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WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST

QS INVESTORS INTERNATIONAL EQUITY DBI CIT

FINANCIAL STATEMENTS

DECEMBER 31, 2019

WITH

INDEPENDENT AUDITOR'S REPORT

Wilmington Trust Collective Investment Trust

QS INVESTORS INTERNATIONAL EQUITY DBI CIT

CONTENTS

Independent Auditor's Report ...... 1

Statement of Assets and Liabilities ...... 3

Statement of Operations ...... 3

Statement of Changes in Net Assets...... 4

Financial Highlights ...... 5

Schedule of Investments ...... 6

Notes to the Financial Statements...... 23

INDEPENDENT AUDITOR'S REPORT

Wilm ington Trust, N.A, Trustee for Wilmin gton Trust Collective Investment Trust

Report on the Financial Statements

We have audited the accompanying financial statements of QS Investors International Equity DBI CIT (the "Fund") of Wilmington Trust Collective Investment Trust (the "Trust"), which comprise the statement of assets and liabilities, including the schedule of investments, as of December 31, 2019, and the related statements of operations and c hanges in net assets, and the financial highlights for the year then ended, and the related notes to the financial s tatements. These financial statements and financial highlights are hereinafter collectively referred to as financial statements.

Managemen t's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accou nting principles generally accepted in the of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor 's Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit 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 are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statemen ts. The procedures selected depend on the auditor's judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments,

the auditor considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit

opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, and the results of its operations, and changes in its net assets and its financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

1 www.hogantaylor.com

Other Matter

Our audit was conducted for the purpose of forming an opinion on the financial statements as a whole. The supplementary information on investments purchased and sold for the year ended December 31, 2019, following the schedule of investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole.

Tulsa, Oklahoma April 29, 2020

2

Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $64,578,218) $ 65,484,635 Foreign currency, at fair value (cost $134,688) 136,203 Cash held at broker 80,418 Accrued interest, dividends and tax reclaim receivable (net of tax withholding liability of $11,742) 484,164 Receivable for fund units sold 1,063,188 Miscellaneous receivables 32,199 Total assets 67,280,807 Liabilities and Net Assets Variation margin payable 10,241 Accrued expenses 93,333 Total liabilities 103,574 Net assets $ 67,177,233

Statement of Operations For the year ended December 31, 2019 Investment income Dividends (net of withholding taxes of $150,215) $ 2,786,363 Interest 7,594 Total investment income 2,793,957 Expenses Trustee and sub-advisory fees 322,361 Professional services and other operating expenses 5,497 Total expenses 327,858 Net investment income 2,466,099 Realized and unrealized gain (loss) on investments and foreign currency transactions Net realized loss on investments (2,979,139) Net realized loss on foreign currency transactions (35,908) Net realized gain on futures contracts 826,829 Net change in unrealized appreciation on investments 12,591,973 Net change in unrealized appreciation on foreign currency translation 1,987 Net change in unrealized depreciation on futures contracts (210) Net realized and unrealized gain on investments and foreign currency transactions 10,405,532 Net increase in net assets resulting from operations $ 12,871,631

See Notes to the Financial Statements. 3 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Statement of Changes in Net Assets For the year ended December 31, 2019 Increase (decrease) in net assets resulting from operations Net investment income $ 2,466,099 Net realized loss on investments and foreign currency transactions (2,188,218) Net change in unrealized appreciation on investments and foreign currency translation 12,593,750 Net increase in net assets resulting from operations 12,871,631 Fund unit transactions Proceeds from units issued Class R-INT ^ 15,381,593 Total proceeds from units issued 15,381,593 Value of units redeemed Class R1 (40,000,000) Class R-INT ^ (849,300) Total value of units redeemed (40,849,300) Decrease in net assets resulting from fund unit transactions (25,467,707) Decrease in net assets (12,596,076) Net assets, beginning of year 79,773,309 Net assets, end of year $ 67,177,233 ^Class R-INT funded on 2/28/2019.

See Notes to the Financial Statements. 4 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Financial Highlights For the year ended December 31, 2019 Per Unit Operating Performance Class R1 Class R-INT Net asset value, beginning of year or at inception $ 8.93 $ 9.73 Income from investment operations: Net investment income (1) 0.31 0.28 Net realized and unrealized gain on investments and foreign currency transactions (1) 1.30 0.56 Total income from investment operations 1.61 0.84 Net asset value, end of year $ 10.54 $ 10.57 Total Return 18.03% 8.63% ^ Supplemental Data Ratio to average net assets: Expenses 0.49% 0.05% # Net investment income 3.20% 3.38% # Fund Unit Activity Units, beginning of year 8,937,506 - Issued - 1,561,904 Redeemed (4,044,489) (84,591) Units, end of year 4,893,017 1,477,313

(1) Based on average units outstanding. ^Not annualized for periods less than one year. Class R-INT funded on 2/28/2019. #Annualized except audit expense.

See Notes to the Financial Statements. 5 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Schedule of Investments December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% Basic Materials - 8.5% Agnico Eagle Mines Limited 1,075 $ 41,997 $ 66,303 Air Liquide S.A. 1,354 154,244 191,807 Akzo Nobel NV 1,712 191,353 174,185 Anglo American PLC 2,753 68,447 79,250 ArcelorMittal 2,582 84,126 45,335 Arkema S.A. 515 68,844 54,745 Corporation 2,700 29,114 30,658 Barrick Gold Corporation 6,591 80,378 122,595 BASF SE 1,622 110,193 122,624 BHP Group PLC 6,483 129,986 152,598 BHP Group Ltd. 8,630 208,771 236,107 BlueScope Steel Limited 2,463 28,523 26,074 Chr. Hansen Holding A/S 3,502 360,265 278,498 Covestro AG 1,138 55,241 52,948 CRH PLC 6,755 234,871 272,219 First Quantum Minerals Ltd. 1,948 24,728 19,784 Fortescue Metals Group Limited 5,009 31,229 37,640 Franco-Nevada Corporation 1,200 81,896 124,086 Givaudan SA 26 59,067 81,382 Glencore PLC 23,686 113,852 73,848 Johnson Matthey PLC 933 45,826 37,030 Kirkland Lake Gold Ltd. 677 29,653 29,884 Koninklijke DSM N.V. 974 96,553 126,934 LafargeHolcim Ltd. 2,024 113,260 112,241 Chemicals, Inc. 2,600 81,507 64,118 Mondi PLC 1,774 35,801 41,656 Newcrest Mining Limited 3,258 50,588 69,279 & Sumitomo Metal Corporation 3,500 55,952 53,269 Corporation 1,000 81,271 56,867 Norsk Hydro ASA 56,553 257,903 210,063 Novozymes A/S Class B 7,424 331,960 363,561 Nutrien Ltd. 2,219 110,959 106,385 Oji Holdings Corporation 6,000 39,881 32,850 Rio Tinto Limited 722 41,795 50,956 Rio Tinto PLC 2,591 142,819 154,562 Shin-Etsu Chemical Co. Ltd. 800 85,004 88,778 K.K. 1,600 81,976 42,681 Smurfit Kappa Group PLC 2,151 88,470 83,207

