wells fargo bank, n.a.€¦ · wells fargo bank, n.a. collective investment funds annual report...

Wells Fargo Bank, N.A. Collective Investment Funds Annual Report 2019

Table of Contents

Page

Independent Auditors’ Report 1

Financial Statements: Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate

Index CIT 3 Wells Fargo Emerging Markets Bond Index CIT 50 Wells Fargo Factor Enhanced Emerging Markets Index CIT 70 Wells Fargo Factor Enhanced International Index CIT 105 Wells Fargo Factor Enhanced Large Cap Index CIT 132 Wells Fargo Factor Enhanced Small Cap Index CIT 154 Wells Fargo High Yield Corporate Bond Index CIT 193 Wells Fargo Investment Grade Corporate Bond Index CIT 206 Wells Fargo Strategic Retirement Bond Index CIT 252 Wells Fargo US REIT Index CIT 261

Notes to Financial Statements 269

Regulatory Statement 286

KPMG LLP is a Delaware limited liability partnership and the U.S. member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity.

KPMG LLPTwo Financial Center60 South StreetBoston, MA 02111

Independent Auditors’ Report

The Unitholders of the Funds and Wells Fargo Bank, N.A.:

We have audited the accompanying financial statements of Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT, Wells Fargo Emerging Markets Bond Index CIT, Wells Fargo Factor Enhanced Emerging Markets Index CIT, Wells Fargo Factor Enhanced International Index CIT, Wells Fargo Factor Enhanced Large Cap Index CIT, Wells Fargo Factor Enhanced Small Cap Index CIT, Wells Fargo High Yield Corporate Bond Index CIT, Wells Fargo Investment Grade Corporate Bond Index CIT, Wells Fargo Strategic Retirement Bond Index CIT and Wells Fargo US REIT Index CIT (collectively, “the Funds”), ten of the separate collective investment trusts constituting Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, which comprise the statements of assets and liabilities, including the schedules of investments, as of December 31, 2019, the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements (collectively, the financial statements) and the financial highlights for the year then ended.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements and financial highlights in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements and financial highlights that are free from material misstatement, whether due to fraud or error.

Auditors’ Responsibility

Our responsibility is to express an opinion on these financial statements and financial highlights 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 audit to obtain reasonable assurance about whether the financial statements and financial highlights are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements and financial highlights. The procedures selected depend on the auditors’ judgment, including the assessment of the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights 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 and financial highlights.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of December 31, 2019, and the results of their operations and the financial highlights for the year then ended in accordance with U.S. generally accepted accounting principles.

Boston, Massachusetts April 29, 2020

2

-WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX CORPORATE INDEX CIT

Statement of Assets and Liabilities December 31, 2019

Fair Cost value

Assets: Affiliated short term investment $ 24,240,726 $ 24,240,726 Unaffiliated investments 977,505,719 1,000,719,177 Cash 85 Accrued interest income 4,792,814 Receivable for investment securities sold 4,492,452 Fund shares sold 216,245

Total assets 1,034,461,499 Liabilities:

Payable for investment securities purchased 18,490,322 Fund shares repurchased 1,202,009 Accrued expenses 213

Total liabilities 19,692,544 Net assets $ 1,014,768,955

Shares Class Net Assets Outstanding Net Asset Value G $ 1,013,709,749 93,988,422 $ 10.79 TMR $ 1,059,206 96,754 $ 10.95

See accompanying notes to financial statements. 3


Statement of Operations Year ended December 31, 2019

Investment income: Interest income $ 20,930,086 Dividend income from affiliated short term investment 549,436

Total income 21,479,522 Expenses:

Program fees (TMR) 2,010 Total expenses 2,010 Net investment income (loss) 21,477,512

Realized and unrealized gain (loss) on investment transaction: Net realized gain (loss) on:

Investments 2,469,556 Net change in unrealized appreciation (depreciation) on:

Investments 32,023,178 Net gain (loss) on investment transactions 34,492,734 Net change in net assets resulting from operations $ 55,970,246



Statement of Changes in Net Assets Year ended December 31, 2019

Increase/(decrease) in net assets from operations: Net investment income (loss) $ 21,477,512 Net realized gain (loss) on investment transactions 2,469,556 Net change in unrealized appreciation (depreciation) of investments 32,023,178

Net increase (decrease) in net assets resulting from operations 55,970,246

Participating share holder transactions: Class G proceeds from issuance of shares (32,436,037 shares) 340,829,813 Class G payments for withdrawals (10,066,301 shares) (106,607,823)

Net change 234,221,990 Class TMR proceeds from issuance of shares (82,346 shares) 862,338 Class TMR payments for withdrawals (5,238 shares) (55,836)

Net change 806,502 Change in net assets derived from share transactions 235,028,492 Total increase (decrease) in net assets 290,998,738

Net assets: Beginning of year (71,618,686 Class G shares, 19,646 Class TMR shares) 723,770,217 End of year (93,988,422 Class G shares, 96,754 Class TMR shares) $ 1,014,768,955



Schedule of Investments

December 31, 2019

Par Interest Maturity Rating Fair Value Rate Date (Unaudited) Cost Value

____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds: 90.45% Federal Agencies: 38.36%

Federal Farm Credit Banks 220,000 1.77% 06/26/23 AA+ $ 219,330 $ 220,856 Federal Farm Credit Banks 397,000 1.68 01/05/22 AA+ 393,294 394,810 FHLB 1,520,000 2.50 02/13/24 AA+ 1,576,780 1,565,992 FHLB 390,000 3.00 09/11/26 AA+ 419,708 414,093 FHLB 400,000 2.38 03/14/25 AA+ 412,803 411,738 FHLB 50,000 1.88 09/11/26 AA+ 50,107 49,857 FHLB 110,000 3.25 06/09/28 AA+ 111,960 119,723 FHLB 200,000 2.38 09/10/21 AA+ 200,857 202,590 FHLB 580,000 2.25 01/29/21 AA+ 576,999 580,067 FHLB 300,000 1.88 12/09/22 AA+ 292,311 302,007 FHLB 420,000 2.88 06/14/24 AA+ 431,066 440,631 FHLB 360,000 1.38 02/18/21 AA+ 358,295 359,048 FHLB 400,000 1.88 11/29/21 AA+ 399,504 402,023 FHLB 30,000 2.00 09/09/22 AA+ 29,958 30,324 FHLB 80,000 5.50 07/15/36 AA+ 105,751 112,203 FHLMC 1,230,000 2.00 05/28/24 1,230,000 1,230,014 FHLMC 79,000 6.75 09/15/29 AA+ 105,553 110,583 FHLMC 795,000 1.33 12/30/20 AA+ 788,791 792,575 FHLMC POOL #QA5511 2,300,000 2.50 12/01/49 2,274,550 2,273,304 FHLMC POOL #SD0063 5,852,492 3.50 08/01/49 6,150,080 6,136,173 FHLMC POOL #SD8024 6,473,275 3.00 11/01/49 6,592,377 6,563,741 FHLMC POOL #ZS8087 1,386,536 2.50 04/01/33 1,374,481 1,401,645 FHLMC 219,000 2.38 01/13/22 AA+ 220,180 222,287 FHLMC 9,000 6.75 03/15/31 AA+ 12,083 13,022 FHLMC 227,000 6.25 07/15/32 AA+ 308,161 326,420 FHLMC POOl #SD8016 4,081,613 3.00 10/01/49 4,154,335 4,143,025 FHLMC POOL #G00818 2,776 7.50 11/01/27 2,923 3,126 FHLMC POOL #G00888 2,357 7.50 03/01/28 2,473 2,659 FHLMC POOL #G00539 485 8.00 09/01/26 497 542 FHLMC POOL #G01740 36,472 5.50 12/01/34 38,675 41,055 FHLMC POOL #G01749 848 5.50 01/01/35 901 955 FHLMC POOL #G01797 23,143 5.50 12/01/33 24,519 25,760 FHLMC POOL #G02478 4,973 5.50 12/01/36 5,298 5,594 FHLMC POOL #G02869 12,866 5.00 11/01/35 13,439 14,193 FHLMC POOL #G03075 3,475 5.50 07/01/37 3,724 3,908 FHLMC POOL #G04120 5,150 5.00 03/01/38 5,393 5,681 FHLMC POOL #G04173 8,822 6.50 12/01/37 9,193 9,903 FHLMC POOL #G04176 26,840 5.50 05/01/38 28,569 30,108 FHLMC POOL #G03351 4,628 6.00 09/01/37 4,976 5,306 FHLMC POOL #G03428 827 6.00 11/01/37 882 950 FHLMC POOL #G03504 1,638 6.00 11/01/37 1,743 1,881 FHLMC POOL #G03513 1,106 6.00 11/01/37 1,180 1,269 FHLMC POOL #G03550 46,376 6.00 11/01/37 49,625 53,237 FHLMC POOL #G03551 23,519 6.00 11/01/37 25,037 26,959 FHLMC POOL #G03616 22,790 6.00 12/01/37 24,203 26,157 FHLMC POOL #G03646 8,529 6.00 01/01/38 9,077 9,784 FHLMC POOL #G03660 16,626 6.00 12/01/37 17,572 19,055 FHLMC POOL #G04214 23,652 5.50 05/01/38 24,980 26,548 FHLMC POOL #G04448 29,810 5.50 07/01/38 31,483 33,398


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WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX CORPORATE INDEX CIT


December 31, 2019


Government/Agency Bonds (Continued) FHLMC POOL #G04579 11,665 6.50% 08/01/37 $ 12,248 $ 13,150 FHLMC POOL #G04607 1,149 6.00 09/01/38 1,233 1,317 FHLMC POOL #G04668 11,310 5.00 03/01/38 11,860 12,469 FHLMC POOL #G04688 1,201 5.50 09/01/38 1,280 1,348 FHLMC POOL #G04691 2,419 5.00 06/01/38 2,553 2,667 FHLMC POOL #G04765 35,465 6.00 09/01/38 38,025 40,710 FHLMC POOL #G04815 18,009 5.00 09/01/38 19,012 19,856 FHLMC POOL #G04817 27,973 5.00 09/01/38 29,544 30,843 FHLMC POOL #G05982 41,374 4.50 09/01/40 43,315 44,950 FHLMC POOL #G05228 697 6.00 01/01/39 744 799 FHLMC POOL #G05205 17,781 5.00 01/01/39 18,770 19,607 FHLMC POOL #G05342 23,333 5.00 01/01/39 24,644 25,727 FHLMC POOL #G05518 26,077 5.00 02/01/39 27,561 28,759 FHLMC POOL #G05521 1,459 5.50 05/01/37 1,549 1,638 FHLMC POOL #G05671 20,557 5.50 08/01/38 21,885 23,093 FHLMC POOL #G05707 11,332 5.50 10/01/39 11,842 12,711 FHLMC POOL #G05683 9,194 5.00 12/01/38 9,703 10,136 FHLMC POOL #G05695 41,052 4.50 11/01/39 42,927 44,580 FHLMC POOL #G05792 66,822 4.50 02/01/40 70,040 72,604 FHLMC POOL #G05831 17,975 6.50 04/01/39 18,948 20,209 FHLMC POOL #G06800 4,063 4.00 10/01/41 4,223 4,361 FHLMC POOL #G06892 3,536 4.00 01/01/42 3,669 3,783 FHLMC POOL #G06066 5,227 6.00 05/01/40 5,599 6,000 FHLMC POOL #G06087 13,466 5.00 09/01/40 14,211 14,846 FHLMC POOL #G06088 29,349 5.50 01/01/38 31,192 33,006 FHLMC POOL #G06358 44,944 4.00 04/01/41 46,907 48,222 FHLMC POOL #G06359 156,506 4.00 02/01/41 163,356 167,927 FHLMC POOL #G06562 78,133 5.00 05/01/41 82,461 86,254 FHLMC POOL #G07116 31,348 6.00 07/01/39 33,577 35,984 FHLMC POOL #G07387 374,090 4.00 04/01/42 389,340 401,454 FHLMC POOL #G07568 431,871 4.50 09/01/41 452,109 469,095 FHLMC POOL #G07551 597,097 3.00 10/01/43 599,606 614,701 FHLMC POOL #G13300 7,456 4.50 05/01/23 7,275 7,763 FHLMC POOL #G13375 19,106 4.50 11/01/23 18,708 19,868 FHLMC POOL #G13136 2,227 4.50 05/01/23 2,173 2,308 FHLMC POOL #G13201 15,133 4.50 07/01/23 14,812 15,741 FHLMC POOL #G13240 1,231 5.00 08/01/23 1,210 1,280 FHLMC POOL #G13650 928 4.50 09/01/24 926 968 FHLMC POOL #G14120 56,218 4.00 04/01/26 56,959 58,807 FHLMC POOL #G15167 139,060 3.50 08/01/29 141,918 144,762 FHLMC POOL #G15180 181,550 3.50 09/01/29 188,994 188,994 FHLMC POOL #G14453 52,868 4.00 06/01/26 52,968 55,165 FHLMC POOL #G14557 84,809 3.00 08/01/27 85,531 87,052 FHLMC POOL #G14658 51,853 3.00 05/01/27 52,301 53,224 FHLMC POOL #G14953 312,879 3.50 01/01/29 318,870 325,460 FHLMC POOL #G08771 2,132,890 4.00 07/01/47 2,212,439 2,244,254 FHLMC POOL #G08011 15,100 6.00 09/01/34 16,002 17,321 FHLMC POOL #G08086 3,032 5.50 10/01/35 3,229 3,412 FHLMC POOL #G08099 11,294 5.00 12/01/35 11,849 12,454 FHLMC POOL #G08109 3,030 4.50 11/01/35 3,136 3,286




December 31, 2019


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Government/Agency Bonds (Continued) FHLMC POOL #G08113 2,694 6.50% 02/01/36 $ 2,863 $ 3,071 FHLMC POOL #G08216 4,283 5.50 08/01/37 4,519 4,802 FHLMC POOL #G08269 715 5.50 05/01/38 760 802 FHLMC POOL #G08300 1,566 5.50 11/01/38 1,653 1,754 FHLMC POOL #G08344 4,185 4.50 05/01/39 4,379 4,546 FHLMC POOL #G08347 28,277 4.50 06/01/39 29,613 30,716 FHLMC POOL #G08368 68,407 4.50 10/01/39 71,670 74,279 FHLMC POOL #G08369 2,764 5.00 10/01/39 2,921 3,051 FHLMC POOL #G08463 38,793 4.00 10/01/41 40,315 41,615 FHLMC POOL #G08488 123,544 3.50 04/01/42 126,739 130,229 FHLMC POOL #G08490 76,882 4.50 04/01/42 80,161 83,459 FHLMC POOL #G08537 1,174,189 3.00 07/01/43 1,179,497 1,209,063 FHLMC POOL #G08566 626,901 3.50 01/01/44 642,674 658,775 FHLMC POOL #G08585 748,368 3.50 05/01/44 765,961 783,249 FHLMC POOL #G08588 383,973 4.00 05/01/44 397,997 407,018 FHLMC POOL #G08615 792,514 3.50 11/01/44 810,647 828,950 FHLMC POOL #G08665 460,595 4.50 08/01/45 472,683 495,336 FHLMC POOL #G08654 1,498,159 3.50 07/01/45 1,530,297 1,564,321 FHLMC POOL #G08658 632,554 3.00 08/01/45 633,634 647,811 FHLMC POOL #G08702 920,958 3.50 04/01/46 941,307 960,380 FHLMC POOL #G08693 1,381,725 3.50 03/01/46 1,411,808 1,442,685 FHLMC POOL #G08729 1,656,876 4.50 09/01/46 1,733,845 1,758,270 FHLMC POOL #G08721 1,158,759 3.00 09/01/46 1,160,985 1,188,345 FHLMC POOL #G08762 505,804 4.00 05/01/47 524,240 531,751 FHLMC POOL #G08750 1,236,390 3.00 03/01/47 1,238,160 1,264,920 FHLMC POOL #G08757 566,246 3.50 04/01/47 578,717 587,897 FHLMC POOL #G18103 346 4.00 12/01/20 307 361 FHLMC POOL #G18108 286 4.00 01/01/21 275 298 FHLMC POOL #G18409 61,823 3.00 11/01/26 62,342 63,458 FHLMC POOL #G18415 277,020 3.00 12/01/26 279,370 284,345 FHLMC POOL #G18396 3,792 3.50 07/01/26 3,839 3,931 FHLMC POOL #G18406 38,730 3.00 10/01/26 39,051 39,754 FHLMC POOL #G18483 73,673 2.50 09/01/28 74,074 74,650 FHLMC POOL #G18488 167,773 2.50 11/01/28 168,659 169,998 FHLMC POOL #G18518 364,979 3.00 07/01/29 369,687 375,872 FHLMC POOL #G18529 643,169 2.50 10/01/29 645,315 651,684 FHLMC POOL #G18604 237,346 2.50 06/01/31 238,020 240,494 FHLMC POOL #G18581 529,366 2.50 01/01/31 530,822 536,383 FHLMC POOL #C90993 30,356 5.50 10/01/26 31,252 32,659 FHLMC POOL #C91028 569 5.00 02/01/27 586 607 FHLMC POOL #C91065 21,751 6.00 07/01/27 22,570 23,963 FHLMC POOL #C91265 3,761 4.50 09/01/29 3,882 4,011 FHLMC POOL #J00848 242 4.00 01/01/21 229 252 FHLMC POOL #J00360 139 4.00 11/01/20 118 145 FHLMC POOL #J02497 55 4.50 09/01/20 50 57 FHLMC POOL #J02507 245 4.00 09/01/20 231 256 FHLMC POOL #J05829 96 4.00 01/01/21 83 100 FHLMC POOL #J09380 2,385 4.50 04/01/24 2,371 2,486 FHLMC POOL #J10247 7,530 4.50 06/01/24 7,533 7,773 FHLMC POOL #J11719 28,762 4.00 02/01/25 28,820 30,013




December 31, 2019


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Government/Agency Bonds (Continued) FHLMC POOL #J11728 22,464 4.00% 02/01/25 $ 22,463 $ 23,433 FHLMC POOL #J11209 19,969 4.00 11/01/24 19,921 20,828 FHLMC POOL #J11299 5,730 4.00 12/01/24 5,801 5,976 FHLMC POOL #J11431 1,850 4.00 01/01/25 1,838 1,929 FHLMC POOL #J11542 22,450 4.00 01/01/25 22,636 23,412 FHLMC POOL #J11924 359 4.00 03/01/20 180 374 FHLMC POOL #J12089 10,639 4.00 05/01/25 10,695 11,099 FHLMC POOL #J12250 17,171 4.00 06/01/25 17,321 17,918 FHLMC POOL #J12293 20,961 4.50 05/01/25 21,035 22,045 FHLMC POOL #J13273 4,284 3.50 10/01/25 4,321 4,440 FHLMC POOL #J13300 2,414 3.50 10/01/25 2,433 2,502 FHLMC POOL #J13433 6,173 3.50 11/01/25 6,164 6,399 FHLMC POOL #J13669 890 3.50 11/01/20 803 922 FHLMC POOL #J13918 8,586 3.50 12/01/25 8,652 8,899 FHLMC POOL #J13947 90,086 3.50 12/01/25 90,852 93,376 FHLMC POOL #J14193 546 3.50 01/01/21 486 566 FHLMC POOL #J15337 3,358 4.00 05/01/26 3,403 3,509 FHLMC POOL #J16192 1,745 3.50 08/01/26 1,761 1,809 FHLMC POOL #J15686 17,036 3.50 06/01/21 16,075 17,650 FHLMC POOL #J16040 9,800 3.50 07/01/26 9,892 10,158 FHLMC POOL #J16317 9,679 3.50 08/01/26 9,775 10,033 FHLMC POOL #J16501 1,239 3.50 09/01/21 1,158 1,284 FHLMC POOL #J17316 79,569 3.00 11/01/26 80,204 81,673 FHLMC POOL #J18741 118,826 3.00 05/01/27 119,872 121,971 FHLMC POOL #J19396 122,008 3.00 06/01/27 122,915 125,239 FHLMC POOL #A80845 10,008 5.50 08/01/38 10,636 11,214 FHLMC POOL #A80378 4,560 5.50 12/01/36 4,685 4,903 FHLMC POOL #A80659 48,955 5.00 02/01/37 51,356 53,943 FHLMC POOL #A80983 477 5.00 08/01/38 498 525 FHLMC POOL #A81618 445 6.00 09/01/38 473 510 FHLMC POOL #A81884 66 5.50 09/01/38 69 71 FHLMC POOL #A83575 27,588 5.00 12/01/38 28,960 30,338 FHLMC POOL #A82762 1,183 5.00 11/01/38 1,241 1,303 FHLMC POOL #A82925 252 5.00 11/01/38 264 269 FHLMC POOL #A83350 39,001 5.50 12/01/38 41,215 43,657 FHLMC POOL #A83406 416 5.50 12/01/38 437 447 FHLMC POOL #C00875 369 7.50 10/01/29 392 422 FHLMC POOL #C00193 334 7.50 12/01/22 320 352 FHLMC POOL #C00555 1,504 7.50 10/01/27 1,600 1,719 FHLMC POOL #C00701 801 6.50 01/01/29 824 889 FHLMC POOL #C00689 191 6.50 12/01/28 198 212 FHLMC POOL #C00756 216 7.00 04/01/29 224 245 FHLMC POOL #C01222 213 7.00 09/01/31 229 245 FHLMC POOL #C01622 3,063 5.00 09/01/33 3,206 3,378 FHLMC POOL #C01839 7,154 5.00 05/01/34 7,507 7,894 FHLMC POOL #C01846 7,495 5.00 06/01/34 7,835 8,270 FHLMC POOL #C01848 927 6.00 06/01/34 983 1,064 FHLMC POOL #C03565 49,612 4.00 12/01/40 51,534 53,225 FHLMC POOL #C03325 34,118 6.00 02/01/39 35,934 39,028 FHLMC POOL #C03461 38,041 4.00 02/01/40 39,422 40,823




December 31, 2019


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Government/Agency Bonds (Continued) FHLMC POOL #C03633 708,782 4.00% 12/01/40 $ 734,921 $ 760,587 FHLMC POOL #C03759 192,323 3.50 02/01/42 197,207 202,744 FHLMC POOL #C03831 84,581 4.50 03/01/42 88,153 91,900 FHLMC POOL #C04061 828,269 4.00 06/01/42 861,253 888,310 FHLMC POOL #A83760 636 5.50 01/01/39 668 685 FHLMC POOL #A83738 798 5.50 12/01/38 834 858 FHLMC POOL #A84128 26,214 5.50 01/01/39 27,741 29,337 FHLMC POOL #A85349 9,108 4.50 03/01/39 9,489 9,888 FHLMC POOL #G00911 559 7.00 02/01/27 567 598 FHLMC POOL #G00924 1,601 8.00 03/01/28 1,660 1,813 FHLMC POOL #G01188 513 7.50 04/01/27 505 537 FHLMC POOL #G01158 457 7.50 01/01/31 493 534 FHLMC POOL #G01323 206 7.00 09/01/31 221 236 FHLMC POOL #G11650 16 5.00 02/01/20 16 17 FHLMC POOL #C61510 169 8.00 12/01/31 178 192 FHLMC POOL #C65062 112 6.50 03/01/32 108 125 FHLMC POOL #C66626 60 7.00 04/01/32 55 61 FHLMC POOL #C68001 192 7.00 06/01/32 201 214 FHLMC POOL #C68094 290 7.00 06/01/32 293 297 FHLMC POOL #C69596 386 6.50 08/01/32 405 438 FHLMC POOL #C69600 1,038 6.50 08/01/32 1,087 1,153 FHLMC POOL #C69682 671 6.50 08/01/32 702 745 FHLMC POOL #C69903 223 6.50 08/01/32 234 248 FHLMC POOL #C70139 333 6.50 08/01/32 349 370 FHLMC POOL #C70466 288 6.50 09/01/32 300 320 FHLMC POOL #C72255 114 6.50 07/01/32 120 127 FHLMC POOL #C73496 394 6.00 11/01/32 416 451 FHLMC POOL #C73627 1,224 6.00 11/01/32 1,269 1,396 FHLMC POOL #A40375 34,525 5.00 12/01/35 36,049 38,060 FHLMC POOL #A40465 1,653 5.00 12/01/35 1,725 1,784 FHLMC POOL #A40588 5,854 5.50 12/01/35 6,086 6,388 FHLMC POOL #A40728 661 4.50 12/01/35 684 695 FHLMC POOL #A42492 2,064 6.50 02/01/36 2,113 2,298 FHLMC POOL #A44406 562 5.50 04/01/36 596 632 FHLMC POOL #A43991 76,290 5.00 03/01/36 79,333 81,684 FHLMC POOL #A44072 1,165 6.00 04/01/36 1,222 1,335 FHLMC POOL #A47152 11,732 5.50 10/01/35 12,295 12,619 FHLMC POOL #A47403 6,585 5.00 10/01/35 6,893 7,257 FHLMC POOL #A48671 20,583 6.00 05/01/36 21,714 22,886 FHLMC POOL #A48838 2,556 5.50 05/01/36 2,671 2,750 FHLMC POOL #A56498 3,068 6.00 01/01/37 3,209 3,472 FHLMC POOL #A56988 5,578 5.50 02/01/37 5,867 6,092 FHLMC POOL #A57273 3,933 5.50 01/01/37 4,119 4,232 FHLMC POOL #A57561 303 5.50 02/01/37 317 330 FHLMC POOL #A57608 1,945 5.50 02/01/37 2,042 2,097 FHLMC POOL #A59320 3,944 5.50 04/01/37 4,210 4,308 FHLMC POOL #A59751 300 5.50 04/01/37 316 323 FHLMC POOL #A60787 2,816 5.50 05/01/37 2,963 3,059 FHLMC POOL #A61717 851 5.50 05/01/37 850 916 FHLMC POOL #A61720 1,521 5.50 05/01/37 1,604 1,636


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December 31, 2019


Government/Agency Bonds (Continued) FHLMC POOL #A61722 1,078 5.50% 05/01/37 $ 1,132 $ 1,160 FHLMC POOL #A61789 3,070 5.50 05/01/37 3,222 3,338 FHLMC POOL #A61797 12,694 5.50 06/01/37 13,699 14,345 FHLMC POOL #A62650 2,322 5.50 06/01/37 2,433 2,498 FHLMC POOL #A61823 5,416 5.50 06/01/37 5,733 5,960 FHLMC POOL #A62005 5,159 5.50 06/01/37 5,469 5,678 FHLMC POOL #A65518 402 6.00 09/01/37 420 460 FHLMC POOL #A66380 1,096 6.00 09/01/37 1,169 1,254 FHLMC POOL #A66740 29,296 6.50 10/01/37 30,988 32,542 FHLMC POOL #A67449 8,311 6.00 11/01/37 8,699 9,336 FHLMC POOL #A68998 320 6.00 11/01/37 337 366 FHLMC POOL #A68439 12,293 5.50 11/01/37 12,914 13,231 FHLMC POOL #A68579 1,616 6.00 11/01/37 1,595 1,784 FHLMC POOL #A69830 3,070 6.00 12/01/37 3,147 3,450 FHLMC POOL #A69531 1,181 5.00 12/01/37 1,231 1,262 FHLMC POOL #A72300 265 6.00 01/01/38 280 297 FHLMC POOL #A73519 323 5.00 03/01/38 339 355 FHLMC POOL #A73116 36,990 6.50 02/01/38 38,938 41,089 FHLMC POOL #A73703 2,629 5.00 03/01/38 2,752 2,893 FHLMC POOL #A73705 218 5.00 03/01/38 225 238 FHLMC POOL #A73872 1,079 5.00 03/01/38 1,129 1,188 FHLMC POOL #A74198 525 5.00 02/01/38 551 578 FHLMC POOL #A75744 32,577 4.50 04/01/38 33,839 35,294 FHLMC POOL #A76046 183,402 5.50 04/01/38 194,607 205,868 FHLMC POOL #A76335 2,010 5.00 04/01/38 2,109 2,213 FHLMC POOL #A76409 7,207 5.00 04/01/38 7,540 7,697 FHLMC POOL #A76485 819 5.00 04/01/38 859 902 FHLMC POOL #A76528 1,268 6.50 05/01/38 1,210 1,409 FHLMC POOL #A77344 4,108 5.00 05/01/38 4,272 4,483 FHLMC POOL #A77463 262 5.00 05/01/38 274 288 FHLMC POOL #A77472 885 5.00 06/01/38 931 974 FHLMC POOL #A77796 19,123 5.50 05/01/38 20,204 21,447 FHLMC POOL #A78602 2,073 6.00 06/01/38 2,193 2,294 FHLMC POOL #A78831 31,296 5.00 06/01/38 32,555 34,299 FHLMC POOL #A79846 578 6.00 07/01/38 612 642 FHLMC POOL #A79427 1,851 6.00 07/01/38 1,962 2,039 FHLMC POOL #G01842 4,842 4.50 06/01/35 5,061 5,259 FHLMC POOL #G01854 42,923 5.50 06/01/35 45,623 48,332 FHLMC POOL #G01910 13,918 5.00 10/01/35 14,647 15,356 FHLMC POOL #G02072 3,045 5.50 03/01/36 3,243 3,427 FHLMC POOL #G02261 9,355 5.50 12/01/35 9,965 10,527 FHLMC POOL #G02386 12,740 6.00 11/01/36 13,531 14,597 FHLMC POOL #G03238 598 6.00 08/01/37 636 685 FHLMC POOL #G03295 6,673 6.50 07/01/37 7,063 7,595 FHLMC POOL #G02408 5,582 5.50 12/01/36 5,933 6,278 FHLMC POOL #G02422 15,552 6.00 12/01/36 16,592 17,846 FHLMC POOL #A27022 49 5.50 12/01/31 47 53 FHLMC POOL #A27507 4,815 6.00 10/01/34 4,980 5,360 FHLMC POOL #A27704 1,016 6.00 10/01/34 1,059 1,119 FHLMC POOL #A27872 1,858 6.00 10/01/34 1,955 2,050




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) FHLMC POOL #A29692 724 5.50% 01/01/35 $ 739 $ 779 FHLMC POOL #A31511 2,260 5.50 02/01/35 2,362 2,483 FHLMC POOL #A32759 642 4.50 05/01/35 652 677 FHLMC POOL #A34054 2,077 6.00 04/01/35 2,182 2,292 FHLMC POOL #A36418 1,618 5.00 08/01/35 1,692 1,784 FHLMC POOL #A37002 4,317 5.00 09/01/35 4,508 4,759 FHLMC POOL #A37317 2,839 5.00 09/01/35 2,925 3,129 FHLMC POOL #A37713 10,562 5.00 09/01/35 10,986 11,641 FHLMC POOL #A37846 13,322 5.00 09/01/35 13,890 14,681 FHLMC POOL #A38962 3,378 5.50 10/01/34 3,518 3,798 FHLMC POOL #A39083 2,844 5.50 10/01/35 2,978 3,062 FHLMC POOL #A39197 666 5.00 11/01/35 688 733 FHLMC POOL #A39433 9,069 5.00 11/01/35 9,389 9,973 FHLMC POOL #A39646 707 4.50 11/01/35 734 766 FHLMC POOL #C53365 1,080 6.50 06/01/31 1,128 1,200 FHLMC POOL #C53851 714 6.50 02/01/29 741 793 FHLMC POOL #C57177 406 6.50 09/01/31 423 452 FHLMC POOL #J24339 184,732 2.50 06/01/28 185,695 187,345 FHLMC POOL #J25699 436,418 2.50 09/01/28 438,816 442,204 FHLMC POOL #Q01129 12,115 4.50 04/01/41 12,467 12,844 FHLMC POOL #Q01402 28,060 4.50 06/01/41 29,263 30,489 FHLMC POOL #Q02009 41,221 4.50 07/01/41 42,406 44,792 FHLMC POOL #Q02849 15,248 4.50 08/01/41 15,957 16,568 FHLMC POOL #Q03580 10,269 4.50 09/01/41 10,660 11,158 FHLMC POOL #Q04674 586,730 4.00 12/01/41 609,250 628,960 FHLMC POOL #Q04244 66,119 4.00 11/01/41 68,497 70,962 FHLMC POOL #Q05926 4,676 4.00 02/01/42 4,854 5,011 FHLMC POOL #Q08641 291,239 3.50 06/01/42 298,538 307,021 FHLMC POOL #Q07896 176,176 3.50 05/01/42 180,635 185,723 FHLMC POOL #Q08768 60,526 4.50 06/01/42 63,013 64,619 FHLMC POOL #Q10899 273,017 3.50 09/01/42 278,492 284,863 FHLMC POOL #Q12052 423,109 3.50 10/01/42 434,146 445,992 FHLMC POOL #Q12303 504,190 3.00 11/01/42 506,746 519,268 FHLMC POOL #Q13743 1,163,952 3.00 11/01/42 1,169,969 1,199,098 FHLMC POOL #Q17674 788,091 3.00 04/01/43 791,963 811,866 FHLMC POOL #Q19982 227,952 3.50 07/01/43 233,606 240,165 FHLMC POOL #Q20542 868,166 3.00 07/01/43 872,136 893,639 FHLMC POOL #Q20570 944,282 3.50 08/01/43 966,288 993,507 FHLMC POOL #V60494 331,702 3.00 02/01/29 336,027 342,233 FHLMC POOL #Q26319 831,081 4.00 05/01/44 861,559 880,678 FHLMC POOL #Q45094 2,477,873 3.00 12/01/46 2,482,480 2,537,008 FHLMC POOL #Q50962 1,309,968 3.50 09/01/47 1,338,306 1,360,300 FHLMC POOL #G60176 477,603 3.50 07/01/45 488,998 503,232 FHLMC POOL #G60358 571,391 3.50 12/01/45 585,376 602,042 FHLMC POOL #C90833 2,695 6.00 03/01/24 2,615 2,966 FHLMC POOL #C90676 904 5.50 05/01/23 880 972 FHLMC POOL #G11879 72 5.00 10/01/20 62 74 FHLMC POOL #A84694 1,201 4.50 02/01/39 1,241 1,303 FHLMC POOL #A84814 95,268 4.50 03/01/39 98,515 101,809 FHLMC POOL #A85244 54,715 6.50 03/01/39 57,711 60,778


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____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



December 31, 2019


Government/Agency Bonds (Continued) FHLMC POOL #A85495 13,667 4.50% 04/01/39 $ 14,196 $ 14,535 FHLMC POOL #A85718 11,763 4.00 04/01/39 12,264 12,672 FHLMC POOL #A86044 2,644 5.00 05/01/39 2,736 2,918 FHLMC POOL #A86802 35,000 4.00 06/01/39 36,123 37,544 FHLMC POOL #A86830 47,984 4.50 06/01/39 50,030 52,111 FHLMC POOL #A86876 2,466 5.00 06/01/39 2,611 2,719 FHLMC POOL #A86951 42,975 4.50 06/01/39 44,889 46,690 FHLMC POOL #A87997 39,175 5.00 08/01/39 40,883 42,379 FHLMC POOL #A88027 1,972 5.00 08/01/39 2,081 2,176 FHLMC POOL #A87339 2,312 5.00 07/01/39 2,432 2,552 FHLMC POOL #A89031 16,522 4.00 09/01/39 17,136 17,723 FHLMC POOL #A89760 8,186 4.50 12/01/39 8,553 8,888 FHLMC POOL #A90316 2,397 4.50 12/01/39 2,509 2,604 FHLMC POOL #A90319 51,679 5.00 12/01/39 54,923 57,046 FHLMC POOL #A90563 19,166 5.00 01/01/40 20,168 20,740 FHLMC POOL #A91160 201,510 4.50 02/01/40 211,799 218,896 FHLMC POOL #C15744 1,687 8.50 11/01/26 1,716 1,865 FHLMC POOL #C25414 117 6.50 04/01/29 121 130 FHLMC POOL #C27803 120 6.00 06/01/29 119 132 FHLMC POOL #A91808 37,287 4.50 04/01/40 38,671 40,516 FHLMC POOL #A92240 18,763 4.50 05/01/40 19,606 20,386 FHLMC POOL #A92271 7,860 5.00 05/01/40 8,164 8,679 FHLMC POOL #A92506 72,252 5.00 06/01/40 75,843 79,747 FHLMC POOL #A93099 27,632 5.00 07/01/40 29,263 30,085 FHLMC POOL #A93643 92,619 4.00 09/01/40 95,557 99,370 FHLMC POOL #A93700 29,543 4.50 09/01/40 31,161 32,163 FHLMC POOL #A93854 62,894 4.50 09/01/40 65,721 68,321 FHLMC POOL #A93948 51,108 4.50 09/01/40 53,205 55,525 FHLMC POOL #A94175 32,421 4.00 10/01/40 33,718 34,789 FHLMC POOL #A94184 6,154 4.00 10/01/40 6,350 6,602 FHLMC POOL #A94326 41,628 3.50 10/01/40 42,670 43,875 FHLMC POOL #A94704 54,819 4.00 11/01/40 56,999 58,812 FHLMC POOL #A94713 131,801 4.00 11/01/40 136,806 141,401 FHLMC POOL #A95113 88,131 4.00 11/01/40 91,426 93,929 FHLMC POOL #A96174 388,348 4.00 01/01/41 402,735 416,679 FHLMC POOL #A95407 124,282 4.00 12/01/40 128,992 133,358 FHLMC POOL #A96563 161,575 4.00 01/01/41 167,222 173,366 FHLMC POOL #A97571 12,067 5.00 03/01/41 12,616 12,908 FHLMC POOL #A97601 46,339 4.50 03/01/41 48,991 51,406 FHLMC POOL #E02697 23,231 4.00 06/01/25 23,434 24,244 FHLMC POOL #E02790 44,818 3.50 10/01/25 45,134 46,450 FHLMC POOL #E02866 4,664 4.00 04/01/26 4,711 4,878 FHLMC POOL #E02930 20,323 3.50 07/01/26 20,511 21,067 FHLMC POOL #E03077 28,612 3.00 03/01/27 28,859 29,368 FHLMC POOL #E03091 104,122 3.00 04/01/27 104,965 107,226 FHLMC POOL #E09013 75,720 3.00 10/01/27 76,196 77,722 FHLMC POOL #E09034 22,965 3.00 06/01/28 23,220 23,651 FHLMC POOL #A01788 1 9.00 02/01/20 1 1 FHLMC POOL #A10107 2,905 5.50 06/01/33 3,023 3,156 FHLMC POOL #A13738 28,507 5.00 09/01/33 30,076 31,434




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) FHLMC POOL #A13739 12,294 5.00% 09/01/33 $ 12,777 $ 13,524 FHLMC POOL #A13829 6,531 5.00 09/01/33 6,829 7,160 FHLMC POOL #A13995 2,508 6.00 10/01/33 2,643 2,789 FHLMC POOL #A14165 13,271 5.00 10/01/33 13,905 14,737 FHLMC POOL #A14339 1,272 5.50 10/01/33 1,329 1,369 FHLMC POOL #A15120 2,075 5.50 10/01/33 2,110 2,236 FHLMC POOL #A15851 19,140 5.50 12/01/33 20,235 21,554 FHLMC POOL #A16517 1,449 5.00 12/01/33 1,495 1,564 FHLMC POOL #A16524 3,728 7.00 12/01/33 3,893 4,281 FHLMC POOL #A16527 2,509 6.00 11/01/33 2,638 2,775 FHLMC POOL #A16622 6,949 5.00 12/01/33 7,297 7,652 FHLMC POOL #A16674 6,275 5.00 12/01/33 6,596 6,887 FHLMC POOL #A16675 4,359 5.00 12/01/33 4,585 4,700 FHLMC POOL #A17501 7,379 7.00 01/01/34 7,710 8,472 FHLMC POOL #A20041 2,248 5.00 03/01/34 2,332 2,478 FHLMC POOL #A20113 143 6.50 10/01/31 117 159 FHLMC POOL #A20559 1,611 5.50 04/01/34 1,688 1,811 FHLMC POOL #A21666 1,439 5.00 05/01/34 1,496 1,587 FHLMC POOL #A21808 583 5.00 05/01/34 606 623 FHLMC POOL #A21904 6,345 5.50 05/01/34 6,709 7,018 FHLMC POOL #A22207 7,085 5.00 05/01/34 7,421 7,816 FHLMC POOL #B18180 50 5.00 04/01/20 43 52 FHLMC POOL #A23571 4,195 5.00 06/01/34 4,360 4,483 FHLMC POOL #A23121 1,051 5.00 05/01/34 1,092 1,123 FHLMC POOL #A23131 1,911 5.00 06/01/34 1,993 2,108 FHLMC POOL #A23132 1,950 5.00 06/01/34 2,031 2,150 FHLMC POOL #A23137 8,112 5.00 06/01/34 8,470 8,944 FHLMC POOL #A23139 1,476 5.00 06/01/34 1,538 1,626 FHLMC POOL #A23164 3,203 5.00 06/01/34 3,346 3,494 FHLMC POOL #A23165 1,945 5.00 06/01/34 2,035 2,136 FHLMC POOL #A23432 1,108 5.00 06/01/34 1,157 1,184 FHLMC POOL #A23820 1,504 5.00 06/01/34 1,548 1,611 FHLMC POOL #A24995 1,464 6.00 07/01/34 1,548 1,620 FHLMC POOL #A26403 3,206 5.50 09/01/34 3,338 3,491 FNMA POOL #CA1389 3,435,116 4.50 03/01/48 3,640,010 3,627,912 FNMA 40,000 2.50 04/13/21 AA+ 40,454 40,445 FNMA 110,000 2.88 09/12/23 AA+ 114,995 114,741 FNMA 60,000 1.63 10/15/24 AA+ 59,724 59,656 FNMA 564,347 3.27 01/25/39 594,291 582,432 FNMA 310,000 2.00 10/05/22 AA+ 305,790 313,164 FNMA 560,000 2.63 01/11/22 AA+ 565,834 571,104 FNMA 20,000 2.50 02/05/24 AA+ 19,941 20,602 FNMA 900,000 2.25 04/12/22 AA+ 909,062 913,054 FNMA 500,000 2.47 04/25/26 503,357 501,798 FNMA(1) 140,000 3.18 04/25/29 136,412 147,148 FNMA 225,000 2.98 08/25/29 220,673 233,929 FNMA(1) 1,616,548 2.99 02/25/30 1,681,988 1,684,012 FNMA(1) 78,203 3.19 07/25/23 77,869 80,495 FNMA(1) 210,000 3.70 09/25/30 208,550 229,625 FNMA 119,000 6.25 05/15/29 AA+ 153,288 160,720




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) FNMA 119,000 7.13% 01/15/30 AA+ $ 163,893 $ 172,080 FNMA 176,000 7.25 05/15/30 AA+ 242,012 258,510 FNMA 175,000 6.63 11/15/30 AA+ 237,742 249,102 FNMA 397,000 1.38 02/26/21 AA+ 394,829 395,928 FNMA 533,000 2.13 04/24/26 AA+ 520,120 540,499 FNMA 238,000 1.88 09/24/26 AA+ 228,280 237,308 FNMA 117,000 2.00 01/05/22 AA+ 116,999 117,889 FNMA 120,000 1.88 04/05/22 AA+ 119,234 120,719 FNMA(1) 123,897 3.48 01/25/24 129,166 129,522 FNMA(1) 310,000 3.09 04/25/27 313,638 322,857 FNMA(1) 655,000 2.96 02/25/27 662,493 679,417 FNMA POOL #CA3868 4,359,020 4.00 07/01/49 4,614,428 4,624,930 FNMA POOL #MA3800 3,283,230 3.00 10/01/39 3,352,822 3,359,366 FNMA POOL #MA3865 3,446,569 3.00 12/01/34 3,532,429 3,538,823 FNMA POOL #MA3873 5,105,943 4.00 12/01/49 5,330,542 5,320,623 FNMA POOL #AS7234 9,735,064 3.00 05/01/46 9,879,410 9,963,933 FNMA POOL #AU3353 5,870,488 3.00 08/01/43 6,038,435 6,039,653 FNMA POOL #BC1515 3,770,044 3.50 08/01/46 3,932,801 3,923,565 FNMA POOL #BK4764 684,967 4.00 08/01/48 698,203 713,346 FNMA POOL #BM3627 9,420,795 3.00 11/01/46 9,697,998 9,694,805 FNMA POOL #BM5446 501,851 3.50 02/01/49 501,675 516,164 FNMA POOL #BN0877 2,111,108 4.50 11/01/48 2,194,778 2,221,137 FNMA POOL #BN4805 2,859,699 3.50 02/01/49 2,866,917 2,942,015 FNMA POOL #CA2653 987,650 5.00 08/01/48 1,035,788 1,055,156 FNMA POOL #FM1077 4,182,393 3.50 04/01/34 4,317,511 4,336,544 FNMA POOL #MA3495 1,988,634 4.00 10/01/48 2,030,260 2,070,507 FNMA POOL #MA3496 960,139 4.50 10/01/48 994,466 1,013,680 FNMA POOL #MA3592 1,930,554 4.00 02/01/49 1,982,065 2,005,319 FNMA POOL #MA3686 4,144,441 3.50 06/01/49 4,193,779 4,257,797 FNMA POOL #FM1155 1,735,295 2.50 06/01/32 1,759,424 1,757,362 FNMA POOL #MA3664 3,550,188 4.00 05/01/49 3,678,575 3,688,247 FNMA POOL #MA3803 1,701,221 3.50 10/01/49 1,749,878 1,749,980 FNMA POOL #MA3522 6,025,984 4.50 11/01/48 6,240,685 6,356,477 FNMA POOL #MA3537 2,246,563 4.50 12/01/48 2,337,669 2,363,515 FNMA POOL #MA3745 12,878,793 3.50 08/01/49 13,167,467 13,236,156 FNMA POOL #878187 1,897 6.50 08/01/36 2,022 2,149 FNMA POOL #880182 1,917 5.50 01/01/36 2,040 2,156 FNMA POOL #880627 12,256 5.50 04/01/36 13,004 13,760 FNMA POOL #BA3989 806,994 3.50 02/01/46 823,797 842,039 FNMA POOL #BC0769 1,461,699 4.00 12/01/45 1,511,176 1,548,568 FNMA POOL #BC1158 984,437 3.50 02/01/46 1,005,326 1,028,642 FNMA POOL #BD7081 1,600,816 4.00 03/01/47 1,658,634 1,684,484 FNMA POOL #BM1164 2,095,512 3.50 12/01/45 2,139,874 2,185,674 FNMA POOL #886958 3,413 6.00 06/01/36 3,647 3,903 FNMA POOL #888336 41,794 5.00 07/01/36 44,097 46,079 FNMA POOL #888343 74,592 5.00 11/01/35 79,099 82,258 FNMA POOL #888016 803 5.50 05/01/36 854 900 FNMA POOL #888095 11,041 5.50 12/01/35 11,794 12,426 FNMA POOL #888486 372 6.50 07/01/37 398 418 FNMA POOL #888653 3 4.50 07/01/20 3 3




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) FNMA POOL #888645 1,170 5.00% 08/01/37 $ 1,231 $ 1,286 FNMA POOL #888795 1,402 5.50 11/01/36 1,497 1,578 FNMA POOL #889139 2,775 5.50 03/01/37 2,963 3,123 FNMA POOL #890169 11,224 5.00 03/01/24 11,023 11,642 FNMA POOL #890176 2 5.00 08/01/20 2 2 FNMA POOL #889427 12,829 6.00 03/01/38 13,789 14,748 FNMA POOL #889753 75,669 4.50 06/01/38 78,899 82,132 FNMA POOL #889982 30,230 5.50 11/01/38 32,283 33,925 FNMA POOL #890305 3,286 4.50 05/01/25 3,275 3,425 FNMA POOL #891435 1,955 5.50 03/01/36 2,076 2,197 FNMA POOL #893353 5,160 6.00 09/01/36 5,518 5,910 FNMA POOL #894311 6,716 5.50 11/01/36 7,108 7,527 FNMA POOL #896527 646 6.50 08/01/36 688 717 FNMA POOL #897130 5,459 6.50 09/01/36 5,832 6,120 FNMA POOL #897794 713 6.50 09/01/36 748 809 FNMA POOL #898126 266 6.50 09/01/36 278 296 FNMA POOL #898818 22,852 6.00 11/01/36 24,124 26,139 FNMA POOL #898913 2,579 5.50 11/01/21 2,455 2,629 FNMA POOL #899892 6,508 6.00 11/01/36 6,746 7,434 FNMA POOL #902516 28,212 5.50 11/01/36 29,812 31,613 FNMA POOL #903677 918 6.50 10/01/36 998 1,056 FNMA POOL #904601 20,800 6.00 11/01/36 22,090 23,834 FNMA POOL #906305 672 5.50 01/01/22 608 682 FNMA POOL #905590 292 6.50 12/01/36 301 325 FNMA POOL #905673 627 5.50 12/01/36 660 704 FNMA POOL #908789 437 6.00 02/01/37 459 500 FNMA POOL #910913 437 6.50 02/01/37 462 485 FNMA POOL #913927 551 6.50 02/01/37 565 621 FNMA POOL #914577 622 6.50 04/01/37 662 694 FNMA POOL #916304 728 6.50 04/01/37 746 808 FNMA POOL #919540 80 5.50 06/01/22 80 80 FNMA POOL #928379 4,450 5.50 06/01/37 4,672 4,998 FNMA POOL #929674 38,499 5.00 06/01/23 37,847 39,915 FNMA POOL #929195 53,792 6.50 03/01/38 58,024 61,813 FNMA POOL #930627 3,870 4.00 02/01/24 3,865 4,036 FNMA POOL #930631 3,258 4.50 03/01/39 3,395 3,531 FNMA POOL #930667 618 4.50 03/01/24 614 643 FNMA POOL #929953 20,245 5.50 09/01/38 21,378 22,702 FNMA POOL #930327 1,320 6.50 12/01/38 1,398 1,465 FNMA POOL #930851 580 4.00 04/01/24 575 604 FNMA POOL #930924 26,520 4.50 04/01/39 27,744 28,743 FNMA POOL #930913 114,483 4.00 04/01/39 119,534 123,314 FNMA POOL #930982 383,314 4.50 04/01/39 400,435 415,711 FNMA POOL #931149 517,253 5.00 05/01/39 547,233 569,871 FNMA POOL #931409 13,052 4.00 06/01/24 13,045 13,614 FNMA POOL #932385 78,716 4.50 01/01/40 83,230 86,844 FNMA POOL #932491 43,482 4.50 02/01/40 45,776 47,493 FNMA POOL #931743 43,854 4.50 08/01/24 43,852 45,667 FNMA POOL #932557 996 4.00 02/01/25 998 1,039 FNMA POOL #933883 2,210 4.50 04/01/23 2,168 2,303


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December 31, 2019


Government/Agency Bonds (Continued) FNMA POOL #933731 22,817 5.50% 04/01/38 $ 24,171 $ 25,574 FNMA POOL #934259 977 4.50 01/01/39 1,022 1,057 FNMA POOL #934852 453 4.00 05/01/24 449 473 FNMA POOL #936794 520 5.50 06/01/37 549 559 FNMA POOL #939959 644 7.00 06/01/37 670 722 FNMA POOL #940734 2,810 7.00 10/01/37 2,931 3,173 FNMA POOL #943465 3,355 6.50 08/01/37 3,549 3,730 FNMA POOL #943625 631 6.50 09/01/37 669 700 FNMA POOL #944511 537 6.50 07/01/37 568 596 FNMA POOL #944728 945 6.00 07/01/37 991 1,078 FNMA POOL #944980 167 5.50 07/01/22 162 171 FNMA POOL #948292 7,319 5.50 08/01/37 7,744 8,195 FNMA POOL #948146 49,686 5.50 11/01/37 52,180 55,666 FNMA POOL #949008 611 7.00 08/01/37 653 701 FNMA POOL #952010 1,715 6.00 12/01/37 1,796 1,963 FNMA POOL #952425 30 7.00 09/01/37 31 30 FNMA POOL #955429 1,078 6.00 12/01/37 1,103 1,194 FNMA POOL #954864 877 6.00 11/01/37 939 995 FNMA POOL #955713 2,106 6.00 11/01/37 2,210 2,410 FNMA POOL #956941 2,980 6.00 12/01/37 3,191 3,409 FNMA POOL #959596 727 6.00 11/01/37 783 831 FNMA POOL #963318 4,094 5.00 05/01/23 4,023 4,248 FNMA POOL #966202 2,094 6.00 12/01/37 2,218 2,395 FNMA POOL #MA3217 4,340,932 2.50 12/01/32 4,153,675 4,388,245 FNMA POOL #MA3444 67,426 4.50 08/01/48 69,846 71,150 FNMA POOL #AC7292 6,276 4.50 12/01/39 6,575 6,808 FNMA POOL #AC7962 17,331 4.50 01/01/25 17,345 18,158 FNMA POOL #AC8563 59,696 4.00 01/01/40 62,074 64,013 FNMA POOL #MA0186 29,723 4.00 09/01/39 30,895 31,857 FNMA POOL #MA0298 7 4.00 01/01/20 13 7 FNMA POOL #MA0380 76 4.00 04/01/20 47 79 FNMA POOL #MA0561 110,138 4.00 11/01/40 114,481 118,095 FNMA POOL #MA0583 746,782 4.00 12/01/40 775,373 800,721 FNMA POOL #MA0613 5,277 4.00 11/01/20 4,679 5,501 FNMA POOL #MA0702 15,466 3.00 04/01/21 14,748 15,842 FNMA POOL #MA0678 3,624 4.00 03/01/26 3,644 3,785 FNMA POOL #MA0739 849 3.00 05/01/21 816 870 FNMA POOL #MA1028 18,737 4.00 04/01/42 19,484 20,054 FNMA POOL #MA1103 37,204 3.50 07/01/42 38,143 39,193 FNMA POOL #MA1208 246,282 3.00 10/01/42 247,375 253,605 FNMA POOL #MA1466 199,473 3.50 06/01/43 203,905 209,951 FNMA POOL #MA2608 1,501,900 3.00 05/01/46 1,502,815 1,537,181 FNMA POOL #MA2136 1,458,134 3.50 01/01/45 1,489,201 1,529,512 FNMA POOL #MA2473 699,342 3.50 12/01/35 713,543 728,849 FNMA POOL #MA2522 1,143,090 3.50 02/01/46 1,167,394 1,192,678 FNMA POOL #MA2550 452,062 3.00 03/01/36 457,420 463,751 FNMA POOL #MA2833 1,079,563 3.00 12/01/46 1,080,229 1,104,981 FNMA POOL #MA2863 1,937,844 3.00 01/01/47 1,939,021 1,981,694 FNMA POOL #MA2903 1,489,055 3.00 02/01/32 1,511,381 1,529,918 FNMA POOL #MA2909 3,139,178 3.50 02/01/37 3,204,851 3,262,780


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December 31, 2019


Government/Agency Bonds (Continued) FNMA POOL #MA2930 1,871,084 4.00% 03/01/47 $ 1,941,412 $ 1,968,909 FNMA POOL #MA2974 402,351 4.50 04/01/47 422,256 425,115 FNMA POOL #MA3090 378,702 3.00 08/01/32 384,599 388,620 FNMA POOL #MA3143 1,192,318 3.00 09/01/47 1,193,098 1,216,672 FNMA POOL #MA3121 1,551,162 4.00 09/01/47 1,609,743 1,629,440 FNMA POOL #AD1612 1,374 4.50 02/01/25 1,369 1,432 FNMA POOL #AD1613 4,982 4.50 02/01/25 4,977 5,193 FNMA POOL #AD2089 1,356 4.50 02/01/25 1,366 1,413 FNMA POOL #AD3600 5,768 4.50 03/01/25 5,740 5,988 FNMA POOL #AD3828 1,027 4.00 04/01/25 1,031 1,071 FNMA POOL #AD3881 13,063 4.00 10/01/40 13,524 14,006 FNMA POOL #AD4268 2,093 4.50 03/01/25 2,103 2,200 FNMA POOL #AD5634 14,705 4.00 05/01/25 14,788 15,335 FNMA POOL #AD6018 1,457 4.00 07/01/25 1,466 1,519 FNMA POOL #AD7073 1,280 4.00 06/01/25 1,290 1,335 FNMA POOL #AD7134 66,703 5.00 07/01/40 70,957 73,607 FNMA POOL #AD7150 669 4.00 07/01/25 669 698 FNMA POOL #AD6392 27,009 4.50 05/01/25 27,042 28,390 FNMA POOL #AD7948 36,067 4.50 06/01/40 37,900 39,159 FNMA POOL #AD8162 16,931 4.00 08/01/25 17,156 17,658 FNMA POOL #AD8522 34,105 4.00 08/01/40 35,418 36,549 FNMA POOL #AD8562 669 4.00 08/01/25 671 697 FNMA POOL #AD9083 1,131 4.00 07/01/25 1,140 1,179 FNMA POOL #AD9104 5,167 4.00 08/01/40 5,360 5,538 FNMA POOL #AE0828 92,738 3.50 02/01/41 95,084 97,690 FNMA POOL #AE0851 78,557 4.00 01/01/26 79,249 81,947 FNMA POOL #AE0113 20,511 4.00 07/01/40 21,296 21,984 FNMA POOL #AE0217 5,101 4.50 08/01/40 5,364 5,539 FNMA POOL #AE0218 258,710 4.50 08/01/40 271,709 280,852 FNMA POOL #AE0215 13,457 4.00 12/01/39 13,975 14,423 FNMA POOL #AE0349 168,238 6.00 04/01/40 180,164 192,808 FNMA POOL #AE0481 428,324 5.00 09/01/40 451,442 472,472 FNMA POOL #AE1761 46,576 4.00 09/01/40 48,374 49,947 FNMA POOL #AE0988 9,765 4.00 09/01/25 9,791 10,180 FNMA POOL #AE1173 8,520 4.00 07/01/25 8,545 8,884 FNMA POOL #AE2575 13,000 4.00 09/01/40 13,496 13,940 FNMA POOL #AE2614 14,783 4.00 09/01/40 15,327 15,853 FNMA POOL #AE2650 32,872 4.00 11/01/40 34,047 35,248 FNMA POOL #AE2977 3,732 4.00 08/01/25 3,763 3,892 FNMA POOL #AE3349 14,662 3.50 10/01/40 14,954 15,445 FNMA POOL #AE3886 149,159 4.50 11/01/40 156,378 161,459 FNMA POOL #AE3962 214 4.00 09/01/25 190 223 FNMA POOL #AE4628 54,780 4.50 10/01/40 57,499 59,487 FNMA POOL #AE4639 24,880 4.50 10/01/40 25,913 27,008 FNMA POOL #AE4971 7,053 4.00 11/01/40 7,321 7,555 FNMA POOL #AE5147 71,114 4.00 11/01/40 73,813 76,275 FNMA POOL #AE5156 44,236 4.00 11/01/40 45,904 47,436 FNMA POOL #AE6086 61,197 4.50 10/01/40 64,039 66,454 FNMA POOL #AE6406 1,537 4.00 10/01/25 1,559 1,603 FNMA POOL #AE6965 136,399 4.00 11/01/40 140,908 146,252




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) FNMA POOL #AE7264 15,883 4.00% 01/01/41 $ 16,444 $ 17,035 FNMA POOL #AE8226 33,719 3.50 12/01/25 33,985 34,931 FNMA POOL #AE8716 67,722 4.00 11/01/40 70,254 72,616 FNMA POOL #AE8803 18,830 5.00 06/01/38 18,878 20,097 FNMA POOL #AE9349 32,331 4.00 11/01/40 33,477 34,436 FNMA POOL #AE9365 2,914 4.00 12/01/40 3,003 3,052 FNMA POOL #254383 662 7.50 06/01/32 715 787 FNMA POOL #254513 647 6.00 10/01/22 598 712 FNMA POOL #254635 224 6.00 02/01/23 212 247 FNMA POOL #254903 2,557 5.00 10/01/33 2,690 2,818 FNMA POOL #254916 13,152 5.50 09/01/23 12,871 14,135 FNMA POOL #254918 17,801 4.50 09/01/33 18,511 19,141 FNMA POOL #255070 2,300 6.00 01/01/34 2,456 2,635 FNMA POOL #255411 3,701 5.50 10/01/34 3,911 4,163 FNMA POOL #255459 3,975 6.00 11/01/34 4,241 4,560 FNMA POOL #256514 1,142 6.00 12/01/36 1,229 1,310 FNMA POOL #255813 1,606 5.00 08/01/35 1,692 1,772 FNMA POOL #255890 3,532 4.50 10/01/20 3,227 3,644 FNMA POOL #256245 500 4.50 04/01/21 490 516 FNMA POOL #256640 16,072 5.50 03/01/27 16,693 17,319 FNMA POOL #256692 3,357 6.50 04/01/37 3,608 3,914 FNMA POOL #257202 1,566 4.50 04/01/28 1,609 1,652 FNMA POOL #257233 561 4.50 06/01/23 552 580 FNMA POOL #257236 688 6.50 06/01/38 738 785 FNMA POOL #257308 2,746 6.50 08/01/38 2,982 3,240 FNMA POOL #303273 1,168 8.00 05/01/25 1,175 1,283 FNMA POOL #303110 205 9.00 01/01/25 193 214 FNMA POOL #303573 595 8.00 09/01/25 597 638 FNMA POOL #303913 1,045 7.00 05/01/26 1,077 1,158 FNMA POOL #316653 122 8.00 08/01/25 122 122 FNMA POOL #320397 1,002 8.00 07/01/25 1,012 1,079 FNMA POOL #320456 613 8.00 08/01/25 616 632 FNMA POOL #323064 121 8.00 11/01/23 117 122 FNMA POOL #323311 232 7.50 09/01/28 240 255 FNMA POOL #323424 234 7.50 12/01/28 246 261 FNMA POOL #323405 1,013 7.50 10/01/28 1,047 1,116 FNMA POOL #323434 349 7.50 12/01/28 361 384 FNMA POOL #326535 733 8.00 10/01/25 746 789 FNMA POOL #357603 5,647 5.50 08/01/34 5,978 6,348 FNMA POOL #414716 1,668 8.00 07/01/27 1,690 1,793 FNMA POOL #535533 310 8.00 10/01/30 337 366 FNMA POOL #535095 776 8.00 01/01/30 845 922 FNMA POOL #535284 165 7.50 05/01/30 174 182 FNMA POOL #535338 413 8.50 10/01/28 426 471 FNMA POOL #535332 1,134 8.50 04/01/30 1,257 1,366 FNMA POOL #535903 471 7.50 03/01/31 492 528 FNMA POOL #545684 402 7.50 05/01/32 437 475 FNMA POOL #555967 1,703 5.50 11/01/33 1,809 1,908 FNMA POOL #AH0297 64,982 4.00 12/01/40 67,599 69,699 FNMA POOL #AH0930 89,314 4.00 12/01/40 92,809 95,869




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) FNMA POOL #AH1410 36,719 4.00% 01/01/41 $ 38,057 $ 39,373 FNMA POOL #AH1527 33,780 3.50 12/01/25 34,113 34,994 FNMA POOL #AH1907 2,211 4.00 03/01/26 2,170 2,304 FNMA POOL #AH3579 11,274 4.50 06/01/40 11,724 12,242 FNMA POOL #AH3645 100,158 4.00 02/01/41 103,989 107,384 FNMA POOL #AH3782 191,803 4.00 02/01/41 199,072 205,640 FNMA POOL #AH3830 40,436 3.50 02/01/26 40,796 41,892 FNMA POOL #AH6234 8,075 4.00 03/01/41 8,365 8,659 FNMA POOL #AH5496 60,630 3.50 01/01/41 62,020 63,874 FNMA POOL #AH5620 3,036 4.00 02/01/26 3,064 3,167 FNMA POOL #AH6301 29,593 4.00 05/01/26 30,012 30,943 FNMA POOL #AH6578 298,545 4.50 02/01/41 312,638 324,180 FNMA POOL #AH6623 91,533 4.00 03/01/41 94,927 98,157 FNMA POOL #AH6715 21,925 4.00 04/01/41 22,726 23,510 FNMA POOL #AH6920 6,046 4.50 04/01/41 6,287 6,363 FNMA POOL #AH7948 12,963 4.00 10/01/41 13,425 13,866 FNMA POOL #AH8470 140,772 4.50 04/01/41 146,411 152,861 FNMA POOL #AI7225 1,190 4.00 07/01/26 1,206 1,243 FNMA POOL #AI8714 48,036 4.50 08/01/41 50,308 52,005 FNMA POOL #AI9876 36,686 4.00 08/01/41 37,898 38,148 FNMA POOL #AJ1407 13,846 4.00 09/01/41 14,395 14,847 FNMA POOL #AJ3051 31,523 4.00 10/01/41 32,676 33,800 FNMA POOL #AJ3109 5,574 4.00 01/01/42 5,779 5,974 FNMA POOL #AJ3797 5,913 4.00 11/01/41 6,137 6,336 FNMA POOL #AJ4049 68,922 4.00 10/01/41 71,587 73,919 FNMA POOL #AJ5380 33,647 4.00 11/01/41 34,982 36,045 FNMA POOL #AJ5643 33,978 4.00 11/01/41 35,275 36,388 FNMA POOL #AJ6066 100,763 4.00 12/01/41 104,735 107,872 FNMA POOL #AJ6933 160,540 3.00 11/01/26 161,830 164,697 FNMA POOL #AJ7689 63,070 4.00 12/01/41 65,554 67,584 FNMA POOL #AJ9039 6,623 4.00 12/01/41 6,848 7,086 FNMA POOL #AK1938 52,428 4.00 02/01/42 54,419 56,207 FNMA POOL #AK3264 109,806 3.00 02/01/27 110,804 112,649 FNMA POOL #AK5322 68,786 4.00 03/01/42 71,205 73,556 FNMA POOL #AL0788 1,925 4.00 05/01/26 1,931 2,007 FNMA POOL #AL1505 100,815 4.00 03/01/42 104,721 107,865 FNMA POOL #AL1998 192,486 4.00 03/01/42 201,407 206,401 FNMA POOL #AL2459 115,273 4.00 08/01/42 119,784 123,222 FNMA POOL #AL2752 607,905 5.00 03/01/42 641,899 668,959 FNMA POOL #AL2863 48,491 4.00 04/01/42 50,357 51,888 FNMA POOL #AL3169 113,494 3.00 01/01/28 114,816 116,437 FNMA POOL #AL3347 39,680 6.00 06/01/40 42,859 45,521 FNMA POOL #AL3396 291,799 2.50 03/01/28 292,922 296,103 FNMA POOL #AL4469 401,830 5.50 06/01/41 430,147 445,204 FNMA POOL #AL3865 632,518 3.50 07/01/43 647,452 667,171 FNMA POOL #AL4157 189,416 3.00 09/01/43 190,157 194,641 FNMA POOL #966648 9,381 6.00 12/01/37 10,012 10,739 FNMA POOL #966689 17,301 5.00 06/01/23 16,960 17,868 FNMA POOL #966857 614 6.00 12/01/37 653 704 FNMA POOL #970179 494 4.50 04/01/38 515 520


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December 31, 2019


Government/Agency Bonds (Continued) FNMA POOL #970664 719 5.50% 11/01/38 $ 752 $ 804 FNMA POOL #971036 25,743 4.50 02/01/39 26,909 27,905 FNMA POOL #971044 12,176 4.00 02/01/39 12,602 13,044 FNMA POOL #972746 9,807 4.50 02/01/23 9,654 10,118 FNMA POOL #973164 2,660 5.50 02/01/38 2,798 2,859 FNMA POOL #973165 1,110 6.00 02/01/38 1,120 1,229 FNMA POOL #973288 34,491 5.00 03/01/38 36,174 37,932 FNMA POOL #CA1686 1,631,903 3.50 03/01/48 1,612,671 1,690,893 FNMA POOL #MA3214 1,276,534 3.00 12/01/37 1,243,257 1,307,269 FNMA POOL #MA3384 4,817,541 4.00 06/01/48 4,878,052 5,027,202 FNMA POOL #MA3415 2,180,365 4.00 07/01/48 2,210,102 2,272,494 FNMA POOL #MA3467 949,454 4.00 09/01/48 962,388 988,753 FNMA POOL #725162 11,969 6.00 02/01/34 12,775 13,507 FNMA POOL #725206 1,492 5.50 02/01/34 1,586 1,678 FNMA POOL #725233 44,283 5.00 04/01/34 46,568 48,806 FNMA POOL #725234 58,595 5.00 03/01/34 61,746 64,584 FNMA POOL #725238 17,942 5.00 03/01/34 18,890 19,774 FNMA POOL #725221 25,749 5.50 01/01/34 27,301 28,974 FNMA POOL #725232 14,563 5.00 03/01/34 15,322 16,051 FNMA POOL #725250 13,179 5.00 03/01/34 13,865 14,524 FNMA POOL #725257 21,520 5.50 02/01/34 22,755 24,195 FNMA POOL #725690 26,542 6.00 08/01/34 28,369 30,433 FNMA POOL #725773 18,417 5.50 09/01/34 19,580 20,723 FNMA POOL #795577 1,089 6.00 05/01/35 1,149 1,199 FNMA POOL #794964 700 7.00 10/01/34 716 716 FNMA POOL #796147 1,696 6.00 10/01/34 1,782 1,943 FNMA POOL #797443 147,343 5.50 01/01/35 156,861 165,521 FNMA POOL #796717 2,297 6.00 08/01/34 2,457 2,582 FNMA POOL #798761 1,773 5.50 11/01/34 1,884 1,906 FNMA POOL #799643 6,712 5.50 11/01/34 7,073 7,540 FNMA POOL #801229 1,927 6.00 11/01/34 2,030 2,126 FNMA POOL #801423 1,434 6.00 12/01/34 1,512 1,581 FNMA POOL #801767 793 6.00 01/01/35 839 874 FNMA POOL #804695 746 4.50 12/01/34 756 785 FNMA POOL #725946 12,778 5.50 11/01/34 13,605 14,377 FNMA POOL #727219 33,774 5.50 09/01/33 35,794 37,742 FNMA POOL #728650 10,942 5.50 07/01/33 11,541 12,164 FNMA POOL #728719 965 4.50 07/01/33 996 1,036 FNMA POOL #729899 885 5.50 04/01/33 898 952 FNMA POOL #731746 1,907 4.50 09/01/33 1,981 2,056 FNMA POOL #731134 1,315 5.50 07/01/33 1,383 1,414 FNMA POOL #731138 1,766 5.50 07/01/33 1,852 1,906 FNMA POOL #731218 954 4.50 08/01/33 981 1,024 FNMA POOL #733016 581 4.50 08/01/33 604 627 FNMA POOL #733380 1,601 5.50 08/01/33 1,695 1,796 FNMA POOL #804059 4,249 6.00 10/01/34 4,523 4,869 FNMA POOL #805173 1,545 6.00 01/01/35 1,635 1,706 FNMA POOL #805319 3,710 6.00 01/01/35 3,883 4,160 FNMA POOL #805384 866 5.50 01/01/35 921 972 FNMA POOL #810225 1,159 6.00 01/01/35 1,235 1,328




December 31, 2019


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Government/Agency Bonds (Continued) FNMA POOL #811147 804 6.00% 04/01/35 $ 850 $ 884 FNMA POOL #811737 27 5.00 03/01/20 26 27 FNMA POOL #812273 1,741 6.00 05/01/35 1,840 1,938 FNMA POOL #814509 2,257 6.00 03/01/35 2,386 2,488 FNMA POOL #814540 1,815 5.50 03/01/35 1,913 2,003 FNMA POOL #814554 1,883 5.50 04/01/35 1,980 2,033 FNMA POOL #735382 23,497 5.00 04/01/35 24,761 25,901 FNMA POOL #735141 29,476 5.50 01/01/35 31,426 33,170 FNMA POOL #735230 8,628 5.50 02/01/35 9,187 9,705 FNMA POOL #735224 2,273 5.50 02/01/35 2,418 2,557 FNMA POOL #735228 9,455 5.50 02/01/35 10,084 10,636 FNMA POOL #735244 1 5.50 01/01/20 1 1 FNMA POOL #735480 2,443 5.50 04/01/35 2,602 2,749 FNMA POOL #735503 26,179 6.00 04/01/35 28,048 30,011 FNMA POOL #735580 9,693 5.00 06/01/35 10,184 10,682 FNMA POOL #735744 525 6.00 08/01/35 561 603 FNMA POOL #814692 7,347 5.50 04/01/35 7,789 8,243 FNMA POOL #814865 1,186 5.50 04/01/35 1,226 1,282 FNMA POOL #815881 504 6.00 06/01/35 533 555 FNMA POOL #816227 2,863 5.50 03/01/35 2,993 3,200 FNMA POOL #817347 839 6.00 07/01/35 861 926 FNMA POOL #819357 446 4.50 03/01/35 466 484 FNMA POOL #819408 245 6.00 05/01/35 258 269 FNMA POOL #821395 4,333 5.50 06/01/35 4,558 4,850 FNMA POOL #821601 581 6.00 06/01/35 617 652 FNMA POOL #821842 110,686 5.50 06/01/35 116,497 119,045 FNMA POOL #821901 2,062 6.00 06/01/35 2,172 2,297 FNMA POOL #735896 12,286 6.00 09/01/35 13,072 14,094 FNMA POOL #735925 3,792 5.00 10/01/35 4,009 4,180 FNMA POOL #739564 459 4.50 09/01/33 474 485 FNMA POOL #740792 999 4.50 09/01/33 1,039 1,069 FNMA POOL #740631 885 4.50 09/01/33 904 935 FNMA POOL #743107 683 5.50 10/01/33 705 744 FNMA POOL #743318 1,576 5.50 10/01/33 1,655 1,772 FNMA POOL #745275 23,291 5.00 02/01/36 24,602 25,677 FNMA POOL #744905 3,835 5.50 11/01/33 3,932 4,210 FNMA POOL #745002 4,222 6.00 10/01/35 4,510 4,836 FNMA POOL #821936 1,885 6.00 06/01/35 1,999 2,101 FNMA POOL #821995 1,110 6.00 07/01/35 1,178 1,227 FNMA POOL #822475 201 6.00 05/01/35 213 222 FNMA POOL #822511 273 6.00 06/01/35 288 301 FNMA POOL #823506 837 6.00 06/01/35 878 933 FNMA POOL #823537 480 6.00 07/01/35 500 531 FNMA POOL #823161 5,192 6.00 05/01/35 5,493 5,929 FNMA POOL #823206 1,158 6.00 05/01/35 1,226 1,319 FNMA POOL #824564 1,444 6.00 05/01/35 1,527 1,593 FNMA POOL #824605 437 6.00 12/01/34 457 491 FNMA POOL #BK5328 1,153,707 4.00 07/01/48 1,162,830 1,199,695 FNMA POOL #745162 11,276 6.00 01/01/36 12,120 12,935 FNMA POOL #745355 161,730 5.00 03/01/36 171,139 178,280




December 31, 2019


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Government/Agency Bonds (Continued) FNMA POOL #745412 2,082 5.50% 12/01/35 $ 2,222 $ 2,343 FNMA POOL #745418 183,445 5.50 04/01/36 195,979 206,384 FNMA POOL #745946 10,112 5.50 11/01/36 10,802 11,377 FNMA POOL #745948 9,673 6.50 10/01/36 10,494 10,862 FNMA POOL #747519 8,841 4.50 10/01/33 9,202 9,495 FNMA POOL #747684 1,751 5.50 11/01/33 1,859 1,968 FNMA POOL #748299 1,407 5.50 11/01/33 1,472 1,572 FNMA POOL #748356 536 5.50 11/01/33 565 577 FNMA POOL #749844 1,646 5.50 11/01/33 1,741 1,848 FNMA POOL #825113 1,198 6.00 05/01/35 1,245 1,319 FNMA POOL #825457 2,674 5.50 06/01/35 2,815 2,875 FNMA POOL #825948 951 6.00 07/01/35 982 1,049 FNMA POOL #825979 1,708 6.00 07/01/35 1,768 1,903 FNMA POOL #826305 4,308 5.00 07/01/35 4,554 4,750 FNMA POOL #826500 4,209 5.00 08/01/35 4,444 4,636 FNMA POOL #828051 378 6.00 06/01/35 399 415 FNMA POOL #827303 1,192 6.00 06/01/35 1,258 1,313 FNMA POOL #828346 7,028 5.00 07/01/35 7,437 7,735 FNMA POOL #828716 563 6.00 07/01/35 594 625 FNMA POOL #831088 2,133 6.00 07/01/35 2,235 2,359 FNMA POOL #AS8511 73,182 2.50 12/01/31 70,106 73,980 FNMA POOL #BK4778 2,855,833 3.50 08/01/48 2,768,411 2,934,122 FNMA POOL #753026 486 5.50 11/01/33 494 522 FNMA POOL #753051 375 5.50 12/01/33 385 404 FNMA POOL #753232 1,565 5.50 11/01/33 1,584 1,684 FNMA POOL #754272 12,647 5.50 12/01/33 13,362 14,220 FNMA POOL #753670 3,097 7.00 12/01/33 3,266 3,527 FNMA POOL #753803 5,714 5.00 10/01/33 6,003 6,299 FNMA POOL #753965 808 7.00 12/01/33 857 906 FNMA POOL #755591 5,863 5.50 11/01/33 6,174 6,595 FNMA POOL #756165 38,885 5.50 11/01/33 41,089 43,721 FNMA POOL #756171 7,133 5.50 11/01/33 7,515 7,992 FNMA POOL #756322 792 5.50 01/01/34 832 852 FNMA POOL #831310 151 5.50 02/01/21 150 152 FNMA POOL #831351 1,139 5.50 02/01/36 1,199 1,231 FNMA POOL #832547 1,015 6.00 09/01/35 1,068 1,118 FNMA POOL #831800 1,012 6.50 09/01/36 1,083 1,143 FNMA POOL #831831 2,629 6.00 09/01/36 2,784 2,951 FNMA POOL #831878 660 6.50 10/01/36 693 732 FNMA POOL #832414 17,251 5.00 07/01/35 18,195 18,952 FNMA POOL #832708 5,335 6.00 09/01/35 5,636 5,976 FNMA POOL #833573 4,135 6.00 08/01/35 4,386 4,740 FNMA POOL #835206 1,869 6.00 08/01/35 1,977 2,066 FNMA POOL #834769 1,022 6.00 07/01/35 1,079 1,156 FNMA POOL #MA3536 1,943,070 4.00 12/01/48 1,934,715 2,021,026 FNMA POOL #MA3246 1,976,362 2.50 01/01/33 1,891,741 1,997,890 FNMA POOL #759667 395 7.00 04/01/31 396 424 FNMA POOL #758933 4,580 5.50 01/01/34 4,772 5,029 FNMA POOL #759332 11,176 5.50 01/01/34 11,865 12,571 FNMA POOL #759425 12,941 5.50 01/01/34 13,763 14,553


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December 31, 2019


Government/Agency Bonds (Continued) FNMA POOL #761702 773 5.50% 01/01/34 $ 813 $ 839 FNMA POOL #762043 705 5.50 12/01/33 733 758 FNMA POOL #762648 1,428 5.50 01/01/34 1,468 1,569 FNMA POOL #765404 3,201 6.00 08/01/34 3,375 3,595 FNMA POOL #769199 15,610 5.50 01/01/34 16,411 17,553 FNMA POOL #770332 28,750 5.00 04/01/34 30,083 31,606 FNMA POOL #776586 1,739 5.50 04/01/34 1,833 1,954 FNMA POOL #835035 1,531 6.00 06/01/35 1,623 1,687 FNMA POOL #835163 4,325 5.50 08/01/35 4,549 4,861 FNMA POOL #837564 812 6.00 06/01/35 859 894 FNMA POOL #842016 5,255 5.00 11/01/20 4,917 5,427 FNMA POOL #843566 12,467 5.50 11/01/35 12,939 14,007 FNMA POOL #844342 590 5.50 11/01/35 625 645 FNMA POOL #844610 854 6.00 12/01/35 890 947 FNMA POOL #844716 7,411 6.00 12/01/35 7,962 8,515 FNMA POOL #844734 7,681 6.00 12/01/35 8,232 8,818 FNMA POOL #848983 841 5.50 01/01/36 888 946 FNMA POOL #776971 3,632 5.00 04/01/34 3,822 4,004 FNMA POOL #777139 272 6.00 06/01/34 290 301 FNMA POOL #781666 2,188 5.50 02/01/35 2,282 2,458 FNMA POOL #791196 7,077 6.00 09/01/34 7,463 8,095 FNMA POOL #790497 4,435 6.00 08/01/34 4,697 4,981 FNMA POOL #790820 6,196 6.00 09/01/34 6,598 7,076 FNMA POOL #791279 5,381 6.00 09/01/34 5,700 6,131 FNMA POOL #792407 7,725 6.00 09/01/34 8,234 8,834 FNMA POOL #793674 835 6.00 09/01/34 823 921 FNMA POOL #794230 7,896 6.00 09/01/34 8,312 8,799 FNMA POOL #794643 3,847 6.00 10/01/34 4,062 4,310 FNMA POOL #850314 935 5.50 01/01/36 989 1,033 FNMA POOL #850785 80 5.50 01/01/21 79 80 FNMA POOL #851053 3,408 5.50 11/01/35 3,609 3,822 FNMA POOL #851791 1,482 5.50 01/01/36 1,559 1,666 FNMA POOL #851810 5,694 5.50 02/01/36 6,041 6,399 FNMA POOL #869832 2,282 5.50 03/01/36 2,292 2,454 FNMA POOL #870133 332 4.50 03/01/21 327 343 FNMA POOL #871045 85 6.50 01/01/37 83 95 FNMA POOL #872317 194 6.50 05/01/36 198 219 FNMA POOL #878123 96 5.50 04/01/21 93 97 FNMA POOL #878183 418 6.50 08/01/36 442 464 FNMA POOL #124642 654 8.00 01/01/23 633 685 FNMA POOL #190048 347 8.00 10/01/23 326 360 FNMA POOL #190272 773 7.50 07/01/26 798 860 FNMA POOL #190308 260 7.50 09/01/30 282 301 FNMA POOL #190379 16,816 5.50 05/01/37 17,985 18,819 FNMA POOL #190396 47,660 4.50 06/01/39 49,802 51,684 FNMA POOL #250330 1,861 8.00 09/01/25 1,911 2,028 FNMA POOL #252874 242 7.50 11/01/29 260 278 FNMA POOL #252254 1,149 6.00 02/01/29 1,189 1,287 FNMA POOL #254689 1,130 6.00 03/01/23 1,066 1,243 FNMA POOL #254739 3,082 6.00 04/01/23 2,928 3,390




December 31, 2019


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Government/Agency Bonds (Continued) FNMA POOL #254798 2,339 6.00% 06/01/23 $ 2,234 $ 2,572 FNMA POOL #254311 216 6.50 05/01/32 232 245 FNMA POOL #254335 376 7.50 05/01/32 412 432 FNMA POOL #AL4338 466,661 4.00 10/01/43 482,878 496,237 FNMA POOL #AL5780 250,415 4.50 05/01/44 262,144 270,056 FNMA POOL #AL6302 381,670 4.50 10/01/41 401,067 414,250 FNMA POOL #AL9867 1,507,716 3.00 02/01/32 1,529,499 1,553,742 FNMA POOL #AO7977 18,884 3.00 06/01/27 19,068 19,372 FNMA POOL #AO9736 399,535 3.00 07/01/27 404,074 409,534 FNMA POOL #AP2152 673,789 3.50 08/01/42 690,072 710,709 FNMA POOL #AP3164 26,548 3.00 08/01/27 26,813 27,195 FNMA POOL #AP3798 205,419 3.50 10/01/42 209,724 216,421 FNMA POOL #AP4089 552,561 3.50 09/01/42 566,073 582,156 FNMA POOL #AP5506 297,842 3.00 09/01/42 298,999 306,697 FNMA POOL #974571 20,098 5.00 11/01/36 21,010 22,114 FNMA POOL #974658 17,144 5.50 03/01/38 18,088 18,424 FNMA POOL #975365 2,119 5.00 06/01/23 2,091 2,201 FNMA POOL #976421 1,120 4.50 03/01/23 1,098 1,157 FNMA POOL #985615 28,679 5.50 04/01/34 30,284 31,978 FNMA POOL #984996 5,807 6.00 08/01/38 6,050 6,614 FNMA POOL #987364 48,045 6.50 10/01/38 51,092 54,477 FNMA POOL #988941 16,682 5.00 09/01/23 16,223 17,256 FNMA POOL #991864 12,159 6.00 10/01/38 12,980 13,907 FNMA POOL #993244 1,141 4.00 07/01/24 1,140 1,190 FNMA POOL #993276 8,900 5.00 05/01/39 9,098 9,766 FNMA POOL #AP5509 370,231 3.00 09/01/42 371,760 381,031 FNMA POOL #AP8904 728,427 3.50 10/01/42 745,147 767,444 FNMA POOL #AP8782 240,585 2.50 11/01/42 234,570 239,282 FNMA POOL #AP8848 209,595 3.50 10/01/42 214,329 221,080 FNMA POOL #AP9087 9,349 3.50 09/01/42 9,569 9,613 FNMA POOL #AQ0420 342,766 2.50 10/01/27 344,155 347,425 FNMA POOL #AQ4558 82,068 3.50 12/01/42 83,905 86,461 FNMA POOL #AQ5175 886,620 3.00 12/01/42 890,645 912,761 FNMA POOL #AQ7316 43,819 2.50 01/01/43 42,733 43,583 FNMA POOL #AR2462 408,499 3.00 01/01/43 410,323 420,543 FNMA POOL #AR9188 60,191 2.50 03/01/43 58,660 59,866 FNMA POOL #993566 11,095 4.00 04/01/24 11,034 11,566 FNMA POOL #995586 15,594 4.00 03/01/39 16,187 16,695 FNMA POOL #995048 21,681 5.50 05/01/38 23,100 24,356 FNMA POOL #995024 2,841 5.50 08/01/37 3,032 3,187 FNMA POOL #995119 15,677 5.50 11/01/38 16,733 17,605 FNMA POOL #995230 20,957 6.50 01/01/39 22,749 23,738 FNMA POOL #995297 28,519 5.00 02/01/38 30,170 31,445 FNMA POOL #995320 112 4.50 12/01/20 94 115 FNMA POOL #995674 35,267 6.00 05/01/38 37,671 40,544 FNMA POOL #995755 1,096 4.50 05/01/24 1,088 1,143 FNMA POOL #995737 39,065 5.00 02/01/38 41,277 43,071 FNMA POOL #AS0863 525,168 3.00 10/01/43 527,246 539,923 FNMA POOL #AS0016 858,588 3.00 07/01/43 862,304 883,153 FNMA POOL #AS0427 301,805 4.50 09/01/43 315,147 326,934




December 31, 2019


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Government/Agency Bonds (Continued) FNMA POOL #AS1586 7,940 4.50% 01/01/44 $ 8,310 $ 8,564 FNMA POOL #AS2495 688,575 4.00 05/01/44 712,623 725,015 FNMA POOL #AS2959 280,874 4.00 07/01/44 290,685 297,530 FNMA POOL #AS3117 260,777 3.00 08/01/29 264,173 268,411 FNMA POOL #AS3292 861,327 4.00 09/01/44 891,780 912,453 FNMA POOL #AS3880 129,525 4.50 11/01/44 135,228 137,924 FNMA POOL #AS4877 443,857 3.00 04/01/30 449,689 456,853 FNMA POOL #AS5629 1,055,720 3.50 08/01/45 1,079,853 1,106,458 FNMA POOL #995862 6,278 5.00 07/01/39 6,612 6,918 FNMA POOL #995880 30,071 4.00 06/01/24 29,926 31,360 FNMA POOL #995896 10,013 5.00 06/01/39 10,575 11,012 FNMA POOL #995901 12,484 4.50 07/01/24 12,418 13,005 FNMA POOL #AA0777 144,663 4.00 04/01/39 149,648 155,014 FNMA POOL #AA0166 2,330 6.00 12/01/38 2,467 2,617 FNMA POOL #AA0466 1,296 4.50 02/01/39 1,353 1,406 FNMA POOL #AA2627 3,670 4.50 02/01/39 3,818 3,975 FNMA POOL #AA4463 28,549 4.50 04/01/39 29,895 30,937 FNMA POOL #AA4298 66,012 4.50 03/01/29 68,310 69,638 FNMA POOL #AA4538 724 4.00 04/01/24 721 755 FNMA POOL #AS5696 1,518,556 3.50 08/01/45 1,550,605 1,584,491 FNMA POOL #AS5729 760,058 3.00 09/01/30 770,556 782,348 FNMA POOL #AS5782 654,701 4.00 09/01/45 674,960 693,691 FNMA POOL #AS6302 693,501 3.50 12/01/45 707,974 723,665 FNMA POOL #AS6730 1,451,982 3.50 02/01/46 1,483,503 1,517,793 FNMA POOL #AS7800 1,895,649 3.00 08/01/46 1,896,779 1,940,231 FNMA POOL #AS8483 1,963,960 3.00 12/01/46 1,965,151 2,010,208 FNMA POOL #AS8649 2,006,758 3.00 01/01/47 2,007,936 2,054,377 FNMA POOL #AT0353 147,185 3.50 05/01/43 150,487 155,247 FNMA POOL #AT4253 563,944 3.00 06/01/43 566,416 580,427 FNMA POOL #AA4656 10,754 4.00 05/01/39 11,130 11,527 FNMA POOL #AA4630 43,270 4.50 05/01/39 45,459 46,941 FNMA POOL #AA4746 29,418 3.50 11/01/25 29,728 30,711 FNMA POOL #AA5036 1,264 4.00 04/01/39 1,311 1,352 FNMA POOL #AA5533 470 4.00 04/01/24 466 490 FNMA POOL #AA5564 662 4.00 06/01/24 662 690 FNMA POOL #AA7693 951 4.00 07/01/24 947 992 FNMA POOL #AA7803 23,705 4.50 07/01/24 23,709 24,705 FNMA POOL #AA9781 4,616 4.50 07/01/24 4,588 4,813 FNMA POOL #AA9274 2,235 4.00 08/01/24 2,240 2,332 FNMA POOL #AA9584 49,463 4.00 04/01/24 49,220 51,555 FNMA POOL #696906 3,265 5.50 04/01/33 3,454 3,641 FNMA POOL #702459 1,031 5.50 06/01/33 1,085 1,146 FNMA POOL #704005 3,832 5.50 05/01/33 4,022 4,299 FNMA POOL #704265 14,638 5.50 05/01/33 15,096 16,207 FNMA POOL #705686 2,086 6.00 10/01/33 2,231 2,298 FNMA POOL #710158 3,677 5.50 06/01/33 3,907 4,101 FNMA POOL #709305 3,386 5.50 07/01/33 3,586 3,768 FNMA POOL #709365 3,421 5.50 07/01/33 3,568 3,720 FNMA POOL #713674 3,363 5.50 07/01/33 3,503 3,662 FNMA POOL #721623 2,000 5.50 07/01/33 2,098 2,152




December 31, 2019


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Government/Agency Bonds (Continued) FNMA POOL #725423 2,904 5.50% 05/01/34 $ 3,084 $ 3,267 FNMA POOL #AB6387 650,942 3.00 10/01/42 653,950 670,263 FNMA POOL #AB7273 797,376 3.00 12/01/42 800,948 820,959 FNMA POOL #AB8826 544,846 3.00 03/01/43 547,211 560,724 FNMA POOL #AC1258 7,013 4.00 08/01/39 7,307 7,554 FNMA POOL #AC1605 105,979 4.00 09/01/39 110,409 114,150 FNMA POOL #AC1616 15,347 5.00 08/01/39 16,087 16,958 FNMA POOL #AC2816 24,237 4.00 10/01/39 25,196 25,979 FNMA POOL #AC3673 24,188 5.00 10/01/39 25,397 26,131 FNMA POOL #AC5401 19,816 5.00 10/01/39 20,896 21,821 FNMA POOL #AC5843 36,368 4.50 05/01/40 38,260 39,515 FNMA POOL #AC8007 12,112 4.00 01/01/25 12,077 12,631 FNMA POOL #AT5895 106,912 3.00 06/01/43 107,391 110,031 FNMA POOL #AT7721 668,563 3.00 06/01/43 671,468 687,692 FNMA POOL #AT9667 231,496 3.50 07/01/43 236,550 243,865 FNMA POOL #AU1363 725,204 2.50 07/01/28 728,390 734,409 FNMA POOL #AU1661 698,835 2.50 07/01/28 702,081 707,714 FNMA POOL #AU4346 1,064,103 3.50 07/01/43 1,087,504 1,119,994 FNMA POOL #AU5340 64,146 3.00 06/01/43 64,425 66,017 FNMA POOL #AW7396 190,144 3.50 01/01/27 191,758 196,932 FNMA POOL #AW8351 285,771 3.00 09/01/29 289,391 293,311 FNMA POOL #AX3162 493,152 4.00 10/01/44 510,706 517,793 FNMA POOL #AX5316 178,574 4.50 01/01/42 187,701 193,865 FNMA POOL #AA9747 2,953 4.50 07/01/24 2,940 3,079 FNMA POOL #AB0281 59,865 6.00 02/01/37 64,817 68,820 FNMA POOL #AB0733 36,629 4.50 06/01/39 38,185 39,708 FNMA POOL #AB1379 483,372 4.50 08/01/40 504,219 524,418 FNMA POOL #AB1365 54,035 3.50 08/01/25 54,342 55,970 FNMA POOL #AB1409 63,901 3.50 09/01/40 65,296 67,322 FNMA POOL #AB1460 1,092 4.00 09/01/25 1,099 1,139 FNMA POOL #AB1806 66,513 4.00 11/01/40 69,002 71,393 FNMA POOL #AB1810 41,260 4.00 11/01/40 42,799 44,241 FNMA POOL #AB1953 135,880 4.00 12/01/40 141,700 145,752 FNMA POOL #AB2068 77,460 3.50 01/01/41 79,357 81,596 FNMA POOL #AX7677 1,101,092 3.50 01/01/45 1,124,335 1,155,033 FNMA POOL #AZ2936 1,276,389 3.00 09/01/45 1,278,089 1,306,652 FNMA POOL #662893 1,276 7.50 12/01/32 1,355 1,461 FNMA POOL #685371 5,438 5.50 02/01/33 5,659 6,077 FNMA POOL #685410 1,347 5.50 02/01/33 1,420 1,487 FNMA POOL #689627 2,852 5.50 02/01/33 2,996 3,150 FNMA POOL #693528 3,924 5.50 02/01/33 4,132 4,347 FNMA POOL #694878 1,241 5.50 04/01/33 1,302 1,335 FNMA POOL #694491 14,943 5.50 03/01/33 15,746 16,642 FNMA POOL #696860 1,790 5.50 04/01/33 1,887 1,992 FNMA POOL #696920 2,813 5.50 04/01/33 2,952 3,060 FNMA POOL #AB2277 35,465 4.50 02/01/41 37,115 38,592 FNMA POOL #AB3576 81,945 4.00 09/01/41 85,126 87,816 FNMA POOL #AB2775 82,085 4.50 04/01/41 85,572 89,129 FNMA POOL #AB2819 31,494 5.00 04/01/41 33,016 34,706 FNMA POOL #AB3744 29,977 4.00 10/01/41 31,138 32,118


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December 31, 2019


Government/Agency Bonds (Continued) FNMA POOL #AB6290 269,472 3.00% 09/01/27 $ 272,092 $ 276,038 FNMA POOL #AB6291 601,754 3.00 09/01/27 607,533 616,437 FNMA POOL #AB5454 47,148 4.00 02/01/27 47,459 49,142 FNMA POOL #AB7076 518,787 3.00 11/01/42 521,089 534,124 FNMA POOL #AB6317 1,027,835 3.50 09/01/42 1,053,872 1,082,830 FNMA POOL #AB6373 182,087 3.00 10/01/27 183,904 186,808 Freddie Mac Multifamily Structured

Pass-Through Certificates 675,000 3.30 07/25/24 685,934 708,569 Freddie Mac Multifamily Structured




Pass-Through Certificates(1) 940,000 3.06 07/25/23 961,326 970,550 Freddie Mac Multifamily Structured



Pass-Through Certificates 930,000 2.95 07/25/24 AAA 948,195 957,805 Freddie Mac Multifamily Structured


Pass-Through Certificates 580,000 2.91 04/25/24 AAA 575,049 595,703 Freddie Mac Multifamily Structured


Pass-Through Certificates 45,000 3.75 04/25/33 44,426 49,568 GNMA POOL #MA6340 5,200,000 4.00 12/20/49 5,441,482 5,431,089 GNMA POOL #MA6339 6,135,000 3.50 12/20/49 6,363,008 6,354,998 GNMA POOL #MA5190 934,152 3.00 05/20/48 920,335 959,339 GNMA POOL #MA6338 3,510,000 3.00 12/20/49 3,609,510 3,604,640 GNMA POOL #MA5986 6,834,630 4.00 06/20/49 7,087,086 7,080,229 GNMA POOL #MA6219 1,702,628 3.50 10/20/49 1,767,891 1,760,240 GNMA POOL TBA(2) 3,315,000 3.00 01/01/50 3,399,429 3,402,909 GNMA POOL #MA4003 2,782,076 3.00 10/20/46 2,847,184 2,869,620 GNMA POOL #760401 535 5.00 11/15/41 553 578 GNMA POOL #760404 10,578 5.00 11/15/41 11,087 11,319 GNMA POOL #762563 9,806 5.00 04/15/41 10,270 10,493 GNMA POOL #738316 99,677 4.50 05/15/41 104,031 108,554 GNMA POOL #738711 106,554 4.00 09/15/41 110,905 113,432 GNMA POOL #742550 20,740 4.50 09/15/40 21,759 22,549 GNMA POOL #743107 20,301 5.00 08/15/40 21,440 22,479 GNMA POOL #744075 1,388 5.00 06/15/41 1,454 1,485 GNMA POOL #748479 148,295 4.00 08/15/40 153,776 157,853 GNMA POOL #748495 17,141 4.00 08/15/40 17,790 18,249 GNMA POOL #749376 45,009 4.50 07/15/41 46,766 48,934 GNMA POOL #750582 5,204 5.00 05/15/41 5,402 5,680




