WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST MULTI-MANAGER CORE FIXED INCOME FUND FINANCIAL STATEMENTS DECEMBER 31, 2017 INDEPENDENT AUDITOR'S REPORT

Transcription

1 WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST MULTI-MANAGER CORE FIXED INCOME FUND FINANCIAL STATEMENTS DECEMBER 31, 2017 WITH INDEPENDENT AUDITOR'S REPORT

2 MULTI-MANAGER CORE FIXED INCOME FUND CONTENTS Independent Auditor's Report... 1 Statement of Assets and Liabilities... 3 Statement of Operations... 3 Statement of Changes in Net Assets... 4 Financial Highlights... 5 Schedule of Investments... 6 Notes to the Financial Statements... 21

3 INDEPENDENT AUDITOR'S REPORT Wilmington Trust, N.A, Trustee for Wilmington Trust Collective Investment Trust Report on the Financial Statements We have audited the accompanying financial statements of (the "Fund") of Wilmington Trust Collective Investment Trust (the "Trust"), which comprise the Statement of Assets and Liabilities, including the Schedule of Investments, as of, and the related Statements of Operations and Changes in Net Assets, and the Financial Highlights for the period from May 1, 2017 (date of inception) to, and the related Notes to the Financial Statements. These financial statements and Financial Highlights are hereinafter collectively referred to as financial statements. Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility 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, the auditor considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Fund as of, and the results of its operations, and changes in its net assets and its financial highlights for the period from May 1, 2017 (date of inception) to, in accordance with accounting principles generally accepted in the United States of America. 1

4 Other Matter Our audit was conducted for the purpose of forming an opinion on the financial statements as a whole. The supplementary information on investments purchased and sold for the period from May 1, 2017 (date of inception) to, following the Schedule of Investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole. Tulsa, Oklahoma April 30,

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6 Statement of Assets and Liabilities Assets Investments in securities, at fair value (cost $37,681,322) $ 37,465,668 Foreign currency, at fair value (cost $12,241) 11,384 Cash and cash equivalents 33,409 Accrued interest and dividends 171,330 Receivable for reimbursement 28,443 Receivable for investment securities sold 285,954 Receivable for variation margin 19,270 Receivable for bank loans 501 Receivable for fund units sold 7,690 Prepaid expenses 1,737 Total assets 38,025,386 Liabilities and Net Assets Written options outstanding, at fair value (premiums received of $203) 94 Payable for investment securities purchased 2,577,270 Payable for fund units redeemed 987 Payable for variation margin 17,523 Accrued expenses 47,560 Total liabilities 2,643,434 Net assets $ 35,381,952 Statement of Operations For the period from May 1, 2017 (date of inception) to Investment income Dividends $ 10,058 Interest (net of withholding taxes of $90) 503,350 Miscellaneous income 2,749 Total investment income 516,157 Expenses Trustee, management and service provider fees 67,118 Professional fees and other operating expenses 50,042 Expense reimbursement from sub-advisor (52,984) Total expenses 64,176 Net investment income 451,981 Realized and unrealized gain (loss) on investments and other transactions Net realized gain on investments 125,248 Net realized loss on foreign currency transactions (115) Net realized loss on futures (149,987) Net change in unrealized depreciation on investments and purchased options (215,654) Net change in unrealized appreciation on futures, written options and foreign currency transactions 999 Net realized and unrealized loss on investments and other transactions (239,509) Net increase in net assets resulting from operations $ 212,472 See Notes to the Financial Statements. 3

7 Statement of Changes in Net Assets For the period from May 1, 2017 (date of inception) to Increase (decrease) in net assets resulting from operations Net investment income $ 451,981 Net realized gain on investments 125,248 Net realized loss on foreign currency transactions (115) Net realized loss on futures (149,987) Net change in unrealized depreciation on investments and purchased options (215,654) Net change in unrealized appreciation on futures, written options and foreign currency transactions 999 Net increase in net assets resulting from operations 212,472 Merger transactions (see Note 1) Class 0IM 43,821,033 Class ,150 Class 45 89,016 Class 60 * 705,088 Total value of merger transactions 44,899,287 Fund unit transactions Proceeds from units issued Class 0IM 5,514,283 Class 35 19,608 Class 45 2,700 Class 60 * 6,732 Class R6 ^ 1,718,789 Total proceeds from units issued 7,262,112 Value of units redeemed Class 0IM (16,130,974) Class 35 (607) Class 45 (1) Class 60 * (717,160) Class R6 ^ (143,177) Total value of units redeemed (16,991,919) Decrease in net assets resulting from fund unit transactions (9,729,807) Increase in net assets 35,381,952 Net assets, beginning of period - Net assets, end of period $ 35,381,952 ^Class R6 funded on 7/10/2017. *All Class 60 units were funded and redeemed on 5/1/2017 and 8/1/2017, respectively. See Notes to the Financial Statements. 4

8 Financial Highlights For the period from May 1, 2017 (date of inception) to Per Unit Operating Performance Class 0IM Class 35 Class 45 Net asset value, at inception $ $ $ Income (loss) from investment operations: Net investment income (1) Net realized and unrealized loss on investments (1) (0.28) (0.27) (0.27) Total income from investment operations Net asset value, end of period $ $ $ Total Return 0.68% ^ 0.23% ^ 0.17% ^ Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 0.45% # 0.90% # 1.00% # Net expenses 0.23% # 0.90% # 1.00% # Net investment income 2.01% # 1.37% # 1.27% # Fund Unit Activity Units, beginning of period Issued 113, Merger transactions (see Note 1) 905,692 5,900 2,051 Redeemed (333,012) (13) - Units, end of period 686,409 6,294 2,108 Per Unit Operating Performance Class 60 Class R6 Net asset value, at inception $ * $ ^ Income from investment operations: Net investment income (1) Net realized and unrealized gain on investments (1) Total income from investment operations Net asset value, end of period $ * $ Total Return 0.17% * 0.83% ^ Supplemental Data Ratio to average net assets: Gross expenses (excluding reimbursement) 1.10% # 0.55% # Net expenses 1.10% # 0.55% # Net investment income 0.86% # 1.98% # Fund Unit Activity Units, beginning of period - - Issued ,409 Merger transactions (see Note 1) 15,260 - Redeemed (15,398) (2,948) Units, end of period - 32,461 (1) Based on average units outstanding. ^Not annualized for periods less than one year. Class R6 funded on 7/10/2017. *Not annualized for periods less than one year. All Class 60 units were funded and redeemed on 5/1/2017 and 8/1/2017, respectively. The fee class remains available for sale. The net asset value is as of the redemption date of 8/1/2017. #Annualized. See Notes to the Financial Statements. 5

