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Wells Fargo Bank, N.A. Collective Investment Funds Annual Report 2019

Wells Fargo Bank, N.A. · WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT Statement of Changes in Net Assets Year ended December 31, 2019 Increase/(decrease) in

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

  • Table of Contents

    Page

    Independent Auditors’ Report 1

    Financial Statements: Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT 3 Wells Fargo Emerging Markets Bond Index CIT 50 Wells Fargo Factor Enhanced Emerging Markets Index CIT 70 Wells Fargo Factor Enhanced International Index CIT 105 Wells Fargo Factor Enhanced Large Cap Index CIT 132 Wells Fargo Factor Enhanced Small Cap Index CIT 154 Wells Fargo High Yield Corporate Bond Index CIT 193 Wells Fargo Investment Grade Corporate Bond Index CIT 206 Wells Fargo Strategic Retirement Bond Index CIT 252 Wells Fargo US REIT Index CIT 261

    Notes to Financial Statements 269

    Regulatory Statement 286

  • Independent Auditors’ Report

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

    We have audited the accompanying financial statements of Wells Fargo Bloomberg Barclays US Aggregate ex-Corporate Index CIT, Wells Fargo Emerging Markets Bond Index CIT, Wells Fargo Factor Enhanced Emerging Markets Index CIT, Wells Fargo Factor Enhanced International Index CIT, Wells Fargo Factor Enhanced Large Cap Index CIT, Wells Fargo Factor Enhanced Small Cap Index CIT, Wells Fargo High Yield Corporate Bond Index CIT, Wells Fargo Investment Grade Corporate Bond Index CIT, Wells Fargo Strategic Retirement Bond Index CIT and Wells Fargo US REIT Index CIT (collectively, “the Funds”), ten of the separate collective investment trusts constituting Wells Fargo Bank Collective Investment Funds for Employee Benefit Trusts, which comprise the statements of assets and liabilities, including the schedules of investments, as of December 31, 2019, the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements (collectively, the financial statements) and the financial highlights for the year then ended.

    Management’s Responsibility for the Financial Statements

    Management is responsible for the preparation and fair presentation of these financial statements and financial highlights in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements and financial highlights that are free from material misstatement, whether due to fraud or error.

    Auditors’ Responsibility

    Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free from material misstatement.

    An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements and financial highlights. The procedures selected depend on the auditors’ judgment, including the assessment of the risks of material misstatement of the financial statements and financial highlights, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements and financial highlights in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such

    opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights.

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

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

    KPMG LLPTwo Financial Center60 South StreetBoston, MA 02111

  • 2

    Opinion

    In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of December 31, 2019, and the results of their operations and the financial highlights for the year then ended in accordance with U.S. generally accepted accounting principles.

    Boston, Massachusetts April 29, 2020

  • See accompanying notes to financial statements. 3

    WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Statement of Assets and Liabilities

    December 31, 2019

    Cost

    Fair

    value

    Assets:

    Affiliated short term investment $ 24,240,726 $ 24,240,726

    Unaffiliated investments 977,505,719 1,000,719,177

    Cash 85

    Accrued interest income 4,792,814

    Receivable for investment securities sold 4,492,452

    Fund shares sold 216,245

    Total assets 1,034,461,499

    Liabilities:

    Payable for investment securities purchased 18,490,322

    Fund shares repurchased 1,202,009

    Accrued expenses 213

    Total liabilities 19,692,544

    Net assets $ 1,014,768,955

    Class Net Assets

    Shares

    Outstanding Net Asset Value

    G $ 1,013,709,749 93,988,422 $ 10.79

    TMR $ 1,059,206 96,754 $ 10.95

  • See accompanying notes to financial statements. 4

    WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Statement of Operations

    Year ended December 31, 2019

    Investment income:

    Interest income $ 20,930,086

    Dividend income from affiliated short term investment 549,436

    Total income 21,479,522

    Expenses:

    Program fees (TMR) 2,010

    Total expenses 2,010

    Net investment income (loss) 21,477,512

    Realized and unrealized gain (loss) on investment transaction:

    Net realized gain (loss) on:

    Investments 2,469,556

    Net change in unrealized appreciation (depreciation) on:

    Investments 32,023,178

    Net gain (loss) on investment transactions 34,492,734

    Net change in net assets resulting from operations $ 55,970,246

  • See accompanying notes to financial statements. 5

    WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Statement of Changes in Net Assets

    Year ended December 31, 2019

    Increase/(decrease) in net assets from operations:

    Net investment income (loss) $ 21,477,512

    Net realized gain (loss) on investment transactions 2,469,556

    Net change in unrealized appreciation (depreciation) of investments 32,023,178

    Net increase (decrease) in net assets resulting from

    operations 55,970,246

    Participating share holder transactions:

    Class G proceeds from issuance of shares (32,436,037 shares) 340,829,813

    Class G payments for withdrawals (10,066,301 shares) (106,607,823)

    Net change 234,221,990

    Class TMR proceeds from issuance of shares (82,346 shares) 862,338

    Class TMR payments for withdrawals (5,238 shares) (55,836)

    Net change 806,502

    Change in net assets derived from share transactions 235,028,492

    Total increase (decrease) in net assets 290,998,738

    Net assets:

    Beginning of year (71,618,686 Class G shares, 19,646 Class TMR

    shares) 723,770,217

    End of year (93,988,422 Class G shares, 96,754 Class TMR shares) $ 1,014,768,955

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 6

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds: 90.45%

    Federal Agencies: 38.36%

    Federal Farm Credit Banks 220,000 1.77 % 06/26/23 AA+ $ 219,330 $ 220,856

    Federal Farm Credit Banks 397,000 1.68 01/05/22 AA+ 393,294 394,810

    FHLB 1,520,000 2.50 02/13/24 AA+ 1,576,780 1,565,992

    FHLB 390,000 3.00 09/11/26 AA+ 419,708 414,093

    FHLB 400,000 2.38 03/14/25 AA+ 412,803 411,738

    FHLB 50,000 1.88 09/11/26 AA+ 50,107 49,857

    FHLB 110,000 3.25 06/09/28 AA+ 111,960 119,723

    FHLB 200,000 2.38 09/10/21 AA+ 200,857 202,590

    FHLB 580,000 2.25 01/29/21 AA+ 576,999 580,067

    FHLB 300,000 1.88 12/09/22 AA+ 292,311 302,007

    FHLB 420,000 2.88 06/14/24 AA+ 431,066 440,631

    FHLB 360,000 1.38 02/18/21 AA+ 358,295 359,048

    FHLB 400,000 1.88 11/29/21 AA+ 399,504 402,023

    FHLB 30,000 2.00 09/09/22 AA+ 29,958 30,324

    FHLB 80,000 5.50 07/15/36 AA+ 105,751 112,203

    FHLMC 1,230,000 2.00 05/28/24 1,230,000 1,230,014

    FHLMC 79,000 6.75 09/15/29 AA+ 105,553 110,583

    FHLMC 795,000 1.33 12/30/20 AA+ 788,791 792,575

    FHLMC POOL #QA5511 2,300,000 2.50 12/01/49 2,274,550 2,273,304

    FHLMC POOL #SD0063 5,852,492 3.50 08/01/49 6,150,080 6,136,173

    FHLMC POOL #SD8024 6,473,275 3.00 11/01/49 6,592,377 6,563,741

    FHLMC POOL #ZS8087 1,386,536 2.50 04/01/33 1,374,481 1,401,645

    FHLMC 219,000 2.38 01/13/22 AA+ 220,180 222,287

    FHLMC 9,000 6.75 03/15/31 AA+ 12,083 13,022

    FHLMC 227,000 6.25 07/15/32 AA+ 308,161 326,420

    FHLMC POOl #SD8016 4,081,613 3.00 10/01/49 4,154,335 4,143,025

    FHLMC POOL #G00818 2,776 7.50 11/01/27 2,923 3,126

    FHLMC POOL #G00888 2,357 7.50 03/01/28 2,473 2,659

    FHLMC POOL #G00539 485 8.00 09/01/26 497 542

    FHLMC POOL #G01740 36,472 5.50 12/01/34 38,675 41,055

    FHLMC POOL #G01749 848 5.50 01/01/35 901 955

    FHLMC POOL #G01797 23,143 5.50 12/01/33 24,519 25,760

    FHLMC POOL #G02478 4,973 5.50 12/01/36 5,298 5,594

    FHLMC POOL #G02869 12,866 5.00 11/01/35 13,439 14,193

    FHLMC POOL #G03075 3,475 5.50 07/01/37 3,724 3,908

    FHLMC POOL #G04120 5,150 5.00 03/01/38 5,393 5,681

    FHLMC POOL #G04173 8,822 6.50 12/01/37 9,193 9,903

    FHLMC POOL #G04176 26,840 5.50 05/01/38 28,569 30,108

    FHLMC POOL #G03351 4,628 6.00 09/01/37 4,976 5,306

    FHLMC POOL #G03428 827 6.00 11/01/37 882 950

    FHLMC POOL #G03504 1,638 6.00 11/01/37 1,743 1,881

    FHLMC POOL #G03513 1,106 6.00 11/01/37 1,180 1,269

    FHLMC POOL #G03550 46,376 6.00 11/01/37 49,625 53,237

    FHLMC POOL #G03551 23,519 6.00 11/01/37 25,037 26,959

    FHLMC POOL #G03616 22,790 6.00 12/01/37 24,203 26,157

    FHLMC POOL #G03646 8,529 6.00 01/01/38 9,077 9,784

    FHLMC POOL #G03660 16,626 6.00 12/01/37 17,572 19,055

    FHLMC POOL #G04214 23,652 5.50 05/01/38 24,980 26,548

    FHLMC POOL #G04448 29,810 5.50 07/01/38 31,483 33,398

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 7

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #G04579 11,665 6.50 % 08/01/37 $ 12,248 $ 13,150

