTD. 140,037 166,524 8,000 JAPAN AIRLINES CORP.(b) 16,249 15,413 6 JAPAN REAL ESTATE INVESTMENT CORP. 46,693 49,798 2 JAPAN RETAIL FUND INVESTMENT CORP. 8,807 9,227 5,000 JAPAN STEEL WORKS (THE) LTD. 47,736 61,390 81 JAPAN TOBACCO, INC. 211,027 252,477
See accompanying notes to the financial statements. 71 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ------------------------------------------------ ------------- ------------- ----------- Japan (Cont'd): 7,100 JFE HOLDINGS, INC. $ 169,478 237,146 4,000 JGC CORP. 53,048 64,345 7,000 JOYO BANK (THE) LTD. 32,424 35,587 5,100 JS GROUP CORP. 59,682 78,534 3,100 JSR CORP. 39,530 52,829 5,000 JTEKT CORP. 36,670 50,412 45 JUPITER TELECOMMUNICATIONS CO. LTD. 27,159 34,117 7,000 KAJIMA CORP. 15,004 21,765 11,000 KAMIGUMI CO. LTD. 72,240 92,599 9,000 KANEKA CORP. 58,676 63,678 7,500 KANSAI ELECTRIC POWER (THE) CO., INC. 155,419 165,513 2,000 KANSAI PAINT CO. LTD. 10,449 14,319 13,000 KAO CORP. 259,615 283,317 35,000 KAWASAKI HEAVY INDUSTRIES LTD. 71,135 95,927 20,000 KAWASAKI KISEN KAISHA LTD. 71,674 81,870 50 KDDI CORP. 240,697 265,091 6,000 KEIHIN ELECTRIC EXPRESS RAILWAY CO. LTD. 45,614 46,510 3,000 KEIO CORP. 15,740 17,432 5,000 KEISEI ELECTRIC RAILWAY CO. LTD. 23,110 29,772 710 KEYENCE CORP. 131,805 144,494 6,000 KIKKOMAN CORP. 52,867 60,061 24,000 KINTETSU CORP. 98,606 105,733 24,000 KIRIN HOLDINGS CO. LTD. 250,980 335,051 114,000 KOBE STEEL LTD. 204,331 210,677 15,100 KOMATSU LTD. 187,238 231,747 3,900 KONAMI CORP. 61,913 74,665 12,000 KONICA MINOLTA HOLDINGS, INC. 114,024 124,691 21,000 KUBOTA CORP. 129,773 172,467 5,500 KURARAY CO. LTD. 46,234 60,967 4,300 KURITA WATER INDUSTRIES LTD. 96,931 138,529 2,000 KYOCERA CORP. 133,049 150,031 3,000 KYOWA HAKKO KOGYO CO. LTD. 23,089 33,835 3,300 KYUSHU ELECTRIC POWER CO., INC. 71,292 71,025 4,500 LAWSON, INC. 172,333 197,754 2,000 MAKITA CORP. 45,574 48,169 27,000 MARUBENI CORP. 91,249 119,285 6,500 MARUI GROUP CO. LTD.(b) 32,287 45,587 7,300 MATSUI SECURITIES CO. LTD. 62,018 65,989 84,000 MAZDA MOTOR CORP. 191,450 213,256 2,700 MEDICEO PALTAC HOLDINGS CO. LTD. 27,389 30,896 1,700 MEIJI HOLDINGS CO. LTD.(b) 54,895 68,324 13,500 MEITEC CORP. 244,689 232,039 60,000 MITSUBISHI CHEMICAL HOLDINGS CORP. 249,735 253,121 19,800 MITSUBISHI CORP. 272,365 363,635 32,000 MITSUBISHI ELECTRIC CORP. 148,393 201,351 18,000 MITSUBISHI ESTATE CO. LTD. 212,941 298,191 17,000 MITSUBISHI GAS CHEMICAL CO., INC. 75,149 92,455 57,000 MITSUBISHI HEAVY INDUSTRIES LTD. 185,317 235,128 18,000 MITSUBISHI MATERIALS CORP. 47,129 55,936 48,000 MITSUBISHI MOTORS CORP.(b) 72,153 89,614 22,000 MITSUBISHI TANABE PHARMA CORP. 245,544 252,835 190,500 MITSUBISHI UFJ FINANCIAL GROUP, INC. 1,008,440 1,171,055 1,290 MITSUBISHI UFJ LEASE & FINANCE CO. LTD. 33,945 41,714 57,000 MITSUI & CO. LTD. 629,452 671,497 61,000 MITSUI CHEMICALS, INC. 189,599 194,294 35,000 MITSUI ENGINEERING & SHIPBUILDING CO. LTD. 83,842 82,056 14,000 MITSUI FUDOSAN CO. LTD. 160,770 242,551 3,000 MITSUI MINING & SMELTING CO. LTD.(b) 5,391 7,716 17,000 MITSUI O.S.K. LINES LTD. 90,171 109,675 6,200 MITSUI SUMITOMO INSURANCE GROUP HOLDINGS, INC. 151,564 161,679 181,400 MIZUHO FINANCIAL GROUP, INC. 407,056 421,904 29,000 MIZUHO SECURITIES CO. LTD. 61,853 90,151 44,000 MIZUHO TRUST & BANKING CO. LTD.(b) 49,332 56,649 2,500 MURATA MANUFACTURING CO. LTD. 101,583 105,963 1,500 NAMCO BANDAI HOLDINGS, INC. 14,652 16,453 83,000 NEC CORP.(b) 220,424 324,056 3,000 NGK INSULATORS LTD. 44,485 60,918 3,000 NGK SPARK PLUG CO. LTD. 28,359 28,511
See accompanying notes to the financial statements. 72 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ------------------------------------ ------------ ----------- ----------- Japan (Cont'd): 1,600 NIDEC CORP. $ 75,128 96,684 6,000 NIKON CORP. 75,728 103,148 2,800 NINTENDO CO. LTD. 785,072 770,582 11 NIPPON BUILDING FUND, INC. 90,970 94,142 9,000 NIPPON ELECTRIC GLASS CO. LTD. 66,934 100,322 16,000 NIPPON EXPRESS CO. LTD. 59,313 72,490 15,000 NIPPON MEAT PACKERS, INC. 161,126 189,179 44,000 NIPPON MINING HOLDINGS, INC. 233,969 227,091 24,000 NIPPON OIL CORP. 115,186 141,267 7,100 NIPPON PAPER GROUP, INC. 189,696 183,429 11,000 NIPPON SHEET GLASS CO. LTD. 30,764 31,856 69,000 NIPPON STEEL CORP. 191,872 263,153 9,900 NIPPON TELEGRAPH & TELEPHONE CORP. 384,604 402,816 22,000 NIPPON YUSEN KABUSHIKI KAISHA 94,384 94,403 14,000 NIPPONKOA INSURANCE CO. LTD. 82,097 81,204 17,000 NISHI-NIPPON CITY BANK (THE) LTD. 40,901 42,750 34,300 NISSAN MOTOR CO. LTD. 135,149 207,080 3,500 NISSHIN SEIFUN GROUP, INC. 36,718 41,553 15,000 NISSHIN STEEL CO. LTD. 27,029 33,365 3,000 NISSHINBO INDUSTRIES, INC. 23,700 33,798 600 NITORI CO. LTD. 33,819 42,586 3,200 NITTO DENKO CORP. 77,639 96,966 40,100 NOMURA HOLDINGS, INC. 213,703 335,967 11,200 NOMURA RESEARCH INSTITUTE