wilmington trust collective investment trust short

WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST

SHORT DURATION FUND

FINANCIAL STATEMENTS

DECEMBER 31, 2020

WITH

INDEPENDENT AUDITOR'S REPORT

Wilmington Trust Collective Investment Trust

SHORT DURATION FUND

CONTENTS Independent Auditor's Report ..................................................................................................................................................................... 1 Schedule of Investments ............................................................................................................................................................................ 3 Statement of Assets and Liabilities .......................................................................................................................................................... 13 Statement of Operations .......................................................................................................................................................................... 13 Statement of Changes in Net Assets........................................................................................................................................................ 14 Financial Highlights .................................................................................................................................................................................. 15 Notes to the Financial Statements............................................................................................................................................................ 16

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 Short Duration 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, 2020, the related statements of operations and changes in net assets, the financial highlights for the year then ended, and the related notes to the financial statements. These 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, 2020, the results of its operations, changes in its net assets and its financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

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 for the year ended December 31, 2020, following the schedule of investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole.

Tulsa, Oklahoma April 30, 2021


See Notes to the Financial Statements. 3

Short Duration Fund

Schedule of Investments December 31, 2020

Principal

Amount or FairShares Cost Value

Asset-Backed Securities - 7.3%Auto - 2.0%

Americredit Automobile Receivables Trust 2019-1, 2.97%, 11/20/2023 44,745 44,741$ 45,312$ ARI Fleet Lease Trust 2018-A, 2.55%, 10/15/2026 2,007 2,007 2,009 ARI Fleet Lease Trust 2018-B, 3.22%, 8/16/2027 35,610 35,609 35,892 Chesapeake Funding II LLC, 3.23%, 8/15/2030 99,007 98,996 101,211 Drive Auto Receivables Trust 2019-4, 2.16%, 5/15/2023 60,088 60,086 60,276 Drive Auto Receivables Trust 2020-1, 2.02%, 11/15/2023 40,000 39,997 40,356 Drive Auto Receivables Trust 2020-2, 0.657%, 7/17/2023 29,417 29,417 29,456 Enterprise Fleet Financing 2019-1 LLC, 2.98%, 10/20/2024 105,978 106,770 107,768 Enterprise Fleet Financing LLC, 2.22%, 1/20/2023 45,550 45,549 45,761 Enterprise Fleet Financing LLC, 2.87%, 10/20/2023 8,922 8,921 8,959 Ford Credit Auto Lease Trust 2019-B, 2.28%, 2/15/2022 30,816 30,816 30,867 Ford Credit Auto Lease Trust 2020-A, 1.85%, 3/15/2023 80,000 79,997 81,074 GM Financial Automobile Leasing Trust 2020-2, 0.71%, 10/20/2022 36,856 36,854 36,974 Harley-Davidson Motorcycle Trust 2020-A, 1.87%, 10/15/2024 20,000 19,996 20,316 Nissan Auto Lease Trust 2019-B, 2.27%, 10/15/2021 11,643 11,642 11,655 Nissan Auto Receivables 2017-C Owner Trust, 2.12%, 4/18/2022 14,585 14,583 14,622 OneMain Direct Auto Receivables Trust 2018-1, 3.43%, 12/16/2024 89,254 89,240 90,135 Westlake Automobile Receivables Trust 2019-3, 2.15%, 2/15/2023 26,699 26,698 26,860

Total Auto 781,919 789,503

Other - 5.3%Dryden XXV Senior Loan Fund, 1.141%, 10/15/2027 210,354 210,354 209,976 Ford Credit Floorplan Master Owner Trust A, 2.23%, 9/15/2024 220,000 219,992 226,881 Ford Credit Floorplan Master Owner Trust A, 2.84%, 3/15/2024 110,000 109,989 113,349 Navient Private Education Loan Trust 2014-A, 2.74%, 2/15/2029 169,713 171,321 172,949 Navient Private Education Loan Trust 2020-I, 0%, 4/15/2069 135,000 135,000 135,009 Navient Private Education Refinance Loan Trust 2019-E, 2.39%, 5/15/2068 19,986 19,983 20,065 Navient Private Education Refinance Loan Trust 2020-B, 1.8%, 1/15/2069 60,846 60,840 61,060 Navient Private Education Refinance Loan Trust 2020-D, 1.69%, 5/15/2069 91,545 91,535 93,279 Navient Private Education Refinance Loan Trust 2020-F, 1.22%, 7/15/2069 101,451 101,444 102,446 Neuberger Berman CLO XVI-S Ltd, 1.091%, 1/15/2028 346,089 346,089 345,522 Nissan Master Owner Trust Receivables, 0.557%, 11/15/2023 120,000 120,000 120,298 Nissan Master Owner Trust Receivables, 0.687%, 2/15/2024 140,000 140,000 140,695 RR 3 Ltd, 1.331%, 1/15/2030 250,000 249,132 249,323 SMB Private Education Loan Trust 2015-B, 1.877%, 5/17/2032 100,000 98,774 101,790

Total Other 2,074,453 2,092,642 Total Asset-Backed Securities 2,856,372 2,882,145



Short Duration Fund

Schedule of Investments (continued) December 31, 2020

Principal


Corporate Bonds - 35.9%Basic Materials - 0.3%

DuPont de Nemours, Inc., 4.205%, 11/15/2023 100,000 107,613$ 110,324$

Communications - 1.4%Charter Communications Operating, LLC, 4.5%, 2/1/2024 235,000 259,335 260,659 Cox Communications, Inc., 3.25%, 12/15/2022 250,000 262,416 263,327 Interpublic Group of Companies, Inc./The, 3.75%, 10/1/2021 10,000 9,998 10,251