    FHLMC POOL #G04607 1,149 6.00 09/01/38 1,233 1,317

    FHLMC POOL #G04668 11,310 5.00 03/01/38 11,860 12,469

    FHLMC POOL #G04688 1,201 5.50 09/01/38 1,280 1,348

    FHLMC POOL #G04691 2,419 5.00 06/01/38 2,553 2,667

    FHLMC POOL #G04765 35,465 6.00 09/01/38 38,025 40,710

    FHLMC POOL #G04815 18,009 5.00 09/01/38 19,012 19,856

    FHLMC POOL #G04817 27,973 5.00 09/01/38 29,544 30,843

    FHLMC POOL #G05982 41,374 4.50 09/01/40 43,315 44,950

    FHLMC POOL #G05228 697 6.00 01/01/39 744 799

    FHLMC POOL #G05205 17,781 5.00 01/01/39 18,770 19,607

    FHLMC POOL #G05342 23,333 5.00 01/01/39 24,644 25,727

    FHLMC POOL #G05518 26,077 5.00 02/01/39 27,561 28,759

    FHLMC POOL #G05521 1,459 5.50 05/01/37 1,549 1,638

    FHLMC POOL #G05671 20,557 5.50 08/01/38 21,885 23,093

    FHLMC POOL #G05707 11,332 5.50 10/01/39 11,842 12,711

    FHLMC POOL #G05683 9,194 5.00 12/01/38 9,703 10,136

    FHLMC POOL #G05695 41,052 4.50 11/01/39 42,927 44,580

    FHLMC POOL #G05792 66,822 4.50 02/01/40 70,040 72,604

    FHLMC POOL #G05831 17,975 6.50 04/01/39 18,948 20,209

    FHLMC POOL #G06800 4,063 4.00 10/01/41 4,223 4,361

    FHLMC POOL #G06892 3,536 4.00 01/01/42 3,669 3,783

    FHLMC POOL #G06066 5,227 6.00 05/01/40 5,599 6,000

    FHLMC POOL #G06087 13,466 5.00 09/01/40 14,211 14,846

    FHLMC POOL #G06088 29,349 5.50 01/01/38 31,192 33,006

    FHLMC POOL #G06358 44,944 4.00 04/01/41 46,907 48,222

    FHLMC POOL #G06359 156,506 4.00 02/01/41 163,356 167,927

    FHLMC POOL #G06562 78,133 5.00 05/01/41 82,461 86,254

    FHLMC POOL #G07116 31,348 6.00 07/01/39 33,577 35,984

    FHLMC POOL #G07387 374,090 4.00 04/01/42 389,340 401,454

    FHLMC POOL #G07568 431,871 4.50 09/01/41 452,109 469,095

    FHLMC POOL #G07551 597,097 3.00 10/01/43 599,606 614,701

    FHLMC POOL #G13300 7,456 4.50 05/01/23 7,275 7,763

    FHLMC POOL #G13375 19,106 4.50 11/01/23 18,708 19,868

    FHLMC POOL #G13136 2,227 4.50 05/01/23 2,173 2,308

    FHLMC POOL #G13201 15,133 4.50 07/01/23 14,812 15,741

    FHLMC POOL #G13240 1,231 5.00 08/01/23 1,210 1,280

    FHLMC POOL #G13650 928 4.50 09/01/24 926 968

    FHLMC POOL #G14120 56,218 4.00 04/01/26 56,959 58,807

    FHLMC POOL #G15167 139,060 3.50 08/01/29 141,918 144,762

    FHLMC POOL #G15180 181,550 3.50 09/01/29 188,994 188,994

    FHLMC POOL #G14453 52,868 4.00 06/01/26 52,968 55,165

    FHLMC POOL #G14557 84,809 3.00 08/01/27 85,531 87,052

    FHLMC POOL #G14658 51,853 3.00 05/01/27 52,301 53,224

    FHLMC POOL #G14953 312,879 3.50 01/01/29 318,870 325,460

    FHLMC POOL #G08771 2,132,890 4.00 07/01/47 2,212,439 2,244,254

    FHLMC POOL #G08011 15,100 6.00 09/01/34 16,002 17,321

    FHLMC POOL #G08086 3,032 5.50 10/01/35 3,229 3,412

    FHLMC POOL #G08099 11,294 5.00 12/01/35 11,849 12,454

    FHLMC POOL #G08109 3,030 4.50 11/01/35 3,136 3,286

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 8

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #G08113 2,694 6.50 % 02/01/36 $ 2,863 $ 3,071

    FHLMC POOL #G08216 4,283 5.50 08/01/37 4,519 4,802

    FHLMC POOL #G08269 715 5.50 05/01/38 760 802

    FHLMC POOL #G08300 1,566 5.50 11/01/38 1,653 1,754

    FHLMC POOL #G08344 4,185 4.50 05/01/39 4,379 4,546

    FHLMC POOL #G08347 28,277 4.50 06/01/39 29,613 30,716

    FHLMC POOL #G08368 68,407 4.50 10/01/39 71,670 74,279

    FHLMC POOL #G08369 2,764 5.00 10/01/39 2,921 3,051

    FHLMC POOL #G08463 38,793 4.00 10/01/41 40,315 41,615

    FHLMC POOL #G08488 123,544 3.50 04/01/42 126,739 130,229

    FHLMC POOL #G08490 76,882 4.50 04/01/42 80,161 83,459

    FHLMC POOL #G08537 1,174,189 3.00 07/01/43 1,179,497 1,209,063

    FHLMC POOL #G08566 626,901 3.50 01/01/44 642,674 658,775

    FHLMC POOL #G08585 748,368 3.50 05/01/44 765,961 783,249

    FHLMC POOL #G08588 383,973 4.00 05/01/44 397,997 407,018

    FHLMC POOL #G08615 792,514 3.50 11/01/44 810,647 828,950

    FHLMC POOL #G08665 460,595 4.50 08/01/45 472,683 495,336

    FHLMC POOL #G08654 1,498,159 3.50 07/01/45 1,530,297 1,564,321

    FHLMC POOL #G08658 632,554 3.00 08/01/45 633,634 647,811

    FHLMC POOL #G08702 920,958 3.50 04/01/46 941,307 960,380

    FHLMC POOL #G08693 1,381,725 3.50 03/01/46 1,411,808 1,442,685

    FHLMC POOL #G08729 1,656,876 4.50 09/01/46 1,733,845 1,758,270

    FHLMC POOL #G08721 1,158,759 3.00 09/01/46 1,160,985 1,188,345

    FHLMC POOL #G08762 505,804 4.00 05/01/47 524,240 531,751

    FHLMC POOL #G08750 1,236,390 3.00 03/01/47 1,238,160 1,264,920

    FHLMC POOL #G08757 566,246 3.50 04/01/47 578,717 587,897

    FHLMC POOL #G18103 346 4.00 12/01/20 307 361

    FHLMC POOL #G18108 286 4.00 01/01/21 275 298

    FHLMC POOL #G18409 61,823 3.00 11/01/26 62,342 63,458

    FHLMC POOL #G18415 277,020 3.00 12/01/26 279,370 284,345

    FHLMC POOL #G18396 3,792 3.50 07/01/26 3,839 3,931

    FHLMC POOL #G18406 38,730 3.00 10/01/26 39,051 39,754

    FHLMC POOL #G18483 73,673 2.50 09/01/28 74,074 74,650

    FHLMC POOL #G18488 167,773 2.50 11/01/28 168,659 169,998

    FHLMC POOL #G18518 364,979 3.00 07/01/29 369,687 375,872

    FHLMC POOL #G18529 643,169 2.50 10/01/29 645,315 651,684

    FHLMC POOL #G18604 237,346 2.50 06/01/31 238,020 240,494

    FHLMC POOL #G18581 529,366 2.50 01/01/31 530,822 536,383

    FHLMC POOL #C90993 30,356 5.50 10/01/26 31,252 32,659

    FHLMC POOL #C91028 569 5.00 02/01/27 586 607

    FHLMC POOL #C91065 21,751 6.00 07/01/27 22,570 23,963

    FHLMC POOL #C91265 3,761 4.50 09/01/29 3,882 4,011

    FHLMC POOL #J00848 242 4.00 01/01/21 229 252

    FHLMC POOL #J00360 139 4.00 11/01/20 118 145

    FHLMC POOL #J02497 55 4.50 09/01/20 50 57

    FHLMC POOL #J02507 245 4.00 09/01/20 231 256

    FHLMC POOL #J05829 96 4.00 01/01/21 83 100

    FHLMC POOL #J09380 2,385 4.50 04/01/24 2,371 2,486

    FHLMC POOL #J10247 7,530 4.50 06/01/24 7,533 7,773

    FHLMC POOL #J11719 28,762 4.00 02/01/25 28,820 30,013

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 9

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #J11728 22,464 4.00 % 02/01/25 $ 22,463 $ 23,433

    FHLMC POOL #J11209 19,969 4.00 11/01/24 19,921 20,828

    FHLMC POOL #J11299 5,730 4.00 12/01/24 5,801 5,976

    FHLMC POOL #J11431 1,850 4.00 01/01/25 1,838 1,929

    FHLMC POOL #J11542 22,450 4.00 01/01/25 22,636 23,412

    FHLMC POOL #J11924 359 4.00 03/01/20 180 374

    FHLMC POOL #J12089 10,639 4.00 05/01/25 10,695 11,099

    FHLMC POOL #J12250 17,171 4.00 06/01/25 17,321 17,918

    FHLMC POOL #J12293 20,961 4.50 05/01/25 21,035 22,045

    FHLMC POOL #J13273 4,284 3.50 10/01/25 4,321 4,440

    FHLMC POOL #J13300 2,414 3.50 10/01/25 2,433 2,502

    FHLMC POOL #J13433 6,173 3.50 11/01/25 6,164 6,399

    FHLMC POOL #J13669 890 3.50 11/01/20 803 922

    FHLMC POOL #J13918 8,586 3.50 12/01/25 8,652 8,899

    FHLMC POOL #J13947 90,086 3.50 12/01/25 90,852 93,376

    FHLMC POOL #J14193 546 3.50 01/01/21 486 566

    FHLMC POOL #J15337 3,358 4.00 05/01/26 3,403 3,509

    FHLMC POOL #J16192 1,745 3.50 08/01/26 1,761 1,809

    FHLMC POOL #J15686 17,036 3.50 06/01/21 16,075 17,650

    FHLMC POOL #J16040 9,800 3.50 07/01/26 9,892 10,158

    FHLMC POOL #J16317 9,679 3.50 08/01/26 9,775 10,033

    FHLMC POOL #J16501 1,239 3.50 09/01/21 1,158 1,284

    FHLMC POOL #J17316 79,569 3.00 11/01/26 80,204 81,673

    FHLMC POOL #J18741 118,826 3.00 05/01/27 119,872 121,971

    FHLMC POOL #J19396 122,008 3.00 06/01/27 122,915 125,239

    FHLMC POOL #A80845 10,008 5.50 08/01/38 10,636 11,214

    FHLMC POOL #A80378 4,560 5.50 12/01/36 4,685 4,903

    FHLMC POOL #A80659 48,955 5.00 02/01/37 51,356 53,943

    FHLMC POOL #A80983 477 5.00 08/01/38 498 525

    FHLMC POOL #A81618 445 6.00 09/01/38 473 510

    FHLMC POOL #A81884 66 5.50 09/01/38 69 71

    FHLMC POOL #A83575 27,588 5.00 12/01/38 28,960 30,338

    FHLMC POOL #A82762 1,183 5.00 11/01/38 1,241 1,303

    FHLMC POOL #A82925 252 5.00 11/01/38 264 269

    FHLMC POOL #A83350 39,001 5.50 12/01/38 41,215 43,657

    FHLMC POOL #A83406 416 5.50 12/01/38 437 447

    FHLMC POOL #C00875 369 7.50 10/01/29 392 422

    FHLMC POOL #C00193 334 7.50 12/01/22 320 352

    FHLMC POOL #C00555 1,504 7.50 10/01/27 1,600 1,719

    FHLMC POOL #C00701 801 6.50 01/01/29 824 889

    FHLMC POOL #C00689 191 6.50 12/01/28 198 212

    FHLMC POOL #C00756 216 7.00 04/01/29 224 245

    FHLMC POOL #C01222 213 7.00 09/01/31 229 245

    FHLMC POOL #C01622 3,063 5.00 09/01/33 3,206 3,378

    FHLMC POOL #C01839 7,154 5.00 05/01/34 7,507 7,894

    FHLMC POOL #C01846 7,495 5.00 06/01/34 7,835 8,270

    FHLMC POOL #C01848 927 6.00 06/01/34 983 1,064

    FHLMC POOL #C03565 49,612 4.00 12/01/40 51,534 53,225

    FHLMC POOL #C03325 34,118 6.00 02/01/39 35,934 39,028

    FHLMC POOL #C03461 38,041 4.00 02/01/40 39,422 40,823

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 10

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #C03633 708,782 4.00 % 12/01/40 $ 734,921 $ 760,587

