wells fargo bank, n.a. · wells fargo/blackrock u.s. aggregate bond index cit 43 notes to financial...

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 6

Statements of Changes in Net Assets 9

Financial Highlights 12

Schedule of Investments: Wells Fargo/BlackRock Bond Index CIT 21

Wells Fargo/BlackRock International Equity Index CIT 22

Wells Fargo/BlackRock Large Cap Growth Index CIT 23

Wells Fargo/BlackRock Large Cap Value Index CIT 24

Wells Fargo/BlackRock Russell 2000 Index CIT 25

Wells Fargo/BlackRock S&P 500 Index CIT 26

Wells Fargo/BlackRock S&P MidCap Index CIT 27

Wells Fargo/BlackRock Short Term Investment Fund 28 Wells Fargo/BlackRock U.S. Aggregate Bond Index CIT 29

Notes to Financial Statements 30

Appendix 35

Regulatory Statement 41

Independent Auditors’ Report

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

We have audited the accompanying financial statements of Wells Fargo/BlackRock Bond Index CIT, Wells

Fargo/BlackRock International Equity Index CIT, Wells Fargo/BlackRock Large Cap Growth Index CIT, Wells

Fargo/BlackRock Large Cap Value Index CIT, Wells Fargo/BlackRock Russell 2000 Index CIT, Wells

Fargo/BlackRock S&P 500 Index CIT, Wells Fargo/BlackRock S&P MidCap Index CIT, Wells Fargo/BlackRock

Short Term Investment Fund and Wells Fargo/BlackRock U.S. Aggregate Bond Index CIT (collectively, the

Funds), nine 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/BlackRock

Bond Index CIT

Wells

Fargo/BlackRock

International

Equity Index CIT

Wells

Fargo/BlackRock

Large Cap

Growth Index

CIT

Assets:

Investments, at value (see cost below) $ 111,674,281 $ 659,309,496 $ 422,767,162

Receivable for investments sold 3,288 449,941 -

Receivable for fund units sold 7,767 546,127 374,525

Total assets 111,685,336 660,305,564 423,141,687

Liabilities:

Payable for fund units repurchased 11,055 946,662 29,405

Payable for investments purchased - - 345,121

Trustee fee payable 10,432 74,968 28,331

Total liabilities 21,487 1,021,630 402,857

Net assets $ 111,663,849 $ 659,283,934 $ 422,738,830

Investments, at cost $ 108,416,691 $ 538,646,304 $ 232,151,507

Computation of net asset value:

Class TR

Net assets $ - $ 152,350,868 $ 24,399,869

Units outstanding - 11,305,427 877,952

Net asset value per unit $ - $ 13.48 $ 27.79

Class F

Net assets $ 10,018,909 $ 396,077,030 $ 189,444,231

Units outstanding 753,621 21,920,317 4,638,181

Net asset value per unit $ 13.29 $ 18.07 $ 40.84

Class N

Net assets $ 101,644,940 $ 110,856,036 $ 208,814,743

Units outstanding 2,065,023 4,674,945 4,662,909


Class N20

Net assets $ - $ - $ 79,987

Units outstanding - - 1,550

Net asset value per unit $ - $ - $ 51.60




December 31, 2020

Wells

Fargo/BlackRock

Large Cap Value

Index CIT

Wells

Fargo/BlackRock

Russell 2000

Index CIT

Wells

Fargo/BlackRock

S&P 500 Index

CIT

Assets:

Investments, at value (see cost below) $ 326,183,503 $ 283,388,050 $ 4,303,179,354

Cash - - 232

Receivable for investments sold - 327,194 101,966,823

Receivable for fund units sold 92,447 243,664 2,823,783

Total assets 326,275,950 283,958,908 4,407,970,192

Liabilities:

Payable for fund units repurchased 35,227 570,858 104,752,470

Payable for investments purchased 57,220 - -


Total liabilities 121,432 606,581 104,902,593

Net assets $ 326,154,518 $ 283,352,327 $ 4,303,067,599

Investments, at cost $ 242,227,570 $ 202,265,436 $ 2,487,215,038


Class TR

Net assets $ 33,580,815 $ 56,005,614 $ 183,683,219



Class F

Net assets $ 164,539,585 $ 138,404,066 $ 1,594,151,328



Class N

Net assets $ 111,354,084 $ 82,796,538 $ 2,466,285,527



Class N5

Net assets $ - $ - $ 51,903,036

Units outstanding - - 237,414

Net asset value per unit $ - $ - $ 218.62

Class N20

Net assets $ 16,680,034 $ - $ 7,044,489

Units outstanding 145,262 - 258,106

Net asset value per unit $ 114.83 $ - $ 27.29

Class N35

Net assets $ - $ 6,146,109 $ -

Units outstanding - 114,869 -

Net asset value per unit $ - $ 53.51 $ -




December 31, 2020

Wells

Fargo/BlackRock

S&P MidCap

Index CIT

Wells

Fargo/BlackRock

Short Term

Investment Fund

Wells

Fargo/BlackRock

U.S. Aggregate

Bond Index CIT

Assets:

Investments, at value (see cost below) $ 969,290,878 $ 9,148,252,844 $ 742,315,069

Receivable for investments sold 5,399,295 - 6,043,760

Receivable for fund units sold 690,892 29,749 583,517

Receivable for interest - 2,154,321 -

Total assets 975,381,065 9,150,436,914 748,942,346

Liabilities:

Payable for fund units repurchased 5,945,428 5,329 6,627,278

Income distributions payable - 1,333,816 -


Total liabilities 6,004,101 2,054,494 6,726,922

Net assets $ 969,376,964 $ 9,148,382,420 $ 742,215,424

Investments, at cost $ 682,110,001 $ 9,148,252,844 $ 680,072,929


Class TR

Net assets $ 82,492,991 $ 17,107,252 $ 250,860,301



Class F

Net assets $ 558,376,252 $ 437,577,198 $ 355,173,140



Class S1

Net assets $ - $ 776,974,353 $ -

Units outstanding - 776,974,352 -


Class S

Net assets $ - $ 7,884,749,552 $ -

Units outstanding - 7,884,749,550 -


Class N

Net assets $ 315,704,695 $ 31,974,065 $ 136,181,983



Class N35

Net assets $ 12,803,026 $ - $ -

Units outstanding 60,324 - -

Net asset value per unit $ 212.24 $ - $ -



Statements of Operations

Year ended December 31, 2020

Wells

Fargo/BlackRock

Bond Index CIT

Wells

Fargo/BlackRock

International

Equity Index CIT

Wells

Fargo/BlackRock

Large Cap

Growth Index

CIT

Expenses:

