WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST
JANUS HENDERSON BALANCED COLLECTIVE FUND
FINANCIAL STATEMENTS
DECEMBER 31, 2020
WITH
INDEPENDENT AUDITOR'S REPORT
Wilmington Trust Collective Investment Trust
JANUS HENDERSON BALANCED COLLECTIVE FUND
CONTENTS
Independent Auditor's Report ...... 1
Schedule of Investments ...... 3
Statement of Assets and Liabilities ...... 22
Statement of Operations ...... 22
Statement of Changes in Net Assets...... 23
Financial Highlights ...... 24
Notes to the Financial Statements...... 25
INDEPENDENT AUDITOR'S REPORT
W ilmington Trust, N.A, Trustee for Wilmington Trust Collective Investment Trust
Report on the Financial Statements
We have audited the accompanying financial statements of Janus Henderson Balanced Collective Fund (the "Fund") of Wilmington Trust Collective Investment Trust (the "Trust"), which comprise the statement of assets and liabilities, includi ng the schedule 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 fina ncial statements and financial highlights are hereinafter collectively referred to as financial statements.
Management '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
O ur responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.
A n audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor's judgment, including the assessment of the risks of mater ial misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of e xpressing 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 s ignificant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.
W e believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Op inion
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Fund as of December 31, 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 audit was conducted for the purpose of forming an opinion on the financial statements 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 audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole.
Tulsa, Oklahoma April 30, 2021
2
Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 1.7% Auto - 0.1% CarMax Auto Owner Trust 2017-3, 2.72%, 5/15/2023 986,000 $ 980,569 $ 1,000,495 Credit Acceptance Auto Loan Trust 2018-2, 3.94%, 7/15/2027 512,000 521,229 521,221 Drive Auto Receivables Trust, 3.66%, 11/15/2024 194,300 193,898 195,797 Drive Auto Receivables Trust 2017-3, 3.53%, 12/15/2023 168,627 168,627 171,162 Drive Auto Receivables Trust 2017-A, 4.16%, 5/15/2024 349,010 353,258 353,845 OneMain Direct Auto Receivables Trust 2018-1, 3.85%, 10/14/2025 242,000 244,802 247,698 OneMain Direct Auto Receivables Trust 2018-1, 4.4%, 1/14/2028 247,000 252,430 252,861 Santander Drive Auto Receivables Trust 2020-1, 2.07%, 1/17/2023 377,892 377,882 379,695 United Auto Credit Securitization Trust 2019-1, 3.16%, 8/12/2024 552,088 547,257 554,685 Total Auto 3,639,952 3,677,459
Other - 1.6% Applebee's Funding LLC / IHOP Funding LLC, 4.194%, 6/7/2049 1,575,053 1,580,521 1,553,506 Arbys Funding LLC, 3.237%, 7/30/2050 2,150,610 2,156,397 2,197,515 DB Master Finance LLC, 3.787%, 5/20/2049 889,738 892,140 911,750 DB Master Finance LLC, 4.021%, 5/20/2049 357,475 359,084 376,521 DB Master Finance LLC, 4.352%, 5/20/2049 711,000 715,447 768,342 Domino's Pizza Master Issuer LLC, 3.082%, 7/25/2047 299,730 299,862 301,331 Domino's Pizza Master Issuer LLC, 3.668%, 10/25/2049 2,497,770 2,498,316 2,653,156 Domino's Pizza Master Issuer LLC, 4.116%, 7/25/2048 1,390,983 1,449,547 1,460,643 Domino's Pizza Master Issuer LLC, 4.118%, 7/25/2047 318,160 330,091 340,845 Domino's Pizza Master Issuer LLC, 4.328%, 7/25/2048 763,428 802,384 829,785 Jack in the Box Funding LLC, 3.982%, 8/25/2049 1,516,540 1,516,540 1,553,877 Jack in the Box Funding LLC, 4.476%, 8/25/2049 1,516,540 1,516,540 1,595,400 Jack in the Box Funding LLC, 4.97%, 8/25/2049 1,516,540 1,516,540 1,631,509 Lakeview 2020 CRT, 1.9%, 7/10/2032 969,000 969,000 969,000 NRZ Excess Spread-Collateralized Notes Series 2020-PLS1, 3.844%, 12/25/2025 738,000 737,998 738,272 Oak Street Investment Grade Net Lease Fund Series 2020-1, 1.85%, 11/20/2050 1,317,083 1,317,031 1,327,587 Oak Street Investment Grade Net Lease Fund Series 2020-1, 3.39%, 11/20/2050 1,906,000 1,905,223 1,929,371 Planet Fitness Master Issuer LLC, 3.858%, 12/5/2049 1,323,630 1,324,318 1,248,263 Planet Fitness Master Issuer LLC, 4.262%, 9/5/2048 955,995 951,233 953,462 PRPM 2019-3 LLC, 3.351%, 7/25/2024 657,663 657,457 659,040 PRPM 2019-4 LLC, 3.351%, 11/25/2024 910,003 909,922 913,342 PRPM 2020-1 LLC, 2.981%, 2/25/2025 366,796 366,793 367,615 PRPM 2020-4 LLC, 2.951%, 10/25/2025 1,285,043 1,285,020 1,289,947 Taco Bell Funding LLC, 4.318%, 11/25/2048 1,035,860 1,053,006 1,050,662 Taco Bell Funding LLC, 4.94%, 11/25/2048 794,780 871,242 876,650 Vantage Data Centers LLC, 1.645%, 9/15/2045 2,518,000 2,519,181 2,535,257 Vantage Data Centers LLC, 1.992%, 9/15/2045 1,098,000 1,098,000 1,104,902
See Notes to the Financial Statements. 3 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Asset-Backed Securities - 1.7% (continued) Other - 1.6% (continued) VCAT 2020-NPL1 LLC, 3.671%, 8/25/2050 747,505 $ 747,495 $ 756,211 Wendy's Funding LLC, 3.573%, 3/15/2048 485,000 487,476 499,957 Wendy's Funding LLC, 3.783%, 6/15/2049 766,210 784,527 811,822 Wendy's Funding LLC, 3.884%, 3/15/2048 135,800 136,567 144,096 Wingstop Funding LLC, 2.841%, 12/5/2050 1,277,000 1,281,151 1,302,885 Total Other 35,036,049 35,652,521 Total Asset-Backed Securities 38,676,001 39,329,980
Collateralized Mortgage Obligations - 3.8% 280 Park Avenue 2017-280P Mortgage Trust, 1.007%, 9/15/2034 1,090,012 1,088,990 1,090,005 Angel Oak Mortgage Trust 2019-5, 2.593%, 10/25/2049 779,581 785,671 789,205 Angel Oak Mortgage Trust 2019-6, 2.62%, 11/25/2059 719,500 725,796 729,655 Angel Oak Mortgage Trust 2020-3, 2.41%, 4/25/2065 1,127,619 1,127,607 1,140,935 Angel Oak Mortgage Trust I LLC 2018-2, 3.674%, 7/27/2048 126,635 127,139 128,363 Arroyo Mortgage Trust 2018-1, 3.763%, 4/25/2048 281,867 284,948 286,037 BANK 2018-BNK12, 4.255%, 5/15/2061 412,666 455,496 490,366 BANK 2019-BNK17, 3.714%, 4/15/2052 917,992 1,002,333 1,069,873 BANK 2019-BNK18, 3.584%, 5/15/2062 1,563,288 1,699,654 1,809,956 BANK 2019-BNK20, 3.011%, 9/15/2062 751,189 777,715 839,818 BANK 2019-BNK23, 2.92%, 12/15/2052 1,351,343 1,396,106 1,503,448 BANK 2019-BNK24, 2.96%, 11/15/2062 335,600 345,652 374,563 BBCMS 2017-DELC Mortgage Trust, 0.977%, 8/15/2036 758,000 705,888 749,477 BBCMS Trust 2015-SRCH, 4.197%, 8/10/2035 1,113,000 1,188,518 1,250,583 Benchmark 2020-B16 Mortgage Trust, 2.732%, 2/15/2053 840,000 865,190 923,253 BX Commercial Mortgage Trust 2019-XL, 1.046%, 10/15/2036 1,717,280 1,717,280 1,720,482 BX Commercial Mortgage Trust 2019-XL, 1.206%, 10/15/2036 277,195 277,195 277,195 BX Commercial Mortgage Trust 2020-FOX, 1.126%, 11/15/2032 2,486,000 2,486,000 2,489,986 BX Commercial Mortgage Trust 2020-FOX, 1.476%, 11/15/2032 444,000 444,000 444,980 BX Commercial Mortgage Trust 2020-FOX, 1.676%, 11/15/2032 444,000 444,000 445,112 BX Trust 2019-OC11, 3.202%, 12/9/2041 1,734,000 1,785,928 1,898,792 BX Trust 2019-OC11, 3.605%, 12/9/2041 867,000 892,984 951,984 BX Trust 2019-OC11, 3.856%, 12/9/2041 867,000 892,953 919,527 BX Trust 2019-OC11, 4.075%, 12/9/2041 1,301,000 1,323,157 1,353,551 BXP Trust 2017-GM, 3.379%, 6/13/2039 502,000 510,105 561,124 Chase Home Lending Mortgage Trust 2019-ATR2, 1.03%, 7/25/2049 158,457 157,435 158,468 CHT 2017-COSMO Mortgage Trust, 1.057%, 11/15/2036 947,812 889,242 937,157 Cold Storage Trust 2020-ICE5, 1.027%, 11/15/2037 2,360,000 2,360,000 2,367,935 Cold Storage Trust 2020-ICE5, 1.427%, 11/15/2037 1,050,000 1,050,000 1,052,495 Cold Storage Trust 2020-ICE5, 1.777%, 11/15/2037 1,054,000 1,054,000 1,054,332