    FHLMC POOL #C03759 192,323 3.50 02/01/42 197,207 202,744

    FHLMC POOL #C03831 84,581 4.50 03/01/42 88,153 91,900

    FHLMC POOL #C04061 828,269 4.00 06/01/42 861,253 888,310

    FHLMC POOL #A83760 636 5.50 01/01/39 668 685

    FHLMC POOL #A83738 798 5.50 12/01/38 834 858

    FHLMC POOL #A84128 26,214 5.50 01/01/39 27,741 29,337

    FHLMC POOL #A85349 9,108 4.50 03/01/39 9,489 9,888

    FHLMC POOL #G00911 559 7.00 02/01/27 567 598

    FHLMC POOL #G00924 1,601 8.00 03/01/28 1,660 1,813

    FHLMC POOL #G01188 513 7.50 04/01/27 505 537

    FHLMC POOL #G01158 457 7.50 01/01/31 493 534

    FHLMC POOL #G01323 206 7.00 09/01/31 221 236

    FHLMC POOL #G11650 16 5.00 02/01/20 16 17

    FHLMC POOL #C61510 169 8.00 12/01/31 178 192

    FHLMC POOL #C65062 112 6.50 03/01/32 108 125

    FHLMC POOL #C66626 60 7.00 04/01/32 55 61

    FHLMC POOL #C68001 192 7.00 06/01/32 201 214

    FHLMC POOL #C68094 290 7.00 06/01/32 293 297

    FHLMC POOL #C69596 386 6.50 08/01/32 405 438

    FHLMC POOL #C69600 1,038 6.50 08/01/32 1,087 1,153

    FHLMC POOL #C69682 671 6.50 08/01/32 702 745

    FHLMC POOL #C69903 223 6.50 08/01/32 234 248

    FHLMC POOL #C70139 333 6.50 08/01/32 349 370

    FHLMC POOL #C70466 288 6.50 09/01/32 300 320

    FHLMC POOL #C72255 114 6.50 07/01/32 120 127

    FHLMC POOL #C73496 394 6.00 11/01/32 416 451

    FHLMC POOL #C73627 1,224 6.00 11/01/32 1,269 1,396

    FHLMC POOL #A40375 34,525 5.00 12/01/35 36,049 38,060

    FHLMC POOL #A40465 1,653 5.00 12/01/35 1,725 1,784

    FHLMC POOL #A40588 5,854 5.50 12/01/35 6,086 6,388

    FHLMC POOL #A40728 661 4.50 12/01/35 684 695

    FHLMC POOL #A42492 2,064 6.50 02/01/36 2,113 2,298

    FHLMC POOL #A44406 562 5.50 04/01/36 596 632

    FHLMC POOL #A43991 76,290 5.00 03/01/36 79,333 81,684

    FHLMC POOL #A44072 1,165 6.00 04/01/36 1,222 1,335

    FHLMC POOL #A47152 11,732 5.50 10/01/35 12,295 12,619

    FHLMC POOL #A47403 6,585 5.00 10/01/35 6,893 7,257

    FHLMC POOL #A48671 20,583 6.00 05/01/36 21,714 22,886

    FHLMC POOL #A48838 2,556 5.50 05/01/36 2,671 2,750

    FHLMC POOL #A56498 3,068 6.00 01/01/37 3,209 3,472

    FHLMC POOL #A56988 5,578 5.50 02/01/37 5,867 6,092

    FHLMC POOL #A57273 3,933 5.50 01/01/37 4,119 4,232

    FHLMC POOL #A57561 303 5.50 02/01/37 317 330

    FHLMC POOL #A57608 1,945 5.50 02/01/37 2,042 2,097

    FHLMC POOL #A59320 3,944 5.50 04/01/37 4,210 4,308

    FHLMC POOL #A59751 300 5.50 04/01/37 316 323

    FHLMC POOL #A60787 2,816 5.50 05/01/37 2,963 3,059

    FHLMC POOL #A61717 851 5.50 05/01/37 850 916

    FHLMC POOL #A61720 1,521 5.50 05/01/37 1,604 1,636

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 11

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #A61722 1,078 5.50 % 05/01/37 $ 1,132 $ 1,160

    FHLMC POOL #A61789 3,070 5.50 05/01/37 3,222 3,338

    FHLMC POOL #A61797 12,694 5.50 06/01/37 13,699 14,345

    FHLMC POOL #A62650 2,322 5.50 06/01/37 2,433 2,498

    FHLMC POOL #A61823 5,416 5.50 06/01/37 5,733 5,960

    FHLMC POOL #A62005 5,159 5.50 06/01/37 5,469 5,678

    FHLMC POOL #A65518 402 6.00 09/01/37 420 460

    FHLMC POOL #A66380 1,096 6.00 09/01/37 1,169 1,254

    FHLMC POOL #A66740 29,296 6.50 10/01/37 30,988 32,542

    FHLMC POOL #A67449 8,311 6.00 11/01/37 8,699 9,336

    FHLMC POOL #A68998 320 6.00 11/01/37 337 366

    FHLMC POOL #A68439 12,293 5.50 11/01/37 12,914 13,231

    FHLMC POOL #A68579 1,616 6.00 11/01/37 1,595 1,784

    FHLMC POOL #A69830 3,070 6.00 12/01/37 3,147 3,450

    FHLMC POOL #A69531 1,181 5.00 12/01/37 1,231 1,262

    FHLMC POOL #A72300 265 6.00 01/01/38 280 297

    FHLMC POOL #A73519 323 5.00 03/01/38 339 355

    FHLMC POOL #A73116 36,990 6.50 02/01/38 38,938 41,089

    FHLMC POOL #A73703 2,629 5.00 03/01/38 2,752 2,893

    FHLMC POOL #A73705 218 5.00 03/01/38 225 238

    FHLMC POOL #A73872 1,079 5.00 03/01/38 1,129 1,188

    FHLMC POOL #A74198 525 5.00 02/01/38 551 578

    FHLMC POOL #A75744 32,577 4.50 04/01/38 33,839 35,294

    FHLMC POOL #A76046 183,402 5.50 04/01/38 194,607 205,868

    FHLMC POOL #A76335 2,010 5.00 04/01/38 2,109 2,213

    FHLMC POOL #A76409 7,207 5.00 04/01/38 7,540 7,697

    FHLMC POOL #A76485 819 5.00 04/01/38 859 902

    FHLMC POOL #A76528 1,268 6.50 05/01/38 1,210 1,409

    FHLMC POOL #A77344 4,108 5.00 05/01/38 4,272 4,483

    FHLMC POOL #A77463 262 5.00 05/01/38 274 288

    FHLMC POOL #A77472 885 5.00 06/01/38 931 974

    FHLMC POOL #A77796 19,123 5.50 05/01/38 20,204 21,447

    FHLMC POOL #A78602 2,073 6.00 06/01/38 2,193 2,294

    FHLMC POOL #A78831 31,296 5.00 06/01/38 32,555 34,299

    FHLMC POOL #A79846 578 6.00 07/01/38 612 642

    FHLMC POOL #A79427 1,851 6.00 07/01/38 1,962 2,039

    FHLMC POOL #G01842 4,842 4.50 06/01/35 5,061 5,259

    FHLMC POOL #G01854 42,923 5.50 06/01/35 45,623 48,332

    FHLMC POOL #G01910 13,918 5.00 10/01/35 14,647 15,356

    FHLMC POOL #G02072 3,045 5.50 03/01/36 3,243 3,427

    FHLMC POOL #G02261 9,355 5.50 12/01/35 9,965 10,527

    FHLMC POOL #G02386 12,740 6.00 11/01/36 13,531 14,597

    FHLMC POOL #G03238 598 6.00 08/01/37 636 685

    FHLMC POOL #G03295 6,673 6.50 07/01/37 7,063 7,595

    FHLMC POOL #G02408 5,582 5.50 12/01/36 5,933 6,278

    FHLMC POOL #G02422 15,552 6.00 12/01/36 16,592 17,846

    FHLMC POOL #A27022 49 5.50 12/01/31 47 53

    FHLMC POOL #A27507 4,815 6.00 10/01/34 4,980 5,360

    FHLMC POOL #A27704 1,016 6.00 10/01/34 1,059 1,119

    FHLMC POOL #A27872 1,858 6.00 10/01/34 1,955 2,050

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 12

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #A29692 724 5.50 % 01/01/35 $ 739 $ 779

    FHLMC POOL #A31511 2,260 5.50 02/01/35 2,362 2,483

    FHLMC POOL #A32759 642 4.50 05/01/35 652 677

    FHLMC POOL #A34054 2,077 6.00 04/01/35 2,182 2,292

    FHLMC POOL #A36418 1,618 5.00 08/01/35 1,692 1,784

    FHLMC POOL #A37002 4,317 5.00 09/01/35 4,508 4,759

    FHLMC POOL #A37317 2,839 5.00 09/01/35 2,925 3,129

    FHLMC POOL #A37713 10,562 5.00 09/01/35 10,986 11,641

    FHLMC POOL #A37846 13,322 5.00 09/01/35 13,890 14,681

    FHLMC POOL #A38962 3,378 5.50 10/01/34 3,518 3,798

    FHLMC POOL #A39083 2,844 5.50 10/01/35 2,978 3,062

    FHLMC POOL #A39197 666 5.00 11/01/35 688 733

    FHLMC POOL #A39433 9,069 5.00 11/01/35 9,389 9,973

    FHLMC POOL #A39646 707 4.50 11/01/35 734 766

    FHLMC POOL #C53365 1,080 6.50 06/01/31 1,128 1,200

    FHLMC POOL #C53851 714 6.50 02/01/29 741 793

    FHLMC POOL #C57177 406 6.50 09/01/31 423 452

    FHLMC POOL #J24339 184,732 2.50 06/01/28 185,695 187,345

    FHLMC POOL #J25699 436,418 2.50 09/01/28 438,816 442,204

    FHLMC POOL #Q01129 12,115 4.50 04/01/41 12,467 12,844

    FHLMC POOL #Q01402 28,060 4.50 06/01/41 29,263 30,489

    FHLMC POOL #Q02009 41,221 4.50 07/01/41 42,406 44,792

    FHLMC POOL #Q02849 15,248 4.50 08/01/41 15,957 16,568

    FHLMC POOL #Q03580 10,269 4.50 09/01/41 10,660 11,158

    FHLMC POOL #Q04674 586,730 4.00 12/01/41 609,250 628,960

    FHLMC POOL #Q04244 66,119 4.00 11/01/41 68,497 70,962

    FHLMC POOL #Q05926 4,676 4.00 02/01/42 4,854 5,011

    FHLMC POOL #Q08641 291,239 3.50 06/01/42 298,538 307,021

    FHLMC POOL #Q07896 176,176 3.50 05/01/42 180,635 185,723

    FHLMC POOL #Q08768 60,526 4.50 06/01/42 63,013 64,619

    FHLMC POOL #Q10899 273,017 3.50 09/01/42 278,492 284,863

    FHLMC POOL #Q12052 423,109 3.50 10/01/42 434,146 445,992

    FHLMC POOL #Q12303 504,190 3.00 11/01/42 506,746 519,268

    FHLMC POOL #Q13743 1,163,952 3.00 11/01/42 1,169,969 1,199,098

    FHLMC POOL #Q17674 788,091 3.00 04/01/43 791,963 811,866

    FHLMC POOL #Q19982 227,952 3.50 07/01/43 233,606 240,165

    FHLMC POOL #Q20542 868,166 3.00 07/01/43 872,136 893,639

    FHLMC POOL #Q20570 944,282 3.50 08/01/43 966,288 993,507

    FHLMC POOL #V60494 331,702 3.00 02/01/29 336,027 342,233

    FHLMC POOL #Q26319 831,081 4.00 05/01/44 861,559 880,678

    FHLMC POOL #Q45094 2,477,873 3.00 12/01/46 2,482,480 2,537,008

    FHLMC POOL #Q50962 1,309,968 3.50 09/01/47 1,338,306 1,360,300

    FHLMC POOL #G60176 477,603 3.50 07/01/45 488,998 503,232

    FHLMC POOL #G60358 571,391 3.50 12/01/45 585,376 602,042

    FHLMC POOL #C90833 2,695 6.00 03/01/24 2,615 2,966

    FHLMC POOL #C90676 904 5.50 05/01/23 880 972

    FHLMC POOL #G11879 72 5.00 10/01/20 62 74

    FHLMC POOL #A84694 1,201 4.50 02/01/39 1,241 1,303

    FHLMC POOL #A84814 95,268 4.50 03/01/39 98,515 101,809

    FHLMC POOL #A85244 54,715 6.50 03/01/39 57,711 60,778

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 13

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #A85495 13,667 4.50 % 04/01/39 $ 14,196 $ 14,535

