2017 trust i report - blackrock and notes to financial … · wilmington trust collective...

WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST

FUNDS INVESTING IN BLACKROCK INSTITUTIONAL TRUST COMPANY, N.A. COLLECTIVE FUNDS

FINANCIAL STATEMENTS

DECEMBER 31, 2017

WITH

INDEPENDENT AUDITOR'S REPORT

Wilmington Trust Collective Investment Trust Funds Investing in BlackRock Institutional Trust Company, N.A. Collective Funds

CONTENTS

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

Fund Index ................................................................................................................................................................................................. 3

BlackRock 1-3 Year Government Bond Index Fund ................................................................................................................................... 5

BlackRock 20+ Treasury Bond Index Fund ................................................................................................................................................ 9

BlackRock EAFE Equity Index Fund ........................................................................................................................................................ 13

BlackRock Emerging Markets Equity Index Fund .................................................................................................................................... 17

BlackRock Equity Index Fund .................................................................................................................................................................. 21

BlackRock Mid Cap Equity Index Fund .................................................................................................................................................... 26

BlackRock MSCI ACWI ex-U.S. Index Fund ............................................................................................................................................ 30

BlackRock Russell 1000® Growth Index Fund.......................................................................................................................................... 34

BlackRock Russell 1000® Index Fund ...................................................................................................................................................... 38

BlackRock Russell 1000® Value Index Fund ............................................................................................................................................ 42

BlackRock Russell 2000® Growth Index Fund.......................................................................................................................................... 46

BlackRock Russell 2000® Index Fund ...................................................................................................................................................... 50

BlackRock Russell 2000® Value Index Fund ............................................................................................................................................ 54

BlackRock U.S. Debt Index Fund ............................................................................................................................................................. 58

BlackRock Equity Index S&P 500 Non-Lendable Fund ............................................................................................................................ 63

BlackRock MSCI ACWI ex-U.S. Index Non-Lendable Fund ..................................................................................................................... 67

BlackRock Russell 2500™ Index Non-Lendable Fund ............................................................................................................................. 71

BlackRock US Debt Index Non-Lendable Fund ....................................................................................................................................... 75

BlackRock LifePath® Index Retirement Fund ........................................................................................................................................... 79

BlackRock LifePath® Index 2020 Fund ..................................................................................................................................................... 83




CONTENTS (continued) BlackRock LifePath® Index 2035 Fund ..................................................................................................................................................... 95 BlackRock LifePath® Index 2040 Fund ..................................................................................................................................................... 99 BlackRock LifePath® Index 2045 Fund ................................................................................................................................................... 103 BlackRock LifePath® Index 2050 Fund ................................................................................................................................................... 107 BlackRock LifePath® Index 2055 Fund ................................................................................................................................................... 111 BlackRock LifePath® Index 2060 Fund ................................................................................................................................................... 115 BlackRock LifePath® Index Retirement Non-Lendable Fund .................................................................................................................. 119 BlackRock LifePath® Index 2020 Non-Lendable Fund ........................................................................................................................... 123 BlackRock LifePath® Index 2025 Non-Lendable Fund ........................................................................................................................... 127 BlackRock LifePath® Index 2030 Non-Lendable Fund ........................................................................................................................... 131 BlackRock LifePath® Index 2035 Non-Lendable Fund ........................................................................................................................... 135 BlackRock LifePath® Index 2040 Non-Lendable Fund ........................................................................................................................... 139 BlackRock LifePath® Index 2045 Non-Lendable Fund ........................................................................................................................... 143 BlackRock LifePath® Index 2050 Non-Lendable Fund ........................................................................................................................... 147 BlackRock LifePath® Index 2055 Non-Lendable Fund ........................................................................................................................... 151 BlackRock LifePath® Index 2060 Non-Lendable Fund ........................................................................................................................... 155 Notes to the Financial Statements ......................................................................................................................................................... 159

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 funds investing in BlackRock Institutional Trust Company, N.A. collective funds of Wilmington Trust Collective Investment Trust (the "Trust"), comprising the Funds (the "Funds") included on the Fund Index on pages 3-4, which comprise the Statements of Assets and Liabilities, including the Schedules of Investments, as of December 31, 2017, and the related Statements of Operations and Changes in Net Assets, and the Financial Highlights for the year then ended, or for the period then ended for inception dates in 2017, 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 opinions on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor's judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation and fair presentation of the financial 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 opinions. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2017, and the results of its operations, and changes in its net assets and its financial highlights for the year then ended, or for the period then ended for inception dates in 2017, in accordance with accounting principles generally accepted in the United States of America.

www.hogantaylor.com

2

Other Matter Our audits were conducted for the purpose of forming an opinion on the financial statements of each Fund as a whole. The supplementary information on investments purchased and sold for the year ended December 31, 2017, or the period then ended for inception dates in 2017, following the Schedule of Investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audits of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole. Tulsa, Oklahoma April 30, 2018

ckneff

Firm Signatur

(Manager of Underlying Collective Funds)


3

FUND INDEX

FUND NAME FUND OBJECTIVE

BlackRock 1-3 Year Government Bond Index Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Bloomberg Barclays Capital U.S. 1-3 Year Government Index. The Fund is invested solely in the BlackRock 1-3 Year Government Bond Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock 20+ Treasury Bond Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. The Fund is invested solely in the BlackRock 20+ Treasury Bond Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock EAFE Equity Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the MSCI EAFE Index. The Fund is invested solely in the BlackRock EAFE Equity Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Emerging Markets Equity Index Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The Fund is invested solely in the BlackRock Emerging Markets Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Equity Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the S&P 500 Index. The Fund is invested solely in the BlackRock Equity Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Mid Cap Equity Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the S&P Midcap 400 Index. The Fund is invested solely in the BlackRock Mid Cap Equity Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock MSCI ACWI ex-U.S. Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the MSCI ACWI Ex USA Net Dividend Return Index. The Fund is invested solely in the BlackRock MSCI ACWI Ex-U.S. Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Russell 1000® Growth Index Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Russell 1000® Growth Index. The Fund is invested solely in the BlackRock Russell 1000® Growth Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Russell 1000® Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Russell 1000® Index. The Fund is invested solely in the BlackRock Russell 1000® Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Russell 1000® Value Index Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Russell 1000® Value Index. The Fund is invested solely in the BlackRock Russell 1000® Value Index Fund managed by BlackRock Institutional Trust Company, N.A.


4

FUND INDEX (continued)

FUND NAME FUND OBJECTIVE


The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Russell 2000® Growth Index. The Fund is invested solely in the BlackRock Russell 2000® Growth Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Russell 2000® Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Russell 2000® Index. The Fund is invested solely in the BlackRock Russell 2000® Index Fund managed by BlackRock Institutional Trust Company, N.A.


The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Russell 2000® Value Index. The Fund is invested solely in the BlackRock Russell 2000® Value Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock U.S. Debt Index Fund The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Bloomberg Barclays Capital U.S. Aggregate Bond Index. The Fund is invested solely in the BlackRock U.S. Debt Index Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Equity Index S&P 500 Non-Lendable Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the S&P 500 Index. The Fund is invested solely in the BlackRock Equity Index Non-Lendable Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock MSCI ACWI ex-U.S. Index Non-Lendable Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the MSCI ACWI Ex USA NR Index. The Fund is invested solely in the BlackRock MSCI ACWI Ex-U.S. Index Non-Lendable Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock Russell 2500® Index Non-Lendable Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Russell 2500® Index. The Fund is invested solely in the BlackRock Russell 2500® Index Non-Lendable Fund managed by BlackRock Institutional Trust Company, N.A.

BlackRock U.S. Debt Index Non-Lendable Fund

The Fund is designed to achieve investment results that are similar to the price and yield performance, before fees and expenses, of the Bloomberg Barclays Capital U.S. Aggregate Bond Index. The Fund is invested solely in the BlackRock U.S. Debt Index Non-Lendable Fund managed by BlackRock Institutional Trust Company, N.A.

All BlackRock LifePath® Index Funds (Inclusive of the Index Retirement, Index 2020, Index 2025, Index 2030, Index 2035, Index 2040, Index 2045, Index 2050, Index 2055 and Index 2060 Funds)

The Funds are designed to provide long-term investors with an asset allocation strategy designed to maximize assets for retirement consistent with the risk that investors may be willing to accept given their investment time horizon. The Funds are invested solely in the respective BlackRock LifePath® Index Funds managed by BlackRock Institutional Trust Company, N.A.

All BlackRock LifePath® Index Non-Lendable Funds (Inclusive of the Index Retirement, Index 2020, Index 2025, Index 2030, Index 2035, Index 2040, Index 2045, Index 2050, Index 2055 and Index 2060 Non-Lendable Funds)

The Funds are designed to provide long-term investors with an asset allocation strategy designed to maximize assets for retirement consistent with the risk that investors may be willing to accept given their investment time horizon. The Funds are invested solely in the respective BlackRock LifePath® Index Non-Lendable Funds managed by BlackRock Institutional Trust Company, N.A.


See Notes to the Financial Statements. 5

AssetsInvestments in securities, at fair value (cost $6,248,464) 6,275,339$ Receivable for reimbursement 9,306 Receivable for investment securities sold 86,694 Receivable for fund units sold 10,693 Total assets 6,382,032

Liabilities and Net AssetsPayable to custodian 663 Payable for fund units redeemed 96,723 Accrued expenses 3,677 Total liabilities 101,063 Net assets 6,280,969$

ExpensesTrustee, underlying fund management and service

provider fees 14,037$ Professional services and other operating expenses 298 Net investment loss (14,335) Realized and unrealized gain on investmentsNet realized gain on investments 29,431 Net change in unrealized appreciation on investments 6,563 Net realized and unrealized gain on investments 35,994 Net increase in net assets resulting from operations 21,659$

Statement of OperationsFor the year ended December 31, 2017


Statement of Assets and LiabilitiesDecember 31, 2017



Increase (decrease) in net assets resulting from operationsNet investment loss (14,335)$ Net realized gain on investments 29,431 Net change in unrealized appreciation on investments 6,563 Net increase in net assets resulting from operations 21,659

Fund unit transactionsProceeds from units issuedClass 6 788,783 Class 8 52,286 Class 31 57,296 Class 46 19,256 Class 66 450,036 Class 96 73,804 Class R 1,992,415 Total proceeds from units issued 3,433,876

Value of units redeemedClass 6 (950,791) Class 8 (55,519) Class 31 (47,113) Class 46 (88,823) Class 66 (690,194) Class 96 (154,400) Class R (682,594) Total value of units redeemed (2,669,434)

Increase in net assets resulting from fund unit transactions 764,442

Increase in net assets 786,101

Net assets, beginning of year 5,494,868 Net assets, end of year 6,280,969$

Statement of Changes in Net AssetsFor the year ended December 31, 2017




Per Unit Operating Performance Class 6 Class 8 Class 31 Class 46Net asset value, beginning of year 101.61$ 101.45$ 99.20$ 97.79$ Income (loss) from investment operations:

Net investment loss (1) (0.11) (0.13) (0.35) (0.49)

Net realized and unrealized gain on investments (1) 0.63 0.63 0.61 0.59 Total income from investment operations 0.52 0.50 0.26 0.10 Net asset value, end of year 102.13$ 101.95$ 99.46$ 97.89$

Total Return 0.51% 0.49% 0.26% 0.10%

Supplemental DataRatio to average net assets:

Expenses 0.10% 0.12% 0.35% 0.50%Net investment loss (0.10%) (0.12%) (0.35%) (0.50%)

Fund Unit ActivityUnits, beginning of year 27,834 1,890 1,412 1,013 Issued 7,724 512 574 196 Redeemed (9,304) (545) (473) (905) Units, end of year 26,254 1,857 1,513 304

Per Unit Operating Performance Class 66 Class 96 Class RNet asset value, beginning of year 98.53$ 93.11$ 100.15$ Income (loss) from investment operations:

Net investment loss (1) (0.69) (0.94) (0.09)

Net realized and unrealized gain on investments (1) 0.60 0.58 0.62 Total income (loss) from investment operations (0.09) (0.36) 0.53 Net asset value, end of year 98.44$ 92.75$ 100.68$

Total Return (0.09)% (0.39%) 0.53%


Expenses 0.70% 1.00% 0.08%Net investment loss (0.70%) (1.00%) (0.08%)

Fund Unit ActivityUnits, beginning of year 10,322 3,273 9,127 Issued 4,559 793 19,797 Redeemed (6,990) (1,661) (6,774) Units, end of year 7,891 2,405 22,150

(1) Based on average units outstanding.