Trustee fee $ 103,385 $ 292,422 $ 211,551

TMR Program fees - 495,652 17,787

Total expenses 103,385 788,074 229,338

Net investment income (loss) (103,385) (788,074) (229,338)

Realized and unrealized gain (loss) on investments:

Net realized gain (loss) on:

Investments 13,770,272 87,353,078 62,170,773

Net change in unrealized appreciation (depreciation) on:

Investments (3,754,132) 3,449,635 58,736,547

Net realized and unrealized gain (loss) on investments 10,016,140 90,802,713 120,907,320

Net increase (decrease) in net assets resulting from operations $ 9,912,755 $ 90,014,639 $ 120,677,982





Wells

Fargo/BlackRock

Large Cap Value

Index CIT

Wells

Fargo/BlackRock

Russell 2000

Index CIT

Wells

Fargo/BlackRock

S&P 500 Index

CIT

Expenses:

Trustee fee $ 180,375 $ 166,096 $ 1,030,940

TMR Program fees 98,365 199,578 691,191

Total expenses 278,740 365,674 1,722,131

Net investment income (loss) (278,740) (365,674) (1,722,131)



Investments 24,875,806 50,751,096 883,405,271


Investments (9,251,106) 7,325,736 (121,474,040)

Net realized and unrealized gain (loss) on investments 15,624,700 58,076,832 761,931,231






Wells

Fargo/BlackRock

S&P MidCap

Index CIT

Wells

Fargo/BlackRock

Short Term

Investment Fund

Wells

Fargo/BlackRock

U.S. Aggregate

Bond Index CIT

Investment income:

Dividend income $ - $ 55,700,529 $ -

Total income - 55,700,529 -

Expenses:

Trustee fee $ 360,935 $ 7,789,201 $ 316,431

TMR Program fees 299,134 13,399 907,704

Total expenses 660,069 7,802,600 1,224,135

Net investment income (loss) (660,069) 47,897,929 (1,224,135)



Investments 220,646,584 - 107,581,206


Investments (76,249,536) - (27,802,920)

Net realized and unrealized gain (loss) on investments 144,397,048 - 79,778,286




Statements of Changes in Net Assets


Wells

Fargo/BlackRock

Bond Index CIT

Wells

Fargo/BlackRock

International

Equity Index CIT

Wells

Fargo/BlackRock

Large Cap

Growth Index

CIT

Increase/(decrease) in net assets from operations:

Net investment income (loss) $ (103,385) $ (788,074) $ (229,338)

Net realized gain (loss) on investments 13,770,272 87,353,078 62,170,773

Net change in unrealized appreciation (depreciation) of investments (3,754,132) 3,449,635 58,736,547

Net increase (decrease) in net assets resulting from operations 9,912,755 90,014,639 120,677,982

Participating unit holder transactions:

Proceeds for issuance of units

Class TR - 63,549,930 27,374,780

Class F 8,847,134 274,278,746 36,496,688

Class N 113,232,369 78,029,699 24,358,349

Class N20 - - 6,751

Class N25 27,417 (1) - -

Payments for redemption of units

Class TR - (88,580,465) (9,787,362)

Class F (10,167,487) (325,640,192) (99,427,222)

Class N (114,275,712) (88,619,797) (45,889,590)

Class N20 - - (1,350)

Class N25 (208,632) (1) - -

Change in net assets derived from unit transactions (2,544,911) (86,982,079) (66,868,956)

Total increase (decrease) in net assets 7,367,844 3,032,560 53,809,026

Net assets:

Beginning of year 104,296,005 656,251,374 368,929,804

End of year $ 111,663,849 $ 659,283,934 $ 422,738,830


Class TR units issued - 5,865,714 1,061,668

Class F units issued 685,514 18,547,245 1,146,412

Class N units issued 2,370,166 3,898,228 673,314

Class N20 units issued - - 144

Class N25 units issued 579 (1) - -

Class TR units redeemed - (7,534,456) (442,552)

Class F units redeemed (788,076) (19,574,238) (3,116,706)

Class N units redeemed (2,376,039) (4,412,604) (1,250,438)

Class N20 units redeemed - - (37)

Class N25 units redeemed (4,397) (1) - -

(1) For the period from January 1, 2020 through October 8, 2020 (ceased operations).





Wells

Fargo/BlackRock

Large Cap Value

Index CIT

Wells

Fargo/BlackRock

Russell 2000

Index CIT

Wells

Fargo/BlackRock

S&P 500 Index

CIT


Net investment income (loss) $ (278,740) $ (365,674) $ (1,722,131)

Net realized gain (loss) on investments 24,875,806 50,751,096 883,405,271

Net change in unrealized appreciation (depreciation) of investments (9,251,106) 7,325,736 (121,474,040)




Class TR 26,902,809 27,857,870 74,525,415

Class F 34,724,757 46,350,730 417,909,076

Class N 11,150,978 25,239,664 805,662,912

Class N5 - - 21,849,301

Class N20 8,000,000 - 870,772

Class N35 - 596,080 -


Class TR (20,311,935) (51,297,279) (153,892,385)

Class F (55,392,067) (123,399,720) (1,530,993,860)

Class N (22,986,163) (46,685,581) (1,221,067,289)

Class N5 - - (67,468,556)

Class N20 (24) - (1,501,062)

Class N35 - (2,179,082) -

Change in net assets derived from unit transactions (17,911,645) (123,517,318) (1,654,105,676)

Total increase (decrease) in net assets (2,565,685) (65,806,160) (893,896,576)

Net assets:

Beginning of year 328,720,203 349,158,487 5,196,964,175

End of year $ 326,154,518 $ 283,352,327 $ 4,303,067,599


Class TR units issued 2,163,348 2,151,904 4,437,630

Class F units issued 1,884,103 2,611,736 16,692,378

Class N units issued 396,029 681,684 5,921,708

Class N5 units issued - - 125,007

Class N20 units issued 74,547 - 38,515

Class N35 units issued - 14,819 -

Class TR units redeemed (1,454,627) (3,306,187) (8,306,725)

Class F units redeemed (2,736,268) (5,967,917) (55,874,488)

Class N units redeemed (785,792) (1,164,440) (8,795,597)

Class N5 units redeemed - - (383,420)

Class N20 units redeemed 0 (1) - (64,823)

Class N35 units redeemed - (51,411) -

(1) Amount is less than 0.5.