LTD. 182,173 248,465 6,000 NSK LTD. 24,006 30,290 2,000 NTN CORP. 5,258 7,962 76 NTT DATA CORP. 207,174 245,080 299 NTT DOCOMO, INC. 430,006 436,705 4,000 OBAYASHI CORP. 18,670 19,564 8,000 ODAKYU ELECTRIC RAILWAY CO. LTD. 62,234 68,408 13,000 OJI PAPER CO. LTD. 49,994 55,796 4,000 OLYMPUS CORP. 61,766 93,995 18,300 OMRON CORP. 236,038 263,145 3,900 ONO PHARMACEUTICAL CO. LTD. 184,081 172,548 800 ORIENTAL LAND CO. LTD. 50,479 53,562 1,390 ORIX CORP. 43,400 81,977 24,000 OSAKA GAS CO. LTD. 74,241 76,601 37,400 PANASONIC CORP. 473,893 501,656 6,000 PANASONIC ELECTRIC WORKS CO. LTD. 41,493 56,639 4,700 PROMISE CO. LTD. 60,972 59,835 74 RAKUTEN, INC. 33,877 44,477 7,700 RESONA HOLDINGS, INC. 105,673 107,936 25,000 RICOH CO. LTD. 304,864 320,247 1,200 RINNAI CORP. 52,047 52,973 1,800 ROHM CO. LTD. 92,986 130,742 9,200 SANKYO CO. LTD. 481,121 491,812 500 SANTEN PHARMACEUTICAL CO. LTD. 14,009 15,207 23,000 SANYO ELECTRIC CO. LTD.(b) 34,946 59,452 20,100 SAPPORO HOKUYO HOLDINGS, INC.(b) 55,848 57,575 433 SBI HOLDINGS, INC. 45,378 87,752 2,300 SECOM CO. LTD. 86,595 93,294 17,800 SEGA SAMMY HOLDINGS, INC. 162,933 225,082 11,500 SEIKO EPSON CORP. 173,831 186,736 20,000 SEINO HOLDINGS CORP. 156,683 165,928 13,000 SEKISUI CHEMICAL CO. LTD. 66,177 81,455 6,000 SEKISUI HOUSE LTD. 44,394 60,651 13,000 SEVEN & I HOLDINGS CO. LTD. 286,258 304,999 4 SEVEN BANK LTD. 9,649 10,459 15,000 SHARP CORP. 126,468 154,765 4,200 SHIKOKU ELECTRIC POWER CO., INC. 116,898 125,384 4,000 SHIMADZU CORP. 25,419 31,939 1,000 SHIMAMURA CO. LTD. 61,206 79,415 300 SHIMANO, INC. 9,386 11,449 8,000 SHIMIZU CORP. 34,110 34,730 4,900 SHIN-ETSU CHEMICAL CO. LTD. 236,142 226,311 23,000 SHINSEI BANK LTD.(b) 30,029 36,719 9,000 SHIONOGI & CO. LTD. 163,104 173,863 4,000 SHISEIDO CO. LTD. 57,787 65,449
See accompanying notes to the financial statements. 73 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ----------------------------------------- ------------ ------------- ----------- Japan (Cont'd): 8,000 SHIZUOKA BANK (THE) LTD. $ 74,794 79,024 21,000 SHOWA DENKO K.K. 33,824 37,476 7,400 SHOWA SHELL SEKIYU K.K. 69,579 78,002 600 SMC CORP. OF JAPAN 57,789 64,311 10,000 SOFTBANK CORP. 133,159 194,202 31,700 SOJITZ CORP. 56,183 69,199 11,000 SOMPO JAPAN INSURANCE, INC. 58,735 73,031 13,500 SONY CORP. 287,930 348,742 33 SONY FINANCIAL HOLDINGS, INC. 85,415 90,838 2,700 STANLEY ELECTRIC CO. LTD. 30,745 54,384 9,300 SUMCO CORP. 135,927 131,650 52,000 SUMITOMO CHEMICAL CO. LTD. 210,790 233,084 17,400 SUMITOMO CORP. 156,343 175,957 8,800 SUMITOMO ELECTRIC INDUSTRIES LTD. 75,679 98,651 12,000 SUMITOMO HEAVY INDUSTRIES LTD. 39,379 53,087 53,000 SUMITOMO METAL INDUSTRIES LTD. 115,452 139,976 9,000 SUMITOMO METAL MINING CO. LTD. 88,484 126,560 11,800 SUMITOMO MITSUI FINANCIAL GROUP, INC. 424,831 477,179 7,000 SUMITOMO REALTY & DEVELOPMENT CO. LTD. 81,291 127,333 62,000 SUMITOMO TRUST & BANKING (THE) CO. LTD. 266,387 333,758 1,000 SURUGA BANK (THE) LTD. 8,247 9,532 5,800 SUZUKEN CO. LTD. 156,522 167,712 15,600 SUZUKI MOTOR CORP. 285,138 348,833 2,500 T&D HOLDINGS, INC. 62,226 71,286 15,000 TAIHEIYO CEMENT CORP. 28,844 25,686 11,000 TAISEI CORP. 19,821 26,483 9,000 TAISHO PHARMACEUTICAL CO. LTD. 169,993 170,337 2,000 TAIYO NIPPON SANSO CORP. 11,493 19,026 31,000 TAKASHIMAYA CO. LTD. 196,197 243,568 14,700 TAKEDA PHARMACEUTICAL CO. LTD. 538,746 571,200 1,500 TDK CORP. 58,582 70,116 63,000 TEIJIN LTD. 147,752 202,350 2,600 TERUMO CORP. 95,419 114,454 2,000 THK CO. LTD. 29,290 29,822 19,000 TOBU RAILWAY CO. LTD. 97,844 111,606 1,000 TOHO CO. LTD. OF TOKYO 13,412 16,278 3,000 TOHO GAS CO. LTD. 13,595 12,187 7,700 TOHOKU ELECTRIC POWER CO., INC. 163,889 160,940 18,200 TOKIO MARINE HOLDINGS, INC. 476,652 499,864 5,000 TOKUYAMA CORP. 31,864 36,530 23,900 TOKYO ELECTRIC POWER (THE) CO., INC. 600,438 614,334 3,200 TOKYO ELECTRON LTD. 128,746 153,699 46,000 TOKYO GAS CO. LTD. 160,535 164,454 14,000 TOKYU CORP. 57,421 70,525 20,000 TOKYU LAND CORP. 69,576 90,343 10,000 TONENGENERAL SEKIYU K.K. 100,085 101,627 37,000 TOPPAN PRINTING CO. LTD. 285,254 371,836 17,000 TORAY INDUSTRIES, INC. 70,413 86,326 53,000 TOSHIBA CORP. 147,582 190,787 6,000 TOTO LTD. 30,029 41,828 1,800 TOYO SEIKAN KAISHA LTD. 24,940 37,935 1,000 TOYO SUISAN KAISHA LTD. 23,262 20,639 2,300 TOYOTA INDUSTRIES CORP. 51,959 56,986 54,600 TOYOTA MOTOR CORP. 1,896,045 2,064,142 1,800 TOYOTA TSUSHO CORP. 14,973 26,538 2,500 TREND MICRO, INC. 74,501 79,581 1,700 TSUMURA & CO. 50,505 52,973 8,000 UBE INDUSTRIES LTD. 13,963 22,301 700 UNI-CHARM CORP. 42,706 53,439 5,000 UNY CO. LTD. 38,051 42,536 1,000 USHIO, INC. 14,106 15,947 130 USS CO. LTD. 5,696 6,670 101 WEST JAPAN RAILWAY CO. 327,131 333,725 236 YAHOO! JAPAN CORP. 62,283 75,002 2,500 YAKULT HONSHA CO. LTD. 42,793 47,630 1,270 YAMADA DENKI CO. LTD. 52,100 73,789 6,000 YAMAGUCHI FINANCIAL GROUP, INC. 69,230 79,061 4,000 YAMAHA CORP. 50,320 49,686