Financial HighlightsFor the year ended December 31, 2017





Schedule of Investments December 31, 2017

Principal

Amount or FairShares Cost Value

Collective Fund - 99.9%BlackRock 1-3 Year Government Bond Index Fund F 323,511 6,248,464$ 6,275,339$

Total Investments - 99.9% 6,248,464$ 6,275,339 Other Assets in Excess of Liabilities - 0.1% 5,630 Net Assets - 100% 6,280,969$

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, 2017 (see Note 3):

Level 1 Level 2 Level 3 Total

Collective Fund measured at net asset value* -$ -$ -$ 6,275,339$

Total -$ -$ -$ 6,275,339$

Fair Value Measurements

*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. During the year ended December 31, 2017, the Fund did not hold any Level 3 securities. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the year. Concentration of Ownership: As of December 31, 2017, the Fund had one unaffiliated plan holding 10% or more of the outstanding units of the Fund, representing 11% of the total outstanding units. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2017, were:

Purchases Sales Realizedat Cost Proceeds Gain

Collective Fund 2,869,701$ 2,122,796$ 29,431$



AssetsInvestments in securities, at fair value (cost $19,898,273) 20,351,865$

Liabilities and Net AssetsAccrued expenses 7,595 Net assets 20,344,270$

ExpensesTrustee and underlying fund management fees 15,145$ Professional services and other operating expenses 530 Net investment loss (15,675) Realized and unrealized gain on investmentsNet realized gain on investments 17 Net change in unrealized appreciation on investments 453,592 Net realized and unrealized gain on investments 453,609 Net increase in net assets resulting from operations 437,934$

Statement of OperationsFor the period from June 15, 2017 (date of inception) to December 31, 2017

BlackRock 20+ Treasury Bond Index Fund




Increase (decrease) in net assets resulting from operationsNet investment loss (15,675)$ Net realized gain on investments 17 Net change in unrealized appreciation on investments 453,592 Net increase in net assets resulting from operations 437,934

Fund unit transactionsProceeds from units issued - Class R 19,906,336

Increase in net assets resulting from fund unit transactions 19,906,336

Increase in net assets 20,344,270

Net assets, beginning of period - Net assets, end of period 20,344,270$

Statement of Changes in Net AssetsFor the period from June 15, 2017 (date of inception) to December 31, 2017




Per Unit Operating Performance Class RNet asset value, at inception 10.00$ Income (loss) from investment operations:

Net investment loss (1) (0.01)

Net realized and unrealized gain on investments (1) 0.23 Total income from investment operations 0.22 Net asset value, end of period 10.22$

Total Return 2.20% ^


Expenses 0.14% #Net investment loss (0.14%) #

Fund Unit ActivityUnits, beginning of period - Issued 1,990,746 Redeemed - Units, end of period 1,990,746

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


Financial HighlightsFor the period from June 15, 2017 (date of inception) to December 31, 2017





Principal


Collective Fund - 100.0%BlackRock 20+ Treasury Bond Fund F 458,043 19,898,273$ 20,351,865$

Total Investments - 100.0% 19,898,273$ 20,351,865 Liabilities in Excess of Other Assets - (0.0%) (7,595) Net Assets - 100% 20,344,270$



Collective Fund measured atnet asset value* -$ -$ -$ 20,351,865$

Total -$ -$ -$ 20,351,865$


*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. During the period ended December 31, 2017, the Fund did not hold any Level 3 securities. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the period. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the period ended December 31, 2017, were:


Collective Fund 19,906,336$ 8,080$ 17$



AssetsInvestments in securities, at fair value (cost $359,470,617) 427,941,990$ Cash and cash equivalents 11,026 Receivable for fund units sold 1,400,917 Total assets 429,353,933

Liabilities and Net AssetsPayable for investment securities purchased 1,383,086 Payable for fund units redeemed 28,857 Accrued expenses 68,571 Total liabilities 1,480,514 Net assets 427,873,419$


provider fees 205,843$ Professional services and other operating expenses 16,185 Net investment loss (222,028) Realized and unrealized gain on investmentsNet realized gain on investments 4,115,861 Net change in unrealized appreciation on investments 67,304,068 Net realized and unrealized gain on investments 71,419,929 Net increase in net assets resulting from operations 71,197,901$


BlackRock EAFE Equity Index Fund




Increase (decrease) in net assets resulting from operationsNet investment loss (222,028)$ Net realized gain on investments 4,115,861 Net change in unrealized appreciation on investments 67,304,068 Net increase in net assets resulting from operations 71,197,901

Fund unit transactionsProceeds from units issuedClass 0 1,121,619 Class 0TS 116,460,913 Class 1 ^ 7,689,335 Class 6 3,686,694 Class 8 47,821 Class 31 4,474,990 Class 46 749,126 Class 66 734,971 Class 96 112,752 Class R 53,206,522 Total proceeds from units issued 188,284,743

Value of units redeemedClass 0 (3,989,906) Class 0TS (52,865,161) Class 1 ^ (1,022,231) Class 6 (3,324,770) Class 8 (134,694) Class 31 (2,665,603) Class 46 (572,364) Class 66 (1,065,435) Class 96 (440,587) Class R (20,820,264) Total value of units redeemed (86,901,015)




^Class 1 funded on 8/14/2017.





Per Unit Operating Performance Class 0 Class 0TS Class 1 Class 6 Class 8Net asset value, beginning of year or at inception 81.35$ 81.13$ 94.53$ ^ 81.26$ 80.43$ Income (loss) from investment operations:

Net investment loss (1) 0.00 (0.04) (0.02) (0.09) (0.10)

Net realized and unrealized gain on investments (1) 20.67 20.62 6.96 20.65 20.42 Total income from investment operations 20.67 20.58 6.94 20.56 20.32 Net asset value, end of year 102.02$ 101.71$ 101.47$ 101.82$ 100.75$

Total Return 25.41% 25.37% 7.34% ^ 25.30% 25.26%


Expenses 0.00% 0.04% 0.06% # 0.09% 0.11%Net investment loss 0.00% (0.04%) (0.06%) # (0.09%) (0.11%)

Fund Unit ActivityUnits, beginning of year 86,411 1,996,187 - 72,555 7,222 Issued 11,967 1,248,046 78,072 39,675 518 Redeemed (43,160) (597,889) (10,409) (34,942) (1,488) Units, end of year 55,218 2,646,344 67,663 77,288 6,252

Per Unit Operating Performance Class 31 Class 46 Class 66 Class 96 Class RNet asset value, beginning of year 78.60$ 77.61$ 78.40$ 74.20$ 80.95$ Income (loss) from investment operations:

Net investment loss (1) (0.32) (0.44) (0.62) (0.84) (0.06)


Total Return 25.00% 24.80% 24.55% 24.16% 25.34%


Expenses 0.34% 0.49% 0.69% 0.99% 0.06%Net investment loss (0.34%) (0.49%) (0.69%) (0.99%) (0.06%)

Fund Unit ActivityUnits, beginning of year 45,912 22,870 32,726 10,112 878,744 Issued 51,714 8,122 8,513 1,339 579,477 Redeemed (29,430) (6,245) (12,235) (5,194) (224,076) Units, end of year 68,196 24,747 29,004 6,257 1,234,145

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class 1 funded on 8/14/2017.#Annualized.







Principal


Collective Fund - 100.0%BlackRock EAFE Equity Index Fund F 9,999,416 359,470,617$ 427,941,990$





Total -$ -$ -$ 427,941,990$


*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. During the year ended December 31, 2017, the Fund did not hold any Level 3 securities. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the year. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2017, were:


Collective Fund 159,898,176$ 58,725,217$ 4,115,861$



AssetsInvestments in securities, at fair value (cost $92,724,723) 116,168,242$ Receivable for reimbursement 6,348 Receivable for investment securities sold 171,230 Receivable for fund units sold 45,686 Total assets 116,391,506

Liabilities and Net AssetsPayable to custodian 118,028 Payable for fund units redeemed 98,888 Accrued expenses 34,938 Total liabilities 251,854 Net assets 116,139,652$









Fund unit transactionsProceeds from units issuedClass 0 7,668,251 Class 0TS 17,899,785 Class 6 1,865,059 Class 8 26,071 Class 31 1,460,285 Class 46 137,965 Class 66 1,354,631 Class 96 84,058 Class R 28,423,534 Total proceeds from units issued 58,919,639

Value of units redeemedClass 0 (3,677,296) Class 0TS (15,388,960) Class 6 (1,681,620) Class 8 (103,800) Class 31 (705,186) Class 46 (293,830) Class 66 (1,297,593) Class 96 (310,042) Class R (663,124) Total value of units redeemed (24,121,451)








Per Unit Operating Performance Class 0 Class 0TS Class 6 Class 8 Class 31Net asset value, beginning of year 96.62$ 94.27$ 92.92$ 93.47$ 91.56$ Income (loss) from investment operations:



Total Return 38.07% 37.93% 37.83% 37.80% 37.48%


Expenses 0.00% 0.11% 0.18% 0.20% 0.43%Net investment loss 0.00% (0.11%) (0.18%) (0.20%) (0.43%)

Fund Unit ActivityUnits, beginning of year 68,482 426,474 41,616 6,723 19,401 Issued 63,071 162,569 16,316 230 12,959 Redeemed (31,660) (136,368) (14,801) (928) (6,073) Units, end of year 99,893 452,675 43,131 6,025 26,287

Per Unit Operating Performance Class 46 Class 66 Class 96 Class RNet asset value, beginning of year 89.88$ 89.61$ 84.99$ 93.99$ Income (loss) from investment operations:



Total Return 37.28% 37.00% 36.59% 37.88%



Fund Unit ActivityUnits, beginning of year 3,640 31,729 6,271 3,079 Issued 1,306 12,807 843 230,984 Redeemed (2,590) (12,494) (3,024) (5,303) Units, end of year 2,356 32,042 4,090 228,760








Principal


Collective Fund - 100.0%BlackRock Emerging Markets Index Fund F 9,379,412 92,724,723$ 116,168,242$





Total -$ -$ -$ 116,168,242$




Collective Fund 52,505,708$ 17,836,723$ 1,602,483$



AssetsInvestments in securities, at fair value (cost $1,123,067,718) 1,368,936,146$ Receivable for fund units sold 25,781,905 Total assets 1,394,718,051

