WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST

MASSMUTUAL FUNDS

FINANCIAL STATEMENTS

DECEMBER 31, 2019

WITH

INDEPENDENT AUDITOR'S REPORT

Wilmington Trust Collective Investment Trust MassMutual Funds

CONTENTS

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

Fund Index ...... 3

MassMutual Blue Chip Growth CIT ...... 4

MassMutual Growth Opportunities CIT ...... 13

MassMutual Small Cap Growth Equity CIT ...... 19

MassMutual Fundamental Value CIT ...... 29

Notes to the Financial Statements...... 38

INDEPENDENT AUDITOR'S REPORT

Wilm ington Trust, N.A, Trustee for Wilmington Trust Collective Investment Trust

Report on the Financial Statements

We have audited the accompanying financial statements of the MassMutual Funds of the Wilmington Trust Collective Investment Trust (the "Trust"), comprising the Funds (the "Funds") on the Fund Index on page 3, which comprise the s tatements of assets and liabilities, including the schedules of investments, as of December 31, 2019, and the related s tatements of operations and changes in net assets, and the financial highlights for the period from the inception dates, as shown for each Fund on the Fund Index, to December 31, 2019, and the related notes to the financial statem ents. These financial statements and financial highlights are hereinafter collectively referred to as financial statemen ts.

Management's Responsibility for the Financial Statements

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

Auditor 's Responsibility

Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our a udits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits 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, the auditor considers internal control relevant to the entity's preparation and fair presentation of the financial statemen ts in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial st atements.

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

Opinion

I n our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, and the results of its operations, and changes in its net assets and its financial highlights for the period from the inception dates, as shown for each Fund on the Fund Index, to December 31, 2019, in accordance with accounting principles generally accepted in the United States of America.

1 www.hogantaylor.com

Other Matter

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

Tulsa, Oklahoma April 29, 2020

2

MassMutual Funds

Wilmington Trust Collective Investment Trust MassMutual Funds

FUND INDEX

FUND NAME INCEPTION DATE FUND OBJECTIVE

MassMutual Blue Chip Growth CIT March 1, 2019 The Fund seeks to provide long-term capital growth through investments in the common stocks of large-cap growth companies.

MassMutual Growth Opportunities March 1, 2019 The Fund seeks to exceed the Russell 1000 Growth Index, net CIT of fees, on an annualized basis over a full market cycle and for performance to exceed the median performance as defined by a widely accepted universe of U.S. large cap growth equity managers.

MassMutual Small Cap Growth Equity March 1, 2019 The Fund seeks to provide long-term total return in excess of CIT the Russell 2000 Index.

MassMutual Fundamental Value CIT April 15, 2019 The Fund seeks to produce a total return, net of fees, from the combination of dividends, growth in dividends, and capital appreciation that is in excess of the return of the Russell 1000 Value Index over a full market cycle.

3 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Blue Chip Growth CIT

Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $92,388,486) $ 106,066,007 Receivable for investment securities sold 64,603 Receivable for fund units sold 94,605 Dividends and interest receivable 12,981 Total assets 106,238,196 Liabilities and Net Assets Payable to custodian 2,873 Payable for investment securities purchased 51,869 Accrued expenses 134,878 Total liabilities 189,620 Net assets $ 106,048,576

Statement of Operations For the period from March 1, 2019 (date of inception) to December 31, 2019 Investment income Dividends (net of foreign taxes withheld of $85) $ 308,338 Interest 7,625 Total investment income 315,963 Expenses Trustee, management and overlay advisor fees 433,583 Professional services and other operating expenses 4,170 Total expenses 437,753 Net investment loss (121,790) Realized and unrealized gain (loss) on investments and foreign currency transactions Net realized gain on investments 223,186 Net realized loss on foreign currency transactions (213) Net change in unrealized appreciation on investments 13,677,521 Net realized and unrealized gain on investments and foreign currency transactions 13,900,494 Net increase in net assets resulting from operations $ 13,778,704

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

MassMutual Blue Chip Growth CIT

Statement of Changes in Net Assets For the period from March 1, 2019 (date of inception) to December 31, 2019 Increase (decrease) in net assets resulting from operations Net investment loss $ (121,790) Net realized gain on investments sold and foreign currency transactions 222,973 Net change in unrealized appreciation on investments 13,677,521 Net increase in net assets resulting from operations 13,778,704 Fund unit transactions Proceeds from units issued - Class R 105,532,094 Value of units redeemed - Class R (13,262,222) Increase in net assets resulting from fund unit transactions 92,269,872 Increase in net assets 106,048,576 Net assets, beginning of period - Net assets, end of period $ 106,048,576

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

MassMutual Blue Chip Growth CIT

Financial Highlights For the period from March 1, 2019 (date of inception) to December 31, 2019 Per Unit Operating Performance Class R Net asset value, at inception $ 10.00 Income (loss) from investment operations: Net investment loss (1) (0.01) Net realized and unrealized gain on investments (1) 1.44 Total income from investment operations 1.43 Net asset value, end of period $ 11.43 Total Return 14.30% ^ Supplemental Data Ratio to average net assets: Expenses 0.51% # Net investment loss (0.14%) # Fund Unit Activity Units, beginning of period - Issued 10,535,523 Redeemed (1,257,939) Units, end of period 9,277,584

(1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized except audit expense.

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

MassMutual Blue Chip Growth CIT

Schedule of Investments December 31, 2019

Principal Amount or Fair Shares Cost Value

Collective Fund - 45.8% Loomis Sayles Large Cap Growth Trust 1,819,775 $ 41,769,240 $ 48,606,196

Common Stocks - 51.6% Basic Materials - 0.4% Air Products & Chemicals Inc. 180 33,540 42,298 Linde PLC 895 168,657 190,546 The Sherwin-Williams Company 257 124,398 149,970 Total Basic Materials 326,595 382,814

Communications - 15.3% Alphabet, Inc. Class A 532 612,223 712,555 Alphabet, Inc. Class C 2,274 2,656,210 3,040,383 Amazon.com, Inc. 2,726 4,558,880 5,037,212 Book Holdings Inc. 421 722,191 864,620 Facebook, Inc. Class A 17,988 3,008,154 3,692,037 IAC/InterActiveCorp 1,467 320,474 365,444 Match Group, Inc. 1,130 89,722 92,784 Motorola Solutions Inc. 29 4,296 4,673 Netflix, Inc. 2,595 908,763 839,664 Spotify Technology S.A. 870 128,508 130,109 Tencent Holdings Limited 27,300 1,185,005 1,315,983 Total Communications 14,194,426 16,095,464

Consumer, Cyclical - 3.6% Aptiv PLC 3,466 292,434 329,166 Chipotle Mexican Grill, Inc. 40 32,999 33,484 Dollar General Corporation 4,345 526,752 677,733 Dollar Tree, Inc. 1,262 134,362 118,691 Ferrari NV 362 47,713 59,925 Hilton Worldwide Holdings Inc. 2,752 231,709 305,224 Lululemon Athletica Inc. 1,146 239,442 265,494 Marriott International, Inc. Class A 1,605 203,104 243,045 Nike, Inc. Class B 3,278 297,577 332,094 Restaurant Brands International Inc. 1,570 107,025 100,119 Ross Stores, Inc. 4,475 426,134 520,980 Royal Caribbean Cruises Ltd. 997 118,323 133,109

