WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST MULTI-MANAGER ...

WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST

MULTI-MANAGER MID CAP VALUE FUND

FINANCIAL STATEMENTS

DECEMBER 31, 2019

WITH

INDEPENDENT AUDITOR'S REPORT

Wilmington Trust Collective Investment Trust

MULTI-MANAGER MID 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............................................................................................................................................................ 12

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 Mid 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, 2019, 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, 2019, 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, 2019, following the schedule of investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole.

Tulsa, Oklahoma April 29, 2020


See Notes to the Financial Statements. 3

AssetsInvestments in securities, at fair value (cost $18,942,384) 21,564,029$ Cash and cash equivalents 29,993 Receivable for investment securities sold 1,926,184 Receivable for fund units sold 9,381 Interest, dividends and tax reclaim receivable 27,208 Receivable for reimbursement 15,947 Total assets 23,572,742 Liabilities and Net AssetsPayable to custodian 1,225,265 Payable for investment securities purchased 53,628 Payable for fund units redeemed 57,763 Accrued expenses 46,179 Total liabilities 1,382,835 Net assets 22,189,907$

Investment incomeDividends (net of withholding taxes of $1,656) 397,759$ Interest 21,020 Total investment income 418,779 ExpensesTrustee, management and service provider fees 91,803 Professional fees and other operating expenses 24,463 Expense reimbursement from sub-advisor (60,597) Total expenses 55,669 Net investment income 363,110 Realized and unrealized gain on investments Net realized gain on investments 2,763,222 Net change in unrealized appreciation on investments 4,066,631 Net realized and unrealized gain on investments 6,829,853 Net increase in net assets resulting from operations 7,192,963$

December 31, 2019

Statement of OperationsFor the year ended December 31, 2019

Statement of Assets and Liabilities

Multi-Manager Mid Cap Value Fund



Increase in net assets resulting from operationsNet investment income 363,110$ Net realized gain on investments 2,763,222 Net change in unrealized appreciation on investments 4,066,631 Net increase in net assets resulting from operations 7,192,963

Fund unit transactionsProceeds from units issuedClass 0IM 2,155,705 Class 35 164,372 Class 60 248,629 Class R 573,544 Class R6 905,877 Total proceeds from units issued 4,048,127 Value of units redeemedClass 0IM (10,027,962) Class 35 (754,393) Class 60 (9,335) Class R (63,660) Class R6 (330,197) Total value of units redeemed (11,185,547) Decrease in net assets resulting from fund unit transactions (7,137,420) Increase in net assets 55,543 Net assets, beginning of year 22,134,364 Net assets, end of year 22,189,907$

Statement of Changes in Net AssetsFor the year ended December 31, 2019




Per Unit Operating Performance Class 0IM Class 35 Class 60 Class R Class R6Net asset value, beginning of year 26.84$ 26.07$ 25.02$ 25.95$ 26.59$ Income from investment operations: Net investment income (1) 0.51 0.26 0.17 0.40 0.40

Net realized and unrealized gain on investments (1) 8.79 8.51 8.16 8.45 8.68 Total income from investment operations 9.30 8.77 8.33 8.85 9.08 Net asset value, end of year 36.14$ 34.84$ 33.35$ 34.80$ 35.67$

Total Return 34.63% 33.63% 33.29% 34.10% 34.14%Supplemental DataRatio to average net assets:

Gross expenses (excluding reimbursements) 0.42% 0.87% 1.12% 0.52% 0.49%Net expenses 0.13% 0.87% 1.12% 0.52% 0.49%Net investment income 1.56% 0.83% 0.59% 1.28% 1.23%

Fund Unit ActivityUnits, beginning of year 716,257 64,810 7,802 8,328 30,288 Issued 68,187 5,391 7,779 17,795 28,738 Redeemed (301,506) (23,140) (314) (2,048) (9,891) Units, end of year 482,938 47,061 15,267 24,075 49,135 (1) Based on average units outstanding.