See Notes to the Financial Statements. 6 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Basic Materials - 8.5% (continued) Solvay SA 2,590 $ 310,091 $ 300,321 South32 Limited 28,031 70,990 53,202 Stora Enso Oyj Class R 12,677 172,627 184,491 Company, Limited 8,000 46,688 36,660 Sumitomo Metal Mining Co., Ltd. 2,200 91,594 71,744 Teck Resources Limited Class B 3,856 103,257 66,965 Umicore S.A. 6,338 251,704 308,480 UPM-Kymmene Oyj 11,193 301,105 388,357 Wheaton Precious Metals Corp. 1,071 29,689 31,913 Yara International ASA 7,324 290,996 304,385 Total Basic Materials 5,597,044 5,713,525

Communications - 11.5% Altice Europe NV 27,985 160,264 180,563 Auto Trader Group PLC 11,523 57,953 90,766 BCE Inc. 3,311 138,613 153,607 BT Group PLC 49,293 149,423 125,665 Cellnex Telecom, SA 2,898 101,817 124,818 Deutsche Telekom Ag 27,090 438,898 443,052 Iliad SA 235 33,341 30,481 Informa PLC 12,240 125,422 138,962 ITV PLC 21,775 32,862 43,558 KDDI Corporation 2,800 66,345 83,813 Koninklijke KPN NV 181,336 578,448 535,539 Nippon Telegraph and Telephone Corporation 1,600 37,713 40,591 NTT DOCOMO, INC. 1,800 46,788 50,319 Orange SA 14,631 229,031 215,474 Pearson PLC 4,875 53,744 41,138 Publicis Groupe S.A. 1,356 76,372 61,432 , Inc. Class B 2,772 69,515 70,842 REA Group Limited 1,674 106,871 121,910 RELX PLC 2,757 59,697 69,595 Rogers Communications Inc. Class B 6,587 312,668 327,534 Schibsted ASA Class B 3,179 82,148 91,094 Shaw Communications Inc. Class B 12,829 261,333 260,686 Singapore Press Holdings Limited 61,000 114,844 98,896 Singapore Telecommunications Limited 273,000 623,403 684,200 SoftBank Corp. 2,800 33,619 37,604 SoftBank Group Corporation 2,600 123,794 113,785

See Notes to the Financial Statements. 7 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Communications - 11.5% (continued) Swisscom AG 1,276 $ 579,402 $ 675,456 Tele2 Ab Class B 13,575 174,517 197,004 Telefónica, S.A. 60,008 565,903 419,444 Telenor ASA 30,865 620,082 553,036 Telia Company AB 69,386 317,279 298,341 Telstra Corporation Limited 148,756 371,787 370,171 TELUS Corporation 4,264 151,193 165,332 TPG Telecom Limited 13,268 61,588 62,582 Ubisoft Entertainment SA 540 43,630 37,327 United Internet AG 1,134 43,116 37,271 Vivendi SA 5,836 160,927 169,144 Vodafone Group PLC 141,446 307,123 275,000 Wolters Kluwer 2,352 155,055 171,661 WPP PLC 6,337 76,773 89,532 Total Communications 7,743,301 7,757,225

Consumer, Cyclical - 7.9% adidas AG 260 61,824 84,578 Alimentation Couche-Tard Inc. Class B 11,466 262,211 364,383 Aristocrat Leisure Ltd. 5,808 117,918 137,466 Bayerische Motoren Werke AG 734 76,976 60,261 Canadian Tire Corp. Ltd. Class A 1,128 148,267 121,564 CCL Industries Inc. Class B 762 36,970 32,507 Cie Financiere Richemont SA 2,169 193,540 170,366 City Developments Limited 10,500 68,347 85,506 Compass Group PLC 3,458 73,476 86,581 Continental AG 524 72,628 67,795 Crown Resorts Limited 3,336 35,246 28,164 Daimler AG 1,588 133,511 88,003 Corp. 1,100 62,444 50,265 Inc. 4,522 169,596 155,633 Dufry AG 421 57,545 41,746 FamilyMart Holdings Co., Ltd. 1,600 56,839 38,647 Co., Ltd. 100 39,777 59,811 Ferrari N.V. 1,410 158,592 234,085 Fiat Chrysler Automobiles N.V. 12,233 225,565 181,174 Galaxy Entertainment Group Ltd. Class L 39,000 330,135 287,302 Activewear Inc. 4,250 121,284 125,820 H & M Hennes & Mauritz AB Class B 16,774 265,496 341,320

See Notes to the Financial Statements. 8 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Consumer, Cyclical - 7.9% (continued) Motor Co. Ltd. 3,000 $ 104,483 $ 85,549 Industria de Diseño Textil, S.A. 8,090 253,668 285,598 Kering SA 94 44,285 61,747 LVMH Moët Hennessy Louis Vuitton S.E. 316 96,300 146,921 Magna International Inc. 4,208 262,923 231,047 Moncler S.p.A. 2,161 68,714 97,199 Co., Ltd. 200 92,472 80,920 Corporation 6,100 97,138 57,787 Pirelli & C. S.p.A. 8,915 57,666 51,436 Restaurant Brands International Inc. 3,596 220,568 229,556 Sands China Ltd. 46,400 256,207 248,025 SJM Holdings Ltd. 38,000 42,815 43,258 Corporation 1,000 51,346 68,102 2,000 69,316 49,938 Motor Corporation 800 43,370 33,620 Swatch Group AG 155 64,734 43,218 Tabcorp Holdings Ltd. 18,168 64,172 57,854 The Stars Group Inc. 3,087 47,907 80,677 , Inc. 3,200 31,422 21,822 Motor Corporation 700 45,743 49,688 Wesfarmers Ltd. 10,976 253,889 319,425 Wynn Macau Ltd. 26,000 96,485 64,067 Yue Yuen Industrial (Holdings) Limited 17,500 48,173 51,657 Total Consumer, Cyclical 5,181,983 5,302,088

