-----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, BuNbEKfoKfNtVv+7eB6BmsFP/RrRG6qhx+RP+GDFSlmp4FdKQjrSL19NeAkanWAp 9WUrCfBZRy2lCqOUnTXQhw== 0000811161-04-000003.txt : 20040310 0000811161-04-000003.hdr.sgml : 20040310 20040309180912 ACCESSION NUMBER: 0000811161-04-000003 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040310 EFFECTIVENESS DATE: 20040310 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CLEARWATER INVESTMENT TRUST CENTRAL INDEX KEY: 0000811161 STATE OF INCORPORATION: MN FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05038 FILM NUMBER: 04658395 BUSINESS ADDRESS: STREET 1: 2100 FIRST NATIONAL BANK BLDG CITY: ST PAUL STATE: MN ZIP: 55101 BUSINESS PHONE: 6122280935 N-CSR 1 ncsr1203.txt CERTIFIED SHAREHOLDER REPORT OMB APPROVAL OMB Number: 3235-0570 Expires: Nov. 30, 2005 Estimated average burden hours per response: 5.0 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: 811-21145 --------------------------------------------- Clearwater Investment Trust ------------------------------------------------------------------------ (Exact name of registrant as specified in charter) 2000 Wells Fargo Place, 30 East 7th Street, Saint Paul, Minnesota 55101-4930 ------------------------------------------------------------------------ (Address of principal executive offices) (Zip code) Richard T. Holm, Esq. Legal Counsel 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: Michelle H. Rhee, Esq. Hale and Dorr, LLP 60 State Street Boston, Massachusetts 02109 ------------------------------------------------------------------------ (Name and address for agent for service) Registrant's telephone number, including area code: 651-228-0935 Date of fiscal year end: December 31, 2003 Date of reporting period: December 31, 2003 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. Item 1. Reports to Stockholders. - -------------------------------------------------------------------------------- CLEARWATER INVESTMENT TRUST - -------------------------------------------------------------------------------- February 12, 2004 On December 31, 2003, the net asset value of the Clearwater Growth Fund was $22.66 per unit. The net asset value of the Clearwater Small Cap Fund was $18.35 per unit. On a total return basis for 2003, the Clearwater Growth Fund increased by 29.5% and the Clearwater Small Cap Fund increased by 58.7%. For comparative purposes, the Russell 1000 increased by 29.9% and the Russell 2000 increased by 47.3%. For the fourth quarter, the Clearwater Growth Fund increased 12.2% and the Clearwater Small Cap Fund increased 17.0%. The Russell 1000 increased 12.3% and the Russell 2000 increased 14.5%. On December 31, 2003, the net asset value of the Clearwater Tax Exempt Bond Fund was $10.12 per unit. On a total return basis for 2003 the fund increased 4.1% with a fourth quarter return of 1.2%. For comparative purposes, the Lehman 5-Year Municipal Bond Index increased 4.1% for the year with a 0.1% increase in the fourth quarter. Please note that the funds' investment performances, discussed in this report, do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Parametric Portfolio Associates, the sub-advisor for the Clearwater Growth Fund, made the following comments: Introduction The US economy grew at a startling 8.2% annual rate in the third quarter, the fastest gross domestic product expansion since 1984, and is forecast to grow at a 4.4% rate for the year, the most since 1999. Reflecting this robust economic recovery, the US equity market vigorously extended a cyclical rebound that started in March, with the Russell 1000 Index up a sizeable 12.3% in the fourth quarter. For the year, the US equity market posted spectacular returns across the board, the smaller capitalization, the better, evidenced by the record breaking 47.3% gain in the small-company Russell 2000 Index. Not that 2003 was without adversity - the war in Iraq, SARS and mutual fund scandals to name a few. Adversity, however, gave way to low interest rates and a tax cut. The Russell 1000 Index was up 29.9% in 2003. The Clearwater Growth Fund, which now has a current annualized predicted tracking error of 1%, was up 29.5% during the same time frame. Since inception (November 1, 1997), the portfolio has performed well within its target and has returned an annualized pre-tax return of 5.1% against 4.9% for the Russell 1000 index. Clearwater Investment Trust February 12, 2004 Page 2 - ----------------------------------------- ------------------------------------- Year to date Pre-Tax Performance - ----------------------------------------- ------------------------------------- Russell 1000 (Large Cap) 29.9% - ----------------------------------------- ------------------------------------- Russell Mid Cap 40.1% - ----------------------------------------- ------------------------------------- Russell Mid Cap Growth 42.7% - ----------------------------------------- ------------------------------------- Russell 2000 (Small Cap) 47.3% - ----------------------------------------- ------------------------------------- Clearwater Growth Fund 29.8% - ----------------------------------------- ------------------------------------- The Clearwater Growth Fund is broadly diversified and continues to be sector neutral relative to the Russell 1000 index. The breadth and strength of stocks amazed many if not most observers in 2003. Regardless of which way stocks surprise in the New Year, the fund is well positioned to participate with the market. [OBJECT OMITTED] Clearwater Investment Trust February 12, 2004 Page 3 Kennedy Capital Management, the sub-advisor for the Small Cap Fund, made the following comments: After a first half of 2003 that saw the Clearwater Small Cap Fund increase 22.1%, the fund experienced another increase of 29.9% in the second half of the year to end 2003 with annualized performance of 58.7%. This was a much more satisfying result than the negative returns every equity class experienced just a year earlier. Fortunately, the momentum in the Russell 2000 that began in the second quarter continued throughout the rest of 2003 with a returning 47.3% for the year. What will be the keys to future small cap equity performance? Clearly the federal tax rate changes in early 2003 had a dramatic, positive effect by lowering the discounting mechanism market analysts used to gauge risk and return in the financial markets. It did not take long for this change in fiscal policy to turn equity fund flows positive and ignite the market throughout 2003. We expect fiscal policy to continue to be a positive for investors in 2004. The level of heightened anxiety amongst investors about the Iraqi conflict began to subside in the second quarter. Today Iraq and terrorism remain a serious question mark, but one that may be fading a bit in the mind of many investors. Most importantly, 8.2% GDP growth in the third quarter 2003 (along with what will probably be close to 5% GDP growth in the fourth) set the stage for the strong fourth quarter 2003 small cap performance and the early strength we see in January 2004. With a strong stock market and two quarters of very solid economic performance behind us, a solid pickup in 2004 corporate spending is now being priced into equities. Corporate spending growth will serve as a key catalyst for 2004 economic performance and subsequent equity returns. Interest rates, however, are a factor that may not be in our favor for 2004. After three years of extremely accommodative monetary policy, the question now is when the Fed will act to raise rates and by how much in 2004? Interest rates will weigh as a primary concern for investors. For Kennedy Capital the key drivers for success in 2003 were solid stock picking and heavy sector allocations in Technology, Consumer Discretionary, and Health Care for the Clearwater Small Cap Fund. These sectors made up on a combined basis 52% of the assets in our portfolio. Fortunately, these three sectors were also the three areas of greatest active contribution versus the Russell 2000 benchmark in 2003. As we move into 2004, the sectors over-weighted in the portfolio versus the benchmark are in Auto and Transportation, Energy, and Health Care, and the greatest under-weights are in Financial Services and Producer Durables. We continue to allow valuation to be our guide in uncovering opportunities. Currently the portfolio characteristics remain attractive. As of the end of the year, the trailing P/E and Price to Book of the portfolio are 21x and 2.13x. This compares to the Russell 2000 trailing P/E and Price to Book of 37x and just over 3x. On forecasted 2004 earnings estimates, the Fund trades at a P/E of 15.2x versus the Russell 2000 of 20.4x. In conclusion we think 2004 could be another solid year for small cap performance despite increasing interest rate jitters. Performance will depend on solid stock picking. After huge percentage increases in a number of economically sensitive sub sectors of the stock market in Clearwater Investment Trust February 12, 2004 Page 4 2003, we expect market expectations to be buoyed more by valuation considerations in 2004. We believe fund flows into equity mutual funds should remain strong in 2004, which will be helpful. However, the most important driver for 2004 small cap performance will be a return to spending growth by corporate America after three years of restructuring and down-sizing. This should create a very fertile business environment for small cap companies to grow revenues and increase bottom-line performance. It will be our job to identify and exploit the most attractive opportunities for the Clearwater Small Cap Fund in 2004. [OBJECT OMITTED] Clearwater Investment Trust February 12, 2004 Page 5 Sit Fixed Income Advisors II, LLC, the sub-adviser for the Tax-Exempt Bond Fund, made the following comments: The fixed income markets completed a volatile yet satisfactory year in 2003, with performance being especially strong in long maturity municipal and corporate bonds. Heavy issuance in the government, mortgage and corporate markets, and record issuance in the municipal market has been more than offset by strong cash flows into bond funds, although flows weakened noticeably in the second half of the year. Improved performance in the equity markets, which began in the second quarter, is likely to continue to reduce demand for fixed income products in the near future. With current yields at or near historic lows across the yield curves in both taxable and tax-exempt markets, investors have a strong expectation, which we share, that rates will rise during 2004, thereby reducing returns in the fixed income markets. Strong growth in the economy and a burgeoning federal budget deficit support this expectation, while low inflation and relatively weak employment statistics argue that rates could remain low for some time. While the Fed has stated that rates will remain low for a considerable period, we expect a tightening some time in the middle or latter part of the year. As we postulated in our semi-annual report, revenue bonds outperformed general obligation bonds during the second half and for the full year 2003, and higher quality issues outperformed those of lower credit quality. We expect revenue bonds to continue to be strong performers in 2004. General obligation bond performance should improve on a relative basis, however, as many states, with the notable exception of California, have, with the help of the improving economy, adequately addressed their budget problems. The Fund's performance, with its heavy emphasis on revenue bonds, was strong on an absolute basis due to the high current income it produces, and is slightly stronger than that of its benchmark, despite its shorter duration as well as its use of non-rated revenue bonds, neither of which help total return performance in a rallying bond market. The economy has rebounded sharply from its very bumpy performance over the past few years, with exceptional growth in the third quarter of 2003. We expect strong growth throughout 2004, with the first half probably being the stronger of the two. Once the recovery firms, absent another economic shock or terrorist event, interest rates are likely to rise. Intermediate and long rates may rise faster than short rates early on, however, given the Fed's commitment to keep the federal funds rate low well into 2004. Given this expectation, we shortened the Fund's average life duration, a measure of the Fund's sensitivity to changes in interest rates, from 4.1 to 3.4 years during the year, without a significant decrease in yield. For comparison, the Fund's benchmark, the Lehman 5-Year Index, had a duration of 4.1 years at December 31, 2003. The Fund's shorter duration and its use of non-rated bonds have positioned it more defensively for the rise in interest rates that we expect 2004. The Fund's strong yield should continue to produce high tax-exempt income for its shareholders in the current and expected market environment. Investment of new cash flows will be focused on maturities in the 3-15 year range. Clearwater Investment Trust February 12, 2004 Page 6 [OBJECT OMITTED] Clearwater Investment Trust February 12, 2004 Page 7
EXECUTIVE OFFICERS AND TRUSTEES Information About the Funds' Independent Trustees ======================== ================= ================== =================== ================== =============== Name, Address and Age Positions Held Term of Office Principal Number of Other with the Funds and Length of Occupation(s) Portfolios in Directorships Time Served During the Last 5 the Fund Complex Held by the Years Overseen by the Trustee Trustee ======================== ================= ================== =================== ================== =============== Lucy R. Jones (62) Trustee Tenure: 4 yrs Private Investor 30 East 7th Street, Term: Indefinite 3 None Saint Paul, Minnesota 55101 ------------------------ ----------------- ------------------ ------------------- ------------------ --------------- Lawrence H. King (48)1 Trustee Tenure: 4 yrs President and Term: Indefinite Chief Executive 3 None 30 East 7th Street, Officer, Saint Paul, Minnesota Treessentials, 55101 Co., (nursery supplies, 1989-Present) ------------------------ ----------------- ------------------ ------------------- ------------------ --------------- Charles W. Rasmussen Trustee Tenure: 4 yrs President and (37)1 Term: Indefinite Chief Executive 3 None Officer, P&G 30 East 7th Street, Manufacturing, Saint Paul, Minnesota Inc. (air 55101 filtration equipment, 2002-Present) ; Financial Analyst, U.S. Bank, N.A. (1998-2001); ------------------------ ----------------- ------------------ ------------------- ------------------ --------------- Laura E. Rasmussen Trustee Tenure: 4 yrs Private Investor (40)1 Term: Indefinite 3 None 30 East 7th Street, Saint Paul, Minnesota 55101 ------------------------ ----------------- ------------------ ------------------- ------------------ --------------- 1 Mr. King, Mr. Rasmussen and Ms. Rasmussen are spouses-in-law, and are all nieces or nephews of Mr. Weyerhaeuser (see below).
Clearwater Investment Trust February 12, 2004 Page 8
Information about the Funds' Officers and Interested Trustee ==================== ================== ================== =================== ================== ================== Name, Address and Positions Held Term of Office Principal Number of Other Age with the Funds and Length of Occupation(s) Portfolios in Directorships Time Served During the Last 5 the Fund Complex Held by the Years Overseen by the Trustee Trustee ==================== ================== ================== =================== ================== ================== Philip W. Pascoe President and Tenure: 7 yrs Chairman and (58) Chief Executive Term Expires: Chief Executive N/A None Officer, December, 2004 Officer, 1145 Broadway Treasurer Treasurer, Plaza, P.O. Box Clearwater 1278, Tacoma, Management Washington 98402 Company (1996-Present); Managing Director, U.S. Bank-Piper Jaffray, Inc. (1996-Present) -------------------- ------------------ ------------------ ------------------- ------------------ ------------------ Frederick T. Trustee, Vice As Trustee; Private Investor Minnesota Mutual Weyerhaeuser (72)1 President and Tenure: 17yrs 3 Life Insurance Secretary Term: Indefinite Co. and 30 East 7th Subsidiaries Street, Saint As Officer; (1968-Present) Paul, Minnesota Tenure: 5 yrs 55101 Term Expires: Potlatch December, 2004 Corporation (1960-2003) -------------------- ------------------ ------------------ ------------------- ------------------ ------------------ 1 Mr. Weyerhaeuser is an interested trustee due to his daughter's position as a director of Clearwater Management Company, the Funds' adviser.
Clearwater Investment Trust Clearwater Management Company --------------------------- ------------------------------ P. W. Pascoe, President and CEO P. W. Pascoe, Chairman and Treasurer F. T. Weyerhaeuser, V. P. and Secretary W. T. Weyerhaeuser, V. P. and Secretary L. R. Jones S. B. Carr, Jr. L. H. King W. J. Driscoll C. W. Rasmussen E. D. Hlavka L. R. Rasmussen C. W. Morley R. J. Phares F. W. Piasecki D. C. Titcomb G. H. Weyerhaeuser, Jr.