Financial HighlightsFor the year ended December 31, 2019




Schedule of Investments December 31, 2019

Principal

Amount or FairShares Cost Value

Collective Fund - 9.9%BlackRock Mid Capitalization Equity Index Fund F 22,086 2,092,692$ 2,194,718$

Common Stocks - 73.1%Basic Materials - 1.7%

Albemarle Corporation 1,511 117,371 110,363 Barrick Gold Corporation 3,933 71,999 73,114 International Paper Company 1,592 85,923 73,312 PPG Industries, Inc. 962 102,338 128,417

Total Basic Materials 377,631 385,206

Communications - 0.6%Discovery, Inc. 4,451 121,428 135,711

Consumer, Cyclical - 9.3%Aptiv PLC 800 66,088 75,976 Aqua America, Inc. 2,920 161,210 182,062 Carter's, Inc. 1,910 178,358 208,839 D.R. Horton, Inc. 1,569 72,825 82,765 Kohl's Corporation 1,512 67,669 77,036 Mohawk Industries, Inc. 1,629 259,829 222,163 PVH Corp. 2,393 201,762 251,624 Ross Stores, Inc. 2,919 277,037 339,830 Vail Resorts, Inc. 375 79,906 89,936 WABCO Holdings Inc. 3,193 425,994 432,652 Yum China Holdings, Inc. 2,242 96,660 107,638

Total Consumer, Cyclical 1,887,338 2,070,521

Consumer, Non-cyclical - 5.0%Calavo Growers, Inc. 407 35,876 36,870 Cal-Maine Foods, Inc. 5,093 215,402 217,726 Church & Dwight Co., Inc. 377 26,043 26,518 Clorox Company 127 18,465 19,500 Ecolab Inc. 96 18,399 18,527 Euronet Worldwide, Inc. 2,586 313,048 407,450 Lamb Weston Holdings, Inc. 393 25,777 33,810 Molson Coors Brewing Company Class B 2,235 207,276 120,467 Sanderson Farms, Inc. 760 81,281 133,927 Sysco Corporation 238 14,336 20,359 Teleflex Inc. 420 31,314 64,016

Total Consumer, Non-cyclical 987,217 1,099,170




Schedule of Investments (continued) December 31, 2019

Principal


Common Stocks - 73.1% (continued)Energy - 2.4%

Baker Hughes, a GE Company 2,135 49,933$ 54,720$ Cimarex Energy Co. 1,061 108,866 55,692 Devon Energy Corporation 1,712 59,056 44,461 Hess Corporation 879 41,339 58,726 National Oilwell Varco Inc. 2,820 90,323 70,641 Pioneer Natural Resources Company 817 124,425 123,669 Valero Energy Corporation 541 47,140 50,665 WPX Energy, Inc. 4,778 64,783 65,650

Total Energy 585,865 524,224

Financials - 22.2%Air Lease Corporation 6,170 228,089 293,198 Allstate Corporation 1,141 94,555 128,305 Arch Capital Group Ltd. 3,311 101,413 142,009 Brown & Brown, Inc. 4,720 104,690 186,346 Cboe Global Markets, Inc. 559 66,503 67,080 CBRE Group, Inc. Class A 7,495 310,556 459,369 Chubb Limited 857 130,280 133,401 CIT Group Inc. 2,134 97,452 97,374 East West Bancorp, Inc. 5,057 217,177 246,276 Everest Re Group, Ltd. 120 29,169 33,221 Fidelity National Financial, Inc. 5,541 171,203 251,284 Fifth Third Bancorp 3,893 103,526 119,671 First Republic Bank California 1,768 166,786 207,652 Loews Corporation 2,344 110,760 123,037 MetLife, Inc. 3,275 152,772 166,927 Northern Trust Corporation 1,329 118,943 141,193 PacWest Bancorp 2,255 112,471 86,299 Regions Financial Corporation 7,591 107,993 130,262 Reinsurance Group of America, Incorporated 1,641 238,845 267,581 SEI Investments Co. 3,150 173,229 206,262 SLM Corporation 10,106 107,112 90,044 TD Ameritrade Holding Corporation 3,993 144,122 198,452 The Bank of N.T. Butterfield & Son Limited 4,087 127,774 151,301 The Charles Schwab Corporation 1,809 65,315 86,036 The Travelers Companies, Inc. 3,047 404,863 417,287 UMB Financial Corporation 1,448 104,114 99,391 Unum Group 3,470 96,454 101,185 Valley National Bancorp 9,245 94,886 105,855





