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
See accompanying notes to financial statements. 4
WELLS FARGO CORE BOND CIT
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:
Investments 12,659,365
Net gain (loss) on investment 41,064,810
Net change in net assets resulting from operations $ 62,758,273
See accompanying notes to financial statements. 5
WELLS FARGO CORE BOND CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
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)
Net change 9,891,984
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 6
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
Barrick North America Finance LLC 126,000 5.75 05/01/43 BBB 140,832 160,013
Celulosa Arauco y Constitucion SA(1) 308,000 4.20 01/29/30 BBB- 307,791 308,924
Celulosa Arauco y Constitucion SA(1) 351,000 5.15 01/29/50 BBB- 348,592 348,368
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
DuPont de Nemours, Inc 512,000 4.49 11/15/25 A- 562,947 563,318
Huntsman International LLC 218,000 5.13 11/15/22 BB+ 225,667 232,744
Huntsman International LLC 336,000 4.50 05/01/29 BB+ 334,360 356,603
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
Charter Communications Operating
LLC / Charter Communications
Operating Capital 255,000 4.46 07/23/22 BBB- 263,703 267,926
Charter Communications Operating
LLC / Charter Communications
Operating Capital 226,000 5.38 05/01/47 BBB- 232,737 252,844
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 7
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
Verizon Communications, Inc 129,000 4.52 09/15/48 BBB+ 127,519 154,294
Verizon Communications, Inc 129,000 5.01 04/15/49 BBB+ 140,604 164,866
Verizon Communications, Inc 567,000 4.40 11/01/34 BBB+ 559,641 656,022
Verizon Communications, Inc 634,000 4.13 08/15/46 BBB+ 584,828 714,358
Verizon Communications, Inc 116,000 4.27 01/15/36 BBB+ 115,947 130,977
Verizon Communications, Inc 252,000 5.50 03/16/47 BBB+ 279,077 341,160
Verizon Communications, Inc 69,000 4.67 03/15/55 BBB+ 63,112 85,108
Verizon Communications, Inc 458,000 4.33 09/21/28 BBB+ 463,502 519,111
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
General Motors Co 431,000 5.95 04/01/49 BBB 425,166 476,517
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
McDonald's Corp 313,000 4.45 09/01/48 BBB+ 336,167 357,608
Starbucks Corp 367,000 3.75 12/01/47 BBB+ 366,543 380,259
Starbucks Corp 28,000 3.80 08/15/25 BBB+ 27,627 30,142
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
Abbott Laboratories 582,000 4.90 11/30/46 A- 649,231 763,608
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 8
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Anheuser-Busch Cos LLC / Anheuser-
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
Anheuser-Busch InBev Worldwide,
Inc 216,000 5.55 01/23/49 A- 254,466 279,808
Anheuser-Busch InBev Worldwide,
Inc 572,000 4.15 01/23/25 A- 589,496 622,302
Anheuser-Busch InBev Worldwide,
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
BAT Capital Corp 145,000 3.56 08/15/27 BBB+ 144,918 147,870
BAT Capital Corp 283,000 3.22 09/06/26 BBB+ 280,353 284,856
BAT Capital Corp 692,000 3.22 08/15/24 BBB+ 689,995 707,224
Becton Dickinson and Co 328,000 4.69 12/15/44 BBB 325,371 382,758
Becton Dickinson and Co 882,000 2.40 06/05/20 BBB 881,903 882,935
Becton Dickinson and Co 289,000 3.70 06/06/27 BBB 288,437 307,655
Becton Dickinson and Co 701,000 3.73 12/15/24 BBB 690,477 742,517
Becton Dickinson and Co 297,000 3.36 06/06/24 BBB 290,160 309,191
Boston Scientific Corp 495,000 4.70 03/01/49 BBB- 542,894 600,465
Boston Scientific Corp 433,000 3.75 03/01/26 BBB- 433,974 463,682
Boston Scientific Corp 580,000 4.00 03/01/29 BBB- 607,176 641,042
Bristol-Myers Squibb Co(1) 262,000 2.88 02/19/21 A+ 264,110 264,971
Bristol-Myers Squibb Co(1) 945,000 2.75 02/15/23 A+ 961,198 962,547
Bristol-Myers Squibb Co(1) 141,000 3.90 02/20/28 A+ 153,658 155,234
Bristol-Myers Squibb Co(1) 130,000 4.35 11/15/47 A+ 153,129 154,647
Bristol-Myers Squibb Co(1) 1,147,000 2.60 05/16/22 A+ 1,145,699 1,165,567
Bristol-Myers Squibb Co(1) 624,000 2.90 07/26/24 A+ 621,601 643,797
Bristol-Myers Squibb Co(1) 547,000 3.20 06/15/26 A+ 565,963 573,621
Bristol-Myers Squibb Co(1) 669,000 3.40 07/26/29 A+ 665,879 714,924
Bristol-Myers Squibb Co(1) 66,000 4.13 06/15/39 A+ 66,161 75,986
Bristol-Myers Squibb Co(1) 475,000 4.25 10/26/49 A+ 534,052 562,072
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
Constellation Brands, Inc 132,000 3.20 02/15/23 BBB 129,887 135,538
Constellation Brands, Inc 416,000 3.60 02/15/28 BBB 401,273 439,656
Constellation Brands, Inc 221,000 3.70 12/06/26 BBB 216,117 234,410
Constellation Brands, Inc 41,000 4.40 11/15/25 BBB 41,111 44,757
Constellation Brands, Inc 187,000 3.50 05/09/27 BBB 175,491 195,139
CVS Health Corp 351,000 2.63 08/15/24 BBB 353,718 353,703
CVS Health Corp 292,000 3.00 08/15/26 BBB 295,004 297,570
CVS Health Corp 268,000 3.70 03/09/23 BBB 267,892 278,995
CVS Health Corp 287,000 4.78 03/25/38 BBB 301,415 325,302
CVS Health Corp 75,000 5.05 03/25/48 BBB 81,126 88,611
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 9
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
DH Europe Finance II Sarl 431,000 2.05 11/15/22 A 432,240 431,231
DH Europe Finance II Sarl 740,000 2.20 11/15/24 A 741,105 740,301
DH Europe Finance II Sarl 292,000 2.60 11/15/29 A 291,873 290,493
Estee Lauder Cos, Inc 490,000 3.13 12/01/49 A+ 486,290 488,577
Estee Lauder Cos, Inc 258,000 2.38 12/01/29 A+ 255,567 257,518
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
Global Payments, Inc 167,000 4.15 08/15/49 BBB- 175,332 178,093
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
Kraft Heinz Foods Co 106,000 2.80 07/02/20 BBB- 105,905 106,168
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 735,000 2.38 08/15/24 A+ 736,512 744,078
UnitedHealth Group, Inc 481,000 2.88 08/15/29 A+ 482,386 494,349
UnitedHealth Group, Inc 424,000 3.50 08/15/39 A+ 431,483 444,108
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
BP Capital Markets America, Inc 569,000 3.94 09/21/28 A- 568,623 628,106
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
Energy Transfer Operating LP 128,000 6.25 04/15/49 BBB- 154,663 154,048
Energy Transfer Operating LP 507,000 5.88 01/15/24 BBB- 546,870 560,911
Energy Transfer Operating LP 332,000 5.50 06/01/27 BBB- 347,823 372,855
Energy Transfer Operating LP 289,000 6.13 12/15/45 BBB- 334,008 334,319
Enterprise Products Operating LLC 369,000 3.13 07/31/29 BBB+ 370,386 378,632
Enterprise Products Operating LLC 103,000 4.20 01/31/50 BBB+ 104,810 110,176
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 10
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Marathon Petroleum Corp 217,000 4.75 12/15/23 BBB 235,441 235,664
Marathon Petroleum Corp 258,000 4.50 04/01/48 BBB 272,680 273,700
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
Noble Energy, Inc 202,000 4.20 10/15/49 BBB 194,891 202,417
Noble Energy, Inc 378,000 5.05 11/15/44 BBB 400,450 420,849
Noble Energy, Inc 457,000 4.95 08/15/47 BBB 479,830 505,179
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 256,000 6.75 09/21/47 BBB+ 238,333 256,481
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
Plains All American Pipeline LP /
PAA Finance Corp 495,000 4.90 02/15/45 BBB- 495,056 491,961
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
Sunoco Logistics Partners Operations
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
American International Group, Inc 222,000 4.50 07/16/44 BBB+ 199,749 255,346
American International Group, Inc 406,000 4.20 04/01/28 BBB+ 405,964 446,349
Banco Santander SA 400,000 3.31 06/27/29 A 400,000 411,659
Banco Santander SA 800,000 2.71 06/27/24 A 800,000 810,684
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) 2,365,000 2.46 10/22/25 A- 2,369,004 2,378,592
Bank of America Corp(2) 1,292,000 3.09 10/01/25 A- 1,320,179 1,332,882
Bank of America Corp(2) 1,849,000 3.42 12/20/28 A- 1,886,198 1,939,031
Bank of America Corp(2) 224,000 4.33 03/15/50 A- 268,843 268,147
Bank of America Corp(2) 613,000 3.56 04/23/27 A- 613,447 647,417
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 11
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Citigroup, Inc(2) 525,000 3.98 03/20/30 BBB+ 549,202 573,914
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
GLP Capital LP / GLP Financing II,
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
HSBC Holdings PLC(2) 989,000 2.63 11/07/25 A 990,525 992,012
HSBC Holdings PLC(2) 735,000 3.80 03/11/25 A 735,000 771,034
HSBC Holdings PLC(2) 579,000 3.97 05/22/30 A 590,830 623,498
JPMorgan Chase & Co(2) 1,706,000 2.74 10/15/30 A- 1,696,190 1,703,555
JPMorgan Chase & Co(2) 1,195,000 2.30 10/15/25 A- 1,194,940 1,192,720
JPMorgan Chase & Co(2) 153,000 3.22 03/01/25 A- 157,091 158,521
JPMorgan Chase & Co(2) 488,000 3.90 01/23/49 A- 554,679 547,420
JPMorgan Chase & Co(2) 346,000 4.01 04/23/29 A- 350,621 379,565
JPMorgan Chase & Co(2) 133,000 3.70 05/06/30 A- 137,435 143,088
JPMorgan Chase & Co 488,000 2.95 10/01/26 A- 501,546 502,481
JPMorgan Chase & Co(2) 396,000 3.88 07/24/38 A- 379,265 437,279
JPMorgan Chase & Co(2) 265,000 3.56 04/23/24 A- 274,613 276,008
JPMorgan Chase & Co(2) 133,000 3.80 07/23/24 A- 138,895 140,109
JPMorgan Chase & Co(2) 257,000 4.02 12/05/24 A- 271,584 273,913
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
Liberty Mutual Group, Inc(1) 738,000 4.57 02/01/29 BBB 750,845 823,651
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
Mid-America Apartments LP 276,000 4.30 10/15/23 BBB+ 275,708 295,176
Mid-America Apartments LP 647,000 3.75 06/15/24 BBB+ 646,818 681,955
Mid-America Apartments LP 331,000 4.00 11/15/25 BBB+ 332,514 357,949
Mid-America Apartments LP 183,000 3.60 06/01/27 BBB+ 182,801 194,013
Mizuho Financial Group, Inc(2) 697,000 2.72 07/16/23 A- 703,472 705,044
Mizuho Financial Group, Inc(2) 421,000 3.15 07/16/30 A- 427,585 429,781
Morgan Stanley(2) 128,000 3.97 07/22/38 BBB+ 137,564 141,856
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 12
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Prudential Financial, Inc 456,000 4.35 02/25/50 A 478,883 524,009
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
Sumitomo Mitsui Financial Group, Inc 1,361,000 3.04 07/16/29 A- 1,370,767 1,386,829
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
Burlington Northern Santa Fe LLC 451,000 3.55 02/15/50 A+ 487,703 473,592
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
Caterpillar, Inc 323,000 2.60 09/19/29 A 323,732 325,759
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
General Electric Co 129,000 2.70 10/09/22 BBB+ 128,035 130,714
General Electric Co 479,000 5.88 01/14/38 BBB+ 565,453 579,521
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
Northrop Grumman Corp 790,000 3.25 08/01/23 BBB 791,726 823,086
Northrop Grumman Corp 38,000 2.93 01/15/25 BBB 36,599 39,149
Northrop Grumman Corp 488,000 3.25 01/15/28 BBB 505,956 508,670
Northrop Grumman Corp 855,000 2.55 10/15/22 BBB 855,555 867,506
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
Union Pacific Corp 229,000 3.15 03/01/24 A- 229,317 238,229
Union Pacific Corp 71,000 4.30 03/01/49 A- 71,157 81,778
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 13
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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 381,000 3.95 08/16/25 BBB+ 381,250 415,300
United Technologies Corp 352,000 4.45 11/16/38 BBB+ 350,613 415,771
United Technologies Corp 384,000 4.63 11/16/48 BBB+ 471,997 479,670
United Technologies Corp 232,000 4.13 11/16/28 BBB+ 233,151 261,130
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
International Business Machines Corp 199,000 4.15 05/15/39 A 203,892 223,901
International Business Machines Corp 264,000 4.25 05/15/49 A 269,855 301,236
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
Microsoft Corp 434,000 4.10 02/06/37 AAA 434,819 511,979
Microsoft Corp 172,000 4.25 02/06/47 AAA 188,599 210,381
Microsoft Corp 347,000 4.00 02/12/55 AAA 337,990 409,915
Microsoft Corp 319,000 4.50 02/06/57 AAA 329,682 412,214
NXP BV / NXP Funding LLC / NXP
USA, Inc(1) 793,000 3.88 06/18/26 BBB- 800,386 840,293
NXP BV / NXP Funding LLC / NXP
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
Black Hills Corp 244,000 3.88 10/15/49 BBB+ 250,640 243,037
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
CenterPoint Energy, Inc 394,000 4.25 11/01/28 BBB 402,400 427,309
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 14
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Edison International 276,000 5.75 06/15/27 BBB- 307,732 309,561
Enel Finance International NV(1) 243,000 3.50 04/06/28 BBB+ 245,473 248,449
Enel Finance International NV(1) 345,000 6.00 10/07/39 BBB+ 412,833 433,688
Enel Finance International NV(1) 864,000 4.63 09/14/25 BBB+ 937,249 941,885
Enel Finance International NV(1) 238,000 4.88 06/14/29 BBB+ 268,771 268,371
Enel Finance International NV(1) 235,000 4.75 05/25/47 BBB+ 252,046 263,882
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
FirstEnergy Corp 687,000 4.25 03/15/23 BBB- 710,250 723,896
FirstEnergy Corp 119,000 2.85 07/15/22 BBB- 120,457 120,885
FirstEnergy Corp 106,000 4.85 07/15/47 BBB- 111,333 125,721
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
Mississippi Power Co 664,000 3.95 03/30/28 A- 651,975 722,563
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
PPL Capital Funding, Inc 95,000 4.00 09/15/47 BBB+ 89,180 96,984
PPL Capital Funding, Inc 77,000 3.40 06/01/23 BBB+ 77,351 79,453
PPL Capital Funding, Inc 78,000 4.70 06/01/43 BBB+ 83,216 86,991
PPL Capital Funding, Inc 704,000 3.10 05/15/26 BBB+ 705,664 717,275
Southern California Edison Co 39,000 6.00 01/15/34 A- 47,186 47,950
Southern California Edison Co 76,000 5.55 01/15/37 A- 89,042 91,657
Southern California Edison Co 150,000 5.95 02/01/38 A- 181,754 189,866
Southern California Edison Co 129,000 4.65 10/01/43 A- 131,022 145,958
Southern California Edison Co 248,000 4.00 04/01/47 A- 257,773 260,292
Southern California Edison Co 275,000 2.85 08/01/29 A- 274,633 274,343
Southern California Edison Co 444,000 4.13 03/01/48 A- 425,304 472,919
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 ____________________________________ ____________________________________
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 15
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
Mexico Government International
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
Abu Dhabi Government International
Bond(1) 420,000 2.13 09/30/24 AA 417,992 418,551
Abu Dhabi Government International
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 16
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 17
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 18
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 19
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 20
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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
Avis Budget Rental Car Funding
AESOP LLC(1) 1,080,000 3.35 09/22/25 1,079,660 1,113,250
Avis Budget Rental Car Funding
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
Ford Credit Auto Owner Trust 2017-
REV2(1) 1,561,000 2.36 03/15/29 1,529,966 1,570,263
Ford Credit Auto Owner Trust 2018-
REV1(1) 2,066,000 3.19 07/15/31 AAA 2,064,009 2,146,224
Ford Credit Auto Owner Trust 2018-
REV2(1) 827,000 3.47 01/15/30 835,181 863,029
Ford Credit Auto Owner Trust 2019-
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) 644,000 2.96 10/25/21 640,085 647,274
Hertz Vehicle Financing II LP(1) 877,000 2.95 03/25/22 876,169 883,428
Hertz Vehicle Financing II LP(1) 105,000 2.65 07/25/22 104,018 105,533
Hertz Vehicle Financing II LP(1) 1,128,000 3.71 03/25/23 1,127,836 1,157,025
Hertz Vehicle Financing II LP(1) 677,000 3.29 10/25/23 675,510 691,716
Hertz Vehicle Financing II LP(1) 528,000 3.29 02/25/24 539,916 540,097
Hertz Vehicle Financing II LP(1) 1,105,000 3.42 05/25/25 1,104,707 1,138,068
Hertz Vehicle Financing II LP(1) 1,317,000 2.67 12/26/25 1,316,994 1,312,328
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 21
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
Hertz Vehicle Financing LLC 2018-
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
Navient Private Education Loan Trust
2014-CT(1)(2) 53,948 2.44 09/16/24 AAA 53,687 53,945
Navient Private Education Loan Trust
2016-A(1)(2) 384,159 3.89 12/15/45 397,659 397,142
Navient Private Education Loan Trust
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
Navient Private Education Refi Loan
Trust 2018-C(1) 326,000 3.52 06/16/42 AAA 325,970 331,041
Navient Private Education Refi Loan
Trust 2018-D(1) 798,000 4.00 12/15/59 AAA 832,452 823,402
Navient Private Education Refi Loan
Trust 2019-A(1) 1,577,000 3.42 01/15/43 AAA 1,576,325 1,606,054
Navient Private Education Refi Loan
Trust 2019-C(1) 1,639,000 3.13 02/15/68 AAA 1,647,825 1,646,483
Navient Private Education Refi Loan
Trust 2019-D(1) 1,354,000 3.01 12/15/59 AAA 1,353,406 1,367,619
Navient Private Education Refi Loan
Trust 2019-F(1) 1,613,000 2.60 08/15/68 AAA 1,612,418 1,609,300
Navient Private Education Refi Loan
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
Navient Student Loan Trust 2016-
3(1)(2) 148,287 2.64 06/25/65 AAA 149,721 148,455
Navient Student Loan Trust 2016-
5(1)(2) 986,538 3.04 06/25/65 995,264 996,111
Navient Student Loan Trust 2017-
5(1)(2) 488,467 2.59 07/26/66 489,572 480,062
Navient Student Loan Trust 2018-
EA(1) 894,000 4.00 12/15/59 AAA 893,884 925,271
Navient Student Loan Trust 2019-
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 2004-4(2) 969,115 2.10 01/25/37 AA+ 955,763 946,760
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 2005-2(2) 2,750,169 2.03 03/23/37 AA+ 2,709,423 2,667,035
Nelnet Student Loan Trust 2005-3(2) 2,100,061 2.05 12/24/35 AA+ 2,073,786 2,058,913
Nelnet Student Loan Trust 2005-4(2) 350,538 2.11 03/22/32 AA+ 340,088 336,132
Nelnet Student Loan Trust 2012-2(1)(2) 361,173 2.59 12/26/33 359,780 358,602
Nelnet Student Loan Trust 2012-4(1)(2) 657,894 2.49 09/27/38 662,526 652,044
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 22
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Asset-Backed Securities (Continued)
Nelnet Student Loan Trust 2013-1(1)(2) 502,772 2.39 % 06/25/41 $ 499,114 $ 491,095
Nelnet Student Loan Trust 2014-1(1)(2) 271,470 2.36 09/25/41 271,826 266,501
Nelnet Student Loan Trust 2016-1(1)(2) 951,670 2.59 09/25/65 956,932 950,340
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 2007-1(2) 536,000 2.00 02/15/68 AA+ 503,807 495,325
SLC Student Loan Trust 2008-1(2) 475,882 3.49 12/15/32 AAA 484,050 482,062
SLC Student Loan Trust 2010-1(2) 194,899 2.78 11/25/42 AAA 197,569 195,160
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
SMB Private Education Loan Trust
2015-C(1)(2) 186,045 3.14 07/15/27 AAA 185,469 187,339
SMB Private Education Loan Trust
2016-A(1) 1,001,270 2.70 05/15/31 995,010 1,003,331
SMB Private Education Loan Trust
2016-A(1)(2) 1,430,904 3.24 05/15/31 1,447,856 1,443,953
SMB Private Education Loan Trust
2016-B(1) 475,805 2.43 02/17/32 471,701 472,943
SMB Private Education Loan Trust
2016-B(1)(2) 1,331,633 3.19 02/17/32 1,349,015 1,341,776
SMB Private Education Loan Trust
2016-C(1)(2) 515,994 2.84 09/15/34 AAA 515,994 517,052
SMB Private Education Loan Trust
2017-A(1)(2) 1,657,661 2.64 09/15/34 AAA 1,659,002 1,656,147
SMB Private Education Loan Trust
2017-B(1)(2) 1,019,793 2.49 10/15/35 AAA 1,019,793 1,015,959
SMB Private Education Loan Trust
2017-B(1) 522,766 2.82 10/15/35 AAA 531,065 523,571
SMB Private Education Loan Trust
2018-C(1) 533,000 3.63 11/15/35 AAA 542,939 554,197
SMB Private Education Loan Trust
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
Sofi Professional Loan Program 2016-
E LLC(1)(2) 129,020 2.64 07/25/39 129,020 129,028
SoFi Professional Loan Program
2017-A LLC(1)(2) 126,251 2.49 03/26/40 AAA 126,251 126,438
SoFi Professional Loan Program
2017-E LLC(1)(2) 110,525 2.29 11/26/40 AAA 110,525 110,265
SoFi Professional Loan Program
2017-E LLC(1) 1,418,000 2.72 11/26/40 AAA 1,412,010 1,429,130
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 23
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Asset-Backed Securities (Continued)
Sofi Professional Loan Program 2018-
A LLC(1) 407,000 2.95 % 02/25/42 AAA $ 412,147 $ 410,584
Sofi Professional Loan Program 2018-
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
World Financial Network Credit Card
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
CFCRE Commercial Mortgage Trust
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
COMM 2013-CCRE9 Mortgage
Trust(2) 735,000 4.22 07/10/45 AAA 776,387 778,032
COMM 2014-CCRE16 Mortgage
Trust 35,011 3.65 04/10/47 AAA 36,485 35,933
COMM 2014-CCRE19 Mortgage
Trust 179,519 3.50 08/10/47 185,890 184,757
COMM 2015-CCRE26 Mortgage
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
CSAIL 2019-C17 Commercial
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
GS Mortgage Securities Trust 2014-
GC18 251,036 3.80 01/10/47 264,428 260,722
GS Mortgage Securities Trust 2015-
GC28 179,000 3.40 02/10/48 187,134 187,014
GS Mortgage Securities Trust 2015-
GC34 437,000 3.51 10/10/48 439,633 460,861
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 24
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Mortgage-Backed Securities (Continued)
GS Mortgage Securities Trust 2017-
GS6 1,042,000 3.43 % 05/10/50 $ 1,035,201 $ 1,099,640
GS Mortgage Securities Trust 2017-
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
JPMBB Commercial Mortgage
Securities Trust 2015-C28 101,063 2.77 10/15/48 102,991 101,021
JPMBB Commercial Mortgage
Securities Trust 2015-C28 1,645,000 2.91 10/15/48 1,654,950 1,679,606
JPMBB Commercial Mortgage
Securities Trust 2015-C33 202,000 3.77 12/15/48 204,568 216,152
JPMDB Commercial Mortgage
Securities Trust 2017-C5 220,000 3.69 03/15/50 AAA 222,872 235,583
JPMDB Commercial Mortgage
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
Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C20 106,000 3.25 02/15/48 103,477 109,955
Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C25 307,000 3.38 10/15/48 319,506 317,296
Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C27 98,000 3.75 12/15/47 101,914 104,517
Morgan Stanley Bank of America
Merrill Lynch Trust 2016-C30 219,000 2.73 09/15/49 219,287 222,682
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 ____________________________________ ____________________________________
WELLS FARGO CORE BOND CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 25
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
See accompanying notes to financial statements. 26
WELLS FARGO CORE BOND CIT
Financial Highlights
Year ended December 31, 2019
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
WELLS FARGO CORE BOND CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
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
See accompanying notes to financial statements. 28
WELLS FARGO CORE BOND II CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 3,704,330 $ 3,704,330
Unaffiliated investments 464,680,264 470,873,115
Cash 21,388
Receivable for investment securities sold 33,031,911
Accrued interest income 2,314,956
Fund shares sold 765
Total assets 509,946,465
Liabilities:
Payable for investment securities purchased 50,203,605
Fund shares repurchased 280,905
Trustee expenses 93,161
Total liabilities 50,577,671
Net assets $ 459,368,794
Class Net Assets
Shares
Outstanding Net Asset Value
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
See accompanying notes to financial statements. 29
WELLS FARGO CORE BOND II CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Interest income (net of foreign taxes withheld of $164) $ 13,340,252
Dividend income from affiliated short term investment 226,017
Total income 13,566,269
Expenses:
Administration, Advisory, and/or Trustee Fees 1,104,927
Total expenses 1,104,927
Net investment income (loss) 12,461,342
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 16,524,212
Net change in unrealized appreciation (depreciation) on:
Investments 7,359,469
Net gain (loss) on investments 23,883,681
Net change in net assets resulting from operations $ 36,345,023
See accompanying notes to financial statements. 30
WELLS FARGO CORE BOND II CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 12,461,342
Net realized gain (loss) on investments 16,524,212
Net change in unrealized appreciation (depreciation) of investments 7,359,469
Net increase (decrease) in net assets resulting from
operations 36,345,023
Participating share holder transactions:
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)
Net change 80,856,970
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 change (1,676,597)
Change in net assets derived from share transactions 10,140,938
Total increase (decrease) in net assets 46,485,961
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.
