WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST
FUNDS SUB-ADVISED BY LORD, ABBETT & CO. LLC
FINANCIAL STATEMENTS
DECEMBER 31, 2020
WITH
INDEPENDENT AUDITOR'S REPORT
Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
CONTENTS
Independent Auditor's Report ...... 1
Fund Index ...... 3
Lord Abbett Core Fixed Income Trust II ...... 4
Lord Abbett High Yield Core Trust II...... 21
Lord Abbett Multi-Sector Strategic Trust II ...... 46
Lord Abbett Short Duration Credit Trust II ...... 66
Lord Abbett SMID Cap Equity Trust II ...... 93
Lord Abbett Total Return Trust II ...... 100
Notes to the Financial Statements...... 125
INDEPENDENT AUDITOR'S REPORT
Wilmington Trust, N.A., Trustee for Wilmington Trust Collective Investment Trust
Re port on the Financial Statements
We have audited the accompanying financial statements of funds sub-advised by Lord, Abbett & Co. LLC of Wilmington Trust Collective Investment Trust (the "Trust"), comprising the Funds (the "Funds") included on the Fund Index on page 3, which comprise the statements of assets and liabilities, including the schedules of investments, as of December 31, 2020, the related statements of operations and changes in net assets, the financial highlights for the year then ended, and the related notes to the financial statements. 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 accounting principles generally accepted in the United States 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 audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards re quire that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free from material misstatement.
A n audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statem ents. 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 st atements 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 each of the Funds as of December 31, 2020, the results of its operations, 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 audits were conducted for the purpose of forming an opinion on the financial statements of each Fund as a whole. The supplementary information for the year ended December 31, 2020, 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 audits 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 30, 2021
2
LORD, ABBETT & CO. LLC
Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
FUND INDEX
FUND NAME FUND OBJECTIVE
Lord Abbett Core Fixed Income Trust II The Fund seeks income and capital appreciation to produce a high total return.
Lord Abbett High Yield Core Trust II The Fund seeks to provide a high current income and the opportunity for capital appreciation to produce a high total return.
Lord Abbett Multi-Sector Strategic Trust II The Fund seeks high current income and the opportunity for capital appreciation to produce a high total return.
Lord Abbett Short Duration Credit Trust II The Fund seeks a high level of income consistent with preservation of capital.
Lord Abbett SMID Cap Equity Trust II The Fund seeks to deliver long-term capital appreciation.
Lord Abbett Total Return Trust II The Fund seeks income and capital appreciation to produce a high total return.
3 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 15.1% Auto - 6.1% Ally Auto Receivables Trust 2019-4, 1.93%, 10/17/2022 84,798 $ 84,790 $ 85,023 American Credit Acceptance Receivables Trust 2019-2, 3.05%, 5/12/2023 67,641 67,634 67,911 American Credit Acceptance Receivables Trust 2020-2, 1.65%, 12/13/2023 48,693 48,693 48,995 AmeriCredit Automobile Receivables Trust 2017-2, 2.97%, 3/20/2023 92,607 93,899 93,548 AmeriCredit Automobile Receivables Trust 2017-4, 2.6%, 9/18/2023 444,000 438,797 451,864 Avis Budget Rental Car Funding AESOP LLC, 2.97%, 3/20/2024 350,000 361,703 364,150 BMW Vehicle Owner Trust 2019-A, 2.05%, 5/25/2022 55,078 55,025 55,213 BMW Vehicle Owner Trust 2020-A, 0.39%, 2/27/2023 274,850 274,831 275,124 California Republic Auto Receivables Trust 2018-1, 3.56%, 3/15/2023 129,000 128,984 131,079 Capital One Prime Auto Receivables Trust 2019-1, 2.58%, 4/15/2022 20,433 20,431 20,476 Carmax Auto Owner Trust 2019-3, 2.21%, 12/15/2022 28,862 28,856 28,996 Chesapeake Funding II LLC, 1.91%, 8/15/2029 16,726 16,531 16,752 Chesapeake Funding II LLC, 1.99%, 5/15/2029 26,964 26,891 26,988 CPS Auto Receivables Trust 2020-B, 1.15%, 7/17/2023 176,444 176,440 176,992 Drive Auto Receivables Trust 2016-C, 4.18%, 3/15/2024 16,916 17,056 17,083 Drive Auto Receivables Trust 2017-2, 3.49%, 9/15/2023 104,598 104,533 105,618 Drive Auto Receivables Trust 2017-A, 4.16%, 5/15/2024 46,898 46,897 47,553 Drive Auto Receivables Trust 2018-2, 3.63%, 8/15/2024 1,264 1,269 1,265 Drive Auto Receivables Trust 2019-2, 3.69%, 8/17/2026 86,000 90,491 90,498 Drive Auto Receivables Trust 2019-3, 2.9%, 8/15/2025 247,000 254,468 254,522 Drive Auto Receivables Trust, 3.72%, 9/16/2024 29,655 29,652 29,796 Enterprise Fleet Financing LLC, 2.87%, 10/20/2023 8,922 8,920 8,959 Exeter Automobile Receivables Trust 2020-2, 1.13%, 8/15/2023 57,821 57,817 57,989 Fifth Third Auto Trust 2019-1, 2.66%, 5/16/2022 1,328 1,328 1,329 First Investors Auto Owner Trust 2019-2, 2.71%, 12/15/2025 89,000 88,998 91,637 Flagship Credit Auto Trust 2017-3, 2.59%, 7/15/2022 307 307 307 Flagship Credit Auto Trust 2018-3, 3.07%, 2/15/2023 28,151 28,149 28,272 Flagship Credit Auto Trust 2018-3, 3.59%, 12/16/2024 90,000 89,984 91,540 Flagship Credit Auto Trust 2020-2, 1.49%, 7/15/2024 41,617 41,613 41,933 Ford Credit Auto Owner Trust 2019-C, 1.88%, 7/15/2022 154,336 153,926 154,924 Ford Credit Auto Owner Trust 2020-A, 1.03%, 10/15/2022 30,986 30,985 31,073 Ford Credit Auto Owner Trust 2020-B, 0.5%, 2/15/2023 337,223 337,208 337,605 GLS Auto Receivables Issuer Trust 2020-3, 1.92%, 5/15/2025 150,000 149,976 152,781 GM Financial Consumer Automobile Receivables Trust 2018-4, 3.21%, 10/16/2023 143,766 147,349 146,492
See Notes to the Financial Statements. 4 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 15.1% (continued) Auto - 6.1% (continued) Honda Auto Receivables 2017-4 Owner Trust, 2.21%, 3/21/2024 261,000 $ 264,976 $ 262,403 Honda Auto Receivables 2020-2 Owner Trust, 0.74%, 11/15/2022 117,117 117,108 117,388 Hyundai Auto Receivables Trust 2017-B, 1.96%, 2/15/2023 289,367 292,543 290,716 Hyundai Auto Receivables Trust 2019-B, 1.93%, 7/15/2022 30,503 30,436 30,610 Hyundai Auto Receivables Trust 2019-B, 2.4%, 6/15/2026 314,000 326,940 328,283 Mercedes-Benz Auto Lease Trust 2018-B, 3.21%, 9/15/2021 5,662 5,683 5,673 Mercedes-Benz Auto Lease Trust 2019-A, 3.1%, 11/15/2021 27,486 27,612 27,600 Santander Drive Auto Receivables Trust 2017-3, 2.76%, 12/15/2022 2,968 2,968 2,973 Santander Drive Auto Receivables Trust 2018-1, 2.96%, 3/15/2024 179,066 179,048 179,926 Santander Drive Auto Receivables Trust 2018-1, 3.32%, 3/15/2024 103,000 102,968 105,377 Santander Drive Auto Receivables Trust 2018-2, 3.35%, 7/17/2023 241,361 243,963 243,399 Santander Retail Auto Lease Trust 2019-B, 2.29%, 4/20/2022 24,900 25,033 25,043 TCF Auto Receivables Owner Trust 2016-PT1, 2.92%, 10/17/2022 91,454 91,236 91,538 Toyota Auto Receivables 2018-A Owner Trust, 2.35%, 5/16/2022 54,318 54,485 54,546 Volkswagen Auto Loan Enhanced Trust 2020-1, 0.93%, 12/20/2022 272,019 272,236 272,728 Westlake Automobile Receivables Trust 2019-2, 2.57%, 2/15/2023 46,964 46,963 47,173 Westlake Automobile Receivables Trust 2019-2, 3.2%, 11/15/2024 74,000 73,993 76,633 Westlake Automobile Receivables Trust 2020-1, 2.52%, 4/15/2025 193,000 192,975 198,377 Westlake Automobile Receivables Trust 2020-2, 0.93%, 2/15/2024 469,182 469,157 470,858 World Omni Auto Receivables Trust 2017-A, 1.93%, 9/15/2022 28,817 28,804 28,906 World Omni Auto Receivables Trust 2018-B, 2.87%, 7/17/2023 62,875 63,850 63,769 Total Auto 6,417,408 6,458,206
Credit Cards - 1.5% American Express Credit Account Master Trust, 3.06%, 2/15/2024 655,000 654,901 665,061 Capital One Multi-Asset Execution Trust, 0.791%, 5/15/2028 122,000 114,680 119,747 Citibank Credit Card Issuance Trust, 2.49%, 1/20/2023 142,000 143,908 142,175 Master Credit Card Trust II Series 2018-1, 0.62%, 7/21/2024 100,000 100,000 100,285 Synchrony Credit Card Master Note Trust, 2.21%, 5/15/2024 119,000 119,855 119,846 World Financial Network Credit Card Master Trust, 2.03%, 4/15/2025 44,000 43,620 44,336 World Financial Network Credit Card Master Trust, 3.07%, 12/16/2024 315,000 315,443 316,030 World Financial Network Credit Card Master Trust, 3.46%, 7/15/2025 129,000 132,578 131,846 Total Credit Cards 1,624,985 1,639,326
Other - 7.5% Ascentium Equipment Receivables 2017-1 Trust, 2.29%, 6/10/2021 1,104 1,104 1,105 Avery Point IV CLO Ltd., 1.818%, 4/25/2026 250,000 250,150 250,053
See Notes to the Financial Statements. 5 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 15.1% (continued) Other - 7.5% (continued) BLUEMOUNTAIN CLO 2012-2 Ltd., 1.274%, 11/20/2028 250,000 $ 248,575 $ 249,986 BSPRT 2018-FL4 Issuer Ltd., 1.177%, 9/15/2035 118,952 118,952 118,521 Diamond Resorts Owner Trust, 4.11%, 10/22/2029 28,021 28,017 28,266 Diamond Resorts Owner Trust 2016-1, 3.08%, 11/20/2028 13,029 13,029 13,041 DRB Prime Student Loan Trust 2015-D, 3.2%, 1/25/2040 53,574 53,953 54,037 GREYWOLF CLO VII Ltd., 1.404%, 10/20/2031 250,000 249,550 249,479 Halcyon Loan Advisors Funding 2015-3 Ltd., 1.123%, 10/18/2027 278,502 273,768 277,014 Hardee's Funding LLC, 4.959%, 6/20/2048 142,715 142,715 153,050 Hardee's Funding LLC, 5.71%, 6/20/2048 72,248 75,984 79,086 KKR Clo 17 Ltd., 1.891%, 4/15/2029 250,000 247,500 250,012 Lending Funding Trust 2020-2, 2.32%, 4/21/2031 248,000 247,977 252,027 Longtrain Leasing III LLC 2015-1, 4.06%, 1/15/2045 98,019 100,607 100,524 Madison Park Funding XI Ltd., 1.378%, 7/23/2029 250,000 245,875 250,082 Marble Point CLO XVII Ltd., 1.518%, 4/20/2033 250,000 250,000 250,276 Mountain View CLO 2017-1 LLC, 1.313%, 10/16/2029 250,000 250,000 247,898 Mountain View CLO X Ltd., 1.045%, 10/13/2027 240,336 236,130 238,688 MP CLO IV Ltd., 2.068%, 7/25/2029 250,000 248,250 248,649 Navient Private Education Refi Loan Trust 2018-D, 4%, 12/15/2059 93,140 92,813 98,847 Newark BSL CLO 1 Ltd., 2.213%, 12/21/2029 250,000 246,875 246,507 Oaktree CLO 2015-1 Ltd., 1.094%, 10/20/2027 192,815 192,815 192,291 Octagon Investment Partners 29 Ltd., 1.398%, 1/24/2033 250,000 250,000 249,205 OneMain Financial Issuance Trust 2018-2, 3.57%, 3/14/2033 248,000 262,880 262,499 OneMain Financial Issuance Trust 2020-2, 1.75%, 9/14/2035 365,000 364,969 372,804 Orec 2018-CRE1 Ltd., 1.307%, 6/15/2036 125,000 125,000 123,206 OZLM VIII Ltd., 1.393%, 10/17/2029 248,048 247,970 247,897 Palmer Square Loan Funding 2018-1 Ltd., 0.841%, 4/15/2026 405,624 398,810 404,602 Palmer Square Loan Funding 2020-1 Ltd., 1.024%, 2/20/2028 229,934 224,301 229,473 Pennsylvania Higher Education Assistance Agency, 0.488%, 4/25/2038 28,566 27,389 27,117 PFS Financing Corp, 3.08%, 2/15/2023 100,000 99,974 100,088 Race Point IX CLO Ltd., 1.451%, 10/15/2030 248,682 248,707 248,807 Salem Fields CLO Ltd. 2016-2, 1.365%, 10/25/2028 250,000 237,625 250,005 SCF Equipment Leasing 2017-2 LLC, 3.41%, 12/20/2023 13,488 13,486 13,544 SCF Equipment Leasing 2018-1 LLC, 3.63%, 10/20/2024 34,102 34,102 34,214 SCF Equipment Leasing 2019-1 LLC, 3.92%, 11/20/2026 262,000 261,907 263,754 SCF Equipment Leasing 2019-2 LLC, 2.76%, 8/20/2026 185,000 184,978 193,393 SCF Equipment Leasing 2019-2 LLC, 3.11%, 6/21/2027 134,000 133,996 140,058 Seneca Park CLO Ltd. 2014-1, 1.338%, 7/17/2026 3,719 3,719 3,719 Shackleton 2015-VIII CLO Ltd., 2.923%, 10/20/2027 250,000 242,750 246,591
See Notes to the Financial Statements. 6 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 15.1% (continued) Other - 7.5% (continued) SLC Student Loan Trust 2008-1, 1.817%, 12/15/2032 110,256 $ 113,675 $ 112,689 TCI-Flatiron CLO 2016-1 Ltd., 1.386%, 1/17/2032 250,000 250,000 250,125 Towd Point Asset Trust 2018-SL1, 0.73%, 1/25/2046 67,902 67,629 67,327 TPG Real Estate Finance 2018-FL2 Issuer Ltd., 1.257%, 11/15/2037 126,987 126,987 126,970 Tralee CLO III Ltd., 1.254%, 10/20/2027 128,145 128,145 127,881 Total Other 7,863,638 7,945,407 Total Asset-Backed Securities 15,906,031 16,042,939
Collateralized Mortgage Obligations - 2.5% Angel Oak Mortgage Trust 2020-1, 2.466%, 12/25/2059 40,301 40,300 40,736 Credit Suisse Mortgage Capital Certificates, 1.616%, 4/25/2065 177,972 177,971 179,093 CSMC 2020-AFC1 Trust, 2.24%, 2/25/2050 91,539 91,539 93,155 Deephaven Residential Mortgage Trust 2019-3, 2.964%, 7/25/2059 110,869 110,384 112,177 Deephaven Residential Mortgage Trust 2019-4, 2.791%, 10/25/2059 71,188 70,654 72,518 Deephaven Residential Mortgage Trust 2020-1, 2.339%, 1/25/2060 74,226 74,226 75,227 Deephaven Residential Mortgage Trust 2020-2, 1.692%, 5/25/2065 165,279 165,278 166,402 Ellington Financial Mortgage Trust 2020-1, 2.006%, 5/25/2065 170,684 170,682 173,550 GCAT 2019-NQM2 Trust, 2.247%, 1/25/2060 76,654 76,653 78,615 GCAT 2020-NQM2 Trust, 1.555%, 4/25/2065 186,003 186,000 187,433 New Residential Mortgage Loan Trust 2019-NQM3, 2.802%, 7/25/2049 93,980 93,157 95,263 New Residential Mortgage Loan Trust 2020-NQM1, 2.464%, 1/26/2060 77,959 77,959 79,805 Residential Mortgage Loan Trust 2020-1, 2.376%, 2/25/2024 82,764 82,763 84,525 Sequoia Mortgage Trust 2012-4, 2.069%, 9/25/2042 12,176 12,176 12,334 Starwood Mortgage Residential Trust 2020-1, 2.275%, 2/25/2050 70,943 70,942 72,593 Starwood Mortgage Residential Trust 2020-3, 1.486%, 4/25/2065 232,503 232,500 234,385 Verus Securitization Trust 2020-1, 2.417%, 1/25/2060 149,026 147,907 151,989 Verus Securitization Trust 2020-4, 1.502%, 5/25/2065 180,009 180,006 181,594 Verus Securitization Trust 2020-INV1, 1.977%, 3/25/2060 165,788 165,787 168,395 Vista Point Securitization Trust 2020-1, 1.763%, 3/25/2065 257,870 257,866 260,250 Vista Point Securitization Trust 2020-2, 1.475%, 4/25/2065 135,395 135,393 136,227 Total Collateralized Mortgage Obligations 2,620,143 2,656,266
Corporate Bonds - 28.3% Basic Materials - 0.7% Anglo American Capital plc, 4.75%, 4/10/2027 200,000 202,988 236,168 Freeport-McMoRan Inc., 4.125%, 3/1/2028 98,000 96,545 102,961
See Notes to the Financial Statements. 7 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 28.3% (continued) Basic Materials - 0.7% (continued) Glencore Finance (Canada) Limited, 5.55%, 10/25/2042 161,000 $ 171,456 $ 198,117 Nutrition & Biosciences, Inc., 1.832%, 10/15/2027 64,000 63,999 65,975 Suzano Austria GmbH, 3.75%, 1/15/2031 113,000 113,701 120,034 Total Basic Materials 648,689 723,255
Communications - 2.9% Amazon.com, Inc., 2.5%, 6/3/2050 125,000 128,523 129,703 AT&T Inc., 3.5%, 9/15/2053 136,000 135,244 136,007 AT&T Inc., 4.3%, 2/15/2030 742,000 869,573 887,002 Baidu, Inc., 2.375%, 10/9/2030 200,000 200,000 205,494 Comcast Corporation, 4.95%, 10/15/2058 148,000 209,575 224,715 Cox Communications, Inc., 8.375%, 3/1/2039 233,000 321,579 401,643 Meituan, 3.05%, 10/28/2030 200,000 199,726 208,120 Netflix, Inc., 6.375%, 5/15/2029 79,000 93,206 97,664 Ooredoo International Finance Limited, 3.75%, 6/22/2026 200,000 208,250 224,094 Prosus N.V., 3.832%, 2/8/2051 200,000 199,984 196,448 Time Warner Cable, LLC, 7.3%, 7/1/2038 266,000 341,374 394,653 Total Communications 2,907,034 3,105,543
Consumer, Cyclical - 1.3% BMW US Capital LLC, 3.9%, 4/9/2025 174,000 173,702 195,968 BorgWarner Inc., 2.65%, 7/1/2027 59,000 58,834 63,472 British Airways 2020-1 Class A Pass Through Trust, 4.25%, 11/15/2032 38,000 38,000 40,796 General Motors Company, 6.6%, 4/1/2036 330,000 374,996 451,743 NVR, Inc., 3%, 5/15/2030 238,000 243,978 260,546 PulteGroup, Inc., 6.375%, 5/15/2033 37,000 45,521 50,843 Volkswagen Group of America Finance, LLC, 3.35%, 5/13/2025 200,000 219,894 220,007 Walgreens Boots Alliance, Inc., 3.2%, 4/15/2030 96,000 95,992 104,436 Total Consumer, Cyclical 1,250,917 1,387,811
Consumer, Non-cyclical - 6.5% AbbVie Inc., 3.25%, 10/1/2022 141,000 147,073 146,917 AbbVie Inc., 4.25%, 11/21/2049 429,000 483,042 539,614 Adventist Health System/West, 2.952%, 3/1/2029 49,000 48,524 53,193 Advocate Health & Hospitals Corp., 3.387%, 10/15/2049 87,000 88,088 98,770 Alcon Finance Corporation, 2.6%, 5/27/2030 400,000 401,584 426,534 Anheuser-Busch InBev Worldwide Inc., 4.7%, 2/1/2036 351,000 431,088 445,704 Anthem, Inc., 2.25%, 5/15/2030 291,000 302,026 309,291
See Notes to the Financial Statements. 8 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 28.3% (continued) Consumer, Non-cyclical - 6.5% (continued) AstraZeneca PLC, 4.375%, 8/17/2048 60,000 $ 82,711 $ 80,370 B.A.T Capital Corporation, 3.557%, 8/15/2027 134,000 119,032 149,235 B.A.T Capital Corporation, 4.39%, 8/15/2037 154,000 152,361 172,401 B.A.T Capital Corporation, 4.7%, 4/2/2027 67,000 67,000 78,860 Bayer Corporation, 6.65%, 2/15/2028 74,000 90,284 95,787 Bayer US Finance II LLC, 4.375%, 12/15/2028 225,000 254,943 264,708 Biogen Inc., 2.25%, 5/1/2030 477,000 481,854 498,495 Boston Scientific Corporation, 2.65%, 6/1/2030 233,000 232,653 250,210 CommonSpirit Health, 3.347%, 10/1/2029 276,000 277,714 303,471 CoStar Group, Inc., 2.8%, 7/15/2030 52,000 51,959 54,089 CVS Health Corporation, 3.625%, 4/1/2027 229,000 255,526 260,856 DaVita Inc., 3.75%, 2/15/2031 130,000 129,350 132,241 HCA Inc., 5.25%, 6/15/2026 103,000 121,135 122,010 HCA Inc., 5.5%, 6/15/2047 262,000 322,093 349,970 Kimberly Clark De Mexico S A B De C V, 3.8%, 4/8/2024 100,000 99,817 108,123 Northwell Healthcare, Inc., 3.979%, 11/1/2046 106,000 113,970 121,722 PayPal Holdings, Inc., 2.85%, 10/1/2029 368,000 404,321 409,346 Pepperdine University, 3.301%, 12/1/2059 40,000 40,000 42,878 Quest Diagnostics Incorporated, 2.8%, 6/30/2031 195,000 199,398 213,949 Regeneron Pharmaceuticals, Inc., 1.75%, 9/15/2030 306,000 304,543 301,687 Royalty Pharma plc, 1.75%, 9/2/2027 113,000 111,061 116,366 Stryker Corporation, 1.95%, 6/15/2030 483,000 482,752 497,336 UnitedHealth Group Incorporated, 3.5%, 8/15/2039 86,000 97,446 102,311 Universal Health Services, Inc., 5%, 6/1/2026 40,000 39,300 41,442 Zimmer Biomet Holdings, Inc., 5.75%, 11/30/2039 41,000 50,101 53,903 Total Consumer, Non-cyclical 6,482,749 6,841,789
Energy - 2.1% Apache Corporation, 4.75%, 4/15/2043 182,000 171,059 189,051 Baker Hughes a GE Co. LLC, 3.138%, 11/7/2029 125,000 137,011 137,351 Continental Resources, Inc., 5%, 9/15/2022 32,000 31,840 32,080 Diamondback Energy, Inc., 4.75%, 5/31/2025 41,000 41,331 46,194 Empresa Nacional del Petroleo, 3.75%, 8/5/2026 200,000 207,000 218,857 Eni SpA, 5.7%, 10/1/2040 305,000 308,571 387,796 Equinor ASA, 7.15%, 11/15/2025 103,000 125,709 131,684 Galaxy Pipeline Assets Bidco Limited, 3.25%, 9/30/2040 200,000 200,000 211,606 Halliburton Company, 7.45%, 9/15/2039 170,000 236,121 244,620
See Notes to the Financial Statements. 9 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 28.3% (continued) Energy - 2.1% (continued) Northern Natural Gas Company, 4.3%, 1/15/2049 46,000 $ 45,992 $ 55,999 NOV Inc., 3.6%, 12/1/2029 201,000 202,072 210,471 Saudi Arabian Oil Co., 2.875%, 4/16/2024 200,000 198,278 212,432 Shell International Finance B.V., 6.375%, 12/15/2038 102,000 126,050 158,758 Total Energy 2,031,034 2,236,899
Financials - 8.0% AerCap Global Aviation Trust, 3.875%, 1/23/2028 359,000 364,924 388,034 Affiliated Managers Group, Inc., 3.5%, 8/1/2025 26,000 25,737 28,928 Ally Financial Inc., 8%, 11/1/2031 269,000 382,566 395,435 Ameriprise Financial, Inc., 3%, 4/2/2025 139,000 141,639 151,534 Avolon Holdings Funding Limited, 4.25%, 4/15/2026 41,000 40,990 44,203 Avolon Holdings Funding Limited, 5.25%, 5/15/2024 334,000 359,361 363,489 Banco de Credito e Inversiones S.A., 3.5%, 10/12/2027 200,000 197,577 221,717 Bank of America Corporation, 3.593%, 7/21/2028 ^ 206,000 231,088 234,066 Bank of America Corporation, 3.97%, 3/5/2029 ^ 254,000 296,103 296,282 Bank of America Corporation, 4%, 1/22/2025 95,000 96,963 106,808 Bank of America Corporation, 4.25%, 10/22/2026 200,000 221,008 234,728 Bank of America Corporation, 4.45%, 3/3/2026 66,000 68,060 76,951 Citigroup Inc., 2.666%, 1/29/2031 ^ 415,000 428,195 445,512 Citigroup Inc., 3.887%, 1/10/2028 ^ 366,000 409,029 420,621 Citigroup Inc., 4.45%, 9/29/2027 81,000 84,642 95,556 Development Bank of Japan Inc., 1%, 8/27/2030 212,000 210,796 210,064 Goldman Sachs Group, Inc./The, 6.25%, 2/1/2041 100,000 155,712 156,611 Healthcare Realty Trust Incorporated, 2.4%, 3/15/2030 62,000 61,792 64,782 JPMorgan Chase & Co., 3.782%, 2/1/2028 ^ 925,000 1,011,662 1,063,933 Kookmin Bank, 1.75%, 5/4/2025 200,000 198,840 208,063 Macquarie Group Limited, 4.654%, 3/27/2029 ^ 180,000 179,681 210,733 Morgan Stanley, 3.625%, 1/20/2027 68,000 68,835 78,086 Morgan Stanley, 3.875%, 1/27/2026 256,000 263,279 293,722 Morgan Stanley, 4.431%, 1/23/2030 ^ 119,000 144,364 145,110 Morgan Stanley, 7.25%, 4/1/2032 19,000 24,307 29,315 Neuberger Berman Group LLC, 4.5%, 3/15/2027 81,000 80,692 91,574 Neuberger Berman Group LLC, 4.875%, 4/15/2045 43,000 41,626 48,834 Park Aerospace Holdings Limited, 5.5%, 2/15/2024 220,000 237,826 240,076 Quicken Loans LLC, 3.625%, 3/1/2029 56,000 56,000 57,225 Teachers Insurance & Annuity Association of America, 4.9%, 9/15/2044 247,000 267,942 334,920 Toronto-Dominion Bank/The, 3.625%, 9/15/2031 ^ 183,000 180,954 207,506
See Notes to the Financial Statements. 10 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 28.3% (continued) Financials - 8.0% (continued) UBS AG, 5.125%, 5/15/2024 200,000 $ 216,798 $ 220,950 VEREIT Operating Partnership, L.P., 4.875%, 6/1/2026 330,000 350,664 387,102 WEA Finance LLC, 2.875%, 1/15/2027 184,000 185,538 189,181 Wells Fargo & Company, 2.393%, 6/2/2028 ^ 361,000 381,174 384,513 Wells Fargo Bank, National Association, 5.85%, 2/1/2037 250,000 306,130 355,948 Total Financials 7,972,494 8,482,112
Industrials - 1.8% BAE Systems PLC, 3.4%, 4/15/2030 200,000 216,718 226,813 Ball Corporation, 2.875%, 8/15/2030 196,000 195,893 195,755 Boeing Company/The, 4.875%, 5/1/2025 416,000 433,080 474,481 Boeing Company/The, 5.04%, 5/1/2027 347,000 367,416 406,062 Huntington Ingalls Industries, Inc., 3.844%, 5/1/2025 63,000 62,997 70,167 IDEX Corporation, 3%, 5/1/2030 143,000 147,554 157,537 nVent Finance S.a r.l., 4.55%, 4/15/2028 215,000 214,236 233,782 Owens Corning, 3.95%, 8/15/2029 79,000 81,295 91,165 Owens Corning, 4.3%, 7/15/2047 32,000 34,820 38,529 Total Industrials 1,754,009 1,894,291
Technology - 1.5% Broadcom Corp / Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 377,000 412,245 423,830 Dell International LLC / EMC Corp., 6.02%, 6/15/2026 121,000 120,949 147,809 Dell International LLC / EMC Corp., 8.35%, 7/15/2046 87,000 109,146 131,620 NXP BV / NXP Funding LLC / NXP USA Inc., 3.15%, 5/1/2027 531,000 546,269 585,721 Oracle Corporation, 6.125%, 7/8/2039 143,000 208,172 220,600 ServiceNow, Inc., 1.4%, 9/1/2030 96,000 95,641 93,722 Total Technology 1,492,422 1,603,302
Utilities - 3.5% Ameren Corporation, 3.5%, 1/15/2031 183,000 191,203 210,686 Berkshire Hathaway Energy Company, 3.8%, 7/15/2048 261,000 269,181 312,542 CenterPoint Energy Resources Corp., 1.75%, 10/1/2030 210,000 209,885 212,364 Cleco Corporate Holdings LLC, 4.973%, 5/1/2046 76,000 75,687 89,078 Dominion Energy South Carolina, Inc., 6.05%, 1/15/2038 58,000 68,008 86,230 Dominion Energy South Carolina, Inc., 6.625%, 2/1/2032 33,000 42,246 47,738 DTE Electric Company, 2.625%, 3/1/2031 301,000 300,494 333,627 Eastern Energy Gas Holdings, LLC, 4.6%, 12/15/2044 55,000 61,308 69,349 Emera US Finance LP, 4.75%, 6/15/2046 168,000 183,026 215,188 ENN Energy Holdings Limited, 2.625%, 9/17/2030 200,000 198,328 201,264 See Notes to the Financial Statements. 11 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 28.3% (continued) Utilities - 3.5% ( continued) Cleveland Electric Illuminating Company/The, 3.5%, 4/1/2028 103,000 $ 101,310 $ 109,642 Essential Utilities, Inc., 3.566%, 5/1/2029 134,000 134,234 153,973 Interstate Power and Light Company, 3.5%, 9/30/2049 96,000 114,735 111,194 Liberty Utilities Finance GP1, 2.05%, 9/15/2030 152,000 151,605 153,026 NiSource Inc., 3.49%, 5/15/2027 370,000 388,437 419,982 NRG Energy, Inc., 5.25%, 6/15/2029 95,000 99,721 104,720 Oglethorpe Power Corporation (An Electric Membership Corporation), 5.95%, 11/1/2039 56,000 72,826 74,093 Ohio Edison Company, 8.25%, 10/15/2038 50,000 74,015 76,081 Oklahoma Gas and Electric Company, 3.3%, 3/15/2030 65,000 64,810 74,396 Pennsylvania Electric Company, 3.6%, 6/1/2029 73,000 72,861 80,032 PSEG Power LLC, 8.625%, 4/15/2031 205,000 307,669 312,830 Tucson Electric Power Company, 1.5%, 8/1/2030 154,000 153,376 152,617 Union Electric Company, 2.625%, 3/15/2051 128,000 127,388 134,175 Total Utilities 3,462,353 3,734,827 Total Corporate Bonds 28,001,701 30,009,829
Mortgage-Backed Securities - 30.3% Atrium Hotel Portfolio Trust 2018-ATRM, 1.076%, 6/15/2035 100,000 100,000 98,182 BBCMS 2019-BWAY Mortgage Trust, 1.082%, 11/15/2034 84,000 83,433 82,145 BBCMS 2019-BWAY Mortgage Trust, 1.436%, 11/15/2034 37,000 36,759 35,884 BX Commercial Mortgage Trust 2018-BIOA, 0.797%, 3/15/2037 221,000 219,640 221,555 BX Trust 2018-GW, 0.926%, 5/15/2035 184,000 183,770 181,407 Citigroup Commercial Mortgage Trust 2016-P3, 2.804%, 4/15/2049 44,000 29,762 29,903 COMM 2014-CCRE19 Mortgage Trust, 0.971%, 8/10/2047 136,482 6,748 3,820 COMM 2015-PC1-B Mortgage Trust, 4.32%, 7/10/2050 360,000 361,518 384,359 COMM 2015-PC1-C Mortgage Trust, 4.32%, 7/10/2050 222,000 221,483 217,569 COMM 2015-PC1-D Mortgage Trust, 4.32%, 7/10/2050 110,000 83,705 90,614 COMM 2016-COR1 Mortgage Trust, 3.494%, 10/10/2049 38,000 39,499 41,895 CSAIL 2015-C2 Commercial Mortgage Trust, 4.189%, 6/15/2057 140,000 138,688 117,174 CSAIL 2019-C18 Commercial Mortgage Trust, 3.321%, 12/15/2052 90,260 92,967 99,813 CSMC Series 2019-UVIL, 0.124%, 12/15/2041 16,362,886 226,888 201,624 CSMC Series 2019-UVIL, 3.16%, 12/15/2041 84,000 86,520 85,095 DBWF 2018-GLKS Mortgage Trust, 1.16%, 12/19/2030 122,000 120,700 120,883 Fannie Mae 30 YR 2.5 Single Family Mortgage, 2.5%, 1/14/2051 1,951,000 2,040,929 2,056,473 Fannie Mae 30 YR 3 Single Family Mortgage, 3%, 1/14/2051 8,400,000 8,788,574 8,800,264 Fannie Mae 30 YR 3.5 Single Family Mortgage, 3.5%, 1/14/2051 9,300,000 9,816,186 9,830,133
See Notes to the Financial Statements. 12 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 30.3% (continued) Fannie Mae 30 YR 4 Single Family Mortgage, 4%, 1/14/2051 4,463,000 $ 4,757,453 $ 4,766,337 Fannie Mae Pool BH2675, 3.5%, 9/1/2047 860,573 883,701 931,919 Fannie Mae Pool CA5347, 3.5%, 3/1/2050 527,538 541,716 574,977 Fannie Mae Pool FM1738, 4%, 1/1/2048 ^ 208,959 225,676 235,573 Freddie Mac Multifamily Structured Pass Through Certificates, 2.179%, 2/25/2032 729,244 122,489 83,586 Freddie Mac Pool SD0119, 4%, 10/1/2049 169,277 183,613 191,235 Government National Mortgage Association, 2.9%, 2/16/2049 178,288 180,885 187,466 Government National Mortgage Association, 2.9%, 2/16/2053 22,846 23,056 24,001 Great Wolf Trust 2019-WOLF, 1.16%, 12/15/2036 285,000 279,941 279,362 GS Mortgage Securities Corp. Trust 2018-RIVR, 1.076%, 7/15/2035 99,828 99,828 96,106 GS Mortgage Securities Trust 2015-GC32, 4.344%, 7/10/2048 43,000 41,712 45,590 Hilton Orlando Trust 2018-ORL, 1.047%, 12/15/2034 217,000 217,000 213,225 Hudsons Bay Simon JV Trust 2015-HBS, 4.155%, 8/5/2034 100,000 103,016 82,395 Hudsons Bay Simon JV Trust 2015-HBS, 5.159%, 8/5/2034 140,000 137,363 93,500 JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT, 1.063%, 7/5/2033 295,206 294,468 291,107 JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ, 1.126%, 6/15/2032 121,342 121,342 119,880 JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ, 1.426%, 6/15/2032 127,200 127,240 124,441 JP Morgan Chase Commercial Mortgage SecuritiesTrust 2018-MINN, 2.02%, 11/15/2035 66,000 66,000 63,955 JPMBB Commercial Mortgage Securities Trust 2015-C30, 4.267%, 7/15/2048 185,000 169,407 188,564 PFP 2019-6 Ltd., 1.177%, 4/14/2037 102,500 102,500 101,553 ReadyCap Commercial Mortgage Trust 2019-6, 2.833%, 10/25/2052 67,443 67,443 68,982 SFAVE Commercial Mortgage Securities Trust 2015-5AVE, 3.872%, 1/5/2043 100,000 96,880 102,985 UBS-Barclays Commercial Mortgage Trust 2012-C2, 3.525%, 5/10/2063 116,000 116,625 119,608 UBS-Barclays Commercial Mortgage Trust 2012-C3, 4.365%, 8/10/2049 100,000 103,063 103,639 Wells Fargo Commercial Mortgage Trust 2015-C29, 0.614%, 6/15/2048 1,779,606 69,643 42,266 Wells Fargo Commercial Mortgage Trust 2016-C35, 4.176%, 7/15/2048 103,000 102,842 101,743 Wells Fargo Commercial Mortgage Trust 2017-C41, 3.785%, 11/15/2050 64,000 68,085 69,120 Total Mortgage-Backed Securities 31,980,756 32,001,907
Municipal Bonds - 2.0% California Health Facilities Financing Authority, 3.034%, 6/1/2034 50,000 50,249 53,411 Chicago O'Hare International Airport, 3.006%, 1/1/2038 55,000 55,736 55,710
See Notes to the Financial Statements. 13 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Municipal Bonds - 2.0% (continued) City of Atlanta GA Water & Wastewater Revenue, 2.257%, 11/1/2035 415,000 $ 418,252 $ 436,173 County of Miami-Dade FL, 2.786%, 10/1/2037 30,000 30,126 30,675 District of Columbia, 5.591%, 12/1/2034 125,000 154,754 169,083 Foothill-Eastern Transportation Corridor Agency, 4.094%, 1/15/2049 89,000 89,980 95,790 Massachusetts School Building Authority, 2.95%, 5/15/2043 390,000 404,360 405,354 Massachusetts School Building Authority, 3.395%, 10/15/2040 125,000 126,615 134,570 Metropolitan District/The, 2.562%, 4/1/2039 93,000 93,000 94,349 Michigan Finance Authority, 3.084%, 12/1/2034 130,000 130,866 143,646 New Jersey Educational Facilities Authority, 3.636%, 9/1/2029 78,000 81,535 84,736 New Jersey Educational Facilities Authority, 3.836%, 9/1/2036 94,000 98,167 103,207 Permanent University Fund - Texas A&M University System, 3.66%, 7/1/2047 95,000 97,454 105,089 Regents of the University of California Medical Center Pooled Revenue, 3.006%, 5/15/2050 50,000 50,000 53,168 State of California, 7.3%, 10/1/2039 30,000 46,051 49,574 State of California, 7.625%, 3/1/2040 50,000 80,725 86,878 Total Municipal Bonds 2,007,870 2,101,413
Sovereign Bonds - 2.5% China Government International Bond, 2.25%, 10/21/2050 200,000 197,414 198,690 Indonesia Government International Bond, 3.4%, 9/18/2029 200,000 208,120 224,034 Japan Treasury Discount Bill, 0%, 2/22/2021 200,000,000 1,911,802 1,937,426 Peruvian Government International Bond, 2.392%, 1/23/2026 44,000 45,452 47,014 Saudi Government International Bond, 3.25%, 10/26/2026 225,000 229,838 249,649 Total Sovereign Bonds 2,592,626 2,656,813
U.S. Treasury Bills, Bonds and Notes - 38.5% United States Treasury Bill, 0%, 2/4/2021 8,029,000 8,027,817 8,028,689 United States Treasury Bill, 2.5%, 1/31/2021 6,999,000 7,055,305 7,011,162 United States Treasury Bond, 1.125%, 5/15/2040 2,971,000 2,826,848 2,817,808 United States Treasury Bond, 1.625%, 11/15/2050 1,387,000 1,373,245 1,379,090 United States Treasury Bond, 2.75%, 11/15/2047 399,000 385,318 499,857 United States Treasury Bond, 3.625%, 8/15/2043 190,000 239,309 267,945 United States Treasury Note, 0.125%, 10/31/2022 6,102,000 6,102,528 6,103,192 United States Treasury Note, 0.125%, 12/15/2023 6,338,000 6,322,155 6,330,325 United States Treasury Note, 0.25%, 10/31/2025 7,408,000 7,367,041 7,375,301 United States Treasury Note, 0.875%, 11/15/2030 279,000 279,654 277,954 United States Treasury Note, 0.625%, 8/15/2030 509,000 494,784 496,036 Total U.S. Treasury Bills, Bonds and Notes 40,474,004 40,587,359
See Notes to the Financial Statements. 14 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Money Market Fund - 5.0% State Street Institutional Treasury Plus Money Market Fund - Premier Class 5,319,019 $ 5,319,019 $ 5,319,019 Total Investments - 124.2% $ 128,902,150 131,375,545 Other Assets and Liabilities, Net - (24.2%) (25,601,831) Net Assets - 100% $ 105,773,714
Futures Number of Value as of Unrealized Contracts Expiration December 31, Appreciation Long (Short) Date 2020 (Depreciation) Futures in gain position United States 2-Year Treasury Note Future 13 3/31/2021 $ 2,872,695 $ 2,337 United States 5-Year Treasury Note Future 37 3/31/2021 4,668,070 13,008 United States Ultra Bond Future 27 3/22/2021 5,766,188 47,850 13,306,953 63,195 Futures in loss position United States 10-Year Treasury Note Future (14) 3/22/2021 (1,933,094) (6,562) United States Long Bond Future (16) 3/22/2021 (2,771,000) (12,000) (4,704,094) (18,562) $ 8,602,859 $ 44,633
Forward Foreign Currency Contract Unrealized Settlement Currency Currency Appreciation Counterparty Date Purchased Sold (Depreciation) Toronto Dominion Bank 2/22/2021 USD 1,912,549 JPY 200,000,000 $ (26,598) $ (26,598)
See Notes to the Financial Statements. 15 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
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 United States $ 116,437,645 110.1% Cayman Islands 5,679,490 5.4% Japan 2,147,490 2.0% Ireland 1,035,802 1.0% Netherlands 940,927 0.9% China 813,568 0.8% United Kingdom 584,147 0.6% Canada 505,908 0.5% Saudi Arabia 462,081 0.4% Chile 440,574 0.4% Italy 387,796 0.4% Luxembourg 233,782 0.2% Bermuda 224,094 0.2% Indonesia 224,034 0.2% Switzerland 220,950 0.2% United Arab Emirates 211,606 0.2% Australia 210,733 0.2% Korea 208,063 0.2% Norway 131,684 0.1% Brazil 120,034 0.1% Mexico 108,123 0.1% Peru 47,014 0.0% $ 131,375,545 124.2%
See Notes to the Financial Statements. 16 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Schedule of Investments (continued) December 31, 2020
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, 2020 (see Note 3):
Fair Value Measurements Level 1 Level 2 Level 3 Total Assets: Asset-Backed Securities $ - $ 16,042,939 $ - $ 16,042,939 Collateralized Mortgage Obligations - 2,656,266 - 2,656,266 Corporate Bonds - 30,009,829 - 30,009,829 Futures 63,195 - - 63,195 * Mortgage-Backed Securities - 32,001,907 - 32,001,907 Municipal Bonds - 2,101,413 - 2,101,413 Sovereign Bonds - 2,656,813 - 2,656,813 U.S. Treasury Bills, Bonds and Notes - 40,587,359 - 40,587,359 Money Market Fund 5,319,019 - - 5,319,019 $ 5,382,214 $ 126,056,526 $ - $ 131,438,740
Liabilities: Forward Foreign Currency Contract $ - $ (26,598) $ - $ (26,598) Futures (18,562) - - (18,562) * $ (18,562) $ (26,598) $ - $ (45,160)
*Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments.