See Notes to the Financial Statements. 4 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Collateralized Mortgage Obligations - 3.8% (continued) COLT 2020-2 Mortgage Loan Trust, 1.853%, 3/25/2065 657,257 $ 657,250 $ 665,259 COLT 2020-3 Mortgage Loan Trust, 1.506%, 4/27/2065 664,577 661,559 669,831 Connecticut Avenue Securities Trust 2018-R07, 2.53%, 4/25/2031 1,178,068 1,157,403 1,177,150 Connecticut Avenue Securities Trust 2019-R02, 2.43%, 8/25/2031 656,302 605,610 655,467 Connecticut Avenue Securities Trust 2019-R03, 2.28%, 9/25/2031 1,202,946 1,203,660 1,201,485 Connecticut Avenue Securities Trust 2019-R04, 2.23%, 6/25/2039 1,391,123 1,340,196 1,387,990 Connecticut Avenue Securities Trust 2019-R05, 2.13%, 7/25/2039 1,285,460 1,291,345 1,284,320 Connecticut Avenue Securities Trust 2019-R06, 2.23%, 9/25/2039 1,232,506 1,226,343 1,230,229 Connecticut Avenue Securities Trust 2019-R07, 2.23%, 10/25/2039 1,779,562 1,749,863 1,773,697 Connecticut Avenue Securities Trust 2020-R01, 0.93%, 1/25/2040 256,371 243,384 256,574 Connecticut Avenue Securities Trust 2020-R01, 2.18%, 1/25/2040 1,257,561 1,233,061 1,250,897 Connecticut Avenue Securities Trust 2020-R02, 2.13%, 1/25/2040 1,959,492 1,922,752 1,945,684 Credit Suisse Mortgage Capital Certificates 2019-ICE4, 1.106%, 5/15/2036 2,779,000 2,778,566 2,782,722 Credit Suisse Mortgage Capital Certificates 2019-ICE4, 1.556%, 5/15/2036 522,000 519,553 521,371 Fannie Mae Connecticut Avenue Securities, 2.48%, 1/25/2031 925,498 778,478 926,674 Fannie Mae Connecticut Avenue Securities, 3.68%, 7/25/2029 807,123 820,617 830,563 Fannie Mae Connecticut Avenue Securities, 4.38%, 1/25/2029 586,135 553,897 610,077 Fannie Mae Connecticut Avenue Securities, 4.38%, 4/25/2029 703,553 730,486 736,583 Fannie Mae Connecticut Avenue Securities, 5.03%, 11/25/2024 149,616 155,039 153,472 Fannie Mae Connecticut Avenue Securities, 5.13%, 7/25/2025 872,874 849,439 897,020 Fannie Mae Connecticut Avenue Securities, 5.83%, 4/25/2028 498,171 491,944 531,533 Fannie Mae Connecticut Avenue Securities, 6.03%, 10/25/2028 237,181 233,364 249,251 Fannie Mae REMICS, 3%, 11/25/2049 2,504,250 2,584,659 2,630,363 Fannie Mae REMICS, 3%, 5/25/2048 1,547,790 1,539,875 1,652,072 Freddie Mac STACR REMIC Trust 2020-DNA1, 1.83%, 1/25/2050 1,493,000 1,493,000 1,481,768 Freddie Mac STACR REMIC Trust 2020-DNA3, 3.13%, 6/25/2050 772,562 773,395 776,419 Freddie Mac STACR REMIC Trust 2020-DNA6, 2.082%, 12/25/2050 1,601,000 1,601,000 1,598,520 Freddie Mac STACR REMIC Trust 2020-HQA4, 3.28%, 9/25/2050 866,000 866,000 873,978 Freddie Mac STACR REMIC Trust 2019-DNA4, 2.08%, 10/25/2049 407,591 406,430 406,944 Freddie Mac Structured Agency Credit Risk Debt Notes, 2.682%, 11/25/2050 2,619,000 2,619,000 2,635,291 Freddie Mac Structured Agency Credit Risk Debt Notes, 5.68%, 7/25/2028 654,934 691,774 683,428 GLP Capital, L.P. / GLP Financing II, Inc., 0.876%, 11/15/2035 976,540 974,094 976,234 GLP Capital, L.P. / GLP Financing II, Inc., 2.13%, 3/25/2031 1,387,478 1,324,398 1,378,549 Great Wolf Trust 2019-WOLF, 1.16%, 12/15/2036 414,000 412,965 404,657 Great Wolf Trust 2019-WOLF, 1.46%, 12/15/2036 464,000 462,840 436,082 Great Wolf Trust 2019-WOLF, 1.759%, 12/15/2036 517,000 515,967 481,359 GS Mortgage Securities Corp II, 4.155%, 7/10/2051 589,523 644,561 691,383 GS Mortgage Securities Trust 2018-GS9, 3.992%, 3/10/2051 981,194 1,062,526 1,149,178 GS Mortgage Securities Trust 2020-GC45, 2.911%, 2/13/2053 837,000 862,107 931,687 GS Mortgage Securities Trust 2020-GC47, 2.377%, 5/12/2053 1,126,000 1,159,772 1,207,551 JP Morgan Mortgage Trust 2019-LTV2, 1.03%, 12/25/2049 386,895 386,113 386,951 See Notes to the Financial Statements. 5 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Collateralized Mortgage Obligations - 3.8% (continued) Morgan Stanley Capital I Trust 2015-UBS8, 3.809%, 12/15/2048 800,000 $ 884,563 $ 894,957 Morgan Stanley Capital I Trust 2016-UB11, 2.782%, 8/15/2049 1,007,000 1,048,263 1,084,179 Morgan Stanley Capital I Trust 2018-H3, 4.177%, 7/15/2051 859,632 967,052 1,025,373 Morgan Stanley Capital I Trust 2018-H4, 4.31%, 12/15/2051 1,286,278 1,465,553 1,538,218 Morgan Stanley Capital I Trust 2019-H6, 3.417%, 6/15/2052 523,189 553,436 591,911 New Residential Mortgage Loan Trust 2018-2, 4.5%, 2/25/2058 379,289 390,286 410,498 Provident Funding Mortgage Trust 2020-1, 3%, 2/25/2050 351,032 354,707 357,328 PRPM 2020-2 LLC, 3.671%, 8/25/2025 709,800 709,788 716,563 PRPM 2020-3 LLC, 2.857%, 9/25/2025 2,073,466 2,073,431 2,090,351 PRPM 2020-5 LLC, 3.104%, 11/25/2025 675,362 675,350 679,403 Sequoia Mortgage Trust 2013-5, 2.5%, 5/25/2043 536,307 548,542 549,567 Sequoia Mortgage Trust 2020-2, 3.5%, 3/25/2050 291,774 298,065 299,298 Spruce Hill Mortgage Loan Trust 2020-SH1, 2.521%, 1/28/2050 247,273 247,270 250,388 Spruce Hill Mortgage Loan Trust 2020-SH1, 2.624%, 1/28/2050 618,343 623,702 625,597 Spruce Hill Mortgage Loan Trust 2020-SH2, 3.407%, 6/25/2055 2,119,248 2,119,220 2,146,500 Starwood Mortgage Residential Trust 2020-2, 2.718%, 4/25/2060 586,653 586,642 597,454 Towd Point HE Trust 2019-HE1, 1.03%, 4/25/2048 425,022 424,094 424,781 Wells Fargo Mortgage Backed Securities 2019-4 Trust, 3.5%, 9/25/2049 45,981 46,096 46,096 WFRBS Commercial Mortgage Trust 2014-C25, 3.631%, 11/15/2047 851,000 912,066 938,872 Total Collateralized Mortgage Obligations 85,373,393 87,596,254
Common Stocks - 62.1% Basic Materials - 0.5% Sherwin-Williams Company/The 14,146 8,184,692 10,396,037
Communications - 9.9% Alphabet Inc. Class C 35,048 43,835,192 61,399,890 Amazon.com, Inc. 22,125 50,391,243 72,059,576 Booking Holdings Inc. 5,379 9,808,999 11,980,485 Comcast Corporation Class A 646,137 25,926,034 33,857,579 Corning Incorporated 262,552 8,139,025 9,451,872 Motorola Solutions, Inc. 50,005 7,443,633 8,503,850 T-Mobile US, Inc. 62,983 6,259,142 8,493,258 Walt Disney Company/The 117,684 13,716,722 21,321,987 Total Communications 165,519,990 227,068,497
Consumer, Cyclical - 8.2% Costco Wholesale Corporation 78,621 20,084,747 29,622,820 Dollar General Corporation 99,318 16,303,069 20,886,575 Hasbro, Inc. 129,244 11,432,926 12,089,484 Hilton Worldwide Holdings Inc. 118,173 10,062,724 13,147,928 See Notes to the Financial Statements. 6 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Common Stocks - 62.1% (continued) Consumer, Cyclical - 8.2% (conintued) Home Depot, Inc./The 150,237 $ 29,992,462 $ 39,905,952 McDonald's Corporation 150,818 28,879,079 32,362,526 NIKE, Inc. Class B 169,925 14,627,063 24,039,290 Southwest Airlines Co. 24,350 1,143,606 1,134,954 Starbucks Corporation 133,915 9,546,795 14,326,227 Total Consumer, Cyclical 142,072,471 187,515,756