December 31, 2019


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Government/Agency Bonds (Continued) GNMA POOL #486635 2,883 6.50% 11/15/28 $ 2,940 $ 3,181 GNMA POOL #487807 22,469 4.50 03/15/39 23,410 24,458 GNMA POOL #487824 177,730 4.50 04/15/39 185,737 193,470 GNMA POOL #487833 13,564 4.00 04/15/39 14,008 14,441 GNMA POOL #520234 955 6.00 07/15/34 999 1,082 GNMA POOL #520260 3,054 6.00 09/15/34 3,225 3,473 GNMA POOL #550142 259 6.50 07/15/31 272 296 GNMA POOL #552659 536 6.50 07/15/32 557 598 GNMA POOL #553056 667 5.50 02/15/33 705 748 GNMA POOL #553166 4,177 5.50 04/15/33 4,367 4,624 GNMA POOL #553244 1,229 5.50 05/15/33 1,298 1,362 GNMA POOL #553311 1,233 5.50 06/15/33 1,283 1,348 GNMA POOL #562466 1,611 6.00 08/15/34 1,698 1,829 GNMA POOL #566612 437 6.50 10/15/31 457 482 GNMA POOL #313123 104 7.00 12/15/22 104 105 GNMA POOL #332371 148 7.00 10/15/22 148 149 GNMA POOL #780802 623 6.50 05/15/28 645 699 GNMA POOL #780827 340 6.50 07/15/28 352 376 GNMA POOL #780031 158 7.00 07/15/24 154 169 GNMA POOL #780035 1,116 6.50 07/15/24 1,077 1,231 GNMA POOL #780073 949 9.00 03/15/25 949 1,041 GNMA POOL #780113 890 7.00 10/15/24 863 954 GNMA POOL #780167 705 7.00 12/15/24 693 756 GNMA POOL #780213 277 7.50 08/15/25 271 300 GNMA POOL #780469 447 6.00 06/15/24 434 493 GNMA POOL #780615 210 6.50 08/15/27 213 232 GNMA POOL #780685 280 6.50 12/15/27 284 309 GNMA POOL #781694 3,137 6.00 12/15/31 3,322 3,584 GNMA POOL #781704 397 6.50 04/15/33 424 461 GNMA POOL #781722 13,151 5.00 02/15/34 13,780 14,573 GNMA POOL #781769 32,109 5.00 11/15/33 33,635 35,582 GNMA POOL #780912 904 6.50 11/15/28 942 1,015 GNMA POOL #780936 2,467 7.50 12/15/28 2,513 2,793 GNMA POOL #780941 574 6.00 12/15/28 597 647 GNMA POOL #780977 256 7.50 12/15/28 263 291 GNMA POOL #781029 705 6.50 05/15/29 735 797 GNMA POOL #781035 222 6.50 05/15/29 231 250 GNMA POOL #781038 569 6.50 05/15/29 596 643 GNMA POOL #781089 417 7.50 09/15/29 440 490 GNMA POOL #781079 471 7.50 08/15/29 495 546 GNMA POOL #781096 1,210 6.50 12/15/28 1,265 1,364 GNMA POOL #781113 311 7.00 11/15/29 329 358 GNMA POOL #781184 1,742 8.00 12/15/24 1,717 1,901 GNMA POOL #781207 325 7.50 08/15/30 342 378 GNMA POOL #781210 2,587 6.50 09/15/29 2,694 2,888 GNMA POOL #781226 282 6.50 12/15/30 296 318 GNMA POOL #781318 2,941 8.00 12/15/24 2,735 3,163 GNMA POOL #781478 756 7.50 03/15/32 802 896 GNMA POOL #781525 242 6.50 11/15/32 261 280 GNMA POOL #781579 1,272 6.50 02/15/33 1,358 1,476




December 31, 2019


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Government/Agency Bonds (Continued) GNMA POOL #781589 839 5.50% 04/15/33 $ 888 $ 941 GNMA POOL #781594 5,032 6.50 01/15/33 5,411 5,844 GNMA POOL #781636 4,681 5.50 07/15/33 4,982 5,252 GNMA POOL #781621 559 7.00 03/15/33 606 666 GNMA POOL #781626 1,677 5.50 06/15/33 1,787 1,881 GNMA POOL #781627 6,483 5.50 06/15/33 6,879 7,273 GNMA POOL #781659 886 6.00 10/15/33 948 1,014 GNMA POOL #783701 80,771 6.00 06/15/41 86,543 92,417 GNMA POOL #783851 93,031 6.00 03/15/41 99,176 106,586 GNMA POOL #751947 20,923 4.50 01/15/41 21,748 22,269 GNMA POOL #756928 12,607 3.50 11/15/40 12,955 13,264 GNMA POOL #782119 10,164 6.00 08/15/36 10,919 11,630 GNMA POOL #782365 8,006 6.00 07/15/38 8,546 9,159 GNMA POOL #782405 100,338 5.50 09/15/38 106,850 112,483 GNMA POOL #782379 5,519 6.00 08/15/38 5,747 6,235 GNMA POOL #783565 46,825 6.50 07/15/40 51,746 53,567 GNMA POOL #782789 31,073 5.50 10/15/39 33,190 34,870 GNMA POOL #782949 66,623 5.00 05/15/40 70,526 74,196 GNMA POOL #782925 15,226 4.50 03/15/40 15,971 16,557 GNMA POOL #783024 74,929 5.00 07/15/40 79,514 83,485 GNMA POOL #783095 63,193 4.00 09/15/40 65,631 67,242 GNMA POOL #783292 82,223 6.00 12/15/40 88,012 94,108 GNMA POOL #783313 17,371 5.50 02/15/41 18,521 19,489 GNMA POOL #783456 46,596 3.50 10/15/41 47,926 49,025 GNMA POOL #614504 1,342 5.00 06/15/33 1,367 1,437 GNMA POOL #614548 9,668 5.00 07/15/33 10,108 10,714 GNMA POOL #614601 13,599 5.00 07/15/33 14,267 15,069 GNMA POOL #615630 951 5.00 09/15/33 993 1,054 GNMA POOL #615278 1,313 5.00 07/15/33 1,391 1,455 GNMA POOL #615459 1,901 5.00 08/15/33 1,988 2,084 GNMA POOL #631527 1,868 5.50 07/15/34 1,919 2,032 GNMA POOL #635877 465 6.00 10/15/34 493 512 GNMA POOL #640933 1,054 5.50 05/15/35 1,113 1,132 GNMA POOL #645011 6,381 5.50 07/15/35 6,777 7,083 GNMA POOL #646015 3,795 6.00 08/15/37 3,999 4,328 GNMA POOL #670109 1,802 6.00 07/15/37 1,919 1,999 GNMA POOL #671111 6,453 6.00 08/15/37 6,859 7,380 GNMA POOL #671325 2,754 6.00 07/15/37 2,887 3,120 GNMA POOL #672770 49,898 6.50 06/15/38 52,773 55,057 GNMA POOL #MA4651 2,168,636 3.00 08/20/47 2,186,214 2,232,210 GNMA POOL #MA4900 3,324,589 3.50 12/20/47 3,320,461 3,453,125 GNMA POOL #MA4901 944,553 4.00 12/20/47 968,874 986,226 GNMA POOL #MA5329 96,373 3.50 07/20/48 96,136 99,574 GNMA POOL #604713 7,200 5.50 10/15/33 7,625 8,078 GNMA POOL #605734 12,886 6.00 10/15/34 13,675 14,711 GNMA POOL #605618 5,215 5.50 07/15/34 5,553 5,850 GNMA POOL #569798 731 7.50 05/15/32 746 778 GNMA POOL #574385 263 6.50 01/15/32 273 290 GNMA POOL #577434 575 6.50 02/15/32 604 651 GNMA POOL #581148 615 6.50 03/15/32 665 714




December 31, 2019


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Government/Agency Bonds (Continued) GNMA POOL #582021 450 6.50% 08/15/32 $ 472 $ 499 GNMA POOL #586254 9,278 5.50 10/15/34 9,818 10,409 GNMA POOL #586283 10,803 5.50 11/15/34 11,331 12,119 GNMA POOL #587021 456 6.50 04/15/32 485 514 GNMA POOL #592075 1,807 5.00 07/15/33 1,867 1,964 GNMA POOL #592466 982 5.50 12/15/32 1,037 1,083 GNMA POOL #594172 3,965 6.00 11/15/33 4,235 4,514 GNMA POOL #606468 1,800 5.50 04/15/33 1,896 2,007 GNMA POOL #002590 912 6.50 05/20/28 950 1,018 GNMA POOL #002702 1,222 7.00 01/20/29 1,284 1,396 GNMA POOL #002795 2,041 6.50 08/20/29 2,152 2,312 GNMA POOL #003131 712 5.50 09/20/31 721 757 GNMA POOL #004397 75,812 4.50 03/20/39 79,425 81,506 GNMA POOL #004097 96,063 5.00 03/20/38 101,585 106,300 GNMA POOL #004194 31,930 5.50 07/20/38 33,906 35,573 GNMA POOL #004220 48,540 5.00 08/20/38 51,120 53,694 GNMA POOL #004244 779 5.50 09/20/38 824 868 GNMA POOL #004289 23,638 5.00 11/20/38 25,166 26,143 GNMA POOL #004922 104,347 4.00 01/20/41 108,553 110,690 GNMA POOL #005084 85,216 5.50 06/20/41 91,136 96,597 GNMA POOL #005233 715,621 4.00 11/20/41 744,445 759,512 GNMA POOL #609383 1,962 5.50 04/15/33 2,074 2,171 GNMA POOL #611423 811 5.50 04/15/33 841 878 GNMA POOL #611547 758 5.50 05/15/33 798 822 GNMA POOL #611529 371 5.50 05/15/33 392 399 GNMA POOL #612929 873 5.50 07/15/33 919 937 GNMA POOL #612802 1,528 5.50 05/15/33 1,628 1,684 GNMA POOL #345077 437 7.00 03/15/26 444 468 GNMA POOL #345133 592 7.50 01/15/24 586 625 GNMA POOL #346691 251 7.50 08/15/23 246 262 GNMA POOL #366658 135 7.00 01/15/24 132 140 GNMA POOL #403938 46 8.00 08/15/24 31 46 GNMA POOL #405557 249 7.00 01/15/26 253 267 GNMA POOL #422301 341 7.00 02/15/26 345 363 GNMA POOL #425008 2,771 5.00 11/15/33 2,924 3,070 GNMA POOL #429675 5,931 5.00 11/15/33 6,175 6,556 GNMA POOL #429677 690 5.00 11/15/33 717 738 GNMA POOL #434129 451 7.00 12/15/28 460 459 GNMA POOL #455357 841 7.00 12/15/27 861 907 GNMA POOL #458719 347 7.00 12/15/27 355 373 GNMA POOL #460971 570 7.50 11/15/27 577 596 GNMA POOL #462642 872 6.50 07/15/28 889 969 GNMA POOL #462826 782 7.00 07/15/28 788 807 GNMA POOL #462827 319 7.00 07/15/28 321 322 GNMA POOL #464763 269 7.00 08/15/28 272 275 GNMA POOL #469651 355 7.00 10/15/28 360 366 GNMA POOL #482699 385 7.00 08/15/28 392 401 GNMA POOL #716792 970 4.50 04/15/39 1,015 1,055 GNMA POOL #716812 27,932 4.50 04/15/39 29,245 30,372 GNMA POOL #716850 20,568 4.50 04/15/39 21,478 22,370




December 31, 2019


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Government/Agency Bonds (Continued) GNMA POOL #720162 13,956 4.50% 07/15/39 $ 14,559 $ 15,174 GNMA POOL #720156 19,918 4.50 07/15/39 20,771 21,658 GNMA POOL #721338 8,847 5.00 10/15/40 9,266 9,466 GNMA POOL #722760 42,086 6.50 08/15/39 44,596 46,437 GNMA POOL #722282 37,282 4.50 09/15/39 38,905 40,536 GNMA POOL #722258 5,578 4.50 09/15/39 5,793 6,067 GNMA POOL #723616 46,458 5.00 01/15/40 49,458 51,774 GNMA POOL #723430 41,853 4.50 11/15/39 43,925 45,520 GNMA POOL #723544 34,112 5.50 12/15/39 36,030 37,776 GNMA POOL #724935 15,475 4.50 01/15/40 15,918 16,788 GNMA POOL #726316 114,210 5.00 09/15/39 121,550 127,179 GNMA POOL #726380 144,354 4.50 10/15/39 152,132 157,864 GNMA POOL #726019 41,966 4.50 06/15/40 44,260 45,859 GNMA POOL #727290 13,479 4.50 01/15/40 13,999 14,349 GNMA POOL #732462 4,952 4.50 05/15/40 5,077 5,296 GNMA POOL #732490 50,275 6.00 03/15/40 53,548 55,385 GNMA POOL #732531 14,214 5.00 08/15/40 15,122 15,828 GNMA POOL #733153 48,657 4.50 05/15/40 51,044 53,163 GNMA POOL #733747 95,781 5.00 06/15/40 101,050 106,671 GNMA POOL #733871 43,593 4.50 08/15/40 45,753 47,424 GNMA POOL #734029 54,133 4.50 11/15/40 57,045 58,995 GNMA POOL #734161 22,083 3.50 01/15/41 22,678 23,237 GNMA POOL #737031 55,136 4.50 02/15/40 57,623 59,987 GNMA POOL #738003 43,243 4.50 02/15/41 45,496 47,270 GNMA POOL #738015 39,875 4.50 02/15/41 41,827 43,350 GNMA POOL #737376 10,693 4.50 03/15/40 11,156 11,634 GNMA POOL #737382 15,560 5.00 03/15/40 16,369 17,332 GNMA POOL #737532 111,644 4.00 10/15/40 116,321 118,961 GNMA POOL #737794 83,645 4.00 12/15/40 87,345 90,432 GNMA POOL #737898 165,056 4.00 01/15/41 172,332 178,420 GNMA POOL #738904 46,547 4.00 10/15/41 48,326 49,537 GNMA POOL #672877 61,172 5.50 07/15/38 64,743 68,685 GNMA POOL #675179 65,807 5.00 03/15/38 68,880 73,395 GNMA POOL #676842 7,723 5.50 05/15/38 8,255 8,672 GNMA POOL #676859 35,176 5.00 05/15/38 36,830 39,229 GNMA POOL #676678 3,781 6.00 01/15/38 4,075 4,324 GNMA POOL #676927 75,800 5.50 04/15/38 80,916 85,110 GNMA POOL #677051 5,190 5.50 06/15/38 5,540 5,824 GNMA POOL #687719 21,973 5.50 07/15/38 23,443 24,672 GNMA POOL #689508 8,498 6.00 07/15/38 9,076 9,527 GNMA POOL #692595 54,991 5.00 06/15/39 58,214 61,265 GNMA POOL #694553 9,817 5.50 12/15/38 10,272 11,022 GNMA POOL #696537 4,562 5.50 08/15/38 4,843 5,014 GNMA POOL #698402 29,749 4.50 07/15/39 31,153 32,363 GNMA POOL #698483 36,819 4.50 08/15/39 38,438 40,050 GNMA POOL #697704 1,354 5.50 12/15/38 1,437 1,520 GNMA POOL #697749 20,481 5.00 03/15/39 21,537 22,821 GNMA POOL #697914 77,896 5.00 03/15/39 82,642 86,782 GNMA POOL #697947 80,529 5.00 03/15/39 85,268 89,737 GNMA POOL #698010 6,929 5.00 01/15/39 7,291 7,729




December 31, 2019


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Government/Agency Bonds (Continued) GNMA POOL #698033 4,355 5.50% 01/15/39 $ 4,546 $ 4,823 GNMA POOL #698073 55,218 4.50 04/15/39 57,558 60,038 GNMA POOL #698095 17,908 4.50 04/15/39 18,678 19,485 GNMA POOL #698103 106,505 5.00 04/15/39 112,145 118,769 GNMA POOL #698223 3,444 4.00 06/15/39 3,567 3,665 GNMA POOL #698308 29,576 4.50 05/15/39 31,177 32,320 GNMA POOL #698343 35,637 5.00 05/15/39 37,551 39,732 GNMA POOL #699137 999 6.00 09/15/38 1,065 1,116 GNMA POOL #699237 547 6.50 09/15/38 576 611 GNMA POOL #699494 959 6.00 10/15/38 1,020 1,082 GNMA POOL #699495 551 6.00 10/15/38 586 615 GNMA POOL #699972 1,145 6.50 12/15/38 1,207 1,280 GNMA POOL #700811 129 6.00 10/15/38 135 142 GNMA POOL #700785 3,383 6.00 10/15/38 3,433 3,728 GNMA POOL #701051 245 6.00 10/15/38 237 270 GNMA POOL #701206 3,835 6.00 10/15/38 4,095 4,299 GNMA POOL #702547 5,995 5.50 11/15/38 6,347 6,729 GNMA POOL #704109 266 6.00 12/15/38 284 300 GNMA POOL #704575 28,833 4.50 06/15/39 30,168 30,885 GNMA POOL #705357 886 6.00 12/15/38 942 1,014 GNMA POOL #706474 1,393 6.00 01/15/39 1,482 1,592 GNMA POOL #706529 21,341 6.50 02/15/39 22,303 24,107 GNMA POOL #707286 6,660 5.00 02/15/39 6,940 7,425 GNMA POOL #709484 782 5.50 07/15/39 800 838 GNMA POOL #711321 1,027 6.00 01/15/39 1,051 1,131 GNMA POOL #761750 7,653 4.50 05/15/41 7,955 8,319 GNMA POOL #768132 14,481 4.50 07/15/41 15,048 15,507 GNMA POOL #770399 33,648 4.50 06/15/41 35,159 36,578 GNMA POOL #779579 41,371 3.50 10/15/41 42,427 43,241 GNMA POOL #779084 84,471 3.00 04/15/42 85,407 86,961 GNMA POOL #779396 247,661 3.50 06/15/42 255,012 260,484 GNMA POOL #796233 128,155 3.50 05/15/42 131,755 134,823 GNMA POOL #796269 322,008 3.50 07/15/42 332,216 338,696 GNMA POOL #AA1881 207,961 3.00 09/15/42 210,185 214,413 GNMA POOL #AB9822 274,851 3.50 03/20/43 281,800 288,653 GNMA POOL #AB9203 477,227 3.00 11/15/42 482,719 492,032 GNMA POOL #MA0023 186,991 4.00 04/20/42 194,572 198,020 GNMA POOL #MA0089 489,164 4.00 05/20/42 509,160 519,203 GNMA POOL #MA0154 211,594 3.50 06/20/42 218,247 223,549 GNMA POOL #MA0321 83,233 5.00 08/20/42 87,661 91,982 GNMA POOL #MA0391 377,870 3.00 09/20/42 382,825 391,220 GNMA POOL #MA0392 319,923 3.50 09/20/42 329,781 336,765 GNMA POOL #MA0462 631,888 3.50 10/20/42 651,236 665,087 GNMA POOL #MA0533 380,633 3.00 11/20/42 385,800 394,080 GNMA POOL #MA0624 1,002,005 3.00 12/20/42 1,015,880 1,037,405 GNMA POOL #MA0628 17,878 5.00 12/20/42 18,847 19,788 GNMA POOL #MA0698 704,789 3.00 01/20/43 714,778 729,689 GNMA POOL #MA1678 115,859 4.00 02/20/44 120,256 122,963 GNMA POOL #MA1680 97,759 5.00 02/20/44 102,509 107,955 GNMA POOL #MA1761 960,116 4.00 03/20/44 996,853 1,018,945




December 31, 2019


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Government/Agency Bonds (Continued) GNMA POOL #MA0933 509,974 3.00% 04/20/43 $ 517,324 $ 527,992 GNMA POOL #MA0934 402,028 3.50 04/20/43 413,973 424,373 GNMA POOL #MA1015 120,662 5.00 05/20/43 127,100 133,404 GNMA POOL #MA1089 417,149 3.00 06/20/43 423,198 431,800 GNMA POOL #MA1090 491,663 3.50 06/20/43 506,347 518,890 GNMA POOL #MA1092 325,469 4.50 06/20/43 342,430 351,594 GNMA POOL #MA1285 359,449 3.50 09/20/43 370,332 378,349 GNMA POOL #MA1377 97,793 4.50 10/20/43 101,317 104,939 GNMA POOL #MA1521 542,681 3.50 12/20/43 559,212 569,719 GNMA POOL #MA1523 240,764 4.50 12/20/43 249,341 258,358 GNMA POOL #MA1600 640,013 3.50 01/20/44 659,570 671,457 GNMA POOL #MA2677 621,923 3.00 03/20/45 627,976 641,874 GNMA POOL #MA2678 300,652 3.50 03/20/45 309,163 313,397 GNMA POOL #MA1838 600,329 3.50 04/20/44 618,495 628,337 GNMA POOL #MA1919 396,691 3.50 05/20/44 412,456 415,198 GNMA POOL #MA1920 351,137 4.00 05/20/44 364,402 372,654 GNMA POOL #MA2303 952,836 3.50 10/20/44 980,227 998,345 GNMA POOL #MA2444 534,430 3.00 12/20/44 539,856 552,707 GNMA POOL #MA3521 712,591 3.50 03/20/46 731,670 742,543 GNMA POOL #MA3596 684,529 3.00 04/20/46 691,107 706,361 GNMA POOL #MA3597 4,071,615 3.50 04/20/46 4,239,870 4,239,462 GNMA POOL #MA2756 278,446 4.50 04/20/45 288,331 298,664 GNMA POOL #MA2892 474,748 3.50 06/20/45 487,313 494,897 GNMA POOL #MA3035 591,611 4.00 08/20/45 608,185 625,828 GNMA POOL #MA3036 283,089 4.50 08/20/45 293,375 302,084 GNMA POOL #MA3106 406,552 4.00 09/20/45 418,444 427,766 GNMA POOL #MA3173 793,965 3.50 10/20/45 814,907 830,521 GNMA POOL #MA3174 523,095 4.00 10/20/45 538,027 548,629 GNMA POOL #MA3377 1,365,416 4.00 01/20/46 1,405,482 1,436,666 GNMA POOL #MA4450 383,891 3.00 05/20/47 387,606 395,778 GNMA POOL #MA4451 1,179,375 3.50 05/20/47 1,212,065 1,226,710 GNMA POOL #MA3736 942,737 3.50 06/20/46 967,885 980,503 GNMA POOL #MA3802 1,087,558 3.00 07/20/46 1,098,039 1,121,939 GNMA POOL #MA4004 835,507 3.50 10/20/46 858,189 868,311 GNMA POOL #MA4068 1,255,737 3.00 11/20/46 1,267,805 1,295,163 GNMA POOL #MA4069 1,189,615 3.50 11/20/46 1,222,086 1,235,845 GNMA POOL #MA4262 1,526,471 3.50 02/20/47 1,568,266 1,585,641 GNMA POOL #MA4264 1,001,902 4.50 02/20/47 1,036,164 1,060,845 GNMA POOL #MA4509 868,245 3.00 06/20/47 876,570 894,875 GNMA POOL #MA4510 1,112,658 3.50 06/20/47 1,143,447 1,150,381 GNMA POOL #MA4586 1,725,454 3.50 07/20/47 1,772,616 1,792,229 GNMA POOL #MA4652 2,336,232 3.50 08/20/47 2,400,400 2,426,638 GNMA POOL #MA4718 4,830,032 3.00 09/20/47 4,876,400 4,976,253 GNMA POOL #MA4720 2,039,951 4.00 09/20/47 2,107,967 2,139,031 GNMA POOL #AD1744 252,975 3.00 02/20/43 255,713 261,018 GNMA POOL #AD2336 162,260 3.50 04/15/43 166,759 168,983 GNMA POOL #AD8811 516,141 3.00 03/20/43 521,598 532,540 GNMA POOL #AM4971 357,467 3.50 04/20/45 367,760 373,468 GNMA POOL #598543 552 5.50 04/15/35 571 591 GNMA POOL #598579 759 5.50 12/15/32 792 827


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December 31, 2019


Government/Agency Bonds (Continued) GNMA POOL #598660 2,571 5.50% 05/15/33 $ 2,655 $ 2,876 GNMA POOL #603673 1,832 5.50 05/15/33 1,942 2,056 GNMA POOL #603841 708 5.50 12/15/32 738 760 GNMA POOL #604871 3,978 5.00 12/15/33 4,168 4,409 GNMA POOL #604087 610 5.50 03/15/33 649 684 GNMA POOL #604142 2,045 5.50 03/15/33 2,171 2,293 GNMA POOL #604185 1,370 5.50 04/15/33 1,435 1,527 GNMA POOL #604245 4,590 5.50 04/15/33 4,826 5,151 GNMA POOL #604337 5,879 5.50 05/15/33 6,235 6,600 GNMA POOL #604474 10,211 5.00 07/15/33 10,686 11,317 GNMA POOL #604479 13,298 5.00 07/15/33 14,042 14,585 GNMA POOL #604550 3,781 5.00 08/15/33 3,956 4,191 GNMA POOL #713592 10,052 4.00 07/15/39 10,361 10,596 GNMA POOL #713872 20,820 4.50 09/15/39 21,596 22,638 GNMA POOL #714529 11,633 4.00 06/15/39 11,941 12,166 Tennessee Valley Authority 199,000 5.38 04/01/56 AA+ 269,911 301,191 Tennessee Valley Authority 309,000 5.25 09/15/39 AA+ 403,915 423,663 Tennessee Valley Authority 52,000 3.88 02/15/21 AA+ 53,159 53,252 Tennessee Valley Authority 99,000 3.50 12/15/42 AA+ 103,882 110,752 Tennessee Valley Authority 199,000 2.88 09/15/24 AA+ 203,382 208,073

Total Federal Agencies 382,867,565 389,206,865 US Government Notes & Bonds: 52.09%

US Treasury Bond 1,960,000 5.25 02/15/29 2,501,215 2,504,749 US Treasury Bond 2,185,000 3.00 02/15/49 2,371,507 2,462,142 US Treasury Bond 2,360,000 2.88 05/15/49 2,505,369 2,598,326 US Treasury Bond 1,095,000 7.63 11/15/22 1,247,901 1,279,456 US Treasury Bond 835,000 2.75 08/15/42 823,348 890,662 US Treasury Bond 1,953,000 2.75 11/15/42 1,933,010 2,081,692 US Treasury Bond 771,000 3.13 02/15/43 844,796 873,331 US Treasury Bond 1,153,000 2.88 05/15/43 1,158,082 1,254,580 US Treasury Bond 1,962,000 3.63 08/15/43 2,422,077 2,403,182 US Treasury Bond 2,643,000 3.75 11/15/43 3,118,878 3,301,220 US Treasury Bond 1,485,000 3.63 02/15/44 1,650,367 1,822,715 US Treasury Bond 1,192,000 3.38 05/15/44 1,302,383 1,408,919 US Treasury Bond 994,000 3.00 11/15/44 1,019,059 1,106,644 US Treasury Bond 3,048,000 2.50 02/15/45 2,844,965 3,106,061 US Treasury Bond 3,404,000 3.00 05/15/45 3,430,784 3,795,557 US Treasury Bond 3,142,000 2.88 08/15/45 3,042,433 3,430,476 US Treasury Bond 1,605,000 3.00 11/15/45 1,507,624 1,793,359 US Treasury Bond 2,477,000 2.50 02/15/46 2,415,939 2,525,802 US Treasury Bond 2,874,000 2.50 05/15/46 2,618,211 2,930,567 US Treasury Bond 3,965,000 2.25 08/15/46 3,480,041 3,848,399 US Treasury Bond 3,266,000 2.88 11/15/46 3,256,283 3,578,230 US Treasury Bond 3,874,000 3.00 02/15/47 4,120,209 4,347,536 US Treasury Bond 2,986,000 3.00 05/15/47 3,033,244 3,350,822 US Treasury Bond 5,270,700 2.75 08/15/47 5,140,699 5,645,477 US Treasury Bond 79,000 8.00 11/15/21 87,867 88,210 US Treasury Bond 79,000 7.25 08/15/22 89,582 90,385 US Treasury Bond 159,000 7.13 02/15/23 183,303 185,695 US Treasury Bond 2,931,000 6.25 08/15/23 3,356,293 3,402,843


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December 31, 2019


Government/Agency Bonds (Continued) US Treasury Bond 230,000 6.88% 08/15/25 $ 286,586 $ 293,157 US Treasury Bond 795,000 6.00 02/15/26 963,983 988,966 US Treasury Bond 1,504,000 6.75 08/15/26 1,930,300 1,968,047 US Treasury Bond 676,000 6.50 11/15/26 855,587 880,620 US Treasury Bond 119,000 6.63 02/15/27 152,677 157,088 US Treasury Bond 1,070,000 6.13 11/15/27 1,353,858 1,404,791 US Treasury Bond 1,856,000 5.50 08/15/28 2,257,558 2,387,141 US Treasury Bond 2,743,000 5.25 11/15/28 3,223,421 3,490,069 US Treasury Bond 1,427,000 6.13 08/15/29 1,946,790 1,954,842 US Treasury Bond 1,815,000 6.25 05/15/30 2,422,858 2,550,582 US Treasury Bond 397,000 5.38 02/15/31 510,212 532,394 US Treasury Bond 834,000 4.50 02/15/36 1,045,084 1,104,715 US Treasury Bond 238,000 4.75 02/15/37 307,719 327,138 US Treasury Bond 354,000 5.00 05/15/37 468,350 500,541 US Treasury Bond 675,000 4.38 02/15/38 839,158 896,853 US Treasury Bond 1,174,000 4.50 05/15/38 1,582,473 1,584,582 US Treasury Bond 318,000 3.50 02/15/39 354,812 380,658 US Treasury Bond 413,000 4.25 05/15/39 507,208 542,889 US Treasury Bond 1,868,000 4.50 08/15/39 2,343,553 2,532,263 US Treasury Bond 1,002,000 4.38 11/15/39 1,221,598 1,339,439 US Treasury Bond 761,000 4.63 02/15/40 1,004,038 1,050,926 US Treasury Bond 568,000 4.38 05/15/40 710,359 761,762 US Treasury Bond 572,000 3.88 08/15/40 670,460 720,088 US Treasury Bond 612,000 4.25 11/15/40 754,429 808,985 US Treasury Bond 1,158,000 4.75 02/15/41 1,474,310 1,631,638 US Treasury Bond 828,000 4.38 05/15/41 1,021,140 1,114,852 US Treasury Bond 62,000 3.75 08/15/41 71,256 76,880 US Treasury Bond 590,000 3.13 11/15/41 620,115 668,416 US Treasury Bond 4,190,000 3.13 02/15/42 4,495,451 4,747,085 US Treasury Bond 2,467,000 3.00 05/15/42 2,541,031 2,741,167 US Treasury Bond 3,285,000 2.75 11/15/47 3,069,351 3,518,526 US Treasury Bond 3,715,000 3.00 02/15/48 4,038,898 4,171,431 US Treasury Bond 1,630,000 3.00 08/15/48 1,598,148 1,833,568 US Treasury Bond 4,025,000 3.00 09/30/25 4,023,161 4,295,121 US Treasury Bond 1,020,000 3.38 11/15/48 1,031,889 1,229,367 US Treasury Note 2,400,000 1.50 10/31/24 2,379,750 2,377,707 US Treasury Note 4,160,000 1.88 07/31/26 4,192,854 4,173,479 US Treasury Note 5,210,000 1.75 07/15/22 5,224,903 5,227,772 US Treasury Note 5,305,000 1.75 06/15/22 5,325,930 5,324,049 US Treasury Note 2,735,000 2.25 08/15/49 2,746,081 2,649,958 US Treasury Note 1,610,000 2.38 11/15/49 1,657,747 1,602,765 US Treasury Note 5,100,000 1.88 08/31/24 5,154,412 5,139,218 US Treasury Note 3,455,000 2.63 12/15/21 3,520,613 3,522,579 US Treasury Note 3,385,000 2.38 04/30/26 3,518,378 3,500,362 US Treasury Note 4,420,000 1.75 07/31/21 4,428,106 4,429,807 US Treasury Note 4,540,000 2.00 02/28/21 4,553,915 4,558,090 US Treasury Note 3,560,000 1.88 11/30/21 3,579,769 3,579,693 US Treasury Note 4,865,000 1.75 07/31/24 4,888,112 4,876,053 US Treasury Note 2,015,000 1.50 08/15/22 2,010,901 2,009,616 US Treasury Note 3,915,000 1.63 08/15/29 3,872,682 3,810,944




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) US Treasury Note 1,875,000 1.38% 08/31/26 $ 1,851,797 $ 1,821,823 US Treasury Note 2,020,000 1.25 08/31/24 1,998,000 1,979,508 US Treasury Note 60,000 1.50 09/15/22 59,899 59,831 US Treasury Note 1,940,000 1.63 09/30/26 1,940,658 1,914,586 US Treasury Note 1,945,000 1.50 09/30/24 1,940,737 1,926,957 US Treasury Note 5,175,000 1.50 10/31/21 5,166,272 5,166,507 US Treasury Note 1,635,000 1.75 11/15/29 1,629,044 1,609,038 US Treasury Note 4,530,000 1.50 11/30/24 4,499,539 4,488,927 US Treasury Note 2,455,000 1.38 08/31/23 2,377,680 2,430,511 US Treasury Note 2,635,000 1.63 08/31/22 2,572,960 2,635,860 US Treasury Note 4,600,000 2.00 01/15/21 4,603,125 4,616,632 US Treasury Note 1,755,000 2.25 02/15/21 1,749,830 1,766,598 US Treasury Note 3,750,000 2.63 05/15/21 3,754,608 3,800,964 US Treasury Note 2,200,000 2.75 08/31/23 2,234,048 2,284,476 US Treasury Note 3,685,000 2.88 10/15/21 3,724,695 3,766,777 US Treasury Note 325,000 3.00 10/31/25 332,067 346,998 US Treasury Note 4,115,000 3.13 11/15/28 4,298,222 4,521,454 US Treasury Note 2,985,000 2.63 12/31/25 3,027,235 3,127,302 US Treasury Note 3,575,000 2.63 01/31/26 3,597,326 3,745,948 US Treasury Note 3,050,000 2.63 02/15/29 3,108,693 3,230,044 US Treasury Note 3,160,000 2.25 03/31/26 3,139,851 3,243,536 US Treasury Note 2,500,000 2.25 04/30/24 2,542,318 2,557,933 US Treasury Note 3,950,000 1.75 06/30/24 3,953,491 3,958,874 US Treasury Note 3,495,000 1.63 06/30/21 3,489,049 3,495,716 US Treasury Note 2,345,000 1.88 06/30/26 2,345,171 2,353,902 US Treasury Note 3,390,000 1.88 08/31/22 3,336,965 3,413,237 US Treasury Note 4,245,000 2.25 01/31/24 4,203,084 4,339,731 US Treasury Note 3,165,000 2.13 06/30/21 3,150,284 3,189,426 US Treasury Note 3,680,000 2.25 07/31/21 3,675,543 3,716,384 US Treasury Note 2,765,000 2.00 07/31/22 2,731,792 2,792,232 US Treasury Note 1,565,000 1.88 03/31/22 1,561,922 1,574,377 US Treasury Note 1,734,000 2.75 11/15/23 1,773,364 1,803,401 US Treasury Note 1,192,000 2.25 04/30/21 1,198,484 1,201,899 US Treasury Note 3,561,000 2.50 05/15/24 3,600,474 3,681,475 US Treasury Note 1,192,000 2.00 05/31/21 1,194,562 1,198,365 US Treasury Note 3,607,000 1.88 04/30/22 3,611,030 3,628,957 US Treasury Note 3,775,000 2.00 04/30/24 3,666,612 3,823,398 US Treasury Note 5,008,000 2.38 05/15/27 5,009,239 5,188,447 US Treasury Note 2,270,000 2.13 05/15/25 2,215,048 2,314,455 US Treasury Note 3,437,000 1.88 05/31/22 3,392,010 3,459,189 US Treasury Note 1,987,000 2.00 05/31/24 1,970,122 2,012,759 US Treasury Note 3,000,000 1.75 06/30/22 2,982,264 3,011,089 US Treasury Note 3,179,000 2.00 06/30/24 3,150,536 3,220,169 US Treasury Note 3,779,000 1.50 08/15/26 3,582,081 3,701,502 US Treasury Note 2,385,000 1.13 08/31/21 2,355,713 2,366,077 US Treasury Note 1,590,000 2.13 07/31/24 1,583,788 1,619,451 US Treasury Note 376,000 1.88 07/31/22 374,753 378,483 US Treasury Note 3,894,000 2.25 08/15/27 3,818,131 4,000,129 US Treasury Note 4,247,000 1.88 09/30/22 4,230,818 4,277,170 US Treasury Note 7,475,000 2.13 09/30/24 7,440,749 7,617,355




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued) US Treasury Note 3,720,000 2.25% 12/31/24 $ 3,703,653 $ 3,815,407 US Treasury Note 1,343,000 2.75 02/15/24 1,363,422 1,399,720 US Treasury Note 3,824,000 2.38 08/15/24 3,800,461 3,937,529 US Treasury Note 2,045,000 2.00 10/31/21 2,048,513 2,059,721 US Treasury Note 3,099,000 2.25 11/15/24 3,060,902 3,177,207 US Treasury Note 795,000 2.13 12/31/21 798,083 803,109 US Treasury Note 1,590,000 1.50 01/31/22 1,575,883 1,587,095 US Treasury Note 2,914,000 2.00 02/15/25 2,824,655 2,953,174 US Treasury Note 2,887,000 1.75 02/28/22 2,826,541 2,896,796 US Treasury Note 795,000 1.75 03/31/22 791,277 797,681 US Treasury Note 4,346,000 2.00 08/15/25 4,239,495 4,400,937 US Treasury Note 3,670,000 1.75 09/30/22 3,625,949 3,682,874 US Treasury Note 3,611,000 2.25 11/15/25 3,602,788 3,705,345 US Treasury Note 994,000 2.00 11/30/22 993,000 1,004,663 US Treasury Note 1,192,000 2.13 12/31/22 1,194,567 1,209,462 US Treasury Note 2,795,000 1.38 01/31/21 2,779,292 2,786,962 US Treasury Note 3,879,000 1.75 01/31/23 3,875,152 3,892,689 US Treasury Note 3,877,000 1.63 02/15/26 3,724,562 3,838,580 US Treasury Note 3,179,000 1.50 02/28/23 3,084,950 3,165,932 US Treasury Note 2,583,000 1.13 02/28/21 2,562,728 2,567,566 US Treasury Note 1,351,000 3.63 02/15/21 1,378,352 1,380,403 US Treasury Note 1,431,000 1.50 03/31/23 1,404,979 1,424,866 US Treasury Note 3,338,000 1.25 03/31/21 3,314,711 3,322,303 US Treasury Note 3,762,000 1.38 04/30/21 3,720,636 3,749,977 US Treasury Note 1,509,000 3.13 05/15/21 1,535,327 1,539,586 US Treasury Note 1,987,000 1.63 04/30/23 1,957,129 1,985,509 US Treasury Note 3,581,000 1.63 05/15/26 3,486,233 3,540,660 US Treasury Note 5,130,000 1.63 05/31/23 5,120,344 5,126,649 US Treasury Note 2,067,000 1.38 05/31/21 2,053,510 2,060,357 US Treasury Note 2,934,000 2.13 08/15/21 2,923,086 2,957,927 US Treasury Note 2,424,000 2.00 11/15/21 2,428,871 2,442,463 US Treasury Note 3,577,000 1.13 06/30/21 3,538,860 3,551,280 US Treasury Note 1,590,000 1.38 06/30/23 1,550,691 1,575,012 US Treasury Note 3,179,000 1.13 07/31/21 3,142,396 3,154,587 US Treasury Note 2,963,000 2.00 02/15/22 2,952,764 2,987,218 US Treasury Note 795,000 1.75 05/15/22 791,195 797,593 US Treasury Note 3,272,000 1.13 09/30/21 3,197,818 3,244,819 US Treasury Note 3,179,000 1.25 10/31/21 3,141,998 3,158,986 US Treasury Note 3,395,000 1.63 10/31/23 3,333,513 3,389,249 US Treasury Note 4,160,000 1.63 08/15/22 4,153,086 4,161,895 US Treasury Note 874,000 1.63 11/15/22 864,330 874,164 US Treasury Note 5,254,000 2.00 11/15/26 5,206,524 5,308,624 US Treasury Note 2,385,000 1.75 11/30/21 2,377,656 2,391,664 US Treasury Note 2,385,000 2.00 12/31/21 2,388,280 2,403,356 US Treasury Note 3,179,000 2.00 02/15/23 3,172,487 3,214,291 US Treasury Note 1,302,000 2.25 12/31/23 1,306,519 1,330,566 US Treasury Note 2,385,000 1.88 01/31/22 2,381,696 2,398,176 US Treasury Note 3,817,000 2.25 02/15/27 3,922,959 3,919,475 US Treasury Note 1,987,000 1.75 05/15/23 1,964,558 1,993,332 US Treasury Note 1,550,000 2.50 08/15/23 1,570,904 1,595,301


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December 31, 2019


Government/Agency Bonds (Continued) US Treasury Note 2,329,000 2.13% 02/29/24 $ 2,324,047 $ 2,370,206 US Treasury Note 1,590,000 1.88 02/28/22 1,587,504 1,599,188 US Treasury Note 3,755,000 2.13 03/31/24 3,781,378 3,821,530 US Treasury Note 3,490,000 2.00 10/31/22 3,455,057 3,526,437 US Treasury Note 1,810,000 2.25 11/15/27 1,760,784 1,859,067 US Treasury Note 1,220,000 2.50 01/31/25 1,214,616 1,266,619 US Treasury Note 4,145,000 2.75 02/15/28 4,104,542 4,413,411 US Treasury Note 2,655,000 2.50 03/31/23 2,630,927 2,726,935 US Treasury Note 4,045,000 2.38 04/15/21 4,033,060 4,083,455 US Treasury Note 10,000 2.75 04/30/23 10,007 10,356 US Treasury Note 45,000 2.88 04/30/25 44,689 47,606 US Treasury Note 4,360,000 2.88 05/15/28 4,516,463 4,689,846 US Treasury Note 1,930,000 2.75 05/31/23 1,935,093 1,999,860 US Treasury Note 2,180,000 2.88 08/15/28 2,166,442 2,347,993 US Treasury Note 1,415,000 2.75 08/31/25 1,411,766 1,490,191 US Treasury Note 3,960,000 2.00 08/31/21 3,916,205 3,985,280 US Treasury Note 815,000 2.13 09/30/21 805,774 822,097 US Treasury Note 3,360,000 1.88 10/31/22 3,302,522 3,383,260 US Treasury Note 3,300,000 1.25 07/31/23 3,121,783 3,253,350 US Treasury Note 2,315,000 1.38 09/30/23 2,190,246 2,290,142 US Treasury Note 2,465,000 2.75 06/30/25 2,458,285 2,593,918 US Treasury Note 3,075,000 2.63 07/15/21 3,063,559 3,122,280 US Treasury Note 800,000 2.75 07/31/23 794,222 830,173 US Treasury Note 1,340,000 2.88 07/31/25 1,336,509 1,419,539 US Treasury Note 2,725,000 2.13 11/30/23 2,633,102 2,771,325 US Treasury Note 3,300,000 2.88 09/30/23 3,302,334 3,444,049 US Treasury Note 3,300,000 2.13 06/30/22 3,228,799 3,342,129

Total US Government Notes & Bonds 513,890,126 528,628,554 Total Government/Agency Bonds 896,757,691 917,835,419

Foreign Government Bonds: 3.94% African Development Bank 350,000 3.00 09/20/23 AAA 358,009 366,144 Asian Development Bank 180,000 6.22 08/15/27 AAA 232,645 226,428 Asian Development Bank 920,000 1.88 07/19/22 AAA 925,159 923,843 Asian Development Bank 10,000 1.75 09/19/29 AAA 9,971 9,767 Asian Development Bank 230,000 2.13 03/19/25 AAA 226,374 233,345 Asian Development Bank 170,000 2.25 01/20/21 AAA 169,448 170,978 Asian Development Bank 470,000 6.38 10/01/28 AAA 613,649 623,456 Asian Development Bank 110,000 2.75 01/19/28 AAA 109,190 116,545 Asian Development Bank 250,000 2.75 03/17/23 AAA 247,504 258,145 Asian Development Bank 120,000 1.75 09/13/22 AAA 115,781 120,212 Asian Infrastructure Investment Bank 420,000 2.25 05/16/24 AAA 426,345 427,935 Canada Government International

Bond 335,000 2.00 11/15/22 AAA 330,537 337,878 Chile Government International Bond 245,000 3.24 02/06/28 A+ 246,930 257,740 Chile Government International Bond 305,000 3.13 01/21/26 A+ 311,134 317,962 Colombia Government International

Bond 420,000 5.00 06/15/45 BBB- 455,200 487,830 Colombia Government International

Bond 240,000 7.38 09/18/37 BBB- 313,202 340,800


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December 31, 2019


Foreign Government Bonds (Continued) Colombia Government International

Bond 440,000 4.00% 02/26/24 BBB- $ 452,107 $ 463,514 Colombia Government International

Bond 380,000 4.50 01/28/26 BBB- 399,170 413,603 Colombia Government International

Bond 40,000 8.13 05/21/24 BBB- 47,077 49,200 Corp Andina de Fomento 120,000 4.38 06/15/22 A+ 125,101 125,866 Corp Andina de Fomento 90,000 2.75 01/06/23 A+ 89,215 90,985 Council Of Europe Development

Bank 280,000 1.63 03/16/21 AAA 277,988 279,558 European Bank for Reconstruction &

Development 560,000 1.88 07/15/21 AAA 558,990 561,397 European Investment Bank 190,000 2.88 08/15/23 195,783 197,503 European Investment Bank 910,000 2.25 08/15/22 912,692 922,903 European Investment Bank 350,000 1.63 12/15/20 AAA 349,024 349,618 European Investment Bank 890,000 2.00 12/15/22 885,879 897,485 European Investment Bank 20,000 4.88 02/15/36 AAA 24,203 26,745 European Investment Bank 480,000 2.13 04/13/26 AAA 465,898 485,674 European Investment Bank 920,000 1.38 09/15/21 894,660 915,448 European Investment Bank 140,000 2.38 05/13/21 139,486 141,321 European Investment Bank 600,000 3.13 12/14/23 609,476 631,315 Export Development Canada 620,000 1.50 05/26/21 AAA 619,089 618,142 Export-Import Bank of Korea 500,000 2.63 12/30/20 AA 502,081 502,894 Export-Import Bank of Korea 200,000 3.00 11/01/22 AA 196,148 205,478 FMS Wertmanagement 230,000 2.75 03/06/23 AAA 231,058 237,159 FMS Wertmanagement 350,000 2.00 08/01/22 AAA 348,809 352,570 Hungary Government International

Bond 106,000 5.75 11/22/23 BBB 118,999 119,484 Hungary Government International



Bond 172,000 5.38 03/25/24 BBB 186,126 193,834 Indonesia Government International


Bond 245,000 4.35 01/11/48 249,139 269,765 Inter-American Development Bank 500,000 2.00 06/02/26 AAA 506,600 502,882 Inter-American Development Bank 170,000 2.38 07/07/27 173,734 175,319 Inter-American Development Bank 410,000 2.63 01/16/24 AAA 410,122 423,526 Inter-American Development Bank 10,000 4.38 01/24/44 11,777 13,154 Inter-American Development Bank 500,000 1.75 04/14/22 AAA 490,151 500,561 Inter-American Development Bank 720,000 3.00 02/21/24 AAA 739,562 755,186 Inter-American Development Bank 600,000 2.13 01/15/25 AAA 594,014 608,903 International Bank for Reconstruction

& Development 1,090,000 2.00 01/26/22 1,097,356 1,097,361 International Bank for Reconstruction

& Development 420,000 3.00 09/27/23 AAA 440,386 439,373


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December 31, 2019


Foreign Government Bonds (Continued) International Bank for Reconstruction

& Development 350,000 2.13% 11/01/20 AAA $ 349,217 $ 351,219 International Bank for Reconstruction

& Development 540,000 1.38 09/20/21 AAA 529,053 537,261 International Bank for Reconstruction

& Development 330,000 2.13 07/01/22 330,267 333,554 International Bank for Reconstruction





& Development 210,000 1.88 10/27/26 AAA 201,045 209,486 International Finance Corp 590,000 1.13 07/20/21 AAA 583,062 584,862 Israel Government AID Bond 110,000 5.50 12/04/23 AA+ 119,399 125,223 Israel Government AID Bond 30,000 5.50 09/18/33 AA+ 39,461 40,901 Israel Government International Bond 350,000 4.13 01/17/48 AA- 351,034 404,306 Japan Bank for International

Cooperation 400,000 2.38 07/21/22 A+ 393,697 404,452 Japan Bank for International



Cooperation 810,000 2.25 11/04/26 A+ 787,728 811,527 Korea Development Bank 210,000 2.75 03/19/23 AA 209,173 213,361 Korea Development Bank 360,000 2.00 09/12/26 AA 335,244 349,037 Korea International Bond 240,000 3.88 09/11/23 AA 249,611 255,453 Mexico Government International

Bond 120,000 5.55 01/21/45 BBB+ 144,936 147,720 Mexico Government International







Bond 95,000 6.75 09/27/34 BBB+ 107,012 130,150 Nordic Investment Bank 390,000 1.63 11/20/20 AAA 389,220 389,366 Panama Government International

Bond 200,000 4.00 09/22/24 BBB+ 202,983 214,200


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December 31, 2019


Foreign Government Bonds (Continued) Panama Government International

Bond 115,000 8.88% 09/30/27 BBB+ $ 149,929 $ 164,307 Panama Government International

Bond 435,000 9.38 04/01/29 BBB+ 646,693 664,462 Panama Government International

Bond 110,000 7.13 01/29/26 BBB+ 134,516 137,500 Peruvian Government International





Bond 25,000 4.13 08/25/27 BBB+ 26,970 28,000 Philippine Government International






Bond 55,000 10.63 03/16/25 BBB+ 71,865 77,720 Province of Alberta Canada 90,000 2.20 07/26/22 88,870 90,806 Province of Alberta Canada 130,000 3.30 03/15/28 128,184 140,547 Province of British Columbia 130,000 7.25 09/01/36 AAA 200,432 206,370 Province of British Columbia Canada 330,000 2.65 09/22/21 AAA 333,008 335,045 Province of Ontario Canada 280,000 2.50 04/27/26 A+ 285,056 285,657 Province of Ontario Canada 220,000 2.20 10/03/22 A+ 216,270 222,258 Province of Ontario Canada 110,000 2.30 06/15/26 A+ 110,433 111,350 Province of Ontario Canada 250,000 2.55 02/12/21 A+ 249,293 252,031 Province of Ontario Canada 580,000 2.50 09/10/21 A+ 579,353 587,071 Province of Ontario Canada 180,000 2.40 02/08/22 A+ 180,461 182,124 Province of Quebec Canada 300,000 2.63 02/13/23 AA- 307,858 307,731 Province of Quebec Canada 240,000 2.75 04/12/27 AA- 254,305 250,051 Province of Quebec Canada 190,000 2.50 04/09/24 AA- 189,732 194,489 Province of Quebec Canada 110,000 7.13 02/09/24 AA- 128,730 131,696 Province of Quebec Canada 450,000 2.50 04/20/26 AA- 446,675 461,477 Republic of Italy Government

International Bond 575,000 5.38 06/15/33 675,330 668,562 Republic of Poland Government

International Bond 210,000 5.00 03/23/22 A- 221,168 224,299 Republic of Poland Government

International Bond 125,000 3.25 04/06/26 A- 127,621 132,500


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December 31, 2019


Foreign Government Bonds (Continued) Republic of Poland Government

International Bond 260,000 5.13% 04/21/21 A- $ 269,327 $ 270,780 Svensk Exportkredit AB 780,000 2.88 03/14/23 AA+ 797,307 806,968 Uruguay Government International

Bond 290,000 4.13 11/20/45 BBB 309,913 311,750 Uruguay Government International




Bond 265,000 5.10 06/18/50 BBB 286,166 317,920 Total Foreign Government Bonds 38,852,115 40,049,322

Corporate Asset-Backed Securities: 0.63% Ally Auto Receivables Trust 2017-4 90,000 1.96 07/15/22 AAA 88,846 89,950 Ally Auto Receivables Trust 2018-3 260,000 3.12 07/17/23 AAA 265,229 264,911 Ally Master Owner Trust 350,000 2.70 01/17/23 AAA 352,645 352,464 American Express Credit Account

Master Trust 375,000 2.00 04/15/25 AAA 377,086 375,735 American Express Credit Account

Master Trust 100,000 2.87 10/15/24 100,639 102,137 Americredit Automobile Receivables

Trust 2019-2 135,000 2.74 04/18/25 135,608 136,127 Capital One Multi-Asset Execution

Trust 70,000 2.06 08/15/28 AAA 69,010 68,662 Capital One Multi-Asset Execution




Trust 85,000 2.29 07/15/25 AAA 84,007 85,883 CarMax Auto Owner Trust 100,000 3.91 01/15/25 BBB+ 99,703 102,915 Carmax Auto Owner Trust 2016-3 115,000 1.60 01/18/22 AAA 114,577 114,734 Carmax Auto Owner Trust 2019-1 255,000 3.05 03/15/24 AAA 255,787 259,159 CenterPoint Energy Restoration Bond

Co LLC 105,669 4.24 08/15/23 AAA 107,079 108,844 Chase Issuance Trust 105,000 2.16 09/15/24 AAA 102,564 105,676 Citibank Credit Card Issuance Trust 410,000 2.49 01/20/23 412,970 412,794 Citibank Credit Card Issuance Trust 225,000 3.29 05/23/25 AAA 228,334 233,769 Citibank Credit Card Issuance Trust 100,000 3.96 10/13/30 AAA 110,498 110,889 Drive Auto Receivables Trust 185,000 4.09 01/15/26 BBB+ 185,359 190,126 Fifth Third Auto Trust 2019-1 305,000 2.64 12/15/23 AAA 308,744 307,730 Ford Credit Floorplan Master Owner

Trust A 125,000 2.48 09/15/24 AAA 123,666 126,267 Nissan Auto Receivables 2018-C

Owner Trust 270,000 3.27 06/16/25 AAA 278,325 278,642


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December 31, 2019


Corporate Asset-Backed Securities (Continued) Nissan Auto Receivables 2019-C

Owner Trust 335,000 1.95% 05/15/26 AAA $ 334,989 $ 334,197 Synchrony Credit Card Master Note

Trust 60,000 2.62 10/15/25 AAA 59,009 60,887 Synchrony Credit Card Master Note

Trust 85,000 3.47 05/15/26 84,940 88,710 Synchrony Credit Card Master Note

Trust 2016-2 100,000 2.21 05/15/24 AAA 100,117 100,394 Toyota Auto Receivables 2017-B

Owner Trust 210,000 2.05 09/15/22 AAA 210,136 210,172 Toyota Auto Receivables 2018-A

Owner Trust 175,000 2.52 05/15/23 AAA 174,088 176,709 Toyota Auto Receivables 2019-A

Owner Trust 300,000 2.91 07/17/23 AAA 303,706 304,390 World Financial Network Credit Card

Master Trust 230,000 2.03 04/15/25 AAA 228,672 229,735 World Financial Network Credit Card

Master Trust 160,000 3.07 12/16/24 AAA 159,805 161,761 World Omni Auto Receivables Trust

2018-B 250,000 2.87 07/17/23 AAA 249,713 252,262 World Omni Auto Receivables Trust

2018-C 100,000 3.27 09/16/24 AAA 101,743 102,738 Total Corporate Asset-Backed Securities 6,320,878 6,369,300

Municipal Bonds: 0.81% American Municipal Power Inc 80,000 5.94 02/15/47 A 97,777 110,379 American Municipal Power Inc 65,000 8.08 02/15/50 A 109,076 111,285 American Municipal Power Inc 120,000 6.27 02/15/50 A 152,442 160,307 Bay Area Toll Authority 180,000 7.04 04/01/50 AA- 283,135 292,205 Bay Area Toll Authority 180,000 6.91 10/01/50 AA- 279,131 290,493 City of Chicago 190,000 5.43 01/01/42 BBB+ 188,893 196,156 City of Houston 330,000 3.96 03/01/47 340,158 364,861 Commonwealth of Massachusetts 260,000 4.91 05/01/29 AA 285,781 308,630 Los Angeles Department of Water &

Power Power System Revenue 60,000 6.60 07/01/50 AA+ 86,609 96,296 Los Angeles Department of Water &

Power Power System Revenue 5,000 5.72 07/01/39 AA 6,482 6,727 Los Angeles Department of Water &

Power Power System Revenue 35,000 6.57 07/01/45 AA 51,991 54,711 Metropolitan Transportation Authority 70,000 6.81 11/15/40 A 99,001 99,406 New Jersey Economic Development

Authority 100,000 7.43 02/15/29 BBB+ 122,502 125,373 New Jersey Transportation Trust Fund

Auth 130,000 6.56 12/15/40 BBB+ 175,737 171,591 New York City Transitional Finance

Authority Future Tax Secured Revenue 230,000 5.77 08/01/36 AAA 278,230 285,734

New York City Water & Sewer System 230,000 5.72 06/15/42 AA+ 329,961 324,344


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December 31, 2019


Municipal Bonds (Continued) New York City Water & Sewer

System 280,000 6.01% 06/15/42 AA+ $ 386,388 $ 405,731 New York State Dormitory Authority 215,000 5.60 03/15/40 AA+ 286,937 272,128 Port Auth of New York & New Jersey 130,000 4.03 09/01/48 AA- 148,204 146,796 Port Authority of New York & New

Jersey 150,000 4.93 10/01/51 AA- 201,882 194,317 Port Authority of New York & New

Jersey 160,000 4.23 10/15/57 AA- 177,027 187,546 Regents of the University of

California Medical Center Pooled Revenue 100,000 6.58 05/15/49 AA- 129,838 143,981

Sales Tax Securitization Corp 110,000 3.82 01/01/48 AA- 97,099 110,790 State Board of Administration Finance

Corp 150,000 2.64 07/01/21 AA 150,523 151,809 State of California 190,000 3.38 04/01/25 AA- 198,707 201,765 State of California 170,000 4.50 04/01/33 AA- 178,678 191,224 State of California 230,000 7.30 10/01/39 AA- 336,062 351,215 State of California 80,000 7.50 04/01/34 AA- 111,387 120,467 State of California 380,000 7.35 11/01/39 AA- 544,314 583,726 State of California 100,000 7.70 11/01/30 AA- 111,609 104,740 State of Illinois 800,000 5.10 06/01/33 BBB- 811,740 862,424 State of New Jersey Turnpike

Authority 170,000 7.41 01/01/40 A+ 258,271 266,672 State of Oregon 87,904 5.76 06/01/23 AA+ 92,647 94,450 State of Texas 240,000 5.52 04/01/39 AAA 311,029 323,983 Univ of Texas System 205,000 3.35 08/15/47 AAA 191,141 213,520 University of California 330,000 3.06 07/01/25 AA 332,512 345,559

Total Municipal Bonds 7,942,901 8,271,341 Corporate Bonds: 1.30%

CNOOC Finance 2013 Ltd 560,000 2.88 09/30/29 A+ 563,893 560,231 CNOOC International Ltd 250,000 7.50 07/30/39 A+ 365,823 389,693 CNOOC Nexen Finance 2014 ULC 270,000 4.25 04/30/24 A+ 282,824 288,482 Ecopetrol SA 230,000 7.38 09/18/43 BBB- 268,176 311,075 Ecopetrol SA 170,000 4.13 01/16/25 BBB- 171,661 178,502 Ecopetrol SA 70,000 5.88 05/28/45 BBB- 67,913 82,512 Equinor ASA 190,000 3.70 03/01/24 AA- 192,821 202,393 Equinor ASA 150,000 4.80 11/08/43 AA- 176,440 189,029 Equinor ASA 260,000 3.25 11/10/24 AA- 265,774 273,811 Industrial & Commercial Bank of

China Ltd 310,000 2.96 11/08/22 A 303,330 314,708 Kreditanstalt fuer Wiederaufbau 440,000 1.75 09/14/29 AAA 435,218 430,168 Kreditanstalt fuer Wiederaufbau 560,000 2.63 02/28/24 AAA 559,241 579,153 Kreditanstalt fuer Wiederaufbau(3) 100,000 2.41 06/29/37 AAA 59,906 65,914 Kreditanstalt fuer Wiederaufbau 360,000 2.13 01/17/23 AAA 359,985 364,445 Kreditanstalt fuer Wiederaufbau 1,580,000 1.63 03/15/21 AAA 1,573,859 1,579,058 Kreditanstalt fuer Wiederaufbau 820,000 1.50 06/15/21 AAA 813,744 817,989 Kreditanstalt fuer Wiederaufbau 1,390,000 2.00 09/29/22 AAA 1,377,978 1,401,499 Landwirtschaftliche Rentenbank 530,000 2.38 06/10/25 549,279 544,986 Landwirtschaftliche Rentenbank 280,000 1.75 07/27/26 AAA 268,350 276,366 Oesterreichische Kontrollbank AG 210,000 2.38 10/01/21 AA+ 209,238 212,320


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December 31, 2019


Corporate Bonds (Continued) Oesterreichische Kontrollbank AG 270,000 2.88% 09/07/21 AA+ $ 273,140 $ 275,167 Petroleos Mexicanos 490,000 5.63 01/23/46 BBB+ 433,311 437,031 Petroleos Mexicanos(4) 290,000 7.69 01/23/50 BBB+ 309,176 316,489 Petroleos Mexicanos 260,000 6.63 06/15/38 BBB+ 241,683 259,610 Petroleos Mexicanos 420,000 6.75 09/21/47 BBB+ 414,215 420,790 Petroleos Mexicanos 340,000 6.50 03/13/27 BBB+ 364,936 360,985 Petroleos Mexicanos 440,000 6.50 06/02/41 BBB+ 448,309 436,920 Petroleos Mexicanos 61,050 2.38 04/15/25 61,026 61,666 Petroleos Mexicanos 790,000 6.38 02/04/21 BBB+ 814,968 819,230 Petroleos Mexicanos 270,000 4.63 09/21/23 BBB+ 274,707 281,745 Petroleos Mexicanos 180,000 4.88 01/18/24 BBB+ 178,709 188,941 Private Export Funding Corp 68,000 4.30 12/15/21 70,843 71,328 Private Export Funding Corp 79,000 2.45 07/15/24 79,293 80,422 Private Export Funding Corp 99,000 2.05 11/15/22 98,757 99,719

Total Corporate Bonds 12,928,526 13,172,377 Corporate Mortgage-Backed Securities: 1.48%

Benchmark 2018-B2 Mortgage Trust(1) 345,000 3.88 02/15/51 AAA 349,124 376,155

Benchmark 2018-B5 Mortgage Trust 100,000 4.57 07/15/51 102,828 110,060 CCUBS Commercial Mortgage Trust

2017-C1(1) 85,000 4.16 11/15/50 85,611 90,551 Citigroup Commercial Mortgage Trust

2012-GC8 678,874 3.02 09/10/45 689,094 691,715 Citigroup Commercial Mortgage Trust

2014-GC21 223,754 3.58 05/10/47 232,397 233,442 Citigroup Commercial Mortgage Trust

2017-P7(1) 500,000 4.14 04/14/50 536,934 524,045 Citigroup Commercial Mortgage Trust

2018-C5(1) 300,000 4.41 06/10/51 327,428 330,065 COMM 2013-CCRE12 Mortgage

Trust 155,000 4.30 10/10/46 162,611 164,018 COMM 2013-CCRE12 Mortgage

Trust(1) 85,000 5.08 10/10/46 85,684 85,613 COMM 2013-CCRE6 Mortgage Trust 215,772 2.62 03/10/46 216,915 216,822 COMM 2014-CCRE18 Mortgage

Trust(1) 355,000 4.46 07/15/47 366,623 375,013 COMM 2014-UBS6 Mortgage Trust 480,000 3.64 12/10/47 497,970 505,759 COMM 2015-DC1 Mortgage Trust 905,000 3.35 02/10/48 925,279 942,087 COMM 2015-LC23 Mortgage Trust 70,000 3.22 10/10/48 70,524 70,304 COMM 2015-LC23 Mortgage Trust 430,000 3.60 10/10/48 440,461 447,850 COMM 2016-DC2 Mortgage Trust 485,000 3.77 02/10/49 489,657 517,168 COMM 2017-COR2 Mortgage Trust 845,000 3.51 09/10/50 872,868 894,633 FNMA POOL 513,067 3.30 08/01/28 540,243 536,665 GS Mortgage Securities Corp II(1) 360,000 4.16 07/10/51 AAA 378,242 399,521 GS Mortgage Securities Trust 2012-

GCJ7 259,872 3.38 05/10/45 264,319 263,446 GS Mortgage Securities Trust 2013-

GC16(1) 490,000 5.16 11/10/46 516,902 533,490 GS Mortgage Securities Trust 2015-

GC34 315,000 3.51 10/10/48 315,513 332,199




December 31, 2019


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Corporate Mortgage-Backed Securities (Continued) GS Mortgage Securities Trust 2016-

GS4(1) 330,000 GS Mortgage Securities Trust 2017-

GS6 745,000 GS Mortgage Securities Trust 2017-



GSA1 140,000 JPMBB Commercial Mortgage

Securities Trust 2013-C15 330,000 JPMBB Commercial Mortgage

Securities Trust 2015-C28 620,000 Morgan Stanley Bank of America

Merrill Lynch Trust 2013-C7 495,000 Morgan Stanley Bank of America

Merrill Lynch Trust 2014-C14 365,604 Morgan Stanley Bank of America

Merrill Lynch Trust 2016-C30(1) 260,000 Morgan Stanley Bank of America

Merrill Lynch Trust 2016-C32(1) 645,000 Morgan Stanley Bank of America

Merrill Lynch Trust 2017-C34 845,000 Total Corporate Mortgage-Backed Securities

3.44%

3.16

3.43

3.47

3.05

4.42

3.23

2.92

3.67

3.31

4.29

3.54

11/10/49 $ 325,363 $

05/10/50 731,867

08/10/50 872,071

11/10/50 526,182

11/10/52 AAA 143,976

11/15/45 348,061

10/15/48 630,286

02/15/46 500,464

02/15/47 368,370

09/15/49 251,060

12/15/49 662,542

11/15/52 876,139 ____________________________________

14,703,608 ____________________________________

348,073

773,543

898,807

528,265

143,684

351,724

643,247

503,761

368,987

261,097

659,936

899,673 ____________________________________

15,021,418 ____________________________________

Short-Term Investments: 2.39% Wells Fargo/BlackRock Short Term

Investment Fund S (5) (6)

Total Short-Term Investments Total Investments: 101.00%

Shares

24,240,726 24,240,726 ____________________________________

24,240,726 ____________________________________

$ 1,001,746,445 $ ____________________________________ ____________________________________

24,240,726 ____________________________________

24,240,726 ____________________________________

1,024,959,903 ____________________________________ ____________________________________

Percentages shown are based on total net assets.

(1) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on December 31, 2019.

(2) Securities issued on a when-issued (TBA) or forward-commitment basis. (3) Zero coupon bond. Interest rate represents yield to maturity. This Fund holds 0.01% of its portfolio in these securities. (4) This Fund holds 0.03% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (5) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.40% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S. (6) All or a portion of this security is segregated for when-issued securities.

FHLB Federal Home Loan Bank FHLMCFederal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association GNMA Government National Mortgage Association



Financial Highlights Year ended December 31, 2019

Class G Class TMR Per share operating performance:

Share value, beginning of year Income from investment operations:

Net investment income (loss)(1)

Net realized and unrealized gain (loss) on investments Total from investment operations Share value, end of year Total return per share Net assets, end of year

$ 10.10

0.27 0.42 0.69

$ 10.79 6.76%

$ 1,013,709,749

$

$

$

10.28

0.25 0.42 0.67

10.95 6.50%

1,059,206

Ratios: Ratio of expenses to average net assets Ratio of net investment income (loss) to average net assets Portfolio Turnover Rate

0.00% 2.60%

23%

0.24% 2.35%

23%

(1) Based on average number of shares outstanding.



Supplemental Schedule of Monthly Values (Unaudited) Year ended December 31, 2019

Class G Class TMR Shares Share Shares Share

outstanding valuation outstanding valuation January 31, 2019 75,121,139 $ 10.17 52,430 $ 10.34 February 28, 2019 80,498,616 10.15 52,680 10.32 March 31, 2019 80,053,898 10.33 55,297 10.51 April 30, 2019 82,823,086 10.31 61,831 10.48 May 31, 2019 80,724,527 10.51 92,191 10.68 June 30, 2019 82,887,392 10.60 93,531 10.77 July 31, 2019 85,187,214 10.62 93,624 10.79 August 31, 2019 82,585,651 10.87 93,557 11.05 September 30, 2019 84,472,566 10.82 93,852 10.99 October 31, 2019 86,414,623 10.83 94,740 11.00 November 30, 2019 90,749,039 10.82 94,638 10.98 December 31, 2019 93,988,422 10.79 96,754 10.95


WELLS FARGO EMERGING MARKETS BOND INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 1,111,756 $ 1,111,756 Unaffiliated investments 82,608,877 84,234,024 Cash 10,060 Accrued interest income 1,199,667 Fund shares sold 5,690

Total assets 86,561,197 Liabilities:

Payable for investment securities purchased 435,591 Fund shares repurchased 142,920 Accrued expenses 48

Total liabilities 578,559 Net assets $ 85,982,638

Shares Class Net Assets Outstanding Net Asset Value G $ 85,745,708 7,831,144 $ 10.95 TMR $ 236,930 21,053 $ 11.25




Investment income: Interest income (net of foreign taxes withheld of $402) $ 3,617,051 Dividend income from affiliated short term investment 25,255


Program fees (TMR) 432 Total expenses 432 Net investment income (loss) 3,641,874


Investments 76,820 Net change in unrealized appreciation (depreciation) on:





Increase/(decrease) in net assets from operations: Net investment income (loss) $ 3,641,874 Net realized gain (loss) on investment transactions 76,820 Net change in unrealized appreciation (depreciation) of investments 5,538,183


Participating share holder transactions: Class G proceeds from issuance of shares (2,168,655 shares) 22,712,843 Class G payments for withdrawals (691,790 shares) (7,251,422)



Net assets: Beginning of year (6,354,279 Class G shares, 3,457 Class TMR shares) 61,081,207 End of year (7,831,144 Class G shares, 21,053 Class TMR shares) $ 85,982,638


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December 31, 2019


Corporate Bonds: 16.19% Azerbaijan: 0.63%

Southern Gas Corridor CJSC 200,000 6.88% 03/24/26 $ 208,478 $ 236,848 State Oil Co of the Azerbaijan

Republic 250,000 6.95 03/18/30 BB- 284,000 306,707 Total Azerbaijan 492,478 543,555

Bahrain: 0.27% Oil and Gas Holding Co BSCC 200,000 7.63 11/07/24 227,610 232,082

Total Bahrain 227,610 232,082 British Virgin: 1.67%

Chinalco Capital Holdings Ltd 200,000 4.00 08/25/21 195,798 201,954 Sinopec Group Overseas Development

2015 Ltd 200,000 3.25 04/28/25 A+ 206,160 206,202 Sinopec Group Overseas Development



2018 Ltd 200,000 3.68 08/08/49 A+ 219,191 204,562 State Grid Overseas Investment 2016

Ltd 350,000 3.50 05/04/27 A+ 355,627 365,963 Total British Virgin 1,419,330 1,433,855

Cayman Islands: 0.79% Amber Circle Funding Ltd 350,000 3.25 12/04/22 A+ 353,406 357,965 Lamar Funding Ltd 200,000 3.96 05/07/25 BB 178,326 195,242 SPARC EM SPC Panama Metro Line

2 SP(1) 126,824 1.40 12/05/22 BBB+ 119,357 121,752 Total Cayman Islands 651,089 674,959

Chile: 1.75% Corp Nacional del Cobre de Chile 200,000 4.38 02/05/49 A+ 211,206 213,907 Corp Nacional del Cobre de Chile 200,000 4.50 09/16/25 A+ 218,101 215,900 Corp Nacional del Cobre de Chile 200,000 3.70 01/30/50 A+ 189,217 189,827 Corp Nacional del Cobre de Chile 300,000 4.25 07/17/42 A+ 314,211 312,450 Corp Nacional del Cobre de Chile 200,000 4.50 08/01/47 A+ 203,880 218,084 Empresa Nacional del Petroleo 350,000 3.75 08/05/26 BBB- 341,781 357,453

Total Chile 1,478,396 1,507,621 Hong Kong: 0.65%

CNAC HK Finbridge Co Ltd 550,000 3.50 07/19/22 BBB 537,487 559,146 Total Hong Kong 537,487 559,146

India: 0.24% Indian Railway Finance Corp Ltd 200,000 3.73 03/29/24 BBB- 208,553 207,030

Total India 208,553 207,030 Indonesia: 1.63%

Indonesia Asahan Aluminium Persero PT 200,000 5.71 11/15/23 219,454 220,589

Pertamina Persero PT 200,000 5.63 05/20/43 BBB 231,128 233,093 Pertamina Persero PT 250,000 6.50 05/27/41 BBB 264,637 317,252


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December 31, 2019


Corporate Bonds (Continued) Perusahaan Listrik Negara PT 600,000 4.13% 05/15/27 $ 603,937 $ 632,250

Total Indonesia 1,319,156 1,403,184 Ireland: 0.26%

Vnesheconombank Via VEB Finance PLC 200,000 5.94 11/21/23 BBB- 212,971 222,000

Total Ireland 212,971 222,000 Kazakhstan: 1.34%

Development Bank of Kazakhstan JSC 200,000 4.13 12/10/22 BB+ 201,135 208,000

KazMunayGas National Co JSC 450,000 4.75 04/19/27 BB 442,348 494,100 KazMunayGas National Co JSC 200,000 5.75 04/19/47 BB 196,035 238,500 KazTransGas JSC 200,000 4.38 09/26/27 209,187 209,685

Total Kazakhstan 1,048,705 1,150,285 Malaysia: 1.13%

Petronas Capital Ltd 650,000 7.88 05/22/22 A- 728,058 733,061 Petronas Capital Ltd 200,000 4.50 03/18/45 A- 213,473 237,978

Total Malaysia 941,531 971,039 Mexico: 2.85%

Comision Federal de Electricidad 200,000 4.88 01/15/24 BBB+ 212,804 215,002 Mexico City Airport Trust 200,000 3.88 04/30/28 BBB+ 159,721 204,252 Petroleos Mexicanos 200,000 6.63 06/15/35 BBB+ 204,796 204,900 Petroleos Mexicanos 200,000 7.69 01/23/50 BBB+ 211,010 218,268 Petroleos Mexicanos 400,000 4.88 01/24/22 BBB+ 414,451 413,600 Petroleos Mexicanos 200,000 4.50 01/23/26 BBB+ 189,351 199,160 Petroleos Mexicanos 400,000 5.35 02/12/28 BBB+ 381,199 398,000 Petroleos Mexicanos 300,000 6.63 01/30/20 BBB+ 246,215 280,800 Petroleos Mexicanos 350,000 5.63 01/23/46 BBB+ 323,702 312,165

Total Mexico 2,343,249 2,446,147 Netherlands: 0.49%

MDC-GMTN BV 200,000 3.75 04/19/29 AA 203,864 215,714 MDGH - GMTN BV 200,000 3.00 04/19/24 AA 204,058 204,750

Total Netherlands 407,922 420,464 Panama: 0.27%

Aeropuerto Internacional de Tocumen SA 200,000 5.63 05/18/36 BBB+ 232,842 235,252

Total Panama 232,842 235,252 Peru: 0.27%

Petroleos del Peru SA 200,000 5.63 06/19/47 BBB- 191,399 232,154 Total Peru 191,399 232,154

Saudi Arabia: 0.72% Saudi Arabian Oil Co 200,000 3.50 04/16/29 207,614 207,356 Saudi Arabian Oil Co 200,000 2.75 04/16/22 201,311 202,258 Saudi Arabian Oil Co 200,000 4.25 04/16/39 197,508 213,713

Total Saudi Arabia 606,433 623,327


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December 31, 2019


Corporate Bonds (Continued) South Africa: 0.59%

Eskom Holdings SOC Ltd 500,000 6.75% 08/06/23 CCC+ $ 490,834 $ 509,380 Total South Africa 490,834 509,380

United Arab Emirates: 0.27% Abu Dhabi Crude Oil Pipeline LLC 200,000 4.60 11/02/47 AA 199,852 231,000

Total United Arab Emirates 199,852 231,000 United Kingdom: 0.24%

State Savings Bank of Ukraine Via SSB #1 PLC 200,000 9.63 03/20/25 200,000 210,532

Total United Kingdom 200,000 210,532 Venezuela: 0.13%

Petroleos de Venezuela SA 500,000 9.00 11/17/21 D 303,863 38,750 Petroleos de Venezuela SA 900,000 6.00 11/15/26 D 314,282 69,750

Total Venezuela 618,145 108,500 Total Corporate Bonds 13,827,982 13,921,512

Foreign Government Bonds: 81.78% Angola: 1.25%

Angolan Government International Bond(2) 400,000 9.13 11/26/49 B- 431,846 427,220

Angolan Government International Bond 600,000 8.25 05/09/28 592,012 646,914

Total Angola 1,023,858 1,074,134 Argentina: 1.43%

Argentine Republic Government International Bond 300,000 6.88 04/22/21 CCC- 299,612 162,000







Total Argentina 2,154,361 1,230,193 Armenia: 0.27%

Republic of Armenia International Bond 200,000 7.15 03/26/25 218,464 234,472

Total Armenia 218,464 234,472 Azerbaijan: 0.23%

Republic of Azerbaijan International Bond 200,000 3.50 09/01/32 167,576 196,396

Total Azerbaijan 167,576 196,396


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December 31, 2019


Foreign Government Bonds (Continued) Bahrain: 2.06%

Bahrain Government International Bond 200,000 7.00% 01/26/26 B+ $ 214,089 $ 235,450

Bahrain Government International Bond 200,000 6.75 09/20/29 B+ 212,933 233,480



CBB International Sukuk Co 5 Spc 400,000 5.62 02/12/24 B+ 420,944 431,742 CBB International Sukuk Co 6 Spc 200,000 5.25 03/20/25 B+ 210,378 215,500 CBB International Sukuk Programme

Co SPC 200,000 4.50 03/30/27 B+ 207,889 209,583 Total Bahrain 1,682,616 1,772,304

Belarus: 0.25% Republic of Belarus International

Bond 200,000 6.20 02/28/30 B 191,413 212,280 Total Belarus 191,413 212,280

Bolivia: 0.24% Bolivian Government International

Bond 200,000 4.88 10/29/22 BB- 201,181 208,500 Total Bolivia 201,181 208,500

Brazil: 2.88% Banco Nacional de Desenvolvimento

Economico e Social 200,000 5.75 09/26/23 BB- 213,882 220,252 Brazilian Government International

Bond 200,000 4.50 05/30/29 BB- 209,107 211,900 Brazilian Government International




Bond 370,000 10.13 05/15/27 BB- 503,411 525,774 Total Brazil 2,302,703 2,474,385

Cayman Islands: 1.05% KSA Sukuk Ltd 250,000 2.89 04/20/22 253,611 253,999 KSA Sukuk Ltd 200,000 4.30 01/19/29 208,795 221,785 Sharjah Sukuk Program Ltd 200,000 4.23 03/14/28 BBB+ 218,632 216,250 Sharjah Sukuk Program Ltd 200,000 3.85 04/03/26 BBB+ 213,428 210,750

Total Cayman Islands 894,466 902,784 Chile: 0.56%

Chile Government International Bond 200,000 3.86 06/21/47 A+ 200,674 221,132 Chile Government International Bond 250,000 3.13 01/21/26 A+ 240,484 260,625

Total Chile 441,158 481,757 China: 0.87%

China Development Bank 300,000 4.00 01/24/37 A+ 295,254 332,487


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December 31, 2019


Foreign Government Bonds (Continued) China Government International Bond 200,000 2.63% 11/02/27 $ 207,741 $ 204,206 Export-Import Bank of China 200,000 3.25 11/28/27 A+ 196,420 207,656

Total China 699,415 744,349 Colombia: 2.64%

Colombia Government International Bond 200,000 5.20 05/15/49 BBB- 240,460 240,700






Total Colombia 2,122,053 2,272,915 Costa Rica: 0.87%

Costa Rica Government International Bond 200,000 4.38 04/30/25 B+ 194,858 199,500

Costa Rica Government International Bond 350,000 7.16 03/12/45 B+ 372,058 372,750

Instituto Costarricense de Electricidad 200,000 6.38 05/15/43 173,102 171,500 Total Costa Rica 740,018 743,750

Croatia: 0.72% Croatia Government International

Bond 260,000 6.38 03/24/21 BBB- 269,975 273,605 Croatia Government International

Bond 300,000 6.00 01/26/24 BBB- 317,931 343,705 Total Croatia 587,906 617,310

Dominican Repb.: 2.44% Dominican Republic International

Bond 150,000 6.40 06/05/49 BB- 156,021 164,438 Dominican Republic International






Bond 200,000 5.50 01/27/25 BB- 212,884 215,252 Total Dominican Repb. 1,947,317 2,098,013


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December 31, 2019


Foreign Government Bonds (Continued) Ecuador: 2.25%

Ecuador Government International Bond 200,000 10.75% 01/31/29 B- $ 172,051 $ 195,000

Ecuador Government International Bond 200,000 9.65 12/13/26 B- 197,381 190,000

Ecuador Government International Bond 250,000 7.88 01/23/28 B- 223,313 222,951

Ecuador Government International Bond 1,400,000 7.95 06/20/24 B- 1,352,349 1,326,500

Total Ecuador 1,945,094 1,934,451 Egypt: 2.41%

Egypt Government International Bond 200,000 7.60 03/01/29 B 212,613 218,666 Egypt Government International Bond 900,000 5.88 06/11/25 B 915,131 956,250 Egypt Government International Bond 250,000 6.88 04/30/40 B 236,699 252,162 Egypt Government International Bond 400,000 7.90 02/21/48 B 376,909 419,319 Egypt Government International Bond 200,000 7.50 01/31/27 194,450 222,766

Total Egypt 1,935,802 2,069,163 El Salvador: 0.96%

El Salvador Government International Bond 150,000 7.12 01/20/50 B- 154,701 159,657




Total El Salvador 774,433 824,284 Gabon: 0.30%

Gabon Government International Bond 250,000 6.38 12/12/24 249,072 261,046

Total Gabon 249,072 261,046 Ghana: 1.09%

Ghana Government International Bond 400,000 8.13 01/18/26 B 402,665 430,776



Total Ghana 890,384 935,705 Guatemala: 0.77%

Guatemala Government Bond 200,000 6.13 06/01/50 231,895 235,752 Guatemala Government Bond 400,000 5.75 06/06/22 BB- 413,402 426,500

Total Guatemala 645,297 662,252 Honduras: 0.39%

Honduras Government International Bond 300,000 7.50 03/15/24 BB- 317,723 333,750

Total Honduras 317,723 333,750


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December 31, 2019


Foreign Government Bonds (Continued) Hungary: 1.73%

Hungary Government International Bond 300,000 5.38% 02/21/23 BBB $ 317,310 $ 329,040

Hungary Government International Bond 300,000 6.38 03/29/21 BBB 313,502 316,143

Hungary Government International Bond 750,000 5.75 11/22/23 BBB 824,663 845,403

Total Hungary 1,455,475 1,490,586 India: 0.54%

Export-Import Bank of India 450,000 4.00 01/14/23 BBB- 454,050 465,951 Total India 454,050 465,951

Indonesia: 2.71% Indonesia Government International


Bond 400,000 4.35 01/11/48 345,476 440,432 Indonesia Government International



Bond 200,000 8.50 10/12/35 BBB 282,864 314,565 Perusahaan Penerbit SBSN Indonesia

III 200,000 4.33 05/28/25 BBB 197,609 215,788 Perusahaan Penerbit SBSN Indonesia

III 200,000 4.45 02/20/29 BBB 216,771 220,540 Total Indonesia 2,110,887 2,333,349

Iraq: 0.62% Iraq International Bond 550,000 5.80 01/15/28 529,250 537,280

Total Iraq 529,250 537,280 Ivory Coast: 0.49%

Ivory Coast Government International Bond 171,000 5.75 12/31/32 170,035 170,595

Ivory Coast Government International Bond 250,000 6.13 06/15/33 255,720 251,824

Total Ivory Coast 425,755 422,419 Jamaica: 0.96%

Jamaica Government International Bond 700,000 6.75 04/28/28 B+ 794,675 829,500

Total Jamaica 794,675 829,500 Jordan: 0.43%

Jordan Government International Bond 350,000 5.75 01/31/27 B+ 352,893 369,151

Total Jordan 352,893 369,151 Kazakhstan: 1.24%

Kazakhstan Government International Bond 200,000 5.13 07/21/25 BBB- 228,849 229,679


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December 31, 2019


Foreign Government Bonds (Continued) Kazakhstan Government International

Bond 200,000 4.88% 10/14/44 BBB- $ 202,511 $ 246,848 Kazakhstan Government International

Bond 400,000 6.50 07/21/45 BBB- 497,977 589,739 Total Kazakhstan 929,337 1,066,266

Kenya: 0.94% Kenya Government International

Bond 550,000 6.88 06/24/24 B+ 566,794 594,745 Kenya Government International

Bond 200,000 8.25 02/28/48 B+ 206,001 213,833 Total Kenya 772,795 808,578

Kuwait: 0.69% Kuwait International Government

Bond 550,000 3.50 03/20/27 AA 566,827 591,052 Total Kuwait 566,827 591,052

Lebanon: 0.96% Lebanon Government International

Bond 885,000 6.00 01/27/23 CCC 793,051 405,684 Lebanon Government International

Bond 750,000 6.65 02/26/30 CCC 618,659 333,900 Lebanon Government International

Bond 200,000 6.25 11/04/24 CCC 175,217 89,528 Total Lebanon 1,586,927 829,112

Lithuania: 0.45% Lithuania Government International

Bond 350,000 6.63 02/01/22 A 372,791 383,397 Total Lithuania 372,791 383,397

Malaysia: 0.77% Export-Import Bank of Malaysia Bhd 200,000 2.48 10/20/21 195,320 200,098 Malaysia Sovereign Sukuk Bhd 200,000 3.04 04/22/25 A- 191,967 207,050 Malaysia Sukuk Global Bhd 250,000 3.18 04/27/26 A- 243,274 259,071

Total Malaysia 630,561 666,219 Mexico: 1.87%

Mexico Government International Bond 600,000 5.55 01/21/45 BBB+ 626,766 738,600




Total Mexico 1,404,567 1,606,202 Mongolia: 0.66%

Development Bank of Mongolia LLC 200,000 7.25 10/23/23 B 196,558 211,689 Mongolia Government International

Bond 350,000 5.13 12/05/22 B 347,564 357,688 Total Mongolia 544,122 569,377


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December 31, 2019


Foreign Government Bonds (Continued) Morocco: 0.43%

Morocco Government International Bond 350,000 4.25% 12/11/22 BBB- $ 360,436 $ 368,605

Total Morocco 360,436 368,605 Mozambique: 0.22%

Mozambique International Bond 200,000 5.00 09/15/31 182,893 186,750 Total Mozambique 182,893 186,750

Namibia: 0.24% Namibia International Bonds 200,000 5.50 11/03/21 198,204 207,409

Total Namibia 198,204 207,409 Nigeria: 1.73%

Nigeria Government International Bond 600,000 7.88 02/16/32 B 661,542 622,095




Total Nigeria 1,487,563 1,483,923 Oman: 2.25%

Oman Government International Bond 200,000 4.13 01/17/23 202,223 204,638 Oman Government International Bond 200,000 6.50 03/08/47 BB 205,104 197,750 Oman Government International Bond 450,000 4.75 06/15/26 BB 431,363 456,188 Oman Government International Bond 400,000 3.88 03/08/22 BB 391,438 405,183 Oman Government International Bond 200,000 6.75 01/17/48 175,358 200,883 Oman Government International Bond 200,000 6.50 03/08/47 BB 175,580 197,750 Oman Sovereign Sukuk SAOC 250,000 5.93 10/31/25 245,909 271,170

Total Oman 1,826,975 1,933,562 Pakistan: 0.78%

Pakistan Government International Bond 300,000 6.88 12/05/27 B- 273,348 312,174

Third Pakistan International Sukuk Co Ltd 350,000 5.50 10/13/21 352,599 357,416

Total Pakistan 625,947 669,590 Panama: 2.45%

Panama Government International Bond 200,000 3.87 07/23/60 BBB+ 214,826 215,300






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December 31, 2019


Foreign Government Bonds (Continued) Panama Government International

Bond 200,000 3.88% 03/17/28 BBB+ $ 208,845 $ 218,000 Total Panama 1,920,690 2,109,925

Paraguay: 0.57% Paraguay Government International

Bond 400,000 6.10 08/11/44 BB 458,535 490,600 Total Paraguay 458,535 490,600

Peru: 2.14% Corp Financiera de Desarrollo SA 200,000 4.75 07/15/25 BBB 197,675 218,502 Peruvian Government International


Bond 735,000 6.55 03/14/37 BBB+ 952,436 1,074,937 Peruvian Government International

Bond 200,000 5.63 11/18/50 BBB+ 246,108 292,252 Total Peru 1,631,572 1,837,791

Philippines: 2.72% Philippine Government International






Bond 400,000 3.70 02/02/42 BBB+ 397,171 452,037 Total Philippines 2,164,354 2,341,366

Poland: 1.66% Republic of Poland Government





International Bond 400,000 5.13 04/21/21 A- 414,263 416,584 Total Poland 1,396,450 1,427,026

Qatar: 3.16% Qatar Government International Bond 200,000 3.38 03/14/24 AA- 209,258 209,250 Qatar Government International Bond 200,000 3.25 06/02/26 AA- 195,547 210,469 Qatar Government International Bond 600,000 4.82 03/14/49 AA- 719,077 742,500 Qatar Government International Bond 500,000 4.00 03/14/29 AA- 547,169 558,002 Qatar Government International Bond 400,000 4.63 06/02/46 AA- 449,663 485,061


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December 31, 2019


Foreign Government Bonds (Continued) Qatar Government International Bond 450,000 4.50% 04/23/28 AA- $ 475,209 $ 515,259

Total Qatar 2,595,923 2,720,541 Romania: 1.21%

Romanian Government International Bond 200,000 4.38 08/22/23 BBB- 202,460 213,220



Total Romania 979,422 1,044,215 Russia: 2.99%

Russian Foreign Bond - Eurobond 400,000 4.88 09/16/23 BBB- 437,111 436,272 Russian Foreign Bond - Eurobond 600,000 5.63 04/04/42 BBB- 659,924 784,590 Russian Foreign Bond - Eurobond 200,000 5.25 06/23/47 224,279 250,300 Russian Foreign Bond - Eurobond 200,000 4.38 03/21/29 194,486 222,300 Russian Foreign Bond - Eurobond 200,000 4.25 06/23/27 195,034 218,229 Russian Foreign Bond - Eurobond 200,000 5.10 03/28/35 217,602 239,367 Russian Foreign Bond - Eurobond 400,000 4.50 04/04/22 BBB- 414,800 419,720

Total Russia 2,343,236 2,570,778 Saudi Arabia: 2.39%

Saudi Government International Bond 200,000 5.00 04/17/49 238,201 239,000 Saudi Government International Bond 450,000 2.88 03/04/23 452,206 457,911 Saudi Government International Bond 400,000 4.50 10/26/46 383,054 442,843 Saudi Government International Bond 300,000 3.63 03/04/28 325,148 316,634 Saudi Government International Bond 250,000 4.50 04/17/30 278,316 283,808 Saudi Government International Bond 250,000 5.25 01/16/50 267,555 310,635

Total Saudi Arabia 1,944,480 2,050,831 Senegal: 0.49%

Senegal Government International Bond 400,000 6.25 05/23/33 B+ 387,447 420,186

Total Senegal 387,447 420,186 Serbia: 0.38%

Serbia International Bond 300,000 7.25 09/28/21 BB+ 320,732 326,880 Total Serbia 320,732 326,880

Slovakia: 0.25% Slovakia Government International

Bond 200,000 4.38 05/21/22 A+ 210,908 210,969 Total Slovakia 210,908 210,969

South Africa: 1.88% Republic of South Africa Government

International Bond 200,000 4.88 04/14/26 BB 205,805 208,077 Republic of South Africa Government



International Bond 200,000 5.65 09/27/47 206,028 194,500


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December 31, 2019


Foreign Government Bonds (Continued) Republic of South Africa Government

International Bond 200,000 6.25% 03/08/41 BB $ 203,131 $ 214,923 Total South Africa 1,614,964 1,612,284

Sri Lanka: 2.07% Sri Lanka Government International

Bond 500,000 6.83 07/18/26 B 541,972 493,717 Sri Lanka Government International





Bond 200,000 5.75 04/18/23 B 195,102 197,497 Total Sri Lanka 1,814,186 1,778,122

Trinidad: 0.31% Trinidad & Tobago Government

International Bond 250,000 4.50 08/04/26 BBB 241,436 265,940 Total Trinidad 241,436 265,940

Turkey: 3.41% Export Credit Bank of Turkey 250,000 5.00 09/23/21 243,977 253,451 Hazine Mustesarligi Varlik Kiralama 200,000 4.49 11/25/24 194,367 195,643 Turkey Government International

Bond 200,000 4.88 04/16/43 161,261 164,800 Turkey Government International






Bond 800,000 4.88 10/09/26 780,537 763,504 Total Turkey 2,815,158 2,932,177

Ukraine: 2.04% Ukraine Government International

Bond 100,000 7.75 09/01/22 B 106,361 107,625 Ukraine Government International



Bond 500,000 8.99 02/01/24 B 547,192 562,815


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December 31, 2019


Foreign Government Bonds (Continued) Ukraine Government International

Bond 200,000 7.75% 09/01/25 B $ 210,874 $ 218,250 Total Ukraine 1,675,044 1,753,527

United Arab Emirates: 1.68% Abu Dhabi Government International

Bond 200,000 2.50 09/30/29 AA 199,356 199,250 Abu Dhabi Government International




Bond 200,000 4.13 10/11/47 AA 219,295 232,500 Total United Arab Emirates 1,422,045 1,443,581

Uruguay: 2.34% Uruguay Government International






Bond 300,000 4.38 10/27/27 BBB 319,475 331,650 Total Uruguay 1,801,523 2,014,595

Uzbekistan: 0.26% Republic of Uzbekistan Bond 200,000 5.38 02/20/29 BB- 198,474 222,058

Total Uzbekistan 198,474 222,058 Venezuela: 0.17%

Venezuela Government International Bond 1,250,000 9.25 09/15/27 D 533,238 143,750

Total Venezuela 533,238 143,750 Vietnam: 0.25%

Vietnam Government International Bond 200,000 4.80 11/19/24 BB 201,048 217,970

Total Vietnam 201,048 217,970 Zambia: 0.32%

Zambia Government International Bond 200,000 8.50 04/14/24 CCC+ 214,559 137,424

Zambia Government International Bond 200,000 8.97 07/30/27 CCC+ 150,231 137,505

Total Zambia 364,790 274,929 Total Foreign Government Bonds 68,780,895 70,312,512




December 31, 2019

Fair Shares Cost Value ___________ ____________ ______________


Investment Fund S (3) 1,111,756 $ 1,111,756 $ 1,111,756 ____________________________________ ____________________________________

Total Short-Term Investments 1,111,756 1,111,756 ____________________________________ ____________________________________

Total Investments: 99.26% $ 83,720,633 $ 85,345,780 ____________________________________ ____________________________________ ____________________________________ ____________________________________


(1) Zero coupon bond. Interest rate represents yield to maturity. This Fund holds 0.14% of its portfolio in these securities. (2) This Fund holds 0.50% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (3) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.02% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.