Concentration of Ownership: As of December 31, 2020, the Fund had four unitholders holding 10% or more of the outstanding units of the Fund, and aggregated to 97.4% of the Fund's total units outstanding.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:
Purchases Sales Realized at Cost Proceeds Gain
Investments $ 635,013,523 $ 630,985,809 $ 4,143,403
See Notes to the Financial Statements. 17 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Statement of Assets and Liabilities December 31, 2020 Assets Investments in securities, at fair value (cost $128,902,150) $ 131,375,545 Cash held at broker 201,051 Dividends and interest receivable 430,429 Receivable for investment securities sold 55,840 Receivable for reimbursement 9,209 Variation margin receivable on futures 7,954 Receivable for fund units sold 4,621 Miscellaneous receivable 3,967 Total assets 132,088,616 Liabilities and Net Assets Payable for investment securities purchased 26,223,746 Unrealized depreciation on forward foreign currency contract 26,598 Payable for fund units redeemed 85 Accrued expenses 64,473 Total liabilities 26,314,902 Net assets $ 105,773,714
Statement of Operations For the year ended December 31, 2020 Investment income Interest $ 2,142,723 Expenses Trustee and sub-advisor fees 216,695 Professional services and other operating expenses 56,054 Expense reimbursement from sub-advisor (32,430) Total expenses 240,319 Net investment income 1,902,404 Net realized gain (loss) on: Investments 4,143,403 Swaps 44,885 Futures (533) Foreign currency transactions (10,905) Net change in unrealized appreciation (depreciation) on: Investments 946,270 Futures 44,633 Forward foreign currency contracts (46,056) Swaps (43,860) Net realized and unrealized gain on investments and foreign currency transations 5,077,837 Net increase in net assets resulting from operations $ 6,980,241
See Notes to the Financial Statements. 18 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Statement of Changes in Net Assets For the year ended December 31, 2020 Increase in net assets resulting from operations Net investment income $ 1,902,404 Net realized gain on investments and foreign currency transactions 4,176,850 Net change in unrealized appreciation on investments and foreign transactions 900,987 Net increase in net assets resulting from operations 6,980,241 Fund unit transactions Proceeds from units issued Class MQ ^ 13,750,000 Class R 5,840,442 Class SG ^ 3,314,364 Total proceeds from units issued 22,904,806 Value of units redeemed Class R (11,710,000) Class SG ^ (860,036) Total value of units redeemed (12,570,036) Increase in net assets resulting from fund unit transactions 10,334,770 Increase in net assets 17,315,011 Net assets, beginning of year 88,458,703 Net assets, end of year $ 105,773,714
^Class MQ and Class SG funded on 12/15/2020 and 1/2/2020, respectively.
See Notes to the Financial Statements. 19 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Core Fixed Income Trust II
Financial Highlights For the year ended December 31, 2020 Per Unit Operating Performance Class MQ Class R Class SG Net asset value, beginning of year or at inception $ 11.73 $ 10.86 $ 10.89 Income from investment operations: (1) Net investment income 0.01 0.24 0.22 Net realized and unrealized gain on investments and (1) foreign currency transactions 0.03 0.67 0.66 Total income from investment operations 0.04 0.91 0.88 Net asset value, end of year $ 11.77 $ 11.77 $ 11.77 Total Return 0.34% ^ 8.38% 8.08% ^ Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.23% # 0.31% 0.30% # Net expenses 0.19% # 0.27% 0.23% # Net investment income 1.58% # 2.13% 2.05% # Fund Unit Activity Units, beginning of year - 8,147,340 - Issued 1,172,208 504,722 287,177 Redeemed - (1,048,598) (74,245) Units, end of year 1,172,208 7,603,464 212,932
(1) Based on average units outstanding. ^Not annualized for periods less than one year. Class MQ and Class SG funded on 12/15/2020 and 1/2/2020, respectively. #Annualized except audit expense.
See Notes to the Financial Statements. 20 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments December 31, 2020
Principal Amount or Fair Shares Cost Value
Bank Loan Obligations - 3.7% Basic Materials - 0.1% Diamond (BC) B.V. Term Loan, 3.226%, 9/6/2024 357,876 $ 327,483 $ 353,553
Communications - 0.3% Anastasia Parent LLC Term Loan, 3.951%, 8/10/2025 623,255 427,865 417,693 Delta Topco Inc. Term Loan, 8%, 12/1/2028 382,232 385,718 386,532 NEP Group, Inc. Term Loan, 3.465%, 10/20/2025 645,668 588,435 614,463 Total Communications 1,402,018 1,418,688
Consumer, Cyclical - 1.2% BDF Acquisition Corp. First Lien, 6.25%, 8/15/2023 475,457 435,287 464,365 Britax Child Safety, Inc. Term Loan, 12%, 3/31/2025 56,778 51,642 51,100 Canada Goose Inc. Term Loan, 5%, 10/7/2027 382,115 380,537 382,831 Claire's Stores, Inc. Term Loan B, 6.63%, 12/18/2026 76,297 70,415 64,471 Equinox Holdings, Inc. Term Loan B, 4%, 3/8/2024 712,644 613,844 642,965 Golden Nugget, LLC Term Loan B, 3.25%, 10/4/2023 627,077 559,745 607,455 JetBlue Airways Corporation Term Loan, 6.25%, 6/17/2024 381,525 372,162 393,210 MND Holdings III Corp. Term Loan, 4.5%, 6/19/2024 498,794 452,672 465,594 Montreign Operating Company Bridge Term Loan, 3.395%, 3/22/2021 117,773 105,995 114,927 Party City Holdings Inc. Term Loan B, 3.25%, 8/19/2022 461,711 436,324 429,206 TGP Holdings III LLC Second Lien, 9.5%, 9/25/2025 425,000 434,580 410,125 Topgolf International, Inc. Term Loan B, 5.693%, 2/8/2026 642,165 571,688 650,394 Total Consumer, Cyclical 4,484,891 4,676,643
Consumer, Non-cyclical - 0.9% CCS-CMGC Holdings, Inc. First Lien, 5.738%, 10/1/2025 733,329 622,756 713,162 KUEHG Corp. Second Lien, 9.25%, 8/16/2025 394,116 380,043 378,351 KUEHG Corp. Term Loan B3, 4.75%, 2/21/2025 543,197 505,894 517,870 Midas Intermediate Holdco II LLC Term Loan B, 7.5%, 12/22/2025 418,740 418,003 425,806 Pathway Vet Alliance LLC Delayed Draw Term Loan, 4.113%, 3/31/2027 43,295 42,213 43,344 Pathway Vet Alliance LLC Term Loan, 4.125%, 3/31/2027 530,055 516,770 530,651 Pearl Intermediate Parent LLC First Lien, 2.943%, 2/14/2025 510,415 493,790 500,687 PetVet Care Centers, LLC Term Loan, 3.443%, 2/14/2025 83,452 80,993 82,618 United Physician Management LLC Term Loan, 5%, 12/18/2027 529,580 524,284 528,256 Total Consumer, Non-cyclical 3,584,746 3,720,745
See Notes to the Financial Statements. 21 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Bank Loan Obligations - 3.7% (continued) Energy - 0.3% BCP Raptor II, LLC Term Loan, 4.942%, 11/3/2025 532,633 $ 460,491 $ 482,299 BEP Ulterra Holdings, Inc. Term Loan, 5.373%, 11/26/2025 557,486 512,887 465,501 Brazos Delaware II, LLC First Lien, 4.225%, 5/29/2025 505,633 410,289 442,970 Total Energy 1,383,667 1,390,770
Financials - 0.1% Claros Mortgage Trust, Inc. Term Loan B, 6%, 8/9/2026 484,351 471,637 487,983
Industrials - 0.4% Airxcel, Inc. First Lien, 4.712%, 4/27/2025 435,707 387,966 426,723 Alloy Finco Limited Term Loan B2, 8.5%, 3/6/2024 183,060 169,331 172,534 Energy Acquisition Company, Inc. First Lien, 4.49%, 6/26/2025 395,034 368,466 384,171 LTI Holdings, Inc. Term Loan, 3.726%, 9/6/2025 407,452 382,978 396,866 Robertshaw US Holding Corp. First Lien, 4.25%, 2/28/2025 444,445 413,791 418,057 Total Industrials 1,722,532 1,798,351
Technology - 0.1% Omnitracs, LLC Second Lien, 8.113%, 10/1/2028 404,500 398,196 400,835
Other - 0.3% Drive Chassis HoldCo, LLC 2019 Second Lien Term Loan, 8.474%, 4/10/2026 851,876 805,488 850,015 Doncasters Finance US LLC HoldCo PIK Term Loan, 13.5%, 3/6/2025 278,684 145,351 116,583 Playtika Holding Corp Term Loan B, 7%, 12/10/2024 329,319 322,733 331,959 Total Other 1,273,572 1,298,557 Total Bank Loan Obligations 15,048,742 15,546,125
Common Stocks - 0.1% Consumer, Cyclical - 0.1% Claire's Stores, Inc. 315 340,372 68,906 Gibson Brands, Inc. 2,663 269,803 312,903 Zaxby's Operating Company L.P. 138,601 139,467 139,121 Total Consumer, Cyclical 749,642 520,930
Industrials - 0.0% TNT Crane & Rigging, Inc. 691 13,129 12,438
Other - 0.0% TNT Crane & Rigging Warrant 1,226 4,904 3,065 Total Common Stocks 767,675 536,433 See Notes to the Financial Statements. 22 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Convertible Bonds - 5.0% Communications - 1.2% Lyft, Inc., 1.5%, 5/15/2025 347,000 $ 427,419 $ 515,803 Match Group Financeco 2, Inc., 0.875%, 6/15/2026 250,000 412,358 457,650 MercadoLibre, Inc., 2%, 8/15/2028 141,000 415,641 534,885 Pinduoduo Inc., 0%, 10/1/2024 121,000 245,368 504,748 Q2 Holdings, Inc., 0.75%, 6/1/2026 283,000 398,944 434,870 Snap Inc., 0.25%, 5/1/2025 293,000 393,023 690,715 Uber Technologies Inc., 0%, 12/15/2025 603,000 603,000 619,907 Wayfair Inc., 0.625%, 10/1/2025 610,000 613,425 578,666 Zillow Group, Inc., 0.75%, 9/1/2024 241,000 522,683 719,580 Total Communications 4,031,861 5,056,824
Consumer, Cyclical - 0.4% Live Nation Entertainment, Inc., 2%, 2/15/2025 394,000 395,086 420,885 Southwest Airlines Co., 1.25%, 5/1/2025 415,000 613,004 604,863 Tesla, Inc., 2%, 5/15/2024 65,000 340,966 739,174 Total Consumer, Cyclical 1,349,056 1,764,922
Consumer, Non-cyclical - 0.7% Chefs' Warehouse, Inc./The, 1.875%, 12/1/2024 487,000 445,785 471,329 Insmed Incorporated, 1.75%, 1/15/2025 477,000 532,805 537,680 Nevro Corp., 1.75%, 6/1/2021 800,000 990,094 1,441,834 Repligen Corporation, 0.375%, 7/15/2024 231,000 372,276 405,405 Total Consumer, Non-cyclical 2,340,960 2,856,248
Energy - 0.5% Enphase Energy, Inc., 1%, 6/1/2024 193,000 421,225 1,644,699 SunPower Corporation, 4%, 1/15/2023 428,000 395,716 557,574 Total Energy 816,941 2,202,273
Financials - 0.5% IIP Operating Partnership, LP, 3.75%, 2/21/2024 184,000 436,839 516,105 Redfin Corporation, 0%, 10/15/2025 1,172,000 1,172,000 1,406,573 Total Financials 1,608,839 1,922,678
Industrials - 0.5% CryoPort, Inc., 3%, 6/1/2025 384,000 529,667 765,624 Middleby Corporation/The, 1%, 9/1/2025 406,000 500,034 496,843 Patrick Industries, Inc., 7.5%, 10/15/2027 533,000 533,000 582,303 Total Industrials 1,562,701 1,844,770 See Notes to the Financial Statements. 23 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Convertible Bonds - 5.0% (continued) Technology - 0.8% Advanced Micro Devices, Inc., 2.125%, 9/1/2026 51,000 $ 589,888 $ 584,031 Cardlytics, Inc., 1%, 9/15/2025 269,000 402,552 492,734 Coupa Software Incorporated, 0.375%, 6/15/2026 304,000 405,126 410,329 Five9, Inc., 0.5%, 6/1/2025 467,000 582,233 680,724 RingCentral, Inc., 0%, 3/1/2025 775,000 924,352 992,455 Total Technology 2,904,151 3,160,273
Utilities - 0.4% Atlantica Sustainable Infrastructure Jersey Limited, 4%, 7/15/2025 1,174,000 1,174,000 1,422,574 Total Convertible Bonds 15,788,509 20,230,562
Corporate Bonds - 88.6% Basic Materials - 6.0% Alcoa Nederland Holding B.V., 5.5%, 12/15/2027 421,000 421,000 461,214 Ashland LLC, 6.875%, 5/15/2043 569,000 592,712 759,214 Baffinland Iron Mines Corp. / Baffinland Iron Mines LP, 8.75%, 7/15/2026 358,000 358,261 388,364 CF Industries, Inc., 5.15%, 3/15/2034 1,113,000 1,067,123 1,370,237 Chemours Company/The, 5.375%, 5/15/2027 569,000 564,960 607,052 Chemours Company/The, 5.75%, 11/15/2028 409,000 409,000 417,947 Clearwater Paper Corporation, 4.75%, 8/15/2028 427,000 427,000 442,746 Cleveland-Cliffs Inc., 5.875%, 6/1/2027 636,000 621,310 649,273 Coeur Mining, Inc., 5.875%, 6/1/2024 760,000 724,754 768,470 Compass Minerals International, Inc., 4.875%, 7/15/2024 433,000 402,360 450,816 Compass Minerals International, Inc., 6.75%, 12/1/2027 835,000 867,199 906,651 CSN Resources S.A., 7.625%, 4/17/2026 229,000 229,798 246,461 Element Solutions Inc., 3.875%, 9/1/2028 435,000 432,995 448,322 First Quantum Minerals Ltd., 6.875%, 10/15/2027 752,000 758,590 816,860 FMG Resources (August 2006) Pty Limited, 4.5%, 9/15/2027 1,712,000 1,726,565 1,904,908 Freeport-McMoRan Inc., 4.125%, 3/1/2028 758,000 741,416 796,374 Freeport-McMoRan Inc., 4.25%, 3/1/2030 1,544,000 1,527,780 1,665,111 Freeport-McMoRan Inc., 4.375%, 8/1/2028 311,000 311,000 331,021 Freeport-McMoRan Inc., 5.25%, 9/1/2029 841,000 842,880 937,034 Freeport-McMoRan Inc., 5.45%, 3/15/2043 1,296,000 1,525,938 1,615,931 Hecla Mining Company, 7.25%, 2/15/2028 966,000 959,483 1,056,563 Hudbay Minerals Inc., 6.125%, 4/1/2029 463,000 463,000 500,040 IAMGOLD Corporation, 5.75%, 10/15/2028 583,000 583,000 592,474 Illuminate Buyer LLC / Illuminate Holdings IV Inc, 9%, 7/1/2028 736,000 762,250 810,520 Ingevity Corporation, 3.875%, 11/1/2028 379,000 381,079 382,553
See Notes to the Financial Statements. 24 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Basic Materials - 6.0% (continued) Kaiser Aluminum Corporation, 6.5%, 5/1/2025 333,000 $ 333,000 $ 357,143 Kaiser Aluminum Corporation, 4.625%, 3/1/2028 391,000 387,985 406,323 Minerals Technologies Inc., 5%, 7/1/2028 395,000 396,656 414,316 New Gold Inc., 7.5%, 7/15/2027 698,000 704,048 773,471 Nexa Resources S.A., 5.375%, 5/4/2027 339,000 317,813 377,310 Nouryon Holding B.V., 8%, 10/1/2026 654,000 644,125 696,101 Rain CII Carbon LLC / CII Carbon Corp., 7.25%, 4/1/2025 599,000 607,028 609,851 Rayonier A.M. Products Inc., 5.5%, 6/1/2024 499,000 400,448 435,378 Rayonier A.M. Products Inc., 7.625%, 1/15/2026 252,000 252,000 263,088 Trinseo Materials Operating SCA / Trinseo Materials Finance Inc., 5.375%, 9/1/2025 481,000 450,053 492,123 Tronox Incorporated, 6.5%, 5/1/2025 311,000 333,548 333,159 Total Basic Materials 22,528,157 24,484,419
Communications - 14.3% Altice France, 8.125%, 2/1/2027 711,000 750,775 784,699 Altice France Holding S.A., 6%, 2/15/2028 355,000 355,000 360,178 Altice France Holding S.A., 10.5%, 5/15/2027 491,000 563,742 552,068 AMC Networks Inc., 4.75%, 8/1/2025 747,000 756,081 772,551 Avaya Inc., 6.125%, 9/15/2028 562,000 562,000 601,416 B2W Digital Lux S.a r.l., 4.375%, 12/20/2030 400,000 402,964 414,500 Belo Corp., 7.25%, 9/15/2027 550,000 591,416 634,458 Block Communications, Inc., 4.875%, 3/1/2028 1,081,000 1,077,839 1,115,965 Cable One, Inc., 4%, 11/15/2030 381,000 384,805 396,478 Cablevision Lightpath, Inc., 3.875%, 9/15/2027 400,000 401,750 403,000 Cablevision Lightpath, Inc., 5.625%, 9/15/2028 400,000 402,750 419,250 CCO Holdings, LLC/CCO Holdings Capital Corp., 4.75%, 3/1/2030 2,568,000 2,660,519 2,774,082 CCO Holdings, LLC/CCO Holdings Capital Corp., 5%, 2/1/2028 325,000 331,923 344,013 CCO Holdings, LLC/CCO Holdings Capital Corp., 5.125%, 5/1/2027 232,000 242,730 246,506 Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/2024 1,008,000 977,922 1,023,226 Connect Finco SARL, 6.75%, 10/1/2026 1,088,000 1,087,175 1,173,484 CSC Holdings, LLC, 5.5%, 4/15/2027 368,000 360,270 390,448 CSC Holdings, LLC, 5.75%, 1/15/2030 1,709,000 1,789,840 1,875,636 CSC Holdings, LLC, 6.5%, 2/1/2029 345,000 352,488 390,169 Diamond Sports Group LLC / Diamond Sports Finance Co., 5.375%, 8/15/2026 1,162,000 966,145 946,304 Diamond Sports Group LLC / Diamond Sports Finance Co., 6.625%, 8/15/2027 673,000 268,255 408,006
See Notes to the Financial Statements. 25 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Communications - 14.3% (continued) DISH DBS Corporation, 7.75%, 7/1/2026 3,066,000 $ 2,972,800 $ 3,436,204 E.W. Scripps Company/The, 5.125%, 5/15/2025 741,000 732,287 757,754 Entercom Media Corp., 6.5%, 5/1/2027 407,000 408,888 415,063 Frontier Communications Corporation, 5%, 5/1/2028 533,000 533,000 556,652 Frontier Communications Corporation, 5.875%, 10/15/2027 376,000 377,755 407,255 Frontier Communications Corporation, 6.75%, 5/1/2029 180,000 180,000 192,938 Go Daddy Operating Co. LLC / GD Finance Co. Inc., 5.25%, 12/1/2027 535,000 544,680 564,091 Gray Television, Inc., 7%, 5/15/2027 526,000 526,000 576,628 GrubHub Holdings Inc., 5.5%, 7/1/2027 1,797,000 1,807,984 1,886,850 Hughes Satellite Systems Corporation, 5.25%, 8/1/2026 347,000 353,851 384,237 iHeartCommunications, Inc., 4.75%, 1/15/2028 393,000 394,720 405,454 Lamar Media Corp., 4.875%, 1/15/2029 311,000 310,806 331,215 Lcpr Senior Secured Financing Designated Activity Company, 6.75%, 10/15/2027 481,000 488,000 518,278 LogMeIn, Inc., 5.5%, 9/1/2027 900,000 900,000 943,875 Match Group Holdings II, LLC, 4.125%, 8/1/2030 950,000 955,952 987,259 Match Group Holdings II, LLC, 5%, 12/15/2027 562,000 578,349 599,317 Millicom International Cellular S.A., 6.25%, 3/25/2029 348,000 383,670 392,306 Netflix, Inc., 4.375%, 11/15/2026 169,000 161,260 187,696 Netflix, Inc., 4.875%, 4/15/2028 1,513,000 1,552,778 1,708,676 Netflix, Inc., 4.875%, 6/15/2030 1,023,000 1,152,915 1,178,368 Netflix, Inc., 5.375%, 11/15/2029 1,523,000 1,646,114 1,797,140 Netflix, Inc., 5.875%, 2/15/2025 1,018,000 1,043,450 1,173,118 Netflix, Inc., 5.875%, 11/15/2028 1,746,000 1,768,045 2,096,134 Nexstar Broadcasting, Inc., 5.625%, 7/15/2027 1,477,000 1,512,159 1,584,548 Northwest Fiber LLC / Northwest Fiber Finance Sub Inc., 10.75%, 6/1/2028 516,000 535,095 590,820 Radiate Holdco LLC / Radiate Finance Inc., 4.5%, 9/15/2026 371,000 373,975 383,521 Radiate Holdco LLC / Radiate Finance Inc., 6.5%, 9/15/2028 483,000 483,000 508,056 RealReal Inc./The, 3%, 6/15/2025 317,000 406,045 440,540 Sirius XM Radio Inc., 4.125%, 7/1/2030 268,000 280,873 285,588 Sirius XM Radio Inc., 5%, 8/1/2027 288,000 270,720 306,425 Sirius XM Radio Inc., 5.5%, 7/1/2029 407,000 454,116 448,590 Sprint Capital Corporation, 6.875%, 11/15/2028 4,189,000 4,303,638 5,530,534 Switch, Ltd., 3.75%, 9/15/2028 791,000 799,024 804,348 Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 400,000 403,750 426,700 Uber Technologies Inc., 6.25%, 1/15/2028 462,000 462,000 503,003 Uber Technologies Inc., 7.5%, 9/15/2027 391,000 401,753 430,589 Uber Technologies Inc., 8%, 11/1/2026 888,000 931,603 968,475
See Notes to the Financial Statements. 26 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Communications - 14.3% (continued) Univision Communications Inc., 5.125%, 2/15/2025 387,000 $ 369,644 $ 390,628 VeriSign, Inc., 5.25%, 4/1/2025 331,000 341,605 376,719 VF Ukraine PAT via VFU Funding PLC, 6.2%, 2/11/2025 380,000 326,100 400,900 Virgin Media Secured Finance PLC, 5.5%, 5/15/2029 1,920,000 2,018,579 2,083,853 Vmed O2 UK Financing I PLC, 4.25%, 1/31/2031 860,000 860,000 880,760 VTR Finance BV, 6.375%, 7/15/2028 400,000 406,250 437,500 Windstream Escrow LLC / Windstream Escrow Finance Corp., 7.75%, 8/15/2028 384,000 386,939 387,408 Zayo Group Holdings, Inc., 4%, 3/1/2027 307,000 307,000 308,168 Zayo Group Holdings, Inc., 6.125%, 3/1/2028 720,000 731,688 762,638 Ziggo B.V., 5.5%, 1/15/2027 1,314,000 1,280,218 1,373,912 Total Communications 53,705,467 58,137,168
Consumer, Cyclical - 22.5% 1011778 BC ULC / New Red Finance Inc., 4.375%, 1/15/2028 321,000 312,975 331,172 Adient Global Holdings Ltd., 4.875%, 8/15/2026 413,000 319,043 424,874 Adient US LLC, 7%, 5/15/2026 967,000 1,004,193 1,053,401 Affinity Gaming, 6.875%, 12/15/2027 603,000 614,335 632,396 Allison Transmission, Inc., 3.75%, 1/30/2031 392,000 392,205 401,800 American Airlines, Inc., 11.75%, 7/15/2025 1,073,000 1,105,686 1,239,047 American Airlines Group Inc., 5%, 6/1/2022 637,000 495,257 573,864 American Axle & Manufacturing, Inc., 6.875%, 7/1/2028 633,000 633,000 683,273 Asbury Automotive Group, Inc., 4.5%, 3/1/2028 345,000 349,253 361,388 Avient Corporation, 5.75%, 5/15/2025 356,000 356,000 378,695 Bally's Corporation, 6.75%, 6/1/2027 739,000 737,170 793,963 Banijay Entertainment, 5.375%, 3/1/2025 400,000 403,000 415,848 Beacon Roofing Supply, Inc., 4.875%, 11/1/2025 406,000 377,310 416,379 Beazer Homes USA, Inc., 7.25%, 10/15/2029 402,000 405,056 454,523 Boyd Gaming Corporation, 4.75%, 12/1/2027 1,011,000 983,233 1,052,259 Boyd Gaming Corporation, 6%, 8/15/2026 602,000 609,859 626,080 British Airways 2020-1 Class A Pass Through Trust, 4.25%, 11/15/2032 408,000 414,030 438,016 Brookfield Residential Properties Inc. / Brookfield Residential US Corp., due 4.875%, 2/15/2030 96,000 98,053 99,330 Buena Vista Gaming Authority, 13%, 4/1/2023 683,000 676,349 741,482 Caesars Entertainment, Inc., 8.125%, 7/1/2027 1,082,000 1,126,488 1,199,210 Caesars Resort Collection LLC / CRC FInco Inc., 5.25%, 10/15/2025 421,000 380,798 426,012 Caesars Resort Collection LLC / CRC FInco Inc., 5.75%, 7/1/2025 366,000 372,320 388,263 Caleres, Inc., 6.25%, 8/15/2023 599,000 599,535 603,493
See Notes to the Financial Statements. 27 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Consumer, Cyclical - 22.5% (continued) Carnival Corporation, 7.625%, 3/1/2026 257,000 $ 257,000 $ 280,481 Carnival Corporation, 9.875%, 8/1/2027 594,000 591,405 684,214 Carnival Corporation, 11.5%, 4/1/2023 1,020,000 1,041,188 1,180,931 Carvana Co., 5.625%, 10/1/2025 430,000 426,698 441,825 Carvana Co., 5.875%, 10/1/2028 218,000 218,000 226,631 CCM Merger Inc., 6.375%, 5/1/2026 398,000 404,102 418,895 CD&R Smokey Buyer, Inc., 6.75%, 7/15/2025 373,000 381,880 399,110 Cedar Fair, L.P., 5.25%, 7/15/2029 521,000 523,783 537,276 Century Communities, Inc., 6.75%, 6/1/2027 376,000 383,990 402,547 Churchill Downs Incorporated, 4.75%, 1/15/2028 1,099,000 1,084,542 1,159,242 Clarios Global LP / Clarios US Finance Co., 8.5%, 5/15/2027 1,211,000 1,257,843 1,317,640 Core & Main Holdings, LP, 8.625%, 9/15/2024 581,000 585,031 595,827 Dana Incorporated, 5.625%, 6/15/2028 367,000 368,126 395,760 Delta Air Lines, Inc., 7%, 5/1/2025 691,000 697,500 798,255 Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.5%, 10/20/2025 446,000 449,445 476,865 Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.75%, 10/20/2028 607,000 617,471 663,040 eG Global Finance PLC, 8.5%, 10/30/2025 354,000 377,010 375,771 Enterprise Development Authority/The, 12%, 7/15/2024 614,000 595,750 693,053 FirstCash, Inc., 4.625%, 9/1/2028 416,000 417,950 429,780 Ford Motor Company, 4.75%, 1/15/2043 648,000 562,043 661,770 Ford Motor Company, 7.45%, 7/16/2031 630,000 756,831 809,156 Ford Motor Company, 9%, 4/22/2025 3,768,000 3,962,156 4,635,149 Ford Motor Company, 9.625%, 4/22/2030 764,000 969,635 1,079,421 Ford Motor Credit Company LLC, 4%, 11/13/2030 315,000 315,000 331,752 Forestar Group Inc., 5%, 3/1/2028 650,000 621,761 672,649 Gap, Inc./The, 8.625%, 5/15/2025 351,000 351,000 391,986 Gap, Inc./The, 8.875%, 5/15/2027 848,000 912,863 984,740 Goodyear Tire & Rubber Co./The, 4.875%, 3/15/2027 587,000 594,366 601,308 Group 1 Automotive, Inc., 4%, 8/15/2028 382,000 383,470 394,235 Guitar Center Inc., 8.5%, 1/15/2026 426,000 436,459 443,839 H&E Equipment Services, Inc., 3.875%, 12/15/2028 619,000 619,000 624,435 Hilton Domestic Operating Company Inc., 4.875%, 1/15/2030 1,045,000 1,080,793 1,143,622 Hilton Domestic Operating Company Inc., 5.125%, 5/1/2026 381,000 378,820 394,335 IHO Verwaltungs GmbH, 4.75%, 9/15/2026 771,000 710,835 800,876 Installed Building Products, Inc., 5.75%, 2/1/2028 401,000 401,000 428,493 IRB Holding Corp., 7%, 6/15/2025 492,000 508,800 538,383
See Notes to the Financial Statements. 28 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Consumer, Cyclical - 22.5% (continued) J.B. Poindexter & Co., Inc., 7.125%, 4/15/2026 731,000 $ 753,208 $ 774,860 Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028 463,000 463,000 468,359 KB Home, 4.8%, 11/15/2029 331,000 331,753 363,893 Ken Garff Automotive, LLC, 4.875%, 9/15/2028 394,000 395,387 410,499 KFC Holding Co., 4.75%, 6/1/2027 548,000 518,583 580,285 L Brands, Inc., 6.625%, 10/1/2030 933,000 941,720 1,039,712 L Brands, Inc., 6.875%, 7/1/2025 347,000 354,989 377,290 L Brands, Inc., 6.875%, 11/1/2035 380,000 408,500 427,263 LBM Acquisition LLC, 6.25%, 1/15/2029 427,000 427,000 445,022 LGI Homes, Inc., 6.875%, 7/15/2026 984,000 977,313 1,035,660 Lithia Motors, Inc., 4.375%, 1/15/2031 531,000 531,000 570,493 Lithia Motors, Inc., 4.625%, 12/15/2027 559,000 568,508 590,793 Live Nation Entertainment, Inc., 3.75%, 1/15/2028 401,000 403,735 406,173 Live Nation Entertainment, Inc., 4.75%, 10/15/2027 816,000 815,021 838,954 Marriott Ownership Resorts, Inc., 4.75%, 1/15/2028 438,000 432,310 446,129 Marriott Ownership Resorts Inc. / ILG LLC, 6.5%, 9/15/2026 367,000 380,763 384,146 Mattamy Group Corporation, 4.625%, 3/1/2030 404,000 395,545 428,935 Mattel, Inc., 5.45%, 11/1/2041 439,000 368,815 484,939 Mattel, Inc., 5.875%, 12/15/2027 50,000 54,270 55,656 Mclaren Finance PLC, 5.75%, 8/1/2022 1,112,000 1,076,215 1,084,200 Melco Resorts Finance Limited, 5.75%, 7/21/2028 627,000 634,750 668,852 Meritor, Inc., 4.5%, 12/15/2028 389,000 391,701 399,454 Merlin Entertainments Limited, 5.75%, 6/15/2026 390,000 366,150 410,771 MGM Resorts International, 4.625%, 9/1/2026 888,000 851,120 941,347 MGM Resorts International, 5.5%, 4/15/2027 449,000 454,298 501,041 Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.5%, 6/20/2027 900,174 909,021 969,375 Mohegan Gaming & Entertainment, 7.875%, 10/15/2024 635,000 610,326 664,369 Murphy Oil USA, Inc., 4.75%, 9/15/2029 999,000 1,025,223 1,064,999 Murphy Oil USA, Inc., 5.625%, 5/1/2027 414,000 416,465 439,279 Navistar International Corporation, 6.625%, 11/1/2025 535,000 483,481 561,162 NCL Corporation Ltd., 12.25%, 5/15/2024 556,000 587,846 667,895 New Home Company Inc./The, 7.25%, 10/15/2025 385,000 387,345 396,354 Newell Brands Inc., 5.875%, 4/1/2036 940,000 1,000,803 1,144,450 Penn National Gaming, Inc., 5.625%, 1/15/2027 1,160,000 1,147,789 1,212,316 Penske Automotive Group, Inc., 3.5%, 9/1/2025 432,000 432,000 439,560 Picasso Finance Sub, Inc., 6.125%, 6/15/2025 268,000 268,000 287,149 Rite Aid Corporation, 7.5%, 7/1/2025 686,000 687,611 717,230 Rite Aid Corporation, 8%, 11/15/2026 592,000 600,880 633,908 See Notes to the Financial Statements. 29 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Consumer, Cyclical - 22.5% (continued) Royal Caribbean Cruises Ltd., 4.25%, 6/15/2023 300,000 $ 425,105 $ 400,273 Royal Caribbean Cruises Ltd., 9.125%, 6/15/2023 536,000 545,630 582,230 Royal Caribbean Cruises Ltd., 11.5%, 6/1/2025 471,000 457,168 551,211 Sally Holdings LLC / Sally Capital Inc., 8.75%, 4/30/2025 468,000 468,000 521,235 Scientific Games International, Inc., 7%, 5/15/2028 490,000 504,265 527,681 Scientific Games International, Inc., 7.25%, 11/15/2029 560,000 486,406 615,546 Scientific Games International, Inc., 8.625%, 7/1/2025 402,000 410,040 440,693 Scotts Miracle-Gro Company/The, 4.5%, 10/15/2029 726,000 751,103 784,556 Shea Homes LP / Shea Homes Funding Corp., 4.75%, 2/15/2028 695,000 681,563 720,628 Shea Homes LP / Shea Homes Funding Corp., 4.75%, 4/1/2029 363,000 363,000 373,890 Sonic Automotive, Inc., 6.125%, 3/15/2027 323,000 314,073 340,967 Specialty Building Products Holdings LLC / SBP Finance Corp., 6.375%, 9/30/2026 478,000 478,000 507,153 Spirit Airlines, Inc., 4.75%, 5/15/2025 520,000 918,205 1,122,389 Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8%, 9/20/2025 505,500 500,324 568,688 STL Holding Company LLC, 7.5%, 2/15/2026 682,000 682,850 709,280 Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp., 5.875%, 5/15/2025 773,000 737,924 750,695 Tapestry, Inc., 4.125%, 7/15/2027 585,000 598,059 631,719 Taylor Morrison Communities, Inc., 5.125%, 8/1/2030 362,000 364,998 406,119 Taylor Morrison Communities, Inc., 6.625%, 7/15/2027 678,000 678,000 735,291 Tenneco Inc., 5%, 7/15/2026 972,000 779,934 896,063 Tesla, Inc., 5.3%, 8/15/2025 2,008,000 1,826,678 2,095,850 Toll Brothers Finance Corp., 4.35%, 2/15/2028 636,000 630,199 708,224 Toll Brothers Finance Corp., 4.875%, 3/15/2027 728,000 681,168 834,332 Travel + Leisure Co., 6%, 4/1/2027 279,000 302,018 313,352 Travel + Leisure Co., 6.625%, 7/31/2026 725,000 725,000 831,031 TRI Pointe Homes, Inc., 5.25%, 6/1/2027 797,000 742,706 869,575 TRI Pointe Homes, Inc., 5.7%, 6/15/2028 345,000 347,643 390,368 United Airlines 2020-1 Class A Pass Through Trust, 5.875%, 10/15/2027 396,000 397,980 428,954 Univar Solutions USA Inc., 5.125%, 12/1/2027 394,000 398,929 416,828 Vail Resorts, Inc., 6.25%, 5/15/2025 320,000 322,130 342,000 Viking Cruises Ltd., 13%, 5/15/2025 663,000 714,169 793,528 Wabash National Corporation, 5.5%, 10/1/2025 363,000 345,099 371,583 Wendy's International, LLC, 7%, 12/15/2025 630,000 669,878 693,986 White Cap Buyer, LLC, 6.875%, 10/15/2028 383,000 387,973 409,092
See Notes to the Financial Statements. 30 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Consumer, Cyclical - 22.5% (continued) William Carter Company/The, 5.5%, 5/15/2025 444,000 $ 444,000 $ 472,354 William Carter Company/The, 5.625%, 3/15/2027 550,000 550,000 579,906 Williams Scotsman International, Inc., 4.625%, 8/15/2028 272,000 272,000 282,030 Winnebago Industries, Inc., 6.25%, 7/15/2028 364,000 367,096 391,983 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.25%, 5/15/2027 645,000 605,184 666,043 Wynn Macau, Limited, 5.125%, 12/15/2029 1,219,000 1,196,818 1,247,067 Wynn Macau, Limited, 5.5%, 10/1/2027 1,041,000 1,033,275 1,082,432 YUM! Brands, Inc., 5.35%, 11/1/2043 614,000 573,338 699,960 Total Consumer, Cyclical 83,539,066 90,587,617