9 Schedule of Investments Principal Amount or Fair Shares Cost Value Asset-Backed Securities - 3.7% Auto - 0.0% Toyota Auto Receivables Owner Trust 2017 A A3, 1.73%, due 2/16/ ,000 $ 15,008 $ 14,926 Home - 0.8% Accredited Mortgage Loan Trust M1, 1.78%, due 9/25/ ,992 32,971 33,000 Citigroup Mortgage Loan Trust 2006 HE1 M3, 1.688%, due 1/25/ ,000 59,331 59,917 Credit Suisse First Boston Mortgage 2001 HE22 A1, 2.032%, due 2/25/ ,795 78,773 78,964 GMAC Mortgage Corporation 2006 HE5 1A1, 1.872%, due 2/25/ ,305 67,111 67,879 Option One Mortgage Loan Trust M1, 1.992%, due 11/25/ ,232 49,982 50,161 Total Home 288, ,921 Other - 2.9% STRU TCW-1091 COLL, 1%, due 2/25/ ,000 25,344 26,070 Amortizing Residential Collateral Trust 2002 BC7 A1, 2.312%, due 10/25/ ,219 85,922 85,807 Countrywide Asset Backed Certificate A1, 2.452%, due 10/25/ ,289 54,998 56,678 Countrywide Home Equity Loan 2005 C 2A, 1.657%, due 7/15/ ,651 25,290 25,248 HSI Asset Securitization Corporation 2006 OPT3 3A4, 1.598%, due 2/25/ ,000 58,420 59,528 Navient Student Loan Trusts A3, 1.837%, due 6/25/ ,000 98,762 99,693 SLC Student Loan Trust A6, 1.748%, due 9/15/ ,000 93,429 96,497 SLC Student Loan Trust A4A, 3.188%, due 12/15/ , , ,864 SLM Student Loan Trust A6, 1.537%, due 1/25/ ,000 95,946 96,880 SLM Student Loan Trust A, 1.997%, due 12/27/ ,130 44,290 44,379 SLM Student Loan Trust A, 2.027%, due 1/25/ ,686 56,370 56,893 SLM Student Loan Trust A3, 2.117%, due 4/25/ ,112 61,753 62,064 SLM Student Loan Trust A4, 3.067%, due 7/25/ ,394 75,284 75,712 Structured Asset Investment Loan Trust A3, 0%, 7/25/ ,435 53,073 52,936 Structured Asset Investment Loan Trust M2, 2.212%, 4/25/ ,993 59,619 60,039 Total Other 995,357 1,005,288 Total Asset-Backed Securities 1,298,533 1,310,135 Bank Loan Obligations - 1.0% Albertsons LLC Term B 6, 4.462%, due 6/22/ ,850 30,094 29,203 Apollo Security Services Borrower LLC Refinancing Term B 1, 4.32%, due 5/2/ ,850 30,157 30,049 Avolon TLB Borrower 1 (US) Term Loan, 3.811%, due 4/3/ ,850 30,262 29,610 Berry Plastics Group Inc. Term M Loans, 3.804%-3.823%, due 10/1/ ,281 28,514 28,380 CBS Radio Inc Term Loan B, 4.172%, due 11/17/2024 9,000 8,978 9,041 CenturyLink Escrow LLC Term Loan B, 4.317%, due 1/31/ ,000 29,906 28,903 Change Healthcare Holdings Inc. Term Loan B, 4.323%, due 3/1/ ,775 29,914 29,816 First Data Corporation 2420 Dollar Term Loans, 3.810%, 4/26/ ,688 27,891 27,693 Hilton Worldwide Finance LLC Term Loan B2, 3.561%, due 10/25/ ,775 29,984 29,913 Jaguar Holding Company II 2017 Term Loan, 4.323%-4.443%, due 8/18/ ,771 29,874 29,798 Post Holdings, Inc. Series A Incremental Term Loan, 3.83%, due 5/24/ ,816 30,026 29,906 See Notes to the Financial Statements. 6

10 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Bank Loan Obligations - 1.0% (continued) Replacement A 2 Facilty Dell International LLC, 1%, due 9/7/ ,615 $ 29,791 $ 29,599 Reynolds Group Holdings Inc. Incremental US Term Loans, 4.323%, due 2/5/ ,774 29,978 29,898 Total Bank Loan Obligations 365, ,809 Collective Fund - 8.7% BlackRock 1-3 Year Government Bond Index Fund F 158,818 3,086,281 3,080,679 Corporate Bonds % Basic Materials - 0.3% ArcelorMittal, 6.75%, due 2/25/2022 3,000 3,329 3,338 BHP Billiton Finance USA Ltd., 2.875%, due 2/24/2022 7,000 7,157 7,081 Monsanto Company, 2.125%, due 7/15/ ,000 19,973 19,930 Park Aerospace Holdings Company, 5.5%, due 2/15/ ,000 13,576 12,903 Southern Copper Corporation, 3.5%, due 11/8/ ,000 50,671 51,357 Teck Resources, 8.5%, due 6/1/2024 8,000 9,166 9,040 Total Basic Materials 103, ,649 Communications - 2.2% 21st Century Fox America, 7.25%, due 05/18/ ,000 30,615 30,597 AT&T, Inc., 2.85%, due 2/14/ ,000 9,999 10,040 AT&T, Inc., 3.4%, due 5/15/ ,000 19,625 19,663 AT&T, Inc., 4.35%, due 6/15/ ,000 44,229 46,130 AT&T, Inc., 4.9%, due 8/14/ ,000 9,982 10,126 AT&T, Inc., 5.5%, due 2/1/ ,000 40,131 40,115 British Telecom, 9.125%, due 12/15/ ,000 15,230 14,941 CBS Corporation, 3.375%, due 2/15/ ,000 14,365 14,445 Charter Communications Operating, LLC, 4.908%, due 7/23/ ,000 43,406 42,527 Comcast Corporation, 3.6%, due 3/1/ , , ,988 Comcast Corporation, 5.15%, due 3/1/ ,000 32,117 31,795 DISH DBS Corporation, 5.875%, due 11/15/2024 4,000 4,175 3,895 Netflix, Inc., 5.875%, due 2/15/2025 8,000 8,716 8,500 Sprint Capital Corporation, 8.75%, due 3/15/2032 9,000 10,998 10,215 Time Warner Cable, LLC, 4%, due 9/1/ ,000 20,848 20,599 Time Warner Cable, LLC, 5.5%, due 9/1/ ,000 26,821 26,057 Verizon Communications, Inc., 2.625%, due 2/21/ ,000 20,263 20,169 Verizon Communications, Inc., 4.522%, due 9/15/ ,000 46,201 49,232 Verizon Communications, Inc., 4.6%, due 4/1/ , , ,066 Verizon Communications, Inc., 5.15%, due 9/15/ ,000 31,025 31,154 Total Communications 776, ,254 See Notes to the Financial Statements. 7

