Annual Report 2020
Wells Fargo Bank, N.A. Collective Investment Funds
Table of Contents
Page
Independent Auditors’ Report 1
Financial Statements: Wells Fargo/Causeway International Value CIT 3 Wells Fargo/Dodge & Cox Intermediate Bond CIT 10 Wells Fargo/Federated Total Return Bond CIT 20 Wells Fargo/Lazard International Equity CIT 36 Wells Fargo/MFS Value CIT 44 Wells Fargo/Multi-Manager Small Cap CIT 51 Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT 65 Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT 73 Wells Fargo/Voya Large-Cap Growth CIT 79
Notes to Financial Statements 85
Appendix 97
Regulatory Statement 101
KPMG LLP Two Financial Center 60 South Street Boston, MA 02111
Independent Auditors’ Report
The Unitholders of the Funds and Wells Fargo Bank, N.A.:
We have audited the accompanying financial statements of Wells Fargo/Causeway International Value CIT, Wells Fargo/Dodge & Cox Intermediate Bond CIT, Wells Fargo/Federated Total Return Bond CIT, Wells Fargo/Lazard International Equity CIT, Wells Fargo/MFS Value CIT, Wells Fargo/Multi-Manager Small Cap CIT, Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT, Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT and Wells Fargo/Voya Large-Cap Growth CIT (collectively, the Funds), nine of the collective investment funds constituting Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, which comprise the statements of assets and liabilities, including the schedules of investments, as of December 31, 2020, and the related statements of operations, changes in net assets, and the financial highlights for the year or periods then ended, and the related notes to the financial statements.
Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements and financial highlights in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements and financial highlights that are free from material misstatement, whether due to fraud or error.
Auditors’ Responsibility Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements and financial highlights. The procedures selected depend on the auditors’ judgment, including the assessment of the risks of material misstatement of the financial statements and financial highlights, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements and financial highlights in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
KPMG LLP, a Delaware limited liability partnership and a member firm of the KPMG global organization of independent member firms affiliated with KPMG International Limited, a private English company limited by guarantee. Opinion In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of December 31, 2020, and the results of their operations, changes in their net assets, and the financial highlights for the year or periods then ended in accordance with U.S. generally accepted accounting principles.
Boston, Massachusetts April 12, 2021
2
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Causeway International Value CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $102,036,370) $ 117,458,178 Affiliated investments, at value (cost $30,926) 30,926 Foreign currency, at value (cost $4) 4 Receivable for dividends 6,544,875 Receivable for investments sold 336,931 Receivable for fund units sold 69,679 Total assets 124,440,593 Liabilities: Payable for fund units repurchased 1,254,415 Payable for investments purchased 37,145 Trustee fee payable 80,189 Total liabilities 1,371,749 Net assets $ 123,068,844
Computation of net asset value: Class TR Net assets $ 23,728,661 Units outstanding 1,668,568 Net asset value per unit $ 14.22
Class F Net assets $ 86,473,618 Units outstanding 5,849,819 Net asset value per unit $ 14.78
Class N Net assets $ 12,864,631 Units outstanding 988,727 Net asset value per unit $ 13.01
Class N25 Net assets $ 1,934 Units outstanding 132 Net asset value per unit $ 14.65
See accompanying notes to financial statements. 3
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Causeway International Value CIT Statement of Operations Year ended December 31, 2020
Investment income: Dividend income from unaffiliated investments (net of foreign taxes withheld of $233,998) $ 9,662,364 Non-cash dividend income 643,194 Dividend income from affiliated short term investment 33,899 Total income 10,339,457 Expenses: Trustee fee 1,985,879 TMR Program fees 82,552 Total expenses 2,068,431 Net investment income (loss) 8,271,026 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments (76,697,041) Foreign currency transactions (2,379,811) Net realized gain (loss) on investment (79,076,852) Net change in unrealized appreciation (depreciation) on: Unaffiliated investments 24,197,593 Foreign currency translation of other assets and liabilities 534,782 Net change in unrealized appreciation (depreciation) on investments 24,732,375 Net realized and unrealized gain (loss) on investments (54,344,477) Net increase (decrease) in net assets resulting from operations $ (46,073,451)
See accompanying notes to financial statements. 4
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Causeway International Value CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 8,271,026 Net realized gain (loss) on investment (79,076,852) Net change in unrealized appreciation (depreciation) on investments 24,732,375 Net increase (decrease) in net assets resulting from operations (46,073,451)
Participating unitholders transactions: Proceeds for issuance of units Class TR 8,258,987 Class F 130,402,085 Class N 4,153,370 Class N25 105 Payments for redemption of units Class TR (20,310,154) Class F (523,537,558) Class N (29,665,569) Class N25 (11) Change in net assets derived from unit transactions (430,698,745) Total increase (decrease) in net assets (476,772,196) Net assets: Beginning of year 599,841,040 End of year $ 123,068,844
Participating unitholders transactions: Class TR units issued 746,163 Class F units issued 12,351,994 Class N units issued 375,973 Class N25 units issued 9
Class TR units redeemed (1,814,459) Class F units redeemed (43,545,333) Class N units redeemed (3,274,759) Class N25 units redeemed (1)
See accompanying notes to financial statements. 5
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Causeway International Value CIT Financial Highlights Year ended December 31, 2020
Class TR Class F Class N Class N25 Per share operating performance: Unit value, beginning of year $ 13.43 $ 13.91 $ 12.25 $ 13.83 Income from investment operations: Net investment income (loss)(1) 0.22 0.28 0.23 0.20 Net realized and unrealized gain (loss) on investments 0.57 0.59 0.53 0.62 Total from investment operations 0.79 0.87 0.76 0.82 Unit value, end of year $ 14.22 $ 14.78 $ 13.01 $ 14.65 Total return 5.90% 6.24% 6.18% 5.92% Net assets, end of year $ 23,728,661 $ 86,473,618 $ 12,864,631 $ 1,934
Ratios: Ratio of expenses to average net assets 0.90% 0.56% 0.62% 0.91% Ratio of net investment income (loss) to average net assets 1.87% 2.43% 2.10% 1.69% Portfolio turnover rate 78% 78% 78% 78%
(1) Based on average number of units outstanding.
See accompanying notes to financial statements. 6 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Causeway International Value CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks: 91.38% Communication Services: 1.19%
Baidu, Inc ADR 6,789 $ ______1,055,677____ $ ______1,468,053____
Total Communication Services ______1,055,677______1,468,053____ Consumer Discretionary: 5.46% Cie Financiere Richemont SA 28,024 1,923,598 2,531,743 Compass Group PLC 57,732 780,962 1,076,069 Sands China Ltd 282,800 1,109,570 1,242,103 Valeo SA 23,363 629,457 921,317
WH Smith PLC 46,179 ______566,156______953,562____
Total Consumer Discretionary ______5,009,743______6,724,794____ Consumer Staples: 5.84% British American Tobacco PLC 66,298 3,567,966 2,455,142 Carrefour SA 88,790 1,557,592 1,521,839 Danone SA 31,518 2,331,888 2,069,973
Pernod Ricard SA 5,948 ______1,144,641______1,139,368____
Total Consumer Staples ______8,602,087______7,186,322____ Energy: 2.67% BP PLC 323,520 1,460,878 1,127,270
Total SA 50,108 ______2,146,752______2,160,870____
Total Energy ______3,607,630______3,288,140____ Financials: 21.08% AXA SA 108,392 2,178,477 2,583,722 Banco Bilbao Vizcaya Argentaria SA 531,164 2,080,867 2,618,297 Barclays PLC 1,117,496 2,350,716 2,241,529 BNP Paribas SA 43,606 1,999,841 2,296,258 CaixaBank SA 770,191 2,158,940 1,976,839 Credit Suisse Group AG 2,798 34,821 36,125 Grupo Financiero Banorte SAB de CV Cl-O 131,551 490,702 724,871 ING Groep NV 354,856 2,939,122 3,312,449 Prudential PLC 90,251 1,529,696 1,662,445 Sompo Holdings, Inc 20,400 770,962 827,074 Sumitomo Mitsui Financial Group, Inc 57,700 1,996,597 1,788,593 UniCredit SpA 369,153 4,303,466 3,458,741
Zurich Insurance Group AG 5,745 ______2,097,292______2,421,063____
Total Financials ______24,931,499______25,948,006____ Health Care: 11.16% Bayer AG 22,177 1,486,268 1,306,473 Novartis AG 37,970 2,958,896 3,575,175 Roche Holding AG 7,530 2,260,927 2,622,687 Sanofi 30,477 3,072,161 2,930,177
Takeda Pharmaceutical Co Ltd 91,000 ______4,085,085______3,293,231____
Total Health Care ______13,863,337______13,727,743____ Industrials: 21.53% ABB Ltd 107,540 2,334,812 3,016,409 Aena SME SA (1) 10,542 1,439,423 1,831,342 Air Canada 105,200 1,392,195 1,881,848 Airbus SE 21,608 1,404,444 2,369,960 Balfour Beatty PLC 131,485 501,099 485,835
See accompanying notes to financial statements. 7 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Causeway International Value CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Beijing Capital International Airport Co Ltd Cl-H 784,000 $ 571,228 $ 654,307 Deutsche Post AG 5,830 186,339 288,793 FANUC Corp 10,300 1,833,283 2,542,545 International Consolidated Airlines Group SA 371,236 618,778 811,249 Rolls-Royce Holdings PLC 2,734,866 5,165,947 4,160,674 Ryanair Holdings PLC ADR 18,988 1,229,499 2,088,300 Siemens AG 21,944 2,481,508 3,160,954 Vinci SA 16,797 1,428,787 1,669,512 Volvo AB B-Shares 58,163 828,756 1,376,898
Wartsila Oyj Abp 15,225 ______151,934______152,378____
Total Industrials ______21,568,032______26,491,004____ Information Technology: 13.43% Amadeus IT Group SA Cl-A 31,901 1,569,154 2,321,164 Infineon Technologies AG 62,722 1,208,657 2,395,266 Murata Manufacturing Co Ltd 33,600 1,863,402 3,041,791 Samsung Electronics Co Ltd 60,216 1,734,603 4,496,658 SAP SE 14,648 1,326,892 1,897,190
SK Hynix, Inc 21,771 ______1,547,965______2,378,013____
Total Information Technology ______9,250,673______16,530,082____ Materials: 5.79% Akzo Nobel NV 24,960 2,145,972 2,679,061 ArcelorMittal SA 38,766 425,378 894,128
BASF SE 44,860 ______3,561,205______3,545,854____
Total Materials ______6,132,555______7,119,043____ Utilities: 3.23% Enel SpA 211,924 1,797,269 2,156,269
RWE AG 43,031 ______1,533,819______1,820,524____
Total Utilities ______3,331,088______3,976,793____
Total Common Stocks ______97,352,321______112,459,980______Yield Preferred Stocks: 4.05% Consumer Discretionary: 4.05%
Volkswagen AG 3.18% 26,663 ______4,684,049______4,982,881____
Total Consumer Discretionary ______4,684,049______4,982,881____
Total Preferred Stocks ______4,684,049______4,982,881____ Warrants: 0.01% Consumer Discretionary: 0.01%
Cie Financiere Richemont SA, expiration date 11/22/2023 58,958 ______0______15,317____
Total Consumer Discretionary ______0______15,317____
Total Warrants ______0______15,317____ Short-Term Investments: 0.03% (2) Wells Fargo/BlackRock Short Term Investment Fund S 30,926 ______30,926______30,926____
Total Short-Term Investments ______30,926______30,926____
Total Investments : 95.47% $ ______102,067,296____ $ ______117,489,104______
See accompanying notes to financial statements. 8 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Causeway International Value CIT Schedule of Investments December 31, 2020
Percentages shown are based on total net assets.
(1) This Fund holds 1.49% of its portfolio in securities that may only be resold to "qualified institutional buyers" under Rule 144A of the Securities Act of 1933. (2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds
approximately 0.0003% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
ADR American Depositary Receipt
Country Diversification % of Total ______Investments______Germany 16.51 % France 14.72 United Kingdom 12.74 Switzerland 12.10 Japan 9.78 Spain 7.44 Netherlands 7.12 Korea 5.85 Italy 4.78 China 1.81 Ireland 1.78 Canada 1.60 Sweden 1.17 Macau 1.06 Other______1.54 100.00 %
See accompanying notes to financial statements. 9
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $366,703,534) $ 387,796,070 Affiliated investments, at value (cost $34,655,178) 34,655,178 Receivable for investments sold 25,364,496 Receivable for when-issued transactions 24,167,527 Receivable for interest and dividends 2,545,217 Receivable for fund units sold 761,255 Total assets 475,289,743 Liabilities: Payable for when-issued transactions 48,502,469 Payable for fund units repurchased 32,807,665 Trustee fee payable 88,359 Total liabilities 81,398,493 Net assets $ 393,891,250
Computation of net asset value: Class TR Net assets $ 54,037,157 Units outstanding 4,228,416 Net asset value per unit $ 12.78
Class F Net assets $ 328,717,135 Units outstanding 24,939,633 Net asset value per unit $ 13.18
Class N Net assets $ 11,136,958 Units outstanding 1,090,382 Net asset value per unit $ 10.21
See accompanying notes to financial statements. 10
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Statement of Operations Year ended December 31, 2020
Investment income: Interest income $ 10,119,233 Dividend income 212,337 Other income 142,718 Dividend income from affiliated short term investment 122,767 Total income 10,597,055 Expenses: Trustee fee 690,879 TMR Program fees 136,382 Total expenses 827,261 Net investment income (loss) 9,769,794 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 10,313,709 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments 11,425,764 Net realized and unrealized gain (loss) on investments 21,739,473 Net increase (decrease) in net assets resulting from operations $ 31,509,267
See accompanying notes to financial statements. 11
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 9,769,794 Net realized gain (loss) on investments 10,313,709 Net change in unrealized appreciation (depreciation) on investments 11,425,764 Net increase (decrease) in net assets resulting from operations 31,509,267
Participating unitholders transactions: Proceeds for issuance of units Class TR 30,865,371 Class F 94,023,566 Class N 11,135,629 (1) Payments for redemption of units Class TR (19,246,315) Class F (160,062,144) Class N (75,813) (1) Change in net assets derived from unit transactions (43,359,706) Total increase (decrease) in net assets (11,850,439)
Net assets: Beginning of year 405,741,689 End of year $ 393,891,250
Participating unitholders transactions: Class TR units issued 2,495,844 Class F units issued 7,482,390 Class N units issued 1,097,843 (1)
Class TR units redeemed (1,566,338) Class F units redeemed (12,959,523) Class N units redeemed (7,461) (1)
(1) For the period from October 12, 2020 (commencement of operations) to December 31, 2020.
See accompanying notes to financial statements. 12
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Financial Highlights Year ended December 31, 2020
Class TR Class F Class N Per share operating performance: Unit value, beginning of year $ 11.74 $ 12.07 $ 10.00 (1) Income from investment operations: Net investment income (loss)(2) 0.27 0.32 0.01 Net realized and unrealized gain (loss) on investments 0.77 0.79 0.20 Total from investment operations 1.04 1.11 0.21 Unit value, end of year $ 12.78 $ 13.18 $ 10.21 Total return 8.89% 9.23% 2.14% (3) Net assets, end of year $ 54,037,157 $ 328,717,135 $ 11,136,958
Ratios: Ratio of expenses to average net assets 0.49% 0.17% 0.22% (4) Ratio of net investment income (loss) to average net assets 2.18% 2.52% 0.50% (4) Portfolio turnover rate 74% 74% 74%
(1) For the period from October 12, 2020 (commencement of operations) to December 31, 2020. (2) Based on average number of units outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.
See accompanying notes to financial statements. 13 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds: 41.01% Basic Materials: 0.90% Dow Chemical Co 750,000 7.38 % 11/01/2029 BBB- $ 904,697 $ 1,068,732 Dow Chemical Co 480,000 9.40 5/15/2039 BBB- 676,170 861,101
Dow Chemical Co 1,225,000 5.25 11/15/2041 BBB- ______1,368,048______1,616,894____
Total Basic Materials ______2,948,915______3,546,727____ Communications: 7.72% AT&T, Inc 514,000 4.50 3/09/2048 BBB 583,352 613,834 AT&T, Inc(1) 4,412,000 3.50 9/15/2053 BBB 4,374,738 4,395,182 AT&T, Inc(1) 98,000 3.65 9/15/2059 BBB 98,195 98,286 Charter Communications Operating LLC / Charter Communications Operating Capital 2,725,000 6.48 10/23/2045 BBB- 2,938,709 3,861,283 Cox Communications, Inc(1) 2,275,000 3.85 2/01/2025 BBB 2,293,189 2,536,594 Cox Communications, Inc(1) 1,100,000 3.50 8/15/2027 BBB 1,089,109 1,243,093 Prosus NV(1) 2,075,000 5.50 7/21/2025 BBB- 2,083,825 2,381,063 Prosus NV(1) 1,775,000 4.85 7/06/2027 BBB- 1,791,349 2,040,611 Prosus NV(1) 450,000 3.68 1/21/2030 BBB- 490,816 489,422 T-Mobile USA, Inc(1) 1,050,000 3.88 4/15/2030 BBB- 1,051,536 1,215,911 T-Mobile USA, Inc(1) 400,000 4.50 4/15/2050 BBB- 407,146 493,354 Telecom Italia Capital SA 1,500,000 7.72 6/04/2038 BB+ 1,641,643 2,085,000 Telecom Italia SpA(1) 1,600,000 5.30 5/30/2024 BB+ 1,584,372 1,740,000 Time Warner Cable LLC 725,000 6.55 5/01/2037 BBB- 732,833 994,155 Time Warner Cable LLC 2,185,000 6.75 6/15/2039 BBB- 2,405,259 3,106,107 Verizon Communications, Inc 1,100,000 4.27 1/15/2036 BBB+ 1,075,374 1,362,775 (2) Vodafone Group PLC 1,400,000 7.00 4/04/2079 BB+ ______1,400,000______1,742,265____
Total Communications ______26,041,445______30,398,935____ Consumer, Cyclical: 2.14% Ford Motor Credit Co LLC 2,475,000 5.88 8/02/2021 BB+ 2,511,375 2,533,162 Ford Motor Credit Co LLC 775,000 3.81 10/12/2021 BB+ 775,000 783,719 Ford Motor Credit Co LLC 1,000,000 5.60 1/07/2022 BB+ 1,000,000 1,033,680 Ford Motor Credit Co LLC 950,000 4.14 2/15/2023 BB+ 945,460 978,500 Ford Motor Credit Co LLC 850,000 4.06 11/01/2024 BB+ 868,242 892,984 Ford Motor Credit Co LLC 600,000 3.38 11/13/2025 BB+ 600,000 614,436 Macy's Retail Holdings LLC 1,200,000 6.38 3/15/2037 B 1,461,574 1,005,132
Nordstrom, Inc 525,000 6.95 3/15/2028 BB+ ______618,581______596,946____
Total Consumer, Cyclical ______8,780,232______8,438,559____ Consumer, Non-cyclical: 5.73% AbbVie, Inc 925,000 4.05 11/21/2039 BBB+ 946,988 1,116,010 AbbVie, Inc 725,000 4.25 11/21/2049 BBB+ 743,221 908,693 Anheuser-Busch InBev Worldwide, Inc 800,000 3.50 6/01/2030 BBB+ 798,445 926,200 Anheuser-Busch InBev Worldwide, Inc 300,000 4.35 6/01/2040 BBB+ 299,818 367,601 Anheuser-Busch InBev Worldwide, Inc 325,000 5.55 1/23/2049 BBB+ 409,906 461,273 Anheuser-Busch InBev Worldwide, Inc 400,000 4.60 6/01/2060 BBB+ 399,670 510,705 BAT Capital Corp 600,000 2.73 3/25/2031 BBB+ 600,534 621,085 BAT Capital Corp 1,350,000 3.98 9/25/2050 BBB+ 1,346,290 1,406,386
See accompanying notes to financial statements. 14 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Bayer US Finance II LLC(1) 1,625,000 4.38 % 12/15/2028 BBB $ 1,628,623 $ 1,910,506 Cigna Corp 894,000 3.75 7/15/2023 A- 892,709 966,416 Coca-Cola Co 1,925,000 1.65 6/01/2030 A+ 1,921,337 1,975,443 CVS Health Corp 500,000 4.78 3/25/2038 BBB 497,307 630,935 CVS Health Corp 1,000,000 5.05 3/25/2048 BBB 1,165,574 1,353,174 Elanco Animal Health, Inc 225,000 4.91 8/27/2021 BB- 225,000 230,063 Elanco Animal Health, Inc 225,000 5.27 8/28/2023 BB- 225,000 245,812 Elanco Animal Health, Inc 475,000 5.90 8/28/2028 BB- 478,491 560,500 HCA, Inc 600,000 5.13 6/15/2039 BBB- 602,311 766,817 HCA, Inc 575,000 5.25 6/15/2049 BBB- 582,973 758,248 Imperial Brands Finance PLC(1) 3,425,000 4.25 7/21/2025 BBB 3,461,103 3,856,566 Imperial Brands Finance PLC(1) 850,000 3.88 7/26/2029 BBB 860,881 949,629 Kraft Heinz Foods Co 375,000 5.20 7/15/2045 BB+ 370,428 445,263 Kraft Heinz Foods Co(1) 450,000 5.50 6/01/2050 BB+ 513,920 566,007
Zoetis, Inc 875,000 4.50 11/13/2025 BBB ______874,018______1,021,160____
Total Consumer, Non-cyclical ______19,844,547______22,554,492____ Energy: 8.09% Exxon Mobil Corp 3,056,000 4.33 3/19/2050 AA 3,552,509 3,964,454 Kinder Morgan Energy Partners LP 1,755,000 5.50 3/01/2044 BBB 1,663,423 2,201,778 Kinder Morgan Energy Partners LP 1,550,000 5.40 9/01/2044 BBB 1,494,707 1,930,547 Kinder Morgan, Inc 350,000 5.20 3/01/2048 BBB 394,298 444,467 Occidental Petroleum Corp 1,975,000 2.90 8/15/2024 BB- 1,971,248 1,900,937 Occidental Petroleum Corp 775,000 4.30 8/15/2039 BB- 430,506 651,891 Petrobras Global Finance BV 950,000 5.60 1/03/2031 BB- 984,005 1,091,835 Petrobras Global Finance BV 375,000 7.25 3/17/2044 BB- 357,858 483,750 Petrobras Global Finance BV 575,000 6.75 6/03/2050 BB- 634,527 714,438 Petroleos Mexicanos 1,975,000 6.88 8/04/2026 BBB 2,080,984 2,157,687 Petroleos Mexicanos 725,000 6.50 3/13/2027 BBB 721,035 763,563 Petroleos Mexicanos 850,000 6.63 6/15/2035 BBB 924,239 841,500 Petroleos Mexicanos 500,000 6.38 1/23/2045 BBB 458,975 458,250 Petroleos Mexicanos 722,000 6.75 9/21/2047 BBB 726,409 676,875 Petroleos Mexicanos 768,000 6.35 2/12/2048 BBB 824,537 696,192 Petroleos Mexicanos 2,275,000 7.69 1/23/2050 BBB 1,684,866 2,293,769 Petroleos Mexicanos 214,000 6.95 1/28/2060 BBB 232,719 200,967 Rio Oil Finance Trust Series 2018- 1(1) 1,249,500 8.20 4/06/2028 BB- 1,301,076 1,399,453 Transcanada Trust(2) 2,500,000 5.63 5/20/2075 BBB- 2,520,929 2,739,670 Transcanada Trust(2) 700,000 5.88 8/15/2076 BBB- 518,792 780,500 Transcanada Trust(2) 2,400,000 5.30 3/15/2077 BBB- 2,434,494 2,544,000 Ultrapar International SA(1) 900,000 5.25 10/06/2026 BB+ 890,147 1,001,259 Ultrapar International SA(1) 1,000,000 5.25 6/06/2029 BB+ 1,000,000 1,113,750
