wilmington trust collective investment trust multi …€¦ · report on the financial statements...

WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST

MULTI-MANAGER SMALL CAP VALUE FUND

FINANCIAL STATEMENTS

DECEMBER 31, 2018

WITH

INDEPENDENT AUDITOR'S REPORT

Wilmington Trust Collective Investment Trust

MULTI-MANAGER SMALL CAP VALUE 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............................................................................................................................................................ 14

1

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 Multi-Manager Small Cap Value Fund (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 December 31, 2018, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended, and the related notes to the financial statements. These financial statements and financial highlights are hereinafter collectively referred to as financial statements. 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 December 31, 2018, and the results of its operations, and changes in its net assets and its financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

www.hogantaylor.com

2

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 year ended December 31, 2018, 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, 2019

ckneff

Firm Signature


See Notes to the Financial Statements. 3

AssetsInvestments in securities, at fair value (cost $17,010,837) 15,292,602$ Accrued interest, dividends and tax reclaim receivable 27,138 Receivable for investment securities sold 79,957 Receivable for fund units sold 70,570 Receivable for reimbursement 14,867 Total assets 15,485,134 Liabilities and Net AssetsPayable for investment securities purchased 64,718 Payable for fund units redeemed 31,059 Accrued expenses 33,975 Total liabilities 129,752 Net assets 15,355,382$

Investment incomeDividends 293,127$ Interest 5,623 Total investment income 298,750 ExpensesTrustee, management and service provider fees 28,180 Professional fees and other operating expenses 22,867 Total expenses 51,047 Net investment income 247,703 Realized and unrealized gain (loss) on investmentsNet realized gain on investments 772,959 Net change in unrealized depreciation on investments (3,437,612) Net realized and unrealized loss on investments (2,664,653) Net decrease in net assets resulting from operations (2,416,950)$

December 31, 2018

Statement of OperationsFor the year ended December 31, 2018

Statement of Assets and Liabilities

Multi-Manager Small Cap Value Fund



Increase (decrease) in net assets resulting from operationsNet investment income 247,703$ Net realized gain on investments 772,959 Net change in unrealized depreciation on investments (3,437,612) Net decrease in net assets resulting from operations (2,416,950) Fund unit transactionsProceeds from units issuedClass 0IM 2,855,782 Class 35 ^ 26,745 Class 45 8,507 Class 60 193,446 Class R 195,758 Class R6 984,073 Total proceeds from units issued 4,264,311 Value of units redeemedClass 0IM (8,302,155) Class 35 ^ (332,524) Class 45 (2,849) Class 60 (752,262) Class R (618,104) Class R6 (279,224) Total value of units redeemed (10,287,118) Decrease in net assets resulting from fund unit transactions (6,022,807) Decrease in net assets (8,439,757) Net assets, beginning of year 23,795,139 Net assets, end of year 15,355,382$

^All Class 35 units were redeemed on 9/17/2018. The fee class remains available for sale.

Statement of Changes in Net AssetsFor the year ended December 31, 2018




Per Unit Operating Performance Class 0IM Class 35 Class 45Net asset value, beginning of year 31.15$ 30.75$ 30.85$ Income (loss) from investment operations:

Net investment income (1) 0.42 0.10 0.13

Net realized and unrealized gain (loss) on investments (1) (4.56) 1.96 (4.49) Total income (loss) from investment operations (4.14) 2.06 (4.36) Net asset value, end of year or period 27.01$ 32.81$ ^ 26.49$

Total Return (13.29%) 6.70% ^ (14.13%)Supplemental DataRatio to average net assets:

Expenses 0.15% 0.98% # 1.09%Net investment income 1.36% 0.43% # 0.43%

Fund Unit ActivityUnits, beginning of year 633,881 9,370 7,610 Issued 89,835 862 277 Redeemed (267,297) (10,232) (91) Units, end of year 456,419 - 7,796

Per Unit Operating Performance Class 60 Class R Class R6Net asset value, beginning of year 29.34$ 30.95$ 31.43$ Income (loss) from investment operations:

Net investment income (1) 0.06 0.27 0.31

Net realized and unrealized loss on investments (1) (4.24) (4.52) (4.62) Total loss from investment operations (4.18) (4.25) (4.31) Net asset value, end of year 25.16$ 26.70$ 27.12$