Clearwater Investment Trust February 12, 2004 Page 9 Proxy Voting Policies and Procedures The Funds have established Proxy Voting Policies and Procedures ("Policies") that the Funds use to determine how to vote proxies relating to portfolio securities. Shareholders may request copies of the Policies 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 55101-4390, Attention: Clearwater Investment Trust Transfer Agent. KPMG KPMG LLP 4200 Wells Fargo Center 90 South Seventh Street Minneapolis, MN 55402 Independent Auditors' Report The Board of Trustees and Shareholders Clearwater Investment Trust: We have audited the accompanying statements of assets and liabilities, including the schedules of investments in securities, of Clearwater Growth, Small Cap, and Tax-Exempt Bond Funds (funds within Clearwater Investment Trust) as of December 31, 2003 and 2002, and the related statements of operations and changes in net assets and the financial highlights for of the years then ended. These financial statements and the financial highlights are the responsibility of the funds' management. Our responsibility is to express an opinion on these financial statements and the financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and the financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2003 and 2002, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and the financial highlights referred to above present fairly, in all material respects, the financial position of Clearwater Growth, Small Cap, and Tax-Exempt Bond Funds at December 31, 2003 and 2002, and the results of their operations, changes in their net assets, and the financial highlights for the years then ended, in conformity with accounting principles generally accepted in the United States of America. KPMG LLP February 6, 2004 CLEARWATER INVESTMENT TRUST Statement of Assets and Liabilities December 31, 2003
Growth Small Cap Tax-Exempt Assets Fund Fund Bond Fund ------------------ ------------------- ------------------- Investments in securities, at market value (identified cost: $83,090,533; $105,382,794; and $133,514,496, respectively) $ 150,815,124 142,142,550 134,003,440 Cash 0 0 393,563 Receivable for investment securities sold 0 191,715 209,721 Accrued dividend and interest receivable 188,878 103,413 2,154,304 ------------------ ------------------- ------------------- Total assets 151,004,002 142,437,678 136,761,028 Liabilities Payables for investment securities purchased 0 211,057 1,854,374 Payables for investment shares redeemed 403,715 3,688,721 243,143 Accrued investment advisory fee 139,797 448,596 182,607 ------------------ ------------------- ------------------- Total liabilities 543,512 4,348,374 2,280,124 ------------------ ------------------- ------------------- Net assets $ 150,460,490 138,089,304 134,480,904 ================== =================== =================== Capital Capital stock and additional paid-in capital (authorized unlimited number of shares at no par value for each Fund: outstanding 6,640,639; 7,527,036; and 13,295,070 shares, respectively) $ 89,691,099 101,159,558 134,293,722 Undistributed net investment income 17,539 (127,931) 0 Accumulated net realized gain (loss) (6,972,739) 297,921 (301,762) Unrealized appreciation of investments 67,724,591 36,759,756 488,944 ------------------ ------------------- ------------------- Net assets $ 150,460,490 138,089,304 134,480,904 ================== =================== =================== Net asset value per share of outstanding capital stock $ 22.66 18.35 10.12 ================== =================== ===================
See accompanying notes to financial statements 1 CLEARWATER INVESTMENT TRUST Statement of Operations Year ended December 31, 2003
Growth Small Cap Tax-Exempt Fund Fund Bond Fund ------------------ ------------------ ------------------ Investment income: Income: Dividends (net of foreign taxes withheld of $3,556, $1,161, and $0, respectively) $ 2,218,238 1,206,272 148,621 Interest 9,899 59,467 6,462,362 ------------------ ------------------ ------------------ Total income 2,228,137 1,265,739 6,610,983 Expenses: Investment advisory fee 562,160 1,414,628 683,322 Voluntary fee reduction (74,955) (20,958) (45,555) ------------------ ------------------ ------------------ Total expenses 487,205 1,393,670 637,767 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ Net investment income (loss) 1,740,932 (127,931) 5,973,216 ------------------ ------------------ ------------------ Realized and unrealized gain (loss) on investments: Net realized gain (loss) on security transactions 1,841,074 18,725,287 (301,762) Unrealized appreciation (depreciation) during the period 30,290,564 31,770,408 (1,045,651) ------------------ ------------------ ------------------ Net gain (loss) on investments 32,131,638 50,495,695 (1,347,413) ------------------ ------------------ ------------------ Net increase (decrease) in net assets from operations $ 33,872,570 50,367,764 4,625,803 ================== ================== ==================
See accompanying notes to financial statements 2 CLEARWATER INVESTMENT TRUST Statements of Changes in Net Assets Years ended December 31, 2003 and 2002
Growth Fund Small Cap Fund Tax-Exempt Bond Fund ---------------------------- --------------------------------------------------------- 2003 2002 2003 2002 2003 2002 ------------- ------------- ------------- ------------ ------------ ------------ Operations: Net investment income (loss) $ 1,740,932 1,342,232 (127,931) (13,862) 5,973,216 4,924,016 Net realized gain (loss) on investments 1,841,074 (8,328,139) 18,725,287 (1,667,742) (301,762) 183,340 Unrealized appreciation (depreciation) during the period 30,290,564 (23,096,064) 31,770,408 (7,042,390) (1,045,651) 810,112 ------------- ------------- ------------- ------------ ------------ ------------ Net increase (decrease) in net assets from operations 33,872,570 (30,081,971) 50,367,764 (8,723,994) 4,625,803 5,917,468 ------------- ------------- ------------- ------------ ------------ ------------ Distributions to shareholders from: Net investment income (1,737,588) (1,330,356) 0 (1,150) (5,973,216) (4,924,016) Net realized gain on investments 0 0 (16,709,577) (32) (1,888) (181,766) ------------- ------------- ------------- ------------ ------------ ------------ Total distributions to shareholder (1,737,588) (1,330,356) (16,709,577) (1,182) (5,975,204) (5,105,782) ------------- ------------- ------------- ------------ ------------ ------------ Capital share transactions: Proceeds from shares sold 24,748,105 4,576,088 25,997,370 8,472,480 45,438,858 11,362,276 Reinvestment of distributions from net investment income and gain 1,737,588 713,105 16,709,577 728 3,533,564 2,657,221 Payments for shares redeemed (12,140,685) (2,687,915) (15,767,547) (4,230,414) (5,047,371) (4,612,973) ------------- ------------- ------------- ------------ ------------ ------------ Increase in net assets from capital share transactions 14,345,008 2,601,278 26,939,400 4,242,794 43,925,051 9,406,524 ------------- ------------- ------------- ------------ ------------ ------------ Total increase (decrease) in net assets 46,479,990 (28,811,049) 60,597,587 (4,482,382) 42,575,650 10,218,210 Net assets: At the beginning of the year 103,980,500 132,791,549 77,491,717 81,974,099 91,905,254 81,687,044 ------------- ------------- ------------- ------------ ------------ ------------ At the end of the year $ 150,460,490 103,980,500 138,089,304 77,491,717 134,480,904 91,905,254 ============= ============= ============= ============ ============ ============ Undistributed net investment income $ 17,539 14,195 0 0 0 0 ============= ============= ============= ============ ============ ============
See accompanying notes to financial statements 3 CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003 (1) Organization Clearwater Investment Trust (the Trust) was established on January 12, 1987 as a Massachusetts business trust and is registered under the Investment Company Act of 1940 (as amended) as a diversified open-end management investment company and presently includes three series of funds: Clearwater Growth Fund, Clearwater Small Cap Fund, and Clearwater Tax-Exempt Bond Fund (the funds). The Trust's declaration of trust permits the board of directors to create additional funds in the future. The investment objective of the Clearwater Growth and Small Cap Funds is long-term capital growth. The investment objective of the Clearwater Tax-Exempt Bond Fund is high current income that is exempt from federal income tax, consistent with preservation of capital. The Clearwater Growth Fund is passively managed to track but not replicate the Russell 1000 Index, an unmanaged, capitalization weighted index of the largest 1000 public companies in the United States. The fund is managed so that its holdings match the holdings of the Index as closely as possible while attempting to minimize the realization of taxable gains. This means that the fund will not buy and sell securities to match changes in the composition of securities in the Index. Instead, the fund's portfolio is adjusted periodically to reflect the holdings and weightings of the Index, but only after consideration of the fund's policy to minimize realization of taxable gains. The Clearwater Small Cap Fund invests primarily in equity securities of issuers with market capitalizations, at the time of investment, no greater than the range of capitalizations of the companies included in the Russell 2000 Index, an unmanaged, capitalization weighted index of the largest 3000 public companies in the United States less the largest 1000 tracked by the Russell 1000 Index. The Clearwater Tax-Exempt Bond Fund invests at least 80% of its assets in municipal securities, which are debt obligations issued by or for the U.S. states, territories and possessions, and the District of Columbia. The interest on these securities is generally exempt from regular federal income tax and may also be exempt from federal alternative minimum tax. However, the fund may invest up to 20% of its assets in securities that generate interest income subject to federal alternative minimum tax. (2) Summary of Significant Accounting Policies The significant accounting policies followed by the funds are as follows: Investments in Securities Investments in equity securities are valued at the last sales price on the principal exchange or market where they are traded. Equity securities which have not traded on the date of valuation or securities for which sales prices are not generally reported are valued at the mean between the last bid and asked prices. Debt securities maturing more than 60 days from the valuation date are valued at the market price supplied by an independent pricing vendor; those securities with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued at amortized cost, which approximates market 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. 4 (Continued) CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003 Security transactions are accounted for on the date the securities are purchased or sold. Realized gains and losses are calculated on an identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including amortization of original issue discount and premium, is accrued daily. Federal Taxes The Trust's policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies. On a calendar year basis the Funds intend to distribute substantially all of their net investment income and realized gains, if any, to avoid the payment of federal income and excise taxes. Therefore, no income tax provision is required. Each fund is treated as a separate entity for federal income tax purposes. Net investment income and net realized gains (losses) for the funds may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by the funds. The tax character of distributions paid during the year ended December 31, 2003 was as follows:
Tax- Ordinary Long-Term Exempt Income Capital Gain Total --------------- --------------- ---------------- ---------------- Growth Fund $ -- $ 1,737,588 $ -- $ 1,737,588 Small Cap Fund -- 5,740,295 10,969,282 16,709,577 Tax-Exempt Bond Fund 5,819,544 153,672 1,988 5,975,204
As of December 31, 2003, the components of distributable earnings on a tax basis were as follows: Clearwater Clearwater Clearwater Tax-Exempt Growth Fund Small Cap Fund Bond Fund ---------------- ------------------- -------------- Undistributed Ordinary Income $ 17,539 -- -- Undistributed Capital Gain -- 108,702 -- Accumulated Capital Losses (6,972,739) 297,921 (301,762) Unrealized Appreciation (Depreciation) 67,724,591 36,759,756 488,944 ---------------- ------------------- -------------- Total $ 60,769,391 37,166,379 187,182 ================ =================== ============== 5 (Continued) CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003 On the statements of assets and liabilities, due to permanent book-to-tax differences, the following adjustments have been made: Clearwater Clearwater Clearwater Tax-Exempt Growth Fund Small Cap Fund Bond Fund ------------ --------------- ----------- Undistributed net income $ $ 127,931 $ Accumulated net realized gains (127,931) Additional paid-in capital Distributions to Shareholders Distributions to shareholders from net investment income, if any, are declared annually for the Clearwater Growth and Small Cap Funds and declared daily, payable monthly, for the Clearwater 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. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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) Investment Security Transactions Cost of purchases and proceeds from sales of securities, other than temporary investments in short-term securities, for the year ended December 31, 2003, were as follows: Purchases Sales ----------------- ---------------- Clearwater Growth Fund $ 31,327,490 16,849,835 Clearwater Small Cap Fund 110,948,499 100,687,690 Clearwater Tax-Exempt Bond Fund 85,533,816 43,944,859 6 (Continued) CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003 (4) Capital Share Transactions Transactions in shares of each fund for the years ended December 31, 2003 and 2002 were as follows:
Clearwater Growth Fund Clearwater Small Cap Fund -------------------------------------- -------------------------------------- December 31, December 31, December 31, December 31, 2003 2002 2003 2002 ----------------- ------------------ ------------------ ----------------- Sold 1,311,323 221,526 1,698,057 612,760 Issued for reinvested distributions 76,681 40,288 910,603 56 Redeemed (622,550) (143,744) (993,290) (312,789) ----------------- ------------------ ------------------ ----------------- 765,454 118,070 1,615,370 300,027 ================= ================== ================== =================
Clearwater Tax-Exempt Bond Fund -------------------------------------- December 31, December 31, 2003 2002 ----------------- ------------------ Sold 4,469,913 1,110,526 Issued for reinvested distributions 348,195 259,732 Redeemed (495,017) (451,644) ----------------- ------------------ 4,323,091 918,614 ================= ================== (5) Capital Loss Carry-Over For federal income tax purposes, the Clearwater Growth Fund and Clearwater Tax Exempt Bond Fund have capital loss carryovers of $6,972,739 and $301,789, respectively, at December 31, 2003, which, if not offset by subsequent capital gains, will expire as follows: Clearwater Clearwater Tax- Year of Growth Fund Exempt Bond Fund Expiration ------------------ --------------------------- --------------- $ 6,972,739 -- 2010 -- 301,762 2011 ------------------ --------------------------- Total $ 6,972,739 301,762 ================== =========================== 7 (Continued) CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003 (6) Expenses and Related Party Transactions The Trust has a contract for investment advisory services with Clearwater Management Company, a management firm of which the Trust's President and Treasurer is a shareholder. Under terms of an agreement, Clearwater Growth Fund, Clearwater Small Cap Fund and Clearwater Tax-Exempt Bond Fund pay a fee equal to an annual rate of 0.45%, 1.35%, and 0.60% of average net assets, respectively. Clearwater Management Company is responsible for the payment or reimbursement of all of the Funds' expenses, except brokerage, taxes, interest, and extraordinary expenses. Effective July 1, 2002 Clearwater Management Company voluntarily reduced the fees paid by the funds to 0.39%, 1.33%, and 0.56%, respectively. This voluntary fee reduction may be rescinded at any time. The management firm has entered into a sub-advisory contract with an independent investment advisory firm 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 sub-advisory 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 and then decreasing to 0.80% of net assets in excess of $50 million. The sub-advisory 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. 8 (Continued) CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003 (7) Financial Highlights Per share data (rounded to the nearest cent) for a share of capital stock outstanding throughout the period and selected information for each period is as follows:
Year ended December 31 --------------------------------------------------------------------------------- Clearwater Growth Fund 2003 2002 2001 2000 1999 - ------------------------------------------------ ------------- ------------- ------------- ------------ ------------- Net asset value, beginning of year $ 17.70 23.07 26.86 31.94 25.92 Income from investment operations: Net investment income 0.27 0.23 0.19 0.16 0.11 Net realized and unrealized gains (losses) 4.95 (5.37) (3.73) (0.87) 6.18 ------------- ------------- ------------- ------------ ------------- Total from investment operations 5.22 (5.14) (3.54) (0.71) 6.29 ------------- ------------- ------------- ------------ ------------- Less distributions: Dividends from net investment income (0.26) (0.23) (0.20) (0.17) (0.14) Distributions from net realized gains -- -- (0.05) (4.20) (0.13) ------------- ------------- ------------- ------------ ------------- Total distributions (0.26) (0.23) (0.25) (4.37) (0.27) ------------- ------------- ------------- ------------ ------------- Net asset value, end of year $ 22.66 17.70 23.07 26.86 31.94 ============= ============= ============= ============ ============= Total return (a) 29.5% (22.3)% (13.2)% (2.0)% 24.3% Net assets, end of year (000s omitted) $ 150,460 103,981 132,792 154,811 169,913 Ratio of expenses to average net assets (b) 0.39% 0.43% 0.45% 0.45% 0.45% Ratio of net investment income to average net assets (b) 1.40% 1.14% 0.80% 0.52% 0.39% Portfolio turnover rate (excluding short- term securities) 13.64% 31.40% 43.20% 57.28% 12.19%
(a) Total return figures are based on the change in net asset value of a share during the period and assumes reinvestment of distributions at net asset value. (b) Total fund expenses are contractually limited to 0.45% of average daily net assets. However, during the years ended December 31, 2003 and 2002, the investment advisor voluntarily reduced management fees otherwise payable by the Fund. Had the fund incurred these expenses, the ratio of expenses to average daily net assets would have been 0.45% and 0.45%, respectively, and the ratio of net investment income to average daily net assets would have been 1.34% and 1.12%, respectively. 9 (Continued) CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003
Year ended December 31 ---------------------------------------------------------------------------- Clearwater Small Cap Fund 2003 2002 2001 2000 1999 - ----------------------------------------------------- ------------- ------------ ----------- ------------ ------------ Net asset value, beginning of year $ 13.11 14.61 13.01 15.13 13.08 Income from investment operations: Net investment income (loss) (0.02) (0.01) 0.11 (0.04) (0.05) Net realized and unrealized gains (losses) 7.71 (1.49) 1.62 1.41 3.57 ------------ ------------ ----------- ------------ ------------ Total from investment operations 7.69 (1.50) 1.73 1.37 3.52 ------------ ------------ ----------- ------------ ------------ Less distributions: Distributions from net investment income -- -- (0.11) -- -- Distributions from net realized gains (2.45) -- (0.02) (3.49) (1.47) ------------ ------------ ----------- ------------ ------------ Total distributions (2.45) -- (0.13) (3.49) (1.47) ------------ ------------ ----------- ------------ ------------ Net asset value, end of year $ 18.35 13.11 14.61 13.01 15.13 ============ ============ =========== ============ ============ Total return (a) 58.7% (10.3)% 13.3% 10.7% 27.3% Net assets, end of year (000s omitted) $ 138,089 77,492 81,974 67,896 59,196 Ratio of expenses to average net assets (b) 1.34% 1.34% 1.35% 1.35% 1.34% Ratio of net investment income (loss) to average net assets (b) (0.12)% (0.02)% 0 .80% (0.27)% (0.35)% Portfolio turnover rate (excluding short- term securities) 100.82% 81.16% 117.75% 149.01% 112.63%
(a) Total return figures are based on the change in net asset value of a share during the period and assumes reinvestment of distributions at net asset value. (b) Total fund expenses are contractually limited to 1.35% of average daily net assets. However, during the years ended December 31, 2003 and 2002, the investment advisor voluntarily reduced management fees otherwise payable by the Fund. Had the fund incurred these expenses, the ratio of expenses to average daily net assets would have been 1.35% and 1.35%, respectively, and the ratio of net investment income to average daily net assets would have been (0.13)% and (0.03%), respectively. 10 (Continued) CLEARWATER INVESTMENT TRUST Notes to Financial Statements December 31, 2003
Year-ended December 31 --------------------------------------------------------- Clearwater Tax-Exempt Bond Fund 2003 2002 2001 2000 (a) - -------------------------------------------------------------------- ------------ ------------ ------------- ------------- Net asset value, beginning of year $ 10.24 10.14 10.28 10.00 Income from investment operations: Net investment income 0.53 0.58 0.59 0.55 Net realized and unrealized gains (losses) (0.12) 0.12 0.02 0.31 ------------ ------------ ------------- ------------- Total from investment operations 0.41 0.70 0.61 0.86 ------------ ------------ ------------- ------------- Less distributions: Distributions from net investment income (0.53) (0.58) (0.59) (0.55) Distributions from net realized gains (0.00) (0.02) (0.16) (0.03) ------------ ------------ ------------- ------------- Total distributions (0.53) (0.60) (0.75) (0.58) ------------ ------------ ------------- ------------- Net asset value, end of period $ 10.12 10.24 10.14 10.28 ============ ============ ============= ============= Total return (b) 4.1% 7.1% 6.1% 8.9% Net assets, end of period (000s omitted) $ 134,480 91,905 81,687 74,094 Ratio of expenses to average net assets (d) 0.56% 0.58% 0.60% 0.60% (c) Ratio of net investment income (loss) to average net assets (d) 5.24% 5.69% 5.64% 5.72% (c) Portfolio turnover rate (excluding short- term securities) 39.84% 39.79% 43.23% 23.86%
(a) For the period from January 14, 2000 (commencement of operations) to December 31, 2000. (b) Total return figures are based on the change in net asset value of a share during the period and assumes reinvestment of distributions at net asset value. (c) Annualized. (d) Total fund expenses are contractually limited to 0.60% of average daily net assets. However, during the years ended December 31, 2003 and 2002, the investment advisor voluntarily reduced management fees otherwise payable by the Fund. Had the Fund incurred these expenses, the ratio of expenses to average daily net assets would have been 0.60% and 0.60%, respectively, and the ratio of net investment income to average daily net assets would have been 5.20% and 5.67%, respectively. 11 (Continued) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003
Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Common stocks: Consumer discretionary: 2,300 ABERCROMBIE AND FITCH CO (b) $ 50,217.80 56,833.00 2,250 AMAZON COM INC (b) 39,442.43 118,440.00 150 AMERICAN EAGLE OUTFITTERS INC (b) 1,674.75 2,460.00 900 AMERICAN GREETINGS CORP (b) 13,869.00 19,683.00 600 ARVINMERITOR INC 10,494.00 14,472.00 1,600 AUTONATION INC DEL (b) 30,080.00 29,392.00 900 AUTOZONE INC (b) 57,669.03 76,689.00 4,075 BED BATH & BEYOND INC (b) 151,099.17 176,651.25 1,250 BELO CORP 18,687.50 35,425.00 3,200 BEST BUY CO INC 84,881.60 167,168.00 1,400 BIG LOTS INC (b) 15,477.00 19,894.00 1,300 BLACK & DECKER CORPORATION 44,208.00 64,116.00 3,500 BLOCKBUSTER INC 44,415.00 62,825.00 1,300 BRINKER INTL INC (b) 41,847.00 43,108.00 2,525 CABLEVISION NY GROUP CLASS A (b) 21,801.10 59,059.75 1,484 CARMAX INC (b) 33,725.08 45,900.12 165 CAVCO INDS INC DEL (b) 814.66 3,960.00 400 CDW CORP 18,158.00 23,104.00 3,300 CENTEX CORP 73,877.13 355,245.00 1,500 CHICOS FAS INC (b) 28,000.05 55,425.00 1,000 CIRCUIT CITY STORES INC 10,040.00 10,130.00 2,400 COACH INC (b) 14,970.00 90,600.00 2,525 COMCAST CORP NEW (b) 60,520.72 78,982.00 26,345 COMCAST CORP NEW (b) 664,058.09 865,960.15 6,300 COSTCO WHSL CORP NEW (b) 182,741.34 234,234.00 300 COX COMMUNICATIONS INC NEW (b) 9,810.00 10,335.00 1,450 CUMULUS MEDIA INC (b) 19,522.95 31,900.00 1,600 D R HORTON INC 60,432.00 69,216.00 2,100 DANA CORP 33,264.00 38,535.00 2,300 DARDEN RESTAURANTS INC 47,909.00 48,392.00 7,000 DELPHI CORP 58,702.70 71,470.00 21,600 DISNEY WALT CO 418,220.98 503,928.00 2,100 DOLLAR GEN CORP 40,603.50 44,079.00 800 DOLLAR TREE STORES INC (b) 21,405.30 24,048.00 3,200 DOW JONES & CO INC 142,912.00 159,520.00 3,900 EASTMAN KODAK CO 90,363.00 100,113.00 8,800 EBAY INC (b) 145,400.20 568,392.00 3,200 ECHOSTAR COMMUNICATIONS CORP N (b) 119,633.00 108,800.00 2,425 EMMIS COMMUNICATIONS CORP (b) 48,403.00 65,596.25 1,125 ENTERCOM COMMUNICATIONS CORP (b) 49,321.24 59,580.00 2,000 FAMILY DLR STORES INC 61,336.00 71,760.00 1,900 FOOT LOCKER INC 25,593.00 44,555.00 29,800 FORD MTR CO DEL 306,940.00 476,800.00 7,700 FORTUNE BRANDS INC 282,788.06 550,473.00 3,125 FOX ENTMT GROUP INC (b) 63,756.88 91,093.75 1,900 GAMESTOP CORP (b) 15,310.96 29,279.00 3,550 GANNETT INC 256,535.03 316,518.00 8,400 GAP INC 124,824.10 194,964.00 6,800 GENERAL MTRS CORP 269,795.10 363,120.00 1,100 GENTEX CORP 43,087.00 48,576.00 15,650 HARLEY DAVIDSON INC 91,689.44 743,844.50 575 HEARST ARGYLE TELEVISION INC 12,880.00 15,847.00 46,625 HOME DEPOT INC 30,408.49 1,654,721.25 100 HOVNANIAN ENTERPRISES INC (b) 7,613.00 8,706.00 4,363 HUGHES ELECTRONICS CORP (b) 48,722.21 72,208.42 5,175 INTERACTIVE CORP (b) 122,106.25 175,587.75 300 INTERNATIONAL GAME TECHNOLOGY 9,243.00 10,710.00 5,400 INTERPUBLIC GROUP COS INC (b) 75,276.00 84,240.00 1,425 JOHNSON CTLS INC 113,368.44 165,471.00 600 KB HOME 39,516.00 43,512.00 900 KNIGHT RIDDER INC 63,990.00 69,633.00 11,550 KOHLS CORP (b) 92,210.75 519,057.00 200 KRISPY KREME DOUGHNUTS INC (b) 8,408.00 7,320.00 See accompanying notes to investments in securities 12 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Consumer discretionary (Cont'd): 1,750 LA QUINTA CORP (b) $ 3,605.00 11,217.50 300 LAMAR ADVERTISING CO (b) 8,994.00 11,196.00 900 LEAR CORP 53,127.00 55,197.00 500 LEGGETT & PLATT INC 10,440.00 10,815.00 700 LENNAR CORP 58,905.00 67,200.00 35,250 LIBERTY MEDIA CORP (b) 319,417.88 419,122.50 10,290 LIMITED BRANDS INC 118,492.84 185,528.70 1,450 LIZ CLAIBORNE INC 47,830.54 51,417.00 9,800 LOWES COS INC 325,809.34 542,822.00 15,550 MARRIOTT INTL INC NEW 129,054.94 718,410.00 100 MATTEL INC 2,016.00 1,927.00 4,600 MAY DEPT STORES CO 124,522.00 133,722.00 1,600 MCCLATCHY CO 95,367.31 110,080.00 12,000 MCDONALDS CORP 204,984.77 297,960.00 600 MCGRAW HILL COS INC 29,063.00 41,952.00 1,000 METRO GOLDWYN MAYER INC NEW (b) 9,519.00 17,090.00 1,600 MICHAELS STORES INC 39,160.00 70,720.00 5,500 NEW YORK TIMES CO 226,118.75 262,845.00 3,800 NEWELL RUBBERMAID INC 86,564.00 86,526.00 488 NEWS CORP LTD (d) 14,200.63 14,761.81 1,600 NIKE INC 78,480.00 109,536.00 2,500 NORDSTROM INC 52,596.00 85,750.00 2,700 OFFICE DEPOT INC (b) 36,283.00 45,117.00 1,200 OMNICOM GROUP 60,499.50 104,796.00 400 PENNEY J C INC 10,012.00 10,512.00 400 PETSMART INC 10,364.00 9,520.00 1,500 POLO RALPH LAUREN CORP 