Liabilities and Net AssetsPayable to custodian 254,722 Payable for investment securities purchased 24,495,487 Payable for fund units redeemed 1,031,697 Accrued expenses 137,758 Total liabilities 25,919,664 Net assets 1,368,798,387$

IncomeMiscellaneous income 181$ ExpensesTrustee, underlying fund management and service

provider fees 402,277 Professional services and other operating expenses 53,736 Total expenses 456,013 Net investment loss (455,832) Realized and unrealized gain on investmentsNet realized gain on investments 95,880,228 Net change in unrealized appreciation on investments 149,003,002 Net realized and unrealized gain on investments 244,883,230 Net increase in net assets resulting from operations 244,427,398$


BlackRock Equity Index Fund





Fund unit transactionsProceeds from units issuedClass 0 1,015,849 Class 0IM ^ 78,558,234 Class 0TS 118,164,341 Class 1 * 63,496,618 Class 6 22,195,631 Class 8 82,299 Class 31 5,303,800 Class 41 ^ 21,375,248 Class 46 1,579,516 Class 51 169,548 Class 66 2,804,164 Class 96 49,794 Class R 376,164,579 Class SMI ^ 435,500 Total proceeds from units issued 691,395,121

Value of units redeemedClass 0 (2,987,134) Class 0IM ^ (53,931,405) Class 0TS (348,148,267) Class 1 * (1,369,747) Class 6 (8,280,075) Class 8 (152,537) Class 31 (5,352,098) Class 41 ^ (1,458,224) Class 46 (8,649,336) Class 51 (33,231) Class 66 (2,231,983) Class 96 (293,889) Class R (109,773,487) Class SMI ^ (193,886) Total value of units redeemed (542,855,299)



Net assets, beginning of year 975,831,167 Net assets, end of year 1,368,798,387$

^Class 0IM, Class 41 and Class SMI funded on 4/28/2017.*Class 1 funded on 7/24/2017.





Per Unit Operating Performance Class 0 Class 0IM Class 0TS Class 1Net asset value, beginning of year or at inception 276.35$ 295.71$ ^ 276.28$ 307.88$ *Income (loss) from investment operations:



Total Return 21.69% 13.71% ^ 21.85% 9.21% *


Expenses 0.00% 0.03% # 0.01% 0.02% #Net investment loss 0.00% (0.03%) # (0.01%) (0.02%) #

Fund Unit ActivityUnits, beginning of year 8,749 - 1,819,524 - Issued 3,385 335,129 395,350 193,590 Redeemed (10,146) (174,820) (1,170,638) (4,187) Units, end of year 1,988 160,309 1,044,236 189,403

Per Unit Operating Performance Class 6 Class 8 Class 31 Class 41Net asset value, beginning of year or at inception 277.73$ 276.83$ 273.01$ 295.71$ ^Income (loss) from investment operations:



Total Return 21.82% 21.80% 21.52% 13.44% ^


Expenses 0.04% 0.06% 0.29% 0.39% #Net investment loss (0.04%) (0.06%) (0.29%) (0.39%) #

Fund Unit ActivityUnits, beginning of year 55,708 5,247 50,886 - Issued 70,923 268 17,976 68,661 Redeemed (26,665) (500) (17,329) (4,432) Units, end of year 99,966 5,015 51,533 64,229

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class 0IM and Class 41 funded on 4/28/2017.*Not annualized for periods less than one year. Class 1 funded on 7/24/2017.#Annualized.








Total Return 21.34% 21.28% 21.10% 20.73%



Fund Unit ActivityUnits, beginning of year 42,004 2,340 15,396 1,491 Issued 5,184 612 10,132 172 Redeemed (28,243) (109) (7,522) (1,019) Units, end of year 18,945 2,843 18,006 644

Per Unit Operating Performance Class R Class SMINet asset value, beginning of year or at inception 276.04$ 295.71$ ^Income (loss) from investment operations:

Net investment loss (1) (0.11) (0.69)

Net realized and unrealized gain on investments (1) 60.37 40.58 Total income from investment operations 60.26 39.89 Net asset value, end of year 336.30$ 335.60$

Total Return 21.83% 13.49% ^


Expenses 0.03% 0.31% #Net investment loss (0.03%) (0.31%) #

Fund Unit ActivityUnits, beginning of year 1,533,756 - Issued 1,235,234 1,238 Redeemed (356,330) (589) Units, end of year 2,412,660 649

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class SMI funded on 4/28/2017.#Annualized.


Financial Highlights (continued)For the year ended December 31, 2017





Principal


Collective Fund - 100.0%BlackRock Equity Index Fund F 27,402,239 1,123,067,718$ 1,368,936,146$

Total Investments - 100.0% 1,123,067,718$ 1,368,936,146 Liabilities in Excess of Other Assets - (0.0%) (137,759) Net Assets - 100% 1,368,798,387$



Collective Fund measured atnet asset value* -$ -$ -$ 1,368,936,146$

Total -$ -$ -$ 1,368,936,146$




Collective Fund 575,342,731$ 427,195,081$ 95,880,228$



AssetsInvestments in securities, at fair value (cost $208,779,540) 244,069,934$ Cash and cash equivalent 39,729 Receivable for fund units sold 435,202 Total assets 244,544,865

Liabilities and Net AssetsPayable for investment securities purchased 244,611 Payable for fund units redeemed 230,320 Accrued expenses 63,243 Total liabilities 538,174 Net assets 244,006,691$




BlackRock Mid Cap Equity Index Fund





Fund unit transactionsProceeds from units issuedClass 0 444,005 Class 0TS 27,760,052 Class 6 4,433,340 Class 8 48,094 Class 31 9,489,979 Class 46 1,141,068 Class 66 1,949,585 Class 96 101,190 Class R 97,464,744 Total proceeds from units issued 142,832,057

Value of units redeemedClass 0 (2,189,294) Class 0TS (35,223,303) Class 6 (4,499,496) Class 8 (145,440) Class 31 (12,806,726) Class 46 (498,955) Class 66 (1,103,205) Class 96 (286,497) Class R (17,477,969) Total value of units redeemed (74,230,885)











Total Return 16.32% 16.26% 16.21% 16.18% 15.91%



Fund Unit ActivityUnits, beginning of year 13,000 231,783 62,599 4,799 146,010 Issued 2,747 172,848 26,870 296 59,798 Redeemed (12,706) (220,471) (27,368) (897) (75,763) Units, end of year 3,041 184,160 62,101 4,198 130,045




Total Return 15.74% 15.51% 15.17% 16.23%



Fund Unit ActivityUnits, beginning of year 7,035 17,269 7,152 458,742 Issued 6,911 12,518 662 608,013 Redeemed (3,070) (7,069) (1,876) (107,679) Units, end of year 10,876 22,718 5,938 959,076








Principal


Collective Fund - 100.0%BlackRock Mid Capitalization Equity Index Fund F 2,759,558 208,779,540$ 244,069,934$





Total -$ -$ -$ 244,069,934$




Collective Fund 122,881,599$ 54,506,306$ 9,994,512$



AssetsInvestments in securities, at fair value (cost $30,332,774) 32,413,170$ Cash and cash equivalents 5,510 Receivable for investment securities sold 171,870 Receivable for fund units sold 1,307 Total assets 32,591,857

Liabilities and Net AssetsPayable for fund units redeemed 178,687 Accrued expenses 1,875 Total liabilities 180,562 Net assets 32,411,295$

ExpensesTrustee and underlying fund management fees 2,277$ Professional services and other operating expenses 554 Net investment loss (2,831) Realized and unrealized gain on investmentsNet realized gain on investments 118,311 Net change in unrealized appreciation on investments 2,071,666 Net realized and unrealized gain on investments 2,189,977 Net increase in net assets resulting from operations 2,187,146$

For the year ended December 31, 2017Statement of Operations

BlackRock MSCI ACWI ex-U.S. Index Fund




Increase (decrease) in net assets resulting from operationsNet investment loss (2,831)$ Net realized gain on investments 118,311 Net realized and unrealized gain on investments 2,071,666 Net increase in net assets resulting from operations 2,187,146

Fund unit transactionsProceeds from units issuedClass 6 ^ 271,210 Class R 29,853,335 Total proceeds from units issued 30,124,545

Value of units redeemed Class 6 ^ (286,855) Class R (674,448) Total value of units redeemed (961,303)




^Class 6 funded on 5/2/2017 and was fully redeemed on 10/4/2017.

Statement of Changes in Net Assets


For the year ended December 31, 2017



Per Unit Operating Performance Class 6 Class RNet asset value, beginning of year or at inception 11.22$ ^ 10.08$ Income from investment operations:

Net investment income (1) 0.00 0.00

Net realized and unrealized gain on investments (1) 1.11 2.78 Total income from investment operations 1.11 2.78 Net asset value, end of year or period 12.33$ ^ 12.86$

Total Return 9.89% ^ 27.58%


Expenses 0.05% # 0.02%Net investment loss (0.05%) # (0.02%)

Fund Unit ActivityUnits, beginning of year - 105,217 Issued 23,555 2,469,432 Redeemed (23,555) (54,785) Units, end of year - 2,519,864

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class 6 funded on 5/2/2017 and was fully redeemed on10/4/2017. The fee class remains available for sale. The net asset value is as of the redemption date of10/4/2017.#Annualized.







Principal


Collective Fund - 100.0%BlackRock MSCI ACWI ex-U.S. Index Fund M 2,692,996 30,332,774$ 32,413,170$





Total -$ -$ -$ 32,413,170$




Collective Fund 29,791,861$ 629,583$ 118,311$



AssetsInvestments in securities, at fair value (cost $165,581,595) 191,559,390$ Receivable for investment securities sold 536,499 Receivable for fund units sold 3,318 Total assets 192,099,207


ExpensesTrustee and underlying fund management fees 47,082$ Professional services and other operating expenses 4,695 Net investment loss (51,777) Realized and unrealized gain on investmentsNet realized gain on investments 507,827 Net change in unrealized appreciation on investments 23,989,834 Net realized and unrealized gain on investments 24,497,661 Net increase in net assets resulting from operations 24,445,884$






Increase (decrease) in net assets resulting from operationsNet investment loss (51,777)$ Net realized gain on investments 507,827 Net change in unrealized appreciation on investments 23,989,834 Net increase in net assets resulting from operations 24,445,884

Fund unit transactionsProceeds from units issued Class 0 ^ 3,214,899 Class R 102,215,733 Total proceeds from units issued 105,430,632

Value of units redeemedClass 0 ^ (838,899) Class R (1,507,309) Total value of units redeemed (2,346,208)










Per Unit Operating Performance Class 0 Class RNet asset value, beginning of year or at inception 12.24$ ^ 10.55$ Income (loss) from investment operations:

Net investment loss (1) 0.00 (0.01)


Total Return 12.17% ^ 30.14%


Expenses 0.00% # 0.05%Net investment loss 0.00% # (0.05%)

Fund Unit ActivityUnits, beginning of year - 6,068,179 Issued 262,393 7,802,345 Redeemed (66,363) (113,329) Units, end of year 196,030 13,757,195


^Not annualized for periods less than one year. Class 0 funded on 6/2/2017.#Annualized.