Total Communications 531,749 534,237

Consumer, Cyclical - 2.8%American Honda Finance Corporation, 2.05%, 1/10/2023 80,000 82,479 82,727 Daimler Finance North America LLC, 1.75%, 3/10/2023 150,000 149,795 154,001 Ford Motor Credit Company LLC, 2.979%, 8/3/2022 200,000 200,820 203,340 General Motors Company, 5.4%, 10/2/2023 15,000 14,987 16,796 General Motors Financial Company, Inc., 3.2%, 7/6/2021 124,000 123,798 125,334 General Motors Financial Company, Inc., 3.25%, 1/5/2023 70,000 69,021 73,403 General Motors Financial Company, Inc., 3.55%, 4/9/2021 10,000 10,000 10,077 General Motors Financial Company, Inc., 4.15%, 6/19/2023 35,000 34,973 37,654 General Motors Financial Company, Inc., 4.2%, 11/6/2021 175,000 177,826 180,376 General Motors Financial Company, Inc., 5.2%, 3/20/2023 75,000 74,973 82,237 Toyota Motor Credit Corporation, 0.8%, 10/16/2025 125,000 124,801 125,895

Total Consumer, Cyclical 1,063,473 1,091,840

Consumer, Non-cyclical - 4.2%AbbVie Inc., 2.15%, 11/19/2021 200,000 201,634 203,221 AbbVie Inc., 2.3%, 11/21/2022 100,000 99,938 103,640 AbbVie Inc., 2.9%, 11/6/2022 50,000 50,585 52,304 AbbVie Inc., 3.25%, 10/1/2022 250,000 259,648 260,387 Altria Group, Inc., 3.49%, 2/14/2022 12,000 12,071 12,412 Anthem, Inc., 3.125%, 5/15/2022 30,000 29,832 31,126 B.A.T Capital Corporation, 3.222%, 8/15/2024 275,000 294,588 297,721 Cigna Corporation, 3.75%, 7/15/2023 90,000 94,342 97,296 CVS Health Corporation, 2.125%, 6/1/2021 15,000 14,996 15,089 CVS Health Corporation, 3.7%, 3/9/2023 66,000 68,224 70,608 Gilead Sciences, Inc., 3.7%, 4/1/2024 10,000 10,045 10,899 PeaceHealth Obligated Group, 1.375%, 11/15/2025 13,000 13,000 13,269 Shire Acquisitions Investments Ireland Designated Activity Company,

2.4%, 9/23/2021 19,000 18,838 19,248



Short Duration Fund


Principal


Corporate Bonds - 35.9% (continued)Consumer, Non-cyclical - 4.2% (continued)

Shire Acquisitions Investments Ireland Designated Activity Company, 2.875%, 9/23/2023 255,000 260,373$ 270,409$

Takeda Pharmaceutical Company Limited, 4.4%, 11/26/2023 200,000 221,298 221,475 Total Consumer, Non-cyclical 1,649,412 1,679,104

Energy - 3.4%Enbridge Energy Partners, L.P., 4.2%, 9/15/2021 20,000 20,253 20,336 Energy Transfer Operating, L.P., 4.25%, 3/15/2023 265,000 274,072 281,604 Energy Transfer Partners LP, 5%, 10/1/2022 75,000 78,657 79,588 Kinder Morgan Energy Partners, L.P., 3.5%, 3/1/2021 5,000 5,000 5,000 Kinder Morgan Energy Partners, L.P., 3.95%, 9/1/2022 350,000 358,361 367,277 MPLX LP, 3.375%, 3/15/2023 55,000 54,841 58,250 Phillips 66, 0.9%, 2/15/2024 75,000 74,922 75,182 Sabine Pass Liquefaction, LLC, 5.625%, 4/15/2023 255,000 277,474 280,150 Williams Companies, Inc./The, 4%, 11/15/2021 155,000 155,362 158,335

Total Energy 1,298,942 1,325,722

Financials - 20.4%AerCap Global Aviation Trust, 4.625%, 7/1/2022 345,000 357,449 363,034 Air Lease Corporation, 2.25%, 1/15/2023 40,000 39,822 41,069 Air Lease Corporation, 2.5%, 3/1/2021 125,000 124,917 125,381 American Express Company, 2.75%, 5/20/2022 300,000 305,535 309,496 American Tower Corporation, 3.5%, 1/31/2023 365,000 385,316 386,962 ANZ New Zealand (Int'l) Limited, 1.9%, 2/13/2023 200,000 199,950 206,003 Bank of America Corporation, 3.004%, 12/20/2023 335,000 348,806 352,591 Bank of America Corporation, 3.5%, 4/19/2026 135,000 151,610 152,999 Banque Federative du Credit Mutuel, 0.65%, 2/27/2024 200,000 199,726 200,563 Canadian Imperial Bank of Commerce, 2.35%, 7/27/2022 200,000 198,373 206,384 Capital One Financial Corporation, 3.05%, 3/9/2022 150,000 151,948 154,586 Capital One Financial Corporation, 3.5%, 6/15/2023 55,000 58,624 59,020 Capital One Financial Corporation, 4.75%, 7/15/2021 250,000 253,559 255,833 Citigroup Inc., 3.7%, 1/12/2026 200,000 224,619 227,272 Citigroup Inc., 3.875%, 10/25/2023 50,000 54,494 54,984 Credit Suisse AG, 1%, 5/5/2023 500,000 502,644 507,563 Danske Bank A/S, 1.171%, 12/8/2023 215,000 215,000 215,968 Deutsche Bank AG, 4.25%, 2/4/2021 150,000 149,994 150,405 Goldman Sachs Group, Inc./The, 2.905%, 7/24/2023 200,000 207,081 207,728 Goldman Sachs Group, Inc./The, 3%, 4/26/2022 200,000 200,885 201,623 Goldman Sachs Group, Inc./The, 3.625%, 1/22/2023 170,000 180,700 181,413