    FHLMC POOL #A85718 11,763 4.00 04/01/39 12,264 12,672

    FHLMC POOL #A86044 2,644 5.00 05/01/39 2,736 2,918

    FHLMC POOL #A86802 35,000 4.00 06/01/39 36,123 37,544

    FHLMC POOL #A86830 47,984 4.50 06/01/39 50,030 52,111

    FHLMC POOL #A86876 2,466 5.00 06/01/39 2,611 2,719

    FHLMC POOL #A86951 42,975 4.50 06/01/39 44,889 46,690

    FHLMC POOL #A87997 39,175 5.00 08/01/39 40,883 42,379

    FHLMC POOL #A88027 1,972 5.00 08/01/39 2,081 2,176

    FHLMC POOL #A87339 2,312 5.00 07/01/39 2,432 2,552

    FHLMC POOL #A89031 16,522 4.00 09/01/39 17,136 17,723

    FHLMC POOL #A89760 8,186 4.50 12/01/39 8,553 8,888

    FHLMC POOL #A90316 2,397 4.50 12/01/39 2,509 2,604

    FHLMC POOL #A90319 51,679 5.00 12/01/39 54,923 57,046

    FHLMC POOL #A90563 19,166 5.00 01/01/40 20,168 20,740

    FHLMC POOL #A91160 201,510 4.50 02/01/40 211,799 218,896

    FHLMC POOL #C15744 1,687 8.50 11/01/26 1,716 1,865

    FHLMC POOL #C25414 117 6.50 04/01/29 121 130

    FHLMC POOL #C27803 120 6.00 06/01/29 119 132

    FHLMC POOL #A91808 37,287 4.50 04/01/40 38,671 40,516

    FHLMC POOL #A92240 18,763 4.50 05/01/40 19,606 20,386

    FHLMC POOL #A92271 7,860 5.00 05/01/40 8,164 8,679

    FHLMC POOL #A92506 72,252 5.00 06/01/40 75,843 79,747

    FHLMC POOL #A93099 27,632 5.00 07/01/40 29,263 30,085

    FHLMC POOL #A93643 92,619 4.00 09/01/40 95,557 99,370

    FHLMC POOL #A93700 29,543 4.50 09/01/40 31,161 32,163

    FHLMC POOL #A93854 62,894 4.50 09/01/40 65,721 68,321

    FHLMC POOL #A93948 51,108 4.50 09/01/40 53,205 55,525

    FHLMC POOL #A94175 32,421 4.00 10/01/40 33,718 34,789

    FHLMC POOL #A94184 6,154 4.00 10/01/40 6,350 6,602

    FHLMC POOL #A94326 41,628 3.50 10/01/40 42,670 43,875

    FHLMC POOL #A94704 54,819 4.00 11/01/40 56,999 58,812

    FHLMC POOL #A94713 131,801 4.00 11/01/40 136,806 141,401

    FHLMC POOL #A95113 88,131 4.00 11/01/40 91,426 93,929

    FHLMC POOL #A96174 388,348 4.00 01/01/41 402,735 416,679

    FHLMC POOL #A95407 124,282 4.00 12/01/40 128,992 133,358

    FHLMC POOL #A96563 161,575 4.00 01/01/41 167,222 173,366

    FHLMC POOL #A97571 12,067 5.00 03/01/41 12,616 12,908

    FHLMC POOL #A97601 46,339 4.50 03/01/41 48,991 51,406

    FHLMC POOL #E02697 23,231 4.00 06/01/25 23,434 24,244

    FHLMC POOL #E02790 44,818 3.50 10/01/25 45,134 46,450

    FHLMC POOL #E02866 4,664 4.00 04/01/26 4,711 4,878

    FHLMC POOL #E02930 20,323 3.50 07/01/26 20,511 21,067

    FHLMC POOL #E03077 28,612 3.00 03/01/27 28,859 29,368

    FHLMC POOL #E03091 104,122 3.00 04/01/27 104,965 107,226

    FHLMC POOL #E09013 75,720 3.00 10/01/27 76,196 77,722

    FHLMC POOL #E09034 22,965 3.00 06/01/28 23,220 23,651

    FHLMC POOL #A01788 1 9.00 02/01/20 1 1

    FHLMC POOL #A10107 2,905 5.50 06/01/33 3,023 3,156

    FHLMC POOL #A13738 28,507 5.00 09/01/33 30,076 31,434

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 14

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FHLMC POOL #A13739 12,294 5.00 % 09/01/33 $ 12,777 $ 13,524

    FHLMC POOL #A13829 6,531 5.00 09/01/33 6,829 7,160

    FHLMC POOL #A13995 2,508 6.00 10/01/33 2,643 2,789

    FHLMC POOL #A14165 13,271 5.00 10/01/33 13,905 14,737

    FHLMC POOL #A14339 1,272 5.50 10/01/33 1,329 1,369

    FHLMC POOL #A15120 2,075 5.50 10/01/33 2,110 2,236

    FHLMC POOL #A15851 19,140 5.50 12/01/33 20,235 21,554

    FHLMC POOL #A16517 1,449 5.00 12/01/33 1,495 1,564

    FHLMC POOL #A16524 3,728 7.00 12/01/33 3,893 4,281

    FHLMC POOL #A16527 2,509 6.00 11/01/33 2,638 2,775

    FHLMC POOL #A16622 6,949 5.00 12/01/33 7,297 7,652

    FHLMC POOL #A16674 6,275 5.00 12/01/33 6,596 6,887

    FHLMC POOL #A16675 4,359 5.00 12/01/33 4,585 4,700

    FHLMC POOL #A17501 7,379 7.00 01/01/34 7,710 8,472

    FHLMC POOL #A20041 2,248 5.00 03/01/34 2,332 2,478

    FHLMC POOL #A20113 143 6.50 10/01/31 117 159

    FHLMC POOL #A20559 1,611 5.50 04/01/34 1,688 1,811

    FHLMC POOL #A21666 1,439 5.00 05/01/34 1,496 1,587

    FHLMC POOL #A21808 583 5.00 05/01/34 606 623

    FHLMC POOL #A21904 6,345 5.50 05/01/34 6,709 7,018

    FHLMC POOL #A22207 7,085 5.00 05/01/34 7,421 7,816

    FHLMC POOL #B18180 50 5.00 04/01/20 43 52

    FHLMC POOL #A23571 4,195 5.00 06/01/34 4,360 4,483

    FHLMC POOL #A23121 1,051 5.00 05/01/34 1,092 1,123

    FHLMC POOL #A23131 1,911 5.00 06/01/34 1,993 2,108

    FHLMC POOL #A23132 1,950 5.00 06/01/34 2,031 2,150

    FHLMC POOL #A23137 8,112 5.00 06/01/34 8,470 8,944

    FHLMC POOL #A23139 1,476 5.00 06/01/34 1,538 1,626

    FHLMC POOL #A23164 3,203 5.00 06/01/34 3,346 3,494

    FHLMC POOL #A23165 1,945 5.00 06/01/34 2,035 2,136

    FHLMC POOL #A23432 1,108 5.00 06/01/34 1,157 1,184

    FHLMC POOL #A23820 1,504 5.00 06/01/34 1,548 1,611

    FHLMC POOL #A24995 1,464 6.00 07/01/34 1,548 1,620

    FHLMC POOL #A26403 3,206 5.50 09/01/34 3,338 3,491

    FNMA POOL #CA1389 3,435,116 4.50 03/01/48 3,640,010 3,627,912

    FNMA 40,000 2.50 04/13/21 AA+ 40,454 40,445

    FNMA 110,000 2.88 09/12/23 AA+ 114,995 114,741

    FNMA 60,000 1.63 10/15/24 AA+ 59,724 59,656

    FNMA 564,347 3.27 01/25/39 594,291 582,432

    FNMA 310,000 2.00 10/05/22 AA+ 305,790 313,164

    FNMA 560,000 2.63 01/11/22 AA+ 565,834 571,104

    FNMA 20,000 2.50 02/05/24 AA+ 19,941 20,602

    FNMA 900,000 2.25 04/12/22 AA+ 909,062 913,054

    FNMA 500,000 2.47 04/25/26 503,357 501,798

    FNMA(1) 140,000 3.18 04/25/29 136,412 147,148

    FNMA 225,000 2.98 08/25/29 220,673 233,929

    FNMA(1) 1,616,548 2.99 02/25/30 1,681,988 1,684,012

    FNMA(1) 78,203 3.19 07/25/23 77,869 80,495

    FNMA(1) 210,000 3.70 09/25/30 208,550 229,625

    FNMA 119,000 6.25 05/15/29 AA+ 153,288 160,720

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 15

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA 119,000 7.13 % 01/15/30 AA+ $ 163,893 $ 172,080