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 31
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds: 25.39%
Basic Materials: 0.77%
Barrick Gold Corp 33,000 3.85 % 04/01/22 BBB $ 34,068 $ 34,332
Barrick North America Finance LLC 319,000 5.70 05/30/41 BBB 375,718 392,511
Barrick North America Finance LLC 74,000 5.75 05/01/43 BBB 82,711 93,976
Celulosa Arauco y Constitucion SA(1) 227,000 4.20 01/29/30 BBB- 226,846 227,681
Celulosa Arauco y Constitucion SA(1) 222,000 5.15 01/29/50 BBB- 220,477 220,335
Dow Chemical Co 107,000 4.25 10/01/34 BBB 106,265 117,074
DuPont de Nemours, Inc 418,000 4.21 11/15/23 A- 445,863 446,843
DuPont de Nemours, Inc 297,000 4.49 11/15/25 A- 326,553 326,769
Huntsman International LLC 128,000 5.13 11/15/22 BB+ 132,501 136,657
Huntsman International LLC 196,000 4.50 05/01/29 BB+ 195,046 208,018
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
Newmont Goldcorp Corp 223,000 3.50 03/15/22 BBB 229,182 228,816
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
Westlake Chemical Corp 195,000 4.38 11/15/47 BBB 194,831 196,783 ____________________________________ ____________________________________
Total Basic Materials 3,439,411 3,542,713 ____________________________________ ____________________________________
Communications: 2.33%
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
Charter Communications Operating
LLC / Charter Communications
Operating Capital 150,000 4.46 07/23/22 BBB- 155,117 157,603
Charter Communications Operating
LLC / Charter Communications
Operating Capital 133,000 5.38 05/01/47 BBB- 137,030 148,797
Charter Communications Operating
LLC / Charter Communications
Operating Capital 625,000 4.80 03/01/50 BBB- 638,273 656,773
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 32
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Rogers Communications, Inc 252,000 3.70 11/15/49 BBB+ 252,828 253,541
Telefonica Emisiones SA 326,000 5.52 03/01/49 BBB 362,859 407,772
Time Warner Cable LLC 108,000 6.55 05/01/37 BBB- 114,267 132,213
Verizon Communications, Inc 270,000 4.33 09/21/28 BBB+ 272,738 306,026
Verizon Communications, Inc 169,000 4.02 12/03/29 BBB+ 178,871 188,772
Verizon Communications, Inc 334,000 4.40 11/01/34 BBB+ 329,926 386,440
Verizon Communications, Inc 69,000 4.27 01/15/36 BBB+ 68,950 77,909
Verizon Communications, Inc 375,000 4.13 08/15/46 BBB+ 347,291 422,530
Verizon Communications, Inc 149,000 5.50 03/16/47 BBB+ 165,356 201,718
Verizon Communications, Inc 76,000 4.52 09/15/48 BBB+ 75,127 90,902
Verizon Communications, Inc 76,000 5.01 04/15/49 BBB+ 82,837 97,130
Verizon Communications, Inc 41,000 4.67 03/15/55 BBB+ 37,568 50,571
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 ____________________________________ ____________________________________
Total Communications 9,925,805 10,714,974 ____________________________________ ____________________________________
Consumer, Cyclical: 1.10%
Costco Wholesale Corp 150,000 3.00 05/18/27 A+ 148,628 158,062
CVS Health Corp 233,000 4.00 12/05/23 BBB 234,709 246,415
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
General Motors Co 118,000 5.40 04/01/48 BBB 116,392 121,879
General Motors Co 251,000 5.95 04/01/49 BBB 247,759 277,508
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
McDonald's Corp 250,000 2.63 09/01/29 BBB+ 247,972 249,982
McDonald's Corp 185,000 4.45 09/01/48 BBB+ 198,582 211,366
Starbucks Corp 16,000 3.80 08/15/25 BBB+ 15,847 17,224
Starbucks Corp 215,000 3.75 12/01/47 BBB+ 214,682 222,768
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 ____________________________________ ____________________________________
Total Consumer, Cyclical 4,794,315 5,064,701 ____________________________________ ____________________________________
Consumer, Non-cyclical: 5.19%
Abbott Laboratories 206,000 3.75 11/30/26 A- 205,155 224,939
Abbott Laboratories 340,000 4.90 11/30/46 A- 379,383 446,094
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
Altria Group, Inc 333,000 4.80 02/14/29 BBB 358,169 370,701
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 33
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Altria Group, Inc 80,000 5.95 % 02/14/49 BBB $ 86,942 $ 96,724
Anheuser-Busch Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 287,000 4.70 02/01/36 A- 332,923 331,012
Anheuser-Busch Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 658,000 4.90 02/01/46 A- 649,258 778,176
Anheuser-Busch InBev Worldwide,
Inc 334,000 4.15 01/23/25 A- 342,007 363,372
Anheuser-Busch InBev Worldwide,
Inc 276,000 4.90 01/23/31 A- 280,311 328,375
Anheuser-Busch InBev Worldwide,
Inc 63,000 4.60 04/15/48 A- 72,725 71,677
Anheuser-Busch InBev Worldwide,
Inc 126,000 5.55 01/23/49 A- 147,887 163,221
BAT Capital Corp 404,000 3.22 08/15/24 BBB+ 402,688 412,888
BAT Capital Corp 165,000 3.22 09/06/26 BBB+ 163,452 166,082
BAT Capital Corp 85,000 3.56 08/15/27 BBB+ 84,952 86,683
BAT Capital Corp 24,000 4.54 08/15/47 BBB+ 23,961 24,067
Becton Dickinson and Co 522,000 2.40 06/05/20 BBB 522,253 522,553
Becton Dickinson and Co 176,000 3.36 06/06/24 BBB 172,027 183,225
Becton Dickinson and Co 415,000 3.73 12/15/24 BBB 408,909 439,579
Becton Dickinson and Co 171,000 3.70 06/06/27 BBB 170,908 182,038
Becton Dickinson and Co 194,000 4.69 12/15/44 BBB 192,402 226,388
Boston Scientific Corp 255,000 3.75 03/01/26 BBB- 255,473 273,069
Boston Scientific Corp 338,000 4.00 03/01/29 BBB- 353,533 373,573
Boston Scientific Corp 289,000 4.70 03/01/49 BBB- 316,526 350,575
Bristol-Myers Squibb Co(1) 153,000 2.88 02/19/21 A+ 154,232 154,735
Bristol-Myers Squibb Co(1) 678,000 2.60 05/16/22 A+ 677,340 688,975
Bristol-Myers Squibb Co(1) 555,000 2.75 02/15/23 A+ 564,513 565,306
Bristol-Myers Squibb Co(1) 370,000 2.90 07/26/24 A+ 368,650 381,738
Bristol-Myers Squibb Co(1) 324,000 3.20 06/15/26 A+ 335,247 339,768
Bristol-Myers Squibb Co(1) 82,000 3.90 02/20/28 A+ 89,361 90,278
Bristol-Myers Squibb Co(1) 396,000 3.40 07/26/29 A+ 394,388 423,184
Bristol-Myers Squibb Co(1) 39,000 4.13 06/15/39 A+ 39,095 44,901
Bristol-Myers Squibb Co(1) 75,000 4.35 11/15/47 A+ 88,344 89,219
Bristol-Myers Squibb Co(1) 278,000 4.25 10/26/49 A+ 312,417 328,960
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
Constellation Brands, Inc 77,000 3.20 02/15/23 BBB 75,831 79,064
Constellation Brands, Inc 23,000 4.40 11/15/25 BBB 23,063 25,107
Constellation Brands, Inc 131,000 3.70 12/06/26 BBB 128,030 138,949
Constellation Brands, Inc 111,000 3.50 05/09/27 BBB 104,023 115,831
Constellation Brands, Inc 245,000 3.60 02/15/28 BBB 236,622 258,932
Constellation Brands, Inc 300,000 3.15 08/01/29 BBB 302,822 303,008
CVS Health Corp 159,000 3.70 03/09/23 BBB 158,946 165,523
CVS Health Corp 208,000 2.63 08/15/24 BBB 209,611 209,602
CVS Health Corp 345,000 4.10 03/25/25 BBB 356,121 370,061
CVS Health Corp 173,000 3.00 08/15/26 BBB 174,780 176,300
CVS Health Corp 170,000 4.78 03/25/38 BBB 175,802 192,688
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 34
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
DH Europe Finance II Sarl 253,000 2.05 11/15/22 A 253,728 253,135
DH Europe Finance II Sarl 433,000 2.20 11/15/24 A 433,647 433,176
DH Europe Finance II Sarl 169,000 2.60 11/15/29 A 168,927 168,128
DH Europe Finance II Sarl 322,000 3.40 11/15/49 A 325,804 326,937
Estee Lauder Cos, Inc 150,000 2.38 12/01/29 A+ 148,585 149,720
Estee Lauder Cos, Inc 286,000 3.13 12/01/49 A+ 283,823 285,170
Gilead Sciences, Inc 157,000 3.65 03/01/26 A 165,484 168,831
Global Payments, Inc 182,000 3.20 08/15/29 BBB- 185,363 185,620
Global Payments, Inc 98,000 4.15 08/15/49 BBB- 102,890 104,509
Hershey Co 322,000 2.05 11/15/24 A 321,752 322,479
Kraft Heinz Foods Co 62,000 2.80 07/02/20 BBB- 61,991 62,098
Kraft Heinz Foods Co 228,000 4.38 06/01/46 BBB- 221,400 224,102
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
Reynolds American, Inc 173,000 5.85 08/15/45 BBB+ 193,686 198,032
UnitedHealth Group, Inc 435,000 2.38 08/15/24 A+ 435,903 440,373
UnitedHealth Group, Inc 173,000 3.70 12/15/25 A+ 177,032 187,044
UnitedHealth Group, Inc 281,000 2.88 08/15/29 A+ 281,839 288,798
UnitedHealth Group, Inc 246,000 3.50 08/15/39 A+ 250,277 257,666
UnitedHealth Group, Inc 173,000 3.88 08/15/59 A+ 172,926 186,119 ____________________________________ ____________________________________
Total Consumer, Non-cyclical 22,829,952 23,835,122 ____________________________________ ____________________________________
Energy: 2.96%
BP Capital Markets America, Inc 311,000 3.80 09/21/25 A- 311,313 336,260
BP Capital Markets America, Inc 332,000 3.94 09/21/28 A- 331,665 366,487
Canadian Natural Resources Ltd 105,000 3.90 02/01/25 BBB+ 111,756 111,883
Cimarex Energy Co 428,000 4.38 03/15/29 BBB- 433,673 452,638
Devon Energy Corp 256,000 5.60 07/15/41 BBB- 278,684 310,555
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
Energy Transfer Operating LP 300,000 5.88 01/15/24 BBB- 323,395 331,900
Energy Transfer Operating LP 196,000 5.50 06/01/27 BBB- 205,529 220,119
Energy Transfer Operating LP 169,000 6.13 12/15/45 BBB- 195,289 195,501
Energy Transfer Operating LP 75,000 5.30 04/15/47 BBB- 80,860 79,851
Energy Transfer Operating LP 75,000 6.25 04/15/49 BBB- 90,623 90,262
Enterprise Products Operating LLC 214,000 3.13 07/31/29 BBB+ 214,832 219,586
Enterprise Products Operating LLC 60,000 4.20 01/31/50 BBB+ 61,064 64,180
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 35
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Kinder Morgan Energy Partners LP 24,000 7.30 08/15/33 BBB 30,024 32,075
Marathon Petroleum Corp 126,000 4.75 12/15/23 BBB 136,707 136,837
Marathon Petroleum Corp 422,000 3.63 09/15/24 BBB 441,948 442,909
Marathon Petroleum Corp 150,000 4.50 04/01/48 BBB 158,535 159,128
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
Noble Energy, Inc 257,000 3.25 10/15/29 BBB 255,612 258,830
Noble Energy, Inc 223,000 5.05 11/15/44 BBB 236,205 248,279
Noble Energy, Inc 269,000 4.95 08/15/47 BBB 282,405 297,359
Noble Energy, Inc 120,000 4.20 10/15/49 BBB 115,777 120,248
Occidental Petroleum Corp 81,000 7.50 05/01/31 BBB 106,218 105,315
Petroleos Mexicanos 167,200 2.38 04/15/25 167,315 168,886
Petroleos Mexicanos 101,400 2.46 12/15/25 101,912 100,189
Petroleos Mexicanos 98,000 6.50 03/13/27 BBB+ 103,519 104,049
Petroleos Mexicanos 150,000 6.75 09/21/47 BBB+ 139,456 150,282
Petroleos Mexicanos 856,000 6.35 02/12/48 BBB+ 766,489 826,040
Plains All American Pipeline LP /
PAA Finance Corp 492,000 3.55 12/15/29 BBB- 489,745 484,254
Plains All American Pipeline LP /
PAA Finance Corp 293,000 4.90 02/15/45 BBB- 293,005 291,201
Schlumberger Finance Canada Ltd(1) 160,000 2.65 11/20/22 A+ 159,966 162,603
Shell International Finance BV 616,000 2.00 11/07/24 AA- 614,309 614,348
Shell International Finance BV 228,000 3.13 11/07/49 AA- 225,095 224,403
Sunoco Logistics Partners Operations
LP 287,000 5.30 04/01/44 BBB- 288,249 304,692
Sunoco Logistics Partners Operations
LP 21,000 5.35 05/15/45 BBB- 22,192 22,526
Total Capital International SA 286,000 2.83 01/10/30 A+ 286,052 293,553
TransCanada PipeLines Ltd 115,000 4.88 05/15/48 BBB+ 137,366 135,538
Western Midstream Operating LP 163,000 5.50 08/15/48 BBB- 183,779 143,019
Williams Cos, Inc 113,000 3.90 01/15/25 BBB 115,365 118,890 ____________________________________ ____________________________________
Total Energy 13,234,438 13,591,302 ____________________________________ ____________________________________
Financial: 7.27%
American International Group, Inc 240,000 4.20 04/01/28 BBB+ 239,922 263,852
American International Group, Inc 155,000 4.25 03/15/29 BBB+ 160,236 172,319
American International Group, Inc 131,000 4.50 07/16/44 BBB+ 117,716 150,677
Banco Santander SA 400,000 2.71 06/27/24 A 400,000 405,342
Banco Santander SA 200,000 3.31 06/27/29 A 200,000 205,830
Bank of America Corp(2) 755,000 3.09 10/01/25 A- 771,403 778,890
Bank of America Corp(2) 1,381,000 2.46 10/22/25 A- 1,383,283 1,388,937
Bank of America Corp(2) 359,000 3.56 04/23/27 A- 359,263 379,156
Bank of America Corp 448,000 4.18 11/25/27 BBB+ 486,872 485,257
Bank of America Corp(2) 1,093,000 3.42 12/20/28 A- 1,115,469 1,146,220
Bank of America Corp(2) 795,000 4.27 07/23/29 A- 882,295 882,516
Bank of America Corp(2) 132,000 4.33 03/15/50 A- 158,460 158,015
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 36
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Banque Federative du Credit Mutuel
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
Citigroup, Inc(2) 309,000 3.98 03/20/30 BBB+ 323,253 337,789
Citigroup, Inc(2) 454,000 2.98 11/05/30 BBB+ 453,076 460,365
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
GE Capital International Funding Co
Unlimited Co 699,000 4.42 11/15/35 BBB+ 726,952 744,278
General Electric Co 56,000 3.10 01/09/23 BBB+ 56,106 57,183
GLP Capital LP / GLP Financing II,
Inc 162,000 5.30 01/15/29 BBB- 164,934 179,933
GLP Capital LP / GLP Financing II,
Inc 299,000 4.00 01/15/30 BBB- 299,755 305,189
HSBC Holdings PLC(2) 550,000 3.80 03/11/25 A 550,000 576,964
HSBC Holdings PLC(2) 533,000 2.63 11/07/25 A 533,826 534,623
HSBC Holdings PLC(2) 226,000 4.04 03/13/28 A 239,028 241,543
HSBC Holdings PLC(2) 343,000 3.97 05/22/30 A 351,149 369,361
JPMorgan Chase & Co(2) 157,000 3.56 04/23/24 A- 162,695 163,521
JPMorgan Chase & Co(2) 79,000 3.80 07/23/24 A- 82,502 83,223
JPMorgan Chase & Co(2) 152,000 4.02 12/05/24 A- 160,631 162,003
JPMorgan Chase & Co(2) 91,000 3.22 03/01/25 A- 93,433 94,284
JPMorgan Chase & Co(2) 706,000 2.30 10/15/25 A- 705,992 704,653
JPMorgan Chase & Co 288,000 2.95 10/01/26 A- 296,003 296,546
JPMorgan Chase & Co(2) 205,000 4.01 04/23/29 A- 207,740 224,887
JPMorgan Chase & Co(2) 79,000 3.70 05/06/30 A- 81,711 84,992
JPMorgan Chase & Co(2) 995,000 2.74 10/15/30 A- 989,387 993,574
JPMorgan Chase & Co(2) 233,000 3.88 07/24/38 A- 222,557 257,288
JPMorgan Chase & Co(2) 288,000 3.90 01/23/49 A- 327,467 323,067
KeyCorp 599,000 2.55 10/01/29 BBB+ 597,537 584,889
Liberty Mutual Group, Inc(1) 437,000 4.57 02/01/29 BBB 444,797 487,717
Liberty Mutual Group, Inc(1) 35,000 3.95 10/15/50 BBB 35,872 36,284
Lincoln National Corp 522,000 3.05 01/15/30 A- 521,483 524,565
MDGH - GMTN BV(1) 363,000 2.88 11/07/29 359,132 366,091
Mid-America Apartments LP 164,000 4.30 10/15/23 BBB+ 167,945 175,394
Mid-America Apartments LP 383,000 3.75 06/15/24 BBB+ 384,552 403,692
Mid-America Apartments LP 196,000 4.00 11/15/25 BBB+ 195,898 211,958
Mid-America Apartments LP 109,000 3.60 06/01/27 BBB+ 108,983 115,559
Mid-America Apartments LP 161,000 3.95 03/15/29 BBB+ 169,426 175,637
Mizuho Financial Group, Inc(2) 413,000 2.72 07/16/23 A- 416,835 417,767
Mizuho Financial Group, Inc(2) 249,000 3.15 07/16/30 A- 252,895 254,194
Morgan Stanley 627,000 2.63 11/17/21 BBB+ 627,419 634,328
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 37
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Morgan Stanley(2) 75,000 3.97 % 07/22/38 BBB+ $ 80,604 $ 83,119
Morgan Stanley(2) 147,000 4.46 04/22/39 BBB+ 152,957 172,898
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
Prudential Financial, Inc 270,000 4.35 02/25/50 A 283,826 310,268
Prudential Financial, Inc 99,000 3.70 03/13/51 A 98,728 103,855
Regency Centers LP 347,000 2.95 09/15/29 BBB+ 347,428 346,285
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
Spirit Realty LP 193,000 3.40 01/15/30 BBB 192,726 193,730
State Street Corp(2) 587,000 2.35 11/01/25 A 587,891 589,019
STORE Capital Corp 603,000 4.50 03/15/28 BBB 600,440 659,057
STORE Capital Corp 117,000 4.63 03/15/29 BBB 116,651 129,708
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
Burlington Northern Santa Fe LLC 88,000 4.90 04/01/44 A+ 97,591 109,430
Burlington Northern Santa Fe LLC 263,000 3.55 02/15/50 A+ 284,534 276,174
Caterpillar Financial Services Corp 419,000 2.15 11/08/24 A 419,172 420,279
Caterpillar, Inc 189,000 2.60 09/19/29 A 189,430 190,614
Caterpillar, Inc 219,000 3.25 09/19/49 A 219,000 219,129
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
General Electric Co 76,000 2.70 10/09/22 BBB+ 75,419 77,010
General Electric Co 280,000 5.88 01/14/38 BBB+ 332,516 338,760
Lockheed Martin Corp 164,000 4.07 12/15/42 A- 163,232 187,519
Northrop Grumman Corp 506,000 2.55 10/15/22 BBB 506,337 513,401
Northrop Grumman Corp 467,000 3.25 08/01/23 BBB 468,324 486,558
Northrop Grumman Corp 22,000 2.93 01/15/25 BBB 21,189 22,665
Northrop Grumman Corp 285,000 3.25 01/15/28 BBB 295,482 297,071
Northrop Grumman Corp 163,000 4.03 10/15/47 BBB 183,232 181,758
Packaging Corp of America 254,000 3.00 12/15/29 BBB 254,510 254,923
Union Pacific Corp 283,000 2.95 03/01/22 A- 282,989 289,083
Union Pacific Corp 134,000 3.15 03/01/24 A- 134,226 139,401
Union Pacific Corp 42,000 4.30 03/01/49 A- 42,091 48,376
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 38
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
United Technologies Corp 292,000 3.10 % 06/01/22 BBB+ $ 299,859 $ 299,349
United Technologies Corp 869,000 3.65 08/16/23 BBB+ 885,810 915,432
United Technologies Corp 214,000 2.80 05/04/24 BBB+ 220,036 219,815
United Technologies Corp 224,000 3.95 08/16/25 BBB+ 223,983 244,166
United Technologies Corp 138,000 4.13 11/16/28 BBB+ 138,908 155,327
United Technologies Corp 209,000 4.45 11/16/38 BBB+ 208,273 246,864
United Technologies Corp 227,000 4.63 11/16/48 BBB+ 279,026 283,555 ____________________________________ ____________________________________
Total Industrial 8,995,944 9,275,537 ____________________________________ ____________________________________
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
Broadcom Corp / Broadcom Cayman
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
International Business Machines Corp 269,000 3.30 05/15/26 A 268,834 283,476
International Business Machines Corp 115,000 4.15 05/15/39 A 117,827 129,390
International Business Machines Corp 156,000 4.25 05/15/49 A 160,669 178,003
Micron Technology, Inc 215,000 4.66 02/15/30 BBB- 226,678 236,549
Microsoft Corp 256,000 4.10 02/06/37 AAA 256,975 301,997
Microsoft Corp 77,000 3.70 08/08/46 AAA 77,379 86,819
Microsoft Corp 100,000 4.25 02/06/47 AAA 109,684 122,314
Microsoft Corp 206,000 4.00 02/12/55 AAA 201,026 243,350
Microsoft Corp 189,000 4.50 02/06/57 AAA 195,800 244,227
NXP BV / NXP Funding LLC / NXP
USA, Inc(1) 461,000 3.88 06/18/26 BBB- 464,968 488,493
NXP BV / NXP Funding LLC / NXP
USA, Inc(1) 53,000 4.30 06/18/29 BBB- 57,030 57,235 ____________________________________ ____________________________________
Total Technology 6,976,923 7,337,538 ____________________________________ ____________________________________
Utilities: 2.15%
Alabama Power Co 392,000 3.45 10/01/49 A 393,692 400,800
Black Hills Corp 428,000 3.05 10/15/29 BBB+ 430,185 425,832
Black Hills Corp 145,000 3.88 10/15/49 BBB+ 148,946 144,428
CenterPoint Energy Resources Corp 229,000 4.10 09/01/47 BBB+ 245,765 239,572
CenterPoint Energy, Inc 32,000 2.50 09/01/22 BBB 31,107 32,250
CenterPoint Energy, Inc 349,000 2.50 09/01/24 BBB 348,541 349,189
CenterPoint Energy, Inc 232,000 4.25 11/01/28 BBB 236,887 251,613
Consolidated Edison Co of New York,
Inc 143,000 3.88 06/15/47 A- 156,466 154,569
Dominion Energy, Inc 225,000 2.00 08/15/21 BBB 225,127 224,862
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 39
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Edison International 161,000 5.75 06/15/27 BBB- 179,491 180,577
Edison International 75,000 4.13 03/15/28 BBB- 78,245 76,867
Enel Finance International NV(1) 213,000 3.50 04/06/28 BBB+ 215,167 217,777
Enel Finance International NV(1) 218,000 6.00 10/07/39 BBB+ 260,798 274,041
Enel Finance International NV(1) 505,000 4.63 09/14/25 BBB+ 549,936 550,523
Enel Finance International NV(1) 200,000 4.88 06/14/29 BBB+ 226,380 225,522
Enel Finance International NV(1) 200,000 4.75 05/25/47 BBB+ 225,998 224,581
Eversource Energy 77,000 3.15 01/15/25 BBB+ 79,668 79,395
FirstEnergy Corp 70,000 2.85 07/15/22 BBB- 70,858 71,109
FirstEnergy Corp 407,000 4.25 03/15/23 BBB- 420,752 428,858
FirstEnergy Corp 299,000 3.90 07/15/27 BBB- 319,620 319,470
FirstEnergy Corp 62,000 4.85 07/15/47 BBB- 65,050 73,535
Interstate Power & Light Co 150,000 3.50 09/30/49 A- 151,091 146,672
ITC Holdings Corp 323,000 2.70 11/15/22 BBB+ 328,494 326,862
Jersey Central Power & Light Co(1) 139,000 4.30 01/15/26 BBB 151,404 151,214
Metropolitan Edison Co(1) 252,000 4.30 01/15/29 BBB 258,584 280,602
Mid-Atlantic Interstate Transmission
LLC(1) 315,000 4.10 05/15/28 BBB 315,560 344,334
Mississippi Power Co 392,000 3.95 03/30/28 A- 384,711 426,574
Mississippi Power Co 236,000 4.25 03/15/42 A- 243,330 253,067
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
PPL Capital Funding, Inc 46,000 3.40 06/01/23 BBB+ 46,209 47,465
PPL Capital Funding, Inc 411,000 3.10 05/15/26 BBB+ 411,974 418,750
PPL Capital Funding, Inc 46,000 4.70 06/01/43 BBB+ 49,134 51,302
PPL Capital Funding, Inc 212,000 5.00 03/15/44 BBB+ 235,647 243,465
PPL Capital Funding, Inc 55,000 4.00 09/15/47 BBB+ 51,583 56,149
Southern California Edison Co 163,000 2.85 08/01/29 A- 162,768 162,610
Southern California Edison Co 23,000 6.00 01/15/34 A- 27,828 28,278
Southern California Edison Co 45,000 5.55 01/15/37 A- 52,722 54,271
Southern California Edison Co 88,000 5.95 02/01/38 A- 106,627 111,388
Southern California Edison Co 77,000 4.65 10/01/43 A- 78,322 87,122
Southern California Edison Co 147,000 4.00 04/01/47 A- 152,805 154,286
Southern California Edison Co 258,000 4.13 03/01/48 A- 246,475 274,804
Virginia Electric & Power Co 231,000 3.30 12/01/49 BBB+ 230,565 232,423 ____________________________________ ____________________________________
Total Utilities 9,711,315 9,907,878 ____________________________________ ____________________________________
Total Corporate Bonds 112,623,987 116,654,429 ____________________________________ ____________________________________
Foreign Government Bonds: 0.59%
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%
Mexico Government International
Bond 940,000 4.50 04/22/29 BBB+ 961,124 1,030,710
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 40
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Foreign Government Bonds (Continued)
Mexico Government International
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 ____________________________________ ____________________________________
United Arab Emirates: 0.17%
Abu Dhabi Government International
Bond(1) 248,000 2.13 09/30/24 AA 246,815 247,145
Abu Dhabi Government International
Bond(1) 325,000 2.50 09/30/29 AA 323,388 323,781
Abu Dhabi Government International
Bond(1) 226,000 3.13 09/30/49 AA 220,701 220,350 ____________________________________ ____________________________________
Total United Arab Emirates 790,904 791,276 ____________________________________ ____________________________________
Total Foreign Government Bonds 2,590,148 2,711,413 ____________________________________ ____________________________________
Government/Agency Bonds: 61.63%
Federal Agencies: 35.24%
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 41
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 42
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 43
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 44
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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 ____________________________________ ____________________________________
Total Federal Agencies 160,321,684 161,884,196 ____________________________________ ____________________________________
US Government Notes & Bonds: 26.39%
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 45
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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 ____________________________________ ____________________________________
Total US Government Notes & Bonds 121,391,087 121,224,315 ____________________________________ ____________________________________
Total Government/Agency Bonds 281,712,771 283,108,511 ____________________________________ ____________________________________
Corporate Asset-Backed Securities: 10.20%
Avis Budget Rental Car Funding
AESOP LLC(1) 121,000 3.07 09/20/23 119,241 123,022
Avis Budget Rental Car Funding
AESOP LLC(1) 678,000 3.35 09/22/25 677,786 698,874
Avis Budget Rental Car Funding
AESOP LLC(1) 976,000 2.36 03/20/26 975,984 966,560
College Ave Student Loans 2019-A
LLC(1) 191,636 3.28 12/28/48 AA 191,567 189,628
College Ave Student Loans 2017-A
LLC(1)(2) 279,092 3.44 11/26/46 BBB 280,042 278,522
College Ave Student Loans 2018-A
LLC(1) 200,269 4.13 12/26/47 A 204,477 207,459
Ford Credit Auto Owner Trust 2017-
REV1(1) 439,000 2.62 08/15/28 AAA 438,507 443,922
Ford Credit Auto Owner Trust 2017-
REV2(1) 904,000 2.36 03/15/29 886,045 909,365
Ford Credit Auto Owner Trust 2018-
REV1(1) 1,192,000 3.19 07/15/31 AAA 1,190,633 1,238,286
Ford Credit Auto Owner Trust 2018-
REV2(1) 484,000 3.47 01/15/30 488,788 505,086
Ford Credit Auto Owner Trust 2019-
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 46
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Asset-Backed Securities (Continued)
Hertz Vehicle Financing II LP(1) 403,000 2.67 % 09/25/21 $ 401,208 $ 404,109
Hertz Vehicle Financing II LP(1) 364,000 2.96 10/25/21 361,787 365,850
Hertz Vehicle Financing II LP(1) 511,000 2.95 03/25/22 511,352 514,746
Hertz Vehicle Financing II LP(1) 674,000 3.71 03/25/23 673,902 691,343
Hertz Vehicle Financing II LP(1) 331,000 3.29 10/25/23 330,170 338,195
Hertz Vehicle Financing II LP(1) 365,000 3.29 02/25/24 373,094 373,362
Hertz Vehicle Financing II LP(1) 637,000 3.42 05/25/25 636,831 656,062
Hertz Vehicle Financing II LP(1) 763,000 2.67 12/26/25 762,996 760,293
Hertz Vehicle Financing LLC 2018-
2(1) 401,000 3.65 06/27/22 400,999 408,438
Hertz Vehicle Financing LLC 2018-
3(1) 446,000 4.03 07/25/24 445,970 466,376
Navient Private Education Loan Trust
2014-A(1)(2) 581,000 3.34 10/15/31 AAA 587,845 592,399
Navient Private Education Loan Trust
2014-CT(1)(2) 41,083 2.44 09/16/24 AAA 40,879 41,081
Navient Private Education Loan Trust
2016-A(1)(2) 208,008 3.89 12/15/45 215,318 215,038
Navient Private Education Loan Trust
2018-B(1) 351,000 3.61 12/15/59 AAA 352,238 361,390
Navient Private Education Refi Loan