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

MassMutual Blue Chip Growth CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 51.6% (continued) Consumer, Cyclical - 3.6% (continued) The TJX Companies, Inc. 1,407 $ 80,547 $ 85,911 United Continental Holdings 3,461 301,083 304,879 VF Corporation 841 73,550 83,814 Wynn Resorts, Limited 1,189 156,654 165,116 Yum! Brands, Inc. 500 52,980 50,365 Total Consumer, Cyclical 3,322,388 3,809,149

Consumer, Non-cyclical - 3.0%% Automatic Data Processing, Inc. 467 74,357 79,624 Cintas Corporation 223 50,062 60,005 Constellation Brands, Inc. Class A 16 3,234 3,036 CoStar Group, Inc. 415 234,843 248,295 Equifax Inc. 700 98,084 98,084 Fleetcor Technologies Inc. 1,022 258,491 294,050 Global Payments Inc. 5,992 813,391 1,093,900 IHS Markit Ltd. 933 60,689 70,302 PayPal Holdings, Inc. 8,549 846,387 924,745 Philip Morris International 10 824 851 S&P Global Inc. 1,226 263,462 334,759 Total Consumer, Non-cyclical 2,703,824 3,207,651

Energy - 0.2% Concho Resources Inc. 731 72,964 64,014 Pioneer Natural Resources Company 710 96,484 107,473 Total Energy 169,448 171,487

Financials - 5.8% American International Group 1,432 78,408 73,505 Charles Schwab Corporation 4,551 206,589 216,446 Chubb Ltd. 740 109,826 115,188 Citigroup Inc. 195 12,593 15,579 Goldman Sachs Group, Inc. 179 39,462 41,157 Intercontinental Exchange, Inc. 3,534 292,632 327,072 JPMorgan Chase & Company 72 8,291 10,037 Marsh & McLennan Companies, Inc. 1,861 178,960 207,334 Mastercard Incorporated Class A 6,306 1,434,537 1,882,909

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

MassMutual Blue Chip Growth CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 51.6% (continued) Financials - 5.8% (continued) Morgan Stanley 4,176 $ 184,825 $ 213,477 State Street Corporation 883 65,996 69,845 TD Ameritrade Holding Corporation 6,585 368,704 327,275 Visa, Inc. Class A 11,258 1,683,897 2,115,378 Willis Towers Watson PLC 2,649 462,339 534,939 Total Financials 5,127,059 6,150,141

Health Care - 8.4% Abbott Laboratories 415 33,143 36,047 Agilent Technologies, Inc. 125 8,988 10,664 Alexion Pharmaceuticals, Inc. 1,957 264,801 211,650 Amgen, Inc. 41 9,513 9,884 Anthem, Inc. 1,948 590,622 588,354 Becton, Dickinson and Company 2,955 751,248 803,671 Scientific Corporation 163 6,793 7,371 Centene Corporation 4,161 233,606 261,602 Cigna Corporation 4,941 875,192 1,010,385 Danaher Corporation 4,383 562,617 672,703 Exact Sciences Corporation 881 88,478 81,475 HCA Healthcare, Inc. 1,779 249,373 262,954 Intuitive Surgical Inc. 1,442 804,325 852,438 Seattle Genetics, Inc. 260 26,905 29,708 Stryker Corporation 4,875 933,846 1,023,458 Inc. 37 13,532 13,928 Thermo Fisher Scientific, Inc. 2,102 554,902 682,877 UnitedHealth Group, Inc. 3,759 930,862 1,105,071 Veeva Systems Inc. Class A 423 64,234 59,499 Vertex Pharmaceuticals Inc. 4,313 827,091 944,331 WellCare Health Plans, Inc. 586 154,945 193,503 Zoetis, Inc. 693 80,688 91,719 Total Health Care 8,065,704 8,953,292

Industrial - 2.6% Canadian Pacific Railway Ltd. 527 108,171 134,359 Fortive Corporation 266 21,845 20,320 Honeywell International Inc. 1,001 158,646 177,177 Kansas City Southern 410 53,639 62,796

See Notes to the Financial Statements. 9 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Blue Chip Growth CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 51.6% (continued) Industrial - 2.6% (continued) L3Harris Technologies, Inc. 891 $ 159,416 $ 176,302 Norfolk Southern Corporation 504 95,243 97,842 Northrop Grumman Corporation 840 253,807 288,935 Roper Technologies 1,058 343,256 374,775 The Boeing Company 3,909 1,671,764 1,273,396 Union Pacific Corporation 976 167,236 176,451 United Parcel Service, Inc. Class B 38 4,661 4,448 Total Industrial 3,037,684 2,786,801

Technology - 12.2% Advanced Micro Devices, Inc. 3,679 154,032 168,719 Apple Inc. 5,051 1,256,896 1,483,226 Applied Materials, Inc. 3,898 203,340 237,934 Atlassian Corporation PLC 365 46,771 43,924 Broadcom Inc. 33 10,254 10,429 DocuSign, Inc. 1,512 90,762 112,054 Electronic Arts, Inc. 1,277 125,841 137,290 Fidelity National Information Services, Inc. 6,804 747,415 946,368 Fiserv, Inc. 8,086 721,493 934,984 Intuit Inc. 4,019 1,013,783 1,052,697 KLA-Tencor Corporation 952 123,290 169,618 Lam Research Corporation 543 137,635 158,773 Marvell Technology Group Ltd. 9,170 227,666 243,555 Maxim Integrated Products inc. 1,016 57,051 62,494 Microchip Technology Inc. 306 28,100 32,044 Microsoft Corporation 18,373 2,079,361 2,897,422 NVIDIA Corporation 1,612 284,437 379,304 Paycom Software, Inc. 552 125,481 146,148 QUALCOMM, Inc. 1,287 112,842 113,552 Salesforce.com, Inc. 6,570 1,077,391 1,068,545 ServiceNow, Inc. 3,843 935,685 1,084,956 Splunk Inc. 3,010 400,624 450,808 Synopsys, Inc. 371 50,853 51,643 Texas Instruments, Inc. 653 71,015 83,773 VMWare, Inc. Class A 1,773 304,756 269,124 Workday Inc. Class A 3,506 656,759 576,562 Xilinx, Inc. 35 4,433 3,422 Total Technology 11,047,966 12,919,368

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

MassMutual Blue Chip Growth CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 51.6% (continued) Utilities - 0.1% NextEra Energy, Inc. 15 $ 2,813 $ 3,632 Sempra Energy 1,003 124,529 151,934 Total Utilities 127,342 155,566 Total Common Stocks 48,122,436 54,631,733

Depositary Receipts - 2.4% Communication - 2.3% Alibaba Group Holding Limited 11,761 2,147,834 2,494,508

Consumer, Cyclical - 0.1% Trip.com Group Limited 2,601 102,644 87,238 Total Depositary Receipts 2,250,478 2,581,746

Money Market Fund - 0.2% State Street Institutional U.S. Government Money Market Fund 246,332 246,332 246,332 Total Investments - 100.0% $ 92,388,486 106,066,007 Other Assets and Liabilities, Net - (0.0%) (17,431) Net Assets - 100% $ 106,048,576

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):

Fair Value Measurements Level 1 Level 2 Level 3 Total

Collective Fund measured at net asset value* $ - $ - $ - $ 48,606,196 Common Stocks 54,631,733 - - 54,631,733 Depositary Receipts 2,581,746 - - 2,581,746 Money Market Fund 246,332 - - 246,332 Total $ 57,459,811 $ - $ - $ 106,066,007

*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.