31,320.00 43,200.00 100 PULTE HOMES INC 7,708.00 9,362.00 1,500 RADIOSHACK CORP 36,117.00 46,020.00 1,575 REEBOK INTL LTD 43,622.93 61,929.00 2,600 ROSS STORES INC 42,759.60 68,718.00 200 RYLAND GROUP INC 12,909.00 17,728.00 300 SCRIPPS E W CO OH 23,112.00 28,242.00 3,900 SEARS ROEBUCK & CO 124,784.40 177,411.00 300 SHERWIN WILLIAMS CO 9,570.00 10,422.00 900 STANLEY WORKS 27,855.00 34,083.00 6,300 STAPLES INC (b) 119,696.22 171,990.00 5,375 STARBUCKS CORP (b) 131,883.00 177,697.50 750 STARWOOD HOTELS & RESORTS 18,555.00 26,977.50 12,200 TARGET CORP 353,658.66 468,480.00 1,400 TIFFANY & CO NEW 35,210.00 63,280.00 63,600 TIME WARNER INC NEW (b) 790,892.40 1,144,164.00 6,300 TJX COS INC NEW 110,381.75 138,915.00 300 TOLL BROS INC (b) 10,347.00 11,928.00 700 TOYS R US INC (b) 9,863.00 8,848.00 2,600 TRIBUNE CO NEW 116,789.95 134,160.00 2,055 UNIVISION COMMUNICATIONS INC (b) 44,640.00 81,562.95 18,450 VIACOM INC 694,563.94 818,811.00 30,150 WAL MART STORES INC 1,421,605.81 1,599,457.50 700 WENDYS INTL INC 25,956.00 27,468.00 1,150 WESTWOOD ONE INC (b) 28,598.00 39,341.50 3,600 WHIRLPOOL CORP 155,817.45 261,540.00 300 WILLIAMS SONOMA INC (b) 9,594.00 10,431.00 1,400 XM SATELLITE RADIO HLDGS INC (b) 27,440.00 36,904.00 4,100 YUM BRANDS INC (b) 62,875.00 141,040.00 1,200 ZALE CORP NEW (b) 39,515.04 63,840.00 --------------- --------------- 11,907,135.68 19,771,348.65 13.14% See accompanying notes to investments in securities 13 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Consumer staples: 4,700 ALBERTSONS INC $ 93,906.00 106,455.00 31,200 ALTRIA GROUP INC 534,167.27 1,697,904.00 9,100 ANHEUSER BUSCH COS INC 435,508.50 479,388.00 1,500 ARCHER DANIELS MIDLAND CO 20,775.00 22,830.00 1,950 AVON PRODS INC 114,316.08 131,605.50 900 BROWN FORMAN CORP 70,069.00 84,105.00 3,100 CAMPBELL SOUP CO 82,770.00 83,080.00 35,600 COCA COLA CO 1,068,618.00 1,806,700.00 500 COCA COLA ENTERPRISES INC 10,175.00 10,935.00 7,200 COLGATE PALMOLIVE CO 360,615.80 360,360.00 8,000 CONAGRA INC 182,520.50 211,120.00 1,200 CONSTELLATION BRANDS INC (b) 36,456.00 39,516.00 300 COORS ADOLPH CO 16,305.00 16,830.00 4,600 CVS CORP 114,995.86 166,152.00 300 DEAN FOODS CO NEW (b) 9,243.00 9,861.00 1,373 DEL MONTE FOODS CO (b) 10,417.00 14,279.20 2,000 GENERAL MLS INC 85,691.50 90,600.00 30,200 GILLETTE CO 502,989.10 1,109,246.00 3,075 HEINZ H J CO 96,319.38 112,022.25 1,300 HORMEL FOODS CORP 29,432.00 33,553.00 2,750 KIMBERLY CLARK CORP 142,946.29 162,497.50 1,200 KRAFT FOODS INC 35,352.00 38,664.00 7,900 KROGER CO (b) 138,728.56 146,229.00 600 LOEWS CORP 14,556.00 15,144.00 300 MCCORMICK & CO INC 8,805.00 9,030.00 2,400 PEPSI BOTTLING GROUP INC 52,032.00 58,032.00 25,650 PEPSICO INC 924,004.40 1,195,803.00 15,000 PROCTER & GAMBLE CO 560,341.77 1,498,200.00 1,200 REYNOLDS R J TOB HLDGS INC 48,702.75 69,780.00 6,100 RITE AID CORP (b) 36,356.00 36,844.00 6,400 SAFEWAY INC (b) 124,921.58 140,224.00 4,750 SARA LEE CORP 86,736.06 103,122.50 300 SMUCKER J M CO 4,312.83 13,587.00 3,700 SUPERVALU INC 62,955.13 105,783.00 7,900 SYSCO CORP 121,024.50 294,117.00 5,927 TYSON FOODS INC DEL 52,174.25 78,473.48 2,500 UST INC 65,526.50 89,225.00 27,350 WALGREEN CO 324,378.25 994,993.00 1,200 WHOLE FOODS MKT INC (b) 64,365.00 80,556.00 3,600 WRIGLEY WM JR CO 125,320.50 202,356.00 --------------- --------------- 6,868,829.36 11,919,202.43 7.92% Energy: 1,673 ANADARKO PETE CORP 58,107.18 85,339.73 1,674 APACHE CORP 61,600.01 135,761.40 800 BAKER HUGHES INC 24,230.00 25,728.00 300 BJ SVCS CO (b) 9,951.00 10,770.00 12,788 BP PLC (d) 316,441.32 631,087.80 5,450 BURLINGTON RES INC 178,458.36 301,821.00 4,500 CHESAPEAKE ENERGY CORP 43,650.00 61,110.00 9,064 CHEVRONTEXACO CORP 696,378.97 783,038.96 8,119 CONOCOPHILLIPS 345,304.20 532,362.83 21 CROSS TIMBERS RLTY TR 435.65 598.92 1,506 DEVON ENERGY CORPORATION NEW 59,785.75 86,233.56 600 ENSCO INTL INC 15,750.00 16,302.00 4,250 EOG RESOURCES INC 80,823.95 196,222.50 79,699 EXXON MOBIL CORP 3,112,679.67 3,267,659.00 3,600 HALLIBURTON CO 75,727.00 93,600.00 2,900 HELMERICH AND PAYNE INC 72,972.99 80,997.00 1,200 MURPHY OIL CORP 32,054.76 78,372.00 1,700 NATIONAL OILWELL INC (b) 26,426.50 38,012.00 2,900 NOBLE ENERGY INC 74,136.48 128,847.00 16,450 OCCIDENTAL PETE CORP 308,653.00 694,848.00 3,200 PIONEER NAT RES CO (b) 48,507.20 102,176.00 9,000 SCHLUMBERGER LTD 210,433.75 492,480.00 See accompanying notes to investments in securities 14 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Energy (Cont'd): 1,100 SMITH INTL INC (b) $ 38,951.00 45,672.00 4,850 SUNOCO INC 109,368.96 248,077.50 6,693 TRANSOCEAN INC (b) 107,342.16 160,698.93 4,850 UNOCAL CORP 134,714.24 178,625.50 1,865 VALERO ENERGY CORP 51,021.91 86,424.10 2,900 XTO ENERGY INC 37,766.90 82,070.00 --------------- --------------- 6,331,672.91 8,644,935.73 5.75% Financials: 8,550 AFLAC INC 255,751.98 309,339.00 9,000 ALLIED CAP CORP NEW 196,349.04 250,920.00 3,400 ALLSTATE CORP 125,758.55 146,268.00 1,000 AMB PPTY CORP 20,197.50 32,880.00 100 AMBAC FINL GROUP INC 6,938.00 6,939.00 14,775 AMERICAN EXPRESS CO 574,403.58 712,598.25 37,316 AMERICAN INTL GROUP INC 458,063.30 2,473,304.48 2,000 AMERICREDIT CORP (b) 22,460.00 31,860.00 3,200 AMERITRADE HLDG CORP NEW (b) 44,924.80 45,024.00 9,700 AMSOUTH BANCORPORATION 229,185.00 237,650.00 3,000 AON CORP 57,150.00 71,820.00 6,600 ASTORIA FINL CORP 87,762.51 245,520.00 18,375 BANK AMER CORP 1,035,816.22 1,477,901.25 10,000 BANK NEW YORK INC 260,574.28 331,200.00 16,550 BANK ONE CORP 510,752.86 754,514.50 4,700 BANKNORTH GROUP INC NEW 86,563.19 152,891.00 8,658 BB&T CORP 244,238.00 334,545.12 1,100 BEAR STEARNS COS INC 56,969.00 87,945.00 3,000 CAPITAL ONE FINL CORP 107,193.00 183,870.00 1,100 CATELLUS DEV CORP 24,938.50 26,686.00 7,581 CHARTER ONE FINL INC 126,025.01 261,923.55 2,100 CHUBB CORP 129,882.00 143,010.00 200 CINCINNATI FINL CORP 8,152.00 8,376.00 2,100 CIT GROUP INC NEW 52,794.00 75,495.00 70,515 CITIGROUP INC 1,081,531.94 3,422,798.10 1,550 COLONIAL BANCGROUP INC 20,380.95 26,846.00 200 COMERICA INC 9,488.00 11,212.00 5,150 COMMERCIAL FED CORP 78,155.88 137,556.50 2,067 COUNTRYWIDE FINL CORP 40,480.57 156,756.69 1,400 CRESCENT REAL ESTATE EQUITIES 23,114.00 23,982.00 300 DORAL FINL CORP 9,892.00 9,684.00 4,600 E TRADE FINL CORP (b) 50,278.00 58,190.00 300 EQUITY RESIDENTIAL 8,802.00 8,853.00 17,950 FEDERAL HOME LN MTG CORP 54,544.72 1,046,844.00 9,225 FEDERAL NATL MTG ASSN 583,713.16 692,428.50 4,600 FIFTH THIRD BANCORP 220,479.55 271,860.00 8,450 FIRST TENN NATL CORP 255,733.24 372,645.00 15,500 FLEETBOSTON FINL CORP 407,800.00 676,575.00 14,000 FRANKLIN RES INC 257,224.58 728,840.00 24,900 GENERAL GROWTH PPTYS INC 308,734.27 690,975.00 1,900 GOLDMAN SACHS GROUP INC 139,554.00 187,587.00 2,625 GREENPOINT FINL CORP 51,677.75 92,715.00 3,800 HARTFORD FINANCIAL SVCS GRP 190,162.00 224,314.00 7,300 HEALTH CARE PPTY INVS INC 261,994.08 370,840.00 100 HIBERNIA CORP 1,081.00 2,351.00 6,400 HRPT PPTYS TR 60,992.00 64,576.00 1,284 HSBC HLDGS PLC (d) 64,775.01 101,204.88 3,200 HUNTINGTON BANCSHARES INC 48,480.00 72,000.00 1,700 INSTINET GROUP INC (b) 9,860.00 8,755.00 2,300 INVESTMENT TECHNOLOGY GROUP (b) 37,975.99 37,145.00 300 INVESTORS FINL SERVICES CORP 10,275.00 11,523.00 3,800 ISTAR FINL INC 75,215.28 147,820.00 25,800 J P MORGAN CHASE & CO 693,603.83 947,634.00 2,600 JANUS CAP GROUP INC 36,660.00 42,666.00 3,700 JEFFERSON PILOT CORP 137,936.00 187,405.00 4,000 JOHN HANCOCK FINANCIAL SRVCS 135,062.00 150,000.00 See accompanying notes to investments in securities 15 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Financials (Cont'd): 12,100 KEYCORP NEW $ 225,332.25 354,772.00 1,600 LEHMAN BROTHERS HLDGS INC 88,166.95 123,552.00 3,625 LINCOLN NATL CORP IN 113,501.62 146,341.25 2,100 LOEWS CORP 49,966.14 103,845.00 260 M & T BK CORP 10,975.91 25,558.00 5,400 MACK CA RLTY CORP 169,534.08 224,748.00 7,200 MARSH & MCLENNAN COS INC 296,225.50 344,808.00 2,000 MARSHALL & ILSLEY CORP 51,520.00 76,500.00 1,850 MBIA INC 82,767.50 109,575.50 15,350 MBNA CORP 205,878.00 381,447.50 1,900 MELLON FINL CORP 52,520.14 61,009.00 10,000 MERRILL LYNCH & CO INC 368,180.00 586,500.00 2,200 METLIFE INC 59,438.00 74,074.00 6,800 MGIC INVT CORP WIS 163,404.00 387,192.00 200 MOODYS CORP 11,350.00 12,110.00 10,375 MORGAN STANLEY 445,189.14 600,401.25 13,850 NATIONAL CITY CORP 239,683.94 470,069.00 500 NATIONAL COMM FINL CORP 12,375.00 13,640.00 800 NATIONWIDE FINL SVCS INC 25,928.00 26,448.00 1,412 NEW YORK CMNTY BANCORP INC 39,869.57 53,726.60 2,200 NORTH FORK BANCORPORATION INC 68,598.42 89,034.00 1,525 NORTHERN TRUST CORP 59,156.00 70,790.50 600 NTL INC DEL (b) 26,690.24 41,850.00 300 PEOPLES BK BRIDGEPORT CONN 9,330.00 9,780.00 3,100 PLUM CREEK TIMBER CO INC 66,340.00 94,395.00 300 PMI GROUP INC 10,926.00 11,169.00 3,925 PNC FINL SVCS GROUP INC 179,372.50 214,815.25 100 POPULAR INC 2,024.75 4,494.00 14,675 PRICE T ROWE GROUP INC 198,287.00 695,741.75 2,550 PRINCIPAL FINANCIAL GROUP 69,037.43 84,328.50 1,500 PROGRESSIVE CORP OHIO 79,780.96 125,385.00 2,150 PROVIDENT FINL GROUP INC 58,996.00 68,692.50 3,400 PROVIDIAN FINL CORP (b) 34,136.00 39,576.00 6,100 PRUDENTIAL FINL INC 187,850.00 254,797.00 200 RADIAN GROUP INC 9,990.00 9,750.00 500 RAYMOND JAMES FINANCIAL INC 12,570.00 18,850.00 100 REGIONS FINL CORP 2,154.75 3,720.00 300 REINSURANCE GROUP AMER INC 12,570.00 11,595.00 500 ROBERT HALF INTL INC (b) 11,990.00 11,670.00 14,600 SCHWAB CHARLES CORP 185,483.00 172,864.00 1,300 SIMON PPTY GROUP INC NEW 32,715.67 60,242.00 4,900 SLM CORP 147,774.03 184,632.00 3,100 SOUTHTRUST CORP 73,424.43 101,463.00 4,200 SOVEREIGN BANCORP INC 32,180.88 99,750.00 500 ST JOE CO 16,215.00 18,645.00 300 ST PAUL COS INC 10,905.00 11,895.00 450 STATE STREET CORPORATION 21,943.50 23,436.00 200 SUNTRUST BKS INC 12,726.00 14,300.00 4,200 SYNOVUS FINL CORP 112,014.00 121,464.00 12,000 TCF FINANCIAL CORP 207,735.00 616,200.00 1,600 TORCHMARK INC 66,615.00 72,864.00 7,510 TRAVELERS PPTY CAS CORP NEW 68,956.84 127,444.70 2,488 TRAVELERS PPTY CAS CORP NEW 14,584.82 41,748.64 2,775 UNION PLANTERS CORP 53,751.57 87,384.75 4,000 UNITRIN INC 101,606.00 165,640.00 4,300 UNUMPROVIDENT CORP 60,750.45 67,811.00 25,598 US BANCORP DEL 560,333.74 762,308.44 1,312 VALLEY NATL BANCORP 29,073.92 38,310.40 18,550 WACHOVIA CORP 2ND NEW 574,244.92 864,244.50 18,088 WASHINGTON MUT INC 288,436.78 725,690.56 32,641 WELLS FARGO & CO NEW 724,241.48 1,922,228.49 7,225 XL CAPITAL LTD 92,118.75 560,298.75 200 ZIONS BANCORP 8,260.88 12,266.00 --------------- --------------- 17,396,196.57 32,296,943.65 21.47% See accompanying notes to investments in securities 16 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Healthcare: 15,250 ABBOTT LABS $ 577,343.30 710,650.00 950 ADVANCEPCS (b) 20,482.00 50,027.00 4,700 AETNA INC 151,652.96 317,626.00 1,150 ALLERGAN INC 73,440.03 88,331.50 1,500 AMERISOURCEBERGEN CORP 85,575.00 84,225.00 25,150 AMGEN INC (b) 102,792.25 1,554,270.00 400 AMYLIN PHARMACEUTICALS INC (b) 10,564.00 8,888.00 600 ANDRX CORP DEL (b) 10,542.00 14,424.00 1,779 ANTHEM INC (b) 115,108.78 133,425.00 400 APPLERA CORP APPLIED BIOSYS 9,156.00 8,284.00 600 BARR PHARMACEUTICALS INC (b) 43,980.00 46,170.00 11,000 BAXTER INTL INC 220,991.56 335,720.00 300 BECTON DICKINSON & CO 11,373.00 12,342.00 11,350 BIOGEN IDEC INC (b) 164,189.85 417,453.00 300 BIOMET INC 10,302.00 10,923.00 6,450 BOSTON SCIENTIFIC CORP (b) 128,389.78 237,102.00 27,025 BRISTOL MYERS SQUIBB CO 681,129.25 772,915.00 4,450 CARDINAL HEALTH INC 268,086.50 272,162.00 4,475 CAREMARK RX INC (b) 71,770.57 113,351.75 200 CELGENE CORP (b) 7,942.00 9,004.00 200 CEPHALON INC (b) 9,120.00 9,682.00 1,900 CIGNA CORP 89,680.00 109,250.00 1,600 CYTYC CORP (b) 11,472.00 22,016.00 950 DAVITA INC (b) 21,812.00 37,050.00 180 EDWARDS LIFESCIENCES CORP (b) 1,871.69 5,414.40 800 EXPRESS SCRIPTS INC (b) 37,832.00 53,144.00 1,900 FIRST HEALTH GROUP CORP (b) 45,338.37 36,974.00 3,400 FISHER SCIENTIFIC INTL INC (b) 138,754.00 140,658.00 3,250 FOREST LABS INC (b) 131,537.76 200,850.00 1,600 GENENTECH INC (b) 110,015.50 149,712.00 1,600 GENZYME CORP (b) 79,510.00 78,944.00 2,800 GILEAD SCIENCES INC (b) 176,412.00 162,792.00 3,152 GLAXOSMITHKLINE PLC (d) 76,078.70 146,946.24 2,300 GUIDANT CORP 92,233.25 138,460.00 5,350 HCA INC 167,309.79 229,836.00 4,000 HEALTH MGMT ASSOC 76,501.10 96,000.00 2,450 HEALTH NET INC (b) 64,669.42 80,115.00 1,800 HUMAN GENOME SCIENCES INC (b) 25,110.00 23,850.00 3,900 HUMANA INC (b) 39,107.25 89,115.00 300 ICOS CORP (b) 11,982.00 12,384.00 300 IMCLONE SYS INC (b) 9,777.00 11,898.00 500 IMS HEALTH INC 11,095.00 12,430.00 200 INVITROGEN CORP (b) 12,066.00 14,000.00 3,925 IVAX CORP (b) 40,821.18 93,729.00 34,200 JOHNSON & JOHNSON 431,281.12 1,766,772.00 2,900 KING PHARMACEUTICALS INC (b) 43,955.00 44,254.00 2,600 LABORATORY CORP AMER HLDGS (b) 61,059.96 96,070.00 18,100 LILLY ELI & CO 754,434.77 1,272,973.00 1,450 LINCARE HLDGS INC (b) 43,942.01 43,543.50 1,300 MANOR CARE INC NEW 30,972.50 44,941.00 3,800 MCKESSON CORP 126,730.00 122,208.00 2,978 MEDCO HEALTH SOLUTIONS INC (b) 72,599.95 101,222.22 27,050 MEDTRONIC INC 100,935.37 1,314,900.50 28,700 MERCK & CO INC 1,428,735.39 1,325,940.00 600 MID ATLANTIC MED SVCS INC (b) 28,267.20 38,880.00 6,500 MILLENNIUM PHARMACEUTICALS (b) 89,027.13 121,355.00 3,600 MYLAN LABS INC 35,895.04 90,936.00 1,100 OMNICARE INC 29,495.29 44,429.00 1,100 OXFORD HEALTH PLANS INC (b) 29,783.16 47,850.00 200 PACIFICARE HEALTH SYSTEMS (b) 11,080.00 13,520.00 125,975 PFIZER INC 613,511.36 4,450,696.75 100 PHARMACEUTICAL RES INC (b) 7,091.00 6,515.00 700 PROTEIN DESIGN LABS INC (b) 9,632.00 12,530.00 925 QUEST DIAGNOSTICS INC (b) 52,429.50 67,626.75 20,400 SCHERING PLOUGH CORP 348,955.50 354,756.00 See accompanying notes to investments in securities 17 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Healthcare (Cont'd): 1,000 SEPRACOR INC (b) $ 26,600.00 23,930.00 2,300 ST JUDE MED INC (b) 115,621.00 141,105.00 8,925 STRYKER CORP 68,889.84 758,714.25 6,400 TENET HEALTHCARE CORP (b) 100,160.00 102,720.00 1,000 TRIAD HOSPS INC (b) 25,517.20 33,270.00 7,200 UNITED HEALTH GROUP INC 209,534.08 418,896.00 700 UNIVERSAL HEALTH SVCS INC 31,885.00 37,604.00 2,175 WATSON PHARMACEUTICALS INC (b) 50,706.48 100,050.00 1,300 WEB MD