WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST
FUNDS SUB-ADVISED BY FRANKLIN ADVISERS, INC.
FINANCIAL STATEMENTS
DECEMBER 31, 2019
WITH
INDEPENDENT AUDITOR'S REPORT
Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
CONTENTS
Independent Auditor's Report ...... 1
Fund Index ...... 3
Wilmington Trust Franklin DynaTech CIT ...... 4
Wilmington Trust Franklin Growth CIT ...... 13
Wilmington Trust Franklin Real Estate Securities CIT ...... 21
Wilmington Trust Franklin Templeton Global Bond Plus Trust ...... 27
Wilmington Trust Franklin U.S. Aggregate Bond CIT ...... 31
Notes to the Financial Statements...... 41
INDEPENDENT AUDITOR'S REPORT
Wilmingt on Trust, N.A, Trustee for Wilmington Trust Collective Investment Trust
Report on the Financial Statements
We have audited the accompanying financial statements of funds sub-advised by Franklin Advisers, Inc. of Wilmington Trust Collective Investment Trust (the "Trust"), comprising the funds (the "Funds") included on the Fund Index on page 3, which comprise the statement of assets and liabilities, including the schedules of investments, as of December 31, 2019, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended, or for the period then ended for inception dates in 2019, and the related notes to the fi nancial statements. These financial statements and financial highlights are hereinafter collectively referred to as financial statements.
Management's Responsibility for the Financial Statements
Manageme nt 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.
Audito r's Responsibility
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. 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, t he 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 expre ssing 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 s tatements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Opinion
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, and the results of its operations, and changes in its net assets and its financial highlights for the year then ended, or for the period then ended for inception dates in 2019, 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 of the Fund as a whole. The supplementary information on investments purchased and sold for the year ended December 31, 2019, or for the period then ended for inception dates in 2019, following the schedule of investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole.
Tulsa, Oklahoma April 29, 2020
2
Franklin Advisers, Inc.
Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
FUND INDEX
FUND NAME FUND OBJECTIVE
Wilmington Trust Franklin DynaTech CIT The Fund seeks capital appreciation by investing primarily in companies that the Sub-Advisor believes are leaders in innovation, take advantage of new tech- nologies, have superior management and benefit from new industry conditions in the dynamically changing global economy. Its benchmark is the Russell 1000 Growth Index.
Wilmington Trust Franklin Growth CIT The Fund seeks long-term capital appreciation by utilizing fundamental, bottom- up research and investing in companies that are believed to produce sustainable earnings and cash flow growth.
Wilmington Trust Franklin Real Estate The Fund seeks to maximize total investment return consisting of income and Securities CIT capital appreciation by investing in equity securities of companies operating in the real estate industry predominately in the United States, including companies qualifying under federal tax law as real estate investment trusts (REITs).
Wilmington Trust Franklin Templeton The Fund invests solely in the Franklin Templeton Global Bond Plus Trust which Global Bond Plus Trust seeks to maximize total investment return consisting of a combination of interest income, capital appreciation and currency gains.
Wilmington Trust Franklin U.S. Aggregate The Fund seeks to provide high current income consistent with preservation of Bond CIT capital. Capital appreciation over the long term is a secondary goal.
See Notes to the Financial Statements. 3 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Schedule of Investments December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 93.2% Communications - 18.2% Adevinta ASA 814 $ 9,331 $ 9,634 Alphabet Inc. Class A 158 194,227 211,624 Alphabet Inc. Class C 51 62,559 68,188 Amazon.com, Inc. 277 486,280 511,852 Booking Holdings Inc. 16 32,084 32,860 Charter Communications, Inc. Class A 45 20,730 21,829 Delivery Hero SE 284 12,892 22,494 Facebook, Inc. Class A 617 115,217 126,639 Liberty Broadband Corporation Class A 614 67,504 76,480 Match Group, Inc. 617 45,100 50,662 MercadoLibre, Inc. 165 89,717 94,370 Motorola Solutions Inc. 9 1,505 1,450 Netflix, Inc. 82 22,789 26,533 Okta, Inc. 244 25,774 28,150 Tencent Holdings Limited 1,838 74,979 88,600 Zendesk, Inc. 538 38,614 41,227 Total Communications 1,299,302 1,412,592
Consumer, Cyclical - 0.3% Chewy, Inc. Class A 15 349 435 Nike, Inc. Class B 193 17,806 19,553 Zalando Se 48 2,119 2,434 Total Consumer, Cyclical 20,274 22,422
Consumer, Non-cylical - 6.0% Adyen NV 82 55,109 67,285 Alcon, Inc. 220 12,797 12,445 Bright Horizons Family Solutions 285 43,024 42,833 CoStar Group, Inc. 131 75,887 78,377 Moody's Corporation 277 58,502 65,763 PayPal Holdings, Inc. 953 98,202 103,086 TransUnion 412 33,726 35,271 Verisk Analytics, Inc. 413 62,649 61,677 Total Consumer, Non-cyclical 439,896 466,737
Financials - 7.2% AssetMark Financial Holdings, Inc. 166 4,413 4,817 CME Group, Inc. 156 32,506 31,312
See Notes to the Financial Statements. 4 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 93.2% (continued) Financials - 7.2% (continued) Intercontinental Exchange, Inc. 791 $ 73,772 $ 73,207 Mastercard Inc., Class A 788 216,130 235,289 Tradeweb Markets Inc. Class A 536 21,450 24,844 Visa Inc. Class A 1,022 180,329 192,034 Total Financials 528,600 561,503
Health Care - 18.0% 10x Genomics, Inc. Class A 27 1,393 2,059 Abbott Laboratories 1,031 85,128 89,553 AstraZeneca PLC 690 63,594 69,534 Baxter International, Inc. 125 10,245 10,453 Becton, Dickinson and Company 199 50,254 54,122 Catalent, Inc. 119 5,705 6,700 CRISPR Therapeutics AG 23 1,550 1,401 Danaher Corporation 792 111,214 121,556 Deciphera Pharmaceuticals, Inc. 155 8,655 9,647 Edwards Lifesciences Corporation 369 83,231 86,084 Elanco Animal Health Inc. 826 21,889 24,326 Evotec SE 231 5,112 5,977 Guardant Health, Inc. 84 5,494 6,564 Idexx Laboratories, Inc. 410 113,083 107,063 Illumina Inc. 198 58,762 65,685 Inspire Medical Systems, Inc. 446 26,570 33,098 Intuitive Surgical Inc. 135 72,791 79,805 Iovance Biotherapeutics, Inc. 167 4,050 4,623 IQVIA Holdings Inc. 248 35,845 38,318 MERCK Kommanditgesellschaft auf Aktien 411 47,524 48,603 Neurocrine Biosciences, Inc. 415 40,143 44,608 PTC Therapeutics, Inc. 79 3,903 3,794 Reata Pharmaceuticals, Inc. 59 12,787 12,061 Repligen Corporation 101 8,753 9,343 ResMed Inc. 282 39,650 43,702 Siemens Healthineers AG 446 18,991 21,437 Steris PLC 203 29,474 30,941 Stryker Corporation 395 84,387 82,926 Thermo Fisher Scientific Inc. 247 72,630 80,243 uniQure NV 52 3,550 3,726