See Notes to the Financial Statements. 11 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Blue Chip Growth 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 $ 116,958,519 $ 25,039,551 $ 223,186

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

MassMutual Growth Opportunities CIT

Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $71,658,399) $ 81,551,600 Receivable for fund units sold 86,024 Dividends and interest receivable 17,911 Total assets 81,655,535 Liabilities and Net Assets Payable to custodian 643,617 Accrued expenses 122,034 Total liabilities 765,651 Net assets $ 80,889,884

Statement of Operations For the period from March 1, 2019 (date of inception) to December 31, 2019 Investment income Dividends $ 326,530 Interest 40,623 Total investment income 367,153 Expenses Trustee, management and overlay advisor fees 392,178 Professional services and other operating expenses 3,207 Total expenses 395,385 Net investment loss (28,232) Realized and unrealized gain (loss) on investments Net realized loss on investments (651,958) Net change in unrealized appreciation on investments 9,893,201 Net realized and unrealized gain on investments 9,241,243 Net increase in net assets resulting from operations $ 9,213,011

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

MassMutual Growth Opportunities CIT

Statement of Changes in Net Assets For the period from March 1, 2019 (date of inception) to December 31, 2019 Increase (decrease) in net assets resulting from operations Net investment loss $ (28,232) Net realized loss on investments (651,958) Net change in unrealized appreciation on investments 9,893,201 Net increase in net assets resulting from operations 9,213,011 Fund unit transactions Proceeds from units issued - Class R 80,881,517 Value of units redeemed - Class R (9,204,644) Increase in net assets resulting from fund unit transactions 71,676,873 Increase in net assets 80,889,884 Net assets, beginning of period - Net assets, end of period $ 80,889,884

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

MassMutual Growth Opportunities CIT

Financial Highlights For the period from March 1, 2019 (date of inception) to December 31, 2019 Per Unit Operating Performance Class R Net asset value, at inception $ 10.00 Income (loss) from investment operations Net investment loss (1) (0.00) * Net realized and unrealized gain on investments (1) 1.23 Total income from investment operations 1.23 Net asset value, end of period $ 11.23 Total Return 12.34% ^ Supplemental Data Ratio to average net assets: Net expenses 0.60% # Net investment loss (0.04%) # Fund Unit Activity Units, beginning of period - Issued 8,075,355 Redeemed (875,216) Units, end of period 7,200,139

(1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized except audit expense. * Less than $0.001.

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

MassMutual Growth Opportunities CIT

Schedule of Investments December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 93.7% Communications - 19.8% Alphabet, Inc. Class A 3,129 $ 3,694,972 $ 4,190,951 Alphabet, Inc. Class C 65 73,647 86,906 Amazon.com, Inc. 1,557 2,588,504 2,877,087 Charter Communications, Inc. Class A 4,254 1,487,490 2,063,530 Facebook, Inc. Class A 8,058 1,314,233 1,653,905 Match Group, Inc. 25,275 1,518,079 2,075,330 Netflix, Inc. 9,428 3,257,232 3,050,618 Total Communications 13,934,157 15,998,327

Consumer, Cyclical - 7.1% Dollar Tree, Inc. 17,515 1,714,245 1,647,286 Domino's Pizza, Inc. 4,675 1,162,355 1,373,422 Floor & Décor Holdings, Inc. Class A 17,550 665,670 891,716 Hasbro, Inc. 17,533 1,549,523 1,851,660 Total Consumer, Cyclical 5,091,793 5,764,084

Consumer, Non-cyclical - 7.9% Constellation Brands, Inc. Class A 10,605 1,907,691 2,012,299 CoStar Group, Inc. 3,010 1,425,405 1,800,883 Monster Beverage Corporation 16,975 1,083,862 1,078,761 PayPal Holdings, Inc. 14,097 1,397,775 1,524,872 Total Consumer, Non-cyclical 5,814,733 6,416,815

Financials - 13.9% Charles Schwab Corporation 33,396 1,530,745 1,588,314 CME Group, Inc. 5,956 1,106,165 1,195,488 KKR & Company Inc. Class A 56,078 1,268,610 1,635,795 Mastercard Incorporated Class A 5,748 1,302,819 1,716,295 Visa, Inc. Class A 27,011 4,025,769 5,075,367 Total Financials 9,234,108 11,211,259

Health Care - 15.4% ABIOMED Inc. 2,105 668,072 359,092 Align Technology, Inc. 3,500 913,557 976,640 Edwards Lifesciences Corporation 6,725 1,170,084 1,568,875 Illumina Inc. 8,495 2,680,666 2,818,131 IQVIA Holdings Inc. 15,167 2,166,165 2,343,453 Mirati Therapeutics, Inc. 3,875 362,100 499,333

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

MassMutual Growth Opportunities CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 93.7% (continued) Health Care - 15.4% (continued) Sarepta Therapeutics, Inc. 4,909 $ 673,946 $ 633,457 UnitedHealth Group, Inc. 6,399 1,583,028 1,881,178 Zoetis, Inc. 10,336 1,205,360 1,367,970 Total Health Care 11,422,978 12,448,129

Industrial - 2.5% Ball Corporation 31,612 1,931,118 2,044,348

Technology - 27.1% Activision Blizzard, Inc. 11,825 507,913 702,642 Adobe Inc. 5,505 1,448,882 1,815,604 Applied Materials, Inc. 19,541 749,332 1,192,783 Arista Networks, Inc. 4,231 1,159,053 860,585 Atlassian Corporation PLC 3,825 421,156 460,301 Autodesk, Inc. 7,591 1,216,229 1,392,645 Intuit Inc. 5,670 1,464,389 1,485,143 Microsoft Corporation 37,928 4,503,078 5,981,246 Salesforce.com, Inc. 7,874 1,285,030 1,280,627 ServiceNow, Inc. 12,457 3,015,230 3,516,860 Take-Two Interactive Software, Inc. 9,981 876,857 1,221,974 Texas Instruments, Inc. 7,425 933,661 952,553 Twilio Inc. Class A 4,300 527,602 422,604 Workday Inc. Class A 3,700 698,350 608,465 Total Technology 18,806,762 21,894,032 Total Common Stocks 66,235,649 75,776,994

Depositary Receipts - 2.3% Communication - 2.3% Alibaba Group Holding Limited 7,955 1,472,566 1,687,256 Sea Limited 5,300 202,793 213,166 Total Depositary Receipts 1,675,359 1,900,422

Real Estate Investment Trust - 0.9% Financials - 0.9% Crown Castle International Corporation 5,301 626,744 753,537

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

MassMutual Growth Opportunities CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Money Market Fund - 3.9% State Street Institutional U.S. Government Money Market Fund 3,120,647 $ 3,120,647 $ 3,120,647 Total Investments - 100.8% $ 71,658,399 81,551,600 Other Assets and Liabilities, Net - (0.8%) (661,716) Net Assets - 100% $ 80,889,884