Principal


Collective Fund - 100.0%BlackRock Russell® 1000 Growth Fund F 7,703,141 165,581,595$ 191,559,390$





Total -$ -$ -$ 191,559,390$




Collective Fund 105,211,836$ 2,170,909$ 507,827$



AssetsInvestments in securities, at fair value (cost $234,103,779) 298,776,339$ Cash and cash equivalents 1,305 Receivable for reimbursement 17,622 Receivable for fund units sold 217,997 Total assets 299,013,263





BlackRock Russell 1000® Index Fund





Fund unit transactionsProceeds from units issuedClass 0 ^ 261,204 Class 0TS 47,312,051 Class 6 1,318,915 Class 8 71,151 Class 31 1,906,482 Class 46 465,480 Class 66 505,042 Class 96 152,821 Class R * 20,108,859 Total proceeds from units issued 72,102,005

Value of units redeemedClass 0 ^ (605,753) Class 0TS (44,982,138) Class 6 (1,494,765) Class 8 (149,975) Class 31 (771,446) Class 46 (1,168,494) Class 66 (219,639) Class 96 (339,888) Class R * (434,557) Total value of units redeemed (50,166,655)




^All Class 0 units were redeemed on 12/26/2017. The fee class remains available for sale.*Class R funded on 1/13/2017.







Net realized and unrealized gain on investments (1) 26.65 26.38 26.75 26.61 26.12 Total income from investment operations 26.65 26.35 26.64 26.47 25.68 Net asset value, end of year or period 148.06$ ^ 147.87$ 149.91$ 149.11$ 146.18$

Total Return 21.95% ^ 21.68% 21.61% 21.58% 21.31%


Expenses 0.00% # 0.02% 0.08% 0.10% 0.33%Net investment loss 0.00% # (0.02%) (0.08%) (0.10%) (0.33%)

Fund Unit ActivityUnits, beginning of year 2,110 1,744,293 30,130 10,787 16,299 Issued 2,019 354,821 9,719 526 14,311 Redeemed (4,129) (327,726) (11,088) (1,100) (5,939) Units, end of year - 1,771,388 28,761 10,213 24,671

Per Unit Operating Performance Class 46 Class 66 Class 96 Class RNet asset value, beginning of year or at inception 119.63$ 118.54$ 115.61$ 123.46$ *Income (loss) from investment operations:


Net realized and unrealized gain (loss) on investments (1) 25.90 25.65 24.96 24.83 Total income from investment operations 25.27 24.76 23.72 24.75 Net asset value, end of year 144.90$ 143.30$ 139.33$ 148.21$

Total Return 21.12% 20.89% 20.52% 20.05% *



Fund Unit ActivityUnits, beginning of year 21,059 10,520 11,865 - Issued 3,595 3,920 1,258 149,854 Redeemed (8,558) (1,714) (2,648) (2,983) Units, end of year 16,096 12,726 10,475 146,871

(1) Based on average units outstanding.^Not annualized for periods less than one year. All Class 0 units were redeemed on 12/26/2017. The fee class remains available for sale. The net asset value is as of the redemption date of 12/26/2017.*Not annualized for periods less than one year. Class R funded on 1/13/2017.#Annualized.







Principal


Collective Fund - 100.0%BlackRock Russell 1000® Index Fund F 8,788,573 234,103,779$ 298,776,339$





Total -$ -$ -$ 298,776,339$




Collective Fund 55,614,677$ 33,780,547$ 6,789,395$



AssetsInvestments in securities, at fair value (cost $109,985,453) 126,560,493$ Receivable for investment securities sold 481,263 Receivable for fund units sold 1,252 Total assets 127,043,008




Statement of Assets and Liabilities


December 31, 2017




Fund unit transactionsProceeds from units issued Class 0 ^ 3,750,388 Class R 41,797,474 Total proceeds from units issued 45,547,862

Value of units redeemedClass 0 ^ (1,365,025) Class R (1,383,480) Total value of units redeemed (2,748,505)





For the year ended December 31, 2017Statement of Changes in Net Assets




Per Unit Operating Performance Class 0 Class RNet asset value, beginning of year or at inception 11.82$ ^ 11.49$ Income (loss) from investment operations:

Net investment loss (1) 0.00 (0.01)


Total Return 10.66% ^ 13.75%


Expenses 0.00% # 0.05%Net investment loss 0.00% # (0.05%)

Fund Unit ActivityUnits, beginning of year - 6,174,957 Issued 313,725 3,408,319 Redeemed (108,106) (107,295) Units, end of year 205,619 9,475,981








Principal


Collective Fund - 100.0%BlackRock Russell 1000® Value Fund F 3,905,658 109,985,453$ 126,560,493$




Collective Fund measured at net asset value* -$ -$ -$ 126,560,493$

Total -$ -$ -$ 126,560,493$




Collective Fund 45,350,053$ 2,591,040$ 559,312$



AssetsInvestments in securities, at fair value (cost $18,913,171) 22,296,642$ Cash and cash equivalents 8,753 Receivable for reimbursement 7,388 Receivable for fund units sold 2,462,645 Total assets 24,775,428

Liabilities and Net AssetsPayable for investment securities purchased 8,706 Payable for fund units redeemed 2,462,691 Accrued expenses 14,066 Total liabilities 2,485,463 Net assets 22,289,965$


provider fees 50,236$ Professional services and other operating expenses 909 Net investment loss (51,145) Realized and unrealized gain on investmentsNet realized gain on investments 1,291,052 Net change in unrealized appreciation on investments 2,456,361 Net realized and unrealized gain on investments 3,747,413 Net increase in net assets resulting from operations 3,696,268$







Fund unit transactionsProceeds from units issuedClass 0 2,272,731 Class 6 8,314,066 Class 8 23,887 Class 31 1,201,135 Class 46 192,792 Class 66 796,735 Class 96 54,297 Class R ^ 3,146,496 Total proceeds from units issued 16,002,139

Units redeemedClass 0 (2,691,550) Class 6 (4,457,293) Class 8 (21,663) Class 31 (1,694,270) Class 46 (660,787) Class 66 (288,867) Class 96 (401,292) Class R ^ (110,320) Total value of units redeemed (10,326,042)




^Class R funded on 4/24/2017.








Total Return 22.11% 21.99% 21.95% 21.68%


Expenses 0.00% 0.11% 0.13% 0.36%Net investment loss 0.00% (0.11%) (0.13%) (0.36%)

Fund Unit ActivityUnits, beginning of year 11,302 24,087 928 31,807 Issued 14,391 51,465 145 7,528 Redeemed (15,778) (25,994) (134) (10,575) Units, end of year 9,915 49,558 939 28,760

Per Unit Operating Performance Class 46 Class 66 Class 96 Class RNet asset value, beginning of year or at inception 142.98$ 141.61$ 138.02$ 154.12$ ^Income (loss) from investment operations:


Net realized and unrealized gain on investments (1) 31.55 31.21 30.36 22.45

Total income from investment operations 30.74 30.10 28.83 22.40 Net asset value, end of year 173.72$ 171.71$ 166.85$ 176.52$

Total Return 21.50% 21.26% 20.89% 14.53% ^


Expenses 0.51% 0.71% 1.01% 0.08% #

Net investment loss (0.51%) (0.71%) (1.01%) (0.08%) #

Fund Unit ActivityUnits, beginning of year 6,736 7,541 7,204 - Issued 1,226 5,158 361 18,136 Redeemed (4,035) (1,844) (2,670) (687) Units, end of year 3,927 10,855 4,895 17,449

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class R funded on 4/24/2017.#Annualized.







Principal


Collective Fund - 100.0%BlackRock Russell 2000® Growth Fund F 974,082 18,913,171$ 22,296,642$





Total -$ -$ -$ 22,296,642$




Collective Fund 11,644,246$ 6,017,373$ 1,291,052$




Fund unit transactionsProceeds from units issuedClass 0 214,184 Class 0TS 15,620,730 Class 6 6,720,681 Class 8 13,356 Class 31 5,942,216 Class 46 949,493 Class 66 1,618,347 Class 96 36,463 Class R 53,878,602 Total proceeds from units issued 84,994,072

Value of units redeemedClass 0 (2,431,747) Class 0TS (3,445,228) Class 6 (4,425,694) Class 8 (21,492) Class 31 (2,901,801) Class 46 (514,625) Class 66 (1,124,891) Class 96 (52,388) Class R (37,852,958) Total value of units redeemed (52,770,824)











Total Return 14.93% 14.87% 14.80% 14.78% 14.51%



Fund Unit ActivityUnits, beginning of year 28,257 75,049 34,048 918 73,693 Issued 1,371 102,356 42,594 86 39,649 Redeemed (15,649) (21,977) (28,314) (142) (18,704) Units, end of year 13,979 155,428 48,328 862 94,638





Total Return 14.35% 14.11% 13.77% 14.84%



Fund Unit ActivityUnits, beginning of year 24,306 18,250 1,440 606,513 Issued 6,199 10,938 259 344,624 Redeemed (3,304) (7,625) (369) (252,794) Units, end of year 27,201 21,563 1,330 698,343








Principal


Collective Fund - 100.0%BlackRock Russell 2000® Index Fund F 3,823,605 149,413,437$ 177,322,757$





Total -$ -$ -$ 177,322,757$




Collective Fund 69,379,480$ 37,337,798$ 7,087,846$



AssetsInvestments in securities, at fair value (cost $9,439,416) 11,415,441$ Cash and cash equivalents 421 Receivable for reimbursement 8,046 Receivable for fund units sold 26,668 Total assets 11,450,576

Liabilities and Net AssetsPayable for investment securities purchased 27,069 Payable for fund units redeemed 20 Accrued expenses 11,657 Total liabilities 38,746 Net assets 11,411,830$


provider fees 45,313$ Professional services and other operating expenses 576 Net investment loss (45,889) Realized and unrealized gain (loss) on investmentsNet realized gain on investments 1,010,485 Net change in unrealized appreciation on investments (64,413) Net realized and unrealized gain on investments 946,072 Net increase in net assets resulting from operations 900,183$






Increase (decrease) in net assets resulting from operationsNet investment loss (45,889)$ Net realized gain on investments 1,010,485 Net change in unrealized appreciation on investments (64,413) Net increase in net assets resulting from operations 900,183

Fund unit transactionsProceeds from units issuedClass 0 777,488 Class 6 1,290,165 Class 8 33,516 Class 31 1,928,747 Class 46 135,303 Class 66 976,518 Class 96 55,731 Class R ^ 174,682 Total proceeds from units issued 5,372,150

Value of units redeemedClass 0 (580,088) Class 6 (1,203,233) Class 8 (35,636) Class 31 (2,276,647) Class 46 (545,361) Class 66 (461,179) Class 96 (353,661) Class R ^ (108) Total value of units redeemed (5,455,913)

Decrease in net assets resulting from fund unit transactions (83,763)



^Class R funded on 11/16/2017.








Total Return 8.13% 8.01% 7.99% 7.74%


Expenses 0.00% 0.11% 0.13% 0.36%Net investment loss 0.00% (0.11%) (0.13%) (0.36%)

Fund Unit ActivityUnits, beginning of year 1,743 15,106 1,283 36,251 Issued 5,482 8,768 226 13,392 Redeemed (3,831) (8,257) (234) (15,582) Units, end of year 3,394 15,617 1,275 34,061

Per Unit Operating Performance Class 46 Class 66 Class 96 Class RNet asset value, beginning of year or at inception 141.04$ 140.26$ 135.70$ 148.49$ ^Income (loss) from investment operations:



Total Return 7.58% 7.36% 7.04% 3.31% ^



Fund Unit ActivityUnits, beginning of year 5,095 7,899 7,132 - Issued 947 6,927 411 1,177 Redeemed (3,706) (3,218) (2,590) (1) Units, end of year 2,336 11,608 4,953 1,176

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class R funded on 11/16/2017.#Annualized.