GMTN Global Medium Term Note SSB State Street Bank




December 31, 2019

% of Total Country Investments Mexico 4.75% Indonesia 4.38 Saudi Arabia 3.69 Turkey 3.44 Qatar 3.19 Russia 3.01 Brazil 2.90 Panama 2.75 Philippines 2.74 Colombia 2.66 Kazakhstan 2.60 South Africa 2.49 Dominican Republic 2.46 Peru 2.43 Egypt 2.42 Uruguay 2.36 Bahrain 2.35 Chile 2.33 Ecuador 2.27 Oman 2.26 Sri Lanka 2.08 Ukraine 2.05 United Arab Emirates 1.96 Malaysia 1.92 Hungary 1.75 Nigeria 1.74 Poland 1.67 China 1.64 Argentina 1.44 United States 1.30 Cayman Islands 1.29 Angola 1.26 Romania 1.22 Ghana 1.10 Other 20.10

100.00%








$

$

$

9.61

0.52 0.82 1.34

10.95 13.98%

85,745,708

$

$

$

9.90

0.50 0.85 1.35

11.25 13.70%

236,930


0.00% 4.92%

29%

0.24% 4.57%

29%



WELLS FARGO FACTOR ENHANCED EMERGING MARKETS INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 11,714,012 $ 11,714,012 Unaffiliated investments 527,219,883 543,624,449 Foreign currency, at value (cost $2,149,858) 2,188,539 Cash collateral held at broker 1,700,000 Accrued interest and dividend income 579,428 Fund shares sold 176,315 Variation margin receivable 59,538


Due to custodian 1,357 Fund shares repurchased 380,996 Accrued expenses 87






Investment income: Dividend income from unaffiliated investments (net of foreign taxes withheld of $1,918,424) $ 13,576,251 Dividend income from affiliated short term investment 351,462 Interest income (net of foreign taxes withheld of $6) 28,601



Realized and unrealized gain (loss) on investment and foreign currency transactions Net realized gain (loss) on:

Investments (10,858,645) Futures contracts 2,658,191 Foreign currency transactions (4,366,822)

Net change in unrealized appreciation (depreciation) on: Investments 52,176,726 Futures contracts (44,471) Foreign currency translation of other assets and liabilities 18,890

Net gain (loss) on investments, futures contracts and foreign currency transactions 39,583,869 Net change in net assets resulting from operations $ 53,539,397




Increase/(decrease) in net assets from operations: Net investment income (loss) $ 13,955,528 Net realized gain (loss) on investments, futures contracts and foreign currency transactions (12,567,276) Net change in unrealized appreciation (depreciation) of investments, futures contracts and foreign currency translation on other assets and liabilities 52,151,145







WELLS FARGO FACTOR ENHANCED EMERGING MARKETS INDEX CIT Schedule of Investments

December 31, 2019


Equities: 93.45% Communication Services: 7.21%

58.com, Inc ADR 14,339 $ 757,349 $ 928,163 ABB Power Products & Systems 1,351 13,895 13,912 Advanced Info Service PCL NVDR 132,100 812,633 938,021 AfreecaTV Co Ltd 1,136 61,838 67,610 America Movil SAB de CV Series L 3,128,900 2,551,530 2,498,817 Astro Malaysia Holdings Bhd 283,400 142,173 87,989 Autohome, Inc ADR 14,809 1,242,949 1,184,868 Axiata Group Bhd 332,800 397,411 336,827 Bharti Infratel Ltd 94,877 254,318 335,627 Central European Media Enterprises Ltd A 20,217 89,975 91,093 Cheil Worldwide, Inc 12,369 236,366 257,231 China Mobile Ltd 686,500 7,032,067 5,770,536 China Telecom Corp Ltd H 1,760,000 866,902 725,023 China Tower Corp Ltd H(1) 5,512,000 1,451,323 1,216,668 Chunghwa Telecom Co Ltd 567,000 1,971,395 2,080,595 CJ CGV Co Ltd 1,902 85,882 56,726 Com2uSCorp 1,355 149,282 125,632 DiGi.Com Bhd 271,300 313,791 295,807 Empresa Nacional de Telecomunicaciones SA 16,255 175,478 115,804 Far EasTone Telecommunications Co Ltd 242,000 581,937 582,053 Globe Telecom, Inc 4,125 153,879 164,528 Hellenic Telecommunications Organization

SA 31,130 361,877 497,938 Info Edge India Ltd 9,623 345,933 341,094 Innocean Worldwide, Inc 1,530 91,257 93,871 Jasmine International PCL NVDR 431,400 69,342 72,002 JOYY, Inc ADR 6,625 376,615 349,734 JYP Entertainment Corp 3,629 75,801 75,475 Kakao Corp 7,121 680,562 943,138 KT Corp 34,927 815,173 814,997 LG Uplus Corp 35,452 426,015 434,828 Magyar Telekom Telecommunications PLC 100,169 159,902 151,518 Major Cineplex Group PCL NVDR 97,400 84,301 82,046 Maxis Bhd 163,200 220,330 212,254 Media Nusantara Citra Tbk PT 781,900 59,472 91,689 Mobile TeleSystems PJSC 111,190 483,218 572,967 Momo, Inc ADR 24,682 827,429 826,847 MTN Group Ltd 149,827 1,166,535 882,424 MultiChoice Group 46,626 420,746 387,829 NAVER Corp 22,131 3,081,738 3,560,766 NCSoft Corp 2,223 861,598 1,037,263 Netmarble Corp (1) 3,449 266,238 275,014 NHN Corp 1,481 82,794 85,265 O2 Czech Republic AS 19,589 210,415 202,197 Oi SA 680,000 161,193 145,375 Pearl Abyss Corp 1,005 148,410 161,008 Plan B Media Pcl 320,400 92,886 81,197 PLDT, Inc 15,160 430,725 297,353 PVR Ltd 3,329 83,715 88,539 Rostelecom PJSC ADR 11,836 83,133 89,594


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December 31, 2019

Fair Shares Cost Value

Equities (Continued) Rostelecom PJSC 61,980 $ 65,342 $ 78,433 Sistema PJSC FC GDR 1,423 6,555 6,936 Sistema PJSFC 399,800 78,347 98,530 SK Telecom Co Ltd 7,665 1,741,684 1,579,361 SM Entertainment Co Ltd 2,480 84,102 82,254 Smiles Fidelidade SA 9,500 136,030 92,979 Stark Corp PCL 2,948,800 182,160 208,704 Studio Dragon Corp 1,113 87,823 77,606 Sun TV Network Ltd 12,897 96,099 79,827 Surya Citra Media Tbk PT 702,900 105,770 71,314 Taiwan Mobile Co Ltd 287,000 1,029,084 1,072,289 Tata Communications Ltd 9,437 47,629 52,481 Telekom Malaysia Bhd 171,800 186,668 160,439 Telekomunikasi Indonesia Persero Tbk PT 6,128,900 1,660,085 1,755,790 Telkom SA SOC Ltd 29,023 125,008 72,153 Tencent Music Entertainment Group ADR 132,823 1,833,090 1,559,342 Tim Participacoes SA 106,500 339,988 416,620 TIME dotCom Bhd 45,300 94,048 102,106 Total Access Communication PCL NVDR 88,900 137,605 157,791 True Corp PCL 2,631,100 438,411 402,935 Turk Telekomunikasyon AS 49,432 57,325 61,239 Turkcell Iletisim Hizmetleri AS 136,790 412,075 317,314 VGI PCL 438,400 114,808 139,606 Vodacom Group Ltd 59,467 586,061 489,543 XL Axiata Tbk PT 474,700 89,667 107,610 Zee Entertainment Enterprises Ltd 88,046 329,629 360,433

Total Communication Services 41,574,819 40,331,387 Consumer Discretionary: 9.41%

Ace Hardware Indonesia Tbk PT 947,200 96,206 102,007 Aditya Birla Fashion and Retail Ltd 59,347 177,467 192,646 Advtech Ltd 57,063 61,908 44,001 Alsea SAB de CV 61,800 173,780 162,872 Altus San Nicolas Corp (2) 4,272 365 438 Ananti, Inc 6,691 74,780 59,903 Apollo Tyres Ltd 50,937 137,511 116,963 Arcelik AS 32,198 109,531 112,793 Arezzo Industria e Comercio SA 7,000 103,798 111,586 Asahi India Glass Ltd 18,793 55,001 52,539 Astra International Tbk PT 2,634,800 1,512,105 1,312,375 B2W Cia Digital 21,200 194,401 333,123 BAIC Motor Corp Ltd H(1) 191,000 167,505 108,340 Bajaj Auto Ltd 19,379 885,716 864,720 Balkrishna Industries Ltd 11,075 138,454 153,693 Baozun, Inc ADR 6,161 268,188 204,052 Bata India Ltd 7,616 194,205 186,889 Berjaya Sports Toto Bhd 88,000 55,895 55,504 BK Brasil Operacao e Assessoria a

Restaurantes SA 25,000 106,065 110,847 Bloomberry Resorts Corp 536,400 106,042 119,683 Byd Co Ltd H 88,000 517,083 438,741 Cashbuild Ltd 2,717 67,373 43,642



December 31, 2019


Equities (Continued) Central Plaza Hotel PCL NVDR 158,000 $ 211,512 $ 131,680 Cheng Shin Rubber Industry Co Ltd 314,000 437,254 437,842 China Motor Corp 65,000 119,458 84,782 China Travel International Investment Hong

Kong Ltd 254,000 40,250 44,983 Cia Hering 19,400 131,163 164,607 CJ ENM Co Ltd 1,723 338,567 237,536 Cogna Educacao 198,100 794,295 565,672 Com7 PCL 78,800 75,061 69,634 Crompton Greaves Consumer Electricals Ltd 55,270 197,517 185,722 Cub Elecparts, Inc 7,393 61,976 61,532 CVC Brasil Operadora e Agencia de Viagens

SA 18,100 255,267 197,797 Cyrela Brazil Realty SA Empreendimentos e

Participacoes 36,400 232,584 270,659 Delta Corp Ltd 26,965 79,362 74,819 Dongfeng Motor Group Co Ltd H 320,000 387,572 301,015 DoubleUGames Co Ltd 1,325 68,321 56,937 Eclat Textile Co Ltd 30,000 347,794 403,309 EIH Ltd 27,343 64,955 54,645 El Puerto de Liverpool SAB de CV C1 26,000 171,026 128,986 Endurance Technologies Ltd (1) 4,669 72,007 70,730 Exide Industries Ltd 60,478 164,991 158,020 Ez Tec Empreendimentos e Participacoes SA 16,800 172,711 218,166 F&F Co Ltd 1,054 65,528 101,770 Far Eastern Department Stores Ltd 131,000 74,194 113,839 Feng TAY Enterprise Co Ltd 65,400 332,425 425,426 FF Group (2) 10,917 179,495 122 Fila Korea Ltd 6,068 187,679 277,269 Ford Otomotiv Sanayi AS 10,099 125,084 120,275 Formosa Taffeta Co Ltd 142,000 152,415 162,004 Foschini Group Ltd 24,463 370,192 261,101 Fusheng Precision Co Ltd 15,000 80,612 89,819 Future Retail Ltd 33,582 181,191 160,787 Fuyao Glass Industry Group Co Ltd H(1) 61,200 222,266 187,316 Genting Bhd 294,500 486,403 435,576 Genting Malaysia Bhd 383,000 294,568 308,048 Giant Manufacturing Co Ltd 43,000 224,690 305,534 Golden Bria Holdings, Inc 5,780 33,909 49,760 Gourmet Master Co Ltd 10,456 97,004 43,077 Grand Korea Leisure Co Ltd 3,640 74,791 61,144 Great Wall Motor Co Ltd H 384,500 368,489 284,219 Grendene SA 42,800 98,774 131,028 GS Home Shopping, Inc 724 120,059 93,103 Guangzhou Automobile Group Co Ltd H 353,200 470,756 439,670 Guararapes Confeccoes SA 13,400 66,672 80,872 Haidilao International Holding Ltd (1) 95,929 369,186 385,326 Haier Electronics Group Co Ltd 147,000 347,910 459,357 Hana Tour Service, Inc 1,037 58,169 45,668 Handsome Co Ltd 2,484 77,673 67,766 Hankook Tire & Technology Co Ltd 11,027 441,187 319,333



December 31, 2019


Equities (Continued) Hanon Systems 22,757 $ 239,836 $ 219,065 Hanssem Co Ltd 2,398 231,916 128,796 Hero MotoCorp Ltd 17,625 666,067 603,248 Home Product Center PCL NVDR 883,400 396,828 471,135 Hota Industrial Manufacturing Co Ltd 30,000 111,114 115,088 Hotai Motor Co Ltd 47,000 705,865 1,070,854 Hotel Shilla Co Ltd 4,826 352,728 377,202 Hyundai Department Store Co Ltd 2,392 184,277 171,528 Hyundai Home Shopping Network Corp 1,360 125,897 94,669 Hyundai Mobis Co Ltd 8,762 1,886,442 1,938,509 Hyundai Motor Co 21,506 2,676,420 2,239,997 Hyundai Wia Corp 2,405 112,980 104,208 Indian Hotels Co Ltd 89,251 190,767 181,308 Italtile Ltd 85,213 94,127 79,701 JD.com, Inc ADR 167,439 5,217,072 5,898,876 Jollibee Foods Corp 87,860 447,128 374,356 Jubilant Foodworks Ltd 9,427 212,518 218,221 JUMBO SA 13,156 238,189 273,744 Kangwon Land, Inc 14,513 401,982 371,272 Kenda Rubber Industrial Co Ltd 132,125 128,612 134,871 Kia Motors Corp 37,583 1,219,651 1,435,314 Kinpo Electronics 230,000 77,190 98,592 KPR Mill Ltd 8,328 77,248 76,824 Kumho Tire Co, Inc 20,413 93,684 73,935 Lao Feng Xiang Co Ltd B 43,200 149,683 141,307 LG Electronics, Inc 13,497 965,943 838,395 Li Ning Co Ltd 256,000 352,253 767,116 Lojas Renner SA 104,620 1,013,419 1,468,263 Lotte Shopping Co Ltd 1,610 292,055 188,355 M.Video PJSC 9,890 68,991 83,147 Magazine Luiza SA 79,500 331,953 948,404 Magnum Bhd 104,300 63,058 65,530 Mahindra & Mahindra Ltd 96,021 820,088 715,064 Makalot Industrial Co Ltd 27,650 128,134 145,274 Mando Corp 4,718 177,819 143,123 Merida Industry Co Ltd 33,000 149,840 194,299 Midea Group Co Ltd 15,885 114,531 132,837 Minda Industries Ltd 11,798 60,992 58,157 Minor International PCL 455,100 537,982 546,210 Mitra Adiperkasa Tbk PT 1,013,200 74,814 76,982 MK Restaurants Group PCL NVDR 43,200 99,173 101,623 Motherson Sumi Systems Ltd 179,961 316,228 369,487 Motus Holdings Ltd 23,072 149,635 134,584 Mr Price Group Ltd 28,588 417,092 372,505 MRF Ltd 465 430,562 432,115 MRV Engenharia e Participacoes SA 39,700 144,679 213,510 Nan Kang Rubber Tire Co Ltd 58,000 51,827 93,452 Nemak SAB de CV (1) 373,300 261,040 156,566 Nexteer Automotive Group Ltd 92,000 145,210 83,354 Nien Made Enterprise Co Ltd 20,000 169,153 184,808 OPAP SA 26,217 279,093 340,834


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December 31, 2019


Equities (Continued) Oriental Holdings BHD 80,000 $ 126,538 $ 128,102 Paradise Co Ltd 6,134 105,268 104,467 Petrobras Distribuidora SA 95,200 621,590 713,392 PIK Group PJSC 40,380 220,507 261,650 Pou Chen Corp 332,000 396,311 434,146 PTG Energy PCL NVDR 117,400 84,605 63,020 Rajesh Exports Ltd 12,634 121,239 118,476 Relaxo Footwears Ltd 23,829 184,746 205,563 Ripley Corp SA 147,934 137,056 66,387 Robinson PCL NVDR 75,200 156,779 165,587 SACI Falabella 154,416 1,101,029 665,512 Sanyang Motor Co Ltd 148,000 100,844 105,161 Shinsegae Inc 975 243,846 243,058 Shinsegae International, Inc 317 72,430 59,991 Sri Trang Agro-Industry PCL 130,200 62,646 43,391 Super Group Ltd 45,181 116,303 91,743 Tainan Spinning Co Ltd 376,000 156,679 131,701 Taiwan Paiho Ltd 34,000 83,727 95,613 TAL Education Group ADR 68,037 2,916,029 3,279,383 Tata Motors Ltd 202,739 505,389 525,891 Titan Co Ltd 47,661 885,235 793,224 Tofas Turk Otomobil Fabrikasi AS 14,087 59,868 63,603 Tong Yang Industry Co Ltd 57,000 88,609 88,703 Trent Ltd 30,200 233,016 223,036 Truworths International Ltd 44,114 247,510 154,963 Tsogo Sun Gaming Ltd 58,063 47,830 50,908 TTK Prestige Ltd 765 67,303 61,230 Tube Investments of India Ltd 16,331 92,390 110,188 UMW Holdings Bhd 67,100 88,372 73,653 Via Varejo SA 122,700 227,008 342,400 VIP Industries Ltd 13,322 88,903 80,563 Vipshop Holdings Ltd ADR 72,139 835,550 1,022,210 WABCO India Ltd 1,096 96,172 99,517 Whirlpool of India Ltd 4,199 128,756 139,627 Wilcon Depot, Inc 284,800 94,953 101,222 Woolworths Holdings Ltd 109,979 469,113 381,621 Woongjin Coway Co Ltd 6,386 492,790 514,105 YDUQS Part 38,500 342,186 456,938 Youngone Corp 3,133 90,195 92,788 Yulon Motor Co Ltd 135,000 87,006 88,043 Zhongsheng Group Holdings Ltd 62,500 176,121 255,862

Total Consumer Discretionary 51,534,575 52,658,891 Consumer Staples: 9.41%

Almacenes Exito SA 26,659 140,441 112,565 Ambev SA 583,600 2,999,838 2,716,821 Amorepacific Corp 3,805 647,552 655,285 AMOREPACIFIC Group 4,847 417,854 346,269 Anadolu Efes Biracilik Ve Malt Sanayii AS 28,811 131,478 111,776 Anhui Gujing Distillery Co Ltd B 15,300 100,312 139,034 Arca Continental SAB de CV 62,800 369,744 332,177 Astral Foods Ltd 4,988 86,859 77,334



December 31, 2019


Equities (Continued) Atacadao SA 56,900 $ 263,880 $ 331,406 AVI Ltd 38,903 266,824 247,123 Becle SAB de CV 70,500 109,646 131,063 BGF retail Co Ltd 1,268 229,516 185,850 Bid Corp Ltd 34,065 670,069 803,127 BIM Birlesik Magazalar AS 60,254 517,676 472,592 BRF SA 82,000 600,288 719,788 Britannia Industries Ltd 14,514 671,059 615,671 British American Tobacco Malaysia Bhd 20,400 151,540 75,206 Carabao Group PCL NVDR 60,200 129,898 168,639 Carlsberg Brewery Malaysia Bhd B 21,700 100,762 155,966 Cencosud SA 183,621 418,422 241,961 Charoen Pokphand Foods PCL NVDR 746,600 601,443 684,435 Charoen Pokphand Indonesia Tbk PT 892,900 309,545 417,586 China Agri-Industries Holdings Ltd 336,000 116,545 178,083 China Mengniu Dairy Co Ltd 332,000 1,347,465 1,342,094 China Resources Beer Holdings Co Ltd 202,000 1,044,781 1,117,282 Cia Cervecerias Unidas SA 20,180 273,100 197,788 CJ CheilJedang Corp 1,162 340,200 253,372 Clicks Group Ltd 27,047 340,491 495,501 Coca-Cola Femsa SAB de CV 68,600 432,657 416,516 Coca-Cola Icecek AS 10,462 55,903 68,058 COFCO Meat Holdings Ltd 216,000 80,507 61,260 Colgate-Palmolive India Ltd 15,974 349,783 327,388 Cosco Capital, Inc 780,513 108,102 105,584 Cosmax, Inc 899 98,292 61,887 CP ALL PCL NVDR 788,400 2,209,068 1,899,705 Dabur India Ltd 86,746 564,608 557,094 Daesang Corp 3,642 80,085 73,066 Dali Foods Group Co Ltd (1) 284,000 177,284 210,295 Dis-Chem Pharmacies Ltd (1) 40,756 88,079 77,112 E-MART, Inc 2,362 242,798 259,869 Emami Ltd 29,815 138,233 129,447 FGV Holdings Bhd 214,300 81,115 79,632 Fomento Economico Mexicano SAB de CV 277,700 2,512,850 2,619,185 Fraser & Neave Holdings Bhd 19,500 151,574 166,087 Future Consumer Ltd 115,846 41,773 36,436 Genting Plantations Bhd 65,400 164,950 169,156 GFPT PCL NVDR 188,600 92,032 77,346 Gillette India Ltd 1,087 123,927 100,153 GlaxoSmithKline Consumer Healthcare Ltd 1,565 203,082 182,177 Godrej Consumer Products Ltd 54,097 564,677 518,816 Grape King Bio Ltd 16,000 107,931 104,080 Great Wall Enterprise Co Ltd 115,266 127,854 167,841 Gruma SAB de CV B 24,460 282,493 250,700 Grupo Comercial Chedraui SA de CV 35,500 70,919 50,844 Grupo Lala SAB de CV 75,300 90,349 65,274 Grupo Nutresa SA 41,314 330,520 319,228 GS Retail Co Ltd 3,428 114,151 116,361 Gudang Garam Tbk PT 58,900 307,081 224,683 Hanjaya Mandala Sampoerna Tbk PT 1,171,100 310,868 176,885



December 31, 2019


Equities (Continued) Harim Holdings Co Ltd 8,079 $ 81,939 $ 59,761 Hatsun Agro Product Ltd 7,276 61,893 59,760 Heineken Malaysia Bhd 21,700 106,982 143,871 Hengan International Group Co Ltd 85,500 597,867 608,967 Hindustan Unilever Ltd 90,707 2,771,175 2,443,739 Hite Jinro Co Ltd 4,654 81,663 116,465 Hyundai Greenfood Co Ltd 8,188 78,918 83,753 Indofood CBP Sukses Makmur Tbk PT 325,000 216,366 260,983 Indofood Sukses Makmur Tbk PT 579,700 317,605 330,536 Industrias Bachoco SAB de CV Series B 24,600 109,210 105,504 ITC Ltd 1,004,875 3,652,835 3,346,385 JBS SA 162,000 643,853 1,043,085 Jyothy Labs Ltd 24,970 61,864 51,425 Kolmar Korea Co Ltd 1,523 93,035 61,959 KT&G Corp 18,550 1,696,687 1,500,834 Kuala Lumpur Kepong Bhd 63,800 375,502 386,808 LG Household & Health Care Ltd 1,365 1,464,249 1,482,733 Lien Hwa Industrial Holdings Corp 131,300 157,520 161,842 M Dias Branco SA 19,300 231,626 183,606 Magnit PJSC 14,096 841,304 779,120 Marico Ltd 91,661 473,417 438,669 Mayora Indah Tbk PT 634,400 112,202 93,629 Natura & Co Holding SA 63,600 332,784 613,596 Nestle India Ltd 4,566 964,008 945,806 Nestle Malaysia Bhd 10,000 310,980 359,369 NongShim Co Ltd 583 147,078 121,191 Orion Corp/Republic of Korea 2,761 251,229 251,805 Osotspa PCL 82,000 97,406 110,669 Ottogi Corp 393 249,353 188,359 Philippine Seven Corp 48,261 107,002 135,316 Pick n Pay Stores Ltd 36,731 183,139 167,553 Pioneer Foods Group Ltd 17,971 138,487 140,948 PPB Group Bhd 99,200 440,728 456,895 Procter & Gamble Hygiene & Health Care Ltd 1,278 220,712 204,954 Puregold Price Club, Inc 174,160 155,647 136,694 QL Resources Bhd 99,900 129,498 198,554 Raia Drogasil SA 25,700 552,370 715,902 Robinsons Retail Holdings, Inc 87,790 146,026 138,675 Samyang Holdings Corp 1,342 104,287 77,739 San Miguel Food and Beverage, Inc 142,250 292,763 238,745 Sao Martinho SA 28,900 146,460 170,735 Shoprite Holdings Ltd 54,801 784,874 492,685 Sime Darby Plantation Bhd 283,000 331,781 377,057 SMU SA 364,757 99,908 70,677 Sok Marketler Ticaret 30,423 62,294 55,026 SPAR Group Ltd 18,398 248,654 259,445 Standard Foods Corp 72,000 128,191 167,168 Sumber Alfaria Trijaya Tbk PT 2,548,800 128,145 161,566 Sun Art Retail Group Ltd 266,500 272,965 323,194 Tata Global Beverages Ltd 52,896 235,783 238,142 Thai President Foods PCL 9,200 44,914 56,207


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December 31, 2019


Equities (Continued) Thai Union Group PCL NVDR 611,800 $ 339,564 $ 275,232 Thai Vegetable Oil PCL NVDR 146,600 132,126 134,591 Thaifoods Group PCL 399,200 50,693 55,893 Tiger Brands Ltd 20,646 489,070 310,604 Tingyi Cayman Islands Holding Corp 242,000 323,625 413,049 Tsingtao Brewery Co Ltd H 80,000 399,223 537,454 Ulker Biskuvi Sanayi AS 25,107 92,772 94,368 Uni-President China Holdings Ltd 170,000 202,839 178,458 Uni-President Enterprises Corp 756,000 1,754,856 1,871,275 Unilever Indonesia Tbk PT 157,200 496,598 475,203 United Breweries Ltd 11,441 204,945 203,573 United Plantations BHD 22,100 147,211 141,985 United Spirits Ltd 46,902 412,037 393,959 Universal Robina Corp 136,360 392,049 390,408 Varun Beverages Ltd 10,665 93,304 105,876 Vina Concha y Toro SA 85,912 166,837 163,952 Wal-Mart de Mexico SAB de CV 676,700 1,727,593 1,942,683 X5 Retail Group NV GDR 15,857 443,463 547,067 Yantai Changyu Pioneer Wine Co Ltd B 48,400 113,294 96,337

Total Consumer Staples 53,218,050 52,648,032 Energy: 7.17%

Adaro Energy Tbk PT 1,951,000 182,195 218,027 Bangchak Corp PCL NVDR 214,400 173,594 200,220 Banpu PCL 630,400 242,117 250,063 Bayan Resources Tbk PT 5,148 6,671 5,896 Bharat Petroleum Corp Ltd 87,062 646,032 599,558 Bukit Asam Tbk PT 496,500 101,012 94,966 China Coal Energy Co Ltd H 372,000 149,292 147,515 China Oilfield Services Ltd A 186,000 211,381 291,688 China Petroleum & Chemical Corp H 3,108,000 2,438,395 1,870,631 China Shenhua Energy Co Ltd H 449,500 971,828 939,114 Cosan SA 21,500 298,276 373,606 Dialog Group Bhd 543,700 403,340 458,566 Empresas COPEC SA 64,134 697,133 576,036 Esso Thailand PCL 183,300 45,204 52,838 Exxaro Resources Ltd 26,043 285,522 243,844 Gazprom Neft PJSC 21,170 111,990 143,461 Gazprom Neft PJSC ADR 3,944 83,090 132,124 Gazprom PJSC 1,494,130 3,787,711 6,173,750 Great Eastern Shipping Co Ltd 15,337 65,076 64,235 GS Holdings Corp 13,296 617,026 593,187 Hellenic Petroleum SA 11,829 112,331 116,366 Hindustan Petroleum Corp Ltd 96,870 444,076 358,963 Indian Oil Corp Ltd 276,500 570,988 486,347 Indo Tambangraya Megah Tbk PT 50,000 55,935 41,276 Inner Mongolia Yitai Coal Co Ltd B 190,100 173,765 153,981 IRPC PCL NVDR 1,536,800 202,170 188,418 LUKOIL PJSC 83,084 6,726,124 8,226,116 MOL Hungarian Oil & Gas PLC 73,036 785,943 728,031 Motor Oil Hellas Corinth Refineries SA 8,161 195,324 188,760 Novatek PJSC 232,381 4,991,321 4,729,402


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December 31, 2019


Equities (Continued) Oil India Ltd 65,617 $ 158,329 $ 140,697 Pelayaran Tamarin Samudra Tbk PT 2,719,200 94,887 76,390 PetroChina Co Ltd H 2,678,000 1,720,163 1,343,760 Petronas Dagangan Bhd 34,200 194,581 193,135 Petronet LNG Ltd 99,570 402,950 373,781 Pilipinas Shell Petroleum Corp 186,330 130,279 120,676 RussNeft PJSC 15,505 135,767 137,448 Semirara Mining & Power Corp 263,500 119,975 114,463 Serba Dinamik Holdings Bhd 148,050 69,985 79,626 SK Innovation Co Ltd 8,039 1,356,427 1,040,386 Star Petroleum Refining PCL 276,900 82,208 98,792 Surgutneftegas PJSC 4,307,102 1,969,747 3,504,490 Tatneft PJSC 187,564 2,246,181 2,296,837 Thai Oil PCL NVDR 146,300 350,504 340,067 Tupras Turkiye Petrol Rafinerileri AS 18,280 473,983 389,629 Ultrapar Participacoes SA 99,000 799,839 630,172 United Tractors Tbk PT 195,400 303,648 302,538 Yanzhou Coal Mining Co Ltd H 196,000 212,655 176,071 Yinson Holdings BHD 84,900 138,019 134,495

Total Energy 36,734,989 40,140,438 Financials: 23.68%

Absa Group Ltd 81,055 1,021,975 864,023 Aditya Birla Capital Ltd 78,206 90,225 112,524 AEON Thana Sinsap Thailand PCL 10,300 79,413 65,606 AFFIN Bank Bhd 243,400 139,935 113,057 Agricultural Bank of China Ltd H 3,476,000 1,657,266 1,530,059 Akbank T.A.S. 457,555 569,926 623,764 Alliance Bank Malaysia Bhd 122,000 120,409 78,440 Alpha Bank AE 171,262 364,830 369,417 AMMB Holdings Bhd 209,200 210,366 199,969 AU Small Finance Bank Ltd (1) 26,585 258,376 299,117 B3 SA - Brasil Bolsa Balcao 254,200 2,839,583 2,730,773 Bajaj Finance Ltd 31,541 1,800,280 1,871,276 Bajaj Finserv Ltd 9,483 1,100,620 1,247,961 Banco BTG Pactual SA 1,600 10,715 15,910 Banco de Bogota SA 6,699 158,870 173,506 Banco de Chile 4,332,192 627,972 459,174 Banco de Credito e Inversiones SA 7,267 448,263 329,549 Banco del Bajio SA (1) 117,527 238,187 197,665 Banco do Brasil SA 180,500 1,951,715 2,382,332 Banco Santander Chile 4,620,809 301,674 264,239 Banco Santander Mexico SA Institucion de

Banca Multiple Grupo Financiero Santand B 200,900 306,753 274,136 Bandhan Bank Ltd (1) 51,045 442,202 363,467 Bangkok Bank PCL 175,700 1,108,680 937,514 Bangkok Insurance PCL NVDR 18,600 200,446 183,182 Bangkok Life Assurance PCL NVDR 199,700 179,601 138,036 Bank Central Asia Tbk PT 1,395,000 3,078,969 3,354,984 Bank Mandiri Persero Tbk PT 2,408,200 1,347,803 1,330,683 Bank Negara Indonesia Persero Tbk PT 936,700 610,196 528,782 Bank of Ayudhya PCL NVDR 209,000 271,269 209,121



December 31, 2019


Equities (Continued) Bank of Baroda 142,690 $ 196,028 $ 203,705 Bank of China Ltd H 9,443,000 4,000,919 4,035,418 Bank of Communications Co Ltd H 929,000 673,575 660,480 Bank of the Philippine Islands 261,730 465,034 454,261 Bank Pembangunan Daerah Jawa Barat Dan

Banten Tbk PT 575,900 91,018 49,143 Bank Rakyat Indonesia Persero Tbk PT 6,863,800 2,091,881 2,172,570 Bank Tabungan Negara Persero Tbk PT 431,900 81,521 65,844 Bank Tabungan Pensiunan Nasional Syariah

Tbk PT 267,200 73,409 81,745 Bank Tabungan Pensiunan Nasional Tbk PT 600,323 153,065 140,540 BB Seguridade Participacoes SA 88,600 750,297 832,954 BDO Unibank, Inc 271,490 787,189 846,982 BNK Financial Group, Inc 44,363 318,796 293,229 Bursa Malaysia Bhd 80,550 133,773 119,924 Canara Bank 17,835 51,244 55,308 Capital Securities Corp 491,910 164,708 184,608 Capitec Bank Holdings Ltd 8,795 667,834 908,122 Chailease Holding Co Ltd 160,921 524,025 740,805 Chang Hwa Commercial Bank Ltd 808,975 490,602 612,594 China Banking Corp 223,097 115,216 110,348 China Bills Finance Corp 299,665 143,054 149,947 China Cinda Asset Management Co Ltd H 1,399,000 425,870 317,779 China CITIC Bank Corp Ltd H 1,159,000 742,703 694,600 China Everbright Bank Co Ltd L-H 420,000 195,500 195,116 China Galaxy Securities Co Ltd H 411,500 260,431 242,391 China Huarong Asset Management Co Ltd

H(1) 1,077,000 160,675 170,002 China International Capital Corp Ltd H(1) 142,000 282,891 273,711 China Life Insurance Co Ltd H 912,000 2,543,233 2,533,886 China Merchants Bank Co Ltd H 462,500 1,894,326 2,377,106 China Merchants Securities Co Ltd H(1) 49,400 66,843 63,142 China Minsheng Banking Corp Ltd H 794,000 633,240 600,164 China Pacific Insurance Group Co Ltd H 303,600 1,239,328 1,196,119 China Reinsurance Group Corp H 807,000 161,597 132,562 Cholamandalam Financial Holdings 14,851 98,322 103,958 Cholamandalam Investment and Finance Co

Ltd 52,392 227,812 224,239 Chongqing Rural Commercial Bank Co Ltd H 313,000 189,139 159,868 CIMB Thai Bank PCL 2,459,000 86,906 43,456 CITIC Securities Co Ltd H 257,000 498,812 586,407 City Union Bank Ltd 90,995 271,562 298,246 Commercial International Bank Egypt SAE

ADR 267,594 1,035,707 1,384,157 Coronation Fund Managers Ltd 20,890 60,243 59,586 Corp Financiera Colombiana SA 16,817 144,453 157,568 Credit Bank of Moscow PJSC 1,061,500 83,445 100,421 CRISIL Ltd 2,586 53,909 69,112 CSC Financial Co Ltd H(1) 95,000 78,307 81,927 CTBC Financial Holding Co Ltd 2,517,000 1,728,716 1,880,802 Daishin Securities Co Ltd 6,499 70,265 67,008



December 31, 2019


Equities (Continued) Daou Technology, Inc 4,010 $ 79,936 $ 65,741 DB Insurance Co Ltd 7,155 419,624 323,202 DCB Bank Ltd 32,899 84,264 79,231 DGB Financial Group, Inc 22,880 173,942 140,656 E.Sun Financial Holding Co Ltd 1,461,245 963,495 1,360,001 Edelweiss Financial Services Ltd 121,875 173,779 186,454 Equitas Holdings Ltd 38,915 51,357 58,227 Eurobank Ergasias SA 452,436 458,637 466,898 Far East Horizon Ltd 272,000 264,869 254,816 Far Eastern International Bank 504,532 182,253 201,126 Federal Bank Ltd 267,449 318,326 329,543 First Financial Holding Co Ltd 1,330,554 894,037 1,051,944 Gentera SAB de CV 134,700 123,157 138,137 GF Securities Co Ltd 160,600 221,324 195,590 Grupo de Inversiones Suramericana SA 37,048 443,831 383,189 Grupo Elektra SAB de CV 7,775 348,294 572,696 Grupo Financiero Banorte SAB de CV O 342,400 2,147,866 1,911,609 Grupo Financiero Inbursa SAB de CV O 282,200 428,472 346,267 Grupo Security SA 300,703 127,395 78,340 Guotai Junan Securities Co Ltd H(1) 93,600 198,593 165,764 Haci Omer Sabanci Holding AS 178,234 254,291 285,822 Haitong Securities Co Ltd H 328,800 370,865 388,621 Hana Financial Group, Inc 39,069 1,218,611 1,242,707 Hanwha Life Insurance Co Ltd 48,420 211,398 96,511 HDFC Asset Management Co Ltd (1) 4,480 189,400 200,827 HDFC Life Insurance Co Ltd (1) 46,398 410,337 406,952 Hong Leong Financial Group Bhd 46,900 202,820 193,768 Housing Development Finance Corp Ltd 219,435 6,603,992 7,416,806 Hua Nan Financial Holdings Co Ltd 1,210,396 706,644 888,305 Huatai Securities Co Ltd H(1) 187,200 345,290 331,047 Hyundai Marine & Fire Insurance Co Ltd 8,580 298,836 199,698 IBF Financial Holdings Co Ltd 427,744 141,520 160,527 ICICI Bank Ltd 60,196 415,576 454,476 ICICI Bank Ltd ADR 358,123 4,088,826 5,404,076 ICICI Lombard General Insurance Co Ltd (1) 19,201 364,799 373,055 ICICI Prudential Life Insurance Co Ltd (1) 48,091 346,042 325,050 IDFC Ltd 142,756 70,664 78,500 Indiabulls Housing Finance Ltd 42,365 123,907 185,893 Indiabulls Ventures Ltd 34,887 53,501 104,766 Indian Energy Exchange Ltd (1) 31,767 65,517 63,553 IndusInd Bank Ltd 83,537 1,569,008 1,767,220 Industrial & Commercial Bank of China Ltd H 9,766,000 7,354,226 7,519,731 Industrial Bank of Korea 36,533 459,426 372,392 Inversiones La Construccion SA 4,593 74,276 50,392 Investec Ltd 30,547 207,094 180,935 IRB Brasil Resseguros S/A 89,400 574,477 868,515 Itau CorpBanca 25,014,787 159,931 144,859 JB Financial Group Co Ltd 20,331 97,300 96,458 JM Financial Ltd 61,422 68,907 81,061 JSE Ltd 10,728 118,179 91,547 Karur Vysya Bank Ltd 98,627 77,568 83,251



December 31, 2019


Equities (Continued) KB Financial Group, Inc 52,872 $ 2,051,948 $ 2,178,218 Kiatnakin Bank PCL NVDR 119,300 265,978 262,639 King's Town Bank Co Ltd 135,000 154,791 150,866 KIWOOM Securities Co Ltd 1,322 91,215 90,508 Komercni banka AS 12,917 522,403 473,041 Korea Investment Holdings Co Ltd 5,189 311,314 324,061 Korean Reinsurance Co 17,257 142,474 135,908 Kotak Mahindra Bank Ltd 163,444 3,668,835 3,856,879 Krung Thai Bank PCL NVDR 929,600 550,872 508,675 Krungthai Card PCL 106,200 115,010 139,861 L&T Finance Holdings Ltd 81,998 110,860 136,188 Liberty Holdings Ltd 14,626 112,993 115,548 LIC Housing Finance Ltd 35,847 209,290 218,036 LPI Capital Bhd 35,640 133,187 131,564 Mahindra & Mahindra Financial Services Ltd 37,346 186,693 168,710 Manappuram Finance Ltd 44,409 106,397 110,372 Mega Financial Holding Co Ltd 1,477,000 1,420,682 1,507,696 Mercuries Life Insurance Co Ltd 185,902 79,829 71,937 Meritz Financial Group, Inc 6,738 83,062 68,664 Meritz Fire & Marine Insurance Co Ltd 6,532 125,654 100,695 Meritz Securities Co Ltd 41,521 161,982 135,730 Metro Pacific Investments Corp 1,880,500 196,072 129,216 Metropolitan Bank & Trust Co 371,726 471,824 486,631 Mirae Asset Daewoo Co Ltd 58,657 387,185 381,637 Mirae Asset Life Insurance Co Ltd 16,796 73,521 60,019 Momentum Metropolitan Holdings 101,258 110,336 157,895 Moneta Money Bank AS (1) 90,272 307,576 338,715 Moscow Exchange MICEX-RTS PJSC 207,940 308,235 360,793 Motilal Oswal Financial Services Ltd 5,688 51,902 60,519 Muangthai Capital PCL NVDR 70,600 92,356 150,048 Multi Commodity Exchange of India Ltd 5,050 81,326 82,639 Muthoot Finance Ltd 21,715 216,974 231,652 Nedbank Group Ltd 39,768 765,667 608,474 New China Life Insurance Co Ltd H 116,500 504,926 500,847 NH Investment & Securities Co Ltd C 17,935 210,025 196,195 Orange Life Insurance Ltd (1) 3,570 102,402 87,116 Orient Securities Co Ltd H(1) 101,600 78,846 63,758 OTP Bank Nyrt 28,826 1,197,573 1,509,329 People's Insurance Co Group of China Ltd H 1,074,000 455,206 446,564 Philippine National Bank 150,370 152,411 102,416 PICC Property & Casualty Co Ltd H 836,000 1,036,951 1,007,410 Piraeus Bank SA 38,609 131,125 129,490 PNB Housing Finance Ltd (1) 5,292 40,060 32,192 Porto Seguro SA 13,700 166,783 214,188 Postal Savings Bank of China Co Ltd H(1) 1,461,000 885,458 993,712 Power Finance Corp Ltd 115,056 178,879 190,046 PSG Group Ltd 20,067 363,012 335,491 Punjab National Bank 91,546 84,559 82,532 Rand Merchant Investment Holdings Ltd 110,703 234,846 243,758 RBL Bank Ltd (1) 62,205 275,793 300,532 REC Ltd 110,576 218,249 221,684


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December 31, 2019


Equities (Continued) Regional SAB de CV 26,600 $ 145,490 $ 149,126 Reliance Nippon Life Asset Management Ltd

(1) 18,404 94,104 91,404 Remgro Ltd 56,680 652,059 789,133 RHB Bank Bhd 213,900 291,846 302,247 Rizal Commercial Banking Corp 113,800 60,975 51,681 RMB Holdings Ltd 78,672 468,478 451,833 Rosgosstrakh PJSC 16,932,000 45,346 38,340 Safmar Financial Investment 9,670 112,665 80,238 Samsung Card Co Ltd 4,503 144,246 150,301 Samsung Fire & Marine Insurance Co Ltd 4,219 1,011,777 886,983 Samsung Securities Co Ltd 8,148 229,901 271,371 Sangsangin Co Ltd 4,849 65,117 36,311 Santam Ltd 5,115 104,775 105,959 Sberbank of Russia PJSC 1,276,040 4,681,624 5,241,082 SBI Life Insurance Co Ltd (1) 38,456 537,805 518,076 Security Bank Corp 68,660 240,564 264,160 Shanghai Commercial & Savings Bank Ltd 571,000 925,285 990,493 Shinhan Financial Group Co Ltd 58,098 2,178,986 2,178,256 Shriram City Union Finance Ltd 3,286 61,743 64,552 Shriram Transport Finance Co Ltd 18,470 297,862 303,037 Siam Commercial Bank PCL 345,900 1,403,176 1,406,586 SinoPac Financial Holdings Co Ltd 1,441,600 528,465 625,173 Srisawad Corp PCL NVDR 96,790 140,493 220,792 Standard Bank Group Ltd 139,702 1,730,317 1,678,898 State Bank of India 400,538 1,770,051 1,872,836 Sundaram Finance Ltd 14,547 331,818 332,360 Taichung Commercial Bank Co Ltd 443,591 160,813 177,573 Taishin Financial Holding Co Ltd 1,366,993 612,154 661,220 Taiwan Business Bank 604,764 209,552 254,196 Taiwan Cooperative Financial Holding Co Ltd 1,263,778 740,582 874,784 Thanachart Capital PCL NVDR 147,500 248,255 263,173 Tisco Financial Group PCL NVDR 90,700 249,433 300,278 TMB Bank PCL 5,176,700 289,538 289,925 Turkiye Garanti Bankasi AS 300,573 501,316 562,848 Turkiye Halk Bankasi AS 90,011 117,720 89,421 Turkiye Is Bankasi AS C 192,477 205,950 207,392 Turkiye Vakiflar Bankasi TAO D 145,184 108,665 134,470 Ujjivan Financial Services Ltd 11,282 43,457 54,910 Union Bank Of Taiwan 454,519 150,878 167,543 VTB Bank PJSC 649,240,000 510,463 480,960 Woori Financial Group, Inc 63,120 843,086 631,960 Yapi ve Kredi Bankasi AS 199,538 81,758 83,183 Yes Bank Ltd 247,384 246,488 162,720 Yuanta Financial Holding Co Ltd 1,502,000 742,694 1,012,123 Yulon Finance Corp 19,100 63,098 72,954

Total Financials 126,457,036 132,521,033 Health Care: 4.00%

3SBio, Inc (1) 178,500 299,757 231,363 Ajanta Pharma Ltd 4,248 63,243 57,999 Alembic Pharmaceuticals Ltd 9,149 71,202 73,227



December 31, 2019


Equities (Continued) Alkem Laboratories Ltd 8,348 $ 235,194 $ 235,535 Apollo Hospitals Enterprise Ltd 12,263 257,741 247,740 Aspen Pharmacare Holdings Ltd 39,272 676,277 334,286 Aurobindo Pharma Ltd 66,348 432,844 424,655 Bangkok Chain Hospital PCL NVDR 163,600 82,605 93,272 Bangkok Dusit Medical Services PCL 1,449,400 1,056,231 1,256,204 Biocon Ltd 59,956 208,914 246,701 Bukwang Pharmaceutical Co Ltd 5,749 82,604 71,242 Bumrungrad Hospital PCL NVDR 58,200 342,201 285,310 Cadila Healthcare Ltd 31,619 112,453 112,650 Celltrion, Inc 10,784 2,160,425 1,681,080 Chabiotech Co Ltd 5,166 93,042 64,206 China Medical System Holdings Ltd 169,000 229,778 243,340 China Resources Medical Holdings Co Ltd 108,500 62,468 62,937 China Resources Pharmaceutical Group Ltd (1) 245,000 346,117 227,321 China Traditional Chinese Medicine Holdings

Co Ltd 340,000 152,219 164,059 Chong Kun Dang Pharmaceutical Corp 1,136 93,886 94,933 Chularat Hospital PCL NVDR 818,700 69,440 70,411 Cipla Ltd 74,245 488,669 497,407 CrystalGenomics, Inc 4,064 72,577 51,825 CSPC Pharmaceutical Group Ltd 538,000 1,384,194 1,282,810 Daewoong Co Ltd 5,715 96,624 63,844 Daewoong Pharmaceutical Co Ltd 797 113,917 94,405 Dentium Co Ltd 1,221 77,267 56,803 Divi's Laboratories Ltd 17,553 433,592 453,911 Dong-A ST Co Ltd 823 74,313 84,530 Dr Lal PathLabs Ltd (1) 4,046 88,156 84,683 Dr Reddy's Laboratories Ltd 1,144 45,295 46,071 Dr Reddy's Laboratories Ltd ADR 15,260 540,154 619,251 Fleury SA 36,300 250,049 276,590 Fortis Healthcare Ltd 65,292 132,382 120,653 Genertec Universal Medical Group Co Ltd (1) 120,500 89,817 91,238 Genomma Lab Internacional SAB de CV B 130,100 112,645 129,016 GlaxoSmithKline Pharmaceuticals Ltd 4,558 106,863 102,829 Glenmark Pharmaceuticals Ltd 23,906 109,485 116,368 Green Cross Corp 846 128,134 96,613 Green Cross Holdings Corp 4,862 125,412 93,357 Hanmi Pharm Co Ltd 727 241,114 185,829 Hanmi Science Co Ltd 4,271 233,040 141,117 Hapvida Participacoes e Investimentos SA (1) 24,600 222,749 391,833 Hartalega Holdings Bhd 196,600 250,837 263,383 Hugel, Inc 431 166,184 148,220 Hypera SA 55,300 481,826 491,966 IHH Healthcare Bhd 334,400 456,488 447,175 Innovent Biologics, Inc (1) 103,000 314,504 350,943 Ipca Laboratories Ltd 10,694 149,988 170,235 Jubilant Life Sciences Ltd 11,040 85,701 83,057 Kalbe Farma Tbk PT 2,721,600 284,554 317,316 Kossan Rubber Industries 80,100 73,877 81,461 Life Healthcare Group Holdings Ltd 145,106 285,847 255,381


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December 31, 2019


Equities (Continued) Lupin Ltd 31,023 $ 326,728 $ 331,817 Luye Pharma Group Ltd (1) 226,500 175,407 169,752 Medy-Tox, Inc 596 324,769 154,994 Mitra Keluarga Karyasehat Tbk PT 705,900 94,149 135,657 Natco Pharma Ltd 15,148 125,869 125,943 Netcare Ltd 139,979 263,077 194,487 Notre Dame Intermedica Participacoes SA 45,900 456,317 780,959 Odontoprev SA 37,100 155,620 156,081 Osstem Implant Co Ltd 1,343 68,164 49,132 Pfizer Ltd 2,132 121,622 126,188 Pharmally International Holding Co Ltd 10,256 60,590 74,242 Pharmicell Co Ltd 6,165 69,673 45,025 Piramal Enterprises Ltd 16,288 391,168 347,664 Procter & Gamble Health Ltd 1,025 68,017 62,706 Qualicorp Consultoria e Corretora de Seguros

SA 27,100 209,906 250,853 Ramkhamhaeng Hospital PCL 7,100 36,997 36,029 Richter Gedeon Nyrt 19,033 379,566 413,808 Sam Chun Dang Pharm Co Ltd 1,639 56,742 50,118 Sanofi India Ltd 1,296 124,980 127,207 Seegene, Inc 2,765 58,575 73,020 Shandong Weigao Group Medical Polymer Co

Ltd H 296,000 254,169 354,791 Shanghai Fosun Pharmaceutical Group Co Ltd

H 70,500 296,905 212,614 Shanghai Pharmaceuticals Holding Co Ltd H 113,600 281,567 221,010 Sino Biopharmaceutical Ltd 791,000 978,390 1,106,464 Sinopharm Group Co Ltd H 145,200 619,042 530,131 SSY Group Ltd 182,000 151,787 147,379 Strides Pharma Science Ltd 9,807 53,288 49,730 Sun Pharmaceutical Industries Ltd 137,608 846,719 833,901 Thonburi Healthcare Group PCL 83,800 79,771 74,817 Tong Ren Tang Technologies Co Ltd H 98,000 137,423 96,336 Top Glove Corp Bhd 199,100 214,022 228,767 Torrent Pharmaceuticals Ltd 5,896 148,648 152,736 Vibhavadi Medical Center PCL NVDR 1,453,600 105,868 86,865 WuXi AppTec Co Ltd H(1) 22,000 266,530 272,872 Yuhan Corp 1,464 248,294 298,766 Yungjin Pharmaceutical Co Ltd 11,262 64,149 64,095

Total Health Care 23,159,403 22,405,547 Industrials: 8.14%

3M India Ltd 366 116,216 109,242 ABB India Ltd 6,755 125,619 121,632 Aboitiz Equity Ventures, Inc 334,320 352,864 339,416 Adani Enterprises Ltd 45,269 127,487 132,138 Adani Ports & Special Economic Zone Ltd 114,929 643,320 589,312 Aeroflot PJSC 61,180 147,954 102,101 Aerospace Industrial Development Corp 103,000 109,086 123,351 AIA Engineering Ltd 4,021 98,137 92,923 Air China Ltd H 260,000 255,911 263,927 AirAsia Group Bhd 300,100 216,222 124,721



December 31, 2019


Equities (Continued) Airports of Thailand PCL 542,000 $ 1,408,070 $ 1,341,652 Airtac International Group 16,000 219,817 248,991 AKR Corporindo Tbk PT 208,500 83,589 59,263 Alliance Global Group, Inc 812,200 229,090 186,864 Amara Raja Batteries Ltd 9,407 90,893 95,463 AntarChile SA 17,572 267,392 170,178 ArtGo Holdings Ltd 320,000 223,048 10,677 Aselsan Elektronik Sanayi Ve Ticaret AS 40,973 172,826 144,222 Ashok Leyland Ltd 223,104 242,078 254,742 Asiana Airlines, Inc 15,977 62,734 74,494 Astral Poly Technik Ltd 7,544 119,805 124,387 Ayala Corp 42,270 771,522 654,731 Bangkok Expressway & Metro PCL 1,068,100 280,481 388,169 Barloworld Ltd 21,175 231,111 170,431 Beijing Capital International Airport Co Ltd H 214,000 270,843 207,346 Bharat Electronics Ltd 127,278 213,463 178,404 Bharat Heavy Electricals Ltd 111,390 89,084 67,806 Bidvest Group Ltd 35,121 497,984 513,475 Bizlink Holding, Inc 12,000 81,823 90,269 Blue Star Ltd 9,371 111,212 110,392 Boustead Holdings Bhd 277,200 151,740 64,378 BTS Group Holdings PCL 1,175,800 371,025 517,562 Carborundum Universal Ltd 15,885 72,632 71,304 CCR SA 154,700 660,288 732,805 CH Karnchang PCL 173,700 142,462 110,030 China Airlines Ltd 723,000 251,839 218,514 China Communications Construction Co Ltd

H 541,000 504,467 440,865 China Communications Services Corp Ltd H 296,000 199,731 215,762 China Eastern Airlines Corp Ltd H 242,000 135,680 134,163 China Energy Engineering Corp Ltd H 928,000 153,412 111,946 China Everbright International Ltd 397,000 300,713 318,423 China Merchants Port Holdings Co Ltd 162,000 268,456 274,009 China Railway Construction Corp Ltd H 250,000 302,073 273,668 China Railway Group Ltd H 473,000 377,246 291,972 China Southern Airlines Co Ltd H 218,000 153,748 146,596 China State Construction International

Holdings Ltd 178,000 164,018 161,729 CIMC Enric Holdings Ltd 74,000 53,478 44,159 CJ Corp 2,091 282,311 174,352 CJ Logistics Corp 1,746 236,599 233,654 Cleanaway Co Ltd 14,000 78,207 72,856 Container Corp Of India Ltd 34,175 283,910 273,819 Controladora Vuela Cia de Aviacion SAB de

CV A 99,400 109,901 103,987 COSCO SHIPPING Development Co Ltd H 380,000 55,925 44,865 COSCO SHIPPING Holdings Co Ltd H 276,000 133,962 111,926 COSCO SHIPPING Ports Ltd 212,000 188,024 173,577 CRRC Corp Ltd H 544,000 500,497 396,535 CTCI Corp 102,000 152,551 129,639 Cummins India Ltd 17,111 132,502 132,052



December 31, 2019


Equities (Continued) Daelim Industrial Co Ltd 3,701 $ 278,007 $ 289,528 Daewoo Engineering & Construction Co Ltd 29,104 149,098 119,212 Daewoo Shipbuilding & Marine Engineering

Co Ltd (2) 4,773 119,309 114,537 DMCI Holdings, Inc 668,300 158,942 87,224 Doosan Bobcat, Inc 6,350 189,659 188,574 Doosan Corp 3,050 255,824 185,385 Doosan Heavy Industries & Construction Co

Ltd 14,142 108,195 69,879 Doosan Infracore Co Ltd 17,526 126,653 83,892 Ecopro BM Co Ltd 1,071 47,550 48,867 EcoRodovias Infraestrutura e Logistica SA 22,600 66,408 91,948 Embraer SA 97,700 486,839 480,752 Engineers India Ltd 34,488 58,513 47,834 Enka Insaat ve Sanayi AS 211,996 194,114 228,780 Escorts Ltd 7,874 73,487 69,454 Eva Airways Corp 585,025 272,355 268,342 Evergreen Marine Corp Taiwan Ltd 437,750 195,117 181,076 Far Eastern New Century Corp 519,000 478,613 516,801 Finolex Cables Ltd 11,128 60,508 57,855 Gamuda Bhd 210,400 188,193 200,601 GEK Terna Holding Real Estate Construction

SA 7,471 43,506 63,438 GMexico Transportes SAB de CV (1) 72,461 82,257 96,346 Godrej Industries Ltd 35,864 213,239 213,315 Grupo Aeroportuario del Centro Norte SAB

de CV 40,600 226,783 303,971 Grupo Aeroportuario del Pacifico SAB de CV

B 48,300 463,369 574,133 Grupo Aeroportuario del Sureste SAB de CV

B 23,925 416,190 448,245 Grupo Carso SAB de CV Series A1 58,100 202,134 214,762 GS Engineering & Construction Corp 9,678 294,454 259,002 GT Capital Holdings, Inc 12,702 235,299 212,432 Gunkul Engineering PCL 651,500 63,036 64,765 Haitian International Holdings Ltd 79,000 175,062 191,409 Hanjin Kal Corp 4,871 88,822 167,783 Hanwha Aerospace Co Ltd 6,632 185,861 200,610 Hanwha Corp 7,743 240,962 166,992 HAP Seng Consolidated Bhd 101,200 238,339 246,908 Havells India Ltd 30,600 297,538 277,435 HDC Holdings Co Ltd 5,242 53,451 49,885 HDC Hyundai Development Co-Engineering

& Construction E 3,962 144,852 87,604 Hiwin Technologies Corp 34,982 316,258 327,916 Hyosung Corp 1,236 65,240 84,286 Hyundai Construction Equipment Co Ltd 1,721 92,301 44,321 Hyundai Elevator Co Ltd 2,463 168,829 145,197 Hyundai Engineering & Construction Co Ltd 9,422 399,478 343,709 Hyundai Glovis Co Ltd 2,852 370,738 351,896 Hyundai Heavy Industries Holdings Co Ltd 1,434 499,865 418,511



December 31, 2019


Equities (Continued) Hyundai Merchant Marine Co Ltd 29,139 $ 103,918 $ 89,314 Hyundai Mipo Dockyard Co Ltd 2,874 126,904 113,984 Hyundai Rotem Co Ltd 6,191 121,951 83,315 IJM Corp Bhd 278,500 156,359 147,744 Imperial Logistics Ltd 17,268 88,368 72,125 InterGlobe Aviation Ltd (1) 14,269 293,026 266,586 International Container Terminal Services, Inc 222,080 443,059 562,827 Iochpe Maxion SA 19,100 110,595 111,444 Jasa Marga Persero Tbk PT 239,700 97,017 89,233 JG Summit Holdings, Inc 606,090 763,469 965,957 Jiangsu Expressway Co Ltd H 156,000 225,943 213,811 Kajaria Ceramics Ltd 11,532 90,815 84,852 Kalpataru Power Transmission Ltd 8,518 51,908 48,970 KAP Industrial Holdings Ltd 281,187 152,808 84,320 KCC Corp 835 252,857 168,319 KEC International Ltd 16,157 61,871 68,371 KEPCO Plant Service & Engineering Co Ltd 2,809 94,258 95,099 King Slide Works Co Ltd 9,000 108,129 108,683 KOC Holding AS 135,802 476,568 463,859 Korea Aerospace Industries Ltd 12,874 369,691 378,903 Korean Air Lines Co Ltd 9,294 250,358 228,505 L&T Technology Services Ltd (1) 3,285 69,699 67,582 Lakshmi Machine Works Ltd 962 49,599 44,343 Latam Airlines Group SA 52,510 595,682 527,333 LG Corp 17,639 1,217,783 1,123,912 LG International Corp 4,509 64,726 58,506 Localiza Rent a Car SA 79,695 569,604 943,597 Lotte Corp 5,365 246,697 180,326 LS Corp 4,002 240,095 165,087 LS Industrial Systems Co Ltd 2,221 107,742 104,601 LT Group, Inc 426,200 111,506 100,817 MacroAsia Corp 217,900 90,420 70,933 Malaysia Airports Holdings Bhd 113,300 225,265 210,507 Malaysian Resources Corp Bhd 186,800 41,265 33,337 Metallurgical Corp of China Ltd H 427,000 118,790 95,896 MISC Bhd 120,900 185,279 246,795 Mytilineos SA 11,467 115,750 125,796 NCC Ltd 61,241 49,957 48,047 Novorossiysk Commercial Sea Port PJSC 456,900 58,935 66,143 Pan Ocean Co Ltd 30,553 128,830 119,719 Pegasus Hava Tasimaciligi AS 5,412 62,604 78,601 Posco International Corp 5,701 106,989 91,712 Promotora y Operadora de Infraestructura

SAB de CV 25,615 247,850 262,172 Quinenco SA 65,554 182,550 134,255 Reunert Ltd 17,838 93,071 92,463 Rumo SA 144,600 759,421 941,254 S-1 Corp 2,909 249,486 235,698 Salfacorp SA 49,761 75,235 28,961 Samsung C&T Corp 17,368 1,346,911 1,626,088 Samsung Engineering Co Ltd 19,809 273,951 327,368



December 31, 2019


Equities (Continued) Samsung Heavy Industries Co Ltd 66,356 $ 414,515 $ 415,531 San Miguel Corp 67,600 209,396 218,892 Schaeffler India Ltd 1,223 73,570 80,560 Shanghai Electric Group Co Ltd L-H 414,000 153,448 136,011 Shanghai Industrial Holdings Ltd 71,000 152,460 136,673 Shenzhen International Holdings Ltd 135,000 283,581 296,601 Shihlin Electric & Engineering Corp 62,000 85,866 93,588 Shin Zu Shing Co Ltd 18,000 68,817 77,459 Siemens Ltd 11,163 262,380 234,073 Sigdo Koppers SA 81,573 137,089 107,397 Sime Darby Bhd 366,100 217,054 198,690 Sino-Thai Engineering & Construction PCL

NVDR 174,800 128,169 82,746 Sinopec Engineering Group Co Ltd H 186,500 170,961 111,532 Sinotrans Ltd H 244,000 112,872 82,979 Sinotruk Hong Kong Ltd 80,000 129,022 170,630 SK Holdings Co Ltd 6,279 1,543,252 1,416,533 SK Networks Co Ltd 19,122 96,152 98,059 SKF India Ltd 3,410 106,214 103,929 SM Investments Corp 86,867 1,658,946 1,787,564 Sociedad Matriz SAAM SA 976,283 89,161 76,926 SpiceJet Ltd 35,181 57,066 55,523 Taeyoung Engineering & Construction Co Ltd 5,130 50,515 52,899 Taiwan Glass Industry Corp 273,000 131,283 103,820 Taiwan High Speed Rail Corp 402,000 375,957 514,955 Taiwan Secom Co Ltd 50,000 144,694 148,114 TAV Havalimanlari Holding AS 20,912 105,283 102,574 Teco Electric and Machinery Co Ltd 245,000 184,297 214,131 Tekfen Holding AS 26,872 96,082 87,270 Thai Airways International PCL NVDR 246,300 105,430 56,269 Thermax Ltd 5,195 83,898 78,793 Turk Hava Yollari AO 108,091 313,598 262,733 Turkiye Sise ve Cam Fabrikalari AS 75,510 77,425 66,892 U-Ming Marine Transport Corp 57,000 66,070 63,889 United Integrated Services Co Ltd 23,000 104,132 150,382 United Wagon Co PJSC 10,839 71,744 54,888 V-Guard Industries Ltd 21,581 77,362 64,279 Voltas Ltd 28,146 281,805 259,977 Voltronic Power Technology Corp 8,550 147,251 203,931 Walsin Lihwa Corp 361,000 203,116 185,456 Wan Hai Lines Ltd 179,000 101,562 110,468 Waskita Karya Persero Tbk PT 569,300 82,582 60,768 WEG SA 97,430 506,277 842,700 Weichai Power Co Ltd H 223,000 277,901 470,480 Westports Holdings Bhd 97,900 88,058 100,760 Wijaya Karya Persero Tbk PT 371,200 62,024 53,078 Wilson Bayly Holmes-Ovcon Ltd 6,547 65,487 64,559 Yuexiu Transport Infrastructure Ltd 128,000 101,329 113,835 Yungtay Engineering Co Ltd 50,333 90,742 107,963 Zhejiang Expressway Co Ltd H 168,000 177,999 153,074


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December 31, 2019


Equities (Continued) Zhuzhou CRRC Times Electric Co Ltd H 69,400 $ 373,904 $ 251,156

Total Industrials 46,185,687 45,531,337 Information Technology: 9.31%

Accton Technology Corp 64,000 223,599 358,675 Acer, Inc 398,000 284,783 236,992 Advantech Co Ltd 52,000 395,505 523,868 Arcadyan Technology Corp 18,000 54,048 56,503 ASE Technology Holding Co Ltd 423,500 1,007,852 1,175,408 Asia Optical Co, Inc 27,000 75,964 97,275 ASMedia Technology, Inc 4,000 60,715 87,667 Asustek Computer, Inc 93,000 779,586 718,201 AU Optronics Corp 1,016,000 410,156 340,621 BH Co Ltd 2,901 63,981 54,833 Career Technology MFG. Co Ltd 43,780 59,474 52,211 Chicony Electronics Co Ltd 76,445 179,068 226,961 Chilisin Electronics Corp 23,338 100,393 99,652 Chin-Poon Industrial Co Ltd 55,000 62,048 58,620 China Railway Signal & Communication Corp

Ltd H(1) 199,000 143,140 111,090 ChipMOS TECHNOLOGIES, Inc 70,000 69,418 79,978 Chroma ATE, Inc 49,000 255,073 237,015 Cielo SA 151,800 287,192 316,829 Clevo Co 70,000 74,093 85,932 Compal Electronics, Inc 588,000 379,179 369,743 Compeq Manufacturing Co Ltd 131,000 127,371 197,088 Daeduck Electronics Co 8,738 77,701 78,852 DB HiTek Co Ltd 5,159 65,191 123,124 Delta Electronics Thailand PCL NVDR 78,500 175,497 140,058 Delta Electronics, Inc 271,000 1,319,515 1,369,600 Douzone Bizon Co Ltd 2,418 105,798 169,032 Elan Microelectronics Corp 36,700 81,960 111,654 Elite Material Co Ltd 34,000 110,725 155,386 Ennoconn Corp 6,000 68,443 49,438 Eo Technics Co Ltd 1,105 66,676 98,633 Everlight Electronics Co Ltd 81,000 90,841 93,897 FLEXium Interconnect, Inc 34,000 113,563 129,866 Foxconn Technology Co Ltd 125,000 282,680 276,045 General Interface Solution Holding Ltd 25,000 126,269 94,239 Getac Technology Corp 47,000 64,861 73,219 Gigabyte Technology Co Ltd 70,000 115,888 116,056 Global Unichip Corp 9,000 81,821 72,355 Greatek Electronics, Inc 66,000 106,046 105,351 Hana Microelectronics PCL NVDR 69,700 78,286 80,169 HannStar Display Corp 308,000 84,849 83,121 HCL Technologies Ltd 143,508 1,172,140 1,142,183 Hexaware Technologies Ltd 14,691 69,085 68,888 Holtek Semiconductor, Inc 35,000 74,476 80,211 Holy Stone Enterprise Co Ltd 19,000 94,830 73,523 Hon Hai Precision Industry Co Ltd 1,540,800 4,968,376 4,667,066 Honeywell Automation India Ltd 269 107,577 102,941 Inari Amertron Bhd 268,800 133,725 111,712



December 31, 2019


Equities (Continued) Infosys Ltd 7,827 $ 77,836 $ 80,174 Infosys Ltd ADR 492,603 4,335,358 5,083,663 Innolux Corp 1,094,000 401,566 304,000 Inventec Corp 414,000 318,104 315,572 ITEQ Corp 23,000 103,048 97,825 KCE Electronics PCL 92,900 100,015 75,849 King Yuan Electronics Co Ltd 133,000 120,452 166,599 Kingboard Holdings Ltd 79,000 247,516 250,414 KMW Co Ltd 3,448 161,961 152,192 Koh Young Technology, Inc 1,445 118,722 131,678 L&F Co Ltd 2,309 84,344 43,647 Larsen & Toubro Infotech Ltd (1) 5,335 129,398 130,837 LEENO Industrial, Inc 1,482 80,188 82,378 Legend Holdings Corp H(1) 72,800 203,397 165,176 Lenovo Group Ltd 852,000 536,384 571,841 LG Display Co Ltd 27,861 592,634 389,779 LG Innotek Co Ltd 1,648 206,109 198,634 Linx SA 20,700 149,073 182,784 Lite-On Technology Corp 291,000 374,853 479,062 Lotes Co Ltd 9,000 64,367 96,824 Machvision, Inc 6,000 68,455 72,155 Macronix International 221,061 242,336 274,326 MediaTek, Inc 188,000 1,937,307 2,781,399 Merry Electronics Co Ltd 24,000 135,193 134,103 Micro-Star International Co Ltd 96,000 257,820 277,653 Mindtree Ltd 6,018 60,590 67,462 Mitac Holdings Corp 138,264 116,511 133,758 Mphasis Ltd 13,322 177,046 172,128 Nanya Technology Corp 158,000 322,156 439,577 NEPES Corp 2,238 53,593 46,359 NIIT Technologies Ltd 2,737 59,916 60,963 Novatek Microelectronics Corp 73,000 334,639 533,309 Oracle Financial Services Software Ltd 3,547 157,467 136,142 Partron Co Ltd 5,268 62,539 60,032 Pegatron Corp 267,000 553,089 609,227 Persistent Systems Ltd 6,511 57,418 61,495 Powertech Technology, Inc 98,000 266,867 326,263 Primax Electronics Ltd 51,000 97,351 107,863 Qisda Corp 173,000 113,572 122,924 Quanta Computer, Inc 364,000 688,300 780,772 Radiant Opto-Electronics Corp 58,000 147,756 232,178 Realtek Semiconductor Corp 61,000 274,166 478,200 Ritek Corp 159,000 42,370 37,765 Samsung SDS Co Ltd 5,142 959,623 862,955 Seoul Semiconductor Co Ltd 4,941 105,377 69,238 Sercomm Corp 38,000 85,702 98,495 SFA Engineering Corp 2,414 83,886 96,417 Shanghai Baosight Software Co Ltd B 40,100 72,434 76,511 Silergy Corp 10,000 169,441 316,910 Sinbon Electronics Co Ltd 25,000 77,769 103,413 Sitronix Technology Corp 13,000 57,089 72,639


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December 31, 2019


Equities (Continued) SK Hynix, Inc 76,433 $ 5,637,228 $ 6,216,887 SONDA SA 74,085 85,428 63,831 Synnex Technology International Corp 205,000 261,817 256,447 Systex Corp 43,000 104,684 108,300 Taiwan Surface Mounting Technology Corp 37,000 79,495 144,411 Tata Consultancy Services Ltd 145,450 4,612,185 4,404,979 Tech Mahindra Ltd 78,213 818,309 835,294 Tong Hsing Electronic Industries Ltd 13,000 48,677 67,869 Topco Scientific Co Ltd 28,000 89,151 98,542 TOTVS SA 20,900 254,507 336,012 TPK Holding Co Ltd 43,000 94,842 81,476 Transcend Information, Inc 30,000 65,631 77,960 Tripod Technology Corp 58,000 180,015 242,819 Unimicron Technology Corp 162,000 125,819 226,974 Unitech Printed Circuit Board Corp 64,000 69,935 71,842 United Microelectronics Corp 1,432,000 675,180 785,816 United Renewable Energy Co Ltd 287,000 81,462 73,337 Visual Photonics Epitaxy Co Ltd 20,000 66,308 78,727 VS Industry Bhd 161,900 69,824 53,037 Walsin Technology Corp 42,000 236,035 334,857 Winbond Electronics Corp 382,000 237,319 249,128 Wipro Ltd 205,915 753,184 709,095 Wistron Corp 326,193 232,365 308,489 Wistron NeWeb Corp 58,240 149,055 146,683 Wiwynn Corp 11,000 135,186 233,012 WONIK IPS Co Ltd 4,378 110,151 135,612 WPG Holdings Ltd 211,320 290,597 275,632 WT Microelectronics Co Ltd 88,000 121,641 123,588 Xinyi Solar Holdings Ltd 650,000 287,294 461,289 Yageo Corp 34,358 466,006 500,865 Zhen Ding Technology Holding Ltd 68,000 193,634 324,382 ZTE Corp H 93,200 219,004 285,258

Total Information Technology 48,024,528 52,105,790 Materials: 8.25%

Aarti Industries Ltd 22,821 280,948 265,607 ACC Ltd 10,247 224,944 207,537 AECI Ltd 13,313 95,050 101,706 African Rainbow Minerals Ltd 9,638 113,437 112,620 Alpek SAB de CV 39,600 50,653 43,878 Alrosa PJSC 409,300 540,211 555,724 Aluminum Corp of China Ltd H 446,000 211,591 152,820 Ambuja Cements Ltd 100,489 286,197 276,289 Aneka Tambang Tbk 893,100 65,273 54,006 Anglo American Platinum Ltd 7,064 229,817 659,359 AngloGold Ashanti Ltd 43,546 487,879 984,029 Anhui Conch Cement Co Ltd H 140,500 702,149 1,024,139 Asia Cement Corp 277,000 293,449 443,078 Asian Paints Ltd 102,427 2,620,646 2,561,387 Assore Ltd 3,957 95,768 76,846 Atul Ltd 2,544 154,609 144,375 Batu Kawan Bhd 41,700 183,292 177,789



December 31, 2019


Equities (Continued) Bayer CropScience Ltd 1,328 $ 68,117 $ 66,286 BBMG Corp H 239,000 92,003 73,304 Berger Paints India Ltd 40,852 302,391 295,066 CAP SA 6,995 75,978 53,010 Castrol India Ltd 38,763 83,209 70,218 Cementos Argos SA 63,769 156,592 141,613 Cemex SAB de CV ADR 187,938 972,110 710,406 Century Textiles & Industries Ltd 15,973 98,365 106,821 Chambal Fertilizers and Chemicals Ltd 26,243 62,781 55,976 Cheng Loong Corp 138,000 80,974 88,848 China Molybdenum Co Ltd H 363,000 114,967 155,592 China National Building Material Co Ltd H 456,000 404,913 509,118 China Petrochemical Development Corp 410,550 161,422 134,216 China Resources Cement Holdings Ltd 264,000 217,490 336,086 China Steel Chemical Corp 31,000 132,513 126,680 China Steel Corp 1,633,000 1,289,936 1,301,955 Cia Siderurgica Nacional SA 88,600 265,346 312,389 Coromandel International Ltd 12,398 83,563 92,423 CSG Holding Co Ltd B 206,653 81,689 65,505 D&L Industries, Inc 590,200 124,515 110,710 Dalmia Bharat Ltd 11,677 133,586 130,924 Duratex SA 44,200 135,323 184,379 Ecopro Co Ltd 2,058 66,239 39,806 Empresas CMPC SA 149,961 506,569 367,541 Eregli Demir ve Celik Fabrikalari TAS 164,064 320,566 249,309 Eternal Materials Co Ltd 171,720 154,202 152,375 Feng Hsin Steel Co Ltd 79,594 151,462 142,583 Finolex Industries Ltd 8,100 69,642 61,983 Formosa Plastics Corp 631,000 2,018,122 2,100,737 Gold Fields Ltd 86,325 332,465 590,888 Grand Pacific Petrochemical 134,000 105,013 83,144 Grasim Industries Ltd 54,781 594,032 570,733 Grupo Argos SA 42,381 268,272 229,489 Grupo Cementos de Chihuahua SAB de CV 19,400 120,376 103,579 Grupo Mexico SAB de CV B 425,300 1,028,938 1,169,224 Hansol Chemical Co Ltd 1,226 81,813 112,196 Hanwha Chemical Corp 12,906 241,043 209,810 Harmony Gold Mining Co Ltd 49,040 93,111 179,269 Huaxin Cement Co Ltd B 36,200 69,593 75,187 Hyundai Steel Co 11,606 520,121 314,663 Impala Platinum Holdings Ltd 80,319 359,483 823,032 Indocement Tunggal Prakarsa Tbk PT 225,700 357,462 308,696 Indorama Ventures PCL NVDR 257,700 385,611 300,344 Industrias CH SAB de CV Series B 18,400 81,904 90,621 Industrias Penoles SAB de CV 50,990 731,673 534,023 International CSRC Investment Holdings Co 115,534 137,758 121,018 Jiangxi Copper Co Ltd H 151,000 195,337 207,733 Jindal Steel & Power Ltd 49,866 81,804 117,158 JK Cement Ltd 4,528 71,752 74,148 JSW Steel Ltd 226,009 739,546 855,076 Kansai Nerolac Paints Ltd 16,138 125,965 117,941



December 31, 2019


Equities (Continued) Kolon Industries, Inc 2,243 $ 120,889 $ 96,233 Korea Petrochemical Ind Co Ltd 426 65,574 43,170 Korea Zinc Co Ltd 1,746 699,604 641,612 Koza Altin Isletmeleri AS 4,767 58,639 59,337 Kumba Iron Ore Ltd 5,838 173,993 173,835 Kumho Petrochemical Co Ltd 2,816 209,124 188,325 LG Chem Ltd 5,913 1,886,425 1,620,483 Lotte Chemical Corp 1,987 589,348 383,895 Lotte Chemical Titan Holding Bhd (1) 106,000 96,437 62,452 LOTTE Fine Chemical Co Ltd 2,192 89,377 85,507 Magnitogorsk Iron & Steel Works PJSC 198,900 130,886 134,628 Merdeka Copper Gold Tbk PT 810,500 69,131 62,470 MMC Norilsk Nickel PJSC 7,700 1,501,370 2,372,113 Nampak Ltd 68,882 68,675 33,590 Nan Pao Resins Chemical Co Ltd 12,000 59,436 60,246 National Aluminium Co Ltd 83,385 53,408 50,993 Nine Dragons Paper Holdings Ltd 197,000 192,806 204,779 Nizhnekamskneftekhim PJSC 36,818 46,003 57,452 NMDC Ltd 52,763 83,869 95,283 Northam Platinum Ltd 53,275 240,183 470,217 Novolipetsk Steel PJSC 138,390 349,950 320,332 OCI Co Ltd 2,555 309,426 138,060 Orbia Advance Corp SAB de CV 109,600 293,172 233,721 Oriental Union Chemical Corp 75,000 65,927 52,540 Petkim Petrokimya Holding AS 143,874 133,481 92,143 Petronas Chemicals Group Bhd 300,600 618,660 540,132 PhosAgro PJSC 3,216 122,942 125,083 PhosAgro PJSC GDR 8,510 116,794 108,077 PI Industries Ltd 7,375 148,119 149,395 Pidilite Industries Ltd 39,020 768,798 758,171 Polyus PJSC 3,790 320,194 433,492 Poongsan Corp 1,921 33,532 39,475 POSCO 11,173 3,009,477 2,271,064 POSCO Chemtech Co Ltd 3,155 125,829 134,067 PPC Ltd 149,930 71,363 26,762 Press Metal Aluminium Holdings Bhd 283,000 346,904 321,709 PTT Global Chemical PCL NVDR 299,000 682,196 568,126 Ramco Cements Ltd 17,342 192,246 183,349 Sappi Ltd 52,143 316,725 162,579 Scientex BHD 54,300 116,137 125,446 Semen Indonesia Persero Tbk PT 344,700 311,387 297,249 Severstal PJSC 23,250 361,188 352,075 Shinkong Synthetic Fibers Corp 220,000 85,488 88,434 Shougang Fushan Resources Group Ltd 378,000 77,886 81,496 Shree Cement Ltd 2,055 579,072 586,285 Siam Cement PCL NVDR 111,300 1,590,329 1,454,729 Siam City Cement PCL NVDR 16,900 124,701 107,092 Sibanye Gold Ltd 169,414 187,513 434,119 Sinopec Shanghai Petrochemical Co Ltd H 370,000 178,106 111,584 SK Materials Co Ltd 663 108,861 106,605 SKC Co Ltd 2,699 92,916 118,590


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December 31, 2019


Equities (Continued) Soda Sanayii AS 56,766 $ 70,207 $ 58,970 Solar Industries India Ltd 3,746 56,585 55,648 Soulbrain Co Ltd 1,501 81,171 109,685 SRF Ltd 3,049 124,518 146,777 Ssangyong Cement Industrial Co Ltd 14,551 66,466 71,277 Star Cement Ltd 37,051 50,472 45,990 Supreme Industries Ltd 8,462 142,310 136,726 Suzano SA 72,931 820,502 722,036 TA Chen Stainless Pipe 99,200 109,435 106,060 Taekwang Industrial Co Ltd 81 88,693 74,147 Taiwan Cement Corp 677,279 750,263 987,327 Taiwan Fertilizer Co Ltd 96,000 137,088 158,682 Taiwan Hon Chuan Enterprise Co Ltd 38,000 66,281 78,594 Tata Chemicals Ltd 19,265 171,010 180,051 Tata Steel Ltd 90,540 488,696 598,774 Tipco Asphalt PCL NVDR 148,600 76,498 105,039 Titan Cement International SA 5,726 121,030 121,777 TOA Paint Thailand PCL 78,700 87,265 102,984 TPI Polene PCL 1,662,800 104,496 77,717 TSRC Corp 116,000 111,514 93,258 Tung Ho Steel Enterprise Corp 102,000 73,951 78,260 UPL Ltd 73,637 616,770 602,997 Vinati Organics Ltd 1,815 55,697 50,444 YFY, Inc 226,000 90,826 101,401 Yieh Phui Enterprise Co Ltd 280,904 84,881 86,678 Young Poong Corp 135 85,956 75,295 Zhaojin Mining Industry Co Ltd H 121,000 103,567 133,697 Zijin Mining Group Co Ltd H 638,000 239,984 317,678

Total Materials 45,134,198 46,161,590 Real Estate: 3.63%

Agile Group Holdings Ltd 174,000 233,376 261,704 Aliansce Sonae Shopping Centers SA 1 4 7 Amata Corp PCL 129,000 87,958 86,373 AP Thailand PCL NVDR 311,200 77,832 77,273 Attacq Ltd 87,849 103,294 77,462 Ayala Land, Inc 1,051,420 987,009 943,029 Bangkok Land PCL NVDR 2,842,600 156,449 126,217 BR Malls Participacoes SA 111,300 434,552 501,900 Bumi Serpong Damai Tbk PT 1,122,700 112,809 101,182 Cathay No. 1 REIT 303,000 140,770 178,907 Cathay Real Estate Development Co Ltd 67,000 46,675 46,824 CFE Capital S de RL de CV 110,760 109,111 161,095 China Aoyuan Group Ltd 155,000 188,351 252,621 China Jinmao Holdings Group Ltd 710,000 460,915 553,072 China Overseas Grand Oceans Group Ltd 211,000 109,285 145,950 China Overseas Land & Investment Ltd 476,000 1,505,159 1,853,958 China Overseas Property Holdings Ltd 170,000 86,400 106,900 China Resources Land Ltd 326,000 1,393,922 1,623,243 China Vanke Co Ltd H 174,800 637,311 745,877 Chong Hong Construction Co Ltd 35,000 98,106 94,923 CIFI Holdings Group Co Ltd 432,000 281,450 365,345



December 31, 2019


Equities (Continued) Ciputra Development Tbk PT 1,118,500 $ 71,931 $ 83,643 Corp Inmobiliaria Vesta SAB de CV 78,800 110,414 142,200 Country Garden Holdings Co Ltd 872,000 1,213,706 1,396,579 Emlak Konut Gayrimenkul Yatirim Ortakligi

AS 254,698 78,938 62,508 Equites Property Fund Ltd 69,756 105,906 99,609 Fibra Uno Administracion SA de CV 502,500 734,131 778,167 Godrej Properties Ltd 12,327 173,771 170,679 Growthpoint Properties Ltd 319,574 580,342 504,482 Guangzhou R&F Properties Co Ltd H 118,400 228,349 218,497 Hanson International Tbk PT 20,353,800 133,519 73,307 Highwealth Construction Corp 121,000 178,072 186,887 Huaku Development Co Ltd 35,000 84,655 108,116 Hung Sheng Construction Ltd 77,440 83,700 66,779 Hyprop Investments Ltd 26,807 185,217 107,278 IGB Real Estate Investment Trust 253,300 104,755 117,036 Iguatemi Empresa de Shopping Centers SA 12,700 134,386 167,664 IOI Properties Group Bhd 203,100 81,605 61,568 Joy City Property Ltd 715,524 83,484 78,969 KLCCP Stapled Group 49,900 94,518 96,372 Land & Houses PCL NVDR 1,060,600 357,098 346,883 Lippo Karawaci Tbk PT 6,556,700 119,065 114,193 Logan Property Holdings Co Ltd 148,000 202,293 248,430 Longfor Group Holdings Ltd (1) 197,000 626,458 922,770 LSR Group PJSC GDR 13,830 39,384 34,506 LSR Group PJSC 2,208 28,048 27,215 Macquarie Mexico Real Estate Management

SA de CV (1) 101,900 122,070 133,226 MBK PCL NVDR 156,100 112,658 110,304 Megaworld Corp 1,845,400 188,829 145,949 Multiplan Empreendimentos Imobiliarios SA 40,900 280,912 338,380 NEPI Rockcastle PLC 42,134 367,743 372,516 Oberoi Realty Ltd 14,489 103,749 107,716 Parque Arauco SA 85,178 236,087 209,169 Phoenix Mills Ltd 8,641 87,941 100,806 PLA Administradora Industrial S de RL de

CV 100,800 151,526 165,268 Plaza SA 42,240 90,302 89,878 Poly Property Group Co Ltd 275,000 101,505 113,991 Prestige Estates Projects Ltd 17,247 73,588 81,755 Prince Housing & Development Corp 235,400 86,487 88,343 Prologis Property Mexico SA de CV 48,900 95,565 108,624 Pruksa Holding PCL NVDR 120,000 81,305 59,216 Quality Houses PCL NVDR 1,197,100 117,199 102,224 Redefine Properties Ltd 615,160 459,829 332,044 Robinsons Land Corp 221,900 90,933 120,710 Ruentex Development Co Ltd 86,200 132,525 129,974 SA Corporate Real Estate Ltd 275,650 67,958 60,223 Saha Pathana Inter-Holding PCL 6,350 14,667 14,840 Sansiri PCL NVDR 2,181,300 87,950 79,226 Seazen Group Ltd 202,000 211,981 245,750


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December 31, 2019


Equities (Continued) Shanghai Lujiazui Finance & Trade Zone

Development Co Ltd B 157,340 $ 186,091 $ 152,148 Shenzhen Investment Ltd 386,000 136,310 154,553 Shimao Property Holdings Ltd 120,500 338,461 467,012 Shin Kong No.1 REIT 260,123 127,904 154,458 Sime Darby Property Bhd 351,600 107,178 78,649 SP Setia Bhd Group 156,500 107,150 61,215 Summarecon Agung Tbk PT 1,004,000 75,435 72,521 Sunteck Realty Ltd 8,684 52,027 50,636 Sunway Bhd 285,817 110,451 125,772 Sunway Real Estate Investment Trust 202,400 85,594 90,055 Supalai PCL NVDR 194,000 133,940 115,663 Vista Land & Lifescapes, Inc 804,000 107,942 122,715 Vukile Property Fund Ltd 114,510 164,207 158,610 WHA Corp PCL NVDR 1,256,800 161,774 162,498 WHA Premium Growth Freehold &

Leasehold Real Estate InvestmentTrust F 212,400 87,093 123,382 Yuexiu Property Co Ltd 864,000 172,873 199,582 Yuexiu Real Estate Investment Trust 324,569 224,215 219,925

Total Real Estate 18,826,437 20,337,725 Utilities: 3.24%

Aboitiz Power Corp 213,000 154,199 143,837 Adani Gas Ltd 44,769 93,256 102,047 Adani Power Ltd 127,539 119,276 110,425 Adani Transmission Ltd 42,404 163,488 196,877 AES Gener SA 152,499 37,716 33,057 Aguas Andinas SA A 236,985 138,145 100,536 B Grimm Power PCL 95,000 94,185 166,198 Beijing Enterprises Holdings Ltd 55,000 307,427 252,332 Centrais Eletricas Brasileiras SA 37,800 375,761 356,624 CESC Ltd 6,666 75,254 68,810 CEZ AS 24,925 604,549 560,179 CGN Power Co Ltd H(1) 1,133,000 304,568 302,432 China Gas Holdings Ltd 271,600 1,157,269 1,017,764 China Longyuan Power Group Corp Ltd H 378,000 299,245 239,151 China Power International Development Ltd 462,000 117,769 99,013 China Resources Gas Group Ltd 96,000 388,243 527,290 China Resources Power Holdings Co Ltd 210,000 380,482 294,830 Cia de Saneamento Basico do Estado de Sao

Paulo 41,600 425,955 628,598 Cia de Saneamento de Minas Gerais-

COPASA 8,500 122,332 144,175 Colbun SA 643,079 140,211 102,626 CPFL Energia SA 25,500 208,958 226,058 CPFL Energias Renovaveis SA 9,053 38,608 41,765 Datang International Power Generation Co Ltd

H 250,000 68,143 47,804 EDP - Energias do Brasil SA 39,500 175,427 217,765 Electricity Generating PCL NVDR 30,900 242,904 337,940 Enel Americas SA 2,369,969 445,489 526,391 Enel Chile SA 2,857,242 295,821 267,884


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December 31, 2019


Equities (Continued) Eneva SA 21,000 $ 92,968 $ 228,663 Engie Brasil Energia SA 22,450 220,704 284,166 Engie Energia Chile SA 39,222 71,147 59,735 ENN Energy Holdings Ltd 92,000 885,687 1,005,326 Equatorial Energia SA 118,000 444,263 671,376 Federal Grid Co Unified Energy System PJSC 31,760,000 81,546 102,979 First Gen Corp 159,800 74,043 76,200 Global Power Synergy PCL NVDR 81,900 195,772 234,023 Grupo Energia Bogota SA ESP 384,191 257,789 259,460 Guangdong Investment Ltd 346,000 592,889 723,766 Gujarat Gas Ltd 25,394 70,624 84,512 Gujarat State Petronet Ltd 33,303 98,351 102,412 Gulf Energy Development PCL 119,300 499,436 659,990 Huaneng Power International, Inc H 432,000 281,888 218,431 Huaneng Renewables Corp Ltd H 592,000 184,333 230,197 Indraprastha Gas Ltd 33,463 185,227 200,722 Infraestructura Energetica Nova SAB de CV 57,700 225,662 270,930 Inter RAO UES PJSC 4,662,000 291,740 376,886 Interconexion Electrica SA ESP 47,713 240,718 284,487 Inversiones Aguas Metropolitanas SA 19,587 28,441 21,327 JSW Energy Ltd 44,237 42,796 42,980 Korea Electric Power Corp 40,527 1,190,371 972,348 Korea Gas Corp 5,653 245,062 184,720 Kunlun Energy Co Ltd 488,000 497,829 430,866 Light SA 28,600 141,123 169,576 Mahanagar Gas Ltd 4,724 68,014 70,498 Manila Electric Co 41,030 266,027 256,817 Manila Water Co, Inc 212,400 97,413 43,449 Montauk Holdings Ltd 5,928 35,893 16,083 NHPC Ltd 167,607 55,899 56,238 NTPC Ltd 399,392 691,762 666,137 Perusahaan Gas Negara Persero Tbk 1,142,700 175,514 178,170 Ratch Group PCL NVDR 88,000 161,743 201,991 RusHydro PJSC 17,537,000 145,690 157,156 Tata Power Co Ltd 174,134 145,929 137,837 Tenaga Nasional Bhd 281,200 940,451 911,554 Torrent Power Ltd 17,272 68,444 68,722 TPI Polene Power PCL NVDR 305,100 55,507 44,773 TTW PCL NVDR 192,000 76,175 88,456 Unipro PJSC 1,203,000 53,072 54,038 YTL Corp Bhd 567,352 174,804 135,926 YTL Power International Bhd 284,395 59,315 53,535

Total Utilities 17,386,741 18,149,866 Total Equities 508,236,463 522,991,636

Preferred Stocks: 3.69% Banco Inter SA (1) 35,600 150,142 139,198 Banco Santander Brasil SA 23,134 128,820 135,951 Gol Linhas Aereas Inteligentes SA 16,600 118,445 152,464 Energisa SA 10,430 18,233 26,361 Transneft PJSC 185 484,130 526,091


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December 31, 2019


Preferred Stocks (Continued) Cia Paranaense de Energia 11,300 $ 117,545 $ 194,881 Embotelladora Andina SA B 42,908 178,070 124,339 Usinas Siderurgicas de Minas Gerais SA A 51,700 134,516 122,946 Cia de Transmissao de Energia Eletrica

Paulista 24,500 134,009 137,771 Itausa - Investimentos Itau SA 595,470 1,856,358 2,093,319 Metalurgica Gerdau SA 80,900 145,115 187,616 Sociedad Quimica y Minera de Chile SA B 9,081 292,892 242,879 Cia de Saneamento do Parana 41,000 136,999 215,429 Klabin SA 385,276 350,619 340,876 Banco Bradesco SA 512,464 4,236,420 4,631,246 Bradespar SA 27,300 257,193 261,253 Itau Unibanco Holding SA 643,600 5,674,234 5,960,985 Coca-Cola Embonor SA B 77,629 193,422 134,208 Lojas Americanas SA 89,000 467,502 576,392 Marcopolo SA 102,200 105,601 114,660 Gerdau SA 132,200 544,221 660,452 Bancolombia SA 31,874 385,859 444,091 Azul SA 36,800 379,393 535,465 Bashneft PJSC 2,294 60,474 63,683 Braskem SA A 20,500 265,296 153,003 Alpargatas SA 27,025 107,534 223,674 Cia Energetica de Sao Paulo B 22,100 121,901 175,965 Cia Energetica de Minas Gerais 118,900 353,816 409,553 Banco do Estado do Rio Grande do Sul SA B 28,200 148,220 152,434 Telefonica Brasil SA 59,800 828,091 864,325 Banco Davivienda SA 12,924 157,922 180,774 Cia Brasileira de Distribuicao 19,900 450,428 434,785

Total Preferred Stocks 18,983,420 20,617,069 Rights: 0.00%

Lojas Americanas SA 858 — 2,005 Piramal Enterprises Ltd 2,158 — 6,758 Legend Holdings Corp (2) 6,000 — 8

Total Rights — 8,771 Warrants: 0.00%

Serba Dinamik Holdings Bhd 42,300 — 4,550 (3)BTS Group Holdings PCL 117,580 — —

Minor International PCL 22,605 — 2,423 Total Warrants — 6,973


Investment Fund S (4) 11,714,012 11,714,012 11,714,012 Total Short-Term Investments 11,714,012 11,714,012 Total Investments: 99.23% $ 538,933,895 $ 555,338,461


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December 31, 2019

Open futures contracts outstanding as of December 31, 2019, were as follows: Unrealized

Contracts Description Value Appreciation

Financial Futures - Long: 278 MSCI Emerging Market March 2020 $ 15,570,780 $ 196,652

Total Financial Futures - Long $ 15,570,780 $ 196,652


(1) This Fund holds 2.26% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) The fair value of $115,105 was estimated at December 31, 2019, by the Trustee. (3) Amount is less than $0.50. (4) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.19% of the total net assets of the Wells Fargo/Blackrock Short Term Investment Fund S.