11 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Corporate Bonds % (continued) Consumer, Cyclical - 2.8% Cintas Corporation No. 2, 2.9%, due 04/1/ ,000 $ 10,201 $ 10,090 Cintas Corporation No. 2, 3.7%, due 4/1/ ,000 10,437 10,405 Continental Airlines, 5.983%, due 10/19/ ,758 31,452 31,355 Continental Airlines, 8.048%, due 5/1/ ,855 17,261 17,461 CVS Health Corporation, 2.8%, due 7/20/ ,000 20,338 20,083 CVS Health Corporation, 3.5%, due 7/20/ , , ,860 CVS Health Corporation, 2.25%, due 12/5/ ,000 70,166 70,093 CVS Health Corporation, 4%, due 12/5/ ,000 21,186 20,794 Ford Motor Credit Company LLC, 2.551%, due 10/5/ ,000 50,169 50,145 Ford Motor Credit Company LLC, 8.125%, due 1/15/ , , ,772 General Motors Company, 3.5%, due 10/2/ ,000 30,322 30,312 General Motors Financial Company, Inc., 3.7%, due 11/24/ ,000 20,615 20,532 General Motors Financial Company, Inc., 3.7%, due 5/9/ ,000 30,369 30,598 GLP Capital, L.P., 5.375%, due 11/1/2023 8,000 8,603 8,540 Lowe s Companies, Inc., 3.1%, due 5/3/ ,000 19,971 20,071 McDonald s Corporation, 2.75%, due 12/9/ ,000 30,592 30,311 Newell Brands Inc., 2.6%, due 3/29/ ,000 20,080 20,068 Newell Brands, Inc. 3.85%, due 4/1/ ,000 10,485 10,348 Newell Brands, Inc. 4.2%, due 4/1/ ,000 10,590 10,444 Toyota Motor Credit Corporation, 1.375%, due 1/10/ , , ,987 US Airways A PTT, 6.25%, due 10/22/ ,037 64,082 64,136 Wal-Mart Stores Inc., 1.9%, due 12/15/ , , ,227 Total Consumer, Cyclical 996, ,632 Consumer, Non-cyclical - 5.2% Abbott Laboratories, 2.35%, due 11/22/ ,000 10,055 10,011 Abbott Laboratories, 3.4%, due 11/30/ ,000 20,452 20,346 Abbott Laboratories, 3.75%, due 11/30/ ,000 50,255 51,343 AbbVie, Inc., 3.6%, due 5/14/ ,000 10,220 10,281 Aetna, Inc., 2.8%, due 6/15/ ,000 60,257 59,051 Allergan Funding SCS, 2.35%, due 3/12/ ,000 30,040 30,024 Allergan Funding SCS, 3%, due 3/12/ ,000 20,357 20,180 Allergan Funding SCS, 3.45%, due 3/15/ ,000 10,336 10,161 Altria Group, Inc., 2.85%, due 8/9/ ,000 10,180 10,066 Anheuser-Busch InBev Finance, Inc., 2.65%, due 2/1/ , , ,502 Anheuser-Busch InBev Finance, Inc., 3.3%, due 2/1/ ,000 51,503 51,165 Anheuser-Busch InBev Finance, Inc., 3.65%, due 2/1/ , , ,156 Anheuser-Busch InBev Finance, Inc., 4.9%, due 2/1/ ,000 11,273 11,590 Anheuser-Busch InBev WorldWide, Inc., 2.5%, due 7/15/ ,000 60,276 59,545 Anthem Inc., 2.95%, due 12/1/ ,000 9,995 10,004 Anthem Inc., 3.3%, due 1/15/ ,000 30,734 30,440 See Notes to the Financial Statements. 8

12 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Corporate Bonds % (continued) Consumer, Non-cyclical - 5.2% (continued) AstraZeneca, 3.125%, due 6/12/ ,000 $ 19,903 $ 19,763 Becton, Dickinson and Company, 3.363%, due 6/6/ ,000 30,042 30,084 Becton, Dickinson and Company, 3.7%, due 6/6/ ,000 30,476 30,231 Cardinal Health, Inc., 2.616%, due 6/15/ ,000 10,000 9,833 Cardinal Health, Inc., 3.079%, due 6/15/ ,000 10,041 9,844 Celgene Corporation, 3.55%, due 8/15/ ,000 20,853 20,601 Celgene Corporation, 5%, due 8/15/ ,000 42,213 45,384 Centene Corporation, 4.75%, due 5/15/ ,000 10,332 10,375 Constellation Brands, Inc., 2%, due 11/7/ ,000 24,968 24,838 Diageo Capital PLC, 4.828%, due 7/15/ ,000 21,401 21,254 Ecolab, Inc., 4.35%, due 12/8/2021 8,000 8,623 8,515 Eli Lilly and Company, 2.35%, due 5/15/ ,000 20,183 19,944 Gilead Sciences, Inc., 1.85%, due 9/20/ ,000 9,997 9,958 Gilead Sciences, Inc., 2.05%, due 4/1/ ,000 20,098 20,000 Gilead Sciences, Inc., 2.5%, due 9/1/ ,000 9,875 9,872 Gilead Sciences, Inc., 3.65%, due 3/1/ ,000 31,340 31,122 GlaxoSmithKline Capital, Inc., 5.65%, due 5/15/ ,000 20,321 20,275 HCA Inc., 4.5%, due 2/15/ ,000 10,133 10,050 HCA Inc., 5.25%, due 6/15/ ,000 43,324 42,400 Humana Inc., 2.9%, due 12/15/ ,000 39,932 39,934 Humana Inc., 3.95%, due 3/15/ ,000 42,232 41,415 Johnson & Johnson, 2.45%, due 3/1/ ,000 19,727 19,504 Johnson & Johnson, 2.9%, due 1/15/ ,000 14,982 15,022 Kaiser Foundation Hospitals, Inc., 3.15%, due 5/1/ ,000 50,403 50,047 Medtronic, Inc., 1.5%, due 3/15/ , , ,924 Medtronic, Inc., 3.125%, due 3/15/ ,000 20,671 20,440 Medtronic, Inc., 3.5%, due 3/15/ ,000 10,405 10,373 Philip Morris International Inc., 5.65%, due 5/16/ ,000 50,771 50,713 Providence St. Joseph Health, 2.746%, due 10/1/ ,000 38,247 38,749 Reynolds American, Inc., 2.3%, due 6/12/ , , ,123 Reynolds American, Inc., 8.125%, due 6/23/ ,000 32,679 32,450 Spectrum Brands, Inc., 5.75%, due 7/15/2025 8,000 8,486 8,420 Teva Pharmaceutical Finance IV, LLC, 2.25%, due 3/18/ ,000 9,674 9,670 Teva Pharmaceutical NE, 2.2%, due 7/21/ ,000 9,612 9,135 Teva Pharmaceutical NE, 1.7%, due 7/19/ ,000 38,899 38,864 The Kraft Heinz Company, 3.5%, due 7/15/ ,000 20,662 20,455 The Kraft Heinz Company, 3.95%, due 7/15/ ,000 35,996 36,150 The Kraft Heinz Company, 5.375%, due 2/10/ ,000 10,684 10,595 The Kroger Co., 4%, due 2/1/ ,000 10,518 10,389 The New York and Presbyterian Hospital, 3.563%, due 8/1/ ,000 38,188 40,313 United Rentals Inc., 5.5%, due 5/15/2027 5,000 5,118 5,263 See Notes to the Financial Statements. 9