Short Duration Fund


Principal


Corporate Bonds - 35.9% (continued)Financials - 20.4% (continued)

Inter-American Development Bank, 0.25%, 11/15/2023 195,000 194,741$ 195,057$ JPMorgan Chase & Co., 1.514%, 6/1/2024 580,000 593,190 595,483 MassMutual Global Funding II, 0.85%, 6/9/2023 200,000 199,904 202,444 Mitsubishi UFJ Financial Group, Inc., 3.535%, 7/26/2021 25,000 25,000 25,453 Morgan Stanley, 0.56%, 11/10/2023 200,000 200,000 200,463 Morgan Stanley, 2.5%, 4/21/2021 180,000 179,541 181,116 Morgan Stanley, 3.125%, 1/23/2023 285,000 289,900 300,780 Natwest Group plc, 3.498%, 5/15/2023 365,000 379,343 378,961 New York Life Global Funding, 1.1%, 5/5/2023 25,000 24,996 25,436 Ontario Teachers' Finance Trust, 0.375%, 9/29/2023 250,000 249,273 250,238 Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022 70,000 70,595 72,571 Sumitomo Mitsui Financial Group, Inc., 2.934%, 3/9/2021 150,000 150,011 150,719 Swedbank AB, 2.8%, 3/14/2022 200,000 202,094 205,839 UBS Group AG, 2.859%, 8/15/2023 200,000 203,061 207,334 Wells Fargo & Company, 3.5%, 3/8/2022 260,000 264,791 269,558 Wells Fargo & Company, 3.75%, 1/24/2024 10,000 9,989 10,917 Wells Fargo Bank, National Association, 2.6%, 1/15/2021 250,000 249,998 250,162

Total Financials 7,997,479 8,083,408

Industrials - 1.5%Carrier Global Corporation, 1.923%, 2/15/2023 50,000 50,000 51,509 Northrop Grumman Corporation, 3.25%, 8/1/2023 150,000 160,767 161,222 Penske Truck Leasing Co. LP, 2.7%, 3/14/2023 150,000 154,958 156,832 Penske Truck Leasing Co. LP, 3.3%, 4/1/2021 115,000 114,908 115,529 Penske Truck Leasing Co. LP, 3.375%, 2/1/2022 110,000 109,695 112,916

Total Industrials 590,328 598,008

Technology - 1.5%Broadcom Cayman Finance Ltd., 2.65%, 1/15/2023 20,000 19,518 20,809 Broadcom Inc., 2.25%, 11/15/2023 250,000 251,500 261,096 Broadcom Inc., 3.125%, 4/15/2021 85,000 84,986 85,487 NXP B.V., 4.625%, 6/1/2023 200,000 211,193 218,606

Total Technology 567,197 585,998

Utilities - 0.4%CenterPoint Energy, Inc., 3.6%, 11/1/2021 40,000 39,997 41,066 Exelon Generation Company, LLC, 4.25%, 6/15/2022 30,000 30,788 31,316 Pacific Gas and Electric Company, 1.6%, 11/15/2021 95,000 95,000 95,052

Total Utilities 165,785 167,434 Total Corporate Bonds 13,971,978 14,176,075



Short Duration Fund


Principal


Mortgage-Backed Securities - 19.5%BX Commercial Mortgage Trust 2020-BXLP, 0.926%, 12/15/2036 99,909 99,909$ 99,940$ Citigroup Commercial Mortgage Trust 2013-GC11, 3.093%, 4/10/2046 55,000 57,630 57,681 Citigroup Commercial Mortgage Trust 2014-GC19, 3.552%, 3/10/2047 81,381 82,926 85,453 Citigroup Commercial Mortgage Trust 2015-GC27, 3.137%, 2/10/2048 100,000 105,841 108,421 Citigroup Commercial Mortgage Trust 2016-P6, 3.512%, 12/10/2049 60,000 63,965 65,439 COMM 2012-CCRE1 Mortgage Trust, 3.053%, 5/15/2045 52,313 53,604 52,967 COMM 2013-CCRE9 Mortgage Trust, 4.219%, 7/10/2045 65,000 69,734 70,210 COMM 2014-CCRE15 Mortgage Trust, 3.595%, 2/10/2047 92,640 93,996 96,709 COMM 2014-CCRE21 Mortgage Trust, 3.528%, 12/10/2047 63,992 68,154 69,189 COMM 2015-PC1 Mortgage Trust, 3.608%, 7/10/2050 130,301 136,725 138,383 Credit Suisse Mortgage Capital Certificates 2019-ICE4,