    FNMA 176,000 7.25 05/15/30 AA+ 242,012 258,510

    FNMA 175,000 6.63 11/15/30 AA+ 237,742 249,102

    FNMA 397,000 1.38 02/26/21 AA+ 394,829 395,928

    FNMA 533,000 2.13 04/24/26 AA+ 520,120 540,499

    FNMA 238,000 1.88 09/24/26 AA+ 228,280 237,308

    FNMA 117,000 2.00 01/05/22 AA+ 116,999 117,889

    FNMA 120,000 1.88 04/05/22 AA+ 119,234 120,719

    FNMA(1) 123,897 3.48 01/25/24 129,166 129,522

    FNMA(1) 310,000 3.09 04/25/27 313,638 322,857

    FNMA(1) 655,000 2.96 02/25/27 662,493 679,417

    FNMA POOL #CA3868 4,359,020 4.00 07/01/49 4,614,428 4,624,930

    FNMA POOL #MA3800 3,283,230 3.00 10/01/39 3,352,822 3,359,366

    FNMA POOL #MA3865 3,446,569 3.00 12/01/34 3,532,429 3,538,823

    FNMA POOL #MA3873 5,105,943 4.00 12/01/49 5,330,542 5,320,623

    FNMA POOL #AS7234 9,735,064 3.00 05/01/46 9,879,410 9,963,933

    FNMA POOL #AU3353 5,870,488 3.00 08/01/43 6,038,435 6,039,653

    FNMA POOL #BC1515 3,770,044 3.50 08/01/46 3,932,801 3,923,565

    FNMA POOL #BK4764 684,967 4.00 08/01/48 698,203 713,346

    FNMA POOL #BM3627 9,420,795 3.00 11/01/46 9,697,998 9,694,805

    FNMA POOL #BM5446 501,851 3.50 02/01/49 501,675 516,164

    FNMA POOL #BN0877 2,111,108 4.50 11/01/48 2,194,778 2,221,137

    FNMA POOL #BN4805 2,859,699 3.50 02/01/49 2,866,917 2,942,015

    FNMA POOL #CA2653 987,650 5.00 08/01/48 1,035,788 1,055,156

    FNMA POOL #FM1077 4,182,393 3.50 04/01/34 4,317,511 4,336,544

    FNMA POOL #MA3495 1,988,634 4.00 10/01/48 2,030,260 2,070,507

    FNMA POOL #MA3496 960,139 4.50 10/01/48 994,466 1,013,680

    FNMA POOL #MA3592 1,930,554 4.00 02/01/49 1,982,065 2,005,319

    FNMA POOL #MA3686 4,144,441 3.50 06/01/49 4,193,779 4,257,797

    FNMA POOL #FM1155 1,735,295 2.50 06/01/32 1,759,424 1,757,362

    FNMA POOL #MA3664 3,550,188 4.00 05/01/49 3,678,575 3,688,247

    FNMA POOL #MA3803 1,701,221 3.50 10/01/49 1,749,878 1,749,980

    FNMA POOL #MA3522 6,025,984 4.50 11/01/48 6,240,685 6,356,477

    FNMA POOL #MA3537 2,246,563 4.50 12/01/48 2,337,669 2,363,515

    FNMA POOL #MA3745 12,878,793 3.50 08/01/49 13,167,467 13,236,156

    FNMA POOL #878187 1,897 6.50 08/01/36 2,022 2,149

    FNMA POOL #880182 1,917 5.50 01/01/36 2,040 2,156

    FNMA POOL #880627 12,256 5.50 04/01/36 13,004 13,760

    FNMA POOL #BA3989 806,994 3.50 02/01/46 823,797 842,039

    FNMA POOL #BC0769 1,461,699 4.00 12/01/45 1,511,176 1,548,568

    FNMA POOL #BC1158 984,437 3.50 02/01/46 1,005,326 1,028,642

    FNMA POOL #BD7081 1,600,816 4.00 03/01/47 1,658,634 1,684,484

    FNMA POOL #BM1164 2,095,512 3.50 12/01/45 2,139,874 2,185,674

    FNMA POOL #886958 3,413 6.00 06/01/36 3,647 3,903

    FNMA POOL #888336 41,794 5.00 07/01/36 44,097 46,079

    FNMA POOL #888343 74,592 5.00 11/01/35 79,099 82,258

    FNMA POOL #888016 803 5.50 05/01/36 854 900

    FNMA POOL #888095 11,041 5.50 12/01/35 11,794 12,426

    FNMA POOL #888486 372 6.50 07/01/37 398 418

    FNMA POOL #888653 3 4.50 07/01/20 3 3

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 16

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #888645 1,170 5.00 % 08/01/37 $ 1,231 $ 1,286

    FNMA POOL #888795 1,402 5.50 11/01/36 1,497 1,578

    FNMA POOL #889139 2,775 5.50 03/01/37 2,963 3,123

    FNMA POOL #890169 11,224 5.00 03/01/24 11,023 11,642

    FNMA POOL #890176 2 5.00 08/01/20 2 2

    FNMA POOL #889427 12,829 6.00 03/01/38 13,789 14,748

    FNMA POOL #889753 75,669 4.50 06/01/38 78,899 82,132

    FNMA POOL #889982 30,230 5.50 11/01/38 32,283 33,925

    FNMA POOL #890305 3,286 4.50 05/01/25 3,275 3,425

    FNMA POOL #891435 1,955 5.50 03/01/36 2,076 2,197

    FNMA POOL #893353 5,160 6.00 09/01/36 5,518 5,910

    FNMA POOL #894311 6,716 5.50 11/01/36 7,108 7,527

    FNMA POOL #896527 646 6.50 08/01/36 688 717

    FNMA POOL #897130 5,459 6.50 09/01/36 5,832 6,120

    FNMA POOL #897794 713 6.50 09/01/36 748 809

    FNMA POOL #898126 266 6.50 09/01/36 278 296

    FNMA POOL #898818 22,852 6.00 11/01/36 24,124 26,139

    FNMA POOL #898913 2,579 5.50 11/01/21 2,455 2,629

    FNMA POOL #899892 6,508 6.00 11/01/36 6,746 7,434

    FNMA POOL #902516 28,212 5.50 11/01/36 29,812 31,613

    FNMA POOL #903677 918 6.50 10/01/36 998 1,056

    FNMA POOL #904601 20,800 6.00 11/01/36 22,090 23,834

    FNMA POOL #906305 672 5.50 01/01/22 608 682

    FNMA POOL #905590 292 6.50 12/01/36 301 325

    FNMA POOL #905673 627 5.50 12/01/36 660 704

    FNMA POOL #908789 437 6.00 02/01/37 459 500

    FNMA POOL #910913 437 6.50 02/01/37 462 485

    FNMA POOL #913927 551 6.50 02/01/37 565 621

    FNMA POOL #914577 622 6.50 04/01/37 662 694

    FNMA POOL #916304 728 6.50 04/01/37 746 808

    FNMA POOL #919540 80 5.50 06/01/22 80 80

    FNMA POOL #928379 4,450 5.50 06/01/37 4,672 4,998

    FNMA POOL #929674 38,499 5.00 06/01/23 37,847 39,915

    FNMA POOL #929195 53,792 6.50 03/01/38 58,024 61,813

    FNMA POOL #930627 3,870 4.00 02/01/24 3,865 4,036

    FNMA POOL #930631 3,258 4.50 03/01/39 3,395 3,531

    FNMA POOL #930667 618 4.50 03/01/24 614 643

    FNMA POOL #929953 20,245 5.50 09/01/38 21,378 22,702

    FNMA POOL #930327 1,320 6.50 12/01/38 1,398 1,465

    FNMA POOL #930851 580 4.00 04/01/24 575 604

    FNMA POOL #930924 26,520 4.50 04/01/39 27,744 28,743

    FNMA POOL #930913 114,483 4.00 04/01/39 119,534 123,314

    FNMA POOL #930982 383,314 4.50 04/01/39 400,435 415,711

    FNMA POOL #931149 517,253 5.00 05/01/39 547,233 569,871

    FNMA POOL #931409 13,052 4.00 06/01/24 13,045 13,614

    FNMA POOL #932385 78,716 4.50 01/01/40 83,230 86,844

    FNMA POOL #932491 43,482 4.50 02/01/40 45,776 47,493

    FNMA POOL #931743 43,854 4.50 08/01/24 43,852 45,667

    FNMA POOL #932557 996 4.00 02/01/25 998 1,039

    FNMA POOL #933883 2,210 4.50 04/01/23 2,168 2,303

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 17

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #933731 22,817 5.50 % 04/01/38 $ 24,171 $ 25,574

    FNMA POOL #934259 977 4.50 01/01/39 1,022 1,057

    FNMA POOL #934852 453 4.00 05/01/24 449 473

    FNMA POOL #936794 520 5.50 06/01/37 549 559

    FNMA POOL #939959 644 7.00 06/01/37 670 722

    FNMA POOL #940734 2,810 7.00 10/01/37 2,931 3,173

    FNMA POOL #943465 3,355 6.50 08/01/37 3,549 3,730

    FNMA POOL #943625 631 6.50 09/01/37 669 700

    FNMA POOL #944511 537 6.50 07/01/37 568 596

    FNMA POOL #944728 945 6.00 07/01/37 991 1,078

    FNMA POOL #944980 167 5.50 07/01/22 162 171

    FNMA POOL #948292 7,319 5.50 08/01/37 7,744 8,195

    FNMA POOL #948146 49,686 5.50 11/01/37 52,180 55,666

    FNMA POOL #949008 611 7.00 08/01/37 653 701

    FNMA POOL #952010 1,715 6.00 12/01/37 1,796 1,963

    FNMA POOL #952425 30 7.00 09/01/37 31 30

    FNMA POOL #955429 1,078 6.00 12/01/37 1,103 1,194

    FNMA POOL #954864 877 6.00 11/01/37 939 995

    FNMA POOL #955713 2,106 6.00 11/01/37 2,210 2,410

    FNMA POOL #956941 2,980 6.00 12/01/37 3,191 3,409

    FNMA POOL #959596 727 6.00 11/01/37 783 831

    FNMA POOL #963318 4,094 5.00 05/01/23 4,023 4,248

    FNMA POOL #966202 2,094 6.00 12/01/37 2,218 2,395

    FNMA POOL #MA3217 4,340,932 2.50 12/01/32 4,153,675 4,388,245

    FNMA POOL #MA3444 67,426 4.50 08/01/48 69,846 71,150

    FNMA POOL #AC7292 6,276 4.50 12/01/39 6,575 6,808

    FNMA POOL #AC7962 17,331 4.50 01/01/25 17,345 18,158

    FNMA POOL #AC8563 59,696 4.00 01/01/40 62,074 64,013

    FNMA POOL #MA0186 29,723 4.00 09/01/39 30,895 31,857

    FNMA POOL #MA0298 7 4.00 01/01/20 13 7

    FNMA POOL #MA0380 76 4.00 04/01/20 47 79

    FNMA POOL #MA0561 110,138 4.00 11/01/40 114,481 118,095

    FNMA POOL #MA0583 746,782 4.00 12/01/40 775,373 800,721

    FNMA POOL #MA0613 5,277 4.00 11/01/20 4,679 5,501

    FNMA POOL #MA0702 15,466 3.00 04/01/21 14,748 15,842

    FNMA POOL #MA0678 3,624 4.00 03/01/26 3,644 3,785

    FNMA POOL #MA0739 849 3.00 05/01/21 816 870

    FNMA POOL #MA1028 18,737 4.00 04/01/42 19,484 20,054

    FNMA POOL #MA1103 37,204 3.50 07/01/42 38,143 39,193

    FNMA POOL #MA1208 246,282 3.00 10/01/42 247,375 253,605

    FNMA POOL #MA1466 199,473 3.50 06/01/43 203,905 209,951

    FNMA POOL #MA2608 1,501,900 3.00 05/01/46 1,502,815 1,537,181

    FNMA POOL #MA2136 1,458,134 3.50 01/01/45 1,489,201 1,529,512

    FNMA POOL #MA2473 699,342 3.50 12/01/35 713,543 728,849

    FNMA POOL #MA2522 1,143,090 3.50 02/01/46 1,167,394 1,192,678

    FNMA POOL #MA2550 452,062 3.00 03/01/36 457,420 463,751

    FNMA POOL #MA2833 1,079,563 3.00 12/01/46 1,080,229 1,104,981

    FNMA POOL #MA2863 1,937,844 3.00 01/01/47 1,939,021 1,981,694

    FNMA POOL #MA2903 1,489,055 3.00 02/01/32 1,511,381 1,529,918

    FNMA POOL #MA2909 3,139,178 3.50 02/01/37 3,204,851 3,262,780

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 18

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #MA2930 1,871,084 4.00 % 03/01/47 $ 1,941,412 $ 1,968,909