CORP (b) 10,296.00 11,687.00 1,950 WELLPOINT HEALTH NETWORKS INC (b) 136,791.00 189,130.50 17,650 WYETH 709,422.43 749,242.50 985 ZIMMER HOLDINGS INC (b) 29,448.31 69,344.00 --------------- --------------- 10,109,601.43 21,170,154.86 14.07% Industrials: 7,050 3M CO 438,010.75 599,461.50 2,750 ALLIED WASTE INDUSTRIES INC (b) 16,321.25 38,170.00 2,800 AMERICAN PWR CONVERSION CORP 44,398.00 68,460.00 900 APOLLO GROUP INC (b) 54,639.00 61,200.00 500 APOLLO GROUP INC (b) 27,075.00 34,465.00 8,300 AUTOMATIC DATA PROCESSING INC 308,406.00 328,763.00 1,500 AVERY DENNISON CORP 79,950.00 84,030.00 900 BISYS GROUP INC (b) 12,294.00 13,392.00 3,100 BLOCK H & R INC 58,017.48 171,647.00 18,700 BOEING CO 442,348.50 788,018.00 3,600 BURLINGTON NORTHN SANTA FE 86,981.79 116,460.00 500 CAREER ED CORP (b) 22,025.00 20,035.00 300 CARLISLE COS INC 15,924.00 18,258.00 3,200 CATERPILLAR INC 136,480.00 265,664.00 29,948 CENDANT CORP (b) 228,707.20 666,941.96 2,900 CINTAS CORP 94,801.00 145,377.00 2,100 CNF INC 49,896.00 71,190.00 5,700 CONCORD EFS INC (b) 78,744.04 84,588.00 12,775 CRANE CO 215,415.14 392,703.50 5,100 CSX CORP 107,399.88 183,294.00 550 CUMMINS INC 15,906.00 26,917.00 900 DANAHER CORP 55,982.97 82,575.00 2,650 DEERE & CO 135,067.26 172,382.50 1,200 DELTA AIR LINES INC 16,128.00 14,172.00 2,900 DELUXE CORP 101,417.64 119,857.00 1,400 DONNELLEY R R & SONS CO 36,666.00 42,210.00 1,425 DOVER CORP 45,054.25 56,643.75 9,600 DUN AND BRADSTREET CORP DEL (b) 239,197.18 486,816.00 1,500 EATON CORP 103,554.25 161,970.00 4,650 EMERSON ELEC CO 244,237.42 301,087.50 11,775 FEDEX CORP 234,259.75 794,812.50 3,675 FLUOR CORP NEW 96,907.05 145,677.00 1,400 GATX 24,276.00 39,172.00 1,400 GENERAL DYNAMICS CORP 93,467.90 126,546.00 124,400 GENERAL ELEC CO 1,898,995.95 3,853,912.00 5,050 GENUINE PARTS CO 153,969.03 167,660.00 1,600 GOODRICH CORP 43,216.00 47,504.00 1,700 GRAINGER W W INC 74,317.00 80,563.00 600 HARSCO CORP 17,510.00 26,292.00 11,700 HONEYWELL INTL INC 270,363.10 391,131.00 900 HUBBELL INC 29,499.00 39,690.00 2,400 ILLINOIS TOOL WKS INC 154,800.00 201,384.00 504 IMAGISTICS INTL INC (b) 5,084.24 18,900.00 1,100 ITT EDL SVCS INC (b) 41,602.00 51,667.00 800 ITT INDS INC 52,360.00 59,368.00 700 JACOBS ENGR GROUP INC (b) 33,950.00 33,607.00 300 JETBLUE AWYS CORP (b) 13,551.80 7,956.00 1,000 L 3 COMMUNICATIONS HLDG CORP (b) 46,890.00 51,360.00 See accompanying notes to investments in securities 18 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Industrials (Cont'd): 4,900 LOCKHEED MARTIN CORP $ 128,715.45 251,860.00 475 MANPOWER INC WIS 16,732.50 22,363.00 6,600 MASCO CORP 122,514.80 180,906.00 400 MONSTER WORLDWIDE INC (b) 10,132.00 8,784.00 700 NAVISTAR INTL CORP INC (b) 28,945.00 33,523.00 5,400 NORFOLK SOUTHN CORP 103,356.00 127,710.00 796 NORTHROP GRUMMAN CORP 51,590.69 76,097.60 2,375 PACCAR INC 81,618.06 202,160.00 700 PALL CORP 16,184.00 18,781.00 200 PARKER HANNIFIN CORP 10,090.00 11,900.00 10,200 PITNEY BOWES INC 328,150.13 414,324.00 2,000 PRECISION CASTPARTS CORP 45,286.00 90,820.00 5,700 RAYTHEON CO 160,191.66 171,228.00 1,450 REPUBLIC SVCS INC 24,667.24 37,163.50 7,250 ROCKWELL AUTOMATION INC 102,172.50 258,100.00 2,300 ROCKWELL COLLINS INC 55,545.00 69,069.00 500 SABRE HLDGS CORP 10,240.00 10,795.00 4,100 SERVICE MASTER COMPANY 44,239.00 47,765.00 2,400 SKYWEST INC 26,040.00 43,488.00 700 SNAP ON INC 17,991.40 22,568.00 10,675 SOUTHWEST AIRLS CO 149,077.85 172,294.50 500 SPX CORP (b) 21,758.00 29,405.00 350 STEELCASE INC 3,702.44 5,026.00 500 TELEFLEX INC 22,515.00 24,165.00 1,475 TEXTRON INC 54,457.00 84,163.50 13,700 TYCO INTL LTD 132,068.00 363,050.00 1,050 UNION PAC CORP 43,934.84 72,954.00 2,000 UNITED PARCEL SVC INC 124,140.00 149,100.00 3,675 UNITED TECHNOLOGIES CORP 216,669.15 348,279.75 8,650 WASTE MGMT INC DEL 135,675.25 256,040.00 2,700 YORK INTL CORP 57,118.23 99,360.00 --------------- --------------- 9,141,581.01 15,457,193.06 10.27% Information technology: 1,050 ACTIVISION INC NEW (b) 9,965.97 19,110.00 2,000 ADOBE SYS INC 66,640.00 78,600.00 1,200 ADVANCED FIBRE COMMUNICATIONS (b) 31,740.00 24,180.00 4,800 ADVANCED MICRO DEVICES INC (b) 68,016.00 71,520.00 200 AFFILIATED COMPUTER SVCS INC (b) 10,148.00 10,892.00 6,100 AGILENT TECHNOLOGIES INC (b) 133,332.80 178,364.00 5,300 ALTERA CORP (b) 99,804.30 120,310.00 11,100 ANALOG DEVICES INC 99,557.36 506,715.00 4,400 APPLE COMPUTER (b) 72,184.20 94,028.00 19,700 APPLIED MATERIALS INC (b) 263,267.39 442,265.00 1,800 APPLIED MICRO CIRCUITS CORP (b) 10,386.00 10,764.00 7,500 ASML HOLDING N V (b) (d) 45,625.00 150,375.00 1,900 ATMEL CORP (b) 9,918.00 11,419.00 5,800 AVAYA INC (b) 77,082.00 75,052.00 4,900 BEA SYS INC (b) 54,831.00 60,270.00 1,750 BMC SOFTWARE INC (b) 24,732.05 32,637.50 1,775 BROADCOM CORP (b) 32,565.22 60,509.75 700 CADENCE DESIGN SYS INC (b) 10,773.00 12,586.00 5,900 CIENA CORP (b) 34,476.50 39,176.00 111,650 CISCO SYS INC (b) 168,994.61 2,711,978.50 2,950 CITRIX SYS INC (b) 17,801.48 62,569.50 900 COGNIZANT TECHNOLOGY SOLUTIONS (b) 39,537.00 41,076.00 4,525 COMPUTER ASSOC INTL INC 58,366.08 123,713.50 2,500 COMPUTER SCIENCES CORP (b) 99,325.00 110,575.00 1,800 COMPUWARE CORP (b) 10,278.00 10,872.00 2,200 COMVERSE TECHNOLOGY INC (b) 37,400.00 38,698.00 18,400 CORNING INC (b) 115,584.00 191,912.00 26,650 DELL INC (b) 645,367.10 905,034.00 14,700 DENDRITE INTL INC (b) 57,964.55 230,349.00 3,000 ELECTRONIC ARTS INC (b) 149,447.30 143,340.00 4,800 ELECTRONIC DATA SYS CORP NEW 108,945.00 117,792.00 42,210 EMC CORP (b) 337,884.96 545,353.20 3,700 EMULEX CORP (b) 49,942.60 98,716.00 See accompanying notes to investments in securities 19 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Information technology (Cont'd): 24,764 FIRST DATA CORP $ 126,113.92 1,017,552.76 10,550 FISERV INC (b) 95,145.36 416,830.50 400 FOUNDRY NETWORKS INC (b) 9,104.00 10,944.00 1,400 HARRIS CORP DEL 37,336.80 53,130.00 42,227 HEWLETT PACKARD CO 785,505.97 969,954.19 104,000 INTEL CORP 208,329.75 3,348,800.00 17,950 INTERNATIONAL BUSINESS MACHS 1,500,284.73 1,663,606.00 200 INTERNATIONAL RECTIFIER CORP (b) 8,916.00 9,882.00 400 INTERSIL CORP 11,020.00 9,940.00 2,500 INTUIT (b) 103,285.00 132,275.00 5,600 JABIL CIRCUIT INC (b) 94,248.00 158,480.00 3,200 JUNIPER NETWORKS INC (b) 46,604.00 59,776.00 2,600 KLA TENCOR CORP (b) 86,093.80 152,542.00 400 LAM RESH CORP (b) 10,560.00 12,920.00 1,800 LEXMARK INTL INC (b) 76,345.56 141,552.00 3,600 LINEAR TECHNOLOGY CORP 111,093.12 151,452.00 4,600 LSI LOGIC CORP (b) 43,516.00 40,802.00 2,400 MACROMEDIA INC (b) 18,504.00 42,816.00 4,500 MAXIM INTEGRATED PRODS INC 204,480.00 224,100.00 700 MAXTOR CORP (b) 10,465.00 7,770.00 950 MERCURY INTERACTIVE CORP (b) 22,931.96 46,208.00 4,200 MICROCHIP TECHNOLOGY INC 66,924.48 140,112.00 8,800 MICRON TECHNOLOGY INC (b) 68,191.20 118,536.00 113,850 MICROSOFT CORP 331,720.45 3,135,429.00 1,800 MOLEX INC 56,934.00 62,802.00 26,700 MOTOROLA INC 213,544.00 375,669.00 1,000 NATIONAL SEMICONDUCTOR CORP (b) 21,120.00 39,410.00 4,200 NETWORK APPLIANCE INC (b) 94,994.00 86,226.00 1,700 NOVELL INC (b) 10,421.00 17,884.00 2,100 NOVELLUS SYS INC (b) 80,556.00 88,305.00 1,700 NVIDIA CORP (b) 29,070.00 39,525.00 74,300 ORACLE CORP (b) 38,767.49 980,760.00 19,497 PAYCHEX INC 54,860.52 725,288.40 4,625 PEOPLESOFT INC (b) 69,375.00 105,450.00 600 PMC SIERRA INC (b) 9,918.00 12,090.00 2,600 POLYCOM INC (b) 26,520.00 50,752.00 200 QLOGIC CORP (b) 10,666.00 10,320.00 9,625 QUALCOMM INC 272,392.31 519,076.25 800 RED HAT INC (b) 10,560.00 15,016.00 100 SANDISK CORP (b) 7,761.00 6,114.00 7,000 SANMINA SCI CORP (b) 55,496.56 88,270.00 2,100 SCIENTIFIC ATLANTA INC 34,730.80 57,330.00 3,100 SIEBEL SYS INC (b) 30,566.95 42,997.00 9,300 SOLECTRON CORP (b) 40,084.22 54,963.00 1,300 STORAGE TECHNOLOGY CORP (b) 16,853.20 33,475.00 27,325 SUN MICROSYSTEMS INC (b) 95,708.12 122,689.25 600 SUNGARD DATA SYS INC (b) 16,980.00 16,626.00 7,200 SYMANTEC CORP (b) 70,951.32 249,480.00 525 SYMBOL TECHNOLOGIES INC 4,020.77 8,867.25 1,600 SYNOPSYS INC (b) 26,567.52 54,016.00 1,100 TEKTRONIX INC 20,166.96 34,760.00 5,150 TELLABS INC (b) 27,562.29 43,414.50 500 TERADYNE INC (b) 10,095.00 12,725.00 23,900 TEXAS INSTRS INC 481,282.00 702,182.00 1,500 UNISYS CORP (b) 11,895.00 22,275.00 900 UTSTARCOM INC (b) 25,695.00 33,363.00 10,900 VERISIGN INC (b) 60,947.35 177,670.00 4,200 VERITAS SOFTWARE CORP (b) 92,785.92 156,072.00 500 VISHAY INTERTECHNOLOGY INC (b) 9,685.00 11,450.00 2,600 WATERS CORP (b) 60,997.30 86,216.00 700 WESTERN DIGITAL CORP (b) 9,450.00 8,253.00 10,250 XEROX CORP (b) 82,691.36 141,450.00 13,050 XILINX INC (b) 92,296.88 505,557.00 5,500 YAHOO INC (b) 88,359.08 248,435.00 --------------- --------------- 9,601,929.49 25,443,385.05 16.91% See accompanying notes to investments in securities 20 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Materials: 2,150 AIR PRODS & CHEMS INC $ 88,634.99 113,584.50 11,700 ALCOA INC 313,080.00 444,600.00 3,100 ARCH COAL INC 55,784.50 96,627.00 800 BALL CORP 12,499.00 47,656.00 2,100 BEMIS INC 93,645.09 105,000.00 1,300 BOWATER INC 52,067.99 60,203.00 11,650 DOW CHEM CO 361,413.36 484,290.50 11,125 DU PONT E I DE NEMOURS & CO 442,098.17 510,526.25 1,000 EASTMAN CHEM CO 32,854.00 39,530.00 1,200 ECOLAB INC 33,060.00 32,844.00 1,600 ENGELHARD CORP 27,733.72 47,920.00 300 FLORIDA ROCK INDS INC 16,401.00 16,455.00 400 GEORGIA PAC CORP 10,620.00 12,268.00 12,625 INTERNATIONAL FLAVOURS 271,595.32 440,865.00 6,531 INTERNATIONAL PAPER CO 230,601.17 281,551.41 500 LAFARGE NORTH AMERICA INC 18,050.00 20,260.00 300 LUBRIZOL CORP 9,393.00 9,756.00 8,050 LYONDELL CHEMICAL CO 102,700.07 136,447.50 700 MARTIN MARIETTA MATLS INC 27,965.00 32,879.00 3,875 MEADWESTVACO CORP 86,711.46 115,281.25 5,808 MONSANTO CO NEW 51,490.46 167,154.24 7,400 NEWMONT MNG CORP 102,656.50 359,714.00 200 NUCOR CORP 10,184.00 11,200.00 12,800 OM GROUP INC (b) 64,856.64 335,232.00 1,500 OWENS ILL INC (b) 17,700.00 17,835.00 2,450 PACTIV CORP (b) 22,665.39 58,555.00 2,100 PHELPS DODGE CORP (b) 60,900.00 159,789.00 2,450 PPG INDS INC 99,172.82 156,849.00 4,150 PRAXAIR INC 119,435.50 158,530.00 3,100 RAYONIER INC 91,808.81 128,681.00 2,200 ROHM & HAAS CO 78,122.00 93,962.00 11,000 RPM INTL INC 113,011.80 181,060.00 1,200 SEALED AIR CORP NEW (b) 58,956.00 64,968.00 200 SIGMA ALDRICH 11,098.00 11,436.00 18,200 SMURFIT STONE CONTAINER CORP (b) 203,146.58 337,974.00 3,600 SONOCO PRODS CO 74,518.92 88,632.00 400 TEMPLE INLAND INC 20,104.00 25,068.00 1,300 VULCAN MATLS CO 56,979.00 61,841.00 200 WEYERHAEUSER CO 11,874.00 12,800.00 --------------- --------------- 3,555,588.26 5,479,824.65 3.64% Telecommunication services: 3,700 AMERICAN TOWER CORP (b) 34,854.00 40,034.00 39,575 AT & T WIRELESS SVCS INC (b) 222,550.01 316,204.25 9,600 AT&T CORP 190,041.60 194,880.00 14,800 BELLSOUTH CORP 374,757.44 418,840.00 7,450 CENTURYTEL INC 200,626.85 243,019.00 11,525 CITIZENS COMMUNICATIONS CO (b) 88,166.25 143,140.50 6,475 CLEAR CHANNEL COMMUNICATIONS 240,714.00 303,224.25 7,400 LEVEL 3 COMMUNICATIONS INC (b) 38,049.00 42,180.00 10,225 NEXTEL COMMUNICATIONS INC (b) 144,692.02 286,913.50 500 PANAMSAT CORP NEW (b) 9,645.00 10,780.00 2,150 RADIO ONE INC (b) 28,968.93 41,495.00 19,200 QWEST COMMUNICATIONS INTL INC (b) 69,609.60 82,944.00 32,737 SBC COMMUNICATIONS INC 775,918.21 853,453.59 27,250 SPRINT CORP 288,653.67 447,445.00 6,925 SPRINT CORP (b) 29,467.25 38,918.50 1,300 TELEPHONE & DATA SYS INC 53,404.00 81,315.00 1,225 UNITED STATES CELLULAR CORP (b) 29,156.96 43,487.50 28,800 VERIZON COMMUNICATIONS 1,066,217.54 1,010,304.00 14,700 VODAFONE GROUP PLC NEW (d) 148,350.04 368,088.00 --------------- --------------- 4,033,842.37 4,966,666.09 3.30% See accompanying notes to investments in securities 21 (Continured) CLEARWATER GROWTH FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Utilities: 3,200 AES CORP (b) $ 23,740.00 30,208.00 800 AGL RES INC 22,424.00 23,280.00 925 ALLETE INC 22,005.75 28,305.00 5,400 AMEREN CORP 209,724.00 248,400.00 1,100 CENTERPOINT ENERGY INC 10,472.00 10,659.00 100 CONSOLIDATED EDISON INC 3,225.69 4,301.00 600 CONSTELLATION ENERGY GROUP INC 16,047.00 23,496.00 200 DOMINION RES INC VA NEW 12,410.00 12,766.00 2,300 DTE ENERGY CO 84,036.25 90,620.00 15,600 DUKE ENERGY CO 252,328.44 319,020.00 9,425 EDISON INTL (b) 108,441.28 206,690.25 5,000 EL PASO CORP 41,097.50 40,950.00 9,400 ENTERGY CORP 184,382.88 537,022.00 300 FIRSTENERGY CORP 9,927.00 10,560.00 800 GREAT PLAINS ENERGY INC 19,079.28 25,456.00 2,200 KEYSPAN CORP 55,616.84 80,960.00 900 NATIONAL FUEL GAS CO N J 20,790.00 21,996.00 6,900 NISOURCE INC 111,901.44 151,386.00 2,400 OGE ENERGY CORP 43,344.00 58,056.00 8,200 PEOPLES ENERGY CORP 334,284.00 344,728.00 128 PEPCO HLDGS INC 1,709.51 2,501.12 9,800 PG&E CORP (b) 131,784.52 272,146.00 2,400 PINNACLE WEST CAP CORP 71,637.12 96,048.00 425 PPL CORP 13,588.02 18,593.75 2,150 PROGRESS ENERGY INC 65,685.30 97,309.00 7,350 PUGET ENERGY INC 149,926.32 174,709.50 2,900 QUESTAR CORP 66,188.15 101,935.00 8,600 SOUTHERN CO 176,009.71 260,150.00 7,600 TECO ENERGY INC 90,842.04 109,516.00 15,700 TXU CORP 284,986.40 372,404.00 1,500 UGI CORP NEW 48,600.00 50,850.00 6,100 WILLIAMS COS INC 47,432.00 59,902.00 19,275 WISCONSIN ENERGY CORP 371,658.62 644,748.75 12,125 XCEL ENERGY INC 108,917.66 205,882.50 --------------- --------------- 3,214,242.72 4,735,554.87 3.15% Rights/Warrants: 0.347 NTL INC NEW (b) 4.37 6.79 0.00% Cash equivalents: 929,908.49 SSGA MONEY MARKET FUND 929,908.49 929,908.49 0.62% --------------- --------------- --------------- Grand total (c) $ 83,090,532.66 150,815,124.32 100.24% =============== =============== ===============
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 December 31, 2003, the cost for Federal income tax purposes was $83,090,533. The aggregate gross unrealized appreciation and depreciation of investments in securities based of this cost were as follows: Gross unrealized appreciation $ 67,996,418.86 Gross unrealized depreciation (271,827.20) --------------- Net unrealized appreciation $ 67,724,591.66 =============== (d) Foreign security values are stated in U.S. dollars. As of December 31, 2003, the value of foreign securities represented 0.94% of net assets. See accompanying independent auditors' report.