Consumer, Non-Cyclical - 6.8% Amadeus IT Group, S.A. 3,126 239,865 255,450 Anheuser Busch Inbev NV 3,358 297,861 274,070 AG 759 71,641 90,863 British American Tobacco PLC 1,659 62,436 71,021 Carlsberg A/S Class B 2,221 262,746 331,565 Coca-Cola Amatil Limited 9,362 54,621 72,786 Coles Group Ltd. 11,787 102,842 122,959 Danone SA 1,072 88,966 88,925 Diageo PLC 2,239 87,423 94,931 Empire Co. Ltd. Class A 4,554 87,931 106,971 Essilorluxottica 243 29,553 37,042 Essity Aktiebolag Class B 5,288 135,458 170,485 George Weston Ltd. 1,340 102,474 106,456 Heineken NV 451 45,598 48,053 See Notes to the Financial Statements. 9 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Consumer, Non-Cyclical - 6.8% (continued) Henkel AG & Co KGaA 835 $ 104,934 $ 78,732 ICA Gruppen AB 1,521 56,241 71,037 Kao Corporation 400 30,526 33,218 Kerry Group PLC Class A 2,461 241,202 303,872 Koninklijke Ahold Delhaize N.V. Class N 3,507 79,313 87,767 Loblaw Companies Ltd. 2,905 147,206 150,094 L'Oréal S.A. 437 96,779 129,501 Co., Ltd. 700 52,072 47,536 Metro Inc. 3,815 127,558 157,660 Mowi ASA 7,302 170,781 189,628 Nestlé S.A. 2,457 197,625 265,859 Orkla ASA 12,383 98,991 125,362 Pernod Ricard SA 611 101,927 109,324 Reckitt Benckiser Group PLC 519 40,869 42,140 Recruit Holdings Co., Ltd. 900 21,281 33,946 Saputo Inc. 3,114 102,196 96,536 Company, Limited 400 23,303 28,643 Swedish Match AB 2,296 103,877 118,417 Treasury Wine Estates Ltd. 7,970 86,819 90,985 Unilever NV 2,239 122,308 128,755 Unilever PLC 1,209 63,333 69,679 Woolworths Group Limited 13,645 283,368 346,838 Total Consumer, Non-Cyclical 4,021,924 4,577,106

Energy - 7.5% Aker BP ASA 2,403 90,495 78,757 AltaGas Ltd. 2,339 38,854 35,678 BP PLC 26,086 169,013 162,973 Caltex Australia Ltd. 2,294 57,042 54,747 Canadian Natural Resources Limited 2,663 79,541 86,251 Enbridge Inc. 4,187 131,215 166,705 Eni SpA 26,931 450,907 418,565 Equinor ASA 28,124 538,854 561,693 Idemitsu Kosan Co., Ltd. 3,376 124,367 94,127 Corporation 20,800 210,995 217,522 JXTG Holdings, Inc. 65,500 306,542 300,092 Neste Oyj 19,585 522,209 681,948 Oil Search Limited 17,239 95,512 87,857 Origin Energy Ltd. 19,056 128,959 113,191

See Notes to the Financial Statements. 10 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Energy - 7.5% (continued) Repsol SA 33,380 $ 551,176 $ 521,944 PLC Class A 5,519 168,803 163,408 Royal Dutch Shell PLC Class B 4,679 146,072 138,816 Santos Ltd. 23,437 89,560 134,766 Suncor Energy, Inc. 3,465 112,121 113,723 TC Energy Corporation 1,859 79,574 99,147 Total SA 9,440 544,449 521,343 Woodside Petroleum Ltd. 9,484 210,411 229,204 WorleyParsons Ltd. 2,495 19,456 26,852 Total Energy 4,866,127 5,009,309

Financials - 18.0% Aegon NV 22,101 153,411 100,896 Ageas NV 4,507 241,494 266,514 AIA Group Limited 45,200 394,723 474,519 Allianz SE 1,043 242,331 255,696 , Ltd. 1,700 68,279 45,224 Aroundtown SA 6,289 48,306 56,362 Assicurazioni Generali 5,423 104,898 111,976 Australia and New Zealand Banking Group Limited 5,913 129,611 102,376 Aviva PLC 8,185 59,475 45,400 AXA SA 5,295 136,691 149,245 Bâloise Holding AG 585 85,694 105,721 Banco Bilbao Vizcaya Argentaria, S.A. 34,202 245,641 191,306 Banco Santander, S.A. 91,827 417,523 384,473 Bank Hapoalim B.M. 13,125 90,239 108,868 Bank Leumi le- Israel B.M. 16,833 102,238 122,519 Bank of Montreal 1,086 82,009 84,284 Barclays PLC 23,598 68,128 56,158 BNP Paribas SA 3,714 263,890 220,246 BOC Hong Kong (Holdings) Limited 14,500 74,056 50,338 Brookfield Asset Management Inc. Class A 2,108 86,439 121,969 CaixaBank, S.A. 11,489 54,001 36,084 Canadian Imperial Bank of Commerce 989 87,460 82,415 CapitaLand Ltd. 58,500 164,092 163,147 CK Asset Holdings Limited 13,500 120,338 97,458 Commerzbank AG 10,022 69,288 62,065 Commonwealth Bank of Australia 3,218 190,564 180,741 Credit Suisse Group AG 5,401 98,092 73,094 Dai-ichi Life Holdings, Inc. 3,600 68,579 60,174 See Notes to the Financial Statements. 11 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Financials - 18.0% (continued) Co., Ltd. 300 $ 51,237 $ 37,212 Danske Bank A/S 27,518 706,749 445,612 DBS Group Holdings Ltd. 11,700 220,141 225,186 Deutsche Bank AG 4,596 72,333 35,685 Deutsche Boerse AG 691 93,265 108,707 Deutsche Wohnen SE 1,879 78,079 76,816 DNB ASA 24,471 480,751 456,710 Erste Group Bank AG 10,329 469,491 389,105 FinecoBank Banca Fineco S.p.A. 2,945 30,952 35,339 Gjensidige Forsikring ASA 5,559 104,715 116,560 Groupe Bruxelles Lambert SA 2,101 241,821 221,593 Hang Seng Bank Limited 3,400 81,947 70,253 Hong Kong Exchanges and Clearing Limited 4,300 158,803 139,621 Hongkong Land Holdings Ltd. 6,600 45,936 37,950 HSBC Holdings PLC 27,515 268,319 215,751 ING Groep N.V. 25,355 360,202 304,191 Intesa Sanpaolo SpA 75,458 280,578 198,922 Investor AB Class B 2,035 94,880 111,130 Exchange Group, Inc. 2,900 51,375 51,502 KBC Group NV 4,377 396,578 329,478 Lloyds Banking Group PLC 99,140 92,365 82,085 Stock Exchange Group PLC 401 36,472 41,170 Macquarie Group Limited 542 44,828 52,521 Manulife Financial Corporation 4,914 92,750 99,891 Co., Ltd. 4,200 72,208 80,754 Mitsubishi UFJ Financial Group Inc. 8,300 56,648 45,305 Co., Ltd. 3,100 73,156 76,220 Mizrahi Tefahot Bank Ltd. 2,142 41,117 57,054 , Inc. 15,200 25,802 23,540 MS&AD Insurance Group Holdings, Inc. 1,700 53,469 56,487 Münchener Rückversicherungs-Gesellschaft AG 304 70,021 89,746 National Australia Bank Limited 5,163 119,707 89,390 New World Development Company Limited 39,000 60,477 53,456 NN Group N.V. 1,727 76,599 65,562 , Inc. 7,500 45,043 38,882 Nordea Bank Abp 20,394 242,240 164,789 Corporation 4,300 76,562 71,657 Oversea-Chinese Banking Corporation Limited 17,600 163,160 143,716 Partners Group Holding AG 120 88,195 109,969

