wells fargo bank, n.a. · wells fargo core bond cit statement of changes in net assets year ended...

Wells Fargo Bank, N.A. Collective Investment Funds

Annual Report 2020

Table of Contents

Page

Independent Auditors’ Report 1

Financial Statements:

Statements of Assets and Liabilities 3

Statements of Operations 8

Statements of Changes in Net Assets 13

Financial Highlights 18

Schedule of Investments:

Wells Fargo Core Bond CIT 32

Wells Fargo Core Bond II CIT 55

Wells Fargo Discovery CIT 78

Wells Fargo Emerging Growth CIT 81

Wells Fargo Emerging Markets Equity CIT 84

Wells Fargo Enhanced Stock Market CIT 88

Wells Fargo Growth CIT 93

Wells Fargo Large Cap Intrinsic Value CIT 96

Wells Fargo Liability Driven Solution CIT I 98

Wells Fargo Liability Driven Solution CIT II 116

Wells Fargo Liability Driven Solution CIT III 141

Wells Fargo Premier Large Company Growth CIT 151

Wells Fargo Special Mid Cap Value CIT 154

Wells Fargo Special Small Cap Value CIT 157

Notes to Financial Statements 161

Appendix 173

Regulatory Statement 179

Independent Auditors’ Report

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

We have audited the accompanying financial statements of Wells Fargo Core Bond CIT, Wells Fargo Core

Bond II CIT, Wells Fargo Discovery CIT, Wells Fargo Emerging Growth CIT, Wells Fargo Emerging Markets

Equity CIT, Wells Fargo Enhanced Stock Market CIT, Wells Fargo Growth CIT, Wells Fargo Large Cap Intrinsic

Value CIT, Wells Fargo Liability Driven Solution CIT I, Wells Fargo Liability Driven Solution CIT II, Wells Fargo

Liability Driven Solution CIT III, Wells Fargo Premier Large Company Growth CIT, Wells Fargo Special Mid Cap

Value CIT, and Wells Fargo Special Small Cap Value CIT (collectively, the Funds), fourteen of the collective

investment funds 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, 2020, and the related statements of operations, changes in net assets, and the financial

highlights for the year or periods then ended, and the related notes to the financial statements.

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.

KPMG LLPTwo Financial Center60 South StreetBoston, MA 02111

KPMG LLP, a Delaware limited liability partnership and a member firm of the KPMG global organization of independent member firms affiliated with KPMG International Limited, a private English company limited by guarantee.

2

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, 2020, and the results of their operations,

changes in their net assets, and the financial highlights for the year or periods then ended in accordance with

U.S. generally accepted accounting principles.

Boston, Massachusetts

April 12, 2021

See accompanying notes to financial statements. 3


Statements of Assets and Liabilities

December 31, 2020

Wells Fargo Core

Bond CIT

Wells Fargo Core

Bond II CIT

Wells Fargo

Discovery CIT

Assets:

Unaffiliated investments, at value (see cost below) $ 767,260,130 $ 594,723,068 $ 602,185,237

Affiliated investments, at value (see cost below) 17,173,313 19,876,709 2,035,718

Receivable for investments sold 1,394,299 198,332 2,443,871

Receivable for when-issued transactions 68,595,527 56,379,551 -

Receivable for fund units sold 923,013 21,111 57,844,081

Receivable for interest and dividends 2,749,152 2,081,428 63,232

Total assets 858,095,434 673,280,199 664,572,139

Liabilities:

Payable for investments purchased 7,946,116 6,203,777 -

Payable for when-issued transactions 122,720,141 100,849,859 -

Payable for fund units repurchased 4,667,211 205,381 1,758,611

Due to custodian 227,000 203,000 -

Trustee fee payable 124,913 117,749 293,359

Total liabilities 135,685,381 107,579,766 2,051,970

Net assets $ 722,410,053 $ 565,700,433 $ 662,520,169

Unaffiliated investments, at cost $ 746,831,264 $ 580,166,224 $ 391,245,483

Affiliated investments, at cost $ 17,173,313 $ 19,876,709 $ 2,035,718

Computation of net asset value:

Class TR

Net assets $ 34,364,612 $ - $ -

Units outstanding 2,048,619 - -

Net asset value per unit $ 16.77 $ - $ -

Class F

Net assets $ 621,515,499 $ - $ -



Class E1

Net assets $ - $ - $ 166,237,796

Units outstanding - - 9,324,898

Net asset value per unit $ - $ - $ 17.83

Class E2

Net assets $ - $ - $ 453,196,907



Class N

Net assets $ 66,529,942 $ - $ 24,025,810

Units outstanding 1,464,025 - 1,343,589

Net asset value per unit $ 45.44 $ - $ 17.88

Class E

Net assets $ - $ 46,106,827 $ 19,059,656

Units outstanding - 3,705,140 1,489,222

Net asset value per unit $ - $ 12.44 $ 12.80

Class EF1

Net assets $ - $ 169,924,626 $ -

Units outstanding - 13,645,007 -

Net asset value per unit $ - $ 12.45 $ -

Class EF2

Net assets $ - $ 63,795,130 $ -



Class E3

Net assets $ - $ 285,873,850 $ -






December 31, 2020

Wells Fargo

Emerging Growth

CIT

Wells Fargo

Emerging

Markets Equity

CIT

Wells Fargo

Enhanced Stock

Market CIT

Assets:

Unaffiliated investments, at value (see cost below) $ 69,373,366 $ 696,029,085 $ 358,388,067

Affiliated investments, at value (see cost below) 277,510 16,921,295 9,550,671

Foreign currency, at value (see cost below) - 9,310,775 -

Cash - - 123

Receivable for investments sold 72,757 5,935,563 -

Receivable for fund units sold - 1,188,288 113,480

Receivable for dividends 4,351 356,990 318,874

Cash on deposit at broker - - 1,499,624

Variation margin receivable on futures contracts - - 62,656

Total assets 69,727,984 729,741,996 369,933,495

Liabilities:

Payable for investments purchased - 580,002 -

Payable for fund units repurchased 223 549 1,176,876


Total liabilities 41,175 881,460 1,234,732

Net assets $ 69,686,809 $ 728,860,536 $ 368,698,763

Unaffiliated investments, at cost $ 40,012,833 $ 508,233,866 $ 226,926,900

Affiliated investments, at cost $ 277,510 $ 16,921,295 $ 9,550,671

Foreign currency, at cost $ - $ 9,065,947 $ -


Class F

Net assets $ - $ - $ 19,464,847



Class E1

Net assets $ - $ 65,936,296 $ -



Class E2

Net assets $ 69,686,809 $ 79,034,139 $ -

Units outstanding 3,410,195 5,731,988 -

Net asset value per unit $ 20.43 $ 13.79 $ -

Class G1

Net assets $ - $ 264,367,194 $ -



Class MD

Net assets $ - $ 309,498,811 $ -



Class N

Net assets $ - $ 10,024,096 $ 349,233,916

Units outstanding - 839,347 996,103

Net asset value per unit $ - $ 11.94 $ 350.60




December 31, 2020

Wells Fargo

Growth CIT

Wells Fargo Large

Cap Intrinsic

Value CIT

Wells Fargo

Liability Driven

Solution CIT I

Assets:

Unaffiliated investments, at value (see cost below) $ 137,933,047 $ 164,792,037 $ 1,131,431,229

Affiliated investments, at value (see cost below) 555,409 5,307,592 24,080,180

Cash 6,900 - -

Receivable for investments sold 224,854 - 4,256,625

Receivable for fund units sold 6,290 - 152,000

Receivable for interest and dividends 7,616 233,411 6,662,950

Cash on deposit at broker - - 2,375,475

Total assets 138,734,116 170,333,040 1,168,958,459

Liabilities:

Payable for investments purchased 143,246 - 8,877,755

Payable for fund units repurchased 358,753 18,096 -


Variation margin payable on futures contracts - - 171,931

Total liabilities 565,508 79,892 9,219,915

Net assets $ 138,168,608 $ 170,253,148 $ 1,159,738,544

Unaffiliated investments, at cost $ 75,077,015 $ 120,703,562 $ 1,077,581,176

Affiliated investments, at cost $ 555,409 $ 5,307,592 $ 24,080,180


Class F

Net assets $ 41,424,247 $ - $ 1,159,738,544

Units outstanding 1,085,414 - 63,423,578

Net asset value per unit $ 38.16 $ - $ 18.29

Class E2

Net assets $ 80,156,265 $ 170,253,148 $ -



Class E

Net assets $ 16,588,096 $ - $ -






December 31, 2020

Wells Fargo

Liability Driven

Solution CIT II

Wells Fargo

Liability Driven

Solution CIT III

Wells Fargo

Premier Large

Company Growth

CIT

Assets:

Unaffiliated investments, at value (see cost below) $ 2,084,073,147 $ 184,052,297 $ 72,827,609

Affiliated investments, at value (see cost below) 28,431,737 803,148 944,800

Receivable for investments sold 409,645 369,879 34,472

Receivable for fund units sold 935,000 10,000 -

Receivable for interest and dividends 15,579,870 555,091 5,564

Cash on deposit at broker 5,714,095 872,774 -

Variation margin receivable on futures contracts 215,232 12,800 -

Total assets 2,135,358,726 186,675,989 73,812,445

Liabilities:

Payable for investments purchased 10,574,083 438,304 38,294


Total liabilities 10,888,834 465,963 65,191

Net assets $ 2,124,469,892 $ 186,210,026 $ 73,747,254

Unaffiliated investments, at cost $ 1,899,141,515 $ 167,754,163 $ 49,958,309

Affiliated investments, at cost $ 28,431,737 $ 803,148 $ 944,800


Class F

Net assets $ 2,124,469,892 $ 186,210,026 $ -



Class E2

Net assets $ - $ - $ 73,747,254






December 31, 2020

Wells Fargo

Special Mid Cap

Value CIT

Wells Fargo

Special Small Cap

Value CIT

Assets:

Unaffiliated investments, at value (see cost below) $ 184,410,535 $ 39,121,491

Affiliated investments, at value (see cost below) 1,530,182 896,991

Receivable for investments sold 110,039 4,633

Receivable for fund units sold 70,078 23,107

Receivable for dividends 246,677 61,405

Total assets 186,367,511 40,107,627

Liabilities:

Payable for investments purchased 57,369 46,163

Payable for fund units repurchased 627,478 594

Trustee fee payable 91,830 26,616

Total liabilities 776,677 73,373

Net assets $ 185,590,834 $ 40,034,254

Unaffiliated investments, at cost $ 158,689,960 $ 31,822,891

Affiliated investments, at cost $ 1,530,182 $ 896,991


Class E

Net assets $ - $ 30,631,286

Units outstanding - 2,945,762

Net asset value per unit $ - $ 10.40

Class E2

Net assets $ 171,195,048 $ -

Units outstanding 15,580,448 -

Net asset value per unit $ 10.99 $ -

Class N

Net assets $ - $ 9,402,968

Units outstanding - 880,758

Net asset value per unit $ - $ 10.68

Class E1

Net assets $ 14,395,786 $ -

Units outstanding 1,426,280 -

Net asset value per unit $ 10.09 $ -



Statements of Operations

Year ended December 31, 2020

Wells Fargo Core

Bond CIT

Wells Fargo Core

Bond II CIT

Wells Fargo

Discovery CIT

Investment income:

Interest income (net of foreign taxes withheld, see below) $ 15,111,445 $ 10,177,445 $ -

Dividend income (net of foreign taxes withheld, see below) - - 696,865

Dividend income from affiliated short term investment 157,570 138,816 22,087

Total income 15,269,015 10,316,261 718,952

Expenses:

Trustee fee 1,290,527 1,238,647 2,218,558

TMR Program fees 134,061 - -

Total expenses 1,424,588 1,238,647 2,218,558

Net investment income (loss) 13,844,427 9,077,614 (1,499,606)

Realized and unrealized gain (loss) on investments:

Net realized gain (loss) on:

Unaffiliated investments 38,948,600 27,119,055 13,222,468

Foreign currency transactions - - 33

Net realized gain (loss) on investments 38,948,600 27,119,055 13,222,501

Net change in unrealized appreciation (depreciation) on:


Net realized and unrealized gain (loss) on investments 48,330,659 35,491,395 198,191,934

Net increase (decrease) in net assets resulting from operations $ 62,175,086 $ 44,569,009 $ 196,692,328

Foreign taxes withheld on interest income $ 576 $ 491 $ -

Foreign taxes withheld on dividend income - - 9,140





Wells Fargo

Emerging Growth

CIT

Wells Fargo

Emerging

Markets Equity

CIT

Wells Fargo

Enhanced Stock

Market CIT

Investment income:

Interest income $ - $ - $ 111

Dividend income (net of foreign taxes withheld, see below) 91,087 8,829,536 7,647,460


Total income 92,597 9,021,937 7,681,995

Expenses:

Trustee fee 259,164 2,758,739 618,303

Total expenses 259,164 2,758,739 618,303

Net investment income (loss) (166,567) 6,263,198 7,063,692




Futures contracts - - 4,160,375

Foreign currency transactions - (485,356) -



Unaffiliated investments 29,360,533 134,179,277 (8,160,358)

Futures contracts - - 206,779

Foreign currency translation of other assets and liabilities - 241,013 -

Net change in unrealized appreciation (depreciation) of investments 29,360,533 134,420,290 (7,953,579)