Consumer, Non-cyclical - 13.4% Abbott Laboratories 213,475 17,553,095 23,373,378 AbbVie Inc. 180,243 16,053,457 19,313,037 Bristol Myers Squibb Company 340,524 17,040,954 21,122,704 Clorox Company/The 24,042 3,851,169 4,854,561 Edwards Lifesciences Corporation 26,404 2,270,363 2,408,837 Eli Lilly and Company 161,634 21,385,781 27,290,285 Estee Lauder Companies Inc./The Class A 22,040 3,913,986 5,866,828 Hershey Company/The 72,654 8,662,956 11,067,384 Illumina, Inc. 22,183 7,159,767 8,207,710 Intuitive Surgical, Inc. 8,596 4,653,367 7,032,388 Medtronic Public Limited Company 141,851 13,171,012 16,616,426 Merck & Co., Inc. 386,615 31,859,497 31,625,107 Monster Beverage Corporation 191,916 12,511,250 17,748,392 Procter & Gamble Company/The 140,596 17,055,205 19,562,527 S&P Global Inc. 17,679 5,397,381 5,811,618 Stryker Corporation 32,000 6,172,049 7,841,280 Sysco Corporation 101,849 6,701,415 7,563,307 Thermo Fisher Scientific Inc. 45,615 14,118,582 21,246,555 UnitedHealth Group Incorporated 136,662 33,552,895 47,924,630 Total Consumer, Non-cyclical 243,084,181 306,476,954
Financials - 7.9% American Express Company 132,229 14,820,950 15,987,808 Bank of America Corporation 660,771 18,398,016 20,027,969 CBRE Group, Inc. 168,015 8,280,523 10,537,901 CME Group Inc. 92,618 15,647,910 16,861,107 Marsh & McLennan Companies, Inc. 54,455 6,102,473 6,371,235 Mastercard Incorporated 161,793 39,843,278 57,750,393 Morgan Stanley 361,678 16,448,688 24,785,793 Progressive Corporation/The 305,341 22,965,937 30,192,118 Total Financials 142,507,775 182,514,324
See Notes to the Financial Statements. 7 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Common Stocks - 62.1% (continued) Industrials - 4.4% CSX Corporation 166,429 $ 12,217,998 $ 15,103,432 Deere & Company 76,954 12,193,549 20,704,474 General Dynamics Corporation 103,859 17,158,080 15,456,296 Honeywell International Inc. 129,418 20,002,018 27,527,209 L3Harris Technologies, Inc. 33,984 6,622,412 6,423,656 United Parcel Service, Inc. Class B 98,732 12,538,090 16,626,469 Total Industrials 80,732,147 101,841,536
Technology - 17.8% Accenture PLC Class A 134,415 24,179,841 35,110,542 Activision Blizzard, Inc. 110,551 9,134,275 10,264,660 Adobe Inc. 92,197 26,200,499 46,109,564 Advanced Micro Devices, Inc. 35,098 3,384,928 3,218,838 Apple Inc. 644,891 34,264,082 85,570,587 Fidelity National Information Services, Inc. 42,364 6,142,690 5,992,811 Lam Research Corporation 71,512 15,391,937 33,772,972 Microsoft Corporation 496,319 63,732,443 110,391,253 NVIDIA Corporation 49,741 10,216,762 25,974,750 Qualcomm Incorporated 89,153 11,975,995 13,581,568 Salesforce.com, Inc. 78,223 12,289,067 17,406,964 Texas Instruments Incorporated 129,078 14,691,236 21,185,572 Total Technology 231,603,755 408,580,081 Total Common Stocks 1,013,705,011 1,424,393,185
Corporate Bonds - 19.8% Basic Materials - 0.5% Allegheny Technologies Incorporated, 5.875%, 12/1/2027 1,607,000 1,613,993 1,691,368 Axalta Coating Systems, LLC, 3.375%, 2/15/2029 2,694,000 2,696,814 2,694,000 Constellium SE, 5.75%, 5/15/2024 1,308,000 1,341,448 1,334,709 Element Solutions Inc., 3.875%, 9/1/2028 2,074,000 2,081,012 2,133,628 Georgia-Pacific LLC, 3.163%, 11/15/2021 1,286,000 1,292,097 1,310,101 Nutrition & Biosciences, Inc., 1.832%, 10/15/2027 1,448,000 1,450,809 1,492,402 Nutrition & Biosciences, Inc., 3.268%, 11/15/2040 530,000 529,968 569,537 Nutrition & Biosciences, Inc., 3.468%, 12/1/2050 790,000 789,929 858,157 Reliance Steel & Aluminum Co., 4.5%, 4/15/2023 575,000 595,940 620,377 Total Basic Materials 12,392,010 12,704,279
See Notes to the Financial Statements. 8 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Communications - 2.4% AT&T Inc., 1.65%, 2/1/2028 1,097,000 $ 1,095,618 $ 1,119,262 AT&T Inc., 3.5%, 9/15/2053 579,000 575,781 579,850 AT&T Inc., 3.55%, 9/15/2055 830,000 799,782 827,182 AT&T Inc., 3.65%, 9/15/2059 183,000 173,756 184,782 AT&T Inc., 3.8%, 12/1/2057 1,113,000 1,064,106 1,163,015 Booking Holdings Inc., 4.1%, 4/13/2025 4,035,000 4,140,568 4,576,054 Booking Holdings Inc., 4.5%, 4/13/2027 1,819,000 1,814,998 2,163,441 Booking Holdings Inc., 4.625%, 4/13/2030 1,520,000 1,517,477 1,888,720 CCO Holdings, LLC/CCO Holdings Capital Corp., 4.25%, 2/1/2031 2,371,000 2,433,341 2,498,702 CCO Holdings, LLC/CCO Holdings Capital Corp., 4.5%, 5/1/2032 3,471,000 3,601,163 3,706,056 Charter Communications Operating, LLC, 2.8%, 4/1/2031 1,692,000 1,684,572 1,789,595 Charter Communications Operating, LLC, 3.7%, 4/1/2051 820,000 813,579 851,533 Charter Communications Operating, LLC, 4.8%, 3/1/2050 1,366,000 1,381,463 1,631,551 Charter Communications Operating, LLC, 5.375%, 5/1/2047 318,000 331,257 396,898 Charter Communications Operating, LLC, 6.484%, 10/23/2045 397,000 466,074 561,540 Comcast Corporation, 3.75%, 4/1/2040 557,000 553,970 672,870 CSC Holdings, LLC, 3.375%, 2/15/2031 1,435,000 1,435,000 1,408,094 CSC Holdings, LLC, 4.125%, 12/1/2030 2,078,000 2,081,308 2,172,757 CSC Holdings, LLC, 4.625%, 12/1/2030 1,866,000 1,926,645 1,947,638 Fox Corporation, 4.03%, 1/25/2024 654,000 678,643 720,279 GCI, LLC, 4.75%, 10/15/2028 3,360,000 3,364,228 3,583,608 Level 3 Financing, Inc., 3.875%, 11/15/2029 3,077,000 3,173,787 3,417,070 Lumen Technologies, Inc., 5.8%, 3/15/2022 647,000 665,324 674,498 Lumen Technologies, Inc., 6.45%, 6/15/2021 693,000 723,801 707,006 Sirius XM Radio Inc., 4.125%, 7/1/2030 2,508,000 2,510,645 2,669,453 T-Mobile USA, Inc., 2.05%, 2/15/2028 417,000 416,112 433,747 T-Mobile USA, Inc., 2.55%, 2/15/2031 566,000 564,828 594,340 T-Mobile USA, Inc., 3%, 2/15/2041 1,069,000 1,063,217 1,108,254 T-Mobile USA, Inc., 3.3%, 2/15/2051 928,000 926,079 954,754 T-Mobile USA, Inc., 3.5%, 4/15/2025 1,120,000 1,119,742 1,237,578 T-Mobile USA, Inc., 3.75%, 4/15/2027 4,063,000 4,061,253 4,626,944 T-Mobile USA, Inc., 3.875%, 4/15/2030 1,493,000 1,482,221 1,729,193 Verizon Communications Inc., 3%, 3/22/2027 817,000 816,592 906,416 Verizon Communications Inc., 4.862%, 8/21/2046 288,000 307,809 389,214 Total Communications 49,764,739 53,891,894