Wells

Fargo/BlackRock

S&P MidCap

Index CIT

Wells

Fargo/BlackRock

Short Term

Investment Fund

Wells

Fargo/BlackRock

U.S. Aggregate

Bond Index CIT


Net investment income (loss) $ (660,069) $ 47,897,929 $ (1,224,135)

Net realized gain (loss) on investments 220,646,584 - 107,581,206

Net change in unrealized appreciation (depreciation) of investments (76,249,536) - (27,802,920)


Distributions to participants from:

Net investment income - (47,897,929) -



Class TR 26,277,140 8,068,955 97,115,736

Class F 183,360,792 1,184,108,338 306,153,227

Class S1 - 2,703,040,279 (1) -

Class S - 26,610,536,584 -

Class N 96,033,548 36,009,218 (2) 71,776,658

Class N35 1,912,866 - -

Reinvestment of distributions

Class TR - 5,887 -

Class S - 4,117,993 -

Class N - 7,269 (2) -


Class TR (74,599,836) (9,418,263) (165,642,955)

Class F (511,863,875) (960,047,005) (582,622,867)

Class S1 - (2,781,855,997) (1) -

Class S - (23,749,264,610) -

Class N (168,992,302) (4,042,422) (2) (67,813,569)

Class N35 (8,309,067) - -

Change in net assets derived from unit transactions (456,180,734) 3,041,266,226 (341,033,770)

Total increase (decrease) in net assets (312,443,755) 3,041,266,226 (262,479,619)

Net assets:

Beginning of year 1,281,820,719 6,107,116,194 1,004,695,043

End of year $ 969,376,964 $ 9,148,382,420 $ 742,215,424


Class TR units issued 1,893,980 8,068,955 7,929,322

Class F units issued 9,609,097 1,184,108,338 24,482,711

Class S1 units issued - 2,703,040,279 (1) -

Class S units issued - 26,610,536,584 -

Class N units issued 1,970,519 36,009,218 (2) 3,887,784

Class N35 units issued 12,242 - -

Class TR units redeemed (5,194,038) (9,418,263) (13,524,996)

Class F units redeemed (22,269,333) (960,047,006) (45,338,441)

Class S1 units redeemed - (2,781,855,997) (1) -

Class S units redeemed - (23,749,264,610) -

Class N units redeemed (3,486,926) (4,042,421) (2) (3,668,365)

Class N35 units redeemed (50,469) - -

(1) Class N was rebranded as Class S1 on September 24, 2020. (2) Class N was relaunched on September 25, 2020 after original units were rebranded as Class S1. For the period from September 25, 2020

(commencement of operations) to December 31, 2020.



Wells Fargo/Blackrock Bond Index CIT

Financial Highlights


Class F Class N Class N25 (1)

Per share operating performance:

Unit value, beginning of year $ 12.21 $ 45.23 $ 44.39

Income from investment operations:

Net investment income (loss)(3) (0.01) (0.04) (0.12)

Net realized and unrealized gain (loss) on investments 1.09 4.03 3.43

Total from investment operations 1.08 3.99 3.31

Unit value, end of year $ 13.29 $ 49.22 $ 47.70

Total return 8.86% 8.82% 7.44% (2)

Net assets, end of year $ 10,018,909 $ 101,644,940 $ 0.00

Ratios:

Ratio of expenses to average net assets(4) 0.06% 0.09% 0.34%

Ratio of net investment income (loss) to average net assets (0.06)% (0.09)% (0.34)%

(1) For the period from January 1, 2020 through October 8, 2020 (ceased operations). (2) Not annualized for periods less than one year. The total return is based on an ending NAV of $47.70 as of October 8, 2020. (3) Based on average number of units outstanding. (4) Ratios do not include the expenses from the Underlying Fund in which the Fund invests. See Appendix for average expense ratio and

portfolio turnover rate of the Underlying Fund.



Wells Fargo/Blackrock International Equity Index CIT



Class TR Class F Class N




Net investment income (loss)(1) (0.04) (0.01) (0.01)




Total return 8.32% 8.66% 8.65%

Net assets, end of year $ 152,350,868 $ 396,077,030 $ 110,856,036

Ratios:



(1) Based on average number of units outstanding. (2) Ratios do not include the expenses from the Underlying Fund in which the Fund invests. See Appendix for average expense ratio and




Wells Fargo/Blackrock Large Cap Growth Index CIT



Class TR Class F Class N Class N20


Unit value, beginning of year $ 20.09 $ 29.43 $ 32.28 $ 37.27


Net investment income (loss)(1) (0.09) (0.01) (0.03) (0.12)

Net realized and unrealized gain (loss) on

investments 7.79 11.42 12.53 14.45

Total from investment operations 7.70 11.41 12.50 14.33

Unit value, end of year $ 27.79 $ 40.84 $ 44.78 $ 51.60

Total return 38.32% 38.77% 38.72% 38.44%

Net assets, end of year $ 24,399,869 $ 189,444,231 $ 208,814,743 $ 79,987

Ratios:

Ratio of expenses to average net assets(2) 0.37% 0.04% 0.07% 0.27%

Ratio of net investment income (loss) to average

net assets (0.37)% (0.04)% (0.07)% (0.27)%





Wells Fargo/Blackrock Large Cap Value Index CIT









investments 0.51 0.78 1.11 3.79



Total return 3.06% 3.39% 3.35% 3.15%

Net assets, end of year $ 33,580,815 $ 164,539,585 $ 111,354,084 $ 16,680,034

Ratios:



net assets (0.36)% (0.04)% (0.07)% (0.28)%





Wells Fargo/Blackrock Russell 2000 Index CIT









investments 3.24 4.60 8.40 9.15



Total return 20.25% 20.63% 20.59% 20.17%


Ratios:



net assets (0.36)% (0.04)% (0.07)% (0.42)%





Wells Fargo/Blackrock S&P 500 Index CIT



Class TR Class F Class N Class N5 Class N20


Unit value, beginning of

year $ 17.72 $ 27.00 $ 137.60 $ 184.34 $ 23.05


Net investment income

(loss)(1) (0.06) (0.00) (2) (0.04) (0.15) (0.05)

Net realized and

unrealized gain (loss) on

investments 3.30 5.05 25.71 34.43 4.29

Total from investment

operations 3.24 5.05 25.67 34.28 4.24

Unit value, end of year $ 20.96 $ 32.05 $ 163.27 $ 218.62 $ 27.29

Total return 18.31% 18.69% 18.66% 18.60% 18.42%

Net assets, end of year $ 183,683,219 $ 1,594,151,328 $ 2,466,285,527 $ 51,903,036 $ 7,044,489

Ratios:

Ratio of expenses to

average net assets(3) 0.33% 0.01% 0.03% 0.08% 0.23%

Ratio of net investment

income (loss) to average

net assets (0.33)% (0.01)% (0.03)% (0.08)% (0.23)%

(1) Based on average number of units outstanding. (2) Amount is less than $0.005. (3) Ratios do not include the expenses from the Underlying Fund in which the Fund invests. See Appendix for average expense ratio and




Wells Fargo/Blackrock S&P Midcap Index CIT







Net investment income (loss)(1) (0.05) (0.00) (2) (0.02) (0.68)


investments 2.32 3.44 7.59 27.06



Total return 14.27% 14.63% 14.60% 14.20%


Ratios:



net assets (0.34)% (0.02)% (0.05)% (0.40)%





Wells Fargo/Blackrock Short Term Investment Fund



Class TR Class F Class S1 (1) Class S Class N (2)


Unit value, beginning of

year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00


Net investment income

(loss)(3) 0.01 0.01 0.01 0.01 0.00 (4)

Total from investment

operations 0.01 0.01 0.01 0.01 0.00

Distributions From:

Net investment income (0.01) (0.01) (0.01) (0.01) (0.00) (4)

Unit value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00

Total return 0.51% 0.63% 0.55% 0.63% 0.02%

Net assets, end of year $ 17,107,252 $ 437,577,198 $ 776,974,353 $ 7,884,749,552 $ 31,974,065

Ratios:

Ratio of expenses to

average net assets(5) 0.20% 0.08% 0.15% 0.08% 0.15%

Ratio of net investment

income (loss) to average

net assets 0.51% 0.52% 0.56% 0.50% 0.09%


(commencement of operations) to December 31, 2020. (3) Based on average number of units outstanding. (4) Amount is less than $0.005. (5) Ratios do not include the expenses from the Underlying Fund in which the Fund invests. See Appendix for average expense ratio and




Wells Fargo/Blackrock U.S. Aggregate Bond Index CIT







Net investment income (loss)(1) (0.04) (0.00) (2) (0.01)




Total return 7.23% 7.57% 7.56%

Net assets, end of year $ 250,860,301 $ 355,173,140 $ 136,181,983

Ratios:






Wells Fargo/BlackRock Bond Index CIT

Schedule of Investments

December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________

Collective Investment Funds: 100.01%

BlackRock Government/Credit Bond Index Fund F 3,214,435 $ 108,416,691 $ 111,674,281 ____________________________________ ____________________________________

Total Collective Investment Funds 108,416,691 111,674,281 ____________________________________ ____________________________________

Total Investments : 100.01% $ 108,416,691 $ 111,674,281 ____________________________________ ____________________________________ ____________________________________ ____________________________________

Percentages shown are based on total net assets.


Wells Fargo/BlackRock International Equity Index CIT


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________


BlackRock EAFE Equity Index Fund F 13,415,160 $ 538,646,304 $ 659,309,496 ____________________________________ ____________________________________





Wells Fargo/BlackRock Large Cap Growth Index CIT


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________


BlackRock Russell 1000® Growth Fund F 9,125,344 $ 232,151,507 $ 422,767,162 ____________________________________ ____________________________________





Wells Fargo/BlackRock Large Cap Value Index CIT


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________


BlackRock Russell 1000® Value Fund F 8,406,033 $ 242,227,570 $ 326,183,503 ____________________________________ ____________________________________





Wells Fargo/BlackRock Russell 2000 Index CIT


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________


BlackRock Russell 2000® Index Fund F 4,543,164 $ 202,265,436 $ 283,388,050 ____________________________________ ____________________________________





Wells Fargo/BlackRock S&P 500 Index CIT


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________


BlackRock Equity Index Fund F 57,772,356 $ 2,487,215,038 $ 4,303,179,354 ____________________________________ ____________________________________

Total Collective Investment Funds 2,487,215,038 4,303,179,354 ____________________________________ ____________________________________

Total Investments : 100.00% $ 2,487,215,038 $ 4,303,179,354 ____________________________________ ____________________________________ ____________________________________ ____________________________________



Wells Fargo/BlackRock S&P MidCap Index CIT


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________


BlackRock Mid Capitalization Equity Index Fund F 8,570,727 $ 682,110,001 $ 969,290,878 ____________________________________ ____________________________________





Wells Fargo/BlackRock Short Term Investment Fund


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________

Short-Term Investments: 100.00%

BlackRock Short Term Investment Fund A5 9,148,252,844 $ 9,148,252,844 $ 9,148,252,844 ____________________________________ ____________________________________

Total Short-Term Investments 9,148,252,844 9,148,252,844 ____________________________________ ____________________________________

Total Investments : 100.00% $ 9,148,252,844 $ 9,148,252,844 ____________________________________ ____________________________________ ____________________________________ ____________________________________

All securities are valued at amortized cost in valuing the Fund's total net assets. Percentages shown are based on total net assets.


Wells Fargo/BlackRock U.S. Aggregate Bond Index CIT


December 31, 2020


Shares Cost

Fair

Value ___________ ____________ ______________


BlackRock U.S. Debt Index Fund F 20,375,806 $ 680,072,929 $ 742,315,069 ____________________________________ ____________________________________





Notes to Financial Statements

December 31, 2020

30

1. ORGANIZATION

Wells Fargo Bank, N.A. Collective Investment Funds for Employee Benefit Trusts consists of the following funds (each a

“Fund”, collectively “the Funds”):

Wells Fargo/BlackRock Bond Index CIT Wells Fargo/BlackRock S&P 500 Index CIT

Wells Fargo/BlackRock International Equity Index CIT Wells Fargo/BlackRock S&P Midcap Index CIT

Wells Fargo/BlackRock Large Cap Growth Index CIT Wells Fargo/BlackRock Short Term Investment Fund

Wells Fargo/BlackRock Large Cap Value Index CIT Wells Fargo/BlackRock U.S. Aggregate Bond Index CIT


The Funds are established under the Wells Fargo Bank Declaration of Trust Establishing Investment Funds for Employee Benefit

Trusts (“Declaration of Trust”), as amended and restated, dated June 1, 2020, and are each a collective investment fund managed

and trusteed by Wells Fargo Bank, N.A. (“Wells Fargo” or “the Trustee”) for retirement plans (the “participants") qualified under

Section 401(a) and tax-exempt under Section 501(a) of the Internal Revenue Code of 1986, as amended (the “Code”). Wells Fargo,

as a national bank, is subject to the regulations of the Office of the Comptroller of the Currency (“OCC”). These regulations help

ensure that banks meet their fiduciary obligations to their customers. Each Fund is an investment company and follows the

accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification

Topic 946, Financial Services – Investment Companies.

