Wells Fargo Bank, N.A. · Net investment income (loss) $ 21,693,463 Net realized gain (loss) on investment 28,405,445 Net change in unrealized appreciation (depreciation) of investment

Wells Fargo Bank, N.A.Collective Investment FundsAnnual Report 2019

Table of Contents

Page

Independent Auditors’ Report 1

Financial Statements:

Wells Fargo Core Bond CIT 3

Wells Fargo Core Bond II CIT 28

Wells Fargo Discovery CIT 53

Wells Fargo Emerging Markets Equity CIT 61

Wells Fargo Enhanced Stock Market CIT 70

Wells Fargo Growth CIT 80

Wells Fargo Large Cap Intrinsic Value CIT 88

Wells Fargo Liability Driven Solution CIT I 95

Wells Fargo Liability Driven Solution CIT II 124

Wells Fargo Liability Driven Solution CIT III 151

Wells Fargo Premier Large Company Growth CIT 165

Wells Fargo Special Mid Cap Value CIT 173

Wells Fargo Special Small Cap Value CIT 181

Notes to Financial Statements 190

Regulatory Statement 209

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 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”), thirteen of the separate collective investment trusts

constituting Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, which comprise the

statements of assets and liabilities, including the schedules of investments, as of December 31, 2019, the

related statements of operations and changes in net assets for the year then ended, and the related notes to

the financial statements (collectively, the financial statements) and the financial highlights for the year then

ended.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements and financial

highlights in accordance with U.S. generally accepted accounting principles; this includes the design,

implementation, and maintenance of internal control relevant to the preparation and fair presentation of

financial statements and financial highlights that are free from material misstatement, whether due to fraud or

error.

Auditors’ Responsibility

Our responsibility is to express an opinion on these financial statements and financial highlights based on our

audits. We conducted our audits in accordance with auditing standards generally accepted in the United States

of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about

whether the financial statements and financial highlights are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the

financial statements and financial highlights. The procedures selected depend on the auditors’ judgment,

including the assessment of the risks of material misstatement of the financial statements and financial

highlights, whether due to fraud or error. In making those risk assessments, the auditor considers internal

control relevant to the entity’s preparation and fair presentation of the financial statements and financial

highlights in order to design audit procedures that are appropriate in the circumstances, but not for the purpose

of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such

opinion. An audit also includes evaluating the appropriateness of accounting policies used and the

reasonableness of significant accounting estimates made by management, as well as evaluating the overall

presentation of the financial statements and financial highlights.

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

audit opinion.

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

KPMG LLPTwo Financial Center60 South StreetBoston, MA 02111

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, 2019, and the results of their operations and

the financial highlights for the year then ended in accordance with U.S. generally accepted accounting

principles.

Boston, Massachusetts

April 29, 2020

See accompanying notes to financial statements. 3

WELLS FARGO CORE BOND CIT

Statement of Assets and Liabilities

December 31, 2019

Cost

Fair

value

Assets:

Affiliated short term investment $ 9,579,262 $ 9,579,262

Unaffiliated investments 812,296,951 823,358,030

Cash 35,818

Receivable for investment securities sold 39,260,878

Accrued interest income 4,058,506

Fund shares sold 964,800

Total assets 877,257,294

Liabilities:

Payable for investment securities purchased 77,796,388

Fund shares repurchased 688,856

Accrued expenses 132,134

Total liabilities 78,617,378

Net assets $ 798,639,916

Class Net Assets

Shares

Outstanding Net Asset Value

TR $ 56,096,026 3,630,759 $ 15.45

F $ 653,894,025 53,626,864 $ 12.19

N $ 88,649,865 2,124,099 $ 41.74



Statement of Operations

Year ended December 31, 2019

Investment income:

Interest income (net of foreign taxes withheld of $342) $ 22,801,483

Dividend income from affiliated short term investment 391,385

Total income 23,192,868

Expenses:

Administration, Advisory, and/or Trustee Fees 1,322,005

Program fees (Class TR shares) 177,400

Total expenses 1,499,405

Net investment income (loss) 21,693,463

Realized and unrealized gain (loss) on investment transaction:

Net realized gain (loss) on:

Investments 28,405,445

Net change in unrealized appreciation (depreciation) on:


Net gain (loss) on investment 41,064,810

Net change in net assets resulting from operations $ 62,758,273



Statement of Changes in Net Assets


Increase/(decrease) in net assets from operations:

Net investment income (loss) $ 21,693,463

Net realized gain (loss) on investment 28,405,445

Net change in unrealized appreciation (depreciation) of investment 12,659,365

Net increase (decrease) in net assets resulting from

operations 62,758,273

Participating share holder transactions:

Class TR proceeds from issuance of shares (1,030,838 shares) 15,370,638

Class TR payments for withdrawals (1,256,771 shares) (18,792,238)

Net change (3,421,600)

Class F proceeds from issuance of shares (8,553,951 shares) 101,099,493

Class F payments for withdrawals (7,227,511 shares) (85,819,275)

Net change 15,280,218

Class N proceeds from issuance of shares (1,055,509 shares) 42,862,273

Class N payments for withdrawals (813,452 shares) (32,970,289)


Change in net assets derived from share transactions 21,750,602

Total increase (decrease) in net assets 84,508,875

Net assets:

Beginning of year (3,856,692 Class TR shares, 52,300,424 Class F

shares, 1,882,042 Class N shares) 714,131,041

End of year (3,630,759 Class TR shares, 53,626,864 Class F shares,

2,124,099 Class N shares) $ 798,639,916


Schedule of Investments

December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Bonds: 24.96%

Basic Materials: 0.74%

Barrick Gold Corp 55,000 3.85 % 04/01/22 BBB $ 56,803 $ 57,221

Barrick North America Finance LLC 539,000 5.70 05/30/41 BBB 635,650 663,209


Celulosa Arauco y Constitucion SA(1) 308,000 4.20 01/29/30 BBB- 307,791 308,924


Dow Chemical Co 183,000 4.25 10/01/34 BBB 181,920 200,229

DuPont de Nemours, Inc 719,000 4.21 11/15/23 A- 766,927 768,612


Huntsman International LLC 218,000 5.13 11/15/22 BB+ 225,667 232,744


Minera Mexico SA de CV(1) 275,000 4.50 01/26/50 BBB+ 272,683 279,813

Mosaic Co 303,000 4.05 11/15/27 BBB- 302,744 314,296

Mosaic Co 191,000 5.63 11/15/43 BBB- 212,888 224,032

Newmont Goldcorp Corp 381,000 3.50 03/15/22 BBB 391,562 390,936

Teck Resources Ltd 542,000 6.25 07/15/41 BBB- 576,942 619,939

Westlake Chemical Corp 334,000 4.38 11/15/47 BBB 333,720 337,054

Westlake Chemical Corp 51,000 3.60 08/15/26 BBB 52,588 52,819 ____________________________________ ____________________________________

Total Basic Materials 5,704,616 5,878,130 ____________________________________ ____________________________________

Communications: 2.27%

AT&T, Inc 416,000 3.00 02/15/22 BBB 424,468 424,166

AT&T, Inc 253,000 3.90 03/11/24 BBB 268,059 268,927

AT&T, Inc 131,000 4.50 03/09/48 BBB 139,813 144,531

AT&T, Inc 667,000 3.00 06/30/22 BBB 680,978 681,493

AT&T, Inc 532,000 3.40 05/15/25 BBB 515,851 557,231

AT&T, Inc 155,000 5.25 03/01/37 BBB 157,601 184,788

AT&T, Inc 187,000 5.45 03/01/47 BBB 189,725 231,636

AT&T, Inc 584,000 5.15 02/15/50 BBB 616,315 702,454

AT&T, Inc 156,000 5.70 03/01/57 BBB 175,622 200,771

AT&T, Inc 185,000 4.30 02/15/30 BBB 184,416 205,529

AT&T, Inc 261,000 4.85 03/01/39 BBB 250,612 300,323

AT&T, Inc 212,000 3.80 02/15/27 BBB 216,360 225,755

AT&T, Inc 209,000 5.38 10/15/41 BBB 224,394 248,084

AT&T, Inc 130,000 5.35 12/15/43 BBB 138,957 153,733

Charter Communications Operating

LLC / Charter Communications

Operating Capital 1,072,000 4.80 03/01/50 BBB- 1,095,058 1,126,496



Operating Capital 255,000 4.46 07/23/22 BBB- 263,703 267,926




Comcast Corp 345,000 3.45 02/01/50 A- 349,432 352,455

Comcast Corp 1,035,000 2.65 02/01/30 A- 1,041,901 1,037,841

Comcast Corp 398,000 4.00 03/01/48 A- 361,049 441,194

Comcast Corp 662,000 4.60 10/15/38 A- 675,820 787,407

Comcast Corp 133,000 4.70 10/15/48 A- 144,064 163,702

Comcast Corp 197,000 4.95 10/15/58 A- 199,237 255,791

Comcast Corp 657,000 3.45 10/01/21 A- 657,353 676,114

Comcast Corp 523,000 3.70 04/15/24 A- 529,273 557,225



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Bonds (Continued)

Comcast Corp 473,000 3.95 % 10/15/25 A- $ 474,029 $ 515,841

Comcast Corp 267,000 4.15 10/15/28 A- 295,617 300,345

Rogers Communications, Inc 431,000 3.70 11/15/49 BBB+ 432,416 433,635

Telefonica Emisiones SA 543,000 5.52 03/01/49 BBB 608,080 679,203

Time Warner Cable LLC 184,000 6.55 05/01/37 BBB- 199,139 225,253

Verizon Communications, Inc 287,000 4.02 12/03/29 BBB+ 303,964 320,578









Vodafone Group PLC 1,019,000 4.25 09/17/50 BBB 1,022,763 1,060,167

Walt Disney Co 795,000 1.75 08/30/24 A 791,910 787,510

Walt Disney Co 529,000 2.00 09/01/29 A 521,310 512,773

Walt Disney Co 121,000 2.75 09/01/49 A 116,945 113,801 ____________________________________ ____________________________________

Total Communications 16,833,201 18,163,418 ____________________________________ ____________________________________

Consumer, Cyclical: 1.10%

Costco Wholesale Corp 257,000 3.00 05/18/27 A+ 254,675 270,814

CVS Health Corp 394,000 4.00 12/05/23 BBB 396,870 416,684

Ford Motor Co 1,311,000 4.75 01/15/43 BBB- 1,085,058 1,159,510

Ford Motor Credit Co LLC 579,000 4.06 11/01/24 BBB- 578,840 590,503

General Motors Co 199,000 5.40 04/01/48 BBB 196,302 205,542


Home Depot, Inc 259,000 4.50 12/06/48 A 313,149 318,912

Lowe's Cos, Inc 1,247,000 3.65 04/05/29 BBB+ 1,248,263 1,331,864

McDonald's Corp 427,000 2.63 09/01/29 BBB+ 423,537 426,969


Starbucks Corp 367,000 3.75 12/01/47 BBB+ 366,543 380,259


Walmart, Inc 464,000 2.95 09/24/49 AA 459,371 460,449

Walmart, Inc 372,000 2.38 09/24/29 AA 372,430 371,882

Walmart, Inc 563,000 3.55 06/26/25 AA 577,218 604,191

Walmart, Inc 1,227,000 3.70 06/26/28 AA 1,229,859 1,351,973

Walmart, Inc 6,000 4.05 06/29/48 AA 5,751 7,088 ____________________________________ ____________________________________

Total Consumer, Cyclical 8,296,826 8,760,907 ____________________________________ ____________________________________

Consumer, Non-cyclical: 5.07%

Abbott Laboratories 355,000 3.75 11/30/26 A- 354,024 387,637


AbbVie, Inc(1) 2,390,000 2.30 11/21/22 A- 2,391,096 2,401,336

AbbVie, Inc(1) 1,589,000 2.60 11/21/24 A- 1,591,346 1,598,097

AbbVie, Inc(1) 161,000 4.05 11/21/39 A- 162,644 170,146

AbbVie, Inc(1) 441,000 4.25 11/21/49 A- 443,276 464,127

AbbVie, Inc(1) 295,000 2.95 11/21/26 A- 296,652 299,411

AbbVie, Inc(1) 871,000 3.20 11/21/29 A- 876,671 885,523

AbbVie, Inc 1,006,000 2.50 05/14/20 A- 1,006,921 1,007,509

Aetna, Inc 212,000 3.88 08/15/47 BBB 185,543 214,971

Altria Group, Inc 563,000 4.80 02/14/29 BBB 605,184 626,741



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Altria Group, Inc 137,000 5.95 % 02/14/49 BBB $ 148,897 $ 165,640

Anheuser-Busch Cos LLC / Anheuser-

Busch InBev Worldwide, Inc 491,000 4.70 02/01/36 A- 569,561 566,296


Busch InBev Worldwide, Inc 1,126,000 4.90 02/01/46 A- 1,113,298 1,331,651

Anheuser-Busch InBev Worldwide,

Inc 107,000 4.60 04/15/48 A- 123,520 121,738


Inc 216,000 5.55 01/23/49 A- 254,466 279,808


Inc 572,000 4.15 01/23/25 A- 589,496 622,302


Inc 466,000 4.90 01/23/31 A- 473,445 554,430

BAT Capital Corp 41,000 4.54 08/15/47 BBB+ 40,934 41,114




Becton Dickinson and Co 328,000 4.69 12/15/44 BBB 325,371 382,758





Boston Scientific Corp 495,000 4.70 03/01/49 BBB- 542,894 600,465



Bristol-Myers Squibb Co(1) 262,000 2.88 02/19/21 A+ 264,110 264,971




Bristol-Myers Squibb Co(1) 1,147,000 2.60 05/16/22 A+ 1,145,699 1,165,567






Cigna Corp(1) 659,000 3.40 03/01/27 A- 675,449 684,151

Cigna Corp 595,000 3.40 09/17/21 A- 594,773 608,914

Cigna Corp 734,000 3.75 07/15/23 A- 732,234 769,288

Cigna Corp 57,000 4.80 08/15/38 A- 55,570 66,329

Cigna Corp 340,000 4.90 12/15/48 A- 348,321 404,876

Constellation Brands, Inc 512,000 3.15 08/01/29 BBB 516,764 517,134













December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


CVS Health Corp 582,000 4.10 % 03/25/25 BBB $ 600,642 $ 624,278

Danaher Corp 546,000 3.35 09/15/25 A 575,952 580,259

Danone SA(1) 1,866,000 2.95 11/02/26 BBB+ 1,735,075 1,904,269

DH Europe Finance II Sarl 553,000 3.40 11/15/49 A 559,573 561,479




Estee Lauder Cos, Inc 490,000 3.13 12/01/49 A+ 486,290 488,577


Gilead Sciences, Inc 267,000 3.65 03/01/26 A 281,433 287,120

Global Payments, Inc 311,000 3.20 08/15/29 BBB- 316,741 317,186


Hershey Co 553,000 2.05 11/15/24 A 552,575 553,822

Kraft Heinz Foods Co 392,000 4.38 06/01/46 BBB- 380,725 385,298


Merck & Co, Inc 188,000 3.70 02/10/45 AA 211,248 207,349

Merck & Co, Inc 168,000 4.00 03/07/49 AA 168,112 196,382

Merck & Co, Inc 468,000 3.40 03/07/29 AA 476,016 506,326

Pfizer, Inc 136,000 3.00 12/15/26 AA- 139,345 142,805

Pfizer, Inc 259,000 2.80 03/11/22 AA- 259,039 264,351

Pfizer, Inc 148,000 4.10 09/15/38 AA- 149,945 169,016

Reynolds American, Inc 297,000 5.85 08/15/45 BBB+ 332,026 339,975

Trustees of the University of

Pennsylvania 1,000 3.61 02/15/2119 AA+ 1,125 1,020

UnitedHealth Group, Inc 292,000 3.70 12/15/25 A+ 298,727 315,704




UnitedHealth Group, Inc 292,000 3.88 08/15/59 A+ 291,876 314,142 ____________________________________ ____________________________________

Total Consumer, Non-cyclical 38,838,326 40,535,716 ____________________________________ ____________________________________

Energy: 2.90%

BP Capital Markets America, Inc 526,000 3.80 09/21/25 A- 526,570 568,723


Canadian Natural Resources Ltd 181,000 3.90 02/01/25 BBB+ 192,646 192,865

Cimarex Energy Co 734,000 4.38 03/15/29 BBB- 743,423 776,253

Devon Energy Corp 432,000 5.60 07/15/41 BBB- 470,450 524,061

Ecopetrol SA 206,000 5.88 05/28/45 BBB- 201,403 242,823

Enbridge, Inc 2,729,000 2.50 01/15/25 BBB+ 2,734,766 2,745,067

Enbridge, Inc 863,000 3.13 11/15/29 BBB+ 868,325 872,443

Enbridge, Inc 561,000 2.90 07/15/22 BBB+ 561,646 571,378

Encana Corp 270,000 6.50 02/01/38 BBB 297,414 318,302

Encana Corp 244,000 6.63 08/15/37 BBB 290,472 294,957

Energy Transfer Operating LP 128,000 5.30 04/15/47 BBB- 138,001 136,279





Enterprise Products Operating LLC 369,000 3.13 07/31/29 BBB+ 370,386 378,632


Equinor ASA 386,000 3.25 11/18/49 AA- 379,985 387,830

Hess Corp 31,000 5.60 02/15/41 BBB- 36,175 36,216



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Hess Corp 96,000 7.13 % 03/15/33 BBB- $ 116,117 $ 121,227

Hess Corp 388,000 6.00 01/15/40 BBB- 428,339 457,423

Hess Corp 114,000 3.50 07/15/24 BBB- 115,194 116,460

Hess Corp 48,000 5.80 04/01/47 BBB- 49,965 58,624

Kinder Morgan Energy Partners LP 41,000 7.30 08/15/33 BBB 51,291 54,795

Marathon Petroleum Corp 713,000 3.63 09/15/24 BBB 746,699 748,327



MPLX LP 257,000 4.80 02/15/29 BBB 281,041 281,718

MPLX LP(1) 257,000 4.25 12/01/27 BBB 269,396 270,284

MPLX LP(1) 377,000 5.20 12/01/47 BBB 357,765 400,384

MPLX LP 354,000 5.50 02/15/49 BBB 380,650 401,025

National Oilwell Varco, Inc 718,000 3.60 12/01/29 BBB+ 708,876 718,915

Noble Energy, Inc 434,000 3.25 10/15/29 BBB 431,657 437,090




Occidental Petroleum Corp 138,000 7.50 05/01/31 BBB 180,963 179,425

Petroleos Mexicanos 163,000 6.50 03/13/27 BBB+ 172,180 173,060

Petroleos Mexicanos 424,600 2.38 04/15/25 424,600 428,881


Petroleos Mexicanos 1,466,000 6.35 02/12/48 BBB+ 1,314,074 1,414,690

Plains All American Pipeline LP /

PAA Finance Corp 843,000 3.55 12/15/29 BBB- 838,842 829,728



Schlumberger Finance Canada Ltd(1) 274,000 2.65 11/20/22 A+ 273,661 278,458

Shell International Finance BV 1,062,000 2.00 11/07/24 AA- 1,059,085 1,059,151

Shell International Finance BV 393,000 3.13 11/07/49 AA- 388,015 386,801

Sunoco Logistics Partners Operations

LP 35,000 5.35 05/15/45 BBB- 36,987 37,544


LP 486,000 5.30 04/01/44 BBB- 488,088 515,958

Total Capital International SA 489,000 2.83 01/10/30 A+ 489,043 501,915

TransCanada PipeLines Ltd 197,000 4.88 05/15/48 BBB+ 235,314 232,182

Western Midstream Operating LP 274,000 5.50 08/15/48 BBB- 309,208 240,412

Williams Cos, Inc 191,000 3.90 01/15/25 BBB 194,958 200,956 ____________________________________ ____________________________________

Total Energy 22,527,148 23,137,928 ____________________________________ ____________________________________

Financial: 7.10%

American International Group, Inc 263,000 4.25 03/15/29 BBB+ 271,884 292,387



Banco Santander SA 400,000 3.31 06/27/29 A 400,000 411,659


Bank of America Corp 766,000 4.18 11/25/27 BBB+ 832,465 829,703

Bank of America Corp(2) 1,363,000 4.27 07/23/29 A- 1,512,550 1,513,043




Bank of America Corp(2) 224,000 4.33 03/15/50 A- 268,843 268,147




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Banque Federative du Credit Mutuel

SA(1) 659,000 2.38 % 11/21/24 A $ 656,618 $ 658,286

Barclays PLC(2) 300,000 5.09 06/20/30 BB+ 330,610 334,049

BB&T Corp 1,600,000 2.50 08/01/24 A- 1,598,872 1,619,176

BNP Paribas SA(1)(2) 2,181,000 2.82 11/19/25 A- 2,195,697 2,204,824

Charles Schwab Corp 1,184,000 3.25 05/22/29 A 1,190,785 1,251,894

Citigroup, Inc(2) 772,000 2.98 11/05/30 BBB+ 770,444 782,823


Commonwealth Bank of Australia(1)(2) 539,000 3.61 09/12/34 BBB+ 539,000 541,419

Commonwealth Bank of Australia(1) 236,000 3.74 09/12/39 BBB+ 230,174 236,361

Credit Agricole SA(1) 1,183,000 2.38 01/22/25 A+ 1,180,563 1,180,711

Danske Bank AS(1)(2) 1,367,000 3.00 09/20/22 BBB+ 1,367,000 1,377,545

Danske Bank AS(1)(2) 1,703,000 3.24 12/20/25 BBB+ 1,704,211 1,721,969

Equinix, Inc 762,000 2.63 11/18/24 BBB- 764,198 763,417

Equinix, Inc 762,000 2.90 11/18/26 BBB- 763,427 763,333

Equinix, Inc 701,000 3.20 11/18/29 BBB- 702,400 703,608

GE Capital International Funding Co

Unlimited Co 1,165,000 4.42 11/15/35 BBB+ 1,200,311 1,240,464

General Electric Co 95,000 3.10 01/09/23 BBB+ 95,205 97,007

GLP Capital LP / GLP Financing II,

Inc 273,000 5.30 01/15/29 BBB- 277,983 303,221


Inc 507,000 4.00 01/15/30 BBB- 508,311 517,495

HSBC Holdings PLC(2) 244,000 4.04 03/13/28 A 259,154 260,781




JPMorgan Chase & Co(2) 1,706,000 2.74 10/15/30 A- 1,696,190 1,703,555


JPMorgan Chase & Co(2) 153,000 3.22 03/01/25 A- 157,091 158,521




JPMorgan Chase & Co 488,000 2.95 10/01/26 A- 501,546 502,481





KeyCorp 1,013,000 2.55 10/01/29 BBB+ 1,010,124 989,136

Liberty Mutual Group, Inc(1) 59,000 3.95 10/15/50 BBB 60,456 61,164


Lincoln National Corp 882,000 3.05 01/15/30 A- 881,110 886,335

MDGH - GMTN BV(1) 620,000 2.88 11/07/29 613,394 625,279

Mid-America Apartments LP 276,000 3.95 03/15/29 BBB+ 290,428 301,092





Mizuho Financial Group, Inc(2) 697,000 2.72 07/16/23 A- 703,472 705,044


Morgan Stanley(2) 128,000 3.97 07/22/38 BBB+ 137,564 141,856



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Morgan Stanley(2) 249,000 4.46 % 04/22/39 BBB+ $ 258,998 $ 292,868

Morgan Stanley 1,060,000 2.63 11/17/21 BBB+ 1,060,664 1,072,388

Nationwide Building Society(1)(2) 519,000 4.36 08/01/24 BBB+ 548,204 550,250

Nationwide Financial Services, Inc(1) 651,000 3.90 11/30/49 A 650,591 676,261

Prudential Financial, Inc 166,000 3.70 03/13/51 A 165,555 174,140


Regency Centers LP 588,000 2.95 09/15/29 BBB+ 588,721 586,789

Royal Bank of Canada 1,162,000 2.25 11/01/24 A 1,160,625 1,167,365

SITE Centers Corp 230,000 4.63 07/15/22 BBB- 233,607 239,793

Societe Generale SA(1) 787,000 2.63 10/16/24 BBB+ 784,735 786,595

Spirit Realty LP 326,000 3.40 01/15/30 BBB 325,537 327,233

State Street Corp(2) 1,005,000 2.35 11/01/25 A 1,006,519 1,008,457

STORE Capital Corp 200,000 4.63 03/15/29 BBB 199,459 221,723

STORE Capital Corp 1,021,000 4.50 03/15/28 BBB 1,017,071 1,115,916

Sumitomo Mitsui Financial Group, Inc 1,326,000 2.70 07/16/24 A- 1,326,000 1,343,875


Truist Bank 1,032,000 2.15 12/06/24 A 1,030,272 1,029,376

Trust F/1401(1) 236,000 6.39 01/15/50 253,285 253,702

UBS Group AG(1)(2) 722,000 3.13 08/13/30 A- 731,796 734,473

Westpac Banking Corp(2) 318,000 4.11 07/24/34 BBB+ 318,000 332,873 ____________________________________ ____________________________________

Total Financial 55,559,770 56,716,086 ____________________________________ ____________________________________

Industrial: 1.98%

Boeing Co 485,000 2.95 02/01/30 A- 499,691 495,705

Boeing Co 102,000 3.75 02/01/50 A- 108,328 108,109

Boeing Co 732,000 2.70 02/01/27 A- 746,537 741,351

Boeing Co 281,000 3.50 03/01/39 A- 264,922 289,418

Boeing Co 573,000 2.70 05/01/22 A- 579,580 581,725

Boeing Co 733,000 3.10 05/01/26 A- 732,723 755,777

Boeing Co 355,000 3.90 05/01/49 A- 353,425 384,142

Burlington Northern Santa Fe LLC 148,000 4.90 04/01/44 A+ 164,392 184,042


Caterpillar Financial Services Corp 718,000 2.15 11/08/24 A 718,299 720,192

Caterpillar, Inc 375,000 3.25 09/19/49 A 375,046 375,221


Crowley Conro LLC 371,520 4.18 08/15/43 371,520 414,800

CSX Corp 35,000 4.30 03/01/48 BBB+ 39,144 39,661

CSX Corp 317,000 2.40 02/15/30 BBB+ 315,775 309,752

CSX Corp 539,000 3.35 09/15/49 BBB+ 527,479 529,783

CSX Corp 187,000 4.75 11/15/48 BBB+ 186,064 226,216



Lockheed Martin Corp 276,000 4.07 12/15/42 A- 274,168 315,581

Northrop Grumman Corp 279,000 4.03 10/15/47 BBB 313,629 311,108





Packaging Corp of America 438,000 3.00 12/15/29 BBB 438,894 439,591

Union Pacific Corp 479,000 2.95 03/01/22 A- 478,951 489,296





December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


United Technologies Corp 494,000 3.10 % 06/01/22 BBB+ $ 507,295 $ 506,433

United Technologies Corp 363,000 2.80 05/04/24 BBB+ 373,239 372,863





United Technologies Corp 1,469,000 3.65 08/16/23 BBB+ 1,497,145 1,547,490 ____________________________________ ____________________________________

Total Industrial 15,298,490 15,778,131 ____________________________________ ____________________________________

Technology: 1.74%

Apple, Inc 722,000 1.80 09/11/24 AA+ 719,805 716,876

Apple, Inc 868,000 2.05 09/11/26 AA+ 863,047 860,857

Apple, Inc 1,309,000 2.20 09/11/29 AA+ 1,303,777 1,282,444

Apple, Inc 487,000 2.95 09/11/49 AA+ 480,956 471,608

Apple, Inc 992,000 3.20 05/11/27 AA+ 975,607 1,045,583

Apple, Inc 237,000 4.25 02/09/47 AA+ 240,298 282,877

Apple, Inc 159,000 3.20 05/13/25 AA+ 155,285 167,841

Broadcom Corp / Broadcom Cayman

Finance Ltd 656,000 3.88 01/15/27 BBB- 656,753 680,703

Broadcom, Inc(1) 466,000 4.25 04/15/26 BBB- 461,565 495,117

Fiserv, Inc 465,000 3.20 07/01/26 BBB 465,382 480,980

Fiserv, Inc 484,000 3.50 07/01/29 BBB 484,181 508,006

Fiserv, Inc 245,000 4.40 07/01/49 BBB 244,422 277,250

Fiserv, Inc 46,000 4.20 10/01/28 BBB 46,013 50,981

Intel Corp 840,000 2.45 11/15/29 A+ 841,803 836,410

Intel Corp 280,000 3.25 11/15/49 A+ 287,178 281,273

International Business Machines Corp 464,000 3.30 05/15/26 A 463,713 488,970



Micron Technology, Inc 364,000 4.66 02/15/30 BBB- 383,845 400,483

Microsoft Corp 132,000 3.70 08/08/46 AAA 132,651 148,833





NXP BV / NXP Funding LLC / NXP

USA, Inc(1) 793,000 3.88 06/18/26 BBB- 800,386 840,293


USA, Inc(1) 90,000 4.30 06/18/29 BBB- 96,843 97,192

Oracle Corp 195,000 3.80 11/15/37 A+ 200,835 212,610

Oracle Corp 562,000 4.00 11/15/47 A+ 594,654 627,182

Oracle Corp 357,000 2.63 02/15/23 A+ 357,622 364,366

Oracle Corp 191,000 2.95 11/15/24 A+ 191,421 198,365 ____________________________________ ____________________________________

Total Technology 13,212,879 13,886,726 ____________________________________ ____________________________________

Utilities: 2.06%

Alabama Power Co 662,000 3.45 10/01/49 A 665,038 676,861

Black Hills Corp 723,000 3.05 10/15/29 BBB+ 726,691 719,337


CenterPoint Energy Resources Corp 394,000 4.10 09/01/47 BBB+ 422,844 412,190

CenterPoint Energy, Inc 54,000 2.50 09/01/22 BBB 52,493 54,422




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


CenterPoint Energy, Inc 589,000 2.50 % 09/01/24 BBB $ 588,246 $ 589,319

Consolidated Edison Co of New York,

Inc 241,000 3.88 06/15/47 A- 263,753 260,497

Dominion Energy, Inc 381,000 2.00 08/15/21 BBB 380,150 380,766

DTE Energy Co 601,000 2.53 10/01/24 BBB 605,726 603,357

Duke Energy Corp 571,000 1.80 09/01/21 BBB+ 570,406 570,331

Edison International 128,000 4.13 03/15/28 BBB- 133,467 131,186


Enel Finance International NV(1) 243,000 3.50 04/06/28 BBB+ 245,473 248,449





Eversource Energy 132,000 3.15 01/15/25 BBB+ 136,573 136,105

FirstEnergy Corp 513,000 3.90 07/15/27 BBB- 548,378 548,122




Interstate Power & Light Co 256,000 3.50 09/30/49 A- 257,863 250,319

ITC Holdings Corp 545,000 2.70 11/15/22 BBB+ 554,269 551,517

Jersey Central Power & Light Co(1) 238,000 4.30 01/15/26 BBB 259,239 258,914

Metropolitan Edison Co(1) 428,000 4.30 01/15/29 BBB 439,562 476,579

Mid-Atlantic Interstate Transmission

LLC(1) 532,000 4.10 05/15/28 BBB 532,803 581,542

Mississippi Power Co 400,000 4.25 03/15/42 A- 412,444 428,927


NiSource, Inc 92,000 4.38 05/15/47 BBB+ 102,135 101,759

NiSource, Inc 376,000 2.95 09/01/29 BBB+ 377,920 374,191

Pennsylvania Electric Co(1) 230,000 3.25 03/15/28 BBB 237,378 235,492

PPL Capital Funding, Inc 363,000 5.00 03/15/44 BBB+ 403,579 416,877





Southern California Edison Co 39,000 6.00 01/15/34 A- 47,186 47,950







Virginia Electric & Power Co 398,000 3.30 12/01/49 BBB+ 397,250 400,452 ____________________________________ ____________________________________

Total Utilities 16,101,491 16,451,997 ____________________________________ ____________________________________

Total Corporate Bonds 192,372,747 199,309,039 ____________________________________ ____________________________________

Foreign Government Bonds: 0.58%

Japan: 0.09%

Japan Bank for International

Cooperation 740,000 1.75 10/17/24 A+ 739,593 729,448 ____________________________________ ____________________________________

Total Japan 739,593 729,448 ____________________________________ ____________________________________



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Foreign Government Bonds (Continued)

Mexico: 0.27%

Mexico Government International

Bond 1,545,000 4.50 % 04/22/29 BBB+ $ 1,580,779 $ 1,694,092


Bond 456,000 4.60 02/10/48 BBB+ 414,527 499,325 ____________________________________ ____________________________________

Total Mexico 1,995,306 2,193,417 ____________________________________ ____________________________________

Paraguay: 0.06%

Paraguay Government International

Bond(1) 386,000 5.40 03/30/50 BB 390,871 445,348 ____________________________________ ____________________________________

Total Paraguay 390,871 445,348 ____________________________________ ____________________________________

United Arab Emirates: 0.16%

Abu Dhabi Government International

Bond(1) 308,000 3.13 09/30/49 AA 300,778 300,300


Bond(1) 420,000 2.13 09/30/24 AA 417,992 418,551


Bond(1) 554,000 2.50 09/30/29 AA 551,998 551,922 ____________________________________ ____________________________________

Total United Arab Emirates 1,270,768 1,270,773 ____________________________________ ____________________________________

Total Foreign Government Bonds 4,396,538 4,638,986 ____________________________________ ____________________________________

Government/Agency Bonds: 62.95%

Federal Agencies: 35.90%

FHLMC 1,171,807 3.00 05/15/50 1,196,295 1,193,768

FHLMC #4426 QC 894,042 1.75 07/15/37 889,040 882,842

FHLMC #QA0244 782,724 3.00 06/01/49 785,245 795,005

FHLMC #4897 F(2) 322,532 2.14 07/15/49 322,433 320,641

FHLMC #4705 A 827,223 4.50 09/15/42 885,618 888,603

FHLMC #4742 PA 2,855,833 3.00 10/15/47 2,865,254 2,923,345

FHLMC #4763 CA 228,861 3.00 09/15/38 225,973 235,275

FHLMC #4786 DP 518,460 4.50 07/15/42 537,160 528,561

FHLMC #4767 KA 1,010,886 3.00 03/15/48 1,006,726 1,037,563

FHLMC #4802 A 1,992,608 3.00 06/15/48 1,914,470 2,024,361

FHLMC #4796 AK 2,025,229 3.00 05/15/48 1,933,090 2,058,355

FHLMC #264 30 1,975,486 3.00 07/15/42 1,889,830 2,015,640

FHLMC(2) 885,480 2.04 08/15/40 882,084 879,469

FHLMC(2) 281,414 2.09 12/15/48 279,945 280,415

FHLMC POOL #C92010 2,861,418 4.00 08/01/38 3,006,053 2,994,622

FHLMC POOL #J32364 6,533,502 2.50 11/01/28 6,597,401 6,620,183

FHLMC POOL #ZN6141 1,658,415 4.00 05/01/49 1,763,932 1,772,807

FHLMC POOL #ZT1912 628,196 4.00 03/01/49 670,222 671,275

FHLMC POOL #G67720 442,811 4.50 03/01/49 483,690 488,517

FHLMC POOL #QA5624 176,000 3.00 12/01/49 179,959 181,067

FHLMC POOL #QA5699 135,000 3.00 12/01/49 138,037 138,886

FHLMC POOL #ZM7669 372,512 3.50 08/01/48 391,338 391,292

FHLMC POOL #ZT1380 238,685 4.00 01/01/48 255,701 256,768

FHLMC POOL #SD0094 1,475,668 3.50 09/01/49 1,544,537 1,555,737

FHLMC POOL #SD7501 8,326,678 4.00 07/01/49 8,864,899 8,900,821

FHLMC POOL #SD7506 9,655,440 4.00 09/01/49 10,297,990 10,327,083

FHLMC POOL #G67711 3,949,549 4.00 03/01/48 4,217,602 4,226,609

FHLMC POOL #RA1729 2,679,083 3.50 11/01/49 2,761,796 2,772,505



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Government/Agency Bonds (Continued)

FHLMC POOL #RA1870 3,458,621 3.00 % 12/01/49 $ 3,518,410 $ 3,510,662

FHLMC POOL #800163 799,532 2.85 10/15/37 794,207 792,901

FHLMC POOL #J24065 410,181 2.50 06/01/28 416,065 415,622

FHLMC POOL #J24196 438,128 2.50 06/01/28 444,545 443,944

FHLMC POOL #ZA6377 3,359,716 4.00 02/01/49 3,494,261 3,492,341

FHLMC POOL #ZT2046 890,229 3.50 04/01/49 934,278 938,529

FHLMC POOL #SD7500 1,889,603 4.00 07/01/49 2,033,956 2,042,990

FHLMC POOL #QA0928 430,114 3.50 07/01/49 441,489 444,435

FHLMC POOL #QA2272 330,667 3.50 09/01/49 341,035 341,191

FHLMC POOL #RA1105 1,042,515 3.50 07/01/49 1,082,055 1,099,078

FHLMC POOL #RA1191 1,408,888 3.50 08/01/49 1,463,568 1,478,641

FHLMC POOL #B70786 28,458 4.50 06/01/39 31,211 31,463

FHLMC POOL #B70787 31,193 4.50 07/01/39 34,213 34,494

FHLMC POOL #G30954 290,054 4.00 10/01/36 306,280 309,062

FHLMC POOL #G31036 633,801 4.00 04/01/37 669,472 679,887

FHLMC POOL #K92348 31,241 4.00 01/01/35 32,853 33,653

FHLMC POOL #K93410 50,901 4.00 01/01/36 54,002 54,362

FHLMC POOL #K93870 39,511 4.00 03/01/37 41,585 42,386

FHLMC POOL #K93872 43,157 4.00 03/01/37 45,479 46,482

FHLMC POOL #K93873 74,247 4.00 03/01/37 78,054 79,285

FHLMC POOL #V84276 1,400,253 5.00 05/01/48 1,503,332 1,550,818

FHLMC POOL #Q54449 375,328 3.50 02/01/48 375,771 393,237

FHLMC POOL #QA2370 128,288 3.50 09/01/49 134,223 135,249

FNMA 730,080 1.50 01/25/43 698,230 698,568

FNMA(2) 664,743 2.24 11/25/49 661,219 661,132

FNMA 1,687,425 1.50 01/25/43 1,643,249 1,636,337

FNMA 2,170,365 1.70 08/25/33 2,152,923 2,128,854

FNMA 2,878,981 2.00 06/25/38 2,857,632 2,844,582

FNMA 563,634 3.00 11/25/43 572,341 574,615

FNMA(2) 408,668 2.14 07/25/49 407,023 406,988

FNMA(2) 2,125,960 2.24 08/25/49 2,120,694 2,119,644

FNMA(2) 740,625 2.24 10/25/49 739,937 737,141

FNMA(2) 575,253 2.24 10/25/49 574,718 574,253

FNMA(2) 1,329,293 2.19 12/25/49 1,324,945 1,327,141

FNMA(2) 1,417,278 2.04 11/25/48 1,408,164 1,407,532

FNMA(2) 515,595 2.18 04/25/59 514,722 515,048

FNMA 235,821 1.50 04/25/43 222,338 226,103

FNMA(2) 274,000 2.96 02/25/27 276,013 284,214

FNMA 699,162 3.00 08/25/46 712,790 719,943

FNMA 894,815 2.50 03/25/47 852,137 891,805

FNMA 1,157,670 3.00 03/25/48 1,151,034 1,186,429

FNMA 296,425 3.00 03/25/48 294,748 304,446

FNMA 1,680,325 3.00 06/25/48 1,605,997 1,701,878

FNMA 1,795,620 3.50 10/25/42 1,769,528 1,882,854

FNMA(2) 1,722,971 2.24 10/25/46 1,724,551 1,721,663

FNMA(2) 888,908 2.14 05/25/49 887,138 882,277

FNMA 703,200 3.00 07/25/49 702,876 726,400

FNMA 987,525 3.00 07/25/49 982,369 1,024,465

FNMA POOL TBA(3) 7,100,000 2.50 01/01/50 7,020,791 7,016,174

FNMA POOL TBA(3) 2,400,000 3.50 03/01/50 2,461,781 2,465,499

FNMA POOL #AL7596(2) 227,473 2.62 11/01/45 230,509 230,818



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


FNMA POOL #BK0456 185,000 4.00 % 12/01/49 $ 197,882 $ 197,870

FNMA POOL #CA4811 2,911,538 3.50 12/01/49 3,019,830 3,009,701

FNMA POOL #CA4822 1,045,682 4.00 12/01/49 1,139,287 1,137,902

FNMA POOL #CA4892 827,000 3.00 12/01/34 848,999 852,973

FNMA POOL #FM1955 1,354,141 4.00 06/01/48 1,457,608 1,458,551

FNMA POOL #MA3361 126,334 4.00 05/01/38 132,552 132,804

FNMA POOL #AS8816 877,535 4.00 02/01/47 938,790 947,034

FNMA POOL #AS9388 475,298 4.00 04/01/47 507,554 509,986

FNMA POOL #AS9585 564,526 4.00 05/01/47 602,837 605,726

FNMA POOL #BF0319 3,954,616 4.00 07/01/48 4,209,299 4,222,286

FNMA POOL #BM4857 2,695,607 4.00 03/01/48 2,913,566 2,939,398

FNMA POOL #BN1637 981,995 4.00 11/01/48 1,045,544 1,049,651

FNMA POOL #BN4752 61,294 4.00 05/01/49 64,859 65,174

FNMA POOL #BN8188 290,795 4.00 06/01/49 307,710 307,459

FNMA POOL #BN8170 515,130 4.00 05/01/49 545,093 546,161

FNMA POOL #CA1194 586,704 4.00 02/01/48 628,531 629,719

FNMA POOL #CA2328 1,150,164 4.00 09/01/48 1,224,596 1,229,409

FNMA POOL #CA2456 974,706 4.00 10/01/48 1,037,784 1,041,861

FNMA POOL #CA2822 993,704 5.50 12/01/48 1,103,920 1,094,527

FNMA POOL #CA4409 2,809,247 4.00 10/01/49 2,999,377 3,004,678

FNMA POOL #CA3827 5,433,041 4.00 07/01/49 5,804,837 5,810,981

FNMA POOL #CA3839 1,732,855 4.50 07/01/49 1,872,025 1,873,930

FNMA POOL #CA4563 3,540,558 3.50 11/01/49 3,657,992 3,664,021

FNMA POOL #AL6779(2) 540,317 2.62 05/01/45 545,653 549,645

FNMA POOL #AL9150(2) 2,556,484 2.66 01/01/46 2,581,743 2,602,048

FNMA POOL #BD0635 91,114 4.00 10/01/46 94,326 96,172

FNMA POOL #BE2736 449,664 4.00 09/01/47 463,286 477,900

FNMA POOL #BE2755 352,076 4.00 10/01/47 362,743 373,842

FNMA POOL #BF0307 1,014,209 3.00 01/01/43 1,035,753 1,043,010

FNMA POOL #BJ5781 602,134 4.50 04/01/48 636,458 650,590

FNMA POOL #BJ5810 336,130 4.50 05/01/48 352,616 362,707

FNMA POOL #BJ8752 359,110 3.50 08/01/49 376,399 378,596

FNMA POOL #BK9917 369,805 4.50 10/01/48 385,823 399,461

FNMA POOL #BM4788 376,475 4.00 07/01/47 385,761 399,775

FNMA POOL #BM4795 903,969 3.50 08/01/48 903,423 948,631

FNMA POOL #BM5449 3,811,861 5.00 02/01/49 4,114,365 4,261,162

FNMA POOL #BM5465 1,453,434 5.00 01/01/49 1,547,115 1,587,292

FNMA POOL #BM5626 551,063 4.50 03/01/49 575,695 592,383

FNMA POOL #BM6054(2) 687,778 2.74 06/01/45 694,781 701,387

FNMA POOL #BN4720 385,979 4.50 04/01/49 407,366 417,047

FNMA POOL #BN4698 439,196 4.00 03/01/49 452,884 466,524

FNMA POOL #BN4773 587,803 4.00 04/01/49 608,371 625,008

FNMA POOL #BN4774 74,237 4.00 05/01/49 76,722 78,936

FNMA POOL #BN8153 161,686 4.50 05/01/49 171,075 174,700

FNMA POOL #BN8175 547,677 4.00 06/01/49 573,055 582,791

FNMA POOL #BN8209 819,177 4.00 07/01/49 861,701 871,863

FNMA POOL #BN8219 212,181 3.50 06/01/49 219,461 220,174

FNMA POOL #BO0506 287,242 3.50 05/01/49 291,019 297,126

FNMA POOL #CA2494 1,027,500 5.00 10/01/48 1,108,234 1,148,610

FNMA POOL #CA2945 3,607,179 4.00 01/01/49 3,761,111 3,750,220

FNMA POOL #CA3089 1,539,654 4.50 02/01/49 1,618,684 1,687,817



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


FNMA POOL #CA3374 1,816,034 4.00 % 04/01/49 $ 1,936,633 $ 1,950,747

FNMA POOL #CA3679 1,197,512 4.50 06/01/49 1,285,752 1,312,755

FNMA POOL #CA3838 1,130,635 4.50 07/01/49 1,218,194 1,239,444

FNMA POOL #CA3978 1,008,097 4.50 08/01/49 1,094,345 1,104,194

FNMA POOL #CA4062 608,945 2.50 08/01/31 617,946 615,931

FNMA POOL #FM1056 2,401,346 5.50 06/01/49 2,667,449 2,697,250

FNMA POOL #FM1060 5,304,700 3.50 06/01/49 5,483,377 5,592,526

FNMA POOL #FM1070 364,954 5.00 09/01/48 392,494 398,265

FNMA POOL #FM1385 7,106,264 5.00 08/01/49 7,913,240 7,943,928

FNMA POOL #FM1386 3,669,128 5.00 08/01/49 4,049,632 4,061,354

FNMA POOL #FM1387 6,058,109 5.00 06/01/49 6,660,140 6,679,845

FNMA POOL #MA3871 6,183,101 3.00 12/01/49 6,276,464 6,268,495

FNMA POOL TBA(3) 100,000 3.50 01/01/50 102,641 102,815

FNMA POOL TBA(3) 5,800,000 3.00 01/01/50 5,872,465 5,878,602

FNMA POOL #AL5396 336,244 4.50 05/01/34 359,257 362,325

FNMA POOL #AL6860 103,241 4.50 03/01/44 112,672 111,980

FNMA POOL #AL7500 230,921 4.00 09/01/45 246,476 253,365

FNMA POOL #AW9153 71,713 5.00 07/01/44 79,820 78,631

FNMA POOL #AX5505 23,617 4.50 02/01/46 25,904 25,592

FNMA POOL #AL5890 486,681 4.50 03/01/43 523,512 528,452

FNMA POOL #AL7667 777,105 4.50 10/01/45 836,418 842,892

FNMA POOL #AS9599 148,657 4.00 04/01/47 157,290 158,858

FNMA POOL #BD5086(2) 600,415 3.10 03/01/47 616,973 611,595

FNMA POOL #BE1284 58,713 4.00 12/01/36 62,314 62,671

FNMA POOL #BH0222 118,301 4.00 04/01/47 125,498 129,771

FNMA POOL #BH2719 125,212 4.00 04/01/47 131,525 130,687

FNMA POOL #BJ1763 121,868 4.00 10/01/47 129,789 133,078

FNMA POOL #BJ1764 115,747 4.00 10/01/47 122,934 125,545

FNMA POOL #CA0706 3,040,678 4.00 11/01/47 3,193,901 3,195,115

FNMA POOL #AE9965 45,937 4.50 06/01/41 49,223 49,885

FNMA POOL #BM1535(2) 448,014 2.96 08/01/47 446,090 454,493

FNMA POOL #BM3139 354,466 4.00 10/01/37 365,826 377,195

FNMA POOL #CA1916 1,570,310 5.00 06/01/48 1,700,609 1,755,391

FNMA POOL #CA2086 404,894 4.00 07/01/33 413,601 426,458

FNMA POOL #CA2190 5,291,622 4.00 08/01/48 5,369,685 5,526,354

FNMA POOL #CA2407 678,040 4.00 09/01/33 694,038 708,002

GNMA 969,809 3.50 03/20/49 992,211 987,058

GNMA 1,654,467 3.50 09/20/49 1,685,307 1,706,625

GNMA(2) 223,657 4.53 11/16/41 236,013 247,520

GNMA 990,676 2.50 08/20/44 954,062 997,697

GNMA POOL TBA(3) 3,900,000 3.00 03/01/50 3,987,141 3,995,013

GNMA POOL #MA5400 1,474,927 5.00 08/20/48 1,567,536 1,566,478

GNMA POOL #MA6157 325,007 5.00 09/20/49 344,984 343,963

GNMA POOL #MA5988 2,349,991 5.00 06/20/49 2,469,830 2,492,511

GNMA POOL #MA6042 780,774 5.00 07/20/49 824,034 828,693

GNMA POOL #MA6091 3,242,205 4.00 08/20/49 3,385,069 3,368,413

GNMA POOL #BD4260 232,466 4.00 10/20/47 242,550 245,568

GNMA POOL #BJ5392 791,773 4.50 03/20/49 827,433 849,781

GNMA POOL #BK2493 182,863 4.50 03/20/49 192,630 196,358

GNMA POOL #BK2509 407,533 4.50 04/20/49 429,913 437,512

GNMA POOL #BL4661 371,542 4.50 05/20/49 392,664 399,072



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


GNMA POOL #BL7728 333,006 4.50 % 05/20/49 $ 351,937 $ 357,858

GNMA POOL #BL7745 247,014 4.50 05/20/49 261,388 265,429

GNMA POOL #BL7755 415,270 4.00 05/20/49 432,190 440,817

GNMA POOL #BL9226 1,361,478 4.00 06/20/49 1,428,092 1,445,276

GNMA POOL #BM5458 1,025,188 4.00 07/20/49 1,080,493 1,088,511

GNMA POOL #784398 215,435 4.50 08/15/47 224,770 231,437

GNMA POOL #784666 1,077,362 5.00 01/20/49 1,143,743 1,189,698

GNMA POOL #784667 1,307,471 4.50 02/20/49 1,369,383 1,420,867

GNMA POOL #784749 370,865 5.00 02/20/49 397,722 399,799

GNMA POOL #784780 398,651 5.00 03/20/49 425,398 430,122

GNMA POOL #MA5266 3,602,105 5.00 06/20/48 3,803,811 3,830,936

GNMA POOL TBA(3) 6,800,000 3.50 01/01/50 7,012,270 7,006,967

GNMA POOL #MA6154 3,673,181 3.50 09/20/49 3,791,116 3,805,080

GNMA POOL #MA5986 1,169,647 4.00 06/20/49 1,206,981 1,211,678

GNMA POOL #MA5653 987,257 5.00 12/20/48 1,045,638 1,042,959

GNMA POOL TBA(3) 1,900,000 3.00 01/01/50 1,947,968 1,950,385

GNMA POOL #726122 26,748 5.00 12/20/39 29,773 29,521

GNMA POOL #784110 55,635 5.00 11/20/45 61,901 61,042

GNMA POOL #BE6454 828,081 3.50 01/20/48 832,228 866,699

GNMA POOL #BF9479 239,173 4.00 03/20/48 245,324 248,253

GNMA POOL #BF9523 413,584 4.00 04/20/48 423,732 431,170

GNMA POOL #BF9534 351,008 4.00 04/20/48 360,241 366,934

GNMA POOL #BF9563 237,535 4.00 04/20/48 243,993 249,210

GNMA POOL #MA5080 2,860,214 5.00 03/20/48 2,976,117 3,079,244 ____________________________________ ____________________________________