Consumer, Non-cyclical - 13.8% Acadia Healthcare Company, Inc., 5%, 4/15/2029 427,000 427,000 456,890 Acadia Healthcare Company, Inc., 5.5%, 7/1/2028 315,000 315,000 338,916 Ahern Rentals, Inc., 7.375%, 5/15/2023 478,000 472,381 350,434 AHP Health Partners, Inc., 9.75%, 7/15/2026 584,000 597,217 646,669 Akumin Inc., 7%, 11/1/2025 632,000 632,000 665,970 Albertsons Cos Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 4.625%, 1/15/2027 200,000 193,878 212,961 Albertsons Cos Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 4.875%, 2/15/2030 760,000 746,804 838,189 Allied Universal Holdco LLC / Allied Universal Finance Corp., 9.75%, 7/15/2027 620,000 669,700 676,879 Arcor S A I C, 6%, 7/6/2023 548,000 492,854 540,196 Avis Budget Car Rental, LLC, 5.25%, 3/15/2025 148,000 141,850 149,018 Avis Budget Car Rental, LLC, 6.375%, 4/1/2024 647,000 642,925 661,153 Bacardi Limited, 5.3%, 5/15/2048 862,000 944,253 1,197,724 Catalent Pharma Solutions, Inc., 5%, 7/15/2027 448,000 445,493 473,908 Centene Corporation, 3%, 10/15/2030 317,000 329,878 336,385 Centene Corporation, 3.375%, 2/15/2030 669,000 670,825 704,895 Centene Corporation, 4.25%, 12/15/2027 441,000 434,797 468,481 Centene Corporation, 4.625%, 12/15/2029 1,356,000 1,344,391 1,507,201 Central Garden & Pet Company, 4.125%, 10/15/2030 360,000 360,000 375,975 Charles River Laboratories International, Inc., 4.25%, 5/1/2028 359,000 373,054 376,659 Chobani LLC, 4.625%, 11/15/2028 472,000 472,000 480,260 Chobani LLC / Chobani Finance Corp. Inc., 7.5%, 4/15/2025 885,000 850,028 930,768 Coty Inc., 6.5%, 4/15/2026 428,000 397,291 416,838 DaVita Inc., 3.75%, 2/15/2031 1,134,000 1,120,331 1,153,544 Emergent BioSolutions Inc., 3.875%, 8/15/2028 399,000 406,940 413,913 Encompass Health Corporation, 4.5%, 2/1/2028 784,000 772,268 820,605 See Notes to the Financial Statements. 31 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Consumer, Non-cyclical - 13.8% (continued) FAGE International SA / FAGE USA Dairy Industry Inc., 5.625%, 8/15/2026 1,104,000 $ 981,352 $ 1,135,530 Fresh Market, Inc./The, 9.75%, 5/1/2023 645,000 479,240 665,701 Garda World Security Corporation, 4.625%, 2/15/2027 820,000 821,980 830,250 Garda World Security Corporation, 9.5%, 11/1/2027 363,000 390,083 402,636 Global Medical Response, Inc., 6.5%, 10/1/2025 880,000 881,038 920,700 Hadrian Merger Sub Inc., 8.5%, 5/1/2026 1,164,000 1,138,651 1,205,974 HCA Inc., 5.5%, 6/15/2047 1,181,000 1,219,662 1,577,538 HCA Inc., 5.875%, 2/1/2029 944,000 1,028,170 1,139,130 HCA Inc., 7.5%, 12/15/2023 1,642,000 1,830,830 1,888,300 Herbalife Nutrition Ltd. / HLF Financing Inc., 7.875%, 9/1/2025 477,000 479,070 521,719 Horizon Therapeutics USA, Inc., 5.5%, 8/1/2027 894,000 903,848 961,506 JBS USA LUX SA / JBS USA Finance Inc., 6.75%, 2/15/2028 343,000 346,648 385,796 Kraft Heinz Foods Company, 4.375%, 6/1/2046 1,886,000 1,828,538 2,040,631 Kraft Heinz Foods Company, 4.875%, 10/1/2049 1,760,000 1,814,125 2,053,344 Kraft Heinz Foods Company, 5%, 6/4/2042 1,409,000 1,387,347 1,653,202 Kraft Heinz Foods Company, 5.2%, 7/15/2045 252,000 286,020 299,653 Legacy LifePoint Health, LLC, 4.375%, 2/15/2027 463,000 406,710 471,103 LifePoint Health Inc., 9.75%, 12/1/2026 340,000 340,000 375,488 MEDNAX, Inc., 6.25%, 1/15/2027 895,000 915,110 960,988 Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance Inc., 7.875%, 10/1/2022 628,000 546,755 598,170 Minerva Luxembourg S.A., 5.875%, 1/19/2028 846,000 726,860 913,900 ModivCare Inc., 5.875%, 11/15/2025 391,000 394,263 414,216 Molina Healthcare, Inc., 3.875%, 11/15/2030 768,000 776,240 825,600 Ortho-Clinical Diagnostics Inc. / Ortho-Clinical Diagnostics SA, 7.25%, 2/1/2028 542,000 530,300 572,826 Prime Security Services Borrrower, LLC / Prime Finance Inc., 3.375%, 8/31/2027 1,180,000 1,175,710 1,172,625 Radiology Partners, Inc., 9.25%, 2/1/2028 1,081,000 1,119,443 1,219,152 Rede D'or Finance Sarl, 4.95%, 1/17/2028 755,000 679,228 809,605 RP Escrow Issuer LLC, 5.25%, 12/15/2025 168,000 168,000 175,925 Sabre GLBL Inc., 7.375%, 9/1/2025 551,000 573,008 598,662 Sabre GLBL Inc., 9.25%, 4/15/2025 277,000 277,000 329,976 SEG Holding LLC / SEG Finance Corp., 5.625%, 10/15/2028 382,000 382,855 403,965 Select Medical Corporation, 6.25%, 8/15/2026 1,372,000 1,407,385 1,479,647 Service Corporation International, 3.375%, 8/15/2030 401,000 401,000 417,876 Shift4 Payments LLC / Shift4 Payments Finance Sub Inc., 4.625%, 11/1/2026 763,000 778,177 795,428 Sotheby's, 7.375%, 10/15/2027 575,000 596,625 616,941 Surgery Center Holdings, Inc., 10%, 4/15/2027 652,000 651,420 721,683 See Notes to the Financial Statements. 32 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Consumer, Non-cyclical - 13.8% (continued) Tenet Healthcare Corporation, 4.875%, 1/1/2026 476,000 $ 494,040 $ 498,539 Tenet Healthcare Corporation, 6.125%, 10/1/2028 758,000 758,000 792,512 Tenet Healthcare Corporation, 6.25%, 2/1/2027 1,727,000 1,782,052 1,833,029 Tenet Healthcare Corporation, 6.75%, 6/15/2023 1,027,000 1,032,135 1,105,874 TMS International Holding Corp., 7.25%, 8/15/2025 415,000 412,158 423,300 Transjamaican Highway Limited, 5.75%, 10/10/2036 835,000 871,830 860,572 Turning Point Brands Inc., 2.5%, 7/15/2024 401,000 430,062 454,869 U.S. Renal Care, Inc., 10.625%, 7/15/2027 507,000 521,124 561,503 Ulker Biskuvi Sanayi A.S., 6.95%, 10/30/2025 930,000 944,238 1,008,883 United Rentals (North America), Inc., 4%, 7/15/2030 1,025,000 1,004,500 1,080,094 United Rentals (North America), Inc., 4.875%, 1/15/2028 448,000 426,720 477,680 Total Consumer, Non-cyclical 51,592,708 55,846,672
Energy - 11.9% Antero Midstream Partners LP / Antero Midstream Finance Corp., 7.875%, 5/15/2026 642,000 642,000 664,521 Apache Corporation, 4.375%, 10/15/2028 1,537,057 1,386,167 1,602,351 Apache Corporation, 4.625%, 11/15/2025 495,000 495,000 520,369 Apache Corporation, 4.75%, 4/15/2043 1,034,000 549,120 1,074,057 Apache Corporation, 5.1%, 9/1/2040 524,000 344,764 562,973 Blue Racer Midstream LLC / Blue Racer Finance Corp., 7.625%, 12/15/2025 372,000 372,000 397,110 Buckeye Partners, L.P., 3.95%, 12/1/2026 552,000 531,214 560,556 Buckeye Partners, L.P., 4.125%, 12/1/2027 904,000 809,800 924,905 Buckeye Partners, L.P., 6.375%, 1/22/2078 931,000 699,236 702,249 Cenovus Energy Inc., 5.375%, 7/15/2025 756,000 757,675 852,852 Cenovus Energy Inc., 5.4%, 6/15/2047 693,000 404,450 813,548 Centennial Resource Production, LLC, 5.375%, 1/15/2026 1,357,000 1,294,880 949,900 Centennial Resource Production, LLC, 6.875%, 4/1/2027 587,000 575,038 422,878 ChampionX Corporation, 6.375%, 5/1/2026 1,039,000 995,868 1,053,089 CNX Resources Corporation, 6%, 1/15/2029 392,000 393,113 402,333 Comstock Resources, Inc., 7.5%, 5/15/2025 585,000 587,925 593,775 Continental Resources, Inc., 4.375%, 1/15/2028 430,000 317,330 439,370 Continental Resources, Inc., 5.75%, 1/15/2031 1,042,000 1,064,144 1,158,553 CrownRock LP / CrownRock Finance Inc., 5.625%, 10/15/2025 585,000 502,823 597,797 Diamondback Energy, Inc., 3.5%, 12/1/2029 395,000 331,066 422,407 Endeavor Energy Resources LP / EER Finance Inc., 5.5%, 1/30/2026 309,000 305,658 317,660 Endeavor Energy Resources LP / EER Finance Inc., 5.75%, 1/30/2028 1,333,000 1,351,167 1,439,907 EnLink Midstream LLC, 5.625%, 1/15/2028 252,000 252,000 258,044
See Notes to the Financial Statements. 33 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Energy - 11.9% (continued) Enviva Partners LP / Enviva Partners Finance Corp., 6.5%, 1/15/2026 1,008,000 $ 1,034,020 $ 1,072,890 EQM Midstream Partners, LP, 6.5%, 7/1/2027 391,000 391,000 440,833 EQT Corporation, 5%, 1/15/2029 381,000 384,603 402,648 EQT Corporation, 7.625%, 2/1/2025 821,000 796,498 936,059 EQT Corporation, 8.5%, 2/1/2030 450,000 547,515 550,688 Hilcorp Energy I, L.P., 5.75%, 10/1/2025 1,009,000 989,056 1,024,029 Hilcorp Energy I, L.P., 6.25%, 11/1/2028 382,000 343,548 391,917 Indigo Natural Resources LLC, 6.875%, 2/15/2026 604,000 553,383 619,100 Laredo Petroleum, Inc., 10.125%, 1/15/2028 1,040,000 910,970 886,080 Magnolia Oil & Gas Operating LLC, 6%, 8/1/2026 1,679,000 1,567,184 1,716,778 Matador Resources Company, 5.875%, 9/15/2026 1,401,000 1,109,954 1,374,731 MEG Energy Corp., 7%, 3/31/2024 1,585,000 1,492,468 1,604,813 MEG Energy Corp., 7.125%, 2/1/2027 1,337,000 1,329,590 1,383,795 MPLX LP, 6.875% ^* 150,000 143,143 145,125 Murphy Oil Corporation, 5.875%, 12/1/2027 703,000 703,000 693,116 Murphy Oil Corporation, 6.875%, 8/15/2024 288,000 291,564 293,458 Nabors Industries Ltd., 7.25%, 1/15/2026 414,000 258,758 291,061 New Fortress Energy Inc., 6.75%, 9/15/2025 792,000 792,000 840,253 Northriver Midstream Finance LP, 5.625%, 2/15/2026 992,000 995,629 1,026,398 Oceaneering International, Inc., 4.65%, 11/15/2024 715,000 597,599 652,438 Oceaneering International, Inc., 6%, 2/1/2028 784,000 755,930 702,660 Patterson-UTI Energy Inc., 3.95%, 2/1/2028 448,000 393,743 414,024 PBF Holding Co. LLC / PBF Finance Corp., 9.25%, 5/15/2025 363,000 371,595 356,511 PDC Energy, Inc., 5.75%, 5/15/2026 511,000 316,753 528,566 PDC Energy, Inc., 6.125%, 9/15/2024 540,000 553,897 555,922 Precision Drilling Corporation, 5.25%, 11/15/2024 25,000 21,750 21,703 Precision Drilling Corporation, 7.125%, 1/15/2026 354,000 295,585 309,240 Range Resources Corporation, 4.875%, 5/15/2025 673,000 622,539 636,971 Range Resources Corporation, 5%, 3/15/2023 409,000 403,464 399,542 Rattler Midstream LP, 5.625%, 7/15/2025 376,000 376,000 397,855 Seven Generations Energy Ltd., 5.375%, 9/30/2025 801,000 698,780 817,513 SM Energy Company, 6.75%, 9/15/2026 1,445,000 1,411,791 1,174,063 Southwestern Energy Company, 6.45%, 1/23/2025 342,000 300,009 355,466 Southwestern Energy Company, 8.375%, 9/15/2028 724,000 741,694 786,898 Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.875%, 2/1/2031 330,000 349,420 358,545
See Notes to the Financial Statements. 34 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Energy - 11.9% (continued) Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5%, 1/15/2028 343,000 $ 360,067 $ 362,700 Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.5%, 3/1/2030 267,000 292,365 290,133 TerraForm Power Operating, LLC, 4.75%, 1/15/2030 1,155,000 1,187,967 1,238,403 TerraForm Power Operating, LLC, 5%, 1/31/2028 198,000 206,166 222,854 Transocean Guardian Ltd., 5.875%, 1/15/2024 232,440 199,317 195,831 Transocean Proteus Ltd., 6.25%, 12/1/2024 384,600 368,255 362,966 USA Compression Partners LP / USA Compression Finance Corp., 6.875%, 9/1/2027 381,000 387,464 407,392 Viper Energy Partners LP, 5.375%, 11/1/2027 1,024,000 1,004,429 1,071,811 Warrior Met Coal, Inc., 8%, 11/1/2024 788,000 794,620 806,345 Western Midstream Operating, LP, 5.3%, 2/1/2030 1,739,000 1,621,474 1,936,959 YPF Energia Electrica S.A., 10%, 7/25/2026 620,000 518,027 512,281 Total Energy 44,747,021 48,300,568
Financials - 8.2% Advisor Group Holdings, Inc., 10.75%, 8/1/2027 373,000 375,798 413,260 AG Issuer, LLC, 6.25%, 3/1/2028 688,000 688,810 697,460 Alliance Data Systems Corporation, 4.75%, 12/15/2024 674,000 663,654 682,004 Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer, 6.75%, 10/15/2027 539,000 544,610 577,641 Ardonagh Midco 2 PLC, 11.5%, 1/15/2027 499,000 494,010 535,178 Avolon Holdings Funding Limited, 4.25%, 4/15/2026 192,000 191,952 207,002 Avolon Holdings Funding Limited, 5.5%, 1/15/2026 262,000 272,810 297,085 BNP Paribas, 4.5% ^ 396,000 319,180 400,417 CIT Group Inc., 5.25%, 3/7/2025 300,000 325,478 341,063 CIT Group Inc., 6.125%, 3/9/2028 1,247,000 1,292,314 1,525,779 Credit Suisse Group AG, 4.5% ^ 230,000 230,000 231,702 Credit Suisse Group AG, 7.25% ^ 523,000 532,433 588,861 EPR Properties, 3.75%, 8/15/2029 200,000 191,642 191,918 EPR Properties, 4.5%, 4/1/2025 413,000 396,162 419,185 ESH Hospitality, Inc., 4.625%, 10/1/2027 1,615,000 1,512,029 1,657,394 Fairstone Financial Inc., 7.875%, 7/15/2024 562,000 573,100 597,417 Global Aircraft Leasing Co., Ltd., 6.5%, 9/15/2024 682,762 638,086 598,005 HAT Holdings I LLC / HAT Holdings II LLC, 3.75%, 9/15/2030 985,000 983,395 1,026,863 HAT Holdings I LLC / HAT Holdings II LLC, 6%, 4/15/2025 346,000 362,413 370,653 Howard Hughes Corporation/The, 5.375%, 8/1/2028 393,000 393,529 423,408
See Notes to the Financial Statements. 35 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Financials - 8.2% (continued) Hunt Cos Inc., 6.25%, 2/15/2026 207,000 $ 210,755 $ 212,776 Intesa Sanpaolo S.p.A., 5.71%, 1/15/2026 1,210,000 1,194,656 1,385,528 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.25%, 2/1/2027 564,000 543,348 555,540 Macquarie Bank Limited, 6.125% ^ 639,000 583,193 684,264 MPT Operating Partnership LP / MPT Finance Corp., 5%, 10/15/2027 404,000 406,630 430,472 Nationstar Mortgage Holdings Inc., 5.125%, 12/15/2030 310,000 310,000 324,406 Nationstar Mortgage Holdings Inc., 5.5%, 8/15/2028 934,000 934,000 984,786 Navient Corporation, 6.125%, 3/25/2024 875,000 870,313 936,788 Navient Corporation, 6.75%, 6/25/2025 2,510,000 2,474,487 2,732,763 Navient Corporation, 6.75%, 6/15/2026 696,000 741,816 759,945 OneMain Finance Corporation, 4%, 9/15/2030 459,000 459,000 476,837 OneMain Finance Corporation, 5.375%, 11/15/2029 802,000 771,950 904,255 OneMain Finance Corporation, 6.125%, 3/15/2024 1,208,000 1,252,975 1,321,250 OneMain Finance Corporation, 8.875%, 6/1/2025 1,446,000 1,632,728 1,638,463 Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, 5.875%, 10/1/2028 784,000 800,248 836,430 Pebblebrook Hotel Trust, 1.75%, 12/15/2026 290,000 290,000 309,800 PennyMac Financial Services, Inc., 5.375%, 10/15/2025 369,000 369,563 390,679 Popular, Inc., 6.125%, 9/14/2023 724,000 734,516 784,559 PRA Group, Inc., 7.375%, 9/1/2025 463,000 463,000 503,802 Quicken Loans, LLC, 5.25%, 1/15/2028 1,057,000 1,058,038 1,130,329 Quicken Loans LLC / Quicken Loans Co-Issuer Inc., 3.625%, 3/1/2029 294,000 294,000 300,431 Quicken Loans LLC / Quicken Loans Co-Issuer Inc., 3.875%, 3/1/2031 318,000 318,000 330,720 Synovus Financial Corp., 5.9%, 2/7/2029 1,058,000 1,055,343 1,141,171 Tanger Properties Limited Partnership, 3.875%, 7/15/2027 395,000 380,429 413,926 Turkiye Vakiflar Bankasi TAO, 6.5%, 1/8/2026 708,000 708,181 727,575 Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC, 8.25%, 10/15/2023 565,000 546,488 570,297 VistaJet Malta Finance PLC / XO Management Holding Inc, 10.5%, 6/1/2024 397,000 388,068 407,918 WisdomTree Investments Inc., 4.25%, 6/15/2023 400,000 449,798 454,000 Total Financials 31,222,928 33,432,005
Industrials - 6.9% Amsted Industries Incorporated, 4.625%, 5/15/2030 893,000 883,000 937,092 Amsted Industries Incorporated, 5.625%, 7/1/2027 396,000 399,638 422,160 Apex Tool Group LLC / BC Mountain Finance Inc., 9%, 2/15/2023 539,000 435,153 529,568 ATS Automation Tooling Systems Inc., 4.125%, 12/15/2028 434,000 438,951 442,680 Ball Corporation, 2.875%, 8/15/2030 1,372,000 1,363,308 1,370,285 See Notes to the Financial Statements. 36 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Industrials - 6.9% (continued) Ball Corporation, 4.875%, 3/15/2026 364,000 $ 368,883 $ 411,746 Boise Cascade Company, 4.875%, 7/1/2030 355,000 364,755 384,953 Builders FirstSource, Inc., 5%, 3/1/2030 649,000 638,696 698,486 CANPACK SA / Eastern PA Land Investment Holding LLC, 3.125%, 11/1/2025 1,393,000 1,393,000 1,401,706 Clark Equipment Company, 5.875%, 6/1/2025 506,000 519,303 535,411 EnerSys, 4.375%, 12/15/2027 464,000 466,304 491,840 Forterra Finance LLC / FRTA Finance Corp., 6.5%, 7/15/2025 794,000 794,000 855,039 FXI Holdings, Inc., 7.875%, 11/1/2024 395,000 392,038 398,950 General Electric Company, 3.554% ^ 578,000 515,795 536,679 Griffon Corporation, 5.75%, 3/1/2028 536,000 537,216 567,726 Hillenbrand, Inc., 5.75%, 6/15/2025 354,000 364,399 382,984 Hillman Group, Inc./The, 6.375%, 7/15/2022 388,000 376,620 386,454 Intelligent Packaging Ltd. Finco Inc. / Intelligent Packaging Ltd. Co-Issuer LLC, 6%, 9/15/2028 410,000 414,043 422,044 Intertape Polymer Group Inc., 7%, 10/15/2026 606,000 611,450 644,826 Itron, Inc., 5%, 1/15/2026 638,000 626,247 653,153 Kratos Defense & Security Solutions, Inc., 6.5%, 11/30/2025 305,000 315,826 318,312 Masonite International Corporation, 5.375%, 2/1/2028 300,000 315,281 322,632 Masonite International Corporation, 5.75%, 9/15/2026 490,000 479,903 513,794 MasTec, Inc., 4.5%, 8/15/2028 517,000 517,000 543,496 Pactiv LLC, 7.95%, 12/15/2025 589,000 659,595 676,552 Park-Ohio Industries, Inc., 6.625%, 4/15/2027 413,000 400,262 428,488 Patrick Industries Inc., 1%, 2/1/2023 378,000 410,039 402,885 PGT Innovations, Inc., 6.75%, 8/1/2026 451,000 467,177 481,357 Sealed Air Corporation, 6.875%, 7/15/2033 282,000 307,654 373,121 Sensata Technologies B.V., 5.625%, 11/1/2024 550,000 587,047 616,366 Signature Aviation US Holdings, Inc., 4%, 3/1/2028 1,135,000 1,107,850 1,144,375 SRM Escrow Issuer, LLC, 6%, 11/1/2028 510,000 510,000 534,842 Stericycle, Inc., 3.875%, 1/15/2029 311,000 311,000 319,941 Stevens Holding Company Inc., 6.125%, 10/1/2026 599,000 621,678 649,052 Summit Materials LLC / Summit Materials Finance Corp., 6.5%, 3/15/2027 239,000 239,000 254,788 TransDigm Inc., 5.5%, 11/15/2027 2,273,000 2,236,881 2,393,014 TransDigm Inc., 6.25%, 3/15/2026 886,000 891,490 944,702 Trident TPI Holdings, Inc., 9.25%, 8/1/2024 247,000 255,144 263,673 Triumph Group Inc., 7.75%, 8/15/2025 451,000 414,455 413,793 Trivium Packaging Finance B.V., 5.5%, 8/15/2026 400,000 373,500 423,750 Vertical Holdco GmbH, 7.625%, 7/15/2028 200,000 200,000 218,375 Vertical U.S. Newco Inc., 5.25%, 7/15/2027 787,000 801,918 835,696 Waste Pro USA, Inc., 5.5%, 2/15/2026 342,000 329,560 350,689 See Notes to the Financial Statements. 37 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Industrials - 6.9% (continued) Watco Cos LLC / Watco Finance Corp., 6.5%, 6/15/2027 535,000 $ 544,246 $ 580,141 Weekley Homes LLC / Weekley Finance Corp., 4.875%, 9/15/2028 391,000 391,353 409,573 XPO CNW, Inc., 6.7%, 5/1/2034 802,000 779,983 957,081 Total Industrials 26,370,641 27,844,270
Technology - 2.8% Amkor Technology, Inc., 6.625%, 9/15/2027 339,000 372,230 368,239 Austin BidCo Inc., 7.125%, 12/15/2028 402,000 409,193 420,341 Banff Merger Sub Inc., 9.75%, 9/1/2026 825,000 831,029 892,007 BY Crown Parent LLC / BY Bond Finance Inc., 4.25%, 1/31/2026 756,000 763,676 775,845 Castle US Holding Corp., 9.5%, 2/15/2028 400,000 400,000 400,938 CDW LLC / CDW Finance Corp., 4.125%, 5/1/2025 143,000 143,000 149,872 CDW LLC / CDW Finance Corp., 5.5%, 12/1/2024 285,000 302,819 319,162 Everbridge Inc., 0.125%, 12/15/2024 462,000 657,564 688,202 Fair Isaac Corporation, 4%, 6/15/2028 907,000 925,648 956,318 Fair Isaac Corporation, 5.25%, 5/15/2026 585,000 588,106 667,520 MongoDB Inc., 0.25%, 1/15/2026 232,000 405,594 418,231 MSCI Inc., 3.875%, 2/15/2031 478,000 517,435 506,083 ON Semiconductor Corporation, 3.875%, 9/1/2028 510,000 510,000 527,213 Presidio Holdings Inc., 4.875%, 2/1/2027 326,000 318,815 346,375 Presidio Holdings Inc., 8.25%, 2/1/2028 416,000 425,896 459,940 PTC Inc., 3.625%, 2/15/2025 107,000 107,000 110,200 PTC Inc., 4%, 2/15/2028 342,000 344,911 359,100 Qorvo, Inc., 4.375%, 10/15/2029 1,050,000 1,085,833 1,157,037 Science Applications International Corporation, 4.875%, 4/1/2028 377,000 382,543 400,268 Veritas US Inc. / Veritas Bermuda Ltd., 7.5%, 9/1/2025 369,000 370,870 379,148 Veritas US Inc. / Veritas Bermuda Ltd., 10.5%, 2/1/2024 626,000 524,375 638,936 Western Digital Corporation, 4.75%, 2/15/2026 540,000 511,885 597,375 Total Technology 10,898,422 11,538,350
Utilities - 2.2% Calpine Corporation, 3.75%, 3/1/2031 464,000 464,000 460,383 Calpine Corporation, 4.625%, 2/1/2029 383,000 388,478 394,406 Calpine Corporation, 5%, 2/1/2031 372,000 372,000 389,298 Clearway Energy Operating LLC, 4.75%, 3/15/2028 247,000 247,000 265,140 Clearway Energy Operating LLC, 5%, 9/15/2026 313,000 301,314 325,069 DPL Inc., 4.125%, 7/1/2025 729,000 751,626 787,918 Mong Duong Finance Holdings B.V., 5.125%, 5/7/2029 750,000 711,563 789,573 NextEra Energy Operating Partners, LP, 4.5%, 9/15/2027 596,000 562,076 668,575 See Notes to the Financial Statements. 38 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 88.6% (continued) Utilities - 2.2% (continued) NRG Energy, Inc., 5.25%, 6/15/2029 251,000 $ 253,200 $ 276,681 NRG Energy, Inc., 5.75%, 1/15/2028 1,272,000 1,296,938 1,392,045 NSG Holdings L.L.C., 7.75%, 12/15/2025 378,142 416,541 402,209 Pattern Energy Operations LP / Pattern Energy Operations Inc., 4.5%, 8/15/2028 1,075,000 1,118,471 1,136,141 Pike Corporation, 5.5%, 9/1/2028 750,000 758,123 794,063 Star Energy Geothermal Darajat II / Star Energy Geothermal Salak, 4.85%, 10/14/2038 400,000 404,500 447,203 Terraform Global Operating, LLC, 6.125%, 3/1/2026 430,000 422,239 441,206 Total Utilities 8,468,069 8,969,910 Total Corporate Bonds 333,072,479 359,140,979
Real Estate Investment Trust - 0.4% Financials - 0.4% Crown Castle International Corp. 8,804 1,342,777 1,401,509
Sovereign Bonds - 0.3% Bahamas Government International Bond, 8.95%, 10/15/2032 595,000 631,871 650,038 Sri Lanka Government International Bond, 5.875%, 7/25/2022 531,000 376,200 370,011 Total Sovereign Bonds 1,008,071 1,020,049
Money Market Fund - 0.9% State Street Institutional Treasury Plus Money Market Fund - Premier Class 3,633,380 3,633,380 3,633,380 Total Investments - 99.0% $ 370,661,633 401,509,037 Other Assets and Liabilities, Net - 1.0% 4,183,617 Net Assets - 100% $ 405,692,654
^ Perpetual bond * Variable rate security
See Notes to the Financial Statements. 39 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
Futures Number of Value as of Unrealized Contracts Expiration December 31, Appreciation Long (Short) Date 2020 (Depreciation) Futures in gain position United States 2-Year Treasury Note Future 347 3/31/2021 $ 76,678,867 $ 69,264 United States 5-Year Treasury Note Future 79 3/31/2021 9,966,961 1,612 United States 10-Year Ultra Future (138) 3/22/2021 (21,577,594) 22,568 United States 10-Year Treasury Note Future 51 3/22/2021 7,041,984 2,139 72,110,218 95,583 Futures in loss position United States Long Bond Future 88 3/22/2021 15,240,500 (100,620) United States Ultra Bond Future (40) 3/22/2021 (8,542,500) (3,184) 6,698,000 (103,804) $ 78,808,218 $ (8,221)
Centrally Cleared Credit Default Swap Upfront Fixed Rate Premiums Unrealized (Pay) Payment Maturity Notional Market Paid Appreciation/ Description Receive Frequency Date Amount Value (Received) (Depreciation) CMBX.NA.AAA.2 3% Quarterly 12/20/2025 5,000,000 $ 120,004 $ 152,250 $ (32,246)
Credit Default Swaps Upfront Fixed Rate Premiums Unrealized (Pay) Payment Maturity Notional Market Paid Appreciation/ Description Counterparty Receive Frequency Date Amount Value (Received) (Depreciation) CMBX.NA.BBB.9 Citibank, N.A. 3% Monthly 9/17/2058 195,000 $ (23,192) $ (43,773) $ 20,581 CMBX.NA.BBB.9 Citibank, N.A. 3% Monthly 9/17/2058 455,000 (54,116) (104,508) 50,392 CMBX.NA.BBB.9 Citibank, N.A. 3% Monthly 9/17/2058 650,000 (77,308) (86,929) 9,621 CMBX.NA.BBB.9 Citibank, N.A. 3% Monthly 9/17/2058 950,000 (112,988) (112,143) (845) CMBX.NA.BBB.9 Goldman Sachs 3% Monthly 9/17/2058 275,000 (32,707) (62,688) 29,981 CMBX.NA.BBB.9 Goldman Sachs 3% Monthly 9/17/2058 3,500,000 (416,273) (522,555) 106,282 CMBX.NA.BBB.9 Goldman Sachs 3% Monthly 9/17/2058 950,000 (112,988) (110,270) (2,718) CMBX.NA.BBB.10 Goldman Sachs 3% Monthly 11/17/2059 2,250,000 (278,006) (349,847) 71,841 $ (1,107,578) $ (1,392,713) $ 285,135
See Notes to the Financial Statements. 40 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
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 United States $ 343,696,595 84.7% Canada 14,483,192 3.6% United Kingdom 6,961,172 1.7% Luxembourg 6,243,694 1.5% Netherlands 3,308,530 0.8% Macao 2,329,499 0.6% Australia 1,904,908 0.5% Turkey 1,736,458 0.4% Cayman Islands 1,725,490 0.4% Jersey 1,711,691 0.4% France 1,600,964 0.4% Argentina 1,587,362 0.4% Poland 1,401,706 0.3% Italy 1,385,528 0.3% Bermuda 1,197,724 0.3% Ireland 1,022,365 0.3% Germany 1,019,251 0.3% Jamaica 860,572 0.2% Switzerland 820,563 0.2% Vietnam 789,573 0.2% Puerto Rico 784,559 0.2% Hong Kong 668,852 0.2% Bahamas 650,038 0.2% Brazil 623,771 0.2% China 504,748 0.1% Indonesia 447,203 0.1% Chile 437,500 0.1% Paraguay 426,700 0.1% Malta 407,918 0.1% Ukraine 400,900 0.1% Sri Lanka 370,011 0.1% Total $ 401,509,037 99.0%
See Notes to the Financial Statements. 41 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Schedule of Investments (continued) December 31, 2020
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, 2020 (see Note 3):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Assets: Bank Loan Obligations $ - $ 15,495,025 $ 51,100 $ 15,546,125 Centrally Cleared Credit Default Swaps - 120,004 - 120,004 * Common Stocks 12,438 520,930 3,065 536,433 Convertible Bonds - 20,230,562 - 20,230,562 Corporate Bonds - 358,542,974 598,005 359,140,979 Futures 95,583 - - 95,583 * Real Estate Investment Trust 1,401,509 - - 1,401,509 Sovereign Bonds - 1,020,049 - 1,020,049 Money Market Fund 3,633,380 - - 3,633,380 Total Assets $ 5,142,910 $ 395,929,544 $ 652,170 $ 401,724,624
Liabilities: Credit Default Swaps $ - $ (1,107,578) $ - $ (1,107,578) Futures (103,804) - - (103,804) * Total Liabilities $ (103,804) $ (1,107,578) $ - $ (1,211,382)
*Centrally Cleared Swaps and Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Centrally Cleared Swaps with upfront premiums are presented here at market value.
Concentration of Ownership: As of December 31, 2020, the Fund had two unitholders holding 10% or more of the outstanding units of the Fund, and aggregated to 93.2% of the Fund's total units outstanding.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:
Purchases Sales Realized (1) (1) at Cost Proceeds Gain
Investments $ 418,660,073 $ 372,169,516 $ 1,447,390
(1) Purchases and sales balances may indicate amortization or accretion of premiums or discounts or paydowns on fixed income securities.
See Notes to the Financial Statements. 42 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Statement of Assets and Liabilities December 31, 2020 Assets Investments in securities, at fair value (cost $370,661,633) $ 401,509,037 Cash and cash equivalents 68,059 Cash held at broker 1,538,383 Dividends and interest receivable 5,717,708 Receivable for investment securities sold 1,277,760 Receivable for reimbursement 51,380 Receivable for fund units sold 13,059 Total assets 410,175,386 Liabilities and Net Assets Payable for investment securities purchased 2,969,952 Credit default swaps, at market value (net of premiums received of $1,392,713) 1,107,578 Variation margin payable on futures 16,651 Payable for fund units redeemed 12,394 Variation margin payable on centrally cleared credit default swaps 2,396 Accrued expenses 373,761 Total liabilities 4,482,732 Net assets $ 405,692,654
Statement of Operations For the year ended December 31, 2020 Investment income Interest (net of withholding taxes of $3,082) $ 20,342,002 Dividends 109,674 Miscellaneous income 90,055 Total investment income 20,541,731 Expenses Trustee and sub-advisor fees 1,181,497 Professional services and other operating expenses 197,782 Expense reimbursement from sub-advisor (168,399) Total expenses 1,210,880 Net investment income 19,330,851 Net realized gain (loss) on: Investments 1,447,390 Futures (225,245) Swaps (1,916,387) Net change in unrealized appreciation (depreciation) on: Investments 15,586,360 Swaps 137,438 Futures (255,446) Net realized and unrealized gain on investments 14,774,110 Net increase in net assets resulting from operations $ 34,104,961
See Notes to the Financial Statements. 43 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Statement of Changes in Net Assets For the year ended December 31, 2020 Increase in net assets resulting from operations Net investment income $ 19,330,851 Net realized loss on investments (694,242) Net change in unrealized appreciation on investments 15,468,352 Net increase in net assets resulting from operations 34,104,961 Fund unit transactions Proceeds from units issued Class Founders 46,628,013 Class M 2,300,000 Class R 5,784,887 Total proceeds from units issued 54,712,900 Value of units redeemed Class Founders (24,505,206) Class R (2,437,787) Total value of units redeemed (26,942,993) Increase in net assets resulting from fund unit transactions 27,769,907 Increase in net assets 61,874,868 Net assets, beginning of year 343,817,786 Net assets, end of year $ 405,692,654
See Notes to the Financial Statements. 44 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett High Yield Core Trust II
Financial Highlights For the year ended December 31, 2020 Per Unit Operating Performance Class Founders Class M Class R Net asset value, beginning of year $ 11.19 $ 11.18 $ 11.12 Income from investment operations: (1) Net investment income 0.60 0.58 0.58 (1) Net realized and unrealized gain on investments 0.37 0.38 0.36 Total income from investment operations 0.97 0.96 0.94 Net asset value, end of year $ 12.16 $ 12.14 $ 12.06 Total Return 8.67% 8.59% 8.45% Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.38% 0.47% 0.49% Net expenses 0.33% 0.44% 0.46% Net investment income 5.39% 5.26% 5.25% Fund Unit Activity Units, beginning of year 28,962,148 754,103 1,013,889 Issued 4,344,675 224,172 521,282 Redeemed (2,205,209) - (232,313) Units, end of year 31,101,614 978,275 1,302,858
(1) Based on average units outstanding.
See Notes to the Financial Statements. 45 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Security - 1.6% Financials - 1.6% KKR CLO 9 Ltd., 1.991%, 7/15/2030 250,000 $ 247,866 $ 249,876
Corporate Bonds - 89.3% Basic Materials - 3.2% Antofagasta PLC, 2.375%, 10/14/2030 200,000 199,294 201,000 Chemours Company/The, 5.75%, 11/15/2028 18,000 18,000 18,394 Cleveland-Cliffs Inc., 6.75%, 3/15/2026 10,000 10,650 10,813 Cleveland-Cliffs Inc., 9.875%, 10/17/2025 9,000 10,376 10,598 Coeur Mining, Inc., 5.875%, 6/1/2024 43,000 43,753 43,479 Freeport-McMoRan Inc., 4.125%, 3/1/2028 13,000 12,500 13,658 Freeport-McMoRan Inc., 4.25%, 3/1/2030 26,000 26,160 28,039 Freeport-McMoRan Inc., 4.375%, 8/1/2028 14,000 14,055 14,901 Freeport-McMoRan Inc., 5.45%, 3/15/2043 58,000 68,665 72,318 Hecla Mining Company, 7.25%, 2/15/2028 15,000 13,091 16,406 Ingevity Corporation, 3.875%, 11/1/2028 15,000 15,074 15,141 Newmont Corporation, 2.25%, 10/1/2030 26,000 25,798 27,394 Reliance Steel & Aluminum Co., 2.15%, 8/15/2030 5,000 4,986 5,145 Suzano Austria GmbH, 3.75%, 1/15/2031 15,000 14,852 15,934 Teck Resources Limited, 3.9%, 7/15/2030 9,000 8,956 10,034 Total Basic Materials 486,210 503,254
Communications - 16.4% Amazon.com, Inc., 3.15%, 8/22/2027 120,000 127,325 136,794 Booking Holdings Inc., 0.9%, 9/15/2021 70,000 77,901 81,307 Cable One, Inc., 4%, 11/15/2030 30,000 30,823 31,219 CCO Holdings, LLC, 4.75%, 3/1/2030 180,000 183,654 194,445 Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027 15,000 14,998 15,169 Clear Channel Worldwide Holdings, Inc., 9.25%, 2/15/2024 8,000 7,920 8,121 Diamond Sports Group LLC, 5.375%, 8/15/2026 25,000 21,118 20,359 DISH DBS Corporation, 7.75%, 7/1/2026 98,000 102,482 109,833 Etsy, Inc., 0.125%, 10/1/2026 19,000 16,663 40,408 FireEye, Inc., 1.625%, 6/1/2035 40,000 38,689 39,451 Fiverr International Ltd., 0%, 11/1/2025 15,000 15,000 18,179 Frontier Communications Corporation, 5%, 5/1/2028 21,000 21,000 21,932 Frontier Communications Corporation, 5.875%, 10/15/2027 12,000 12,000 12,998 Frontier Communications Corporation, 6.75%, 5/1/2029 7,000 7,000 7,503 GDS Holdings Limited, 2%, 6/1/2025 34,000 38,964 64,388 Go Daddy Operating Co. LLC, 5.25%, 12/1/2027 12,000 12,618 12,653
See Notes to the Financial Statements. 46 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Communications - 16.4% (continued) GrubHub Holdings Inc., 5.5%, 7/1/2027 28,000 $ 28,607 $ 29,400 Hughes Satellite Systems Corporation, 5.25%, 8/1/2026 20,000 21,706 22,146 JD.com, Inc., 3.375%, 1/14/2030 200,000 199,360 217,635 Lyft, Inc., 1.5%, 5/15/2025 41,000 47,912 60,945 Match Group Financeco 2, Inc., 0.875%, 6/15/2026 35,000 52,792 64,071 Match Group Holdings II, LLC, 5%, 12/15/2027 40,000 41,814 42,656 Meituan, 3.05%, 10/28/2030 200,000 199,726 208,120 Netflix, Inc., 3.625%, 6/15/2030 100,000 112,386 139,532 Netflix, Inc., 5.875%, 11/15/2028 37,000 43,949 44,420 Nexstar Broadcasting, Inc., 5.625%, 7/15/2027 50,000 52,765 53,641 Pinduoduo Inc., 0%, 12/1/2025 26,000 26,593 32,195 Prosus N.V., 3.68%, 1/21/2030 200,000 200,000 218,015 Q2 Holdings, Inc., 0.75%, 6/1/2026 32,000 40,760 49,173 Radiate Holdco LLC / Radiate Finance Inc., 4.5%, 9/15/2026 8,000 8,000 8,270 Radiate Holdco LLC / Radiate Finance Inc., 6.5%, 9/15/2028 18,000 18,000 18,934 RealReal, Inc./The, 3%, 6/15/2025 16,000 16,080 22,235 Shopify Inc., 0.125%, 11/1/2025 20,000 20,000 23,650 Sirius XM Radio Inc., 5%, 8/1/2027 45,000 47,264 47,879 Sprint Capital Corporation, 6.875%, 11/15/2028 103,000 112,559 135,997 Switch, Ltd., 3.75%, 9/15/2028 2,000 2,038 2,034 T-Mobile USA, Inc., 3.875%, 4/15/2030 13,000 12,906 15,070 T-Mobile USA, Inc., 4.5%, 4/15/2050 9,000 8,962 11,117 Twitter, Inc., 0.25%, 6/15/2024 23,000 24,015 27,853 Uber Technologies Inc., 0%, 12/15/2025 25,000 25,673 25,701 Uber Technologies Inc., 6.25%, 1/15/2028 10,000 10,700 10,888 Uber Technologies Inc., 7.5%, 9/15/2027 5,000 5,395 5,506 Univision Communications Inc., 5.125%, 2/15/2025 38,000 37,310 38,356 VeriSign, Inc., 5.25%, 4/1/2025 30,000 33,038 34,144 Wayfair Inc., 0.625%, 10/1/2025 43,000 45,257 40,791 Weibo Corporation, 1.25%, 11/15/2022 82,000 77,762 79,949 Windstream Escrow LLC, 7.75%, 8/15/2028 14,000 14,103 14,124 Wix.com Ltd., 0%, 8/15/2025 25,000 25,338 25,041 Zayo Group Holdings, Inc., 4%, 3/1/2027 29,000 28,428 29,110 Total Communications 2,369,353 2,613,357