See Notes to the Financial Statements. 12 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Financials - 18.0% (continued) Prudential Financial, Inc. 3,014 $ 70,053 $ 57,856 QBE Insurance Group Limited 6,726 52,508 60,897 Raiffeisen Bank International AG 5,089 118,217 127,901 , Inc. 9,800 54,144 43,195 Royal Bank of 2,139 166,537 169,487 Sampo Oyj Class A 11,688 643,766 510,480 Singapore Exchange Limited 5,400 28,157 35,581 Skandinaviska Enskilda Banken AB Class A 7,014 83,827 65,996 Société Générale S.A. 2,190 55,487 76,243 Sompo Holdings, Inc. 1,300 50,608 51,438 Sumitomo Mitsui Financial Group, Inc. 700 30,379 26,010 Sumitomo Realty & Development Co Ltd. 1,100 41,680 38,585 Sun Hung Kai Properties Limited 8,000 131,706 122,488 Svenska Handelsbanken AB Class A 9,499 124,505 102,387 Swedbank AB Class A 6,991 152,474 104,144 Swiss Life Holding AG 119 41,441 59,700 Swiss Re AG 653 66,554 73,301 The Bank of Nova Scotia 1,829 100,056 103,456 The -Dominion Bank 3,496 203,160 196,348 Holdings, Inc. 600 27,990 33,783 Tryg A/S 3,480 84,617 103,245 UBS Group AG 7,995 100,740 100,933 UniCredit S.p.A. 12,514 241,052 182,891 United Overseas Bank Limited 7,300 147,647 143,378 UOL Group Limited 19,800 108,330 122,512 Vonovia SE 3,388 171,264 182,545 Westpac Banking Corporation 7,050 163,514 120,079 Wharf Real Estate Investment Co Ltd. 11,000 80,798 67,128 Zurich Insurance Group AG 323 106,653 132,456 Total Financials 13,214,325 12,073,228

Health Care - 6.8% Alcon, Inc. 560 26,390 31,691 Inc. 3,100 45,375 53,343 AstraZeneca PLC 1,705 132,994 171,819 Aurora Cannabis Inc. 26,108 133,520 56,172 Companies Inc. 9,477 223,647 284,072 Bayer AG 1,647 141,214 134,608

See Notes to the Financial Statements. 13 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Health Care - 6.8% (continued) Canopy Growth Corporation 6,670 $ 226,508 $ 140,472 Chugai Pharmaceutical Co., Ltd. 400 20,742 37,101 Cochlear Limited 348 51,637 54,975 Coloplast A/S Class B 601 50,799 74,608 Cronos Group Inc. 3,568 55,409 27,432 CSL Limited 2,814 374,978 545,481 Company Limited 900 33,280 59,859 Co., Ltd. 400 25,954 30,196 Fresenius Medical Care AG & Co. KGaA 590 59,796 43,684 Fresenius SE & Co. KGaA 1,203 94,947 67,761 Galapagos NV 1,365 296,926 285,758 GlaxoSmithKline PLC 6,977 127,591 164,429 700 37,625 67,311 M3, Inc. 1,000 21,944 30,412 Novartis AG 1,383 100,533 131,252 Novo Nordisk A/S Class B 4,152 202,491 241,155 2,100 20,492 32,638 Co., Ltd. 2,400 74,558 55,255 Otsuka Holdings Co., Ltd. 900 45,312 40,439 Ramsay Health Care Limited 1,774 87,780 90,447 Roche Holding AG 434 100,834 140,730 Sanofi S.A. 2,862 233,536 287,913 Santen Pharmaceutical Co., Ltd 4,000 66,865 76,779 & Co., Ltd. 600 31,147 37,361 Sonic Healthcare Limited 1,436 26,842 29,021 Sysmex Corporation 400 34,432 27,418 Takeda Pharmaceutical Co. Ltd. 2,238 95,212 89,211 Corporation 1,100 29,143 39,324 Teva Pharmaceutical Industries Limited 50,702 619,643 502,176 UCB SA 4,570 364,463 363,704 Total Health Care 4,314,559 4,546,007

Industrials - 9.5% AB Volvo Class B 3,041 57,376 50,970 ABB Ltd. 6,039 146,026 145,744 ACS, Actividades de Construcción y Servicios, S.A. 1,962 79,746 78,514 Aena S.M.E., S.A. 324 68,041 62,009 AerCap Holdings N.V. 1,193 60,008 73,334 Airbus SE 478 57,031 70,010

See Notes to the Financial Statements. 14 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Industrials - 9.5% (continued) AP Møller Maersk A/S Class B 45 $ 58,093 $ 64,948 Assa Abloy AB Class B 2,421 54,574 56,639 Atlantia S.p.A. 4,010 128,454 93,580 Aurizon Holdings Limited 13,714 47,047 50,419 BAE Systems PLC 7,474 60,814 55,922 Bombardier Inc. Class B 20,193 58,205 30,054 Brambles Limited 12,748 95,136 105,025 CAE Inc. 2,022 41,058 53,608 Canadian National Railway Company 4,693 375,858 425,130 Canadian Pacific Railway Limited 986 192,114 251,703 Central Japan Railway Company 100 18,489 20,244 CIMIC Group Limited 1,820 65,608 42,398 CK Hutchison Holdings Limited 29,548 347,782 281,760 CK Infrastructure Holdings Limited Class L 9,000 76,381 64,048 CNH Industrial N.V. 10,693 146,301 117,508 ComfortDelGro Corporation Limited 57,100 92,259 101,066 Deutsche Post AG 1,559 70,588 59,517 DSV A/S 1,002 78,229 115,568 Fanuc Corporation 100 16,943 18,707 Ferrovial, S.A. 2,864 60,692 86,704 FUJIFILM Holdings Corporation 500 20,850 24,063 Geberit AG 193 89,377 108,264 Halma PLC 12,496 314,655 350,284 , Ltd. 1,100 41,391 46,824 Husqvarna AB Class B 7,337 77,334 58,799 ISS A/S 1,487 54,801 35,706 Corporation 2,800 53,115 65,301 Jardine Matheson Holdings Limited 2,600 158,656 144,560 Jardine Strategic Holdings Limited 2,900 113,100 88,885 Keppel Corporation Limited 38,400 219,340 193,335 Corporation 200 59,505 70,835 Komatsu Ltd. 1,800 60,789 43,760 KONE Oyj Class B 2,446 123,919 160,016 Corporation 3,000 52,383 47,647 Corporation 3,000 50,106 41,366 MTR Corporation Limited 16,000 91,222 94,561 Corporation 400 64,413 55,229 NWS Holdings Limited 26,000 51,260 36,438