1.106%, 5/15/2036 200,000 200,373 200,268 CSAIL 2015-C3 Commercial Mortgage Trust, 3.448%, 8/15/2048 54,850 56,777 58,021 DBUBS 2011-LC1 Mortgage Trust, 5.002%, 11/10/2046 13,614 15,294 13,613 DBUBS 2011-LC1 Mortgage Trust, 5.535%, 11/10/2046 100,000 110,163 100,247 Fannie Mae Pool 257207, 6%, 5/1/2038 3,247 3,548 3,805 Fannie Mae Pool 310104, 5.5%, 8/1/2037 5,007 5,670 5,854 Fannie Mae Pool 310141, 6.5%, 5/1/2040 8,749 10,245 10,163 Fannie Mae Pool 810049, 5.5%, 3/1/2035 2,406 2,711 2,704 Fannie Mae Pool 878200, 6%, 9/1/2036 6,119 7,114 7,331 Fannie Mae Pool 889579, 6%, 5/1/2038 22,878 25,633 27,028 Fannie Mae Pool 964687, 5.5%, 8/1/2038 3,638 4,100 4,134 Fannie Mae Pool AL0719, 6%, 10/1/2039 32,571 36,866 39,139 Fannie Mae Pool AL6406, 6%, 10/1/2039 48,477 55,597 57,914 Fannie Mae Pool AL8365, 6%, 5/1/2041 10,164 11,651 12,019 Fannie Mae Pool AL8471, 6%, 7/1/2041 36,524 41,849 43,330 Fannie Mae Pool AS8980, 4.5%, 3/1/2047 23,582 24,914 26,031 Fannie Mae Pool AS9610, 4.5%, 5/1/2047 75,540 79,844 83,572 Fannie Mae Pool BC4489, 5.5%, 6/1/2039 13,456 15,222 15,819 Fannie Mae Pool BJ9249, 4.5%, 6/1/2048 11,191 11,955 12,663 Fannie Mae Pool BM1775, 4.5%, 7/1/2047 8,800 9,331 9,772 Fannie Mae Pool BM3280, 4.5%, 11/1/2047 85,694 90,537 95,279 Fannie Mae Pool BM5082, 4.5%, 11/1/2048 33,789 36,096 37,827 Fannie Mae Pool BM5568, 4.5%, 2/1/2049 46,915 50,266 53,772 Fannie Mae Pool BN5404, 4.5%, 4/1/2049 13,161 14,101 15,136 Fannie Mae Pool CA3287, 4%, 3/1/2034 7,656 7,894 8,200 Fannie Mae Pool FM1800, 4%, 8/1/2049 125,882 137,633 138,263 Fannie Mae REMICS, 0.53%, 6/25/2041^ 55,640 55,697 55,818 Fannie Mae REMICS, 3.5%, 4/25/2045 87,158 90,060 90,135 Fannie Mae REMICS, 4%, 6/25/2023 487 513 493



Short Duration Fund


Principal


Mortgage-Backed Securities - 19.5% (continued)Federal Farm Credit Banks Funding Corporation, 0.3%, 9/1/2023 300,000 299,973$ 300,009$ Federal Farm Credit Banks Funding Corporation, 0.39%, 6/17/2024 200,000 199,782 200,000 Federal Home Loan Mortgage Corporation, 0.3%, 12/29/2023 150,000 149,903 150,034 Federal Home Loan Mortgage Corporation, 0.3%, 9/28/2023 550,000 549,947 550,095 Federal Home Loan Mortgage Corporation, 0.375%, 3/25/2024 515,000 514,905 514,405 Federal Home Loan Mortgage Corporation, 0.6%, 9/30/2025 180,000 180,000 179,917 Federal National Mortgage Association, 0.75%, 10/8/2027 530,000 529,266 532,061 Freddie Mac Gold Pool G02085, 6%, 3/1/2036 13,635 15,543 16,350 Freddie Mac Gold Pool G03781, 6%, 1/1/2038 2,669 2,992 3,149 Freddie Mac Gold Pool G04544, 6%, 8/1/2038 29,655 32,953 34,987 Freddie Mac Gold Pool G04878, 6%, 10/1/2038 42,947 47,724 50,626 Freddie Mac Gold Pool G05142, 5.5%, 12/1/2035 2,157 2,412 2,535 Freddie Mac Gold Pool G05521, 5.5%, 5/1/2037 179,702 195,707 210,896 Freddie Mac Gold Pool G07700, 6%, 7/1/2040 10,995 12,596 13,076 Freddie Mac Gold Pool G07884, 6%, 5/1/2040 10,736 12,293 12,631 Freddie Mac Gold Pool G08112, 6%, 2/1/2036 45,284 47,973 54,283 Freddie Mac Gold Pool G60473, 5.5%, 6/1/2041 26,286 29,576 30,688 Freddie Mac Gold Pool G60548, 5.5%, 6/1/2041 85,189 95,891 100,175 Freddie Mac Gold Pool G60672, 5.5%, 6/1/2041 22,421 25,416 26,252 Freddie Mac Gold Pool G61047, 4.5%, 7/1/2047 3,745 3,987 4,164 Freddie Mac Gold Pool G67720, 4.5%, 3/1/2049 184,918 197,812 207,112 Freddie Mac Multifamily Structured Pass Through Certificates,