See accompanying notes to investments in securities 22 (Continured)
CLEARWATER SMALL CAP FUND Schedule of Investments Year ended December 31, 2003
Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Business services: 65,000 ADMINISTAFF INC (b) $ 582,198.19 1,129,700.00 64,750 FTI CONSULTING INC (b) 1,213,306.35 1,513,207.50 80,700 LABOR READY INC (b) 645,492.80 1,057,170.00 101,650 MOORE WALLACE INC (b) 1,036,372.22 1,903,904.50 46,450 NAVIGANT CONSULTING CO (b) 410,021.29 876,047.00 --------------- --------------- 3,887,390.85 6,480,029.00 4.69% Consumer discretionary: 58,400 4 KIDS ENTERTAINMENT INC (b) 1,203,433.59 1,519,568.00 56,350 ALLIANCE GAMING CORP (b) 965,714.88 1,389,027.50 68,000 CHARLOTTE RUSSE HLDG INC (b) 736,864.24 942,480.00 65,650 ELECTRONICS BOUTIQUE HLDGS COR (b) 1,126,540.32 1,502,728.50 54,250 GAMESTOP CORP (b) 796,844.27 835,992.50 88,950 GENESCO INC (b) 1,486,666.10 1,345,813.50 209,240 GOODYS FAMILY CLOTHING INC 1,119,125.02 1,958,486.40 62,600 GYMBOREE CORP (b) 881,307.82 1,078,598.00 60,500 HELEN OF TROY LTD (b) 656,467.81 1,400,575.00 163,350 LA QUINTA CORP (b) 851,093.98 1,047,073.50 37,350 NU SKIN ENTERPRISES INC 374,164.86 638,311.50 59,678 RC2 CORP (b) 875,198.82 1,238,318.50 36,600 SCHOLASTIC CORP (b) 1,020,882.90 1,245,864.00 31,850 SHOE CARNIVAL INC (b) 453,102.79 566,930.00 107,500 STAGE STORES INC (b) 2,475,985.55 2,999,250.00 27,500 WEST MARINE INC (b) 342,612.64 764,775.00 --------------- --------------- 15,366,005.59 20,473,791.90 14.83% Consumer staples: 147,400 CHIQUITA BRANDS INTL INC (b) 2,448,257.18 3,320,922.00 --------------- --------------- 2,448,257.18 3,320,922.00 2.40% Energy: 55,050 FOREST OIL CORP (b) 1,275,560.56 1,572,778.50 99,250 OIL STATES INTL INC (b) 1,126,563.57 1,383,545.00 81,000 REMINGTON OIL GAS CORP (b) 1,391,668.18 1,594,890.00 42,850 ST MARY LD & EXPL CO 1,005,734.47 1,221,225.00 16,650 STONE ENERGY CORP (b) 551,449.95 706,792.50 107,200 SUPERIOR ENERGY SVCS INC (b) 946,100.30 1,007,680.00 117,050 TSAKOS ENERGY NAVIGATION LTD (b) (d) 1,735,150.24 2,159,572.50 --------------- --------------- 8,032,227.27 9,646,483.50 6.99% Financials: 89,050 AMERICAN MED SEC GROUP INC (b) 1,377,072.09 1,996,501.00 32,650 AMERIGROUP CORP (b) 1,349,235.85 1,392,522.50 56,050 EDUCATION LENDING GROUP INC (b) 631,537.38 750,509.50 46,150 ENCORE CAP GROUP INC (b) 511,891.16 685,327.50 16,950 FIRST CMNTY BANCORP CALIF 502,403.35 612,573.00 55,100 GREATER BAY BANCORP 956,165.95 1,569,248.00 44,000 IPC HOLDINGS LTD BERMUDA (d) 996,904.82 1,713,360.00 104,200 LABRANCHE & CO INC 1,148,348.39 1,216,014.00 176,850 MFA MTG INVTS INC 1,653,157.97 1,724,287.50 107,550 ONE LIBERTY PROPERTIES INC 1,794,172.66 2,145,622.50 71,891 PACIFIC CREST CAP INC 480,867.57 1,858,382.35 35,125 PENN AMERICA GROUP INC 196,180.21 466,108.75 29,900 REDWOOD TR INC 883,333.00 1,520,415.00 37,150 REINSURANCE GROUP AMER INC 1,097,672.10 1,435,847.50 75,450 SELECTIVE INSURANCE GROUP INC 1,552,462.34 2,441,562.00 125,231 W HLDG COINC 1,541,806.53 2,330,539.61 --------------- --------------- 16,673,211.37 23,858,820.71 17.28% Healthcare: 42,200 ACCREDO HEALTH INC (b) 781,698.11 1,333,942.00 72,800 ALPHARMAINC 1,137,031.47 1,463,280.00 145,550 BIOSOURCE INTL INC (b) 906,176.35 985,373.50 116,650 CARDIA SCIENCE INC (b) 346,714.61 465,433.50 66,850 CTI MOLECULAR IMAGING INC (b) 913,955.24 1,130,433.50 52,550 CURATIVE HEALTH SVCS INC NEW (b) 740,706.89 725,190.00 See accompanying notes to investments in securities 23 (Continured) CLEARWATER SMALL CAP FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Healthcare (Cont'd): 75,250 HOLOGIC INC (b) $ 652,044.23 1,304,082.50 29,800 K V PHARMACEUTICAL COMPANY (b) 397,451.92 759,900.00 153,250 NORTH AMERN SCIENTIFIC INC (b) 1,261,588.42 1,609,125.00 143,339 ORTHOLOGIC CORP (b) 399,650.94 878,668.07 31,100 PHARMACEUTICAL PROD DEV INC (b) 902,344.72 838,767.00 68,400 PROVINCE HEALTHCARE CO (b) 761,419.90 1,094,400.00 88,700 REHAB CARE GROUP INC (b) 1,331,647.46 1,885,762.00 40,000 SEROLOGICALS CORP (b) 357,502.57 744,000.00 37,050 SIERRA HEALTH SVCS INC (b) 467,186.14 1,017,022.50 --------------- --------------- 11,357,118.97 16,235,379.57 11.76% Industrials: 73,500 COOPER TIRE & RUBR CO 1,255,472.40 1,571,430.00 76,550 GRIFFON CORP (b) 1,347,961.73 1,550,903.00 34,370 NOBLE INTL LTD 257,730.52 783,636.00 14,150 STRATTEC SEC CORP (b) 669,987.18 861,876.50 65,900 WATTS WATER TECHNOLOGIES INC 1,258,395.30 1,462,980.00 --------------- --------------- 4,789,547.13 6,230,825.50 4.51% Information technology: 91,900 ADAPTEC INC (b) 584,742.67 811,477.00 53,050 ASM INTERNATIONAL N V (b) (d) 599,139.00 1,073,732.00 44,900 AUGUST TECHNOLOGY CORP (b) 631,506.47 832,895.00 71,250 BEARINGPOINT INC (b) 702,109.98 718,912.50 178,600 BROOKTROUT INC (b) 1,034,177.85 2,246,788.00 102,340 CAPTARIS INC (b) 447,181.42 575,150.80 115,850 CEVA INC (b) 878,646.70 1,204,840.00 45,550 DSP GROUPINC (b) 719,249.91 1,134,650.50 64,750 DUCOCORP INC (b) 486,834.21 657,212.50 93,450 ENTEGRIS INC (b) 931,361.49 1,200,832.50 17,250 HARRIS CORP DEL 429,936.80 654,637.50 112,100 INTEGRATED DEVICE TECHNOLOGY (b) 1,280,400.14 1,924,757.00 19,900 LEXAR MEDIA INC (b) 120,225.03 346,857.00 164,700 MAXTOR CORP (b) 1,219,751.79 1,828,170.00 41,700 MEDQUIST INC (b) 613,894.89 669,702.00 87,950 MENTOR GRAPHICS CORP (b) 1,240,518.68 1,278,793.00 69,700 MERIX CORP (b) 773,146.15 1,709,741.00 124,800 MPS GROUP INC (b) 957,259.57 1,166,880.00 90,300 OVERLAND STORAGE INC (b) 1,052,330.43 1,697,640.00 21,850 PEC SOLUTIONS INC (b) 319,445.63 370,357.50 54,800 PHOTRONICS INC (b) 692,306.63 1,091,616.00 96,350 REMEC INC (b) 409,324.44 810,303.50 107,800 SILICON STORAGE TECHNOLOGY INC (b) 699,445.68 1,185,800.00 158,550 SKYWORKS SOLUTIONS INC (b) 1,150,268.12 1,379,385.00 198,900 TRIZETTO GROUP INC (b) 1,394,151.37 1,282,905.00 63,950 VIASAT INC (b) 622,322.08 1,224,003.00 82,600 ZORAN CORP (b) 1,451,371.30 1,436,414.00 --------------- --------------- 21,441,048.43 30,514,452.30 22.09% Materials: 75,500 COMMERCIAL METALS CO 1,117,364.49 2,295,200.00 42,900 FMC CORP (b) 801,619.14 1,464,177.00 53,900 GEORGIA GULF CORP 1,287,140.40 1,556,632.00 56,250 GIBRALTAR STEEL CORP 1,392,006.06 1,414,687.50 17,550 QUANEX CORP 549,700.62 809,055.00 --------------- --------------- 5,147,830.71 7,539,751.50 5.46% Transportation: 71,450 COVENANT TRANS INC (b) 1,089,664.74 1,358,264.50 50,400 MESA AIR GROUP INC (b) 546,321.25 631,008.00 107,000 P A M TRANSN SVCS INC (b) 2,344,615.52 2,282,310.00 61,950 PACER INTL INC TN (b) 1,233,917.24 1,252,629.00 --------------- --------------- 5,214,518.75 5,524,211.50 4.00% See accompanying notes to investments in securities 24 (Continured) CLEARWATER SMALL CAP FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Market of or shares Security Cost value (a) net assets - --------------- ----------------------------------------------------- --------------- --------------- --------------- Utilities: 39,700 CONNECTICUT WTR SVC INC $ 722,678.65 1,097,705.00 41,750 GREAT PLAINS ENERGY INC 1,013,319.41 1,328,485.00 60,775 MDU RES GROUP INC 1,140,393.53 1,447,052.75 73,850 ONEOK INC NEW 1,343,132.39 1,630,608.00 --------------- --------------- 4,219,523.98 5,503,850.75 3.99% Rights/Warrants: Healthcare: 18,541 DEL GLOBAL TECHNOLOGIES CORP (b) 4,635.25 8,343.45 0.01% Corporate Bonds: Healthcare: 37,082.67 DEL GLOBAL TECHNOLOGIES CORP (b) 26,725.19 30,934.99 0.02% Cash equivalents: 6,774,753.13 SSGA MONEY MARKET FUND 6,774,753.13 6,774,753.13 4.91% --------------- --------------- Grand Total (c) $ 105,382,793.80 142,142,549.80 102.94% =============== ===============
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 December 31, 2003, the cost for Federal income tax purposes was $105,382,794. The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost were as follows: Gross unrealized appreciation $ 37,168,212.40 Gross unrealized depreciation (408,456.40) --------------- Net unrealized appreciation $ 36,759,756.00 =============== (d) Foreign security values are stated in U.S. dollars. As of December 31, 2003, the value of foreign securities represented 3.58% of net assets. See accompanying independent auditors' report.
See accompanying notes to investments in securities 25 (Continured)
CLEARWATER TAX EXEMPT BOND FUND Schedule of Investments Year ended December 31, 2003
Face Percent amount Maturity Coupon Market of or shares Security date rate Cost value (a) net assets - --------------------------------------------------------------- ---------- -------------- --------------- ------------ Closed-end funds: 23,000 BLACKROCKINSD MUN TERM TR INC 5.101 $ 258,526.00 254,380.00 33,000 BLACKROCKCALIF INSD MUN 2008 6.279 547,053.00 563,970.00 89,000 BLACKROCKINSD MUN 2008 6.418 1,311,995.75 1,537,030.00 -------------- --------------- 2,117,574.75 2,355,380.00 1.78% Municipal bonds: 900,000 ABILENE TX HLTH FACS DEV CORP 11/15/2028 5.500 900,000.00 899,235.00 220,000 AKRON OH CTFS PARTN 12/1/2016 6.900 200,861.69 241,087.00 350,000 AKRON OH CTFS PARTN 12/1/2007 6.500 380,937.58 381,262.00 490,000 ALABAMA HSG FIN AUTH SNGL FAM 10/1/2025 6.650 495,328.37 504,675.50 500,000 ALASKA STHSG FIN CORP (c) 12/1/2027 14.450 114,011.35 113,050.00 995,000 ALASKA STHSG FIN CORP (c) 12/1/2017 11.190 424,202.64 453,331.95 200,000 ALLEGHENYCNTY PA HOSP DEV 4/1/2004 2.300 200,000.00 199,996.00 225,000 ALLEGHENYCNTY PA HOSP DEV 4/1/2005 2.500 225,000.00 224,541.00 400,000 ALLEGHENYCNTY PA HOSP DEV 4/1/2007 3.100 395,723.53 398,456.00 300,000 ALLEGHENYCNTY PA HOSP DEV 4/1/2008 3.300 294,736.88 296,973.00 340,000 ALLEGHENYCNTY PA HOSP DEV 4/1/2009 3.500 332,016.42 334,186.00 350,000 ALLEGHENYCNTY PA HOSP DEV 4/1/2010 3.875 340,045.15 342,993.00 800,000 ARIZONA HEALTH FACS AUTH REV 11/15/2009 6.500 800,000.00 804,560.00 430,000 ARMSTRONGCNTY PA HOSP AUTH 6/1/2013 6.250 444,346.04 430,245.10 500,000 AUSTIN TXCONVENTION ENTERPRIS 1/1/2016 6.375 504,012.06 533,805.00 125,000 BEAUMONT TX HSG AUTH MLT FAM 11/1/2010 6.750 119,939.19 119,145.00 550,000 BEAVER CNTY PA POLLUTN CTL REV 5/1/2020 7.750 594,659.56 601,749.50 880,000 BELLEFONTAINE OH HOSP REV 12/1/2013 6.000 902,394.70 899,940.80 250,000 BENTON HARBOR MI CHARTER 5/1/2009 10.000 250,000.00 248,062.50 820,000 BEXAR CNTY TX HSG FIN CORP MF 4/1/2030 9.000 819,325.00 788,790.80 665,000 BEXAR CNTY TX HSG FIN CORP MF 8/1/2030 8.125 639,681.20 628,152.35 1,250,000 BEXAR CNTY TX HSG FIN CORP MF 6/1/2031 10.500 1,250,000.00 1,219,125.00 555,000 BEXAR CNTY TX HSG FIN CORP MF 9/15/2021 8.750 555,000.00 536,524.05 1,175,000 BEXAR CNTY TX HSG FIN CORP MF 12/1/2036 9.250 1,145,381.16 1,130,667.25 995,000 BEXAR CNTY TX REV 8/15/2022 5.750 1,086,135.69 1,074,530.35 250,000 BIRMINGHAM BAPTIST MED CTR AL 8/15/2023 5.500 257,645.92 255,690.00 185,000 BULLHEAD CITY AZ SPL ASSMT 1/1/2010 6.100 189,685.58 190,940.35 110,000 CALCASIEUPARISH LA PUB TR AUT 11/1/2012 6.875 111,226.15 111,350.80 1,435,000 CALIFORNIA CNTY CALIF TOB 6/1/2019 4.750 1,378,068.58 1,403,186.05 165,000 CALIFORNIA ST 10/1/2020 5.250 170,561.31 175,307.55 375,000 CALIFORNIA ST PUB WKS LEASE 6/1/2021 5.500 383,710.20 383,516.25 1,500,000 CALIFORNIA STATEWIDE CMNTYS 10/1/2020 11.000 1,500,000.00 1,504,770.00 1,250,000 CALIFORNIA STATEWIDE CMNTYS 1/1/2012 5.625 1,250,000.00 1,249,850.00 180,000 CAPITAL REGION CMNTY DEV DIST 5/1/2006 5.950 179,801.13 180,351.00 500,000 CAPITAL TR AGY FLA MULTIFAMILY 6/1/2013 4.750 500,000.00 490,680.00 500,000 CAPITAL TR AGY FL REV 10/1/2007 8.500 500,000.00 535,895.00 500,000 CAPITAL TR AGY FL REV 10/1/2033 8.950 500,000.00 587,690.00 1,000,000 CARVER CNTY MN HSG & REDEV 8/1/2027 5.875 944,610.94 1,033,520.00 580,000 CEDAR RAPIDS IA PLTN CTL REV 11/1/2023 5.500 596,294.88 593,038.40 400,000 CHARTIERSVALLEY PA INDL 8/15/2012 5.000 395,834.26 396,664.00 300,000 CHESTER CNTY PA HLTH+ED FACS 5/15/2015 5.500 310,355.35 307,401.00 450,000 CHESTERFIELD CNTY VA INDL DEV 7/1/2019 5.200 404,747.10 467,284.50 250,000 CHESTERFIELD CNTY VA INDL DEV 6/1/2017 5.875 259,020.20 271,350.00 300,000 CHESTERFIELD MO REV 4/15/2016 4.500 298,292.67 306,849.00 1,000,000 CHICAGO IL GAS SUPPLY REV 6/1/2025 6.100 1,067,689.10 1,069,510.00 1,000,000 CHICAGO IL GAS SUPPLY REV 6/1/2025 6.100 1,074,449.16 1,075,930.00 340,000 CHICAGO IL OHARE INTL ARPT REV 1/1/2018 5.000 351,255.16 347,616.00 1,000,000 CHICAGO IL TAX INCREMENT 12/1/2008 6.500 974,418.13 1,091,660.00 950,000 CLARK CNTY NV INDL DEV REV 10/1/2022 7.200 964,373.81 993,795.00 500,000 CLARK CNTY NV POLLUTN CTL REV 6/1/2019 6.600 522,497.20 516,950.00 500,000 COLLIER CNTY FL HLTH FACS AUTH 12/1/2019 7.000 533,438.86 531,690.00 30,000 COLLINSVILLE IL INDL DEV REV 11/1/2004 6.000 29,928.50 29,892.90 275,000 COLORADO EDL & CULTURAL FACS 6/15/2012 4.625 268,427.85 269,901.50 300,000 COLORADO HEALTH FACS AUTH REV 6/1/2015 6.900 283,324.25 159,000.00 500,000 COLORADO HEALTH FACS AUTH REV 9/1/2025 6.125 525,584.49 523,555.00 1,000,000 COLORADO HEALTH FACS AUTH REV 10/1/2027 5.900 1,015,831.71 1,018,140.00 