Trust 2018-A(1) 176,000 3.19 02/18/42 AAA 175,923 177,044
Navient Private Education Refi Loan
Trust 2018-C(1) 184,000 3.52 06/16/42 AAA 183,983 186,845
Navient Private Education Refi Loan
Trust 2018-D(1) 478,000 4.00 12/15/59 AAA 498,637 493,215
Navient Private Education Refi Loan
Trust 2019-A(1) 941,000 3.42 01/15/43 AAA 940,597 958,336
Navient Private Education Refi Loan
Trust 2019-C(1) 969,000 3.13 02/15/68 AAA 974,083 973,424
Navient Private Education Refi Loan
Trust 2019-D(1) 790,000 3.01 12/15/59 AAA 789,653 797,946
Navient Private Education Refi Loan
Trust 2019-F(1) 947,000 2.60 08/15/68 AAA 946,658 944,828
Navient Private Education Refi Loan
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
Navient Student Loan Trust 2016-
1(1)(2) 557,526 2.50 02/25/70 AA+ 552,400 549,144
Navient Student Loan Trust 2016-
3(1)(2) 91,149 2.64 06/25/65 AAA 92,030 91,252
Navient Student Loan Trust 2016-
5(1)(2) 596,296 3.04 06/25/65 601,570 602,082
Navient Student Loan Trust 2017-
5(1)(2) 290,477 2.59 07/26/66 291,134 285,479
Navient Student Loan Trust 2018-
EA(1) 494,000 4.00 12/15/59 AAA 493,936 511,280
Navient Student Loan Trust 2019-
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
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 47
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Asset-Backed Securities (Continued)
Nelnet Student Loan Trust 2004-3(2) 220,565 2.12 % 10/27/36 AA+ $ 216,136 $ 213,828
Nelnet Student Loan Trust 2004-4(2) 542,194 2.10 01/25/37 AA+ 534,489 529,687
Nelnet Student Loan Trust 2005-1(2) 1,822,851 2.05 10/25/33 AA+ 1,789,268 1,773,067
Nelnet Student Loan Trust 2005-2(2) 1,598,027 2.03 03/23/37 AA+ 1,571,064 1,549,721
Nelnet Student Loan Trust 2005-3(2) 1,194,996 2.05 12/24/35 AA+ 1,177,890 1,171,582
Nelnet Student Loan Trust 2005-4(2) 207,100 2.11 03/22/32 AA+ 198,858 198,588
Nelnet Student Loan Trust 2006-3(2) 49,822 2.21 03/25/27 AAA 49,215 49,447
Nelnet Student Loan Trust 2012-2(1)(2) 209,050 2.59 12/26/33 208,244 207,562
Nelnet Student Loan Trust 2012-4(1)(2) 384,304 2.49 09/27/38 387,010 380,887
Nelnet Student Loan Trust 2013-1(1)(2) 297,844 2.39 06/25/41 295,677 290,926
Nelnet Student Loan Trust 2014-1(1)(2) 153,896 2.36 09/25/41 154,097 151,079
Nelnet Student Loan Trust 2016-1(1)(2) 539,642 2.59 09/25/65 542,571 538,888
Nelnet Student Loan Trust 2017-2(1)(2) 325,130 2.56 09/25/65 AA+ 323,701 319,693
SLC Student Loan Trust 2005-2(2) 420,000 2.05 12/15/39 AA+ 404,198 396,993
SLC Student Loan Trust 2007-1(2) 323,000 2.00 02/15/68 AA+ 303,600 298,489
SLC Student Loan Trust 2008-1(2) 279,461 3.49 12/15/32 AAA 284,257 283,090
SLC Student Loan Trust 2010-1(2) 195,765 2.78 11/25/42 AAA 198,427 196,027
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
SLM Student Loan Trust 2007-2(2) 990,016 2.00 07/25/22 B 976,906 962,150
SLM Student Loan Trust 2010-1(2) 320,226 2.19 03/25/25 B 319,809 309,019
SLM Student Loan Trust 2012-1(2) 865,692 2.74 09/25/28 865,782 850,208
SLM Student Loan Trust 2012-2(2) 736,713 2.49 01/25/29 728,800 717,652
SLM Student Loan Trust 2012-6(2) 201,789 2.54 05/26/26 202,529 199,816
SMB Private Education Loan Trust
2015-A(1)(2) 359,077 2.74 06/15/27 AAA 359,166 359,860
SMB Private Education Loan Trust
2015-C(1)(2) 108,876 3.14 07/15/27 AAA 108,540 109,634
SMB Private Education Loan Trust
2016-A(1) 551,696 2.70 05/15/31 551,404 552,831
SMB Private Education Loan Trust
2016-A(1)(2) 902,170 3.24 05/15/31 909,820 910,398
SMB Private Education Loan Trust
2016-B(1) 286,727 2.43 02/17/32 284,427 285,002
SMB Private Education Loan Trust
2016-B(1)(2) 901,853 3.19 02/17/32 908,897 908,723
SMB Private Education Loan Trust
2016-C(1)(2) 288,619 2.84 09/15/34 AAA 288,718 289,211
SMB Private Education Loan Trust
2017-A(1)(2) 320,585 2.64 09/15/34 AAA 321,021 320,293
SMB Private Education Loan Trust
2017-B(1)(2) 616,846 2.49 10/15/35 AAA 616,935 614,527
SMB Private Education Loan Trust
2017-B(1) 481,051 2.82 10/15/35 AAA 488,688 481,792
SMB Private Education Loan Trust
2018-C(1) 315,000 3.63 11/15/35 AAA 326,250 327,527
SMB Private Education Loan Trust
2019-A(1) 1,268,000 3.44 07/15/36 AAA 1,280,897 1,287,030
Sofi Professional Loan Program 2016-
A LLC(1) 206,283 2.76 12/26/36 208,911 206,924
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 48
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Asset-Backed Securities (Continued)
SoFi Professional Loan Program
2016-D LLC(1)(2) 33,908 2.74 % 01/25/39 $ 34,004 $ 34,043
Sofi Professional Loan Program 2016-
E LLC(1)(2) 71,029 2.64 07/25/39 71,029 71,033
SoFi Professional Loan Program
2017-A LLC(1)(2) 71,089 2.49 03/26/40 AAA 71,089 71,194
SoFi Professional Loan Program
2017-E LLC(1)(2) 52,144 2.29 11/26/40 AAA 52,144 52,022
SoFi Professional Loan Program
2017-E LLC(1) 858,000 2.72 11/26/40 AAA 854,195 864,734
Sofi Professional Loan Program 2018-
A LLC(1) 241,000 2.95 02/25/42 AAA 244,048 243,122
Sofi Professional Loan Program 2018-
B Trust(1) 693,000 3.34 08/25/47 AAA 692,324 704,123
World Financial Network Credit Card
Master Trust 337,000 3.46 07/15/25 AAA 341,091 344,618
World Financial Network Credit Card
Master Trust 1,235,000 3.14 12/15/25 AAA 1,262,139 1,261,139 ____________________________________ ____________________________________
Total Corporate Asset-Backed
Securities 46,708,900 46,841,693 ____________________________________ ____________________________________
Corporate Mortgage-Backed Securities: 4.17%
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
CFCRE Commercial Mortgage Trust
2016-C3 82,930 1.79 01/10/48 83,531 82,714
CFCRE Commercial Mortgage Trust
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
COMM 2013-CCRE10 Mortgage
Trust(2) 20,000 4.21 08/10/46 21,192 21,276
COMM 2013-CCRE9 Mortgage
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
COMM 2014-CCRE19 Mortgage
Trust 91,169 3.50 08/10/47 94,364 93,829
COMM 2015-CCRE26 Mortgage
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
CSAIL 2015-C3 Commercial
Mortgage Trust 285,000 3.72 08/15/48 298,885 301,250
CSAIL 2015-C4 Commercial
Mortgage Trust 322,000 3.81 11/15/48 337,763 343,165
CSAIL 2019-C17 Commercial
Mortgage Trust 272,000 3.02 09/15/52 AAA 280,679 278,314
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 49
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
GS Mortgage Securities Trust 2012-
GCJ7 98,561 2.94 05/10/45 101,375 98,729
GS Mortgage Securities Trust 2014-
GC18 157,925 3.80 01/10/47 166,263 164,018
GS Mortgage Securities Trust 2015-
GC28 105,000 3.40 02/10/48 109,771 109,701
GS Mortgage Securities Trust 2015-
GC34 261,000 3.51 10/10/48 263,479 275,251
GS Mortgage Securities Trust 2017-
GS6 1,283,000 3.43 05/10/50 1,274,628 1,353,971
GS Mortgage Securities Trust 2017-
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
JPMBB Commercial Mortgage
Securities Trust 2014-C23 220,000 3.67 09/15/47 229,271 231,714
JPMBB Commercial Mortgage
Securities Trust 2015-C28 67,246 2.77 10/15/48 68,491 67,218
JPMBB Commercial Mortgage
Securities Trust 2015-C28 1,017,000 2.91 10/15/48 1,022,367 1,038,395
JPMBB Commercial Mortgage
Securities Trust 2015-C33 122,000 3.77 12/15/48 123,551 130,547
JPMDB Commercial Mortgage
Securities Trust 2017-C5 132,000 3.69 03/15/50 AAA 134,038 141,350
JPMDB Commercial Mortgage
Securities Trust 2019-COR6 820,000 3.06 11/13/52 AAA 848,708 844,078
Morgan Stanley Bank of America
Merrill Lynch Trust 2013-C10(2) 153,000 4.08 07/15/46 162,174 161,801
Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C20 59,000 3.25 02/15/48 57,596 61,201
Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C25 181,000 3.38 10/15/48 188,373 187,070
Morgan Stanley Bank of America
Merrill Lynch Trust 2015-C27 55,000 3.75 12/15/47 57,196 58,657
Morgan Stanley Bank of America
Merrill Lynch Trust 2016-C30 132,000 2.73 09/15/49 132,010 134,219
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 ____________________________________ ____________________________________
Total Corporate Mortgage-Backed
Securities 18,968,626 19,151,702 ____________________________________ ____________________________________
Municipal Bonds: 0.52%
Clark County Nevada Airport System
Revenue 290,000 6.82 07/01/45 AA- 397,909 456,941
WELLS FARGO CORE BOND II CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 50
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
North Texas Tollway Authority
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
Port Authority of New York & New
Jersey 340,000 4.46 10/01/62 AA- 351,342 416,704
State of California 65,000 7.60 11/01/40 AA- 93,033 107,296
State of Illinois 50,000 5.10 06/01/33 BBB- 48,775 53,902 ____________________________________ ____________________________________
Total Municipal Bonds 2,075,832 2,405,367 ____________________________________ ____________________________________
Shares ___________
Short-Term Investments: 0.81%
Wells Fargo/BlackRock Short Term
Investment Fund S(4) * 3,704,330 3,704,330 3,704,330 ____________________________________ ____________________________________
Total Short-Term Investments 3,704,330 3,704,330 ____________________________________ ____________________________________
Total Investments: 103.31% $ 468,384,594 $ 474,577,445 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(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.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GMTN Global Medium Term Note
GNMA Government National Mortgage Association
See accompanying notes to financial statements. 51
WELLS FARGO CORE BOND II CIT
Financial Highlights
Year ended December 31, 2019
Class E Class EF1 (1) Class EF2 (2)
Per share operating performance:
Share value, beginning of year $ 10.51 $ 10.51 $ 10.57
Income from investment operations:
Net investment income (loss)(3) 0.31 0.30 0.31
Net realized and unrealized gain (loss) on investments 0.58 0.60 0.60
Total from investment operations 0.89 0.90 0.91
Share value, end of year $ 11.40 $ 11.41 $ 11.48
Total return per share 8.47% 8.56% 8.61%
Net assets, end of year $ 15,928,829 $ 148,273,814 $ 295,166,151
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%
Portfolio Turnover Rate 430% 430% 430%
(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.
See accompanying notes to financial statements. 52
WELLS FARGO CORE BOND II CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class E Class EF1(1)
Shares Share Shares Share
outstanding valuation outstanding valuation
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
outstanding valuation
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.
See accompanying notes to financial statements. 53
WELLS FARGO DISCOVERY CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 4,072,495 $ 4,072,495
Unaffiliated investments 311,433,563 337,403,884
Dividend income 91,388
Fund shares sold 14,597
Total assets 341,582,364
Liabilities:
Payable for investment securities purchased 594,090
Fund shares repurchased 449,866
Trustee expenses 157,015
Total liabilities 1,200,971
Net assets $ 340,381,393
Class Net Assets
Shares
Outstanding Net Asset Value
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
See accompanying notes to financial statements. 54
WELLS FARGO DISCOVERY CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments (net of foreign taxes
withheld of $6,398) $ 451,691
Dividend income from affiliated short term investment 53,426
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:
Net realized gain (loss) on:
Investments 3,480,061
Foreign currency transactions (7)
Net change in unrealized appreciation (depreciation) on:
Investments 25,970,321
Net gain (loss) on investment and foreign currency transactions 29,450,375
Net change in net assets resulting from operations $ 28,991,832
See accompanying notes to financial statements. 55
WELLS FARGO DISCOVERY CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ (458,543)
Net realized gain (loss) on investments and foreign currency
transactions 3,480,054
Net change in unrealized appreciation (depreciation) of investments 25,970,321
Net increase (decrease) in net assets resulting from
operations 28,991,832
Participating share holder transactions:
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)
Net change 86,917,504
Class E2 proceeds from issuance of shares (23,469,190 shares) 237,887,914
Class E2 payments for withdrawals (2,924,833 shares) (30,895,254)
Net change 206,992,660
Class N proceeds from issuance of shares (2,622,954 shares) 26,293,577
Class N payments for withdrawals (828,334 shares) (8,814,180)
Net change 17,479,397
Change in net assets derived from share transactions 311,389,561
Total increase (decrease) in net assets 340,381,393
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.
WELLS FARGO DISCOVERY CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 56
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
WELLS FARGO DISCOVERY CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 57
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 ____________________________________ ____________________________________
WELLS FARGO DISCOVERY CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 58
Shares Cost
Fair
Value ___________ ____________ ______________
Short-Term Investments: 1.20%
Wells Fargo/BlackRock Short Term
Investment Fund S (1) 4,072,495 $ 4,072,495 $ 4,072,495 ____________________________________ ____________________________________
Total Short-Term Investments 4,072,495 4,072,495 ____________________________________ ____________________________________
Total Investments: 100.32% $ 315,506,058 $ 341,476,379 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(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
See accompanying notes to financial statements. 59
WELLS FARGO DISCOVERY CIT
Financial Highlights
Year ended December 31, 2019
Class E1 (1) Class E2 (2) Class N (3)
Per share operating performance:
Share value, beginning of year $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (loss)(4) (0.02) (0.02) (0.02)
Net realized and unrealized gain (loss) on investments 0.99 1.15 1.02
Total from investment operations 0.97 1.13 1.00
Share value, end of year $ 10.97 $ 11.13 $ 11.00
Total return per share(5) 9.70% 11.30% 9.99%
Net assets, end of year $ 92,034,000 $ 228,608,555 $ 19,738,838
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)%
Portfolio Turnover Rate 55% 55% 55%
(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.
See accompanying notes to financial statements. 60
WELLS FARGO DISCOVERY CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class E1(1) Class E2(2)
Shares Share Shares Share
outstanding valuation outstanding valuation
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
outstanding valuation
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.
See accompanying notes to financial statements. 61
WELLS FARGO EMERGING MARKETS EQUITY CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 57,665,940 $ 57,665,940
Unaffiliated investments 496,559,198 550,175,140
Foreign currency, at value (cost $2,789,258) 2,792,410
Dividend income 636,893
Fund shares sold 56,423
Total assets 611,326,806
Liabilities:
Fund shares repurchased 7,577,679
Payable for investment securities purchased 7,159,085
Trustee expenses 222,232
Total liabilities 14,958,996
Net assets $ 596,367,810
Class Net Assets
Shares
Outstanding Net Asset Value
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
See accompanying notes to financial statements. 62
WELLS FARGO EMERGING MARKETS EQUITY CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments (net of foreign taxes
withheld of $240,284) $ 2,130,638
Dividend income from affiliated short term investment 434,330
Interest income 82
Total income 2,565,050
Expenses:
Administration, Advisory, and/or Trustee Fees 850,500
Total expenses 850,500
Net investment income (loss) 1,714,550
Realized and unrealized gain (loss) on investment and foreign
currency transactions:
Net realized gain (loss) on:
Investments 52,842
Foreign currency transactions (147,665)
Net change in unrealized appreciation (depreciation) on:
Investments 53,615,942
Foreign currency translation of other assets and liabilities 3,590
Net gain (loss) on investments and foreign currency transactions 53,524,709
Net change in net assets resulting from operations $ 55,239,259
See accompanying notes to financial statements. 63
WELLS FARGO EMERGING MARKETS EQUITY CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 1,714,550
Net realized gain (loss) on investments and foreign currency
transactions (94,823)
Net change in unrealized appreciation (depreciation) of investments
and foreign currency translation of other assets and liabilities 53,619,532
Net increase (decrease) in net assets resulting from
operations 55,239,259
Participating share holder transactions:
Class E1 proceeds from issuance of shares (5,118,891 shares) 53,418,148
Net change 53,418,148
Class E2 proceeds from issuance of shares (6,098,077 shares) 62,207,335
Class E2 payments for withdrawals (95,945 shares) (1,026,977)
Net change 61,180,358
Class G1 proceeds from issuance of shares (18,724,340 shares) 191,018,911
Net change 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 change 235,511,134
Change in net assets derived from share transactions 541,128,551
Total increase (decrease) in net assets 596,367,810
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.
WELLS FARGO EMERGING MARKETS EQUITY CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 64
Shares Cost
Fair
Value ___________ ____________ ______________
Equities: 89.74%
Communication Services: 17.13%
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 ____________________________________ ____________________________________
Total Communication Services 92,944,317 102,129,249 ____________________________________ ____________________________________
Consumer Discretionary: 16.16%
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 ____________________________________ ____________________________________
Total Consumer Discretionary 83,076,320 96,394,576 ____________________________________ ____________________________________
Consumer Staples: 16.62%
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
WELLS FARGO EMERGING MARKETS EQUITY CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 65
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Consumer Staples 94,855,900 99,142,817 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
WELLS FARGO EMERGING MARKETS EQUITY CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 66
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Health Care 6,347,207 7,361,061 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Industrials 14,132,935 15,210,832 ____________________________________ ____________________________________
Information Technology: 12.92%
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 ____________________________________ ____________________________________
Total Information Technology 62,093,632 77,052,392 ____________________________________ ____________________________________
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 Real Estate 8,189,847 8,785,560 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
WELLS FARGO EMERGING MARKETS EQUITY CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 67
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 ______________________________________ ______________________________________
Short-Term Investments: 9.67%
Wells Fargo/BlackRock Short Term
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%
See accompanying notes to financial statements. 68
WELLS FARGO EMERGING MARKETS EQUITY CIT
Financial Highlights
Year ended December 31, 2019
Class E1 (1) Class E2 (2) Class G1 (3) Class MD (4)
Per share operating performance:
Share value, beginning of year $ 10.00 $ 10.00 $ 10.19 $ 10.00
Income from investment operations:
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%
See accompanying notes to financial statements. 69
WELLS FARGO EMERGING MARKETS EQUITY CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class E1(1) Class E2(2)
Shares Share Shares Share
outstanding valuation outstanding valuation
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)
Shares Share Shares Share
outstanding valuation outstanding valuation
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.
See accompanying notes to financial statements. 70
WELLS FARGO ENHANCED STOCK MARKET CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 947,649 $ 947,649
Unaffiliated investments 336,113,309 475,734,834
Cash 3,775
Receivable for investment securities sold 1,486,285
Dividend income 561,617
Fund shares sold 343,534
Total assets 479,077,694
Liabilities:
Fund shares repurchased 513,588
Trustee expenses 59,099
Total liabilities 572,687
Net assets $ 478,505,007
Class Net Assets
Shares
Outstanding Net Asset Value
F $ 56,695,534 3,831,358 $ 14.80
N $ 421,809,473 1,408,282 $ 299.52
See accompanying notes to financial statements. 71
WELLS FARGO ENHANCED STOCK MARKET CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments (net of foreign taxes
withheld of $1,197) $ 10,788,788
Dividend income from affiliated short term investment 76,627
Total income 10,865,415
Expenses:
Administration, Advisory, and/or Trustee Fees 818,892
Total expenses 818,892
Net investment income (loss) 10,046,523
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 51,620,644
Net change in unrealized appreciation (depreciation) on:
Investments 67,533,241
Net gain (loss) on investments 119,153,885
Net change in net assets resulting from operations $ 129,200,408
See accompanying notes to financial statements. 72
WELLS FARGO ENHANCED STOCK MARKET CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 10,046,523
Net realized gain (loss) on investments 51,620,644
Net change in unrealized appreciation (depreciation) of investments 67,533,241
Net increase (decrease) in net assets resulting from
operations 129,200,408
Participating share holder transactions:
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)
Net change (7,304,693)
Class N proceeds from issuance of shares (179,182 shares) 47,673,850
Class N payments for withdrawals (376,370 shares) (98,978,143)
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)
Total increase (decrease) in net assets 10,285,167
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.
WELLS FARGO ENHANCED STOCK MARKET CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 73
Shares Cost
Fair
Value ____________ _____________ ______________
Equities: 98.77%
Communication Services: 10.96%
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 ____________________________________ ____________________________________
Total Communication Services 30,571,704 52,451,057 ____________________________________ ____________________________________
Consumer Discretionary: 9.50%
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 ____________________________________ ____________________________________
Total Consumer Discretionary 32,279,526 45,465,903 ____________________________________ ____________________________________
Consumer Staples: 7.23%
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
WELLS FARGO ENHANCED STOCK MARKET CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 74
Shares Cost
Fair
Value ____________ _____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Consumer Staples 27,578,602 34,620,277 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Financials 48,082,993 59,779,703 ____________________________________ ____________________________________
WELLS FARGO ENHANCED STOCK MARKET CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 75
Shares Cost
Fair
Value ____________ _____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Health Care 52,690,954 69,038,421 ____________________________________ ____________________________________
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
WELLS FARGO ENHANCED STOCK MARKET CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 76
Shares Cost
Fair
Value ____________ _____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Industrials 36,086,532 41,096,715 ____________________________________ ____________________________________
Information Technology: 22.34%
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 ____________________________________ ____________________________________
Total Information Technology 49,703,040 106,896,484 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
WELLS FARGO ENHANCED STOCK MARKET CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 77
Shares Cost
Fair
Value ____________ _____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Real Estate 12,266,275 16,231,050 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Exchange Traded Funds: 0.65%
SPDR S&P 500 ETF Trust 9,600 3,104,738 3,089,856 ____________________________________ ____________________________________
Total Exchange Traded Funds 3,104,738 3,089,856 ____________________________________ ____________________________________
Short-Term Investments: 0.20%
Wells Fargo/BlackRock Short Term
Investment Fund S (1) 947,649 947,649 947,649 ____________________________________ ____________________________________
Total Short-Term Investments 947,649 947,649 ____________________________________ ____________________________________
Total Investments: 99.62% $ 337,060,958 $ 476,682,483 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(1) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds
approximately 0.02% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
REIT Real Estate Investment Trust
See accompanying notes to financial statements. 78
WELLS FARGO ENHANCED STOCK MARKET CIT
Financial Highlights
Year ended December 31, 2019
Class F Class N Class N20 (1)
Per share operating performance:
Share value, beginning of year $ 11.37 $ 230.17 $ 24.09
Income from investment operations:
Net investment income (loss)(2) 0.27 5.45 0.42
Net realized and unrealized gain (loss) on investments 3.16 63.90 5.22
Total from investment operations 3.43 69.35 5.64
Share value, end of year $ 14.80 $ 299.52 $ 29.73
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)
Portfolio Turnover Rate 62% 62% 62%
(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.