13 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Corporate Bonds % (continued) Consumer, Non-cyclical - 5.2% (continued) UnitedHealth Group Incorporated, 3.75%, due 10/15/ ,000 $ 14,862 $ 15,304 UnitedHealth Group, Inc., 3.35%, due 7/15/ ,000 98, ,165 Total Consumer, Non-cyclical 1,847,243 1,846,625 Energy - 2.9% Anadarko Petroleum Corporation, 5.55%, due 3/15/ ,000 22,426 22,440 Apache Corporation, 3.25%, due 4/15/ ,000 30,634 30,227 BP Capital Markets PLC, 3.245%, due 5/6/ ,000 20,650 20,500 BP Capital Markets PLC, 3.814%, due 2/10/ ,000 10,498 10,513 BP Capital Markets PLC, 3.119%, due 5/4/ ,000 70,425 70,751 Canadian Natural Resources Limited, 3.85%, due 6/1/2027 5,000 4,948 5,103 Chevron Corporation, 2.954%, due 5/16/ ,000 10,052 9,997 Cimarex Energy Company, 3.9%, due 5/15/ ,000 10,089 10,225 Continental Resources, Inc., 4.5%, due 4/15/2023 8,000 8,048 8,160 Devon Energy Corporation, 3.25%, due 5/15/ ,000 40,540 40,688 Ecopetrol SA, 5.375%, due 6/26/ ,000 52,301 53,985 Enbridge Energy Partners, L.P., 9.875%, due 3/1/ ,000 10,861 10,822 Energy Transfer Partners LP, 5.875%, due 3/1/ ,000 11,058 10,933 Enterprise Products Operating LLC, 3.75%, due 2/15/ , , ,732 EOG Resources, Inc., 4.15%, due 1/15/ ,000 10,622 10,643 Exxon Mobil Corporation, 3.043%, due 3/1/ ,000 30,477 30,463 Freeport McMoran Oil & Gas, 6.875%, due 2/15/ ,000 10,386 10,350 Halliburton Company, 3.8%, due 11/15/ ,000 10,355 10,393 Kerr-McGee Corporation, 6.95%, due 7/1/ ,000 35,237 35,363 Kinder Morgan Energy Partners, L.P., 3.95%, due 9/1/ , , ,843 Kinder Morgan Energy Partners, L.P., 5.8%, due 3/15/ ,000 31,897 33,213 MPLX LP, 4.875%, due 12/1/ ,000 10,725 10,779 Noble Energy, Inc., 4.15%, due 12/15/ ,000 21,085 20,840 Occidental Petroleum Corporation, 3%, due 2/15/ ,000 19,841 19,883 Petrobras Global Finance, 6.25%, due 3/17/ , , ,320 Plains All American Pipeline, L.P., 3.6%, due 11/1/ ,000 24,609 24,346 Shell International Finance B.V., 2.25%, due 11/10/ ,000 40,345 39,989 Shell International Finance B.V., 3.25%, due 5/11/ ,000 20,559 20,554 Sunoco Logistics Partners Operations L.P., 5.4%, due 10/1/ ,000 14,971 15,101 Transcontinental Gas Pipe Line Company, LLC, 7.85%, due 2/1/ ,000 25,861 25,563 Williams Companies, Inc., 4.55%, due 6/24/ ,000 13,434 13,488 WPX Energy Inc., 8.25%, due 8/1/2023 8,000 8,810 9,080 Total Energy 1,004,974 1,009,287 See Notes to the Financial Statements. 10

14 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Corporate Bonds % (continued) Financial % Air Lease Corporation, 2.625%, due 9/4/ ,000 $ 30,136 $ 30,088 Alexandria Real Estate Equities, 3.90%, due 6/15/ ,000 36,280 36,172 American Express Credit Corporation, 1.875%, due 5/3/ ,000 29,960 29,879 American Express Credit Corporation, 2.2%, due 3/3/ , , ,637 American Express Co., 2.5%, due 8/1/ ,000 40,099 39,517 American Express Co., 2.65%, due 12/2/ , ,412 99,304 American International Group, Inc., 4.875%, due 6/1/ ,000 10,880 10,874 American Tower Corporation, 3%, due 6/15/ ,000 9,974 9,974 Bank of America Corporation, 2.6%, due 1/15/ ,000 40,260 40,137 Bank of America Corporation, 3.248%, due 10/21/ , , ,040 Bank of America Corporation, 3.5%, due 4/19/ ,000 50,110 51,120 Bank of America Corporation, 3.593%, due 7/21/2028 ^ 40,000 40,275 40,658 Bank of America Corporation, 3.875%, due 8/1/ ,000 76,438 79,112 Bank of America Corporation, 4%, due 4/1/ , , ,712 Bank of America Corporation, 4.1%, due 7/24/ , , ,195 Bank of America Corporation, 5%, due 5/13/ ,000 64,625 64,671 Bank of America Corporation, 5.625%, due 7/1/ ,000 43,138 43,227 Bank of America Corporation, 5.65%, due 5/1/ ,000 25,316 25,298 Bank of America Corporation, 7.625%, due 6/1/ ,000 48,490 48,409 Bear Stearns, 7.25%, due 2/1/ , , ,400 Berkshire Hathaway Inc., 2.2%, due 3/15/ , ,676 99,686 Boston Properties LP, 2.75%, due 10/1/ ,000 23,539 23,584 CC Holdings GS V LLC, 3.849%, due 4/15/ ,000 15,478 15,475 Chubb INA Holdings Inc., 2.3%, due 11/3/ ,000 10,073 9,984 CIT Group Inc., 5%, due 8/1/2023 4,000 4,263 4,260 Citigroup Inc., 2.05%, due 12/7/ ,000 75,121 74,922 Citigroup Inc., 2.55%, due 4/8/ ,000 50,368 50,177 Citigroup Inc., 2.9%, due 12/8/ , , ,119 Citigroup Inc., 3.5%, due 5/15/ ,000 20,335 20,358 Citigroup Inc., 3.668%, due 7/24/2028 ^ 80,000 80,836 81,164 Citigroup, Inc., 2.5%, due 9/26/ ,000 50,215 50,143 Citigroup, Inc., 4.3%, due 11/20/ ,000 41,822 41,829 Citigroup, Inc., 4.4%, due 6/10/ ,000 20,752 21,111 Citigroup, Inc., 4.45%, due 9/29/ , , ,044 Discover Bank, 2%, due 2/21/ ,000 40,013 40,003 Education Realty Operating Partnership, LP, 4.6%, due 12/1/ ,000 35,849 36,348 Equinix, Inc., 5.375%, due 5/15/ ,000 10,499 10,700 Goldman Sachs Group, Inc., 3.5%, due 11/16/ ,000 39,897 40,234 Goldman Sachs Group, Inc., 3.75%, due 5/22/ ,000 55,761 56,664 Goldman Sachs Group, Inc., 4%, due 3/3/ ,000 52,253 52,457 Goldman Sachs Group, Inc., 5.25%, due 7/27/ , , ,082 See Notes to the Financial Statements. 11