Foreign taxes withheld on dividend income $ - $ 1,174,586 $ 838





Wells Fargo

Growth CIT

Wells Fargo Large

Cap Intrinsic

Value CIT

Wells Fargo

Liability Driven

Solution CIT I

Investment income:

Interest income (net of foreign taxes withheld, see below) $ - $ - $ 36,074,981

Dividend income (net of foreign taxes withheld, see below) 502,797 2,702,015 -


Total income 507,431 2,720,103 36,185,574

Expenses:

Trustee fee 604,128 584,121 1,988,197

Total expenses 604,128 584,121 1,988,197

Net investment income (loss) (96,697) 2,135,982 34,197,377



Unaffiliated investments 15,598,827 (1,708,231) 84,035,246

Futures contracts - - (5,322,896)

Foreign currency transactions 4 - -

Net realized gain (loss) on investments 15,598,831 (1,708,231) 78,712,350


Unaffiliated investments 34,492,129 11,926,522 (8,137,296)

Futures contracts - - (462,701)




Foreign taxes withheld on interest income $ - $ - $ (5,291)

Foreign taxes withheld on dividend income - 219 -





Wells Fargo

Liability Driven

Solution CIT II

Wells Fargo

Liability Driven

Solution CIT III

Wells Fargo

Premier Large

Company Growth

CIT

Investment income:

Interest income (net of foreign taxes withheld, see below) $ 58,911,787 $ 5,631,130 $ -

Dividend income (net of foreign taxes withheld, see below) 150,991 20,041 253,720


Total income 59,292,165 5,668,417 260,159

Expenses:

Trustee fee 3,380,353 332,537 238,350

Total expenses 3,380,353 332,537 238,350

Net investment income (loss) 55,911,812 5,335,880 21,809



Unaffiliated investments 194,092,347 26,987,006 (16,000)

Futures contracts 7,064,025 1,188,785 -

Foreign currency transactions - - 2

Net realized gain (loss) on investments 201,156,372 28,175,791 (15,998)



Futures contracts (461,403) 81,002 -

Foreign currency translation of other assets and liabilities - - 16

Net change in unrealized appreciation (depreciation) of investments 59,049,277 7,052,518 20,989,359

Net realized and unrealized gain (loss) on investment transactions 260,205,649 35,228,309 20,973,361


Foreign taxes withheld on interest income $ (2,349) $ - $ -

Foreign taxes withheld on dividend income - - 1,129





Wells Fargo

Special Mid Cap

Value CIT

Wells Fargo

Special Small Cap

Value CIT

Investment income:

Dividend income (net of foreign taxes withheld, see below) $ 2,790,477 $ 573,323

Dividend income from affiliated short term investment 51,424 6,710

Total income 2,841,901 580,033

Expenses:

Trustee fee 815,782 202,397

Total expenses 815,782 202,397

Net investment income (loss) 2,026,119 377,636



Unaffiliated investments (2,544,970) 889,961


Unaffiliated investments 24,495,759 6,613,000

Net realized and unrealized gain (loss) on investments 21,950,789 7,502,961

Net increase (decrease) in net assets resulting from operations $ 23,976,908 $ 7,880,597

Foreign taxes withheld on dividend income $ 540 $ 398


z Wells Fargo Bank, N.A. Collective Investment Funds

Statements of Changes in Net Assets


Wells Fargo Core

Bond CIT

Wells Fargo Core

Bond II CIT

Wells Fargo

Discovery CIT

Increase/(decrease) in net assets from operations:

Net investment income (loss) $ 13,844,427 $ 9,077,614 $ (1,499,606)



Net increase (decrease) in net assets resulting from operations 62,175,086 44,569,009 196,692,328

Participating unitholders transactions:

Proceeds for issuance of units

Class TR 13,203,566 - -

Class F 159,884,572 - -

Class E1 - - 89,231,199

Class E2 - - 142,167,458

Class N 63,791,553 - 3,755,561

Class E - 36,111,026 18,206,290 (2)

Class EF1 - 40,974,542 -

Class EF2 - 41,977,037 -

Class E3 - 290,387,128 (1) -

Payments for redemption of units

Class TR (38,717,947) - -

Class F (242,762,723) - -

Class E1 - - (49,531,553)

Class E2 - - (65,936,362)

Class N (93,803,970) - (9,089,546)

Class E - (8,718,259) (3,356,599) (2)

Class EF1 - (33,001,198) -

Class EF2 - (295,360,980) -

Class E3 - (10,606,666) (1) -

Change in net assets derived from unit transactions (138,404,949) 61,762,630 125,446,448

Total increase (decrease) in net assets (76,229,863) 106,331,639 322,138,776

Net assets:

Beginning of year 798,639,916 459,368,794 340,381,393

End of year $ 722,410,053 $ 565,700,433 $ 662,520,169


Class TR units issued 810,704 - -

Class F units issued 12,401,652 - -

Class E1 units issued - - 5,118,703

Class E2 units issued - - 9,733,871

Class N units issued 1,453,733 - 285,119

Class E units issued - 3,025,349 1,796,400 (2)

Class EF1 units issued - 3,402,934 -

Class EF2 units issued - 3,509,758 -

Class E3 units issued - 23,671,959 (1) -

Class TR units redeemed (2,392,844) - -

Class F units redeemed (19,230,041) - -

Class E1 units redeemed - - (4,181,188)

Class E2 units redeemed - - (5,226,970)

Class N units redeemed (2,113,807) - (736,150)

Class E units redeemed - (717,068) (307,178) (2)

Class EF1 units redeemed - (2,756,196) -

Class EF2 units redeemed - (24,146,440) -

Class E3 units redeemed - (853,318) (1) -

(1) For the period from June 29, 2020 (commencement of operations) to December 31, 2020. (2) For the period from August 25, 2020 (commencement of operations) to December 31, 2020.





Wells Fargo

Emerging Growth

CIT

Wells Fargo

Emerging

Markets Equity

CIT

Wells Fargo

Enhanced Stock

Market CIT


Net investment income (loss) $ (166,567) $ 6,263,198 $ 7,063,692


Net change in unrealized appreciation (depreciation) on investments 29,360,533 134,420,290 (7,953,579)




Class F - - 26,606,619

Class E1 - - -

Class E2 40,614,027 (1) 7,854,455 -

Class MD - 23,811,621 -

Class N - 9,422,917 (2) 86,412,150


Class F - - (68,164,535)

Class E1 - (3,000,000) -

Class E2 (6,576,587) (1) (10,245,783) -

Class MD - (47,682,144) -

Class N - (1,054,504) (2) (201,664,688)

Change in net assets derived from unit transactions 34,037,440 (20,893,438) (156,810,454)

Total increase (decrease) in net assets 69,686,809 132,492,726 (109,806,244)

Net assets:

Beginning of year - 596,367,810 478,505,007

End of year $ 69,686,809 $ 728,860,536 $ 368,698,763


Class F units issued - - 1,890,278

Class E1 units issued - - -

Class E2 units issued 3,837,615 (1) 661,655 -

Class MD units issued - 2,340,547 -

Class N units issued - 938,017 (2) 288,197

Class F units redeemed - - (4,598,173)

Class E1 units redeemed - (285,447) -

Class E2 units redeemed (427,420) (1) (931,799) -

Class MD units redeemed - (4,176,572) -

Class N units redeemed - (98,670) (2) (700,376)

(1) For the period from March 31, 2020 (commencement of operations) to December 31, 2020. (2) For the period from August 28, 2020 (commencement of operations) to December 31, 2020.