Total Federal Agencies 284,054,869 286,733,389 ____________________________________ ____________________________________

US Government Notes & Bonds: 27.05%

US Treasury Bond 2,715,000 2.88 05/15/43 2,976,648 2,954,194

US Treasury Bond 4,385,000 2.25 08/15/46 4,354,502 4,256,047

US Treasury Bond 7,746,000 2.50 05/15/46 8,105,349 7,898,459

US Treasury Bond 12,953,000 3.13 02/15/43 15,105,592 14,672,185

US Treasury Bond 7,923,000 3.13 08/15/44 8,730,889 9,001,724

US Treasury Bond 9,794,000 3.00 11/15/44 10,738,063 10,903,891

US Treasury Note 11,180,000 1.88 06/30/26 11,201,513 11,222,439

US Treasury Note 2,080,000 1.38 08/31/26 2,029,042 2,021,009

US Treasury Note 1,106,000 1.50 10/31/24 1,095,237 1,095,726

US Treasury Note 1,467,000 1.63 11/30/26 1,449,546 1,446,670

US Treasury Note 8,108,000 1.63 12/15/22 8,114,211 8,111,217

US Treasury Note 244,000 1.75 12/31/24 244,838 244,530

US Treasury Note 3,829,000 2.38 11/15/49 3,858,887 3,811,793

US Treasury Note 2,813,000 2.63 02/28/23 2,895,565 2,898,289

US Treasury Note 8,112,000 2.63 01/31/26 8,541,272 8,499,896

US Treasury Note 557,000 2.38 02/29/24 574,091 572,404

US Treasury Note 1,126,000 2.38 04/30/26 1,167,208 1,164,374

US Treasury Note 1,871,000 1.25 03/31/21 1,861,882 1,862,202

US Treasury Note 8,630,000 1.63 05/15/26 8,536,310 8,532,784

US Treasury Note 28,000 1.63 09/30/26 28,032 27,633

US Treasury Note 7,088,000 1.75 11/15/29 7,018,749 6,975,450

US Treasury Note 3,979,000 1.50 11/30/21 3,968,667 3,972,532

US Treasury Note 1,461,000 1.50 11/30/24 1,446,312 1,447,753

US Treasury Note 2,299,000 2.63 07/15/21 2,331,423 2,334,349

US Treasury Note 1,077,000 2.88 11/15/21 1,101,787 1,102,137



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


US Treasury Note 2,779,000 1.13 % 09/30/21 $ 2,756,980 $ 2,755,915

US Treasury Note 558,000 1.63 11/15/22 557,338 558,104

US Treasury Note 4,096,000 2.25 11/15/24 4,232,684 4,199,367

US Treasury Note 3,261,000 2.25 08/15/49 3,243,438 3,159,603

US Treasury Note 11,305,000 2.75 04/30/23 11,720,403 11,706,934

US Treasury Note * 20,778,000 2.75 05/31/23 21,330,425 21,530,096

US Treasury Note 673,000 2.13 05/15/22 680,731 681,036

US Treasury Note 13,852,000 1.75 07/15/22 13,888,149 13,899,250

US Treasury Note 13,365,000 1.63 02/15/26 12,963,552 13,232,558

US Treasury Note 9,065,000 1.38 08/31/20 9,013,554 9,049,594

US Treasury Note 234,000 2.63 06/15/21 237,250 237,359

US Treasury Note 15,083,000 2.75 07/31/23 15,621,043 15,651,867

US Treasury Note 2,224,000 2.88 11/30/25 2,335,428 2,360,444 ____________________________________ ____________________________________

Total US Government Notes & Bonds 216,056,590 216,051,814 ____________________________________ ____________________________________

Total Government/Agency Bonds 500,111,459 502,785,203 ____________________________________ ____________________________________

Corporate Asset-Backed Securities: 10.09%

Avis Budget Rental Car Funding

AESOP LLC(1) 252,000 3.07 09/20/23 248,337 256,211


AESOP LLC(1) 1,080,000 3.35 09/22/25 1,079,660 1,113,250


AESOP LLC(1) 1,568,000 2.36 03/20/26 1,567,973 1,552,834

College Ave Student Loans 2019-A

LLC(1) 323,865 3.28 12/28/48 AA 323,749 320,472

College Ave Student Loans LLC

2017-A(1)(2) 530,346 3.44 11/26/46 BBB 532,843 529,264

College Ave Student Loans LLC

2018-A(1) 328,338 4.13 12/26/47 A 334,267 340,126

Ford Credit Auto Owner Trust 2017-

REV1(1) 746,000 2.62 08/15/28 AAA 744,043 754,364


REV2(1) 1,561,000 2.36 03/15/29 1,529,966 1,570,263


REV1(1) 2,066,000 3.19 07/15/31 AAA 2,064,009 2,146,224


REV2(1) 827,000 3.47 01/15/30 835,181 863,029


REV1(1) 903,000 3.52 07/15/30 AAA 902,862 947,340

Ford Credit Floorplan Master Owner

Trust A 555,000 2.44 09/15/26 AAA 555,212 556,166

Hertz Vehicle Financing II LP(1) 670,000 2.67 09/25/21 666,902 671,843




Hertz Vehicle Financing II LP(1) 1,128,000 3.71 03/25/23 1,127,836 1,157,025







December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Asset-Backed Securities (Continued)

Hertz Vehicle Financing LLC 2018-

2(1) 709,000 3.65 % 06/27/22 $ 708,999 $ 722,150


3(1) 740,000 4.03 07/25/24 739,950 773,808

Navient Private Education Loan Trust

2014-A(1)(2) 901,000 3.34 10/15/31 AAA 911,636 918,678


2014-CT(1)(2) 53,948 2.44 09/16/24 AAA 53,687 53,945


2016-A(1)(2) 384,159 3.89 12/15/45 397,659 397,142


2018-B(1) 589,000 3.61 12/15/59 AAA 591,095 606,435

Navient Private Education Refi Loan

Trust 2018-A(1) 303,000 3.19 02/18/42 AAA 302,868 304,798


Trust 2018-C(1) 326,000 3.52 06/16/42 AAA 325,970 331,041


Trust 2018-D(1) 798,000 4.00 12/15/59 AAA 832,452 823,402


Trust 2019-A(1) 1,577,000 3.42 01/15/43 AAA 1,576,325 1,606,054


Trust 2019-C(1) 1,639,000 3.13 02/15/68 AAA 1,647,825 1,646,483


Trust 2019-D(1) 1,354,000 3.01 12/15/59 AAA 1,353,406 1,367,619


Trust 2019-F(1) 1,613,000 2.60 08/15/68 AAA 1,612,418 1,609,300


Trust 2019-G(1) 1,582,000 2.40 10/15/68 AAA 1,581,994 1,571,372

Navient Student Loan Trust 2014-1(2) 630,398 2.30 06/25/31 619,602 618,308

Navient Student Loan Trust 2015-1(2) 1,769,771 2.39 04/25/40 1,762,542 1,734,287

Navient Student Loan Trust 2016-

1(1)(2) 925,620 2.50 02/25/70 AA+ 917,109 911,704


3(1)(2) 148,287 2.64 06/25/65 AAA 149,721 148,455


5(1)(2) 986,538 3.04 06/25/65 995,264 996,111


5(1)(2) 488,467 2.59 07/26/66 489,572 480,062


EA(1) 894,000 4.00 12/15/59 AAA 893,884 925,271


4(1)(2) 2,774,000 2.60 07/25/68 AA+ 2,773,568 2,752,261

Navient Student Loan Trust 2019-B(1) 1,079,000 3.39 12/15/59 AAA 1,078,944 1,107,350

Nelnet Student Loan Trust 2004-3(2) 518,896 2.12 10/27/36 AA+ 508,238 503,047


Nelnet Student Loan Trust 2005-1(2) 2,968,716 2.05 10/25/33 AA+ 2,916,275 2,887,636




Nelnet Student Loan Trust 2012-2(1)(2) 361,173 2.59 12/26/33 359,780 358,602




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Nelnet Student Loan Trust 2013-1(1)(2) 502,772 2.39 % 06/25/41 $ 499,114 $ 491,095



Nelnet Student Loan Trust 2017-2(1)(2) 558,664 2.56 09/25/65 AA+ 556,005 549,322

SLC Student Loan Trust 2005-2(2) 719,000 2.05 12/15/39 AA+ 691,948 679,614


SLC Student Loan Trust 2008-1(2) 475,882 3.49 12/15/32 AAA 484,050 482,062


SLM Student Loan Trust 2003-1(1)(2) 519,784 2.64 12/15/32 AA+ 509,434 504,646

SLM Student Loan Trust 2004-10(1)(2) 1,608,000 2.54 10/25/29 AAA 1,580,304 1,599,640

SLM Student Loan Trust 2007-2(2) 1,695,445 2.00 07/25/22 B 1,672,491 1,647,724

SLM Student Loan Trust 2010-1(2) 718,934 2.19 03/25/25 B 719,937 693,773

SLM Student Loan Trust 2012-1(2) 1,566,129 2.74 09/25/28 1,561,884 1,538,116

SLM Student Loan Trust 2012-2(2) 1,335,458 2.49 01/25/29 1,323,759 1,300,907

SLM Student Loan Trust 2012-6(2) 253,864 2.54 05/26/26 255,466 251,381

SMB Private Education Loan Trust

2015-A(1)(2) 568,614 2.74 06/15/27 AAA 569,887 569,854


2015-C(1)(2) 186,045 3.14 07/15/27 AAA 185,469 187,339


2016-A(1) 1,001,270 2.70 05/15/31 995,010 1,003,331


2016-A(1)(2) 1,430,904 3.24 05/15/31 1,447,856 1,443,953


2016-B(1) 475,805 2.43 02/17/32 471,701 472,943


2016-B(1)(2) 1,331,633 3.19 02/17/32 1,349,015 1,341,776


2016-C(1)(2) 515,994 2.84 09/15/34 AAA 515,994 517,052


2017-A(1)(2) 1,657,661 2.64 09/15/34 AAA 1,659,002 1,656,147


2017-B(1)(2) 1,019,793 2.49 10/15/35 AAA 1,019,793 1,015,959


2017-B(1) 522,766 2.82 10/15/35 AAA 531,065 523,571


2018-C(1) 533,000 3.63 11/15/35 AAA 542,939 554,197


2019-A(1) 2,174,000 3.44 07/15/36 AAA 2,196,329 2,206,627

Sofi Professional Loan Program 2016-

A LLC(1) 329,994 2.76 12/26/36 333,943 331,019

SoFi Professional Loan Program

2016-D LLC(1)(2) 57,776 2.74 01/25/39 57,939 58,006


E LLC(1)(2) 129,020 2.64 07/25/39 129,020 129,028


2017-A LLC(1)(2) 126,251 2.49 03/26/40 AAA 126,251 126,438


2017-E LLC(1)(2) 110,525 2.29 11/26/40 AAA 110,525 110,265


2017-E LLC(1) 1,418,000 2.72 11/26/40 AAA 1,412,010 1,429,130



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



A LLC(1) 407,000 2.95 % 02/25/42 AAA $ 412,147 $ 410,584


B Trust(1) 1,217,000 3.34 08/25/47 AAA 1,215,813 1,236,533

World Financial Network Credit Card

Master Trust 566,000 3.46 07/15/25 AAA 572,871 578,794


Master Trust 2,099,000 3.14 12/15/25 AAA 2,145,125 2,143,426 ____________________________________ ____________________________________

Total Corporate Asset-Backed

Securities 80,396,838 80,604,638 ____________________________________ ____________________________________

Corporate Mortgage-Backed Securities: 4.00%

BBCMS Mortgage Trust 2018-C2 2,599,000 4.31 12/15/51 AAA 2,935,147 2,920,907

Bunker Hill Loan Depositary Trust

2019-2(1) 343,551 2.88 07/25/49 AAA 345,251 344,318

CD 2016-CD1 Mortgage Trust 477,000 2.62 08/10/49 473,832 482,129

CD 2017-CD4 Mortgage Trust(2) 388,000 3.51 05/10/50 AAA 384,237 412,366

CFCRE Commercial Mortgage Trust

2016-C3 108,845 1.79 01/10/48 109,694 108,562


2016-C4 398,000 3.09 05/10/58 402,310 408,115

Citigroup Commercial Mortgage Trust

2016-P5 665,731 1.41 10/10/49 661,821 662,004

COMM 2013-CCRE10 Mortgage

Trust(2) 647,000 4.21 08/10/46 695,916 688,280


Trust(2) 735,000 4.22 07/10/45 AAA 776,387 778,032


Trust 35,011 3.65 04/10/47 AAA 36,485 35,933


Trust 179,519 3.50 08/10/47 185,890 184,757


Trust 1,127,000 3.37 10/10/48 1,173,608 1,164,192

COMM 2015-DC1 Mortgage Trust 1,348,000 3.14 02/10/48 1,353,158 1,372,348

COMM 2018-COR3 Mortgage Trust 864,000 4.23 05/10/51 936,353 962,072

Csail 2015-C2 Commercial Mortgage

Trust 386,000 3.50 06/15/57 390,489 403,377

CSAIL 2015-C3 Commercial

Mortgage Trust 477,000 3.72 08/15/48 500,487 504,197


Mortgage Trust 663,000 3.02 09/15/52 AAA 684,154 678,391

CSMC Trust 2016-NXSR(2) 1,139,000 3.79 12/15/49 1,152,090 1,213,371

Deephaven Residential Mortgage

Trust 2019-4(1)(2) 3,871,433 2.79 10/25/59 AAA 3,871,423 3,871,654

GS Mortgage Securities Trust 2012-

GCJ7 29,730 2.94 05/10/45 30,611 29,780


GC18 251,036 3.80 01/10/47 264,428 260,722


GC28 179,000 3.40 02/10/48 187,134 187,014


GC34 437,000 3.51 10/10/48 439,633 460,861



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Mortgage-Backed Securities (Continued)


GS6 1,042,000 3.43 % 05/10/50 $ 1,035,201 $ 1,099,640


GS7 693,000 3.43 08/10/50 701,364 732,792

Impact Funding Affordable

Multifamily Housing Mortgage

Loan Trust 2010-1(1) 1,322,654 5.31 01/25/51 AAA 1,425,083 1,383,573

JP Morgan Chase Commercial

Mortgage Securities Trust 2016-JP2 187,525 1.32 08/15/49 185,626 186,525

JPMBB Commercial Mortgage

Securities Trust 2014-C23 350,000 3.67 09/15/47 364,886 368,635




Securities Trust 2015-C28 1,645,000 2.91 10/15/48 1,654,950 1,679,606



JPMDB Commercial Mortgage

Securities Trust 2017-C5 220,000 3.69 03/15/50 AAA 222,872 235,583


Securities Trust 2019-COR6 2,671,000 3.06 11/13/52 AAA 2,764,510 2,749,430

Morgan Stanley Bank of America

Merrill Lynch Trust 2013-C10(2) 946,000 4.08 07/15/46 1,005,814 1,000,419


Merrill Lynch Trust 2015-C20 106,000 3.25 02/15/48 103,477 109,955







SG Residential Mortgage Trust 2019-

3(1)(2) 3,303,411 2.70 09/25/59 AAA 3,303,359 3,296,603 ____________________________________ ____________________________________

Total Corporate Mortgage-Backed

Securities 31,705,946 31,937,811 ____________________________________ ____________________________________

Municipal Bonds: 0.51%

Clark County Nevada Airport System

Revenue 470,000 6.82 07/01/45 AA- 600,674 740,560

Los Angeles Community College

District General Obligation 625,000 6.75 08/01/49 AA+ 812,613 1,026,094

North Texas Tollway Authority

Revenue 470,000 6.72 01/01/49 A+ 581,902 737,397

Ohio State University Revenue 276,000 4.80 06/01/2111 AA 286,191 349,860

Port Authority of New York & New

Jersey 775,000 4.46 10/01/62 AA- 800,362 949,840

State of California 110,000 7.60 11/01/40 AA- 143,882 181,578

State of Illinois 90,000 5.10 06/01/33 BBB- 87,799 97,024 ____________________________________ ____________________________________

Total Municipal Bonds 3,313,423 4,082,353 ____________________________________ ____________________________________



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Short-Term Investments: 1.20%

Wells Fargo/BlackRock Short Term

Investment Fund S (4) * 9,579,262 $ 9,579,262 $ 9,579,262 ____________________________________ ____________________________________

Total Short-Term Investments 9,579,262 9,579,262 ____________________________________ ____________________________________

Total Investments: 104.29% $ 821,876,213 $ 832,937,292 ____________________________________ ____________________________________ ____________________________________ ____________________________________

Percentages shown are based on total net assets.

(1) This Fund holds 12.78% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The rates

shown are those in effect on December 31, 2019. (3) Securities issued on a when-issued (TBA) or forward-commitment basis. (4) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.16% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S. * All or a portion of this security is segregated for when-issued securities.

FHLMC Federal Home Loan Mortgage Corporation

FNMA Federal National Mortgage Association

GMTN Global Medium Term Note

GNMA Government National Mortgage Association



Financial Highlights


Class TR Class F Class N

Per share operating performance:

Share value, beginning of year $ 14.26 $ 11.22 $ 38.42

Income from investment operations:

Net investment income (loss)(1) 0.38 0.34 1.14

Net realized and unrealized gain (loss) on investments 0.81 0.63 2.18

Total from investment operations 1.19 0.97 3.32

Share value, end of year $ 15.45 $ 12.19 $ 41.74

Total return per share 8.33% 8.67% 8.64%

Net assets, end of year $ 56,096,026 $ 653,894,025 $ 88,649,865

Ratios:

Ratio of expenses to average net assets 0.48% 0.17% 0.20%

Ratio of net investment income (loss) to average net assets 2.56% 2.87% 2.82%

Portfolio Turnover Rate 415% 415% 415%

(1) Based on average number of shares outstanding.

See accompanying notes to financial statements 27


Supplemental Schedule of Monthly Values (Unaudited)


Class TR Class F

Shares Share Shares Share

outstanding valuation outstanding valuation

January 31, 2019 3,829,841 $ 14.40 52,598,814 $ 11.33

February 28, 2019 3,854,993 14.40 53,360,227 11.33

March 31, 2019 3,655,451 14.68 53,437,339 11.56

April 30, 2019 3,703,929 14.68 53,582,225 11.56

May 31, 2019 3,790,050 14.92 53,158,438 11.75

June 30, 2019 3,829,241 15.10 52,815,064 11.90

July 31, 2019 3,818,369 15.15 53,255,809 11.94

August 31, 2019 3,799,626 15.52 51,352,522 12.24

September 30, 2019 3,764,460 15.44 52,372,906 12.18

October 31, 2019 3,728,830 15.47 52,587,635 12.21

November 30, 2019 3,629,361 15.47 53,427,856 12.20

December 31, 2019 3,630,759 15.45 53,626,864 12.19

Class N

Shares Share

outstanding valuation

January 31, 2019 1,866,883 $ 38.81

February 28, 2019 1,874,383 38.80

March 31, 2019 1,881,555 39.56

April 30, 2019 1,878,796 39.57

May 31, 2019 1,662,561 40.24

June 30, 2019 2,071,329 40.74

July 31, 2019 2,091,631 40.86

August 31, 2019 2,107,644 41.89

September 30, 2019 2,244,942 41.69

October 31, 2019 2,261,043 41.78

November 30, 2019 2,118,295 41.77

December 31, 2019 2,124,099 41.74


WELLS FARGO CORE BOND II CIT


December 31, 2019

Cost

Fair

value

Assets:



Cash 21,388



Fund shares sold 765


Liabilities:



Trustee expenses 93,161


Net assets $ 459,368,794

Class Net Assets

Shares


E $ 15,928,829 1,396,859 $ 11.40

EF1 $ 148,273,814 12,998,269 $ 11.41

EF2 $ 295,166,151 25,720,237 $ 11.48





Investment income:

Interest income (net of foreign taxes withheld of $164) $ 13,340,252



Expenses:









Net gain (loss) on investments 23,883,681








Net realized gain (loss) on investments 16,524,212

Net change in unrealized appreciation (depreciation) of investments 7,359,469




Class E proceeds from issuance of shares (2,921,175 shares) 31,522,389

Class E payments for withdrawals (8,845,574 shares) (100,561,824)

Net change (69,039,435)

Class EF1 proceeds from issuance of shares (8,074,114 shares) 92,101,279

Class EF1 payments for withdrawals (1,014,591 shares) (11,244,309)


Class EF2 proceeds from issuance of shares (1,994,077 shares) 22,106,248

Class EF2 payments for withdrawals (2,138,819 shares) (23,782,845)




Net assets:

Beginning of year (7,321,258 Class E shares, 5,938,746 Class EF

shares, 25,864,979 Class EF1 shares) 412,882,833

End of year (1,396,859 Class E shares, 12,998,269 Class EF1(1)

shares, 25,720,237 Class EF2(2) shares) $ 459,368,794

(1) Class EF rebranded as class EF1 on May 16, 2019.

(2) Class EF1 rebranded as class EF2 on May 16, 2019.



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________













Minera Mexico SA de CV(1) 200,000 4.50 01/26/50 BBB+ 198,575 203,500

Mosaic Co 180,000 4.05 11/15/27 BBB- 179,866 186,710

Mosaic Co 111,000 5.63 11/15/43 BBB- 123,684 130,197


Teck Resources Ltd 316,000 6.25 07/15/41 BBB- 336,291 361,441

Westlake Chemical Corp 30,000 3.60 08/15/26 BBB 30,934 31,070




AT&T, Inc 245,000 3.00 02/15/22 BBB 249,979 249,809

AT&T, Inc 389,000 3.00 06/30/22 BBB 397,088 397,453

AT&T, Inc 148,000 3.90 03/11/24 BBB 156,809 157,317

AT&T, Inc 315,000 3.40 05/15/25 BBB 305,424 329,940

AT&T, Inc 126,000 3.80 02/15/27 BBB 128,607 134,175

AT&T, Inc 108,000 4.30 02/15/30 BBB 107,659 119,985

AT&T, Inc 92,000 5.25 03/01/37 BBB 93,631 109,681

AT&T, Inc 155,000 4.85 03/01/39 BBB 149,175 178,353

AT&T, Inc 124,000 5.38 10/15/41 BBB 133,170 147,189

AT&T, Inc 77,000 5.35 12/15/43 BBB 82,378 91,057

AT&T, Inc 111,000 5.45 03/01/47 BBB 112,518 137,495

AT&T, Inc 78,000 4.50 03/09/48 BBB 83,248 86,056

AT&T, Inc 347,000 5.15 02/15/50 BBB 366,641 417,383

AT&T, Inc 91,000 5.70 03/01/57 BBB 102,399 117,117










Comcast Corp 389,000 3.45 10/01/21 A- 389,258 400,317

Comcast Corp 310,000 3.70 04/15/24 A- 313,702 330,286

Comcast Corp 279,000 3.95 10/15/25 A- 279,347 304,270

Comcast Corp 158,000 4.15 10/15/28 A- 174,922 177,732

Comcast Corp 605,000 2.65 02/01/30 A- 609,034 606,661

Comcast Corp 392,000 4.60 10/15/38 A- 400,814 466,259

Comcast Corp 234,000 4.00 03/01/48 A- 212,180 259,396

Comcast Corp 79,000 4.70 10/15/48 A- 85,773 97,237



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Comcast Corp 202,000 3.45 % 02/01/50 A- $ 204,595 $ 206,365

Comcast Corp 116,000 4.95 10/15/58 A- 116,913 150,618













Vodafone Group PLC 603,000 4.25 09/17/50 BBB 605,175 627,361

Walt Disney Co 471,000 1.75 08/30/24 A 469,194 466,562

Walt Disney Co 314,000 2.00 09/01/29 A 309,478 304,368

Walt Disney Co 70,000 2.75 09/01/49 A 67,656 65,835 ____________________________________ ____________________________________



Costco Wholesale Corp 150,000 3.00 05/18/27 A+ 148,628 158,062


Ford Motor Co 763,000 4.75 01/15/43 BBB- 631,061 674,833

Ford Motor Credit Co LLC 261,000 4.06 11/01/24 BBB- 261,898 266,185



Home Depot, Inc 151,000 4.50 12/06/48 A 182,692 185,929

Lowe's Cos, Inc 737,000 3.65 04/05/29 BBB+ 737,780 787,156





Walmart, Inc 329,000 3.55 06/26/25 AA 337,293 353,071

Walmart, Inc 726,000 3.70 06/26/28 AA 727,614 799,945

Walmart, Inc 217,000 2.38 09/24/29 AA 217,258 216,931

Walmart, Inc 3,000 4.05 06/29/48 AA 2,880 3,544

Walmart, Inc 274,000 2.95 09/24/49 AA 271,268 271,903 ____________________________________ ____________________________________





AbbVie, Inc 596,000 2.50 05/14/20 A- 595,815 596,894

AbbVie, Inc(1) 1,396,000 2.30 11/21/22 A- 1,396,628 1,402,622

AbbVie, Inc(1) 929,000 2.60 11/21/24 A- 930,352 934,318

AbbVie, Inc(1) 173,000 2.95 11/21/26 A- 173,962 175,587

AbbVie, Inc(1) 509,000 3.20 11/21/29 A- 512,290 517,487

AbbVie, Inc(1) 94,000 4.05 11/21/39 A- 94,961 99,340

AbbVie, Inc(1) 257,000 4.25 11/21/49 A- 258,327 270,478

Aetna, Inc 126,000 3.88 08/15/47 BBB 110,477 127,766




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Altria Group, Inc 80,000 5.95 % 02/14/49 BBB $ 86,942 $ 96,724






Inc 334,000 4.15 01/23/25 A- 342,007 363,372


Inc 276,000 4.90 01/23/31 A- 280,311 328,375


Inc 63,000 4.60 04/15/48 A- 72,725 71,677


Inc 126,000 5.55 01/23/49 A- 147,887 163,221























Cigna Corp 352,000 3.40 09/17/21 A- 351,874 360,231

Cigna Corp 435,000 3.75 07/15/23 A- 433,999 455,913

Cigna Corp(1) 384,000 3.40 03/01/27 A- 393,549 398,656

Cigna Corp 33,000 4.80 08/15/38 A- 32,172 38,401

Cigna Corp 198,000 4.90 12/15/48 A- 202,568 235,780














December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


CVS Health Corp 44,000 5.05 % 03/25/48 BBB $ 47,618 $ 51,985

Danaher Corp 318,000 3.35 09/15/25 A 335,445 337,953

Danone SA(1) 1,131,000 2.95 11/02/26 BBB+ 1,053,959 1,154,196










Hershey Co 322,000 2.05 11/15/24 A 321,752 322,479



Merck & Co, Inc 277,000 3.40 03/07/29 AA 281,968 299,684

Merck & Co, Inc 110,000 3.70 02/10/45 AA 123,603 121,321

Merck & Co, Inc 100,000 4.00 03/07/49 AA 100,114 116,894

Pfizer, Inc 154,000 2.80 03/11/22 AA- 154,035 157,182

Pfizer, Inc 80,000 3.00 12/15/26 AA- 81,975 84,003

Pfizer, Inc 87,000 4.10 09/15/38 AA- 88,122 99,354






UnitedHealth Group, Inc 173,000 3.88 08/15/59 A+ 172,926 186,119 ____________________________________ ____________________________________


Energy: 2.96%






Ecopetrol SA 120,000 5.88 05/28/45 BBB- 117,570 141,450

Enbridge, Inc 331,000 2.90 07/15/22 BBB+ 331,316 337,123

Enbridge, Inc 1,599,000 2.50 01/15/25 BBB+ 1,602,379 1,608,414

Enbridge, Inc 504,000 3.13 11/15/29 BBB+ 507,105 509,515

Encana Corp 145,000 6.63 08/15/37 BBB 172,562 175,282

Encana Corp 160,000 6.50 02/01/38 BBB 176,295 188,623








Equinor ASA 225,000 3.25 11/18/49 AA- 221,448 226,067

Hess Corp 67,000 3.50 07/15/24 BBB- 67,702 68,446

Hess Corp 57,000 7.13 03/15/33 BBB- 68,959 71,979

Hess Corp 231,000 6.00 01/15/40 BBB- 255,120 272,332



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Hess Corp 18,000 5.60 % 02/15/41 BBB- $ 21,005 $ 21,029

Hess Corp 28,000 5.80 04/01/47 BBB- 29,146 34,197





MPLX LP(1) 149,000 4.25 12/01/27 BBB 156,187 156,701

MPLX LP 149,000 4.80 02/15/29 BBB 162,936 163,331

MPLX LP(1) 221,000 5.20 12/01/47 BBB 209,613 234,708

MPLX LP 210,000 5.50 02/15/49 BBB 225,481 237,896

National Oilwell Varco, Inc 419,000 3.60 12/01/29 BBB+ 413,686 419,534



















LP 287,000 5.30 04/01/44 BBB- 288,249 304,692


LP 21,000 5.35 05/15/45 BBB- 22,192 22,526





Total Energy 13,234,438 13,591,302 ____________________________________ ____________________________________

Financial: 7.27%









Bank of America Corp 448,000 4.18 11/25/27 BBB+ 486,872 485,257






December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



SA(1) 385,000 2.38 % 11/21/24 A $ 383,608 $ 384,583

Barclays PLC(2) 238,000 5.09 06/20/30 BB+ 262,006 265,012

BB&T Corp 946,000 2.50 08/01/24 A- 945,368 957,338

BNP Paribas SA(1)(2) 1,196,000 2.82 11/19/25 A- 1,204,000 1,209,064

Charles Schwab Corp 692,000 3.25 05/22/29 A 696,307 731,681



Commonwealth Bank of Australia(1)(2) 326,000 3.61 09/12/34 BBB+ 326,000 327,463

Commonwealth Bank of Australia(1) 200,000 3.74 09/12/39 BBB+ 199,224 200,306

Credit Agricole SA(1) 701,000 2.38 01/22/25 A+ 699,556 699,644

Danske Bank AS(1)(2) 801,000 3.00 09/20/22 BBB+ 801,000 807,179

Danske Bank AS(1)(2) 805,000 3.24 12/20/25 BBB+ 805,525 813,967

Equinix, Inc 445,000 2.63 11/18/24 BBB- 446,280 445,828

Equinix, Inc 445,000 2.90 11/18/26 BBB- 445,835 445,779

Equinix, Inc 410,000 3.20 11/18/29 BBB- 410,818 411,525


Unlimited Co 699,000 4.42 11/15/35 BBB+ 726,952 744,278



Inc 162,000 5.30 01/15/29 BBB- 164,934 179,933


Inc 299,000 4.00 01/15/30 BBB- 299,755 305,189
















KeyCorp 599,000 2.55 10/01/29 BBB+ 597,537 584,889




MDGH - GMTN BV(1) 363,000 2.88 11/07/29 359,132 366,091








Morgan Stanley 627,000 2.63 11/17/21 BBB+ 627,419 634,328



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Morgan Stanley(2) 75,000 3.97 % 07/22/38 BBB+ $ 80,604 $ 83,119


Nationwide Building Society(1)(2) 226,000 4.36 08/01/24 BBB+ 238,737 239,608

Nationwide Financial Services, Inc(1) 379,000 3.90 11/30/49 A 378,691 393,706




Royal Bank of Canada 678,000 2.25 11/01/24 A 677,198 681,131

SITE Centers Corp 137,000 4.63 07/15/22 BBB- 139,812 142,833

Societe Generale SA(1) 479,000 2.63 10/16/24 BBB+ 477,808 478,754


State Street Corp(2) 587,000 2.35 11/01/25 A 587,891 589,019



Sumitomo Mitsui Financial Group, Inc 785,000 2.70 07/16/24 A- 785,000 795,582

Sumitomo Mitsui Financial Group, Inc 850,000 3.04 07/16/29 A- 857,227 866,131

Truist Bank 602,000 2.15 12/06/24 A 600,992 600,470

Trust F/1401(1) 248,000 6.39 01/15/50 267,022 266,602

UBS Group AG(1)(2) 428,000 3.13 08/13/30 A- 432,729 435,394

Westpac Banking Corp(2) 188,000 4.11 07/24/34 BBB+ 188,000 196,793 ____________________________________ ____________________________________

Total Financial 32,715,884 33,384,664 ____________________________________ ____________________________________

Industrial: 2.02%

Boeing Co 338,000 2.70 05/01/22 A- 341,873 343,147

Boeing Co 434,000 3.10 05/01/26 A- 433,754 447,486

Boeing Co 433,000 2.70 02/01/27 A- 441,599 438,532

Boeing Co 283,000 2.95 02/01/30 A- 291,572 289,246

Boeing Co 167,000 3.50 03/01/39 A- 157,583 172,003

Boeing Co 209,000 3.90 05/01/49 A- 207,847 226,157

Boeing Co 60,000 3.75 02/01/50 A- 63,720 63,593



Caterpillar Financial Services Corp 419,000 2.15 11/08/24 A 419,172 420,279



Crowley Conro LLC 204,480 4.18 08/15/43 204,480 228,301

CSX Corp 187,000 2.40 02/15/30 BBB+ 186,354 182,725

CSX Corp 21,000 4.30 03/01/48 BBB+ 23,486 23,797

CSX Corp 111,000 4.75 11/15/48 BBB+ 110,199 134,278

CSX Corp 315,000 3.35 09/15/49 BBB+ 308,308 309,613















December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


United Technologies Corp 292,000 3.10 % 06/01/22 BBB+ $ 299,859 $ 299,349






United Technologies Corp 227,000 4.63 11/16/48 BBB+ 279,026 283,555 ____________________________________ ____________________________________


Technology: 1.60%

Apple, Inc 428,000 1.80 09/11/24 AA+ 426,699 424,962

Apple, Inc 94,000 3.20 05/13/25 AA+ 91,862 99,227

Apple, Inc 513,000 2.05 09/11/26 AA+ 510,076 508,779

Apple, Inc 587,000 3.20 05/11/27 AA+ 577,526 618,707

Apple, Inc 774,000 2.20 09/11/29 AA+ 770,925 758,297

Apple, Inc 140,000 4.25 02/09/47 AA+ 141,204 167,101

Apple, Inc 283,000 2.95 09/11/49 AA+ 279,543 274,056


Finance Ltd 383,000 3.88 01/15/27 BBB- 383,439 397,423

Broadcom, Inc(1) 271,000 4.25 04/15/26 BBB- 268,466 287,933

Fiserv, Inc 274,000 3.20 07/01/26 BBB 274,216 283,416

Fiserv, Inc 26,000 4.20 10/01/28 BBB 26,007 28,815

Fiserv, Inc 287,000 3.50 07/01/29 BBB 287,159 301,235

Fiserv, Inc 145,000 4.40 07/01/49 BBB 144,700 164,087

Intel Corp 490,000 2.45 11/15/29 A+ 491,052 487,906

Intel Corp 163,000 3.25 11/15/49 A+ 167,179 163,741




Micron Technology, Inc 215,000 4.66 02/15/30 BBB- 226,678 236,549







USA, Inc(1) 461,000 3.88 06/18/26 BBB- 464,968 488,493


USA, Inc(1) 53,000 4.30 06/18/29 BBB- 57,030 57,235 ____________________________________ ____________________________________


Utilities: 2.15%




CenterPoint Energy Resources Corp 229,000 4.10 09/01/47 BBB+ 245,765 239,572





Inc 143,000 3.88 06/15/47 A- 156,466 154,569




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


DTE Energy Co 356,000 2.53 % 10/01/24 BBB $ 358,799 $ 357,396

Duke Energy Corp 338,000 1.80 09/01/21 BBB+ 338,633 337,604













Interstate Power & Light Co 150,000 3.50 09/30/49 A- 151,091 146,672


Jersey Central Power & Light Co(1) 139,000 4.30 01/15/26 BBB 151,404 151,214


Mid-Atlantic Interstate Transmission

LLC(1) 315,000 4.10 05/15/28 BBB 315,560 344,334



NiSource, Inc 220,000 2.95 09/01/29 BBB+ 221,124 218,942

NiSource, Inc 54,000 4.38 05/15/47 BBB+ 59,949 59,728

Pennsylvania Electric Co(1) 134,000 3.25 03/15/28 BBB 138,298 137,200














Total Utilities 9,711,315 9,907,878 ____________________________________ ____________________________________



Japan: 0.09%

Japan Bank for International

Cooperation 438,000 1.75 10/17/24 A+ 437,719 431,754 ____________________________________ ____________________________________

Total Japan 437,719 431,754 ____________________________________ ____________________________________

Mexico: 0.27%


Bond 940,000 4.50 04/22/29 BBB+ 961,124 1,030,710



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Bond 183,000 4.60 % 02/10/48 BBB+ $ 174,587 $ 200,387 ____________________________________ ____________________________________

Total Mexico 1,135,711 1,231,097 ____________________________________ ____________________________________

Paraguay: 0.06%

Paraguay Government International

Bond(1) 223,000 5.40 03/30/50 BB 225,814 257,286 ____________________________________ ____________________________________

Total Paraguay 225,814 257,286 ____________________________________ ____________________________________



Bond(1) 248,000 2.13 09/30/24 AA 246,815 247,145


Bond(1) 325,000 2.50 09/30/29 AA 323,388 323,781


Bond(1) 226,000 3.13 09/30/49 AA 220,701 220,350 ____________________________________ ____________________________________

Total United Arab Emirates 790,904 791,276 ____________________________________ ____________________________________




FHLMC(2) 528,459 2.04 08/15/40 526,432 524,871

FHLMC(2) 164,158 2.09 12/15/48 163,301 163,575

FHLMC 679,347 3.00 05/15/50 693,544 692,079

FHLMC #1590 IA(2) 533 2.79 10/15/23 540 540

FHLMC #1897 K 42 7.00 09/15/26 45 46

FHLMC #1935 FL(2) 69 2.44 02/15/27 70 70

FHLMC #2423 MC 459 7.00 03/15/32 510 529

FHLMC #264 30 1,032,888 3.00 07/15/42 988,103 1,053,883

FHLMC #4426 QC 525,664 1.75 07/15/37 522,722 519,078

FHLMC #4705 A 516,125 4.50 09/15/42 552,054 554,421

FHLMC #4742 PA 1,742,892 3.00 10/15/47 1,748,642 1,784,095

FHLMC #4763 CA 129,356 3.00 09/15/38 127,724 132,982

FHLMC #4767 KA 558,910 3.00 03/15/48 556,610 573,659

FHLMC #4786 DP 293,363 4.50 07/15/42 303,944 299,079

FHLMC #4796 AK 1,147,387 3.00 05/15/48 1,095,186 1,166,154

FHLMC #4802 A 1,128,765 3.00 06/15/48 1,084,502 1,146,752

FHLMC #4897 F(2) 187,688 2.14 07/15/49 187,630 186,588

FHLMC POOL #800163 465,484 2.85 10/15/37 462,387 461,623

FHLMC POOL #B70786 21,851 4.50 06/01/39 23,966 24,159

FHLMC POOL #B70787 23,542 4.50 07/01/39 25,821 26,033

FHLMC POOL #C92010 1,549,748 4.00 08/01/38 1,628,083 1,621,892

FHLMC POOL #G12008 12 6.50 04/01/21 12 12

FHLMC POOL #G30954 184,640 4.00 10/01/36 194,927 196,739

FHLMC POOL #G31036 19,090 4.00 04/01/37 20,154 20,479

FHLMC POOL #G67711 2,136,224 4.00 03/01/48 2,281,208 2,286,079

FHLMC POOL #G67720 256,506 4.50 03/01/49 280,186 282,982

FHLMC POOL #J24065 245,703 2.50 06/01/28 249,227 248,962

FHLMC POOL #J24196 262,443 2.50 06/01/28 266,287 265,927

FHLMC POOL #J32364 3,788,608 2.50 11/01/28 3,825,661 3,838,871

FHLMC POOL #K92348 17,573 4.00 01/01/35 18,480 18,930

FHLMC POOL #K93410 28,033 4.00 01/01/36 29,740 29,939



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


FHLMC POOL #K93870 21,772 4.00 % 03/01/37 $ 22,914 $ 23,355

FHLMC POOL #K93872 24,239 4.00 03/01/37 25,543 26,106

FHLMC POOL #K93873 41,472 4.00 03/01/37 43,598 44,286

FHLMC POOL #Q54449 189,947 3.50 02/01/48 190,171 199,010

FHLMC POOL #QA0928 257,496 3.50 07/01/49 264,306 266,070

FHLMC POOL #QA2272 197,618 3.50 09/01/49 203,814 203,907

FHLMC POOL #QA2370 77,570 3.50 09/01/49 81,158 81,779

FHLMC POOL #QA5624 80,000 3.00 12/01/49 81,800 82,303

FHLMC POOL #QA5699 78,000 3.00 12/01/49 79,755 80,245

FHLMC POOL #RA1105 610,277 3.50 07/01/49 633,423 643,388

FHLMC POOL #RA1191 3,528 3.50 08/01/49 3,700 3,703

FHLMC POOL #RA1729 1,554,247 3.50 11/01/49 1,602,232 1,608,444

FHLMC POOL #RA1870 1,508,091 3.00 12/01/49 1,534,161 1,530,782

FHLMC POOL #SD0094 907,189 3.50 09/01/49 949,527 956,413

FHLMC POOL #SD7500 1,131,701 4.00 07/01/49 1,218,155 1,223,566

FHLMC POOL #SD7501 4,868,830 4.00 07/01/49 5,183,506 5,204,547

FHLMC POOL #SD7506 3,470,065 4.00 09/01/49 3,700,184 3,711,447

FHLMC POOL #V84276 741,310 5.00 05/01/48 795,882 821,021

FHLMC POOL #ZA6377 2,019,336 4.00 02/01/49 2,100,203 2,099,049

FHLMC POOL #ZM7669 3,265 3.50 08/01/48 3,443 3,430

FHLMC POOL #ZN6141 961,427 4.00 05/01/49 1,022,599 1,027,743

FHLMC POOL #ZT1380 140,354 4.00 01/01/48 150,359 150,987

FHLMC POOL #ZT1912 364,498 4.00 03/01/49 388,882 389,493

FHLMC POOL #ZT2046 531,398 3.50 04/01/49 557,692 560,230

FNMA(2) 155,000 2.96 02/25/27 156,148 160,778

FNMA 426 6.50 11/25/29 466 471

FNMA 1,275,757 1.70 08/25/33 1,265,504 1,251,357

FNMA 4,000 5.50 04/25/35 4,544 4,456

FNMA 1,693,027 2.00 06/25/38 1,680,473 1,672,799

FNMA 1,122,914 3.50 10/25/42 1,106,596 1,177,466

FNMA 420,860 1.50 01/25/43 402,500 402,695

FNMA 990,993 1.50 01/25/43 965,049 960,990

FNMA 145,844 1.50 04/25/43 137,325 139,834

FNMA 332,340 3.00 11/25/43 337,474 338,814

FNMA 435,859 3.00 08/25/46 443,988 448,814

FNMA(2) 1,027,517 2.24 10/25/46 1,028,460 1,026,737

FNMA 503,392 2.50 03/25/47 479,382 501,698

FNMA 650,794 3.00 03/25/48 647,064 666,962

FNMA 145,390 3.00 03/25/48 144,567 149,323

FNMA 1,013,469 3.00 06/25/48 968,630 1,026,469

FNMA(2) 845,353 2.04 11/25/48 839,916 839,540

FNMA(2) 519,845 2.14 05/25/49 518,810 515,967

FNMA(2) 241,361 2.14 07/25/49 240,389 240,369

FNMA 400,382 3.00 07/25/49 400,198 413,592

FNMA 593,443 3.00 07/25/49 590,344 615,641

FNMA(2) 1,256,082 2.24 08/25/49 1,252,971 1,252,350

FNMA(2) 437,027 2.24 10/25/49 436,621 434,971

FNMA(2) 338,728 2.24 10/25/49 338,413 338,139

FNMA(2) 385,205 2.24 11/25/49 383,163 383,113

FNMA(2) 772,959 2.19 12/25/49 770,431 771,708

FNMA(2) 307,902 2.18 04/25/59 307,381 307,575



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


FNMA POOL #254295 221 6.00 % 04/01/22 $ 231 $ 243

FNMA POOL #481473 223 6.00 02/01/29 245 247

FNMA POOL #555285 2,002 6.00 03/01/33 2,219 2,295

FNMA POOL #745943 1,041 6.00 11/01/33 1,155 1,193

FNMA POOL #AE9965 24,735 4.50 06/01/41 26,505 26,861

FNMA POOL #AL5396 53,472 4.50 05/01/34 57,703 57,619

FNMA POOL #AL5890 291,411 4.50 03/01/43 313,359 316,422

FNMA POOL #AL6779(2) 316,586 2.62 05/01/45 319,712 322,051

FNMA POOL #AL6860 135,098 4.50 03/01/44 147,341 146,534

FNMA POOL #AL7500 144,595 4.00 09/01/45 154,328 158,649

FNMA POOL #AL7596(2) 131,439 2.62 11/01/45 133,193 133,371

FNMA POOL #AL7667 466,263 4.50 10/01/45 501,766 505,735

FNMA POOL #AL9150(2) 1,497,077 2.66 01/01/46 1,511,869 1,523,759

FNMA POOL #AS8816 508,644 4.00 02/01/47 544,149 548,928

FNMA POOL #AS9388 275,790 4.00 04/01/47 294,507 295,918

FNMA POOL #AS9585 327,934 4.00 05/01/47 350,189 351,867

FNMA POOL #AS9599 78,753 4.00 04/01/47 83,327 84,157

FNMA POOL #AW9153 46,560 5.00 07/01/44 51,823 51,051

FNMA POOL #AX5505 16,870 4.50 02/01/46 18,503 18,280

FNMA POOL #BD0635 54,140 4.00 10/01/46 56,049 57,145

FNMA POOL #BD5086(2) 376,586 3.10 03/01/47 386,827 383,598

FNMA POOL #BE1284 31,737 4.00 12/01/36 33,683 33,876

FNMA POOL #BE2736 304,586 4.00 09/01/47 313,813 323,713

FNMA POOL #BE2755 206,521 4.00 10/01/47 212,778 219,288

FNMA POOL #BF0307 608,706 3.00 01/01/43 621,636 625,992

FNMA POOL #BF0319 2,318,505 4.00 07/01/48 2,467,820 2,475,434

FNMA POOL #BH0222 64,279 4.00 04/01/47 68,190 70,512

FNMA POOL #BH2719 69,338 4.00 04/01/47 72,834 72,370

FNMA POOL #BJ1763 63,704 4.00 10/01/47 67,844 69,564

FNMA POOL #BJ1764 60,117 4.00 10/01/47 63,850 65,205

FNMA POOL #BJ5781 302,303 4.50 04/01/48 319,535 326,630

FNMA POOL #BJ5804 175,877 4.50 03/01/48 184,501 190,030

FNMA POOL #BJ5810 196,876 4.50 05/01/48 206,532 212,442

FNMA POOL #BJ8752 215,466 3.50 08/01/49 225,840 227,158

FNMA POOL #BK0456 107,000 4.00 12/01/49 114,451 114,444

FNMA POOL #BK9917 220,426 4.50 10/01/48 229,973 238,102

FNMA POOL #BM1535(2) 254,155 2.96 08/01/47 253,064 257,831

FNMA POOL #BM3139 205,991 4.00 10/01/37 212,593 219,200

FNMA POOL #BM4788 222,812 4.00 07/01/47 228,308 236,602

FNMA POOL #BM4795 8,584 3.50 08/01/48 8,579 9,008

FNMA POOL #BM4857 1,568,194 4.00 03/01/48 1,694,993 1,710,021

FNMA POOL #BM5449 2,133,484 5.00 02/01/49 2,302,795 2,384,957

FNMA POOL #BM5465 888,210 5.00 01/01/49 945,459 970,012

FNMA POOL #BM5626 193,690 4.50 03/01/49 202,348 208,214

FNMA POOL #BM6054(2) 402,941 2.74 06/01/45 407,043 410,914

FNMA POOL #BN1637 566,777 4.00 11/01/48 603,456 605,826

FNMA POOL #BN4698 257,161 4.00 03/01/49 265,176 273,162

FNMA POOL #BN4720 289,979 4.50 04/01/49 306,047 313,320

FNMA POOL #BN4752 35,590 4.00 05/01/49 37,660 37,843

FNMA POOL #BN4773 343,380 4.00 04/01/49 355,395 365,114

FNMA POOL #BN4774 43,553 4.00 05/01/49 45,010 46,309



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


FNMA POOL #BN8153 81,339 4.50 % 05/01/49 $ 86,062 $ 87,886

FNMA POOL #BN8170 303,134 4.00 05/01/49 320,766 321,395

FNMA POOL #BN8175 365,118 4.00 06/01/49 382,037 388,527

FNMA POOL #BN8188 170,706 4.00 06/01/49 180,635 180,488

FNMA POOL #BN8209 787,480 4.00 07/01/49 828,358 838,128

FNMA POOL #BN8219 111,048 3.50 06/01/49 114,858 115,231

FNMA POOL #BO0506 191,816 3.50 05/01/49 194,338 198,416

FNMA POOL #CA0706 2,361,790 4.00 11/01/47 2,480,635 2,481,745

FNMA POOL #CA1194 344,533 4.00 02/01/48 369,095 369,792

FNMA POOL #CA1916 1,085,843 5.00 06/01/48 1,175,113 1,213,824

FNMA POOL #CA2086 222,919 4.00 07/01/33 227,713 234,792

FNMA POOL #CA2190 2,975,179 4.00 08/01/48 3,019,070 3,107,156

FNMA POOL #CA2328 666,162 4.00 09/01/48 709,272 712,060

FNMA POOL #CA2407 379,911 4.00 09/01/33 388,874 396,699

FNMA POOL #CA2456 564,532 4.00 10/01/48 601,065 603,426

FNMA POOL #CA2494 603,156 5.00 10/01/48 650,548 674,249

FNMA POOL #CA2822 586,202 5.50 12/01/48 651,220 645,679

FNMA POOL #CA2945 2,159,832 4.00 01/01/49 2,252,000 2,245,479

FNMA POOL #CA3089 910,365 4.50 02/01/49 957,094 997,971

FNMA POOL #CA3374 1,052,814 4.00 04/01/49 1,122,729 1,130,911

FNMA POOL #CA3679 699,723 4.50 06/01/49 751,283 767,061

FNMA POOL #CA3827 3,193,740 4.00 07/01/49 3,412,296 3,415,908

FNMA POOL #CA3838 697,019 4.50 07/01/49 750,998 764,098

FNMA POOL #CA3839 871,755 4.50 07/01/49 941,768 942,726

FNMA POOL #CA3978 603,084 4.50 08/01/49 654,681 660,574

FNMA POOL #CA4062 363,904 2.50 08/01/31 369,283 368,079

FNMA POOL #CA4409 2,223,046 4.00 10/01/49 2,373,502 2,377,697

FNMA POOL #CA4563 1,812,559 3.50 11/01/49 1,872,678 1,875,764

FNMA POOL #CA4811 1,653,034 3.50 12/01/49 1,714,518 1,708,767

FNMA POOL #CA4822 605,237 4.00 12/01/49 659,415 658,614

FNMA POOL #CA4892 480,000 3.00 12/01/34 492,769 495,075

FNMA POOL #FM1056 1,398,182 5.50 06/01/49 1,553,121 1,570,472

FNMA POOL #FM1060 3,151,173 3.50 06/01/49 3,257,313 3,322,152

FNMA POOL #FM1070 449,608 5.00 09/01/48 483,537 490,646

FNMA POOL #FM1385 4,059,909 5.00 08/01/49 4,520,946 4,538,478

FNMA POOL #FM1386 1,650,457 5.00 08/01/49 1,821,616 1,826,889

FNMA POOL #FM1387 3,554,597 5.00 06/01/49 3,907,839 3,919,401

FNMA POOL #FM1955 785,956 4.00 06/01/48 846,009 846,556

FNMA POOL #MA3361 75,199 4.00 05/01/38 78,900 79,050

FNMA POOL #MA3871 3,590,188 3.00 12/01/49 3,644,398 3,639,771

FNMA POOL TBA(3) 4,100,000 2.50 01/01/50 4,054,244 4,051,593

FNMA POOL TBA(3) 3,300,000 3.00 01/01/50 3,341,201 3,344,722

FNMA POOL TBA(3) 200,000 3.50 01/01/50 205,281 205,630

FNMA POOL TBA(3) 3,600,000 3.50 03/01/50 3,692,672 3,698,248

GNMA(2) 127,293 4.53 11/16/41 134,325 140,874

GNMA 492,748 2.50 08/20/44 474,477 496,240

GNMA 570,017 3.50 03/20/49 583,184 580,155

GNMA 971,519 3.50 09/20/49 989,628 1,002,146

GNMA POOL #726122 17,344 5.00 12/20/39 19,306 19,143

GNMA POOL #784110 37,553 5.00 11/20/45 41,783 41,203

GNMA POOL #784398 128,908 4.50 08/15/47 134,494 138,483



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


GNMA POOL #784666 2,071,851 5.00 % 01/20/49 $ 2,199,506 $ 2,287,881

GNMA POOL #784667 784,482 4.50 02/20/49 821,630 852,520

GNMA POOL #784749 223,841 5.00 02/20/49 240,051 241,304

GNMA POOL #784780 200,133 5.00 03/20/49 213,560 215,932

GNMA POOL #BD4260 116,233 4.00 10/20/47 121,275 122,784

GNMA POOL #BE6454 470,955 3.50 01/20/48 473,313 492,918

GNMA POOL #BF9479 150,978 4.00 03/20/48 154,861 156,710

GNMA POOL #BF9523 235,885 4.00 04/20/48 241,672 245,914

GNMA POOL #BF9534 200,448 4.00 04/20/48 205,721 209,544

GNMA POOL #BF9563 135,476 4.00 04/20/48 139,160 142,135

GNMA POOL #BJ5392 464,442 4.50 03/20/49 485,360 498,469

GNMA POOL #BK2493 119,602 4.50 03/20/49 125,990 128,429

GNMA POOL #BK2509 242,395 4.50 04/20/49 255,707 260,227

GNMA POOL #BL4661 204,100 4.50 05/20/49 215,703 219,223

GNMA POOL #BL7728 195,244 4.50 05/20/49 206,344 209,816

GNMA POOL #BL7745 145,133 4.50 05/20/49 153,578 155,953

GNMA POOL #BL7755 243,299 4.00 05/20/49 253,212 258,267

GNMA POOL #BL9226 807,606 4.00 06/20/49 847,121 857,314

GNMA POOL #BM5458 605,974 4.00 07/20/49 638,663 643,403

GNMA POOL #MA5080 1,616,936 5.00 03/20/48 1,682,458 1,740,758

GNMA POOL #MA5266 2,177,537 5.00 06/20/48 2,299,012 2,315,870

GNMA POOL #MA5400 853,584 5.00 08/20/48 907,180 906,568

GNMA POOL #MA5653 410,809 5.00 12/20/48 435,100 433,987

GNMA POOL #MA5986 682,294 4.00 06/20/49 704,072 706,812

GNMA POOL #MA5988 9,332 5.00 06/20/49 9,871 9,898

GNMA POOL #MA6042 6,030 5.00 07/20/49 6,564 6,400

GNMA POOL #MA6091 1,866,724 4.00 08/20/49 1,948,979 1,939,389

GNMA POOL #MA6154 2,184,054 3.50 09/20/49 2,254,177 2,262,480

GNMA POOL #MA6157 192,634 5.00 09/20/49 204,474 203,868

GNMA POOL TBA(3) 1,100,000 3.00 01/01/50 1,127,731 1,129,170

GNMA POOL TBA(3) 1,400,000 3.50 01/01/50 1,443,818 1,442,611

GNMA POOL TBA(3) 2,200,000 3.00 03/01/50 2,249,156 2,253,597 ____________________________________ ____________________________________