Williams Cos, Inc 725,000 3.50 11/15/2030 BBB ______722,686______820,676____
Total Energy ______28,524,969______31,872,208____ Financial: 12.42% Bank of America Corp(2) 2,930,000 3.00 12/20/2023 A- 2,930,609 3,085,294 Bank of America Corp 2,700,000 4.20 8/26/2024 BBB+ 2,715,026 3,028,838 Bank of America Corp(2) 375,000 4.08 3/20/2051 A- 375,000 472,807 Barclays PLC 1,425,000 4.38 9/11/2024 BB+ 1,405,144 1,585,197 Barclays PLC 475,000 4.84 5/09/2028 BB+ 478,517 548,986 BNP Paribas SA 1,100,000 4.25 10/15/2024 BBB+ 1,111,492 1,239,776
See accompanying notes to financial statements. 15 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) BNP Paribas SA(1) 475,000 4.38 % 9/28/2025 BBB+ $ 472,865 $ 544,114 BNP Paribas SA(1) 2,275,000 4.38 5/12/2026 BBB+ 2,295,871 2,614,771 BNP Paribas SA(1) 725,000 4.63 3/13/2027 BBB+ 734,111 845,156 Boston Properties LP 1,075,000 3.85 2/01/2023 BBB+ 1,090,585 1,143,605 Boston Properties LP 250,000 3.80 2/01/2024 BBB+ 251,964 271,615 Boston Properties LP 1,500,000 3.20 1/15/2025 BBB+ 1,467,753 1,639,370 Capital One Financial Corp 625,000 3.75 4/24/2024 BBB 620,544 684,511 Capital One Financial Corp 1,175,000 4.20 10/29/2025 BBB- 1,160,712 1,340,111 Citigroup, Inc 700,000 4.00 8/05/2024 BBB 702,866 778,951 ERP Operating LP 500,000 4.63 12/15/2021 A- 507,922 514,406 ERP Operating LP 350,000 3.38 6/01/2025 A- 349,156 386,752 HSBC Holdings PLC(2) 950,000 2.85 6/04/2031 A- 965,772 1,020,102 HSBC Holdings PLC(2) 1,200,000 3.95 5/18/2024 A- 1,201,242 1,294,322 HSBC Holdings PLC 650,000 4.30 3/08/2026 A- 652,505 748,788 HSBC Holdings PLC 875,000 6.50 5/02/2036 BBB 1,031,907 1,265,927 HSBC Holdings PLC 2,200,000 6.50 9/15/2037 BBB 2,701,428 3,215,784 JPMorgan Chase & Co 1,500,000 3.38 5/01/2023 BBB+ 1,494,323 1,603,083 JPMorgan Chase & Co(2) 1,600,000 3.80 7/23/2024 A- 1,602,879 1,736,513 JPMorgan Chase & Co 1,225,000 4.25 10/01/2027 BBB+ 1,271,820 1,453,118 JPMorgan Chase & Co 250,000 8.75 9/01/2030 BBB- 335,866 371,900 JPMorgan Chase & Co(2) 350,000 2.52 4/22/2031 A- 350,000 375,993 JPMorgan Chase & Co(2) 875,000 2.96 5/13/2031 BBB+ 878,038 959,206 Lloyds Banking Group PLC 400,000 4.05 8/16/2023 BBB+ 399,936 437,112 Lloyds Banking Group PLC 1,500,000 4.50 11/04/2024 BBB- 1,506,068 1,677,888 Lloyds Banking Group PLC 375,000 4.58 12/10/2025 BBB- 382,733 428,797 Natwest Group PLC 875,000 6.13 12/15/2022 BB+ 898,044 962,268 Natwest Group PLC 2,875,000 6.00 12/19/2023 BB+ 2,950,696 3,285,285 Rio Oil Finance Trust Series 2014- 1(1) 2,963,134 9.25 7/06/2024 BB- 2,894,559 3,274,293 Rio Oil Finance Trust Series 2014- 3(1) 186,948 9.75 1/06/2027 BB- 185,855 216,394 UniCredit SpA(1)(2) 1,950,000 7.30 4/02/2034 BB+ 1,950,000 2,358,544 UniCredit SpA(1)(2) 600,000 5.46 6/30/2035 BB+ 600,000 660,278
Unum Group 675,000 6.75 12/15/2028 BBB ______724,061______851,996____
Total Financial ______43,647,869______48,921,851____ Industrial: 1.54% Cemex SAB de CV(1) 1,675,000 5.70 1/11/2025 BB 1,638,469 1,711,850 Cemex SAB de CV(1) 200,000 7.75 4/16/2026 BB 209,465 210,900 Cemex SAB de CV(1) 1,675,000 7.38 6/05/2027 BB 1,794,671 1,906,150 FedEx Corp 450,000 4.05 2/15/2048 BBB 426,942 543,022
FedEx Corp 1,200,000 5.25 5/15/2050 BBB ______1,397,298______1,696,889____
Total Industrial ______5,466,845______6,068,811____ Technology: 0.54% Dell International LLC / EMC Corp(1) 875,000 6.10 7/15/2027 BBB- 875,321 1,087,217
Oracle Corp 900,000 3.60 4/01/2050 A ______903,210______1,049,116____
Total Technology ______1,778,531______2,136,333____ Utilities: 1.93% Dominion Energy, Inc(2) 1,650,000 5.75 10/01/2054 BBB- 1,696,316 1,838,253
See accompanying notes to financial statements. 16 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Enel Finance International NV(1) 375,000 4.63 % 9/14/2025 BBB+ $ 367,220 $ 436,633 Enel Finance International NV(1) 1,700,000 6.80 9/15/2037 BBB+ 2,112,873 2,499,128 Enel Finance International NV(1) 750,000 6.00 10/07/2039 BBB+ 847,591 1,068,774 (2) Southern Co 1,650,000 4.00 1/15/2051 BBB ______1,659,776______1,747,473____
Total Utilities ______6,683,776______7,590,261____
Total Corporate Bonds ______143,717,129______161,528,177____ Government/Agency Bonds: 52.54% Federal Agencies: 39.80% FHLMC POOL #2B1332(2) 169,491 3.45 4/01/2043 172,118 175,990 FHLMC POOL #2B3435(2) 994,293 2.87 11/01/2044 1,024,748 1,032,041 FHLMC POOL #2B3644(2) 396,004 2.72 1/01/2045 405,919 410,066 FHLMC POOL #849402(2) 2,035,397 2.87 7/01/2044 2,091,501 2,106,804 FHLMC POOL #849544(2) 852,507 2.80 12/01/2044 873,733 884,944 FHLMC POOL #849885(2) 940,355 2.78 12/01/2045 959,504 975,578 FHLMC POOL #C91800 543,565 4.00 11/01/2034 573,681 593,614 FHLMC POOL #EW4283(2) 725,045 4.50 12/15/2043 784,011 788,396 FHLMC POOL #G08759 748,490 4.50 4/01/2047 797,483 818,909 FHLMC POOL #G08768 1,473,818 4.50 6/01/2047 1,566,423 1,601,582 FHLMC POOL #G08772 3,792,041 4.50 7/01/2047 4,045,205 4,120,811 FHLMC POOL #G30670 495,530 4.50 12/01/2033 528,245 547,681 FHLMC POOL #G60384 548,419 4.50 12/01/2045 592,085 613,386 FHLMC POOL #G61169 1,027,921 4.50 10/01/2047 1,092,594 1,132,872 FHLMC POOL #K92816 2,157,110 4.00 6/01/2035 2,276,701 2,355,521 FHLMC POOL #RA3053 1,820,722 2.00 7/01/2050 1,869,996 1,896,096 FHLMC POOL #RA3454 2,042,407 2.00 9/01/2050 2,128,149 2,127,264 FHLMC POOL #RA4119 3,908,368 2.00 12/01/2050 4,064,250 4,088,700 FHLMC POOL #V83157 764,466 4.50 4/01/2047 812,804 841,816 FHLMC POOL #ZS9057 324,506 4.00 4/01/2034 341,842 354,308 FNMA 280,795 5.00 4/25/2035 300,056 317,875 FNMA POOL #AC1877 1,560,808 4.50 9/01/2039 1,670,569 1,734,109 FNMA POOL #AD1656 994,121 4.50 3/01/2040 1,064,390 1,112,268 FNMA POOL #AL0160 3,058,463 4.50 5/01/2041 3,256,822 3,418,370 FNMA POOL #AL2733(2) 132,980 3.08 7/01/2041 140,101 139,100 FNMA POOL #AL6132 1,020,621 4.50 3/01/2029 1,071,073 1,083,411 FNMA POOL #AL6300 560,096 4.00 5/01/2034 590,365 611,570 FNMA POOL #AL6357(2) 301,823 3.25 3/01/2042 318,018 315,182 FNMA POOL #AL7205 391,874 3.50 12/01/2029 405,003 420,126 FNMA POOL #AL7306 788,791 4.50 9/01/2042 849,874 885,160 FNMA POOL #AL7545 862,921 4.50 1/01/2042 932,795 968,030 FNMA POOL #AL8840 1,360,680 4.50 6/01/2046 1,468,144 1,514,761 FNMA POOL #AL9620 1,833,062 3.50 10/01/2025 1,872,625 1,944,579 FNMA POOL #AR6900(2) 268,163 2.27 3/01/2043 272,724 276,941 FNMA POOL #AS7039 510,451 4.50 4/01/2046 551,521 562,435 FNMA POOL #AS7041 561,612 3.50 4/01/2036 580,212 604,328 FNMA POOL #AS9618 747,288 4.50 5/01/2047 795,397 818,144 FNMA POOL #AV5049 461,235 4.50 2/01/2044 493,065 515,067 FNMA POOL #AX3052 783,510 4.00 10/01/2034 825,909 855,453 FNMA POOL #AX3721 2,093,955 3.50 7/01/2027 2,162,511 2,222,391 FNMA POOL #AX9508(2) 2,372,481 2.90 12/01/2044 2,450,021 2,465,963 FNMA POOL #AY0615(2) 143,857 2.66 4/01/2045 146,641 148,894
See accompanying notes to financial statements. 17 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Government/Agency Bonds (Continued) FNMA POOL #BF0007 1,674,746 5.00 % 7/01/2040 $ 1,804,753 $ 1,886,929 FNMA POOL #BF0045 1,472,203 4.50 3/01/2052 1,586,318 1,685,252 FNMA POOL #BJ7082(2) 2,232,534 3.67 8/01/2048 2,314,370 2,330,280 FNMA POOL #BK0922 2,646,465 4.50 7/01/2048 2,739,082 2,875,346 FNMA POOL #BM1134 1,360,862 4.50 2/01/2046 1,456,632 1,525,618 FNMA POOL #BM1357 1,732,784 4.50 1/01/2043 1,857,558 1,933,354 FNMA POOL #BM1561(2) 468,289 2.92 7/01/2045 477,664 486,193 FNMA POOL #BM6102(2) 2,064,182 3.72 8/01/2049 2,146,138 2,163,868 FNMA POOL #BM6137(2) 2,611,733 3.53 8/01/2049 2,698,866 2,714,663 FNMA POOL #CA6388 8,889,177 2.00 7/01/2050 9,182,367 9,236,386 FNMA POOL #CA6398 3,526,700 2.50 7/01/2050 3,702,807 3,754,323 FNMA POOL #CA6925 5,404,917 2.00 9/01/2050 5,615,975 5,629,481 FNMA POOL #CA6981 4,664,925 2.00 9/01/2050 4,858,269 4,855,807 FNMA POOL #CA7833 3,979,617 2.00 11/01/2050 4,131,379 4,144,961 FNMA POOL #CA8099 4,765,499 2.00 12/01/2050 4,969,688 4,966,407 FNMA POOL #MA0634 423,816 4.50 1/01/2031 447,807 463,619 FNMA POOL #MA2455 1,440,766 4.00 11/01/2035 1,522,349 1,569,117 FNMA POOL #MA2508 1,084,408 4.00 1/01/2036 1,148,426 1,195,938 FNMA POOL #MA2880 1,437,535 4.00 1/01/2037 1,504,639 1,557,972 FNMA POOL #MA2923 1,449,982 3.50 3/01/2037 1,495,440 1,535,686 FNMA POOL #MA3617 1,386,198 5.00 3/01/2049 1,453,007 1,533,086 FNMA POOL TBA(3) 15,202,000 2.50 2/12/2051 15,962,100 15,994,741 FNMA POOL TBA(3) 8,134,000 2.00 3/11/2051 8,403,439 8,419,633 Freddie Mac Multifamily Structured Pass-Through Certificates(2) 877,938 1.36 3/25/2026 40,890 53,967 Freddie Mac Multifamily Structured Pass-Through Certificates(2) 7,481,626 0.96 1/25/2031 546,087 560,932 Freddie Mac Multifamily Structured Pass-Through Certificates(2) 33,881,784 0.07 10/25/2033 394,490 416,614 GNMA(2) 2,574,052 2.27 12/20/2066 2,583,516 2,574,203 GNMA(2) 3,133,110 0.72 9/20/2067 3,136,764 3,127,125 GNMA(2) 3,900,615 0.66 10/20/2067 3,900,615 3,886,284 GNMA(2) 1,196,260 0.69 2/20/2068 1,191,506 1,185,233 GNMA(2) 1,638,908 2.36 12/20/2068 1,645,105 1,644,670 GNMA(2) 1,090,639 1.35 5/20/2069 1,090,639 1,094,445 (2) GNMA 9,249,342 0.74 1/20/2070 ______9,225,403______9,367,313____
Total Federal Agencies ______154,452,916______156,769,982____ US Government Notes & Bonds: 12.74% US Treasury Note 1,758,000 0.13 8/31/2022 1,757,649 1,758,069 US Treasury Note 6,435,000 0.13 9/30/2022 6,432,713 6,435,000 US Treasury Note(4) 7,985,000 0.13 11/30/2022 7,985,307 7,985,624 US Treasury Note 3,000,000 0.25 7/31/2025 2,997,178 2,990,625 US Treasury Note 8,000,000 0.38 11/30/2025 8,004,603 8,009,375 US Treasury Note 2,815,000 0.50 8/31/2027 2,818,680 2,796,746 US Treasury Note 2,453,000 0.63 8/15/2030 2,384,395 2,390,142 (4) US Treasury Note 17,898,000 0.88 11/15/2030 ______17,878,515______17,828,086____
Total US Government Notes & Bonds ______50,259,040______50,193,667____
Total Government/Agency Bonds ______204,711,956______206,963,649____
See accompanying notes to financial statements. 18 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Dodge & Cox Intermediate Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Asset-Backed Securities: 2.46% SLM Student Loan Trust 2005-4(2) 7,307,000 0.38 % 7/25/2040 AA+ $ 7,082,845 $ 6,968,249 (2) SLM Student Loan Trust 2005-9 2,764,042 0.81 1/25/2041 AA+ ______2,739,058______2,725,499____
Total Corporate Asset-Backed Securities ______9,821,903______9,693,748____ Municipal Bonds: 1.64% New Jersey State Turnpike Authority Revenue 700,000 7.10 1/01/2041 A+ 965,566 1,143,030 State of California 1,200,000 7.30 10/01/2039 AA- 1,623,533 1,980,756 State of California 650,000 7.63 3/01/2040 AA- 958,717 1,128,095
State of Illinois 2,050,000 5.10 6/01/2033 BBB- ______1,950,675______2,206,230____
Total Municipal Bonds ______5,498,491______6,458,111______Yield ______Shares Preferred Stocks: 0.80% Financial: 0.80% (2) Citigroup Capital XIII 6.58% 110,610 ______2,954,055______3,152,385____
Total Financial ______2,954,055______3,152,385____
Total Preferred Stocks ______2,954,055______3,152,385____ Short-Term Investments: 8.80% (5) Wells Fargo/BlackRock Short Term Investment Fund S 34,655,178 ______34,655,178______34,655,178____
Total Short-Term Investments: 8.80% ______
Total Investments : 107.25% $ ______401,358,712____ $ ______422,451,248______
Percentages shown are based on total net assets. (1) This Fund holds 11.90% of its portfolio in securities that may only be resold to "qualified institutional buyers" under Rule 144A of the Securities Act of 1933. (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, 2020. (3) Securities issued on a when-issued (TBA) or forward-commitment basis. (4) All or a portion of this security is segregated as collateral for investments in when-issued securities. (5) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds approximately 0.38% 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 GNMA Government National Mortgage Association
See accompanying notes to financial statements. 19
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $345,191,952) $ 366,813,520 Affiliated investments, at value (cost $8,067,065) 8,067,065 Receivable for interest and dividends 2,020,425 Receivable for fund units sold 615,113 Variation margin receivable on centrally cleared swaps 2,374 Total assets 377,518,497 Liabilities: Payable for fund units repurchased 1,951,514 Payable for investments purchased 481,126 Variation margin payable on futures 34,802 Trustee fee payable 54,899 Total liabilities 2,522,341 Net assets $ 374,996,156
Computation of net asset value: Class F Net assets $ 374,364,782 Units outstanding 28,695,731 Net asset value per unit $ 13.05
Class N Net assets $ 631,374 Units outstanding 62,653 Net asset value per unit $ 10.08
See accompanying notes to financial statements. 20
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Statement of Operations Year ended December 31, 2020
Investment income: Interest income $ 7,813,737 Dividend income 3,904,026 Dividend income from affiliated short term investment 23,765 Total income 11,741,528 Expenses: Trustee fee 566,739 Total expenses 566,739 Net investment income (loss) 11,174,789 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 13,833,970 Futures contracts 574,654 Swap agreements (104,554) Net realized gain (loss) on investments 14,304,070 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments 9,031,955 Futures contracts 258,147 Swap agreements 10,893 Net change in unrealized appreciation (depreciation) on investments 9,300,995 Net realized and unrealized gain (loss) on investments 23,605,065 Net increase (decrease) in net assets resulting from operations $ 34,779,854
See accompanying notes to financial statements. 21
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 11,174,789 Net realized gain (loss) on investments 14,304,070 Net change in unrealized appreciation (depreciation) on investments 9,300,995 Net increase (decrease) in net assets resulting from operations 34,779,854
Participating unitholders transactions: Proceeds for issuance of units Class F 102,855,649 Class N 635,514 (1) Payments for redemption of units Class F (187,760,298) Class N (8,992) (1) Change in net assets derived from unit transactions (84,278,127) Total increase (decrease) in net assets (49,498,273)
Net assets: Beginning of year 424,494,429 End of year $ 374,996,156
Participating unitholders transactions: Class F units issued 8,253,560 Class N units issued 63,551 (1)
Class F units redeemed (15,268,104) Class N units redeemed (898) (1)
(1) For the period from November 30, 2020 (commencement of operations) to December 31, 2020.
See accompanying notes to financial statements. 22
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Financial Highlights Year ended December 31, 2020
Class F Class N Per share operating performance: Unit value, beginning of year $ 11.89 $ 10.00 (1) Income from investment operations: Net investment income (loss)(2) 0.36 0.01 Net realized and unrealized gain (loss) on investments 0.80 0.07 Total from investment operations 1.16 0.08 Unit value, end of year $ 13.05 $ 10.08 Total return 9.74% 0.77% (3) Net assets, end of year $ 374,364,782 $ 631,374
Ratios: Ratio of expenses to average net assets 0.15% 0.20% (4) Ratio of net investment income (loss) to average net assets 2.89% 0.84% (4) Portfolio turnover rate 91% 91%
(1) For the period from November 30, 2020 (commencement of operations) to December 31, 2020. (2) Based on average number of units outstanding. (3) Not annualized for periods less than one year. (4) Annualized for periods less than one year.
See accompanying notes to financial statements. 23 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds: 38.35% Basic Materials: 0.70% Carpenter Technology Corp 350,000 4.45 % 3/01/2023 BBB- $ 349,938 $ 366,508 International Paper Co 150,000 3.00 2/15/2027 BBB 149,672 165,090 International Paper Co 500,000 4.40 8/15/2047 BBB 476,283 653,078 Nutrition & Biosciences, Inc(1) 450,000 1.83 10/15/2027 BBB 454,000 463,599 Nutrition & Biosciences, Inc(1) 350,000 2.30 11/01/2030 BBB 357,231 360,302 Reliance Steel & Aluminum Co 200,000 4.50 4/15/2023 BBB 199,310 215,772 RPM International, Inc 150,000 4.55 3/01/2029 BBB- 150,049 174,664
RPM International, Inc 200,000 5.25 6/01/2045 BBB- ______199,026______244,955____
Total Basic Materials ______2,335,509______2,643,968____ Communications: 4.00% Amazon.com, Inc 250,000 3.15 8/22/2027 AA- 249,703 284,822 Amazon.com, Inc 400,000 3.88 8/22/2037 AA- 406,665 498,381 America Movil SAB de CV 350,000 2.88 5/07/2030 BBB+ 352,270 379,330 AT&T, Inc 200,000 3.50 6/01/2041 BBB 200,312 215,315 AT&T, Inc 550,000 3.65 6/01/2051 BBB 560,311 574,870 AT&T, Inc(1) 351,000 3.80 12/01/2057 BBB 315,430 364,549 AT&T, Inc 340,000 5.30 8/15/2058 BBB 340,802 447,931 AT&T, Inc 160,000 3.85 6/01/2060 BBB 165,732 167,382 Charter Communications Operating LLC / Charter Communications Operating Capital 155,000 4.20 3/15/2028 BBB- 150,849 178,778 Charter Communications Operating LLC / Charter Communications Operating Capital 450,000 2.80 4/01/2031 BBB- 447,018 475,367 Charter Communications Operating LLC / Charter Communications Operating Capital 200,000 6.48 10/23/2045 BBB- 219,384 283,397 Comcast Corp 750,000 3.95 10/15/2025 A- 750,795 861,482 Comcast Corp 250,000 3.30 2/01/2027 A- 271,837 282,251 Comcast Corp 250,000 3.40 4/01/2030 A- 257,738 288,170 Comcast Corp 300,000 3.45 2/01/2050 A- 300,012 353,000 Deutsche Telekom International Finance BV(1) 400,000 3.60 1/19/2027 BBB 404,575 449,567 Discovery Communications LLC 400,000 4.65 5/15/2050 BBB- 397,557 499,457 Fox Corp 200,000 4.71 1/25/2029 BBB 202,266 242,552 Fox Corp 200,000 5.58 1/25/2049 BBB 203,828 291,880 Grupo Televisa SAB 350,000 5.00 5/13/2045 BBB+ 344,157 421,391 NBCUniversal Media LLC 400,000 5.95 4/01/2041 A- 488,901 609,802 Omnicom Group, Inc 350,000 4.20 6/01/2030 BBB+ 358,803 420,186 Sky Ltd(1) 700,000 3.75 9/16/2024 A- 706,744 779,172 T-Mobile USA, Inc(1) 275,000 3.88 4/15/2030 BBB- 274,536 318,453 T-Mobile USA, Inc(1) 150,000 3.00 2/15/2041 BBB- 150,822 155,508 T-Mobile USA, Inc(1) 275,000 4.50 4/15/2050 BBB- 280,277 339,181 Telefonica Emisiones SA 300,000 4.57 4/27/2023 BBB- 306,669 327,964 Telefonica Emisiones SA 260,000 5.21 3/08/2047 BBB- 260,000 335,188 TELUS Corp 750,000 2.80 2/16/2027 BBB+ 736,385 823,714 Verizon Communications, Inc 650,000 4.13 8/15/2046 BBB+ 630,092 796,760 Verizon Communications, Inc 250,000 4.52 9/15/2048 BBB+ 242,636 325,471 ViacomCBS, Inc 300,000 4.00 1/15/2026 BBB 303,544 343,269 ViacomCBS, Inc 300,000 4.95 1/15/2031 BBB 296,378 375,545
See accompanying notes to financial statements. 24 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Vodafone Group PLC 175,000 4.13 % 5/30/2025 BBB $ 174,517 $ 200,072 Vodafone Group PLC 350,000 5.25 5/30/2048 BBB 351,883 486,157 Walt Disney Co 150,000 2.65 1/13/2031 BBB+ 162,574 164,350 Walt Disney Co 200,000 4.95 10/15/2045 BBB+ 227,193 278,888
Walt Disney Co 300,000 3.60 1/13/2051 BBB+ ______301,888______363,451____
Total Communications ______12,795,083______15,003,003____ Consumer, Cyclical: 2.65% Advance Auto Parts, Inc 550,000 3.90 4/15/2030 BBB- 571,009 632,143 Alimentation Couche-Tard, Inc(1) 500,000 3.80 1/25/2050 BBB 518,306 591,318 AutoNation, Inc 600,000 4.75 6/01/2030 BBB- 642,440 721,635 AutoZone, Inc 200,000 3.25 4/15/2025 BBB 199,366 219,096 AutoZone, Inc 300,000 4.00 4/15/2030 BBB 305,224 355,230 Daimler Finance North America LLC(1) 350,000 3.30 5/19/2025 BBB+ 356,683 386,391 Dollar General Corp 350,000 4.15 11/01/2025 BBB 359,050 401,617 Fiat Chrysler Automobiles NV 300,000 5.25 4/15/2023 BBB- 309,156 321,750 General Motors Co 400,000 4.00 4/01/2025 BBB 400,801 442,809 General Motors Co 100,000 6.13 10/01/2025 BBB 100,641 121,273 General Motors Financial Co, Inc 500,000 3.15 6/30/2022 BBB 489,723 517,649 General Motors Financial Co, Inc 400,000 5.10 1/17/2024 BBB 400,232 447,559 General Motors Financial Co, Inc 550,000 2.70 8/20/2027 BBB 568,916 583,066 Home Depot, Inc 460,000 3.75 2/15/2024 A 471,754 504,339 Home Depot, Inc 300,000 2.95 6/15/2029 A 312,289 340,839 Hyundai Capital America(1) 650,000 2.38 10/15/2027 BBB+ 657,060 681,220 O'Reilly Automotive, Inc 300,000 4.20 4/01/2030 BBB 302,832 361,205 O'Reilly Automotive, Inc 200,000 1.75 3/15/2031 BBB 199,519 200,187 Southwest Airlines Co 350,000 5.25 5/04/2025 BBB 348,921 405,281 Toyota Motor Credit Corp 400,000 2.70 1/11/2023 A+ 400,037 418,827 Tractor Supply Co 450,000 1.75 11/01/2030 BBB 446,421 452,021 Volkswagen Group of America Finance LLC(1) 450,000 3.13 5/12/2023 BBB+ 451,691 475,256 Volkswagen Group of America (1) Finance LLC 350,000 1.25 11/24/2025 BBB+ ______350,295______352,885____