Total Return (14.25%) (13.73%) (13.71%)Supplemental DataRatio to average net assets:

Expenses 1.24% 0.64% 0.61%Net investment income 0.23% 0.87% 0.97%

Fund Unit ActivityUnits, beginning of year 32,642 73,592 9,196 Issued 6,378 6,455 31,641 Redeemed (25,638) (19,297) (9,006) Units, end of year 13,382 60,750 31,831 (1) Based on average units outstanding.^Not annualized for periods less than one year. All Class 35 units were redeemed on 9/17/2018. The fee class remains available for sale. The net asset value is as of the redemption date of 9/17/2018.#Annualized.

Financial HighlightsFor the year ended December 31, 2018





Schedule of Investments December 31, 2018

Principal

Amount or FairShares Cost Value

Collective Fund - 10.3%BlackRock Russell 2000® Value Fund F 34,482 1,692,160$ 1,581,353$

Common Stocks - 80.1%Basic Materials - 3.9%

Albemarle Corporation 371 34,484 28,593 Cleveland-Cliffs Inc. 5,010 33,317 38,527 H.B. Fuller Company 4,040 216,674 172,386 Huntsman Corporation 2,155 58,800 41,570 Ingevity Corporation 782 48,886 65,446 Minerals Technologies Inc. 1,823 144,173 93,593 P. H. Glatfelter Company 4,560 76,556 44,506 Rogers Corporation 727 80,828 72,017 RPM International Inc. 600 31,188 35,268

Total Basic Materials 724,906 591,906

Communications - 3.1%Ciena Corporation 6,558 144,050 222,382 Consolidated Communications Holdings, Inc. 2,569 35,019 25,382 Entercom Communications Corp. Class A 4,673 45,912 26,683 FireEye, Inc. 3,942 48,211 63,900 Infinera Corporation 7,488 74,431 29,877 MSG Networks Inc. Class A 1,300 26,877 30,628 Ribbon Communications Inc. 4,609 33,224 22,215 Viavi Solutions Inc. 4,934 48,534 49,587

Total Communications 456,258 470,654

Consumer, Cyclical - 9.7%Acushnet Holdings Corporation 2,517 50,714 53,033 Alaska Air Group, Inc. 1,132 73,703 68,882 Autoliv, Inc. 1,255 117,773 88,139 BMC Stock Holdings, Inc. 4,671 100,802 72,307 Brunswick Corporation 2,037 102,944 94,619 Carter's, Inc. 784 78,899 63,990 Chico's FAS, Inc. 3,700 29,345 20,794 Crocs Inc. 823 5,103 21,382 Dana, Inc. 5,204 110,431 70,931 Express, Inc. 2,941 25,770 15,029 Hasbro, Inc. 811 75,548 65,894 Hawaiian Holdings, Inc. 1,421 53,046 37,529 HNI Corporation 804 30,105 28,486 KAR Auction Services, Inc. 1,306 59,255 62,322




Schedule of Investments (continued) December 31, 2018

Principal


Common Stocks - 80.1% (continued)Consumer, Cyclical - 9.7% (continued)

Knoll Inc. 4,318 97,825$ 71,161$ La-Z-Boy Incorporated 4,153 117,790 115,080 LCI Industries 574 50,460 38,343 Lithia Motors Inc. Class A 623 54,492 47,554 Methode Electronics, Inc. 3,277 100,183 76,321 Office Depot Inc. 11,373 40,861 29,342 Oxford Industries, Inc. 1,062 101,937 75,444 Party City Holdco Inc. 4,000 51,970 39,920 RTW Retailwinds, Inc. 2,424 4,036 6,860 SeaWorld Entertainment Inc. 1,600 22,045 35,344 Tempur Sealy International Inc. 800 38,525 33,120 Visteon Corporation 679 81,944 40,930 Wolverine World Wide Inc. 3,818 100,550 121,756