Consumer, Cyclical - 1.9% 1011778 BC ULC / New Red Finance Inc, 4%, 10/15/2030 3,691,000 3,691,000 3,740,570 Aramark Services, Inc., 6.375%, 5/1/2025 3,102,000 3,111,427 3,315,263 AutoZone, Inc., 1.65%, 1/15/2031 852,000 850,073 845,035 See Notes to the Financial Statements. 9 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Consumer, Cyclical - 1.9% (continued) AutoZone, Inc., 3.75%, 4/18/2029 713,000 $ 711,054 $ 822,252 Choice Hotels International, Inc., 3.7%, 12/1/2029 1,646,000 1,636,190 1,795,226 Choice Hotels International, Inc., 3.7%, 1/15/2031 455,000 452,698 503,922 Dollar General Corporation, 3.5%, 4/3/2030 1,201,000 1,200,195 1,378,715 Dollar General Corporation, 4.125%, 4/3/2050 1,159,000 1,147,375 1,466,799 Ford Motor Credit Company LLC, 3.375%, 11/13/2025 2,823,000 2,840,990 2,900,237 Ford Motor Credit Company LLC, 4%, 11/13/2030 2,559,000 2,585,739 2,686,950 General Motors Company, 4.2%, 10/1/2027 606,000 616,160 686,684 General Motors Company, 5%, 10/1/2028 1,493,000 1,505,399 1,776,485 General Motors Company, 5.4%, 4/1/2048 579,000 580,795 729,152 General Motors Financial Company, Inc., 4.3%, 7/13/2025 346,000 347,833 387,912 General Motors Financial Company, Inc., 4.35%, 4/9/2025 641,000 646,904 715,605 General Motors Financial Company, Inc., 4.35%, 1/17/2027 925,000 917,159 1,053,009 GLP Capital, L.P. / GLP Financing II, Inc., 4.35%, 6/1/2028 299,000 313,008 355,658 Hasbro, Inc., 3.55%, 11/19/2026 2,862,000 2,946,062 3,194,294 Hasbro, Inc., 3.9%, 11/19/2029 2,976,000 2,966,477 3,370,360 Hasbro, Inc., 5.1%, 5/15/2044 469,000 486,714 536,485 Lowe's Companies, Inc., 4.5%, 4/15/2030 1,696,000 1,690,138 2,111,126 Lowe's Companies, Inc., 5%, 4/15/2040 1,040,000 1,052,304 1,408,064 M.D.C. Holdings, Inc., 5.5%, 1/15/2024 579,000 594,923 634,005 Marriott International, Inc., 5.75%, 5/1/2025 2,345,000 2,405,854 2,742,949 MGM Resorts International, 7.75%, 3/15/2022 235,000 259,675 250,275 Nordstrom, Inc., 4.375%, 4/1/2030 1,765,000 1,767,400 1,738,369 O'Reilly Automotive, Inc., 3.6%, 9/1/2027 39,000 38,819 44,405 O'Reilly Automotive, Inc., 3.9%, 6/1/2029 1,740,000 1,739,843 2,046,201 Ross Stores, Inc., 1.875%, 4/15/2031 682,000 679,483 684,707 Total Consumer, Cyclical 39,781,691 43,920,714
Consumer, Non-cyclical - 3.9% Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc, 4.9%, 2/1/2046 1,736,000 2,089,293 2,257,200 Anheuser-Busch InBev Worldwide Inc., 4.35%, 6/1/2040 1,235,000 1,234,222 1,515,287 Avantor Funding, Inc., 4.625%, 7/15/2028 1,434,000 1,437,384 1,516,455 Avery Dennison Corporation, 2.65%, 4/30/2030 1,897,000 1,894,739 2,034,684 Baxter International Inc., 3.95%, 4/1/2030 1,528,000 1,551,887 1,826,130 Boston Scientific Corporation, 4%, 3/1/2029 445,000 459,377 524,437 Centene Corporation, 3.375%, 2/15/2030 1,336,000 1,336,000 1,405,592 Centene Corporation, 4.25%, 12/15/2027 1,698,000 1,683,737 1,799,880 Centene Corporation, 4.625%, 12/15/2029 2,799,000 2,799,000 3,107,478
See Notes to the Financial Statements. 10 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Consumer, Non-cyclical - 3.9% (continued) Cigna Corporation, 2.4%, 3/15/2030 725,000 $ 723,782 $ 773,010 Cigna Corporation, 3.2%, 3/15/2040 330,000 329,515 361,860 Cigna Corporation, 3.4%, 9/17/2021 258,000 260,752 263,546 Cigna Corporation, 3.4%, 3/15/2050 497,000 496,071 559,249 Coca-Cola FEMSA, S.A.B. de C.V., 2.75%, 1/22/2030 999,000 988,730 1,074,465 CoStar Group, Inc., 2.8%, 7/15/2030 2,072,000 2,092,214 2,152,883 CVS Health Corporation, 2.7%, 8/21/2040 688,000 687,684 696,018 CVS Health Corporation, 4.125%, 4/1/2040 901,000 885,809 1,080,871 CVS Health Corporation, 4.25%, 4/1/2050 445,000 444,924 556,645 CVS Health Corporation, 4.3%, 3/25/2028 500,000 507,098 594,980 CVS Health Corporation, 5.05%, 3/25/2048 949,000 1,023,513 1,286,159 DaVita Inc., 3.75%, 2/15/2031 2,007,000 2,005,110 2,037,828 DaVita Inc., 4.625%, 6/1/2030 1,625,000 1,625,000 1,724,531 Diageo Capital PLC, 1.375%, 9/29/2025 1,160,000 1,155,731 1,191,918 Diageo Capital PLC, 2%, 4/29/2030 1,093,000 1,087,786 1,139,791 Diageo Capital PLC, 2.125%, 4/29/2032 877,000 869,817 926,432 Elanco Animal Health Incorporated, 5.272%, 8/28/2023 1,940,000 2,059,572 2,119,450 Equifax Inc., 2.6%, 12/1/2024 2,328,000 2,323,870 2,493,417 Equifax Inc., 2.6%, 12/15/2025 1,719,000 1,731,227 1,855,471 Equifax Inc., 3.1%, 5/15/2030 1,566,000 1,566,631 1,741,936 Experian Finance PLC, 2.75%, 3/8/2030 3,522,000 3,484,369 3,824,040 Fomento Economico Mexicano, S.A.B. de C.V., 3.5%, 1/16/2050 1,172,000 1,148,923 1,304,195 Gartner, Inc., 3.75%, 10/1/2030 370,000 370,000 389,891 Global Payments Inc., 2.9%, 5/15/2030 1,559,000 1,553,902 1,697,553 Global Payments Inc., 3.2%, 8/15/2029 475,000 473,509 525,606 Global Payments Inc., 4.8%, 4/1/2026 1,173,000 1,233,256 1,392,024 GLP Capital, L.P. / GLP Financing II, Inc., 5.375%, 6/1/2026 2,354,000 2,454,045 2,482,787 HCA Inc., 3.5%, 9/1/2030 2,467,000 2,467,000 2,621,375 HCA Inc., 4.75%, 5/1/2023 1,351,000 1,418,142 1,473,362 HCA Inc., 5.375%, 2/1/2025 830,000 929,245 933,360 HCA Inc., 5.375%, 9/1/2026 335,000 378,815 385,049 HCA Inc., 5.625%, 9/1/2028 474,000 548,883 559,320 HCA Inc., 5.875%, 2/15/2026 437,000 502,869 502,550 HCA Inc., 5.875%, 2/1/2029 699,000 832,033 841,233 IHS Markit Ltd., 4.75%, 2/15/2025 891,000 926,613 1,022,512 IHS Markit Ltd., 5%, 11/1/2022 639,000 666,669 683,257 JBS USA LUX SA / JBS USA Finance Inc, 6.75%, 2/15/2028 941,000 1,045,854 1,057,214 JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, 5.5%, 1/15/2030 1,879,000 2,065,626 2,158,520 JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, 6.5%, 4/15/2029 1,468,000 1,668,998 1,708,899
See Notes to the Financial Statements. 11 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Consumer, Non-cyclical - 3.9% (continued) Molina Healthcare, Inc., 4.375%, 6/15/2028 4,374,000 $ 4,390,944 $ 4,603,635 Mondelez International, Inc., 2.75%, 4/13/2030 264,000 261,444 289,970 PayPal Holdings, Inc., 1.65%, 6/1/2025 820,000 819,836 856,721 PayPal Holdings, Inc., 2.3%, 6/1/2030 947,000 945,987 1,014,068 PayPal Holdings, Inc., 2.65%, 10/1/2026 2,198,000 2,195,212 2,416,043 Royalty Pharma PLC, 1.75%, 9/2/2027 727,000 716,044 748,058 Royalty Pharma PLC, 2.2%, 9/2/2030 141,000 137,842 144,796 Royalty Pharma PLC, 3.3%, 9/2/2040 1,405,000 1,358,707 1,477,300 Royalty Pharma PLC, 3.55%, 9/2/2050 1,402,000 1,346,189 1,493,761 Service Corporation International, 3.375%, 8/15/2030 758,000 758,000 788,479 Sysco Corporation, 2.5%, 7/15/2021 268,000 265,752 270,665 Sysco Corporation, 5.95%, 4/1/2030 2,404,000 2,540,618 3,158,964 Sysco Corporation, 6.6%, 4/1/2040 1,144,000 1,191,937 1,673,393 Sysco Corporation, 6.6%, 4/1/2050 544,000 599,537 837,848 United Rentals (North America), Inc., 3.875%, 2/15/2031 567,000 567,000 594,811 Verisk Analytics, Inc., 3.625%, 5/15/2050 1,075,000 1,063,928 1,252,910 Verisk Analytics, Inc., 5.5%, 6/15/2045 396,000 441,954 561,135 Viatris Inc., 1.65%, 6/22/2025 316,000 315,305 326,837 Total Consumer, Non-cyclical 81,435,462 88,689,744
Energy - 0.8% Cheniere Corpus Christi Holdings, LLC, 3.7%, 11/15/2029 1,762,000 1,758,128 1,961,570 Cheniere Energy, Inc., 4.625%, 10/15/2028 3,751,000 3,762,508 3,938,550 Continental Resources, Inc., 5.75%, 1/15/2031 1,912,000 1,924,054 2,122,282 Energy Transfer Operating, L.P., 4.95%, 6/15/2028 84,000 88,182 96,820 Energy Transfer Operating, L.P., 5.5%, 6/1/2027 512,000 555,583 602,623 Energy Transfer Operating, L.P., 5.875%, 1/15/2024 304,000 332,556 341,722 Hess Midstream Operations LP, 5.125%, 6/15/2028 2,055,000 2,076,645 2,148,112 Kinder Morgan, Inc., 4.3%, 3/1/2028 594,000 613,951 696,622 NGPL PipeCo LLC, 4.375%, 8/15/2022 971,000 983,138 1,011,632 ONEOK, Inc., 5.85%, 1/15/2026 578,000 577,671 692,689 ONEOK, Inc., 6.35%, 1/15/2031 1,237,000 1,232,881 1,585,979 ONEOK, Inc., 7.15%, 1/15/2051 323,000 321,811 446,078 TransCanada Pipelines Limited, 4.1%, 4/15/2030 2,727,000 2,722,528 3,225,571 Total Energy 16,949,636 18,870,250
Financials - 6.1% Agree Limited Partnership, 2.9%, 10/1/2030 731,000 730,466 776,535 Alexandria Real Estate Equities, Inc., 4.9%, 12/15/2030 1,760,000 1,760,980 2,239,734