See accompanying notes to financial statements. 79
WELLS FARGO ENHANCED STOCK MARKET CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class F Class N
Shares Share Shares Share
outstanding valuation outstanding valuation
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
outstanding valuation
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.
See accompanying notes to financial statements. 80
WELLS FARGO GROWTH CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 285,482 $ 285,482
Unaffiliated investments 89,260,900 117,624,803
Receivable for investment securities sold 342,129
Fund shares sold 30,918
Dividend income 23,414
Total assets 118,306,746
Liabilities:
Payable for investment securities purchased 270,832
Fund shares repurchased 50,749
Trustee expenses 49,579
Total liabilities 371,160
Net assets $ 117,935,586
Class Net Assets
Shares
Outstanding Net Asset Value
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
See accompanying notes to financial statements. 81
WELLS FARGO GROWTH CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments $ 672,484
Dividend income from affiliated short term investment 19,808
Total income 692,292
Expenses:
Administration, Advisory, and/or Trustee Fees 532,646
Total expenses 532,646
Net investment income (loss) 159,646
Realized and unrealized gain (loss) on investment and foreign
currency transactions:
Net realized gain (loss) on:
Investments 4,247,325
Foreign currency transactions (29)
Net change in unrealized appreciation (depreciation) on:
Investments 29,111,231
Net gain (loss) on investments and foreign currency transactions 33,358,527
Net change in net assets resulting from operations $ 33,518,173
See accompanying notes to financial statements. 82
WELLS FARGO GROWTH CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 159,646
Net realized gain (loss) on investments and foreign currency
transactions 4,247,296
Net change in unrealized appreciation (depreciation) of investments 29,111,231
Net increase (decrease) in net assets resulting from
operations 33,518,173
Participating share holder transactions:
Class F proceeds from issuance of shares (133,630 shares) 3,097,038
Class F payments for withdrawals (476,228 shares) (10,906,687)
Net change (7,809,649)
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 change 10,170,961
Change in net assets derived from share transactions (8,872,831)
Total increase (decrease) in net assets 24,645,342
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.
WELLS FARGO GROWTH CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 83
Shares Cost
Fair
Value ___________ ____________ ______________
Equities: 99.74%
Communication Services: 10.12%
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 ____________________________________ ____________________________________
Total Communication Services 10,058,299 11,930,676 ____________________________________ ____________________________________
Consumer Discretionary: 17.13%
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 ____________________________________ ____________________________________
Total Consumer Discretionary 16,389,984 20,205,386 ____________________________________ ____________________________________
Consumer Staples: 2.05%
Coca-Cola Co 23,775 1,067,434 1,315,946
Estee Lauder Cos, Inc Cl-A 5,325 666,248 1,099,826 ____________________________________ ____________________________________
Total Consumer Staples 1,733,682 2,415,772 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Financials 3,991,831 5,352,795 ____________________________________ ____________________________________
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
WELLS FARGO GROWTH CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 84
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Health Care 8,506,588 12,266,820 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Industrials 11,328,688 14,442,996 ____________________________________ ____________________________________
Information Technology: 41.61%
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
Mastercard, Inc Cl-A 13,410 2,244,328 4,004,092
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
WELLS FARGO GROWTH CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 85
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Information Technology 35,552,702 49,080,065 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Short-Term Investments: 0.24%
Wells Fargo/BlackRock Short Term
Investment Fund S (1) 285,482 285,482 285,482 ____________________________________ ____________________________________
Total Short-Term Investments 285,482 285,482 ____________________________________ ____________________________________
Total Investments: 99.98% $ 89,546,382 $ 117,910,285 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(1) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds
approximately 0.005% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
ADR American Depositary Receipt
See accompanying notes to financial statements. 86
WELLS FARGO GROWTH CIT
Financial Highlights
Year ended December 31, 2019
Class F Class E2 Class E (1)
Per share operating performance:
Share value, beginning of year $ 18.52 $ 8.54 $ 10.00
Income from investment operations:
Net investment income (loss)(2) 0.04 0.01 0.00 (3)
Net realized and unrealized gain (loss) on investments 6.95 3.20 0.91
Total from investment operations 6.99 3.21 0.91
Share value, end of year $ 25.51 $ 11.75 $ 10.91
Total return per share 37.71% 37.67% 9.14% (4)
Net assets, end of year $ 42,612,420 $ 64,222,360 $ 11,100,806
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)
Portfolio Turnover Rate 40% 40% 40%
(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.
See accompanying notes to financial statements. 87
WELLS FARGO GROWTH CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class F Class E2
Shares Share Shares Share
outstanding valuation outstanding valuation
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
outstanding valuation
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.
See accompanying notes to financial statements. 88
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 4,453,738 $ 4,453,738
Unaffiliated investments 111,041,172 143,203,125
Dividend income 246,664
Fund shares sold 46,588
Total assets 147,950,115
Liabilities:
Trustee expenses 49,433
Total liabilities 49,433
Net assets $ 147,900,682
Class E2 Shares outstanding 2,121,228
Class E2 Share value $ 69.72
See accompanying notes to financial statements. 89
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments (net of foreign taxes
withheld of $2,641) $ 2,528,487
Dividend income from affiliated short term investment 68,704
Total income 2,597,191
Expenses:
Administration, Advisory, and/or Trustee Fees 526,593
Total expenses 526,593
Net investment income (loss) 2,070,598
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 5,274,158
Net change in unrealized appreciation (depreciation) on:
Investments 25,639,915
Net gain (loss) on investments 30,914,073
Net change in net assets resulting from operations $ 32,984,671
See accompanying notes to financial statements. 90
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 2,070,598
Net realized gain (loss) on investments 5,274,158
Net change in unrealized appreciation (depreciation) of investments 25,639,915
Net increase (decrease) in net assets resulting from
operations 32,984,671
Participating share holder transactions:
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 change 9,040,021
Change in net assets derived from share transactions 9,040,021
Total increase (decrease) in net assets 42,024,692
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.
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 91
Shares Cost
Fair
Value ___________ ____________ ______________
Equities: 96.83%
Communication Services: 12.30%
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 ____________________________________ ____________________________________
Total Communication Services 12,999,193 18,196,796 ____________________________________ ____________________________________
Consumer Discretionary: 5.03%
Advance Auto Parts, Inc 26,900 3,756,372 4,308,304
Dollar Tree, Inc 33,300 2,899,630 3,131,865 ____________________________________ ____________________________________
Total Consumer Discretionary 6,656,002 7,440,169 ____________________________________ ____________________________________
Consumer Staples: 8.03%
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 ____________________________________ ____________________________________
Total Consumer Staples 10,271,672 11,873,677 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Financials 26,119,646 31,698,955 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Health Care 16,411,178 21,154,810 ____________________________________ ____________________________________
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
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 92
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
United Parcel Service, Inc Cl-B 23,500 $ 2,266,728 $ 2,750,910 ____________________________________ ____________________________________
Total Industrials 11,167,353 14,778,266 ____________________________________ ____________________________________
Information Technology: 13.34%
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 ____________________________________ ____________________________________
Total Information Technology 10,230,436 19,721,230 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Short-Term Investments: 3.01%
Wells Fargo/BlackRock Short Term
Investment Fund S (1) 4,453,738 4,453,738 4,453,738 ____________________________________ ____________________________________
Total Short-Term Investments 4,453,738 4,453,738 ____________________________________ ____________________________________
Total Investments: 99.84% $ 115,494,910 $ 147,656,863 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(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
See accompanying notes to financial statements. 93
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Financial Highlights
Year ended December 31, 2019
Class E2 (1)
Per share operating performance:
Share value, beginning of year $ 53.62
Income from investment operations:
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
See accompanying notes to financial statements. 94
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class E2(1)
Shares Share
outstanding valuation
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.
See accompanying notes to financial statements. 95
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 24,801,567 $ 24,801,567
Unaffiliated investments 1,242,315,956 1,304,428,991
Accrued interest income 12,176,453
Fund shares sold 2,819,020
Receivable for investment securities sold 2,031,171
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
Payable for investment securities purchased 3,422,853
Trustee expenses 181,632
Total liabilities 3,609,421
Net assets $ 1,344,139,425
Shares outstanding 79,966,845
Share value $ 16.81
See accompanying notes to financial statements. 96
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Statement of Operations
Year ended December 31, 2019
Investment income:
Interest income (net of foreign taxes withheld of $5,291) $ 48,001,489
Dividend income from affiliated short term investment 352,092
Total income 48,353,581
Expenses:
Administration, Advisory, and/or Trustee Fees 2,125,694
Total expenses 2,125,694
Net investment income (loss) 46,227,887
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 39,653,604
Futures contracts (10,247,153)
Net change in unrealized appreciation (depreciation) on:
Investments 88,817,798
Futures contracts 3,359,751
Net gain (loss) on investment transactions 121,584,000
Net change in net assets resulting from operations $ 167,811,887
See accompanying notes to financial statements. 97
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 46,227,887
Net realized gain (loss) on investment transactions 29,406,451
Net change in unrealized appreciation (depreciation) of investments 92,177,549
Net increase (decrease) in net assets resulting from
operations 167,811,887
Participating share holder transactions:
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)
Change in net assets derived from share transactions (17,354,487)
Total increase (decrease) in net assets 150,457,400
Net assets:
Beginning of year (80,767,194 shares) 1,193,682,025
End of year (79,966,845 shares) $ 1,344,139,425
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 98
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds: 84.95%
Basic Materials: 2.20%
Barrick Gold Corp 115,000 5.25 % 04/01/42 BBB $ 131,121 $ 136,873
Barrick North America Finance LLC 430,000 5.70 05/30/41 BBB 494,719 529,090
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
Dow Chemical Co 230,000 4.38 11/15/42 BBB 237,609 245,938
DuPont de Nemours, Inc 3,090,000 4.21 11/15/23 A- 3,186,747 3,303,216
DuPont de Nemours, Inc 1,600,000 4.49 11/15/25 A- 1,757,992 1,760,370
DuPont de Nemours, Inc 1,075,000 5.32 11/15/38 A- 1,279,483 1,280,231
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
Newmont Goldcorp Corp 1,415,000 2.80 10/01/29 BBB 1,402,137 1,399,817
Newmont Goldcorp Corp 55,000 6.25 10/01/39 BBB 67,619 72,676
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
Southern Copper Corp 590,000 5.25 11/08/42 BBB+ 653,965 677,309
Southern Copper Corp 590,000 5.88 04/23/45 BBB+ 664,007 737,631
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
Vale Overseas Ltd 515,000 6.88 11/21/36 BBB- 647,930 669,500
Westlake Chemical Corp 675,000 5.00 08/15/46 BBB 714,370 721,413 ____________________________________ ____________________________________
Total Basic Materials 28,606,456 29,571,021 ____________________________________ ____________________________________
Communications: 7.50%
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
Charter Communications Operating
LLC / Charter Communications
Operating Capital 2,610,000 6.48 10/23/45 BBB- 2,760,077 3,254,880
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 99
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Charter Communications Operating
LLC / Charter Communications
Operating Capital 1,720,000 5.75 % 04/01/48 BBB- $ 1,783,207 $ 2,003,236
Charter Communications Operating
LLC / Charter Communications
Operating Capital 655,000 5.13 07/01/49 BBB- 655,400 710,781
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
Verizon Communications, Inc 1,431,000 3.38 02/15/25 BBB+ 1,509,733 1,514,291
Verizon Communications, Inc 2,045,000 4.13 03/16/27 BBB+ 2,259,485 2,267,897
Verizon Communications, Inc 1,210,000 4.50 08/10/33 BBB+ 1,272,404 1,411,887
Verizon Communications, Inc 2,580,000 4.81 03/15/39 BBB+ 2,569,151 3,106,784
Verizon Communications, Inc 1,295,000 5.50 03/16/47 BBB+ 1,351,510 1,753,183
Verizon Communications, Inc 2,551,000 4.52 09/15/48 BBB+ 2,488,737 3,051,192
ViacomCBS, Inc 775,000 4.25 09/01/23 BBB 825,858 824,887
ViacomCBS, Inc 145,000 4.38 03/15/43 BBB 120,571 153,346
ViacomCBS, Inc 340,000 5.85 09/01/43 BBB 349,746 424,886
Vodafone Group PLC 2,735,000 5.00 05/30/38 BBB 2,693,847 3,159,885
Vodafone Group PLC 1,000,000 5.25 05/30/48 BBB 1,005,536 1,201,948
Vodafone Group PLC 125,000 4.88 06/19/49 BBB 122,891 144,511
Vodafone Group PLC 695,000 4.25 09/17/50 BBB 696,413 723,078
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 100
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
WPP Finance 2010 2,770,000 3.75 % 09/19/24 BBB $ 2,758,606 $ 2,920,643 ____________________________________ ____________________________________
Total Communications 91,799,739 100,871,784 ____________________________________ ____________________________________
Consumer, Cyclical: 4.51%
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 Health Corp 250,000 5.30 12/05/43 BBB 262,117 297,786
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
Darden Restaurants, Inc 140,000 4.55 02/15/48 BBB 140,650 141,655
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
Ford Motor Credit Co LLC 3,505,000 3.35 11/01/22 BBB- 3,503,414 3,538,744
Ford Motor Credit Co LLC 1,300,000 5.11 05/03/29 BBB- 1,300,000 1,338,049
General Motors Co 60,000 6.60 04/01/36 BBB 62,109 70,682
General Motors Co 2,015,000 5.15 04/01/38 BBB 2,021,645 2,056,812
General Motors Co 1,525,000 5.20 04/01/45 BBB 1,484,802 1,536,195
General Motors Co 710,000 6.75 04/01/46 BBB 731,189 833,388
General Motors Co 850,000 5.95 04/01/49 BBB 948,032 939,767
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 101
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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 ____________________________________ ____________________________________
Total Consumer, Cyclical 58,381,326 60,582,768 ____________________________________ ____________________________________
Consumer, Non-cyclical: 12.61%
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 175,000 4.25 08/09/42 BBB 178,579 174,644
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 Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 4,680,000 4.70 02/01/36 A- 4,741,891 5,397,686
Anheuser-Busch Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 4,430,000 4.90 02/01/46 A- 4,240,232 5,239,087
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
Anheuser-Busch InBev Worldwide,
Inc 230,000 4.95 01/15/42 A- 254,748 271,535
Anheuser-Busch InBev Worldwide,
Inc 260,000 4.60 04/15/48 A- 271,863 295,812
Anheuser-Busch InBev Worldwide,
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) 3,000,000 2.90 07/26/24 A+ 3,097,643 3,095,177
Bristol-Myers Squibb Co(1) 3,575,000 3.45 11/15/27 A+ 3,771,677 3,821,303
Bristol-Myers Squibb Co(1) 980,000 5.70 10/15/40 A+ 1,256,412 1,303,400
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 102
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Bristol-Myers Squibb Co(1) 250,000 4.63 % 05/15/44 A+ $ 300,269 $ 302,226
Bristol-Myers Squibb Co(1) 1,110,000 4.25 10/26/49 A+ 1,219,007 1,313,473
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
CVS Health Corp 3,555,000 5.05 03/25/48 BBB 3,627,512 4,200,165
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
Gilead Sciences, Inc 500,000 4.75 03/01/46 A 592,741 599,520
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
Kaiser Foundation Hospitals 685,000 3.27 11/01/49 AA- 690,386 687,243
Keurig Dr Pepper, Inc 5,000 7.45 05/01/38 BBB 6,996 7,063
Keurig Dr Pepper, Inc 515,000 4.42 12/15/46 BBB 541,860 553,458
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
Kraft Heinz Foods Co 235,000 5.20 07/15/45 BBB- 225,068 254,509
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
Massachusetts Institute of Technology 190,000 4.68 07/01/2114 AAA 213,214 243,824
Massachusetts Institute of Technology 155,000 3.89 07/01/2116 AAA 157,144 167,919
Memorial Sloan-Kettering Cancer
Center 300,000 4.13 07/01/52 AA- 321,142 341,435
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 103
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Memorial Sloan-Kettering Cancer
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
New York and Presbyterian Hospital 310,000 4.76 08/01/2116 324,846 358,671
New York and Presbyterian Hospital 670,000 3.95 08/01/2119 677,410 673,134
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
Philip Morris International, Inc 1,655,000 4.25 11/10/44 A 1,798,261 1,824,540
President and Fellows of Harvard
College 70,000 5.63 10/01/38 AAA 97,822 94,671
President and Fellows of Harvard
College(1) 100,000 6.50 01/15/39 AAA 129,698 148,157
President and Fellows of Harvard
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
Reynolds American, Inc 465,000 5.70 08/15/35 BBB+ 535,793 539,491
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 1,490,000 3.88 12/15/28 A+ 1,538,422 1,647,538
UnitedHealth Group, Inc 590,000 5.70 10/15/40 A+ 778,043 777,200
UnitedHealth Group, Inc 275,000 4.63 11/15/41 A+ 279,707 327,164
UnitedHealth Group, Inc 330,000 4.25 03/15/43 A+ 373,734 375,737
UnitedHealth Group, Inc 870,000 4.45 12/15/48 A+ 894,898 1,037,239
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 104
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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 ____________________________________ ____________________________________
Total Consumer, Non-cyclical 161,949,136 169,516,284 ____________________________________ ____________________________________
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
Baker Hughes a GE Co LLC / Baker
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
Cimarex Energy Co 940,000 4.38 03/15/29 BBB- 984,001 994,111
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 Operating LP 315,000 6.05 06/01/41 BBB- 339,117 354,864
Energy Transfer Operating LP 1,150,000 6.50 02/01/42 BBB- 1,269,694 1,364,834
Energy Transfer Operating LP 2,060,000 6.13 12/15/45 BBB- 2,278,330 2,383,035
Energy Transfer Operating LP 245,000 5.30 04/15/47 BBB- 257,639 260,847
Energy Transfer Partners LP 180,000 4.90 03/15/35 BBB- 180,632 188,724
Energy Transfer Partners LP 245,000 5.80 06/15/38 BBB- 242,474 276,878
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 270,000 5.70 02/15/42 BBB+ 286,389 347,568
Enterprise Products Operating LLC 498,000 4.85 08/15/42 BBB+ 489,699 576,853
Enterprise Products Operating LLC 375,000 4.90 05/15/46 BBB+ 416,024 438,685
Enterprise Products Operating LLC 270,000 4.80 02/01/49 BBB+ 268,440 316,199
Enterprise Products Operating LLC 790,000 4.20 01/31/50 BBB+ 810,397 845,037
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 105
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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 Energy Partners LP 370,000 6.55 09/15/40 BBB 415,678 471,675
Kinder Morgan, Inc 201,000 7.80 08/01/31 BBB 233,112 276,299
Kinder Morgan, Inc 795,000 5.05 02/15/46 BBB 870,340 893,467
Marathon Oil Corp 175,000 6.80 03/15/32 BBB 203,251 221,926
Marathon Oil Corp 270,000 6.60 10/01/37 BBB 332,945 343,540
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
Occidental Petroleum Corp 1,025,000 6.20 03/15/40 BBB 1,237,180 1,228,898
Occidental Petroleum Corp 890,000 4.40 08/15/49 BBB 904,257 916,128
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 1,355,000 5.35 02/12/28 BBB+ 1,355,000 1,348,225
Petroleos Mexicanos(1) 1,620,000 6.84 01/23/30 BBB+ 1,619,038 1,727,471
Petroleos Mexicanos 960,000 6.63 06/15/38 BBB+ 966,902 958,560
Petroleos Mexicanos 590,000 6.35 02/12/48 BBB+ 576,447 569,350
Plains All American Pipeline LP /
PAA Finance Corp 250,000 6.65 01/15/37 BBB- 265,742 294,775
Plains All American Pipeline LP /
PAA Finance Corp 510,000 4.30 01/31/43 BBB- 449,566 468,634
Plains All American Pipeline LP /
PAA Finance Corp 735,000 4.90 02/15/45 BBB- 707,378 730,488
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 Finance Canada Ltd(1) 820,000 2.65 11/20/22 A+ 827,074 833,343
Schlumberger Investment SA 1,720,000 3.65 12/01/23 A+ 1,789,609 1,818,701
Shell International Finance BV 730,000 3.25 05/11/25 AA- 770,557 771,924
Shell International Finance BV 1,940,000 4.00 05/10/46 AA- 1,920,463 2,207,301
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
Sunoco Logistics Partners Operations
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
TransCanada PipeLines Ltd 640,000 5.10 03/15/49 BBB+ 654,113 778,727
Transcontinental Gas Pipe Line Co
LLC 4,130,000 7.85 02/01/26 BBB 4,962,261 5,244,521
Transcontinental Gas Pipe Line Co
LLC 140,000 7.25 12/01/26 BBB 166,670 175,087
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 106
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Western Midstream Operating LP 680,000 3.95 06/01/25 BBB- 663,385 686,100
Western Midstream Operating LP 200,000 5.30 03/01/48 BBB- 188,885 174,442
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
American International Group, Inc 60,000 6.82 11/15/37 BBB+ 76,411 82,344
American International Group, Inc 190,000 4.80 07/10/45 BBB+ 219,046 227,379
American International Group, Inc 265,000 4.38 01/15/55 BBB+ 253,528 290,002
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(3) 760,000 2.88 04/24/23 A- 745,383 773,147
Bank of America Corp(3) 4,379,000 3.00 12/20/23 A- 4,412,954 4,484,528
Bank of America Corp(3) 3,735,000 3.86 07/23/24 A- 3,768,210 3,930,212
Bank of America Corp 1,570,000 3.88 08/01/25 A- 1,687,207 1,685,946
Bank of America Corp(3) 4,600,000 3.09 10/01/25 A- 4,600,000 4,745,556
Bank of America Corp(3) 735,000 3.56 04/23/27 A- 762,363 776,267
Bank of America Corp 4,185,000 4.18 11/25/27 BBB+ 4,185,000 4,533,038
Bank of America Corp(3) 2,315,000 3.42 12/20/28 A- 2,319,562 2,427,722
Bank of America Corp(3) 410,000 4.27 07/23/29 A- 454,438 455,134
Bank of America Corp(3) 1,680,000 4.08 04/23/40 A- 1,760,076 1,900,724
Bank of America Corp(3) 250,000 4.44 01/20/48 A- 261,898 303,387
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 107
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Banque Federative du Credit Mutuel
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 775,000 4.20 08/15/48 AA 818,325 914,528
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
Chubb INA Holdings, Inc 210,000 3.15 03/15/25 A 209,738 220,794
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(3) 3,765,000 3.35 04/24/25 BBB+ 3,846,797 3,915,640
Citigroup, Inc 2,870,000 4.60 03/09/26 BBB 2,905,965 3,156,836
Citigroup, Inc(3) 2,765,000 3.67 07/24/28 BBB+ 2,930,938 2,944,302
Citigroup, Inc(3) 525,000 3.98 03/20/30 BBB+ 559,232 573,914
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
Citigroup, Inc 1,650,000 4.75 05/18/46 BBB 1,763,911 1,977,136
Citigroup, Inc 160,000 6.88 02/15/98 BBB+ 190,487 222,018
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 108
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
GE Capital International Funding Co
Unlimited Co 1,659,000 4.42 % 11/15/35 BBB+ $ 1,727,634 $ 1,766,463
GE Capital International Funding Co
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 1,380,000 2.35 11/15/21 BBB+ 1,377,803 1,385,161
Goldman Sachs Group, Inc 2,900,000 3.75 05/22/25 BBB+ 2,892,109 3,075,513
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
Hartford Financial Services Group,
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(3) 875,000 2.63 11/07/25 A 874,435 877,664
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) 3,990,000 3.51 06/18/22 A- 4,027,099 4,075,478
JPMorgan Chase & Co 3,355,000 2.97 01/15/23 A- 3,357,006 3,422,172
JPMorgan Chase & Co(3) 1,805,000 3.21 04/01/23 A- 1,806,454 1,847,376
JPMorgan Chase & Co(3) 1,320,000 2.78 04/25/23 A- 1,338,321 1,340,343
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 & Co(3) 1,840,000 3.51 01/23/29 A- 1,840,000 1,953,267
JPMorgan Chase & Co(3) 370,000 4.01 04/23/29 A- 407,729 405,894
JPMorgan Chase & Co(3) 1,775,000 3.70 05/06/30 A- 1,906,136 1,909,631
JPMorgan Chase & Co(3) 1,965,000 3.88 07/24/38 A- 1,932,514 2,169,831
JPMorgan Chase & Co 255,000 5.50 10/15/40 A- 306,074 342,349
JPMorgan Chase & Co(3) 620,000 4.26 02/22/48 A- 637,066 733,843
JPMorgan Chase & Co(3) 730,000 4.03 07/24/48 A- 727,621 833,489
JPMorgan Chase & Co(3) 655,000 3.96 11/15/48 A- 658,048 741,206
JPMorgan Chase & Co(3) 1,190,000 3.90 01/23/49 A- 1,200,849 1,334,896
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
Kimco Realty Corp 110,000 4.13 12/01/46 BBB+ 109,459 116,036
Kimco Realty Corp 340,000 3.70 10/01/49 BBB+ 333,577 329,923
KKR Group Finance Co VI LLC(1) 3,000,000 3.75 07/01/29 A 3,221,309 3,193,356
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 109
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Liberty Mutual Group, Inc(1) 219,000 3.95 10/15/50 BBB 219,991 227,032
Lincoln National Corp 455,000 6.25 02/15/20 A- 456,842 457,099
Lincoln National Corp 1,335,000 3.05 01/15/30 A- 1,325,574 1,341,561
Lincoln National Corp 1,780,000 7.00 06/15/40 A- 2,236,172 2,526,965
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
Marsh & McLennan Cos, Inc 830,000 3.50 03/10/25 A- 872,382 875,449
Marsh & McLennan Cos, Inc 25,000 5.88 08/01/33 A- 28,590 32,542
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 1,025,000 3.76 07/26/23 A- 1,074,528 1,079,066
Mitsubishi UFJ Financial Group, Inc 2,000,000 2.53 09/13/23 A- 2,000,000 2,020,619
Mitsubishi UFJ Financial Group, Inc 1,190,000 3.41 03/07/24 A- 1,190,865 1,240,172
Mitsubishi UFJ Financial Group, Inc 280,000 3.85 03/01/26 A- 299,921 300,642
Mitsubishi UFJ Financial Group, Inc 3,115,000 3.68 02/22/27 A- 3,115,314 3,314,108
Mitsubishi UFJ Financial Group, Inc 380,000 3.20 07/18/29 A- 392,096 393,291