Principal


Common Stocks - 73.1% (continued)Financials - 22.2% (continued)

Willis Towers Watson Public Limited Company 303 36,927$ 61,188$ W.R. Berkley Corporation 484 33,511 33,444 Zions Bancorporation, National Association 1,625 79,990 84,370

Total Financials 4,131,480 4,915,300

Health Care - 11.5%Alcon, Inc. 2,594 152,065 146,743 Agilent Technologies, Inc. 2,960 196,438 252,518 Becton, Dickinson and Company 1,078 249,309 293,184 Charles River Laboratories International, Inc. 525 54,738 80,199 Dentsply Sirona Inc. 3,541 149,048 200,385 Envista Holdings Corporation 5,109 141,617 151,431 Globus Medical Inc. Class A 283 12,087 16,663 Humana Inc. 398 96,804 145,875 ICU Medical, Inc. 1,347 222,392 252,051 Laboratory Corporation of America Holdings 1,469 220,083 248,511 Merit Medical Systems Inc. 3,788 111,419 118,261 Universal Health Services, Inc. 1,126 147,555 161,536 Varian Medical Systems, Inc. 1,000 103,479 142,010 Wright Medical Group NV 7,620 227,963 232,258 Zimmer Biomet Holdings, Inc. 744 87,363 111,362

Total Health Care 2,172,360 2,552,987

Industrial - 13.8%A.O. Smith Corporation 1,403 66,648 66,839 AerCap Holdings NV 1,616 81,202 99,336 Amphenol Corporation Class A 1,532 131,279 165,808 AptarGroup Inc. 432 49,425 49,948 Carlisle Companies Inc. 783 82,395 126,721 Cummins Inc. 261 39,670 46,709 Deere & Company 113 18,469 19,578 EMCOR, Inc. 2,246 163,348 193,830 Graco Inc. 382 17,550 19,864 Hexcel Corporation 3,997 272,362 293,020 IDEX Corporation 195 26,848 33,540 Jacobs Engineering Group Inc. 4,507 305,675 404,864 J.B. Hunt Transport Services, Inc. 158 15,154 18,451 Kansas City Southern 916 83,299 140,295 Keysight Technologies, Inc. 3,063 262,039 314,356





Principal


Common Stocks - 73.1% (continued)Industrial - 13.8% (continued)

Lindsay Corporation 1,378 112,922$ 132,274$ Masco Corporation 1,557 66,799 74,720 Mueller Water Products, Inc. Class A 4,367 51,851 52,317 Packaging Corporation of America 761 72,660 85,224 Republic Services, Inc. 1,533 110,672 137,403 Roper Technologies, Inc. 434 98,693 153,736 Sealed Air Corporation 1,696 72,807 67,552 Stanley Black & Decker, Inc. 837 117,273 138,724 United Rentals, Inc. 521 72,260 86,887 Wabtec Corporation 1,429 98,499 111,176 Werner Enterprises, Inc. 492 14,869 17,904 Xylem Inc. 239 18,377 18,831