See accompanying notes to the financial statements. 74 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ----------- ---------------------------------------------- ------------- -------------- ----------- Japan (Cont'd): 18,400 YAMAHA MOTOR CO. LTD. $ 167,312 203,212 9,000 YAMATO HOLDINGS CO. LTD. 96,669 119,576 13,000 YAMAZAKI BAKING CO. LTD. 144,946 146,641 ----------- ------------ 37,814,889 43,223,694 21.03% Mexico: 8,100 FOMENTO ECONOMICO MEXICANO S.A. DE C.V. ADR 248,871 261,306 96,896 GRUPO MODELO S.A.B. DE C.V., SERIES C(b) 338,706 343,731 ----------- ------------ 587,577 605,037 0.30% Netherlands: 47,035 AEGON N.V. 242,093 289,300 3,274 AKZO NOBEL N.V. 134,323 144,075 13,648 ARCELORMITTAL 291,140 448,231 5,963 ASML HOLDING N.V.(b) 107,018 129,341 1,079 CORIO N.V. 43,024 52,595 6,423 EUROPEAN AERONAUTIC DEFENCE & SPACE CO. N.V. 81,439 104,091 347 FUGRO N.V. - CVA 9,792 14,409 1,187 HEINEKEN HOLDING N.V. 29,352 37,765 3,004 HEINEKEN N.V. 84,487 111,613 5,366 IMTECH N.V. 75,752 104,443 30,313 ING GROEP N.V. - CVA 202,532 305,109 8,662 JAMES HARDIE INDUSTRIES N.V.(b) 31,148 29,121 15,811 KONINKLIJKE AHOLD N.V. 177,973 181,687 1,387 KONINKLIJKE DSM N.V. 35,669 43,458 44,874 KONINKLIJKE KPN N.V. 586,880 618,186 18,384 KONINKLIJKE PHILIPS ELECTRONICS N.V. 321,594 339,950 2,599 NUTRECO HOLDING N.V. 93,846 101,425 2,977 QIAGEN N.V.(b) 47,317 55,257 4,573 RANDSTAD HOLDINGS N.V.(b) 97,666 126,939 7,654 REED ELSEVIER N.V. 82,220 84,412 10,738 ROYAL DUTCH SHELL PLC, CLASS A (AMSTERDAM EXCHANGE) 279,132 268,140 51,695 ROYAL DUTCH SHELL PLC, CLASS A (LONDON EXCHANGE) 1,184,170 1,294,706 38,993 ROYAL DUTCH SHELL PLC, CLASS B (LONDON EXCHANGE) 872,356 984,468 6,056 SBM OFFSHORE N.V. 85,999 103,737 2,181 SNS REAAL 6,124 12,181 8,454 TNT N.V. 150,536 164,666 28,402 UNILEVER N.V. - CVA 579,364 685,458 21,620 WOLTERS KLUWER N.V. 361,577 378,315 ----------- ------------ 6,294,523 7,213,078 3.51% New Zealand: 34,600 AIR NEW ZEALAND LTD. 21,006 20,060 6,949 CONTACT ENERGY LTD. 21,310 26,156 16,746 FLETCHER BUILDING LTD. 56,631 70,889 25,416 TELECOM CORP. OF NEW ZEALAND LTD. 36,442 44,654 10,300 VECTOR LTD. 13,181 13,542 ----------- ------------ 148,570 175,301 0.09% Norway: 9,200 DNB NOR ASA(b) 37,422 70,438 21,050 NORSK HYDRO ASA(b) 88,290 108,604 12,000 ORKLA ASA 80,407 87,418 6,600 SEADRILL LTD. 70,381 94,833 21,648 STATOILHYDRO ASA 398,830 427,622 15,000 STOREBRAND ASA(b) 52,704 65,620 10,900 TELENOR ASA(b) 62,904 84,144 2,500 YARA INTERNATIONAL ASA 58,115 70,009 ----------- ------------ 849,053 1,008,688 0.49% Portugal: 150,387 BANCO COMERCIAL PORTUGUES S.A. (REGISTERED) 163,933 152,760 14,486 BANCO ESPIRITO SANTO S.A. (REGISTERED) 65,645 78,169 3,480 BRISA AUTO-ESTRADAS DE PORTUGAL S.A. 21,107 25,051 8,464 CIMPOR CIMENTOS DE PORTUGAL SGPS S.A. 39,214 61,759 10,721 ENERGIAS DE PORTUGAL S.A. 35,902 42,066 2,881 GALP ENERGIA SGPS S.A., CLASS B 35,487 40,474 6,408 JERONIMO MARTINS SGPS S.A. 30,015 43,749
See accompanying notes to the financial statements. 75 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ---------------------------------------------- ------------ ------------- ----------- Portugal (Cont'd): 7,384 PORTUGAL TELECOM, SGPS, S.A. (REGISTERED) $ 57,187 72,312 16,000 REN - REDES ENERGETICAS NACIONAIS S.A. 68,481 68,511 1,430 ZON MULTIMEDIA SERVICOS DE TELECOMUNICACOES E MULTIMEDIA SGPS S.A. 7,522 7,619 ---------- ------------ 524,493 592,470 0.29% Russia: 2,500 LUKOIL ADR (OTC EXCHANGE) 115,716 111,750 ---------- ------------ 115,716 111,750 0.05% Singapore: 49,500 CAPITALAND LTD. 85,171 125,718 62,000 CAPITAMALL TRUST 54,288 59,693 9,000 CITY DEVELOPMENTS LTD. 27,561 53,125 70,000 COMFORTDELGRO CORP. LTD. 61,804 61,803 64,500 DBS GROUP HOLDINGS LTD. 448,057 523,445 37,000 FRASER AND NEAVE LTD. 58,486 109,293 6,000 GOLDEN AGRI-RESOURCES LTD.(b) 1,935 1,570 11,000 HONG LEONG ASIA LTD. 10,545 11,294 9,000 JARDINE CYCLE & CARRIAGE LTD. 69,445 119,128 66,200 KEPPEL CORP. LTD. 269,795 314,292 28,000 OLAM INTERNATIONAL LTD. 32,014 46,817 44,000 OVERSEA-CHINESE BANKING CORP. 141,236 202,333 27,000 SEMBCORP INDUSTRIES LTD. 45,845 56,131 22,000 SEMBCORP MARINE LTD. 32,803 40,540 7,000 SIA ENGINEERING CO. LTD. 7,470 13,477 12,000 SINGAPORE AIRLINES LTD. 80,437 109,938 19,000 SINGAPORE EXCHANGE LTD. 59,149 92,824 2,000 SINGAPORE LAND LTD. 7,350 7,360 36,000 SINGAPORE PRESS HOLDINGS LTD. 59,064 78,378 8,000 SINGAPORE TECHNOLOGIES ENGINEERING LTD. 11,921 13,503 112,000 SINGAPORE TELECOMMUNICATIONS LTD. 184,276 231,114 6,000 UNITED INDUSTRIAL CORP. LTD. 5,338 7,427 25,000 UNITED OVERSEAS BANK LTD. 160,579 252,536 33,000 UOB-KAY HIAN HOLDINGS LTD. 21,774 30,393 35,000 UOL GROUP LTD. 78,872 79,525 13,000 WILMAR INTERNATIONAL LTD. 29,032 44,928 ---------- ------------ 2,044,247 2,686,585 1.31% South Africa: 7,000 MTN GROUP LTD. 103,838 107,548 ---------- ------------ 103,838 107,548 0.05% South Korea: 2,760 DAEWOO SHIPBUILDING & MARINE ENGINEERING CO. LTD. 43,070 43,095 3,900 DAISHIN SECURITIES CO. LTD. 49,482 47,481 560 DOOSAN CORP. 41,757 38,892 3,560 GS HOLDINGS CORP. 82,708 83,105 280 GS HOME SHOPPING, INC. 14,981 14,255 1,160 HANA FINANCIAL GROUP, INC. 24,227 24,745 4,170 HYNIX SEMICONDUCTOR, INC.