US Treasury Bond * 8,925,000 3.13 02/15/43 10,389,698 10,109,569

US Treasury Bond 1,730,000 2.88 05/15/43 1,896,723 1,882,414

US Treasury Bond * 2,313,000 3.13 08/15/44 2,547,076 2,627,917

US Treasury Bond 8,145,000 3.00 11/15/44 8,901,371 9,068,020

US Treasury Bond 4,235,000 2.50 05/15/46 4,451,127 4,318,354

US Treasury Bond 2,148,000 2.25 08/15/46 2,136,226 2,084,832

US Treasury Note 406,000 2.50 06/30/20 406,292 407,713

US Treasury Note 5,330,000 1.38 08/31/20 5,299,718 5,320,942

US Treasury Note 4,968,000 2.63 11/15/20 4,980,511 5,009,433

US Treasury Note 139,000 1.25 03/31/21 138,323 138,346

US Treasury Note 711,000 2.63 06/15/21 721,209 721,205

US Treasury Note 4,320,000 2.63 07/15/21 4,371,961 4,386,423

US Treasury Note 1,707,000 2.00 10/31/21 1,716,152 1,719,288

US Treasury Note 342,000 2.88 11/15/21 349,871 349,982

US Treasury Note 2,697,000 1.50 11/30/21 2,690,250 2,692,616

US Treasury Note 6,441,000 2.25 04/15/22 6,519,207 6,533,165

US Treasury Note 591,000 1.75 07/15/22 592,083 593,016



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


US Treasury Note 324,000 1.63 % 11/15/22 $ 324,014 $ 324,061

US Treasury Note 4,682,000 1.63 12/15/22 4,685,568 4,683,858

US Treasury Note 1,393,000 2.63 02/28/23 1,434,230 1,435,235

US Treasury Note 6,562,000 2.75 04/30/23 6,784,836 6,795,303

US Treasury Note 5,940,000 2.75 07/31/23 6,162,212 6,164,032

US Treasury Note 1,111,000 2.50 01/31/24 1,144,243 1,146,644

US Treasury Note 345,000 2.38 02/29/24 355,586 354,541

US Treasury Note 1,223,000 1.50 10/31/24 1,211,009 1,211,640

US Treasury Note 2,089,000 2.25 11/15/24 2,145,151 2,141,718

US Treasury Note 2,259,000 1.50 11/30/24 2,239,522 2,238,518

US Treasury Note 1,666,000 1.75 12/31/24 1,668,410 1,669,617

US Treasury Note 2,105,000 2.88 11/30/25 2,210,466 2,234,143

US Treasury Note 5,796,000 2.63 01/31/26 6,100,340 6,073,150

US Treasury Note 3,374,000 1.63 02/15/26 3,309,878 3,340,565

US Treasury Note 2,626,000 2.38 04/30/26 2,722,104 2,715,495

US Treasury Note 3,899,000 1.63 05/15/26 3,858,350 3,855,078

US Treasury Note 7,883,000 1.88 06/30/26 7,897,921 7,912,924

US Treasury Note 1,206,000 1.38 08/31/26 1,176,454 1,171,797

US Treasury Note 200,000 1.63 09/30/26 197,962 197,380

US Treasury Note 2,727,000 1.63 11/30/26 2,689,786 2,689,209

US Treasury Note 1,782,000 1.75 11/15/29 1,763,064 1,753,704

US Treasury Note 1,396,000 2.25 08/15/49 1,383,573 1,352,593

US Treasury Note 1,808,000 2.38 11/15/49 1,818,610 1,799,875 ____________________________________ ____________________________________





AESOP LLC(1) 121,000 3.07 09/20/23 119,241 123,022


AESOP LLC(1) 678,000 3.35 09/22/25 677,786 698,874


AESOP LLC(1) 976,000 2.36 03/20/26 975,984 966,560


LLC(1) 191,636 3.28 12/28/48 AA 191,567 189,628


LLC(1)(2) 279,092 3.44 11/26/46 BBB 280,042 278,522


LLC(1) 200,269 4.13 12/26/47 A 204,477 207,459


REV1(1) 439,000 2.62 08/15/28 AAA 438,507 443,922


REV2(1) 904,000 2.36 03/15/29 886,045 909,365


REV1(1) 1,192,000 3.19 07/15/31 AAA 1,190,633 1,238,286


REV2(1) 484,000 3.47 01/15/30 488,788 505,086


REV1(1) 531,000 3.52 07/15/30 AAA 530,922 557,073

Ford Credit Floorplan Master Owner

Trust A 324,000 2.44 09/15/26 AAA 324,124 324,681



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Hertz Vehicle Financing II LP(1) 403,000 2.67 % 09/25/21 $ 401,208 $ 404,109









2(1) 401,000 3.65 06/27/22 400,999 408,438


3(1) 446,000 4.03 07/25/24 445,970 466,376


2014-A(1)(2) 581,000 3.34 10/15/31 AAA 587,845 592,399


2014-CT(1)(2) 41,083 2.44 09/16/24 AAA 40,879 41,081


2016-A(1)(2) 208,008 3.89 12/15/45 215,318 215,038


2018-B(1) 351,000 3.61 12/15/59 AAA 352,238 361,390


Trust 2018-A(1) 176,000 3.19 02/18/42 AAA 175,923 177,044


Trust 2018-C(1) 184,000 3.52 06/16/42 AAA 183,983 186,845


Trust 2018-D(1) 478,000 4.00 12/15/59 AAA 498,637 493,215


Trust 2019-A(1) 941,000 3.42 01/15/43 AAA 940,597 958,336


Trust 2019-C(1) 969,000 3.13 02/15/68 AAA 974,083 973,424


Trust 2019-D(1) 790,000 3.01 12/15/59 AAA 789,653 797,946


Trust 2019-F(1) 947,000 2.60 08/15/68 AAA 946,658 944,828


Trust 2019-G(1) 917,000 2.40 10/15/68 AAA 916,997 910,839

Navient Student Loan Trust 2014-1(2) 331,470 2.30 06/25/31 324,578 325,113

Navient Student Loan Trust 2015-1(2) 1,024,385 2.39 04/25/40 1,020,233 1,003,846


1(1)(2) 557,526 2.50 02/25/70 AA+ 552,400 549,144


3(1)(2) 91,149 2.64 06/25/65 AAA 92,030 91,252


5(1)(2) 596,296 3.04 06/25/65 601,570 602,082


5(1)(2) 290,477 2.59 07/26/66 291,134 285,479


EA(1) 494,000 4.00 12/15/59 AAA 493,936 511,280


4(1)(2) 1,616,000 2.60 07/25/68 AA+ 1,615,748 1,603,336

Navient Student Loan Trust 2019-B(1) 632,000 3.39 12/15/59 AAA 631,967 648,605



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Nelnet Student Loan Trust 2004-3(2) 220,565 2.12 % 10/27/36 AA+ $ 216,136 $ 213,828






Nelnet Student Loan Trust 2006-3(2) 49,822 2.21 03/25/27 AAA 49,215 49,447






Nelnet Student Loan Trust 2017-2(1)(2) 325,130 2.56 09/25/65 AA+ 323,701 319,693





SLM Student Loan Trust 2003-1(1)(2) 379,450 2.64 12/15/32 AA+ 371,894 368,399

SLM Student Loan Trust 2004-10(1)(2) 896,000 2.54 10/25/29 AAA 875,909 891,341







2015-A(1)(2) 359,077 2.74 06/15/27 AAA 359,166 359,860


2015-C(1)(2) 108,876 3.14 07/15/27 AAA 108,540 109,634


2016-A(1) 551,696 2.70 05/15/31 551,404 552,831


2016-A(1)(2) 902,170 3.24 05/15/31 909,820 910,398


2016-B(1) 286,727 2.43 02/17/32 284,427 285,002


2016-B(1)(2) 901,853 3.19 02/17/32 908,897 908,723


2016-C(1)(2) 288,619 2.84 09/15/34 AAA 288,718 289,211


2017-A(1)(2) 320,585 2.64 09/15/34 AAA 321,021 320,293


2017-B(1)(2) 616,846 2.49 10/15/35 AAA 616,935 614,527


2017-B(1) 481,051 2.82 10/15/35 AAA 488,688 481,792


2018-C(1) 315,000 3.63 11/15/35 AAA 326,250 327,527


2019-A(1) 1,268,000 3.44 07/15/36 AAA 1,280,897 1,287,030


A LLC(1) 206,283 2.76 12/26/36 208,911 206,924



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



2016-D LLC(1)(2) 33,908 2.74 % 01/25/39 $ 34,004 $ 34,043


E LLC(1)(2) 71,029 2.64 07/25/39 71,029 71,033


2017-A LLC(1)(2) 71,089 2.49 03/26/40 AAA 71,089 71,194


2017-E LLC(1)(2) 52,144 2.29 11/26/40 AAA 52,144 52,022


2017-E LLC(1) 858,000 2.72 11/26/40 AAA 854,195 864,734


A LLC(1) 241,000 2.95 02/25/42 AAA 244,048 243,122


B Trust(1) 693,000 3.34 08/25/47 AAA 692,324 704,123


Master Trust 337,000 3.46 07/15/25 AAA 341,091 344,618


Master Trust 1,235,000 3.14 12/15/25 AAA 1,262,139 1,261,139 ____________________________________ ____________________________________


Securities 46,708,900 46,841,693 ____________________________________ ____________________________________


BBCMS Mortgage Trust 2018-C2 1,508,000 4.31 12/15/51 AAA 1,703,095 1,694,778

Bunker Hill Loan Depositary Trust

2019-2(1) 205,582 2.88 07/25/49 AAA 206,600 206,042

CD 2016-CD1 Mortgage Trust 282,000 2.62 08/10/49 279,991 285,032

CD 2017-CD4 Mortgage Trust(2) 234,000 3.51 05/10/50 AAA 231,730 248,695


2016-C3 82,930 1.79 01/10/48 83,531 82,714


2016-C4 245,000 3.09 05/10/58 247,587 251,227

Citigroup Commercial Mortgage Trust

2016-P5 386,015 1.41 10/10/49 383,748 383,854


Trust(2) 20,000 4.21 08/10/46 21,192 21,276


Trust(2) 439,000 4.22 07/10/45 AAA 463,722 464,702

COMM 2013-LC6 Mortgage Trust 1,011,000 2.94 01/10/46 AAA 1,015,186 1,029,686


Trust 91,169 3.50 08/10/47 94,364 93,829


Trust 707,000 3.37 10/10/48 735,734 730,332

COMM 2015-DC1 Mortgage Trust 879,000 3.14 02/10/48 882,665 894,877

COMM 2018-COR3 Mortgage Trust 508,000 4.23 05/10/51 565,815 565,663

Csail 2015-C2 Commercial Mortgage

Trust 227,000 3.50 06/15/57 229,640 237,219


Mortgage Trust 285,000 3.72 08/15/48 298,885 301,250


Mortgage Trust 322,000 3.81 11/15/48 337,763 343,165


Mortgage Trust 272,000 3.02 09/15/52 AAA 280,679 278,314



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Corporate Mortgage-Backed Securities (Continued)

CSMC Trust 2016-NXSR(2) 676,000 3.79 % 12/15/49 $ 683,467 $ 720,139

Deephaven Residential Mortgage

Trust 2019-4(1)(2) 2,241,407 2.79 10/25/59 AAA 2,241,401 2,241,535


GCJ7 98,561 2.94 05/10/45 101,375 98,729


GC18 157,925 3.80 01/10/47 166,263 164,018


GC28 105,000 3.40 02/10/48 109,771 109,701


GC34 261,000 3.51 10/10/48 263,479 275,251


GS6 1,283,000 3.43 05/10/50 1,274,628 1,353,971


GS7 411,000 3.43 08/10/50 415,692 434,600

Impact Funding Affordable

Multifamily Housing Mortgage

Loan Trust 2010-1(1) 498,189 5.31 01/25/51 AAA 559,644 521,135

JP Morgan Chase Commercial

Mortgage Securities Trust 2016-JP2 112,718 1.32 08/15/49 111,606 112,117






Securities Trust 2015-C28 1,017,000 2.91 10/15/48 1,022,367 1,038,395




Securities Trust 2017-C5 132,000 3.69 03/15/50 AAA 134,038 141,350


Securities Trust 2019-COR6 820,000 3.06 11/13/52 AAA 848,708 844,078


Merrill Lynch Trust 2013-C10(2) 153,000 4.08 07/15/46 162,174 161,801









SG Residential Mortgage Trust 2019-

3(1)(2) 1,955,436 2.70 09/25/59 AAA 1,955,405 1,951,406

Structured Asset Security Corporate

Mortgage Pass Through Certificate

Series 1998-2 Tr(2) 195 2.31 02/25/28 AA+ 193 195 ____________________________________ ____________________________________


Securities 18,968,626 19,151,702 ____________________________________ ____________________________________


Clark County Nevada Airport System

Revenue 290,000 6.82 07/01/45 AA- 397,909 456,941



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

Municipal Bonds (Continued)

Los Angeles Community College

District General Obligation 430,000 6.75 % 08/01/49 AA+ $ 610,173 $ 705,953


Revenue 283,000 6.72 01/01/49 A+ 387,075 444,007

Ohio State University Revenue 174,000 4.80 06/01/2111 AA 187,525 220,564


Jersey 340,000 4.46 10/01/62 AA- 351,342 416,704




Shares ___________



Investment Fund S(4) * 3,704,330 3,704,330 3,704,330 ____________________________________ ____________________________________




(1) This Fund holds 12.95% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The rates

shown are those in effect on December 31, 2019. (3) Securities issued on a when-issued (TBA) or forward-commitment basis. (4) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.06% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S. * All or a portion of this security is segregated for when-issued securities.



GMTN Global Medium Term Note

GNMA Government National Mortgage Association





Class E Class EF1 (1) Class EF2 (2)








Total return per share 8.47% 8.56% 8.61%


Ratios:

Ratio of expenses to average net assets 0.29% 0.26% 0.23%

Ratio of net investment income (loss) to average net assets 2.79% 2.71% 2.79%


(1) Class EF rebranded as class EF1 on May 16, 2019. (2) Class EF1 rebranded as class EF2 on May 16, 2019. (3) Based on average number of shares outstanding.





Class E Class EF1(1)



January 31, 2019 8,741,933 $ 10.61 5,930,698 $ 10.61

February 28, 2019 8,589,322 10.61 5,913,234 10.61

March 31, 2019 8,573,977 10.82 5,935,575 10.82

April 30, 2019 8,576,667 10.82 5,914,428 10.82

May 31, 2019 8,571,382 11.00 5,904,657 11.00

June 30, 2019 8,951,734 11.14 5,966,227 11.14

July 31, 2019 8,889,102 11.17 5,877,388 11.17

August 31, 2019 8,891,602 11.45 5,877,040 11.45

September 30, 2019 8,998,305 11.39 5,843,705 11.39

October 31, 2019 1,398,570 11.42 12,876,968 11.42

November 30, 2019 1,406,428 11.41 12,947,554 11.42

December 31, 2019 1,396,859 11.40 12,998,269 11.41

Class EF2(2)

Shares Share


January 31, 2019 25,910,878 $ 10.68

February 28, 2019 25,921,323 10.67

March 31, 2019 25,853,672 10.88

April 30, 2019 25,776,661 10.88

May 31, 2019 25,902,819 11.07

June 30, 2019 25,958,245 11.20

July 31, 2019 25,972,815 11.24

August 31, 2019 25,966,462 11.52

September 30, 2019 25,856,749 11.46

October 31, 2019 25,737,149 11.49

November 30, 2019 25,808,206 11.48

December 31, 2019 25,720,237 11.48

(1) Class EF rebranded as Class EF1 on May 16, 2019.

(2) Class EF1 rebranded as Class EF2 on May 16, 2019.


WELLS FARGO DISCOVERY CIT


December 31, 2019

Cost

Fair

value

Assets:



Dividend income 91,388



Liabilities:

Payable for investment securities purchased 594,090




Net assets $ 340,381,393

Class Net Assets

Shares


E1 $ 92,034,000 8,387,383 $ 10.97

E2 $ 228,608,555 20,544,357 $ 11.13

N $ 19,738,838 1,794,620 $ 11.00





Investment income:

Dividend income from unaffiliated investments (net of foreign taxes

withheld of $6,398) $ 451,691


Total income 505,117

Expenses:

Administration, Advisory, and/or Trustee Fees 963,660

Total expenses 963,660

Net investment income (loss) (458,543)

Realized and unrealized gain (loss) on investment and foreign

currency transactions:



Foreign currency transactions (7)



Net gain (loss) on investment and foreign currency transactions 29,450,375







Net investment income (loss) $ (458,543)

Net realized gain (loss) on investments and foreign currency

transactions 3,480,054





Class E1 proceeds from issuance of shares (9,275,956 shares) 96,310,979

Class E1 payments for withdrawals (888,573 shares) (9,393,475)



Class E2 payments for withdrawals (2,924,833 shares) (30,895,254)







Net assets:

Beginning of year (0 Class E1 shares, 0 Class E2 shares, 0 Class N

shares) 0

End of year (8,387,383 Class E1(1) shares, 20,544,357 Class E2(2)

shares, 1,794,620 Class N(3) shares) $ 340,381,393 (1) Class E1 commenced operations May 13, 2019. (2) Class E2 commenced operations April 9, 2019. (3) Class N commenced operations April 30, 2019.



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities: 99.12%

Communication Services: 3.98%

Match Group, Inc 53,743 $ 3,559,250 $ 4,412,838

Take-Two Interactive Software, Inc 40,849 4,502,277 5,001,143

World Wrestling Entertainment, Inc A 63,866 4,870,332 4,142,987 ____________________________________ ____________________________________

Total Communication Services 12,931,859 13,556,968 ____________________________________ ____________________________________

Consumer Discretionary: 13.60%

Bright Horizons Family Solutions, Inc 36,251 5,060,334 5,448,163

Burlington Stores, Inc 25,997 4,663,709 5,928,096

Carvana Co 28,067 1,949,346 2,583,567

Chewy, Inc Cl-A 53,814 1,550,619 1,560,606

Chipotle Mexican Grill, Inc 5,980 4,477,075 5,005,918

Domino's Pizza, Inc 18,994 4,956,201 5,580,057

Etsy, Inc 79,503 4,663,840 3,521,983

Five Below, Inc 42,349 5,342,501 5,414,743

MercadoLibre, Inc 9,971 5,379,120 5,702,814

Vail Resorts, Inc 23,137 5,200,917 5,548,947 ____________________________________ ____________________________________

Total Consumer Discretionary 43,243,662 46,294,894 ____________________________________ ____________________________________

Consumer Staples: 2.80%

Lamb Weston Holdings, Inc 59,840 4,225,500 5,148,035

US Foods Holding Corp 104,542 4,228,393 4,379,264 ____________________________________ ____________________________________

Total Consumer Staples 8,453,893 9,527,299 ____________________________________ ____________________________________

Health Care: 23.95%

Amedisys, Inc 27,046 3,674,959 4,514,518

Bio-Rad Laboratories, Inc A 12,312 3,904,735 4,555,809

Catalent, Inc 83,897 4,156,457 4,723,401

CRISPR Therapeutics AG 24,930 1,043,548 1,518,362

Deciphera Pharmaceuticals, Inc 34,728 1,354,007 2,161,471

DexCom, Inc 38,089 5,367,787 8,331,588

Elanco Animal Health, Inc 120,834 3,661,970 3,558,561

Exact Sciences Corp 72,035 6,753,692 6,661,797

Haemonetics Corp 40,278 4,246,106 4,627,942

HealthEquity, Inc 81,942 5,243,325 6,069,444

ICU Medical, Inc 19,533 3,802,069 3,655,015

Immunomedics, Inc 127,516 1,959,429 2,698,239

Insulet Corp 32,910 4,039,086 5,634,192

iRhythm Technologies, Inc 56,048 3,954,521 3,816,308

Natera, Inc 48,722 1,751,618 1,641,444

Sarepta Therapeutics, Inc 22,786 2,472,309 2,940,306

Silk Road Medical, Inc 74,739 2,782,067 3,017,961

Turning Point Therapeutics, Inc 40,734 1,734,413 2,537,321

Twist Bioscience Corp 68,325 1,946,906 1,434,825

Veeva Systems, Inc A 31,424 4,500,195 4,420,100

Zai Lab Ltd ADR 49,670 1,516,394 2,065,775

Zymeworks, Inc 21,185 883,568 963,070 ____________________________________ ____________________________________

Total Health Care 70,749,161 81,547,449 ____________________________________ ____________________________________

Industrials: 22.18%

Brink's Co 45,456 3,667,235 4,121,950

Carlisle Cos, Inc 36,017 5,144,958 5,828,991



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities (Continued)

Casella Waste Systems, Inc A 120,465 $ 4,784,913 $ 5,545,004

Clarivate Analytics PLC 73,513 1,252,453 1,235,018

IAA, Inc 109,323 4,562,517 5,144,740

Mercury Systems, Inc 68,389 4,946,558 4,726,364

Middleby Corp 36,368 4,551,399 3,983,023

MSA Safety, Inc 41,430 4,478,449 5,235,095

Saia, Inc 54,780 4,147,298 5,101,114

SiteOne Landscape Supply, Inc 44,850 3,191,646 4,065,652

Teledyne Technologies, Inc 12,150 3,375,473 4,210,461

Tetra Tech, Inc 62,380 5,087,384 5,374,661

Trex Co, Inc 36,702 3,248,005 3,298,776

Waste Connections, Inc 78,835 7,156,379 7,157,430

Willscot Corp 259,334 3,704,225 4,795,086

Woodward, Inc 47,879 5,084,146 5,670,789 ____________________________________ ____________________________________

Total Industrials 68,383,038 75,494,154 ____________________________________ ____________________________________

Information Technology: 29.15%

Avalara, Inc 52,473 4,067,115 3,843,647

Black Knight, Inc 100,459 5,815,530 6,477,596

Booz Allen Hamilton Holding Corp 90,679 5,798,942 6,449,997

Elastic NV 52,042 4,043,087 3,346,301

Envestnet, Inc 52,707 3,395,798 3,669,988

EPAM Systems, Inc 30,885 5,497,077 6,552,562

Euronet Worldwide, Inc 39,938 5,925,979 6,292,631

Fair Isaac Corp 12,564 4,247,955 4,707,479

Globant SA 42,232 3,699,780 4,478,704

Lattice Semiconductor Corp 213,134 3,397,622 4,079,385

MongoDB, Inc 36,967 4,881,155 4,865,227

Motorola Solutions, Inc 25,884 3,999,376 4,170,948

NCR Corp 118,731 3,636,702 4,174,582

Novanta, Inc 52,777 4,373,477 4,667,598

Okta, Inc 39,168 4,763,055 4,518,812

Rogers Corp 27,234 4,186,002 3,396,897

Twilio, Inc A 46,141 5,269,899 4,534,737

WEX, Inc 35,784 7,141,779 7,495,317

WNS Holdings Ltd ADR 88,255 5,256,443 5,838,068

Zendesk, Inc 73,773 5,913,596 5,653,225 ____________________________________ ____________________________________

Total Information Technology 95,310,369 99,213,701 ____________________________________ ____________________________________

Materials: 2.51%

AptarGroup, Inc 40,044 4,687,309 4,629,887

Ingevity Corp 44,772 4,346,467 3,912,178 ____________________________________ ____________________________________

Total Materials 9,033,776 8,542,065 ____________________________________ ____________________________________

Real Estate: 0.95%

Lexington Realty Trust 303,894 3,327,805 3,227,354 ____________________________________ ____________________________________

Total Real Estate 3,327,805 3,227,354 ____________________________________ ____________________________________

Total Equities 311,433,563 337,403,884 ____________________________________ ____________________________________



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________



Investment Fund S (1) 4,072,495 $ 4,072,495 $ 4,072,495 ____________________________________ ____________________________________




(1) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.07% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.

ADR American Depositary Receipt





Class E1 (1) Class E2 (2) Class N (3)




Net investment income (loss)(4) (0.02) (0.02) (0.02)




Total return per share(5) 9.70% 11.30% 9.99%


Ratios:

Ratio of expenses to average net assets(6) 0.63% 0.57% 0.57%

Ratio of net investment income (loss) to average net assets(6) (0.33)% (0.26)% (0.27)%


(1) Class E1 commenced operations May 13, 2019. (2) Class E2 commenced operations April 9, 2019. (3) Class N commenced operations April 30, 2019. (4) Based on average number of shares outstanding. (5) Not annualized for periods less than one year. (6) Annualized for periods less than one year.





Class E1(1) Class E2(2)



January 31, 2019 - $ - - $ -

February 28, 2019 - - - -

March 31, 2019 - - - -

April 30, 2019 - - 11,802,881 10.19

May 31, 2019 2,118,353 9.91 11,491,384 10.05

June 30, 2019 6,071,764 10.74 11,609,175 10.89

July 31, 2019 5,992,213 11.07 11,690,298 11.23

August 31, 2019 5,884,643 10.70 11,458,629 10.85

September 30, 2019 5,740,768 10.28 11,400,326 10.42

October 31, 2019 5,580,126 10.19 21,057,064 10.33

November 30, 2019 5,459,934 10.94 20,734,931 11.09

December 31, 2019 8,387,383 10.97 20,544,357 11.13

Class N(3)

Shares Share


January 31, 2019 - $ -

February 28, 2019 - -

March 31, 2019 - -

April 30, 2019 - -

May 31, 2019 2,484,440 9.93

June 30, 2019 2,418,525 10.76

July 31, 2019 2,308,382 11.10

August 31, 2019 2,089,496 10.72

September 30, 2019 1,996,417 10.30

October 31, 2019 1,936,400 10.21

November 30, 2019 1,859,545 10.96

December 31, 2019 1,794,620 11.00

(1) Class E1 commenced operations May 13, 2019.

(2) Class E2 commenced operations April 09, 2019.

(3) Class N commenced operations April 30, 2019.


WELLS FARGO EMERGING MARKETS EQUITY CIT


December 31, 2019

Cost

Fair

value

Assets:



Foreign currency, at value (cost $2,789,258) 2,792,410




Liabilities:

Fund shares repurchased 7,577,679




Net assets $ 596,367,810

Class Net Assets

Shares


E1 $ 55,590,711 5,118,891 $ 10.86

E2 $ 65,893,875 6,002,132 $ 10.98

G1 $ 208,765,646 18,724,340 $ 11.15

MD $ 266,117,578 23,856,432 $ 11.15





Investment income:


withheld of $240,284) $ 2,130,638


Interest income 82


Expenses:







Investments 52,842

Foreign currency transactions (147,665)



Foreign currency translation of other assets and liabilities 3,590

Net gain (loss) on investments and foreign currency transactions 53,524,709









transactions (94,823)

Net change in unrealized appreciation (depreciation) of investments

and foreign currency translation of other assets and liabilities 53,619,532







Class E2 payments for withdrawals (95,945 shares) (1,026,977)


Class G1 proceeds from issuance of shares (18,724,340 shares) 191,018,911


Class MD proceeds from issuance of shares (25,530,583 shares) 253,218,424

Class MD for payments for withdrawals (1,674,151 shares) (17,707,290)




Net assets:

Beginning of year (0 Class E1 shares, 0 Class E2 shares, 0 Class G1

shares, 0 Class MD shares) 0

End of year (5,118,891 Class E1(1) shares, 6,002,132 Class E2(2)

shares, 18,724,340 Class G1(3) shares, 23,856,432 Class MD(4)

shares) $ 596,367,810 (1) Class E1 commenced operations October 22, 2019. (2) Class E2 commenced operations September 12, 2019. (3) Class G1 commenced operations October 18, 2019. (4) Class MD commenced operations June 25, 2019.



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities: 89.74%


America Movil SAB de CV Cl-L ADR 197,700 $ 2,982,574 $ 3,163,200

Bharti Airtel Ltd 100,000 539,970 638,571

Bharti Infratel Ltd 380,000 1,040,853 1,344,249

Bilibili, Inc ADR 355,588 5,324,142 6,621,048

China Literature Ltd (1) 407,800 1,554,236 1,700,846

China Mobile Ltd 2,000,800 16,890,674 16,818,192

iQIYI, Inc ADR 135,837 2,413,180 2,867,519

KT Corp ADR 579,513 6,709,655 6,722,351

MTN Group Ltd 513,900 3,508,353 3,026,675

NAVER Corp 66,500 7,974,104 10,699,513

Sea Ltd ADR 36,991 1,064,604 1,487,778

Sina Corp 110,815 4,300,812 4,424,843

Telekomunikasi Indonesia Persero Tbk PT

ADR 159,800 4,688,942 4,554,300

Tencent Holdings Ltd 468,000 20,356,456 22,558,269

Weibo Corp ADR 164,162 7,142,972 7,608,909

Wise Talent Information Technology Co Ltd 200,800 436,408 394,266

Yandex NV A 172,424 6,016,382 7,498,720 ____________________________________ ____________________________________



Alibaba Group Holding Ltd ADR 75,166 12,828,817 15,942,709

Astra International Tbk PT 6,940,000 3,331,332 3,456,763

B2W Cia Digital 537,902 6,206,112 8,452,230

BK Brasil Operacao e Assessoria a

Restaurantes SA 385,000 1,857,473 1,707,050

China Distance Education Holdings Ltd ADR 116,939 639,819 946,037

China Meidong Auto Holdings Ltd 850,600 778,642 1,115,605

Genting Bhd 492,000 752,966 727,686

GreenTree Hospitality Group Ltd ADR 212,835 2,352,399 2,341,185

Koolearn Technology Holding Ltd (1) 890,400 1,495,257 2,125,360

Li Ning Co Ltd 3,689,000 11,107,040 11,054,265

Lojas Renner SA 318,000 3,887,576 4,462,890

Meituan Dianping Cl-B 543,900 5,549,197 7,112,587

MercadoLibre, Inc 3,176 1,773,035 1,816,481

New Oriental Education & Technology

Group, Inc ADR 75,075 8,165,323 9,102,844

Pinduoduo, Inc ADR 39,422 1,100,808 1,490,940

SACI Falabella 1,237,958 6,587,773 5,335,431

Trip.com Group Ltd ADR 213,931 7,085,432 7,175,246

Vipshop Holdings Ltd ADR 848,925 7,577,319 12,029,267 ____________________________________ ____________________________________



Ambev SA ADR 656,400 2,969,882 3,058,824

Atacadao SA 755,000 3,980,911 4,397,395

Becle SAB de CV 1,710,900 2,620,560 3,180,650

BRF SA ADR 853,200 7,398,992 7,422,840

Fomento Economico Mexicano SAB de CV

ADR 116,930 10,816,883 11,051,054

ITC Ltd 1,650,000 5,914,198 5,494,749



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


KT&G Corp 39,000 $ 3,325,798 $ 3,155,393

Magnit PJSC GDR 77,000 1,008,180 928,235

Oceana Group Ltd 17,600 82,496 77,344

President Chain Store Corp 310,000 2,984,002 3,143,743

Raia Drogasil SA 16,000 332,512 445,698

San Miguel Food and Beverage, Inc 440,000 773,065 738,474

Shoprite Holdings Ltd 403,700 3,863,013 3,629,437

Sun Art Retail Group Ltd 4,036,600 4,103,776 4,895,329

Thai Beverage PCL 6,400,000 4,138,767 4,235,102

Tiger Brands Ltd 193,100 2,929,348 2,905,048

Tsingtao Brewery Co Ltd H 805,500 4,905,527 5,411,486

Uni-President Enterprises Corp 4,818,000 11,917,047 11,925,663

Wal-Mart de Mexico SAB de CV 883,200 2,548,578 2,535,507

Want Want China Holdings Ltd 6,490,200 5,202,725 6,063,506

WH Group Ltd (1) 11,973,300 11,529,950 12,369,270

Zhou Hei Ya International Holdings Co Ltd (1) 2,912,400 1,509,690 2,078,070 ____________________________________ ____________________________________


Energy: 4.76%

CNOOC Ltd 4,309,400 6,745,561 7,167,309

LUKOIL PJSC ADR 50,900 4,335,299 5,048,716

PTT PCL 2,350,000 3,499,298 3,487,420

Reliance Industries Ltd GDR(1) 297,455 11,097,262 12,656,710 ____________________________________ ____________________________________

Total Energy 25,677,420 28,360,155 ____________________________________ ____________________________________

Financials: 15.73%

AIA Group Ltd 1,228,700 12,345,665 12,898,330

B3 SA - Brasil Bolsa Balcao 689,100 7,564,986 7,402,738

Bajaj Finance Ltd 98,649 5,421,229 5,852,685

Banco Bradesco SA ADR 600,474 5,205,340 5,374,242

Banco Santander Chile ADR 164,100 4,613,043 3,785,787

Banco Santander Mexico SA Institucion de

Banca Multiple Grupo Financiero Santand

ADR 372,580 2,593,249 2,526,092

Banco Santander Mexico SA Institucion de

Banca Multiple Grupo Financiero Santand B 499,600 610,534 681,723

Bancolombia SA ADR 64,500 3,234,131 3,533,955

Bank Central Asia Tbk PT 855,000 1,848,175 2,056,280

China Life Insurance Co Ltd H 3,816,100 9,408,709 10,602,590

FinVolution Group ADR 494,820 1,751,544 1,311,273

Grupo Financiero Banorte SAB de CV O 386,400 2,114,681 2,157,260

HDFC Bank Ltd ADR 206,872 11,880,006 13,109,479

ICICI Bank Ltd ADR 54,050 650,733 815,615

IRB Brasil Resseguros S/A 114,000 961,056 1,107,502

Jianpu Technology, Inc ADR 407,883 1,240,105 607,746

Samsung Life Insurance Co Ltd 83,000 5,176,122 5,336,043

Sberbank of Russia PJSC ADR 203,734 3,004,537 3,349,387

Siam Commercial Bank PCL 1,150,000 4,640,679 4,700,216

Standard Bank Group Ltd 253,600 3,145,547 3,047,690

Standard Chartered PLC 373,796 3,166,951 3,527,307 ____________________________________ ____________________________________

Total Financials 90,577,022 93,783,940 ____________________________________ ____________________________________



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


Health Care: 1.23%

Hapvida Participacoes e Investimentos SA (1) 196,600 $ 2,370,674 $ 3,131,482

Hua Medicine (1) 1,207,600 972,360 776,417

Shandong Weigao Group Medical Polymer Co

Ltd H 2,653,400 2,717,224 3,180,416

Shanghai Junshi BioScience Holdings 79,600 286,949 272,746 ____________________________________ ____________________________________


Industrials: 2.55%

51job, Inc ADR 64,728 4,718,863 5,495,407

Ayala Corp 176,000 2,992,905 2,726,108

Best, Inc ADR 586,184 3,041,667 3,259,183

HeadHunter Group PLC ADR 30,104 543,992 645,731

Johnson Electric Holdings Ltd 315,700 611,358 717,914

SM Investments Corp 115,000 2,224,150 2,366,489 ____________________________________ ____________________________________



Huami Corp ADR 333,906 3,328,780 4,013,550

Infosys Ltd ADR 44,300 468,251 457,176

MediaTek, Inc 533,000 6,062,599 7,885,562

Samsung Electronics Co Ltd 568,000 23,050,347 27,370,127

SK Hynix, Inc 68,000 4,361,559 5,530,966

Taiwan Semiconductor Manufacturing Co Ltd

ADR 450,500 20,160,594 26,174,050

Xiaomi Corp Cl-B(1) 4,063,100 4,661,502 5,620,961 ____________________________________ ____________________________________


Materials: 1.17%

AngloGold Ashanti Ltd ADR 119,100 2,361,557 2,660,694

Cemex SAB de CV ADR 574,059 2,218,271 2,169,943

Cia de Minas Buenaventura SAA ADR 141,500 2,067,066 2,136,650 ____________________________________ ____________________________________

Total Materials 6,646,894 6,967,287 ____________________________________ ____________________________________

Real Estate: 1.47%

Fibra Uno Administracion SA de CV 5,464,900 7,897,746 8,462,899

Multiplan Empreendimentos Imobiliarios SA 39,000 292,101 322,661 ____________________________________ ____________________________________


Total Equities 484,541,494 535,187,869 ____________________________________ ____________________________________

Exchange Traded Funds: 1.08%

iShares MSCI Brazil ETF 11,900 504,798 564,655

iShares MSCI South Korea ETF 12,300 708,357 764,937

iShares MSCI Emerging Markets ETF 107,000 4,279,904 4,801,090

iShares MSCI India ETF 8,900 302,867 312,835 ____________________________________ ____________________________________

Total Exchange Traded Funds 5,795,926 6,443,517 ____________________________________ ____________________________________

Preferred Stocks: 1.43%

Lojas Americanas SA 1,315,000 6,221,778 8,516,354 ____________________________________ ____________________________________

Total Preferred Stocks 6,221,778 8,516,354 ____________________________________ ____________________________________



December 31, 2019


Shares Cost Fair

Value ___________ ____________ ______________

Rights: 0.00% Consumer Discretionary: 0.00% Lojas Americanas SA 11,726 $ — $ 27,400 ______________________________________ ______________________________________

Total Consumer Discretionary — 27,400 ______________________________________ ______________________________________

Total Rights — 27,400 ______________________________________ ______________________________________



Investment Fund S (2) 57,665,940 57,665,940 57,665,940 ______________________________________ ______________________________________

Total Short-Term Investments 57,665,940 57,665,940 ______________________________________ ______________________________________

Total Investments: 101.92% $ 554,225,138 $ 607,841,080 ______________________________________ ______________________________________ ______________________________________ ______________________________________

Percentages shown are based on total net assets. (1) This Fund holds 6.78% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.94% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S. ADR American Depositary Receipt GDR Global Depositary Receipt MTN Medium Term Note

% of Total

Country Investments

China 28.37%

United States 10.55

Korea 9.68

Brazil 9.19

Taiwan 8.08

Hong Kong 7.85

India 6.64

Mexico 5.91

Russia 2.87

South Africa 2.52

Thailand 2.04

Indonesia 1.66

Chile 1.50

Other 3.14

100.00%





Class E1 (1) Class E2 (2) Class G1 (3) Class MD (4)


Share value, beginning of year $ 10.00 $ 10.00 $ 10.19 $ 10.00


Net investment income (loss)(5) 0.02 0.01 0.03 0.05

Net realized and unrealized gain (loss) on

investments 0.84 0.97 0.93 1.10

Total from investment operations 0.86 0.98 0.96 1.15

Share value, end of year $ 10.86 $ 10.98 $ 11.15 $ 11.15

Total return per share(6) 8.61% 9.79% 9.41% 11.56%

Net assets, end of year $ 55,590,711 $ 65,893,875 $ 208,765,646 $ 266,117,578

Ratios:

Ratio of expenses to average net assets(7) 0.93% 0.86% 0.08% 0.58%

Ratio of net investment income (loss) to

average net assets(7) 0.78% 0.42% 1.21% 1.01%

Portfolio Turnover Rate(8) 0% 0% 0% 0%

(1) Class E1 commenced operations October 22, 2019. (2) Class E2 commenced operations September 12, 2019. (3) Class G1 commenced operations October 18, 2019. (4) Class MD commenced operations June 25, 2019. (5) Based on average number of shares outstanding. (6) Not annualized for periods less than one year. (7) Annualized for periods less than one year. (8) Amount less than 0.5%





Class E1(1) Class E2(2)



January 31, 2019 - $ - - $ -

February 28, 2019 - - - -

March 31, 2019 - - - -

April 30, 2019 - - - -

May 31, 2019 - - - -

June 30, 2019 - - - -

July 31, 2019 - - - -

August 31, 2019 - - - -

September 30, 2019 - - 3,039,073 9.93

October 31, 2019 1,569,788 10.18 3,039,073 10.29

November 30, 2019 1,569,790 10.24 6,039,133 10.35

December 31, 2019 5,118,891 10.86 6,002,132 10.98

Class G1(3) Class MD(4)



January 31, 2019 - $ - - $ -

February 28, 2019 - - - -

March 31, 2019 - - - -

April 30, 2019 - - - -

May 31, 2019 - - - -

June 30, 2019 - - 3,912,097 10.00

July 31, 2019 - - 16,450,385 9.91

August 31, 2019 - - 24,983,179 9.76

September 30, 2019 - - 25,434,668 9.95

October 31, 2019 18,724,340 10.44 24,897,177 10.45

November 30, 2019 18,724,340 10.50 24,439,776 10.51

December 31, 2019 18,724,340 11.15 23,856,432 11.15

(1) Class E1 commenced operations October 22, 2019.

(2) Class E2 commenced operations September 12, 2019.

(3) Class G1 commenced operations October 18, 2019.

(4) Class MD commenced operations June 25, 2019.


WELLS FARGO ENHANCED STOCK MARKET CIT


December 31, 2019

Cost

Fair

value

Assets:

Affiliated short term investment $ 947,649 $ 947,649


Cash 3,775





Liabilities:



Total liabilities 572,687

Net assets $ 478,505,007

Class Net Assets

Shares


F $ 56,695,534 3,831,358 $ 14.80

N $ 421,809,473 1,408,282 $ 299.52





Investment income:


withheld of $1,197) $ 10,788,788



Expenses:






















Class F proceeds from issuance of shares (1,840,077 shares) 24,386,572

Class F payments for withdrawals (2,391,231 shares) (31,691,265)


Class N proceeds from issuance of shares (179,182 shares) 47,673,850


Net change (51,304,293)

Class N20 payments for withdrawals (2,028,356 shares) (60,306,255)

Net change (60,306,255)

Change in net assets derived from share transactions (118,915,241)


Net assets:

Beginning of year (4,382,512 Class F shares, 1,605,470 Class N

shares, 2,028,356 Class N20 shares) 468,219,840

End of year (3,831,358 Class F shares, 1,408,282 Class N shares, 0

Class N20(1) shares) $ 478,505,007 (1) Class N20 ceased operations November 06, 2019.