Mizuho Financial Group, Inc 2,765,000 2.27 09/13/21 A- 2,765,000 2,775,590
Mizuho Financial Group, Inc(3) 755,000 2.72 07/16/23 A- 758,829 763,714
Mizuho Financial Group, Inc(3) 1,100,000 2.56 09/13/25 A- 1,096,149 1,099,312
Mizuho Financial Group, Inc(3) 765,000 3.15 07/16/30 A- 779,324 780,957
Morgan Stanley 2,210,000 2.63 11/17/21 BBB+ 2,201,047 2,235,828
Morgan Stanley 5,283,000 3.13 01/23/23 BBB+ 5,352,996 5,430,137
Morgan Stanley 2,430,000 3.75 02/25/23 BBB+ 2,433,245 2,544,106
Morgan Stanley 865,000 3.70 10/23/24 BBB+ 916,261 918,366
Morgan Stanley(3) 520,000 2.72 07/22/25 BBB+ 525,707 526,297
Morgan Stanley(3) 3,900,000 3.59 07/22/28 BBB+ 4,002,842 4,142,028
Morgan Stanley(3) 375,000 3.97 07/22/38 BBB+ 383,829 415,594
Morgan Stanley 1,500,000 4.38 01/22/47 BBB+ 1,390,764 1,791,268
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 110
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Progressive Corp 385,000 4.20 03/15/48 A 383,717 449,339
Prudential Financial, Inc 70,000 6.63 06/21/40 A 85,478 98,182
Prudential Financial, Inc 335,000 3.91 12/07/47 A 306,220 359,581
Prudential Financial, Inc 225,000 4.42 03/27/48 A 254,100 260,937
Prudential Financial, Inc 170,000 4.35 02/25/50 A 203,439 195,354
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 620,000 2.45 09/13/29 A 614,878 609,416
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
Spirit Realty LP 725,000 3.20 01/15/27 BBB 724,346 725,345
Sumitomo Mitsui Banking Corp 3,280,000 2.45 10/20/20 A 3,282,677 3,293,343
Sumitomo Mitsui Financial Group, Inc 4,000,000 2.45 09/27/24 A- 4,000,000 4,006,584
Sumitomo Mitsui Financial Group, Inc 1,320,000 2.63 07/14/26 A- 1,319,028 1,319,841
Sumitomo Mitsui Financial Group, Inc 4,135,000 3.04 07/16/29 A- 4,187,520 4,213,473
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
Travelers Cos, Inc 35,000 6.75 06/20/36 A 44,823 50,576
Travelers Cos, Inc 450,000 4.10 03/04/49 A 536,576 516,649
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 111
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Arrow Electronics, Inc 2,870,000 3.88 01/12/28 BBB- 2,669,603 2,937,396
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 295,000 5.40 06/01/41 A+ 333,472 380,694
Burlington Northern Santa Fe LLC 235,000 4.45 03/15/43 A+ 244,033 274,600
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
Caterpillar, Inc 600,000 3.25 09/19/49 A 595,013 600,353
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 112
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
General Dynamics Corp 1,705,000 2.88 % 05/11/20 A+ $ 1,704,513 $ 1,710,906
General Electric Co 325,000 6.15 08/07/37 BBB+ 350,549 402,332
General Electric Co 965,000 4.63 01/07/21 BBB+ 980,898 986,498
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
General Electric Co 86,000 4.13 10/09/42 BBB+ 72,896 88,350
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
Packaging Corp of America 545,000 3.00 12/15/29 BBB 545,907 546,980
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 2,395,000 3.50 03/15/27 BBB+ 2,383,879 2,541,037
Rockwell Collins, Inc 415,000 4.80 12/15/43 BBB+ 439,241 497,911
Rockwell Collins, Inc 315,000 4.35 04/15/47 BBB+ 322,720 369,825
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 1,355,000 3.50 06/08/23 A- 1,351,444 1,419,556
Union Pacific Corp 710,000 4.05 11/15/45 A- 743,129 770,600
Union Pacific Corp 230,000 3.80 10/01/51 A- 217,777 244,390
Union Pacific Corp 1,175,000 3.95 08/15/59 A- 1,173,360 1,227,744
Union Pacific Corp(1) 441,000 3.84 03/20/60 A- 465,508 445,725
Union Pacific Corp 240,000 4.38 11/15/65 A- 264,784 263,207
United Parcel Service, Inc 225,000 3.63 10/01/42 A 229,599 229,490
United Parcel Service, Inc 800,000 4.25 03/15/49 A 800,389 934,118
United Technologies Corp 600,000 6.70 08/01/28 BBB+ 783,363 778,705
United Technologies Corp 400,000 7.50 09/15/29 BBB+ 560,428 564,439
United Technologies Corp 280,000 4.45 11/16/38 BBB+ 332,010 330,727
United Technologies Corp 1,681,000 5.70 04/15/40 BBB+ 1,954,496 2,258,646
United Technologies Corp 475,000 3.75 11/01/46 BBB+ 509,471 515,805
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 ____________________________________ ____________________________________
Total Industrial 87,783,427 91,396,708 ____________________________________ ____________________________________
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 113
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Broadcom Corp / Broadcom Cayman
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
International Business Machines Corp 1,735,000 3.30 05/15/26 A 1,735,189 1,828,369
International Business Machines Corp 755,000 4.15 05/15/39 A 755,197 849,475
International Business Machines Corp 475,000 4.00 06/20/42 A 468,112 523,608
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
Microsoft Corp 455,000 4.20 11/03/35 AAA 468,754 540,077
Microsoft Corp 365,000 3.45 08/08/36 AAA 362,102 399,035
Microsoft Corp 585,000 3.50 11/15/42 AAA 605,329 632,968
Microsoft Corp 150,000 3.75 05/01/43 AAA 141,515 168,069
Microsoft Corp 1,680,000 3.95 08/08/56 AAA 1,672,239 1,983,383
NXP BV / NXP Funding LLC(1) 1,550,000 3.88 09/01/22 BBB- 1,549,559 1,607,406
NXP BV / NXP Funding LLC / NXP
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 ____________________________________ ____________________________________
Total Technology 52,382,694 56,255,477 ____________________________________ ____________________________________
Utilities: 9.30%
Alabama Power Co 880,000 3.45 10/01/49 A 892,129 899,755
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
Arizona Public Service Co 880,000 3.50 12/01/49 A- 885,312 884,392
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
Black Hills Corp 610,000 4.35 05/01/33 BBB+ 609,826 675,949
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
CenterPoint Energy, Inc 1,880,000 3.85 02/01/24 BBB 1,963,140 1,981,817
CenterPoint Energy, Inc 865,000 2.50 09/01/24 BBB 862,514 865,469
CenterPoint Energy, Inc 260,000 2.95 03/01/30 BBB 258,665 255,957
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 114
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Comision Federal de Electricidad(1) 1,935,000 4.88 % 05/26/21 BBB+ $ 1,931,793 $ 1,993,069
Consolidated Edison Co of New York,
Inc 910,000 5.50 12/01/39 A- 923,030 1,165,815
Consolidated Edison Co of New York,
Inc 521,000 4.20 03/15/42 A- 530,016 579,803
Consolidated Edison Co of New York,
Inc 300,000 4.50 12/01/45 A- 344,378 351,979
Consolidated Edison Co of New York,
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 South Carolina, Inc 675,000 5.30 05/15/33 A 819,078 847,364
Dominion Energy South Carolina, Inc 130,000 5.10 06/01/65 A 151,672 168,483
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
Dominion Energy, Inc 1,570,000 3.07 08/15/24 BBB 1,606,197 1,615,924
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
Eversource Energy 660,000 3.30 01/15/28 BBB+ 653,525 679,366
Exelon Corp 385,000 5.10 06/15/45 BBB 468,749 462,844
FirstEnergy Corp 355,000 4.25 03/15/23 BBB- 370,764 374,065
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) 600,000 4.00 04/15/25 BBB 600,638 638,447
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
Mississippi Power Co 75,000 4.25 03/15/42 A- 80,683 80,424
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 115
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Oncor Electric Delivery Co LLC 1,475,000 7.25 01/15/33 A+ 1,950,511 2,127,146
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 Co of Colorado 615,000 3.20 03/01/50 A 612,407 615,975
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 160,000 5.63 02/01/36 A- 195,611 194,622
Southern California Edison Co 545,000 4.50 09/01/40 A- 559,064 597,242
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 California Gas Co 650,000 2.60 06/15/26 A+ 647,234 650,844
Southern California Gas Co 645,000 3.95 02/15/50 A+ 647,450 719,827
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 Electric Power Co 365,000 4.10 09/15/28 A- 365,797 398,932
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
Union Electric Co 660,000 3.25 10/01/49 A 656,270 653,173
Virginia Electric & Power Co 1,320,000 8.88 11/15/38 BBB+ 1,773,312 2,224,549
Virginia Electric & Power Co 210,000 3.30 12/01/49 BBB+ 211,261 211,294 ____________________________________ ____________________________________
Total Utilities 119,146,071 125,019,538 ____________________________________ ____________________________________
Total Corporate Bonds 1,087,983,087 1,141,872,365 ____________________________________ ____________________________________
Foreign Government Bonds: 3.40%
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 ____________________________________ ____________________________________
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 116
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Foreign Government Bonds (Continued)
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
Colombia Government International
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
Indonesia Government International
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
Mexico Government International
Bond 990,000 3.75 01/11/28 BBB+ 1,025,094 1,028,610
Mexico Government International
Bond 1,320,000 4.13 01/21/26 BBB+ 1,372,057 1,409,760
Mexico Government International
Bond 2,910,000 4.35 01/15/47 BBB+ 2,745,953 3,070,050
Mexico Government International
Bond 750,000 4.50 04/22/29 BBB+ 787,934 822,375
Mexico Government International
Bond 405,000 4.50 01/31/50 BBB+ 411,833 437,805
Mexico Government International
Bond 420,000 4.60 01/23/46 BBB+ 428,867 455,700
Mexico Government International
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 117
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Foreign Government Bonds (Continued)
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
Panama Government International
Bond 1,875,000 4.00 09/22/24 BBB+ 1,992,366 2,008,125
Panama Government International
Bond 1,730,000 3.16 01/23/30 BBB+ 1,751,364 1,781,900
Panama Government International
Bond 1,065,000 4.50 04/16/50 BBB+ 1,245,418 1,260,428
Panama Government International
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
Philippine Government International
Bond 115,000 6.38 01/15/32 BBB+ 138,525 156,336
Philippine Government International
Bond 515,000 3.95 01/20/40 BBB+ 590,185 589,517
Philippine Government International
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 ____________________________________ ____________________________________
Total Foreign Government Bonds 44,126,466 45,751,598 ____________________________________ ____________________________________
Government/Agency Bonds: 4.38%
Federal Agencies: 1.96%
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 118
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
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 ____________________________________ ____________________________________
Total Federal Agencies 25,254,046 26,333,479 ____________________________________ ____________________________________
US Government Notes & Bonds: 2.42%
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 Coupon Strip(2) 3,565,000 2.53 11/15/46 1,711,971 1,820,685
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 ____________________________________ ____________________________________
Total US Government Notes & Bonds 31,362,417 32,586,933 ____________________________________ ____________________________________
Total Government/Agency Bonds 56,616,463 58,920,412 ____________________________________ ____________________________________
Corporate Asset-Backed Securities: 0.27%
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 ____________________________________ ____________________________________
Total Corporate Asset-Backed
Securities 3,585,868 3,611,567 ____________________________________ ____________________________________
Corporate Mortgage-Backed Securities: 0.46%
Benchmark 2019-B12 Mortgage Trust 3,300,000 2.86 08/15/52 AAA 3,358,193 3,357,601
GS Mortgage Securities Trust 2013-
G1(1)(3) 2,810,000 3.56 04/10/31 AAA 2,826,892 2,852,670 ____________________________________ ____________________________________
Total Corporate Mortgage-Backed
Securities 6,185,085 6,210,271 ____________________________________ ____________________________________
Municipal Bonds: 3.58%
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 315,000 6.31 01/01/44 BBB+ 327,657 358,061
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 119
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Municipal Bonds (Continued)
Health & Educational Facilities
Authority of the State of Missouri 690,000 3.65 % 08/15/57 AA+ $ 688,770 $ 725,093
Health & Educational Facilities
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
New York City Transitional Finance
Authority Future Tax Secured
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
New York State Urban Development
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
North Texas Tollway Authority
Revenue 60,000 6.72 01/01/49 A+ 81,124 94,136
Port Authority of New York & New
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 California 1,330,000 7.35 11/01/39 AA- 1,928,670 2,043,040
State of California 460,000 7.60 11/01/40 AA- 535,092 759,327
State of Illinois 1,500,000 5.66 02/01/22 BBB- 1,564,623 1,576,335
State of Illinois 1,610,000 5.10 06/01/33 BBB- 1,639,038 1,735,628
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 120
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Municipal Bonds (Continued)
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
State of Texas 200,000 4.68 04/01/40 AAA 229,249 244,838
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 ____________________________________ ____________________________________
Total Municipal Bonds 43,818,987 48,062,778 ____________________________________ ____________________________________
Shares ___________
Short-Term Investments: 1.85%
Wells Fargo/BlackRock Short Term
Investment Fund S(4) 24,801,567 24,801,567 24,801,567 ____________________________________ ____________________________________
Total Short-Term Investments 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) ______________ _______________ ______________ _______________
Contracts Description
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
U.S. Treasury 10 Years Ultra Bond, March
2020 7,035,156 44,629 ______________ _______________
Total Financial Futures - Short $ 54,801,984 $ 1,099,929 ______________ _______________ ______________ _______________ Net unrealized appreciation - December 31, 2019 $ 915,670 _______________
Percentages shown are based on total net assets.
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 121
(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.
FNMA Federal National Mortgage Association
See accompanying notes to financial statements. 122
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Financial Highlights
Year ended December 31, 2019
Per share operating performance:
Share value, beginning of year $ 14.78
Income from investment operations:
Net investment income (loss)(1) 0.56
Net realized and unrealized gain (loss) on investments 1.47
Total from investment operations 2.03
Share value, end of year $ 16.81
Total return per share 13.73%
Net assets, end of year $ 1,344,139,425
Ratios:
Ratio of expenses to average net assets 0.16%
Ratio of net investment income (loss) to average net assets 3.50%
Portfolio Turnover Rate 201%
(1) Based on average number of shares outstanding.
See accompanying notes to financial statements. 123
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Supplemental Schedule of Monthly Values (Unaudited)
Year Ended December 31, 2019
Shares Share
outstanding valuation
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
See accompanying notes to financial statements. 124
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 15,683,370 $ 15,683,370
Unaffiliated investments 1,710,846,332 1,836,563,841
Accrued interest income 15,711,397
Cash collateral due from broker 5,411,667
Fund shares sold 1,036,507
Receivable for investment securities sold 680,152
Total assets 1,875,086,934
Liabilities:
Payable for investment securities purchased 3,965,126
Variation margin payable 311,854
Trustee expenses 261,096
Total liabilities 4,538,076
Net assets $ 1,870,548,858
Shares outstanding 86,833,600
Share value $ 21.54
See accompanying notes to financial statements. 125
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Statement of Operations
Year ended December 31, 2019
Investment income:
Interest income (net of foreign taxes withheld of $2,643) $ 60,840,133
Dividend income from affiliated short term investment 868,910
Total income 61,709,043
Expenses:
Administration, Advisory, and/or Trustee Fees 2,792,644
Total expenses 2,792,644
Net investment income (loss) 58,916,399
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 89,273,887
Futures contracts 10,557,268
Net change in unrealized appreciation (depreciation) on:
Investments 150,172,564
Futures contracts (3,846,441)
Net gain (loss) on investment transactions 246,157,278
Net change in net assets resulting from operations $ 305,073,677
See accompanying notes to financial statements. 126
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 58,916,399
Net realized gain (loss) on investment transactions 99,831,155
Net change in unrealized appreciation (depreciation) of investments 146,326,123
Net increase (decrease) in net assets resulting from
operations 305,073,677
Participating share holder transactions:
Proceeds from issuance of shares (12,856,841 shares) 266,619,546
Payments for withdrawals (14,561,574 shares) (298,601,467)
Net Change (31,981,921)
Change in net assets derived from share transactions (31,981,921)
Total increase (decrease) in net assets 273,091,756
Net assets:
Beginning of year (88,538,333 shares) 1,597,457,102
End of year (86,833,600 shares) $ 1,870,548,858
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 127
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds: 49.26%
Basic Materials: 1.11%
Barrick Gold Corp 730,000 5.25 % 04/01/42 BBB $ 869,822 $ 868,847
Barrick North America Finance LLC 135,000 5.75 05/01/43 BBB 146,899 171,443
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 825,000 4.38 11/15/42 BBB 816,256 882,171
Dow Chemical Co 1,070,000 4.80 05/15/49 BBB 1,189,692 1,233,965
Dow Chemical Co 575,000 5.55 11/30/48 BBB 710,443 716,852
DuPont de Nemours, Inc 1,800,000 5.32 11/15/38 A- 2,067,809 2,143,642
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
International Paper Co 620,000 4.80 06/15/44 BBB 667,551 679,443
International Paper Co 230,000 5.15 05/15/46 BBB 220,571 263,904
International Paper Co 285,000 7.30 11/15/39 BBB 364,236 393,967
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
Newmont Goldcorp Corp 1,950,000 2.80 10/01/29 BBB 1,928,587 1,929,077
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 535,000 5.88 04/23/45 BBB+ 599,262 668,869
Southern Copper Corp 765,000 7.50 07/27/35 BBB+ 939,632 1,052,455
Vale Overseas Ltd 520,000 6.88 11/21/36 BBB- 594,075 676,000
Vale Overseas Ltd 110,000 6.88 11/10/39 BBB- 126,265 143,275
Vale SA 525,000 5.63 09/11/42 BBB- 526,708 616,224
Westlake Chemical Corp 795,000 5.00 08/15/46 BBB 846,760 849,664 ____________________________________ ____________________________________
Total Basic Materials 19,724,126 20,721,796 ____________________________________ ____________________________________
Communications: 8.38%
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 680,000 3.63 04/22/29 A- 677,294 715,115
America Movil SAB de CV 305,000 6.13 03/30/40 A- 376,962 408,663
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 128
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Charter Communications Operating
LLC / Charter Communications
Operating Capital 960,000 5.38 04/01/38 BBB- 1,061,379 1,098,395
Charter Communications Operating
LLC / Charter Communications
Operating Capital 5,410,000 6.48 10/23/45 BBB- 5,967,539 6,746,705
Charter Communications Operating
LLC / Charter Communications
Operating Capital 245,000 5.38 05/01/47 BBB- 244,689 274,100
Charter Communications Operating
LLC / Charter Communications
Operating Capital 2,275,000 5.75 04/01/48 BBB- 2,412,862 2,649,629
Charter Communications Operating
LLC / Charter Communications
Operating Capital 840,000 5.13 07/01/49 BBB- 874,684 911,536
Charter Communications Operating
LLC / Charter Communications
Operating Capital 2,250,000 4.80 03/01/50 BBB- 2,319,167 2,364,381
Charter Communications Operating
LLC / Charter Communications
Operating Capital 125,000 6.83 10/23/55 BBB- 141,592 162,928
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 850,000 4.35 05/01/49 BBB+ 913,584 948,602
Rogers Communications, Inc 1,305,000 3.70 11/15/49 BBB+ 1,309,109 1,312,980
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 129
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Telefonica Emisiones SA 4,125,000 5.21 % 03/08/47 BBB $ 4,414,863 $ 4,882,057
Telefonica Emisiones SA 660,000 4.90 03/06/48 BBB 724,259 753,441
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 LLC 1,568,000 6.55 05/01/37 BBB- 1,872,653 1,919,543
Time Warner Cable LLC 2,735,000 4.50 09/15/42 BBB- 2,506,166 2,788,825
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 1,475,000 4.50 08/10/33 BBB+ 1,600,650 1,721,102
Verizon Communications, Inc 435,000 4.40 11/01/34 BBB+ 442,600 503,298
Verizon Communications, Inc 865,000 5.25 03/16/37 BBB+ 968,357 1,083,927
Verizon Communications, Inc 975,000 4.81 03/15/39 BBB+ 973,658 1,174,075
Verizon Communications, Inc 375,000 4.75 11/01/41 BBB+ 435,979 452,617
Verizon Communications, Inc 900,000 4.13 08/15/46 BBB+ 966,616 1,014,072
Verizon Communications, Inc 754,000 4.86 08/21/46 BBB+ 828,244 933,175
Verizon Communications, Inc 1,450,000 5.50 03/16/47 BBB+ 1,570,950 1,963,024
Verizon Communications, Inc 7,178,000 4.52 09/15/48 BBB+ 7,334,691 8,585,439
ViacomCBS, Inc 2,155,000 5.85 09/01/43 BBB 2,438,904 2,693,030
Vodafone Group PLC 3,950,000 5.25 05/30/48 BBB 3,957,143 4,747,693
Vodafone Group PLC 300,000 4.88 06/19/49 BBB 296,723 346,827
Vodafone Group PLC 1,090,000 4.25 09/17/50 BBB 1,088,758 1,134,036
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 ____________________________________ ____________________________________
Total Communications 141,040,015 156,747,615 ____________________________________ ____________________________________
Consumer, Cyclical: 1.88%
American Airlines 2016-1 Class AA
Pass-Through Trust 1,872,263 3.58 01/15/28 AA+ 1,872,263 1,964,575
CVS Health Corp 515,000 5.30 12/05/43 BBB 534,121 613,438
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
General Motors Co 1,095,000 5.20 04/01/45 BBB 1,054,041 1,103,039
General Motors Co 750,000 5.40 04/01/48 BBB 708,316 774,654
General Motors Co 2,085,000 5.95 04/01/49 BBB 2,231,818 2,305,194
General Motors Co 1,985,000 6.75 04/01/46 BBB 2,054,145 2,329,965
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
McDonald's Corp 820,000 3.63 05/01/43 BBB+ 783,004 814,644
McDonald's Corp 485,000 3.63 09/01/49 BBB+ 501,175 491,683
McDonald's Corp 185,000 3.70 02/15/42 BBB+ 164,482 187,362
McDonald's Corp 335,000 4.45 03/01/47 BBB+ 386,531 383,930
McDonald's Corp 325,000 5.70 02/01/39 BBB+ 353,190 410,606
Nordstrom, Inc 2,005,000 5.00 01/15/44 BBB 1,889,561 1,960,370
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 130
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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 ____________________________________ ____________________________________
Total Consumer, Cyclical 32,805,959 35,139,038 ____________________________________ ____________________________________
Consumer, Non-cyclical: 9.72%
Abbott Laboratories 880,000 4.75 11/30/36 A- 925,838 1,098,269
Abbott Laboratories 620,000 4.75 04/15/43 A- 651,402 778,969
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 1,640,000 3.88 09/16/46 BBB 1,387,719 1,520,818
Altria Group, Inc 730,000 4.50 05/02/43 BBB 729,374 744,203
Altria Group, Inc 280,000 5.80 02/14/39 BBB 302,501 328,725
Altria Group, Inc 1,340,000 5.95 02/14/49 BBB 1,566,936 1,620,127
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 Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 2,830,000 4.70 02/01/36 A- 2,826,947 3,263,986
Anheuser-Busch Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 9,520,000 4.90 02/01/46 A- 9,426,535 11,258,716
Anheuser-Busch InBev Finance, Inc 1,040,000 4.00 01/17/43 A- 1,083,675 1,109,148
Anheuser-Busch InBev Worldwide,
Inc 1,075,000 4.38 04/15/38 A- 1,007,406 1,204,764
Anheuser-Busch InBev Worldwide,
Inc 1,595,000 4.44 10/06/48 A- 1,544,169 1,787,321
Anheuser-Busch InBev Worldwide,
Inc 470,000 4.60 04/15/48 A- 432,717 534,736
Anheuser-Busch InBev Worldwide,
Inc 625,000 4.95 01/15/42 A- 664,873 737,867
Anheuser-Busch InBev Worldwide,
Inc 1,040,000 5.45 01/23/39 A- 1,207,600 1,305,705
Anheuser-Busch InBev Worldwide,
Inc 1,720,000 5.55 01/23/49 A- 1,785,080 2,228,100
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 131
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Anheuser-Busch InBev Worldwide,
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
Bayer US Finance II LLC(1) 1,230,000 4.63 06/25/38 BBB 1,141,470 1,333,833
Bayer US Finance II LLC(1) 1,230,000 4.70 07/15/64 BBB 1,118,872 1,183,273
Becton Dickinson and Co 730,000 4.67 06/06/47 BBB 733,641 867,641
Boston Scientific Corp 205,000 4.70 03/01/49 BBB- 207,004 248,677
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
Bristol-Myers Squibb Co(1) 1,835,000 4.25 10/26/49 A+ 1,977,643 2,171,372
Bristol-Myers Squibb Co(1) 1,320,000 4.35 11/15/47 A+ 1,554,847 1,570,259
Bristol-Myers Squibb Co(1) 505,000 4.63 05/15/44 A+ 606,543 610,496
Bristol-Myers Squibb Co(1) 1,395,000 5.00 08/15/45 A+ 1,777,902 1,784,354
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
Constellation Brands, Inc 650,000 5.25 11/15/48 BBB 734,196 788,284
CVS Health Corp 1,640,000 3.25 08/15/29 BBB 1,636,273 1,664,414
CVS Health Corp 3,375,000 4.78 03/25/38 BBB 3,500,756 3,825,418
CVS Health Corp 3,130,000 5.05 03/25/48 BBB 3,244,181 3,698,036
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
Estee Lauder Cos, Inc 200,000 3.13 12/01/49 A+ 198,998 199,419
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
Gilead Sciences, Inc 685,000 4.75 03/01/46 A 747,432 821,342
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 465,000 3.40 01/15/38 AAA 446,444 497,538
Johnson & Johnson 535,000 3.63 03/03/37 AAA 531,650 589,474
Johnson & Johnson 495,000 3.70 03/01/46 AAA 497,168 557,743
Johnson & Johnson 2,526,000 3.75 03/03/47 AAA 2,578,378 2,878,341
Kaiser Foundation Hospitals 800,000 3.27 11/01/49 AA- 806,323 802,619
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 132
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Kaiser Foundation Hospitals 585,000 4.15 % 05/01/47 AA- $ 597,407 $ 666,906
Keurig Dr Pepper, Inc 205,000 4.42 12/15/46 BBB 188,284 220,309
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
Keurig Dr Pepper, Inc 123,000 7.45 05/01/38 BBB 171,527 173,752
Kraft Heinz Foods Co 1,490,000 4.38 06/01/46 BBB- 1,383,172 1,464,526
Kraft Heinz Foods Co(1) 535,000 4.63 10/01/39 BBB- 533,313 556,449
Kraft Heinz Foods Co 410,000 5.00 06/04/42 BBB- 424,513 437,018
Kraft Heinz Foods Co 185,000 6.50 02/09/40 BBB- 227,946 224,092
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
Massachusetts Institute of Technology 145,000 3.89 07/01/2116 AAA 147,005 157,086
Massachusetts Institute of Technology 290,000 4.68 07/01/2114 AAA 320,247 372,152
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
Memorial Sloan-Kettering Cancer
Center 162,000 4.13 07/01/52 AA- 168,748 184,375
Memorial Sloan-Kettering Cancer
Center 250,000 4.20 07/01/55 AA- 255,912 289,098
Memorial Sloan-Kettering Cancer
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
New York and Presbyterian Hospital 750,000 3.95 08/01/2119 757,334 753,508
New York and Presbyterian Hospital 470,000 4.02 08/01/45 482,114 523,240
New York and Presbyterian Hospital 55,000 4.06 08/01/56 52,999 60,485
New York and Presbyterian Hospital 230,000 4.76 08/01/2116 239,502 266,111
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
NYU Langone Hospitals 49,000 4.78 07/01/44 A 55,502 57,818
NYU Langone Hospitals 265,000 5.75 07/01/43 A 314,473 351,133
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
Philip Morris International, Inc 2,625,000 4.25 11/10/44 A 2,853,684 2,893,907
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 133