Total Consumer, Cyclical ______9,162,366______9,933,596____ Consumer, Non-cyclical: 7.58% Abbott Laboratories 500,000 3.40 11/30/2023 A 495,375 541,872 Abbott Laboratories 200,000 4.90 11/30/2046 A 198,656 295,711 AbbVie, Inc 300,000 3.20 11/21/2029 BBB+ 301,097 336,038 AbbVie, Inc 700,000 4.25 11/21/2049 BBB+ 705,565 877,358 Alcon Finance Corp(1) 400,000 3.00 9/23/2029 BBB 400,121 436,339 Alcon Finance Corp(1) 350,000 2.60 5/27/2030 BBB 370,709 372,760 Altria Group, Inc 250,000 5.95 2/14/2049 BBB 252,614 349,705 Amgen, Inc 600,000 2.45 2/21/2030 A- 599,808 642,150 Amgen, Inc 300,000 2.30 2/25/2031 A- 299,662 319,779 Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc 200,000 4.90 2/01/2046 BBB+ 191,801 260,289 Anheuser-Busch InBev Finance, Inc 250,000 4.90 2/01/2046 BBB+ 242,492 320,766 Anheuser-Busch InBev Worldwide, Inc 150,000 4.60 4/15/2048 BBB+ 187,022 189,502
See accompanying notes to financial statements. 25 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Anheuser-Busch InBev Worldwide, Inc 450,000 4.44 % 10/06/2048 BBB+ $ 409,253 $ 559,195 AstraZeneca PLC 400,000 3.13 6/12/2027 BBB+ 398,522 449,836 Bacardi Ltd(1) 125,000 2.75 7/15/2026 BBB- 124,742 132,397 BAT Capital Corp 190,000 3.56 8/15/2027 BBB+ 190,000 211,480 BAT Capital Corp 600,000 4.54 8/15/2047 BBB+ 600,000 665,246 Biogen, Inc 450,000 3.15 5/01/2050 A- 436,918 465,753 Bristol-Myers Squibb Co 120,000 3.88 8/15/2025 A+ 127,165 136,969 Bristol-Myers Squibb Co 200,000 3.90 2/20/2028 A+ 215,806 236,701 Bristol-Myers Squibb Co 290,000 5.00 8/15/2045 A+ 366,980 419,355 Bristol-Myers Squibb Co 150,000 4.25 10/26/2049 A+ 150,777 202,806 Campbell Soup Co 400,000 2.38 4/24/2030 BBB- 402,382 422,295 Cigna Corp 300,000 4.90 12/15/2048 A- 307,052 411,860 Cintas Corp No 2 700,000 3.70 4/01/2027 A- 689,981 806,236 Clorox Co 350,000 1.80 5/15/2030 A- 346,351 360,996 Coca-Cola Femsa SAB de CV 300,000 2.75 1/22/2030 298,589 323,436 Conagra Brands, Inc 600,000 1.38 11/01/2027 BBB- 596,884 605,401 Constellation Brands, Inc 200,000 3.75 5/01/2050 BBB 202,902 235,065 CVS Health Corp 575,000 4.78 3/25/2038 BBB 717,652 725,575 CVS Health Corp 150,000 2.70 8/21/2040 BBB 150,264 151,528 CVS Health Corp 200,000 5.13 7/20/2045 BBB 219,891 268,872 Danaher Corp 400,000 2.60 10/01/2050 BBB+ 395,914 414,486 DH Europe Finance II Sarl 165,000 2.60 11/15/2029 BBB+ 164,859 180,360 Eli Lilly & Co 450,000 3.38 3/15/2029 A+ 450,015 522,141 Equifax, Inc 200,000 2.60 12/01/2024 BBB 200,168 214,173 Equifax, Inc 200,000 3.25 6/01/2026 BBB 202,507 220,429 ERAC USA Finance LLC(1) 600,000 3.85 11/15/2024 A- 603,571 667,032 Experian Finance PLC(1) 400,000 4.25 2/01/2029 A- 400,917 481,348 Flowers Foods, Inc 250,000 3.50 10/01/2026 BBB 250,450 278,613 General Mills, Inc 100,000 3.70 10/17/2023 BBB 99,416 108,901 General Mills, Inc 200,000 4.55 4/17/2038 BBB 201,546 256,894 Global Payments, Inc 350,000 4.80 4/01/2026 BBB- 358,253 416,439 Grupo Bimbo SAB de CV(1) 600,000 3.88 6/27/2024 BBB 604,415 657,247 Heineken NV(1) 170,000 4.35 3/29/2047 BBB+ 168,842 218,604 IHS Markit Ltd 450,000 4.75 8/01/2028 449,997 554,188 J M Smucker Co 350,000 2.38 3/15/2030 BBB 368,496 370,279 JM Smucker Co 500,000 3.50 3/15/2025 BBB 519,542 557,185 Keurig Dr Pepper, Inc 200,000 4.06 5/25/2023 BBB 200,274 217,290 Keurig Dr Pepper, Inc 400,000 4.42 5/25/2025 BBB 400,763 461,088 Kroger Co 350,000 4.45 2/01/2047 BBB 347,890 439,760 McCormick & Co, Inc 750,000 2.50 4/15/2030 BBB 780,291 802,705 Mead Johnson Nutrition Co 350,000 4.60 6/01/2044 A- 345,809 464,645 Mondelez International, Inc 450,000 1.50 5/04/2025 BBB 449,177 465,320 PepsiCo, Inc 550,000 2.75 4/30/2025 A+ 554,317 598,562 PepsiCo, Inc 100,000 3.63 3/19/2050 A+ 97,221 126,657 Philip Morris International, Inc 400,000 1.50 5/01/2025 A 399,702 414,234 Procter & Gamble Co 250,000 3.00 3/25/2030 AA- 273,310 288,132 Reckitt Benckiser Treasury Services PLC(1) 200,000 3.00 6/26/2027 A- 199,855 223,416 Regeneron Pharmaceuticals, Inc 450,000 2.80 9/15/2050 BBB+ 432,144 435,607 Royalty Pharma PLC(1) 800,000 1.75 9/02/2027 BBB- 803,415 822,822
See accompanying notes to financial statements. 26 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Shire Acquisitions Investments Ireland DAC 27,000 2.40 % 9/23/2021 BBB+ $ 27,002 $ 27,352 Smithfield Foods, Inc(1) 400,000 3.00 10/15/2030 BBB- 400,495 423,231 Stryker Corp 450,000 0.60 12/01/2023 A- 450,222 450,700 Takeda Pharmaceutical Co Ltd 400,000 2.05 3/31/2030 BBB+ 401,564 409,033 Thermo Fisher Scientific, Inc 15,000 4.13 3/25/2025 BBB+ 15,175 17,053 Tyson Foods, Inc 400,000 3.95 8/15/2024 BBB+ 412,079 444,143 Unilever Capital Corp 250,000 0.38 9/14/2023 A+ 249,933 250,769 UnitedHealth Group, Inc 300,000 2.75 5/15/2040 A+ 322,864 324,901 UnitedHealth Group, Inc 300,000 2.90 5/15/2050 A+ 296,573 331,498 Verisk Analytics, Inc 600,000 4.13 9/12/2022 BBB 606,200 635,519
Zoetis, Inc 450,000 3.00 5/15/2050 BBB ______444,241______495,212____
Total Consumer, Non-cyclical ______25,546,457______28,421,239____ Energy: 3.59% Boardwalk Pipelines LP 400,000 4.80 5/03/2029 BBB- 402,039 458,148 BP Capital Markets America, Inc 200,000 3.12 5/04/2026 A- 192,838 221,277 BP Capital Markets America, Inc 500,000 3.59 4/14/2027 A- 566,464 568,157 Canadian Natural Resources Ltd 400,000 3.90 2/01/2025 BBB 418,410 442,391 Canadian Natural Resources Ltd 200,000 6.25 3/15/2038 BBB 215,307 268,268 Chevron Corp 350,000 3.08 5/11/2050 AA 352,948 388,028 Cimarex Energy Co 250,000 3.90 5/15/2027 BBB- 244,866 275,434 Cimarex Energy Co 200,000 4.38 3/15/2029 BBB- 200,351 227,712 Columbia Pipeline Group, Inc 125,000 4.50 6/01/2025 125,651 143,728 Columbia Pipeline Group, Inc 125,000 5.80 6/01/2045 126,378 170,522 Enbridge Energy Partners LP 240,000 5.50 9/15/2040 BBB+ 248,472 295,960 Energy Transfer Operating LP 400,000 4.90 2/01/2024 BBB- 406,734 437,749 Energy Transfer Operating LP 200,000 4.05 3/15/2025 BBB- 200,522 219,359 Energy Transfer Operating LP 250,000 5.00 5/15/2050 BBB- 256,658 270,309 Enterprise Products Operating LLC 350,000 4.85 3/15/2044 BBB+ 368,515 433,576 Enterprise Products Operating LLC 200,000 4.25 2/15/2048 BBB+ 199,908 234,113 Exxon Mobil Corp 500,000 3.48 3/19/2030 AA 493,607 581,875 Halliburton Co 13,000 3.80 11/15/2025 BBB+ 12,877 14,577 Husky Energy, Inc 650,000 4.00 4/15/2024 BBB- 644,103 696,509 Kinder Morgan Energy Partners LP 200,000 5.80 3/15/2035 BBB 206,454 251,183 Kinder Morgan, Inc 200,000 5.05 2/15/2046 BBB 236,918 244,760 Kinder Morgan, Inc 200,000 3.25 8/01/2050 BBB 195,884 200,337 Marathon Petroleum Corp 500,000 4.75 9/15/2044 BBB 470,784 573,026 MPLX LP 500,000 4.90 4/15/2058 BBB 496,544 593,200 ONEOK, Inc 40,000 2.20 9/15/2025 BBB 39,944 41,697 ONEOK, Inc 400,000 4.95 7/13/2047 BBB 395,699 446,252 Petroleos Mexicanos 350,000 4.63 9/21/2023 BBB 350,345 363,562 Phillips 66 800,000 0.90 2/15/2024 BBB+ 800,183 802,428 Shell International Finance BV 300,000 3.25 5/11/2025 AA- 295,638 332,463 Shell International Finance BV 800,000 4.13 5/11/2035 AA- 838,571 1,000,094 Southern Natural Gas Co LLC(1) 700,000 4.80 3/15/2047 BBB+ 697,880 816,186 Suncor Energy, Inc 250,000 6.50 6/15/2038 BBB+ 262,193 348,001 TC PipeLines LP 340,000 3.90 5/25/2027 BBB 340,000 382,270 Valero Energy Corp 450,000 2.70 4/15/2023 BBB 451,600 469,598
Williams Cos, Inc 200,000 4.90 1/15/2045 BBB ______219,402______235,819____
Total Energy ______11,974,687______13,448,568____
See accompanying notes to financial statements. 27 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Financial: 10.25% AIA Group Ltd(1) 500,000 3.60 % 4/09/2029 A $ 499,038 $ 562,326 Alexandria Real Estate Equities, Inc 400,000 1.88 2/01/2033 BBB+ 401,572 399,074 American International Group, Inc 600,000 4.50 7/16/2044 BBB+ 596,124 767,508 American Tower Corp 190,000 4.40 2/15/2026 BBB- 189,724 219,991 American Tower Corp 250,000 3.38 10/15/2026 BBB- 236,486 280,828 American Tower Corp 250,000 2.10 6/15/2030 BBB- 249,852 256,451 Associated Banc-Corp 400,000 4.25 1/15/2025 BBB- 402,011 433,344 AvalonBay Communities, Inc 495,000 3.35 5/15/2027 A- 493,912 554,228 Bank of America Corp(2) 500,000 3.00 12/20/2023 A- 495,917 526,501 Bank of America Corp 900,000 3.25 10/21/2027 A- 895,097 1,006,925 Bank of America Corp(2) 230,000 2.88 10/22/2030 A- 230,000 252,434 Bank of America Corp(2) 1,100,000 2.59 4/29/2031 A- 1,109,925 1,178,750 Bank of America Corp(2) 400,000 1.92 10/24/2031 A- 401,031 405,048 Bank of New York Mellon Corp 400,000 3.00 10/30/2028 A- 400,689 452,067 BBVA USA 300,000 3.88 4/10/2025 BBB 294,430 336,354 BlackRock, Inc 450,000 1.90 1/28/2031 AA- 449,802 470,748 Boston Properties LP 400,000 3.20 1/15/2025 BBB+ 400,167 437,165 Capital One Bank USA NA 300,000 3.38 2/15/2023 BBB 299,314 317,159 Capital One Financial Corp 400,000 3.90 1/29/2024 BBB 400,172 438,091 Chubb INA Holdings, Inc 400,000 3.35 5/15/2024 A 402,729 436,634 Citigroup, Inc 500,000 2.75 4/25/2022 BBB+ 499,909 514,931 Citigroup, Inc(2) 400,000 3.14 1/24/2023 BBB+ 398,972 411,306 Citigroup, Inc(2) 500,000 2.88 7/24/2023 BBB+ 500,000 519,375 Citigroup, Inc 600,000 3.20 10/21/2026 BBB+ 599,466 670,357 Citigroup, Inc(2) 400,000 2.98 11/05/2030 BBB+ 400,805 440,296 Citigroup, Inc(2) 650,000 2.57 6/03/2031 BBB+ 669,557 692,423 Citizens Financial Group, Inc(1) 380,000 2.64 9/30/2032 BBB 380,517 401,742 Comerica, Inc 290,000 3.80 7/22/2026 BBB 289,160 329,507 Crown Castle International Corp 300,000 3.70 6/15/2026 BBB- 288,631 337,990 Crown Castle International Corp 200,000 2.25 1/15/2031 BBB- 199,396 207,335 Discover Bank/Greenwood 400,000 3.45 7/27/2026 BBB 402,048 447,252 Fifth Third Bank NA 300,000 2.25 2/01/2027 A- 300,386 319,989 FNB Corp 350,000 2.20 2/24/2023 BBB- 350,382 356,477 GE Capital Funding LLC(1) 450,000 4.40 5/15/2030 BBB+ 491,366 530,202 Goldman Sachs Group, Inc(2) 700,000 2.88 10/31/2022 BBB+ 699,827 714,194 Goldman Sachs Group, Inc 450,000 3.50 11/16/2026 BBB+ 448,402 505,177 Goldman Sachs Group, Inc 450,000 3.85 1/26/2027 BBB+ 449,236 513,422 Goldman Sachs Group, Inc(2) 700,000 3.81 4/23/2029 BBB+ 700,642 810,729 Hartford Financial Services Group, Inc 400,000 4.30 4/15/2043 BBB+ 371,472 503,638 HSBC Holdings PLC(2) 300,000 3.26 3/13/2023 A- 297,606 310,056 HSBC Holdings PLC 700,000 3.90 5/25/2026 A- 715,753 798,821 Huntington Bancshares, Inc 400,000 2.55 2/04/2030 BBB+ 399,778 428,752 Invesco Finance PLC 200,000 5.38 11/30/2043 BBB+ 218,343 260,747 Jefferies Group LLC 400,000 2.75 10/15/2032 BBB 399,240 419,520 JPMorgan Chase & Co 1,000,000 3.38 5/01/2023 BBB+ 995,972 1,068,722 JPMorgan Chase & Co(2) 600,000 3.78 2/01/2028 A- 600,656 689,739 JPMorgan Chase & Co(2) 400,000 3.54 5/01/2028 A- 399,387 457,025 JPMorgan Chase & Co(2) 500,000 3.51 1/23/2029 A- 500,360 570,198 JPMorgan Chase & Co(2) 300,000 2.52 4/22/2031 A- 302,386 322,280
See accompanying notes to financial statements. 28 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) JPMorgan Chase & Co(2) 425,000 1.76 % 11/19/2031 A- $ 424,655 $ 429,076 Kimco Realty Corp 250,000 2.80 10/01/2026 BBB+ 249,648 272,415 Liberty Mutual Group, Inc(1) 177,000 4.25 6/15/2023 BBB 179,253 192,573 Liberty Mutual Group, Inc(1) 323,000 4.57 2/01/2029 BBB 324,831 396,699 M&T Bank Corp 300,000 3.55 7/26/2023 A- 300,223 324,100 Manufacturers & Traders Trust Co 300,000 2.50 5/18/2022 A 299,885 308,620 Massachusetts Mutual Life Insurance Co(1) 350,000 5.38 12/01/2041 AA- 384,932 449,370 MetLife, Inc 200,000 4.05 3/01/2045 A- 196,399 256,018 Morgan Stanley 800,000 5.00 11/24/2025 BBB 821,352 956,597 Morgan Stanley 450,000 3.63 1/20/2027 BBB+ 445,692 516,317 Morgan Stanley(2) 500,000 3.59 7/22/2028 BBB+ 502,455 570,623 Morgan Stanley(2) 300,000 1.79 2/13/2032 BBB+ 299,727 301,673 Nationwide Mutual Insurance Co(1) 250,000 4.35 4/30/2050 A- 252,095 293,184 Nuveen Finance LLC(1) 400,000 4.13 11/01/2024 A 405,360 450,738 Nuveen LLC(1) 300,000 4.00 11/01/2028 AA 299,309 358,239 Pacific Life Insurance Co(1)(2) 600,000 4.30 10/24/2067 A 602,666 681,000 Physicians Realty LP 200,000 4.30 3/15/2027 BBB- 199,601 220,914 Physicians Realty LP 250,000 3.95 1/15/2028 BBB- 249,087 270,584 PNC Bank NA 500,000 3.10 10/25/2027 A 500,728 559,922 Prudential Financial, Inc 500,000 5.10 8/15/2043 A 558,051 619,214 Regency Centers LP 500,000 4.13 3/15/2028 BBB+ 500,334 569,913 State Street Corp(2) 500,000 2.65 5/15/2023 A 500,000 515,615 Stifel Financial Corp 400,000 4.25 7/18/2024 BBB- 402,356 449,333 Tanger Properties LP 400,000 3.88 12/01/2023 BBB 406,307 415,435 Travelers Cos, Inc 200,000 2.55 4/27/2050 A 199,918 210,117 Truist Bank 255,000 3.30 5/15/2026 A- 254,308 285,065 Truist Financial Corp 330,000 4.00 5/01/2025 A- 329,776 373,610 UDR, Inc 250,000 3.50 1/15/2028 BBB+ 249,746 280,287 UDR, Inc 200,000 2.10 8/01/2032 BBB+ 200,765 203,720 US Bancorp 700,000 2.63 1/24/2022 A+ 699,746 716,017 Visa, Inc 300,000 3.15 12/14/2025 AA- 300,380 336,482 Visa, Inc 400,000 2.75 9/15/2027 AA- 398,769 445,517 Welltower, Inc 250,000 2.75 1/15/2031 BBB+ 251,177 266,595
WP Carey, Inc 600,000 4.60 4/01/2024 BBB ______612,732______665,843____
Total Financial ______34,919,910______38,445,253____ Industrial: 3.80% Agilent Technologies, Inc 200,000 3.05 9/22/2026 BBB+ 200,868 218,189 Agilent Technologies, Inc 350,000 2.10 6/04/2030 BBB+ 352,513 363,377 Allegion PLC 350,000 3.50 10/01/2029 BBB 350,927 388,221 Allegion US Holding Co, Inc 350,000 3.20 10/01/2024 BBB 350,629 373,760 BAE Systems Holdings, Inc(1) 280,000 3.85 12/15/2025 BBB 278,369 317,458 BAE Systems PLC(1) 300,000 3.00 9/15/2050 BBB 299,650 312,430 Boeing Co 225,000 4.51 5/01/2023 BBB- 225,634 243,173 Boeing Co 225,000 4.88 5/01/2025 BBB- 226,128 256,431 Boeing Co 215,000 2.70 2/01/2027 BBB- 223,098 223,547 Boeing Co 585,000 2.95 2/01/2030 BBB- 601,356 605,141 Boeing Co 200,000 3.63 2/01/2031 BBB- 200,175 219,103 Boeing Co 150,000 5.71 5/01/2040 BBB- 181,851 193,967 Boeing Co 90,000 3.95 8/01/2059 BBB- 67,689 96,134 Burlington Northern Santa Fe LLC 300,000 4.45 3/15/2043 A+ 314,405 403,591
See accompanying notes to financial statements. 29 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Canadian Pacific Railway Co 200,000 2.90 % 2/01/2025 BBB+ $ 202,050 $ 216,481 Carrier Global Corp 225,000 2.70 2/15/2031 BBB 239,236 241,605 CNH Industrial Capital LLC 400,000 1.95 7/02/2023 BBB 408,310 411,752 CNH Industrial Capital LLC 60,000 1.88 1/15/2026 BBB 61,068 62,820 CNH Industrial NV 300,000 3.85 11/15/2027 BBB 292,196 337,843 Embraer Overseas Ltd(1) 500,000 5.70 9/16/2023 BB+ 509,810 532,505 FedEx Corp 125,000 3.10 8/05/2029 BBB 124,359 139,518 FedEx Corp 375,000 4.05 2/15/2048 BBB 371,251 452,519 General Electric Co 600,000 4.13 10/09/2042 BBB+ 612,007 702,315 Huntington Ingalls Industries, Inc 400,000 3.48 12/01/2027 BBB 400,711 448,206 John Deere Capital Corp 500,000 3.45 3/07/2029 A 505,033 579,935 Kansas City Southern 120,000 3.00 5/15/2023 BBB 118,225 125,008 Kansas City Southern 300,000 4.95 8/15/2045 BBB 328,889 382,801 Kansas City Southern 200,000 4.70 5/01/2048 BBB 198,466 251,381 Keysight Technologies, Inc 350,000 3.00 10/30/2029 BBB 351,481 386,233 Lennox International, Inc 350,000 1.70 8/01/2027 BBB 357,155 356,031 Molex Electronic Technologies LLC(1) 300,000 3.90 4/15/2025 BBB 300,770 310,343 Northrop Grumman Corp 600,000 3.25 1/15/2028 BBB 601,128 678,201 Otis Worldwide Corp 350,000 2.57 2/15/2030 BBB 351,493 375,641 Penske Truck Leasing Co LP / PTL Finance Corp(1) 200,000 4.88 7/11/2022 BBB 202,966 213,215 Penske Truck Leasing Co LP / PTL Finance Corp(1) 250,000 4.13 8/01/2023 BBB 248,670 271,710 PerkinElmer, Inc 400,000 3.30 9/15/2029 BBB 398,432 450,781 Roper Technologies, Inc 400,000 2.95 9/15/2029 BBB+ 401,044 439,237 Ryder System, Inc 350,000 3.40 3/01/2023 BBB 349,119 370,766 Union Pacific Corp 250,000 2.40 2/05/2030 A- 249,880 268,985 Worthington Industries, Inc 500,000 4.55 4/15/2026 BBB 517,171 568,891
WRKCo, Inc 400,000 4.00 3/15/2028 BBB ______400,694______463,610____
Total Industrial ______12,974,906______14,252,855____ Technology: 2.19% Apple, Inc 500,000 2.45 8/04/2026 AA+ 498,544 545,624 Apple, Inc 600,000 2.90 9/12/2027 AA+ 599,655 670,786 Broadcom, Inc 265,000 4.11 9/15/2028 BBB- 263,083 303,158 Broadcom, Inc 400,000 4.15 11/15/2030 BBB- 397,934 462,386 Dell International LLC / EMC Corp(1) 700,000 5.85 7/15/2025 BBB- 702,000 840,717 Fidelity National Information Services, Inc 400,000 3.75 5/21/2029 BBB 403,111 469,376 Fiserv, Inc 600,000 3.80 10/01/2023 BBB 600,546 653,473 Fiserv, Inc 200,000 3.50 7/01/2029 BBB 199,758 228,261 Intel Corp 200,000 3.70 7/29/2025 A+ 200,162 226,262 Lam Research Corp 400,000 4.00 3/15/2029 A- 401,090 479,617 Leidos, Inc(1) 250,000 3.63 5/15/2025 BBB- 254,716 279,523 Leidos, Inc(1) 250,000 4.38 5/15/2030 BBB- 258,931 299,363 Micron Technology, Inc 450,000 2.50 4/24/2023 BBB- 451,343 468,880 Micron Technology, Inc 200,000 4.98 2/06/2026 BBB- 199,807 236,340 Microsoft Corp 289,000 3.95 8/08/2056 AAA 285,786 396,049 Microsoft Corp 61,000 2.68 6/01/2060 AAA 60,320 65,947 Oracle Corp 410,000 3.40 7/08/2024 A 413,896 448,697
See accompanying notes to financial statements. 30 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Bonds (Continued) Oracle Corp 400,000 2.65 % 7/15/2026 A $ 400,134 $ 439,470
Oracle Corp 600,000 3.60 4/01/2040 A ______688,764______702,087____
Total Technology ______7,279,580______8,216,016____ Utilities: 3.59% AEP Texas, Inc(1) 60,000 3.85 10/01/2025 A- 59,723 67,453 Ameren Corp 90,000 3.65 2/15/2026 BBB 89,960 101,468 American Electric Power Co, Inc 346,000 2.95 12/15/2022 BBB+ 344,566 361,229 American Electric Power Co, Inc 450,000 0.75 11/01/2023 BBB+ 450,293 450,999 Consolidated Edison Co of New York, Inc 200,000 4.63 12/01/2054 A- 214,657 265,893 Dominion Energy, Inc(2) 200,000 3.07 8/15/2024 BBB 200,773 215,873 Duke Energy Corp 600,000 2.65 9/01/2026 BBB+ 595,479 653,599 Duke Energy Corp 500,000 3.75 9/01/2046 BBB+ 466,928 581,783 East Ohio Gas Co(1) 400,000 3.00 6/15/2050 BBB+ 396,541 434,043 Eastern Energy Gas Holdings LLC 175,000 3.90 11/15/2049 A 175,631 205,071 EDP Finance BV(1) 400,000 3.63 7/15/2024 BBB- 399,159 436,478 Emera US Finance LP 600,000 4.75 6/15/2046 BBB- 757,695 766,096 Enel Finance International NV(1) 500,000 4.63 9/14/2025 BBB+ 498,475 582,178 Enel Finance International NV(1) 250,000 4.88 6/14/2029 BBB+ 246,305 311,988 Evergy Metro, Inc 600,000 4.20 3/15/2048 A+ 602,008 776,285 Eversource Energy 300,000 3.80 12/01/2023 BBB+ 299,837 328,396 Eversource Energy 400,000 2.90 10/01/2024 BBB+ 399,865 431,608 Exelon Corp 300,000 5.10 6/15/2045 BBB 323,208 405,794 Exelon Corp 185,000 4.45 4/15/2046 BBB 194,098 235,524 FirstEnergy Transmission LLC(1) 400,000 4.55 4/01/2049 BB 405,504 466,376 National Fuel Gas Co 600,000 3.95 9/15/2027 BBB- 599,017 636,914 National Rural Utilities Cooperative Finance Corp(2) 260,000 5.25 4/20/2046 BBB+ 260,334 288,060 NextEra Energy Capital Holdings, Inc 800,000 3.63 6/15/2023 BBB+ 803,689 854,177 NextEra Energy Capital Holdings, Inc 400,000 3.15 4/01/2024 BBB+ 401,238 432,335 NextEra Energy Capital Holdings, Inc 300,000 2.25 6/01/2030 BBB+ 300,522 314,352 NiSource, Inc 400,000 3.95 3/30/2048 BBB+ 400,390 490,520 PPL Capital Funding, Inc 600,000 3.95 3/15/2024 BBB+ 611,513 654,854 Public Service Enterprise Group, Inc 200,000 2.88 6/15/2024 BBB 199,782 215,281 Sempra Energy 600,000 3.55 6/15/2024 BBB+ 606,820 653,581 Sempra Energy 200,000 3.40 2/01/2028 BBB+ 199,168 227,952 Southern Co(2) 500,000 4.00 1/15/2051 BBB 503,550 529,537
Southern Co Gas Capital Corp 70,000 3.95 10/01/2046 A- ______69,894______82,279____
Total Utilities ______12,076,622______13,457,976____
Total Corporate Bonds ______129,065,120______143,822,474____ Foreign Government Bonds: 0.24% Colombia: 0.09% Colombia Government International
Bond 300,000 4.50 3/15/2029 BBB- ______314,333______346,875____
Total Colombia ______314,333______346,875____
See accompanying notes to financial statements. 31 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Foreign Government Bonds (Continued) Mexico: 0.09% Mexico Government International
Bond 300,000 3.75 % 1/11/2028 BBB $ ______296,402____ $ ______337,068____
Total Mexico ______296,402______337,068____ United Arab Emirates: 0.06% Abu Dhabi Government (1) International Bond 200,000 2.50 4/16/2025 AA ______198,639______213,660____
Total United Arab Emirates ______198,639______213,660____
Total Foreign Government Bonds ______809,374______897,603____ Government/Agency Bonds: 32.95% Federal Agencies: 18.93% FHLMC POOL #AI6588 137,263 4.00 7/01/2026 139,641 145,994 FHLMC POOL #QB1337 2,376,840 2.50 7/01/2050 2,489,876 2,507,350 FHLMC POOL #QB4122 2,569,000 2.00 10/01/2050 2,658,079 2,668,487 FHLMC POOL #QB4580 2,582,805 2.00 10/01/2050 2,667,141 2,682,826 FHLMC POOL #SD0125 1,334,063 3.00 10/01/2049 1,355,189 1,401,048 FHLMC POOL #SD8051 1,195,429 3.50 3/01/2050 1,266,363 1,262,193 FHLMC POOL #SD8056 2,298,739 3.00 4/01/2050 2,368,831 2,409,080 FHLMC POOL #SD8063 1,461,097 3.50 5/01/2050 1,549,814 1,542,877 FHLMC POOL #ZA1160 1,068,077 3.50 4/01/2042 1,102,844 1,173,242 FHLMC POOL #ZM1753 1,593,977 3.00 9/01/2046 1,640,395 1,676,891 FHLMC POOL #ZM2148 972,305 3.50 11/01/2046 963,673 1,037,224 FHLMC POOL #ZM2655 427,794 3.00 2/01/2047 428,181 449,415 FHLMC POOL #ZM5375 3,577,022 3.50 1/01/2048 3,543,108 3,802,507 FHLMC POOL #ZS4706 589,163 3.00 3/01/2047 592,227 618,468 FHLMC POOL #ZS4731 1,249,273 4.00 8/01/2047 1,306,958 1,340,507 FHLMC POOL #ZS4740 1,155,095 4.00 10/01/2047 1,209,515 1,238,240 FHLMC POOL #ZS4744 490,637 4.00 11/01/2047 511,653 526,942 FNMA POOL #AE0949 211,311 4.00 2/01/2041 222,796 231,609 FNMA POOL #AS3892 651,119 4.00 11/01/2044 685,608 717,419 FNMA POOL #AS7947 692,739 4.00 9/01/2046 724,079 749,417 FNMA POOL #AS8142 880,961 4.00 10/01/2046 915,472 954,166 FNMA POOL #AS8583 459,675 3.50 1/01/2047 473,329 489,565 FNMA POOL #AX7549 478,432 4.00 1/01/2045 505,497 527,230 FNMA POOL #BH5768 2,839,282 4.50 11/01/2047 2,913,858 3,105,363 FNMA POOL #BH7058 1,280,857 3.50 12/01/2047 1,282,845 1,356,626 FNMA POOL #BK5545 2,095,465 2.50 9/01/2050 2,196,796 2,210,525 FNMA POOL #BK5639 2,556,217 2.50 9/01/2050 2,679,828 2,696,576 FNMA POOL #BK8853 853,108 4.00 9/01/2033 867,623 917,986 FNMA POOL #BQ1386 2,912,867 2.50 8/01/2050 3,050,553 3,072,810 FNMA POOL #CA0183 608,664 4.00 8/01/2047 630,153 652,864 FNMA POOL #CA1564 86,658 4.50 4/01/2048 89,996 94,228 FNMA POOL #CA1711 769,234 4.50 5/01/2048 794,279 836,177 FNMA POOL #CA5418 2,596,786 2.50 3/01/2050 2,659,967 2,739,373 FNMA POOL #CA6279 2,321,852 2.50 7/01/2045 2,429,085 2,449,343 FNMA POOL #CA6412 1,259,834 2.50 7/01/2050 1,325,471 1,329,010 FNMA POOL #FM4231 1,938,026 2.50 9/01/2050 2,042,927 2,044,441 FNMA POOL #FM4789 2,982,960 2.00 11/01/2050 3,099,034 3,098,478 FNMA POOL #MA3991 2,357,105 3.00 4/01/2050 2,431,844 2,470,553 FNMA POOL #MA3992 2,354,758 3.50 4/01/2050 2,490,196 2,488,781