December 31, 2019


Shares Cost

Fair

Value ____________ _____________ ______________

Equities: 98.77%


Alphabet, Inc Cl-A 6,239 $ 3,013,777 $ 8,356,454

Alphabet, Inc Cl-C 6,592 3,629,225 8,813,636

AT&T, Inc 175,526 5,919,642 6,859,556

Comcast Corp Cl-A 111,060 1,927,320 4,994,368

Discovery, Inc A 38,042 1,120,871 1,245,495

Facebook, Inc Cl-A 36,480 3,422,754 7,487,520

Netflix, Inc 6,016 1,955,429 1,946,597

T-Mobile US, Inc 8,288 646,157 649,945

Verizon Communications, Inc 102,661 5,298,199 6,303,386

Walt Disney Co 36,856 3,178,885 5,330,483

Zayo Group Holdings, Inc 13,380 459,445 463,617 ____________________________________ ____________________________________



Amazon.com, Inc 6,678 5,325,719 12,339,876

AutoZone, Inc 794 869,014 945,900

Best Buy Co, Inc 13,056 579,212 1,146,317

Booking Holdings, Inc 347 686,357 712,644

Domino's Pizza, Inc 1,665 486,164 489,144

DR Horton, Inc 37,845 2,047,471 1,996,324

eBay, Inc 21,529 843,659 777,412

Ford Motor Co 173,477 1,672,261 1,613,336

General Motors Co 61,138 2,300,865 2,237,651

Genuine Parts Co 5,848 596,276 621,233

Hilton Worldwide Holdings, Inc 4,806 449,172 533,033

Home Depot, Inc 27,839 2,713,838 6,079,481

Lennar Corp A 15,991 914,370 892,138

Lowe's Cos, Inc 14,199 1,627,886 1,700,472

Macy's, Inc 62,283 1,722,189 1,058,811

McDonald's Corp 6,604 800,160 1,305,016

NIKE, Inc Cl-B 9,761 742,696 988,887

NVR, Inc 253 939,451 963,528

PulteGroup, Inc 44,735 1,454,891 1,735,718

Starbucks Corp 41,788 2,948,844 3,674,001

Target Corp 24,806 2,099,209 3,180,377

Whirlpool Corp 3,217 459,822 474,604 ____________________________________ ____________________________________



Altria Group, Inc 30,711 1,550,743 1,532,786

Coca-Cola Co 41,989 1,964,686 2,324,091

Costco Wholesale Corp 11,190 2,994,661 3,288,965

Estee Lauder Cos, Inc Cl-A 6,916 1,283,569 1,428,431

Hershey Co 4,309 650,660 633,337

Kimberly-Clark Corp 8,291 1,070,456 1,140,427

Kroger Co 17,259 461,228 500,338

Molson Coors Brewing Co B 18,396 1,037,936 991,544

PepsiCo, Inc 14,865 1,501,357 2,031,599

Philip Morris International, Inc 47,251 3,570,617 4,020,588

Procter & Gamble Co 57,513 4,323,397 7,183,374

Sysco Corp 8,624 628,631 737,697



December 31, 2019


Shares Cost

Fair

Value ____________ _____________ ______________


Tyson Foods, Inc Cl-A 24,727 $ 1,558,768 $ 2,251,146

Walgreens Boots Alliance, Inc 41,149 2,423,896 2,426,145

Walmart, Inc 34,751 2,557,997 4,129,809 ____________________________________ ____________________________________


Energy: 4.30%

Chevron Corp 46,590 3,834,233 5,614,561

ConocoPhillips 31,497 2,011,169 2,048,250

Exxon Mobil Corp 55,960 3,409,947 3,904,889

Kinder Morgan, Inc 39,297 769,735 831,917

Marathon Petroleum Corp 37,831 2,530,327 2,279,318

Phillips 66 9,366 886,479 1,043,466

Schlumberger Ltd 65,707 3,767,041 2,641,421

TechnipFMC PLC 71,696 1,809,467 1,537,162

Valero Energy Corp 7,012 681,266 656,674 ____________________________________ ____________________________________

Total Energy 19,699,664 20,557,658 ____________________________________ ____________________________________

Financials: 12.49%

Allstate Corp 11,655 1,238,372 1,310,605

American International Group, Inc 12,085 662,694 620,323

Ameriprise Financial, Inc 3,141 413,856 523,228

Athene Holding Ltd Cl-A 16,689 697,858 784,884

Bank of America Corp 110,906 2,846,466 3,906,109

Berkshire Hathaway, Inc Cl-B 30,502 4,595,086 6,908,703

Brighthouse Financial, Inc 11,814 438,887 463,463

Capital One Financial Corp 25,678 2,161,332 2,642,523

Citigroup, Inc 63,956 4,112,968 5,109,445

Citizens Financial Group, Inc 42,178 1,754,276 1,712,849

Evercore, Inc Cl-A 7,996 698,208 597,781

Fifth Third Bancorp 46,672 1,276,811 1,434,697

Hartford Financial Services Group, Inc 37,301 1,908,108 2,266,782

JPMorgan Chase & Co 51,416 3,602,004 7,167,390

KeyCorp 57,647 1,000,336 1,166,775

MetLife, Inc 51,505 2,264,320 2,625,210

MGIC Investment Corp 96,430 1,224,620 1,366,413

Morgan Stanley 49,519 2,182,195 2,531,411

MSCI, Inc A 1,838 477,905 474,535

Northern Trust Corp 4,729 423,126 502,409

Popular, Inc 8,353 461,058 490,739

Progressive Corp 27,579 1,280,784 1,996,444

Prudential Financial, Inc 16,661 1,355,436 1,561,802

Radian Group, Inc 65,456 1,341,819 1,646,873

Regions Financial Corp 109,681 1,642,060 1,882,126

S&P Global, Inc 4,173 1,078,518 1,139,438

SEI Investments Co 7,071 473,210 463,009

Synchrony Financial 60,153 1,942,851 2,166,109

T Rowe Price Group, Inc 3,955 414,336 481,877

Unum Group 67,116 2,065,978 1,957,103

US Bancorp 8,194 448,589 485,822

Waddell & Reed Financial, Inc Cl-A 83,303 1,598,926 1,392,826 ____________________________________ ____________________________________




December 31, 2019


Shares Cost

Fair

Value ____________ _____________ ______________


Health Care: 14.43%

Abbott Laboratories 44,311 $ 2,470,330 $ 3,848,853

AbbVie, Inc 47,366 4,291,077 4,193,786

Allergan PLC 8,043 2,001,144 1,537,580

AmerisourceBergen Corp 23,589 2,025,279 2,005,537

Amgen, Inc 5,698 657,856 1,373,617

Anthem, Inc 2,655 583,648 801,890

Baxter International, Inc 31,342 2,370,134 2,620,818

Biogen, Inc 2,923 783,722 867,342

Bristol-Myers Squibb Co 71,955 3,882,800 4,618,791

Cardinal Health, Inc 11,957 560,595 604,785

Centene Corp 20,840 946,639 1,310,211

CVS Health Corp 31,833 1,979,572 2,364,874

Danaher Corp 13,448 1,828,950 2,063,999

DexCom, Inc 2,073 451,491 453,448

Eli Lilly & Co 25,703 2,053,694 3,378,145

Gilead Sciences, Inc 48,100 2,938,904 3,125,538

HCA Healthcare, Inc 6,889 875,715 1,018,263

Humana, Inc 3,799 1,202,334 1,392,409

Incyte Corp 10,555 827,460 921,663

IQVIA Holdings, Inc 4,513 649,782 697,304

Johnson & Johnson 54,212 4,986,890 7,907,904

McKesson Corp 14,668 2,414,975 2,028,878

Medtronic PLC 25,453 1,982,876 2,887,643

Merck & Co, Inc 63,906 3,698,244 5,812,251

Pfizer, Inc 61,934 1,876,694 2,426,574

ResMed, Inc 4,728 636,497 732,698

Thermo Fisher Scientific, Inc 2,728 643,223 886,245

UnitedHealth Group, Inc 19,486 1,671,438 5,728,494

Veeva Systems, Inc A 3,275 455,879 460,662

WellCare Health Plans, Inc 1,473 481,839 486,399

Zimmer Biomet Holdings, Inc 3,219 461,273 481,820 ____________________________________ ____________________________________


Industrials: 8.59%

3M Co 7,028 1,215,946 1,239,880

Arconic, Inc 17,394 409,234 535,213

Boeing Co 4,869 868,756 1,586,125

Copart, Inc 8,761 668,531 796,725

Cummins, Inc 7,369 1,125,621 1,318,756

Delta Air Lines, Inc 41,887 2,024,804 2,449,552

Eaton Corp PLC 10,729 849,029 1,016,251

EMCOR Group, Inc 17,801 1,361,093 1,536,226

Expeditors International of Washington, Inc 23,713 1,738,011 1,850,088

General Dynamics Corp 3,427 646,209 604,351

General Electric Co 217,578 2,520,968 2,428,171

Honeywell International, Inc 14,243 1,886,390 2,521,011

Ingersoll-Rand PLC 7,069 850,101 939,612

Landstar System, Inc 12,254 1,384,608 1,395,363

Lockheed Martin Corp 8,978 2,575,899 3,495,854

ManpowerGroup, Inc 15,839 1,545,967 1,537,967

Northrop Grumman Corp 2,394 854,841 823,464



December 31, 2019


Shares Cost

Fair

Value ____________ _____________ ______________


Oshkosh Corp 18,862 $ 1,461,394 $ 1,785,288

PACCAR, Inc 27,576 1,965,718 2,181,262

Quanta Services, Inc 17,440 653,934 709,982

Robert Half International, Inc 26,219 1,688,357 1,655,730

Union Pacific Corp 7,382 1,193,982 1,334,592

United Airlines Holdings, Inc 22,050 1,763,053 1,942,385

United Parcel Service, Inc Cl-B 9,641 1,028,479 1,128,576

United Technologies Corp 12,944 1,632,078 1,938,493

Waste Management, Inc 5,714 670,077 651,167

WW Grainger, Inc 5,006 1,503,452 1,694,631 ____________________________________ ____________________________________



Accenture PLC Cl-A 20,496 2,692,066 4,315,843

Adobe, Inc 6,479 1,588,751 2,136,839

Apple, Inc 81,133 4,088,642 23,824,705

Broadcom, Inc 11,927 2,453,069 3,769,170

Cisco Systems, Inc 105,875 2,852,827 5,077,765

Dell Technologies, Inc 23,249 1,176,248 1,194,766

HP, Inc 113,414 2,232,147 2,330,658

Intel Corp 110,175 4,038,448 6,593,974

International Business Machines Corp 13,717 1,692,661 1,838,627

Intuit, Inc 9,230 1,934,327 2,417,614

Jabil, Inc 36,469 1,355,692 1,507,264

Keysight Technologies, Inc 5,388 450,530 552,970

Leidos Holdings, Inc 12,399 1,029,698 1,213,738

Mastercard, Inc Cl-A 21,388 1,946,647 6,386,243

Micron Technology, Inc 50,369 1,746,980 2,708,845

Microsoft Corp 147,843 5,854,364 23,314,841

NVIDIA Corp 3,477 643,589 818,138

Oracle Corp 57,855 2,621,715 3,065,158

PayPal Holdings, Inc 17,836 1,539,152 1,929,320

QUALCOMM, Inc 23,048 1,523,088 2,033,525

Salesforce.com, Inc 5,480 799,392 891,267

Texas Instruments, Inc 5,675 488,235 728,046

Visa, Inc Cl-A 39,927 4,262,686 7,502,283

Xerox Holdings Corp 20,203 692,086 744,885 ____________________________________ ____________________________________


Materials: 2.02%

Ball Corp 27,901 1,763,182 1,804,358

CF Industries Holdings, Inc 18,138 757,608 865,908

DuPont de Nemours, Inc 9,171 643,952 588,778

Ecolab, Inc 10,185 2,017,936 1,965,603

Linde PLC 3,326 616,318 708,105

LyondellBasell Industries NV Cl-A 5,640 512,236 532,867

Nucor Corp 16,966 962,873 954,847

Packaging Corp of America 4,771 465,260 534,304

Reliance Steel & Aluminum Co 10,184 1,121,422 1,219,636

Steel Dynamics, Inc 14,570 464,462 495,963 ____________________________________ ____________________________________

Total Materials 9,325,249 9,670,369 ____________________________________ ____________________________________



December 31, 2019


Shares Cost

Fair

Value ____________ _____________ ______________


Real Estate: 3.39%

American Tower Corp REIT 16,428 $ 2,106,102 $ 3,775,483

Crown Castle International Corp REIT 18,774 2,159,104 2,668,724

Equinix, Inc REIT 4,547 2,060,241 2,654,084

Essex Property Trust, Inc REIT 1,431 422,456 430,531

Host Hotels & Resorts, Inc REIT 98,050 1,759,740 1,818,827

ProLogis, Inc REIT 28,072 1,758,869 2,502,338

SBA Communications Corp 7,815 1,557,645 1,883,337

Weyerhaeuser Co REIT 16,481 442,118 497,726 ____________________________________ ____________________________________


Utilities: 3.52%

AES Corp 71,604 904,563 1,424,919

American Electric Power Co, Inc 10,066 800,684 951,338

DTE Energy Co 7,026 740,444 912,467

Exelon Corp 52,425 1,745,128 2,390,056

MDU Resources Group, Inc 63,791 1,857,496 1,895,231

NextEra Energy, Inc 2,927 680,149 708,802

NRG Energy, Inc 46,309 1,917,855 1,840,783

Pinnacle West Capital Corp 16,301 1,526,750 1,465,949

Portland General Electric Co 23,742 1,035,256 1,324,566

Southern Co 36,551 1,785,502 2,328,299

Vistra Energy Corp 69,375 1,730,205 1,594,931 ____________________________________ ____________________________________

Total Utilities 14,724,032 16,837,341 ____________________________________ ____________________________________

Total Equities 333,008,571 472,644,978 ____________________________________ ____________________________________


SPDR S&P 500 ETF Trust 9,600 3,104,738 3,089,856 ____________________________________ ____________________________________




Investment Fund S (1) 947,649 947,649 947,649 ____________________________________ ____________________________________

Total Short-Term Investments 947,649 947,649 ____________________________________ ____________________________________





REIT Real Estate Investment Trust





Class F Class N Class N20 (1)








Total return per share 30.17% 30.13% 23.41% (3)

Net assets, end of year $ 56,695,534 $ 421,809,473 $ 0.00

Ratios:

Ratio of expenses to average net assets 0.12% 0.15% 0.35% (4)

Ratio of net investment income (loss) to average net assets 2.06% 2.04% 1.79% (4)


(1) Class N20 ceased operations November 06, 2019. (2) Based on average number of shares outstanding. (3) Not annualized for periods less than year. The total return is based on an ending NAV of $29.73 as of November 06, 2019. (4) Annualized for periods less than one year.





Class F Class N



January 31, 2019 4,306,692 $ 12.25 1,564,934 $ 248.05

February 28, 2019 4,312,962 12.63 1,561,278 255.76

March 31, 2019 4,303,478 12.83 1,525,347 259.76

April 30, 2019 4,093,910 13.33 1,509,197 269.82

May 31, 2019 4,042,368 12.43 1,497,829 251.70

June 30, 2019 4,081,423 13.30 1,485,674 269.25

July 31, 2019 3,967,186 13.53 1,467,089 273.83

August 31, 2019 3,945,888 13.26 1,452,782 268.36

September 30, 2019 3,982,942 13.53 1,434,405 273.92

October 31, 2019 3,938,677 13.84 1,426,401 280.22

November 30, 2019 3,940,785 14.39 1,411,222 291.18

December 31, 2019 3,831,358 14.80 1,408,282 299.52

Class N20(1)

Shares Share


January 31, 2019 2,028,356 $ 25.96

February 28, 2019 2,028,356 26.77

March 31, 2019 2,028,356 27.18

April 30, 2019 2,028,356 28.23

May 31, 2019 2,028,356 26.33

June 30, 2019 2,028,356 28.16

July 31, 2019 2,028,356 28.63

August 31, 2019 2,028,356 28.06

September 30, 2019 2,028,356 28.63

October 31, 2019 2,028,356 29.29

November 30, 2019 - -

December 31, 2019 - -

(1) Class N20 ceased operations November 06, 2019.


WELLS FARGO GROWTH CIT


December 31, 2019

Cost

Fair

value

Assets:



Receivable for investment securities sold 342,129




Liabilities:





Net assets $ 117,935,586

Class Net Assets

Shares


F $ 42,612,420 1,670,647 $ 25.51

E2 $ 64,222,360 5,465,185 $ 11.75

E $ 11,100,806 1,017,096 $ 10.91





Investment income:

Dividend income from unaffiliated investments $ 672,484



Expenses:



Net investment income (loss) 159,646








Net gain (loss) on investments and foreign currency transactions 33,358,527







Net investment income (loss) $ 159,646


transactions 4,247,296





Class F proceeds from issuance of shares (133,630 shares) 3,097,038

Class F payments for withdrawals (476,228 shares) (10,906,687)


Class E2 proceeds from issuance of shares (223,577 shares) 2,399,442

Class E2 payments for withdrawals (1,319,522 shares) (13,633,585)

Net change (11,234,143)

Class E proceeds from issuance of shares (1,017,096 shares) 10,170,961




Net assets:

Beginning of year (2,013,245 Class F shares, 6,561,130 Class E2

shares, 0 Class E shares)(1) 93,290,244

End of year (1,670,647 Class F shares, 5,465,185 Class E2 shares,

1,017,096 Class E shares) $ 117,935,586 (1) Class E commenced operations August 6, 2019.



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities: 99.74%


Alphabet, Inc Cl-C 470 $ 463,307 $ 628,399

Alphabet, Inc Cl-A 4,695 4,881,886 6,288,436

Facebook, Inc Cl-A 13,070 2,308,963 2,682,617

Netflix, Inc 325 104,644 105,160

Pinterest, Inc Cl-A 70,130 1,712,651 1,307,223

Roku, Inc 4,155 222,008 556,355

Twitter, Inc 11,310 364,840 362,486 ____________________________________ ____________________________________



Amazon.com, Inc 4,310 6,026,254 7,964,190

Bright Horizons Family Solutions, Inc 2,890 305,077 434,338

Burlington Stores, Inc 11,071 1,408,829 2,524,520

CarMax, Inc 11,640 991,923 1,020,479

Carvana Co 2,060 147,418 189,623

Etsy, Inc 4,400 187,264 194,920

Five Below, Inc 8,418 799,965 1,076,325

Grand Canyon Education, Inc 3,320 347,247 318,023

Home Depot, Inc 3,595 647,999 785,076

Levi Strauss & Co Cl-A 66,254 1,311,961 1,278,040

Norwegian Cruise Line Holdings Ltd 13,240 676,290 773,348

Ollie's Bargain Outlet Holdings, Inc 12,705 879,434 829,764

Planet Fitness, Inc Cl-A 5,160 297,268 385,349

Royal Caribbean Cruises Ltd 9,025 1,117,835 1,204,928

Ulta Salon Cosmetics & Fragrance, Inc 4,845 1,245,220 1,226,463 ____________________________________ ____________________________________



Coca-Cola Co 23,775 1,067,434 1,315,946

Estee Lauder Cos, Inc Cl-A 5,325 666,248 1,099,826 ____________________________________ ____________________________________


Financials: 4.54%

Assetmark Financial Holdings 11,664 278,700 338,489

Charles Schwab Corp 17,275 802,692 821,599

CME Group, Inc 2,545 434,957 510,833

LendingTree, Inc 3,019 761,572 916,085

MarketAxess Holdings, Inc 4,818 933,455 1,826,552

Tradeweb Markets, Inc Cl-A 20,264 780,455 939,237 ____________________________________ ____________________________________


Health Care: 10.40%

Adaptive Biotechnologies Corp 1,619 34,737 48,440

Alexion Pharmaceuticals, Inc 9,845 1,200,719 1,064,737

Boston Scientific Corp 37,450 1,209,318 1,693,489

DexCom, Inc 4,725 627,968 1,033,546

Edwards Lifesciences Corp 2,960 538,727 690,538

Exact Sciences Corp 6,770 586,724 626,090

Insulet Corp 5,870 531,640 1,004,944

Natera, Inc 18,925 424,190 637,583

Novocure Ltd 15,529 748,907 1,308,629

Repligen Corp 3,620 283,737 334,850



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


Stryker Corp 1,125 $ 190,761 $ 236,183

Veeva Systems, Inc A 10,895 805,881 1,532,491

Vertex Pharmaceuticals, Inc 4,515 717,010 988,559

Zoetis, Inc 8,060 606,269 1,066,741 ____________________________________ ____________________________________


Industrials: 12.25%

ASGN, Inc 16,463 1,107,533 1,168,379

Boeing Co 3,595 1,052,657 1,171,107

Casella Waste Systems, Inc A 16,846 456,436 775,421

Copart, Inc 16,855 868,174 1,532,794

CoStar Group, Inc 1,545 624,547 924,374

CSX Corp 30,370 2,059,576 2,197,573

Fortive Corp 1,229 88,937 93,883

Lyft, Inc 2,050 96,975 88,191

Norfolk Southern Corp 9,330 1,357,332 1,811,233

Roper Technologies, Inc 2,345 676,412 830,669

TransUnion 3,700 302,162 316,757

Union Pacific Corp 9,225 1,198,816 1,667,788

Waste Connections, Inc 20,540 1,439,131 1,864,827 ____________________________________ ____________________________________



Adobe, Inc 1,708 371,169 563,315

Anaplan, Inc 9,397 315,721 492,403

Apple, Inc 11,225 1,865,507 3,296,221

Blackline, Inc 6,087 265,968 313,846

Cloudflare, Inc Cl-A 14,850 270,330 253,341

Dropbox, Inc Cl-A 31,445 750,359 563,180

Dynatrace, Inc 50,887 1,111,895 1,287,441

Envestnet, Inc 40,280 2,114,322 2,804,696

Euronet Worldwide, Inc 10,915 1,364,399 1,719,767

Everbridge, Inc 2,590 212,652 202,227

Global Payments, Inc 12,135 1,286,916 2,215,366

HubSpot, Inc 2,957 439,159 468,685

InterXion Holding NV 3,435 260,327 287,887


Microchip Technology, Inc 39,500 3,222,386 4,136,440

Microsoft Corp 41,375 4,129,089 6,524,838

Mimecast Ltd 30,050 1,161,803 1,303,569

MongoDB, Inc 3,145 176,794 413,913

Monolithic Power Systems, Inc 10,666 1,300,485 1,898,761

NXP Semiconductors NV 460 57,189 58,540

PayPal Holdings, Inc 16,435 1,294,685 1,777,774

Proofpoint, Inc 10,891 1,135,476 1,250,069

Rapid7, Inc 15,100 753,881 845,902

RealPage, Inc 16,505 896,866 887,144

RingCentral, Inc Cl-A 480 78,393 80,962

Salesforce.com, Inc 7,617 900,175 1,238,829

ServiceNow, Inc 2,210 390,788 623,927

Splunk, Inc 9,225 999,484 1,381,628

Square, Inc A 5,090 288,701 318,430



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


Switch, Inc A 13,310 $ 198,607 $ 197,254

Talend SA ADR 21,090 770,389 824,830

Texas Instruments, Inc 12,820 1,319,059 1,644,678

Twilio, Inc A 6,388 514,391 627,813

Visa, Inc Cl-A 19,625 2,316,730 3,687,538

WEX, Inc 4,224 774,279 884,759 ____________________________________ ____________________________________


Materials: 1.64%

Linde PLC 6,040 992,322 1,285,916

PolyOne Corp 17,515 706,804 644,377 ____________________________________ ____________________________________

Total Materials 1,699,126 1,930,293 ____________________________________ ____________________________________

Total Equities 89,260,900 117,624,803 ____________________________________ ____________________________________














Class F Class E2 Class E (1)




Net investment income (loss)(2) 0.04 0.01 0.00 (3)




Total return per share 37.71% 37.67% 9.14% (4)


Ratios:

Ratio of expenses to average net assets 0.47% 0.50% 0.60% (5)

Ratio of net investment income (loss) to average net assets 0.17% 0.14% 0.06% (5)


(1) Class E commenced operations August 6, 2019. (2) Based on average number of shares 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.





Class F Class E2



January 31, 2019 1,987,257 $ 20.66 6,289,166 $ 9.52

February 28, 2019 1,903,317 21.87 6,123,812 10.08

March 31, 2019 1,872,328 22.24 6,037,440 10.25

April 30, 2019 1,842,740 23.70 5,997,603 10.92

May 31, 2019 1,815,338 22.51 5,861,925 10.37

June 30, 2019 1,785,599 23.87 5,783,263 11.00

July 31, 2019 1,765,470 24.30 5,683,465 11.20

August 31, 2019 1,740,971 23.88 5,632,405 11.00

September 30, 2019 1,744,773 23.48 5,583,613 10.82

October 31, 2019 1,716,621 23.88 5,582,483 11.00

November 30, 2019 1,696,809 25.26 5,480,473 11.64

December 31, 2019 1,670,647 25.51 5,465,185 11.75

Class E(1)

Shares Share


January 31, 2019 - $ -

February 28, 2019 - -

March 31, 2019 - -

April 30, 2019 - -

May 31, 2019 - -

June 30, 2019 - -

July 31, 2019 - -

August 31, 2019 1,017,096 10.22

September 30, 2019 1,017,096 10.05

October 31, 2019 1,017,096 10.22

November 30, 2019 1,017,096 10.81

December 31, 2019 1,017,096 10.91

(1) Class E commenced operations August 6, 2019.


WELLS FARGO LARGE CAP INTRINSIC VALUE CIT


December 31, 2019

Cost

Fair

value

Assets:






Liabilities:



Net assets $ 147,900,682

Class E2 Shares outstanding 2,121,228

Class E2 Share value $ 69.72





Investment income:


withheld of $2,641) $ 2,528,487



Expenses:






















Class E2 Proceeds from issuance of shares (2,280,222 shares) 125,433,402

Class E2 Payments for withdrawals (2,133,525 shares) (116,393,381)




Net assets:

Beginning of year (1,974,531 shares) 105,875,990

End of year (2,121,228 shares)(1) $ 147,900,682 (1) Class N rebranded as Class E2 on February 15, 2019.



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities: 96.83%


Alphabet, Inc Cl-C 4,250 $ 3,559,513 $ 5,682,335

Comcast Corp Cl-A 101,650 3,474,482 4,571,201

Verizon Communications, Inc 65,746 3,250,356 4,036,804

Walt Disney Co 27,010 2,714,842 3,906,456 ____________________________________ ____________________________________



Advance Auto Parts, Inc 26,900 3,756,372 4,308,304

Dollar Tree, Inc 33,300 2,899,630 3,131,865 ____________________________________ ____________________________________



Anheuser-Busch InBev NV ADR 27,291 2,707,149 2,238,953

Conagra Brands, Inc 48,700 1,478,516 1,667,488

Kroger Co 90,600 2,016,095 2,626,494

Mondelez International, Inc A 72,800 3,117,293 4,009,824

Nestle SA ADR 12,300 952,619 1,330,918 ____________________________________ ____________________________________


Energy: 7.36%

Chevron Corp 21,810 2,395,075 2,628,323

Concho Resources, Inc 25,520 3,003,383 2,234,786

ConocoPhillips 22,500 1,363,131 1,463,175

EOG Resources, Inc 30,290 2,641,957 2,537,091

Schlumberger Ltd 50,180 3,152,162 2,017,236 ____________________________________ ____________________________________

Total Energy 12,555,708 10,880,611 ____________________________________ ____________________________________

Financials: 21.43%

Allstate Corp 29,480 2,005,295 3,315,026

American International Group, Inc 77,710 4,209,484 3,988,854

Aon PLC 15,880 2,245,067 3,307,645

Bank of America Corp 108,740 2,823,468 3,829,823

CIT Group, Inc 73,310 3,366,536 3,345,135

Intercontinental Exchange, Inc 34,140 2,382,913 3,159,657

Synchrony Financial 46,900 1,451,523 1,688,869

Truist Financial Corp 65,450 2,651,336 3,686,144

UBS Group AG 151,210 2,495,613 1,902,222

US Bancorp 58,620 2,488,411 3,475,580 ____________________________________ ____________________________________


Health Care: 14.31%

Abbott Laboratories 20,240 800,814 1,758,046

Cigna Corp 23,800 3,206,466 4,866,862

Eli Lilly & Co 22,390 1,932,915 2,942,718

Gilead Sciences, Inc 55,851 4,715,092 3,629,198

Medtronic PLC 38,880 3,431,003 4,410,936

Merck & Co, Inc 39,000 2,324,888 3,547,050 ____________________________________ ____________________________________


Industrials: 9.99%

AerCap Holdings NV 70,080 2,973,396 4,307,818

General Dynamics Corp 20,910 3,856,087 3,687,478

Honeywell International, Inc 22,780 2,071,142 4,032,060



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


United Parcel Service, Inc Cl-B 23,500 $ 2,266,728 $ 2,750,910 ____________________________________ ____________________________________



Accenture PLC Cl-A 10,590 1,214,783 2,229,936

Apple, Inc 5,520 424,593 1,620,948

Cisco Systems, Inc 76,550 2,552,595 3,671,338

Microsoft Corp 29,650 1,573,179 4,675,805

Motorola Solutions, Inc 22,450 1,877,556 3,617,593

NXP Semiconductors NV 30,690 2,587,730 3,905,610 ____________________________________ ____________________________________


Materials: 2.70%

Vulcan Materials Co 27,750 3,316,240 3,995,723 ____________________________________ ____________________________________

Total Materials 3,316,240 3,995,723 ____________________________________ ____________________________________

Utilities: 2.34%

NextEra Energy, Inc 14,300 1,313,744 3,462,888 ____________________________________ ____________________________________

Total Utilities 1,313,744 3,462,888 ____________________________________ ____________________________________

Total Equities 111,041,172 143,203,125 ____________________________________ ____________________________________



Investment Fund S (1) 4,453,738 4,453,738 4,453,738 ____________________________________ ____________________________________











Class E2 (1)


Share value, beginning of year $ 53.62


Net investment income (loss)(2) 1.00

Net realized and unrealized gain (loss) on investments 15.10

Total from investment operations 16.10

Share value, end of year $ 69.72

Total return per share 30.03%

Net assets, end of year $ 147,900,682

Ratios:

Ratio of expenses to average net assets 0.40%

Ratio of net investment income (loss) to average net assets 1.57%

Portfolio Turnover Rate 16%

(1) Class N rebranded as Class E2 on February 15, 2019. (2) Based on average number of shares outstanding.

WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS

Notes to Financial Statements

December 31, 2019





Class E2(1)

Shares Share


January 31, 2019 1,967,344 $ 58.03

February 28, 2019 1,964,271 60.06

March 31, 2019 1,975,268 60.96

April 30, 2019 2,115,253 63.80

May 31, 2019 2,104,993 60.39

June 30, 2019 2,108,475 64.37

July 31, 2019 2,110,352 65.75

August 31, 2019 2,117,660 64.09

September 30, 2019 2,091,003 66.01

October 31, 2019 2,106,029 65.93

November 30, 2019 2,113,617 67.86

December 31, 2019 2,121,228 69.72

(1) Class N rebranded as Class E2 on February 15, 2019.


WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I


December 31, 2019

Cost

Fair

value

Assets:


Unaffiliated investments 1,242,315,956 1,304,428,991


Fund shares sold 2,819,020


Cash collateral held at broker 1,282,765

Variation margin receivable 208,879

Total assets 1,347,748,846

Liabilities:

Due to custodian 4,936




Net assets $ 1,344,139,425

Shares outstanding 79,966,845

Share value $ 16.81





Investment income:

Interest income (net of foreign taxes withheld of $5,291) $ 48,001,489



Expenses:







Futures contracts (10,247,153)



Futures contracts 3,359,751

Net gain (loss) on investment transactions 121,584,000








Net realized gain (loss) on investment transactions 29,406,451





Proceeds from issuance of shares (11,508,910 shares) 183,041,813

Payments for withdrawals (12,309,259 shares) (200,396,300)

Net Change (17,354,487)



Net assets:

Beginning of year (80,767,194 shares) 1,193,682,025

End of year (79,966,845 shares) $ 1,344,139,425



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________





Corp Nacional del Cobre de Chile(1) 1,775,000 3.63 08/01/27 A+ 1,848,310 1,843,081

Dow Chemical Co 2,245,000 7.38 11/01/29 BBB 2,932,530 2,973,929


DuPont de Nemours, Inc 3,090,000 4.21 11/15/23 A- 3,186,747 3,303,216



FMC Corp 220,000 3.20 10/01/26 BBB- 220,766 224,487

FMC Corp 675,000 3.45 10/01/29 BBB- 678,266 696,933

International Flavors & Fragrances,

Inc 580,000 4.38 06/01/47 BBB 527,951 602,134

International Paper Co 160,000 7.30 11/15/39 BBB 204,274 221,174

International Paper Co 1,115,000 4.35 08/15/48 BBB 1,135,512 1,183,505

LG Chem Ltd(1) 3,000,000 3.63 04/15/29 BBB+ 2,983,820 3,095,150

LyondellBasell Industries NV 150,000 5.75 04/15/24 BBB+ 164,709 169,143

Methanex Corp 325,000 5.65 12/01/44 BB+ 335,716 310,988

Newmont Goldcorp Corp 1,570,000 3.63 06/09/21 BBB 1,599,805 1,599,775



Nucor Corp 1,130,000 3.95 05/01/28 A- 1,128,224 1,225,286

Nucor Corp 165,000 4.40 05/01/48 A- 167,539 186,621

Southern Copper Corp 205,000 7.50 07/27/35 BBB+ 275,376 282,030



Syngenta Finance(1) 2,705,000 5.18 04/24/28 BBB- 2,705,000 2,912,118

Vale Overseas Ltd 435,000 6.25 08/10/26 BBB- 460,959 510,603





Amazon.com, Inc 1,205,000 4.05 08/22/47 AA- 1,179,743 1,413,490

America Movil SAB de CV 639,000 5.00 03/30/20 A- 641,580 642,911

America Movil SAB de CV 2,400,000 3.63 04/22/29 A- 2,390,596 2,523,936

AT&T, Inc(1)(2) 9,000,000 2.20 11/27/22 BBB 8,290,524 8,447,126

AT&T, Inc 1,240,000 3.88 01/15/26 BBB 1,262,831 1,326,992

AT&T, Inc 645,000 4.50 05/15/35 BBB 653,922 717,250

AT&T, Inc 325,000 5.35 09/01/40 BBB 325,065 391,288

AT&T, Inc 330,000 4.90 06/15/42 BBB 336,992 375,794

AT&T, Inc 1,455,000 4.30 12/15/42 BBB 1,281,069 1,554,480

AT&T, Inc 2,310,000 4.35 06/15/45 BBB 2,270,275 2,486,624

AT&T, Inc 1,010,000 4.85 07/15/45 BBB 1,135,463 1,150,297

AT&T, Inc 1,660,000 4.75 05/15/46 BBB 1,570,959 1,873,217

AT&T, Inc 1,145,000 5.45 03/01/47 BBB 1,413,177 1,418,308

AT&T, Inc 170,000 4.50 03/09/48 BBB 181,402 187,559

AT&T, Inc 1,430,000 5.15 02/15/50 BBB 1,428,664 1,720,051

Bell Canada, Inc 575,000 4.46 04/01/48 BBB+ 568,151 664,820






December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________




Operating Capital 1,720,000 5.75 % 04/01/48 BBB- $ 1,783,207 $ 2,003,236




Comcast Corp 590,000 5.65 06/15/35 A- 714,462 774,645

Comcast Corp 153,000 6.40 05/15/38 A- 156,529 215,182

Comcast Corp 1,045,000 3.25 11/01/39 A- 1,050,826 1,058,728

Comcast Corp 875,000 4.50 01/15/43 A- 847,942 1,025,924

Comcast Corp 2,100,000 3.97 11/01/47 A- 2,288,049 2,309,601

Comcast Corp 4,460,000 4.70 10/15/48 A- 4,595,656 5,489,567

Comcast Corp 201,000 4.00 11/01/49 A- 199,111 223,245

Corning, Inc 1,160,000 3.90 11/15/49 BBB+ 1,156,765 1,174,599

Corning, Inc 715,000 5.45 11/15/79 BBB+ 729,064 780,597

Cox Communications, Inc(1) 1,395,000 4.60 08/15/47 BBB 1,398,914 1,544,461

Discovery Communications LLC 2,105,000 6.35 06/01/40 BBB- 2,274,367 2,672,414

Discovery Communications LLC 490,000 5.20 09/20/47 BBB- 489,364 569,533

GTP Acquisition Partners I LLC(1) 1,000,000 3.48 06/16/25 1,002,205 1,025,866

Interpublic Group of Cos, Inc 1,645,000 5.40 10/01/48 BBB 1,647,254 2,013,031

Motorola Solutions, Inc 2,705,000 4.60 02/23/28 BBB- 2,710,536 2,931,212

Orange SA 350,000 9.00 03/01/31 BBB+ 464,941 541,392

Rogers Communications, Inc 1,430,000 3.70 11/15/49 BBB+ 1,431,524 1,438,744

Sky Ltd(1) 2,340,000 3.75 09/16/24 A- 2,480,957 2,504,435

Sprint Spectrum Co LLC / Sprint

Spectrum Co II LLC / Sprint

Spectrum Co III LLC(1) 1,465,000 4.74 03/20/25 1,554,200 1,551,406

Sprint Spectrum Co LLC / Sprint

Spectrum Co II LLC / Sprint

Spectrum Co III LLC(1) 2,075,000 5.15 03/20/28 2,075,000 2,261,750

Telefonica Emisiones SA 2,000,000 5.21 03/08/47 BBB 1,979,879 2,367,058

Tencent Holdings Ltd(1) 1,220,000 3.60 01/19/28 A+ 1,138,038 1,272,016

Time Warner Cable LLC 1,730,000 4.50 09/15/42 BBB- 1,581,214 1,764,046

Time Warner Cable, Inc 2,160,000 5.88 11/15/40 BBB- 2,439,575 2,473,405

Verizon Communications, Inc 2,250,000 4.60 04/01/21 BBB+ 2,300,277 2,325,293







ViacomCBS, Inc 775,000 4.25 09/01/23 BBB 825,858 824,887







Walt Disney Co 1,665,000 8.50 02/23/25 A 2,155,606 2,153,521

Walt Disney Co 191,000 6.40 12/15/35 A 243,032 270,892

Walt Disney Co 455,000 5.40 10/01/43 A 540,867 617,763



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


WPP Finance 2010 2,770,000 3.75 % 09/19/24 BBB $ 2,758,606 $ 2,920,643 ____________________________________ ____________________________________



American Airlines 2017-2 Class AA

Pass-Through Trust 744,241 3.35 10/15/29 717,430 758,952

British Airways 2019-1 Class AA

Pass-Through Trust(1) 2,039,744 3.30 12/15/32 AA 2,039,744 2,113,370


CVS Pass-Through Trust(1) 1,222,169 4.70 01/10/36 BBB 1,222,169 1,298,901

Daimler Finance North America

LLC(1) 960,000 2.70 08/03/20 A- 962,286 963,636

Daimler Finance North America

LLC(1) 2,250,000 3.35 05/04/21 A- 2,259,068 2,284,665

Darden Restaurants, Inc 880,000 3.85 05/01/27 BBB 865,786 918,994


Delta Air Lines 2012-1 Class A Pass-

Through Trust 1,222,921 4.75 05/07/20 A+ 1,247,709 1,233,032

Delta Air Lines, Inc 2,140,000 3.75 10/28/29 BB+ 2,130,401 2,136,597

Ford Motor Co 1,430,000 7.45 07/16/31 BBB- 1,654,412 1,696,360

Ford Motor Credit Co LLC 2,695,000 3.20 01/15/21 BBB- 2,665,409 2,709,629




General Motors Co 2,015,000 5.15 04/01/38 BBB 2,021,645 2,056,812




General Motors Financial Co, Inc 2,310,000 5.10 01/17/24 BBB 2,355,114 2,506,546

General Motors Financial Co, Inc 1,189,000 3.95 04/13/24 1,166,259 1,242,275

Hasbro, Inc 1,215,000 2.60 11/19/22 BBB- 1,219,747 1,221,764

Home Depot, Inc 215,000 4.20 04/01/43 A 246,597 248,781

Home Depot, Inc 480,000 4.25 04/01/46 A 528,883 567,040

Las Vegas Sands Corp 2,455,000 3.20 08/08/24 BBB- 2,453,224 2,531,647

Lowe's Cos, Inc 215,000 4.25 09/15/44 BBB+ 233,420 231,227

Lowe's Cos, Inc 655,000 4.38 09/15/45 BBB+ 620,335 729,036

Lowe's Cos, Inc 470,000 3.70 04/15/46 BBB+ 462,619 477,957

Macy's Retail Holdings, Inc 4,000,000 3.45 01/15/21 BBB- 4,001,989 4,036,392

Nordstrom, Inc 1,395,000 5.00 01/15/44 BBB 1,297,270 1,363,948

O'Reilly Automotive, Inc 1,381,000 4.35 06/01/28 BBB 1,432,721 1,540,046

Panasonic Corp(1) 1,270,000 2.68 07/19/24 A- 1,271,119 1,292,310

Ralph Lauren Corp 750,000 3.75 09/15/25 A- 799,407 806,592

Southwest Airlines Co 2007-1 Pass-

Through Trust 1,130,688 6.65 08/01/22 A- 1,188,454 1,186,477

Toyota Industries Corp(1) 3,065,000 3.11 03/12/22 AA- 3,065,000 3,120,007

Toyota Motor Corp 1,640,000 2.36 07/02/24 AA- 1,640,000 1,665,779

United Airlines 2015-1 Class AA

Pass-Through Trust 2,126,761 3.45 12/01/27 AA+ 2,126,761 2,222,035

United Airlines 2019-1 Class AA

Pass-Through Trust 118,018 4.15 08/25/31 118,433 127,315

US Airways 2012-1 Class A Pass-

Through Trust 1,772,614 5.90 10/01/24 A+ 1,834,616 1,967,634



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Walmart, Inc 1,440,000 2.35 % 12/15/22 AA $ 1,430,793 $ 1,464,387

Walmart, Inc 165,000 3.25 07/08/29 AA 165,686 176,845

Walmart, Inc 2,295,000 4.05 06/29/48 AA 2,273,319 2,711,337

WW Grainger, Inc 250,000 4.20 05/15/47 A+ 231,188 278,177 ____________________________________ ____________________________________



AbbVie, Inc(1) 5,075,000 2.95 11/21/26 A- 5,109,842 5,150,892

AbbVie, Inc(1) 1,640,000 3.20 11/21/29 A- 1,639,595 1,667,346

AbbVie, Inc 145,000 4.50 05/14/35 A- 152,901 164,093

AbbVie, Inc 2,100,000 4.30 05/14/36 A- 2,042,362 2,320,604

AbbVie, Inc(1) 1,390,000 4.05 11/21/39 A- 1,438,457 1,468,965

AbbVie, Inc 515,000 4.45 05/14/46 A- 488,453 549,987

AbbVie, Inc 1,370,000 4.88 11/14/48 A- 1,351,850 1,568,835

Actavis Funding SCS 1,005,000 3.85 06/15/24 BBB 1,021,484 1,054,840

Aetna, Inc 1,050,000 2.75 11/15/22 BBB 1,052,815 1,066,569

Aetna, Inc 2,405,000 3.50 11/15/24 BBB 2,487,382 2,515,627

Aetna, Inc 1,638,000 4.50 05/15/42 BBB 1,767,828 1,762,244

Allergan Funding SCS 3,850,000 3.80 03/15/25 BBB 4,018,175 4,042,203

Allina Health System 150,000 3.89 04/15/49 AA- 151,300 159,005


Altria Group, Inc 1,285,000 6.20 02/14/59 BBB 1,576,004 1,526,496

AmerisourceBergen Corp 165,000 3.40 05/15/24 A- 164,633 171,534

Amgen, Inc 765,000 4.95 10/01/41 A- 827,978 909,004

Amgen, Inc 460,000 5.65 06/15/42 A- 511,063 582,227





Anheuser-Busch InBev Finance, Inc 880,000 4.63 02/01/44 A- 962,639 995,355

Anheuser-Busch InBev Finance, Inc 455,000 4.90 02/01/46 A- 527,734 535,878


Inc 230,000 4.95 01/15/42 A- 254,748 271,535


Inc 260,000 4.60 04/15/48 A- 271,863 295,812


Inc 1,080,000 4.44 10/06/48 A- 1,026,448 1,210,224

Anthem, Inc 150,000 3.13 05/15/22 A 150,474 153,701

Anthem, Inc 345,000 4.65 08/15/44 A 339,959 389,963

Anthem, Inc 3,120,000 3.70 09/15/49 A 3,003,836 3,104,713

Archer-Daniels-Midland Co 910,000 4.50 03/15/49 A 900,742 1,108,894

BAT Capital Corp 1,000,000 3.56 08/15/27 BBB+ 911,110 1,019,796

BAT Capital Corp 3,525,000 4.54 08/15/47 BBB+ 3,475,553 3,534,826

BAT International Finance PLC(1) 430,000 3.95 06/15/25 BBB+ 444,799 454,428

Baxalta, Inc 376,000 4.00 06/23/25 BBB+ 395,162 404,778

Bayer US Finance II LLC(1) 530,000 4.25 12/15/25 BBB 555,064 571,391

Bayer US Finance II LLC(1) 1,620,000 4.63 06/25/38 BBB 1,751,795 1,756,755

Boston Scientific Corp 1,035,000 3.38 05/15/22 BBB- 1,046,176 1,068,331

Bristol-Myers Squibb Co 500,000 7.15 06/15/23 A+ 581,860 582,412



Bristol-Myers Squibb Co(1) 980,000 5.70 10/15/40 A+ 1,256,412 1,303,400



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Bristol-Myers Squibb Co(1) 250,000 4.63 % 05/15/44 A+ $ 300,269 $ 302,226


Cardinal Health, Inc 430,000 4.90 09/15/45 BBB 399,991 447,531

Children's Hospital Medical Center 190,000 4.27 05/15/44 AA 213,587 216,289

Cigna Corp 2,105,000 3.20 09/17/20 A- 2,102,457 2,121,333

Cigna Corp(1) 955,000 3.05 10/15/27 A- 958,967 967,370

Cigna Corp 770,000 4.38 10/15/28 A- 841,635 851,982

Cigna Corp 1,450,000 4.80 08/15/38 A- 1,455,342 1,687,319

Cigna Corp(1) 875,000 4.80 07/15/46 A- 973,303 1,012,704

Cigna Corp(1) 595,000 3.88 10/15/47 A- 569,698 602,996

Coca-Cola Femsa SAB de CV 2,470,000 3.88 11/26/23 A- 2,616,647 2,607,790

CommonSpirit Health 1,385,000 2.95 11/01/22 BBB+ 1,398,906 1,410,453

CommonSpirit Health 450,000 3.35 10/01/29 BBB+ 462,472 452,124

CommonSpirit Health 1,690,000 3.82 10/01/49 AA 1,690,000 1,643,722

Constellation Brands, Inc 2,385,000 4.40 11/15/25 BBB 2,607,851 2,603,527

Constellation Brands, Inc 1,665,000 3.15 08/01/29 BBB 1,683,818 1,681,696

CVS Health Corp 1,275,000 3.35 03/09/21 BBB 1,277,318 1,295,904


Danone SA(1) 1,025,000 2.59 11/02/23 BBB+ 1,022,019 1,040,499

Ecolab, Inc 5,155,000 2.38 08/10/22 A- 5,103,217 5,205,274

Equifax, Inc 2,860,000 2.60 12/01/24 BBB 2,853,831 2,875,277

ERAC USA Finance LLC(1) 1,720,000 4.20 11/01/46 A- 1,664,628 1,832,125

Fomento Economico Mexicano SAB

de CV 1,750,000 2.88 05/10/23 A- 1,745,519 1,765,009

Georgetown University 1,355,000 4.32 04/01/49 A- 1,355,000 1,615,482


GlaxoSmithKline Capital PLC 4,410,000 2.85 05/08/22 A+ 4,411,401 4,505,128

Highmark, Inc(1) 1,525,000 6.13 05/15/41 A 1,570,743 1,873,147

Imperial Brands Finance PLC(1) 2,985,000 3.50 07/26/26 BBB 3,011,350 2,999,271

Indiana University Health, Inc

Obligated Group 280,000 3.97 11/01/48 AA 280,920 313,267

Johnson & Johnson 460,000 3.40 01/15/38 AAA 511,268 492,188

Kaiser Foundation Hospitals 705,000 3.15 05/01/27 AA- 707,927 735,635


Keurig Dr Pepper, Inc 5,000 7.45 05/01/38 BBB 6,996 7,063


Keurig Dr Pepper, Inc. 595,000 2.55 09/15/26 BBB 568,025 592,354

Kimberly-Clark de Mexico SAB de

CV(1) 300,000 3.80 04/08/24 A- 301,995 306,000

Kraft Heinz Foods Co(1) 1,435,000 7.13 08/01/39 BBB- 1,798,207 1,834,765

Kraft Heinz Foods Co(1) 755,000 4.63 10/01/39 BBB- 754,472 785,269


Kroger Co 677,000 3.88 10/15/46 BBB 573,646 661,263

Kroger Co 1,465,000 5.40 01/15/49 BBB 1,671,735 1,784,383

Laboratory Corp of America Holdings 1,905,000 2.30 12/01/24 BBB 1,891,243 1,895,085

Land O' Lakes, Inc(1) 2,685,000 6.00 11/15/22 BBB- 2,768,095 2,849,456

Massachusetts Institute of Technology 75,000 5.60 07/01/2111 AAA 92,437 115,425



Memorial Sloan-Kettering Cancer

Center 300,000 4.13 07/01/52 AA- 321,142 341,435



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Center 100,000 4.20 % 07/01/55 AA- $ 104,965 $ 115,639

Mercy Health 955,000 4.30 07/01/28 A+ 955,000 1,068,618

Mondelez International Holdings

Netherlands BV(1) 3,100,000 2.25 09/19/24 BBB 3,101,089 3,088,900

Mount Sinai Hospitals Group, Inc 180,000 3.98 07/01/48 A- 181,591 181,924

Mylan NV 1,245,000 5.25 06/15/46 BBB- 1,328,306 1,396,436

Mylan, Inc 430,000 4.20 11/29/23 444,945 455,021

New York and Presbyterian Hospital 155,000 4.02 08/01/45 164,566 172,558



Northwell Healthcare, Inc 1,425,000 4.26 11/01/47 A- 1,531,701 1,528,268

Northwestern University 270,000 4.64 12/01/44 AAA 302,977 334,979

NYU Langone Hospitals 250,000 4.37 07/01/47 A 277,009 281,767

PayPal Holdings, Inc 795,000 2.85 10/01/29 BBB+ 800,955 798,990

Perrigo Finance Unlimited Co 2,507,000 4.90 12/15/44 BBB- 2,034,466 2,312,133

Perrigo Finance UnLtd Co 1,595,000 3.50 03/15/21 BBB- 1,573,341 1,609,738

Pfizer, Inc 160,000 3.90 03/15/39 AA- 157,650 180,236

Pfizer, Inc 1,300,000 4.00 03/15/49 AA- 1,534,337 1,491,516

Philip Morris International, Inc 1,475,000 2.38 08/17/22 A 1,477,647 1,490,139


President and Fellows of Harvard

College 70,000 5.63 10/01/38 AAA 97,822 94,671


College(1) 100,000 6.50 01/15/39 AAA 129,698 148,157


College 200,000 4.88 10/15/40 AAA 232,459 257,775

Procter & Gamble - Esop 568,913 9.36 01/01/21 AA- 591,789 584,861

Quest Diagnostics, Inc 640,000 2.95 06/30/30 BBB+ 640,621 640,621

Quest Diagnostics, Inc 175,000 4.70 03/30/45 BBB+ 181,639 194,791

Reckitt Benckiser Treasury Services

PLC(1) 1,630,000 2.38 06/24/22 A- 1,630,583 1,641,357

Reckitt Benckiser Treasury Services

PLC(1) 2,725,000 2.75 06/26/24 A- 2,769,106 2,777,081


RWJ Barnabas Health, Inc 1,520,000 3.95 07/01/46 AA- 1,520,000 1,606,414

S&P Global, Inc 1,625,000 4.50 05/15/48 1,583,847 1,974,500

Shire Acquisitions Investments Ireland

DAC 1,950,000 2.88 09/23/23 BBB+ 1,970,247 1,985,692

Shire Acquisitions Investments Ireland

DAC 665,000 3.20 09/23/26 BBB+ 673,949 684,634

Stanford Health Care 455,000 3.80 11/15/48 AA- 458,282 491,426

Takeda Pharmaceutical Co Ltd 785,000 5.00 11/26/28 BBB+ 913,060 913,431

Trinity Health Corp 105,000 4.13 12/01/45 AA- 98,662 115,044

Unilever Capital Corp 540,000 4.25 02/10/21 A+ 551,635 554,387

UnitedHealth Group, Inc 1,710,000 3.45 01/15/27 A+ 1,812,084 1,831,328





UnitedHealth Group, Inc 870,000 4.45 12/15/48 A+ 894,898 1,037,239



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


UnitedHealth Group, Inc 1,000,000 3.88 % 08/15/59 A+ $ 1,094,645 $ 1,075,830

William Marsh Rice University 325,000 3.77 05/15/55 AAA 333,822 356,271 ____________________________________ ____________________________________