See Notes to the Financial Statements. 5 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 93.2% (continued) Health Care - 18.0% (continued) UnitedHealth Group, Inc. 163 $ 37,581 $ 47,919 Veeva Systems Inc. Class A 791 118,650 111,262 Waters Corporation 82 17,785 19,159 Zoetis, Inc. 165 20,474 21,838 Total Health Care 1,320,847 1,398,130
Industrials - 7.3% Amphenol Corporation Class A 673 65,489 72,839 The Boeing Company 238 85,659 77,531 Fortive Corporation 817 55,180 62,411 HEICO Corporation 754 92,237 86,069 Keyence Corporation 82 26,421 29,042 Keysight Technologies Inc. 592 58,619 60,757 Raytheon Company 395 79,739 86,797 Roper Technologies Inc. 204 69,682 72,263 Total Industrials 533,026 547,709
Technology - 36.2% Adobe Inc. 393 107,968 129,615 Afterpay Limited 35 768 720 Alteryx, Inc. Class A 469 47,561 46,933 Analog Devices, Inc. 536 57,850 63,698 Anaplan, Inc. 435 20,823 22,794 Ansys, Inc. 308 68,247 79,282 Apple Inc. 327 76,798 96,024 ASML Holding NV 165 41,722 48,830 Aspen Technology, Inc. 470 56,088 56,837 Atlassian Corporation PLC Class A 411 50,796 49,460 Autodesk, Inc. 392 57,135 71,916 Avalara, Inc. 20 1,493 1,465 Bill.com Holdings, Inc. 100 2,200 3,805 Cadence Design Systems, Inc. 592 38,807 41,061 Constellation Software Inc. 41 40,767 39,875 Coupa Software Inc. 410 55,814 59,963 DocuSign, Inc. 42 3,109 3,113 EPAM Systems, Inc. 91 18,571 19,307 Fiserv, Inc. 488 51,591 56,427 Globant SA 81 8,225 8,590
See Notes to the Financial Statements. 6 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 93.2% (continued) Technology - 36.2% (continued) Guidewire Software, Inc. 397 $ 43,515 $ 43,579 HubSpot, Inc. 393 60,243 62,291 Intel Corporation 658 34,841 39,381 InterXion Holding NV 568 47,602 47,604 Intuit Inc. 393 102,713 102,938 Jack Henry & Associates, Inc. 21 3,080 3,059 KLA-Tencor Corporation 214 34,556 38,128 Lam Research Corporation 287 70,571 83,919 Lightspeed POS Inc. 398 9,792 11,071 Mercury Systems Inc. 103 7,687 7,118 Microsoft Corporation 1,968 276,051 310,354 MongoDB, Inc. 356 44,249 46,853 Monolithic Power Systems, Inc. 369 56,020 65,689 MSCI Inc. 416 93,942 107,403 Network International Holdings PLC 862 5,831 7,320 NVIDIA Corporation 369 68,682 86,826 Paycom Software, Inc. 79 20,931 20,916 Paylocity Holding Corporation 77 9,160 9,303 Q2 Holdings, Inc. 538 39,793 43,621 RingCentral, Inc. Class A 175 24,957 29,517 Salesforce.com, Inc. 821 124,159 133,527 ServiceNow, Inc. 590 147,605 166,569 Shopify Inc. Class A 335 105,331 133,380 Smartsheet Inc. Class A 463 17,581 20,798 Synopsys, Inc. 432 58,887 60,134 Teradyne, Inc. 22 1,529 1,500 Twilio Inc. Class A 160 15,836 15,725 Tyler Technologies Inc. 165 43,774 49,503 Workday Inc. Class A 492 81,756 80,909 Xilinx, Inc. 820 74,670 80,171 Total Technology 2,531,677 2,808,821 Total Common Stocks 6,673,622 7,217,914
Depository Receipts - 1.9% Communications - 1.5% Alibaba Group Holding Limited 550 96,049 116,655
See Notes to the Financial Statements. 7 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Depository Receipts - 1.9% (continued) Technology - 0.4% Sea Limited 809 $ 26,862 $ 32,538 Total Depository Receipts 122,911 149,193
Real Estate Investment Trusts - 3.9% Financials - 3.9% American Tower Corporation 393 86,230 90,319 Crown Castle International Corporation 393 54,238 55,865 Equinix, Inc. 106 59,875 61,872 SBA Communications Corporation 398 94,625 95,914 Total Real Estate Investment Trusts 294,968 303,970
Money Market Fund - 1.1% State Street Institutional U.S. Government Money Market Fund 86,387 86,387 86,387 Total Investments - 100.1% $ 7,177,888 7,757,464 Other Assets and Liabilities, Net - (0.1)% (4,098) Net Assets - 100% $ 7,753,366
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 $ 6,784,439 87.6% China 205,255 2.6% Canada 184,326 2.4% Netherlands 167,445 2.2% Argentina 102,960 1.3% Germany 100,945 1.3% United Kingdom 69,534 0.9% Australia 50,180 0.6% Singapore 32,538 0.4% Japan 29,042 0.4% Switzerland 13,846 0.2% Norway 9,634 0.1% United Arab Emirates 7,320 0.1% Total $ 7,757,464 100.1%
See Notes to the Financial Statements. 8 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Schedule of Investments (continued) December 31, 2019
The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2019 (see Note 3 in Notes to the Financial Statements):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Common Stocks $ 7,217,914 $ - $ - $ 7,217,914 Depository Receipts 149,193 - - 149,193 Real Estate Investment Trusts 303,970 - - 303,970 Money Market Fund 86,387 - - 86,387 Total $ 7,757,464 $ - $ - $ 7,757,464
Supplementary Information: Total investment purchases, sales proceeds, and realized loss for the period ended December 31, 2019, were:
Purchases Sales Realized at Cost Proceeds Loss
Investments $ 7,357,219 $ 255,134 $ (10,584)
See Notes to the Financial Statements. 9 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $7,177,888) $ 7,757,464 Foreign currency, at fair value (cost $6) 6 Dividends and interest receivable 2,090 Foreign tax reclaim receivable 29 Total assets 7,759,589 Liabilities Accrued expenses 6,223 Net assets $ 7,753,366
Statement of Operations For the period from September 30, 2019 (date of inception) to December 31, 2019 Investment income Dividends $ 8,499 Interest 2,586 Total investment income 11,085 Expenses Trustee and sub-advisory fees 6,143 Professional services and other operating expenses 80 Total expenses 6,223 Net investment income 4,862 Realized and unrealized gain (loss) on investments Net realized loss on investments (10,584) Net realized loss on foreign currency transactions (761) Net change in unrealized appreciation on investments 579,576 Net realized and unrealized gain on investments 568,231 Net increase in net assets resulting from operations $ 573,093
See Notes to the Financial Statements. 10 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Statement of Changes in Net Assets For the period from September 30, 2019 (date of inception) to December 31, 2019 Increase (decrease) in net assets resulting from operations Net investment income $ 4,862 Net realized loss on investments and foreign currency transactions (11,345) Net change in unrealized appreciation on investments 579,576 Net increase in net assets resulting from operations 573,093 Fund unit transactions Proceeds from units issued - Class R 7,593,961 Value of units redeemed - Class R (413,688) Increase in net assets resulting from fund unit transactions 7,180,273 Increase in net assets 7,753,366 Net assets, beginning of period - Net assets, end of period $ 7,753,366
See Notes to the Financial Statements. 11 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin DynaTech CIT
Financial Highlights For the period from September 30, 2019 (date of inception) to December 31, 2019 Per Unit Operating Performance Class R Net asset value, at inception $ 10.00 Income from investment operations: Net investment income (1) 0.01 Net realized and unrealized gain on investments (1) 0.90 Total income from investment operations 0.91 Net asset value, end of period $ 10.91 Total Return 9.10% ^ Supplemental Data Ratio to average net assets: Expenses 0.38% # Net investment income 0.30% # Fund Unit Activity Units, beginning of period - Issued 750,796 Redeemed (39,818) Units, end of period 710,978
(1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized except audit expense.