See accompanying notes to financial statements. 32 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Government/Agency Bonds (Continued) FNMA POOL #MA4021 1,974,926 3.50 % 5/01/2050 $ 2,094,992 $ 2,086,853 FREMF 2015-K49 Mortgage Trust(1)(2) 390,000 3.72 10/25/2048 360,177 424,898 GNMA POOL #MA2602 104,534 4.00 2/20/2045 109,448 115,306 GNMA POOL #MA3312 427,168 4.50 12/20/2045 454,708 475,832 GNMA POOL #MA6764 2,942,968 2.00 7/20/2050 3,070,155 3,078,644
GNMA POOL #MA6818 2,957,508 2.00 8/20/2050 ______3,086,241______3,093,979____
Total Federal Agencies ______69,480,445______70,991,343____ US Government Notes & Bonds: 14.02% Treasury Inflation Protected Security 964,117 0.13 10/15/2024 977,465 1,033,558 Treasury Inflation Protected Security 731,048 0.25 1/15/2025 721,251 788,704 Treasury Inflation Protected Security 602,100 0.13 10/15/2025 643,172 654,557 Treasury Inflation Protected Security 538,950 0.38 1/15/2027 553,125 601,253 Treasury Inflation Protected Security 798,315 0.38 7/15/2027 794,691 897,877 Treasury Inflation Protected Security 721,833 0.88 1/15/2029 722,444 847,994 Treasury Inflation Protected Security 60,815 0.75 2/15/2045 58,540 78,334 Treasury Inflation Protected Security 860,855 0.25 2/15/2050 957,363 1,024,569 United States Treasury Inflation Indexed Bonds 14,877,808 0.13 7/15/2030 16,432,455 16,681,550 US Treasury Bond 280,000 3.00 11/15/2044 298,711 361,725 US Treasury Bond 370,000 2.50 2/15/2045 358,458 440,416 US Treasury Bond 2,700,000 2.25 8/15/2046 2,600,822 3,075,891 US Treasury Bond 1,515,000 2.75 8/15/2047 1,512,802 1,895,644 US Treasury Bond 1,800,000 2.75 11/15/2047 1,756,580 2,254,430 US Treasury Bond 235,000 3.00 2/15/2048 229,551 307,896 US Treasury Bond 700,000 3.00 8/15/2048 695,912 919,051 US Treasury Bond 500,000 3.38 11/15/2048 526,179 700,937 US Treasury Bond 3,000,000 1.63 11/15/2050 3,023,235 2,982,187 US Treasury Note(3) 350,000 2.00 5/31/2024 351,509 371,396 US Treasury Note 3,477,738 0.13 4/15/2025 3,553,500 3,740,624 US Treasury Note 1,000,000 0.25 6/30/2025 998,586 997,266 US Treasury Note 3,800,000 0.25 8/31/2025 3,796,746 3,786,937 US Treasury Note 550,000 0.25 9/30/2025 548,717 547,809 US Treasury Note 3,000,000 0.38 11/30/2025 2,995,277 3,003,516 US Treasury Note 1,800,000 0.38 7/31/2027 1,786,463 1,775,672 US Treasury Note 55,000 0.50 10/31/2027 54,838 54,545 US Treasury Note 500,000 1.63 8/15/2029 491,024 534,570 US Treasury Note 110,000 0.63 8/15/2030 109,299 107,181
US Treasury Note 2,125,000 0.88 11/15/2030 ______2,122,140______2,116,699____
Total US Government Notes & Bonds ______49,670,855______52,582,788____
Total Government/Agency Bonds ______119,151,300______123,574,131____
See accompanying notes to financial statements. 33 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Par Interest Maturity Rating Fair
______Value ______Rate ______Date (Unaudited) ______Cost ______Value ____ Corporate Asset-Backed Securities: 0.27% Master Credit Card Trust II Series 2018-1(1)(2) 1,000,000 0.64 % 7/21/2024 $ 1,000,855 $ 1,002,171 SoFi Consumer Loan Program (1) 2017-3 LLC 8,523 2.77 5/25/2026 AAA ______8,523______8,548____
Total Corporate Asset-Backed Securities ______1,009,378______1,010,719____ Corporate Mortgage-Backed Securities: 1.04% BENCHMARK 2018-B1 Mortgage Trust(2) 480,000 3.67 1/15/2051 AAA 493,089 553,059 BENCHMARK 2018-B4 Mortgage Trust(2) 1,400,000 4.12 7/15/2051 AAA 1,439,754 1,654,688 Freddie Mac Structured Agency Credit Risk Debt Notes(2) 285,910 4.15 8/25/2024 251,753 291,662 JPMBB Commercial Mortgage Securities Trust 2013-C15(2) 650,000 4.93 11/15/2045 718,916 711,996 JPMDB Commercial Mortgage
Securities Trust 2016-C4 600,000 3.14 12/15/2049 ______615,756______667,416____
Total Corporate Mortgage-Backed Securities ______3,519,268______3,878,821____ Municipal Bonds: 0.49% New York City Transitional Finance Authority Future Tax Secured Revenue 675,000 4.00 11/01/2040 AAA 796,814 795,218 New York State Dormitory Authority 375,000 4.00 2/15/2037 450,720 449,895
State of Illinois 510,000 5.00 10/01/2026 BBB- ______552,669______588,815____
Total Municipal Bonds ______1,800,203______1,833,928______Shares Affiliated Investment Companies: 24.48% Federated Core Trust - Bank Loan Core Fund 1,871,005 17,922,568 17,924,223 Federated Core Trust - High Yield Bond Portfolio 5,737,142 34,928,252 36,430,849 Federated Core Trust - Mutual Fund 2,078,563 20,539,539 21,762,552 Federated Core Trust III - Federated Project & Trade Finance Core
Fund 1,775,563 ______16,446,950______15,678,220____
Total Investment Companies ______89,837,309______91,795,844____ Short-Term Investments: 2.15% (4) Wells Fargo/BlackRock Short Term Investment Fund S 8,067,065 ______8,067,065______8,067,065____
Total Short-Term Investments ______8,067,065______8,067,065____
Total Investments : 99.97% $ ______353,259,017____ $ ______374,880,585______
See accompanying notes to financial statements. 34 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Federated Total Return Bond CIT Schedule of Investments December 31, 2020
Open futures contracts outstanding as of December 31, 2020, were as follows: Unrealized Appreciation/ ______Contracts Description______Value ______(Depreciation) Financial Futures - Long: 451 U.S. Treasury 2 Year Note, March 2021 $ 99,660,429 $ 87,890 1 U.S. Treasury Long Bond, March 2021 ______173,188 ______(2,203) Total Financial Futures - Long $ ______99,833,617 $ ______85,687 ______
Unrealized Appreciation/ ______Contracts Description______Value ______(Depreciation) Financial Futures - Short: 93 U.S. Treasury 10 Year Ultra, March 2021 $ 14,541,422 $ 87,779 22 U.S. Treasury Ultra Bond, March 2021 4,698,375 55,687 50 U.S. Treasury 10 Year Note, March 2021 6,903,906 (9,255) 72 U.S. Treasury 5 Year Note, March 2021 ______9,083,813 ______(21,684) Total Financial Futures - Short $ ______35,227,516 $ ______112,527 ______
Net unrealized appreciation - December 31, 2020 $ ______198,214
Centrally Cleared Credit Default Swaps as of December 31, 2020, were as follows: Implied Credit Fixed Rate Spread at Notional Unrealized (Pay) Payment December Amount Appreciation/
______Description ______Receive______Frequency ______31, 2020 ______(000) ______Market Value______(Depreciation) ______Credit Default Swap Agreements: 0.03% Long: CDX-NAIG Series 35, 5 Year Index, 12/20/2025* 1.00% Quarterly 0.5042% 3,500 $ 95,963 $ 10,893 Total Credit Default Swap Agreements $ 95,963 $ 10,893
* Termination date
Percentages shown are based on total net assets. (1) This Fund holds 6.03% of its portfolio in securities that may only be resold to "qualified institutional buyers" under Rule 144A of the Securities Act of 1933. (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, 2020. (3) All or a portion of this security is segregated as collateral for investments in when-issued 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 0.09% 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 GNMA Government National Mortgage Association
See accompanying notes to financial statements. 35
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $57,439,096) $ 72,674,348 Affiliated investments, at value (cost $847,685) 847,685 Foreign currency, at value (cost $217 ) 218 Receivable for dividends 762,767 Receivable for fund units sold 25,544 Receivable for investments sold 1,900 Total assets 74,312,462 Liabilities: Payable for fund units repurchased 715,182 Trustee fee payable 46,002 Total liabilities 761,184 Net assets $ 73,551,278
Computation of net asset value: Class F Net assets $ 73,551,278 Units outstanding 5,528,087 Net asset value per unit $ 13.31
See accompanying notes to financial statements. 36
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Statement of Operations Year ended December 31, 2020
Investment income: Dividend income (net of foreign taxes withheld of $112,218) $ 2,110,886 Dividend income from affiliated short term investment 17,054 Total income 2,127,940 Expenses: Trustee fee 614,515 Total expenses 614,515 Net investment income (loss) 1,513,425 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 6,250,680 Foreign currency transactions (57,173) Net realized gain (loss) on investments 6,193,507 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments 1,433,195 Foreign currency translation of other assets and liabilities 62,005 Net change in unrealized appreciation (depreciation) on investments 1,495,200 Net realized and unrealized gain (loss) on investments 7,688,707 Net increase (decrease) in net assets resulting from operations $ 9,202,132
See accompanying notes to financial statements. 37
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 1,513,425 Net realized gain (loss) on investments 6,193,507 Net change in unrealized appreciation (depreciation) on investments 1,495,200 Net increase (decrease) in net assets resulting from operations 9,202,132
Participating unitholders transactions: Proceeds for issuance of units Class F 14,947,744 Payments for redemption of units Class F (55,440,574) Change in net assets derived from unit transactions (40,492,830) Total increase (decrease) in net assets (31,290,698) Net assets: Beginning of year 104,841,976 End of year $ 73,551,278
Participating unitholders transactions: Class F units issued 1,561,142 Class F units redeemed (4,710,010)
See accompanying notes to financial statements. 38
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Financial Highlights Year ended December 31, 2020 Class F Per share operating performance: Unit value, beginning of year $ 12.08 Income (loss) from investment operations: Net investment income (loss)(1) 0.18 Net realized and unrealized gain (loss) on investments 1.05 Total from investment operations 1.23 Unit value, end of year $ 13.31 Total return 10.09% Net assets, end of year $ 73,551,278
Ratios: Ratio of expenses to average net assets 0.66% Ratio of net investment income (loss) to average net assets 1.62% Portfolio turnover rate 46%
(1) Based on average number of units outstanding.
See accompanying notes to financial statements. 39 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks: 97.09% Australia: 1.36%
BHP Group PLC 38,124 $ ______605,739____ $ ______1,003,591____
Total Australia ______605,739______1,003,591____ Canada: 3.30% Canadian National Railway Co 7,962 554,399 875,326 Suncor Energy, Inc 48,823 1,267,252 818,895
TMX Group Ltd 7,345 ______534,132______733,634____
Total Canada ______2,355,783______2,427,855____ China: 3.43% Autohome, Inc ADR 7,340 656,505 731,211 ENN Energy Holdings Ltd 44,900 490,682 659,097
Ping An Insurance Group Co of China Ltd CL-H 92,500 ______886,404______1,133,513____
Total China ______2,033,591______2,523,821____ Denmark: 3.72% Carlsberg AS CL-B 7,013 691,093 1,124,271
Vestas Wind Systems A/S 6,819 ______687,838______1,610,847____
Total Denmark ______1,378,931______2,735,118____ Finland: 2.25% Nordea Bank Abp 98,471 1,053,929 807,008
Sampo Oyj Cl-A 19,872 ______914,655______849,599____
Total Finland ______1,968,584______1,656,607____ France: 15.95% Air Liquide SA 8,013 803,716 1,314,184 Alstom SA 23,694 1,164,599 1,349,163 BNP Paribas SA 11,793 620,414 621,010 Engie SA 130,694 1,741,492 1,998,972 Pernod Ricard SA 5,130 940,290 982,676 Safran SA 10,544 1,104,925 1,493,561 Sanofi 18,849 1,626,361 1,812,216 Vinci SA 7,188 487,397 714,440
Vivendi SA 44,841 ______1,112,170______1,445,097____
Total France ______9,601,364______11,731,319____ Germany: 6.90% Continental AG 5,827 606,025 867,263 Fresenius Medical Care AG & Co KGaA 9,097 659,326 758,575 Infineon Technologies AG 22,783 384,011 870,051 Merck KGaA 6,046 794,769 1,036,975 ProSiebenSat.1 Media SE 40,319 535,470 678,807
Vonovia SE 11,848 ______604,827______865,308____
Total Germany ______3,584,428______5,076,979____ Hong Kong: 0.99% (1) ESR Cayman Ltd 202,200 ______438,427______725,082____
Total Hong Kong ______438,427______725,082____ Ireland: 4.07% Medtronic PLC 18,543 1,592,527 2,172,127
See accompanying notes to financial statements. 40 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued)
Ryanair Holdings PLC ADR 7,444 $ ______558,121____ $ ______818,691____
Total Ireland ______2,150,648______2,990,818____ Israel: 1.02%
Bank Leumi Le-Israel BM 127,607 ______794,155______750,524____
Total Israel ______794,155______750,524____ Italy: 2.31%
Enel SpA 166,667 ______1,399,119______1,695,791____
Total Italy ______1,399,119______1,695,791____ Japan: 15.76% Daiwa House Industry Co Ltd 36,750 862,696 1,092,676 Fujitsu Ltd 6,221 834,905 899,155 Hitachi Ltd 43,500 1,557,487 1,716,914 Kao Corp 6,130 397,871 473,580 Makita Corp 22,400 726,522 1,123,519 Nexon Co Ltd 41,166 643,204 1,270,172 Nintendo Co Ltd 2,200 848,407 1,412,271 Ryohin Keikaku Co Ltd 30,200 648,329 618,029 Sumitomo Mitsui Financial Group, Inc 28,900 1,083,828 895,846 Suzuki Motor Corp 17,800 831,568 825,128 Yamaha Corp 12,700 492,353 748,339
Z Holdings Corp 85,404 ______428,684______516,800____
Total Japan ______9,355,854______11,592,429____ Korea: 2.06%
Samsung Electronics Co Ltd 20,294 ______776,682______1,515,464____
Total Korea ______776,682______1,515,464____ Luxembourg: 1.18%
ArcelorMittal SA 37,746 ______622,517______870,602____
Total Luxembourg ______622,517______870,602____ Mexico: 0.69%
Arca Continental SAB de CV 105,700 ______560,341______505,461____
Total Mexico ______560,341______505,461____ Netherlands: 4.89% Akzo Nobel NV 6,339 686,532 680,391 JDE Peet's NV 12,292 507,249 554,861 Koninklijke DSM NV 8,687 859,465 1,494,236
Wolters Kluwer NV 10,271 ______425,103______866,535____
Total Netherlands ______2,478,349______3,596,023____ Norway: 2.30% Equinor ASA 44,326 758,843 748,067
Telenor ASA 55,805 ______1,071,272______947,276____
Total Norway ______1,830,115______1,695,343____ Portugal: 1.52% EDP - Energias de Portugal SA 141,959 559,863 894,176
Galp Energia SGPS SA 20,835 ______218,684______222,816____
Total Portugal ______778,547______1,116,992____
See accompanying notes to financial statements. 41 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Singapore: 1.07%
DBS Group Holdings Ltd 41,390 $ ______623,361____ $ ______784,205____
Total Singapore ______623,361______784,205____ Spain: 1.31%
Banco Santander SA 310,746 ______648,762______963,483____
Total Spain ______648,762______963,483____ Sweden: 2.19% Hexagon AB Cl-B 6,919 451,861 634,348
Sandvik AB 39,610 ______772,556______976,923____
Total Sweden ______1,224,417______1,611,271____ Switzerland: 5.78% ABB Ltd 58,801 1,130,307 1,649,320 Flughafen Zurich AG 3,282 459,609 579,080
Novartis AG 21,493 ______1,704,919______2,023,736____
Total Switzerland ______3,294,835______4,252,136____ United Kingdom: 13.04% 3i Group PLC 37,664 515,922 596,434 Aon PLC Cl-A 6,235 736,911 1,317,269 Ferguson PLC 9,294 596,778 1,129,117 Informa PLC 86,868 638,420 652,168 Prudential PLC 59,252 1,007,850 1,091,436 RELX PLC 84,038 1,786,832 2,059,977 TESCO PLC 448,155 1,339,209 1,418,140
Unilever PLC 22,033 ______1,129,420______1,323,316____
Total United Kingdom ______7,751,342______9,587,857____
Total Common Stocks ______56,255,891______71,408,771______Yield
Preferred Stocks: 1.72% Germany: 1.72%
Volkswagen AG 3.18% 6,772 ______1,183,205______1,265,577____
Total Germany ______1,183,205______1,265,577____
Total Preferred Stocks ______1,183,205______1,265,577____ Short-Term Investments: 1.15% (2) Wells Fargo/BlackRock Short Term Investment Fund S 847,685 ______847,685______847,685____
Total Short-Term Investments ______847,685______847,685____
Total Investments : 99.96% $ ______58,286,781____ $ ______73,522,033______
Percentages shown are based on total net assets.
(1) This Fund holds 0.99% of its portfolio in securities that may only be resold to "qualified institutional buyers" under Rule 144A of the Securities Act of 1933. (2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds
approximately 0.01% 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. 42 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Lazard International Equity CIT Schedule of Investments December 31, 2020
Country Diversification % of Total ______Investments______France 15.96 % Japan 15.77 United Kingdom 13.04 Germany 8.63 Switzerland 5.78 Netherlands 4.89 Ireland 4.07 Denmark 3.72 China 3.43 Canada 3.30 Italy 2.31 Norway 2.31 Finland 2.25 Sweden 2.19 Korea 2.06 Portugal 1.52 Australia 1.36 Spain 1.31 Luxembourg 1.18 United States 1.15 Singapore 1.07 Israel 1.02 Other______1.68 100.00 %
See accompanying notes to financial statements. 43
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/MFS Value CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $391,822,822) $ 593,276,333 Affiliated investments, at value (cost $4,386,361) 4,386,361 Receivable for investments sold 27,502,974 Receivable for dividends 1,169,712 Receivable for fund units sold 494,531 Total assets 626,829,911 Liabilities: Payable for fund units repurchased 25,462,482 Payable for investments purchased 58,669 Trustee fee payable 244,253 Total liabilities 25,765,404 Net assets $ 601,064,507
Computation of net asset value: Class TR Net assets $ 49,955,796 Units outstanding 1,982,845 Net asset value per unit $ 25.19
Class F Net assets $ 382,144,248 Units outstanding 13,580,670 Net asset value per unit $ 28.14
Class N Net assets $ 135,168,489 Units outstanding 6,136,454 Net asset value per unit $ 22.03
Class N25 Net assets $ 33,795,974 Units outstanding 1,664,952 Net asset value per unit $ 20.30
See accompanying notes to financial statements. 44
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/MFS Value CIT Statement of Operations Year ended December 31, 2020
Investment income: Dividend income (net of foreign taxes withheld of $11,490) $ 14,809,196 Dividend income from affiliated short term investment 46,061 Total income 14,855,257 Expenses: Trustee fee 2,476,649 TMR Program fees 187,068 Total expenses 2,663,717 Net investment income (loss) 12,191,540 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 53,243,231 Foreign currency transactions (7,309) Net realized gain (loss) on investments 53,235,922 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments (52,386,913) Net realized and unrealized gain (loss) on investments 849,009 Net increase (decrease) in net assets resulting from operations $ 13,040,549
See accompanying notes to financial statements. 45
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/MFS Value CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 12,191,540 Net realized gain (loss) on investments 53,235,922 Net change in unrealized depreciation on investments (52,386,913) Net increase (decrease) in net assets resulting from operations 13,040,549
Participating unitholders transactions: Proceeds for issuance of units Class TR 21,066,625 Class F 67,699,855 Class N 54,532,583 Class N25 2,483,758 Payments for redemption of units Class TR (39,416,113) Class F (220,044,654) Class N (57,049,105) Class N25 (9,458,528) Change in net assets derived from units transactions (180,185,579) Total increase (decrease) in net assets (167,145,030) Net assets: Beginning of year 768,209,537 End of year $ 601,064,507
Participating unitholders transactions: Class TR units issued 984,849 Class F units issued 2,898,700 Class N units issued 2,764,749 Class N25 units redeemed (528,443)
Class TR units redeemed (1,732,908) Class F units redeemed (9,026,914) Class N units redeemed (3,023,858) Class N25 units issued 144,328
See accompanying notes to financial statements. 46
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/MFS Value CIT Financial Highlights Year ended December 31, 2020
Class TR Class F Class N Class N25 Per share operating performance: Unit value, beginning of year $ 24.08 $ 26.81 $ 21.00 $ 19.40 Income from investment operations: Net investment income (loss)(1) 0.37 0.49 0.38 0.30 Net realized and unrealized gain (loss) on investments 0.74 0.84 0.65 0.60 Total from investment operations 1.11 1.33 1.03 0.90 Unit value, end of year $ 25.19 $ 28.14 $ 22.03 $ 20.30 Total return 4.62% 4.95% 4.90% 4.64% Net assets, end of year $ 49,955,796 $ 382,144,248 $ 135,168,489 $ 33,795,974
Ratios: Ratio of expenses to average net assets 0.69% 0.37% 0.42% 0.67% Ratio of net investment income (loss) to average net assets 1.68% 1.99% 1.95% 1.69% Portfolio turnover rate 17% 17% 17% 17%
(1) Based on average number of units outstanding.