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):

Fair Value Measurements Level 1 Level 2 Level 3 Total

Common Stocks $ 75,776,994 $ - $ - $ 75,776,994 Depositary Receipts 1,900,422 - - 1,900,422 Real Estate Investment Trust 753,537 - - 753,537 Money Market Fund 3,120,647 - - 3,120,647 Total $ 81,551,600 $ - $ - $ 81,551,600

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 $ 92,423,179 $ 23,233,469 $ (651,958)

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

MassMutual Small Cap Growth Equity CIT

Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $57,983,230) $ 63,461,042 Receivable for investment securities sold 81,726 Receivable for fund units sold 64,654 Dividends and interest receivable 50,139 Total assets 63,657,561 Liabilities and Net Assets Payable to custodian 10,246 Payable for investment securities purchased 161,121 Accrued expenses 110,381 Total liabilities 281,748 Net assets $ 63,375,813

Statement of Operations For the period from March 1, 2019 (date of inception) to December 31, 2019 Investment income Dividends (Net of foreign taxes withheld of $1,321) $ 593,368 Interest 27,385 Total investment income 620,753 Expenses Trustee, management and overlay advisor fees 359,363 Professional services and other operating expenses 2,514 Total expenses 361,877 Net investment income 258,876 Realized and unrealized gain on investments and foreign currency transactions Net realized gain on investments 307,294 Net realized gain on foreign currency transactions 256 Net change in unrealized appreciation on investments 5,477,812 Net realized and unrealized gain on investments and foreign currency transactions 5,785,362 Net increase in net assets resulting from operations $ 6,044,238

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

MassMutual Small Cap Growth Equity CIT

Statement of Changes in Net Assets For the period from March 1, 2019 (date of inception) to December 31, 2019 Increase in net assets resulting from operations Net investment income $ 258,876 Net realized gain on investments and foreign currency transactions 307,550 Net change in unrealized appreciation on investments 5,477,812 Net increase in net assets resulting from operations 6,044,238 Fund unit transactions Proceeds from units issued - Class N 65,717,444 Value of units redeemed - Class N (8,385,869) Increase in net assets resulting from fund unit transactions 57,331,575 Increase in net assets 63,375,813 Net assets, beginning of period - Net assets, end of period $ 63,375,813

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

MassMutual Small Cap Growth Equity CIT

Financial Highlights For the period from March 1, 2019 (date of inception) to December 31, 2019 Per Unit Operating Performance Class N Net asset value, at inception $ 10.00 Income from investment operations: Net investment income (1) 0.04 Net realized and unrealized gain on investments (1) 1.00 Total income from investment operations 1.04 Net asset value, end of period $ 11.04 Total Return 10.37% ^ Supplemental Data Ratio to average net assets: Net expenses 0.70% # Net investment income 0.51% # Fund Unit Activity Units, beginning of year - Issued 6,567,127 Redeemed (824,758) Units, end of year 5,742,369 (1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized except audit expense.

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

MassMutual Small Cap Growth Equity CIT

Schedule of Investments December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.2% Basic Materials - 1.4% Ingevity Corporation 5,096 $ 492,305 $ 445,288 Methanex Corporation 5,282 292,276 204,044 Orion Engineered Carbons S.A. 11,063 298,850 213,516 Total Basic Materials 1,083,431 862,848

Communications - 1.4% Cardlytics, Inc. 4,029 143,925 253,263 Alphabet, Inc. Class C 7,981 318,528 340,709 The New York Times Company 8,141 271,319 261,896 Total Communications 733,772 855,868

Consumer, Cyclical - 15.3% Acushnet Holdings Corporation 20,623 524,000 670,248 American Woodmark Corporation 2,700 271,177 282,177 BMC Stock Holdings, Inc. 9,670 184,272 277,432 BRP Inc. 11,911 436,429 543,225 Carter's, Inc. 4,518 446,880 493,998 Cavco Industries, Inc. 1,930 321,746 377,083 Cinemark Holdings, Inc. 9,860 373,928 333,761 Deckers Outdoor Corporation 1,837 273,932 310,196 Five Below, Inc. 2,852 336,067 364,657 Floor & Décor Holdings, Inc. 7,834 340,530 398,046 La-Z-Boy Incorporated 8,831 303,659 278,000 Lindblad Expeditions Holdings, Inc. 14,020 196,841 229,227 Marriott Vacations Worldwide Corporation 5,041 508,060 649,079 Monro, Inc. 2,700 197,430 211,140 Nu Skin Enterprises, Inc. Class A 6,479 344,062 265,509 Peloton Interactive, Inc. Class A 7,841 227,783 222,684 Planet Fitness, Inc. 8,398 546,707 627,163 Rush Enterprises, Inc. Class A 12,546 508,334 583,389 Skechers U.S.A., Inc. 5,895 199,158 254,605 Skyline Champion Corporation 28,238 585,335 895,145 The Cheesecake Factory Incorporated 15,287 664,396 594,053 The Children's Place, Inc. 2,962 280,890 185,184 Under Armour, Inc. 15,888 313,102 304,732 YETI Holdings, Inc. 10,036 282,427 349,052 Total Consumer, Cyclical 8,667,145 9,699,785

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

MassMutual Small Cap Growth Equity CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.2% (continued) Consumer, Non-cyclical - 5.1% Cardtronics PLC Class A 8,722 $ 259,581 $ 389,437 Chegg, Inc. 10,934 409,330 414,508 Grand Canyon Education, Inc. 2,078 254,225 199,052 LiveRamp Holdings, Inc. 8,593 444,958 413,066 Nomad Foods Limited 10,900 217,891 243,833 Ollie's Bargain Outlet Holdings, Inc. 2,703 188,655 176,533 Performance Food Group Company 14,741 595,689 758,867 Sanderson Farms, Inc. 1,099 127,163 193,666 The Brink's Company 4,596 373,591 416,765 Total Consumer, Non-cyclical 2,871,083 3,205,727

Energy - 0.4% Delek US Holdings, Inc. 8,397 302,895 281,551

Financials - 12.7% Air Lease Corporation 6,092 231,565 289,492 Ameris Bancorp 14,288 588,949 607,812 Ares Management Corporation Class A 6,892 199,244 245,975 Assured Guaranty Ltd. 5,627 245,379 275,836 Atlantic Union Bankshares Corporation 16,613 596,197 623,818 BancorpSouth Bank 21,685 695,328 681,126 First Interstate BancSystem, Inc. Class A 7,752 319,735 324,964 FirstCash, Inc. 3,246 289,340 261,725 James River Group Holdings, Inc. 6,492 265,137 267,535 Kemper Corporation 3,806 317,038 294,965 Kennedy-Wilson Holdings, Inc. 32,689 684,769 728,965 MGIC Investment Corporation 23,742 310,830 336,424 National Bank Holdings Corporation Class A 8,848 313,828 311,627 NMI Holdings, Inc. Class A 8,225 205,121 272,906 OceanFirst Financial Corporation 5,600 139,877 143,024 PRA Group, Inc. 17,400 559,241 631,620 Seacoast Banking Corporation of Florida 11,014 323,620 336,698 Solar Capital Ltd. 11,457 244,676 236,243 South State Corporation 3,863 280,114 335,115 Sterling Bancorp 36,592 745,961 771,359 Third Point Reinsurance Ltd. 4,600 48,162 48,392 Total Financials 7,604,111 8,025,621