(b) 45,260 44,428 1,140 HYUNDAI DEPARTMENT STORE CO. LTD. 76,509 79,931 150 HYUNDAI DEVELOPMENT CO. 5,344 4,724 660 HYUNDAI ENGINEERING & CONSTRUCTION CO. LTD. 28,567 27,525 560 HYUNDAI MIPO DOCKYARD 55,302 55,343 1,480 HYUNDAI MOBIS 129,831 129,033 6,790 HYUNDAI SECURITIES CO. 77,315 73,858 50 HYUNDAI STEEL CO. 2,275 2,302 30 KCC CORP. 8,652 8,846 490 KISWIRE LTD. 16,194 17,122 1,880 KOREA INVESTMENT HOLDINGS CO. LTD. 55,603 53,833 880 KOREA ZINC CO. LTD. 96,058 95,106 850 LG CHEM LTD. 91,345 92,690 1,390 LG DACOM CORP. 18,791 19,198 1,100 LG ELECTRONICS, INC. 100,585 100,497 208 LOTTE CHILSUNG BEVERAGE CO. LTD. 135,438 138,647 360 LOTTE SHOPPING CO. LTD. 69,458 73,810 470 LS CORP. 34,331 34,672 340 NHN CORP.(b) 45,987 46,979
See accompanying notes to the financial statements. 76 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- -------------------------------------------------- ------------ ------------- ----------- South Korea (Cont'd): 320 PACIFIC CORP. $ 27,999 29,369 750 SAMSUNG C&T CORP. 24,933 25,166 160 SAMSUNG ELECTRO-MECHANICS CO. LTD. 7,661 7,639 1,301 SAMSUNG ELECTRONICS CO. LTD. 586,774 602,523 290 SAMSUNG FIRE & MARINE INSURANCE CO. LTD. 41,757 42,677 1,030 SAMSUNG HEAVY INDUSTRIES CO. LTD. 23,169 23,349 800 SAMSUNG SDI CO. LTD. 64,188 64,667 130 SAMSUNG SECURITIES CO. LTD. 6,905 6,882 90 SHINSEGAE CO. LTD. 35,035 35,607 18,973 SK TELECOM CO. LTD. ADR 294,192 287,441 5,690 WOORI INVESTMENT & SECURITIES CO. LTD. 71,525 66,549 3,580 YOUNGONE CORP. 30,829 32,329 ---------- ------------ 2,564,037 2,574,315 1.25% Spain: 3,888 ABERTIS INFRAESTRUCTURAS S.A. 61,599 73,233 346 ACCIONA S.A. 36,569 42,533 5,493 ACERINOX S.A. 68,398 101,663 2,447 ACS ACTIVIDADES DE CONSTRUCCION Y SERVICIOS S.A. 105,135 124,075 56,329 BANCO BILBAO VIZCAYA ARGENTARIA S.A. 484,462 709,839 13,249 BANCO DE SABADELL SA 64,351 82,837 1,518 BANCO DE VALENCIA S.A. 11,083 14,733 11,485 BANCO POPULAR ESPANOL S.A. 65,234 100,501 157,128 BANCO SANTANDER S.A. 1,325,437 1,896,252 4,644 BANKINTER S.A.(b) 47,289 54,924 13,409 CINTRA CONCESIONES DE INFRAESTRUCTURAS DE TRANSPORTE S.A. 63,849 83,392 148 CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES S.A. 68,078 66,377 15,374 CRITERIA CAIXACORP S.A. 47,978 71,104 1 EBRO PULEVA S.A. 11 15 5,333 EDP RENOVAVEIS S.A.(b) 49,408 54,705 2,531 ENAGAS 38,143 49,820 4,323 FOMENTO DE CONSTRUCCIONES Y CONTRATAS S.A. 160,097 177,561 2,763 GAMESA CORP. TECNOLOGICA S.A. 35,059 52,456 4,262 GAS NATURAL SDG S.A. 52,029 77,628 2,222 GRIFOLS S.A. 33,845 39,299 669 GRUPO FERROVIAL S.A. 15,298 21,529 13,908 IBERDROLA RENOVABLES S.A.(b) 53,405 63,652 52,737 IBERDROLA S.A. 387,105 428,901 4,941 INDITEX S.A. 202,632 237,456 630 INDRA SISTEMAS S.A. 12,890 13,649 48,886 MAPFRE S.A. 141,022 159,121 2,111 RED ELECTRICA CORP. S.A. 88,270 95,512 11,060 REPSOL YPF S.A. 198,814 248,021 76,256 TELEFONICA S.A. 1,547,769 1,729,136 935 ZARDOYA OTIS S.A. 15,577 19,543 ---------- ------------ 5,480,836 6,889,467 3.35% Sweden: 4,550 ALFA LAVAL AB 35,782 43,550 7,400 ASSA ABLOY AB, CLASS B 89,466 103,147 9,200 ATLAS COPCO AB, CLASS A 72,813 92,253 4,000 ATLAS COPCO AB, CLASS B 31,058 36,216 12,664 BOLIDEN AB 102,696 96,027 5,500 ELECTROLUX AB, CLASS B(b) 58,869 77,096 3,200 GETINGE AB, CLASS B 37,616 41,961 6,800 HENNES & MAURITZ AB, CLASS B 274,862 339,943 400 HOLMEN AB, CLASS B 8,156 8,739 17,500 HUSQVARNA AB, CLASS B(b) 64,201 96,096 11,800 INVESTOR AB, CLASS B 161,782 182,517 5,600 LUNDIN PETROLEUM AB(b) 50,350 43,560 16,214 MEDA AB 100,919 111,666 800 MILLICOM INTERNATIONAL CELLULAR S.A.(b) 34,227 45,346 200 MODERN TIMES GROUP AB, CLASS B 3,437 5,581 1,659 NCC AB 15,289 14,455 41,200 NORDEA BANK AB 230,517 326,896 13,973 SANDVIK AB 86,678 104,111 7,800 SCANIA AB, CLASS B 65,585 77,631