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
UnitedHealth Group, Inc 750,000 3.75 10/15/47 A+ 742,416 804,660
UnitedHealth Group, Inc 1,790,000 3.88 08/15/59 A+ 1,782,104 1,925,736
UnitedHealth Group, Inc 175,000 4.20 01/15/47 A+ 180,558 201,173
UnitedHealth Group, Inc 355,000 4.25 04/15/47 A+ 380,342 409,732
UnitedHealth Group, Inc 765,000 4.25 06/15/48 A+ 789,485 886,418
UnitedHealth Group, Inc 1,140,000 4.45 12/15/48 A+ 1,158,777 1,359,141
UnitedHealth Group, Inc 1,335,000 4.63 07/15/35 A+ 1,462,164 1,618,236
UnitedHealth Group, Inc 130,000 4.63 11/15/41 A+ 140,230 154,659
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 ____________________________________ ____________________________________
Total Consumer, Non-cyclical 166,158,379 181,768,223 ____________________________________ ____________________________________
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
Baker Hughes a GE Co LLC / Baker
Hughes Co-Obligor, Inc 3,075,000 4.08 12/15/47 A- 3,031,344 3,143,853
BP Capital Markets America, Inc 190,000 3.94 09/21/28 A- 190,699 209,737
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 130,000 5.85 02/01/35 BBB+ 140,870 159,849
Canadian Natural Resources Ltd 1,140,000 6.25 03/15/38 BBB+ 1,320,964 1,480,203
Canadian Natural Resources Ltd 250,000 4.95 06/01/47 BBB+ 298,473 303,099
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
Devon Energy Corp 340,000 7.95 04/15/32 BBB- 419,419 481,774
Devon Energy Corp 665,000 4.75 05/15/42 BBB- 689,518 739,717
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 134
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Energy Transfer Operating LP 840,000 6.50 02/01/42 BBB- 941,759 996,922
Energy Transfer Operating LP 680,000 5.15 02/01/43 BBB- 655,778 697,312
Energy Transfer Operating LP 480,000 5.95 10/01/43 BBB- 450,310 534,890
Energy Transfer Operating LP 2,880,000 6.13 12/15/45 BBB- 3,203,754 3,331,621
Energy Transfer Partners LP 285,000 5.80 06/15/38 BBB- 318,086 322,083
Energy Transfer Partners LP 540,000 6.00 06/15/48 BBB- 607,100 628,373
Enterprise Products Operating LLC 2,015,000 6.65 10/15/34 BBB+ 2,333,198 2,732,626
Enterprise Products Operating LLC 145,000 7.55 04/15/38 BBB+ 182,724 209,859
Enterprise Products Operating LLC 350,000 5.70 02/15/42 BBB+ 371,245 450,551
Enterprise Products Operating LLC 180,000 4.85 08/15/42 BBB+ 191,115 208,501
Enterprise Products Operating LLC 315,000 4.45 02/15/43 BBB+ 347,087 345,726
Enterprise Products Operating LLC 315,000 4.85 03/15/44 BBB+ 332,886 365,361
Enterprise Products Operating LLC 820,000 4.90 05/15/46 BBB+ 847,603 959,258
Enterprise Products Operating LLC 990,000 4.25 02/15/48 BBB+ 1,001,338 1,060,465
Enterprise Products Operating LLC 455,000 4.80 02/01/49 BBB+ 459,308 532,853
Enterprise Products Operating LLC 900,000 4.20 01/31/50 BBB+ 935,046 962,700
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
Exxon Mobil Corp 965,000 3.10 08/16/49 AA+ 965,118 959,988
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 185,000 6.50 02/01/37 BBB 203,449 230,681
Kinder Morgan Energy Partners LP 850,000 6.95 01/15/38 BBB 1,046,728 1,123,750
Kinder Morgan Energy Partners LP 245,000 6.50 09/01/39 BBB 272,337 310,574
Kinder Morgan Energy Partners LP 1,447,000 6.38 03/01/41 BBB 1,613,177 1,821,198
Kinder Morgan Energy Partners LP 1,140,000 4.70 11/01/42 BBB 1,067,514 1,221,455
Kinder Morgan Energy Partners LP 2,830,000 5.00 03/01/43 BBB 2,775,989 3,111,064
Kinder Morgan, Inc 655,000 5.20 03/01/48 BBB 695,988 758,395
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
Marathon Oil Corp 720,000 6.60 10/01/37 BBB 859,223 916,107
Marathon Petroleum Corp 1,325,000 6.50 03/01/41 BBB 1,568,912 1,716,952
Marathon Petroleum Corp 305,000 4.75 09/15/44 BBB 328,945 334,377
Marathon Petroleum Corp 420,000 5.85 12/15/45 BBB 423,615 481,026
Marathon Petroleum Corp 320,000 4.50 04/01/48 BBB 294,673 339,473
Marathon Petroleum Corp 1,055,000 5.00 09/15/54 BBB 1,000,895 1,136,053
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
Noble Energy, Inc 225,000 6.00 03/01/41 BBB 254,749 270,994
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 135
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Occidental Petroleum Corp 485,000 7.95 06/15/39 BBB 655,178 671,276
Occidental Petroleum Corp 1,950,000 4.63 06/15/45 BBB 1,967,367 2,011,891
Occidental Petroleum Corp 2,520,000 4.40 08/15/49 BBB 2,528,100 2,593,979
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
Petroleos Mexicanos 4,075,000 6.63 06/15/38 BBB+ 4,325,601 4,068,887
Petroleos Mexicanos 2,320,000 6.35 02/12/48 BBB+ 2,129,791 2,238,800
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
Shell International Finance BV 805,000 2.38 11/07/29 AA- 795,314 796,390
Shell International Finance BV 2,040,000 4.13 05/11/35 AA- 2,026,939 2,382,130
Shell International Finance BV 1,285,000 6.38 12/15/38 AA- 1,457,890 1,871,180
Shell International Finance BV 795,000 4.55 08/12/43 AA- 940,591 968,450
Suncor Energy, Inc 685,000 7.15 02/01/32 A- 828,365 956,116
Suncor Energy, Inc 1,384,000 5.95 05/15/35 A- 1,654,662 1,793,982
Suncor Energy, Inc 205,000 6.80 05/15/38 A- 275,688 291,418
Sunoco Logistics Partners Operations
LP 280,000 6.10 02/15/42 BBB- 293,974 313,225
Sunoco Logistics Partners Operations
LP 610,000 4.95 01/15/43 BBB- 566,434 602,688
Sunoco Logistics Partners Operations
LP 515,000 5.30 04/01/44 BBB- 517,952 546,746
Sunoco Logistics Partners Operations
LP 595,000 5.35 05/15/45 BBB- 580,524 638,238
Sunoco Logistics Partners Operations
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
Total Capital International SA 175,000 2.83 01/10/30 A+ 175,122 179,622
TransCanada PipeLines Ltd 215,000 5.85 03/15/36 BBB+ 233,037 267,136
TransCanada PipeLines Ltd 155,000 6.20 10/15/37 BBB+ 197,422 201,962
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
Transcontinental Gas Pipe Line Co
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
Western Midstream Operating LP 745,000 5.30 03/01/48 BBB- 734,284 649,796
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
Williams Cos, Inc 865,000 5.10 09/15/45 BBB 928,573 961,907 ____________________________________ ____________________________________
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 145,000 3.38 08/15/31 BBB+ 145,092 151,114
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 136
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Allstate Corp 325,000 3.85 % 08/10/49 A- $ 327,023 $ 358,746
American International Group, Inc 110,000 6.25 05/01/36 BBB+ 134,132 146,727
American International Group, Inc 670,000 4.80 07/10/45 BBB+ 705,113 801,810
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) 2,495,000 4.24 04/24/38 A- 2,584,055 2,870,157
Bank of America Corp(3) 1,905,000 4.08 04/23/40 A- 1,976,524 2,155,285
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
Bank of America Corp(3) 4,695,000 4.33 03/15/50 A- 4,867,304 5,620,312
Berkshire Hathaway Finance Corp 200,000 4.40 05/15/42 AA 224,068 234,667
Berkshire Hathaway Finance Corp 1,699,000 4.20 08/15/48 AA 1,732,365 2,004,881
Berkshire Hathaway Finance Corp 1,355,000 4.25 01/15/49 AA 1,381,068 1,602,386
Blackstone Holdings Finance Co
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
Chubb INA Holdings, Inc 165,000 4.35 11/03/45 A 173,434 199,358
Citigroup, Inc(3) 2,020,000 2.98 11/05/30 BBB+ 2,016,082 2,048,319
Citigroup, Inc 300,000 6.63 06/15/32 BBB 346,746 403,886
Citigroup, Inc 325,000 8.13 07/15/39 BBB+ 522,268 543,187
Citigroup, Inc 770,000 5.88 01/30/42 BBB+ 1,046,950 1,087,486
Citigroup, Inc 185,000 4.65 07/30/45 BBB+ 187,489 229,157
Citigroup, Inc 3,055,000 4.75 05/18/46 BBB 3,171,339 3,660,696
Citigroup, Inc 1,625,000 4.65 07/23/48 BBB+ 1,693,133 2,026,059
Citigroup, Inc 210,000 6.88 02/15/98 BBB+ 260,261 291,399
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
GE Capital International Funding Co
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
Goldman Sachs Group, Inc(3) 1,480,000 4.02 10/31/38 BBB+ 1,541,707 1,604,534
Goldman Sachs Group, Inc(3) 2,405,000 4.41 04/23/39 BBB+ 2,351,321 2,734,016
Guardian Life Insurance Co of
America(1) 1,550,000 4.88 06/19/64 AA- 1,556,773 1,886,961
Hartford Financial Services Group,
Inc 410,000 6.63 03/30/40 BBB+ 487,700 573,432
Hartford Financial Services Group,
Inc 450,000 4.40 03/15/48 BBB+ 435,383 517,068
Hartford Financial Services Group,
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
JPMorgan Chase & Co(3) 145,000 4.26 02/22/48 A- 149,121 171,625
JPMorgan Chase & Co(3) 3,350,000 4.03 07/24/48 A- 3,373,350 3,824,913
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 137
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
JPMorgan Chase & Co(3) 3,415,000 3.96 % 11/15/48 A- $ 3,558,288 $ 3,864,454
JPMorgan Chase & Co(3) 1,560,000 3.90 01/23/49 A- 1,560,000 1,749,948
KeyCorp 695,000 2.55 10/01/29 BBB+ 677,201 678,628
Kimco Realty Corp 130,000 4.25 04/01/45 BBB+ 124,617 137,491
Kimco Realty Corp 645,000 4.13 12/01/46 BBB+ 647,191 680,393
Kimco Realty Corp 235,000 4.45 09/01/47 BBB+ 246,041 257,035
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
Lincoln National Corp 1,900,000 7.00 06/15/40 A- 2,387,682 2,697,322
Lincoln National Corp 725,000 4.35 03/01/48 A- 796,173 796,767
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
Marsh & McLennan Cos, Inc 75,000 5.88 08/01/33 A- 85,770 97,626
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 320,000 4.29 07/26/38 A- 367,201 368,663
Mitsubishi UFJ Financial Group, Inc 940,000 4.15 03/07/39 A- 942,929 1,077,080
Mitsubishi UFJ Financial Group, Inc 1,240,000 3.75 07/18/39 A- 1,247,657 1,355,843
Morgan Stanley(3) 1,490,000 3.97 07/22/38 BBB+ 1,509,191 1,651,293
Morgan Stanley 1,800,000 4.30 01/27/45 BBB+ 1,788,719 2,110,961
Morgan Stanley 2,825,000 4.38 01/22/47 BBB+ 2,873,844 3,373,555
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
Progressive Corp 635,000 4.13 04/15/47 A 711,245 736,690
Progressive Corp 295,000 4.20 03/15/48 A 337,619 344,299
Protective Life Corp 500,000 8.45 10/15/39 A- 707,063 745,346
Prudential Financial, Inc 350,000 5.75 07/15/33 A 386,861 450,878
Prudential Financial, Inc 270,000 6.63 12/01/37 A 337,586 373,837
Prudential Financial, Inc 275,000 4.60 05/15/44 A 316,358 323,812
Prudential Financial, Inc 385,000 3.91 12/07/47 A 341,486 413,250
Prudential Financial, Inc 680,000 4.42 03/27/48 A 730,693 788,609
Prudential Financial, Inc 125,000 3.94 12/07/49 A 121,250 136,015
Prudential Financial, Inc 460,000 4.35 02/25/50 A 544,082 528,605
Prudential Financial, Inc 4,280,000 3.70 03/13/51 A 4,266,951 4,489,883
Regency Centers LP 490,000 2.95 09/15/29 BBB+ 488,425 488,991
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
Sumitomo Mitsui Financial Group, Inc 1,135,000 3.04 07/16/29 A- 1,135,184 1,156,540
Teachers Insurance & Annuity
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 85,000 6.75 06/20/36 A 108,855 122,827
Travelers Cos, Inc 355,000 4.00 05/30/47 A 396,439 401,140
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 138
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Arrow Electronics, Inc 4,050,000 3.88 01/12/28 BBB- 3,920,060 4,145,106
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 710,000 3.55 02/15/50 A+ 722,026 745,565
Burlington Northern Santa Fe LLC 155,000 3.90 08/01/46 A+ 149,762 169,691
Burlington Northern Santa Fe LLC 1,425,000 4.05 06/15/48 A+ 1,405,202 1,610,734
Burlington Northern Santa Fe LLC 260,000 4.40 03/15/42 A+ 299,348 300,404
Burlington Northern Santa Fe LLC 175,000 4.55 09/01/44 A+ 175,365 208,048
Burlington Northern Santa Fe LLC 830,000 4.70 09/01/45 A+ 887,726 1,009,574
Burlington Northern Santa Fe LLC 2,105,000 4.90 04/01/44 A+ 2,401,701 2,617,624
Burlington Northern Santa Fe LLC 310,000 5.40 06/01/41 A+ 351,608 400,051
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
General Electric Co 1,060,000 6.15 08/07/37 BBB+ 1,254,145 1,312,220
General Electric Co 116,000 4.13 10/09/42 BBB+ 97,712 119,169
General Electric Co 7,765,000 5.88 01/14/38 BBB+ 8,850,509 9,394,539
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
Norfolk Southern Corp 320,000 4.05 08/15/52 BBB+ 314,484 351,088
Norfolk Southern Corp 475,000 4.10 05/15/49 BBB+ 502,826 523,259
Norfolk Southern Corp 180,000 4.15 02/28/48 BBB+ 201,139 202,852
Norfolk Southern Corp 254,000 4.45 06/15/45 BBB+ 281,207 292,341
Rockwell Collins, Inc 425,000 3.50 03/15/27 BBB+ 433,591 450,915
Rockwell Collins, Inc 1,790,000 4.35 04/15/47 BBB+ 1,870,130 2,101,547
TTX Co(1) 2,500,000 4.20 07/01/46 A 2,819,433 2,812,180
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 139
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Union Pacific Corp 400,000 3.35 % 08/15/46 A- $ 375,946 $ 387,644
Union Pacific Corp 470,000 3.55 08/15/39 A- 501,249 487,144
Union Pacific Corp 1,585,000 3.60 09/15/37 A- 1,608,165 1,649,736
Union Pacific Corp(1) 2,008,000 3.84 03/20/60 A- 1,974,475 2,029,514
Union Pacific Corp 430,000 3.88 02/01/55 A- 410,919 449,296
Union Pacific Corp 130,000 4.25 04/15/43 A- 140,306 144,512
Union Pacific Corp 2,585,000 4.38 09/10/38 A- 2,627,188 2,956,839
Union Pacific Corp 590,000 4.38 11/15/65 A- 650,927 647,051
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 2,175,000 3.75 11/01/46 BBB+ 2,032,547 2,361,842
United Technologies Corp 225,000 4.05 05/04/47 BBB+ 209,740 257,207
United Technologies Corp 460,000 4.15 05/15/45 BBB+ 446,520 525,861
United Technologies Corp 240,000 4.45 11/16/38 BBB+ 255,073 283,480
United Technologies Corp 1,666,000 4.50 06/01/42 BBB+ 1,800,016 1,991,828
United Technologies Corp 845,000 4.63 11/16/48 BBB+ 900,402 1,055,525
United Technologies Corp 505,000 5.40 05/01/35 BBB+ 559,393 648,385
United Technologies Corp 285,000 7.50 09/15/29 BBB+ 399,305 402,163
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 ____________________________________ ____________________________________
Total Industrial 60,855,439 65,312,178 ____________________________________ ____________________________________
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
Broadcom Corp / Broadcom Cayman
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
International Business Machines Corp 1,405,000 4.15 05/15/39 A 1,409,128 1,580,810
International Business Machines Corp 725,000 4.25 05/15/49 A 721,067 827,257
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 1,280,000 3.70 08/08/46 AAA 1,275,033 1,443,225
Microsoft Corp 1,955,000 3.75 02/12/45 AAA 1,910,773 2,216,511
Microsoft Corp 3,080,000 3.95 08/08/56 AAA 3,196,338 3,636,203
Microsoft Corp 2,145,000 4.00 02/12/55 AAA 2,179,888 2,533,911
Microsoft Corp 1,010,000 4.25 02/06/47 AAA 1,143,899 1,235,374
Microsoft Corp 5,520,000 4.45 11/03/45 AAA 5,988,432 6,890,936
Microsoft Corp 865,000 4.50 02/06/57 AAA 1,124,431 1,117,758
Microsoft Corp 245,000 4.75 11/03/55 AAA 284,541 327,653
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 140
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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 ____________________________________ ____________________________________
Total Technology 56,201,784 63,097,743 ____________________________________ ____________________________________
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 545,000 3.45 10/01/49 A 544,493 557,235
Alabama Power Co 41,000 3.70 12/01/47 A 40,680 43,174
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
American Transmission Systems,
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
Arizona Public Service Co 255,000 3.50 12/01/49 A- 256,539 256,273
Arizona Public Service Co 710,000 4.50 04/01/42 A- 780,352 813,065
Arizona Public Service Co 400,000 5.05 09/01/41 A- 471,049 485,307
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 225,000 3.05 10/15/29 BBB+ 225,199 223,860
Black Hills Corp 2,830,000 3.88 10/15/49 BBB+ 2,819,525 2,818,834
Black Hills Corp 415,000 4.35 05/01/33 BBB+ 414,877 459,867
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
CenterPoint Energy, Inc 1,465,000 2.95 03/01/30 BBB 1,456,120 1,442,219
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
Commonwealth Edison Co 315,000 3.80 10/01/42 A 316,255 339,214
Commonwealth Edison Co 475,000 4.35 11/15/45 A 499,078 555,749
Commonwealth Edison Co 595,000 4.60 08/15/43 A 680,658 709,549
Consolidated Edison Co of New York,
Inc 370,000 3.85 06/15/46 A- 401,110 397,506
Consolidated Edison Co of New York,
Inc 687,000 4.20 03/15/42 A- 710,082 764,539
Consolidated Edison Co of New York,
Inc 760,000 4.30 12/01/56 A- 790,822 855,269
Consolidated Edison Co of New York,
Inc 190,000 4.45 03/15/44 A- 194,457 220,145
Consolidated Edison Co of New York,
Inc 175,000 4.50 12/01/45 A- 181,925 205,321
Consolidated Edison Co of New York,
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
Dominion Energy South Carolina, Inc 155,000 4.60 06/15/43 A 170,681 183,572
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 141
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Dominion Energy South Carolina, Inc 1,445,000 5.10 % 06/01/65 A $ 1,545,400 $ 1,872,755
Dominion Energy South Carolina, Inc 125,000 5.45 02/01/41 A 149,446 162,217
Dominion Energy, Inc 1,375,000 5.95 06/15/35 BBB 1,645,981 1,746,366
Dominion Energy, Inc 540,000 4.05 09/15/42 BBB 525,231 567,916
Dominion Energy, Inc 145,000 5.25 08/01/33 BBB 154,262 174,506
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
Duke Energy Florida Project Finance
LLC 315,000 2.54 09/01/29 AAA 309,143 315,623
Duke Energy Florida Project Finance
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
Electricite de France SA(1) 605,000 6.00 01/22/2114 A- 669,652 714,674
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
Florida Power & Light Co 215,000 3.15 10/01/49 A+ 212,211 216,698
Florida Power & Light Co 395,000 3.70 12/01/47 A+ 434,318 429,955
Georgia Power Co 255,000 4.30 03/15/42 A- 282,053 279,048
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
MidAmerican Energy Co 335,000 3.15 04/15/50 A+ 339,015 329,716
MidAmerican Energy Co 605,000 3.65 08/01/48 A+ 592,902 652,119
MidAmerican Energy Co 185,000 4.25 07/15/49 A+ 190,945 221,357
MidAmerican Energy Co 510,000 4.80 09/15/43 A+ 635,423 629,095
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 142
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Oncor Electric Delivery Co LLC 1,450,000 7.25 01/15/33 A+ 1,917,452 2,091,093
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 Colorado 335,000 3.20 03/01/50 A 333,459 335,531
Public Service Co of Colorado 305,000 3.55 06/15/46 A 262,059 316,846
Public Service Co of Colorado 260,000 3.80 06/15/47 A 267,153 285,355
Public Service Co of Colorado 525,000 4.05 09/15/49 A 526,150 602,228
Public Service Co of New Hampshire 240,000 3.60 07/01/49 A+ 241,757 255,633
Public Service Electric & Gas Co 720,000 3.20 08/01/49 A 721,666 725,016
Public Service Electric & Gas Co 225,000 3.60 12/01/47 A 228,212 243,150
Public Service Electric & Gas Co 310,000 3.65 09/01/28 A 307,684 337,709
Public Service Electric & Gas Co 555,000 3.80 03/01/46 A 550,705 610,281
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 640,000 4.15 05/15/48 A 636,514 702,372
San Diego Gas & Electric Co 300,000 4.50 08/15/40 A 309,141 337,775
San Diego Gas & Electric Co 1,825,000 6.13 09/15/37 A 2,276,735 2,288,762
Southern California Edison Co 310,000 3.60 02/01/45 A- 269,297 305,884
Southern California Edison Co 265,000 3.90 12/01/41 A- 270,332 262,745
Southern California Edison Co 670,000 3.90 03/15/43 A- 650,440 685,210
Southern California Edison Co 2,091,000 4.88 03/01/49 A- 2,491,786 2,473,013
Southern California Edison Co 470,000 5.50 03/15/40 A- 599,289 579,047
Southern California Edison Co 120,000 5.95 02/01/38 A- 152,600 151,893
Southern California Gas Co 785,000 3.75 09/15/42 A+ 786,657 820,501
Southern California Gas Co 650,000 3.95 02/15/50 A+ 652,467 725,407
Southern California Gas Co 200,000 4.30 01/15/49 A+ 202,889 227,606
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
Southwestern Electric Power Co 355,000 3.90 04/01/45 A- 372,467 370,272
Southwestern Electric Power Co 180,000 6.20 03/15/40 A- 246,791 236,636
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 143
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Union Electric Co 170,000 2.95 % 06/15/27 A $ 169,477 $ 175,010
Union Electric Co 475,000 3.25 10/01/49 A 472,852 470,086
Union Electric Co 390,000 3.90 09/15/42 A 376,652 424,213
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 ____________________________________ ____________________________________
Total Corporate Bonds 840,872,352 921,463,053 ____________________________________ ____________________________________
Foreign Government Bonds: 2.61%
Bermuda: 0.25%
Bermuda Government International
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%
Colombia Government International
Bond 5,640,000 5.00 06/15/45 BBB- 5,875,397 6,550,860
Colombia Government International
Bond 1,065,000 5.20 05/15/49 BBB- 1,263,370 1,281,727
Colombia Government International
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%
Indonesia Government International
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%
Mexico Government International
Bond 5,650,000 4.35 01/15/47 BBB+ 5,395,920 5,960,750
Mexico Government International
Bond 925,000 4.50 04/22/29 BBB+ 962,134 1,014,262
Mexico Government International
Bond 1,245,000 4.50 01/31/50 BBB+ 1,265,665 1,345,845
Mexico Government International
Bond 2,558,000 4.60 01/23/46 BBB+ 2,591,920 2,775,430
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 144
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Foreign Government Bonds (Continued)
Mexico Government International
Bond 865,000 4.75 % 03/08/44 BBB+ $ 905,734 $ 955,825
Mexico Government International
Bond 120,000 7.50 04/08/33 BBB+ 152,079 171,000 ____________________________________ ____________________________________
Total Mexico 11,273,452 12,223,112 ____________________________________ ____________________________________
Multi-National: 0.12%
Banque Ouest Africaine de
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%
Panama Government International
Bond 3,995,000 3.16 01/23/30 BBB+ 4,066,839 4,114,850
Panama Government International
Bond 1,585,000 4.30 04/29/53 BBB+ 1,816,344 1,842,562
Panama Government International
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%
Philippine Government International
Bond 155,000 3.70 02/02/42 BBB+ 160,234 175,164
Philippine Government International
Bond 555,000 3.75 01/14/29 BBB+ 611,960 612,125
Philippine Government International
Bond 1,205,000 3.95 01/20/40 BBB+ 1,379,966 1,379,355
Philippine Government International
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 ____________________________________ ____________________________________
Total Foreign Government Bonds 46,273,655 48,847,450 ____________________________________ ____________________________________
Government/Agency Bonds: 42.44%
Federal Agencies: 4.71%
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
Residual Funding Corp Principal
Strip(2) 11,190,000 2.45 01/15/30 8,347,404 8,774,774
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 145
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
Residual Funding Corp Principal
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 ____________________________________ ____________________________________
Total Federal Agencies 81,529,575 87,981,359 ____________________________________ ____________________________________
US Government Notes & Bonds: 37.73%
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 Coupon Strip(2) 8,390,000 2.44 05/15/39 4,648,561 5,255,787
US Treasury Coupon Strip(2) 14,365,000 2.46 08/15/39 9,189,974 8,919,239
US Treasury Coupon Strip(2) 28,565,000 2.49 11/15/40 17,455,511 17,101,886
US Treasury Coupon Strip(2) 9,580,000 2.53 11/15/46 4,600,473 4,892,613
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 146
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
US Treasury Principal Strip(2) 7,755,000 2.47 % 05/15/44 $ 3,783,917 $ 4,282,310 ____________________________________ ____________________________________
Total US Government Notes & Bonds 678,339,411 705,808,403 ____________________________________ ____________________________________
Total Government/Agency Bonds 759,868,986 793,789,762 ____________________________________ ____________________________________
Corporate Mortgage-Backed Securities: 0.22%
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 ____________________________________ ____________________________________
Total Corporate Mortgage-Backed
Securities 4,160,576 4,140,148 ____________________________________ ____________________________________
Municipal Bonds: 3.65%
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
City of Chicago 210,000 7.38 01/01/33 BBB+ 211,755 251,555
City of Chicago 485,000 6.31 01/01/44 BBB+ 515,739 551,300
City of Chicago O'Hare International
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
District of Columbia Water & Sewer
Authority 635,000 4.81 10/01/2114 AAA 660,136 834,301
Health & Educational Facilities
Authority of the State of Missouri 1,175,000 3.65 08/15/57 AA+ 1,162,432 1,234,760
Health & Educational Facilities
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
Metropolitan Government of
Nashville & Davidson County
Convention Center Authority
Revenue 885,000 6.73 07/01/43 AA 1,117,012 1,264,373
Metropolitan Transportation Authority
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
New Jersey State Turnpike Authority
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
New York City Transitional Finance
Authority Future Tax Secured
Revenue 1,515,000 5.51 08/01/37 AAA 1,826,569 1,921,974
New York City Transitional Finance
Authority Future Tax Secured
Revenue 455,000 5.57 11/01/38 AAA 560,298 574,529
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 147
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Municipal Bonds (Continued)
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
New York State Urban Development
Corp 290,000 5.77 03/15/39 AA+ 347,046 351,698
North Texas Tollway Authority
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
Port Authority of New York & New
Jersey 1,310,000 4.93 10/01/51 AA- 1,386,844 1,697,039
Port Authority of New York & New
Jersey 380,000 4.81 10/15/65 AA- 454,596 478,678
Port Authority of New York & New
Jersey 1,760,000 4.46 10/01/62 AA- 1,823,008 2,157,056
Regents of the University of
California Medical Center Pooled
Revenue 90,000 6.58 05/15/49 AA- 131,721 129,583
Regents of the University of
California Medical Center Pooled
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 400,000 7.55 04/01/39 AA- 580,357 641,608
State of California 715,000 7.30 10/01/39 AA- 1,021,398 1,091,819
State of California 1,225,000 7.35 11/01/39 AA- 1,675,274 1,881,747
State of California 645,000 7.63 03/01/40 AA- 981,076 1,032,793
State of California 3,415,000 7.60 11/01/40 AA- 4,091,706 5,637,175
State of Illinois 5,385,000 5.10 06/01/33 BBB- 5,288,214 5,805,192
State of New Jersey Turnpike
Authority 105,000 7.41 01/01/40 A+ 157,898 164,709
State of Texas 365,000 5.52 04/01/39 AAA 446,138 492,724
State of Texas 175,000 4.68 04/01/40 AAA 192,361 214,233
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 ____________________________________ ____________________________________
Total Municipal Bonds 59,670,763 68,323,428 ____________________________________ ____________________________________
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 148
Shares Cost
Fair
Value ___________ ____________ ______________
Short-Term Investments: 0.84%
Wells Fargo/BlackRock Short Term
Investment Fund S(4) 15,683,370 $ 15,683,370 $ 15,683,370 ____________________________________ ____________________________________
Total Short-Term Investments 15,683,370 15,683,370 ____________________________________ ____________________________________
Total Investments: 99.02% $ 1,726,529,702 $ 1,852,247,211 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Open futures contracts outstanding as of December 31, 2019, were as follows:
Contracts Description
Value
Unrealized
Depreciation _________________________________________________________ ______________ _______________
Financial Futures - Long:
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) ______________ _______________ ______________ _______________
Contracts Description
Value
Unrealized
Appreciation _________________________________________________________ ______________ _______________
Financial Futures - Short:
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) _______________
Percentages shown are based on total net assets.