15 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Corporate Bonds % (continued) Financial % (continued) Goldman Sachs Group, Inc., 5.375%, due 3/15/ ,000 $ 159,992 $ 159,050 Goldman Sachs Group, Inc., 5.75%, due 1/24/ ,000 33,449 33,265 Goldman Sachs Group, Inc., 6.15%, due 4/1/ ,000 75,813 75,789 Goldman Sachs Group, Inc., 7.5%, due 2/15/ ,000 53,054 52,842 Goldman Sachs Group, Inc., 3.691%, due 6/5/2028 ^ 50,000 50,000 50,723 HCP Inc., 3.875%, due 8/15/ ,000 40,327 40,942 HSBC Finance Corporation, 6.676%, due 1/15/ ,000 35,684 35,578 International Lease Finance Corporation, 8.25%, due 12/15/ ,000 80,987 80,406 JPMorgan Chase & Co., 3.54%, due 5/1/2028 ^ 185, , ,209 JPMorgan Chase & Co., 4.25%, due 10/15/ , , ,337 JPMorgan Chase & Co., 6.3%, due 4/23/ ,000 79,150 78,960 JPMorgan Chase & Co., 3.875%, due 9/10/ ,000 72,446 73,019 KfW, 1.75%, due 3/31/ , , ,932 Lehman Brothers Holdings, Inc., 6.75%, due 12/28/2017 (1) 165, ,880 - Liberty Property LP, 4.75%, due 10/1/ ,000 42,091 42,073 Lloyds Banking Group plc, 2.907%, due 11/7/2023 ^ 10,000 9,993 9,914 Mastercard Inc., 3.375%, due 4/1/ ,000 10,425 10,385 MetLife, Inc., 3.6%, due 4/10/ , , ,848 Morgan Stanley, 2.625%, due 11/17/ , , ,065 Morgan Stanley, 3.7%, due 10/23/ ,000 50,873 51,666 Morgan Stanley, 7.3%, due 5/13/ , , ,544 Navient Corporation, 8%, due 3/25/2020 8,000 8,665 8,650 Realty Income Corporation, 2%, due 1/31/ ,000 35,008 34,997 The Toronto-Dominion Bank, 1.75%, due 7/23/ , , ,914 Ventas Realty, LP, 3.75%, due 5/1/ ,000 40,410 41,070 Visa Inc., 2.2%, due 12/14/ ,000 40,300 39,968 Wachovia Capital Trust III, 5.56%, due 3/29/2049 ^ 40,000 40,248 40,300 Wells Fargo & Company, 3%, due 10/23/ ,000 39,489 39,206 Wells Fargo & Company, 3.3%, due 9/9/ , , ,256 Wells Fargo & Company, 3.45%, due 2/13/ ,000 51,081 50,952 Wells Fargo & Company, 3.584%, due 5/22/2028 ^ 65,000 65,000 66,265 Wells Fargo & Company, 4.3%, due 7/22/ ,000 42,009 42,592 Total Financial 5,094,632 4,941,485 Industrial - 1.5% Ball Corporation, 5.25%, due 7/1/ ,000 10,815 10,875 Boeing Company, 6%, due 3/15/ ,000 31,579 31,380 Eaton Corporation, 2.75%, due 11/2/ ,000 40,392 40,117 General Electric Company, 4.5%, due 3/11/ ,000 11,220 11,078 General Electric Company, 5.3%, due 2/11/ , , ,979 John Deere Capital Corporation, 2.25%, due 4/17/ ,000 10,086 10,012 See Notes to the Financial Statements. 12

16 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Corporate Bonds % (continued) Industrial - 1.5% (continued) L3 Technologies, Inc., 4.95%, due 2/15/ ,000 $ 37,421 $ 37,068 Lockheed Martin Corporation, 3.55%, due 1/15/ ,000 10,332 10,384 Northrop Grumman Corporation, 2.55%, due 10/15/ , , ,109 Northrop Grumman Corporation, 2.93%, due 1/15/ ,000 19,997 19,881 Republic Services, Inc., 3.2%, due 3/15/ ,000 20,164 20,110 Republic Services, Inc., 5.5%, due 9/15/ ,000 26,462 26,290 United Parcel Service, Inc., 2.5%, due 4/1/ ,000 9,970 9,944 United Technologies Corporation, 1.778%, due 5/4/2018 ^ 25,000 25,006 24,962 United Technologies Corporation, 4.5%, due 4/15/ ,000 10,606 10,490 Waste Management, Inc., 3.15%, due 11/15/ ,000 14,997 14,992 Waste Management, Inc., 3.5%, due 5/15/ ,000 10,486 10,354 Total Industrial 524, ,025 Technology - 1.7% Apple, Inc., 1%, due 5/3/ , , ,740 Apple, Inc., 2%, due 11/13/ ,000 9,992 9,937 Apple, Inc., 2.4%, due 5/3/ ,000 29,928 29,691 Apple, Inc., 2.45%, due 8/4/ ,000 9,613 9,584 Intel Corporation, 3.7%, due 7/29/ ,000 10,536 10,557 Microsoft Corporation, 1.85%, due 2/6/ ,000 30,091 29,911 Microsoft Corporation, 2.4%, due 2/6/ , , ,058 Microsoft Corporation, 2.4%, due 8/8/ ,000 48,398 48,218 Oracle Corporation, 2.8%, due 7/8/ , , ,131 Oracle Corporation, 3.25%, due 11/15/ ,000 9,989 10,170 QUALCOMM Inc., 1.85%, due 5/20/ ,000 29,990 29,887 QUALCOMM Inc., 2.1%, due 5/20/ ,000 19,999 19,916 Total Technology 618, ,800 Utilities - 1.0% AES Corporation, 5.5%, due 3/15/24 5,000 5,138 5,200 Atmos Energy, 3%, due 6/15/ ,000 29,922 29,850 Duke Energy Carolinas, LLC, 3.7%, due 12/1/ ,000 14,959 15,452 Duke Energy Corporation, 2.4%, due 8/15/ ,000 9,981 9,825 Duke Energy Corporation, 3.15%, due 8/15/ ,000 9,973 9,928 FirstEnergy Corporation, 2.85%, due 7/15/ ,000 19,966 19,818 FirstEnergy Corporation, 3.9%, due 7/15/ ,000 50,650 51,232 Florida Power & Light Company, 1.671%, due 11/6/2020 ^ 30,000 30,000 30,000 MidAmerican Energy Company, 4.25%, due 5/1/ ,000 41,876 44,905 NSTAR Electric Company, 3.2%, due 5/15/ ,000 49,964 50,606 Pacific Gas and Electric Company, 8.25%, due 10/15/2018 5,000 5,250 5,232 Public Service Company of New Mexico, 3.85%, due 8/1/ ,000 41,488 40,927 See Notes to the Financial Statements. 13