Energy: 8.22%

Apache Corp 1,380,000 5.35 07/01/49 BBB 1,414,411 1,438,748

Baker Hughes a GE Co LLC / Baker

Hughes Co-Obligor, Inc 830,000 3.34 12/15/27 A- 779,318 865,406


Hughes Co-Obligor, Inc 1,255,000 4.08 12/15/47 A- 1,252,248 1,283,101

Boardwalk Pipelines LP 1,480,000 4.80 05/03/29 BBB- 1,575,968 1,581,027

BP Capital Markets America, Inc 1,150,000 3.41 02/11/26 A- 1,193,518 1,224,098

BP Capital Markets America, Inc 3,570,000 3.12 05/04/26 A- 3,417,981 3,726,663

BP Capital Markets PLC 855,000 3.81 02/10/24 A- 906,399 912,090

Cameron LNG LLC(1) 425,000 2.90 07/15/31 A 425,935 425,267

Cameron LNG LLC(1) 865,000 3.30 01/15/35 A 870,007 871,738

Cameron LNG LLC(1) 330,000 3.40 01/15/38 A 331,852 330,386

Canadian Natural Resources Ltd 1,195,000 6.25 03/15/38 BBB+ 1,384,136 1,551,616


CNOOC International Ltd 1,340,000 7.50 07/30/39 A+ 1,600,405 2,088,756

Concho Resources, Inc 1,115,000 3.75 10/01/27 BBB- 1,086,801 1,171,308

ConocoPhillips Co 130,000 4.30 11/15/44 A 134,349 152,567

Continental Resources, Inc 1,455,000 3.80 06/01/24 BBB- 1,435,667 1,503,688

Continental Resources, Inc 1,175,000 4.38 01/15/28 BBB- 1,217,255 1,248,001

Diamondback Energy, Inc 1,060,000 2.88 12/01/24 BBB- 1,058,654 1,071,379

Enable Midstream Partners LP 130,000 4.95 05/15/28 BBB- 129,221 131,527

Enable Midstream Partners LP 2,035,000 5.00 05/15/44 BBB- 1,888,563 1,863,423

Enbridge, Inc 2,310,000 3.50 06/10/24 BBB+ 2,409,617 2,417,403

Encana Corp 705,000 6.50 02/01/38 BBB 852,313 831,122

Energen Corp 1,410,000 4.63 09/01/21 BBB- 1,454,187 1,443,121

Energy Transfer Operating LP 2,650,000 4.90 02/01/24 BBB- 2,644,811 2,841,819





Energy Transfer Partners LP 180,000 4.90 03/15/35 BBB- 180,632 188,724


Energy Transfer Partners LP /

Regency Energy Finance Corp 1,855,000 5.00 10/01/22 BBB- 1,963,443 1,966,768






Enterprise Products Operating LLC(3) 1,500,000 5.38 02/15/78 BBB- 1,496,367 1,490,689

EQT Corp 2,965,000 3.90 10/01/27 BBB- 2,773,184 2,773,266

Equinor ASA 2,365,000 2.90 11/08/20 AA- 2,362,245 2,384,592

Equinor ASA 90,000 7.15 11/15/25 AA- 105,927 112,601

Equinor ASA 90,000 7.15 01/15/29 AA- 108,286 120,867

Equinor ASA 900,000 3.95 05/15/43 AA- 892,073 1,001,497

Equinor ASA 1,410,000 3.25 11/18/49 AA- 1,412,979 1,416,684

Exxon Mobil Corp 505,000 3.10 08/16/49 AA+ 506,721 502,377



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Halliburton Co 280,000 5.00 % 11/15/45 A- $ 310,518 $ 319,171

Halliburton Co(1) 200,000 7.60 08/15/96 A- 289,074 276,398

Hess Corp 165,000 7.13 03/15/33 BBB- 187,304 208,360

Husky Energy, Inc 3,100,000 4.40 04/15/29 BBB 3,304,049 3,334,329

Kinder Morgan Energy Partners LP 2,260,000 6.50 09/01/39 BBB 2,442,121 2,864,884


Kinder Morgan, Inc 201,000 7.80 08/01/31 BBB 233,112 276,299


Marathon Oil Corp 175,000 6.80 03/15/32 BBB 203,251 221,926


Marathon Petroleum Corp 950,000 4.75 09/15/44 BBB 1,021,650 1,041,503

Marathon Petroleum Corp 1,070,000 5.85 12/15/45 BBB 1,133,822 1,225,470

Motiva Enterprises LLC(1) 394,000 5.75 01/15/20 BBB 394,345 394,399

Motiva Enterprises LLC(1) 545,000 6.85 01/15/40 BBB 671,261 657,634

MPLX LP(1) 205,000 5.20 12/01/47 BBB 200,165 217,716

MPLX LP 2,745,000 5.50 02/15/49 BBB 2,848,095 3,109,641

Noble Energy, Inc 1,150,000 5.05 11/15/44 BBB 1,208,077 1,280,361

Occidental Petroleum Corp 4,575,000 2.90 08/15/24 BBB 4,585,821 4,645,666

Occidental Petroleum Corp(2) 1,930,000 4.18 10/10/36 BBB 946,913 970,474



ONEOK, Inc 2,500,000 4.35 03/15/29 BBB 2,704,100 2,704,373

ONEOK, Inc 965,000 5.20 07/15/48 BBB 1,064,610 1,091,992

ONEOK, Inc 565,000 4.45 09/01/49 BBB 562,161 584,245

Patterson-UTI Energy, Inc 410,000 5.15 11/15/29 BBB 406,549 419,510


Petroleos Mexicanos(1) 1,620,000 6.84 01/23/30 BBB+ 1,619,038 1,727,471









Sabal Trail Transmission LLC(1) 400,000 4.83 05/01/48 402,493 453,075

Sabine Pass Liquefaction LLC 720,000 5.88 06/30/26 BBB- 782,027 826,161


Schlumberger Investment SA 1,720,000 3.65 12/01/23 A+ 1,789,609 1,818,701



Suncor Energy, Inc 700,000 6.85 06/01/39 A- 894,700 1,007,747

Suncor Energy, Inc 520,000 4.00 11/15/47 A- 522,064 565,799


LP 775,000 4.95 01/15/43 BBB- 748,351 765,710

Tennessee Gas Pipeline Co LLC 1,070,000 7.63 04/01/37 BBB 1,287,124 1,453,932


Transcontinental Gas Pipe Line Co

LLC 4,130,000 7.85 02/01/26 BBB 4,962,261 5,244,521


LLC 140,000 7.25 12/01/26 BBB 166,670 175,087



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Valero Energy Corp 280,000 4.90 % 03/15/45 BBB $ 312,903 $ 322,417

Valero Energy Partners LP 1,900,000 4.38 12/15/26 BBB 1,930,553 2,068,170



Williams Cos, Inc 175,000 5.80 11/15/43 BBB 194,383 207,905

Woodside Finance Ltd(1) 3,125,000 3.65 03/05/25 BBB+ 3,124,063 3,234,765 ____________________________________ ____________________________________

Total Energy 105,466,826 110,482,619 ____________________________________ ____________________________________

Financial: 29.62%

Aflac, Inc 330,000 4.75 01/15/49 A- 327,155 400,769

Air Lease Corp 555,000 2.25 01/15/23 BBB 551,470 555,144

Air Lease Corp 1,260,000 3.63 12/01/27 BBB 1,200,884 1,303,742

Alexandria Real Estate Equities, Inc 1,320,000 3.80 04/15/26 BBB+ 1,378,759 1,409,862

Alexandria Real Estate Equities, Inc 530,000 3.95 01/15/28 BBB+ 570,095 568,803

Allstate Corp 395,000 4.20 12/15/46 A- 390,882 453,808

Allstate Corp 195,000 3.85 08/10/49 A- 199,419 215,248

American Express Co 4,800,000 3.70 08/03/23 BBB+ 5,046,458 5,043,256

American Express Co 3,000,000 3.40 02/22/24 BBB+ 2,997,168 3,135,813

American Express Credit Corp 2,035,000 2.38 05/26/20 A- 2,037,315 2,037,453

American International Group, Inc 2,035,000 4.20 04/01/28 BBB+ 2,009,618 2,237,243




Ameriprise Financial, Inc 275,000 4.00 10/15/23 A 281,563 294,550

ANZ New Zealand Int'l Ltd(1) 2,855,000 2.13 07/28/21 AA- 2,854,930 2,861,323

Aon Corp 135,000 8.21 01/01/27 BBB 157,389 173,138

Aon Corp 30,000 6.25 09/30/40 A- 36,660 40,898

Aon PLC 2,440,000 4.00 11/27/23 A- 2,583,483 2,581,901

Aon PLC 1,350,000 3.50 06/14/24 A- 1,367,447 1,414,815

Aon PLC 205,000 4.45 05/24/43 A- 201,288 224,256

Athene Global Funding(1) 1,635,000 2.75 06/25/24 A 1,646,870 1,650,199

Athene Global Funding(1) 3,500,000 2.95 11/12/26 A 3,494,615 3,492,055

AvalonBay Communities, Inc 510,000 2.90 10/15/26 A- 479,882 523,931

Banco Santander Mexico SA(1) 3,500,000 4.13 11/09/22 3,505,456 3,635,660

Banco Santander Mexico SA

Institucion de Banca Multiple Grupo

Financiero Santand(1)(3) 2,015,000 5.95 10/01/28 2,015,000 2,158,589

Banco Santander SA 1,590,000 3.50 04/11/22 A- 1,622,126 1,632,732

Banco Santander SA 1,200,000 2.71 06/27/24 A 1,216,334 1,216,026

Banco Santander SA 2,115,000 4.25 04/11/27 A- 2,051,370 2,272,526

Bancolombia SA 4,000,000 5.95 06/03/21 4,135,100 4,200,000




Bank of America Corp 1,570,000 3.88 08/01/25 A- 1,687,207 1,685,946



Bank of America Corp 4,185,000 4.18 11/25/27 BBB+ 4,185,000 4,533,038







December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Bank of America Corp(3) 2,595,000 4.33 % 03/15/50 A- $ 2,781,596 $ 3,106,434

Bank of Montreal 2,515,000 2.90 03/26/22 A- 2,513,767 2,563,139

Bank of Montreal 2,010,000 2.50 06/28/24 A- 2,032,016 2,033,134


SA(1) 2,595,000 2.13 11/21/22 A 2,587,938 2,597,172

Barclays PLC(3) 910,000 4.61 02/15/23 BBB 935,665 950,140

BB&T Corp 505,000 2.50 08/01/24 A- 511,181 511,052

BBVA USA 2,451,000 3.50 06/11/21 BBB+ 2,480,604 2,492,971

Berkshire Hathaway Finance Corp 115,000 4.40 05/15/42 AA 117,832 134,934


Berkshire Hathaway Finance Corp 1,150,000 4.25 01/15/49 AA 1,157,086 1,359,958

BlackRock, Inc 240,000 3.38 06/01/22 AA- 242,786 248,639

Blackstone Holdings Finance Co

LLC(1) 1,420,000 5.00 06/15/44 A+ 1,525,114 1,717,251

BPCE SA(1) 2,620,000 5.15 07/21/24 BBB+ 2,675,108 2,873,472

Brighthouse Financial, Inc 1,790,000 4.70 06/22/47 BBB+ 1,476,424 1,656,109

Brookfield Finance LLC 3,075,000 4.00 04/01/24 A- 3,070,229 3,295,586

Camden Property Trust 475,000 3.15 07/01/29 A- 494,322 494,077

CBRE Services, Inc 1,800,000 4.88 03/01/26 BBB+ 1,847,184 2,004,857

Charles Schwab Corp 35,000 3.25 05/22/29 A 34,922 37,007

Chubb INA Holdings, Inc 480,000 3.35 05/15/24 A 488,108 505,375

Chubb INA Holdings, Inc 1,615,000 2.30 11/03/20 A 1,602,778 1,620,646


Citibank NA 3,000,000 3.05 05/01/20 A+ 2,999,649 3,009,021

Citibank NA(3) 2,460,000 3.17 02/19/22 A+ 2,464,884 2,491,612

Citigroup, Inc(3) 1,190,000 2.31 11/04/22 BBB+ 1,191,137 1,193,455


Citigroup, Inc 2,870,000 4.60 03/09/26 BBB 2,905,965 3,156,836



Citigroup, Inc 140,000 6.00 10/31/33 BBB 165,622 180,322

Citigroup, Inc 285,000 4.65 07/30/45 BBB+ 289,272 353,026



CNA Financial Corp 320,000 3.90 05/01/29 A- 344,709 344,115

Cooperatieve Rabobank UA 1,275,000 2.75 01/10/22 A+ 1,255,240 1,296,031

Cooperatieve Rabobank UA 1,435,000 3.95 11/09/22 BBB+ 1,453,720 1,499,610

Cooperatieve Rabobank UA 135,000 5.25 08/04/45 BBB+ 136,107 172,235

Credit Suisse AG 6,040,000 2.10 11/12/21 A+ 6,052,391 6,066,789

Credit Suisse Group AG(1)(3) 4,000,000 3.00 12/14/23 BBB+ 3,998,835 4,072,393

Credit Suisse Group Funding

Guernsey Ltd 580,000 3.80 06/09/23 BBB+ 571,049 606,841

CyrusOne LP / CyrusOne Finance

Corp 1,565,000 3.45 11/15/29 BBB- 1,560,481 1,569,288

Danske Bank AS(1) 1,860,000 5.38 01/12/24 BBB+ 1,885,657 2,041,124

Deutsche Bank AG 1,415,000 4.25 02/04/21 BBB- 1,414,115 1,437,377

Digital Realty Trust LP 1,960,000 4.75 10/01/25 BBB 2,006,820 2,176,116

ERP Operating LP 1,410,000 3.00 07/01/29 A- 1,405,174 1,458,546

Fairfax Financial Holdings Ltd 2,230,000 4.85 04/17/28 BBB- 2,225,656 2,427,005

Fifth Third Bancorp 2,280,000 2.60 06/15/22 BBB+ 2,263,320 2,308,017

GAIF Bond Issuer Pty Ltd(1) 825,000 3.40 09/30/26 BBB+ 802,123 836,571



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Unlimited Co 1,659,000 4.42 % 11/15/35 BBB+ $ 1,727,634 $ 1,766,463


UnLtd Co 5,725,000 2.34 11/15/20 BBB+ 5,703,803 5,729,322

GEICO Corp 800,000 7.35 07/15/23 AA 939,738 937,041

Goldman Sachs Group, Inc 3,789,000 2.63 04/25/21 BBB+ 3,800,241 3,821,318



Goldman Sachs Group, Inc 2,370,000 6.75 10/01/37 BBB- 2,642,399 3,285,109

Goldman Sachs Group, Inc(3) 1,735,000 4.02 10/31/38 BBB+ 1,577,809 1,880,991

Goldman Sachs Group, Inc(3) 635,000 4.41 04/23/39 BBB+ 621,382 721,871

Guardian Life Insurance Co of

America(1) 1,442,000 4.85 01/24/77 AA- 1,549,684 1,750,066

Hartford Financial Services Group,

Inc 360,000 4.40 03/15/48 BBB+ 356,548 413,654


Inc 285,000 3.60 08/19/49 BBB+ 283,719 292,424

Highwoods Realty LP 2,565,000 4.13 03/15/28 BBB 2,596,800 2,743,634

Highwoods Realty LP 295,000 4.20 04/15/29 BBB 294,168 316,919

HSBC Bank USA NA 85,000 7.00 01/15/39 A 115,965 123,865

HSBC Holdings PLC(3) 985,000 3.26 03/13/23 A 1,004,476 1,007,092

HSBC Holdings PLC(3) 1,305,000 3.80 03/11/25 A 1,350,486 1,368,979


HSBC Holdings PLC 2,220,000 4.38 11/23/26 BBB+ 2,233,299 2,402,889

HSBC Holdings PLC(3) 2,112,000 4.58 06/19/29 A 2,336,504 2,358,745

HSBC USA, Inc 90,000 7.20 07/15/97 A- 111,903 136,643

Huntington Bancshares, Inc 435,000 2.30 01/14/22 BBB+ 434,381 437,218


JPMorgan Chase & Co 3,355,000 2.97 01/15/23 A- 3,357,006 3,422,172



JPMorgan Chase & Co(3) 4,295,000 5.15 12/29/49 BBB- 4,197,000 4,488,275

JPMorgan Chase & Co 135,000 4.13 12/15/26 BBB+ 136,576 147,737

JPMorgan Chase & Co 3,065,000 3.63 12/01/27 BBB+ 3,061,199 3,234,730










JPMorgan Chase Bank NA(3) 935,000 2.60 02/01/21 A+ 933,817 935,482

KeyBank NA 450,000 3.90 04/13/29 BBB+ 449,404 482,760

KeyCorp 2,020,000 5.10 03/24/21 BBB+ 2,084,745 2,096,114

KeyCorp 870,000 2.55 10/01/29 BBB+ 848,342 849,505

Kimco Realty Corp 570,000 2.70 03/01/24 BBB+ 568,280 576,416



KKR Group Finance Co VI LLC(1) 3,000,000 3.75 07/01/29 A 3,221,309 3,193,356



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Kreditanstalt fuer Wiederaufbau 155,000 1.63 % 05/29/20 AAA $ 154,995 $ 154,957

Legg Mason, Inc 1,725,000 5.63 01/15/44 BBB 1,995,295 1,954,065

Lexington Realty Trust 1,570,000 4.40 06/15/24 BBB- 1,564,147 1,631,887



Lincoln National Corp 1,335,000 3.05 01/15/30 A- 1,325,574 1,341,561


Lloyds Bank PLC 675,000 2.25 08/14/22 A+ 673,271 678,000

Lloyds Banking Group PLC(3) 2,595,000 2.86 03/17/23 BBB+ 2,596,409 2,626,565

Macquarie Bank Ltd(1) 3,525,000 4.88 06/10/25 BBB 3,683,546 3,813,364

Markel Corp 95,000 3.63 03/30/23 BBB 95,205 99,300

Marsh & McLennan Cos, Inc 1,945,000 2.75 01/30/22 A- 1,951,733 1,975,407

Marsh & McLennan Cos, Inc 340,000 4.05 10/15/23 A- 347,806 361,478



MetLife, Inc 1,715,000 6.40 12/15/36 BBB 1,785,695 2,100,875

MetLife, Inc 680,000 10.75 08/01/39 BBB 869,521 1,135,600

MetLife, Inc 225,000 5.88 02/06/41 A- 277,377 305,717

MetLife, Inc 705,000 4.88 11/13/43 A- 882,036 871,765

MetLife, Inc 110,000 4.72 12/15/44 A- 118,313 133,931

Mitsubishi UFJ Financial Group, Inc 1,190,000 3.46 03/02/23 A- 1,219,281 1,233,645




Mitsubishi UFJ Financial Group, Inc 280,000 3.85 03/01/26 A- 299,921 300,642



Mizuho Financial Group, Inc 2,765,000 2.27 09/13/21 A- 2,765,000 2,775,590


Mizuho Financial Group, Inc(3) 1,100,000 2.56 09/13/25 A- 1,096,149 1,099,312







Morgan Stanley(3) 3,900,000 3.59 07/22/28 BBB+ 4,002,842 4,142,028



MUFG Bank Ltd(1) 315,000 2.75 09/14/20 A 314,235 316,593

National Life Insurance Co(1)(3) 1,897,000 5.25 07/19/68 A- 1,911,530 2,042,186

National Rural Utilities Cooperative

Finance Corp 2,140,000 2.30 11/01/20 A 2,148,106 2,147,522

National Rural Utilities Cooperative

Finance Corp 660,000 4.02 11/01/32 A 751,231 745,408

Nationwide Building Society(1) 2,000,000 3.90 07/21/25 A 1,995,816 2,155,147

New York Life Insurance Co(1) 280,000 4.45 05/15/69 AA- 279,870 319,672

Northwestern Mutual Life Insurance

Co(1) 56,000 3.63 09/30/59 AA- 56,606 55,944

Omega Helathcare Investors, Inc 3,000,000 4.50 04/01/27 BBB- 2,942,410 3,235,365



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Ontario Teachers' Cadillac Fairview

Properties Trust(1) 3,560,000 3.88 % 03/20/27 A+ $ 3,585,707 $ 3,805,854

Park Aerospace Holdings Ltd(1) 2,900,000 5.25 08/15/22 BBB- 3,069,114 3,089,660

PartnerRe Finance II, Inc(3) 4,000,000 4.23 12/01/66 BBB 3,442,534 3,120,000

PNC Bank NA 925,000 2.00 05/19/20 A 924,581 925,132

PNC Bank NA 2,775,000 3.30 10/30/24 A 2,774,438 2,916,648

PNC Bank NA 745,000 2.95 02/23/25 A 769,322 770,699

PNC Bank NA 170,000 4.05 07/26/28 A- 183,597 186,408

PNC Financial Services Group, Inc 3,220,000 2.60 07/23/26 A- 3,212,735 3,260,223

Private Export Funding Corp 3,472,000 3.25 06/15/25 3,724,703 3,696,456

Progressive Corp 430,000 4.13 04/15/47 A 463,822 498,861






Prudential Financial, Inc 1,720,000 3.70 03/13/51 A 1,707,802 1,804,346

Regency Centers LP 940,000 3.90 11/01/25 BBB+ 946,197 1,000,674

Regions Bank(3) 1,265,000 3.37 08/13/21 A- 1,269,824 1,274,677

Royal Bank of Canada 1,725,000 2.25 11/01/24 A 1,723,274 1,732,965

Sammons Financial Group, Inc(1) 2,000,000 4.45 05/12/27 BBB+ 1,998,329 2,065,857

Santander Holdings USA, Inc 3,205,000 3.50 06/07/24 3,202,559 3,294,804

Scentre Group Trust 1 / Scentre Group

Trust 2(1) 840,000 3.50 02/12/25 A 835,638 871,124

Scentre Group Trust 1 / Scentre Group

Trust 2(1) 2,435,000 3.75 03/23/27 A 2,423,554 2,544,708

Simon Property Group LP 550,000 3.25 11/30/26 A 568,219 578,230


Simon Property Group LP 815,000 6.75 02/01/40 A 1,040,201 1,192,965

SITE Centers Corp 2,314,000 4.70 06/01/27 BBB- 2,354,659 2,499,003

Skandinaviska Enskilda Banken AB(1) 3,000,000 2.63 11/17/20 A+ 2,997,341 3,013,104

Skandinaviska Enskilda Banken AB(1) 2,810,000 2.20 12/12/22 A+ 2,809,283 2,815,395

Sompo International Holdings Ltd 2,350,000 7.00 07/15/34 A- 2,608,788 3,106,690


Sumitomo Mitsui Banking Corp 3,280,000 2.45 10/20/20 A 3,282,677 3,293,343




Sumitomo Mitsui Financial Group, Inc 785,000 3.20 09/17/29 BBB+ 787,789 795,310

SunTrust Bank(3) 930,000 2.59 01/29/21 A 927,310 931,874

SunTrust Bank(3) 240,000 3.69 08/02/24 A 239,353 251,684

Synchrony Financial 3,590,000 2.85 07/25/22 BBB- 3,605,044 3,632,616

Synchrony Financial 2,745,000 3.95 12/01/27 BBB- 2,491,011 2,881,795

Tanger Properties LP 2,385,000 3.75 12/01/24 BBB 2,351,418 2,442,401

TD Ameritrade Holding Corp 635,000 2.75 10/01/29 A 636,898 634,453

Teachers Insurance & Annuity

Association of America(1) 750,000 4.90 09/15/44 AA- 874,251 919,763

Transatlantic Holdings, Inc 1,440,000 8.00 11/30/39 BBB+ 1,864,702 2,136,965

Travelers Cos, Inc 610,000 3.90 11/01/20 A 612,958 619,659





December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Truist Bank 3,270,000 2.15 % 12/06/24 A $ 3,265,753 $ 3,261,686

Truist Financial Corp 1,575,000 2.70 01/27/22 A- 1,580,339 1,596,030

Truist Financial Corp 620,000 2.20 03/16/23 A- 618,536 623,730

Truist Financial Corp 1,890,000 3.75 12/06/23 A- 1,996,367 2,002,476

U.S. Bank NA/Cincinnati OH 150,000 2.80 01/27/25 AA- 149,412 154,933

UBS Group AG(1) 1,845,000 3.49 05/23/23 A- 1,841,085 1,897,886

UBS Group AG(1) 1,260,000 4.25 03/23/28 A- 1,235,372 1,376,409

US Bank NA(3) 3,490,000 3.10 05/21/21 AA- 3,485,767 3,506,136

Validus Holdings Ltd 885,000 8.88 01/26/40 BBB+ 1,108,912 1,428,464

WEA Finance LLC(1) 1,500,000 3.15 04/05/22 A 1,483,298 1,532,805

WEA Finance LLC(1) 1,165,000 4.63 09/20/48 A 1,159,090 1,335,454

Welltower, Inc 1,185,000 4.95 09/01/48 BBB+ 1,235,914 1,418,809

Western Union Co 755,000 2.85 01/10/25 BBB 755,259 756,830

Westpac Banking Corp 385,000 3.30 02/26/24 AA- 384,777 401,353

Westpac Banking Corp(3) 1,235,000 4.32 11/23/31 BBB+ 1,266,889 1,306,410

Willis North America, Inc 435,000 3.88 09/15/49 BBB 433,446 432,565 ____________________________________ ____________________________________

Total Financial 382,467,412 398,176,166 ____________________________________ ____________________________________

Industrial: 6.80%

3M Co 1,840,000 2.00 02/14/25 AA- 1,830,893 1,828,272

3M Co 245,000 3.63 10/15/47 AA- 238,203 253,763

Agilent Technologies, Inc 1,600,000 2.75 09/15/29 BBB+ 1,597,034 1,586,241

Airbus Finance BV(1) 1,415,000 2.70 04/17/23 A+ 1,433,075 1,437,860

AP Moller - Maersk AS(1) 2,500,000 4.50 06/20/29 BBB 2,485,521 2,662,699

Arrow Electronics, Inc 1,575,000 3.50 04/01/22 BBB- 1,561,781 1,612,159


BAE Systems Holdings, Inc(1) 690,000 3.80 10/07/24 BBB 703,951 728,968

BAE Systems Holdings, Inc(1) 487,000 3.85 12/15/25 BBB 518,417 516,413

Boeing Co 1,450,000 2.60 10/30/25 A- 1,443,718 1,468,506

Boeing Co 1,075,000 2.70 02/01/27 A- 1,097,001 1,088,733

Boeing Co 755,000 3.25 02/01/35 A- 753,671 771,086

Boeing Co 820,000 3.50 03/01/39 A- 854,692 844,566



Burlington Northern Santa Fe LLC 1,680,000 4.90 04/01/44 A+ 1,775,375 2,089,125

Burlington Northern Santa Fe LLC 930,000 4.05 06/15/48 A+ 869,452 1,051,216

Canadian National Railway Co 820,000 6.20 06/01/36 A 887,100 1,149,499

Canadian Pacific Railway Co 2,050,000 4.45 03/15/23 BBB+ 2,153,182 2,180,090

Canadian Pacific Railway Co 1,050,000 4.80 09/15/35 BBB+ 1,270,074 1,248,285

Caterpillar Financial Services Corp 3,080,000 2.95 02/26/22 A 3,133,644 3,148,889


Corning, Inc 1,700,000 7.25 08/15/36 BBB+ 1,922,674 2,066,228

CSX Corp 190,000 4.75 05/30/42 BBB+ 196,466 223,768

CSX Corp 1,145,000 4.65 03/01/68 BBB+ 1,296,705 1,310,115

Embraer Netherlands Finance BV 695,000 5.40 02/01/27 BBB 731,212 782,229

Embraer Overseas Ltd(1) 670,000 5.70 09/16/23 BBB 735,024 735,332

Embraer SA 775,000 5.15 06/15/22 BBB 801,297 818,408

FedEx Corp 455,000 4.10 02/01/45 BBB 443,928 440,380

FedEx Corp 178,000 4.05 02/15/48 BBB 174,418 171,456

FedEx Corp 280,000 4.95 10/17/48 BBB 306,670 305,208

FedEx Corp 315,000 4.50 02/01/65 BBB 317,479 281,303

Fortive Corp 1,400,000 4.30 06/15/46 BBB 1,427,103 1,445,348



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


General Dynamics Corp 1,705,000 2.88 % 05/11/20 A+ $ 1,704,513 $ 1,710,906



General Electric Co(3) 1,513,000 5.00 01/21/21 BBB- 1,409,486 1,481,923

General Electric Co 1,010,000 5.55 01/05/26 BBB+ 1,121,440 1,158,518


John Deere Capital Corp 1,390,000 2.88 03/12/21 A 1,389,763 1,406,911

John Deere Capital Corp 950,000 2.25 09/14/26 A 943,811 949,462

Johnson Controls International PLC 247,000 4.95 07/02/64 BBB+ 223,128 260,433

L3Harris Technologies, Inc(1) 715,000 3.85 06/15/23 BBB 749,662 752,661

L3Harris Technologies, Inc 1,850,000 3.83 04/27/25 BBB 1,837,853 1,972,519

Mexico City Airport Trust(1) 602,000 5.50 07/31/47 BBB+ 562,326 620,819

Norfolk Southern Corp 1,275,000 3.40 11/01/49 BBB+ 1,270,238 1,262,301

Northrop Grumman Corp 945,000 3.25 01/15/28 BBB 1,000,598 985,026

Northrop Grumman Systems Corp 950,000 7.75 02/15/31 BBB 1,213,634 1,363,234


Parker-Hannifin Corp 1,765,000 3.25 06/14/29 A- 1,831,576 1,841,385

Polar Tankers, Inc(1) 1,825,000 5.95 05/10/37 A 2,154,014 2,298,582

Republic Services, Inc 2,070,000 4.75 05/15/23 BBB+ 2,233,397 2,227,775

Rockwell Collins, Inc 1,955,000 3.20 03/15/24 BBB+ 1,957,981 2,033,187


Rockwell Collins, Inc 415,000 4.80 12/15/43 BBB+ 439,241 497,911


Rolls-Royce PLC(1) 1,310,000 3.63 10/14/25 BBB- 1,289,799 1,351,213

Roper Technologies, Inc 2,070,000 3.80 12/15/26 BBB+ 2,183,938 2,222,677

Roper Technologies, Inc 995,000 2.95 09/15/29 BBB+ 998,244 1,003,664

SBA Tower Trust(1) 3,500,000 2.88 07/09/21 3,536,157 3,510,966

TTX Co(1) 1,305,000 4.20 07/01/46 A 1,278,918 1,467,958

Union Pacific Corp 1,497,000 2.95 01/15/23 A- 1,472,667 1,533,599





Union Pacific Corp(1) 441,000 3.84 03/20/60 A- 465,508 445,725


United Parcel Service, Inc 225,000 3.63 10/01/42 A 229,599 229,490





United Technologies Corp 1,681,000 5.70 04/15/40 BBB+ 1,954,496 2,258,646


WRKCo, Inc 630,000 4.65 03/15/26 BBB 694,643 694,618

WRKCo, Inc 3,235,000 3.90 06/01/28 BBB 3,441,912 3,431,098 ____________________________________ ____________________________________


Technology: 4.19%

Apple, Inc 3,500,000 2.05 09/11/26 AA+ 3,468,755 3,471,199

Apple, Inc 3,530,000 3.20 05/11/27 AA+ 3,709,347 3,720,674

Apple, Inc 295,000 3.85 05/04/43 AA+ 311,242 330,214

Apple, Inc 3,890,000 4.65 02/23/46 AA+ 4,056,013 4,866,179

Apple, Inc 170,000 3.85 08/04/46 AA+ 168,552 191,851



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Finance Ltd 1,620,000 3.88 % 01/15/27 BBB- $ 1,536,855 $ 1,681,004

Broadcom, Inc(1) 1,560,000 3.13 04/15/21 BBB- 1,559,911 1,578,616

Broadcom, Inc(1) 1,260,000 3.63 10/15/24 BBB- 1,242,844 1,309,536

Broadridge Financial Solutions, Inc 1,000,000 2.90 12/01/29 BBB+ 999,404 998,782

Dell International LLC / EMC Corp(1) 940,000 6.02 06/15/26 BBB- 968,493 1,081,115

Dell International LLC / EMC Corp(1) 2,400,000 8.35 07/15/46 BBB- 2,834,663 3,299,198

Fiserv, Inc 2,010,000 3.50 07/01/29 BBB 2,094,356 2,109,695

Intel Corp 175,000 4.10 05/19/46 A+ 181,188 201,409

Intel Corp 365,000 4.10 05/11/47 A+ 375,541 422,654

International Business Machines Corp 1,385,000 2.85 05/13/22 A 1,386,026 1,414,939




KLA Corp 1,835,000 4.65 11/01/24 BBB 2,009,021 2,012,458

KLA Corp 2,400,000 4.10 03/15/29 BBB 2,440,998 2,626,040

Lam Research Corp 1,060,000 3.75 03/15/26 BBB+ 1,116,208 1,135,330

Microsoft Corp 2,575,000 2.40 08/08/26 AAA 2,563,565 2,606,262






NXP BV / NXP Funding LLC(1) 1,550,000 3.88 09/01/22 BBB- 1,549,559 1,607,406


USA, Inc(1) 1,645,000 4.30 06/18/29 BBB- 1,639,617 1,776,456

Oracle Corp 1,650,000 2.65 07/15/26 A+ 1,653,784 1,686,190

Oracle Corp 975,000 5.38 07/15/40 A+ 1,161,702 1,264,136

Oracle Corp 1,520,000 4.13 05/15/45 A+ 1,424,477 1,712,420

QUALCOMM, Inc 390,000 3.45 05/20/25 A- 394,382 412,095

QUALCOMM, Inc 2,165,000 4.30 05/20/47 A- 2,254,582 2,476,089

Texas Instruments, Inc 300,000 2.25 09/04/29 A+ 300,737 295,767

VMware, Inc 2,910,000 3.90 08/21/27 BBB- 2,772,435 3,042,779 ____________________________________ ____________________________________


Utilities: 9.30%


American Transmission Systems,

Inc(1) 235,000 5.00 09/01/44 BBB 252,153 294,120

American Water Capital Corp 1,160,000 2.95 09/01/27 A 1,117,502 1,184,378

American Water Capital Corp 475,000 3.75 09/01/28 A 475,364 512,746

Aquarion Co(1) 3,750,000 4.00 08/15/24 BBB+ 3,867,705 3,941,113

Arizona Public Service Co 345,000 4.50 04/01/42 A- 391,423 395,081


Basin Electric Power Cooperative(1) 1,195,000 4.75 04/26/47 A 1,200,516 1,352,467

Black Hills Corp 2,545,000 3.15 01/15/27 BBB+ 2,589,846 2,572,860


CenterPoint Energy Resources Corp 1,115,000 4.00 04/01/28 BBB+ 1,115,523 1,191,839

CenterPoint Energy, Inc 1,410,000 3.60 11/01/21 BBB 1,410,168 1,446,389






December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Comision Federal de Electricidad(1) 1,935,000 4.88 % 05/26/21 BBB+ $ 1,931,793 $ 1,993,069


Inc 910,000 5.50 12/01/39 A- 923,030 1,165,815


Inc 521,000 4.20 03/15/42 A- 530,016 579,803


Inc 300,000 4.50 12/01/45 A- 344,378 351,979


Inc 295,000 4.63 12/01/54 A- 316,135 357,234

Dominion Energy South Carolina, Inc 185,000 5.80 01/15/33 A 229,408 236,750



Dominion Energy, Inc 1,835,000 3.90 10/01/25 BBB 1,947,025 1,969,584

Dominion Energy, Inc 850,000 5.95 06/15/35 BBB 1,018,817 1,079,572


DTE Energy Co 1,455,000 3.70 08/01/23 BBB 1,457,952 1,517,961

DTE Energy Co 2,500,000 2.53 10/01/24 BBB 2,505,019 2,509,804

DTE Energy Co 1,080,000 3.40 06/15/29 BBB 1,099,471 1,111,988

Duke Energy Carolinas LLC 3,145,000 3.88 03/15/46 A 3,336,085 3,479,928

Duke Energy Carolinas LLC 1,805,000 3.70 12/01/47 A 1,985,931 1,946,417

Duke Energy Florida LLC 195,000 4.20 07/15/48 A 195,237 225,371

Duke Energy Florida Project Finance

LLC 315,000 2.54 09/01/29 AAA 316,468 315,623

Duke Energy Progress, Inc 525,000 4.10 03/15/43 A 555,740 586,535

Electricite de France SA(1) 1,720,000 4.88 01/22/44 A- 1,873,793 1,969,206

Electricite de France SA(1) 50,000 6.00 01/22/2114 A- 57,578 59,064

Emera US Finance LP 1,455,000 4.75 06/15/46 BBB 1,544,736 1,679,696

Enel Finance International NV(1) 2,025,000 4.63 09/14/25 BBB+ 2,014,596 2,207,544

Entergy Louisiana LLC 1,200,000 3.25 04/01/28 A 1,164,103 1,257,971

Entergy Texas, Inc 950,000 4.00 03/30/29 A 1,022,260 1,046,114

Eversource Energy 2,005,000 2.80 05/01/23 BBB+ 2,037,645 2,033,904


Exelon Corp 385,000 5.10 06/15/45 BBB 468,749 462,844


Florida Power & Light Co 510,000 5.25 02/01/41 A+ 604,037 657,935

Georgia Power Co 2,035,000 2.65 09/15/29 A- 2,004,058 2,005,371

Georgia Power Co 820,000 4.75 09/01/40 A- 900,885 927,767

Indiana Michigan Power Co 1,615,000 3.75 07/01/47 A- 1,723,721 1,688,394

ITC Holdings Corp 1,360,000 4.05 07/01/23 BBB+ 1,427,111 1,426,955

ITC Holdings Corp(1) 1,720,000 6.38 09/30/36 BBB+ 1,955,338 2,280,896

Kentucky Utilities Co 675,000 4.38 10/01/45 A 697,165 784,034

Louisville Gas & Electric Co 880,000 4.25 04/01/49 A 885,717 1,012,358

Massachusetts Electric Co(1) 410,000 5.90 11/15/39 A- 514,368 545,704


Metropolitan Edison Co(1) 2,000,000 4.30 01/15/29 BBB 1,997,798 2,227,004

MidAmerican Energy Co 460,000 4.25 07/15/49 A+ 459,662 550,400


Monongahela Power Co(1) 2,770,000 4.10 04/15/24 A- 2,864,316 2,965,498

National Grid USA 1,787,000 5.80 04/01/35 BBB+ 1,954,839 2,167,239

Nevada Power Co 1,345,000 5.45 05/15/41 A+ 1,368,277 1,715,215

NextEra Energy Capital Holdings, Inc 2,955,000 3.34 09/01/20 BBB+ 2,956,943 2,980,807



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


NextEra Energy Capital Holdings, Inc 2,245,000 2.90 % 04/01/22 BBB+ $ 2,285,815 $ 2,290,276

NextEra Energy Capital Holdings, Inc 570,000 2.75 11/01/29 BBB+ 573,775 572,186

Niagara Mohawk Power Corp(1) 285,000 3.51 10/01/24 A- 297,736 299,559

NiSource, Inc 200,000 3.95 03/30/48 BBB+ 195,888 210,240

NiSource, Inc 2,425,000 3.65 06/15/23 BBB+ 2,416,035 2,524,590

NiSource, Inc 2,640,000 3.49 05/15/27 BBB+ 2,771,747 2,774,225

NiSource, Inc 255,000 5.95 06/15/41 BBB+ 298,709 326,053

Oglethorpe Power Corp 1,080,000 5.05 10/01/48 BBB+ 1,285,693 1,268,529

Oncor Electric Delivery Co LLC 2,290,000 2.75 06/01/24 A+ 2,330,495 2,316,667


PacifiCorp 365,000 7.70 11/15/31 A+ 486,899 535,585

PacifiCorp 80,000 6.25 10/15/37 A+ 103,651 111,998

PacifiCorp 200,000 6.35 07/15/38 A+ 248,784 279,780

PacifiCorp 395,000 4.13 01/15/49 A+ 396,407 450,248

PECO Energy Co 1,605,000 3.00 09/15/49 A 1,591,928 1,537,704

Piedmont Natural Gas Co, Inc 260,000 3.50 06/01/29 A- 259,773 277,671

Potomac Electric Power Co 2,525,000 4.15 03/15/43 A 2,550,205 2,845,594

Public Service Co of Colorado 700,000 3.55 06/15/46 A 721,908 727,188


Public Service Electric & Gas Co 185,000 3.60 12/01/47 A 172,811 199,923

Public Service Enterprise Group, Inc 1,795,000 2.65 11/15/22 BBB 1,793,303 1,822,384

Puget Sound Energy, Inc 1,290,000 4.43 11/15/41 A- 1,461,228 1,458,388

San Diego Gas & Electric Co 570,000 4.15 05/15/48 A 563,612 625,550

SCANA Corp 395,000 4.75 05/15/21 BBB 399,079 403,794



Southern California Edison Co 1,075,000 4.88 03/01/49 A- 1,281,045 1,271,396

Southern California Gas Co 645,000 3.15 09/15/24 A+ 633,903 673,303



Southern Co 915,000 4.25 07/01/36 BBB+ 946,410 984,303

Southwest Gas Corp 1,000,000 3.70 04/01/28 A- 1,000,263 1,072,233

Southwestern Electric Power Co 705,000 2.75 10/01/26 A- 655,100 705,167


Southwestern Public Service Co 1,551,000 4.50 08/15/41 A 1,661,942 1,808,456

Southwestern Public Service Co 250,000 3.75 06/15/49 A 271,013 268,667

Trans-Allegheny Interstate Line Co(1) 2,765,000 3.85 06/01/25 BBB 2,939,558 2,931,454

Transelec SA(1) 3,410,000 4.25 01/14/25 BBB 3,393,362 3,584,797

Tucson Electric Power Co 1,500,000 4.85 12/01/48 A- 1,516,356 1,825,285

Union Electric Co 668,000 3.65 04/15/45 A 658,178 704,983


Virginia Electric & Power Co 1,320,000 8.88 11/15/38 BBB+ 1,773,312 2,224,549


Total Utilities 119,146,071 125,019,538 ____________________________________ ____________________________________

Total Corporate Bonds 1,087,983,087 1,141,872,365 ____________________________________ ____________________________________


Bermuda: 0.24%

Bermuda Government International

Bond(1) 3,090,000 3.72 01/25/27 A+ 3,113,228 3,244,531 ____________________________________ ____________________________________

Total Bermuda 3,113,228 3,244,531 ____________________________________ ____________________________________



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Canada: 0.03%

Province of Quebec Canada 250,000 7.50 % 09/15/29 AA- $ 320,817 $ 359,936 ____________________________________ ____________________________________

Total Canada 320,817 359,936 ____________________________________ ____________________________________

Chile: 0.12%

Chile Government International Bond 1,210,000 3.50 01/25/50 A+ 1,251,113 1,250,305

Chile Government International Bond 285,000 3.86 06/21/47 A+ 320,141 315,113 ____________________________________ ____________________________________

Total Chile 1,571,254 1,565,418 ____________________________________ ____________________________________

Colombia: 0.42%

Colombia Government International

Bond 4,625,000 5.00 06/15/45 BBB- 4,845,129 5,371,937


Bond 250,000 5.63 02/26/44 BBB- 309,229 310,625 ____________________________________ ____________________________________

Total Colombia 5,154,358 5,682,562 ____________________________________ ____________________________________

Indonesia: 0.10%

Indonesia Government International

Bond 1,185,000 3.50 01/11/28 1,230,126 1,236,893


Bond 150,000 4.35 01/11/48 164,944 165,162 ____________________________________ ____________________________________

Total Indonesia 1,395,070 1,402,055 ____________________________________ ____________________________________

Israel: 0.03%

Israel Government International Bond 320,000 4.50 01/30/43 AA- 386,281 383,360 ____________________________________ ____________________________________

Total Israel 386,281 383,360 ____________________________________ ____________________________________

Korea: 0.07%

Korea International Bond 805,000 3.50 09/20/28 AA 879,015 873,034 ____________________________________ ____________________________________

Total Korea 879,015 873,034 ____________________________________ ____________________________________

Mexico: 0.78%

Banco Nacional de Comercio Exterior

SNC(1) 2,780,000 4.38 10/14/25 BBB+ 2,780,844 2,946,828


Bond 990,000 3.75 01/11/28 BBB+ 1,025,094 1,028,610


Bond 1,320,000 4.13 01/21/26 BBB+ 1,372,057 1,409,760


Bond 2,910,000 4.35 01/15/47 BBB+ 2,745,953 3,070,050


Bond 750,000 4.50 04/22/29 BBB+ 787,934 822,375


Bond 405,000 4.50 01/31/50 BBB+ 411,833 437,805


Bond 420,000 4.60 01/23/46 BBB+ 428,867 455,700


Bond 330,000 4.75 03/08/44 BBB+ 353,714 364,650 ____________________________________ ____________________________________

Total Mexico 9,906,296 10,535,778 ____________________________________ ____________________________________

Multi-National: 0.35%

Banque Ouest Africaine de

Developpement(1) 1,440,000 4.70 10/22/31 1,440,000 1,461,945



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Corp Andina de Fomento 3,105,000 3.75 % 11/23/23 A+ $ 3,254,214 $ 3,252,736 ____________________________________ ____________________________________

Total Multi-National 4,694,214 4,714,681 ____________________________________ ____________________________________

Panama: 0.79%

Banco Latinoamericano de Comercio

Exterior SA(1) 2,610,000 3.25 05/07/20 2,609,375 2,616,551

Panama Government International

Bond 1,930,000 5.20 01/30/20 BBB+ 1,932,817 1,937,720


Bond 1,875,000 4.00 09/22/24 BBB+ 1,992,366 2,008,125


Bond 1,730,000 3.16 01/23/30 BBB+ 1,751,364 1,781,900


Bond 1,065,000 4.50 04/16/50 BBB+ 1,245,418 1,260,428


Bond 830,000 4.30 04/29/53 BBB+ 946,272 964,875 ____________________________________ ____________________________________

Total Panama 10,477,612 10,569,599 ____________________________________ ____________________________________

Philippines: 0.09%

Philippine Government International

Bond 375,000 4.20 01/21/24 BBB+ 392,087 403,354


Bond 115,000 6.38 01/15/32 BBB+ 138,525 156,336


Bond 515,000 3.95 01/20/40 BBB+ 590,185 589,517


Bond 45,000 3.70 02/02/42 BBB+ 46,204 50,854 ____________________________________ ____________________________________

Total Philippines 1,167,001 1,200,061 ____________________________________ ____________________________________

Qatar: 0.17%

Qatar Government International

Bond(1) 2,235,000 3.38 03/14/24 AA- 2,232,937 2,338,369 ____________________________________ ____________________________________

Total Qatar 2,232,937 2,338,369 ____________________________________ ____________________________________

Saudi Arabia: 0.12%

Saudi Government International

Bond(1) 1,605,000 2.88 03/04/23 1,579,978 1,633,216 ____________________________________ ____________________________________

Total Saudi Arabia 1,579,978 1,633,216 ____________________________________ ____________________________________

Uruguay: 0.09%

Uruguay Government International

Bond 1,060,000 4.98 04/20/55 BBB 1,248,405 1,248,998 ____________________________________ ____________________________________

Total Uruguay 1,248,405 1,248,998 ____________________________________ ____________________________________




FNMA POOL #AM6245 2,314,659 3.80 06/01/30 2,382,642 2,519,100

FNMA POOL #AM6246 1,896,734 3.80 06/01/30 1,952,443 2,064,262

FNMA POOL #AM6613 1,830,500 3.49 09/01/26 1,913,292 1,954,040

FNMA POOL #AM6698 2,625,990 3.44 10/01/26 2,740,054 2,802,805

Freddie Mac Multifamily Structured

Pass-Through Certificates(3) 1,595,000 3.31 05/25/23 1,657,529 1,658,303



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Residual Funding Corp Principal

Strip(2) 4,460,000 2.45 % 01/15/30 $ 3,327,026 $ 3,497,363

Tennessee Valley Authority 3,815,000 5.88 04/01/36 4,895,315 5,378,306

Tennessee Valley Authority Principal

Strip(2) 5,000,000 2.15 11/01/25 4,376,654 4,415,272

Vendee Mortgage Trust 2003-1 1,825,292 5.75 11/15/32 2,009,091 2,044,028 ____________________________________ ____________________________________



US Treasury Bond 5,805,000 2.75 11/15/42 5,516,251 6,187,517

US Treasury Bond 1,955,000 2.88 08/15/45 1,881,184 2,134,494

US Treasury Coupon Strip(2) 5,115,000 2.44 05/15/39 2,834,015 3,204,213


US Treasury Note 520,000 1.50 11/30/21 518,591 519,155

US Treasury Note 1,185,000 1.63 12/15/22 1,184,269 1,185,470

US Treasury Note 930,000 1.75 12/31/26 924,914 924,477

US Treasury Note 8,915,000 1.75 11/15/29 8,840,686 8,773,440

US Treasury Note 8,089,000 2.25 08/15/49 7,950,536 7,837,482 ____________________________________ ____________________________________




American Tower Trust I(1) 3,000,000 3.07 03/15/48 3,000,000 3,037,747

Capital One Multi-Asset Execution

Trust 585,000 2.06 08/15/28 AAA 585,868 573,820 ____________________________________ ____________________________________


Securities 3,585,868 3,611,567 ____________________________________ ____________________________________


Benchmark 2019-B12 Mortgage Trust 3,300,000 2.86 08/15/52 AAA 3,358,193 3,357,601


G1(1)(3) 2,810,000 3.56 04/10/31 AAA 2,826,892 2,852,670 ____________________________________ ____________________________________


Securities 6,185,085 6,210,271 ____________________________________ ____________________________________


Bay Area Toll Authority 210,000 6.26 04/01/49 AA 304,147 320,767

Bay Area Toll Authority 550,000 6.91 10/01/50 AA- 792,120 887,618

Chicago Transit Authority 600,000 6.30 12/01/21 AA 614,306 631,776

City of Chicago 1,845,000 6.05 01/01/29 BBB+ 1,913,694 1,945,700

City of Chicago 260,000 7.38 01/01/33 BBB+ 262,172 311,449


City of Chicago O'Hare International

Airport Revenue 1,620,000 6.40 01/01/40 A 1,711,161 2,329,252

City of Houston 705,000 3.96 03/01/47 715,517 779,476

Commonwealth Financing Authority 145,000 4.14 06/01/38 A 141,203 159,142

Dallas Area Rapid Transit 195,000 6.00 12/01/44 AA+ 245,877 277,859

Dallas Area Rapid Transit 270,000 5.02 12/01/48 AA+ 328,246 357,029

Dallas County Hospital District 250,000 5.62 08/15/44 AA- 301,039 329,488

District of Columbia 220,000 5.59 12/01/34 AAA 265,072 272,490

District of Columbia Water & Sewer

Authority 105,000 4.81 10/01/2114 AAA 122,755 137,955

Fiscal Year 2005 Securitization Corp 10,000 4.93 04/01/20 AA+ 10,049 10,078



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Health & Educational Facilities

Authority of the State of Missouri 690,000 3.65 % 08/15/57 AA+ $ 688,770 $ 725,093


Authority of the State of Missouri 250,000 3.65 01/15/46 AA+ 250,188 267,373

JobsOhio Beverage System 160,000 4.53 01/01/35 AA+ 163,716 187,530

Los Angeles Unified School Dist 645,000 5.75 07/01/34 A+ 802,526 825,993

Los Angeles Unified School Dist 680,000 6.76 07/01/34 A+ 873,713 937,462

Metropolitan Government of

Nashville & Davidson County

Convention Center Authority

Revenue 1,715,000 6.73 07/01/43 AA 1,926,050 2,450,169

Metropolitan Transportation Authority

Revenue 1,745,000 6.65 11/15/39 A 1,939,797 2,429,162

Michigan Finance Authority 2,215,000 4.60 10/01/22 BB+ 2,251,748 2,253,652

New Jersey Economic Development

Authority(2) 3,630,000 2.24 02/15/22 AA 3,330,978 3,463,238

New Jersey State Turnpike Authority

Revenue 2,375,000 7.10 01/01/41 A+ 2,947,953 3,621,970

New York City 300,000 6.25 06/01/35 AA 331,966 304,857

New York City Transitional Finance

Authority Future Tax Secured

Revenue 810,000 5.51 08/01/37 AAA 981,837 1,027,590



Revenue 270,000 5.57 11/01/38 AAA 317,405 340,929

New York State Dormitory Authority 280,000 5.60 03/15/40 AA+ 333,823 354,399

New York State Urban Development

Corp 550,000 2.10 03/15/22 AA+ 549,851 551,199


Corp 435,000 5.77 03/15/39 AA+ 518,984 527,546

North Texas Tollway Authority 2,795,000 8.91 02/01/30 3,115,447 2,810,540


Revenue 60,000 6.72 01/01/49 A+ 81,124 94,136


Jersey 90,000 4.81 10/15/65 AA- 90,817 113,371

Regents of the University of

California Medical Center Pooled

Revenue 200,000 6.58 05/15/49 AA- 270,194 287,962

Sacramento County Convention 250,000 7.68 08/15/21 AA+ 256,364 262,045

Sales Tax Securitization Corp 1,095,000 3.59 01/01/43 AA- 1,091,811 1,079,571

San Antonio TX Electric & Gas

Systems Rev 435,000 4.43 02/01/42 AA 482,263 504,239

San Diego County Regional

Transportation Commission 310,000 5.91 04/01/48 AAA 410,795 447,445

San Jose Redevelopment Agency

Successor Agency 180,000 3.38 08/01/34 AA 176,957 185,017

State of California 1,970,000 7.55 04/01/39 AA- 2,687,705 3,159,919



State of Illinois 1,500,000 5.66 02/01/22 BBB- 1,564,623 1,576,335




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


State of New Jersey Turnpike

Authority 330,000 7.41 % 01/01/40 A+ $ 486,122 $ 517,658

State of Oregon Department of

Transportation 110,000 5.83 11/15/34 AA+ 144,890 146,574

State of Texas 215,000 5.52 04/01/39 AAA 268,832 290,235


Texas Transportation Commission

State Highway Fund 615,000 5.18 04/01/30 AAA 706,337 740,355

University of California 70,000 4.86 05/15/2112 AA 73,826 86,297

University of California 630,000 4.77 05/15/2115 AA 661,620 761,002

University of California 145,000 5.95 05/15/45 AA- 172,891 194,368

Utah Transit Authority Revenue 480,000 5.71 06/15/40 A+ 480,000 646,574 ____________________________________ ____________________________________


Shares ___________



Investment Fund S(4) 24,801,567 24,801,567 24,801,567 ____________________________________ ____________________________________


Total Investments: 98.89% $ 1,267,117,523 $ 1,329,230,558 ____________________________________ ____________________________________ ____________________________________ ____________________________________

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

Contracts Description

Value

Unrealized

Depreciation _________________________________________________________ ______________ _______________

Financial Futures - Long:

21

U.S. Treasury 10 Years Ultra Bond, March

2020 $ 2,954,766 $ (36,128)

293 U.S. Treasury 2 Year Note, March 2020 63,141,500 (72,304)

178 U.S. Treasury 5 Year Note, March 2020 21,112,469 (75,827) ______________ _______________

Total Financial Futures - Long $ 87,208,735 $ (184,259) ______________ _______________ ______________ _______________


Value

Unrealized

Appreciation _________________________________________________________ ______________ _______________

Financial Futures - Short:

140 U.S. Treasury Ultra Bond, March 2020 $ 25,431,875 $ 833,759

37 U.S. Treasury Long Bond, March 2020 5,768,531 124,815

129 U.S. Treasury 10 Year Note, March 2020 16,566,422 96,726

50


2020 7,035,156 44,629 ______________ _______________

Total Financial Futures - Short $ 54,801,984 $ 1,099,929 ______________ _______________ ______________ _______________ Net unrealized appreciation - December 31, 2019 $ 915,670 _______________




December 31, 2019


(1) This Fund holds 17.36% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Zero coupon bond. Interest rate represents yield to maturity. This Fund holds 1.92% of its portfolio in these securities. (3) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The rates

shown are those in effect on December 31, 2019. (4) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds

approximately 0.41% of the total net assets of the Wells Fargo/Blackrock Short Term Investment Fund S.