Each Fund pursues its investment objective through investment in one or more underlying collective investment funds maintained

by Blackrock Institutional Trust Company, N.A. ("BlackRock") (each an “Underlying Fund”).

Wells Fargo/BlackRock Bond Index CIT

The Fund seeks to approximate as closely as practicable the total return, before deduction of fees and expenses, of the

Barclays Government/Credit Bond Index. The Fund is an index fund that invests in the debt securities of companies that

compose the index. The Fund will pursue its objective through investment in one or more underlying collective investment

funds maintained by BlackRock.

Wells Fargo/BlackRock International Equity Index CIT


Morgan Stanley Capital International Europe, Australasia and Far East Index. The Fund is an index fund that invests in the

equity securities of companies that compose the index. The Fund will pursue its objective through investment in one or

more underlying collective investment funds maintained by BlackRock.

Wells Fargo/BlackRock Large Cap Growth Index CIT


Russell 1000® Growth Index. The Fund is an index fund that invests in the equity securities of companies that compose the

index. The Fund will pursue its objective through investment in one or more underlying collective investment funds

maintained by BlackRock.

Wells Fargo/BlackRock Large Cap Value Index CIT


Russell 1000® Value Index. The Fund is an index fund that invests in the equity securities of companies that compose the





Russell 2000® Index. The Fund is an index fund that invests in the equity securities of companies that compose the index.

The Fund will pursue its objective through investment in one or more underlying collective investment funds maintained

by BlackRock.

Wells Fargo/BlackRock S&P 500 Index CIT


Standard & Poor’s 500 Index. The Fund is an index fund that invests in the equity securities of companies that compose the



Wells Fargo/BlackRock S&P Midcap Index CIT


Standard & Poor’s 400 Midcap Index. The Fund is an index fund that invests in the equity securities of companies that

compose the index. The Fund will pursue its objective through investment in one or more underlying collective investment

funds maintained by BlackRock.



December 31, 2020

31

Wells Fargo/BlackRock Short Term Investment Fund

The Short Term Investment Fund's objective is to invest primarily in short term fixed income securities. The Fund will

pursue its objective through investment in one or more underlying collective investment funds maintained by BlackRock

Institutional Trust Company, N.A.

Wells Fargo/BlackRock U.S. Aggregate Bond Index CIT The Fund seeks to approximate as closely as practicable the total return, before deduction of fees and expenses, of the U.S.

Aggregate Bond Index. The Fund is an index fund that invests in the debt securities of companies that compose the index.

The Fund will pursue its objective through investment in one or more underlying collective investment funds maintained

by BlackRock Institutional Trust Company, N.A.

2. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies, which are consistently followed in the preparation of the financial statements of each

Fund, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and

assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of

the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ

from those estimates.

Securities valuation

All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m.

Eastern Time), although the Funds may deviate from this calculation time under unusual or unexpected circumstances.

Investments in underlying collective investment funds are valued at the net asset per unit as reported by each Underlying Funds as

of the close of the regular trading on the New York Stock Exchange on each day the exchange is open for trading.

Investments which are not valued using the method discussed above are valued at their fair value, as determined in good faith by

the Collective Fund Oversight Committee (“CFOC”). The CFOC has established a Valuation Working Group for the Funds

(“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, but not limited to determining the fair value of

portfolio securities. The CFOC retains the authority to make or ratify any valuation decisions or approve any changes to the

Collective Fund Valuation Procedure as it deems appropriate. The Valuation Working Group meets and reports the meeting minutes

to the CFOC on a quarterly basis.

Investment transactions and income recognition

Investments in Underlying Funds are recorded on a trade date basis. Realized gains or losses are recorded on the basis of an average

cost. Dividend income from investments in BlackRock Short Term Investment Fund is recorded on the ex-dividend date as dividend

income.

Cash and cash equivalents

Cash, including cash denominated in foreign currencies, represents cash on hand and demand deposits held at financial institutions.

Cash equivalents include short-term, highly liquid investments of sufficient credit quality that are readily convertible to known

amounts of cash and have original maturities of three months or less. Cash equivalents are carried at cost, plus accrued interest,

which approximates fair value. Cash equivalents are held to meet short-term liquidity requirements, rather than for investment

purposes. Cash and cash equivalents are held at major financial institutions and are subject to credit risk to the extent those balances

exceed federally insured limits.

Subscriptions and redemptions of units and distributions to unitholders

Units of each Fund are purchased and redeemed at the current net asset value. Each Fund (except Wells Fargo/BlackRock Short

Term Investment Fund) does not distribute its net investment income or realized gains or losses to unitholders. Therefore, the

appreciation or depreciation of units held and gain or loss on sale of units represent the sources of income or loss to holders of each

Fund. Wells Fargo/BlackRock Short Term Investment Fund distributes investment income to unitholders each month.

Federal and other taxes

Each Fund maintains tax-exempt status by operating as collective investment trust funds regulated by the OCC, 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.

Each Fund’s federal and state fiduciary and federal excise tax returns for prior six tax years for which the applicable statutes of

limitations have not expired are subject to examination by the federal regulators and state jurisdictions. Management has analyzed

each Fund’s tax positions for all open tax years and does not believe that there are any uncertain tax positions that would call into

question a Fund’s tax exempt status and would then require recognition of a tax liability.



December 31, 2020

32

Class allocations

Wells Fargo has created unit classes of the Funds with differing imbedded fees. Class F unit class is primarily available to plans

when Wells Fargo exercises investment discretion or acts in a 3(21) or 3(38) fiduciary capacity. Class N unit classes are primarily

used when Wells Fargo exercises no investment discretion for the account. Class TR unit class is exclusively used in the Target

My Retirement offering. Only select Wells Fargo CITs have the Target My Retirement option. Class specific expenses are charged

directly to that unit class. Class S unit class is primarily used as a cash vehicle within existing Wells Fargo collective investment

funds and/or eligible plans. Class S1 unit class is primarily used as a cash vehicle for legacy Wells Fargo IRT/Principal Financial

group Trust & Custody clients only. Investment income, common expenses, and realized and unrealized gains (losses) on

investments are allocated daily to each class of units based on the relative proportion of net assets of each class.

3. FAIR VALUE MEASUREMENTS

Fair value measurements of investments are classified within a fair value hierarchy based upon the various data inputs utilized in

determining the value of each Fund’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices

in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Each Fund’s

investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value

measurement. The inputs are summarized into three broad levels as follows:

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates,

prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair

value of investments)

The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with

investing in those securities.