Total Industrial 2,523,045 3,069,907

Technology - 3.8%Amdocs Limited 2,581 152,634 186,322 Analog Devices, Inc. 638 59,719 75,820 Black Knight, Inc. 960 34,605 61,901 Check Point Software Technologies Ltd. 296 29,355 32,844 Genpack Limited 6,647 207,025 280,304 NCR Corporation 3,209 120,626 112,828 ON Semiconductor Corporation 4,104 87,804 100,056

Total Technology 691,768 850,075

Utilities - 2.8%American Electric Power Company, Inc. 1,199 81,852 113,317 American Water Works Company, Inc. 989 91,318 121,499 California Water Service Group 1,083 56,580 55,839 Essential Utilities, Inc. 2,123 83,255 99,654 FirstEnergy Corp. 2,376 102,402 115,474 Middlesex Water Company 261 16,392 16,592 Northwest Natural Holding Company 278 18,142 20,497 SJW Group 1,159 72,050 82,359

Total Utilities 521,991 625,231 Total Common Stocks 14,000,123 16,228,332





Principal


Depositary Receipts - 2.9%Consumer, Non-cyclical - 0.9%

Henkel AG & Co. KGaA 4,946 127,338$ 116,577$ Pernod Ricard SA 2,301 82,530 82,698

Total Consumer, Non-cyclical 209,868 199,275

Health Care - 1.3%Smith & Nephew PLC 6,204 259,328 298,226

Industrial - 0.7%ABB Ltd. 1,554 29,914 37,436 Epiroc AB A 4,460 49,595 54,234 Schneider Electric SE 2,729 36,568 55,672

Total Industrial 116,077 147,342 Total Depositary Receipts 585,273 644,843

Preferred Stocks - 2.1%Financials - 1.8%

MetLife, Inc. 1,535 36,439 37,961 MetLife, Inc., 5.625% 2,428 66,351 66,357 Northern Trust Corporation, 4.7% 3,186 80,798 83,250 Northern Trust Corporation, 5.85% 2,855 77,788 71,404 Reinsurance Group of America Inc. 646 17,691 17,914 The Charles Schwab Corporation, 5.95% 1,393 37,434 36,915 The Charles Schwab Corporation, 6% 775 20,618 20,150 W.R. Berkley Corporation, 5.625%, due 4/30/2053 2,127 52,370 54,068

Total Financials 389,489 388,019

Health Care - 0.3%Becton, Dickinson and Company, 6.125% 1,019 61,272 66,704

Total Preferred Stocks 450,761 454,723

Real Estate Investment Trusts - 7.5%Alexandria Real Estate Equities, Inc. 1,426 183,516 230,413 American Campus Communities, Inc. 2,153 101,196 101,256 Annaly Capital Management, Inc. 10,631 104,394 100,144 Equinix, Inc. 467 212,591 272,588 Equity Commonwealth 11,170 352,653 366,711 Healthcare Realty Trust Incorporated 566 18,355 18,887





Principal


Real Estate Investment Trusts - 7.5% (continued)Invitation Homes Inc. 4,257 92,938$ 127,582$ Mid-America Apartment Communities, Inc. 3,038 324,250 400,591 Park Hotels & Resorts Inc. 1,451 37,938 37,537

Total Real Estate Investment Trusts 1,427,831 1,655,709

Money Market Fund - 1.7%State Street Institutional U.S. Government Money Market Fund 385,704 385,704 385,704

Total Investments - 97.2% 18,942,384$ 21,564,029 Other Assets and Liabilities, Net - 2.8% 625,878 Net Assets - 100% 22,189,907$

The following is a summary of the fair value of the investments in the Fund based on the inputs used to value them as of December 31, 2019 (see Note 3):

Level 1 Level 2 Level 3 Total

Collective Fund measured atnet asset value* -$ -$ -$ 2,194,718$

Common Stocks 16,228,332 - - 16,228,332 Depositary Receipts 644,843 - - 644,843 Preferred Stocks 454,723 - - 454,723 Real Estate Investment Trusts 1,655,709 - - 1,655,709 Money Market Fund 385,704 - - 385,704 Total 19,369,311$ -$ -$ 21,564,029$