ADR American Depositary Receipt GDR Global Depositary Receipt REIT Real Estate Investment Trust

% of Total Country Investments India 15.95% China 13.65 Korea 12.70 Taiwan 11.42 Brazil 9.53 Russia 7.24 Thailand 4.32 Hong Kong 3.99 South Africa 3.84 Mexico 3.46 Indonesia 2.91 Malaysia 2.29 Philippines 2.18 United States 2.14 Chile 1.24 Turkey 1.05 Other 2.09

100.00%








$

$

$

9.04

0.28 0.77 1.05

10.09 11.61%

559,214,194

$

$

$

8.70

0.26 0.72 0.98 9.68

11.34% 445,647


0.00% 2.97%

73%

0.24% 2.84%

73%



WELLS FARGO FACTOR ENHANCED INTERNATIONAL INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 82,554,821 $ 82,554,821 Unaffiliated investments 1,650,334,646 1,782,304,940 Foreign currency, at value (cost $2,500,522) 2,546,663 Accrued interest and dividend income 6,691,454 Cash collateral held at broker 4,000,000 Fund shares sold 540,541 Variation margin receivable 415,204


Fund shares repurchased 1,295,314 Accrued expenses 241


Shares Class Net Assets Outstanding Net Asset Value G $ 1,876,537,331 169,465,636 $ 11.07 TMR $ 1,220,737 113,867 $ 10.72




Investment income: Dividend income from unaffiliated investments (net of foreign taxes withheld of $1,358,904) $ 49,688,734 Dividend income from affiliated short term investment 1,241,561 Interest income 65,612



Realized and unrealized gain (loss) on investment and foreign currency transactions Net realized gain (loss) on:

Investments (24,879,511) Futures contracts 10,739,563 Foreign currency transactions (9,024,326)

Net change in unrealized appreciation (depreciation) on: Investments 272,667,044 Futures contracts 175,638 Foreign currency translation of other assets and liabilities 36,905

Net gain (loss) on investments, future contracts and foreign currency transactions 249,715,313 Net change in net assets resulting from operations $ 300,709,036




Increase/(decrease) in net assets from operations: Net investment income (loss) $ 50,993,723 Net realized gain (loss) on investments, future contracts and foreign currency transactions (23,164,274) Net change in unrealized appreciation (depreciation) of investments, futures contracts and foreign currency translation on other assets and liabilities 272,879,587



Net change 308,274,259 Class TMR proceeds from issuance of shares (108,011 shares) 1,031,858 Class TMR payments for withdrawals (15,155 shares) (149,970)


Net assets: Beginning of year (139,310,738 Class G shares, 21,011 Class TMR shares) 1,267,892,885 End of year (169,465,636 Class G shares, 113,867 Class TMR shares) $ 1,877,758,068




December 31, 2019



Altice Europe NV A 81,149 $ 463,401 $ 523,211 Auto Trader Group PLC (1) 127,745 782,178 1,006,129 BCE, Inc 136,100 6,120,969 6,305,322 BT Group PLC 1,177,185 3,715,551 3,000,715 Capcom Co. Ltd 14,600 346,807 404,128 carsales.com Ltd 35,667 368,010 415,737 CD Projekt SA 9,964 427,430 734,743 Cineworld Group PLC 141,751 500,441 411,389 CTS Eventim AG & Co KGaA 7,558 457,556 474,214 CyberAgent, Inc 16,200 637,029 564,339 Daiichikosho Co Ltd 6,100 292,428 319,760 Dena Co Ltd 16,900 340,343 272,381 Dentsu, Inc 39,000 1,560,480 1,343,778 Elisa Oyj 22,620 966,223 1,249,613 Eutelsat Communications SA 23,637 528,974 384,182 Freenet AG 19,019 525,334 436,059 Fuji Media Holdings, Inc 30,400 448,738 431,630 Hakuhodo DY Holdings, Inc 47,100 699,251 757,887 HKT Trust & HKT Ltd 550,000 761,514 774,996 Iliad SA 4,277 439,063 554,352 Informa PLC 195,916 1,965,600 2,224,003 ITV PLC 561,171 1,137,068 1,122,424 JCDecaux SA 12,318 427,475 379,694 Kakaku.com, Inc 21,900 388,403 559,175 KDDI Corp 249,400 6,238,327 7,441,185 Konami Holdings Corp 15,800 647,802 649,262 Koninklijke KPN NV 516,307 1,591,213 1,523,721 Lagardere SCA 17,766 506,888 387,203 Nexon Co Ltd 73,600 1,086,000 976,325 Nine Entertainment Co Holdings Ltd 228,800 311,829 287,403 Nippon Telegraph & Telephone Corp 365,600 7,827,172 9,240,060 Nippon Television Holdings, Inc 28,400 435,364 378,893 NTT DoCoMo, Inc 173,000 4,183,987 4,819,110 PCCW Ltd 628,000 362,391 371,531 Pearson PLC 121,644 1,224,505 1,026,396 ProSiebenSat.1 Media SE 33,167 850,936 517,500 Proximus SADP 23,481 711,723 672,162 Publicis Groupe SA 41,309 2,566,196 1,870,133 REA Group Ltd 7,205 412,973 523,813 Rightmove PLC 126,388 760,352 1,060,732 Rogers Communications, Inc B 56,500 2,859,607 2,805,529 RTL Group SA 6,076 421,284 299,376 Schibsted ASA Cl-A 11,491 329,337 347,665 Scout24 AG (1) 14,550 678,161 962,820 SES SA 71,707 1,172,094 1,005,422 Shaw Communications, Inc B 67,000 1,432,335 1,359,555 Singapore Press Holdings Ltd 233,500 449,150 378,475 Singapore Telecommunications Ltd 1,093,520 2,787,544 2,740,000 Softbank Corp 233,700 3,163,388 3,133,840 SoftBank Group Corp 252,500 12,603,341 10,962,798


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December 31, 2019


Equities (Continued) Spark New Zealand Ltd 277,073 $ 710,852 $ 807,655 Square Enix Holdings Co Ltd 14,000 555,657 697,114 Sunrise Communications Group AG (1) 4,996 412,372 392,499 Swisscom AG 3,837 1,879,275 2,031,215 Tele2 AB B 79,020 1,020,848 1,146,900 Telenet Group Holding NV 6,398 314,881 287,496 Telenor ASA 99,841 2,072,108 1,789,717 Telia Co AB 399,021 1,818,599 1,714,404 Telstra Corp Ltd 1,709,357 4,301,562 4,246,376 TELUS Corp 54,200 1,962,812 2,098,630 Toho Co Ltd 20,700 722,651 862,614 Tokyo Broadcasting System Holdings, Inc 24,300 453,105 412,560 TPG Telecom Ltd 56,534 296,822 266,204 WPP PLC 199,730 3,039,863 2,821,557


Adidas AG 27,414 6,571,529 8,911,432 Aisin Seiki Co Ltd 26,900 1,074,747 996,367 Aristocrat Leisure Ltd 92,700 1,796,579 2,190,308 B&M European Value Retail SA 122,387 618,198 664,018 Bandai Namco Holdings, Inc 33,700 1,455,331 2,050,045 Barratt Developments PLC 147,188 1,158,957 1,455,610 Bellway PLC 16,675 716,865 840,879 Benesse Holdings, Inc 11,900 375,962 312,788 Berkeley Group Holdings PLC 17,324 869,223 1,115,013 Bridgestone Corp 96,100 3,717,646 3,570,125 Burberry Group PLC 64,740 1,642,186 1,890,889 Carnival PLC 25,430 1,484,210 1,227,466 Casio Computer Co Ltd 36,900 614,188 737,391 Christian Dior SE 727 284,275 372,509 Cie Financiere Richemont SA 81,052 6,350,967 6,334,287 Cie Generale des Etablissements Michelin

SCA 26,982 3,497,966 3,301,989 Compass Group PLC 238,685 5,268,326 5,975,464 Crown Resorts Ltd 42,850 384,035 361,140 Dollarama, Inc 47,600 1,694,267 1,635,969 Dometic Group AB (1) 43,048 389,987 434,197 Domino's Pizza Enterprises Ltd 8,674 304,278 318,714 Electrolux AB B 33,281 982,512 818,158 Flight Centre Travel Group Ltd 9,679 404,020 299,266 Flutter Entertainment PLC 11,515 1,210,286 1,399,489 Galaxy Entertainment Group Ltd 394,000 2,704,154 2,902,301 Genting Singapore Ltd 804,300 668,849 550,174 Goldwin, Inc 5,200 360,994 380,991 Greggs PLC 16,794 452,509 511,198 GVC Holdings PLC 72,515 535,190 849,304 Harvey Norman Holdings Ltd 106,814 293,566 305,074 Haseko Corp 43,200 583,800 579,910 Hella GmbH & Co KGaA 6,207 341,089 343,007 Hennes & Mauritz AB B 111,088 1,758,072 2,265,922 Hermes International 5,155 3,074,442 3,852,210




December 31, 2019


Equities (Continued) Hikari Tsushin, Inc 3,400 $ 541,419 $ 854,412 HUGO BOSS AG 12,000 884,509 580,849 Husqvarna AB B 62,611 561,439 501,746 Iida Group Holdings Co Ltd 29,100 536,742 509,993 Inchcape PLC 59,699 527,559 558,286 Izumi Co Ltd 7,200 374,341 259,333 J Front Retailing Co Ltd 38,300 467,250 534,180 Jardine Cycle & Carriage Ltd 14,300 379,588 320,034 JB Hi-Fi Ltd 16,399 293,903 433,506 JD Sports Fashion PLC 58,877 475,867 653,075 Just Eat PLC 90,684 825,969 1,002,762 K's Holdings Corp 34,900 395,472 456,279 Kingfisher PLC 307,780 1,118,102 884,677 LPP SA 200 425,138 464,957 Magna International, Inc 48,200 2,554,630 2,642,825 Marks & Spencer Group PLC 280,759 950,723 793,992 Marui Group Co Ltd 34,200 701,114 833,883 Mitsubishi Motors Corp 105,700 702,830 440,586 Moncler SpA 26,595 1,032,853 1,196,972 Moneysupermarket.com Group PLC 74,602 333,234 326,692 NagaCorp Ltd 190,000 245,828 331,609 Next PLC 18,706 1,300,355 1,738,917 NGK Spark Plug Co Ltd 31,700 772,131 614,473 Nifco, Inc 13,800 406,576 376,864 Nikon Corp. 60,600 1,025,810 741,117 Nitori Holdings Co Ltd 13,700 2,096,714 2,162,562 Nokian Renkaat Oyj 18,475 647,365 531,376 Oriental Land Co Ltd 34,000 4,560,087 4,639,005 Pan Pacific International Holdings Corp 88,100 1,167,797 1,461,692 Pandora AS 14,692 1,006,480 639,123 Persimmon PLC 44,690 1,458,699 1,595,342 Puma SE 12,147 648,301 931,456 Rakuten, Inc 128,500 1,029,835 1,097,799 Restaurant Brands International, Inc 38,100 2,377,280 2,428,800 Rinnai Corp 5,900 404,302 461,080 Ryohin Keikaku Co Ltd 37,700 681,305 878,649 Sands China Ltd 361,600 1,927,686 1,932,759 SEB SA 3,766 663,564 559,300 Sega Sammy Holdings, Inc 27,000 382,703 390,950 Sekisui House Ltd 92,100 1,584,817 1,966,782 Sharp Corp 31,000 368,985 473,758 Shenzhou International Group Holdings Ltd 100,000 1,058,965 1,461,699 Shimamura Co Ltd 3,500 345,640 266,083 SJM Holdings Ltd 307,000 295,244 349,459 Skylark Holdings Co Ltd 29,500 456,934 578,353 Sodexo SA 13,561 1,597,789 1,607,082 SSP Group PLC 59,023 514,461 508,182 Star Entertainment Grp Ltd 135,280 516,198 436,691 Sumitomo Forestry Co Ltd 24,100 381,262 354,897 Sumitomo Rubber Industries Ltd 27,700 416,675 337,767 Swatch Group AG 4,648 1,286,815 1,297,746


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December 31, 2019


Equities (Continued) TABCORP Holdings Ltd 296,762 $ 994,475 $ 943,385 Takashimaya Co Ltd 27,600 310,526 309,594 Takeaway.com NV (1) 5,702 489,605 525,746 Taylor Wimpey PLC 473,235 1,127,465 1,212,322 USS Co Ltd 38,800 740,097 733,447 Wesfarmers Ltd 167,758 4,015,516 4,873,781 WH Smith PLC 14,575 388,922 501,957 Whitbread PLC 20,044 1,068,927 1,286,626 Wynn Macau Ltd 214,000 543,849 527,290 Xinyi Glass Holdings Ltd 306,000 336,127 405,262 Yamada Denki Co Ltd 122,600 620,722 650,519 Yokohama Rubber Co Ltd 20,900 424,987 405,354 Yue Yuen Industrial Holdings Ltd 112,500 360,764 332,059 Zalando SE (1) 21,750 1,009,319 1,096,855 Zensho Holdings Co Ltd 14,000 311,811 316,961 ZOZO, Inc 29,800 743,563 569,920


a2 Milk Co Ltd 104,863 780,619 1,060,318 AAK AB 26,146 417,592 497,303 Alimentation Couche-Tard, Inc B 134,300 3,337,680 4,262,064 Asahi Group Holdings Ltd 66,600 3,069,506 3,038,324 Associated British Foods PLC 55,663 1,826,551 1,915,537 Barry Callebaut AG 341 600,951 752,753 Beiersdorf AG 15,037 1,779,375 1,798,866 British American Tobacco PLC 368,015 19,409,996 15,752,677 Britvic PLC 36,044 384,057 431,843 Calbee, Inc 12,500 418,970 407,266 Carlsberg AS B 15,735 1,870,880 2,348,228 Casino Guichard Perrachon SA 8,444 354,486 394,967 Chocoladefabriken Lindt & Spruengli AG 16 1,196,794 1,413,515 Coca-Cola Amatil Ltd 75,325 492,845 584,624 Coca-Cola Bottlers Japan Holdings, Inc 22,100 508,098 564,661 Coca-Cola HBC AG 31,045 1,033,790 1,054,784 Coles Group Ltd 165,996 1,520,830 1,728,677 Colruyt SA 8,732 503,069 455,257 Cosmos Pharmaceutical Corp 1,700 340,642 352,432 Danone SA 98,119 7,849,862 8,133,440 Davide Campari-Milano SpA 68,787 571,132 628,527 Diageo PLC 355,688 12,860,005 15,078,972 Essity AB B 96,059 2,718,047 3,093,698 Ezaki Glico Co Ltd 8,800 458,458 392,339 Fancl Corp 15,100 367,078 402,027 Glanbia PLC 30,527 525,863 351,324 Heineken Holding NV 15,048 1,422,370 1,458,375 Heineken NV 35,899 3,585,020 3,822,230 House Foods Group, Inc 11,700 380,164 399,125 ICA Gruppen AB 14,312 535,587 668,541 Imperial Brands PLC 124,773 4,545,225 3,088,977 Ito En Ltd 9,400 384,881 471,205 J Sainsbury PLC 260,870 886,229 794,416




December 31, 2019


Equities (Continued) Japan Tobacco, Inc 167,500 $ 3,810,226 $ 3,734,672 Jeronimo Martins SGPS SA 37,362 629,353 614,595 Kagome Co Ltd 12,400 374,135 296,900 Kerry Group PLC A 23,455 2,499,552 2,922,982 Kesko Oyj B 10,279 568,806 727,588 Kewpie Corp 19,100 457,463 429,130 Kirin Holdings Co Ltd 138,500 3,308,388 3,022,980 Kobe Bussan Co Ltd 9,400 274,082 323,399 Koninklijke Ahold Delhaize NV 164,160 3,574,465 4,105,363 Lawson, Inc 7,100 422,774 403,015 Lion Corp 45,400 892,740 882,515 Loblaw Cos Ltd 28,900 1,487,127 1,491,125 Matsumotokiyoshi Holdings Co Ltd 15,300 544,381 592,339 MEIJI Holdings Co Ltd 22,300 1,720,059 1,507,038 Metcash Ltd 142,862 321,625 257,651 METRO AG 24,898 431,400 400,638 Metro, Inc 40,500 1,371,249 1,671,399 Morinaga & Co Ltd 6,800 335,921 326,551 Mowi ASA 65,629 1,392,121 1,706,414 Nestle SA 451,980 43,961,871 48,933,703 NH Foods Ltd 14,600 636,337 604,782 Nichirei Corp 20,700 515,235 483,554 Nippon Suisan Kaisha Ltd 47,300 294,400 282,472 Orkla ASA 114,902 987,000 1,165,199 Pernod-Ricard SA 29,055 4,658,365 5,195,004 Pigeon Corp 17,500 694,519 640,783 Reckitt Benckiser Group PLC 111,036 9,434,429 9,014,427 Remy Cointreau SA 3,303 434,864 405,695 Royal Unibrew AS 6,246 523,657 572,126 Salmar ASA 8,074 404,081 413,762 Sugi Holdings Co Ltd 6,000 304,794 316,528 Sundrug Co Ltd 11,000 367,003 398,001 Suntory Beverage & Food Ltd 18,600 826,788 776,525 Swedish Match AB 25,473 989,194 1,312,285 Tate & Lyle PLC 72,767 637,165 732,735 TESCO PLC 1,414,876 4,510,995 4,782,817 Thai Beverage PCL 1,289,300 817,710 853,174 Toyo Suisan Kaisha Ltd 15,100 578,731 641,233 Treasury Wine Estates Ltd 110,233 1,335,765 1,256,261 Tsuruha Holdings, Inc 6,200 731,247 796,067 Unicharm Corp 68,700 1,879,209 2,319,807 Unilever NV 220,948 12,028,830 12,696,708 Unilever PLC 178,663 10,117,192 10,295,762 Viscofan SA 5,378 292,895 284,131 Vitasoy International Holdings Ltd 116,000 372,328 420,543 Welcia Holdings Co Ltd 6,800 333,928 431,999 WH Group Ltd (1) 1,548,000 1,531,162 1,599,194 Wilmar International Ltd 388,900 976,757 1,191,322 WM Morrison Supermarkets PLC 347,803 1,050,184 920,478 Woolworths Group Ltd 183,784 3,814,607 4,663,570 Yamazaki Baking Co Ltd 26,400 451,928 471,749


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December 31, 2019


Equities (Continued) Yihai International Holding Ltd 61,000 $ 340,834 $ 357,751


Beach Energy Ltd 248,675 321,891 438,014 Caltex Australia Ltd 37,059 877,426 882,909 Canadian Natural Resources Ltd 189,100 5,538,851 6,116,207 Enbridge, Inc 299,800 10,116,321 11,919,968 Encana Corp 236,300 1,063,355 1,106,391 Idemitsu Kosan Co Ltd 40,662 1,337,057 1,123,561 John Wood Group PLC 112,041 842,959 591,412 JXTG Holdings, Inc 501,500 2,800,406 2,276,096 Koninklijke Vopak NV 9,506 442,977 515,337 Neste Oyj 65,229 1,661,312 2,269,652 Oil Search Ltd 204,857 1,107,103 1,042,248 OMV AG 20,615 1,035,514 1,154,951 Origin Energy Ltd 260,332 1,352,196 1,543,713 Pembina Pipeline Corp 79,800 2,713,723 2,957,741 Polski Koncern Naftowy Orlen SA 45,185 1,216,103 1,022,064 Polskie Gornictwo Naftowe i Gazownictwo

SA I 239,526 459,676 273,201 Royal Dutch Shell PLC A 650,166 20,713,607 19,081,904 Santos Ltd 282,841 1,433,173 1,623,596 SBM Offshore NV 25,102 422,242 467,123 Subsea 7 SA 36,027 509,868 430,995 Suncor Energy, Inc 251,500 8,623,216 8,242,917 TC Energy Corp 140,800 6,013,186 7,498,924 TechnipFMC PLC 65,815 1,302,184 1,396,025 Tenaris SA 70,948 1,052,574 803,836 TGS Nopec Geophysical Co. ASA 17,086 456,762 519,828 Washington H Soul Pattinson & Co Ltd 20,632 416,111 311,288 Whitehaven Coal Ltd 132,792 468,090 246,013 Woodside Petroleum Ltd 142,445 3,447,983 3,436,651 Worley Ltd 49,455 526,285 531,334


3i Group PLC 147,999 2,069,087 2,152,513 Ackermans & van Haaren NV 3,123 520,444 489,379 Acom Co Ltd 68,200 252,816 309,434 Admiral Group PLC 34,299 895,219 1,049,035 AEON Financial Service Co Ltd 19,500 314,375 307,254 Ageas 27,245 1,366,180 1,609,938 AIA Group Ltd 1,790,200 17,940,682 18,792,701 AIB Group PLC 106,155 525,772 369,844 Allianz SE 62,430 13,393,786 15,297,084 Amundi SA (1) 9,626 715,680 754,744 Aozora Bank Ltd 18,500 431,214 488,747 Ashmore Group PLC 66,087 428,698 453,451 ASR Nederland 20,796 875,642 778,184 Assicurazioni Generali SpA 189,279 3,573,828 3,907,625 ASX Ltd 27,484 1,230,874 1,512,285




December 31, 2019


Equities (Continued) Australia & New Zealand Banking Group Ltd 431,880 $ 9,075,861 $ 7,464,658 Baloise Holding AG 7,044 1,115,293 1,274,861 Banco BPM SpA 208,953 475,159 475,572 Bank of East Asia Ltd 232,000 653,702 518,050 Bank of Ireland Group PLC 120,220 839,978 658,341 Bank of Montreal 96,500 7,376,126 7,478,927 Bank of Nova Scotia 182,500 11,047,321 10,308,710 Bank of Queensland Ltd 63,239 523,826 321,740 Bank Polska Kasa Opieki SA 22,545 624,304 596,620 Bankinter SA 91,721 798,450 672,035 Beazley PLC 74,576 519,806 549,235 Bendigo & Adelaide Bank Ltd 73,760 594,997 506,223 Bolsas y Mercados Espanoles SHMSF SA 10,838 356,316 417,957 Brookfield Asset Management, Inc Cl-A 150,900 6,589,018 8,718,977 Canadian Imperial Bank of Commerce 66,200 5,758,852 5,508,892 Cembra Money Bank AG 4,335 395,054 474,288 Challenger Ltd 63,985 533,320 363,253 Chiba Bank Ltd 116,200 641,908 668,143 Close Brothers Group PLC 22,344 423,000 472,958 CNP Assurances 25,415 565,669 505,447 Commonwealth Bank of Australia 266,764 14,947,824 14,957,410 Credit Saison Co Ltd 24,200 321,539 419,719 Danske Bank AS 102,315 1,825,907 1,655,282 DBS Group Holdings Ltd 266,300 4,811,729 5,124,238 Deutsche Boerse AG 28,063 3,339,099 4,400,632 Direct Line Insurance Group PLC 210,249 957,782 870,299 DNB ASA 132,934 2,513,089 2,487,581 Erste Group Bank AG 44,563 1,831,900 1,673,882 Eurazeo SE 7,017 551,219 480,129 Euronext NV (1) 8,883 587,297 723,889 Fairfax Financial Holdings Ltd 4,000 2,020,603 1,878,218 Fukuoka Financial Group, Inc 30,500 758,411 582,735 Gjensidige Forsikring ASA 26,507 478,607 556,406 GRENKE AG 3,716 389,169 384,520 Groupe Bruxelles Lambert SA 12,198 1,167,853 1,285,607 Hachijuni Bank Ltd 78,500 344,310 341,448 Hang Seng Bank Ltd 107,100 2,572,012 2,212,838 Hannover Rueck SE 8,597 1,153,105 1,657,626 Helvetia Holding AG 4,573 533,069 645,932 Hiscox Ltd 46,247 889,646 872,325 Hong Kong Exchanges & Clearing Ltd 165,600 5,630,570 5,376,692 IG Group Holdings PLC 52,734 463,753 485,468 Industrivarden AB A 26,793 595,183 663,552 Insurance Australia Group Ltd. 343,119 1,855,724 1,844,403 Intact Financial Corp 20,700 1,701,849 2,238,415 Intermediate Capital Group PLC 43,660 611,200 931,096 Investec PLC 93,510 609,156 548,838 Investor AB B 69,589 3,285,277 3,799,128 Japan Post Insurance Co Ltd 30,300 502,962 516,510 Jupiter Fund Management PLC 69,953 391,085 379,534 Kyushu Financial Group, Inc 72,100 295,201 310,061




December 31, 2019


Equities (Continued) L E Lundbergforetagen AB B 10,534 $ 363,416 $ 462,427 Legal & General Group PLC 827,532 2,953,782 3,321,331 Lloyds Banking Group PLC 9,411,655 7,582,617 7,791,673 London Stock Exchange Group PLC 45,127 2,674,313 4,632,579 Macquarie Group Ltd 50,503 4,118,919 4,885,470 Magellan Financial Group Ltd 21,386 504,646 854,684 Man Group PLC 242,784 518,051 508,115 Manulife Financial Corp 296,800 5,387,944 6,024,911 Mapfre SA 145,378 427,957 384,846 Mebuki Financial Group, Inc 168,200 627,287 428,836 Medibank Pvt Ltd 414,163 900,661 918,419 Mediobanca Banca di Credito Finanziario

SpA 92,758 938,288 1,021,315 Mitsubishi UFJ Lease & Finance Co Ltd 78,100 463,689 502,784 MS&AD Insurance Group Holdings, Inc 77,300 2,512,994 2,551,570 Muenchener Rueckversicherungs-Gesellschaft

AG in Muenchen 20,812 4,672,901 6,141,474 National Australia Bank Ltd 448,766 9,717,847 7,756,517 National Bank of Canada 50,200 2,423,556 2,786,505 nib holdings Ltd 67,663 367,098 297,715 NN Group NV 49,892 2,096,104 1,892,698 ORIX Corp 195,200 3,106,914 3,234,730 Oversea-Chinese Banking Corp Ltd 576,100 5,058,583 4,703,207 Pargesa Holding SA 5,864 480,844 487,189 Partners Group Holding AG 2,718 1,905,544 2,491,120 Phoenix Group Holdings PLC 104,069 914,401 1,032,495 Poste Italiane SpA (1) 67,816 564,278 770,585 Power Corp of Canada 51,400 1,217,079 1,324,038 Powszechna Kasa Oszczednosci Bank Polski

SA 132,972 1,389,347 1,207,206 Powszechny Zaklad Ubezpieczen SA 83,421 913,501 881,046 QBE Insurance Group Ltd 196,898 1,562,103 1,779,670 Quilter PLC (1) 240,401 429,941 512,840 Raiffeisen Bank International AG 19,569 459,422 489,801 Royal Bank of Canada 216,800 16,834,579 17,154,673 RSA Insurance Group PLC 149,063 1,015,163 1,116,771 Sampo Oyj A 75,074 3,737,571 3,277,964 Santander Bank Polska SA 5,130 470,323 415,657 Schroders PLC 17,178 707,589 758,618 SCOR SE 26,847 1,117,898 1,126,876 Seven Bank Ltd 105,300 307,735 344,973 Shinsei Bank Ltd 29,000 442,084 442,458 Singapore Exchange Ltd 117,600 661,016 774,702 Skandinaviska Enskilda Banken AB A 233,480 2,381,834 2,195,617 Sofina SA 2,140 424,567 462,324 Sompo Holdings, Inc 60,900 2,525,543 2,391,519 Sony Financial Holdings, Inc 23,200 457,323 556,913 Storebrand ASA 70,084 565,518 552,127 Sun Life Financial, Inc 90,300 3,555,952 4,117,410 Suncorp Group Ltd 189,114 1,963,944 1,719,931 Svenska Handelsbanken AB 222,169 2,365,188 2,392,815


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December 31, 2019


Equities (Continued) Swedbank AB A 139,199 $ 2,946,697 $ 2,069,330 Swiss Life Holding AG 4,928 1,838,559 2,472,230 Tokio Marine Holdings, Inc 111,700 5,570,495 6,253,947 Tokyo Century Corp 8,100 390,803 431,276 Topdanmark AS 7,339 371,360 361,781 Toronto-Dominion Bank 285,500 16,204,894 16,012,449 Tryg AS 18,419 467,962 546,057 United Overseas Bank Ltd 226,400 4,282,909 4,445,685 Westpac Banking Corp 528,976 11,739,644 8,994,391 Yamaguchi Financial Group, Inc 41,400 421,155 279,987 Zenkoku Hosho Co Ltd 7,500 317,512 318,468 Zurich Insurance Group AG 21,855 6,885,378 8,964,904


Alfresa Holdings Corp 31,500 684,056 639,923 Ambu AS 25,292 560,933 424,074 Amplifon SpA 19,606 488,853 564,246 Ansell Ltd 19,873 371,982 404,849 Argenx SE 5,734 582,017 923,610 Asahi Intecc Co Ltd 38,800 752,264 1,136,112 Astellas Pharma, Inc 274,100 4,068,730 4,678,882 AstraZeneca PLC 201,626 15,115,297 20,316,301 BioMerieux 6,533 522,991 581,482 Carl Zeiss Meditec AG 5,480 475,943 696,670 Cochlear Ltd 8,374 1,144,275 1,320,615 Coloplast AS B 17,786 1,715,753 2,206,550 ConvaTec Group PLC (1) 192,878 470,215 507,012 CSL Ltd 63,196 7,801,163 12,229,347 Dechra Pharmaceuticals PLC 15,643 573,343 600,901 Demant A/S 15,285 480,140 481,367 DiaSorin SpA 4,016 395,588 520,104 Elekta AB B 58,731 670,626 773,457 Eurofins Scientific SE 1,580 726,738 875,864 Evotec SE 17,986 424,747 463,706 Fisher & Paykel Healthcare Corp Ltd C 85,620 828,659 1,279,594 Fresenius Medical Care AG & Co KGaA 31,668 2,871,111 2,331,646 Fresenius SE & Co KGaA 61,072 3,213,594 3,436,732 Galenica AG (1) 7,469 391,031 461,294 Genmab AS 10,053 1,907,840 2,235,822 Gerresheimer AG 4,560 355,225 352,679 Getinge AB B 35,223 493,825 655,048 GlaxoSmithKline PLC 752,496 14,495,513 17,732,290 GN Store Nord AS 20,294 777,356 954,644 Grifols SA 42,931 1,280,302 1,513,534 H Lundbeck AS 9,207 515,218 351,988 Hikma Pharmaceuticals PLC 22,562 532,308 595,023 Hoya Corp 56,700 3,363,355 5,412,693 Hua Han Health Industry Holdings Ltd (2) 254,722 17,303 327 Ipsen SA 5,423 696,441 480,555 Kaken Pharmaceutical Co Ltd 6,000 307,700 331,053 Koninklijke Philips NV 144,338 6,334,877 7,046,059


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December 31, 2019


Equities (Continued) Kyowa Kirin Co Ltd 38,300 $ 648,528 $ 902,361 Lonza Group AG 11,402 3,234,356 4,159,533 M3, Inc 64,700 1,159,582 1,951,068 Medipal Holdings Corp 33,000 670,401 728,322 Merck KGaA 18,831 2,002,185 2,220,057 Nihon Kohden Corp 13,500 351,220 374,400 Nippon Shinyaku Co Ltd 10,100 694,891 874,595 NMC Health PLC 12,265 525,695 287,071 Novartis AG 358,153 32,840,542 33,913,354 Novo Nordisk AS B 254,576 12,474,576 14,752,382 Orion Oyj Cl-B 15,833 610,634 733,252 Orpea 7,464 908,059 956,962 PeptiDream, Inc 15,000 832,829 766,549 QIAGEN NV 41,022 1,396,570 1,397,755 Ramsay Health Care Ltd 19,511 937,741 993,069 Recordati SpA 15,701 657,579 661,871 Roche Holding AG 104,670 25,413,104 34,018,028 Ryman Healthcare Ltd 62,328 458,118 685,194 Santen Pharmaceutical Co Ltd 59,800 951,521 1,138,780 Sartorius Stedim Biotech 3,797 474,887 629,068 Sawai Pharmaceutical Co Ltd 6,400 334,514 405,465 Siemens Healthineers AG (1) 22,813 973,902 1,093,587 Smith & Nephew PLC 135,872 2,605,174 3,298,061 Sonic Healthcare Ltd 66,777 1,158,867 1,347,247 Sonova Holding AG 9,073 1,673,556 2,074,164 Straumann Holding AG 1,615 1,153,971 1,584,205 Sumitomo Dainippon Pharma Co Ltd 24,400 493,834 472,753 Suzuken Co Ltd/Aichi Japan 14,000 595,184 570,610 Swedish Orphan Biovitrum AB 25,765 484,411 427,075 Sysmex Corp 26,500 1,919,106 1,804,250 Tecan Group AG 1,527 369,790 429,004 Terumo Corp 112,400 3,338,287 3,987,311 Tsumura & Co 11,400 386,051 333,426 UCB SA 18,739 1,439,692 1,490,285 UDG Healthcare PLC 36,888 361,697 393,826


Aalberts Industries NV 14,090 599,519 632,348 ACS Actividades de Construccion y Servicios

SA 41,042 1,721,909 1,641,212 Adecco Group AG 23,865 1,598,001 1,508,798 Aena SME SA (1) 10,738 1,962,354 2,053,641 Aeroports de Paris 4,296 802,927 848,595 AGC, Inc 33,000 1,268,107 1,180,012 Aggreko PLC 37,870 423,756 417,654 Aica Kogyo Co Ltd 9,500 329,883 313,477 Air Canada 38,000 1,355,625 1,419,568 Air France-KLM 33,170 378,402 369,240 Alfa Laval AB 43,508 1,055,333 1,095,716 ALS Ltd 68,827 393,297 443,388 Alstom SA 24,576 1,043,369 1,164,150




December 31, 2019


Equities (Continued) Amada Holdings Co Ltd 56,500 $ 561,986 $ 642,616 ANA Holdings, Inc 51,600 1,892,089 1,722,590 Andritz AG 10,746 544,873 461,973 Ashtead Group PLC 69,354 1,747,810 2,217,652 Assa Abloy AB B 149,299 3,540,011 3,489,931 Atlantia SpA 69,792 2,045,182 1,628,868 Atlas Arteria Ltd 95,271 452,362 523,486 Atlas Copco AB 96,373 2,974,665 3,846,793 Auckland International Airport Ltd 140,586 676,653 828,122 Aurizon Holdings Ltd 294,946 917,268 1,082,497 BAE Systems PLC 473,175 3,616,887 3,539,983 Balfour Beatty PLC 97,879 355,873 338,906 Belimo Holding AG 65 385,015 489,616 Bouygues SA 42,362 1,849,797 1,799,961 Brambles Ltd 226,318 1,727,390 1,861,355 Brenntag AG 22,935 1,222,774 1,244,377 Bucher Industries AG 961 319,801 337,271 Bunzl PLC 50,701 1,519,601 1,386,824 Bureau Veritas SA 45,225 1,148,068 1,179,954 Canadian National Railway Co 113,300 9,448,971 10,249,394 Canadian Pacific Railway Ltd 21,900 4,187,324 5,582,809 Capita PLC 213,355 340,087 463,763 Central Japan Railway Co 30,400 5,918,013 6,112,489 CIMIC Group Ltd 12,605 423,217 293,142 CK Hutchison Holdings Ltd 401,500 4,664,474 3,828,324 Cleanaway Waste Management Ltd 282,682 384,598 398,728 CNH Industrial NV 140,649 1,513,817 1,544,311 Cobham PLC 342,233 580,210 744,581 ComfortDelGro Corp Ltd 308,700 498,487 546,270 COMSYS Holdings Corp 18,700 486,342 535,647 Daifuku Co Ltd 18,500 931,160 1,118,044 Daikin Industries Ltd 44,000 5,601,083 6,207,950 Dassault Aviation SA 374 592,741 490,833 DCC PLC 14,930 1,352,167 1,294,159 Deutsche Lufthansa AG 34,479 846,728 634,658 Deutsche Post AG 148,046 4,867,096 5,629,324 Downer EDI Ltd 83,755 429,957 480,192 DSV PANALPINA A/S 32,119 2,693,983 3,701,820 East Japan Railway Co 55,400 5,189,254 5,000,510 easyJet PLC 27,300 482,244 515,122 Ebara Corp 14,000 468,985 422,732 Edenred 37,132 1,957,543 1,920,109 Eiffage SA 14,894 1,562,406 1,704,073 Elis SA 30,489 584,569 632,691 Epiroc AB A 92,076 916,406 1,126,021 Experian PLC 134,609 3,274,625 4,550,294 Ferguson PLC 31,820 2,340,494 2,887,190 Flughafen Zuerich AG 2,843 586,603 518,932 Fosun International Ltd 355,000 470,079 517,537 Fraport AG Frankfurt Airport Services

Worldwide 5,402 498,589 458,549




December 31, 2019


Equities (Continued) Fuji Electric Co Ltd 22,800 $ 826,681 $ 692,602 G4S PLC 213,937 664,931 617,770 Geberit AG 5,530 2,446,596 3,103,886 Georg Fischer AG 588 632,197 596,247 Getlink SE 63,371 856,199 1,102,501 Hankyu Hanshin Holdings, Inc 36,700 1,369,892 1,569,866 Hays PLC 209,514 453,669 503,980 Hino Motors Ltd 42,200 443,954 446,286 Hitachi Construction Machinery Co Ltd 16,600 561,056 494,470 Hochtief AG 3,199 502,064 407,284 HomeServe PLC 41,034 497,393 687,030 Hoshizaki Corp 8,700 756,638 775,693 Howden Joinery Group PLC 82,948 506,564 739,005 Hsin Chong Group Holdings Ltd (2) 52,764 2,367 68 IHI Corp 22,600 677,245 528,862 IMCD NV 7,291 513,925 636,273 IMI PLC 39,566 569,744 617,903 Indutrade AB 12,842 367,149 459,220 International Consolidated Airlines Group SA 135,625 941,672 1,122,805 Interpump Group SpA 12,778 402,001 404,771 Intertek Group PLC 24,090 1,665,844 1,867,350 ISS AS 24,086 865,528 577,940 ITOCHU Corp 222,000 4,045,738 5,145,222 Japan Airlines Co Ltd 51,000 1,761,352 1,587,930 Japan Airport Terminal Co Ltd 10,300 422,072 571,497 Jardine Matheson Holdings Ltd 41,500 2,617,888 2,307,400 Jardine Strategic Holdings Ltd 25,800 1,003,480 790,770 Kajima Corp 81,000 1,408,733 1,076,910 Kamigumi Co Ltd 17,500 395,418 384,683 Keihan Holdings Co Ltd 15,200 538,591 738,060 Keikyu Corp 39,700 680,673 765,375 Keio Corp 18,000 935,616 1,089,166 Keisei Electric Railway Co Ltd 25,700 836,905 995,859 Keppel Corp Ltd 209,200 975,712 1,053,038 Kinden Corp 20,600 334,805 320,071 Kingspan Group PLC 21,334 943,292 1,303,007 Kintetsu Group Holdings Co Ltd 27,500 1,158,674 1,491,593 KION Group AG 9,150 496,861 629,221 Knorr-Bremse AG 6,899 682,776 702,279 Komatsu Ltd 149,000 3,743,944 3,576,214 Kone Oyj B 59,378 3,171,318 3,882,599 Konecranes Oyj 10,488 415,615 322,498 Kuehne + Nagel International AG 8,046 1,304,856 1,357,092 Kurita Water Industries Ltd 17,200 507,466 510,409 Kyowa Exeo Corp 16,600 433,387 419,919 Kyushu Railway Co 23,600 749,974 790,071 Legrand SA 38,887 2,831,485 3,168,524 Leonardo SpA 61,880 753,525 725,687 Loomis AB B 10,291 378,107 426,570 Mabuchi Motor Co Ltd 9,700 350,704 366,229 Mainfreight Ltd 12,167 333,582 348,110


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December 31, 2019


Equities (Continued) Marubeni Corp 258,800 $ 1,836,865 $ 1,912,110 Meggitt PLC 113,068 783,650 983,688 Metso Oyj 19,942 656,308 787,810 MINEBEA MITSUMI, Inc 59,400 1,144,399 1,226,975 Mitsubishi Electric Corp. 320,000 4,497,383 4,357,019 Mitsubishi Heavy Industries Ltd 50,300 1,964,294 1,950,475 Mitsubishi Logistics Corp 12,700 338,449 330,349 Mitsui & Co Ltd 262,700 4,543,704 4,669,629 Mitsui OSK Lines Ltd 17,100 480,188 470,257 Miura Co Ltd 16,000 408,716 552,842 MTR Corp Ltd 218,000 1,225,382 1,288,310 MTU Aero Engines AG 7,375 1,383,062 2,101,327 Nabtesco Corp 19,200 653,499 565,765 Nagase & Co Ltd 18,100 291,593 268,422 Nagoya Railroad Co Ltd 28,000 751,549 869,482 Nankai Electric Railway Co Ltd 16,500 429,136 447,724 NGK Insulators Ltd 48,900 751,726 850,665 Nibe Industrier AB B 49,327 530,535 855,793 Nihon M&A Center, Inc 21,300 584,103 732,991 Nippon Express Co Ltd 14,500 837,072 849,975 Nippon Yusen KK 25,500 571,030 459,603 Nishi-Nippon Railroad Co Ltd 11,600 296,601 267,191 NSK Ltd 77,000 773,396 727,896 NWS Holdings Ltd 222,000 446,033 311,107 Obayashi Corp 108,900 1,203,803 1,209,515 OC Oerlikon Corp AG 30,913 317,105 362,263 Odakyu Electric Railway Co Ltd 50,900 1,164,951 1,187,447 OSG Corp 15,100 321,713 287,146 OSRAM Licht AG 14,970 819,711 741,360 Park24 Co Ltd 18,400 445,725 450,543 Persol Holdings Co Ltd 28,700 694,970 537,871 Prysmian SpA 38,722 895,634 934,719 Qantas Airways Ltd 222,850 986,673 1,111,897 Qube Holdings Ltd 203,605 396,731 470,075 Randstad NV 17,118 959,670 1,045,317 Reece Ltd 49,908 408,007 401,363 Reliance Worldwide Corp Ltd 115,610 413,276 327,762 RELX PLC 304,010 6,571,801 7,673,288 Rentokil Initial PLC 269,799 1,219,437 1,618,912 Rheinmetall AG 6,954 779,763 797,359 Rotork PLC 122,487 460,179 543,525 Royal Mail PLC 144,402 725,692 432,855 Saab AB B 12,147 414,220 407,353 Safran SA 54,358 6,486,136 8,392,984 Sandvik AB 162,781 2,746,959 3,170,543 Sankyu, Inc 8,500 390,237 427,144 Sanwa Holdings Corp 33,400 401,647 374,272 SATS Ltd 93,800 347,479 352,896 Schindler Holding AG 6,034 1,338,676 1,534,453 Secom Co Ltd 33,000 2,765,600 2,945,008 Securitas AB B 47,833 805,476 824,125


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December 31, 2019


Equities (Continued) SEEK Ltd 51,785 $ 731,433 $ 819,470 Seibu Holdings, Inc 37,000 649,536 608,638 Seino Holdings Co Ltd 26,800 402,547 362,083 SG Holdings Co Ltd 36,600 868,889 824,443 SGS SA 775 1,910,908 2,122,472 Shimizu Corp 106,600 1,089,274 1,085,915 Signature Aviation PLC 99,373 487,522 417,529 Signify NV (1) 17,031 522,212 532,228 Singapore Airlines Ltd. 78,200 582,730 525,617 Singapore Technologies Engineering Ltd 200,000 528,318 585,895 Skanska AB B 55,057 995,197 1,245,478 SKF AB B 54,000 1,057,983 1,093,301 Smiths Group PLC 55,087 1,118,231 1,230,974 Sohgo Security Services Co Ltd 13,100 655,951 709,036 Sojitz Corp 200,700 646,857 646,875 Sotetsu Holdings, Inc 13,200 364,615 357,844 SPIE SA 19,163 411,524 390,352 Spirax-Sarco Engineering PLC 10,693 907,782 1,259,175 Sumitomo Corp 189,300 2,867,392 2,811,736 Sumitomo Heavy Industries Ltd 18,800 693,151 534,010 Sydney Airport 323,863 1,724,568 1,968,166 Taisei Corp 32,800 1,609,856 1,358,609 TechnoPro Holdings, Inc 5,300 294,462 369,893 Techtronic Industries Co Ltd 215,000 1,292,579 1,753,430 Teleperformance 8,874 1,498,729 2,163,992 Thales SA 17,151 1,934,341 1,779,925 THK Co Ltd 19,700 629,192 528,911 Thomson Reuters Corp 25,651 1,253,341 1,834,909 Tobu Railway Co Ltd 30,700 889,935 1,111,369 Tokyu Corp 86,200 1,396,089 1,594,070 Tomra Systems ASA 18,452 481,051 586,528 Toppan Printing Co Ltd 47,700 792,121 985,398 Toshiba Corp 64,600 2,042,500 2,192,636 TOTO Ltd 24,400 984,465 1,030,341 Toyota Tsusho Corp 35,000 1,155,622 1,229,467 Transurban Group 396,846 3,606,377 4,152,236 Travis Perkins PLC 33,693 630,204 714,968 Trelleborg AB B 35,048 486,611 630,931 Valmet Oyj 19,530 417,711 468,327 VAT Group AG (1) 3,971 529,224 669,935 Vestas Wind Systems AS 28,712 2,054,927 2,900,096 Vinci SA 81,598 8,319,988 9,061,319 Volvo AB 248,589 4,345,006 4,161,675 Waste Connections, Inc 39,100 2,991,678 3,551,534 West Japan Railway Co 28,500 2,063,082 2,465,067 Wolters Kluwer NV 42,205 2,375,908 3,078,134 Yangzijiang Shipbuilding Holdings Ltd 407,000 437,865 338,927


AAC Technologies Holdings, Inc 85,500 1,164,620 746,121 Advantest Corp 28,800 771,064 1,624,266




December 31, 2019


Equities (Continued) Alten SA 4,499 $ 465,925 $ 567,734 Altium Ltd 18,661 316,760 454,671 Altran Technologies SA 33,814 421,954 537,077 Amadeus IT Group SA A 62,248 4,560,838 5,083,157 Anritsu Corp 21,200 383,086 419,613 ASM International NV 6,924 435,516 777,830 ASM Pacific Technology Ltd 40,100 496,776 556,294 Atos SE 14,088 1,263,930 1,174,442 AVEVA Group PLC 9,055 445,323 558,452 Azbil Corp 20,800 466,589 585,847 Bechtle AG 3,892 368,625 543,440 Brother Industries Ltd 39,400 769,758 813,738 Canon, Inc 161,700 4,438,089 4,425,481 Capgemini SE 24,346 2,756,160 2,973,940 CGI, Inc 36,200 2,155,535 3,029,421 Computershare Ltd 76,797 950,895 904,313 Constellation Software, Inc 3,100 2,117,607 3,010,740 Dassault Systemes SE 19,972 2,483,338 3,283,100 Dialog Semiconductor PLC 9,603 435,648 487,710 Electrocomponents PLC 62,071 510,228 557,118 FUJIFILM Holdings Corp 62,100 2,641,837 2,965,639 Fujitsu Ltd 30,000 2,013,956 2,821,675 GMO Payment Gateway, Inc 5,900 431,727 404,040 Halma PLC 54,517 975,896 1,528,031 Hamamatsu Photonics KK 21,200 790,811 868,785 Hirose Electric Co Ltd 4,900 523,118 626,374 Hitachi High-Technologies Corp 9,700 421,366 686,949 Hitachi Ltd 146,000 4,908,419 6,160,578 Horiba Ltd 6,000 345,872 400,043 Ibiden Co Ltd 18,200 238,781 433,301 Ingenico Group SA 8,613 781,549 935,204 Itochu Techno-Solutions Corp 15,100 321,309 425,248 Konica Minolta, Inc 76,700 693,459 499,630 Lasertec Corp 12,400 452,612 628,866 Link Administration Holdings Ltd 79,858 438,799 328,396 Logitech International SA 25,139 930,355 1,190,904 Micro Focus International PLC 52,349 1,400,576 737,655 NEC Corp 38,578 1,151,520 1,596,529 Nemetschek SE 8,046 382,925 530,058 NET One Systems Co Ltd 12,700 340,013 324,258 Nexi SpA (1) 35,628 369,054 494,927 Nihon Unisys Ltd 11,600 384,014 363,880 Nippon Electric Glass Co Ltd 14,100 381,284 313,019 Nokia Oyj 841,058 3,085,760 3,110,962 Nomura Research Institute Ltd 58,600 1,079,790 1,253,221 NTT Data Corp. 93,100 1,095,816 1,245,118 Obic Co Ltd 10,600 1,151,402 1,427,828 Omron Corp 31,800 1,547,758 1,853,563 Open Text Corp 40,240 1,457,300 1,773,377 Oracle Corp Japan 4,900 396,632 444,718 Otsuka Corp 20,300 742,510 810,679


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December 31, 2019


Equities (Continued) Ricoh Co Ltd 113,500 $ 1,026,912 $ 1,235,050 Sage Group PLC 160,792 1,519,957 1,595,258 SCREEN Holdings Co Ltd 6,600 451,202 450,112 SCSK Corp 7,400 326,489 383,722 Seiko Epson Corp 52,600 823,191 794,200 Shimadzu Corp 42,400 1,036,327 1,325,983 SimCorp AS 5,982 437,293 680,196 Sopra Steria Group 2,409 376,623 387,762 Spectris PLC 17,082 548,301 657,535 STMicroelectronics NV 91,405 1,725,102 2,467,278 Sumco Corp 35,800 486,140 593,162 Taiyo Yuden Co Ltd 19,300 402,983 588,695 Telefonaktiebolaget LM Ericsson B 431,420 3,234,697 3,769,666 Temenos AG 9,444 1,229,696 1,493,939 TIS, Inc 12,200 475,780 721,179 Tokyo Electron Ltd 23,900 4,120,946 5,218,086 Venture Corp Ltd 39,148 520,010 471,540 WiseTech Global Ltd 27,271 577,991 447,242 Worldline SA (1) 12,436 757,877 880,908 Xero Ltd 15,139 731,367 849,903 Xiaomi Corp Cl-B(1) 1,383,600 1,571,980 1,914,096 Yokogawa Electric Corp 44,000 801,037 772,687


Agnico Eagle Mines Ltd 35,900 1,636,848 2,211,145 Air Liquide SA 70,133 7,917,774 9,927,925 Air Water, Inc 26,800 484,039 391,055 Alumina Ltd 401,517 771,806 648,058 Amcor Ltd 159,793 1,755,338 1,745,938 Arkema SA 11,191 1,266,062 1,188,764 Barrick Gold Corp 264,200 3,615,903 4,907,400 BHP Group Ltd 442,850 10,141,507 12,095,167 BlueScope Steel Ltd 72,960 728,446 771,067 Boliden AB 36,814 990,602 977,730 Boral Ltd 177,784 843,685 558,924 Chr Hansen Holding AS 17,043 1,552,187 1,354,363 Covestro AG (1) 25,300 1,897,628 1,177,211 Croda International PLC 19,081 1,162,669 1,294,064 Daicel Corp. 49,300 515,453 471,325 Denka Co Ltd 13,000 425,846 386,459 DIC Corp 12,300 417,068 339,460 DS Smith PLC 199,144 1,119,180 1,013,466 EMS-Chemie Holding AG 1,214 670,272 798,125 Evolution Mining Ltd 223,007 483,628 594,682 Evonik Industries AG 24,660 825,037 753,173 Evraz PLC 91,129 618,047 487,666 Fletcher Building Ltd 141,430 599,805 484,622 Fortescue Metals Group Ltd 237,149 1,069,709 1,779,022 Franco-Nevada Corp 26,900 2,064,709 2,777,730 Givaudan SA 1,151 2,701,521 3,606,077 HeidelbergCement AG 23,236 1,805,558 1,688,441




December 31, 2019


Equities (Continued) Hexpol AB 35,570 $ 328,463 $ 349,565 Hitachi Chemical Co Ltd 14,900 413,467 624,248 Hitachi Metals Ltd 28,400 326,562 418,040 Huhtamaki Oyj 13,764 549,147 638,869 Iluka Resources Ltd 60,173 381,670 392,706 Incitec Pivot Ltd 243,717 658,068 543,870 Johnson Matthey PLC 29,062 1,231,028 1,153,326 JSR Corp. 29,600 541,408 541,461 K+S AG 28,652 405,319 356,809 Kaneka Corp 10,000 434,927 320,263 Kansai Paint Co Ltd 37,400 748,899 913,649 KGHM Polska Miedz SA 19,514 479,291 492,240 Kirkland Lake Gold Ltd 28,100 1,316,580 1,238,646 Kobe Steel Ltd 58,600 495,584 313,988 Koninklijke DSM NV 26,805 2,564,552 3,490,798 Kuraray Co Ltd 53,800 791,916 651,940 Linde PLC 81,923 14,891,946 17,578,285 Maruichi Steel Tube Ltd 12,300 373,717 345,660 Mitsubishi Chemical Holdings Corp 210,400 1,960,122 1,567,728 Mitsubishi Gas Chemical Co, Inc 31,000 663,686 472,260 Mitsui Chemicals, Inc 30,600 843,882 745,395 Mondi PLC 62,865 1,450,447 1,475,978 Newcrest Mining Ltd 111,065 1,898,973 2,357,681 Nippon Kayaku Co Ltd 25,700 318,156 318,275 Nippon Paper Industries Co Ltd 17,400 332,423 293,650 Nippon Shokubai Co Ltd 5,200 367,745 322,236 Nissan Chemical Corp 24,300 1,102,160 1,017,630 NOF Corp 12,600 383,260 418,994 Northern Star Resources Ltd 89,676 470,128 711,740 Novozymes AS B 31,530 1,609,590 1,542,932 Oji Holdings Corp 143,100 913,540 773,882 Orica Ltd 53,629 776,829 827,199 Orora Ltd 165,391 409,311 369,081 OZ Minerals Ltd 45,161 294,025 334,348 Polymetal International PLC 36,684 396,257 580,670 Rengo Co Ltd 36,300 312,684 276,555 Rio Tinto Ltd 55,648 3,225,493 3,920,719 Rio Tinto PLC 156,969 9,083,757 9,362,687 Shin-Etsu Chemical Co Ltd 61,500 6,319,653 6,763,342 Showa Denko KK 22,200 764,052 585,092 Sika AG 17,468 2,282,357 3,280,409 Solvay SA 11,041 1,201,667 1,279,338 South32 Ltd 790,888 1,984,920 1,498,515 Stora Enso Oyj R 87,836 1,309,369 1,278,082 Sumitomo Chemical Co Ltd 242,600 1,518,559 1,101,541 Svenska Cellulosa AB SCA B 84,986 807,429 861,809 Symrise AG 19,633 1,631,549 2,063,602 Taiheiyo Cement Corp 19,000 678,142 557,709 Taiyo Nippon Sanso Corp 29,400 491,678 650,738 Teck Resources Ltd B 79,600 1,893,961 1,380,457 Teijin Ltd 28,700 555,181 536,177


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December 31, 2019


Equities (Continued) Tokai Carbon Co Ltd 32,900 $ 423,702 $ 328,212 Toray Industries, Inc 239,400 1,746,042 1,622,059 Tosoh Corp 47,700 679,041 734,856 Toyo Seikan Group Holdings Ltd 25,700 555,704 442,405 Ube Industries Ltd 15,600 421,742 337,869 UPM-Kymmene Oyj 76,707 2,390,906 2,661,310 Victrex PLC 12,303 386,280 406,436 Wheaton Precious Metals Corp 65,700 1,380,881 1,954,987 Wienerberger AG 16,887 422,387 500,452 Zeon Corp 28,000 279,589 348,448


Activia Properties, Inc 104 443,390 521,198 Advance Residence Investment Corp 204 539,534 646,627 Aedifica SA 3,740 451,057 474,892 Allreal Holding AG 2,357 459,375 468,575 alstria office REIT-AG 24,181 453,307 454,324 Aroundtown SA 135,368 1,124,801 1,215,845 Ascendas Real Estate Investment Trust 376,400 768,187 831,189 CapitaLand Commercial Trust 417,600 560,473 617,885 CapitaLand Ltd 519,800 1,371,728 1,449,310 CapitaLand Mall Trust 392,200 630,321 717,359 Castellum AB 40,133 692,826 942,657 Charter Hall Group 71,271 398,584 554,160 City Developments Ltd 72,100 598,654 587,007 CK Asset Holdings Ltd 386,000 3,136,007 2,786,404 Cofinimmo SA 3,879 509,197 569,991 Covivio 9,543 994,142 1,083,284 Daito Trust Construction Co Ltd 10,700 1,645,071 1,322,265 Daiwa House Industry Co Ltd 100,200 2,888,611 3,101,875 Daiwa House REIT Investment Corp 287 699,378 750,457 Daiwa Office Investment Corp 49 365,278 376,276 Derwent London PLC 15,338 588,651 814,700 Deutsche Wohnen SE 49,231 2,148,453 2,002,560 Dexus 167,773 1,309,006 1,377,496 Fabege AB 44,176 548,857 733,815 Fastighets AB Balder 14,655 408,923 678,247 Gecina SA 7,363 1,201,164 1,318,149 GLP J-Reit 542 602,259 672,917 Goodman Group 240,005 1,734,356 2,251,822 GPT Group REIT 263,561 1,041,426 1,035,742 Grand City Properties SA 16,707 380,315 400,985 Great Portland Estates PLC 35,419 342,743 403,478 Hang Lung Group Ltd 144,000 445,166 355,921 Hang Lung Properties Ltd 287,000 645,104 629,814 Henderson Land Development Co Ltd 196,420 1,019,339 964,165 Hongkong Land Holdings Ltd 186,400 1,281,286 1,071,800 Hulic Co Ltd 80,500 880,585 969,236 Hysan Development Co Ltd 104,000 507,575 407,736 ICADE 5,256 516,411 572,173 IMMOFINANZ AG 14,267 410,322 382,226




December 31, 2019


Equities (Continued) Industrial & Infrastructure Fund Investment

Corp 249 $ 390,591 $ 379,796 Inmobiliaria Colonial Socimi SA 40,856 471,623 520,608 Invincible Investment Corp 924 490,757 526,396 IWG PLC 98,026 453,953 565,476 Japan Hotel REIT Investment Corp 669 487,834 499,957 Japan Logistics Fund, Inc 139 353,723 354,488 Japan Prime Realty Investment Corp 142 521,014 624,357 Japan Real Estate Investment Corp 214 1,177,256 1,420,209 Japan Retail Fund Investment Corp 396 771,919 852,155 Kenedix Office Investment Corp 67 413,971 517,662 Kerry Properties Ltd 90,500 385,832 287,447 Klepierre SA 38,865 1,464,127 1,475,686 LEG Immobilien AG 9,690 1,049,652 1,144,353 Lend Lease Group 84,124 1,031,902 1,038,999 Link REIT REIT 325,000 3,026,451 3,440,897 Mapletree Commercial Trust 282,100 345,351 501,297 Mapletree Industrial Trust 196,300 368,235 379,479 Mapletree Logistics Trust 373,900 411,434 483,725 Merlin Properties Socimi SA 54,536 749,816 782,403 Mirvac Group 591,942 1,107,530 1,320,957 Mori Hills REIT Investment Corp C 242 362,957 402,211 New World Development Co Ltd 833,000 1,209,969 1,141,696 Nippon Accommodations Fund, Inc 72 338,804 454,576 Nippon Building Fund, Inc 216 1,304,946 1,583,334 Nippon Prologis REIT, Inc 298 664,558 758,979 Nomura Real Estate Holdings, Inc 19,200 416,348 460,518 Nomura Real Estate Master Fund, Inc 689 971,787 1,178,555 Orix JREIT, Inc 424 677,320 919,038 PSP Swiss Property AG 5,511 531,665 760,929 Relo Group, Inc 17,600 437,664 489,560 Scentre Group 790,110 2,359,720 2,123,580 Segro PLC 159,677 1,313,559 1,897,651 Sekisui House Reit, Inc 630 458,651 529,953 Sino Land Co Ltd 468,000 794,975 679,871 Stockland REIT 358,475 1,159,413 1,162,206 Sun Hung Kai Properties Ltd 232,500 3,182,529 3,559,572 Suntec Real Estate Investment Trust 325,900 459,686 445,857 Swire Pacific Ltd Cl-A 76,500 786,629 710,779 Swire Properties Ltd 165,600 584,661 549,358 Swiss Prime Site AG 11,417 1,003,839 1,320,880 TAG Immobilien AG 22,282 517,689 553,388 Tokyo Tatemono Co Ltd 33,300 372,478 519,773 Tokyu Fudosan Holdings Corp 90,500 603,919 624,930 Tritax Big Box REIT PLC 256,718 491,059 505,992 UNITE Group PLC 40,706 497,826 679,381 United Urban Investment Corp 448 697,722 841,370 UOL Group Ltd 74,000 435,600 457,772 Vicinity Centres 477,316 925,836 834,042 Vonovia SE 75,191 3,540,478 4,038,461 Warehouses De Pauw CVA 2,684 456,889 488,326


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December 31, 2019


Equities (Continued) Wharf Real Estate Investment Co Ltd 169,000 $ 1,147,913 $ 1,031,268 Wheelock & Co Ltd 111,000 745,056 740,019


A2A SpA 226,247 398,466 424,856 AGL Energy Ltd 95,398 1,636,060 1,374,392 APA Group 146,326 983,825 1,139,795 AusNet Services 272,327 351,430 324,879 Chubu Electric Power Co, Inc 104,300 1,593,333 1,474,369 Chugoku Electric Power Co, Inc 45,800 552,709 602,046 CK Infrastructure Holdings Ltd 104,500 838,683 743,622 Contact Energy Ltd 99,753 411,766 478,806 E.ON SE 329,190 3,684,865 3,518,012 EDP - Energias de Portugal SA 376,887 1,551,558 1,633,522 Electric Power Development Co Ltd C 26,500 686,695 643,223 Elia System Operator SA 4,544 391,466 403,173 Emera, Inc 36,500 1,515,577 1,568,161 Enagas SA 35,099 950,323 895,286 Endesa SA 47,494 1,117,218 1,267,389 Enel SpA 1,164,150 8,087,936 9,247,801 Fortis, Inc 66,900 2,406,189 2,775,844 Hera SpA 111,233 402,945 487,205 HK Electric Investments & HK Electric

Investments Ltd 312,500 299,680 307,996 Hong Kong & China Gas Co Ltd 1,431,630 2,483,056 2,796,274 Iberdrola SA 887,082 6,912,143 9,134,466 Italgas SpA 75,362 437,111 460,740 Kansai Electric Power Co, Inc 129,000 1,509,328 1,494,439 Kyushu Electric Power Co, Inc 68,900 771,800 597,775 Mercury NZ Ltd 82,837 263,399 281,618 Meridian Energy Ltd 180,068 404,310 606,109 National Grid PLC 504,295 5,597,739 6,307,821 Orsted AS (1) 25,443 1,678,658 2,631,435 Osaka Gas Co Ltd 62,300 1,203,367 1,191,374 Pennon Group PLC 58,867 601,067 799,246 Power Assets Holdings Ltd 192,500 1,386,274 1,408,121 Red Electrica Corp SA 66,862 1,435,883 1,344,359 Rubis SCA 14,631 902,940 898,535 Severn Trent PLC 34,315 928,537 1,143,159 Shikoku Electric Power Co, Inc 31,800 315,422 314,117 Snam SpA 321,230 1,552,396 1,688,963 Spark Infrastructure Group 258,724 457,324 379,459 SSE PLC 143,885 2,496,710 2,741,638 Suez 65,132 937,382 985,195 Terna Rete Elettrica Nazionale SpA 220,557 1,326,430 1,475,065 Toho Gas Co Ltd 15,400 534,102 628,816 Tokyo Electric Power Co Holdings, Inc 238,700 1,118,575 1,021,768 Tokyo Gas Co Ltd 58,600 1,471,167 1,423,915 Uniper SE 26,232 784,993 867,010 United Utilities Group PLC 98,277 1,041,946 1,228,096 Veolia Environnement SA 87,734 2,106,718 2,333,330


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December 31, 2019


Equities (Continued) Verbund AG 10,055 $ 514,228 $ 504,609

Total Utilities 69,033,729 75,997,829 Total Equities 1,632,846,733 1,764,398,076

Exchange Traded Funds: 0.37% BB Biotech AG 101,437 6,761,619 6,945,472

Total Exchange Traded Funds 6,761,619 6,945,472 Preferred Stocks: 0.58%

Volkswagen AG 25,904 4,937,413 5,098,900 Fuchs Petrolub SE 10,480 529,391 520,682 Henkel AG & Co KGaA 25,675 3,157,599 2,652,239 Sartorius AG 5,154 681,572 1,101,729 Porsche Automobil Holding SE 21,400 1,420,319 1,587,842

Total Preferred Stocks 10,726,294 10,961,392 Short-Term Investments: 4.40%

Wells Fargo/BlackRock Short Term Investment Fund S (3) 82,554,821 82,554,821 82,554,821

Total Short-Term Investments 82,554,821 82,554,821 Total Investments: 99.31% $ 1,732,889,467 $ 1,864,859,761


Contracts Description Value Depreciation

Financial Futures - Long: 876 MSCI EAFE March 2020 $ 89,198,700 $ (146,241)

Total Financial Futures - Long $ 89,198,700 $ (146,241)


(1) This Fund holds 1.13% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) The fair value of $395 was estimated at December 31, 2019, by the Trustee. (3) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds


REIT Real Estate Investment Trust




December 31, 2019

% of Total Country Investments Japan 19.05% United Kingdom 14.98 Canada 10.39 Switzerland 10.25 Australia 8.55 France 5.34 Germany 5.31 United States 4.70 Hong Kong 3.67 Sweden 3.06 Netherlands 2.95 Denmark 2.19 Singapore 1.62 Italy 1.49 Spain 1.39 Finland 1.18 Other 3.88

100.00%








$ 9.10

0.33 1.64 1.97

$ 11.07 21.70%

$ 1,876,537,331

$

$

$

8.83

0.28 1.61 1.89

10.72 21.40%

1,220,737


0.00% 3.22%

47%

0.24% 2.80%

47%



WELLS FARGO FACTOR ENHANCED LARGE CAP INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 163,186,567 $ 163,186,567 Unaffiliated investments 2,647,971,512 3,078,719,452 Cash 20,819 Receivable for investment securities sold 248,953,898 Cash collateral held at broker 7,494,000 Accrued interest and dividend income 5,067,108 Variation margin receivable 349,302 Fund shares sold 2,290


Payable for investment securities purchased 300,273,771 Fund shares repurchased 4,023,745 Accrued expenses 9,743


Shares Class Net Assets Outstanding Net Asset Value G $ 3,086,993,504 238,734,190 $ 12.93 TMR $ 2,661,067 212,187 $ 12.54 E1 $ 109,831,606 10,000,000 $ 10.98




Investment income: Dividend income from unaffiliated investments $ 59,568,327 Dividend income from affiliated short term investment 2,269,517 Interest income 119,678


Administration, Advisory, and/or Trustee Fees 53,461 Program fees (TMR) 4,861

Total expenses 58,322 Net investment income (loss) 61,899,200


Investments 47,349,665 Futures contracts 24,231,950

Net change in unrealized appreciation (depreciation) on: Investments 495,336,272 Futures contracts 2,303,841

Net gain (loss) on investment transactions 569,221,728 Net change in net assets resulting from operations $ 631,120,928








Net change 1,774,243 Class E1 proceeds from issuance of shares (10,000,000 shares) 100,000,000

Net change 100,000,000 Change in net assets derived from share transactions 476,255,663 Total increase (decrease) in net assets 1,107,376,591

Net assets: Beginning of year (207,213,240 Class G shares, 44,367 Class TMR shares, 0 Class E1 shares) 2,092,109,586 End of year (238,734,190 Class G shares, 212,187 Class TMR shares, 10,000,000 Class E1 shares) (1) $ 3,199,486,177

(1) Class E1 commenced operations June 25, 2019.


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December 31, 2019



Activision Blizzard, Inc 119,017 $ 7,072,585 $ 7,071,990 Alphabet, Inc Cl-A 47,209 50,589,490 63,231,262 Altice USA, Inc A 56,790 1,061,000 1,552,639 AT&T, Inc 1,154,391 38,539,794 45,113,600 Cable One, Inc 725 559,590 1,079,141 Charter Communications, Inc A 25,395 8,518,976 12,318,607 Cinemark Holdings, Inc 13,914 506,227 470,989 Comcast Corp Cl-A 718,108 25,988,009 32,293,317 Discovery, Inc A 24,997 554,412 818,402 DISH Network Corp A 39,017 1,586,384 1,383,933 Electronic Arts, Inc 45,310 4,871,505 4,871,278 Fox Corp Cl-A 55,006 2,150,931 2,039,072 GCI Liberty, Inc Cl-A 12,983 919,881 919,846 IAC/InterActiveCorp 12,063 1,887,446 3,005,014 Interpublic Group of Cos, Inc 54,018 1,122,113 1,247,816 Live Nation Entertainment, Inc 21,647 1,006,737 1,547,111 Madison Square Garden Co A 2,478 616,695 729,003 Match Group, Inc 8,852 726,882 726,838 New York Times Co A 20,543 472,432 660,868 News Corp Cl-A 53,690 752,644 759,177 Nexstar Media Group, Inc Cl-A 6,352 474,216 744,772 Omnicom Group, Inc 32,019 2,267,021 2,594,179 Pinterest, Inc Cl-A 24,394 454,826 454,704 Roku, Inc 13,027 1,744,380 1,744,315 Sirius XM Holdings, Inc 185,052 1,324,047 1,323,122 T-Mobile US, Inc 47,287 2,945,026 3,708,246 Take-Two Interactive Software, Inc 16,875 2,066,091 2,066,006 TEGNA, Inc 29,511 448,937 492,539 TripAdvisor, Inc 14,606 728,180 443,730 Verizon Communications, Inc 643,873 32,535,978 39,533,802 Walt Disney Co 283,414 30,677,281 40,990,167 World Wrestling Entertainment, Inc A 6,754 506,849 438,132 Zayo Group Holdings, Inc 35,132 1,212,424 1,217,324 Zynga, Inc Cl-A 128,436 789,406 786,028


Aaron's, Inc 9,141 401,111 522,043 Advance Auto Parts, Inc 10,129 1,161,773 1,622,261 Aramark 38,795 1,517,350 1,683,703 AutoNation, Inc 9,623 468,015 467,966 AutoZone, Inc 3,797 2,673,120 4,523,404 Best Buy Co, Inc 35,201 2,216,439 3,090,648 BorgWarner, Inc 29,349 1,231,203 1,273,160 Bright Horizons Family Solutions, Inc 8,230 863,947 1,236,887 Brunswick Corp 11,799 632,190 707,704 Burlington Stores, Inc 10,394 1,264,763 2,370,144 Caesars Entertainment Corp 98,728 1,343,194 1,342,701 Capri Holdings Ltd 21,859 1,101,058 833,921 CarMax, Inc 27,978 1,982,174 2,452,831 Carnival Corp 57,617 2,928,960 2,928,672




December 31, 2019


Equities (Continued) Carter's, Inc 6,132 $ 602,479 $ 670,473 Chipotle Mexican Grill, Inc 4,272 1,723,785 3,576,134 Churchill Downs, Inc 5,129 703,724 703,699 Cracker Barrel Old Country Store, Inc 2,367 377,089 363,903 Darden Restaurants, Inc 17,624 1,629,438 1,921,192 Deckers Outdoor Corp 4,075 537,331 688,105 Dollar General Corp 40,555 3,853,232 6,325,769 Dollar Tree, Inc 36,249 3,381,987 3,409,218 Domino's Pizza, Inc 6,293 1,396,889 1,848,758 DR Horton, Inc 53,363 2,341,268 2,814,898 Dunkin' Brands Group, Inc 11,514 716,630 869,768 eBay, Inc 126,130 4,555,185 4,554,554 Expedia Group, Inc 21,621 2,767,548 2,338,095 Five Below, Inc 8,196 868,351 1,047,941 Foot Locker, Inc 15,029 589,543 585,981 Ford Motor Co 625,805 6,879,935 5,819,986 frontdoor, Inc 12,799 606,993 606,929 Gap, Inc 36,644 915,870 647,866 General Motors Co 202,350 8,124,291 7,406,010 Gentex Corp 34,869 724,280 1,010,504 Genuine Parts Co 20,876 1,925,648 2,217,657 Goodyear Tire & Rubber Co 38,206 996,740 594,294 Grand Canyon Education, Inc 6,504 628,097 623,018 H&R Block, Inc 29,058 746,683 682,282 Hanesbrands, Inc 54,242 1,081,093 805,494 Harley-Davidson, Inc 24,697 996,432 918,481 Hasbro, Inc 18,197 1,671,544 1,921,785 Helen of Troy Ltd 3,274 431,409 588,632 Hilton Worldwide Holdings, Inc 45,062 4,998,052 4,997,826 Home Depot, Inc 173,665 36,452,818 37,924,963 Kohl's Corp 23,670 1,245,131 1,205,986 L Brands, Inc 36,156 1,288,703 655,147 Lear Corp 8,320 1,393,247 1,141,504 Leggett & Platt, Inc 19,387 876,021 985,441 Lennar Corp A 44,392 2,376,420 2,476,630 Lithia Motors, Inc A 3,012 442,779 442,764 LKQ Corp 43,079 1,443,683 1,537,920 Lowe's Cos, Inc 122,190 10,796,273 14,633,474 Macy's, Inc 45,980 1,063,335 781,660 Marriott International, Inc Cl-A 41,958 5,214,690 6,353,700 Marriott Vacations Worldwide Corp 5,793 437,372 745,907 Mattel, Inc 54,558 746,142 739,261 McDonald's Corp 121,938 20,986,455 24,096,168 Mohawk Industries, Inc 9,064 1,236,194 1,236,148 NIKE, Inc Cl-B 200,248 13,082,167 20,287,125 Nordstrom, Inc 16,322 694,764 668,059 Norwegian Cruise Line Holdings Ltd 31,329 1,830,084 1,829,927 NVR, Inc 534 1,693,206 2,033,691 O'Reilly Automotive, Inc 11,738 3,055,463 5,144,296 Planet Fitness, Inc Cl-A 13,207 626,919 986,299 Polaris, Inc 8,686 929,444 883,366


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December 31, 2019


Equities (Continued) Pool Corp 5,614 $ 768,319 $ 1,192,301 PulteGroup, Inc 39,328 1,203,552 1,525,926 PVH Corp 11,014 1,387,392 1,158,122 Qurate Retail, Inc A 56,396 1,122,105 475,418 Ralph Lauren Corp 6,971 722,984 817,141 Ross Stores, Inc 55,696 4,163,607 6,484,128 Service Corp International 25,777 961,461 1,186,515 ServiceMaster Global Holdings, Inc 20,824 736,708 805,056 Six Flags Entertainment Corp 12,035 736,857 542,899 Skechers U.S.A., Inc Cl-A 19,000 589,500 820,610 Starbucks Corp 184,475 10,817,930 16,219,042 Tapestry, Inc 42,823 1,155,150 1,154,936 Target Corp 79,999 5,491,802 10,256,672 Tempur Sealy International, Inc 7,254 631,569 631,533 Texas Roadhouse, Inc 7,308 403,196 411,587 Thor Industries, Inc 7,873 814,344 584,885 TJX Cos, Inc 177,079 7,158,234 10,812,444 Toll Brothers, Inc 18,980 829,984 749,900 TopBuild Corp 4,977 513,054 513,029 Tractor Supply Co 17,609 1,229,494 1,645,385 Ulta Salon Cosmetics & Fragrance, Inc 8,810 2,065,007 2,230,163 Under Armour, Inc Cl-A 28,832 479,444 622,771 Vail Resorts, Inc 6,087 1,391,917 1,459,845 VF Corp 51,972 3,726,887 5,179,530 Wayfair, Inc Cl-A 10,133 948,113 915,719 Wendy's Co 28,198 499,209 626,278 Whirlpool Corp 9,492 1,460,033 1,400,355 Williams-Sonoma, Inc 10,809 593,634 793,813 Wyndham Destinations ,Inc 13,415 612,157 693,421 Wyndham Hotels & Resorts, Inc 13,315 614,240 836,315 Yum! Brands, Inc 47,352 3,829,762 4,769,767


Altria Group, Inc 288,460 17,075,008 14,397,039 Archer-Daniels-Midland Co 85,257 3,578,307 3,951,662 BJ's Wholesale Club Holdings, Inc 18,985 498,828 431,719 Brown-Forman Corp Cl-B 45,312 2,271,647 3,063,091 Bunge Ltd 21,051 1,398,018 1,211,485 Campbell Soup Co 30,374 1,338,830 1,501,083 Casey's General Stores, Inc 5,035 589,707 800,515 Church & Dwight Co, Inc 35,430 1,814,253 2,492,146 Clorox Co 18,504 2,417,122 2,841,104 Coca-Cola Co 600,630 27,705,021 33,244,870 Colgate-Palmolive Co 132,741 9,102,074 9,137,890 Conagra Brands, Inc 75,041 2,403,926 2,569,404 Constellation Brands, Inc A 23,929 5,089,552 4,540,528 Costco Wholesale Corp 68,426 13,329,132 20,111,770 Coty, Inc Cl-A 42,623 586,049 479,509 Darling Ingredients, Inc 22,532 449,133 632,699 Estee Lauder Cos, Inc Cl-A 34,249 4,583,915 7,073,788 Flowers Foods, Inc 17,050 340,083 370,667


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December 31, 2019


Equities (Continued) General Mills, Inc 95,801 $ 4,604,591 $ 5,131,102 Herbalife Nutrition Ltd 13,549 554,100 645,881 Hershey Co 23,348 2,515,484 3,431,689 Hormel Foods Corp 40,618 1,413,507 1,832,278 Ingredion, Inc 8,607 987,274 800,021 JM Smucker Co 16,297 1,737,010 1,697,007 Kellogg Co 38,966 2,420,819 2,694,889 Keurig Dr Pepper, Inc 39,821 1,152,854 1,152,818 Kimberly-Clark Corp 52,974 5,962,774 7,286,574 Kroger Co 123,690 2,796,288 3,585,773 Lamb Weston Holdings, Inc 21,941 1,298,459 1,887,584 McCormick & Co, Inc 18,898 2,143,000 3,207,557 Molson Coors Brewing Co B 26,428 1,907,110 1,424,469 Mondelez International, Inc A 227,297 9,439,066 12,519,519 Monster Beverage Corp 60,000 3,440,188 3,813,000 PepsiCo, Inc 219,353 24,449,120 29,978,974 Performance Food Group Co 12,894 522,162 663,783 Philip Morris International, Inc 243,372 22,592,821 20,708,523 Post Holdings, Inc 11,265 995,400 1,229,011 Procter & Gamble Co 385,464 33,555,128 48,144,454 Sysco Corp 76,206 4,641,805 6,518,661 TreeHouse Foods, Inc 8,595 463,186 416,857 Tyson Foods, Inc Cl-A 45,942 3,279,040 4,182,560 US Foods Holding Corp 29,811 988,289 1,248,783 Walmart, Inc 220,793 20,108,070 26,239,040


Baker Hughes a GE Co 102,555 2,924,636 2,628,485 Cabot Oil & Gas Corp 59,671 1,352,203 1,038,872 Chevron Corp 298,546 36,983,076 35,977,778 Equitrans Midstream Corp 30,230 576,367 403,873 Exxon Mobil Corp 662,810 53,117,903 46,250,882 Halliburton Co 129,700 5,127,624 3,173,759 Helmerich & Payne, Inc 16,079 968,437 730,469 HollyFrontier Corp 21,460 1,031,705 1,088,237 Marathon Petroleum Corp 102,406 6,490,356 6,169,961 National Oilwell Varco, Inc 60,735 1,936,615 1,521,412 ONEOK, Inc 64,722 3,874,889 4,897,514 PBF Energy, Inc Cl-A 14,327 557,537 449,438 Phillips 66 68,939 6,675,606 7,680,494 Plains GP Holdings LP Cl-A 27,235 525,930 516,103 Schlumberger Ltd 220,711 8,676,537 8,872,582 Tallgrass Energy LP A 22,192 524,685 490,887 Targa Resources Corp 36,299 1,337,010 1,482,088 Valero Energy Corp 64,247 5,628,660 6,016,732


Affiliated Managers Group, Inc 5,414 525,318 458,782 Aflac, Inc 113,279 5,002,058 5,992,459 AGNC Investment Corp 77,963 1,449,883 1,378,386




December 31, 2019


Equities (Continued) Alleghany Corp 2,072 $ 1,229,935 $ 1,656,709 Allstate Corp 51,680 4,848,415 5,811,416 Ally Financial, Inc 68,556 1,842,655 2,095,071 American Express Co 99,168 9,807,230 12,345,424 American Financial Group, Inc 8,575 891,291 940,249 American International Group, Inc 143,087 7,345,371 7,344,656 Ameriprise Financial, Inc 19,872 2,891,763 3,310,278 Annaly Capital Management, Inc REIT 246,491 2,585,500 2,321,945 Aon PLC 38,312 5,669,140 7,980,006 Apollo Global Management, Inc 30,513 1,455,928 1,455,775 Arch Capital Group Ltd 60,170 1,904,548 2,580,691 Arthur J Gallagher & Co 29,941 2,045,361 2,851,281 Associated Banc-Corp 64,463 1,495,531 1,420,765 Assurant, Inc 9,268 920,962 1,214,849 Assured Guaranty Ltd 13,198 502,966 646,966 Athene Holding Ltd Cl-A 18,539 875,302 871,889 Axis Capital Holdings Ltd 10,514 579,458 624,952 Bank of Hawaii Corp 15,064 1,347,743 1,433,490 Bank of New York Mellon Corp 134,996 5,981,435 6,794,349 Bank OZK 28,598 744,245 872,382 BankUnited, Inc 35,405 1,283,063 1,294,407 Berkshire Hathaway, Inc Cl-B 211,920 41,367,326 47,999,880 Blackstone Group, Inc A 104,682 5,851,211 5,855,911 Blackstone Mortgage Trust, Inc Cl-A REIT 29,035 987,075 1,080,683 Brown & Brown, Inc 37,318 1,005,485 1,473,315 Capital One Financial Corp 75,676 7,787,938 7,787,817 Cboe Global Markets, Inc 16,706 1,847,312 2,004,720 Chimera Investment Corp 36,250 677,008 745,300 Chubb Ltd 64,251 9,493,973 10,001,311 Cincinnati Financial Corp 24,243 1,806,436 2,549,151 CIT Group, Inc 35,240 1,636,776 1,608,001 Citizens Financial Group, Inc 99,231 3,822,408 4,029,771 CME Group, Inc 56,183 8,850,745 11,277,052 Comerica, Inc 28,902 2,073,863 2,073,719 Commerce Bancshares, Inc 29,542 1,770,730 2,007,083 Community Bank System, Inc 17,145 1,216,851 1,216,266 Credit Acceptance Corp 1,478 522,885 653,764 Discover Financial Services 49,791 3,440,831 4,223,273 Eaton Vance Corp 12,841 640,146 599,546 Erie Indemnity Co Cl-A 3,442 443,855 571,372 Essent Group Ltd 18,717 832,781 973,097 Everest Re Group Ltd 5,910 1,391,450 1,636,124 FactSet Research Systems, Inc 5,806 1,172,481 1,557,750 Fidelity National Financial, Inc 38,143 1,238,477 1,729,785 Fifth Third Bancorp 142,010 4,213,263 4,365,387 First American Financial Corp 14,548 773,286 848,439 First Financial Bankshares, Inc 32,696 1,023,895 1,147,630 First Hawaiian, Inc 46,239 1,270,777 1,333,995 First Horizon National Corp 77,114 1,334,488 1,277,008 FirstCash, Inc 5,189 476,524 418,389 FNB Corp 117,140 1,499,301 1,487,678




December 31, 2019


Equities (Continued) Franklin Resources, Inc 38,296 $ 1,144,574 $ 994,930 Glacier Bancorp, Inc 26,077 1,114,868 1,199,281 Globe Life, Inc 13,756 1,164,342 1,447,819 Goldman Sachs Group, Inc 55,918 12,857,505 12,857,226 Hancock Whitney Corp 25,229 1,168,233 1,107,049 Hanover Insurance Group, Inc 4,603 503,723 629,092 Hartford Financial Services Group, Inc 57,161 3,064,733 3,473,674 Home BancShares, Inc 57,997 1,195,140 1,140,221 Huntington Bancshares, Inc 221,839 3,258,860 3,345,332 Iberiabank Corp 16,260 1,218,925 1,216,736 Interactive Brokers Group, Inc Cl-A 11,795 722,938 549,883 Intercontinental Exchange, Inc 89,040 6,361,250 8,240,652 Invesco Ltd 72,215 1,444,432 1,298,426 Jefferies Financial Group, Inc 43,576 854,370 931,219 Kemper Corp 8,604 589,968 666,810 KeyCorp 179,697 2,840,188 3,637,067 KKR & Co, Inc A 85,134 1,785,413 2,483,359 Lazard Ltd Cl-A 16,800 750,582 671,328 Loews Corp 44,685 2,224,936 2,345,516 LPL Financial Holdings, Inc 12,194 721,167 1,124,897 M&T Bank Corp 25,729 4,354,867 4,367,498 Markel Corp 2,069 2,245,295 2,365,219 MarketAxess Holdings, Inc 5,723 1,250,828 2,169,647 Marsh & McLennan Cos, Inc 81,209 6,797,534 9,047,495 MetLife, Inc 120,042 6,119,141 6,118,541 MFA Financial, Inc REIT 27,754 211,136 212,318 MGIC Investment Corp 69,153 924,529 979,898 Moody's Corp 26,284 4,125,311 6,240,084 Morningstar, Inc 2,255 341,050 341,204 MSCI, Inc A 13,198 1,924,189 3,407,460 Nasdaq, Inc 17,624 1,422,722 1,887,530 Navient Corp 35,272 438,859 482,521 New Residential Investment Corp 62,458 1,045,432 1,006,198 New York Community Bancorp, Inc 111,569 1,330,315 1,341,059 Old Republic International Corp 35,736 743,648 799,414 PacWest Bancorp 34,056 1,222,369 1,303,323 People's United Financial, Inc 124,434 2,153,425 2,102,935 Pinnacle Financial Partners, Inc 21,850 1,203,562 1,398,400 PNC Financial Services Group, Inc 76,665 10,750,203 12,238,034 Progressive Corp 91,483 5,114,272 6,622,454 Radian Group, Inc 42,497 886,065 1,069,225 Raymond James Financial, Inc 17,611 1,525,215 1,575,480 Regions Financial Corp 220,314 3,781,536 3,780,588 Reinsurance Group of America, Inc 9,094 1,359,440 1,482,868 RLI Corp 5,412 487,215 487,188 S&P Global, Inc 39,977 7,108,936 10,915,720 SEI Investments Co 17,518 1,081,480 1,147,079 Selective Insurance Group, Inc 5,767 349,008 375,951 Signature Bank 10,978 1,358,108 1,499,705 SLM Corp 60,890 636,917 542,530 Starwood Property Trust, Inc REIT 49,573 1,089,147 1,232,385


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December 31, 2019


Equities (Continued) Sterling Bancorp 58,653 $ 1,103,796 $ 1,236,405 Stifel Financial Corp 7,205 395,936 436,983 Synchrony Financial 99,656 3,302,477 3,588,613 Synovus Financial Corp 36,160 1,417,653 1,417,472 T Rowe Price Group, Inc 34,869 3,548,111 4,248,439 TCF Financial Corp 34,901 1,724,566 1,633,367 Texas Capital Bancshares, Inc 13,939 756,492 791,317 Travelers Cos, Inc 40,896 5,421,649 5,600,707 Two Harbors Investment Corp REIT 38,909 504,443 568,850 UMB Financial Corp 12,922 912,083 886,966 Umpqua Holdings Corp 69,683 1,326,011 1,233,389 United Bankshares, Inc 38,020 1,439,563 1,469,853 Unum Group 23,444 1,034,505 683,627 US Bancorp 242,922 12,857,495 14,402,845 Valley National Bancorp 118,445 1,404,236 1,356,195 Voya Financial, Inc 19,887 1,212,809 1,212,709 Webster Financial Corp 23,378 1,381,021 1,247,450 Western Alliance Bancorp 23,827 1,358,413 1,358,139 White Mountains Insurance Group Ltd 197 219,756 219,755 Willis Towers Watson PLC 20,512 3,310,604 4,142,193 Wintrust Financial Corp 12,644 988,792 896,460 WR Berkley Corp 23,564 1,181,878 1,628,272 Zions Bancorporation 44,913 2,151,266 2,331,883


Abbott Laboratories 278,540 16,863,148 24,193,984 AbbVie, Inc 227,797 20,998,855 20,169,146 Agilent Technologies, Inc 47,790 3,574,027 4,076,965 Alkermes PLC 21,419 480,120 436,948 Allergan PLC 49,606 9,483,427 9,483,179 Amedisys, Inc 4,412 541,200 736,451 AmerisourceBergen Corp 22,334 1,802,139 1,898,837 Amgen, Inc 94,171 17,469,034 22,701,803 Anthem, Inc 40,141 9,243,204 12,123,786 Avantor, Inc 40,549 736,240 735,964 Baxter International, Inc 79,572 5,438,799 6,653,811 Becton Dickinson and Co 42,347 9,461,383 11,517,114 Bio-Rad Laboratories, Inc A 2,944 722,482 1,089,368 Bio-Techne Corp 5,190 767,040 1,139,257 Biogen, Inc 28,489 8,302,890 8,453,541 Boston Scientific Corp 217,180 6,653,198 9,820,880 Bristol-Myers Squibb Co 255,776 14,523,443 16,418,262 Bruker Corp 13,441 670,013 685,088 Cardinal Health, Inc 45,006 2,056,287 2,276,404 Catalent, Inc 20,774 860,095 1,169,576 Centene Corp 61,721 3,244,352 3,880,399 Cerner Corp 46,705 3,009,092 3,427,680 Charles River Laboratories International, Inc 6,621 765,650 1,011,424 Chemed Corp 2,005 560,489 880,716 Cooper Cos, Inc 7,503 1,845,575 2,410,639 CVS Health Corp 206,006 14,156,836 15,304,186




December 31, 2019


Equities (Continued) Danaher Corp 101,946 $ 10,231,011 $ 15,646,672 DaVita, Inc 15,685 954,646 1,176,846 DENTSPLY SIRONA, Inc 33,938 1,896,399 1,920,551 Edwards Lifesciences Corp 32,510 4,169,092 7,584,258 Elanco Animal Health, Inc 55,156 1,848,081 1,624,344 Eli Lilly & Co 132,290 11,862,426 17,386,875 Encompass Health Corp 14,120 767,675 978,092 Exelixis, Inc 42,805 908,397 754,224 Gilead Sciences, Inc 196,377 14,203,858 12,760,578 Globus Medical, Inc A 10,158 540,532 598,103 Haemonetics Corp 7,003 668,789 804,645 HCA Healthcare, Inc 42,088 4,054,625 6,221,027 Henry Schein, Inc 22,260 1,346,588 1,485,187 Hill-Rom Holdings, Inc 8,926 765,700 1,013,369 Hologic, Inc 40,796 1,587,108 2,129,959 Horizon Therapeutics PLC 27,081 658,524 980,332 Humana, Inc 21,010 5,686,073 7,700,585 ICU Medical, Inc 2,261 613,916 423,078 IDEXX Laboratories, Inc 13,143 2,470,610 3,432,032 Incyte Corp 27,766 2,358,340 2,424,527 Insulet Corp 9,188 1,573,032 1,572,986 Integra LifeSciences Holdings Corp 9,193 480,290 535,768 IQVIA Holdings, Inc 26,691 3,017,046 4,124,026 Jazz Pharmaceuticals PLC 7,351 1,097,394 1,097,357 Johnson & Johnson 411,608 57,137,789 60,041,259 Laboratory Corp of America Holdings 15,092 2,553,189 2,553,114 LivaNova PLC 6,393 513,547 482,224 Masimo Corp 6,334 622,117 1,001,152 McKesson Corp 28,645 3,809,354 3,962,176 Medtronic PLC 213,928 17,979,186 24,270,132 Merck & Co, Inc 398,014 24,305,281 36,199,373 Mettler-Toledo International, Inc 3,723 2,420,104 2,953,381 Molina Healthcare, Inc 9,059 878,837 1,229,216 Mylan NV 77,310 1,554,318 1,553,931 Neogen Corp 6,404 454,692 417,925 NuVasive, Inc 7,523 385,281 581,829 Penumbra, Inc 4,752 754,052 780,611 PerkinElmer, Inc 15,862 1,186,793 1,540,200 Perrigo Co PLC 19,259 1,348,184 994,920 Pfizer, Inc 860,150 31,638,814 33,700,677 PRA Health Sciences, Inc 8,736 771,551 971,006 Quest Diagnostics, Inc 20,425 2,181,288 2,181,186 Regeneron Pharmaceuticals, Inc 12,663 4,623,144 4,754,703 ResMed, Inc 22,018 2,130,040 3,412,130 STERIS PLC 11,886 1,201,532 1,811,664 Stryker Corp 51,369 8,572,990 10,784,408 Syneos Health, Inc 12,064 496,635 717,506 Tandem Diabetes Care, Inc 8,477 505,356 505,314 Teleflex, Inc 7,157 1,844,411 2,694,181 Thermo Fisher Scientific, Inc 63,014 13,336,992 20,471,358 United Therapeutics Corp 5,193 580,371 457,399


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December 31, 2019


Equities (Continued) UnitedHealth Group, Inc 149,025 $ 36,482,783 $ 43,810,370 Universal Health Services, Inc B 11,824 1,384,298 1,696,271 Varian Medical Systems, Inc 13,541 1,524,539 1,922,957 Waters Corp 10,083 1,996,359 2,355,893 WellCare Health Plans, Inc 7,528 1,644,145 2,485,821 West Pharmaceutical Services, Inc 10,701 1,095,388 1,608,681 Zimmer Biomet Holdings, Inc 32,329 3,850,245 4,839,005 Zoetis, Inc 74,163 5,701,066 9,815,473


3M Co 90,434 19,137,740 15,954,366 A.O. Smith Corp 19,388 1,107,569 923,644 Acuity Brands, Inc 5,521 811,073 761,898 AECOM 26,678 1,021,325 1,150,622 AGCO Corp 8,081 540,024 624,257 Alaska Air Group, Inc 17,581 1,126,672 1,191,113 Allegion PLC 14,637 1,246,063 1,822,892 Allison Transmission Holdings, Inc 17,276 740,760 834,776 AMERCO 983 369,436 369,431 American Airlines Group, Inc 64,554 1,851,731 1,851,409 AMETEK, Inc 36,234 3,298,896 3,613,979 Arconic, Inc 61,690 1,627,966 1,898,201 Armstrong World Industries, Inc 6,939 674,084 652,058 ASGN, Inc 5,763 427,893 409,000 Brink's Co 7,000 549,368 634,760 BWX Technologies, Inc 12,352 728,423 766,812 Carlisle Cos, Inc 7,973 890,994 1,290,350 CH Robinson Worldwide, Inc 20,036 1,653,994 1,566,815 Cintas Corp 13,859 2,359,865 3,729,180 Clean Harbors, Inc 7,404 389,537 634,893 Copart, Inc 31,978 1,472,872 2,908,079 Crane Co 5,161 427,991 445,807 Cummins, Inc 24,215 3,975,191 4,333,516 Curtiss-Wright Corp 4,509 549,322 635,273 Deere & Co 50,457 7,249,814 8,742,180 Delta Air Lines, Inc 91,435 5,192,203 5,347,119 Donaldson Co, Inc 16,772 788,151 966,403 Dover Corp 23,020 1,843,395 2,653,285 Eaton Corp PLC 68,034 5,381,088 6,444,181 EMCOR Group, Inc 5,585 429,920 481,986 Emerson Electric Co 98,641 6,500,655 7,522,363 Equifax, Inc 18,747 2,119,515 2,626,830 Expeditors International of Washington, Inc 23,871 1,517,638 1,862,415 Exponent, Inc 5,463 377,029 377,002 Fastenal Co 90,233 2,298,503 3,334,109 FedEx Corp 38,476 8,124,874 5,817,956 Flowserve Corp 19,413 823,681 966,185 Fortune Brands Home & Security, Inc 21,155 1,287,435 1,382,268 FTI Consulting, Inc 4,992 552,440 552,415 Gardner Denver Holdings, Inc 20,303 744,897 744,714 Generac Holdings, Inc 9,362 941,924 941,724




December 31, 2019


Equities (Continued) General Dynamics Corp 39,920 $ 7,787,825 $ 7,039,892 General Electric Co 1,363,348 15,221,780 15,214,964 Graco, Inc 21,961 982,887 1,141,972 HD Supply Holdings, Inc 25,177 959,466 1,012,619 HEICO Corp 5,828 486,484 665,266 Hexcel Corp 10,948 712,004 802,598 Honeywell International, Inc 113,975 16,219,310 20,173,575 Hubbell, Inc 7,741 931,156 1,144,275 Huntington Ingalls Industries, Inc 5,823 1,337,542 1,460,874 IAA, Inc 19,130 900,353 900,258 IDEX Corp 11,570 1,571,747 1,990,040 IHS Markit Ltd 60,012 2,926,184 4,521,904 Illinois Tool Works, Inc 46,522 7,105,028 8,356,747 Ingersoll-Rand PLC 38,433 3,566,859 5,108,514 Insperity, Inc 5,086 480,875 437,599 ITT, Inc 11,564 586,026 854,695 J.B. Hunt Transport Services, Inc 12,240 1,337,728 1,429,387 Jacobs Engineering Group, Inc 20,786 1,331,163 1,867,206 JetBlue Airways Corp 40,084 755,732 750,373 John Bean Technologies Corp 4,253 430,640 479,143 Johnson Controls International PLC 127,625 4,946,435 5,195,614 Kansas City Southern 15,051 1,696,210 2,305,211 KAR Auction Services, Inc 22,011 425,943 479,620 Kirby Corp 8,152 630,231 729,849 Knight-Swift Transportation Holdings, Inc 17,103 674,174 612,972 L3Harris Technologies, Inc 34,721 5,328,347 6,870,244 Landstar System, Inc 2,913 299,113 331,703 Lennox International, Inc 5,635 1,160,922 1,374,771 Lincoln Electric Holdings, Inc 7,504 666,398 725,862 Lockheed Martin Corp 38,230 12,143,406 14,885,997 Lyft, Inc 30,720 1,321,728 1,321,574 Macquarie Infrastructure Corp 10,748 591,568 460,444 ManpowerGroup, Inc 7,103 751,254 689,701 Masco Corp 44,954 1,748,814 2,157,343 MasTec, Inc 9,442 605,846 605,799 Mercury Systems, Inc 7,403 511,658 511,621 Middleby Corp 8,318 892,275 910,987 MSA Safety, Inc 3,866 373,773 488,508 MSC Industrial Direct Co, Inc A 4,626 387,191 363,002 Nielsen Holdings PLC 56,850 1,859,937 1,154,055 Nordson Corp 7,608 984,886 1,238,887 Norfolk Southern Corp 41,638 6,112,156 8,083,185 Northrop Grumman Corp 24,118 7,381,716 8,295,869 nVent Electric PLC 19,888 490,279 508,735 Old Dominion Freight Line, Inc 10,482 1,419,498 1,989,274 Oshkosh Corp 9,114 750,532 862,640 Owens Corning 16,991 1,155,786 1,106,454 PACCAR, Inc 53,989 3,712,245 4,270,530 Parker Hannifin Corp 20,821 3,669,277 4,285,378 Quanta Services, Inc 21,221 764,385 863,907 Raytheon Co 43,914 8,256,931 9,649,662


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December 31, 2019


Equities (Continued) RBC Bearings, Inc 2,974 $ 395,102 $ 470,903 Regal-Beloit Corp 4,449 350,718 380,879 Republic Services, Inc 34,220 2,345,490 3,067,139 Robert Half International, Inc 13,908 772,536 878,290 Rockwell Automation, Inc 18,543 3,053,521 3,758,110 Rollins, Inc 19,722 647,600 653,982 Ryder System, Inc 9,140 630,259 496,393 Sensata Technologies Holding PLC 23,766 1,183,704 1,280,274 Snap-on, Inc 7,742 1,210,762 1,311,495 Southwest Airlines Co 74,998 3,834,292 4,048,392 Spirit AeroSystems Holdings, Inc Cl-A 15,206 1,259,702 1,108,213 Stanley Black & Decker, Inc 24,554 3,710,897 4,069,580 Stericycle, Inc 14,129 851,488 901,572 Teledyne Technologies, Inc 5,499 1,088,643 1,905,623 Tetra Tech, Inc 6,825 373,621 588,042 Textron, Inc 33,070 1,800,776 1,474,922 Toro Co 14,604 917,602 1,163,501 TransDigm Group, Inc 8,041 3,947,426 4,502,960 TransUnion 29,502 1,817,511 2,525,666 Trex Co, Inc 8,553 562,974 768,744 Uber Technologies, Inc 34,554 1,027,809 1,027,636 Union Pacific Corp 110,360 19,950,450 19,951,984 United Airlines Holdings, Inc 34,318 2,895,157 3,023,073 United Parcel Service, Inc Cl-B 112,606 12,640,629 13,181,658 United Technologies Corp 137,678 15,530,454 20,618,657 Univar Solutions, Inc 27,475 609,729 665,994 Verisk Analytics, Inc A 25,729 2,623,353 3,842,369 WABCO Holdings, Inc 7,502 1,010,865 1,016,521 Waste Management, Inc 68,874 5,962,796 7,848,881 Watsco, Inc 4,491 755,297 809,054 Woodward, Inc 8,131 653,455 963,036 WW Grainger, Inc 7,252 1,720,006 2,454,947 XPO Logistics, Inc 14,059 833,286 1,120,502 Xylem, Inc 27,380 1,901,198 2,157,270


Accenture PLC Cl-A 99,965 15,265,692 21,049,630 ACI Worldwide, Inc 15,238 522,504 577,292 Akamai Technologies, Inc 23,987 1,861,048 2,071,997 Alliance Data Systems Corp 7,151 1,420,805 802,342 Amdocs Ltd 17,122 1,102,894 1,236,037 Amphenol Corp Cl-A 47,814 4,257,952 5,174,909 ANSYS, Inc 12,855 3,309,070 3,309,006 Applied Materials, Inc 143,560 7,419,979 8,762,902 Arrow Electronics, Inc 12,129 963,781 1,027,811 Aspen Technology, Inc 9,662 760,271 1,168,426 Automatic Data Processing, Inc 63,519 7,980,090 10,829,989 Avalara, Inc 9,118 667,939 667,894 Avnet, Inc 14,251 574,049 604,812 Black Knight, Inc 21,333 1,102,943 1,375,552 Blackbaud, Inc 6,414 599,456 510,554