Consumer, Cyclical - 23.3% Adient US LLC, 7%, 5/15/2026 43,000 46,148 46,842 Alaska Airlines 2020-1 Class A Pass Through Trust, 4.8%, 8/15/2027 19,000 19,269 20,988
See Notes to the Financial Statements. 47 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Consumer, Cyclical - 23.3% (continued) Allison Transmission, Inc., 3.75%, 1/30/2031 12,000 $ 12,000 $ 12,300 American Airlines Group Inc., 6.5%, 7/1/2025 39,000 39,563 49,084 AutoNation, Inc., 4.75%, 6/1/2030 9,000 9,095 10,837 BCD Acquisition, Inc., 9.625%, 9/15/2023 20,000 20,429 20,525 Beazer Homes USA, Inc., 7.25%, 10/15/2029 12,000 12,764 13,568 Best Buy Co., Inc., 1.95%, 10/1/2030 18,000 17,930 18,115 BMW US Capital LLC, 4.15%, 4/9/2030 27,000 26,961 32,677 Boyd Gaming Corporation, 4.75%, 12/1/2027 31,000 26,390 32,265 British Airways 2020-1 Class A Pass Through Trust, 4.25%, 11/15/2032 8,000 8,000 8,589 Burlington Stores, Inc., 2.25%, 4/15/2025 37,000 42,911 51,440 Caesars Entertainment, Inc., 8.125%, 7/1/2027 40,000 41,745 44,333 Caesars Resort Collection LLC, 5.25%, 10/15/2025 15,000 13,560 15,179 Caesars Resort Collection LLC, 5.75%, 7/1/2025 8,000 8,000 8,487 Carnival Corporation, 5.75%, 4/1/2023 11,000 21,822 26,080 Carnival Corporation, 7.625%, 3/1/2026 10,000 10,000 10,914 Carnival Corporation, 9.875%, 8/1/2027 29,000 29,657 33,404 Carnival Corporation, 11.5%, 4/1/2023 30,000 29,700 34,733 Carvana Co., 5.625%, 10/1/2025 26,000 25,821 26,715 Carvana Co., 5.875%, 10/1/2028 8,000 8,000 8,317 Century Communities, Inc., 6.75%, 6/1/2027 10,000 10,213 10,706 Churchill Downs Incorporated, 4.75%, 1/15/2028 37,000 38,067 39,028 Churchill Downs Incorporated, 5.5%, 4/1/2027 9,000 9,551 9,550 Clarios Global LP, 8.5%, 5/15/2027 19,000 19,728 20,673 Costco Wholesale Corporation, 1.75%, 4/20/2032 19,000 18,961 19,764 D.R. Horton, Inc., 2.6%, 10/15/2025 9,000 9,018 9,716 Delta Air Lines, Inc., 7%, 5/1/2025 26,000 26,000 30,036 Delta Air Lines 2019-1 Class AA Pass Through Trust, 3.204%, 4/25/2024 40,000 41,693 41,185 Delta Air Lines Inc. / SkyMiles IP Ltd., 4.5%, 10/20/2025 17,000 17,130 18,176 Delta Air Lines Inc. / SkyMiles IP Ltd., 4.75%, 10/20/2028 23,000 23,398 25,123 Dollar General Corporation, 3.5%, 4/3/2030 16,000 15,989 18,387 Ferguson Finance plc, 3.25%, 6/2/2030 200,000 199,104 223,349 Ford Motor Company, 9%, 4/22/2025 69,000 72,404 84,879 Ford Motor Company, 9.625%, 4/22/2030 56,000 69,527 79,120 Gap, Inc./The, 8.625%, 5/15/2025 15,000 15,000 16,752 Gap, Inc./The, 8.875%, 5/15/2027 21,000 22,435 24,386 General Motors Company, 6.125%, 10/1/2025 29,000 29,198 35,198 General Motors Financial Company, Inc., 5.25%, 3/1/2026 22,000 22,877 25,953 H&E Equipment Services, Inc., 3.875%, 12/15/2028 24,000 24,000 24,211 Hasbro, Inc., 3.9%, 11/19/2029 25,000 25,169 28,341 See Notes to the Financial Statements. 48 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Consumer, Cyclical - 23.3% (continued) Hilton Domestic Operating Company Inc., 4.875%, 1/15/2030 60,000 $ 63,529 $ 65,663 Huazhu Group Limited, 0.375%, 11/1/2022 47,000 48,732 53,777 IRB Holding Corp., 7%, 6/15/2025 10,000 10,000 10,943 KFC Holding Co., 4.75%, 6/1/2027 50,000 52,140 52,946 Lear Corporation, 3.8%, 9/15/2027 11,000 11,255 12,346 Lear Corporation, 4.25%, 5/15/2029 14,000 14,096 16,018 Lennar Corporation, 4.75%, 11/29/2027 55,000 60,835 65,068 Live Nation Entertainment, Inc., 2.5%, 3/15/2023 35,000 44,175 45,353 Live Nation Entertainment, Inc., 3.75%, 1/15/2028 16,000 16,115 16,206 Live Nation Entertainment, Inc., 4.75%, 10/15/2027 24,000 23,971 24,675 Magna International Inc., 2.45%, 6/15/2030 11,000 10,953 11,841 Marriott International, Inc., 3.5%, 10/15/2032 22,000 21,841 24,113 Marriott International, Inc., 5.75%, 5/1/2025 12,000 12,547 14,042 Mattel, Inc., 5.875%, 12/15/2027 20,000 20,523 22,263 Mattel, Inc., 6.75%, 12/31/2025 62,000 65,064 65,501 Mclaren Finance PLC, 5.75%, 8/1/2022 200,000 150,000 195,000 Melco Resorts Finance Limited, 5.75%, 7/21/2028 200,000 200,000 213,350 Mileage Plus Holdings LLC, 6.5%, 6/20/2027 25,000 24,688 26,922 Mohegan Gaming & Entertainment, 7.875%, 10/15/2024 17,000 16,325 17,786 Murphy Oil USA, Inc., 4.75%, 9/15/2029 35,000 37,048 37,312 Newell Brands Inc., 4.7%, 4/1/2026 60,000 62,099 66,176 Newell Brands Inc., 5.875%, 4/1/2036 38,000 44,794 46,265 NIKE, Inc., 2.4%, 3/27/2025 8,000 7,989 8,625 NVR, Inc., 3%, 5/15/2030 41,000 42,374 44,884 Penn National Gaming, Inc., 5.625%, 1/15/2027 35,000 36,531 36,579 Penske Automotive Group, Inc., 3.5%, 9/1/2025 9,000 9,023 9,158 Penske Automotive Group, Inc., 5.5%, 5/15/2026 6,000 5,960 6,244 Pinnacle Bidco PLC, 5.5%, 2/15/2025 100,000 112,295 121,257 PulteGroup, Inc., 6.375%, 5/15/2033 45,000 52,203 61,836 Rite Aid Corporation, 8%, 11/15/2026 30,000 30,600 32,124 Royal Caribbean Cruises Ltd., 4.25%, 6/15/2023 45,000 49,161 60,041 Royal Caribbean Cruises Ltd., 9.125%, 6/15/2023 20,000 20,491 21,725 Royal Caribbean Cruises Ltd., 11.5%, 6/1/2025 20,000 19,410 23,406 Scientific Games International, Inc., 7%, 5/15/2028 40,000 41,732 43,076 Southwest Airlines Co., 1.25%, 5/1/2025 35,000 43,996 51,013 Starbucks Corporation, 4.45%, 8/15/2049 24,000 27,676 31,661 Stars Group Holdings BV, 7%, 7/15/2026 25,000 27,059 26,359 Tenneco Inc., 7.875%, 1/15/2029 5,000 5,000 5,623
See Notes to the Financial Statements. 49 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Consumer, Cyclical - 23.3% (continued) Tesla, Inc., 2%, 5/15/2024 4,000 $ 27,428 $ 45,488 Tesla, Inc., 5.3%, 8/15/2025 72,000 69,300 75,150 Toll Brothers Finance Corp., 4.875%, 3/15/2027 50,000 54,271 57,303 United Airlines 2020-1 Class A Pass Through Trust, 5.875%, 10/15/2027 16,000 16,080 17,331 Vail Resorts, Inc., 0%, 1/1/2026 30,000 30,114 30,697 Viking Cruises Ltd., 13%, 5/15/2025 13,000 12,916 15,559 Volkswagen Group of America Finance, LLC, 3.75%, 5/13/2030 200,000 199,852 231,062 Wyndham Destinations, Inc., 6%, 4/1/2027 36,000 39,083 40,433 Wynn Macau, Limited, 5.625%, 8/26/2028 200,000 206,000 209,986 Total Consumer, Cyclical 3,376,501 3,720,111
Consumer, Non-cyclical - 13.9% Ahern Rentals, Inc., 7.375%, 5/15/2023 19,000 14,680 13,929 Albertsons Cos Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 4.625%, 1/15/2027 11,000 10,670 11,713 Albertsons Cos Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 4.875%, 2/15/2030 26,000 25,854 28,675 Anthem, Inc., 2.25%, 5/15/2030 22,000 21,918 23,383 Arcor S A I C, 6%, 7/6/2023 20,000 18,784 19,715 AstraZeneca PLC, 2.125%, 8/6/2050 43,000 40,669 40,266 B.A.T Capital Corporation, 4.7%, 4/2/2027 9,000 9,000 10,593 BridgeBio Pharma, Inc., 2.5%, 3/15/2027 29,000 28,941 53,602 Brown-Forman Corporation, 4.5%, 7/15/2045 20,000 24,582 26,973 Campbell Soup Company, 3.125%, 4/24/2050 21,000 20,943 22,224 Canopy Growth Corporation, 4.25%, 7/15/2023 137,000 91,126 112,240 Centene Corporation, 3.375%, 2/15/2030 33,000 33,605 34,771 Centene Corporation, 4.625%, 12/15/2029 60,000 62,982 66,690 Centene Corporation, 5.375%, 6/1/2026 25,000 26,593 26,399 Chegg, Inc., 0.25%, 5/15/2023 15,000 23,112 50,216 Chobani LLC / Chobani Finance Corp. Inc., 7.5%, 4/15/2025 16,000 16,535 16,827 Clorox Company/The, 1.8%, 5/15/2030 14,000 13,998 14,470 CONMED Corporation, 2.625%, 2/1/2024 25,000 29,688 35,072 CoStar Group, Inc., 2.8%, 7/15/2030 14,000 14,121 14,562 Georgetown University/The, 2.943%, 4/1/2050 14,000 14,100 14,150 Global Payments Inc., 2.9%, 5/15/2030 34,000 33,889 36,999 Guardant Health, Inc., 0%, 11/15/2027 30,000 31,340 35,251 Hadrian Merger Sub Inc., 8.5%, 5/1/2026 25,000 23,918 25,902 HCA Inc., 5.875%, 2/1/2029 105,000 119,732 126,704
See Notes to the Financial Statements. 50 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Consumer, Non-cyclical - 13.9% (continued) Insmed Incorporated, 1.75%, 1/15/2025 41,000 $ 40,319 $ 46,216 Insulet Corporation, 0.375%, 9/1/2026 45,000 60,484 59,546 Invitae Corporation, 2%, 9/1/2024 15,000 20,146 23,965 JBS USA LUX SA, 6.75%, 2/15/2028 40,000 41,417 44,991 Johns Hopkins University/The, 2.813%, 1/1/2060 8,000 8,000 8,467 Kraft Heinz Foods Company, 4.375%, 6/1/2046 15,000 14,221 16,230 Kraft Heinz Foods Company, 4.875%, 10/1/2049 8,000 8,380 9,333 Kraft Heinz Foods Company, 5%, 6/4/2042 33,000 30,973 38,719 Kraft Heinz Foods Company, 5.2%, 7/15/2045 10,000 11,350 11,891 Legacy LifePoint Health, LLC, 4.375%, 2/15/2027 59,000 56,590 60,033 McCormick & Company, Incorporated, 2.5%, 4/15/2030 12,000 12,035 12,864 MEDNAX, Inc., 6.25%, 1/15/2027 32,000 27,865 34,359 Mersin Uluslararasi Liman Isletmeciligi A.S., 5.375%, 11/15/2024 200,000 204,600 213,222 Molina Healthcare, Inc., 3.875%, 11/15/2030 30,000 30,098 32,250 Natera, Inc., 2.25%, 5/1/2027 17,000 17,571 45,716 NeoGenomics, Inc., 1.25%, 5/1/2025 17,000 17,026 27,814 Nevro Corp., 1.75%, 6/1/2021 37,000 46,911 66,685 PayPal Holdings, Inc., 3.25%, 6/1/2050 39,000 39,348 45,079 Pfizer Inc., 2.625%, 4/1/2030 11,000 10,962 12,280 Quanta Services, Inc., 2.9%, 10/1/2030 12,000 11,960 12,869 Quest Diagnostics Incorporated, 2.8%, 6/30/2031 11,000 10,984 12,069 Regeneron Pharmaceuticals, Inc., 2.8%, 9/15/2050 18,000 17,949 17,511 RP Escrow Issuer, LLC, 5.25%, 12/15/2025 13,000 13,000 13,613 Sarepta Therapeutics, Inc., 1.5%, 11/15/2024 12,000 22,110 29,452 Shift4 Payments, Inc., 0%, 12/15/2025 21,000 21,000 25,731 Smithfield Foods, Inc., 5.2%, 4/1/2029 60,000 66,562 71,468 Square, Inc., 0.125%, 3/1/2025 40,000 51,723 75,478 Surgery Center Holdings, Inc., 10%, 4/15/2027 12,000 12,799 13,283 Sysco Corporation, 2.4%, 2/15/2030 14,000 13,972 14,589 Sysco Corporation, 6.6%, 4/1/2050 9,000 8,979 13,862 Tenet Healthcare Corporation, 5.125%, 5/1/2025 15,000 15,450 15,311 Tenet Healthcare Corporation, 6.125%, 10/1/2028 29,000 29,000 30,320 Tenet Healthcare Corporation, 6.25%, 2/1/2027 103,000 110,046 109,324 United Rentals (North America), Inc., 4%, 7/15/2030 14,000 14,321 14,753 United Rentals (North America), Inc., 4.875%, 1/15/2028 26,000 24,448 27,723 Universal Health Services, Inc., 2.65%, 10/15/2030 15,000 14,958 15,600 Verisk Analytics, Inc., 3.625%, 5/15/2050 13,000 13,322 15,152 WW International, Inc., 8.625%, 12/1/2025 12,000 12,649 12,515 Total Consumer, Non-cyclical 1,934,308 2,211,609 See Notes to the Financial Statements. 51 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Energy - 9.5% Apache Corporation, 4.25%, 1/15/2030 22,000 $ 22,342 $ 23,141 Apache Corporation, 4.375%, 10/15/2028 15,000 13,388 15,637 Apache Corporation, 4.75%, 4/15/2043 10,000 4,650 10,387 Apache Corporation, 5.1%, 9/1/2040 97,000 62,934 104,214 Buckeye Partners, L.P., 6.375%, 1/22/2078 46,000 33,556 34,698 Cenovus Energy Inc., 5.375%, 7/15/2025 14,000 14,000 15,794 Cenovus Energy Inc., 5.4%, 6/15/2047 43,000 22,520 50,480 Centennial Resource Production, LLC, 6.875%, 4/1/2027 35,000 34,121 25,214 Colonial Enterprises, Inc., 3.25%, 5/15/2030 9,000 8,995 10,186 Continental Resources, Inc., 4.375%, 1/15/2028 32,000 23,585 32,697 Continental Resources, Inc., 5.75%, 1/15/2031 21,000 21,000 23,349 Diamondback Energy, Inc., 3.5%, 12/1/2029 16,000 13,390 17,110 Diamondback Energy, Inc., 4.75%, 5/31/2025 4,000 4,016 4,507 Endeavor Energy Resources LP, 5.5%, 1/30/2026 12,000 12,370 12,336 Endeavor Energy Resources LP, 5.75%, 1/30/2028 18,000 18,459 19,444 Enphase Energy, Inc., 0.25%, 3/1/2025 18,000 18,779 40,885 EQT Corporation, 7.625%, 2/1/2025 20,000 18,640 22,803 Galaxy Pipeline Assets Bidco Limited, 3.25%, 9/30/2040 200,000 200,000 211,606 Hilcorp Energy I, L.P., 5%, 12/1/2024 45,000 39,954 44,827 Indigo Natural Resources LLC, 6.875%, 2/15/2026 23,000 20,556 23,575 Jagged Peak Energy LLC, 5.875%, 5/1/2026 15,000 15,241 15,569 Laredo Petroleum, Inc., 10.125%, 1/15/2028 21,000 21,000 17,892 Matador Resources Company, 5.875%, 9/15/2026 11,000 9,388 10,794 MEG Energy Corp., 7%, 3/31/2024 18,000 17,645 18,225 MEG Energy Corp., 7.125%, 2/1/2027 46,000 46,594 47,610 Murphy Oil Corporation, 5.75%, 8/15/2025 25,000 25,563 24,940 Murphy Oil Corporation, 5.875%, 12/1/2027 13,000 13,233 12,817 NGPL PipeCo LLC, 4.875%, 8/15/2027 60,000 63,529 67,990 Oceaneering International, Inc., 6%, 2/1/2028 30,000 27,375 26,888 Parsley Energy LLC, 5.625%, 10/15/2027 11,000 11,414 12,056 PBF Holding Co. LLC, 9.25%, 5/15/2025 26,000 25,738 25,535 PDC Energy, Inc., 5.75%, 5/15/2026 36,000 24,418 37,238 Petroleos Mexicanos, 6.875%, 8/4/2026 37,000 35,939 40,478 Range Resources Corporation, 5%, 3/15/2023 30,000 29,383 29,306 Sabine Pass Liquefaction, LLC, 4.5%, 5/15/2030 11,000 10,972 13,046 Seven Generations Energy Ltd., 5.375%, 9/30/2025 17,000 14,015 17,350 Shell International Finance B.V., 6.375%, 12/15/2038 30,000 43,421 46,694
See Notes to the Financial Statements. 52 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Energy - 9.5% (continued) SM Energy Company, 6.125%, 11/15/2022 10,000 $ 7,558 $ 9,735 SM Energy Company, 6.625%, 1/15/2027 8,000 7,202 6,420 SM Energy Company, 6.75%, 9/15/2026 8,000 5,860 6,500 Southwestern Energy Company, 6.45%, 1/23/2025 11,000 9,670 11,433 Southwestern Energy Company, 7.75%, 10/1/2027 23,000 21,490 24,876 Southwestern Energy Company, 8.375%, 9/15/2028 21,000 22,713 22,824 SunPower Corporation, 0.875%, 6/1/2021 16,000 14,470 16,461 SunPower Corporation, 4%, 1/15/2023 41,000 35,465 53,412 TerraForm Power Operating, LLC, 4.75%, 1/15/2030 50,000 50,512 53,611 Topaz Solar Farms LLC, 5.75%, 9/30/2039 52,012 60,376 59,786 Warrior Met Coal, Inc., 8%, 11/1/2024 15,000 15,209 15,349 Western Midstream Operating, LP, 5.3%, 2/1/2030 25,000 22,456 27,846 Total Energy 1,315,104 1,515,571
Financials - 6.6% AG Issuer, LLC, 6.25%, 3/1/2028 24,000 24,140 24,330 American Homes 4 Rent, L.P., 4.9%, 2/15/2029 11,000 12,507 13,295 Avolon Holdings Funding Limited, 4.25%, 4/15/2026 7,000 6,998 7,547 Brown & Brown, Inc., 2.375%, 3/15/2031 18,000 18,085 18,870 Charles Schwab Corporation/The, 5.375% ^* 20,000 20,000 22,325 CIT Group Inc., 5.25%, 3/7/2025 12,000 13,393 13,643 CIT Group Inc., 6.125%, 3/9/2028 55,000 64,577 67,296 CNA Financial Corporation, 2.05%, 8/15/2030 9,000 8,977 9,190 Crown Castle International Corp., 4.15%, 7/1/2050 9,000 9,057 10,960 CyrusOne LP, 2.15%, 11/1/2030 18,000 17,783 17,589 CyrusOne LP, 2.9%, 11/15/2024 8,000 7,871 8,556 ESH Hospitality, Inc., 4.625%, 10/1/2027 35,000 33,096 35,919 Global Aircraft Leasing Co., Ltd., 6.5%, 9/15/2024 26,761 25,990 23,439 GLP Capital, L.P. / GLP Financing II, Inc., 4%, 1/15/2031 16,000 15,812 17,490 GLP Capital, L.P. / GLP Financing II, Inc., 5.75%, 6/1/2028 20,000 22,684 23,747 Goldman Sachs Group, Inc./The, 3.5%, 11/16/2026 35,000 36,510 39,318 Hannon Armstrong Sustainable Infrastructure Capital, Inc., 4.125%, 9/1/2022 17,000 19,540 39,790 HAT Holdings I LLC / HAT Holdings II LLC, 3.75%, 9/15/2030 15,000 15,375 15,638 HAT Holdings I LLC / HAT Holdings II LLC, 6%, 4/15/2025 10,000 10,000 10,713 Host Hotels & Resorts, L.P., 3.5%, 9/15/2030 24,000 24,738 25,322 IH Merger Sub, LLC, 3.5%, 1/15/2022 24,000 32,811 32,166 IIP Operating Partnership, LP, 3.75%, 2/21/2024 10,000 19,392 28,049
See Notes to the Financial Statements. 53 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Financials - 6.6% (continued) JPMorgan Chase & Co., 3.54%, 5/1/2028 25,000 $ 26,446 $ 28,597 JPMorgan Chase & Co., 4.6% ^* 16,000 13,716 16,540 MGM Growth Properties Operating Partnership LP, 4.625%, 6/15/2025 11,000 11,000 11,792 Morgan Stanley, 3.625%, 1/20/2027 30,000 31,952 34,449 MPT Operating Partnership LP / MPT Finance Corp., 5%, 10/15/2027 12,000 12,654 12,786 Nationstar Mortgage Holdings Inc., 5.125%, 12/15/2030 12,000 12,000 12,558 Navient Corporation, 6.125%, 3/25/2024 25,000 26,803 26,765 Navient Corporation, 6.75%, 6/25/2025 10,000 9,950 10,888 Navient Corporation, 6.75%, 6/15/2026 73,000 78,222 79,707 Neuberger Berman Group LLC, 4.875%, 4/15/2045 21,000 23,663 23,849 OneMain Finance Corporation, 4%, 9/15/2030 18,000 18,000 18,699 OneMain Finance Corporation, 5.375%, 11/15/2029 4,000 4,290 4,510 OneMain Finance Corporation, 7.125%, 3/15/2026 22,000 24,785 26,043 Park Intermediate Holdings LLC, 5.875%, 10/1/2028 23,000 23,075 24,538 Popular, Inc., 6.125%, 9/14/2023 12,000 12,950 13,004 Quicken Loans LLC, 3.625%, 3/1/2029 21,000 21,088 21,459 Quicken Loans LLC, 3.875%, 3/1/2031 12,000 12,000 12,480 Quicken Loans, LLC, 5.25%, 1/15/2028 12,000 12,482 12,833 Redfin Corporation, 0%, 10/15/2025 35,000 35,000 42,005 SBA Communications Corporation, 3.875%, 2/15/2027 30,000 30,000 31,547 SVB Financial Group, 3.125%, 6/5/2030 14,000 14,218 15,786 Teachers Insurance & Annuity Association of America, 4.27%, 5/15/2047 22,000 25,322 27,558 Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC, 8.25%, 10/15/2023 21,000 19,055 21,197 Weyerhaeuser Company, 7.375%, 3/15/2032 11,000 15,867 16,507 Total Financials 973,874 1,051,289
Industrials - 5.9% Amphenol Corporation, 2.05%, 3/1/2025 11,000 10,981 11,627 Atlas Air Worldwide Holdings, Inc., 1.875%, 6/1/2024 27,000 32,267 30,768 Ball Corporation, 2.875%, 8/15/2030 35,000 35,038 34,956 Carrier Global Corporation, 2.7%, 2/15/2031 20,000 20,728 21,513 Chart Industries, Inc., 1%, 11/15/2024 20,000 23,162 41,996 Crown Cork & Seal Company, Inc., 7.375%, 12/15/2026 11,000 13,121 13,432 CryoPort, Inc., 3%, 6/1/2025 11,000 11,000 21,932 FedEx Corp. 2020-1 Class AA Pass Through Trust, 1.875%, 2/20/2034 26,000 26,000 26,899
See Notes to the Financial Statements. 54 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Industrials - 5.9% (continued) Flex Ltd., 4.875%, 5/12/2030 13,000 $ 15,031 $ 15,652 FLIR Systems, Inc., 2.5%, 8/1/2030 15,000 15,146 15,755 Huntington Ingalls Industries, Inc., 3.844%, 5/1/2025 9,000 9,000 10,024 IDEX Corporation, 3%, 5/1/2030 13,000 13,098 14,322 Itron, Inc., 5%, 1/15/2026 12,000 12,474 12,285 Lennox International Inc., 1.35%, 8/1/2025 11,000 11,060 11,258 Lennox International Inc., 1.7%, 8/1/2027 14,000 14,068 14,254 Masonite International Corporation, 5.375%, 2/1/2028 13,000 13,630 13,981 Maxim Crane Works Holdings Capital, LLC, 10.125%, 8/1/2024 14,000 14,295 14,614 Middleby Corporation/The, 1%, 9/1/2025 20,000 24,632 24,475 Mueller Water Products, Inc., 5.5%, 6/15/2026 30,000 31,425 31,194 Raytheon Technologies Corporation, 4.125%, 11/16/2028 15,000 16,928 17,886 Roper Technologies, Inc., 1.75%, 2/15/2031 40,000 39,936 39,858 Scorpio Tankers Inc., 3%, 5/15/2022 76,000 74,900 73,109 Sealed Air Corporation, 6.875%, 7/15/2033 23,000 30,320 30,432 Signature Aviation US Holdings, Inc., 4%, 3/1/2028 61,000 61,010 61,504 SPX FLOW, Inc., 5.875%, 8/15/2026 20,000 21,231 20,963 TransDigm Inc., 5.5%, 11/15/2027 112,000 111,602 117,914 TransDigm Inc., 6.375%, 6/15/2026 16,000 16,845 16,590 Vertical Holdco GmbH, 6.625%, 7/15/2028 100,000 112,315 131,773 Waste Pro USA, Inc., 5.5%, 2/15/2026 22,000 22,744 22,559 XPO Logistics, Inc., 6.25%, 5/1/2025 22,000 22,000 23,716 Total Industrials 875,987 937,241
Technology - 7.1% Activision Blizzard, Inc., 2.5%, 9/15/2050 22,000 21,940 21,504 Advanced Micro Devices, Inc., 2.125%, 9/1/2026 3,000 14,722 34,355 Apple Inc., 1.8%, 9/11/2024 20,000 19,874 21,010 Apple Inc., 3%, 6/20/2027 30,000 31,459 33,612 Cardlytics, Inc., 1%, 9/15/2025 24,000 24,837 43,961 CDW LLC / CDW Finance Corp., 4.125%, 5/1/2025 6,000 6,000 6,288 Cerence Inc., 3%, 6/1/2025 12,000 12,000 33,822 Coupa Software Incorporated, 0.375%, 6/15/2026 55,000 68,133 74,237 Five9, Inc., 0.5%, 6/1/2025 50,000 50,000 72,883 Intuit Inc., 0.95%, 7/15/2025 7,000 6,994 7,094 Intuit Inc., 1.65%, 7/15/2030 14,000 13,966 14,392
See Notes to the Financial Statements. 55 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Technology - 7.1% (continued) Leidos, Inc., 3.625%, 5/15/2025 14,000 $ 14,190 $ 15,671 Microchip Technology Incorporated, 1.625%, 2/15/2025 15,000 29,761 45,490 Micron Technology, Inc., 5.327%, 2/6/2029 25,000 28,075 31,298 Microsoft Corporation, 3.3%, 2/6/2027 85,000 91,369 97,003 MongoDB, Inc., 0.25%, 1/15/2026 21,000 23,534 37,857 Novellus Systems, Inc., 2.625%, 5/15/2041 3,000 24,521 44,463 NXP Funding LLC, 3.4%, 5/1/2030 14,000 13,968 15,899 ON Semiconductor Corporation, 1.625%, 10/15/2023 42,000 61,740 70,475 Presidio Holdings Inc., 4.875%, 2/1/2027 14,000 13,363 14,875 PTC Inc., 3.625%, 2/15/2025 37,000 37,915 38,107 PTC Inc., 4%, 2/15/2028 7,000 7,000 7,350 RingCentral, Inc., 0%, 3/1/2025 55,000 54,838 70,432 ServiceNow, Inc., 1.4%, 9/1/2030 17,000 16,936 16,597 Teradyne, Inc., 1.25%, 12/15/2023 18,000 36,951 68,096 Twilio Inc., 0.25%, 6/1/2023 11,000 32,914 52,557 Veritas US Inc / Veritas Bermuda Ltd., 7.5%, 9/1/2025 32,000 32,375 32,880 Western Digital Corporation, 1.5%, 2/1/2024 70,000 68,170 69,926 Western Digital Corporation, 4.75%, 2/15/2026 40,000 41,262 44,250 Total Technology 898,807 1,136,384
Utilities - 3.4% Atlantica Sustainable Infrastructure Jersey Limited, 4%, 7/15/2025 19,000 19,000 23,023 Calpine Corporation, 3.75%, 3/1/2031 18,000 18,000 17,860 Calpine Corporation, 4.625%, 2/1/2029 53,000 53,975 54,578 Calpine Corporation, 5%, 2/1/2031 14,000 14,000 14,651 Calpine Corporation, 5.125%, 3/15/2028 18,000 17,869 18,961 Clearway Energy Operating LLC, 4.75%, 3/15/2028 21,000 21,211 22,542 Clearway Energy Operating LLC, 5.75%, 10/15/2025 15,000 15,896 15,816 FirstEnergy Corp., 4.4%, 7/15/2027 29,000 31,395 31,991 Florida Power & Light Company, 2.85%, 4/1/2025 13,000 12,987 14,167 Indianapolis Power & Light Company, 4.05%, 5/1/2046 30,000 33,677 36,699 National Fuel Gas Company, 5.5%, 1/15/2026 41,000 40,802 47,333 NextEra Energy Operating Partners, LP, 4.5%, 9/15/2027 78,000 80,173 87,498 NRG Energy, Inc., 4.45%, 6/15/2029 5,000 5,163 5,807 NRG Energy, Inc., 5.75%, 1/15/2028 80,000 87,112 87,550 Pattern Energy Operations LP / Pattern Energy Operations Inc., 4.5%, 8/15/2028 21,000 21,553 22,194
See Notes to the Financial Statements. 56 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 89.3% (continued) Utilities - 3.4% (continued) Puget Energy, Inc., 4.1%, 6/15/2030 22,000 $ 21,963 $ 24,911 Union Electric Company, 2.625%, 3/15/2051 14,000 13,933 14,675 Total Utilities 508,709 540,256 Total Corporate Bonds 12,738,853 14,229,072
Mortgage-Backed Securities - 0.8% BHMS 2018-ATLS, 1.377%, 7/15/2035 100,000 96,969 97,588 Great Wolf Trust 2019-WOLF, 1.16%, 12/15/2036 44,000 43,221 43,130 Total Mortgage-Backed Securities 140,190 140,718
Municipal Bonds - 0.3% County of Miami-Dade FL, 2.786%, 10/1/2037 5,000 5,000 5,113 Foothill-Eastern Transportation Corridor Agency, 4.094%, 1/15/2049 9,000 9,000 9,687 Regents of the University of California Medical Center Pooled Revenue, 3.006%, 5/15/2050 10,000 10,000 10,634 State of Illinois, 5.1%, 6/1/2033 25,000 26,248 26,924 Total Municipal Bonds 50,248 52,358
Preferred Stock - 1.9% Consumer, Cyclical - 0.2% Aptiv PLC, 5.5%, 6/15/2023 240 30,521 37,032
Consumer, Non-cyclical - 0.4% Danaher Corporation, 4.75%, 4/15/2022 46 53,024 69,811
Financials - 0.6% 2020 Mandatory Exchangeable Trust, 6.5%, 5/16/2023 15 16,570 30,226 Bank of America Corporation, 7.25% ^ 40 60,465 60,743 Total Financials 77,035 90,969
Utilities - 0.7% NextEra Energy, Inc., 4.872%, 9/1/2022 1,795 89,563 106,264 Total Preferred Stock 250,143 304,076
Real Estate Investment Trusts - 0.8% Financials - 0.8% Crown Castle International Corp. 774 107,275 123,213 Extra Space Storage Inc. 57 6,753 6,604 Total Real Estate Investment Trusts 114,028 129,817 See Notes to the Financial Statements. 57 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Sovereign Bonds - 2.7% China Government International Bond, 2.25%, 10/21/2050 200,000 $ 197,414 $ 198,690 Republic of Kenya, 7.25%, 2/28/2028 200,000 209,200 224,882 Republic of Peru, 2.392%, 1/23/2026 8,000 8,000 8,548 Total Sovereign Bonds 414,614 432,120
Money Market Fund - 1.3% State Street Institutional Treasury Plus Money Market Fund - Premier Class 208,968 208,968 208,968 Total Investments - 98.7% $ 14,164,910 15,747,005 Other Assets and Liabilities, Net - 1.3% 204,573 Net Assets - 100% $ 15,951,578
^Perpetual security *Variable rate security
Futures Number of Value as of Unrealized Contracts Expiration December 31, Appreciation Long (Short) Date 2020 (Depreciation) Futures in gain position United States 2-Year Treasury Note Future 24 3/31/2021 $ 5,303,437 $ 5,063 United States 5-Year Treasury Note Future 15 3/31/2021 1,892,461 2,361 United States 10-Year Ultra Future (10) 3/22/2021 (1,563,594) 1,929 United States Long Bond Future (7) 3/22/2021 (1,212,313) 7,549 4,419,991 16,902 Futures in loss position United States 10-Year Treasury Note Future (10) 3/22/2021 (1,380,781) (937) United States Ultra Bond Future 2 3/22/2021 427,125 (2,508) (953,656) (3,445) $ 3,466,335 $ 13,457
See Notes to the Financial Statements. 58 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
Forward Foreign Currency Contracts Unrealized Settlement Currency Currency Appreciation Counterparty Date Purchased Sold (Depreciation)
Bank of America, N.A. 1/20/2021 CAD 6,000 USD 4,645 $ 60 Bank of America, N.A. 1/20/2021 CAD 9,000 USD 7,003 54 Bank of America, N.A. 1/20/2021 CAD 12,000 USD 9,393 16 Bank of America, N.A. 1/20/2021 USD 78,302 CAD 103,000 (2,457) Bank of America, N.A. 1/20/2021 USD 35,782 CAD 47,000 (1,069) Bank of America, N.A. 1/20/2021 USD 3,028 CAD 4,000 (108) Bank of America, N.A. 1/20/2021 USD 3,781 CAD 5,000 (140) Bank of America, N.A. 1/20/2021 USD 12,312 CAD 16,000 (233) Bank of America, N.A. 3/4/2021 USD 396,644 EUR 327,000 (3,788) $ (7,665)
Centrally Cleared Credit Default Swaps
Fixed Upfront Rate Premiums Unrealized (Pay) Payment Maturity Notional Market Paid Appreciation Description Receive Frequency Date Amount Value (Received) (Depreciation) CDX.NA.IG.34 1.00% Quarterly 6/20/2025 322,000 $ (5,266) $ (4,605) $ (661) CDX.NA.IG.35 1.00% Quarterly 12/20/2025 500,000 (12,251) (11,400) (851) $ (17,517) $ (16,005) $ (1,512)
See Notes to the Financial Statements. 59 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
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 United States $ 11,728,845 73.5% China 854,754 5.4% United Kingdom 588,461 3.7% Canada 307,224 1.9% Netherlands 306,967 1.9% Cayman Islands 273,325 1.7% Kenya 224,882 1.4% Hong Kong 213,350 1.3% Turkey 213,222 1.3% United Arab Emirates 211,606 1.3% Macao 209,986 1.3% Chile 201,000 1.3% Germany 131,773 0.8% Monaco 73,109 0.5% Ireland 44,579 0.3% Israel 43,220 0.3% Mexico 40,478 0.3% Jersey 23,023 0.1% Argentina 19,715 0.1% Brazil 15,934 0.1% Puerto Rico 13,004 0.1% Peru 8,548 0.1% Total $ 15,747,005 98.7%
See Notes to the Financial Statements. 60 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Schedule of Investments (continued) December 31, 2020
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, 2020 (see Note 3):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Assets: Asset-Back Security $ - $ 249,876 $ - $ 249,876 Corporate Bonds - 14,205,633 23,439 14,229,072 Forward Foreign Currency Contracts 130 - - 130 Futures 16,902 - - 16,902 * Mortgage-Backed Securities - 140,718 - 140,718 Municipal Bonds - 52,358 - 52,358 Preferred Stocks 304,076 - - 304,076 Real Estate Investment Trusts 129,817 - - 129,817 Sovereign Bonds - 432,120 - 432,120 Money Market Fund 208,968 - - 208,968 Total Assets $ 659,893 $ 15,080,705 $ 23,439 $ 15,764,037
Liabilities: Centrally Cleared Credit Default Swaps $ - $ (17,517) $ - $ (17,517) * Forward Foreign Currency Contracts - (7,795) - (7,795) Futures (3,445) - - (3,445) * Total Liabilities $ (3,445) $ (25,312) $ - $ (28,757)
*Centrally Cleared Swaps and Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Centrally Cleared Swaps with upfront premiums are presented here at market value.
Concentration of Ownership: As of December 31, 2020, the Fund had one unitholder holding 10% or more of the outstanding units of the Fund, and aggregated to 100% of the Fund's total units outstanding.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:
Purchases Sales Realized at Cost Proceeds Gain
Investments $ 20,184,731 $ 19,953,773 $ 474,071
See Notes to the Financial Statements. 61 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Statement of Assets and Liabilities December 31, 2020 Assets Investments in securities, at fair value (cost $14,164,910) $ 15,747,005 Cash held at broker 54,933 Dividends and interest receivable 161,676 Receivable for investment securities sold 29,092 Receivable for reimbursement 8,230 Unrealized appreciation on forward foreign currency contracts 130 Variation margin receivable on futures 83 Miscellaneous receivable 5,287 Total assets 16,006,436 Liabilities and Net Assets Payable for investment securities purchased 31,099 Unrealized depreciation on forward foreign currency contracts 7,795 Variation margin payable on centrally cleared swaps 394 Accrued expenses 15,570 Total liabilities 54,858 Net assets $ 15,951,578
See Notes to the Financial Statements. 62 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Statement of Operations For the year ended December 31, 2020 Investment income Interest $ 573,554 Dividends 18,914 Miscellaneous income 70 Total investment income 592,538 Expenses Trustee and sub-advisor fees 57,211 Professional services and other operating expenses 32,077 Expense reimbursement from sub-advisor (18,501) Total expenses 70,787 Net investment income 521,751 Net realized gain (loss) on: Investments 474,071 Foreign currency transactions 14,168 Forward foreign currency contracts (26,610) Swaps (53,508) Futures (59,043) Net change in unrealized appreciation (depreciation) on: Investments 1,330,209 Futures 13,457 Forward foreign currency contracts (3,802) Foreign currency translation (5,274) Swaps (7,885) Net realized and unrealized gain on investments and foreign currency transactions and translation 1,675,783 Net increase in net assets resulting from operations $ 2,197,534
See Notes to the Financial Statements. 63 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Statement of Changes in Net Assets For the year ended December 31, 2020 Increase in net assets resulting from operations Net investment income $ 521,751 Net realized gain on investments and foreign currency transactions 349,078 Net change in unrealized appreciation on investments and foreign currency translation 1,326,705 Net increase in net assets resulting from operations 2,197,534 Increase in net assets 2,197,534 Net assets, beginning of year 13,754,044 Net assets, end of year $ 15,951,578
See Notes to the Financial Statements. 64 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Multi-Sector Strategic Trust II
Financial Highlights For the year ended December 31, 2020 Class Per Unit Operating Performance Founders Net asset value, beginning of year $ 10.22 Income from investment operations: (1) Net investment income 0.39 Net realized and unrealized gain on investments and foreign (1) currency transactions and translation 1.25 Total income from investment operations 1.64 Net asset value, end of year $ 11.86 Total Return 16.05% Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.63% Net expenses 0.50% Net investment income 3.68% Fund Unit Activity Units, beginning of year 1,345,433 Issued - Redeemed - Units, end of year 1,345,433
(1) Based on average units outstanding.