3.974%, 1/25/2021 70,466 70,803 70,448 Freddie Mac REMICS, 0.477%, 11/15/2035^ 50,708 50,424 50,922 Freddie Mac REMICS, 0.627%, 2/15/2041^ 36,255 36,286 36,620 Freddie Mac REMICS, 3%, 8/15/2043 82,450 84,279 88,483 Freddie Mac REMICS, 3.5%, 6/15/2025 527 553 532 Freddie Mac REMICS, 3.5%, 10/15/2035 37,253 38,772 39,872 Freddie Mac REMICS, 3.5%, 10/15/2045 123,652 128,665 130,233 Freddie Mac REMICS, 3.75%, 10/15/2042 69,518 73,004 72,247 FREMF 2011-K15 Mortgage Trust, 4.991%, 8/25/2044 10,000 10,880 10,195 Ginnie Mae I Pool 784244, 5.5%, 2/15/2041 10,605 11,872 12,418 Ginnie Mae II Pool AR8426, 5.5%, 4/20/2040 3,288 3,613 3,731 Ginnie Mae II Pool AR8429, 5.5%, 5/20/2037 6,777 7,449 7,847 Ginnie Mae II Pool AS6771, 6%, 2/20/2039 7,713 8,590 8,805 Ginnie Mae II Pool MA3602, 6%, 4/20/2046 8,558 9,591 9,929 Ginnie Mae II Pool MA3940, 5%, 9/20/2046 15,180 16,351 17,349 Ginnie Mae II Pool MA40474, 6%, 2/20/2040 21,191 23,615 24,585 Ginnie Mae II Pool MA4075, 6.5%, 10/20/2039 10,134 11,473 11,636 Ginnie Mae II Pool MA41333, 6.5%, 6/20/2039 18,074 20,350 20,784 Ginnie Mae II Pool MA4201, 6%, 10/20/2039 9,466 10,524 10,908



Short Duration Fund


Principal


Mortgage-Backed Securities - 19.5% (continued)GPMT 2018-FL1 Ltd, 1.029%, 11/21/2035 13,141 13,141$ 13,061$ GS Mortgage Securities Trust 2011-GC5, 3.707%, 8/10/2044 140,413 142,174 141,034 GS Mortgage Securities Trust 2013-GC13, 4.051%, 7/10/2046 100,000 106,663 107,000 GS Mortgage Securities Trust 2013-GC16, 3.813%, 11/10/2046 63,398 65,818 66,386 GS Mortgage Securities Trust 2014-GC24, 3.65%, 9/10/2047 110,950 112,607 116,810 GS Mortgage Securities Trust 2015-GC32, 3.513%, 7/10/2048 92,212 95,785 97,804 JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5,

4.171%, 8/15/2046 34,725 35,762 35,175 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6,

3.507%, 5/15/2045 158,521 160,356 163,374 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13,

3.414%, 1/15/2046 73,212 74,927 75,667 JPMBB Commercial Mortgage Securities Trust 2015-C27,

3.017%, 2/15/2048 197,655 206,361 207,458 JPMBB Commercial Mortgage Securities Trust 2015-C28,

3.042%, 10/15/2048 84,175 86,303 88,308 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8,

3.134%, 12/15/2048 100,000 102,702 104,320 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21,

3.15%, 3/15/2048 89,031 91,387 93,365 Wells Fargo Commercial Mortgage Trust 2014-LC18, 3.244%, 12/15/2047 96,068 99,631 100,632 Wells Fargo Commercial Mortgage Trust 2015-C29, 3.637%, 6/15/2048 100,000 110,130 111,659 Wells Fargo Commercial Mortgage Trust 2015-NXS4, 3.522%, 12/15/2048 98,342 102,526 104,720 Wells Fargo Commercial Mortgage Trust 2018-C47, 3.409%, 9/15/2061 104,802 104,800 108,284 WFRBS Commercial Mortgage Trust 2012-C9, 2.87%, 11/15/2045 87,275 88,839 89,507

Total Mortgage-Backed Securities 7,607,795 7,718,295

Sovereign Bond - 0.5%Republic of Italy Government International Bond, 1.25%, 2/17/2026 200,000 199,290 199,352

U.S. Treasury Notes - 36.3%U.S. Treasury Note, 0.125%, 5/31/2022 505,000 505,019 505,099 U.S. Treasury Note, 0.125%, 8/31/2022 480,000 479,906 480,038 U.S. Treasury Note, 0.125%, 9/30/2022 1,650,000 1,649,466 1,650,064 U.S. Treasury Note, 0.125%, 10/31/2022 1,250,000 1,249,252 1,250,195 U.S. Treasury Note, 0.125%, 11/30/2022 795,000 794,731 795,093 U.S. Treasury Note, 0.125%, 5/15/2023 350,000 349,746 349,904 U.S. Treasury Note, 0.125%, 7/15/2023 850,000 849,941 849,602 U.S. Treasury Note, 0.125%, 10/15/2023 1,760,000 1,756,912 1,758,763 U.S. Treasury Note, 0.125%, 12/15/2023 1,220,000 1,218,473 1,218,570



Short Duration Fund


Principal


U.S. Treasury Notes - 36.3% (continued)U.S. Treasury Note, 0.25%, 11/15/2023 900,000 900,823$ 902,531$ U.S. Treasury Note, 1.5%, 11/30/2021 1,300,000 1,316,229 1,316,250 U.S. Treasury Note, 2%, 12/31/2021 1,200,000 1,222,695 1,222,406 U.S. Treasury Note, 2.5%, 1/15/2022 2,000,000 2,049,519 2,048,980

Total U.S. Treasury Notes 14,342,712 14,347,495

Money Market Fund - 1.1%State Street Institutional Treasury Plus Money Market Fund - Premier Class 447,422 447,422 447,422

Total Investments - 100.6% 39,425,569$ 39,770,784 Other Assets and Liabilities, Net - (0.6%) (224,629) Net Assets - 100% 39,546,155$

^Variable Rate Security Futures

Number of Value as of UnrealizedContracts Expiration December 31, Appreciation

Long (Short) Date 2020 (Depreciation)Future in gain position

United States 2 Year Treasury Note Future 28 3/31/2021 6,187,344$ 5,703$

Futures in loss positionUnited States 5 Year Treasury Note Future (26) 3/31/2021 (3,280,266) (7,190) United States 10 Year Treasury Note Future (6) 3/31/2021 (828,469) (812)