At December 31, 2020, each Fund’s investment in an Underlying Fund was measured as a Level 1 input as the Trustee receives a

daily NAV and observes transactions with the instrument occurring at that NAV.

Quoted prices

(Level 1)

Other significant

observable

inputs

(Level 2)

Significant

unobservable

inputs

(Level 3) Total

Wells Fargo/BlackRock Bond Index CIT:

Investments in collective investment funds $ 111,674,281 $ — $ — $ 111,674,281

Wells Fargo/BlackRock International Equity Index CIT:


Wells Fargo/BlackRock Large Cap Growth Index CIT:


Wells Fargo/BlackRock Large Cap Value Index CIT:


Wells Fargo/BlackRock Russell 2000 Index CIT:


Wells Fargo/BlackRock S&P 500 Index CIT:

Investments in collective investment funds $ 4,303,179,354 $ — $ — $ 4,303,179,354

Wells Fargo/BlackRock S&P MidCap Index CIT:


Wells Fargo/BlackRock Short Term Investment Fund:

Short-Term Investments $ 9,148,252,844 $ — $ — $ 9,148,252,844

Wells Fargo/BlackRock U.S. Aggregate Bond Index CIT:


For the year ended December 31, 2020, the Funds did not have any transfers into/out of Level 3.

4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES

Trustee fee

Wells Fargo, as Trustee of the Funds, performs services including administration, investment management, and other fund services.

The Declaration of Trust permits Wells Fargo, as Trustee, to charge each unit class a class-level Trustee fee for services required

to advise and administer the Funds. Certain of these expenses, including investment management and certain administration fees,

are paid to related parties of the Trustee. For each Fund (except Wells Fargo/BlackRock Short-Term Investment Fund), a class-

level Trustee fee is charged to Class N, Class N5, Class N20 and Class N35 unit class at an annual rate of 0.01% of their average

daily net assets. Class F, Class S and Class TR unit class is not charged a class-level Trustee fee. For Wells Fargo/BlackRock Short-



December 31, 2020

33

Term Investment Fund, a class-level Trustee is charged to Class N and Class S1 unit class at an annual rate of 0.03% of their

average daily net assets.

Wells Fargo also charges the Funds for other fund administrative expenses including fund accounting, custody, and other operating

expenses. Each Fund’s expense accruals are adjusted periodically, within the limits approved by the CFOC, based on expenses

incurred. All Fund expenses are reported under Trustee fee on the Statement of Operations. For the year ended December 31,

2020, the effective expense ratio incurred by each unit class is reflected in the Financial Highlights.

TMR Program fee

For Class TR unit class of each applicable Fund, a program fee is charged in connection with the Target My Retirement program

which is a managed retirement solution that provides participants with professional investment advice, based on a personalized

investment strategy. Wells Fargo has retained Morningstar Associates, LLC, as an independent financial expert to provide

investment advice for the Target My Retirement SM program. Class TR unit class (except Wells Fargo/BlackRock Short-Term

Investment Fund TR unit class) is charged an annual rate of 0.315% of the average daily net assets of each respective unit class.

Out of this fee, Wells Fargo receives 0.200% as the Trustee based on annualized net assets in the program and Morningstar receives

0.115% for their investment advice. Wells Fargo/BlackRock Short-Term Investment Fund TR unit class is charged an annual rate

of 0.075% of its average daily net assets. Out of this fee, no compensation fees are paid.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments, for the year ended December 31, 2020 were as follows:

Purchases

at cost

Sales

proceeds

Realized

gain/(loss)


Collective investment funds $ 107,260,410 $ 109,906,517 $ 13,770,272

Short term investments 129,820 129,820 -


Collective investment funds 337,236,099 425,046,970 87,353,078












Collective investment funds 248,052,657 1,904,078,058 883,405,271

Short term investments 12,318,258 12,318,258 -





Short term investments 37,124,656,381 34,082,418,591 -






December 31, 2020

34

6. CONCENTRATION OF OWNERSHIP

As of December 31, 2020, the Funds had unitholders that held units in excess of 10% of the outstanding units in various classes

of the Funds. Investment activities, including redemptions, of such unitholders could have a material impact on the operations of

the Funds or expense impact on the class.

Market Value

Number of

Unitholders with

Ownership in

excess of 10%

Aggregate

% of

ownership

Wells Fargo/BlackRock Bond Index CIT $ 82,614,359 2 59.33 %

Wells Fargo/BlackRock Large Cap Growth Index CIT 149,162,100 2 35.62

Wells Fargo/BlackRock Large Cap Value Index CIT 56,091,775 1 17.29

Wells Fargo/BlackRock Short-Term Investment Fund 1,094,866,439 1 15.50

7. NEW ACCOUNTING PRONOUNCEMENTS

In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820)

Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the

disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for

fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this

guidance which did not have a material impact on the financial statements.

8. CORONAVIRUS (COVID-19) PANDEMIC

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 are affecting the entire global economy, individual companies and

investment products, the funds and the market in general. There is significant uncertainty around the extent and duration of business

disruptions related to COVID-19 and the impacts 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.

9. SUBSEQUENT EVENTS

On February 23, 2021, Wells Fargo announced that it entered into a definitive agreement to sell Wells Fargo Asset Management

(“WFAM”) to GTCR LLC and Reverence Capital Partners, L.P. WFAM is the trade name used by the asset management businesses

of Wells Fargo and includes Wells Fargo Funds Management, LLC; Wells Capital Management Incorporated; Galliard Capital

Management, Inc.; Wells Fargo Asset Management (International) Ltd.; Wells Fargo Asset Management Luxembourg S.A.; and

Wells Fargo Funds Distributor, LLC, as well as Wells Fargo’s business of acting as Trustee to its collective investment trusts. As

part of the transaction, Wells Fargo will own a 9.9% equity interest and will continue to serve as an important client and distribution

partner. The transaction is expected to close in the second half of 2021, subject to customary closing conditions.

The Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events April 12, 2021, the date the financial statements were available to be issued. This evaluation did not result in any other subsequent events that

necessitated disclosures and/or adjustments.