See Notes to the Financial Statements. 15 Wilmington Trust Collective Investment Trust

QS Investors International Equity DBI CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Industrials - 9.5% (continued) Prysmian S.p.A. 2,250 $ 73,655 $ 54,276 Randstad NV 1,062 75,680 64,898 Safran SA 447 48,794 69,067 Sandvik AB 3,077 57,904 60,038 SATS Ltd. 24,600 96,379 92,571 Schneider Electric SE 806 71,022 82,783 SEEK Limited 6,707 108,597 106,316 Sembcorp Industries Ltd. 22,300 52,353 37,978 Siemens AG 1,062 138,956 138,927 Sika AG 373 50,042 70,047 Singapore Airlines Ltd. 16,600 139,230 111,601 Singapore Technologies Engineering Ltd. 40,700 101,293 119,256 SMC Corporation 100 43,068 46,276 3,500 59,035 52,303 Swire Pacific Limited Class A 6,000 60,305 55,751 Sydney Airport 18,051 94,087 109,886 Techtronic Industries Co. Ltd. 13,000 75,762 106,028 Tenaris SA 6,932 121,831 78,201 Transurban Group 27,662 258,601 289,925 Vestas Wind Systems A/S 837 59,755 84,643 VINCI SA 803 80,492 89,235 Wärtsilä Oyj Abp 3,054 69,553 33,767 WSP Global Inc. 1,603 86,561 109,611 Yangzijiang Shipbuilding (Holdings) Ltd. 62,400 55,463 51,975 Total Industrials 6,327,487 6,356,361

Real Estate - 0.2% Industry Co., Ltd. 2,000 77,764 62,388 Lendlease Group 5,927 81,286 73,328 Total Real Estate 159,050 135,716

Technology - 5.7% AB Electrolux Class B 5,122 170,095 125,792 ASML Holding N.V. 837 175,271 247,755 AVEVA Group PLC 1,489 88,819 91,842 BlackBerry Limited 3,999 29,758 25,750 Canon Inc. 900 33,492 24,733 Capgemini SE 752 97,746 91,925 CGI Inc. 2,424 142,355 203,136

See Notes to the Financial Statements. 16 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Technology - 5.7% (continued) Check Point Software Technologies Ltd. 2,000 $ 217,356 $ 221,920 Constellation Software Inc. 197 149,191 191,593 CyberArk Software, Ltd. 600 78,186 69,948 Dassault Systèmes SE 635 87,232 104,459 Limited 400 24,512 37,801 Hexagon AB Class B 2,042 122,997 114,522 Corporation 900 51,837 61,946 Micro Focus International PLC 9,865 207,437 139,024 Co., Ltd. 1,200 57,964 74,490 NICE Ltd. 614 59,920 95,211 Nokia Corporation 83,695 410,538 309,651 NXP Semiconductors N.V. 375 33,799 47,723 Open Text Corporation 3,408 136,916 150,380 SAP SE 1,578 170,893 213,123 Shopify Inc. Class A 958 208,700 381,427 STMicroelectronics N.V. 3,418 82,149 91,966 Telefonaktiebolaget LM Ericsson Class B 22,243 152,091 193,797 The Sage Group PLC 36,973 342,632 366,860 Electron Limited 300 62,778 66,046 Wirecard AG 180 30,221 21,720 Wix.com Ltd. 770 83,232 94,233 Total Technology 3,508,117 3,858,773

Utilities - 8.5% AGL Energy Limited 17,716 300,003 255,670 APA Group 31,304 209,101 244,257 ATCO Ltd. Class I 1,800 57,307 69,085 AusNet Services Ltd. 33,675 42,894 40,242 Canadian Utilities Limited Class A 1,013 26,347 30,599 Centrica PLC 45,563 89,021 53,901 Company, Incorporated 5,900 92,373 83,689 CLP Holdings Limited 21,500 218,629 225,988 E.ON SE 10,976 123,614 117,341 EDP - Energias de Portugal, SA 87,035 336,968 377,500 Electric Power Development Co., Ltd. 1,300 33,571 31,664 Electricité de France S.A. 8,582 118,433 95,639 Emera Incorporated 2,008 62,407 86,390 Enagas SA 2,886 76,270 73,667 Endesa, S.A. 2,399 51,902 64,064

See Notes to the Financial Statements. 17 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.9% (continued) Utilities - 8.5% (continued) Enel SpA 73,580 $ 442,756 $ 584,101 Engie 20,042 332,118 323,959 Fortis Inc. 3,500 115,317 145,425 Fortum Oyj 12,683 287,055 313,207 HK Electric Investments and HK Electric Investments Limited 42,500 41,553 41,890 Hydro One Limited 2,890 43,595 55,895 Iberdrola, S.A. 40,236 303,908 414,614 Kyushu Electric Power Company, Incorporated 3,300 37,771 28,696 National Grid PLC 12,363 126,809 154,656 Naturgy Energy Group, S.A. 2,445 56,557 61,477 Co., Ltd. 3,500 68,489 67,343 Power Assets Holdings Limited 19,000 144,073 138,992 Red Electrica Corporacion 3,984 79,763 80,161 RWE AG 2,979 72,359 91,456 Snam S.p.A. 21,550 102,431 113,354 SSE PLC 6,968 119,486 132,786 Suez SA 4,635 60,852 70,160 Terna - Rete Elettrica Nazionale Società per Azioni 14,281 84,956 95,445 The Chugoku Electric Power Co., Inc. 2,200 26,550 28,949 The Hong Kong and China Gas Company Limited 137,619 245,611 268,816 The Kansai Electric Power Company, Incorporated 6,600 80,738 76,795 Gas Co., Ltd. 900 27,153 36,936 Tohoku Electric Power Company, Incorporated 3,700 49,954 36,838 Tokyo Electric Power Company Holdings, Incorporated 14,000 85,247 60,161 Co., Ltd. 3,600 97,050 87,834 Uniper SE 3,175 95,603 105,172 United Utilities Group PLC 6,091 60,906 76,123 Veolia Environnement S.A. 6,628 150,933 176,401 Total Utilities 5,278,433 5,717,338 Total Common Stocks 60,212,350 61,046,676

Depositary Receipts - 0.5% Communications - 0.3% Millicom International Cellular S.A. 2,530 142,834 121,243 SES SA 3,589 58,172 50,358 Total Communications 201,006 171,601

See Notes to the Financial Statements. 18 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Depositary Receipts - 0.5% (continued) Consumer, Cyclical - 0.1% Melco Resorts & Entertainment Limited 4,000 $ 111,360 $ 96,680