December 31, 2019


Equities (Continued) Booz Allen Hamilton Holding Corp 21,187 $ 919,773 $ 1,507,031 Broadridge Financial Solutions, Inc 17,098 1,665,557 2,112,287 Cabot Microelectronics Corp 3,662 408,555 528,500 CACI International, Inc Cl-A 3,383 533,208 845,716 Cadence Design Systems, Inc 42,448 1,933,840 2,944,193 CDK Global, Inc 18,343 1,139,427 1,002,995 CDW Corp 23,412 1,875,960 3,344,170 Ceridian HCM Holding, Inc 13,507 916,923 916,855 Ciena Corp 22,773 639,688 972,179 Citrix Systems, Inc 19,500 1,760,968 2,162,550 Cognizant Technology Solutions Corp A 85,133 6,287,985 5,279,949 Coherent, Inc 3,692 776,167 614,164 CoreLogic, Inc 10,694 487,894 467,435 Cree, Inc 16,191 903,903 747,215 Cypress Semiconductor Corp 54,908 794,067 1,281,004 Dell Technologies, Inc 35,348 1,813,229 1,816,534 Dolby Laboratories, Inc Cl-A 8,063 492,217 554,734 Dropbox, Inc Cl-A 31,434 563,140 562,983 DXC Technology Co 40,062 2,981,766 1,505,931 Entegris, Inc 19,367 664,912 970,093 EPAM Systems, Inc 7,806 897,027 1,656,121 Euronet Worldwide, Inc 7,586 772,857 1,195,250 F5 Networks, Inc 8,560 1,200,282 1,195,404 Fair Isaac Corp 4,353 782,195 1,630,982 Fidelity National Information Services, Inc 98,548 11,599,374 13,707,041 First Solar, Inc 10,858 607,668 607,614 Fiserv, Inc 90,552 7,672,708 10,470,528 FleetCor Technologies, Inc 13,249 3,812,069 3,812,002 FLIR Systems, Inc 17,657 866,971 919,400 Fortinet, Inc 23,208 1,550,527 2,477,686 Gartner, Inc 13,724 1,799,685 2,114,868 Genpact Ltd 22,658 865,013 955,488 GoDaddy, Inc Cl-A 27,340 1,701,694 1,856,933 Hewlett Packard Enterprise Co 205,182 3,254,142 3,254,187 HP, Inc 232,363 5,006,660 4,775,060 Intel Corp 693,496 41,500,326 41,505,736 International Business Machines Corp 139,227 20,452,840 18,661,987 Intuit, Inc 39,608 7,035,494 10,374,523 j2 Global, Inc 5,520 428,888 517,279 Jabil, Inc 20,617 581,260 852,101 Jack Henry & Associates, Inc 10,496 1,250,872 1,528,952 Juniper Networks, Inc 49,635 1,259,918 1,222,510 KBR, Inc 20,028 610,954 610,854 Keysight Technologies, Inc 29,725 1,745,430 3,050,677 KLA Corp 24,785 2,785,297 4,415,943 Lam Research Corp 22,656 4,446,298 6,624,614 Leidos Holdings, Inc 21,939 1,387,644 2,147,609 Littelfuse, Inc 3,289 666,501 629,186 Lumentum Holdings, Inc 11,890 638,865 942,877 Manhattan Associates, Inc 8,673 398,033 691,672 Marvell Technology Group Ltd 105,455 2,801,412 2,800,885


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December 31, 2019


Equities (Continued) Maxim Integrated Products, Inc 40,449 $ 2,225,425 $ 2,488,018 MAXIMUS, Inc 5,822 390,554 433,099 MKS Instruments, Inc 7,539 741,573 829,365 Motorola Solutions, Inc 26,511 2,838,690 4,271,983 National Instruments Corp 15,843 707,654 670,793 NCR Corp 18,669 576,861 656,402 NortonLifeLock, Inc 89,359 2,506,212 2,280,442 Nuance Communications, Inc 42,568 556,334 758,987 ON Semiconductor Corp 62,793 1,363,251 1,530,893 Oracle Corp 338,585 19,273,692 17,938,233 Palo Alto Networks, Inc 14,928 3,452,175 3,452,100 Paychex, Inc 48,900 3,255,863 4,159,434 Perspecta, Inc 19,486 357,360 515,210 Pure Storage, Inc Cl-A 35,795 763,894 612,452 RealPage, Inc 10,127 556,700 544,326 RingCentral, Inc Cl-A 11,081 954,277 1,869,032 Sabre Corp 40,881 878,038 917,370 Science Applications International Corp 7,992 690,706 695,464 Seagate Technology PLC 36,881 1,642,083 2,194,420 Semtech Corp 9,084 437,490 480,544 Silicon Laboratories, Inc 5,697 540,054 660,738 Slack Technologies, Inc Cl-A 36,413 818,746 818,564 SS&C Technologies Holdings, Inc 34,783 1,632,951 2,135,676 SYNNEX Corp 5,942 639,851 765,330 Synopsys, Inc 23,030 2,114,380 3,205,776 TE Connectivity Ltd 52,960 5,075,692 5,075,686 Tech Data Corp 5,291 558,971 759,788 Teradata Corp 14,588 519,449 390,521 Teradyne, Inc 25,750 1,091,179 1,755,893 Texas Instruments, Inc 145,874 18,714,905 18,714,175 Tyler Technologies, Inc 5,695 1,123,449 1,708,614 Verint Systems, Inc 8,433 450,647 466,851 VeriSign, Inc 16,169 3,369,730 3,115,443 ViaSat, Inc 8,481 567,645 620,767 Viavi Solutions, Inc 31,514 472,868 472,710 VMware, Inc Cl-A 12,441 1,596,347 1,888,419 Western Union Co 65,038 1,296,293 1,741,718 Xerox Holdings Corp 29,312 887,098 1,080,733


Air Products & Chemicals, Inc 35,013 7,948,135 8,227,705 Alcoa Corp 30,942 1,243,465 665,562 AptarGroup, Inc 8,775 810,971 1,014,566 Ashland Global Holdings, Inc 8,641 619,187 661,296 Avery Dennison Corp 12,843 1,365,954 1,680,121 Axalta Coating Systems Ltd 32,565 1,000,434 989,976 Ball Corp 52,424 2,327,252 3,390,260 Berry Global Group, Inc 20,894 1,142,422 992,256 Celanese Corp A 17,594 1,833,781 2,166,173 CF Industries Holdings, Inc 33,527 1,600,747 1,600,579 Corteva, Inc 116,065 3,431,462 3,430,881


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December 31, 2019


Equities (Continued) Crown Holdings, Inc 22,381 $ 1,256,619 $ 1,623,518 Dow, Inc 118,832 5,891,867 6,503,675 Eagle Materials, Inc 5,448 533,088 493,916 Eastman Chemical Co 19,176 1,519,986 1,519,890 Ecolab, Inc 41,628 5,938,422 8,033,788 FMC Corp 19,540 1,628,962 1,950,483 Graphic Packaging Holding Co 47,820 701,449 796,203 Huntsman Corp 29,891 870,843 722,167 Ingevity Corp 5,946 499,912 519,561 International Flavors & Fragrances, Inc 16,869 2,346,288 2,176,438 International Paper Co 62,790 3,392,864 2,891,479 Louisiana-Pacific Corp 16,335 438,942 484,659 LyondellBasell Industries NV Cl-A 40,428 4,071,455 3,819,637 Martin Marietta Materials, Inc 10,182 2,172,868 2,847,294 NewMarket Corp 1,162 469,737 565,336 Newmont Goldcorp Corp 128,083 4,997,846 5,565,206 Nucor Corp 47,902 2,794,045 2,695,925 Olin Corp 27,095 829,586 467,389 Packaging Corp of America 14,415 1,629,714 1,614,336 PPG Industries, Inc 37,266 4,246,052 4,974,638 Reliance Steel & Aluminum Co 9,909 817,363 1,186,702 Royal Gold, Inc 9,010 933,667 1,101,473 RPM International, Inc 19,429 1,050,759 1,491,370 Scotts Miracle-Gro Co A 5,675 495,711 602,572 Sealed Air Corp 23,670 1,018,554 942,776 Sherwin-Williams Co 13,312 5,572,764 7,768,084 Sonoco Products Co 11,855 627,593 731,691 Steel Dynamics, Inc 31,317 1,175,752 1,066,031 Valvoline, Inc 25,838 580,666 553,192 Vulcan Materials Co 21,518 2,241,145 3,098,377 WR Grace & Co 9,180 645,680 641,223


Alexandria Real Estate Equities, Inc 18,812 2,415,416 3,039,643 American Campus Communities, Inc REIT 19,354 802,785 910,219 American Homes 4 Rent A 38,081 815,355 998,103 American Tower Corp REIT 70,388 10,812,964 16,176,570 Americold Realty Trust 29,433 974,532 1,031,921 Apartment Investment & Management Co A 25,057 1,134,851 1,294,194 Apple Hospitality REIT, Inc 17,104 308,851 277,940 AvalonBay Communities, Inc REIT 22,923 4,081,854 4,806,953 Boston Properties, Inc REIT 26,022 3,153,472 3,587,393 Brixmor Property Group, Inc 52,334 897,032 1,130,938 Camden Property Trust REIT 13,363 1,217,562 1,417,814 CBRE Group, Inc A 47,832 2,071,505 2,931,623 CoreSite Realty Corp REIT 5,465 584,064 612,736 Corporate Office Properties Trust 14,075 413,594 413,523 Cousins Properties, Inc 20,099 745,875 828,079 Crown Castle International Corp REIT 66,395 7,307,055 9,438,049 CubeSmart REIT 23,411 677,771 736,978 CyrusOne, Inc REIT 17,823 1,045,403 1,166,159




December 31, 2019


Equities (Continued) Digital Realty Trust, Inc REIT 34,419 $ 3,944,042 $ 4,121,331 Douglas Emmett, Inc 26,943 1,041,942 1,182,798 Duke Realty Corp REIT 56,211 1,588,214 1,948,835 EastGroup Properties, Inc REIT 4,180 396,688 554,561 EPR Properties REIT 11,017 728,989 778,241 Equinix, Inc REIT 13,530 6,103,484 7,897,461 Equity Commonwealth 467 14,474 15,332 Equity LifeStyle Properties, Inc 25,520 1,216,025 1,796,353 Equity Residential REIT 61,499 4,134,228 4,976,499 Essex Property Trust, Inc REIT 10,721 2,755,546 3,225,520 Extra Space Storage, Inc 19,463 1,730,327 2,055,682 Federal Realty Investment Trust 10,964 1,324,511 1,411,396 First Industrial Realty Trust, Inc 14,360 453,409 596,084 Gaming and Leisure Properties, Inc REIT 32,716 1,189,504 1,408,424 Healthcare Realty Trust, Inc 14,206 435,604 474,054 Healthcare Trust of America, Inc Cl-A 28,967 814,999 877,121 Healthpeak Properties, Inc 77,124 2,046,103 2,658,464 Highwoods Properties, Inc REIT 14,092 670,442 689,240 Host Hotels & Resorts, Inc REIT 112,235 2,162,523 2,081,959 Hudson Pacific Properties, Inc REIT 22,416 740,415 843,962 Invitation Homes, Inc 87,960 2,259,445 2,636,161 Iron Mountain, Inc 47,996 1,731,312 1,529,632 JBG SMITH Properties 17,176 587,058 685,151 Jones Lang LaSalle, Inc 7,141 1,015,450 1,243,177 Kilroy Realty Corp 14,626 1,035,566 1,227,121 Kimco Realty Corp REIT 67,404 1,158,316 1,395,937 Lamar Advertising Co A 12,685 897,315 1,132,263 Liberty Property Trust 25,207 1,122,459 1,513,680 Life Storage, Inc REIT 5,049 440,191 546,706 Macerich Co 26,429 1,309,795 711,469 Medical Properties Trust, Inc 69,975 1,045,775 1,477,172 Mid-America Apartment Communities, Inc

REIT 18,277 1,841,332 2,410,005 National Health Investors, Inc REIT 1,969 160,444 160,434 National Retail Properties, Inc REIT 23,525 1,010,902 1,261,410 Omega Healthcare Investors, Inc REIT 35,262 1,090,054 1,493,346 Outfront Media, Inc REIT 20,700 555,277 555,174 Park Hotels & Resorts, Inc 35,128 1,016,488 908,761 Pebblebrook Hotel Trust REIT 20,344 570,656 545,423 Physicians Realty Trust 23,206 439,638 439,522 ProLogis, Inc REIT 101,292 6,610,371 9,029,169 PS Business Parks, Inc REIT 1,382 227,857 227,850 Public Storage REIT 23,248 4,827,283 4,950,894 Rayonier, Inc REIT 16,359 512,218 535,921 Realty Income Corp 52,211 3,036,106 3,844,296 Regency Centers Corp 25,271 1,541,000 1,594,347 Rexford Industrial Realty, Inc 13,586 551,957 620,473 RLJ Lodging Trust REIT 24,619 507,731 436,249 Ryman Hospitality Properties, Inc 6,652 547,697 576,462 Sabra Health Care REIT, Inc 31,296 605,302 667,857 SBA Communications Corp 18,063 2,987,270 4,353,002


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December 31, 2019


Equities (Continued) Service Properties Trust 27,209 $ 737,926 $ 661,995 Simon Property Group, Inc REIT 49,187 7,799,878 7,326,895 SL Green Realty Corp 14,531 1,344,411 1,335,108 Spirit Realty Capital, Inc 11,990 496,446 589,668 STAG Industrial, Inc 16,430 497,376 518,695 STORE Capital Corp 30,738 845,081 1,144,683 Sun Communities, Inc 13,898 1,395,602 2,086,090 Sunstone Hotel Investors, Inc 26,224 412,188 365,038 Terreno Realty Corp REIT 5,030 272,349 272,324 UDR, Inc REIT 46,324 1,815,194 2,163,331 Ventas, Inc REIT 58,717 3,520,884 3,390,320 VEREIT, Inc 182,622 1,452,797 1,687,427 VICI Properties, Inc REIT 72,174 1,497,194 1,844,046 Vornado Realty Trust REIT 29,248 2,062,058 1,944,992 Weingarten Realty Investors 14,553 423,801 454,636 Welltower, Inc 65,260 4,382,415 5,336,963 Weyerhaeuser Co REIT 118,289 3,900,105 3,572,328 WP Carey, Inc 26,175 1,928,426 2,095,047


AES Corp 111,060 1,408,208 2,210,094 Allete, Inc 1,526 118,731 123,865 Alliant Energy Corp 30,579 1,329,089 1,673,283 Ameren Corp 37,895 2,376,426 2,910,336 American Electric Power Co, Inc 79,452 6,030,343 7,509,009 American States Water Co 2,089 181,001 180,991 American Water Works Co, Inc 27,678 2,472,691 3,400,242 Aqua America, Inc 29,500 1,053,902 1,384,730 Atmos Energy Corp 18,339 1,654,120 2,051,401 Black Hills Corp 7,984 513,246 627,063 CenterPoint Energy, Inc 80,058 2,258,649 2,183,182 CMS Energy Corp 46,449 2,284,319 2,918,855 Consolidated Edison, Inc 54,234 4,534,984 4,906,550 Dominion Energy, Inc 130,352 9,798,387 10,795,753 DTE Energy Co 29,716 3,291,017 3,859,217 Duke Energy Corp 122,154 10,436,461 11,141,666 Edison International 55,995 4,039,501 4,222,583 Entergy Corp 32,728 2,908,762 3,920,814 Evergy, Inc 34,146 1,912,923 2,222,563 Eversource Energy 51,396 3,247,679 4,372,258 Exelon Corp 156,794 6,485,686 7,148,238 FirstEnergy Corp 90,726 3,300,002 4,409,284 Hawaiian Electric Industries, Inc 9,546 350,872 447,326 IDACORP, Inc 3,188 294,485 340,478 MDU Resources Group, Inc 24,344 658,827 723,260 National Fuel Gas Co 9,992 542,722 465,028 New Jersey Resources Corp 9,906 433,409 441,510 NextEra Energy, Inc 78,726 13,157,546 19,064,288 NiSource, Inc 63,756 1,668,537 1,774,967 NorthWestern Corp 3,358 242,269 240,668 NRG Energy, Inc 36,945 1,073,707 1,468,564


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December 31, 2019


Equities (Continued) OGE Energy Corp 23,034 $ 842,475 $ 1,024,322 ONE Gas, Inc 5,437 413,287 508,740 PG&E Corp 81,717 3,459,159 888,264 Pinnacle West Capital Corp 14,258 1,218,753 1,282,222 PNM Resources, Inc 8,115 333,693 411,512 Portland General Electric Co 4,077 188,317 227,456 PPL Corp 116,586 3,907,966 4,183,106 Public Service Enterprise Group, Inc 81,405 4,171,500 4,806,965 Sempra Energy 45,545 5,405,600 6,899,157 Southern Co 172,302 8,667,600 10,975,637 Southwest Gas Holdings, Inc 6,638 528,866 504,289 Spire, Inc 6,608 493,186 550,512 UGI Corp 31,768 1,530,289 1,434,643 Vistra Energy Corp 63,352 1,379,336 1,456,462 WEC Energy Group, Inc 49,766 3,405,488 4,589,918 Xcel Energy, Inc 83,895 4,154,468 5,326,494

Total Utilities 130,158,484 154,207,765 Total Equities 2,647,722,798 3,078,367,983

Rights: 0.01% Bristol-Myers Squibb Co 116,767 248,714 351,469

Total Rights 248,714 351,469 Short-Term Investments: 5.10%


Total Short-Term Investments 163,186,567 163,186,567 Total Investments: 101.33% $ 2,811,158,079 $ 3,241,906,019



Financial Futures - Long: 639 S&P 500 E-Mini Index March 2020 $ 103,233,645 $ 289,710



(1) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds approximately 2.67% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.





Class G Class TMR Class E1 (1)

Per share operating performance: Share value, beginning of year

Income from investment operations: Net investment income (loss)(2)


$ 10.09

0.27 2.57 2.84

$ 12.93 28.11%

$ 3,086,993,504

$

$

$

9.81

0.24 2.49 2.73

12.54 27.80%

2,661,067

$

$

$

10.00

0.12 0.86 0.98

10.98 9.83%(3)

109,831,606


0.00% 2.33%

23%

0.24% 2.09%

23%

0.10%(4)

2.20%(4)

23%

(1) Commenced operations June 25, 2019. (2) Based on average number of shares outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.






Class E1(1)

Shares Share outstanding valuation

January 31, 2019 - $ -February 28, 2019 - -March 31, 2019 - -April 30, 2019 - -May 31, 2019 - -June 30, 2019 10,000,000 10.06 July 31, 2019 10,000,000 10.20 August 31, 2019 10,000,000 10.15 September 30, 2019 10,000,000 10.32 October 31, 2019 10,000,000 10.45 November 30, 2019 10,000,000 10.74 December 31, 2019 10,000,000 10.98

(1) Commenced operations June 25, 2019


WELLS FARGO FACTOR ENHANCED SMALL CAP INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 29,678,016 $ 29,678,016 Unaffiliated investments 699,435,562 738,947,657 Cash 4,018 Receivable for investment securities sold 107,648,431 Cash collateral held at broker 2,140,650 Accrued interest and dividend income 1,033,636 Variation margin receivable 35,830 Fund shares sold 838


Payable for investment securities purchased 109,302,208 Fund shares repurchased 997,927 Accrued expenses 171

Total liabilities 110,300,306 Net assets $ 769,188,770





Investment income: Dividend income from unaffiliated investments (net of foreign taxes withheld of $371) $ 11,641,009 Dividend income from affiliated short term investment 496,492 Interest income 35,433




Investments 12,031,043 Futures contracts 4,528,388

Net change in unrealized appreciation (depreciation) on: Investments 104,088,888 Futures contracts 569,943



WELLS FARGO FACTOR ENHANCED SMALL CAP INDEX CIT Schedule of Investments

December 31, 2019



AH Belo Corp A 1,591 $ 6,655 $ 4,487 Akazoo SA 7,694 40,029 40,547 AMC Entertainment Holdings, Inc Cl-A 26,434 351,002 191,382 AMC Networks, Inc A 21,325 1,233,806 842,338 ANGI Homeservices, Inc Cl-A 41,803 571,095 354,071 ATN International, Inc 5,425 316,485 300,491 Bandwidth, Inc Cl-A 8,725 514,469 558,836 Boingo Wireless, Inc 22,275 488,676 243,911 Cardlytics, Inc 10,036 631,264 630,863 Care.com, Inc 12,947 222,708 194,593 Cargurus, Inc 40,422 1,444,532 1,422,046 Cars.com, Inc 34,287 833,914 418,987 Cincinnati Bell, Inc 24,950 313,552 261,227 Cogent Communications Holdings, Inc 21,592 1,143,900 1,420,970 Consolidated Communications Holdings, Inc 39,780 483,175 154,346 Cumulus Media, Inc Cl-A 7,267 98,417 127,681 Daily Journal Corp 516 119,286 149,857 DHI Group, Inc 25,715 61,400 77,402 Emerald Expositions Events, Inc 10,512 110,996 110,902 Entravision Communications Corp A 29,508 131,224 77,311 EverQuote, Inc Cl-A 2,339 80,356 80,345 EW Scripps Co A 27,667 440,193 434,649 Fluent, Inc 18,822 92,099 47,055 Frontier Communications Corp 52,755 236,678 46,931 Gaia, Inc 6,380 90,715 50,976 Gannett Co, Inc 58,537 613,435 373,466 Globalstar, Inc 172,019 89,733 89,226 Glu Mobile, Inc 62,079 347,181 375,578 Gogo, Inc 29,601 228,904 189,446 Gray Television, Inc 45,684 727,224 979,465 Hemisphere Media Group, Inc 8,535 107,293 126,745 IDT Corp Cl-B 8,092 70,112 58,343 IHEARTMEDIA Inc Cl-A 9,524 159,878 160,956 Intelsat SA 41,644 292,966 292,757 John Wiley & Sons, Inc Cl-A 24,316 1,292,149 1,179,812 Lee Enterprises, Inc 27,522 63,544 39,081 Liberty TripAdvisor Holdings, Inc A 37,891 441,928 278,499 Marchex, Inc Cl-B 18,064 60,390 68,282 Marcus Corp 11,253 362,669 357,508 Meet Group, Inc 36,682 163,456 183,777 Meredith Corp 19,826 1,058,740 643,750 MSG Networks, Inc A 22,154 451,309 385,480 National CineMedia, Inc 39,007 271,430 284,361 NII Holdings, Inc 43,918 127,815 95,302 Ooma, Inc 9,986 119,168 132,115 ORBCOMM, Inc 21,045 88,711 88,600 QuinStreet, Inc 23,507 297,479 359,892 Reading International, Inc A 8,149 118,543 91,187 Saga Communications, Inc Cl-A 2,531 95,716 76,942 Scholastic Corp 9,986 376,468 383,962


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December 31, 2019


Equities (Continued) Sciplay Corp Cl-A 11,725 $ 144,159 $ 144,100 Shenandoah Telecommunications Co 24,413 940,541 1,015,825 Sinclair Broadcast Group, Inc A 32,551 1,221,301 1,085,250 Spok Holdings, Inc 8,871 137,920 108,492 TechTarget, Inc 11,610 303,121 303,021 Telephone & Data Systems, Inc 50,890 1,295,446 1,294,133 Tribune Publishing Co 7,709 101,641 101,450 United States Cellular Corp 8,134 333,321 294,695 Vonage Holdings Corp 117,702 873,255 872,172 WideOpenWest, Inc 26,083 206,840 193,536 Yelp, Inc 34,988 1,219,073 1,218,632


1-800-Flowers.com, Inc Cl-A 12,453 151,599 180,569 Abercrombie & Fitch Co A 32,514 631,143 562,167 Acushnet Holdings Corp 17,374 392,770 564,655 Adtalem Global Education, Inc 27,569 1,237,919 964,088 America's Car-Mart, Inc 3,181 186,664 348,828 American Axle & Manufacturing Holdings,

Inc 56,732 826,274 610,436 American Eagle Outfitters, Inc 78,811 1,158,932 1,158,522 American Outdoor Brands Corp 27,736 337,204 257,390 American Public Education, Inc 7,904 204,531 216,491 Asbury Automotive Group, Inc 9,918 696,750 1,108,733 Ascena Retail Group, Inc 5,412 186,359 41,483 Aspen Group, Inc 6,264 50,002 50,112 At Home Group, Inc 26,927 148,233 148,099 B Riley Principal Merger Corp Cl-A 7,608 76,923 76,156 Barnes & Noble Education, Inc 18,200 90,240 77,714 Bassett Furniture Industries, Inc 4,939 133,985 82,383 BBX Capital Corp 31,194 224,844 148,795 Bed Bath & Beyond, Inc 61,851 1,057,416 1,070,022 Big Lots, Inc 19,707 762,364 565,985 Biglari Holdings, Inc B 494 73,035 56,523 BJ's Restaurants, Inc 10,387 428,669 394,291 Bloomin' Brands, Inc 44,370 844,468 979,246 Bluegreen Vacations Corp 3,822 68,923 39,519 Boot Barn Holdings, Inc 14,468 333,435 644,260 Brinker International, Inc 18,884 688,374 793,128 Buckle, Inc 14,516 279,059 392,513 Build-A-Bear Workshop, Inc 5,098 35,949 16,518 Caleres, Inc 19,294 531,598 458,233 Callaway Golf Co 47,318 770,696 1,003,142 Camping World Holdings, Inc Cl-A 16,458 425,824 242,591 Carriage Services, Inc 8,440 191,423 216,064 Carrols Restaurant Group, Inc 14,328 154,735 101,012 Cato Corp Cl-A 11,069 163,892 192,601 Century Casinos, Inc 13,801 110,904 109,304 Century Communities, Inc 13,632 375,254 372,835 Cheesecake Factory, Inc 21,246 972,876 825,620 Chewy, Inc Cl-A 22,205 643,963 643,945



December 31, 2019


Equities (Continued) Chico's FAS, Inc 59,445 $ 421,150 $ 226,485 Children's Place, Inc 7,703 809,316 481,592 Choice Hotels International, Inc 18,177 1,588,834 1,880,047 Chuy's Holdings, Inc 8,564 204,231 221,979 Citi Trends, Inc 5,517 124,347 127,553 Clarus Corp 11,909 107,232 161,486 Collectors Universe, Inc 4,136 89,279 95,335 Columbia Sportswear Co 14,595 1,451,488 1,462,273 Conn's, Inc 7,835 97,115 97,076 Container Store Group, Inc 8,881 45,892 37,478 Cooper Tire & Rubber Co 25,757 796,426 740,514 Cooper-Standard Holding, Inc 8,308 760,271 275,493 Core-Mark Holding Co, Inc 23,357 698,322 635,077 Crocs, Inc 30,152 501,444 1,263,067 Culp, Inc 5,585 148,218 76,068 Dana, Inc 74,695 1,445,411 1,359,449 Dave & Buster's Entertainment, Inc 15,681 704,540 629,906 Del Taco Restaurants, Inc 14,640 175,493 115,729 Delta Apparel, Inc 2,726 57,500 84,779 Denny's Corp 29,794 468,788 592,305 Designer Brands, Inc Cl-A 31,441 649,236 494,881 Destination XL Group, Inc 13,354 28,374 17,093 Dick's Sporting Goods, Inc 32,852 1,085,174 1,625,845 Dillard's, Inc A 4,760 294,905 349,765 Dine Brands Global Inc 8,334 542,268 696,056 Dorman Products, Inc 14,097 1,044,463 1,067,425 Drive Shack, Inc 30,151 133,179 110,353 Duluth Holdings, Inc Cl-B 9,895 202,595 104,194 El Pollo Loco Holdings, Inc 10,289 120,269 155,775 Escalade, Inc 4,234 51,521 41,620 Ethan Allen Interiors, Inc 12,476 304,867 237,793 Everi Holdings, Inc 37,331 249,640 501,355 Express, Inc 33,106 189,163 161,226 Fiesta Restaurant Group, Inc 11,322 188,420 111,975 Flexsteel Industries, Inc 583 22,776 11,613 Fossil Group, Inc 23,413 184,611 184,494 Fox Factory Holding Corp 19,129 994,533 1,330,805 G-III Apparel Group Ltd 22,244 661,378 745,174 Genesco, Inc 7,148 241,979 342,532 Gentherm, Inc 3,919 162,511 173,964 GNC Holdings, Inc A 39,184 90,861 105,797 Golden Entertainment, Inc 9,196 219,014 176,747 Graham Holdings Co B 2,186 1,308,947 1,396,832 Green Brick Partners, Inc 12,348 126,525 141,755 Group 1 Automotive, Inc 8,981 664,205 898,100 Groupon, Inc 245,367 586,967 586,427 Habit Restaurants, Inc A 10,620 119,286 110,767 Hamilton Beach Brands Holding Co A 3,920 105,591 74,872 Haverty Furniture Cos, Inc 8,528 182,174 171,924 Hibbett Sports, Inc 8,961 152,186 251,266 Hilton Grand Vacations, Inc 44,033 1,404,006 1,514,295



December 31, 2019


Equities (Continued) Hooker Furniture Corp 5,949 $ 201,901 $ 152,830 Houghton Mifflin Harcourt Co 53,344 305,974 333,400 Hovnanian Enterprises, Inc 2,209 65,604 46,102 Hudson Ltd Cl-A 20,366 327,201 312,414 Hyatt Hotels Corp Cl-A 18,892 1,694,864 1,694,801 Inspired Entertainment, Inc 6,271 53,327 42,329 Installed Building Products, Inc 10,900 649,471 750,683 International Game Technology PLC 50,860 663,613 761,374 J Alexander's Holdings, Inc 6,427 66,942 61,442 J.C. Penney Co, Inc 147,262 307,308 164,933 Jack in the Box, Inc 12,911 1,080,261 1,007,445 Johnson Outdoors, Inc A 2,523 175,120 193,514 K12, Inc 19,869 400,598 404,334 KB Home 43,712 1,156,323 1,498,010 Kontoor Brands, Inc 28,966 1,219,631 1,216,282 La-Z-Boy, Inc 23,798 704,923 749,161 Lakeland Industries, Inc 3,864 49,203 41,731 Lands' End, Inc 5,687 84,957 95,542 Laureate Education, Inc A 54,091 814,593 952,543 LCI Industries 12,259 1,238,703 1,313,307 Leaf Group Ltd 10,533 84,014 42,132 Legacy Housing Corp 2,730 45,479 45,427 Levi Strauss & Co Cl-A 22,438 458,311 432,829 LGI Homes, Inc 9,877 595,516 697,810 Lifetime Brands, Inc 6,240 91,646 43,368 Lindblad Expeditions Holdings, Inc 15,735 210,378 257,267 Liquidity Services, Inc 13,917 86,897 82,945 Lovesac Co 4,732 116,102 75,949 Lumber Liquidators Holdings, Inc 14,088 137,772 137,640 M/I Homes, Inc 14,099 435,914 554,796 Malibu Boats, Inc A 10,302 360,990 421,867 Marine Products Corp 3,726 58,995 53,654 MarineMax, Inc 13,780 290,755 229,988 MasterCraft Boat Holdings, Inc 9,243 208,231 145,577 MDC Holdings, Inc 25,316 782,071 966,059 Meritage Homes Corp 18,721 915,603 1,144,040 Michaels Cos, Inc 44,468 708,647 359,746 Modine Manufacturing Co 25,092 430,280 193,208 Monarch Casino & Resort, Inc 6,230 274,831 302,467 Motorcar Parts of America, Inc 9,341 217,519 205,782 Movado Group, Inc 7,995 227,802 173,811 Murphy USA, Inc 15,308 1,194,863 1,791,036 Nathan's Famous, Inc 1,504 116,834 106,604 Noodles & Co 16,914 135,173 93,704 Office Depot, Inc 281,886 772,701 772,368 Overstock.com, Inc 17,313 132,561 122,057 Oxford Industries, Inc 8,449 608,314 637,224 Papa John's International, Inc 11,030 666,656 696,545 Party City Holdco, Inc 27,420 64,300 64,163 Peloton Interactive, Inc 21,757 619,000 617,899 Penn National Gaming, Inc 56,131 1,435,893 1,434,708



December 31, 2019


Equities (Continued) Penske Automotive Group, Inc 17,211 $ 831,548 $ 864,336 Perdoceo Education Corp 35,503 585,287 652,900 PetMed Express, Inc 9,824 302,842 231,060 Playa Hotels & Resorts 37,569 330,911 315,580 PlayAGS, Inc 13,811 257,079 167,527 Potbelly Corp 11,136 106,607 46,994 RCI Hospitality Holdings, Inc 4,555 115,141 93,378 Red Lion Hotels Corp 10,776 93,829 40,194 Red Robin Gourmet Burgers, Inc 6,569 332,912 216,908 Red Rock Resorts, Inc Cl-A 35,046 892,562 839,352 Regis Corp 12,130 196,351 216,763 Rent-A-Center, Inc 25,130 393,151 724,749 Revolve Group, Inc 6,618 121,508 121,506 Rocky Brands, Inc 3,517 77,738 103,505 RTW RetailWinds, Inc 8,480 30,590 6,792 Rubicon Project, Inc 22,900 93,587 186,864 Ruth's Hospitality Group, Inc 14,482 334,707 315,201 Sally Beauty Holdings, Inc 61,884 1,026,328 1,129,383 SeaWorld Entertainment, Inc 25,915 516,482 821,765 Select Interior Concepts, Inc A 9,773 78,918 87,859 Shake Shack, Inc Cl-A 13,336 794,492 794,426 Shiloh Industries, Inc 8,905 59,257 31,702 Shoe Carnival, Inc 4,678 125,316 174,396 Shutterstock, Inc 9,625 392,241 412,720 Sleep Number Corp 14,098 492,073 694,186 Sonic Automotive, Inc Cl-A 11,419 258,025 353,989 Sonos, Inc 32,925 415,109 514,289 Sportsman's Warehouse Holdings, Inc 21,276 99,663 170,846 Stamps.com, Inc 8,506 438,296 710,421 Standard Motor Products, Inc 9,835 450,686 523,419 Steven Madden Ltd 39,382 1,173,538 1,693,820 Stitch Fix, Inc Cl-A 27,014 597,609 693,179 Stoneridge, Inc 13,811 349,840 404,939 Strattec Security Corp 1,916 68,180 42,554 Sturm Ruger & Co, Inc 8,691 443,995 408,738 Superior Group of Cos, Inc 4,697 100,547 63,597 Superior Industries International, Inc 12,211 136,652 45,059 Tailored Brands, Inc 25,695 372,085 106,377 Target Hospitality Corp 5,224 25,707 26,120 Taylor Morrison Home Corp A 54,348 1,151,853 1,188,047 Tenneco, Inc Cl-A 26,104 800,383 341,962 Tilly's, Inc Cl-A 11,182 133,352 136,980 TravelCenters of America, Inc 3,507 74,318 60,145 TRI Pointe Group, Inc 71,188 1,149,298 1,109,109 Tuesday Morning Corp 2,991 8,082 5,533 Tupperware Brands Corp 24,272 606,240 208,254 Turtle Beach Corp 6,536 81,354 61,765 Twin River Worldwide Holdings, Inc 9,368 270,684 240,289 Unifi, Inc 6,988 212,003 176,517 Universal Electronics, Inc 7,000 232,775 365,820 Universal Technical Institute, Inc 11,152 84,531 85,982


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December 31, 2019


Equities (Continued) Urban Outfitters, Inc 29,933 $ 831,482 $ 831,239 Vera Bradley, Inc 12,156 128,027 143,441 Visteon Corp 14,442 922,528 1,250,533 VOXX International Corp 10,177 57,350 44,575 Weyco Group, Inc 2,610 75,397 69,035 William Lyon Homes A 16,285 372,120 325,374 Wingstop, Inc 14,893 832,953 1,284,223 Winmark Corp 1,321 197,658 261,954 Winnebago Industries, Inc 14,400 588,363 762,912 Wolverine World Wide, Inc 42,356 1,431,853 1,429,091 WW International, Inc 23,606 902,047 901,985 XPEL, Inc 4,308 63,389 63,112 YETI Holdings, Inc 13,619 426,333 473,669 ZAGG, Inc 14,305 190,507 116,014 Zovio, Inc 728 4,903 1,500 Zumiez, Inc 10,946 250,283 378,075


Alico, Inc 1,856 59,168 66,500 Andersons, Inc 15,654 520,928 395,733 B&G Foods, Inc 33,147 943,052 594,326 Boston Beer Co, Inc A 4,285 1,052,028 1,619,087 Cal-Maine Foods, Inc 11,780 530,273 503,595 Calavo Growers, Inc 8,408 687,042 761,681 Celsius Holdings, Inc 13,130 63,142 63,418 Central Garden & Pet Co A 21,168 694,093 621,492 Chefs' Warehouse, Inc 13,465 372,786 513,151 Coca-Cola Consolidated, Inc 2,383 550,232 676,891 Dean Foods Co 48,764 360,983 2,926 Edgewell Personal Care Co 27,867 757,773 862,762 elf Beauty, Inc 16,708 281,494 269,500 Energizer Holdings, Inc 31,570 1,586,026 1,585,445 Farmer Brothers Co 7,153 178,083 107,724 Fresh Del Monte Produce, Inc 15,556 608,443 544,149 Freshpet, Inc 16,311 514,675 963,817 Hain Celestial Group, Inc 41,818 709,075 1,085,386 HF Foods Group, Inc 4,578 89,270 89,271 Hostess Brands, Inc 59,235 751,091 861,277 Ingles Markets, Inc Cl-A 7,178 208,152 341,027 Inter Parfums, Inc 8,990 487,705 653,663 J&J Snack Foods Corp 7,611 1,122,346 1,402,479 John B Sanfilippo & Son, Inc 4,400 293,900 401,632 Lancaster Colony Corp 9,794 1,347,746 1,568,019 Landec Corp 13,145 164,718 148,670 Lifevantage Corp 6,641 87,166 103,666 Limoneira Co 374 8,162 7,192 Medifast, Inc 5,731 597,488 628,003 MGP Ingredients, Inc 6,835 469,965 331,156 National Beverage Corp 5,933 513,101 302,702 Natural Grocers by Vitamin Cottage, Inc 6,366 84,681 62,832 Natural Health Trends Corp 2,045 31,037 11,002


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December 31, 2019


Equities (Continued) New Age Beverages Corp 36,332 $ 155,393 $ 66,124 Nu Skin Enterprises, Inc A 27,991 1,148,446 1,147,071 Oil-Dri Corp of America 2,610 98,415 94,613 Pilgrim's Pride Corp 27,271 706,719 892,171 PriceSmart, Inc 10,228 784,808 726,393 Primo Water Corp 17,785 227,541 199,637 Pyxus International, Inc 4,355 70,154 38,934 Reed's, Inc 11,500 41,538 10,465 Revlon, Inc Cl-A 3,314 71,936 70,986 Rite Aid Corp 23,390 603,778 361,843 Sanderson Farms, Inc 10,033 1,361,815 1,768,015 Seaboard Corp 132 543,574 561,073 Seneca Foods Corp A 3,355 109,971 136,850 Simply Good Foods Co 43,462 853,476 1,240,405 SpartanNash Co 17,999 366,092 256,306 Spectrum Brands Holdings, Inc 23,888 1,209,613 1,535,760 Sprouts Farmers Market, Inc 60,927 1,150,559 1,178,937 Tootsie Roll Industries, Inc 8,569 285,842 292,546 Turning Point Brands, Inc 4,210 125,870 120,406 United Natural Foods, Inc 27,731 623,733 242,924 Universal Corp 12,525 711,079 714,677 USANA Health Sciences, Inc 6,325 530,042 496,829 Vector Group Ltd 58,755 884,004 786,729 Veru, Inc 10,300 34,886 34,505 Village Super Market, Inc Cl-A 4,550 115,994 105,560 WD-40 Co 6,850 944,025 1,329,859 Weis Markets, Inc 8,439 361,659 341,695


Abraxas Petroleum Corp 72,340 67,479 25,399 Adams Resources & Energy, Inc 1,280 48,927 48,730 Altus Midstream Co 29,641 105,451 84,773 Amplify Energy Corp 13,739 82,570 90,815 Antero Resources Corp 150,689 430,187 429,464 Apergy Corp 39,816 1,350,766 1,344,985 Arch Coal, Inc A 7,271 587,439 521,622 Archrock, Inc 76,481 768,168 767,869 Aspen Aerogels, Inc 8,365 66,445 64,912 Berry Petroleum Corp 35,509 357,098 334,850 Bonanza Creek Energy, Inc 9,165 186,570 213,911 Brigham Minerals, Inc Cl-A 8,557 183,169 183,462 Cactus, Inc A 24,334 770,094 835,143 Centennial Resource Development, Inc A 101,777 714,000 470,210 Chaparral Energy, Inc Cl-A 5,535 25,394 9,742 Chesapeake Energy Corp 683,780 567,948 564,529 CONSOL Energy, Inc 11,628 443,847 168,722 Conture Energy, Inc 9,688 433,161 87,676 Core Laboratories NV 22,672 854,970 854,054 Covia Holdings Corp 16,400 47,140 33,456 CVR Energy, Inc 15,088 610,071 610,008 Delek US Holdings, Inc 38,210 1,508,651 1,281,181



December 31, 2019


Equities (Continued) DHT Holdings, Inc 47,714 $ 217,398 $ 395,072 Diamond S Shipping, Inc 11,009 137,769 184,291 DMC Global, Inc 7,353 256,355 330,444 Earthstone Energy, Inc A 9,881 64,711 62,547 Era Group, Inc 10,180 104,352 103,531 Evolution Petroleum Corp 14,337 102,700 78,423 Exterran Corp 15,387 351,203 120,480 Extraction Oil & Gas, Inc 39,920 84,774 84,630 Falcon Minerals Corp 19,578 158,390 138,221 Geospace Technologies Corp 6,853 103,945 114,925 Goodrich Petroleum Corp 6,749 82,965 67,760 Green Plains, Inc 18,967 306,194 292,661 Gulf Island Fabrication, Inc 6,201 61,521 31,439 Gulfport Energy Corp 78,783 629,574 239,500 Halcon Resources Corp 123 261,003 1,654 Hallador Energy Co 11,628 61,825 34,535 HI CRUSH INC COMMON STOCK 43,370 38,040 38,278 International Seaways, Inc 13,286 395,701 395,391 ION Geophysical Corp 5,295 87,536 45,961 KLX Energy Services Holdings, Inc 11,590 197,226 74,640 Laredo Petroleum, Inc 95,607 275,071 274,392 Liberty Oilfield Services, Inc A 27,644 368,871 307,401 Lonestar Resources US, Inc Cl-A 2,143 6,519 5,593 Magnolia Oil & Gas Corp 61,299 692,165 771,141 Matrix Service Co 13,595 226,404 311,054 McDermott International, Inc 87,797 960,692 59,404 Montage Resources Corp 10,788 85,771 85,657 National Energy Services Reunited Corp 12,850 117,578 117,192 Natural Gas Services Group, Inc 6,328 143,769 77,581 Navigator Holdings Ltd 2,426 23,685 32,678 New Fortress Energy LLC 4,999 60,224 78,334 Newpark Resources, Inc 44,912 371,513 281,598 NexTier Oilfield Solutions, Inc 27,552 315,908 184,598 Nine Energy Service, Inc 7,763 60,682 60,707 Northern Oil and Gas, Inc 147,860 284,178 345,992 Oceaneering International, Inc 51,116 762,451 762,140 Overseas Shipholding Group, Inc A 38,017 87,112 87,439 Panhandle Oil and Gas, Inc A 5,261 57,940 58,976 Par Pacific Holdings, Inc 19,260 378,747 447,602 Parker Drilling Co 4,728 94,127 106,380 PDC Energy, Inc 32,312 845,767 845,605 Peabody Energy Corp 37,583 342,945 342,757 Penn Virginia Corp 7,869 321,694 238,824 ProPetro Holding Corp 43,196 681,943 485,955 Renewable Energy Group, Inc 19,746 303,381 532,155 REX American Resources Corp 2,904 236,269 238,012 RigNet, Inc 4,848 69,075 31,997 Ring Energy, Inc 30,649 81,100 80,913 RPC, Inc 30,293 212,551 158,735 SandRidge Energy, Inc 17,967 117,149 76,180 SEACOR Holdings, Inc 9,739 450,156 420,238


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December 31, 2019


Equities (Continued) SEACOR Marine Holdings, Inc 9,958 $ 144,872 $ 137,321 Select Energy Services, Inc A 27,269 312,361 253,056 SilverBow Resources, Inc 3,703 73,653 36,660 Solaris Oilfield Infrastructure, Inc A 16,227 242,690 227,178 Southwestern Energy Co 290,301 1,206,219 702,528 SRC Energy, Inc 125,932 519,469 518,840 Talos Energy, Inc 10,295 193,332 310,394 TETRA Technologies, Inc 60,900 176,030 119,364 US Well Services, Inc 61 273 115 VAALCO Energy, Inc 27,674 44,641 61,436 W&T Offshore, Inc 48,779 216,205 271,211 World Fuel Services Corp 32,506 924,041 1,411,411


1st Constitution Bancorp 3,993 76,732 88,365 1st Source Corp 3,985 187,993 206,742 ACNB Corp 3,526 113,129 133,353 AG Mortgage Investment Trust, Inc 16,827 296,823 259,472 Alerus Financial Corp 2,758 63,010 63,020 Allegiance Bancshares, Inc 9,993 358,533 375,737 Amalgamated Bank A 9,105 165,203 177,092 Ambac Financial Group, Inc 23,149 404,386 499,324 Amerant Bancorp, Inc 11,132 211,670 242,566 American National Bankshares, Inc 5,424 204,991 214,628 American National Insurance Co 4,816 590,696 566,747 Ameris Bancorp 33,868 1,444,499 1,440,745 AMERISAFE, Inc 9,822 621,786 648,547 Ames National Corp 4,696 134,452 131,770 Anworth Mortgage Asset Corp 50,069 243,103 176,243 Apollo Commercial Real Estate Finance, Inc

REIT 78,788 1,443,992 1,441,033 Arbor Realty Trust, Inc 43,368 462,308 622,331 Ares Commercial Real Estate Corp 13,364 182,561 211,686 Ares Management Corp A 39,611 955,507 1,413,717 Argo Group International Holdings Ltd 17,106 1,033,634 1,124,719 Arrow Financial Corp 7,522 251,084 284,332 Artisan Partners Asset Management, Inc A 27,544 852,090 890,222 Ashford, Inc 160 3,469 3,776 Associated Capital Group, Inc Cl-A 18 668 706 Atlantic Capital Bancshares, Inc 11,510 197,287 211,208 Atlantic Union Bankshares Corp 41,002 1,463,057 1,539,625 Atlanticus Holdings Corp 965 8,270 8,695 Auburn National BanCorp, Inc 918 47,435 48,654 Axos Financial, Inc 27,343 821,209 827,946 B. Riley Financial, Inc 9,055 169,014 228,005 Banc of California, Inc 23,144 424,808 397,614 BancFirst Corp 9,690 541,332 605,044 Bancorp of New Jersey, Inc 2,457 44,787 43,956 Bancorp, Inc 26,658 280,196 345,754 BancorpSouth Bank 48,839 1,413,659 1,534,033 Bank First Corp 3,459 237,276 242,165



December 31, 2019


Equities (Continued) Bank of Commerce Holdings 8,851 $ 101,529 $ 102,406 Bank of Marin Bancorp 6,785 258,289 305,664 Bank of Princeton 2,937 93,862 92,486 BankFinancial Corp 7,774 117,992 101,684 Bankwell Financial Group, Inc 3,236 103,385 93,326 Banner Corp 17,267 980,154 977,140 Bar Harbor Bankshares 7,552 213,092 191,745 Baycom Corp 5,943 130,040 135,144 BCB Bancorp, Inc 7,315 101,095 100,874 Berkshire Hills Bancorp, Inc 23,516 810,994 773,206 BGC Partners, Inc Cl-A 149,091 785,572 885,601 Blucora, Inc 24,529 628,996 641,188 BOK Financial Corp 15,072 1,139,766 1,317,293 Boston Private Financial Holdings, Inc 42,553 597,699 511,913 Bridge Bancorp, Inc 9,402 308,855 315,249 Bridgewater Bancshares, Inc 11,254 128,810 155,080 BrightSphere Investment Group, Inc 36,118 496,571 369,126 Brookline Bancorp, Inc 40,298 625,233 663,305 Bryn Mawr Bank Corp 10,225 428,605 421,679 Business First Bancshares, Inc 6,673 162,289 166,358 Byline Bancorp, Inc 11,830 234,407 231,513 C&F Financial Corp 1,653 92,375 91,460 Cadence BanCorp 63,441 1,310,310 1,150,185 Cambridge Bancorp 2,407 199,823 192,921 Camden National Corp 7,739 330,676 356,458 Cannae Holdings, Inc 34,353 766,604 1,277,588 Capital Bancorp, Inc 3,158 46,604 47,023 Capital City Bank Group, Inc 5,729 139,466 174,735 Capitol Federal Financial, Inc 67,956 913,925 933,036 Capstar Financial Holdings, Inc 6,012 101,202 100,100 Capstead Mortgage Corp 48,134 402,420 381,221 Carolina Financial Corp 10,894 397,560 470,948 Carolina Trust Bancshares, Inc 1,044 13,419 13,624 Carter Bank & Trust 12,699 248,217 301,220 Cathay General Bancorp 39,125 1,402,747 1,488,706 CB Financial Services, Inc 2,707 65,896 81,589 CBTX, Inc 9,698 289,485 301,802 CenterState Bank Corp 63,922 1,647,686 1,596,772 Central Pacific Financial Corp 14,046 411,624 415,481 Central Valley Community Bancorp 5,896 119,542 127,766 Century Bancorp, Inc Cl-A 1,437 117,816 129,273 Chemung Financial Corp 1,739 79,697 73,908 Citizens & Northern Corp 6,740 168,784 190,405 Citizens Community Bancorp, Inc 4,857 57,414 59,353 Citizens, Inc 25,090 174,756 169,358 City Holding Co 8,196 594,030 671,662 Civista Bancshares, Inc 7,647 159,040 183,528 CNA Financial Corp 14,304 671,421 640,962 CNB Financial Corp 7,567 212,518 247,290 Coastal Financial Corp 3,928 61,254 64,694 Codorus Valley Bancorp, Inc 5,108 133,234 117,637



December 31, 2019


Equities (Continued) Cohen & Steers, Inc 11,857 $ 521,779 $ 744,145 Colony Bankcorp, Inc 2,351 38,129 38,792 Colony Credit Real Estate, Inc 25,435 334,923 334,725 Columbia Banking System, Inc 37,414 1,340,224 1,522,189 Columbia Financial, Inc 24,965 378,643 422,907 Community Bank System, Inc 4,273 263,035 303,127 Community Bankers Trust Corp 11,329 95,751 100,602 Community Financial Corp 2,514 86,140 89,423 Community Trust Bancorp, Inc 7,839 358,687 365,611 ConnectOne Bancorp, Inc 15,831 395,919 407,173 County Bancorp, Inc 2,799 75,764 71,738 Cowen, Inc Cl-A 13,289 183,540 209,302 Crawford & Co Cl-A 8,753 80,336 100,397 CrossFirst Bankshares, Inc 2,098 30,092 30,253 Curo Group Holdings Corp 8,197 120,146 99,839 Customers Bancorp, Inc 14,738 377,067 350,912 Diamond Hill Investment Group, Inc 1,646 295,686 231,197 Dime Community Bancshares, Inc 15,633 316,774 326,573 Donegal Group, Inc Cl-A 6,139 95,919 90,980 Donnelley Financial Solutions, Inc 15,692 272,520 164,295 Dynex Capital, Inc 12,580 230,073 213,105 Eagle Bancorp Montana, Inc 3,003 54,413 64,234 Eagle Bancorp, Inc 15,999 941,653 778,031 eHealth, Inc 10,839 941,376 1,041,411 Elevate Credit, Inc 13,754 81,911 61,205 Ellington Financial, Inc 15,389 276,778 282,080 Ellington Residential Mortgage REIT 4,669 53,255 50,659 Employers Holdings, Inc 16,075 721,697 671,131 Encore Capital Group, Inc 15,708 572,390 555,435 Enova International, Inc 16,584 336,821 399,011 Entegra Financial Corp 3,478 93,691 104,896 Enterprise Bancorp, Inc 4,436 150,901 150,247 Enterprise Financial Services Corp 12,126 539,146 584,594 Equity Bancshares, Inc Cl-A 7,458 255,516 230,228 Esquire Financial Holdings, Inc 3,029 74,836 78,966 ESSA Bancorp, Inc 4,762 76,177 80,716 Evans Bancorp, Inc 2,523 105,245 101,172 Evercore, Inc Cl-A 17,614 1,317,302 1,316,823 Exantas Capital Corp 15,731 161,005 185,783 Ezcorp, Inc Cl-A 24,378 247,512 166,258 Farmers & Merchants Bancorp Inc/Archbold 5,777 209,472 174,177 Farmers National Banc Corp 13,005 187,272 212,242 FB Financial Corp 8,529 328,764 337,663 FBL Financial Group, Inc Cl-A 4,966 358,130 292,646 Federal Agricultural Mortgage Corp Cl-C 4,612 344,225 385,102 Federated Investors, Inc B 49,741 1,471,377 1,621,059 FedNat Holding Co 6,111 129,308 101,626 FGL Holdings 81,805 686,224 871,223 Fidelity D&D Bancorp, Inc 1,366 87,147 84,979 Financial Institutions, Inc 7,909 243,795 253,879 First Bancorp, Inc 5,276 152,189 159,493



December 31, 2019


Equities (Continued) First Bancorp/Southern Pines 14,986 $ 550,344 $ 598,091 First Bancshares, Inc 8,473 274,968 300,961 First Bank/Hamilton 9,768 121,456 107,936 First Busey Corp 25,951 751,177 713,652 First Business Financial Services, Inc 4,162 95,410 109,585 First Capital, Inc 1,682 84,319 122,786 First Choice Bancorp 5,090 111,827 137,226 First Citizens BancShares, Inc A 2,261 943,457 1,203,327 First Commonwealth Financial Corp. 50,058 706,828 726,342 First Community Bancshares, Inc 6,979 218,024 216,489 First Community Corp 3,517 75,416 76,002 First Defiance Financial Corp 9,838 272,869 309,799 First Financial Bancorp 50,085 1,162,597 1,274,162 First Financial Corp 5,887 263,279 269,154 First Financial Northwest, Inc 4,093 66,591 61,149 First Foundation, Inc 20,023 328,205 348,400 First Guaranty Bancshares, Inc 2,823 61,006 61,457 First Internet Bancorp 4,875 146,364 115,586 First Interstate BancSystem, Inc A 21,743 859,018 911,467 First Merchants Corp 25,276 1,030,333 1,051,229 First Mid Bancshares, Inc 6,693 240,184 235,928 First Midwest Bancorp, Inc 56,308 1,317,844 1,298,462 First Northwest Bancorp 4,528 74,548 82,093 First of Long Island Corp 12,366 334,343 310,139 First Savings Financial Group, Inc 723 48,321 48,513 First United Corp 3,343 72,434 80,533 First Western Financial, Inc 760 12,787 12,517 Flagstar Bancorp, Inc 14,428 469,539 551,871 Flushing Financial Corp 13,786 365,809 297,847 FNCB Bancorp, Inc 8,921 69,224 75,382 Franklin Financial Network, Inc 6,862 222,755 235,572 Franklin Financial Services Corp 1,448 56,304 56,023 FS Bancorp, Inc 2,009 107,135 128,154 Fulton Financial Corp 84,352 1,380,789 1,470,255 FVCBankcorp, Inc 5,813 98,951 101,553 GAIN Capital Holdings, Inc 13,131 75,976 51,867 GAMCO Investors, Inc A 2,724 63,202 53,091 Genworth Financial, Inc A 258,629 1,047,762 1,137,968 German American Bancorp, Inc 12,704 428,093 452,516 Goosehead Insurance, Inc 6,874 228,050 291,458 Granite Point Mortgage Trust, Inc REIT 27,674 512,468 508,648 Great Ajax Corp 9,436 130,137 139,747 Great Elm Capital Group, Inc 7,606 30,135 25,404 Great Southern Bancorp, Inc 6,149 332,407 389,355 Great Western Bancorp, Inc 29,139 1,115,047 1,012,289 Greenlight Capital Re Ltd Cl-A 14,730 127,233 148,920 Guaranty Bancshares, Inc 3,956 122,267 130,073 Hallmark Financial Services, Inc 6,748 82,676 118,562 Hamilton Lane, Inc Cl-A 12,593 598,930 750,543 Hanmi Financial Corp 15,859 424,946 317,101 HarborOne Bancorp, Inc 8,895 90,825 97,756



December 31, 2019


Equities (Continued) Hawthorn Bancshares, Inc 2,968 $ 66,349 $ 75,684 HCI Group, Inc 3,282 128,419 149,823 Health Insurance Innovations, Inc A 6,316 162,179 121,836 Heartland Financial USA, Inc 17,640 863,963 877,414 Heritage Commerce Corp 29,324 408,858 376,227 Heritage Financial Corp 18,728 575,988 530,002 Heritage Insurance Holdings, Inc 13,223 204,469 175,205 Hilltop Holdings, Inc 36,359 805,843 906,430 Hingham Institution for Savings 822 161,736 172,784 Home Bancorp, Inc 3,941 162,317 154,448 HomeStreet, Inc 12,208 336,764 415,072 HomeTrust Bancshares, Inc 8,293 218,287 222,501 Hope Bancorp, Inc 62,558 1,028,932 929,612 Horace Mann Educators Corp 20,922 885,302 913,455 Horizon Bancorp, Inc 19,905 363,388 378,195 Houlihan Lokey, Inc 21,135 951,382 1,032,867 Howard Bancorp, Inc 6,842 120,328 115,493 Impac Mortgage Holdings, Inc 2,660 13,813 13,992 Independence Holding Co 2,514 82,819 105,789 Independent Bank Corp 28,791 1,567,136 1,708,738 Independent Bank Group, Inc 18,332 1,016,817 1,016,326 International Bancshares Corp 29,645 1,018,680 1,276,810 INTL. FCStone, Inc 8,288 345,218 404,703 Invesco Mortgage Capital, Inc REIT 73,359 1,208,534 1,221,427 Investar Holding Corp 4,719 115,413 113,256 Investors Bancorp, Inc 116,728 1,305,353 1,390,814 Investors Title Co 665 118,668 105,868 James River Group Holdings Ltd 15,081 614,079 621,488 Kearny Financial Corp 40,667 568,820 562,425 Kingstone Cos, Inc 4,695 70,974 36,386 Kinsale Capital Group, Inc 10,472 601,533 1,064,584 KKR Real Estate Finance Trust, Inc 12,322 248,291 251,615 Ladder Capital Corp 50,843 764,470 917,208 Ladenburg Thalmann Financial Services, Inc 50,874 152,531 177,042 Lakeland Bancorp, Inc 24,824 462,371 431,441 Lakeland Financial Corp 12,689 592,452 620,873 LCNB Corp 5,916 106,633 114,179 Level One Bancorp, Inc 3,019 73,297 75,958 Live Oak Bancshares, Inc 13,074 285,107 248,537 Luther Burbank Corp 7,492 85,491 86,383 Macatawa Bank Corp 13,634 141,888 151,746 Mackinac Financial Corp 4,758 67,948 83,075 MainStreet Bancshares, Inc 2,491 57,161 57,293 Malvern Bancorp, Inc 3,971 93,883 91,690 Marlin Business Services Corp 4,417 103,959 97,086 Medallion Financial Corp 6,550 47,596 47,619 Mercantile Bank Corp 8,183 281,202 298,434 Merchants Bancorp 8,248 196,148 162,568 Mercury General Corp 14,084 755,409 686,313 Meridian Bancorp, Inc 24,648 456,441 495,178 Meta Financial Group, Inc 18,037 488,699 658,531



December 31, 2019


Equities (Continued) Metropolitan Bank Holding Corp 2,624 $ 107,592 $ 126,556 Mid Penn Bancorp, Inc 3,569 86,303 102,787 Middlefield Banc Corp 3,095 71,873 80,749 Midland States Bancorp, Inc 11,400 338,844 330,144 MidWestOne Financial Group, Inc 7,583 255,606 274,732 MMA Capital Management LLC 2,352 64,855 74,794 Moelis & Co A 25,127 1,078,744 802,054 Morningstar, Inc 2,088 224,073 315,935 Mr Cooper Group, Inc 37,351 448,052 467,261 MutualFirst Financial, Inc 3,411 121,083 135,314 MVB Financial Corp 5,235 95,735 130,456 National Bank Holdings Corp Cl-A 14,042 473,746 494,559 National Bankshares, Inc 3,267 140,697 146,786 National General Holdings Corp 33,974 759,984 750,825 National Western Life Group, Inc A 1,210 385,584 351,965 NBT Bancorp, Inc 21,789 818,103 883,762 Nelnet, Inc Cl-A 10,006 577,325 582,749 New York Mortgage Trust, Inc REIT 134,913 825,128 840,508 NewsStar Financial, Inc (1) 7,416 1,791 74 NI Holdings, Inc 4,814 80,526 82,801 Nicolet Bankshares, Inc 4,104 236,509 303,080 NMI Holdings, Inc Cl-A 33,752 644,951 1,119,891 Northeast Bank 4,365 100,040 95,986 Northfield Bancorp, Inc 22,257 359,379 377,479 Northrim BanCorp, Inc 3,394 117,502 129,990 Northwest Bancshares, Inc 51,633 873,711 858,657 Norwood Financial Corp 3,083 97,681 119,929 Oak Valley Bancorp 3,515 72,578 68,402 OceanFirst Financial Corp 25,588 668,746 653,518 Ocwen Financial Corp 47,897 153,011 65,619 Ohio Valley Banc Corp 1,973 78,062 78,170 Old National Bancorp 86,295 1,433,097 1,578,336 Old Point Financial Corp 1,162 34,166 31,943 Old Second Bancorp, Inc 14,577 197,749 196,352 On Deck Capital, Inc 32,703 174,580 135,390 OP Bancorp 6,346 55,542 65,808 Oppenheimer Holdings, Inc Cl-A 4,538 123,616 124,704 Opus Bank 14,168 354,274 366,526 Orchid Island Capital, Inc 32,430 190,079 189,715 Origin Bancorp, Inc 10,095 339,897 381,995 Orrstown Financial Services, Inc 5,256 123,369 118,891 Pacific Mercantile Bancorp 9,957 83,070 80,851 Pacific Premier Bancorp, Inc 29,949 1,002,591 976,487 Park National Corp 6,391 660,131 654,311 Parke Bancorp, Inc 4,677 97,026 118,749 PB Bancorp, Inc 1,568 23,746 23,771 PCB Bancorp 5,005 85,492 86,486 PCSB Financial Corp 7,966 157,900 161,312 Peapack Gladstone Financial Corp 9,741 308,204 300,997 Penns Woods Bancorp, Inc 3,503 104,042 124,567 PennyMac Financial Services, Inc 21,532 553,067 732,949



December 31, 2019


Equities (Continued) PennyMac Mortgage Investment Trust REIT 44,341 $ 844,802 $ 988,361 People's Utah Bancorp 8,411 259,435 253,339 Peoples Bancorp of North Carolina, Inc 2,247 66,511 73,814 Peoples Bancorp, Inc 9,778 326,393 338,905 Peoples Financial Services Corp 3,581 161,785 180,303 Pioneer Bancorp, Inc 5,848 88,870 89,533 Piper Jaffray Cos 6,974 518,082 557,502 PJT Partners, Inc A 10,323 444,282 465,877 Plumas Bancorp 906 20,551 23,900 Ponce de Leon Federal Bank 4,150 60,940 61,005 Preferred Bank 7,198 410,971 432,528 Premier Financial Bancorp, Inc 6,117 100,086 110,962 ProAssurance Corp 27,141 1,022,212 980,876 ProSight Global, Inc 2,408 38,677 38,841 Protective Insurance Corp B 3,796 82,127 61,078 Provident Bancorp, Inc 3,991 46,638 49,688 Provident Financial Holdings, Inc 3,062 59,108 67,058 Provident Financial Services, Inc 31,442 816,060 775,045 Prudential Bancorp, Inc 3,577 64,261 66,282 Pzena Investment Management, Inc Cl-A 8,929 95,011 76,968 QCR Holdings, Inc 7,594 315,707 333,073 RBB Bancorp 7,601 197,815 160,913 Ready Capital Corp 15,918 228,881 245,456 Redwood Trust, Inc 56,311 892,768 931,384 Regional Management Corp 4,629 121,008 139,009 Reliant Bancorp, Inc 5,019 121,674 111,623 Renasant Corp 28,484 1,080,883 1,008,903 Republic Bancorp, Inc Cl-A 6,302 267,899 294,934 Republic First Bancorp, Inc 13,094 102,442 54,733 Richmond Mutual BanCorp, Inc 6,503 102,851 103,788 Riverview Bancorp, Inc 10,931 93,771 89,744 Riverview Financial Corp 3,825 45,303 47,774 S&T Bancorp, Inc 17,279 674,719 696,171 Sachem Capital Corp 7,599 33,073 32,980 Safeguard Scientifics, Inc 10,311 113,608 113,215 Safety Insurance Group, Inc 7,636 648,568 706,559 Sandy Spring Bancorp, Inc 17,769 671,458 673,090 Santander Consumer USA Holdings, Inc 51,213 1,233,468 1,196,848 SB Financial Group, Inc 3,250 61,504 63,993 SB One Bancorp 4,186 106,387 104,315 Sculptor Capital Management, Inc 5,718 126,670 126,368 Seacoast Banking Corp of Florida 25,729 673,767 786,536 Select Bancorp, Inc 8,194 98,173 100,786 ServisFirst Bancshares, Inc 23,710 904,886 893,393 Severn Bancorp, Inc 4,019 34,612 37,417 Shore Bancshares, Inc 6,512 108,790 113,048 Siebert Financial Corp 3,248 39,351 28,095 Sierra Bancorp 7,274 192,617 211,819 Silvercrest Asset Management Group, Inc A 4,104 55,994 51,628 Simmons First National Corp A 47,622 1,346,369 1,275,793 SmartFinancial, Inc 6,467 142,001 152,945



December 31, 2019


Equities (Continued) South State Corp 17,243 $ 1,271,369 $ 1,495,830 Southern First Bancshares, Inc 3,619 141,690 153,771 Southern Missouri Bancorp, Inc 3,114 112,510 119,453 Southern National Bancorp of Virginia, Inc 11,826 187,110 193,355 Southside Bancshares, Inc 16,461 569,058 611,362 Spirit of Texas Bancshares, Inc 7,173 160,604 164,979 Standard AVB Financial Corp 2,628 77,122 78,761 State Auto Financial Corp 8,915 265,106 276,543 Sterling Bancorp, Inc 8,003 99,647 64,824 Stewart Information Services Corp 11,995 476,820 489,276 Stock Yards Bancorp, Inc 10,478 384,397 430,227 Summit Financial Group, Inc 5,562 140,687 150,675 Territorial Bancorp, Inc 4,111 122,096 127,194 TFS Financial Corp 26,349 472,476 518,548 Timberland Bancorp, Inc 3,480 100,431 103,495 Tiptree, Inc 11,795 77,360 96,011 Tompkins Financial Corp 6,675 555,788 610,762 Towne Bank 32,877 993,469 914,638 TPG RE Finance Trust, Inc 29,356 581,867 595,046 Trico Bancshares 12,442 483,279 507,758 TriState Capital Holdings, Inc 12,432 277,463 324,724 Triumph Bancorp, Inc 11,980 411,511 455,480 Trupanion, Inc 14,793 442,067 554,146 TrustCo Bank Corp 48,835 413,232 423,399 Trustmark Corp 30,570 994,843 1,054,971 Two River Bancorp 3,711 66,697 83,126 Union Bankshares Inc/Morrisville 1,662 76,852 60,264 United Community Banks, Inc 40,377 1,117,691 1,246,842 United Community Financial Corp 24,071 228,437 280,668 United Fire Group, Inc 10,999 520,346 480,986 United Insurance Holdings Corp 10,815 179,207 136,377 United Security Bancshares 7,427 79,565 79,692 Unity Bancorp, Inc 4,121 85,169 93,011 Universal Insurance Holdings, Inc 15,927 470,092 445,797 Univest Financial Corp 14,459 394,659 387,212 Veritex Holdings, Inc 26,146 701,877 761,633 Victory Capital Holdings, Inc A 7,956 100,859 166,837 Virtu Financial, Inc A 39,356 841,615 629,302 Virtus Investment Partners, Inc 3,372 395,914 410,440 Waddell & Reed Financial, Inc Cl-A 36,818 686,991 615,597 Walker & Dunlop, Inc 14,728 780,266 952,607 Washington Federal, Inc 39,900 1,320,651 1,462,335 Washington Trust Bancorp, Inc 7,684 410,607 413,322 Waterstone Financial, Inc 12,021 213,872 228,760 WesBanco, Inc 32,806 1,308,846 1,239,739 West BanCorp, Inc 7,522 178,789 192,789 Westamerica BanCorp 13,391 795,297 907,508 Western Asset Mortgage Capital Corp 26,561 260,418 274,375 Western New England Bancorp, Inc 12,241 125,560 117,881 Westwood Holdings Group, Inc 4,136 214,748 122,508 White Mountains Insurance Group Ltd 200 205,316 223,102


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December 31, 2019


Equities (Continued) World Acceptance Corp 3,463 $ 368,091 $ 299,203 WSFS Financial Corp 26,769 1,207,829 1,177,568


10X Genomics, Inc Cl-A 5,264 401,711 401,380 A Schulman, Inc (1) 9,344 4,046 93 Accuray, Inc 44,745 201,392 126,181 Acorda Therapeutics, Inc 23,129 401,361 47,183 Adamas Pharmaceuticals, Inc 11,990 45,526 45,442 Adamis Pharmaceuticals Corp 100 311 70 Addus HomeCare Corp 7,043 457,919 684,720 ADMA Biologics, Inc 25,440 80,911 101,760 Aeglea BioTherapeutics, Inc 13,121 96,243 100,244 Agenus, Inc 53,948 219,870 219,568 AgeX Therapeutics, Inc 127 382 231 Akcea Therapeutics, Inc 8,457 184,938 143,262 Akebia Therapeutics, Inc 59,091 359,674 373,455 Akorn, Inc 51,369 682,917 77,054 Albireo Pharma, Inc 2,811 74,708 71,456 Alector, Inc 14,499 255,416 249,818 Allscripts Healthcare Solutions, Inc 85,457 1,052,268 838,760 Alphatec Holdings, Inc 12,085 85,923 85,743 AMAG Pharmaceuticals, Inc 15,397 237,992 187,381 American Renal Associates Holdings, Inc 7,045 86,153 73,057 AMN Healthcare Services, Inc 23,703 1,295,097 1,476,934 Amneal Pharmaceuticals, Inc 61,611 863,634 296,965 Amphastar Pharmaceuticals, Inc 18,456 348,889 356,016 Anavex Life Sciences Corp 26,414 82,322 68,412 AngioDynamics, Inc 19,007 351,043 304,302 ANI Pharmaceuticals, Inc 4,758 288,318 293,426 Anika Therapeutics, Inc 6,826 324,003 353,928 Antares Pharma, Inc 42,145 198,499 198,082 Apollo Medical Holdings, Inc 10,409 173,297 191,630 Apyx Medical Corp 15,795 79,997 133,626 Arcturus Therapeutics Holdings, Inc 486 5,249 5,283 Arena Pharmaceuticals, Inc 25,846 1,174,577 1,173,925 ArQule, Inc 58,056 363,872 1,158,798 Arvinas Holding Co LLC 7,103 125,669 291,862 Assembly Biosciences, Inc 11,635 238,248 238,052 Assertio Therapeutics, Inc 41,668 160,694 52,085 Athenex, Inc 30,413 484,254 464,407 Athersys, Inc 70,879 129,081 87,181 Atreca, Inc 4,841 76,221 74,890 AtriCure, Inc 19,832 536,809 644,738 Atrion Corp 736 519,965 553,104 Avanos Medical, Inc 24,792 1,074,992 835,490 AVEO Pharmaceuticals, Inc 84,126 134,416 52,520 Avid Bioservices, Inc 26,864 123,225 206,047 Axsome Therapeutics, Inc 12,891 333,227 1,332,414 Baudax Bio, Inc 3,567 17,886 24,684 Beyondspring, Inc 9,966 203,755 154,473



December 31, 2019


Equities (Continued) BioDelivery Sciences International, Inc 43,249 $ 167,718 $ 273,334 BioLife Solutions, Inc 7,715 106,327 124,829 BioSig Technologies, Inc 6,934 41,755 41,049 BioSpecifics Technologies Corp 2,949 149,874 167,916 Brookdale Senior Living, Inc 94,013 684,781 683,475 Cantel Medical Corp 19,366 1,373,508 1,373,049 Capital Senior Living Corp 12,322 38,568 38,075 Cardiovascular Systems, Inc 17,355 507,937 843,279 CareDx, Inc 20,133 426,659 434,269 CASI Pharmaceuticals, Inc 6,466 32,899 19,980 Castlight Health, Inc B 49,524 65,832 65,867 Catalyst Pharmaceuticals, Inc 51,637 194,140 193,639 Catasys, Inc 3,800 70,947 61,978 CEL-SCI Corp 17,182 148,185 157,215 Celcuity, Inc 3,047 63,310 32,420 Chembio Diagnostics, Inc 7,723 45,426 35,217 ChromaDex Corp 20,541 93,782 88,532 Cohbar, Inc 6,584 42,784 10,534 Coherus Biosciences, Inc 30,596 551,153 550,881 Collegium Pharmaceutical, Inc 16,577 276,968 341,155 Community Health Systems, Inc 58,696 158,543 170,218 Computer Programs & Systems, Inc 6,001 171,096 158,426 Conformis, Inc 32,975 118,773 49,463 CONMED Corp 14,445 980,007 1,615,384 Corbus Pharmaceuticals Holdings, Inc 31,862 213,889 173,967 Corcept Therapeutics, Inc 54,196 861,165 655,772 Cortexyme, Inc 2,314 130,088 129,908 CorVel Corp 4,968 319,763 434,004 Covetrus, Inc 49,274 650,919 650,417 Crinetics Pharmaceuticals, Inc 841 22,120 21,101 Cross Country Healthcare, Inc 17,974 205,860 208,858 CryoLife, Inc 18,623 451,444 504,497 CryoPort, Inc 17,649 220,121 290,503 Cue Biopharma, Inc 9,310 110,290 147,796 Cutera, Inc 6,797 219,615 243,401 Cyclerion Therapeutics, Inc 12,627 168,952 34,345 Cytokinetics, Inc 29,777 338,457 315,934 Deciphera Pharmaceuticals, Inc 17,264 1,073,101 1,074,511 Denali Therapeutics, Inc 33,502 689,226 583,605 Diplomat Pharmacy, Inc 29,643 332,577 118,572 Dova Pharmaceuticals, Inc (1) 6,521 3,521 3,521 Durect Corp 93,326 110,141 354,639 Dyadic International, Inc 7,904 41,154 40,943 Eagle Pharmaceuticals, Inc 5,852 311,540 351,588 Eidos Therapeutics, Inc 2,704 155,367 155,183 Elanco Animal Health, Inc (1) 21,876 551 551 Eloxx Pharmaceuticals, Inc 6,578 80,699 48,414 Emergent BioSolutions, Inc 22,159 1,097,828 1,195,478 Enanta Pharmaceuticals, Inc 9,100 651,609 562,198 Endo International PLC 102,780 457,422 482,038 Endologix, Inc 8,874 14,135 14,021



December 31, 2019


Equities (Continued) Enochian Biosciences, Inc 7,432 $ 34,172 $ 37,309 Ensign Group, Inc 25,978 859,706 1,178,622 Envista Holdings Corp. 16,008 474,557 474,477 Enzo Biochem, Inc 22,387 150,142 58,878 Evelo Biosciences, Inc 6,055 52,038 24,583 EyePoint Pharmaceuticals, Inc 32,693 58,461 50,674 Fluidigm Corp 35,691 389,067 124,205 FONAR Corp 3,237 86,983 63,737 Fulgent Genetics, Inc 4,345 55,911 56,051 Genesis Healthcare, Inc 33,092 54,105 54,271 GenMark Diagnostics, Inc 15,321 73,852 73,694 Hanger, Inc 18,484 364,013 510,343 Harpoon Therapeutics, Inc 2,075 30,655 30,689 Harrow Health, Inc 11,846 97,886 92,162 Harvard Bioscience, Inc 19,434 66,543 59,274 Health Catalyst, Inc 3,950 137,190 137,065 HealthStream, Inc 13,533 371,493 368,098 Heska Corp 3,706 337,292 355,554 HMS Holdings Corp 43,784 1,059,160 1,296,006 Icad, Inc 7,159 55,531 55,625 IGM Biosciences, Inc 730 27,860 27,857 Immunic, Inc 2,575 22,683 24,978 InfuSystem Holdings, Inc 4,050 33,675 34,547 Innoviva, Inc 31,894 426,367 451,619 Inogen, Inc 11,100 736,991 758,463 Inovalon Holdings, Inc A 35,925 514,831 676,109 Inspire Medical Systems, Inc 9,269 687,979 687,853 Integer Holdings Corp 16,661 1,042,443 1,340,044 Intersect ENT, Inc 15,058 439,741 374,944 IntriCon Corp 4,215 124,605 75,870 Invacare Corp 16,549 201,190 149,272 Invitae Corp 47,767 658,618 770,482 iRadimed Corp 2,801 66,709 65,487 Ironwood Pharmaceuticals, Inc 78,448 711,926 1,044,143 Joint Corp 6,895 122,684 111,285 Jounce Therapeutics, Inc 8,516 111,097 74,345 KalVista Pharmaceuticals, Inc 4,797 97,354 85,435 Kezar Life Sciences, Inc 2,856 21,471 11,453 Kindred Biosciences, Inc 2,438 22,101 20,674 Kodiak Sciences, Inc 9,578 169,920 689,137 Krystal Biotech, Inc 5,683 180,927 314,725 La Jolla Pharmaceutical Co 10,112 39,860 39,740 Lannett Co, Inc 18,151 253,936 160,092 Lantheus Holdings, Inc 19,903 389,462 408,211 LeMaitre Vascular, Inc 8,466 260,873 304,353 Lexicon Pharmaceuticals, Inc 21,501 89,236 89,229 LHC Group, Inc 14,972 1,200,422 2,062,543 Ligand Pharmaceuticals, Inc 9,467 1,064,768 987,313 Lineage Cell Therapeutics, Inc 56,274 49,949 50,084 Luminex Corp 21,589 491,224 500,001 Magellan Health, Inc 11,319 903,975 885,712



December 31, 2019


Equities (Continued) Mallinckrodt PLC 42,204 $ 124,815 $ 147,292 MannKind Corp 97,113 164,393 125,276 Marker Therapeutics, Inc 7,455 58,811 21,470 Matinas BioPharma Holdings, Inc 72,367 61,129 164,273 MediciNova, Inc 3,109 26,818 20,955 Mednax, Inc 42,064 1,053,392 1,168,959 Medpace Holdings, Inc 14,202 763,247 1,193,820 MEI Pharma, Inc 39,017 97,324 96,762 MeiraGTx Holdings PLC 2,468 49,427 49,409 Menlo Therapeutics, Inc 7,330 41,950 34,011 Meridian Bioscience, Inc 22,035 319,395 215,282 Merit Medical Systems, Inc 28,007 874,681 874,379 Mersana Therapeutics, Inc 9,410 54,168 53,919 Mesa Laboratories, Inc 2,041 401,971 509,025 Misonix, Inc 7,178 129,741 133,583 Molecular Templates, Inc 10,159 82,783 142,074 Momenta Pharmaceuticals, Inc 50,791 1,001,690 1,002,106 Myriad Genetics, Inc 36,846 1,223,812 1,003,317 Nabriva Therapeutics PLC 34,627 83,497 45,708 NanoString Technologies, Inc 18,186 375,258 505,935 Natera, Inc 32,793 708,965 1,104,796 National HealthCare Corp 6,241 457,652 539,410 National Research Corp 6,627 286,885 436,984 Natus Medical, Inc 16,766 581,354 553,110 NeoGenomics, Inc 48,980 726,514 1,432,665 Neos Therapeutics, Inc 25,387 72,785 38,334 Neuronetics, Inc 6,120 90,236 27,479 Nevro Corp 14,882 1,748,806 1,749,230 NextCure, Inc 2,174 122,529 122,461 NextGen Healthcare, Inc 25,225 397,180 405,366 NGM Biopharmaceuticals, Inc 8,777 161,992 162,287 Nuvectra Corp 9,612 124,139 913 Omeros Corp 24,045 339,061 338,794 Omnicell, Inc 21,004 1,275,672 1,716,447 Oncocyte Corp 20,376 49,550 45,846 OPKO Health, Inc 182,267 507,889 267,932 OptimizeRx Corp 6,358 79,263 65,297 Optinose, Inc 9,902 91,359 91,296 Option Care Health, Inc 64,169 176,343 239,350 OraSure Technologies, Inc 30,932 248,523 248,384 Orthofix Medical, Inc 9,606 504,794 443,605 OrthoPediatrics Corp 4,602 148,573 216,248 Owens & Minor, Inc 30,963 413,326 160,079 Oxford Immunotec Global PLC 13,522 187,345 224,465 Pacira BioSciences, Inc 21,200 890,419 960,360 Palatin Technologies, Inc 113,621 109,040 88,874 Patterson Cos, Inc 43,998 943,389 901,079 PDL BioPharma, Inc 58,046 167,704 188,359 Pennant Group, Inc 12,345 57,101 408,249 Personalis, Inc 4,718 51,502 51,426 PetIQ, Inc 9,766 246,829 244,638



December 31, 2019


Equities (Continued) Pfenex, Inc 16,152 $ 99,382 $ 177,349 Phibro Animal Health Corp A 10,424 339,062 258,828 Phreesia, Inc 4,879 130,072 129,977 Pieris Pharmaceuticals, Inc 26,178 138,080 94,764 Precision BioSciences, Inc 11,938 161,628 165,819 Premier, Inc Cl-A 31,892 1,129,168 1,208,069 Prestige Consumer Healthcare, Inc 25,730 985,386 1,042,065 Prevail Therapeutics, Inc 3,263 51,574 51,653 Principia Biopharma, Inc 12,118 500,307 663,824 Protagonist Therapeutics, Inc 10,418 82,943 73,447 Provention Bio, Inc 15,786 234,373 235,211 Providence Service Corp 5,973 365,840 353,482 Psychemedics Corp 1,665 24,387 15,235 Puma Biotechnology, Inc 17,978 227,837 157,308 Quanterix Corp 7,591 215,950 179,375 Quidel Corp 18,806 981,623 1,411,014 R1 RCM, Inc 47,270 326,692 613,565 Ra Pharmaceuticals, Inc 17,570 563,147 824,560 Radius Health, Inc 24,649 496,865 496,924 RadNet, Inc 21,084 262,587 428,005 Recro Pharma, Inc 9,453 87,363 173,273 Relmada Therapeutics, Inc 4,254 166,009 165,906 Replimune Group, Inc 4,605 63,141 66,082 Repro-Med Systems, Inc 11,650 75,656 76,075 Rigel Pharmaceuticals, Inc 40,689 86,879 87,074 Rockwell Medical, Inc 30,401 90,250 74,178 RTI Surgical, Inc 38,305 164,156 104,956 SeaSpine Holdings Corp 8,246 113,089 99,034 Select Medical Holdings Corp 55,148 985,191 1,287,154 Seres Therapeutics, Inc 17,359 57,635 59,889 SI-BONE, Inc 8,235 167,081 177,053 SIGA Technologies, Inc 28,043 185,877 133,765 Simulations Plus, Inc 6,276 125,738 182,443 SmileDirectClub, Inc 30,456 266,259 266,185 Spero Therapeutics, Inc 5,810 66,169 55,863 Spring Bank Pharmaceuticals, Inc 1,871 18,491 2,956 STAAR Surgical Co 22,835 597,815 803,107 Stereotaxis, Inc 8,474 44,318 44,827 Stoke Therapeutics, Inc 2,872 80,870 81,335 Strongbridge Biopharma PLC 21,046 111,976 43,986 Supernus Pharmaceuticals, Inc 26,292 1,007,226 623,646 SurModics, Inc 6,901 264,175 285,908 Sutro Biopharma, Inc 4,711 53,190 51,821 T2 Biosystems, Inc 16,907 86,874 19,781 Tactile Systems Technology, Inc 9,309 411,999 628,451 TCR2 Therapeutics, Inc 4,677 66,991 66,788 Tenet Healthcare Corp 51,448 972,206 1,956,567 Tivity Health, Inc 21,465 666,441 436,705 Tocagen, Inc 7,652 49,190 4,080 TransMedics Group, Inc 4,013 76,312 76,287 Trevena, Inc 43,601 44,142 36,664


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December 31, 2019


Equities (Continued) Twist Bioscience Corp 10,883 $ 252,900 $ 228,543 Tyme Technologies, Inc 13,154 30,192 18,416 US Physical Therapy, Inc 6,482 577,318 741,217 Utah Medical Products, Inc 1,772 151,392 191,199 Vanda Pharmaceuticals, Inc 26,747 450,252 438,918 Vapotherm, Inc 4,604 55,946 55,985 Varex Imaging Corp 20,207 640,799 602,371 Veracyte, Inc 24,359 471,106 680,103 Vericel Corp 22,726 280,760 395,432 Verrica Pharmaceuticals, Inc 3,269 36,982 51,944 Viela Bio, Inc 1,890 50,901 51,314 Voyager Therapeutics, Inc 15,254 212,810 212,793 X4 Pharmaceuticals, Inc 6,292 93,088 67,324 Xencor, Inc 26,375 907,920 907,036 Xeris Pharmaceuticals, Inc 6,294 72,355 44,373 XOMA Corp 3,263 77,271 89,080 Zynex, Inc 8,413 75,114 66,210


AAON, Inc 86 4,256 4,249 AAR Corp 15,080 600,752 680,108 ABM Industries, Inc 33,565 1,257,196 1,265,736 ACCO Brands Corp 48,863 569,854 457,358 Advanced Disposal Services, Inc 36,007 923,955 1,183,550 Aegion Corp 15,532 288,527 347,451 Aerojet Rocketdyne Holdings, Inc 37,441 1,273,862 1,709,556 Air Transport Services Group, Inc 29,685 668,521 696,410 Aircastle Ltd 26,750 585,190 856,268 Alamo Group, Inc 5,880 610,386 738,234 Albany International Corp Cl-A 15,755 1,048,600 1,196,120 Allegiant Travel Co 6,772 944,239 1,178,599 Allied Motion Technologies, Inc 4,053 140,893 196,571 Altra Industrial Motion Corp 19,769 716,913 715,835 Ameresco, Inc Cl-A 9,701 110,400 169,768 American Superconductor Corp 9,815 72,127 77,048 American Woodmark Corp 8,104 728,902 846,949 Apogee Enterprises, Inc 13,117 556,341 426,303 Applied Industrial Technologies, Inc 19,609 1,232,432 1,307,724 ARC Document Solutions, Inc 2,727 5,899 3,791 ArcBest Corp 12,768 430,039 352,397 Arcosa, Inc 24,961 931,422 1,112,013 Armstrong Flooring, Inc 10,182 137,735 43,477 Astec Industries, Inc 6,935 291,320 291,270 Astronics Corp 12,579 409,076 351,583 Atkore International Group, Inc 23,560 515,723 953,238 Atlas Air Worldwide Holdings, Inc 13,238 667,338 364,972 AZZ, Inc 13,370 599,514 614,352 Babcock & Wilcox Enterprises, Inc 4,526 16,561 16,475 Barnes Group, Inc 232 12,826 14,375 Barrett Business Services, Inc 3,693 260,870 334,069 Beacon Roofing Supply, Inc 35,386 1,280,907 1,131,644



December 31, 2019


Equities (Continued) BG Staffing, Inc 4,673 $ 89,218 $ 102,292 Blue Bird Corp 7,728 150,523 177,126 BlueLinx Holdings, Inc 4,639 159,911 66,106 BMC Stock Holdings, Inc 33,732 698,447 967,771 Brady Corp A 24,495 1,005,851 1,402,584 Briggs & Stratton Corp 21,396 409,755 142,497 BrightView Holdings, Inc 15,712 265,724 265,061 Builders FirstSource, Inc 58,158 1,010,192 1,477,795 CAI International, Inc 8,247 236,434 238,998 Casella Waste Systems, Inc A 23,346 634,584 1,074,616 CBIZ, Inc 26,934 514,920 726,141 Ceco Environmental Corp 14,693 101,983 112,548 Columbus McKinnon Corp 11,742 429,330 470,032 Comfort Systems USA, Inc 18,465 838,975 920,480 Commercial Vehicle Group, Inc 15,905 122,496 100,997 Construction Partners, Inc 9,478 117,705 159,894 Continental Building Products, Inc 17,722 483,817 645,612 Cornerstone Building Brands, Inc 32,327 352,037 275,103 Covanta Holding Corp 60,400 972,899 896,336 Covenant Transportation Group, Inc Cl-A 6,654 170,178 86,003 CRA International, Inc 3,950 175,988 215,157 CSW Industrials, Inc 7,665 404,563 590,205 Cubic Corp 16,068 1,022,124 1,021,443 Daseke, Inc 24,858 197,876 78,551 Deluxe Corp 21,933 912,749 1,094,895 Douglas Dynamics, Inc 11,237 467,293 618,035 Ducommun, Inc 5,537 203,264 279,785 DXP Enterprises, Inc 8,435 288,576 335,797 Eagle Bulk Shipping, Inc 12,585 57,911 57,891 Eastern Co 2,803 77,936 85,576 Echo Global Logistics, Inc 13,515 324,904 279,761 Encore Wire Corp 10,540 515,885 604,996 Ennis, Inc 12,921 257,220 279,740 EnPro Industries, Inc 10,430 777,719 697,558 ESCO Technologies, Inc 12,947 825,851 1,197,597 EVI Industries, Inc 1,645 62,690 44,481 Evoqua Water Technologies Corp 36,740 577,171 696,223 ExOne Co 5,443 40,617 40,605 Federal Signal Corp 30,519 700,179 984,238 Forrester Research, Inc 5,416 236,242 225,847 Forward Air Corp 14,552 859,948 1,017,912 Foundation Building Materials, Inc 10,358 156,745 200,427 Franklin Covey Co 4,941 123,148 159,248 Franklin Electric Co, Inc 20,141 923,671 1,154,482 FTI Consulting, Inc 822 49,722 90,963 Gates Industrial Corp PLC 22,962 259,075 315,957 Genco Shipping & Trading Ltd 7,929 84,294 84,206 Gencor Industries, Inc 4,605 69,734 53,740 General Finance Corp 7,418 73,673 82,117 Gibraltar Industries, Inc 16,445 665,783 829,486 GMS, Inc 20,868 568,133 565,105



December 31, 2019


Equities (Continued) Gorman-Rupp Co 9,034 $ 289,580 $ 338,775 GP Strategies Corp 6,474 145,155 85,651 Graham Corp 4,902 103,950 107,256 Great Lakes Dredge & Dock Corp 32,648 222,308 369,902 Greenbrier Cos, Inc 16,409 740,924 532,144 Griffon Corp 21,064 397,504 428,231 H&E Equipment Services, Inc 16,216 542,477 542,101 Hawaiian Holdings, Inc 23,548 805,043 689,721 HC2 Holdings, Inc 21,514 97,230 46,685 Healthcare Services Group, Inc 38,102 1,421,471 926,641 Heartland Express, Inc 23,524 441,506 495,180 Heidrick & Struggles International, Inc 9,538 278,883 309,985 Helios Technologies, Inc 880 39,838 40,682 Heritage-Crystal Clean, Inc 8,304 183,225 260,496 Herman Miller, Inc 30,674 1,085,050 1,277,572 Hill International, Inc 20,370 60,260 64,369 Hillenbrand, Inc 33,980 1,324,550 1,131,874 HNI Corp 21,647 757,121 810,897 Houston Wire & Cable Co 9,656 53,421 42,583 Hub Group, Inc A 16,702 721,724 856,646 Hurco Cos, Inc 3,315 137,565 127,163 Huron Consulting Group, Inc 11,532 595,152 792,479 Hyster-Yale Materials Handling, Inc 5,241 357,240 309,009 ICF International, Inc 9,278 582,311 850,050 IES Holdings, Inc 4,166 77,475 106,900 InnerWorkings, Inc 22,586 174,758 124,449 Interface, Inc 29,005 583,740 481,193 JELD-WEN Holding, Inc 34,324 726,002 803,525 Kadant, Inc 5,602 568,716 590,115 Kaman Corp 14,161 838,106 933,493 Kelly Services, Inc A 16,839 426,693 380,225 Kforce, Inc 11,661 321,078 462,942 Kimball International, Inc B 18,059 324,507 373,280 Knoll, Inc 25,009 526,782 631,727 Lawson Products, Inc 2,292 66,356 119,413 LB Foster Co A 4,507 97,774 87,346 Lindsay Corp 5,520 503,355 529,865 LSI Industries, Inc 13,313 75,353 80,544 Lydall, Inc 8,641 368,155 177,313 Manitex International, Inc 7,398 59,468 44,018 Marten Transport Ltd 19,977 394,729 429,306 Matson, Inc 21,466 683,566 875,813 Matthews International Corp A 15,626 816,417 596,444 Maxar Technologies, Inc 29,144 242,755 456,686 McGrath RentCorp 12,306 639,957 941,901 Meritor, Inc 41,516 978,623 1,087,304 Mesa Air Group, Inc 14,337 127,981 128,173 Miller Industries, Inc 5,675 162,641 210,713 Mistras Group, Inc 8,846 162,401 126,232 Moog, Inc A 16,570 1,517,669 1,413,918 Mueller Industries, Inc 28,242 879,975 896,683



December 31, 2019


Equities (Continued) Mueller Water Products, Inc A 79,893 $ 958,940 $ 957,118 MYR Group, Inc 8,266 267,971 269,389 Navistar International Corp 24,486 708,943 708,625 Northwest Pipe Co 4,938 102,012 164,485 NOW, Inc 55,661 669,033 625,630 NV5 Global, Inc 5,070 319,088 255,782 Omega Flex, Inc 1,497 104,268 160,613 Orion Group Holdings, Inc 7,711 40,069 40,020 PAM Transportation Services, Inc 895 37,729 51,650 Park Aerospace Corp 9,646 177,832 156,940 Park-Ohio Holdings Corp 4,432 180,085 149,137 Parsons Corp 10,916 451,083 450,612 Patrick Industries, Inc 10,973 576,895 575,314 PGT Innovations, Inc 29,142 434,770 434,507 Pitney Bowes, Inc 90,773 672,406 365,815 Powell Industries, Inc 4,612 141,851 225,942 Preformed Line Products Co 1,164 79,881 70,247 Primoris Services Corp 23,337 579,765 519,015 Quad/Graphics, Inc 16,629 278,349 77,657 Quanex Building Products Corp 17,122 321,726 292,444 Radiant Logistics, Inc 18,961 96,575 105,613 Raven Industries, Inc 18,337 653,750 631,893 Resideo Technologies, Inc 63,154 1,332,113 753,427 Resources Connection, Inc 15,569 247,171 254,242 REV Group, Inc 13,165 237,459 161,008 RR Donnelley & Sons Co 35,543 191,697 140,395 Rush Enterprises, Inc Cl-A 14,381 634,322 668,717 Saia, Inc 13,131 886,648 1,222,759 Schneider National, Inc Cl-B 29,143 712,800 635,900 Simpson Manufacturing Co, Inc 20,223 1,318,184 1,622,491 SiteOne Landscape Supply, Inc 20,260 1,841,681 1,836,569 SkyWest, Inc 24,755 1,603,958 1,599,916 SP Plus Corp 11,496 419,062 487,775 Spartan Motors, Inc 16,431 203,109 297,072 SPX Corp 22,198 1,129,521 1,129,434 SPX FLOW, Inc 21,329 890,043 1,042,348 Standex International Corp 6,260 560,836 496,731 Steelcase, Inc A 43,744 676,599 895,002 Sterling Construction Co, Inc 13,717 198,939 193,135 Systemax, Inc 7,191 191,620 180,926 Team, Inc 15,137 226,698 241,738 Tennant Co 8,624 579,089 671,982 Terex Corp 34,261 1,051,360 1,020,293 Thermon Group Holdings, Inc 16,756 378,382 449,061 Timken Co 35,275 1,396,261 1,986,335 Titan International, Inc 25,358 116,325 91,796 Titan Machinery, Inc 9,863 165,893 145,775 TPI Composites, Inc 16,955 390,915 313,837 Transcat, Inc 3,533 77,728 112,561 TriMas Corp 23,303 694,360 731,947 TriNet Group, Inc 22,549 1,045,823 1,276,499


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December 31, 2019


Equities (Continued) TrueBlue, Inc 20,241 $ 511,604 $ 486,998 Twin Disc, Inc 6,168 119,758 67,971 Ultralife Corp 6,994 59,093 51,686 UniFirst Corp 7,864 1,272,790 1,588,371 Universal Forest Products, Inc 30,853 1,138,049 1,471,688 Universal Logistics Holdings, Inc 5,883 127,796 111,542 US Ecology, Inc 4,895 266,822 283,469 US Xpress Enterprises, Inc A 10,637 61,618 53,504 USA Truck, Inc 3,961 64,529 29,509 Valmont Industries, Inc 10,792 1,378,125 1,616,426 Vectrus, Inc 5,785 182,109 296,539 Veritiv Corp 8,150 223,312 160,311 Viad Corp 10,387 595,148 701,123 VSE Corp 4,449 184,184 169,240 Wabash National Corp 28,433 531,765 417,681 Watts Water Technologies, Inc A 14,087 1,051,345 1,405,319 Welbilt, Inc 66,483 1,253,442 1,037,800 Werner Enterprises, Inc 22,814 789,830 830,201 Wesco Aircraft Holdings, Inc 30,004 332,402 330,644 WESCO International, Inc 21,610 1,044,872 1,283,418 Willdan Group, Inc 5,463 173,664 173,614 Willis Lease Finance Corp 1,352 47,145 79,646 Willscot Corp 29,013 317,262 536,450 YRC Worldwide, Inc 16,742 151,785 42,692