17 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Corporate Bonds % (continued) Utilities - 1.0% (continued) Southwestern Electric Power Company, 6.45%, due 1/15/ ,000 $ 31,358 $ 31,230 Total Utilities 340, ,205 Total Corporate Bonds 11,306,817 11,148,962 Foreign Government Agency Obligations - 1.7% Mex Bonos Desarr Fix Rt, 8%, due 11/7/ ,000 28,756 23,987 Mex Bonos Desarr Fix Rt, 7.75%, due 11/13/2042 2,600, , ,090 Peruvian Government International Bond, 5.625%, due 11/18/ ,000 60,660 64,150 Republic of Argentina, 7.5%, due 4/22/ , , ,823 Russia Government International Bond, 7.05%, due 1/19/ ,000 2,859 2,955 Russia Government International Bond, 8.15%, due 2/3/2027 4,200,000 77,095 76,820 United Mexican States, 3.625%, due 3/15/ , , ,914 Total Foreign Government Agency Obligations 607, ,739 Mortgage-Backed Securities - 1.8% Bear Stearns ALT-A Trust A1, 3.56%, due 8/25/ ,247 70,152 70,783 COMM Mortgage Trust 2013 CR7 ASB, 2.739%, due 3/10/ ,000 61,219 60,390 FHLMC Multifamily Structured Pass-Through Securities KF12 A, 1.943%, due 9/25/ ,737 44,898 44,444 FHLMC Multifamily Structured Pass-Through Securities KJ02 A2, 2.597%, due 9/25/ ,205 32,799 32,355 FHLMC Multifamily Structured Pass-Through Securities S8FX A2, 3.291%, due 3/25/ ,000 66,843 66,236 Harborview Mortgage Loan Trust A1B, 1.871%, due 6/20/ ,277 24,520 24,970 Impac CMB Trust A1, 2.072%, due 4/25/ ,545 49,535 49,955 Master Adjustable Rate Mortgages A7A, 3.465%, due 11/21/ ,199 47,476 49,482 Merrill Lynch Mortgage Investors, Inc A3 A2, 1.882%, due 4/25/ ,898 47,062 47,458 MLCC Mortgage Investors, Inc A A1, 1.788%, due 4/25/ ,837 49,607 51,115 Nomura Asset Acceptance Corporation A3, 5.957%, due 3/25/ ,395 25,557 25,502 Structured Asset Securities Corporation A 3A1, 3.353%, due 1/25/ ,383 47,062 47,481 WaMu Mortgage Pass-Through Certificates 2004 AR12 A2A, 1.718%, due 10/25/ ,637 50,132 50,419 Total Mortgage-Backed Securities 616, ,590 Municipals - 0.4% Dormitory Authority of the State of New York, 5.289%, due 3/15/ ,000 58,123 58,649 Los Angeles Unified School District, 5.755%, due 7/1/ ,000 30,134 30,596 State of California, 7.95%, due 3/1/ ,000 28,634 27,918 Successor Agency to the San Jose Redevelopment Agency, 3.176%, due 8/1/ ,000 20,107 20,000 The Commonwealth of Massachusetts, 4.91%, due 5/1/ ,000 17,617 17,608 Total Municipals 154, ,771 See Notes to the Financial Statements. 14

18 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value Mutual Funds - 1.1% Metropolitan West Floating Rate Income Fund Class I Shares 17,123 $ 172,086 $ 172,256 Metropolitan West High Yield Bond Fund Class Institutional 15, , ,882 TCW Emerging Markets Income Fund Class Institutional 6,320 53,657 53,971 Total Mutual Funds 376, ,109 U.S. Government Agency Obligations % Federal Home Loan PC Pool G08737, 3%, due 12/1/ , , ,505 Federal Home Loan PC Pool G08741, 3%, due 1/1/ , , ,522 Federal Home Loan PC Pool G08747, 3%, due 2/1/ , , ,544 Federal Home Loan PC Pool G08757, 3.5%, due 4/1/ , , ,527 Federal Home Loan PC Pool G08759, 4.5%, due 4/1/ , , ,762 Federal Home Loan PC Pool G08761, 3.5%, due 5/1/ , , ,114 Federal Home Loan PC Pool G18642, 3.5%, due 4/1/ , , ,471 Federal Home Loan PC Pool G60658, 3.5%, due 7/1/ , , ,120 Federal Home Loan PC Pool G67700, 3.5%, due 8/1/ , , ,304 Federal Home Loan PC Pool G67706, 3.5%, due 12/1/ , , ,739 FHLMC Gold Single Family Mortgage, 4%, due 1/18/ , , ,711 FNMA 15 YR Single Family Mortgage, 3%, due 1/23/ ,000 96,801 96,763 FNMA 30 YR Single Family Mortgage, 3%, due 1/18/ ,000 60,038 60,000 FNMA 30 YR Single Family Mortgage, 3.5%, due 1/18/ , , ,275 FNMA 30 YR Single Family Mortgage, 4.5%, due 1/18/ , , ,781 FNMA Pool , 3.27%, due 10/1/ ,997 47,705 47,024 FNMA Pool , 3.53%, due 12/1/ ,035 57,462 56,713 FNMA Pool , 4.05%, due 1/1/ ,000 37,152 36,660 FNMA Pool , 3.84%, due 7/1/ ,323 89,058 88,161 FNMA Pool , 3.14%, due 2/1/ ,000 36,420 35,922 FNMA Pool , 2.79%, due 7/1/ ,521 34,452 33,977 FNMA Pool AM4367, 4.12%, due 9/1/ ,635 25,474 25,348 FNMA Pool AM7115, 3.4%, due 11/1/ ,846 24,968 24,874 FNMA Pool AN1282, 3.01%, due 4/1/ ,000 20,401 20,199 FNMA Pool AN5742, 3.19%, due 5/1/ ,850 25,390 25,107 FNMA Pool AN6128, 3.27%, due 7/1/ ,000 25,237 25,521 FNMA Pool AN6271, 3.1%, due 8/1/ ,000 25,058 25,251 FNMA Pool AN6368, 3.09%, due 9/1/ ,000 25,123 25,234 FNMA Pool AS9830, 4%, due 6/1/ ,197 25,472 25,327 FNMA Pool AS9972, 4%, due 7/1/ ,283 25,581 25,417 FNMA Pool BD5046, 3.5%, due 2/1/ ,066 43,416 43,213 FNMA Pool MA1177, 3.5%, due 9/1/ ,680 28,437 28,529 FNMA Pool MA2785, 3%, due 10/1/ ,098 41,389 40,895 FNMA Pool MA2864, 3.5%, due 1/1/ , , ,691 FNMA Pool MA2896, 3.5%, due 2/1/ , , ,622 FNMA Pool MA2960, 4%, due 4/1/ ,244 47,635 47,346 FNMA Pool MA2995, 4%, due 5/1/ , , ,556 See Notes to the Financial Statements. 15