Financials - 0.1% ABN AMRO Group N.V. 3,387 88,507 61,667 Total Depositary Receipts 400,873 329,948

Preferred Stock - 0.2% Consumer, Non-Cyclical - 0.2% Henkel AG & Co. KGaA 1,230 160,587 127,298

Real Estate Investment Trusts - 4.1% Ascendas Real Estate Investment Trust 57,100 117,060 126,120 British Land Company PLC 13,886 123,444 117,510 Canadian Apartment Properties Real Estate Investment Trust 3,528 147,635 144,222 CapitaLand Commercial Trust 75,100 97,087 111,143 CapitaLand Mall Trust 61,100 90,926 111,781 Daiwa House REIT Investment Corporation 22 51,648 57,412 Dexus 14,452 106,046 118,861 First Capital Real Estate Investment Trust 14,146 235,797 225,485 Goodman Group 11,951 78,542 112,321 GPT Group 21,631 78,602 85,151 H&R Real Estate Investment Trust 2,962 50,057 48,196 Japan Prime Realty Investment Corporation 15 52,751 65,770 Japan Real Estate Investment Corporation 5 25,928 33,126 Japan Retail Fund Investment Corporation 31 59,448 66,550 Klépierre 1,702 74,400 64,670 Land Securities Group PLC 8,179 88,282 107,268 Link Real Estate Investment Trust 14,500 127,218 153,527 Mapletree Commercial Trust 33,800 57,996 60,077 Mirvac Group 31,785 53,899 71,052 Nippon Building Fund Inc. 5 27,295 36,577 Nomura Real Estate Master Fund, Inc. 13 17,760 22,202 Riocan Real Estate Investment Trust 3,182 62,501 65,664 Scentre Group 56,942 173,095 153,305 Segro PLC 14,043 122,688 166,910 Stockland Corporation Ltd. 30,611 98,076 99,413 Suntec Real Estate Investment Trust 57,800 78,566 79,093 Unibail-Rodamco-Westfield (France) 292 68,984 46,101

See Notes to the Financial Statements. 19 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Real Estate Investment Trusts - 4.1% (continued) Unibail-Rodamco-Westfield (Netherlands) 654 $ 106,631 $ 103,253 United Urban Investment Corporation 10 15,849 18,735 Vicinity Centres 38,804 74,899 67,920 Total Real Estate Investment Trusts 2,563,110 2,739,415

Money Market Fund - 1.8% State Street Institutional U.S. Government Money Market Fund 1,241,298 1,241,298 1,241,298 Total Investments - 97.5% $ 64,578,218 65,484,635 Other Assets and Liabilities, Net - 2.5% 1,692,598 Net Assets - 100% $ 67,177,233

Futures Number of Value as of Unrealized Contracts Expiration December 31, Appreciation Long Date 2019 (Depreciation) Future in gain position S&P/TSX 60 IX Future 1 3/19/20 $ 156,144 $ 864

Futures in loss position Euro Stoxx 50 Future 17 3/20/20 711,586 (2,335) FTSE 100 Index Future 1 3/20/20 99,343 (1,325) (CME) Future 1 3/12/20 117,275 (1,625) SFE SPI 200 Index Future 2 3/19/20 232,079 (7,134) 1,160,283 (12,419) $ 1,316,427 $ (11,555)

See Notes to the Financial Statements. 20 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

The following table summarizes how the Fund's investments are broken down by country of issuance as a percentage of net assets of the Fund:

Percentage Country of Issuer Fair Value of Net Assets

Canada $ 7,781,604 11.5% Australia 6,304,075 9.4% Japan 5,310,816 7.9% United Kingdom 4,979,004 7.4% France 3,976,520 5.9% Hong Kong 3,293,354 4.9% Spain 3,140,326 4.7% Germany 3,057,995 4.6% Singapore 2,846,141 4.2% Switzerland 2,838,983 4.2% Finland 2,746,717 4.1% Norway 2,687,288 4.0% Netherlands 2,380,798 3.5% Belgium 2,349,918 3.5% Italy 2,271,169 3.4% Sweden 2,240,817 3.3% Denmark 2,139,109 3.2% United States 1,525,370 2.3% Israel 1,271,929 1.9% Ireland 732,631 1.1% Austria 517,005 0.8% Portugal 377,500 0.6% Luxembourg 351,499 0.5% Macao 312,092 0.5% China 51,975 0.1% Total $ 65,484,635 97.5%

See Notes to the Financial Statements. 21 Wilmington Trust Collective Investment Trust

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Schedule of Investments (continued) December 31, 2019

The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2019 (see Note 3 in Notes to the Financial Statements):

Fair Value Measurements Level 1 Level 2 Level 3 Total Assets: Common Stocks $ 61,046,676 $ - $ - $ 61,046,676 Depositary Receipts 329,948 - - 329,948 Future 864 - - 864 Preferred Stock 127,298 - - 127,298 Real Estate Investment Trusts 2,739,415 - - 2,739,415 Money Market Fund 1,241,298 - - 1,241,298 $ 65,485,499 $ - $ - $ 65,485,499

Liabilities: Futures $ (12,419) $ - $ - $ (12,419) $ (12,419) $ - $ - $ (12,419)

Concentration of Ownership: As of December 31, 2019, the Fund had one unaffiliated plan holding 10% or more of the outstanding units of the Fund, representing 77% of the total outstanding units.

Supplementary Information: Total investment purchases, sales proceeds, and realized loss for the year ended December 31, 2019, were:

Purchases Sales Realized at Cost Proceeds Loss

Investments $ 22,620,798 $ 46,642,172 $ (2,979,139)

See Notes to the Financial Statements. 22 Wilmington Trust Collective Investment Trust

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Notes to the Financial Statements

December 31, 2019

Note 1 – Organization

Wilmington Trust Collective Investment Trust (the "Trust") is intended to constitute an exempt trust under Section 501(a) of the Internal Revenue Code of 1986, as amended (the "Code"), and a group trust within the meaning of Revenue Ruling 81-100, as clarified and amended. The Trust is exempt from registration under the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended. Wilmington Trust, N.A. ("WTNA" or the "Trustee") serves as the Trustee of the Trust.

The Trustee is responsible for maintaining and administering the Trust and QS Investors International Equity DBI CIT (the "Fund") and also serves as the investment advisor (the "Investment Advisor") to the Fund. M&T Bank Corporation is the ultimate parent of the Trustee. State Street Bank and Trust Company provides custody and transfer agency services for the Trust and the Fund.