See accompanying notes to the financial statements. 77 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- ------------------------------------------------ ------------- -------------- ----------- Sweden (Cont'd): 20,200 SECURITAS AB, CLASS B $ 164,879 171,926 17,200 SKANDINAVISKA ENSKILDA BANKEN AB, CLASS A(b) 55,790 75,601 9,800 SKANSKA AB, CLASS B 103,314 109,599 13,800 SKF AB, CLASS B 141,836 170,577 5,400 SSAB AB, CLASS A 48,129 62,865 30,600 SVENSKA CELLULOSA AB, CLASS B 256,863 322,016 4,500 SVENSKA HANDELSBANKEN AB, CLASS A 65,063 85,032 18,300 SWEDBANK AB, CLASS A(b) 58,744 106,547 6,600 SWEDISH MATCH AB 95,099 107,283 9,565 TELE2 AB, CLASS B 87,881 96,890 40,000 TELEFONAKTIEBOLAGET LM ERICSSON, CLASS B 355,427 391,251 21,000 TELIASONERA AB 98,902 110,465 5,800 VOLVO AB, CLASS A 29,472 35,874 9,500 VOLVO AB, CLASS B 49,520 58,869 ----------- ----------- 3,135,222 3,751,586 1.83% Switzerland: 41,343 ABB LTD. (REGISTERED)(b) 596,822 650,778 1,591 ACTELION LTD. (REGISTERED)(b) 73,405 83,434 16,410 ADECCO S.A. (REGISTERED) 663,968 685,310 2,727 ARYZTA A.G.(b) 68,593 87,721 3,156 BALOISE HOLDING A.G. 227,090 234,289 295 BANQUE CANTONALE VAUDOISE 90,307 93,063 148 BKW FMB ENERGIE A.G. 11,039 10,936 8,185 COMPAGNIE FINANCIERE RICHEMONT S.A., CLASS A 130,638 170,545 18,108 CREDIT SUISSE GROUP A.G. (REGISTERED) 547,506 826,647 5,826 EFG INTERNATIONAL A.G. (REGISTERED) 63,678 63,013 37 FLUGHAFEN ZUERICH A.G. 7,824 8,279 953 GEBERIT A.G. (REGISTERED) 83,492 117,457 1,233 GIVAUDAN S.A. (REGISTERED) 729,421 755,330 2,629 HOLCIM LTD. (REGISTERED)(b) 98,464 149,760 3,728 JULIUS BAER HOLDING A.G. (REGISTERED) 101,597 145,359 967 KUEHNE & NAGEL INTERNATIONAL A.G. (REGISTERED) 57,750 75,912 40 LINDT & SPRUENGLI A.G. 57,570 74,864 1 LINDT & SPRUENGLI A.G. (REGISTERED) 17,927 22,101 6,301 LOGITECH INTERNATIONAL S.A. (REGISTERED)(b) 70,452 87,755 471 LONZA GROUP A.G. (REGISTERED) 47,310 46,779 77,001 NESTLE S.A. (REGISTERED) 2,614,582 2,906,188 10,121 NOBEL BIOCARE HOLDINGS A.G.(b) 218,359 221,878 68,268 NOVARTIS A.G. (REGISTERED) 2,692,845 2,773,702 8,956 PANALPINA WELTTRANSPORT HOLDING A.G. 666,703 652,408 10,555 PARGESA HOLDING S.A. 677,733 658,622 2,800 PSP SWISS PROPERTY A.G. (REGISTERED)(b) 108,194 133,749 13,594 ROCHE HOLDING A.G. (GENUSSCHEIN) 1,764,261 1,849,499 755 SCHINDLER HOLDING A.G. 34,888 46,923 121 SGS S.A. (REGISTERED) 130,564 150,257 648 SONOVA HOLDING A.G. (REGISTERED)(b) 35,616 52,737 320 STATE GALLER KANTONALBANK 106,355 111,364 32,678 STMICROELECTRONICS N.V. 179,389 245,149 257 STRAUMANN HOLDING A.G. (REGISTERED) 41,380 46,897 2,435 SULZER A.G. (REGISTERED)(b) 126,654 154,691 475 SWATCH GROUP A.G. (BEARER) 59,791 76,383 2,391 SWATCH GROUP A.G. (REGISTERED) 61,462 78,400 654 SWISS LIFE HOLDING (REGISTERED)(b) 35,701 56,774 4,606 SWISS REINSURANCE (REGISTERED) 67,575 152,396 196 SWISSCOM A.G. (REGISTERED) 51,472 60,203 1,878 SYNGENTA A.G. (REGISTERED) 404,562 436,111 1,180 TAMEDIA A.G. 65,526 57,660 311 VONTOBEL HOLDING A.G. 8,146 8,330 28,539 XSTRATA PLC 196,572 314,766 2,808 ZURICH FINANCIAL SERVICES A.G. (REGISTERED) 445,769 497,058 ----------- ----------- 14,538,952 16,131,477 7.85% United Kingdom: 9,964 3I GROUP PLC 31,266 39,868 2,834 ADMIRAL GROUP PLC 35,119 40,692 91,000 AEGIS GROUP PLC 100,492 138,132 4,578 AMEC PLC 34,931 49,292 2,800 AMLIN PLC 15,308 13,950
See accompanying notes to the financial statements. 78 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ----------- ------------------------------------ ------------- ------------- ----------- United Kingdom (Cont'd): 19,418 ANGLO AMERICAN PLC $ 352,834 566,652 4,811 ANTOFAGASTA PLC 33,978 46,720 60,000 ARM HOLDINGS PLC 104,361 118,541 13,399 ASSOCIATED BRITISH FOODS PLC 121,071 168,299 21,276 ASTRAZENECA PLC 721,742 936,974 7,700 ASTRAZENECA PLC ADR 341,392 339,878 4,305 AUTONOMY CORP. PLC(b) 88,021 102,009 55,007 AVIVA PLC 201,193 310,853 69,386 BAE SYSTEMS PLC 363,354 387,329 37,301 BALFOUR BEATTY PLC 188,351 189,899 189,265 BARCLAYS PLC 549,043 881,578 22,303 BARRATT DEVELOPMENTS PLC(b) 64,624 54,297 6,300 BELLWAY PLC 71,836 63,330 2,190 BERKELEY GROUP HOLDINGS PLC(b) 30,093 29,053 50,697 BG GROUP PLC 790,328 851,839 33,136 BHP BILLITON PLC 673,032 748,504 287,003 BP PLC 1,949,602 2,271,184 53,394 BRITISH AMERICAN TOBACCO PLC 1,357,213 1,475,084 11,630 BRITISH LAND CO. PLC 61,579 73,350 17,468 BRITISH SKY BROADCASTING GROUP PLC 116,486 131,045 132,209 BT GROUP PLC 159,975 221,339 5,069 BUNZL PLC 39,524 41,991 8,202 BURBERRY GROUP PLC 40,549 57,254 20,702 CABLE & WIRELESS PLC 41,214 45,436 66,813 CADBURY PLC 566,646 570,763 2,719 CAIRN ENERGY PLC(b) 85,568 105,046 16,980 CAPITA GROUP PLC 162,367 200,189 26,934 CARILLION PLC 107,801 112,055 4,273 CARNIVAL PLC 106,198 113,389 24,612 CARPETRIGHT PLC 253,496 227,754 11,306 CARPHONE WAREHOUSE GROUP PLC 29,633 29,604 82,257 CENTRICA PLC 290,637 302,281 7,709 CLOSE BROTHERS GROUP PLC 72,265 83,624 11,669 COBHAM PLC 30,337 33,284 26,392 COMPASS GROUP PLC 115,160 148,724 111,845 DIAGEO PLC 1,489,394 1,606,257 99,000 DIMENSION DATA HOLDINGS PLC 92,442 96,944 5,450 DRAX GROUP PLC 41,149 39,449 168,788 DSG INTERNATIONAL PLC 69,562 64,099 28,000 EASYJET PLC(b) 113,638 124,788 2,760 EURASIAN NATURAL RESOURCES CORP. 15,790 29,855 12,094 FIRSTGROUP PLC 47,290 71,411 87,533 FRIENDS PROVIDENT GROUP PLC 94,797 