Principal


Collective Fund - 100.0%BlackRock Russell 2000® Value Fund F 217,235 9,439,416$ 11,415,441$





Total -$ -$ -$ 11,415,441$




Collective Fund 4,275,698$ 4,405,857$ 1,010,485$



AssetsInvestments in securities, at fair value (cost $265,590,799) 276,587,142$ Receivable for fund units sold 818,154 Total assets 277,405,296

Liabilities and Net AssetsPayable to custodian 151,595 Payable for investment securities purchased 511,879 Payable for fund units redeemed 155,211 Accrued expenses 32,267 Total liabilities 850,952 Net assets 276,554,344$




BlackRock U.S. Debt Index Fund





Fund unit transactionsProceeds from units issuedClass 0 25,274 Class 0IM ^ 37,513,091 Class 0TS 59,483,982 Class 1 * 3,364,059 Class 6 5,255,512 Class 8 31,743 Class 31 4,144,602 Class 41 ^ 111,020 Class 46 676,811 Class 66 1,734,609 Class 96 153,653 Class R 27,406,259 Total proceeds from units issued 139,900,615

Value of units redeemedClass 0 (12,275) Class 0IM ^ (22,548,341) Class 0TS (23,234,865) Class 1 * (79,862) Class 6 (5,405,332) Class 8 (31,802) Class 31 (3,734,034) Class 41 ^ (844) Class 46 (534,133) Class 66 (441,756) Class 96 (316,851) Class R (21,794,053) Total value of units redeemed (78,134,148)




^Class 0IM and Class 41 funded on 4/28/2017.*Class 1 funded on 8/14/2017.





Per Unit Operating Performance Class 0 Class 0IM Class 0TS Class 1Net asset value, beginning of year or at inception 153.98$ 156.37$ ^ 154.09$ 158.68$ *Income (loss) from investment operations:

Net investment loss (1) 0.00 (0.04) (0.04) (0.02)


Total Return 3.57% 1.97% ^ 3.63% 0.47% *


Expenses 0.00% 0.03% # 0.03% 0.05% #Net investment loss 0.00% (0.03%) # (0.03%) (0.05%) #

Fund Unit ActivityUnits, beginning of year 66 - 1,017,358 - Issued from merger - 240,605 - - Issued 160 14,765 378,697 21,155 Redeemed (78) (143,973) (147,685) (503) Units, end of year 148 111,397 1,248,370 20,652

Per Unit Operating Performance Class 6 Class 8 Class 31 Class 41Net asset value, beginning of year or at inception 154.31$ 154.28$ 150.87$ 156.07$ ^Income (loss) from investment operations:



Total Return 3.58% 3.57% 3.33% 1.90% ^



Fund Unit ActivityUnits, beginning of year 71,871 2,203 54,404 - Issued from merger - - - 649 Issued 33,393 202 27,012 48 Redeemed (34,206) (205) (24,320) (5) Units, end of year 71,058 2,200 57,096 692

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class 0IM and Class 41 funded on 4/28/2017. *Not annualized for periods less than one year. Class 1 funded on 8/14/2017. #Annualized.








Total Return 3.17% 2.97% 2.66% 3.61%



Fund Unit ActivityUnits, beginning of year 11,102 9,408 2,463 156,055 Issued 4,460 11,129 1,072 173,818 Redeemed (3,513) (2,812) (2,187) (138,310) Units, end of year 12,049 17,725 1,348 191,563


Financial Highlights (continued)For the year ended December 31, 2017






Principal


Collective Fund - 100.0%BlackRock U.S. Debt Index Fund F 8,894,879 265,590,799$ 276,587,142$





Total -$ -$ -$ 276,587,142$




Collective Fund 106,726,568$ 45,099,236$ 2,954,372$



AssetsInvestments in securities, at fair value (cost $60,063,959) 74,062,155$ Cash and cash equivalents 26,517 Receivable for investment securities sold 2,851,495 Total assets 76,940,167

Liabilities and Net AssetsPayable for fund units redeemed 2,878,012 Accrued expenses 5,280 Total liabilities 2,883,292 Net assets 74,056,875$

ExpensesTrustee and underlying fund management fees 13,222$ Professional services and other operating expenses 3,240 Net investment loss (16,462) Realized and unrealized gain on investmentsNet realized gain on investments 1,107,803 Net change in unrealized appreciation on investments 11,943,938 Net realized and unrealized gain on investments 13,051,741 Net increase in net assets resulting from operations 13,035,279$







Fund unit transactionsProceeds from units issued - Class I 12,492,499 Value of units redeemed - Class I (7,007,867)








Per Unit Operating Performance Class INet asset value, beginning of year 17.66$ Income (loss) from investment operations:

Net investment loss (1) 0.00

Net realized and unrealized gain on investments (1) 3.85 Total income from investment operations 3.85 Net asset value, end of year 21.51$

Total Return 21.80%


Expenses 0.02%Net investment loss (0.02%)

Fund Unit ActivityUnits, beginning of year 3,145,389 Issued 645,021 Redeemed (346,907) Units, end of year 3,443,503








Principal


Collective Fund - 100.0%BlackRock Equity Index Non-Lendable Fund F 1,720,391 60,063,959$ 74,062,155$





Total -$ -$ -$ 74,062,155$




Collective Fund 12,430,539$ 6,961,864$ 1,107,803$



AssetsInvestments in securities, at fair value (cost $9,397,928) 11,187,369$ Receivable for investment securities sold 418,215 Total assets 11,605,584


ExpensesTrustee and underlying fund management fees 5,760$ Professional services and other operating expenses 403 Net investment loss (6,163) Realized and unrealized gain on investmentsNet realized gain on investments 231,158 Net change in unrealized appreciation on investments 1,697,071 Net realized and unrealized gain on investments 1,928,229 Net increase in net assets resulting from operations 1,922,066$









Total Return 27.62%



Fund Unit ActivityUnits, beginning of year 430,425 Issued 425,355 Redeemed (101,376) Units, end of year 754,404








Principal


Collective Fund - 100.0%BlackRock MSCI ACWI ex US Index - Non-Lendable Fund F 409,215 9,397,928$ 11,187,369$





Total -$ -$ -$ 11,187,369$




Collective Fund 5,633,053$ 1,376,089$ 231,158$







BlackRock Russell 2500™ Index Non-Lendable Fund




Increase (decrease) in net assets resulting from operationsNet investment loss (21,439)$ Net realized gain on investments 672,232 Net realized and unrealized gain on investments 5,000,899 Net increase in net assets resulting from operations 5,651,692

Fund unit transactionsProceeds from units issuedClass I 5,259,511 Class R ^ 28,091,671 Total proceeds from units issued 33,351,182

Value of units redeemed Class I (4,001,220) Class R ^ (6,169) Total value of units redeemed (4,007,389)



Net assets, beginning of year 9,676,528 Net assets, end of year 44,672,013$ ^Class R funded on 4/19/2017.






Per Unit Operating Performance Class I Class RNet asset value, beginning of year or at inception 17.14$ 17.60$ ^Income (loss) from investment operations:

Net investment loss (1) (0.01) (0.01)


Total Return 16.63% 13.52% ^


Expenses 0.05% 0.07% #Net investment loss (0.05%) (0.07%) #

Fund Unit ActivityUnits, beginning of year 564,569 - Issued 285,585 1,595,574 Redeemed (209,819) (313) Units, end of year 640,335 1,595,261 (1) Based on average units outstanding.^Not annualized for periods less than one year. Class R funded on 4/19/2017.#Annualized.





BlackRock Russel 2500™ Index Non-Lendable Fund


Principal


Collective Fund - 100.0%BlackRock Russell 2500™ Index - Non-Lendable Fund F 2,229,758 39,023,362$ 44,679,883$





Total -$ -$ -$ 44,679,883$




Collective Fund 33,309,113$ 3,980,440$ 672,232$



AssetsInvestments in securities, at fair value (cost $7,421,246) 7,506,484$ Cash and cash equivalents 8,454 Receivable for investment securities sold 199,189 Total assets 7,714,127

Liabilities and Net AssetsPayable for fund units redeemed 207,643 Accrued expenses 636 Total liabilities 208,279 Net assets 7,505,848$

ExpensesTrustee and underlying fund management fees 1,732$ Professional services and other operating expenses 340 Net investment loss (2,072) Realized and unrealized gain (loss) on investmentsNet realized loss on investments (26,236) Net change in unrealized appreciation on investments 260,262 Net realized and unrealized gain on investments 234,026 Net increase in net assets resulting from operations 231,954$


BlackRock US Debt Index Non-Lendable Fund




Increase (decrease) in net assets resulting from operationsNet investment loss (2,072)$ Net realized loss on investments (26,236) Net change in unrealized appreciation on investments 260,262 Net increase in net assets resulting from operations 231,954









Per Unit Operating Performance Class INet asset value, beginning of year 10.74$ Income from investment operations:

Net investment loss (1) 0.00


Total Return 3.54%











Principal


Collective Fund - 100.0%BlackRock U.S. Debt Index - Non-Lendable Fund F 527,278 7,421,246$ 7,506,484$

Total Investments - 100.0% 7,421,246$ 7,506,484 Liabilities in Excess of Other Assets - (0.0%) (636) Net Assets - 100% 7,505,848$




Total -$ -$ -$ 7,506,484$


*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. During the year ended December 31, 2017, the Fund did not hold any Level 3 securities. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the year. Supplementary Information: Total investment purchases, sales proceeds, and realized loss for the year ended December 31, 2017, were:

Purchases Sales Realizedat Cost Proceeds Loss

Collective Fund 3,267,423$ 2,736,383$ (26,236)$





Investment incomeMiscellaneous income 4$ ExpensesTrustee, underlying fund management and service

provider fees 197,643 Professional services and other operating expenses 2,055 Total expenses 199,698 Net investment loss (199,694) Realized and unrealized gain on investmentsNet realized gain on investments 3,120,379 Net change in unrealized appreciation on investments 954,186 Net realized and unrealized gain on investments 4,074,565 Net increase in net assets resulting from operations 3,874,871$


BlackRock LifePath® Index Retirement Fund




Increase (decrease) in net assets resulting from operationsNet investment loss (199,694)$ Net realized gain on investments 3,120,379 Net change in unrealized appreciation on investments 954,186 Net increase in net assets resulting from operations 3,874,871

Fund unit transactionsProceeds from units issuedClass 35 4,147,777 Class 60 2,728,080 Class 75 682,208 Class 95 1,960,153 Total proceeds from units issued 9,518,218

Value of units redeemedClass 35 (2,017,811) Class 60 (28,084,811) Class 75 (1,724,236) Class 95 (3,009,182) Total value of units redeemed (34,836,040)

Decrease in net assets resulting from fund unit transactions (25,317,822)

Decrease in net assets (21,442,951)










Total Return 10.16% 9.80% 9.66% 9.44%



Fund Unit ActivityUnits, beginning of year 267,996 2,024,982 278,862 897,397 Issued 261,114 179,166 45,314 129,537 Redeemed (127,781) (1,822,419) (114,247) (200,235) Units, end of year 401,329 381,729 209,929 826,699