The purpose of the Trust is to allow collective investments by plan sponsors of retirement plans which qualify for exemption from federal income taxation pursuant to Section 501(a) of the Code, by reason of qualifying under Section 401(a) of the Code; tax-exempt governmental plans under Section 414(d) or Section 818(a)(6) of the Code; eligible deferred compensation plans under Section 457(b) of the Code established by a government employer; group trusts or separate accounts consisting solely of assets of the foregoing; and other investors eligible for participation in the Trust. The Trust consists of separate funds with differing investment objectives, which are available for investment by participating plans. An eligible plan may join the Trust, subject to the Trustee's acceptance, and become a participating plan by executing participation documents specified by the Trustee. Not all funds within the Trust are presented herein. The Trustee has claimed an exclusion from the definition of commodity pool operator ("CPO") under the Commodity Exchange Act and the rules of the Commodity Futures Trading Commission ("CFTC") with respect to the Fund, and is therefore not subject to CFTC registration or regulation as a CPO with respect to the Fund.

The investment objective of the Fund is to seek broadly diversified equity exposure using efficient portfolio construction in order to achieve absolute risk-adjusted returns above the benchmark, MSCI EAFE Net Dividend Total Return Index USD, principally from investing in a globally diversified portfolio of approved securities and approved derivatives. WTNA has engaged QS Investors, LLC (the "Sub-Advisor") to provide investment advice in connection with the investment of the Fund's assets. While the Trustee generally relies on the Sub-Advisor to manage the Fund's assets, the Trustee maintains ultimate fiduciary authority over the management of, and investments made in, the Fund. The Sub-Advisor is engaged pursuant to a sub-advisory agreement.

Note 2 – Significant Accounting Policies

The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The Fund is an investment company and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic No. 946.

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Notes to the Financial Statements (continued)

December 31, 2019

Net Asset Value ("NAV") – Units of each fee class of the Fund are valued each day on which the New York Stock Exchange ("NYSE") is open for trading in accordance with the valuation procedures established by the Trustee. The NAV per unit is calculated as of the close of trading on the NYSE (generally, 4:00 p.m. U.S. Eastern time). The NAV per unit is computed by dividing the total fair value of the assets of a Fund, less its liabilities, by the total number of units outstanding at the time of such computation. Investment income earned is reinvested in the Fund and included in the determination of unit values.

Fund Unit Transactions – The Fund sells new units and repurchases outstanding units on a daily basis. Unit purchases and redemptions are transacted at the NAV per fee class of the Fund determined as of the close of business each day. A summary of the Fund unit activity for the Fund is included with its Financial Highlights.

The Fund requires the plan sponsors to provide advance written notice of five business days for contributions and withdrawals which exceed $1 million.

Investment Valuation – Investments are valued at their current fair value determined as follows:

Money Market Fund – Investments in money market funds are valued at the daily closing net asset value of the respective fund.

Securities – Securities, other than bonds, listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the closing price on the primary exchange or market on which they are traded on the day of valuation or, if there is no such reported sale on the valuation date, at the most recent bid quotation on the principal exchange. If a market price is not readily available or if such price is deemed unreliable, it will be valued at fair value in accordance with valuation procedures established by the Trustee. The Trustee's determination of fair value involves consideration of a number of subjective factors, and therefore, no single standard for determining fair value will apply.

Futures Contracts – The Fund may purchase futures contracts to gain exposure to market changes, which may be more efficient or cost effective than actually buying the securities. The Fund utilizes futures contracts for tactical hedging purposes as well as to enhance the Fund's returns. Upon entering into such a contract, the Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the contract is held. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Net realized and unrealized gains or losses occurring during the holding period of futures are found on the Statement of Operations as a component of net realized gain (loss) on futures contracts and as a component of net change in unrealized appreciation (depreciation) on futures contracts.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Funds could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities.

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Notes to the Financial Statements (continued)

December 31, 2019

When the valuation methods described above are not reflective of fair value, investments are valued at fair value following procedures and/or guidelines determined by or under the direction of the valuation committee established by the Trustee. In light of the judgment involved in fair value decisions, there can be no assurance that a fair value assigned to a particular investment is accurate.

Cash and Cash Equivalents – The Fund considers all highly liquid instruments with original maturities of three months or less at the acquisition date to be cash equivalents.

Foreign Currency Translation – The accounting records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated daily into U.S. dollars using foreign currency exchange rates determined as of the close of regular trading on the NYSE. Purchases and sales of Fund securities, commitments under forward foreign currency contracts and income receipts are translated at the prevailing exchange rate as of the date of each transaction. Realized and unrealized gain or loss on the translation of foreign currency denominated investments is included as a component of net realized and unrealized gain or loss on investments in the Statements of Operations. Realized gain or loss on foreign currency transactions may include gains and losses from sales and maturities of foreign currency exchange contracts, gains and losses realized between the trade and settlement dates of foreign security transactions or the difference between the amount of net investment income accrued on foreign securities and the U.S. dollar amount actually received. Unrealized gain or loss on foreign currency transactions include gains and losses due to changes in the value of assets and liabilities, other than Fund securities, resulting from changes in exchange rates. Certain foreign exchange gains and losses included in realized and unrealized gains and losses are included in or are a reduction of ordinary income in accordance with U.S. federal income tax regulations.

Investment Transactions and Investment Income – The Fund records security transactions on a trade date basis. Dividend income is recorded on the ex-dividend date. Net realized gains and losses on investments are determined by the first-in, first-out method. Interest income and expenses are recorded daily on the accrual basis.

Fee Classes and Allocations – The Fund offers multiple fee classes. Not all fee classes are available for investment by all plans. Each class is allocated expenses on the basis of expense loads assigned to that class. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each fee class based on the units outstanding for the fee class in proportion to the total outstanding units.

Use of Estimates – The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Guarantees and Indemnifications – Under the Fund's organizational documents, each trustee, officer, employee and agent of the Trust is indemnified, to the extent permitted by law, against certain liabilities that may arise in the performance of their duties to the Fund.

Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote.

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Notes to the Financial Statements (continued)

December 31, 2019

Income Tax Status – The Trust has received a determination from the Internal Revenue Service that the Trust is exempt from federal income taxation under Section 501(a) of the Code. Accordingly, no federal income tax provision is required.

Subsequent Events – The Trustee has evaluated the effect of subsequent events on the Fund's financial statements through April 29, 2020, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events, except as noted below, that would require disclosure or adjustment in the Fund's financial statements through this date.

During the first quarter of 2020, there were worldwide outbreaks of the coronavirus. The impact of these outbreaks, as well as other epidemics and pandemics that may arise in the future, could negatively affect the domestic and international economies, individual companies and the market in general in significant and unforeseen ways. Any such impact could adversely affect the performance of the securities in which the Fund is invested and the investment performance of the Fund.

Note 3 – Fair Value Measurements

Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

Various inputs are used in determining the fair value of the Fund's investments. The Trustee has performed an analysis of the significance and character of these inputs to the fair value determination. These inputs are summarized in the three broad levels listed below:

• Level 1 – Quoted prices in active markets for identical assets and liabilities. • Level 2 – Other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, credit risk, and others). • Level 3 – Significant unobservable inputs (including the Trustee's own assumptions in determining the fair value of assets and liabilities).