94,871 37,415 G4S PLC 119,514 128,586 96,645 GLAXOSMITHKLINE PLC 1,494,501 1,701,939 17,505 HAMMERSON PLC 69,535 88,719 36,031 HAYS PLC 49,874 50,943 88,914 HOME RETAIL GROUP PLC 368,601 381,354 309,817 HSBC HOLDINGS PLC 2,119,542 2,572,077 12,114 ICAP PLC 51,874 90,203 11,465 IMI PLC 43,254 58,958 18,809 IMPERIAL TOBACCO GROUP PLC 441,612 489,226 6,290 INTERCONTINENTAL HOTELS GROUP PLC 49,219 64,664 20,434 INTERNATIONAL POWER PLC 61,912 80,229 12,127 INVENSYS PLC 29,802 44,704 35,449 INVESTEC PLC 122,646 191,329 98,470 ITV PLC 52,339 56,839 2,494 JOHNSON MATTHEY PLC 35,938 47,357 4,109 KAZAKHMYS PLC 31,447 42,834 110,414 KINGFISHER PLC 222,992 323,698 8,091 LADBROKES PLC 21,147 24,646 10,374 LAND SECURITIES GROUP PLC 61,356 80,712 202,802 LEGAL & GENERAL GROUP PLC 183,970 189,531 6,025 LIBERTY INTERNATIONAL PLC 30,406 39,556 378,724 LLOYDS BANKING GROUP PLC 382,838 435,871 3,727 LONDON STOCK EXCHANGE GROUP PLC 38,197 43,191 3,306 LONMIN PLC 67,494 64,042 33,399 MAN GROUP PLC 106,502 153,302
See accompanying notes to the financial statements. 79 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ----------- ------------------------------------------- ------------- -------------- ----------- United Kingdom (Cont'd): 31,083 MARKS & SPENCER GROUP PLC $ 130,983 156,885 15,564 MEGGITT PLC 34,971 40,670 30,000 MONDI PLC 68,373 102,206 79,637 NATIONAL GRID PLC 695,759 718,277 8,548 NEXT PLC 169,625 207,157 188,895 OLD MUTUAL PLC 216,081 251,544 24,611 PEARSON PLC 251,623 247,216 3,000 PERSIMMON PLC 19,704 17,320 39,698 PRUDENTIAL PLC 194,818 270,130 1,219 RANDGOLD RESOURCES LTD. 81,042 78,381 8,289 RECKITT BENCKISER GROUP PLC 310,166 377,777 13,105 REED ELSEVIER PLC 95,293 97,718 26,908 REXAM PLC 122,046 126,317 14,591 RIO TINTO PLC 459,214 507,977 27,303 ROLLS-ROYCE GROUP PLC(b) 117,170 162,802 248,250 ROYAL BANK OF SCOTLAND GROUP PLC(b) 114,766 157,874 108,053 RSA INSURANCE GROUP PLC 206,558 214,416 13,128 SABMILLER PLC 190,619 267,260 64,398 SAGE GROUP (THE) PLC 157,693 189,134 49,306 SAINSBURY (J.) PLC 230,998 254,568 62,853 SAVILLS PLC 299,859 296,993 3,966 SCHRODERS PLC 45,826 53,688 19,792 SCOTTISH & SOUTHERN ENERGY PLC 338,025 371,600 93,024 SEGRO PLC 33,511 37,254 7,999 SERCO GROUP PLC 42,799 55,576 4,954 SEVERN TRENT PLC 76,220 89,358 11,192 SHIRE PLC 130,296 154,368 14,044 SMITH & NEPHEW PLC 98,628 104,123 2,453 SMITHS GROUP PLC 28,519 28,389 28,278 STANDARD CHARTERED PLC 374,284 532,624 31,857 STANDARD LIFE PLC 83,454 97,553 13,041 TATE & LYLE PLC 46,911 68,638 117,017 TESCO PLC 568,842 682,072 30,247 THOMAS COOK GROUP PLC 105,985 102,581 1,676 THOMSON REUTERS PLC 36,183 47,823 29,601 TOMKINS PLC 60,601 72,338 5,785 TRAVIS PERKINS PLC 48,455 50,229 9,072 TUI TRAVEL PLC 30,186 34,687 12,717 TULLOW OIL PLC 150,979 196,755 27,825 UNILEVER PLC 581,557 652,961 2,333 UNITED BUSINESS MEDIA LTD. 13,794 15,360 8,787 UNITED UTILITIES GROUP PLC 62,187 71,974 2,343 VEDANTA RESOURCES PLC 35,450 49,874 15,769 VITEC GROUP PLC/THE 73,168 67,559 937,541 VODAFONE GROUP PLC 1,689,658 1,812,309 5,400 VODAFONE GROUP PLC ADR 104,331 105,246 994 WHITBREAD PLC 10,069 13,380 42,339 WM MORRISON SUPERMARKETS PLC 156,009 164,984 4,513 WOLSELEY PLC(b) 70,476 86,281 23,432 WPP PLC 141,019 155,854 ----------- ------------ 28,123,976 32,611,329 15.87% United States: 8,800 ABB LTD. ADR 135,564 138,864 8,130 ACCENTURE LTD. 259,045 272,030 8,032 AGRIUM, INC. 320,986 320,396 8,500 ANGLO AMERICAN PLC ADR 115,822 124,440 13,724 ARCH CAPITAL GROUP LTD.(b) 788,575 803,952 9,325 BANK OF MONTREAL 262,240 393,049 17,702 BANK OF NOVA SCOTIA 459,610 663,825 5,098 BCE, INC. 100,590 105,325 2,740 BIOVAIL CORP. 29,140 36,853 5,966 CAE, INC. 34,194 35,199 8,679 CAMECO CORP. 149,232 222,182 6,028 CANADIAN IMPERIAL BANK OF COMMERCE/CANADA 233,781 301,822 9,199 CANADIAN NATURAL RESOURCES LTD. 384,523 482,856 3,842 CANADIAN PACIFIC RAILWAY LTD. 120,622 152,912 4,000 CENTRAL EUROPEAN DISTRIBUTION CORP.(b) 106,099 106,280
See accompanying notes to the financial statements. 80 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - ---------- --------------------------------------- ------------ ----------- ----------- United States (Cont'd): 10,919 CGI GROUP, INC.(b) $ 90,696 96,852 1,861 CRESCENT POINT ENERGY TRUST 38,774 54,267 4,200 DESARROLLADORA HOMEX SAB DE CV ADR(b) 111,374 117,138 5,137 ELDORADO GOLD CORP.(b) 44,130 45,976 6,935 ENBRIDGE, INC. 213,474 240,853 3,659 ENERPLUS RESOURCES FUND 63,842 78,632 225 FAIRFAX FINANCIAL HOLDINGS LTD. 56,130 56,135 6,080 GERDAU AMERISTEEL CORP. 19,730 41,466 3,052 GILDAN ACTIVEWEAR, INC.(b) 33,435 45,170 6,700 GLAXOSMITHKLINE PLC ADR 242,631 236,778 14,001 GOLDCORP, INC. 447,524 486,535 4,138 IAMGOLD CORP. 29,152 41,877 6,421 IMPERIAL OIL LTD. 227,021 246,952 11,663 KINROSS GOLD CORP. 193,100 211,683 26,897 MANULIFE FINANCIAL CORP. 366,564 466,663 3,469 METHANEX CORP. 31,828 42,461 1,560 OPEN TEXT CORP.