See Notes to the Financial Statements. 12 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT
Schedule of Investments December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 96.3% Basic Materials - 4.2% Axalta Coating Systems Ltd. 51,872 $ 1,391,762 $ 1,576,909 Celanese Corporation Series A 20,118 2,072,730 2,476,928 Ecolab Inc. 14,690 2,521,150 2,835,023 International Flavors & Fragrances Inc. 6,071 819,512 783,280 Linde PLC 16,615 2,877,781 3,537,334 Total Basic Materials 9,682,935 11,209,474
Communications - 11.1% Alphabet, Inc. Class A 5,005 5,570,654 6,703,647 Amazon.com, Inc. 5,339 9,397,875 9,865,618 Cable ONE, Inc. 1,320 1,356,911 1,964,780 Cisco Systems, Inc. 44,192 2,170,073 2,119,448 Comcast Corporation Class A 11,861 467,965 533,389 Facebook, Inc. Class A 11,316 1,873,813 2,322,609 IAC/InterActiveCorp 4,483 917,698 1,116,760 The Walt Disney Company 27,549 3,351,970 3,984,412 Viasat, Inc. 10,574 731,936 773,964 Total Communications 25,838,895 29,384,627
Consumer, Cyclical - 3.0% Alaska Air Group, Inc. 46,233 2,997,239 3,132,286 BorgWarner Inc. 18,814 701,737 816,151 Las Vegas Sands Corp. 12,701 770,869 876,877 Nike, Inc. Class B 30,007 2,416,120 3,040,009 Total Consumer, Cyclical 6,885,965 7,865,323
Consumer, Non-cyclical - 8.2% Adyen NV 891 566,940 731,107 Automatic Data Processing, Inc. 10,404 1,533,507 1,773,882 Brown-Forman Corporation Class B 26,268 1,379,897 1,775,717 Constellation Brands, Inc. Class A 8,729 1,670,714 1,656,328 Equifax Inc. 8,241 990,914 1,154,729 Graham Holdings Company Class B 1,311 863,963 837,716 IHS Markit Ltd. 56,782 3,250,792 4,278,524 Lamb Weston Holdings, Inc. 7,757 508,993 667,335 Mondelez International, Inc. Class A 21,624 1,022,975 1,191,050 Monster Beverage Corporation 43,026 2,467,701 2,734,302
See Notes to the Financial Statements. 13 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 96.3% (continued) Consumer, Non-cyclical - 8.2% (continued) PepsiCo, Inc. 10,336 $ 1,265,387 $ 1,412,621 Verisk Analytics, Inc. 24,012 3,127,631 3,585,952 Total Consumer, Non-cyclical 18,649,414 21,799,263
Energy - 0.7% Cabot Oil & Gas Corporation 54,874 1,229,536 955,356 Concho Resources Inc. 8,825 962,742 772,805 Total Energy 2,192,278 1,728,161
Financials - 7.4% Berkshire Hathaway Inc. Class B 4,421 904,165 1,001,357 BlackRock, Inc. 4,147 1,779,114 2,084,697 Charles Schwab Corporation 48,228 2,089,621 2,293,724 Intercontinental Exchange, Inc. 21,871 1,765,841 2,024,161 Mastercard Incorporated Class A 20,847 4,755,542 6,224,706 T. Rowe Price Group, Inc. 14,412 1,492,487 1,755,958 Visa Inc. Class A 22,387 3,448,429 4,206,517 Total Financials 16,235,199 19,591,120
Health Care - 19.0% 10x Genomics, Inc. Class A 1,355 56,364 103,319 Abbott Laboratories 20,265 1,538,509 1,760,218 AbbVie, Inc. 6,635 522,184 587,463 ABIOMED Inc. 3,086 906,722 526,441 Agilent Technolgies, Inc. 18,792 1,322,016 1,603,146 Amgen, Inc. 15,887 3,005,781 3,829,879 Baxter International, Inc. 5,927 444,046 495,616 Becton, Dickinson and Company 4,428 1,058,551 1,204,283 Catalent, Inc. 51,054 2,185,298 2,874,340 Danaher Corporation 16,909 2,021,380 2,595,193 Edwards Lifesciences Corporation 5,723 990,552 1,335,119 Elanco Animal Health Incorporated 21,596 626,799 636,002 Eli Lilly & Company 18,521 1,995,686 2,434,215 Gilead Sciences, Inc. 9,791 651,305 636,219 Haemonetics Corporation 15,045 1,682,294 1,728,671 Illumina Inc. 7,862 2,560,532 2,608,140
See Notes to the Financial Statements. 14 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 96.3% (continued) Health Care - 19.0% (continued) Intuitive Surgical Inc. 7,120 $ 3,663,495 $ 4,208,988 Johnson & Johnson 18,019 2,418,736 2,628,432 Laboratory Corporation of America Holdings 14,102 2,149,632 2,385,635 Merck & Company, Inc. 14,575 1,138,870 1,325,596 Mettler-Toledo International Inc. 6,742 4,467,124 5,348,294 Neurocrine Biosciences, Inc. 8,825 785,866 948,599 Pfizer Inc. 41,135 1,732,778 1,611,669 PTC Therapeutics, Inc. 6,872 313,554 330,062 Reata Pharmaceuticals, Inc. 1,900 333,466 388,417 Stryker Corporation 5,902 1,067,859 1,239,066 Teleflex Inc. 7,464 2,125,492 2,809,748 Waters Corporation 9,312 1,861,215 2,175,749 Total Health Care 43,626,106 50,358,519
Industrials - 23.6% Allegion PLC 10,243 957,247 1,275,663 AMETEK, Inc. 11,006 853,908 1,097,738 Amphenol Corporation Class A 24,627 2,168,423 2,665,380 BWX Technologies, Inc. 39,831 1,904,484 2,472,708 Canadian Pacific Railway Limited 14,156 2,951,888 3,609,072 Cognex Corporation 7,479 314,114 419,123 Deere & Company 9,349 1,438,141 1,619,808 Emerson Electric Co. 18,686 1,216,127 1,424,994 Fortive Corporation 16,413 1,216,562 1,253,789 General Dynamics Corporation 15,860 2,852,532 2,796,911 Illinois Tool Works Inc. 14,887 2,099,160 2,674,152 Ingersoll-Rand PLC 17,674 1,941,628 2,349,228 JB Hunt Transport Services Inc. 8,304 851,003 969,741 Kansas City Southern 11,328 1,263,359 1,734,996 Keysight Technologies Inc. 10,834 762,649 1,111,893 Lockheed Martin Corporation 7,472 2,432,487 2,909,447 Lyft Inc. Class A 5,209 352,468 224,091 Martin Marietta Materials, Inc. 6,494 1,363,270 1,815,982 Northrop Grumman Corporation 16,374 4,870,573 5,632,165 Raytheon Company 15,646 2,777,368 3,438,052 Republic Services Inc. 3,292 279,500 295,062 Stanley Black & Decker, Inc. 11,997 1,629,477 1,988,383 TE Connectivity Ltd. 27,932 2,358,850 2,677,003
See Notes to the Financial Statements. 15 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 96.3% (continued) Industrials - 23.6% (continued) The Boeing Company 17,427 $ 6,151,071 $ 5,677,019 Trimble Inc. 40,657 1,575,844 1,694,990 Uber Technologies Inc. 12,735 557,604 378,739 Union Pacific Corporation 32,390 5,084,836 5,855,788 United Technologies Corporation 15,895 2,018,639 2,380,435 Total Industrials 54,243,212 62,442,352
Technology - 17.9% Adobe Inc. 2,394 645,448 789,565 Apple Inc. 35,607 6,361,730 10,455,996 Applied Materials, Inc. 48,723 1,913,807 2,974,052 Atlassian Corporation, PLC 2,355 342,090 283,401 Autodesk, Inc. 12,831 1,889,394 2,353,975 Bill.com Holdings, Inc. 2,600 57,200 98,930 Intuit Inc. 15,872 3,701,631 4,157,353 Microsoft Corporation 54,535 6,565,886 8,600,170 Monolithic Power Systems, Inc. 8,294 1,065,669 1,476,498 NVIDIA Corporation 7,537 1,143,850 1,773,456 NXP Semiconductors NV 8,060 924,292 1,025,716 PTC, Inc. 18,698 1,548,410 1,400,293 Salesforce.com, Inc. 9,338 1,340,725 1,518,732 ServiceNow, Inc. 15,867 3,441,430 4,479,571 Texas Instruments, Inc. 22,426 2,445,939 2,877,032 Twilio Inc. Class A 5,873 610,545 577,198 Tyler Technologies Inc. 3,277 696,246 983,166 Workday Inc. Class A 8,728 1,498,519 1,435,320 Total Technology 36,192,811 47,260,424
Utilities - 1.2% American Water Works Company, Inc. 10,462 1,062,281 1,285,257 NextEra Energy, Inc. 7,473 1,405,334 1,809,662 Total Utilities 2,467,615 3,094,919 Total Common Stocks 216,014,430 254,734,182
Depositary Receipts - 1.4% Communications - 0.6% Alibaba Group Holding Limited 7,147 1,113,373 1,515,879
See Notes to the Financial Statements. 16 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Depositary Receipts - 1.4% (continued) Health Care - 0.8% AstraZeneca PLC 35,153 $ 1,381,534 $ 1,752,729 GW Pharmaceuticals PLC 3,661 597,522 382,794 Total Health Care 1,979,056 2,135,523 Total Depositary Receipts 3,092,429 3,651,402
Real Estate Investment Trusts - 1.6% Financials - 1.6% Crown Castle International Corporation 18,070 2,532,132 2,568,651 Equinix, Inc. 3,117 1,390,519 1,819,393 Total Real Estate Investment Trusts 3,922,651 4,388,044
Money Market Fund - 26.8% State Street Institutional U.S. Government Money Market Fund 71,013,676 71,013,676 71,013,676 Total Investments - 126.1% $ 294,043,186 333,787,304 Other Assets and Liabilities, Net - (26.1%) (69,190,316) Net Assets - 100% $ 264,596,988
The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2019 (see Note 3 in Notes to the Financial Statements):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Common Stocks $ 254,734,182 $ - $ - $ 254,734,182 Depositary Receipts 3,651,402 - - 3,651,402 Real Estate Investment Trusts 4,388,044 - - 4,388,044 Money Market Fund 71,013,676 - - 71,013,676 Total $ 333,787,304 $ - $ - $ 333,787,304
Concentration of Ownership: As of December 31, 2019, the Fund had one unaffiliated plan holding 10% or more of the outstanding units of the Fund, representing 37% of the total outstanding units.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2019, were:
Purchases Sales Realized at Cost Proceeds Gain
Investments $ 110,161,797 $ 78,141,497 $ 9,434,227
See Notes to the Financial Statements. 17 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT Fund
Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $294,043,186) $ 333,787,304 Dividends and interest receivable 194,289 Receivable for investment securities sold 163,770 Receivable for fund units sold 70,411 Foreign tax reclaim receivable 557 Total assets 334,216,331 Liabilities and Net Assets Payable for fund units redeemed 69,362,865 Accrued expenses 256,478 Total liabilities 69,619,343 Net assets $ 264,596,988
Statement of Operations For the year ended December 31, 2019 Investment income Dividends $ 2,945,053 Interest 220,887 Total investment income 3,165,940 Expenses Trustee and sub-advisory fees 781,667 Professional services and other operating expenses 12,575 Total expenses 794,242 Net investment income 2,371,698 Realized and unrealized gain on investments and foreign currency transactions Net realized gain on investments 9,434,227 Net realized gain on foreign currency transactions 505 Net change in unrealized appreciation on investments and foreign currency transactions 51,704,178 Net realized and unrealized gain on investments 61,138,910 Net increase in net assets resulting from operations $ 63,510,608
See Notes to the Financial Statements. 18 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT Fund
Statement of Changes in Net Assets For the year ended December 31, 2019 Increase in net assets resulting from operations Net investment income $ 2,371,698 Net realized gain on investments and foreign currency transactions 9,434,732 Net change in unrealized appreciation on investments and 51,704,178 Net increase in net assets resulting from operations 63,510,608 Fund unit transactions Proceeds from units issued Class 0TS ^ 1,608,328 Class R 43,182,512 Class S 100,142,376 Total proceeds from units issued 144,933,216 Value of units redeemed Class 0TS ^ (44,395) Class R (6,244,490) Class S (110,578,893) Total value of units redeemed (116,867,778) Increase in net assets resulting from fund unit transactions 28,065,438 Increase in net assets 91,576,046 Net assets, beginning of year 173,020,942 Net assets, end of year $ 264,596,988 ^Class 0TS funded on 10/3/2019.