19 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value U.S. Government Agency Obligations % (continued) FNMA Pool MA3026, 3.5%, due 6/1/ ,151 $ 640,388 $ 639,116 FNMA Pool MA3027, 4%, due 6/1/ ,299 24,575 24,384 FNMA Pool MA3029, 3%, due 6/1/ ,855 28,716 28,387 FNMA Pool MA3058, 4%, due 7/1/ ,283 75,164 74,606 GNMA II 30 YR Jumbos, 3%, due 1/24/ ,000 85,757 85,770 GNMA II 30 YR Jumbos, 3.5%, due 1/24/ , , ,556 GNMA II 30 YR Jumbos, 4%, due 1/24/ ,000 26,090 26,061 GNMA II 30 YR Jumbos, 4.5%, due 1/24/ , , ,716 GNMA II 30 YR Jumbos, 5%, due 1/24/ ,000 48,146 47,972 GNMA II Pool MA4196, 3.5%, due 1/20/ , , ,780 GNMA II Pool MA4262, 3.5%, due 2/20/ , , ,867 GNMA II Pool MA4320, 3%, due 3/20/ ,252 89,024 89,139 GNMA II Pool MA4722, 5%, due 9/20/ ,572 26,395 26,247 GNMA II Pool MA4838, 4%, due 11/20/ ,944 26,194 26,137 Total U.S. Government Agency Obligations 6,513,696 6,495,463 U.S. Treasury Bills, Bonds and Notes % Treasury Bill, 0.01%, due 1/25/ , , ,821 Treasury Bill, 0.01%, due 2/1/ , , ,750 Treasury Bill, 0.01%, due 3/1/ ,000 13,975 13,971 Treasury Bill, 0.01%, due 4/19/ ,000 97,615 97,594 U.S. Treasury, 0.75%, due 8/31/ , , ,690 U.S. Treasury, 1%, due 5/31/ , , ,523 U.S. Treasury, 1.125%, due 4/30/ , , ,663 U.S. Treasury, 1.25%, due 10/31/ , , ,012 U.S. Treasury, 1.25%, due 10/31/ , , ,625 U.S. Treasury, 1.375%, due 9/30/ , , ,360 U.S. Treasury, 1.5%, due 10/31/ , , ,591 U.S. Treasury, 1.625%, due 5/15/ , , ,913 U.S. Treasury, 1.75%, due 11/30/ , , ,675 U.S. Treasury, 1.75%, due 5/31/ , , ,213 U.S. Treasury, 1.75%, due 6/30/ ,000 9,945 9,819 U.S. Treasury, 1.875%, due 12/31/ ,000 24,988 24,992 U.S. Treasury, 1.875%, due 12/15/ , , ,451 U.S. Treasury, 1.875%, due 4/30/2022 2,065,000 2,074,754 2,040,315 U.S. Treasury, 1.875%, due 7/31/ , , ,509 U.S. Treasury, 2%, due 10/31/ , , ,517 U.S. Treasury, 2%, due 11/30/ , , ,627 U.S. Treasury, 2%, due 5/31/ ,000 89,677 88,320 U.S. Treasury, 2%, due 6/30/ , , ,703 U.S. Treasury, 2%, due 8/15/ , , ,088 U.S. Treasury, 2.125%, due 12/31/ , , ,723 See Notes to the Financial Statements. 16

20 Schedule of Investments (continued) Principal Amount or Fair Shares Cost Value U.S. Treasury Bills, Bonds and Notes % (continued) U.S. Treasury, 2.25%, due 11/15/ ,000 $ 235,465 $ 233,788 U.S. Treasury, 2.25%, due 11/15/2025 1,180,000 1,180,383 1,169,628 U.S. Treasury, 2.25%, due 11/15/ , , ,885 U.S. Treasury, 2.375, due 5/15/ , , ,130 U.S. Treasury, 2.75%, due 11/15/ , , ,902 U.S. Treasury, 3%, due 2/15/ ,000 61,066 63,101 U.S. Treasury, 3%, due 5/15/ ,000 41,372 42,008 U.S. Treasury, 3.75%, due 11/15/ , , ,203 U.S. Treasury Inflation Indexed Bonds, 0.125%, due 4/15/ , , ,535 U.S. Treasury Inflation Indexed Bonds, 0.125%, due 7/15/ ,180 75,179 75,411 U.S. Treasury Inflation Indexed Bonds, 0.375%, due 1/15/ , , ,758 U.S. Treasury Inflation Indexed Bonds, 0.375%, due 7/15/ ,461 55,603 55,166 U.S. Treasury Inflation Indexed Bonds, 0.875%, due 2/15/ , , ,515 Total U.S. Treasury Bills, Bonds and Notes 11,906,551 11,865,495 Purchased Options - 0.0% United States 5 Year Future Option United States Bond Future Option 3,125 3,797 Total Purchased Options 3,531 4,219 Money Market Fund - 4.1% State Street Institutional U.S. Government Money Market Fund 1,444,697 1,444,697 1,444,697 Total Investments, Before Written Options % 37,681,322 37,465,668 Written Options - 0.0% United States 5 Year Future Option (203) (94) Total Investments, Net of Written Options % $ 37,681,119 37,465,574 Liabilities in Excess of Other Assets - (5.9%) (2,083,622) Net Assets - 100% $ 35,381,952 ^Variable Rate Security - The interest rates shown are the current rates as of. (1) Security is in default. See Notes to the Financial Statements. 17