See Notes to the Financial Statements. 12 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Financials - 6.1% (continued) Banco Santander, S.A., 2.749%, 12/3/2030 2,000,000 $ 2,008,558 $ 2,061,454 Bank of America Corporation, 2.592%, 4/29/2031 ^ 5,147,000 5,173,684 5,516,340 Bank of America Corporation, 3.705%, 4/24/2028 ^ 3,078,000 3,094,437 3,504,175 Bank of America Corporation, 3.97%, 3/5/2029 ^ 1,104,000 1,127,467 1,289,019 Bank of America Corporation, 4.3% ^* 1,552,000 1,536,238 1,600,205 Bank of America Corporation, 5.2% ^* 699,000 713,488 728,708 Bank of America Corporation, 6.1% ^* 784,000 876,120 888,311 Bank of America Corporation, 6.25% ^* 1,792,000 1,993,550 1,988,336 Bank of New York Mellon Corporation/The, 4.7% ^* 3,111,000 3,133,099 3,430,811 BNP Paribas, 2.588%, 8/12/2035 ^ 3,185,000 3,185,000 3,256,109 BNP Paribas, 2.819%, 11/19/2025 ^ 328,000 331,290 349,623 BNP Paribas, 3.052%, 1/13/2031 ^ 2,147,000 2,147,000 2,342,866 BNP Paribas, 4.705%, 1/10/2025 ^ 1,181,000 1,278,173 1,312,598 Brown & Brown, Inc., 2.375%, 3/15/2031 339,000 338,627 354,802 Brown & Brown, Inc., 4.5%, 3/15/2029 687,000 713,210 813,227 Charles Schwab Corporation/The, 4% ^* 2,462,000 2,462,000 2,591,255 Charles Schwab Corporation/The, 5.375% ^* 5,242,000 5,272,275 5,838,278 Citigroup Inc., 3.887%, 1/10/2028 ^ 3,268,000 3,321,344 3,745,385 Citigroup Inc., 4.412%, 3/31/2031 ^ 2,499,000 2,542,729 3,030,430 Citigroup Inc., 4.7% ^* 854,000 850,848 877,562 Citigroup Inc., 5% ^* 884,000 905,235 918,808 Citigroup Inc., 5.35% ^* 851,000 865,893 886,104 Citigroup Inc., 5.9% ^* 173,000 184,281 181,737 Citigroup Inc., 5.95% ^* 1,362,000 1,451,657 1,429,554 Citigroup Inc., 5.95% ^* 894,000 981,036 976,695 Citigroup Inc., 6.3% ^* 194,000 205,640 210,296 Citizens Financial Group, Inc., 2.638%, 9/30/2032 1,165,000 1,164,578 1,227,379 Credit Agricole S.A., 1.907%, 6/16/2026 ^ 658,000 658,000 682,482 Credit Suisse Group AG, 4.5% ^* 2,882,000 2,889,104 2,896,122 Crown Castle International Corp., 3.1%, 11/15/2029 1,380,000 1,377,392 1,520,669 Crown Castle International Corp., 3.65%, 9/1/2027 854,000 848,090 964,154 Crown Castle International Corp., 4.3%, 2/15/2029 977,000 1,007,606 1,160,353 Equinix, Inc., 1.8%, 7/15/2027 2,121,000 2,118,480 2,183,341 Equinix, Inc., 2.15%, 7/15/2030 963,000 960,217 979,516 Equinix, Inc., 2.9%, 11/18/2026 669,000 668,030 731,664 Equinix, Inc., 3.2%, 11/18/2029 1,050,000 1,048,929 1,152,655 First Republic Bank, 4.625%, 2/13/2047 354,000 360,122 467,261 GLP Capital, L.P., 3.35%, 9/1/2024 287,000 286,710 301,284 GLP Capital, L.P., 4%, 1/15/2030 1,526,000 1,524,554 1,657,633
See Notes to the Financial Statements. 13 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Financials - 6.1% (continued) GLP Capital, L.P., 4%, 1/15/2031 615,000 $ 607,786 $ 671,100 GLP Capital, L.P., 5.25%, 6/1/2025 560,000 590,251 630,045 GLP Capital, L.P., 5.3%, 1/15/2029 132,000 150,541 152,717 GLP Capital, L.P., 5.375%, 4/15/2026 690,000 759,923 791,892 Goldman Sachs Group, Inc./The, 3.5%, 4/1/2025 3,781,000 3,779,639 4,200,652 Goldman Sachs Group, Inc./The, 4.128% ^* 3,074,000 2,778,128 3,067,791 Goldman Sachs Group, Inc./The, 4.95% ^* 582,000 596,550 615,709 Goldman Sachs Group, Inc./The, 5% ^* 258,000 252,840 260,580 HSBC Holdings plc, 1.589%, 5/24/2027 ^ 4,605,000 4,605,000 4,682,904 HSBC Holdings plc, 1.645%, 4/18/2026 ^ 1,396,000 1,396,628 1,427,775 HSBC Holdings plc, 2.357%, 8/18/2031 ^ 1,025,000 1,027,029 1,058,640 Intercontinental Exchange, Inc., 1.85%, 9/15/2032 787,000 783,529 793,115 Intercontinental Exchange, Inc., 2.1%, 6/15/2030 1,479,000 1,520,942 1,539,657 Jones Lang LaSalle Incorporated, 4.4%, 11/15/2022 852,000 875,024 902,789 JPMorgan Chase & Co., 2.083%, 4/22/2026 ^ 5,536,000 5,536,000 5,846,717 JPMorgan Chase & Co., 2.956%, 5/13/2031 ^ 4,741,000 4,758,505 5,198,938 JPMorgan Chase & Co., 3.96%, 1/29/2027 ^ 3,119,000 3,226,129 3,584,004 JPMorgan Chase & Co., 4% ^* 698,000 681,926 709,343 JPMorgan Chase & Co., 4.6% ^* 737,000 745,146 760,953 JPMorgan Chase & Co., 4.625% ^* 291,000 288,090 287,320 JPMorgan Chase & Co., 5% ^* 699,000 720,789 735,369 Morgan Stanley, 1.794%, 2/13/2032 ^ 1,942,000 1,943,820 1,955,885 Morgan Stanley, 2.188%, 4/28/2026 ^ 2,397,000 2,404,155 2,531,812 Morgan Stanley, 3.95%, 4/23/2027 2,380,000 2,384,340 2,751,635 Morgan Stanley, 4.35%, 9/8/2026 1,162,000 1,200,090 1,369,984 MPT Operating Partnership LP / MPT Finance Corp, 3.5%, 3/15/2031 5,400,000 5,405,136 5,575,500 MPT Operating Partnership LP / MPT Finance Corp, 4.625%, 8/1/2029 527,000 561,255 563,231 MPT Operating Partnership LP / MPT Finance Corp, 5%, 10/15/2027 569,000 603,851 605,274 Natwest Group PLC, 3.032%, 11/28/2035 ^ 1,963,000 1,963,000 2,030,154 Prudential Financial, Inc., 3.7%, 10/1/2050 ^ 2,782,000 2,797,567 2,942,744 Quicken Loans LLC / Quicken Loans Co-Issuer Inc, 3.625%, 3/1/2029 1,568,000 1,568,000 1,599,360 Quicken Loans LLC / Quicken Loans Co-Issuer Inc, 3.875%, 3/1/2031 2,292,000 2,291,714 2,377,950 Raymond James Financial, Inc., 4.65%, 4/1/2030 730,000 727,576 895,454 Raymond James Financial, Inc., 4.95%, 7/15/2046 847,000 897,442 1,160,770 Raymond James Financial, Inc., 5.625%, 4/1/2024 672,000 743,981 775,548 UBS Group AG, 1.364%, 1/30/2027 ^ 2,527,000 2,535,540 2,555,293 USAA Capital Corporation, 2.125%, 5/1/2030 150,000 149,568 157,724 W.P. Carey Inc., 2.4%, 2/1/2031 1,438,000 1,427,604 1,493,433
See Notes to the Financial Statements. 14 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Financials - 6.1% (continued) Westpac Banking Corporation, 2.668%, 11/15/2035 ^ 1,929,000 $ 1,935,277 $ 1,987,179 Westpac Banking Corporation, 2.963%, 11/16/2040 571,000 574,411 608,043 Total Financials 131,890,859 140,918,453
Industrials - 1.7% BAE Systems PLC, 1.9%, 2/15/2031 1,120,000 1,111,398 1,132,268 BAE Systems PLC, 3.4%, 4/15/2030 827,000 821,178 936,888 Boeing Company/The, 2.25%, 6/15/2026 222,000 210,198 227,219 Boeing Company/The, 2.75%, 2/1/2026 695,000 694,444 730,827 Boeing Company/The, 3.25%, 2/1/2028 742,000 741,837 796,055 Boeing Company/The, 3.6%, 5/1/2034 1,845,000 1,839,281 1,942,677 Boeing Company/The, 4.508%, 5/1/2023 2,230,000 2,230,000 2,410,256 Boeing Company/The, 4.875%, 5/1/2025 720,000 720,000 820,734 Boeing Company/The, 5.705%, 5/1/2040 1,579,000 1,579,000 2,049,101 Boeing Company/The, 5.93%, 5/1/2060 253,000 253,000 358,904 General Dynamics Corporation, 3.5%, 4/1/2027 717,000 710,920 824,834 General Electric Company, 3.554% ^* 2,163,000 2,014,858 2,012,131 General Electric Company, 6.75%, 3/15/2032 496,000 636,556 695,424 Huntington Ingalls Industries, Inc., 3.844%, 5/1/2025 1,311,000 1,322,143 1,457,749 Huntington Ingalls Industries, Inc., 4.2%, 5/1/2030 2,368,000 2,423,196 2,805,212 Keysight Technologies, Inc., 3%, 10/30/2029 1,449,000 1,453,605 1,599,813 Northrop Grumman Corporation, 4.4%, 5/1/2030 1,315,000 1,318,895 1,632,241 Sensata Technologies, Inc., 3.75%, 2/15/2031 1,952,000 1,954,852 2,023,404 Trimble Inc., 4.75%, 12/1/2024 2,183,000 2,243,816 2,495,098 Trimble Inc., 4.9%, 6/15/2028 3,000,000 3,072,566 3,589,759 Vulcan Materials Company, 3.5%, 6/1/2030 1,026,000 1,023,148 1,178,475 Westinghouse Air Brake Technologies Corporation, 3.2%, 6/15/2025 1,745,000 1,754,920 1,882,609 Westinghouse Air Brake Technologies Corporation, 3.45%, 11/15/2026 421,000 405,831 462,161 Westinghouse Air Brake Technologies Corporation, 4.4%, 3/15/2024 1,045,000 1,074,110 1,143,622 Westinghouse Air Brake Technologies Corporation, 4.95%, 9/15/2028 3,585,000 3,740,495 4,253,327 Total Industrials 35,350,247 39,460,788