A10 Networks, Inc 25,354 170,570 174,182 Acacia Communications, Inc 18,835 929,218 1,277,201 ACM Research, Inc Cl-A 5,425 88,414 100,091 Actua Corp (1) 8,938 — 89 Adesto Technologies Corp 13,493 91,980 114,690 ADTRAN, Inc 24,792 426,178 245,193 Advanced Energy Industries, Inc 19,522 1,119,616 1,389,966 Agilysys, Inc 10,502 171,153 266,856 Airgain, Inc 4,679 64,270 50,019 Alarm.com Holdings, Inc 18,405 887,616 790,863 Alpha & Omega Semiconductor Ltd 10,312 155,302 140,449 Altair Engineering, Inc A 17,562 586,722 630,651 American Software, Inc Cl-A 14,898 189,692 221,682 Amkor Technology, Inc 31,640 320,773 411,320 Anixter International, Inc 15,453 1,035,581 1,423,221 Appfolio, Inc A 8,222 545,175 904,009 Appian Corp 16,835 594,537 643,265 AstroNova, Inc 3,453 65,165 47,375 Asure Software, Inc 6,560 69,660 53,661 Avaya Holdings Corp 56,813 1,001,585 766,975 Avid Technology, Inc 18,888 105,263 162,059 Axcelis Technologies, Inc 16,270 403,849 392,026 AXT, Inc 17,749 122,866 77,208 Badger Meter, Inc 14,749 712,650 957,653 Bel Fuse, Inc Cl-B 5,109 127,835 104,735



December 31, 2019


Equities (Continued) Benchmark Electronics, Inc 19,190 $ 540,437 $ 659,368 Brightcove, Inc 19,723 174,062 171,393 CalAmp Corp 20,104 349,980 192,596 Calix, Inc 24,366 164,373 194,928 Cardtronics PLC A 18,948 513,678 846,028 Casa Systems, Inc 14,030 175,860 57,383 Cass Information Systems, Inc 6,865 344,616 396,385 Cerence, Inc 18,036 409,094 408,155 ChannelAdvisor Corp 13,663 151,765 123,514 Cirrus Logic, Inc 29,896 1,231,575 2,463,729 Cision Ltd 46,837 556,049 466,965 Clearfield, Inc 5,745 75,682 80,085 Cloudflare, Inc Cl-A 35,374 601,549 603,480 CommScope Holding Co, Inc 99,620 1,414,823 1,413,608 CommVault Systems, Inc 21,459 1,226,628 957,930 Comtech Telecommunications Corp 12,192 325,047 432,694 Crowdstrike Holdings, Inc 10,762 536,755 536,701 CSG Systems International, Inc 16,629 711,895 861,050 CTS Corp 16,396 463,075 492,044 CyberOptics Corp 3,566 56,217 65,543 Daktronics, Inc 19,110 168,481 116,380 DASAN Zhone Solutions, Inc 6,110 54,227 54,135 Datadog, Inc Cl-A 8,938 337,496 337,678 Diebold Nixdorf, Inc 38,717 505,972 408,852 Digi International, Inc 14,658 172,756 259,740 Digimarc Corp 5,895 198,216 197,836 Digital Turbine, Inc 35,454 196,198 252,787 Diodes, Inc 20,614 717,346 1,162,011 Domo, Inc Cl-B 12,555 313,148 272,695 DSP Group, Inc 10,699 141,153 168,402 Ebix, Inc 11,881 709,231 396,944 EchoStar Corp A 24,340 923,301 1,054,165 eGain Corp 9,977 93,664 79,018 EMCORE Corp 13,741 81,757 41,773 Enphase Energy, Inc 50,392 1,316,703 1,316,743 Envestnet, Inc 25,943 1,753,106 1,806,411 ePlus, Inc 6,806 591,965 573,678 Everspin Technologies, Inc 6,630 44,476 34,874 Evo Payments, Inc Cl-A 18,390 491,602 485,680 Exela Technologies, Inc 748 2,758 305 ExlService Holdings, Inc 17,128 1,056,595 1,189,711 Extreme Networks, Inc 62,346 604,514 459,490 Five9, Inc 30,710 1,167,793 2,013,962 FormFactor, Inc 38,736 581,162 1,005,974 GlobalSCAPE, Inc 4,649 47,359 45,700 GreenSky, Inc Cl-A 25,026 247,457 222,731 GSI Technology, Inc 8,562 63,138 60,705 GTY Technology Holdings, Inc 13,264 76,322 78,125 Hackett Group, Inc 12,571 203,269 202,896 Harmonic, Inc 41,562 204,567 324,184 I3 Verticals, Inc Cl-A 5,378 131,417 151,928



December 31, 2019


Equities (Continued) Ichor Holdings Ltd 11,490 $ 275,082 $ 382,272 Infinera Corp 91,748 729,874 728,479 Information Services Group, Inc 20,117 74,863 50,896 Inseego Corp 24,820 110,969 181,931 Insight Enterprises, Inc 18,095 845,679 1,271,898 Instructure, Inc 17,506 678,432 843,964 Intelligent Systems Corp 1,609 49,803 64,263 International Money Express, Inc 10,845 132,524 130,574 Intevac, Inc 11,425 76,139 80,661 Iteris, Inc 19,997 111,999 99,785 Itron, Inc 19,000 1,596,266 1,595,050 Kemet Corp 27,458 579,293 742,739 Kimball Electronics, Inc 12,727 243,327 223,359 KVH Industries, Inc 7,985 89,207 88,873 Lattice Semiconductor Corp 68,022 704,981 1,301,941 LivePerson, Inc 31,396 665,827 1,161,652 LRAD Corp 16,826 56,626 55,021 Luna Innovations, Inc 12,174 56,514 88,748 ManTech International Corp A 13,630 724,577 1,088,764 Methode Electronics, Inc 18,448 536,577 725,929 MicroStrategy, Inc A 4,265 573,582 608,317 Mitek Systems, Inc 18,881 170,909 144,440 MobileIron, Inc 48,002 229,670 233,290 Model N, Inc 14,366 246,672 503,816 MoneyGram International, Inc 14,519 91,335 30,490 MTS Systems Corp 9,918 512,040 476,362 Napco Security Technologies, Inc 5,872 95,013 172,578 NETGEAR, Inc 15,469 489,540 379,145 NetScout Systems, Inc 37,847 954,132 910,977 NIC, Inc 32,970 534,460 736,879 NVE Corp 2,469 209,693 176,287 OneSpan, Inc 17,174 255,207 294,019 Onto Innovation, Inc 24,605 745,798 899,067 OSI Systems, Inc 8,670 750,114 873,416 PAR Technology Corp 6,024 110,133 185,178 Park City Group, Inc 6,437 56,263 32,571 Paylocity Holding Corp 17,205 2,076,446 2,078,708 Paysign, Inc 11,089 143,454 112,553 PC Connection, Inc 5,680 174,269 282,069 PC-Tel, Inc 9,027 53,621 76,459 PDF Solutions, Inc 14,484 190,226 244,635 Pegasystems, Inc 19,552 1,558,517 1,557,317 Perficient, Inc 16,286 394,994 750,296 PFSweb, Inc 2,238 15,252 8,549 Photronics, Inc 34,151 324,426 538,220 Ping Identity Holding Corp 7,250 176,113 176,175 Pixelworks, Inc 16,621 77,735 65,154 Plantronics, Inc 16,613 454,525 454,199 Plexus Corp 14,934 887,541 1,149,022 Power Integrations, Inc 14,317 1,163,411 1,416,094 PRGX Global, Inc 10,278 78,724 50,568


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December 31, 2019


Equities (Continued) Progress Software Corp 22,749 $ 929,775 $ 945,221 PROS Holdings, Inc 18,415 724,880 1,103,427 Q2 Holdings, Inc 21,717 1,210,843 1,760,814 QAD, Inc A 6,057 252,934 308,483 Qualys, Inc 17,071 1,423,197 1,423,209 QuickLogic Corp 4,511 67,651 27,065 Rambus, Inc 56,670 782,148 780,629 Ribbon Communications, Inc 29,910 160,288 92,721 Rosetta Stone, Inc 11,425 175,054 207,249 Sanmina Corp 34,507 1,047,802 1,181,520 ScanSource, Inc 13,027 506,169 481,348 Seachange International, Inc 14,450 60,160 60,546 SecureWorks Corp A 3,498 40,568 58,277 ServiceSource International, Inc 43,481 67,504 72,613 SharpSpring, Inc 4,745 58,845 54,425 ShotSpotter, Inc 3,504 130,034 89,352 SMART Global Holdings, Inc 6,582 218,268 249,721 Smith Micro Software, Inc 6,577 26,156 26,176 SPS Commerce, Inc 17,910 634,605 992,572 StarTek, Inc 5,294 42,404 42,246 SVMK, Inc 53,739 961,219 960,316 Switch, Inc A 35,000 518,816 518,700 SYKES Enterprises, Inc 19,940 568,701 737,581 Synaptics, Inc 17,117 662,142 1,125,785 Synchronoss Technologies, Inc 19,896 127,856 94,506 Telaria, Inc 20,156 107,017 177,574 Telenav, Inc 17,627 106,453 85,667 TESSCO Technologies, Inc 3,277 54,574 36,768 TiVo Corp 63,384 537,972 537,496 TransAct Technologies, Inc 1,654 17,891 18,144 TTEC Holdings, Inc 7,480 288,479 296,358 TTM Technologies, Inc 50,926 708,277 766,436 Ubiquiti, Inc 6,149 812,445 1,162,038 Ultra Clean Holdings, Inc 19,616 356,437 460,388 Unisys Corp 32,045 336,464 380,054 Upland Software, Inc 10,811 343,561 386,061 USA Technologies, Inc 5,423 36,590 40,130 Varonis Systems, Inc 15,037 1,167,957 1,168,525 Verra Mobility Corp 56,113 607,542 785,021 Virtusa Corp 14,422 605,919 653,749 Vishay Intertechnology, Inc 68,150 1,125,953 1,450,913 Vishay Precision Group, Inc 5,370 157,710 182,580 Workiva, Inc 16,102 564,757 677,089 Xperi Corp 25,168 490,084 465,608 Yext, Inc 45,486 746,180 655,908 Zix Corp 27,569 156,019 186,918 Zoom Video Communications, Inc 24,648 1,677,173 1,677,050


Advanced Emissions Solutions, Inc 8,580 96,667 90,090 AdvanSix, Inc 14,066 519,288 280,757



December 31, 2019


Equities (Continued) AgroFresh Solutions, Inc 14,515 $ 74,795 $ 37,449 AK Steel Holding Corp. 162,234 406,383 533,750 American Vanguard Corp 13,608 267,883 264,948 Ardagh Group SA 9,608 165,784 188,125 Balchem Corp 16,559 1,334,903 1,682,891 Boise Cascade Co 19,607 672,424 716,244 Cabot Corp 16,350 778,324 776,952 Chase Corp 3,374 403,786 399,751 Chemours Co 85,532 1,548,369 1,547,274 Coeur Mining, Inc 115,268 931,815 931,365 Commercial Metals Co 60,140 998,374 1,339,318 Compass Minerals International, Inc 17,323 1,055,972 1,056,010 Domtar Corp 31,878 1,392,945 1,219,015 Ferroglobe PLC 22,615 35,800 21,258 Flotek Industries, Inc 14,820 29,800 29,640 Forterra, Inc 9,087 72,278 105,046 FutureFuel Corp 13,244 188,757 164,093 GCP Applied Technologies, Inc 30,569 685,519 694,222 Gold Resource Corp 32,696 133,666 181,136 Greif, Inc Cl-A 12,972 632,542 573,362 H.B. Fuller Co 25,938 1,327,175 1,337,623 Hawkins, Inc 4,869 187,694 223,049 Haynes International, Inc 4,353 155,863 155,750 Innophos Holdings, Inc 10,014 406,962 320,248 Innospec, Inc 12,335 855,663 1,275,932 Intrepid Potash, Inc 48,516 159,309 131,478 Kaiser Aluminum Corp 8,119 804,261 900,316 Koppers Holdings, Inc 10,052 404,217 384,187 Kraton Corp 16,163 661,377 409,247 Kronos Worldwide, Inc 11,228 150,537 150,455 LSB Industries, Inc 4,558 17,810 19,144 Materion Corp 10,427 551,043 619,885 Mayville Engineering Co, Inc 3,179 29,881 29,819 Minerals Technologies, Inc 17,882 950,483 1,030,540 Myers Industries, Inc 14,641 289,916 244,212 Neenah, Inc 8,621 676,487 607,177 Northern Technologies International Corp 3,934 58,802 55,312 O-I Glass, Inc 77,613 1,293,340 925,923 Olympic Steel, Inc 4,767 88,895 85,425 OMNOVA Solutions, Inc 22,612 224,241 228,607 PH Glatfelter Co 22,341 411,525 408,840 PolyOne Corp 38,720 1,148,629 1,424,509 PQ Group Holdings, Inc 19,706 311,827 338,549 Ranpak Holdings Corp 8,818 66,163 71,867 Rayonier Advanced Materials, Inc 32,404 363,380 124,431 Ryerson Holding Corp 8,274 73,300 97,881 Schnitzer Steel Industries, Inc A 12,992 354,634 281,667 Schweitzer-Mauduit International, Inc 15,777 617,278 662,476 Sensient Technologies Corp 18,865 1,249,525 1,246,788 Silgan Holdings, Inc 39,539 1,126,991 1,228,872 Stepan Co 10,300 848,965 1,055,132


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December 31, 2019


Equities (Continued) SunCoke Energy, Inc 46,096 $ 287,413 $ 287,178 Synalloy Corp 4,178 64,381 53,938 Trecora Resources 10,894 119,671 77,892 Tredegar Corp 15,577 300,011 348,146 Trinseo SA 20,218 907,711 752,312 Tronox Holdings PLC 44,840 554,968 512,073 UFP Technologies, Inc 3,437 115,235 170,510 United States Lime & Minerals, Inc 1,061 87,723 95,808 United States Steel Corp 95,259 1,087,439 1,086,905 Universal Stainless & Alloy Products, Inc 4,384 83,499 65,322 US Concrete, Inc 8,276 485,935 344,778 Verso Corp A 16,824 245,964 303,337 Warrior Met Coal, Inc 26,323 640,476 556,205 Worthington Industries, Inc 19,049 798,434 803,487


Acadia Realty Trust REIT 43,162 1,153,207 1,119,191 Agree Realty Corp 21,227 1,213,291 1,489,499 Alexander & Baldwin, Inc 34,999 1,032,286 733,579 Alexander's, Inc 1,078 407,684 356,117 Altisource Portfolio Solutions SA 2,655 66,599 51,321 American Assets Trust, Inc 22,878 956,641 1,050,100 American Finance Trust, Inc 54,300 654,766 720,018 Armada Hoffler Properties, Inc 27,567 417,847 505,854 Ashford Hospitality Trust, Inc 49,728 288,848 138,741 Bluerock Residential Growth REIT, Inc 11,473 118,492 138,250 Braemar Hotels & Resorts, Inc 16,357 160,376 146,068 Brandywine Realty Trust REIT 88,794 1,391,925 1,398,505 Brookfield Property REIT, Inc A 36,156 612,136 666,897 BRT Apartments Corp 4,888 59,586 82,949 CareTrust REIT, Inc 48,990 973,661 1,010,664 CBL & Associates Properties, Inc REIT 84,820 348,984 89,061 Cedar Realty Trust, Inc 42,900 192,943 126,555 Chatham Lodging Trust 23,652 479,775 433,778 CIM Commercial Trust Corp 5,897 85,555 85,506 Clipper Realty, Inc 7,192 75,366 76,235 Colony Capital, Inc REIT 133,879 636,006 635,925 Columbia Property Trust, Inc REIT 59,790 1,290,740 1,250,209 Community Healthcare Trust, Inc 9,385 292,151 402,241 Consolidated-Tomoka Land Co 2,412 145,367 145,492 CoreCivic, Inc 60,535 1,259,777 1,052,098 CorEnergy Infrastructure Trust, Inc 6,601 251,772 295,131 CorePoint Lodging, Inc 20,026 213,697 213,878 Corium International, Inc (1) 10,430 1,877 1,877 Corporate Office Properties Trust 1,284 35,126 37,724 Cushman & Wakefield PLC 40,260 719,140 822,914 DiamondRock Hospitality Co 101,363 1,072,689 1,123,102 Diversified Healthcare Trust 120,129 988,307 1,013,889 Easterly Government Properties, Inc 36,403 708,588 863,843 Empire State Realty Trust, Inc A 92,473 1,494,273 1,290,923 Essential Properties Realty Trust, Inc 38,694 754,356 959,998



December 31, 2019


Equities (Continued) eXp World Holdings, Inc 11,606 $ 92,239 $ 131,496 Farmland Partners, Inc 13,883 102,519 94,127 Forestar Group, Inc 8,463 166,579 176,454 Four Corners Property Trust, Inc 35,002 904,200 986,706 Franklin Street Properties Corp 52,973 472,162 453,449 Front Yard Residential Corp 24,052 226,699 296,802 FRP Holdings, Inc 2,598 129,769 129,406 GEO Group, Inc 60,415 1,399,412 1,003,493 Getty Realty Corp 17,328 502,915 569,571 Gladstone Commercial Corp 15,870 329,481 346,918 Gladstone Land Corp 9,557 119,251 123,954 Global Medical REIT, Inc 16,582 160,968 219,380 Global Net Lease, Inc 43,621 870,707 884,634 Griffin Industrial Realty, Inc 724 26,742 28,634 Hannon Armstrong Sustainable Infrastructure

Capital, Inc 32,306 796,084 1,039,607 Hersha Hospitality Trust 19,374 340,935 281,892 Independence Realty Trust, Inc 46,475 490,905 654,368 Industrial Logistics Properties Trust 33,379 691,048 748,357 Innovative Industrial Properties, Inc 5,839 344,026 443,005 Investors Real Estate Trust 5,979 349,798 433,477 iStar, Inc 30,288 339,003 439,479 Jernigan Capital, Inc 10,776 214,394 206,253 Kennedy-Wilson Holdings, Inc 62,346 1,252,341 1,390,316 Kite Realty Group Trust 42,705 720,569 834,029 Lexington Realty Trust 124,819 1,190,705 1,325,578 LTC Properties, Inc REIT 20,228 904,496 905,608 Mack-Cali Realty Corp 39,613 852,445 916,249 Marcus & Millichap, Inc 11,573 383,837 431,094 MGM Growth Properties LLC Cl-A 47,793 1,423,714 1,480,149 Monmouth Real Estate Investment Corp 46,305 705,529 670,496 National Storage Affiliates Trust 30,560 835,869 1,027,427 New Senior Investment Group, Inc 42,019 317,492 321,445 New York REIT Inc. (1) 7,950 112,101 112,731 Newmark Group, Inc Cl-A 75,765 720,215 1,019,418 NexPoint Residential Trust, Inc 7,270 230,868 327,150 Office Properties Income Trust 24,230 1,387,653 778,752 One Liberty Properties, Inc 8,009 205,328 217,765 Paramount Group, Inc 106,726 1,484,420 1,485,626 Piedmont Office Realty Trust, Inc A 63,528 1,239,074 1,412,863 Plymouth Industrial REIT, Inc 6,853 126,549 126,027 PotlatchDeltic Corp 33,378 1,536,318 1,444,266 Preferred Apartment Communities, Inc A 22,658 380,682 301,805 PS Business Parks, Inc REIT 591 81,798 97,438 QTS Realty Trust, Inc Cl-A 28,090 1,340,935 1,524,444 Rafael Holdings, Inc Cl-B 1,336 37,877 23,834 RE/MAX Holdings, Inc Cl-A 8,742 458,089 336,480 Realogy Holdings Corp 58,863 753,850 569,794 Redfin Corp 39,673 796,212 838,687 Retail Opportunity Investments Corp 57,429 1,015,916 1,014,196 Retail Properties of America, Inc A 109,793 1,378,726 1,471,226


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December 31, 2019


Equities (Continued) Retail Value, Inc 8,127 $ 230,921 $ 299,074 RMR Group, Inc A 7,636 394,777 348,507 RPT Realty 39,632 496,823 596,065 Safehold, Inc 5,729 140,109 230,879 Saul Centers, Inc 6,520 363,305 344,126 Seritage Growth Properties A REIT 17,208 709,991 689,697 SITE Centers Corp 78,063 919,491 1,094,443 Sotherly Hotels, Inc 5,267 35,455 35,710 Spirit MTA REIT 21,920 4,126 16,826 St Joe Co 19,014 330,965 377,048 Stratus Properties, Inc 3,268 95,284 101,243 Summit Hotel Properties, Inc 52,578 731,224 648,812 Tanger Factory Outlet Centers, Inc 46,912 1,034,644 691,014 Taubman Centers, Inc 30,457 947,268 946,908 UMH Properties, Inc 18,446 259,866 290,156 Uniti Group, Inc 90,053 740,236 739,335 Universal Health Realty Income Trust 6,544 483,613 768,004 Urban Edge Properties 59,331 1,244,102 1,137,969 Urstadt Biddle Properties, Inc Cl-A 15,023 318,276 373,171 Washington Prime Group, Inc 95,948 612,423 349,251 Washington Real Estate Investment Trust

REIT 41,270 1,220,986 1,204,259 Whitestone REIT 19,716 256,599 268,532 Xenia Hotels & Resorts, Inc 57,764 1,220,108 1,248,280


AquaVenture Holdings Ltd 9,375 184,171 254,250 Artesian Resources Corp Cl-A 4,145 159,863 154,236 Avangrid, Inc 28,709 1,454,856 1,468,753 Avista Corp 34,180 1,534,071 1,643,716 California Water Service Group 24,814 1,108,647 1,279,410 Chesapeake Utilities Corp 8,081 678,179 774,402 Clearway Energy, Inc C 37,263 672,243 743,397 El Paso Electric Co 20,890 1,220,526 1,418,222 Genie Energy Ltd B 8,086 84,505 62,505 Global Water Resources, Inc 5,004 52,099 65,803 MGE Energy, Inc 17,910 1,175,095 1,411,666 Middlesex Water Co 8,349 400,696 530,746 NextEra Energy Partners LP 28,760 1,295,413 1,514,214 Northwest Natural Holding Co 15,511 1,033,995 1,143,626 Ormat Technologies, Inc 20,333 1,250,902 1,515,215 Otter Tail Corp 20,436 964,296 1,048,162 Pattern Energy Group, Inc A 50,146 1,005,994 1,341,656 Pure Cycle Corp 10,261 104,774 129,186 RGC Resources, Inc 3,858 108,846 110,262 SJW Group 14,571 887,216 1,035,415 South Jersey Industries, Inc 47,882 1,538,380 1,579,148 Spark Energy, Inc Cl-A 5,948 65,975 54,900 Star Group LP 23,157 220,498 219,065 TerraForm Power, Inc A 44,941 568,976 691,642 Unitil Corp 7,524 396,745 465,134


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December 31, 2019


Equities (Continued) York Water Co 6,621 $ 230,198 $ 305,294

Total Utilities 18,397,159 20,960,025 Total Equities 699,435,562 738,947,657

Warrants: 0.00% Halcon Resources Corp 954 — — Halcon Resources Corp 742 — — Halcon Resources Corp 593 — — Parker Drilling Co (1) 573 — —

Total Warrants — — Short-Term Investments: 3.86%


Total Short-Term Investments 29,678,016 29,678,016 Total Investments: 99.93% $ 729,113,578 $ 768,625,673



Financial Futures - Long: 278 Russell 2000 E-Mini March 2020 $ 23,221,340 $ 164,013



(1) The fair value of $118,936 was estimated at December 31, 2019, by the Trustee. (2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.49% of the total net assets of the Wells Fargo/Blackrock Short Term Investment Fund S.









$

$

$

9.28

0.20 1.97 2.17

11.45 23.39%

768,324,739

$

$

$

9.00

0.17 1.90 2.07

11.07 23.10%

864,031


0.00% 1.88%

45%

0.24% 1.67%

45%



WELLS FARGO HIGH YIELD CORPORATE BOND INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 1,742,862 $ 1,742,862 Unaffiliated investments 82,379,795 83,265,673 Cash 5,017 Accrued interest income 1,358,315 Fund shares sold 6,675


Fund shares repurchased 138,814 Accrued expenses 100










Investments (1,383,164) Net change in unrealized appreciation (depreciation) on:





Increase/(decrease) in net assets from operations: Net investment income (loss) $ 4,393,566 Net realized gain (loss) on investment transactions (1,383,164) Net change in unrealized appreciation (depreciation) of investments 6,560,637







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December 31, 2019


Corporate Bonds: 96.55% Basic Materials: 5.10%

Alcoa Nederland Holding BV(1) 200,000 6.75% 09/30/24 BB+ $ 216,224 $ 210,418 Arconic, Inc 300,000 5.40 04/15/21 BBB- 305,071 309,281 Ashland LLC 390,000 4.75 08/15/22 BB+ 409,646 407,550 CF Industries, Inc 250,000 4.95 06/01/43 BB+ 228,845 260,625 Chemours Co 300,000 7.00 05/15/25 B+ 326,997 302,250 Cleveland-Cliffs, Inc 300,000 5.75 03/01/25 B+ 288,720 296,063 Constellium NV(1) 250,000 6.63 03/01/25 B 257,707 259,400 FMG Resources August 2006 Pty

Ltd(1) 510,000 5.13 05/15/24 BB+ 530,089 541,875 Freeport-McMoRan, Inc 450,000 3.88 03/15/23 BB 455,184 458,203 Freeport-McMoRan, Inc 210,000 5.00 09/01/27 BB 212,291 220,500 Freeport-McMoRan, Inc 200,000 5.45 03/15/43 BB 200,720 207,000 Olin Corp 420,000 5.13 09/15/27 BB+ 419,199 437,850 Tronox Finance PLC(1) 200,000 5.75 10/01/25 B 188,227 203,744 United States Steel Corp 300,000 6.88 08/15/25 B 308,858 280,089

Total Basic Materials 4,347,778 4,394,848 Communications: 19.12%

Altice Financing SA(1) 400,000 6.63 02/15/23 B+ 396,558 407,000 Altice France SA/France(1) 310,000 7.38 05/01/26 B 331,664 332,828 Altice Luxembourg SA(1) 300,000 7.63 02/15/25 B- 319,332 312,000 AMC Networks, Inc 200,000 4.75 08/01/25 BB 200,000 200,750 C&W Senior Financing DAC(1) 200,000 6.88 09/15/27 BB- 208,287 213,866 CCO Holdings LLC / CCO Holdings

Capital Corp(1) 360,000 4.75 03/01/30 BB 366,620 367,211 CCO Holdings LLC / CCO Holdings

Capital Corp(1) 200,000 5.00 02/01/28 BB 194,680 209,864 CCO Holdings LLC / CCO Holdings

Capital Corp 200,000 5.25 09/30/22 BB 201,375 202,250 CenturyLink, Inc 400,000 7.65 03/15/42 B+ 354,494 419,000

(1) Cincinnati Bell, Inc 290,000 7.00 07/15/24 B- 272,246 304,137 Clear Channel Worldwide Holdings,

Inc(1) 340,000 9.25 02/15/24 B- 358,610 376,550 CommScope, Inc(1) 240,000 5.50 03/01/24 B+ 244,484 250,200 CommScope, Inc(1) 400,000 5.50 06/15/24 B- 409,714 405,008 Connect Finco SARL / Connect US

Finco LLC(1) 410,000 6.75 10/01/26 B+ 426,588 436,650 CSC Holdings LLC(1) 240,000 6.50 02/01/29 BB 268,267 267,600 CSC Holdings LLC(1) 220,000 6.63 10/15/25 BB 232,764 233,475 CSC Holdings LLC(1) 300,000 5.50 04/15/27 BB 289,557 322,155 Diamond Sports Group LLC /

Diamond Sports Finance Co(1) 530,000 5.38 08/15/26 BB 541,049 536,123 DISH DBS Corp 500,000 5.88 11/15/24 B- 426,626 510,937 DISH DBS Corp 200,000 6.75 06/01/21 B- 204,577 210,262 Embarq Corp 200,000 8.00 06/01/36 BB 191,924 211,500 Frontier Communications Corp(1) 300,000 8.50 04/01/26 CCC+ 293,685 303,750 Gray Television, Inc(1) 250,000 7.00 05/15/27 B+ 264,360 277,813 Hughes Satellite Systems Corp 200,000 6.63 08/01/26 BB 209,755 222,000 iHeartCommunications, Inc 220,000 6.38 05/01/26 BB- 232,648 238,700 Intelsat Jackson Holdings SA(1) 300,000 8.50 10/15/24 CCC+ 298,785 273,249 Lamar Media Corp 200,000 5.00 05/01/23 B+ 204,276 203,500


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December 31, 2019


Corporate Bonds (Continued) Level 3 Financing, Inc 400,000 5.38% 05/01/25 BB $ 391,317 $ 414,000 Meredith Corp 300,000 6.88 02/01/26 B+ 305,094 311,910 Netflix, Inc 500,000 5.88 02/15/25 BB- 519,176 557,500 Nexstar Broadcasting, Inc(1) 200,000 5.63 07/15/27 B 205,221 210,760 Nokia Oyj 300,000 4.38 06/12/27 BB+ 302,092 312,750 NortonLifeLock, Inc(1) 200,000 5.00 04/15/25 BB- 207,038 204,255 Qwest Corp 400,000 6.88 09/15/33 BBB- 399,051 401,800 Sinclair Television Group, Inc(1) 230,000 5.88 03/15/26 B 240,405 241,788 Sirius XM Radio, Inc(1) 450,000 3.88 08/01/22 BB 455,301 459,562 Sirius XM Radio, Inc(1) 200,000 4.63 05/15/23 BB 198,546 203,000 Sprint Capital Corp 200,000 8.75 03/15/32 B 233,329 242,750 Sprint Corp 200,000 7.13 06/15/24 B 204,173 215,750 Sprint Corp 200,000 7.88 09/15/23 B 210,456 220,666 T-Mobile USA, Inc 300,000 6.38 03/01/25 BB+ 318,342 309,999 T-Mobile USA, Inc 200,000 6.50 01/15/26 BB+ 211,270 214,442 TEGNA, Inc(1) 300,000 4.88 09/15/21 BB 303,786 300,750 Telecom Italia Capital SA 200,000 6.38 11/15/33 BB+ 218,027 222,000 Telecom Italia SpA(1) 300,000 5.30 05/30/24 BB+ 300,662 322,500 Uber Technologies, Inc(1) 300,000 8.00 11/01/26 CCC+ 299,816 312,750 Univision Communications, Inc(1) 200,000 5.13 02/15/25 B 198,332 197,750 UPC Holding BV(1) 290,000 5.50 01/15/28 B 295,017 293,988 VeriSign, Inc 200,000 4.75 07/15/27 BBB- 205,476 211,000 ViacomCBS, Inc(2) 200,000 5.88 02/28/57 BB+ 199,006 208,000 ViaSat, Inc(1) 230,000 5.63 04/15/27 BB+ 239,255 246,100 Videotron Ltd(1) 200,000 5.13 04/15/27 BB+ 208,663 214,000 Virgin Media Secured Finance PLC(1) 530,000 5.50 05/15/29 BB- 563,978 561,137 Zayo Group LLC / Zayo Capital, Inc 300,000 6.38 05/15/25 B 318,026 309,249 Ziggo Bond Finance BV(1) 300,000 6.00 01/15/27 B- 284,549 316,500

Total Communications 15,978,329 16,485,034 Consumer, Cyclical: 16.78%

1011778 BC ULC / New Red Finance, Inc(1) 420,000 3.88 01/15/28 BB+ 423,081 421,050

Adient Global Holdings Ltd(1) 400,000 4.88 08/15/26 B 326,831 357,000 Allison Transmission, Inc(1) 200,000 4.75 10/01/27 193,697 207,500 AMC Entertainment Holdings, Inc 200,000 6.13 05/15/27 CCC+ 182,441 182,500 American Axle & Manufacturing, Inc 320,000 6.50 04/01/27 B 321,518 332,000 American Builders & Contractors

Supply Co, Inc(1) 350,000 4.00 01/15/28 BB+ 350,430 355,250 Aramark Services, Inc 300,000 5.13 01/15/24 BB 312,717 307,860 BCD Acquisition, Inc(1) 200,000 9.63 09/15/23 B 213,090 206,000 Beacon Roofing Supply, Inc(1) 300,000 4.88 11/01/25 B- 290,913 301,500 Boyd Gaming Corp 200,000 6.38 04/01/26 B+ 215,602 215,188 Brookfield Residential Properties, Inc

/ Brookfield Residential US Corp(1) 310,000 6.25 09/15/27 BB- 323,017 327,050 Caesars Resort Collection LLC / CRC

Finco, Inc(1) 300,000 5.25 10/15/25 B- 302,441 310,125 Delphi Technologies PLC(1) 200,000 5.00 10/01/25 BB- 185,843 185,000 Diamond Resorts International, Inc(1) 200,000 10.75 09/01/24 CCC- 211,195 209,500 Eldorado Resorts, Inc 210,000 6.00 04/01/25 B 213,704 221,025 Ferrellgas LP / Ferrellgas Finance

Corp 300,000 6.50 05/01/21 CCC- 294,432 259,500


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December 31, 2019


Corporate Bonds (Continued) Fiat Chrysler Automobiles 300,000 5.25% 04/15/23 BB+ $ 311,670 $ 320,625 Gap, Inc 300,000 5.95 04/12/21 BB 307,681 311,292 Golden Nugget, Inc(1) 300,000 8.75 10/01/25 CCC+ 307,661 320,812 Goodyear Tire & Rubber Co 200,000 5.13 11/15/23 BB- 204,531 203,422 Hanesbrands, Inc(1) 200,000 4.63 05/15/24 BB- 204,531 210,916 Hilton Domestic Operating Co, Inc 300,000 5.13 05/01/26 BB+ 295,333 315,750 Hilton Worldwide Finance LLC /

Hilton Worldwide Finance Corp 200,000 4.88 04/01/27 BB+ 209,231 212,500 IHO Verwaltungs GmbH(1) 340,000 6.00 05/15/27 BB+ 342,421 360,400 International Game Technology

PLC(1) 380,000 6.25 02/15/22 BB+ 400,923 400,900 Jack Ohio Finance LLC / Jack Ohio

Finance 1 Corp(1) 17,000 6.75 11/15/21 B+ 17,528 17,340 Jaguar Land Rover Automotive PLC(1) 300,000 4.50 10/01/27 B+ 297,852 264,000 JC Penney Corp, Inc 200,000 6.38 10/15/36 CCC- 129,267 64,000 KB Home 240,000 7.50 09/15/22 BB- 269,386 269,400 KFC Holding Co/Pizza Hut Holdings

LLC/Taco Bell of America LLC(1) 300,000 5.00 06/01/24 BB 312,319 310,875 L Brands, Inc 200,000 6.75 07/01/36 BB- 196,482 175,500 L Brands, Inc 200,000 5.25 02/01/28 BB- 179,326 189,500 Lennar Corp 200,000 4.75 05/30/25 BB+ 195,941 215,000 Lennar Corp 200,000 4.13 01/15/22 BB+ 197,435 205,000 Mattel, Inc(1) 390,000 6.75 12/31/25 BB- 386,372 419,172 MGM China Holdings Ltd(1) 260,000 5.88 05/15/26 BB- 276,537 275,600 MGM Resorts International 200,000 7.75 03/15/22 BB- 211,783 223,000 Newell Brands, Inc 390,000 5.38 04/01/36 BB+ 411,381 421,390 Panther BF Aggregator 2 LP / Panther

Finance Co, Inc(1) 400,000 6.25 05/15/26 B+ 408,669 431,000 Penske Automotive Group, Inc 200,000 5.50 05/15/26 B+ 205,101 209,500 PetSmart, Inc(1) 334,000 5.88 06/01/25 B 273,603 340,262 PulteGroup, Inc 340,000 5.00 01/15/27 BB+ 372,077 370,260 Rite Aid Corp(1) 200,000 6.13 04/01/23 CCC- 179,186 184,000 Sabre GLBL, Inc(1) 200,000 5.38 04/15/23 BB 206,477 204,900 Scientific Games International, Inc(1) 430,000 8.25 03/15/26 B- 453,022 474,075 Six Flags Entertainment Corp(1) 200,000 5.50 04/15/27 BB- 207,687 213,250 Staples, Inc(1) 400,000 10.75 04/15/27 B- 400,578 406,000 Taylor Morrison Communities, Inc /

(1) Taylor Morrison Holdings II, Inc 200,000 5.63 03/01/24 BB 211,284 216,000 Tesla, Inc(1) 200,000 5.30 08/15/25 B- 194,835 194,000 Toll Brothers Finance Corp 230,000 4.88 03/15/27 BB+ 226,846 248,400 VOC Escrow Ltd(1) 350,000 5.00 02/15/28 BB 361,945 366,625 Wyndham Destinations, Inc 270,000 5.75 04/01/27 BB- 282,129 292,950 Wynn Las Vegas LLC / Wynn Las

Vegas Capital Corp(1) 200,000 5.50 03/01/25 BB 207,937 214,250 Total Consumer, Cyclical 14,217,919 14,469,914

Consumer, Non-cyclical: 14.54% ADT Security Corp(1) 200,000 4.88 07/15/32 BB- 191,218 183,500 Ahern Rentals, Inc(1) 200,000 7.38 05/15/23 B- 189,165 158,500 Albertsons Cos LLC / Safeway, Inc /

New Albertsons LP / Albertson's LLC 300,000 5.75 03/15/25 BB- 277,370 310,500


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December 31, 2019


Corporate Bonds (Continued) APTIM Corp(1) 200,000 7.75% 06/15/25 CCC+ $ 196,709 $ 120,000 APX Group, Inc 134,000 8.75 12/01/20 CCC 133,428 134,000 Avantor, Inc(1) 300,000 9.00 10/01/25 B- 304,115 335,259 B&G Foods, Inc 340,000 5.25 04/01/25 B+ 348,847 349,632 Bausch Health Americas, Inc(1) 300,000 8.50 01/31/27 B 308,414 341,640 Bausch Health Cos, Inc(1) 330,000 7.25 05/30/29 B 343,511 377,025 Bausch Health Cos, Inc(1) 83,000 5.50 03/01/23 B 79,156 83,415 Centene Corp 350,000 4.75 01/15/25 BBB- 359,585 363,555 Centene Corp 200,000 4.75 05/15/22 BBB- 201,847 204,000 CHS/Community Health Systems,

Inc(1) 200,000 8.13 06/30/24 CCC- 154,446 164,000 CHS/Community Health Systems, Inc 200,000 5.13 08/01/21 B- 196,851 200,000 DaVita, Inc 200,000 5.00 05/01/25 B+ 194,698 205,750 DaVita, Inc 200,000 5.13 07/15/24 B+ 201,068 205,000 Eagle Holding Co II LLC(1) 200,000 7.63 05/15/22 CCC+ 202,030 203,148 Edgewell Personal Care Co 400,000 4.70 05/24/22 B+ 411,467 415,000 Elanco Animal Health, Inc 300,000 4.90 08/28/28 BB+ 317,631 326,064 Encompass Health Corp 116,000 5.75 11/01/24 B+ 118,218 117,305 Endo Dac / Endo Finance LLC / Endo

Finco, Inc(1) 400,000 6.00 07/15/23 CCC+ 342,768 289,000 Envision Healthcare Corp(1) 260,000 8.75 10/15/26 CCC+ 145,554 161,200 HCA, Inc 500,000 5.38 09/01/26 BB- 512,358 556,875 Hertz Corp(1) 300,000 5.50 10/15/24 B- 259,102 307,500 Hologic, Inc(1) 200,000 4.38 10/15/25 BB- 200,458 206,500 JBS USA LUX SA / JBS USA

Finance, Inc(1) 300,000 5.88 07/15/24 BB 308,095 308,700 JBS USA LUX SA / JBS USA

Finance, Inc(1) 200,000 5.75 06/15/25 BB 204,714 207,000 Kronos Acquisition Holdings, Inc(1) 200,000 9.00 08/15/23 CCC- 194,662 191,000 Lamb Weston Holdings, Inc(1) 300,000 4.88 11/01/26 BB+ 313,059 318,000 Laureate Education, Inc(1) 200,000 8.25 05/01/25 BB- 212,173 215,250 MEDNAX, Inc(1) 350,000 6.25 01/15/27 BB 358,341 358,750 MPH Acquisition Holdings LLC(1) 200,000 7.13 06/01/24 B- 211,189 193,500 Nielsen Co Luxembourg SARL(1) 200,000 5.00 02/01/25 BB 202,721 206,000 Nielsen Co Luxembourg SARL(1) 200,000 5.50 10/01/21 BB 200,754 200,750 Ortho-Clinical Diagnostics, Inc /

Ortho-Clinical Diagnostics SA(1) 300,000 6.63 05/15/22 CCC 300,210 298,125 Pilgrim's Pride Corp(1) 200,000 5.88 09/30/27 BB 207,204 216,250 Polaris Intermediate Corp(1) 300,000 8.50 12/01/22 B- 299,429 279,375 Post Holdings, Inc(1) 480,000 5.00 08/15/26 B+ 477,437 507,000 Prime Security Services Borrower

LLC / Prime Finance, Inc(1) 210,000 5.25 04/15/24 BB- 215,483 222,180 Prime Security Services Borrower

LLC / Prime Finance, Inc(1) 58,000 9.25 05/15/23 B- 62,206 60,828 Refinitiv US Holdings, Inc(1) 400,000 6.25 05/15/26 B 401,765 436,500 Service Corp International/US 200,000 5.38 05/15/24 BB 208,559 206,000 Spectrum Brands, Inc 200,000 5.75 07/15/25 B+ 210,178 208,754 Tenet Healthcare Corp 340,000 4.63 07/15/24 BB- 350,082 348,075 Tenet Healthcare Corp 600,000 5.13 05/01/25 B- 588,596 618,000 United Rentals North America, Inc 400,000 4.88 01/15/28 BB- 408,086 416,492


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December 31, 2019


Corporate Bonds (Continued) WellCare Health Plans, Inc 200,000 5.25% 04/01/25 BB $ 204,396 $ 208,000

Total Consumer, Non-cyclical 12,329,353 12,542,897 Diversified: 0.25%

Stena AB(1) 210,000 7.00 02/01/24 B+ 212,103 217,350 Total Diversified 212,103 217,350

Energy: 13.40% Antero Midstream Partners LP /

Antero Midstream Finance Corp(1) 200,000 5.75 03/01/27 BB 203,466 175,875 Antero Resources Corp 300,000 5.38 11/01/21 BB 304,499 285,656 Ascent Resources Utica Holdings

LLC / ARU Finance Corp(1) 130,000 10.00 04/01/22 BB- 136,516 129,302 Buckeye Partners LP 410,000 4.15 07/01/23 BB 413,931 411,989 Calfrac Holdings LP(1) 300,000 8.50 06/15/26 B- 207,005 123,000 Calumet Specialty Products Partners

LP / Calumet Finance Corp 300,000 7.63 01/15/22 B- 299,827 300,000 Carrizo Oil & Gas, Inc 200,000 6.25 04/15/23 B+ 203,035 202,970 Cheniere Energy Partners LP 350,000 5.25 10/01/25 BB 363,573 364,731 CNX Resources Corp 300,000 5.88 04/15/22 BB- 303,861 300,210 Crestwood Midstream Partners LP /

Crestwood Midstream Finance Corp 200,000 6.25 04/01/23 BB- 206,607 204,000 DCP Midstream Operating LP 390,000 5.13 05/15/29 BB+ 396,733 404,625 DCP Midstream Operating LP(1)(2) 400,000 5.85 05/21/43 BB- 375,305 372,000 Denbury Resources, Inc(1) 200,000 9.25 03/31/22 B 203,485 188,500 Diamond Offshore Drilling, Inc 200,000 7.88 08/15/25 CCC+ 210,986 174,000 Endeavor Energy Resources LP / EER

Finance, Inc(1) 230,000 5.50 01/30/26 BB- 236,851 237,475 Genesis Energy LP / Genesis Energy

Finance Corp 400,000 6.25 05/15/26 B+ 381,871 382,000 Gulfport Energy Corp 300,000 6.38 05/15/25 BB- 286,115 190,500 Hilcorp Energy I LP / Hilcorp Finance

Co(1) 200,000 6.25 11/01/28 BB+ 189,407 190,000 Indigo Natural Resources LLC(1) 290,000 6.88 02/15/26 BB- 265,837 272,600 KCA Deutag UK Finance PLC(1) 200,000 7.25 05/15/21 CCC+ 197,963 136,000 MEG Energy Corp(1) 200,000 7.00 03/31/24 BB- 187,925 201,250 MEG Energy Corp(1) 200,000 6.50 01/15/25 BB 197,553 208,020 Murphy Oil Corp 200,000 5.75 08/15/25 BB+ 205,513 209,190 Nabors Industries, Inc 200,000 5.50 01/15/23 B+ 195,173 192,000 Noble Holding International Ltd 300,000 7.75 01/15/24 CCC+ 279,416 155,850 Oasis Petroleum, Inc 284,000 6.88 03/15/22 B+ 288,946 273,350 Parsley Energy LLC / Parsley Finance

Corp(1) 200,000 5.63 10/15/27 BB- 192,408 211,500 Peabody Energy Corp(1) 230,000 6.38 03/31/25 BB- 227,456 211,600 QEP Resources, Inc 200,000 5.63 03/01/26 BB- 190,062 195,050 Range Resources Corp 310,000 5.75 06/01/21 BB 312,268 309,225 Rowan Cos, Inc 200,000 7.38 06/15/25 B- 202,685 121,000 Seven Generations Energy Ltd(1) 200,000 6.88 06/30/23 BB 204,962 205,750 SM Energy Co 300,000 6.75 09/15/26 BB- 296,603 294,000 Southwestern Energy Co 200,000 7.50 04/01/26 BB 207,897 185,000


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December 31, 2019


Corporate Bonds (Continued) SunCoke Energy Partners LP /

SunCoke Energy Partners Finance Corp(1) 260,000 7.50% 06/15/25 BB- $ 237,824 $ 250,034

Sunoco LP / Sunoco Finance Corp 300,000 5.88 03/15/28 BB- 308,458 318,542 Tallgrass Energy Partners LP /

Tallgrass Energy Finance Corp(1) 300,000 5.50 01/15/28 BB+ 302,794 294,000 Targa Resources Partners LP / Targa

Resources Partners Finance Corp 250,000 5.00 01/15/28 BB 252,380 255,000 Targa Resources Partners LP / Targa

Resources Partners Finance Corp 400,000 6.75 03/15/24 BB 422,270 414,500 TerraForm Power Operating LLC(1) 200,000 4.25 01/31/23 BB- 206,652 205,894 TerraForm Power Operating LLC(1) 300,000 5.00 01/31/28 BB- 288,840 317,193 Transocean, Inc(1) 300,000 7.50 01/15/26 B- 309,151 296,250 Transocean, Inc 200,000 6.80 03/15/38 CCC+ 168,384 142,000 USA Compression Partners LP / USA

Compression Finance Corp 210,000 6.88 04/01/26 B+ 215,791 220,500 Valaris PLC 200,000 7.75 02/01/26 B- 160,847 112,990 Whiting Petroleum Corp 300,000 5.75 03/15/21 BB- 298,371 283,800 WPX Energy, Inc 400,000 5.75 06/01/26 BB- 386,752 427,000

Total Energy 12,134,254 11,555,921 Financial: 10.36%

Acrisure LLC / Acrisure Finance, Inc(1) 200,000 8.13 02/15/24 B 215,136 217,500

Allied Universal Holdco LLC / Allied Universal Finance Corp(1) 270,000 6.63 07/15/26 B- 286,631 290,169

Barclays PLC(2) 310,000 5.09 06/20/30 BB+ 317,111 345,184 Barclays PLC 200,000 5.20 05/12/26 BB+ 199,476 218,749 CBL & Associates LP 200,000 5.95 12/15/26 B+ 175,631 120,000 CIT Group, Inc 400,000 4.13 03/09/21 BB+ 401,457 407,544 Deutsche Bank AG 400,000 4.50 04/01/25 BB+ 405,492 397,457 ESH Hospitality, Inc(1) 200,000 5.25 05/01/25 BB- 198,044 206,750 Freedom Mortgage Corp(1) 230,000 8.25 04/15/25 B- 201,940 225,471 Genworth Holdings, Inc 210,000 7.63 09/24/21 B 208,722 221,214 Global Aircraft Leasing Co Ltd(1) 230,000 6.50 09/15/24 235,788 239,993 Howard Hughes Corp(1) 200,000 5.38 03/15/25 BB- 204,266 208,500 HUB International Ltd(1) 300,000 7.00 05/01/26 CCC+ 295,232 317,250 Icahn Enterprises LP / Icahn

Enterprises Finance Corp(1) 260,000 4.75 09/15/24 BB+ 264,769 267,150 Icahn Enterprises LP / Icahn

Enterprises Finance Corp 300,000 5.88 02/01/22 BB+ 305,226 300,375 Intesa Sanpaolo SpA(1) 200,000 5.02 06/26/24 BB+ 205,085 209,983 Iron Mountain, Inc(1) 430,000 4.88 09/15/29 BB- 435,874 436,794 Iron Mountain, Inc 300,000 5.75 08/15/24 B 306,193 303,375 Kennedy-Wilson, Inc 200,000 5.88 04/01/24 BB 199,347 205,000 MGM Growth Properties Operating

Partnership LP / MGP Finance Co-Issuer, Inc 290,000 4.50 09/01/26 BB- 298,172 305,225

MPT Operating Partnership LP / MPT Finance Corp 300,000 5.00 10/15/27 BBB- 285,787 318,000

(1) Nationstar Mortgage Holdings, Inc 200,000 8.13 07/15/23 B 207,739 211,704 Navient Corp 270,000 6.75 06/25/25 B+ 290,545 298,080


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December 31, 2019


Corporate Bonds (Continued) Navient Corp 400,000 7.25% 01/25/22 B+ $ 419,226 $ 434,576 Navient Corp 200,000 5.88 10/25/24 B+ 195,415 214,000 Quicken Loans, Inc(1) 200,000 5.75 05/01/25 BB 206,008 206,750 Realogy Group LLC / Realogy Co-

Issuer Corp(1) 200,000 5.25 12/01/21 B 204,524 202,000 SBA Communications Corp 300,000 4.88 07/15/22 BB- 306,118 303,750 Springleaf Finance Corp 200,000 6.88 03/15/25 BB- 206,470 227,500 Springleaf Finance Corp 200,000 7.75 10/01/21 BB- 209,352 217,250 Springleaf Finance Corp 300,000 8.25 12/15/20 BB- 311,817 314,775 Starwood Property Trust, Inc 270,000 5.00 12/15/21 BB- 277,719 280,125 Uniti Group LP / Uniti Group Finance,

Inc / CSL Capital LLC 300,000 8.25 10/15/23 C 294,539 261,750 Total Financial 8,774,851 8,933,943

Industrial: 8.90% ADT Security Corp 300,000 6.25 10/15/21 BB- 312,010 316,500 AECOM 300,000 5.13 03/15/27 BB- 293,079 322,500 Arconic, Inc 300,000 5.13 10/01/24 BBB- 316,610 327,000 Ardagh Packaging Finance PLC /

Ardagh Holdings USA, Inc(1) 350,000 5.25 08/15/27 B 352,960 368,382 Ball Corp 300,000 5.00 03/15/22 BB+ 312,869 317,250 Berry Global, Inc(1) 200,000 5.63 07/15/27 BB 208,062 214,500 Berry Global, Inc 200,000 5.13 07/15/23 BB 203,254 205,250 Bombardier, Inc(1) 400,000 6.00 10/15/22 B- 397,302 399,880 Covanta Holding Corp 200,000 5.88 07/01/25 B 199,429 211,000 Crown Americas LLC / Crown

Americas Capital Corp IV 200,000 4.50 01/15/23 BB- 198,147 210,250 Energizer Holdings, Inc(1) 260,000 5.50 06/15/25 B+ 255,566 269,750 Flex Acquisition Co, Inc(1) 210,000 6.88 01/15/25 CCC+ 192,440 211,575 FXI Holdings, Inc(1) 430,000 7.88 11/01/24 B- 392,287 412,800 GFL Environmental, Inc(1) 360,000 8.50 05/01/27 CCC+ 387,103 396,000 Mauser Packaging Solutions Holding

Co(1) 300,000 7.25 04/15/25 CCC+ 309,929 296,250 Mauser Packaging Solutions Holding

Co(1) 240,000 5.50 04/15/24 B 247,299 247,224 Novelis Corp(1) 300,000 6.25 08/15/24 B+ 313,184 314,625 Owens-Brockway Glass Container,

Inc(1) 200,000 5.88 08/15/23 B+ 208,984 213,500 Reynolds Group Issuer, Inc / Reynolds

Group Issuer LLC / Reynolds Group Issuer Lu(1) 300,000 7.00 07/15/24 B- 315,991 310,125

Sealed Air Corp(1) 200,000 5.13 12/01/24 BB+ 211,730 215,500 Standard Industries, Inc(1) 400,000 5.00 02/15/27 BBB- 420,109 417,000 Standard Industries, Inc(1) 200,000 4.75 01/15/28 BBB- 187,330 205,000 TransDigm, Inc(1) 510,000 6.25 03/15/26 B+ 549,095 552,131 Trivium Packaging Finance BV(1) 290,000 5.50 08/15/26 B+ 306,700 305,587 Vertiv Intermediate Holding Corp(1) 200,000 12.00 02/15/22 CCC+ 210,175 207,500 XPO Logistics, Inc(1) 200,000 6.13 09/01/23 BB- 207,604 206,460

Total Industrial 7,509,248 7,673,539 Technology: 5.60%

Banff Merger Sub, Inc(1) 220,000 9.75 09/01/26 CCC 192,716 222,750


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December 31, 2019


Corporate Bonds (Continued) CDK Global, Inc 230,000 4.88% 06/01/27 BB+ $ 227,412 $ 242,938 Dell, Inc 200,000 4.63 04/01/21 BB- 201,740 205,500 Dun & Bradstreet Corp(1) 230,000 6.88 08/15/26 B- 231,048 253,862 EMC Corp 210,000 3.38 06/01/23 BB- 210,824 214,200 Harland Clarke Holdings Corp(1) 300,000 9.25 03/01/21 CCC- 304,416 295,875 Infor US, Inc 300,000 6.50 05/15/22 CCC+ 308,033 304,500 Intrado Corp(1) 200,000 8.50 10/15/25 CCC 197,032 160,000 IQVIA, Inc(1) 300,000 5.00 10/15/26 BB 306,440 316,500 MSCI, Inc(1) 113,000 5.25 11/15/24 BB+ 118,326 116,094 NCR Corp(1) 300,000 5.75 09/01/27 BB 311,001 319,500 Open Text Corp(1) 340,000 5.88 06/01/26 BB 360,927 363,800 Pitney Bowes, Inc 260,000 4.13 10/01/21 BB 255,283 263,575 Rackspace Hosting, Inc(1) 200,000 8.63 11/15/24 B- 197,515 195,500 Sensata Technologies UK Financing

Co PLC(1) 200,000 6.25 02/15/26 BB+ 215,692 215,500 Solera LLC / Solera Finance, Inc(1) 200,000 10.50 03/01/24 CCC+ 219,858 212,212 SS&C Technologies, Inc(1) 300,000 5.50 09/30/27 B+ 311,403 320,250 Veritas US, Inc / Veritas Bermuda

Ltd(1) 200,000 10.50 02/01/24 CCC 209,811 185,000 Western Digital Corp 210,000 4.75 02/15/26 BB+ 200,084 218,925 Xerox Corp 200,000 4.13 03/15/23 BB+ 197,724 207,250

Total Technology 4,777,285 4,833,731 Utilities: 2.50%

AES Corp 300,000 5.13 09/01/27 BB+ 298,708 320,250 AmeriGas Partners LP / AmeriGas

Finance Corp 200,000 5.50 05/20/25 203,941 216,000 Calpine Corp 500,000 5.50 02/01/24 B 487,025 507,500 NextEra Energy Operating Partners

LP(1) 250,000 4.50 09/15/27 BB 258,287 260,625 NRG Energy, Inc(1) 220,000 5.25 06/15/29 BB 236,064 237,875 NRG Energy, Inc 200,000 6.63 01/15/27 BB 208,321 217,000 Talen Energy Supply LLC(1) 200,000 10.50 01/15/26 B 198,749 190,250 Vistra Operations Co LLC(1) 200,000 5.00 07/31/27 BB 207,580 208,996

Total Utilities 2,098,675 2,158,496 Total Corporate Bonds 82,379,795 83,265,673

Shares Short-Term Investments: 2.02%

Wells Fargo/BlackRock Short Term Investment Fund S(3) 1,742,862 1,742,862 1,742,862



(1) This Fund holds 52.35% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The rates

shown are those in effect on December 31, 2019. (3) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds









$

$

$

9.68

0.63 0.77 1.40

11.08 14.49%

85,738,520

$

$

$

9.74

0.60 0.78 1.38

11.12 14.22%

501,108


0.00% 5.92%

39%

0.24% 5.65%

39%



WELLS FARGO INVESTMENT GRADE CORPORATE BOND INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 5,421,909 $ 5,421,909 Unaffiliated investments 501,784,990 522,572,638 Cash 5,317 Accrued interest income 4,835,527 Fund shares sold 174,064 Cash collateral held at broker 144,047




Shares Class Net Assets Outstanding Net Asset Value G $ 526,909,993 47,202,842 $ 11.16 TMR $ 1,127,862 98,312 $ 11.47




Investment income: Interest income (net of foreign taxes withheld of $1,125) $ 15,539,854 Dividend income from affiliated short term investment 69,297




Investments 2,995,422 Futures contracts (20,860)

Net change in unrealized appreciation (depreciation) on: Investments 40,137,752



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December 31, 2019


Corporate Bonds: 98.96% Basic Materials: 3.72%

Air Products & Chemicals, Inc 20,000 3.00% 11/03/21 A $ 20,224 $ 20,402 Air Products & Chemicals, Inc 79,000 3.35 07/31/24 A 80,701 83,109 ArcelorMittal SA 700,000 4.25 07/16/29 BBB- 732,296 730,336 Barrick Gold Corp 400,000 5.25 04/01/42 BBB 491,090 476,081 Barrick North America Finance LLC 28,000 5.70 05/30/41 BBB 33,888 34,452 BHP Billiton Finance USA Ltd 119,000 4.13 02/24/42 A 125,289 135,303 BHP Billiton Finance USA Ltd 400,000 3.25 11/21/21 A 400,856 409,953 Celulosa Arauco y Constitucion SA 200,000 4.50 08/01/24 BBB- 208,142 209,502 Dow Chemical Co 79,000 5.25 11/15/41 BBB 90,104 92,197 Dow Chemical Co 1,700,000 4.38 11/15/42 BBB 1,777,792 1,817,806 Dow Chemical Co 119,000 3.00 11/15/22 BBB 120,304 121,628 Dow Chemical Co 60,000 4.63 10/01/44 BBB 64,042 66,290 DuPont de Nemours, Inc 1,300,000 4.21 11/15/23 A- 1,389,056 1,389,702 DuPont de Nemours, Inc 300,000 5.32 11/15/38 A- 331,799 357,274 Eastman Chemical Co 107,000 3.60 08/15/22 BBB 109,370 110,708 Eastman Chemical Co 56,000 4.65 10/15/44 BBB 59,956 60,106 Eastman Chemical Co 400,000 3.50 12/01/21 BBB 404,344 410,184 Fibria Overseas Finance Ltd 40,000 5.50 01/17/27 BBB- 42,281 43,750 FMC Corp 200,000 3.45 10/01/29 BBB- 205,946 206,499 Georgia-Pacific LLC 79,000 8.88 05/15/31 A+ 116,209 122,625 Georgia-Pacific LLC 40,000 8.00 01/15/24 A+ 47,664 48,578 International Paper Co 54,000 7.50 08/15/21 BBB 58,261 58,573 International Paper Co 32,000 7.30 11/15/39 BBB 43,807 44,235 International Paper Co 700,000 3.80 01/15/26 BBB 721,668 746,401 International Paper Co 79,000 5.00 09/15/35 BBB 88,425 92,780 International Paper Co 40,000 3.00 02/15/27 BBB 39,050 41,203 International Paper Co 40,000 4.40 08/15/47 BBB 41,271 42,712 International Paper Co 199,000 4.35 08/15/48 BBB 204,303 211,226 International Paper Co 500,000 5.15 05/15/46 BBB 513,391 573,705 Kinross Gold Corp 200,000 4.50 07/15/27 BBB- 211,757 209,500 LYB International Finance BV 1,319,000 4.88 03/15/44 BBB+ 1,455,424 1,482,175 LyondellBasell Industries NV 200,000 5.75 04/15/24 BBB+ 219,981 225,524 Mosaic Co 99,000 4.25 11/15/23 BBB- 101,948 105,542 Mosaic Co 200,000 5.63 11/15/43 BBB- 211,585 234,589 Newmont Goldcorp Corp 200,000 2.80 10/01/29 BBB 198,237 197,854 Newmont Goldcorp Corp 99,000 6.25 10/01/39 BBB 124,019 130,817 Newmont Goldcorp Corp 119,000 3.50 03/15/22 BBB 121,014 122,103 Nucor Corp 20,000 6.40 12/01/37 A- 25,565 27,034 Nucor Corp 79,000 5.20 08/01/43 A- 91,921 97,318 Nucor Corp 400,000 4.40 05/01/48 A- 395,506 452,415 Nutrien Ltd 500,000 3.38 03/15/25 BBB 517,842 517,650 Nutrien Ltd 1,000,000 4.90 06/01/43 BBB 1,023,294 1,123,870 Nutrien Ltd 79,000 3.63 03/15/24 BBB 78,412 82,458 Nutrien Ltd 79,000 5.88 12/01/36 BBB 92,578 93,808 Nutrien Ltd 20,000 5.63 12/01/40 BBB 23,049 23,188 Nutrien Ltd 119,000 3.15 10/01/22 BBB 118,011 121,532 Nutrien Ltd 40,000 6.13 01/15/41 BBB 47,351 49,221 Nutrien Ltd 64,000 5.25 01/15/45 BBB 69,804 75,282 PPG Industries, Inc 500,000 3.75 03/15/28 A- 543,968 543,370 Praxair, Inc 28,000 4.05 03/15/21 A 28,605 28,748




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Bonds (Continued) Praxair, Inc 79,000 3.00% 09/01/21 A $ 80,002 $ 80,585 Praxair, Inc 20,000 2.45 02/15/22 A 20,075 20,235 Praxair, Inc 40,000 2.20 08/15/22 A 39,881 40,356 Praxair, Inc 79,000 2.70 02/21/23 A 79,188 80,642 Rio Tinto Alcan, Inc 20,000 5.75 06/01/35 A 23,772 25,766 Rio Tinto Finance USA Ltd 99,000 7.13 07/15/28 A 125,918 132,597 Rio Tinto Finance USA PLC 79,000 4.75 03/22/42 A 89,214 96,512 Rio Tinto Finance USA PLC 79,000 4.13 08/21/42 A 82,867 90,368 RPM International, Inc 79,000 3.45 11/15/22 BBB 80,780 80,960 Sasol Financing USA LLC 600,000 6.50 09/27/28 BBB- 673,602 666,638 Sherwin-Williams Co 1,700,000 3.80 08/15/49 BBB 1,734,219 1,727,400 Sherwin-Williams Co 119,000 4.55 08/01/45 BBB 125,272 135,305 Sherwin-Williams Co 79,000 3.95 01/15/26 BBB 81,730 84,602 Southern Copper Corp 150,000 7.50 07/27/35 BBB+ 193,950 206,364 Southern Copper Corp 111,000 6.75 04/16/40 BBB+ 137,304 147,890 Suzano Austria GmbH 300,000 6.00 01/15/29 BBB- 326,042 338,250 Teck Resources Ltd 400,000 5.40 02/01/43 BBB- 415,846 421,893 Vale Overseas Ltd 20,000 8.25 01/17/34 BBB- 25,287 28,075 Vale Overseas Ltd 159,000 6.88 11/21/36 BBB- 188,250 206,700 Vale Overseas Ltd 200,000 6.25 08/10/26 BBB- 217,376 234,760 Westlake Chemical Corp 40,000 5.00 08/15/46 BBB 44,133 42,750 Westlake Chemical Corp 40,000 3.60 08/15/26 BBB 40,277 41,426

____________________________________ ____________________________________

Total Basic Materials 19,086,385 19,631,392 ____________________________________ ____________________________________

Communications: 7.40% Alibaba Group Holding Ltd 500,000 4.20 12/06/47 A+ 475,417 553,762 Alibaba Group Holding Ltd 1,400,000 3.60 11/28/24 A+ 1,437,684 1,473,399 Alphabet, Inc 500,000 3.63 05/19/21 AA+ 510,627 513,038 Alphabet, Inc 79,000 3.38 02/25/24 AA+ 81,605 83,968 Alphabet, Inc 119,000 2.00 08/15/26 AA+ 113,466 118,279 Amazon.com, Inc 300,000 3.30 12/05/21 AA- 303,605 308,610 Amazon.com, Inc 500,000 4.80 12/05/34 AA- 606,921 629,275 Amazon.com, Inc 179,000 2.80 08/22/24 AA- 179,126 185,180 Amazon.com, Inc 395,000 3.88 08/22/37 AA- 398,929 447,870 Amazon.com, Inc 495,000 4.05 08/22/47 AA- 556,447 580,645 Amazon.com, Inc 135,000 4.25 08/22/57 AA- 141,502 164,060 America Movil SAB de CV 150,000 6.13 03/30/40 A- 183,844 200,982 America Movil SAB de CV 1,500,000 4.38 07/16/42 A- 1,504,144 1,684,874 AT&T, Inc 199,000 4.05 12/15/23 BBB 208,247 213,092 AT&T, Inc 79,000 3.88 01/15/26 BBB 80,469 84,542 AT&T, Inc 111,000 2.95 07/15/26 BBB 108,087 113,041 AT&T, Inc 79,000 6.10 07/15/40 BBB 91,814 100,480 AT&T, Inc 28,000 6.25 03/29/41 BBB 32,854 36,377 AT&T, Inc 79,000 4.90 06/15/42 BBB 80,693 89,963 AT&T, Inc 200,000 4.85 07/15/45 BBB 202,103 227,782 AT&T, Inc 68,000 4.45 05/15/21 BBB 69,894 70,194 AT&T, Inc 56,000 3.88 08/15/21 BBB 57,297 57,685 AT&T, Inc 153,000 4.35 06/15/45 BBB 137,235 164,698 AT&T, Inc 159,000 3.00 06/30/22 BBB 160,043 162,455 AT&T, Inc 99,000 3.40 05/15/25 BBB 98,163 103,695 AT&T, Inc 87,000 4.50 05/15/35 BBB 84,943 96,745 AT&T, Inc 79,000 4.60 02/15/21 BBB 80,895 80,801


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December 31, 2019


Corporate Bonds (Continued) AT&T, Inc 79,000 6.00% 08/15/40 BBB $ 87,291 $ 100,944 AT&T, Inc 40,000 5.70 03/01/57 BBB 42,174 51,480 AT&T, Inc 200,000 4.55 03/09/49 BBB 179,930 221,443 Baidu, Inc 200,000 4.13 06/30/25 212,939 212,877 Baidu, Inc 200,000 3.63 07/06/27 200,954 206,725 Bell Canada, Inc 300,000 4.46 04/01/48 BBB+ 348,802 346,863 Booking Holdings, Inc 40,000 3.65 03/15/25 A- 40,827 42,728 Booking Holdings, Inc 159,000 2.75 03/15/23 A- 158,886 162,367 British Telecommunications PLC 179,000 9.63 12/15/30 BBB 258,692 274,915 CBS Corp 1,100,000 2.90 06/01/23 BBB 1,112,378 1,122,133 CBS Corp 200,000 5.90 10/15/40 BBB 239,341 245,041 Charter Communications Operating

LLC / Charter Communications Operating Capital 599,000 4.91 07/23/25 BBB- 628,565 659,353

Charter Communications Operating LLC / Charter Communications Operating Capital 119,000 6.38 10/23/35 BBB- 136,354 149,882






Cisco Systems, Inc 300,000 2.95 02/28/26 AA- 314,790 312,606 Cisco Systems, Inc 131,000 5.90 02/15/39 AA- 171,583 183,193 Cisco Systems, Inc 319,000 2.90 03/04/21 AA- 320,524 323,215 Cisco Systems, Inc 1,003,000 3.00 06/15/22 AA- 1,026,143 1,032,863 Cisco Systems, Inc 79,000 3.50 06/15/25 AA- 82,071 85,012 Cisco Systems, Inc 119,000 2.20 02/28/21 AA- 119,102 119,683 Cisco Systems, Inc 200,000 2.60 02/28/23 AA- 202,685 204,368 Comcast Cable Communications

Holdings, Inc 20,000 9.46 11/15/22 A- 23,822 24,158 Comcast Corp 400,000 3.38 02/15/25 A- 422,012 421,790 Comcast Corp 99,000 7.05 03/15/33 A- 133,197 141,743 Comcast Corp 20,000 5.65 06/15/35 A- 24,199 26,259 Comcast Corp 79,000 4.65 07/15/42 A- 86,237 94,795 Comcast Corp 119,000 2.85 01/15/23 A- 120,012 122,315 Comcast Corp 200,000 4.00 11/01/49 A- 199,131 222,134 Comcast Corp 200,000 1.63 01/15/22 A- 193,634 199,461 Comcast Corp 79,000 4.40 08/15/35 A- 85,067 92,439 Comcast Corp 50,000 4.60 08/15/45 A- 54,676 60,015 Comcast Corp 199,000 2.75 03/01/23 A- 200,254 203,536


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December 31, 2019


Corporate Bonds (Continued) Comcast Corp 159,000 3.15% 03/01/26 A- $ 159,803 $ 166,536 Comcast Corp 159,000 3.30 02/01/27 A- 160,674 168,255 Comcast Corp 40,000 4.00 08/15/47 A- 40,190 43,965 Comcast Corp 199,000 3.15 02/15/28 A- 197,528 208,369 Deutsche Telekom International

Finance BV 139,000 8.75 06/15/30 BBB+ 195,077 204,008 Deutsche Telekom International

Finance BV 20,000 9.25 06/01/32 BBB+ 30,072 31,769 Discovery Communications LLC 79,000 4.95 05/15/42 BBB- 78,557 87,407 Discovery Communications LLC 719,000 4.90 03/11/26 BBB- 737,989 801,744 Discovery Communications LLC 199,000 2.95 03/20/23 BBB- 198,416 202,696 Discovery Communications LLC 207,000 3.95 03/20/28 BBB- 205,591 220,707 Discovery Communications LLC 191,000 5.00 09/20/37 BBB- 195,209 215,384 Discovery Communications LLC 207,000 5.20 09/20/47 BBB- 210,727 240,598 Discovery Communications LLC 79,000 3.90 11/15/24 BBB- 79,514 83,875 eBay, Inc 300,000 2.60 07/15/22 BBB+ 303,189 301,615 eBay, Inc 40,000 3.80 03/09/22 BBB+ 40,961 41,335 eBay, Inc 159,000 3.60 06/05/27 BBB+ 159,124 166,554 Expedia Group, Inc(1) 400,000 3.25 02/15/30 BBB 398,634 384,401 Fox Corp(1) 500,000 5.58 01/25/49 BBB 565,886 635,099 Grupo Televisa SAB 99,000 6.63 01/15/40 BBB+ 118,528 123,198 Grupo Televisa SAB 200,000 5.00 05/13/45 BBB+ 199,487 208,251 Interpublic Group of Cos, Inc 500,000 5.40 10/01/48 BBB 491,160 611,864 Juniper Networks, Inc 20,000 5.95 03/15/41 BBB 22,503 23,224 Juniper Networks, Inc 79,000 4.35 06/15/25 BBB 81,846 84,928 Motorola Solutions, Inc 420,000 3.75 05/15/22 BBB- 429,746 434,127 Motorola Solutions, Inc 79,000 3.50 03/01/23 BBB- 79,561 81,549 NBCUniversal Media LLC 123,000 4.38 04/01/21 A- 126,248 126,833 Omnicom Group Inc / Omnicom

Capital Inc 60,000 3.63 05/01/22 BBB+ 61,362 62,127 Omnicom Group Inc / Omnicom

Capital Inc 119,000 3.65 11/01/24 BBB+ 121,411 125,671 Omnicom Group Inc / Omnicom

Capital Inc 159,000 3.60 04/15/26 BBB+ 160,687 167,372 Orange SA 379,000 9.00 03/01/31 BBB+ 540,693 586,250 Rogers Communications, Inc 40,000 4.10 10/01/23 BBB+ 41,626 42,776 Rogers Communications, Inc 1,619,000 5.00 03/15/44 BBB+ 1,918,356 1,956,688 Telefonica Emisiones SA 359,000 7.05 06/20/36 BBB 486,023 501,504 Telefonica Emisiones SA 200,000 4.57 04/27/23 BBB 210,624 215,090 Telefonica Emisiones SA 1,100,000 4.10 03/08/27 BBB 1,128,219 1,189,450 Telefonica Europe BV 24,000 8.25 09/15/30 BBB 32,608 34,433 Thomson Reuters Corp 300,000 3.35 05/15/26 BBB 311,003 308,817 Time Warner Cable LLC 99,000 6.55 05/01/37 BBB- 115,036 121,196 Time Warner Cable LLC 64,000 7.30 07/01/38 BBB- 79,150 83,315 Time Warner Cable LLC 956,000 6.75 06/15/39 BBB- 1,136,863 1,211,402 Time Warner Cable LLC 79,000 4.00 09/01/21 BBB- 80,293 80,824 Time Warner Cable LLC 119,000 4.50 09/15/42 BBB- 109,951 121,342 Time Warner Cable, Inc 79,000 5.88 11/15/40 BBB- 85,287 90,462 Time Warner Entertainment Co LP 52,000 8.38 03/15/23 BBB- 59,744 61,350 Time Warner Entertainment Co LP 119,000 8.38 07/15/33 BBB- 157,747 166,642 TWDC Enterprises 18 Corp 200,000 3.00 02/13/26 A 210,730 210,366


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December 31, 2019


Corporate Bonds (Continued) TWDC Enterprises 18 Corp 40,000 3.75% 06/01/21 A $ 40,858 $ 41,100 TWDC Enterprises 18 Corp 719,000 4.13 12/01/41 A 836,885 823,875 TWDC Enterprises 18 Corp 20,000 2.55 02/15/22 A 20,095 20,312 TWDC Enterprises 18 Corp 379,000 4.13 06/01/44 A 384,412 446,140 TWDC Enterprises 18 Corp 79,000 1.85 07/30/26 A 73,770 77,555 TWDC Enterprises 18 Corp 159,000 2.95 06/15/27 A 158,533 167,564 Verizon Communications, Inc 119,000 2.45 11/01/22 BBB+ 118,556 120,473 Verizon Communications, Inc 538,000 5.01 08/21/54 BBB+ 627,785 691,604 Verizon Communications, Inc 159,000 4.40 11/01/34 BBB+ 159,875 183,964 Verizon Communications, Inc 119,000 3.50 11/01/24 BBB+ 120,704 126,085 Verizon Communications, Inc 159,000 4.27 01/15/36 BBB+ 156,589 179,529 Verizon Communications, Inc 28,000 2.63 08/15/26 BBB+ 26,759 28,406 Verizon Communications, Inc 243,000 2.95 03/15/22 BBB+ 244,887 248,331 Verizon Communications, Inc 159,000 4.81 03/15/39 BBB+ 162,969 191,465 Verizon Communications, Inc 226,000 5.25 03/16/37 BBB+ 254,850 283,199 Verizon Communications, Inc 318,000 4.13 03/16/27 BBB+ 329,042 352,661 ViacomCBS, Inc 200,000 4.00 01/15/26 BBB 198,397 214,324 ViacomCBS, Inc 20,000 4.30 02/15/21 BBB 20,412 20,402 ViacomCBS, Inc 79,000 4.85 07/01/42 BBB 82,192 88,179 ViacomCBS, Inc 159,000 2.90 01/15/27 BBB 152,057 159,237 ViacomCBS, Inc 79,000 3.38 02/15/28 BBB 77,007 81,614 ViacomCBS, Inc 95,000 7.88 07/30/30 BBB 125,457 133,027 ViacomCBS, Inc 1,800,000 4.38 03/15/43 BBB 1,855,686 1,903,611 ViacomCBS, Inc 79,000 5.85 09/01/43 BBB 79,931 98,724 Vodafone Group PLC 1,400,000 4.88 06/19/49 BBB 1,615,082 1,618,525 Vodafone Group PLC 20,000 7.88 02/15/30 BBB 26,307 27,862 Vodafone Group PLC 159,000 2.95 02/19/23 BBB 159,916 162,766 Vodafone Group PLC 99,000 4.38 02/19/43 BBB 99,373 106,414

Total Communications 37,134,206 39,050,811 Consumer, Cyclical: 6.20%

American Airlines 2016-1 Class AA Pass-Through Trust 101,968 3.58 01/15/28 AA+ 104,432 106,995

American Airlines 2016-2 Class AA Pass-Through Trust 855 3.20 06/15/28 AA+ 854 878

American Airlines 2017-1 Class AA Pass-Through Trust 438,125 3.65 02/15/29 451,393 461,464

American Airlines 2017-2 Class AA Pass-Through Trust 72,587 3.35 10/15/29 72,901 74,021

American Honda Finance Corp 200,000 2.30 09/09/26 A 186,606 199,531 American Honda Finance Corp 200,000 3.63 10/10/23 A 206,316 211,186 American Honda Finance Corp 159,000 1.65 07/12/21 A 157,627 158,651 American Honda Finance Corp 1,300,000 1.70 09/09/21 A 1,290,630 1,298,065 Aptiv Corp 83,000 4.15 03/15/24 BBB 86,442 87,890 Aptiv PLC 40,000 4.25 01/15/26 BBB 41,967 43,021 AutoNation, Inc 20,000 3.35 01/15/21 BBB- 20,124 20,205 AutoZone, Inc 200,000 3.13 07/15/23 BBB 200,913 205,729 AutoZone, Inc 99,000 3.70 04/15/22 BBB 101,046 102,119 AutoZone, Inc 40,000 3.75 06/01/27 BBB 40,450 42,650 Cintas Corp No 2 79,000 3.25 06/01/22 A- 80,149 81,232 Continental Airlines 2012-1 Class A

Pass-Through Trust 53,726 4.15 04/11/24 A- 55,849 56,420


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



December 31, 2019


Corporate Bonds (Continued) Costco Wholesale Corp 359,000 3.00% 05/18/27 A+ $ 362,461 $ 378,296 CVS Health Corp 99,000 2.75 12/01/22 BBB 98,737 100,556 CVS Health Corp 559,000 3.50 07/20/22 BBB 574,599 576,860 CVS Health Corp 127,000 3.88 07/20/25 BBB 129,505 135,140 CVS Health Corp 159,000 4.88 07/20/35 BBB 173,198 182,441 CVS Health Corp 187,000 5.13 07/20/45 BBB 207,887 221,216 CVS Health Corp 199,000 2.13 06/01/21 BBB 197,801 199,302 CVS Health Corp 79,000 2.88 06/01/26 BBB 76,086 80,161 Daimler Finance North America LLC 107,000 8.50 01/18/31 A- 152,869 159,033 Delta Air Lines 2007-1 Class A Pass-

Through Trust 247,225 6.82 08/10/22 A- 269,863 268,308 Delta Air Lines, Inc 40,000 3.63 03/15/22 BB+ 40,570 40,948 Dollar General Corp 60,000 3.25 04/15/23 BBB 60,964 61,937 Dollar General Corp 40,000 4.15 11/01/25 BBB 41,999 43,510 Dollar Tree, Inc 300,000 4.20 05/15/28 BBB- 291,860 321,428 DR Horton, Inc 300,000 4.75 02/15/23 BBB 320,493 319,938 Ford Motor Co 79,000 7.45 07/16/31 BBB- 99,758 93,715 Ford Motor Co 139,000 4.75 01/15/43 BBB- 137,366 122,938 Ford Motor Credit Co LLC 200,000 4.38 08/06/23 BBB- 207,588 207,837 Ford Motor Credit Co LLC 200,000 3.22 01/09/22 BBB- 201,485 201,399 Ford Motor Credit Co LLC 600,000 3.10 05/04/23 BBB- 599,609 599,167 Ford Motor Credit Co LLC 200,000 3.34 03/28/22 BBB- 202,085 201,924 Ford Motor Credit Co LLC 200,000 5.75 02/01/21 BBB- 203,281 206,422 Ford Motor Credit Co LLC 300,000 4.69 06/09/25 BBB- 309,872 311,603 General Motors Co 179,000 6.25 10/02/43 BBB 205,970 200,623 General Motors Co 328,000 6.60 04/01/36 BBB 346,926 386,392 General Motors Co 20,000 6.75 04/01/46 BBB 24,301 23,476 General Motors Co 159,000 4.20 10/01/27 BBB 161,387 166,103 General Motors Co 159,000 5.15 04/01/38 BBB 164,853 162,299 General Motors Financial Co, Inc 79,000 4.38 09/25/21 BBB 81,223 81,843 General Motors Financial Co, Inc 179,000 4.00 01/15/25 BBB 182,162 188,042 General Motors Financial Co, Inc 119,000 4.20 03/01/21 BBB 121,129 121,559 General Motors Financial Co, Inc 119,000 5.25 03/01/26 BBB 127,462 132,059 General Motors Financial Co, Inc 28,000 3.70 05/09/23 BBB 28,434 28,856 General Motors Financial Co, Inc 119,000 3.20 07/06/21 BBB 120,016 120,616 General Motors Financial Co, Inc 40,000 4.00 10/06/26 BBB 40,262 41,902 General Motors Financial Co, Inc 79,000 4.35 01/17/27 BBB 80,797 82,964 General Motors Financial Co, Inc 40,000 3.95 04/13/24 BBB 40,842 41,792 GLP Capital LP / GLP Financing II,

Inc 400,000 5.25 06/01/25 BBB- 412,956 439,040 Hasbro, Inc 99,000 6.35 03/15/40 BBB- 119,427 114,710 Home Depot, Inc 300,000 4.50 12/06/48 A 375,758 369,395 Home Depot, Inc 159,000 5.88 12/16/36 A 205,587 219,012 Home Depot, Inc 119,000 4.40 04/01/21 A 122,315 122,179 Home Depot, Inc 79,000 4.20 04/01/43 A 83,678 91,413 Home Depot, Inc 200,000 2.63 06/01/22 A 202,603 203,970 Home Depot, Inc 119,000 4.25 04/01/46 A 127,991 140,579 Home Depot, Inc 199,000 2.00 04/01/21 A 198,840 199,389 Home Depot, Inc 99,000 3.00 04/01/26 A 99,685 103,387 Home Depot, Inc 738,000 3.90 06/15/47 A 721,521 832,503 Home Depot, Inc 79,000 2.80 09/14/27 A 77,897 82,080




December 31, 2019


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Corporate Bonds (Continued) Las Vegas Sands Corp 500,000 3.90% 08/08/29 BBB- $ 514,917 $ 521,485 Lear Corp 72,000 5.25 01/15/25 BBB- 75,755 74,017 Lear Corp 159,000 3.80 09/15/27 BBB- 159,424 160,422 Lowe's Cos, Inc 107,000 3.12 04/15/22 BBB+ 108,687 109,568 Lowe's Cos, Inc 28,000 4.65 04/15/42 BBB+ 31,193 32,024 Lowe's Cos, Inc 99,000 3.88 09/15/23 BBB+ 102,907 104,977 Lowe's Cos, Inc 99,000 4.25 09/15/44 BBB+ 104,146 106,472 Lowe's Cos, Inc 72,000 3.38 09/15/25 BBB+ 73,664 75,990 Lowe's Cos, Inc 519,000 2.50 04/15/26 BBB+ 516,413 522,376 Lowe's Cos, Inc 119,000 3.70 04/15/46 BBB+ 116,205 121,015 Lowe's Cos, Inc 559,000 3.10 05/03/27 BBB+ 550,281 577,403 Lowe's Cos, Inc 159,000 4.05 05/03/47 BBB+ 163,654 171,235 Lowe's Cos, Inc 400,000 3.75 04/15/21 BBB+ 405,131 407,302 Macy's Retail Holdings, Inc 20,000 3.88 01/15/22 BBB- 19,906 20,376 Macy's Retail Holdings, Inc 472,000 4.38 09/01/23 BBB- 487,588 491,717 Macy's Retail Holdings, Inc 79,000 4.50 12/15/34 BBB- 63,537 75,044 Magna International, Inc 79,000 3.63 06/15/24 A- 81,195 83,072 Marriott International, Inc 79,000 3.13 10/15/21 BBB 79,679 80,354 Marriott International, Inc 79,000 2.88 03/01/21 BBB 79,293 79,712 Marriott International, Inc 159,000 3.13 06/15/26 BBB 158,137 164,706 McDonald's Corp 20,000 3.63 05/20/21 BBB+ 20,376 20,500 McDonald's Corp 79,000 3.25 06/10/24 BBB+ 80,583 83,098 McDonald's Corp 159,000 3.38 05/26/25 BBB+ 162,228 168,070 McDonald's Corp 800,000 2.75 12/09/20 BBB+ 803,493 805,432 McDonald's Corp 524,000 3.70 01/30/26 BBB+ 549,007 564,860 McDonald's Corp 20,000 4.70 12/09/35 BBB+ 21,993 23,670 McDonald's Corp 219,000 4.88 12/09/45 BBB+ 247,723 263,238 McDonald's Corp 200,000 4.45 09/01/48 BBB+ 195,771 228,504 NIKE, Inc 79,000 3.88 11/01/45 AA- 80,309 89,518 NIKE, Inc 400,000 2.38 11/01/26 AA- 383,317 406,258 Nordstrom, Inc 400,000 4.00 03/15/27 BBB 418,812 415,310 O'Reilly Automotive, Inc 300,000 3.55 03/15/26 BBB 316,197 317,141 O'Reilly Automotive, Inc 79,000 4.88 01/14/21 BBB 80,788 80,792 O'Reilly Automotive, Inc 119,000 3.60 09/01/27 BBB 119,531 126,876 PACCAR Financial Corp 159,000 2.30 08/10/22 A+ 158,317 160,535 PACCAR Financial Corp 600,000 3.15 08/09/21 A+ 609,725 612,436 QVC, Inc 119,000 4.85 04/01/24 BBB- 123,249 124,611 QVC, Inc 300,000 5.13 07/02/22 BBB- 311,085 315,516 Sands China Ltd 300,000 5.13 08/08/25 BBB- 299,408 329,202 Starbucks Corp 400,000 2.70 06/15/22 BBB+ 397,814 407,183 Starbucks Corp 1,759,000 2.45 06/15/26 BBB+ 1,764,471 1,782,777 Tapestry, Inc 40,000 4.25 04/01/25 BBB- 41,012 42,308 Target Corp 159,000 3.50 07/01/24 A 164,067 170,286 Target Corp 179,000 2.50 04/15/26 A 173,642 183,420 Target Corp 1,600,000 3.63 04/15/46 A 1,518,061 1,744,724 TJX Cos, Inc 40,000 2.75 06/15/21 A+ 40,300 40,484 Toyota Motor Credit Corp 200,000 3.65 01/08/29 AA- 204,288 218,657 Toyota Motor Credit Corp 700,000 2.65 04/12/22 AA- 709,302 712,177 Toyota Motor Credit Corp 20,000 4.25 01/11/21 AA- 20,407 20,482 Toyota Motor Credit Corp 107,000 3.40 09/15/21 AA- 109,010 109,748 Toyota Motor Credit Corp 52,000 3.30 01/12/22 AA- 53,027 53,466


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December 31, 2019


Corporate Bonds (Continued) Toyota Motor Credit Corp 119,000 2.63% 01/10/23 AA- $ 119,816 $ 121,268 Toyota Motor Credit Corp 40,000 1.90 04/08/21 AA- 39,870 40,047 Toyota Motor Credit Corp 40,000 3.20 01/11/27 AA- 40,638 42,276 Toyota Motor Credit Corp 559,000 2.15 09/08/22 AA- 553,832 563,057 United Airlines 2013-1 Class A Pass-

Through Trust 49,675 4.30 08/15/25 A+ 52,133 53,208 United Airlines 2014-1 Class A Pass-

Through Trust 32,293 4.00 04/11/26 A+ 33,600 34,316 United Airlines 2014-2 Class A Pass-

Through Trust 61,114 3.75 09/03/26 A+ 62,739 64,373 United Airlines 2016-1 Class AA Pass-

Through Trust 142,220 3.10 07/07/28 142,633 145,655 Walgreen Co 40,000 4.40 09/15/42 BBB 39,557 39,691 Walgreens Boots Alliance, Inc 1,679,000 3.45 06/01/26 BBB 1,599,203 1,706,606 Walmart, Inc 500,000 7.55 02/15/30 AA 675,642 724,638 Walmart, Inc 1,000,000 5.63 04/15/41 AA 1,317,362 1,404,205 Whirlpool Corp 79,000 3.70 05/01/25 BBB 80,801 83,387 Whirlpool Corp 20,000 4.85 06/15/21 BBB 20,634 20,736 Whirlpool Corp 79,000 4.70 06/01/22 BBB 82,436 83,551 WW Grainger, Inc 56,000 4.60 06/15/45 A+ 60,728 66,761 WW Grainger, Inc 79,000 3.75 05/15/46 A+ 75,826 81,221

Total Consumer, Cyclical 31,598,132 32,755,861 Consumer, Non-cyclical: 18.39%

Abbott Laboratories 56,000 6.15 11/30/37 A- 67,840 78,667 Abbott Laboratories 56,000 6.00 04/01/39 A- 67,325 77,557 Abbott Laboratories 220,000 5.30 05/27/40 A- 247,667 288,538 Abbott Laboratories 79,000 2.55 03/15/22 A- 78,844 80,261 Abbott Laboratories 555,000 3.40 11/30/23 A- 580,349 583,359 Abbott Laboratories 658,000 3.75 11/30/26 A- 664,725 718,493 Abbott Laboratories 238,000 4.90 11/30/46 A- 265,472 312,266 AbbVie, Inc 199,000 2.90 11/06/22 A- 200,205 202,992 AbbVie, Inc 40,000 4.40 11/06/42 A- 41,548 43,167 AbbVie, Inc 559,000 4.50 05/14/35 A- 582,372 632,608 AbbVie, Inc 199,000 4.70 05/14/45 A- 215,001 222,661 AbbVie, Inc 79,000 2.30 05/14/21 A- 78,956 79,338 AbbVie, Inc 199,000 4.30 05/14/36 A- 207,787 219,905 AbbVie, Inc 79,000 4.45 05/14/46 A- 82,872 84,367 AbbVie, Inc 199,000 2.85 05/14/23 A- 199,457 202,852 AbbVie, Inc 159,000 3.20 05/14/26 A- 158,233 164,467 Aetna, Inc 1,200,000 6.63 06/15/36 BBB 1,542,657 1,617,579 Aetna, Inc 200,000 2.80 06/15/23 BBB 195,125 203,119 Aetna, Inc 724,000 3.88 08/15/47 BBB 709,728 734,146 Allergan Finance LLC 200,000 3.25 10/01/22 BBB 196,658 204,321 Allergan Funding SCS 200,000 4.85 06/15/44 BBB 195,778 217,367 Allergan Funding SCS 119,000 3.45 03/15/22 BBB 120,706 121,685 Allergan Funding SCS 1,059,000 3.80 03/15/25 BBB 1,077,821 1,111,868 Allergan Funding SCS 139,000 4.55 03/15/35 BBB 145,459 151,621 Allergan Funding SCS 159,000 4.75 03/15/45 BBB 167,481 172,684 Altria Group, Inc 800,000 2.85 08/09/22 BBB 805,857 815,038 Altria Group, Inc 159,000 5.38 01/31/44 BBB 187,890 179,181 Altria Group, Inc 159,000 4.00 01/31/24 BBB 166,280 168,571


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December 31, 2019


Corporate Bonds (Continued) Altria Group, Inc 600,000 4.50% 05/02/43 BBB $ 591,198 $ 611,674 AmerisourceBergen Corp 400,000 3.40 05/15/24 A- 416,285 415,840 AmerisourceBergen Corp 159,000 3.50 11/15/21 A- 161,539 162,771 Amgen, Inc 103,000 6.38 06/01/37 A- 130,056 140,271 Amgen, Inc 28,000 6.40 02/01/39 A- 35,865 37,728 Amgen, Inc 107,000 4.10 06/15/21 A- 109,329 109,941 Amgen, Inc 111,000 5.65 06/15/42 A- 135,096 140,494 Amgen, Inc 79,000 3.63 05/15/22 A- 80,866 81,630 Amgen, Inc 79,000 3.63 05/22/24 A- 81,431 83,445 Amgen, Inc 859,000 4.40 05/01/45 A- 850,442 964,279 Amgen, Inc 159,000 4.56 06/15/48 A- 169,305 184,313 Amgen, Inc 79,000 4.66 06/15/51 A- 85,200 92,775 Anheuser-Busch Cos LLC / Anheuser-

Busch InBev Worldwide, Inc 318,000 4.70 02/01/36 A- 307,868 366,766 Anheuser-Busch Cos LLC / Anheuser-

Busch InBev Worldwide, Inc 286,000 4.90 02/01/46 A- 273,527 338,235 Anheuser-Busch InBev Finance, Inc 500,000 3.70 02/01/24 A- 508,237 530,157 Anheuser-Busch InBev Finance, Inc 79,000 4.63 02/01/44 A- 85,451 89,356 Anheuser-Busch InBev Worldwide, Inc 200,000 4.44 10/06/48 A- 222,714 224,115 Anheuser-Busch InBev Worldwide, Inc 300,000 4.00 04/13/28 A- 322,726 329,759 Anthem, Inc 1,005,000 3.70 09/15/49 A 969,921 1,000,076 Anthem, Inc 20,000 6.38 06/15/37 A 25,788 26,053 Anthem, Inc 1,300,000 4.63 05/15/42 A 1,396,315 1,463,092 Anthem, Inc 159,000 4.65 08/15/44 A 170,518 179,722 Anthem, Inc 200,000 4.55 03/01/48 A 193,241 225,648 Archer-Daniels-Midland Co 20,000 4.54 03/26/42 A 21,990 23,606 Archer-Daniels-Midland Co 103,000 4.02 04/16/43 A 106,910 113,503 Archer-Daniels-Midland Co 759,000 3.75 09/15/47 A 817,262 828,596 Ascension Health 107,000 3.95 11/15/46 AA+ 109,644 118,456 AstraZeneca PLC 519,000 6.45 09/15/37 BBB+ 718,683 732,606 AstraZeneca PLC 1,419,000 3.38 11/16/25 BBB+ 1,439,217 1,506,643 AstraZeneca PLC 79,000 3.13 06/12/27 BBB+ 78,194 82,310 AstraZeneca PLC 79,000 2.38 06/12/22 BBB+ 78,671 79,879 BAT Capital Corp 199,000 2.76 08/15/22 BBB+ 199,086 201,834 BAT Capital Corp 79,000 3.22 08/15/24 BBB+ 79,361 80,738 BAT Capital Corp 519,000 3.56 08/15/27 BBB+ 498,072 529,274 BAT Capital Corp 215,000 4.39 08/15/37 BBB+ 221,627 217,264 BAT Capital Corp 207,000 4.54 08/15/47 BBB+ 210,905 207,577 Baxalta, Inc 79,000 4.00 06/23/25 BBB+ 81,797 85,046 Baxter International, Inc 40,000 3.50 08/15/46 A- 36,449 39,002 Baxter International, Inc 40,000 2.60 08/15/26 A- 38,648 40,321 Baxter International, Inc 40,000 1.70 08/15/21 A- 39,563 39,932 Becton Dickinson and Co 28,000 2.89 06/06/22 BBB 28,030 28,453 Becton Dickinson and Co 959,000 3.36 06/06/24 BBB 991,122 998,366 Becton Dickinson and Co 159,000 3.70 06/06/27 BBB 159,749 169,263 Becton Dickinson and Co 699,000 4.67 06/06/47 BBB 792,924 830,796 Biogen, Inc 123,000 5.20 09/15/45 A- 140,483 148,134 Biogen, Inc 24,000 3.63 09/15/22 A- 24,640 24,967 Biogen, Inc 123,000 4.05 09/15/25 A- 128,721 133,668