See Notes to the Financial Statements. 65 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 17.0% Auto - 7.2% Ally Auto Receivables Trust 2017-4, 1.96%, 7/15/2022 95,757 $ 94,762 $ 96,009 Ally Auto Receivables Trust 2018-1, 2.66%, 5/15/2023 360,000 360,681 364,911 AmeriCredit Automobile Receivables Trust 2017-4, 2.6%, 9/18/2023 950,000 965,809 966,827 AmeriCredit Automobile Receivables Trust 2019-3, 2.17%, 1/18/2023 123,180 123,656 123,705 AmeriCredit Automobile Receivables Trust 2020-1, 1.48%, 1/21/2025 59,000 58,996 60,097 ARI Fleet Lease Trust 2020-A, 1.77%, 8/15/2028 96,275 96,266 97,213 Capital Auto Receivables Asset Trust 2018-2, 3.48%, 10/20/2023 30,000 30,087 30,229 Capital Auto Receivables Asset Trust 2018-2, 3.69%, 12/20/2023 140,000 141,714 142,341 CarMax Auto Owner Trust 2019-3, 2.21%, 12/15/2022 97,113 97,109 97,563 CarMax Auto Owner Trust 2020-2, 1.7%, 11/15/2024 27,000 27,355 27,540 Carvana Auto Receivables Trust 2019-2, 3%, 6/17/2024 13,000 12,998 13,361 Chesapeake Funding II LLC, 2.12%, 11/15/2029 44,700 44,297 44,961 Chesapeake Funding II LLC, 2.94%, 4/15/2031 87,578 88,074 89,018 CPS Auto Receivables Trust 2019-C, 2.84%, 6/16/2025 100,000 99,978 102,194 CPS Auto Receivables Trust 2019-C, 3.17%, 6/16/2025 200,000 201,701 207,232 CPS Auto Receivables Trust 2019-D, 2.35%, 11/15/2023 100,000 99,994 101,085 CPS Auto Receivables Trust 2019-D, 2.54%, 8/15/2024 100,000 99,994 102,058 CPS Auto Receivables Trust 2020-C, 0.63%, 3/15/2024 373,613 373,919 374,024 CPS Auto Receivables Trust 2020-C, 1.01%, 1/15/2025 253,000 252,976 253,804 Drive Auto Receivables Trust 2019-2, 3.69%, 8/17/2026 127,000 133,633 133,642 Drive Auto Receivables Trust 2019-3, 2.9%, 8/15/2025 363,000 373,975 374,054 Drive Auto Receivables Trust 2019-4, 2.51%, 11/17/2025 82,000 81,988 83,845 Drive Auto Receivables Trust 2019-4, 2.7%, 2/16/2027 62,000 61,998 64,022 Enterprise Fleet Financing 2020-2 LLC, 0.61%, 7/20/2026 170,000 169,970 170,546 Exeter Automobile Receivables Trust 2019-4, 2.3%, 12/15/2023 65,000 64,989 65,656 First Investors Auto Owner Trust 2019-1, 2.89%, 3/15/2024 63,324 63,522 63,969 Ford Credit Auto Owner Trust 2016-REV2, 2.03%, 12/15/2027 138,000 136,226 139,121 Ford Credit Auto Owner Trust 2018-REV2, 3.47%, 1/15/2030 100,000 104,453 107,316 Ford Credit Auto Owner Trust 2019-REV1, 3.52%, 7/15/2030 100,000 105,031 109,163 Ford Credit Auto Owner Trust 2020-C, 0.41%, 7/15/2025 163,000 162,986 163,659 Foursight Capital Automobile Receivables Trust 2018-1, 5.56%, 1/16/2024 333,000 347,465 347,369 Foursight Capital Automobile Receivables Trust 2020-1, 2.05%, 10/15/2024 100,000 99,988 102,256 GLS Auto Receivables Issuer Trust 2020-3, 0.69%, 10/16/2023 424,468 425,016 425,066 GM Financial Automobile Leasing Trust 2020-2, 0.8%, 7/20/2023 69,000 68,991 69,537 GM Financial Automobile Leasing Trust 2020-3, 0.51%, 10/21/2024 352,000 351,951 353,575 GM Financial Consumer Automobile Receivables Trust 2019-1, 3.37%, 8/16/2024 17,000 17,062 17,810 GM Financial Consumer Automobile Receivables Trust 2020-4, 0.38%, 8/18/2025 192,000 191,959 192,425 See Notes to the Financial Statements. 66 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 17.0% (continued) Auto - 7.2% (continued) Honda Auto Receivables 2020-2 Owner Trust, 0.82%, 7/15/2024 70,000 $ 69,994 $ 70,695 Honda Auto Receivables 2020-3 Owner Trust, 0.37%, 10/18/2024 152,000 151,978 152,316 Hyundai Auto Receivables Trust 2019-B, 1.93%, 7/15/2022 28,469 28,467 28,570 Nissan Auto Lease Trust 2020-B, 0.43%, 10/16/2023 773,000 773,756 774,409 Prestige Auto Receivables Trust 2019-1, 2.45%, 5/15/2023 287,000 286,988 289,329 Santander Drive Auto Receivables Trust 2017-1, 3.17%, 4/17/2023 52,186 52,339 52,668 Santander Drive Auto Receivables Trust 2017-3, 2.76%, 12/15/2022 22,207 22,213 22,244 Santander Drive Auto Receivables Trust 2018-3, 3.51%, 8/15/2023 74,819 75,465 75,444 Santander Drive Auto Receivables Trust 2018-4, 3.56%, 7/15/2024 354,218 358,936 359,237 Santander Drive Auto Receivables Trust 2018-4, 3.98%, 12/15/2025 403,000 421,292 420,778 Santander Drive Auto Receivables Trust 2019-3, 2.49%, 10/15/2025 93,000 92,998 94,964 Santander Drive Auto Receivables Trust 2020-2, 0.62%, 5/15/2023 1,093,580 1,094,562 1,094,547 Santander Drive Auto Receivables Trust 2020-2, 2.22%, 9/15/2026 228,000 232,667 234,670 Santander Retail Auto Lease Trust 2019-B, 3.31%, 6/20/2024 284,000 283,939 294,243 Tesla Auto Lease Trust 2018-B, 3.71%, 8/20/2021 137,997 138,876 138,879 Toyota Auto Receivables 2020-D Owner Trust, 0.23%, 5/15/2023 177,000 176,994 177,022 Toyota Auto Receivables 2020-D Owner Trust, 0.35%, 1/15/2025 158,000 157,971 158,350 Volkswagen Auto Loan Enhanced Trust 2020-1, 0.98%, 11/20/2024 134,000 133,991 135,462 Westlake Automobile Receivables Trust 2018-1, 2.92%, 5/15/2023 - - - Westlake Automobile Receivables Trust 2019-1, 3.06%, 5/16/2022 1,057 1,059 1,058 Westlake Automobile Receivables Trust 2019-2, 2.57%, 2/15/2023 16,753 16,753 16,828 Westlake Automobile Receivables Trust 2019-2, 3.2%, 11/15/2024 26,000 25,998 26,925 Westlake Automobile Receivables Trust 2019-3, 2.41%, 10/15/2024 84,000 83,999 85,344 Westlake Automobile Receivables Trust 2019-3, 2.49%, 10/15/2024 81,000 80,984 82,947 World Omni Automobile Lease Securitization Trust 2020-B, 0.45%, 2/15/2024 89,000 88,993 89,273 World Omni Select Auto Trust 2019-A, 2.38%, 12/15/2025 13,000 12,998 13,453 World Omni Select Auto Trust 2019-A, 2.59%, 12/15/2025 38,000 37,988 38,993 Total Auto 11,133,767 11,205,851
Credit Cards - 1.8% American Express Credit Account Master Trust, 2.2%, 4/15/2025 356,000 355,971 366,696 American Express Credit Account Master Trust, 3.07%, 10/15/2024 139,000 140,303 143,411 Capital One Multi-Asset Execution Trust, 1.72%, 8/15/2024 39,000 39,899 39,955 Chase Issuance Trust, 2.77%, 3/15/2023 250,000 251,074 251,256 Golden Credit Card Trust, 2.62%, 1/15/2023 100,000 100,809 100,087 Golden Credit Card Trust, 3.44%, 8/15/2025 100,000 108,547 108,173 Master Credit Card Trust II, 1.99%, 9/21/2024 660,000 684,521 684,819
See Notes to the Financial Statements. 67 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 17.0% (continued) Credit Cards - 1.8% (continued) World Financial Network Credit Card Master Trust, 2.03%, 4/15/2025 137,000 $ 135,170 $ 138,046 World Financial Network Credit Card Master Trust, 2.21%, 7/15/2026 131,000 130,854 135,116 World Financial Network Credit Card Master Trust, 2.49%, 4/15/2026 254,000 261,716 261,864 World Financial Network Credit Card Master Trust, 3.07%, 12/16/2024 338,000 342,225 339,106 World Financial Network Credit Card Master Trust, 3.14%, 12/15/2025 92,000 94,623 94,900 World Financial Network Credit Card Master Trust, 3.46%, 7/15/2025 145,000 147,515 148,199 Total Credit Cards 2,793,227 2,811,628
Other - 8.0% ACAM 2019-FL1 Ltd., 1.53%, 11/17/2034 151,500 151,500 146,880 Ally Master Owner Trust, 3.29%, 5/15/2023 380,000 386,160 384,237 Ammc Clo 19 Ltd., 2.041%, 10/16/2028 250,000 250,000 249,764 Amur Equipment Finance Receivables VII LLC, 2.63%, 6/20/2024 77,162 77,157 78,617 Apex Credit CLO 2016 Ltd., 1.513%, 10/27/2028 109,629 109,629 109,355 Apidos CLO XXII, 1.284%, 4/20/2031 250,000 250,000 249,265 Aqua Finance Trust 2019-A, 3.14%, 7/16/2040 62,437 62,427 64,049 Ares XLI Clo Ltd., 1.441%, 1/15/2029 250,000 250,000 250,125 Bain Capital Credit CLO 2017-2 Ltd., 1.468%, 7/25/2030 249,889 249,014 249,910 Bain Capital Credit CLO 2020-5 Ltd., 1.492%, 1/20/2032 250,000 250,000 250,203 BDS 2019-FL3 Ltd., 1.527%, 12/15/2035 575,000 577,785 568,169 BSPRT 2019-FL5 Issuer Ltd., 1.277%, 5/15/2029 100,000 100,000 99,046 Conn's Receivables Funding 2019-B LLC, 2.66%, 6/17/2024 10,472 10,472 10,480 Dell Equipment Finance Trust 2020-2, 0.57%, 10/23/2023 239,000 238,982 240,035 Elmwood CLO VI Ltd., 1.557%, 10/15/2031 250,000 250,000 250,403 Grand Avenue CRE 2019-FL1, 1.247%, 6/15/2037 271,000 271,000 270,102 Grand Avenue CRE 2019-FL1, 1.627%, 6/15/2037 277,000 274,345 276,205 GREYWOLF CLO VII Ltd., 1.404%, 10/20/2031 330,000 329,406 329,312 Hempstead II CLO Ltd., 1.486%, 8/10/2029 299,159 299,009 299,190 HPEFS Equipment Trust 2020-1, 1.73%, 2/20/2030 81,859 81,858 82,516 HPEFS Equipment Trust 2020-1, 1.89%, 2/20/2030 100,000 99,991 101,951 Hyundai Floorplan Master Owner Trust, 2.68%, 4/15/2024 135,000 134,978 138,865 Jackson Mill CLO Ltd., 1.071%, 4/15/2027 206,975 203,353 206,387 Jamestown CLO IX Ltd., 1.394%, 10/20/2028 250,000 250,000 250,008 JFIN CLO 2013 Ltd., 2.424%, 1/20/2030 100,000 100,000 99,826 KKR CLO 16 Ltd., 2.024%, 1/20/2029 250,000 250,000 250,016 KKR CLO 28 Ltd., 1.357%, 3/15/2031 250,000 250,000 249,488 KKR CLO 30 Ltd., 1.736%, 10/17/2031 250,000 250,000 250,646
See Notes to the Financial Statements. 68 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 17.0% (continued) Other - 8.0% (continued) LoanCore 2019-CRE2 Issuer Ltd., 1.257%, 5/15/2036 150,000 $ 150,000 $ 148,135 M360 2019-CRE2 LLC, 1.527%, 9/15/2034 118,000 118,000 115,567 M360 2019-CRE2 LLC, 1.977%, 9/15/2034 361,000 361,000 348,402 M360 2019-CRE2 LLC, 2.377%, 9/15/2034 180,000 180,000 172,382 Mercedes-Benz Master Owner Trust 2018-BA, 0.467%, 5/15/2023 100,000 100,039 100,110 Mercedes-Benz Master Owner Trust 2019-BA, 2.61%, 5/15/2024 135,000 134,993 139,652 Mercer Field II CLO Ltd., 1.571%, 4/15/2029 248,174 247,926 248,188 MidOcean Credit CLO VI, 2.124%, 1/20/2029 200,000 200,000 200,016 Mountain View CLO 2017-1 LLC, 1.313%, 10/16/2029 250,000 250,000 247,898 Navient Private Education Refi Loan Trust 2020-F, 1.22%, 7/15/2069 75,149 75,144 75,956 Newark BSL CLO 1 Ltd., 1.313%, 12/21/2029 250,000 250,000 249,584 NextGear Floorplan Master Owner Trust, 0.927%, 2/15/2025 800,000 805,094 807,972 NextGear Floorplan Master Owner Trust, 3.69%, 10/15/2023 454,000 466,184 465,893 Oaktree CLO 2014-1, 1.511%, 5/13/2029 244,817 244,866 244,843 Orec 2018-CRE1 Ltd., 1.307%, 6/15/2036 175,000 174,672 172,488 OZLM Funding III Ltd., 1.402%, 1/22/2029 248,483 248,483 248,460 OZLM VIII Ltd., 1.393%, 10/17/2029 694,534 692,758 694,110 PFS Financing Corp., 0.97%, 2/15/2026 104,000 103,986 104,759 PFS Financing Corp., 1%, 10/15/2025 131,000 130,988 132,176 Planet Fitness Master Issuer LLC, 4.666%, 9/5/2048 97,750 102,395 97,828 Race Point IX CLO Ltd., 1.451%, 10/15/2030 358,102 358,137 358,282 SCF Equipment Leasing 2019-2 LLC, 2.22%, 6/20/2024 57,835 57,830 58,341 SCF Equipment Leasing 2019-2 LLC, 2.47%, 4/20/2026 154,000 153,968 159,311 TCI-Flatiron CLO 2016-1 Ltd., 1.386%, 1/17/2032 340,000 340,000 340,170 Tralee CLO III Ltd., 1.254%, 10/20/2027 179,403 179,457 179,034 Verizon Owner Trust 2020-B, 0.47%, 2/20/2025 133,000 133,135 133,559 Verizon Owner Trust 2020-C, 0.41%, 4/21/2025 216,000 215,965 216,571 Total Other 12,482,086 12,464,737 Total Asset-Backed Securities 26,409,080 26,482,216
Bank Loan Obligations - 2.1% Communications - 0.3% Comcast Hulu Holdings, LLC Term Loan A, 0.874%, 3/15/2024 224,442 223,405 223,320 ION Media Networks, Inc. 2019 Term Loan B, 3.127%, 12/18/2024 79,799 79,850 79,782 Nielsen Finance LLC USD Term Loan B4, 2.241%, 10/4/2023 185,887 182,400 185,577 Total Communications 485,655 488,679
See Notes to the Financial Statements. 69 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Bank Loan Obligations - 2.1% (continued) Consumer, Cyclical - 0.2% Core & Main LP 2017 Term Loan B, 4%, 8/1/2024 12,810 $ 12,789 $ 12,791 Panera Bread Company Term Loan A, 2.224%, 7/18/2022 132,324 130,414 127,031 Scientific Games International, Inc. 2018 Term Loan B5, 2.874%, 8/14/2024 144,424 134,726 141,445 Stars Group Holdings B.V. 2018 USD Incremental Term Loan, 3.724%, 7/10/2025 76,066 75,342 76,425 United Airlines, Inc. 2018 Term Loan B, 1.943%, 4/1/2024 14,770 14,851 14,511 Total Consumer, Cyclical 368,122 372,203
Consumer, Non-cyclical - 0.2% Acadia Healthcare Company, Inc. 2018 Term Loan B4, 2.738%, 2/16/2023 32,946 32,893 32,905 IQVIA Inc. 2020 Term Loan A2, 3%, 6/13/2023 153,318 152,029 152,552 MPH Acquisition Holdings LLC 2016 Term Loan B, 3.75%, 6/7/2023 134,108 132,006 133,742 Universal Health Services, Inc., 1.59%, 10/23/2023 55,137 54,586 54,861 Total Consumer, Non-cyclical 371,514 374,060
Financials - 1.3% AmWINS Group, Inc. 2017 Term Loan B, 3.75%, 1/25/2024 41,261 41,059 41,357 Asurion, LLC 2018 Term Loan B6, 3.119%, 11/3/2023 80,937 80,672 80,245 Financial Risk US Holdings Inc. 2018 USD Term Loan, 3.397%, 10/1/2025 1,368,858 1,366,886 1,368,577 Invitation Homes Operating Partnership LP Term Loan A, 1.774%, 1/31/2025 283,339 281,264 282,276 Jaguar Holding Co. II 2018 Term Loan, 3.50%, 8/18/2022 145,755 145,041 145,874 SL Green Realty Corp. Term Loan A, 1.25%, 3/31/2023 85,000 85,162 84,256 Total Financials 2,000,084 2,002,585
Industrials - 0.1% Berry Global, Inc. Term Loan, 2.13%, 10/1/2022 59,214 58,825 59,237 Hillman Group, Inc./The Term Loan, 4.228%, 5/31/2025 99,744 99,744 99,534 Stericycle, Inc. Term Loan, 1.874%, 11/17/2022 6,632 6,295 6,566 Total Industrials 164,864 165,337
Technology - 0.0% Dell International L.L.C. Term Loan, 1.966%, 3/13/2024 36,522 36,489 36,526 Total Bank Loan Obligations 3,426,728 3,439,390
Commercial Papers - 5.7% Albemarle Corp., 0.00%, 1/11/2021 250,000 249,954 249,954 Albemarle Corp., 0.00%, 1/22/2021 650,000 649,794 649,794 Atlantic City Electric, 0.00%, 1/6/2021 634,000 633,946 633,946
See Notes to the Financial Statements. 70 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Commercial Papers - 5.7% (continued) Bemis Company Inc., 0.00%, 1/8/2021 935,000 $ 934,913 $ 934,913 Conagra Foods Inc., 0.00%, 1/5/2021 250,000 249,949 249,949 Delmarva Power & Lights, 0.00%, 1/5/2021 740,000 739,942 739,942 Entergy Corp., 0.00%, 1/11/2021 597,000 596,917 596,917 Exelon Generation Company, 0.00%, 1/13/2021 250,000 249,964 249,964 Fidelity National Information Services, 0.00%, 1/13/2021 250,000 249,951 249,951 Jabil Inc., 0.00%, 1/4/2021 500,000 499,833 499,833 National Grid PLC, 0.00%, 1/13/2021 250,000 249,958 249,958 National Grid PLC, 0.00%, 1/15/2021 250,000 249,958 249,958 Potomac Electric Power, 0.00%, 1/5/2021 289,000 288,975 288,975 Viatris Inc., 0.00%, 3/22/2021 250,000 249,558 249,558 Vodafone Group PLC, 0.00%, 1/4/2021 250,000 249,953 249,953 Vodafone Group PLC, 0.00%, 1/6/2021 1,023,000 1,022,885 1,022,885 Walgreens Boots, 0.00%, 1/22/2021 1,500,000 1,499,523 1,499,537 Total Commercial Papers 8,865,973 8,865,987
Convertible Bonds - 0.1% Weibo Corporation, 1.25%, 11/15/2022 105,000 100,252 102,374
Corporate Bonds - 50.8% Basic Materials - 2.6% Albemarle Corporation, 1.271%, 11/15/2022 ^ 200,000 200,422 199,592 Anglo American Capital plc, 3.625%, 9/11/2024 200,000 205,068 217,763 Anglo American Capital plc, 5.375%, 4/1/2025 400,000 465,096 468,546 Blue Cube Spinco LLC, 9.75%, 10/15/2023 3,000 3,176 3,084 Blue Cube Spinco LLC, 10%, 10/15/2025 17,000 18,523 18,020 CSN Resources S.A., 7.625%, 2/13/2023 200,000 209,200 207,802 DuPont de Nemours, Inc., 4.205%, 11/15/2023 85,000 89,896 93,794 FMG Resources (August 2006) Pty Limited, 5.125%, 3/15/2023 104,000 110,240 110,110 FMG Resources (August 2006) Pty Limited, 5.125%, 5/15/2024 350,000 380,500 380,406 Freeport-McMoRan Inc., 3.875%, 3/15/2023 17,000 17,638 17,770 Freeport-McMoRan Inc., 4.55%, 11/14/2024 551,000 597,622 603,001 Glencore Finance (Canada) Limited, 4.95%, 11/15/2021 348,000 362,651 362,002 Glencore Funding LLC, 3%, 10/27/2022 28,000 28,299 29,095 Glencore Funding LLC, 4.125%, 3/12/2024 25,000 26,274 27,534 Glencore Funding LLC, 4.625%, 4/29/2024 423,000 445,083 472,695 Kinross Gold Corporation, 5.125%, 9/1/2021 95,000 98,331 96,734 Kinross Gold Corporation, 5.95%, 3/15/2024 87,000 95,906 99,043
See Notes to the Financial Statements. 71 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Basic Materials - 2.6% (continued) MMC Finance Designated Activity Company, 4.1%, 4/11/2023 200,000 $ 207,800 $ 210,287 Nutrition & Biosciences, Inc., 1.23%, 10/1/2025 283,000 284,043 286,135 Steel Dynamics, Inc., 5%, 12/15/2026 200,000 213,900 213,338 West Fraser Timber Co. Ltd., 4.35%, 10/15/2024 26,000 27,145 27,196 Total Basic Materials 4,086,813 4,143,947
Communications - 1.7% Altice Financing S.A., 7.5%, 5/15/2026 200,000 211,250 211,310 Altice France, 7.375%, 5/1/2026 200,000 210,000 210,750 Baidu, Inc., 3.875%, 9/29/2023 200,000 208,270 215,873 Baidu, Inc., 4.375%, 5/14/2024 200,000 210,036 220,292 CCO Holdings, LLC/CCO Holdings Capital Corp., 5.5%, 5/1/2026 17,000 17,723 17,640 Cox Communications, Inc., 2.95%, 6/30/2023 37,000 37,403 38,937 Cox Communications, Inc., 3.15%, 8/15/2024 100,000 107,896 108,458 DISH DBS Corporation, 5.875%, 7/15/2022 58,000 60,681 60,668 E*TRADE Financial Corporation, 2.95%, 8/24/2022 30,000 29,923 31,176 iHeartCommunications, Inc., 6.375%, 5/1/2026 42,963 46,683 46,051 Level 3 Financing, Inc., 5.375%, 1/15/2024 75,000 76,344 75,858 NBCUniversal Enterprise, Inc., 5.25%, 12/31/2049 530,000 539,799 541,263 Netflix, Inc., 3.625%, 6/15/2025 80,000 84,200 85,809 Sirius XM Radio Inc., 5.375%, 7/15/2026 64,000 66,848 66,880 Tencent Holdings Limited, 3.28%, 4/11/2024 200,000 204,798 213,232 T-Mobile USA, Inc., 1.5%, 2/15/2026 195,000 196,759 200,020 Uber Technologies Inc., 8%, 11/1/2026 123,000 133,373 134,147 VeriSign, Inc., 5.25%, 4/1/2025 119,000 134,422 135,437 Vodafone Group Public Limited Company, 1.213%, 1/16/2024 ^ 97,000 98,324 98,334 Total Communications 2,674,732 2,712,135
Consumer, Cyclical - 7.1% Alimentation Couche-Tard Inc., 2.7%, 7/26/2022 275,000 284,336 284,392 American Airlines Group Inc., 3.75%, 3/1/2025 87,000 84,690 67,425 BMW US Capital LLC, 3.9%, 4/9/2025 133,000 132,773 149,791 BorgWarner Inc., 5%, 10/1/2025 91,000 105,749 107,047 Caesars Entertainment, Inc., 6.25%, 7/1/2025 71,000 71,000 75,704 Caesars Resort Collection LLC / CRC Finco Inc., 5.75%, 7/1/2025 20,000 20,000 21,217 Carnival Corporation, 11.5%, 4/1/2023 464,000 520,912 537,208 D.R. Horton, Inc., 2.6%, 10/15/2025 462,000 488,544 498,771
See Notes to the Financial Statements. 72 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Consumer, Cyclical - 7.1% (continued) Daimler Finance North America LLC, 0.865%, 11/5/2021 ^ 225,000 $ 216,718 $ 226,004 Daimler Finance North America LLC, 1.121%, 2/15/2022 ^ 150,000 140,177 151,154 Daimler Finance North America LLC, 1.75%, 3/10/2023 150,000 149,721 154,042 Daimler Finance North America LLC, 2.875%, 3/10/2021 250,000 252,260 251,139 Daimler Finance North America LLC, 3.65%, 2/22/2024 150,000 163,743 163,550 Enterprise Development Authority/The, 12%, 7/15/2024 32,000 34,860 36,120 Ford Motor Company, 8.5%, 4/21/2023 175,000 192,719 197,606 Ford Motor Credit Company LLC, 2.979%, 8/3/2022 450,000 445,491 458,078 Ford Motor Credit Company LLC, 4.25%, 9/20/2022 306,000 310,590 316,343 Ford Motor Credit Company LLC, 5.125%, 6/16/2025 700,000 742,400 761,985 Forestar Group Inc., 8%, 4/15/2024 21,000 22,470 22,179 General Motors Company, 5.4%, 10/2/2023 23,000 22,976 25,769 General Motors Company, 6.125%, 10/1/2025 22,000 21,978 26,702 General Motors Financial Company, Inc., 1.228%, 1/5/2023 ^ 57,000 42,608 56,965 General Motors Financial Company, Inc., 2.75%, 6/20/2025 903,000 950,769 966,188 General Motors Financial Company, Inc., 2.9%, 2/26/2025 50,000 49,937 53,438 General Motors Financial Company, Inc., 3.7%, 5/9/2023 76,000 77,611 80,600 General Motors Financial Company, Inc., 4.25%, 5/15/2023 18,000 18,749 19,412 General Motors Financial Company, Inc., 5.1%, 1/17/2024 460,000 495,445 514,979 General Motors Financial Company, Inc., 5.2%, 3/20/2023 47,000 46,979 51,554 Hasbro, Inc., 3%, 11/19/2024 67,000 69,976 72,614 Hyundai Capital America, 1.25%, 9/18/2023 425,000 427,285 430,292 Hyundai Capital America, 3.4%, 6/20/2024 175,000 187,250 186,770 Las Vegas Sands Corp., 2.9%, 6/25/2025 124,000 125,360 129,839 Las Vegas Sands Corp., 3.2%, 8/8/2024 242,000 245,183 256,450 Las Vegas Sands Corp., 3.5%, 8/18/2026 250,000 266,306 267,659 Lennar Corporation, 4.5%, 4/30/2024 66,000 72,485 73,054 Lennar Corporation, 4.875%, 12/15/2023 12,000 13,211 13,275 Life Time, Inc., 8.5%, 6/15/2023 52,000 53,623 50,310 M/I Homes, Inc., 5.625%, 8/1/2025 92,000 96,770 96,015 Mattel, Inc., 6.75%, 12/31/2025 105,000 110,644 110,929 MGM Resorts International, 6%, 3/15/2023 9,000 9,593 9,675 MGM Resorts International, 6.75%, 5/1/2025 34,000 36,598 36,855 Newell Brands Inc., 4.35%, 4/1/2023 104,000 107,453 109,215 Newell Brands Inc., 4.875%, 6/1/2025 189,000 205,701 208,193 Nissan Motor Acceptance Corporation, 0.869%, 9/21/2021 ^ 175,000 175,478 174,581 Nissan Motor Acceptance Corporation, 2.55%, 3/8/2021 100,000 99,108 100,274
See Notes to the Financial Statements. 73 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Consumer, Cyclical - 7.1% (continued) PetSmart, Inc., 7.125%, 3/15/2023 115,000 $ 117,005 $ 115,104 PetSmart, Inc., 8.875%, 6/1/2025 49,000 50,374 50,389 Royal Caribbean Cruises Ltd., 11.5%, 6/1/2025 43,000 50,579 50,323 Scientific Games International, Inc., 8.625%, 7/1/2025 275,000 300,438 301,469 Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8%, 9/20/2025 42,830 47,156 48,184 Tesla, Inc., 5.3%, 8/15/2025 293,000 304,861 305,819 Toyota Motor Credit Corporation, 1.35%, 8/25/2023 127,000 126,953 130,428 UAL 2007-1 Pass-Through Trust, 6.636%, 7/2/2022 116,228 123,346 119,154 Volkswagen Group of America Finance, LLC, 1.154%, 11/12/2021 ^ 200,000 201,426 201,471 Walgreen Co., 3.1%, 9/15/2022 34,000 34,241 35,502 Walgreens Boots Alliance, Inc., 3.8%, 11/18/2024 206,000 217,701 227,879 William Carter Company/The, 5.5%, 5/15/2025 39,000 41,449 41,491 Wyndham Destinations, Inc., 6.6%, 10/1/2025 10,000 11,175 11,336 Wyndham Hotels & Resorts, Inc., 5.375%, 4/15/2026 108,000 111,780 111,983 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 4.25%, 5/30/2023 228,000 231,038 231,745 Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.5%, 3/1/2025 31,649 32,210 33,126 ZF North America Capital, Inc., 4.75%, 4/29/2025 475,000 495,620 512,459 Total Consumer, Cyclical 10,905,581 11,129,224
Consumer, Non-cyclical - 5.9% AbbVie Inc., 3.45%, 3/15/2022 ^ 275,000 284,837 283,685 Acadia Healthcare Company, Inc., 5.625%, 2/15/2023 84,000 84,693 84,420 Acadia Healthcare Company, Inc., 6.5%, 3/1/2024 135,000 139,725 138,361 Adani Ports and Special Economic Zone Limited, 3.375%, 7/24/2024 200,000 199,864 208,317 Albertsons Cos Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 5.75%, 3/15/2025 25,000 25,890 25,841 B.A.T Capital Corporation, 2.789%, 9/6/2024 121,000 120,393 129,464 B.A.T Capital Corporation, 3.222%, 8/15/2024 357,000 368,289 386,680 B.A.T. International Finance P.L.C., 1.668%, 3/25/2026 79,000 79,000 80,906 Bausch Health Companies Inc., 5.5%, 11/1/2025 37,000 38,356 38,380 Bausch Health Companies Inc., 6.125%, 4/15/2025 65,000 67,323 67,058 Bausch Health Companies Inc., 7%, 3/15/2024 149,000 154,492 153,433 Bayer US Finance II LLC, 1.227%, 12/15/2023 ^ 200,000 200,266 202,165 Bayer US Finance II LLC, 3.875%, 12/15/2023 200,000 206,812 218,057 Bayer US Finance II LLC, 4.25%, 12/15/2025 600,000 683,716 686,605 Becton, Dickinson and Company, 1.255%, 6/6/2022 ^ 268,000 259,305 270,221 Capitol Investment Merger Sub 2, LLC, 10%, 8/1/2024 46,000 47,020 50,486
See Notes to the Financial Statements. 74 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Consumer, Non-cyclical - 5.9% (continued) Cardinal Health, Inc., 0.987%, 6/15/2022 ^ 92,000 $ 92,367 $ 92,671 Cardinal Health, Inc., 3.079%, 6/15/2024 78,000 79,309 83,987 Cardinal Health, Inc., 3.5%, 11/15/2024 106,000 109,880 116,326 Centene Corporation, 5.375%, 6/1/2026 22,000 23,430 23,231 Cigna Corporation, 0.879% 9/17/2021 ^ 100,000 100,046 100,016 Cigna Corporation, 4.125%, 11/15/2025 21,000 23,067 24,195 CommonSpirit Health, 1.547%, 10/1/2025 34,000 34,000 34,955 CommonSpirit Health, 2.76%, 10/1/2024 539,000 574,865 578,029 CVS Health Corporation, 3.875%, 7/20/2025 103,000 103,253 116,786 Encompass Health Corporation, 5.125%, 3/15/2023 47,000 47,940 47,240 Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/2021 19,000 19,285 19,106 Gilead Sciences, Inc., 0.75%, 9/29/2023 79,000 78,972 79,245 Global Payments Inc., 2.65%, 2/15/2025 225,000 239,474 241,043 HCA Inc., 5%, 3/15/2024 49,000 53,196 55,140 HCA Inc., 5.25%, 4/15/2025 695,000 800,880 811,861 HCA Inc., 5.25%, 6/15/2026 79,000 93,470 93,580 HCA Inc., 8.36%, 4/15/2024 100,000 117,625 117,500 Health Care Service Corporation, a Mutual Legacy Reserve Company, 1.5%, 6/1/2025 47,000 46,890 48,262 IHS Markit Ltd., 4.125%, 8/1/2023 68,000 72,201 74,043 IHS Markit Ltd., 5%, 11/1/2022 225,000 242,591 240,924 Imperial Brands Finance PLC, 3.125%, 7/26/2024 500,000 520,901 536,009 JBS USA LUX SA / JBS USA Finance Inc, 5.75%, 6/15/2025 23,000 23,698 23,805 MARB BondCo PLC, 6.875%, 1/19/2025 200,000 209,400 207,002 MARB BondCo PLC, 7%, 3/15/2024 200,000 205,000 205,252 MEDNAX, Inc., 5.25%, 12/1/2023 250,000 253,750 253,200 Molina Healthcare, Inc., 5.375%, 11/15/2022 4,000 4,190 4,243 Nielsen Company (Luxembourg) S.a.r.l./The, 5%, 2/1/2025 44,000 45,320 45,238 Nielsen Finance LLC / Nielsen Finance Co., 5%, 4/15/2022 190,000 190,650 190,690 Reckitt Benckiser Treasury Services PLC, 0.798%, 6/24/2022 ^ 200,000 199,928 200,961 Reynolds American Inc., 4.45%, 6/12/2025 300,000 341,417 341,767 Royalty Pharma plc, 1.2%, 9/2/2025 240,000 240,086 243,889 Sabre GLBL Inc., 7.375%, 9/1/2025 213,000 230,440 231,425 Select Medical Corporation, 6.25%, 8/15/2026 33,000 34,980 35,589 Suntory Holdings Limited, 2.25%, 10/16/2024 300,000 312,405 313,969 Sysco Corporation, 5.65%, 4/1/2025 165,000 185,933 196,335 Universal Health Services, Inc., 5%, 6/1/2026 50,000 52,605 51,803
See Notes to the Financial Statements. 75 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Consumer, Non-cyclical - 5.9% (continued) Zimmer Biomet Holdings, Inc., 0.989%, 3/19/2021 ^ 80,000 $ 80,016 $ 80,002 Zimmer Biomet Holdings, Inc., 3.55%, 4/1/2025 22,000 22,413 24,319 Total Consumer, Non-cyclical 9,065,854 9,207,717
Energy - 6.5% BP Capital Markets America Inc., 0.889%, 9/19/2022 ^ 75,000 75,029 75,157 Cenovus Energy Inc., 3%, 8/15/2022 250,000 250,625 255,516 Cenovus Energy Inc., 3.8%, 9/15/2023 100,000 100,000 103,915 Cenovus Energy Inc., 5.375%, 7/15/2025 26,000 26,000 29,331 Cheniere Corpus Christi Holdings, LLC, 5.875%, 3/31/2025 336,000 383,291 391,299 Cheniere Corpus Christi Holdings, LLC, 7%, 6/30/2024 886,000 1,025,709 1,035,223 Cimarex Energy Co., 4.375%, 6/1/2024 109,000 109,712 118,990 Continental Resources, Inc., 3.8%, 6/1/2024 304,000 312,334 313,690 Continental Resources, Inc., 4.5%, 4/15/2023 21,000 21,706 21,692 Continental Resources, Inc., 5%, 9/15/2022 242,000 241,718 242,605 Diamondback Energy, Inc., 2.875%, 12/1/2024 130,000 117,609 136,750 Diamondback Energy, Inc., 4.75%, 5/31/2025 42,000 42,335 47,321 Diamondback Energy, Inc., 5.375%, 5/31/2025 588,000 609,144 612,155 Energy Transfer Operating, L.P., 4.25%, 3/15/2023 90,000 93,818 95,723 Energy Transfer Operating, L.P., 5.875%, 1/15/2024 212,000 236,932 238,394 Gazprom PJSC Via Gaz Capital SA, 6.51%, 3/7/2022 100,000 108,875 106,281 Helmerich & Payne, Inc., 4.65%, 3/15/2025 209,000 229,047 231,974 Hess Corporation, 3.5%, 7/15/2024 88,000 90,029 92,654 Hilcorp Energy I, L.P., 5%, 12/1/2024 247,000 235,776 246,048 Laredo Petroleum, Inc., 9.5%, 1/15/2025 186,000 148,793 161,995 Magnolia Oil & Gas Operating LLC, 6%, 8/1/2026 98,000 97,540 100,205 Marathon Petroleum Corporation, 5.125%, 4/1/2024 100,000 102,260 101,741 Matador Resources Company, 5.875%, 9/15/2026 197,000 181,928 193,306 MEG Energy Corp., 6.5%, 1/15/2025 148,000 139,603 152,185 Midwest Connector Capital Company LLC, 3.625%, 4/1/2022 23,000 23,651 23,410 Midwest Connector Capital Company LLC, 3.9%, 4/1/2024 102,000 107,161 104,643 MPLX LP, 1.33%, 9/9/2022 ^ 335,000 335,964 335,061 MPLX LP, 5.25%, 1/15/2025 282,000 297,863 289,404 Murphy Oil Corporation, 6.875%, 8/15/2024 73,000 75,395 74,383 NGPL PipeCo LLC, 4.375%, 8/15/2022 152,000 157,391 158,440 Occidental Petroleum Corporation, 1.671%, 8/15/2022 ^ 90,000 89,490 88,235 Occidental Petroleum Corporation, 2.9%, 8/15/2024 165,000 165,778 159,060 Occidental Petroleum Corporation, 6.95%, 7/1/2024 154,000 173,852 166,705 Oceaneering International, Inc., 4.65%, 11/15/2024 50,000 43,725 45,625 See Notes to the Financial Statements. 76 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Energy - 6.5% (continued) ONEOK, Inc., 7.5%, 9/1/2023 83,000 $ 95,449 $ 96,104 Parsley Energy LLC / Parsley Finance Corp, 5.25%, 8/15/2025 48,000 43,952 50,112 Parsley Energy LLC / Parsley Finance Corp, 5.375%, 1/15/2025 141,000 139,206 145,269 Petroleos Mexicanos, 3.871%, 3/11/2022 ^ 125,000 130,500 126,766 Petroleos Mexicanos, 4.25%, 1/15/2025 69,000 70,744 70,199 Petroleos Mexicanos, 5.5%, 1/21/2021 111,000 112,490 111,444 Phillips 66, 0.833%, 2/26/2021 ^ 137,000 137,013 137,016 Sabine Pass Liquefaction, LLC, 5.625%, 4/15/2023 300,000 324,926 329,764 Sabine Pass Liquefaction, LLC, 5.75%, 5/15/2024 225,000 250,479 257,317 Sabine Pass Liquefaction, LLC, 5.875%, 6/30/2026 500,000 604,353 604,824 Seven Generations Energy Ltd., 5.375%, 9/30/2025 84,000 75,600 85,732 Seven Generations Energy Ltd., 6.75%, 5/1/2023 98,000 99,134 99,409 Seven Generations Energy Ltd., 6.875%, 6/30/2023 46,000 46,400 46,743 SM Energy Company, 6.125%, 11/15/2022 103,000 100,853 100,272 Southern Natural Gas Co. LLC / Southern Natural Issuing Corp., 4.4%, 6/15/2021 189,000 193,407 190,415 Suncor Energy Inc., 9.25%, 10/15/2021 66,000 69,053 70,421 Suncor Energy Ventures Corporation, 4.5%, 4/1/2022 142,000 141,458 147,077 Suncor Energy Ventures Corporation, 9.4%, 9/1/2021 75,000 84,665 78,122 Texas Eastern Transmission, LP, 2.8%, 10/15/2022 14,000 14,075 14,478 Valero Energy Corporation, 1.2%, 3/15/2024 69,000 68,974 69,682 Valero Energy Corporation, 2.7%, 4/15/2023 57,000 56,937 59,515 Valero Energy Corporation, 2.85%, 4/15/2025 48,000 49,390 51,143 Valero Energy Corporation, 3.65%, 3/15/2025 25,000 27,412 27,363 Viper Energy Partners LP, 5.375%, 11/1/2027 295,000 309,153 308,774 Western Midstream Operating, LP, 2.325%, 1/13/2023 ^ 125,000 125,156 122,569 WPX Energy, Inc., 5.25%, 9/15/2024 34,000 34,733 37,120 WPX Energy, Inc., 5.25%, 10/15/2027 83,000 87,773 88,089 WPX Energy, Inc., 5.75%, 6/1/2026 48,000 49,558 50,532 Total Energy 9,992,926 10,125,387
Financials - 18.1% ABN AMRO Bank N.V., 4.75%, 7/28/2025 200,000 226,802 230,625 Acrisure LLC / Acrisure Finance Inc., 8.125%, 2/15/2024 24,000 25,268 25,463 AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 6.5%, 7/15/2025 500,000 594,525 598,083 AerCap Ireland Capital Ltd., 4.875%, 1/16/2024 250,000 273,180 272,997 AIB Group plc, 4.75%, 10/12/2023 275,000 298,317 302,728 Air Lease Corporation, 0.902%, 6/3/2021 ^ 466,000 468,105 465,771 Air Lease Corporation, 4.25%, 2/1/2024 18,000 18,518 19,543 Aircastle Limited, 5%, 4/1/2023 185,000 193,604 197,307 See Notes to the Financial Statements. 77 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Financials - 18.1% (continued) Alliance Data Systems Corporation, 4.75%, 12/15/2024 18,000 $ 18,030 $ 18,214 Ally Financial Inc., 3.875%, 5/21/2024 111,000 115,958 121,704 Ally Financial Inc., 4.25%, 4/15/2021 19,000 19,442 19,197 Ally Financial Inc., 5.125%, 9/30/2024 214,000 237,601 246,879 Ally Financial Inc., 5.75%, 11/20/2025 471,000 546,708 548,712 Aviation Capital Group LLC, 0.882%, 7/30/2021 ^ 120,000 120,175 118,890 Aviation Capital Group LLC, 2.875%, 1/20/2022 13,000 13,017 13,165 Aviation Capital Group LLC, 3.875%, 5/1/2023 81,000 82,762 84,450 Avolon Holdings Funding Limited, 3.625%, 5/1/2022 500,000 511,925 510,966 Avolon Holdings Funding Limited, 4.25%, 4/15/2026 44,000 43,989 47,438 Avolon Holdings Funding Limited, 5.125%, 10/1/2023 12,000 12,449 12,853 Avolon Holdings Funding Limited, 5.25%, 5/15/2024 158,000 169,537 171,950 Banco de Credito del Peru, 2.7%, 1/11/2025 24,000 23,979 25,086 Bank of America Corporation, 0.81%, 10/24/2024 ^ 137,000 137,000 138,327 Bank of America Corporation, 0.981%, 9/25/2025 ^ 111,000 111,000 112,270 Bank of America Corporation, 1.197%, 10/24/2026 ^ 129,000 129,000 130,749 Bank of America Corporation, 1.319%, 6/19/2026 ^ 87,000 88,244 88,914 Bank of America Corporation, 2.015%, 2/13/2026 ^ 141,000 146,494 147,833 Bank of America Corporation, 2.456%, 10/22/2025 ^ 145,000 149,192 154,632 Bank of America Corporation, 3.004%, 12/20/2023 ^ 295,000 297,859 310,754 Bank of America Corporation, 3.366%, 1/23/2026 ^ 799,000 876,454 879,961 Bank of America Corporation, 3.95%, 4/21/2025 129,000 142,586 145,472 Bank of America Corporation, 4%, 1/22/2025 161,000 171,365 181,012 Bank of Ireland Group plc, 4.5%, 11/25/2023 700,000 759,040 767,765 Bank of Montreal, 3.3%, 2/5/2024 33,000 33,355 35,808 BankUnited, Inc., 4.875%, 11/17/2025 119,000 131,329 137,019 BBVA Bancomer, S.A., 6.75%, 9/30/2022 150,000 162,413 162,300 BBVA USA, 0.951%, 6/11/2021 ^ 250,000 250,020 250,578 Brixmor Operating Partnership LP, 1.255%, 2/1/2022 ^ 35,000 35,005 34,968 Canadian Imperial Bank of Commerce, 0.95%, 6/23/2023 116,000 115,935 117,569 Capital One Financial Corporation, 2.6%, 5/11/2023 95,000 94,959 99,639 CIT Group Inc., 3.929%, 6/19/2024 ^ 39,000 39,000 41,291 CIT Group Inc., 4.125%, 3/9/2021 158,000 158,790 158,553 CIT Group Inc., 4.75%, 2/16/2024 35,000 36,167 38,336 CIT Group Inc., 5%, 8/15/2022 67,000 69,590 71,116 CIT Group Inc., 5%, 8/1/2023 378,000 393,370 413,674
See Notes to the Financial Statements. 78 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Financials - 18.1% (continued) Citigroup Inc., 1.178%, 4/25/2022 ^ 150,000 $ 151,604 $ 151,365 Citigroup Inc., 1.248%, 6/1/2024 ^ 299,000 302,618 302,478 Citigroup Inc., 1.678%, 5/15/2024 ^ 89,000 89,000 91,727 Citigroup Inc., 2.876%, 7/24/2023 ^ 345,000 346,023 358,451 Citigroup Inc., 3.106%, 4/8/2026 ^ 942,000 1,026,585 1,030,442 Citigroup Inc., 3.142%, 1/24/2023 ^ 95,000 98,388 97,701 Citigroup Inc., 3.875%, 3/26/2025 22,000 24,557 24,569 Citigroup Inc., 4.05%, 7/30/2022 50,000 52,855 52,888 Citigroup Inc., 4.4%, 6/10/2025 180,000 198,906 205,899 Citigroup Inc., 5.5%, 9/13/2025 157,000 185,966 188,878 Citizens Bank, National Association of Providence Rhode Island, 250,000 250,718 251,201 0.941%, 2/14/2022 ^ Citizens Bank, National Association of Providence Rhode Island, 250,000 251,155 252,052 1.043%, 5/26/2022 ^ CNO Financial Group, Inc., 5.25%, 5/30/2025 112,000 125,529 130,230 Credit Suisse Group AG, 2.193%, 6/5/2026 ^ 250,000 250,000 261,485 Danske Bank A/S, 1.171%, 12/8/2023 ^ 200,000 200,000 200,988 Danske Bank A/S, 1.226%, 6/22/2024 200,000 200,000 202,915 Danske Bank A/S, 3.001%, 9/20/2022 ^ 200,000 200,000 203,218 Danske Bank A/S, 3.244%, 12/20/2025 ^ 500,000 536,344 535,549 Danske Bank A/S, 5%, 1/12/2022 200,000 209,550 208,850 Discover Financial Services, 5.2%, 4/27/2022 165,000 175,977 174,877 Equinix, Inc., 1%, 9/15/2025 33,000 32,967 33,121 Equinix, Inc., 5.375%, 5/15/2027 316,000 342,640 344,542 ESH Hospitality, Inc., 5.25%, 5/1/2025 63,000 64,601 64,668 F.N.B. Corporation, 2.2%, 2/24/2023 50,000 49,963 50,976 Fidelity & Guaranty Life Holdings, Inc., 5.5%, 5/1/2025 100,000 112,750 116,950 Fifth Third Bank, National Association, 0.845%, 2/1/2022 ^ 269,000 270,867 270,629 Global Aircraft Leasing Co., Ltd., 6.5%, 9/15/2024 95,335 95,905 83,500 Goldman Sachs Group, Inc./The, 0.992%, 10/31/2022 ^ 161,000 161,468 161,669 Goldman Sachs Group, Inc./The, 1.093%, 12/9/2026 ^ 574,000 576,880 580,459 Goldman Sachs Group, Inc./The, 1.218%, 7/24/2023 ^ 100,000 96,051 100,918 Goldman Sachs Group, Inc./The, 3.5%, 4/1/2025 414,000 455,926 460,736 Goldman Sachs Group, Inc./The, 4.25%, 10/21/2025 40,000 44,053 45,898 HAT Holdings I LLC / HAT Holdings II LLC, 5.25%, 7/15/2024 75,000 78,345 78,149 HAT Holdings I LLC / HAT Holdings II LLC, 6%, 4/15/2025 138,000 148,293 147,833 Intercontinental Exchange, Inc., 0.7%, 6/15/2023 47,000 46,954 47,363 Intesa Sanpaolo S.p.A., 3.375%, 1/12/2023 500,000 525,165 523,860