See Notes to the Financial Statements. 19 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Growth CIT Fund
Financial Highlights For the year ended December 31, 2019 Per Unit Operating Performance Class 0TS Class R Class S Net asset value, beginning of year or at inception $ 11.60 $ 9.69 $ 9.70 Income from investment operations: Net investment income (1) 0.02 0.11 0.11 Net realized and unrealized gain on investments (1) 1.16 2.97 2.98 Total income from investment operations 1.18 3.08 3.09 Net asset value, end of year $ 12.78 $ 12.77 $ 12.79 Total Return 10.17% ^ 31.79% 31.86% Supplemental Data Ratio to average net assets: Expenses 0.26% # 0.33% 0.31% Net investment income 1.03% # 0.93% 0.95% Fund Unit Activity Units, beginning of year - 814,726 17,025,906 Issued 128,522 3,731,929 8,497,607 Redeemed (3,505) (526,265) (8,968,643) Units, end of year 125,017 4,020,390 16,554,870
(1) Based on average units outstanding. ^Not annualized for periods less than one year. Class 0TS funded on 10/3/2019. #Annualized excluding audit expense.
See Notes to the Financial Statements. 20 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Real Estate Securities CIT
Schedule of Investments December 31, 2019
Principal Amount or Fair Shares Cost Value
Common Stocks - 4.4% Consumer, Cyclical - 0.9% Hilton Worldwide Holdings Inc. 1,332 $ 112,741 $ 147,732
Financials - 3.5% CBRE Group, Inc. Class A 7,070 354,092 433,320 Retail Properties of America, Inc. 14,239 173,287 190,803 Total Financials 527,379 624,123 Total Common Stocks 640,120 771,855
Real Estate Investment Trusts - 93.8% Consumer, Non-cyclical - 3.1% Caretrust REIT, Inc. 6,925 163,483 142,863 Digital Realty Trust, Inc. 1,293 156,988 154,824 Physicians Realty Trust 12,722 234,765 240,955 Total Consumer, Non-cyclical 555,236 538,642
Financials - 89.7% Alexandria Real Estate Equities, Inc. 4,151 601,240 670,719 American Homes 4 Rent, Class A 17,152 409,242 449,554 American Tower Corporation 6,263 1,216,562 1,439,360 Americold Realty Trust 7,420 248,660 260,145 AvalonBay Communities, Inc. 3,064 619,822 642,521 Brixmor Property Group Inc. 10,386 189,200 224,441 Camden Property Trust 4,695 476,161 498,140 Coresite Realty Corporation 1,316 157,179 147,550 Cousins Properties, Inc. 10,358 398,208 426,750 Crown Castle International Corporation 3,771 504,599 536,048 Equinix, Inc. 1,417 657,678 827,103 Equity LifeStyle Properties, Inc. 8,318 476,782 585,504 Equity Residential 7,946 597,363 642,990 Extra Space Storage Inc. 6,825 768,175 720,857 First Industrial Realty Trust, Inc. 6,197 219,834 257,237 Healthpeak Properties, Inc. 14,552 456,748 501,607 Highwoods Properties, Inc. 5,394 248,995 263,821 Host Hotels & Resorts, Inc. 14,736 285,865 273,353 Kilroy Realty Corp. 6,700 515,124 562,130 MGM Growth Properties LLC Class A 8,266 265,660 255,998 Prologis, Inc. 12,410 897,659 1,106,227
See Notes to the Financial Statements. 21 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Real Estate Securities CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Real Estate Investment Trusts - 93.8% (continued) Financials - 89.7% (continued) Realty Income Corporation 7,320 $ 530,765 $ 538,972 Regency Centers Corporation 5,377 362,695 339,235 Rexford Industrial Realty, Inc. 8,610 309,582 393,219 Ryman Hospitality Properties, Inc. 2,827 234,015 244,988 SBA Communications Corp. 2,835 564,954 683,207 Simon Property Group, Inc. 4,215 767,846 627,866 Spirit Realty Capital, Inc. 6,130 265,020 301,473 VEREIT Inc. 40,362 341,226 372,945 Welltower Inc. 8,410 650,476 687,770 Weyerhaeuser Company 3,500 103,519 105,700 Total Financials 14,340,854 15,587,430
Industrial - 1.0% QTS Realty Trust, Inc. Class A 3,265 175,773 177,192 Total Real Estate Investment Trusts 15,071,863 16,303,264
Money Market Fund - 1.4% State Street Institutional U.S. Government Money Market Fund 238,423 238,423 238,423 Total Investments - 99.6% $ 15,950,406 17,313,542 Other Assets and Liabilities, Net - 0.4% 64,477 Net Assets - 100% $ 17,378,019
The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2019 (see Note 3 in Notes to the Financial Statements):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Common Stocks $ 771,855 $ - $ - $ 771,855 Real Estate Investment Trusts 16,303,264 - - 16,303,264 Money Market Fund 238,423 - - 238,423 Total $ 17,313,542 $ - $ - $ 17,313,542
Concentration of Ownership: As of December 31, 2019, the Fund had one unaffiliated plan holding 10% or more of the outstanding units of the Fund, representing 100% of the total outstanding units.
See Notes to the Financial Statements. 22 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Real Estate Securities CIT
Schedule of Investments (continued) December 31, 2019
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the period ended December 31, 2019, were:
Purchases Sales Realized at Cost Proceeds Gain
Investments $ 19,117,560 $ 3,447,300 $ 41,723
See Notes to the Financial Statements. 23 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Real Estate Securities CIT
Statement of Assets and Liabilities December 31, 2019 Assets and Net Assets Investments in securities, at fair value (cost $15,950,406) $ 17,313,542 Dividends and interest receivable 64,477 Net assets $ 17,378,019
Statement of Operations For the period from April 1, 2019 (date of inception) to December 31, 2019 Investment income Dividends $ 382,655 Interest 3,478 Net investment income 386,133 Realized and unrealized gain on investments Net realized gain on investments 41,723 Net change in unrealized appreciation on investments 1,363,136 Net realized and unrealized gain on investments 1,404,859 Net increase in net assets resulting from operations $ 1,790,992
See Notes to the Financial Statements. 24 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Real Estate Securities CIT
Statement of Changes in Net Assets For the period from April 1, 2019 (date of inception) to December 31, 2019 Increase in net assets resulting from operations Net investment income $ 386,133 Net realized gain on investments 41,723 Net change in unrealized appreciation on investments 1,363,136 Net increase in net assets resulting from operations 1,790,992 Fund unit transactions Proceeds from units issued - Class 0 16,000,927 Value of units redeemed - Class 0 (413,900) Increase in net assets resulting from fund unit transactions 15,587,027 Increase in net assets 17,378,019 Net assets, beginning of period - Net assets, end of period $ 17,378,019
See Notes to the Financial Statements. 25 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Real Estate Securities CIT
Financial Highlights For the period from April 1, 2019 (date of inception) to December 31, 2019 Per Unit Operating Performance Class 0 Net asset value, at inception $ 10.00 Income from investment operations: Net investment income (1) 0.24 Net realized and unrealized gain on investments (1) 0.88 Total income from investment operations 1.12 Net asset value, end of period $ 11.12 Total Return 11.20% ^ Supplemental Data Ratio to average net assets: Expenses 0.00% # Net investment income 3.04% # Fund Unit Activity Units, beginning of period - Issued 1,600,093 Redeemed (36,726) Units, end of period 1,563,367
(1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized excluding audit expense.