See accompanying notes to financial statements. 47 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/MFS Value CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks: 98.70% Communication Services: 3.75% Comcast Corp Cl-A 383,723 $ 11,691,798 $ 20,107,085
Verizon Communications, Inc 41,775 ______1,985,415______2,454,281____
Total Communication Services ______13,677,213______22,561,366____ Consumer Discretionary: 1.66% Lowe's Cos, Inc 47,746 6,850,548 7,663,710
Marriott International, Inc Cl-A 17,512 ______2,057,042______2,310,183____
Total Consumer Discretionary ______8,907,590______9,973,893____ Consumer Staples: 7.12% Archer-Daniels-Midland Co 69,846 2,891,594 3,520,937 Colgate-Palmolive Co 15,306 987,708 1,308,816 Danone SA ADR 152,539 2,084,817 2,006,757 Diageo PLC ADR 56,548 6,800,412 8,980,388 JM Smucker Co 13,994 1,777,811 1,617,706 Kimberly-Clark Corp 36,918 4,874,097 4,977,654 Nestle SA ADR 88,835 6,343,424 10,477,893 PepsiCo, Inc 29,186 3,329,657 4,328,284 Philip Morris International, Inc 35,085 3,127,569 2,904,687
Reckitt Benckiser Group PLC ADR 148,099 ______2,694,851______2,648,766____
Total Consumer Staples ______34,911,940______42,771,888____ Energy: 1.94% Chevron Corp 34,736 3,844,053 2,933,455 ConocoPhillips 97,872 5,203,010 3,913,902 EOG Resources, Inc 49,352 3,934,549 2,461,184
Pioneer Natural Resources Co 20,834 ______2,576,679______2,372,784____
Total Energy ______15,558,291______11,681,325____ Financials: 26.11% American Express Co 61,277 5,609,935 7,409,002 Aon PLC Cl-A 65,510 6,314,469 13,840,298 BlackRock, Inc 12,699 3,700,065 9,162,836 Chubb Ltd 82,117 9,305,503 12,639,449 Citigroup, Inc 200,827 11,419,239 12,382,993 Goldman Sachs Group, Inc 31,682 5,036,144 8,354,860 JPMorgan Chase & Co 204,329 10,676,921 25,964,086 Marsh & McLennan Cos, Inc 98,085 9,815,049 11,475,945 Moody's Corp 11,533 1,163,466 3,347,338 Morgan Stanley 33,687 2,195,210 2,308,570 Nasdaq, Inc 73,194 3,792,770 9,715,772 PNC Financial Services Group, Inc 48,028 4,646,980 7,156,172 State Street Corp 51,805 3,207,120 3,770,368 T Rowe Price Group, Inc 23,703 1,819,330 3,588,397 Travelers Cos, Inc 78,206 7,100,440 10,977,776 Truist Financial Corp 122,613 5,949,983 5,876,841
US Bancorp 192,144 ______8,368,381______8,951,989____
Total Financials ______100,121,005______156,922,692____ Health Care: 19.29% Abbott Laboratories 80,024 2,968,162 8,761,828 Boston Scientific Corp 143,130 4,956,462 5,145,524
See accompanying notes to financial statements. 48 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/MFS Value CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Cigna Corp 66,052 $ 11,086,768 $ 13,750,705 Danaher Corp 46,124 2,823,788 10,245,985 Johnson & Johnson 146,952 14,394,918 23,127,306 McKesson Corp 31,736 4,869,773 5,519,525 Medtronic PLC 148,312 11,647,216 17,373,268 Merck & Co, Inc 92,489 5,582,353 7,565,600 Pfizer, Inc 270,343 7,358,465 9,951,326 Roche Holding AG ADR 64,899 1,945,949 2,835,820
Thermo Fisher Scientific, Inc 25,069 ______2,950,388______11,676,639____
Total Health Care ______70,584,242______115,953,526____ Industrials: 17.48% Canadian National Railway Co 35,630 2,022,554 3,913,955 Eaton Corp PLC 72,560 4,698,155 8,717,358 Equifax, Inc 29,890 3,145,785 5,763,988 Honeywell International, Inc 80,321 8,338,917 17,084,277 Illinois Tool Works, Inc 51,884 5,995,705 10,578,110 Johnson Controls International PLC 142,582 5,714,957 6,642,895 Lockheed Martin Corp 16,134 3,168,128 5,727,247 Masco Corp 107,401 4,422,755 5,899,537 Northrop Grumman Corp 38,149 8,680,653 11,624,763 Otis Worldwide Corp 28,514 1,500,754 1,926,121 Raytheon Technologies Corp 57,029 3,499,018 4,078,144 Stanley Black & Decker, Inc 40,188 4,532,072 7,175,969 Trane Technologies PLC 46,091 2,630,740 6,690,570
Union Pacific Corp 44,495 ______5,023,580______9,264,749____
Total Industrials ______63,373,773______105,087,683____ Information Technology: 10.61% Accenture PLC Cl-A 60,973 5,499,602 15,926,757 Analog Devices, Inc 31,094 2,737,334 4,593,517 Fidelity National Information Services, Inc 55,517 3,734,605 7,853,435 Fiserv, Inc 74,367 3,880,136 8,467,426 Intel Corp 106,138 6,337,155 5,287,795 NXP Semiconductors NV 39,967 4,334,549 6,355,153
Texas Instruments, Inc 93,228 ______6,613,767______15,301,512____
Total Information Technology ______33,137,148______63,785,595____ Materials: 3.83% DuPont de Nemours, Inc 70,826 4,902,396 5,036,437 PPG Industries, Inc 74,375 6,480,502 10,726,362
Sherwin-Williams Co 9,857 ______2,899,980______7,244,008____
Total Materials ______14,282,878______23,006,807____ Real Estate: 0.35%
Public Storage REIT 9,107 ______1,984,691______2,103,080____
Total Real Estate ______1,984,691______2,103,080____ Utilities: 6.56% American Electric Power Co, Inc 57,493 4,783,155 4,787,442 Dominion Energy, Inc 98,382 7,970,029 7,398,326 Duke Energy Corp 142,276 11,537,242 13,026,791 Southern Co 177,870 8,864,722 10,926,554
See accompanying notes to financial statements. 49 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/MFS Value CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued)
Xcel Energy, Inc 49,338 $ ______2,128,903____ $ ______3,289,365____
Total Utilities ______35,284,051______39,428,478____
Total Common Stocks ______391,822,822______593,276,333____ Short-Term Investments: 0.73% (1) Wells Fargo/BlackRock Short Term Investment Fund S 4,386,361 ______4,386,361______4,386,361____
Total Short-Term Investments ______4,386,361______4,386,361____
Total Investments: 99.43% $ ______396,209,183____ $ ______597,662,694______
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 0.05% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
ADR American Depositary Receipt REIT Real Estate Investment Trust
See accompanying notes to financial statements. 50
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $245,878,709) $ 371,396,582 Affiliated investments, at value (cost $8,266,973) 8,266,973 Foreign currency, at value (cost $1,904) 1,929 Cash 4,620 Receivable for investments sold 1,415,533 Receivable for dividends 306,718 Receivable for fund units sold 299,048 Total assets 381,691,403 Liabilities: Payable for fund units repurchased 1,359,253 Payable for investments purchased 277,522 Trustee fee payable 222,375 Total liabilities 1,859,150 Net assets $ 379,832,253
Computation of net asset value: Class TR Net assets $ 21,651,686 Units outstanding 718,873 Net asset value per unit $ 30.12
Class F Net assets $ 332,078,735 Units outstanding 10,150,113 Net asset value per unit $ 32.72
Class N Net assets $ 26,101,832 Units outstanding 1,164,689 Net asset value per unit $ 22.41
See accompanying notes to financial statements. 51
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Statement of Operations Year ended December 31, 2020
Investment income: Dividend income from unaffiliated investments (net of foreign taxes withheld of $1,024) $ 4,215,424 Dividend income from affiliated short term investment 55,037 Total income 4,270,461 Expenses: Trustee fee 2,065,088 TMR Program fees 25,748 Total expenses 2,090,836 Net investment income (loss) 2,179,625 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 38,876,269 Foreign currency transactions (5,060) Net realized gain (loss) on investments 38,871,209 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments 40,942,063 Foreign currency translation of other assets and liabilities 25 Net change in unrealized appreciation (depreciation) on investments 40,942,088 Net realized and unrealized gain (loss) on investments 79,813,297 Net increase (decrease) in net assets resulting from operations $ 81,992,922
See accompanying notes to financial statements. 52
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 2,179,625 Net realized gain (loss) on investments 38,871,209 Net change in unrealized appreciation (depreciation) on investments 40,942,088 Net increase (decrease) in net assets resulting from operations 81,992,922
Participating unitholders transactions: Proceeds for issuance of units Class TR 22,263,368 Class F 86,622,449 Class N 19,561,975 Payments for redemption of units Class TR (16,360,261) Class F (184,289,350) Class N (3,247,757) Change in net assets derived from unit transactions (75,449,576) Total increase (decrease) in net assets 6,543,346 Net assets: Beginning of year 373,288,907 End of year $ 379,832,253
Participating unitholders transactions: Class TR units issued 846,496 Class F units issued 3,879,561 Class N units issued 947,752
Class TR units redeemed (796,130) Class F units redeemed (7,152,984) Class N units redeemed (168,450)
See accompanying notes to financial statements. 53
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Financial Highlights Year ended December 31, 2020
Class TR Class F Class N Per share operating performance: Unit value, beginning of year $ 24.10 $ 26.09 $ 17.88 Income from investment operations: Net investment income (loss)(1) 0.12 0.16 0.13 Net realized and unrealized gain (loss) on investments 5.90 6.47 4.40 Total from investment operations 6.02 6.63 4.53 Unit value, end of year $ 30.12 $ 32.72 $ 22.41 Total return 24.97% 25.38% 25.31% Net assets, end of year $ 21,651,686 $ 332,078,735 $ 26,101,832
Ratios: Ratio of expenses to average net assets 0.94% 0.62% 0.68% Ratio of net investment income (loss) to average net assets 0.51% 0.65% 0.74% Portfolio turnover rate 59% 59% 59%
(1) Based on average number of units outstanding.
See accompanying notes to financial statements. 54 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks: 97.43% Communication Services: 0.62% IMAX Corp 14,263 $ 187,759 $ 257,019 Iridium Communications, Inc 20,559 458,888 808,483 Live Nation Entertainment, Inc 748 37,095 54,963 Nexstar Media Group, Inc Cl-A 4,882 398,057 533,066 TEGNA, Inc 22,381 310,547 312,215
Vonage Holdings Corp 29,357 ______346,488______377,971____
Total Communication Services ______1,738,834______2,343,717____ Consumer Discretionary: 11.63% Abercrombie & Fitch Co Cl-A 4,095 92,503 83,374 Acushnet Holdings Corp 35,669 644,054 1,446,021 Adient PLC 24,823 433,523 863,096 American Eagle Outfitters, Inc 29,028 392,520 582,592 At Home Group, Inc 2,943 61,978 45,499 Big Lots, Inc 1,090 43,072 46,794 Boyd Gaming Corp 20,640 491,712 885,869 Bright Horizons Family Solutions, Inc 14,752 1,488,180 2,551,948 Brinker International, Inc 10,792 335,622 610,503 Brunswick Corp 34,179 1,417,908 2,605,807 Burlington Stores, Inc 210 35,424 54,925 Caesars Entertainment, Inc 26,342 623,312 1,956,420 Callaway Golf Co 9,848 182,127 236,450 Capri Holdings Ltd 12,984 377,475 545,328 Carter's, Inc 14,541 1,263,206 1,367,872 Cooper Tire & Rubber Co 7,388 215,354 299,214 Crocs, Inc 7,068 224,114 442,881 Deckers Outdoor Corp 164 27,025 47,032 Etsy, Inc 4,472 247,128 795,614 Five Below, Inc 5,168 331,971 904,297 Floor & Decor Holdings, Inc Cl-A 10,378 458,620 963,597 Fox Factory Holding Corp 6,829 445,603 721,894 Helen of Troy Ltd 600 99,984 133,314 Installed Building Products, Inc 7,207 558,586 734,610 Jack in the Box, Inc 3,383 216,487 313,942 KB Home 2,734 67,157 91,644 Laureate Education, Inc Cl-A 12,131 197,342 176,627 LCI Industries 18,454 1,235,929 2,393,115 Leslie's, Inc 21,425 447,883 594,544 Lithia Motors, Inc Cl-A 1,935 261,468 566,316 Malibu Boats, Inc Cl-A 2,898 113,838 180,951 Marriott Vacations Worldwide Corp 10,972 1,057,080 1,505,578 Meritage Homes Corp 6,668 385,886 552,244 Monarch Casino & Resort, Inc 14,920 218,466 913,402 National Vision Holdings, Inc 25,473 815,269 1,153,672 Ollie's Bargain Outlet Holdings, Inc 6,163 469,293 503,949 Penn National Gaming, Inc 17,627 452,866 1,522,444 Planet Fitness, Inc Cl-A 24,758 1,590,979 1,921,964 Pool Corp 6,275 520,850 2,337,437 Rent-A-Center, Inc 8,695 187,513 332,932 RH 2,648 723,384 1,185,033 SeaWorld Entertainment, Inc 15,818 331,921 499,691
See accompanying notes to financial statements. 55 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Sleep Number Corp 1,655 $ 97,702 $ 135,478 Sonic Automotive, Inc Cl-A 6,352 168,814 244,997 Tapestry, Inc 16,187 348,991 503,092 Taylor Morrison Home Corp Cl-A 18,934 471,839 485,657 Texas Roadhouse, Inc 8,729 380,606 682,259 Thor Industries, Inc 13,165 667,960 1,224,213 TopBuild Corp 1,961 158,247 360,981 Visteon Corp 8,144 714,024 1,022,235 Vroom, Inc 10,463 631,101 428,669 Wendy's Co 68,111 1,364,654 1,492,993 Wingstop, Inc 5,142 468,917 681,572 Wolverine World Wide, Inc 13,734 352,300 429,187 Workhorse Group, Inc 5,177 110,320 102,401 Wyndham Destinations ,Inc 8,491 374,701 380,906
Zumiez, Inc 8,662 ______266,546______318,588____
Total Consumer Discretionary ______26,361,334______44,163,664____ Consumer Staples: 3.80% BJ's Wholesale Club Holdings, Inc 62,239 1,500,428 2,320,270 Boston Beer Co, Inc Cl-A 867 210,134 862,049 Casey's General Stores, Inc 9,036 1,488,857 1,614,010 Darling Ingredients, Inc 23,685 566,762 1,366,151 Hostess Brands, Inc 20,673 259,463 302,653 Performance Food Group Co 111,322 3,214,890 5,300,040 Primo Water Corp 108,024 1,428,633 1,693,591 Sanderson Farms, Inc 1,006 123,883 132,993 Simply Good Foods Co 13,410 305,329 420,538
Utz Brands, Inc 19,568 ______344,215______431,670____
Total Consumer Staples ______9,442,594______14,443,965____ Energy: 0.75% Brigham Minerals, Inc Cl-A 18,388 266,123 202,084 Cactus, Inc Cl-A 13,716 275,230 357,576 ChampionX Corp. 54,499 709,757 833,835 EQT Corp 30,145 464,665 383,143 Golar LNG Ltd 27,381 426,947 263,953 Renewable Energy Group, Inc 3,648 200,412 258,351
WPX Energy, Inc 66,667 ______497,088______543,336____
Total Energy ______2,840,222______2,842,278____ Financials: 16.59% Alerus Financial Corp 3,296 66,634 90,212 Amalgamated Bank Cl-A 6,434 89,682 88,403 Ameris Bancorp 19,467 632,332 741,109 AMERISAFE, Inc 4,181 221,775 240,115 Assetmark Financial Holdings Inc, 40,093 966,409 970,251 Atlantic Union Bankshares Corp 18,166 589,639 598,388 BancorpSouth Bank 22,922 537,507 628,980 Bank of Hawaii Corp 2,073 145,737 158,833 BankUnited, Inc 58,840 1,755,021 2,046,455 Banner Corp 12,724 454,714 592,811 Brookline Bancorp, Inc 25,939 289,361 312,306
See accompanying notes to financial statements. 56 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) BRP Group, Inc 13,307 $ 271,900 $ 398,811 Bryn Mawr Bank Corp 1,393 51,176 42,619 CNO Financial Group, Inc 7,159 114,814 159,145 Columbia Banking System, Inc 19,276 589,493 692,008 Commerce Bancshares, Inc 27,613 1,325,820 1,814,174 Community Bank System, Inc 10,355 485,418 645,220 ConnectOne Bancorp, Inc 16,085 286,236 318,322 Cullen/Frost Bankers, Inc 18,145 1,668,640 1,582,788 CVB Financial Corp 30,045 548,708 585,877 Eaton Vance Corp 10,391 393,958 705,861 eHealth, Inc 6,316 472,187 445,973 Enstar Group Ltd 2,429 444,135 497,678 FB Financial Corp 13,877 425,541 481,948 First Financial Bancorp 69,567 1,343,476 1,219,509 First Financial Bankshares, Inc 15,402 325,357 557,167 First Hawaiian, Inc 66,816 1,770,720 1,575,521 First Horizon Corp. 182,436 2,320,124 2,327,883 First Merchants Corp 17,351 516,812 649,101 First Midwest Bancorp, Inc 12,395 193,336 197,328 First of Long Island Corp 3,502 58,696 62,511 FirstCash, Inc 3,324 248,382 232,813 Focus Financial Partners, Inc Cl-A 40,198 1,128,466 1,748,613 German American Bancorp, Inc 8,036 236,243 265,911 Glacier Bancorp, Inc 18,006 543,988 828,456 Goosehead Insurance, Inc 2,731 143,334 340,720 Great Western Bancorp, Inc 11,270 254,125 235,543 Green Dot Corp Cl-A 5,994 302,134 334,465 Hamilton Lane, Inc Cl-A 5,120 299,550 399,616 Heritage Financial Corp 11,758 250,806 275,020 Home BancShares, Inc 23,169 340,725 451,332 Houlihan Lokey, Inc 4,955 248,077 333,125 Independent Bank Corp 9,142 509,984 667,732 Kemper Corp 3,343 242,202 256,843 Kinsale Capital Group, Inc 11,162 626,349 2,233,851 KKR Real Estate Finance Trust, Inc 29,259 432,776 524,321 Lakeland Financial Corp 11,031 404,516 591,041 Lazard Ltd Cl-A 54,817 1,803,016 2,318,759 LendingTree, Inc 2,032 438,534 556,341 LPL Financial Holdings, Inc 8,131 499,265 847,413 MGIC Investment Corp 48,112 485,193 603,806 Moelis & Co Cl-A 40,540 1,283,763 1,895,650 Morningstar, Inc 12,849 1,379,711 2,975,443 NMI Holdings, Inc Cl-A 17,637 389,655 399,478 OceanFirst Financial Corp 20,545 429,919 382,753 Oportun Financial Corp 4,942 69,758 95,727 Pacific Premier Bancorp, Inc 15,894 406,214 497,959 PacWest Bancorp 9,456 178,712 240,182 Palomar Holdings, Inc 3,710 225,520 329,596 PennyMac Mortgage Investment Trust REIT 26,335 380,513 463,233 Pinnacle Financial Partners, Inc 7,336 297,699 472,438 PJT Partners, Inc Cl-A 4,559 202,967 343,065
See accompanying notes to financial statements. 57 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Primerica, Inc 4,302 $ 409,831 $ 576,167 PROG Holdings, Inc 6,163 289,382 332,001 Provident Financial Services, Inc 5,626 91,743 101,043 Renasant Corp 21,094 667,271 710,446 RLI Corp 28,054 1,908,804 2,921,824 Sandy Spring Bancorp, Inc 3,205 81,941 103,169 Selective Insurance Group, Inc 9,703 503,523 649,907 Selectquote, Inc 45,692 964,734 948,109 Signature Bank 14,548 1,348,933 1,968,199 South State Corp 11,588 749,015 837,812 StepStone Group, Inc Cl-A 22,962 581,766 913,888 Stifel Financial Corp 18,209 537,285 918,826 SVB Financial Group 2,730 416,183 1,058,776 Towne Bank 11,215 291,226 263,328 Trico Bancshares 10,395 293,314 366,736 Two Harbors Investment Corp REIT 91,031 475,255 579,867 United Community Banks, Inc 26,380 633,405 750,247 Virtu Financial, Inc Cl-A 4,263 91,183 107,300 Walker & Dunlop, Inc 7,004 355,517 644,508 Washington Federal, Inc 18,858 566,708 485,405 Western Alliance Bancorp 38,146 1,141,831 2,286,853
Wintrust Financial Corp 31,691 ______1,875,213______1,936,003____
Total Financials ______48,311,517______63,028,966____ Health Care: 15.84% Abcam PLC 28,956 505,922 613,759 Acadia Healthcare Co, Inc 9,644 268,345 484,707 Adaptive Biotechnologies Corp 10,566 440,974 624,768 Allscripts Healthcare Solutions, Inc 22,654 239,076 327,124 AMN Healthcare Services, Inc 4,640 251,981 316,680 Arena Pharmaceuticals, Inc 4,081 275,339 313,543 AtriCure, Inc 14,099 396,526 784,891 Avanos Medical, Inc 12,383 483,127 568,132 Avantor, Inc 35,211 466,198 991,190 Bio-Techne Corp 3,916 445,557 1,243,526 Bruker Corp 11,054 526,240 598,353 Cantel Medical Corp 22,059 1,162,612 1,739,573 CareDx, Inc 21,983 514,562 1,592,668 Catalent, Inc 23,506 727,826 2,446,269 Certara, Inc 23,814 784,510 803,008 Chemed Corp 4,081 1,574,732 2,173,581 ChemoCentryx, Inc 8,504 451,736 526,568 CONMED Corp 11,116 759,153 1,244,992 Covetrus, Inc 49,092 1,091,112 1,410,904 CryoPort, Inc 15,652 433,830 686,810 Emergent BioSolutions, Inc 1,267 82,458 113,523 Encompass Health Corp 37,848 1,658,349 3,129,651 Envista Holdings Corp. 41,112 1,008,068 1,386,708 Globus Medical, Inc Cl-A 730 31,936 47,611 Halozyme Therapeutics, Inc 25,113 388,461 1,072,576 HealthEquity, Inc 27,096 1,206,791 1,888,862 Heron Therapeutics, Inc 18,427 354,596 390,007
See accompanying notes to financial statements. 58 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) HMS Holdings Corp 52,703 $ 1,564,747 $ 1,936,835 ICU Medical, Inc 9,449 1,517,442 2,026,716 Immunovant, Inc 10,939 459,479 505,272 Inari Medical, Inc 10,030 669,465 875,519 Insulet Corp 2,855 624,897 729,824 Intellia Therapeutics, Inc 11,778 429,224 640,723 Iovance Biotherapeutics, Inc 12,358 437,170 573,411 iRhythm Technologies, Inc 4,698 327,164 1,114,413 Kodiak Sciences, Inc 4,660 385,361 684,601 LHC Group, Inc 3,970 504,971 846,880 LivaNova PLC 3,952 216,800 261,662 Luminex Corp 7,877 192,621 182,116 Magellan Health, Inc 4,398 318,573 364,330 Maravai LifeSciences Holdings, Inc 26,324 718,058 738,388 Masimo Corp 3,157 412,764 847,276 Merit Medical Systems, Inc 4,799 216,670 266,393 Mesa Laboratories, Inc 2,182 554,691 625,449 Mirati Therapeutics, Inc 2,800 457,162 614,992 Molina Healthcare, Inc 13,320 1,403,115 2,832,898 Natera, Inc 13,291 367,774 1,322,720 NeoGenomics, Inc 19,450 498,271 1,047,188 Nevro Corp 4,525 353,634 783,278 Owens & Minor, Inc 8,668 189,847 234,469 PRA Health Sciences, Inc 7,625 748,444 956,480 Premier, Inc Cl-A 40,136 1,317,650 1,408,774 Prestige Consumer Healthcare, Inc 6,304 195,636 219,821 Progyny, Inc 3,947 165,046 167,313 Repligen Corp 9,068 375,596 1,737,701 Sage Therapeutics, Inc 6,613 721,352 572,091 Schrodinger, Inc 10,834 622,623 857,836 Syneos Health, Inc 50,279 2,515,231 3,425,508 Tandem Diabetes Care, Inc 7,206 459,026 689,470 Tenet Healthcare Corp 12,729 256,976 508,269 Translate Bio, Inc 21,117 488,969 389,186
Twist Bioscience Corp 11,827 ______447,893______1,671,037____
Total Health Care ______37,664,359______60,178,823____ Industrials: 19.18% AAR Corp 14,410 329,924 521,930 ABM Industries, Inc 10,666 342,041 403,601 AECOM 18,748 556,663 933,275 Aerojet Rocketdyne Holdings, Inc 1,236 60,740 65,323 Air Transport Services Group, Inc 9,662 249,723 302,807 Allegiant Travel Co 1,480 161,608 280,075 Altra Industrial Motion Corp 34,047 954,295 1,887,225 Applied Industrial Technologies, Inc 21,767 1,041,559 1,697,608 ArcBest Corp 7,855 226,337 335,173 Array Technologies, Inc 13,964 603,522 602,407 ASGN, Inc 16,342 999,535 1,365,047 Astec Industries, Inc 8,146 415,748 471,490 AZEK Co, Inc 1,910 59,042 73,440 Beacon Roofing Supply, Inc 12,362 420,567 496,829
See accompanying notes to financial statements. 59 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) BMC Stock Holdings, Inc 11,891 $ 339,420 $ 638,309 Brady Corp Cl-A 38,663 1,291,983 2,042,180 Builders FirstSource, Inc 31,061 508,317 1,267,599 Casella Waste Systems, Inc Cl-A 25,777 1,386,285 1,596,885 Chart Industries, Inc 6,609 372,501 778,474 CIRCOR International, Inc 6,602 188,532 253,781 Clarivate PLC 21,138 385,113 628,010 Clean Harbors, Inc 10,067 656,330 766,099 Colfax Corp 15,452 438,133 590,884 Columbus McKinnon Corp 9,630 331,778 370,177 CoreLogic, Inc 17,616 617,514 1,362,069 Cubic Corp 1,940 116,151 120,358 Douglas Dynamics, Inc 27,480 413,389 1,175,320 Ducommun, Inc 5,014 189,301 269,252 EMCOR Group, Inc 5,500 308,811 503,030 Evoqua Water Technologies Corp 27,862 553,417 751,717 Federal Signal Corp 16,015 419,206 531,218 Fortune Brands Home & Security, Inc 9,669 427,895 828,827 FTI Consulting, Inc 1,369 163,083 152,945 Gates Industrial Corp PLC 67,276 975,694 858,442 Generac Holdings, Inc 2,988 229,990 679,501 Gibraltar Industries, Inc 5,499 273,705 395,598 Griffon Corp 8,327 173,128 169,704 Herc Holdings, Inc 8,058 356,999 535,132 IAA, Inc 50,911 1,399,980 3,308,197 ICF International, Inc 3,226 257,604 239,789 Kaman Corp 9,483 429,517 541,764 Kennametal, Inc 26,643 918,358 965,542 Knight-Swift Transportation Holdings, Inc 46,402 1,439,376 1,940,532 Kornit Digital Ltd 10,161 388,197 905,650 Landstar System, Inc 12,260 1,017,406 1,650,932 Lincoln Electric Holdings, Inc 24,513 1,846,753 2,849,636 Lyft, Inc 18,906 489,539 928,852 MasTec, Inc 12,955 572,322 883,272 Mercury Systems, Inc 5,517 433,354 485,827 MSA Safety, Inc 18,375 1,886,425 2,745,041 Navistar International Corp 2,920 91,598 128,363 Nordson Corp 7,455 899,989 1,498,082 Plug Power, Inc 40,522 511,991 1,374,101 RBC Bearings, Inc 16,147 1,220,882 2,890,959 Resideo Technologies, Inc 31,227 487,055 663,886 Rexnord Corp 25,337 651,394 1,000,558 Saia, Inc 7,683 896,474 1,389,086 Simpson Manufacturing Co, Inc 5,728 545,324 535,282 SiteOne Landscape Supply, Inc 5,728 379,455 908,633 SkyWest, Inc 7,978 317,669 321,593 SPX FLOW, Inc 10,346 349,430 599,654 Stericycle, Inc 19,657 1,343,236 1,362,820 Timken Co 15,410 703,931 1,192,118 Toro Co 48,132 1,643,484 4,564,839 Trex Co, Inc 8,056 496,299 674,448
See accompanying notes to financial statements. 60 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) TriMas Corp 15,057 $ 333,133 $ 476,855 Vicor Corp 7,054 533,862 650,520 Watts Water Technologies, Inc Cl-A 2,949 204,330 358,893 Welbilt, Inc 168,780 1,934,755 2,227,896 WillScot Mobile Mini Holdings Corp 143,944 1,795,757 3,335,182
Woodward, Inc 20,861 ______1,993,982______2,535,237____
Total Industrials ______45,950,840______72,835,780____ Information Technology: 16.24% Allegro MicroSystems, Inc 25,444 495,459 678,337 Anaplan, Inc 10,304 479,098 740,342 Aspen Technology, Inc 14,063 893,337 1,831,706 Avalara, Inc 3,594 252,095 592,615 Badger Meter, Inc 13,039 822,215 1,226,448 Bentley Systems, Inc Cl-B 8,100 226,858 328,131 BigCommerce Holdings, Inc 6,718 471,860 430,960 Bill.Com Holdings, Inc 14,753 811,589 2,013,784 Black Knight, Inc 5,527 344,065 488,310 Blackline, Inc 10,054 481,805 1,341,003 Bottomline Technologies de, Inc 6,366 289,096 335,743 Cloudera, Inc 27,601 335,100 383,930 CMC Materials, Inc 15,697 1,047,168 2,374,956 Cohu, Inc 16,512 306,950 630,428 Cree, Inc 8,568 514,169 907,351 CTS Corp 12,217 257,514 419,410 Duck Creek Technologies, Inc 8,755 366,161 379,091 Enphase Energy, Inc 5,788 195,973 1,015,620 Envestnet, Inc 19,448 1,188,124 1,600,376 Everbridge, Inc 4,527 627,515 674,840 Fabrinet 7,643 442,526 593,020 Fair Isaac Corp 1,295 193,791 661,797 FARO Technologies, Inc 5,139 273,133 362,968 Five9, Inc 5,288 425,130 922,227 Guidewire Software, Inc 19,700 1,190,555 2,535,981 HubSpot, Inc 3,145 515,555 1,246,804 II-VI, Inc 10,584 405,722 803,961 InterDigital, Inc 4,609 272,245 279,674 IPG Photonics Corp 3,227 378,504 722,170 KBR, Inc 36,615 774,013 1,132,502 Knowles Corp 13,794 214,975 254,223 Lattice Semiconductor Corp 28,479 415,581 1,304,908 Littelfuse, Inc 3,042 409,921 774,676 LivePerson, Inc 15,857 579,196 986,781 M/A-COM Technology Solutions Holdings, Inc 7,989 421,860 439,715 ManTech International Corp Cl-A 4,054 298,028 360,563 Medallia, Inc 38,467 978,687 1,277,874 MKS Instruments, Inc 4,563 239,626 686,503 Monolithic Power Systems, Inc 2,197 178,314 804,607 nCino, Inc 5,037 372,608 364,729 NetScout Systems, Inc 12,835 341,847 351,936 nLight, Inc 53,169 991,877 1,735,968 Novanta, Inc 10,284 935,505 1,215,774
See accompanying notes to financial statements. 61 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Nuance Communications, Inc 23,045 $ 525,013 $ 1,016,054 Onto Innovation, Inc 10,421 334,473 495,519 Pegasystems, Inc 6,287 363,126 837,806 Power Integrations, Inc 41,788 1,374,073 3,420,766 Q2 Holdings, Inc 35,934 1,099,613 4,546,729 Qualys, Inc 5,616 259,927 684,422 RealPage, Inc 36,155 2,031,008 3,154,162 Rogers Corp 3,651 461,250 566,964 Semtech Corp 16,553 627,316 1,193,306 Silicon Laboratories, Inc 9,810 775,652 1,249,205 Smartsheet, Inc Cl-A 9,403 477,734 651,534 Trimble, Inc 11,491 371,857 767,254 TTM Technologies, Inc 28,244 363,715 389,626 Verint Systems, Inc 4,886 207,522 328,241 Viavi Solutions, Inc 28,690 292,583 429,633 WEX, Inc 13,491 1,636,791 2,745,823