(b) 48,602 56,815 2,253 PAN AMERICAN SILVER CORP.(b) 41,183 41,297 10,621 PENN WEST ENERGY TRUST 114,717 135,205 8,384 PETRO-CANADA 226,830 322,113 10,641 PROVIDENT ENERGY TRUST 38,685 52,354 2,101 RITCHIE BROS AUCTIONEERS, INC. 37,504 49,268 9,145 ROGERS COMMUNICATIONS, INC. 215,846 235,484 22,248 ROYAL BANK OF CANADA 676,304 908,831 6,688 SHAW COMMUNICATIONS, INC. 102,690 112,760 46,390 SIGNET JEWELERS LTD. 906,277 965,840 4,651 SILVER WHEATON CORP.(b) 33,510 38,324 11,589 SUN LIFE FINANCIAL, INC. 229,193 311,976 19,786 TALISMAN ENERGY, INC. 227,686 282,742 2,370 TELUS CORP. 62,316 61,146 5,729 THOMSON REUTERS CORP. 151,051 167,917 14,270 TORONTO-DOMINION BANK/THE 506,973 737,902 5,081 TRANSALTA CORP. 79,391 98,724 11,353 TRANSCANADA CORP. 286,754 305,509 20,900 TURKCELL ILETISIM HIZMET AS ADR 282,364 289,674 37,019 TYCO ELECTRONICS LTD. 715,571 688,183 29,232 UNILEVER PLC ADR 704,755 686,952 --------- ---------- 11,397,630 13,218,439 6.43%
See accompanying notes to the financial statements. 81 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009
Percent Market of Shares Security Cost value (a) net assets - -------- -------------------------------------------------------- ------------ ------------ ----------- Preferred:Stocks: Brazil: 10,300 PETROLEO BRASILEIRO S.A. ADR $ 330,082 343,608 ------------ ------------ 330,082 343,608 0.17% Germany: 1,114 FRESENIUS S.E. 51,175 60,199 2,360 HENKEL A.G. & CO. KGAA 60,940 73,738 1,391 PORSCHE AUTOMOBIL HOLDING S.E. 75,417 93,478 861 RWE A.G. 54,598 57,370 1,241 VOLKSWAGEN A.G. 59,311 86,833 ------------ ------- 301,441 371,618 0.18% United States: 8,800 VALE S.A. ADR 136,950 135,080 ------------ ------- 136,950 135,080 0.06% Rights: 767 BANCA:POPOLARE DI MILANO SCARL(b) -- -- 1,020 GOLDEN AGRI-RESOURCES LTD.(b) -- 141 29,000 PAC ANDES RT(b) -- -- 7,660 RIO TINTO PLC(b) -- 89,983 11,384 UNIONE DI BANCHE ITALIANE SCPA(b) -- 778 920 ZARDOYA OTIS S.A.(b) -- 936 ------------ ------- -- 91,838 0.05% Warrants: Italy: : 11,384 UNIONE DI BANCHE ITALIANE SCPA, EXP. 6/30/11, STRIKE 12.30 EURO(b) -- 854 ------------ ------- -- 854 0.00% ------------ ------------ ------- Grand total(c) $172,767,623 199,446,483 97.05% ============ ============ =======
Notes to investment in securities: (a) Securities are valued in accordance with procedures described in note 2 to the financial statements. (b) Currently non-income producing assets. (c) At June 30, 2009, the cost for Federal income tax purposes was $172,767,623. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost were as follows: Gross unrealized appreciation $27,731,082 Gross unrealized depreciation (1,052,222) ----------- Net unrealized appreciation $26,678,860 =========== At June 30, 2009, the industry sectors for the Clearwater International Fund were: Percent of Industry Sector Investments - ------------------------------- ------------ Consumer Discretionary 11.61% Consumer Staples 10.85 Energy 8.55 Financials 23.53 Health Care 8.11 Industrials 11.55 Information Technology 6.51 Materials 9.25 Telecommunication Services 5.05 Utilities 4.99 ------ 100.00% ====== See accompanying notes to the financial statements. 82 (Continued) CLEARWATER INVESTMENT TRUST Schedule of Investments - Clearwater International Fund (unaudited) June 30, 2009 At June 30, 2009, the Clearwater International Fund's investments were denominated in the following currencies:
Percent of Concentration by Currency Investments - -------------------------------------- ------------ Euro 27.30% Japanese Yen 21.70 British Pound 18.10 U.S. Dollar 10.20 Swiss Franc 7.80 Australian Dollar 5.70 All other currencies less than 5% 9.20 ------------ 100.00% ============
At June 30, 2009, the Clearwater International Fund had -the following - -outstanding forward foreign currency exchange contracts as follows:
In Contracts To Amount Exchange Amount Deliver (Local For (Local Settlement Unrealized Currency Currency) Currency Currency) Date Gain(Loss) - ------------------------ ------------- ---------------------- ----------- ------------ ------------- Swiss Franc (5,467) United States Dollar 5,048 07/01/09 $ 16 United States Dollar (5,049) Euro 3,589 07/01/09 (14) United States Dollar (56,122) Japanese Yen 5,352,345 07/01/09 (561) United States Dollar (191,134) British Pound 115,371 07/02/09 (1,320) United States Dollar (183,522) Euro 130,287 07/02/09 (746) United States Dollar (8,780) Hong Kong Dollar 68,051 07/02/09 - United States Dollar (11,437) Japanese Yen 1,092,436 07/02/09 (96) United States Dollar (19,522) Mexican Peso 257,042 07/02/09 (5) United States Dollar (15,259) South African Rand 119,857 07/02/09 283 United States Dollar (203,972) Swiss Franc 220,739 07/02/09 (811) United States Dollar (36,593) British Pound 22,031 07/03/09 (347) United States Dollar (113,296) Euro 80,125 07/03/09 (891) United States Dollar (88,315) Japanese Yen 8,467,683 07/03/09 (413) United States Dollar (35,557) Swiss Franc 38,398 07/03/09 (215) United States Dollar (239,700) Canadian Dollar 278,388 07/07/09 (348) --------- $(5,468) =========