Total futures in loss position (4,108,735) (8,002) 2,078,609$ (2,299)$



Short Duration Fund


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:

PercentageCountry of Issuer Fair Value of Net Assets

United States 35,540,745$ 89.8%Cayman Islands 817,882 2.1%Ireland 652,691 1.7%United Kingdom 584,964 1.5%Japan 470,218 1.2%Canada 456,622 1.2%Netherlands 218,606 0.6%Denmark 215,968 0.5%Switzerland 207,334 0.5%Sweden 205,839 0.5%France 200,563 0.5%Italy 199,352 0.5%Total 39,770,784$ 100.6%

The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2020 (see Note 3):

Level 1 Level 2 Level 3 Total

Assets:Asset-Backed Securities -$ 2,882,145$ -$ 2,882,145$ Corporate Bonds - 14,176,075 - 14,176,075 Futures 5,703 - - 5,703 *Mortgage-Backed Securities - 7,718,295 - 7,718,295 Sovereign Bond - 199,352 - 199,352 U.S. Treasury Notes - 14,347,495 - 14,347,495 Money Market Fund 447,422 - - 447,422

Total Assets 453,125$ 39,323,362$ -$ 39,776,487$

Liabilities:Futures (8,002)$ -$ -$ (8,002)$ *

Total Liabilities (8,002)$ -$ -$ (8,002)$

Fair Value Measurements

*Futures are valued at the unrealized appreciation (depreciation) as shown in the Schedule of Investments. Concentration of Ownership: As of December 31, 2020, the Fund had three unitholders holding 10% or more of the outstanding units of the Fund, and aggregated to 59.1% of the Fund's total units outstanding.



Short Duration Fund


Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2020, were:

Purchases Sales Realizedat Cost (1) Proceeds (1) Gain

Investments 75,292,952$ 69,957,969$ 467,862$

(1) Purchases and sales balances may include amortization or accretion of income or paydowns on fixed income securities.



AssetsInvestments in securities, at fair value (cost $39,425,569) 39,770,784$ Cash held at broker 22,251 Receivable for investment securities sold 451,236 Accrued interest receivable 160,673 Receivable for fund units sold 3,446 Receivable for variation margin on futures 1,145 Miscellaneous receivable 3,454 Total assets 40,412,989

Liabilities and Net AssetsPayable for investment securities purchased 839,100 Accrued expenses 27,734 Total liabilities 866,834 Net assets 39,546,155$

Investment incomeInterest 739,153$ Miscellaneous income 243 Total income 739,396

ExpensesTrustee, sub-advisor and service provider fees 33,195 Professional services and other operating expenses 51,598 Total expenses 84,793 Net investment income 654,603

Net realized gain on:Investments 467,862 Futures 18,567

Net change in unrealized appreciation (depreciation) on:Investments 147,299 Futures (6,987) Net realized and unrealized gain on investments and futures 626,741 Net increase in net assets resulting from operations 1,281,344$

Short Duration Fund

Statement of OperationsFor the year ended December 31, 2020

Statement of Assets and LiabilitiesDecember 31, 2020



Increase in net assets resulting from operationsNet investment income 654,603$ Net realized gain on investments and futures 486,429 Net change in unrealized appreciation on investments and futures 140,312 Net increase in net assets resulting from operations 1,281,344

Fund unit transactionsProceeds from units issuedClass 0IM 14,325,376 Class 35 1,780,280 Class 60 24,672 Class R6 ^ 159,534 Total proceeds from units issued 16,289,862

Value of units redeemedClass 0IM (9,079,247) Class 35 (296,469) Class 60 (17,937) Class R6 ^ (1,169,778) Total value of units redeemed (10,563,431)

Increase in net assets resulting from fund unit transactions 5,726,431

Increase in net assets 7,007,775

Net assets, beginning of year 32,538,380 Net assets, end of year 39,546,155$

^All Class R6 units were redeemed on 3/31/2020. The fee class remains available for sale.

Statement of Changes in Net AssetsFor the year ended December 31, 2020

Short Duration Fund



Per Unit Operating Performance Class 0IM Class 35 Class 60 Class R6Net asset value, beginning of year 15.58$ 15.21$ 14.56$ 15.46$ Income (loss) from investment operations:

Net investment income (1) 0.30 0.20 0.15 0.08 Net realized and unrealized gain (loss) on investments (1) 0.31 0.30 0.28 (0.17)

Total income (loss) from investment operations 0.61 0.50 0.43 (0.09) Net asset value, end of year 16.19$ 15.71$ 14.99$ 15.37$ ^

Total Return 3.92% 3.29% 2.95% (0.58%) ^

Supplemental DataRatio to average net assets:

Expenses 0.17% 0.76% 1.01% 0.38% #Net investment income 1.89% 1.28% 0.98% 2.18% #

Fund Unit ActivityUnits, beginning of year 1,861,437 165,585 488 65,675 Issued 899,200 115,656 1,670 10,405 Redeemed (572,501) (19,159) (1,198) (76,080) Units, end of year 2,188,136 262,082 960 - (1) Based on average units outstanding.^Not annualized for periods less than one year. All Class R6 units were redeemed on 3/31/2020. The fee class remains available for sale. The net asset value is as of redemption date of 3/31/2020.#Annualized except audit expense.