Total Consumer, Cyclical 1,776,056 1,494,512

Consumer, Non-cyclical - 12.4%Acadia Healthcare Company, Inc. 1,799 65,185 46,252 Accuray, Inc. 9,030 38,107 30,792 AMN Healthcare Services, Inc. 2,097 93,885 118,816 Amneal Pharmaceuticals, Inc. 3,313 52,856 44,825 AtriCure, Inc. 1,472 31,483 45,043 Avery Dennison Corporation 1,553 137,086 139,506 Avis Budget Group, Inc. 1,206 31,749 27,111 B&G Foods, Inc. 4,520 130,343 130,673 Charles River Laboratories International, Inc. 1,006 90,905 113,859 Corelogic, Inc. 1,777 75,736 59,387 Hertz Global Holdings, Inc. 2,435 39,127 33,238 ICU Medical, Inc. 364 71,259 83,585 Ingredion, Inc. 479 57,013 43,781 Integer Holdings Corporation 1,510 121,943 115,153 Intersect ENT, Inc. 664 14,039 18,712 J & J Snack Foods Corporation 804 106,705 116,250 Lancaster Colony Corporation 566 69,535 100,103 LiveRamp Holdings, Inc. 1,268 28,392 48,983 Luminex Corporation 1,840 37,863 42,522 Mallinckrodt PLC 950 16,288 15,010 Molina Healthcare, Inc. 378 22,593 43,931 NanoString Technologies Inc. 2,450 26,602 36,334 Natus Medical Incorporated 3,168 110,255 107,807 Patterson Companies, Inc. 1,400 32,841 27,524 Steris PLC 876 72,085 93,601





Principal


Common Stocks - 80.1% (continued)Consumer, Non-cyclical - 12.4% (continued)

Teleflex Inc. 227 49,892$ 58,675$ The Hain Celestial Group Inc. 1,250 39,419 19,825 Travelport Worldwide Limited 6,012 91,351 93,907 Treehouse Foods, Inc. 950 60,319 48,175

Total Consumer, Non-cyclical 1,814,856 1,903,380

Energy - 4.4%Callon Petroleum Company 10,161 114,198 65,945 Delek US Holdings, Inc. 1,043 38,664 33,908 Dril-Quip, Inc. 550 25,344 16,517 EnLink Midstream, LLC 7,515 112,608 71,317 Forum Energy Technologies, Inc. 2,000 23,974 8,260 ION Geophysical Corporation 900 18,972 4,662 Magnolia Oil & Gas Corporation 6,221 77,071 69,737 Matador Resources Company 6,209 180,049 96,426 McDermott International, Inc. 1,242 24,041 8,123 Murphy USA Inc. 951 65,061 72,885 Oil States International, Inc. 950 24,058 13,566 Patterson-UTI Energy Inc. 1,200 22,804 12,420 Select Energy Services Inc. Class A 5,773 92,776 36,485 Superior Energy Services, Inc. 2,550 23,596 8,543 Targa Resources Corporation 2,182 99,329 78,596 Tetra Technologies Inc. 6,188 20,111 10,396 Vermilion Energy Inc. 3,239 103,175 68,246

Total Energy 1,065,831 676,032

Financial - 14.5%Arthur J. Gallagher & Company 542 32,694 39,945 Assured Guaranty Ltd. 2,099 74,747 80,350 BancorpSouth Bank 7,562 230,943 197,671 Bank OZK 3,071 114,301 70,111 BankUnited, Inc. 1,234 43,560 36,946 BGC Partners Inc. Class A 13,821 100,824 71,455 BOK Financial Corporation 474 40,186 34,758 Comerica Inc. 453 32,254 31,117 Cullen/Frost Bankers, Inc. 615 59,148 54,083 CVB Financial Corporation 8,151 179,286 164,895 East West Bancorp, Inc. 993 40,548 43,225 FCB Financial Holdings Inc. Class A 3,080 143,724 103,426 Fidelity National Financial, Inc. 1,749 56,946 54,989 Glacier Bancorp Inc. 4,380 165,901 173,536





Principal


Common Stocks - 80.1% (continued)Financial - 14.5% (continued)

Hope Bancorp, Inc. 2,547 45,168$ 30,207$ Horace Mann Educators 2,733 106,423 102,351 Huntington Bancshares Inc. 2,892 37,509 34,473 IBERIABANK Corporation 2,915 229,930 187,376 Independent Bank Corporation 2,769 187,367 194,688 James River Group Holdings Ltd. 1,933 74,850 70,632 Newmark Group, Inc. 6,174 62,499 49,515 PacWest Bancorp 2,834 135,696 94,316 Selective Insurance Group Inc. 2,802 145,626 170,754 TCF Financial Corporation 3,534 44,211 68,878 Texas Capital Bancshares Inc. 639 48,705 32,647 Washington Trust Bancorp Inc. 788 40,118 37,454