See Notes to the Financial Statements. 23 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Small Cap Growth Equity CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.2% (continued) Health Care - 20.6% Acadia Healthcare Company, Inc. 6,516 $ 215,691 $ 216,462 ACADIA Pharmaceuticals, Inc. 3,894 162,017 166,585 Acceleron Pharma, Inc. 3,621 177,433 191,985 Aerie Pharmaceuticals, Inc. 4,282 201,150 103,496 Amedisys, Inc. 5,097 640,260 850,791 Amicus Therapeutics, Inc. 23,749 307,423 231,315 Apellis Pharmaceuticals, Inc. 6,687 130,428 204,756 Arena Pharmaceuticals, Inc. 6,361 326,971 288,917 Avanos Medical, Inc. 4,490 215,060 151,313 Blueprint Medicines Corporation 5,339 453,606 427,707 CRISPR Therapeutics AG 1,919 76,717 116,877 CytomX Therapeutics, Inc. 7,360 80,384 61,162 Forty Seven, Inc. 3,831 137,988 150,826 G1 Therapeutics, Inc. 9,174 181,090 242,469 Global Blood Therapeutics, Inc. 2,498 175,684 198,566 Inc. Class A 13,167 634,760 775,273 Haemonetics Corporation 6,590 608,547 757,191 Heron Therapeutics, Inc. 9,048 214,559 212,628 Hill Rom Holdings, Inc. 3,730 397,762 423,467 HMS Holdings Corporation 18,331 634,174 542,598 Insulet Corporation 3,308 337,949 566,330 Iovance Biotherapeutics, Inc. 13,629 324,622 377,251 iRhythm Technologies, Inc. 2,229 161,841 151,773 Karyopharm Therapeutics Inc. 9,132 39,005 175,060 Kodiak Sciences Inc. 4,017 184,782 289,023 LHC Group, Inc. 2,108 230,694 290,398 Molina Healthcare, Inc. 1,507 208,580 204,485 MyoKardia, Inc. 5,066 274,298 369,235 NovoCure Limited 1,687 145,362 142,163 Omnicell, Inc. 12,615 1,059,363 1,030,898 Portola Pharmaceuticals, Inc. 4,088 139,818 97,621 PRA Health Sciences, Inc. 3,745 395,906 416,257 Principia Biopharma Inc. 4,433 161,366 242,840 PTC Therapeutics, Inc. 3,726 177,869 178,960 Reata Pharmaceuticals, Inc. Class A 1,071 99,568 218,945 Revance Therapeutics, Inc. 11,288 189,998 183,204 Rhythm Pharmaceuticals, Inc. 7,610 185,423 174,726 Sage Therapeutics, Inc. 2,032 201,707 146,690

See Notes to the Financial Statements. 24 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Small Cap Growth Equity CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.2% (continued) Health Care - 20.6% (continued) Sangamo Therapeutics, Inc. 27,558 $ 309,572 $ 230,660 Tandem Diabetes Care, Inc. 8,851 595,083 527,608 Teladoc Health, Inc. 1,463 121,478 122,482 Theravance Biopharma, Inc. 2,000 47,076 51,780 Tricida, Inc. 3,000 114,384 113,220 UroGen Pharma Ltd. 3,024 118,764 100,911 Y-mAbs Therapeutics, Inc. 11,901 349,279 371,906 Total Health Care 12,145,491 13,088,810

Industrial - 19.0% Advanced Drainage Systems, Inc. 21,537 611,564 836,497 Aerojet Rocketdyne Holdings, Inc. 12,846 482,454 586,548 Applied Industrial Technologies, Inc. 2,079 139,962 138,649 Argan, Inc. 15,925 730,895 639,230 Axon Enterprise, Inc. 3,270 182,330 239,626 Carpenter Technology Corporation 15,892 766,986 791,104 Chart Industries, Inc. 9,612 717,861 648,714 Clean Harbors, Inc. 3,482 242,708 298,582 Curtiss Wright Corporation 3,227 408,336 454,652 Enerpac Tool Group Corporation 10,586 253,962 275,554 EnerSys 8,570 629,440 641,293 GATX Corporation 3,508 271,640 290,638 Graphic Packaging Holding Company 21,668 264,732 360,772 ITT, Inc. 8,563 505,330 632,891 John Bean Technologies Corporation 2,719 255,565 306,323 Kennametal Inc. 9,000 273,097 332,010 Kirby Corporation 3,960 293,745 354,539 Louisiana-Pacific Corporation 21,735 565,542 644,877 McGrath RentCorp 9,873 607,301 755,679 Novanta Inc. 2,879 263,627 254,619 Rexnord Corporation 32,593 881,827 1,063,189 Saia, Inc. 2,643 255,019 246,116 SPX FLOW, Inc. 7,006 251,939 342,383 TriNet Group, Inc. 12,817 797,191 725,570 Watts Water Technologies, Inc. Class A 2,351 189,532 234,536 Total Industrial 10,842,585 12,094,591

See Notes to the Financial Statements. 25 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Small Cap Growth Equity CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 90.2% (continued) Technology - 13.9% Bandwidth Inc. Class A 6,927 $ 422,042 $ 443,674 Cloudera, Inc. 19,210 286,384 223,412 Cohu, Inc. 12,765 220,076 291,680 Entegris Inc. 13,533 494,598 677,868 EPAM Systems, Inc. 960 160,174 203,674 Fair Isaac Corporation 578 153,479 216,565 First Solar, Inc. 6,222 332,135 348,183 Five9, Inc. 10,027 539,670 657,571 Forescout Technologies, Inc. 4,005 163,357 131,364 Guidewire Software, Inc. 3,396 319,700 372,779 HubSpot, Inc. 3,705 623,542 587,243 Lattice Semiconductor Corporation 14,468 179,299 276,918 Lumentum Holdings Inc. 3,121 227,658 247,495 Mimecast Limited 16,184 760,378 702,062 MKS Instruments, Inc. 1,795 150,524 197,468 Pros Holdings Inc. 4,015 246,029 240,579 Rapid7, Inc. 8,140 414,936 456,003 SailPoint Technologies Holdings, Inc. 8,508 265,939 200,789 Science Applications International Corporation 4,864 378,021 423,265 SunPower Corporation 21,736 152,152 169,541 SVMK Inc. 16,063 267,208 287,046 Tower Semiconductor Ltd. 42,094 759,743 1,012,782 Zebra Technologies Corporation Class A 1,621 330,567 414,068 Total Technology 7,847,611 8,782,029

Utilities - 0.4% Black Hills Corporation 3,626 260,918 284,786 Total Common Stocks 52,359,042 57,181,616

Depositary Receipts - 1.7% Health Care - 1.3% Ascendis Pharma A/S 1,417 169,791 197,133 Galapagos NV 2,136 237,570 441,789 Orchard Therapeutics PLC 12,161 176,838 167,214 Total Health Care 584,199 806,136

See Notes to the Financial Statements. 26 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Small Cap Growth Equity CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Depositary Receipts - 1.7% (continued) Technology - 0.4% Endava PLC 5,842 $ 176,420 $ 272,237 Total Depositary Receipts 760,619 1,078,373