Financial HighlightsFor the year ended December 31, 2020

Short Duration Fund


Short Duration Fund

Notes to the Financial Statements

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16

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 Short Duration Fund (the "Fund") and also serves as the investment manager (the "Investment Manager") to the Fund. M&T Bank Corporation is the ultimate parent of the Trustee. State Street Bank and Trust Company provides custody, transfer agency, and accounting services for the Fund. The purpose of the Trust is to allow collective investments by plan sponsors of retirement plans which qualify for exemption from federal income taxation pursuant to Section 501(a) of the Code, by reason of qualifying under Section 401(a) of the Code; tax-exempt governmental plans under Section 414(d) or Section 818(a)(6) of the Code; eligible deferred compensation plans under Section 457(b) of the Code established by a government employer; group trusts or separate accounts consisting solely of assets of the foregoing; and other investors eligible for participation in the Trust. The Trust consists of separate funds with differing investment objectives, which are available for investment by participating plans. An eligible plan may join the Trust, subject to the Trustee's acceptance, and become a participating plan by executing participation documents specified by the Trustee. Not all funds within the Trust are presented herein. The Trustee has claimed an exclusion from the definition of commodity pool operator ("CPO") under the Commodity Exchange Act and the rules of the Commodity Futures Trading Commission ("CFTC") with respect to the Fund, and is therefore not subject to CFTC registration or regulation as a CPO with respect to the Fund. The investment objective of the Fund is to generate a total return in excess of the Bloomberg Barclays U.S. 1-3 Year Government/Credit Bond Index benchmark over a full market cycle. WTNA has engaged BlackRock Investment Management, LLC (the "Sub-Advisor") to provide investment advice and recommendations with respect to investment of the Fund's assets. While the Trustee generally relies on the Sub-Advisor to manage the Fund's assets, the Trustee maintains ultimate fiduciary authority over the management of and investments made in the Fund. The Sub-Advisor is engaged pursuant to a sub-advisor agreement. Note 2 – Significant Accounting Policies The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The Fund is an investment company and follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic No. 946. Net Asset Value ("NAV") – Units of each fee class of the Fund are valued each day on which the New York Stock Exchange ("NYSE") is open for trading in accordance with the valuation procedures established by the Trustee. The NAV per unit is calculated as of the close of trading on the NYSE (generally, 4:00 p.m. U.S. Eastern time). The NAV


Short Duration Fund

Notes to the Financial Statements (continued)

December 31, 2020

17

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 advance written notice of five business days for plan sponsor directed 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:

Securities – Securities, other than bonds, listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the closing price on the primary exchange or market on which they are traded on the day of valuation or, if there is no such reported sale on the valuation date, at the most recent bid quotation on the principal exchange. If a market price is not readily available or if such price is deemed unreliable, it will be valued at fair value in accordance with valuation procedures established by the Trustee. The Trustee's determination of fair value involves consideration of a number of subjective factors, and therefore, no single standard for determining fair value will apply. Corporate Bonds – The fair value of corporate bonds is estimated using various techniques, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (when observable), and other industry recognized techniques. Although most corporate bonds are categorized in level 2 of the fair value hierarchy, in instances when lower relative weight is placed on transaction prices, quotations, or other similar observable inputs, they are categorized in level 3. Mortgage-Backed Securities and Other Asset-Backed Securities – The Fund may invest in mortgage-backed securities ("MBS"), representing interests in pools of mortgage loans. These securities provide investors with payments consisting of both principal and interest as the mortgages in the underlying mortgage pools are paid. Most of the securities are guaranteed by federally sponsored agencies, but are not issued or guaranteed by the U.S. Treasury – Government National Mortgage Association ("GNMA"), Federal National Mortgage Association ("FNMA"), or Federal Home Loan Mortgage Corporation ("FHLMC"). However, some securities may be issued by private, non-government corporations. MBS issued by private entities are not government securities and are not directly guaranteed by any government agency but are secured by the underlying collateral of the private issuer. Yields on privately issued MBS tend to be higher than those of government-backed issues; however, risk of loss due to default and sensitivity to interest rate fluctuations is also higher. The Fund may also invest in asset-backed securities, representing interests in pools of certain types of underlying installment loans or leases or revolving lines of credit. They often include credit enhancements that help limit investors' exposure to the underlying credit. These securities are valued on the basis of the timing and certainty of the cash flows compared to investments with similar durations. Collateralized Mortgage Obligations - The Fund may invest in collateralized mortgage obligations ("CMOs") and real estate mortgage investment conduits ("REMICs"). A CMO is a bond that is collateralized by a pool of MBS, and a REMIC is similar in form to a CMO. These MBS pools are divided into classes or tranches with each


Short Duration Fund


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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 cash flows and the lowest prepayment risk. A graduated payment mortgage ("GPM") is a negative amortization mortgage where the payment amount gradually increases over the life of the mortgage. The early payment amounts are not sufficient to cover the interest due, and, therefore, the unpaid interest is added to the principal, thus increasing the borrower's mortgage balance. Prepayment may shorten the stated maturity of the CMO and can result in a loss of premium if any has been paid. Futures Contracts – The Fund may purchase futures contracts to gain exposure to market changes, which may be more efficient or cost effective than actually buying the securities. The Fund utilizes futures contracts for tactical hedging purposes as well as to enhance the Fund's returns. Upon entering into such a contract, the Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the contract is held. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Net realized and unrealized gains or losses occurring during the holding period of futures are found on the Statement of Operations as a component of net realized gain or loss on futures and as a component of net change in unrealized appreciation or depreciation on futures. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Funds could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities.

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. 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.