Wells Fargo

Growth CIT

Wells Fargo Large

Cap Intrinsic

Value CIT

Wells Fargo

Liability Driven

Solution CIT I


Net investment income (loss) $ (96,697) $ 2,135,982 $ 34,197,377

Net realized gain (loss) on investments 15,598,831 (1,708,231) 78,712,350





Class F 7,119,467 - 174,238,663

Class E2 4,774,290 20,737,788 -


Class F (25,761,700) - (462,949,274)

Class E2 (15,893,298) (10,739,595) -

Change in net assets derived from unit transactions (29,761,241) 9,998,193 (288,710,611)

Total increase (decrease) in net assets 20,233,022 22,352,466 (184,400,881)

Net assets:

Beginning of year 117,935,586 147,900,682 1,344,139,425

End of year $ 138,168,608 $ 170,253,148 $ 1,159,738,544


Class F units issued 298,621 - 10,051,781

Class E2 units issued 355,452 336,295 -

Class F units redeemed (883,854) - (26,595,048)

Class E2 units redeemed (1,260,488) (162,630) -





Wells Fargo

Liability Driven

Solution CIT II

Wells Fargo

Liability Driven

Solution CIT III

Wells Fargo

Premier Large

Company Growth

CIT


Net investment income (loss) $ 55,911,812 $ 5,335,880 $ 21,809

Net realized gain (loss) on investment transactions 201,156,372 28,175,791 (15,998)





Class F 305,571,772 58,584,929 -


Class F (367,768,199) (97,711,015) -

Change in net assets derived from unit transactions (62,196,427) (39,126,086) -

Total increase (decrease) in net assets 253,921,034 1,438,103 20,995,170

Net assets:

Beginning of year 1,870,548,858 184,771,923 52,752,084

End of year $ 2,124,469,892 $ 186,210,026 $ 73,747,254


Class F units issued 13,079,869 2,906,833 -

Class F units redeemed (15,548,323) (4,746,595) -





Wells Fargo

Special Mid Cap

Value CIT

Wells Fargo

Special Small Cap

Value CIT


Net investment income (loss) $ 2,026,119 $ 377,636

Net realized gain (loss) on investments (2,544,970) 889,961

Net change in unrealized appreciation (depreciation) of investments 24,495,759 6,613,000

Net increase (decrease) in net assets resulting from operations 23,976,908 7,880,597



Class E - 20,690,183

Class E2 170,371,588 -

Class N - 1,301,299

Class E1 13,987,276 (1) -


Class E - (3,750,423)

Class E2 (44,122,689) -

Class N - (2,866,832)

Change in net assets derived from unit transactions 140,236,175 15,374,227

Total increase (decrease) in net assets 164,213,083 23,254,824

Net assets:

Beginning of year 21,377,751 16,779,430

End of year $ 185,590,834 $ 40,034,254


Class E units issued - 2,887,403

Class E2 units issued 18,375,224 -

Class N units issued - 143,939

Class E1 units issued 1,426,280 (1) -

Class E units redeemed - (444,930)

Class E2 units redeemed (4,777,951) -

Class N units redeemed - (346,172)

(1) For the period from January 16, 2020 (commencement of operations) to December 31, 2020.



Wells Fargo Core Bond CIT

Financial Highlights


Class TR Class F Class N

Per share operating performance:

Unit value, beginning of year $ 15.45 $ 12.19 $ 41.74

Income from investment operations:

Net investment income (loss)(1) 0.27 0.24 0.83

Net realized and unrealized gain (loss) on investments 1.05 0.85 2.87

Total from investment operations 1.32 1.09 3.70

Unit value, end of year $ 16.77 $ 13.28 $ 45.44

Total return 8.57% 8.92% 8.89%

Net assets, end of year $ 34,364,612 $ 621,515,499 $ 66,529,942

Ratios:

Ratio of expenses to average net assets 0.49% 0.17% 0.20%

Ratio of net investment income (loss) to average net assets 1.64% 1.89% 1.88%

Portfolio turnover rate 359% 359% 359%

(1) Based on average number of units outstanding.



Wells Fargo Core Bond II CIT



Class E Class EF1 Class EF2 Class E3 (1)


Unit value, beginning of year $ 11.40 $ 11.41 $ 11.48 $ 12.26


Net investment income (loss)(2) 0.20 0.22 0.24 0.08

Net realized and unrealized gain (loss) on

investments 0.84 0.82 0.83 0.19

Total from investment operations 1.04 1.04 1.07 0.27

Unit value, end of year $ 12.44 $ 12.45 $ 12.55 $ 12.53

Total return 9.12% 9.11% 9.32% 2.20% (3)

Net assets, end of year $ 46,106,827 $ 169,924,626 $ 63,795,130 $ 285,873,850

Ratios:

Ratio of expenses to average net assets 0.29% 0.25% 0.23% 0.20% (4)

Ratio of net investment income (loss) to average

net assets 1.68% 1.78% 2.02% 1.24% (4)

Portfolio turnover rate 353% 353% 353% 353%

(1) For the period from June 29, 2020 (commencement of operations) to December 31, 2020. (2) Based on average number of units outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.



Wells Fargo Discovery CIT



Class E1 Class E2 Class N Class E (1)


Unit value, beginning of year $ 10.97 $ 11.13 $ 11.00 $ 10.00


Net investment income (loss)(2) (0.05) (0.05) (0.05) (0.02)

Net realized and unrealized gain (loss) on

investments 6.91 7.01 6.93 2.82

Total from investment operations 6.86 6.96 6.88 2.80

Unit value, end of year $ 17.83 $ 18.09 $ 17.88 $ 12.80

Total return 62.53% 62.53% 62.58% 27.99% (3)

Net assets, end of year $ 166,237,796 $ 453,196,907 $ 24,025,810 $ 19,059,656

Ratios:

Ratio of expenses to average net assets 0.63% 0.58% 0.57% 0.70% (4)

Ratio of net investment income (loss) to average

net assets (0.43)% (0.39)% (0.38)% (0.57)% (4)

Portfolio turnover rate 56% 56% 56% 56%

(1) For the period from August 25, 2020 (commencement of operations) to December 31, 2020. (2) Based on average number of units outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.