Exchange-Traded Fund - 0.7% iShares Russell 2000 ETF 2,528 414,259 418,814

Limited Partnership Units - 0.6% Viper Energy Partners LP 15,975 527,384 393,944

Real Estate Investment Trusts - 5.8% 17,737 264,849 279,358 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 24,239 613,658 780,011 Life Storage, Inc. 2,856 278,409 309,248 MFA Financial, Inc. 37,889 274,305 289,851 NexPoint Residential Trust, Inc. 10,548 396,310 474,660 PotlatchDeltic Corporation 9,100 329,315 393,757 PS Business Parks, Inc. 1,396 207,205 230,159 Redwood Trust, Inc. 15,413 236,397 254,931 Xenia Hotels & Resorts, Inc. 31,010 615,284 670,126 Total Real Estate Investment Trusts 3,215,732 3,682,101

Money Market Fund - 1.1% State Street Institutional U.S. Government Money Market Fund 706,194 706,194 706,194 Total Investments - 100.1% $ 57,983,230 63,461,042 Other Assets and Liabilities, Net - (0.1%) (85,229) Net Assets - 100% $ 63,375,813

See Notes to the Financial Statements. 27 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Small Cap Growth Equity 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):

Fair Value Measurements Level 1 Level 2 Level 3 Total

Common Stocks $ 57,181,616 $ - $ - $ 57,181,616 Depositary Receipts 1,078,373 - - 1,078,373 Exchange-Traded Fund 418,814 - - 418,814 Limited Partnership Units 393,944 - - 393,944 Real Estate Investment Trusts 3,682,101 - - 3,682,101 Money Market Fund 706,194 - - 706,194 Total $ 63,461,042 $ - $ - $ 63,461,042

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 $ 94,604,831 $ 37,635,089 $ 307,294

See Notes to the Financial Statements. 28 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Statement of Assets and Liabilities December 31, 2019 Assets Investments in securities, at fair value (cost $72,811,518) $ 79,606,922 Cash and cash equivalents 2,057 Receivable for investment securities sold 137,367 Dividends and interest receivable 76,528 Foreign tax reclaim receivable 3,645 Total assets 79,826,519 Liabilities and Net Assets Payable for investment securities purchased 70,814 Payable for fund units redeemed 89,022 Accrued expenses 92,221 Total liabilities 252,057 Net assets $ 79,574,462

Statement of Operations For the period from April 15, 2019 (date of inception) to December 31, 2019 Investment income Dividends (net of foreign taxes withheld of $3,771) $ 1,261,778 Interest 23,322 Total investment income 1,285,100 Expenses Trustee, management and overlay advisor fees 244,318 Professional services and other operating expenses 2,633 Total expenses 246,951 Net investment income 1,038,149 Realized and unrealized gain (loss) on investments Net realized loss on investments (655,476) Net change in unrealized appreciation on investments 6,795,404 Net realized and unrealized gain on investments 6,139,928 Net increase in net assets resulting from operations $ 7,178,077

See Notes to the Financial Statements. 29 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Statement of Changes in Net Assets For the period from April 15, 2019 (date of inception) to December 31, 2019 Increase (decrease) in net assets resulting from operations Net investment income $ 1,038,149 Net realized loss on investments (655,476) Net change in unrealized appreciation on investments 6,795,404 Net increase in net assets resulting from operations 7,178,077 Fund unit transactions Proceeds from units issued - Class R 77,603,182 Value of units redeemed - Class R (5,206,797) Increase in net assets resulting from fund unit transactions 72,396,385 Increase in net assets 79,574,462 Net assets, beginning of period - Net assets, end of period $ 79,574,462

See Notes to the Financial Statements. 30 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Financial Highlights For the period from April 15, 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) 0.14 Net realized and unrealized gain on investments (1) 0.84 Total income from investment operations 0.98 Net asset value, end of period $ 10.98 Total Return 9.80% ^ Supplemental Data Ratio to average net assets: Net expenses 0.46% # Net investment income 1.94% # Fund Unit Activity Units, beginning of period - Issued 7,755,602 Redeemed (511,322) Units, end of period 7,244,280

(1) Based on average units outstanding. ^Not annualized for periods less than one year. #Annualized except audit expense.

See Notes to the Financial Statements. 31 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Schedule of Investments December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 92.3% Basic Materials - 5.7% Air Products & Chemicals Inc. 1,637 $ 317,480 $ 384,679 Barrick Gold Corporation 32,553 444,299 605,160 Corteva, Inc. 33,478 974,577 989,610 DuPont de Nemours, Inc. 17,024 1,338,899 1,092,941 Element Solutions Inc. 19,436 203,239 227,012 FMC Corporation 2,380 198,430 237,572 Linde PLC 3,443 623,362 733,015 The Mosaic Company 12,083 293,516 261,476 Total Basic Materials 4,393,802 4,531,465

Communications - 7.8% Alphabet, Inc. Class A 665 802,258 890,694 Altice USA, Inc. Class A 6,108 149,136 166,993 AT&T Inc. 15,201 487,995 594,055 Booking Holdings Inc. 89 164,315 182,782 Corporation Class A 41,313 1,733,786 1,857,846 Discovery, Inc. 5,960 198,117 195,130 eBay Inc. 8,242 298,690 297,619 Fox Corporation Class A 14,128 516,759 523,725 Verizon Communications, Inc. 25,039 1,477,147 1,537,395 Total Communications 5,828,203 6,246,239

Consumer, Cyclical - 8.4% Advance Auto Parts, Inc. 2,062 354,895 330,250 8,158 253,143 354,057 AutoZone, Inc. 510 552,181 607,568 Best Buy Co., Inc. 3,136 219,685 275,341 Dollar General Corporation 2,184 270,510 340,660 Las Vegas Sands Corp. 7,012 449,035 484,108 Lennar Corporation Class A 10,895 561,187 607,832 Lowe's Companies, Inc. 7,077 825,126 847,542 MGM Resorts International 10,581 288,467 352,030 Mohawk Industries, Inc. 1,705 251,458 232,528 Norwegian Cruise Line Holdings Ltd. 5,351 313,997 312,552 PVH Corporation 1,591 156,883 167,294 Royal Caribbean Cruises Ltd. 2,555 312,911 341,118

See Notes to the Financial Statements. 32 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 92.3% Consumer, Cyclical - 8.4% (continued) SeaWorld Entertainment Inc. 9,571 $ 289,413 $ 303,496 Southwest Airlines Company 5,400 282,404 291,492 , Inc. 4,497 168,937 177,676 Whirlpool Corporation 3,330 472,858 491,275 Wyndham Destinations, Inc. 3,109 132,341 160,704 Total Consumer, Cyclical 6,155,431 6,677,523

Consumer, Non-cyclical - 5.0% Coca-Cola European Partners PLC 5,453 282,411 277,449 Medtronic PLC 15,985 1,425,203 1,813,498 Molson Coors Brewing Company Class B 7,333 414,412 395,249 Mondelez International, Inc. Class A 5,487 277,608 302,224 Procter & Gamble Company 8,215 868,629 1,026,054 Tyson Foods, Inc. Class A 2,033 153,207 185,084 Total Consumer, Non-cyclical 3,421,470 3,999,558