See Notes to the Financial Statements. 26 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin Templeton Global Bond Plus Trust
Schedule of Investments December 31, 2019
Principal Amount or Fair Shares Cost Value
Collective Fund - 100.1% Franklin Templeton Global Bond Plus Trust 629,346 $ 7,637,479 $ 7,627,673 Total Investments - 100.1% $ 7,637,479 7,627,673 Other Assets and Liabilities, Net - (0.1%) (8,945) Net Assets - 100% $ 7,618,728
The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2019 (see Note 3 in Notes to the Financial Statements):
Fair Value Measurements Level 1 Level 2 Level 3 Total
Collective Fund measured at net asset value* $ - $ - $ - $ 7,627,673 Total $ - $ - $ - $ 7,627,673
*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities.
Concentration of Ownership: As of December 31, 2019, the Fund had two unaffiliated plans holding 10% or more of the outstanding units of the Fund, representing 77% and 11% of the total outstanding units, respectively.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the period ended December 31, 2019, were:
Purchases Sales Realized at Cost Proceeds Gain
Collective Fund $ 14,946,448 $ 7,421,001 $ 112,032
See Notes to the Financial Statements. 27 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Franklin Templeton Global Bond Plus Trust
Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $7,637,479) $ 7,627,673 Receivable for fund units sold 12,808 Receivable for reimbursement 1,318 Total assets 7,641,799 Liabilities and Net Assets Payable for investment securities purchased 12,540 Payable for fund units redeemed 268 Accrued expenses 10,263 Total liabilities 23,071 Net assets $ 7,618,728
Statement of Operations For the period from March 29, 2019 (date of inception) to December 31, 2019 Expenses Trustee and sub-advisory fees $ 39,081 Professional services and other operating expenses 128 Expense reimbursement from sub-advisor (5,106) Net investment loss (34,103) Realized and unrealized gain (loss) on investments Net realized gain on investments 112,032 Net change in unrealized depreciation on investments (9,806) Net realized and unrealized gain on investments 102,226 Net increase in net assets resulting from operations $ 68,123
See Notes to the Financial Statements. 28 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Franklin Templeton Global Bond Plus Trust
Statement of Changes in Net Assets For the period from March 29, 2019 (date of inception) to December 31, 2019 Increase (decrease) in net assets resulting from operations Net investment loss $ (34,103) Net realized gain on investments 112,032 Net change in unrealized depreciation on investments (9,806) Net increase in net assets resulting from operations 68,123 Fund unit transactions Proceeds from units issued - Class R6 15,140,384 Value of units redeemed - Class R6 (7,589,779) Increase in net assets resulting from fund unit transactions 7,550,605 Increase in net assets 7,618,728 Net assets, beginning of period - Net assets, end of period $ 7,618,728
See Notes to the Financial Statements. 29 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Franklin Templeton Global Bond Plus Trust
Financial Highlights For the period from March 29, 2019 (date of inception) to December 31, 2019 Per Unit Operating Performance Class R6 Net asset value, at inception $ 10.00 Income from investment operations: Net investment loss (1) (0.04) Net realized and unrealized loss on investments (1) (0.01) Total income from investment operations (0.05) Net asset value, end of period $ 9.95 Total Return (0.50%) ^ Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.55% # Net expenses 0.48% # Net investment income (0.48%) # Fund Unit Activity Units, beginning of period - Issued 1,515,087 Redeemed (749,135) Units, end of period 765,952
(1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized excluding audit expense.
See Notes to the Financial Statements. 30 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Schedule of Investments December 31, 2019
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 24.1% Basic Materials - 0.7% Alpek SAB De CV, 4.25%, due 9/18/2029 800,000 $ 814,348 $ 816,000 CNAC HK Finbridge Co Ltd., 4.875%, due 3/14/2025 275,000 298,050 297,938 Total Basic Materials 1,112,398 1,113,938
Communications - 1.8% Alibaba Group Holding Limited, 3.125%, due 11/28/2021 1,100,000 1,105,107 1,122,055 Charter Communications Operating LLC, 4.5%, due 2/1/2024 300,000 310,600 322,869 Comcast Corporation, 4.95%, due 10/15/2058 400,000 437,624 521,288 Tencent Holdings Ltd., 3.595%, due 1/19/2028 600,000 589,641 627,227 Telefónica Emisiones, SAU, 5.52%, due 3/1/2049 300,000 315,596 376,372 Total Communications 2,758,568 2,969,811
Consumer, Cyclical - 1.2% Coca Cola FEMSA, SAB de CV, 3.875%, due 11/26/2023 800,000 823,131 845,264 Imperial Brands PLC, 4.25%, due 7/21/2025 500,000 510,070 527,695 Marriott International, Inc., 3.6%, due 4/15/2024 600,000 603,245 631,996 Total Consumer, Cyclical 1,936,446 2,004,955
Consumer, Non-cyclical - 0.9% Kroger Company, 5.4%, due 1/15/2049 300,000 308,305 366,492 Reynolds American Inc., 5.85%, due 8/15/2045 1,000,000 1,026,070 1,147,693 Total Consumer, Non-cyclical 1,334,375 1,514,185
Energy - 3.5% Anadarko Petroleum Company, 6.2%, due 3/15/40 - 320 - Baker Hughes, a GE Company Limited, LLC, 4.08%, due 12/15/2047 500,000 480,628 512,753 Canadian Natural Resources, 3.9%, due 2/1/2025 650,000 660,947 692,722 Ecopetrol SA, 4.125%, due 1/16/2025 800,000 842,135 840,008 Enterprise Products Operating Company, 4.25%, due 2/15/2048 100,000 106,673 107,439 Enterprise Products Operating Company, 6.125 %, due 10/15/2039 300,000 357,588 392,507 Kinder Morgan, Inc., 5.550%, due 6/1/2045 400,000 432,987 476,034 MPLX LP, 4.9%, due 4/15/2058 300,000 283,030 305,938 MPLX LP, 5.5%, due 2/15/2049 200,000 211,995 227,217 Occidental Petroleum Corporation, 2.6%, due 8/13/2021 200,000 199,858 201,480 Schlumberger Holdings Corporation, 3.75%, due 5/1/2024 1,200,000 1,221,544 1,264,666 Valero Energy Corporation, 4.35%, due 6/1/2028 500,000 515,873 550,943 Total Energy 5,313,578 5,571,707
See Notes to the Financial Statements. 31 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 24.1% (continued) Financials - 7.7% Aflac Inc., 4.75%, due 1/15/2049 200,000 $ 218,571 $ 243,660 Allstate Corporation, 4.2%, due 12/15/2046 450,000 462,950 518,622 B.A.T. International Finance PLC, 3.95%, due 6/15/2025 500,000 520,922 528,948 Bank of America Corporation, 3.593%, due 7/21/2028 500,000 501,907 530,039 Bank of America Corporation, 3.864%, due 7/23/2024 500,000 525,283 526,191 Bank of America Corporation, 4.183%, due 11/25/2027 600,000 608,222 650,668 BNP Paribus SA, 3.5%, due 11/16/2027 200,000 206,725 209,067 BPCE SA, 4.875%, due 4/1/2026 500,000 546,242 550,304 Capital One Financial Corporation, 3.2%, due 1/30/2023 300,000 307,748 308,457 Capital One Financial Corporation, 3.3%, due 10/30/2024 650,000 643,641 676,971 China Overseas Land & Investment, 5.95%, due 5/8/2024 750,000 846,023 843,039 Citigroup Inc., due 4/24/2025 1,000,000 1,000,000 1,040,805 Credit Suisse Group Funding (Guernsey) Limited, 3.8%, due 9/15/2022 500,000 506,706 520,573 GE Capital International Funding Company Unlimited Company, 4.418%, due 11/15/2035 200,000 183,507 213,947 Glencore Funding LLC, 4.625%, due 4/29/2024 600,000 617,417 636,120 Goldman Sachs Group, Inc., 3.5%, due 1/23/2025 1,100,000 1,096,535 1,154,794 Industrial & Commercial Bank of China Ltd., 3.538%, due 11/8/2027 800,000 839,064 827,076 JPMorgan Chase & Co., 3.54%, due 5/1/2028 500,000 512,959 531,262 Regions Financial Corporation, 3.8%, due 8/14/2023 1,300,000 1,329,987 1,376,260 State Grid Corporation of China, 3.5%, due 5/4/2027 500,000 502,334 523,495 Total Financials 11,976,743 12,410,298