See Notes to the Financial Statements. 79 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Financials - 18.1% (continued) Jackson National Life Global Funding, 0.529%, 3/16/2021 ^ 226,000 $ 217,346 $ 226,118 Jefferies Financial Group Inc., 5.5%, 10/18/2023 134,000 140,995 147,594 Jefferies Group LLC, 5.125%, 1/20/2023 54,000 55,366 59,023 JPMorgan Chase & Co., 0.948%, 4/23/2024 ^ 200,000 200,937 201,807 Kemper Corporation, 4.35%, 2/15/2025 40,000 42,715 44,467 Kennedy-Wilson, Inc., 5.875%, 4/1/2024 6,000 6,120 6,098 Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 16,000 16,080 16,110 5.25%, 3/15/2022 Lloyds Banking Group plc, 1.326%, 6/15/2023 ^ 200,000 200,000 202,256 Macquarie Group Limited, 1.244%, 11/28/2023 ^ 750,000 756,285 756,199 Macquarie Group Limited, 4.15%, 3/27/2024 ^ 157,000 163,179 168,807 Morgan Stanley, 1.618%, 10/24/2023 ^ 1,225,000 1,249,875 1,248,590 Morgan Stanley, 2.72%, 7/22/2025 ^ 110,000 110,950 117,694 Morgan Stanley, 5%, 11/24/2025 29,000 33,425 34,715 Muthoot Finance Limited, 4.4%, 9/2/2023 200,000 200,000 204,180 Natwest Group plc, 6.125%, 12/15/2022 92,000 98,739 101,204 Navient Corporation, 5.5%, 1/25/2023 36,000 37,160 37,733 Navient Corporation, 5.875%, 10/25/2024 366,000 386,803 389,790 Navient Corporation, 6.125%, 3/25/2024 49,000 52,176 52,460 Navient Corporation, 6.625%, 7/26/2021 125,000 128,438 127,891 Navient Corporation, 7.25%, 1/25/2022 17,000 17,765 17,797 Nordea Bank Abp, 3.75%, 8/30/2023 200,000 216,444 216,296 OneMain Finance Corporation, 5.625%, 3/15/2023 400,000 430,400 430,250 OneMain Finance Corporation, 6.125%, 5/15/2022 5,000 5,236 5,313 OneMain Finance Corporation, 7.75%, 10/1/2021 119,000 124,644 125,396 Pacific Life Global Funding II, 1.2%, 6/24/2025 31,000 30,931 31,438 Park Aerospace Holdings Limited, 4.5%, 3/15/2023 181,000 184,497 189,758 Park Aerospace Holdings Limited, 5.5%, 2/15/2024 1,185,000 1,293,239 1,293,135 Protective Life Global Funding, 1.082%, 6/9/2023 150,000 150,000 152,642 SITE Centers Corp., 3.625%, 2/1/2025 5,000 5,261 5,198 SL Green Operating Partnership, L.P., 3.25%, 10/15/2022 90,000 92,108 92,959 Sl Green Realty Corp., 4.5%, 12/1/2022 86,000 90,719 90,497 Swedbank AB, 1.3%, 6/2/2023 200,000 199,766 204,012 Synovus Financial Corp., 3.125%, 11/1/2022 14,000 13,957 14,542 Turkiye Vakiflar Bankasi T.A.O., 5.25%, 2/5/2025 200,000 195,200 197,538 UBS AG, 1.75%, 4/21/2022 200,000 199,738 203,590 UBS AG, 5.125%, 5/15/2024 648,000 709,760 715,878 UBS AG, 7.625%, 8/17/2022 750,000 833,438 830,343
See Notes to the Financial Statements. 80 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Financials - 18.1% (continued) UBS Group AG, 1.008%, 7/30/2024 ^ 200,000 $ 200,000 $ 202,048 VEREIT Operating Partnership, L.P., 4.6%, 2/6/2024 273,000 287,692 300,484 VEREIT Operating Partnership, L.P., 4.625%, 11/1/2025 10,000 10,121 11,515 Wells Fargo & Company, 1.442%, 10/31/2023 ^ 175,000 178,192 177,798 Wells Fargo & Company, 2.164%, 2/11/2026 ^ 667,000 693,036 701,659 Wells Fargo & Company, 2.188%, 4/30/2026 ^ 763,000 798,777 804,023 Wells Fargo & Company, 2.406%, 10/30/2025 ^ 192,000 196,668 203,054 Wells Fargo & Company, 2.625%, 7/22/2022 63,000 65,497 65,230 Wells Fargo & Company, 3.75%, 1/24/2024 150,000 157,385 163,824 Westfield UK & Europe Finance PLC, 3.75%, 9/17/2024 200,000 208,782 211,126 Total Financials 28,206,503 28,507,674
Industrials - 3.0% Boeing Company/The, 2.3%, 8/1/2021 45,000 43,875 45,417 Boeing Company/The, 2.8%, 3/1/2023 285,000 278,597 295,956 Boeing Company/The, 4.508%, 5/1/2023 434,000 446,788 469,256 Boeing Company/The, 4.875%, 5/1/2025 830,000 901,374 946,681 Bombardier Inc., 8.75%, 12/1/2021 33,000 35,329 34,375 Boral Finance Pty Ltd., 3%, 11/1/2022 3,000 3,010 3,068 Carrier Global Corporation, 2.242%, 2/15/2025 377,000 388,961 399,449 CNH Industrial Capital LLC, 4.875%, 4/1/2021 17,000 17,194 17,167 CNH Industrial N.V., 4.5%, 8/15/2023 300,000 316,270 327,502 Covanta Holding Corporation, 5.875%, 7/1/2025 150,000 158,250 156,547 Flex Ltd., 3.75%, 2/1/2026 78,000 77,701 87,308 Flowserve Corporation, 4%, 11/15/2023 57,000 57,230 60,398 GATX Corporation, 0.915%, 11/5/2021 ^ 100,000 99,700 100,243 Howmet Aerospace Inc., 5.125%, 10/1/2024 52,000 56,365 57,308 Huntington Ingalls Industries, Inc., 3.844%, 5/1/2025 32,000 31,999 35,641 Norbord Inc., 6.25%, 4/15/2023 92,000 97,275 100,155 nVent Finance S.a r.l., 3.95%, 4/15/2023 31,000 31,149 32,663 Owens Corning, 4.2%, 12/1/2024 100,000 105,396 111,246 Penske Truck Leasing Co., LP / PTL Finance Corp., 4.125%, 8/1/2023 45,000 49,040 48,925 PT Pelabuhan Indonesia III (Persero), 4.5%, 5/2/2023 200,000 210,958 213,313 PTL Finance Corporation, 2.7%, 11/1/2024 45,000 45,045 48,228 PTL Finance Corporation, 3.45%, 7/1/2024 120,000 122,174 130,810 PTL Finance Corporation, 3.9%, 2/1/2024 5,000 5,134 5,462 Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 7/15/2023 2,000 2,029 2,026
See Notes to the Financial Statements. 81 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Industrials - 3.0% (continued) Ryder System, Inc., 3.35%, 9/1/2025 48,000 $ 47,967 $ 53,525 Ryder System, Inc., 4.625%, 6/1/2025 170,000 194,432 197,059 Trimble Inc., 4.15%, 6/15/2023 7,000 7,340 7,587 Trimble Inc., 4.75%, 12/1/2024 50,000 53,431 57,188 Vulcan Materials Company, 0.875%, 3/1/2021 ^ 107,000 105,639 107,047 Welbilt, Inc., 9.5%, 2/15/2024 48,000 48,642 49,700 Westinghouse Air Brake Technologies Corporation, 3.2%, 6/15/2025 16,000 16,402 17,276 Westinghouse Air Brake Technologies Corporation, 4.4%, 3/15/2024 120,000 127,226 131,441 WRKCo Inc., 3%, 9/15/2024 200,000 215,242 215,537 XPO Logistics, Inc., 6.5%, 6/15/2022 95,000 95,333 95,487 Total Industrials 4,492,497 4,660,991
Technology - 2.2% Broadcom Inc., 3.15%, 11/15/2025 339,000 360,851 370,301 Broadcom Inc., 3.625%, 10/15/2024 300,000 303,183 329,718 BY Crown Parent, LLC, 7.375%, 10/15/2024 26,000 27,170 26,550 Dell International LLC / EMC Corp., 5.85%, 7/15/2025 671,000 798,524 806,532 Dell International LLC / EMC Corp., 5.875%, 6/15/2021 3,000 3,003 3,009 Dell International LLC, 5.45%, 6/15/2023 368,000 399,956 407,125 Hewlett Packard Enterprise Company, 0.9%, 3/12/2021 ^ 92,000 92,274 92,084 Hewlett Packard Enterprise Company, 0.958%, 10/5/2021 ^ 361,000 361,119 361,054 Leidos, Inc., 2.95%, 5/15/2023 91,000 91,274 95,969 Microchip Technology Incorporated, 0.972%, 2/15/2024 173,000 173,000 173,531 Microchip Technology Incorporated, 2.67%, 9/1/2023 163,000 165,229 170,574 Microchip Technology Incorporated, 3.922%, 6/1/2021 210,000 214,105 213,003 NXP BV / NXP Funding LLC / NXP USA Inc., 2.7%, 5/1/2025 228,000 239,788 245,546 Solera LLC, 10.5%, 3/1/2024 189,000 201,930 196,088 Total Technology 3,431,406 3,491,084
Utilities - 3.7% Alexander Funding Trust, 1.841%, 11/15/2023 170,000 170,000 171,967 American Electric Power Company, Inc., 0.75%, 11/1/2023 25,000 24,979 25,061 Aquarion Company, 4%, 8/15/2024 450,000 496,350 492,767 Ausgrid Finance Pty Ltd., 3.85%, 5/1/2023 175,000 182,681 184,904 Calpine Corporation, 5.25%, 6/1/2026 64,000 66,519 66,304 Cleveland Electric Illuminating Company/The, 5.5%, 8/15/2024 150,000 171,594 172,893 Comision Federal de Electricidad, 4.875%, 1/15/2024 400,000 423,800 444,462
See Notes to the Financial Statements. 82 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 50.8% (continued) Utilities - 3.7% (continued) Dominion Energy, Inc., 3.071%, 8/15/2024 ^ 116,000 $ 118,699 $ 125,271 Dominion Energy, Inc., 4.104%, 4/1/2021 ^ 76,000 77,474 76,679 DTE Energy Company, 2.529%, 10/1/2024 64,000 64,035 68,253 Duquesne Light Holdings, Inc., 5.9%, 12/1/2021 40,000 42,465 41,721 ENEL Finance International N.V., 2.65%, 9/10/2024 200,000 211,968 213,194 ENEL Finance International N.V., 4.25%, 9/14/2023 400,000 423,770 437,714 ENEL Finance International N.V., 4.625%, 9/14/2025 300,000 349,374 349,456 FirstEnergy Corp., 2.05%, 3/1/2025 150,000 150,282 149,667 FirstEnergy Corp., 3.35%, 7/15/2022 292,000 298,283 296,914 FirstEnergy Corp., 4.25%, 3/15/2023 580,000 612,570 612,724 Jersey Central Power & Light Company, 4.7%, 4/1/2024 153,000 167,518 167,473 Monongahela Power Company, 4.1%, 4/15/2024 200,000 218,294 215,670 National Fuel Gas Company, 4.9%, 12/1/2021 85,000 88,661 87,351 National Fuel Gas Company, 5.5%, 1/15/2026 265,000 278,402 305,933 NRG Energy, Inc., 3.75%, 6/15/2024 300,000 320,629 328,576 Puget Energy, Inc., 5.625%, 7/15/2022 68,000 73,011 72,015 TransAlta Corporation, 4.5%, 11/15/2022 119,000 121,685 123,760 Vistra Operations Company LLC, 3.55%, 7/15/2024 328,000 337,846 355,361 Western Power Distribution PLC, 5.375%, 5/1/2021 158,000 163,347 158,572 Total Utilities 5,654,236 5,744,662 Total Corporate Bonds 78,510,548 79,722,821
Mortgage-Backed Securities - 11.4% Angel Oak Mortgage Trust 2020-1, 2.466%, 12/25/2059 42,729 42,728 43,190 Angel Oak Mortgage Trust 2020-6, 1.261%, 5/25/2065 63,818 63,817 64,038 Bancorp Commercial Mortgage 2019-CRE6 Trust, 1.177%, 9/15/2036 267,896 265,301 267,746 BBCMS 2018-TALL Mortgage Trust, 0.849%, 3/15/2037 260,000 248,950 256,123 BBCMS Trust 2018-BXH, 1.127%, 10/15/2037 43,398 43,392 41,561 BB-UBS Trust 2012-SHOW, 3.43%, 11/5/2036 547,000 571,807 571,538 Benchmark 2019-B12 TCA Mortgage Trust, 3.44%, 8/15/2052 141,000 140,370 142,513 Benchmark 2019-B12 TCB Mortgage Trust, 3.44%, 8/15/2052 288,000 292,544 295,309 BX Commercial Mortgage Trust 2019-XL, 1.046%, 10/15/2036 427,184 427,184 428,942 BX Commercial Mortgage Trust 2019-XL, 1.576%, 10/15/2036 224,984 222,453 225,489 BX Trust 2017-SLCT, 2.176%, 7/15/2034 41,736 41,834 41,448 CF Trust 2019-MF1, 2.05%, 8/21/2032 69,000 69,000 69,100 CF Trust 2019-MF1, 2.35%, 8/21/2032 359,000 359,000 360,625 CHT 2017-COSMO Mortgage Trust, 1.057%, 11/15/2036 153,000 153,000 151,661 CHT 2017-COSMO Mortgage Trust, 1.527%, 11/15/2036 400,000 400,375 394,146
See Notes to the Financial Statements. 83 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 11.4% (continued) Citigroup Commercial Mortgage Trust 2015-GC33, 3.515%, 9/10/2058 362,108 $ 390,681 $ 391,777 Citigroup Commercial Mortgage Trust 2019-PRM, 1.177%, 5/10/2036 11,137,000 571,148 375,302 COMM 2013-CCRE6 Mortgage Trust, 3.101%, 3/10/2046 65,000 66,056 67,471 COMM 2014-CCRE17 Mortgage Trust, 3.7%, 5/10/2047 242,986 250,969 264,309 COMM 2014-CR14 Mortgage Trust, 4.526%, 2/10/2047 106,000 113,031 116,205 COMM 2014-UBS3 Mortgage Trust, 3.819%, 6/10/2047 340,000 355,200 373,688 COMM 2014-UBS6 Mortgage Trust, 3.644%, 12/10/2047 58,000 61,940 64,060 COMM 2015-CCRE25 Mortgage Trust, 3.505%, 8/10/2048 119,001 125,249 129,289 COMM 2015-LC21 Mortgage Trust, 3.445%, 7/10/2048 155,000 162,853 168,491 COMM 2015-LC21 Mortgage Trust, 3.708%, 7/10/2048 195,000 207,546 218,657 COMM 2015-PC1 Mortgage Trust, 3.902%, 7/10/2050 500,000 560,840 560,559 COMM 2017-PANW Mortgage Trust, 3.244%, 10/10/2029 265,000 268,778 278,476 COMM 2020-SBX Mortgage Trust, 1.67%, 1/10/2038 210,000 216,297 216,923 Credit Suisse Mortgage Capital Certificates, 1.616%, 4/25/2065 100,553 100,553 101,186 CSMC 2020-AFC1 Trust, 2.24%, 2/25/2050 96,524 96,524 98,228 CSMC 2020-NQM1 Trust, 1.208%, 5/25/2065 96,381 96,379 96,845 CSMC Trust 2017-LSTK, 2.761%, 4/5/2033 500,000 500,070 499,237 DBWF Mortgage Trust, 2.998%, 6/10/2034 54,771 55,532 54,157 Deephaven Residential Mortgage Trust 2020-1, 2.339%, 1/25/2060 74,226 74,226 75,227 Ellington Financial Mortgage Trust 2020-2, 1.178%, 10/25/2065 94,238 94,237 94,486 Fontainebleau Miami Beach Trust 2019-FBLU, 3.144%, 12/10/2036 100,000 103,000 105,065 Fontainebleau Miami Beach Trust 2019-FBLU, 3.447%, 12/10/2036 100,000 102,999 103,582 GCAT 2019-NQM2 Trust, 2.247%, 1/25/2060 76,654 76,653 78,615 Great Wolf Trust 2019-WOLF, 1.16%, 12/15/2036 315,000 304,172 308,769 Great Wolf Trust 2019-WOLF, 1.759%, 12/15/2036 31,000 28,578 29,001 GS Mortgage Securities Corp. Trust 2017-GPTX, 2.856%, 5/10/2034 200,000 198,883 198,833 GS Mortgage Securities Corp. Trust 2017-SLP, 3.419%, 10/10/2032 692,000 712,300 708,035 GS Mortgage Securities Corp. Trust 2017-STAY, 1.227%, 7/15/2032 208,656 208,526 207,240 GS Mortgage Securities Corp. Trust 2018-RIVR, 1.076%, 7/15/2035 99,828 99,610 96,106 GS Mortgage Securities Corp. Trust 2019-70P, 1.126%, 10/15/2036 219,617 219,617 214,706 GS Mortgage Securities Corp. Trust 2019-70P, 1.446%, 10/15/2036 48,350 48,350 46,572 GS Mortgage Securities Corp. Trust 2019-BOCA, 1.626%, 6/15/2038 100,000 100,000 98,541 GS Mortgage Securities Corp. Trust 2019-SMP, 1.626%, 8/15/2032 474,000 474,000 461,676 GS Mortgage Securities Trust 2013-G1, 2.059%, 4/10/2031 22,788 22,552 22,995 Hawaii Hotel Trust 2019-MAUI, 1.577%, 5/15/2038 136,000 136,000 133,354 Hilton USA Trust 2016-SFP, 2.828%, 11/5/2035 148,000 148,029 148,457 HMH Trust 2017-NSS, 3.062%, 7/5/2031 200,000 200,625 191,321 Hudsons Bay Simon JV Trust 2015-HBS, 3.914%, 8/5/2034 260,000 262,319 234,650
See Notes to the Financial Statements. 84 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 11.4% (continued) JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG, 1.226%, 5/15/2034 28,000 $ 28,000 $ 27,165 JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-JPMCO, 4.128%, 7/5/2031 212,000 226,186 226,953 J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN, 3.905%, 5/5/2030 274,727 281,700 224,896 J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY, 3.805%, 6/10/2027 100,000 62,500 11,715 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON, 3.735%, 1/5/2031 100,000 103,504 104,154 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ, 1.126%, 6/15/2032 123,781 123,703 122,290 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ, 1.726%, 6/15/2032 46,400 46,654 45,183 J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-ACE, 0.344%, 1/10/2037 8,820,457 150,909 119,820 J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-ACE, 3.287%, 1/10/2037 230,000 236,899 232,435 J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-ACE, 3.64%, 1/10/2037 50,000 51,500 48,486 Key Commercial Mortgage Securities Trust 2018-S1, 3.723%, 10/15/2053 303,539 316,345 318,657 LoanCore 2019-CRE3 Issuer Ltd., 1.177%, 4/15/2034 62,060 62,060 61,582 LoanCore 2019-CRE3 Issuer Ltd., 1.497%, 4/15/2034 13,164 13,164 12,952 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23, 0.565%, 7/15/2050 2,040,969 52,938 45,063 Morgan Stanley Capital Barclays Bank Trust 2016-MART, 2.2%, 9/13/2031 107,000 107,000 106,922 Morgan Stanley Capital I Trust 2011-C2, 4.661%, 6/15/2044 452,668 467,203 455,746 Morgan Stanley Capital I Trust 2014-150E, 3.912%, 9/9/2032 203,000 215,584 219,067 Morgan Stanley Capital I Trust 2015-420, 3.727%, 10/12/2050 193,431 197,503 208,451 New Residential Mortgage Loan Trust 2020-NQM1, 2.464%, 1/26/2060 77,959 77,959 79,805 One Market Plaza Trust 2017-1MKT, 3.614%, 2/10/2032 107,000 111,422 111,158 One New York Plaza Trust 2020-1NYP, 1.076%, 1/15/2026 380,000 380,000 381,418 One New York Plaza Trust 2020-1NYP, 1.376%, 1/15/2026 320,000 320,000 321,254 Palisades Center Trust 2016-PLSD, 2.713%, 4/13/2033 28,000 27,440 24,080 PFP 2019-6 Ltd., 1.177%, 4/14/2037 450,000 443,984 445,843 ReadyCap Commercial Mortgage Trust 2019-6, 2.833%, 10/25/2052 68,957 68,957 70,531 Residential Mortgage Loan Trust 2020-1, 2.376%, 2/25/2024 82,764 82,763 84,525 Shelter Growth CRE 2019-FL2 Issuer Ltd., 1.227%, 5/15/2036 34,861 34,861 34,706 Shelter Growth CRE 2019-FL2 Issuer Ltd., 1.577%, 5/15/2036 11,054 11,054 11,022 SLIDE 2018-FUN, 1.026%, 6/15/2031 262,866 257,526 258,062 See Notes to the Financial Statements. 85 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 11.4% (continued) SLIDE 2018-FUN, 1.676%, 6/15/2031 153,574 $ 154,222 $ 145,200 Starwood Mortgage Residential Trust 2020-1, 2.275%, 2/25/2050 70,943 70,942 72,593 UBS-BAMLL Trust, 3.663%, 6/10/2030 155,000 156,822 156,008 Verus Securitization Trust 2020-1, 2.417%, 1/25/2060 74,513 74,512 75,995 Verus Securitization Trust 2020-4, 1.502%, 5/25/2065 90,152 90,150 90,945 Verus Securitization Trust 2020-5, 1.218%, 5/25/2065 93,230 93,229 93,524 VNDO 2012-6AVE Mortgage Trust, 2.996%, 11/15/2030 350,000 357,178 362,319 Wells Fargo Commercial Mortgage Trust 2013-LC12, 4.274%, 7/15/2046 329,000 345,347 315,986 Wells Fargo Commercial Mortgage Trust 2014-LC16, 3.817%, 8/15/2050 200,000 208,977 217,386 WFRBS Commercial Mortgage Trust 2012-C7, 3.431%, 6/15/2045 265,000 269,058 273,595 WFRBS Commercial Mortgage Trust 2014-C21, 3.41%, 8/15/2047 709,712 736,816 750,793 Total Mortgage-Backed Securities 18,272,648 17,953,805
Municipal Bonds - 0.1% New York Transportation Development Corp., 1.36%, 12/1/2021 20,000 20,000 20,018 New York Transportation Development Corp., 1.61%, 12/1/2022 20,000 20,000 20,053 State of Illinois, 4.95%, 6/1/2023 19,145 20,009 19,621 State of Illinois, 6.125%, 7/1/2021 27,500 28,644 27,961 Total Municipal Bonds 88,653 87,653
Sovereign Bonds - 0.7% Egypt Government International Bond, 6.125%, 1/31/2022 200,000 205,800 209,128 Kenya Government International Bond, 6.875%, 6/24/2024 200,000 218,750 219,602 Morocco Government International Bond, 4.25%, 12/11/2022 200,000 210,750 210,531 Nigeria Government International Bond, 6.75%, 1/28/2021 200,000 203,250 200,714 Perusahaan Penerbit SBSN Indonesia III, 4.325%, 5/28/2025 200,000 227,200 227,302 Romanian Government International Bond, 4.875%, 1/22/2024 20,000 21,640 22,369 Total Sovereign Bonds 1,087,390 1,089,646
U.S. Treasury Bill and Notes - 7.9% U.S. Treasury Bill, 1.5%, 2/4/2021 6,646,000 6,645,271 6,645,742 U.S. Treasury Note, 0.125%, 9/30/2022 946,000 945,409 946,074 U.S. Treasury Note, 0.125%, 10/31/2022 1,272,000 1,271,205 1,272,248 U.S. Treasury Note, 0.125%, 12/15/2023 3,550,000 3,541,125 3,545,701 Total U.S. Treasury Bill and Notes 12,403,010 12,409,765
See Notes to the Financial Statements. 86 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Money Market Fund - 6.5% State Street Institutional Treasury Plus Money Market Fund - Premier Class 10,195,318 $ 10,195,318 $ 10,195,318 Total Investments - 102.3% $ 159,359,600 160,348,975 Other Assets and Liabilities, Net - (2.3%) (3,651,458) Net Assets - 100% $ 156,697,517
^Variable rate security
Futures Number of Value as of Unrealized Contracts Expiration December 31, Appreciation Description Long (Short) Date 2020 (Depreciation) Futures in gain position United States 2-Year Treasury Note Futures 278 3/31/2021 $ 61,431,484 $ 29,334
Futures in loss position United States 5-Year Treasury Note Futures (133) 3/31/2021 (16,779,820) (24,641) $ 44,651,664 $ 4,693
See Notes to the Financial Statements. 87 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
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 United States $ 128,932,841 82.4% Cayman Islands 9,270,458 5.9% Ireland 4,377,960 2.8% United Kingdom 3,322,864 2.1% Canada 3,242,564 2.1% Australia 1,603,494 1.0% Netherlands 1,552,960 1.0% Denmark 1,351,520 0.9% Switzerland 1,179,411 0.8% Mexico 752,871 0.5% China 751,771 0.5% Italy 523,860 0.3% Indonesia 440,615 0.3% India 412,497 0.3% Luxembourg 395,492 0.3% Japan 313,969 0.2% Kenya 219,602 0.1% Finland 216,296 0.1% France 210,750 0.1% Morocco 210,531 0.1% Egypt 209,128 0.1% Brazil 207,802 0.1% Sweden 204,012 0.1% Nigeria 200,714 0.1% Turkey 197,538 0.1% Peru 25,086 0.0% Romania 22,369 0.0% Total $ 160,348,975 102.3%
See Notes to the Financial Statements. 88 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Schedule of Investments (continued) December 31, 2020
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, 2020 (see Note 3):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Assets: Asset-Backed Securities $ - $ 26,482,216 $ - $ 26,482,216 Bank Loan Obligations - 3,439,390 - 3,439,390 Commercial Papers - 8,865,987 - 8,865,987 Convertible Bonds - 102,374 - 102,374 Corporate Bonds - 79,639,321 83,500 79,722,821 Futures 29,334 - - 29,334 * Mortgage-Backed Securities - 17,953,805 - 17,953,805 Municipal Bonds - 87,653 - 87,653 Sovereign Bonds - 1,089,646 - 1,089,646 U.S. Treasury Bill and Notes - 12,409,765 - 12,409,765 Money Market Fund 10,195,318 - - 10,195,318 Total Assets $ 10,224,652 $ 150,070,157 $ 83,500 $ 160,378,309
Liabilities: Futures $ (24,641) $ - $ - $ (24,641) * Total Liabilities $ (24,641) $ - $ - $ (24,641)
*Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments.
Concentration of Ownership: As of December 31, 2020, the Fund had three unitholders holding 10% or more of the outstanding units of the Fund, and aggregated to 77.6% of the Fund's total units outstanding.
Supplementary Information: Total investment purchases, sales proceeds, and realized loss for the year ended December 31, 2020, were:
Purchases Sales Realized at Cost Proceeds Loss
Investments $ 301,304,824 $ 239,435,318 $ (280,457)
See Notes to the Financial Statements. 89 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Statement of Assets and Liabilities December 31, 2020 Assets Investments in securities, at fair value (cost $159,359,600) $ 160,348,975 Cash and cash equivalents 6,754 Cash held at broker 77,747 Receivable for fund units sold 912,834 Dividends and interest receivable 873,023 Receivable for investment securities sold 535,791 Receivable for reimbursement 21,899 Variation margin receivable on futures 7,881 Total assets 162,784,904 Liabilities and Net Assets Payable for investment securities purchased 6,020,768 Payable for fund units redeemed 11,120 Accrued expenses 55,499 Total liabilities 6,087,387 Net assets $ 156,697,517
Statement of Operations For the year ended December 31, 2020 Investment income Interest $ 3,168,895 Miscellaneous income 42,057 Total investment income 3,210,952 Expenses Trustee and sub-advisor fees 223,170 Professional services and other operating expenses 118,029 Expense reimbursement from sub-advisor (108,506) Total expenses 232,693 Net investment income 2,978,259 Net realized gain (loss) on: Investments (280,457) Futures 158,749 Net change in unrealized appreciation on: Investments 707,067 Futures (11,939) Net realized and unrealized gain on investments 573,420 Net increase in net assets resulting from operations $ 3,551,679
See Notes to the Financial Statements. 90 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Statement of Changes in Net Assets For the year ended December 31, 2020 Increase in net assets resulting from operations Net investment income $ 2,978,259 Net realized loss on investments (121,708) Net change in unrealized appreciation on investments 695,128 Net increase in net assets resulting from operations 3,551,679 Fund unit transactions Proceeds from units issued Class 0TS 18,228,119 Class MQ ^ 41,250,000 Class N ^ 2,061,017 Class R 3,436,087 Total proceeds from units issued 64,975,223 Value of units redeemed Class 0TS (2,497,949) Class N ^ (295,532) Class R (3,007,070) Total value of units redeemed (5,800,551) Increase in net assets resulting from fund unit transactions 59,174,672 Increase in net assets 62,726,351 Net assets, beginning of year 93,971,166 Net assets, end of year $ 156,697,517
^Class MQ and Class N funded on 12/15/2020 and 1/14/2020, respectively.
See Notes to the Financial Statements. 91 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Short Duration Credit Trust II
Financial Highlights For the year ended December 31, 2020 Per Unit Operating Performance Class 0TS Class Founders Class MQ Net asset value, beginning of year or at inception $ 10.33 $ 10.33 $ 10.66 Income from investment operations: (1) Net investment income 0.29 0.31 0.01 (1) Net realized and unrealized gain on investments 0.06 0.04 0.01 Total income from investment operations 0.35 0.35 0.02 Net asset value, end of year $ 10.68 $ 10.68 $ 10.68 Total Return 3.39% 3.39% 0.19% ^ Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.30% 0.34% 0.26% # Net expenses 0.27% 0.22% 0.20% # Net investment income 2.81% 2.97% 2.25% # Fund Unit Activity Units, beginning of year 546,511 7,520,560 - Issued 1,745,677 - 3,869,606 Redeemed (243,561) - - Units, end of year 2,048,627 7,520,560 3,869,606
Per Unit Operating Performance Class N Class R Net asset value, beginning of year or at inception $ 10.35 $ 10.32 Income from investment operations: (1) Net investment income 0.28 0.30 (1) Net realized and unrealized gain on investments 0.05 0.05 Total income from investment operations 0.33 0.35 Net asset value, end of year $ 10.68 $ 10.67 Total Return 3.19% ^ 3.39% Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.25% # 0.36% Net expenses 0.20% # 0.27% Net investment income 2.91% # 2.91% Fund Unit Activity Units, beginning of year - 1,032,869 Issued 197,220 334,508 Redeemed (28,305) (302,330) Units, end of year 168,915 1,065,047
(1) Based on average units outstanding. ^Not annualized for periods less than one year. Class N and Class MQ funded on 12/15/2020 and 1/14/2020, respectively. #Annualized except audit expense.
See Notes to the Financial Statements. 92 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett SMID Cap Equity Trust II
Schedule of Investments December 31, 2020
Principal Amount or Fair Shares Cost Value
Common Stock - 93.4% Basic Materials - 4.9% Axalta Coating Systems Ltd. 57,316 $ 1,606,716 $ 1,636,372 Reliance Steel & Aluminum Co. 11,601 1,019,495 1,389,220 Valvoline Inc. 61,730 1,184,356 1,428,432 Total Basic Materials 3,810,567 4,454,024
Communications - 1.6% TechTarget, Inc. 24,903 918,287 1,472,016
Consumer, Cyclical - 16.6% Allison Transmission Holdings, Inc. 36,446 1,406,977 1,571,916 Avient Corporation 35,042 1,117,866 1,411,492 Burlington Stores, Inc. 5,447 880,999 1,424,663 Caesars Entertainment, Inc. 17,900 1,258,492 1,329,433 Dorman Products, Inc. 13,275 1,128,057 1,152,536 LCI Industries 7,005 635,189 908,408 Lear Corporation 9,662 1,213,663 1,536,548 Leggett & Platt, Incorporated 29,300 1,204,103 1,297,990 Malibu Boats, Inc. 14,874 396,420 928,733 Purple Innovation, Inc. 42,656 1,306,796 1,405,089 Sonos, Inc. 35,763 888,595 836,497 Williams-Sonoma, Inc. 12,553 1,107,213 1,278,398 Total Consumer, Cyclical 12,544,370 15,081,703
Consumer, Non-cyclical - 20.5% Avery Dennison Corporation 10,068 1,168,569 1,561,647 Bio-Techne Corporation 4,566 969,805 1,449,933 Booz Allen Hamilton Holding Corporation 16,093 809,007 1,402,988 Charles River Laboratories International, Inc. 7,000 880,641 1,749,020 Encompass Health Corporation 10,914 670,663 902,479 Euronet Worldwide, Inc. 13,594 1,436,257 1,970,042 Hill-Rom Holdings, Inc. 13,200 1,250,725 1,293,204 Icon Public Limited Company 4,900 726,184 955,402 Molina Healthcare, Inc. 6,095 1,102,545 1,296,285 NuVasive, Inc. 19,215 929,954 1,082,381 PerkinElmer, Inc. 10,449 920,506 1,499,432 Primo Water Corporation 49,600 733,290 777,728 STERIS plc 8,600 1,040,709 1,630,044 The Cooper Companies, Inc. 2,730 671,261 991,864 Total Consumer, Non-cyclical 13,310,116 18,562,449 See Notes to the Financial Statements. 93 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett SMID Cap Equity Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Common Stock - 93.4% (continued) Energy - 1.8% Cabot Oil & Gas Corporation 29,400 $ 544,332 $ 478,632 Par Pacific Holdings, Inc. 45,034 671,701 629,575 Pioneer Natural Resources Company 4,702 426,544 535,511 Total Energy 1,642,577 1,643,718
Financials - 14.3% Arch Capital Group Ltd. 18,527 665,110 668,269 Ares Capital Corporation 27,320 487,853 461,435 Bank of Hawaii Corporation 14,638 1,184,333 1,121,564 Discover Financial Services 23,911 935,206 2,164,658 East West Bancorp, Inc. 26,658 1,173,335 1,351,827 Globe Life Inc. 9,575 870,447 909,242 Marcus & Millichap, Inc. 23,400 926,768 871,182 RenaissanceRe Holdings Ltd. 7,497 1,112,355 1,243,153 Stewart Information Services Corporation 25,366 1,101,362 1,226,700 SVB Financial Group 4,147 748,944 1,608,331 Western Alliance Bancorporation 22,967 1,289,006 1,376,872 Total Financials 10,494,719 13,003,233
Industrials - 18.3% A. O. Smith Corporation 26,150 1,311,593 1,433,543 Allegion Public Limited Company 11,759 1,073,209 1,368,512 Carlisle Companies Incorporated 9,586 1,239,043 1,497,141 Crane Co. 20,224 1,484,376 1,570,596 FLIR Systems, Inc. 32,269 1,584,082 1,414,350 Generac Holdings Inc. 4,850 539,150 1,102,939 Hexcel Corporation 23,580 1,021,032 1,143,394 Landstar System, Inc. 9,900 1,093,670 1,333,134 Littelfuse, Inc. 6,351 1,291,733 1,617,346 Masonite International Corporation 13,680 1,158,561 1,345,291 Saia, Inc. 7,718 973,478 1,395,414 Simpson Manufacturing Co., Inc. 15,435 1,000,261 1,442,401 Total Industrials 13,770,188 16,664,061
Technology - 12.2% Aspen Technology, Inc. 9,434 1,273,758 1,228,779 Entegris, Inc. 19,795 731,680 1,902,300 EPAM Systems, Inc. 1,401 281,805 502,048
See Notes to the Financial Statements. 94 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett SMID Cap Equity Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Common Stock - 93.4% (continued) Technology - 12.2% (continued) Fair Isaac Corporation 3,288 $ 1,332,084 $ 1,680,300 Jack Henry & Associates, Inc. 6,941 994,933 1,124,373 Maximus, Inc. 12,979 941,365 949,933 Monolithic Power Systems, Inc. 3,612 565,947 1,322,823 Synopsys, Inc. 2,970 413,169 769,943 Teradyne, Inc. 13,826 768,597 1,657,599 Total Technology 7,303,338 11,138,098
Utilities - 3.2% IDACORP, Inc. 11,706 1,031,958 1,124,127 NorthWestern Corporation 15,583 1,020,605 908,645 Portland General Electric Company 21,158 1,067,681 904,928 Total Utilities 3,120,244 2,937,700 Total Common Stock 66,914,406 84,957,002
Real Estate Investment Trusts - 5.7% Alexandria Real Estate Equities, Inc. 8,100 1,078,890 1,443,582 CoreSite Realty Corporation 6,953 879,891 871,072 First Industrial Realty Trust, Inc. 31,009 1,205,397 1,306,409 Sunstone Hotel Investors, Inc. 95,400 830,498 1,080,882 UDR, Inc. 11,831 545,211 454,665 Total Real Estate Investment Trusts 4,539,887 5,156,610
Money Market Fund - 1.0% State Street Institutional Treasury Plus Money Market Fund - Premier Class 880,979 880,979 880,979 Total Investments - 100.1% $ 72,335,272 90,994,591 Other Assets and Liabilities, Net - (0.1%) (65,019) Net Assets - 100% $ 90,929,572
See Notes to the Financial Statements. 95 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett SMID Cap Equity Trust II
Schedule of Investments (continued) December 31, 2020
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, 2020 (see Note 3):
Fair Value Measurements Level 1 Level 2 Level 3 Total Common Stocks $ 84,957,002 $ - $ - $ 84,957,002 Real Estate Investment Trusts 5,156,610 - - 5,156,610 Money Market Fund 880,979 - - 880,979 Total $ 90,994,591 $ - $ - $ 90,994,591
Concentration of Ownership: As of December 31, 2020, the Fund had one unitholder holding 10% or more of the outstanding units of the Fund, and aggregated to 100% of the Fund's total units outstanding.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:
Purchases Sales Realized at Cost Proceeds Gain
Investments $ 41,235,996 $ 40,982,472 $ 2,369,138
See Notes to the Financial Statements. 96 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett SMID Cap Equity Trust II
Statement of Assets and Liabilities December 31, 2020 Assets Investments in securities, at fair value (cost $72,335,272) $ 90,994,591 Dividends and interest receivable 60,208 Receivable for reimbursement 3,447 Total assets 91,058,246 Liabilities and Net Assets Payable for fund units redeemed 7,718 Accrued expenses 120,956 Total liabilities 128,674 Net assets $ 90,929,572
Statement of Operations For the year ended December 31, 2020 Investment income Dividends $ 1,085,891 Interest 3,925 Total investment income 1,089,816 Expenses Trustee and sub-advisor fees 385,023 Professional services and other operating expenses 36,547 Expense reimbursement from sub-advisor (15,161) Total expenses 406,409 Net investment income 683,407 Net realized gain on: Investments 2,369,138 Net change in unrealized appreciation on: Investments 9,368,444 Net realized and unrealized gain on investments 11,737,582 Net increase in net assets resulting from operations $ 12,420,989
See Notes to the Financial Statements. 97 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett SMID Cap Equity Trust II
Statement of Changes in Net Assets For the year ended December 31, 2020 Increase in net assets resulting from operations Net investment income $ 683,407 Net realized gain on investments 2,369,138 Net change in unrealized appreciation on investments 9,368,444 Net increase in net assets resulting from operations 12,420,989 Fund unit transactions Proceeds from units issued - Class Founders 8,830,010 Value of units redeemed - Class Founders (9,066,508) Decrease in net assets resulting from fund unit transactions (236,498) Increase in net assets 12,184,491 Net assets, beginning of year 78,745,081 Net assets, end of year $ 90,929,572
See Notes to the Financial Statements. 98 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett SMID Cap Equity Trust II
Financial Highlights For the year ended December 31, 2020 Per Unit Operating Performance Class Founders Net asset value, beginning of year $ 11.26 Income from investment operations: (1) Net investment income 0.10 (1) Net realized and unrealized gain on investments 1.67 Total income from investment operations 1.77 Net asset value, end of year $ 13.03 Total Return 15.72% Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.56% Net expenses 0.54% Net investment income 0.90% Fund Unit Activity Units, beginning of year 6,994,545 Issued 838,268 Redeemed (851,810) Units, end of year 6,981,003
(1) Based on average units outstanding.