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December 31, 2019


Corporate Bonds (Continued) Boston Scientific Corp 200,000 4.00% 03/01/29 BBB- $ 200,600 $ 221,049 Boston Scientific Corp 359,000 7.38 01/15/40 BBB- 536,305 546,227 Bristol-Myers Squibb Co(1) 600,000 4.35 11/15/47 A+ 706,915 713,754 Bristol-Myers Squibb Co(1) 159,000 2.25 08/15/21 A+ 159,619 159,943 Bristol-Myers Squibb Co(1) 319,000 3.25 08/15/22 A+ 327,830 329,464 Bristol-Myers Squibb Co(1) 40,000 3.55 08/15/22 A+ 41,484 41,551 Bristol-Myers Squibb Co(1) 79,000 4.00 08/15/23 A+ 83,598 84,123 Bristol-Myers Squibb Co(1) 159,000 3.88 08/15/25 A+ 170,561 171,881 Bristol-Myers Squibb Co(1) 79,000 5.25 08/15/43 A+ 100,551 102,239 Bristol-Myers Squibb Co(1) 103,000 5.00 08/15/45 A+ 131,317 131,748 Bristol-Myers Squibb Co(1) 500,000 4.13 06/15/39 A+ 529,667 575,652 Bristol-Myers Squibb Co 79,000 2.00 08/01/22 A+ 78,494 79,479 Bristol-Myers Squibb Co 79,000 4.50 03/01/44 A+ 87,311 94,865 Bunge Ltd Finance Corp 400,000 3.75 09/25/27 BBB 361,742 410,955 Campbell Soup Co 200,000 4.80 03/15/48 BBB- 190,435 230,966 Campbell Soup Co 48,000 2.50 08/02/22 BBB- 47,965 48,563 Campbell Soup Co 79,000 3.30 03/19/25 BBB- 79,631 81,343 Cardinal Health, Inc 79,000 4.50 11/15/44 BBB 78,672 77,820 Cardinal Health, Inc 200,000 3.75 09/15/25 BBB 204,950 212,351 Cardinal Health, Inc 199,000 2.62 06/15/22 BBB 198,118 200,945 Cardinal Health, Inc 79,000 3.41 06/15/27 BBB 78,298 80,717 Church & Dwight Co, Inc 159,000 2.45 08/01/22 BBB+ 158,331 160,272 Cigna Corp(1) 40,000 6.13 11/15/41 A- 49,388 50,975 Cigna Corp(1) 791,000 4.80 07/15/46 A- 865,066 915,485 Cigna Corp(1) 107,000 4.75 11/15/21 A- 111,795 112,133 Cigna Corp(1) 68,000 3.90 02/15/22 A- 70,183 70,397 Cigna Corp(1) 200,000 3.50 06/15/24 A- 207,138 208,734 Cigna Corp(1) 719,000 4.50 02/25/26 A- 778,249 788,210 Clorox Co 99,000 3.80 11/15/21 A- 101,313 102,278 Coca-Cola Co 700,000 1.55 09/01/21 A+ 698,108 698,042 Coca-Cola Co 244,000 3.30 09/01/21 A+ 246,165 249,992 Coca-Cola Co 159,000 3.20 11/01/23 A+ 163,477 166,634 Coca-Cola Co 659,000 2.55 06/01/26 A+ 641,505 672,941 Coca-Cola Co 340,000 2.90 05/25/27 A+ 357,098 355,096 Coca-Cola Co 28,000 2.20 05/25/22 A+ 28,024 28,278 Colgate-Palmolive Co 20,000 2.45 11/15/21 AA- 20,061 20,262 Colgate-Palmolive Co 79,000 3.25 03/15/24 AA- 80,689 83,375 Colgate-Palmolive Co 40,000 4.00 08/15/45 AA- 41,515 46,986 Colgate-Palmolive Co 400,000 2.25 11/15/22 AA- 394,914 405,338 CommonSpirit Health 79,000 4.35 11/01/42 BBB+ 73,931 80,928 CommonSpirit Health 300,000 3.82 10/01/49 AA 301,708 291,785 Conagra Brands, Inc 400,000 4.85 11/01/28 BBB- 403,012 458,360 Conagra Brands, Inc 200,000 5.30 11/01/38 BBB- 186,746 236,977 Conagra Brands, Inc 900,000 5.40 11/01/48 BBB- 867,389 1,096,011 Conagra Brands, Inc 94,000 3.20 01/25/23 BBB- 95,168 96,833 Constellation Brands, Inc 24,000 3.75 05/01/21 BBB 24,385 24,544 Constellation Brands, Inc 91,000 4.25 05/01/23 BBB 94,899 96,668 Constellation Brands, Inc 1,100,000 3.70 12/06/26 BBB 1,122,614 1,166,747 Constellation Brands, Inc 500,000 3.20 02/15/23 BBB 494,158 513,402 Covidien International Finance SA 107,000 3.20 06/15/22 A 108,815 109,880 CVS Health Corp 200,000 3.25 08/15/29 BBB 202,816 202,977




December 31, 2019


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Corporate Bonds (Continued) CVS Health Corp 200,000 4.10% 03/25/25 BBB $ 202,395 $ 214,528 DH Europe Finance II Sarl 600,000 3.40 11/15/49 A 625,762 609,200 Diageo Capital PLC 1,900,000 2.63 04/29/23 A- 1,933,236 1,939,358 Diageo Capital PLC 279,000 3.88 04/29/43 A- 269,041 307,296 Ecolab, Inc 42,000 4.35 12/08/21 A- 43,552 43,969 Ecolab, Inc 79,000 5.50 12/08/41 A- 96,380 104,459 Ecolab, Inc 459,000 2.38 08/10/22 A- 461,673 463,476 Eli Lilly & Co 79,000 3.70 03/01/45 A+ 79,954 85,395 Eli Lilly & Co 2,100,000 3.38 03/15/29 A+ 2,131,997 2,262,328 Estee Lauder Cos, Inc 400,000 3.15 03/15/27 A+ 424,720 423,385 Estee Lauder Cos, Inc 79,000 4.38 06/15/45 A+ 85,249 92,959 Estee Lauder Cos, Inc 24,000 1.70 05/10/21 A+ 23,849 23,965 General Mills, Inc 20,000 5.40 06/15/40 BBB 23,196 24,692 General Mills, Inc 1,100,000 3.15 12/15/21 BBB 1,097,533 1,124,364 General Mills, Inc 40,000 3.65 02/15/24 BBB 41,073 42,024 General Mills, Inc 79,000 3.20 02/10/27 BBB 78,911 83,153 General Mills, Inc 500,000 4.70 04/17/48 BBB 468,697 594,683 Gilead Sciences, Inc 400,000 3.25 09/01/22 A 413,180 413,279 Gilead Sciences, Inc 159,000 4.50 04/01/21 A 163,404 163,049 Gilead Sciences, Inc 107,000 4.40 12/01/21 A 111,039 111,622 Gilead Sciences, Inc 139,000 4.80 04/01/44 A 154,668 166,584 Gilead Sciences, Inc 1,200,000 4.15 03/01/47 A 1,135,891 1,332,685 Gilead Sciences, Inc 200,000 2.50 09/01/23 A 194,252 202,906 GlaxoSmithKline Capital PLC 400,000 3.00 06/01/24 A+ 408,303 416,877 GlaxoSmithKline Capital, Inc 24,000 5.38 04/15/34 A+ 28,646 30,848 GlaxoSmithKline Capital, Inc 183,000 6.38 05/15/38 A+ 245,991 262,179 GlaxoSmithKline Capital, Inc 119,000 2.80 03/18/23 A+ 120,078 121,882 GlaxoSmithKline Capital, Inc 1,100,000 4.20 03/18/43 A+ 1,199,925 1,274,708 Global Payments, Inc 700,000 2.65 02/15/25 BBB- 703,218 702,501 Global Payments, Inc 200,000 3.75 06/01/23 BBB- 199,203 208,159 HCA, Inc 1,500,000 5.00 03/15/24 BBB- 1,616,531 1,638,452 Hershey Co 640,000 2.30 08/15/26 A 643,568 645,795 Humana, Inc 500,000 4.95 10/01/44 BBB+ 512,318 589,029 JM Smucker Co 24,000 3.50 10/15/21 BBB 24,418 24,613 JM Smucker Co 79,000 3.50 03/15/25 BBB 80,210 83,074 JM Smucker Co 79,000 4.25 03/15/35 BBB 82,456 85,456 JM Smucker Co 40,000 4.38 03/15/45 BBB 41,520 43,055 Johnson & Johnson 500,000 3.63 03/03/37 AAA 555,681 550,910 Johnson & Johnson 99,000 5.95 08/15/37 AAA 132,911 140,573 Johnson & Johnson 79,000 3.55 05/15/21 AAA 80,641 80,823 Johnson & Johnson 32,000 4.85 05/15/41 AAA 37,893 40,884 Johnson & Johnson 20,000 3.55 03/01/36 AAA 20,537 21,838 Johnson & Johnson 559,000 3.70 03/01/46 AAA 522,119 629,855 Johnson & Johnson 199,000 2.45 03/01/26 AAA 195,941 202,099 Johnson & Johnson 500,000 3.40 01/15/38 AAA 514,714 534,987 Kaiser Foundation Hospitals 20,000 3.50 04/01/22 AA- 20,399 20,661 Kaiser Foundation Hospitals 20,000 4.88 04/01/42 AA- 23,186 24,699 Kaiser Foundation Hospitals 20,000 3.15 05/01/27 AA- 20,134 20,869 Kaiser Foundation Hospitals 175,000 4.15 05/01/47 AA- 186,388 199,502 Kellogg Co 55,000 4.00 12/15/20 BBB 55,893 56,007 Kellogg Co 79,000 3.13 05/17/22 BBB 79,910 80,767


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December 31, 2019


Corporate Bonds (Continued) Kellogg Co 183,000 3.25% 04/01/26 BBB $ 183,018 $ 190,139 Kellogg Co 40,000 4.50 04/01/46 BBB 41,363 44,522 Keurig Dr Pepper, Inc 40,000 3.40 11/15/25 BBB 40,398 41,739 Keurig Dr Pepper, Inc 600,000 5.09 05/25/48 BBB 591,705 720,713 Keurig Dr Pepper, Inc 400,000 4.42 05/25/25 BBB 403,060 436,444 Keurig Dr Pepper, Inc 127,000 4.50 11/15/45 BBB 133,101 140,336 Keurig Dr Pepper, Inc 600,000 3.13 12/15/23 BBB 616,702 616,489 Kimberly-Clark Corp 20,000 6.63 08/01/37 A 27,548 29,390 Kimberly-Clark Corp 79,000 2.40 03/01/22 A 79,104 79,836 Kimberly-Clark Corp 40,000 2.75 02/15/26 A 39,721 41,156 Kimberly-Clark Corp 40,000 3.20 07/30/46 A 36,763 40,252 Kimberly-Clark Corp 600,000 3.20 04/25/29 A 628,330 637,501 Kraft Heinz Foods Co 300,000 4.63 01/30/29 BBB- 328,571 329,630 Kraft Heinz Foods Co 79,000 5.00 06/04/42 BBB- 83,957 84,206 Kraft Heinz Foods Co 119,000 6.50 02/09/40 BBB- 147,356 144,146 Kraft Heinz Foods Co 40,000 6.88 01/26/39 BBB- 51,017 49,966 Kraft Heinz Foods Co 147,000 4.38 06/01/46 BBB- 143,576 144,487 Kraft Heinz Foods Co 223,000 3.00 06/01/26 BBB- 217,163 222,821 Kraft Heinz Foods Co 40,000 3.50 07/15/22 BBB- 40,734 41,181 Kraft Heinz Foods Co 779,000 3.95 07/15/25 BBB- 802,358 824,069 Kraft Heinz Foods Co 95,000 5.20 07/15/45 BBB- 103,169 102,886 Kroger Co 320,000 7.50 04/01/31 BBB 408,793 442,671 Kroger Co 79,000 6.90 04/15/38 BBB 97,606 106,184 Kroger Co 32,000 5.40 07/15/40 BBB 34,125 37,156 Kroger Co 79,000 3.85 08/01/23 BBB 80,978 83,509 Kroger Co 679,000 3.30 01/15/21 BBB 684,563 687,681 Kroger Co 79,000 3.50 02/01/26 BBB 78,465 83,213 Kroger Co 107,000 3.70 08/01/27 BBB 106,468 114,454 Kroger Co 119,000 4.65 01/15/48 BBB 117,244 129,987 Laboratory Corp of America Holdings 45,000 3.75 08/23/22 BBB 46,010 46,712 Laboratory Corp of America Holdings 60,000 4.70 02/01/45 BBB 62,237 67,368 Laboratory Corp of America Holdings 159,000 3.25 09/01/24 BBB 159,879 165,273 Laboratory Corp of America Holdings 79,000 3.60 09/01/27 BBB 79,727 83,361 Massachusetts Institute of Technology 60,000 3.89 07/01/2116 AAA 56,558 65,001 McCormick & Co, Inc 159,000 3.15 08/15/24 BBB 160,507 164,973 McCormick & Co, Inc 159,000 3.40 08/15/27 BBB 160,184 165,642 McKesson Corp 20,000 4.75 03/01/21 BBB+ 20,525 20,479 McKesson Corp 79,000 6.00 03/01/41 BBB+ 96,684 96,725 McKesson Corp 400,000 2.70 12/15/22 BBB+ 392,189 404,998 Mead Johnson Nutrition Co 20,000 5.90 11/01/39 A- 24,887 26,628 Mead Johnson Nutrition Co 79,000 4.60 06/01/44 A- 86,034 94,375 Mead Johnson Nutrition Co 24,000 4.13 11/15/25 A- 25,260 26,208 Medtronic Global Holdings SCA 479,000 3.35 04/01/27 A 509,572 510,399 Medtronic, Inc 219,000 3.15 03/15/22 A 222,383 225,149 Medtronic, Inc 1,099,000 3.50 03/15/25 A 1,155,139 1,176,947 Medtronic, Inc 199,000 4.63 03/15/45 A 224,052 249,896 Merck & Co, Inc 900,000 3.60 09/15/42 AA 875,797 965,023 Merck & Co, Inc 200,000 2.80 05/18/23 AA 198,296 206,081 Merck & Co, Inc 219,000 4.15 05/18/43 AA 237,136 260,565 Merck & Co, Inc 159,000 2.35 02/10/22 AA 159,480 160,614 Merck & Co, Inc 179,000 2.75 02/10/25 AA 179,018 185,253


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December 31, 2019


Corporate Bonds (Continued) Merck & Co, Inc 119,000 3.70% 02/10/45 AA $ 120,838 $ 131,247 Merck & Co, Inc 79,000 6.55 09/15/37 AA 106,723 113,603 Molson Coors Brewing Co 79,000 5.00 05/01/42 BBB- 86,886 86,159 Molson Coors Brewing Co 79,000 2.10 07/15/21 BBB- 78,628 79,051 Molson Coors Brewing Co 327,000 4.20 07/15/46 BBB- 293,315 325,421 Mondelez International, Inc 500,000 4.63 05/07/48 BBB 489,606 575,448 Moody's Corp 40,000 4.88 02/15/24 BBB+ 42,863 43,959 Moody's Corp 400,000 2.63 01/15/23 BBB+ 397,702 405,823 Mylan NV 699,000 3.15 06/15/21 BBB- 705,498 708,033 Mylan NV 159,000 3.95 06/15/26 BBB- 158,846 165,599 Mylan NV 879,000 5.25 06/15/46 BBB- 912,093 985,918 New York and Presbyterian Hospital 40,000 4.02 08/01/45 41,290 44,531 New York and Presbyterian Hospital 199,000 4.06 08/01/56 200,542 218,846 Northwell Healthcare, Inc 300,000 3.81 11/01/49 A- 310,381 301,040 Novartis Capital Corp 319,000 2.40 09/21/22 AA- 315,769 323,973 Novartis Capital Corp 79,000 3.70 09/21/42 AA- 80,421 87,158 Novartis Capital Corp 319,000 3.40 05/06/24 AA- 329,418 337,553 Novartis Capital Corp 600,000 4.40 05/06/44 AA- 635,548 729,284 Novartis Capital Corp 599,000 3.00 11/20/25 AA- 626,207 629,036 Novartis Capital Corp 40,000 2.40 05/17/22 AA- 40,107 40,553 Novartis Capital Corp 200,000 3.10 05/17/27 AA- 207,800 211,543 NYU Langone Hospitals 40,000 4.37 07/01/47 A- 42,272 45,083 PayPal Holdings, Inc 600,000 2.65 10/01/26 BBB+ 603,507 607,747 PepsiCo, Inc 400,000 2.75 03/05/22 A+ 409,088 408,159 PepsiCo, Inc 20,000 4.88 11/01/40 A+ 23,054 24,796 PepsiCo, Inc 79,000 4.00 03/05/42 A+ 82,256 89,689 PepsiCo, Inc 199,000 2.75 03/01/23 A+ 201,014 204,411 PepsiCo, Inc 119,000 3.60 03/01/24 A+ 123,599 126,624 PepsiCo, Inc 79,000 4.45 04/14/46 A+ 87,607 96,764 PepsiCo, Inc 183,000 2.85 02/24/26 A+ 182,332 189,929 PepsiCo, Inc 40,000 2.25 05/02/22 A+ 39,945 40,406 PepsiCo, Inc 187,000 4.00 05/02/47 A+ 194,642 215,637 PepsiCo, Inc 400,000 3.00 10/15/27 A+ 399,772 423,626 PepsiCo, Inc 150,000 7.00 03/01/29 A+ 183,750 203,507 Perrigo Finance Unlimited Co 300,000 3.90 12/15/24 BBB- 307,663 308,086 Pfizer, Inc 175,000 7.20 03/15/39 AA- 260,743 274,306 Pfizer, Inc 199,000 3.40 05/15/24 AA- 205,905 210,378 Pfizer, Inc 79,000 5.60 09/15/40 AA- 100,465 106,595 Pfizer, Inc 119,000 2.75 06/03/26 AA- 118,367 122,994 Pfizer, Inc 40,000 1.95 06/03/21 AA- 39,938 40,177 Pfizer, Inc 599,000 2.20 12/15/21 AA- 594,478 604,487 Pfizer, Inc 199,000 3.00 12/15/26 AA- 200,398 208,958 Pfizer, Inc 159,000 4.00 12/15/36 AA- 170,992 180,173 Pfizer, Inc 183,000 4.13 12/15/46 AA- 195,977 212,113 Philip Morris International, Inc 44,000 4.13 05/17/21 A 45,075 45,340 Philip Morris International, Inc 159,000 4.13 03/04/43 A 163,161 170,371 Philip Morris International, Inc 79,000 3.60 11/15/23 A 81,394 83,281 Philip Morris International, Inc 544,000 4.25 11/10/44 A 507,278 599,728 Philip Morris International, Inc 40,000 3.38 08/11/25 A 40,766 42,034 Philip Morris International, Inc 199,000 1.88 02/25/21 A 198,205 198,985 Philip Morris International, Inc 40,000 2.75 02/25/26 A 39,390 40,516


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December 31, 2019


Corporate Bonds (Continued) Philip Morris International, Inc 20,000 2.13% 05/10/23 A $ 19,639 $ 20,048 Philip Morris International, Inc 459,000 2.38 08/17/22 A 450,292 463,711 Philip Morris International, Inc 159,000 3.13 08/17/27 A 158,942 164,700 President and Fellows of Harvard

College 20,000 4.88 10/15/40 AAA 24,396 25,777 Procter & Gamble Co 123,000 5.55 03/05/37 AA- 158,565 166,914 Procter & Gamble Co 360,000 2.30 02/06/22 AA- 355,324 364,740 Procter & Gamble Co 79,000 1.85 02/02/21 AA- 78,839 79,092 Procter & Gamble Co 79,000 2.70 02/02/26 AA- 78,485 82,217 Procter & Gamble Co 159,000 1.70 11/03/21 AA- 157,767 159,499 Procter & Gamble Co 159,000 2.85 08/11/27 AA- 158,287 168,397 Procter & Gamble Co 900,000 2.15 08/11/22 AA- 875,895 909,917 Quest Diagnostics, Inc 20,000 4.70 04/01/21 BBB+ 20,507 20,661 Quest Diagnostics, Inc 40,000 4.25 04/01/24 BBB+ 41,807 43,036 Quest Diagnostics, Inc 300,000 3.50 03/30/25 BBB+ 299,856 315,805 Reynolds American, Inc 48,000 5.70 08/15/35 BBB+ 55,884 55,689 Reynolds American, Inc 155,000 5.85 08/15/45 BBB+ 188,890 177,428 Reynolds American, Inc 199,000 4.45 06/12/25 BBB+ 210,139 214,093 S&P Global, Inc 79,000 4.40 02/15/26 83,852 87,537 S&P Global, Inc 300,000 2.95 01/22/27 293,933 309,523 Sanofi 135,000 4.00 03/29/21 AA 137,906 138,626 Sanofi 400,000 3.38 06/19/23 AA 415,558 419,011 Shire Acquisitions Investments Ireland

DAC 1,700,000 2.40 09/23/21 BBB+ 1,703,518 1,709,223 Shire Acquisitions Investments Ireland

DAC 79,000 2.88 09/23/23 BBB+ 78,470 80,446 Shire Acquisitions Investments Ireland

DAC 72,000 3.20 09/23/26 BBB+ 70,580 74,126 Stryker Corp 79,000 4.10 04/01/43 A- 79,445 85,820 Stryker Corp 119,000 3.38 05/15/24 A- 121,455 124,946 Stryker Corp 103,000 4.63 03/15/46 A- 112,733 123,716 Stryker Corp 119,000 2.63 03/15/21 A- 119,404 119,991 Stryker Corp 99,000 3.50 03/15/26 A- 101,390 105,267 Sysco Corp 200,000 3.55 03/15/25 BBB+ 200,195 212,775 Sysco Corp 20,000 3.75 10/01/25 BBB+ 20,676 21,493 Sysco Corp 199,000 3.30 07/15/26 BBB+ 200,355 209,624 Thermo Fisher Scientific, Inc 139,000 4.15 02/01/24 BBB+ 145,035 148,848 Thermo Fisher Scientific, Inc 40,000 5.30 02/01/44 BBB+ 47,099 51,087 Thermo Fisher Scientific, Inc 579,000 3.20 08/15/27 BBB+ 576,224 605,180 Thermo Fisher Scientific, Inc 79,000 4.10 08/15/47 BBB+ 79,145 89,290 Tyson Foods, Inc 679,000 4.50 06/15/22 BBB 692,268 714,654 Tyson Foods, Inc 236,000 4.88 08/15/34 BBB 232,051 280,032 Tyson Foods, Inc 811,000 3.55 06/02/27 BBB 786,536 862,043 Tyson Foods, Inc 91,000 2.25 08/23/21 BBB 90,676 91,235 Unilever Capital Corp 119,000 5.90 11/15/32 A+ 152,016 161,889 Unilever Capital Corp 100,000 1.38 07/28/21 A+ 98,804 99,357 Unilever Capital Corp 2,000,000 2.90 05/05/27 A+ 2,020,236 2,086,483 University of Southern California 40,000 3.03 10/01/39 AA 37,531 40,113 University of Southern California 24,000 3.84 10/01/47 AA 25,087 27,216 Verisk Analytics, Inc 20,000 5.80 05/01/21 BBB 20,774 20,905 Verisk Analytics, Inc 79,000 5.50 06/15/45 BBB 89,417 98,053


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December 31, 2019


Corporate Bonds (Continued) Wyeth LLC 107,000 6.50% 02/01/34 AA- $ 140,639 $ 150,531 Wyeth LLC 20,000 6.00 02/15/36 AA- 25,752 27,038 Zimmer Biomet Holdings, Inc 535,000 3.55 04/01/25 BBB 558,747 563,679 Zimmer Biomet Holdings, Inc 79,000 3.15 04/01/22 BBB 79,467 80,627 Zoetis, Inc 300,000 3.95 09/12/47 BBB 327,906 325,747 Zoetis, Inc 119,000 3.25 02/01/23 BBB 121,040 122,442 Zoetis, Inc 79,000 4.70 02/01/43 BBB 85,985 93,871 Zoetis, Inc 40,000 4.50 11/13/25 BBB 43,429 44,261

Total Consumer, Non-cyclical 92,660,738 97,135,229 Energy: 10.39%

Apache Corp 99,000 5.10 09/01/40 BBB 105,021 100,554 Apache Corp 21,000 3.25 04/15/22 BBB 21,171 21,390 Apache Corp 200,000 4.75 04/15/43 BBB 203,441 192,744 Apache Corp 1,840,000 4.25 01/15/44 BBB 1,566,886 1,692,676 Baker Hughes a GE Co LLC 32,000 5.13 09/15/40 A- 36,837 37,609 Baker Hughes a GE Co LLC / Baker

Hughes Co-Obligor, Inc 400,000 4.08 12/15/47 A- 405,229 408,956 Boardwalk Pipelines LP 79,000 4.95 12/15/24 BBB- 82,816 85,432 Boardwalk Pipelines LP 56,000 4.45 07/15/27 BBB- 57,141 57,909 BP Capital Markets America, Inc 60,000 4.74 03/11/21 A- 60,883 61,992 BP Capital Markets America, Inc 79,000 3.25 05/06/22 A- 78,458 81,509 BP Capital Markets America, Inc 119,000 2.75 05/10/23 A- 115,878 121,671 BP Capital Markets America, Inc 199,000 3.12 05/04/26 A- 190,362 207,733 BP Capital Markets America, Inc 500,000 2.52 09/19/22 A- 487,219 506,343 BP Capital Markets PLC 400,000 3.72 11/28/28 A- 402,953 435,660 BP Capital Markets PLC 28,000 3.56 11/01/21 A- 28,630 28,866 BP Capital Markets PLC 519,000 2.50 11/06/22 A- 525,816 528,263 BP Capital Markets PLC 40,000 3.81 02/10/24 A- 41,569 42,671 BP Capital Markets PLC 79,000 3.51 03/17/25 A- 80,983 84,037 Burlington Resources LLC 400,000 7.20 08/15/31 A 530,810 567,290 Burlington Resources LLC 24,000 5.95 10/15/36 A 29,372 32,486 Canadian Natural Resources Ltd 500,000 3.85 06/01/27 BBB+ 491,647 532,823 Canadian Natural Resources Ltd 1,000,000 5.85 02/01/35 BBB+ 1,153,963 1,229,605 Cenovus Energy, Inc 52,000 3.00 08/15/22 BBB 51,692 52,702 Cenovus Energy, Inc 428,000 5.25 06/15/37 BBB 464,973 473,365 Cenovus Energy, Inc 40,000 5.40 06/15/47 BBB 41,300 46,602 Cheniere Corpus Christi Holdings LLC 300,000 7.00 06/30/24 BBB- 344,156 345,717 Chevron Corp 419,000 2.36 12/05/22 AA 412,134 424,647 Chevron Corp 79,000 3.19 06/24/23 AA 80,792 82,317 Chevron Corp 740,000 3.33 11/17/25 AA 780,996 789,842 Chevron Corp 379,000 2.10 05/16/21 AA 377,553 380,732 Chevron Corp 79,000 2.57 05/16/23 AA 79,126 80,600 Chevron Corp 159,000 2.95 05/16/26 AA 159,351 166,066 Cimarex Energy Co 64,000 3.90 05/15/27 BBB- 65,561 66,151 Columbia Pipeline Group, Inc 119,000 4.50 06/01/25 125,695 130,451 Columbia Pipeline Group, Inc 199,000 5.80 06/01/45 242,369 251,523 Concho Resources, Inc 500,000 3.75 10/01/27 BBB- 487,627 525,250 Concho Resources, Inc 40,000 4.38 01/15/25 BBB- 41,599 41,306 Conoco Funding Co 79,000 7.25 10/15/31 A 104,182 112,662 ConocoPhillips 439,000 6.50 02/01/39 A 576,834 638,291


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December 31, 2019


Corporate Bonds (Continued) ConocoPhillips Co 199,000 3.35% 11/15/24 A $ 204,115 $ 210,397 ConocoPhillips Co 200,000 4.95 03/15/26 A 214,511 229,946 ConocoPhillips Co 159,000 5.95 03/15/46 A 209,245 226,945 ConocoPhillips Holding Co 115,000 6.95 04/15/29 A 144,699 156,189 Continental Resources, Inc 500,000 4.38 01/15/28 BBB- 490,080 531,064 Devon Energy Corp 99,000 7.95 04/15/32 BBB- 129,409 140,281 Devon Energy Corp 119,000 5.00 06/15/45 BBB- 125,524 137,731 Devon Energy Corp 40,000 5.85 12/15/25 BBB- 44,673 47,386 Devon Financing Corp LLC 99,000 7.88 09/30/31 BBB- 126,555 137,751 Diamondback Energy, Inc 500,000 3.50 12/01/29 BBB- 498,423 508,800 Enable Midstream Partners LP 400,000 4.40 03/15/27 BBB- 396,577 399,061 Enable Midstream Partners LP 119,000 3.90 05/15/24 BBB- 119,676 121,819 Enbridge Energy Partners LP 159,000 7.50 04/15/38 BBB+ 202,294 227,682 Enbridge, Inc 79,000 2.90 07/15/22 BBB+ 79,233 80,461 Enbridge, Inc 79,000 3.70 07/15/27 BBB+ 79,826 83,585 Enbridge, Inc 800,000 3.50 06/10/24 BBB+ 820,499 837,196 Enbridge, Inc 500,000 4.25 12/01/26 BBB+ 509,423 550,076 Encana Corp 400,000 7.20 11/01/31 BBB 494,860 488,647 Encana Corp 159,000 3.90 11/15/21 BBB 161,802 162,756 Energy Transfer LP / Regency Energy

Finance Corp 159,000 5.88 03/01/22 BBB- 167,784 168,695 Energy Transfer Operating LP 99,000 7.50 07/01/38 BBB- 120,211 127,271 Energy Transfer Operating LP 20,000 4.65 06/01/21 BBB- 20,511 20,603 Energy Transfer Operating LP 20,000 6.05 06/01/41 BBB- 21,676 22,531 Energy Transfer Operating LP 187,000 5.20 02/01/22 BBB- 195,293 196,032 Energy Transfer Operating LP 119,000 6.50 02/01/42 BBB- 135,030 141,231 Energy Transfer Operating LP 60,000 4.05 03/15/25 BBB- 60,637 63,024 Energy Transfer Operating LP 79,000 5.15 03/15/45 BBB- 77,185 82,953 Energy Transfer Operating LP 159,000 5.30 04/15/47 BBB- 157,459 169,284 Energy Transfer Operating LP 400,000 4.90 02/01/24 BBB- 419,534 428,954 Enterprise Products Operating LLC 79,000 6.88 03/01/33 BBB+ 99,844 107,460 Enterprise Products Operating LLC 36,000 6.13 10/15/39 BBB+ 44,383 46,990 Enterprise Products Operating LLC 79,000 6.45 09/01/40 BBB+ 100,224 107,142 Enterprise Products Operating LLC 20,000 5.95 02/01/41 BBB+ 24,486 25,749 Enterprise Products Operating LLC 119,000 4.85 08/15/42 BBB+ 128,650 137,842 Enterprise Products Operating LLC 56,000 3.35 03/15/23 BBB+ 57,033 57,906 Enterprise Products Operating LLC 119,000 3.90 02/15/24 BBB+ 123,207 126,280 Enterprise Products Operating LLC 519,000 5.10 02/15/45 BBB+ 555,592 620,668 Enterprise Products Operating LLC 79,000 3.70 02/15/26 BBB+ 80,910 84,028 Enterprise Products Operating LLC 183,000 2.85 04/15/21 BBB+ 184,175 184,973 Enterprise Products Operating LLC 175,000 3.95 02/15/27 BBB+ 182,344 188,729 Enterprise Products Operating LLC(2) 79,000 4.88 08/16/77 BBB- 81,432 78,013 Enterprise Products Operating LLC(2) 159,000 5.25 08/16/77 BBB- 163,346 160,905 EOG Resources, Inc 79,000 2.63 03/15/23 A- 78,662 80,424 EOG Resources, Inc 199,000 4.15 01/15/26 A- 208,876 218,551 EQM Midstream Partners LP 600,000 4.13 12/01/26 BBB- 571,400 565,347 EQT Corp 20,000 4.88 11/15/21 20,723 20,643 EQT Corp 536,000 3.00 10/01/22 BBB- 523,634 526,508 Exxon Mobil Corp 600,000 2.02 08/16/24 AA+ 602,777 601,502 Exxon Mobil Corp 159,000 2.71 03/06/25 AA+ 159,771 164,231 Exxon Mobil Corp 800,000 2.40 03/06/22 AA+ 800,422 808,876


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December 31, 2019


Corporate Bonds (Continued) Exxon Mobil Corp 79,000 3.04% 03/01/26 AA+ $ 80,291 $ 82,803 Exxon Mobil Corp 215,000 2.22 03/01/21 AA+ 215,486 216,341 Exxon Mobil Corp 167,000 4.11 03/01/46 AA+ 181,052 195,630 Exxon Mobil Corp 300,000 3.57 03/06/45 AA+ 288,353 322,127 Halliburton Co 28,000 6.70 09/15/38 A- 36,435 37,011 Halliburton Co 99,000 7.45 09/15/39 A- 137,560 142,631 Halliburton Co 119,000 3.50 08/01/23 A- 121,938 123,705 Halliburton Co 1,160,000 4.75 08/01/43 A- 1,251,329 1,286,056 Halliburton Co 159,000 5.00 11/15/45 A- 176,962 181,244 Hess Corp 28,000 6.00 01/15/40 BBB- 30,334 33,010 Hess Corp 99,000 5.60 02/15/41 BBB- 103,282 115,657 Hess Corp 20,000 7.88 10/01/29 BBB- 24,257 26,135 Hess Corp 99,000 7.30 08/15/31 BBB- 117,066 125,989 Husky Energy, Inc 79,000 3.95 04/15/22 BBB 80,848 81,690 Kinder Morgan Energy Partners LP 79,000 5.00 10/01/21 BBB 81,807 82,330 Kinder Morgan Energy Partners LP 20,000 7.40 03/15/31 BBB 24,103 26,128 Kinder Morgan Energy Partners LP 234,000 6.95 01/15/38 BBB 283,789 309,362 Kinder Morgan Energy Partners LP 103,000 6.50 09/01/39 BBB 118,276 130,568 Kinder Morgan Energy Partners LP 79,000 6.38 03/01/41 BBB 90,494 99,430 Kinder Morgan Energy Partners LP 79,000 3.95 09/01/22 BBB 81,086 82,302 Kinder Morgan Energy Partners LP 79,000 5.00 03/01/43 BBB 79,223 86,846 Kinder Morgan Energy Partners LP 79,000 3.50 09/01/23 BBB 79,739 81,916 Kinder Morgan Energy Partners LP 79,000 5.50 03/01/44 BBB 83,200 92,237 Kinder Morgan, Inc 319,000 4.30 06/01/25 BBB 339,099 345,811 Kinder Morgan, Inc 119,000 5.55 06/01/45 BBB 128,852 142,253 Kinder Morgan, Inc 159,000 3.15 01/15/23 BBB 159,554 162,745 Kinder Morgan, Inc 300,000 4.30 03/01/28 BBB 320,679 326,913 Magellan Midstream Partners LP 520,000 4.25 02/01/21 BBB+ 527,947 532,547 Magellan Midstream Partners LP 40,000 5.15 10/15/43 BBB+ 44,482 46,724 Marathon Oil Corp 79,000 6.80 03/15/32 BBB 91,664 100,184 Marathon Oil Corp 24,000 6.60 10/01/37 BBB 28,021 30,537 Marathon Oil Corp 119,000 2.80 11/01/22 BBB 117,760 120,942 Marathon Oil Corp 159,000 4.40 07/15/27 BBB 162,414 172,737 Marathon Petroleum Corp 79,000 5.13 03/01/21 BBB 81,369 81,781 Marathon Petroleum Corp 435,000 6.50 03/01/41 BBB 525,468 563,679 Marathon Petroleum Corp 760,000 3.40 12/15/20 BBB 759,713 768,612 Marathon Petroleum Corp 440,000 4.75 12/15/23 BBB 476,996 477,844 Marathon Petroleum Corp 40,000 5.13 12/15/26 BBB 43,414 45,267 MPLX LP 199,000 4.50 07/15/23 BBB 207,782 211,355 MPLX LP 1,428,000 4.13 03/01/27 BBB 1,422,888 1,498,421 MPLX LP 28,000 5.20 03/01/47 BBB 29,886 30,192 National Oilwell Varco, Inc 34,000 2.60 12/01/22 BBB+ 33,752 34,308 National Oilwell Varco, Inc 279,000 3.95 12/01/42 BBB+ 244,322 259,208 Noble Energy, Inc 52,000 6.00 03/01/41 BBB 59,274 62,630 Noble Energy, Inc 40,000 5.25 11/15/43 BBB 42,572 44,952 Noble Energy, Inc 79,000 5.05 11/15/44 BBB 82,821 87,955 Noble Energy, Inc 199,000 4.95 08/15/47 BBB 207,281 219,980 Noble Energy, Inc 199,000 3.85 01/15/28 BBB 199,609 210,030 Occidental Petroleum Corp 700,000 2.90 08/15/24 BBB 705,442 710,812 Occidental Petroleum Corp 123,000 4.10 02/01/21 BBB 125,339 125,125 Occidental Petroleum Corp 20,000 3.13 02/15/22 BBB 20,314 20,349


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December 31, 2019


Corporate Bonds (Continued) Occidental Petroleum Corp 79,000 2.70% 02/15/23 BBB $ 79,441 $ 79,584 Occidental Petroleum Corp 815,000 3.40 04/15/26 BBB 833,259 836,047 Occidental Petroleum Corp 159,000 4.10 02/15/47 BBB 165,262 154,103 Occidental Petroleum Corp 300,000 4.20 03/15/48 BBB 298,555 297,108 ONEOK Partners LP 200,000 5.00 09/15/23 BBB 217,264 216,864 ONEOK Partners LP 600,000 6.65 10/01/36 BBB 736,055 764,404 ONEOK Partners LP 300,000 6.85 10/15/37 BBB 340,519 381,472 ONEOK Partners LP 300,000 6.13 02/01/41 BBB 329,005 360,410 ONEOK, Inc 24,000 4.00 07/13/27 BBB 24,340 25,531 ONEOK, Inc 40,000 4.95 07/13/47 BBB 40,853 43,981 Phillips 66 200,000 5.88 05/01/42 BBB+ 233,688 269,534 Phillips 66 1,800,000 3.90 03/15/28 BBB+ 1,936,558 1,961,368 Phillips 66 Partners LP 400,000 3.55 10/01/26 BBB 417,047 418,624 Phillips 66 Partners LP 40,000 3.61 02/15/25 BBB 40,212 41,889 Pioneer Natural Resources Co 199,000 3.45 01/15/21 BBB 201,002 201,494 Plains All American Pipeline LP / PAA

Finance Corp 445,000 6.65 01/15/37 BBB- 508,015 524,699 Plains All American Pipeline LP / PAA





Finance Corp 700,000 3.60 11/01/24 BBB- 690,321 719,764 Sabine Pass Liquefaction LLC 230,000 5.75 05/15/24 BBB- 249,166 256,413 Sabine Pass Liquefaction LLC 183,000 5.63 03/01/25 BBB- 197,868 205,929 Sabine Pass Liquefaction LLC 800,000 5.88 06/30/26 BBB- 861,854 917,956 Sabine Pass Liquefaction LLC 200,000 4.20 03/15/28 BBB- 202,433 211,761 Schlumberger Investment SA 79,000 3.65 12/01/23 A+ 81,933 83,533 Shell International Finance BV 119,000 6.38 12/15/38 AA- 159,945 173,284 Shell International Finance BV 107,000 5.50 03/25/40 AA- 131,848 144,975 Shell International Finance BV 679,000 3.40 08/12/23 AA- 691,101 711,334 Shell International Finance BV 40,000 4.55 08/12/43 AA- 44,192 48,727 Shell International Finance BV 659,000 3.25 05/11/25 AA- 691,701 696,846 Shell International Finance BV 79,000 4.13 05/11/35 AA- 84,103 92,249 Shell International Finance BV 159,000 4.38 05/11/45 AA- 171,591 189,878 Shell International Finance BV 159,000 4.00 05/10/46 AA- 162,207 180,908 Shell International Finance BV 119,000 2.88 05/10/26 AA- 118,495 123,193 Spectra Energy Partners LP 79,000 4.75 03/15/24 BBB+ 83,991 85,961 Suncor Energy, Inc 20,000 9.25 10/15/21 A- 22,265 22,456 Suncor Energy, Inc 147,000 6.50 06/15/38 A- 191,691 204,174 Suncor Energy, Inc 119,000 6.85 06/01/39 A- 162,113 171,317 Sunoco Logistics Partners Operations

LP 79,000 4.65 02/15/22 BBB- 81,511 82,338 Sunoco Logistics Partners Operations

LP 20,000 6.10 02/15/42 BBB- 21,507 22,373 Sunoco Logistics Partners Operations

LP 119,000 4.25 04/01/24 BBB- 121,801 125,051


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December 31, 2019


Corporate Bonds (Continued) Sunoco Logistics Partners Operations

LP 79,000 3.90% 07/15/26 BBB- $ 78,664 $ 81,983 TC PipeLines LP 79,000 4.38 03/13/25 BBB 81,874 84,049 Total Capital International SA 107,000 2.88 02/17/22 A+ 108,212 109,287 Total Capital International SA 79,000 2.70 01/25/23 A+ 79,476 80,680 Total Capital International SA 379,000 3.70 01/15/24 A+ 389,054 402,705 Total Capital International SA 400,000 3.75 04/10/24 A+ 417,686 428,094 Total Capital International SA 79,000 2.75 06/19/21 A+ 79,746 80,041 Total Capital SA 400,000 3.88 10/11/28 A+ 438,083 447,412 Total Capital SA 20,000 4.25 12/15/21 A+ 20,740 20,896 Total Capital SA 420,000 4.13 01/28/21 A+ 424,837 430,233 TransCanada PipeLines Ltd 400,000 7.63 01/15/39 BBB+ 595,859 598,908 TransCanada PipeLines Ltd 20,000 5.60 03/31/34 BBB+ 23,621 24,773 TransCanada PipeLines Ltd 20,000 6.10 06/01/40 BBB+ 25,913 26,413 TransCanada PipeLines Ltd 139,000 5.85 03/15/36 BBB+ 168,645 172,707 TransCanada PipeLines Ltd 20,000 6.20 10/15/37 BBB+ 25,867 26,060 TransCanada PipeLines Ltd 99,000 7.25 08/15/38 BBB+ 138,245 142,899 TransCanada PipeLines Ltd 79,000 3.75 10/16/23 BBB+ 81,953 83,335 TransCanada PipeLines Ltd 79,000 4.88 01/15/26 BBB+ 86,870 88,389 TransCanada PipeLines Ltd 600,000 4.63 03/01/34 BBB+ 615,899 685,137 Transcontinental Gas Pipe Line Co

LLC 79,000 5.40 08/15/41 BBB 89,599 92,816 Transcontinental Gas Pipe Line Co

LLC 79,000 7.85 02/01/26 BBB 96,559 100,319 Valero Energy Corp 1,200,000 4.35 06/01/28 BBB 1,244,416 1,321,147 Valero Energy Corp 20,000 7.50 04/15/32 BBB 26,107 27,772 Valero Energy Corp 103,000 6.63 06/15/37 BBB 130,010 136,222 Valero Energy Corp 40,000 3.65 03/15/25 BBB 40,948 42,493 Valero Energy Corp 40,000 4.90 03/15/45 BBB 43,704 46,060 Western Midstream Operating LP 79,000 4.00 07/01/22 BBB- 80,400 80,945 Western Midstream Operating LP 500,000 5.45 04/01/44 BBB- 474,446 442,000 Williams Cos, Inc 199,000 3.60 03/15/22 BBB 202,510 204,541 Williams Cos, Inc 107,000 6.30 04/15/40 BBB 128,785 132,447 Williams Cos, Inc 707,000 4.00 11/15/21 BBB 724,552 726,633 Williams Cos, Inc 79,000 4.50 11/15/23 BBB 82,592 84,543 Williams Cos, Inc 79,000 4.90 01/15/45 BBB 81,560 85,065 Williams Cos, Inc 200,000 5.80 11/15/43 BBB 210,150 237,606

Total Energy 52,814,586 54,852,477 Financial: 31.27%

AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1,200,000 4.63 07/01/22 BBB 1,246,498 1,267,459

AerCap Ireland Capital DAC / AerCap Global Aviation Trust 1,100,000 3.30 01/23/23 BBB 1,124,725 1,126,911

AerCap Ireland Capital Ltd / AerCap Global Aviation Trust 200,000 4.50 05/15/21 BBB 205,143 206,386

Aflac, Inc 300,000 3.63 06/15/23 A- 315,565 315,513 Aflac, Inc 79,000 4.00 02/15/22 A- 81,427 82,416 Aflac, Inc 99,000 3.63 11/15/24 A- 102,933 105,758 Air Lease Corp 500,000 4.25 02/01/24 BBB 530,025 536,018 Air Lease Corp 79,000 3.00 09/15/23 BBB 79,362 80,863 Air Lease Corp 1,000,000 3.63 04/01/27 BBB 999,147 1,035,967


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December 31, 2019


Corporate Bonds (Continued) Air Lease Corp 79,000 2.63% 07/01/22 BBB $ 78,820 $ 79,876 Air Lease Corp 500,000 3.63 12/01/27 BBB 469,995 517,358 Aircastle Ltd 400,000 5.00 04/01/23 BBB- 401,590 427,565 Alexandria Real Estate Equities, Inc 400,000 3.95 01/15/28 BBB+ 403,720 429,286 Alexandria Real Estate Equities, Inc 40,000 4.30 01/15/26 BBB+ 41,515 43,869 Alleghany Corp 79,000 4.95 06/27/22 BBB+ 82,819 84,053 Allstate Corp 20,000 5.95 04/01/36 A- 25,107 26,838 Allstate Corp 40,000 4.50 06/15/43 A- 43,938 47,435 Allstate Corp(2) 79,000 5.75 08/15/53 BBB 86,144 84,931 Allstate Corp 238,000 4.20 12/15/46 A- 253,361 273,434 Allstate Corp 159,000 3.28 12/15/26 A- 161,524 167,810 Ally Financial, Inc 500,000 3.88 05/21/24 BBB- 520,740 523,750 American Campus Communities

Operating Partnership LP 79,000 4.13 07/01/24 BBB 81,523 84,192 American Express Co 400,000 3.00 10/30/24 BBB+ 413,569 413,183 American Express Co 200,000 2.65 12/02/22 BBB+ 200,364 203,739 American Express Co 266,000 4.05 12/03/42 BBB+ 278,934 312,495 American Express Co 500,000 3.38 05/17/21 BBB+ 499,979 509,457 American Express Co 300,000 4.20 11/06/25 BBB+ 301,161 330,423 American Express Credit Corp 500,000 3.30 05/03/27 A- 496,986 530,550 American Express Credit Corp 159,000 2.25 05/05/21 A- 159,043 159,732 American Express Credit Corp 79,000 2.70 03/03/22 A- 79,416 80,295 American International Group, Inc 800,000 3.88 01/15/35 BBB+ 777,229 847,681 American International Group, Inc 559,000 3.75 07/10/25 BBB+ 565,621 597,728 American International Group, Inc 900,000 3.90 04/01/26 BBB+ 939,757 963,764 American International Group, Inc 300,000 4.13 02/15/24 BBB+ 300,228 321,934 American Tower Corp 300,000 3.60 01/15/28 BBB- 290,068 314,872 American Tower Corp 820,000 5.90 11/01/21 BBB- 868,122 875,673 American Tower Corp 79,000 4.70 03/15/22 BBB- 82,219 83,246 American Tower Corp 40,000 3.50 01/31/23 BBB- 40,727 41,446 American Tower Corp 79,000 5.00 02/15/24 BBB- 84,516 86,955 American Tower Corp 79,000 4.00 06/01/25 BBB- 81,256 84,519 American Tower Corp 119,000 3.30 02/15/21 BBB- 120,032 120,598 American Tower Corp 159,000 3.38 10/15/26 BBB- 157,478 165,149 Ameriprise Financial, Inc 79,000 2.88 09/15/26 A 77,582 80,672 Aon Corp 300,000 6.25 09/30/40 A- 409,946 408,981 Aon PLC 79,000 4.75 05/15/45 A- 87,302 92,904 Aon PLC 79,000 3.88 12/15/25 A- 81,970 84,942 Arch Capital Finance LLC 159,000 4.01 12/15/26 A- 163,979 174,467 Arch Capital Group US, Inc 79,000 5.14 11/01/43 A- 88,526 97,753 Ares Capital Corp 79,000 3.50 02/10/23 BBB- 78,554 80,140 Ares Capital Corp 200,000 4.25 03/01/25 BBB- 194,968 208,793 Australia & New Zealand Banking

Group Ltd 300,000 2.30 06/01/21 AA- 299,498 301,555 Australia & New Zealand Banking

Group Ltd 250,000 2.63 05/19/22 AA- 249,555 253,814 AvalonBay Communities, Inc 79,000 2.95 09/15/22 A- 79,744 80,875 AvalonBay Communities, Inc 79,000 3.50 11/15/25 A- 80,776 83,839 AvalonBay Communities, Inc 40,000 4.15 07/01/47 A- 40,955 45,470 AvalonBay Communities, Inc 300,000 3.35 05/15/27 A- 286,386 315,782 AXA Equitable Holdings, Inc 500,000 3.90 04/20/23 BBB+ 498,181 523,664


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December 31, 2019


Corporate Bonds (Continued) AXA SA 60,000 8.60% 12/15/30 BBB+ $ 82,963 $ 87,171 Banco Santander SA 2,000,000 5.18 11/19/25 BBB+ 2,072,499 2,238,746 Bancolombia SA 100,000 5.95 06/03/21 103,729 105,000 Bank of America Corp 125,000 6.11 01/29/37 BBB+ 154,581 168,623 Bank of America Corp 40,000 5.88 01/05/21 A- 41,361 41,553 Bank of America Corp 65,000 5.00 05/13/21 A- 67,183 67,755 Bank of America Corp 79,000 5.70 01/24/22 A- 83,825 84,796 Bank of America Corp 119,000 5.88 02/07/42 A- 151,209 168,590 Bank of America Corp 319,000 5.00 01/21/44 A- 377,298 414,569 Bank of America Corp 119,000 4.88 04/01/44 A- 135,672 151,789 Bank of America Corp 99,000 4.25 10/22/26 BBB+ 102,939 107,886 Bank of America Corp 119,000 4.00 01/22/25 BBB+ 122,044 126,871 Bank of America Corp 119,000 2.50 10/21/22 A- 118,242 120,164 Bank of America Corp 419,000 3.25 10/21/27 A- 403,386 436,316 Bank of America Corp(2) 79,000 3.71 04/24/28 A- 80,247 84,380 Bank of America Corp 200,000 4.18 11/25/27 BBB+ 195,185 216,633 Bank of America Corp(2) 300,000 3.42 12/20/28 A- 283,261 314,608 Bank of Montreal 700,000 1.90 08/27/21 A+ 696,867 701,134 Bank of Montreal 479,000 2.55 11/06/22 A+ 479,211 488,289 Bank of Montreal 618,000 2.35 09/11/22 A+ 620,224 626,075 Bank of Montreal(2) 700,000 4.34 10/05/28 BBB+ 693,666 738,220 Bank of New York Mellon Corp 79,000 2.50 04/15/21 A 79,279 79,530 Bank of New York Mellon Corp 399,000 2.05 05/03/21 A 395,746 400,189 Bank of New York Mellon Corp 159,000 2.80 05/04/26 A 156,748 163,372 Bank of New York Mellon Corp 60,000 3.55 09/23/21 A 61,202 61,628 Bank of New York Mellon Corp 159,000 3.65 02/04/24 A 164,568 168,965 Bank of New York Mellon Corp 779,000 3.30 08/23/29 A- 755,120 814,413 Bank of New York Mellon Corp(2) 500,000 2.66 05/16/23 A 489,504 507,477 Bank of New York Mellon Corp 200,000 3.40 01/29/28 A 196,474 213,140 Bank of Nova Scotia(2) 665,000 4.65 10/12/22 BBB- 652,039 673,313 Bank of Nova Scotia 500,000 2.50 01/08/21 A+ 497,957 502,759 Bank of Nova Scotia 36,000 4.38 01/13/21 A+ 36,766 36,932 Bank of Nova Scotia 719,000 2.80 07/21/21 A+ 723,947 729,636 Bank of Nova Scotia 200,000 2.45 03/22/21 A+ 200,515 201,579 Bank of Nova Scotia 318,000 2.45 09/19/22 A+ 316,864 322,628 Barclays PLC(2) 400,000 3.93 05/07/25 BBB 416,883 420,151 Barclays PLC 200,000 3.65 03/16/25 BBB 201,527 208,175 Barclays PLC 300,000 3.25 01/12/21 BBB 301,597 302,532 Barclays PLC 600,000 3.68 01/10/23 BBB 608,520 615,055 Barclays PLC 200,000 4.95 01/10/47 BBB 218,288 234,947 Barclays PLC 600,000 4.38 01/12/26 BBB 591,667 648,180 BB&T Corp 1,100,000 3.88 03/19/29 BBB+ 1,147,367 1,192,047 BBVA USA 350,000 2.88 06/29/22 BBB+ 354,508 354,831 Berkshire Hathaway Finance Corp 20,000 5.75 01/15/40 AA 25,600 27,383 Berkshire Hathaway Finance Corp 32,000 4.25 01/15/21 AA 32,702 32,801 Berkshire Hathaway Finance Corp 20,000 3.00 05/15/22 AA 20,333 20,539 Berkshire Hathaway Finance Corp 28,000 4.40 05/15/42 AA 30,975 32,853 Berkshire Hathaway Finance Corp 79,000 4.30 05/15/43 AA 85,942 91,079 Berkshire Hathaway, Inc 107,000 3.40 01/31/22 AA 109,765 110,791 Berkshire Hathaway, Inc 28,000 2.20 03/15/21 AA 28,043 28,103 Berkshire Hathaway, Inc 227,000 3.13 03/15/26 AA 229,121 239,029


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December 31, 2019


Corporate Bonds (Continued) BlackRock, Inc 400,000 3.50% 03/18/24 AA- $ 420,089 $ 425,224 BlackRock, Inc 40,000 3.38 06/01/22 AA- 40,888 41,440 BlackRock, Inc 66,000 3.20 03/15/27 AA- 66,697 69,703 BNP Paribas SA 799,000 3.25 03/03/23 A+ 824,605 827,301 Boston Properties LP 800,000 3.40 06/21/29 A- 828,087 834,773 Boston Properties LP 52,000 4.13 05/15/21 A- 53,115 53,211 Boston Properties LP 500,000 3.13 09/01/23 A- 485,586 515,685 Boston Properties LP 1,200,000 3.80 02/01/24 A- 1,240,134 1,268,484 BPCE SA 250,000 4.00 04/15/24 A+ 260,555 267,489 BPCE SA 250,000 2.75 12/02/21 A+ 251,413 253,404 Branch Banking & Trust Co 400,000 3.63 09/16/25 A- 400,509 425,916 Brighthouse Financial, Inc 300,000 4.70 06/22/47 BBB+ 234,380 277,560 Brixmor Operating Partnership LP 428,000 3.85 02/01/25 BBB- 448,958 449,150 Brixmor Operating Partnership LP 24,000 3.88 08/15/22 BBB- 24,420 24,994 Brixmor Operating Partnership LP 79,000 3.25 09/15/23 BBB- 78,247 81,267 Brixmor Operating Partnership LP 40,000 3.65 06/15/24 BBB- 39,865 41,807 Brookfield Asset Management, Inc 79,000 4.00 01/15/25 A- 80,620 84,904 Brookfield Finance, Inc 199,000 4.70 09/20/47 A- 203,088 228,198 Camden Property Trust 300,000 3.15 07/01/29 A- 315,721 312,049 Canadian Imperial Bank of Commerce 500,000 2.55 06/16/22 A+ 499,401 507,231 Capital One Bank USA NA 500,000 3.38 02/15/23 BBB 496,273 516,286 Capital One Financial Corp 107,000 4.75 07/15/21 BBB 110,541 111,408 Capital One Financial Corp 159,000 4.20 10/29/25 BBB- 162,730 171,462 Capital One Financial Corp 500,000 3.75 07/28/26 BBB- 475,232 526,263 Capital One Financial Corp 159,000 3.05 03/09/22 BBB 160,154 162,274 Capital One Financial Corp 300,000 3.20 02/05/25 BBB 287,279 310,492 Capital One NA/Mclean 400,000 2.65 08/08/22 BBB+ 398,858 405,826 CC Holdings GS V LLC / Crown

Castle GS III Corp 119,000 3.85 04/15/23 BBB- 121,854 124,677 Charles Schwab Corp 79,000 3.00 03/10/25 A 79,229 81,948 Charles Schwab Corp 300,000 3.20 01/25/28 A 300,509 314,838 Chubb Corp 99,000 6.00 05/11/37 A 127,582 136,602 Chubb INA Holdings, Inc 119,000 2.70 03/13/23 A 119,309 121,463 Chubb INA Holdings, Inc 659,000 3.35 05/03/26 A 693,105 700,176 Chubb INA Holdings, Inc 1,540,000 4.35 11/03/45 A 1,715,064 1,860,672 Chubb INA Holdings, Inc 300,000 2.88 11/03/22 A 297,295 307,662 Citigroup, Inc(2) 200,000 3.88 01/24/39 BBB+ 219,679 219,435 Citigroup, Inc 20,000 6.63 06/15/32 BBB 24,965 26,926 Citigroup, Inc 20,000 5.88 02/22/33 BBB 23,337 25,125 Citigroup, Inc 68,000 6.00 10/31/33 BBB 81,070 87,585 Citigroup, Inc 79,000 5.88 01/30/42 BBB+ 100,201 111,573 Citigroup, Inc 79,000 4.05 07/30/22 BBB 81,240 82,538 Citigroup, Inc 119,000 3.50 05/15/23 BBB 120,318 123,793 Citigroup, Inc 79,000 4.00 08/05/24 BBB 81,297 84,542 Citigroup, Inc 119,000 3.30 04/27/25 BBB+ 120,079 124,789 Citigroup, Inc 119,000 4.45 09/29/27 BBB 124,492 130,956 Citigroup, Inc 159,000 2.70 03/30/21 BBB+ 159,512 160,476 Citigroup, Inc 95,000 4.13 07/25/28 BBB 97,379 103,551 Citigroup, Inc 79,000 2.75 04/25/22 BBB+ 79,125 80,206 Citigroup, Inc(2) 640,000 4.28 04/24/48 BBB+ 627,929 759,506 Citigroup, Inc(2) 79,000 2.88 07/24/23 BBB+ 78,947 80,370


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December 31, 2019


Corporate Bonds (Continued) Citigroup, Inc(2) 159,000 3.67% 07/24/28 BBB+ $ 160,598 $ 169,311 Citizens Bank NA/Providence 400,000 2.55 05/13/21 A- 400,115 402,994 CME Group, Inc 500,000 4.15 06/15/48 AA- 570,363 592,753 CME Group, Inc 159,000 3.00 09/15/22 AA- 161,057 163,602 CNA Financial Corp 400,000 3.90 05/01/29 A- 420,026 430,144 CNA Financial Corp 79,000 5.75 08/15/21 A- 82,709 83,487 Comerica, Inc 200,000 3.70 07/31/23 BBB+ 210,951 210,520 Cooperatieve Rabobank UA 550,000 4.63 12/01/23 BBB+ 570,780 596,454 Cooperatieve Rabobank UA 519,000 5.25 05/24/41 A+ 686,160 707,582 Cooperatieve Rabobank UA 400,000 3.38 05/21/25 A+ 412,653 423,670 Cooperatieve Rabobank UA 400,000 2.75 01/10/22 A+ 402,999 406,598 Cooperatieve Rabobank UA 200,000 4.38 08/04/25 BBB+ 197,228 216,828 Corporate Office Properties LP 79,000 3.70 06/15/21 BBB- 79,830 80,291 Credit Suisse 250,000 3.63 09/09/24 A+ 257,239 265,732 Credit Suisse 250,000 3.00 10/29/21 A+ 251,201 254,929 Credit Suisse Group Funding Guernsey

Ltd 550,000 3.75 03/26/25 BBB+ 576,747 581,631 Credit Suisse Group Funding Guernsey

Ltd 250,000 3.45 04/16/21 BBB+ 252,657 254,230 Credit Suisse Group Funding Guernsey

Ltd 1,050,000 3.80 06/09/23 BBB+ 1,041,382 1,098,592 Credit Suisse Group Funding Guernsey

Ltd 250,000 4.88 05/15/45 BBB+ 292,083 314,712 Crown Castle International Corp 24,000 3.40 02/15/21 BBB- 24,233 24,323 Crown Castle International Corp 187,000 4.45 02/15/26 BBB- 195,094 204,684 Crown Castle International Corp 175,000 4.00 03/01/27 BBB- 178,336 188,763 Crown Castle International Corp 1,000,000 4.75 05/15/47 BBB- 1,047,439 1,145,088 Crown Castle International Corp 159,000 3.65 09/01/27 BBB- 158,722 168,073 CubeSmart LP 400,000 3.00 02/15/30 BBB 397,891 394,925 Deutsche Bank AG 900,000 4.25 10/14/21 BBB- 917,347 925,382 Deutsche Bank AG 1,119,000 4.10 01/13/26 BBB- 1,123,140 1,137,080 Deutsche Bank AG 159,000 3.38 05/12/21 BBB- 160,115 160,229 Digital Realty Trust LP 79,000 3.95 07/01/22 BBB 81,335 82,224 Digital Realty Trust LP 40,000 3.70 08/15/27 BBB 40,446 42,339 Digital Realty Trust LP 159,000 2.75 02/01/23 BBB 158,815 160,585 Discover Financial Services 320,000 5.20 04/27/22 BBB- 339,807 341,066 Discover Financial Services 419,000 3.85 11/21/22 BBB- 436,056 437,811 Discover Financial Services 1,500,000 3.95 11/06/24 BBB- 1,534,779 1,591,417 Discover Financial Services 60,000 4.10 02/09/27 BBB- 61,074 64,585 Duke Realty LP 79,000 4.38 06/15/22 BBB+ 81,980 82,779 Duke Realty LP 60,000 3.75 12/01/24 BBB+ 61,555 63,727 Duke Realty LP 159,000 3.25 06/30/26 BBB+ 157,915 164,575 Equinix, Inc 500,000 2.90 11/18/26 BBB- 502,123 500,875 ERP Operating LP 24,000 4.63 12/15/21 A- 24,947 25,069 ERP Operating LP 119,000 3.00 04/15/23 A- 120,296 122,486 ERP Operating LP 135,000 3.25 08/01/27 A- 135,374 141,766 ERP Operating LP 79,000 4.00 08/01/47 A- 78,658 87,581 Essex Portfolio LP 40,000 3.88 05/01/24 BBB+ 41,050 42,258 Essex Portfolio LP 79,000 3.38 04/15/26 BBB+ 78,592 82,051 Essex Portfolio LP 400,000 4.50 03/15/48 BBB+ 381,834 457,148 Federal Realty Investment Trust 40,000 4.50 12/01/44 A- 42,278 46,046


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December 31, 2019


Corporate Bonds (Continued) Fifth Third Bancorp 60,000 8.25% 03/01/38 BBB $ 88,215 $ 91,491 Fifth Third Bancorp 500,000 3.95 03/14/28 BBB+ 498,633 549,227 Fifth Third Bancorp 600,000 4.30 01/16/24 BBB 608,536 644,389 Fifth Third Bank 200,000 3.85 03/15/26 BBB+ 204,888 212,868 Fifth Third Bank 900,000 2.25 06/14/21 A- 899,807 904,542 First Republic Bank 250,000 2.50 06/06/22 A- 249,014 252,349 GE Capital International Funding Co

Unlimited Co 1,000,000 4.42 11/15/35 BBB+ 1,060,067 1,064,776 GE Capital International Funding Co

UnLtd Co 1,095,000 3.37 11/15/25 BBB+ 1,099,209 1,139,718 General Electric Co 300,000 3.10 01/09/23 BBB+ 291,022 306,338 Goldman Sachs Group, Inc 134,000 3.85 07/08/24 BBB+ 137,919 141,612 Goldman Sachs Group, Inc 20,000 5.95 01/15/27 BBB- 22,688 23,870 Goldman Sachs Group, Inc 163,000 5.25 07/27/21 BBB+ 169,661 171,025 Goldman Sachs Group, Inc 159,000 4.75 10/21/45 BBB+ 175,902 193,536 Goldman Sachs Group, Inc 99,000 3.00 04/26/22 BBB+ 99,500 100,218 Goldman Sachs Group, Inc(2) 79,000 2.91 06/05/23 BBB+ 78,896 80,275 Goldman Sachs Group, Inc(2) 159,000 2.91 07/24/23 BBB+ 158,537 161,810 Goldman Sachs Group, Inc 79,000 2.88 02/25/21 BBB+ 79,359 79,778 Goldman Sachs Group, Inc 87,000 3.75 02/25/26 BBB+ 88,724 92,004 Goldman Sachs Group, Inc 343,000 6.45 05/01/36 BBB- 414,057 456,608 Goldman Sachs Group, Inc 187,000 3.50 11/16/26 BBB+ 187,312 196,536 Goldman Sachs Group, Inc 79,000 5.15 05/22/45 BBB- 89,450 96,841 Goldman Sachs Group, Inc(2) 500,000 3.81 04/23/29 BBB+ 483,523 535,571 Hartford Financial Services Group, Inc 20,000 6.10 10/01/41 BBB+ 25,692 27,303 Hartford Financial Services Group, Inc 300,000 4.30 04/15/43 BBB+ 290,037 332,124 HCP, Inc 300,000 3.88 08/15/24 BBB+ 320,141 318,908 Healthcare Trust of America Holdings

LP 32,000 3.50 08/01/26 BBB 31,670 33,372 Healthpeak Properties, Inc 200,000 4.00 06/01/25 BBB+ 205,747 214,836 Host Hotels & Resorts LP 300,000 3.38 12/15/29 BBB- 299,020 302,669 Host Hotels & Resorts LP 79,000 4.75 03/01/23 BBB- 82,449 84,287 Host Hotels & Resorts LP 79,000 3.88 04/01/24 BBB- 80,412 83,061 HSBC Holdings PLC(2) 200,000 4.58 06/19/29 A 223,014 223,366 HSBC Holdings PLC 500,000 6.50 05/02/36 BBB+ 645,992 682,050 HSBC Holdings PLC 150,000 6.50 09/15/37 BBB+ 193,723 206,292 HSBC Holdings PLC 328,000 4.88 01/14/22 A 345,698 346,194 HSBC Holdings PLC 187,000 4.00 03/30/22 A 192,547 194,804 HSBC Holdings PLC 300,000 2.95 05/25/21 A 302,039 303,743 HSBC Holdings PLC 300,000 3.60 05/25/23 A 307,684 312,778 HSBC Holdings PLC 200,000 4.38 11/23/26 BBB+ 208,143 216,477 Huntington Bancshares, Inc 139,000 3.15 03/14/21 BBB+ 140,176 140,700 Huntington National Bank 250,000 2.50 08/07/22 A- 248,990 252,652 Huntington National Bank 200,000 3.13 04/01/22 A- 200,103 204,392 ING Groep 2,200,000 4.55 10/02/28 A- 2,354,419 2,493,177 ING Groep NV 200,000 3.95 03/29/27 A- 207,456 215,119 Intercontinental Exchange, Inc 900,000 3.75 12/01/25 A 971,130 968,668 Intercontinental Exchange, Inc 1,500,000 3.10 09/15/27 A 1,574,861 1,570,535 Intercontinental Exchange, Inc 240,000 4.00 10/15/23 A 255,250 256,035


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December 31, 2019


Corporate Bonds (Continued) Intercontinental Exchange, Inc 203,000 2.75% 12/01/20 A $ 204,248 $ 204,273 Invesco Finance PLC 79,000 4.00 01/30/24 BBB+ 82,076 83,913 Invesco Finance PLC 40,000 5.38 11/30/43 BBB+ 47,984 48,694 Jefferies Group LLC 79,000 6.88 04/15/21 BBB 83,012 83,570 Jefferies Group LLC 360,000 5.13 01/20/23 BBB 385,909 388,563 Jefferies Group LLC / Jefferies Group

Capital Finance, Inc 72,000 4.85 01/15/27 BBB 75,593 79,441 JPMorgan Chase & Co 72,000 5.60 07/15/41 A- 89,385 98,392 JPMorgan Chase & Co 127,000 4.35 08/15/21 A- 130,822 131,858 JPMorgan Chase & Co 119,000 3.25 09/23/22 A- 120,971 123,058 JPMorgan Chase & Co 119,000 3.20 01/25/23 A- 120,649 122,753 JPMorgan Chase & Co 79,000 5.63 08/16/43 BBB+ 96,019 105,611 JPMorgan Chase & Co 119,000 3.88 02/01/24 A- 123,535 127,214 JPMorgan Chase & Co 200,000 4.85 02/01/44 A- 236,410 254,991 JPMorgan Chase & Co 79,000 2.55 03/01/21 A- 79,175 79,596 JPMorgan Chase & Co 159,000 3.20 06/15/26 A- 158,873 165,961 JPMorgan Chase & Co 119,000 2.95 10/01/26 A- 117,288 122,531 JPMorgan Chase & Co(2) 260,000 2.78 04/25/23 A- 256,316 264,007 JPMorgan Chase & Co(2) 279,000 3.54 05/01/28 A- 274,648 296,100 JPMorgan Chase & Co(2) 127,000 3.22 03/01/25 A- 127,955 131,583 JPMorgan Chase & Co(2) 159,000 3.88 07/24/38 A- 160,354 175,574 JPMorgan Chase & Co(2) 300,000 4.03 07/24/48 A- 301,277 342,530 JPMorgan Chase & Co 79,000 5.40 01/06/42 A- 95,894 106,135 JPMorgan Chase & Co 20,000 8.75 09/01/30 BBB- 28,260 29,136 KeyBank NA 250,000 2.30 09/14/22 A- 248,628 252,643 KeyBank NA 250,000 3.40 05/20/26 BBB+ 249,214 260,138 KeyBank NA 1,000,000 3.30 02/01/22 A- 1,013,121 1,026,978 KeyBank NA 700,000 3.90 04/13/29 BBB+ 770,328 750,960 KeyCorp 119,000 5.10 03/24/21 BBB+ 122,922 123,484 Kilroy Realty LP 79,000 4.25 08/15/29 BBB 81,429 86,125 Kimco Realty Corp 79,000 3.20 05/01/21 BBB+ 79,695 80,100 Kimco Realty Corp 79,000 2.80 10/01/26 BBB+ 75,347 79,326 Kimco Realty Corp 40,000 3.80 04/01/27 BBB+ 40,408 42,271 Kimco Realty Corp 79,000 4.45 09/01/47 BBB+ 78,889 86,408 Kimco Realty Corp 32,000 3.30 02/01/25 BBB+ 32,044 33,280 Lazard Group LLC 40,000 3.63 03/01/27 A- 39,914 41,254 Legg Mason, Inc 79,000 4.75 03/15/26 BBB 82,985 86,403 Liberty Property LP 79,000 4.13 06/15/22 BBB 81,360 82,641 Liberty Property LP 160,000 3.38 06/15/23 BBB 159,319 166,236 Lincoln National Corp 300,000 3.63 12/12/26 A- 315,546 316,711 Lincoln National Corp 20,000 7.00 06/15/40 A- 26,451 28,393 Lincoln National Corp 40,000 4.20 03/15/22 A- 41,302 41,682 Lincoln National Corp 40,000 3.35 03/09/25 A- 40,197 41,608 Lloyds Banking Group PLC 250,000 3.10 07/06/21 BBB+ 251,898 253,882 Lloyds Banking Group PLC 900,000 4.65 03/24/26 BBB- 943,167 977,903 Lloyds Banking Group PLC 200,000 3.00 01/11/22 BBB+ 201,222 203,145 Lloyds Banking Group PLC 200,000 4.58 12/10/25 BBB- 198,008 216,383 Lloyds Banking Group PLC 600,000 3.75 01/11/27 BBB+ 549,071 630,120 Loews Corp 79,000 2.63 05/15/23 A 79,021 80,455 Loews Corp 79,000 4.13 05/15/43 A 79,445 87,618 Manufacturers & Traders Trust Co 700,000 2.50 05/18/22 A 688,558 707,921


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December 31, 2019


Corporate Bonds (Continued) Manulife Financial Corp 40,000 4.15% 03/04/26 A $ 41,938 $ 43,991 Manulife Financial Corp 440,000 5.38 03/04/46 A 547,957 583,744 Manulife Financial Corp(2) 79,000 4.06 02/24/32 A- 79,816 81,963 Markel Corp 79,000 4.90 07/01/22 BBB 82,829 84,011 Markel Corp 300,000 5.00 04/05/46 BBB 312,133 343,296 Marsh & McLennan Cos, Inc 79,000 5.88 08/01/33 A- 96,090 102,832 Marsh & McLennan Cos, Inc 20,000 4.80 07/15/21 A- 20,692 20,719 Marsh & McLennan Cos, Inc 79,000 3.50 06/03/24 A- 80,957 82,928 Marsh & McLennan Cos, Inc 159,000 2.75 01/30/22 A- 159,718 161,486 Marsh & McLennan Cos, Inc 1,500,000 4.38 03/15/29 A- 1,548,303 1,707,923 Marsh & McLennan Cos, Inc 700,000 4.75 03/15/39 A- 759,083 844,300 Mastercard, Inc 300,000 3.80 11/21/46 A+ 315,791 336,561 Mastercard, Inc 200,000 3.95 02/26/48 A+ 199,082 230,166 MetLife, Inc 300,000 5.70 06/15/35 A- 372,295 402,479 MetLife, Inc 1,400,000 4.37 09/15/23 A- 1,481,677 1,517,120 MetLife, Inc 119,000 4.88 11/13/43 A- 135,513 147,149 MetLife, Inc 119,000 3.60 04/10/24 A- 123,122 126,700 MetLife, Inc 119,000 3.60 11/13/25 A- 122,658 127,759 MetLife, Inc 600,000 4.60 05/13/46 A- 665,764 737,261 Mid-America Apartments LP 79,000 3.75 06/15/24 BBB+ 80,545 83,268 Mid-America Apartments LP 200,000 3.95 03/15/29 BBB+ 203,512 218,183 Mitsubishi UFJ Financial Group, Inc 300,000 2.95 03/01/21 A- 302,004 303,193 Mitsubishi UFJ Financial Group, Inc 250,000 3.85 03/01/26 A- 258,173 268,430 Mitsubishi UFJ Financial Group, Inc 800,000 2.19 09/13/21 A- 796,232 802,156 Mitsubishi UFJ Financial Group, Inc 79,000 3.00 02/22/22 A- 79,644 80,481 Mitsubishi UFJ Financial Group, Inc 79,000 3.68 02/22/27 A- 81,017 84,050 Mitsubishi UFJ Financial Group, Inc 119,000 2.67 07/25/22 A- 118,877 120,699 Mitsubishi UFJ Financial Group, Inc 399,000 3.29 07/25/27 A- 390,538 415,487 Mitsubishi UFJ Financial Group, Inc 400,000 3.78 03/02/25 A- 406,407 426,936 Mizuho Financial Group, Inc 600,000 2.95 02/28/22 A- 608,661 610,764 Mizuho Financial Group, Inc 1,000,000 3.66 02/28/27 A- 1,019,103 1,061,128 Mizuho Financial Group, Inc 200,000 2.60 09/11/22 A- 199,024 202,553 Mizuho Financial Group, Inc 800,000 3.17 09/11/27 A- 781,052 823,204 Morgan Stanley(2) 119,000 3.59 07/22/28 BBB+ 119,754 126,385 Morgan Stanley(2) 159,000 3.97 07/22/38 BBB+ 160,534 176,212 Morgan Stanley 159,000 2.50 04/21/21 BBB+ 159,107 160,204 Morgan Stanley 159,000 2.63 11/17/21 BBB+ 159,097 160,858 Morgan Stanley 100,000 5.75 01/25/21 BBB+ 103,487 103,857 Morgan Stanley 115,000 5.50 07/28/21 BBB+ 120,195 121,140 Morgan Stanley 119,000 4.10 05/22/23 BBB 122,939 125,624 Morgan Stanley 200,000 4.30 01/27/45 BBB+ 195,254 234,551 Morgan Stanley 119,000 4.88 11/01/22 BBB 124,751 127,486 Morgan Stanley 119,000 6.38 07/24/42 BBB+ 159,450 174,988 Morgan Stanley 79,000 3.70 10/23/24 BBB+ 81,199 83,874 Morgan Stanley 79,000 3.95 04/23/27 BBB 80,228 84,667 Morgan Stanley 800,000 4.38 01/22/47 BBB+ 845,255 955,343 MUFG Americas Holdings Corp 174,000 3.50 06/18/22 A- 177,200 179,917 Nasdaq, Inc 40,000 4.25 06/01/24 BBB 41,742 43,166 National Australia Bank Ltd 250,000 2.50 07/12/26 AA- 240,930 250,929 National Australia Bank Ltd 1,150,000 2.80 01/10/22 AA- 1,158,818 1,168,514 National Australia Bank Ltd 850,000 2.50 05/22/22 AA- 848,225 859,666


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December 31, 2019


Corporate Bonds (Continued) National Retail Properties, Inc 379,000 3.30% 04/15/23 BBB+ $ 382,109 $ 389,933 National Retail Properties, Inc 52,000 4.00 11/15/25 BBB+ 53,036 55,738 National Rural Utilities Cooperative

Finance Corp 79,000 4.02 11/01/32 A 83,344 89,223 National Rural Utilities Cooperative



Finance Corp 115,000 2.30 09/15/22 A 114,663 115,977 Northern Trust Corp 79,000 3.95 10/30/25 A 82,948 85,911 Northern Trust Corp 300,000 3.65 08/03/28 A+ 323,712 327,316 Office Properties Income Trust 79,000 4.25 05/15/24 BBB- 79,712 82,051 Old Republic International Corp 40,000 3.88 08/26/26 BBB+ 40,424 42,121 Omega Healthcare Investors, Inc 45,000 4.95 04/01/24 BBB- 46,729 49,217 Omega Healthcare Investors, Inc 199,000 4.38 08/01/23 BBB- 202,263 211,000 Omega Helathcare Investors, Inc 79,000 4.50 04/01/27 BBB- 78,634 85,198 ORIX Corp 24,000 2.90 07/18/22 A- 24,042 24,455 ORIX Corp 119,000 3.70 07/18/27 A- 119,795 126,212 PNC Bank NA 250,000 2.63 02/17/22 A 251,181 253,422 PNC Bank NA 350,000 3.25 06/01/25 A 360,404 366,968 PNC Bank NA 700,000 2.45 07/28/22 A 685,990 709,220 PNC Financial Services Group, Inc 999,000 3.90 04/29/24 BBB+ 1,036,286 1,062,155 PNC Financial Services Group, Inc 60,000 3.30 03/08/22 A- 61,086 61,621 Principal Financial Group, Inc 119,000 6.05 10/15/36 A- 148,312 154,117 Principal Financial Group, Inc 300,000 4.35 05/15/43 A- 301,788 330,401 Progressive Corp 79,000 3.75 08/23/21 A 80,753 81,467 Progressive Corp 579,000 3.70 01/26/45 A 584,453 617,949 Prologis LP 400,000 4.38 09/15/48 A- 433,106 480,223 Prudential Financial, Inc(2) 79,000 5.88 09/15/42 BBB+ 86,762 84,925 Prudential Financial, Inc(2) 79,000 5.63 06/15/43 BBB+ 85,530 84,925 Prudential Financial, Inc(2) 79,000 5.20 03/15/44 BBB+ 84,008 84,270 Prudential Financial, Inc(2) 1,100,000 4.50 09/15/47 BBB+ 1,024,144 1,141,250 Prudential Financial, Inc 119,000 5.75 07/15/33 A 142,323 153,299 Prudential Financial, Inc 24,000 5.70 12/14/36 A 29,260 32,493 Prudential Financial, Inc 20,000 6.63 06/21/40 A 26,846 28,052 Prudential Financial, Inc 99,000 4.50 11/16/21 A 102,834 103,899 Prudential Financial, Inc(2) 400,000 5.38 05/15/45 BBB+ 393,901 432,428 Prudential Financial, Inc 24,000 3.91 12/07/47 A 23,827 25,761 Prudential Financial, Inc 192,000 3.94 12/07/49 A 190,564 208,919 Prudential Financial, Inc 400,000 3.50 05/15/24 A 398,731 425,331 Public Storage 400,000 3.09 09/15/27 A 418,616 416,684 Raymond James Financial, Inc 20,000 3.63 09/15/26 BBB+ 20,151 21,120 Raymond James Financial, Inc 79,000 4.95 07/15/46 BBB+ 86,430 92,099 Realty Income Corp 300,000 3.65 01/15/28 A- 322,030 323,174 Realty Income Corp 79,000 4.65 08/01/23 A- 83,371 85,448 Regency Centers Corp 79,000 3.75 11/15/22 BBB+ 80,478 82,241 Regency Centers LP 24,000 3.60 02/01/27 BBB+ 24,014 25,159 Regency Centers LP 28,000 4.40 02/01/47 BBB+ 28,316 31,619 Regions Financial Corp 400,000 3.80 08/14/23 BBB+ 421,255 423,173 Regions Financial Corp 119,000 2.75 08/14/22 BBB+ 119,104 121,092


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December 31, 2019


Corporate Bonds (Continued) Reinsurance Group of America, Inc 48,000 5.00% 06/01/21 A $ 49,471 $ 49,847 RenaissanceRe Finance, Inc 600,000 3.70 04/01/25 A- 634,796 634,116 Royal Bank of Canada 1,500,000 2.50 01/19/21 AA- 1,499,488 1,510,563 Royal Bank of Canada 700,000 2.75 02/01/22 AA- 690,673 712,377 Royal Bank of Scotland Group PLC 1,900,000 4.80 04/05/26 BBB 2,017,184 2,109,160 Santander Holdings USA, Inc 300,000 4.45 12/03/21 BBB+ 311,458 311,758 Santander Holdings USA, Inc 1,779,000 4.50 07/17/25 BBB+ 1,908,038 1,918,627 Santander Holdings USA, Inc 99,000 4.40 07/13/27 BBB+ 101,206 106,789 Santander Holdings USA, Inc 40,000 3.70 03/28/22 BBB+ 40,483 41,097 Santander UK Group Holdings PLC 200,000 2.88 08/05/21 BBB 200,429 201,864 Santander UK Group Holdings PLC 500,000 3.57 01/10/23 BBB 494,081 511,716 Santander UK Group Holdings PLC(2) 1,500,000 3.82 11/03/28 BBB 1,442,093 1,580,474 Service Properties Trust 79,000 5.00 08/15/22 BBB- 82,386 83,076 Service Properties Trust 79,000 5.25 02/15/26 BBB- 84,131 83,079 Service Properties Trust 300,000 3.95 01/15/28 BBB- 285,251 292,382 Simon Property Group LP 20,000 6.75 02/01/40 A 27,286 29,275 Simon Property Group LP 107,000 4.75 03/15/42 A 117,828 128,206 Simon Property Group LP 400,000 3.75 02/01/24 A 410,609 425,610 Simon Property Group LP 600,000 3.38 10/01/24 A 624,181 631,416 Simon Property Group LP 40,000 3.25 11/30/26 A 40,058 42,053 Simon Property Group LP 79,000 2.63 06/15/22 A 79,178 80,213 Simon Property Group LP 800,000 2.75 06/01/23 A 782,034 817,320 Simon Property Group LP 200,000 3.38 12/01/27 A 201,289 212,373 Simon Property Group LP 200,000 4.25 10/01/44 A 195,497 225,877 SITE Centers Corp 79,000 3.63 02/01/25 BBB- 77,515 81,419 Skandinaviska Enskilda Banken AB 400,000 2.63 03/15/21 A+ 398,918 402,463 State Street Corp 400,000 3.55 08/18/25 A 430,372 429,781 State Street Corp 300,000 3.10 05/15/23 A- 307,294 309,369 State Street Corp 1,800,000 3.70 11/20/23 A 1,878,206 1,916,964 Sumitomo Mitsui Banking Corp 250,000 3.00 01/18/23 A 251,293 255,529 Sumitomo Mitsui Financial Group, Inc 800,000 3.01 10/19/26 A- 796,770 818,914 Sumitomo Mitsui Financial Group, Inc 79,000 3.78 03/09/26 A- 81,176 84,387 Sumitomo Mitsui Financial Group, Inc 79,000 2.06 07/14/21 A- 78,464 79,095 Sumitomo Mitsui Financial Group, Inc 79,000 2.63 07/14/26 A- 76,057 78,990 Sumitomo Mitsui Financial Group, Inc 159,000 2.44 10/19/21 A- 158,744 160,406 Sumitomo Mitsui Financial Group, Inc 119,000 2.85 01/11/22 A- 119,468 120,815 Sumitomo Mitsui Financial Group, Inc 379,000 3.45 01/11/27 A- 382,621 396,471 Sumitomo Mitsui Financial Group, Inc 459,000 3.36 07/12/27 A- 444,944 478,755 Sumitomo Mitsui Financial Group, Inc 200,000 3.54 01/17/28 A- 194,985 211,439 SunTrust Bank 600,000 4.05 11/03/25 A 608,709 658,498 Svenska Handelsbanken AB 200,000 1.88 09/07/21 AA- 195,821 199,646 Svenska Handelsbanken AB 250,000 3.35 05/24/21 AA- 251,091 254,878 Synchrony Financial 1,600,000 5.15 03/19/29 BBB- 1,626,161 1,818,259 Synchrony Financial 300,000 3.75 08/15/21 BBB- 304,681 306,741 Synchrony Financial 60,000 4.25 08/15/24 BBB- 61,722 63,988 Synchrony Financial 79,000 3.70 08/04/26 BBB- 78,470 81,551 TD Ameritrade Holding Corp 79,000 3.63 04/01/25 A 81,393 83,992 TD Ameritrade Holding Corp 200,000 2.95 04/01/22 A 203,437 204,377 Toronto-Dominion Bank 119,000 2.50 12/14/20 AA- 119,372 119,664 Toronto-Dominion Bank 679,000 2.13 04/07/21 AA- 671,241 682,941 Toronto-Dominion Bank 1,599,000 1.80 07/13/21 AA- 1,589,954 1,599,728


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December 31, 2019


Corporate Bonds (Continued) Transatlantic Holdings, Inc 79,000 8.00% 11/30/39 BBB+ $ 106,490 $ 117,236 Travelers Cos, Inc 60,000 5.35 11/01/40 A 73,387 78,556 Travelers Cos, Inc 219,000 3.75 05/15/46 A 217,739 238,438 Travelers Cos, Inc 32,000 4.00 05/30/47 A 33,353 36,159 Travelers Cos, Inc 300,000 6.25 06/15/37 A 371,193 418,052 Travelers Property Casualty Corp 20,000 6.38 03/15/33 A 25,544 27,560 Trinity Acquisition PLC 40,000 4.40 03/15/26 BBB 42,056 43,448 Truist Bank 700,000 3.30 05/15/26 A- 718,084 728,528 Truist Bank 450,000 2.75 05/01/23 A 444,237 457,673 Truist Bank 600,000 2.45 08/01/22 A 588,554 606,230 Truist Financial Corp 638,000 2.05 05/10/21 A- 631,481 639,455 Truist Financial Corp 119,000 3.95 03/22/22 BBB+ 122,452 123,445 Truist Financial Corp 200,000 2.70 01/27/22 A- 196,476 202,671 UDR, Inc 600,000 3.20 01/15/30 BBB+ 621,825 612,809 UDR, Inc 40,000 3.75 07/01/24 BBB+ 40,905 42,104 US Bancorp 300,000 2.40 07/30/24 A+ 304,314 303,823 US Bancorp 111,000 3.00 03/15/22 A+ 112,585 113,525 US Bancorp 779,000 2.35 01/29/21 A+ 781,080 783,172 US Bancorp 79,000 3.10 04/27/26 A- 78,761 82,159 US Bancorp 159,000 3.15 04/27/27 A+ 159,490 166,935 US Bancorp 199,000 2.95 07/15/22 A- 201,571 203,547 US Bank NA 800,000 3.40 07/24/23 AA- 795,684 835,214 Ventas Realty LP 2,000,000 4.40 01/15/29 BBB+ 2,236,096 2,202,418 Ventas Realty LP 24,000 3.13 06/15/23 BBB+ 24,026 24,601 Ventas Realty LP 300,000 4.13 01/15/26 BBB+ 297,601 321,076 VEREIT Operating Partnership LP 424,000 4.60 02/06/24 BBB- 430,452 457,790 VEREIT Operating Partnership LP 32,000 4.88 06/01/26 BBB- 33,693 35,417 Visa, Inc 540,000 2.80 12/14/22 AA- 535,047 555,398 Visa, Inc 400,000 3.15 12/14/25 AA- 407,052 422,447 Visa, Inc 103,000 4.15 12/14/35 AA- 111,551 121,230 Visa, Inc 250,000 4.30 12/14/45 AA- 275,387 307,443 Visa, Inc 227,000 2.15 09/15/22 AA- 226,022 229,461 Visa, Inc 199,000 2.75 09/15/27 AA- 195,939 207,537 Visa, Inc 199,000 3.65 09/15/47 AA- 197,451 224,329 Voya Financial, Inc 238,000 4.80 06/15/46 BBB+ 253,213 271,982 Welltower, Inc 79,000 6.50 03/15/41 BBB+ 99,946 106,809 Welltower, Inc 359,000 4.00 06/01/25 BBB+ 378,548 386,158 Welltower, Inc 1,900,000 4.13 03/15/29 BBB+ 2,071,244 2,068,298 Westpac Banking Corp 300,000 3.65 05/15/23 AA- 312,650 314,411 Westpac Banking Corp 238,000 2.10 05/13/21 AA- 237,324 238,652 Westpac Banking Corp 938,000 2.85 05/13/26 AA- 925,147 959,983 Westpac Banking Corp(2) 238,000 4.32 11/23/31 BBB+ 245,578 251,762 Westpac Banking Corp 459,000 2.80 01/11/22 AA- 461,674 466,360 Westpac Banking Corp 79,000 3.35 03/08/27 AA- 79,919 83,418 Weyerhaeuser Co 79,000 3.25 03/15/23 BBB 79,755 80,743 Weyerhaeuser Co 279,000 7.38 03/15/32 BBB 353,564 386,348 Weyerhaeuser Co 119,000 4.63 09/15/23 BBB 125,937 127,995 Willis North America, Inc 300,000 4.50 09/15/28 BBB 310,305 330,390 Willis Towers Watson PLC 79,000 5.75 03/15/21 BBB 81,796 82,324 WP Carey, Inc 79,000 4.60 04/01/24 BBB 81,470 84,649 XLIT Ltd 79,000 5.25 12/15/43 A 88,736 101,757


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December 31, 2019


Corporate Bonds (Continued) XLIT Ltd 79,000 4.45% 03/31/25 BBB+ $ 80,233 $ 85,995

Total Financial 158,779,386 165,108,212 Industrial: 9.30%

3M Co 79,000 2.00 06/26/22 AA- 78,529 79,270 3M Co 79,000 3.88 06/15/44 AA- 82,156 84,106 3M Co 300,000 3.63 10/15/47 AA- 304,646 310,730 3M Co 1,300,000 2.25 03/15/23 AA- 1,260,775 1,310,177 3M Co 200,000 3.00 09/14/21 AA- 200,020 203,421 ABB Finance USA, Inc 700,000 4.38 05/08/42 A 863,901 837,701 Agilent Technologies, Inc 300,000 2.75 09/15/29 BBB+ 299,783 297,420 Arrow Electronics, Inc 79,000 3.50 04/01/22 BBB- 79,876 80,864 Arrow Electronics, Inc 79,000 3.25 09/08/24 BBB- 78,729 81,166 Boeing Co 200,000 2.60 10/30/25 A- 203,689 202,553 Boeing Co 99,000 8.75 08/15/21 A- 109,022 109,602 Boeing Co 99,000 6.88 03/15/39 A- 142,231 144,873 Boeing Co 820,000 5.88 02/15/40 A- 1,082,849 1,086,354 Boeing Co 99,000 2.85 10/30/24 A- 99,917 101,626 Boeing Co 159,000 1.88 06/15/23 A- 156,206 157,910 Boeing Co 159,000 2.25 06/15/26 A- 154,294 156,905 Boeing Co 79,000 3.38 06/15/46 A- 75,360 76,957 Burlington Northern Santa Fe LLC 87,000 5.75 05/01/40 A+ 109,803 117,178 Burlington Northern Santa Fe LLC 28,000 4.95 09/15/41 A+ 32,420 34,205 Burlington Northern Santa Fe LLC 79,000 3.05 09/01/22 A+ 80,393 81,168 Burlington Northern Santa Fe LLC 79,000 4.45 03/15/43 A+ 86,433 92,312 Burlington Northern Santa Fe LLC 79,000 3.85 09/01/23 A+ 82,525 83,895 Burlington Northern Santa Fe LLC 159,000 4.90 04/01/44 A+ 184,797 197,721 Burlington Northern Santa Fe LLC 919,000 4.15 04/01/45 A+ 983,106 1,040,078 Burlington Northern Santa Fe LLC 79,000 4.70 09/01/45 A+ 89,496 96,092 Burlington Northern Santa Fe LLC 119,000 3.65 09/01/25 A+ 123,791 128,280 Burlington Northern Santa Fe LLC 103,000 6.20 08/15/36 A+ 132,218 141,575 Burlington Northern Santa Fe LLC 20,000 6.15 05/01/37 A+ 25,932 27,973 Canadian National Railway Co 20,000 6.90 07/15/28 A 25,537 26,533 Canadian National Railway Co 99,000 6.20 06/01/36 A 128,981 138,781 Canadian National Railway Co 40,000 2.75 03/01/26 A 39,834 40,941 Canadian National Railway Co 200,000 3.20 08/02/46 A 193,716 203,535 Canadian Pacific Railway Co 20,000 7.13 10/15/31 BBB+ 26,499 27,701 Canadian Pacific Railway Co 20,000 5.95 05/15/37 BBB+ 25,172 26,864 Canadian Pacific Railway Co 79,000 4.45 03/15/23 BBB+ 82,673 84,013 Canadian Pacific Railway Co 79,000 2.90 02/01/25 BBB+ 78,959 81,068 Canadian Pacific Railway Co 103,000 6.13 09/15/15 BBB+ 133,241 150,630 Caterpillar Financial Services Corp 500,000 1.90 09/06/22 A 500,096 500,752 Caterpillar Financial Services Corp 79,000 3.30 06/09/24 A 80,853 83,001 Caterpillar Financial Services Corp 38,000 1.93 10/01/21 A 37,782 38,011 Caterpillar Financial Services Corp 79,000 2.40 06/06/22 A 79,096 79,985 Caterpillar Financial Services Corp 300,000 3.45 05/15/23 A 303,509 314,073 Caterpillar Financial Services Corp 200,000 3.75 11/24/23 A 202,376 213,329 Caterpillar Financial Services Corp 200,000 1.70 08/09/21 A 195,159 199,668 Caterpillar, Inc 32,000 6.05 08/15/36 A 40,895 43,695 Caterpillar, Inc 103,000 5.20 05/27/41 A 125,140 133,241 Caterpillar, Inc 159,000 2.60 06/26/22 A 159,574 161,744 Caterpillar, Inc 110,000 3.80 08/15/42 A 113,699 123,076


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December 31, 2019


Corporate Bonds (Continued) Caterpillar, Inc 400,000 4.75% 05/15/64 A $ 491,596 $ 503,020 CNH Industrial Capital LLC 500,000 4.20 01/15/24 BBB 514,709 529,289 Corning, Inc 320,000 5.75 08/15/40 BBB+ 366,420 397,582 Corning, Inc 20,000 4.75 03/15/42 BBB+ 21,881 22,663 CSX Corp 20,000 6.22 04/30/40 BBB+ 25,686 27,113 CSX Corp 60,000 5.50 04/15/41 BBB+ 71,588 75,900 CSX Corp 79,000 4.25 06/01/21 BBB+ 80,894 81,051 CSX Corp 1,000,000 4.75 05/30/42 BBB+ 1,116,990 1,177,725 CSX Corp 28,000 4.40 03/01/43 BBB+ 29,430 31,401 CSX Corp 50,000 3.70 11/01/23 BBB+ 51,587 53,062 CSX Corp 79,000 4.50 08/01/54 BBB+ 81,368 90,743 CSX Corp 40,000 3.25 06/01/27 BBB+ 40,028 42,004 CSX Corp 500,000 4.65 03/01/68 BBB+ 538,964 572,103 Deere & Co 20,000 5.38 10/16/29 A 23,712 24,831 Deere & Co 79,000 2.60 06/08/22 A 79,462 80,452 Deere & Co 79,000 3.90 06/09/42 A 82,843 88,651 Eaton Corp 79,000 2.75 11/02/22 A- 79,228 80,568 Eaton Corp 79,000 4.00 11/02/32 A- 81,593 89,467 Eaton Corp 79,000 4.15 11/02/42 A- 79,962 88,150 Embraer Netherlands Finance BV 403,000 5.40 02/01/27 BBB 430,200 453,581 Emerson Electric Co 79,000 5.25 11/15/39 A 93,675 98,060 Emerson Electric Co 40,000 2.63 12/01/21 A 40,317 40,668 FedEx Corp 79,000 4.10 04/15/43 BBB 78,800 77,234 FedEx Corp 119,000 5.10 01/15/44 BBB 134,115 130,274 FedEx Corp 1,100,000 4.75 11/15/45 BBB 1,205,448 1,155,198 FedEx Corp 40,000 3.25 04/01/26 BBB 40,367 41,586 FedEx Corp 119,000 4.55 04/01/46 BBB 126,464 122,055 FedEx Corp 159,000 4.40 01/15/47 BBB 164,997 159,274 FedEx Corp 200,000 3.40 02/15/28 BBB 191,678 205,560 Flex Ltd 60,000 4.75 06/15/25 BBB- 63,422 65,280 Fortive Corp 159,000 2.35 06/15/21 BBB 158,622 159,642 Fortive Corp 79,000 3.15 06/15/26 BBB 78,690 80,766 Fortive Corp 79,000 4.30 06/15/46 BBB 82,746 81,559 Fortune Brands Home & Security, Inc 200,000 4.00 09/21/23 BBB+ 210,993 211,213 GATX Corp 79,000 5.20 03/15/44 BBB 88,519 90,818 GATX Corp 200,000 4.55 11/07/28 BBB 200,818 218,537 General Dynamics Corp 440,000 3.60 11/15/42 A+ 494,432 495,735 General Dynamics Corp 40,000 2.13 08/15/26 A+ 38,065 39,628 General Dynamics Corp 1,000,000 2.25 11/15/22 A+ 1,005,382 1,010,216 General Dynamics Corp 200,000 2.38 11/15/24 A+ 189,219 203,470 General Dynamics Corp 500,000 3.75 05/15/28 A+ 503,860 549,859 General Electric Co 163,000 6.15 08/07/37 BBB+ 211,916 201,785 General Electric Co 79,000 4.13 10/09/42 BBB+ 81,532 81,158 General Electric Co 200,000 4.50 03/11/44 BBB+ 203,989 218,512 General Electric Co 119,000 5.30 02/11/21 BBB 122,938 122,719 General Electric Co 73,000 6.88 01/10/39 BBB+ 102,800 97,111 General Electric Co 44,000 4.63 01/07/21 BBB+ 45,090 44,980 General Electric Co 867,000 6.75 03/15/32 BBB+ 1,078,351 1,112,097 Honeywell International, Inc 79,000 4.25 03/01/21 A 80,874 81,421 Honeywell International, Inc 40,000 2.50 11/01/26 A 38,664 40,653 Honeywell International, Inc 340,000 1.85 11/01/21 A 335,084 340,688