Health Care - 2.0% Abbott Laboratories, 3.75%, due 11/30/2026 450,000 471,348 491,693 AbbVie, Inc., 2.950%, due 11/21/2026 200,000 199,765 203,633 Allergan Funding SCS, 4.85%, due 6/15/2044 100,000 106,739 108,988 Anthem, Inc., 5.1%, due 1/15/2044 100,000 108,256 119,679 Biogen, Inc., 5.2%, due 9/15/2045 300,000 317,703 362,325 Bristol Myers Squibb Company, 5%, due 8/15/2045 200,000 254,986 256,558 Cigna Corporation, 4.9%, due 12/15/2048 400,000 407,916 477,798 CVS Health Corporation, 5.3%, due 12/5/2043 550,000 567,883 656,887 Gilead Sciences, Inc., 4.8%, due 4/1/2044 400,000 417,939 480,713 Total Health Care 2,852,535 3,158,274
See Notes to the Financial Statements. 32 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Corporate Bonds - 24.1% (continued) Industrial - 3.2% Ashtead Capital, Inc., 4.125%, due 8/15/2025 300,000 $ 297,960 $ 308,250 CK Hutchinson Holdings, Ltd, 3.25%, due 4/11/2024 700,000 706,244 717,760 CSX Corporation, 4.25%, due 11/1/2066 450,000 417,228 481,415 Enel Finance International NV, 4.25%, due 9/14/2023 900,000 919,951 952,995 FedEx Corporation, 4.05%, due 2/15/2048 100,000 97,679 96,622 FedEx Corporation, 5.1%, due 1/15/2044 200,000 208,545 219,515 General Electric Company, 6.15%, due 8/7/2037 450,000 492,437 559,611 L3 Technologies, Inc., 3.85%, due 6/15/2023 200,000 207,764 210,569 Lockheed Martin Corporation, 3.55%, due 1/15/2026 1,000,000 1,027,470 1,072,858 Lockheed Martin Corporation, 4.09%, due 9/15/2052 100,000 115,725 117,339 Tyson Foods, Inc., 5.1%, due 9/28/2048 400,000 412,090 503,663 Total Industrial 4,903,093 5,240,597
Utilities - 3.1% Colbun SA, 3.95%, due 10/11/2027 800,000 836,454 833,008 Dominion Energy, Inc., 4.25%, due 6/1/2028 800,000 831,836 885,167 Duke Energy Corporation, 4.8%, due 12/15/2045 500,000 536,852 592,986 Electricité de France SA, 4.5%, due 9/21/2028 1,000,000 1,029,667 1,112,352 Energy Transfer Operating LP, 6.05%, due 6/1/2041 200,000 213,505 225,820 Georgia Power Co., 4.75%, due 9/1/2040 400,000 412,470 453,729 PSEG Power LLC, 3.85%, due 6/1/2023 800,000 816,091 839,652 Total Utilities 4,676,875 4,942,714 Total Corporate Bonds 36,864,611 38,926,479
Mortgage-Backed Securities - 26.4% Federal Home Loan Pool, 2.5%, due 10/1/2049 1,999,801 1,979,983 1,977,769 Federal Home Loan Pool, 3%, due 12/1/2049 4,635,023 4,702,662 4,703,364 Federal Home Loan Pool, 3.5%, due 1/1/2049 591,324 598,339 608,028 Federal Home Loan Pool, 3.5%, due 7/1/2049 915,968 942,991 941,650 Federal Home Loan Pool, 4%, due 3/12049 663,516 696,971 700,086 FNMA Pool, 2.5%, due 9/1/2049 1,235,110 1,234,532 1,221,503 FNMA Pool, 2.5%, due 12/1/2034 1,192,115 1,202,615 1,203,043 FNMA Pool, 2.5%, due 12/1/2049 199,478 196,925 197,281 FNMA Pool, 3%, due 10/1/2049 6,044,720 6,133,165 6,133,179 FNMA Pool, 3%, due 12/1/2049 6,232,965 6,315,071 6,323,154 FNMA Pool, 3.5%, due 11/1/2048 278,388 285,840 286,511
See Notes to the Financial Statements. 33 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
Mortgage-Backed Securities - 26.4% (continued) FNMA Pool, 3.5%, due 3/1/2049 831,663 $ 853,926 $ 854,891 FNMA Pool, 3.5%, due 4//12049 288,777 296,507 297,101 FNMA Pool, 3.5%, due 8/1/2049 2,049,332 2,136,342 2,150,034 FNMA Pool, 4%, due 10/1/2048 55,404 56,932 57,687 FNMA Pool, 4.5%, due 5/1/2048 612,600 662,327 665,742 GNMA Pool, 3.5%, due 11/20/2049 6,406,462 6,635,537 6,637,143 GNMA Pool, 3.5%, due 12/20/2049 7,380,000 7,653,736 7,645,737 Total Mortgage-Backed Securities 42,584,401 42,603,903
Municipal Bonds - 4.7% Big Walnut Ohio Local School District, 4%, due 12/1/2044 1,000,000 1,058,389 1,103,310 Evansville Industry Sewage Wks Revenue Series A, 3%, due 7/1/2031 1,000,000 1,013,363 1,063,270 New York City Municipal Water Finance Authority, 4%, due 6/15/2036 1,000,000 1,094,033 1,154,310 New York City Transitional, 3.55%, due 11/1/2033 1,610,000 1,610,108 1,692,835 Reno County Kansas Unified School District, 5%, due 9/1/2027 1,000,000 1,204,926 1,249,270 State of Wisconsin, 3%, due 5/1/2033 1,295,000 1,295,000 1,308,092 Total Municipal Bonds 7,275,819 7,571,087
Other Asset-Backed Securities - 2.6% American Express Credit Account Master Trust 2017-2 Class A, 2.19%, due 9/16/2024 1,000,000 1,004,734 1,004,815 American Express Credit Account Master Trust 2019-1 Class A, 2.870%, due 10/15/2024 1,000,000 1,023,616 1,021,722 Capital One Multi-Asset Execution Trust 2019-A1 Class A1, 2.84%, due 12/16/2024 1,135,000 1,159,805 1,158,014 Citibank Credit Card Issuance Trust 2017-A7 Class A7, 2.08%, due 8/8/2024 1,000,000 1,002,617 1,002,572 Total Other Asset-Backed Securities 4,190,772 4,187,123
Sovereign Bonds - 2.8% Panama Government International Bond, 3.75%, due 4/17/2026 800,000 838,179 842,000 Colombia Government International Bond, 4.375%, 7/12/2021 375,000 387,073 386,723 Colombia Government International Bond, 5%, 06/15/2045 375,000 388,337 435,563 Indonesia Government International Bond, 4.125%, 1/15/2025 400,000 426,613 428,856 Indonesia Government International Bond, 4.35%, 1/8/2027 375,000 388,718 409,189 Mexico Government International Bond, 3.6%, due 1/30/2025 200,000 209,950 209,154 Mexico Government International Bond, 4.15%, due 3/28/2027 600,000 627,931 642,900 Oriental Republic of Uruguay, 4.375%, due 1/23/2031 775,000 859,882 866,450 Republic of Peru, 6.55%, due 3/14/2037 200,000 282,771 292,500 Total Sovereign Bonds 4,409,454 4,513,335 See Notes to the Financial Statements. 34 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Schedule of Investments (continued) December 31, 2019
Principal Amount or Fair Shares Cost Value
U.S. Treasury Bonds and Notes - 36.4% U.S. Treasury Bond, 2.5%, due 5/15/2046 1,400,000 $ 1,475,190 $ 1,432,867 U.S. Treasury Bond, 3%, due 2/15/2049 4,250,000 4,373,089 4,807,148 U.S. Treasury Bond, 3%, due 11/15/2044 350,000 424,525 391,016 U.S. Treasury Bond, 3.5%, due 2/15/2039 3,950,000 4,423,323 4,741,389 U.S. Treasury Note, 1.25%, due 10/31/2021 5,200,000 5,104,054 5,168,719 U.S. Treasury Note 1.5%, due 09/30/2024 500,000 495,473 495,840 U.S. Treasury Note, 1.875%, due 8/31/2024 4,350,000 4,414,504 4,387,553 U.S. Treasury Note, 1.875%, due 9/30/2022 2,500,000 2,474,503 2,519,043 U.S. Treasury Note, 2.125%, due 2/29/2024 7,100,000 7,052,871 7,231,738 U.S. Treasury Note, 2.125%, due 3/31/2024 7,500,000 7,452,556 7,639,453 U.S. Treasury Note, 2.25%, due 3/31/2021 7,200,000 7,195,587 7,254,844 U.S. Treasury Note, 2.25%, due 7/31/2021 4,000,000 3,997,555 4,040,312 U.S. Treasury Note, 2.375%, due 4/15/2021 8,000,000 8,006,985 8,077,190 U.S. Treasury Note, 2.375%, due 5/15/2029 600,000 632,936 624,070 Total U.S. Treasury Bonds and Notes 57,523,151 58,811,182
Money Market Fund - 2.2% State Street Institutional U.S. Government Money Market Fund 3,472,267 3,472,267 3,472,267 Total Investments - 99.2% $ 156,320,475 160,085,376 Other Assets and Liabilities, Net - 0.8% 1,274,751 Net Assets - 100% $ 161,360,127
See Notes to the Financial Statements. 35 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Schedule of Investments (continued) December 31, 2019