Zendesk, Inc 6,954 ______543,910______995,256____
Total Information Technology ______33,400,913______61,685,042____ Materials: 4.96% Alcoa Corp 13,192 189,732 304,076 Allegheny Technologies, Inc 15,638 251,178 262,249 AptarGroup, Inc 31,760 2,189,627 4,347,626 Arconic Corp 28,497 565,002 849,211 Avient Corp 28,261 719,092 1,138,353 Axalta Coating Systems Ltd 22,231 373,308 634,695 Cleveland-Cliffs, Inc 61,947 477,159 901,948 Coeur Mining, Inc 36,943 304,980 382,360 Commercial Metals Co 11,732 221,402 240,975 Constellium SE 33,132 288,087 463,517 Crown Holdings, Inc 17,054 777,830 1,708,811 Domtar Corp 2,288 60,261 72,415 Element Solutions, Inc 47,759 384,270 846,767 GCP Applied Technologies, Inc 52,623 1,389,303 1,244,534 H.B. Fuller Co 6,768 305,918 351,124 Kraton Corp 6,950 183,886 193,140 Pactiv Evergreen, Inc 39,138 511,078 709,963 PQ Group Holdings, Inc 67,053 1,095,490 956,176 Quaker Chemical Corp 10,227 1,273,602 2,591,420 Sandstorm Gold Ltd 16,024 114,096 114,892 Stepan Co 373 36,251 44,506 Summit Materials, Inc Cl-A 14,670 256,170 294,574 Tronox Holdings PLC 7,046 96,761 103,013
Warrior Met Coal, Inc 4,118 ______83,832______87,796____
Total Materials ______12,148,315______18,844,141____ Real Estate: 5.86% Acadia Realty Trust REIT 44,498 830,174 631,427 American Campus Communities, Inc REIT 28,497 1,001,809 1,218,817 CubeSmart REIT 63,263 1,859,150 2,126,269 Cushman & Wakefield PLC 107,343 1,701,077 1,591,897 CyrusOne, Inc REIT 5,901 294,116 431,658
See accompanying notes to financial statements. 62 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) EastGroup Properties, Inc REIT 26,568 $ 2,218,019 $ 3,667,978 Healthcare Realty Trust, Inc 21,906 641,045 648,418 Highwoods Properties, Inc REIT 9,835 387,181 389,761 Hudson Pacific Properties, Inc REIT 13,540 313,712 325,231 Kennedy-Wilson Holdings, Inc 16,114 278,264 288,279 Life Storage, Inc REIT 5,637 575,113 673,001 National Health Investors, Inc REIT 10,275 682,672 710,722 National Retail Properties, Inc REIT 47,092 1,700,964 1,927,005 Outfront Media, Inc REIT 71,119 1,391,256 1,391,088 Park Hotels & Resorts, Inc 24,730 442,220 424,119 Pebblebrook Hotel Trust REIT 44,746 966,044 841,225 Physicians Realty Trust 30,484 556,137 542,615 Preferred Apartment Communities, Inc REIT Cl-A 13,197 176,702 97,658 PS Business Parks, Inc REIT 2,809 315,631 373,232 RLJ Lodging Trust REIT 43,217 667,607 611,520 Ryman Hospitality Properties, Inc 26,627 1,520,914 1,804,245 Safehold, Inc 4,284 189,570 310,547 STAG Industrial, Inc 21,130 604,417 661,792
Terreno Realty Corp REIT 9,473 ______485,509______554,265____
Total Real Estate ______19,799,303______22,242,769____ Utilities: 1.96% Allete, Inc 8,752 577,517 542,099 Chesapeake Utilities Corp 2,679 222,508 289,895 Clearway Energy, Inc Cl-A 5,194 155,797 153,483 IDACORP, Inc 3,634 339,451 348,973 MGE Energy, Inc 6,321 410,300 442,660 NorthWestern Corp 32,974 1,557,929 1,922,714 ONE Gas, Inc 9,676 828,428 742,826 PNM Resources, Inc 7,060 258,808 342,622 Portland General Electric Co 54,621 1,981,185 2,336,140
SJW Group 4,815 ______321,184______333,968____
Total Utilities ______6,653,107______7,455,380____
Total Common Stocks ______244,311,338______370,064,525____ Exchange Traded Funds: 0.19%
iShares Russell 2000 Value ETF 5,588 ______587,174______736,219____
Total Exchange Traded Funds ______587,174______736,219____ Limited Partnerships: 0.16% Energy: 0.16% Rattler Midstream LP 16,279 214,689 154,325
Viper Energy Partners LP 37,996 ______765,508______441,513____
Total Energy ______980,197______595,838____
Total Limited Partnerships ______980,197______595,838____ Short-Term Investments: 2.18% (1) Wells Fargo/BlackRock Short Term Investment Fund S 8,266,973 ______8,266,973______8,266,973____ Total Short-Term Investments 8,266,973 8,266,973
Total Investments : 99.96% $ ______254,145,682____ $ ______379,663,555____
See accompanying notes to financial statements. 63 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Multi-Manager Small Cap CIT Schedule of Investments December 31, 2020
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 0.09% 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. 64
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $136,323,089) $ 168,630,718 Affiliated investments, at value (cost $1,756,738) 1,756,738 Cash 159 Receivable for interest and dividends 485,456 Receivable for investments sold 383,639 Receivable for fund units sold 91,991 Total assets 171,348,701 Liabilities: Payable for fund units repurchased 686,536 Payable for investments purchased 379,972 Trustee fee payable 67,722 Total liabilities 1,134,230 Net assets $ 170,214,471
Computation of net asset value: Class F Net assets $ 160,635,034 Units outstanding 8,619,452 Net asset value per unit $ 18.64
Class N Net assets $ 9,579,437 Units outstanding 529,453 Net asset value per unit $ 18.09
See accompanying notes to financial statements. 65
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Statement of Operations Year ended December 31, 2020
Investment income: Dividend income (net of foreign taxes withheld of $57,771) $ 5,118,072 Interest income 33,429 Dividend income from affiliated short term investment 15,256 Total income 5,166,757 Expenses: Trustee fee 681,758 Total expenses 681,758 Net investment income (loss) 4,484,999 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 1,095,387 Foreign currency transactions (134,089) Net realized gain (loss) on investments 961,298 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments (896,697) Foreign currency translation of other assets and liabilities (609) Net change in unrealized appreciation (depreciation) on investments (897,306) Net realized and unrealized gain (loss) on investments 63,992 Net increase (decrease) in net assets resulting from operations $ 4,548,991
See accompanying notes to financial statements. 66
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 4,484,999 Net realized gain (loss) on investments 961,298 Net change in unrealized appreciation (depreciation) on investments (897,306) Net increase (decrease) in net assets resulting from operations 4,548,991
Participating unitholders transactions: Proceeds for issuance of units Class F 29,490,891 Class N 4,152,726 Payments for redemption of units Class F (54,245,725) Class N (4,987,889) Change in net assets derived from unit transactions (25,589,997) Total increase (decrease) in net assets (21,041,006) Net assets: Beginning of year 191,255,477 End of year $ 170,214,471
Participating unitholders transactions: Class F units issued 2,109,819 Class N units issued 271,486
Class F units redeemed (3,504,312) Class N units redeemed (335,365)
See accompanying notes to financial statements. 67
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Financial Highlights Year ended December 31, 2020
Class F Class N Per share operating performance: Unit value, beginning of year $ 18.06 $ 17.54 Income from investment operations: Net investment income (loss)(1) 0.44 0.42 Net realized and unrealized gain (loss) on investments 0.14 0.13 Total from investment operations 0.58 0.55 Unit value, end of year $ 18.64 $ 18.09 Total return 3.19% 3.14% Net assets, end of year $ 160,635,034 $ 9,579,437
Ratios: Ratio of expenses to average net assets 0.42% 0.47% Ratio of net investment income (loss) to average net assets 2.78% 2.72% Portfolio turnover rate 39% 39%
(1) Based on average number of units outstanding.
See accompanying notes to financial statements. 68 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks: 96.90% Communication Services: 5.37% AT&T, Inc 16,757 $ 506,865 $ 481,931 Comcast Corp Cl-A 58,112 1,869,144 3,045,069 Fox Corp Cl-B 40,776 1,464,817 1,177,611 News Corp Cl-A 117,323 1,563,249 2,108,294 Verizon Communications, Inc 9,990 498,308 586,912
Walt Disney Co 9,614 ______1,006,419______1,741,865____
Total Communication Services ______6,908,802______9,141,682____ Consumer Discretionary: 4.13% General Motors Co 8,400 210,888 349,776 Kohl's Corp 32,712 1,159,342 1,331,051 Las Vegas Sands Corp 28,832 1,478,881 1,718,387 Magna International, Inc 2,800 128,020 198,240 Mattel, Inc 72,934 1,629,152 1,272,699 McDonald's Corp 1,014 151,721 217,584 TJX Cos, Inc 8,100 438,727 553,149
Volkswagen AG ADR 74,326 ______1,189,961______1,383,943____
Total Consumer Discretionary ______6,386,692______7,024,829____ Consumer Staples: 7.41% Altria Group, Inc 8,000 335,974 328,000 Bunge Ltd 7,731 406,216 506,999 Coca-Cola Co 19,200 898,618 1,052,928 Conagra Brands, Inc 62,379 1,800,350 2,261,863 Kimberly-Clark Corp 12,301 1,458,335 1,658,544 Mondelez International, Inc Cl-A 1,000 48,829 58,470 Philip Morris International, Inc 36,838 3,145,776 3,049,818 Tyson Foods, Inc Cl-A 44,576 2,811,044 2,872,477
Walmart, Inc 5,707 ______425,784______822,664____
Total Consumer Staples ______11,330,926______12,611,763____ Energy: 6.56% Chevron Corp 4,460 496,501 376,647 ConocoPhillips 5,700 186,383 227,943 Enbridge, Inc 27,612 805,919 883,308 EOG Resources, Inc 27,200 1,143,665 1,356,464 Exxon Mobil Corp 30,741 2,306,631 1,267,144 Halliburton Co 57,673 506,910 1,090,020 Hess Corp 6,373 313,305 336,431 Occidental Petroleum Corp 12,641 681,991 218,816 Targa Resources Corp 36,354 654,818 959,018 TC Energy Corp 30,828 1,364,217 1,255,316
TOTAL SA ADR 76,195 ______3,445,117______3,193,332____
Total Energy ______11,905,457______11,164,439____ Financials: 20.74% American International Group, Inc 85,460 3,784,409 3,235,516 Bank of America Corp 90,688 2,166,846 2,748,753 Charles Schwab Corp 12,126 433,595 643,163 Chubb Ltd 25,263 3,375,416 3,888,481 Equitable Holdings, Inc 51,485 969,236 1,317,501 Fifth Third Bancorp 90,280 1,996,515 2,489,020
See accompanying notes to financial statements. 69 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Franklin Resources, Inc 22,121 $ 807,171 $ 552,804 Goldman Sachs Group, Inc 3,624 832,005 955,685 JPMorgan Chase & Co 23,992 1,785,870 3,048,663 Loews Corp 52,284 2,008,606 2,353,826 Marsh & McLennan Cos, Inc 3,509 231,844 410,553 MetLife, Inc 72,197 2,933,276 3,389,649 Morgan Stanley 52,434 1,850,385 3,593,302 PNC Financial Services Group, Inc 20,527 2,140,963 3,058,523 Raymond James Financial, Inc 10,684 843,392 1,022,138 State Street Corp 30,639 2,090,422 2,229,906
Willis Towers Watson PLC 1,753 ______243,202______369,322____
Total Financials ______28,493,153______35,306,805____ Health Care: 12.88% AbbVie, Inc 28,698 2,151,597 3,074,991 Anthem, Inc 8,886 1,481,986 2,853,206 Becton Dickinson and Co 9,172 1,980,920 2,295,018 Biogen, Inc 1,700 463,443 416,262 CVS Health Corp 32,705 2,095,103 2,233,751 Gilead Sciences, Inc 12,426 945,187 723,939 GlaxoSmithKline PLC 30,683 648,546 563,090 GlaxoSmithKline PLC ADR 9,200 341,673 338,560 Johnson & Johnson 15,202 1,665,640 2,392,491 Medtronic PLC 23,669 1,889,295 2,772,587 Merck & Co, Inc 9,100 737,652 744,380 Pfizer, Inc 55,217 1,738,191 2,032,538 Sanofi ADR 13,423 672,725 652,223
Zimmer Biomet Holdings, Inc 5,391 ______576,673______830,699____
Total Health Care ______17,388,631______21,923,735____ Industrials: 12.10% Alaska Air Group, Inc 10,590 606,227 550,680 Boeing Co 10,045 1,489,004 2,150,233 Caterpillar, Inc 5,356 817,194 974,899 Cummins, Inc 1,000 189,174 227,100 Emerson Electric Co 6,341 345,570 509,626 Flowserve Corp 3,886 131,292 143,199 General Electric Co 418,409 3,965,683 4,518,817 Johnson Controls International PLC 16,613 655,017 774,000 L3Harris Technologies, Inc 13,120 1,354,428 2,479,942 Nielsen Holdings PLC 62,424 1,580,999 1,302,789 PACCAR, Inc 8,025 496,529 692,397 Snap-on, Inc 6,000 875,567 1,026,840 Stericycle, Inc 19,304 1,046,631 1,338,346
United Parcel Service, Inc Cl-B 23,241 ______2,319,424______3,913,785____
Total Industrials ______15,872,739______20,602,653____ Information Technology: 9.52% Applied Materials, Inc 26,574 850,460 2,293,336 Cisco Systems, Inc 60,214 2,001,201 2,694,576 Citrix Systems, Inc 4,700 593,796 611,470 Microsoft Corp 10,554 641,994 2,347,421
See accompanying notes to financial statements. 70 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) NXP Semiconductors NV 3,773 $ 346,015 $ 599,945 QUALCOMM, Inc 34,793 2,263,460 5,300,366 TE Connectivity Ltd 4,100 343,169 496,387
Texas Instruments, Inc 11,319 ______821,431______1,857,787____
Total Information Technology ______7,861,526______16,201,288____ Materials: 6.23% Akzo Nobel NV ADR 10,119 305,798 362,603 CF Industries Holdings, Inc 70,514 2,194,612 2,729,597 DuPont de Nemours, Inc 59,464 3,448,059 4,228,485 International Paper Co 57,899 2,374,107 2,878,738
PPG Industries, Inc 2,781 ______288,185______401,076____
Total Materials ______8,610,761______10,600,499____ Real Estate: 4.45% Equity Residential REIT 31,919 1,991,341 1,892,158 Rayonier, Inc REIT 47,265 1,244,240 1,388,646 SL Green Realty Corp 12,213 907,243 727,651 Welltower, Inc 5,900 335,012 381,258
Weyerhaeuser Co REIT 95,104 ______2,356,967______3,188,837____
Total Real Estate ______6,834,803______7,578,550____ Utilities: 7.51% Ameren Corp 13,100 986,913 1,022,586 Duke Energy Corp 2,300 203,683 210,588 Edison International 26,368 1,698,167 1,656,438 NextEra Energy, Inc 15,300 878,239 1,180,395 NiSource, Inc 120,268 2,495,899 2,758,948 Sempra Energy 10,533 1,205,919 1,342,009
Southern Co 74,976 ______3,716,830______4,605,776____
Total Utilities ______11,185,650______12,776,740____
Total Common Stocks ______132,779,140______164,932,983______Yield Preferred Stocks: 1.90% Utilities: 1.47% NextEra Energy, Inc 5.28% 11,700 568,035 594,828 Sempra Energy Series A 6.00 8,630 867,334 860,929 Sempra Energy Series B 6.75 2,436 256,216 252,686
Southern Co 6.75 15,191 ______777,526______788,413____
Total Utilities ______2,469,111______2,496,856____ Health Care: 0.43%
Becton Dickinson and Co Series B 6.00 13,300 ______669,655______733,229____
Total Health Care ______669,655______733,229____
Total Preferred Stocks ______3,138,766____ 3,230,085
See accompanying notes to financial statements. 71 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Warrants: 0.01% Energy: 0.01%
Occidental Petroleum Corp, expiration date 8/3/2027 3,755 $ ______18,585____ $ ______25,572____
Total Energy ______18,585______25,572____
Total Warrants ______18,585______25,572____ Par Interest Maturity Rating
______Value ______Rate ______Date (Unaudited) ______Foreign Convertible Bonds: 0.26% Private Placements: 0.26% (1) AXA SA 388,000 7.25 % 5/15/2021 ______386,598______442,078____
Total Private Placements ______386,598______442,078____
Total Foreign Convertible Bonds ______386,598______442,078______Shares Short-Term Investments: 1.03% (2) Wells Fargo/BlackRock Short Term Investment Fund S 1,756,738 ______1,756,738______1,756,738____
Total Short-Term Investments ______1,756,738______1,756,738____
Total Investments : 100.10% $ ______138,079,827____ $ ______170,387,456______
Percentages shown are based on total net assets.
(1) This Fund holds 0.26% of its portfolio in securities that may only be resold to "qualified institutional buyers" under Rule 144A of the Securities Act of 1933. (2) Wells Fargo/BlackRock Short Term Investment Fund S is a Wells Fargo Bank, N.A. sponsored collective trust fund. The Fund holds
approximately 0.02% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
ADR American Depositary Receipt REIT Real Estate Investment Trust
See accompanying notes to financial statements. 72
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $526,301,981) $ 1,099,209,199 Affiliated investments, at value (cost $5,786,865) 5,786,865 Receivable for fund units sold 600,303 Receivable for dividends 88,425 Receivable for investments sold 88,069 Total assets 1,105,772,861 Liabilities: Payable for fund units repurchased 3,957,912 Payable for investments purchased 84,005 Trustee fee payable 363,456 Total liabilities 4,405,373 Net assets $ 1,101,367,488
Computation of net asset value: Class TR Net assets $ 33,503,008 Units outstanding 728,427 Net asset value per unit $ 45.99
Class F Net assets $ 745,214,603 Units outstanding 14,409,052 Net asset value per unit $ 51.72
Class N Net assets $ 284,380,167 Units outstanding 6,616,133 Net asset value per unit $ 42.98
Class N40 Net assets $ 38,269,710 Units outstanding 1,060,678 Net asset value per unit $ 36.08
See accompanying notes to financial statements. 73
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Statement of Operations Year ended December 31, 2020
Investment income: Dividend income from unaffiliated investments (net of foreign taxes $ withheld of $1,695) 4,966,738 Dividend income from affiliated short term investment 83,421 Total income 5,050,159 Expenses: Trustee fee 4,084,687 TMR Program fees 51,210 Total expenses 4,135,897 Net investment income (loss) 914,262 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 270,495,280 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments 114,650,519 Net realized and unrealized gain (loss) on investments 385,145,799 Net increase (decrease) in net assets resulting from operations $ 386,060,061
See accompanying notes to financial statements. 74
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 914,262 Net realized gain (loss) on investments 270,495,280 Net change in unrealized appreciation (depreciation) on investments 114,650,519 Net increase (decrease) in net assets resulting from operations 386,060,061
Participating unitholders transactions: Proceeds for issuance of units Class TR 29,913,298 Class F 100,466,325 Class N 84,603,108 Class N40 12,344,223 Payments for redemption of units Class TR (23,761,442) Class F (389,965,476) Class N (373,091,482) Class N40 (15,715,483) Change in net assets derived from unit transactions (575,206,929) Total increase (decrease) in net assets (189,146,868) Net assets: Beginning of year 1,290,514,356 End of year $ 1,101,367,488
Participating unitholders transactions: Class TR units issued 709,010 Class F units issued 2,664,136 Class N units issued 2,409,598 Class N40 units issued 420,675
Class TR units redeemed (692,036) Class F units redeemed (9,703,935) Class N units redeemed (10,227,087) Class N40 units redeemed (541,729)
See accompanying notes to financial statements. 75
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Financial Highlights Year ended December 31, 2020
Class TR Class F Class N Class N40 Per share operating performance: Unit value, beginning of year $ 32.97 $ 36.96 $ 30.74 $ 25.90 Income from investment operations: Net investment income (loss)(1) (0.07) 0.05 0.02 (0.10) Net realized and unrealized gain (loss) on investments 13.09 14.71 12.22 10.28 Total from investment operations 13.02 14.76 12.24 10.18 Unit value, end of year $ 45.99 $ 51.72 $ 42.98 $ 36.08 Total return 39.48% 39.92% 39.84% 39.28% Net assets, end of year $ 33,503,008 $ 745,214,603 $ 284,380,167 $ 38,269,710
Ratios: Ratio of expenses to average net assets 0.64% 0.32% 0.38% 0.78% Ratio of net investment income (loss) to average net assets (0.19)% 0.11% 0.07% (0.35)% Portfolio turnover rate 19% 19% 19% 19%
(1) Based on average number of units outstanding.
See accompanying notes to financial statements. 76 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks: 99.80% Communication Services: 23.75% Alphabet, Inc Cl-C 14,185 $ 8,958,389 $ 24,850,418 Alphabet, Inc Cl-A 34,870 27,359,646 61,114,557 Facebook, Inc Cl-A 235,474 32,179,922 64,322,078 IAC/InterActiveCorp 33,352 2,213,215 6,315,201 Match Group, Inc 79,021 5,654,397 11,947,185 Netflix, Inc 42,488 10,363,606 22,974,536 Sea Ltd ADR 14,742 2,868,326 2,934,395 Snap, Inc Cl-A 563,568 8,421,917 28,217,850 Spotify Technology SA 56,494 8,185,661 17,776,402
Tencent Holdings Ltd ADR 290,601 ______11,609,832______21,137,764____
Total Communication Services ______117,814,911______261,590,386____ Consumer Discretionary: 21.44% Alibaba Group Holding Ltd ADR 91,335 13,220,142 21,256,394 Amazon.com, Inc 32,891 23,670,736 107,123,685 Aptiv PLC 116,932 10,096,446 15,235,070 Booking Holdings, Inc 5,399 7,439,757 12,025,031 CarMax, Inc 46,071 3,235,820 4,351,867 Carvana Co 36,460 2,065,438 8,733,628 Chipotle Mexican Grill, Inc 4,646 2,712,257 6,442,655 Dollar General Corp 64,937 5,743,546 13,656,251 DoorDash, Inc Cl-A 3,924 400,248 560,151 DraftKings, Inc Cl-A 120,566 4,576,070 5,613,553 Farfetch Ltd Cl-A 79,600 3,907,643 5,079,276 Lululemon Athletica, Inc 24,186 4,823,078 8,417,454 NIKE, Inc Cl-B 58,689 6,156,013 8,302,733
Ross Stores, Inc 157,297 ______12,116,369______19,317,644____
Total Consumer Discretionary ______100,163,563______236,115,392____ Financials: 1.87% Charles Schwab Corp 91,524 4,591,829 4,854,433 Goldman Sachs Group, Inc 25,640 4,632,291 6,761,525 S&P Global, Inc 18,684 4,038,862 6,141,991
XP, Inc Cl-A 70,472 ______2,573,872______2,795,624____
Total Financials ______15,836,854______20,553,573____ Health Care: 14.19% Anthem, Inc 14,862 4,343,295 4,772,040 Avantor, Inc 304,808 5,025,560 8,580,345 Becton Dickinson and Co 32,913 6,600,647 8,235,491 Centene Corp 104,753 5,801,643 6,288,323 Cigna Corp 115,903 20,283,856 24,128,686 HCA Healthcare, Inc 72,888 7,818,294 11,987,160 Humana, Inc 23,047 7,704,184 9,455,493 Incyte Corp 66,862 5,298,184 5,815,657 Intuitive Surgical, Inc 25,046 6,454,122 20,490,133 Stryker Corp 91,591 13,166,266 22,443,459 UnitedHealth Group, Inc 62,167 13,813,136 21,800,723
Vertex Pharmaceuticals, Inc 52,160 ______6,571,750______12,327,494____
Total Health Care ______102,880,937______156,325,004____
See accompanying notes to financial statements. 77 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Industrials: 2.11% CoStar Group, Inc 9,289 $ 5,421,225 $ 8,585,637 Ingersoll Rand, Inc 217,062 5,491,553 9,889,344
Norfolk Southern Corp 20,275 ______3,666,978______4,817,543____
Total Industrials ______14,579,756______23,292,524____ Information Technology: 35.46% Advanced Micro Devices, Inc 88,837 3,634,581 8,147,241 Apple, Inc 383,654 17,272,867 50,907,049 ASML Holding NV 33,873 6,255,902 16,520,539 Fidelity National Information Services, Inc 46,619 5,357,516 6,594,724 Global Payments, Inc 188,445 26,089,299 40,594,822 Intuit, Inc 72,248 12,586,363 27,443,403 Marvell Technology Group Ltd 120,907 2,924,915 5,747,919 Microsoft Corp 399,127 29,181,607 88,773,827 MongoDB, Inc 19,731 3,223,621 7,084,218 PayPal Holdings, Inc 102,290 6,946,815 23,956,318 RingCentral, Inc Cl-A 11,099 3,205,357 4,206,188 Salesforce.com, Inc 98,422 10,282,318 21,901,848 ServiceNow, Inc 27,191 3,554,339 14,966,742 Shopify, Inc Cl-A 1,245 1,120,847 1,409,278 Slack Technologies, Inc Cl-A 68,112 1,710,155 2,877,051 Snowflake, Inc Cl-A 3,999 479,880 1,125,319 Splunk, Inc 77,804 9,015,535 13,218,122 Synopsys, Inc 30,470 3,903,428 7,899,043 Visa, Inc Cl-A 201,447 17,104,735 44,062,502
Wix.com Ltd 12,595 ______3,283,831______3,148,246____
Total Information Technology ______167,133,911______390,584,399____ Utilities: 0.98%
NextEra Energy, Inc 139,312 ______7,892,049______10,747,921____
Total Utilities ______7,892,049______10,747,921____
Total Common Stocks ______526,301,981______1,099,209,199____ Short-Term Investments: 0.53% (1) Wells Fargo/BlackRock Short Term Investment Fund S 5,786,865 ______5,786,865______5,786,865____
Total Short-Term Investments ______5,786,865______5,786,865____
Total Investments :100.33% $ ______532,088,846____ $ ______1,104,996,064______
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 0.06% 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. 78
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Voya Large-Cap Growth CIT Statement of Assets and Liabilities December 31, 2020
Assets: Unaffiliated investments, at value (cost $102,310,543) $ 140,816,846 Affiliated investments, at value (cost $485,476) 485,476 Receivable for investments sold 858,692 Receivable for dividends 67,732 Receivable for fund units sold 57,100 Total assets 142,285,846 Liabilities: Payable for fund units repurchased 684,680 Payable for investments purchased 134,352 Trustee fee payable 52,875 Total liabilities 871,907 Net assets $ 141,413,939
Computation of net asset value: Class F Net assets $ 141,413,939 Units outstanding 7,356,033 Net asset value per unit $ 19.22
See accompanying notes to financial statements. 79
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Voya Large-Cap Growth CIT Statement of Operations Year ended December 31, 2020
Investment income: Dividend income (net of foreign taxes withheld of $571) $ 1,153,867 Dividend income from affiliated short term investment 10,792 Total income 1,164,659 Expenses: Trustee fee 548,359 Total expenses 548,359 Net investment income (loss) 616,300 Realized and unrealized gain (loss) on investments: Net realized gain (loss) on: Unaffiliated investments 30,224,772 Net change in unrealized appreciation (depreciation) on: Unaffiliated investments 6,838,248 Net realized and unrealized gain (loss) on investments 37,063,020 Net increase (decrease) in net assets resulting from operations $ 37,679,320
See accompanying notes to financial statements. 80
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Voya Large-Cap Growth CIT Statement of Changes in Net Assets Year ended December 31, 2020
Increase/(decrease) in net assets from operations: Net investment income (loss) $ 616,300 Net realized gain (loss) on investments 30,224,772 Net change in unrealized appreciation (depreciation) on investments 6,838,248 Net increase (decrease) in net assets resulting from operations 37,679,320
Participating unitholders transactions: Proceeds for issuance of units Class F 12,811,370 Payments for redemption of units Class F (64,756,564) Change in net assets derived from unit transactions (51,945,194) Total increase (decrease) in net assets (14,265,874) Net assets: Beginning of year 155,679,813 End of year $ 141,413,939
Participating unitholders transactions: Class F units issued 933,916 Class F units redeemed (4,260,371)
See accompanying notes to financial statements. 81
Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Voya Large-Cap Growth CIT Financial Highlights Year ended December 31, 2020 Class F Per share operating performance: Unit value, beginning of year $ 14.57 Income from investment operations: Net investment income (loss)(1) 0.07 Net realized and unrealized gain (loss) on investments 4.58 Total from investment operations 4.65 Unit value, end of year $ 19.22 Total return 31.91% Net assets, end of year $ 141,413,939
Ratios: Ratio of expenses to average net assets 0.40% Ratio of net investment income (loss) to average net assets 0.45% Portfolio turnover rate 102%
(1) Based on average number of units outstanding.