See Notes to the Financial Statements. 99 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 14.4% Auto - 5.7% ACC Trust 2019-1, 4.47%, 10/20/2022 253,000 $ 252,992 $ 254,168 American Credit Acceptance Receivables Trust 2019-2, 3.05%, 5/12/2023 360,240 360,201 361,677 Avid Automobile Receivables Trust 2019-1, 2.62%, 2/15/2024 455,917 455,906 460,199 Avid Automobile Receivables Trust 2019-1, 2.82%, 7/15/2026 500,000 499,931 512,999 Avid Automobile Receivables Trust 2019-1, 3.14%, 7/15/2026 500,000 499,897 510,522 Bank of The West Auto Trust 2017-1, 2.11%, 1/15/2023 133,178 131,258 133,738 BMW Vehicle Owner Trust 2019-A, 2.05%, 5/25/2022 493,175 492,693 494,379 California Republic Auto Receivables Trust 2017-1, 2.28%, 6/15/2022 16,752 16,731 16,776 CarMax Auto Owner Trust 2019-3, 2.21%, 12/15/2022 257,724 257,663 258,917 CarMax Auto Owner Trust 2019-4, 2.01%, 3/15/2023 1,379,810 1,393,284 1,388,768 CarMax Auto Owner Trust 2020-4, 0.85%, 6/15/2026 3,915,000 3,913,856 3,937,025 Chesapeake Funding II LLC, 1.91%, 8/15/2029 276,775 275,979 277,208 Chesapeake Funding II LLC, 1.99%, 5/15/2029 6,254 6,183 6,260 CPS Auto Receivables Trust 2018-A, 3.05%, 12/15/2023 38,576 38,566 38,802 CPS Auto Receivables Trust 2018-B, 4.26%, 3/15/2024 100,000 99,497 103,191 CPS Auto Receivables Trust 2019-B, 5%, 3/17/2025 662,000 692,488 686,812 CPS Auto Receivables Trust 2020-C, 1.71%, 8/17/2026 1,188,000 1,187,975 1,205,490 CPS Auto Trust, 4.61%, 12/15/2022 1,821,682 1,871,575 1,845,516 Drive Auto Receivables Trust 2016-C, 4.18%, 3/15/2024 159,975 162,287 161,560 Drive Auto Receivables Trust 2017-1, 3.84%, 3/15/2023 44,537 44,690 45,075 Drive Auto Receivables Trust 2017-B, 5.3%, 7/15/2024 2,100,000 2,148,727 2,131,291 Drive Auto Receivables Trust 2018-2, 3.63%, 8/15/2024 12,032 12,082 12,047 Drive Auto Receivables Trust 2020-2, 3.05%, 5/15/2028 2,124,000 2,209,707 2,243,178 Drive Auto Receivables Trust, 4.09%, 1/15/2026 1,669,000 1,721,156 1,733,858 Enterprise Fleet Financing LLC, 2.87%, 10/20/2023 340,819 342,297 342,234 Exeter Automobile Receivables Trust 2020-2, 1.13%, 8/15/2023 641,283 641,247 643,148 Fifth Third Auto Trust 2019-1, 2.64%, 12/15/2023 684,000 683,850 695,930 Fifth Third Auto Trust 2019-1, 2.66%, 5/16/2022 16,357 16,432 16,372 First Investors Auto Owner Trust 2019-2, 2.21%, 9/16/2024 847,893 847,865 855,494 Flagship Credit Auto Trust 2017-3, 2.59%, 7/15/2022 239 239 239 Flagship Credit Auto Trust 2018-3, 3.07%, 2/15/2023 57,276 57,271 57,523 Flagship Credit Auto Trust 2018-3, 3.59%, 12/16/2024 203,000 203,000 206,474 Flagship Credit Auto Trust 2020-2, 1.49%, 7/15/2024 443,910 443,873 447,290 Ford Credit Auto Owner Trust 2018-REV1, 3.19%, 7/15/2031 2,280,000 2,490,455 2,508,687 Ford Credit Auto Owner Trust 2019-C, 1.88%, 7/15/2022 1,377,149 1,373,491 1,382,401 Ford Credit Auto Owner Trust 2020-A, 1.03%, 10/15/2022 291,961 291,948 292,781 Ford Credit Auto Owner Trust 2020-B, 0.5%, 2/15/2023 3,701,337 3,701,174 3,705,529
See Notes to the Financial Statements. 100 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 14.4% (continued) Auto - 5.7% (continued) Foursight Capital Automobile Receivables Trust 2018-1, 3.53%, 4/17/2023 76,994 $ 76,973 $ 77,594 Foursight Capital Automobile Receivables Trust 2018-1, 3.68%, 8/15/2023 100,000 99,972 102,216 GLS Auto Receivables Issuer Trust 2020-3, 1.92%, 5/15/2025 1,663,000 1,662,737 1,693,831 GM Financial Automobile Leasing Trust 2019-1, 3.08%, 12/20/2022 662,000 661,943 668,537 GM Financial Automobile Leasing Trust 2019-2, 2.67%, 3/21/2022 252,064 252,056 253,466 GM Financial Consumer Automobile Receivables Trust 2020-4, 0.38%, 8/18/2025 4,975,000 4,973,937 4,986,003 Honda Auto Receivables 2020-2 Owner Trust, 0.74%, 11/15/2022 1,247,157 1,247,063 1,250,051 Hyundai Auto Receivables Trust 2019-B, 1.93%, 7/15/2022 272,491 271,895 273,453 Mercedes-Benz Auto Lease Trust 2018-B, 3.21%, 9/15/2021 50,961 51,146 51,056 Mercedes-Benz Auto Lease Trust 2019-A, 3.1%, 11/15/2021 247,800 248,943 248,830 Nissan Auto Lease Trust 2019-B, 2.27%, 10/15/2021 319,012 319,299 319,742 Nissan Auto Receivables 2017-C Owner Trust, 2.12%, 4/18/2022 18,636 18,365 18,685 Nissan Auto Receivables 2018-C Owner Trust, 3.22%, 6/15/2023 1,175,471 1,175,246 1,198,265 Santander Drive Auto Receivables Trust 2017-3, 2.76%, 12/15/2022 2,968 2,960 2,973 Santander Drive Auto Receivables Trust 2018-1, 2.96%, 3/15/2024 40,299 39,780 40,492 Santander Drive Auto Receivables Trust 2018-1, 3.32%, 3/15/2024 131,000 130,493 134,023 Santander Retail Auto Lease Trust 2019-B, 2.29%, 4/20/2022 235,054 236,312 236,409 TCF Auto Receivables Owner Trust 2016-PT1, 2.92%, 10/17/2022 29,614 29,207 29,641 Toyota Auto Receivables 2017-A Owner Trust, 2.1%, 9/15/2022 454,981 457,682 455,316 Westlake Automobile Receivables Trust 2018-3, 0%, 10/16/2023 175,008 175,829 175,211 Westlake Automobile Receivables Trust 2019-3, 2.15%, 2/15/2023 1,875,368 1,875,264 1,889,006 Westlake Automobile Receivables Trust 2019-3, 2.41%, 10/15/2024 712,000 711,989 723,388 Westlake Automobile Receivables Trust 2019-3, 2.49%, 10/15/2024 694,000 693,866 710,678 Westlake Automobile Receivables Trust 2020-1, 2.52%, 4/15/2025 1,723,000 1,722,779 1,771,005 Westlake Automobile Receivables Trust 2020-2, 0.93%, 2/15/2024 5,144,143 5,143,876 5,162,525 World Omni Auto Receivables Trust 2017-A, 1.93%, 9/15/2022 7,892 7,795 7,916 World Omni Automobile Lease Securitization Trust 2020-B, 0.45%, 2/15/2024 4,975,000 4,974,588 4,990,269 Total Auto 57,100,461 57,444,139
Credit Card - 1.2% American Express Credit Account Master Trust, 3.06%, 2/15/2024 1,397,000 1,396,391 1,418,458 Chase Issuance Trust, 0.327%, 4/17/2023 365,000 365,000 365,175 Citibank Credit Card Issuance Trust, 2.49%, 1/20/2023 1,524,000 1,544,479 1,525,882 Master Credit Card Trust II Series 2018-1, 0.62%, 7/21/2024 100,000 100,000 100,285
See Notes to the Financial Statements. 101 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 14.4% (continued) Credit Card - 1.2% (continued) Synchrony Credit Card Master Note Trust, 2.21%, 5/15/2024 637,000 $ 625,536 $ 641,527 World Financial Network Credit Card Master Trust, 2.03%, 4/15/2025 381,000 375,281 383,909 World Financial Network Credit Card Master Trust, 2.49%, 4/15/2026 3,824,000 3,891,219 3,942,400 World Financial Network Credit Card Master Trust, 3.14%, 12/15/2025 1,057,000 1,056,745 1,090,322 World Financial Network Credit Card Master Trust, 3.46%, 7/15/2025 1,415,000 1,454,244 1,446,222 World Financial Network Credit Card Master Trust, 3.61%, 12/15/2025 1,496,000 1,495,917 1,535,755 Total Credit Card 12,304,812 12,449,935
Home - 0.0% New Century Home Equity Loan Trust Series 2005-A, 4.711%, 8/25/2035 2,135 2,152 2,142
Other - 7.5% ALM VII Ltd., 2.091%, 7/15/2029 958,000 958,000 958,057 AMMC CLO 16 Ltd., 2.579%, 4/14/2029 3,100,000 3,046,370 3,085,043 Ares XLI Clo Ltd., 1.441%, 1/15/2029 1,850,000 1,850,000 1,850,921 Avery Point V CLO Ltd., 1.203%, 7/17/2026 72,727 72,922 72,730 Avery Point VII CLO Ltd., 1.987%, 1/15/2028 425,000 425,000 425,028 BLUEMOUNTAIN CLO 2012-2 Ltd., 1.274%, 11/20/2028 1,245,212 1,238,114 1,245,143 BSPRT 2018-FL4 Issuer Ltd., 1.177%, 9/15/2035 1,051,077 1,051,077 1,047,264 Cedar Funding VI CLO Ltd., 1.824%, 10/20/2028 250,000 250,000 249,582 Diamond Resorts Owner Trust, 4.11%, 10/22/2029 24,366 24,363 24,579 DRB Prime Student Loan Trust 2015-D, 3.2%, 1/25/2040 88,015 88,393 88,775 Fairstone Financial Issuance Trust I, 5.084%, 3/21/2033 500,000 374,883 394,509 Gracie Point International Funding 2020-B, 2.523%, 5/2/2023 1,714,886 1,714,886 1,716,919 Hardee's Funding LLC, 4.959%, 6/20/2048 259,038 259,038 277,796 Hardee's Funding LLC, 5.71%, 6/20/2048 633,122 665,783 693,044 Hempstead II CLO Ltd., 1.486%, 8/10/2029 1,396,074 1,394,957 1,396,220 Jackson Mill CLO Ltd., 1.071%, 4/15/2027 804,988 790,900 802,700 Jamestown CLO VII Ltd., 2.818%, 7/25/2027 250,000 241,875 245,623 Kayne CLO 7 Ltd., 1.423%, 4/17/2033 2,197,542 2,197,542 2,198,817 KKR CLO 18 Ltd., 3.826%, 7/18/2030 250,000 246,875 246,905 KVK CLO 2016-1 Ltd., 2.487%, 1/15/2029 3,063,398 3,067,993 3,063,719 KVK CLO 2016-1 Ltd., 3.387%, 1/15/2029 250,000 252,750 247,658 Lending Funding Trust 2020-2, 2.32%, 4/21/2031 2,809,000 2,808,744 2,854,607 Longtrain Leasing III LLC 2015-1, 4.06%, 1/15/2045 482,254 494,988 494,576 Madison Park Funding XI Ltd., 1.378%, 7/23/2029 2,250,000 2,246,625 2,250,736 Marble Point CLO XVII Ltd., 1.518%, 4/20/2033 1,354,450 1,354,450 1,355,946
See Notes to the Financial Statements. 102 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 14.4% (continued) Other - 7.5% (continued) Massachusetts Educational Financing Authority, 1.168%, 4/25/2038 128,675 $ 129,448 $ 129,372 ME Funding LLC 2019-1, 6.448%, 7/30/2049 2,687,850 2,643,717 2,624,532 Meritage Mortgage Loan Trust 2004-2, 1.105%, 1/25/2035 154 152 160 Michigan Finance Authority, 1.563%, 1/19/2033 3,000,000 2,993,100 3,005,856 Michigan Finance Authority, 3.858%, 12/5/2049 684,090 684,090 647,712 Mountain Hawk III CLO Ltd., 1.423%, 4/18/2025 31,632 31,708 31,623 Mountain View CLO 2017-1 LLC, 1.313%, 10/16/2029 1,270,390 1,270,390 1,259,707 Mountain View CLO X Ltd., 1.575%, 10/13/2027 360,000 360,560 358,090 Mountain View Clo XIV Ltd., 1.731%, 4/15/2029 1,882,452 1,883,399 1,882,498 MP CLO IV Ltd., 2.068%, 7/25/2029 1,450,000 1,439,850 1,442,161 Navient Private Education Refi Loan Trust 2018-D, 4%, 12/15/2059 169,515 168,920 179,902 Northwoods Capital 20 Ltd., 3.015%, 1/25/2030 675,846 675,846 670,251 Northwoods Capital 20 Ltd., 4.465%, 1/25/2030 782,449 782,449 782,652 OCP CLO 2016-12 Ltd., 1.823%, 10/18/2028 750,000 741,900 749,826 Octagon Investment Partners 25 Ltd., 1.018%, 10/20/2026 1,273,594 1,225,834 1,270,977 Octagon Investment Partners 29 Ltd., 1.398%, 1/24/2033 1,233,639 1,233,639 1,229,715 OneMain Financial Issuance Trust 2020-2, 1.75%, 9/14/2035 3,312,000 3,338,910 3,382,814 Orec 2018-CRE1 Ltd., 1.307%, 6/15/2036 361,000 361,000 355,818 OZLM VIII Ltd., 1.393%, 10/17/2029 1,389,068 1,388,633 1,388,221 Palmer Square Loan Funding 2018-1 Ltd., 0.841%, 4/15/2026 88,919 88,919 88,695 Palmer Square Loan Funding 2018-1 Ltd., 1.291%, 4/15/2026 250,000 250,000 247,690 Palmer Square Loan Funding 2018-1 Ltd., 1.641%, 4/15/2026 250,000 250,000 247,405 Palmer Square Loan Funding 2020-1 Ltd., 1.024%, 2/20/2028 1,932,886 1,896,161 1,929,011 Parallel 2015-1 Ltd., 1.074%, 7/20/2027 1,485,973 1,450,681 1,476,957 Pennsylvania Higher Education Assistance Agency, 0.488%, 4/25/2038 57,133 55,101 54,234 PFS Financing Corp., 1.27%, 6/15/2025 1,834,000 1,851,265 1,862,404 PFS Financing Corp., 3.08%, 2/15/2023 100,000 99,974 100,088 Salem Fields CLO Ltd. 2016-2, 1.365%, 10/25/2028 1,525,247 1,449,747 1,525,279 Salem Fields CLO Ltd. 2016-2, 1.915%, 10/25/2028 250,000 250,000 250,015 SCF Equipment Leasing 2017-2 LLC, 3.41%, 12/20/2023 13,488 13,486 13,544 SCF Equipment Leasing 2018-1 LLC, 3.63%, 10/20/2024 61,836 61,835 62,039 SCF Equipment Leasing 2019-1 LLC, 3.92%, 11/20/2026 1,223,000 1,222,564 1,231,186 SCF Equipment Leasing 2019-2 LLC, 2.76%, 8/20/2026 1,594,000 1,593,806 1,666,316 SCF Equipment Leasing 2019-2 LLC, 3.11%, 6/21/2027 1,157,000 1,156,961 1,209,310 Seneca Park CLO Ltd. 2014-1, 1.338%, 7/17/2026 7,437 7,453 7,438 Shackleton 2016-IX CLO Ltd., 2.124%, 10/20/2028 250,000 250,875 250,026 Shackleton 2019-XIV Clo Ltd., 2.124%, 7/20/2030 1,102,000 1,102,000 1,102,107 Signal Peak CLO 1 Ltd., 1.973%, 1/17/2029 2,500,000 2,485,750 2,500,600 SLC Student Loan Trust 2008-1, 1.817%, 12/15/2032 174,873 179,865 178,732 See Notes to the Financial Statements. 103 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 14.4% (continued) Other - 7.5% (continued) Sound Point CLO III-R Ltd., 1.691%, 4/15/2029 1,725,909 $ 1,579,207 $ 1,687,383 Sound Point CLO XI Ltd., 1.324%, 7/20/2028 250,000 250,000 249,978 Sound Point CLO XII Ltd., 2.818%, 10/20/2028 433,000 433,000 426,529 Sound Point CLO XV Ltd., 2.718%, 1/23/2029 324,000 323,190 317,488 THL Credit Wind River 2017-1 CLO Ltd., 1.363%, 4/18/2029 2,452,970 2,396,061 2,450,606 Towd Point Asset Trust 2018-SL1, 0.73%, 1/25/2046 123,499 123,002 122,454 TPG Real Estate Finance 2018-FL2 Issuer Ltd., 1.257%, 11/15/2037 364,962 364,962 364,912 Verizon Owner Trust 2020-C, 0.41%, 4/21/2025 5,031,000 5,030,183 5,044,294 Total Other 74,686,121 75,345,504 Total Asset-Backed Securities 144,093,546 145,241,720
Corporate Bonds - 39.0% Basic Materials - 2.3% Anglo American Capital plc, 4%, 9/11/2027 1,968,000 1,912,551 2,260,304 Anglo American Capital plc, 4.75%, 4/10/2027 3,077,000 3,204,853 3,633,446 Antofagasta PLC, 2.375%, 10/14/2030 999,000 1,001,334 1,003,995 Ashland LLC, 6.875%, 5/15/2043 222,000 248,840 296,213 CF Industries, Inc., 4.95%, 6/1/2043 704,000 684,261 865,480 Chinalco Capital Holdings Limited, 4%, 8/25/2021 715,000 724,724 721,793 CNAC (HK) Finbridge Company Limited, 4.125%, 7/19/2027 1,578,000 1,689,526 1,632,867 Freeport-McMoRan Inc., 4.125%, 3/1/2028 2,253,000 2,231,816 2,367,058 Glencore Funding LLC, 4.875%, 3/12/2029 2,675,000 3,118,851 3,193,229 GUSAP III LP, 4.25%, 1/21/2030 900,000 938,000 1,005,759 Hecla Mining Company, 7.25%, 2/15/2028 1,716,000 1,700,988 1,876,875 Kinross Gold Corporation, 5.95%, 3/15/2024 138,000 141,863 157,102 MMC Finance Designated Activity Company, 4.1%, 4/11/2023 400,000 411,200 420,573 Nutrition & Biosciences, Inc., 1.832%, 10/15/2027 707,000 706,993 728,818 Phosagro OAO Via Phosagro Bond Funding DAC, 3.949%, 4/24/2023 1,150,000 1,179,900 1,207,063 Suzano Austria GmbH, 3.75%, 1/15/2031 1,240,000 1,247,762 1,317,190 Total Basic Materials 21,143,462 22,687,765
Communications - 3.6% Alibaba Group Holding Limited, 3.4%, 12/6/2027 1,147,000 1,241,995 1,284,327 AMC Networks Inc., 4.75%, 8/1/2025 965,000 983,094 998,008 AT&T Inc., 4.3%, 2/15/2030 2,278,000 2,712,323 2,723,167 Baidu, Inc., 2.375%, 10/9/2030 780,000 780,000 801,427 Baidu, Inc., 3.875%, 9/29/2023 300,000 312,405 323,809
See Notes to the Financial Statements. 104 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Communications - 3.6% (continued) CCO Holdings, LLC / CCO Holdings Capital Corp., 4.75%, 3/1/2030 791,000 $ 830,724 $ 854,478 Cox Communications, Inc., 8.375%, 3/1/2039 1,785,000 2,623,938 3,076,962 CSC Holdings, LLC, 5.5%, 4/15/2027 863,000 912,623 915,643 DISH DBS Corporation, 7.75%, 7/1/2026 2,206,000 2,246,705 2,472,363 Frontier Communications Corporation, 5%, 5/1/2028 1,149,000 1,149,000 1,199,987 Globo Comunicacao e Participacoes S/A, 4.875%, 1/22/2030 1,300,000 1,308,400 1,391,013 JD.com, Inc., 3.375%, 1/14/2030 2,825,000 2,956,828 3,074,088 LogMeIn, Inc., 5.5%, 9/1/2027 945,000 975,713 991,069 Match Group Holdings II, LLC, 5.625%, 2/15/2029 721,000 767,285 787,693 Meituan, 3.05%, 10/28/2030 1,130,000 1,128,452 1,175,878 Netflix, Inc., 6.375%, 5/15/2029 1,986,000 2,305,226 2,455,193 Nexstar Broadcasting, Inc., 5.625%, 7/15/2027 1,350,000 1,350,000 1,448,300 Ooredoo International Finance Limited, 3.75%, 6/22/2026 480,000 489,306 537,826 Prosus N.V., 3.832%, 2/8/2051 1,700,000 1,699,864 1,669,811 Prosus N.V., 5.5%, 7/21/2025 915,000 988,590 1,053,943 Scripps Escrow Inc., 5.875%, 7/15/2027 1,021,000 1,042,226 1,067,915 Sprint Capital Corporation, 6.875%, 11/15/2028 749,000 901,475 988,946 Time Warner Cable, LLC, 7.3%, 7/1/2038 1,369,000 1,679,268 2,031,129 Time Warner Entertainment Company, L.P., 8.375%, 7/15/2033 786,000 1,011,962 1,216,756 Uber Technologies Inc., 8%, 11/1/2026 910,000 946,400 992,469 Zayo Group Holdings, Inc., 4%, 3/1/2027 924,000 913,845 927,516 Total Communications 34,257,647 36,459,716
Consumer, Cyclical - 4.8% American Airlines, Inc., 11.75%, 7/15/2025 916,000 983,555 1,057,751 American Axle & Manufacturing, Inc., 6.5%, 4/1/2027 1,030,000 929,575 1,085,363 Boyd Gaming Corporation, 4.75%, 12/1/2027 508,000 365,760 528,731 Boyd Gaming Corporation, 6%, 8/15/2026 506,000 529,403 526,240 British Airways 2020-1 Class A Pass Through Trust, 4.25%, 11/15/2032 436,000 436,000 468,076 Caesars Entertainment, Inc., 8.125%, 7/1/2027 928,000 985,523 1,028,528 Carnival Corporation, 7.625%, 3/1/2026 601,000 601,000 655,910 Carnival Corporation, 11.5%, 4/1/2023 1,281,000 1,268,190 1,483,110 Cedar Fair, L.P., 5.25%, 7/15/2029 1,000,000 1,001,700 1,031,240 Century Communities, Inc., 6.75%, 6/1/2027 1,575,000 1,488,434 1,686,203 Clarios Global LP / Clarios US Finance Co, 8.5%, 5/15/2027 1,431,000 1,365,882 1,557,013 Delta Air Lines, Inc., 7%, 5/1/2025 1,703,000 1,703,000 1,967,334 Delta Air Lines Inc / SkyMiles IP Ltd., 4.5%, 10/20/2025 861,000 861,000 920,585 Delta Air Lines Inc / SkyMiles IP Ltd., 4.75%, 10/20/2028 872,000 872,000 952,506
See Notes to the Financial Statements. 105 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Consumer, Cyclical - 4.8% (continued) Ford Motor Company, 7.45%, 7/16/2031 1,682,000 $ 1,790,165 $ 2,160,319 Gap, Inc./The, 8.625%, 5/15/2025 859,000 904,098 959,305 General Motors Financial Company, Inc., 3.6%, 6/21/2030 3,392,000 3,310,901 3,788,924 Hilton Domestic Operating Company Inc., 4.875%, 1/15/2030 925,000 895,511 1,012,297 IRB Holding Corp., 6.75%, 2/15/2026 974,000 935,040 1,006,483 IRB Holding Corp., 7%, 6/15/2025 883,000 918,875 966,245 Live Nation Entertainment, Inc., 3.75%, 1/15/2028 282,000 282,000 285,638 Live Nation Entertainment, Inc., 4.75%, 10/15/2027 1,004,000 1,001,490 1,032,243 Mattel, Inc., 6.75%, 12/31/2025 905,000 942,837 956,105 Murphy Oil USA, Inc., 4.75%, 9/15/2029 1,314,000 1,360,811 1,400,809 Newell Brands Inc., 5.875%, 4/1/2036 873,000 986,391 1,062,878 NVR, Inc., 3%, 5/15/2030 2,566,000 2,652,859 2,809,076 Penn National Gaming, Inc., 5.625%, 1/15/2027 676,000 679,866 706,488 PulteGroup, Inc., 5.5%, 3/1/2026 1,488,000 1,645,899 1,773,384 PVH Corp., 7.75%, 11/15/2023 42,000 48,090 49,280 Rite Aid Corporation, 7.5%, 7/1/2025 915,000 903,471 956,655 Rite Aid Corporation, 8%, 11/15/2026 1,173,000 1,190,595 1,256,037 Royal Caribbean Cruises Ltd., 11.5%, 6/1/2025 852,000 885,825 997,096 Sally Holdings LLC / Sally Capital Inc., 5.625%, 12/1/2025 1,657,000 1,582,252 1,705,053 Scientific Games International, Inc., 7.25%, 11/15/2029 1,437,000 1,557,189 1,579,536 Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8%, 9/20/2025 923,000 1,022,223 1,038,375 Tesla, Inc., 5.3%, 8/15/2025 730,000 647,134 761,938 Toll Brothers Finance Corp., 4.35%, 2/15/2028 1,034,000 1,061,795 1,151,421 TRI Pointe Homes, Inc., 5.25%, 6/1/2027 1,001,000 1,004,504 1,092,151 Vail Resorts, Inc., 6.25%, 5/15/2025 725,000 764,875 774,844 Walgreens Boots Alliance, Inc., 3.2%, 4/15/2030 875,000 874,930 951,893 William Carter Company/The, 5.5%, 5/15/2025 893,000 916,184 950,027 Total Consumer, Cyclical 44,156,832 48,133,090
Consumer, Non-cyclical - 7.4% Adani Ports and Special Economic Zone Limited, 4%, 7/30/2027 400,000 395,476 427,900 Advocate Health & Hospitals Corp., 2.211%, 6/15/2030 1,307,000 1,379,316 1,364,299 Albertsons Cos Inc. / Safeway Inc. / New Albertsons LP / Albertsons LLC, 4.875%, 2/15/2030 898,000 922,695 990,386 Alcon Finance Corporation, 2.6%, 5/27/2030 3,403,000 3,437,310 3,628,734 Anthem, Inc., 2.25%, 5/15/2030 2,831,000 2,872,602 3,008,946
See Notes to the Financial Statements. 106 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Consumer, Non-cyclical - 7.4% (continued) Arcor S A I C, 6%, 7/6/2023 221,000 $ 223,916 $ 217,853 B.A.T Capital Corporation, 4.7%, 4/2/2027 2,116,000 2,148,085 2,490,566 B.A.T Capital Corporation, 4.906%, 4/2/2030 3,323,000 3,966,665 4,015,667 Bayer Corporation, 6.65%, 2/15/2028 411,000 492,497 532,009 Bayer US Finance II LLC, 3.875%, 12/15/2023 1,109,000 1,125,591 1,209,125 Becle, S. A. B. de C. V., 3.75%, 5/13/2025 400,000 410,558 436,972 Biogen Inc., 2.25%, 5/1/2030 3,710,000 3,699,758 3,877,181 Boston Scientific Corporation, 2.65%, 6/1/2030 2,493,000 2,489,285 2,677,138 Centene Corporation, 3.375%, 2/15/2030 906,000 921,750 954,611 CommonSpirit Health, 3.347%, 10/1/2029 3,047,000 3,101,414 3,350,274 CoStar Group, Inc., 2.8%, 7/15/2030 575,000 574,546 598,097 CVS Health Corporation, 3.625%, 4/1/2027 1,856,000 2,021,511 2,114,185 CVS Health Corporation, 4.3%, 3/25/2028 2,872,000 3,346,885 3,420,622 DaVita Inc., 3.75%, 2/15/2031 1,384,000 1,384,000 1,407,853 Garda World Security Corporation, 9.5%, 11/1/2027 894,000 923,055 991,616 HCA Inc., 4.125%, 6/15/2029 3,223,000 3,570,214 3,741,148 HCA Inc., 4.5%, 2/15/2027 1,240,000 1,419,750 1,442,977 HCA Inc., 5.25%, 6/15/2026 1,092,000 1,179,838 1,293,542 Heartland Dental, LLC, 3.952%, 4/30/2025 1,026,980 991,060 1,004,191 JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance Inc., 6.5%, 4/15/2029 1,279,000 1,394,380 1,492,081 Kimberly Clark De Mexico S A B De C V, 3.8%, 4/8/2024 200,000 202,870 216,245 Kraft Heinz Foods Company, 4.375%, 6/1/2046 1,889,000 1,773,971 2,043,877 KUEHG Corp., 4.75%, 2/21/2025 1,028,924 977,478 980,950 Learning Care Group (US) No. 2 Inc., 4.25%, 3/13/2025 1,037,980 988,676 988,572 Legacy LifePoint Health, LLC, 6.75%, 4/15/2025 2,126,000 2,212,590 2,288,235 MED ParentCo, LP, 4.369%, 8/31/2026 818,133 797,680 808,054 MED ParentCo, LP, 4.369%, 8/31/2026 205,162 200,033 202,635 MEDNAX, Inc., 6.25%, 1/15/2027 755,000 773,875 810,666 MHP Lux S.A., 6.25%, 9/19/2029 1,555,000 1,444,075 1,601,650 MHP Lux S.A., 6.95%, 4/3/2026 1,080,000 1,110,300 1,191,294 Minerva Luxembourg S.A., 5.875%, 1/19/2028 594,000 595,266 641,674 PayPal Holdings, Inc., 2.85%, 10/1/2029 2,938,000 3,070,987 3,268,095 Pepperdine University, 3.301%, 12/1/2059 333,000 333,000 356,961 Radiology Partners, Inc., 9.25%, 2/1/2028 796,000 826,128 897,729 Regeneron Pharmaceuticals, Inc., 1.75%, 9/15/2030 2,513,000 2,508,474 2,477,576 Royalty Pharma plc, 1.75%, 9/2/2027 1,222,000 1,201,030 1,258,403 Select Medical Corporation, 6.25%, 8/15/2026 875,000 925,313 943,653
See Notes to the Financial Statements. 107 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Consumer, Non-cyclical - 7.4% (continued) Spring Educationo Group, Inc., 4.452%, 7/30/2025 1,039,426 $ 990,053 $ 992,651 Surgery Center Holdings, Inc., 10%, 4/15/2027 653,000 689,190 722,789 Tenet Healthcare Corporation, 6.25%, 2/1/2027 3,247,000 3,389,298 3,446,350 United Rentals (North America), Inc., 4.875%, 1/15/2028 917,000 916,494 977,751 Total Consumer, Non-cyclical 70,318,938 73,803,783
Diversified - 0.0% Koc Holding A.S., 5.25%, 3/15/2023 200,000 187,310 207,092
Energy - 4.1% Abu Dhabi Crude Oil Pipeline L.L.C., 4.6%, 11/2/2047 600,000 687,440 747,624 Apache Corporation, 4.375%, 10/15/2028 2,115,000 1,869,951 2,204,845 Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc., 2,197,000 2,358,062 2,461,779 3.337%, 12/15/2027 Buckeye Partners, L.P., 6.375%, 1/22/2078 1,416,000 1,048,401 1,068,082 Continental Resources, Inc., 3.8%, 6/1/2024 995,000 793,497 1,026,716 Diamondback Energy, Inc., 3.5%, 12/1/2029 956,000 659,640 1,022,331 Diamondback Energy, Inc., 4.75%, 5/31/2025 434,000 437,538 488,982 Empresa Nacional del Petroleo, 3.75%, 8/5/2026 1,040,000 1,078,369 1,138,058 EQT Corporation, 7.625%, 2/1/2025 911,000 961,105 1,038,672 Equinor ASA, 7.15%, 11/15/2025 355,000 429,937 453,863 Galaxy Pipeline Assets Bidco Limited, 3.25%, 9/30/2040 2,159,000 2,159,000 2,284,285 Gazprom PJSC Via Gaz Capital SA, 4.95%, 2/6/2028 480,000 488,400 550,380 Greenko Solar (Mauritius) Limited, 5.95%, 7/29/2026 895,000 922,994 971,148 Laredo Petroleum, Inc., 9.5%, 1/15/2025 1,290,000 1,290,000 1,123,513 MEG Energy Corp., 7%, 3/31/2024 659,000 628,830 667,238 MEG Energy Corp., 7.125%, 2/1/2027 1,580,000 1,546,750 1,635,300 MPLX LP, 3.375%, 3/15/2023 1,613,000 1,700,408 1,709,276 MPLX LP, 5.25%, 1/15/2025 1,682,000 1,742,973 1,726,164 PDC Energy, Inc., 5.75%, 5/15/2026 1,005,000 631,153 1,039,547 Petroleos Mexicanos, 4.5%, 1/23/2026 724,000 658,894 722,545 Petroleos Mexicanos, 5.35%, 2/12/2028 4,930,000 4,401,205 4,870,889 PT Pertamina (Persero), 4.15%, 2/25/2060 200,000 200,000 213,403 PT Pertamina (Persero), 4.175%, 1/21/2050 200,000 205,460 216,892 PT Pertamina (Persero), 4.7%, 7/30/2049 600,000 638,150 688,568 Range Resources Corporation, 9.25%, 2/1/2026 980,000 1,022,797 1,025,570
See Notes to the Financial Statements. 108 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Energy - 4.1% (continued) Sabine Pass Liquefaction, LLC, 5.875%, 6/30/2026 3,747,000 $ 4,393,949 $ 4,532,547 Saudi Arabian Oil Co., 2.875%, 4/16/2024 1,100,000 1,101,307 1,168,378 SM Energy Company, 6.75%, 9/15/2026 641,000 560,862 520,813 Southwestern Energy Company, 7.75%, 10/1/2027 985,000 1,039,960 1,065,351 Tengizchevroil Finance Company International Ltd., 3.25%, 8/15/2030 705,000 697,520 747,987 Viper Energy Partners LP, 5.375%, 11/1/2027 485,000 500,763 507,645 Warrior Met Coal, Inc., 8%, 11/1/2024 355,000 358,444 363,264 Western Midstream Operating, LP, 5.3%, 2/1/2030 1,027,000 896,058 1,143,909 YPF Sociedad Anonima, 8.5%, 7/28/2025 205,000 201,989 158,365 Total Energy 38,311,806 41,303,929
Financials - 8.5% AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.5%, 1/15/2025 1,299,000 1,246,236 1,379,750 AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.875%, 1/23/2028 1,993,000 2,028,024 2,154,184 AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.875%, 1/16/2024 301,000 309,792 328,688 Akbank Turk Anonim Sirketi, 5%, 10/24/2022 450,000 448,875 456,464 Ally Financial Inc., 8%, 11/1/2031 722,000 977,359 1,061,354 Avolon Holdings Funding Limited, 4.25%, 4/15/2026 534,000 533,867 575,723 Banco de Credito e Inversiones S.A., 3.5%, 10/12/2027 700,000 693,480 776,011 Banco do Brasil SA, 4.625%, 1/15/2025 900,000 955,565 980,730 Bank of America Corporation, 3.593%, 7/21/2028 2,238,000 2,513,681 2,542,915 Bank of America Corporation, 3.95%, 4/21/2025 28,000 27,197 31,575 Bank of America Corporation, 4.45%, 3/3/2026 145,000 151,563 169,060 BrightSphere Investment Group Inc., 4.8%, 7/27/2026 735,000 780,602 789,356 Citigroup Inc., 2.666%, 1/29/2031 594,000 597,475 637,672 Citigroup Inc., 3.887%, 1/10/2028 2,225,000 2,508,993 2,557,051 Citigroup Inc., 3.98%, 3/20/2030 1,866,000 1,955,687 2,194,955 Citigroup Inc., 4.45%, 9/29/2027 899,000 940,460 1,060,552 Country Garden Holdings Company Limited, 4.75%, 1/17/2023 700,000 677,500 718,926 Country Garden Holdings Company Limited, 4.75%, 9/28/2023 1,365,000 1,344,956 1,400,831 Credit Suisse Group AG, 4.5%^ 328,000 328,000 330,427 EPR Properties, 4.95%, 4/15/2028 1,187,000 1,306,242 1,194,918 Equinix, Inc., 1.55%, 3/15/2028 2,811,000 2,808,442 2,859,920 Equinix, Inc., 2.625%, 11/18/2024 2,185,000 2,137,864 2,337,514 ESH Hospitality, Inc., 4.625%, 10/1/2027 980,000 927,096 1,005,725
See Notes to the Financial Statements. 109 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Financials - 8.5% (continued) Global Aircraft Leasing Co., Ltd., 6.5%, 9/15/2024 1,413,498 $ 1,240,895 $ 1,238,028 HAT Holdings I LLC / HAT Holdings II LLC, 5.25%, 7/15/2024 1,967,000 1,987,609 2,049,575 International Lease Finance Corporation, 5.875%, 8/15/2022 596,000 635,083 644,160 JPMorgan Chase & Co., 3.54%, 5/1/2028 475,000 453,188 543,340 JPMorgan Chase & Co., 3.782%, 2/1/2028 6,803,000 7,160,973 7,824,793 Kaisa Group Holdings Ltd., 9.375%, 6/30/2024 400,000 396,750 388,750 Kaisa Group Holdings Ltd., 11.95%, 10/22/2022 440,000 469,250 468,820 Kookmin Bank, 1.75%, 5/4/2025 1,000,000 994,200 1,040,316 Longfor Group Holdings Limited, 4.5%, 1/16/2028 1,340,000 1,387,218 1,491,259 Macquarie Group Limited, 3.763%, 11/28/2028 40,000 37,678 44,546 Macquarie Group Limited, 4.654%, 3/27/2029 1,706,000 1,806,264 1,997,285 Morgan Stanley, 3.625%, 1/20/2027 4,396,000 4,600,722 5,047,999 Morgan Stanley, 4.431%, 1/23/2030 1,309,000 1,588,000 1,596,210 Morgan Stanley, 7.25%, 4/1/2032 4,000 5,091 6,172 Nationstar Mortgage Holdings Inc., 5.5%, 8/15/2028 940,000 972,900 991,113 Navient Corporation, 5%, 3/15/2027 1,235,000 1,235,000 1,247,511 Neuberger Berman Group LLC / Neuberger Berman Finance Corp., 274,000 277,784 309,769 4.5%, 3/15/2027 Neuberger Berman Group LLC / Neuberger Berman Finance Corp., 1,369,000 1,381,248 1,554,738 4.875%, 4/15/2045 OneMain Finance Corporation, 5.375%, 11/15/2029 1,445,000 1,363,373 1,629,238 Park Intermediate Holdings LLC / PK Domestic Property LLC / 980,000 1,016,750 1,045,538 PK Finance Co-Issuer, 5.875%, 10/1/2028 Popular, Inc., 6.125%, 9/14/2023 178,000 180,430 192,889 Quicken Loans LLC / Quicken Loans Co-Issuer Inc, 3.625%, 3/1/2029 1,003,000 1,003,000 1,024,941 Sunac China Holdings Limited, 7.875%, 2/15/2022 1,070,000 1,121,288 1,098,570 Sura Asset Management S.A., 4.375%, 4/11/2027 990,000 1,042,413 1,119,759 Temasek Financial (I) Limited, 2.5%, 10/6/2070 575,000 570,929 579,521 Toronto-Dominion Bank/The, 3.625%, 9/15/2031 2,016,000 2,059,744 2,285,968 Turkiye Garanti Bankasi A.S., 5.875%, 3/16/2023 200,000 198,250 208,190 UBS AG, 5.125%, 5/15/2024 3,313,000 3,528,110 3,660,037 VEREIT Operating Partnership, L.P., 4.875%, 6/1/2026 3,602,000 3,862,033 4,225,280 Wachovia Corporation, 7.574%, 8/1/2026 260,000 324,214 342,484 WEA Finance LLC, 2.875%, 1/15/2027 1,842,000 1,853,154 1,893,866 Wells Fargo & Company, 2.393%, 6/2/2028 7,731,000 8,058,231 8,234,523 Yuzhou Group Holdings Company Limited, 6%, 10/25/2023 320,000 317,200 327,800 Zhenro Properties Group Limited, 8.65%, 1/21/2023 600,000 607,500 628,522 Total Financials 79,935,428 84,525,811
See Notes to the Financial Statements. 110 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Industrials - 3.2% BAE Systems PLC, 3.4%, 4/15/2030 2,282,000 $ 2,314,035 $ 2,587,936 Ball Corporation, 2.875%, 8/15/2030 1,348,000 1,348,000 1,346,315 Boeing Company/The, 4.875%, 5/1/2025 4,185,000 4,372,413 4,773,324 Boeing Company/The, 5.04%, 5/1/2027 3,265,000 3,353,617 3,820,730 CEMEX, S.A.B. de C.V., 5.45%, 11/19/2029 695,000 741,278 765,723 Forterra Finance LLC / FRTA Finance Corp., 6.5%, 7/15/2025 928,000 989,020 999,340 Griffon Corporation, 5.75%, 3/1/2028 1,713,000 1,712,490 1,814,392 IDEX Corporation, 3%, 5/1/2030 1,078,000 1,132,920 1,187,586 nVent Finance S.a r.l., 4.55%, 4/15/2028 2,515,000 2,546,485 2,734,706 Owens Corning, 3.95%, 8/15/2029 1,758,000 1,992,271 2,028,718 PT Pelabuhan Indonesia III (Persero), 4.5%, 5/2/2023 270,000 264,938 287,973 Roper Technologies, Inc., 1.4%, 9/15/2027 2,810,000 2,806,066 2,846,197 Signature Aviation US Holdings, Inc, 4%, 3/1/2028 1,043,000 1,044,438 1,051,615 Stericycle, Inc., 3.875%, 1/15/2029 804,000 804,000 827,115 TransDigm Inc., 6.375%, 6/15/2026 928,000 872,320 962,220 Vertical U.S. Newco Inc., 5.25%, 7/15/2027 1,059,000 1,059,000 1,124,526 Watco Cos LLC / Watco Finance Corp., 6.5%, 6/15/2027 1,543,000 1,643,295 1,673,191 XPO Logistics, Inc., 6.25%, 5/1/2025 939,000 964,950 1,012,256 Total Industrials 29,961,536 31,843,863
Technology - 1.3% Banff Merger Sub Inc., 9.75%, 9/1/2026 886,000 923,655 957,961 Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027 3,668,000 3,830,579 4,123,626 Dell International LLC / EMC Corp., 5.45%, 6/15/2023 27,000 29,550 29,871 Dell International LLC / EMC Corp., 6.02%, 6/15/2026 175,000 177,105 213,773 Dell International LLC / EMC Corp., 8.35%, 7/15/2046 1,864,000 2,326,306 2,819,987 Hewlett Packard Enterprise Company, 0.9%, 3/12/2021 683,000 660,639 683,620 NXP BV / NXP Funding LLC / NXP USA Inc, 3.15%, 5/1/2027 1,700,000 1,714,748 1,875,188 Oracle Corporation, 2.95%, 4/1/2030 2,186,000 2,436,559 2,444,900 Total Technology 12,099,141 13,148,926
Utilities - 3.8% Aegea Finance S.a.r.l., 5.75%, 10/10/2024 720,000 733,550 753,757 Ausgrid Finance Pty Ltd., 4.35%, 8/1/2028 1,331,000 1,453,526 1,545,390 Calpine Corporation, 5.125%, 3/15/2028 891,000 896,569 938,566 CenterPoint Energy Resources Corp., 1.75%, 10/1/2030 2,317,000 2,315,726 2,343,086 Clearway Energy Operating LLC, 5.75%, 10/15/2025 1,204,000 1,265,289 1,269,468
See Notes to the Financial Statements. 111 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 39.0% (continued) Utilities - 3.8% (continued) Cleco Corporate Holdings LLC, 3.375%, 9/15/2029 373,000 $ 372,780 $ 384,306 Emera US Finance LP, 3.55%, 6/15/2026 5,742,000 6,455,363 6,456,329 Emirates Semb Corp. Water and Power Company PJSC, 4.45%, 8/1/2035 500,000 540,625 598,125 ENN Energy Holdings Limited, 2.625%, 9/17/2030 590,000 585,068 593,728 Eskom Holdings SOC Ltd., 6.35%, 8/10/2028 1,380,000 1,400,010 1,526,763 FirstEnergy Corp., 2.65%, 3/1/2030 1,471,000 1,535,312 1,477,220 FirstEnergy Corp., 4.4%, 7/15/2027 2,020,000 2,168,956 2,228,305 Liberty Utilities Finance GP1, 2.05%, 9/15/2030 1,674,000 1,669,648 1,685,304 Minejesa Capital B.V., 4.625%, 8/10/2030 400,000 409,480 432,024 National Fuel Gas Company, 5.5%, 1/15/2026 1,632,000 1,624,134 1,884,084 NiSource Inc., 3.49%, 5/15/2027 3,981,000 4,191,853 4,518,779 NRG Energy, Inc., 2.45%, 12/2/2027 997,000 995,594 1,049,928 NRG Energy, Inc., 5.75%, 1/15/2028 913,000 995,593 999,164 Pennsylvania Electric Company, 3.6%, 6/1/2029 886,000 927,338 971,344 PSEG Power LLC, 8.625%, 4/15/2031 1,270,000 1,842,289 1,938,019 PT Cikarang Listrindo Tbk, 4.95%, 9/14/2026 1,100,000 1,140,250 1,149,500 Star Energy Geothermal Darajat II / Star Energy Geothermal Salak, 260,000 260,000 290,682 4.85%, 10/14/2038 Vistra Operations Company LLC, 3.55%, 7/15/2024 2,347,000 2,499,602 2,542,783 Total Utilities 36,278,555 37,576,654 Total Corporate Bonds 366,650,655 389,690,629
Mortgage-Backed Securities - 32.8% AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 563,000 598,935 608,037 3.785%, 11/15/2050 Angel Oak Mortgage Trust 2020-1, 2.466%, 12/25/2059 338,616 338,610 342,272 Angel Oak Mortgage Trust I LLC 2019-4, 2.993%, 7/26/2049 973,998 970,345 984,584 Atrium Hotel Portfolio Trust 2018-ATRM, 1.076%, 6/15/2035 1,570,000 1,544,243 1,541,451 Bancorp Commercial Mortgage 2019-CRE6 Trust, 1.177%, 9/15/2036 3,475,407 3,475,407 3,473,459 BANK 2018-BNK15, 0.418%, 11/15/2061 5,800,469 193,284 161,225 BANK 2020-BNK30, 2.757%, 12/15/2053 900,000 899,999 906,859 BBCMS 2019-BWAY Mortgage Trust, 1.082%, 11/15/2034 737,000 732,025 720,722 BBCMS 2019-BWAY Mortgage Trust, 1.436%, 11/15/2034 324,000 321,892 314,228 Benchmark 2019-B12 Mortgage Trust, 3.44%, 8/15/2052 999,000 1,014,763 1,024,353 Benchmark 2020-B22 Mortgage Trust, 2.698%, 1/15/2054 1,790,000 1,789,845 1,811,125 BWAY 2013-1515 Mortgage Trust, 3.633%, 3/10/2033 689,000 691,153 723,631
See Notes to the Financial Statements. 112 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 32.8% (continued) BX Commercial Mortgage Trust 2018-BIOA, 0.797%, 3/15/2037 600,000 $ 596,307 $ 601,506 BX Trust 2018-BILT, 0.926%, 5/15/2030 325,000 324,797 319,418 BX Trust 2018-GW, 0.926%, 5/15/2035 327,000 326,591 322,391 CF Trust 2019-MF1, 2.95%, 8/21/2032 2,400,000 2,400,375 2,406,929 Citigroup Commercial Mortgage Trust 2013-375P, 3.518%, 5/10/2035 1,180,000 1,213,971 1,202,161 Citigroup Commercial Mortgage Trust 2016-GC36, 2.85%, 2/10/2049 616,000 474,230 443,245 COMM 2012-CCRE1 Mortgage Trust, 4.612%, 5/15/2045 51,000 51,701 50,478 COMM 2013-CCRE6 Mortgage Trust, 3.101%, 3/10/2046 10,000 9,986 10,380 COMM 2014-CCRE19 Mortgage Trust, 0.971%, 8/10/2047 38,995 1,637 1,091 COMM 2014-UBS6 Mortgage Trust, 3.644%, 12/10/2047 2,256,000 2,414,361 2,491,713 COMM 2015-PC1 Mortgage Trust, 4.29%, 7/10/2050 335,000 357,979 375,762 COMM 2015-PC1 Mortgage Trust, 4.32%, 7/10/2050 348,000 273,907 286,670 COMM 2015-PC1 Mortgage Trust, 4.32%, 7/10/2050 328,000 342,529 321,453 COMM 2016-COR1 Mortgage Trust, 3.494%, 10/10/2049 338,000 351,335 372,644 Credit Suisse Mortgage Capital Certificates, 1.616%, 4/25/2065 3,272,315 3,277,615 3,292,914 CSAIL 2016-C7 Commercial Mortgage Trust, 4.386%, 11/15/2049 2,000,000 1,768,828 1,319,157 CSAIL 2019-C18 Commercial Mortgage Trust, 3.321%, 12/15/2052 795,955 819,826 880,200 CSMC 2014-USA OA LLC, 4.373%, 9/15/2037 100,000 98,313 84,137 CSMC 2020-AFC1 Trust, 2.24%, 2/25/2050 798,051 798,049 812,142 CSMC Series 2019-UVIL, 0.124%, 12/15/2041 133,997,114 1,858,004 1,651,119 CSMC Series 2019-UVIL, 3.16%, 12/15/2041 2,462,000 2,535,845 2,494,098 CSMC Trust 2017-LSTK, 2.761%, 4/5/2033 3,061,829 3,065,656 3,057,156 DBWF 2018-GLKS Mortgage Trust, 1.16%, 12/19/2030 1,100,000 1,089,222 1,089,925 DBWF 2018-GLKS Mortgage Trust, 1.48%, 12/19/2030 100,000 99,875 97,510 DBWF 2018-GLKS Mortgage Trust, 1.88%, 12/19/2030 100,000 99,750 96,838 DBWF Mortgage Trust, 3.421%, 6/10/2034 400,000 409,465 391,509 Deephaven Residential Mortgage Trust 2019-3, 2.964%, 7/25/2059 1,020,978 1,016,512 1,033,022 Deephaven Residential Mortgage Trust 2019-4, 2.791%, 10/25/2059 655,563 650,646 667,806 Deephaven Residential Mortgage Trust 2020-1, 2.339%, 1/25/2060 486,270 486,268 492,825 Fannie Mae MBS 30 YR TBA 2.5 Single Family Mortgage, 2.5%, 1/14/2051 10,719,000 11,213,079 11,298,482 Fannie Mae MBS 30 YR TBA 3 Single Family Mortgage, 3%, 1/14/2051 77,850,000 81,424,027 81,559,588 Fannie Mae MBS 30 YR TBA 3.5 Single Family Mortgage, 3.5%, 1/14/2051 91,200,000 96,237,902 96,398,768 Fannie Mae MBS 30 YR TBA 4 Single Family Mortgage, 4%, 1/14/2051 38,882,000 41,447,301 41,524,692 Fannie Mae Pool BH2675, 3.5%, 9/1/2047 7,648,666 7,854,224 8,282,785 Fannie Mae Pool CA5347, 3.5%, 3/1/2050 4,688,694 4,814,703 5,110,328 Fannie Mae Pool FM1738, 4%, 1/1/2048 1,798,918 1,942,831 2,028,031 Foothill-Eastern Transportation Corridor Agency, 1.177%, 4/14/2037 840,500 840,500 832,736 Foothill-Eastern Transportation Corridor Agency, 3.202%, 12/9/2041 1,410,000 1,452,225 1,552,571
See Notes to the Financial Statements. 113 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 32.8% (continued) Freddie Mac Pool SD0119, 4%, 10/1/2049 1,500,056 $ 1,627,092 $ 1,694,639 GCAT 2019-NQM2 Trust, 2.247%, 1/25/2060 373,243 373,237 382,790 Government National Mortgage Association, 2.9%, 2/16/2049 52,115 50,557 54,798 Great Wolf Trust 2019-WOLF, 1.16%, 12/15/2036 3,627,000 3,617,933 3,555,250 GS Mortgage Securities Corp. Trust 2012-ALOHA, 3.551%, 4/10/2034 1,000,000 1,003,555 1,010,806 GS Mortgage Securities Corp. Trust 2018-RIVR, 1.076%, 7/15/2035 261,550 261,717 251,799 GS Mortgage Securities Trust 2014-GC18, 4.074%, 1/10/2047 1,368,000 1,412,193 1,486,061 GS Mortgage Securities Trust 2014-GC26, 4.511%, 11/10/2047 250,000 252,900 235,646 GS Mortgage Securities Trust 2015-GC32, 4.344%, 7/10/2048 10,000 9,970 10,602 GS Mortgage Securities Trust 2020-GSA2, 2.989%, 12/12/2053 1,370,000 1,369,960 1,383,849 Hudsons Bay Simon JV Trust 2015-HBS, 3.914%, 8/5/2034 220,000 216,184 198,550 Hudsons Bay Simon JV Trust 2015-HBS, 4.155%, 8/5/2034 872,316 909,832 718,745 J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN, 3.905%, 5/5/2030 301,143 302,296 246,520 J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN, 4.37%, 5/5/2030 549,000 521,550 275,813 J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI, 4.009%, 10/5/2031 680,000 641,325 656,189 J.P. Morgan Chase Commercial Mortgage SecuritiesTrust 2018-MINN, 2.02%, 11/15/2035 190,000 190,000 184,113 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ, 1.126%, 6/15/2032 226,830 226,830 224,097 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ, 1.426%, 6/15/2032 1,120,800 1,121,150 1,096,490 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT, 1.063%, 7/5/2033 96,789 96,559 95,445 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT, 1.363%, 7/5/2033 299,000 298,290 293,849 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT, 4.549%, 7/5/2033 91,000 93,656 94,971 J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT, 4.95%, 7/5/2033 120,000 123,523 124,436 J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES, 0.164%, 5/5/2032 11,210,000 103,758 69,003 J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES, 0.642%, 5/5/2032 6,710,000 195,060 128,204 J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES, 4.142%, 5/5/2032 471,000 485,130 496,513
See Notes to the Financial Statements. 114 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 32.8% (continued) JPMBB Commercial Mortgage Securities Trust 2015-C29, 0.654%, 5/15/2048 777,923 $ 23,442 $ 19,049 Merrill Lynch Mortgage Investors Trust Series 2006-AF2, 6.25%, 10/25/2036 4,762 4,012 3,197 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23, 0.565%, 7/15/2050 1,138,087 32,974 25,128 New Residential Mortgage Loan Trust 2019-NQM3, 2.802%, 7/25/2049 1,238,007 1,232,106 1,254,908 New Residential Mortgage Loan Trust 2020-NQM1, 2.464%, 1/26/2060 295,729 295,729 302,735 One Market Plaza Trust 2017-1MKT, 3.614%, 2/10/2032 500,000 498,730 519,432 One New York Plaza Trust 2020-1NYP, 1.626%, 1/15/2026 2,440,000 2,440,000 2,450,049 Queens Center Mortgage Trust 2013-QC, 3.376%, 1/11/2037 100,000 100,344 99,718 RBS Commercial Funding Inc. 2013-SMV Trust, 3.26%, 3/11/2031 100,000 101,313 99,857 ReadyCap Commercial Mortgage Trust 2019-6, 2.833%, 10/25/2052 3,271,659 3,271,654 3,346,326 Residential Mortgage Loan Trust 2020-1, 2.376%, 2/25/2024 230,130 230,129 235,027 RETL 2019-RVP, 2.226%, 3/15/2036 800,000 800,000 773,147 Starwood Mortgage Residential Trust 2020-1, 2.275%, 2/25/2050 469,484 469,478 480,404 Starwood Mortgage Residential Trust 2020-3, 1.486%, 4/25/2065 2,581,350 2,581,316 2,602,249 Structured Asset Securities Corp. Series 2006-3H, 5.75%, 12/25/2035 3,567 3,589 3,743 Verus Securitization Trust 2020-1, 2.417%, 1/25/2060 1,186,636 1,177,248 1,210,235 Verus Securitization Trust 2020-5, 1.218%, 5/25/2065 2,340,937 2,340,922 2,348,321 Vista Point Securitization Trust 2020-2, 1.475%, 4/25/2065 1,494,138 1,494,127 1,503,319 VMC Finance 2019-FL3 LLC, 1.227%, 9/15/2036 3,160,116 3,160,030 3,125,691 VNDO 2012-6AVE Mortgage Trust, 3.337%, 11/15/2030 1,231,707 1,242,004 1,270,178 Wells Fargo Commercial Mortgage Trust 2013-LC12, 4.274%, 7/15/2046 63,000 63,161 60,508 Wells Fargo Commercial Mortgage Trust 2013-LC12, 4.274%, 7/15/2046 120,000 99,938 57,046 Wells Fargo Commercial Mortgage Trust 2016-C35, 4.176%, 7/15/2048 372,000 370,748 367,460 Wells Fargo Commercial Mortgage Trust 2017-HSDB, 0.976%, 12/13/2031 600,000 596,063 587,902 WFLD 2014-MONT Mortgage Trust, 3.755%, 8/10/2031 1,325,000 1,407,916 1,352,968 WFRBS Commercial Mortgage Trust 2012-C9, 4.543%, 11/15/2045 50,000 49,572 49,401 WFRBS Commercial Mortgage Trust 2013-C12, 4.317%, 3/15/2048 19,000 18,916 19,364 WFRBS Commercial Mortgage Trust 2013-C14, 3.337%, 6/15/2046 45,000 44,595 47,621 Total Mortgage-Backed Securities 326,665,186 327,050,287
Municipal Bonds - 0.6% California Health Facilities Financing Authority, 3.034%, 6/1/2034 395,000 396,967 421,947 County of Miami-Dade FL, 2.786%, 10/1/2037 310,000 311,134 316,978 Foothill-Eastern Transportation Corridor Agency, 4.094%, 1/15/2049 727,000 735,004 782,463 Massachusetts School Building Authority, 3.395%, 10/15/2040 1,005,000 1,017,985 1,081,943
See Notes to the Financial Statements. 115 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Municipal Bonds - 0.6% (continued) Michigan Finance Authority, 3.084%, 12/1/2034 1,055,000 $ 1,062,026 $ 1,165,743 Permanent University Fund - Texas A&M University System, 3.66%, 7/1/2047 765,000 784,760 846,243 Regents of the University of California Medical Center Pooled Revenue, 3.006%, 5/15/2050 455,000 455,000 483,829 State of California, 7.3%, 10/1/2039 265,000 406,786 437,899 State of California, 7.625%, 3/1/2040 395,000 637,728 686,336 Total Municipal Bonds 5,807,390 6,223,381
Sovereign Bonds - 5.9% Government of Abu Dhabi, 2.5%, 9/30/2029 2,000,000 2,073,760 2,162,830 Government of Bermuda, 2.375%, 8/20/2030 2,885,000 2,925,306 3,032,856 Government of China, 2.25%, 10/21/2050 1,890,000 1,865,562 1,877,618 Government of Dominican Republic, 4.875%, 9/23/2032 1,047,000 1,047,000 1,160,861 Government of Egypt, 4.55%, 11/20/2023 200,000 200,000 207,880 Government of Egypt, 6.125%, 1/31/2022 200,000 196,710 209,128 Government of Egypt, 6.588%, 2/21/2028 845,000 859,439 931,613 Government of Egypt, 7.6%, 3/1/2029 1,690,000 1,741,640 1,947,759 Government of Egypt, 7.903%, 2/21/2048 200,000 221,500 218,075 Government of Ghana, 6.375%, 2/11/2027 2,180,000 2,021,950 2,270,871 Government of Indonesia, 3.4%, 9/18/2029 1,938,000 2,033,392 2,170,893 Government of Indonesia, 4.75%, 1/8/2026 2,540,000 2,882,167 2,975,575 Government of Japan, 0%, 2/22/2021 2,100,000,000 20,073,925 20,342,972 Government of Nigeria, 6.375%, 7/12/2023 660,000 717,090 715,912 Government of Nigeria, 7.143%, 2/23/2030 1,885,000 1,778,594 2,038,292 Government of Peru, 2.392%, 1/23/2026 2,001,000 2,049,554 2,138,089 Government of Qatar, 3.25%, 6/2/2026 4,040,000 4,281,340 4,500,964 Government of Qatar, 4%, 3/14/2029 2,580,000 3,034,725 3,063,750 Government of Qatar, 4.817%, 3/14/2049 200,000 248,250 273,438 Government of Qatar, 5.103%, 4/23/2048 215,000 240,413 302,894 Government of Saudi Arabia, 3.25%, 10/22/2030 2,130,000 2,223,720 2,353,331 Government of Sri Lanka, 5.875%, 7/25/2022 2,000,000 1,416,947 1,393,640 Government of Turkey, 4.25%, 4/14/2026 925,000 890,313 919,305 Government of Turkey, 5.25%, 3/13/2030 525,000 516,899 527,982 Government of Turkey, 5.75%, 3/22/2024 625,000 641,123 659,549 Government of Ukraine, 7.75%, 9/1/2024 447,000 458,175 498,049 Turkiye Ihracat Kredi Bankasi AS, 8.25%, 1/24/2024 465,000 485,798 505,106 Total Sovereign Bonds 57,125,292 59,399,232
See Notes to the Financial Statements. 116 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
U.S. Treasury Bills, Bonds and Notes - 26.2% U.S. Treasury Bill, 0%, 2/4/2021 118,008,000 $ 117,989,007 $ 118,003,427 U.S. Treasury Bill, 2.5%, 1/31/2021 50,851,000 51,334,320 50,939,363 U.S. Treasury Bond, 1.125%, 5/15/2040 1,290,000 1,233,411 1,223,484 U.S. Treasury Bond, 1.625%, 11/15/2050 6,172,000 6,139,204 6,136,800 U.S. Treasury Note, 0.125%, 10/31/2022 83,982,000 83,945,914 83,998,403 U.S. Treasury Note, 0.875%, 11/15/2030 774,000 775,814 771,098 Total U.S. Treasury Bills, Bonds and Notes 261,417,670 261,072,575
Money Market Fund - 3.3% State Street Institutional Treasury Plus Money Market Fund - Premier Class 33,295,895 33,295,895 33,295,895 Total Investments - 122.2% $ 1,195,055,634 1,221,973,719 Other Assets and Liabilities, Net - (22.2%) (221,927,715) Net Assets - 100% $ 1,000,046,004
^Perpetual bond
See Notes to the Financial Statements. 117 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
Futures Number of Value as of Unrealized Contracts Expiration December 31, Appreciation Description Long (Short) Date 2020 (Depreciation) Futures in gain position United States 2-Year Treasury Note Futures 45 3/31/2021 $ 9,943,945 $ 2,815 United States 5-Year Treasury Note Futures 452 3/31/2021 57,026,156 142,967 United States 10-Year Treasury Note Futures 192 3/22/2021 26,511,000 87,000 United States 10-Year Ultra Treasury Note Futures (475) 3/22/2021 (74,270,703) 33,773 United States Ultra Bond Futures 345 3/22/2021 73,679,063 128,874 92,889,461 395,429 Futures in loss position United States Long Bond Futures 399 3/22/2021 69,101,813 (7,329) $ 161,991,274 $ 388,100
Forward Foreign Currency Contracts Unrealized Settlement Currency Currency Appreciation Counterparty Date Purchased Sold (Depreciation) Bank of America, N.A. 3/15/2021 USD $ 384,309 CAD 490,000 $ 72 Toronto Dominion Bank 2/22/2021 USD $ 20,081,761 JPY $ 21,000,000 (279,281) $ (279,209)
See Notes to the Financial Statements. 118 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
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 of Country of Issuer Fair Value Net Assets United States $ 1,022,997,957 102.3% Cayman Islands 52,985,255 5.3% Japan 20,342,972 2.0% China 15,654,353 1.6% United Kingdom 8,949,762 0.9% Qatar 8,141,046 0.8% Indonesia 7,993,486 0.8% Luxembourg 7,473,461 0.7% Mexico 7,012,374 0.7% Canada 6,232,018 0.6% Ireland 6,065,981 0.6% United Arab Emirates 5,792,864 0.6% Netherlands 5,030,966 0.5% Switzerland 3,990,464 0.4% Australia 3,587,221 0.4% Bermuda 3,570,682 0.4% Saudi Arabia 3,521,709 0.4% Egypt 3,514,455 0.4% Turkey 3,483,688 0.3% Chile 2,918,064 0.3% Nigeria 2,754,204 0.3% Brazil 2,708,203 0.3% Ghana 2,270,871 0.2% Peru 2,138,089 0.2% Hong Kong 1,632,867 0.2% South Africa 1,526,763 0.2% Sri Lanka 1,393,640 0.1% Dominican Republic 1,160,861 0.1% Colombia 1,119,759 0.1% Korea 1,040,316 0.1% Mauritius 971,148 0.1% Kazakhstan 747,987 0.1% Virgin Islands, British 721,793 0.1% Singapore 579,521 0.1% Ukraine 498,049 0.0% Norway 453,863 0.0% India 427,900 0.0% Argentina 376,218 0.0% Puerto Rico 192,889 0.0% Total $ 1,221,973,719 122.2%
See Notes to the Financial Statements. 119 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Schedule of Investments (continued) December 31, 2020
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, 2020 (see Note 3):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Assets: Asset-Backed Securities $ - $ 145,241,720 $ - $ 145,241,720 Corporate Bonds - 388,452,601 1,238,028 389,690,629 Forward Foreign Currency Contracts - 72 - 72 Futures 395,429 - - 395,429 * Mortgage-Backed Securities - 327,050,287 - 327,050,287 Municipal Bonds - 6,223,381 - 6,223,381 Sovereign Bonds - 59,399,232 - 59,399,232 U.S. Treasury Bills, Bonds and Notes - 261,072,575 - 261,072,575 Money Market Fund 33,295,895 - - 33,295,895 Total Assets $ 33,691,324 $ 1,187,439,868 $ 1,238,028 $ 1,222,369,220
Liabilities: Forward Foreign Currency Contracts $ - $ (279,281) $ - $ (279,281) Futures (7,329) - - (7,329) * Total Liabilities $ (7,329) $ (279,281) $ - $ (286,610)
*Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments.