Net assets, end of year $ 1,344,139,425

Ratios:








Year Ended December 31, 2019

Shares Share


January 31, 2019 83,163,879 $ 15.08

February 28, 2019 82,939,240 15.12

March 31, 2019 83,451,490 15.50

April 30, 2019 84,301,171 15.58

May 31, 2019 83,661,859 15.80

June 30, 2019 83,560,545 16.15

July 31, 2019 83,631,076 16.25

August 31, 2019 83,050,757 16.76

September 30, 2019 83,554,176 16.64

October 31, 2019 82,994,280 16.72

November 30, 2019 77,452,410 16.77

December 31, 2019 79,966,845 16.81


WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II


December 31, 2019

Cost

Fair

value

Assets:


Unaffiliated investments 1,710,846,332 1,836,563,841


Cash collateral due from broker 5,411,667



Total assets 1,875,086,934

Liabilities:


Variation margin payable 311,854



Net assets $ 1,870,548,858


Share value $ 21.54





Investment income:

Interest income (net of foreign taxes withheld of $2,643) $ 60,840,133



Expenses:










Futures contracts (3,846,441)
















Net Change (31,981,921)



Net assets:

Beginning of year (88,538,333 shares) 1,597,457,102

End of year (86,833,600 shares) $ 1,870,548,858



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________





Barrick PD Australia Finance Pty Ltd 1,005,000 5.95 10/15/39 BBB 1,217,695 1,271,895

Corp Nacional del Cobre de Chile(1) 920,000 3.00 09/30/29 A+ 918,082 905,630


Dow Chemical Co 1,070,000 4.80 05/15/49 BBB 1,189,692 1,233,965



Eastman Chemical Co 450,000 4.65 10/15/44 BBB 423,684 482,997

FMC Corp 325,000 4.50 10/01/49 BBB- 326,993 353,522




LYB International Finance III LLC 365,000 4.20 10/15/49 BBB+ 362,986 379,746

Methanex Corp 125,000 5.65 12/01/44 BB+ 124,015 119,611


Nucor Corp 420,000 4.40 05/01/48 A- 437,781 475,035

Nucor Corp 385,000 6.40 12/01/37 A- 493,531 520,409

Nutrien Ltd 160,000 5.00 04/01/49 BBB 190,572 190,237

Orbia Advance Corp SAB de CV(1) 1,175,000 5.50 01/15/48 BBB- 1,133,944 1,199,981

Sherwin-Williams Co 460,000 2.95 08/15/29 BBB 456,628 465,313

Southern Copper Corp 930,000 5.25 11/08/42 BBB+ 1,023,647 1,067,622


Southern Copper Corp 765,000 7.50 07/27/35 BBB+ 939,632 1,052,455



Vale SA 525,000 5.63 09/11/42 BBB- 526,708 616,224




Amazon.com, Inc 2,085,000 4.80 12/05/34 AA- 2,134,397 2,624,075

Amazon.com, Inc 1,345,000 3.88 08/22/37 AA- 1,308,709 1,525,026

Amazon.com, Inc 480,000 4.95 12/05/44 AA- 635,047 627,247

Amazon.com, Inc 660,000 4.25 08/22/57 AA- 803,199 802,072



America Movil SAB de CV 3,395,000 4.38 04/22/49 A- 3,671,181 3,898,682

AT&T, Inc 100,000 6.50 09/01/37 BBB 111,382 130,447

AT&T, Inc 1,435,000 4.85 03/01/39 BBB 1,378,428 1,651,202

AT&T, Inc 190,000 6.10 07/15/40 BBB 220,463 241,662

AT&T, Inc 695,000 6.38 03/01/41 BBB 801,357 919,271

AT&T, Inc 700,000 6.25 03/29/41 BBB 819,961 909,434

AT&T, Inc 4,400,000 5.55 08/15/41 BBB 4,474,013 5,370,714

AT&T, Inc 2,480,000 5.38 10/15/41 BBB 2,660,812 2,943,775

AT&T, Inc 1,475,000 5.15 03/15/42 BBB 1,457,021 1,719,024

AT&T, Inc 820,000 4.90 06/15/42 BBB 837,375 933,792

AT&T, Inc 1,280,000 4.30 12/15/42 BBB 1,332,652 1,367,515

AT&T, Inc 2,595,000 4.80 06/15/44 BBB 2,468,689 2,952,534

AT&T, Inc 4,625,000 4.35 06/15/45 BBB 4,259,929 4,978,630

AT&T, Inc 355,000 4.75 05/15/46 BBB 330,148 400,598



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


AT&T, Inc 920,000 5.45 % 03/01/47 BBB $ 1,098,714 $ 1,139,601

AT&T, Inc 1,875,000 5.15 02/15/50 BBB 1,916,872 2,255,312

Bell Canada, Inc 80,000 4.46 04/01/48 BBB+ 83,155 92,497

Bell Canada, Inc 2,055,000 4.30 07/29/49 BBB+ 2,268,659 2,321,029



Operating Capital 960,000 5.38 04/01/38 BBB- 1,061,379 1,098,395



















Comcast Corp 3,075,000 4.20 08/15/34 A- 3,164,118 3,502,666

Comcast Corp 2,960,000 3.90 03/01/38 A- 3,052,678 3,271,629

Comcast Corp 377,000 6.40 05/15/38 A- 422,429 530,221

Comcast Corp 570,000 4.50 01/15/43 A- 576,866 668,317

Comcast Corp 290,000 4.75 03/01/44 A- 288,083 352,297

Comcast Corp 180,000 4.00 08/15/47 A- 198,929 197,844

Comcast Corp 910,000 3.97 11/01/47 A- 985,190 1,000,827

Comcast Corp 1,370,000 4.00 03/01/48 A- 1,479,313 1,518,684

Comcast Corp 4,550,000 4.70 10/15/48 A- 4,937,773 5,600,343

Comcast Corp 1,579,000 4.00 11/01/49 A- 1,562,874 1,753,752

Comcast Corp 2,660,000 3.45 02/01/50 A- 2,675,276 2,717,481

Comcast Corp 3,361,000 4.05 11/01/52 A- 3,295,022 3,767,370

Comcast Corp 2,470,000 4.95 10/15/58 A- 2,541,146 3,207,119

Corning, Inc 2,365,000 3.90 11/15/49 BBB+ 2,358,405 2,394,764

Corning, Inc 1,490,000 5.45 11/15/79 BBB+ 1,574,594 1,626,698

Cox Communications, Inc(1) 1,280,000 4.60 08/15/47 BBB 1,283,591 1,417,140

Deutsche Telekom International

Finance BV 1,354,000 9.25 06/01/32 BBB+ 2,027,068 2,150,755

Discovery Communications LLC 4,315,000 6.35 06/01/40 BBB- 4,631,769 5,478,131

Fox Corp(1) 1,180,000 5.58 01/25/49 BBB 1,479,663 1,498,833

Grupo Televisa SAB 315,000 5.25 05/24/49 BBB+ 323,846 339,806

Interpublic Group of Cos, Inc 2,675,000 5.40 10/01/48 BBB 2,768,560 3,273,470

Motorola Solutions, Inc 1,600,000 5.50 09/01/44 BBB- 1,569,273 1,779,985

Orange SA 1,010,000 9.00 03/01/31 BBB+ 1,471,010 1,562,303


Rogers Communications, Inc 1,305,000 3.70 11/15/49 BBB+ 1,309,109 1,312,980



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Telefonica Emisiones SA 4,125,000 5.21 % 03/08/47 BBB $ 4,414,863 $ 4,882,057


TELUS Corp 20,000 4.60 11/16/48 BBB+ 19,698 23,564

Tencent Holdings Ltd(1) 2,000,000 3.93 01/19/38 A+ 1,874,850 2,106,003



Time Warner Cable, Inc 845,000 5.88 11/15/40 BBB- 911,052 967,605

TWDC Enterprises 18 Corp 910,000 4.13 06/01/44 A 966,815 1,071,207



Verizon Communications, Inc 865,000 5.25 03/16/37 BBB+ 968,357 1,083,927







ViacomCBS, Inc 2,155,000 5.85 09/01/43 BBB 2,438,904 2,693,030




Walt Disney Co 5,145,000 2.00 09/01/29 A 5,048,758 4,987,180

Walt Disney Co 1,040,000 6.65 11/15/37 A 1,378,523 1,541,709

Walt Disney Co 2,495,000 2.75 09/01/49 A 2,380,605 2,346,558 ____________________________________ ____________________________________




Pass-Through Trust 1,872,263 3.58 01/15/28 AA+ 1,872,263 1,964,575


CVS Pass-Through Trust Series

2014(1) 1,930,771 4.16 08/11/36 BBB 1,930,771 1,971,928

Darden Restaurants, Inc 1,500,000 4.55 02/15/48 BBB 1,499,882 1,517,734

Ford Motor Co 325,000 4.75 01/15/43 BBB- 276,323 287,445

General Motors Co 1,020,000 5.15 04/01/38 BBB 915,996 1,041,165





Home Depot, Inc 875,000 3.90 06/15/47 A 894,046 987,047

Home Depot, Inc 415,000 4.25 04/01/46 A 492,986 490,254

Home Depot, Inc 1,335,000 4.40 03/15/45 A 1,468,923 1,590,718

Home Depot, Inc 810,000 5.40 09/15/40 A 969,085 1,071,993

Lowe's Cos, Inc 1,060,000 3.70 04/15/46 BBB+ 1,007,179 1,077,946

Lowe's Cos, Inc 145,000 4.25 09/15/44 BBB+ 142,039 155,944

Lowe's Cos, Inc 355,000 4.38 09/15/45 BBB+ 333,472 395,126






Nordstrom, Inc 2,005,000 5.00 01/15/44 BBB 1,889,561 1,960,370



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Starbucks Corp 350,000 4.30 % 06/15/45 BBB+ $ 337,586 $ 386,259

Walmart, Inc 205,000 5.00 10/25/40 AA 223,821 265,990

Walmart, Inc 995,000 2.38 09/24/29 AA 988,314 994,685

Walmart, Inc 2,235,000 2.95 09/24/49 AA 2,215,156 2,217,893

Walmart, Inc 1,150,000 3.25 07/08/29 AA 1,157,026 1,232,554

Walmart, Inc 1,740,000 3.63 12/15/47 AA 1,829,027 1,930,438

Walmart, Inc 1,050,000 3.95 06/28/38 AA 1,066,341 1,214,279

Walmart, Inc 2,060,000 4.05 06/29/48 AA 2,055,517 2,433,705

WW Grainger, Inc 450,000 4.60 06/15/45 A+ 469,822 536,475 ____________________________________ ____________________________________



Abbott Laboratories 880,000 4.75 11/30/36 A- 925,838 1,098,269


Abbott Laboratories 3,685,000 4.90 11/30/46 A- 4,106,325 4,834,875

AbbVie, Inc(1) 470,000 3.20 11/21/29 A- 478,168 477,837

AbbVie, Inc(1) 1,065,000 4.05 11/21/39 A- 1,078,048 1,125,502

AbbVie, Inc(1) 2,105,000 4.25 11/21/49 A- 2,113,381 2,215,393

AbbVie, Inc 1,265,000 4.40 11/06/42 A- 1,306,099 1,365,147

AbbVie, Inc 1,500,000 4.45 05/14/46 A- 1,450,541 1,601,904

AbbVie, Inc 3,160,000 4.50 05/14/35 A- 3,163,945 3,576,103

AbbVie, Inc 1,240,000 4.88 11/14/48 A- 1,223,572 1,419,967

Advocate Health & Hospitals Corp 340,000 3.39 10/15/49 AA 339,817 338,094

Aetna, Inc 2,005,000 3.88 08/15/47 BBB 1,978,880 2,033,098

Aetna, Inc 200,000 4.13 11/15/42 BBB 204,350 204,345

Aetna, Inc 415,000 4.75 03/15/44 BBB 406,311 462,312

Allergan Finance LLC 155,000 4.63 10/01/42 BBB 143,236 161,828





Altria Group, Inc 860,000 6.20 02/14/59 BBB 998,603 1,021,624

Amgen, Inc 1,340,000 4.95 10/01/41 A- 1,418,373 1,592,243

Amgen, Inc 660,000 5.15 11/15/41 A- 705,949 796,946





Anheuser-Busch InBev Finance, Inc 1,040,000 4.00 01/17/43 A- 1,083,675 1,109,148


Inc 1,075,000 4.38 04/15/38 A- 1,007,406 1,204,764


Inc 1,595,000 4.44 10/06/48 A- 1,544,169 1,787,321


Inc 470,000 4.60 04/15/48 A- 432,717 534,736


Inc 625,000 4.95 01/15/42 A- 664,873 737,867


Inc 1,040,000 5.45 01/23/39 A- 1,207,600 1,305,705


Inc 1,720,000 5.55 01/23/49 A- 1,785,080 2,228,100



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Inc 220,000 8.00 % 11/15/39 A- $ 341,749 $ 349,296

Anthem, Inc 4,840,000 3.70 09/15/49 A 4,649,992 4,816,285

Anthem, Inc 365,000 4.63 05/15/42 A 392,449 410,791

Anthem, Inc 185,000 4.85 08/15/54 A 174,978 206,570

Anthem, Inc 340,000 5.10 01/15/44 A 344,636 405,794

Ascension Health 1,810,000 4.85 11/15/53 AA+ 1,858,922 2,302,634

BAT Capital Corp 6,588,000 4.39 08/15/37 BBB+ 6,455,004 6,657,361





Boston University 245,000 4.06 10/01/48 AA- 249,700 280,358

Bristol-Myers Squibb Co 185,000 3.25 08/01/42 A+ 153,276 184,328





Cardinal Health, Inc 465,000 4.90 09/15/45 BBB 432,548 483,958

Cigna Corp(1) 590,000 3.88 10/15/47 A- 564,910 597,929

Cigna Corp 3,375,000 4.80 08/15/38 A- 3,375,233 3,927,380

Cleveland Clinic Foundation 305,000 4.86 01/01/2114 AA 315,511 379,398

Coca-Cola Femsa SAB de CV 665,000 5.25 11/26/43 A- 822,410 810,049

CommonSpirit Health 3,055,000 3.82 10/01/49 AA 3,025,143 2,971,343

CommonSpirit Health 1,090,000 4.19 10/01/49 BBB+ 1,131,049 1,086,345





Diageo Capital PLC 330,000 2.38 10/24/29 A- 327,974 325,098

Duke University Health System, Inc 155,000 3.92 06/01/47 AA 160,886 172,544

Ecolab, Inc 155,000 3.95 12/01/47 A- 156,510 172,581

Eli Lilly & Co 940,000 3.95 03/15/49 A+ 928,875 1,085,185

Eli Lilly & Co 620,000 4.15 03/15/59 A+ 629,988 729,460

ERAC USA Finance LLC(1) 2,490,000 4.20 11/01/46 A- 2,409,839 2,652,321


Fomento Economico Mexicano SAB

de CV 160,000 4.38 05/10/43 A- 157,057 176,398

George Washington University 250,000 4.87 09/15/45 A+ 284,840 312,687


GlaxoSmithKline Capital PLC 2,505,000 3.38 06/01/29 A+ 2,493,734 2,684,953

HCA, Inc 200,000 5.25 06/15/49 BBB- 221,638 222,932

Highmark, Inc(1) 2,110,000 6.13 05/15/41 A 2,137,825 2,591,699

Humana, Inc 170,000 4.63 12/01/42 BBB+ 167,015 190,863

Indiana University Health, Inc

Obligated Group 320,000 3.97 11/01/48 AA 321,051 358,020




Johnson & Johnson 2,526,000 3.75 03/03/47 AAA 2,578,378 2,878,341




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Kaiser Foundation Hospitals 585,000 4.15 % 05/01/47 AA- $ 597,407 $ 666,906


Keurig Dr Pepper, Inc 985,000 4.50 11/15/45 BBB 1,007,949 1,088,429

Keurig Dr Pepper, Inc 1,440,000 5.09 05/25/48 BBB 1,624,536 1,729,710


Kraft Heinz Foods Co 1,490,000 4.38 06/01/46 BBB- 1,383,172 1,464,526




Kraft Heinz Foods Co(1) 2,270,000 7.13 08/01/39 BBB- 2,844,550 2,902,381

Kroger Co 1,245,000 5.15 08/01/43 BBB 1,347,277 1,425,535

Kroger Co 2,280,000 5.40 01/15/49 BBB 2,625,041 2,777,060



Mayo Clinic 100,000 4.00 11/15/47 AA 110,286 112,282

Medtronic, Inc 116,000 4.63 03/15/45 A 125,574 145,668


Center 162,000 4.13 07/01/52 AA- 168,748 184,375


Center 250,000 4.20 07/01/55 AA- 255,912 289,098


Center 250,000 5.00 07/01/42 AA- 300,866 313,303

Merck & Co, Inc 1,120,000 3.40 03/07/29 AA 1,140,732 1,211,720

Merck & Co, Inc 390,000 3.90 03/07/39 AA 386,055 444,981

Merck & Co, Inc 1,200,000 4.00 03/07/49 AA 1,223,132 1,402,729

Moody's Corp 405,000 4.88 12/17/48 BBB+ 401,771 498,085

Nestle Holdings, Inc(1) 680,000 3.90 09/24/38 AA- 669,761 767,121





Northwell Healthcare, Inc 2,395,000 4.26 11/01/47 A- 2,395,000 2,568,563

Northwestern University 215,000 4.64 12/01/44 AAA 234,925 266,743



Ochsner Clinic Foundation 255,000 5.90 05/15/45 306,872 336,564

Orlando Health Obligated Group 85,000 4.09 10/01/48 A+ 86,833 93,083

PeaceHealth Obligated Group 2,610,000 4.79 11/15/48 A 2,614,279 3,203,474

PepsiCo, Inc 730,000 2.88 10/15/49 A+ 719,808 703,464

PepsiCo, Inc 1,570,000 3.38 07/29/49 A+ 1,584,219 1,641,131

Perrigo Finance Unlimited Co 3,044,000 4.90 12/15/44 BBB- 2,863,994 2,807,393

Pfizer, Inc 975,000 3.45 03/15/29 AA- 1,048,115 1,049,291

Pfizer, Inc 2,170,000 4.00 03/15/49 AA- 2,272,298 2,489,684

Pfizer, Inc 375,000 4.10 09/15/38 AA- 375,467 428,249

Pfizer, Inc 1,150,000 4.13 12/15/46 AA- 1,234,029 1,332,948

Pfizer, Inc 595,000 4.20 09/15/48 AA- 631,153 695,905

Pfizer, Inc 445,000 4.40 05/15/44 AA- 481,300 529,890

Pfizer, Inc 205,000 5.60 09/15/40 AA- 264,448 276,608

Pfizer, Inc 170,000 7.20 03/15/39 AA- 258,484 266,469

Philip Morris International, Inc 660,000 3.88 08/21/42 A 682,430 685,920




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Reynolds American, Inc 1,545,000 5.70 % 08/15/35 BBB+ $ 1,733,000 $ 1,792,501

Reynolds American, Inc 945,000 5.85 08/15/45 BBB+ 1,036,137 1,081,738

RWJ Barnabas Health, Inc 2,835,000 3.95 07/01/46 AA- 2,790,595 2,996,174

S&P Global, Inc 1,485,000 4.50 05/15/48 1,467,460 1,804,389

Spectrum Health System Obligated

Group 400,000 3.49 07/15/49 AA 404,151 399,181

Stanford Health Care 675,000 3.80 11/15/48 AA- 674,844 729,038

Sysco Corp 165,000 4.85 10/01/45 BBB+ 160,548 197,731

Trustees of Boston College 500,000 3.13 07/01/52 AA- 505,617 490,644

Trustees of the University of

Pennsylvania 200,000 3.61 02/15/2119 AA+ 204,091 203,980

Tufts University 188,000 5.02 04/15/2112 AA- 205,937 228,121









University of Chicago 425,000 4.00 10/01/53 AA- 505,201 488,554

University of Notre Dame du Lac 170,000 3.44 02/15/45 162,993 180,676

University of Southern California 425,000 3.84 10/01/47 AA 443,993 481,951

Wesleyan University 319,000 4.78 07/01/2116 AA 331,007 356,337

William Marsh Rice University 695,000 3.77 05/15/55 AAA 719,156 761,872

Willis-Knighton Medical Center 500,000 4.81 09/01/48 A+ 502,722 595,264

Wyeth LLC 400,000 5.95 04/01/37 AA- 521,260 547,331

Zoetis, Inc 725,000 4.45 08/20/48 BBB 735,892 840,873 ____________________________________ ____________________________________


Energy: 6.46%

Apache Corp 650,000 5.10 09/01/40 BBB 676,478 660,202

Apache Corp 3,160,000 5.35 07/01/49 BBB 3,152,899 3,294,524


Hughes Co-Obligor, Inc 3,075,000 4.08 12/15/47 A- 3,031,344 3,143,853


BP Capital Markets PLC 225,000 3.72 11/28/28 A- 245,318 245,059

Cameron LNG LLC(1) 755,000 3.30 01/15/35 A 759,551 760,881

Cameron LNG LLC(1) 290,000 3.40 01/15/38 A 291,628 290,339

Cameron LNG LLC(1) 365,000 3.70 01/15/39 A 366,350 372,034


Canadian Natural Resources Ltd 1,140,000 6.25 03/15/38 BBB+ 1,320,964 1,480,203


Cenovus Energy, Inc 585,000 5.25 06/15/37 BBB 608,563 647,006

CNOOC International Ltd 2,095,000 7.50 07/30/39 A+ 2,435,207 3,265,630

Concho Resources, Inc 250,000 4.88 10/01/47 BBB- 285,098 291,240

Concho Resources, Inc 150,000 4.85 08/15/48 BBB- 161,945 174,604

ConocoPhillips 155,000 5.90 05/15/38 A 185,196 210,832

ConocoPhillips Co 3,210,000 4.30 11/15/44 A 3,349,696 3,767,223

Continental Resources, Inc 745,000 4.90 06/01/44 BBB- 708,130 788,882





December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Devon Energy Corp 1,620,000 5.00 % 06/15/45 BBB- $ 1,841,967 $ 1,874,994

Diamondback Energy, Inc 425,000 3.50 12/01/29 BBB- 427,539 432,480

Enable Midstream Partners LP 2,485,000 5.00 05/15/44 BBB- 2,306,238 2,275,483

Enbridge Energy Partners LP 170,000 5.50 09/15/40 BBB+ 185,771 201,734

Enbridge, Inc 1,205,000 3.13 11/15/29 BBB+ 1,210,759 1,218,185

Encana Corp 2,490,000 6.50 02/01/38 BBB 2,846,116 2,935,451







Enterprise Products Operating LLC 2,015,000 6.65 10/15/34 BBB+ 2,333,198 2,732,626







Enterprise Products Operating LLC 990,000 4.25 02/15/48 BBB+ 1,001,338 1,060,465



EOG Resources, Inc 330,000 3.90 04/01/35 A- 334,675 365,304

Equinor ASA 2,495,000 3.95 05/15/43 AA- 2,772,576 2,776,371

Equinor ASA 2,540,000 3.25 11/18/49 AA- 2,547,792 2,552,040

Exxon Mobil Corp 2,115,000 3.00 08/16/39 AA+ 2,135,109 2,114,867


Halliburton Co 540,000 5.00 11/15/45 A- 585,033 615,545

Halliburton Co(1) 155,000 7.60 08/15/96 A- 224,032 214,208

Hess Corp 305,000 6.00 01/15/40 BBB- 324,716 359,572


Kinder Morgan Energy Partners LP 850,000 6.95 01/15/38 BBB 1,046,728 1,123,750






Magellan Midstream Partners LP 295,000 5.15 10/15/43 BBB+ 299,676 344,593

Magellan Midstream Partners LP 160,000 4.85 02/01/49 BBB+ 183,000 185,220







Motiva Enterprises LLC(1) 1,015,000 6.85 01/15/40 BBB 1,259,232 1,224,768

MPLX LP 1,395,000 4.50 04/15/38 BBB 1,360,845 1,416,259

MPLX LP 620,000 5.20 03/01/47 BBB 644,299 668,527

MPLX LP(1) 690,000 5.20 12/01/47 BBB 683,184 732,799

MPLX LP 655,000 5.50 02/15/49 BBB 689,283 742,009




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Noble Energy, Inc 220,000 5.25 % 11/15/43 BBB $ 228,802 $ 247,238

Noble Energy, Inc 1,045,000 5.05 11/15/44 BBB 1,102,772 1,163,459

Occidental Petroleum Corp(2) 4,285,000 4.18 10/10/36 BBB 2,071,459 2,154,654




ONEOK, Inc 3,165,000 5.20 07/15/48 BBB 3,482,614 3,581,508

ONEOK, Inc 890,000 4.45 09/01/49 BBB 886,316 920,316



Rockies Express Pipeline LLC(1) 2,240,000 4.95 07/15/29 BBB- 2,314,938 2,230,471

Sabal Trail Transmission LLC(1) 840,000 4.83 05/01/48 878,222 951,458






Suncor Energy, Inc 1,384,000 5.95 05/15/35 A- 1,654,662 1,793,982



LP 280,000 6.10 02/15/42 BBB- 293,974 313,225


LP 610,000 4.95 01/15/43 BBB- 566,434 602,688


LP 515,000 5.30 04/01/44 BBB- 517,952 546,746


LP 595,000 5.35 05/15/45 BBB- 580,524 638,238


LP 2,545,000 5.40 10/01/47 BBB- 2,559,642 2,759,682

Texas Eastern Transmission LP(1) 190,000 3.50 01/15/28 BBB+ 188,446 194,967

Texas Eastern Transmission LP 485,000 7.00 07/15/32 BBB+ 561,665 649,712




TransCanada PipeLines Ltd 1,585,000 4.75 05/15/38 BBB+ 1,689,741 1,807,549

TransCanada PipeLines Ltd 2,050,000 4.88 05/15/48 BBB+ 2,076,224 2,416,109


LLC 500,000 4.00 03/15/28 BBB 495,511 531,345

Valero Energy Corp 595,000 6.63 06/15/37 BBB 686,439 786,914


Williams Cos, Inc 1,075,000 5.80 11/15/43 BBB 1,206,047 1,277,131

Williams Cos, Inc 520,000 5.40 03/04/44 BBB 568,883 584,659


Total Energy 113,539,366 120,871,276 ____________________________________ ____________________________________

Financial: 8.00%

ACE Capital Trust II 75,000 9.70 04/01/30 BBB+ 103,185 112,500

Aflac, Inc 710,000 4.75 01/15/49 A- 747,137 862,261


Alexandria Real Estate Equities, Inc 2,000,000 4.00 02/01/50 BBB+ 2,205,505 2,184,380

Allstate Corp 220,000 4.50 06/15/43 A- 245,150 260,892

Allstate Corp 685,000 4.20 12/15/46 A- 675,706 786,984



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Allstate Corp 325,000 3.85 % 08/10/49 A- $ 327,023 $ 358,746



American International Group, Inc 3,645,000 4.75 04/01/48 BBB+ 3,475,553 4,381,579

Aon Corp 260,000 6.25 09/30/40 A- 316,341 354,450

Aon PLC 455,000 4.45 05/24/43 A- 479,405 497,740

Aon PLC 2,440,000 4.75 05/15/45 A- 2,679,306 2,869,442



Bank of America Corp 3,820,000 5.88 02/07/42 A- 4,016,157 5,411,884

Bank of America Corp 420,000 4.88 04/01/44 A- 433,852 535,727






LLC(1) 1,845,000 5.00 06/15/44 A+ 1,855,865 2,231,217

Brighthouse Financial, Inc 2,250,000 4.70 06/22/47 BBB+ 1,907,762 2,081,701

Brookfield Finance, Inc 2,420,000 4.70 09/20/47 A- 2,422,279 2,775,075





Citigroup, Inc 770,000 5.88 01/30/42 BBB+ 1,046,950 1,087,486



Citigroup, Inc 1,625,000 4.65 07/23/48 BBB+ 1,693,133 2,026,059


Cooperatieve Rabobank UA 1,010,000 5.25 08/04/45 BBB+ 1,237,451 1,288,576

ERP Operating LP 680,000 3.00 07/01/29 A- 690,973 703,412

Everest Reinsurance Holdings, Inc 60,000 4.87 06/01/44 A- 60,190 66,292


Unlimited Co 3,356,000 4.42 11/15/35 BBB+ 3,494,774 3,573,388

Goldman Sachs Group, Inc 3,040,000 6.75 10/01/37 BBB- 3,398,080 4,213,810




America(1) 1,550,000 4.88 06/19/64 AA- 1,556,773 1,886,961


Inc 410,000 6.63 03/30/40 BBB+ 487,700 573,432


Inc 450,000 4.40 03/15/48 BBB+ 435,383 517,068


Inc 355,000 3.60 08/19/49 BBB+ 353,405 364,248

HSBC Bank USA NA 270,000 7.00 01/15/39 A 376,580 393,453

HSBC Holdings PLC 685,000 6.50 09/15/37 BBB+ 936,628 942,069

HSBC Holdings PLC 135,000 6.10 01/14/42 A 188,474 191,224

HSBC USA, Inc 220,000 7.20 07/15/97 A- 296,236 334,015

JPMorgan Chase & Co 3,725,000 5.60 07/15/41 A- 4,011,707 5,090,421





December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


JPMorgan Chase & Co(3) 3,415,000 3.96 % 11/15/48 A- $ 3,558,288 $ 3,864,454


KeyCorp 695,000 2.55 10/01/29 BBB+ 677,201 678,628




KKR Group Finance Co III LLC(1) 2,215,000 5.13 06/01/44 A 2,187,683 2,616,295

Legg Mason, Inc 2,200,000 5.63 01/15/44 BBB 2,245,760 2,492,141



Loews Corp 45,000 4.13 05/15/43 A 39,711 49,909

Markel Corp 175,000 5.00 04/05/46 BBB 176,940 200,256


Mastercard, Inc 530,000 3.65 06/01/49 A+ 559,670 586,731

MetLife, Inc 5,625,000 6.40 12/15/36 BBB 5,973,201 6,890,625

MetLife, Inc 120,000 10.75 08/01/39 BBB 185,111 200,400

MetLife, Inc 520,000 4.88 11/13/43 A- 566,465 643,004

MetLife, Inc 1,035,000 4.72 12/15/44 A- 1,164,842 1,260,168


Mitsubishi UFJ Financial Group, Inc 940,000 4.15 03/07/39 A- 942,929 1,077,080


Morgan Stanley(3) 1,490,000 3.97 07/22/38 BBB+ 1,509,191 1,651,293



National Life Insurance Co(1)(3) 2,423,000 5.25 07/19/68 A- 2,437,081 2,608,444

Northwestern Mutual Life Insurance

Co(1) 862,000 3.63 09/30/59 AA- 855,269 861,141



Protective Life Corp 500,000 8.45 10/15/39 A- 707,063 745,346








Prudential Financial, Inc 4,280,000 3.70 03/13/51 A 4,266,951 4,489,883


Regency Centers LP 1,275,000 4.40 02/01/47 BBB+ 1,182,687 1,439,782

Regions Bank 135,000 6.45 06/26/37 BBB+ 170,253 176,768

Simon Property Group LP 1,620,000 4.75 03/15/42 A 1,777,636 1,941,060

Sompo International Holdings Ltd 2,020,000 7.00 07/15/34 A- 2,242,448 2,670,432



Association of America(1) 950,000 4.27 05/15/47 AA- 956,855 1,077,193

Transatlantic Holdings, Inc 1,630,000 8.00 11/30/39 BBB+ 2,155,198 2,418,926



Travelers Cos, Inc 1,235,000 4.10 03/04/49 A 1,285,017 1,417,915

Visa, Inc 605,000 4.30 12/14/45 AA- 740,660 744,011



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


WEA Finance LLC / Westfield UK &

Europe Finance PLC(1) 2,255,000 4.75 % 09/17/44 A $ 2,399,654 $ 2,614,688

Welltower, Inc 2,350,000 4.95 09/01/48 BBB+ 2,405,906 2,813,672

Willis North America, Inc 420,000 5.05 09/15/48 BBB 488,825 494,014

Willis North America, Inc 535,000 3.88 09/15/49 BBB 533,088 532,006

WR Berkley Corp 135,000 6.25 02/15/37 BBB+ 162,602 165,837 ____________________________________ ____________________________________

Total Financial 132,632,665 149,568,120 ____________________________________ ____________________________________

Industrial: 3.49%

3M Co 190,000 3.63 10/15/47 AA- 184,729 196,796


Boeing Co 350,000 3.25 02/01/35 A- 364,057 357,457

Boeing Co 915,000 3.50 03/01/39 A- 931,638 942,412

Boeing Co 270,000 3.55 03/01/38 A- 283,936 279,434

Boeing Co 174,000 3.63 03/01/48 A- 171,145 179,154

Boeing Co 1,030,000 3.75 02/01/50 A- 1,066,996 1,091,685

Boeing Co 205,000 3.85 11/01/48 A- 217,336 217,085

Boeing Co 340,000 3.95 08/01/59 A- 339,771 361,788






Burlington Northern Santa Fe LLC 830,000 4.70 09/01/45 A+ 887,726 1,009,574



Canadian National Railway Co 285,000 3.20 08/02/46 A 249,537 290,037

Canadian National Railway Co 260,000 3.65 02/03/48 A 256,204 285,430

Canadian Pacific Railway Co 360,000 5.95 05/15/37 BBB+ 414,568 483,555

CRH America Finance, Inc(1) 2,340,000 4.50 04/04/48 BBB+ 2,311,483 2,547,208

CSX Corp 705,000 3.95 05/01/50 BBB+ 661,967 759,575

CSX Corp 210,000 4.10 03/15/44 BBB+ 212,614 228,879

CSX Corp 415,000 4.50 08/01/54 BBB+ 407,295 476,689

CSX Corp 480,000 6.15 05/01/37 BBB+ 565,918 637,431

FedEx Corp 1,105,000 4.10 04/15/43 BBB 1,093,812 1,080,293

FedEx Corp 335,000 4.10 02/01/45 BBB 306,578 324,236

FedEx Corp 170,000 4.40 01/15/47 BBB 159,540 170,293

FedEx Corp 310,000 4.50 02/01/65 BBB 303,084 276,838

Fortive Corp 2,370,000 4.30 06/15/46 BBB 2,421,281 2,446,768




Johnson Controls International PLC 500,000 4.95 07/02/64 BBB+ 499,450 527,192

Mexico City Airport Trust(1) 773,000 5.50 07/31/47 BBB+ 699,748 797,164

Norfolk Southern Corp 825,000 3.40 11/01/49 BBB+ 827,357 816,783







TTX Co(1) 2,500,000 4.20 07/01/46 A 2,819,433 2,812,180



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Union Pacific Corp 400,000 3.35 % 08/15/46 A- $ 375,946 $ 387,644



Union Pacific Corp(1) 2,008,000 3.84 03/20/60 A- 1,974,475 2,029,514





United Parcel Service, Inc 1,385,000 3.40 09/01/49 A 1,384,467 1,398,505

United Parcel Service, Inc 2,255,000 4.25 03/15/49 A 2,256,098 2,633,046






United Technologies Corp 845,000 4.63 11/16/48 BBB+ 900,402 1,055,525



WestRock MWV LLC 105,000 7.95 02/15/31 BBB 123,550 144,613

WestRock MWV LLC 230,000 8.20 01/15/30 BBB 311,135 316,898 ____________________________________ ____________________________________


Technology: 3.37%

Analog Devices, Inc 2,000,000 5.30 12/15/45 BBB 2,087,290 2,446,342

Apple, Inc 3,800,000 3.45 02/09/45 AA+ 3,643,137 3,992,876

Apple, Inc 1,720,000 3.75 09/12/47 AA+ 1,746,335 1,909,605

Apple, Inc 3,750,000 4.65 02/23/46 AA+ 4,061,803 4,691,046


Finance Ltd 1,850,000 3.50 01/15/28 BBB- 1,706,918 1,861,075

Dell International LLC / EMC Corp(1) 4,100,000 8.35 07/15/46 BBB- 4,775,015 5,636,130

Fiserv, Inc 900,000 4.40 07/01/49 BBB 981,897 1,018,469

Intel Corp 3,165,000 3.25 11/15/49 A+ 3,177,855 3,179,387

Intel Corp 364,000 3.73 12/08/47 A+ 365,677 401,186

Intel Corp 395,000 4.10 05/19/46 A+ 408,640 454,609

Intel Corp 460,000 4.10 05/11/47 A+ 484,337 532,659

Intel Corp 495,000 4.25 12/15/42 A+ 523,386 580,429



KLA Corp 1,940,000 5.00 03/15/49 BBB 1,946,404 2,386,417

Lam Research Corp 520,000 4.88 03/15/49 BBB+ 586,064 650,936







Microsoft Corp 865,000 4.50 02/06/57 AAA 1,124,431 1,117,758


Oracle Corp 1,180,000 3.85 07/15/36 A+ 1,253,616 1,290,880

Oracle Corp 360,000 4.00 07/15/46 A+ 351,188 399,485

Oracle Corp 1,585,000 4.00 11/15/47 A+ 1,588,797 1,768,830

Oracle Corp 3,545,000 4.13 05/15/45 A+ 3,486,605 3,993,769



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Oracle Corp 155,000 4.38 % 05/15/55 A+ $ 181,780 $ 183,387

Oracle Corp 255,000 4.50 07/08/44 A+ 291,923 302,338

Oracle Corp 785,000 5.38 07/15/40 A+ 944,968 1,017,792

QUALCOMM, Inc 2,265,000 4.30 05/20/47 A- 2,374,619 2,590,458 ____________________________________ ____________________________________


Utilities: 6.85%

AEP Transmission Co LLC 2,570,000 4.25 09/15/48 A- 2,569,558 2,942,979



Alabama Power Co 2,783,000 3.75 03/01/45 A 2,749,557 2,941,323

Alabama Power Co 1,070,000 5.60 03/15/33 A 1,082,531 1,328,318

Ameren Illinois Co 435,000 3.25 03/15/50 A 434,118 438,955


Inc(1) 2,235,000 5.00 09/01/44 BBB 2,427,066 2,797,267

American Water Capital Corp 240,000 6.59 10/15/37 A 341,503 338,100

Appalachian Power Co 435,000 4.50 03/01/49 A- 434,378 502,195




Baltimore Gas & Electric Co 2,730,000 3.20 09/15/49 A 2,706,410 2,666,230

Baltimore Gas & Electric Co 295,000 3.75 08/15/47 A 295,992 314,026

Basin Electric Power Cooperative(1) 2,180,000 4.75 04/26/47 A 2,259,857 2,467,262


Black Hills Corp 2,830,000 3.88 10/15/49 BBB+ 2,819,525 2,818,834


Brooklyn Union Gas Co(1) 1,410,000 4.50 03/10/46 A- 1,410,000 1,612,479

CenterPoint Energy Houston Electric

LLC 490,000 3.95 03/01/48 A 488,249 548,672

CenterPoint Energy Houston Electric

LLC 1,025,000 6.95 03/15/33 A 1,101,238 1,443,386


Comision Federal de Electricidad(1) 1,680,000 5.75 02/14/42 BBB+ 1,659,315 1,873,217

Commonwealth Edison Co 830,000 3.20 11/15/49 A 808,946 823,773

Commonwealth Edison Co 2,190,000 3.75 08/15/47 A 2,119,349 2,359,259





Inc 370,000 3.85 06/15/46 A- 401,110 397,506


Inc 687,000 4.20 03/15/42 A- 710,082 764,539


Inc 760,000 4.30 12/01/56 A- 790,822 855,269


Inc 190,000 4.45 03/15/44 A- 194,457 220,145


Inc 175,000 4.50 12/01/45 A- 181,925 205,321


Inc 3,235,000 5.50 12/01/39 A- 3,744,249 4,144,408

Consumers Energy Co 760,000 3.10 08/15/50 A 759,642 755,860




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Dominion Energy South Carolina, Inc 1,445,000 5.10 % 06/01/65 A $ 1,545,400 $ 1,872,755





DTE Electric Co 700,000 3.95 03/01/49 A 695,070 798,525

DTE Electric Co 1,645,000 6.35 10/15/32 A 1,971,642 2,189,689

DTE Energy Co 340,000 3.40 06/15/29 BBB 343,363 350,070

Duke Energy Carolinas LLC 920,000 3.70 12/01/47 A 1,014,820 992,080

Duke Energy Carolinas LLC 205,000 4.25 12/15/41 A 224,682 233,760

Duke Energy Carolinas LLC 2,270,000 6.10 06/01/37 A- 2,422,363 3,081,877

Duke Energy Florida LLC 1,425,000 4.20 07/15/48 A 1,441,761 1,646,943


LLC 315,000 2.54 09/01/29 AAA 309,143 315,623


LLC 170,000 3.11 09/01/36 AAA 174,952 172,601

Duke Energy Florida, Inc 200,000 3.85 11/15/42 A 205,298 216,679

Duke Energy Indiana LLC 1,625,000 3.25 10/01/49 A 1,598,689 1,619,386

Duke Energy Indiana LLC 180,000 3.75 05/15/46 A 174,111 192,799

Duke Energy Progress LLC 995,000 4.10 05/15/42 A 993,513 1,122,556

Duke Energy Progress LLC 850,000 4.20 08/15/45 A 934,268 965,189

Duke Energy Progress LLC 705,000 6.30 04/01/38 A 781,132 979,763

Electricite de France SA(1) 2,600,000 4.95 10/13/45 A- 2,654,959 3,061,968


Emera US Finance LP 2,190,000 4.75 06/15/46 BBB 2,292,261 2,528,203

Entergy Texas, Inc 2,560,000 4.50 03/30/39 A 2,857,985 2,934,521

Evergy Kansas Central, Inc 190,000 4.25 12/01/45 A 209,323 216,043

Evergy, Inc 1,445,000 2.90 09/15/29 BBB+ 1,437,793 1,436,060

Exelon Corp 515,000 4.45 04/15/46 BBB 532,742 577,273

Exelon Corp 150,000 5.63 06/15/35 BBB 180,850 185,406




Indiana Michigan Power Co 905,000 4.55 03/15/46 A- 990,913 1,055,640

Indiana Michigan Power Co 1,150,000 6.05 03/15/37 A- 1,355,288 1,504,314

ITC Holdings Corp(1) 2,196,000 6.38 09/30/36 BBB+ 2,356,260 2,912,121

John Sevier Combined Cycle

Generation LLC 182,251 4.63 01/15/42 AA- 204,749 213,849

Kentucky Utilities Co 605,000 4.38 10/01/45 A 624,866 702,727

KeySpan Gas East Corp(1) 155,000 5.82 04/01/41 A- 189,501 200,077

Louisville Gas & Electric Co 820,000 4.25 04/01/49 A 847,100 943,333





Monongahela Power Co(1) 135,000 5.40 12/15/43 A- 159,159 174,186

Nevada Power Co 1,010,000 5.45 05/15/41 A+ 1,023,002 1,288,006

Nevada Power Co 2,925,000 6.65 04/01/36 A+ 3,379,793 4,044,174

New England Power Co(1) 285,000 3.80 12/05/47 A- 285,671 298,429

NextEra Energy Capital Holdings, Inc 330,000 2.75 11/01/29 BBB+ 330,715 331,265

NiSource, Inc 500,000 4.38 05/15/47 BBB+ 480,796 553,037



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


NiSource, Inc 415,000 4.80 % 02/15/44 BBB+ $ 431,650 $ 481,375

NiSource, Inc 180,000 5.25 02/15/43 BBB+ 191,471 218,531

NiSource, Inc 500,000 5.65 02/01/45 BBB+ 594,656 637,131

Oglethorpe Power Corp 241,000 4.20 12/01/42 BBB+ 236,582 243,992

Oglethorpe Power Corp 1,890,000 5.05 10/01/48 BBB+ 2,153,065 2,219,926

Oncor Electric Delivery Co LLC 880,000 4.10 11/15/48 A+ 938,524 1,004,214


PacifiCorp 960,000 4.13 01/15/49 A+ 982,435 1,094,272

PacifiCorp 700,000 4.15 02/15/50 A+ 739,092 801,810

PacifiCorp 450,000 5.25 06/15/35 A+ 536,936 552,407

PacifiCorp 495,000 6.00 01/15/39 A+ 682,296 677,241

PacifiCorp 240,000 6.25 10/15/37 A+ 318,511 335,995

PacifiCorp 610,000 6.35 07/15/38 A+ 814,739 853,330

PECO Energy Co 795,000 3.00 09/15/49 A 783,609 761,667

PECO Energy Co 150,000 3.70 09/15/47 A 149,478 163,777

Piedmont Natural Gas Co, Inc 320,000 3.50 06/01/29 A- 319,721 341,748

Potomac Electric Power Co 925,000 4.15 03/15/43 A 953,359 1,042,445

PPL Electric Utilities Corp 670,000 4.15 10/01/45 A 779,758 757,307

PPL Electric Utilities Corp 1,420,000 4.75 07/15/43 A 1,421,646 1,715,297





Public Service Co of New Hampshire 240,000 3.60 07/01/49 A+ 241,757 255,633





Puget Sound Energy, Inc 175,000 4.22 06/15/48 A- 176,451 201,040

Puget Sound Energy, Inc 2,305,000 4.30 05/20/45 A- 2,411,083 2,631,536



San Diego Gas & Electric Co 1,825,000 6.13 09/15/37 A 2,276,735 2,288,762




Southern California Edison Co 2,091,000 4.88 03/01/49 A- 2,491,786 2,473,013






Southern Co 775,000 4.25 07/01/36 BBB+ 775,697 833,699

Southern Co 205,000 4.40 07/01/46 BBB+ 223,645 226,674

Southern Co Gas Capital Corp 715,000 3.95 10/01/46 A- 727,584 737,434

Southern Co Gas Capital Corp 115,000 4.40 06/01/43 A- 121,182 125,063



Tampa Electric Co 215,000 4.45 06/15/49 BBB+ 215,862 254,115

Tri-State Generation & Transmission

Association, Inc(1) 330,000 6.00 06/15/40 A- 386,870 431,054



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Union Electric Co 170,000 2.95 % 06/15/27 A $ 169,477 $ 175,010