Short Duration Fund


December 31, 2020

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Use of Estimates – The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Guarantees and Indemnifications – Under the Fund's organizational documents, each trustee, officer, employee and agent of the Trust is indemnified, to the extent permitted by law, against certain liabilities that may arise in the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote. Income Tax Status – The Trust has received a determination from the Internal Revenue Service that the Trust is exempt from federal income taxation under Section 501(a) of the Code. Accordingly, no federal income tax provision is required. Subsequent Events – The Trustee has evaluated the effect of subsequent events on the Fund's financial statements through April 30, 2021, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events, except as noted below, that would require disclosure or adjustment in the Fund's financial statements through this date. Effective February 22, 2021, the Trustee has engaged The Northern Trust Company as the Custodian of the Fund. The Northern Trust Company will also provide transfer agent, recordkeeping and accounting services. Note 3 – Fair Value Measurements Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Various inputs are used in determining the fair value of the Fund's investments. The Trustee has performed an analysis of the significance and character of these inputs to the fair value determination. These inputs are summarized in the three broad levels listed below:

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

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

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

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. The aggregate fair value of the investments in the Fund, by input level used as of December 31, 2020, is included following the Fund's Schedule of Investments.


Short Duration Fund


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In March 2017, the FASB issued ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities, to amend the amortization period for certain purchased callable debt securities held at a premium. The amortization period for the premium is shortened to the earliest call date. ASU 2017-08 does not require an accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years beginning after December 15, 2019. The Fund has adopted ASU 2017-08, which did not have a material impact on the Fund's financial position or the results of its operations, and had no impact on the Fund's net assets. Note 4 – Fees and Expenses Trustee, Sub-Advisor 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 Sub-Advisor Fee Service Provider Fee Class 0IM 3 0 0 Class 35 13 14 35 Class 60 13 14 60 Class R6 10 14 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. 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-Advisor for investment advisory services provided to the Fund. 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-Advisor Fee – The Sub-Advisor is compensated for its 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 of 14 basis points based on the month-end values of the fund. These fees are not reflected in the Fund's expense ratio. For Class 0IM, the actual expense ratio including management fees incurred would be 31 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


Short Duration Fund


December 31, 2020

21

recordkeepers 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 – Derivative Transactions The following is a summary of the fair valuations of the Fund's derivative instruments on the Statement of Assets and Liabilities as of December 31, 2020, and the effect of derivative instruments on the Statement of Operations for the year ended December 31, 2020:

Net Change in Unrealized

Variation Variation Net Realized AppreciationRisk Margin Margin Gain on (Depreciation)

Exposure Receivable* Payable* Futures on Futures

Short Duration Fund Interest rate risk 5,703$ (8,002)$ 18,567$ (6,987)$

Statement of OperationsStatement of Assets and Liabilities

*Includes cumulative appreciation (depreciation) for futures contracts as reported on the Schedule of Investments. Only current day's variation margin is reported on the Statement of Asset and Liabilities. Information about futures reflected as of the date of this report is generally indicative of the year's activity ended December 31, 2020. For the year ended December 31, 2020, the Fund's average monthly volume of derivative activities is as follows:

Futures FuturesLong Short

Position (1) Position (1)

Short Duration Fund 7,322,471$ 2,778,425$

(1) Average original value at trade date


Short Duration Fund


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Note 6 – Related Party Transactions The Trustee is a national bank that provides trust and custodial services for tax-advantaged retirement plans as well as trust and investment services to business pension and retirement plans. The Trustee is responsible for managing the Trust's investment and business affairs. Note 7 – Risks Associated with Investing in the 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:

• Credit and Counterparty. The issuer or guarantor of a fixed income security, counterparty to an OTC derivatives contract, or other borrower may not be able to make timely principal, interest, or settlement payments on an obligation. In this event, the issuer of a fixed income security may have its credit rating downgraded or defaulted, which may reduce the potential for income and value of the Fund.

• Derivatives. Investments in derivatives may be subject to the risk that the sub-advisor does not correctly

predict the movement of the underlying security, interest rate, market index, or other financial asset, or that the value of the derivative does not correlate perfectly with either the overall market or the underlying asset from which the derivative's value is derived. Because derivatives usually involve a small investment relative to the magnitude of liquidity and other risks assumed, the resulting gain or loss from the transaction will be disproportionately magnified. These investments may result in a loss if the counterparty to the transaction does not perform as promised.

• Fixed Income Securities. The value of fixed income or debt securities may be susceptible to general movements in the bond market and are subject to interest rate and credit risk.

• Foreign Securities. Investments in foreign securities may be subject to increased volatility as the value of

these securities can change more rapidly and extremely than the value of U.S. securities. Factors that 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.


Short Duration Fund


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• High-Yield Securities. Investments in below investment-grade debt securities and unrated securities of similar credit quality, commonly known as "junk bonds" or "high-yield securities," may be subject to increased interest rate, credit, and liquidity risks.

• 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.

• Interest Rate. Securities are subject to the risk that changes in interest rates will reduce their market value.

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

resulting in a decline in the security's value. Issuer-related declines may be caused by poor management decisions, competitive pressures, technological breakthroughs, reliance on suppliers, labor problems or shortages, corporate restructurings, fraudulent disclosures, or other factors. Additionally, certain issuers may be more sensitive to adverse issuer, political, regulatory, market, or economic developments.

• Leverage. Leverage transactions may increase volatility and result in a significant loss of value if a

transaction fails. Because leverage usually involves investment exposure that exceeds the initial investment, the resulting gain or loss from a relatively small change in an underlying indicator will be disproportionately magnified.

• 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.

• Prepayment (Call). The issuer of a debt security may be able to repay principal prior to the security's maturity because of an improvement in its credit quality or falling interest rates. In this event, this principal may have to be reinvested in securities with lower interest rates than the original securities, reducing the potential for income.

• 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.

wilmington trust collective investment trust short

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