295,000 COLORADO HEALTH FACS AUTH REV 12/1/2008 4.400 291,149.69 301,121.25 500,000 COLORADO HEALTH FACS AUTH REV 12/1/2010 6.250 500,000.00 566,305.00 250,000 CONNECTICUT ST HLTH & EDL FACS 7/1/2013 6.750 259,276.71 251,107.50 See accompanying notes to investments in securities 26 (Continured) CLEARWATER TAX EXEMPT BOND FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Maturity Coupon Market of or shares Security date rate Cost value (a) net assets - --------------------------------------------------------------- ---------- -------------- --------------- ------------ Municipal bonds (Cont'd): 200,000 CONNECTICUT ST HLTH & EDL FACS 7/1/2014 6.200 $ 206,372.14 202,776.00 460,000 CONNECTICUT ST HLTH & EDL FACS 11/1/2012 5.875 474,686.40 469,931.40 465,000 CONNECTICUT ST HLTH & EDL FACS 11/1/2012 5.875 475,081.36 476,011.20 1,000,000 CONNECTICUT ST ARPT REV 10/1/2012 7.650 1,054,163.45 1,046,050.00 750,000 CONVERSE CNTY WY HOSP REV 12/1/2015 7.900 750,000.00 779,835.00 295,000 COW CREEKBANK UMPQUA TRIBE 7/1/2012 5.100 279,893.31 304,693.70 1,070,000 CROW FIN AUTH MINN TRIBAL PUR 10/1/2017 5.650 1,003,943.16 1,110,189.20 270,000 DAKOTA CNTY MN HSG & REDEV 2/20/2032 6.875 281,359.27 287,771.40 80,000 DALLAS TXHSG CORP CAP PROGRAM 12/1/2009 7.875 80,000.00 82,316.00 60,000 DALLAS TXHSG CORP CAP PROGRAM 12/1/2009 7.750 60,670.64 60,582.00 505,000 DALLAS TXHSG FIN CORP 10/20/2032 6.750 522,303.30 557,004.90 1,400,000 DARLINGTON CNTY SC POLLUTN CTL 11/1/2010 6.600 1,456,001.35 1,440,684.00 350,000 DAYTON OHARPT REV 12/1/2015 5.250 372,765.07 373,387.00 200,000 DE SOTO PARISH LA POLLUTN CTL 1/1/2019 7.600 206,489.98 205,980.00 215,000 DELAWARE CNTY PA AUTH HOSP REV 12/15/2020 5.300 221,807.47 219,856.85 300,000 DELAWARE ST HLTH FACS AUTH REV 6/1/2024 6.800 313,515.47 311,814.00 25,462 DREW CNTYAR PUB FACS BRD 8/1/2011 7.750 25,478.57 25,487.39 930,000 EAGLE MOUNTAIN UT SPL ASSMT 2/1/2007 8.000 930,000.00 944,814.90 500,000 EL PASO TX HEALTH FACS DEV 8/15/2012 7.000 500,000.00 498,985.00 1,500,000 ESCAMBIA CNTY FL HLTH FAC REV 7/1/2020 5.950 1,591,344.86 1,586,655.00 500,000 ESTHERVILLE IA HOSP REV 7/1/2020 6.300 514,735.89 536,705.00 1,000,000 FIDDLERS CREEK CMNTY DEV DIST 5/1/2013 5.750 991,049.20 1,004,570.00 635,000 FISHAWK CMNTY DEV DIST II 11/1/2007 5.000 632,770.86 635,063.50 750,000 FLORIDA HSG FIN CORP REV 10/1/2030 5.750 789,685.81 793,492.50 415,000 GAINESVILLE & HALL CNTY GA 11/15/2010 6.400 401,604.42 432,952.90 345,000 GAINESVILLE & HALL CNTY GA 11/15/2011 6.500 332,684.54 360,224.85 380,000 GAINESVILLE & HALL CNTY GA 11/15/2015 6.750 357,820.24 397,590.20 500,000 GATEWAY SVCS CMNTY DEV DIST FL 5/1/2010 5.500 496,027.67 500,090.00 100,000 GEORGETOWN KY WTR & SWR REV 5/1/2004 5.900 100,668.51 101,547.00 300,000 GA MUN ELEC RE R (c) 1/1/2012 6.950 194,326.05 202,275.00 500,000 GLENDALE CA HOSP REV 1/1/2012 8.000 505,320.13 480,680.00 250,000 GOLDEN STTOB SECURITIZATION 6/1/2021 5.000 240,150.72 249,212.50 500,000 GOLDEN STTOB SECURIZATION COR 6/1/2016 5.250 509,021.32 507,440.00 100,000 GROVE CITY PA AREA HOSP AUTH 7/1/2012 5.250 91,035.41 99,695.00 500,000 HAWAII STDEPT BUDGET & FIN 11/15/2009 6.750 500,000.00 503,310.00 500,000 HAWAII STDEPT BUDGET & FIN SP 11/15/2009 6.250 500,000.00 501,260.00 260,000 HILLSBOROUGH CNTY FL INDL DEV 8/15/2024 5.800 273,404.07 270,959.00 150,000 HILLSBOROUGH CNTY FL 10/1/2005 2.500 150,125.14 149,310.00 1,250,000 HOFFMAN ESTATES IL TAX INCRMNT (c) 5/15/2007 4.460 1,088,138.53 1,097,200.00 110,000 IDAHO HEALTH FACS AUTH REV 3/1/2005 4.800 110,673.81 110,891.00 115,000 IDAHO HEALTH FACS AUTH REV 3/1/2006 4.900 115,930.41 115,892.40 120,000 IDAHO HEALTH FACS AUTH REV 3/1/2007 5.000 120,862.87 120,780.00 125,000 IDAHO HEALTH FACS AUTH REV 3/1/2008 5.100 125,454.84 125,698.75 105,000 IDAHO HEALTH FACS AUTH REV 3/1/2009 5.200 104,991.43 104,649.30 125,000 IDAHO HEALTH FACS AUTH REV 3/1/2010 5.300 124,341.37 124,245.00 145,000 IDAHO HEALTH FACS AUTH REV 3/1/2011 5.400 144,161.91 143,371.65 155,000 IDAHO HEALTH FACS AUTH REV 3/1/2012 5.500 154,019.59 153,502.70 120,000 IDAHO HEALTH FACS AUTH HOSP 8/1/2009 5.750 121,363.19 121,879.20 110,000 IDAHO HEALTH FACS AUTH HOSP 8/1/2010 6.000 111,125.00 111,663.20 1,300,000 ILLINOIS DEV FIN AUTH POLLUTN 3/1/2014 5.500 1,369,434.08 1,351,766.00 195,000 ILLINOIS DEV FIN AUTH REV 7/1/2006 5.000 197,557.17 201,967.35 250,000 ILLINOIS DEV FIN AUTH REV 7/1/2009 5.900 258,709.19 263,390.00 1,000,000 ILLINOIS DEV FIN AUTH REV 7/1/2019 6.050 996,385.89 1,012,050.00 140,000 ILLINOIS EDL FACS AUTH REVS 10/1/2024 6.000 143,129.50 135,392.60 475,000 ILLINOIS EDL FACS AUTH REVS 12/1/2017 6.875 487,804.94 483,839.75 400,000 ILLINOIS HLTH FACS AUTH REV 12/1/2006 6.650 400,000.00 400,284.00 630,000 ILLINOIS HLTH FACS AUTH REV 11/15/2023 6.000 642,767.82 642,039.30 545,000 ILLINOIS HLTH FACS AUTH REV 5/1/2011 6.250 556,635.75 552,461.05 500,000 ILLINOIS HLTH FACS AUTH REV 2/15/2019 6.000 513,062.12 512,680.00 250,000 ILLINOIS HSG DEV AUTH 7/1/2018 6.000 257,766.91 255,987.50 410,000 ILLINOIS HSG DEV AUTH ELDERLY 1/1/2007 6.625 414,111.23 415,034.80 220,000 ILLINOIS HSG DEV AUTH ELDERLY 3/1/2020 6.850 222,280.19 224,716.80 750,000 INDIANA HLTH FAC HOSP REV 8/1/2008 6.000 770,438.76 788,362.50 170,000 INDIANA HLTH FAC HOSP REV 2/15/2005 4.500 170,426.56 172,334.10 See accompanying notes to investments in securities 27 (Continured) CLEARWATER TAX EXEMPT BOND FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Maturity Coupon Market of or shares Security date rate Cost value (a) net assets - --------------------------------------------------------------- ---------- -------------- --------------- ------------ Municipal bonds (Cont'd): 350,000 INDIANA HLTH FAC HOSP REV 2/15/2018 5.250 $ 355,278.77 357,784.00 250,000 INDIANA HLTH FAC HOSP REV 1/1/2023 6.000 260,239.54 253,107.50 620,000 INDIANA HLTH FAC FING AUTH REV 8/15/2009 4.750 569,290.68 643,684.00 150,000 INDIANA HLTH FAC FING AUTH REV 8/15/2018 5.000 125,589.21 144,492.00 500,000 INDIANA TRANSN FIN ARPT LEASE 11/1/2016 6.250 530,646.07 506,865.00 205,000 INDIANAPOLIS IN ECON DEV REV 10/1/2010 7.250 208,617.30 108,650.00 275,000 INTERMOUNTAIN PWR AGY UT REV 7/1/2020 5.500 283,592.38 281,484.50 300,000 JACKSONVILLE FL HLTH INDL DEV 12/1/2016 6.400 234,345.61 159,000.00 320,000 JACKSONVILLE FL HLTH INDL DEV 12/1/2007 7.550 157,120.00 157,120.00 1,250,000 JEFFERSONCNTY MO JR COLLEGE 7/1/2020 7.000 1,214,183.29 1,184,062.50 100,000 KANSAS CITY MO PORT AUTH FACS 10/1/2005 5.750 102,639.32 102,777.00 300,000 LEWIS CNTY WA PUB HOSP DIST 12/1/2011 6.000 303,027.56 316,920.00 800,000 LONG BEACH MISS URBAN RENEWAL 3/1/2026 8.000 800,000.00 791,680.00 555,000 LOUISIANALOC GOVT ENVIR FACS 6/20/2028 8.000 555,000.00 543,905.55 500,000 LOUISIANAPUB FACS AUTH REV 6/15/2019 5.950 510,938.72 501,760.00 1,350,000 LOUISIANAPUB FACS AUTH REV 10/1/2011 6.250 1,180,124.34 1,186,164.00 200,000 LUBBOCK TX HLTH FACS DEV CORP 1/20/2010 5.000 200,000.00 212,142.00 310,000 LUBBOCK TX HLTH FACS DEV CORP 3/20/2012 5.000 310,000.00 332,952.40 350,000 LUCAS CNTY OH HEALTH CARE FAC 8/15/2015 6.375 337,790.63 375,560.50 550,000 LUCAS CNTY OH HEALTH CARE FAC 3/1/2027 4.100 550,000.00 563,772.00 500,000 MARICOPA CNTY AZ INDL DEV 7/1/2012 6.500 500,000.00 515,620.00 900,000 MARICOPA CNTY AZ INDL DEV 11/1/2010 9.000 900,000.00 907,533.00 365,000 MARTIN CNTY FL HEALTH FACS 11/15/2004 3.350 365,774.09 368,062.35 790,000 MARYLAND ST HEALTH & HIGHER ED 1/1/2012 5.000 794,573.61 801,707.80 150,000 MASHANTUCKET WESTERN PEQUOT (c) 9/1/2009 8.490 105,558.34 118,083.00 200,000 MASSACHUSETTS ST HLTH EDL FACS 11/15/2008 5.125 206,811.32 210,504.00 600,000 MASSACHUSETTS ST HLTH EDL FACS 11/15/2009 5.125 613,520.76 628,554.00 400,000 MASSACHUSETTS ST INDL FIN AGY 12/1/2006 4.950 392,170.05 403,604.00 250,000 MCKEAN CNTY PA HOSP AUTH REV 10/1/2013 6.000 258,042.63 258,285.00 175,000 MEDITERRANO CMNTY DEV DIST FL 5/1/2008 6.000 174,657.51 175,544.25 855,000 MET GOVT NASHVILLE DAVIDSON TN 6/20/2036 10.000 855,000.00 708,649.65 250,000 MICHIGAN ST HOSP FIN AUTH REV 10/15/2007 5.250 255,464.44 255,500.00 700,000 MICHIGAN ST STRATEGIC FD 6/1/2014 4.600 700,000.00 744,499.00 350,000 MISSOURI ST HLTH & EDL FAC REV 7/1/2016 6.750 339,922.02 185,500.00 750,000 MISSOURI ST DEV FIN BRD FACS 4/1/2015 6.000 750,000.00 809,842.50 350,000 MONROE LASALES TAX INCREMENT 3/1/2016 4.400 345,114.27 351,151.50 695,000 MONROE MCKEEN PLAZA HSG DEV LA 2/1/2012 6.800 701,200.03 704,431.15 140,000 MONTGOMERY AL MED CLINIC BRD 3/1/2006 7.375 140,280.57 140,460.60 500,000 MONTGOMERY AL MED CLINIC BRD 3/1/2015 7.000 504,454.26 501,085.00 1,295,000 MONTGOMERY CNTY PA INDL DEV 11/15/2017 5.750 1,360,048.71 1,333,357.90 400,000 MORGAN CNTY COLO POLLUTN CTL 6/1/2012 5.500 404,260.23 405,388.00 650,000 MOUNTAIN REGL WTR SPL SVC DIST 12/1/2008 6.250 643,997.72 643,344.00 60,000 MUSKOGEE CNTY OK HOME FIN AUTH (c) 6/1/2011 11.330 34,851.83 35,090.40 810,000 NEW HAMPSHIRE HIGH EDL & HLTH 10/1/2023 6.000 831,770.06 823,138.20 245,000 NEW HAMPSHIRE HIGH EDL & HLTH 10/1/2008 6.250 254,927.64 250,537.00 380,000 NEW HAMPSHIRE ST HSG FIN AUTH (c) 1/1/2014 15.860 155,570.68 169,065.80 500,000 NEW HAMPSHIRE ST INDL DEV AUTH 12/1/2009 5.500 500,432.33 512,850.00 750,000 NEW JERSEY ECONOMIC DEV AUTH 11/15/2006 5.500 737,323.73 741,637.50 250,000 NEW MEXICO HSG AUTH REGION 7/1/2017 6.000 250,000.00 250,797.50 185,000 NEW MEXICO MTG FIN AUTH 1/1/2026 6.950 195,809.08 193,606.20 320,000 NEW YORK ST DORM AUTH REVS 5/15/2017 6.000 324,239.00 329,424.00 15,000 NEW YORK ST ENVIRONMENTAL FACS 9/15/2011 7.100 15,172.55 15,072.75 400,000 NEW YORK ST MED CARE FACS FIN 11/1/2020 5.375 410,874.81 409,132.00 145,000 NEW YORK ST DORM AUTH REVS 2/1/2012 4.000 145,000.00 146,515.25 650,000 NEWPORT KY PUB PPTYS CORP REV 1/1/2027 8.500 639,425.72 633,145.50 250,000 NORFOLK VA INDL DEV AUTH REV 11/1/2013 6.500 261,390.50 265,347.50 250,000 NORTH FOREST INDPT SCH DIST 8/15/2012 6.125 269,474.20 271,017.50 500,000 NORTH FOREST INDPT SCH DIST 8/15/2016 6.250 541,125.57 537,790.00 720,000 NORTHERN TOB SECURITIZATION 6/1/2022 6.200 713,091.19 720,705.60 750,000 OHIO ST AIR QUALITY DEV AUTH 12/1/2020 6.375 756,885.25 760,477.50 1,000,000 OHIO ST WTR DEV AUTH REV 8/15/2027 6.400 1,006,229.51 1,022,600.00 400,000 OKLAHOMA DEV FIN AUTH HOSP 12/1/2023 5.125 391,917.27 396,044.00 265,000 OREGON STHSG & CMNTY SVCS DEP 7/1/2022 5.700 274,263.98 279,948.65 300,000 ORLEANS LA LEVEE DIST 11/1/2014 5.950 320,996.38 332,718.00 See accompanying notes to investments in securities 28 (Continured) CLEARWATER TAX EXEMPT BOND FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Maturity Coupon Market of or shares Security date rate Cost value (a) net assets - --------------------------------------------------------------- ---------- -------------- --------------- ------------ Municipal bonds (Cont'd): 330,000 ORLEANS PARISH LA SCH BRD (c) 2/1/2015 8.140 $ 176,489.62 199,128.60 100,000 OSCEOLA CNTY FL TRANSN REV 4/1/2017 6.100 100,251.37 101,304.00 500,000 OTTUMWA IA HOSP FAC REV 10/1/2010 6.000 496,929.30 509,255.00 160,000 PARKLANDSWEST CMNTY DEV DIST 5/1/2006 6.000 159,647.82 160,345.60 200,000 PATERSON NJ HSG FIN CORP 2/1/2024 7.250 211,528.30 216,204.00 75,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2016 5.875 81,339.69 83,492.25 175,000 PENNSYLVANIA ST HIGHER EDL FAC 11/15/2016 5.875 176,429.39 194,815.25 250,000 PENNSYLVANIA ST HIGHER EDL 1/15/2031 6.000 261,224.48 264,427.50 500,000 PENNSYLVANIA ST HIGHER EDL 3/15/2030 5.750 517,431.30 531,390.00 480,000 PHOENIX AZ INDL DEV AUTH MTG 1/1/2016 6.250 438,483.43 494,371.20 1,100,000 PIMA CNTYAZ INDL DEV AUTH ED 2/1/2015 7.250 1,094,546.03 1,066,219.00 350,000 PIMA CNTYAZ INDL DEV AUTH 8/1/2012 6.250 350,000.00 353,097.50 1,000,000 PLEASANTSCNTY WV POLL CTL 5/1/2015 6.150 1,083,015.84 1,079,680.00 185,000 PLYMOUTH MN MULTIFAMILY HSG 6/20/2031 8.050 196,662.94 198,597.50 250,000 PRIVATE COLLEGES & UNIVS AUTH GA 10/1/2014 5.250 261,438.74 262,555.00 200,000 REUNION EAST CMNTY DEV DIST 11/1/2007 5.900 199,306.92 200,830.00 700,000 RHODE ISLAND HSG & MTG FIN 10/1/2004 5.350 708,759.56 715,722.00 645,000 RHODE ISLAND ST HLTH & ED BLDG 10/1/2012 5.600 663,013.09 660,015.60 250,000 RICHARDSON TX HOSP AUTH REV 12/1/2023 6.750 255,611.97 255,260.00 500,000 RIO GRANDE VY HLTH FACS DEV TX 8/1/2012 6.400 520,205.20 507,010.00 150,000 ROSELLE ILL MULTI FAM HSG REV 1/1/2025 7.000 153,892.05 155,470.50 1,000,000 SACRAMENTO CA PWR AUTH PROJ 7/1/2022 6.000 1,099,295.73 1,114,790.00 1,200,000 SACRAMENTO CNTY CA SANTN DIST 12/1/2027 5.875 1,293,977.13 1,294,800.00 800,000 ST LOUIS CNTY MO HSG AUTH 11/1/2014 8.500 800,000.00 664,424.00 1,500,000 SHAWNEE OK HOSP AUTH REV 10/1/2014 6.125 1,543,357.77 1,534,920.00 80,000 SHELBY CNTY TN HLTH EDL & HSG 1/1/2026 6.600 80,133.11 68,000.00 625,000 SHELBY CNTY TN HLTH EDL & HSG (b) 1/1/2029 5.550 556,862.50 312,500.00 130,000 SHELBY CNTY TN HLTH EDL & HSG 1/1/2029 6.000 2,275.00 2,437.50 