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December 31, 2019


Corporate Bonds (Continued) Honeywell International, Inc 1,700,000 2.70% 08/15/29 A $ 1,783,750 $ 1,738,393 Illinois Tool Works, Inc 79,000 4.88 09/15/41 A+ 91,361 100,173 Illinois Tool Works, Inc 79,000 3.50 03/01/24 A+ 81,781 83,727 Illinois Tool Works, Inc 159,000 2.65 11/15/26 A+ 156,192 163,113 Ingersoll-Rand Global Holding Co Ltd 200,000 3.75 08/21/28 BBB 205,679 212,611 Ingersoll-Rand Luxembourg Finance

SA 119,000 3.55 11/01/24 BBB 121,956 124,783 John Deere Capital Corp 79,000 3.90 07/12/21 A 80,860 81,622 John Deere Capital Corp 20,000 2.75 03/15/22 A 20,166 20,379 John Deere Capital Corp 40,000 3.40 09/11/25 A 41,131 42,472 John Deere Capital Corp 79,000 2.65 06/10/26 A 77,582 80,699 John Deere Capital Corp 79,000 2.65 06/24/24 A 78,616 81,188 John Deere Capital Corp 499,000 2.15 09/08/22 A 488,552 503,021 John Deere Capital Corp 199,000 2.80 09/08/27 A 196,455 204,573 John Deere Capital Corp 600,000 2.80 07/18/29 A 623,942 615,053 John Deere Capital Corp 400,000 2.70 01/06/23 A 392,790 408,832 Johnson Controls International PLC 117,000 3.63 07/02/24 BBB+ 120,178 122,048 Johnson Controls International PLC 36,000 4.95 07/02/64 BBB+ 38,895 37,958 Johnson Controls International PLC 29,000 3.90 02/14/26 BBB+ 30,144 30,670 Johnson Controls International PLC 159,000 4.50 02/15/47 BBB+ 166,701 171,474 Kansas City Southern 79,000 3.00 05/15/23 BBB 79,106 80,774 Keysight Technologies, Inc 29,000 4.60 04/06/27 BBB 30,579 32,131 Koninklijke Philips NV 131,000 6.88 03/11/38 BBB+ 172,504 185,110 L3Harris Technologies, Inc 179,000 3.83 04/27/25 BBB 184,001 190,855 Lockheed Martin Corp 79,000 3.35 09/15/21 A- 80,299 81,010 Lockheed Martin Corp 106,000 4.07 12/15/42 A- 108,605 121,201 Lockheed Martin Corp 79,000 3.80 03/01/45 A- 77,757 87,865 Lockheed Martin Corp 1,259,000 3.55 01/15/26 A- 1,299,161 1,349,467 Lockheed Martin Corp 238,000 4.50 05/15/36 A- 260,822 281,665 Lockheed Martin Corp 114,000 4.70 05/15/46 A- 128,639 145,129 Masco Corp 76,000 3.50 04/01/21 BBB 76,688 77,095 Masco Corp 56,000 4.38 04/01/26 BBB 58,727 60,462 Norfolk Southern Corp 24,000 3.25 12/01/21 BBB+ 24,318 24,510 Norfolk Southern Corp 500,000 4.45 06/15/45 BBB+ 549,244 575,475 Norfolk Southern Corp 759,000 2.90 06/15/26 BBB+ 777,795 781,886 Norfolk Southern Corp 159,000 4.05 08/15/52 BBB+ 159,692 174,447 Norfolk Southern Corp 500,000 5.10 08/01/2118 BBB+ 492,051 588,845 Northrop Grumman Corp 220,000 5.05 11/15/40 BBB 229,890 266,715 Northrop Grumman Corp 79,000 3.50 03/15/21 BBB 80,144 80,495 Northrop Grumman Corp 379,000 4.75 06/01/43 BBB 403,660 456,808 Northrop Grumman Corp 200,000 2.93 01/15/25 BBB 199,213 206,046 Northrop Grumman Corp 500,000 3.25 01/15/28 BBB 503,554 521,178 Northrop Grumman Corp 400,000 4.03 10/15/47 BBB 384,953 446,033 Owens Corning 10,000 7.00 12/01/36 BBB 12,830 12,452 Packaging Corp of America 800,000 3.00 12/15/29 BBB 806,709 802,906 Parker-Hannifin Corp 159,000 3.25 03/01/27 A- 160,013 165,691 Parker-Hannifin Corp 159,000 4.10 03/01/47 165,664 172,931 Parker-Hannifin Corp 48,000 3.30 11/21/24 A- 48,941 50,242 Parker-Hannifin Corp 83,000 4.20 11/21/34 A- 87,772 91,724 Precision Castparts Corp 200,000 3.25 06/15/25 AA- 208,001 210,977 Raytheon Co 300,000 4.70 12/15/41 A+ 376,043 370,989




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Bonds (Continued) Raytheon Co 99,000 4.88% 10/15/40 A+ $ 115,657 $ 123,799 Raytheon Co 79,000 2.50 12/15/22 A+ 79,178 80,564 Republic Services, Inc 79,000 3.55 06/01/22 BBB+ 80,703 81,585 Republic Services, Inc 79,000 3.20 03/15/25 BBB+ 79,516 82,120 Republic Services, Inc 159,000 2.90 07/01/26 BBB+ 156,334 162,718 Republic Services, Inc 20,000 5.25 11/15/21 BBB+ 20,984 21,209 Rockwell Automation, Inc 200,000 4.20 03/01/49 A 237,284 232,897 Rockwell Collins, Inc 79,000 4.80 12/15/43 BBB+ 87,065 94,783 Rockwell Collins, Inc 40,000 2.80 03/15/22 BBB+ 40,197 40,687 Rockwell Collins, Inc 429,000 3.50 03/15/27 BBB+ 456,061 455,159 Roper Technologies, Inc 119,000 3.13 11/15/22 BBB+ 120,011 121,907 Roper Technologies, Inc 24,000 3.80 12/15/26 BBB+ 24,682 25,770 Roper Technologies, Inc 400,000 3.65 09/15/23 BBB+ 415,645 419,753 Ryder System, Inc 500,000 3.88 12/01/23 BBB 527,630 527,404 Ryder System, Inc 24,000 2.25 09/01/21 BBB 23,900 24,052 Ryder System, Inc 24,000 2.80 03/01/22 BBB 24,063 24,291 Ryder System, Inc 183,000 2.50 09/01/22 BBB 182,043 183,839 Stanley Black & Decker, Inc 400,000 2.90 11/01/22 A 402,260 409,076 Stanley Black & Decker, Inc 60,000 5.20 09/01/40 A 69,284 73,671 Textron, Inc 68,000 3.88 03/01/25 BBB 69,951 72,023 Tyco Electronics Group SA 91,000 3.45 08/01/24 A- 93,075 95,285 Tyco Electronics Group SA 159,000 3.13 08/15/27 A- 158,119 163,588 Union Pacific Corp 620,000 4.00 02/01/21 A- 630,534 630,936 Union Pacific Corp 76,000 4.16 07/15/22 A- 79,302 79,842 Union Pacific Corp 119,000 4.30 06/15/42 A- 128,012 133,375 Union Pacific Corp 60,000 3.25 01/15/25 A- 61,328 62,820 Union Pacific Corp 40,000 3.25 08/15/25 A- 41,049 42,130 Union Pacific Corp 40,000 4.05 11/15/45 A- 41,900 43,414 Union Pacific Corp 24,000 4.38 11/15/65 A- 25,467 26,321 Union Pacific Corp 503,000 4.05 03/01/46 A- 503,452 550,619 Union Pacific Corp 65,000 3.80 10/01/51 A- 64,372 69,067 Union Pacific Corp 200,000 2.95 01/15/23 A- 198,225 204,890 Union Pacific Corp 200,000 4.50 09/10/48 A- 193,537 235,523 United Parcel Service, Inc 400,000 2.20 09/01/24 A 402,945 401,918 United Parcel Service, Inc 200,000 3.75 11/15/47 A 220,883 214,903 United Parcel Service, Inc 79,000 6.20 01/15/38 A 104,603 109,878 United Parcel Service, Inc 800,000 3.13 01/15/21 A 809,261 809,426 United Parcel Service, Inc 20,000 4.88 11/15/40 A 23,148 23,823 United Parcel Service, Inc 60,000 3.63 10/01/42 A 59,584 61,197 United Parcel Service, Inc 40,000 2.35 05/16/22 A 40,044 40,430 United Parcel Service, Inc 700,000 2.50 04/01/23 A 684,122 712,424 United Technologies Corp 800,000 4.13 11/16/28 BBB+ 844,828 900,449 United Technologies Corp 23,000 7.50 09/15/29 BBB+ 30,650 32,455 United Technologies Corp 32,000 6.05 06/01/36 BBB+ 40,201 43,536 United Technologies Corp 40,000 6.13 07/15/38 BBB+ 51,306 55,460 United Technologies Corp 159,000 3.10 06/01/22 BBB+ 161,246 163,002 United Technologies Corp 79,000 4.15 05/15/45 BBB+ 81,989 90,311 United Technologies Corp 340,000 2.80 05/04/24 BBB+ 326,904 349,239 United Technologies Corp 179,000 4.05 05/04/47 BBB+ 183,501 204,622 United Technologies Corp 40,000 2.30 05/04/22 BBB+ 39,839 40,301 United Technologies Corp 199,000 3.13 05/04/27 BBB+ 199,152 208,783


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December 31, 2019


Corporate Bonds (Continued) Vulcan Materials Co 400,000 3.90% 04/01/27 BBB $ 423,280 $ 422,323 Waste Management, Inc 700,000 3.50 05/15/24 A- 737,835 735,849 Waste Management, Inc 56,000 4.60 03/01/21 A- 57,414 57,372 Waste Management, Inc 1,040,000 3.90 03/01/35 A- 1,068,003 1,144,078 Waste Management, Inc 36,000 4.10 03/01/45 A- 37,828 40,343 Westinghouse Air Brake Technologies

Corp 500,000 4.95 09/15/28 BBB 496,310 549,723 WestRock RKT LLC 159,000 4.00 03/01/23 BBB 163,458 165,948 WRKCo, Inc 79,000 3.00 09/15/24 BBB 78,793 80,551 WRKCo, Inc 159,000 3.38 09/15/27 BBB 158,352 162,791 Xylem, Inc 48,000 4.88 10/01/21 BBB 49,897 50,295

Total Industrial 47,585,998 49,102,315 Technology: 5.07%

Activision Blizzard, Inc 20,000 2.60 06/15/22 BBB+ 19,977 20,232 Activision Blizzard, Inc 20,000 3.40 06/15/27 BBB+ 20,029 20,852 Activision Blizzard, Inc 324,000 4.50 06/15/47 BBB+ 316,598 369,448 Analog Devices, Inc 300,000 3.13 12/05/23 BBB 309,551 309,882 Analog Devices, Inc 119,000 3.90 12/15/25 BBB 123,537 127,800 Apple, Inc 200,000 3.85 05/04/43 AA+ 224,503 223,874 Apple, Inc 119,000 3.45 05/06/24 AA+ 122,532 126,276 Apple, Inc 159,000 2.15 02/09/22 AA+ 158,693 160,283 Apple, Inc 119,000 2.50 02/09/25 AA+ 117,702 121,099 Apple, Inc 159,000 3.45 02/09/45 AA+ 151,483 167,070 Apple, Inc 159,000 4.38 05/13/45 AA+ 173,126 192,120 Apple, Inc 159,000 2.25 02/23/21 AA+ 159,281 159,895 Apple, Inc 119,000 2.85 02/23/23 AA+ 120,447 122,331 Apple, Inc 40,000 4.50 02/23/36 AA+ 45,065 48,504 Apple, Inc 224,000 4.65 02/23/46 AA+ 253,331 280,212 Apple, Inc 79,000 2.45 08/04/26 AA+ 76,948 80,045 Apple, Inc 40,000 2.50 02/09/22 AA+ 40,207 40,587 Apple, Inc 40,000 2.30 05/11/22 AA+ 40,005 40,462 Apple, Inc 79,000 2.90 09/12/27 AA+ 78,325 82,198 Apple, Inc 200,000 2.40 01/13/23 AA+ 195,270 203,202 Applied Materials, Inc 79,000 4.30 06/15/21 A- 81,285 81,732 Applied Materials, Inc 28,000 3.90 10/01/25 A- 29,516 30,499 Applied Materials, Inc 28,000 5.10 10/01/35 A- 32,669 35,329 Applied Materials, Inc 203,000 3.30 04/01/27 A- 206,643 215,050 Autodesk, Inc 119,000 3.60 12/15/22 BBB 121,069 123,031 Autodesk, Inc 159,000 3.50 06/15/27 BBB 158,584 166,518 Broadcom Corp / Broadcom Cayman

Finance Ltd 400,000 3.50 01/15/28 BBB- 371,452 402,395 Broadcom Corp / Broadcom Cayman

Finance Ltd 238,000 3.00 01/15/22 BBB- 239,446 241,429 Broadcom Corp / Broadcom Cayman

Finance Ltd 1,038,000 3.88 01/15/27 BBB- 1,032,120 1,077,088 Dell International LLC / EMC Corp(1) 238,000 4.42 06/15/21 BBB- 243,051 244,876 Dell International LLC / EMC Corp(1) 655,000 5.45 06/15/23 BBB- 682,185 710,058 Dell International LLC / EMC Corp(1) 474,000 6.02 06/15/26 BBB- 526,662 545,158 Dell International LLC / EMC Corp(1) 107,000 8.10 07/15/36 BBB- 133,642 140,437 Dell International LLC / EMC Corp(1) 107,000 8.35 07/15/46 BBB- 137,630 147,089


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December 31, 2019


Corporate Bonds (Continued) Fidelity National Information Services,

Inc 22,000 5.00% 10/15/25 BBB $ 23,881 $ 25,124 Fidelity National Information Services,

Inc 400,000 3.75 05/21/29 BBB 424,560 437,321 Fidelity National Information Services,

Inc 200,000 4.25 05/15/28 BBB 203,881 223,724 Fiserv, Inc 79,000 3.50 10/01/22 BBB 80,650 81,849 Fiserv, Inc 60,000 3.85 06/01/25 BBB 62,084 63,960 Fiserv, Inc 400,000 3.80 10/01/23 BBB 409,858 422,238 Fiserv, Inc 1,300,000 3.50 07/01/29 BBB 1,334,975 1,364,479 Hewlett Packard Enterprise Co 159,000 4.40 10/15/22 BBB 165,016 167,920 Hewlett Packard Enterprise Co 119,000 4.90 10/15/25 BBB 124,694 132,140 Hewlett Packard Enterprise Co 919,000 6.20 10/15/35 BBB 991,910 1,100,346 Hewlett Packard Enterprise Co 319,000 6.35 10/15/45 BBB 366,156 383,134 HP, Inc 40,000 4.30 06/01/21 BBB 40,953 41,191 HP, Inc 159,000 6.00 09/15/41 BBB 172,208 175,893 HP, Inc 60,000 4.65 12/09/21 BBB 62,272 62,708 HP, Inc 79,000 4.05 09/15/22 BBB 81,518 82,501 IBM Credit LLC 100,000 2.20 09/08/22 A 99,387 100,705 Intel Corp 719,000 3.30 10/01/21 A+ 731,324 738,704 Intel Corp 79,000 4.80 10/01/41 A+ 92,466 98,588 Intel Corp 79,000 4.25 12/15/42 A+ 85,147 92,634 Intel Corp 155,000 3.70 07/29/25 A+ 161,991 167,497 Intel Corp 191,000 4.90 07/29/45 A+ 225,301 244,593 Intel Corp 159,000 2.60 05/19/26 A+ 156,205 162,855 Intel Corp 79,000 4.10 05/19/46 A+ 83,339 90,922 Intel Corp 159,000 4.10 05/11/47 A+ 167,834 184,115 Intel Corp 200,000 3.73 12/08/47 A+ 178,141 220,432 International Business Machines Corp 500,000 3.30 05/15/26 A 526,675 526,908 International Business Machines Corp 20,000 6.50 01/15/28 A 24,694 25,468 International Business Machines Corp 400,000 5.88 11/29/32 A 502,060 532,611 International Business Machines Corp 44,000 5.60 11/30/39 A 54,512 58,024 International Business Machines Corp 119,000 4.00 06/20/42 A 121,749 131,178 International Business Machines Corp 100,000 1.88 08/01/22 A 98,737 99,913 International Business Machines Corp 250,000 3.63 02/12/24 A 259,063 264,749 International Business Machines Corp 100,000 2.25 02/19/21 A 100,210 100,346 International Business Machines Corp 100,000 3.45 02/19/26 A 102,527 106,504 International Business Machines Corp 200,000 3.30 01/27/27 A 203,090 211,932 International Business Machines Corp 200,000 2.50 01/27/22 A 201,267 202,263 KLA Corp 359,000 4.65 11/01/24 BBB 389,024 393,718 Lam Research Corp 40,000 3.80 03/15/25 BBB+ 41,149 42,672 Lam Research Corp 40,000 2.80 06/15/21 BBB+ 40,178 40,422 Lam Research Corp 500,000 4.00 03/15/29 BBB+ 509,563 550,558 Microchip Technology, Inc 300,000 3.92 06/01/21 BB+ 306,144 306,736 Micron Technology, Inc 400,000 4.19 02/15/27 BBB- 417,055 427,837 Microsoft Corp 32,000 5.20 06/01/39 AAA 38,865 42,784 Microsoft Corp 107,000 4.50 10/01/40 AAA 120,655 132,328 Microsoft Corp 79,000 4.00 02/08/21 AAA 80,705 81,157 Microsoft Corp 119,000 2.13 11/15/22 AAA 118,320 120,311 Microsoft Corp 119,000 3.50 11/15/42 AAA 116,583 128,758 Microsoft Corp 159,000 3.63 12/15/23 AAA 165,612 169,213




December 31, 2019


____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Bonds (Continued) Microsoft Corp 79,000 2.70% 02/12/25 AAA $ 79,260 $ 81,596 Microsoft Corp 119,000 3.50 02/12/35 AAA 121,419 130,823 Microsoft Corp 79,000 3.75 02/12/45 AAA 79,994 89,567 Microsoft Corp 200,000 4.00 02/12/55 AAA 205,085 236,262 Microsoft Corp 79,000 4.45 11/03/45 AAA 89,062 98,620 Microsoft Corp 40,000 4.75 11/03/55 AAA 46,686 53,494 Microsoft Corp 119,000 1.55 08/08/21 AAA 117,963 118,812 Microsoft Corp 40,000 2.00 08/08/23 AAA 39,378 40,258 Microsoft Corp 79,000 3.70 08/08/46 AAA 79,469 89,074 Microsoft Corp 319,000 3.95 08/08/56 AAA 316,635 376,607 Microsoft Corp 79,000 4.10 02/06/37 AAA 85,862 93,194 Microsoft Corp 79,000 4.50 02/06/57 AAA 88,629 102,084 NVIDIA Corp 400,000 3.20 09/16/26 A- 419,341 419,627 NXP BV / NXP Funding LLC(1) 400,000 4.88 03/01/24 BBB- 426,230 435,932 Oracle Corp 300,000 3.90 05/15/35 A+ 335,865 333,915 Oracle Corp 123,000 6.50 04/15/38 A+ 170,226 177,212 Oracle Corp 107,000 6.13 07/08/39 A+ 144,805 150,609 Oracle Corp 99,000 3.63 07/15/23 A+ 102,904 104,619 Oracle Corp 159,000 3.40 07/08/24 A+ 164,183 167,727 Oracle Corp 79,000 4.30 07/08/34 A+ 86,201 92,250 Oracle Corp 76,000 2.80 07/08/21 A+ 76,727 77,143 Oracle Corp 119,000 4.38 05/15/55 A+ 128,525 140,794 Oracle Corp 119,000 3.85 07/15/36 A+ 123,845 130,182 Oracle Corp 99,000 4.00 07/15/46 A+ 102,357 109,859 Oracle Corp 151,000 1.90 09/15/21 A+ 150,282 151,277 Oracle Corp 119,000 2.40 09/15/23 A+ 118,519 120,911 Oracle Corp 79,000 2.65 07/15/26 A+ 77,752 80,733 Oracle Corp 400,000 4.13 05/15/45 A+ 394,849 450,637 QUALCOMM, Inc 1,079,000 3.00 05/20/22 A- 1,090,719 1,105,755 QUALCOMM, Inc 159,000 3.45 05/20/25 A- 162,385 168,008 QUALCOMM, Inc 279,000 4.65 05/20/35 A- 323,310 331,003 QUALCOMM, Inc 79,000 4.80 05/20/45 A- 85,414 96,515 QUALCOMM, Inc 79,000 2.60 01/30/23 A- 78,802 80,370 QUALCOMM, Inc 199,000 3.25 05/20/27 A- 198,780 209,220 QUALCOMM, Inc 24,000 4.30 05/20/47 A- 24,224 27,449 Seagate HDD Cayman 159,000 4.75 01/01/25 BB+ 158,049 169,832 Seagate HDD Cayman 400,000 4.88 03/01/24 BB+ 403,520 426,167 Texas Instruments, Inc 79,000 2.75 03/12/21 A+ 79,559 79,809 Texas Instruments, Inc 600,000 1.85 05/15/22 A+ 581,208 599,414 VMware, Inc 28,000 2.95 08/21/22 BBB- 28,037 28,533 VMware, Inc 183,000 3.90 08/21/27 BBB- 183,258 191,350

____________________________________ ____________________________________

Total Technology 25,576,070 26,786,267 ____________________________________ ____________________________________

Utilities: 7.22% Alabama Power Co 500,000 3.70 12/01/47 A 463,141 526,517 Alabama Power Co 79,000 3.55 12/01/23 A 81,404 83,310 Ameren Corp 40,000 3.65 02/15/26 BBB 40,798 41,839 Ameren Illinois Co 79,000 2.70 09/01/22 A 79,506 80,376 American Water Capital Corp 500,000 3.75 09/01/47 A 466,571 527,792 American Water Capital Corp 20,000 6.59 10/15/37 A 26,796 28,175 American Water Capital Corp 119,000 3.85 03/01/24 A 123,665 126,134 Appalachian Power Co 99,000 7.00 04/01/38 A- 135,190 140,324


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December 31, 2019


Corporate Bonds (Continued) Appalachian Power Co 300,000 4.45% 06/01/45 A- $ 307,488 $ 342,676 Arizona Public Service Co 200,000 4.25 03/01/49 A- 237,243 226,045 Arizona Public Service Co 40,000 4.35 11/15/45 A- 43,508 45,949 Arizona Public Service Co 79,000 3.75 05/15/46 A- 78,727 82,932 Atmos Energy Corp 500,000 4.13 03/15/49 A 588,391 572,767 Atmos Energy Corp 60,000 4.13 10/15/44 A 63,454 67,410 Baltimore Gas & Electric Co 20,000 6.35 10/01/36 A 25,758 27,795 Baltimore Gas & Electric Co 79,000 3.75 08/15/47 A 78,959 84,095 Berkshire Hathaway Energy Co 159,000 6.13 04/01/36 A- 203,911 218,835 Berkshire Hathaway Energy Co 20,000 5.95 05/15/37 A- 25,264 26,972 Berkshire Hathaway Energy Co 300,000 5.15 11/15/43 A- 355,707 378,925 Berkshire Hathaway Energy Co 200,000 2.38 01/15/21 A- 198,520 201,036 Black Hills Corp 79,000 4.25 11/30/23 BBB+ 82,481 83,697 CenterPoint Energy Houston Electric

LLC 20,000 2.25 08/01/22 A 19,892 20,119 CenterPoint Energy Houston Electric



LLC 200,000 3.95 03/01/48 A 199,456 223,948 CenterPoint Energy Resources Corp 20,000 5.85 01/15/41 BBB+ 24,621 25,438 CenterPoint Energy, Inc 79,000 2.50 09/01/22 BBB 78,840 79,617 CMS Energy Corp 500,000 3.45 08/15/27 BBB 482,404 522,671 Commonwealth Edison Co 79,000 6.45 01/15/38 A 106,295 111,950 Commonwealth Edison Co 79,000 4.60 08/15/43 A 89,082 94,209 Commonwealth Edison Co 159,000 2.55 06/15/26 A 154,855 160,790 Commonwealth Edison Co 79,000 3.65 06/15/46 A 78,925 83,641 Consolidated Edison Co of New York,

Inc 300,000 4.65 12/01/48 A- 366,115 364,004 Consolidated Edison Co of New York,








Inc 379,000 5.30 03/01/35 A- 422,725 465,966 Consumers Energy Co 79,000 3.25 08/15/46 A 72,659 79,176 Dominion Energy Gas Holdings LLC 79,000 4.80 11/01/43 BBB+ 85,819 90,097 Dominion Energy South Carolina, Inc 200,000 5.10 06/01/65 A 217,330 259,205 Dominion Energy South Carolina, Inc 20,000 6.05 01/15/38 A 23,916 27,180 Dominion Energy South Carolina, Inc 119,000 5.45 02/01/41 A 136,570 154,431




December 31, 2019


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Corporate Bonds (Continued) Dominion Energy, Inc 79,000 4.70% 12/01/44 BBB $ 86,562 $ 91,438 Dominion Energy, Inc 20,000 5.95 06/15/35 BBB 24,550 25,402 Dominion Energy, Inc 79,000 4.90 08/01/41 BBB 87,163 92,464 Dominion Energy, Inc 24,000 2.85 08/15/26 BBB 23,421 24,227 Dominion Energy, Inc 300,000 2.75 01/15/22 BBB 299,206 304,226 DTE Electric Co 27,000 3.65 03/15/24 A 27,986 28,563 DTE Electric Co 79,000 3.70 06/01/46 A 79,545 85,181 DTE Electric Co 1,059,000 3.75 08/15/47 A 1,154,844 1,155,227 DTE Electric Co 300,000 3.70 03/15/45 A 293,964 322,895 DTE Energy Co 79,000 3.50 06/01/24 BBB 80,614 82,420 Duke Energy Carolinas LLC 20,000 6.10 06/01/37 A- 25,591 27,153 Duke Energy Carolinas LLC 99,000 6.05 04/15/38 A 128,402 136,668 Duke Energy Carolinas LLC 79,000 3.75 06/01/45 A 79,981 84,976 Duke Energy Corp 99,000 3.55 09/15/21 BBB+ 100,848 101,116 Duke Energy Corp 79,000 3.15 08/15/27 BBB+ 78,534 81,321 Duke Energy Corp 200,000 4.80 12/15/45 BBB+ 213,588 236,503 Duke Energy Florida LLC 24,000 6.35 09/15/37 A 31,914 33,553 Duke Energy Florida LLC 199,000 6.40 06/15/38 A 268,637 286,515 Duke Energy Indiana LLC 20,000 6.35 08/15/38 A 26,711 28,352 Duke Energy Indiana LLC 79,000 6.12 10/15/35 A- 100,333 104,087 Duke Energy Progress LLC 199,000 3.25 08/15/25 A 202,484 208,857 Duke Energy Progress LLC 159,000 4.20 08/15/45 A 170,107 180,547 Duke Energy Progress LLC 119,000 4.10 05/15/42 A 125,619 134,255 Duke Energy Progress LLC 79,000 2.80 05/15/22 A 79,666 80,641 Edison International 79,000 2.95 03/15/23 BBB- 79,591 79,032 Edison International 223,000 2.40 09/15/22 BBB- 221,800 222,348 Emera US Finance LP 159,000 2.70 06/15/21 BBB 159,288 160,439 Emera US Finance LP 107,000 3.55 06/15/26 BBB 107,782 111,049 Emera US Finance LP 107,000 4.75 06/15/46 BBB 115,371 123,524 Entergy Arkansas LLC 79,000 3.70 06/01/24 A 81,773 83,822 Entergy Arkansas LLC 183,000 3.50 04/01/26 A 187,789 192,872 Entergy Louisiana LLC 119,000 4.05 09/01/23 A 124,318 126,454 Entergy Louisiana LLC 32,000 4.95 01/15/45 A 33,368 34,297 Entergy Louisiana LLC 79,000 3.12 09/01/27 A 79,380 81,893 Entergy Louisiana LLC 1,000,000 3.05 06/01/31 A 942,887 1,032,963 Entergy Mississippi LLC 300,000 3.85 06/01/49 A 330,871 326,561 Evergy Kansas Central, Inc 79,000 4.13 03/01/42 A 83,226 87,654 Evergy Kansas Central, Inc 159,000 2.55 07/01/26 A 154,577 159,328 Evergy Metro, Inc 40,000 5.30 10/01/41 A+ 46,795 50,470 Evergy Metro, Inc 238,000 4.20 06/15/47 A+ 247,727 274,572 Eversource Energy 40,000 3.15 01/15/25 BBB+ 40,230 41,244 Eversource Energy 350,000 3.80 12/01/23 BBB+ 355,699 368,391 Exelon Corp 119,000 5.63 06/15/35 BBB 140,798 147,089 Exelon Corp 159,000 3.95 06/15/25 BBB 164,442 170,847 Exelon Corp 79,000 3.50 06/01/22 BBB 80,243 81,099 Exelon Generation Co LLC 107,000 6.25 10/01/39 BBB+ 120,328 128,835 Exelon Generation Co LLC 400,000 4.25 06/15/22 BBB+ 405,945 418,215 FirstEnergy Corp 300,000 3.90 07/15/27 BBB- 318,950 320,539 FirstEnergy Corp 72,000 7.38 11/15/31 BBB- 93,560 101,515 FirstEnergy Corp 83,000 4.25 03/15/23 BBB- 85,971 87,458 Florida Power & Light Co 20,000 4.95 06/01/35 A+ 23,115 24,933


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December 31, 2019


Corporate Bonds (Continued) Florida Power & Light Co 32,000 5.96% 04/01/39 A+ $ 41,785 $ 45,120 Florida Power & Light Co 240,000 4.13 02/01/42 A+ 259,926 274,538 Florida Power & Light Co 319,000 3.80 12/15/42 A+ 335,519 346,953 Florida Power & Light Co 79,000 3.13 12/01/25 A+ 79,875 82,926 Fortis, Inc 159,000 3.06 10/04/26 BBB+ 155,368 162,237 Georgia Power Co 200,000 4.30 03/15/42 A- 220,214 218,861 Georgia Power Co 20,000 4.75 09/01/40 A- 21,875 22,628 Georgia Power Co 40,000 3.25 04/01/26 A- 40,054 41,493 Gulf Power Co 79,000 3.30 05/30/27 A 79,671 82,227 Indiana Michigan Power Co 400,000 6.05 03/15/37 A- 505,448 523,239 Indiana Michigan Power Co 159,000 3.75 07/01/47 A- 156,809 166,226 ITC Holdings Corp 40,000 3.65 06/15/24 BBB+ 40,847 41,848 ITC Holdings Corp 183,000 3.25 06/30/26 BBB+ 182,491 188,599 MidAmerican Energy Co 400,000 3.65 04/15/29 A+ 439,169 436,821 MidAmerican Energy Co 500,000 3.65 08/01/48 A+ 475,092 538,941 National Fuel Gas Co 75,000 3.75 03/01/23 BBB 76,035 77,378 National Fuel Gas Co 40,000 5.20 07/15/25 BBB 42,181 44,217 National Rural Utilities Cooperative

Finance Corp 400,000 3.40 02/07/28 A 430,181 425,098 Nevada Power Co 40,000 6.75 07/01/37 A+ 54,213 56,463 NextEra Energy Capital Holdings, Inc 99,000 4.50 06/01/21 BBB+ 101,740 101,850 NextEra Energy Capital Holdings, Inc 79,000 3.55 05/01/27 BBB+ 81,009 83,844 NextEra Energy Capital Holdings,

Inc(2) 800,000 4.80 12/01/77 BBB 742,691 825,800 NiSource, Inc 47,000 5.25 02/15/43 BBB+ 54,413 57,061 NiSource, Inc 119,000 3.49 05/15/27 BBB+ 120,299 125,050 NiSource, Inc 119,000 4.38 05/15/47 BBB+ 124,386 131,623 NiSource, Inc 300,000 3.65 06/15/23 BBB+ 305,912 312,320 Northern States Power Co 79,000 6.20 07/01/37 A 103,810 109,905 Northern States Power Co 600,000 3.40 08/15/42 A 591,118 626,277 Northern States Power Co 79,000 3.60 09/15/47 A 78,896 84,189 NSTAR Electric Co 40,000 5.50 03/15/40 A 49,773 51,195 NSTAR Electric Co 79,000 3.20 05/15/27 A 79,984 82,758 Oglethorpe Power Corp 20,000 5.95 11/01/39 BBB+ 24,525 24,935 Oglethorpe Power Corp 79,000 5.38 11/01/40 BBB+ 91,219 94,912 Ohio Edison Co 119,000 6.88 07/15/36 BBB 155,843 166,124 Ohio Power Co 500,000 4.00 06/01/49 A- 569,121 559,739 Ohio Power Co 20,000 5.38 10/01/21 A- 21,041 21,188 Oklahoma Gas & Electric Co 400,000 3.30 03/15/30 A- 423,333 420,966 Oncor Electric Delivery Co LLC 20,000 7.50 09/01/38 A+ 28,968 31,121 Oncor Electric Delivery Co LLC 119,000 4.55 12/01/41 A+ 132,524 142,202 Oncor Electric Delivery Co LLC 159,000 2.95 04/01/25 A+ 158,587 162,484 Oncor Electric Delivery Co LLC 200,000 3.70 11/15/28 A+ 215,083 218,646 PacifiCorp 99,000 5.75 04/01/37 A+ 124,341 130,731 PacifiCorp 20,000 6.25 10/15/37 A+ 26,360 28,000 PacifiCorp 20,000 6.35 07/15/38 A+ 26,716 27,978 PacifiCorp 20,000 6.00 01/15/39 A+ 26,089 27,363 PacifiCorp 28,000 4.10 02/01/42 A+ 29,613 31,170 PECO Energy Co 300,000 3.90 03/01/48 A 337,328 337,233 PECO Energy Co 79,000 4.15 10/01/44 A 84,940 88,879 Potomac Electric Power Co 79,000 3.60 03/15/24 A 81,666 83,190


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December 31, 2019


Corporate Bonds (Continued) PPL Capital Funding, Inc 79,000 3.50% 12/01/22 BBB+ $ 80,799 $ 81,690 PPL Electric Utilities Corp 400,000 4.75 07/15/43 A 469,843 483,182 PPL Electric Utilities Corp 200,000 3.95 06/01/47 A 197,973 222,458 Progress Energy, Inc 79,000 3.15 04/01/22 BBB+ 79,907 80,511 PSEG Power LLC 40,000 3.00 06/15/21 BBB+ 40,211 40,448 Public Service Co of Colorado 300,000 6.50 08/01/38 A 433,946 430,746 Public Service Co of Colorado 20,000 6.25 09/01/37 A 26,434 28,055 Public Service Co of Colorado 40,000 3.60 09/15/42 A 38,915 42,430 Public Service Co of Colorado 79,000 4.30 03/15/44 A 85,906 92,139 Public Service Co of Colorado 400,000 3.70 06/15/28 A 407,547 435,448 Public Service Electric & Gas Co 20,000 3.95 05/01/42 A 20,906 22,131 Public Service Electric & Gas Co 79,000 3.65 09/01/42 A 78,094 84,205 Public Service Electric & Gas Co 79,000 2.38 05/15/23 A 78,565 80,014 Public Service Electric & Gas Co 1,200,000 3.70 05/01/28 A 1,210,589 1,301,683 Public Service Enterprise Group, Inc 159,000 2.00 11/15/21 BBB 157,302 158,857 Puget Energy, Inc 479,000 6.00 09/01/21 BBB- 501,859 508,578 Puget Sound Energy, Inc 79,000 6.27 03/15/37 A- 101,204 106,647 Puget Sound Energy, Inc 20,000 5.76 10/01/39 A- 25,304 26,454 Puget Sound Energy, Inc 20,000 5.80 03/15/40 A- 25,474 26,551 Puget Sound Energy, Inc 20,000 5.64 04/15/41 A- 25,002 25,871 San Diego Gas & Electric Co 20,000 4.50 08/15/40 A 22,796 22,518 Sempra Energy 85,000 4.05 12/01/23 BBB+ 88,313 90,345 Sempra Energy 40,000 3.75 11/15/25 BBB+ 41,079 42,305 Sempra Energy 900,000 3.25 06/15/27 BBB+ 899,098 925,855 Southern California Edison Co 99,000 5.63 02/01/36 A- 121,149 120,422 Southern California Edison Co 20,000 5.50 03/15/40 A- 25,084 24,640 Southern California Edison Co 20,000 3.88 06/01/21 A- 20,441 20,433 Southern California Edison Co 800,000 3.60 02/01/45 A- 809,006 789,378 Southern California Edison Co 659,000 4.00 04/01/47 A- 676,635 691,663 Southern California Gas Co 200,000 3.75 09/15/42 A+ 194,942 209,045 Southern California Gas Co 400,000 3.95 02/15/50 A+ 419,558 446,404 Southern California Gas Co 79,000 5.13 11/15/40 A+ 95,323 96,425 Southern Co 99,000 2.95 07/01/23 BBB+ 99,309 101,488 Southern Co 119,000 3.25 07/01/26 BBB+ 118,480 123,846 Southern Co 24,000 4.25 07/01/36 BBB+ 24,914 25,818 Southern Co 119,000 4.40 07/01/46 BBB+ 124,986 131,582 Southern Co Gas Capital Corp 79,000 5.88 03/15/41 A- 95,589 99,552 Southern Co Gas Capital Corp 79,000 4.40 05/30/47 A- 82,754 87,181 Southern Power Co 79,000 5.15 09/15/41 BBB+ 85,326 89,309 Southern Power Co 48,000 5.25 07/15/43 BBB+ 53,016 54,863 Southern Power Co 159,000 2.50 12/15/21 BBB+ 158,640 160,591 Southwestern Electric Power Co 20,000 6.20 03/15/40 A- 25,944 26,293 Southwestern Public Service Co 79,000 3.30 06/15/24 A 80,505 82,163 Tampa Electric Co 79,000 4.10 06/15/42 BBB+ 80,207 85,862 Tucson Electric Power Co 40,000 3.05 03/15/25 A- 39,577 41,158 Union Electric Co 300,000 4.00 04/01/48 A 316,917 331,882 Union Electric Co 20,000 8.45 03/15/39 A 31,236 33,032 Union Electric Co 99,000 3.50 04/15/24 A 101,658 104,043 Virginia Electric & Power Co 500,000 4.60 12/01/48 BBB+ 610,533 611,117 Virginia Electric & Power Co 79,000 6.00 01/15/36 BBB+ 99,743 104,819 Virginia Electric & Power Co 20,000 6.00 05/15/37 BBB+ 25,401 26,975


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December 31, 2019


Corporate Bonds (Continued) Virginia Electric & Power Co 20,000 8.88% 11/15/38 BBB+ $ 33,008 $ 33,705 Virginia Electric & Power Co 40,000 2.75 03/15/23 BBB+ 40,211 40,713 Virginia Electric & Power Co 119,000 4.65 08/15/43 BBB+ 134,110 141,943 Virginia Electric & Power Co 159,000 4.45 02/15/44 BBB+ 175,652 184,210 Virginia Electric & Power Co 79,000 3.15 01/15/26 BBB+ 79,759 82,504 Virginia Electric & Power Co 119,000 3.50 03/15/27 BBB+ 122,517 127,155 Virginia Electric & Power Co 300,000 3.80 09/15/47 BBB+ 283,648 323,691 WEC Energy Group, Inc 400,000 3.38 06/15/21 BBB+ 400,747 407,988 Wisconsin Power & Light Co 99,000 6.38 08/15/37 A 130,057 135,344 Wisconsin Public Service Corp 500,000 3.30 09/01/49 A- 503,666 499,513 Wisconsin Public Service Corp 79,000 3.67 12/01/42 A- 77,592 82,212 Xcel Energy, Inc 40,000 2.40 03/15/21 BBB+ 40,049 40,152

Total Utilities 36,549,489 38,150,074 Total Corporate Bonds 501,784,990 522,572,638





(1) This Fund holds 1.46% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The rates

shown are those in effect on December 31, 2019. (3) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds


GMTN Global Medium Term Note








$

$

$

9.79

0.36 1.01 1.37

11.16 14.05%

526,909,993

$

$

$

10.08

0.35 1.04 1.39

11.47 13.78%

1,127,862


0.00% 3.43%

32%

0.24% 3.15%

32%



WELLS FARGO STRATEGIC RETIREMENT BOND INDEX CIT


Fair Cost value

Assets: Affiliated short term investment $ 1,562,140 $ 1,562,140 Unaffiliated investments 127,407,029 129,718,453 Receivable for investment securities sold 1,553,016 Accrued interest income 570,012 Cash collateral held at broker 5,062 Fund shares sold 1,030




Shares Class Net Assets Outstanding Net Asset Value G $ 128,804,847 12,076,838 $ 10.67 TMR $ 1,698,329 158,230 $ 10.73








Investments 34,273 Futures contracts 3

Net change in unrealized appreciation (depreciation) on: Investments 3,832,599









Net change 1,308,139 Change in net assets derived from share transactions 38,461,489 Total increase (decrease) in net assets 44,875,547



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December 31, 2019


Government/Agency Bonds: 99.40% Federal Agencies: 1.47%

FHLB 515,000 3.00% 10/12/21 AA+ $ 526,838 $ 527,438 FHLB 130,000 2.00 10/03/22 AA+ 130,111 130,117 FHLB 30,000 3.25 06/09/28 AA+ 29,921 32,652 FHLB 145,000 3.25 11/16/28 AA+ 148,378 158,355 FHLMC 145,000 1.98 08/19/22 AA+ 144,980 145,010 FHLMC 240,000 2.38 01/13/22 AA+ 242,005 243,602 FNMA 315,000 1.38 09/06/22 AA+ 313,025 312,762 FNMA 285,000 1.25 08/17/21 AA+ 278,398 283,420 FNMA 15,000 1.88 09/24/26 AA+ 14,009 14,956 FNMA 70,000 2.13 04/24/26 AA+ 67,453 70,985

Total Federal Agencies 1,895,118 1,919,297 US Government Notes & Bonds: 97.93%

Treasury Inflation Protected Security(1) 2,884,811 0.13 04/15/21 2,880,394 2,878,802 Treasury Inflation Protected Security(1) 847,510 0.13 10/15/24 848,959 852,342 Treasury Inflation Protected Security(1) 1,252,248 3.88 04/15/29 1,617,722 1,670,672 Treasury Inflation Protected Security(1) 1,048,723 2.50 01/15/29 1,197,451 1,263,748 Treasury Inflation Protected Security(1) 1,819,111 0.88 01/15/29 1,868,319 1,931,504 Treasury Inflation Protected Security(1) 2,106,899 0.50 04/15/24 2,122,692 2,140,846 Treasury Inflation Protected Security(1) 1,971,740 0.25 07/15/29 1,986,099 1,990,657 Treasury Inflation Protected Security(1) 2,232,020 2.38 01/15/25 2,440,063 2,487,399 Treasury Inflation Protected Security(1) 1,356,149 2.00 01/15/26 1,484,951 1,507,313 Treasury Inflation Protected Security(1) 968,499 2.38 01/15/27 1,083,312 1,117,791 Treasury Inflation Protected Security(1) 2,022,900 0.38 07/15/27 1,985,782 2,063,232 Treasury Inflation Protected Security(1) 3,087,952 0.63 01/15/24 3,095,364 3,153,149 Treasury Inflation Protected Security(1) 2,987,747 0.25 01/15/25 2,979,112 3,014,093 Treasury Inflation Protected Security(1) 2,690,097 0.63 01/15/26 2,709,698 2,772,322 Treasury Inflation Protected Security(1) 2,492,664 1.13 01/15/21 2,513,313 2,515,710 Treasury Inflation Protected Security(1) 1,913,539 0.63 07/15/21 1,926,225 1,934,958 Treasury Inflation Protected Security(1) 2,299,501 0.13 07/15/26 2,243,129 2,306,566 Treasury Inflation Protected Security(1) 2,197,686 0.13 01/15/22 2,186,825 2,196,446 Treasury Inflation Protected Security(1) 2,914,969 0.13 07/15/22 2,912,205 2,927,040 Treasury Inflation Protected Security(1) 2,384,621 0.13 01/15/23 2,370,899 2,384,284 Treasury Inflation Protected Security(1) 1,898,329 0.38 01/15/27 1,872,429 1,926,964 Treasury Inflation Protected Security(1) 2,598,513 0.38 07/15/23 2,605,053 2,634,285 Treasury Inflation Protected Security(1) 2,097,018 0.13 07/15/24 2,075,854 2,109,376 Treasury Inflation Protected Security(1) 3,149,993 0.13 04/15/22 3,138,339 3,145,242 Treasury Inflation Protected Security(1) 2,224,476 0.38 07/15/25 2,208,953 2,269,626 Treasury Inflation Protected Security(1) 1,272,792 3.63 04/15/28 1,594,105 1,627,986 Treasury Inflation Protected Security(1) 982,648 1.75 01/15/28 1,061,253 1,103,778 Treasury Inflation Protected Security(1) 2,242,923 0.50 01/15/28 2,226,347 2,300,656 Treasury Inflation Protected Security(1) 2,522,587 0.63 04/15/23 2,513,521 2,561,512 Treasury Inflation Protected Security(1) 2,255,308 0.75 07/15/28 2,254,008 2,372,387 US Treasury Bond 510,000 6.38 08/15/27 675,531 674,191 US Treasury Bond 250,000 6.50 11/15/26 329,336 325,673 US Treasury Bond 425,000 6.75 08/15/26 554,912 556,130 US Treasury Bond 485,000 5.50 08/15/28 595,979 623,795 US Treasury Bond 475,000 6.63 02/15/27 602,146 627,033 US Treasury Bond 370,000 6.13 11/15/27 455,658 485,769 US Treasury Bond 325,000 7.88 02/15/21 343,849 347,141 US Treasury Bond 385,000 6.00 02/15/26 459,138 478,933




December 31, 2019


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Government/Agency Bonds (Continued) US Treasury Note 975,000 2.50% 01/31/21 $ 984,103 $ 983,850 US Treasury Note 410,000 2.00 04/30/24 415,701 415,256 US Treasury Note 670,000 1.50 08/15/22 668,473 668,210 US Treasury Note 645,000 2.63 06/30/23 669,284 666,367 US Treasury Note 855,000 2.88 11/30/25 911,221 907,455 US Treasury Note 855,000 2.38 04/30/26 888,142 884,139 US Treasury Note 830,000 2.25 03/31/21 836,242 836,225 US Treasury Note 875,000 1.50 01/31/22 873,092 873,401 US Treasury Note 1,115,000 2.25 04/30/21 1,123,026 1,124,259 US Treasury Note 760,000 1.88 07/31/26 767,150 762,463 US Treasury Note 705,000 1.50 09/30/24 702,487 698,460 US Treasury Note 765,000 2.38 01/31/23 767,374 781,901 US Treasury Note 540,000 2.63 02/28/23 555,002 556,373 US Treasury Note 560,000 2.50 03/31/23 563,546 575,173 US Treasury Note 710,000 2.88 05/31/25 721,658 751,327 US Treasury Note 755,000 2.75 05/31/23 761,717 782,329 US Treasury Note 735,000 2.75 09/15/21 738,489 748,942 US Treasury Note 515,000 2.88 11/30/23 521,923 538,263 US Treasury Note 470,000 2.63 12/15/21 471,019 479,193 US Treasury Note 785,000 2.63 12/31/23 789,690 813,632 US Treasury Note 765,000 2.50 01/15/22 765,562 778,598 US Treasury Note 800,000 2.50 01/31/24 800,882 825,667 US Treasury Note 760,000 2.25 03/31/26 758,504 780,091 US Treasury Note 835,000 1.75 06/30/24 834,529 836,876 US Treasury Note 755,000 2.00 08/31/21 748,898 759,820 US Treasury Note 390,000 1.63 04/30/23 386,951 389,707 US Treasury Note 785,000 1.13 07/31/21 768,527 778,972 US Treasury Note 1,075,000 2.13 03/31/24 1,077,299 1,094,047 US Treasury Note 655,000 2.25 07/31/21 652,558 661,476 US Treasury Note 960,000 2.38 05/15/27 942,961 994,590 US Treasury Note 685,000 2.00 07/31/22 676,712 691,747 US Treasury Note 665,000 2.75 06/30/25 694,548 699,779 US Treasury Note 670,000 2.75 07/31/23 694,199 695,270 US Treasury Note 660,000 1.63 08/15/29 663,089 642,458 US Treasury Note 790,000 1.50 08/15/26 750,690 773,799 US Treasury Note 605,000 1.88 07/31/22 603,241 608,996 US Treasury Note 55,000 1.88 09/30/22 54,772 55,391 US Treasury Note 605,000 2.00 10/31/22 605,000 611,316 US Treasury Note 380,000 2.25 11/15/27 369,107 390,301 US Treasury Note 580,000 2.13 11/30/24 575,786 591,280 US Treasury Note 590,000 2.75 02/15/24 603,956 614,918 US Treasury Note 795,000 2.38 08/15/24 801,470 818,602 US Treasury Note 795,000 2.25 11/15/24 796,474 815,063 US Treasury Note 525,000 2.00 02/15/25 519,097 532,058 US Treasury Note 810,000 2.00 08/15/25 798,842 820,239 US Treasury Note 800,000 2.25 11/15/25 798,831 820,902 US Treasury Note 770,000 2.00 11/30/22 765,611 778,260 US Treasury Note 615,000 1.38 01/31/21 612,271 613,231 US Treasury Note 805,000 1.63 02/15/26 774,257 797,023 US Treasury Note 650,000 3.63 02/15/21 663,258 664,146 US Treasury Note 800,000 1.63 05/15/26 767,796 790,988


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____________________________________ ____________________________________ ____________________________________ ____________________________________



December 31, 2019


Government/Agency Bonds (Continued) US Treasury Note 640,000 2.13% 08/15/21 $ 642,674 $ 645,219 US Treasury Note 645,000 2.00 11/15/21 646,417 649,913 US Treasury Note 610,000 1.63 11/15/22 603,523 610,114 US Treasury Note 320,000 2.00 11/15/26 313,418 323,327 US Treasury Note 605,000 1.75 11/30/21 603,327 606,690 US Treasury Note 600,000 2.00 12/31/21 600,998 604,618 US Treasury Note 705,000 2.00 02/15/23 703,937 712,826 US Treasury Note 605,000 1.88 01/31/22 604,362 608,342 US Treasury Note 715,000 1.75 05/15/23 707,493 717,279 US Treasury Note 655,000 2.50 08/15/23 664,412 674,143 US Treasury Note 605,000 1.88 02/28/22 604,230 608,496 US Treasury Note 495,000 1.88 03/31/22 494,186 497,966 US Treasury Note 730,000 2.75 11/15/23 747,255 759,217 US Treasury Note 780,000 2.50 05/15/24 790,734 806,389 US Treasury Note 800,000 2.13 05/15/25 795,167 815,667 US Treasury Note 115,000 1.75 05/31/22 114,422 115,401 US Treasury Note 775,000 1.75 06/30/22 775,445 777,865 US Treasury Note 760,000 2.25 08/15/27 727,171 780,713 US Treasury Note 320,000 1.63 08/31/22 311,661 320,104 US Treasury Note 1,070,000 2.75 02/15/28 1,132,001 1,139,288 US Treasury Note 560,000 2.25 02/15/21 559,061 563,701 US Treasury Note 530,000 2.63 03/31/25 522,851 553,781 US Treasury Note 380,000 2.63 06/15/21 380,022 385,454 US Treasury Note 530,000 2.13 09/30/21 524,789 534,616 US Treasury Note 540,000 1.75 03/31/22 529,768 541,821 US Treasury Note 710,000 2.13 12/31/22 697,992 720,401 US Treasury Note 535,000 1.50 02/28/23 515,341 532,801 US Treasury Note 540,000 3.13 05/15/21 546,614 550,945 US Treasury Note 385,000 1.13 06/30/21 376,253 382,232 US Treasury Note 515,000 1.63 08/15/22 502,050 515,235 US Treasury Note 95,000 2.25 01/31/24 92,824 97,120 US Treasury Note 820,000 2.25 02/15/27 783,816 842,015 US Treasury Note 125,000 1.88 04/30/22 123,023 125,761 US Treasury Note 610,000 2.75 08/15/21 607,969 621,012 US Treasury Note 465,000 2.88 10/15/21 465,310 475,319 US Treasury Note 595,000 2.88 10/31/23 591,202 621,424 US Treasury Note 1,010,000 3.13 11/15/28 1,036,251 1,109,761

Total US Government Notes & Bonds 125,511,911 127,799,156 Total Government/Agency Bonds 127,407,029 129,718,453








December 31, 2019

(1) Zero coupon bond. Interest rate represents yield to maturity. This Fund holds 49.93% of its portfolio in these securities. (2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund

holds approximately 0.03% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.

FHLB Federal Home Loan Bank FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association








$

$

$

10.07

0.24 0.36 0.60

10.67 5.97%

128,804,847

$

$

$

10.15

0.22 0.36 0.58

10.73 5.71%

1,698,329


0.00% 2.26%

22%

0.24% 2.08%

22%



WELLS FARGO US REIT INDEX CIT


Fair Cost value

Assets: Investments $ 52,813,419 $ 57,209,136 Cash 5,923 Accrued interest and dividend income 272,904 Receivable for investment securities sold 55,190 Fund shares sold 235


Fund shares repurchased 342,971 Payable for investment securities purchased 10,423 Accrued expenses 56






Investment income: Dividend income from unaffiliated investments $ 1,953,809 Dividend income from affiliated short term investment 5,441




Investments 694,242 Net change in unrealized appreciation (depreciation) on:





December 31, 2019


Equities: 100.03% Real Estate: 100.03%

Acadia Realty Trust REIT 5,945 $ 162,716 $ 154,154 Alexander & Baldwin, Inc 4,737 109,091 99,288 Alexander's, Inc 147 50,266 48,561 Alexandria Real Estate Equities, Inc 7,767 1,033,690 1,254,992 American Assets Trust, Inc 3,085 130,108 141,601 American Campus Communities, Inc REIT 9,430 408,155 443,493 American Finance Trust, Inc 7,379 91,304 97,846 American Homes 4 Rent A 18,065 402,811 473,484 Americold Realty Trust 13,204 395,570 462,932 Apartment Investment & Management Co A 10,251 483,353 529,464 Apple Hospitality REIT, Inc 14,599 255,459 237,234 AvalonBay Communities, Inc REIT 9,681 1,809,193 2,030,106 Boston Properties, Inc REIT 10,732 1,349,653 1,479,514 Brandywine Realty Trust REIT 12,139 195,806 191,189 Brixmor Property Group, Inc 20,278 359,583 438,208 Brookfield Property REIT, Inc A 4,875 93,521 89,919 Camden Property Trust REIT 6,631 633,166 703,549 Colony Capital, Inc REIT 33,481 250,703 159,035 Columbia Property Trust, Inc REIT 8,070 175,052 168,744 CoreCivic, Inc 8,241 173,078 143,229 Corporate Office Properties Trust 7,773 223,354 228,371 Cousins Properties, Inc 10,074 359,762 415,049 CubeSmart REIT 13,673 402,110 430,426 DiamondRock Hospitality Co 13,775 147,461 152,627 Digital Realty Trust, Inc REIT 14,534 1,676,400 1,740,301 Diversified Healthcare Trust 16,334 222,442 137,859 Douglas Emmett, Inc 11,558 459,675 507,396 Duke Realty Corp REIT 24,955 735,282 865,190 Easterly Government Properties, Inc 4,941 98,101 117,250 EastGroup Properties, Inc REIT 2,558 262,718 339,370 Empire State Realty Trust, Inc A 12,442 212,326 173,690 Equity Commonwealth 8,147 253,803 267,466 Equity LifeStyle Properties, Inc 11,742 704,009 826,519 Equity Residential REIT 25,267 1,783,119 2,044,606 Essential Properties Realty Trust, Inc 5,239 114,095 129,980 Essex Property Trust, Inc REIT 4,540 1,224,455 1,365,904 Extra Space Storage, Inc 8,822 814,222 931,780 Federal Realty Investment Trust 5,153 644,786 663,346 First Industrial Realty Trust, Inc 8,688 289,229 360,639 Gaming and Leisure Properties, Inc REIT 13,999 519,469 602,657 GEO Group, Inc 8,078 175,911 134,176 Healthcare Realty Trust, Inc 8,828 276,234 294,590 Healthcare Trust of America, Inc Cl-A 14,267 406,819 432,005 Healthpeak Properties, Inc 34,182 977,075 1,178,254 Highwoods Properties, Inc REIT 7,089 335,759 346,723 Host Hotels & Resorts, Inc REIT 49,951 947,914 926,591 Hudson Pacific Properties, Inc REIT 10,596 355,612 398,939 Industrial Logistics Properties Trust 4,500 95,816 100,890 Innovative Industrial Properties, Inc 739 56,590 56,068 Invitation Homes, Inc 33,127 848,964 992,816




December 31, 2019


Equities (Continued) Iron Mountain, Inc 19,692 $ 706,304 $ 627,584 JBG SMITH Properties 8,655 313,405 345,248 Kilroy Realty Corp 7,198 530,455 603,912 Kimco Realty Corp REIT 28,291 505,306 585,907 Kite Realty Group Trust 5,757 99,169 112,434 Lamar Advertising Co A 5,921 440,938 528,508 Liberty Property Trust 10,899 514,083 654,485 Life Storage, Inc REIT 3,197 291,317 346,171 LTC Properties, Inc REIT 2,803 126,393 125,490 Macerich Co 9,500 440,726 255,740 Mack-Cali Realty Corp 5,774 123,823 133,553 Mid-America Apartment Communities, Inc

REIT 7,866 836,271 1,037,211 National Health Investors, Inc REIT 2,927 224,337 238,492 National Storage Affiliates Trust 4,125 115,989 138,683 NexPoint Residential Trust, Inc 982 47,671 44,190 Office Properties Income Trust 3,283 129,644 105,516 Outfront Media, Inc REIT 9,859 225,578 264,418 Paramount Group, Inc 14,310 212,293 199,195 Park Hotels & Resorts, Inc 16,424 454,677 424,889 Pebblebrook Hotel Trust REIT 8,935 290,668 239,547 Pennsylvania Real Estate Investment Trust 3,974 30,666 21,181 Piedmont Office Realty Trust, Inc A 8,631 170,103 191,953 ProLogis, Inc REIT 44,010 3,081,045 3,923,051 PS Business Parks, Inc REIT 1,387 197,080 228,675 Public Storage REIT 10,491 2,215,437 2,234,163 Regency Centers Corp 11,504 726,368 725,787 Retail Opportunity Investments Corp 7,673 136,743 135,505 Rexford Industrial Realty, Inc 7,609 267,497 347,503 RLJ Lodging Trust REIT 11,752 233,356 208,245 RPT Realty 5,325 68,755 80,088 Ryman Hospitality Properties, Inc 3,191 241,990 276,532 SBA Communications Corp 7,736 1,412,804 1,864,299 Seritage Growth Properties A REIT 2,331 95,557 93,426 Service Properties Trust 11,215 300,178 272,861 Simon Property Group, Inc REIT 20,537 3,327,304 3,059,192 SITE Centers Corp 10,506 152,027 147,294 SL Green Realty Corp 5,778 531,882 530,883 STAG Industrial, Inc 9,229 259,136 291,360 Summit Hotel Properties, Inc 7,139 96,566 88,095 Sun Communities, Inc 6,164 679,277 925,216 Sunstone Hotel Investors, Inc 15,498 236,076 215,732 Tanger Factory Outlet Centers, Inc 6,274 128,845 92,416 Taubman Centers, Inc 4,008 190,268 124,609 Terreno Realty Corp REIT 4,450 185,852 240,923 UDR, Inc REIT 20,071 834,055 937,316 Uniti Group, Inc 12,196 159,158 100,129 Universal Health Realty Income Trust 882 86,383 103,512 Urban Edge Properties 8,013 172,942 153,689 Ventas, Inc REIT 26,299 1,606,922 1,518,504 VICI Properties, Inc REIT 32,036 687,327 818,520


___________ ____________ ______________

____________________________________ ____________________________________

____________________________________ ____________________________________

____________________________________ ____________________________________

____________________________________ ____________________________________ ____________________________________ ____________________________________



December 31, 2019


Equities (Continued) Vornado Realty Trust REIT 12,024 $ 846,429 $ 799,596 Washington Prime Group, Inc 12,507 69,590 45,525 Washington Real Estate Investment Trust

REIT 5,425 160,606 158,301 Weingarten Realty Investors 8,311 245,688 259,636 Welltower, Inc 28,204 1,998,510 2,306,523 Xenia Hotels & Resorts, Inc 7,853 166,160 169,703

Total Real Estate 52,813,419 57,209,136 Total Equities 52,813,419 57,209,136 Total Investments: 100.03% $ 52,813,419 $ 57,209,136










$

$

$

9.77

0.46 1.85 2.31

12.08 23.64%

56,905,709

$

$

$

10.04

0.45 1.90 2.35

12.39 23.34%

284,229


0.00% 3.97%

26%

0.24% 3.80%

26%



WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS

Notes to Financial Statements

December 31, 2019

Wells Fargo Bloomberg Barclays U.S. Aggregate Wells Fargo Emerging Markets Bond Index CIT ex-Corporate Index CIT Wells Fargo Factor Enhanced Emerging Markets Wells Fargo Factor Enhanced International Index CIT Index CIT Wells Fargo Factor Enhanced Large Cap Index CIT Wells Fargo Factor Enhanced Small Cap Index CIT Wells Fargo High Yield Corporate Bond Index CIT Wells Fargo Investment Grade Corporate Bond Index CIT Wells Fargo Strategic Retirement Bond Index CIT Wells Fargo US REIT Index CIT

Fund Descriptions

The Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, identified above, (collectively the “Funds”, each a “Fund”) are established, operated, and maintained for the collective investment and reinvestment of monies contributed thereto by Wells Fargo Bank, N.A. (the Trustee and Manager) or an affiliate of the Trustee in its capacity as trustee, investment manager, or any other capacity authorized by law for retirement plans (the participants) qualified under Section 401(a) and tax-exempt under Section 501(a) of the Internal Revenue Code (IRC) of 1986, as amended. All Funds are sub-advised by affiliates of Wells Fargo.

a) Wells Fargo Bloomberg Barclays U.S. Aggregate ex-Corporate Index CIT

The Fund seeks to replicate the total return of the Bloomberg Barclays US Aggregated-Corporate Index (“Index”), before fees and expenses. The Fund principally invests in a diversified portfolio of U.S. investment grade, non-corporate, fixed income securities designed to replicate the performance and risk characteristics of the Index. The Fund generally invests the Fund’s assets in a broadly diversified collection of fixed income securities that, in the aggregate, approximates the Index in terms of key risk factors and other characteristics. This custom index includes investment-grade U.S. Treasury bonds, government-related bonds, mortgage-backed pass-through securities, commercial mortgage-backed securities and asset-backed securities that are publicly offered for sale in the United States. The Fund may invest in TBA Mortgage Securities in an attempt to create exposure to the mortgage sector. TBA refers to “To Be Announced.” These types of securities are mortgage securities where the counterparty has agreed to deliver, at a fixed date, mortgage pools that meet certain agreed upon characteristics. Collateral received from these transactions will be invested in cash or cash equivalents. The Fund may invest up to 20% of its assets in instruments that are not fixed income securities, but which the Fund believes are highly correlated to the Index. The Fund uses an optimization process which seeks to balance the replication of index performance with the minimization of security transaction costs.

b) Wells Fargo Emerging Markets Bond Index CIT

The Fund seeks to replicate the total return of the JP Morgan EMBI Global Diversified Index (the “Index”), before fees and expenses. The Fund primarily invests its net assets in diversified portfolio of fixed income securities issued by emerging market issuers designed to replicate the performance of the Index. The Index is designed to measure the performance of publicly issued U.S. dollar-denominated emerging markets bonds issued by governmental and quasi-governmental entities. The Index deviates from a traditional market capitalization weighting to provide more robust diversification across its constituent countries. The Fund may invest up to 20% of its assets in instruments that are not fixed income securities, but which are highly correlated to the Index. The Fund uses an optimization process which seeks to balance the replication of index performance with the minimization of security transaction costs.

269



December 31, 2019

c) Wells Fargo Factor Enhanced Emerging Markets Index CIT

The Fund seeks to replicate the total return of the Wells Fargo Factor Enhanced Emerging Markets Index (“Index”) before fees and expenses. Under normal circumstances, the Fund invests at least 80% of the Fund’s net assets in a diversified portfolio of equity securities of emerging market issuers designed to replicate the performance of the Index. The Fund may invest up to 20% of its assets in instruments not included in the Index, but which are highly correlated to the Index. The Index is a rules-based proprietary index designed to deliver exposure to equity securities of emerging market issuers (Index includes, but is not limited to, issuers located in Brazil, Chile, China, Colombia, Egypt, Greece, Indonesia, India, Malaysia, Mexico, Pakistan, the Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, Turkey, and Venezuela), and is constructed to provide exposure to factors (or characteristics) that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. Those factors include, but are not limited to value, quality, momentum, size, and low volatility.

d) Wells Fargo Factor Enhanced International Index CIT

The Fund seeks to replicate the total return of the Wells Fargo Factor Enhanced International Index (“Index”) before fees and expenses. The Fund principally invests in equity securities that are included in the Index. Under normal circumstances, the Fund invests at least 80% of the Fund’s net assets in a diversified portfolio of equity securities of foreign issuers in developed markets constructed to provide exposure to characteristics that are commonly tied to a stock’s potential for enhanced risk-adjusted returns relative to the market. The Fund may invest up to 20% of its assets in instruments not included in the Index, but which are highly correlated to the Index. The Index is a rules-based proprietary index designed to deliver exposure to equity securities of foreign issuers in developed markets.

e) Wells Fargo Factor Enhanced Large Cap Index CIT

The Fund seeks to replicate the total return of the Wells Fargo Factor Enhanced Large Cap Index (“Index”) before fees and expenses. The Fund principally invests in equity securities that are included in the Index. Under normal circumstances, the Fund invests at least 80% of the Fund’s net assets in a diversified portfolio of equity securities of large capitalization companies designed to replicate the performance of the Index. The Fund may invest up to 20% of its assets in instruments not included in the Index, but which are highly correlated to the Index. The Index is a rules-based proprietary index designed to deliver exposure to equity securities of large capitalization U.S. issuers.

f) Wells Fargo Factor Enhanced Small Cap Index CIT

The Fund seeks to replicate the total return of the Wells Fargo Factor Enhanced Small Cap Index (“Index”) before fees and expenses. The Fund principally invests in equity securities that are included in the Index. Under normal circumstances, the Fund invests at least 80% of the Fund’s net assets in a diversified portfolio of equity securities of small capitalization companies designed to replicate the performance of the Index. The Fund may invest up to 20% of its assets in instruments not included in the Index, but which are highly correlated to the Index. The Index is a rules-based proprietary index designed to deliver exposure to equity securities of small capitalization U.S. issuers.

g) Wells Fargo High Yield Corporate Bond Index CIT

The Fund seeks to replicate the total return of the Wells Fargo US High Yield Bond Index (“Index”), before fees and expenses. The Fund principally invests in a diversified portfolio of U.S. dollar denominated below investment-grade corporate fixed income securities issued by U.S. or foreign issuers designed to replicate the performance and risk characteristics of the Index. The Fund may invest up to 20% of its assets in instruments that are not fixed

270



December 31, 2019

income securities, but which the Fund believes are highly correlated to the Index (such as futures and other derivatives) for the purpose of managing ongoing cash flows. Rather than purchase every security in the Index, the Fund uses an optimization process which seeks to balance the replication of index performance with the minimization of security transaction costs. This rules-based proprietary index uses a stratified sampling technique in which securities are selected and purchased in order to construct a portfolio that exhibit characteristics and performance of the Index, without incurring the transaction costs associated with purchasing every security in the Index. The Index is designed to track the performance of High Yield Corporate Bonds with outstanding par amounts of greater than or equal to $150 million. The Index is composed of fixed-rate, taxable, U.S. dollar-denominated bonds, issued by corporate entities or similar commercial entities that are public reporting companies in the U.S., with a below investment-grade rating or classified as high yield by Bloomberg Index Services Limited (collectively with its affiliates, “Bloomberg”) in accordance with the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Bond Index methodology (“Reference Index”).

h) Wells Fargo Investment Grade Corporate Bond Index CIT

The Fund seeks to replicate the total return of the Wells Fargo US Investment Grade Corporate Bond Index (“Index”), before fees and expenses. The Fund principally invests in a diversified portfolio of U.S. dollar denominated investment grade corporate fixed income securities issued by U.S. or foreign issuers designed to replicate the performance and risk characteristics of the Index. This rules-based proprietary index is designed to measure the performance of publicly issued U.S. dollar denominated investment grade, fixed rate corporate bonds issued by U.S. or foreign issuers that have a remaining maturity of at least one year, regardless of optionality. The Index is constructed to provide increased diversification and liquidity versus traditional passive corporate credit indexes. The Fund may invest up to 20% of its assets in instruments that are not fixed income securities, but which are highly correlated to the Index rather than purchase every security in the Index, the Fund uses an optimization process which seeks to balance the replication of index performance with the minimization of security transaction costs.

i) Wells Fargo Strategic Retirement Bond Index CIT

The Fund seeks to replicate the total return of a blended index that is weighted 50% to the Bloomberg Barclays U.S. Treasury Inflation-Linked 1-10 Year Bond Index and 50% to the Bloomberg Barclays U.S. Intermediate Government Bond Index (the “Blended Index”), before fees and expenses. The Fund generally invests the Fund’s assets in a broadly diversified collection of fixed income securities that, in the aggregate, approximates the Blended Index in terms of key risk factors and other characteristics. The Fund may invest up to 20% of its assets in instruments that are not fixed income securities, but which are highly correlated to the Blended Index. Rather than purchase every security included in each index, the Fund uses an optimization process, which seeks to balance the replication of index performance with the minimization of security transaction costs.

j) Wells Fargo US REIT Index CIT

The Fund seeks to replicate the total return of the Wells Fargo US REIT Index (“Index”) before fees and expenses. Under normal circumstances, the Fund invests at least 80% of the Fund’s net assets in real estate securities designed to replicate the performance of the Index. This rules-based proprietary index is a market capitalization weighted index of publicly traded real estate investment trusts (“REITs”) and is comprised of companies whose charters are the equity ownership and operation of commercial and/or residential real estate and which operate under the REIT Act of 1960. To be included in the Index, a company must be both an equity owner and operator of commercial and/or residential real estate, at least 75% of the company’s total revenue must be derived from the ownership and operation of real estate assets, and the company must have a minimum total market capitalization of USD $250

271



December 31, 2019

million at the time of its inclusion. The Fund will generally attempt to fully replicate the Index. The Index is a rules-based proprietary index designed to deliver exposure to equity securities of U.S. REIT issuers. The Index is a float-adjusted, capitalization-weighted index of all applicable NYSE MKT or Nasdaq-listed classes of REIT Stock.

1. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trustee in the preparation of the Funds financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America and the Wells Fargo Bank Declaration of Trust Establishing Investment Funds for Employee Benefit Trusts, as amended and restated effective November 1, 2018 (Trust Agreement). The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 -Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).

a) Basis of Accounting

The accompanying financial statements have been presented on the accrual basis of accounting in accordance with GAAP.

b) Cash Overdrafts

The Funds may have overnight cash overdrafts. Cash overdrafts are funded by the Trustee and settled the next morning. No cash overdraft fees were assessed to the Funds for the year ended December 31, 2019.

c) Credit Risk and Uncertainties

Investment securities in which the Funds (or any Underlying funds as applicable) invest are subject to various risks, such as market, credit, and interest rate risks. Due to the level of risk associated with such securities, it is at least reasonably possible that changes in the near term could materially affect participants’ share values and the amounts reported in the statements of assets and liabilities. Credit ratings, as supplied solely by Standard & Poor’s, are noted on the Schedule of Investments for each fund which holds individual fixed income securities. The S&P rating is one relative measure of potential credit risk each security represents. Securities without a noted rating are either not generally rated (e.g. US government guaranteed instruments) or were un-rated by S&P as of December 31, 2019. S&P ratings have been provided for informational purposes only and have not been independently audited.

d) Delayed Delivery Transactions

The Funds may purchase or sell securities on a when-issued or forward-commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The market value of delayed delivery transactions is identified in the Funds' Schedule of Investments. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Funds are required to hold liquid assets as collateral with the Funds' custodian sufficient to cover the purchase price.

The Funds may enter into TBA sale commitments to hedge their portfolio positions or to sell mortgage-backed securities they own under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable, on or before the sale commitment date, are held as "cover" for the transaction. Unsettled TBA sale commitments are valued at the current market value of the

272



December 31, 2019

underlying securities, generally according to the procedures described under Note 2(e) "Valuation of Investments and Presentation" above. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the Funds realize a gain or loss. As of December 31, 2019 no funds had TBA sale commitments outstanding.

e) Valuation of Investments

Valuation of the Funds’ shares occurs daily for those days that the financial markets are open. Share values are determined by dividing the value of each Fund’s net assets by the total number of shares outstanding on the valuation date.

The Funds' investments, except those held in collective funds, are valued on the basis of market valuations, where available, as provided by independent pricing services. Securities for which market valuations are not readily available are valued at fair value as determined by the Trustee. Market valuations are generally determined as follows:

• Securities traded in the over-the-counter market are valued at the last sale on the valuation date, if any, otherwise at the last reported bid price.

• Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

• Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Fund’s Valuation Policies & Procedures as adopted by the Trustee.

• Government and agency obligations are valued based upon the most recent bid quotation for identical or similar obligations.

• Foreign markets and exchanges may close prior to the close of the New York Stock Exchange ("NYSE") and therefore may not fully reflect trading or events that occur after the close of the principle exchange in which the foreign investments are traded but before the close of the NYSE. If such trading or events are expected to materially affect the value of the investments, then those investments are fair valued following procedures approved by the Trustee.

• Investments in registered open-end investment companies are valued at net asset value. Interests in non-registered investment companies that are redeemable at net asset value are fair valued normally at net asset value.

• Swap contracts are valued at the evaluated price provided by an independent pricing service or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.

• Forward foreign currency contracts are recorded at the forward rate provided by an independent foreign currency pricing source.

273



December 31, 2019

Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Trustee of the Fund. The Trustee has established a Valuation Working Group and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Working Group deems necessary or appropriate, including determining the fair value of portfolio securities. The Trustee retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On at least on a quarterly basis, the Trustee receives reports on any valuation actions taken by the Valuation Working Group which may include items for ratification.

f) Fair Valuation of Securities

The Funds are subject to the provisions of FASB ASC 820-10, Fair Value Measurements which among other things, establishes a framework for measuring fair value and requires enhanced disclosures about investments that are measured and reported at fair value. In accordance with ASC 820-10, fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. ASC 820-10 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities.

The three levels of the fair value hierarchy are as follows:

Level 1: Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access at the measurement date. Examples of Level 1 securities would be common or preferred stocks trading on a national exchange.

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means. Examples of Level 2 securities would include corporate fixed income, municipal fixed income, or certain pooled funds.

Level 3: Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions in determining the fair value of investments). Examples of Level 3 securities would include private placements or assets for which no current pricing source is available or in default.

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.

The following table presents the values of the financial instruments carried on the statement of assets and liabilities by caption and by level within the valuation hierarchy as of December 31, 2019. The breakdown of each Funds' investments into major categories is disclosed in its respective Schedule of Investments.

274



December 31, 2019

Fair value measurements at reporting date using Quoted prices in active markets Significant other Significant

for identical observable unobservable assets inputs inputs

Investments in securities (Level 1) (Level 2) (Level 3) Total Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT:

Value of investment securities: Government/Agency Bonds $ 515,444,294 $ 402,391,125 $ — $ 917,835,419 Foreign Government Bonds — 40,049,322 — 40,049,322

Corporate Asset-Backed Securities — 6,369,300 — 6,369,300 Municipal Bonds — 8,271,341 — 8,271,341 Corporate Bonds — 13,172,377 — 13,172,377

Corporate Mortgage-Backed Securities — 15,021,418 — 15,021,418 Short-Term Investments — 24,240,726 — 24,240,726

Total $ 515,444,294 $ 509,515,609 $ — $ 1,024,959,903

Wells Fargo Emerging Markets Bond Index CIT: Value of investment securities:

Corporate Bonds $ — $ 13,921,512 $ — $ 13,921,512 Foreign Government Bonds — 70,312,512 — 70,312,512

Short-Term Investments — 1,111,756 — 1,111,756 Total $ — $ 85,345,780 $ — $ 85,345,780

Wells Fargo Factor Enhanced Emerging Markets Index CIT: Value of investment securities:

Equities $ 331,794,009 $ 191,082,530 $ 115,097 $ 522,991,636 Preferred Stocks 1,610,957 19,006,112 — 20,617,069

Rights 6,758 2,005 8 8,771 Warrants 4,550 2,423 — 6,973

Short-Term Investments — 11,714,012 — 11,714,012 Total $ 333,416,274 $ 221,807,082 $ 115,105 $ 555,338,461

Other financial instruments: Assets: Futures $ 196,652 $ — $ — $ 196,652

Total $ 196,652 $ — $ — $ 196,652

Wells Fargo Factor Enhanced International Index CIT: Value of investment securities:

Equities $ 987,061,231 $ 777,336,450 $ 395 $ 1,764,398,076 Exchange Traded Funds — 6,945,472 — 6,945,472

Preferred Stocks — 10,961,392 — 10,961,392 Short-Term Investments — 82,554,821 — 82,554,821

Total $ 987,061,231 $ 877,798,135 $ 395 $ 1,864,859,761 Other financial instruments:

Liabilities: Futures $ (146,241) $ — $ — $ (146,241)

Total $ (146,241) $ — $ — $ (146,241)

275



December 31, 2019



Investments in securities (Level 1) (Level 2) (Level 3) Total

Wells Fargo Factor Enhanced Large Cap Index CIT: Value of investment securities:

Equities $ 3,078,367,983 $ — $ — $ 3,078,367,983 Rights — 351,469 — 351,469

Short-Term Investments — 163,186,567 — 163,186,567 Total $ 3,078,367,983 $ 163,538,036 $ — $ 3,241,906,019

Other financial instruments: Assets: Futures $ 289,710 $ — $ — $ 289,710

Total $ 289,710 $ — $ — $ 289,710

Wells Fargo Factor Enhanced Small Cap Index CIT : Value of investment securities:

Equities $ 738,828,721 $ — $ 118,936 $ 738,947,657 Warrants — — — —

Short-Term Investments — 29,678,016 — 29,678,016 Total

Other financial instruments: Assets: Futures

Total

$ 738,828,721

$ 164,013 $ 164,013

$

$ $

29,678,016

— —

$

$ $

118,936

— —

$

$ $

768,625,673

164,013 164,013

Wells Fargo High Yield Corporate Bond Index CIT: Value of investment securities:

Corporate Bonds $ Short-Term Investments

Total $

— — —

$

$

83,265,673 1,742,862

85,008,535

$

$

— — —

$

$

83,265,673 1,742,862

85,008,535

Wells Fargo Investment Grade Corporate Bond Index CIT: Value of investment securities:

Corporate Bonds $ — Short-Term Investments —

Total $ —

$

$

522,572,638 5,421,909

527,994,547

$

$

— — —

$

$

522,572,638 5,421,909

527,994,547

Wells Fargo Strategic Retirement Bond Index CIT: Value of investment securities:

Government/Agency Bonds $ 125,264,504 $ 4,453,949 $ — $ 129,718,453 Short-Term Investments — 1,562,140 — 1,562,140

Total $ 125,264,504 $ 6,016,089 $ — $ 131,280,593

276



December 31, 2019



Investments in securities (Level 1) (Level 2) (Level 3) Total Wells Fargo US REIT Index CIT:

Value of investment securities: Equities $ 57,209,136 $ — $ — $ 57,209,136

Total $ 57,209,136 $ — $ — $ 57,209,136

The Funds did not have any transfers into/out of Level 3.

2. Foreign Currency Translation

Investments in securities, foreign currency holdings, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the prevailing rate of exchange at the date of valuation. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies. Currency gains or losses are realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded by the Funds and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, including investments in securities, as of December 31, 2019, resulting from changes in the foreign exchange rate. Such realized and unrealized translation gains and losses are combined with the foreign currency contracts on the Funds' statements of operations and changes in net assets. As of December 31, 2019, Wells Fargo Factor Enhanced Emerging Markets Index CIT and Wells Fargo Factor Enhanced International Index CIT recognized losses in relation to foreign currency translation.

3. Derivative Instruments and Hedging Activities

Certain Funds may engage in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets or for speculative purposes. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds may mitigate counterparty risk through master netting agreements included within an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement between the Funds and each of its counterparties. The ISDA Master Agreement allows the Funds to offset with its counterparty certain derivative financial instruments’ payables and/or receivables with collateral held with each counterparty. To the extent amounts due to the Funds from its counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss in the event of counterparty non-performance.

The Funds’ maximum risk of loss from counterparty credit risk on over-the-counter derivatives is generally the aggregate unrealized gain in excess of any collateral pledged by the counterparty to the Funds. For over-the-counter purchased options, the Funds bear the risk of loss in the amount of the premiums paid and change in market value of the options should the counterparty not perform under the contracts. Written options by the Funds do not give rise to counterparty risk, as written options obligate the Funds to perform and not the counterparty. Certain ISDA Master Agreements allow counterparties to over-the-counter derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to counterparty.

277



December 31, 2019

Counterparty risk related to exchange-traded financial futures, options and swaps is minimal because of the protection against defaults provided by the exchange on which they trade.

The Funds account for derivatives and hedging activities in accordance with ASC Topic 815, Accounting for Derivative Instruments and Certain Hedging Activities, which requires the Funds to recognize all derivative instruments as either assets or liabilities in the balance sheet at their respective fair values. Furthermore, ASC 815-10, Disclosures about Derivative Instruments and Hedging Activities, which amended the disclosure requirements for derivative and hedging activities, requires the Funds to provide information on how and why the Fund uses derivative instruments, how derivative instruments and related hedged items are accounted for under ASC815, and how derivative instruments and related hedged items affect a Fund’s financial position and financial performance.

Futures Transactions

The Fund may use futures contracts to gain exposure to or to hedge against broad market, interest rate or currency exposure. The Fund may buy or sell financial futures contracts on any U.S. or foreign exchange. Risks of entering into futures transactions include the possibility that there may be an illiquid market at the time of settlement or that a change in the value of the contract may not correlate with changes in the value of the underlying securities.

Upon entering into a futures contract, the Fund is required to deposit either cash or securities in an amount equal to a percentage of the futures contract value (initial margin). Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments reflect the daily changes in the futures contract value and are recorded as unrealized gains and losses and are disclosed within the Schedule of Investments in Contracts and Other Securities. The underlying portfolio recognizes a realized gain or loss when the futures contract is closed or expires. With futures, there is minimal counterparty risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

There is no direct impact to the Statement of Assets and Liabilities or to the Statement of Operations. During the year, the Fund used futures to hedge exposure to interest rate movements. As of December 31, 2019, Wells Fargo Factor Enhanced Emerging Markets Index CIT, Wells Fargo Factor Enhanced International Index CIT, Wells Fargo Factor Enhanced Large Cap Index CIT and Wells Fargo Factor Enhanced Small Cap Index CIT held positions in future contracts which are detailed following the Funds' Schedules of Investments.

278



December 31, 2019

Wells Fargo Factor Enhanced Emerging Markets Index CIT Asset Derivatives Liability Derivatives

Statement of Assets and Statement of Assets and Derivative Type Liabilities Location Fair Value Liabilities Location Fair Value Equity contracts Variation margin

receivable/payable $ 196,652* Variation margin

receivable/payable $ -

Total $ 196,652 $ -

* This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the schedule of investments. Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities.

The effect of derivative instruments on the statement of operations for the year ended December 31, 2019:

Realized Gain or Change in Unrealized Location of Gain or (Loss) on (Loss) on Appreciation or

Derivative Type Derivatives Derivatives (Depreciation) Equity contracts Net realized gain (loss) on futures $ 2,658,191 $ (44,471)

contracts; Net change in unrealized appreciation/depreciation of futures contracts

Total $ 2,658,191 $ (44,471)

For the year ended December 31, 2019, the average monthly original value of futures buy contracts was $15,784,976.

Wells Fargo Factor Enhanced International Index CIT Asset Derivatives Liability Derivatives


receivable/payable $ - Variation margin

receivable/payable $ 146,241*

Total $ - $ 146,241




Derivative Type Derivatives Derivatives (Depreciation) Equity contracts Net realized gain (loss) on futures $ 10,739,563 $ 175,638


Total $ 10,739,563 $ 175,638


279



December 31, 2019

Wells Fargo Factor Enhanced Large Cap Index CIT Asset Derivatives Liability Derivatives




Total $ 289,710 $ -




Derivative Type Derivatives Derivatives (Depreciation) Equity contracts Net realized gain (loss) on futures $ 24,231,950 $ 2,303,841


Total $ 24,231,950 $ 2,303,841


Wells Fargo Factor Enhanced Small Cap Index CIT Asset Derivatives Liability Derivatives




Total $ 164,013 $ -




Derivative Type Derivatives Derivatives (Depreciation) Equity contracts Net realized gain (loss) on futures $ 4,528,388 $ 569,943


Total $ 4,528,388 $ 569,943


280



December 31, 2019

4. Expenses

In accordance with the Trust Agreement, the Trustee may charge the Funds for custody, accounting, audit fees and certain other expenses incurred. The Collective Fund Oversight Committee (“CFOC”), a sub-committee of the Trust Investment Committee of Wells Fargo Bank, N.A. reviews and determines the annual accounting fee charged to each Fund. The CFOC also determines any expense cap with respect to expenses charged to each Fund.

During 2019, no Funds were subject to an expense cap.

Funds may also invest in other funds in a “fund of funds” construction deemed “Underlying Funds”. The Funds may incur indirect expenses through their investment in any “Underlying Funds” for administration, audit, custodial, unaffiliated sub-advisory investment management and related services provided to the Underlying Funds. Indirect expenses from the Underlying Funds are netted against the investment income of the Underlying Fund. A Fund’s unaffiliated sub-advisory investment management fee, if charged, is not included in the operating expenses to which a net operating expense cap applies. The effects of this expense arrangement have been reflected in the Statement of Operations and Financial Highlights for each Fund.

5. Trustee & Affiliated Compensation

The Funds may issue multiple classes of shares. Funds offering N or E series of share classes were, as of December 31, 2019, subject to charges for payment of compensation to the Trustee including investment advisory fees based on the value of such funds’ net assets as reflected on the table below. Funds offering G class shares are not charged any trustee or investment advisory fees within the funds.

The TMR share classes are available exclusively as part of the Target My RetirementSM investment solution's Factor-Based offering. Pricing for the TMR share classes is structured on a fixed all-inclusive basis of 0.24% which covers all administrative, investment, and Target My RetirementSM program expenses. Specifically, Morningstar Investment Management receives 0.065% for its services provided in connection with the Target My RetirementSM

program while Wells Fargo receives 0.175% for services provided in connection with the Target My RetirementSM

investment solution's Factor-Based offering.

Fees for each share class, as of December 31, 2019, are outlined on the following chart:

Trustee Advisory TMR Fund Name Cusip Fee Fee Fee Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT G 949791305 0.000% 0.000% 0.000% Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT TMR 949791677 0.000% 0.000% 0.240% Wells Fargo Emerging Markets Bond Index CIT G 949791404 0.000% 0.000% 0.000% Wells Fargo Emerging Markets Bond Index CIT TMR 949791784 0.000% 0.000% 0.240% Wells Fargo Factor Enhanced Emerging Markets Index CIT G 949791503 0.000% 0.000% 0.000% Wells Fargo Factor Enhanced Emerging Markets Index CIT TMR 949791776 0.000% 0.000% 0.240% Wells Fargo Factor Enhanced International Index CIT G 949791602 0.000% 0.000% 0.000% Wells Fargo Factor Enhanced International Index CIT TMR 949791768 0.000% 0.000% 0.240% Wells Fargo Factor Enhanced Large Cap Index CIT G 949791701 0.000% 0.000% 0.000% Wells Fargo Factor Enhanced Large Cap Index CIT E1 949791792 0.030% 0.050% 0.000% Wells Fargo Factor Enhanced Large Cap Index CIT TMR 949791750 0.000% 0.000% 0.240% Wells Fargo Factor Enhanced Small Cap Index CIT G 949791800 0.000% 0.000% 0.000% Wells Fargo Factor Enhanced Small Cap Index CIT TMR 949791743 0.000% 0.000% 0.240% Wells Fargo High Yield Corporate Bond Index CIT G 949791883 0.000% 0.000% 0.000% Wells Fargo High Yield Corporate Bond Index CIT TMR 949791735 0.000% 0.000% 0.240%

281



December 31, 2019

Wells Fargo Investment Grade Corporate Bond Index CIT G 949791875 0.000% 0.000% 0.000% Wells Fargo Investment Grade Corporate Bond Index CIT TMR 949791727 0.000% 0.000% 0.240% Wells Fargo Strategic Retirement Bond Index CIT G 949791867 0.000% 0.000% 0.000% Wells Fargo Strategic Retirement Bond Index CIT TMR 949791719 0.000% 0.000% 0.240% Wells Fargo US REIT Index CIT G 949791859 0.000% 0.000% 0.000% Wells Fargo US REIT Index CIT TMR 949791693 0.000% 0.000% 0.240%

6. Investment Transactions and Interest Income

Funds (with exception of the Wells Fargo/BlackRock Short Term Investment Fund, which pays income monthly) do not distribute investment income to share holders.

Investment transactions are accounted for on the trade date. The cost of investments sold is computed on an average cost basis. Dividend income is recorded on the ex-dividend date. Foreign dividends are recorded when information is confirmed by the foreign custodian. Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily based on the effective interest method. The Funds amortize premiums and accrete market discounts and original issue discounts to the call or the maturity date. Premium amortization and discount accretion amounts are included in interest income. Tax reclaims receivable, if any, are recorded as dividend income, which may be subject to change due to changes in country-specific tax regulations regarding amounts reclaimable. Income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update 2017-08, “Premium Amortization of Purchased Callable Debt Securities” which shortens the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2019. Management continues to evaluate the impact of this guidance on the Funds.

7. Income Taxes

The Funds maintain tax-exempt status by operating collective trust funds regulated by the Office of the Comptroller of the Currency, and as such no provision for income taxes is required. It is intended that the Funds be exempt from taxation under Section 501(a) of the Code and qualify as a “group trust” under Revenue Ruling 81-100 and other applicable Internal Revenue Service rules and regulations.

The Funds follow accounting policies under ASC 740, Income Taxes, regarding how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. Management has analyzed the Funds’ tax positions taken in all potential open tax years and has concluded that as of December 31, 2019, there were no positions which would call into question the Funds’ tax exempt status. As such, the Funds do not have an accrual for uncertain tax positions. The Funds’ federal and state fiduciary and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired (open tax years: December 31, 2016; December 31, 2017; December 31, 2018; and December 31, 2019) are subject to examination by the Internal Revenue Service and state jurisdictions. As of and during the year ended December 31, 2019, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the year, the Funds did not incur any interest or penalties. Management 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 12 months.

282



December 31, 2019

8. Share Issues, Redemptions, and Distributions

In accordance with the terms of the Trust, the net asset value of the Funds is calculated daily and net investment income and realized and unrealized gains on investments are not distributed but rather reinvested and reflected in the net asset value of the fund (with the sole exception being the Wells Fargo/BlackRock Short Term Investment Fund which pays income monthly). Shares of the Funds are issued and redeemed at the current net asset value.

Share investors have a proportionate, undivided interest in the Funds’ net assets.

9. Use of Estimates

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclose of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the reporting period. Actual results could differ from those estimates.

10. Related Party Transactions

The Funds may invest in other funds (“Underlying Funds”) maintained by the Trustee, if provided for in the Funds’ Trust Agreement. The sub-advisors to the Funds may also invest in Underlying Funds which are affiliates of the sub-advisor. The Funds may receive proceeds from litigation settlements involving affiliates of the Funds. From time to time, the Funds may also purchase securitizations originated by affiliates on the secondary market from unaffiliated broker/dealers in arm’s length transactions. Securitizations originated by affiliates upon initial public offerings (“IPO”) are done so under approved policies and procedures adopted by the Trustee and reported by the Trustee under Federal Reserve Rule 23B which ensures the avoidance of conflicts of interest with respect to any IPO transactions involving affiliates of the Trustee.

11. Investment Transactions and Related Investment Income

Investment transactions are accounted for on the trade date. Realized gains and losses are determined on the basis of average cost. For multi-class funds, income, expenses, realized and unrealized gains and losses are allocated daily to each share class based on its relative net assets.

The Funds [with the exception of Wells Fargo/BlackRock Short Term Investment Fund, which pays income monthly] do not distribute investment income to share holders. Therefore, the appreciation or depreciation of shares held and gain or loss on sale of shares represent the sources of income to holders of the Funds.

12. Summary Schedule of Investments Purchased and Sold

WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 384,844,212 $ 379,339,875 $ -Fixed income 799,862,652 544,729,057 2,469,410

Total investments $ 1,184,706,864 $ 924,068,932 $ 2,469,410

283



December 31, 2019

WELLS FARGO EMERGING MARKETS BOND INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 22,926,213 $ 23,060,456 $ -Fixed income 41,599,211 21,382,082 76,820

Total investments $ 64,525,424 $ 44,442,538 $ 76,820

WELLS FARGO FACTOR ENHANCED EMERGING MARKETS INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 259,108,484 $ 247,394,472 $ -Equities 474,267,097 330,397,757 (10,858,645)

Total investments $ 733,375,581 $ 577,792,229 $ (10,858,645)

WELLS FARGO FACTOR ENHANCED INTERNATIONAL INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 510,223,386 $ 456,681,024 $ -Exchange traded funds 1,633,998 - -Equities 1,037,787,106 720,864,954 (24,879,511)

Total investments $ 1,549,644,490 $ 1,177,545,978 $ (24,879,511)

WELLS FARGO FACTOR ENHANCED LARGE CAP INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 786,028,282 $ 782,262,916 $ -Equities 1,187,794,531 602,491,889 47,349,665

Total investments $ 1,973,822,813 $ 1,384,754,805 $ 47,349,665

WELLS FARGO FACTOR ENHANCED SMALL CAP INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 273,515,703 $ 284,169,811 $ -Equities 429,119,500 286,838,635 12,031,043

Total investments $ 702,635,203 $ 571,008,446 $ 12,031,043

WELLS FARGO HIGH YIELD CORPORATE BOND INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 29,092,363 $ 29,162,367 $ -Fixed income 49,439,092 29,460,289 (1,383,164)

Total investments $ 78,531,455 $ 58,622,656 $ (1,383,164)

284



December 31, 2019

WELLS FARGO INVESTMENT GRADE CORPORATE BOND INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 172,188,924 $ 168,716,680 $ -Fixed income 270,522,793 160,587,540 2,995,422

Total investments $ 442,711,717 $ 329,304,220 $ 2,995,422

WELLS FARGO STRATEGIC RETIREMENT BOND INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 33,612,586 $ 33,068,040 $ -Fixed income 67,690,843 25,942,361 34,273

Total investments $ 101,303,429 $ 59,010,401 $ 34,273

WELLS FARGO US REIT INDEX CIT Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss) Short term investments $ 22,555,846 $ 24,072,223 $ -Equities 26,430,590 12,868,494 694,242

Total investments $ 48,986,436 $ 36,940,717 694,242

13. Subsequent Events Evaluation

The Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events through April 29, 2020, the date the financial statements were available to be issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

On March 11, 2020, the World Health Organization announced that it had made the assessment that coronavirus disease 2019 (“COVID-19”) is a pandemic. The impacts of COVID-19 is adversely affecting the entire global economy, individual companies and investment products, and the market in general. There is significant uncertainty around the extent and duration of business disruptions related to COVID-19 and the impact may be short term or may last for an extended period of time. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and the value of the Funds and the securities in which the Funds invest may be adversely affected by impacts caused by COVID-19.

285

________________________________________________________________________________________________

Regulatory Statement (unaudited)

Regulatory requirement. Collective funds are authorized under the Comptroller of the Currency’s Regulation 9.18(a)(2) and are subject to other pertinent provisions of Regulation 9 as promulgated by the Comptroller of the Currency. In compliance with this Regulation, the Trustee will provide detail of investment transactions upon request and without charge.

Participation requirements. Participation in each Fund is available to employee benefit accounts which meet the following conditions:

• The participating account is part of a plan and related trust qualified under Section 401(a) of the Internal Revenue Code (IRC), and which is exempt from tax under IRC Section 501 (a) or is part of a governmental plan as defined by IRC Section 818(a)(6).

• The participating plan or trust instrument of qualified plans adopts documents establishing Wells Fargo Bank’s collective investment funds.

• Wells Fargo Bank, N.A. serves in a fiduciary capacity with respect to a participating account.

Filing of Annual Report with Department of Labor. A plan administrator receiving this Annual Report may be eligible for a simplified reporting procedure described in Department of Labor Regulations §2520.103-3 for a plan year ending on or after the end of a Fund’s fiscal year. The fiscal year end for each Fund is December 31. To such eligible plan administrators, Wells Fargo Bank, N.A. as Trustee for the Funds certifies that the statements of assets and liabilities included in the Annual Report were filed with the Department of Labor on or before the date upon which the annual report of such plans is required to be filed by the plan administrators in accordance with Department of Labor Regulation §2520.103-9. The “Employer Identification Number” of each Fund is as follows:

Active Management Series EIN Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT 82-6494961 Wells Fargo Emerging Markets Bond Index CIT 82-6498197 Wells Fargo Factor Enhanced Emerging Markets Index CIT 82-6500970 Wells Fargo Factor Enhanced International Index CIT 82-6504317 Wells Fargo Factor Enhanced Large Cap Index CIT 82-6488742 Wells Fargo Factor Enhanced Small Cap Index CIT 82-6507837 Wells Fargo High Yield Corporate Bond Index CIT 82-6511039 Wells Fargo Investment Grade Corporate Bond Index CIT 82-6514016 Wells Fargo Strategic Retirement Bond Index CIT 82-6516857 Wells Fargo US REIT Index CIT 82-6519906

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