21 Schedule of Investments (continued) Unrealized Number of Value as of Appreciation Contracts Expiration December 31, (Depreciation) Futures: Long (Short) Date 2017 to Date Futures in gain position 90 Day European Future (12) 3/19/18 $ (2,947,200) $ 4, Day European Future (3) 12/16/19 (732,525) 2, Day European Future (4) 6/18/18 (980,750) Day European Future (1) 12/17/18 (244,638) 300 United States 10 Year Treasury Note Future (13) 3/20/18 (1,612,609) 7,344 United States 10 Year Treasury Note Future (2) 3/20/18 (248,094) 1,359 United States Ultra Bond Future 1 3/20/18 167,656 3,029 Total futures in gain position (6,598,160) 19,270 Futures in loss position United States 2 Year Treasury Note Future 10 3/29/18 2,141,094 (4,000) United States 2 Year Treasury Note Future 4 3/29/18 856,438 (2,250) United States 5 Year Treasury Note Future 14 3/29/18 1,626,297 (6,618) United States Long Bond Future (1) 3/20/18 (153,000) (375) United States Ultra Bond Future (2) 3/20/18 (335,313) (4,280) Total futures in loss position 4,135,516 (17,523) Net appreciation on futures contracts $ (2,462,644) $ 1,747 See Notes to the Financial Statements. 18

22 Schedule of Investments (continued) 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 (see Note 3): Fair Value Measurements Level 1 Level 2 Level 3 Total Assets: Asset-Backed Securities $ - $ 1,284,065 $ 26,070 $ 1,310,135 Bank Loan Obligations - 361, ,809 Collective Fund measured at net asset value* ,080,679 Corporate Bonds - 11,148,962-11,148,962 Foreign Government Agency Obligations - 600, ,739 Futures 19, ,270 Mortgage-Backed Securities - 620, ,590 Municipals - 154, ,771 Mutual Funds 378, ,109 Purchased Options 4, ,219 U.S. Government Agency Obligations - 6,495,463-6,495,463 U.S. Treasury Bills, Bonds and Notes 576,133 11,289,362-11,865,495 Money Market Fund 1,444, ,444,697 Total Assets $ 2,422,428 $ 31,955,761 $ 26,070 $ 37,484,938 Liabilities: Futures $ 17,523 $ - $ - $ 17,523 Written Options Total Liabilities $ 17,617 $ - $ - $ 17,617 *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. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the period. The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining fair value: Change in Transfer In Balance as of Beginning Realized Unrealized and/or Out December 31, Balance Purchases Sales Gain Gain of Level Asset-Backed Securities $ - $ 25,344 $ - $ - $ 726 $ - $ 26,070 See Notes to the Financial Statements. 19

23 Schedule of Investments (continued) Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the period ended, were: Purchases Sales Realized at Cost Proceeds Gain Investments $ 145,565,386 $ 109,457,541 $ 125,248 See Notes to the Financial Statements. 20

24 Notes to the Financial Statements 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, and a group trust within the meaning of Rev. Rul , 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") is the Trustee of the Trust. The Trustee is responsible for maintaining and administering the Trust and its various funds and also serves as the investment adviser (the "Investment Adviser") 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 its 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 Internal Revenue Code, as amended (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 investment 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. The (the "Fund") is one of the funds of the Trust. The Fund was created on May 1, 2017, when the Intermediate Fixed Income Portfolio of the Wilmington Trust Collective Investment Trust for Employee Benefit Plans was merged with and into the of the Trust. The Fund consists of three active sleeves and a passive index fund sleeve (the "sleeves"), each of which maintain its own separate investment guidelines and restrictions. The passive sleeve invests in the 1-3 Year Government Bond Index Fund F, a collective investment fund managed by BlackRock Institutional Trust Company, N.A. (the "Underlying Fund Manager"). The investment objective of the Fund is to generate a total return in excess of the Bloomberg Barclays Intermediate Aggregate Bond benchmark over a full market cycle. WTNA has engaged BlackRock Investment Management, LLC, TCW Investment Management Company LLC and Western Asset Management Company as sub-advisors to the active sleeves (the "Sub-Advisors") to provide investment advice and recommendations with respect to investment of the Fund's assets. While the Trustee generally relies on the Sub-Advisors to manage the Fund's assets, the Trustee maintains ultimate fiduciary authority over the management of and investments made in the Fund. The Sub-Advisors are 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 Fund is an investment company and follows the accounting and 21

25 Notes to the Financial Statements (continued) reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic No Net Asset Value ("NAV") Units of each fee class of the Fund are valued each day on which the New York Stock Exchange ("NYSE") is open for trading in accordance with the valuation procedures established by the Trustee. The NAV per unit is calculated as of the close of trading on the NYSE (generally, 4:00 p.m. U.S. Eastern time). The NAV per unit is computed by dividing the total fair value of the assets of a Fund, less its liabilities, by the total number of units outstanding at the time of such computation. Investment income earned is reinvested in the Fund and included in the determination of unit values. Fund Unit Transactions The Fund sells new units and repurchases outstanding units on a daily basis. Unit purchases and redemptions are transacted at the NAV per fee class of the Fund determined as of the close of business each day. A summary of the Fund unit activity for the Fund is included with its Financial Highlights. The Funds require the plan sponsors to provide a five-day written notice for withdrawals which will exceed $1 million or 10% of the assets invested in each Fund. Investment Valuation Investments are valued at their current fair value determined as follows: Money Market 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. Mortgage-Backed Securities and Other Asset-Backed Securities The Fund may invest in mortgagebacked 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 governmentbacked issues; however, risk of loss due to default and sensitivity to interest rate fluctuations is also higher. The Fund may invest in collateralized mortgage obligations ( CMOs ) and real estate mortgage investment conduits ( REMICs ). A CMO is a bond that is collateralized by a pool of MBS, and a REMIC is similar in form to a CMO. These MBS pools are divided into classes or tranches with each class having its own characteristics. The different classes are retired in sequence as the underlying mortgages are repaid. For instance, a planned amortization class ( PAC ) is a specific class of mortgages, which over its life will generally have the most stable 22