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used as of December 31, 2019, in valuing the Fund's assets carried at fair value is included in Note 2.

The aggregate fair value of the investments in the Fund, by input level used as of December 31, 2019, is included following the Fund's Schedule of Investments.

The Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2018-13, Fair Value Measurement (Topic 820) – Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 modifies the disclosure requirements in Topic 820. The Fund elected to early adopt ASU 2018-13, effective December 31, 2019.

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Notes to the Financial Statements (continued)

December 31, 2019

Note 4 – Fees and Expenses

Trustee and Sub-Advisory Fees

All asset-based fees are based upon the net assets as determined at the end of each preceding business day as set forth in the table below (in basis points). Except as otherwise noted, all asset-based fees are paid from the assets of the Fund.

Fee Class Trustee Fee (1) Sub-Advisory Fee (2)

Class R1 8 on the first $2 billion 40 (all assets) 7 on the next $2 billion 6.5 on assets over $4 billion

Class R-INT 5 (3) 0

(1) The Trustee fee, with respect to Class R1, will decrease as the total value of assets of all Trustee collective investment funds sub-advised by managers that are affiliates of Legg Mason & Co., LLC reaches certain threshold amounts. (2) The Sub-Advisor has agreed to waive its Sub-Advisory fee and/or reimburse expenses so that annual total fees and expenses do not exceed 49 and 15 basis points for Class R1 and Class R-INT, respectively. These waivers and/or reimbursements may be reduced or terminated at any time. (3) For custody services only.

Trustee Fee – The Trustee receives an annual fee for trustee and administrative services provided to the Fund. Trustee fees are based upon the average daily value of the Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Fund. Such Trustee fees for the year ended December 31, 2019, are included in the Statement of Operations for the Fund.

Sub-Advisory Fee – The Sub-Advisor is compensated for its investment advisory services provided to the Fund. Sub-advisory fees for each class are based upon the average daily value of the Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Fund.

Operating Expenses – In addition to the fees described above, the Fund bears expenses related to its operation, including, but not limited to, audit, custody, tax and legal services. Expenses incurred in connection with the investment and reinvestment of Fund assets, including, without limitation, transfer agency fees, brokerage commission and other expenses, are also charged against the Fund.

When assets of the Fund are invested in other investment vehicles, such as other collective funds or exchange- traded funds, those investment vehicles will incur fees and expenses, which will be reflected in the operating results and value of the Fund's investment in such investment vehicle, and are separate and distinct from the fees and expenses of the Fund described above.

Note 5 – Related Party Transactions

The Trustee is a national bank that provides trust and custodial services for tax-advantaged retirement plans as well as trust and investment services to business pension and retirement plans. The Trustee is responsible for managing the Trust's investment and business affairs.

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Notes to the Financial Statements (continued)

December 31, 2019

Note 6 – Risks Associated with Investing in the Fund

In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the fair value of the investments. The principal risks associated with investing in the Fund are:

• Active Management. The Fund is actively managed and subject to the risk that the sub-advisor’s usage of investment techniques and risk analyses to make investment decisions fails to perform as expected, which may cause the Fund to lose value or underperform investments with similar objectives and strategies or the market in general.

• Country or Region. Investments in securities from a particular country or region may be subject to the risk of adverse social, political, regulatory, or economic events occurring in that country or region. Country or region-specific risks also include the risk that adverse securities markets or exchange rates may impact the value of securities from those areas.

• Currency. Investments in securities traded in foreign currencies or more directly in foreign currencies are subject to the risk that the foreign currency will decline in value relative to the U.S. dollar, which may reduce the value of the Fund. Investments in currency hedging positions are subject to the risk that the value of the U.S. dollar will decline relative to the currency being hedged, which may result in a loss of money on the investment as well as the position designed to act as a hedge. Cross-currency hedging strategies and active currency positions may increase currency risk because actual currency exposure may be substantially different from that suggested by the Fund's holdings.

• Derivatives. Investments in derivatives may be subject to the risk that the sub-advisor does not correctly predict the movement of the underlying security, interest rate, market index, or other financial asset, or that the value of the derivative does not correlate perfectly with either the overall market or the underlying asset from which the derivative's value is derived. Because derivatives usually involve a small investment relative to the magnitude of liquidity and other risks assumed, the resulting gain or loss from the transaction will be disproportionately magnified. These investments may result in a loss if the counterparty to the transaction does not perform as promised.

• Equity Securities. The value of equity securities, which include common, preferred, and convertible preferred stocks, will fluctuate based on changes in their issuers' financial conditions, as well as overall market and economic conditions, and can decline in the event of deteriorating issuer, market, or economic conditions.

• Foreign Securities. Investments in foreign securities may be subject to increased volatility as the value of these securities can change more rapidly and extremely than the value of U.S. securities. Factors that increase the risk of investing in foreign securities include but are not limited to the following: less public information about issuers of non-U.S. securities; less governmental regulation and supervision over the issuance and trading of securities, the unavailability of financial information regarding the non-U.S. issuer or the difficulty of interpreting financial information prepared under non-U.S. accounting standards, less liquidity, the imposition of withholding and other taxes, and adverse political, social or diplomatic developments. In addition, foreign securities are subject to increased costs because there are generally higher commission rates on transactions, transfer taxes, higher custodial costs, and the potential for foreign

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Notes to the Financial Statements (continued)

December 31, 2019

tax charges on dividend and interest payments. Many foreign markets are relatively small, and securities issued in less-developed countries face the risks of nationalization, expropriation or confiscatory taxation, and adverse changes in investment or exchange control regulations, including suspension of the ability to transfer currency from a country. Economic, political, social, or diplomatic developments can also negatively impact performance.

• Futures. Investments in futures contracts and options on futures contracts may increase volatility and be subject to additional market, active management, interest, currency, and other risks if the contract cannot be closed when desired.

• Loss of Money. An investment’s market value may fluctuate up and down, an investor may lose money, including part of the principal, when he or she buys or sells the investment.

• Market/Market Volatility. The market value of the Fund's securities may fall rapidly or unpredictably because of changing economic, political, or market conditions, which may reduce the value of the Fund.

• Not FDIC Insured. The investment is not a deposit or obligation of, or guaranteed or endorsed by, any bank and is not insured by the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other U.S. governmental agency.

• Options. Investments in options may be subject to the risk that the sub-advisor does not correctly predict the movement of an option’s underlying stock. Option purchases may result in the loss of part or all of the amount paid for the option plus commission costs. Option sales may result in a forced sale or purchase of a security at a price higher or lower than its current market price.

• Quantitative Investing. Holdings selected by quantitative analysis may perform differently from the market as a whole based on the factors used in the analysis, the weighting of each factor, and how the factors have changed over time.

29