Technology - 1.7% Analog Devices, Inc., 2.95%, 4/1/2025 1,035,000 1,035,715 1,129,645 Booz Allen Hamilton Inc., 3.875%, 9/1/2028 1,922,000 1,960,534 1,979,660 Broadcom Inc., 3.15%, 11/15/2025 2,288,000 2,284,888 2,498,385 Broadcom Inc., 4.15%, 11/15/2030 1,886,000 1,883,907 2,183,540 Broadcom Inc., 4.3%, 11/15/2032 1,509,000 1,507,099 1,788,903 Broadcom Inc., 4.7%, 4/15/2025 2,357,000 2,375,879 2,701,046
See Notes to the Financial Statements. 15 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 19.8% (continued) Technology - 1.7% (continued) Broadridge Financial Solutions, Inc., 2.9%, 12/1/2029 1,883,000 $ 1,891,497 $ 2,062,600 Dell International LLC / EMC Corp, 5.875%, 6/15/2021 1,687,000 1,718,653 1,690,037 Leidos, Inc., 2.3%, 2/15/2031 1,291,000 1,284,764 1,314,495 Leidos, Inc., 2.95%, 5/15/2023 293,000 291,822 308,267 Leidos, Inc., 3.625%, 5/15/2025 1,135,000 1,150,653 1,269,032 Leidos, Inc., 4.375%, 5/15/2030 1,615,000 1,697,238 1,933,882 Marvell Technology Group Ltd., 4.2%, 6/22/2023 589,000 600,810 637,391 Marvell Technology Group Ltd., 4.875%, 6/22/2028 2,461,000 2,616,991 2,906,993 Microchip Technology Incorporated, 2.67%, 9/1/2023 2,334,000 2,338,250 2,441,047 Microchip Technology Incorporated, 4.25%, 9/1/2025 1,829,000 1,829,000 1,934,978 MSCI Inc., 3.625%, 9/1/2030 1,252,000 1,255,585 1,308,340 MSCI Inc., 3.875%, 2/15/2031 1,732,000 1,732,000 1,831,590 MSCI Inc., 4%, 11/15/2029 159,000 164,565 169,335 Qorvo, Inc., 3.375%, 4/1/2031 2,083,000 2,087,660 2,150,698 VMware, Inc., 4.5%, 5/15/2025 1,724,000 1,723,121 1,973,076 VMware, Inc., 4.65%, 5/15/2027 1,935,000 1,934,052 2,264,254 Total Technology 35,364,683 38,477,194
Utilities - 0.8% AEP Transmission Company, LLC, 3.65%, 4/1/2050 1,050,000 1,061,171 1,273,015 Ameren Corporation, 3.5%, 1/15/2031 3,926,000 3,931,061 4,529,638 Black Hills Corporation, 2.5%, 6/15/2030 628,000 625,852 659,572 Dominion Energy, Inc., 3.375%, 4/1/2030 2,184,000 2,162,051 2,487,783 East Ohio Gas Company/The, 2%, 6/15/2030 234,000 233,284 242,526 NextEra Energy Capital Holdings, Inc., 2.75%, 5/1/2025 956,000 954,642 1,034,228 NRG Energy, Inc., 3.375%, 2/15/2029 1,661,000 1,667,549 1,700,532 NRG Energy, Inc., 3.625%, 2/15/2031 1,875,000 1,878,321 1,929,000 NRG Energy, Inc., 6.625%, 1/15/2027 1,709,000 1,835,486 1,804,772 NRG Energy, Inc., 7.25%, 5/15/2026 1,519,000 1,671,189 1,602,545 PPL WEM Ltd, 5.375%, 5/1/2021 686,000 708,309 688,472 Total Utilities 16,728,915 17,952,083 Total Corporate Bonds 419,658,242 454,885,399
Mortgage-Backed Securities - 5.6% CCO Holdings, LLC/CCO Holdings Capital Corp. Pool QA8274, 3.5%, 3/1/2050 53,849 56,221 57,198 Fannie Mae Pool 323282, 7.5%, 7/1/2028 ^ 8,039 8,789 8,958 Fannie Mae Pool 995757, 6%, 2/1/2037 ^ 32,743 37,023 39,117 Fannie Mae Pool AB7563, 3%, 1/1/2043 107,569 110,628 114,678 Fannie Mae Pool AL5310, 3.5%, 4/1/2044 ^ 466,696 477,849 515,444
See Notes to the Financial Statements. 16 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 5.6% (continued) Fannie Mae Pool AL5887, 4.5%, 10/1/2044 ^ 317,279 $ 337,769 $ 359,383 Fannie Mae Pool AL5942, 5%, 7/1/2044 ^ 29,572 31,994 33,385 Fannie Mae Pool AL6542, 4.5%, 3/1/2045 ^ 484,537 515,818 548,944 Fannie Mae Pool AL6997, 4.5%, 11/1/2042 ^ 123,970 131,624 139,132 Fannie Mae Pool AL7381, 4.5%, 6/1/2045 ^ 292,180 307,215 326,618 Fannie Mae Pool AL7848, 3.5%, 12/1/2045 ^ 300,086 307,262 331,448 Fannie Mae Pool AS7587, 3.5%, 7/1/2046 539,229 551,306 589,532 Fannie Mae Pool AT2957, 3%, 5/1/2043 261,556 261,773 283,714 Fannie Mae Pool BA4752, 3%, 1/1/2046 46,092 45,973 48,386 Fannie Mae Pool BF0130, 3.5%, 8/1/2056 1,785,229 1,806,725 1,962,344 Fannie Mae Pool BF0167, 3%, 2/1/2057 1,633,866 1,633,682 1,775,286 Fannie Mae Pool BF0189, 3%, 6/1/2057 28,725 29,847 31,203 Fannie Mae Pool BH1902, 3.5%, 12/1/2047 88,935 91,159 98,135 Fannie Mae Pool BH3892, 3.5%, 8/1/2047 239,390 243,203 254,853 Fannie Mae Pool BJ1692, 3.5%, 12/1/2047 863,176 879,492 932,104 Fannie Mae Pool BJ4558, 3.5%, 1/1/2048 622,489 634,622 672,073 Fannie Mae Pool BJ4559, 3.5%, 1/1/2048 603,794 615,432 646,847 Fannie Mae Pool BJ4566, 4%, 1/1/2048 1,989,130 2,062,929 2,174,910 Fannie Mae Pool BJ4567, 4%, 1/1/2048 883,739 915,208 958,257 Fannie Mae Pool BJ5170, 3.5%, 3/1/2048 78,137 80,090 85,999 Fannie Mae Pool BJ8459, 3%, 8/1/2049 542,833 557,421 589,303 Fannie Mae Pool BJ9181, 5%, 5/1/2048 460,571 495,977 511,193 Fannie Mae Pool BK1964, 4%, 3/1/2048 751,051 778,722 818,010 Fannie Mae Pool BK1975, 3.5%, 3/1/2048 401,526 409,353 431,042 Fannie Mae Pool BK4157, 4%, 5/1/2048 37,804 39,022 39,022 Fannie Mae Pool BM3282, 3.5%, 12/1/2047 ^ 48,569 49,783 53,846 Fannie Mae Pool BM3511, 4.5%, 2/1/2046 ^ 699,571 739,247 784,367 Fannie Mae Pool BM3912, 3%, 3/1/2047 ^ 1,040,046 1,037,419 1,122,100 Fannie Mae Pool BM4735, 3.5%, 4/1/2048 ^ 797,770 814,613 880,406 Fannie Mae Pool BM4896, 3%, 2/1/2047 ^ 10,525,902 10,841,267 11,191,279 Fannie Mae Pool BM5138, 3.5%, 11/1/2048 ^ 1,337,279 1,370,847 1,475,803 Fannie Mae Pool BN4541, 4%, 2/1/2049 388,548 402,750 415,021 Fannie Mae Pool BN5286, 4%, 2/1/2049 7,823 8,218 8,639 Fannie Mae Pool BO2983, 3%, 9/1/2049 97,234 99,813 103,353 Fannie Mae Pool BO3223, 3%, 10/1/2034 267,131 275,604 285,612 Fannie Mae Pool BO4725, 2.5%, 11/1/2034 615,706 625,510 656,762 Fannie Mae Pool BO5957, 3%, 12/1/2034 71,809 74,507 77,437 Fannie Mae Pool BO7225, 2.5%, 1/1/2050 224,492 223,562 239,014 Fannie Mae Pool BO7717, 3%, 11/1/2034 70,088 72,750 75,553 Fannie Mae Pool BQ4952, 2.5%, 10/1/2050 446,854 468,848 474,305 Fannie Mae Pool CA0108, 3.5%, 8/1/2047 171,245 175,442 189,853 See Notes to the Financial Statements. 17 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 5.6% (continued) Fannie Mae Pool FM0029, 3%, 9/1/2046 ^ 3,125,702 $ 3,218,496 $ 3,328,786 Fannie Mae Pool FM1036, 3%, 5/1/2043 ^ 1,035,937 1,085,306 1,096,986 Fannie Mae Pool FM2868, 3.5%, 7/1/2047 ^ 219,527 235,477 234,405 Fannie Mae Pool FM2915, 3%, 11/1/2048 ^ 526,596 554,982 551,020 Fannie Mae Pool FM3107, 3.5%, 3/1/2047 ^ 264,589 283,937 282,438 Fannie Mae Pool FM3857, 3.5%, 7/1/2048 ^ 6,473,853 6,935,115 6,929,324 Fannie Mae Pool MA1363, 3%, 2/1/2043 33,589 33,618 36,418 Fannie Mae Pool MA2471, 3.5%, 12/1/2045 308,314 330,860 330,437 Fannie Mae Pool MA3211, 4%, 12/1/2047 8,646 9,172 9,172 Fannie Mae Pool MA3239, 4%, 1/1/2048 6,989 7,225 7,225 Fannie Mae TBA 15 YR Single Family Mortgage, 1.5%, 1/16/2036 629,879 645,306 648,086 Fannie Mae TBA 15 YR Single Family Mortgage, 2%, 1/16/2036 3,838,649 3,997,143 4,013,188 Fannie Mae TBA 15 YR Single Family Mortgage, 2.5%, 1/16/2036 1,718,300 1,791,798 1,792,133 Fannie Mae TBA 30 YR Single Family Mortgage, 2%, 1/14/2051 11,780,700 12,185,068 12,237,662 Fannie Mae TBA 