    FNMA POOL #MA2974 402,351 4.50 04/01/47 422,256 425,115

    FNMA POOL #MA3090 378,702 3.00 08/01/32 384,599 388,620

    FNMA POOL #MA3143 1,192,318 3.00 09/01/47 1,193,098 1,216,672

    FNMA POOL #MA3121 1,551,162 4.00 09/01/47 1,609,743 1,629,440

    FNMA POOL #AD1612 1,374 4.50 02/01/25 1,369 1,432

    FNMA POOL #AD1613 4,982 4.50 02/01/25 4,977 5,193

    FNMA POOL #AD2089 1,356 4.50 02/01/25 1,366 1,413

    FNMA POOL #AD3600 5,768 4.50 03/01/25 5,740 5,988

    FNMA POOL #AD3828 1,027 4.00 04/01/25 1,031 1,071

    FNMA POOL #AD3881 13,063 4.00 10/01/40 13,524 14,006

    FNMA POOL #AD4268 2,093 4.50 03/01/25 2,103 2,200

    FNMA POOL #AD5634 14,705 4.00 05/01/25 14,788 15,335

    FNMA POOL #AD6018 1,457 4.00 07/01/25 1,466 1,519

    FNMA POOL #AD7073 1,280 4.00 06/01/25 1,290 1,335

    FNMA POOL #AD7134 66,703 5.00 07/01/40 70,957 73,607

    FNMA POOL #AD7150 669 4.00 07/01/25 669 698

    FNMA POOL #AD6392 27,009 4.50 05/01/25 27,042 28,390

    FNMA POOL #AD7948 36,067 4.50 06/01/40 37,900 39,159

    FNMA POOL #AD8162 16,931 4.00 08/01/25 17,156 17,658

    FNMA POOL #AD8522 34,105 4.00 08/01/40 35,418 36,549

    FNMA POOL #AD8562 669 4.00 08/01/25 671 697

    FNMA POOL #AD9083 1,131 4.00 07/01/25 1,140 1,179

    FNMA POOL #AD9104 5,167 4.00 08/01/40 5,360 5,538

    FNMA POOL #AE0828 92,738 3.50 02/01/41 95,084 97,690

    FNMA POOL #AE0851 78,557 4.00 01/01/26 79,249 81,947

    FNMA POOL #AE0113 20,511 4.00 07/01/40 21,296 21,984

    FNMA POOL #AE0217 5,101 4.50 08/01/40 5,364 5,539

    FNMA POOL #AE0218 258,710 4.50 08/01/40 271,709 280,852

    FNMA POOL #AE0215 13,457 4.00 12/01/39 13,975 14,423

    FNMA POOL #AE0349 168,238 6.00 04/01/40 180,164 192,808

    FNMA POOL #AE0481 428,324 5.00 09/01/40 451,442 472,472

    FNMA POOL #AE1761 46,576 4.00 09/01/40 48,374 49,947

    FNMA POOL #AE0988 9,765 4.00 09/01/25 9,791 10,180

    FNMA POOL #AE1173 8,520 4.00 07/01/25 8,545 8,884

    FNMA POOL #AE2575 13,000 4.00 09/01/40 13,496 13,940

    FNMA POOL #AE2614 14,783 4.00 09/01/40 15,327 15,853

    FNMA POOL #AE2650 32,872 4.00 11/01/40 34,047 35,248

    FNMA POOL #AE2977 3,732 4.00 08/01/25 3,763 3,892

    FNMA POOL #AE3349 14,662 3.50 10/01/40 14,954 15,445

    FNMA POOL #AE3886 149,159 4.50 11/01/40 156,378 161,459

    FNMA POOL #AE3962 214 4.00 09/01/25 190 223

    FNMA POOL #AE4628 54,780 4.50 10/01/40 57,499 59,487

    FNMA POOL #AE4639 24,880 4.50 10/01/40 25,913 27,008

    FNMA POOL #AE4971 7,053 4.00 11/01/40 7,321 7,555

    FNMA POOL #AE5147 71,114 4.00 11/01/40 73,813 76,275

    FNMA POOL #AE5156 44,236 4.00 11/01/40 45,904 47,436

    FNMA POOL #AE6086 61,197 4.50 10/01/40 64,039 66,454

    FNMA POOL #AE6406 1,537 4.00 10/01/25 1,559 1,603

    FNMA POOL #AE6965 136,399 4.00 11/01/40 140,908 146,252

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 19

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #AE7264 15,883 4.00 % 01/01/41 $ 16,444 $ 17,035

    FNMA POOL #AE8226 33,719 3.50 12/01/25 33,985 34,931

    FNMA POOL #AE8716 67,722 4.00 11/01/40 70,254 72,616

    FNMA POOL #AE8803 18,830 5.00 06/01/38 18,878 20,097

    FNMA POOL #AE9349 32,331 4.00 11/01/40 33,477 34,436

    FNMA POOL #AE9365 2,914 4.00 12/01/40 3,003 3,052

    FNMA POOL #254383 662 7.50 06/01/32 715 787

    FNMA POOL #254513 647 6.00 10/01/22 598 712

    FNMA POOL #254635 224 6.00 02/01/23 212 247

    FNMA POOL #254903 2,557 5.00 10/01/33 2,690 2,818

    FNMA POOL #254916 13,152 5.50 09/01/23 12,871 14,135

    FNMA POOL #254918 17,801 4.50 09/01/33 18,511 19,141

    FNMA POOL #255070 2,300 6.00 01/01/34 2,456 2,635

    FNMA POOL #255411 3,701 5.50 10/01/34 3,911 4,163

    FNMA POOL #255459 3,975 6.00 11/01/34 4,241 4,560

    FNMA POOL #256514 1,142 6.00 12/01/36 1,229 1,310

    FNMA POOL #255813 1,606 5.00 08/01/35 1,692 1,772

    FNMA POOL #255890 3,532 4.50 10/01/20 3,227 3,644

    FNMA POOL #256245 500 4.50 04/01/21 490 516

    FNMA POOL #256640 16,072 5.50 03/01/27 16,693 17,319

    FNMA POOL #256692 3,357 6.50 04/01/37 3,608 3,914

    FNMA POOL #257202 1,566 4.50 04/01/28 1,609 1,652

    FNMA POOL #257233 561 4.50 06/01/23 552 580

    FNMA POOL #257236 688 6.50 06/01/38 738 785

    FNMA POOL #257308 2,746 6.50 08/01/38 2,982 3,240

    FNMA POOL #303273 1,168 8.00 05/01/25 1,175 1,283

    FNMA POOL #303110 205 9.00 01/01/25 193 214

    FNMA POOL #303573 595 8.00 09/01/25 597 638

    FNMA POOL #303913 1,045 7.00 05/01/26 1,077 1,158

    FNMA POOL #316653 122 8.00 08/01/25 122 122

    FNMA POOL #320397 1,002 8.00 07/01/25 1,012 1,079

    FNMA POOL #320456 613 8.00 08/01/25 616 632

    FNMA POOL #323064 121 8.00 11/01/23 117 122

    FNMA POOL #323311 232 7.50 09/01/28 240 255

    FNMA POOL #323424 234 7.50 12/01/28 246 261

    FNMA POOL #323405 1,013 7.50 10/01/28 1,047 1,116

    FNMA POOL #323434 349 7.50 12/01/28 361 384

    FNMA POOL #326535 733 8.00 10/01/25 746 789

    FNMA POOL #357603 5,647 5.50 08/01/34 5,978 6,348

    FNMA POOL #414716 1,668 8.00 07/01/27 1,690 1,793

    FNMA POOL #535533 310 8.00 10/01/30 337 366

    FNMA POOL #535095 776 8.00 01/01/30 845 922

    FNMA POOL #535284 165 7.50 05/01/30 174 182

    FNMA POOL #535338 413 8.50 10/01/28 426 471

    FNMA POOL #535332 1,134 8.50 04/01/30 1,257 1,366

    FNMA POOL #535903 471 7.50 03/01/31 492 528

    FNMA POOL #545684 402 7.50 05/01/32 437 475

    FNMA POOL #555967 1,703 5.50 11/01/33 1,809 1,908

    FNMA POOL #AH0297 64,982 4.00 12/01/40 67,599 69,699

    FNMA POOL #AH0930 89,314 4.00 12/01/40 92,809 95,869

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 20

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #AH1410 36,719 4.00 % 01/01/41 $ 38,057 $ 39,373

    FNMA POOL #AH1527 33,780 3.50 12/01/25 34,113 34,994

    FNMA POOL #AH1907 2,211 4.00 03/01/26 2,170 2,304

    FNMA POOL #AH3579 11,274 4.50 06/01/40 11,724 12,242

    FNMA POOL #AH3645 100,158 4.00 02/01/41 103,989 107,384

    FNMA POOL #AH3782 191,803 4.00 02/01/41 199,072 205,640

    FNMA POOL #AH3830 40,436 3.50 02/01/26 40,796 41,892

    FNMA POOL #AH6234 8,075 4.00 03/01/41 8,365 8,659

    FNMA POOL #AH5496 60,630 3.50 01/01/41 62,020 63,874

    FNMA POOL #AH5620 3,036 4.00 02/01/26 3,064 3,167

    FNMA POOL #AH6301 29,593 4.00 05/01/26 30,012 30,943

    FNMA POOL #AH6578 298,545 4.50 02/01/41 312,638 324,180

    FNMA POOL #AH6623 91,533 4.00 03/01/41 94,927 98,157

    FNMA POOL #AH6715 21,925 4.00 04/01/41 22,726 23,510

    FNMA POOL #AH6920 6,046 4.50 04/01/41 6,287 6,363

    FNMA POOL #AH7948 12,963 4.00 10/01/41 13,425 13,866

    FNMA POOL #AH8470 140,772 4.50 04/01/41 146,411 152,861

    FNMA POOL #AI7225 1,190 4.00 07/01/26 1,206 1,243

    FNMA POOL #AI8714 48,036 4.50 08/01/41 50,308 52,005

    FNMA POOL #AI9876 36,686 4.00 08/01/41 37,898 38,148

    FNMA POOL #AJ1407 13,846 4.00 09/01/41 14,395 14,847

    FNMA POOL #AJ3051 31,523 4.00 10/01/41 32,676 33,800

    FNMA POOL #AJ3109 5,574 4.00 01/01/42 5,779 5,974

    FNMA POOL #AJ3797 5,913 4.00 11/01/41 6,137 6,336

    FNMA POOL #AJ4049 68,922 4.00 10/01/41 71,587 73,919

    FNMA POOL #AJ5380 33,647 4.00 11/01/41 34,982 36,045

    FNMA POOL #AJ5643 33,978 4.00 11/01/41 35,275 36,388

    FNMA POOL #AJ6066 100,763 4.00 12/01/41 104,735 107,872

    FNMA POOL #AJ6933 160,540 3.00 11/01/26 161,830 164,697

    FNMA POOL #AJ7689 63,070 4.00 12/01/41 65,554 67,584

    FNMA POOL #AJ9039 6,623 4.00 12/01/41 6,848 7,086

    FNMA POOL #AK1938 52,428 4.00 02/01/42 54,419 56,207

    FNMA POOL #AK3264 109,806 3.00 02/01/27 110,804 112,649

    FNMA POOL #AK5322 68,786 4.00 03/01/42 71,205 73,556

    FNMA POOL #AL0788 1,925 4.00 05/01/26 1,931 2,007

    FNMA POOL #AL1505 100,815 4.00 03/01/42 104,721 107,865

    FNMA POOL #AL1998 192,486 4.00 03/01/42 201,407 206,401

    FNMA POOL #AL2459 115,273 4.00 08/01/42 119,784 123,222

    FNMA POOL #AL2752 607,905 5.00 03/01/42 641,899 668,959

    FNMA POOL #AL2863 48,491 4.00 04/01/42 50,357 51,888

    FNMA POOL #AL3169 113,494 3.00 01/01/28 114,816 116,437

    FNMA POOL #AL3347 39,680 6.00 06/01/40 42,859 45,521

    FNMA POOL #AL3396 291,799 2.50 03/01/28 292,922 296,103

    FNMA POOL #AL4469 401,830 5.50 06/01/41 430,147 445,204

    FNMA POOL #AL3865 632,518 3.50 07/01/43 647,452 667,171

    FNMA POOL #AL4157 189,416 3.00 09/01/43 190,157 194,641

    FNMA POOL #966648 9,381 6.00 12/01/37 10,012 10,739

    FNMA POOL #966689 17,301 5.00 06/01/23 16,960 17,868

    FNMA POOL #966857 614 6.00 12/01/37 653 704

    FNMA POOL #970179 494 4.50 04/01/38 515 520

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 21

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #970664 719 5.50 % 11/01/38 $ 752 $ 804