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. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2019, were:

Purchases Sales Realizedat Cost Proceeds Gain

Investments 18,759,237$ 25,524,137$ 2,763,222$



Notes to the Financial Statements

December 31, 2019

12

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 Mid 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 maintains its own separate investment guidelines and restrictions. The passive sleeve invests in the BlackRock Mid Capitalization Equity Index Fund F, a collective investment fund managed by BlackRock Institutional Trust Company, N.A. (the "Underlying Fund Manager"). The investment objective of the Fund is to generate a total return in excess of the Russell Mid Cap Value Index benchmark over a full market cycle. WTNA has engaged Hahn Capital Management, LLC and Wells Capital Management, Inc. as model portfolio providers for two of the active sleeves and Nuance Investments, 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, 2019

13

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

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.




December 31, 2019

14

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. 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 29, 2020, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events, except as noted below, that would require disclosure or adjustment in the Fund's financial statements through this date. During the first quarter of 2020, there were worldwide outbreaks of the coronavirus. The impact of these outbreaks, as well as other epidemics and pandemics that may arise in the future, could negatively affect the domestic and international economies, individual companies and the market in general in significant and unforeseen ways. Any such impact could adversely affect the performance of the securities in which the Fund is invested and the investment performance of the Fund. Effective May 1, 2020, the Multi-Manager Mid Cap Value Fund will be restructured to eliminate the multi-manager approach and fund sleeves and the Fund will be renamed as the WTNA Mid Cap Value Select Fund. Note 3 – Fair Value Measurements Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.




December 31, 2019

15

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. A summary of the inputs used as of December 31, 2019, in valuing the Fund's assets carried at fair value is included in Note 2. The aggregate fair value of the investments in the Fund, by input level used as of December 31, 2019, is included following the Fund's Schedule of Investments. The Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2018-13, Fair Value Measurement (Topic 820) – Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 modifies the disclosure requirements in Topic 820. The Fund elected to early adopt ASU 2018-13, effective December 31, 2019. Note 4 – Fees and Expenses Trustee, Estimated Blended Sub-Advisory and Underlying Fund Management, and 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 30* 35 Class 60 13 30* 60 Class R 13 30* 0 Class R6 10 30* 0

*Fee changed to 29 basis points effective April 1, 2019.




December 31, 2019

16

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, 2019, 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) pay a management fee to the Sub-Advisors and Managers of the underlying funds of 30 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 43 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 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 – 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.




December 31, 2019

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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:

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

• Currency. Investments in securities traded in foreign currencies or more directly in foreign currencies are

subject to the risk that the foreign currency will decline in value relative to the U.S. dollar, which may reduce the value of the Fund. Investments in currency hedging positions are subject to the risk that the value of the U.S. dollar will decline relative to the currency being hedged, which may result in a loss of money on the investment as well as the position designed to act as a hedge. Cross-currency hedging strategies and active currency positions may increase currency risk because actual currency exposure may be substantially different from that suggested by the Fund's holdings.

• 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.

• Financial Sectors. Concentrating assets in the financial sector 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.

• High Portfolio Turnover. Active trading may create high portfolio turnover, or a turnover of 100% or more,

resulting in increased transaction costs. These higher costs may have an adverse impact on performance.




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• 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 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.

• Mid-Cap. Concentrating assets in mid-capitalization stocks may subject the Fund to the risk that those stocks underperform other capitalizations or the market as a whole. Mid-cap companies may be subject to increased liquidity risk compared with large-cap companies and may experience greater price volatility than do those securities because of more limited product lines or financial resources, among other factors.

• 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.

• Preferred Stocks. Investments in preferred stocks may be subject to the risks of deferred distribution

payments, involuntary redemptions, subordination to debt instruments, a lack of liquidity compared with common stocks, limited voting rights, and sensitivity to interest rate changes.

• 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.

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