Energy - 9.1% Chevron Corporation 2,150 258,323 259,097 Cimarex Energy Company 6,267 340,656 328,955 ConocoPhillips 12,150 779,935 790,115 EOG Resources, Inc. 7,867 778,659 658,940 Hess Corporation 9,570 639,353 639,372 Kosmos Energy Ltd. 59,660 365,393 340,062 Marathon Petroleum Corporation 12,975 768,285 781,744 Noble Energy, Inc. 17,601 465,846 437,209 Parsley Energy, Inc. Class A 12,036 246,792 227,601 Phillips 66 7,917 762,891 882,033 Schlumberger Ltd. 8,684 400,693 349,097 Valero Energy Corporation 16,372 1,472,918 1,533,238 Total Energy 7,279,744 7,227,463

Financials - 22.8% American Express Company 5,621 624,486 699,758 American International Group 17,760 848,764 911,621 Aon PLC 655 115,258 136,430 Bank of America Corporation 51,497 1,554,697 1,813,724 The Bank of New York Mellon Corporation 5,710 300,403 287,384 Berkshire Hathaway Inc. Class B 9,489 1,991,667 2,149,259

See Notes to the Financial Statements. 33 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 92.3% (continued) Financials - 22.8% Chubb Ltd. 11,042 $ 1,565,152 $ 1,718,798 Citigroup Inc. 13,177 901,769 1,052,711 Discover Financial Services 2,905 220,248 246,402 E*Trade Financial Corporation 4,865 238,288 220,725 Everest Re Group, Ltd. 1,466 338,309 405,847 Fidelity National Financial, Inc. 4,744 184,352 215,140 JPMorgan Chase & Company 16,270 1,845,311 2,268,033 Navient Corporation 7,642 93,844 104,543 New York Community Bancorp, Inc. 70,718 876,280 850,030 Northern Trust Corporation 7,480 697,996 794,675 SLM Corporation 22,630 233,542 201,633 The Travelers Companies Inc. 2,775 405,981 380,036 Truist Financial Corporation 6,065 292,811 341,581 U.S. Bancorp 15,492 774,663 918,521 Wells Fargo & Company 37,361 1,757,065 2,010,022 Willis Towers Watson PLC 1,858 335,834 375,205 Total Financials 16,196,720 18,102,078

Health Care - 11.0% Anthem, Inc. 2,032 547,183 613,725 Biogen, Inc. 1,163 271,898 345,097 Cigna Corporation 6,782 1,140,049 1,386,851 CVS Health Corporation 20,100 1,103,728 1,493,229 Envista Holdings Corporation 5,359 153,244 158,841 Humana Inc. 932 273,443 341,597 Johnson & Johnson 3,477 485,460 507,190 McKesson Corporation 3,065 401,192 423,951 Pfizer Inc. 21,050 878,710 824,739 Quest Diagnostics Incorporated 2,564 239,309 273,810 UnitedHealth Group, Inc. 5,743 1,332,689 1,688,327 Universal Health Services, Inc. Class B 2,230 336,297 319,916 Zimmer Biomet Holdings Inc. 2,684 337,416 401,741 Total Health Care 7,500,618 8,779,014

Industrial - 10.8% C.H. Robinson Worldwide, Inc. 2,208 186,180 172,666 Deere & Company 1,494 234,748 258,850 Dover Corporation 3,742 362,214 431,303

See Notes to the Financial Statements. 34 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Common Stocks - 92.3% (continued) Industrial - 10.8% (continued) Eaton Corporation PLC 3,334 $ 278,779 $ 315,796 General Dynamics Corporation 1,960 351,774 345,646 General Electric Company 93,903 846,279 1,047,957 JB Hunt Transport Services Inc. 1,824 173,934 213,007 Jacobs Engineering Group Inc. 3,635 280,716 326,532 Kansas City Southern 3,325 397,497 509,257 Nielsen Holdings PLC 5,667 150,232 115,040 Owens-Corning Inc. 8,096 425,073 527,212 Spirit AeroSystems Holdings, Inc. Class A 4,003 340,686 291,739 Stanley Black & Decker, Inc. 4,474 656,014 741,521 Union Pacific Corporation 1,862 313,991 336,631 United Parcel Service, Inc. Class B 5,634 642,544 659,516 United Technologies Corporation 11,115 1,495,495 1,664,582 Wabtec Corporation 7,703 567,280 599,293 Total Industrial 7,703,436 8,556,548

Technology - 7.2% Broadcom Inc. 1,126 356,278 355,839 KLA-Tencor Corporation 1,999 268,894 356,162 Lam Research Corporation 1,289 305,590 376,904 Marvell Technology Group Ltd. 12,620 299,346 335,187 Microchip Technology Inc. 2,771 264,935 290,179 Micron Technology, Inc. 9,261 422,530 498,057 Microsoft Corporation 3,544 429,032 558,889 NortonLifeLock Inc. 11,249 273,346 287,074 NXP Semiconductors NV 3,986 382,745 507,258 Oracle Corporation 22,994 1,255,267 1,218,222 QUALCOMM, Inc. 6,801 411,665 600,052 Texas Instruments, Inc. 2,588 297,879 332,015 Total Technology 4,967,507 5,715,838

Utilities - 4.5% Dominion Energy, Inc. 11,449 877,909 948,206 Edison International 14,015 958,602 1,056,871 Entergy Corporation 4,946 470,167 592,531 Corporation 21,626 1,064,866 985,929 Total Utilities 3,371,544 3,583,537 Total Common Stocks 66,818,475 73,419,263

See Notes to the Financial Statements. 35 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value CIT

Schedule of Investments (continued) December 31, 2019

Principal Amount or Fair Shares Cost Value

Depositary Receipts - 2.8% Energy - 1.2% BP PLC 9,818 $ 436,891 $ 370,531 TOTAL S.A. 10,811 561,227 597,848 Total Energy 998,118 968,379

Financials - 0.4% ING Groep N.V. 24,538 273,324 295,683

Health Care - 0.7% GlaxoSmithKline PLC 8,655 392,068 406,698 Novo Nordisk A/S 2,658 133,875 153,845 Total Health Care 525,943 560,543

Industrial - 0.5% CRH PLC 10,633 352,470 428,829 Total Depositary Receipts 2,149,855 2,253,434

Real Estate Investment Trusts - 2.7% Equity Residential 3,068 238,098 248,263 Healthpeak Properties Inc. 21,144 659,894 728,834 Liberty Property Trust 4,791 235,478 287,700 MGM Growth Properties LLC Class A 11,283 368,038 349,435 Simon Property Group, Inc. 3,667 567,923 546,236 Total Real Estate Investment Trusts 2,069,431 2,160,468

Money Market Fund - 2.2% State Street Institutional U.S. Government Money Market Fund 1,773,757 1,773,757 1,773,757 Total Investments - 100.0% $ 72,811,518 79,606,922 Other Assets and Liabilities, Net - (0.0%) (32,460) Net Assets - 100% $ 79,574,462

See Notes to the Financial Statements. 36 Wilmington Trust Collective Investment Trust MassMutual Funds

MassMutual Fundamental Value 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 $ 70,780,828 88.8% United Kingdom 2,299,328 2.9% Ireland 2,242,327 2.8% Switzerland 1,718,798 2.2% Netherlands 802,941 1.0% Canada 605,160 0.8% France 597,848 0.8% Bermuda 405,847 0.5% Denmark 153,845 0.2% Total $ 79,606,922 100.0%

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):

Fair Value Measurements Level 1 Level 2 Level 3 Total

Common Stocks $ 73,419,263 $ - $ - $ 73,419,263 Depositary Receipts 2,253,434 - - 2,253,434 Real Estate Investment Trusts 2,160,468 - - 2,160,468 Money Market Fund 1,773,757 - - 1,773,757 Total $ 79,606,922 $ - $ - $ 79,606,922

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 $ 99,269,603 $ 27,576,368 $ (655,476)

See Notes to the Financial Statements. 37 Wilmington Trust Collective Investment Trust

MassMutual Funds

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 Rev. Rul. 81-100, as clarified and amended. The Trust is exempt from registration under the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended. Wilmington Trust, N.A. ("WTNA" or the "Trustee") serves as the Trustee of the Trust.