The following table summarizes how the Fund's investments are broken down by country of issuance as a percentage of net assets of the Fund:
Percentage Country of Issuer Fair Value of Net Assets United States $ 142,312,284 88.2% Mexico 2,513,318 1.6% France 1,871,723 1.2% China 1,749,282 1.1% Columbia 1,662,294 1.0% Cayman Islands 1,560,799 1.0% United Kingdom 1,056,643 0.7% Netherlands 952,995 0.6% Uruguay 866,450 0.5% Panama 842,000 0.5% Indonesia 838,045 0.5% Chile 833,008 0.5% Canada 692,722 0.4% British Virgin Islands 523,495 0.3% Guernsey 520,573 0.3% Spain 376,372 0.2% Hong Kong 297,938 0.2% Peru 292,500 0.2% Ireland 213,947 0.1% Luxembourg 108,988 0.1% Total $ 160,085,376 99.2%
Credit Default Swaps Fixed Upfront Rate Premiums Unrealized (Pay) Payment Maturity Notional Market Paid Appreciation Description Counterparty Receive Frequency Date Amount Value (Received) (Depreciation) Sell Protection Spain Government International Bond Citibank, N.A. 1.0% Quarterly 12/20/2029 800,000 $ 19,167 $ 26,373 $ (7,206) Spain Government International Bond Citibank, N.A. 1.0% Quarterly 12/20/2029 800,000 19,167 24,164 (4,997) $ 38,334 $ 50,537 $ (12,203)
See Notes to the Financial Statements. 36 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Schedule of Investments (continued) December 31, 2019
Futures Number of Value as of Unrealized Contracts Expiration December 31, Appreciation Description Long (Short) Date 2019 (Depreciation)
Futures in loss position United States 5 Year Treasury Note Future 21 3/31/20 $ 2,490,797 $ (7,875) United States 10 Year Ultra Future 6 3/20/20 844,219 (10,313) United States Long Bond Future 16 3/20/20 2,494,500 (57,000) $ 5,829,516 $ (75,188)
The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2019 (see Note 3 in Notes to the Financial Statements):
Fair Value Measurements Level 1 Level 2 Level 3 Total Assets: Corporate Bonds $ - $ 38,926,479 $ - $ 38,926,479 Credit Default Swaps - 38,334 - 38,334 Mortgage-Backed Securities - 42,603,903 - 42,603,903 Municipal Bonds - 7,571,087 - 7,571,087 Other Asset-Backed Securities - 4,187,123 - 4,187,123 Sovereign Bonds - 4,513,335 - 4,513,335 U.S. Treasury Bonds and Notes - 58,811,182 - 58,811,182 Money Market Fund 3,472,267 - - 3,472,267 $ 3,472,267 $ 156,651,443 $ - $ 160,123,710
Liabilities: Futures $ (75,188) $ - $ - $ (75,188) * $ (75,188) $ - $ - $ (75,188)
*Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments.
Concentration of Ownership: As of December 31, 2019, the Fund had one unaffiliated plan holding 10% or more of the outstanding units of the Fund, representing 93% of the total outstanding units.
Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the period ended December 31, 2019, were:
Purchases Sales Realized at Cost Proceeds Gain
Investments $ 308,516,164 $ 156,977,937 $ 1,309,981
See Notes to the Financial Statements. 37 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Franklin U.S. Aggregate Bond CIT
Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $156,320,475) $ 160,085,376 Cash and cash equivalents 69,472 Dividends and interest receivable 1,173,979 Credit default swaps, at market value (net of premiums paid of $50,537) 38,334 Total assets 161,367,161 Liabilities and Net Assets Variation margin payable on futures 7,034 Total liabilities 7,034 Net assets $ 161,360,127
Statement of Operations For the period from April 1, 2019 (date of inception) to December 31, 2019 Investment income Interest $ 3,450,409 Miscellaneous income 200 Net investment income 3,450,609 Realized and unrealized gain (loss) on investments and other transactions Net realized gain on investments 1,309,981 Net realized gain on futures 193,064 Net change in unrealized appreciation on investments 3,764,901 Net change in unrealized depreciation on futures (75,188) Net change in unrealized depreciation on swaps (12,203) Net realized and unrealized gain on investments and other transactions 5,180,555 Net increase in net assets resulting from operations $ 8,631,164
See Notes to the Financial Statements. 38 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Franklin U.S. Aggregate Bond CIT
Statement of Changes in Net Assets For the period from April 1, 2019 (date of inception) to December 31, 2019 Increase in net assets resulting from operations Net investment income $ 3,450,609 Net realized gain on investments and other transactions 1,503,045 Net unrealized appreciation (depreciation) on investments and other transactions 3,677,510 Net increase in net assets resulting from operations 8,631,164 Fund unit transactions Proceeds from units issued - Class 0 154,364,727 Value of units redeemed - Class 0 (1,635,764) Increase in net assets resulting from fund unit transactions 152,728,963 Increase in net assets 161,360,127 Net assets, beginning of period - Net assets, end of period $ 161,360,127
See Notes to the Financial Statements. 39 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Franklin Advisers, Inc.
Wilmington Franklin U.S. Aggregate Bond CIT
Financial Highlights For the period from April 1, 2019 (date of inception) to December 31, 2019 Per Unit Operating Performance Class 0 Net asset value, at inception $ 10.00 Income from investment operations: Net investment income (1) 0.23 Net realized and unrealized gain on investments and other transactions (1) 0.34 Total income from investment operations 0.57 Net asset value, end of period $ 10.57 Total Return 5.70% ^ Supplemental Data Ratio to average net assets: Expenses 0.00% # Net investment income 2.93% # Fund Unit Activity Units, beginning of period - Issued 15,415,303 Redeemed (155,140) Units, end of period 15,260,163
(1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized excluding audit expense.
See Notes to the Financial Statements. 40 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements
December 31, 2019
Note 1 – Organization
Wilmington Trust Collective Investment Trust (the "Trust") is intended to constitute an exempt trust under Section 501(a) of the Internal Revenue Code of 1986, as amended (the "Code"), and a group trust within the meaning of Revenue Ruling 81-100, as clarified and amended. The Trust is exempt from registration under the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended. Wilmington Trust, N.A. ("WTNA" or the "Trustee") serves as the Trustee of the Trust.
The Trustee is responsible for maintaining and administering the Trust and its various funds (the "Funds" – see Fund Index) and also serves as the investment advisor (the "Investment Advisor") to the Funds. M&T Bank Corporation is the ultimate parent of the Trustee. State Street Bank and Trust Company provides custody and transfer agency services for the Trust and the 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.
WTNA has engaged Franklin Advisers, Inc. (the "Sub-Advisor") to provide investment advice in connection with the 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-advisory 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 Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 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.
41 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
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 sponsor to provide advance written notice of five business days for withdrawals which will exceed $1 million of the assets invested in each Fund.