See accompanying notes to financial statements. 82 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Voya Large-Cap Growth CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks: 98.88% Communication Services: 11.03% Alphabet, Inc Cl-A 295 $ 344,960 $ 517,029 Altice USA, Inc Cl-A 27,570 782,493 1,044,076 Facebook, Inc Cl-A 29,044 5,757,172 7,933,659 Snap, Inc Cl-A 36,290 1,073,900 1,817,040 Spotify Technology SA 5,022 1,324,053 1,580,223
Take-Two Interactive Software, Inc 12,998 ______2,116,950______2,700,854____
Total Communication Services ______11,399,528______15,592,881____ Consumer Discretionary: 16.03% Amazon.com, Inc 3,983 6,626,232 12,972,352 Darden Restaurants, Inc 11,753 910,279 1,400,017 Expedia Group, Inc 11,089 1,258,362 1,468,184 Five Below, Inc 9,990 1,311,327 1,748,050 O'Reilly Automotive, Inc 5,540 1,872,318 2,507,238
Ross Stores, Inc 20,947 ______1,911,836______2,572,501____
Total Consumer Discretionary ______13,890,354______22,668,342____ Consumer Staples: 4.41% Church & Dwight Co, Inc 8,809 674,951 768,409 Constellation Brands, Inc Cl-A 9,864 1,827,914 2,160,709
Philip Morris International, Inc 39,981 ______3,193,372______3,310,027____
Total Consumer Staples ______5,696,237______6,239,145____ Financials: 1.98% Progressive Corp 10,859 1,050,321 1,073,738
S&P Global, Inc 5,259 ______1,166,761______1,728,791____
Total Financials ______2,217,082______2,802,529____ Health Care: 12.75% Agilent Technologies, Inc 17,727 1,800,085 2,100,472 Align Technology, Inc 2,415 747,156 1,290,528 Danaher Corp 12,328 2,537,554 2,738,542 DexCom, Inc 4,758 1,647,414 1,759,128 Eli Lilly & Co 25,661 3,650,339 4,332,603 Exact Sciences Corp 10,408 1,178,845 1,378,956 Horizon Therapeutics PLC 15,129 965,322 1,106,686 Humana, Inc 4,883 1,456,327 2,003,348 Tandem Diabetes Care, Inc 6,944 758,234 664,402
Veeva Systems, Inc Cl-A 2,392 ______667,026______651,222____
Total Health Care ______15,408,302______18,025,887____ Industrials: 4.65% AMETEK, Inc 10,958 772,297 1,325,260 CoStar Group, Inc 1,138 971,737 1,051,831 CSX Corp 25,389 1,786,399 2,304,052 Roper Technologies, Inc 4,084 1,382,416 1,760,572
Waste Connections, Inc 1,309 ______134,352______134,264____
Total Industrials ______5,047,201______6,575,979____ Information Technology: 45.14% Advanced Micro Devices, Inc 31,088 1,364,641 2,851,081 Apple, Inc 131,963 11,393,331 17,510,170 Autodesk, Inc 7,545 1,490,231 2,303,790
See accompanying notes to financial statements. 83 Wells Fargo Bank, N.A. Collective Investment Funds
Wells Fargo/Voya Large-Cap Growth CIT Schedule of Investments December 31, 2020
Fair ______Shares ______Cost ______Value Common Stocks (Continued) Cadence Design Systems, Inc 11,599 $ 900,298 $ 1,582,452 Entegris, Inc 6,903 601,933 663,378 Five9, Inc 7,249 769,546 1,264,226 Global Payments, Inc 7,794 1,493,540 1,678,983 Intuit, Inc 11,324 2,614,081 4,301,421 Lam Research Corp 3,906 875,763 1,844,687 Microsoft Corp 21,176 2,622,644 4,709,966 Monolithic Power Systems, Inc 4,173 1,231,690 1,528,278 Paycom Software, Inc 4,296 1,282,944 1,942,866 PayPal Holdings, Inc 15,120 3,159,999 3,541,104 QUALCOMM, Inc 18,232 2,862,665 2,777,463 RingCentral, Inc Cl-A 7,021 2,022,315 2,660,748 ServiceNow, Inc 5,315 2,243,427 2,925,535 Twilio, Inc Cl-A 7,057 1,910,159 2,388,795 Visa, Inc Cl-A 30,124 4,726,871 6,589,023
Zebra Technologies Corp Cl-A 1,991 ______688,524______765,201____
Total Information Technology ______44,254,602______63,829,167____ Materials: 1.61% Avery Dennison Corp 5,370 611,514 832,941
Crown Holdings, Inc 14,381 ______945,328______1,440,976____
Total Materials ______1,556,842______2,273,917____ Real Estate: 1.28%
SBA Communications Corp 6,429 ______1,862,612______1,813,814____
Total Real Estate ______1,862,612______1,813,814____
Total Common Stocks ______101,332,760______139,821,661____ Exchange Traded Funds: 0.70%
iShares Russell 1000 Growth ETF 4,127 ______977,783______995,185____
Total Exchange Traded Funds ______977,783______995,185____ Short-Term Investments: 0.34% (1) Wells Fargo/BlackRock Short Term Investment Fund S 485,476 ______485,476______485,476____
Total Short-Term Investments ______485,476______485,476____
Total Investments : 99.92% $ ______102,796,019____ $ ______141,302,322______
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 0.01% of the total net assets of the Wells Fargo/BlackRock Short Term Investment Fund S.
See accompanying notes to financial statements. 84 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
1. ORGANIZATION Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts consists of the following funds (each a “Fund”, collectively “the Funds”):
Wells Fargo/Causeway International Value CIT Wells Fargo/Dodge & Cox Intermediate Bond CIT Wells Fargo/Federated Total Return Bond CIT Wells Fargo/Lazard International Equity CIT Wells Fargo/MFS Value CIT Wells Fargo/Multi-Manager Small Cap CIT Wells Fargo/T. Rowe Price Institutional Equity Wells Fargo/T. Rowe Price Institutional Income Managed CIT Large-Cap Growth Managed CIT Wells Fargo/Voya Large-Cap Growth CIT
The Funds are established under the Wells Fargo Bank Declaration of Trust Establishing Investment Funds for Employee Benefit Trusts (“Declaration of Trust”), as amended and restated, dated June 1, 2020, and are each a collective investment fund managed and trusteed by Wells Fargo Bank, N.A. (“Wells Fargo” or “the Trustee”) for retirement plans (the “participants") qualified under Section 401(a) and tax-exempt under Section 501(a) of the Internal Revenue Code of 1986, as amended (the “Code”). Wells Fargo, as a national bank, is subject to the regulations of the Office of the Comptroller of the Currency (“OCC”). These regulations help ensure that banks meet their fiduciary obligations to their customers. Each Fund is an investment company and follows the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.
Wells Fargo/Causeway International Value CIT The Fund, which is sub-advised by Causeway Capital Management LLC, seeks long-term growth and invests primarily in common stocks of companies located in developed countries outside the U.S. Normally, the Fund invests at least 80% of companies that pay dividends or repurchase their shares. The Fund may invest up to 10% of its total assets in companies in emerging (less developed) markets.
Wells Fargo/Dodge & Cox Intermediate Bond CIT The Fund, which is sub-advised by Dodge & Cox, seeks a high and stable rate of current income, consistent with long-term preservation of capital. A secondary objective is to take advantage of opportunities to realize capital appreciation. The Fund invests in a diversified portfolio consisting primarily of high-quality bonds and other fixed income securities, including U.S. government obligations, mortgage- and asset-backed securities, corporate bonds, government-related securities, municipal bonds and collateralized mortgage obligations (CMOs).
Wells Fargo/Federated Total Return Bond CIT The Fund, which is sub-advised by Federated Investment Counseling, seeks total return consisting of current income and capital appreciation. The Fund invests primarily in a diversified portfolio of investment-grade, fixed-income securities, including mortgage-backed securities, corporate debt securities, and U.S. government obligations. In addition, the Fund may invest in high yield, bank and trade finance loans, non-U.S. dollar denominated and emerging market fixed income securities when the risk- return prospects of those sectors appear attractive. Normally, no more than 15% of the Fund’s total assets will be invested in securities that are rated below investment grade (excluding non-rated securities). However, the Fund may opportunistically invest up to 25% of its total assets in non-investment grade debt securities.
Wells Fargo/Lazard International Equity CIT The Fund, sub-advised by Lazard Asset Management, LLC, seeks long-term growth of capital. The Fund invests primarily in equity securities, principally common stocks, of non-U.S. companies with market capitalizations generally greater than $3 billion.
Wells Fargo/MFS Value CIT The Fund, sub-advised by MFS Institutional Advisors, Inc., seeks to provide certain qualified employee benefit plans with a vehicle for collective investment and reinvestment primarily in a portfolio of stocks focused on investing the Fund’s assets in the stocks of companies that it believes are undervalued compared to their perceived worth (value companies). Value companies tend to have stock prices that are low relative to their earnings, dividends, assets, or other financial measures.
Wells Fargo/Multi-Manager Small Cap 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 within the Russell 2000® index. The Fund blends three individually managed portfolios: the J.P. Morgan Small Cap Core Portfolio, the Goldman Sachs Small Cap Value Style Portfolio, and the Invesco Small Cap Growth Portfolio.
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT The Fund, sub-advised by T. Rowe Price Associates, Inc., seeks to provide substantial dividend income, as well as, long-term capital appreciation.
85 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT The Fund, sub-advised by T. Rowe Price Associates, Inc., seeks to provide certain qualified employee benefit plans with a vehicle for collective investment and reinvestment in a portfolio of stocks which invests primarily in the common stocks of large- cap companies, taking a growth approach to investment selection. The Fund defines a large-cap company as one whose market capitalization is larger than the median market capitalization of companies in the Russell 1000® Growth Index, a widely used benchmark of the largest domestic growth stocks.
Wells Fargo/Voya Large-Cap Growth CIT The Fund, sub-advised by Voya Investment Management Co., LLC, seeks long-term capital appreciation investing primarily in the common stocks of large-cap companies, taking a growth approach to investment selection. The Fund defines a large-cap company as one whose market capitalization is within the capitalization range of companies in the Russell 1000 Growth Index, a widely used benchmark of the largest domestic growth stocks. The market capitalization of the companies in the Fund’s portfolio and the Russell index changes over time. The Fund will not automatically sell or cease to purchase stock of a company it already owns just because the company’s market capitalization falls below this level. The investment strategy uses a stock selection process that combines the discipline of quantitative screens with rigorous fundamental security analysis.
2. SIGNIFICANT ACCOUNTING POLICIES The following significant accounting policies, which are consistently followed in the preparation of the financial statements of each Fund, are in conformity with U.S. generally accepted accounting principles which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Securities valuation All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4p.m. Eastern Time), although the Funds may deviate from this calculation time under unusual or unexpected circumstances.
Equity securities and future 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 Collective Fund Valuation Procedure.
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 at a time each business day specified by the Collective Fund Oversight Committee (“CFOC”), a sub-committee of the Trust Investment Committee of Wells Fargo.
The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the CFOC. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore may not fully reflect trading or events that occur after the close of the principal exchange in which the foreign securities are traded, but before the close of the New York Stock Exchange. If such trading or events are expected to materially affect the value of such securities, then fair value pricing procedures approved by the CFOC are applied. These procedures take into account multiple factors including movements in U.S. securities markets after foreign exchanges close. Foreign securities that are fair valued under these procedures are categorized as Level 2 and the application of these procedures may result in transfers between Level 1 and Level 2. Depending on market activity, such fair valuations may be frequent. Such fair value pricing may result in net asset values that are higher or lower than net asset values based on the last reported sales price or latest quoted bid price. On December 31, 2020, such fair value pricing was not used in pricing foreign securities.
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.
Investments in investment companies are valued at net asset per share as reported by the investment company as of the close of the regular trading on the New York Stock Exchange on each day the exchange is open for trading.
Investments which are not valued using the methods discussed above are valued at their fair value, as determined in good faith by the CFOC. The CFOC has established a Valuation Working Group for the Funds (“Valuation Working Group”) and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Working Group deems necessary or appropriate, including, but not limited to determining the fair value of portfolio securities. The CFOC retains
86 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020 the authority to make or ratify any valuation decisions or approve any changes to the Collective Fund Valuation Procedure as it deems appropriate. The Valuation Working Group meets and reports the meeting minutes to the CFOC on a quarterly basis.
Futures contracts Futures contracts are agreements between a Fund and a counterparty to buy or sell a specific amount of a commodity, financial instrument or currency at a specified price and on a specified date. A Fund may buy and sell futures contracts in order to gain exposure to, or protect against, changes in interest rates or foreign exchange rates and is subject to interest rate risk or foreign currency risk. The primary risks associated with the use of futures contracts are the imperfect correlation between changes in market values of securities held by the Fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as the counterparty to all exchange traded futures, guarantees the futures contracts against default.
Upon entering into a futures contracts, the Fund is required to deposit either cash or securities (initial margin) with the broker in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are paid to or from the broker each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains or losses and, if any, shown as variation margin receivable (payable) in the Statements of Assets and Liabilities. Should the Fund fail to make requested variation margin payments, the broker can gain access to the initial margin to satisfy the Fund’s payment obligations. When the contracts are closed, a realized gain or loss is recorded in the Statements of Operations.
Swap Contracts Swap contracts are agreements between each Fund and a counterparty to exchange a series of cash flows over a specified period. Swap agreements are privately negotiated contracts between a Fund that are entered into as bilateral contracts in the OTC market (“OTC swaps”) or centrally cleared (“centrally cleared swaps”) with a central clearinghouse.
Wells Fargo/Federated Total Return Bond CIT entered into centrally cleared swaps. In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Fund's counterparty on the swap agreement becomes the CCP. Upon entering into a centrally cleared swap, the Fund is required to deposit an initial margin with the broker in the form of cash or securities. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash segregated for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). The variation margin is recorded as an unrealized gain (or loss) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statement of Operations.
Credit default swaps A Fund may enter into credit default swaps for hedging or speculative purposes to provide or receive a measure of protection against default on a referenced entity, obligation or index or a basket of single-name issuers or traded indexes. An index credit default swap references all the names in the index, and if a credit event is triggered, the credit event is settled based on that name's weight in the index. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the protection seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring).
A Fund may enter into credit default swaps as either the seller of protection or the buyer of protection. If the Fund is the buyer of protection and a credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. If the Fund is the seller of protection and a credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As the seller of protection, the Fund is subject to investment exposure on the notional amount of the swap and has assumed the risk of default of the underlying security or index. As the buyer of protection, the Fund could be exposed to risks if the seller of the protection defaults on its obligation to perform, or if there are unfavorable changes in the fluctuation of interest rates. By entering into credit default swap contracts, the Fund is exposed to credit risk. In addition, certain credit default swap contracts entered into by the Fund provide for conditions that result in events of default or termination that enable the counterparty to the agreement to cause an early termination of the transactions under those agreements.
87 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Foreign currency translation The accounting records of each Fund are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the CFOC. Purchases and sales of securities, and income and expenses are converted at the 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 realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.
Forward foreign currency contracts A forward foreign currency contract is an agreement between two parties to purchase or sell a specific currency for an agreed- upon price at a future date. A Fund enters into forward foreign currency contracts to facilitate transactions in foreign- denominated securities and to attempt to minimize the risk to the Fund from adverse changes in the relationship between currencies. Forward foreign currency contracts are recorded at the forward rate and marked-to-market daily. When the contracts are closed, realized gains and losses arising from such transactions are recorded as realized gains or losses on forward foreign currency contracts. The Fund is subject to foreign exchange risk and may be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts or if the value of the foreign currency changes unfavorably. The Fund’s maximum risk of loss from counterparty credit risk is the unrealized gains on the contracts. This risk may be mitigated if there is a master netting arrangement between the Fund and the counterparty.
When-issued transactions A Fund may purchase securities on a forward commitment or when-issued basis. A Fund records a when-issued transaction on the trade date and will segregate assets in an amount at least equal in value to the Fund’s commitment to purchase when-issued securities. Securities purchased on a when-issued basis are marked-to-market daily and the Fund begins earning interest on the settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
Security transactions and income recognition Securities transactions are recorded on a trade date basis. Realized gains or losses are determined on an average cost basis. Interest income is accrued daily and bond discounts are accreted and premiums are amortized daily. To the extent debt obligations are placed on non-accrual status, any related interest income may be reduced by writing off interest receivables when the collection of all or a portion of interest has been determined to be doubtful based on consistently applied procedures and the fair value has decreased. If the issuer subsequently resumes interest payments or when the collectability of interest is reasonably assured, the debt obligation is removed from non-accrual status. Dividend income is recognized on the ex-dividend date, except for certain dividends from foreign securities which are recorded as soon as the custodian verifies the ex-dividend date. Dividend income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured. Income from foreign securities is recorded net of foreign taxes withheld where recovery of such taxes is not assured.
Cash and cash equivalents Cash, including cash denominated in foreign currencies, represents cash on hand and demand deposits held at financial institutions. Cash equivalents include short-term, highly liquid investments of sufficient credit quality that are readily convertible to known amounts of cash and have original maturities of three months or less. Cash equivalents are carried at cost, plus accrued interest, which approximates fair value. Cash equivalents are held to meet short-term liquidity requirements, rather than for investment purposes. Cash and cash equivalents are held at major financial institutions and are subject to credit risk to the extent those balances exceed federally insured limits.
Subscriptions and redemptions of units and distributions to unitholders Units of each Fund are purchased and redeemed at the current net asset value. Each Fund does not distribute its net investment income or realized gains or losses to unitholders. Therefore, the appreciation or depreciation of units held and gain or loss on sale of units represent the sources of income to holders of each Fund.
Federal and other taxes Each Fund maintains tax-exempt status by operating as collective investment trust funds regulated by the OCC, and as such no provision for income taxes is required. It is intended that the Funds be exempt from taxation under Section 501(a) of the Code and qualify as a “group trust” under Revenue Ruling 81-100 and other applicable Internal Revenue Service rules and regulations.
88 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Each Fund’s federal and state fiduciary and federal excise tax returns for prior six tax years for which the applicable statutes of limitations have not expired are subject to examination by the federal regulators and state jurisdictions. Management has analyzed each Fund’s tax positions for all open tax years and does not believe that there are any uncertain tax positions that would call into question a Fund’s tax-exempt status and would then require recognition of a tax liability.
Class allocations Wells Fargo has created unit classes of the Funds with differing imbedded fees. Class F unit class is primarily available to plans when Wells Fargo exercises investment discretion or acts in a 3(21) or 3(38) fiduciary capacity under the Employee Retirement Income Security Act of 1974 (ERISA). Class N unit class is primarily used when Wells Fargo exercises no investment discretion for the account. Class TR unit class is exclusively used in the Target My Retirement offering. Only select Wells Fargo CITs have the Target My Retirement option. Class specific expenses are charged directly to that unit class. Investment income, common expenses, and realized and unrealized gains (losses) on investments are allocated daily to each class of units based on the relative proportion of net assets of each class.
3. FAIR VALUE MEASUREMENTS Fair value measurements of investments are classified within a fair value hierarchy based upon the various data inputs utilized in determining the value of each Fund’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Each Fund’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:
Level 1: quoted prices in active markets for identical securities Level 2: other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) Level 3: significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing investments in securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing each Fund’s assets and liabilities as of December 31, 2020.
Other significant Significant other observable unobservable Quoted prices inputs inputs Investments in securities (Level 1) (Level 2) (Level 3) Total Wells Fargo/Causeway International Value CIT: Value of investment securities: Common Stocks Communication Services $ 1,468,053 $ — $ — $ 1,468,053 Consumer Discretionary 6,724,794 — — 6,724,794 Consumer Staples 7,186,322 — — 7,186,322 Energy 3,288,140 — — 3,288,140 Financials 25,948,006 — — 25,948,006 Health Care 13,727,743 — — 13,727,743 Industrials 26,491,004 — — 26,491,004 Information Technology 16,530,082 — — 16,530,082 Materials 7,119,043 — — 7,119,043 Utilities 3,976,793 — — 3,976,793 Preferred Stock Consumer Discretionary 4,982,881 — — 4,982,881 Warrant Consumer Discretionary 15,317 — — 15,317 Short-Term Investments ______30,926 ______— ______— ______30,926 Total $ ______117,489,104 $ ______— $ ______— $ ______117,489,104
89 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Other significant Significant other observable unobservable Quoted prices inputs inputs Investments in securities (Level 1) (Level 2) (Level 3) Total Wells Fargo/Dodge & Cox Intermediate Bond CIT: Value of investment securities: Corporate Bonds $ — $ 161,528,177 $ — $ 161,528,177 Government/Agency Bonds — 206,963,649 — 206,963,649 Corporate Asset-Backed Securities — 9,693,748 — 9,693,748 Municipal Bonds — 6,458,111 — 6,458,111 Preferred Stock Financials 3,152,385 — — 3,152,385 Short-Term Investments ______34,655,178 ______— ______— ______34,655,178 Total $ 37,807,563 $ 384,643,685 $ — $ 422,451,248
Wells Fargo/Federated Total Return Bond CIT: Value of investment securities: Corporate Bonds $ — $ 143,822,474 $ — $ 143,822,474 Foreign Government Bonds — 897,603 — 897,603 Government/Agency Bonds 14,076,118 109,498,013 — 123,574,131 Corporate Asset-Backed Securities — 1,010,719 — 1,010,719 Corporate Mortgage-Backed Securities — 3,878,821 — 3,878,821 Municipal Bonds — 1,833,928 — 1,833,928 Affiliated Investment Companies 91,795,844 — — 91,795,844 Short-Term Investments ______8,067,065 ______— ______— ______8,067,065 Total $ ______113,939,027 $ ______260,941,558 $ ______— $ ______374,880,585 Other financial instruments: Assets: Futures 231,356 — — 231,356 Swaps 10,893 — — 10,893 Liabilities: Futures ______(33,142) ______— ______— ______(33,142) Total $ ______209,107 $ ______— $ ______— $ ______209,107
Wells Fargo/Lazard International Equity CIT: Value of investment securities: Common Stocks Materials $ 5,363,004 $ — $ — $ 5,363,004 Industrials 15,246,499 — — 15,246,499 Energy 1,789,778 — — 1,789,778 Financials 10,543,961 — — 10,543,961 Communication Services 7,653,802 — — 7,653,802 Utilities 5,248,036 — — 5,248,036 Consumer Staples 6,382,305 — — 6,382,305 Health Care 7,803,629 — — 7,803,629 Consumer Discretionary 3,058,759 — — 3,058,759 Information Technology 5,635,932 — — 5,635,932 Real Estate 2,683,066 — — 2,683,066 Preferred Stock Consumer Discretionary 1,265,577 — — 1,265,577 Short-Term Investments ______847,685 ______— ______— ______847,685 Total $ ______73,522,033 $ ______— $ ______— $ ______73,522,033
90 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Other significant Significant other observable unobservable Quoted prices inputs inputs Investments in securities (Level 1) (Level 2) (Level 3) Total Wells Fargo/MFS Value CIT: Value of investment securities: Common Stocks Communication Services $ 22,561,366 $ — $ — $ 22,561,366 Consumer Discretionary 9,973,893 — — 9,973,893 Consumer Staples 27,638,472 15,133,416 — 42,771,888 Energy 11,681,325 — — 11,681,325 Financials 156,922,692 — — 156,922,692 Health Care 113,117,706 2,835,820 — 115,953,526 Industrials 105,087,683 — — 105,087,683 Information Technology 63,785,595 — — 63,785,595 Materials 23,006,807 — — 23,006,807 Real Estate 2,103,080 — — 2,103,080 Utilities 39,428,478 — — 39,428,478 Short-Term Investments ______4,386,361 ______— ______— ______4,386,361 Total $ ______579,693,458 $ ______17,969,236 $ ______— $ ______597,662,694
Wells Fargo/Multi-Manager Small Cap CIT: Value of investment securities: Common Stocks Communication Services $ 2,343,717 $ — $ — $ 2,343,717 Consumer Discretionary 44,163,664 — — 44,163,664 Consumer Staples 14,443,965 — — 14,443,965 Energy 2,842,278 — — 2,842,278 Financials 63,028,966 — — 63,028,966 Health Care 60,178,823 — — 60,178,823 Industrials 72,835,780 — — 72,835,780 Information Technology 61,685,042 — — 61,685,042 Materials 18,844,141 — — 18,844,141 Real Estate 22,242,769 — — 22,242,769 Utilities 7,455,380 — — 7,455,380 Exchange Traded Funds 736,219 — — 736,219 Limited Partnerships 595,838 — — 595,838 Short-Term Investments ______8,266,973 ______— ______— ______8,266,973 Total $ ______379,663,555 $ ______— $ ______— $ ______379,663,555
91 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Other significant Significant other observable unobservable Quoted prices inputs inputs Investments in securities (Level 1) (Level 2) (Level 3) Total Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT: Value of investment securities: Common Stocks Communication Services $ 9,141,682 $ — $ — $ 9,141,682 Consumer Discretionary 7,024,829 — — 7,024,829 Consumer Staples 12,611,763 — — 12,611,763 Energy 11,164,439 — — 11,164,439 Financials 35,306,805 — — 35,306,805 Health Care 21,923,735 — — 21,923,735 Industrials 20,602,653 — — 20,602,653 Information Technology 16,201,288 — — 16,201,288 Materials 10,237,896 362,603 — 10,600,499 Real Estate 7,578,550 — — 7,578,550 Utilities 12,776,740 — — 12,776,740 Preferred Stocks Utilities 2,496,856 — — 2,496,856 Health Care 733,229 — — 733,229 Warrant Energy 25,572 — — 25,572 Foreign Convertible Bond — 442,078 — 442,078 Short-Term Investments ______1,756,738 ______— ______— ______1,756,738 Total $ ______169,582,775 $ ______804,681 $ ______— $ ______170,387,456
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT: Value of investment securities: Common Stocks Communication Services $ 240,452,622 $ 21,137,764 $ — $ 261,590,386 Consumer Discretionary 236,115,392 — — 236,115,392 Financials 20,553,573 — — 20,553,573 Health Care 156,325,004 — — 156,325,004 Industrials 23,292,524 — — 23,292,524 Information Technology 390,584,399 — — 390,584,399 Utilities 10,747,921 — — 10,747,921 Short-Term Investments ______5,786,865 ______— ______— ______5,786,865 Total $ ______1,083,858,300 $ ______21,137,764 $ ______— $ ______1,104,996,064
Wells Fargo/Voya Large-Cap Growth CIT: Value of investment securities: Common Stocks Communication Services $ 15,592,881 $ — $ — $ 15,592,881 Consumer Discretionary 22,668,342 — — 22,668,342 Consumer Staples 6,239,145 — — 6,239,145 Financials 2,802,529 — — 2,802,529 Health Care 18,025,887 — — 18,025,887 Industrials 6,575,979 — — 6,575,979 Information Technology 63,829,167 — — 63,829,167 Materials 2,273,917 — — 2,273,917 Real Estate 1,813,814 — — 1,813,814 Exchange Traded Funds 995,185 — — 995,185 Short-Term Investments ______485,476 ______— ______— ______485,476 Total $ ______141,302,322 $ ______— $ ______— $ ______141,302,322
Additional sector, industry or geographic detail, if any, for each Fund is included in the Schedule of Investments.