(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
approximately 0.26% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FHLB Federal Home Loan Bank
See accompanying notes to financial statements.
See accompanying notes to financial statements. 149
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Financial Highlights
Year ended December 31, 2019
Per share operating performance:
Share value, beginning of year $ 18.04
Income from investment operations:
Net investment income (loss)(1) 0.69
Net realized and unrealized gain (loss) on investments 2.81
Total from investment operations 3.50
Share value, end of year $ 21.54
Total return per share 19.40%
Net assets, end of year $ 1,870,548,858
Ratios:
Ratio of expenses to average net assets 0.16%
Ratio of net investment income (loss) to average net assets 3.40%
Portfolio Turnover Rate 135%
(1) Based on average number of shares outstanding.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
See accompanying notes to financial statements. 150
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Supplemental Schedule of Monthly Values (Unaudited)
Year Ended December 31, 2019
Shares Share
outstanding valuation
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
See accompanying notes to financial statements. 151
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 1,391,364 $ 1,391,364
Unaffiliated investments 173,121,275 182,465,774
Receivable for investment securities sold 907,013
Accrued interest income 630,044
Cash collateral held at broker 415,897
Fund shares sold 55,371
Total assets 185,865,463
Liabilities:
Payable for investment securities purchased 1,026,763
Variation margin payable 41,335
Trustee expenses 25,442
Total liabilities 1,093,540
Net assets $ 184,771,923
Shares outstanding 10,654,242
Share value $ 17.34
See accompanying notes to financial statements. 152
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Statement of Operations
Year ended December 31, 2019
Investment income:
Interest income $ 5,940,164
Dividend income from affiliated short term investment 50,329
Dividend income from unaffiliated investments 40,863
Total income 6,031,356
Expenses:
Administration, Advisory, and/or Trustee Fees 251,384
Total expenses 251,384
Net investment income (loss) 5,779,972
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 9,046,104
Futures contracts 1,144,934
Net change in unrealized appreciation (depreciation) on:
Investments 10,701,888
Futures contracts (392,249)
Net gain (loss) on investment transactions 20,500,677
Net change in net assets resulting from operations $ 26,280,649
See accompanying notes to financial statements. 153
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 5,779,972
Net realized gain (loss) on investment transactions 10,191,038
Net change in unrealized appreciation (depreciation) of investments 10,309,639
Net increase (decrease) in net assets resulting from
operations 26,280,649
Participating share holder transactions:
Proceeds from issuance of shares (3,755,715 shares) 62,554,761
Payments for withdrawals (2,083,774 shares) (33,645,699)
Net Change 28,909,062
Change in net assets derived from share transactions 28,909,062
Total increase (decrease) in net assets 55,189,711
Net assets:
Beginning of year (8,982,301 shares) 129,582,212
End of year (10,654,242 shares) $ 184,771,923
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 154
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds: 25.99%
Basic Materials: 0.12%
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 ____________________________________ ____________________________________
Communications: 4.61%
Amazon.com, Inc 245,000 4.80 12/05/34 AA- 275,179 308,345
America Movil SAB de CV 200,000 4.38 04/22/49 A- 228,169 229,672
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
Charter Communications Operating
LLC / Charter Communications
Operating Capital 565,000 6.48 10/23/45 BBB- 635,960 704,600
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
Telefonica Emisiones SA 380,000 5.21 03/08/47 BBB 421,930 449,741
Tencent Holdings Ltd(1) 200,000 3.93 01/19/38 A+ 181,842 210,600
Time Warner Cable LLC 225,000 4.50 09/15/42 BBB- 210,699 229,428
TWDC Enterprises 18 Corp 220,000 4.13 06/01/44 A 247,079 258,973
Verizon Communications, Inc 330,000 5.50 03/16/47 BBB+ 362,676 446,757
Verizon Communications, Inc 160,000 4.52 09/15/48 BBB+ 152,869 191,372
Verizon Communications, Inc 242,000 4.67 03/15/55 BBB+ 216,727 298,494
ViacomCBS, Inc 155,000 5.85 09/01/43 BBB 186,474 193,698
Vodafone Group PLC 435,000 5.25 05/30/48 BBB 448,174 522,847 ____________________________________ ____________________________________
Total Communications 7,455,571 8,475,458 ____________________________________ ____________________________________
Consumer, Cyclical: 0.76%
American Airlines 2016-1 Class AA
Pass-Through Trust 17,137 3.58 07/15/29 AA+ 16,681 17,982
Darden Restaurants, Inc 130,000 4.55 02/15/48 BBB 131,155 131,537
General Motors Co 280,000 5.95 04/01/49 BBB 301,884 309,571
General Motors Co 75,000 6.75 04/01/46 BBB 87,628 88,034
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 ____________________________________ ____________________________________
Total Consumer, Cyclical 1,279,407 1,396,218 ____________________________________ ____________________________________
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 155
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Consumer, Non-cyclical: 5.18%
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
Altria Group, Inc 135,000 3.88 09/16/46 BBB 112,379 125,189
Altria Group, Inc 150,000 5.95 02/14/49 BBB 175,507 181,358
Anheuser-Busch Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 290,000 4.70 02/01/36 A- 312,340 334,472
Anheuser-Busch Cos LLC / Anheuser-
Busch InBev Worldwide, Inc 660,000 4.90 02/01/46 A- 640,242 780,541
Anheuser-Busch InBev Worldwide,
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
BAT Capital Corp 555,000 4.39 08/15/37 BBB+ 530,039 560,843
Bristol-Myers Squibb Co(1) 275,000 4.25 10/26/49 A+ 295,288 325,410
Bristol-Myers Squibb Co(1) 120,000 5.00 08/15/45 A+ 152,938 153,493
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
CVS Health Corp 215,000 4.78 03/25/38 BBB 212,125 243,693
CVS Health Corp 435,000 5.05 03/25/48 BBB 456,173 513,944
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
Gilead Sciences, Inc 70,000 4.75 03/01/46 A 79,502 83,933
Highmark, Inc(1) 160,000 6.13 05/15/41 A 155,712 196,527
Johnson & Johnson 105,000 3.75 03/03/47 AAA 109,582 119,646
Keurig Dr Pepper, Inc 170,000 5.09 05/25/48 BBB 194,193 204,202
Kraft Heinz Foods Co(1) 230,000 7.13 08/01/39 BBB- 288,214 294,074
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
UnitedHealth Group, Inc 135,000 4.45 12/15/48 A+ 150,921 160,951
UnitedHealth Group, Inc 55,000 4.63 07/15/35 A+ 60,239 66,669
Zimmer Biomet Holdings, Inc 125,000 4.45 08/15/45 BBB 136,478 134,122 ____________________________________ ____________________________________
Total Consumer, Non-cyclical 8,708,350 9,518,068 ____________________________________ ____________________________________
Energy: 3.25%
Apache Corp 320,000 5.35 07/01/49 BBB 325,203 333,623
Baker Hughes a GE Co LLC / Baker
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
Devon Energy Corp 80,000 5.00 06/15/45 BBB- 81,832 92,592
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 156
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
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
Energy Transfer Operating LP 300,000 6.13 12/15/45 BBB- 324,889 347,044
Enterprise Products Operating LLC 155,000 6.65 10/15/34 BBB+ 176,893 210,202
Equinor ASA 190,000 3.95 05/15/43 AA- 188,327 211,427
Exxon Mobil Corp 225,000 3.00 08/16/39 AA+ 229,631 224,986
Kinder Morgan, Inc 295,000 5.20 03/01/48 BBB 308,416 341,567
Marathon Petroleum Corp 95,000 5.00 09/15/54 BBB 88,779 102,298
MPLX LP 150,000 5.50 02/15/49 BBB 147,404 169,926
Occidental Petroleum Corp 150,000 4.63 06/15/45 BBB 149,898 154,761
Occidental Petroleum Corp 285,000 4.40 08/15/49 BBB 292,784 293,367
ONEOK, Inc 330,000 5.20 07/15/48 BBB 360,066 373,427
Petroleos Mexicanos 280,000 6.63 06/15/38 BBB+ 286,406 279,580
Petroleos Mexicanos 145,000 6.35 02/12/48 BBB+ 133,112 139,925
Rockies Express Pipeline LLC(1) 200,000 4.95 07/15/29 BBB- 206,691 199,149
Shell International Finance BV 200,000 4.13 05/11/35 AA- 198,763 233,542
Shell International Finance BV 220,000 6.38 12/15/38 AA- 272,568 320,358
Sunoco Logistics Partners Operations
LP 255,000 5.40 10/01/47 BBB- 257,275 276,510
TransCanada PipeLines Ltd 210,000 4.88 05/15/48 BBB+ 214,403 247,504
Williams Cos, Inc 220,000 6.30 04/15/40 BBB 266,804 272,322 ____________________________________ ____________________________________
Total Energy 5,595,797 5,977,603 ____________________________________ ____________________________________
Financial: 5.02%
Alexandria Real Estate Equities, Inc 365,000 3.38 08/15/31 BBB+ 384,577 380,392
American International Group, Inc 350,000 4.75 04/01/48 BBB+ 346,990 420,728
Aon PLC 175,000 4.75 05/15/45 A- 190,971 205,800
Bank of America Corp(2) 380,000 4.24 04/24/38 A- 388,546 437,138
Bank of America Corp 270,000 5.88 02/07/42 A- 329,850 382,515
Bank of America Corp(2) 90,000 4.33 03/15/50 A- 100,396 107,738
Blackstone Holdings Finance Co
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
Citigroup, Inc 190,000 5.88 01/30/42 BBB+ 246,603 268,341
Citigroup, Inc 240,000 4.75 05/18/46 BBB 247,953 287,583
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
Guardian Life Insurance Co of
America(1) 190,000 4.88 06/19/64 AA- 190,864 231,305
JPMorgan Chase & Co 260,000 5.60 07/15/41 A- 289,157 355,305
JPMorgan Chase & Co(2) 220,000 4.03 07/24/48 A- 222,300 251,188
JPMorgan Chase & Co(2) 210,000 3.90 01/23/49 A- 210,481 235,570
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
Lincoln National Corp 160,000 7.00 06/15/40 A- 199,631 227,143
MetLife, Inc 470,000 6.40 12/15/66 BBB 491,786 575,750
Morgan Stanley 325,000 4.30 01/27/45 BBB+ 319,421 381,146
Morgan Stanley 115,000 4.38 01/22/47 BBB+ 125,074 137,331
National Life Insurance Co(1)(2) 156,000 5.25 07/19/68 A- 157,195 167,939
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 157
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Prudential Financial, Inc 270,000 3.70 % 03/13/51 A $ 268,176 $ 283,240
Regency Centers LP 150,000 4.40 02/01/47 BBB+ 150,323 169,386
Simon Property Group LP 165,000 4.75 03/15/42 A 195,576 197,701
Sompo International Holdings Ltd 145,000 7.00 07/15/34 A- 177,831 191,689
Teachers Insurance & Annuity
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
Burlington Northern Santa Fe LLC 150,000 4.13 06/15/47 A+ 158,665 169,895
Burlington Northern Santa Fe LLC 230,000 4.90 04/01/44 A+ 260,841 286,011
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
General Electric Co 671,000 5.88 01/14/38 BBB+ 797,962 811,814
Kansas City Southern 225,000 4.70 05/01/48 BBB 268,785 263,133
Lockheed Martin Corp 265,000 4.09 09/15/52 A- 303,024 309,841
Union Pacific Corp 300,000 3.60 09/15/37 A- 287,051 312,253
United Parcel Service, Inc 90,000 4.25 03/15/49 A 90,044 105,088
United Technologies Corp 140,000 4.05 05/04/47 BBB+ 130,819 160,040
United Technologies Corp 80,000 4.63 11/16/48 BBB+ 85,245 99,931
United Technologies Corp 155,000 5.70 04/15/40 BBB+ 187,581 208,263 ____________________________________ ____________________________________
Total Industrial 3,649,366 3,863,324 ____________________________________ ____________________________________
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
Broadcom Corp / Broadcom Cayman
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
Microsoft Corp 245,000 3.95 08/08/56 AAA 231,648 289,243
Microsoft Corp 385,000 4.45 11/03/45 AAA 410,226 480,618
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 ____________________________________ ____________________________________
Total Technology 2,845,445 3,315,786 ____________________________________ ____________________________________
Utilities: 3.15%
AEP Transmission Co LLC 160,000 4.25 09/15/48 A- 159,972 183,220
American Transmission Systems,
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
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 158
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Corporate Bonds (Continued)
Basin Electric Power Cooperative(1) 225,000 4.75 % 04/26/47 A $ 238,140 $ 254,649
Black Hills Corp 230,000 3.88 10/15/49 BBB+ 229,555 229,093
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
Commonwealth Edison Co 160,000 3.75 08/15/47 A 151,803 172,366
Consolidated Edison Co of New York,
Inc 210,000 4.50 12/01/45 A- 228,189 246,386
Consolidated Edison Co of New York,
Inc 75,000 5.50 12/01/39 A- 94,223 96,084
Dominion Energy, Inc 230,000 5.95 06/15/35 BBB 270,258 292,119
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
Electricite de France SA(1) 215,000 4.95 10/13/45 A- 226,066 253,201
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
Georgia Power Co 130,000 4.30 03/15/42 A- 132,339 142,260
Georgia Power Co 190,000 4.75 09/01/40 A- 220,770 214,970
Indiana Michigan Power Co 65,000 6.05 03/15/37 A- 69,798 85,026
ITC Holdings Corp 225,000 5.30 07/01/43 BBB+ 229,967 275,601
MidAmerican Energy Co 150,000 3.95 08/01/47 A+ 157,411 169,522
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
San Diego Gas & Electric Co 210,000 6.13 09/15/37 A 261,980 263,364
Southern California Edison Co 200,000 4.88 03/01/49 A- 238,334 236,539 ____________________________________ ____________________________________
Total Utilities 5,371,226 5,790,855 ____________________________________ ____________________________________
Total Corporate Bonds 43,336,044 47,792,102 ____________________________________ ____________________________________
Foreign Government Bonds: 0.88%
Bermuda: 0.14%
Bermuda Government International
Bond(1) 245,000 3.72 01/25/27 A+ 245,811 257,253 ____________________________________ ____________________________________
Total Bermuda 245,811 257,253 ____________________________________ ____________________________________
Colombia: 0.18%
Colombia Government International
Bond 290,000 5.00 06/15/45 BBB- 285,018 336,835 ____________________________________ ____________________________________
Total Colombia 285,018 336,835 ____________________________________ ____________________________________
Mexico: 0.38%
Mexico Government International
Bond 350,000 4.35 01/15/47 BBB+ 330,269 369,250
Mexico Government International
Bond 300,000 4.75 03/08/44 BBB+ 288,988 331,500 ____________________________________ ____________________________________
Total Mexico 619,257 700,750 ____________________________________ ____________________________________
Multi-National: 0.10%
Banque Ouest Africaine de
Developpement(1) 180,000 4.70 10/22/31 180,000 182,743 ____________________________________ ____________________________________
Total Multi-National 180,000 182,743 ____________________________________ ____________________________________
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 159
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Foreign Government Bonds (Continued)
United Arab Emirates: 0.08%
Abu Dhabi Government International
Bond(1) 120,000 4.13 % 10/11/47 AA $ 113,290 $ 139,500 ____________________________________ ____________________________________
Total United Arab Emirates 113,290 139,500 ____________________________________ ____________________________________
Total Foreign Government Bonds 1,443,376 1,617,081 ____________________________________ ____________________________________
Government/Agency Bonds: 69.71%
Federal Agencies: 2.03%
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 ____________________________________ ____________________________________
Total Federal Agencies 3,386,351 3,740,099 ____________________________________ ____________________________________
US Government Notes & Bonds: 67.68%
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
US Treasury Coupon Strip(3) 2,095,000 2.35 08/15/35 1,374,608 1,457,553
US Treasury Coupon Strip(3) 370,000 2.36 11/15/35 249,432 255,459
US Treasury Coupon Strip(3) 1,625,000 2.35 02/15/36 1,137,708 1,118,163
US Treasury Coupon Strip(3) 1,035,000 2.38 05/15/36 697,635 703,875
US Treasury Coupon Strip(3) 295,000 2.38 05/15/37 187,144 196,072
US Treasury Coupon Strip(3) 550,000 2.42 11/15/37 364,012 358,464
US Treasury Coupon Strip(3) 3,015,000 2.40 02/15/38 1,940,534 1,960,807
US Treasury Coupon Strip(3) 1,785,000 2.41 05/15/38 1,128,096 1,151,456
US Treasury Coupon Strip(3) 3,195,000 2.43 08/15/38 1,986,401 2,043,213
US Treasury Coupon Strip(3) 1,330,000 2.45 11/15/38 820,062 842,191
US Treasury Coupon Strip(3) 180,000 2.44 02/15/39 115,313 113,564
US Treasury Coupon Strip(3) 2,460,000 2.44 05/15/39 1,459,197 1,541,029
US Treasury Coupon Strip(3) 280,000 2.46 08/15/39 155,463 173,852
US Treasury Coupon Strip(3) 350,000 2.47 11/15/39 220,397 215,531
US Treasury Coupon Strip(3) 1,155,000 2.47 02/15/40 701,110 707,297
US Treasury Coupon Strip(3) 2,795,000 2.47 05/15/40 1,625,887 1,698,721
US Treasury Coupon Strip(3) 2,090,000 2.48 08/15/40 1,199,858 1,261,077
US Treasury Coupon Strip(3) 3,480,000 2.49 11/15/40 2,027,601 2,083,479
US Treasury Coupon Strip(3) 1,635,000 2.50 02/15/41 931,175 971,366
US Treasury Coupon Strip(3) 1,505,000 2.49 05/15/41 829,346 889,301
US Treasury Coupon Strip(3) 830,000 2.50 08/15/41 449,594 486,364
US Treasury Coupon Strip(3) 1,150,000 2.51 11/15/41 630,782 669,064
US Treasury Coupon Strip(3) 1,945,000 2.51 02/15/42 1,082,909 1,123,185
US Treasury Coupon Strip(3) 755,000 2.52 05/15/42 429,070 432,807
US Treasury Coupon Strip(3) 990,000 2.53 08/15/42 538,322 563,026
US Treasury Coupon Strip(3) 2,550,000 2.52 11/15/42 1,350,950 1,443,117
US Treasury Coupon Strip(3) 1,550,000 2.53 02/15/43 839,670 870,679
US Treasury Coupon Strip(3) 2,695,000 2.53 05/15/43 1,427,350 1,502,321
US Treasury Coupon Strip(3) 1,425,000 2.53 08/15/43 730,027 790,062
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 160
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
US Treasury Coupon Strip(3) 2,000,000 2.53 % 11/15/43 $ 1,050,782 $ 1,101,953
US Treasury Coupon Strip(3) 1,205,000 2.53 02/15/44 646,529 659,036
US Treasury Coupon Strip(3) 1,605,000 2.54 05/15/44 877,178 871,088
US Treasury Coupon Strip(3) 1,170,000 2.54 08/15/44 628,730 631,007
US Treasury Coupon Strip(3) 550,000 2.54 11/15/44 276,049 294,882
US Treasury Coupon Strip(3) 975,000 2.53 02/15/45 480,160 520,483
US Treasury Coupon Strip(3) 120,000 2.53 08/15/45 55,801 63,211
US Treasury Coupon Strip(3) 215,000 2.54 11/15/45 116,716 112,435
US Treasury Coupon Strip(3) 115,000 2.53 05/15/46 51,397 59,455
US Treasury Coupon Strip(3) 915,000 2.53 11/15/46 439,398 467,301
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) 605,000 2.20 02/15/38 408,775 407,631
US Treasury Principal Strip(3) 2,415,000 2.21 05/15/38 1,513,796 1,615,454
US Treasury Principal Strip(3) 765,000 2.27 02/15/39 428,594 497,987
US Treasury Principal Strip(3) 3,185,000 2.29 05/15/39 2,005,419 2,053,772
US Treasury Principal Strip(3) 1,565,000 2.30 08/15/39 1,004,374 1,000,922
US Treasury Principal Strip(3) 2,790,000 2.32 11/15/39 1,694,438 1,768,598
US Treasury Principal Strip(3) 815,000 2.33 05/15/40 432,575 509,318
US Treasury Principal Strip(3) 955,000 2.36 08/15/40 575,981 590,837
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
US Treasury Principal Strip(3) 675,000 2.40 08/15/41 411,720 403,807
US Treasury Principal Strip(3) 840,000 2.41 11/15/41 467,405 498,418
US Treasury Principal Strip(3) 1,070,000 2.42 02/15/42 622,866 630,186
US Treasury Principal Strip(3) 235,000 2.43 05/15/42 121,628 137,361
US Treasury Principal Strip(3) 655,000 2.44 08/15/42 315,578 379,798
US Treasury Principal Strip(3) 1,050,000 2.44 11/15/42 491,546 604,339
US Treasury Principal Strip(3) 8,785,000 2.45 02/15/43 4,571,626 5,017,059
US Treasury Principal Strip(3) 1,595,000 2.46 05/15/43 777,481 904,630
US Treasury Principal Strip(3) 1,475,000 2.46 08/15/43 837,086 830,817
US Treasury Principal Strip(3) 7,345,000 2.46 11/15/43 3,912,973 4,109,511
US Treasury Principal Strip(3) 11,830,000 2.46 02/15/44 6,381,554 6,576,670
US Treasury Principal Strip(3) 8,075,000 2.47 05/15/44 4,547,431 4,459,014
US Treasury Principal Strip(3) 2,845,000 2.47 11/15/44 1,485,051 1,551,426
US Treasury Principal Strip(3) 1,395,000 2.46 02/15/45 733,915 756,710
US Treasury Principal Strip(3) 895,000 2.46 05/15/45 504,338 482,538
US Treasury Principal Strip(3) 4,675,000 2.46 08/15/45 2,537,480 2,506,240
US Treasury Principal Strip(3) 1,225,000 2.46 11/15/45 568,086 653,418
US Treasury Principal Strip(3) 5,110,000 2.46 02/15/46 2,652,786 2,707,493
US Treasury Principal Strip(3) 4,295,000 2.46 05/15/46 2,087,145 2,261,655
US Treasury Principal Strip(3) 1,695,000 2.46 08/15/46 927,442 887,641
US Treasury Principal Strip(3) 7,555,000 2.46 11/15/46 3,681,820 3,935,993
US Treasury Principal Strip(3) 5,065,000 2.45 02/15/47 2,535,485 2,629,679
US Treasury Principal Strip(3) 17,430,000 2.45 05/15/47 8,369,895 8,974,702
US Treasury Principal Strip(3) 4,330,000 2.46 08/15/47 2,275,865 2,213,312
US Treasury Principal Strip(3) 2,730,000 2.46 11/15/47 1,234,393 1,386,205
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 161
Par
Value
Interest
Rate
Maturity
Date
Rating
(Unaudited) Cost
Fair
Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________
Government/Agency Bonds (Continued)
US Treasury Principal Strip(3) 2,060,000 2.46 % 02/15/48 $ 1,066,697 $ 1,039,937
US Treasury Principal Strip(3) 7,325,000 2.46 05/15/48 3,681,507 3,678,837
US Treasury Principal Strip(3) 4,805,000 2.46 08/15/48 2,295,418 2,398,076
US Treasury Principal Strip(3) 11,540,000 2.45 11/15/48 5,774,522 5,741,649
US Treasury Principal Strip(3) 8,130,000 2.45 02/15/49 4,041,866 4,011,872
US Treasury Principal Strip(3) 615,000 2.46 05/15/49 340,794 301,554
US Treasury Principal Strip(3) 1,475,000 2.45 08/15/49 783,915 720,870 ____________________________________ ____________________________________
Total US Government Notes & Bonds 120,454,764 124,425,504 ____________________________________ ____________________________________
Total Government/Agency Bonds 123,841,115 128,165,603 ____________________________________ ____________________________________
Municipal Bonds: 1.59%
Chicago Transit Authority 125,000 (1.43) 12/01/40 AA 138,775 168,865
City of Chicago O'Hare International
Airport Revenue 50,000 6.90 01/01/40 A 57,379 71,891
District of Columbia Water & Sewer
Authority 125,000 6.40 10/01/2114 AAA 125,000 164,232
Metropolitan Government of
Nashville & Davidson County
Convention Center Authority
Revenue 165,000 4.81 07/01/43 AA 208,573 235,731
Metropolitan Transportation Authority
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
New Jersey State Turnpike Authority
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
Port Authority of New York & New
Jersey 110,000 5.59 10/01/51 AA- 126,392 142,499
Port Authority of New York & New
Jersey 135,000 4.93 10/01/62 AA- 172,329 165,456
State of California 185,000 4.46 04/01/39 AA- 252,399 296,744
State of California 120,000 7.55 11/01/40 AA- 163,742 198,085
State of Illinois 440,000 7.60 06/01/33 BBB- 432,699 474,333 ____________________________________ ____________________________________
Total Municipal Bonds 2,510,658 2,918,016 ____________________________________ ____________________________________
Shares
___________
Exchange Traded Funds: 1.07%
Vanguard Long-Term Corporate Bond
ETF 19,465 1,990,082 1,972,972 ____________________________________ ____________________________________
Total Exchange Traded Funds 1,990,082 1,972,972 ____________________________________ ____________________________________
Short-Term Investments: 0.76%
Wells Fargo/BlackRock Short Term
Investment Fund S(4) 1,391,364 1,391,364 1,391,364 ____________________________________ ____________________________________
Total Short-Term Investments 1,391,364 1,391,364 ____________________________________ ____________________________________
Total Investments: 100.00% $ 174,512,639 $ 183,857,138 ____________________________________ ____________________________________ ____________________________________ ____________________________________
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 162
Open futures contracts outstanding as of December 31, 2019, were as follows:
Contracts Description
Value
Unrealized
Depreciation _________________________________________________________ ______________ _______________
Financial Futures - Long:
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) ______________ _______________ ______________ _______________
Contracts Description
Value
Unrealized
Appreciation/
Depreciation _________________________________________________________ ______________ _______________
Financial Futures - Short:
26
U.S. Treasury 10 Years Ultra Bond, March
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.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
See accompanying notes to financial statements.