Appendix

Supplemental Schedule of Values (Unaudited)


35


Class F Class N Class N25(1)

Units Unit Units Unit Units Unit

outstanding valuation outstanding valuation outstanding valuation

January 31, 2020 829,059 $ 12.50 1,978,984 $ 46.31 3,780 $ 45.44

February 29, 2020 853,923 12.76 2,323,040 47.26 3,701 46.37

March 31, 2020 748,326 12.61 2,361,950 46.70 3,394 45.81

April 30, 2020 744,533 12.89 2,204,009 47.74 3,451 46.82

May 31, 2020 782,714 12.97 2,111,546 48.03 3,493 47.09

June 30, 2020 843,667 13.08 2,134,952 48.45 3,483 47.49

July 31, 2020 869,157 13.35 2,125,892 49.42 3,596 48.43

August 31, 2020 821,012 13.19 2,076,359 48.85 3,597 47.86

September 30, 2020 756,059 13.19 2,062,607 48.83 3,826 47.83

October 31, 2020 764,191 13.11 2,571,089 48.54 - -

November 30, 2020 746,531 13.28 2,564,659 49.18 - -

December 31, 2020 753,621 13.29 2,065,023 49.22 - -

(1) Class N25 ceased operations on October 8, 2020.





January 31, 2020 12,940,877 $ 12.10 22,633,932 $ 16.17 5,149,829 $ 21.23

February 29, 2020 12,959,241 11.16 22,277,540 14.92 5,680,737 19.58

March 31, 2020 13,260,606 9.63 27,839,230 12.88 5,828,456 16.91

April 30, 2020 14,088,873 10.26 27,540,195 13.72 5,885,702 18.01

May 31, 2020 15,071,545 10.71 26,830,393 14.34 5,739,351 18.82

June 30, 2020 15,162,915 11.08 28,920,598 14.83 5,403,779 19.47

July 31, 2020 14,651,365 11.34 31,338,729 15.18 4,554,243 19.92

August 31, 2020 14,389,462 11.92 32,264,306 15.96 4,336,179 20.95

September 30, 2020 14,168,013 11.61 28,788,558 15.55 4,323,017 20.41

October 31, 2020 13,068,496 11.14 28,831,503 14.94 5,088,562 19.60

November 30, 2020 11,679,543 12.88 32,402,005 17.27 4,897,022 22.66

December 31, 2020 11,305,427 13.48 21,920,317 18.07 4,674,945 23.71





January 31, 2020 255,417 $ 20.53 6,552,945 $ 30.09 5,236,605 $ 33.00

February 29, 2020 252,395 19.13 5,906,008 28.03 5,043,685 30.74

March 31, 2020 252,957 17.27 6,040,010 25.33 5,035,823 27.77

April 30, 2020 185,038 19.83 5,848,599 29.08 5,029,102 31.89

May 31, 2020 73,491 21.15 5,297,207 31.03 5,052,618 34.02

June 30, 2020 21,291 22.07 5,248,382 32.38 5,057,072 35.50

July 31, 2020 4,648 23.76 5,116,469 34.87 5,011,521 38.24

August 31, 2020 4,496 26.20 4,860,904 38.47 4,863,183 42.18

September 30, 2020 3,041 24.96 4,960,914 36.65 4,873,987 40.19

October 31, 2020 397,395 24.11 4,739,210 35.41 4,927,972 38.83

November 30, 2020 724,365 26.58 4,771,530 39.05 4,617,424 42.82

December 31, 2020 877,952 27.79 4,638,181 40.84 4,662,909 44.78

Appendix



36

Wells Fargo/Blackrock Large Cap Growth Index CIT (continued)