30 YR Single Family Mortgage, 2.5%, 1/14/2051 9,854,617 10,301,154 10,388,152 Freddie Mac Gold Pool U99186, 3.5%, 1/1/2047 174,454 187,619 188,614 Freddie Mac Pool QA0743, 3%, 4/1/2047 97,462 102,716 101,997 Freddie Mac Pool QA1818, 3%, 8/1/2049 479,743 492,598 514,219 Freddie Mac Pool QA2159, 3%, 8/1/2049 151,293 155,820 162,797 Freddie Mac Pool QA3225, 3%, 10/1/2049 266,133 270,664 279,493 Freddie Mac Pool QA4841, 3%, 11/1/2049 295,931 301,234 310,643 Freddie Mac Pool QA4865, 3%, 11/1/2049 586,700 597,926 616,218 Freddie Mac Pool QA4936, 3%, 12/1/2049 293,839 299,462 308,585 Freddie Mac Pool QA5622, 3%, 12/1/2049 288,006 292,416 302,449 Freddie Mac Pool QA5698, 3%, 12/1/2049 482,735 490,127 507,192 Freddie Mac Pool QA6378, 2.5%, 1/1/2050 94,753 94,368 100,882 Freddie Mac Pool QA7442, 3%, 3/1/2050 169,426 173,416 177,678 Freddie Mac Pool QN0783, 3%, 10/1/2034 203,316 209,797 217,687 Freddie Mac Pool QN0786, 3%, 10/1/2034 487,290 503,812 524,529 Freddie Mac Pool QN0951, 2.5%, 11/1/2034 518,022 526,341 552,871 Freddie Mac Pool SB0040, 2.5%, 12/1/2033 2,511,797 2,555,251 2,625,012 Freddie Mac Pool SB0116, 2.5%, 11/1/2034 542,671 553,355 579,020 Freddie Mac Pool ZA3583, 3.5%, 7/1/2042 76,474 80,886 83,020 Freddie Mac Pool ZA3585, 3.5%, 8/1/2042 82,743 87,516 89,826 Freddie Mac Pool ZA4718, 3%, 10/1/2046 1,207,042 1,203,142 1,290,640 Freddie Mac Pool ZK8962, 3%, 9/1/2032 459,766 475,228 493,557 Freddie Mac Pool ZK9009, 3%, 10/1/2032 201,557 208,328 211,676 Freddie Mac Pool ZK9163, 3%, 1/1/2033 254,644 263,218 273,346 Freddie Mac Pool ZM1434, 3.5%, 7/1/2046 514,384 524,335 551,352 Freddie Mac Pool ZM1474, 3%, 8/1/2046 78,055 82,272 82,173 Freddie Mac Pool ZM4305, 3.5%, 9/1/2047 868,461 882,545 922,869 See Notes to the Financial Statements. 18 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 5.6% (continued) Freddie Mac Pool ZM4939, 3.5%, 11/1/2047 741,315 $ 754,140 $ 795,488 Freddie Mac Pool ZM5228, 3.5%, 12/1/2047 578,332 589,646 624,446 Freddie Mac Pool ZM5705, 3.5%, 2/1/2048 630,802 642,391 676,787 Freddie Mac Pool ZM5707, 3.5%, 2/1/2048 501,423 510,408 539,497 Freddie Mac Pool ZM5945, 4%, 3/1/2048 626,042 649,425 685,978 Freddie Mac Pool ZM6220, 4%, 4/1/2048 980,739 1,011,518 1,048,133 Freddie Mac Pool ZM6276, 4%, 4/1/2048 577,517 598,226 625,005 Freddie Mac Pool ZM6427, 4%, 5/1/2048 1,110,242 1,145,304 1,187,633 Freddie Mac Pool ZM7926, 5%, 9/1/2048 71,386 75,589 79,015 Freddie Mac Pool ZM9344, 3%, 6/1/2043 76,760 78,843 79,405 Freddie Mac Pool ZN0443, 3.5%, 8/1/2042 99,251 104,974 108,323 Freddie Mac Pool ZN0638, 3.5%, 2/1/2043 357,075 363,613 390,151 Freddie Mac Pool ZN2165, 4.5%, 12/1/2048 482,435 509,912 541,190 Freddie Mac Pool ZS3695, 6%, 4/1/2040 572,322 647,799 678,551 Freddie Mac Pool ZS4598, 3%, 1/1/2045 653,223 652,630 689,180 Freddie Mac Pool ZS7403, 3%, 5/1/2031 2,010,948 2,074,584 2,131,196 Freddie Mac Pool ZS9775, 3.5%, 7/1/2046 1,046,371 1,069,864 1,149,518 Freddie Mac Pool ZT0337, 3.5%, 12/1/2044 2,382,516 2,433,389 2,588,408 Freddie Mac Pool ZT0534, 3.5%, 12/1/2047 1,353,910 1,384,618 1,479,332 Freddie Mac Pool ZT1145, 4.5%, 5/1/2044 12,811 13,527 14,318 Freddie Mac Pool ZT1159, 3.5%, 2/1/2044 360,048 366,624 393,177 Freddie Mac Pool ZT1167, 4%, 4/1/2045 5,377 5,568 5,861 Freddie Mac Pool ZT1633, 4%, 3/1/2047 224,540 233,221 245,545 Ginnie Mae I Pool 625655, 6%, 1/15/2034 10,604 11,851 12,457 Ginnie Mae I Pool 784059, 4%, 1/15/2045 2,017,184 2,097,496 2,181,916 Ginnie Mae I Pool 784182, 4.5%, 8/15/2046 2,504,865 2,642,195 2,792,385 Ginnie Mae I Pool BB4357, 4%, 7/15/2047 691,558 717,710 737,805 Ginnie Mae I Pool BC7161, 4%, 8/15/2047 141,407 146,743 153,632 Ginnie Mae I Pool BD7109, 4%, 11/15/2047 268,541 278,984 292,284 Ginnie Mae I Pool BD7135, 4%, 12/15/2047 315,173 327,427 338,415 Ginnie Mae II Pool 625655, 2%, 1/21/2051 1,243,469 1,295,685 1,300,348 Ginnie Mae II Pool 784059, 2.5%, 1/21/2051 7,565,700 7,943,985 8,009,003 Ginnie Mae II Pool BB9814, 4%, 8/20/2047 66,497 69,113 73,641 Ginnie Mae II Pool BB9817, 4%, 8/20/2047 242,742 252,172 263,121 Ginnie Mae II Pool BB9835, 4%, 8/20/2047 36,399 38,057 39,675 Ginnie Mae II Pool BH3672, 4.5%, 5/20/2048 143,825 151,694 155,317 Ginnie Mae II Pool BH3673, 4.5%, 5/20/2048 1,207,086 1,273,027 1,306,557 Ginnie Mae II Pool MA5021, 4.5%, 2/20/2048 424,092 448,676 461,495 Ginnie Mae II Pool MA5192, 4%, 5/20/2048 501,261 522,799 539,197 Ginnie Mae II Pool MA5264, 4%, 6/20/2048 3,143,897 3,280,214 3,377,821
See Notes to the Financial Statements. 19 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Schedule of Investments (continued) December 31, 2020
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 5.6% (continued) Ginnie Mae II Pool MA5400, 5%, 8/20/2048 1,175,952 $ 1,288,770 $ 1,286,049 Ginnie Mae II Pool MA5876, 4%, 4/20/2049 453,644 1,248,752 485,193 Total Mortgage-Backed Securities 124,914,520 127,926,093
Preferred Stocks - 0.3% First Republic Bank, 4.125% 102,000 2,550,000 2,696,880 Truist Financial Corporation, 4.75% 117,475 2,936,875 3,250,533 Total Preferred Stocks 5,486,875 5,947,413
Real Estate Investment Trust - 0.3% Financials - 0.3% Crown Castle International Corp. 44,575 6,068,095 7,095,894 Total Real Estate Investment Trust 6,068,095 7,095,894
U.S. Treasury Bonds and Notes - 5.1% U.S. Treasury Bond, 0.125%, 10/15/2025 24,434,708 26,163,643 26,566,700 U.S. Treasury Bond, 1.125%, 5/15/2040 1,347,000 1,291,697 1,278,808 U.S. Treasury Bond, 1.25%, 5/15/2050 30,026,100 28,567,233 27,239,303 U.S. Treasury Bond, 1.375%, 8/15/2050 16,971,700 15,888,216 15,895,058 U.S. Treasury Bond, 1.375%, 11/15/2040 2,705,000 2,677,210 2,674,569 U.S. Treasury Bond, 2.75%, 8/15/2042 12,056,000 13,358,795 14,946,614 U.S. Treasury Note, 0.375%, 11/30/2025 4,400,000 4,402,234 4,406,188 U.S. Treasury Note, 0.875%, 11/15/2030 8,713,800 8,706,625 8,685,208 U.S. Treasury Note, 1.125%, 2/28/2022 14,844,800 15,035,900 15,019,922 Total U.S. Treasury Bonds and Notes 116,091,553 116,712,370
Money Market Fund - 2.5% State Street Institutional Treasury Bond Plus Money Market Fund - Premier Class 56,593,080 56,593,080 56,593,080 Total Investments - 101.2% $ 1,866,566,770 2,320,479,668 Other Assets and Liabilities, Net - (1.2%) (27,946,449) Net Assets - 100% $ 2,292,533,219
^ Variable rate * Perpetual bonds
See Notes to the Financial Statements. 20 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
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
Asset-Backed Securities $ - $ 39,329,980 $ - $ 39,329,980 Collaterized Mortgage Obligations - 87,596,254 - 87,596,254 Common Stocks 1,424,393,185 - - 1,424,393,185 Corporate Bonds - 454,885,399 - 454,885,399 Mortgage-Backed Securities - 127,926,093 - 127,926,093 Preferred Stocks 5,947,413 - - 5,947,413 Real Estate Investment Trust 7,095,894 - - 7,095,894 U.S. Treasury Bonds and Notes - 116,712,370 - 116,712,370 Money Market Fund 56,593,080 - - 56,593,080 Total $ 1,494,029,572 $ 826,450,096 $ - $ 2,320,479,668
Concentration of Ownership: As of December 31, 2020, the Fund had one unaffiliated plan holding 10% or more of the outstanding units of the Fund, representing 100% of the total outstanding units.