Wells Fargo Emerging Growth CIT



Class E2 (1)


Unit value, beginning of year $ 10.00


Net investment income (loss)(2) (0.05)

Net realized and unrealized gain (loss) on investments 10.48

Total from investment operations 10.43

Unit value, end of year $ 20.43

Total return 104.35% (3)

Net assets, end of year $ 69,686,809

Ratios:

Ratio of expenses to average net assets 0.66% (4)

Ratio of net investment income (loss) to average net assets (0.42)% (4)

Portfolio turnover rate 40%

(1) For the period from March 31, 2020 (commencement of operations) to December 31, 2020. (2) Based on average number of units outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.



Wells Fargo Emerging Markets Equity CIT



Class E1 Class E2 Class G1 Class MD Class N (1)


Unit value, beginning of

year $ 10.86 $ 10.98 $ 11.15 $ 11.15 $ 10.00


Net investment income

(loss)(2) 0.07 0.07 0.16 0.11 (0.00) (3)

Net realized and

unrealized gain (loss) on

investments 2.71 2.74 2.81 2.80 1.94

Total from investment

operations 2.78 2.81 2.97 2.91 1.94

Unit value, end of year $ 13.64 $ 13.79 $ 14.12 $ 14.06 $ 11.94

Total return 25.61% 25.59% 26.63% 25.99% 19.43% (4)

Net assets, end of year $ 65,936,296 $ 79,034,139 $ 264,367,194 $ 309,498,811 $ 10,024,096

Ratios:

Ratio of expenses to

average net assets 0.91% 0.86% 0.08% 0.58% 0.87% (5)

Ratio of net investment

income (loss) to average

net assets 0.61% 0.66% 1.44% 0.95% (0.10)% (5)

Portfolio turnover rate 12% 12% 12% 12% 12%

(1) For the period from August 28, 2020 (commencement of operations) to December 31, 2020. (2) Based on average number of units outstanding. (3) Amount is less than $ 0.005. (4) Not annualized for periods less than one year. (5) Annualized for periods less than one year.



Wells Fargo Enhanced Stock Market CIT



Class F Class N


Unit value, beginning of year $ 14.80 $ 299.52


Net investment income (loss)(1) 0.27 5.39

Net realized and unrealized gain (loss) on investments 2.26 45.69

Total from investment operations 2.53 51.08

Unit value, end of year $ 17.33 $ 350.60

Total return 17.08% 17.05%

Net assets, end of year $ 19,464,847 $ 349,233,916

Ratios:

Ratio of expenses to average net assets 0.13% 0.16%

Ratio of net investment income (loss) to average net assets 1.86% 1.81%

Portfolio turnover rate 47% 47%




Wells Fargo Growth CIT



Class F Class E2 Class E


Unit value, beginning of year $ 25.51 $ 11.75 $ 10.91


Net investment income (loss)(1) (0.01) (0.01) (0.02)

Net realized and unrealized gain (loss) on investments 12.66 5.84 5.42

Total from investment operations 12.65 5.83 5.40

Unit value, end of year $ 38.16 $ 17.58 $ 16.31

Total return 49.62% 49.58% 49.43%

Net assets, end of year $ 41,424,247 $ 80,156,265 $ 16,588,096

Ratios:

Ratio of expenses to average net assets 0.47% 0.50% 0.60%

Ratio of net investment income (loss) to average net assets (0.05)% (0.08)% (0.19)%

Portfolio turnover rate 42% 42% 42%




Wells Fargo Large Cap Intrinsic Value CIT



Class E2




Net investment income (loss)(1) 0.95




Total return 6.40%


Ratios:

Ratio of expenses to average net assets 0.40%

Ratio of net investment income (loss) to average net assets 1.47%





Wells Fargo Liability Driven Solution CIT I



Class F








Total return 8.79%

Net assets, end of year $ 1,159,738,544

Ratios:







Wells Fargo Liability Driven Solution CIT II



Class F








Total return 16.90%

Net assets, end of year $ 2,124,469,892

Ratios:







Wells Fargo Liability Driven Solution CIT III



Class F








Total return 21.81%


Ratios:







Wells Fargo Premier Large Company Growth CIT



Class E2




Net investment income (loss)(1) 0.00 (2)




Total return 39.80%


Ratios:




(1) Based on average number of units outstanding. (2) Amount is less than $ 0.005.



Wells Fargo Special Mid Cap Value CIT



Class E2 Class E1 (1)





Net realized and unrealized gain (loss) on investments 0.09 (0.01)



Total return 1.93% 0.93% (3)


Ratios:

Ratio of expenses to average net assets 0.53% 0.59% (4)

Ratio of net investment income (loss) to average net assets 1.34% 1.25% (4)


(1) For the period from January 16, 2020 (commencement of operations) to December 31, 2020. (2) Based on average number of units outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.



Wells Fargo Special Small Cap Value CIT



Class E Class N





Net realized and unrealized gain (loss) on investments (0.11) (0.10)



Total return 0.01% 0.11%


Ratios:

Ratio of expenses to average net assets 0.76% 0.65%

Ratio of net investment income (loss) to average net assets 1.36% 1.34%





Schedule of Investments

December 31, 2020


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Bonds: 31.95%

Basic Materials: 0.88%

Barrick North America Finance

LLC 136,000 5.70 % 5/30/2041 BBB $ 151,076 $ 196,514

Dow Chemical Co 126,000 3.60 11/15/2050 BBB- 125,110 141,309



LYB International Finance III LLC 208,000 3.63 4/01/2051 BBB- 210,867 226,875




Newmont Corp 1,510,000 2.25 10/01/2030 BBB 1,554,878 1,588,262

Nucor Corp 237,000 2.00 6/01/2025 A- 237,114 250,937

Nucor Corp 303,000 2.70 6/01/2030 A- 308,348 333,007

Nutrien Ltd 229,000 5.00 4/01/2049 BBB 279,467 316,179

Nutrition & Biosciences, Inc(1) 124,000 1.23 10/01/2025 BBB 124,000 125,289

Reliance Steel & Aluminum Co 484,000 2.15 8/15/2030 BBB 483,061 496,994

Reliance Steel & Aluminum Co 187,000 1.30 8/15/2025 BBB 186,611 189,890

Teck Resources Ltd 104,000 6.13 10/01/2035 BBB- 131,363 134,014

Teck Resources Ltd 173,000 5.20 3/01/2042 BBB- 193,761 197,287

Teck Resources Ltd 277,000 6.25 7/15/2041 BBB- 344,685 353,710 ____________________________________ ____________________________________