See accompanying notes to financial statements. 163
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Financial Highlights
Year ended December 31, 2019
Per share operating performance:
Share value, beginning of year $ 14.43
Income from investment operations:
Net investment income (loss)(1) 0.61
Net realized and unrealized gain (loss) on investments 2.30
Total from investment operations 2.91
Share value, end of year $ 17.34
Total return per share 20.22%
Net assets, end of year $ 184,771,923
Ratios:
Ratio of expenses to average net assets 0.16%
Ratio of net investment income (loss) to average net assets 3.70%
Portfolio Turnover Rate 144%
(1) Based on average number of shares outstanding.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
See accompanying notes to financial statements. 164
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Shares Share
outstanding valuation
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
See accompanying notes to financial statements. 165
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 961,819 $ 961,819
Unaffiliated investments 49,800,967 51,680,924
Receivable for investment securities sold 105,982
Dividend income 21,046
Total assets 52,769,771
Liabilities:
Trustee expenses 17,687
Total liabilities 17,687
Net assets $ 52,752,084
Class E2 shares outstanding 5,186,543
Class E2 share value $ 10.17
See accompanying notes to financial statements. 166
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments $ 143,748
Dividend income from affiliated short term investment 5,589
Total income 149,337
Expenses:
Administration, Advisory, and/or Trustee Fees 88,512
Total expenses 88,512
Net investment income (loss) 60,825
Realized and unrealized gain (loss) on investment and foreign
currency transactions:
Net realized gain (loss) on:
Investments (992,096)
Foreign currency transactions (2)
Net change in unrealized appreciation (depreciation) on:
Investments 1,879,957
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
See accompanying notes to financial statements. 167
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 60,825
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
Net increase (decrease) in net assets resulting from
operations 948,692
Participating share holder transactions:
Class E2 proceeds from issuance of shares (5,186,543 shares) 51,803,392
Net change 51,803,392
Change in net assets derived from share transactions 51,803,392
Total increase (decrease) in net assets 52,752,084
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.
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 168
Shares Cost
Fair
Value ___________ ____________ ______________
Equities: 97.97%
Communication Services: 12.06%
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 ____________________________________ ____________________________________
Total Communication Services 5,920,486 6,360,171 ____________________________________ ____________________________________
Consumer Discretionary: 17.62%
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 ____________________________________ ____________________________________
Total Consumer Discretionary 9,221,148 9,295,474 ____________________________________ ____________________________________
Consumer Staples: 2.85%
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 ____________________________________ ____________________________________
Total Consumer Staples 1,423,996 1,501,292 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Financials 2,362,423 2,384,383 ____________________________________ ____________________________________
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
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 169
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
Zoetis, Inc 8,326 $ 963,545 $ 1,101,946 ____________________________________ ____________________________________
Total Health Care 4,419,151 4,784,318 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Industrials 5,934,679 5,905,123 ____________________________________ ____________________________________
Information Technology: 37.70%
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
Mastercard, Inc Cl-A 7,153 2,005,361 2,135,814
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 ____________________________________ ____________________________________
Total Information Technology 19,071,623 19,888,436 ____________________________________ ____________________________________
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
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 170
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
SBA Communications Corp 1,040 $ 244,316 $ 250,629 ____________________________________ ____________________________________
Total Real Estate 657,964 727,159 ____________________________________ ____________________________________
Total Equities 49,800,967 51,680,924 ____________________________________ ____________________________________
Short-Term Investments: 1.82%
Wells Fargo/BlackRock Short Term
Investment Fund S (1) 961,819 961,819 961,819 ____________________________________ ____________________________________
Total Short-Term Investments 961,819 961,819 ____________________________________ ____________________________________
Total Investments: 99.79% $ 50,762,786 $ 52,642,743 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(1) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds
approximately 0.02% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
See accompanying notes to financial statements. 171
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Financial Highlights
Year ended December 31, 2019
Class E2 (1)
Per share operating performance:
Share value, beginning of year $ 10.00
Income from investment operations:
Net investment income (loss)(2) 0.01
Net realized and unrealized gain (loss) on investments 0.16
Total from investment operations 0.17
Share value, end of year $ 10.17
Total return per share 1.71% (3)
Net assets, end of year $ 52,752,084
Ratios:
Ratio of expenses to average net assets 0.40% (4)
Ratio of net investment income (loss) to average net assets 0.28% (4)
Portfolio Turnover Rate 18%
(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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
See accompanying notes to financial statements. 172
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class E2(1)
Shares Share
outstanding valuation
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.
See accompanying notes to financial statements. 173
WELLS FARGO SPECIAL MID CAP VALUE CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 937,915 $ 937,915
Unaffiliated investments 16,604,384 17,829,200
Fund shares sold 2,675,126
Dividend income 30,419
Total assets 21,472,660
Liabilities:
Payable for investment securities purchased 86,594
Fund shares repurchased 40
Trustee expenses 8,275
Total liabilities 94,909
Net assets $ 21,377,751
Class E2 shares outstanding 1,983,175
Class E2 share value $ 10.78
See accompanying notes to financial statements. 174
WELLS FARGO SPECIAL MID CAP VALUE CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments $ 97,653
Dividend income from affiliated short term investment 4,443
Total income 102,096
Expenses:
Administration, Advisory, and/or Trustee Fees 25,791
Total expenses 25,791
Net investment income (loss) 76,305
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 47,252
Net change in unrealized appreciation (depreciation) on:
Investments 1,224,816
Net gain (loss) on investment transactions 1,272,068
Net change in net assets resulting from operations $ 1,348,373
See accompanying notes to financial statements. 175
WELLS FARGO SPECIAL MID CAP VALUE CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 76,305
Net realized gain (loss) on investment transactions 47,252
Net change in unrealized appreciation (depreciation) of investments 1,224,816
Net increase (decrease) in net assets resulting from
operations 1,348,373
Participating share holder transactions:
Class E2 proceeds from issuance of shares (1,984,660 shares) 20,045,220
Class E2 payments for withdrawals (1,485 shares) (15,842)
Net change 20,029,378
Change in net assets derived from share transactions 20,029,378
Total increase (decrease) in net assets 21,377,751
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.
WELLS FARGO SPECIAL MID CAP VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 176
Shares Cost
Fair
Value ___________ ____________ ______________
Equities: 83.40%
Communication Services: 1.78%
Discovery, Inc C 12,503 $ 312,123 $ 381,217 ____________________________________ ____________________________________
Total Communication Services 312,123 381,217 ____________________________________ ____________________________________
Consumer Discretionary: 8.06%
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 ____________________________________ ____________________________________
Total Consumer Discretionary 1,608,642 1,723,928 ____________________________________ ____________________________________
Consumer Staples: 2.51%
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 ____________________________________ ____________________________________
Total Financials 3,746,098 3,974,439 ____________________________________ ____________________________________
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
WELLS FARGO SPECIAL MID CAP VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 177
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
Varian Medical Systems, Inc 2,826 $ 333,383 $ 401,320
Zimmer Biomet Holdings, Inc 2,118 300,323 317,022 ____________________________________ ____________________________________
Total Health Care 1,921,709 2,108,756 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Industrials 2,711,108 2,979,484 ____________________________________ ____________________________________
Information Technology: 6.52%
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 ____________________________________ ____________________________________
Total Information Technology 1,294,401 1,392,867 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Total Real Estate 1,373,588 1,451,959 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
Short-Term Investments: 4.39%
Wells Fargo/BlackRock Short Term
Investment Fund S (1) 937,915 937,915 937,915 ____________________________________ ____________________________________
Total Short-Term Investments 937,915 937,915 ____________________________________ ____________________________________
WELLS FARGO SPECIAL MID CAP VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 178
Total Investments: 87.79% $ 17,542,299 $ 18,767,115 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(1) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds
approximately 0.02% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
REIT Real Estate Investment Trust
See accompanying notes to financial statements. 179
WELLS FARGO SPECIAL MID CAP VALUE CIT
Financial Highlights
Year ended December 31, 2019
Class E2 (1)
Per share operating performance:
Share value, beginning of year $ 10.00
Income from investment operations:
Net investment income (loss)(2) 0.05
Net realized and unrealized gain (loss) on investments 0.73
Total from investment operations 0.78
Share value, end of year $ 10.78
Total return per share 7.80% (3)
Net assets, end of year $ 21,377,751
Ratios:
Ratio of expenses to average net assets 0.53% (4)
Ratio of net investment income (loss) to average net assets 1.58% (4)
Portfolio Turnover Rate 14%
(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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
See accompanying notes to financial statements. 180
WELLS FARGO SPECIAL MID CAP VALUE CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class E2(1)
Shares Share
outstanding valuation
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.
See accompanying notes to financial statements. 181
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Statement of Assets and Liabilities
December 31, 2019
Cost
Fair
value
Assets:
Affiliated short term investment $ 1,878,205 $ 1,878,205
Unaffiliated investments 15,229,254 15,914,854
Dividend income 33,239
Fund shares sold 345
Total assets 17,826,643
Liabilities:
Payable for investment securities purchased 1,019,797
Fund shares repurchased 18,460
Trustee expenses 8,956
Total liabilities 1,047,213
Net assets $ 16,779,430
Class Net Assets
Shares
Outstanding Net Asset Value
E $ 5,231,993 503,289 $ 10.40
N $ 11,547,437 1,082,991 $ 10.66
See accompanying notes to financial statements. 182
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Statement of Operations
Year ended December 31, 2019
Investment income:
Dividend income from unaffiliated investments $ 67,074
Dividend income from affiliated short term investment 4,420
Total income 71,494
Expenses:
Administration, Advisory, and/or Trustee Fees 15,365
Total expenses 15,365
Net investment income (loss) 56,129
Realized and unrealized gain (loss) on investment transaction:
Net realized gain (loss) on:
Investments 32,979
Net change in unrealized appreciation (depreciation) on:
Investments 685,600
Net gain (loss) on investment transactions 718,579
Net change in net assets resulting from operations $ 774,708
See accompanying notes to financial statements. 183
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Statement of Changes in Net Assets
Year ended December 31, 2019
Increase/(decrease) in net assets from operations:
Net investment income (loss) $ 56,129
Net realized gain (loss) on investment transactions 32,979
Net change in unrealized appreciation (depreciation) of investments 685,600
Net increase (decrease) in net assets resulting from
operations 774,708
Participating share holder transactions:
Class E proceeds from issuance of shares (503,873 shares) 5,123,875
Class E payments for withdrawals (584 shares) (5,836)
Net change 5,118,039
Class N proceeds from issuance of shares (1,136,179 shares) 11,432,825
Class N payments for withdrawals (53,188 shares) (546,142)
Net change 10,886,683
Change in net assets derived from share transactions 16,004,722
Total increase (decrease) in net assets 16,779,430
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.
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 184
Shares Cost
Fair
Value ___________ ____________ ______________
Equities: 94.85%
Communication Services: 0.37%
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 ____________________________________ ____________________________________
Consumer Discretionary: 9.04%
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 ____________________________________ ____________________________________
Total Consumer Discretionary 1,442,717 1,516,257 ____________________________________ ____________________________________
Consumer Staples: 9.11%
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 ____________________________________ ____________________________________
Total Consumer Staples 1,465,074 1,529,064 ____________________________________ ____________________________________
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
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 185
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Financials 3,700,237 3,818,881 ____________________________________ ____________________________________
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
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 186
Shares Cost
Fair
Value ___________ ____________ ______________
Equities (Continued)
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 ____________________________________ ____________________________________
Total Industrials 3,160,190 3,326,848 ____________________________________ ____________________________________
Information Technology: 8.31%
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 ____________________________________ ____________________________________
Total Information Technology 1,320,530 1,393,688 ____________________________________ ____________________________________
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 ____________________________________ ____________________________________
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Schedule of Investments
December 31, 2019
See accompanying notes to financial statements. 187
Shares Cost
Fair
Value ___________ ____________ ______________
Short-Term Investments: 11.19%
Wells Fargo/BlackRock Short Term
Investment Fund S (2) 1,878,205 $ 1,878,205 $ 1,878,205 ____________________________________ ____________________________________
Total Short-Term Investments 1,878,205 1,878,205 ____________________________________ ____________________________________
Total Investments: 106.04% $ 17,107,459 $ 17,793,059 ____________________________________ ____________________________________ ____________________________________ ____________________________________
Percentages shown are based on total net assets.
(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
approximately 0.03% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
REIT Real Estate Investment Trust
See accompanying notes to financial statements. 188
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Financial Highlights
Year ended December 31, 2019
Class E (1) Class N (2)
Per share operating performance:
Share value, beginning of year $ 10.00 $ 10.00
Income from investment operations:
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.
See accompanying notes to financial statements. 189
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Supplemental Schedule of Monthly Values (Unaudited)
Year ended December 31, 2019
Class E(1) Class N(2)
Shares Share Shares Share
outstanding valuation outstanding valuation
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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
The Fund seeks to provide certain qualified employee benefit plans with a vehicle for collective investment and
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
The Fund seeks to provide certain qualified employee benefit plans with a vehicle for collective investment and
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
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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
Foreign Government Bonds — 2,711,413 — 2,711,413
Government/Agency Bonds 112,181,631 170,926,880 — 283,108,511
Corporate Asset-Backed Securities — 46,841,693 — 46,841,693
Corporate Mortgage-Backed Securities — 19,151,702 — 19,151,702
Municipal Bonds — 2,405,367 — 2,405,367
Short-Term Investments — 3,704,330 — 3,704,330
Total $ 112,181,631 $ 362,395,814 $ — $ 474,577,445
Wells Fargo Discovery CIT:
Value of investment securities:
Equities $ 337,403,884 $ — $ — $ 337,403,884
Short-Term Investments — 4,072,495 — 4,072,495
Total $ 337,403,884 $ 4,072,495 $ — $ 341,476,379
Wells Fargo Emerging Markets Equity CIT:
Value of investment securities:
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
Short-Term Investments — 57,665,940 — 57,665,940
Total $ 438,363,377 $ 169,477,703 $ — $ 607,841,080
Wells Fargo Enhanced Stock Market CIT:
Value of investment securities:
Equities $ 472,644,978 $ — $ — $ 472,644,978
Exchange Traded Funds 3,089,856 — — 3,089,856
Short-Term Investments — 947,649 — 947,649
Total $ 475,734,834 $ 947,649 $ — $ 476,682,483
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
197
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 Growth CIT:
Value of investment securities:
Equities $ 117,624,803 $ — $ — $ 117,624,803
Short-Term Investments — 285,482 — 285,482
Total $ 117,624,803 $ 285,482 $ — $ 117,910,285
Wells Fargo Large Cap Intrinsic Value CIT:
Value of investment securities:
Equities $ 141,872,207 $ 1,330,918 $ — $ 143,203,125
Short-Term Investments — 4,453,738 — 4,453,738
Total $ 141,872,207 $ 5,784,656 $ — $ 147,656,863
Wells Fargo Liability Driven Solution CIT I:
Value of investment securities:
Corporate Bonds $ — $ 1,141,872,365 $ — $ 1,141,872,365
Foreign Government Bonds — 45,751,598 — 45,751,598
Government/Agency Bonds 25,452,088 33,468,324 — 58,920,412
Corporate Asset Backed — 3,611,567 — 3,611,567
Corporate Mortgage-Backed Securities — 6,210,271 — 6,210,271
Municipal Bonds — 48,062,778 — 48,062,778
Short-Term Investments — 24,801,567 — 24,801,567
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:
Value of investment securities:
Corporate Bonds $ — $ 921,463,053 $ — $ 921,463,053
Foreign Government Bonds — 48,847,450 — 48,847,450
Government/Agency Bonds 660,764,731 133,025,031 — 793,789,762
Corporate Mortgage-Backed Securities — 4,140,148 — 4,140,148
Municipal Bonds — 68,323,428 — 68,323,428
Short-Term Investments — 15,683,370 — 15,683,370
Total $ 660,764,731 $ 1,191,482,480 $ — $ 1,852,247,211
Other financial instruments:
Assets:
Futures $ 852,323 $ — $ — $ 852,323
Liabilities:
Futures $ (1,739,582) $ — $ — $ (1,739,582)
Total $ (887,259) $ — $ — $ (887,259)
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
198
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 Liability Driven Solution CIT III:
Value of investment securities:
Corporate Bonds $ — $ 47,792,102 $ — $ 47,792,102
Foreign Government Bonds — 1,617,081 — 1,617,081
Government/Agency Bonds 7,010,028 121,155,575 — 128,165,603
Municipal Bonds — 2,918,016 — 2,918,016
Exchange Traded Funds 1,972,972 — — 1,972,972
Short-Term Investments — 1,391,364 — 1,391,364
Total $ 8,983,000 $ 174,874,138 $ — $ 183,857,138
Other financial instruments:
Assets:
Futures $ 64,880 $ — $ — $ 64,880
Liabilities:
Futures $ (205,656) $ — $ — $ (205,656)
Total $ (140,776) $ — $ — $ (140,776)
Wells Fargo Premier Large Company Growth CIT:
Value of investment securities:
Equities $ 51,680,924 $ — $ — $ 51,680,924
Short-Term Investments — 961,819 — 961,819
Total $ 51,680,924 $ 961,819 $ — $ 52,642,743
Wells Fargo Special Mid Cap Value CIT:
Value of investment securities:
Equities $ 17,829,200 $ — $ — $ 17,829,200
Short-Term Investments — 937,915 — 937,915
Total $ 17,829,200 $ 937,915 $ — $ 18,767,115
Wells Fargo Special Small Cap Value CIT:
Value of investment securities:
Equities $ 15,914,854 $ — $ — $ 15,914,854
Short-Term Investments — 1,878,205 — 1,878,205
Total $ 15,914,854 $ 1,878,205 $ — $ 17,793,059
The Funds did not have any transfers into/out of Level 3.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
201
Wells Fargo Liability Driven Solution CIT II
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
$ 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.
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
$ 10,557,268 $ (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
Statement of Assets and
Liabilities Location Fair Value
Statement of Assets and
Liabilities Location Fair Value
Interest rate contracts Variation margin
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.
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
$ 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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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%
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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.
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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%
Wells Fargo Liability Driven
Solution CIT II
$ 515,249,757 1 27.55%
Wells Fargo Liability Driven
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
WELLS FARGO CORE BOND CIT
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
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
206
WELLS FARGO CORE BOND II CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 313,459,415 $ 313,942,855 $
Fixed income 2,929,773,467 2,920,691,643 16,524,212
Total investments $ 3,243,232,882 $ 3,234,634,498 $ 16,524,212
WELLS FARGO DISCOVERY CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 85,171,049 $ 81,098,554 $ -
Equities 433,288,369 125,334,867 3,486,061
Total investments $ 518,459,418 $ 206,433,421 $ 3,486,061
WELLS FARGO EMERGING MARKETS EQUITY CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 351,376,809 $ 293,710,869 $ -
Equities 497,414,765 908,409 52,842
Total investments $ 848,791,574 $ 294,619,278 $ 52,842
WELLS FARGO ENHANCED STOCK MARKET CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 70,834,585 $ 74,351,193 $ -
Equities 306,716,679 412,394,169 51,620,644
Total investments $ 377,551,264 $ 486,745,362 $ 51,620,644
WELLS FARGO GROWTH CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 29,093,467 $ 30,004,226 $ -
Equities 42,279,976 50,043,109 4,247,325
Total investments $ 71,373,443 $ 80,047,335 $ 4,247,325
WELLS FARGO LARGE CAP INTRINSIC VALUE CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 31,462,297 $ 29,057,467 $ -
Equities 29,326,835 20,717,645 5,274,158
Total investments $ 60,789,132 $ 49,775,112 $ 5,274,158
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
December 31, 2019
207
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT I
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 499,094,325 $ 478,646,694 $ -
Fixed income 2,679,583,241 2,682,272,907 39,757,258
Total investments $ 3,178,677,566 $ 3,160,919,601 $ 39,757,258
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT II
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 568,645,352 $ 589,691,569 $ -
Fixed income 2,396,940,075 2,345,815,133 89,273,887
Total investments $ 2,965,585,427 $ 2,935,506,702 $ 89,273,887
WELLS FARGO LIABILITY DRIVEN SOLUTION CIT III
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 86,276,445 $ 87,616,567 $ -
Fixed income 251,129,016 221,029,129 9,052,480
Exchange traded funds 5,569,924 3,573,466 (6,376)
Total investments $ 342,975,385 $ 312,219,162 $ 9,046,104
WELLS FARGO PREMIER LARGE COMPANY GROWTH CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 4,344,860 $ 3,383,041 $ -
Equities 59,708,080 8,915,017 (992,096)
Total investments $ 64,052,940 $ 12,298,058 $ (992,096)
WELLS FARGO SPECIAL MID CAP VALUE CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 1,758,909 $ 820,994 $ -
Equities 18,862,045 2,304,913 47,252
Total investments $ 20,620,954 $ 3,125,907 $ 47,252
WELLS FARGO SPECIAL SMALL CAP VALUE CIT
Purchased Sold or Redeemed
Cost Proceeds Realized Gain/(Loss)
Short term investments $ 16,361,744 $ 14,483,539 $ -
Equities 15,773,805 577,530 32,979
Total investments $ 32,135,549 $ 15,061,069 $ 32,979
WELLS FARGO BANK COLLECTIVE INVESTMENT FUNDS
Notes to Financial Statements
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