Virginia Electric & Power Co 590,000 4.20 05/15/45 BBB+ 672,424 672,733

Virginia Electric & Power Co 150,000 4.45 02/15/44 BBB+ 158,277 173,783

Washington Gas Light Co 740,000 3.65 09/15/49 A- 745,275 742,085

Washington Gas Light Co 580,000 3.80 09/15/46 A- 578,826 603,108 ____________________________________ ____________________________________

Total Utilities 117,914,619 128,237,064 ____________________________________ ____________________________________



Bermuda: 0.25%


Bond(1) 4,410,000 3.72 01/25/27 A+ 4,368,931 4,630,544 ____________________________________ ____________________________________

Total Bermuda 4,368,931 4,630,544 ____________________________________ ____________________________________

Canada: 0.10%

Hydro-Quebec 840,000 8.50 12/01/29 AA- 1,218,483 1,273,501

Province of British Columbia 410,000 7.25 09/01/36 AAA 597,087 650,859 ____________________________________ ____________________________________

Total Canada 1,815,570 1,924,360 ____________________________________ ____________________________________

Chile: 0.14%

Chile Government International Bond 2,410,000 3.50 01/25/50 A+ 2,467,043 2,490,277

Chile Government International Bond 145,000 3.63 10/30/42 A+ 158,627 155,877 ____________________________________ ____________________________________

Total Chile 2,625,670 2,646,154 ____________________________________ ____________________________________

Colombia: 0.50%


Bond 5,640,000 5.00 06/15/45 BBB- 5,875,397 6,550,860


Bond 1,065,000 5.20 05/15/49 BBB- 1,263,370 1,281,727


Bond 1,240,000 5.63 02/26/44 BBB- 1,407,399 1,540,700 ____________________________________ ____________________________________

Total Colombia 8,546,166 9,373,287 ____________________________________ ____________________________________

Indonesia: 0.05%


Bond 855,000 4.35 01/11/48 936,917 941,425 ____________________________________ ____________________________________

Total Indonesia 936,917 941,425 ____________________________________ ____________________________________

Israel: 0.13%

Israel Government AID Bond 1,299,000 5.50 09/18/33 AA+ 1,581,671 1,771,009

Israel Government International Bond 500,000 4.50 01/30/43 AA- 603,858 599,000 ____________________________________ ____________________________________

Total Israel 2,185,529 2,370,009 ____________________________________ ____________________________________

Mexico: 0.65%


Bond 5,650,000 4.35 01/15/47 BBB+ 5,395,920 5,960,750


Bond 925,000 4.50 04/22/29 BBB+ 962,134 1,014,262


Bond 1,245,000 4.50 01/31/50 BBB+ 1,265,665 1,345,845


Bond 2,558,000 4.60 01/23/46 BBB+ 2,591,920 2,775,430



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Bond 865,000 4.75 % 03/08/44 BBB+ $ 905,734 $ 955,825


Bond 120,000 7.50 04/08/33 BBB+ 152,079 171,000 ____________________________________ ____________________________________

Total Mexico 11,273,452 12,223,112 ____________________________________ ____________________________________



Developpement(1) 1,800,000 4.70 10/22/31 1,800,000 1,827,432

Inter-American Development Bank 315,000 4.38 01/24/44 361,807 414,354 ____________________________________ ____________________________________

Total Multi-National 2,161,807 2,241,786 ____________________________________ ____________________________________

Panama: 0.42%


Bond 3,995,000 3.16 01/23/30 BBB+ 4,066,839 4,114,850


Bond 1,585,000 4.30 04/29/53 BBB+ 1,816,344 1,842,562


Bond 1,640,000 4.50 04/16/50 BBB+ 1,906,563 1,940,940 ____________________________________ ____________________________________

Total Panama 7,789,746 7,898,352 ____________________________________ ____________________________________

Philippines: 0.15%


Bond 155,000 3.70 02/02/42 BBB+ 160,234 175,164


Bond 555,000 3.75 01/14/29 BBB+ 611,960 612,125


Bond 1,205,000 3.95 01/20/40 BBB+ 1,379,966 1,379,355


Bond 415,000 6.38 01/15/32 BBB+ 565,633 564,171 ____________________________________ ____________________________________

Total Philippines 2,717,793 2,730,815 ____________________________________ ____________________________________

Uruguay: 0.10%

Uruguay Government International

Bond 1,585,000 4.98 04/20/55 BBB 1,852,074 1,867,606 ____________________________________ ____________________________________

Total Uruguay 1,852,074 1,867,606 ____________________________________ ____________________________________




Federal Farm Credit Banks Funding

Corp 2,590,000 3.00 09/14/37 AA+ 2,423,176 2,703,895

FHLB 515,000 5.63 03/14/36 AA+ 559,244 707,556

FHLB 680,000 5.50 07/15/36 AA+ 858,599 953,727

FHLMC(2) 12,200,000 2.45 03/15/31 8,231,556 9,296,765

FHLMC(2) 10,000,000 2.51 07/15/32 7,365,351 7,326,145

FHLMC 7,200,000 6.25 07/15/32 AA+ 8,524,228 10,353,414

FNMA 5,030,861 4.20 01/01/30 5,397,824 5,627,672

FNMA 3,735,000 6.63 11/15/30 AA+ 5,055,254 5,316,545

FNMA 2,955,000 3.16 04/01/35 3,001,640 3,031,468


Strip(2) 11,190,000 2.45 01/15/30 8,347,404 8,774,774



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Strip(2) 1,590,000 2.45 % 04/15/30 $ 1,165,224 $ 1,239,289

Resolution Funding Corp Interest

Strip(2) 18,182,000 2.38 01/15/29 14,475,624 14,698,850

Resolution Funding Corp Interest

Strip(2) 3,833,000 2.45 01/15/30 2,912,571 3,005,694

Tennessee Valley Authority 5,510,000 5.88 04/01/36 6,768,057 7,767,881

Tennessee Valley Authority 1,020,000 5.25 09/15/39 AA+ 1,285,049 1,398,501

Tennessee Valley Authority 300,000 3.50 12/15/42 AA+ 321,743 335,612

Tennessee Valley Authority 4,200,000 4.25 09/15/65 AA+ 4,837,031 5,443,571 ____________________________________ ____________________________________



US Treasury Bill(2) 4,600,000 1.55 02/13/20 4,591,837 4,591,837

US Treasury Bond 420,000 4.50 05/15/38 520,051 566,886

US Treasury Bond 5,480,000 4.25 05/15/39 7,338,719 7,203,470

US Treasury Bond 2,940,000 4.50 08/15/39 3,727,736 3,985,467

US Treasury Bond 15,440,000 4.38 11/15/39 19,461,357 20,639,660

US Treasury Bond 5,530,000 4.63 02/15/40 7,457,511 7,636,818

US Treasury Bond 16,070,000 4.38 05/15/40 17,686,755 21,551,960

US Treasury Bond 3,185,000 3.88 08/15/40 4,080,627 4,009,582

US Treasury Bond 14,940,000 4.25 11/15/40 18,024,805 19,748,758

US Treasury Bond 11,850,000 4.38 05/15/41 15,298,483 15,955,310

US Treasury Bond 8,515,000 3.75 08/15/41 11,237,739 10,558,627

US Treasury Bond 14,555,000 3.13 11/15/41 16,210,805 16,489,491

US Treasury Bond 5,540,000 3.00 05/15/42 6,169,136 6,155,682

US Treasury Bond 53,345,000 2.75 11/15/42 54,835,358 56,860,134

US Treasury Bond 32,935,000 3.13 02/15/43 35,731,383 37,306,293

US Treasury Bond 10,335,000 2.88 05/15/43 10,219,825 11,245,522

US Treasury Bond 19,220,000 3.63 08/15/43 21,555,163 23,541,874

US Treasury Bond 19,700,000 3.63 02/15/44 22,805,294 24,180,128

US Treasury Bond 32,095,000 3.38 05/15/44 38,958,272 37,935,628

US Treasury Bond 10,480,000 3.00 05/15/45 12,043,922 11,685,500

US Treasury Bond 19,535,000 2.88 08/15/45 19,839,667 21,328,564

US Treasury Bond 24,575,000 2.50 05/15/46 22,491,574 25,058,692

US Treasury Bond 2,010,000 2.25 08/15/46 1,999,747 1,950,891

US Treasury Bond 27,010,000 2.88 11/15/46 26,736,239 29,592,156

US Treasury Bond 5,670,000 3.00 02/15/47 5,595,123 6,363,069

US Treasury Bond 55,710,000 3.00 05/15/47 58,828,610 62,516,503

US Treasury Bond 14,875,000 2.75 08/15/47 14,248,337 15,932,699

US Treasury Bond 7,710,000 2.75 11/15/47 7,234,281 8,258,092

US Treasury Bond 35,820,000 3.38 11/15/48 42,184,261 43,172,469

US Treasury Bond 10,525,000 3.00 02/15/49 12,259,940 11,859,974





US Treasury Note 4,345,000 1.88 07/31/26 4,382,742 4,359,078

US Treasury Note 22,350,000 1.63 08/15/29 22,415,520 21,755,963

US Treasury Note 10,980,000 1.75 11/15/29 10,866,960 10,805,650

US Treasury Note 18,769,000 2.25 08/15/49 18,466,488 18,185,400

US Treasury Note 42,560,000 2.38 11/15/49 43,156,708 42,368,741



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


US Treasury Principal Strip(2) 7,755,000 2.47 % 05/15/44 $ 3,783,917 $ 4,282,310 ____________________________________ ____________________________________




Benchmark 2019-B12 Mortgage Trust 1,408,182 2.86 08/15/52 AAA 1,433,014 1,432,761

Cantor Commercial Real Estate CF

2019 CF1 AS 2,500,000 4.03 05/15/52 AA 2,727,562 2,707,387 ____________________________________ ____________________________________


Securities 4,160,576 4,140,148 ____________________________________ ____________________________________


American Municipal Power Inc 425,000 8.08 02/15/50 A 680,674 727,630

Bay Area Toll Authority 460,000 6.26 04/01/49 AA 666,226 702,632

Bay Area Toll Authority 275,000 7.04 04/01/50 AA- 407,528 446,424

Bay Area Toll Authority 885,000 6.91 10/01/50 AA- 1,269,044 1,428,257

Chicago Transit Authority 1,550,000 6.90 12/01/40 AA 1,853,415 2,093,926




Airport Revenue 1,330,000 6.40 01/01/40 A 1,496,735 1,912,287

City of Houston 1,165,000 3.96 03/01/47 1,210,966 1,288,071

Commonwealth Financing Authority 440,000 4.14 06/01/38 A 444,553 482,913

Dallas County Hospital District 319,000 5.62 08/15/44 AA- 382,981 420,426


Authority 635,000 4.81 10/01/2114 AAA 660,136 834,301


Authority of the State of Missouri 1,175,000 3.65 08/15/57 AA+ 1,162,432 1,234,760


Authority of the State of Missouri 170,000 3.65 01/15/46 AA+ 170,128 181,813

Illinois State Toll Highway Authority 140,000 6.18 01/01/34 AA- 167,413 185,839

JobsOhio Beverage System 590,000 4.53 01/01/35 AA+ 619,081 691,515

Los Angeles Unified School Dist 1,200,000 5.75 07/01/34 A+ 1,506,372 1,536,732

Los Angeles Unified School Dist 1,715,000 6.76 07/01/34 A+ 2,207,482 2,364,333




Revenue 885,000 6.73 07/01/43 AA 1,117,012 1,264,373


Revenue 1,275,000 5.87 11/15/39 A 1,291,894 1,641,193

Michigan Finance Authority 2,595,000 8.37 11/01/35 AA- 3,057,741 3,753,590

Municipal Electric Authority of

Georgia 185,000 6.64 04/01/57 A 251,660 249,099


Revenue 3,746,000 7.10 01/01/41 A+ 4,641,502 5,712,800

New York City 280,000 6.27 12/01/37 AA 370,722 388,478



Revenue 1,515,000 5.51 08/01/37 AAA 1,826,569 1,921,974



Revenue 455,000 5.57 11/01/38 AAA 560,298 574,529



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


New York State Dormitory Auth 400,000 5.63 % 03/15/39 AA+ $ 468,416 $ 492,072

New York State Dormitory Authority 565,000 5.60 03/15/40 AA+ 699,339 715,126

New York State Thruway Auth 1,020,000 2.90 01/01/35 A 1,020,808 1,016,552


Corp 290,000 5.77 03/15/39 AA+ 347,046 351,698


Revenue 190,000 6.72 01/01/49 A+ 271,649 298,097

Ohio University 1,675,000 5.59 12/01/2114 A+ 1,755,850 2,159,175


Jersey 1,310,000 4.93 10/01/51 AA- 1,386,844 1,697,039


Jersey 380,000 4.81 10/15/65 AA- 454,596 478,678


Jersey 1,760,000 4.46 10/01/62 AA- 1,823,008 2,157,056



Revenue 90,000 6.58 05/15/49 AA- 131,721 129,583



Revenue 185,000 6.55 05/15/48 AA- 236,278 267,134

Regional Transportation Dist 280,000 5.84 11/01/50 AA+ 367,999 406,123

Sacramento Municipal Utility District

Electric Revenue 1,480,000 6.16 05/15/36 AA 1,480,000 1,977,665

Sales Tax Securitization Corp 1,325,000 3.59 01/01/43 AA- 1,320,925 1,306,331

Sales Tax Securitization Corp 585,000 3.82 01/01/48 AA- 593,524 589,200

San Diego County Regional

Transportation Commission 345,000 5.91 04/01/48 AAA 454,119 497,963

San Jose Redevelopment Agency

Successor Agency 500,000 3.38 08/01/34 AA 483,572 513,935


State of California 715,000 7.30 10/01/39 AA- 1,021,398 1,091,819


State of California 645,000 7.63 03/01/40 AA- 981,076 1,032,793



State of New Jersey Turnpike

Authority 105,000 7.41 01/01/40 A+ 157,898 164,709



Texas Transportation Commission

State Highway Fund 1,155,000 5.18 04/01/30 AAA 1,344,344 1,390,424

University of California 835,000 4.86 05/15/2112 AA 925,700 1,029,405

University of Virginia 175,000 6.20 09/01/39 AAA 240,410 256,092

University of Virginia 670,000 4.18 09/01/2117 AAA 680,135 791,330 ____________________________________ ____________________________________




December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________



Investment Fund S(4) 15,683,370 $ 15,683,370 $ 15,683,370 ____________________________________ ____________________________________


Total Investments: 99.02% $ 1,726,529,702 $ 1,852,247,211 ____________________________________ ____________________________________ ____________________________________ ____________________________________



Value

Unrealized

Depreciation _________________________________________________________ ______________ _______________


106 U.S. Treasury 5 Year Note, March 2020 $ 12,572,594 $ (46,773)

351 U.S. Treasury Ultra Bond, March 2020 63,761,344 (1,692,809) ______________ _______________

Total Financial Futures - Long $ 76,333,938 $ (1,739,582) ______________ _______________ ______________ _______________


Value

Unrealized

Appreciation _________________________________________________________ ______________ _______________


485 U.S. Treasury 10 Year Note, March 2020 $ 62,284,609 $ 545,330

112

U.S. Treasury 10 Year Ultra Bond, March

2020 15,758,750 192,298

34 U.S. Treasury Long Bond, March 2020 5,300,813 114,695 ______________ _______________

Total Financial Futures - Short $ 83,344,172 $ 852,323 ______________ _______________ ______________ _______________ Net unrealized depreciation - December 31, 2019 $ (887,259) _______________


(1) This Fund holds 4.78% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Zero coupon bond. Interest rate represents yield to maturity. This Fund holds 4.89% of its portfolio in these securities. (3) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The rates

shown are those in effect on December 31, 2019. (4) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds




FHLB Federal Home Loan Bank

See accompanying notes to financial statements.













Net assets, end of year $ 1,870,548,858

Ratios:







December 31, 2019




Year Ended December 31, 2019

Shares Share


January 31, 2019 86,324,553 $ 18.41

February 28, 2019 86,279,239 18.32

March 31, 2019 86,435,691 19.22

April 30, 2019 86,714,316 19.13

May 31, 2019 86,564,956 19.93

June 30, 2019 85,173,625 20.44

July 31, 2019 85,242,370 20.61

August 31, 2019 83,396,826 22.26

September 30, 2019 82,125,943 21.82

October 31, 2019 81,470,879 21.77

November 30, 2019 89,670,150 21.84

December 31, 2019 86,833,600 21.54


WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III


December 31, 2019

Cost

Fair

value

Assets:




Accrued interest income 630,044

Cash collateral held at broker 415,897



Liabilities:


Variation margin payable 41,335



Net assets $ 184,771,923


Share value $ 17.34





Investment income:

Interest income $ 5,940,164


Dividend income from unaffiliated investments 40,863


Expenses:










Futures contracts (392,249)
















Net Change 28,909,062



Net assets:

Beginning of year (8,982,301 shares) 129,582,212

End of year (10,654,242 shares) $ 184,771,923



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Dow Chemical Co 105,000 4.80 % 05/15/49 BBB $ 116,747 $ 121,090

DuPont de Nemours, Inc 85,000 5.42 11/15/48 A- 86,636 104,936 ____________________________________ ____________________________________

Total Basic Materials 203,383 226,026 ____________________________________ ____________________________________


Amazon.com, Inc 245,000 4.80 12/05/34 AA- 275,179 308,345


AT&T, Inc 300,000 5.55 08/15/41 BBB 320,085 366,185

AT&T, Inc 215,000 5.38 10/15/41 BBB 230,675 255,206

AT&T, Inc 300,000 4.75 05/15/46 BBB 283,908 338,533

AT&T, Inc 490,000 5.15 02/15/50 BBB 497,831 589,388

British Telecommunications PLC(1) 200,000 4.25 11/08/49 BBB 207,943 205,204




Comcast Corp 99,000 6.40 05/15/38 A- 128,049 139,236

Comcast Corp 135,000 3.40 07/15/46 A- 124,953 136,789

Comcast Corp 210,000 4.70 10/15/48 A- 225,772 258,477

Comcast Corp 95,000 4.00 11/01/49 A- 87,819 105,514

Comcast Corp 286,000 4.05 11/01/52 A- 289,825 320,580

Comcast Corp 210,000 4.95 10/15/58 A- 211,884 272,670

Corning, Inc 160,000 3.90 11/15/49 BBB+ 159,554 162,014

Corning, Inc 100,000 4.38 11/15/57 BBB+ 101,910 102,721

Cox Communications, Inc(1) 185,000 4.60 08/15/47 BBB 185,519 204,821

Discovery Communications LLC 380,000 6.35 06/01/40 BBB- 408,048 482,431

Interpublic Group of Cos, Inc 215,000 5.40 10/01/48 BBB 224,579 263,101

Motorola Solutions, Inc 205,000 5.50 09/01/44 BBB- 199,439 228,061


Tencent Holdings Ltd(1) 200,000 3.93 01/19/38 A+ 181,842 210,600


TWDC Enterprises 18 Corp 220,000 4.13 06/01/44 A 247,079 258,973





Vodafone Group PLC 435,000 5.25 05/30/48 BBB 448,174 522,847 ____________________________________ ____________________________________




Pass-Through Trust 17,137 3.58 07/15/29 AA+ 16,681 17,982




Home Depot, Inc 80,000 3.90 06/15/47 A 82,728 90,244

Lowe's Cos, Inc 170,000 4.55 04/05/49 BBB+ 191,003 200,073

Target Corp 235,000 3.90 11/15/47 A 225,548 269,331

Walmart, Inc 245,000 4.05 06/29/48 AA 242,780 289,446 ____________________________________ ____________________________________




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________



Abbott Laboratories 300,000 4.90 % 11/30/46 A- $ 335,519 $ 393,613

AbbVie, Inc(1) 180,000 4.25 11/21/49 A- 179,216 189,440

AbbVie, Inc 370,000 4.50 05/14/35 A- 373,779 418,721

AbbVie, Inc 180,000 4.88 11/14/48 A- 192,192 206,124

Aetna, Inc 200,000 3.88 08/15/47 BBB 197,394 202,803








Inc 105,000 5.55 01/23/49 A- 109,139 136,018

Anthem, Inc 375,000 3.70 09/15/49 A 358,456 373,163

Archer-Daniels-Midland Co 70,000 4.50 03/15/49 A 73,849 85,299

Ascension Health 125,000 4.85 11/15/53 AA+ 134,206 159,022




Cigna Corp 245,000 4.80 08/15/38 A- 255,653 285,099

CommonSpirit Health 270,000 3.82 10/01/49 AA 269,224 262,606



ERAC USA Finance LLC(1) 185,000 4.20 11/01/46 A- 179,044 197,060

Georgetown University 145,000 4.32 04/01/49 A- 145,000 172,874


Highmark, Inc(1) 160,000 6.13 05/15/41 A 155,712 196,527




Kroger Co 205,000 5.40 01/15/49 BBB 236,127 249,692

Merck & Co, Inc 230,000 4.00 03/07/49 AA 235,691 268,856

Northwell Healthcare, Inc 230,000 4.26 11/01/47 A- 240,584 246,668

Perrigo Finance Unlimited Co 260,000 4.90 12/15/44 BBB- 238,794 239,790

Pfizer, Inc 215,000 4.00 03/15/49 AA- 237,983 246,674

Pfizer, Inc 80,000 4.13 12/15/46 AA- 85,845 92,727

Philip Morris International, Inc 170,000 4.25 11/10/44 A 179,227 187,415

RWJ Barnabas Health, Inc 230,000 3.95 07/01/46 AA- 237,529 243,076

S&P Global, Inc 150,000 4.50 05/15/48 152,027 182,261



Zimmer Biomet Holdings, Inc 125,000 4.45 08/15/45 BBB 136,478 134,122 ____________________________________ ____________________________________


Energy: 3.25%

Apache Corp 320,000 5.35 07/01/49 BBB 325,203 333,623


Hughes Co-Obligor, Inc 160,000 4.08 12/15/47 A- 159,649 163,583

CNOOC International Ltd 115,000 7.50 07/30/39 A+ 140,396 179,259

ConocoPhillips Co 225,000 4.30 11/15/44 A 244,103 264,058




December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Enable Midstream Partners LP 230,000 5.00 % 05/15/44 BBB- $ 209,994 $ 210,608

Encana Corp 285,000 6.50 02/01/38 BBB 331,511 335,985



Equinor ASA 190,000 3.95 05/15/43 AA- 188,327 211,427




MPLX LP 150,000 5.50 02/15/49 BBB 147,404 169,926



ONEOK, Inc 330,000 5.20 07/15/48 BBB 360,066 373,427



Rockies Express Pipeline LLC(1) 200,000 4.95 07/15/29 BBB- 206,691 199,149




LP 255,000 5.40 10/01/47 BBB- 257,275 276,510



Total Energy 5,595,797 5,977,603 ____________________________________ ____________________________________

Financial: 5.02%



Aon PLC 175,000 4.75 05/15/45 A- 190,971 205,800


Bank of America Corp 270,000 5.88 02/07/42 A- 329,850 382,515



LLC(1) 170,000 5.00 06/15/44 A+ 174,614 205,586

Brighthouse Financial, Inc 280,000 4.70 06/22/47 BBB+ 229,262 259,056

Brookfield Finance, Inc 215,000 4.70 09/20/47 A- 207,162 246,546



Credit Suisse Group AG(1)(2) 425,000 3.87 01/12/29 BBB+ 449,351 452,346

Goldman Sachs Group, Inc 235,000 6.75 10/01/37 BBB- 284,380 325,739

Goldman Sachs Group, Inc(2) 45,000 4.41 04/23/39 BBB+ 43,802 51,156

Goldman Sachs Group, Inc 240,000 4.80 07/08/44 BBB+ 244,862 290,174


America(1) 190,000 4.88 06/19/64 AA- 190,864 231,305




KKR Group Finance Co III LLC(1) 170,000 5.13 06/01/44 A 175,757 200,799

Legg Mason, Inc 240,000 5.63 01/15/44 BBB 250,088 271,870


MetLife, Inc 470,000 6.40 12/15/66 BBB 491,786 575,750



National Life Insurance Co(1)(2) 156,000 5.25 07/19/68 A- 157,195 167,939



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Prudential Financial, Inc 270,000 3.70 % 03/13/51 A $ 268,176 $ 283,240



Sompo International Holdings Ltd 145,000 7.00 07/15/34 A- 177,831 191,689


Association of America(1) 100,000 4.27 05/15/47 AA- 100,722 113,389

Transatlantic Holdings, Inc 170,000 8.00 11/30/39 BBB+ 233,133 252,281

WEA Finance LLC / Westfield UK &

Europe Finance PLC(1) 200,000 4.75 09/17/44 A 204,098 231,901

Welltower, Inc 215,000 4.95 09/01/48 BBB+ 223,852 257,421

Westpac Banking Corp 160,000 4.42 07/24/39 BBB+ 172,715 175,572 ____________________________________ ____________________________________

Total Financial 8,227,499 9,228,764 ____________________________________ ____________________________________

Industrial: 2.10%

AP Moller - Maersk AS(1) 280,000 4.50 06/20/29 BBB 278,378 298,222

Arrow Electronics, Inc 390,000 3.88 01/12/28 BBB- 383,686 399,159



CRH America Finance, Inc(1) 200,000 4.50 04/04/48 BBB+ 197,615 217,710

Fortive Corp 215,000 4.30 06/15/46 BBB 219,670 221,964


Kansas City Southern 225,000 4.70 05/01/48 BBB 268,785 263,133






United Technologies Corp 155,000 5.70 04/15/40 BBB+ 187,581 208,263 ____________________________________ ____________________________________


Technology: 1.80%

Analog Devices, Inc 160,000 5.30 12/15/45 BBB 175,593 195,707

Apple, Inc 275,000 2.95 09/11/49 AA+ 270,498 266,309

Apple, Inc 335,000 4.65 02/23/46 AA+ 336,404 419,067


Finance Ltd 145,000 3.50 01/15/28 BBB- 135,647 145,868

Dell International LLC / EMC Corp(1) 290,000 8.35 07/15/46 BBB- 312,172 398,653

Intel Corp 125,000 3.73 12/08/47 A+ 121,211 137,770

KLA Corp 180,000 5.00 03/15/49 BBB 180,594 221,420



Oracle Corp 250,000 4.00 11/15/47 A+ 251,827 278,995

Oracle Corp 230,000 4.13 05/15/45 A+ 225,626 259,116

QUALCOMM, Inc 195,000 4.30 05/20/47 A- 193,999 223,020 ____________________________________ ____________________________________


Utilities: 3.15%

AEP Transmission Co LLC 160,000 4.25 09/15/48 A- 159,972 183,220


Inc(1) 190,000 5.00 09/01/44 BBB 210,783 237,799

Appalachian Power Co 60,000 7.00 04/01/38 A- 69,836 85,045

Baltimore Gas & Electric Co 245,000 3.20 09/15/49 A 242,871 239,277



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


Basin Electric Power Cooperative(1) 225,000 4.75 % 04/26/47 A $ 238,140 $ 254,649


Brooklyn Union Gas Co(1) 120,000 4.50 03/10/46 A- 120,000 137,232

Comision Federal de Electricidad(1) 100,000 5.75 02/14/42 BBB+ 95,828 111,501



Inc 210,000 4.50 12/01/45 A- 228,189 246,386


Inc 75,000 5.50 12/01/39 A- 94,223 96,084


Duke Energy Carolinas LLC 190,000 6.10 06/01/37 A- 224,425 257,954

Duke Energy Indiana LLC 150,000 3.25 10/01/49 A 146,674 149,482


Emera US Finance LP 215,000 4.75 06/15/46 BBB 232,131 248,203

Entergy Texas, Inc 225,000 4.50 03/30/39 A 240,419 257,917



Indiana Michigan Power Co 65,000 6.05 03/15/37 A- 69,798 85,026



Nevada Power Co 100,000 6.65 04/01/36 A+ 128,659 138,262

Oglethorpe Power Corp 180,000 5.05 10/01/48 BBB+ 196,688 211,421

Oncor Electric Delivery Co LLC 165,000 7.25 01/15/33 A+ 218,193 237,952

PPL Electric Utilities Corp 140,000 4.75 07/15/43 A 164,937 169,114

Puget Sound Energy, Inc 170,000 4.22 06/15/48 A- 170,977 195,296


Southern California Edison Co 200,000 4.88 03/01/49 A- 238,334 236,539 ____________________________________ ____________________________________

Total Utilities 5,371,226 5,790,855 ____________________________________ ____________________________________



Bermuda: 0.14%


Bond(1) 245,000 3.72 01/25/27 A+ 245,811 257,253 ____________________________________ ____________________________________

Total Bermuda 245,811 257,253 ____________________________________ ____________________________________

Colombia: 0.18%


Bond 290,000 5.00 06/15/45 BBB- 285,018 336,835 ____________________________________ ____________________________________

Total Colombia 285,018 336,835 ____________________________________ ____________________________________

Mexico: 0.38%


Bond 350,000 4.35 01/15/47 BBB+ 330,269 369,250


Bond 300,000 4.75 03/08/44 BBB+ 288,988 331,500 ____________________________________ ____________________________________

Total Mexico 619,257 700,750 ____________________________________ ____________________________________



Developpement(1) 180,000 4.70 10/22/31 180,000 182,743 ____________________________________ ____________________________________

Total Multi-National 180,000 182,743 ____________________________________ ____________________________________



December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________




Bond(1) 120,000 4.13 % 10/11/47 AA $ 113,290 $ 139,500 ____________________________________ ____________________________________

Total United Arab Emirates 113,290 139,500 ____________________________________ ____________________________________




FHLMC 820,000 2.45 03/15/31 553,269 624,865

FHLMC 650,000 2.51 07/15/32 397,087 476,199

FNMA 550,000 2.41 01/15/30 372,707 433,003

FNMA POOL #AM6245 289,332 3.80 06/01/30 297,830 314,888

FNMA POOL #AM6492 302,754 3.76 08/01/34 305,099 332,597

FNMA POOL #AM6763 301,252 3.91 09/01/34 307,350 332,739

Residual Funding Corp Principal Strip(3) 1,150,000 2.45 01/15/30 866,690 901,786

Tennessee Valley Authority 250,000 4.25 09/15/65 AA+ 286,319 324,022 ____________________________________ ____________________________________



US Treasury Bond 1,245,000 3.13 02/15/43 1,476,727 1,410,242

US Treasury Coupon Strip(3) 310,000 2.33 11/15/34 205,200 220,148

US Treasury Coupon Strip(3) 1,165,000 2.34 05/15/35 745,859 816,256
































December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


US Treasury Coupon Strip(3) 2,000,000 2.53 % 11/15/43 $ 1,050,782 $ 1,101,953










US Treasury Note 400,000 1.88 07/31/26 403,475 401,296

US Treasury Note 150,000 1.75 11/15/29 148,381 147,618

US Treasury Note 875,000 2.25 08/15/49 866,443 847,793

US Treasury Note 3,515,000 2.38 11/15/49 3,601,062 3,499,204

US Treasury Principal Strip(3) 100,000 2.38 05/15/37 55,131 69,006


US Treasury Principal Strip(3) 2,415,000 2.21 05/15/38 1,513,796 1,615,454







US Treasury Principal Strip(3) 1,635,000 2.37 11/15/40 927,323 1,003,040

US Treasury Principal Strip(3) 1,155,000 2.37 02/15/41 692,684 704,687

US Treasury Principal Strip(3) 1,765,000 2.39 05/15/41 978,820 1,066,332




























December 31, 2019


Par

Value

Interest

Rate

Maturity

Date

Rating

(Unaudited) Cost

Fair

Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________


US Treasury Principal Strip(3) 2,060,000 2.46 % 02/15/48 $ 1,066,697 $ 1,039,937






US Treasury Principal Strip(3) 1,475,000 2.45 08/15/49 783,915 720,870 ____________________________________ ____________________________________




Chicago Transit Authority 125,000 (1.43) 12/01/40 AA 138,775 168,865


Airport Revenue 50,000 6.90 01/01/40 A 57,379 71,891


Authority 125,000 6.40 10/01/2114 AAA 125,000 164,232




Revenue 165,000 4.81 07/01/43 AA 208,573 235,731


Revenue 130,000 6.73 11/15/39 A 138,796 167,337

Michigan Finance Authority 80,000 5.87 11/01/35 AA- 94,265 115,718

Michigan State Univ 195,000 8.37 08/15/48 AA 195,000 214,038


Revenue 220,000 4.50 01/01/41 A+ 275,309 335,509

Ohio University 130,000 7.10 12/01/2114 A+ 130,000 167,578


Jersey 110,000 5.59 10/01/51 AA- 126,392 142,499


Jersey 135,000 4.93 10/01/62 AA- 172,329 165,456





Shares

___________


Vanguard Long-Term Corporate Bond

ETF 19,465 1,990,082 1,972,972 ____________________________________ ____________________________________




Investment Fund S(4) 1,391,364 1,391,364 1,391,364 ____________________________________ ____________________________________





December 31, 2019




Value

Unrealized

Depreciation _________________________________________________________ ______________ _______________


19 U.S. Treasury Long Bond, March 2020 $ 2,962,219 $ (56,914)

34 U.S. Treasury Ultra Bond, March 2020 6,176,312 (148,306) ______________ _______________

Total Financial Futures - Long $ 9,138,531 $ (205,220) ______________ _______________ ______________ _______________


Value

Unrealized

Appreciation/

Depreciation _________________________________________________________ ______________ _______________


26


2020 $ 3,658,281 $ 44,641

18 U.S. Treasury 10 Year Note, March 2020 2,311,594 20,239

3 U.S. Treasury Ultra Bond, March 2020 544,969 (436) ______________ _______________

Total Financial Futures - Short $ 6,514,844 $ 64,444 ______________ _______________ ______________ _______________ Net unrealized depreciation - December 31, 2019 $ (140,776) _______________

Percentages shown are based on total net assets. (1) This Fund holds 3.41% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Variable/Floating Rate Security - Interest rate changes on these instruments are based on changes in a designated base rate. The

rates shown are those in effect on December 31, 2019. (3) Zero coupon bond. Interest rate represents yield to maturity. This Fund holds 64.42% of its portfolio in these securities. (4) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund

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



See accompanying notes to financial statements.














Ratios:







December 31, 2019





Shares Share


January 31, 2019 9,099,590 $ 14.62

February 28, 2019 9,254,683 14.44

March 31, 2019 9,943,003 15.38

April 30, 2019 9,194,237 15.10

May 31, 2019 9,367,120 16.18

June 30, 2019 9,260,660 16.47

July 31, 2019 8,961,913 16.58

August 31, 2019 9,198,322 18.61

September 30, 2019 9,946,435 18.07

October 31, 2019 9,962,433 17.88

November 30, 2019 10,464,305 17.90

December 31, 2019 10,654,242 17.34


WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT


December 31, 2019

Cost

Fair

value

Assets:






Liabilities:



Net assets $ 52,752,084

Class E2 shares outstanding 5,186,543

Class E2 share value $ 10.17





Investment income:




Expenses:







Investments (992,096)




Foreign currency translation of other assets and liabilities 8

Net gain (loss) on investment and foreign currency transactions 887,867

Net change in net assets resulting from operations $ 948,692







Net realized gain (loss) on investment and foreign currency

transactions (992,098)

Net change in unrealized appreciation (depreciation) of investment

and foreign currency translation on other assets and liabilities 1,879,965


operations 948,692






Net assets:

Beginning of year (0 Class E2 shares) 0

End of year (5,186,543 Class E2 shares)(1) $ 52,752,084 (1) Class E2 commenced operations July 22, 2019.



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities: 97.97%


Alphabet, Inc Cl-C 372 $ 423,265 $ 497,372

Alphabet, Inc Cl-A 2,160 2,478,587 2,893,082

Facebook, Inc Cl-A 5,180 1,060,139 1,063,195

Live Nation Entertainment, Inc 8,230 578,983 588,198

Match Group, Inc 2,980 233,686 244,688

Pinterest, Inc Cl-A 16,612 460,495 309,648

Roku, Inc 1,990 214,243 266,461

Walt Disney Co 3,440 471,088 497,527 ____________________________________ ____________________________________



Amazon.com, Inc 1,917 3,822,489 3,542,309

Burlington Stores, Inc 4,010 731,728 914,400

CarMax, Inc 4,916 436,737 430,986

Carvana Co 2,840 225,044 261,422

Deckers Outdoor Corp 2,610 447,951 440,724

Five Below, Inc 4,080 499,871 521,669

Floor & Decor Holdings, Inc A 6,665 306,951 338,649

Levi Strauss & Co Cl-A 13,438 258,547 259,219

Lululemon Athletica, Inc 2,060 384,678 477,240

MercadoLibre, Inc 400 256,941 228,776

O'Reilly Automotive, Inc 1,680 666,120 736,277

Planet Fitness, Inc Cl-A 4,972 382,478 371,309

Royal Caribbean Cruises Ltd 3,890 448,673 519,354

Ulta Salon Cosmetics & Fragrance, Inc 1,000 352,940 253,140 ____________________________________ ____________________________________



Coca-Cola Co 11,800 634,604 653,130

Costco Wholesale Corp 890 249,939 261,589

Estee Lauder Cos, Inc Cl-A 2,840 539,453 586,573 ____________________________________ ____________________________________


Financials: 4.52%

CME Group, Inc 4,040 817,427 810,909

E*Trade Financial Corp 5,665 248,212 257,021

LendingTree, Inc 990 398,378 300,405

MarketAxess Holdings, Inc 1,680 576,204 636,905

Tradeweb Markets, Inc Cl-A 8,180 322,202 379,143 ____________________________________ ____________________________________


Health Care: 9.07%

Abbott Laboratories 8,970 794,652 779,134

Alexion Pharmaceuticals, Inc 231 27,595 24,983

Boston Scientific Corp 22,070 945,900 998,005

Exact Sciences Corp 3,680 336,907 340,326

Insulet Corp 2,370 292,861 405,744

Repligen Corp 4,510 365,328 417,175

Veeva Systems, Inc A 2,280 378,617 320,705

Vertex Pharmaceuticals, Inc 1,810 313,746 396,300



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


Zoetis, Inc 8,326 $ 963,545 $ 1,101,946 ____________________________________ ____________________________________


Industrials: 11.19%

Copart, Inc 6,130 487,526 557,462

CoStar Group, Inc 1,820 1,130,826 1,088,906

CSX Corp 3,600 251,869 260,496

HEICO Corp 4,030 553,825 460,025

Norfolk Southern Corp 2,850 527,222 553,271

Roper Technologies, Inc 1,760 657,493 623,445

TransUnion 7,611 622,805 651,578

Union Pacific Corp 4,710 818,701 851,521

Waste Connections, Inc 9,455 884,412 858,419 ____________________________________ ____________________________________



Adobe, Inc 3,032 940,739 999,984

Apple, Inc 360 75,121 105,714

Black Knight, Inc 2,650 165,290 170,872

Cloudflare, Inc Cl-A 6,480 117,962 110,549

Dynatrace, Inc 17,570 416,221 444,521

Euronet Worldwide, Inc 3,576 559,475 563,434

Fidelity National Information Services, Inc 3,000 410,923 417,270

Global Payments, Inc 3,830 620,069 699,205

HubSpot, Inc 1,684 255,451 266,914

InterXion Holding NV 2,568 194,271 215,224


Microchip Technology, Inc 13,280 1,325,875 1,390,682

Microsoft Corp 23,420 3,287,094 3,693,334

Monolithic Power Systems, Inc 2,180 334,216 388,084

NXP Semiconductors NV 5,255 555,685 668,751

PayPal Holdings, Inc 6,830 828,479 738,801

Proofpoint, Inc 5,691 717,693 653,213

RealPage, Inc 5,700 364,092 306,375

RingCentral, Inc Cl-A 2,480 412,163 418,302

Salesforce.com, Inc 5,000 795,357 813,200

ServiceNow, Inc 1,730 514,173 488,414

Splunk, Inc 3,133 433,721 469,229

Square, Inc A 2,770 198,168 173,291

Texas Instruments, Inc 7,920 1,021,680 1,016,057

Visa, Inc Cl-A 10,180 1,866,299 1,912,822

WEX, Inc 3,000 656,045 628,380 ____________________________________ ____________________________________


Materials: 1.58%

Linde PLC 3,920 789,497 834,568 ____________________________________ ____________________________________

Total Materials 789,497 834,568 ____________________________________ ____________________________________

Real Estate: 1.38%

CBRE Group, Inc A 7,775 413,648 476,530



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


SBA Communications Corp 1,040 $ 244,316 $ 250,629 ____________________________________ ____________________________________

Total Real Estate 657,964 727,159 ____________________________________ ____________________________________

Total Equities 49,800,967 51,680,924 ____________________________________ ____________________________________













Class E2 (1)








Total return per share 1.71% (3)


Ratios:

Ratio of expenses to average net assets 0.40% (4)

Ratio of net investment income (loss) to average net assets 0.28% (4)


(1) Class E2 commenced operations July 22, 2019. (2) Based on average number of shares outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.



December 31, 2019





Class E2(1)

Shares Share


January 31, 2019 - $ -

February 28, 2019 - -

March 31, 2019 - -

April 30, 2019 - -

May 31, 2019 - -

June 30, 2019 - -

July 31, 2019 5,186,543 9.74

August 31, 2019 5,186,543 9.62

September 30, 2019 5,186,543 9.46

October 31, 2019 5,186,543 9.60

November 30, 2019 5,186,543 10.03

December 31, 2019 5,186,543 10.17

(1) Commenced operations July 22, 2019.


WELLS FARGO SPECIAL MID CAP VALUE CIT


December 31, 2019

Cost

Fair

value

Assets:






Liabilities:


Fund shares repurchased 40



Net assets $ 21,377,751

Class E2 shares outstanding 1,983,175

Class E2 share value $ 10.78





Investment income:




Expenses:






Investments 47,252











Net realized gain (loss) on investment transactions 47,252






Class E2 payments for withdrawals (1,485 shares) (15,842)




Net assets:

Beginning of year (0 Class E2 shares) 0

End of year (1,983,175 Class E2 shares)(1) $ 21,377,751 (1) Class E2 commenced operations September 20, 2019.



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities: 83.40%


Discovery, Inc C 12,503 $ 312,123 $ 381,217 ____________________________________ ____________________________________

Total Communication Services 312,123 381,217 ____________________________________ ____________________________________


Aptiv PLC 2,287 200,868 217,196

Carter's, Inc 377 36,069 41,221

DR Horton, Inc 4,390 229,773 231,573

Kohl's Corp 4,390 215,519 223,671

Mohawk Industries, Inc 2,023 248,524 275,897

PVH Corp 1,735 150,556 182,435

Vail Resorts, Inc 1,033 246,340 247,744

Yum China Holdings, Inc 6,336 280,993 304,191 ____________________________________ ____________________________________



Church & Dwight Co, Inc 1,163 78,984 81,805

Lamb Weston Holdings, Inc 1,384 102,610 119,066

Molson Coors Brewing Co B 6,216 349,300 335,042 ____________________________________ ____________________________________

Total Consumer Staples 530,894 535,913 ____________________________________ ____________________________________

Energy: 5.22%

Baker Hughes a GE Co 6,035 144,236 154,677

Cimarex Energy Co 2,875 146,021 150,909

Devon Energy Corp 4,828 123,890 125,383

Hess Corp 2,502 163,906 167,159

National Oilwell Varco, Inc 7,624 172,989 190,981

Valero Energy Corp 1,512 127,220 141,599

WPX Energy, Inc 13,430 144,026 184,528 ____________________________________ ____________________________________

Total Energy 1,022,288 1,115,236 ____________________________________ ____________________________________

Financials: 18.59%

Allstate Corp 3,221 349,189 362,201

Annaly Capital Management, Inc REIT 30,850 277,449 290,607

Arch Capital Group Ltd 9,345 384,126 400,807

Brown & Brown, Inc 13,244 480,492 522,873

Cboe Global Markets, Inc 1,735 205,060 208,200

Fidelity National Financial, Inc 6,253 272,944 283,574

Fifth Third Bancorp 11,034 306,596 339,185

Loews Corp 6,618 341,357 347,379

Northern Trust Corp 1,815 171,735 192,826

PacWest Bancorp 6,434 236,395 246,229

Regions Financial Corp 21,419 345,764 367,550

Willis Towers Watson PLC 862 170,159 174,072

Zions Bancorporation 4,602 204,832 238,936 ____________________________________ ____________________________________


Health Care: 9.86%

Alcon, Inc 7,326 433,054 414,432

Charles River Laboratories International, Inc 1,430 197,340 218,447

Humana, Inc 1,119 309,305 410,136

STERIS PLC 1,146 167,740 174,673

Universal Health Services, Inc B 1,204 180,564 172,726



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


Varian Medical Systems, Inc 2,826 $ 333,383 $ 401,320

Zimmer Biomet Holdings, Inc 2,118 300,323 317,022 ____________________________________ ____________________________________


Industrials: 13.94%

A.O. Smith Corp 4,064 193,478 193,609

AerCap Holdings NV 4,608 253,109 283,254

Carlisle Cos, Inc 2,218 319,166 358,961

Cummins, Inc 734 118,792 131,357

Jacobs Engineering Group, Inc 4,349 397,020 390,671

Kansas City Southern 2,585 340,212 395,918

Masco Corp 4,231 179,709 203,046

Republic Services, Inc 4,285 373,138 384,064

Stanley Black & Decker, Inc 2,388 342,078 395,787

United Rentals, Inc 1,456 194,406 242,817 ____________________________________ ____________________________________



Amdocs Ltd 7,252 477,326 523,522

Analog Devices, Inc 1,787 200,996 212,367

Check Point Software Technologies Ltd 831 90,114 92,208

Euronet Worldwide, Inc 1,552 231,509 244,533

NCR Corp 9,108 294,456 320,237 ____________________________________ ____________________________________


Materials: 5.60%

Barrick Gold Corp 10,545 194,771 196,032

International Paper Co 4,533 187,749 208,745

Packaging Corp of America 2,173 225,405 243,354

PPG Industries, Inc 2,696 319,072 359,889

Sealed Air Corp 4,753 196,774 189,312 ____________________________________ ____________________________________

Total Materials 1,123,771 1,197,332 ____________________________________ ____________________________________

Real Estate: 6.79%

American Campus Communities, Inc REIT 6,113 287,960 287,494

CBRE Group, Inc A 6,994 369,143 428,662

Invitation Homes, Inc 12,093 348,984 362,427

Mid-America Apartment Communities, Inc

REIT 1,966 253,917 259,237

Park Hotels & Resorts, Inc 4,412 113,584 114,139 ____________________________________ ____________________________________


Utilities: 4.53%

American Electric Power Co, Inc 3,397 317,280 321,050

American Water Works Co, Inc 2,363 289,656 290,295

FirstEnergy Corp 7,340 352,826 356,724 ____________________________________ ____________________________________

Total Utilities 959,762 968,069 ____________________________________ ____________________________________

Total Equities 16,604,384 17,829,200 ____________________________________ ____________________________________







December 31, 2019











Class E2 (1)








Total return per share 7.80% (3)


Ratios:

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

Ratio of net investment income (loss) to average net assets 1.58% (4)


(1) Class E2 commenced operations September 20, 2019. (2) Based on average number of shares outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.



December 31, 2019





Class E2(1)

Shares Share


January 31, 2019 - $ -

February 28, 2019 - -

March 31, 2019 - -

April 30, 2019 - -

May 31, 2019 - -

June 30, 2019 - -

July 31, 2019 - -

August 31, 2019 - -

September 30, 2019 1,726,394 9.96

October 31, 2019 1,726,394 10.12

November 30, 2019 1,726,394 10.44

December 31, 2019 1,983,175 10.78

(1) Commenced operations September 20, 2019.


WELLS FARGO SPECIAL SMALL CAP VALUE CIT


December 31, 2019

Cost

Fair

value

Assets:




Fund shares sold 345


Liabilities:





Net assets $ 16,779,430

Class Net Assets

Shares


E $ 5,231,993 503,289 $ 10.40

N $ 11,547,437 1,082,991 $ 10.66





Investment income:



Total income 71,494

Expenses:






Investments 32,979


Investments 685,600

Net gain (loss) on investment transactions 718,579

Net change in net assets resulting from operations $ 774,708







Net realized gain (loss) on investment transactions 32,979

Net change in unrealized appreciation (depreciation) of investments 685,600


operations 774,708


Class E proceeds from issuance of shares (503,873 shares) 5,123,875

Class E payments for withdrawals (584 shares) (5,836)



Class N payments for withdrawals (53,188 shares) (546,142)




Net assets:

Beginning of year (0 Class E shares, 0 Class N shares) 0

End of year (503,289 Class E(1) shares, 1,082,991 Class N(2) shares) $ 16,779,430 (1) Class E commenced operations November 13, 2019. (2) Class N commenced operations October 24, 2019.