Principal


Collective Fund - 100.1%BlackRock LifePath® Index Retirement Fund F 1,487,661 25,737,866$ 29,065,335$





Total -$ -$ -$ 29,065,335$




Collective Fund 6,977,834$ 32,536,092$ 3,120,379$







December 31, 2017


BlackRock LifePath® Index 2020 Fund





Fund unit transactionsProceeds from units issuedClass 0 178,948 Class 35 9,015,696 Class 60 6,706,066 Class 75 633,683 Class 95 5,855,923 Total proceeds from units issued 22,390,316

Value of units redeemedClass 0 (8,176) Class 35 (1,650,052) Class 60 (45,382,990) Class 75 (385,068) Class 95 (8,414,692) Total value of units redeemed (55,840,978)








Per Unit Operating Performance Class 0 Class 35 Class 60 Class 75 Class 95Net asset value, beginning of year 17.76$ 17.94$ 17.66$ 17.52$ 17.41$ Income (loss) from investment operations:


Net realized and unrealized gain on investments (1) 2.10 2.13 2.09 2.08 2.07

Total income from investment operations 2.10 2.10 2.02 1.98 1.93 Net asset value, end of year 19.86$ 20.04$ 19.68$ 19.50$ 19.34$

Total Return 11.82% 11.71% 11.44% 11.30% 11.09%



Fund Unit ActivityUnits, beginning of year 324 350,265 2,689,098 253,134 1,627,586 Issued 9,557 464,104 362,394 34,277 319,772 Redeemed (419) (86,388) (2,409,588) (20,901) (460,611) Units, end of year 9,462 727,981 641,904 266,510 1,486,747








Principal


Collective Fund - 100.1%BlackRock LifePath® Index 2020 Fund F 3,069,906 53,933,991$ 61,430,041$





Total -$ -$ -$ 61,430,041$




Collective Fund 16,596,431$ 50,488,879$ 5,381,670$







December 31, 2017







Fund unit transactionsProceeds from units issuedClass 0 ^ 233,538 Class 35 12,345,706 Class 60 8,928,115 Class 75 1,310,310 Class 95 5,692,780 Total proceeds from units issued 28,510,449

Value of units redeemedClass 0 ^ (191) Class 35 (2,806,321) Class 60 (48,502,423) Class 75 (2,345,629) Class 95 (4,834,315) Total value of units redeemed (58,488,879)









Per Unit Operating Performance Class 0 Class 35 Class 60 Class 75 Class 95Net asset value, beginning of year or at inception 19.66$ ^ 19.33$ 19.01$ 18.84$ 18.72$ Income (loss) from investment operations:



Total Return 9.51% ^ 13.81% 13.52% 13.43% 13.14%



Fund Unit ActivityUnits, beginning of year - 390,560 2,639,559 562,198 1,742,648 Issued 11,879 582,142 445,831 65,518 285,613 Redeemed (9) (136,432) (2,363,621) (115,956) (240,361) Units, end of year 11,870 836,270 721,769 511,760 1,787,900








Principal







Total -$ -$ -$ 83,132,597$




Collective Fund 22,267,826$ 52,788,311$ 6,626,206$







December 31, 2017







Fund unit transactionsProceeds from units issuedClass 0 ^ 22,578 Class 35 9,077,045 Class 60 6,720,698 Class 75 878,502 Class 95 5,986,712 Total proceeds from units issued 22,685,535

Value of units redeemedClass 0 ^ (6,936) Class 35 (1,545,647) Class 60 (35,509,280) Class 75 (737,750) Class 95 (5,987,819) Total value of units redeemed (43,787,432)












Total Return 13.60% ^ 15.80% 15.44% 15.29% 15.06%



Fund Unit ActivityUnits, beginning of year - 418,003 2,038,684 258,383 1,715,226 Issued 1,071 403,505 314,730 41,159 281,088 Redeemed (334) (71,004) (1,625,700) (34,668) (280,963) Units, end of year 737 750,504 727,714 264,874 1,715,351








Principal







Total -$ -$ -$ 79,828,891$




Collective Fund 16,806,477$ 38,395,212$ 5,317,188$







December 31, 2017









Total Return 10.56% ^ 17.61% 17.33% 17.15% 16.95%



Fund Unit ActivityUnits, beginning of year - 278,446 1,790,306 283,503 1,195,067 Issued 163 431,971 299,317 48,873 214,234 Redeemed (1) (143,791) (1,474,171) (69,101) (214,380) Units, end of year 162 566,626 615,452 263,275 1,194,921








Principal







Total -$ -$ -$ 63,963,127$




Collective Fund 17,242,110$ 38,646,775$ 5,695,171$



AssetsInvestments in securities, at fair value (cost $43,939,014) 53,949,621$ Cash and cash equivalents 70,299 Receivable for reimbursement 7,603 Receivable for investment securities sold 1,198 Receivable for fund units sold 25,655 Total assets 54,054,376











Value of units redeemedClass 0 ^ (56,033) Class 35 (913,970) Class 60 (25,166,885) Class 75 (891,500) Class 95 (4,074,931) Total value of units redeemed (31,103,319)












Total Return 16.37% ^ 19.27% 19.02% 18.87% 18.63%



Fund Unit ActivityUnits, beginning of year - 205,050 1,408,145 173,867 900,462 Issued 25,153 207,285 200,106 58,407 251,352 Redeemed (2,228) (38,754) (1,056,884) (38,821) (173,350) Units, end of year 22,925 373,581 551,367 193,453 978,464








Principal


Collective Fund - 100.1%

BlackRock LifePath® Index 2040 Fund F 2,418,571 43,939,014$ 53,949,621$ Total Investments - 100.1% 43,939,014$ 53,949,621 Liabilities in Excess of Other Assets - (0.1%) (60,515) Net Assets - 100% 53,889,106$




Total -$ -$ -$ 53,949,621$




Collective Fund 12,879,398$ 26,805,611$ 4,134,070$






Total Return 17.23% ^ 20.41% 20.06% 19.95% 19.66%



Fund Unit ActivityUnits, beginning of year - 276,584 810,156 249,923 585,740 Issued 554 178,729 149,957 88,299 168,563 Redeemed (5) (87,384) (695,219) (72,522) (94,785) Units, end of year 549 367,929 264,894 265,700 659,518








Principal







Total -$ -$ -$ 41,183,176$




Collective Fund 10,209,310$ 19,607,525$ 3,094,297$





Value of units redeemedClass 0 ^ (11,414) Class 35 (950,334) Class 60 (14,573,886) Class 75 (1,936,071) Class 95 (2,843,996) Total value of units redeemed (20,315,701)









Per Unit Operating Performance Class 0 Class 35 Class 60 Class 75 Class 95Net asset value, beginning of year or at inception 22.37 ^ 22.21$ 21.79$ 21.60$ 21.65$ Income (loss) from investment operations:



Total Return 17.52% ^ 20.76% 20.51% 20.32% 20.09%



Fund Unit ActivityUnits, beginning of year - 102,032 698,350 196,719 557,148 Issued 1,549 119,061 173,894 127,233 200,612 Redeemed (498) (37,770) (598,532) (81,894) (120,469) Units, end of year 1,051 183,323 273,712 242,058 637,291








Principal







Total -$ -$ -$ 35,023,177$


*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. During the year ended December 31, 2017, the Fund did not hold any Level 3 securities. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the year. Concentration of Ownership: As of December 31, 2017, the Fund had two unaffiliated plans holding 10% or more of the outstanding units of the Fund, representing 14% and 15% of the total outstanding units. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2017, were:


Collective Fund 10,430,108$ 16,095,889$ 2,537,573$






provider fees 56,816 Professional services and other operating expenses 575 Total expenses 57,391 Net investment loss (57,380) Realized and unrealized gain on investmentsNet realized gain on investments 722,547 Net change in unrealized appreciation on investments 1,491,949 Net realized and unrealized gain on investments 2,214,496 Net increase in net assets resulting from operations 2,157,116$







Fund unit transactionsProceeds from units issuedClass 35 2,541,381 Class 60 1,209,453 Class 75 2,662,900 Class 95 1,928,857 Total proceeds from units issued 8,342,591

Value of units redeemedClass 35 (1,183,686) Class 60 (2,283,615) Class 75 (1,912,543) Class 95 (679,559) Total value of units redeemed (6,059,403)












Total Return 20.75% 20.37% 20.25% 20.00%



Fund Unit ActivityUnits, beginning of year 190,584 119,177 355,689 206,737 Issued 192,734 97,754 217,208 154,317 Redeemed (94,805) (178,380) (155,492) (55,680) Units, end of year 288,513 38,551 417,405 305,374








Principal


Collective Fund - 100.0%BlackRock LifePath® Index 2055 Fund F 646,355 12,417,787$ 14,324,848$





Total -$ -$ -$ 14,324,848$


*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. During the year ended December 31, 2017, the Fund did not hold any Level 3 securities. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the year. Concentration of Ownership: As of December 31, 2017, the Fund had three unaffiliated plans holding 10% or more of the outstanding units of the Fund, representing 10%, 33% and 17% of the total outstanding units. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2017, were:


Collective Fund 6,789,374$ 4,565,482$ 722,547$



AssetsInvestments in securities, at fair value (cost $3,172,035) 3,428,985$ Cash and cash equivalents 10,401 Receivable for investment securities sold 41,679 Receivable for fund units sold 5,098 Total assets 3,486,163



provider fees 8,838$ Professional services and other operating expenses 84 Net investment loss (8,922) Realized and unrealized gain on investmentsNet realized gain on investments 109,464 Net change in unrealized appreciation on investments 225,747 Net realized and unrealized gain on investments 335,211 Net increase in net assets resulting from operations 326,289$







Fund unit transactionsProceeds from units issuedClass 0 ^ 3,898 Class 35 ^ 1,191,590 Class 60 929,127 Class 75 471,279 Class 95 670,008 Total proceeds from units issued 3,265,902

Value of units redeemedClass 35 ^ (362,485) Class 60 (219,628) Class 75 (179,838) Class 95 (161,184) Total value of units redeemed (923,135)



Net assets, beginning of year 756,399 Net assets, end of year 3,425,455$

^Class 0 and Class 35 funded on 6/30/2017 and 5/8/2017, respectively.





Per Unit Operating Performance Class 0 Class 35 Class 60 Class 75 Class 95Net asset value, beginning of year or at inception 12.06$ ^ 11.89$ ^ 11.05$ 11.04$ 11.03$ Income (loss) from investment operations:



Total Return 10.36% ^ 11.86% ^ 20.45% 20.20% 19.95%


Expenses 0.00% # 0.13% # 0.38% 0.53% 0.73%Net investment loss 0.00% # (0.13%) # (0.38%) (0.53%) (0.73%)

Fund Unit ActivityUnits, beginning of year - - 5,968 36,937 25,627 Issued 303 92,926 75,788 39,104 54,731 Redeemed - (27,940) (17,342) (14,900) (13,274) Units, end of year 303 64,986 64,414 61,141 67,084

(1) Based on average units outstanding.^Not annualized for periods less than one year. Class 0 and Class 35 funded on 6/30/2017 and 5/8/2017, respectively.#Annualized.