Total Basic Materials 6,091,917 6,368,710 ____________________________________ ____________________________________

Communications: 2.79%

Alphabet, Inc 316,000 2.25 8/15/2060 AA+ 312,558 304,794

Amazon.com, Inc 259,000 2.50 6/03/2050 AA- 256,636 268,190

Amazon.com, Inc 235,000 2.70 6/03/2060 AA- 232,686 250,696

AT&T, Inc(1) 424,000 3.80 12/01/2057 BBB 440,525 440,367

AT&T, Inc 109,000 3.10 2/01/2043 BBB 111,036 110,244

AT&T, Inc 31,000 3.30 2/01/2052 BBB 30,979 30,678

AT&T, Inc 354,000 1.65 2/01/2028 BBB 353,789 361,020

AT&T, Inc 471,000 2.25 2/01/2032 BBB 470,391 477,521

AT&T, Inc(1) 418,000 3.50 9/15/2053 BBB 410,025 416,407

AT&T, Inc(1) 352,000 3.55 9/15/2055 BBB 349,450 350,128

AT&T, Inc(1) 326,000 3.65 9/15/2059 BBB 326,747 326,953

AT&T, Inc 713,000 2.30 6/01/2027 BBB 713,637 759,957

AT&T, Inc 713,000 2.75 6/01/2031 BBB 713,622 761,699

AT&T, Inc 237,000 3.50 6/01/2041 BBB 236,963 255,149

AT&T, Inc 237,000 3.85 6/01/2060 BBB 236,534 247,935

AT&T, Inc 548,000 3.00 6/30/2022 BBB 555,151 567,131

Charter Communications Operating

LLC / Charter Communications

Operating Capital 431,000 4.80 3/01/2050 BBB- 492,275 514,262

Charter Communications Operating

LLC / Charter Communications

Operating Capital 212,000 4.46 7/23/2022 BBB- 216,587 223,493

Comcast Corp 193,000 2.45 8/15/2052 A- 186,055 187,600

Comcast Corp 421,000 1.50 2/15/2031 A- 417,715 418,049

Comcast Corp 542,000 3.75 4/01/2040 A- 606,396 651,238

Comcast Corp 317,000 1.95 1/15/2031 A- 316,400 325,972

Comcast Corp 544,000 4.60 10/15/2038 A- 564,106 715,933

Comcast Corp 157,000 3.95 10/15/2025 A- 158,450 180,337

Comcast Corp 269,000 4.15 10/15/2028 A- 304,967 323,673




December 31, 2020


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Bonds (Continued)

T-Mobile USA, Inc(1) 103,000 3.00 % 2/15/2041 BBB- $ 102,530 $ 106,782

T-Mobile USA, Inc(1) 1,203,000 2.05 2/15/2028 BBB- 1,212,314 1,251,312

T-Mobile USA, Inc(1) 592,000 1.50 2/15/2026 BBB- 591,539 606,131



Time Warner Cable LLC 153,000 6.55 5/01/2037 BBB- 166,862 209,801

Verizon Communications, Inc 223,000 2.88 11/20/2050 BBB+ 227,740 224,457










ViacomCBS, Inc 43,000 4.60 1/15/2045 BBB 48,408 51,394






Vodafone Group PLC 421,000 4.25 9/17/2050 BBB 426,499 521,489

Walt Disney Co 271,000 3.50 5/13/2040 BBB+ 272,393 318,117

Walt Disney Co 242,000 3.60 1/13/2051 BBB+ 242,936 293,184

Walt Disney Co 169,000 3.80 5/13/2060 BBB+ 170,066 214,250 ____________________________________ ____________________________________

Total Communications 18,721,793 20,125,487 ____________________________________ ____________________________________

Consumer, Cyclical: 2.76%

Advance Auto Parts, Inc 719,000 3.90 4/15/2030 BBB- 746,485 826,383

Advance Auto Parts, Inc 461,000 1.75 10/01/2027 BBB- 460,072 467,988

BorgWarner, Inc 494,000 2.65 7/01/2027 BBB 494,002 530,976

Costco Wholesale Corp 1,339,000 1.60 4/20/2030 A+ 1,337,812 1,371,302

Costco Wholesale Corp 153,000 1.75 4/20/2032 A+ 153,204 158,911

Delta Air Lines, Inc / SkyMiles IP

Ltd(1) 535,000 4.75 10/20/2028 548,854 583,743

Delta Air Lines, Inc / SkyMiles IP

Ltd(1) 892,000 4.50 10/20/2025 915,493 953,276

General Motors Co 446,000 5.40 4/01/2048 BBB 462,600 560,814

General Motors Financial Co, Inc 1,035,000 2.70 8/20/2027 BBB 1,039,575 1,097,224

General Motors Financial Co, Inc 734,000 1.70 8/18/2023 BBB 733,901 752,852



Harley-Davidson Financial Services,

Inc(1) 454,000 3.35 6/08/2025 BBB 454,580 491,672

Home Depot, Inc 454,000 3.35 4/15/2050 A 520,773 539,275

Home Depot, Inc 92,000 3.30 4/15/2040 A 105,347 108,279

Home Depot, Inc 126,000 2.95 6/15/2029 A 136,730 143,152

Home Depot, Inc 632,000 3.13 12/15/2049 A 640,913 727,765

Home Depot, Inc 275,000 2.70 4/15/2030 A 287,946 306,766

Hyundai Capital America(1) 345,000 2.38 10/15/2027 BBB+ 345,183 361,571

Hyundai Capital America(1) 580,000 1.80 10/15/2025 BBB+ 583,437 594,523




December 31, 2020


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Hyundai Capital America(1) 345,000 1.25 % 9/18/2023 BBB+ $ 344,785 $ 349,064

Lowe's Cos, Inc 599,000 1.70 10/15/2030 BBB+ 596,907 604,379

Marriott International, Inc 410,000 5.75 5/01/2025 BBB- 453,867 479,489

Marriott International, Inc 85,000 4.63 6/15/2030 BBB- 86,540 99,695

McDonald's Corp 340,000 3.70 1/30/2026 BBB+ 383,134 387,205



NIKE, Inc 267,000 3.38 3/27/2050 AA- 280,518 327,860

Nissan Motor Co Ltd(1) 274,000 4.81 9/17/2030 BBB- 274,000 308,744



O'Reilly Automotive, Inc 603,000 1.75 3/15/2031 BBB 600,313 603,563

O'Reilly Automotive, Inc 230,000 4.20 4/01/2030 BBB 231,767 276,924

Ralph Lauren Corp 384,000 1.70 6/15/2022 A- 384,037 390,974

Southwest Airlines Co 711,000 5.13 6/15/2027 BBB 714,972 845,494

Southwest Airlines Co 475,000 4.75 5/04/2023 BBB 486,451 516,239

Starbucks Corp 225,000 3.35 3/12/2050 BBB+ 239,665 251,053




Walmart, Inc 208,000 3.05 7/08/2026 AA 225,847 234,113

Walmart, Inc 6,000 4.05 6/29/2048 AA 5,760 8,128 ____________________________________ ____________________________________