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________

Equities: 94.85%


AH Belo Corp A 9,102 $ 30,787 $ 25,668

Gannett Co, Inc 5,833 47,152 37,214 ____________________________________ ____________________________________

Total Communication Services 77,939 62,882 ____________________________________ ____________________________________


American Eagle Outfitters, Inc 2,412 38,085 35,456

Delta Apparel, Inc 2,252 58,792 70,037

Denny's Corp 16,178 329,252 321,619

Dine Brands Global Inc 4,491 346,208 375,088

Helen of Troy Ltd 1,447 227,359 260,156

Jack in the Box, Inc 865 70,295 67,496

ServiceMaster Global Holdings, Inc 1,175 41,266 45,426

Six Flags Entertainment Corp 1,777 78,266 80,161

Steven Madden Ltd 2,038 85,111 87,654

Urban Outfitters, Inc 1,185 34,553 32,908

Wendy's Co 6,315 133,530 140,256 ____________________________________ ____________________________________



BJ's Wholesale Club Holdings, Inc 5,831 142,559 132,597

Central Garden & Pet Co 3,450 104,690 107,191

Central Garden & Pet Co A 3,763 107,039 110,482

Cott Corp 10,675 138,551 146,034

Hostess Brands, Inc 10,142 133,673 147,465

J&J Snack Foods Corp 1,196 225,738 220,387

Lancaster Colony Corp 261 38,333 41,786

Nomad Foods Ltd 14,881 297,290 332,888

Spectrum Brands Holdings, Inc 2,502 138,009 160,854

Tootsie Roll Industries, Inc 214 7,346 7,306

TreeHouse Foods, Inc 2,517 131,846 122,074 ____________________________________ ____________________________________


Energy: 3.59%

Berry Petroleum Corp 5,841 57,061 55,081

Callon Petroleum Co 9,342 40,481 45,122

Forum Energy Technologies, Inc 13,679 19,957 22,981

Magnolia Oil & Gas Corp 5,209 57,911 65,529

NexTier Oilfield Solutions, Inc 5,349 27,448 35,838

Oil States International, Inc 3,337 52,095 54,426

Patterson-UTI Energy, Inc 11,587 103,643 121,664

QEP Resources, Inc 14,974 54,551 67,383

TETRA Technologies, Inc 9,745 15,763 19,100

WPX Energy, Inc 8,344 88,778 114,647 ____________________________________ ____________________________________

Total Energy 517,688 601,771 ____________________________________ ____________________________________

Financials: 22.76%

Apollo Commercial Real Estate Finance, Inc

REIT 7,231 131,370 132,255

Apollo Investment Corp 6,555 106,532 114,450

Artisan Partners Asset Management, Inc A 3,965 113,502 128,149

Associated Banc-Corp 8,745 182,677 192,740

CNO Financial Group, Inc 3,194 53,272 57,907



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


CVB Financial Corp 4,174 $ 88,585 $ 90,075

Enstar Group Ltd 772 154,153 159,696

First Citizens BancShares, Inc A 558 284,041 296,973

First Hawaiian, Inc 7,422 208,577 214,125

Hancock Whitney Corp 5,061 205,815 222,077

Hanover Insurance Group, Inc 1,371 179,242 187,375

Iberiabank Corp 2,196 164,048 164,327

Invesco Mortgage Capital, Inc REIT 3,852 61,460 64,136

Jefferies Financial Group, Inc 3,774 73,778 80,650

New Mountain Finance Corp 9,331 126,390 128,208

New York Mortgage Trust, Inc REIT 10,293 63,942 64,125

People's United Financial, Inc 4,656 77,587 78,686

ProAssurance Corp 5,061 196,136 182,904

Prosperity Bancshares, Inc 647 46,148 46,513

Renasant Corp 5,480 192,859 194,102

South State Corp 1,883 152,558 163,350

Stewart Information Services Corp 3,948 162,811 161,039

Two Harbors Investment Corp REIT 8,925 125,853 130,483

UMB Financial Corp 5,101 339,392 350,133

Westwood Holdings Group, Inc 1,740 51,291 51,539

White Mountains Insurance Group Ltd 146 158,218 162,864 ____________________________________ ____________________________________


Health Care: 1.93%

Avanos Medical, Inc 1,102 44,578 37,137

Hanger, Inc 1,480 35,017 40,863

ICU Medical, Inc 221 37,980 41,354

Premier, Inc Cl-A 1,384 48,803 52,426

Prestige Consumer Healthcare, Inc 3,764 137,535 152,442 ____________________________________ ____________________________________

Total Health Care 303,913 324,222 ____________________________________ ____________________________________

Industrials: 19.83%

ACCO Brands Corp 7,154 65,818 66,961

Alamo Group, Inc 1,029 118,009 129,191

API Group Corp (1) 9,503 91,774 100,257

Apogee Enterprises, Inc 384 11,843 12,480

Atkore International Group, Inc 4,914 181,027 198,820

CSW Industrials, Inc 3,946 282,813 303,842

Deluxe Corp 2,521 130,609 125,848

Douglas Dynamics, Inc 3,380 167,813 185,900

EnerSys 526 36,422 39,361

Ennis, Inc 5,664 113,866 122,626

Franklin Electric Co, Inc 6,132 336,528 351,486

Griffon Corp 3,374 71,327 68,593

Healthcare Services Group, Inc 2,865 71,134 69,677

Hillenbrand, Inc 4,108 130,809 136,837

Kadant, Inc 1,408 129,465 148,319

Korn Ferry 4,639 177,025 196,694

Mueller Industries, Inc 11,463 355,261 363,950

NN, Inc 2,248 18,550 20,794

Parsons Corp 3,315 122,139 136,843

Quanex Building Products Corp 5,500 104,496 93,940



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________


Simpson Manufacturing Co, Inc 2,478 $ 201,187 $ 198,810

TriMas Corp 2,497 78,782 78,431

Viad Corp 2,625 163,493 177,188 ____________________________________ ____________________________________



ACI Worldwide, Inc 2,219 74,297 84,067

AVX Corp 6,000 97,589 122,820

Badger Meter, Inc 1,320 77,986 85,708

Belden, Inc 1,581 79,903 86,955

BlackBerry Ltd 5,962 32,896 38,276

Brooks Automation, Inc 2,844 124,023 119,334

Cabot Microelectronics Corp 1,333 197,955 192,378

DSP Group, Inc 2,798 41,780 44,040

Littelfuse, Inc 193 34,725 36,921

MAXIMUS, Inc 1,197 90,351 89,045

NCR Corp 2,269 69,758 79,778

NETGEAR, Inc 2,839 74,876 69,584

Novanta, Inc 2,061 182,985 182,275

SYKES Enterprises, Inc 1,855 61,206 68,616

Verint Systems, Inc 1,696 80,200 93,891 ____________________________________ ____________________________________


Materials: 13.99%

Compass Minerals International, Inc 1,721 97,967 104,912

Eagle Materials, Inc 5,144 467,961 466,355

Element Solutions, Inc 5,905 65,827 68,970

Innospec, Inc 4,039 382,880 417,794

Mayville Engineering Co, Inc 1,313 11,859 12,316

Neenah, Inc 5,093 344,699 358,700

PolyOne Corp 5,670 187,754 208,599

PQ Group Holdings, Inc 4,719 77,217 81,073

Quaker Chemical Corp 689 104,625 113,354

Schweitzer-Mauduit International, Inc 4,283 179,986 179,843

Sensient Technologies Corp 1,122 70,880 74,153

Silgan Holdings, Inc 8,430 261,077 262,005 ____________________________________ ____________________________________

Total Materials 2,252,732 2,348,074 ____________________________________ ____________________________________

Real Estate: 2.75%

Acadia Realty Trust REIT 5,116 140,167 132,658

Pebblebrook Hotel Trust REIT 6,354 163,970 170,351

Washington Real Estate Investment Trust

REIT 5,448 165,310 158,972 ____________________________________ ____________________________________

Total Real Estate 469,447 461,981 ____________________________________ ____________________________________

Utilities: 3.17%

Hawaiian Electric Industries, Inc 6,105 273,942 286,080

IDACORP, Inc 2,295 244,845 245,106 ____________________________________ ____________________________________

Total Utilities 518,787 531,186 ____________________________________ ____________________________________

Total Equities 15,229,254 15,914,854 ____________________________________ ____________________________________



December 31, 2019


Shares Cost

Fair

Value ___________ ____________ ______________



Investment Fund S (2) 1,878,205 $ 1,878,205 $ 1,878,205 ____________________________________ ____________________________________




(1) This Fund holds 0.60% of its portfolio in securities that may be resold to "qualified institutional buyers" under rule 144A. (2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds







Class E (1) Class N (2)


Share value, beginning of year $ 10.00 $ 10.00


Net investment income (loss)(3) 0.04 0.05

Net realized and unrealized gain (loss) on investments 0.36 0.61

Total from investment operations 0.40 0.66

Share value, end of year $ 10.40 $ 10.66

Total return per share(4) 3.97% 6.64%

Net assets, end of year $ 5,231,993 $ 11,547,437

Ratios:

Ratio of expenses to average net assets(5) 0.78% 0.66%

Ratio of net investment income (loss) to average net assets(5) 3.07% 2.37%

Portfolio Turnover Rate 4% 4%

(1) Class E commenced operations November 13, 2019. (2) Class N commenced operations October 24, 2019. (3) Based on average number of shares outstanding. (4) Not annualized for periods less than one year. (5) Annualized for periods less than one year.





Class E(1) Class N(2)



January 31, 2019 - $ - - $ -

February 28, 2019 - - - -

March 31, 2019 - - - -

April 30, 2019 - - - -

May 31, 2019 - - - -

June 30, 2019 - - - -

July 31, 2019 - - - -

August 31, 2019 - - - -

September 30, 2019 - - - -

October 31, 2019 - - 885,965 9.96

November 30, 2019 146,596 10.06 1,089,693 10.32

December 31, 2019 503,289 10.40 1,082,991 10.66

(1) Class E commenced operations November 13, 2019.

(2) Class N commenced operations October 24, 2019.



December 31, 2019

190

Wells Fargo Core Bond CIT

Wells Fargo Core Bond II CIT

Wells Fargo Discovery 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

Wells Fargo Special Small Cap Value CIT

Fund Descriptions

The Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, identified above, (collectively the

“Funds”, each a “Fund”) are established, operated, and maintained for the collective investment and reinvestment of

monies contributed thereto by Wells Fargo Bank, N.A. (the Trustee and Manager) or an affiliate of the Trustee in its

capacity as trustee, investment manager, or any other capacity authorized by law for retirement plans (the

participants) qualified under Section 401(a) and tax-exempt under Section 501(a) of the Internal Revenue Code

(IRC) of 1986, as amended. Each Fund is managed by Wells Capital Management, Inc.; an affiliate of the Trustee.

a) Wells Fargo Core Bond CIT

The Fund seeks total return consisting of current income and capital appreciation. The Fund invests principally in

investment-grade debt securities, including U.S. Government obligations, corporate bonds and mortgage- and asset-

backed securities. As part of the investment strategy, the Fund may invest in stripped securities or enter into

mortgage dollar rolls and reverse repurchase agreements, as well as invest in U.S.dollar-denominated debt securities

of foreign issuers.

b) Wells Fargo Core Bond II CIT

The Fund seeks total return consisting of current income and capital appreciation. The Fund invests principally in

investment-grade debt securities, including U.S. Government obligations, corporate bonds and mortgage- and asset-

backed securities. As part of the investment strategy, the Fund may invest in stripped securities or enter into

mortgage dollar rolls and reverse repurchase agreements, as well as invest in U.S.dollar-denominated debt securities

of foreign issuers.

c) Wells Fargo Discovery CIT

The Fund seeks long-term capital appreciation by principally investing in small- and mid-capitalization companies

where growth is robust, sustainable, and not fully recognized by the market. The Fund invests in equity securities of

small and medium capitalization companies that offer favorable opportunities for growth. Wells Capital

Management, who sub-advises the Fund and is affiliated with the Trustee, defines small and medium capitalization

companies as those with market capitalizations at the time of purchase equal to or lower than the company with the

largest market capitalization in the Russell Midcap® Index. The Fund may also invest in equity securities of foreign

issuers through ADRs and similar investments.

d) Wells Fargo Emerging Markets Equity CIT

The Fund seeks long-term capital appreciation. The Fund invests principally in equity and equity-linked securities of emerging market companies. Wells Capital Management, who sub-advises the Fund and is



December 31, 2019

191

affiliated with the Trustee, considers emerging market companies to include companies that are traded in, have their primary operations in, are domiciled in, or derive a significant portion of their revenue from emerging market countries. The Fund may have exposure to equities across any capitalization and style and will be diversified across countries and sectors.

e) Wells Fargo Enhanced Stock Market CIT

The Fund seeks to provide certain qualified employee benefit plans with a vehicle for collective investment and

reinvestment primarily in a portfolio of stocks with market capitalizations within the range of the stocks in the S&P

500 Index with the objective of seeking to achieve long-term total return greater than the return on the S&P 500

Index while maintaining risk characteristics similar to the risk characteristics of the stocks in the S&P 500 Index.

f) Wells Fargo Growth CIT


reinvestment in a portfolio of stocks of companies that are believed to have prospects for robust and sustainable

growth of revenues and earnings. The Fund invests in equity securities of companies of all market capitalizations. In

addition, the Fund may also invest in equity securities of foreign issuers through ADRs and similar investments.

g) Wells Fargo Large Cap Intrinsic Value CIT


reinvestment primarily in a portfolio of domestic common stocks, preferred stocks and debt securities that are

convertible to common stocks of companies, the majority of which, have a capitalization of at least $1 billion, with

a view to producing long-term capital appreciation.

h) Wells Fargo Liability Driven Solution CIT I

The Liability Driven Solution CIT I invests primarily in U.S. and foreign fixed income securities. The Fund blends

two individually managed portfolios: the Wells Capital Management portfolio and the NISA portfolio. The Fund

seeks total return, consisting of income and capital appreciation. The Fund will pursue its objective through active

management of a diversified portfolio of fixed income securities. The Fund will invest principally in investment

grade debt securities, including U.S. Government obligations, corporate bonds and mortgage and asset backed

securities. As part of the investment strategy the Fund may invest in U.S. dollar denominated debt securities of

foreign issuers. The Fund may also use futures, options or swap agreements, as well as other derivatives, to manage

risk or to enhance return. Under normal circumstances, the Fund expects to maintain an overall duration in the range

of the Bloomberg Barclays U.S. Credit Index.

i) Wells Fargo Liability Driven Solution CIT II

The Liability Driven Solution CIT II invests primarily in U.S. and foreign fixed income securities. The Fund blends

two individually managed portfolios: the Wells Capital Management portfolio and the NISA portfolio. The Fund

seeks total return, consisting of income and capital appreciation. The Fund will pursue its objective through active

management of a diversified portfolio of fixed income securities. The Fund will invest principally in investment

grade debt securities, including U.S. Government obligations, corporate bonds and mortgage and asset backed

securities. As part of the investment strategy the Fund may invest in U.S. dollar denominated debt securities of

foreign issuers. The Fund may also use futures, options or swap agreements, as well as other derivatives, to manage



December 31, 2019

192

risk or to enhance return. Under normal circumstances, the Fund expects to maintain an overall dollar-weighted

average effective duration in the range of the Bloomberg Barclays U.S. Long Government/Credit Index.

j) Wells Fargo Liability Driven Solution CIT III

The Liability Driven Solution CIT III invests primarily in U.S. and foreign fixed income securities. The Fund

blends two individually managed portfolios: the Wells Capital Management portfolio and the NISA portfolio. The

Fund seeks total return, consisting of income and capital appreciation. The Fund will pursue its objective through

active management of a diversified portfolio of fixed income securities. The Fund will invest principally in

investment grade debt securities, including U.S. Government obligations, corporate bonds and mortgage and asset

backed securities. As part of the investment strategy the Fund may invest in U.S. dollar denominated debt securities

of foreign issuers. The Fund may also use futures, options or swap agreements, as well as other derivatives, to

manage risk or to enhance return. Under normal circumstances, the Fund expects to maintain an overall dollar-

weighted average effective duration in the range of the Bloomberg Barclays STRIPS Index (70%) and Barclays

U.S. Long Credit Index (30%).

k) Wells Fargo Premier Large Company Growth CIT

The Fund seeks long-term capital appreciation by principally investing in mid and large capitalization companies

where growth is robust, sustainable, and not fully recognized by the market. Wells Capital Management, who sub-

advises the Fund and is affiliated with the Trustee, considers equity securities of companies that are believed to have

prospects for robust and sustainable growth of revenues, earnings, and cash flows. The Fund primarily invests in

equity securities of mid and large cap companies. In addition, the Fund may also invest in equity securities of

foreign issuers through ADRs and similar investments. These are typically faster growth stocks with secular growth

drivers exhibited over an extended period of time.

l) Wells Fargo Special Mid Cap Value CIT

The Fund seeks long-term capital appreciation by principally investing in mid-capitalization companies. Wells

Capital Management, who sub-advises the Fund and is affiliated with the Trustee, invests principally in equity

securities of mid-capitalization companies, which are defined as companies with market capitalizations within the

range of the Russell Midcap® Index at the time of purchase. The Manager looks for undervalued companies that

have the potential for above average capital appreciation with below average risk. Rigorous fundamental research

drives the Manager’s search for companies with favorable reward-to-risk ratios.

m) Wells Fargo Special Small Cap Value CIT

The Fund seeks long-term capital appreciation by principally investing in small- capitalization companies. Wells

Capital Management, who sub-advises the Fund and is affiliated with the Trustee, invests principally in equity

securities of small-capitalization companies, which are defined as companies with market capitalizations within the

range of the Russell 2000® Index at the time of purchase. The Manager looks for undervalued companies that have

the potential for above average capital appreciation with below average risk. Rigorous fundamental research drives

the Manager’s search for companies with favorable reward-to-risk ratios.

1. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trustee in the preparation of the

Funds financial statements. The policies are in conformity with accounting principles generally accepted in the



December 31, 2019

193

United States of America and the Wells Fargo Bank Declaration of Trust Establishing Investment Funds for

Employee Benefit Trusts, as amended and restated effective December 31, 2019 (Trust Agreement). The Funds are

investment companies and, accordingly, follow the investment company accounting and reporting guidance of the

Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 -

Investment Companies, which is part of accounting principles generally accepted in the United States of America

(“GAAP”).

a) Basis of Accounting

The accompanying financial statements have been presented on the accrual basis of accounting in accordance with

GAAP.

b) Cash Overdrafts

The Funds may have overnight cash overdrafts. Cash overdrafts are funded by the Trustee and settled the next

morning. No cash overdraft fees were assessed to the Funds for the year ended December 31, 2019.

c) Credit Risk and Uncertainties

Investment securities in which the Funds (or any Underlying funds as applicable) invest are subject to various risks,

such as market, credit, and interest rate risks. Due to the level of risk associated with such securities, it is at least

reasonably possible that changes in the near term could materially affect participants’ share values and the amounts

reported in the statements of assets and liabilities. Credit ratings, as supplied solely by Standard & Poor’s, are noted

on the Schedule of Investments for each fund which holds individual fixed income securities. The S&P rating is one

relative measure of potential credit risk each security represents. Securities without a noted rating are either not

generally rated (e.g. US government guaranteed instruments) or were un-rated by S&P as of December 31, 2019.

S&P ratings have been provided for informational purposes only and have not been independently audited.

d) Delayed Delivery Transactions

The Funds may purchase or sell securities on a when-issued or forward-commitment basis. The price of the

underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction

is negotiated. The market value of delayed delivery transactions is identified in the Funds' Schedule of Investments.

Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet

the terms of the contract. In connection with such purchases, the Funds are required to hold liquid assets as

collateral with the Funds' custodian sufficient to cover the purchase price.

The Funds may enter into TBA sale commitments to hedge their portfolio positions or to sell mortgage-backed

securities they own under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until

the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable

securities, or an offsetting TBA purchase commitment deliverable, on or before the sale commitment date, are held

as "cover" for the transaction. Unsettled TBA sale commitments are valued at the current market value of the

underlying securities, generally according to the procedures described under Note 2(e) "Valuation of Investments

and Presentation" above. The contract is marked-to-market daily and the change in market value is recorded by the

Funds as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting

purchase commitment, the Funds realize a gain or loss. As of December 31, 2019 no funds had TBA sale

commitments outstanding.



December 31, 2019

194

e) Valuation of Investments

Valuation of the Funds’ shares occurs daily for those days that the financial markets are open. Share values are

determined by dividing the value of each Fund’s net assets by the total number of shares outstanding on the

valuation date.

The Funds' investments, except those held in collective funds, are valued on the basis of market valuations, where

available, as provided by independent pricing services. Securities for which market valuations are not readily

available are valued at fair value as determined by the Trustee. Market valuations are generally determined as

follows:

• Securities traded in the over-the-counter market are valued at the last sale on the valuation date, if any,

otherwise at the last reported bid price.

• Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into

account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the

quoted bid price from an independent broker-dealer.

• Equity securities and futures contracts that are listed on a foreign or domestic exchange or market are valued at

the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market

that day, a fair value price will be determined in accordance with the Fund’s Valuation Policies & Procedures as

adopted by the Trustee.

• Government and agency obligations are valued based upon the most recent bid quotation for identical or similar

obligations.

• Foreign markets and exchanges may close prior to the close of the New York Stock Exchange ("NYSE") and

therefore may not fully reflect trading or events that occur after the close of the principle exchange in which the

foreign investments are traded but before the close of the NYSE. If such trading or events are expected to

materially affect the value of the investments, then those investments are fair valued following procedures

approved by the Trustee.

• Investments in registered open-end investment companies are valued at net asset value. Interests in non-

registered investment companies that are redeemable at net asset value are fair valued normally at net asset

value.

• Swap contracts are valued at the evaluated price provided by an independent pricing service or, if a reliable

price is not available, the quoted bid price from an independent broker-dealer.

• Forward foreign currency contracts are recorded at the forward rate provided by an independent foreign

currency pricing source.

Investments which are not valued using any of the methods discussed above are valued at their fair value, as

determined in good faith by the Trustee of the Fund. The Trustee has established a Valuation Working Group and

has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation

Working Group deems necessary or appropriate, including determining the fair value of portfolio securities. The

Trustee retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation

Procedures as it deems appropriate. On at least on a quarterly basis, the Trustee receives reports on any valuation

actions taken by the Valuation Working Group which may include items for ratification.



December 31, 2019

195

f) Fair Valuation of Securities

The Funds are subject to the provisions of FASB ASC 820-10, Fair Value Measurements which among other things,

establishes a framework for measuring fair value and requires enhanced disclosures about investments that are

measured and reported at fair value. In accordance with ASC 820-10, fair value is defined as the price that a fund

would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most

advantageous market of the investment. ASC 820-10 establishes a fair value hierarchy that prioritizes the inputs to

valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices

in active markets for identical assets or liabilities.

The three levels of the fair value hierarchy are as follows:

Level 1: Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Funds

have the ability to access at the measurement date. Examples of Level 1 securities would be common or preferred

stocks trading on a national exchange.

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either

directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for

identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted

prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by

observable market data by correlation or other means. Examples of Level 2 securities would include corporate

fixed income, municipal fixed income, or certain pooled funds.

Level 3: Unobservable inputs based on the best information available in the circumstances, to the extent observable

inputs are not available (including the Fund’s own assumptions in determining the fair value of investments).

Examples of Level 3 securities would include private placements or assets for which no current pricing source is

available or in default.

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

associated with investing in those securities.

The following table presents the values of the financial instruments carried on the statement of assets and liabilities

by caption and by level within the valuation hierarchy as of December 31, 2019. The breakdown of each Funds'

investments into major categories is disclosed in its respective Schedule of Investments.



December 31, 2019

196

Fair value measurements at reporting date using

Investments in securities

Quoted prices in

active markets

for identical

assets

(Level 1)

Significant other

observable

inputs

(Level 2)

Significant

unobservable

inputs

(Level 3) Total

Wells Fargo Core Bond CIT: Value of investment securities:

Corporate Bonds $ — $ 199,309,039 $ — $ 199,309,039

Foreign Government Bonds — 4,638,986 — 4,638,986

Government/Agency Bonds 206,249,397 296,535,806 — 502,785,203

Corporate Asset-Backed Securities — 80,604,638 — 80,604,638

Corporate Mortgage-Backed Securities — 31,937,811 — 31,937,811

Municipal Bonds — 4,082,353 — 4,082,353

Short-Term Investments — 9,579,262 — 9,579,262

Total $ 206,249,397 $ 626,687,895 $ — $ 832,937,292

Wells Fargo Core Bond II CIT:

Value of investment securities:

Corporate Bonds $ — $ 116,654,429 $ — $ 116,654,429



Corporate Asset-Backed Securities — 46,841,693 — 46,841,693


Municipal Bonds — 2,405,367 — 2,405,367


Total $ 112,181,631 $ 362,395,814 $ — $ 474,577,445

Wells Fargo Discovery CIT:


Equities $ 337,403,884 $ — $ — $ 337,403,884


Total $ 337,403,884 $ 4,072,495 $ — $ 341,476,379

Wells Fargo Emerging Markets Equity CIT:


Equities $ 431,919,860 $ 103,268,009 $ — $ 535,187,869

Exchange Traded Funds 6,443,517 — — 6,443,517

Preferred Stock — 8,516,354 — 8,516,354

Rights — 27,400 — 27,400


Total $ 438,363,377 $ 169,477,703 $ — $ 607,841,080

Wells Fargo Enhanced Stock Market CIT:


Equities $ 472,644,978 $ — $ — $ 472,644,978


Short-Term Investments — 947,649 — 947,649

Total $ 475,734,834 $ 947,649 $ — $ 476,682,483



December 31, 2019

197



Quoted prices in

active markets

for identical

assets

(Level 1)

Significant other

observable

inputs

(Level 2)

Significant

unobservable

inputs

(Level 3) Total

Wells Fargo Growth CIT:


Equities $ 117,624,803 $ — $ — $ 117,624,803


Total $ 117,624,803 $ 285,482 $ — $ 117,910,285

Wells Fargo Large Cap Intrinsic Value CIT:


Equities $ 141,872,207 $ 1,330,918 $ — $ 143,203,125


Total $ 141,872,207 $ 5,784,656 $ — $ 147,656,863

Wells Fargo Liability Driven Solution CIT I:


Corporate Bonds $ — $ 1,141,872,365 $ — $ 1,141,872,365



Corporate Asset Backed — 3,611,567 — 3,611,567


Municipal Bonds — 48,062,778 — 48,062,778


Total $ 25,452,088 $ 1,303,778,470 $ — $ 1,329,230,558

Other financial instruments:

Assets:

Futures $ 1,099,929 $ — $ — $ 1,099,929

Liabilities:

Futures $ (184,259) $ — $ — $ (184,259)

Total $ 915,670 $ — $ — $ 915,670

Wells Fargo Liability Driven Solution CIT II:


Corporate Bonds $ — $ 921,463,053 $ — $ 921,463,053




Municipal Bonds — 68,323,428 — 68,323,428


Total $ 660,764,731 $ 1,191,482,480 $ — $ 1,852,247,211


Assets:

Futures $ 852,323 $ — $ — $ 852,323

Liabilities:

Futures $ (1,739,582) $ — $ — $ (1,739,582)

Total $ (887,259) $ — $ — $ (887,259)



December 31, 2019

198



Quoted prices in

active markets

for identical

assets

(Level 1)

Significant other

observable

inputs

(Level 2)

Significant

unobservable

inputs

(Level 3) Total

Wells Fargo Liability Driven Solution CIT III:


Corporate Bonds $ — $ 47,792,102 $ — $ 47,792,102



Municipal Bonds — 2,918,016 — 2,918,016



Total $ 8,983,000 $ 174,874,138 $ — $ 183,857,138


Assets:

Futures $ 64,880 $ — $ — $ 64,880

Liabilities:

Futures $ (205,656) $ — $ — $ (205,656)

Total $ (140,776) $ — $ — $ (140,776)

Wells Fargo Premier Large Company Growth CIT:


Equities $ 51,680,924 $ — $ — $ 51,680,924


Total $ 51,680,924 $ 961,819 $ — $ 52,642,743

Wells Fargo Special Mid Cap Value CIT:


Equities $ 17,829,200 $ — $ — $ 17,829,200


Total $ 17,829,200 $ 937,915 $ — $ 18,767,115

Wells Fargo Special Small Cap Value CIT:


Equities $ 15,914,854 $ — $ — $ 15,914,854


Total $ 15,914,854 $ 1,878,205 $ — $ 17,793,059

The Funds did not have any transfers into/out of Level 3.



December 31, 2019

199

2. Foreign Currency Translation

Investments in securities, foreign currency holdings, and other assets and liabilities denominated in foreign

currencies are translated into U.S. dollar amounts at the prevailing rate of exchange at the date of valuation.

Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the

respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign

currencies. Currency gains or losses are realized between the trade and settlement dates on securities transactions,

and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded by the Funds

and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and

losses arise from changes in the fair values of assets and liabilities, including investments in securities, as of

December 31, 2019, resulting from changes in the foreign exchange rate. Such realized and unrealized translation

gains and losses are combined with the foreign currency contracts on the Funds' statements of operations and

changes in net assets. As of December 31, 2019, Wells Fargo Discovery CIT, Wells Fargo Emerging Markets

Equity CIT, Wells Fargo Growth CIT and Wells Fargo Premier Large Company Growth CIT recognized

gains/(losses) in relation to foreign currency translation.

3. Derivative Instruments and Hedging Activities

Certain Funds may engage in various portfolio investment strategies both to increase the return of the Funds and to

economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets

or for speculative purposes. Losses may arise if the value of the contract decreases due to an unfavorable change in

the price of the underlying security or if the counterparty does not perform under the contract. The Funds may

mitigate counterparty risk through master netting agreements included within an International Swaps and

Derivatives Association, Inc. (“ISDA”) Master Agreement between the Funds and each of its counterparties. The

ISDA Master Agreement allows the Funds to offset with its counterparty certain derivative financial instruments’

payables and/or receivables with collateral held with each counterparty. To the extent amounts due to the Funds

from its counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss in the

event of counterparty non-performance.

The Funds’ maximum risk of loss from counterparty credit risk on over-the-counter derivatives is generally the

aggregate unrealized gain in excess of any collateral pledged by the counterparty to the Funds. For over-the-counter

purchased options, the Funds bear the risk of loss in the amount of the premiums paid and change in market value of

the options should the counterparty not perform under the contracts. Written options by the Funds do not give rise to

counterparty risk, as written options obligate the Funds to perform and not the counterparty. Certain ISDA Master

Agreements allow counterparties to over-the-counter derivatives to terminate derivative contracts prior to maturity

in the event a Fund’s net assets decline by a stated percentage or a Fund fails to meet the terms of its ISDA Master

Agreements, which would cause the Fund to accelerate payment of any net liability owed to counterparty.

Counterparty risk related to exchange-traded financial futures, options and swaps is minimal because of the

protection against defaults provided by the exchange on which they trade.

The Funds account for derivatives and hedging activities in accordance with ASC Topic 815, Accounting for

Derivative Instruments and Certain Hedging Activities, which requires the Funds to recognize all derivative

instruments as either assets or liabilities in the balance sheet at their respective fair values. Furthermore, ASC 815-

10, Disclosures about Derivative Instruments and Hedging Activities, which amended the disclosure requirements

for derivative and hedging activities, requires the Funds to provide information on how and why the Fund uses

derivative instruments, how derivative instruments and related hedged items are accounted for under ASC815, and

how derivative instruments and related hedged items affect a Fund’s financial position and financial performance.



December 31, 2019

200

Futures Transactions

The Fund may use futures contracts to gain exposure to or to hedge against broad market, interest rate or currency exposure. The Fund may buy or sell financial futures contracts on any U.S. or foreign exchange. Risks of entering into futures transactions include the possibility that there may be an illiquid market at the time of settlement or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities in an amount equal to a percentage of the futures contract value (initial margin). Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments reflect the daily changes in the futures contract value and are recorded as unrealized gains and losses and are disclosed within the Schedule of Investments. The underlying portfolio recognizes a realized gain or loss when the futures contract is closed or expires. With futures, there is minimal counterparty risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. There is no direct impact to the Statement of Assets and Liabilities or to the Statement of Operations. During the year, the Fund used futures to hedge exposure to interest rate movements. As of December 31, 2019, Wells Fargo Liability Driven Solution CIT I, Wells Fargo Liability Driven Solution CIT II and Wells Fargo Liability Driven Solution CIT III held positions in futures contracts, which is detailed following the Fund’s Schedule of investments.

Wells Fargo Liability Driven Solution CIT I Asset Derivatives Liability Derivatives

Derivative Type Statement of Assets and

Liabilities Location Fair Value Statement of Assets and

Liabilities Location Fair Value

Interest rate contracts Variation margin

receivable/payable $ 1,099,929* Variation margin

receivable/payable $ 184,259*

Total $ 1,099,929 $ 184,259

* This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the schedule of investments. Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities.

The effect of derivative instruments on the statement of operations for the year ended December 31, 2019:

Derivative Type Location of Gain or (Loss) on

Derivatives

Realized Gain or (Loss) on

Derivatives

Change in Unrealized Appreciation or (Depreciation)

Interest rate contracts Net realized gain (loss) on futures contracts; Net change in unrealized appreciation/depreciation of futures contracts

$ (10,247,153) $ 3,359,751

Total $ (10,247,153) $ 3,359,751 For the year ended December 31, 2019, the average monthly original value of futures buy contracts was $122,339,149. For the year ended December 31, 2019, the average monthly original value of futures sell contracts was $83,065,793.



December 31, 2019

201

Wells Fargo Liability Driven Solution CIT II

Asset Derivatives Liability Derivatives

Derivative Type

Statement of Assets and





receivable/payable

$ 852,323* Variation margin

receivable/payable

$ 1,739,582*

Total $ 852,323 $ 1,739,582

* This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the schedule of investments.

Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities.


Derivative Type

Location of Gain or (Loss) on

Derivatives

Realized Gain or

(Loss) on

Derivatives

Change in Unrealized

Appreciation or

(Depreciation)

Interest rate contracts Net realized gain (loss) on futures

contracts; Net change in unrealized

appreciation/depreciation of futures

contracts

$ 10,557,268 $ (3,846,441)

Total $ 10,557,268 $ (3,846,441)

For the year ended December 31, 2019, the average monthly original value of futures buy contracts was $98,700,789.

For the year ended December 31, 2019, the average monthly original value of futures sell contracts was $79,323,588.

Wells Fargo Liability Driven Solution CIT III

Asset Derivatives Liability Derivatives

Derivative Type






receivable/payable

$ 64,880* Variation margin

receivable/payable

$ 205,656*

Total $ 64,880 $ 205,656

* This amount reflects cumulative appreciation/(depreciation) of futures contracts as reported in the schedule of investments.

Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities.


Derivative Type

Location of Gain or (Loss) on

Derivatives

Realized Gain or

(Loss) on

Derivatives

Change in Unrealized

Appreciation or

(Depreciation)

Interest rate contracts Net realized gain (loss) on futures

contracts; Net change in unrealized

appreciation/depreciation of futures

contracts

$ 1,144,934 $ (392,249)

Total $ 1,144,934 $ (392,249)

For the year ended December 31, 2019, the average monthly original value of futures buy contracts was $8,558,406.

For the year ended December 31, 2019, the average monthly original value of futures sell contracts was $6,523,784.



December 31, 2019

202

4. Expenses

In accordance with the Trust Agreement, the Trustee may charge the Funds for custody, accounting, audit fees and

certain other expenses incurred. The Collective Fund Oversight Committee (“CFOC”), a sub-committee of the Trust

Investment Committee of Wells Fargo Bank, N.A. reviews and determines the annual accounting fee charged to

each Fund. The CFOC also determines any expense cap with respect to expenses charged to each Fund.

During 2019, no Funds were subject to an expense cap.

Funds may also invest in other funds in a “fund of funds” construction deemed “Underlying Funds”. The Funds

may incur indirect expenses through their investment in any “Underlying Funds” for administration, audit,

custodial, unaffiliated sub-advisory investment management and related services provided to the Underlying Funds.

Indirect expenses from the Underlying Funds are netted against the investment income of the Underlying Fund. A

Fund’s unaffiliated sub-advisory investment management fee, if charged, is not included in the operating expenses

to which a net operating expense cap applies. The effects of this expense arrangement have been reflected in the

Statement of Operations and Financial Highlights for each Fund.

5. Trustee & Affiliated Compensation

The Funds may issue multiple classes of shares. Funds offering N or E series of share classes were, as of December

31, 2019, subject to charges for payment of compensation to the Trustee including investment advisory fees based

on the value of such funds’ net assets as reflected on the table below. Funds offering F class shares do not incur any

trustee fees but may incur investment advisory fees. F class shares are available only in situations where the Trustee

exercises discretion over investments or where shares are offered under a 3(21) investment advisory agreement.

Funds offering G class shares are not charged any trustee or investment advisory fees within the funds. Funds

offering the MD share class were established under contract to be offered exclusively on the Mercer Direct

platform.

The Target My RetirementSM program 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 RetirementSM program.

Morningstar receives 0.065% for their investment advice and Wells Fargo receives 0.25% as program manager

based on annualized net assets in the program. Expenses were charged to participant accounts adopting the program.

Fees are accrued on a daily basis and TR share values are net of program fees and expenses.

Fees for each share class, as of December 31, 2019, are outlined on the following chart:

Fund Name Cusip

Trustee

Fee

Advisory

Fee

Wells Fargo Core Bond CIT F 94987Q680 0.000% 0.150%

Wells Fargo Core Bond CIT N 949907372 0.030% 0.150%

Wells Fargo Core Bond CIT TR * 94987Q888 0.000% 0.150%

Wells Fargo Core Bond II CIT E 94987Q284 0.030% 0.240%

Wells Fargo Core Bond II CIT EF1 94988K484 0.030% 0.200%

Wells Fargo Core Bond II CIT EF2 94987Q250 0.030% 0.180%

Wells Fargo Discovery CIT N 949791644 0.030% 0.520%

Wells Fargo Discovery CIT E 94987Q631 0.030% 0.630%

Wells Fargo Discovery CIT E1 94987Q623 0.030% 0.580%

Wells Fargo Discovery CIT E2 949791636 0.030% 0.520%

Wells Fargo Emerging Markets Equity CIT E 94987Q219 0.030% 0.870%

Wells Fargo Emerging Markets Equity CIT E1 94987Q193 0.030% 0.820%



December 31, 2019

203

Fund Name Cusip

Trustee

Fee

Advisory

Fee

Wells Fargo Emerging Markets Equity CIT E2 94988K260 0.030% 0.770%

Wells Fargo Emerging Markets Equity CIT G1 94988K229 0.030% 0.000%

Wells Fargo Emerging Markets Equity CIT MD 94988K237 0.030% 0.500%

Wells Fargo Enhanced Stock Market CIT F 94987Q243 0.000% 0.090%

Wells Fargo Enhanced Stock Market CIT N 949907539 0.030% 0.090%

Wells Fargo Enhanced Stock Market CIT N20 949907521 0.030% 0.090%

Wells Fargo Growth CIT F 94987Q573 0.000% 0.450%

Wells Fargo Growth CIT N 94988K245 0.030% 0.450%

Wells Fargo Growth CIT E 949791628 0.030% 0.550%

Wells Fargo Growth CIT E2 94988K286 0.030% 0.450%

Wells Fargo Large Cap Intrinsic Value CIT E2 949907471 0.030% 0.350%

Wells Fargo Liability Driven Solution CIT I F 949907455 0.000% 0.143%

Wells Fargo Liability Driven Solution CIT II F 949907448 0.000% 0.143%

Wells Fargo Liability Driven Solution CIT III F 94987Q383 0.000% 0.143%

Wells Fargo Premier Large Company Growth CIT N 94987Q 763 0.030% 0.350%

Wells Fargo Premier Large Company Growth CIT E 94987Q 789 0.030% 0.450%

Wells Fargo Premier Large Company Growth CIT E2 94987Q235 0.030% 0.350%

Wells Fargo Special Mid Cap Value CIT E 949791610 0.030% 0.580%

Wells Fargo Special Mid Cap Value CIT E1 949791594 0.030% 0.530%

Wells Fargo Special Mid Cap Value CIT E2 94987Q185 0.030% 0.480%

Wells Fargo Special Small Cap Value CIT N 949791560 0.030% 0.600%

Wells Fargo Special Small Cap Value CIT E 94988K252 0.030% 0.700%

Wells Fargo Special Small Cap Value CIT E1 949791586 0.030% 0.650%

Wells Fargo Special Small Cap Value CIT E2 949791578 0.030% 0.600%

* Wells Fargo Core Bond CIT TR accrues an additional TMR fee 0.315%.

6. Investment Transactions and Interest Income

Funds (with exception of the Wells Fargo/BlackRock Short Term Investment Fund, which pays income monthly) do

not distribute investment income to share holders.

Investment transactions are accounted for on the trade date. The cost of investments sold is computed on an average

cost basis. Dividend income is recorded on the ex-dividend date. Foreign dividends are recorded when information

is confirmed by the foreign custodian. Interest income is accrued daily and bond discounts are accreted and

premiums are amortized daily based on the effective interest method. The Funds amortize premiums and accrete

market discounts and original issue discounts to the call or the maturity date. Premium amortization and discount

accretion amounts are included in interest income. Tax reclaims receivable, if any, are recorded as dividend income,

which may be subject to change due to changes in country-specific tax regulations regarding amounts reclaimable.

Income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update 2017-08, “Premium

Amortization of Purchased Callable Debt Securities” which shortens the amortization period for certain purchased

callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities

that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call

date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their

interim periods, beginning after December 15, 2019. Management continues to evaluate the impact of this guidance

on the Funds.



December 31, 2019

204

7. Income Taxes

The Funds maintain tax-exempt status by operating collective trust funds regulated by the Office of the Comptroller

of the Currency, and as such no provision for income taxes is required. It is intended that the Funds be exempt from

taxation under Section 501(a) of the Code and qualify as a “group trust” under Revenue Ruling 81-100 and other

applicable Internal Revenue Service rules and regulations.

The Funds follow accounting policies under ASC 740, Income Taxes, regarding how uncertain tax positions should

be recognized, measured, presented and disclosed in the financial statements. Management has analyzed the Funds’

tax positions taken in all potential open tax years and has concluded that as of December 31, 2019, there were no

positions which would call into question the Funds’ tax exempt status. As such, the Funds do not have an accrual

for uncertain tax positions. The Funds’ federal and state fiduciary and federal excise tax returns for tax years for

which the applicable statutes of limitations have not expired (open tax years: December 31, 2016; December 31,

2017; December 31, 2018; and December 31, 2019) are subject to examination by the Internal Revenue Service and

state jurisdictions. As of and during the year ended December 31, 2019, the Funds did not have a liability for any

unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as

income tax expense in the Statement of Operations. During the year, the Funds did not incur any interest or

penalties. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of

unrecognized tax benefits will change materially in the next 12 months.

8. Share Issues, Redemptions, and Distributions

In accordance with the terms of the Trust, the net asset value of the Funds is calculated daily and net investment

income and realized and unrealized gains on investments are not distributed but rather reinvested and reflected in

the net asset value of the fund (with the sole exception being the Wells Fargo/BlackRock Short Term Investment

Fund which pays income monthly). Shares of the Funds are issued and redeemed at the current net asset value.

Share investors have a proportionate, undivided interest in the Funds’ net assets.

9. Use of Estimates

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires

management to make estimates and assumptions that affect the reported amounts of assets and liabilities and

disclose of contingent assets and liabilities at the date of the financial statements and the reported amounts of

increase and decrease in net assets from operations during the reporting period. Actual results could differ from

those estimates.

10. Related Party Transactions

The Wells Fargo Discovery fund was launched in April 2019 and initial investments by Wells Capital Management

(WCM) as portfolio manager (an affiliate of the Trustee) were inadvertently traded via Wells Fargo Financial

Services (WFS) (an affiliate of the Trustee). The Trustee determined that these trades constituted a prohibited

transaction as defined under ERISA. A Form 5330 was filed on behalf of the Fund with $1,990.74 in commissions

and $7.40 in interest credited to the Fund. An excise tax of $298.62 was paid with the 5330.

11. Investment Transactions and Related Investment Income

Investment transactions are accounted for on the trade date. Realized gains and losses are determined on the basis of

average cost. For multi-class funds, income, expenses, realized and unrealized gains and losses are allocated daily to

each share class based on its relative net assets.



December 31, 2019

205

The Funds (with the exception of Wells Fargo Short Term Investment Fund, which pays income monthly) do not

distribute investment income to share holders. Therefore, the appreciation or depreciation of shares held and gain or

loss on sale of shares represent the sources of income to holders of the Funds.

12. Ownership Concentration

At December 31, 2019, the following Funds have shareholders that were not related parties that held shares in

excess of 10% of the outstanding shares in various classes of the Funds. Investment activities, including

redemptions, of such shareholders could have a material impact on the operations of the Fund or expense impact on

the class.

Number of

shareholders with

ownership in

Fund Market Value excess of 10% Aggregated %

Wells Fargo Core Bond II CIT $ 440,629,646 4 95.69%

Wells Fargo Discovery CIT $ 229,274,836 3 74.22%

Wells Fargo Emerging Markets

Equity CIT

$ 482,497,264 2 83.37%

Wells Fargo Enhanced Stock

Market CIT

$ 115,936,192 2 24.22%

Wells Fargo Growth CIT $ 64,350,432 1 54.51%

Wells Fargo Large Cap Intrinsic

Value CIT

$ 147,485,219 1 99.86%

Wells Fargo Liability Driven

Solution CIT I

$ 732,621,099 3 54.50%


Solution CIT II

$ 515,249,757 1 27.55%


Solution CIT III

$ 104,548,197 2 56.58%

Wells Fargo Premier Large

Company Growth CIT

$ 52,752,325 1 100.00%

Wells Fargo Special Mid Cap Value

CIT

$ 18,609,669 1 99.49%

Wells Fargo Special Small Cap

Value CIT

$ 11,300,820 2 97.70%

13. Summary Schedule of Investments Purchased and Sold


Purchased Sold or Redeemed

Cost Proceeds Realized Gain/(Loss)

Short term investments $ 532,330,529 $ 526,929,998 $ -

Fixed income 4,811,589,964 4,785,637,023 28,405,445

Total investments $ 5,343,920,493 $ 5,312,567,021 $ 28,405,445



December 31, 2019

206




Short term investments $ 313,459,415 $ 313,942,855 $

Fixed income 2,929,773,467 2,920,691,643 16,524,212






Equities 433,288,369 125,334,867 3,486,061

Total investments $ 518,459,418 $ 206,433,421 $ 3,486,061





Equities 497,414,765 908,409 52,842

Total investments $ 848,791,574 $ 294,619,278 $ 52,842





Equities 306,716,679 412,394,169 51,620,644






Equities 42,279,976 50,043,109 4,247,325






Equities 29,326,835 20,717,645 5,274,158




December 31, 2019

207





Fixed income 2,679,583,241 2,682,272,907 39,757,258






Fixed income 2,396,940,075 2,345,815,133 89,273,887






Fixed income 251,129,016 221,029,129 9,052,480

Exchange traded funds 5,569,924 3,573,466 (6,376)






Equities 59,708,080 8,915,017 (992,096)

Total investments $ 64,052,940 $ 12,298,058 $ (992,096)




Short term investments $ 1,758,909 $ 820,994 $ -

Equities 18,862,045 2,304,913 47,252






Equities 15,773,805 577,530 32,979




December 31, 2019

208

14. Subsequent Events Evaluation

The Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events through April 29, 2020, the date the financial statements were available to be issued. This evaluation did not result in

any subsequent events that necessitated disclosures and/or adjustments.

On March 11, 2020, the World Health Organization announced that it had made the assessment that coronavirus disease 2019 (“COVID-19”) is a pandemic. The impacts of COVID-19 is adversely affecting the entire global economy, individual companies and investment products, and the market in general. There is significant uncertainty around the extent and duration of business disruptions related to COVID-19 and the impact may be short term or may last for an extended period of time. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets and the value of the Funds and the securities in which the Funds invest may be adversely affected by impacts caused by COVID-19.

Regulatory Statement (unaudited)

__________________________________________________________________________________________________

209

Regulatory requirement. Collective funds are authorized under the Comptroller of the Currency’s Regulation 9.18(a)(2)

and are subject to other pertinent provisions of Regulation 9 as promulgated by the Comptroller of the Currency. In

compliance with this Regulation, the Trustee will provide detail of investment transactions upon request and without

charge.

Participation requirements. Participation in each Fund is available to employee benefit accounts which meet the

following conditions:

• The participating account is part of a plan and related trust qualified under Section 401(a) of the Internal

Revenue Code (IRC), and which is exempt from tax under IRC Section 501 (a) or is part of a governmental

plan as defined by IRC Section 818(a)(6).

• The participating plan or trust instrument of qualified plans adopts documents establishing Wells Fargo

Bank’s collective investment funds.

• Wells Fargo Bank, N.A. serves in a fiduciary capacity with respect to a participating account.

Filing of Annual Report with Department of Labor. A plan administrator receiving this Annual Report may be eligible

for a simplified reporting procedure described in Department of Labor Regulations §2520.103-3 for a plan year ending on

or after the end of a Fund’s fiscal year. The fiscal year end for each Fund is December 31. To such eligible plan

administrators, Wells Fargo Bank, N.A. as Trustee for the Funds certifies that the statements of assets and liabilities

included in the Annual Report were filed with the Department of Labor on or before the date upon which the annual report

of such plans is required to be filed by the plan administrators in accordance with Department of Labor

Regulation §2520.103-9. The “Employer Identification Number” of each Fund is as follows:

Active Management Series EIN

Wells Fargo Core Bond CIT 94-3222878

Wells Fargo Core Bond II CIT 47-6419204

Wells Fargo Discovery CIT 45-7019649

Wells Fargo Emerging Markets Equity CIT 83-6759450

Wells Fargo Enhanced Stock Market CIT 56-6288528

Wells Fargo Growth CIT 46-6139057

Wells Fargo Large Cap Intrinsic Value CIT 56-6689203

Wells Fargo Liability Driven Solution CIT I 30-6225619

Wells Fargo Liability Driven Solution CIT II 80-6049172

Wells Fargo Liability Driven Solution CIT III 46-7074916

Wells Fargo Premier Large Company Growth CIT 84-6440189

Wells Fargo Special Mid Cap Value CIT 84-6615098

Wells Fargo Special Small Cap Value CIT 83-6834374

Documents

Wells Fargo Bank, N.A. · Net investment income (loss) $ 21,693,463 Net realized gain (loss) on investment 28,405,445 Net change in unrealized appreciation (depreciation) of investment