The Trustee is responsible for maintaining and administering the Trust and its various funds (the "Funds" – see Fund Index) and also serves as the investment 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.

The Funds consist of multiple sleeves (the "sleeves"), each of which maintain its own separate investment guidelines and restrictions. The passive sleeve of MassMutual Blue Chip Growth CIT, managed by Loomis Sayles Trust Company (the "Underlying Fund Manager"), invests in the Loomis Sayles Large Cap Growth Trust which is a collective investment fund.

WTNA has engaged MML Investment Advisers, LLC (the "Overlay Advisor") to provide investment advice and recommendations with respect to investment of the Funds' assets. WTNA has engaged the following model portfolio providers for the active sleeves (the "Sub-Advisors") to provide investment advice and recommendations with respect to investment of the Funds' assets:

MassMutual Growth Opportunities CIT Jackson Square Partners, LLC Sands Capital Management, LLC MassMutual Small Cap Growth Equity CIT Wellington Management Company LLP MassMutual Fundamental Value CIT Barrow, Hanley, Mewhinney & Strauss, LLC Boston Partners Global Investors, Inc.

While the Trustee generally relies on the Overlay Advisor or Sub-Advisors to manage the Funds' assets, the Trustee maintains ultimate fiduciary authority over the management of and investments made in each Fund. The Overlay Advisor and Sub-Advisors are engaged pursuant to advisory agreements.

38 Wilmington Trust Collective Investment Trust

MassMutual Funds

Notes to the Financial Statements (continued)

December 31, 2019

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 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.

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

The Funds require the plan sponsors to provide advance written notice of five business days for withdrawals which will exceed $1 million.

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.

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.

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.

39 Wilmington Trust Collective Investment Trust

MassMutual Funds

Notes to the Financial Statements (continued)

December 31, 2019

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.

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

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

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

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

Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, none of the Funds has had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote.

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

Subsequent Events – The Trustee has evaluated the effect of subsequent events on the Funds' financial statements through April 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.

40 Wilmington Trust Collective Investment Trust

MassMutual Funds

Notes to the Financial Statements (continued)

December 31, 2019

Note 3 – Fair Value Measurements

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

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

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

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 Funds' 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.

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 – Fees and Expenses

Trustee, Estimated Blended Sub-Advisory and Underlying Fund Management, and Overlay Advisor Fees

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

Estimated Blended Sub-Advisory and Overlay Advisor Fee Class Trustee Fee Underlying Fund Management Fees Fee

MassMutual Blue Chip Growth CIT Class R 6 30 14

MassMutual Growth Opportunities CIT Class R 6 40 14

41 Wilmington Trust Collective Investment Trust

MassMutual Funds

Notes to the Financial Statements (continued)

December 31, 2019

Estimated Blended Sub-Advisory and Overlay Advisor Fee Class Trustee Fee Underlying Fund Management Fee Fee

MassMutual Small Cap Growth Equity CIT Class N 6 50 14

MassMutual Fundamental Value CIT Class R 6 26 14

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

Sub-Advisory, Underlying Fund Management and Overlay Advisor Fees – The Sub-Advisors, Underlying Fund Manager and Overlay Advisor are compensated for their 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 each Fund.

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

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 the Fund described above.

Note 5 – Related Party Transactions

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

Note 6 – Risks Associated with Investing in the 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:

• Cash Drag. The Fund may fail to meet its investment objective because of positions in cash and equivalents.

42 Wilmington Trust Collective Investment Trust

MassMutual Funds

Notes to the Financial Statements (continued)

December 31, 2019

• Convertible Securities. Investments in convertible securities may be subject to increased interest rate risks, rising in value as interest rates decline and falling in value when interest rates rise, in addition to their market value depending on the performance of the common stock of the issuer. Convertible securities which are typically unrated or rated lower than other debt obligations, are secondary to debt obligations in order of priority during a liquidation in the event the issuer defaults.

• 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.

• Foreign Securities. Investments in foreign securities may be subject to increased volatility as the value of these securities can change more rapidly and extremely than the value of U.S. securities. Factors that increase the risk of investing in foreign securities include but are not limited to the following: less public information about issuers of non-U.S. securities; less governmental regulation and supervision over the issuance and trading of securities, the unavailability of financial information regarding the non-U.S. issuer or the difficulty of interpreting financial information prepared under non-U.S. accounting standards, less liquidity, the imposition of withholding and other taxes, and adverse political, social or diplomatic developments. In addition, foreign securities are subject to increased costs because there are generally higher commission rates on transactions, transfer taxes, higher custodial costs, and the potential for foreign tax charges on dividend and interest payments. Many foreign markets are relatively small, and securities issued in less developed countries face the risks of nationalization, expropriation or confiscatory taxation, and adverse changes in investment or exchange control regulations, including suspension of the ability to transfer currency from a country. Economic, political, social, or diplomatic developments can also negatively impact performance.

• 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.

• 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.

43 Wilmington Trust Collective Investment Trust

MassMutual Funds

Notes to the Financial Statements (continued)

December 31, 2019

• 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.

• 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.

• 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.

• 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.

• Preferred Stocks. Investments in preferred stocks may be subject to the risks of deferred distribution payments, involuntary redemptions, subordination to debt instruments, a lack of liquidity compared with common stocks, limited voting rights, and sensitivity to interest rate changes.

• Pricing. Some investments may not have a market observed price; therefore, values for these assets may be determined through a subjective valuation methodology. Fair values determined by a subjective methodology may differ from the actual value realized upon sale. Valuation methodologies may also be used to calculate a daily net asset value.

• 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.

• 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.

44 Wilmington Trust Collective Investment Trust

MassMutual Funds

Notes to the Financial Statements (continued)

December 31, 2019

• Value Investing. Value securities may be subject to the risk that these securities cannot overcome the adverse factors the sub-advisor believes are responsible for their low price or that the market may not recognize their fundamental value as the sub-advisor predicted. Value securities are not expected to experience significant earnings growth and may underperform growth stocks in certain markets.

• Underlying Fund/Fund of Funds. A Fund's risks are closely associated with the risks of the securities and other investments held by the underlying or subsidiary funds, and the ability of the Fund to meet its investment objective likewise depends on the ability of the underlying funds to meet their objectives. Investment in other funds may subject the Fund to higher costs than owning the underlying securities directly because of their management fees and administration costs.

45