150,000 SHELBY CNTY TN HLTH EDL & HSG (b) 1/1/2019 5.350 134,965.50 75,000.00 1,050,000 SHELBY CNTY TN HEALTH EDL HSG 12/1/2013 6.375 1,050,000.00 1,053,517.50 1,000,000 SKOWHEGANME POLLUTN 11/1/2013 5.900 1,018,360.66 1,023,790.00 1,000,000 SOUTH CAROLINA JOBS ECON DEV 10/1/2005 6.750 997,735.36 988,720.00 350,000 SOUTH LAKE CNTY HOSP DIST FLA 10/1/2008 4.250 349,247.29 353,384.50 500,000 SOUTH LAKE CNTY HOSP FL 10/1/2013 5.500 495,526.10 508,065.00 190,000 SOUTHWESTERN ILL DEV AUTH REV 4/1/2010 6.000 185,701.72 187,600.30 1,000,000 STERLING HILL CMNTY DEV DIST 11/1/2010 5.500 994,387.52 1,005,290.00 1,000,000 SUBURBAN MOBILITY AUTH REGL 2/15/2009 4.900 991,522.11 1,013,390.00 1,750,000 SULLIVAN IN POLLUTN CTL REV 5/1/2009 5.950 1,783,677.87 1,787,870.00 300,000 SUNDANCE CMNTY FACS DIST AZ 7/1/2008 5.000 300,000.00 301,260.00 290,000 TANGIPAH0A PARISH LA HOSP SVC 2/1/2005 2.500 291,386.84 292,117.00 465,000 TARRANT CNTY TX HSG FIN CORP 6/1/2031 10.500 465,000.00 405,214.95 250,000 TEMPLE TERRACE FLA WTR & SWR 10/1/2011 5.300 259,872.07 259,987.50 420,000 TEXAS ST AFFORDABLE HSG CORP 10/1/2008 4.100 420,000.00 443,843.40 250,000 TEXAS ST DEPT HSG & CMNTY 7/1/2016 6.350 259,940.21 261,267.50 210,000 TEXAS ST DEPT HSG & CMNTY 7/1/2026 6.450 210,158.12 217,494.90 800,000 TEXAS STUDENT HSG AUTH REV 1/1/2014 11.000 800,000.00 791,200.00 500,000 THREE RIVS JR COLLEGE DIST MO 9/1/2011 7.000 500,000.00 480,640.00 250,000 TOBACCO SETTLEMENT AUTH IA 6/1/2025 5.300 220,755.95 216,155.00 300,000 TOBACCO SETTLEMENT REV MGMT 5/15/2022 6.000 294,183.87 284,421.00 660,000 TOBACCO SETTLEMENT FING CORP 6/1/2019 4.375 598,978.22 625,732.80 995,000 TOBACCO SETTLEMENT AUTH WA 6/1/2026 6.500 991,368.94 971,219.50 325,000 TOBACCO SETTLEMENT FING CORP 6/1/2009 5.000 332,603.16 329,364.75 500,000 TOBACCO SETTLEMENT FING CORP 6/1/2011 5.000 524,687.00 520,225.00 1,000,000 TOBACCO SETTLEMENT FING CORP 6/1/2010 5.500 1,046,978.48 1,046,260.00 500,000 TOLEDO LUCAS CNTY OH PORT AUTH 12/1/2015 5.900 520,672.69 515,100.00 840,000 TRAVIS CNTY TX HSG FIN CORP 6/1/2035 9.250 840,000.00 810,054.00 375,000 VERMONT EDL & HLTH BLDGS AGY 6/15/2007 4.375 374,631.23 374,182.50 300,000 VERRADO CMNTY FACS DIST NO 1 7/15/2013 6.000 300,000.00 302,265.00 450,000 VIRGINIA ST HSG DEV AUTH 7/1/2015 5.450 472,239.65 484,758.00 415,000 VISTA LAKES CMNTY DEV DIST FL 5/1/2008 5.800 413,789.18 418,195.50 750,000 WAUKESHA WI REDEV AUTH REV 6/20/2043 8.000 750,000.00 751,575.00 300,000 WESTCHESTER CNTY NY INDL DEV 7/1/2006 5.500 309,124.60 308,544.00 145,000 WHITESIDECNTY IL HSG AUTH 5/1/2004 6.350 146,107.48 144,911.55 155,000 WHITESIDECNTY IL HSG AUTH 5/1/2005 6.450 157,856.20 154,455.95 See accompanying notes to investments in securities 29 (Continured) CLEARWATER TAX EXEMPT BOND FUND Schedule of Investments Year ended December 31, 2003 Face Percent amount Maturity Coupon Market of or shares Security date rate Cost value (a) net assets - --------------------------------------------------------------- ---------- -------------- --------------- ------------ Municipal bonds (Cont'd): 1,500,000 WISCONSINST HEALTH & EDL FACS 12/1/2015 5.950 $ 1,528,770.49 1,535,460.00 450,000 WISCONSINST HEALTH & EDL FACS 7/1/2017 6.000 466,891.71 478,291.50 350,000 WISCONSINST HEALTH & EDL FACS 7/1/2021 6.000 361,627.48 368,427.50 500,000 WISCONSINST HEALTH & EDL FACS 12/15/2020 5.500 535,879.76 544,920.00 1,405,000 WOODHILL PUB FAC CORP TEX 12/1/2015 7.250 1,382,876.76 1,372,123.00 65,000 WYOMING CMNTY DEV AUTH HSG REV 12/1/2025 6.100 63,310.78 67,571.40 250,000 YORK CNTYPA INDL DEV AUTH REV 10/1/2019 6.450 263,303.73 264,475.00 -------------- --------------- ------------ 127,329,388.21 127,580,526.54 94.87% Cash Equivalents: 4,067,533.33 SSGA TAX EXEMPT MONEY MARKET FUND 4,067,533.33 4,067,533.33 3.02% -------------- --------------- ------------ Grand Total (d) $ 133,514,496.29 134,003,439.87 99.64% ============== =============== ============
Notes to investments in securities: (a) Securities are valued in accordance with procedures described in note 2 to the financial statements. (b) Currently non-income producing assets. For long-term debt securities, item identified is in default as to payment of interest and/or principal. (c) For zero coupon bonds, the interest rate disclosed represents the annualized effective yield on the date of acquisition. (d) At December 31, 2003, the cost for Federal income tax purposes was $133,514,496. The aggregate gross unrealized appreciation and depreciation of investments in securities based of this cost were as follows: Gross unrealized appreciation $ 2,230,834.53 Gross unrealized depreciation (1,741,890.95) -------------- Net unrealized appreciation $ 488,943.58 ============== Distribution of investments representing geographic diversification, as a percentage of total investments at value, is as follows (unaudited): Geographical Diversification Percent -------------------------------------- ---------- Arizona 3.67% California 6.22 Florida 8.32 Illinois 8.78 Indiana 3.54 Louisiana 3.29 Missouri 2.78 Ohio 3.82 Pennsylvania 5.05 Texas 10.82 Wisconsin 2.74 Other 40.98 ----------- 100.00% =========== See accompanying independent auditors' report.
See accompanying notes to investments in securities 30 (Continured)
Item 2. Code of Ethics. (a) At the end of the period covered by this report the Trustees of the Clearwater Investment Trust have adopted a code of ethics that applies to the Trust's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the trust or a third party. (b) For purposes of this Item, the term "code of ethics" means written standards that are reasonably designed to deter wrongdoing and to promote: (1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; (3) Compliance with applicable governmental laws, rules, and regulations; (4) The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and (5) Accountability for adherence to the code (c) During the period covered by this report no amendment has been made to the Trust's code of ethics that applies to the Trust's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the trust or a third party. (d) During the period covered by this report the Trustees have granted no waivers, including implicit waivers, from any provision of the Trust's code of ethics that applies to the Trust's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the trust or a third party. (e) Not applicable. (f) See Item 10(a). Item 3. Audit Committee Financial Expert. The Board of Trustees of the Clearwater Investment Trust consists of five members, four of whom are Independent Trustees as defined by the Investment Company Act of 1940. The Independent Trustees perform the audit committee functions. The Board of Trustees does not include an "audit committee financial expert" as defined by Section 407 of the Sarbanes-Oxley Act of 2002 and the rules promulgated thereunder. Given the restrictive nature of the definition of an "audit committee financial expert", the Trustees have determined that the Trust's investor constituency is highly unlikely to include anyone meeting that definition. Furthermore, the Trustees have determined that given the nature of investment company financial statements in general and the investment policies of the Trust's fund offerings in particular that the independent trustees possess the necessary skills and experience to perform the functions of the audit committee. Item 4. Principal Accountant Fees and Services. F(a) Audit Fees - ------------------------ 2003 2002 - ---- ---- 43,500 41,500 (b) Audited-Related Fees - ------------------------ 2003 2002 - ---- ---- None None (c) Tax Fees - ------------------------ 2003 2002 - ---- ---- None None (d) All Other Fees - ------------------------ 2003 2002 - ---- ---- None None (e)(1) The Independent Trustees have not adopted pre-approval policies and procedures regarding the provision of audit or non-audit services to the trust, as described in paragraph (c)(7) of Rule 2-01 of Regulation S-X, as they require that all such proposed services be approved by them in advance. (2) No services were approved by the Independent Trustees pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) Not applicable. (g) Non-Audit Related Fees Provided to the Registrant's Adviser - ---------------------------------------------------------------- 2003 2002 - ---- ---- 3,600 5,500 (h) Registrant's Principal Accountant provided the examination required by Rule 206(a)(3)(ii) under the Investment Advisors Act of 1940 to the Registrant's adviser related to non-investment company clients. Item 5 [Reserved by SEC for future use.] Item 6 [Reserved by SEC for future use.] Item 7. Disclosure of Proxy Voting Policies and Procedures for Open-End Management Investment Companies. Form N-CSR disclosure requirement not yet effective with respect to the registrant Item 8 [Reserved by SEC for future use.] Item 9. Controls and Procedures. (a) The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-2(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 were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Item 10. Exhibits. (a) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. (b) The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, and Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES [See General Instruction F] 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 ----------------------------------------------------------- By: (Signature and Title)*/s/Philip W. Pascoe ------------------------------------------------------- Philip W. Pascoe President Date: March 9, 2004 ------------------------------------------------------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: (Signature and Title)*/s/Philip W. Pascoe ------------------------------------------------------- Philip W. Pascoe President Date: March 9, 2004 ------------------------------------------------------------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: (Signature and Title)*/s/Philip W. Pascoe ------------------------------------------------------- Philip W. Pascoe Treasurer Date: March 9, 2004 ------------------------------------------------------------------ *Print the name and title of each signing officer under his or her signature EX-99.906 2 ex906crt.txt SECTION 906 CERTIFICATION Ex-99.906CERT Certifications Pursuant to 18 U.S.C. ss. 1350, the undersigned officer of the Clearwater Investment Trust (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's report on Form N-CSR for the period ended June 30, 2003 (the "Report") fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. By: /s/Philip W. Pascoe ------------------------------------ Philip W. Pascoe President (Chief Executive Officer) Date: March 9, 2004 ------------------------------------ This certification is being furnished solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Report or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the Clearwater Investment Trust and will be retained by the Clearwater Investment Trust and furnished to the Securities and Exchange Commission of its staff upon request Pursuant to 18 U.S.C. ss. 1350, the undersigned officer of the Clearwater Investment Trust (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's report on Form N-CSR for the period ended June 30, 2003 (the "Report") fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. By: /s/Philip W. Pascoe ------------------------------------ Philip W. Pascoe Treasurer (Chief Financial Officer) Date: March 9, 2004 ------------------------------------ This certification is being furnished solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Report or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the Clearwater Investment Trust and will be retained by the Clearwater Investment Trust and furnished to the Securities and Exchange Commission of its staff upon request EX-99.CERT 3 ex99cert.txt SECTION 302 CERTIFICATION Ex-99.CERT Certifications I, Philip W. Pascoe, President 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-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures 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) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, 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 in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: March 9, 2004 ---------------- /s/Philip W. Pascoe --------------------------- Philip W. Pascoe President (Chief Executive Officer) I, Philip W. Pascoe, Treasurer 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-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures 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) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, 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 in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: March 9, 2004 ---------------- /s/Philip W. Pascoe --------------------------- Philip W. Pascoe Treasurer (Chief Financial Officer) -----END PRIVACY-ENHANCED MESSAGE-----