    FNMA POOL #971036 25,743 4.50 02/01/39 26,909 27,905

    FNMA POOL #971044 12,176 4.00 02/01/39 12,602 13,044

    FNMA POOL #972746 9,807 4.50 02/01/23 9,654 10,118

    FNMA POOL #973164 2,660 5.50 02/01/38 2,798 2,859

    FNMA POOL #973165 1,110 6.00 02/01/38 1,120 1,229

    FNMA POOL #973288 34,491 5.00 03/01/38 36,174 37,932

    FNMA POOL #CA1686 1,631,903 3.50 03/01/48 1,612,671 1,690,893

    FNMA POOL #MA3214 1,276,534 3.00 12/01/37 1,243,257 1,307,269

    FNMA POOL #MA3384 4,817,541 4.00 06/01/48 4,878,052 5,027,202

    FNMA POOL #MA3415 2,180,365 4.00 07/01/48 2,210,102 2,272,494

    FNMA POOL #MA3467 949,454 4.00 09/01/48 962,388 988,753

    FNMA POOL #725162 11,969 6.00 02/01/34 12,775 13,507

    FNMA POOL #725206 1,492 5.50 02/01/34 1,586 1,678

    FNMA POOL #725233 44,283 5.00 04/01/34 46,568 48,806

    FNMA POOL #725234 58,595 5.00 03/01/34 61,746 64,584

    FNMA POOL #725238 17,942 5.00 03/01/34 18,890 19,774

    FNMA POOL #725221 25,749 5.50 01/01/34 27,301 28,974

    FNMA POOL #725232 14,563 5.00 03/01/34 15,322 16,051

    FNMA POOL #725250 13,179 5.00 03/01/34 13,865 14,524

    FNMA POOL #725257 21,520 5.50 02/01/34 22,755 24,195

    FNMA POOL #725690 26,542 6.00 08/01/34 28,369 30,433

    FNMA POOL #725773 18,417 5.50 09/01/34 19,580 20,723

    FNMA POOL #795577 1,089 6.00 05/01/35 1,149 1,199

    FNMA POOL #794964 700 7.00 10/01/34 716 716

    FNMA POOL #796147 1,696 6.00 10/01/34 1,782 1,943

    FNMA POOL #797443 147,343 5.50 01/01/35 156,861 165,521

    FNMA POOL #796717 2,297 6.00 08/01/34 2,457 2,582

    FNMA POOL #798761 1,773 5.50 11/01/34 1,884 1,906

    FNMA POOL #799643 6,712 5.50 11/01/34 7,073 7,540

    FNMA POOL #801229 1,927 6.00 11/01/34 2,030 2,126

    FNMA POOL #801423 1,434 6.00 12/01/34 1,512 1,581

    FNMA POOL #801767 793 6.00 01/01/35 839 874

    FNMA POOL #804695 746 4.50 12/01/34 756 785

    FNMA POOL #725946 12,778 5.50 11/01/34 13,605 14,377

    FNMA POOL #727219 33,774 5.50 09/01/33 35,794 37,742

    FNMA POOL #728650 10,942 5.50 07/01/33 11,541 12,164

    FNMA POOL #728719 965 4.50 07/01/33 996 1,036

    FNMA POOL #729899 885 5.50 04/01/33 898 952

    FNMA POOL #731746 1,907 4.50 09/01/33 1,981 2,056

    FNMA POOL #731134 1,315 5.50 07/01/33 1,383 1,414

    FNMA POOL #731138 1,766 5.50 07/01/33 1,852 1,906

    FNMA POOL #731218 954 4.50 08/01/33 981 1,024

    FNMA POOL #733016 581 4.50 08/01/33 604 627

    FNMA POOL #733380 1,601 5.50 08/01/33 1,695 1,796

    FNMA POOL #804059 4,249 6.00 10/01/34 4,523 4,869

    FNMA POOL #805173 1,545 6.00 01/01/35 1,635 1,706

    FNMA POOL #805319 3,710 6.00 01/01/35 3,883 4,160

    FNMA POOL #805384 866 5.50 01/01/35 921 972

    FNMA POOL #810225 1,159 6.00 01/01/35 1,235 1,328

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 22

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #811147 804 6.00 % 04/01/35 $ 850 $ 884

    FNMA POOL #811737 27 5.00 03/01/20 26 27

    FNMA POOL #812273 1,741 6.00 05/01/35 1,840 1,938

    FNMA POOL #814509 2,257 6.00 03/01/35 2,386 2,488

    FNMA POOL #814540 1,815 5.50 03/01/35 1,913 2,003

    FNMA POOL #814554 1,883 5.50 04/01/35 1,980 2,033

    FNMA POOL #735382 23,497 5.00 04/01/35 24,761 25,901

    FNMA POOL #735141 29,476 5.50 01/01/35 31,426 33,170

    FNMA POOL #735230 8,628 5.50 02/01/35 9,187 9,705

    FNMA POOL #735224 2,273 5.50 02/01/35 2,418 2,557

    FNMA POOL #735228 9,455 5.50 02/01/35 10,084 10,636

    FNMA POOL #735244 1 5.50 01/01/20 1 1

    FNMA POOL #735480 2,443 5.50 04/01/35 2,602 2,749

    FNMA POOL #735503 26,179 6.00 04/01/35 28,048 30,011

    FNMA POOL #735580 9,693 5.00 06/01/35 10,184 10,682

    FNMA POOL #735744 525 6.00 08/01/35 561 603

    FNMA POOL #814692 7,347 5.50 04/01/35 7,789 8,243

    FNMA POOL #814865 1,186 5.50 04/01/35 1,226 1,282

    FNMA POOL #815881 504 6.00 06/01/35 533 555

    FNMA POOL #816227 2,863 5.50 03/01/35 2,993 3,200

    FNMA POOL #817347 839 6.00 07/01/35 861 926

    FNMA POOL #819357 446 4.50 03/01/35 466 484

    FNMA POOL #819408 245 6.00 05/01/35 258 269

    FNMA POOL #821395 4,333 5.50 06/01/35 4,558 4,850

    FNMA POOL #821601 581 6.00 06/01/35 617 652

    FNMA POOL #821842 110,686 5.50 06/01/35 116,497 119,045

    FNMA POOL #821901 2,062 6.00 06/01/35 2,172 2,297

    FNMA POOL #735896 12,286 6.00 09/01/35 13,072 14,094

    FNMA POOL #735925 3,792 5.00 10/01/35 4,009 4,180

    FNMA POOL #739564 459 4.50 09/01/33 474 485

    FNMA POOL #740792 999 4.50 09/01/33 1,039 1,069

    FNMA POOL #740631 885 4.50 09/01/33 904 935

    FNMA POOL #743107 683 5.50 10/01/33 705 744

    FNMA POOL #743318 1,576 5.50 10/01/33 1,655 1,772

    FNMA POOL #745275 23,291 5.00 02/01/36 24,602 25,677

    FNMA POOL #744905 3,835 5.50 11/01/33 3,932 4,210

    FNMA POOL #745002 4,222 6.00 10/01/35 4,510 4,836

    FNMA POOL #821936 1,885 6.00 06/01/35 1,999 2,101

    FNMA POOL #821995 1,110 6.00 07/01/35 1,178 1,227

    FNMA POOL #822475 201 6.00 05/01/35 213 222

    FNMA POOL #822511 273 6.00 06/01/35 288 301

    FNMA POOL #823506 837 6.00 06/01/35 878 933

    FNMA POOL #823537 480 6.00 07/01/35 500 531

    FNMA POOL #823161 5,192 6.00 05/01/35 5,493 5,929

    FNMA POOL #823206 1,158 6.00 05/01/35 1,226 1,319

    FNMA POOL #824564 1,444 6.00 05/01/35 1,527 1,593

    FNMA POOL #824605 437 6.00 12/01/34 457 491

    FNMA POOL #BK5328 1,153,707 4.00 07/01/48 1,162,830 1,199,695

    FNMA POOL #745162 11,276 6.00 01/01/36 12,120 12,935

    FNMA POOL #745355 161,730 5.00 03/01/36 171,139 178,280

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 23

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #745412 2,082 5.50 % 12/01/35 $ 2,222 $ 2,343

    FNMA POOL #745418 183,445 5.50 04/01/36 195,979 206,384

    FNMA POOL #745946 10,112 5.50 11/01/36 10,802 11,377

    FNMA POOL #745948 9,673 6.50 10/01/36 10,494 10,862

    FNMA POOL #747519 8,841 4.50 10/01/33 9,202 9,495

    FNMA POOL #747684 1,751 5.50 11/01/33 1,859 1,968

    FNMA POOL #748299 1,407 5.50 11/01/33 1,472 1,572

    FNMA POOL #748356 536 5.50 11/01/33 565 577

    FNMA POOL #749844 1,646 5.50 11/01/33 1,741 1,848

    FNMA POOL #825113 1,198 6.00 05/01/35 1,245 1,319

    FNMA POOL #825457 2,674 5.50 06/01/35 2,815 2,875

    FNMA POOL #825948 951 6.00 07/01/35 982 1,049

    FNMA POOL #825979 1,708 6.00 07/01/35 1,768 1,903

    FNMA POOL #826305 4,308 5.00 07/01/35 4,554 4,750

    FNMA POOL #826500 4,209 5.00 08/01/35 4,444 4,636

    FNMA POOL #828051 378 6.00 06/01/35 399 415

    FNMA POOL #827303 1,192 6.00 06/01/35 1,258 1,313

    FNMA POOL #828346 7,028 5.00 07/01/35 7,437 7,735

    FNMA POOL #828716 563 6.00 07/01/35 594 625

    FNMA POOL #831088 2,133 6.00 07/01/35 2,235 2,359

    FNMA POOL #AS8511 73,182 2.50 12/01/31 70,106 73,980

    FNMA POOL #BK4778 2,855,833 3.50 08/01/48 2,768,411 2,934,122

    FNMA POOL #753026 486 5.50 11/01/33 494 522

    FNMA POOL #753051 375 5.50 12/01/33 385 404

    FNMA POOL #753232 1,565 5.50 11/01/33 1,584 1,684

    FNMA POOL #754272 12,647 5.50 12/01/33 13,362 14,220

    FNMA POOL #753670 3,097 7.00 12/01/33 3,266 3,527

    FNMA POOL #753803 5,714 5.00 10/01/33 6,003 6,299

    FNMA POOL #753965 808 7.00 12/01/33 857 906

    FNMA POOL #755591 5,863 5.50 11/01/33 6,174 6,595

    FNMA POOL #756165 38,885 5.50 11/01/33 41,089 43,721

    FNMA POOL #756171 7,133 5.50 11/01/33 7,515 7,992

    FNMA POOL #756322 792 5.50 01/01/34 832 852

    FNMA POOL #831310 151 5.50 02/01/21 150 152

    FNMA POOL #831351 1,139 5.50 02/01/36 1,199 1,231

    FNMA POOL #832547 1,015 6.00 09/01/35 1,068 1,118

    FNMA POOL #831800 1,012 6.50 09/01/36 1,083 1,143

    FNMA POOL #831831 2,629 6.00 09/01/36 2,784 2,951

    FNMA POOL #831878 660 6.50 10/01/36 693 732

    FNMA POOL #832414 17,251 5.00 07/01/35 18,195 18,952

    FNMA POOL #832708 5,335 6.00 09/01/35 5,636 5,976

    FNMA POOL #833573 4,135 6.00 08/01/35 4,386 4,740

    FNMA POOL #835206 1,869 6.00 08/01/35 1,977 2,066

    FNMA POOL #834769 1,022 6.00 07/01/35 1,079 1,156

    FNMA POOL #MA3536 1,943,070 4.00 12/01/48 1,934,715 2,021,026

    FNMA POOL #MA3246 1,976,362 2.50 01/01/33 1,891,741 1,997,890

    FNMA POOL #759667 395 7.00 04/01/31 396 424

    FNMA POOL #758933 4,580 5.50 01/01/34 4,772 5,029

    FNMA POOL #759332 11,176 5.50 01/01/34 11,865 12,571

    FNMA POOL #759425 12,941 5.50 01/01/34 13,763 14,553

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 24

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #761702 773 5.50 % 01/01/34 $ 813 $ 839