Concentration of Ownership: As of December 31, 2020, the Fund had two unitholders holding 10% or more of the outstanding units of the Fund, and aggregated to 72.2% of the Fund's total units outstanding.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:
Purchases Sales Realized at Cost Proceeds Gain
Investments $ 5,990,513,324 $ 5,781,303,975 $ 21,280,489
See Notes to the Financial Statements. 120 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Statement of Assets and Liabilities December 31, 2020 Assets Investments in securities, at fair value (cost $1,195,055,634) $ 1,221,973,719 Cash and cash equivalents 1,173,030 Cash held at broker 4,786,599 Receivable for fund units sold 7,894,961 Interest receivable 6,154,428 Receivable for investment securities sold 497,412 Variation margin receivable on futures 337,919 Receivable for reimbursement 6,785 Unrealized appreciation on forward foreign currency contracts 72 Total assets 1,242,824,925 Liabilities and Net Assets Payable for investment securities purchased 240,475,411 Payable for fund units redeemed 1,565,258 Unrealized depreciation on forward foreign currency contracts 279,281 Accrued expenses 458,971 Total liabilities 242,778,921 Net assets $ 1,000,046,004
See Notes to the Financial Statements. 121 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Statement of Operations For the year ended December 31, 2020 Investment income Interest (net of withholding taxes of $7,063) $ 25,834,899 Miscellaneous income 1,796 Total investment income 25,836,695 Expenses Trustee and sub-advisor fees 1,500,264 Professional services and other operating expenses 100,447 Expense reimbursement from sub-advisor (27,540) Total expenses 1,573,171 Net investment income 24,263,524 Net realized gain on: Investments 21,280,489 Futures 3,104,576 Forward foreign currency contracts 672,866 Swaps 215,619 Foreign currency transactions 153,280 Net change in unrealized appreciation (depreciation) on: Investments 18,746,835 Futures 862,666 Foreign currency translation (25) Swaps (201,023) Forward foreign currency contracts (1,527,075) Net realized and unrealized gain on investments and foreign currency transactions and translation 43,308,208 Net increase in net assets resulting from operations $ 67,571,732
See Notes to the Financial Statements. 122 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Statement of Changes in Net Assets For the year ended December 31, 2020 Increase in net assets resulting from operations Net investment income $ 24,263,524 Net realized gain on investments and foreign currency transactions 25,426,830 Net change in unrealized appreciation on investments and foreign currency translation 17,881,378 Net increase in net assets resulting from operations 67,571,732 Fund unit transactions Proceeds from units issued Class 0TS 280,559,755 Class BP 83,718,392 Class R 8,661,395 Total proceeds from units issued 372,939,542 Value of units redeemed Class 0TS (98,551,403) Class BP (62,595,616) Class R (7,245,274) Total value of units redeemed (168,392,293) Increase in net assets resulting from fund unit transactions 204,547,249 Increase in net assets 272,118,981 Net assets, beginning of year 727,927,023 Net assets, end of year $ 1,000,046,004
See Notes to the Financial Statements. 123 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Lord, Abbett & Co. LLC
Lord Abbett Total Return Trust II
Financial Highlights For the year ended December 31, 2020 Per Unit Operating Performance Class 0TS Class BP Class R Net asset value, beginning of year $ 10.99 $ 10.99 $ 10.98 Income from investment operations: (1) Net investment income 0.31 0.30 0.29 Net realized and unrealized gain on investments and (1) foreign currency transactions and translation 0.54 0.54 0.54 Total income from investment operations 0.85 0.84 0.83 Net asset value, end of year $ 11.84 $ 11.83 $ 11.81 Total Return 7.73% 7.64% 7.56% Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.16% 0.21% 0.27% Net expenses 0.16% 0.20% 0.27% Net investment income 2.67% 2.64% 2.57% Fund Unit Activity Units, beginning of year 47,906,677 16,039,984 2,275,317 Issued 24,860,336 7,419,344 760,515 Redeemed (8,631,227) (5,516,476) (637,205) Units, end of year 64,135,786 17,942,852 2,398,627
(1) Based on average units outstanding.
See Notes to the Financial Statements. 124 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Lord, Abbett & Co. LLC
Notes to the Financial Statements
December 31, 2020
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 Rev. Rul. 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 its various funds (the "Funds" – see Fund Index) and also serves as the investment manager (the "Investment Manager") to the Funds. M&T Bank Corporation is the ultimate parent of the Trustee. State Street Bank and Trust Company provides custody, transfer agency, and accounting services for the Funds.
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 Funds, and is therefore not subject to CFTC registration or regulation as a CPO with respect to the Funds.
WTNA has engaged Lord, Abbett & Co. LLC ("Lord Abbett" or the "Sub-Advisor") to provide investment advice and recommendations with respect to investment of the Funds' assets. While the Trustee generally relies on the Sub- Advisor to manage the Funds' assets, the Trustee maintains ultimate fiduciary authority over the management of and investments made in each Fund. The Sub-Advisor is engaged pursuant to a sub-advisor agreement.
Note 2 – Significant Accounting Policies
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The Funds are investment companies and follow the accounting and reporting guidance in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic No. 946.
Net Asset Value ("NAV") – Units of each fee class of each 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.
125 Wilmington Trust Collective Investment Trust
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Notes to the Financial Statements (continued)
December 31, 2020
Fund Unit Transactions – The Funds sell new units and repurchase outstanding units on a daily basis. Unit purchases and redemptions are transacted at the NAV per fee class of the Funds determined as of the close of business each day. A summary of the Fund unit activity for each Fund is included with its Financial Highlights.
The Funds require the plan sponsors to provide advance written notice of five business days for plan sponsor directed withdrawals which will exceed $1 million or 10% of the assets invested in each Fund.
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 are valued at their current fair value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, such securities are fair valued in good faith by the Trustee in accordance with the Trust valuation procedures.
In general, the fair values of securities for which market quotations are readily available and deemed reliable are determined as follows:
Securities listed on a national securities exchange (other than securities listed on the NASDAQ OMX Group, Inc. ("NASDAQ")) are valued at the last sale price at the close of the exchange. If there has been no sale on such day, the securities are valued at the mean of the closing bid and asked prices on such day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price. Securities traded in the over-the-counter market ("OTC") are valued at the mean of the current bid and asked prices as reported by the National Quotation Bureau or other comparable sources. Investments in short-term investment funds are valued at the daily closing net asset value of the respective fund, which approximates fair value.
Mortgage-Backed Securities and Other Asset-Backed Securities – The Funds may invest in mortgage- backed securities ("MBS"), representing interests in pools of mortgage loans. These securities provide investors with payments consisting of both principal and interest as the mortgages in the underlying mortgage pools are paid. Most of the securities are guaranteed by federally sponsored agencies, but are not issued or guaranteed by the U.S. Treasury – Government National Mortgage Association ("GNMA"), Federal National Mortgage Association ("FNMA"), or Federal Home Loan Mortgage Corporation ("FHLMC"). However, some securities may be issued by private, non-government corporations. MBS issued by private entities are not government securities and are not directly guaranteed by any government agency but are secured by the underlying collateral of the private issuer. Yields on privately issued MBS tend to be higher than those of government- backed issues; however, risk of loss due to default and sensitivity to interest rate fluctuations is also higher.
The Funds may also invest in asset-backed securities, representing interests in pools of certain types of underlying installment loans or leases or revolving lines of credit. They often include credit enhancements that help limit investors' exposure to the underlying credit. These securities are valued on the basis of the timing and certainty of the cash flows compared to investments with similar durations.
Collateralized Mortgage Obligations – The Funds may invest in collateralized mortgage obligations ("CMOs") and real estate mortgage investment conduits ("REMICs"). A CMO is a bond that is collateralized by a pool of
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MBS, and a REMIC is similar in form to a CMO. These MBS pools are divided into classes or tranches with each class having its own characteristics. The different classes are retired in sequence as the underlying mortgages are repaid. For instance, a planned amortization class ("PAC") is a specific class of mortgages, which over its life will generally have the most stable cash flows and the lowest prepayment risk. A graduated payment mortgage ("GPM") is a negative amortization mortgage where the payment amount gradually increases over the life of the mortgage. The early payment amounts are not sufficient to cover the interest due, and, therefore, the unpaid interest is added to the principal, thus increasing the borrower's mortgage balance. Prepayment may shorten the stated maturity of the CMO and can result in a loss of premium if any has been paid.
Futures Contracts – The Funds may purchase futures contracts to gain exposure to market changes, which may be more efficient or cost effective than actually buying the securities. The Funds utilize futures contracts for tactical hedging purposes as well as to enhance the Funds' returns. Upon entering into such a contract, the Funds are 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 Funds record 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 on futures and as a component of net change in unrealized appreciation on futures.
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.
Swap Agreements – The Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market ("OTC swaps") or may be cleared through a third party, known as a central counterparty or derivatives clearing organization ("Centrally Cleared Swaps"). Each Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statement of Operations. Daily changes in valuation of centrally cleared swaps ("Swap Variation Margin"), if any, are disclosed within centrally cleared financial derivative instruments on the Statement of Assets and Liabilities. OTC swap payments received or paid at the beginning of the measurement period are included on the Statement of Assets and Liabilities and represent premiums paid or received upon entering into
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the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statement of Operations. Net periodic payments received or paid by the Fund are included as part of the realized gain (loss) on the Statement of Operations.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract's remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting agreement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund's exposure to the counterparty.
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 Funds consider 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 each 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 Funds record 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.
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Fee Classes and Allocations – Most of the Funds offer 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 Funds' 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 Funds.
Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, none of the Funds has had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote.
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 Funds' financial statements through April 30, 2021, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events that would require disclosure or adjustment in the Funds' financial statements through this date.
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 Funds' 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 investments. • Level 2 – Other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, and others). • Level 3 – Significant unobservable inputs (including the Trustee's own assumptions in determining the fair value of investments).
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The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. The aggregate fair value of the investments in each Fund, by input level used as of December 31, 2020, is included following each Fund's Schedule of Investments.
In March 2017, FASB issued Accounting Standards Update ("ASU") 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities, to amend the amortization period for certain purchased callable debt securities held at a premium. The amortization period for the premium is shortened to the earliest call date. ASU 2017-08 does not require an accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years beginning after December 15, 2019. The Funds have adopted ASU 2017-08, which did not have a material impact on the Funds' financial position or the results of its operations, and had no impact on the Funds' net assets.
Note 4 – Derivative Transactions
The following is a summary of the fair valuations of the Funds' derivative instruments on the Statement of Assets and Liabilities as of December 31, 2020, and the effect of derivative instruments on the Statement of Operations for the year ended December 31, 2020:
Lord Abbett Core Fixed Income Trust II
Interest Foreign Rate Exchange Assets Contracts Contracts Total Futures $ 63,195 $ - $ 63,195 *
Interest Foreign Rate Exchange Liabilities Contracts Contracts Total Forward foreign currency contracts $ - $ (26,598) $ (26,598) Futures (18,562) - (18,562) * $ (18,562) $ (26,598) $ (45,160)
Interest Foreign Rate Exchange Realized Gain (Loss) on: Contracts Contracts Total Futures $ (533) $ - $ (533) Swaps 44,885 - 44,885 $ 44,352 $ - $ 44,352
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Interest Foreign Net Change in Unrealized Rate Exchange Appreciation (Depreciation) on: Contracts Contracts Total Forward foreign currency contracts $ - $ (46,056) $ (46,056) Futures 44,633 - 44,633 Swaps (43,860) - (43,860) $ 773 $ (46,056) $ (45,283)
Lord Abbett High Yield Core Trust II
Interest Rate Credit Assets Contracts Contracts Total Centrally cleared credit default swaps $ - $ 120,004 $ 120,004 * Futures 95,583 - 95,583 * $ 95,583 $ 120,004 $ 215,587
Interest Rate Credit Liabilities Contracts Contracts Total Credit default swaps $ - $ (1,107,578) $ (1,107,578) Futures (103,804) - (103,804) * $ (103,804) $ (1,107,578) $ (1,211,382)
Interest Rate Credit Realized Gain (Loss) on: Contracts Contracts Total Futures $ (225,245) $ - $ (225,245) Swaps - (1,916,387) (1,916,387) $ (225,245) $ (1,916,387) $ (2,141,632)
Interest Net Change in Unrealized Rate Credit Appreciation (Depreciation) on: Contracts Contracts Total Futures $ (255,445) $ - $ (255,445) Swaps - 137,438 137,438 $ (255,445) $ 137,438 $ (118,007)
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Lord Abbett Multi-Sector Strategic Trust II
Interest Foreign Rate Exchange Credit Assets Contracts Contracts Contracts Total Futures $ 16,902 $ - $ - $ 16,902 * Forward foreign currency contracts - 130 - 130 $ 16,902 $ 130 $ - $ 17,032
Interest Foreign Rate Exchange Credit Liabilities Contracts Contracts Contracts Total Futures $ (3,445) $ - $ - $ (3,445) * Centrally cleared credit default swaps - - (17,517) (17,517) * Forward foreign currency contracts - (7,795) - (7,795) $ (3,445) $ (7,795) $ (17,517) $ (28,757)
Interest Foreign Rate Exchange Credit Realized Gain (Loss) on: Contracts Contracts Contracts Total Futures $ (59,043) $ - $ - $ (59,043) Forward foreign currency contracts - (26,610) - (26,610) Swaps - - (53,508) (53,508) $ (59,043) $ (26,610) $ (53,508) $ (139,161)
Foreign Foreign Net Change in Unrealized Exchange Exchange Credit Appreciation (Depreciation) on: Contracts Contracts Contracts Total Futures $ 13,457 $ - $ - $ 13,457 Forward foreign currency contracts - (3,802) - (3,802) Swaps - - (7,885) (7,885) $ 13,457 $ (3,802) $ (7,885) $ 1,770
Lord Abbett Short Duration Credit Trust II
Interest Rate Assets Contracts Total Futures $ 29,334 $ 29,334 *
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Interest Rate Liabilities Contracts Total Futures $ (24,641) $ (24,641) *
Interest Rate Realized Gain (Loss) on: Contracts Total Futures $ 158,749 $ 158,749
Interest Net Change in Unrealized Rate Appreciation (Depreciation) on: Contracts Total Futures $ (11,939) $ (11,939)
Lord Abbett Total Return Trust II
Interest Foreign Rate Exchange Assets Contracts Contracts Total Forward foreign currency contracts $ - $ 72 $ 72 Futures 395,429 - 395,429 * $ 395,429 $ 72 $ 395,501
Interest Foreign Rate Exchange Liabilities Contracts Contracts Total Forward foreign currency contracts $ - $ (279,281) $ (279,281) Futures (7,329) - (7,329) * $ (7,329) $ (279,281) $ (286,610)
Interest Foreign Rate Exchange Realized Gain (Loss) on: Contracts Contracts Total Forward foreign currency contracts $ - $ 672,866 $ 672,866 Futures 3,104,576 - 3,104,576 Swaps 215,619 - 215,619 $ 3,320,195 $ 672,866 $ 3,993,061
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Interest Foreign Net Change in Unrealized Rate Exchange Appreciation (Depreciation) on: Contracts Contracts Total Forward foreign currency contracts $ - $ (1,527,075) $ (1,527,075) Futures 862,666 - 862,666 Swaps (201,023) - (201,023) $ 661,643 $ (1,527,075) $ (865,432)
*Centrally Cleared Swaps and Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Centrally Cleared Swaps with upfront premiums are presented here at market value.
Information about derivatives reflected as of the date of this report is generally indicative of the year's activity ended December 31, 2020. For the year ended December 31, 2020, the Funds' average volume of derivative activities is as follows:
Lord Abbett Core Fixed Income Trust II
Futures: Average original value of buy contracts $ 13,243,574 Average original value of sale contracts $ 4,685,532 (a) Forward Foreign Currency Contracts: (b) Average principal amount of sale contracts $ 1,563,949
Lord Abbett High Yield Core Trust II
Futures: Average original value of buy contracts $ 90,901,763 Average original value of sale contracts $ 23,479,615 Credit Default Swaps: Average notional value of sale contracts $ 13,706,885 (c) Centrallly Cleared Credit Default Swaps: Average notional value of buy contracts $ 4,921,500 (d) (e) Average notional value of sale contracts $ 14,054,375
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Lord Abbett Multi-Sector Strategic Trust II
Futures: Average original value of buy contracts $ 4,295,958 Average original value of sale contracts $ 2,664,683 (f) Forward Foreign Currency Contracts: Average principal amount of buy contracts $ 85,302 (g) Average principal amount of sale contracts $ 174,798 Credit Default Swaps: Average notional amount of sale contracts $ 355,125 (h) Centrally Cleared Credit Default Swaps: (i) Average notional amount of buy contracts $ 1,015,727
Lord Abbett Short Duration Credit Trust II
Futures: Average original value of buy contracts $ 31,207,514 Average original value of sale contracts $ 6,901,497
Lord Abbett Total Return Trust II
Futures: Average original value of buy contracts $ 94,388,668 Average original value of sale contracts $ 29,408,222 Forward Foreign Currency Contracts: (h) Average notional value of sale contracts $ 8,495,675
(a) Positions were open for one month during the year. (b) Positions were open for three months during the year. (c) Positions were open for eight months during the year. (d) Positions were open for two months during the year. (e) Positions were open for four months during the year. (f) Positions were open for ten months during the year. (g) Positions were open for six months during the year. (h) Positions were open for seven months during the year. (i) Positions were open for eleven months during the year.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. In order to define each Fund's contractual rights and to secure rights that will help each Fund mitigate its counterparty risk, each Fund may participate in International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Master Agreement" or "ISDA'') with derivative contract counterparties or enter into similar agreements covering foreign exchange contracts ("FX Letters"). An ISDA Master Agreement Is a bilateral agreement between a fund and a counterparty that governs over the counter ("OTC") traded derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument's payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA
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Master Agreement typically permit a single net payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. Also, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. An FX Letter is also a bilateral agreement between a fund and a counterparty and is limited to cover only foreign exchange contracts. FX Letters typically contain netting provisions covering events of default and do not require collateral to be posted. ISDAs and FX Letters containing netting provisions may be referred to as Master Netting Agreements ("MNA").
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker for OTC traded derivatives or by the clearing house for exchange-traded derivatives. Brokers can ask for margining in excess of the minimum in certain circumstances. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts and options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a fund and the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to a fund from its counterparties are not fully collateralized, contractually or otherwise, the fund bears the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Lord Abbett Core Fixed Income Trust II
Financial Derivative Financial Derivative Assets Liabilities Collateral Forward Foreign Forward Foreign Net Value of (Received)/ Net Counterparty Currency Contracts Currency Contracts Derivatives Pledged* Amount^ Toronto Dominion Bank $ - $ (26,598) $ (26,598) $ - $ (26,598)
Lord Abbett High Yield Core Trust II
Financial Derivative Financial Derivative Collateral Assets Liabilities Net Value of (Received)/ Net Counterparty Credit Default Swaps Credit Default Swaps Derivatives Pledged* Amount^ Citibank, N.A. $ - $ (267,604) $ (267,604) $ - $ (267,604) Goldman Sachs (839,974) (839,974) - (839,974) $ - $ (1,107,578) $ (1,107,578) $ - $ (1,107,578)
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December 31, 2020
Lord Abbett Multi-Sector Strategic Trust II
Financial Derivative Financial Derivative Assets Liabilities Collateral Forward Foreign Forward Foreign Net Value of (Received)/ Net Counterparty Currency Contracts Currency Contracts Derivatives Pledged* Amount^ Bank of America, N.A. $ 130 $ (7,795) $ (7,665) $ - $ (7,665)
Lord Abbett Total Return Trust II
Financial Derivative Financial Derivative Assets Liabilities Collateral Forward Foreign Forward Foreign Net Value of (Received)/ Net Counterparty Currency Contracts Currency Contracts Derivatives Pledged* Amount^ Bank of America, N.A. $ 72 $ - $ 72 $ - $ 72 Toronto Dominion Bank - (279,281) (279,281) - (279,281) $ 72 $ (279,281) $ (279,209) $ - $ (279,209)
Note 5 – Fees and Expenses
Trustee and Sub-Advisor 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.
Fund Class Trustee Fee * Sub-Advisor Fee
Lord Abbett Core Fixed Income Trust II MQ 3, 4, 5 or 7 ^ 13 R 3, 4, 5 or 7 ^ 19 SG 3, 4, 5 or 7 ^ 17
Lord Abbett High Yield Core Trust II Founders 3, 4, 5 or 7 ^ 25 or 27 ^ M 3, 4, 5 or 7 ^ 36 R 3, 4, 5 or 7 ^ 38
Lord Abbett Multi-Sector Strategic Trust II Founders 3, 4, 5 or 7 ^ 35
Lord Abbett Short Duration Credit Trust II 0TS 0 19 Founders 3, 4, 5 or 7 ^ 17 MQ 3, 4, 5 or 7 ^ 14 N 0 14 R 3, 4, 5 or 7 ^ 19
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December 31, 2020
Fund Class Trustee Fee * Sub-Advisor Fee
Lord Abbett SMID Cap Equity Trust II Founders 5, 7 or 9 ^ 40 or 44 ^
Lord Abbett Total Return Trust II 0TS 0 15 BP 5 15 R 3, 4, 5 or 7 ^ 21
*All Funds and Classes of all Funds are aggregated in the calculation of the Trustee fees. ^Fee reduces as the net assets for the Class across all of the Trust increases.
Trustee Fee – The Trustee receives an annual fee for trustee and administrative services provided to each 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.
Sub-Advisor Fee – Lord Abbett is compensated for its investment advisory services provided to each Fund. These 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.
Operating Expenses – In addition to the fees described above, each 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.
To limit expenses of the Funds, the Sub-Advisor, except as specified below, has agreed in its sole discretion, to reimburse a portion of the operating expenses and Trustee fee of each Fund in order to maintain a limit in basis points as follows:
Fund Class Operating Expenses and Trustee Fee Limit
Lord Abbett Core Fixed Income Trust II MQ 8 R 8 SG 6 *
Lord Abbett High Yield Core Trust II Founders 6 M 8 R 8
Lord Abbett Multi-Sector Strategic Trust II Founders 15
Lord Abbett Short Duration Credit Trust II 0TS 8 Founders 5 MQ 8 N 8 R 8
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Fund Class Operating Expenses and Trustee Fee Limit
Lord Abbett SMID Cap Equity Trust II Founders 10
Lord Abbett Total Return Trust II 0TS 1 ** BP 5 *** R 8
* Expenses in excess of the limit up to the first two basis points on the first $50 million will be reimbursed by the Trustee and the excess being reimbursed by the Sub-Advisor. ** Expenses in excess of the limit will be reimbursed equally by the Trustee and the Sub-Advisor. *** Expenses in excess of the limit will be reimbursed two-thirds by the Trustee and one-third by the Sub-Advisor.
When assets of a Fund are invested in other investment vehicles, such as other collective funds or open-end 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 6 – 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.
Note 7 – Risks Associated with Investing in the Funds
In the normal course of business, the Funds trade financial instruments and enter 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 each 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.
• Bank Loans. Investments in bank loans, also known as senior loans or floating-rate loans, are rated below investment grade and may be subject to a greater risk of default than are investment-grade loans, reducing the potential for income and potentially leading to impairment of the collateral provided by the borrower. Bank loans pay interest at rates that are periodically reset based on changes in interest rates and may be subject to increased prepayment and liquidity risks. Concentrating assets in stocks of one or more capitalizations (small, mid, or large) may be subject to both the specific risks of those capitalizations as well as increased volatility because stocks of specific capitalizations tend to go through cycles of beating or lagging the market as a whole.
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December 31, 2020
• Capitalization. Concentrating assets in stocks of one or more capitalizations (small, mid, or large) may be subject to both the specific risks of those capitalizations as well as increased volatility because stocks of specific capitalizations tend to go through cycles of beating or lagging the market as a whole.
• Convertible Securities. Investments in convertible securities may be subject to increased interest rate risks, rising in value as interest rates decline and falling in value when interest rates rise, in addition to their market value depending on the performance of the common stock of the issuer. Convertible securities which are typically unrated or rated lower than other debt obligations, are secondary to debt obligations in order of priority during a liquidation in the event the issuer defaults.
• Credit and Counterparty. The issuer or guarantor of a fixed income security, counterparty to an OTC derivatives contract, or other borrower may not be able to make timely principal, interest, or settlement payments on an obligation. In this event, the issuer of a fixed income security may have its credit rating downgraded or defaulted, which may reduce the potential for income and value of the Fund.
• 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.
• Depositary Receipts. Investments in depositary receipts generally reflect the risks of the securities they represent, although they may be subject to increased liquidity risk and higher expenses and may not pass through voting and other shareholder rights. Depositary receipts cannot be directly exchanged for the securities they represent and may trade at either a discount or premium to those securities.
• 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.
• Distressed Investments. Investments in distressed or defaulted investments, which may include loans, loan participations, bonds, notes and issuers undergoing bankruptcy organization, are often not publicly traded and face increased price volatility and liquidity risk. These securities are subject to the risk that the sub- advisor does not correctly estimate their future value, which may result in a loss of part or all of the investment.
• Dollar Rolls. Dollar roll transactions in the mortgage pass-through securities market may be subject to the risk that the market value of securities sold to the counterparty declines below the repurchase price, the counterparty defaults on its obligations, or the portfolio turnover rate increases because of these
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transactions. In addition, any investments purchased with the proceeds of a security sold in a dollar roll transaction may lose value.
• Emerging Markets. Investments in emerging markets securities may be subject to greater market, credit, currency, liquidity, legal, political, and other risks compared with assets invested in developed foreign countries (see Foreign Securities below). Emerging markets countries may have restrictive national policies that limit investment opportunities, limited information about issuers, a general lack of uniform accounting, auditing and financial reporting standards as compared to the standards of developed countries, less liquidity and more volatility, limitations on the movement of funds, difficulties in enforcing contractual obligations and the possibility of expropriation or nationalization.
• Equity Securities. The value of equity securities, which include common, preferred, and convertible preferred stocks, will fluctuate based on changes in their issuers' financial condition, as well as overall market and economic conditions, and can decline in the event of deteriorating issuer, market, or economic conditions.
• ETF. Investments in exchange-traded funds generally reflect the risks of owning the underlying securities they are designed to track, although they may be subject to greater liquidity risk and higher costs than owning the underlying securities directly because of their management fees, and may not pass through voting and other shareholder rights on the underlying securities. Shares of ETFs are subject to market trading risk, potentially trading at a premium or discount to net asset value.
• Fixed Income Securities. The value of fixed income or debt securities may be susceptible to general movements in the bond market and are subject to interest rate and credit risk.
• 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 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.
• Forwards. Investments in forwards may increase volatility and be subject to additional market, active management, currency, and counterparty risks as well as liquidity risk if the contract cannot be closed when desired. Forwards purchased on a when-issued or delayed-delivery basis may be subject to risk of loss if they decline in value prior to delivery, or if the counterparty defaults on its obligation.
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• 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.
• Hedging Strategies. The use of hedging strategies to reduce risk may limit the opportunity for gains compared with unhedged investments, and there is no guarantee that hedges will actually reduce risk.
• High Portfolio Turnover. Active trading may create high portfolio turnover, or a turnover of 100% or more, resulting in increased transaction costs. These higher costs may have an adverse impact on performance.
• High-Yield Securities. Investments in below investment-grade debt securities and unrated securities of similar credit quality, commonly known as "junk bonds" or "high-yield securities," may be subject to increased interest rate, credit, and liquidity risks.
• Increase in Expenses. The actual cost of investing may be higher than the expenses listed in the expense table for a variety of reasons, including termination of a voluntary fee waiver or losing fee breakpoints if average net assets decrease. The risk of expenses increasing because of a decrease in average net assets is heightened when markets are volatile.
• Industry and Sector Investing. Concentrating assets in a particular industry, sector of the economy, or markets may increase volatility because the investment will be more susceptible to the impact of market, economic, regulatory, and other factors affecting that industry or sector compared with a more broadly diversified asset allocation.
• Inflation/Deflation. A change of asset value may occur because of inflation or deflation, causing the Fund to underperform. Inflation may cause the present value of future payments to decrease, causing a decline in the future value of assets or income. Deflation causes prices to decline throughout the economy over time, impacting issuers' creditworthiness and increasing their risk for default, which may reduce the value of the Fund.
• Inflation-Protected Securities. Unlike other fixed income securities, the values of inflation-protected securities are not significantly impacted by inflation expectations because their interest rates are adjusted for inflation. Generally, the value of inflation-protected securities will fall when real interest rates rise and rise when real interest rates fall.
• Interest Rate. Securities are subject to the risk that changes in interest rates will reduce their market value.
• Investment-Grade Securities. Investments in investment-grade debt securities that are not rated in the highest rating categories may lack the capacity to pay principal and interest compared with higher-rated securities and may be subject to increased credit risk.
• Issuer. A stake in any individual security is subject to the risk that the issuer of that security performs poorly, resulting in a decline in the security's value. Issuer-related declines may be caused by poor management decisions, competitive pressures, technological breakthroughs, reliance on suppliers, labor problems or
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shortages, corporate restructurings, fraudulent disclosures, or other factors. Additionally, certain issuers may be more sensitive to adverse issuer, political, regulatory, market, or economic developments.
• IPO. Investment in initial public offerings may increase volatility and have a magnified impact on performance. IPO shares may be sold shortly after purchase, which can increase portfolio turnover and expenses, including commissions and transactions costs. Additionally, IPO shares are subject to increased market, liquidity, and issuer risks.
• Lending. Investing in loans creates risk for the borrower, lender, and any other participants. A borrower may fail to make payments of principal, interest, and other amounts in connection with loans of cash or securities or fail to return a borrowed security in a timely manner, which may lead to impairment of the collateral provided by the borrower. Investments in loan participations may be subject to increased credit, pricing, and liquidity risks, with these risks intensified for below investment-grade loans.
• Long-Term Outlook and Projections. The investment is intended to be held for a substantial period of time, and investors should tolerate fluctuations in their investment's value.
• 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.
• Management. Performance is subject to the risk that the sub-advisor's asset allocation and investment strategies do not perform as expected, which may cause the Fund to underperform its benchmark, other investments with similar objectives, or the market in general. The investment is subject to the risk of loss of income and capital invested, and the sub-advisor does not guarantee its value, performance, or any particular rate of return.
• 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.
• Maturity/Duration. Securities with longer maturities or durations typically have higher yields but may be subject to increased interest rate risk and price volatility compared with securities with shorter maturities, which have lower yields but greater price stability.
• Mortgage-Backed and Asset-Backed Securities. Investments in mortgage-backed ("MBS") and asset- backed securities ("ABS") may be subject to increased price volatility because of changes in interest rates, issuer information availability, credit quality of the underlying assets, market perception of the issuer, availability of credit enhancement, and prepayment of principal. The value of MBS and ABS may be adversely affected if the underlying borrower fails to pay the loan included in the security.
• Municipal Project-Specific. Investments in municipal bonds that finance similar types of projects, including those related to education, health care, housing, transportation, utilities, and industry, may be subject to a greater extent than general obligation municipal bonds to the risks of adverse economic, business, or political developments.
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• 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.
• OTC. Investments traded and privately negotiated in the over-the-counter ("OTC") market, including securities and derivatives, may be subject to greater price volatility and liquidity risk than transactions made on organized exchanges. Because the OTC market is less regulated, OTC transactions may be subject to increased credit and counterparty risk. The investment's performance may be impacted by its concentration in a certain type of security, adherence to a particular investing strategy, or a unique aspect of its structure and costs.
• Prepayment (Call). The issuer of a debt security may be able to repay principal prior to the security's maturity because of an improvement in its credit quality or falling interest rates. In this event, this principal may have to be reinvested in securities with lower interest rates than the original securities, reducing the potential for income.
• Pricing. Some investments may not have a market observed price; therefore, values for these assets may be determined through a subjective valuation methodology. Fair values determined by a subjective methodology may differ from the actual value realized upon sale. Valuation methodologies may also be used to calculate a daily net asset value.
• Reinvestment. Payments from debt securities may have to be reinvested in securities with lower interest rates than the original securities.
• Restricted/Illiquid Securities. Restricted and illiquid securities may fall in price because of an inability to sell the securities when desired. Investing in restricted securities may subject the Fund to higher costs and liquidity risk.
• Sovereign Debt. Investments in debt securities issued or guaranteed by governments or governmental entities are subject to the risk that an entity may delay or refuse to pay interest or principal on its sovereign debt because of cash flow problems, insufficient foreign reserves, or political or other considerations. In this event, there may be no legal process for collecting sovereign debts that a governmental entity has not repaid.
• Structured Projects. Investments in structured products may be more volatile, less liquid, and more difficult to price than other assets. These securities bear the risk of the underlying investment as well as counterparty risk. Securitized structured products including Collateralized Mortgage Obligations ("CMOs"), Collateralized Debt Obligations ("CDOs"), and other securitized products may increase volatility and be subject to increased liquidity and pricing risks compared with investing directly in the assets securitized within the product. Assets invested in structured products may be subject to full loss of value if the counterparty defaults on its obligation.
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• Suitability. 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.
• Swaps. Investments in swaps, such as interest rate swaps, currency swaps and total return swaps, may increase volatility and be subject to increased liquidity, credit, and counterparty risks. Depending on their structure, swaps may increase or decrease the Fund's exposure to long- or short-term interest rates, foreign currency values, corporate borrowing rates, security prices, index values, inflation rates, credit, or other factors.
• Unitholder. Frequent purchases or redemptions by one or multiple investors may harm other unitholders by interfering with the efficient management of the Fund, increasing brokerage and trading costs and potentially diluting the value of units.
• U.S. Government Obligations. Investments in U.S. government obligations are subject to varying levels of government support. In the event of default, some U.S. government securities, including U.S. Treasury obligations and Ginnie Mae securities, are issued and guaranteed as to principal and interest by the full faith and credit of the U.S. government. Other securities are obligations of U.S. government-sponsored entities but are neither issued nor guaranteed by the U.S. government. U.S. State or Territory-Specific Investments in the municipal securities of a particular state or territory may be subject to the risk that changes in the economic conditions of that state or territory will negatively impact performance.
• Unrated Securities. Investments in unrated securities may be subject to increased interest, credit and liquidity risks if the sub-advisor does not accurately assess the quality of those securities.
• Value Investing. Value securities may be subject to the risk that these securities cannot overcome the adverse factors the sub-advisor believes are responsible for their low price or that the market may not recognize their fundamental value as the sub-advisor predicted. Value securities are not expected to experience significant earnings growth and may underperform growth stocks in certain markets.
• Warrants. Investments in warrants may be subject to the risk that the price of the underlying stock does not rise above the exercise price. In this event, the warrant may expire without being exercised and lose all value.
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