Principal


Collective Fund - 100.1%BlackRock LifePath® Index 2060 Fund F 265,582 3,172,035$ 3,428,985$





Total -$ -$ -$ 3,428,985$


*Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. During the year ended December 31, 2017, the Fund did not hold any Level 3 securities. The Fund recognizes transfers between the fair value hierarchy levels as of the beginning of the fiscal year. There were no transfers between any of the fair value hierarchy levels during the year. Concentration of Ownership: As of December 31, 2017, the Fund had two unaffiliated plans holding 10% or more of the outstanding units of the Fund, representing 11% and 24% of the total outstanding units. Supplementary Information: Total investment purchases, sales proceeds, and realized gain for the year ended December 31, 2017, were:


Collective Fund 2,960,793$ 624,502$ 109,464$



AssetsInvestments in securities, at fair value (cost $32,221,726) 35,420,275$ Receivable for investment securities sold 2,266,526 Total assets 37,686,801




BlackRock LifePath® Index Retirement Non-Lendable Fund






Net realized and unrealized gain on investments (1) 1.49

Total income from investment operations 1.47 Net asset value, end of year 16.18$

Total Return 9.99%











Principal


Collective Fund - 100.0%BlackRock LifePath® Index Retirement - Non-Lendable Fund F 1,815,540 32,221,726$ 35,420,275$





Total -$ -$ -$ 35,420,275$




Collective Fund 2,539,948$ 9,992,415$ 543,421$






December 31, 2017


BlackRock LifePath® Index 2020 Non-Lendable Fund







Decrease in net assets (14,491)










Total Return 11.71%



Fund Unit ActivityUnits, beginning of year 5,198,389 Issued 565,504 Redeemed (1,108,508) Units, end of year 4,655,385








Principal


Collective Fund - 100.0%BlackRock LifePath® Index 2020 - Non-Lendable Fund F 3,304,769 66,547,354$ 74,162,328$





Total -$ -$ -$ 74,162,328$




Collective Fund 8,441,805$ 16,930,661$ 1,230,369$




Liabilities and Net AssetsPayable to custodian 3,410 Payable for fund units redeemed 8,015,959 Accrued expenses 30,086 Total liabilities 8,049,455 Net assets 101,546,171$


December 31, 2017










Total Return 13.76%



Fund Unit ActivityUnits, beginning of year 6,542,777 Issued 712,025 Redeemed (1,052,827) Units, end of year 6,201,975








Principal







Total -$ -$ -$ 101,576,257$




Collective Fund 11,024,550$ 16,552,755$ 1,521,178$






December 31, 2017










Total Return 15.67%











Principal







Total -$ -$ -$ 91,567,733$




Collective Fund 12,820,491$ 15,618,327$ 1,933,984$




Liabilities and Net AssetsPayable to custodian 962 Payable for fund units redeemed 4,475,524 Accrued expenses 20,856 Total liabilities 4,497,342 Net assets 74,935,553$


December 31, 2017










Total Return 17.60%











Principal







Total -$ -$ -$ 74,956,410$




Collective Fund 8,979,691$ 11,303,249$ 1,360,015$






December 31, 2017










Total Return 19.33%











Principal







Total -$ -$ -$ 58,846,904$




Collective Fund 8,832,610$ 7,625,877$ 948,187$






December 31, 2017










Total Return 20.36%











Principal







Total -$ -$ -$ 46,260,308$




Collective Fund 7,412,452$ 6,779,366$ 917,757$






December 31, 2017










Total Return 20.78%











Principal







Total -$ -$ -$ 38,490,267$




Collective Fund 7,695,746$ 5,170,360$ 710,079$






December 31, 2017










Total Return 20.73%











Principal







Total -$ -$ -$ 27,611,275$




Collective Fund 8,547,429$ 4,329,966$ 548,324$



$

AssetsInvestments in securities, at fair value (cost $3,784,834) 4,146,600$ Receivable for investment securities sold 207,515 Total assets 4,354,115

Liabilities and Net AssetsPayable to custodian 5,704 Payable for fund units redeemed 201,811 Accrued expenses 992 Total liabilities 208,507 Net assets 4,145,608$

ExpensesTrustee and underlying fund management fees 2,719$ Professional services and other operating expenses 133 Net investment loss (2,852) Realized and unrealized gain on investmentsNet realized gain on investments 208,013 Net change in unrealized appreciation on investments 325,036 Net realized and unrealized gain on investments 533,049 Net increase in net assets resulting from operations 530,197$

December 31, 2017










Total Return 20.73%











Principal


Collective Fund - 100.0%BlackRock LifePath® Index 2060 - Non-Lendable Fund F 321,113 3,784,834$ 4,146,600$

Total Investments - 100.0% 3,784,834$ 4,146,600 Liabilities in Excess of Other Assets - (0.0%) (992) Net Assets - 100% 4,145,608$




Total -$ -$ -$ 4,146,600$




Collective Fund 4,659,558$ 2,678,883$ 208,013$

Wilmington Trust Collective Investment Trust

Funds Investing in BlackRock Institutional Trust Company, N.A. Collective Funds

Notes to the Financial Statements

December 31, 2017

159

Note 1 – Organization Wilmington Trust Collective Investment Trust (the "Trust") is intended to constitute an exempt trust under Section 501(a) of the Internal Revenue Code of 1986, as amended, and a group trust within the meaning of Rev. Rul. 81-100, as clarified and amended. The Trust is exempt from registration under the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended. Wilmington Trust, N.A. ("WTNA" or the "Trustee") serves as the Trustee of the Trust. The Trustee is responsible for maintaining and administering the Trust and its various funds (the "Funds" – see Fund Index) and also serves as the investment advisor (the "Investment Advisor") to the Funds. M&T Bank Corporation is the ultimate parent of the Trustee. State Street Bank and Trust Company provides custody and transfer agency services for the Trust and the Funds. The purpose of the Trust is to allow collective investments by plan sponsors of retirement plans which qualify for exemption from federal income taxation pursuant to Section 501(a) of the Internal Revenue Code, as amended (the "Code"), by reason of qualifying under Section 401(a) of the Code; tax-exempt governmental plans under Section 414(d) or Section 818(a)(6) of the Code; eligible deferred compensation plans under Section 457(b) of the Code established by a government employer; group trusts or separate accounts consisting solely of assets of the foregoing; and other investors eligible for participation in the Trust. The Trust consists of separate funds with differing investment objectives, which are available for investment by participating plans. An eligible plan may join the Trust, subject to the Trustee's acceptance, and become a participating plan by executing participation documents specified by the Trustee. The Funds presented herein include only those invested in underlying collective funds (the "Underlying Funds") managed by BlackRock Institutional Trust Company, N.A. ("BlackRock"). While the Trustee relies on BlackRock to manage the Underlying Funds' assets, the Trustee maintains ultimate fiduciary authority over the management of and investments made in each Fund. Investments in the Underlying Funds are made pursuant to an Investment Management Agreement with BlackRock. Note 2 – Significant Accounting Policies The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"). The Funds are investment companies and follow the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic No. 946. Net Asset Value ("NAV") – Units of each fee class of each Fund are valued each day on which the New York Stock Exchange ("NYSE") is open for trading in accordance with the valuation procedures established by the Trustee. The NAV per unit is calculated as of the close of trading on the NYSE (generally, 4:00 p.m. U.S. Eastern time). The NAV per unit is computed by dividing the total fair value of the assets of a Fund, less its liabilities, by the total number of units outstanding at the time of such computation. Investment income earned is reinvested in the Fund and included in the determination of unit values.



Notes to the Financial Statements (continued)

December 31, 2017

160

Fund Unit Transactions – The Funds sell new units and repurchase outstanding units on a daily basis. Unit purchases and redemptions are transacted at the NAV per fee class of the Funds determined as of the close of business each day. A summary of the Fund unit activity for each Fund is included with its Financial Highlights. The Funds require the plan sponsors to provide a five-day written notice for withdrawals which will exceed $1 million. Investment Valuation – The Funds hold investments in units of the Underlying Funds for which BlackRock is an unrelated 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 Underlying 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. When the valuation method described above is 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 Funds consider all highly liquid instruments with original maturities of three months or less at the acquisition date to be cash equivalents. Investment Transactions and Investment Income – The Funds record security transactions on a trade date basis. Dividend income is recorded on the ex-dividend date. Net realized gains and losses on investments are determined by the first-in, first-out method. Interest income and expenses are recorded daily on the accrual basis. Fee Classes and Allocations – Most of the Funds offer multiple fee classes. Not all fee classes are available for investment by all plans. Each class is allocated expenses on the basis of expense loads assigned to that class. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each fee class based on the units outstanding for the fee class in proportion to the total outstanding units. Use of Estimates – The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. Guarantees and Indemnifications – Under the Funds' organizational documents, each trustee, officer, employee and agent of the Trust is indemnified, to the extent permitted by law, against certain liabilities that may arise in the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, none of the Funds has had prior claims or losses pursuant to these contracts and the Trustee believes the risk of loss to be remote.




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161

Income Tax Status – The Trust has received a determination from the Internal Revenue Service (the "IRS") that the Trust is exempt from federal income taxation under Section 501(a) of the Code. ASC 740-10, Accounting for Uncertainty in Income Taxes, provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740-10 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax expense. The Trustee has evaluated uncertain tax positions in the United States and all major foreign jurisdictions for all open tax years for the Funds since the Funds' inception and has determined that the Funds' tax positions are deemed to be "more-likely-than-not" as of December 31, 2017. In the event that the Funds incur any tax liabilities in the future, the tax liabilities and the corresponding tax expense will be recorded on the Statement of Assets and Liabilities and Statement of Operations, respectively. The Trust's federal fiduciary tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the IRS. The Funds did not accrue any interest or penalties related to uncertain tax liabilities as of December 31, 2017. The Trustee is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. Subsequent Events – The Trustee has evaluated the effects of subsequent events on the Funds' financial statements through April 30, 2018, which is the date the financial statements were available to be issued, and has determined that there are no material subsequent events that would require disclosure or adjustment in the Funds' financial statements through this date. Note 3 – Fair Value Measurements Fair value is defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Various inputs are used in determining the fair value of the Funds' investments. The Trustee has performed an analysis of the significance and character of these inputs to the fair value determination. These inputs are summarized in the three broad levels listed below:

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

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

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

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, 2017, in valuing the Funds' assets carried at fair value is included in Note 2. The FASB issued Accounting Standards Update ("ASU") 2015-07, Fair Value Measurement (Topic 820) - Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair




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value is measured using the NAV per share as a practical expedient. ASU 2015-07 also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the NAV per share as a practical expedient. Investments that calculate NAV per share (or its equivalent), but for which the practical expedient is not applied, will continue to be included in the fair value hierarchy along with the related required disclosures. The Funds elected to early adopt ASU 2015-07, effective December 31, 2016, except for BlackRock 20+ Treasury Bond Index Fund, which adopted ASU 2015-07 and applied the changes to the December 31, 2017, financial statements. The aggregate fair value of the investments in each Fund, by input level used as of December 31, 2017, is included following each Fund's Schedule of Investments. Note 4 – Fees and Expenses Trustee, 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.