    FNMA POOL #762043 705 5.50 12/01/33 733 758

    FNMA POOL #762648 1,428 5.50 01/01/34 1,468 1,569

    FNMA POOL #765404 3,201 6.00 08/01/34 3,375 3,595

    FNMA POOL #769199 15,610 5.50 01/01/34 16,411 17,553

    FNMA POOL #770332 28,750 5.00 04/01/34 30,083 31,606

    FNMA POOL #776586 1,739 5.50 04/01/34 1,833 1,954

    FNMA POOL #835035 1,531 6.00 06/01/35 1,623 1,687

    FNMA POOL #835163 4,325 5.50 08/01/35 4,549 4,861

    FNMA POOL #837564 812 6.00 06/01/35 859 894

    FNMA POOL #842016 5,255 5.00 11/01/20 4,917 5,427

    FNMA POOL #843566 12,467 5.50 11/01/35 12,939 14,007

    FNMA POOL #844342 590 5.50 11/01/35 625 645

    FNMA POOL #844610 854 6.00 12/01/35 890 947

    FNMA POOL #844716 7,411 6.00 12/01/35 7,962 8,515

    FNMA POOL #844734 7,681 6.00 12/01/35 8,232 8,818

    FNMA POOL #848983 841 5.50 01/01/36 888 946

    FNMA POOL #776971 3,632 5.00 04/01/34 3,822 4,004

    FNMA POOL #777139 272 6.00 06/01/34 290 301

    FNMA POOL #781666 2,188 5.50 02/01/35 2,282 2,458

    FNMA POOL #791196 7,077 6.00 09/01/34 7,463 8,095

    FNMA POOL #790497 4,435 6.00 08/01/34 4,697 4,981

    FNMA POOL #790820 6,196 6.00 09/01/34 6,598 7,076

    FNMA POOL #791279 5,381 6.00 09/01/34 5,700 6,131

    FNMA POOL #792407 7,725 6.00 09/01/34 8,234 8,834

    FNMA POOL #793674 835 6.00 09/01/34 823 921

    FNMA POOL #794230 7,896 6.00 09/01/34 8,312 8,799

    FNMA POOL #794643 3,847 6.00 10/01/34 4,062 4,310

    FNMA POOL #850314 935 5.50 01/01/36 989 1,033

    FNMA POOL #850785 80 5.50 01/01/21 79 80

    FNMA POOL #851053 3,408 5.50 11/01/35 3,609 3,822

    FNMA POOL #851791 1,482 5.50 01/01/36 1,559 1,666

    FNMA POOL #851810 5,694 5.50 02/01/36 6,041 6,399

    FNMA POOL #869832 2,282 5.50 03/01/36 2,292 2,454

    FNMA POOL #870133 332 4.50 03/01/21 327 343

    FNMA POOL #871045 85 6.50 01/01/37 83 95

    FNMA POOL #872317 194 6.50 05/01/36 198 219

    FNMA POOL #878123 96 5.50 04/01/21 93 97

    FNMA POOL #878183 418 6.50 08/01/36 442 464

    FNMA POOL #124642 654 8.00 01/01/23 633 685

    FNMA POOL #190048 347 8.00 10/01/23 326 360

    FNMA POOL #190272 773 7.50 07/01/26 798 860

    FNMA POOL #190308 260 7.50 09/01/30 282 301

    FNMA POOL #190379 16,816 5.50 05/01/37 17,985 18,819

    FNMA POOL #190396 47,660 4.50 06/01/39 49,802 51,684

    FNMA POOL #250330 1,861 8.00 09/01/25 1,911 2,028

    FNMA POOL #252874 242 7.50 11/01/29 260 278

    FNMA POOL #252254 1,149 6.00 02/01/29 1,189 1,287

    FNMA POOL #254689 1,130 6.00 03/01/23 1,066 1,243

    FNMA POOL #254739 3,082 6.00 04/01/23 2,928 3,390

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 25

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #254798 2,339 6.00 % 06/01/23 $ 2,234 $ 2,572

    FNMA POOL #254311 216 6.50 05/01/32 232 245

    FNMA POOL #254335 376 7.50 05/01/32 412 432

    FNMA POOL #AL4338 466,661 4.00 10/01/43 482,878 496,237

    FNMA POOL #AL5780 250,415 4.50 05/01/44 262,144 270,056

    FNMA POOL #AL6302 381,670 4.50 10/01/41 401,067 414,250

    FNMA POOL #AL9867 1,507,716 3.00 02/01/32 1,529,499 1,553,742

    FNMA POOL #AO7977 18,884 3.00 06/01/27 19,068 19,372

    FNMA POOL #AO9736 399,535 3.00 07/01/27 404,074 409,534

    FNMA POOL #AP2152 673,789 3.50 08/01/42 690,072 710,709

    FNMA POOL #AP3164 26,548 3.00 08/01/27 26,813 27,195

    FNMA POOL #AP3798 205,419 3.50 10/01/42 209,724 216,421

    FNMA POOL #AP4089 552,561 3.50 09/01/42 566,073 582,156

    FNMA POOL #AP5506 297,842 3.00 09/01/42 298,999 306,697

    FNMA POOL #974571 20,098 5.00 11/01/36 21,010 22,114

    FNMA POOL #974658 17,144 5.50 03/01/38 18,088 18,424

    FNMA POOL #975365 2,119 5.00 06/01/23 2,091 2,201

    FNMA POOL #976421 1,120 4.50 03/01/23 1,098 1,157

    FNMA POOL #985615 28,679 5.50 04/01/34 30,284 31,978

    FNMA POOL #984996 5,807 6.00 08/01/38 6,050 6,614

    FNMA POOL #987364 48,045 6.50 10/01/38 51,092 54,477

    FNMA POOL #988941 16,682 5.00 09/01/23 16,223 17,256

    FNMA POOL #991864 12,159 6.00 10/01/38 12,980 13,907

    FNMA POOL #993244 1,141 4.00 07/01/24 1,140 1,190

    FNMA POOL #993276 8,900 5.00 05/01/39 9,098 9,766

    FNMA POOL #AP5509 370,231 3.00 09/01/42 371,760 381,031

    FNMA POOL #AP8904 728,427 3.50 10/01/42 745,147 767,444

    FNMA POOL #AP8782 240,585 2.50 11/01/42 234,570 239,282

    FNMA POOL #AP8848 209,595 3.50 10/01/42 214,329 221,080

    FNMA POOL #AP9087 9,349 3.50 09/01/42 9,569 9,613

    FNMA POOL #AQ0420 342,766 2.50 10/01/27 344,155 347,425

    FNMA POOL #AQ4558 82,068 3.50 12/01/42 83,905 86,461

    FNMA POOL #AQ5175 886,620 3.00 12/01/42 890,645 912,761

    FNMA POOL #AQ7316 43,819 2.50 01/01/43 42,733 43,583

    FNMA POOL #AR2462 408,499 3.00 01/01/43 410,323 420,543

    FNMA POOL #AR9188 60,191 2.50 03/01/43 58,660 59,866

    FNMA POOL #993566 11,095 4.00 04/01/24 11,034 11,566

    FNMA POOL #995586 15,594 4.00 03/01/39 16,187 16,695

    FNMA POOL #995048 21,681 5.50 05/01/38 23,100 24,356

    FNMA POOL #995024 2,841 5.50 08/01/37 3,032 3,187

    FNMA POOL #995119 15,677 5.50 11/01/38 16,733 17,605

    FNMA POOL #995230 20,957 6.50 01/01/39 22,749 23,738

    FNMA POOL #995297 28,519 5.00 02/01/38 30,170 31,445

    FNMA POOL #995320 112 4.50 12/01/20 94 115

    FNMA POOL #995674 35,267 6.00 05/01/38 37,671 40,544

    FNMA POOL #995755 1,096 4.50 05/01/24 1,088 1,143

    FNMA POOL #995737 39,065 5.00 02/01/38 41,277 43,071

    FNMA POOL #AS0863 525,168 3.00 10/01/43 527,246 539,923

    FNMA POOL #AS0016 858,588 3.00 07/01/43 862,304 883,153

    FNMA POOL #AS0427 301,805 4.50 09/01/43 315,147 326,934

  • WELLS FARGO BLOOMBERG BARCLAYS US AGGREGATE EX-CORPORATE INDEX CIT

    Schedule of Investments

    December 31, 2019

    See accompanying notes to financial statements. 26

    Par

    Value

    Interest

    Rate

    Maturity

    Date

    Rating

    (Unaudited) Cost

    Fair

    Value ____________________________________ ___________________________ ___________________________ _______________________ _________________________________________ ____________________________________

    Government/Agency Bonds (Continued)

    FNMA POOL #AS1586 7,940 4.50 % 01/01/44 $ 8,310 $ 8,564

    FNMA POOL #AS2495 688,575 4.00 05/01/44 712,623 725,015

    FNMA POOL #AS2959 280,874 4.00 07/01/44 290,685 297,530

    FNMA POOL #AS3117 260,777 3.00 08/01/29 264,173 268,411

    FNMA POOL #AS3292 861,327 4.00 09/01/44 891,780 912,453

    FNMA POOL #AS3880 129,525 4.50 11/01/44 135,228 137,924

    FNMA POOL #AS4877 443,857 3.00 04/01/30 449,689 456,853

    FNMA POOL #AS5629 1,055,720 3.50 08/01/45 1,079,853 1,106,458

    FNMA POOL #995862 6,278 5.00 07/01/39 6,612 6,918

    FNMA POOL #995880 30,071 4.00 06/01/24 29,926 31,360

    FNMA POOL #995896 10,013 5.00 06/01/39 10,575 11,012

    FNMA POOL #995901 12,484 4.50 07/01/24 12,418 13,005

    FNMA POOL #AA0777 144,663 4.00 04/01/39 149,648 155,014

    FNMA POOL #AA0166 2,330 6.00 12/01/38 2,467 2,617

    FNMA POOL #AA0466 1,296 4.50 02/01/39 1,353 1,406

    FNMA POOL #AA2627 3,670 4.50 02/01/39 3,818 3,975

    FNMA POOL #AA4463 28,549 4.50 04/01/39 29,895 30,937

    FNMA POOL #AA4298 66,012 4.50 03/01/29 68,310 69,638

    FNMA POOL #AA4538 724 4.00 04/01/24 721 755

    FNMA POOL #AS5696 1,518,556 3.50 08/01/45 1,550,605 1,584,491

    FNMA POOL #AS5729 760,058 3.00 09/01/30 770,556 782,348

    FNMA POOL #AS5782 654,701 4.00 09/01/45 674,960 693,691

    FNMA POOL #AS6302 693,501 3.50 12/01/45 707,974 723,665

    FNMA POOL #AS6730 1,451,982 3.50 02/01/46 1,483,503 1,517,793

    FNMA POOL #AS7800 1,895,649 3.00 08/01/46 1,896,779 1,940,231

    FNMA POOL #AS8483 1,963,960 3.00 12/01/46 1,965,151 2,010,208

    FNMA POOL #AS8649 2,006,758 3.00 01/01/47 2,007,936 2,054,377

    FNMA POOL #AT0353 147,185 3.50 05/01/43 150,487 155,247

    FNMA POOL #AT4253 563,944 3.00 06/01/43 566,416 580,427

    FNMA POOL #AA4656 10,754 4.00 05/01/39 11,130 11,527

    FNMA POOL #AA4630 43,270 4.50 05/01/39 45,459 46,941

    FNMA POOL #AA4746 29,418 3.50 11/01/25 29,728 30,711

    FNMA POOL #AA5036 1,264 4.00 04/01/39 1,311 1,352

    FNMA POOL #AA5533 470 4.00 04/01/24 466 490

    FNMA POOL #AA5564 662 4.00 06/01/24 662 690

    FNMA POOL #AA7693 951 4.00 07/01/24 947 992

    FNMA POOL #AA7803 23,705 4.50 07/01/24 23,709 24,705

    FNMA POOL #AA9781 4,616 4.50 07/01/24 4,588 4,813

    FNMA POOL #AA9274 2,235 4.00 08/01/24 2,240 2,332

    FNMA POOL