Class N20

Units Unit

outstanding valuation

January 31, 2020 1,446 $ 38.09

February 29, 2020 1,453 35.48

March 31, 2020 1,461 32.05

April 30, 2020 1,432 36.79

May 31, 2020 1,435 39.25

June 30, 2020 1,437 40.95

July 31, 2020 1,441 44.09

August 31, 2020 1,444 48.63

September 30, 2020 1,445 46.33

October 31, 2020 1,446 44.75

November 30, 2020 1,446 49.34

December 31, 2020 1,550 51.60





January 31, 2020 1,425,657 $ 14.83 7,865,578 $ 22.26 3,708,898 $ 31.96

February 29, 2020 1,426,727 13.39 7,115,900 20.10 3,643,134 28.86

March 31, 2020 1,480,740 11.16 8,004,749 16.76 3,592,504 24.06

April 30, 2020 1,973,936 12.41 8,018,295 18.65 3,688,011 26.77

May 31, 2020 2,679,882 12.83 7,497,038 19.29 3,706,674 27.68

June 30, 2020 2,989,280 12.75 7,421,962 19.16 3,554,370 27.50

July 31, 2020 2,943,224 13.25 7,410,254 19.92 3,528,667 28.59

August 31, 2020 2,935,280 13.79 7,322,912 20.75 3,489,303 29.78

September 30, 2020 2,907,251 13.45 7,579,057 20.23 3,482,032 29.04

October 31, 2020 2,583,666 13.27 7,424,287 19.97 3,495,283 28.66

November 30, 2020 2,162,542 15.05 7,144,443 22.65 3,314,107 32.51

December 31, 2020 2,149,780 15.62 6,995,990 23.52 3,299,112 33.75

Class N20

Units Unit


January 31, 2020 70,715 $ 108.93

February 29, 2020 70,715 98.34

March 31, 2020 70,715 81.97

April 30, 2020 70,715 91.19

May 31, 2020 70,715 94.29

June 30, 2020 70,715 93.66

July 31, 2020 70,715 97.36

August 31, 2020 100,864 101.38

September 30, 2020 100,864 98.84

October 31, 2020 100,864 97.52

November 30, 2020 145,262 110.62

December 31, 2020 145,262 114.83

Appendix



37





January 31, 2020 4,102,086 $ 15.25 8,344,203 $ 21.53 2,170,898 $ 39.33

February 29, 2020 4,091,152 13.96 8,133,807 19.71 2,148,118 36.01

March 31, 2020 4,241,210 10.98 8,354,267 15.51 2,112,226 28.34

April 30, 2020 4,669,519 12.48 8,276,320 17.64 2,155,714 32.22

May 31, 2020 5,096,940 13.29 7,473,699 18.79 2,152,721 34.33

June 30, 2020 5,100,713 13.76 7,283,470 19.45 2,101,105 35.53

July 31, 2020 4,913,503 14.14 7,248,755 19.99 2,074,703 36.52

August 31, 2020 4,768,407 14.93 6,968,933 21.12 2,055,794 38.58

September 30, 2020 4,670,882 14.43 7,140,812 20.42 2,022,488 37.30

October 31, 2020 3,977,867 14.73 6,740,273 20.85 2,048,616 38.08

November 30, 2020 3,362,029 17.44 6,424,276 24.69 2,032,026 45.10

December 31, 2020 2,956,217 18.95 5,158,970 26.83 1,689,700 49.00

Class N35

Units Unit


January 31, 2020 138,017 $ 43.08

February 29, 2020 137,466 39.43

March 31, 2020 136,536 31.02

April 30, 2020 136,742 35.27

May 31, 2020 136,650 37.56

June 30, 2020 136,217 38.86

July 31, 2020 133,319 39.93

August 31, 2020 132,444 42.18

September 30, 2020 127,812 40.76

October 31, 2020 115,976 41.61

November 30, 2020 115,843 49.26

December 31, 2020 114,869 53.51





January 31, 2020 12,535,478 $ 17.70 87,284,096 $ 26.99 18,008,701 $ 137.55

February 29, 2020 12,410,710 16.24 85,502,404 24.77 17,529,355 126.22

March 31, 2020 12,438,237 14.26 87,314,206 21.75 17,773,641 110.85

April 30, 2020 13,049,193 16.09 82,477,370 24.55 17,755,316 125.07

May 31, 2020 13,708,954 16.85 80,608,123 25.72 17,355,917 131.03

June 30, 2020 13,737,527 17.18 78,121,200 26.23 17,078,288 133.64

July 31, 2020 13,211,713 18.15 75,706,838 27.71 16,151,685 141.18

August 31, 2020 12,881,544 19.45 70,791,947 29.70 15,984,487 151.33

September 30, 2020 12,583,199 18.70 64,526,600 28.57 15,966,411 145.57

October 31, 2020 10,955,796 18.20 61,308,266 27.82 15,874,369 141.72

November 30, 2020 9,575,612 20.19 59,954,553 30.86 15,227,005 157.24

December 31, 2020 8,763,829 20.96 49,743,218 32.05 15,105,286 163.27

Appendix



38

Wells Fargo/Blackrock S&P 500 Index CIT (continued)

Class N5 Class N20

Units Unit Units Unit

outstanding valuation outstanding valuation

January 31, 2020 497,978 $ 184.26 265,551 $ 23.03

February 29, 2020 483,604 169.08 261,601 21.13

March 31, 2020 494,581 148.48 262,285 18.56

April 30, 2020 494,255 167.52 267,298 20.94

May 31, 2020 491,322 175.49 267,619 21.93

June 30, 2020 237,649 178.98 262,838 22.36

July 31, 2020 238,731 189.07 259,114 23.62

August 31, 2020 237,142 202.66 261,560 25.31

September 30, 2020 238,742 194.94 260,750 24.35

October 31, 2020 227,955 189.77 255,820 23.70

November 30, 2020 232,987 210.55 257,125 26.29

December 31, 2020 237,414 218.62 258,106 27.29





January 31, 2020 7,853,813 $ 15.44 32,452,566 $ 22.91 6,790,119 $ 50.50

February 29, 2020 7,818,669 13.97 31,494,245 20.73 6,761,995 45.70

March 31, 2020 8,011,540 11.23 36,034,484 16.67 6,601,953 36.74

April 30, 2020 7,758,411 12.82 35,522,615 19.04 6,609,934 41.96

May 31, 2020 6,861,840 13.75 34,097,373 20.43 6,662,503 45.04

June 30, 2020 6,263,316 13.92 33,451,684 20.68 6,589,564 45.59

July 31, 2020 5,995,985 14.56 32,926,515 21.64 5,792,268 47.69

August 31, 2020 5,812,251 15.07 31,794,456 22.40 5,730,706 49.37

September 30, 2020 5,706,628 14.58 31,340,015 21.68 5,544,036 47.78

October 31, 2020 5,274,366 14.89 29,511,936 22.15 5,529,157 48.82

November 30, 2020 4,863,619 17.01 27,673,924 25.31 5,517,512 55.79

December 31, 2020 4,553,559 18.12 20,710,411 26.96 5,313,200 59.42

Class N35

Units Unit


January 31, 2020 100,726 $ 180.95

February 29, 2020 100,415 163.72

March 31, 2020 100,361 131.60

April 30, 2020 104,731 150.24

May 31, 2020 72,052 161.20

June 30, 2020 72,933 163.14

July 31, 2020 72,568 170.60

August 31, 2020 70,886 176.55

September 30, 2020 66,783 170.82

October 31, 2020 65,221 174.49

November 30, 2020 65,315 199.34

December 31, 2020 60,324 212.24

Appendix



39


Class TR Class F Class S1(1)



January 31, 2020 18,205,585 $ 1.00 223,087,127 $ 1.00 944,718,415 $ 1.00

February 29, 2020 18,543,606 1.00 402,219,728 1.00 970,217,352 1.00

March 31, 2020 17,998,214 1.00 255,720,120 1.00 1,127,638,083 1.00

April 30, 2020 17,622,097 1.00 209,565,212 1.00 1,074,783,367 1.00

May 31, 2020 16,997,090 1.00 205,578,634 1.00 1,092,874,597 1.00

June 30, 2020 17,339,711 1.00 217,682,795 1.00 1,059,105,753 1.00

July 31, 2020 16,632,885 1.00 204,307,031 1.00 929,128,695 1.00

August 31, 2020 17,266,817 1.00 220,511,083 1.00 832,151,019 1.00

September 30, 2020 19,087,635 1.00 470,334,055 1.00 902,655,120 1.00

October 31, 2020 17,888,563 1.00 464,495,485 1.00 837,952,796 1.00

November 30, 2020 16,599,878 1.00 458,385,857 1.00 793,220,965 1.00

December 31, 2020 17,107,252 1.00 437,577,197 1.00 776,974,352 1.00

Class S Class N(2)

Units Unit Units Unit

outstanding valuation outstanding valuation

January 31, 2020 4,556,150,119 $ 1.00 - $ -

February 29, 2020 6,089,193,677 1.00 - -

March 31, 2020 8,443,352,294 1.00 - -

April 30, 2020 7,733,998,362 1.00 - -

May 31, 2020 8,097,634,718 1.00 - -

June 30, 2020 8,943,346,225 1.00 - -

July 31, 2020 9,736,980,778 1.00 - -

August 31, 2020 8,739,819,240 1.00 - -

September 30, 2020 9,505,523,620 1.00 29,975,142 1.00

October 31, 2020 11,067,631,690 1.00 32,827,938 1.00

November 30, 2020 9,585,557,679 1.00 31,644,889 1.00

December 31, 2020 7,884,749,550 1.00 31,974,066 1.00


(commencement of operations) to December 31, 2020.





January 31, 2020 25,706,199 $ 11.86 59

wells fargo bank, n.a. · wells fargo/blackrock u.s. aggregate bond index cit 43 notes to financial...

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