Total Consumer, Cyclical 18,750,598 19,973,222 ____________________________________ ____________________________________

Consumer, Non-cyclical: 5.64%

AbbVie, Inc 692,000 2.30 11/21/2022 BBB+ 692,988 717,406

AbbVie, Inc 222,000 2.95 11/21/2026 BBB+ 219,146 245,571

AbbVie, Inc 937,000 3.20 11/21/2029 BBB+ 992,788 1,049,560

AbbVie, Inc 257,000 4.05 11/21/2039 BBB+ 271,198 310,070

AbbVie, Inc 894,000 4.25 11/21/2049 BBB+ 1,039,336 1,120,512

AbbVie, Inc 924,000 3.80 3/15/2025 BBB+ 991,324 1,030,621

AbbVie, Inc 163,000 4.45 5/14/2046 BBB+ 189,020 207,040

AbbVie, Inc 161,000 4.30 5/14/2036 BBB+ 194,446 198,002

AbbVie, Inc 61,000 3.75 11/14/2023 BBB+ 58,842 66,509

AbbVie, Inc 166,000 4.25 11/14/2028 BBB+ 192,318 199,249

Adani International Container

Terminal Pvt Ltd(1) 238,000 3.00 2/16/2031 BBB- 238,000 238,587

Adani Ports & Special Economic

Zone Ltd(1) 428,000 4.20 8/04/2027 BBB- 428,000 458,414

Aetna, Inc 175,000 3.88 8/15/2047 BBB 156,472 208,367

Altria Group, Inc 96,000 2.35 5/06/2025 BBB 96,111 101,979



Amgen, Inc 79,000 3.15 2/21/2040 A- 83,787 86,845

Anheuser-Busch Cos LLC /

Anheuser-Busch InBev

Worldwide, Inc 627,000 4.70 2/01/2036 BBB+ 741,807 795,291

Anheuser-Busch Cos LLC /

Anheuser-Busch InBev

Worldwide, Inc 352,000 4.90 2/01/2046 BBB+ 428,438 458,109

Anheuser-Busch InBev Worldwide,

Inc 203,000 3.75 7/15/2042 BBB+ 225,463 230,602




December 31, 2020


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Inc 659,000 4.38 % 4/15/2038 BBB+ $ 789,943 $ 814,984


Inc 592,000 4.60 4/15/2048 BBB+ 706,406 747,901


Inc 468,000 4.15 1/23/2025 BBB+ 482,410 532,881

Anthem, Inc 1,038,000 2.25 5/15/2030 A 1,058,212 1,101,879

Bacardi Ltd(1) 281,000 4.70 5/15/2028 BBB- 326,778 333,213

Bacardi Ltd(1) 187,000 5.15 5/15/2038 BBB- 229,663 238,941

Bacardi Ltd(1) 302,000 5.30 5/15/2048 BBB- 390,771 418,259

BAT Capital Corp 121,000 4.91 4/02/2030 BBB+ 145,127 146,058





BAT International Finance PLC 745,000 1.67 3/25/2026 BBB+ 745,179 762,415

Bristol-Myers Squibb Co 180,000 4.25 10/26/2049 A+ 203,087 243,367










Bunge Ltd Finance Corp 599,000 3.25 8/15/2026 BBB 650,884 665,531



Cigna Corp 355,000 3.88 10/15/2047 A- 377,042 419,800

Cigna Corp 488,000 3.40 9/17/2021 A- 488,449 498,487

Constellation Brands, Inc 109,000 3.20 2/15/2023 BBB 108,090 115,175



CVS Health Corp 350,000 2.70 8/21/2040 BBB 351,472 353,566






Danaher Corp 283,000 2.60 10/01/2050 BBB+ 280,533 293,249

Danaher Corp 222,000 3.35 9/15/2025 BBB+ 232,645 248,486

DH Europe Finance II Sarl 353,000 2.05 11/15/2022 BBB+ 354,037 364,109




Element Fleet Management Corp(1) 454,000 3.85 6/15/2025 BBB 455,036 483,808

Eli Lilly and Co 335,000 2.25 5/15/2050 A+ 333,408 328,595

General Mills, Inc 160,000 2.88 4/15/2030 BBB 163,878 177,312

Gilead Sciences, Inc 360,000 1.65 10/01/2030 BBB+ 359,178 360,963





December 31, 2020


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Gilead Sciences, Inc 169,000 2.80 % 10/01/2050 BBB+ $ 168,001 $ 167,430