92 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Futures and swap contracts are reported at their cumulative unrealized gains (losses) at the measurement date as reported in the table(s) of each applicable Schedule of Investments. For futures contracts and swap contracts, the current day’s variation margin is reported on the Statements of Assets and Liabilities. All other assets and liabilities are reported at their market value at measurement date.
For the year ended December 31, 2020, the Funds did not have any transfers into/out of Level 3.
4. TRANSACTIONS WITH AFFILIATES AND OTHER EXPENSES Trustee fee Wells Fargo, as Trustee of the Funds, performs services including administration, investment management, and other fund services. The Declaration of Trust permits Wells Fargo, as Trustee, to charge each unit class a class-level Trustee fee for services required to advise and administer the Funds. Certain of these expenses, including investment management and certain administration fees, are paid to related parties of the Trustee. A class-level Trustee fee is charged to Class N, Class N25 and Class N40 unit class at an annual rate of 0.03% of its average daily net assets. Class F and Class TR unit class is not charged a class-level Trustee fee. Wells Fargo also charges the Funds for other fund administrative expenses including fund accounting, custody, and other operating expenses. Class N40 unit class is charged a Plan Operations expense for Plan record-keeping, consultant, and/or participant education performed by contracted service providers as chosen by the Plan. Each Fund’s expense accruals are adjusted periodically, within the limits approved by the CFOC, based on expenses incurred. All Fund expenses are reported under Trustee fee on the Statement of Operations. For the year ended December 31, 2020, the effective expense ratio incurred by each unit class is reflected in the Financial Highlights.
TMR Program fee TR unit class of each applicable Fund, a program fee is charged in connection with the Target My Retirement program which is a managed retirement solution that provides participants with professional investment advice, based on a personalized investment strategy. Wells Fargo has retained Morningstar Associates, LLC, as an independent financial expert to provide investment advice for the Target My Retirement SM program. Class TR unit class is charged an annual rate of 0.315% of the average daily net assets of each respective unit class. Out of this fee, Wells Fargo receives 0.200% as the Trustee based on annualized net assets in the program and Morningstar receives 0.115% for their investment advice.
5. INVESTMENT PORTFOLIO TRANSACTIONS Purchases and sales of investments, for the year ended December 31, 2020 were as follows: Purchases Sales Realized at cost proceeds gain/(loss) Wells Fargo/Causeway International Value CIT Equities $ 281,878,378 $ 697,426,256 $ (76,697,041) Short term investments 153,101,776 160,840,590 -
Wells Fargo/Dodge & Cox Intermediate Bond CIT Equities - - - Fixed income 361,506,726 380,086,896 10,313,709 Short term investments 247,037,730 227,118,679 -
Wells Fargo/Federated Total Return Bond CIT Fixed income 306,018,524 384,225,308 14,331,912 Investment companies 47,351,603 39,970,000 (497,942) Short term investments 222,418,219 222,395,635 -
Wells Fargo/ Lazard International Equity CIT Equities 41,158,387 78,961,550 6,250,680 Short term investments 38,037,536 38,972,274 -
Wells Fargo/MFS Value CIT Equities 102,999,205 269,726,949 53,243,231 Short term investments 129,941,637 132,142,996 -
93 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
Purchases Sales Realized at cost proceeds gain/(loss) Wells Fargo/Multi-Manager Small Cap CIT Equities $ 188,402,927 $ 261,134,948 $ 38,813,234 Limited partnership 267,678 246,558 (283,029) Exchange Traded Funds 6,409,825 6,663,097 346,064 Short term investments 171,063,363 171,163,437 -
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Equities 62,432,397 82,016,177 1,079,912 Fixed income - 91,201 15,475 Short term investments 49,519,150 50,220,378 -
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Equities 214,399,029 778,932,146 270,495,280 Short term investments 253,868,335 258,246,760 -
Wells Fargo/Voya Large-Cap Growth CIT Equities 138,141,611 188,981,646 30,224,772 Short term investments 50,313,580 50,767,746 -
6. DERIVATIVE TRANSACTIONS During the year ended December 31, 2020, the following Funds entered into derivative transactions to gain market exposure.
The table below discloses the volume of the following Funds’ derivative activity during the year ended December 31, 2020.
Wells Fargo/Federated Total Wells Fargo/Lazard Return Bond CIT International Equity CIT Futures contracts Average notional balance buy contracts $ 75,247,669 $ - Average notional balance sale contracts 18,900,448 - Centrally cleared credit default swaps Average notional balance buy contracts 3,638,696 - Average notional balance sale contracts 4,597,161 - Forward foreign currency contracts Average buy contract amount - 69,791 Average sell contract amount - 12,486
A summary of the location of derivative instruments on the financial statements by primary risk exposure is outlined following tables.
The fair value of derivative instruments as of December 31, 2020 by risk type was as follows for Wells Fargo/Federated Total Return Bond CIT: Asset derivatives Liability derivatives Statements of Assets Statements of Assets and Liabilities Fair value and Liabilities Fair value location location Unrealized gains on Unrealized losses on Interest rate risk $ 231,356 * $ 33,142 * futures contracts futures contracts Unrealized gains on Unrealized losses on Credit risk 10,893 * - * swaps contracts swaps contracts $ 242,249 $ 33,142
* Amount represents cumulative unrealized gains (losses) as reported in the table following the Schedule of Investments. Only the current day’s variation margin is reported separately on the Statement of Assets and Liabilities.
94 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2020 was as follows for Wells Fargo/Federated Total Return Bond CIT: Realized gains (losses) on derivatives Futures contracts Swaps Total Interest rate risk $ 574,654 $ - $ 574,654 Credit risk - (104,554) (104,554) $ 574,654 $ (104,554) $ 470,100
Change in unrealized gains (losses) on derivatives Futures contracts Swaps Total Interest rate risk $ 258,147 $ - $ 258,147 Credit risk - 10,893 10,893 $ 258,147 $ 10,893 $ 269,040
7. RELATED PARTY TRANSACTIONS Wells Fargo/Federated Total Return Bond Fund invests in affiliated Federated Funds, the units of which are issued solely in private placement transactions which do not involve any “public offering” within the meaning of Section 4(2) of the Securities Act of 1933. Investments in the affiliated funds may only be made by investment companies, insurance company separate accounts, common or commingled trust funds or similar organizations or entities that are “accredited investors” within the meaning of Regulation D of the Securities Act of 1933. Units of the affiliated funds may be redeemed any day the NYSE is open with the exception of the Federated Core Trust III - Federated Project and Trade Finance Core Fund, which has adopted policies to limit the transfer of Units, which may occur only pursuant to Board authorization and only to persons who are accredited investors. The fair value of the Wells Fargo/Federated Total Return Bond Fund's investments in these affiliated entities at December 31, 2020 are as follows:
Underlying Funds Units Cost Value Federated Core Trust - Bank Loan Core Fund 1,871,005 $ 17,922,568 $ 17,924,223 Federated Core Trust - High Yield Bond Portfolio 5,737,142 34,928,143 36,430,849 Federated Core Trust - Emerging Markets Core Fund 2,078,563 20,539,529 21,762,550 Federated Core Trust III - Federated Project & Trade Finance Core Fund 1,775,563 16,446,948 15,678,219
8. CONCENTRATION OF OWNERSHIP As of December 31, 2020, the Funds had unitholders that held units in excess of 10% of the outstanding units in various classes of the Funds. Investment activities, including redemptions, of such unitholders could have a material impact on the operations of the Funds or expense impact on the class. Number of Unitholders with Ownership in Aggregate excess of % of Market Value 10% ownership Wells Fargo/Lazard International Equity CIT $ 10,609,430 1 14.31 % Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT 264,721,064 2 24.26
9. NEW ACCOUNTING PRONOUNCEMENTS In August 2018, FASB issued Accounting Standards Update (“ASU”) No. 2018-13, Fair Value Measurement (Topic 820) Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. ASU 2018-13 updates the disclosure requirements on fair value measurements in Topic 820, Fair Value Measurements. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has adopted this guidance which did not have a material impact on the financial statements.
In March 2017, FASB issued ASU No. 2017-08, Premium Amortization on Purchased Callable Debt Securities. ASU 2017-08 shortens the amortization period for certain callable debt securities held at a premium and requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount and discounts will continue to be accreted to the maturity date of the security. ASU 2017-08 is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. During the current reporting period, management of the Funds adopted the change in accounting policy which did not have a material impact to the financial statements.
95 Wells Fargo Bank, N.A. Collective Investment Funds Notes to Financial Statements December 31, 2020
10. CORONAVIRUS (COVID-19) PANDEMIC On March 11, 2020, the World Health Organization announced that it had made the assessment that coronavirus disease 2019 (“COVID-19”) is a pandemic. The impacts of COVID-19 are affecting the entire global economy, individual companies and investment products, the funds, and the market in general. There is significant uncertainty around the extent and duration of business disruptions related to COVID-19 and the impacts may be short term or may last for an extended period of time. The risk of further spreading of COVID-19 has led to significant uncertainty and volatility in the financial markets.
11. SUBSEQUENT EVENTS On February 23, 2021, Wells Fargo announced that it entered into a definitive agreement to sell Wells Fargo Asset Management (“WFAM”) to GTCR LLC and Reverence Capital Partners, L.P. WFAM is the trade name used by the asset management businesses of Wells Fargo and includes Wells Fargo Funds Management, LLC; Wells Capital Management Incorporated; Galliard Capital Management, Inc.; Wells Fargo Asset Management (International) Ltd.; Wells Fargo Asset Management Luxembourg S.A.; and Wells Fargo Funds Distributor, LLC, as well as Wells Fargo’s business of acting as Trustee to its collective investment trusts. As part of the transaction, Wells Fargo will own a 9.9% equity interest and will continue to serve as an important client and distribution partner. The transaction is expected to close in the second half of 2021, subject to customary closing conditions.
The Funds have evaluated the need for disclosures and/or adjustments resulting from subsequent events through April 12, 2021, the date the financial statements were available to be issued. This evaluation did not result in any other subsequent events that necessitated disclosures and/or adjustments.
96 Appendix Supplemental Schedule of Monthly Values (Unaudited) Year ended December 31, 2020
Wells Fargo/Causeway International Value CIT Class TR Class F Class N Units Unit Units Unit Units Unit outstanding valuation outstanding valuation outstanding valuation January 31, 2020 2,758,901 $ 12.75 36,834,995 $ 13.22 3,960,928 $ 11.64 February 29, 2020 2,742,313 11.65 35,968,819 12.07 3,950,065 10.63 March 31, 2020 2,773,150 9.17 36,271,331 9.51 1,157,058 8.37 April 30, 2020 2,669,497 10.07 37,849,103 10.44 1,170,899 9.20 May 31, 2020 2,269,519 10.60 38,052,095 10.99 1,156,726 9.68 June 30, 2020 2,092,229 11.08 37,735,608 11.49 1,152,403 10.12 July 31, 2020 2,036,854 11.08 36,084,898 11.50 1,042,095 10.13 August 31, 2020 1,960,355 11.84 8,443,259 12.29 1,038,041 10.82 September 30, 2020 1,906,365 11.28 8,394,017 11.72 1,032,833 10.31 October 31, 2020 1,882,360 10.79 8,602,177 11.21 1,034,489 9.87 November 30, 2020 1,832,132 13.48 6,117,873 14.00 1,028,427 12.33 December 31, 2020 1,668,568 14.22 5,849,819 14.78 988,727 13.01
Class N25 Units Unit outstanding valuation January 31, 2020 125 $ 13.13 February 29, 2020 125 11.99 March 31, 2020 126 9.44 April 30, 2020 127 10.37 May 31, 2020 128 10.91 June 30, 2020 128 11.41 July 31, 2020 129 11.41 August 31, 2020 130 12.19 September 30, 2020 130 11.62 October 31, 2020 131 11.11 November 30, 2020 131 13.88 December 31, 2020 132 14.65
Wells Fargo/Dodge & Cox Intermediate Bond CIT Class TR Class F Class N(1) Units Unit Units Unit Units Unit outstanding valuation outstanding valuation outstanding valuation January 31, 2020 3,326,205 $ 11.93 31,092,865 $ 12.27 - $ - February 29, 2020 3,284,418 12.04 30,157,105 12.38 - - March 31, 2020 3,193,342 11.61 25,826,413 11.95 - - April 30, 2020 3,276,796 11.97 26,401,644 12.32 - - May 31, 2020 3,504,163 12.16 26,608,724 12.52 - - June 30, 2020 3,619,674 12.30 26,922,093 12.67 - - July 31, 2020 3,564,775 12.54 27,184,334 12.92 - - August 31, 2020 3,462,246 12.52 27,627,008 12.89 - - September 30, 2020 3,382,145 12.48 27,353,827 12.86 - - October 31, 2020 3,778,173 12.47 27,373,604 12.85 79,758 9.96 November 30, 2020 4,086,972 12.71 27,798,605 13.10 79,811 10.15 December 31, 2020 4,228,416 12.78 24,939,633 13.18 1,090,382 10.21 (1) For the period from October 12, 2020 (commencement of operations) to December 31, 2020.
97 Appendix Supplemental Schedule of Monthly Values (Unaudited) Year ended December 31, 2020
Wells Fargo/Federated Total Return Bond CIT Class F Class N(1) Units Unit Units Unit outstanding valuation outstanding valuation January 31, 2020 36,008,525 $ 12.10 - $ - February 29, 2020 35,541,293 12.25 - - March 31, 2020 30,394,501 11.93 - - April 30, 2020 31,191,708 12.23 - - May 31, 2020 31,373,991 12.42 - - June 30, 2020 31,720,198 12.56 - - July 31, 2020 32,011,608 12.82 - - August 31, 2020 28,052,095 12.79 - - September 30, 2020 27,784,589 12.76 - - October 31, 2020 27,750,705 12.73 - - November 30, 2020 28,574,916 12.95 - 10.00 December 31, 2020 28,695,731 13.05 62,653 10.08 (1) For the period from November 30, 2020 (commencement of operations) to December 31, 2020.
Wells Fargo/ Lazard International Equity CIT Units Unit outstanding valuation January 31, 2020 8,680,790 $ 11.87 February 29, 2020 8,659,374 11.02 March 31, 2020 9,757,054 9.31 April 30, 2020 9,544,534 9.90 May 31, 2020 9,263,198 10.47 June 30, 2020 8,969,778 10.76 July 31, 2020 8,903,043 11.14 August 31, 2020 8,776,787 11.76 September 30, 2020 7,853,170 11.53 October 31, 2020 7,807,510 11.02 November 30, 2020 5,695,993 12.69 December 31, 2020 5,528,087 13.31
Wells Fargo/MFS Value CIT Class TR Class F Class N Units Unit Units Unit Units Unit outstanding valuation outstanding valuation outstanding valuation January 31, 2020 2,736,960 $ 23.72 19,545,686 $ 26.42 6,362,404 $ 20.69 February 29, 2020 2,700,514 21.53 18,801,269 23.98 6,315,971 18.78 March 31, 2020 2,693,774 18.43 19,162,826 20.53 6,689,076 16.08 April 30, 2020 2,809,230 20.46 17,222,335 22.80 6,634,903 17.86 May 31, 2020 2,889,677 21.26 16,540,549 23.70 6,511,398 18.56 June 30, 2020 2,915,664 21.12 16,500,727 23.55 6,486,205 18.44 July 31, 2020 2,854,928 21.99 16,375,465 24.52 5,023,618 19.20 August 31, 2020 2,766,125 22.80 16,427,604 25.44 5,016,741 19.91 September 30, 2020 2,689,575 22.38 16,154,751 24.98 4,888,951 19.55 October 31, 2020 2,419,439 21.95 15,767,643 24.50 5,037,523 19.18 November 30, 2020 2,258,525 24.50 15,412,072 27.36 4,969,698 21.42 December 31, 2020 1,982,845 25.19 13,580,670 28.14 6,136,454 22.03
98 Appendix Supplemental Schedule of Monthly Values (Unaudited) Year ended December 31, 2020
Wells Fargo/MFS Value CIT (continued) Class N25 Units Unit outstanding valuation January 31, 2020 2,020,184 $ 19.11 February 29, 2020 1,957,771 17.34 March 31, 2020 1,913,261 14.84 April 30, 2020 1,913,800 16.48 May 31, 2020 1,898,570 17.13 June 30, 2020 1,870,085 17.02 July 31, 2020 1,842,770 17.71 August 31, 2020 1,830,905 18.37 September 30, 2020 1,799,007 18.03 October 31, 2020 1,724,564 17.68 November 30, 2020 1,698,157 19.74 December 31, 2020 1,664,952 20.30
Wells Fargo/Multi-Manager Small Cap CIT Class TR Class F Class N Units Unit Units Unit Units Unit outstanding valuation outstanding valuation outstanding valuation January 31, 2020 672,259 $ 23.81 13,287,469 $ 25.79 387,985 $ 17.67 February 29, 2020 665,135 21.68 13,005,685 23.49 398,247 16.10 March 31, 2020 664,484 17.41 14,445,757 18.87 384,726 12.93 April 30, 2020 491,493 19.73 14,267,971 21.39 385,057 14.66 May 31, 2020 118,628 21.55 13,442,717 23.36 386,454 16.01 June 30, 2020 3,114 21.89 13,301,161 23.74 381,530 16.26 July 31, 2020 2,294 22.93 13,205,881 24.88 374,370 17.05 August 31, 2020 1,925 24.11 12,462,976 26.16 373,433 17.92 September 30, 2020 3,517 23.43 12,551,242 25.43 360,025 17.42 October 31, 2020 326,141 24.16 11,556,324 26.23 422,457 17.97 November 30, 2020 519,722 28.01 11,094,710 30.41 419,055 20.83 December 31, 2020 718,873 30.12 10,150,113 32.72 1,164,689 22.41
Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT Class F Class N Units Unit Units Unit outstanding valuation outstanding valuation January 31, 2020 10,017,845 $ 17.55 580,616 $ 17.05 February 29, 2020 9,486,291 15.73 575,607 15.28 March 31, 2020 10,789,224 13.03 558,053 12.66 April 30, 2020 10,482,642 14.32 573,515 13.91 May 31, 2020 9,650,956 14.76 523,518 14.34 June 30, 2020 9,595,952 14.87 515,339 14.44 July 31, 2020 9,544,514 15.49 505,959 15.04 August 31, 2020 9,445,837 16.01 500,740 15.55 September 30, 2020 9,451,361 15.40 497,661 14.95 October 31, 2020 9,305,350 15.38 504,941 14.94 November 30, 2020 8,846,524 17.87 481,868 17.35 December 31, 2020 8,619,452 18.64 529,453 18.09
99 Appendix Supplemental Schedule of Monthly Values (Unaudited) Year ended December 31, 2020
Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT Class TR Class F Class N Units Unit Units Unit Units Unit outstanding valuation outstanding valuation outstanding valuation January 31, 2020 712,095 $ 33.72 20,369,908 $ 37.81 14,286,348 $ 31.44 February 29, 2020 699,629 31.65 19,295,856 35.49 14,060,827 29.51 March 31, 2020 687,934 28.48 19,726,419 31.95 13,741,133 26.56 April 30, 2020 552,660 33.06 18,191,085 37.09 13,684,575 30.84 May 31, 2020 268,512 35.34 17,588,025 39.66 13,642,245 32.97 June 30, 2020 181,558 36.81 17,438,868 41.33 13,472,389 34.36 July 31, 2020 175,191 39.42 17,062,677 44.27 10,113,861 36.80 August 31, 2020 169,274 43.05 15,564,164 48.36 10,068,241 40.20 September 30, 2020 164,241 40.93 15,442,255 45.99 9,939,888 38.23 October 31, 2020 409,108 40.22 14,891,637 45.20 9,951,129 37.57 November 30, 2020 572,364 44.33 14,756,494 49.83 6,421,850 41.42 December 31, 2020 728,427 45.99 14,409,052 51.72 6,616,133 42.98
Class N40 Units Unit outstanding valuation January 31, 2020 1,163,646 $ 26.48 February 29, 2020 1,135,054 24.86 March 31, 2020 1,133,472 22.36 April 30, 2020 1,130,932 25.96 May 31, 2020 1,094,840 27.74 June 30, 2020 1,103,473 28.90 July 31, 2020 1,106,226 30.94 August 31, 2020 1,099,571 33.79 September 30, 2020 1,080,734 32.12 October 31, 2020 1,063,305 31.56 November 30, 2020 1,066,834 34.78 December 31, 2020 1,060,678 36.08
Wells Fargo/Voya Large-Cap Growth CIT Units Unit outstanding valuation January 31, 2020 10,387,795 $ 14.91 February 29, 2020 9,580,461 13.93 March 31, 2020 10,021,038 12.54 April 30, 2020 9,474,841 14.34 May 31, 2020 8,565,043 15.13 June 30, 2020 8,386,597 15.61 July 31, 2020 8,174,880 16.76 August 31, 2020 7,803,919 17.93 September 30, 2020 7,776,130 17.05 October 31, 2020 7,548,117 16.57 November 30, 2020 7,565,622 18.20 December 31, 2020 7,356,033 19.22
100
Regulatory Statement (Unaudited) ______
Regulatory requirement Collective funds are authorized under the Comptroller of the Currency’s Regulation 9.18(a)(2) and are subject to other pertinent provisions of Regulation 9 as promulgated by the Comptroller of the Currency. In compliance with this Regulation, the Trustee will provide detail of investment transactions upon request and without charge.
Participation requirements Participation in each Fund is available to employee benefit accounts which meet the following conditions: • The participating account is part of a plan and related trust qualified under Section 401(a) of the Internal Revenue Code (IRC), and which is exempt from tax under IRC Section 501 (a) or is part of a governmental plan as defined by IRC Section 818(a)(6).
• The participating plan or trust instrument of qualified plans adopts documents establishing Wells Fargo Bank’s collective investment funds.
• Wells Fargo Bank, N.A. serves in a fiduciary capacity with respect to a participating account.
Filing of Annual Report with Department of Labor A plan administrator receiving this Annual Report may be eligible for a simplified reporting procedure described in Department of Labor Regulations §2520.103-3 for a plan year ending on or after the end of a Fund’s fiscal year. The fiscal year end for each Fund is December 31. To such eligible plan administrators, Wells Fargo Bank, N.A. as Trustee for the Funds certifies that the statements of assets and liabilities included in the Annual Report were filed with the Department of Labor on or before the date upon which the annual report of such plans is required to be filed by the plan administrators in accordance with Department of Labor Regulation §2520.103-9. The “Employer Identification Number” of each Fund is as follows:
Fund EIN Wells Fargo/Causeway International Value CIT 47-6375784 Wells Fargo/Dodge & Cox Intermediate Bond CIT 47-6566265 Wells Fargo/Federated Total Return Bond CIT 46-6584317 Wells Fargo/Lazard International Equity CIT 47-6378625 Wells Fargo/MFS Value CIT 45-6648640 Wells Fargo Multi-Manager Small Cap CIT 45-6648658 Wells Fargo/T. Rowe Price Institutional Equity Income Managed CIT 46-6586666 Wells Fargo/T. Rowe Price Institutional Large-Cap Growth Managed CIT 45-6648614 Wells Fargo/Voya Large-Cap Growth CIT 82-6249680
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