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 $ 12,982,104,521 $ 13,012,561,763 $ (27,180,543)
See Notes to the Financial Statements. 21 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Statement of Assets and Liabilities December 31, 2020 Assets Investments in securities, at fair value (cost $1,866,566,770) $ 2,320,479,668 Cash and cash equivalents 85,297 Receivable for fund units sold 7,061,938 Dividends and interest receivable 6,264,271 Receivable for reimbursement 155,716 Receivable for investment securities sold 1,005 Miscellaneous receivable 1,311 Total assets 2,334,049,206 Liabilities and Net Assets Payable for investment securities purchased 39,579,553 Accrued expenses 1,936,434 Total liabilities 41,515,987 Net assets $ 2,292,533,219
Statement of Operations For the year ended December 31, 2020 Investment income Interest $ 25,829,161 Dividends 20,412,130 Miscellaneous income 4,518 Total investment income 46,245,809 Expenses Trustee and sub-advisor fees 7,110,088 Professional services and other operating expenses 12,810 Expense reimbursement from sub-advisor (575,479) Total expenses 6,547,419 Net investment income 39,698,390 Net realized loss on: Investments (27,180,543) Foreign currency transactions (16,233) Net change in unrealized appreciation on: Investments 275,329,211 Foreign currency translation 4,096 Net realized and unrealized gain on investments and foreign currency transactions and translation 248,136,531 Net increase in net assets resulting from operations $ 287,834,921
See Notes to the Financial Statements. 22 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Statement of Changes in Net Assets For the year ended December 31, 2020 Increase in net assets resulting from operations Net investment income $ 39,698,390 Net realized loss on investments and foreign currency transactions (27,196,776) Net change in unrealized appreciation on investments and foreign currency transactions and translation 275,333,307 Net increase in net assets resulting from operations 287,834,921 Fund unit transactions Proceeds from units issued - Class I 224,074,128 Value of units redeemed - Class I (247,815,455) Decrease in net assets resulting from fund unit transactions (23,741,327) Increase in net assets 264,093,594 Net assets, beginning of year 2,028,439,625 Net assets, end of year $ 2,292,533,219
See Notes to the Financial Statements. 23 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Financial Highlights For the year ended December 31, 2020 Per Unit Operating Performance Class I Net asset value, beginning of year $ 37.83 Income from investment operations: (1) Net investment income 0.75 Net realized and unrealized gain on investments (1) and foreign currency transactions and translation 4.73 Total income from investment operations 5.48 Net asset value, end of year $ 43.31 Total Return 14.49% Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.35% Net expenses 0.32% Net investment income 1.94% Fund Unit Activity Units, beginning of year 53,624,133 Issued 5,861,863 Redeemed (6,556,041) Units, end of year 52,929,955
(1) Based on average units outstanding.
See Notes to the Financial Statements. 24 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
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 the Janus Henderson Balanced Collective Fund (the "Fund") and also serves as the investment manager (the "Investment Manager") to the Fund. 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 Fund.
The purpose of the Trust is to allow collective investments by plan sponsors of retirement plans which qualify for exemption from federal income taxation pursuant to Section 501(a) of the Code, by reason of qualifying under Section 401(a) of the Code; tax-exempt governmental plans under Section 414(d) or Section 818(a)(6) of the Code; eligible deferred compensation plans under Section 457(b) of the Code established by a government employer; group trusts or separate accounts consisting solely of assets of the foregoing; and other investors eligible for participation in the Trust. The Trust consists of separate funds with differing investment objectives, which are available for investment by participating plans. An eligible plan may join the Trust, subject to the Trustee's acceptance, and become a participating plan by executing participation documents specified by the Trustee. Not all funds within the Trust are presented herein.
The investment objective of the Fund is to seek long-term capital growth, consistent with preservation of capital and balanced by current income. WTNA has engaged Janus Capital Management LLC (the "Sub-Advisor") to provide investment advice and recommendations with respect to investment of the Fund's assets. While the Trustee generally relies on the Sub-Advisor to manage the Fund's assets, the Trustee maintains ultimate fiduciary authority over the management of and investments made in the Fund. The Sub-Advisor is engaged pursuant to a sub-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 Fund is an investment company and follows the accounting and reporting guidance in Financial Accounting Standards Board Accounting Standards Codification Topic No. 946.
Net Asset Value ("NAV") – Units of each fee class of the Fund are valued each day on which the New York Stock Exchange ("NYSE") is open for trading in accordance with the valuation procedures established by the Trustee. The NAV per unit is calculated as of the close of trading on the NYSE (generally, 4:00 p.m. U.S. Eastern time). The NAV per unit is computed by dividing the total fair value of the assets of a Fund, less its liabilities, by the total number of units outstanding at the time of such computation. Investment income earned is reinvested in the Fund and included in the determination of unit values.
25 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Notes to the Financial Statements (continued)
December 31, 2020
Fund Unit Transactions – The Fund sells new units and repurchases outstanding units on a daily basis. Unit purchases and redemptions are transacted at the NAV per fee class of the Fund determined as of the close of business each day. A summary of the Fund unit activity for the Fund is included with its Financial Highlights.
The Fund requires the plan sponsor to provide advance written notice of five business days for plan sponsor directed withdrawals which will exceed $1 million of the assets invested in the 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, other than bonds, listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the closing price on the primary exchange or market on which they are traded on the day of valuation or, if there is no such reported sale on the valuation date, at the most recent bid quotation on the principal exchange. If a market price is not readily available or if such price is deemed unreliable, it will be valued at fair value in accordance with valuation procedures established by the Trustee. The Trustee's determination of fair value involves consideration of a number of subjective factors, and therefore, no single standard for determining fair value will apply.
Corporate Bonds – The fair value of corporate bonds is estimated using various techniques, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (when observable), and other industry recognized techniques. Although most corporate bonds are categorized in level 2 of the fair value hierarchy, in instances when lower relative weight is placed on transaction prices, quotations, or other similar observable inputs, they are categorized in level 3.
Mortgage-Backed Securities and Other Asset-Backed Securities – The Fund 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 Fund 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 Fund 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 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
26 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Notes to the Financial Statements (continued)
December 31, 2020
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.
When the valuation methods described above are not reflective of fair value, investments are valued at fair value following procedures and/or guidelines determined by or under the direction of the valuation committee established by the Trustee. In light of the judgment involved in fair value decisions, there can be no assurance that a fair value assigned to a particular investment is accurate.
Cash and Cash Equivalents – The Fund considers all highly liquid instruments with original maturities of three months or less at the acquisition date to be cash equivalents.
Investment Transactions and Investment Income – The Fund records security transactions on a trade date basis. Dividend income is recorded on the ex-dividend date. Net realized gains and losses on investments are determined by the first-in, first-out method. Interest income and expenses are recorded daily on the accrual basis.
Use of Estimates – The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
Guarantees and Indemnifications – Under the Fund's organizational documents, each trustee, officer, employee and agent of the Trust is indemnified, to the extent permitted by law, against certain liabilities that may arise in the performance of their duties to the Fund.
Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote.
Income Tax Status – The Trust has received a determination from the Internal Revenue Service that the Trust is exempt from federal income taxation under Section 501(a) of the Code. Accordingly, no federal income tax provision is required.
Subsequent Events – The Trustee has evaluated the effect of subsequent events on the Fund's financial statements through April 30, 2021, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events, except as noted below, that would require disclosure or adjustment in the Fund's financial statements through this date.
Effective March 22, 2021, the Trustee has engaged The Northern Trust Company as the Custodian of the Fund. The Northern Trust Company will also provide transfer agent, recordkeeping and accounting services.
27 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Notes to the Financial Statements (continued)
December 31, 2020
Note 3 – Fair Value Measurements
Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.
Various inputs are used in determining the fair value of the Fund's investments. The Trustee has performed an analysis of the significance and character of these inputs to the fair value determination. These inputs are summarized in the three broad levels listed below:
• Level 1 – Quoted prices in active markets for identical 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).
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 the Fund, by input level used as of December 31, 2020, is included following the Fund's Schedule of Investments.
Note 4 – 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.
Fee Class Trustee Fee Sub-Advisor Fee
Class I 4.25 30.5
Trustee Fee – The Trustee receives an annual fee for trustee and administrative services provided to the Fund. Trustee fees are based upon the average daily value of the Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Fund.
Sub-Advisor Fee – The Sub-Advisor is compensated for its investment advisory services provided to the 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, the Fund bears expenses related to its operation, including, but not limited to, audit, custody, tax and legal services. Expenses incurred in connection with the investment and reinvestment of Fund assets, including, without limitation, transfer agency fees, brokerage commission and other expenses, are also charged against the Fund. The Sub-Advisor has agreed to cap total expenses to 32 basis points. Any amounts in excess of the cap will be reimbursed by the Sub-Advisor. This may be discontinued at any time.
28 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Notes to the Financial Statements (continued)
December 31, 2020
When assets of the Fund are invested in other investment vehicles, such as other collective funds or Exchange- Traded Funds, those investment vehicles will incur fees and expenses, which will be reflected in the operating results and value of the Fund's investment in such investment vehicle, and are separate and distinct from the fees and expenses of the Fund described above.
Note 5 – Related Party Transactions
The Trustee is a national bank that provides trust and custodial services for tax-advantaged retirement plans as well as trust and investment services to business pension and retirement plans. The Trustee is responsible for managing the Trust's investment and business affairs.
Note 6 – Risks Associated with Investing in the Fund
In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the fair value of the investments. The principal risks associated with investing in the Fund are:
• Active Management. The Fund is actively managed and subject to the risk that the sub-advisor's usage of investment techniques and risk analyses to make investment decisions fails to perform as expected, which may cause the Fund to lose value or underperform investments with similar objectives and strategies or the market in general.
• 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.
• Cash Drag. The Fund may fail to meet its investment objective because of positions in cash and equivalents.
• Equity Securities. The value of equity securities, which include common, preferred, and convertible preferred stocks, will fluctuate based on changes in their issuers' financial conditions, as well as overall market and economic conditions, and can decline in the event of deteriorating issuer, market, or economic conditions.
• Foreign Securities. Investments in foreign securities may be subject to increased volatility as the value of these securities can change more rapidly and extremely than the value of U.S. securities. Factors that increase the risk of investing in foreign securities include but are not limited to the following: less public information about issuers of non-U.S. securities; less governmental regulation and supervision over the issuance and trading of securities, the unavailability of financial information regarding the non-U.S. issuer or
29 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Notes to the Financial Statements (continued)
December 31, 2020
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.
• 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.
• Interest Rate. Securities are subject to the risk that changes in interest rates will reduce their market value.
• 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.
• Large Cap. Concentrating assets in large-capitalization stocks may subject the Fund to the risk that those stocks underperform other capitalizations or the market as a whole. Large-cap companies may be unable to respond as quickly as small- and mid-cap companies can to new competitive pressures and may lack the growth potential of those securities. Historically, large-cap companies do not recover as quickly as smaller companies do from market declines.
• Leverage. Leverage transactions may increase volatility and result in a significant loss of value if a transaction fails. Because leverage usually involves investment exposure that exceeds the initial investment, the resulting gain or loss from a relatively small change in an underlying indicator will be disproportionately magnified.
• 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.
• 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.
30 Wilmington Trust Collective Investment Trust
Janus Henderson Balanced Collective Fund
Notes to the Financial Statements (continued)
December 31, 2020
• 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.
• 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.
• 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.
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