Fund

Trustee Fee

Underlying Fund Management Fee

Service Provider Fee


4 or 6 4 0, 2, 25, 40, 60 or 90

BlackRock 20+ Treasury Bond Index Fund 10 4 0

BlackRock EAFE Equity Index Fund 0, 2 or 5 0 or 4 0, 2, 25, 40, 60 or 90


0, 4.5 or 7.5 0 or 10.5 0, 2, 25, 40, 60 or 90

BlackRock Equity Index Fund 0, 1, 2, 2.5, 3 or 13

0 or 1 0, 2, 17, 25, 35, 40, 45, 60 or 90

BlackRock Mid Cap Equity Index Fund 0, 2.5 or 6 (1) 0 or 2.5 (1) 0, 2, 25, 40, 60 or 90

BlackRock MSCI ACWI ex-U.S. Index Fund 2 or 5 7 0

BlackRock Russell 1000® Growth Index Fund 0 or 2.5 0 or 2.5 0

BlackRock Russell 1000® Index Fund 0, 4.5 or 6 0 or 1.5 0, 2, 25, 40, 60 or 90

BlackRock Russell 1000® Value Index Fund 0 or 2.5 0 or 2.5 0

BlackRock Russell 2000® Growth Index Fund 0, 4 or 7 0 or 4 0, 2, 25, 40, 60 or 90

BlackRock Russell 2000® Index Fund 0, 2 or 7 (2) 0 or 3 (2) 0, 2, 25, 40, 60 or 90




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Fund

Trustee Fee

Underlying Fund Management Fee

Service Provider Fee

BlackRock Russell 2000® Value Index Fund 0, 4 or 7 0 or 4 0, 2, 25, 40, 60 or 90 BlackRock U.S. Debt Index Fund 0, 2, 3 or 4.5 0 or 2 0, 2, 25, 35, 40, 60 or 90 BlackRock Equity Index S&P 500 Non-

Lendable Fund 1 1 0

BlackRock MSCI ACWI ex-U.S. Index Non-

Lendable Fund 2 5 0

BlackRock Russell 2500® Index Non-

Lendable Fund 2 or 4.5 2.5 0

BlackRock US Debt Index Non-Lendable

Fund 1 1.5 0

All LifePath® Index Funds 0 or 6 0 or 7 0, 20, 25, 40 or 60 All LifePath® Index Non-Lendable Funds 4 6 0

(1) Fee rates in effect during the year for the BlackRock Mid Cap Equity Index Fund were as follows:

Effective Dates

Trustee Fee Underlying Fund Management Fee

1/1/2017 – 3/30/2017 0, 4.5 or 6 0 or 3.5 3/31/2017 – 12/28/2017 0, 3.5 or 6 0 or 3.5 Beginning 12/29/2017 0, 2.5 or 6 0 or 2.5

(2) Fee rates in effect during the year for the BlackRock Russell 2000® Index Fund were as follows:

Effective Dates

Trustee Fee Underlying Fund Management Fee

1/1/2017 – 3/15/2017 0, 4 or 6 0 or 5 3/16/2017 – 3/30/2017 0, 5 or 7 0 or 4

3/31/2017 – 12/28/2017 0, 4 or 7 0 or 4 Beginning 12/29/2017 0, 2 or 7 0 or 3

Trustee Fee – The Trustee receives an annual fee for trustee and administrative services provided to each Fund. Trustee fees are based upon the average daily value of the Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Fund. Such Trustee fees for the year ended December 31, 2017, or for the period then ended for inception dates in 2017, are included in the Statement of Operations for each respective Fund.




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Plans invested in Class 0 and 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 Underlying Fund Manager for investment advisory services provided to each 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. Underlying Fund Management Fee – BlackRock is compensated for its investment advisory services provided to the Underlying Funds. These fees are based upon the average daily value of the Fund and are accrued daily, paid quarterly in arrears and charged against the assets invested in the Fund. Service Provider Fee – Service provider fees, if any, are used to compensate other service providers to each Fund, including brokers and financial intermediaries and other parties providing services to retirement plans participating in the Fund. Service provider fees may also be paid to plan service providers, such as third-party administrators and record keepers that provide sub-transfer agency, recordkeeping and other administrative services to participating plans invested in the Fund. Operating Expenses – In addition to the fees described above, each Fund bears expenses related to its operation, including, but not limited to, audit, custody, tax and legal services. Expenses incurred in connection with the investment and reinvestment of Fund assets, including, without limitation, transfer agency fees, brokerage commission and other expenses, are also charged against the Fund. Because the Funds invest in Underlying Funds, an investor in the Funds will bear the operating expense of the Underlying Fund in which each Fund invests. The total expenses borne by an investor in the Funds will be higher than if the investor invested directly in the Underlying Funds, and the returns may therefore be lower. Additionally, both the Funds and the Underlying Funds in which they invest bear similar types of fees and expenses, so investment in the Funds may be subject to certain duplicate expenses. Note 5 – Related Party Transactions The Trustee is a national bank that provides trust and custodial services for tax-advantaged retirement plans as well as trust and investment services to business pension and retirement plans. The Trustee is responsible for managing the Trust's investment and business affairs. Note 6 – Risks Associated with Investing in the Funds In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the fair value of the investments. The principal risks associated with investing in each Fund are:

Active Management. The Fund is actively managed and subject to the risk that the sub-advisor's usage of investment techniques and risk analyses to make investment decisions fails to perform as expected, which may cause the Fund to lose value or underperform investments with similar objectives and strategies or the market in general.




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Commodity. Investments in commodity-related instruments are subject to the risk that the performance of the overall commodities market declines and that weather, disease, political, tax, and other regulatory developments adversely impact the value of commodities, which may result in a loss of principal and interest. Commodity-linked investments face increased price volatility and liquidity, credit, and issuer risks compared with their underlying measures.

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.

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.

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.

Emerging Markets. Investments in emerging markets securities may be subject to greater market, credit,

currency, liquidity, legal, political, and other risks compared with assets invested in developed foreign countries (see Foreign Securities below). Emerging markets countries may have restrictive national policies that limit investment opportunities, limited information about issuers, a general lack of uniform accounting, auditing and financial reporting standards as compared to the standards of developed countries, less liquidity and more volatility, limitations on the movement of funds, difficulties in enforcing contractual obligations and the possibility of expropriation or nationalization.

Equity Securities. The value of equity securities, which include common, preferred, and convertible

preferred stocks, will fluctuate based on changes in their issuers' financial conditions, as well as overall market and economic conditions, and can decline in the event of deteriorating issuer, market, or economic conditions.

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.




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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.

Forwards. Investments in forwards may increase volatility and be subject to additional market, active

management, currency, and counterparty risks as well as liquidity risk if the contract cannot be closed when desired. Forwards purchased on a when-issued or delayed-delivery basis may be subject to risk of loss if they decline in value prior to delivery, or if the counterparty defaults on its obligation.

Futures. Investments in futures contracts and options on futures contracts may increase volatility and be

subject to additional market, active management, interest, currency, and other risks if the contract cannot be closed when desired.

Growth Investing. Growth securities may be subject to increased volatility as the value of these securities is

highly sensitive to market fluctuations and future earnings expectations. These securities typically trade at higher multiples of current earnings than do other securities and may lose value if it appears their earnings expectations may not be met.

Hedging Strategies. The use of hedging strategies to reduce risk may limit the opportunity for gains

compared with unhedged investments, and there is no guarantee that hedges will actually reduce risk.

Index Correlation/Tracking Error. A portfolio that tracks an index is subject to the risk that certain factors may cause the Fund to track its target index less closely, including if the sub-advisor or manager selects securities that are not fully representative of the index. The Fund will generally reflect the performance of its target index even if the index does not perform well, and it may underperform the index after factoring in fees, expenses, transaction costs, and the size and timing of unitholder purchases and redemptions.

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.




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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.

Large Cap. Concentrating assets in large-capitalization stocks may subject the Fund to the risk that those

stocks underperform other capitalizations or the market as a whole. Large-cap companies may be unable to respond as quickly as small- and mid-cap companies can to new competitive pressures and may lack the growth potential of those securities. Historically, large-cap companies do not recover as quickly as smaller companies do from market declines.

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.

Mortgage-Backed and Asset-Backed Securities. Investments in mortgage-backed ("MBS") and asset-

backed securities ("ABS") may be subject to increased price volatility because of changes in interest rates, issuer information availability, credit quality of the underlying assets, market perception of the issuer, availability of credit enhancement, and prepayment of principal. The value of ABS and MBS may be adversely affected if the underlying borrower fails to pay the loan included in the security.

Options. Investments in options may be subject to the risk that the sub-advisor does not correctly predict the

movement of an option's underlying stock. Option purchases may result in the loss of part or all of the amount paid for the option plus commission costs. Option sales may result in a forced sale or purchase of a security at a price higher or lower than its current market price.

OTC. Investments traded and privately negotiated in the over-the-counter ("OTC") market, including

securities and derivatives, may be subject to greater price volatility and liquidity risk than transactions made on organized exchanges. Because the OTC market is less regulated, OTC transactions may be subject to increased credit and counterparty risk. The investment's performance may be impacted by its concentration in a certain type of security, adherence to a particular investing strategy, or a unique aspect of its structure and costs.




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Passive Management. The investment is not actively managed, and the Fund does not attempt to manage volatility or take defensive positions in declining markets. This passive management strategy may subject the investment to greater losses during general market declines than actively managed investments.

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.

Real Estate/REIT Sector. Concentrating assets in the real estate sector or Real Estate Investment Trusts ("REITs") may disproportionately subject the Fund to the risks of that industry, including loss of value because of changes in real estate values, interest rates, and taxes, as well as changes in zoning, building, environmental, and other laws, among other factors. Investments in REITs may be subject to increased price volatility and liquidity risk, and investors indirectly bear their proportionate share of expenses because of their management fees.

Regulation/Government Intervention. The business of the issuer of an underlying security may be adversely

impacted by new regulation or government intervention, impacting the price of the security. Direct government ownership of distressed assets in times of economic instability may subject the Fund's holdings to increased price volatility and liquidity risk.

Replication Management. The investment does not seek investment returns in excess of the underlying

index. Therefore, it will not generally sell a security unless it was removed from the index, even if the security's issuer is in financial trouble.

Repurchase Agreements. Repurchase agreements may be subject to the risk that the seller of a security

defaults and the collateral security for the repurchase agreement has declined and does not equal the value of the repurchase price. In this event, impairment of the collateral may result in additional costs.

Securities Lending. The fund may engage in securities lending, which involves borrower credit risk,

settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid.

Small Cap. Concentrating assets in small-capitalization stocks may subject the Fund to the risk that those

stocks underperform other capitalizations or the market as a whole. Smaller, less-seasoned companies may be subject to increased liquidity risk compared with mid- and large-cap companies.

Target Date. Target date funds, also known as lifecycle funds, shift their asset allocation to become

increasingly conservative as the target retirement year approaches. Still, investment in target date funds may lose value near, at, or after the target retirement date, and there is no guarantee they will provide adequate income at retirement.




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

U.S. Government Obligations. Investments in U.S. government obligations are subject to varying levels of

government support. In the event of default, some U.S. government securities, including U.S. Treasury obligations and Ginnie Mae securities, are issued and guaranteed as to principal and interest by the full faith and credit of the U.S. government. Other securities are obligations of U.S. government-sponsored entities but are neither issued nor guaranteed by the U.S. government. U.S. State or Territory-Specific Investments in the municipal securities of a particular state or territory may be subject to the risk that changes in the economic conditions of that state or territory will negatively impact performance.

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.

2017 trust i report - blackrock and notes to financial … · wilmington trust collective...

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