HCA, Inc 118,000 5.25 6/15/2049 BBB- 141,999 155,606

HCA, Inc 119,000 5.13 6/15/2039 BBB- 145,829 152,085

Hutama Karya Persero PT(1) 278,000 3.75 5/11/2030 276,927 310,665

Johnson & Johnson 80,000 2.10 9/01/2040 AAA 79,506 80,485

Keurig Dr Pepper, Inc 231,000 3.80 5/01/2050 BBB 246,450 276,172

Leland Stanford Junior University 91,000 1.29 6/01/2027 AAA 91,069 93,644

Mars, Inc(1) 572,000 1.63 7/16/2032 A 575,226 566,959

Merck & Co, Inc 47,000 2.45 6/24/2050 AA- 45,913 48,563

Merck & Co, Inc 161,000 2.35 6/24/2040 AA- 159,624 166,349

Merck & Co, Inc 154,000 3.70 2/10/2045 AA- 173,174 192,243

PayPal Holdings, Inc 611,000 1.35 6/01/2023 BBB+ 611,028 625,572

PayPal Holdings, Inc 858,000 1.65 6/01/2025 BBB+ 859,158 896,242

Perrigo Finance Unlimited Co 237,000 4.90 12/15/2044 BBB- 260,721 264,311

Perrigo Finance Unlimited Co 236,000 3.15 6/15/2030 BBB- 250,836 252,092

Pfizer, Inc 213,000 2.80 3/11/2022 A+ 213,322 219,390

Regeneron Pharmaceuticals, Inc 274,000 2.80 9/15/2050 BBB+ 272,861 265,236

Regeneron Pharmaceuticals, Inc 1,286,000 1.75 9/15/2030 BBB+ 1,275,957 1,265,626

Royalty Pharma PLC(1) 299,000 3.55 9/02/2050 BBB- 296,923 318,560



Shire Acquisitions Investments

Ireland DAC 461,000 2.88 9/23/2023 BBB+ 469,547 488,826

Stryker Corp 209,000 1.95 6/15/2030 A- 208,435 214,932

Stryker Corp 333,000 2.90 6/15/2050 A- 332,546 352,725

Stryker Corp 474,000 1.15 6/15/2025 A- 473,330 483,539

Sysco Corp 117,000 6.60 4/01/2050 BBB- 118,837 179,922

Takeda Pharmaceutical Co Ltd 396,000 3.18 7/09/2050 BBB+ 396,000 421,281



Thermo Fisher Scientific, Inc 829,000 4.50 3/25/2030 BBB+ 887,252 1,035,537

Trustees of the University of

Pennsylvania 1,000 3.61 2/15/2119 AA+ 1,125 1,123

UnitedHealth Group, Inc 190,000 3.75 10/15/2047 A+ 211,042 235,608





Yale University 340,000 1.48 4/15/2030 AAA 340,288 348,789

Yale University 396,000 0.87 4/15/2025 AAA 396,194 402,171 ____________________________________ ____________________________________

Total Consumer, Non-cyclical 38,716,613 40,756,365 ____________________________________ ____________________________________

Energy: 2.79%

Aker BP ASA(1) 597,000 2.88 1/15/2026 BBB- 594,610 609,119

Aker BP ASA(1) 308,000 4.00 1/15/2031 BBB- 303,037 333,460

BP Capital Markets America, Inc 453,000 1.75 8/10/2030 A- 453,034 454,471




Concho Resources, Inc 276,000 2.40 2/15/2031 BBB- 275,741 288,699

Devon Energy Corp 518,000 5.85 12/15/2025 BBB- 606,802 608,703




December 31, 2020


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Devon Energy Corp 179,000 5.60 % 7/15/2041 BBB- $ 195,486 $ 218,640

Devon Energy Corp 118,000 5.00 6/15/2045 BBB- 94,115 139,286

Diamondback Energy, Inc 684,000 3.25 12/01/2026 BBB- 690,626 730,114

Diamondback Energy, Inc 407,000 3.50 12/01/2029 BBB- 417,396 434,588

Ecopetrol SA 260,000 5.88 5/28/2045 BBB- 252,698 314,730

Enbridge, Inc 1,052,000 2.50 1/15/2025 BBB+ 1,056,198 1,126,203

Enbridge, Inc 480,000 3.13 11/15/2029 BBB+ 484,838 527,511

Energy Transfer LP / Regency

Energy Finance Corp 144,000 4.50 11/01/2023 BBB- 153,596 155,813

Energy Transfer Operating LP 89,000 6.00 6/15/2048 BBB- 102,752 105,777





Energy Transfer Operating LP 1,066,000 4.05 3/15/2025 BBB- 1,129,914 1,169,181




Enterprise Products Operating LLC 207,000 3.70 1/31/2051 BBB+ 208,273 227,451

Enterprise Products Operating LLC 230,000 3.95 1/31/2060 BBB+ 229,071 254,089

Equinor ASA 278,000 1.75 1/22/2026 AA- 277,540 291,967

Equinor ASA 163,000 3.25 11/18/2049 AA- 161,478 180,807

Galaxy Pipeline Assets Bidco Ltd(1) 312,000 2.63 3/31/2036 312,000 323,648

Galaxy Pipeline Assets Bidco Ltd(1) 661,000 1.75 9/30/2027 661,000 670,925

Gray Oak Pipeline LLC(1) 238,000 2.60 10/15/2025 BBB 237,893 245,247

HollyFrontier Corp 240,000 2.63 10/01/2023 BBB- 239,869 245,264

Marathon Oil Corp 110,000 6.80 3/15/2032 BBB- 129,403 135,406




MPLX LP 353,000 1.75 3/01/2026 BBB 352,530 365,236

MPLX LP 474,000 2.65 8/15/2030 BBB 473,959 496,484

Oleoducto Central SA(1) 200,000 4.00 7/14/2027 BBB- 204,943 217,102

ONEOK, Inc 44,000 3.10 3/15/2030 BBB 45,426 46,848

ONEOK, Inc 103,000 3.40 9/01/2029 BBB 107,698 110,178

Petroleos Mexicanos 347,400 2.38 4/15/2025 347,400 361,879

Pioneer Natural Resources Co 594,000 1.90 8/15/2030 BBB 589,145 588,067

Plains All American Pipeline LP /

PAA Finance Corp 1,031,000 3.55 12/15/2029 BBB- 1,045,490 1,078,409

Plains All American Pipeline LP /

PAA Finance Corp 96,000 4.90 2/15/2045 BBB- 96,156 101,743

Saudi Arabian Oil Co(1) 348,000 2.25 11/24/2030 345,953 354,180

Saudi Arabian Oil Co(1) 348,000 1.63 11/24/2025 347,888 356,525

Suncor Energy, Inc 470,000 3.10 5/15/2025 BBB+ 471,236 514,698

Sunoco Logistics Partners

Operations LP 246,000 4.00 10/01/2027 BBB- 264,870 269,085





Total Capital International SA 346,000 3.13 5/29/2050 A+ 346,767 374,273




December 31, 2020


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Transcontinental Gas Pipe Line Co

LLC 366,000 3.95 % 5/15/2050 BBB $ 364,368 $ 413,255

Transcontinental Gas Pipe Line Co

LLC 227,000 3.25 5/15/2030 BBB 226,548 254,238

Valero Energy Corp 226,000 1.20 3/15/2024 BBB 225,883 228,054

Williams Cos, Inc 157,000 3.90 1/15/2025 BBB 160,153 174,044 ____________________________________ ____________________________________

Total Energy 19,071,804 20,168,256 ____________________________________ ____________________________________

Financial: 10.68%

AerCap Ireland Capital DAC /

AerCap Global Aviation Trust 150,000 4.63 7/01/2022 BBB 144,268 157,840









AerCap Ireland Capital Ltd /


Agree LP 165,000 2.90 10/01/2030 BBB 165,179 175,181

Ally Financial, Inc 735,000 5.13 9/30/2024 BBB- 817,126 847,193

Ally Financial, Inc 794,000 5.75 11/20/2025 BB+ 923,214 924,218

Ally Financial, Inc 920,000 1.45 10/02/2023 BBB- 915,434 939,088

American International Group, Inc 295,000 4.38 6/30/2050 BBB+ 385,674 385,585




Andrew W Mellon Foundation 271,000 0.95 8/01/2027 AAA 270,975 270,712

Arch Capital Group Ltd 294,000 3.64 6/30/2050 BBB+ 295,357 341,525

Ares Capital Corp 369,000 3.88 1/15/2026 BBB

wells fargo bank, n.a. · wells fargo core bond cit statement of changes in net assets year ended...

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