Total Financial 2,473,164 2,229,798

Government - 0.3%Banco Latinoamericano de Comercio Exterior, SA Class E 2,238 55,085 38,717

Industrial - 16.6%Actuant Corporation Class A 1,860 45,825 39,041 Advanced Disposal Services, Inc. 5,491 132,453 131,455 Albany International Corporation Class A 432 23,571 26,970 Altra Industrial Motion Corporation 3,621 142,556 91,068 Babcock & Wilcox Enterprises, Inc. 14,100 33,217 5,505 Clean Harbors, Inc. 1,092 64,024 53,890 Covanta Holding Corporation 3,107 44,648 41,696 Crane Company 690 45,480 49,804 Crown Holdings, Inc. 2,405 126,452 99,976 Donaldson Company, Inc. 582 27,169 25,253 Emcor Group Inc. 788 52,136 47,036 Energizer Holdings, Inc. 284 16,218 12,823 ESCO Technologies Inc. 2,103 121,644 138,682 Fluidigm Corporation 10,100 39,535 87,062 Forward Air Corporation 1,384 97,487 75,912 Garmin Ltd. 364 19,002 23,048 Gibraltar Industries, Inc. 2,480 92,748 88,263 Harsco Corporation 1,280 16,602 25,421 Hubbell Inc. 289 33,004 28,709 Idex Corporation 239 25,820 30,176 II-VI, Inc. 207 5,914 6,719 Itron Inc. 1,036 64,260 48,992 ITT, Inc. 844 25,919 40,740 KBR, Inc. 3,485 51,165 52,902 Lincoln Electric Holdings, Inc. 414 37,461 32,644





Principal


Common Stocks - 80.1% (continued)Industrial - 16.6% (continued)

Littelfuse, Inc. 827 142,474$ 141,814$ Lydall, Inc. 1,000 36,154 20,310 Manitowoc Company, Inc. 1,047 23,997 15,464 MSA Safety Inc. 571 45,615 53,828 Mueller Water Products, Inc. Class A 8,335 93,684 75,849 Nordson Corporation 494 63,194 58,959 OSI Systems, Inc. 603 47,161 44,200 Packaging Corporation of America 485 48,745 40,478 Plexus Corporation 1,986 122,772 101,445 Ryder System Inc. 717 49,308 34,524 Snap On, Inc. 501 75,180 72,790 Spirit AeroSystems Holdings, Inc. Class A 984 57,377 70,937 Standex International Corporation 954 87,110 64,090 Stericycle Inc. 950 56,093 34,856 Stoneridge, Inc. 2,457 87,281 60,565 SYNNEX Corporation 1,648 163,854 133,224 Teledyne Technologies Incorporated 216 29,057 44,727 Twin Disc Inc. 986 19,602 14,544 U.S. Ecology, Inc. 2,364 124,081 148,885 Valmont Industries, Inc. 308 47,022 34,173

Total Industrial 2,804,071 2,569,449

Technology - 11.3%ACI Worldwide, Inc. 4,502 104,571 124,570 Allscripts Healthcare Solutions, Inc. 15,333 197,521 147,811 Broadridge Financial Solutions, Inc. 120 9,221 11,550 Brooks Automation, Inc. 5,221 177,784 136,686 Ceva Inc. 929 33,015 20,522 Cloudera, Inc. 3,450 47,740 38,157 Conduent Inc. 3,950 63,945 41,989 Cypress Semiconductor Corporation 4,506 63,152 57,316 Diebold Nixdorf Inc. 3,150 47,232 7,844 Entegris Inc. 2,813 74,911 78,469 Impinj, Inc. 900 11,675 13,095 J2 Global, Inc. 480 36,343 33,302 Kulicke and Soffa Industries, Inc. 3,059 74,253 62,006 Leidos Holdings Inc. 1,020 57,132 53,774 MACOM Technology Solutions Holdings Inc. 3,007 105,227 43,632 Maxwell Technologies Inc. 5,070 25,708 10,495 Mellanox Technologies Ltd. 1,322 62,359 122,126 Mercury Systems Inc. 903 35,447 42,703 MKS Instruments, Inc. 2,251 198,196 145,437