Investment Valuation – Investments are valued at their current fair value determined as follows:
Investments in Collective Funds – The Funds may hold investments in units of other funds within the Trust or similar funds for which other unrelated entities are trustee. The Trustee or unrelated trustee estimates the fair value of investments in collective funds that have calculated net asset value per unit in accordance with the specialized accounting guidance for investment companies. Accordingly, as a practical expedient, investments in other such funds are valued at their net asset value as reported by the investee funds. The Funds have the ability to redeem their investments in the collective funds at net asset value without restrictions. Where one fund invests in another fund within the Trust, the Trustee fee allocated to the investment by such investee fund is waived.
Money Market Funds – 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 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.
42 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
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.
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 (loss) on futures contracts and as a component of net change in unrealized appreciation (depreciation) on futures contracts.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Funds could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities.
Swap Agreements – The Funds may invest in swap agreements. Swap agreements are privately negotiated agreements between the Funds and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. The Funds may enter into credit default and other forms of swap agreements to manage their exposure to credit, currency, interest rate and commodity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral 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.
Payments received or made at the beginning of the measurement period are recorded as realized gains or losses on the Statement of Operations upon termination or maturity of the swap. Net periodic payments received or paid by the Funds are included as part of realized gains or losses on the Statement of Operations.
Entering into these agreements involves, to varying degrees, elements of 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 Funds' 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 is
43 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
mitigated by having a master netting arrangement 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, if any, and expenses are recorded daily on the accrual basis.
Fee Classes and Allocations – 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.
44 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
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 29, 2020, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events, except as noted below, that would require disclosure or adjustment in the Funds' financial statements through this date.
During the first quarter of 2020, there were worldwide outbreaks of the coronavirus. The impact of these outbreaks, as well as other epidemics and pandemics that may arise in the future, could negatively affect the domestic and international economies, individual companies and the market in general in significant and unforeseen ways. Any such impact could adversely affect the performance of the securities in which each Fund is invested and the investment performance of each Fund.
Note 3 – Fair Value Measurements
Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.
Various inputs are used in determining the fair value of the 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 assets and liabilities. • Level 2 – Other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, credit risk, and others). • Level 3 – Significant unobservable inputs (including the Trustee's own assumptions in determining the fair value of assets and liabilities).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used as of December 31, 2019, in valuing the Fund's assets carried at fair value is included in Note 2.
The aggregate fair value of the investments in each Fund, by input level used as of December 31, 2019, is included following each Fund's Schedule of Investments.
45 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
The Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2018-13, Fair Value Measurement (Topic 820) – Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 modifies the disclosure requirements in Topic 820. The Funds elected to early adopt ASU 2018-13, effective December 31, 2019.
Note 4 – Derivative Transactions
The following is a summary of the fair valuations of each Fund's derivative instruments on the Statement of Assets and Liabilities as of December 31, 2019, and the effect of derivative instruments on the Statement of Operations for the year or period ended December 31, 2019:
Wilmington Trust Franklin U.S. Aggregate Bond CIT
Interest Rate Credit Assets Contracts Contracts Total Credit default swaps $ - $ 38,334 $ 38,334
Interest Rate Credit Liabilities Contracts Contracts Total Futures $ (75,188) $ - $ (75,188) *
Interest Rate Credit Realized Gain on: Contracts Contracts Total Futures $ 193,064 $ - $ 193,064
Interest Net Change in Unrealized Rate Credit Depreciation on: Contracts Contracts Total Futures $ (75,188) $ - $ (75,188) Swaps - (12,203) (12,203) $ (75,188) $ (12,203) $ (87,391)
*Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day's variation margin is reported on the Statement of Assets and Liabilities.
46 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
Information about derivatives reflected as of the date of this report is generally indicative of the year or period's activity ended December 31, 2019. For the year or period ended December 31, 2019, the Funds' average volume of derivative activities is as follows:
Futures: Average original value of buy contacts $ 6,040,543 Average original value of sell contacts $ 348,632 Credit Default Swaps: Average notional value $ 766,667
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 its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds 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 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. The 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.
47 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
The following table presents the Fund's derivative assets and liabilities net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Fund as of December 31, 2019.
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. $ 38,334 $ - $ 38,334 $ - $ 38,334
*The actual amount of collateral received/pledged may be more than the amount reported due to over-collateralization. ^The net amount represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. The net amount from OTC financial derivative instruments can be netted only across transactions governed under the same master agreement with the same counterparty.
Note 5 – Fees and Expenses
Trustee and Sub-Advisory Fees
All asset-based fees are based upon the net assets as determined at the end of each preceding business day as set forth in the table below (in basis points). Except as otherwise noted, all asset-based fees are paid from the assets of the Fund.
Fee Class Trustee Fee Sub-Advisory Fee
Wilmington Trust Franklin DynaTech CIT Class R 7.6 30
Wilmington Trust Franklin Growth CIT Class 0TS 1.6* 26
Class R 7 26
Class S 5 26
Wilmington Trust Franklin Real Estate Securities CIT Class 0 0 0
Wilmington Trust Franklin Templeton Global Bond Plus Trust Class R6 On the first $50 million – 7.6 47 On the next $50 million – 7.6 36 On the balance over $100 million – 7.6 30
Wilmington Trust Franklin U.S. Aggregate Bond CIT Class 0 0 0
*Custody fee only.
48 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
Trustee Fee – The Trustee receives an annual fee for the trustee and administrative services provided to each Fund. The Trustee fee also covers transfer agent and custody fees. Trustee fees are based upon the average daily value of the Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Fund. Such Trustee fees for the year ended December 31, 2019, are included in the Statement of Operations for each Fund.
Sub-Advisory Fee – The Sub-Advisor 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, tax and legal services. Expenses incurred in connection with the investment and reinvestment of Fund assets, including, without limitation, brokerage commission and other expenses, are also charged against the Fund. The Trustee has agreed to reimburse Wilmington Trust Franklin Growth CIT for audit and related expenses in excess of 1 basis point.
When assets of a 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 each 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.
• Capitalization Exposure. 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.
49 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
• Country or Region. Investments in securities from a particular country or region may be subject to the risk of adverse social, political, regulatory, or economic events occurring in that country or region. Country or region-specific risks also include the risk that adverse securities markets or exchange rates may impact the value of securities from those areas.
• 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.
• 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.
• 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 conditions, as well as overall market and economic conditions, and can decline in the event of deteriorating issuer, market, or economic conditions.
• 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
50 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
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.
• 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.
• Growth Investing. Growth securities may be subject to increased volatility as the value of these securities is highly sensitive to market fluctuations and future earnings expectations. These securities typically trade at higher multiples of current earnings than do other securities and may lose value if it appears their earnings expectations may not be met.
• 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.
• Income. The investment’s income payments may decline depending on fluctuations in interest rates and the dividend payments of its underlying securities. In this event, some investments may attempt to pay the same dividend amount by returning capital.
• 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,
51 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
impacting issuers’ creditworthiness and increasing their risk for default, which may reduce the value of the Fund.
• 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 shortages, corporate restructurings, fraudulent disclosures, or other factors. Additionally, certain issuers may be more sensitive to adverse issuer, political, regulatory, market, or economic developments.
• 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.
• 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.
• Mid-Cap. Concentrating assets in mid-capitalization stocks may subject the Fund to the risk that those stocks underperform other capitalizations or the market as a whole. Mid-cap companies may be subject to increased liquidity risk compared with large-cap companies and may experience greater price volatility than do those securities because of more limited product lines or financial resources, among other factors.
52 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
• 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 ABS and MBS 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.
• Non-diversification. A non-diversified fund may have an increased potential for loss because it includes a relatively small number of investments. Movements in the prices of the individual investments may have a magnified effect on a non-diversified portfolio. Any sale of the Fund’s large positions could adversely affect stock prices if those positions represent a significant part of a company’s outstanding stock.
• 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.
• 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.
• Real Estate/REIT Sector. Concentrating assets in the real estate sector or Real Estate Investment Trusts ("REITs") may disproportionately subject the Fund to the risks of that industry, including loss of value because of changes in real estate values, interest rates, and taxes, as well as changes in zoning, building, environmental, and other laws, among other factors. Investments in REITs may be subject to increased price volatility and liquidity risk, and investors indirectly bear their proportionate share of expenses because of their management fees.
• 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.
53 Wilmington Trust Collective Investment Trust
Funds Sub-Advised by Franklin Advisers, Inc.
Notes to the Financial Statements (continued)
December 31, 2019
• Small Cap. Concentrating assets in small-capitalization stocks may subject the Fund to the risk that those stocks underperform other capitalizations or the market as a whole. Smaller, less-seasoned companies may be subject to increased liquidity risk compared with mid- and large-cap companies.
• 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.
• 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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