See accompanying notes to the financial statements. 83 Schedule of Investments - Clearwater Growth Fund June 30, 2009 (unaudited) Clearwater International Fund Portfolio Diversification (as a percentage of net assets) [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] Materials 9% Telecommunication Services 5% Utilities 5% Consumer Discretionary 12% Consumer Staples 11% Energy 9% Financials 23% Healthcare 8% Industrials 12% Information Technology 6% Cash equivalents and other assets/liabilities represent (3)% of net assets. See accompanying notes to financial statements. 84 CLEARWATER INVESTMENT TRUST FORM N-CSR Item 2 Code of Ethics (annual report only) Item 3 Audit Committee Financial Expert (annual report only) Item 4 Principal Accountant Fees and Services (annual report only) (accrual basis) Item 5 Audit Committee of Listed Registrants (annual report only) Item 6 Schedule of Investments (annual and semi-annual report) See Item 1. Item 7 of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies Not applicable (the Trust is an open-end Management Investment Company) Item 8 Portfolio Managers of Closed-End Management Investment Companies Not applicable (the Trust is an open-end Management Investment Company) Item 9 Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable (the Trust is an open-end Management Investment Company) Item 10 Submission of Matters to a Vote of Security Holders There have been no material changes to the procedures by which shareholders may recommend nominees to the Board of Trustees. Item 11 Controls and Procedures a) The Trust's principal executive officer and principal financial officer have concluded that the Trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document. b) There have been no significant changes in the Trust's internal controls over financial reporting since the filing of the last report that have materially affected, or are reasonably likely to materially affect, the Trust's internal control over financial reporting. Item 12 Exhibits a) The certifications for each principal executive and principal financial officer of the Trust as required by Rule 30a-2(a) of the Investment Company Act of 1940 are attached. b) No written solicitations to purchase securities were sent or delivered during the period covered by this report by or on behalf of the Trust. Signatures Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Registrant: Clearwater Investment Trust ------------------------------ /s/George H. Weyerhaeuser, Jr. ------------------------------ George H. Weyerhaeuser, Jr. Chairman Date: September 4, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1040, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/George H. Weyerhaeuser, Jr. ------------------------------ George H. Weyerhaeuser, Jr. Chairman Date: September 4, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1040, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/George H. Weyerhaeuser, Jr. ------------------------------ George H. Weyerhaeuser, Jr. Treasurer Date: September 4, 2009 EX-99.CERT 2 d77659_ex99-cert.txt CERTIFICATION CLEARWATER INVESTMENT TRUST Certifications I, George H. Weyerhaeuser, Jr., Chairman and Chief Executive Officer of the Clearwater Investment Trust, certify that: 1. I have reviewed this report on Form N-CSR of the Clearwater Investment Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the most recent fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 4, 2009 /s/George H. Weyerhaeuser, Jr. - ------------------------------ George H. Weyerhaeuser, Jr. Chairman (Chief Executive Officer) Treasurer (Chief Financial Officer) EX-99.906CERT 3 d77659_ex99-906cert.txt SECTION 906 CERTIFICATION OF CEO AND CFO CLEARWATER INVESTMENT TRUST Section 906 Certifications I, George H. Weyerhaeuser, Jr., Chairman, Chief Executive Officer, and Treasurer of the Clearwater Investment Trust (the "Registrant"), with respect to the report on Form N-CSR of Clearwater Investment Trust for the period ended June 30, 2009, as filed with the Securities and Exchange Commission, hereby certify that, to the best of my knowledge: 1. The Report on Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: September 4, 2009 /s/George H. Weyerhaeuser, Jr. - ------------------------------ George H. Weyerhaeuser, Jr. Chairman (Chief Executive Officer) Treasurer (Chief Financial Officer) -----END PRIVACY-ENHANCED MESSAGE-----