Principal


Common Stocks - 80.1% (continued)Technology - 11.3% (continued)

Nuance Communications Inc. 6,221 110,008$ 82,304$ OneSpan Inc. 1,937 26,738 25,084 Quantum Corporation 1,632 13,644 3,264 Rambus Inc. 5,313 63,505 40,751 SeaChange International Inc. 4,862 12,646 6,126 Semtech Corporation 2,442 113,872 112,015 The KeyW Holding Corporation 5,248 48,592 35,109 TiVo Corporation 4,282 84,227 40,294 Unisys Corporation 2,451 24,944 28,505 Veeco Instruments, Inc. 3,871 87,262 28,684 Verint Systems, Inc. 3,281 131,730 138,819

Total Technology 2,142,600 1,732,439

Utilities - 3.9%Allete, Inc. 801 56,804 61,052 Alliant Energy Corporation 1,615 65,628 68,234 Atlantic Power Corporation 13,810 33,935 29,968 Evergy, Inc. 1,256 64,024 71,303 Fortis Inc. 581 18,958 19,382 MGE Energy Inc. 1,124 72,128 67,395 ONE Gas, Inc. 1,490 107,085 118,604 Ormat Technologies, Inc. 990 59,400 51,777 PNM Resources Inc. 402 14,999 16,518 Portland General Electric Company 884 39,560 40,531 Vistra Energy Corp. 2,293 26,981 52,487

Total Utilities 559,502 597,251 Total Common Stocks 13,872,329 12,304,138

Depositary Receipt - 0.2%Criteo S.A 1,400 33,908 31,808

Money Market Fund - 1.8%State Street Institutional U.S. Government Money Market Fund 277,026 277,026 277,026

Preferred Stock - 0.3%Vistra Energy Corp. 427 20,976 38,947

Real Estate Investment Trusts - 6.9%Agree Realty Corporation 483 23,404 28,555 CyrusOne, Inc. 2,121 125,285 112,158 EastGroup Properties Inc. 1,121 89,206 102,830





Principal


Real Estate Investment Trusts - 6.9% (continued)EPR Properties 1,288 82,259$ 82,471$ Four Corners Property Trust, Inc. 850 21,567 22,270 Medical Properties Trust, Inc. 4,753 63,171 76,428 National Health Investors, Inc. 511 36,059 38,601 National Retail Properties, Inc. 659 28,168 31,968 Omega Healthcare Investors Inc. 1,976 56,232 69,456 Pebblebrook Hotel Trust 5,297 168,990 149,958 Physicians Realty Trust 6,824 130,230 109,389 QTS Realty Trust Inc. Class A 3,792 162,999 140,494 RPT Realty 2,641 33,539 31,560 Tanger Factory Outlet Centers, Inc. 1,646 40,780 33,282 Uniti Group Inc. 1,921 52,549 29,910

Total Real Estate Investment Trusts 1,114,438 1,059,330 Total Investments - 99.6% 17,010,837$ 15,292,602 Other Assets in Excess of Liabilities - 0.4% 62,780 Net Assets - 100% 15,355,382$

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, 2018 (see Note 3):

Level 1 Level 2 Level 3 Total

Collective Fund measured atnet asset value* -$ -$ -$ 1,581,353$

Common Stocks 12,304,138 - - 12,304,138 Depositary Receipt 31,808 - - 31,808 Money Market Fund 277,026 - - 277,026 Preferred Stock 38,947 - - 38,947 Real Estate Investment Trusts 1,059,330 - - 1,059,330 Total 13,711,249$ -$ -$ 15,292,602$

Fair Value Measurements

*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. During the year ended December 31, 2018, the Fund did not hold any Level 3 securities. 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 year.





Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2018, were:

Purchases Sales Realizedat Cost Proceeds Gain

Investments 17,849,071$ 21,633,140$ 772,959$



Notes to the Financial Statements

December 31, 2018

14

Note 1 – Organization Wilmington Trust Collective Investment Trust (the "Trust") is intended to constitute an exempt trust under Section 501(a) of the Internal Revenue Code of 1986, as amended (the "Code"), and a group trust within the meaning of Rev. Rul. 81-100, as clarified and amended. The Trust is exempt from registration under the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended. Wilmington Trust, N.A. ("WTNA" or the "Trustee") serves as the Trustee of the Trust. The Trustee is responsible for maintaining and administering the Trust and the Multi-Manager Small Cap Value Fund (the "Fund") and also serves as the investment adviser (the "Investment Adviser") to the Fund. 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 Fund. The purpose of the Trust is to allow collective investments by plan sponsors of retirement plans which qualify for exemption from federal income taxation pursuant to Section 501(a) of the Code, by reason of qualifying under Section 401(a) of the Code; tax-exempt governmental plans under Section 414(d) or Section 818(a)(6) of the Code; eligible deferred compensation plans under Section 457(b) of the Code established by a government employer; group trusts or separate accounts consisting solely of assets of the foregoing; and other investors eligible for participation in the Trust. The Trust consists of separate funds with differing investment objectives, which are available for investment by participating plans. An eligible plan may join the Trust, subject to the Trustee's acceptance, and become a participating plan by executing participation documents specified by the Trustee. Not all funds within the Trust are presented herein. The 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 BlackRock Russell 2000®

Value 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 Russell 2000® Value Index benchmark over a full market cycle. WTNA has engaged Edge Asset Management, Inc. (Principal Global Investors, LLC) and Silvercrest Asset Management Group LLC as model portfolio providers for two of the active sleeves and Neuberger Berman Investment Advisers LLC as sub-advisor to the third active sleeve (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 reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic No. 946.



Notes to the Financial Statements (continued)

December 31, 2018

15

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 Fund requires the plan sponsor to provide a five-day written notice for withdrawals which will exceed $1 million or 10% of the assets invested in the Fund. Investment Valuation – Investments are valued at their current fair value determined as follows:

Investments in Collective Funds – The Fund may hold investments in units of other funds within the Trust or similar funds for which other unrelated entities are the 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 Fund has the ability to redeem its investments in the collective funds at net asset value without restrictions. Where one fund invests in another fund within the Trust, the Trustee fee allocated to the investment by such investee fund is waived. Money Market Funds – Investments in money market funds are valued at the daily closing net asset value of the respective fund. Securities – Securities, other than bonds, listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the closing price on the primary exchange or market on which they are traded on the day of valuation or, if there is no such reported sale on the valuation date, at the most recent bid quotation on the principal exchange. If a market price is not readily available or if such price is deemed unreliable, it will be valued at fair value in accordance with valuation procedures established by the Trustee. The Trustee's determination of fair value involves consideration of a number of subjective factors, and therefore, no single standard for determining fair value will apply.

When the valuation methods described above are not reflective of fair value, investments are valued at fair value following procedures and/or guidelines determined by or under the direction of the valuation committee established by the Trustee. In light of the judgment involved in fair value decisions, there can be no assurance that a fair value assigned to a particular investment is accurate. Cash and Cash Equivalents – The Fund considers all highly liquid instruments with original maturities of three months or less at the acquisition date to be cash equivalents. Investment Transactions and Investment Income – The Fund records security transactions on a trade date basis. Dividend income is recorded on the ex-dividend date. Net realized gains and losses on investments are determined by the first-in, first-out method. Interest income and expenses are recorded daily on the accrual basis.




December 31, 2018

16

Fee Classes and Allocations – The Fund offers 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 unit 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 Fund's organizational documents, each trustee, officer, employee and agent of the Trust is indemnified, to the extent permitted by law, against certain liabilities that may arise in the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote. Income Tax Status – The Trust has received a determination from the Internal Revenue Service that the Trust is exempt from federal income taxation under Section 501(a) of the Code. Accordingly, no federal income tax provision is required. Subsequent Events – The Trustee has evaluated the effect of subsequent events on the Fund's financial statements through April 30, 2019, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events that would require disclosure or adjustment in the Fund's financial statements through this date. Note 3 – Fair Value Measurements Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Various inputs are used in determining the fair value of the Fund's investments. The Trustee has performed an analysis of the significance and character of these inputs to the fair value determination. These inputs are summarized in the three broad levels listed below:

• Level 1 – Quoted prices in active markets for identical investments.

• Level 2 – Other significant observable inputs (including quoted prices for similar investments, published net asset values, interest rates, credit risk, and others).

• Level 3 – Significant unobservable inputs (including the Trustee's own assumptions in determining the fair value of investments).




December 31, 2018

17

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, 2018, in valuing the Fund's assets carried at fair value is included in Note 2. The aggregate fair value of the investments in the Fund, by input level used as of December 31, 2018, is included following the Fund's Schedule of Investments. Note 4 – Fees and Expenses Trustee, Estimated Blended Sub-Advisory and Underlying Fund Management, and Service Provider Fees All asset-based fees are based upon the net assets as determined at the end of each preceding business day as set forth in the table below (in basis points). Except as otherwise noted, all asset-based fees are paid from the assets of the Fund.

Fee Class

Trustee Fee

Estimated Blended Sub-Advisory and Underlying Fund Management Fees

Service Provider Fee

Class 0IM 3 0 0 Class 35 13 39 35 Class 45 13 39 45 Class 60 13 39 60 Class R 13 39 0 Class R6 10 39 0

Trustee Fee – The Trustee receives an annual fee for trustee and administrative services provided to the Fund. Trustee fees, except as noted below with respect to Class 0IM, are based upon the average daily value of the Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Fund. Such Trustee fees for the year ended December 31, 2018, are included in the Statement of Operations for the Fund. Plans invested in Class 0IM have agreed to pay external fees that are paid either by redemption of Fund units or paid directly by the plan sponsor. Portions of external fees are paid to the Sub-Advisors and Underlying Fund Manager for investment advisory services provided to the respective fund sleeve. External fees are based on the fair value as of the last business day of the previous month end and paid monthly in advance. Sub-Advisory and Underlying Fund Management Fees – The Sub-Advisors and Underlying Fund Manager are compensated for their investment advisory services provided to the Fund. Management fees for each class, except as noted below with respect to Class 0IM, 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. Plans in Class 0IM (or their plan sponsors) paid a management fee to the Sub-Advisors and Managers of the underlying funds of 39 basis points based on the month-end values of the fund. These fees are not reflected in the




December 31, 2018

18

Fund's expense ratio. For Class 0IM, the actual expense ratio including management fees incurred would be 54 basis points. Service Provider Fee – Service provider fees, if any, are used to compensate other service providers to the Fund, including brokers and financial intermediaries and other parties providing services to retirement plans participating in the Fund. Service provider fees may also be paid to plan service providers, such as third-party administrators and record keepers that provide sub-transfer agency, recordkeeping and other administrative services to participating plans invested in the Fund. Operating Expenses – In addition to the fees described above, the Fund bears expenses related to its operation, including, but not limited to, audit, custody, tax and legal services. Expenses incurred in connection with the investment and reinvestment of Fund assets, including, without limitation, transfer agency fees, brokerage commission and other expenses, are also charged against the Fund. When assets of the Fund are invested in other investment vehicles, such as other collective funds or Exchange-Traded Funds, those investment vehicles will incur fees and expenses, which will be reflected in the operating results and value of the Fund's investment in such investment vehicle, and are separate and distinct from the fees and expenses of the Fund described above. Note 5 – Related Party Transactions The Trustee is a national bank that provides trust and custodial services for tax-advantaged retirement plans as well as trust and investment services to business pension and retirement plans. The Trustee is responsible for managing the Trust's investment and business affairs. Note 6 – Risks Associated with Investing in the Fund In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the fair value of the investments. The principal risks associated with investing in the Fund are:

• 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.

• 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.

• Issuer. A stake in any individual security is subject to the risk that the issuer of that security performs poorly,

resulting in a decline in the security's value. Issuer-related declines may be caused by poor management decisions, competitive pressures, technological breakthroughs, reliance on suppliers, labor problems or




December 31, 2018

19

shortages, corporate restructurings, fraudulent disclosures, or other factors. Additionally, certain issuers may be more sensitive to adverse issuer, political, regulatory, market, or economic developments.

• 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.

• Multi-Manager. Multi-Manager Funds consist of multiple specialized "sleeves," each holding investments recommended by different sub-advisors. The sleeves' individual investing styles may not complement each other. This can result in both higher portfolio turnover and enhanced or reduced concentration in a particular region, country, industry, or investing style compared with an investment in a single sub-advised fund.

• 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.

• 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.

wilmington trust collective investment trust multi …€¦ · report on the financial statements...

Documents